UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS
OF REGISTERED MANAGEMENT INVESTMENT COMPANY
Investment Company Act file number
811-22185
IndexIQ Trust
(Exact name of registrant as specified in charter)
800 Westchester Ave., Suite S-710
Rye Brook, NY 10573
(Address of principal executive offices) (Zip code)
Adam S. Patti
IndexIQ Advisors LLC
800 Westchester Ave., Suite S-710
Rye Brook, NY 10573
(Name and address of agent for service)
Registrant's telephone number, including area
code:
1-888-934-0777
Date of fiscal year end:
April 30
Date of reporting period:
January 31, 2014
Form N-Q is to be used by management investment
companies, other than small business investment companies registered on Form N-5 (§§ 239.24 and 274.5 of this chapter),
to file reports with the Commission, not later than 60 days after the close of the first and third fiscal quarters, pursuant to
rule 30b1-5 under the Investment Company Act of 1940 (17 CFR 270.30b1-5). The Commission may use the information provided on Form
N-Q in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information
specified by Form N-Q, and the Commission will make this information public. A registrant is not required to respond to the collection
of information contained in Form N-Q unless the Form displays a currently valid Office of Management and Budget ("OMB")
control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions
for reducing the burden to the Secretary, Securities and Exchange Commission, 100 F Street, NE, Washington, DC 20549. The OMB has
reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.
Item 1. Schedule of Investments.
The Schedule(s) of Investments is attached herewith.
Schedule of Investments
January
31, 2014 (unaudited)
|
|
|
|
|
Shares
|
|
Value
|
|
|
|
|
Investment Companies — 99.0%
|
|
|
|
|
|
|
Aggregate Bond Funds — 24.4%
|
|
|
iShares Core Total US Bond Market ETF
(a)
|
214,385
|
|
$ 23,138,573
|
SPDR Barclays Aggregate Bond ETF
(a)
|
17,654
|
|
1,007,514
|
Vanguard Total Bond Market ETF
(a)
|
332,460
|
|
27,025,673
|
|
|
|
|
Total Aggregate Bond Funds
|
|
51,171,760
|
|
|
|
|
Commodity Funds — 0.6%
|
|
|
iPath Dow Jones-UBS Commodity Index Total Return ETN
*(a)(b)
|
30,454
|
|
1,120,707
|
PowerShares DB Commodity Index Tracking Fund
*
|
8,591
|
|
213,744
|
|
|
|
|
Total Commodity Funds
|
|
1,334,451
|
|
|
|
|
Convertible Bond Fund — 8.2%
|
|
|
SPDR Barclays Convertible Securities ETF
(a)(b)
|
360,955
|
|
17,069,562
|
|
|
|
|
|
|
|
|
Corporate Bond Funds — 9.4%
|
|
|
iShares Credit Bond ETF
(a)
|
2,770
|
|
301,155
|
iShares iBoxx $ Investment Grade Corporate Bond ETF
(a)
|
48,270
|
|
5,615,732
|
PowerShares Senior Loan Portfolio
(a)
|
549,918
|
|
13,698,457
|
|
|
|
|
Total Corporate Bond Funds
|
|
19,615,344
|
|
|
|
|
Currency Funds — 1.5%
|
|
|
CurrencyShares Japanese Yen Trust
*(a)(b)
|
2,523
|
|
241,148
|
WisdomTree Emerging Currency Fund
*(a)(b)
|
146,012
|
|
2,845,774
|
|
|
|
|
Total Currency Funds
|
|
3,086,922
|
|
|
|
|
Equity Funds — 10.6%
|
|
|
iShares MSCI EAFE ETF
(a)
|
256,667
|
|
16,326,588
|
Vanguard FTSE Developed Markets ETF
|
148,476
|
|
5,866,287
|
|
|
|
|
Total Equity Funds
|
|
22,192,875
|
|
|
|
|
International Bond Funds — 2.5%
|
|
|
iShares J.P. Morgan USD Emerging Markets Bond ETF
(b)
|
32,445
|
|
3,481,348
|
PowerShares Emerging Markets Sovereign Debt Portfolio
(a)(b)
|
69,135
|
|
1,847,979
|
|
|
|
|
Total International Bond Funds
|
|
5,329,327
|
|
|
|
|
Real Estate Fund — 0.7%
|
|
|
SPDR Dow Jones International Real Estate ETF
(a)
|
36,254
|
|
1,431,308
|
|
|
|
|
|
|
|
|
Short-Term Treasury Bond Funds — 13.9%
|
|
|
iShares 1-3 Year Treasury Bond ETF
(a)(b)
|
108,767
|
|
9,196,250
|
iShares Short Treasury Bond ETF
(a)(b)
|
28,418
|
|
3,132,800
|
SPDR Barclays 1-3 Month T-Bill ETF
*(a)
|
26,077
|
|
1,193,544
|
Vanguard Short-Term Bond ETF
(a)
|
194,256
|
|
15,608,470
|
|
|
|
|
Total Short-Term Treasury Bond Funds
|
|
29,131,064
|
|
|
|
|
Treasury Inflation-Protected Securities Bond Fund — 6.4%
|
|
|
iShares TIPS Bond ETF
(a)
|
118,449
|
|
13,291,162
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Shares
|
|
Value
|
Investment Companies (continued)
|
|
|
|
|
|
|
U.S. Large Cap Equity Funds — 16.9%
|
|
|
iShares Russell 1000 Growth ETF
(a)(b)
|
340,780
|
|
$ 28,448,315
|
SPDR S&P 500 ETF Trust
(a)
|
39,287
|
|
7,000,157
|
|
|
|
|
Total U.S. Large Cap Equity Funds
|
|
35,448,472
|
|
|
|
|
U.S. Small Cap Equity Fund — 3.9%
|
|
|
iShares Russell 2000 ETF
(b)
|
72,823
|
|
8,167,828
|
|
|
|
|
|
|
|
|
Total Investment Companies — 99.0%
|
|
|
(Cost $195,806,388)
|
|
|
207,270,075
|
|
|
|
|
Short-Term Investment — 1.3%
|
|
|
|
|
|
|
|
Money Market Fund — 1.3%
|
|
|
|
Dreyfus Treasury & Agency Cash Management 521 Institutional, 0.01%
(c)
|
|
|
|
(Cost $2,686,084)
|
2,686,084
|
|
2,686,084
|
|
|
|
|
|
|
|
|
Investment of Cash Collateral For Securities Loaned — 9.0%
|
|
|
|
|
|
|
|
Money Market Fund —9.0%
|
|
|
|
BNY Mellon Overnight Government Fund, 0.02%
(d)
|
|
|
|
(Cost $18,825,412)
|
18,825,412
|
|
18,825,412
|
|
|
|
|
|
|
|
Total Investments — 109.3%
|
|
|
(Cost $217,317,884)
|
|
|
$ 228,781,571
|
Liabilities in Excess of Other Assets — (9.3)%
(e)
|
|
(19,457,195)
|
Net Assets — 100.0%
|
|
|
$ 209,324,376
|
|
|
|
|
|
*
|
Non-income producing securities.
|
(a)
|
All or portion of these securities have been segregated as collateral for swap contracts. The total value of securities segregated amounted to $125,476,501.
|
(b)
|
All or a portion of the security was on loan. The aggregate market value of securities on loan was $18,325,758; total market value of collateral held by the Fund was $18,825,412.
|
(c)
|
Rate shown reflects the 7-day yield at January 31, 2014.
|
(d)
|
Rate shown reflects the 1-day yield at January 31, 2014.
|
(e)
|
Liabilities in Excess of Other Assets includes net unrealized depreciation on swaps.
|
ETF
|
- Exchange Traded Fund
|
ETN
|
- Exchange Traded Note
|
TIPS
|
- Treasury Inflation Protected Security
|
|
Schedule of Investments (continued)
|
Janaury 31, 2014 (unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Return Swap contracts outstanding at January 31, 2014:
|
|
|
Annual
|
|
|
|
|
|
|
|
|
Financing
|
|
|
|
|
|
|
|
|
Rate
|
|
|
|
|
|
Unrealized
|
|
|
Received
|
|
Expiration
|
|
Notional
|
|
Appreciation
|
Total Return Benchmark
|
|
(Paid)
|
|
Date
|
|
Amount
|
|
(Depreciation)
1
|
CurrencyShares Euro Trust
|
|
|
(1.42
|
)%
|
|
|
4/17/2014
|
|
|
$
|
(11,583,701
|
)
|
|
$
|
—
|
|
CurrencyShares Japanese Yen Trust
|
|
|
0.57
|
%
|
|
|
4/17/2014
|
|
|
|
97,683
|
|
|
|
—
|
|
iPath Dow Jones-UBS Commodity Index Total Return ETN
|
|
|
0.57
|
%
|
|
|
4/17/2014
|
|
|
|
453,928
|
|
|
|
—
|
|
iPath S&P 500 VIX Mid-Term Futures ETN
|
|
|
(2.77
|
)%
|
|
|
4/17/2014
|
|
|
|
(2,110,221
|
)
|
|
|
—
|
|
iShares 1-3 Year Treasury Bond ETF
|
|
|
0.57
|
%
|
|
|
4/17/2014
|
|
|
|
3,724,681
|
|
|
|
—
|
|
iShares Barclays Credit Bond ETF
|
|
|
0.57
|
%
|
|
|
4/17/2014
|
|
|
|
121,984
|
|
|
|
—
|
|
iShares Core Total US Bond Market ETF
|
|
|
0.57
|
%
|
|
|
4/17/2014
|
|
|
|
9,371,670
|
|
|
|
—
|
|
iShares iBoxx $ High Yield Corporate Bond Fund
|
|
|
(1.52
|
)%
|
|
|
4/17/2014
|
|
|
|
(2,040,590
|
)
|
|
|
—
|
|
iShares iBoxx$ Investment Grade Corporate Bond ETF
|
|
|
0.57
|
%
|
|
|
4/17/2014
|
|
|
|
2,274,447
|
|
|
|
—
|
|
iShares J.P. Morgan USD Emerging Markets Bond ETF
|
|
|
0.57
|
%
|
|
|
4/17/2014
|
|
|
|
1,410,029
|
|
|
|
—
|
|
iShares MSCI EAFE ETF
|
|
|
0.57
|
%
|
|
|
4/17/2014
|
|
|
|
6,612,641
|
|
|
|
—
|
|
iShares MSCI Emerging Markets ETF
|
|
|
(0.36
|
)%
|
|
|
4/17/2014
|
|
|
|
(235,327
|
)
|
|
|
—
|
|
iShares Russell 1000 Growth ETF
|
|
|
0.57
|
%
|
|
|
4/17/2014
|
|
|
|
11,522,244
|
|
|
|
—
|
|
iShares Russell 2000 ETF
|
|
|
0.57
|
%
|
|
|
4/17/2014
|
|
|
|
3,308,159
|
|
|
|
—
|
|
iShares Short Treasury Bond ETF
|
|
|
0.57
|
%
|
|
|
4/17/2014
|
|
|
|
1,268,862
|
|
|
|
—
|
|
iShares Silver Trust
|
|
|
(0.39
|
)%
|
|
|
4/17/2014
|
|
|
|
(152,784
|
)
|
|
|
—
|
|
iShares TIPS Bond ETF
|
|
|
0.57
|
%
|
|
|
4/17/2014
|
|
|
|
5,383,275
|
|
|
|
—
|
|
iShares U.S. Real Estate ETF
|
|
|
(0.74
|
)%
|
|
|
4/17/2014
|
|
|
|
(1,901,646
|
)
|
|
|
—
|
|
PowerShares DB Commodity Index Tracking Fund
|
|
|
0.57
|
%
|
|
|
4/17/2014
|
|
|
|
86,558
|
|
|
|
—
|
|
PowerShares DB G10 Currency Harvest Fund
|
|
|
(2.02
|
)%
|
|
|
4/17/2014
|
|
|
|
(1,084,337
|
)
|
|
|
—
|
|
PowerShares DB Gold Fund
|
|
|
(1.09
|
)%
|
|
|
4/17/2014
|
|
|
|
(1,617,938
|
)
|
|
|
—
|
|
PowerShares Emerging Markets Sovereign Debit Portfolio
|
|
|
0.57
|
%
|
|
|
4/17/2014
|
|
|
|
748,467
|
|
|
|
—
|
|
PowerShares Senior Loan Portfolio
|
|
|
0.57
|
%
|
|
|
4/17/2014
|
|
|
|
5,548,204
|
|
|
|
—
|
|
SPDR Barclays 1-3 Month T-Bill ETF
|
|
|
0.57
|
%
|
|
|
4/17/2014
|
|
|
|
483,423
|
|
|
|
—
|
|
SPDR Barclays Aggregate Bond ETF
|
|
|
0.57
|
%
|
|
|
4/17/2014
|
|
|
|
408,051
|
|
|
|
—
|
|
SPDR Barclays Convertible Securities ETF
|
|
|
0.57
|
%
|
|
|
4/17/2014
|
|
|
|
6,913,562
|
|
|
|
—
|
|
SPDR Barclays High Yield Bond ETF
|
|
|
(0.99
|
)%
|
|
|
4/17/2014
|
|
|
|
(1,348,069
|
)
|
|
|
—
|
|
SPDR Dow Jones International Real Estate ETF
|
|
|
0.57
|
%
|
|
|
4/17/2014
|
|
|
|
579,724
|
|
|
|
—
|
|
SPDR Dow Jones REIT ETF
|
|
|
(0.87
|
)%
|
|
|
4/17/2014
|
|
|
|
(1,080,244
|
)
|
|
|
—
|
|
SPDR S&P 500 ETF Trust
|
|
|
0.57
|
%
|
|
|
4/17/2014
|
|
|
|
2,835,200
|
|
|
|
—
|
|
Vanguard FTSE Developed Markets ETF
|
|
|
0.57
|
%
|
|
|
4/17/2014
|
|
|
|
2,375,973
|
|
|
|
—
|
|
Vanguard MSCI Energing Markets ETF
|
|
|
(0.33
|
)%
|
|
|
4/17/2014
|
|
|
|
(272,279
|
)
|
|
|
—
|
|
Vanguard REIT ETF
|
|
|
(0.64
|
)%
|
|
|
4/17/2014
|
|
|
|
(9,120,177
|
)
|
|
|
—
|
|
Vanguard Short-Term Bond ETF
|
|
|
0.57
|
%
|
|
|
4/17/2014
|
|
|
|
6,321,777
|
|
|
|
—
|
|
Vanguard Total Bond Market ETF
|
|
|
0.57
|
%
|
|
|
4/17/2014
|
|
|
|
10,946,105
|
|
|
|
—
|
|
WisdomTree Emerging Currency Fund
|
|
|
0.57
|
%
|
|
|
4/17/2014
|
|
|
|
1,152,600
|
|
|
|
—
|
|
Net Unrealized Appreciation (Depreciation)
|
|
|
$
|
—
|
|
A
portion of the securities held by the Fund have been segregated as collateral for swap contracts. The net collateral posted for
swap contracts was $125,476,501 at January 31, 2014.
Morgan
Stanley acts as the counterparty to the total return swap contracts listed above. The Fund either receives fees from, or pays
fees to, the counterparty, depending upon the total return of the benchmark, and the agreed-upon financing rate.
____________
1 Reflects
a Reset date of January 31, 2014.
INDEX IQ ALPHA HEDGE STRATEGY FUND
Fair Value Measurement
Accounting Standards Codification, Fair
Value Measurements and Disclosures (“ASC 820”) defines fair value, establishes a framework for measuring fair value
in accordance with U.S. GAAP, and requires disclosure about fair value measurements. It also provides guidance on determining when
there has been a significant decrease in the volume and level of activity for an asset or liability, when a transaction is not
orderly, and how that information must be incorporated into fair value measurement. Under ASC 820, various inputs are used in determining
the value of the Fund’s investments. These inputs are summarized in the following hierarchy:
|
•
|
Level 1 — Unadjusted quoted prices in active markets for identical assets or liabilities that the Fund has the ability to access.
|
|
•
|
Level 2 — Observable inputs other than quoted prices included in Level 1 that are observable for the asset or liability, either directly or indirectly. These inputs may include quoted prices for the identical instrument on an inactive market, prices for similar securities, interest rates, prepayment speeds, credit risk, yield curves, default rates and similar data.
|
|
•
|
Level 3 — Unobservable inputs for the asset or liability, to the extent relevant observable inputs are not available, representing the Fund’s own assumptions about the assumptions a market participant would use in valuing the asset or liability, and would be based on the best information available.
|
The availability of observable inputs
can vary from security to security and is affected by a wide variety of factors, including, for example, the type of security,
whether the security is new and not yet established in the marketplace, the liquidity of markets, and other characteristics particular
to the security. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market,
the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised in determining fair value
is greatest for instruments categorized in Level 3. With respect to the valuation of Level 3 securities, IndexIQ Advisors LLC (the
“Advisor”) may employ a market-based valuation approach which may use related or comparable securities, recent transactions,
market multiples, book values, and other relevant information to determine fair value. IndexIQ may also use an income-based valuation
approach in which anticipated future cash flows of the financial instrument are discounted to calculate fair value. IndexIQ representatives
meet regularly to review and discuss the appropriateness of such fair values using more current information such as, recent security
news, recent market transactions, updated corporate action information and/or other macro or security specific events.
All other securities and investments
for which market values are not readily available, including restricted securities, and those securities for which it is inappropriate
to determine prices in accordance with the aforementioned procedures, are valued at fair value as determined in good faith under
procedures adopted by the Board, although the actual calculations may be done by others. Factors considered in making this determination
may include, but are not limited to, information obtained by contacting the issuer, analysts, or the appropriate stock exchange
(for exchange-traded securities), analysis of the issuer’s financial statements or other available documents and, if necessary,
available information concerning other securities in similar circumstances.
Transfers between levels, if any, are
considered to have occurred at the beginning of the reporting period. There were no transfers into or out of any levels described
above during the period ended January 31, 2014.
The inputs or methodology
used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The following
summarizes inputs used as of January 31, 2014 in valuing the Fund’s assets and liabilities carried at fair value:
|
|
Level 1
|
|
|
Level 2
|
|
|
Level 3
|
|
|
Total
|
|
Assets
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investment Companies*
|
|
$
|
207,270,075
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
207,270,075
|
|
Other Financial
Instruments**
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
Money Market Fund
|
|
|
21,511,496
|
|
|
|
—
|
|
|
|
—
|
|
|
|
21,511,496
|
|
Total
|
|
$
|
228,781,571
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
228,781,571
|
|
*
|
Please refer to the Schedule of Investments to view securities segregated by fund type.
|
**
|
Other financial instruments include swap contracts, which are valued at the unrealized appreciation (depreciation) on the instrument.
|
The cost basis of investments for Federal income tax purposes
at January 31, 2014 was as follows (unaudited)*:
Fund
|
Cost
|
Gross
Unrealized
Appreciation
|
Gross
Unrealized
Depreciation
|
Net Unrealized
Appreciation
|
IQ Alpha Hedge Strategy Fund*
|
$ 219,126,186
|
$ 12,315,927
|
$ (2,660,542)
|
$ 9,655,385
|
* Because tax adjustments are calculated annually,
the above table reflects the tax adjustments outstanding at the Fund’s previous fiscal year end. For the previous fiscal
year’s federal income tax information, please refer to the Notes to Financial Statements section in the Fund’s most
recent annual report.
Item 2. Controls and Procedures.
(a)
|
|
The registrant’s principal executive and principal financial officers, or persons
performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule
30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR 270.30a-3(c))) are effective,
as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on
their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules
13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15(b)).
|
(b)
|
|
There were no changes in the registrant’s internal control over financial reporting
(as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d)) that occurred during the registrant’s last fiscal
quarter that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control
over financial reporting.
|
Item 3. Exhibits.
Certifications pursuant to Rule 30a-2(a) under the 1940 Act and
Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto.
SIGNATURES
Pursuant to the requirements of the Securities
Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf
by the undersigned, thereunto duly authorized.
(Registrant)
|
IndexIQ
Trust
|
|
|
By (Signature and Title)*
|
/s/ Adam S. Patti
|
|
Adam S. Patti
|
|
(Principal Executive Officer)
|
Pursuant to the requirements of the Securities
Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf
of the registrant and in the capacities and on the dates indicated.
By (Signature and Title)*
|
/s/ Adam S. Patti
|
|
Adam S. Patti
|
|
(Principal Executive Officer)
|
By (Signature and Title)*
|
/s/ David L. Fogel
|
|
David L. Fogel
|
|
(Principal Financial Officer)
|
*
Print the name and title of each signing officer under
his or her signature.
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