Abstract: The invention provides an exchange-traded fund for the trading of relatively illiquid securities and a process for forming and trading the same. The exchange-traded fund includes securities that are component securities of an Underlying Index and securities that are not component securities, thereby affording Authorized Participants the flexibility to designate securities within each category for inclusion in a portfolio deposit for the creation of a Creation Unit. This approach is necessitated by the relatively illiquid securities such as municipal bonds that lack sufficient liquidity for easy assembly in the amounts necessary for the in-kind creation or redemption of Creation Units for typical exchange-traded funds. This approach facilitates the ability of Authorized Participants to assemble a portfolio deposit and thereby allow for the effective functioning of an arbitrage process, while simultaneously enhancing the ability of the exchange-traded fund to track the applicable Underlying Index.