Filter SharePoint Threshold exceeded List data based on Lookup indexed column

Hello,

We are trying to retrieve the data by applying the filter onLookup column. SharePoint List already hit the List View Threshold of 5000 items. Although we indexed the Lookup column from which we want to filter the data, SPList is throwing the List Threshold exceeded exception. 

We are using the Client Side approach to get the data from SharePoint List with REST query. Any help on this would greatly appreciated.

Thanks.

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Best Regards,

Amogh Kulkarni