SSGA ACTIVE TRUST
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED
SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: 811-22542
SSGA ACTIVE TRUST
(Exact name of registrant as specified in charter)
One Iron
Street, Boston, Massachusetts 02210
(Address of principal executive offices) (zip code)
Joshua A. Weinberg, Esq.
Managing Director and Managing Counsel
c/o SSGA Funds Management, Inc.
One Iron Street
Boston,
Massachusetts 02210
(Name and address of agent for service)
Copy to:
W. John
McGuire, Esq.
Morgan, Lewis & Bockius LLP
1111 Pennsylvania Avenue, NW
Washington, DC 20004
Registrants telephone number, including area code: (617) 664-7037
Date of fiscal year end: June 30
Date of reporting period: December 31, 2018
Item 1. Reports to Shareholders.
Semi-Annual Report
December 31, 2018
SSGA Active Trust
SPDR
SSGA Multi-Asset Real Return ETF |
SPDR
SSGA Income Allocation ETF |
SPDR
SSGA Global Allocation ETF |
SPDR
SSGA Ultra Short Term Bond ETF |
SPDR
MFS Systematic Core Equity ETF |
SPDR
MFS Systematic Growth Equity ETF |
SPDR
MFS Systematic Value Equity ETF |
IMPORTANT NOTICE: Beginning on January 1, 2021, reports like
this one will no longer automatically be sent by mail. See inside for more information.
The information contained in this report is intended for the
general information of shareholders of the Trust. This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current Trust prospectus which contains important information concerning the Trust. You may
obtain a current prospectus and SAI from the Distributor by calling 1-866-787-2257 or visiting www.spdrs.com. Please read the prospectus carefully before you invest.
Beginning on January 1, 2021, as permitted by regulations
adopted by the U.S. Securities and Exchange Commission, paper copies of a Fund’s annual and semi-annual shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports from the Fund (or from your
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TABLE OF CONTENTS (Unaudited)
The information contained in this report is intended
for the general information of shareholders of the Trust. This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current Trust prospectus which contains important information concerning the Trust.
You may obtain a current prospectus and SAI from the Distributor by calling 1-866-787-2257 or visiting www.spdrs.com. Please read the prospectus carefully before you invest.
SPDR SSGA Multi-Asset Real Return ETF
Portfolio Statistics (Unaudited)
Top Five Holdings as of December 31,
2018
|
|
|
|
|
Description
|
%
of Net Assets |
|
|
Invesco
Optimum Yield Diversified Commodity Strategy No. K-1 ETF |
20.8%
|
|
|
SPDR
S&P Global Natural Resources ETF |
18.5
|
|
|
SPDR
Bloomberg Barclays TIPS ETF |
15.7
|
|
|
SPDR
S&P Global Infrastructure ETF |
10.1
|
|
|
SPDR
Dow Jones International Real Estate ETF |
6.5
|
|
|
TOTAL
|
71.6%
|
|
(The five largest holdings are subject to
change, and there are no guarantees the Fund will continue to remain invested in any particular company.)
Asset Allocation as of December 31,
2018
|
|
|
|
|
|
%
of Net Assets |
|
|
Natural
Resources |
32.1%
|
|
|
Commodities
|
20.8
|
|
|
Inflation
Linked |
15.7
|
|
|
Real
Estate |
12.2
|
|
|
International
Equity |
10.1
|
|
|
International
Fixed Income |
6.3
|
|
|
Short
Term Investments |
4.6
|
|
|
Liabilities
in Excess of Other Assets |
(1.8)
|
|
|
TOTAL
|
100.0%
|
|
(The Fund's asset allocation is expressed as
a percentage of net assets and may change over time.)
See accompanying notes to financial statements.
1
SPDR SSGA Income Allocation ETF
Portfolio Statistics (Unaudited)
Top Five Holdings as of December 31,
2018
|
|
|
|
|
Description
|
%
of Net Assets |
|
|
SPDR
Portfolio S&P 500 High Dividend ETF |
16.5%
|
|
|
SPDR
Portfolio Long Term Treasury ETF |
12.7
|
|
|
SPDR
Bloomberg Barclays High Yield Bond ETF |
10.9
|
|
|
SPDR
Bloomberg Barclays Emerging Markets Local Bond ETF |
10.5
|
|
|
SPDR
Blackstone / GSO Senior Loan ETF |
9.9
|
|
|
TOTAL
|
60.5%
|
|
(The five largest holdings are subject to
change, and there are no guarantees the Fund will continue to remain invested in any particular company.)
Asset Allocation as of December 31,
2018
|
|
|
|
|
|
%
of Net Assets |
|
|
Domestic
Fixed Income |
44.6%
|
|
|
Domestic
Equity |
29.8
|
|
|
International
Fixed Income |
10.5
|
|
|
International
Equity |
9.8
|
|
|
Inflation
Linked |
4.7
|
|
|
Short
Term Investments |
12.1
|
|
|
Liabilities
in Excess of Other Assets |
(11.5)
|
|
|
TOTAL
|
100.0%
|
|
(The Fund's asset allocation is expressed as
a percentage of net assets and may change over time.)
See accompanying notes to financial statements.
2
SPDR SSGA Global Allocation ETF
Portfolio Statistics (Unaudited)
Top Five Holdings as of December 31,
2018
|
|
|
|
|
Description
|
%
of Net Assets |
|
|
SPDR
S&P 500 ETF Trust |
21.5%
|
|
|
SPDR
Portfolio Developed World ex-US ETF |
14.1
|
|
|
SPDR
Bloomberg Barclays High Yield Bond ETF |
6.0
|
|
|
SPDR
Bloomberg Barclays TIPS ETF |
5.2
|
|
|
SPDR
Portfolio Small Cap ETF |
4.8
|
|
|
TOTAL
|
51.6%
|
|
(The five largest holdings are subject to
change, and there are no guarantees the Fund will continue to remain invested in any particular company.)
Asset Allocation as of December 31,
2018
|
|
|
|
|
|
%
of Net Assets |
|
|
Domestic
Equity |
32.2%
|
|
|
International
Equity |
23.1
|
|
|
Domestic
Fixed Income |
20.6
|
|
|
Inflation
Linked |
5.2
|
|
|
Real
Estate |
3.8
|
|
|
International
Fixed Income |
3.1
|
|
|
Natural
Resources |
1.9
|
|
|
Short
Term Investments |
22.0
|
|
|
Liabilities
in Excess of Other Assets |
(11.9)
|
|
|
TOTAL
|
100.0%
|
|
(The Fund's asset allocation is expressed as
a percentage of net assets and may change over time.)
See accompanying notes to financial statements.
3
SPDR SSGA Ultra Short Term Bond ETF
Portfolio Statistics (Unaudited)
Top Five Holdings as of December 31,
2018
|
|
|
|
|
Description
|
%
of Net Assets |
|
|
Treasury
Bills 2.64% 12/5/2019 |
4.7%
|
|
|
Treasury
Bills 2.33% 2/14/2019 |
3.4
|
|
|
Treasury
Notes 1.13% 4/30/2020 |
2.5
|
|
|
Treasury
Notes 2.61% 7/31/2019 |
1.9
|
|
|
Santander
Drive Auto Receivables Trust 2014-4 ABS 3.10% 11/16/2020 |
1.9
|
|
|
TOTAL
|
14.4%
|
|
(The five largest holdings are subject to
change, and there are no guarantees the Fund will continue to remain invested in any particular company.)
Asset Allocation as of December 31,
2018
|
|
|
|
|
|
%
of Net Assets |
|
|
Corporate
Bonds & Notes |
48.4%
|
|
|
Asset-Backed
Securities |
25.1
|
|
|
U.S.
Treasury Obligations |
15.8
|
|
|
Mortgage-Backed
Securities |
0.6
|
|
|
Foreign
Government Obligations |
0.2
|
|
|
Short-Term
Investment |
11.8
|
|
|
Certificate
of Deposit |
0.5
|
|
|
Liabilities
in Excess of Other Assets |
(2.4)
|
|
|
TOTAL
|
100.0%
|
|
(The Fund's asset allocation is expressed as
a percentage of net assets and may change over time.)
See accompanying notes to financial statements.
4
SPDR MFS Systematic Core Equity ETF
Portfolio Statistics (Unaudited)
Top Five Holdings as of December 31,
2018
|
|
|
|
|
Description
|
%
of Net Assets |
|
|
Microsoft
Corp. |
6.8%
|
|
|
Amazon.com,
Inc. |
4.2
|
|
|
Intel
Corp. |
4.2
|
|
|
Eli
Lilly & Co. |
4.1
|
|
|
Boeing
Co. |
4.0
|
|
|
TOTAL
|
23.3%
|
|
(The five largest holdings are subject to
change, and there are no guarantees the Fund will continue to remain invested in any particular company.)
Industry Breakdown as of December 31,
2018
|
|
|
|
|
|
%
of Net Assets |
|
|
Pharmaceuticals
|
10.6%
|
|
|
Software
|
8.3
|
|
|
Insurance
|
6.3
|
|
|
Independent
Power and Renewable Electricity Producers |
5.4
|
|
|
Health
Care Providers & Services |
5.1
|
|
|
Equity
Real Estate Investment Trusts (REITs) |
4.7
|
|
|
Semiconductors
& Semiconductor Equipment |
4.2
|
|
|
Internet
& Direct Marketing Retail |
4.2
|
|
|
IT
Services |
4.1
|
|
|
Banks
|
4.1
|
|
|
Hotels,
Restaurants & Leisure |
4.1
|
|
|
Machinery
|
4.0
|
|
|
Aerospace
& Defense |
4.0
|
|
|
Oil,
Gas & Consumable Fuels |
4.0
|
|
|
Technology
Hardware, Storage & Peripherals |
3.8
|
|
|
Food
& Staples Retailing |
2.8
|
|
|
Food
Products |
2.7
|
|
|
Road
& Rail |
2.6
|
|
|
Media
|
2.5
|
|
|
Tobacco
|
2.3
|
|
|
Electric
Utilities |
2.3
|
|
|
Interactive
Media & Services |
2.2
|
|
|
Beverages
|
1.5
|
|
|
Biotechnology
|
1.1
|
|
|
Consumer
Finance |
1.0
|
|
|
Household
Products |
0.6
|
|
|
Chemicals
|
0.5
|
|
|
Short
Term Investments |
0.9
|
|
|
Other
Assets in Excess of Liabilities |
0.1
|
|
|
TOTAL
|
100.0%
|
|
(The Fund's industry breakdown is expressed
as a percentage of net assets and may change over time.)
See accompanying notes to financial statements.
5
SPDR MFS Systematic Growth Equity ETF
Portfolio Statistics (Unaudited)
Top Five Holdings as of December 31,
2018
|
|
|
|
|
Description
|
%
of Net Assets |
|
|
Amazon.com,
Inc. |
8.0%
|
|
|
Apple,
Inc. |
5.6
|
|
|
Boeing
Co. |
4.7
|
|
|
Microsoft
Corp. |
4.1
|
|
|
Adobe,
Inc. |
4.0
|
|
|
TOTAL
|
26.4%
|
|
(The five largest holdings are subject to
change, and there are no guarantees the Fund will continue to remain invested in any particular company.)
Industry Breakdown as of December 31,
2018
|
|
|
|
|
|
%
of Net Assets |
|
|
Internet
& Direct Marketing Retail |
11.6%
|
|
|
Software
|
10.4
|
|
|
Health
Care Providers & Services |
9.9
|
|
|
Biotechnology
|
6.5
|
|
|
Hotels,
Restaurants & Leisure |
5.9
|
|
|
Technology
Hardware, Storage & Peripherals |
5.6
|
|
|
IT
Services |
5.6
|
|
|
Pharmaceuticals
|
5.2
|
|
|
Aerospace
& Defense |
4.7
|
|
|
Tobacco
|
3.7
|
|
|
Insurance
|
3.2
|
|
|
Independent
Power & Renewable Electricity Producers |
3.2
|
|
|
Semiconductors
& Semiconductor Equipment |
2.9
|
|
|
Interactive
Media & Services |
2.6
|
|
|
Specialty
Retail |
2.2
|
|
|
Machinery
|
2.1
|
|
|
Entertainment
|
2.0
|
|
|
Chemicals
|
1.9
|
|
|
Equity
Real Estate Investment Trusts (REITs) |
1.8
|
|
|
Electrical
Equipment |
1.5
|
|
|
Consumer
Finance |
1.1
|
|
|
Capital
Markets |
1.1
|
|
|
Food
Products |
0.9
|
|
|
Professional
Services |
0.8
|
|
|
Road
& Rail |
0.8
|
|
|
Trading
Companies & Distributors |
0.7
|
|
|
Household
Durables |
0.7
|
|
|
Auto
Components |
0.4
|
|
|
Short-Term
Investment |
1.0
|
|
|
Other
Assets in Excess of Liabilities |
0.0*
|
|
|
TOTAL
|
100.0%
|
|
*
|
Amount
shown represents less than 0.05% of net assets. |
(The Fund's industry breakdown is expressed
as a percentage of net assets and may change over time.)
See accompanying notes to financial statements.
6
SPDR MFS Systematic Value Equity ETF
Portfolio Statistics (Unaudited)
Top Five Holdings as of December 31,
2018
|
|
|
|
|
Description
|
%
of Net Assets |
|
|
Bank
of America Corp. |
4.5%
|
|
|
JPMorgan
Chase & Co. |
4.0
|
|
|
Intel
Corp. |
4.0
|
|
|
Johnson
& Johnson |
3.9
|
|
|
Exelon
Corp. |
3.7
|
|
|
TOTAL
|
20.1%
|
|
(The five largest holdings are subject to
change, and there are no guarantees the Fund will continue to remain invested in any particular company.)
Industry Breakdown as of December 31,
2018
|
|
|
|
|
|
%
of Net Assets |
|
|
Pharmaceuticals
|
11.4%
|
|
|
Banks
|
9.4
|
|
|
Oil,
Gas & Consumable Fuels |
9.1
|
|
|
Equity
Real Estate Investment Trusts (REITs) |
6.7
|
|
|
Independent
Power and Renewable Electricity Producers |
5.5
|
|
|
Insurance
|
5.1
|
|
|
Health
Care Providers & Services |
4.9
|
|
|
Electrical
Equipment |
4.5
|
|
|
Semiconductors
& Semiconductor Equipment |
4.0
|
|
|
Electric
Utilities |
3.7
|
|
|
Communications
Equipment |
2.7
|
|
|
Tobacco
|
2.7
|
|
|
Consumer
Finance |
2.7
|
|
|
Road
& Rail |
2.7
|
|
|
Household
Durables |
2.6
|
|
|
Food
& Staples Retailing |
2.3
|
|
|
Chemicals
|
2.3
|
|
|
Machinery
|
2.3
|
|
|
Media
|
2.2
|
|
|
Food
Products |
2.1
|
|
|
Beverages
|
1.6
|
|
|
Diversified
Telecommunication Services |
1.5
|
|
|
IT
Services |
1.5
|
|
|
Hotels,
Restaurants & Leisure |
1.4
|
|
|
Software
|
1.1
|
|
|
Health
Care Equipment & Supplies |
0.8
|
|
|
Multiline
Retail |
0.7
|
|
|
Biotechnology
|
0.6
|
|
|
Short
Term Investments |
1.9
|
|
|
Other
Assets in Excess of Liabilities |
0.0*
|
|
|
TOTAL
|
100.0%
|
|
*
|
Amount
shown represents less than 0.05% of net assets. |
|
|
(The Fund's industry breakdown is expressed
as a percentage of net assets and may change over time.)
See accompanying notes to financial statements.
7
SPDR SSGA MULTI-ASSET REAL RETURN ETF
SCHEDULE OF INVESTMENTS
December 31, 2018 (Unaudited)
Security
Description |
|
|
Shares
|
|
Value
|
MUTUAL
FUNDS AND EXCHANGE TRADED PRODUCTS — 97.2% |
|
|
|
COMMODITIES
— 20.8% |
|
Invesco Optimum Yield Diversified Commodity Strategy No. K-1
ETF
|
|
|
1,858,357
|
|
$
28,005,440 |
INFLATION
LINKED — 15.7% |
|
SPDR Bloomberg Barclays TIPS ETF
(a)
|
|
|
393,488
|
|
21,205,068
|
INTERNATIONAL
EQUITY — 10.1% |
|
SPDR S&P Global Infrastructure ETF
(a)
|
|
|
300,594
|
|
13,565,807
|
INTERNATIONAL
FIXED INCOME — 6.3% |
|
SPDR FTSE International Government Inflation-Protected Bond ETF
(a)
|
|
|
162,450
|
|
8,452,274
|
NATURAL
RESOURCES — 32.1% |
|
Invesco Global Agriculture
ETF
|
|
|
169,858
|
|
4,127,549
|
SPDR S&P Global Natural Resources ETF
(a)
|
|
|
606,870
|
|
25,027,319
|
SPDR S&P Metals & Mining ETF
(a)(b)
|
|
|
203,988
|
|
5,342,446
|
SPDR S&P Oil & Gas Equipment & Services ETF
(a)(b)
|
|
|
271,949
|
|
2,450,260
|
The Energy Select Sector SPDR Fund
(a)
|
|
|
112,046
|
|
6,425,838
|
|
|
|
|
|
43,373,412
|
REAL
ESTATE — 12.2% |
|
SPDR Dow Jones International Real Estate ETF
(a)
|
|
|
249,186
|
|
8,806,233
|
SPDR Dow Jones REIT ETF
(a)(b)
|
|
|
89,458
|
|
7,693,388
|
|
|
|
|
|
16,499,621
|
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS (Cost
$147,075,522)
|
|
131,101,622
|
|
Security
Description |
|
|
Shares
|
|
Value
|
SHORT-TERM
INVESTMENTS — 4.6% |
|
|
|
State Street Institutional U.S. Government Money Market Fund, Class G Shares 2.31%
(c)(d)
|
|
|
3,798,190
|
|
$
3,798,190 |
State Street Navigator Securities Lending Government Money Market Portfolio
(c)(e)
|
|
|
2,474,439
|
|
2,474,439
|
TOTAL SHORT-TERM INVESTMENTS (Cost
$6,272,629)
|
|
|
|
|
$
6,272,629 |
TOTAL INVESTMENTS—101.8% (Cost
$153,348,151)
|
|
|
|
|
137,374,251
|
LIABILITIES IN EXCESS OF OTHER
ASSETS—(1.8)%
|
|
|
|
|
(2,470,593)
|
NET
ASSETS—100.0%
|
|
|
|
|
$
134,903,658 |
(a)
|
Affiliated
fund managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2018 are shown in the Affiliate Table below. |
(b)
|
All
or a portion of the shares of the security are on loan at December 31, 2018. |
(c)
|
The
Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2018 are shown in the Affiliate Table below. |
(d)
|
The
rate shown is the annualized seven-day yield at December 31, 2018. |
(e)
|
Investment
of cash collateral for securities loaned. |
The following table summarizes the value
of the Fund's investments according to the fair value hierarchy as of December 31, 2018.
Description
|
|
Level
1 – Quoted Prices |
|
Level
2 – Other Significant Observable Inputs |
|
Level
3 – Significant Unobservable Inputs |
|
Total
|
ASSETS:
|
|
|
|
|
|
|
|
|
INVESTMENTS:
|
|
|
|
|
|
|
|
|
Mutual Funds and Exchange Traded
Products
|
|
$131,101,622
|
|
$—
|
|
$—
|
|
$131,101,622
|
Short-Term
Investments
|
|
6,272,629
|
|
—
|
|
—
|
|
6,272,629
|
TOTAL
INVESTMENTS
|
|
$137,374,251
|
|
$—
|
|
$—
|
|
$137,374,251
|
See accompanying notes to financial statements.
8
SPDR SSGA MULTI-ASSET REAL RETURN ETF
SCHEDULE OF
INVESTMENTS (continued)
December 31, 2018 (Unaudited)
Affiliate Table
|
Number
of Shares Held at 6/30/18 |
|
Value
at 6/30/18 |
|
Cost
of Purchases |
|
Proceeds
from Shares Sold |
|
Realized
Gain (Loss) |
|
Change
in Unrealized Appreciation/ Depreciation |
|
Number
of Shares Held at 12/31/18 |
|
Value
at 12/31/18 |
|
Dividend
Income |
|
Capital
Gains Distributions |
SPDR Bloomberg Barclays TIPS
ETF
|
381,395
|
|
$
21,178,864 |
|
$
4,431,419 |
|
$
3,775,138 |
|
$
(76,335) |
|
$
(553,742) |
|
393,488
|
|
$
21,205,068 |
|
$
318,364 |
|
$—
|
SPDR Dow Jones International Real Estate
ETF
|
219,619
|
|
8,595,887
|
|
2,168,164
|
|
1,082,947
|
|
(29,898)
|
|
(844,973)
|
|
249,186
|
|
8,806,233
|
|
307,330
|
|
—
|
SPDR Dow Jones REIT
ETF
|
55,830
|
|
5,245,787
|
|
4,556,435
|
|
1,372,057
|
|
67,749
|
|
(804,526)
|
|
89,458
|
|
7,693,388
|
|
188,179
|
|
—
|
SPDR FTSE International Government Inflation-Protected Bond
ETF
|
160,079
|
|
8,682,685
|
|
1,436,751
|
|
1,318,833
|
|
(87,076)
|
|
(261,253)
|
|
162,450
|
|
8,452,274
|
|
215,945
|
|
—
|
SPDR S&P Global Infrastructure
ETF
|
214,010
|
|
10,552,534
|
|
6,493,312
|
|
2,295,064
|
|
(22,304)
|
|
(1,162,671)
|
|
300,594
|
|
13,565,807
|
|
229,000
|
|
—
|
SPDR S&P Global Natural Resources
ETF
|
748,533
|
|
37,486,532
|
|
5,442,169
|
|
11,983,039
|
|
(632,208)
|
|
(5,286,135)
|
|
606,870
|
|
25,027,319
|
|
484,203
|
|
—
|
SPDR S&P Metals & Mining
ETF
|
153,827
|
|
5,456,244
|
|
1,958,056
|
|
444,627
|
|
77,405
|
|
(1,704,632)
|
|
203,988
|
|
5,342,446
|
|
29,827
|
|
—
|
SPDR S&P Oil & Gas Equipment & Services
ETF
|
172,636
|
|
2,927,906
|
|
1,349,978
|
|
220,801
|
|
(3,483)
|
|
(1,603,340)
|
|
271,949
|
|
2,450,260
|
|
11,089
|
|
—
|
State Street Institutional U.S. Government Money Market Fund, Class G
Shares
|
12,678
|
|
12,678
|
|
4,943,904
|
|
1,158,392
|
|
—
|
|
—
|
|
3,798,190
|
|
3,798,190
|
|
10,480
|
|
—
|
State Street Navigator Securities Lending Government Money Market
Portfolio
|
7,809,131
|
|
7,809,131
|
|
114,296,930
|
|
119,631,622
|
|
—
|
|
—
|
|
2,474,439
|
|
2,474,439
|
|
77,617
|
|
—
|
The Energy Select Sector SPDR
Fund
|
95,071
|
|
7,219,692
|
|
1,651,704
|
|
558,804
|
|
18,716
|
|
(1,905,470)
|
|
112,046
|
|
6,425,838
|
|
106,415
|
|
—
|
Total
|
|
|
$115,167,940
|
|
$148,728,822
|
|
$143,841,324
|
|
$(687,434)
|
|
$(14,126,742)
|
|
|
|
$105,241,262
|
|
$1,978,449
|
|
$—
|
See accompanying notes to financial statements.
9
SPDR SSGA INCOME ALLOCATION ETF
SCHEDULE OF INVESTMENTS
December 31, 2018 (Unaudited)
Security
Description |
|
|
Shares
|
|
Value
|
MUTUAL
FUNDS AND EXCHANGE TRADED PRODUCTS — 99.4% |
|
|
|
DOMESTIC
EQUITY — 29.8% |
|
Invesco KBW Premium Yield Equity REIT
ETF
|
|
|
130,780
|
|
$
3,527,137 |
iShares Mortgage Real Estate ETF
(a)
|
|
|
120,138
|
|
4,798,312
|
SPDR Portfolio S&P 500 High Dividend ETF
(a)(b)
|
|
|
488,542
|
|
16,644,626
|
SPDR Wells Fargo Preferred Stock ETF
(b)
|
|
|
129,756
|
|
5,133,147
|
|
|
|
|
|
30,103,222
|
DOMESTIC
FIXED INCOME — 44.6% |
|
SPDR Blackstone / GSO Senior Loan ETF
(a)(b)
|
|
|
223,040
|
|
9,969,888
|
SPDR Bloomberg Barclays Convertible Securities ETF
(a)(b)
|
|
|
104,957
|
|
4,910,938
|
SPDR Bloomberg Barclays High Yield Bond ETF
(a)(b)
|
|
|
326,280
|
|
10,959,745
|
SPDR Portfolio Intermediate Term Corporate Bond ETF
(a)(b)
|
|
|
31,803
|
|
1,050,771
|
SPDR Portfolio Long Term Corporate Bond ETF
(b)
|
|
|
206,156
|
|
5,232,240
|
SPDR Portfolio Long Term Treasury ETF
(b)
|
|
|
367,372
|
|
12,872,715
|
|
|
|
|
|
44,996,297
|
INFLATION
LINKED — 4.7% |
|
SPDR Bloomberg Barclays TIPS ETF
(b)
|
|
|
88,704
|
|
4,780,259
|
INTERNATIONAL
EQUITY — 9.8% |
|
SPDR S&P Global Infrastructure ETF
(b)
|
|
|
109,373
|
|
4,936,003
|
SPDR S&P International Dividend ETF
(b)
|
|
|
142,577
|
|
4,984,492
|
|
|
|
|
|
9,920,495
|
Security
Description |
|
|
Shares
|
|
Value
|
INTERNATIONAL
FIXED INCOME — 10.5% |
|
SPDR Bloomberg Barclays Emerging Markets Local Bond ETF
(a)(b)
|
|
|
399,722
|
|
$
10,600,627 |
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS (Cost
$107,602,785)
|
|
100,400,900
|
|
SHORT-TERM
INVESTMENTS — 12.1% |
|
|
|
State Street Institutional U.S. Government Money Market Fund, Class G Shares 2.31%
(c)(d)
|
|
|
511,052
|
|
511,052
|
State Street Navigator Securities Lending Government Money Market Portfolio
(c)(e)
|
|
|
11,704,139
|
|
11,704,139
|
TOTAL SHORT-TERM INVESTMENTS (Cost
$12,215,191)
|
|
|
|
|
$
12,215,191 |
TOTAL INVESTMENTS—111.5% (Cost
$119,817,976)
|
|
|
|
|
112,616,091
|
LIABILITIES IN EXCESS OF OTHER
ASSETS—(11.5)%
|
|
|
|
|
(11,641,495)
|
NET
ASSETS—100.0%
|
|
|
|
|
$
100,974,596 |
(a)
|
All
or a portion of the shares of the security are on loan at December 31, 2018. |
(b)
|
Affiliated
fund managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2018 are shown in the Affiliate Table below. |
(c)
|
The
Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2018 are shown in the Affiliate Table below. |
(d)
|
The
rate shown is the annualized seven-day yield at December 31, 2018. |
(e)
|
Investment
of cash collateral for securities loaned. |
The following table summarizes the value
of the Fund's investments according to the fair value hierarchy as of December 31, 2018.
Description
|
|
Level
1 – Quoted Prices |
|
Level
2 – Other Significant Observable Inputs |
|
Level
3 – Significant Unobservable Inputs |
|
Total
|
ASSETS:
|
|
|
|
|
|
|
|
|
INVESTMENTS:
|
|
|
|
|
|
|
|
|
Mutual Funds and Exchange Traded
Products
|
|
$100,400,900
|
|
$—
|
|
$—
|
|
$100,400,900
|
Short-Term
Investments
|
|
12,215,191
|
|
—
|
|
—
|
|
12,215,191
|
TOTAL
INVESTMENTS
|
|
$112,616,091
|
|
$—
|
|
$—
|
|
$112,616,091
|
See accompanying notes to financial statements.
10
SPDR SSGA INCOME ALLOCATION ETF
SCHEDULE OF
INVESTMENTS (continued)
December 31, 2018 (Unaudited)
Affiliate Table
|
Number
of Shares Held at 6/30/18 |
|
Value
at 6/30/18 |
|
Cost
of Purchases |
|
Proceeds
from Shares Sold |
|
Realized
Gain (Loss) |
|
Change
in Unrealized Appreciation/ Depreciation |
|
Number
of Shares Held at 12/31/18 |
|
Value
at 12/31/18 |
|
Dividend
Income |
|
Capital
Gains Distributions |
SPDR Blackstone / GSO Senior Loan
ETF
|
—
|
|
$
— |
|
$
10,709,460 |
|
$
225,906 |
|
$
(15) |
|
$
(513,651) |
|
223,040
|
|
$
9,969,888 |
|
$
161,832 |
|
$—
|
SPDR Bloomberg Barclays Convertible Securities
ETF
|
87,008
|
|
4,613,164
|
|
916,717
|
|
7,925
|
|
464
|
|
(611,482)
|
|
104,957
|
|
4,910,938
|
|
234,029
|
|
—
|
SPDR Bloomberg Barclays Emerging Markets Local Bond
ETF
|
169,930
|
|
4,581,313
|
|
6,438,514
|
|
492,791
|
|
(75,953)
|
|
149,544
|
|
399,722
|
|
10,600,627
|
|
210,180
|
|
—
|
SPDR Bloomberg Barclays High Yield Bond
ETF
|
233,882
|
|
8,298,133
|
|
3,404,930
|
|
142,912
|
|
(6,843)
|
|
(593,563)
|
|
326,280
|
|
10,959,745
|
|
322,879
|
|
—
|
SPDR Bloomberg Barclays Long Term Corporate Bond
ETF
|
359,992
|
|
9,402,991
|
|
763,660
|
|
4,827,205
|
|
(186,713)
|
|
79,507
|
|
206,156
|
|
5,232,240
|
|
175,422
|
|
—
|
SPDR Bloomberg Barclays TIPS
ETF
|
85,518
|
|
4,748,815
|
|
716,639
|
|
554,507
|
|
(15,962)
|
|
(114,726)
|
|
88,704
|
|
4,780,259
|
|
70,056
|
|
—
|
SPDR Dow Jones International Real Estate
ETF
|
87,581
|
|
3,427,920
|
|
68,649
|
|
3,453,599
|
|
(109,328)
|
|
66,358
|
|
—
|
|
—
|
|
109,022
|
|
—
|
SPDR Dow Jones REIT
ETF
|
27,950
|
|
2,626,182
|
|
—
|
|
2,694,037
|
|
540,341
|
|
(472,486)
|
|
—
|
|
—
|
|
—
|
|
—
|
SPDR MSCI Emerging Markets StrategicFactors
ETF
|
89,470
|
|
5,308,255
|
|
—
|
|
5,191,851
|
|
464,242
|
|
(580,646)
|
|
—
|
|
—
|
|
—
|
|
—
|
SPDR Portfolio Intermediate Term Corporate Bond
ETF
|
85,069
|
|
2,831,947
|
|
2,915,633
|
|
4,697,696
|
|
(20,845)
|
|
21,732
|
|
31,803
|
|
1,050,771
|
|
34,906
|
|
—
|
SPDR Portfolio Long Term Treasury
ETF
|
191,485
|
|
6,707,624
|
|
6,452,575
|
|
418,628
|
|
(13,178)
|
|
144,322
|
|
367,372
|
|
12,872,715
|
|
161,070
|
|
—
|
SPDR Portfolio S&P 500 High Dividend
ETF
|
—
|
|
—
|
|
19,272,555
|
|
615,804
|
|
(20,260)
|
|
(1,991,865)
|
|
488,542
|
|
16,644,626
|
|
400,657
|
|
—
|
SPDR S&P Dividend
ETF
|
150,116
|
|
13,915,753
|
|
575,107
|
|
15,425,617
|
|
3,000,015
|
|
(2,065,258)
|
|
—
|
|
—
|
|
—
|
|
—
|
SPDR S&P Global Infrastructure
ETF
|
98,391
|
|
4,851,522
|
|
797,999
|
|
288,794
|
|
(22,283)
|
|
(402,441)
|
|
109,373
|
|
4,936,003
|
|
86,651
|
|
—
|
SPDR S&P International Dividend
ETF
|
214,263
|
|
8,208,416
|
|
786,258
|
|
3,623,291
|
|
(5,403)
|
|
(381,488)
|
|
142,577
|
|
4,984,492
|
|
109,022
|
|
—
|
SPDR STOXX Europe 50
ETF
|
81,394
|
|
2,720,993
|
|
34,031
|
|
2,689,441
|
|
(114,800)
|
|
49,217
|
|
—
|
|
—
|
|
4,765
|
|
—
|
SPDR Wells Fargo Preferred Stock
ETF
|
108,376
|
|
4,711,105
|
|
945,931
|
|
85,986
|
|
(4,847)
|
|
(433,056)
|
|
129,756
|
|
5,133,147
|
|
177,768
|
|
—
|
State Street Institutional U.S. Government Money Market Fund, Class G
Shares
|
—
|
|
—
|
|
3,346,036
|
|
2,834,984
|
|
—
|
|
—
|
|
511,052
|
|
511,052
|
|
7,727
|
|
—
|
State Street Navigator Securities Lending Government Money Market
Portfolio
|
12,183,127
|
|
12,183,127
|
|
114,292,218
|
|
114,771,206
|
|
—
|
|
—
|
|
11,704,139
|
|
11,704,139
|
|
76,371
|
|
—
|
The Energy Select Sector SPDR
Fund
|
24,486
|
|
1,859,467
|
|
—
|
|
1,832,828
|
|
(51,046)
|
|
24,407
|
|
—
|
|
—
|
|
—
|
|
—
|
The Industrial Select Sector SPDR
Fund
|
24,633
|
|
1,764,462
|
|
63,414
|
|
1,995,009
|
|
110,507
|
|
56,626
|
|
—
|
|
—
|
|
—
|
|
—
|
The Technology Select Sector SPDR
Fund
|
26,269
|
|
1,824,907
|
|
—
|
|
1,943,353
|
|
704,034
|
|
(585,588)
|
|
—
|
|
—
|
|
—
|
|
—
|
Total
|
|
|
$104,586,096
|
|
$172,500,326
|
|
$168,813,370
|
|
$4,172,127
|
|
$(8,154,537)
|
|
|
|
$104,290,642
|
|
$2,342,357
|
|
$—
|
See accompanying notes to financial statements.
11
SPDR SSGA GLOBAL ALLOCATION ETF
SCHEDULE OF INVESTMENTS
December 31, 2018 (Unaudited)
Security
Description |
|
|
Shares
|
|
Value
|
MUTUAL
FUNDS AND EXCHANGE TRADED PRODUCTS — 89.9% |
|
|
|
DOMESTIC
EQUITY — 32.2% |
|
SPDR Portfolio Small Cap ETF
(a)(b)
|
|
|
480,946
|
|
$
12,677,736 |
SPDR S&P 500 ETF Trust
(a)(b)
|
|
|
228,053
|
|
56,995,006
|
SPDR S&P MidCap 400 ETF Trust
(a)(b)
|
|
|
16,979
|
|
5,139,034
|
The Consumer Discretionary Select Sector SPDR Fund
(a)(b)
|
|
|
52,959
|
|
5,243,471
|
The Technology Select Sector SPDR Fund
(a)(b)
|
|
|
83,663
|
|
5,185,433
|
|
|
|
|
|
85,240,680
|
DOMESTIC
FIXED INCOME — 20.6% |
|
SPDR Bloomberg Barclays High Yield Bond ETF
(a)
|
|
|
477,116
|
|
16,026,326
|
SPDR Bloomberg Barclays Intermediate Term Treasury ETF
(a)(b)
|
|
|
93,013
|
|
5,538,924
|
SPDR Bloomberg Barclays Short Term High Yield Bond ETF
(a)(b)
|
|
|
206,058
|
|
5,363,690
|
SPDR Portfolio Aggregate Bond ETF
(a)(b)
|
|
|
395,930
|
|
11,026,650
|
SPDR Portfolio Intermediate Term Corporate Bond ETF
(a)(b)
|
|
|
166,395
|
|
5,497,691
|
SPDR Portfolio Long Term Treasury ETF
(a)
|
|
|
319,193
|
|
11,184,523
|
|
|
|
|
|
54,637,804
|
INFLATION
LINKED — 5.2% |
|
SPDR Bloomberg Barclays TIPS ETF
(a)
|
|
|
253,843
|
|
13,679,599
|
INTERNATIONAL
EQUITY — 23.1% |
|
SPDR Portfolio Developed World ex-US ETF
(a)(b)
|
|
|
1,407,098
|
|
37,217,742
|
SPDR Portfolio Emerging Markets ETF
(a)(b)
|
|
|
335,893
|
|
10,869,498
|
SPDR S&P International Small Cap ETF
(a)(b)
|
|
|
278,947
|
|
7,788,200
|
Vanguard FTSE Pacific ETF
(b)
|
|
|
86,637
|
|
5,252,801
|
|
|
|
|
|
61,128,241
|
INTERNATIONAL
FIXED INCOME — 3.1% |
|
SPDR Bloomberg Barclays Emerging Markets Local Bond ETF
(a)
|
|
|
104,816
|
|
2,779,720
|
Security
Description |
|
|
Shares
|
|
Value
|
SPDR Bloomberg Barclays International Corporate Bond ETF
(a)(b)
|
|
|
169,247
|
|
$
5,574,996 |
|
|
|
|
|
8,354,716
|
NATURAL
RESOURCES — 1.9% |
|
The Energy Select Sector SPDR Fund
(a)(b)
|
|
|
86,820
|
|
4,979,127
|
REAL
ESTATE — 3.8% |
|
SPDR Dow Jones International Real Estate ETF
(a)(b)
|
|
|
148,255
|
|
5,239,332
|
SPDR Dow Jones REIT ETF
(a)
|
|
|
57,688
|
|
4,961,168
|
|
|
|
|
|
10,200,500
|
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS (Cost
$241,151,724)
|
|
238,220,667
|
|
SHORT-TERM
INVESTMENTS — 22.0% |
|
|
|
State Street Institutional U.S. Government Money Market Fund, Class G Shares 2.31%
(c)(d)
|
|
|
26,913,364
|
|
26,913,364
|
State Street Navigator Securities Lending Government Money Market Portfolio
(c)(e)
|
|
|
31,494,853
|
|
31,494,853
|
TOTAL SHORT-TERM INVESTMENTS (Cost
$58,408,217)
|
|
|
|
|
$
58,408,217 |
TOTAL INVESTMENTS—111.9% (Cost
$299,559,941)
|
|
|
|
|
296,628,884
|
LIABILITIES IN EXCESS OF OTHER
ASSETS—(11.9)%
|
|
|
|
|
(31,619,713)
|
NET
ASSETS—100.0%
|
|
|
|
|
$
265,009,171 |
(a)
|
Affiliated
fund managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2018 are shown in the Affiliate Table below. |
(b)
|
All
or a portion of the shares of the security are on loan at December 31, 2018. |
(c)
|
The
Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2018 are shown in the Affiliate Table below. |
(d)
|
The
rate shown is the annualized seven-day yield at December 31, 2018. |
(e)
|
Investment
of cash collateral for securities loaned. |
See accompanying notes to financial statements.
12
SPDR SSGA GLOBAL ALLOCATION ETF
SCHEDULE OF
INVESTMENTS (continued)
December 31, 2018 (Unaudited)
The following table summarizes the value of the Fund's investments according to the fair value hierarchy as of December 31, 2018.
Description
|
|
Level
1 – Quoted Prices |
|
Level
2 – Other Significant Observable Inputs |
|
Level
3 – Significant Unobservable Inputs |
|
Total
|
ASSETS:
|
|
|
|
|
|
|
|
|
INVESTMENTS:
|
|
|
|
|
|
|
|
|
Mutual Funds and Exchange Traded
Products
|
|
$238,220,667
|
|
$—
|
|
$—
|
|
$238,220,667
|
Short-Term
Investments
|
|
58,408,217
|
|
—
|
|
—
|
|
58,408,217
|
TOTAL
INVESTMENTS
|
|
$296,628,884
|
|
$—
|
|
$—
|
|
$296,628,884
|
See accompanying notes to financial statements.
13
SPDR SSGA GLOBAL ALLOCATION ETF
SCHEDULE OF
INVESTMENTS (continued)
December 31, 2018 (Unaudited)
Affiliate Table
|
Number
of Shares Held at 6/30/18 |
|
Value
at 6/30/18 |
|
Cost
of Purchases |
|
Proceeds
from Shares Sold |
|
Realized
Gain (Loss) |
|
Change
in Unrealized Appreciation/ Depreciation |
|
Number
of Shares Held at 12/31/18 |
|
Value
at 12/31/18 |
|
Dividend
Income |
|
Capital
Gains Distributions |
SPDR Bloomberg Barclays Emerging Markets Local Bond
ETF
|
92,904
|
|
$
2,504,692 |
|
$
618,509 |
|
$
305,199 |
|
$
(12,237) |
|
$
(26,045) |
|
104,816
|
|
$
2,779,720 |
|
$
70,878 |
|
$—
|
SPDR Bloomberg Barclays High Yield Bond
ETF
|
143,202
|
|
5,080,807
|
|
13,556,671
|
|
1,635,562
|
|
(20,927)
|
|
(954,663)
|
|
477,116
|
|
16,026,326
|
|
397,396
|
|
—
|
SPDR Bloomberg Barclays Intermediate Term Treasury
ETF
|
87,887
|
|
5,158,088
|
|
1,205,856
|
|
904,547
|
|
(2,461)
|
|
81,988
|
|
93,013
|
|
5,538,924
|
|
69,587
|
|
—
|
SPDR Bloomberg Barclays International Corporate Bond
ETF
|
151,066
|
|
5,109,052
|
|
1,197,995
|
|
604,114
|
|
(16,276)
|
|
(111,661)
|
|
169,247
|
|
5,574,996
|
|
21,527
|
|
—
|
SPDR Bloomberg Barclays Short Term High Yield Bond
ETF
|
186,886
|
|
5,100,119
|
|
1,188,541
|
|
676,084
|
|
(8,050)
|
|
(240,836)
|
|
206,058
|
|
5,363,690
|
|
169,038
|
|
—
|
SPDR Bloomberg Barclays TIPS
ETF
|
232,855
|
|
12,930,438
|
|
3,002,974
|
|
1,865,692
|
|
(34,622)
|
|
(353,499)
|
|
253,843
|
|
13,679,599
|
|
197,018
|
|
—
|
SPDR Dow Jones International Real Estate
ETF
|
63,705
|
|
2,493,414
|
|
3,951,479
|
|
708,155
|
|
(29,624)
|
|
(467,782)
|
|
148,255
|
|
5,239,332
|
|
193,054
|
|
—
|
SPDR Dow Jones REIT
ETF
|
—
|
|
—
|
|
6,415,164
|
|
860,868
|
|
(20,956)
|
|
(572,172)
|
|
57,688
|
|
4,961,168
|
|
125,785
|
|
—
|
SPDR Portfolio Aggregate Bond
ETF
|
—
|
|
—
|
|
11,536,647
|
|
575,040
|
|
1,752
|
|
63,291
|
|
395,930
|
|
11,026,650
|
|
28,490
|
|
—
|
SPDR Portfolio Developed World ex-US
ETF
|
1,519,455
|
|
46,191,432
|
|
10,273,851
|
|
13,906,305
|
|
628,883
|
|
(5,970,119)
|
|
1,407,098
|
|
37,217,742
|
|
412,851
|
|
—
|
SPDR Portfolio Emerging Markets
ETF
|
545,940
|
|
19,293,520
|
|
2,417,870
|
|
9,645,237
|
|
(18,771)
|
|
(1,177,884)
|
|
335,893
|
|
10,869,498
|
|
152,765
|
|
—
|
SPDR Portfolio Intermediate Term Corporate Bond
ETF
|
154,667
|
|
5,148,865
|
|
1,201,561
|
|
813,850
|
|
(13,202)
|
|
(25,683)
|
|
166,395
|
|
5,497,691
|
|
98,857
|
|
—
|
SPDR Portfolio Long Term Treasury
ETF
|
149,332
|
|
5,231,025
|
|
7,952,648
|
|
2,034,636
|
|
(5,595)
|
|
41,081
|
|
319,193
|
|
11,184,523
|
|
161,041
|
|
—
|
SPDR Portfolio Small Cap
ETF
|
233,351
|
|
7,532,570
|
|
8,955,933
|
|
1,300,875
|
|
160,091
|
|
(2,669,983)
|
|
480,946
|
|
12,677,736
|
|
113,314
|
|
—
|
SPDR S&P 500 ETF
Trust
|
230,121
|
|
62,427,225
|
|
15,320,637
|
|
15,665,163
|
|
935,939
|
|
(6,023,632)
|
|
228,053
|
|
56,995,006
|
|
643,143
|
|
—
|
SPDR S&P International Small Cap
ETF
|
212,042
|
|
7,277,281
|
|
2,713,653
|
|
611,662
|
|
8,681
|
|
(1,599,753)
|
|
278,947
|
|
7,788,200
|
|
216,182
|
|
—
|
SPDR S&P MidCap 400 ETF
Trust
|
14,060
|
|
4,991,581
|
|
1,531,343
|
|
563,244
|
|
61,725
|
|
(882,371)
|
|
16,979
|
|
5,139,034
|
|
36,904
|
|
—
|
State Street Institutional U.S. Government Money Market Fund, Class G
Shares
|
19,809,280
|
|
19,809,280
|
|
21,625,046
|
|
14,520,962
|
|
—
|
|
—
|
|
26,913,364
|
|
26,913,364
|
|
227,013
|
|
—
|
State Street Navigator Securities Lending Government Money Market
Portfolio
|
8,492,442
|
|
8,492,442
|
|
142,634,033
|
|
119,631,622
|
|
—
|
|
—
|
|
31,494,853
|
|
31,494,853
|
|
208,124
|
|
—
|
The Consumer Discretionary Select Sector SPDR
Fund
|
—
|
|
—
|
|
6,651,504
|
|
678,119
|
|
(18,196)
|
|
(711,718)
|
|
52,959
|
|
5,243,471
|
|
37,053
|
|
—
|
The Energy Select Sector SPDR
Fund
|
66,339
|
|
5,037,784
|
|
6,140,195
|
|
5,220,963
|
|
(148,402)
|
|
(829,487)
|
|
86,820
|
|
4,979,127
|
|
48,126
|
|
—
|
The Industrial Select Sector SPDR
Fund
|
66,988
|
|
4,798,351
|
|
216,722
|
|
5,058,045
|
|
(111,132)
|
|
154,104
|
|
—
|
|
—
|
|
24,826
|
|
—
|
The Technology Select Sector SPDR
Fund
|
71,494
|
|
4,966,688
|
|
1,439,829
|
|
635,974
|
|
159,165
|
|
(744,275)
|
|
83,663
|
|
5,185,433
|
|
40,587
|
|
—
|
Total
|
|
|
$239,574,654
|
|
$271,748,661
|
|
$198,421,918
|
|
$1,495,785
|
|
$(23,021,099)
|
|
|
|
$291,376,083
|
|
$3,693,559
|
|
$—
|
See accompanying notes to financial statements.
14
SPDR SSGA ULTRA SHORT TERM BOND ETF
SCHEDULE OF INVESTMENTS
December 31, 2018 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
CORPORATE
BONDS & NOTES — 48.4% |
|
|
|
|
|
AEROSPACE
& DEFENSE — 0.9% |
|
|
|
|
|
General
Dynamics Corp.: |
|
|
|
|
|
3 Month USD LIBOR + 0.29%, 2.91%, 5/11/2020
(a)
|
|
|
$
435,000 |
|
$
434,604 |
3 Month USD LIBOR + 0.38%, 3.00%, 5/11/2021
(a)
|
|
|
694,000
|
|
693,056
|
United Technologies Corp. 3 Month USD LIBOR + 0.35%, 2.89%, 11/1/2019
(a)
|
|
|
250,000
|
|
249,760
|
|
|
|
|
|
1,377,420
|
AGRICULTURE
— 0.6% |
|
|
|
|
|
Philip Morris International, Inc. 3 Month USD LIBOR + 0.42%, 3.07%, 2/21/2020
(a)
|
|
|
1,000,000
|
|
1,000,660
|
AUTO
MANUFACTURERS — 7.5% |
|
|
|
|
|
American
Honda Finance Corp.: |
|
|
|
|
|
3 Month USD LIBOR + 0.26%, 3.05%, 6/16/2020
(a)
|
|
|
250,000
|
|
248,913
|
Series MTN, 3 Month USD LIBOR + 0.15%, 2.62%, 1/22/2019
(a)
|
|
|
300,000
|
|
299,982
|
Series MTN, 3 Month USD LIBOR + 0.15%, 2.80%, 2/21/2020
(a)
|
|
|
500,000
|
|
497,615
|
Series MTN, 3 Month USD LIBOR + 0.27%, 2.74%, 7/20/2020
(a)
|
|
|
400,000
|
|
398,716
|
Series MTN, 3 Month USD LIBOR + 0.34%, 2.95%, 2/14/2020
(a)
|
|
|
500,000
|
|
498,870
|
BMW
US Capital LLC: |
|
|
|
|
|
3 Month USD LIBOR + 0.37%, 2.98%, 8/14/2020
(a)
(b)
|
|
|
1,100,000
|
|
1,092,751
|
3 Month USD LIBOR + 0.38%, 2.79%, 4/6/2020
(a)
(b)
|
|
|
600,000
|
|
597,234
|
Daimler
Finance North America LLC: |
|
|
|
|
|
3 Month USD LIBOR + 0.39%, 2.97%, 5/4/2020
(a)
(b)
|
|
|
500,000
|
|
497,325
|
3 Month USD LIBOR + 0.67%, 3.25%, 11/5/2021
(a)
(b)
|
|
|
500,000
|
|
495,260
|
3 Month USD LIBOR + 0.74%, 3.15%, 7/5/2019
(a)
(b)
|
|
|
600,000
|
|
600,936
|
Nissan
Motor Acceptance Corp.: |
|
|
|
|
|
3 Month USD LIBOR + 0.52%, 3.30%, 9/13/2019
(a)
(b)
|
|
|
435,000
|
|
433,991
|
3 Month USD LIBOR + 1.01%, 3.78%, 3/8/2019
(a)
(b)
|
|
|
300,000
|
|
300,300
|
PACCAR Financial Corp. Series MTN, 3 Month USD LIBOR + 0.26%, 2.88%, 5/10/2021
(a)
|
|
|
1,550,000
|
|
1,550,992
|
Security
Description |
|
|
Principal
Amount |
|
Value
|
Toyota
Motor Credit Corp.: |
|
|
|
|
|
3 Month USD LIBOR + 0.10%, 2.51%, 1/10/2020
(a)
|
|
|
$
450,000 |
|
$
448,555 |
Series GMTN, 3 Month USD LIBOR + 0.17%, 2.97%, 9/18/2020
(a)
|
|
|
1,000,000
|
|
993,400
|
Series MTN, 3 Month USD LIBOR + 0.28%, 2.72%, 4/13/2021
(a)
|
|
|
1,132,000
|
|
1,125,151
|
Series MTN, 3 Month USD LIBOR + 0.39%, 2.84%, 1/17/2019
(a)
|
|
|
368,000
|
|
368,011
|
Volkswagen Group of America Finance LLC 3 Month USD LIBOR + 0.94%, 3.56%, 11/12/2021
(a)
(b)
|
|
|
1,250,000
|
|
1,238,150
|
|
|
|
|
|
11,686,152
|
BANKS
— 21.8% |
|
|
|
|
|
Australia
& New Zealand Banking Group, Ltd.: |
|
|
|
|
|
3 Month USD LIBOR + 0.25%, 3.05%, 12/19/2019
(a)
(b)
|
|
|
890,000
|
|
888,896
|
3 Month USD LIBOR + 0.32%, 2.92%, 11/9/2020
(a)
(b)
|
|
|
300,000
|
|
298,725
|
Bank
of America Corp.: |
|
|
|
|
|
3 Month USD LIBOR + 0.38%, 2.86%, 1/23/2022
(a)
|
|
|
625,000
|
|
613,081
|
Series MTN, 3 Month USD LIBOR + 0.65%, 3.45%, 10/1/2021
(a)
|
|
|
1,400,000
|
|
1,391,236
|
Bank of America NA Series BKNT, 3 Month USD LIBOR + 0.25%, 2.96%, 8/28/2020
(a)
|
|
|
250,000
|
|
249,000
|
Bank
of Montreal: |
|
|
|
|
|
Series MTN, 3 Month USD LIBOR + 0.44%, 3.23%, 6/15/2020
(a)
|
|
|
250,000
|
|
249,573
|
Series MTN, 3 Month USD LIBOR + 0.60%, 3.38%, 12/12/2019
(a)
|
|
|
200,000
|
|
200,344
|
Bank of New York Mellon Corp. Series MTN, 3 Month USD LIBOR + 0.87%, 3.51%, 8/17/2020
(a)
|
|
|
2,000,000
|
|
2,015,000
|
Bank
of Nova Scotia: |
|
|
|
|
|
3 Month USD LIBOR + 0.66%, 3.44%, 6/14/2019
(a)
|
|
|
400,000
|
|
400,528
|
Series BKNT, 3 Month USD LIBOR + 0.44%, 2.91%, 4/20/2021
(a)
|
|
|
500,000
|
|
497,050
|
BB&T Corp. Series MTN, 3 Month USD LIBOR + 0.57%, 3.36%, 6/15/2020
(a)
|
|
|
1,750,000
|
|
1,750,892
|
BPCE SA Series MTN, 2.50%,
7/15/2019
|
|
|
1,000,000
|
|
997,230
|
See accompanying notes to financial statements.
15
SPDR SSGA ULTRA SHORT TERM BOND ETF
SCHEDULE OF
INVESTMENTS (continued)
December 31, 2018 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
Branch Banking & Trust Co. 3 Month USD LIBOR + 0.45%, 2.89%, 1/15/2020
(a)
|
|
|
$
250,000 |
|
$
250,103 |
Citibank
NA: |
|
|
|
|
|
Series BKNT, 3 Month USD LIBOR + 0.30%, 2.77%, 10/20/2020
(a)
|
|
|
500,000
|
|
496,575
|
Series BKNT, 3 Month USD LIBOR + 0.32%, 2.86%, 5/1/2020
(a)
|
|
|
750,000
|
|
746,647
|
Commonwealth Bank of Australia 3 Month USD LIBOR + 0.45%, 3.22%, 3/10/2020
(a)
(b)
|
|
|
450,000
|
|
449,870
|
Cooperatieve Rabobank UA 3 Month USD LIBOR + 0.48%, 2.89%, 1/10/2023
(a)
|
|
|
250,000
|
|
246,515
|
Credit Agricole SA 3 Month USD LIBOR + 0.80%, 3.24%, 4/15/2019
(a)
(b)
|
|
|
500,000
|
|
500,595
|
Goldman
Sachs Group, Inc.: |
|
|
|
|
|
3 Month USD LIBOR + 1.02%, 3.50%, 10/23/2019
(a)
|
|
|
659,000
|
|
660,160
|
3 Month USD LIBOR + 1.36%, 3.85%, 4/23/2021
(a)
|
|
|
750,000
|
|
755,137
|
Series FRN, 3 Month USD LIBOR + 1.77%, 4.46%, 2/25/2021
(a)
|
|
|
250,000
|
|
253,913
|
JPMorgan Chase & Co. 3 Month USD LIBOR + 1.10%, 3.87%, 6/7/2021
(a)
|
|
|
1,750,000
|
|
1,759,905
|
Morgan
Stanley: |
|
|
|
|
|
3 Month USD LIBOR + 0.85%, 3.34%, 1/24/2019
(a)
|
|
|
430,000
|
|
430,069
|
Series GMTN, 3 Month USD LIBOR + 0.55%, 3.17%, 2/10/2021
(a)
|
|
|
500,000
|
|
495,430
|
Series GMTN, 3 Month USD LIBOR + 1.40%, 3.87%, 4/21/2021
(a)
|
|
|
1,000,000
|
|
1,006,580
|
National
Australia Bank, Ltd.: |
|
|
|
|
|
3 Month USD LIBOR + 0.58%, 3.37%, 9/20/2021
(a)
(b)
|
|
|
750,000
|
|
746,857
|
3 Month USD LIBOR + 0.71%, 3.45%, 11/4/2021
(a)
(b)
|
|
|
500,000
|
|
498,965
|
National Bank of Canada Series MTN, 3 Month USD LIBOR + 0.60%, 3.05%, 1/17/2020
(a)
|
|
|
665,000
|
|
665,718
|
PNC Bank NA Series BKNT, 3 Month USD LIBOR + 0.36%, 3.00%, 5/19/2020
(a)
|
|
|
600,000
|
|
597,582
|
Royal
Bank of Canada: |
|
|
|
|
|
Series GMTN, 3 Month USD LIBOR + 0.48%, 2.99%, 7/29/2019
(a)
|
|
|
250,000
|
|
250,198
|
Security
Description |
|
|
Principal
Amount |
|
Value
|
Series GMTN, 3 Month USD LIBOR + 0.53%, 3.32%, 3/15/2019
(a)
|
|
|
$
250,000 |
|
$
250,173 |
Santander
UK PLC: |
|
|
|
|
|
3 Month USD LIBOR + 0.30%, 2.88%, 11/3/2020
(a)
|
|
|
600,000
|
|
595,608
|
3 Month USD LIBOR + 0.62%, 3.36%, 6/1/2021
(a)
|
|
|
300,000
|
|
297,726
|
Skandinaviska Enskilda Banken AB 3 Month USD LIBOR + 0.43%, 3.07%, 5/17/2021
(a)
(b)
|
|
|
1,500,000
|
|
1,490,820
|
Sumitomo Mitsui Banking Corp. 3 Month USD LIBOR + 0.35%, 2.80%, 1/17/2020
(a)
|
|
|
1,218,000
|
|
1,215,247
|
Sumitomo Mitsui Trust Bank, Ltd. 3 Month USD LIBOR + 0.91%, 3.35%, 10/18/2019
(a)
(b)
|
|
|
150,000
|
|
150,548
|
SunTrust Bank Series BKNT, 3 Month USD LIBOR + 0.50%, 3.01%, 10/26/2021
(a)
|
|
|
1,000,000
|
|
995,710
|
Svenska Handelsbanken AB Series BKNT, 3 Month USD LIBOR + 0.49%, 3.23%, 9/6/2019
(a)
|
|
|
320,000
|
|
320,211
|
Toronto-Dominion
Bank: |
|
|
|
|
|
3 Month USD LIBOR + 0.90%, 3.34%, 7/13/2021
(a)
|
|
|
400,000
|
|
402,352
|
Series BKNT, 3 Month USD LIBOR + 0.44%, 3.24%, 7/2/2019
(a)
|
|
|
250,000
|
|
250,190
|
Series MTN, 3 Month USD LIBOR + 0.56%, 3.14%, 11/5/2019
(a)
|
|
|
253,000
|
|
253,463
|
Series MTN, 3 Month USD LIBOR + 0.84%, 3.31%, 1/22/2019
(a)
|
|
|
100,000
|
|
100,031
|
UBS
AG: |
|
|
|
|
|
3 Month USD LIBOR + 0.32%, 3.03%, 5/28/2019
(a)
(b)
|
|
|
250,000
|
|
249,985
|
3 Month USD LIBOR + 0.48%, 3.22%, 12/1/2020
(a)
(b)
|
|
|
550,000
|
|
550,665
|
3 Month USD LIBOR + 0.58%, 3.35%, 6/8/2020
(a)
(b)
|
|
|
1,000,000
|
|
1,003,000
|
US
Bank NA: |
|
|
|
|
|
Series BKNT, 3 Month USD LIBOR + 0.32%, 2.81%, 1/24/2020
(a)
|
|
|
1,000,000
|
|
1,001,390
|
Series BKNT, 3 Month USD LIBOR + 0.32%, 2.83%, 4/26/2021
(a)
|
|
|
1,000,000
|
|
994,070
|
Series BKNT, 3 Month USD LIBOR + 0.48%, 2.99%, 10/28/2019
(a)
|
|
|
100,000
|
|
100,022
|
Wells Fargo & Co. 3 Month USD LIBOR + 0.93%, 3.55%, 2/11/2022
(a)
|
|
|
500,000
|
|
495,855
|
See accompanying notes to financial statements.
16
SPDR SSGA ULTRA SHORT TERM BOND ETF
SCHEDULE OF
INVESTMENTS (continued)
December 31, 2018 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
Wells
Fargo Bank NA: |
|
|
|
|
|
Series BKNT, 3 Month USD LIBOR + 0.31%, 2.75%, 1/15/2021
(a)
|
|
|
$
1,000,000 |
|
$
990,820 |
Series BKNT, 3 Month USD LIBOR + 0.50%, 2.98%, 7/23/2021
(a)
|
|
|
700,000
|
|
695,471
|
Westpac
Banking Corp.: |
|
|
|
|
|
3 Month USD LIBOR + 0.34%, 2.83%, 1/25/2021
(a)
|
|
|
1,000,000
|
|
993,400
|
3 Month USD LIBOR + 0.56%, 3.20%, 8/19/2019
(a)
|
|
|
275,000
|
|
275,399
|
|
|
|
|
|
34,034,530
|
BEVERAGES
— 1.7% |
|
|
|
|
|
Anheuser-Busch InBev Finance, Inc. 3 Month USD LIBOR + 0.40%, 2.94%, 2/1/2019
(a)
|
|
|
200,000
|
|
199,968
|
Diageo Capital PLC 3 Month USD LIBOR + 0.24%, 2.88%, 5/18/2020
(a)
|
|
|
825,000
|
|
821,873
|
PepsiCo,
Inc.: |
|
|
|
|
|
3 Month USD LIBOR + 0.27%, 2.68%, 10/4/2019
(a)
|
|
|
250,000
|
|
250,105
|
3 Month USD LIBOR + 0.37%, 2.92%, 5/2/2022
(a)
|
|
|
250,000
|
|
248,385
|
3 Month USD LIBOR + 0.53%, 2.94%, 10/6/2021
(a)
|
|
|
1,100,000
|
|
1,103,135
|
|
|
|
|
|
2,623,466
|
BIOTECHNOLOGY
— 0.2% |
|
|
|
|
|
Gilead Sciences, Inc. 3 Month USD LIBOR + 0.22%, 3.01%, 3/20/2019
(a)
|
|
|
350,000
|
|
349,983
|
CHEMICALS
— 0.4% |
|
|
|
|
|
EI du Pont de Nemours & Co. 3 Month USD LIBOR + 0.53%, 3.07%, 5/1/2020
(a)
|
|
|
700,000
|
|
700,658
|
COMPUTERS
— 1.4% |
|
|
|
|
|
Apple,
Inc.: |
|
|
|
|
|
3 Month USD LIBOR + 0.07%, 2.68%, 5/11/2020
(a)
|
|
|
680,000
|
|
678,123
|
3 Month USD LIBOR + 0.25%, 2.85%, 2/7/2020
(a)
|
|
|
790,000
|
|
789,874
|
IBM Credit LLC 3 Month USD LIBOR + 0.16%, 2.74%, 2/5/2021
(a)
|
|
|
725,000
|
|
717,583
|
|
|
|
|
|
2,185,580
|
DIVERSIFIED
FINANCIAL SERVICES — 0.6% |
|
|
|
|
|
American
Express Credit Corp.: |
|
|
|
|
|
3 Month USD LIBOR + 0.55%, 3.35%, 3/18/2019
(a)
|
|
|
350,000
|
|
350,178
|
Security
Description |
|
|
Principal
Amount |
|
Value
|
Series MTN, 3 Month USD LIBOR + 0.43%, 3.17%, 3/3/2020
(a)
|
|
|
$
610,000 |
|
$
609,311 |
|
|
|
|
|
959,489
|
ELECTRONICS
— 0.8% |
|
|
|
|
|
Honeywell International, Inc. 3 Month USD LIBOR + 0.28%, 2.80%, 10/30/2019
(a)
|
|
|
1,200,000
|
|
1,199,664
|
HEALTH
CARE SERVICES — 1.7% |
|
|
|
|
|
Cigna Corp. 3 Month USD LIBOR + 0.35%, 3.14%, 3/17/2020
(a)
(b)
|
|
|
1,000,000
|
|
993,370
|
Roche Holdings, Inc. 3 Month USD LIBOR + 0.34%, 3.14%, 9/30/2019
(a)
(b)
|
|
|
750,000
|
|
750,383
|
UnitedHealth
Group, Inc.: |
|
|
|
|
|
3 Month USD LIBOR + 0.07%, 2.51%, 10/15/2020
(a)
|
|
|
300,000
|
|
298,749
|
3 Month USD LIBOR + 0.26%, 3.05%, 6/15/2021
(a)
|
|
|
600,000
|
|
595,170
|
|
|
|
|
|
2,637,672
|
INSURANCE
— 0.6% |
|
|
|
|
|
Metropolitan Life Global Funding I 3 Month USD LIBOR + 0.57%, 3.03%, 9/7/2020
(a)
(b)
|
|
|
1,000,000
|
|
993,350
|
IT
SERVICES — 0.5% |
|
|
|
|
|
International Business Machines Corp. 1.80%,
5/17/2019
|
|
|
750,000
|
|
746,895
|
MACHINERY,
CONSTRUCTION & MINING — 0.8% |
|
|
|
|
|
Caterpillar
Financial Services Corp.: |
|
|
|
|
|
Series MTN, 3 Month USD LIBOR + 0.13%, 2.84%, 11/29/2019
(a)
|
|
|
500,000
|
|
499,255
|
Series MTN, 3 Month USD LIBOR + 0.28%, 3.05%, 9/7/2021
(a)
|
|
|
500,000
|
|
495,520
|
Series MTN, 3 Month USD LIBOR + 0.28%, 3.10%, 3/22/2019
(a)
|
|
|
300,000
|
|
300,057
|
|
|
|
|
|
1,294,832
|
MACHINERY-DIVERSIFIED
— 0.8% |
|
|
|
|
|
John
Deere Capital Corp.: |
|
|
|
|
|
3 Month USD LIBOR + 0.57%, 2.98%, 1/8/2019
(a)
|
|
|
200,000
|
|
200,012
|
Series GMTN, 3 Month USD LIBOR + 0.18%, 2.59%, 1/7/2020
(a)
|
|
|
500,000
|
|
499,610
|
See accompanying notes to financial statements.
17
SPDR SSGA ULTRA SHORT TERM BOND ETF
SCHEDULE OF
INVESTMENTS (continued)
December 31, 2018 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
Series MTN, 3 Month USD LIBOR + 0.29%, 2.69%, 10/9/2019
(a)
|
|
|
$
325,000 |
|
$
325,084 |
Series MTN, 3 Month USD LIBOR + 0.29%, 3.11%, 6/22/2020
(a)
|
|
|
275,000
|
|
274,915
|
|
|
|
|
|
1,299,621
|
MEDIA
— 0.9% |
|
|
|
|
|
Comcast Corp. 3 Month USD LIBOR + 0.33%, 3.13%, 10/1/2020
(a)
|
|
|
1,000,000
|
|
995,400
|
NBCUniversal Enterprise, Inc. 3 Month USD LIBOR + 0.40%, 3.20%, 4/1/2021
(a)
(b)
|
|
|
400,000
|
|
395,708
|
|
|
|
|
|
1,391,108
|
MISCELLANEOUS
MANUFACTURER — 0.5% |
|
|
|
|
|
General Electric Co. Series GMTN, 3 Month USD LIBOR + 0.51%, 2.95%, 1/14/2019
(a)
|
|
|
63,000
|
|
63,000
|
Siemens
Financieringsmaatschappij NV: |
|
|
|
|
|
3 Month USD LIBOR + 0.32%, 3.10%, 9/13/2019
(a)
(b)
|
|
|
200,000
|
|
200,084
|
3 Month USD LIBOR + 0.34%, 3.13%, 3/16/2020
(a)
(b)
|
|
|
450,000
|
|
449,838
|
|
|
|
|
|
712,922
|
OIL
& GAS — 3.8% |
|
|
|
|
|
BP Capital Markets America, Inc. 3 Month USD LIBOR + 0.65%, 3.45%, 9/19/2022
(a)
|
|
|
250,000
|
|
250,243
|
BP Capital Markets PLC 3 Month USD LIBOR + 0.87%, 3.66%, 9/16/2021
(a)
|
|
|
1,250,000
|
|
1,260,175
|
Chevron Corp. 3 Month USD LIBOR + 0.48%, 3.22%, 3/3/2022
(a)
|
|
|
1,500,000
|
|
1,497,870
|
ConocoPhillips Co. 3 Month USD LIBOR + 0.90%, 3.52%, 5/15/2022
(a)
|
|
|
850,000
|
|
860,166
|
Exxon Mobil Corp. 1.71%,
3/1/2019
|
|
|
500,000
|
|
499,120
|
Shell
International Finance B.V.: |
|
|
|
|
|
3 Month USD LIBOR + 0.35%, 3.13%, 9/12/2019
(a)
|
|
|
300,000
|
|
300,186
|
3 Month USD LIBOR + 0.45%, 3.07%, 5/11/2020
(a)
|
|
|
900,000
|
|
901,089
|
Total Capital International SA 3 Month USD LIBOR + 0.35%, 3.15%, 6/19/2019
(a)
|
|
|
450,000
|
|
450,319
|
|
|
|
|
|
6,019,168
|
RETAIL
— 1.4% |
|
|
|
|
|
Home
Depot, Inc.: |
|
|
|
|
|
Security
Description |
|
|
Principal
Amount |
|
Value
|
3 Month USD LIBOR + 0.15%, 2.90%, 6/5/2020
(a)
|
|
|
$
350,000 |
|
$
348,950 |
3 Month USD LIBOR + 0.31%, 3.05%, 3/1/2022
(a)
|
|
|
500,000
|
|
495,040
|
Lowe's Cos., Inc. 3 Month USD LIBOR + 0.42%, 3.19%, 9/10/2019
(a)
|
|
|
750,000
|
|
749,325
|
Walmart, Inc. 3 Month USD LIBOR + 0.23%, 3.05%, 6/23/2021
(a)
|
|
|
600,000
|
|
598,554
|
|
|
|
|
|
2,191,869
|
SOFTWARE
— 0.8% |
|
|
|
|
|
Oracle
Corp.: |
|
|
|
|
|
3 Month USD LIBOR + 0.51%, 2.92%, 10/8/2019
(a)
|
|
|
895,000
|
|
898,106
|
3 Month USD LIBOR + 0.58%, 3.02%, 1/15/2019
(a)
|
|
|
387,000
|
|
387,050
|
|
|
|
|
|
1,285,156
|
TELECOMMUNICATIONS
— 0.6% |
|
|
|
|
|
Cisco
Systems, Inc.: |
|
|
|
|
|
2.13%,
3/1/2019
|
|
|
350,000
|
|
349,531
|
3 Month USD LIBOR + 0.34%, 3.13%, 9/20/2019
(a)
|
|
|
560,000
|
|
560,258
|
|
|
|
|
|
909,789
|
TRANSPORTATION
— 0.1% |
|
|
|
|
|
United Parcel Service, Inc. 3 Month USD LIBOR + 0.45%, 3.25%, 4/1/2023
(a)
|
|
|
200,000
|
|
198,866
|
TOTAL CORPORATE BONDS & NOTES (Cost
$76,110,509)
|
|
|
|
|
75,798,850
|
ASSET-BACKED
SECURITIES — 25.1% |
|
|
|
|
|
AUTOMOBILE
— 15.2% |
|
|
|
|
|
Ally Auto Receivables Trust 2016-3 Series 2016-3, Class A4, 1.72%,
4/15/2021
|
|
|
1,000,000
|
|
991,977
|
AmeriCredit Automobile Receivables Trust 2014-2 Series 2014-2, Class D, 2.57%,
7/8/2020
|
|
|
1,791,636
|
|
1,790,446
|
BMW Floorplan Master Owner Trust Series 2018-1, Class A2, 1 Month USD LIBOR + 0.32%, 2.78%, 5/15/2023
(a)
(b)
|
|
|
500,000
|
|
497,974
|
CarMax Auto Owner Trust Series 2017-3, Class A2A, 1.64%,
9/15/2020
|
|
|
259,986
|
|
259,207
|
CarMax Auto Owner Trust 2016-2 Series 2016-2, Class A3, 1.52%,
2/16/2021
|
|
|
752,741
|
|
748,252
|
See accompanying notes to financial statements.
18
SPDR SSGA ULTRA SHORT TERM BOND ETF
SCHEDULE OF
INVESTMENTS (continued)
December 31, 2018 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
Drive Auto Receivables Trust Series 2018-2, Class A2, 2.64%,
9/15/2020
|
|
|
$
335,242 |
|
$
335,029 |
Ford Credit Auto Owner Trust 2015-C Series 2015-C, Class A4, 1.74%,
2/15/2021
|
|
|
899,466
|
|
895,940
|
Ford Credit Floorplan Master Owner Trust A Series 2016-3, Class A1, 1.55%,
7/15/2021
|
|
|
1,000,000
|
|
992,385
|
GM Financial Automobile Leasing Trust 2017-1 Series 2017-1, Class A4, 2.26%,
8/20/2020
|
|
|
2,395,000
|
|
2,381,616
|
GMF Floorplan Owner Revolving Trust Series 2016-1, Class A1, 1.96%, 5/17/2021
(b)
|
|
|
1,500,000
|
|
1,493,382
|
Honda Auto Receivables 2016-2 Owner Trust Series 2016-2, Class A4, 1.62%,
8/15/2022
|
|
|
1,000,000
|
|
992,328
|
Honda Auto Receivables 2016-3 Owner Trust Series 2016-3, Class A3, 1.16%,
5/18/2020
|
|
|
265,340
|
|
263,871
|
Honda Auto Receivables 2017-4 Owner Trust Series 2017-4, Class A2, 1.80%,
1/21/2020
|
|
|
87,580
|
|
87,389
|
Hyundai Auto Receivables Trust 2015-C Series 2015-C, Class A4, 1.78%,
11/15/2021
|
|
|
1,060,000
|
|
1,055,224
|
Hyundai Auto Receivables Trust 2017-B Series 2017-B, Class A2A, 1.57%,
8/17/2020
|
|
|
171,900
|
|
171,300
|
Nissan Auto Lease Trust 2017-B Series 2017-B, Class A2A, 1.83%,
12/16/2019
|
|
|
457,226
|
|
455,693
|
Nissan
Auto Receivables Owner Trust: |
|
|
|
|
|
Series 2017-A, Class A2A, 1.47%,
1/15/2020
|
|
|
6,864
|
|
6,860
|
Series 2015-C, Class A3, 1.37%,
5/15/2020
|
|
|
109,346
|
|
108,991
|
Series 2018-A, Class A2A, 2.39%,
12/15/2020
|
|
|
389,054
|
|
387,992
|
Nissan Master Owner Trust Receivables Series 2016-A, Class A2, 1.54%,
6/15/2021
|
|
|
1,750,000
|
|
1,738,294
|
Santander Drive Auto Receivables Trust 2014-4 Series 2014-4, Class D, 3.10%,
11/16/2020
|
|
|
2,919,767
|
|
2,919,447
|
Security
Description |
|
|
Principal
Amount |
|
Value
|
Toyota Auto Receivables 2016-C Series 2016-C, Class A4, 1.32%,
11/15/2021
|
|
|
$
1,500,000 |
|
$
1,475,481 |
Toyota
Auto Receivables Owner Trust: |
|
|
|
|
|
Series 2017-B, Class A2A, 1.46%,
1/15/2020
|
|
|
28,755
|
|
28,724
|
Series 2015-B, Class A4, 1.74%,
9/15/2020
|
|
|
596,040
|
|
595,223
|
World Omni Auto Receivables Trust Series 2015-B, Class A3, 1.49%,
12/15/2020
|
|
|
146,727
|
|
146,416
|
World Omni Auto Receivables Trust 2015-A Series 2015-A, Class A4, 1.75%,
4/15/2021
|
|
|
1,012,153
|
|
1,009,602
|
World Omni Auto Receivables Trust 2018-A Series 2018-A, Class A2, 2.19%,
5/17/2021
|
|
|
519,699
|
|
517,658
|
World Omni Automobile Lease Securitization Trust 2018-B Series 2018-B, Class A2A, 2.96%,
6/15/2021
|
|
|
1,500,000
|
|
1,497,972
|
|
|
|
|
|
23,844,673
|
CREDIT
CARD — 9.9% |
|
|
|
|
|
American Express Credit Account Master Trust Series 2017-4, Class A, 1.64%,
12/15/2021
|
|
|
1,800,000
|
|
1,791,586
|
BA
Credit Card Trust: |
|
|
|
|
|
Series 2017-A1, Class A1, Class A1, 1.95%,
8/15/2022
|
|
|
1,000,000
|
|
988,188
|
Series 2016-A1, Class A, 1 Month USD LIBOR + 0.39%, 2.85%, 10/15/2021
(a)
|
|
|
400,000
|
|
400,220
|
Series 2014-A1, Class A, 1 Month USD LIBOR + 0.38%, 2.84%, 6/15/2021
(a)
|
|
|
250,000
|
|
250,017
|
Capital
One Multi-Asset Execution Trust: |
|
|
|
|
|
Series 2016-A4, Class A4, 1.33%,
6/15/2022
|
|
|
500,000
|
|
495,022
|
Series 2016-A3, Class A3, 1.34%,
4/15/2022
|
|
|
1,500,000
|
|
1,488,761
|
CARDS
II Trust: |
|
|
|
|
|
Series 2018-1A, Class A, 1 Month USD LIBOR + 0.35%, 2.81%, 4/17/2023
(a)
(b)
|
|
|
500,000
|
|
500,614
|
Series 2017-1A, Class A, 1 Month USD LIBOR + 0.37%, 2.83%, 4/18/2022
(a)
(b)
|
|
|
400,000
|
|
399,961
|
Chase
Issuance Trust: |
|
|
|
|
|
See accompanying notes to financial statements.
19
SPDR SSGA ULTRA SHORT TERM BOND ETF
SCHEDULE OF
INVESTMENTS (continued)
December 31, 2018 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
Series 2016-A5, Class A5, 1.27%,
7/15/2021
|
|
|
$
1,000,000 |
|
$
991,273 |
Series 2012-A4, Class A4, 1.58%,
8/15/2021
|
|
|
500,000
|
|
495,889
|
Citibank Credit Card Issuance Trust Series 2017-A2, Class A2, 1.74%,
1/19/2021
|
|
|
2,160,000
|
|
2,158,848
|
Discover
Card Execution Note Trust: |
|
|
|
|
|
Series 2016-A4, Class A4, 1.39%,
3/15/2022
|
|
|
1,000,000
|
|
989,161
|
Series 2016-A2, Class A2, 1 Month USD LIBOR + 0.54%, 3.00%, 9/15/2021
(a)
|
|
|
500,000
|
|
500,319
|
Evergreen
Credit Card Trust: |
|
|
|
|
|
Series 2018-2, Class A, 1 Month USD LIBOR + 0.35%, 2.81%, 7/15/2022
(a)
(b)
|
|
|
250,000
|
|
249,880
|
Series 2017-1, Class A, 1 Month USD LIBOR + 0.26%, 2.72%, 10/15/2021
(a)
(b)
|
|
|
700,000
|
|
699,453
|
Golden Credit Card Trust Series 2018-3A, Class A, 1 Month USD LIBOR + 0.32%, 2.78%, 5/15/2023
(a)
(b)
|
|
|
600,000
|
|
599,981
|
Gracechurch Card Funding PLC Series 2018-1A, Class A, 1 Month USD LIBOR + 0.40%, 2.86%, 7/15/2022
(a)
(b)
|
|
|
500,000
|
|
499,315
|
Master Credit Card Trust II Series 2018-3A, Class A, 1 Month USD LIBOR + 0.34%, 2.82%, 1/21/2022
(a)
(b)
|
|
|
1,000,000
|
|
1,001,190
|
World Financial Network Credit Card Master Trust Series 2012-A, Class A, 3.14%,
1/17/2023
|
|
|
1,000,000
|
|
1,000,032
|
|
|
|
|
|
15,499,710
|
TOTAL ASSET-BACKED SECURITIES (Cost
$39,317,130)
|
|
|
|
|
39,344,383
|
FOREIGN
GOVERNMENT OBLIGATIONS — 0.2% |
|
|
|
|
|
CANADA
— 0.2% |
|
|
|
|
|
Province of Quebec Canada Series MTN, 3 Month USD LIBOR + 0.13%, 2.92%, 9/21/2020 (a) (Cost
$250,000)
|
|
|
250,000
|
|
250,535
|
U.S.
TREASURY OBLIGATIONS — 15.8% |
|
|
|
|
|
Treasury
Bills: |
|
|
|
|
|
2.33%,
2/14/2019
|
|
|
5,300,000
|
|
5,285,020
|
2.64%,
12/5/2019
|
|
|
7,500,000
|
|
7,323,132
|
Treasury
Notes: |
|
|
|
|
|
Security
Description |
|
|
Principal
Amount |
|
Value
|
1.13%,
4/30/2020
|
|
|
$
4,000,000 |
|
$
3,924,687 |
1.25%,
6/30/2019
|
|
|
1,000,000
|
|
993,779
|
1.38%,
9/30/2019
|
|
|
1,640,000
|
|
1,624,940
|
2.00%,
1/31/2020
|
|
|
2,550,000
|
|
2,533,179
|
2.61%,
7/31/2019
|
|
|
3,000,000
|
|
2,971,401
|
TOTAL U.S. TREASURY OBLIGATIONS (Cost
$24,657,094)
|
|
|
|
|
24,656,138
|
MORTGAGE-BACKED
SECURITIES — 0.6% |
|
|
|
|
|
Holmes Master Issuer PLC Series 2018-2A, Class A1, 1 Month USD LIBOR + 0.35%, 2.81%, 7/15/2019
(a)
(b)
|
|
|
1,000,000
|
|
999,246
|
|
|
Shares
|
|
CERTIFICATE
OF DEPOSIT — 0.5% |
|
|
|
Bank of Nova Scotia 2.83%
(a)
|
|
500,000
|
499,712
|
MUFG Bank, Ltd. 3.20%
(a)
|
|
300,000
|
300,602
|
TOTAL CERTIFICATE OF DEPOSIT (Cost
$800,314)
|
|
|
800,314
|
|
|
|
|
SHORT-TERM
INVESTMENT — 11.8% |
|
State Street Institutional U.S. Government Money Market Fund, Class G Shares 2.31% (c) (d) (Cost
$18,344,408)
|
18,344,408
|
18,344,408
|
TOTAL INVESTMENTS — 102.4% (Cost
$160,479,455)
|
160,193,874
|
LIABILITIES IN EXCESS OF OTHER ASSETS — (2.4)%
|
(3,703,319)
|
NET ASSETS —
100.0%
|
$
156,490,555 |
(a)
|
Variable
Rate Security - Interest rate shown is rate in effect at December 31, 2018. For securities based on a published reference rate and spread, the reference rate and spread are indicated in the description above. |
(b)
|
Securities
purchased pursuant to Rule 144A of the Securities Act of 1933, as amended. These securities, which represent 14.6% of net assets as of December 31, 2018, are considered liquid and may be resold in transactions exempt from registration, normally to
qualified institutional buyers. |
(c)
|
The
Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2018 are shown in the Affiliate Table below. |
(d)
|
The
rate shown is the annualized seven-day yield at December 31, 2018. |
FRN
|
=
Floating Rate Note |
GMTN
|
=
Global Medium Term Note |
LIBOR
|
=
London Interbank Offered Rate |
See accompanying notes to financial statements.
20
SPDR SSGA ULTRA SHORT TERM BOND ETF
SCHEDULE OF
INVESTMENTS (continued)
December 31, 2018 (Unaudited)
The following table summarizes the value of the Fund's investments according to the fair value hierarchy as of December 31, 2018.
Description
|
|
Level
1 – Quoted Prices |
|
Level
2 – Other Significant Observable Inputs |
|
Level
3 – Significant Unobservable Inputs |
|
Total
|
ASSETS:
|
|
|
|
|
|
|
|
|
INVESTMENTS:
|
|
|
|
|
|
|
|
|
Corporate Bonds &
Notes
|
|
$
— |
|
$
75,798,850 |
|
$—
|
|
$
75,798,850 |
Asset-Backed
Securities
|
|
—
|
|
39,344,383
|
|
—
|
|
39,344,383
|
Foreign Government
Obligations
|
|
—
|
|
250,535
|
|
—
|
|
250,535
|
U.S. Treasury
Obligations
|
|
—
|
|
24,656,138
|
|
—
|
|
24,656,138
|
Mortgage-Backed
Securities
|
|
—
|
|
999,246
|
|
—
|
|
999,246
|
Certificate of
Deposit
|
|
—
|
|
800,314
|
|
—
|
|
800,314
|
Short-Term
Investment
|
|
18,344,408
|
|
—
|
|
—
|
|
18,344,408
|
TOTAL
INVESTMENTS
|
|
$18,344,408
|
|
$141,849,466
|
|
$—
|
|
$160,193,874
|
Affiliate Table
|
Number
of Shares Held at 6/30/18 |
|
Value
at 6/30/18 |
|
Cost
of Purchases |
|
Proceeds
from Shares Sold |
|
Realized
Gain (Loss) |
|
Change
in Unrealized Appreciation/ Depreciation |
|
Number
of Shares Held at 12/31/18 |
|
Value
at 12/31/18 |
|
Dividend
Income |
|
Capital
Gains Distributions |
State Street Institutional U.S. Government Money Market Fund, Class G
Shares
|
4,033,700
|
|
$4,033,700
|
|
$79,615,289
|
|
$65,304,581
|
|
$—
|
|
$—
|
|
18,344,408
|
|
$18,344,408
|
|
$33,147
|
|
$—
|
See accompanying notes to financial statements.
21
SPDR MFS SYSTEMATIC CORE EQUITY ETF
SCHEDULE OF INVESTMENTS
December 31, 2018 (Unaudited)
Security
Description |
|
|
Shares
|
|
Value
|
COMMON
STOCKS — 99.0% |
|
|
|
|
|
AEROSPACE
& DEFENSE — 4.0% |
|
|
|
Boeing
Co.
|
|
3,096
|
|
$
998,460 |
BANKS
— 4.1% |
|
|
|
JPMorgan Chase &
Co.
|
|
8,560
|
|
835,627
|
Wells Fargo &
Co.
|
|
3,845
|
|
177,178
|
|
|
|
|
|
1,012,805
|
BEVERAGES
— 1.5% |
|
|
|
Molson Coors Brewing Co. Class
B |
|
6,792
|
|
381,439
|
BIOTECHNOLOGY
— 1.1% |
|
|
|
Celgene Corp.
(a)
|
|
4,145
|
|
265,653
|
CHEMICALS
— 0.5% |
|
|
|
LyondellBasell Industries NV Class
A |
|
1,543
|
|
128,316
|
CONSUMER
FINANCE — 1.0% |
|
|
|
Discover Financial
Services
|
|
4,257
|
|
251,078
|
ELECTRIC
UTILITIES — 2.3% |
|
|
|
Exelon
Corp.
|
|
12,715
|
|
573,447
|
EQUITY
REAL ESTATE INVESTMENT TRUSTS (REITS) — 4.7% |
|
|
|
Simon Property Group, Inc.
REIT
|
|
2,691
|
|
452,061
|
STORE Capital Corp.
REIT
|
|
25,621
|
|
725,331
|
|
|
|
|
|
1,177,392
|
FOOD
& STAPLES RETAILING — 2.8% |
|
|
|
Walgreens Boots Alliance,
Inc.
|
|
10,240
|
|
699,699
|
FOOD
PRODUCTS — 2.7% |
|
|
|
Tyson Foods, Inc. Class
A |
|
12,753
|
|
681,010
|
HEALTH
CARE PROVIDERS & SERVICES — 5.1% |
|
|
|
Cigna
Corp.
|
|
1,723
|
|
327,244
|
CVS Health
Corp.
|
|
9,223
|
|
604,291
|
HCA Healthcare,
Inc.
|
|
1,071
|
|
133,286
|
Molina Healthcare, Inc.
(a)
|
|
1,623
|
|
188,625
|
|
|
|
|
|
1,253,446
|
HOTELS,
RESTAURANTS & LEISURE — 4.1% |
|
|
|
Chipotle Mexican Grill, Inc.
(a)
|
|
1,747
|
|
754,337
|
Starbucks
Corp.
|
|
3,938
|
|
253,607
|
|
|
|
|
|
1,007,944
|
HOUSEHOLD
PRODUCTS — 0.6% |
|
|
|
Procter & Gamble
Co.
|
|
1,697
|
|
155,988
|
INDEPENDENT
POWER AND RENEWABLE ELECTRICITY PRODUCERS — 5.4% |
|
|
|
AES
Corp.
|
|
34,787
|
|
503,020
|
NRG Energy,
Inc.
|
|
21,201
|
|
839,560
|
|
|
|
|
|
1,342,580
|
INSURANCE
— 6.3% |
|
|
|
MetLife,
Inc.
|
|
19,675
|
|
807,855
|
Prudential Financial,
Inc.
|
|
9,158
|
|
746,835
|
|
|
|
|
|
1,554,690
|
Security
Description |
|
|
Shares
|
|
Value
|
INTERACTIVE
MEDIA & SERVICES — 2.2% |
|
|
|
Alphabet, Inc. Class C
(a)
|
|
526
|
|
$
544,731 |
INTERNET
& DIRECT MARKETING RETAIL — 4.2% |
|
|
|
Amazon.com, Inc.
(a)
|
|
695
|
|
1,043,869
|
IT
SERVICES — 4.1% |
|
|
|
DXC Technology
Co.
|
|
8,631
|
|
458,910
|
International Business Machines
Corp.
|
|
1,122
|
|
127,538
|
VeriSign, Inc.
(a)
|
|
2,838
|
|
420,847
|
|
|
|
|
|
1,007,295
|
MACHINERY
— 4.0% |
|
|
|
Allison Transmission Holdings,
Inc.
|
|
15,782
|
|
692,988
|
Cummins,
Inc.
|
|
2,169
|
|
289,865
|
|
|
|
|
|
982,853
|
MEDIA
— 2.5% |
|
|
|
Comcast Corp. Class
A |
|
18,113
|
|
616,748
|
OIL,
GAS & CONSUMABLE FUELS — 4.0% |
|
|
|
Exxon Mobil
Corp.
|
|
6,152
|
|
419,505
|
Valero Energy
Corp.
|
|
7,751
|
|
581,092
|
|
|
|
|
|
1,000,597
|
PHARMACEUTICALS
— 10.6% |
|
|
|
Bristol-Myers Squibb
Co.
|
|
2,378
|
|
123,609
|
Eli Lilly &
Co.
|
|
8,688
|
|
1,005,375
|
Johnson &
Johnson
|
|
6,819
|
|
879,992
|
Merck & Co.,
Inc.
|
|
8,215
|
|
627,708
|
|
|
|
|
|
2,636,684
|
ROAD
& RAIL — 2.6% |
|
|
|
Union Pacific
Corp.
|
|
4,688
|
|
648,022
|
SEMICONDUCTORS
& SEMICONDUCTOR EQUIPMENT — 4.2% |
|
|
|
Intel
Corp.
|
|
22,199
|
|
1,041,799
|
SOFTWARE
— 8.3% |
|
|
|
Adobe, Inc.
(a)
|
|
1,656
|
|
374,654
|
Microsoft
Corp.
|
|
16,465
|
|
1,672,350
|
|
|
|
|
|
2,047,004
|
TECHNOLOGY
HARDWARE, STORAGE & PERIPHERALS — 3.8% |
|
|
|
Apple,
Inc.
|
|
4,729
|
|
745,952
|
Western Digital
Corp.
|
|
5,336
|
|
197,272
|
|
|
|
|
|
943,224
|
TOBACCO
— 2.3% |
|
|
|
Philip Morris International,
Inc.
|
|
8,486
|
|
566,525
|
TOTAL COMMON STOCKS (Cost
$26,053,802)
|
|
|
|
|
24,563,298
|
See accompanying notes to financial statements.
22
SPDR MFS SYSTEMATIC CORE EQUITY ETF
SCHEDULE OF
INVESTMENTS (continued)
December 31, 2018 (Unaudited)
Security
Description |
|
|
Shares
|
|
Value
|
SHORT-TERM
INVESTMENT — 0.9% |
|
|
|
State Street Institutional U.S. Government Money Market Fund, Class G Shares 2.31% (b) (c) (Cost
$237,693)
|
|
237,693
|
|
$
237,693 |
TOTAL INVESTMENTS — 99.9% (Cost
$26,291,495)
|
|
24,800,991
|
|
OTHER ASSETS IN EXCESS OF LIABILITIES — 0.1%
|
|
16,891
|
|
NET ASSETS —
100.0%
|
|
$
24,817,882 |
|
(a)
|
Non-income
producing security. |
(b)
|
The
Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2018 are shown in the Affiliate Table below. |
(c)
|
The
rate shown is the annualized seven-day yield at December 31, 2018. |
REIT
|
=
Real Estate Investment Trust |
The following table summarizes the value
of the Fund's investments according to the fair value hierarchy as of December 31, 2018.
Description
|
|
Level
1 – Quoted Prices |
|
Level
2 – Other Significant Observable Inputs |
|
Level
3 – Significant Unobservable Inputs |
|
Total
|
ASSETS:
|
|
|
|
|
|
|
|
|
INVESTMENTS:
|
|
|
|
|
|
|
|
|
Common
Stocks
|
|
$24,563,298
|
|
$—
|
|
$—
|
|
$24,563,298
|
Short-Term
Investment
|
|
237,693
|
|
—
|
|
—
|
|
237,693
|
TOTAL
INVESTMENTS
|
|
$24,800,991
|
|
$—
|
|
$—
|
|
$24,800,991
|
Affiliate
Table
|
Number
of Shares Held at 6/30/18 |
|
Value
at 6/30/18 |
|
Cost
of Purchases |
|
Proceeds
from Shares Sold |
|
Realized
Gain (Loss) |
|
Change
in Unrealized Appreciation/ Depreciation |
|
Number
of Shares Held at 12/31/18 |
|
Value
at 12/31/18 |
|
Dividend
Income |
|
Capital
Gains Distributions |
State Street Institutional U.S. Government Money Market Fund, Class G
Shares
|
285,615
|
|
$285,615
|
|
$701,469
|
|
$749,391
|
|
$—
|
|
$—
|
|
237,693
|
|
$237,693
|
|
$2,928
|
|
$—
|
See accompanying notes to financial statements.
23
SPDR MFS SYSTEMATIC GROWTH EQUITY ETF
SCHEDULE OF INVESTMENTS
December 31, 2018 (Unaudited)
Security
Description |
|
|
Shares
|
|
Value
|
COMMON
STOCKS — 99.0% |
|
|
|
|
|
AEROSPACE
& DEFENSE — 4.7% |
|
|
|
Boeing
Co.
|
|
4,698
|
|
$
1,515,105 |
AUTO
COMPONENTS — 0.4% |
|
|
|
Lear
Corp.
|
|
943
|
|
115,857
|
BIOTECHNOLOGY
— 6.5% |
|
|
|
Amgen,
Inc.
|
|
2,738
|
|
533,007
|
Biogen, Inc.
(a)
|
|
990
|
|
297,911
|
Celgene Corp.
(a)
|
|
14,957
|
|
958,594
|
Gilead Sciences,
Inc.
|
|
4,857
|
|
303,805
|
|
|
|
|
|
2,093,317
|
CAPITAL
MARKETS — 1.1% |
|
|
|
S&P Global,
Inc.
|
|
2,042
|
|
347,017
|
CHEMICALS
— 1.9% |
|
|
|
LyondellBasell Industries NV Class
A |
|
7,172
|
|
596,423
|
CONSUMER
FINANCE — 1.1% |
|
|
|
Synchrony
Financial
|
|
14,836
|
|
348,052
|
ELECTRICAL
EQUIPMENT — 1.5% |
|
|
|
Eaton Corp.
PLC
|
|
6,849
|
|
470,252
|
ENTERTAINMENT
— 2.0% |
|
|
|
Electronic Arts, Inc.
(a)
|
|
8,096
|
|
638,855
|
EQUITY
REAL ESTATE INVESTMENT TRUSTS (REITS) — 1.8% |
|
|
|
Extra Space Storage, Inc.
REIT
|
|
1,884
|
|
170,464
|
Simon Property Group, Inc.
REIT
|
|
2,401
|
|
403,344
|
|
|
|
|
|
573,808
|
FOOD
PRODUCTS — 0.9% |
|
|
|
Tyson Foods, Inc. Class
A |
|
5,157
|
|
275,384
|
HEALTH
CARE PROVIDERS & SERVICES — 9.9% |
|
|
|
AmerisourceBergen
Corp.
|
|
6,930
|
|
515,592
|
CVS Health
Corp.
|
|
10,079
|
|
660,376
|
HCA Healthcare,
Inc.
|
|
2,968
|
|
369,368
|
Molina Healthcare, Inc.
(a)
|
|
4,767
|
|
554,021
|
UnitedHealth Group,
Inc.
|
|
4,277
|
|
1,065,486
|
|
|
|
|
|
3,164,843
|
HOTELS,
RESTAURANTS & LEISURE — 5.9% |
|
|
|
Chipotle Mexican Grill, Inc.
(a)
|
|
769
|
|
332,046
|
Domino's Pizza,
Inc.
|
|
371
|
|
92,004
|
Marriott International, Inc. Class
A |
|
4,421
|
|
479,944
|
Starbucks
Corp.
|
|
15,437
|
|
994,143
|
|
|
|
|
|
1,898,137
|
HOUSEHOLD
DURABLES — 0.7% |
|
|
|
PulteGroup,
Inc.
|
|
9,092
|
|
236,301
|
INDEPENDENT
POWER & RENEWABLE ELECTRICITY PRODUCERS — 3.2% |
|
|
|
NRG Energy,
Inc.
|
|
26,165
|
|
1,036,134
|
INSURANCE
— 3.2% |
|
|
|
Allstate
Corp.
|
|
1,473
|
|
121,714
|
MetLife,
Inc.
|
|
6,777
|
|
278,264
|
Security
Description |
|
|
Shares
|
|
Value
|
Prudential Financial,
Inc.
|
|
7,704
|
|
$
628,261 |
|
|
|
|
|
1,028,239
|
INTERACTIVE
MEDIA & SERVICES — 2.6% |
|
|
|
Alphabet, Inc. Class C
(a)
|
|
798
|
|
826,417
|
INTERNET
& DIRECT MARKETING RETAIL — 11.6% |
|
|
|
Amazon.com, Inc.
(a)
|
|
1,717
|
|
2,578,882
|
Booking Holdings, Inc.
(a)
|
|
668
|
|
1,150,577
|
|
|
|
|
|
3,729,459
|
IT
SERVICES — 5.6% |
|
|
|
DXC Technology
Co.
|
|
4,427
|
|
235,384
|
International Business Machines
Corp.
|
|
8,455
|
|
961,080
|
Mastercard, Inc. Class
A |
|
363
|
|
68,480
|
VeriSign, Inc.
(a)
|
|
3,650
|
|
541,258
|
|
|
|
|
|
1,806,202
|
MACHINERY
— 2.1% |
|
|
|
Allison Transmission Holdings,
Inc.
|
|
15,344
|
|
673,755
|
PHARMACEUTICALS
— 5.2% |
|
|
|
Eli Lilly &
Co.
|
|
9,657
|
|
1,117,508
|
Johnson &
Johnson
|
|
4,191
|
|
540,849
|
|
|
|
|
|
1,658,357
|
PROFESSIONAL
SERVICES — 0.8% |
|
|
|
Verisk Analytics, Inc.
(a)
|
|
2,317
|
|
252,646
|
ROAD
& RAIL — 0.8% |
|
|
|
Union Pacific
Corp.
|
|
1,969
|
|
272,175
|
SEMICONDUCTORS
& SEMICONDUCTOR EQUIPMENT — 2.9% |
|
|
|
Broadcom,
Inc.
|
|
3,632
|
|
923,545
|
SOFTWARE
— 10.4% |
|
|
|
Adobe, Inc.
(a)
|
|
5,688
|
|
1,286,853
|
Microsoft
Corp.
|
|
12,849
|
|
1,305,073
|
ServiceNow, Inc.
(a)
|
|
4,117
|
|
733,032
|
|
|
|
|
|
3,324,958
|
SPECIALTY
RETAIL — 2.2% |
|
|
|
Best Buy Co.,
Inc.
|
|
13,221
|
|
700,184
|
TECHNOLOGY
HARDWARE, STORAGE & PERIPHERALS — 5.6% |
|
|
|
Apple,
Inc.
|
|
11,341
|
|
1,788,929
|
TOBACCO
— 3.7% |
|
|
|
Altria Group,
Inc.
|
|
21,530
|
|
1,063,367
|
Philip Morris International,
Inc.
|
|
1,867
|
|
124,641
|
|
|
|
|
|
1,188,008
|
TRADING
COMPANIES & DISTRIBUTORS — 0.7% |
|
|
|
United Rentals, Inc.
(a)
|
|
2,115
|
|
216,851
|
TOTAL COMMON STOCKS (Cost
$34,181,723)
|
|
|
|
|
31,699,210
|
See accompanying notes to financial statements.
24
SPDR MFS SYSTEMATIC GROWTH EQUITY ETF
SCHEDULE OF
INVESTMENTS (continued)
December 31, 2018 (Unaudited)
Security
Description |
|
|
Shares
|
|
Value
|
SHORT-TERM
INVESTMENT — 1.0% |
|
|
|
State Street Institutional U.S. Government Money Market Fund, Class G Shares 2.31% (b) (c) (Cost
$314,128)
|
|
314,128
|
|
$
314,128 |
TOTAL INVESTMENTS — 100.0% (Cost
$34,495,851)
|
|
32,013,338
|
|
OTHER ASSETS IN EXCESS OF LIABILITIES — 0.0%
(d)
|
|
3,850
|
|
NET ASSETS —
100.0%
|
|
$
32,017,188 |
|
(a)
|
Non-income
producing security. |
(b)
|
The
Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2018 are shown in the Affiliate Table below. |
(c)
|
The
rate shown is the annualized seven-day yield at December 31, 2018. |
(d)
|
Amount
is less than 0.05% of net assets. |
REIT
|
=
Real Estate Investment Trust |
The following table summarizes the value
of the Fund's investments according to the fair value hierarchy as of December 31, 2018.
Description
|
|
Level
1 – Quoted Prices |
|
Level
2 – Other Significant Observable Inputs |
|
Level
3 – Significant Unobservable Inputs |
|
Total
|
ASSETS:
|
|
|
|
|
|
|
|
|
INVESTMENTS:
|
|
|
|
|
|
|
|
|
Common
Stocks
|
|
$31,699,210
|
|
$—
|
|
$—
|
|
$31,699,210
|
Short-Term
Investment
|
|
314,128
|
|
—
|
|
—
|
|
314,128
|
TOTAL
INVESTMENTS
|
|
$32,013,338
|
|
$—
|
|
$—
|
|
$32,013,338
|
Affiliate
Table
|
Number
of Shares Held at 6/30/18 |
|
Value
at 6/30/18 |
|
Cost
of Purchases |
|
Proceeds
from Shares Sold |
|
Realized
Gain (Loss) |
|
Change
in Unrealized Appreciation/ Depreciation |
|
Number
of Shares Held at 12/31/18 |
|
Value
at 12/31/18 |
|
Dividend
Income |
|
Capital
Gains Distributions |
State Street Institutional U.S. Government Money Market Fund, Class G
Shares
|
414,275
|
|
$414,275
|
|
$1,178,403
|
|
$1,278,550
|
|
$—
|
|
$—
|
|
314,128
|
|
$314,128
|
|
$3,772
|
|
$—
|
See accompanying notes to financial statements.
25
SPDR MFS SYSTEMATIC VALUE EQUITY ETF
SCHEDULE OF INVESTMENTS
December 31, 2018 (Unaudited)
Security
Description |
|
|
Shares
|
|
Value
|
COMMON
STOCKS — 98.1% |
|
|
|
|
|
BANKS
— 9.4% |
|
|
|
Bank of America
Corp.
|
|
54,046
|
|
$
1,331,694 |
Citigroup,
Inc.
|
|
5,038
|
|
262,278
|
JPMorgan Chase &
Co.
|
|
12,279
|
|
1,198,676
|
|
|
|
|
|
2,792,648
|
BEVERAGES
— 1.6% |
|
|
|
Molson Coors Brewing Co. Class
B |
|
8,782
|
|
493,197
|
BIOTECHNOLOGY
— 0.6% |
|
|
|
Biogen, Inc.
(a)
|
|
627
|
|
188,677
|
CHEMICALS
— 2.3% |
|
|
|
LyondellBasell Industries NV Class
A |
|
8,174
|
|
679,750
|
COMMUNICATIONS
EQUIPMENT — 2.7% |
|
|
|
Cisco Systems,
Inc.
|
|
18,453
|
|
799,569
|
CONSUMER
FINANCE — 2.7% |
|
|
|
Discover Financial
Services
|
|
13,459
|
|
793,812
|
DIVERSIFIED
TELECOMMUNICATION SERVICES — 1.5% |
|
|
|
CenturyLink,
Inc.
|
|
10,970
|
|
166,195
|
Verizon Communications,
Inc.
|
|
5,085
|
|
285,879
|
|
|
|
|
|
452,074
|
ELECTRIC
UTILITIES — 3.7% |
|
|
|
Exelon
Corp.
|
|
24,302
|
|
1,096,020
|
ELECTRICAL
EQUIPMENT — 4.5% |
|
|
|
Eaton Corp.
PLC
|
|
11,005
|
|
755,603
|
Regal Beloit
Corp.
|
|
8,171
|
|
572,379
|
|
|
|
|
|
1,327,982
|
EQUITY
REAL ESTATE INVESTMENT TRUSTS (REITS) — 6.7% |
|
|
|
Extra Space Storage, Inc.
REIT
|
|
4,996
|
|
452,038
|
Host Hotels & Resorts, Inc.
REIT
|
|
30,683
|
|
511,485
|
Simon Property Group, Inc.
REIT
|
|
1,398
|
|
234,850
|
STORE Capital Corp.
REIT
|
|
28,315
|
|
801,598
|
|
|
|
|
|
1,999,971
|
FOOD
& STAPLES RETAILING — 2.3% |
|
|
|
Walgreens Boots Alliance,
Inc.
|
|
9,889
|
|
675,715
|
FOOD
PRODUCTS — 2.1% |
|
|
|
Tyson Foods, Inc. Class
A |
|
11,908
|
|
635,887
|
HEALTH
CARE EQUIPMENT & SUPPLIES — 0.8% |
|
|
|
Medtronic
PLC
|
|
2,615
|
|
237,861
|
HEALTH
CARE PROVIDERS & SERVICES — 4.9% |
|
|
|
Cigna
Corp.
|
|
2,138
|
|
405,988
|
CVS Health
Corp.
|
|
9,635
|
|
631,285
|
Humana,
Inc.
|
|
1,526
|
|
437,168
|
|
|
|
|
|
1,474,441
|
HOTELS,
RESTAURANTS & LEISURE — 1.4% |
|
|
|
Marriott International, Inc. Class
A |
|
1,598
|
|
173,479
|
Security
Description |
|
|
Shares
|
|
Value
|
Royal Caribbean Cruises,
Ltd.
|
|
2,613
|
|
$
255,525 |
|
|
|
|
|
429,004
|
HOUSEHOLD
DURABLES — 2.6% |
|
|
|
Toll Brothers,
Inc.
|
|
23,283
|
|
766,709
|
INDEPENDENT
POWER AND RENEWABLE ELECTRICITY PRODUCERS — 5.5% |
|
|
|
AES
Corp.
|
|
46,444
|
|
671,580
|
NRG Energy,
Inc.
|
|
24,365
|
|
964,854
|
|
|
|
|
|
1,636,434
|
INSURANCE
— 5.1% |
|
|
|
MetLife,
Inc.
|
|
16,946
|
|
695,803
|
Prudential Financial,
Inc.
|
|
9,930
|
|
809,791
|
|
|
|
|
|
1,505,594
|
IT
SERVICES — 1.5% |
|
|
|
DXC Technology
Co.
|
|
8,441
|
|
448,808
|
MACHINERY
— 2.3% |
|
|
|
Cummins,
Inc.
|
|
5,084
|
|
679,426
|
MEDIA
— 2.2% |
|
|
|
Comcast Corp. Class
A |
|
19,006
|
|
647,154
|
MULTILINE
RETAIL — 0.7% |
|
|
|
Target
Corp.
|
|
3,382
|
|
223,516
|
OIL,
GAS & CONSUMABLE FUELS — 9.1% |
|
|
|
Anadarko Petroleum
Corp.
|
|
8,994
|
|
394,297
|
Exxon Mobil
Corp.
|
|
7,938
|
|
541,292
|
Kinder Morgan,
Inc.
|
|
20,813
|
|
320,104
|
Phillips
66
|
|
7,448
|
|
641,645
|
Valero Energy
Corp.
|
|
10,719
|
|
803,604
|
|
|
|
|
|
2,700,942
|
PHARMACEUTICALS
— 11.4% |
|
|
|
Bristol-Myers Squibb
Co.
|
|
18,107
|
|
941,202
|
Eli Lilly &
Co.
|
|
7,839
|
|
907,129
|
Johnson &
Johnson
|
|
8,919
|
|
1,150,997
|
Merck & Co.,
Inc.
|
|
5,063
|
|
386,864
|
|
|
|
|
|
3,386,192
|
ROAD
& RAIL — 2.7% |
|
|
|
Union Pacific
Corp.
|
|
5,873
|
|
811,825
|
SEMICONDUCTORS
& SEMICONDUCTOR EQUIPMENT — 4.0% |
|
|
|
Intel
Corp.
|
|
25,101
|
|
1,177,990
|
SOFTWARE
— 1.1% |
|
|
|
Microsoft
Corp.
|
|
3,115
|
|
316,391
|
TOBACCO
— 2.7% |
|
|
|
Philip Morris International,
Inc.
|
|
12,084
|
|
806,728
|
TOTAL COMMON STOCKS (Cost
$31,485,427)
|
|
|
|
|
29,184,317
|
See accompanying notes to financial statements.
26
SPDR MFS SYSTEMATIC VALUE EQUITY ETF
SCHEDULE OF
INVESTMENTS (continued)
December 31, 2018 (Unaudited)
Security
Description |
|
|
Shares
|
|
Value
|
SHORT-TERM
INVESTMENT — 1.9% |
|
|
|
State Street Institutional U.S. Government Money Market Fund, Class G Shares 2.31% (b) (c) (Cost
$570,956)
|
|
570,956
|
|
$
570,956 |
TOTAL INVESTMENTS — 100.0% (Cost
$32,056,383)
|
|
29,755,273
|
|
OTHER ASSETS IN EXCESS OF LIABILITIES — 0.0%
(d)
|
|
10,734
|
|
NET ASSETS —
100.0%
|
|
$
29,766,007 |
|
(a)
|
Non-income
producing security. |
(b)
|
The
Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2018 are shown in the Affiliate Table below. |
(c)
|
The
rate shown is the annualized seven-day yield at December 31, 2018. |
(d)
|
Amount
is less than 0.05% of net assets. |
REIT
|
=
Real Estate Investment Trust |
The following table summarizes the value
of the Fund's investments according to the fair value hierarchy as of December 31, 2018.
Description
|
|
Level
1 – Quoted Prices |
|
Level
2 – Other Significant Observable Inputs |
|
Level
3 – Significant Unobservable Inputs |
|
Total
|
ASSETS:
|
|
|
|
|
|
|
|
|
INVESTMENTS:
|
|
|
|
|
|
|
|
|
Common
Stocks
|
|
$29,184,317
|
|
$—
|
|
$—
|
|
$29,184,317
|
Short-Term
Investment
|
|
570,956
|
|
—
|
|
—
|
|
570,956
|
TOTAL
INVESTMENTS
|
|
$29,755,273
|
|
$—
|
|
$—
|
|
$29,755,273
|
Affiliate
Table
|
Number
of Shares Held at 6/30/18 |
|
Value
at 6/30/18 |
|
Cost
of Purchases |
|
Proceeds
from Shares Sold |
|
Realized
Gain (Loss) |
|
Change
in Unrealized Appreciation/ Depreciation |
|
Number
of Shares Held at 12/31/18 |
|
Value
at 12/31/18 |
|
Dividend
Income |
|
Capital
Gains Distributions |
State Street Institutional U.S. Government Money Market Fund, Class G
Shares
|
272,118
|
|
$272,118
|
|
$1,086,685
|
|
$787,847
|
|
$—
|
|
$—
|
|
570,956
|
|
$570,956
|
|
$4,011
|
|
$—
|
See accompanying notes to financial statements.
27
[This Page Intentionally Left Blank]
SSGA ACTIVE TRUST
STATEMENTS OF ASSETS AND LIABILITIES
December 31, 2018 (Unaudited)
|
SPDR
SSGA Multi-Asset Real Return ETF |
|
SPDR
SSGA Income Allocation ETF |
|
SPDR
SSGA Global Allocation ETF |
ASSETS
|
|
|
|
|
|
Investments in unaffiliated issuers, at
value*
|
$
32,132,989 |
|
$
8,325,449 |
|
$
5,252,801 |
Investments in affiliated issuers, at
value
|
105,241,262
|
|
104,290,642
|
|
291,376,083
|
Total
Investments
|
137,374,251
|
|
112,616,091
|
|
296,628,884
|
Cash
|
162
|
|
—
|
|
324
|
Receivable for fund shares
sold
|
—
|
|
61,196
|
|
—
|
Dividends receivable — unaffiliated
issuers
|
—
|
|
—
|
|
517,638
|
Dividends receivable — affiliated
issuers
|
6,563
|
|
2,859
|
|
50,775
|
Interest receivable — unaffiliated
issuers
|
—
|
|
—
|
|
—
|
Securities lending income receivable — unaffiliated
issuers
|
—
|
|
—
|
|
27,441
|
Securities lending income receivable — affiliated issuers
|
11,736
|
|
18,653
|
|
48,927
|
TOTAL ASSETS
|
137,392,712
|
|
112,698,799
|
|
297,273,989
|
LIABILITIES
|
|
|
|
|
|
Payable upon return of securities
loaned
|
2,474,439
|
|
11,704,139
|
|
31,494,853
|
Payable for investments
purchased
|
—
|
|
—
|
|
—
|
Payable for fund shares
repurchased
|
6
|
|
—
|
|
722,662
|
Advisory fee
payable
|
14,582
|
|
20,046
|
|
47,255
|
Trustees’ fees and expenses
payable
|
27
|
|
18
|
|
48
|
TOTAL LIABILITIES
|
2,489,054
|
|
11,724,203
|
|
32,264,818
|
NET ASSETS
|
$134,903,658
|
|
$100,974,596
|
|
$265,009,171
|
NET
ASSETS CONSIST OF: |
|
|
|
|
|
Paid-in
Capital
|
$187,422,434
|
|
$110,991,573
|
|
$273,892,205
|
Total distributable earnings
(loss)
|
(52,518,776)
|
|
(10,016,977)
|
|
(8,883,034)
|
NET ASSETS
|
$134,903,658
|
|
$100,974,596
|
|
$265,009,171
|
NET
ASSET VALUE PER SHARE |
|
|
|
|
|
Net asset value per
share
|
$
22.87 |
|
$
30.60 |
|
$
34.64 |
Shares outstanding (unlimited amount authorized, no par
value)
|
5,900,000
|
|
3,300,000
|
|
7,650,000
|
COST
OF INVESTMENTS: |
|
|
|
|
|
Investments in unaffiliated
issuers
|
$
37,933,486 |
|
$
9,798,263 |
|
$
5,897,867 |
Investments in affiliated
issuers
|
115,414,665
|
|
110,019,713
|
|
293,662,074
|
Total cost of
investments
|
$153,348,151
|
|
$119,817,976
|
|
$299,559,941
|
* Includes investments in securities on loan, at
value
|
$
2,527,890 |
|
$
15,826,312 |
|
$
97,809,604 |
See accompanying notes to financial
statements.
29
SPDR
SSGA Ultra Short Term Bond ETF |
|
SPDR
MFS Systematic Core Equity ETF |
|
SPDR
MFS Systematic Growth Equity ETF |
|
SPDR
MFS Systematic Value Equity ETF |
|
|
|
|
|
|
|
$141,849,466
|
|
$24,563,298
|
|
$31,699,210
|
|
$29,184,317
|
18,344,408
|
|
237,693
|
|
314,128
|
|
570,956
|
160,193,874
|
|
24,800,991
|
|
32,013,338
|
|
29,755,273
|
83
|
|
20
|
|
—
|
|
28
|
—
|
|
—
|
|
—
|
|
—
|
—
|
|
30,628
|
|
22,409
|
|
50,723
|
19,356
|
|
679
|
|
664
|
|
1,095
|
423,182
|
|
—
|
|
—
|
|
—
|
—
|
|
—
|
|
—
|
|
—
|
—
|
|
—
|
|
—
|
|
—
|
160,636,495
|
|
24,832,318
|
|
32,036,411
|
|
29,807,119
|
|
|
|
|
|
|
|
—
|
|
—
|
|
—
|
|
—
|
4,123,072
|
|
—
|
|
—
|
|
—
|
—
|
|
—
|
|
—
|
|
22,140
|
22,856
|
|
14,431
|
|
19,187
|
|
18,965
|
12
|
|
5
|
|
36
|
|
7
|
4,145,940
|
|
14,436
|
|
19,223
|
|
41,112
|
$156,490,555
|
|
$24,817,882
|
|
$32,017,188
|
|
$29,766,007
|
|
|
|
|
|
|
|
$157,137,316
|
|
$26,299,383
|
|
$35,046,188
|
|
$32,422,740
|
(646,761)
|
|
(1,481,501)
|
|
(3,029,000)
|
|
(2,656,733)
|
$156,490,555
|
|
$24,817,882
|
|
$32,017,188
|
|
$29,766,007
|
|
|
|
|
|
|
|
$
40.13 |
|
$
70.91 |
|
$
71.15 |
|
$
59.53 |
3,900,000
|
|
350,000
|
|
450,000
|
|
500,000
|
|
|
|
|
|
|
|
$142,135,047
|
|
$26,053,802
|
|
$34,181,723
|
|
$31,485,427
|
18,344,408
|
|
237,693
|
|
314,128
|
|
570,956
|
$160,479,455
|
|
$26,291,495
|
|
$34,495,851
|
|
$32,056,383
|
$
— |
|
$
— |
|
$
— |
|
$
— |
SSGA ACTIVE TRUST
STATEMENTS OF
OPERATIONS
For the Six Months Ended December 31, 2018
(Unaudited)
|
SPDR
SSGA Multi-Asset Real Return ETF |
|
SPDR
SSGA Income Allocation ETF |
|
SPDR
SSGA Global Allocation ETF |
INVESTMENT
INCOME |
|
|
|
|
|
Interest income — unaffiliated
issuers
|
$
— |
|
$
— |
|
$
— |
Dividend income — unaffiliated
issuers
|
286,838
|
|
185,926
|
|
88,550
|
Dividend income — affiliated
issuers
|
1,900,832
|
|
2,265,986
|
|
3,485,435
|
Unaffiliated securities lending
income
|
25,109
|
|
40,572
|
|
67,859
|
Affiliated securities lending
income
|
77,617
|
|
76,371
|
|
208,124
|
Other
income
|
—
|
|
—
|
|
—
|
TOTAL INVESTMENT INCOME
(LOSS)
|
2,290,396
|
|
2,568,855
|
|
3,849,968
|
EXPENSES
|
|
|
|
|
|
Advisory
fee
|
108,876
|
|
97,813
|
|
207,166
|
Trustees’ fees and expenses
|
1,245
|
|
811
|
|
2,165
|
TOTAL
EXPENSES
|
110,121
|
|
98,624
|
|
209,331
|
NET INVESTMENT INCOME
(LOSS)
|
$
2,180,275 |
|
$
2,470,231 |
|
$
3,640,637 |
REALIZED
AND UNREALIZED GAIN (LOSS) |
|
|
|
|
|
Net
realized gain (loss) on: |
|
|
|
|
|
Investments — unaffiliated
issuers
|
(115,361)
|
|
42,292
|
|
(113,297)
|
Investments — affiliated
issuers
|
(1,057,924)
|
|
4,172,127
|
|
292,761
|
In-kind redemptions — unaffiliated
issuers
|
(47,436)
|
|
—
|
|
485,536
|
In-kind redemptions — affiliated
issuers
|
370,490
|
|
—
|
|
1,203,024
|
Net realized gain
(loss)
|
(850,231)
|
|
4,214,419
|
|
1,868,024
|
Net
change in unrealized appreciation/depreciation on: |
|
|
|
|
|
Investments — unaffiliated
issuers
|
(5,834,991)
|
|
(1,472,814)
|
|
(1,182,228)
|
Investments — affiliated
issuers
|
(14,126,742)
|
|
(8,154,537)
|
|
(23,021,099)
|
Net change in unrealized
appreciation/depreciation
|
(19,961,733)
|
|
(9,627,351)
|
|
(24,203,327)
|
NET REALIZED AND UNREALIZED GAIN
(LOSS)
|
(20,811,964)
|
|
(5,412,932)
|
|
(22,335,303)
|
NET INCREASE (DECREASE) IN NET ASSETS FROM
OPERATIONS
|
$(18,631,689)
|
|
$(2,942,701)
|
|
$(18,694,666)
|
See accompanying notes to financial
statements.
31
SPDR
SSGA Ultra Short Term Bond ETF |
|
SPDR
MFS Systematic Core Equity ETF |
|
SPDR
MFS Systematic Growth Equity ETF |
|
SPDR
MFS Systematic Value Equity ETF |
|
|
|
|
|
|
|
1,134,239
|
|
$
— |
|
$
— |
|
$
— |
—
|
|
295,045
|
|
318,482
|
|
485,975
|
33,147
|
|
2,928
|
|
3,772
|
|
4,011
|
—
|
|
—
|
|
—
|
|
—
|
—
|
|
—
|
|
—
|
|
—
|
—
|
|
—
|
|
982
|
|
—
|
1,167,386
|
|
297,973
|
|
323,236
|
|
489,986
|
|
|
|
|
|
|
|
94,649
|
|
82,961
|
|
125,987
|
|
109,764
|
507
|
|
236
|
|
402
|
|
287
|
95,156
|
|
83,197
|
|
126,389
|
|
110,051
|
$1,072,230
|
|
$
214,776 |
|
$
196,847 |
|
$
379,935 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,015
|
|
27,575
|
|
(494,683)
|
|
(338,707)
|
—
|
|
—
|
|
—
|
|
—
|
—
|
|
485,698
|
|
617,263
|
|
277,704
|
—
|
|
—
|
|
—
|
|
—
|
2,015
|
|
513,273
|
|
122,580
|
|
(61,003)
|
|
|
|
|
|
|
|
(290,497)
|
|
(1,925,077)
|
|
(4,142,048)
|
|
(3,180,246)
|
—
|
|
—
|
|
—
|
|
—
|
(290,497)
|
|
(1,925,077)
|
|
(4,142,048)
|
|
(3,180,246)
|
(288,482)
|
|
(1,411,804)
|
|
(4,019,468)
|
|
(3,241,249)
|
$
783,748 |
|
$(1,197,028)
|
|
$(3,822,621)
|
|
$(2,861,314)
|
SSGA ACTIVE TRUST
STATEMENTS OF CHANGES IN NET ASSETS
|
SPDR
SSGA Multi-Asset Real Return ETF |
|
SPDR
SSGA Income Allocation ETF |
|
Six
Months Ended 12/31/18 (Unaudited) |
|
Year
Ended 6/30/18 |
|
Six
Months Ended 12/31/18 (Unaudited) |
|
Year
Ended 6/30/18 |
INCREASE
(DECREASE) IN NET ASSETS FROM OPERATIONS: |
|
|
|
|
|
|
|
Net investment income
(loss)
|
$
2,180,275 |
|
$
2,500,965 |
|
$
2,470,231 |
|
$
3,011,514 |
Net realized gain
(loss)
|
(850,231)
|
|
(665,727)
|
|
4,214,419
|
|
1,992,130
|
Net change in unrealized
appreciation/depreciation
|
(19,961,733)
|
|
12,559,946
|
|
(9,627,351)
|
|
(1,755,232)
|
Net increase (decrease) in net assets resulting from
operations
|
(18,631,689)
|
|
14,395,184
|
|
(2,942,701)
|
|
3,248,412
|
Net equalization credits and
charges
|
42,098
|
|
(6,781)
|
|
104,356
|
|
(16,838)
|
Distributions to shareholders (Note
11)
|
(2,193,567)
|
|
(2,524,937)
|
|
(2,785,284)
|
|
(2,983,228)
|
FROM
BENEFICIAL INTEREST TRANSACTIONS: |
|
|
|
|
|
|
|
Proceeds from sale of shares
sold
|
24,532,577
|
|
44,751,476
|
|
14,312,912
|
|
4,988,040
|
Cost of shares
redeemed
|
(12,545,637)
|
|
(27,954,964)
|
|
—
|
|
(8,240,529)
|
Net income
equalization
|
(42,098)
|
|
6,781
|
|
(104,356)
|
|
16,838
|
Other
Capital
|
—
|
|
—
|
|
686
|
|
—
|
Net increase (decrease) in net assets from beneficial interest transactions
|
11,944,842
|
|
16,803,293
|
|
14,209,242
|
|
(3,235,651)
|
Net increase (decrease) in net assets during the
period
|
(8,838,316)
|
|
28,666,759
|
|
8,585,613
|
|
(2,987,305)
|
Net assets at beginning of
period
|
143,741,974
|
|
115,075,215
|
|
92,388,983
|
|
95,376,288
|
NET ASSETS AT END OF
PERIOD
|
$134,903,658
|
|
$143,741,974
|
|
$100,974,596
|
|
$92,388,983
|
SHARES
OF BENEFICIAL INTEREST: |
|
|
|
|
|
|
|
Shares
sold
|
1,000,000
|
|
1,700,000
|
|
450,000
|
|
150,000
|
Shares
redeemed
|
(500,000)
|
|
(1,100,000)
|
|
—
|
|
(250,000)
|
Net increase (decrease) from share
transactions
|
500,000
|
|
600,000
|
|
450,000
|
|
(100,000)
|
See accompanying notes to financial
statements.
33
SPDR
SSGA Global Allocation ETF |
|
SPDR
SSGA Ultra Short Term Bond ETF |
|
SPDR
MFS Systematic Core Equity ETF |
Six
Months Ended 12/31/18 (Unaudited) |
|
Year
Ended 6/30/18 |
|
Six
Months Ended 12/31/18 (Unaudited) |
|
Year
Ended 6/30/18 |
|
Six
Months Ended 12/31/18 (Unaudited) |
|
Year
Ended 6/30/18 |
|
|
|
|
|
|
|
|
|
|
|
$
3,640,637 |
|
$
4,967,140 |
|
$
1,072,230 |
|
$
478,526 |
|
$
214,776 |
|
$
235,376 |
1,868,024
|
|
5,473,116
|
|
2,015
|
|
(8,832)
|
|
513,273
|
|
1,524,281
|
(24,203,327)
|
|
7,172,319
|
|
(290,497)
|
|
(34,849)
|
|
(1,925,077)
|
|
(468,942)
|
(18,694,666)
|
|
17,612,575
|
|
783,748
|
|
434,845
|
|
(1,197,028)
|
|
1,290,715
|
61,705
|
|
32,328
|
|
66,453
|
|
31,387
|
|
(2,607)
|
|
9,845
|
(3,660,053)
|
|
(5,038,036)
|
|
(1,194,117)
|
|
(440,203)
|
|
(227,285)
|
|
(362,453)
|
|
|
|
|
|
|
|
|
|
|
|
61,365,062
|
|
34,147,005
|
|
110,538,023
|
|
48,298,111
|
|
—
|
|
33,108,321
|
(22,930,097)
|
|
(5,573,015)
|
|
(4,025,667)
|
|
(16,107,275)
|
|
(3,860,177)
|
|
(10,795,866)
|
(61,705)
|
|
(32,328)
|
|
(66,453)
|
|
(31,387)
|
|
2,607
|
|
(9,845)
|
—
|
|
—
|
|
45,020
|
|
40,638
|
|
—
|
|
(35)
|
38,373,260
|
|
28,541,662
|
|
106,490,923
|
|
32,200,087
|
|
(3,857,570)
|
|
22,302,575
|
16,080,246
|
|
41,148,529
|
|
106,147,007
|
|
32,226,116
|
|
(5,284,490)
|
|
23,240,682
|
248,928,925
|
|
207,780,396
|
|
50,343,548
|
|
18,117,432
|
|
30,102,372
|
|
6,861,690
|
$265,009,171
|
|
$248,928,925
|
|
$156,490,555
|
|
$
50,343,548 |
|
$24,817,882
|
|
$
30,102,372 |
|
|
|
|
|
|
|
|
|
|
|
1,700,000
|
|
900,000
|
|
2,750,000
|
|
1,200,000
|
|
—
|
|
450,000
|
(650,000)
|
|
(150,000)
|
|
(100,000)
|
|
(400,000)
|
|
(50,000)
|
|
(150,000)
|
1,050,000
|
|
750,000
|
|
2,650,000
|
|
800,000
|
|
(50,000)
|
|
300,000
|
SSGA ACTIVE TRUST
STATEMENTS OF CHANGES IN NET ASSETS (continued)
|
SPDR
MFS Systematic Growth Equity ETF |
|
SPDR
MFS Systematic Value Equity ETF |
|
Six
Months Ended 12/31/18 (Unaudited) |
|
Year
Ended 6/30/18 |
|
Six
Months Ended 12/31/18 (Unaudited) |
|
Year
Ended 6/30/18 |
INCREASE
(DECREASE) IN NET ASSETS FROM OPERATIONS: |
|
|
|
|
|
|
|
Net investment income
(loss)
|
$
196,847 |
|
$
381,971 |
|
$
379,935 |
|
$
249,431 |
Net realized gain
(loss)
|
122,580
|
|
4,551,843
|
|
(61,003)
|
|
397,026
|
Net change in unrealized
appreciation/depreciation
|
(4,142,048)
|
|
1,473,870
|
|
(3,180,246)
|
|
337,481
|
Net increase (decrease) in net assets resulting from
operations
|
(3,822,621)
|
|
6,407,684
|
|
(2,861,314)
|
|
983,938
|
Net equalization credits and
charges
|
—
|
|
24,904
|
|
2,080
|
|
25,776
|
Distributions to shareholders (Note
11)
|
(677,366)
|
|
(501,100)
|
|
(693,997)
|
|
(372,595)
|
FROM
BENEFICIAL INTEREST TRANSACTIONS: |
|
|
|
|
|
|
|
Proceeds from sale of shares
sold
|
—
|
|
27,658,642
|
|
3,345,237
|
|
26,360,403
|
Cost of shares
redeemed
|
(7,906,693)
|
|
(28,220,128)
|
|
(2,976,598)
|
|
—
|
Net income
equalization
|
—
|
|
(24,904)
|
|
(2,080)
|
|
(25,776)
|
Net increase (decrease) in net assets from beneficial interest transactions
|
(7,906,693)
|
|
(586,390)
|
|
366,559
|
|
26,334,627
|
Net increase (decrease) in net assets during the
period
|
(12,406,680)
|
|
5,345,098
|
|
(3,186,672)
|
|
26,971,746
|
Net assets at beginning of
period
|
44,423,868
|
|
39,078,770
|
|
32,952,679
|
|
5,980,933
|
NET ASSETS AT END OF
PERIOD
|
$
32,017,188 |
|
$
44,423,868 |
|
$29,766,007
|
|
$32,952,679
|
SHARES
OF BENEFICIAL INTEREST: |
|
|
|
|
|
|
|
Shares
sold
|
—
|
|
350,000
|
|
50,000
|
|
400,000
|
Shares
redeemed
|
(100,000)
|
|
(350,000)
|
|
(50,000)
|
|
—
|
Net increase (decrease) from share
transactions
|
(100,000)
|
|
—
|
|
—
|
|
400,000
|
See accompanying notes to financial statements.
35
SSGA ACTIVE TRUST
FINANCIAL HIGHLIGHTS
Selected data for a share outstanding throughout each period
|
SPDR
SSGA Multi-Asset Real Return ETF |
|
Six
Months Ended 12/31/18 (Unaudited) |
|
Year
Ended 6/30/18(a) |
|
Year
Ended 6/30/17(a) |
|
Year
Ended 6/30/16(a) |
|
Year
Ended 6/30/15(a) |
|
Year
Ended 6/30/14(a) |
Net asset value, beginning of
period
|
$
26.62 |
|
$
23.97 |
|
$
24.38 |
|
$
25.85 |
|
$
30.86 |
|
$
27.68 |
Income
(loss) from investment operations: |
|
|
|
|
|
|
|
|
|
|
|
Net investment income (loss)
(b)
|
0.40
|
|
0.53
|
|
0.56
|
|
0.30
|
|
0.43
|
|
0.57
|
Net realized and unrealized gain (loss)
(c)
|
(3.78)
|
|
2.64
|
|
(0.44)
|
|
(1.43)
|
|
(5.02)
|
|
3.22
|
Total from investment
operations
|
(3.38)
|
|
3.17
|
|
0.12
|
|
(1.13)
|
|
(4.59)
|
|
3.79
|
Net equalization credits and charges
(b)
|
0.01
|
|
(0.00)(d)
|
|
0.01
|
|
0.01
|
|
0.01
|
|
0.01
|
Distributions
to shareholders from: |
|
|
|
|
|
|
|
|
|
|
|
Net investment
income
|
(0.38)
|
|
(0.52)
|
|
(0.54)
|
|
(0.35)
|
|
(0.43)
|
|
(0.62)
|
Net asset value, end of
period
|
$
22.87 |
|
$
26.62 |
|
$
23.97 |
|
$
24.38 |
|
$
25.85 |
|
$
30.86 |
Total return
(e)
|
(12.71)%
|
|
13.26%
|
|
0.56%
|
|
(4.22)%
|
|
(14.84)%
|
|
13.85%
|
Ratios
and Supplemental Data: |
|
|
|
|
|
|
|
|
|
|
|
Net assets, end of period (in
000s)
|
$134,904
|
|
$143,742
|
|
$115,075
|
|
$80,441
|
|
$140,895
|
|
$163,580
|
Ratios
to average net assets: |
|
|
|
|
|
|
|
|
|
|
|
Total
expenses
|
0.16%(f)
|
|
0.22%
|
|
0.22%
|
|
0.28%
|
|
0.23%
|
|
0.24%
|
Net investment income
(loss)
|
3.08%(f)
|
|
2.04%
|
|
2.28%
|
|
1.29%
|
|
1.53%
|
|
1.97%
|
Portfolio turnover
rate
|
11%(g)
|
|
44%(h)
|
|
46%(h)
|
|
25%(h)
|
|
33%(h)
|
|
40%(h)
|
(a)
|
The
per share amounts and percentages include the Fund’s proportionate share of income and expenses of the Portfolio prior to discontinuance of the master feeder structure. See Note 1. |
(b)
|
Per
share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the period. |
(c)
|
Amounts
shown in this caption for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period because of the timing of sales and repurchases of Fund shares in relation to fluctuating market values
for the Fund. |
(d)
|
Amount
is less than $0.005 per share. |
(e)
|
Total
return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net
asset value per share on the respective payment dates of each distribution. Total returns for periods of less than one year are not annualized. Broker commission charges are not included in this calculation. |
(f)
|
Annualized.
|
(g)
|
Not
annualized. |
(h)
|
Portfolio
turnover is from the Fund's Portfolio prior to discontinuance of master-feeder structure. See Note 1. |
See accompanying notes to financial statements.
36
SSGA ACTIVE TRUST
FINANCIAL HIGHLIGHTS (continued)
Selected data for a share outstanding throughout each period
|
SPDR
SSGA Income Allocation ETF |
|
Six
Months Ended 12/31/18 (Unaudited) |
|
Year
Ended 6/30/18(a) |
|
Year
Ended 6/30/17(a) |
|
Year
Ended 6/30/16(a) |
|
Year
Ended 6/30/15(a) |
|
Year
Ended 6/30/14(a) |
Net asset value, beginning of
period
|
$
32.42 |
|
$
32.33 |
|
$
31.23 |
|
$
31.16 |
|
$
32.70 |
|
$
29.90 |
Income
(loss) from investment operations: |
|
|
|
|
|
|
|
|
|
|
|
Net investment income (loss)
(b)
|
0.85
|
|
1.02
|
|
1.10
|
|
0.93
|
|
0.97
|
|
1.16
|
Net realized and unrealized gain (loss)
(c)
|
(1.82)
|
|
0.09
|
|
0.98
|
|
0.22
|
|
(1.51)
|
|
2.86
|
Total from investment
operations
|
(0.97)
|
|
1.11
|
|
2.08
|
|
1.15
|
|
(0.54)
|
|
4.02
|
Net equalization credits and charges
(b)
|
0.04
|
|
(0.01)
|
|
(0.01)
|
|
(0.02)
|
|
0.02
|
|
(0.03)
|
Other capital
(b)
|
0.00(d)
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
Distributions
to shareholders from: |
|
|
|
|
|
|
|
|
|
|
|
Net investment
income
|
(0.89)
|
|
(1.01)
|
|
(0.97)
|
|
(1.06)
|
|
(1.02)
|
|
(1.19)
|
Net asset value, end of
period
|
$
30.60 |
|
$
32.42 |
|
$
32.33 |
|
$
31.23 |
|
$
31.16 |
|
$
32.70 |
Total return
(e)
|
(2.88)%
|
|
3.34%
|
|
6.78%
|
|
3.77%
|
|
(1.59)%
|
|
13.57%
|
Ratios
and Supplemental Data: |
|
|
|
|
|
|
|
|
|
|
|
Net assets, end of period (in
000s)
|
$100,975
|
|
$92,389
|
|
$95,376
|
|
$104,605
|
|
$120,020
|
|
$103,035
|
Ratios
to average net assets: |
|
|
|
|
|
|
|
|
|
|
|
Total
expenses
|
0.21%(f)
|
|
0.39%
|
|
0.37%
|
|
0.37%
|
|
0.35%
|
|
0.36%
|
Net investment income
(loss)
|
5.23%(f)
|
|
3.07%
|
|
3.49%
|
|
3.07%
|
|
3.00%
|
|
3.73%
|
Portfolio turnover
rate
|
57%(g)
|
|
29%(h)
|
|
47%(h)
|
|
54%(h)
|
|
64%(h)
|
|
63%(h)
|
(a)
|
The
per share amounts and percentages include the Fund’s proportionate share of income and expenses of the Portfolio prior to discontinuance of the master feeder structure. See Note 1. |
(b)
|
Per
share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the period. |
(c)
|
Amounts
shown in this caption for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period because of the timing of sales and repurchases of Fund shares in relation to fluctuating market values
for the Fund. |
(d)
|
Amount
is less than $0.005 per share. |
(e)
|
Total
return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net
asset value per share on the respective payment dates of each distribution. Total returns for periods of less than one year are not annualized. Broker commission charges are not included in this calculation. |
(f)
|
Annualized.
|
(g)
|
Not
annualized. |
(h)
|
Portfolio
turnover is from the Fund's Portfolio prior to discontinuance of master-feeder structure. See Note 1. |
See accompanying notes to financial statements.
37
SSGA ACTIVE TRUST
FINANCIAL HIGHLIGHTS (continued)
Selected data for a share outstanding throughout each period
|
SPDR
SSGA Global Allocation ETF |
|
Six
Months Ended 12/31/18 (Unaudited) |
|
Year
Ended 6/30/18(a) |
|
Year
Ended 6/30/17(a) |
|
Year
Ended 6/30/16(a) |
|
Year
Ended 6/30/15(a) |
|
Year
Ended 6/30/14(a) |
Net asset value, beginning of
period
|
$
37.72 |
|
$
35.52 |
|
$
33.35 |
|
$
34.61 |
|
$
35.47 |
|
$
31.18 |
Income
(loss) from investment operations: |
|
|
|
|
|
|
|
|
|
|
|
Net investment income (loss)
(b)
|
0.53
|
|
0.81
|
|
0.99
|
|
0.81
|
|
0.92
|
|
0.98
|
Net realized and unrealized gain (loss)
(c)
|
(3.13)
|
|
2.18
|
|
2.03
|
|
(1.09)
|
|
(0.73)
|
|
4.20
|
Total from investment
operations
|
(2.60)
|
|
2.99
|
|
3.02
|
|
(0.28)
|
|
0.19
|
|
5.18
|
Net equalization credits and charges
(b)
|
0.01
|
|
0.01
|
|
0.00(d)
|
|
0.02
|
|
0.05
|
|
0.02
|
Distributions
to shareholders from: |
|
|
|
|
|
|
|
|
|
|
|
Net investment
income
|
(0.49)
|
|
(0.80)
|
|
(0.85)
|
|
(0.94)
|
|
(0.91)
|
|
(0.91)
|
Net realized
gains
|
—
|
|
—
|
|
—
|
|
(0.06)
|
|
(0.19)
|
|
—
|
Total
distributions
|
(0.49)
|
|
(0.80)
|
|
(0.85)
|
|
(1.00)
|
|
(1.10)
|
|
(0.91)
|
Net asset value, end of
period
|
$
34.64 |
|
$
37.72 |
|
$
35.52 |
|
$
33.35 |
|
$
34.61 |
|
$
35.47 |
Total return
(e)
|
(6.90)%
|
|
8.46%
|
|
9.14%
|
|
(0.63)%
|
|
0.66%
|
|
16.81%
|
Ratios
and Supplemental Data: |
|
|
|
|
|
|
|
|
|
|
|
Net assets, end of period (in
000s)
|
$265,009
|
|
$248,929
|
|
$207,780
|
|
$185,112
|
|
$143,655
|
|
$97,589
|
Ratios
to average net assets: |
|
|
|
|
|
|
|
|
|
|
|
Total
expenses
|
0.16%(f)
|
|
0.20%
|
|
0.20%
|
|
0.20%
|
|
0.20%
|
|
0.20%
|
Net
expenses
|
0.16%(f)
|
|
0.09%
|
|
0.01%
|
|
0.06%
|
|
0.05%
|
|
0.05%
|
Net investment income
(loss)
|
2.85%(f)
|
|
2.14%
|
|
2.91%
|
|
2.45%
|
|
2.60%
|
|
2.91%
|
Portfolio turnover
rate
|
26%(g)
|
|
43%(h)
|
|
90%(h)
|
|
86%(h)
|
|
98%(h)
|
|
89%(h)
|
(a)
|
The
per share amounts and percentages include the Fund’s proportionate share of income and expenses of the Portfolio prior to discontinuance of the master feeder structure. See Note 1. |
(b)
|
Per
share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the period. |
(c)
|
Amounts
shown in this caption for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period because of the timing of sales and repurchases of Fund shares in relation to fluctuating market values
for the Fund. |
(d)
|
Amount
is less than $0.005 per share. |
(e)
|
Total
return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net
asset value per share on the respective payment dates of each distribution. Total returns for periods of less than one year are not annualized. Broker commission charges are not included in this calculation. |
(f)
|
Annualized.
|
(g)
|
Not
annualized. |
(h)
|
Portfolio
turnover is from the Fund's Portfolio prior to discontinuance of master-feeder structure. See Note 1. |
See accompanying notes to financial statements.
38
SSGA ACTIVE TRUST
FINANCIAL HIGHLIGHTS (continued)
Selected data for a share outstanding throughout each period
|
SPDR
SSGA Ultra Short Term Bond ETF |
|
Six
Months Ended 12/31/18 (Unaudited) |
|
Year
Ended 6/30/18(a) |
|
Year
Ended 6/30/17(a) |
|
Year
Ended 6/30/16(a) |
|
Year
Ended 6/30/15(a) |
|
For
the Period 10/9/13* - 6/30/14(a) |
Net asset value, beginning of
period
|
$
40.27 |
|
$
40.26 |
|
$
40.06 |
|
$
40.05 |
|
$
40.10 |
|
$
40.00 |
Income
(loss) from investment operations: |
|
|
|
|
|
|
|
|
|
|
|
Net investment income (loss)
(b)
|
0.46
|
|
0.68
|
|
0.44
|
|
0.27
|
|
0.13
|
|
0.10
|
Net realized and unrealized gain (loss)
(c)
|
(0.12)
|
|
(0.14)
|
|
0.13
|
|
(0.21)
|
|
(0.05)
|
|
0.03
|
Total from investment
operations
|
0.34
|
|
0.54
|
|
0.57
|
|
0.06
|
|
0.08
|
|
0.13
|
Net equalization credits and charges
(b)
|
0.03
|
|
0.04
|
|
(0.00)(d)
|
|
0.07
|
|
0.00(d)
|
|
0.00(d)
|
Other capital
(b)
|
0.02
|
|
0.06
|
|
0.05
|
|
0.12
|
|
0.01
|
|
0.05
|
Distributions
to shareholders from: |
|
|
|
|
|
|
|
|
|
|
|
Net investment
income
|
(0.53)
|
|
(0.63)
|
|
(0.42)
|
|
(0.18)
|
|
(0.14)
|
|
(0.08)
|
Net realized
gains
|
—
|
|
—
|
|
—
|
|
(0.06)
|
|
—
|
|
—
|
Total
distributions
|
(0.53)
|
|
(0.63)
|
|
(0.42)
|
|
(0.24)
|
|
(0.14)
|
|
(0.08)
|
Net asset value, end of
period
|
$
40.13 |
|
$
40.27 |
|
$
40.26 |
|
$
40.06 |
|
$
40.05 |
|
$
40.10 |
Total return
(e)
|
0.94%
|
|
1.60%
|
|
1.53%
|
|
0.65%
|
|
0.20%
|
|
0.46%
|
Ratios
and Supplemental Data: |
|
|
|
|
|
|
|
|
|
|
|
Net assets, end of period (in
000s)
|
$156,491
|
|
$50,344
|
|
$18,117
|
|
$24,039
|
|
$16,018
|
|
$14,035
|
Ratios
to average net assets: |
|
|
|
|
|
|
|
|
|
|
|
Total
expenses
|
0.20%(f)
|
|
0.20%
|
|
0.20%
|
|
0.20%
|
|
0.20%
|
|
0.20%(f)
|
Net investment income
(loss)
|
2.27%(f)
|
|
1.70%
|
|
1.09%
|
|
0.69%
|
|
0.33%
|
|
0.34%(f)
|
Portfolio turnover
rate
|
5%(g)
|
|
76%(h)
|
|
83%(h)
|
|
407%(h)
|
|
79%(h)
|
|
39%(g)(h)
|
*
|
Commencement
of operations. |
(a)
|
The
per share amounts and percentages include the Fund’s proportionate share of income and expenses of the Portfolio prior to discontinuance of the master feeder structure. See Note 1. |
(b)
|
Per
share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the period. |
(c)
|
Amounts
shown in this caption for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period because of the timing of sales and repurchases of Fund shares in relation to fluctuating market values
for the Fund. |
(d)
|
Amount
is less than $0.005 per share. |
(e)
|
Total
return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net
asset value per share on the respective payment dates of each distribution. Total returns for periods of less than one year are not annualized. Broker commission charges are not included in this calculation. |
(f)
|
Annualized.
|
(g)
|
Not
annualized. |
(h)
|
Portfolio
turnover is from the Fund's Portfolio prior to discontinuance of master-feeder structure. See Note 1. |
See accompanying notes to financial statements.
39
SSGA ACTIVE TRUST
FINANCIAL HIGHLIGHTS (continued)
Selected data for a share outstanding throughout each period
|
SPDR
MFS Systematic Core Equity ETF |
|
Six
Months Ended 12/31/18 (Unaudited) |
|
Year
Ended 6/30/18(a) |
|
Year
Ended 6/30/17(a) |
|
Year
Ended 6/30/16(a) |
|
Year
Ended 6/30/15(a) |
|
For
the Period 1/8/14* - 6/30/14(a) |
Net asset value, beginning of
period
|
$
75.26 |
|
$
68.62 |
|
$58.09
|
|
$58.53
|
|
$53.60
|
|
$50.00
|
Income
(loss) from investment operations: |
|
|
|
|
|
|
|
|
|
|
|
Net investment income (loss)
(b)
|
0.61
|
|
1.13
|
|
0.97
|
|
1.02
|
|
0.81
|
|
0.31
|
Net realized and unrealized gain (loss)
(c)
|
(4.30)
|
|
7.30
|
|
10.53
|
|
0.00(d)
|
|
6.48
|
|
3.59
|
Total from investment
operations
|
(3.69)
|
|
8.43
|
|
11.50
|
|
1.02
|
|
7.29
|
|
3.90
|
Net equalization credits and charges
(b)
|
(0.01)
|
|
0.05
|
|
—
|
|
0.20
|
|
(0.04)
|
|
—
|
Other
capital (b) |
—
|
|
(0.00)(d)
|
|
—
|
|
—
|
|
—
|
|
—
|
Distributions
to shareholders from: |
|
|
|
|
|
|
|
|
|
|
|
Net investment
income
|
(0.65)
|
|
(0.96)
|
|
(0.97)
|
|
(1.03)
|
|
(0.88)
|
|
(0.30)
|
Net realized
gains
|
—
|
|
(0.88)
|
|
—
|
|
(0.63)
|
|
(1.44)
|
|
—
|
Total
distributions
|
(0.65)
|
|
(1.84)
|
|
(0.97)
|
|
(1.66)
|
|
(2.32)
|
|
(0.30)
|
Net asset value, end of
period
|
$
70.91 |
|
$
75.26 |
|
$68.62
|
|
$58.09
|
|
$58.53
|
|
$53.60
|
Total return
(e)
|
(4.96)%
|
|
12.36%
|
|
19.92%
|
|
2.21%
|
|
13.70%
|
|
7.81%
|
Ratios
and Supplemental Data: |
|
|
|
|
|
|
|
|
|
|
|
Net assets, end of period (in
000s)
|
$24,818
|
|
$30,102
|
|
$6,862
|
|
$5,809
|
|
$2,926
|
|
$5,360
|
Ratios
to average net assets: |
|
|
|
|
|
|
|
|
|
|
|
Total
expenses
|
0.60%(f)
|
|
0.60%
|
|
0.60%
|
|
0.61%
|
|
0.60%
|
|
0.60%(f)
|
Net investment income
(loss)
|
1.55%(f)
|
|
1.51%
|
|
1.52%
|
|
1.78%
|
|
1.42%
|
|
1.25%(f)
|
Portfolio turnover
rate
|
29%(g)
|
|
67%(h)
|
|
67%(h)
|
|
39%(h)
|
|
54%(h)
|
|
27%(g)(h)
|
*
|
Commencement
of operations. |
(a)
|
The
per share amounts and percentages include the Fund’s proportionate share of income and expenses of the Portfolio prior to discontinuance of the master feeder structure. See Note 1. |
(b)
|
Per
share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the period. |
(c)
|
Amounts
shown in this caption for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period because of the timing of sales and repurchases of Fund shares in relation to fluctuating market values
for the Fund. |
(d)
|
Amount
is less than $0.005 per share. |
(e)
|
Total
return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net
asset value per share on the respective payment dates of each distribution. Total returns for periods of less than one year are not annualized. Broker commission charges are not included in this calculation. |
(f)
|
Annualized.
|
(g)
|
Not
annualized. |
(h)
|
Portfolio
turnover is from the Fund's Portfolio prior to discontinuance of master-feeder structure. See Note 1. |
See accompanying notes to financial statements.
40
SSGA ACTIVE TRUST
FINANCIAL HIGHLIGHTS (continued)
Selected data for a share outstanding throughout each period
|
SPDR
MFS Systematic Growth Equity ETF |
|
Six
Months Ended 12/31/18 (Unaudited) |
|
Year
Ended 6/30/18(a) |
|
Year
Ended 6/30/17(a) |
|
Year
Ended 6/30/16(a) |
|
Year
Ended 6/30/15(a) |
|
For
the Period 1/8/14* - 6/30/14(a) |
Net asset value, beginning of
period
|
$
80.77 |
|
$
71.05 |
|
$
60.67 |
|
$
60.24 |
|
$53.56
|
|
$50.00
|
Income
(loss) from investment operations: |
|
|
|
|
|
|
|
|
|
|
|
Net investment income (loss)
(b)
|
0.39
|
|
0.61
|
|
0.70
|
|
0.63
|
|
0.66
|
|
0.28
|
Net realized and unrealized gain (loss)
(c)
|
(8.57)
|
|
9.80
|
|
10.27
|
|
1.62
|
|
8.60
|
|
3.55
|
Total from investment
operations
|
(8.18)
|
|
10.41
|
|
10.97
|
|
2.25
|
|
9.26
|
|
3.83
|
Net equalization credits and charges
(b)
|
—
|
|
0.04
|
|
0.01
|
|
0.01
|
|
0.00(d)
|
|
—
|
Distributions
to shareholders from: |
|
|
|
|
|
|
|
|
|
|
|
Net investment
income
|
(0.45)
|
|
(0.60)
|
|
(0.60)
|
|
(0.61)
|
|
(0.68)
|
|
0.27
|
Net realized
gains
|
(0.99)
|
|
(0.13)
|
|
—
|
|
(1.22)
|
|
(1.90)
|
|
—
|
Total
distributions
|
(1.44)
|
|
(0.73)
|
|
(0.60)
|
|
(1.83)
|
|
(2.58)
|
|
(0.27)
|
Net asset value, end of
period
|
$
71.15 |
|
$
80.77 |
|
$
71.05 |
|
$
60.67 |
|
$60.24
|
|
$53.56
|
Total return
(e)
|
(10.15)%
|
|
14.71%
|
|
18.18%
|
|
3.96%
|
|
17.53%
|
|
7.68%
|
Ratios
and Supplemental Data: |
|
|
|
|
|
|
|
|
|
|
|
Net assets, end of period (in
000s)
|
$32,017
|
|
$44,424
|
|
$39,079
|
|
$12,134
|
|
$6,024
|
|
$5,356
|
Ratios
to average net assets: |
|
|
|
|
|
|
|
|
|
|
|
Total
expenses
|
0.60%(f)
|
|
0.61%
|
|
0.60%
|
|
0.61%
|
|
0.60%
|
|
0.60%(f)
|
Net investment income
(loss)
|
0.94%(f)
|
|
0.77%
|
|
1.05%
|
|
1.06%
|
|
1.14%
|
|
1.16%(f)
|
Portfolio turnover
rate
|
40%(g)
|
|
76%(h)
|
|
55%(h)
|
|
56%(h)
|
|
67%(h)
|
|
20%(g)(h)
|
*
|
Commencement
of operations. |
(a)
|
The
per share amounts and percentages include the Fund’s proportionate share of income and expenses of the Portfolio prior to discontinuance of the master feeder structure. See Note 1. |
(b)
|
Per
share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the period. |
(c)
|
Amounts
shown in this caption for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period because of the timing of sales and repurchases of Fund shares in relation to fluctuating market values
for the Fund. |
(d)
|
Amount
is less than $0.005 per share. |
(e)
|
Total
return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net
asset value per share on the respective payment dates of each distribution. Total returns for periods of less than one year are not annualized. Broker commission charges are not included in this calculation. |
(f)
|
Annualized.
|
(g)
|
Not
annualized. |
(h)
|
Portfolio
turnover is from the Fund's Portfolio prior to discontinuance of master-feeder structure. See Note 1. |
See accompanying notes to financial statements.
41
SSGA ACTIVE TRUST
FINANCIAL HIGHLIGHTS (continued)
Selected data for a share outstanding throughout each period
|
SPDR
MFS Systematic Value Equity ETF |
|
Six
Months Ended 12/31/18 (Unaudited) |
|
Year
Ended 6/30/18(a) |
|
Year
Ended 6/30/17(a) |
|
Year
Ended 6/30/16(a) |
|
Year
Ended 6/30/15(a) |
|
For
the Period 1/8/14* - 6/30/14(a) |
Net asset value, beginning of
period
|
$
65.91 |
|
$
59.81 |
|
$51.99
|
|
$57.90
|
|
$52.67
|
|
$50.00
|
Income
(loss) from investment operations: |
|
|
|
|
|
|
|
|
|
|
|
Net investment income (loss)
(b)
|
0.70
|
|
1.21
|
|
1.03
|
|
0.99
|
|
0.75
|
|
0.34
|
Net realized and unrealized gain (loss)
(c)
|
(5.82)
|
|
6.94
|
|
8.99
|
|
(2.66)
|
|
6.28
|
|
2.67
|
Total from investment
operations
|
(5.12)
|
|
8.15
|
|
10.02
|
|
(1.67)
|
|
7.03
|
|
3.01
|
Net equalization credits and charges
(b)
|
0.00(d)
|
|
0.12
|
|
0.04
|
|
—
|
|
(0.03)
|
|
—
|
Distributions
to shareholders from: |
|
|
|
|
|
|
|
|
|
|
|
Net investment
income
|
(0.72)
|
|
(1.06)
|
|
(1.01)
|
|
(1.01)
|
|
(0.85)
|
|
(0.34)
|
Net realized
gains
|
(0.54)
|
|
(1.11)
|
|
(1.23)
|
|
(3.23)
|
|
(0.92)
|
|
—
|
Total
distributions
|
(1.26)
|
|
(2.17)
|
|
(2.24)
|
|
(4.24)
|
|
(1.77)
|
|
(0.34)
|
Net asset value, end of
period
|
$
59.53 |
|
$
65.91 |
|
$59.81
|
|
$51.99
|
|
$57.90
|
|
$52.67
|
Total return
(e)
|
(7.80)%
|
|
13.82%
|
|
19.61%
|
|
(2.47)%
|
|
13.47%
|
|
6.04%
|
Ratios
and Supplemental Data: |
|
|
|
|
|
|
|
|
|
|
|
Net assets, end of period (in
000s)
|
$29,766
|
|
$32,953
|
|
$5,981
|
|
$2,599
|
|
$2,895
|
|
$5,267
|
Ratios
to average net assets: |
|
|
|
|
|
|
|
|
|
|
|
Total
expenses
|
0.60%(f)
|
|
0.60%
|
|
0.60%
|
|
0.62%
|
|
0.60%
|
|
0.60%(f)
|
Net investment income
(loss)
|
2.08%(f)
|
|
1.83%
|
|
1.80%
|
|
1.85%
|
|
1.36%
|
|
1.43%(f)
|
Portfolio turnover
rate
|
28%(g)
|
|
54%(h)
|
|
64%(h)
|
|
64%(h)
|
|
61%(h)
|
|
23%(g)(h)
|
*
|
Commencement
of operations. |
(a)
|
The
per share amounts and percentages include the Fund’s proportionate share of income and expenses of the Portfolio prior to discontinuance of the master feeder structure. See Note 1. |
(b)
|
Per
share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the period. |
(c)
|
Amounts
shown in this caption for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period because of the timing of sales and repurchases of Fund shares in relation to fluctuating market values
for the Fund. |
(d)
|
Amount
is less than $0.005 per share. |
(e)
|
Total
return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net
asset value per share on the respective payment dates of each distribution. Total returns for periods of less than one year are not annualized. Broker commission charges are not included in this calculation. |
(f)
|
Annualized.
|
(g)
|
Not
annualized. |
(h)
|
Portfolio
turnover is from the Fund's Portfolio prior to discontinuance of master-feeder structure. See Note 1. |
See accompanying notes to financial statements.
42
SSGA ACTIVE TRUST
NOTES TO FINANCIAL STATEMENTS
December 31, 2018 (Unaudited)
1. Organization
SSGA Active Trust (the “Trust”), a
Massachusetts business trust registered under the Investment Company Act of 1940, as amended (“1940 Act”), is an open-end management investment company.
As of December 31, 2018, the Trust consists of
twelve (12) series, each of which represents a separate series of beneficial interest in the Trust. The Declaration of Trust permits the Board of Trustees of the Trust (the “Board”) to authorize the issuance of an unlimited number of
shares of beneficial interest with no par value. The financial statements herein relate to the following series (each, a “Fund” and collectively, the “Funds”):
SPDR
SSGA Multi-Asset Real Return ETF |
SPDR
SSGA Income Allocation ETF |
SPDR
SSGA Global Allocation ETF |
SPDR
SSGA Ultra Short Term Bond ETF |
SPDR
MFS Systematic Core Equity ETF |
SPDR
MFS Systematic Growth Equity ETF |
SPDR
MFS Systematic Value Equity ETF |
Each Fund is classified as a diversified
investment company under the 1940 Act, with the exception of SPDR SSGA Ultra Short Term Bond ETF, which is a non-diversified investment company.
Prior to the close of business on May 7,
2018, each fund had been operating in a “master –feeder” arrangement, under which each Fund invested substantially all of its assets in a corresponding series of SSGA Master Trust (i.e., a
“Portfolio/ Master fund”). Each Portfolio was a separate mutual fund that had identical investment objective, and substantially identical investment strategies, policies and risks as the respective Fund
(i.e., a “feeder fund”). As a result of this arrangement, each Fund had an indirect interest in all of the securities owned by the corresponding Portfolio.
As of the close of business on May 8,
2018, the securities held by each Portfolio were transferred “in-kind” to their respective Feeder in a tax-free exchange of each Feeder’s interests as part of a complete liquidation of the corresponding Portfolio.
Effective May 7, 2018, each Fund pursues
its investment objective through direct investment in securities of the same type that previously would have been owned by the corresponding Portfolio. The discontinuance of the master-feeder arrangement on each Fund had no impact on
shareholder’s net asset value or the results of operations for each Fund.
Under the Trust’s organizational
documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust. Additionally, in the normal course of business, the Trust enters into contracts with service providers that
contain general indemnification clauses. The Trust’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Trust that have not yet occurred.
2. Summary of
Significant Accounting Policies
The
following is a summary of significant accounting policies followed by the Trust in the preparation of its financial statements:
The preparation of financial statements
in accordance with U.S. generally accepted accounting principles (“U.S. GAAP”) requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could
differ from those estimates. Each Fund is an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies.
Security Valuation
Each Fund's investments are valued at
fair value each day that the New York Stock Exchange (“NYSE”) is open and, for financial reporting purposes, as of the report date should the reporting period end on a day that the NYSE is not open. Fair value is generally defined as the
price a fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. By its nature, a fair value price is a good faith estimate of the valuation in a current sale
and may not reflect an actual market price. The investments of each Fund are valued pursuant to the policy and procedures developed by the Oversight Committee (the “Committee”) and approved by the Board. The Committee provides oversight
of the valuation of investments for the Funds. The Board has responsibility for overseeing the determination of the fair value of investments.
SSGA ACTIVE TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
December 31, 2018 (Unaudited)
Valuation techniques used to value each Fund’s
investments by major category are as follows:
• Equity
investments (including preferred stocks and registered investment companies that are exchange-traded funds) traded on a recognized securities exchange for which market quotations are readily available are valued at the last sale price or official
closing price, as applicable, on the primary market or exchange on which they trade. Equity investments traded on a recognized exchange for which there were no sales on that day are valued at the last published sale price or at fair value.
• Investments
in registered investment companies (including money market funds) or other unitized pooled investment vehicles that are not traded on an exchange are valued at that day’s published net asset value (“NAV”) per share or unit.
• Government
and municipal fixed income securities are generally valued using quotations from independent pricing services or brokers. Certain government inflation-indexed securities may require a calculated fair valuation as the cumulative inflation is
contained within the price provided by the pricing service or broker. For these securities, the inflation component of the price is “cleaned” from the pricing service or broker price utilizing the published inflation factors in order to
ensure proper accrual of income.
• Debt
obligations (including short-term investments and convertible debt securities) are valued using quotations from independent pricing services or brokers or are generally valued at the last reported evaluated prices.
In the event prices or quotations are not readily
available or that the application of these valuation methods results in a price for an investment that is deemed to be not representative of the fair value of such investment, fair value will be determined in good faith by the Committee, in
accordance with the valuation policy and procedures approved by the Board.
Various inputs are used in determining the value of
the Funds' investments.
The Funds value their
assets and liabilities at fair value using a fair value hierarchy consisting of three broad levels that prioritize the inputs to valuation techniques giving the highest priority to readily available unadjusted quoted prices in active markets for
identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements) when market prices are not readily available or reliable. The categorization of a value determined for an investment within
the hierarchy is based upon the pricing transparency of the investment and is not necessarily an indication of the risk associated with investing in it.
The three levels of the fair value hierarchy are as
follows:
• Level 1 –
Unadjusted quoted prices in active markets for an identical asset or liability;
• Level
2 – Inputs other than quoted prices included within Level 1 that are observable for the asset or liability either directly or indirectly, including quoted prices for similar assets or liabilities in active markets, quoted prices for identical
or similar assets or liabilities in markets that are not considered to be active, inputs other than quoted prices that are observable for the asset or liability (such as exchange rates, financing terms, interest rates, yield curves, volatilities,
prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs; and
• Level
3 – Unobservable inputs for the asset or liability, including the Committee’s assumptions used in determining the fair value of investments.
The value of each Fund’s investments according
to the fair value hierarchy as of December 31, 2018, is disclosed in each Fund’s respective Schedule of Investments.
Investment Transactions and Income Recognition
Investment transactions are accounted for on the
trade date for financial reporting purposes. Realized gains and losses from security transactions, prior to May 7, 2018, consist of the Fund’s pro-rata share of its corresponding Portfolio’s realized gains and losses. Realized gains and
losses from the sale and disposition of investments are determined using the identified cost method. For activity prior to May 7, 2018, net investment income consists of the Fund’s pro-rata share of the net investment income of its Portfolio
less expenses of the Fund.
SSGA ACTIVE TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
December 31, 2018 (Unaudited)
Subsequent to May 7, 2018, dividend income and
capital gain distributions, if any, are recognized on the ex-dividend date,or when the information becomes available, net of any foreign taxes withheld at source, if any. Interest income is recorded on an accrual basis. All premiums and discounts
are amortized/accreted for financial reporting purposes. Paydown gains and losses are recorded as an adjustment to interest income. Non-cash dividends if any, received in the form of stock are recorded as dividend income at fair value.
Expenses
Certain expenses, which are directly identifiable to
a specific Fund, are applied to that Fund within the Trust. Other expenses which cannot be attributed to a specific Fund are allocated in such a manner as deemed equitable, taking into consideration the nature and type of expense and the relative
net assets of the Funds within the Trust.
Each
Fund was allocated a pro rata share of the expenses of its corresponding Portfolio prior to May 7, 2018.
Equalization
Certain Funds in the Trust follow the accounting
practice known as “Equalization” by which a portion of the proceeds from sales and costs of reacquiring Fund shares, equivalent on a per share basis to the amount of distributable net investment income on the date of the transaction, is
credited or charged to undistributed net investment income. As a result, undistributed net investment income per share is unaffected by sales or reacquisition of Fund shares. Amounts related to Equalization can be found on the Statements of Changes
in Net Assets.
The following Funds utilized
equalization during the period ended December 31, 2018:
SPDR
SSGA Multi-Asset Real Return ETF |
SPDR
SSGA Income Allocation ETF |
SPDR
SSGA Global Allocation ETF |
SPDR
SSGA Ultra Short Term Bond ETF |
SPDR
MFS Systematic Core Equity ETF |
SPDR
MFS Systematic Value Equity ETF |
Distributions
Distributions from net investment income,
if any, are declared and paid quarterly for all Funds, except for the SPDR SSGA Ultra Short Term Bond Fund ETF. The SPDR SSGA Ultra Short Term Bond Fund ETF declares and distributes distributions to shareholders monthly.
SPDR
SSGA Multi-Asset Real Return ETF |
SPDR
SSGA Income Allocation ETF |
SPDR
SSGA Global Allocation ETF |
SPDR
MFS Systematic Core Equity ETF |
SPDR
MFS Systematic Growth Equity ETF |
SPDR
MFS Systematic Value Equity ETF |
Net realized capital gains, if any, are
distributed annually. Dividends may be declared and paid more frequently or at any other times to improve Index tracking or to comply with the distribution requirements of the Internal Revenue Code of 1986, as amended (“Internal Revenue
Code”). The amount and character of income and capital gains to be distributed are determined in accordance with applicable tax regulations which may differ from net investment income and realized gains recognized for U.S. GAAP purposes.
3. Fees and
Transactions with Affiliates
Advisory
Fee
Each Fund has entered into an
Investment Advisory Agreement with SSGA FM. As compensation for services rendered, facilities furnished, and expenses borne by the Adviser, each Fund pays the Adviser a fee accrued daily and paid monthly, based on a percentage of each Fund’s
average daily net assets as shown in the following table:
|
Annual
Rate |
SPDR SSGA Multi-Asset Real Return
ETF
|
0.50%
(1) |
SPDR SSGA Income Allocation
ETF
|
0.50
(1) |
SSGA ACTIVE TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
December 31, 2018 (Unaudited)
|
Annual
Rate |
SPDR SSGA Global Allocation
ETF
|
0.35%
|
SPDR SSGA Ultra Short Term Bond
ETF
|
0.20
|
SPDR MFS Systematic Core Equity
ETF
|
0.60
|
SPDR MFS Systematic Growth Equity
ETF
|
0.60
|
SPDR MFS Systematic Value Equity
ETF
|
0.60
|
(1)
|
Prior
to September 4, 2018, the management fee of the Fund was 0.70%. |
The Adviser pays all expenses of each Fund other
than management fee, brokerage expenses,brokerage expenses, taxes, interest, fees and expenses of the Independent Trustees (including any Trustees’ counsel fees), acquired fund fees and expenses, litigation expenses, and other extraordinary
expenses.
The Adviser has contractually agreed
to waive a portion of its management fee and/or reimburse expenses in an amount equal to acquired fund fees and expenses (excluding holdings in acquired funds for cash management purposes, if any) for each Fund until October 31, 2019.
Administrator, Custodian, Sub-Administrator and
Transfer Agent Fees
SSGA FM serves as
administrator and State Street Bank and Trust Company (“State Street”), an affiliate of the Adviser, serves as custodian, sub-administrator and transfer agent. State Street receives fees for its services as custodian, sub-administrator
and transfer agent from the Adviser.
Distributor
State Street Global Advisors Funds Distributors, LLC
(“SSGA FD” or the “Distributor”), an affiliate of the Adviser, serves as the distributor of the Trust.
Other Transactions with Affiliates - Securities
Lending
State Street, an affiliate of the
Funds, acts as the securities lending agent for the Funds, pursuant to an amended and restated securities lending authorization agreement dated January 6, 2017.
Proceeds collected by State Street on investment of
cash collateral or any fee income are allocated as follows (after deduction of such other amounts payable to State Street under the terms of the securities lending agreement): 85% payable to the Fund, and 15% payable to State Street.
In addition, cash collateral from lending activities
is invested in the State Street Navigator Securities Lending Government Money Market Portfolio, an affiliated money market fund, for which SSGA FM serves as investment adviser. See Note 8 for additional information regarding securities
lending.
Other Transactions with
Affiliates
The Funds may invest in affiliated
entities, including securities issued by State Street Corporation, affiliated funds, or entities deemed to be affiliates as a result of the Funds owning more than five percent of the entity’s voting securities or outstanding shares. Amounts
relating to these transactions during the period ended December 31, 2018, are disclosed in the Schedules of Investments.
4. Trustees’ Fees
The fees and expenses of the Trust’s trustees,
who are not “interested persons” of the Trust, as defined in the 1940 Act (“Independent Trustees”), are paid directly by the Funds. The Independent Trustees are reimbursed for travel and other out-of-pocket expenses in
connection with meeting attendance and industry seminars.
SSGA ACTIVE TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
December 31, 2018 (Unaudited)
5. Investment
Transactions
Purchases and sales of
investments (excluding in-kind transactions and short term investments) for the period ended December 31, 2018, were as follows:
|
Purchases
|
|
Sales
|
SPDR SSGA Multi-Asset Real Return
ETF
|
$15,684,694
|
|
$19,536,211
|
SPDR SSGA Income Allocation
ETF
|
52,954,189
|
|
53,283,452
|
SPDR SSGA Global Allocation
ETF
|
61,221,813
|
|
63,903,197
|
SPDR SSGA Ultra Short Term Bond
ETF
|
88,154,930
|
|
3,690,171
|
SPDR MFS Systematic Core Equity
ETF
|
8,347,321
|
|
7,997,832
|
SPDR MFS Systematic Growth Equity
ETF
|
16,099,546
|
|
16,520,155
|
SPDR MFS Systematic Value Equity
ETF
|
9,922,714
|
|
10,039,534
|
For the period ended
December 31, 2018, the following Funds had in-kind contributions, redemptions and net realized gains/losses in the amounts as follows:
|
In-kind
Contributions |
|
In-kind
Redemptions |
|
In-kind
Net Realized Gains/(Losses) |
SPDR SSGA Multi-Asset Real Return
ETF
|
$23,190,520
|
|
$11,218,711
|
|
$
323,054 |
SPDR SSGA Income Allocation
ETF
|
13,740,126
|
|
—
|
|
—
|
SPDR SSGA Global Allocation
ETF
|
53,355,541
|
|
18,974,655
|
|
1,688,560
|
SPDR MFS Systematic Core Equity
ETF
|
—
|
|
3,831,823
|
|
485,698
|
SPDR MFS Systematic Growth Equity
ETF
|
—
|
|
7,844,452
|
|
617,263
|
SPDR MFS Systematic Value Equity
ETF
|
3,320,500
|
|
2,954,457
|
|
277,704
|
6. Shareholder
Transactions
Each Fund issues and redeems its
shares, at NAV, by each Fund only in aggregations of a specified number of shares or multiples thereof (“Creation Units”). Except when aggregated in Creation Units, shares of each Fund are not redeemable. Transactions in capital shares
for each Fund are disclosed in detail in the Statements of Changes in Net Assets.
The consideration for the purchase of Creation Units
of a Fund may consist of the in-kind deposit of a designated portfolio of securities and a specified amount of cash. Investors purchasing and redeeming Creation Units may pay a purchase transaction fee and a redemption transaction fee directly to
the Trust and/or custodian, to offset transfer and other transaction costs associated with the issuance and redemption of Creation Units, including Creation Units for cash. An additional variable fee may be charged for certain transactions. Such
variable charges, if any, are included in “Other Capital” on the Statements of Changes in Net Assets.
7. Income Tax Information
The Funds have qualified and intend to continue to
qualify as regulated investment companies under Subchapter M of the Internal Revenue Code. Each Fund will not be subject to federal income taxes to the extent it distributes its taxable income, including any net realized capital gains, for each
fiscal year. Therefore, no provision for federal income tax is required.
The Funds file federal and various state and local
tax returns as required. No income tax returns are currently under examination. Generally, the federal returns are subject to examination by the Internal Revenue Service for a period of three years from date of filing, while the state returns may
remain open for an additional year depending upon jurisdiction. As of June 30, 2018, SSGA FM has analyzed the Funds' tax positions taken on tax returns for all open years and does not believe there are any uncertain tax positions that would require
recognition of a tax liability.
Distributions
to shareholders are recorded on ex-dividend date. Income dividends and gain distributions are determined in accordance with income tax rules and regulations, which may differ from generally accepted accounting principles.
SSGA ACTIVE TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
December 31, 2018 (Unaudited)
As of December 31, 2018, gross unrealized
appreciation and gross unrealized depreciation of investments based on cost for federal income tax purposes were as follows:
|
Tax
Cost |
|
Gross
Unrealized Appreciation |
|
Gross
Unrealized Depreciation |
|
Net
Unrealized Appreciation (Depreciation) |
SPDR SSGA Multi-Asset Real Return
ETF
|
$157,016,215
|
|
$
— |
|
$19,641,964
|
|
$(19,641,964)
|
SPDR SSGA Income Allocation
ETF
|
119,959,590
|
|
48,553
|
|
7,392,052
|
|
(7,343,499)
|
SPDR SSGA Global Allocation
ETF
|
299,702,147
|
|
5,360,045
|
|
8,433,308
|
|
(3,073,263)
|
SPDR SSGA Ultra Short Term Bond
ETF
|
160,480,551
|
|
53,739
|
|
340,416
|
|
(286,677)
|
SPDR MFS Systematic Core Equity
ETF
|
26,294,158
|
|
1,083,482
|
|
2,576,649
|
|
(1,493,167)
|
SPDR MFS Systematic Growth Equity
ETF
|
34,479,838
|
|
1,567,109
|
|
4,033,609
|
|
(2,466,500)
|
SPDR MFS Systematic Value Equity
ETF
|
32,057,681
|
|
1,081,086
|
|
3,383,494
|
|
(2,302,408)
|
8. Securities Lending
Each Fund may lend securities to qualified
broker-dealers or institutional investors. The loans are secured at all times by cash, cash equivalents or U.S. government securities in an amount at least equal to the market value of the securities loaned, plus accrued interest and dividends,
determined on a daily basis and adjusted accordingly. The value of the collateral with respect to a loaned security may be temporarily more or less than the value of a security due to market fluctuations of securities values. With respect to each
loan, if on any U.S. business day the aggregate market value of securities collateral plus cash collateral is less than the aggregate market value of the securities which are subject to the loan, the borrower will be notified to provide additional
collateral on the next business day.
The Funds
will regain record ownership of loaned securities to exercise certain beneficial rights; however, the Funds may bear the risk of delay in recovery of, or even loss of rights in the securities loaned should the borrower fail financially. In addition,
a Fund will bear the risk of loss of any cash collateral that it may invest. Each Fund receives compensation for lending its securities from interest or dividends earned on the cash, cash equivalents or U.S. government securities held as collateral,
net of fee rebates paid to the borrower and net of fees paid to State Street as the lending agent. Additionally, a Fund will receive a fee from the borrower for non-cash collateral equal to a percentage of the market value of the loaned
securities.
The market value of securities on
loan as of December 31, 2018, and the value of the invested cash collateral are disclosed in the Funds Statements of Assets and Liabilities. Non-cash collateral is not disclosed in the Funds Statements of Assets and Liabilities as it is held by the
lending agent on behalf of the Funds, and the Funds do not have the ability to re-hypothecate those securities. Securities lending income, as disclosed in the Funds Statements of Operations, represents the income earned from the non-cash collateral
and the investment of cash collateral, net of fee rebates paid to the borrower and net of fees paid to State Street as lending agent.
The following is a summary of each Fund’s
securities lending agreements and related cash and non-cash collateral received as of December 31, 2018:
Fund
|
|
Market
Value of Securities on Loan |
|
Cash
Collateral Received |
|
Non-Cash
Collateral Received* |
|
Total
Collateral Received |
SPDR SSGA Multi-Asset Real Return
ETF
|
|
$
2,527,890 |
|
$
2,474,439 |
|
$
— |
|
$
2,474,439 |
SPDR SSGA Income Allocation ETF
|
|
15,826,312
|
|
11,704,139
|
|
—
|
|
11,704,139
|
SPDR SSGA Global Allocation ETF
|
|
97,809,604
|
|
31,494,853
|
|
—
|
|
31,494,853
|
*
|
The
non-cash collateral includes U.S. Treasuries and U.S. Government Agency securities. |
SSGA ACTIVE TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
December 31, 2018 (Unaudited)
The following table reflects a breakdown of
transactions accounted for as secured borrowings, the gross obligation by the type of collateral pledged or securities loaned, and the remaining contractual maturity of those transactions as of December 31, 2018:
|
|
|
|
Remaining
Contractual Maturity of the Agreements As of December 31, 2018 |
Fund
|
|
Securities
Lending Transactions |
|
Overnight
and Continuous |
|
<30
Days |
|
Between
30 & 90 Days |
|
>90
Days |
|
Total
Borrowings |
|
Gross
Amount of Recognized Liabilities for Securities Lending Transactions |
SPDR SSGA Multi-Asset Real Return
ETF
|
|
Mutual
Funds and Exchange Traded Products |
|
$
2,474,439 |
|
$—
|
|
$—
|
|
$—
|
|
$
2,474,439 |
|
$
2,474,439 |
SPDR SSGA Income Allocation
ETF
|
|
Mutual
Funds and Exchange Traded Products |
|
11,704,139
|
|
—
|
|
—
|
|
—
|
|
11,704,139
|
|
11,704,139
|
SPDR SSGA Global Allocation
ETF
|
|
Mutual
Funds and Exchange Traded Products |
|
31,494,853
|
|
—
|
|
—
|
|
—
|
|
31,494,853
|
|
31,494,853
|
9. Line of Credit
Certain Funds and other affiliated funds (each a
“Participant” and, collectively, the “Participants”) participate in a $500 million revolving credit facility provided by a syndication of banks under which the Participants may borrow to fund shareholder redemptions. This
agreement expires in October 2019 unless extended or renewed.
The SPDR SSGA Ultra Short Term Bond ETF participates
in the credit facility as of period ended December 31, 2018.
The Participants are charged an annual commitment
fee which is calculated based on the unused portion of the shared credit line. Commitment fees are allocated among each of the Participants based on relative net assets. Commitment fees are ordinary fund operating expenses paid by the Adviser. A
Participant incurs and pays the interest expense related to its borrowing. Interest is calculated at a rate per annum equal to the sum of 1% plus the greater of the New York Fed Bank Rate and 1-month LIBOR rate. The Fund had no outstanding loans as
of December 31, 2018.
10. Risks
Concentration Risk
As a result of the Funds' ability to invest a large
percentage of its assets in obligations of issuers within the same country, state, region, currency or economic sector, an adverse economic, business or political development may affect the value of the Funds' investments more than if the Funds were
more broadly diversified.
Foreign and Emerging
Markets Risk
Investing in foreign markets
involves risks and considerations not typically associated with investing in the U.S. Foreign securities may be subject to risk of loss because of government regulation, economic, political and social instability in the countries in which the
undefined invests. Foreign markets may be less liquid than investments in the U.S. and may be subject to the risks of currency fluctuations. To the extent that the undefined invests in securities of issuers located in emerging markets, these risks
may be even more pronounced.
Market and Credit
Risk
In the normal course of business, the
Funds trade financial instruments and enter into financial transactions where risk of potential loss exists due to changes in the general economic conditions and fluctuations of the market (market risk). Additionally, a Fund may also be exposed to
credit risk in the event that an issuer or guarantor fails to perform or that an institution or entity with which the Fund has unsettled or open transactions defaults.
SSGA ACTIVE TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
December 31, 2018 (Unaudited)
11. New Accounting
Pronouncements
In August 2018, the U.S.
Securities and Exchange Commission (the “SEC”) released its Final Rule on Disclosure Update and Simplification (the “Final Rule”) which is intended to simplify an issuer’s disclosure compliance efforts by removing
redundant or outdated disclosure requirements without significantly altering the mix of information provided to investors. The Funds have adopted the Final Rule for the current period with the most notable impacts being that the Funds are no longer
required to present components of distributable earnings on the Statements of Assets and Liabilities or the sources of distributions to shareholders and the amount of undistributed net investment income on the Statements of Changes in Net
Assets.
For the period ended June 30, 2018,
distributions to shareholders and undistributed (distributions in excess of) net investment income were as follows:
|
Net
Investment Income |
|
Net
Realized Gains |
|
Total
Distributions |
|
Undistributed
Net Investment Income (Loss) |
SPDR SSGA Multi-Asset Real Return
ETF
|
$2,524,937
|
|
$
— |
|
$2,524,937
|
|
$
— |
SPDR SSGA Income Allocation
ETF
|
2,983,228
|
|
—
|
|
2,983,228
|
|
302,435
|
SPDR SSGA Global Allocation
ETF
|
5,038,036
|
|
—
|
|
5,038,036
|
|
335,901
|
SPDR SSGA Ultra Short Term Bond
ETF
|
440,203
|
|
—
|
|
440,203
|
|
47,385
|
SPDR MFS Systematic Core Equity
ETF
|
230,288
|
|
132,165
|
|
362,453
|
|
—
|
SPDR MFS Systematic Growth Equity
ETF
|
390,903
|
|
110,197
|
|
501,100
|
|
—
|
SPDR MFS Systematic Value Equity
ETF
|
261,180
|
|
111,415
|
|
372,595
|
|
—
|
12. Subsequent Events
Management has evaluated the impact of all
subsequent events on the Funds through the date the financial statements were issued and has determined that there were no subsequent events requiring adjustment or disclosure in the financial statements.
SSGA ACTIVE TRUST
OTHER INFORMATION
December 31, 2018 (Unaudited)
Expense Example
As a shareholder of a Fund, you incur two types of
costs: (1) transaction costs, including sales charges (loads), if applicable, on purchase payments, reinvested dividends, or other distributions and (2) ongoing costs, including advisory fees and other Fund expenses. This example is intended to help
you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. It is based on an investment of $1,000 made at the beginning of the period shown and held
for the entire period from July 1, 2018 to December 31, 2018.
The table below illustrates your Fund's cost in two
ways:
Based on actual fund return ——This section helps you to estimate the actual expenses that you paid over the period. The “Ending Account Value” shown is derived from each Fund's actual return, and the third column shows the
dollar amount that would have been paid by an investor who started with $1,000 in the Fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your
account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for the Fund under the heading “Expenses Paid During Period”.
Based on hypothetical 5% return ——This section is intended to help you compare your Fund's costs with those of other mutual funds. It assumes that the Fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged.
In this case, because the return used is not the Fund's actual return, the results do not apply to your investment. The example is useful in making comparisons because the SEC requires all mutual funds to calculate expenses based on a 5% return. You
can assess your Fund's costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.
Please note that the expenses shown in the table are
meant to highlight your ongoing costs only and do not reflect any transaction costs, such as sales load charges (loads). Therefore, the hypothetical 5% return section of the table is useful in comparing ongoing costs only, and will not help you
determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher.
SSGA ACTIVE TRUST
OTHER INFORMATION (continued)
December 31, 2018 (Unaudited)
|
|
|
Actual
|
|
Hypothetical
(assuming a 5% return before expenses) |
|
Annualized
Expense Ratio |
|
Ending
Account Value |
|
Expenses
Paid During Period(a) |
|
Ending
Account Value |
|
Expenses
Paid During Period(a) |
SPDR SSGA Multi-Asset Real Return
ETF
|
0.16%
|
|
$
872.90 |
|
$0.76
|
|
$1,024.40
|
|
$0.82
|
SPDR SSGA Income Allocation
ETF
|
0.21%
|
|
971.20
|
|
1.04
|
|
1,024.10
|
|
1.07
|
SPDR SSGA Global Allocation
ETF
|
0.16%
|
|
931.00
|
|
0.78
|
|
1,024.40
|
|
0.82
|
SPDR SSGA Ultra Short Term Bond
ETF
|
0.20%
|
|
1,009.40
|
|
1.01
|
|
1,024.20
|
|
1.02
|
SPDR MFS Systematic Core Equity
ETF
|
0.60%
|
|
950.40
|
|
2.95
|
|
1,022.20
|
|
3.06
|
SPDR MFS Systematic Growth Equity
ETF
|
0.60%
|
|
898.50
|
|
2.87
|
|
1,022.20
|
|
3.06
|
SPDR MFS Systematic Value Equity
ETF
|
0.60%
|
|
922.00
|
|
2.91
|
|
1,022.20
|
|
3.06
|
(a)
|
Expenses
are equal to the Fund's annualized net expense ratio multiplied by the average account value of the period, multiplied by 184, then divided by 365. |
Premium/Discount Information
Information regarding how often the Shares of each
Fund traded on the exchange at a price above (i.e., at a premium) or below (i.e., at a discount) the NAV of the Fund during the past calendar year can be found at www.spdrs.com.
Proxy Voting Policies and Procedures and Records
A description of the Trust’s proxy voting
policies and procedures that are used by the Funds’ investment adviser to vote proxies relating to the Funds’ portfolio of securities are available (i) without charge, upon request by calling 1-866-787-2257 (toll free) or (ii) on the
SEC's website at www.sec.gov.
Information regarding how the investment adviser
voted for the most recent 12-month period ended June 30, is available by August 31 of each year by calling the same number and on the SEC’s website at www.sec.gov, and on the Funds' website at www.spdrs.com.
Quarterly Portfolio Schedule
The Funds file a complete schedule of investments
with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Funds’ Forms N-Q are available on the SEC’s website at www.sec.gov. The information on the Form N-Q is available
upon request, without charge, by calling 1-866-787-2257 (toll free) and on the Funds’ website at www.spdrs.com.
[This Page Intentionally Left Blank]
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Trustees
Bonny E. Boatman
Dwight D. Churchill
Frank Nesvet, Chairman
Clare S. Richer
James E. Ross
Sandra G. Sponem
Carl G. Verboncoeur
Investment Manager and Administrator
SSGA Funds Management, Inc.
One Iron Street
Boston, MA
02210
Distributor
State Street Global Advisors Funds Distributors, LLC
One
Iron Street
Boston, MA 02210
Custodian, Sub-Administrator and Transfer Agent
State Street Bank and Trust Company
One Lincoln Street
Boston, MA 02111
Legal Counsel
Morgan, Lewis & Bockius LLP
1111 Pennsylvania Avenue,
NW
Washington, DC 20004
Independent Registered Public
Accounting Firm
Ernst & Young LLP
200 Clarendon
Street
Boston, MA 02116
The information contained in this report is
intended for the general information of shareholders of the Trust. This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current Trust prospectus which contains important information concerning
the Trust. You may obtain a current prospectus and SAI from the Distributor by calling 1-866-787-2257 or visiting www.spdrs.com. Please read the prospectus carefully before you invest.
For more complete information, please call 1.866.787.2257 or visit
www.spdrs.com today.
State Street Global Advisors
One
Iron Street
Boston, MA 02210
ETFs trade like stocks,
are subject to investment risk, fluctuate in market value and may trade at prices above or below the ETF's net asset value. Brokerage commissions and ETF expenses will reduce returns.
Because the SPDR SSGA Active Asset Allocation ETFs are actively
managed, they are therefore subject to the risk that the investments selected by SSGA may cause the ETFs to underperform relative to their benchmarks or other funds with similar investment objectives. Actively managed ETFs do not seek to replicate
the performance of a specified index.
Foreign investments
involve greater risks than U.S. investments, including political and economic risks and the risk of currency fluctuations, all of which may be magnified in emerging markets.
Bonds generally present less short-term risk and volatility
than stocks, but contain interest rate risk (as interest rates rise bond prices usually fall); issuer default risk; issuer credit risk; liquidity risk; and inflation risk. These effects are usually pronounced for longer-term securities. Any fixed
income security sold or redeemed prior to maturity may be subject to a substantial gain or loss.
Investing in commodities entail significant risk and is not
appropriate for all investors. Commodities investing entail significant risk as commodity prices can be extremely volatile due to wide range of factors. A few such factors include overall market movements, real or perceived inflationary trends,
commodity index volatility, international, economic and political changes, change in interest and currency exchange rates.
Past performance is no guarantee of future results. It is not
possible to invest directly in an index. Index performance does not reflect charges and
expenses associated with the fund or brokerage commissions associated with
buying and selling a fund. Index performance is not meant to represent that of any particular fund.
Standard & Poor’s, S&P and SPDR are registered
trademarks of Standard & Poor’s Financial Services LLC (S&P); Dow Jones is a registered trademark of Dow Jones Trademark Holdings LLC (Dow Jones); and these trademarks have been licensed for use by S&P Dow Jones Indices LLC (SPDJI)
and sublicensed for certain purposes by State Street Corporation. State Street Corporation’s financial products are not sponsored, endorsed, sold or promoted by SPDJI, Dow Jones, S&P, their respective affiliates and third party licensors
and none of such parties make any representation regarding the advisability of investing in such product(s) nor do they have any liability in relation thereto, including for any errors, omissions, or interruptions of any index.
Distributor: State Street Global Advisors Funds Distributors,
LLC, member FINRA, SIPC, an indirect wholly owned subsidiary of State Street Corporation. References to State Street may include State Street Corporation and its affiliates. Certain State Street affiliates provide services and receive fees from the
SPDR ETFs. SSGA Funds Management has retained Massachusetts Financial Services Company as the sub-adviser.
Massachusetts Financial Services Company is not affiliated with
State Street Global Advisors Funds Distributors, LLC.
Before investing, consider a Fund’s investment objectives,
risks, charges and expenses. To obtain a prospectus or summary prospectus which contains this and other information, call 1.866.787.2257 or visit www.spdrs.com. Read it carefully.
Not FDIC Insured. No Bank Guarantee. May Lose Value.
The information contained in this report is intended
for the general information of shareholders of the Trust. This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current Trust prospectus which contains important information concerning the Trust.
You may obtain a current prospectus and SAI from the Distributor by calling 1-866-787-2257 or visiting www.spdrs.com. Please read the prospectus carefully before you invest.
© 2019 State Street Corporation - All Rights Reserved
SPDRACTIVETSAR
Semi-Annual Report
December 31, 2018
SSGA Active Trust
SPDR
DoubleLine Emerging Markets Fixed Income ETF |
SPDR
DoubleLine Short Duration Total Return Tactical ETF |
SPDR
DoubleLine Total Return Tactical ETF |
IMPORTANT NOTICE: Beginning on January 1, 2021, reports like
this one will no longer automatically be sent by mail. See inside for more information.
The information contained in this report is intended for the
general information of shareholders of the Trust. This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current Trust prospectus which contains important information concerning the Trust. You may
obtain a current prospectus and SAI from the Distributor by calling 1-866-787-2257 or visiting www.spdrs.com. Please read the prospectus carefully before you invest.
Beginning on January 1, 2021, as permitted by regulations
adopted by the U.S. Securities and Exchange Commission, paper copies of a Fund’s annual and semi-annual shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports from the Fund (or from your
financial intermediary, such as a broker-dealer or bank). Instead, the reports will be made available on a Fund’s website (www.spdrs.com), and you will be notified by mail each time a report is posted, and provided with a website link to
access the report. If you already elected to receive reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications by contacting your financial
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Beginning on January 1, 2019, you may elect
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TABLE OF CONTENTS (Unaudited)
The information contained in this report is intended
for the general information of shareholders of the Trust. This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current Trust prospectus which contains important information concerning the Trust.
You may obtain a current prospectus and SAI from the Distributor by calling 1-866-787-2257 or visiting www.spdrs.com. Please read the prospectus carefully before you invest.
[This Page Intentionally Left Blank]
SPDR DoubleLine Emerging Markets Fixed Income ETF
Portfolio Statistics (Unaudited)
Top Five Holdings as of December 31,
2018
|
|
|
|
|
Description
|
%
of Net Assets |
|
|
Temasek
Financial I, Ltd. 2.38% 1/23/2023 |
2.5%
|
|
|
Cometa
Energia SA de CV 6.38% 4/24/2035 |
2.3
|
|
|
DBS
Group Holdings, Ltd. 3.60% 9/7/2021 |
2.3
|
|
|
Philippine
Government International Bond 4.20% 1/21/2024 |
2.1
|
|
|
Grupo
Aval, Ltd. 4.75% 9/26/2022 |
2.0
|
|
|
TOTAL
|
11.2%
|
|
(The five largest holdings are subject to
change, and there are no guarantees the Fund will continue to remain invested in any particular company.)
Portfolio Composition as of December 31,
2018
|
|
|
|
|
|
%
of Net Assets |
|
|
Corporate
Bonds & Notes |
80.3%
|
|
|
Foreign
Government Obligations |
16.0
|
|
|
Short-Term
Investment |
2.6
|
|
|
Other
Assets in Excess of Liabilities |
1.1
|
|
|
TOTAL
|
100.0%
|
|
(The Fund's portfolio composition is
expressed as a percentage of net assets and may change over time.)
See accompanying notes to financial statements.
1
SPDR DoubleLine Short Duration Total Return Tactical ETF
Portfolio Statistics (Unaudited)
Top Five Holdings as of December 31,
2018
|
|
|
|
|
Description
|
%
of Net Assets |
|
|
U.S.
Treasury Inflation Protected Indexed Notes 0.13% 4/15/2019 |
6.7%
|
|
|
Treasury
Notes 2.75% 2/15/2028 |
3.7
|
|
|
Treasury
Notes 2.13% 9/30/2021 |
3.5
|
|
|
Treasury
Notes 2.00% 8/31/2021 |
3.5
|
|
|
Treasury
Notes 1.50% 8/15/2020 |
3.0
|
|
|
TOTAL
|
20.4%
|
|
(The five largest holdings are subject to
change, and there are no guarantees the Fund will continue to remain invested in any particular company.)
Portfolio Composition as of December 31,
2018
|
|
|
|
|
|
%
of Net Assets |
|
|
Corporate
Bonds & Notes |
29.2%
|
|
|
U.S.
Treasury Obligations |
25.8
|
|
|
U.S.
Government Agency Obligations |
24.9
|
|
|
Mortgage-Backed
Securities |
13.5
|
|
|
Asset-Backed
Securities |
2.4
|
|
|
Foreign
Government Obligations |
1.6
|
|
|
Senior
Floating Rate Loans |
0.0
* |
|
|
Short-Term
Investment |
2.1
|
|
|
Other
Assets in Excess of Liabilities |
0.5
|
|
|
TOTAL
|
100.0%
|
|
*
|
Amount
shown represents less than 0.05% of net assets. |
(The Fund's portfolio composition is
expressed as a percentage of net assets and may change over time.)
See accompanying notes to financial statements.
2
SPDR DoubleLine Total Return Tactical ETF
Portfolio Statistics (Unaudited)
Top Five Holdings as of December 31,
2018
|
|
|
|
|
Description
|
%
of Net Assets |
|
|
Treasury
Notes 1.50% 5/31/2020 |
4.1%
|
|
|
Treasury
Notes 2.50% 6/30/2020 |
3.7
|
|
|
Treasury
Bill 2.59% 8/15/2019 |
3.1
|
|
|
Treasury
Notes 2.13% 2/29/2024 |
2.5
|
|
|
Federal
National Mortgage Association CMO, REMIC 3.00% 10/25/2042 |
2.3
|
|
|
TOTAL
|
15.7%
|
|
(The five largest holdings are subject to
change, and there are no guarantees the Fund will continue to remain invested in any particular company.)
Industry Breakdown as of December 31,
2018
|
|
|
|
|
|
%
of Net Assets |
|
|
U.S.
Government Agency Obligations |
43.8%
|
|
|
U.S.
Treasury Obligations |
18.6
|
|
|
Commercial
Mortgage Backed Securities |
4.7
|
|
|
Mortgage-Backed
Securities |
4.5
|
|
|
Asset-Backed
Securities |
1.8
|
|
|
Foreign
Government Obligations |
1.6
|
|
|
Banks
|
3.3
|
|
|
Oil
& Gas |
1.7
|
|
|
Telecommunications
|
1.4
|
|
|
Health
Care Services |
1.0
|
|
|
Software
|
0.8
|
|
|
Commercial
Services |
0.8
|
|
|
Diversified
Financial Services |
0.7
|
|
|
Insurance
|
0.6
|
|
|
Lodging
|
0.6
|
|
|
Pharmaceuticals
|
0.6
|
|
|
Electric
|
0.6
|
|
|
Pipelines
|
0.6
|
|
|
Food
|
0.5
|
|
|
Media
|
0.5
|
|
|
Internet
|
0.5
|
|
|
Retail
|
0.5
|
|
|
Investment
Company Security |
0.5
|
|
|
Chemicals
|
0.5
|
|
|
Energy-Alternate
Sources |
0.3
|
|
|
IT
Services |
0.3
|
|
|
Machinery,
Construction & Mining |
0.3
|
|
|
Machinery-Diversified
|
0.3
|
|
|
Forest
Products & Paper |
0.3
|
|
|
Auto
Parts & Equipment |
0.2
|
|
|
Real
Estate Investment Trusts |
0.2
|
|
|
Health
Care Products |
0.2
|
|
See accompanying notes to financial statements.
3
SPDR DoubleLine Total Return Tactical ETF
Portfolio Statistics (Unaudited) (continued)
|
|
|
|
|
|
%
of Net Assets |
|
|
Packaging
& Containers |
0.2%
|
|
|
Agriculture
|
0.2
|
|
|
Gas
|
0.1
|
|
|
Beverages
|
0.1
|
|
|
Leisure
Time |
0.1
|
|
|
Construction
Materials |
0.1
|
|
|
Building
Materials |
0.1
|
|
|
Food
Service |
0.1
|
|
|
Mining
|
0.1
|
|
|
Semiconductors
|
0.1
|
|
|
Biotechnology
|
0.1
|
|
|
Auto
Manufacturers |
0.1
|
|
|
Airlines
|
0.1
|
|
|
Real
Estate |
0.1
|
|
|
Transportation
|
0.1
|
|
|
Toys/Games/Hobbies
|
0.1
|
|
|
Entertainment
|
0.0*
|
|
|
Oil
& Gas Services |
0.0*
|
|
|
Aerospace
& Defense |
0.0*
|
|
|
Coal
|
0.0*
|
|
|
Electronics
|
0.0*
|
|
|
Sovereign
|
0.0*
|
|
|
Holding
Companies-Divers |
0.0*
|
|
|
Environmental
Control |
0.0*
|
|
|
Household
Products |
0.0*
|
|
|
Metal
Fabricate & Hardware |
0.0*
|
|
|
Distribution
& Wholesale |
0.0*
|
|
|
Home
Furnishings |
0.0*
|
|
|
Engineering
& Construction |
0.0*
|
|
|
Household
Products & Wares |
0.0*
|
|
|
Trucking
& Leasing |
0.0*
|
|
|
Iron/Steel
|
0.0*
|
|
|
Computers
|
0.0*
|
|
|
Short-Term
Investment |
5.1
|
|
|
Other
Assets in Excess of Liabilities |
0.3
|
|
|
TOTAL
|
100.0%
|
|
*
|
Amount
shown represents less than 0.05% of net assets. |
|
(The Fund's industry breakdown is expressed
as a percentage of net assets and may change over time.)
See accompanying notes to financial statements.
4
SPDR DoubleLine Emerging Markets Fixed Income ETF
Schedule of Investments
December 31, 2018 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
CORPORATE
BONDS & NOTES — 80.3% |
|
|
|
ARGENTINA
— 3.5% |
|
|
|
|
|
Banco Macro SA Series REGS, USD 5 Year Swap Rate + 5.46%, 6.75%, 11/4/2026
(a)
|
|
|
$
800,000 |
|
$
645,816 |
Pampa Energia SA Series REGS, 7.50%,
1/24/2027
|
|
|
750,000
|
|
628,537
|
YPF
SA: |
|
|
|
|
|
Series REGS, 6.95%,
7/21/2027
|
|
|
200,000
|
|
162,818
|
Series REGS, 8.50%,
7/28/2025
|
|
|
550,000
|
|
493,724
|
|
|
|
|
|
1,930,895
|
BRAZIL
— 6.3% |
|
|
|
|
|
Banco do Brasil SA Series REGS, 10 Year CMT + 4.40%, 6.25%, 4/15/2024
(a)
|
|
|
1,000,000
|
|
857,650
|
Braskem Finance, Ltd. 6.45%,
2/3/2024
|
|
|
600,000
|
|
630,822
|
Itau Unibanco Holding SA Series REGS, 5 Year CMT + 3.86%, 6.50%, 3/19/2023
(a)
|
|
|
600,000
|
|
568,356
|
MARB
BondCo PLC: |
|
|
|
|
|
Series REGS, 6.88%,
1/19/2025
|
|
|
300,000
|
|
278,223
|
7.00%, 3/15/2024
(b)
|
|
|
200,000
|
|
189,086
|
Petrobras Global Finance B.V. 5.75%,
2/1/2029
|
|
|
800,000
|
|
741,592
|
Votorantim Cimentos International SA Series REGS, 7.25%,
4/5/2041
|
|
|
200,000
|
|
204,500
|
|
|
|
|
|
3,470,229
|
CANADA
— 0.3% |
|
|
|
|
|
Canacol Energy, Ltd. Series REGS, 7.25%,
5/3/2025
|
|
|
200,000
|
|
184,262
|
CHILE
— 7.9% |
|
|
|
|
|
AES Gener SA Series REGS, 5.00%,
7/14/2025
|
|
|
200,000
|
|
192,496
|
Banco de Credito e Inversiones SA Series REGS, 4.00%,
2/11/2023
|
|
|
200,000
|
|
198,424
|
Banco del Estado de Chile 2.67%, 1/8/2021
(b)
|
|
|
300,000
|
|
293,448
|
Banco Santander Chile Series REGS, 3.88%,
9/20/2022
|
|
|
263,000
|
|
260,949
|
Celulosa Arauco y Constitucion SA 4.75%,
1/11/2022
|
|
|
100,000
|
|
101,385
|
Embotelladora Andina SA Series REGS, 5.00%,
10/1/2023
|
|
|
200,000
|
|
204,700
|
Empresa Electrica Guacolda SA Series REGS, 4.56%,
4/30/2025
|
|
|
700,000
|
|
620,858
|
Empresa Nacional de Telecomunicaciones SA Series REGS, 4.75%,
8/1/2026
|
|
|
600,000
|
|
559,590
|
GNL Quintero SA Series REGS, 4.63%,
7/31/2029
|
|
|
200,000
|
|
192,534
|
Inversiones CMPC SA Series REGS, 4.50%,
4/25/2022
|
|
|
700,000
|
|
703,745
|
SACI Falabella Series REGS, 3.75%,
4/30/2023
|
|
|
1,000,000
|
|
971,940
|
|
|
|
|
|
4,300,069
|
CHINA
— 4.2% |
|
|
|
|
|
Alibaba Group Holding, Ltd. 2.80%,
6/6/2023
|
|
|
200,000
|
|
193,186
|
See accompanying notes to financial statements.
5
SPDR DoubleLine Emerging Markets Fixed Income ETF
Schedule of
Investments (continued)
December 31, 2018 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
CNOOC Finance 2011, Ltd. Series REGS, 4.25%,
1/26/2021
|
|
|
$
200,000 |
|
$
203,054 |
CNPC General Capital, Ltd. Series REGS, 3.95%,
4/19/2022
|
|
|
300,000
|
|
303,996
|
Gran Tierra Energy International Holdings, Ltd. Series REGS, 6.25%,
2/15/2025
|
|
|
600,000
|
|
558,498
|
Sinopec
Group Overseas Development 2016, Ltd.: |
|
|
|
|
|
Series REGS, 2.75%,
5/3/2021
|
|
|
400,000
|
|
393,768
|
Series REGS, 2.75%,
9/29/2026
|
|
|
700,000
|
|
637,560
|
|
|
|
|
|
2,290,062
|
COLOMBIA
— 3.9% |
|
|
|
|
|
Banco Bilbao Vizcaya Argentaria Colombia SA Series REGS, 4.88%,
4/21/2025
|
|
|
300,000
|
|
292,578
|
Banco de Bogota SA Series REGS, 6.25%,
5/12/2026
|
|
|
200,000
|
|
202,476
|
Bancolombia SA 6.13%,
7/26/2020
|
|
|
400,000
|
|
412,156
|
Ecopetrol SA 5.88%,
9/18/2023
|
|
|
100,000
|
|
104,429
|
Grupo Aval, Ltd. Series REGS, 4.75%,
9/26/2022
|
|
|
1,200,000
|
|
1,121,868
|
|
|
|
|
|
2,133,507
|
HONG
KONG — 1.4% |
|
|
|
|
|
CK Hutchison International 17 II, Ltd. Series REGS, 2.25%,
9/29/2020
|
|
|
400,000
|
|
393,292
|
CK Hutchison International 17, Ltd. Series REGS, 2.88%,
4/5/2022
|
|
|
400,000
|
|
393,016
|
|
|
|
|
|
786,308
|
INDIA
— 10.8% |
|
|
|
|
|
Adani
Ports & Special Economic Zone, Ltd.: |
|
|
|
|
|
Series REGS, 3.50%,
7/29/2020
|
|
|
500,000
|
|
495,125
|
Series REGS, 3.95%,
1/19/2022
|
|
|
400,000
|
|
395,384
|
Bharat
Petroleum Corp., Ltd.: |
|
|
|
|
|
Series EMTN, 4.00%,
5/8/2025
|
|
|
500,000
|
|
474,082
|
4.63%,
10/25/2022
|
|
|
600,000
|
|
603,744
|
Bharti Airtel International Netherlands B.V. Series REGS, 5.13%,
3/11/2023
|
|
|
700,000
|
|
690,025
|
Bharti Airtel, Ltd. Series REGS, 4.38%,
6/10/2025
|
|
|
500,000
|
|
454,130
|
Indian Oil Corp., Ltd. 5.75%,
8/1/2023
|
|
|
800,000
|
|
842,488
|
ONGC Videsh Vankorneft Pte, Ltd. 3.75%,
7/27/2026
|
|
|
600,000
|
|
557,018
|
ONGC Videsh, Ltd. 4.63%,
7/15/2024
|
|
|
250,000
|
|
249,720
|
Reliance Holding USA, Inc. Series REGS, 5.40%,
2/14/2022
|
|
|
800,000
|
|
830,064
|
Vedanta Resources PLC Series REGS, 6.13%,
8/9/2024
|
|
|
400,000
|
|
332,416
|
|
|
|
|
|
5,924,196
|
IRELAND
— 0.9% |
|
|
|
|
|
C&W Senior Financing DAC 7.50%, 10/15/2026
(b)
|
|
|
500,000
|
|
483,120
|
See accompanying notes to financial statements.
6
SPDR DoubleLine Emerging Markets Fixed Income ETF
Schedule of
Investments (continued)
December 31, 2018 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
ISRAEL
— 1.4% |
|
|
|
|
|
Delek & Avner Tamar Bond, Ltd. 4.44%, 12/30/2020
(b)
|
|
|
$
560,000 |
|
$
558,718 |
Israel Electric Corp., Ltd. Series 6, 5.00%, 11/12/2024
(b)
|
|
|
200,000
|
|
202,732
|
|
|
|
|
|
761,450
|
JAMAICA
— 0.4% |
|
|
|
|
|
Digicel Group, Ltd. Series REGS, 7.13%,
4/1/2022
|
|
|
400,000
|
|
188,632
|
LUXEMBOURG
— 2.4% |
|
|
|
|
|
Minerva
Luxembourg SA: |
|
|
|
|
|
Series REGS, 5.88%,
1/19/2028
|
|
|
400,000
|
|
348,788
|
Series REGS, 6.50%,
9/20/2026
|
|
|
200,000
|
|
186,192
|
Raizen Fuels Finance SA Series REGS, 5.30%,
1/20/2027
|
|
|
800,000
|
|
777,152
|
|
|
|
|
|
1,312,132
|
MALAYSIA
— 7.9% |
|
|
|
|
|
Axiata SPV2 Bhd Series 2, 3.47%,
11/19/2020
|
|
|
1,000,000
|
|
998,250
|
Gohl Capital, Ltd. 4.25%,
1/24/2027
|
|
|
800,000
|
|
752,586
|
Malayan Banking Bhd USD 5 Year Swap Rate + 2.54%, 3.91%, 10/29/2026
(a)
|
|
|
1,000,000
|
|
987,360
|
Malaysia Sovereign Sukuk Bhd Series REGS, 3.04%,
4/22/2025
|
|
|
800,000
|
|
777,248
|
Malaysia Sukuk Global Bhd Series REGS, 3.18%,
4/27/2026
|
|
|
250,000
|
|
242,770
|
Petronas Capital, Ltd. Series REGS, 3.50%,
3/18/2025
|
|
|
600,000
|
|
590,346
|
|
|
|
|
|
4,348,560
|
MEXICO
— 12.5% |
|
|
|
|
|
America Movil SAB de CV 3.13%,
7/16/2022
|
|
|
600,000
|
|
588,072
|
Banco
Mercantil del Norte SA: |
|
|
|
|
|
Series REGS, 10 Year CMT + 5.35%, 7.63%, 1/10/2028
(a)
|
|
|
700,000
|
|
677,635
|
Series REGS, 5 Year CMT + 5.04%, 6.88%, 7/6/2022
(a)
|
|
|
200,000
|
|
193,808
|
Banco Santander Mexico SA 5 Year CMT + 3.00%, 5.95%, 10/1/2028
(a)(b)
|
|
|
350,000
|
|
351,522
|
BBVA
Bancomer SA: |
|
|
|
|
|
Series REGS, 5 Year CMT + 2.65%, 5.13%, 1/18/2033
(a)
|
|
|
1,200,000
|
|
1,041,612
|
Series REGS, 5 Year CMT + 3.00%, 5.35%, 11/12/2029
(a)
|
|
|
200,000
|
|
184,204
|
Coca-Cola Femsa SAB de CV 3.88%,
11/26/2023
|
|
|
300,000
|
|
303,636
|
Cometa Energia SA de CV Series REGS, 6.38%,
4/24/2035
|
|
|
1,381,800
|
|
1,279,533
|
Credito Real SAB de CV Series REGS, 5 Year CMT + 7.03%, 9.13%, 11/29/2022
(a)
|
|
|
200,000
|
|
188,078
|
Fomento Economico Mexicano SAB de CV 2.88%,
5/10/2023
|
|
|
600,000
|
|
574,104
|
Grupo Idesa SA de CV Series REGS, 7.88%,
12/18/2020
|
|
|
200,000
|
|
139,646
|
Mexico Generadora de Energia S de rl Series REGS, 5.50%,
12/6/2032
|
|
|
688,560
|
|
657,988
|
See accompanying notes to financial statements.
7
SPDR DoubleLine Emerging Markets Fixed Income ETF
Schedule of
Investments (continued)
December 31, 2018 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
Unifin Financiera SAB de CV Series REGS, 5 Year CMT + 6.31%, 8.88%, 1/29/2025
(a)
|
|
|
$
800,000 |
|
$
658,640 |
|
|
|
|
|
6,838,478
|
NETHERLANDS
— 1.5% |
|
|
|
|
|
AES Andres B.V./Dominican Power Partners/Empresa Generadora de Electricidad It Series REGS, 7.95%,
5/11/2026
|
|
|
800,000
|
|
808,880
|
PANAMA
— 2.3% |
|
|
|
|
|
Banco General SA Series REGS, 4.13%,
8/7/2027
|
|
|
200,000
|
|
184,042
|
Global
Bank Corp.: |
|
|
|
|
|
Series REGS, 4.50%,
10/20/2021
|
|
|
600,000
|
|
583,992
|
Series REGS, 5.13%,
10/30/2019
|
|
|
500,000
|
|
500,280
|
|
|
|
|
|
1,268,314
|
PERU
— 2.5% |
|
|
|
|
|
Banco de Credito del Peru Series REGS, 5.38%,
9/16/2020
|
|
|
300,000
|
|
309,045
|
BBVA Banco Continental SA Series REGS, 5.00%,
8/26/2022
|
|
|
100,000
|
|
101,759
|
Kallpa Generacion SA Series REGS, 4.13%,
8/16/2027
|
|
|
1,000,000
|
|
933,900
|
|
|
|
|
|
1,344,704
|
PHILIPPINES
— 1.7% |
|
|
|
|
|
BDO
Unibank, Inc.: |
|
|
|
|
|
Series EMTN, 2.63%,
10/24/2021
|
|
|
450,000
|
|
432,135
|
Series EMTN, 2.95%,
3/6/2023
|
|
|
500,000
|
|
472,600
|
|
|
|
|
|
904,735
|
SINGAPORE
— 8.5% |
|
|
|
|
|
DBS Group Holdings, Ltd. Series GMTN, USD 5 Year Swap Rate + 2.39%, 3.60%, 9/7/2021
(a)
|
|
|
1,300,000
|
|
1,241,500
|
ONGC Videsh Vankorneft Pte, Ltd. 2.88%,
1/27/2022
|
|
|
400,000
|
|
385,856
|
PSA International Pte, Ltd. Series GMTN, 3.88%,
2/11/2021
|
|
|
650,000
|
|
659,852
|
Temasek Financial I, Ltd. Series REGS, 2.38%,
1/23/2023
|
|
|
1,400,000
|
|
1,356,446
|
United
Overseas Bank, Ltd.: |
|
|
|
|
|
Series EMTN, USD 5 Year Swap Rate + 1.79%, 3.88%, 10/19/2023
(a)
|
|
|
900,000
|
|
828,996
|
Series EMTN, USD 5 Year Swap Rate + 2.24%, 3.50%, 9/16/2026
(a)
|
|
|
200,000
|
|
198,038
|
|
|
|
|
|
4,670,688
|
TOTAL CORPORATE BONDS & NOTES (Cost
$45,577,129)
|
|
|
|
|
43,949,221
|
FOREIGN
GOVERNMENT OBLIGATIONS — 16.0% |
|
|
|
ARGENTINA
— 2.4% |
|
|
|
|
|
Argentine
Republic Government International Bond: |
|
|
|
|
|
See accompanying notes to financial statements.
8
SPDR DoubleLine Emerging Markets Fixed Income ETF
Schedule of
Investments (continued)
December 31, 2018 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
5.88%,
1/11/2028
|
|
|
$
200,000 |
|
$
144,570 |
6.63%,
7/6/2028
|
|
|
350,000
|
|
259,998
|
6.88%,
1/26/2027
|
|
|
650,000
|
|
497,386
|
Provincia de Buenos Aires Series REGS, 7.88%,
6/15/2027
|
|
|
600,000
|
|
431,670
|
|
|
|
|
|
1,333,624
|
CHILE
— 1.4% |
|
|
|
|
|
Chile
Government International Bond: |
|
|
|
|
|
3.13%,
3/27/2025
|
|
|
200,000
|
|
194,556
|
3.13%,
1/21/2026
|
|
|
600,000
|
|
580,212
|
|
|
|
|
|
774,768
|
INDIA
— 0.9% |
|
|
|
|
|
Export-Import Bank of India Series EMTN, 4.00%,
1/14/2023
|
|
|
500,000
|
|
498,078
|
INDONESIA
— 2.5% |
|
|
|
|
|
Indonesia Government International Bond Series REGS, 4.88%,
5/5/2021
|
|
|
500,000
|
|
511,320
|
Perusahaan Penerbit SBSN Indonesia III 4.15%, 3/29/2027
(b)
|
|
|
900,000
|
|
866,178
|
|
|
|
|
|
1,377,498
|
ISRAEL
— 2.6% |
|
|
|
|
|
Israel
Government International Bond: |
|
|
|
|
|
2.88%,
3/16/2026
|
|
|
400,000
|
|
387,396
|
3.15%,
6/30/2023
|
|
|
400,000
|
|
399,652
|
4.00%,
6/30/2022
|
|
|
600,000
|
|
614,970
|
|
|
|
|
|
1,402,018
|
MEXICO
— 1.8% |
|
|
|
|
|
Mexico
Government International Bond: |
|
|
|
|
|
3.75%,
1/11/2028
|
|
|
200,000
|
|
187,368
|
4.00%,
10/2/2023
|
|
|
300,000
|
|
298,758
|
4.15%,
3/28/2027
|
|
|
500,000
|
|
482,860
|
|
|
|
|
|
968,986
|
PANAMA
— 1.5% |
|
|
|
|
|
Panama Government International Bond 4.00%,
9/22/2024
|
|
|
800,000
|
|
806,120
|
PERU
— 0.3% |
|
|
|
|
|
Fondo MIVIVIENDA SA Series REGS, 3.50%,
1/31/2023
|
|
|
200,000
|
|
192,514
|
PHILIPPINES
— 2.6% |
|
|
|
|
|
Philippine
Government International Bond: |
|
|
|
|
|
4.00%,
1/15/2021
|
|
|
300,000
|
|
303,447
|
See accompanying notes to financial statements.
9
SPDR DoubleLine Emerging Markets Fixed Income ETF
Schedule of
Investments (continued)
December 31, 2018 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
4.20%,
1/21/2024
|
|
|
$1,100,000
|
|
$1,131,438
|
|
|
|
|
|
1,434,885
|
TOTAL FOREIGN GOVERNMENT OBLIGATIONS (Cost
$9,439,173)
|
|
|
|
|
8,788,491
|
|
|
Shares
|
|
SHORT-TERM
INVESTMENT — 2.6% |
|
State Street Institutional U.S. Government Money Market Fund, Class G Shares 2.31% (c) (d) (Cost
$1,418,548)
|
1,418,548
|
1,418,548
|
TOTAL INVESTMENTS — 98.9% (Cost
$56,434,850)
|
54,156,260
|
OTHER ASSETS IN EXCESS OF LIABILITIES — 1.1%
|
585,235
|
NET ASSETS — 100.0%
|
$
54,741,495 |
(a)
|
Variable
Rate Security - Interest rate shown is rate in effect at December 31, 2018. For securities based on a published reference rate and spread, the reference rate and spread are indicated in the description above. |
(b)
|
Securities
purchased pursuant to Rule 144A of the Securities Act of 1933, as amended. These securities, which represent 5.4% of net assets as of December 31, 2018, are considered liquid and may be resold in transactions exempt from registration, normally to
qualified institutional buyers. |
(c)
|
The
Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2018 are shown in the Affiliate Table below. |
(d)
|
The
rate shown is the annualized seven-day yield at December 31, 2018. |
CMT
|
=
Constant Maturity Treasury |
GMTN
|
=
Global Medium Term Note |
The following table summarizes the value of the Fund's investments according to the fair value hierarchy as of December 31, 2018.
Description
|
|
Level
1 – Quoted Prices |
|
Level
2 – Other Significant Observable Inputs |
|
Level
3 – Significant Unobservable Inputs |
|
Total
|
ASSETS:
|
|
|
|
|
|
|
|
|
INVESTMENTS:
|
|
|
|
|
|
|
|
|
Corporate Bonds &
Notes
|
|
$
— |
|
$43,949,221
|
|
$—
|
|
$43,949,221
|
Foreign Government
Obligations
|
|
—
|
|
8,788,491
|
|
—
|
|
8,788,491
|
Short-Term
Investment
|
|
1,418,548
|
|
—
|
|
—
|
|
1,418,548
|
TOTAL
INVESTMENTS
|
|
$1,418,548
|
|
$52,737,712
|
|
$—
|
|
$54,156,260
|
See accompanying notes to financial statements.
10
SPDR DoubleLine Emerging Markets Fixed Income ETF
Schedule of
Investments (continued)
December 31, 2018 (Unaudited)
Affiliate Table
|
Number
of Shares Held at 6/30/18 |
|
Value
at 6/30/18 |
|
Cost
of Purchases |
|
Proceeds
from Shares Sold |
|
Realized
Gain (Loss) |
|
Change
in Unrealized Appreciation/ Depreciation |
|
Number
of Shares Held at 12/31/18 |
|
Value
at 12/31/18 |
|
Dividend
Income |
State Street Institutional U.S. Government Money Market Fund, Class G
Shares
|
3,529,453
|
|
$3,529,453
|
|
$15,224,290
|
|
$17,335,195
|
|
$—
|
|
$—
|
|
1,418,548
|
|
$1,418,548
|
|
$22,873
|
See accompanying notes to financial statements.
11
SPDR DoubleLine Short Duration Total Return Tactical ETF
Schedule of Investments
December 31, 2018 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
CORPORATE
BONDS & NOTES — 29.2% |
|
|
|
|
|
ADVERTISING
— 0.4% |
|
|
|
|
|
Omnicom Group, Inc./Omnicom Capital, Inc. 3.63%,
5/1/2022
|
|
|
$
375,000 |
|
$
369,964 |
AEROSPACE
& DEFENSE — 0.4% |
|
|
|
|
|
Northrop Grumman Corp. 2.08%,
10/15/2020
|
|
|
370,000
|
|
363,029
|
AGRICULTURE
— 0.7% |
|
|
|
|
|
BAT Capital Corp. 2.30%,
8/14/2020
|
|
|
490,000
|
|
478,465
|
Reynolds American, Inc. 3.25%,
6/12/2020
|
|
|
65,000
|
|
64,493
|
|
|
|
|
|
542,958
|
AIRLINES
— 0.5% |
|
|
|
|
|
Delta Air Lines, Inc. 3.40%,
4/19/2021
|
|
|
385,000
|
|
380,734
|
AUTO
MANUFACTURERS — 1.4% |
|
|
|
|
|
Daimler Finance North America LLC 2.30%, 2/12/2021
(a)
|
|
|
560,000
|
|
546,387
|
General
Motors Financial Co., Inc.: |
|
|
|
|
|
2.65%,
4/13/2020
|
|
|
130,000
|
|
127,872
|
3.20%,
7/6/2021
|
|
|
460,000
|
|
449,176
|
|
|
|
|
|
1,123,435
|
BANKS
— 8.5% |
|
|
|
|
|
Banco
de Credito del Peru: |
|
|
|
|
|
Series REGS, 4.25%,
4/1/2023
|
|
|
100,000
|
|
99,474
|
Series REGS, 5.38%,
9/16/2020
|
|
|
90,000
|
|
92,714
|
Banco del Estado de Chile Series REGS, 3.88%,
2/8/2022
|
|
|
200,000
|
|
198,952
|
Banco Mercantil del Norte SA Series REGS, 5 Year CMT + 5.04%, 6.88%, 7/6/2022
(b)
|
|
|
200,000
|
|
193,808
|
Banco Santander Mexico SA 5 Year CMT + 3.00%, 5.95%, 10/1/2028
(a)
(b)
|
|
|
200,000
|
|
200,870
|
Bank of America Corp. Series MTN, 3 Month USD LIBOR + 0.79%, 3.54%, 3/5/2024
(b)
|
|
|
350,000
|
|
338,769
|
BBVA Bancomer SA Series REGS, 6.75%,
9/30/2022
|
|
|
150,000
|
|
158,742
|
BBVA Bancomer SA Texas 7.25%,
4/22/2020
|
|
|
100,000
|
|
103,427
|
See accompanying notes to financial statements.
12
SPDR DoubleLine Short Duration Total Return Tactical ETF
Schedule of
Investments (continued)
December 31, 2018 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
BDO Unibank, Inc. Series EMTN, 2.63%,
10/24/2021
|
|
|
$
200,000 |
|
$
192,060 |
Capital One Financial Corp. 2.40%,
10/30/2020
|
|
|
522,000
|
|
510,965
|
Citigroup, Inc. 3 Month USD LIBOR + 1.02%, 3.76%, 6/1/2024
(b)
|
|
|
575,000
|
|
561,257
|
DBS Group Holdings, Ltd. Series GMTN, USD 5 Year Swap Rate + 2.39%, 3.60%, 9/7/2021
(b)
|
|
|
200,000
|
|
191,000
|
Global Bank Corp. Series REGS, 5.13%,
10/30/2019
|
|
|
200,000
|
|
200,112
|
Goldman Sachs Group, Inc. 2.30%,
12/13/2019
|
|
|
350,000
|
|
346,469
|
Grupo Aval, Ltd. Series REGS, 4.75%,
9/26/2022
|
|
|
200,000
|
|
186,978
|
Itau Unibanco Holding SA Series REGS, 6.20%,
12/21/2021
|
|
|
200,000
|
|
208,114
|
Morgan Stanley 3 Month USD LIBOR + 0.93%, 3.40%, 7/22/2022
(b)
|
|
|
530,000
|
|
525,421
|
Multibank, Inc. Series REGS, 4.38%,
11/9/2022
|
|
|
200,000
|
|
194,020
|
PNC
Financial Services Group, Inc.: |
|
|
|
|
|
4.38%,
8/11/2020
|
|
|
100,000
|
|
101,833
|
5.13%,
2/8/2020
|
|
|
420,000
|
|
428,824
|
Royal Bank of Canada Series GMTN, 3.20%,
4/30/2021
|
|
|
350,000
|
|
350,270
|
Sumitomo Mitsui Financial Group, Inc. 2.06%,
7/14/2021
|
|
|
550,000
|
|
532,504
|
Toronto-Dominion Bank Series MTN, 3.25%,
6/11/2021
|
|
|
345,000
|
|
346,283
|
United Overseas Bank, Ltd. Series EMTN, USD 5 Year Swap Rate + 1.65%, 2.88%, 3/8/2027
(b)
|
|
|
200,000
|
|
192,500
|
Westpac
Banking Corp.: |
|
|
|
|
|
1.60%,
8/19/2019
|
|
|
355,000
|
|
352,298
|
2.65%,
1/25/2021
|
|
|
220,000
|
|
217,452
|
|
|
|
|
|
7,025,116
|
BIOTECHNOLOGY
— 0.7% |
|
|
|
|
|
Celgene Corp. 2.88%,
8/15/2020
|
|
|
550,000
|
|
545,919
|
CHEMICALS
— 0.9% |
|
|
|
|
|
Braskem Netherlands Finance B.V. Series REGS, 3.50%,
1/10/2023
|
|
|
200,000
|
|
190,370
|
See accompanying notes to financial statements.
13
SPDR DoubleLine Short Duration Total Return Tactical ETF
Schedule of
Investments (continued)
December 31, 2018 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
DowDuPont, Inc. 3.77%,
11/15/2020
|
|
|
$
140,000 |
|
$
141,292 |
Sherwin-Williams Co. 2.25%,
5/15/2020
|
|
|
227,000
|
|
223,443
|
UPL Corp., Ltd. Series REGS, 3.25%,
10/13/2021
|
|
|
200,000
|
|
194,178
|
|
|
|
|
|
749,283
|
DIVERSIFIED
FINANCIAL SERVICES — 1.3% |
|
|
|
|
|
Air Lease Corp. 2.50%,
3/1/2021
|
|
|
540,000
|
|
525,771
|
American Express Co. 3.70%,
11/5/2021
|
|
|
355,000
|
|
358,461
|
Unifin Financiera SAB de CV 7.25%,
9/27/2023
|
|
|
200,000
|
|
184,534
|
|
|
|
|
|
1,068,766
|
ELECTRIC
— 1.5% |
|
|
|
|
|
Consolidated
Edison, Inc.: |
|
|
|
|
|
2.00%,
5/15/2021
|
|
|
445,000
|
|
431,196
|
Series A, 2.00%,
3/15/2020
|
|
|
150,000
|
|
147,743
|
Israel Electric Corp., Ltd. Series REGS, 6.88%,
6/21/2023
|
|
|
200,000
|
|
218,546
|
Pampa Energia SA Series REGS, 7.38%,
7/21/2023
|
|
|
100,000
|
|
89,706
|
PSEG Power LLC 3.85%,
6/1/2023
|
|
|
365,000
|
|
363,372
|
|
|
|
|
|
1,250,563
|
FOOD
— 1.0% |
|
|
|
|
|
Kroger Co. 6.15%,
1/15/2020
|
|
|
280,000
|
|
287,857
|
Marfrig Holdings Europe B.V. Series REGS, 8.00%,
6/8/2023
|
|
|
200,000
|
|
200,200
|
Mondelez International, Inc. 3.00%,
5/7/2020
|
|
|
375,000
|
|
373,545
|
|
|
|
|
|
861,602
|
HEALTH
CARE PRODUCTS — 0.7% |
|
|
|
|
|
Thermo Fisher Scientific, Inc. 3.60%,
8/15/2021
|
|
|
540,000
|
|
541,922
|
HEALTH
CARE SERVICES — 1.1% |
|
|
|
|
|
Anthem, Inc. 2.50%,
11/21/2020
|
|
|
535,000
|
|
527,537
|
See accompanying notes to financial statements.
14
SPDR DoubleLine Short Duration Total Return Tactical ETF
Schedule of
Investments (continued)
December 31, 2018 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
Cigna Corp. 3.40%, 9/17/2021
(a)
|
|
|
$
350,000 |
|
$
349,286 |
|
|
|
|
|
876,823
|
INSURANCE
— 0.7% |
|
|
|
|
|
Prudential
Financial, Inc.: |
|
|
|
|
|
Series D, 7.38%,
6/15/2019
|
|
|
200,000
|
|
203,670
|
Series MTN, 4.50%,
11/15/2020
|
|
|
325,000
|
|
332,231
|
|
|
|
|
|
535,901
|
INTERNET
— 0.7% |
|
|
|
|
|
Alibaba Group Holding, Ltd. 3.13%,
11/28/2021
|
|
|
200,000
|
|
198,366
|
eBay, Inc. 2.75%,
1/30/2023
|
|
|
380,000
|
|
365,533
|
|
|
|
|
|
563,899
|
INVESTMENT
COMPANY SECURITY — 0.3% |
|
|
|
|
|
Temasek Financial I, Ltd. Series REGS, 2.38%,
1/23/2023
|
|
|
250,000
|
|
242,223
|
MEDIA
— 0.4% |
|
|
|
|
|
Comcast Corp. 3.45%,
10/1/2021
|
|
|
360,000
|
|
363,665
|
MINING
— 0.2% |
|
|
|
|
|
Fresnillo PLC Series REGS, 5.50%,
11/13/2023
|
|
|
200,000
|
|
203,994
|
OIL
& GAS — 1.4% |
|
|
|
|
|
CNPC General Capital, Ltd. Series REGS, 3.95%,
4/19/2022
|
|
|
200,000
|
|
202,664
|
Ecopetrol SA 5.88%,
9/18/2023
|
|
|
200,000
|
|
208,858
|
Indian Oil Corp., Ltd. 5.63%,
8/2/2021
|
|
|
200,000
|
|
208,505
|
ONGC Videsh, Ltd. 3.75%,
5/7/2023
|
|
|
200,000
|
|
195,138
|
Petrobras Global Finance B.V. 4.38%,
5/20/2023
|
|
|
200,000
|
|
192,252
|
YPF SA Series REGS, 8.50%,
3/23/2021
|
|
|
150,000
|
|
148,472
|
|
|
|
|
|
1,155,889
|
See accompanying notes to financial statements.
15
SPDR DoubleLine Short Duration Total Return Tactical ETF
Schedule of
Investments (continued)
December 31, 2018 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
PACKAGING
& CONTAINERS — 0.7% |
|
|
|
|
|
Packaging Corp. of America 2.45%,
12/15/2020
|
|
|
$
570,000 |
|
$
558,412 |
PHARMACEUTICALS
— 1.8% |
|
|
|
|
|
AstraZeneca PLC 2.38%,
11/16/2020
|
|
|
555,000
|
|
545,687
|
Cardinal
Health, Inc.: |
|
|
|
|
|
1.95%,
6/14/2019
|
|
|
275,000
|
|
273,262
|
2.62%,
6/15/2022
|
|
|
285,000
|
|
274,885
|
CVS Health Corp. 2.80%,
7/20/2020
|
|
|
365,000
|
|
361,748
|
|
|
|
|
|
1,455,582
|
PIPELINES
— 0.2% |
|
|
|
|
|
Oleoducto Central SA Series REGS, 4.00%,
5/7/2021
|
|
|
200,000
|
|
197,108
|
RETAIL
— 0.2% |
|
|
|
|
|
SACI Falabella Series REGS, 3.75%,
4/30/2023
|
|
|
200,000
|
|
194,388
|
SEMICONDUCTORS
— 0.9% |
|
|
|
|
|
Analog Devices, Inc. 2.95%,
1/12/2021
|
|
|
370,000
|
|
366,678
|
Microchip Technology, Inc. 3.92%, 6/1/2021
(a)
|
|
|
385,000
|
|
381,277
|
|
|
|
|
|
747,955
|
TELECOMMUNICATIONS
— 1.5% |
|
|
|
|
|
AT&T, Inc. 2.80%,
2/17/2021
|
|
|
535,000
|
|
528,141
|
Axiata SPV2 Bhd Series 2, 3.47%,
11/19/2020
|
|
|
200,000
|
|
199,650
|
Bharti Airtel International Netherlands B.V. Series REGS, 5.13%,
3/11/2023
|
|
|
200,000
|
|
197,150
|
Verizon Communications, Inc. 3 Month USD LIBOR + 1.10%, 3.72%, 5/15/2025
(b)
|
|
|
345,000
|
|
334,609
|
|
|
|
|
|
1,259,550
|
TEXTILES
— 0.7% |
|
|
|
|
|
Cintas Corp. No. 2 2.90%,
4/1/2022
|
|
|
555,000
|
|
545,598
|
See accompanying notes to financial statements.
16
SPDR DoubleLine Short Duration Total Return Tactical ETF
Schedule of
Investments (continued)
December 31, 2018 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
TRANSPORTATION
— 0.4% |
|
|
|
|
|
Union Pacific Corp. 3.20%,
6/8/2021
|
|
|
$
365,000 |
|
$
366,325 |
TOTAL CORPORATE BONDS & NOTES (Cost
$24,361,835)
|
|
|
|
|
24,090,603
|
ASSET-BACKED
SECURITIES — 2.4% |
|
|
|
|
|
AUTOMOBILE
— 0.5% |
|
|
|
|
|
Westlake Automobile Receivables Trust Series 2017-2A, Class C, 2.59%, 12/15/2022
(a)
|
|
|
400,000
|
|
396,165
|
OTHER
ABS — 1.9% |
|
|
|
|
|
Arbor Realty Commercial Real Estate Notes 2018-FL1, Ltd. Series 2018-FL1, Class A, 1 Month USD LIBOR + 1.15%, 3.61%, 6/15/2028
(a)
(b)
|
|
|
71,000
|
|
70,872
|
Consumer Loan Underlying Bond Credit Trust 2018-P1 Series 2018-P1, Class A, 3.39%, 7/15/2025
(a)
|
|
|
364,285
|
|
363,463
|
LoanCore 2018-CRE1 Issuer, Ltd. Series 2018-CRE1, Class A, 1 Month USD LIBOR + 1.13%, 3.59%, 5/15/2028
(a)
(b)
|
|
|
100,000
|
|
99,850
|
Marathon CRE 2018 FL1, Ltd. Series 2018-FL1, Class A, 1 Month USD LIBOR + 1.15%, 3.61%, 6/15/2028
(a)
(b)
|
|
|
100,000
|
|
99,999
|
Marlette Funding Trust Series 2018-3A, Class A, 3.20%, 9/15/2028
(a)
|
|
|
375,379
|
|
375,159
|
Mill City Mortgage Trust Series 2015-2, Class A1, 3.00%, 9/25/2057
(a)
(b)
|
|
|
183
|
|
183
|
OneMain Financial Issuance Trust Series 2017-1A, Class A1, 2.37%, 9/14/2032
(a)
|
|
|
250,000
|
|
246,142
|
Sofi Consumer Loan Program 2018-2 Trust Series 2018-2, Class A1, 2.93%, 4/26/2027
(a)
|
|
|
142,005
|
|
141,610
|
Sofi Consumer Loan Program LLC Series 2017-1, Class A, 3.28%, 1/26/2026
(a)
|
|
|
184,802
|
|
184,733
|
|
|
|
|
|
1,582,011
|
TOTAL ASSET-BACKED SECURITIES (Cost
$1,987,008)
|
|
|
|
|
1,978,176
|
FOREIGN
GOVERNMENT OBLIGATIONS — 1.6% |
|
|
|
|
|
CHILE
— 0.2% |
|
|
|
|
|
Chile Government International Bond 2.25%,
10/30/2022
|
|
|
200,000
|
|
192,946
|
See accompanying notes to financial statements.
17
SPDR DoubleLine Short Duration Total Return Tactical ETF
Schedule of
Investments (continued)
December 31, 2018 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
DOMINICAN
REPUBLIC — 0.3% |
|
|
|
|
|
Dominican Republic International Bond Series REGS, 7.50%,
5/6/2021
|
|
|
$
200,000 |
|
$
206,348 |
INDONESIA
— 0.3% |
|
|
|
|
|
Indonesia Government International Bond Series REGS, 4.88%,
5/5/2021
|
|
|
200,000
|
|
204,528
|
ISRAEL
— 0.3% |
|
|
|
|
|
Israel Government International Bond 4.00%,
6/30/2022
|
|
|
200,000
|
|
204,990
|
MALAYSIA
— 0.3% |
|
|
|
|
|
Wakala Global Sukuk Bhd 4.65%,
7/6/2021
|
|
|
250,000
|
|
259,423
|
PHILIPPINES
— 0.2% |
|
|
|
|
|
Philippine Government International Bond 4.00%,
1/15/2021
|
|
|
200,000
|
|
202,298
|
TOTAL FOREIGN GOVERNMENT OBLIGATIONS (Cost
$1,296,847)
|
|
|
|
|
1,270,533
|
U.S.
GOVERNMENT AGENCY OBLIGATIONS — 24.9% |
|
|
|
|
|
Federal
Home Loan Mortgage Corp.: |
|
|
|
|
|
3.50%,
9/1/2032
|
|
|
815,410
|
|
825,918
|
Series 4030, Class AN, CMO, REMIC, 1.75%,
4/15/2027
|
|
|
1,921,125
|
|
1,864,575
|
Series 4060, Class QA, CMO, REMIC, 1.50%,
9/15/2026
|
|
|
685,907
|
|
665,473
|
Series 4125, Class FA, CMO, REMIC, 1 Month USD LIBOR + 0.35%, 2.81%, 11/15/2042
(b)
|
|
|
469,437
|
|
466,771
|
Series 4484, Class CD, CMO, REMIC, 1.75%,
7/15/2030
|
|
|
336,608
|
|
323,702
|
Series 4582, Class HA, CMO, REMIC, 3.00%,
9/15/2045
|
|
|
670,632
|
|
656,686
|
Series 4738, Class LA, CMO, REMIC, 3.00%,
11/15/2043
|
|
|
921,185
|
|
908,343
|
Series 4764, Class WF, CMO, REMIC, 1 Month USD LIBOR + 0.30%, 2.76%, 2/15/2048
(b)
|
|
|
940,971
|
|
937,150
|
Series K722, Class X1, IO, 1.31%, 3/25/2023
(b)
|
|
|
490,474
|
|
20,994
|
Federal
National Mortgage Association: |
|
|
|
|
|
3.00%,
11/1/2036
|
|
|
546,200
|
|
539,792
|
Series 2018-77, Class FA, CMO, 1 Month USD LIBOR + 0.30%, 2.81%, 10/25/2048
(b)
|
|
|
962,154
|
|
955,561
|
Series 2007-54, Class FW, CMO, REMIC, 1 Month USD LIBOR + 0.25%, 2.76%, 6/25/2037
(b)
|
|
|
771,550
|
|
773,554
|
Series 2012-32, Class DA, CMO, REMIC, 2.00%,
11/25/2026
|
|
|
2,170,397
|
|
2,118,716
|
Series 2015-59, Class A, CMO, REMIC, 3.00%,
6/25/2041
|
|
|
527,308
|
|
523,101
|
Series 2016-8, Class FA, CMO, REMIC, 1 Month USD LIBOR + 0.45%, 2.96%, 3/25/2046
(b)
|
|
|
669,739
|
|
668,310
|
See accompanying notes to financial statements.
18
SPDR DoubleLine Short Duration Total Return Tactical ETF
Schedule of
Investments (continued)
December 31, 2018 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
Series 2017-13, Class ML, CMO, REMIC, 3.00%,
8/25/2041
|
|
|
$
859,748 |
|
$
852,190 |
Series 2017-2, Class HA, CMO, REMIC, 3.00%,
9/25/2041
|
|
|
799,658
|
|
793,236
|
Series 2018-27, Class FJ, CMO, REMIC, 1 Month USD LIBOR + 0.30%, 2.81%, 12/25/2047
(b)
|
|
|
924,440
|
|
916,331
|
Series 2018-30, Class FA, CMO, REMIC, 1 Month USD LIBOR + 0.30%, 2.81%, 5/25/2048
(b)
|
|
|
932,893
|
|
928,974
|
Series 2018-39, Class EF, CMO, REMIC, 1 Month USD LIBOR + 0.30%, 2.24%, 6/25/2048
(b)
|
|
|
902,224
|
|
900,506
|
Series 2018-39, Class FG, CMO, REMIC, 1 Month USD LIBOR + 0.25%, 2.76%, 11/25/2033
(b)
|
|
|
875,067
|
|
870,039
|
Series 2018-45, Class FA, CMO, REMIC, 1 Month USD LIBOR + 0.30%, 2.81%, 6/25/2048
(b)
|
|
|
902,979
|
|
896,204
|
Government
National Mortgage Association: |
|
|
|
|
|
Series 2014-94, Class FB, CMO, REMIC, 1 Month USD LIBOR + 0.25%, 2.72%, 9/20/2035
(b)
|
|
|
767,967
|
|
765,083
|
Series 2017-116, Class FA, CMO, REMIC, 1 Month USD LIBOR + 0.30%, 2.65%, 11/20/2043
(b)
|
|
|
667,560
|
|
664,789
|
Series 2017-116, Class FB, CMO, REMIC, 1 Month USD LIBOR + 0.25%, 2.72%, 5/20/2044
(b)
|
|
|
768,345
|
|
767,979
|
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS (Cost
$20,897,911)
|
|
|
|
|
20,603,977
|
U.S.
TREASURY OBLIGATIONS — 25.8% |
|
|
|
|
|
Treasury
Bill: |
|
|
|
|
|
2.27%,
2/21/2019
|
|
|
2,080,000
|
|
2,073,198
|
2.59%,
8/15/2019
|
|
|
320,000
|
|
315,000
|
Treasury
Notes: |
|
|
|
|
|
1.50%,
8/15/2020
|
|
|
2,520,000
|
|
2,478,744
|
1.88%,
1/31/2022
|
|
|
850,000
|
|
834,902
|
2.00%,
8/31/2021
|
|
|
2,940,000
|
|
2,903,981
|
2.13%,
9/30/2021
|
|
|
2,940,000
|
|
2,912,490
|
2.25%,
3/31/2020
|
|
|
1,240,000
|
|
1,235,037
|
2.75%,
2/15/2028
|
|
|
3,000,000
|
|
3,015,644
|
U.S. Treasury Inflation Protected Indexed Notes 0.13%,
4/15/2019
|
|
|
5,654,851
|
|
5,575,774
|
TOTAL U.S. TREASURY OBLIGATIONS (Cost
$21,273,316)
|
|
|
|
|
21,344,770
|
MORTGAGE-BACKED
SECURITIES — 13.5% |
|
|
|
|
|
Alternative Loan Trust Series 2006-41CB, Class 1A3, CMO, 6.00%,
1/25/2037
|
|
|
405,137
|
|
333,080
|
Atrium Hotel Portfolio Trust Series 2017-ATRM, Class E, 1 Month USD LIBOR + 3.05%, 5.51%, 12/15/2036
(a)
(b)
|
|
|
36,000
|
|
35,229
|
See accompanying notes to financial statements.
19
SPDR DoubleLine Short Duration Total Return Tactical ETF
Schedule of
Investments (continued)
December 31, 2018 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
Atrium Hotel Portfolio Trust 2018-ATRM Series 2018-ATRM, Class A, 1 Month USD LIBOR + 0.95%, 3.41%, 6/15/2035
(a)
(b)
|
|
|
$
100,000 |
|
$
99,128 |
BANK Series 2017-BNK6, Class XA, IO, 0.87%, 7/15/2060
(b)
|
|
|
1,132,083
|
|
60,037
|
BBCMS
Mortgage Trust: |
|
|
|
|
|
Series 2017-DELC, Class C, 1 Month USD LIBOR + 1.20%, 3.66%, 8/15/2036
(a)
(b)
|
|
|
17,000
|
|
16,781
|
Series 2017-DELC, Class D, 1 Month USD LIBOR + 1.70%, 4.16%, 8/15/2036
(a)
(b)
|
|
|
19,000
|
|
18,810
|
Series 2017-DELC, Class E, 1 Month USD LIBOR + 2.50%, 4.96%, 8/15/2036
(a)
(b)
|
|
|
38,000
|
|
37,775
|
Series 2017-DELC, Class F, 1 Month USD LIBOR + 3.50%, 5.96%, 8/15/2036
(a)
(b)
|
|
|
38,000
|
|
37,825
|
Series 2018-TALL, Class A, 1 Month USD LIBOR + 0.72%, 3.18%, 3/15/2037
(a)
(b)
|
|
|
31,000
|
|
30,476
|
BBCMS Trust Series 2018-BXH, Class A, 1 Month USD LIBOR + 1.00%, 3.46%, 10/15/2037
(a)
(b)
|
|
|
15,000
|
|
14,888
|
Bear Stearns Commercial Mortgage Securities Trust Series 2014-BXO, Class E, 1 Month USD LIBOR + 3.75%, 6.21%, 8/15/2027
(a)
(b)
|
|
|
26,000
|
|
26,027
|
BENCHMARK Mortgage Trust Series 2018-B1, Class XA, IO, 0.53%, 1/15/2051
(b)
|
|
|
2,267,381
|
|
83,622
|
BHMS Series 2018-ATLS, Class A, 1 Month USD LIBOR + 1.25%, 3.71%, 7/15/2035
(a)
(b)
|
|
|
75,000
|
|
74,114
|
Braemar Hotels & Resorts Trust 2018-Prime Series 2018-PRME, Class A, 1 Month USD LIBOR + 0.82%, 3.28%, 6/15/2035
(a)
(b)
|
|
|
115,000
|
|
114,013
|
BX Commercial Mortgage Trust Series 2018-BIOA, Class E, 1 Month USD LIBOR + 1.95%, 4.41%, 3/15/2037
(a)
(b)
|
|
|
257,000
|
|
250,608
|
BX Trust Series 2018-EXCL, Class A, 1 Month USD LIBOR + 1.09%, 3.54%, 9/15/2037
(a)
(b)
|
|
|
15,000
|
|
14,891
|
BX Trust 2017-IMC Series 2017-IMC, Class A, 1 Month USD LIBOR + 1.05%, 3.51%, 10/15/2032
(a)
(b)
|
|
|
100,000
|
|
99,486
|
BX Trust 2018-BILT Series 2018-BILT, Class A, 1 Month USD LIBOR + 0.80%, 3.26%, 5/15/2030
(a)
(b)
|
|
|
115,000
|
|
111,963
|
BX Trust 2018-MCSF Series 2018-MCSF, Class F, 1 Month USD LIBOR + 2.65%, 5.05%, 4/15/2035
(a)
(b)
|
|
|
47,000
|
|
45,987
|
BXMT, Ltd. Series 2017-FL1, Class C, 1 Month USD LIBOR + 1.95%, 4.41%, 6/15/2035
(a)
(b)
|
|
|
150,000
|
|
150,017
|
CFCRE
Commercial Mortgage Trust: |
|
|
|
|
|
Series 2018-TAN, Class B, 4.69%, 2/15/2033
(a)
|
|
|
55,000
|
|
55,595
|
Series 2018-TAN, Class C, 5.29%, 2/15/2033
(a)
|
|
|
55,000
|
|
56,352
|
Series 2018-TAN, Class D, 6.10%, 2/15/2033
(a)
|
|
|
33,000
|
|
33,805
|
CGGS Commercial Mortgage Trust Series 2018-WSS, Class D, 1 Month USD LIBOR + 2.30%, 4.76%, 2/15/2037
(a)
(b)
|
|
|
100,000
|
|
98,898
|
See accompanying notes to financial statements.
20
SPDR DoubleLine Short Duration Total Return Tactical ETF
Schedule of
Investments (continued)
December 31, 2018 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
CGGS Commercial Mortgage Trust 2018-WSS Series 2018-WSS, Class A, 1 Month USD LIBOR + 0.90%, 3.36%, 2/15/2037
(a)
(b)
|
|
|
$
100,000 |
|
$
98,380 |
CHT
COSMO Mortgage Trust: |
|
|
|
|
|
Series 2017-CSMO, Class E, 1 Month USD LIBOR + 3.00%, 5.46%, 11/15/2036
(a)
(b)
|
|
|
59,000
|
|
58,619
|
Series 2017-CSMO, Class F, 1 Month USD LIBOR + 3.74%, 6.20%, 11/15/2036
(a)
(b)
|
|
|
131,000
|
|
129,526
|
Citigroup
Commercial Mortgage Trust: |
|
|
|
|
|
Series 2018-TBR, Class D, 1 Month USD LIBOR + 1.80%, 4.26%, 12/15/2036
(a)
(b)
|
|
|
95,000
|
|
94,052
|
Series 2016-GC37, Class XA, IO, 1.79%, 4/10/2049
(b)
|
|
|
504,949
|
|
50,548
|
CLNS
Trust: |
|
|
|
|
|
Series 2017-IKPR, Class D, 1 Month USD LIBOR + 2.05%, 4.45%, 6/11/2032
(a)
(b)
|
|
|
18,000
|
|
17,895
|
Series 2017-IKPR, Class E, 1 Month USD LIBOR + 3.50%, 5.90%, 6/11/2032
(a)
(b)
|
|
|
18,000
|
|
18,030
|
COLT Mortgage Loan Trust Series 2018-1, Class A1, CMO, 2.93%, 2/25/2048
(a)
(b)
|
|
|
193,021
|
|
190,810
|
COMM
Mortgage Trust: |
|
|
|
|
|
Series 2018-HCLV, Class A, 1 Month USD LIBOR + 1.00%, 3.46%, 9/15/2033
(a)
(b)
|
|
|
70,000
|
|
69,674
|
Series 2015-CR25, Class XA, IO, 0.92%, 8/10/2048
(b)
|
|
|
1,337,622
|
|
63,910
|
Credit Suisse Mortgage Capital Certificates Series 2017-CHOP, Class D, 1 Month USD LIBOR + 1.90%, 4.36%, 7/15/2032
(a)
(b)
|
|
|
29,000
|
|
28,848
|
CSAIL
Commercial Mortgage Trust: |
|
|
|
|
|
Series 2017-C8, Class XA, IO, 1.25%, 6/15/2050
(b)
|
|
|
342,439
|
|
21,269
|
Series 2017-CX10, Class XA, IO, 0.73%, 11/15/2050
(b)
|
|
|
996,341
|
|
48,704
|
Series 2017-CX9, Class XA, IO, 0.89%, 9/15/2050
(b)
|
|
|
1,848,953
|
|
74,373
|
DBGS BIOD Mortgage Trust Series 2018-BIOD, Class A, 1 Month USD LIBOR + 0.80%, 3.26%, 5/15/2035
(a)
(b)
|
|
|
139,221
|
|
138,341
|
Federal
Home Loan Mortgage Corp.: |
|
|
|
|
|
Series 4703, Class FA, 1 Month USD LIBOR + 0.35%, 2.81%, 7/15/2047
(b)
|
|
|
1,219,150
|
|
1,214,791
|
Series 4818, Class FC, 1 Month USD LIBOR + 0.30%, 2.76%, 4/15/2048
(b)
|
|
|
724,522
|
|
717,898
|
Federal
National Mortgage Association: |
|
|
|
|
|
Series 2012-56, Class FK, 1 Month USD LIBOR + 0.45%, 2.96%, 6/25/2042
(b)
|
|
|
1,182,223
|
|
1,179,700
|
Series 2017-96, Class FA, 1 Month USD LIBOR + 0.40%, 2.91%, 12/25/2057
(b)
|
|
|
1,050,026
|
|
1,047,736
|
Series 2018-55, Class FA, 1 Month USD LIBOR + 0.30%, 2.81%, 8/25/2048
(b)
|
|
|
931,401
|
|
924,511
|
See accompanying notes to financial statements.
21
SPDR DoubleLine Short Duration Total Return Tactical ETF
Schedule of
Investments (continued)
December 31, 2018 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
GPMT 2018-FL1, Ltd. Series 2018-FL1, Class A, 1 Month USD LIBOR + 0.90%, 3.38%, 11/21/2035
(a)
(b)
|
|
|
$
100,000 |
|
$
99,533 |
GPT 2018-GPP Mortgage Trust Series 2018-GPP, Class B, 1 Month USD LIBOR + 1.28%, 3.74%, 6/15/2035
(a)
(b)
|
|
|
75,000
|
|
73,641
|
GS
Mortgage Securities Trust: |
|
|
|
|
|
Series 2017-500K, Class E, 1 Month USD LIBOR + 1.50%, 3.96%, 7/15/2032
(a)
(b)
|
|
|
50,000
|
|
48,621
|
Series 2017-500K, Class F, 1 Month USD LIBOR + 1.80%, 4.26%, 7/15/2032
(a)
(b)
|
|
|
107,000
|
|
106,793
|
Series 2018-TWR, Class A, 1 Month USD LIBOR + 0.90%, 3.36%, 7/15/2031
(a)
(b)
|
|
|
100,000
|
|
100,198
|
Series 2018-TWR, Class D, 1 Month USD LIBOR + 1.60%, 4.06%, 7/15/2031
(a)
(b)
|
|
|
100,000
|
|
98,799
|
Series 2017-GS7, Class XA, IO, 1.14%, 8/10/2050
(b)
|
|
|
392,544
|
|
28,747
|
JP Morgan Chase Commercial Mortgage Securities Corp. Series 2018-LAQ, Class A, 1 Month USD LIBOR + 1.00%, 3.46%, 6/15/2032
(a)
(b)
|
|
|
100,000
|
|
98,059
|
JP
Morgan Chase Commercial Mortgage Securities Trust: |
|
|
|
|
|
Series 2006-LDP9, Class AMS, 5.34%,
5/15/2047
|
|
|
67,000
|
|
67,266
|
Series 2007-LDPX, Class AM, 5.46%, 1/15/2049
(b)
|
|
|
6,580
|
|
6,566
|
Series 2017-MAUI, Class C, 1 Month USD LIBOR + 1.25%, 3.64%, 7/15/2034
(a)
(b)
|
|
|
27,000
|
|
26,685
|
Series 2017-MAUI, Class D, 1 Month USD LIBOR + 1.95%, 4.34%, 7/15/2034
(a)
(b)
|
|
|
25,000
|
|
24,122
|
Series 2017-MAUI, Class E, 1 Month USD LIBOR + 2.95%, 5.34%, 7/15/2034
(a)
(b)
|
|
|
22,000
|
|
21,501
|
Series 2017-MAUI, Class F, 1 Month USD LIBOR + 3.75%, 6.14%, 7/15/2034
(a)
(b)
|
|
|
31,000
|
|
31,099
|
Series 2018-WPT, Class EFL, 1 Month USD LIBOR + 2.60%, 4.98%, 7/5/2033
(a)
(b)
|
|
|
100,000
|
|
99,669
|
Series 2016-JP4, Class XA, IO, 0.80%, 12/15/2049
(b)
|
|
|
1,674,357
|
|
63,150
|
JPMBB Commercial Mortgage Securities Trust Series 2014-C22, Class XA, IO, 0.88%, 9/15/2047
(b)
|
|
|
1,027,698
|
|
40,247
|
LMREC 2015-CRE1, Inc. Series 2015-CRE1, Class AR, 1 Month USD LIBOR + 0.98% , 3.48%, 2/22/2032
(a)
(b)
|
|
|
110,000
|
|
109,813
|
Morgan
Stanley Bank of America Merrill Lynch Trust: |
|
|
|
|
|
Series 2014-C15, Class XA, IO, 0.98%, 4/15/2047
(b)
|
|
|
846,224
|
|
35,153
|
Series 2014-C19, Class LNCX, IO, 0.60%, 12/15/2046
(a)
|
|
|
1,228,672
|
|
38,531
|
Morgan
Stanley Capital I Trust: |
|
|
|
|
|
Series 2018-SUN, Class A, 1 Month USD LIBOR + 0.90%, 3.36%, 7/15/2035
(a)
(b)
|
|
|
74,000
|
|
73,171
|
Series 2016-UB12, Class XA, IO, 0.80%, 12/15/2049
(b)
|
|
|
1,607,450
|
|
68,818
|
See accompanying notes to financial statements.
22
SPDR DoubleLine Short Duration Total Return Tactical ETF
Schedule of
Investments (continued)
December 31, 2018 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
MSCG Trust Series 2018-SELF, Class A, 1 Month USD LIBOR + 0.90%, 3.36%, 10/15/2037
(a)
(b)
|
|
|
$
79,000 |
|
$
77,560 |
Natixis Commercial Mortgage Securities Trust 2018-FL1 Series 2018-FL1, Class A, 1 Month USD LIBOR + 0.95%, 3.26%, 6/15/2035
(a)
(b)
|
|
|
100,000
|
|
98,765
|
RAIT Trust Series 2017-FL7, Class AS, 1 Month USD LIBOR + 1.30%, 3.76%, 6/15/2037
(a)
(b)
|
|
|
6,000
|
|
6,000
|
Rosslyn
Portfolio Trust: |
|
|
|
|
|
Series 2017-ROSS, Class A, 1 Month USD LIBOR + 0.95%, 3.41%, 6/15/2033
(a)
(b)
|
|
|
15,000
|
|
14,945
|
Series 2017-ROSS, Class B, 1 Month USD LIBOR + 1.25%, 3.71%, 6/15/2033
(a)
(b)
|
|
|
15,000
|
|
14,988
|
TPG
Real Estate Finance, Ltd.: |
|
|
|
|
|
Series 2018-FL1, Class A, 1 Month USD LIBOR + 0.75%, 3.21%, 2/15/2035
(a)
(b)
|
|
|
59,288
|
|
59,022
|
Series 2018-FL1, Class AS, 1 Month USD LIBOR + 0.95%, 3.41%, 2/15/2035
(a)
(b)
|
|
|
117,000
|
|
116,738
|
Series 2018-FL1, Class B, 1 Month USD LIBOR + 1.30%, 3.76%, 2/15/2035
(a)
(b)
|
|
|
49,000
|
|
48,889
|
UBS Commercial Mortgage Trust Series 2017-C1, Class XA, IO, 1.60%, 6/15/2050
(b)
|
|
|
642,177
|
|
63,172
|
Velocity
Commercial Capital Loan Trust: |
|
|
|
|
|
Series 2018-2, Class A, 4.05%, 10/26/2048
(a)
(b)
|
|
|
965,727
|
|
974,061
|
Series 2016-1, Class AFX, ABS, 3.53%, 4/25/2046
(a)
(b)
|
|
|
143,150
|
|
142,929
|
VSD LLC 3.60%,
12/25/2043
|
|
|
7,662
|
|
7,655
|
Wachovia Bank Commercial Mortgage Trust Series 2006-C25, Class F, 5.19%, 5/15/2043
(b)
|
|
|
12,901
|
|
12,895
|
Waldorf
Astoria Boca Raton Trust: |
|
|
|
|
|
Series 2016-BOCA, Class B, 1 Month USD LIBOR + 2.05%, 4.51%, 6/15/2029
(a)
(b)
|
|
|
37,000
|
|
37,033
|
Series 2016-BOCA, Class C, 1 Month USD LIBOR + 2.50%, 4.96%, 6/15/2029
(a)
(b)
|
|
|
31,000
|
|
31,023
|
WFRBS Commercial Mortgage Trust Series 2013-C18, Class XA, IO, 0.75%, 12/15/2046
(b)
|
|
|
1,151,969
|
|
33,668
|
TOTAL MORTGAGE-BACKED SECURITIES (Cost
$11,470,190)
|
|
|
|
|
11,186,547
|
SENIOR
FLOATING RATE LOANS — 0.0% (c) |
|
|
|
HEALTH
CARE PROVIDERS & SERVICES — 0.0% (c) |
|
|
|
|
Select Medical Corp. Senior Secured 2017 Term Loan B, 1 Month USD LIBOR + 2.50%, 5.01%,
3/6/2025(b)
|
|
90
|
|
86
|
See accompanying notes to financial statements.
23
SPDR DoubleLine Short Duration Total Return Tactical ETF
Schedule of
Investments (continued)
December 31, 2018 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
MEDIA
— 0.0% (c) |
|
|
|
|
Tribune Media Co. Senior Secured Term Loan, 1 Month USD LIBOR + 3.00%, 5.52%,
12/27/2020(b)
|
|
$4,246
|
|
$4,228
|
TOTAL SENIOR FLOATING RATE LOANS (Cost
$4,341)
|
|
4,314
|
|
|
|
Shares
|
|
SHORT-TERM
INVESTMENT — 2.1% |
|
State Street Institutional U.S. Government Money Market Fund, Class G Shares 2.31% (d) (e) (Cost
$1,782,183)
|
1,782,183
|
1,782,183
|
TOTAL INVESTMENTS — 99.5% (Cost
$83,073,631)
|
82,261,103
|
OTHER ASSETS IN EXCESS OF LIABILITIES — 0.5%
|
381,617
|
NET ASSETS —
100.0%
|
$
82,642,720 |
(a)
|
Securities
purchased pursuant to Rule 144A of the Securities Act of 1933, as amended. These securities, which represent 10.2% of net assets as of December 31, 2018, are considered liquid and may be resold in transactions exempt from registration, normally to
qualified institutional buyers. |
(b)
|
Variable
Rate Security - Interest rate shown is rate in effect at December 31, 2018. For securities based on a published reference rate and spread, the reference rate and spread are indicated in the description above. |
(c)
|
Amount
is less than 0.05% of net assets. |
(d)
|
The
Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2018 are shown in the Affiliate Table below. |
(e)
|
The
rate shown is the annualized seven-day yield at December 31, 2018. |
ABS
|
=
Asset-Backed Security |
CMO
|
=
Collateralized Mortgage Obligation |
CMT
|
=
Constant Maturity Treasury |
GMTN
|
=
Global Medium Term Note |
IO
|
=
Interest Only |
LIBOR
|
=
London Interbank Offered Rate |
MTN
|
=
Medium Term Note |
REMIC
|
=
Real Estate Mortgage Investment Conduit |
See accompanying notes to financial statements.
24
SPDR DoubleLine Short Duration Total Return Tactical ETF
Schedule of
Investments (continued)
December 31, 2018 (Unaudited)
The following table summarizes the value of the Fund's investments according to the fair value hierarchy as of December 31, 2018.
Description
|
|
Level
1 – Quoted Prices |
|
Level
2 – Other Significant Observable Inputs |
|
Level
3 – Significant Unobservable Inputs |
|
Total
|
ASSETS:
|
|
|
|
|
|
|
|
|
INVESTMENTS:
|
|
|
|
|
|
|
|
|
Corporate Bonds &
Notes
|
|
$
— |
|
$24,090,603
|
|
$—
|
|
$24,090,603
|
Asset-Backed
Securities
|
|
—
|
|
1,978,176
|
|
—
|
|
1,978,176
|
Foreign Government
Obligations
|
|
—
|
|
1,270,533
|
|
—
|
|
1,270,533
|
U.S. Government Agency
Obligations
|
|
—
|
|
20,603,977
|
|
—
|
|
20,603,977
|
U.S. Treasury
Obligations
|
|
—
|
|
21,344,770
|
|
—
|
|
21,344,770
|
Mortgage-Backed
Securities
|
|
—
|
|
11,186,547
|
|
—
|
|
11,186,547
|
Senior Floating Rate
Loans
|
|
—
|
|
4,314
|
|
—
|
|
4,314
|
Short-Term
Investment
|
|
1,782,183
|
|
—
|
|
—
|
|
1,782,183
|
TOTAL
INVESTMENTS
|
|
$1,782,183
|
|
$80,478,920
|
|
$—
|
|
$82,261,103
|
Affiliate Table
|
Number
of Shares Held at 6/30/18 |
|
Value
at 6/30/18 |
|
Cost
of Purchases |
|
Proceeds
from Shares Sold |
|
Realized
Gain (Loss) |
|
Change
in Unrealized Appreciation/ Depreciation |
|
Number
of Shares Held at 12/31/18 |
|
Value
at 12/31/18 |
|
Dividend
Income |
State Street Institutional U.S. Government Money Market Fund, Class G
Shares
|
376,094
|
|
$376,094
|
|
$21,564,140
|
|
$20,158,051
|
|
$—
|
|
$—
|
|
1,782,183
|
|
$1,782,183
|
|
$14,447
|
See accompanying notes to financial statements.
25
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SUMMARY SCHEDULE OF INVESTMENTS
December 31, 2018 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
CORPORATE
BONDS & NOTES — 13.5% |
|
|
|
|
|
ARGENTINA
— 0.3% |
|
|
|
|
|
Other
Securities
|
|
|
|
$
8,098,301 |
AUSTRALIA
— 0.2% |
|
|
|
|
|
Other
Securities
|
|
|
|
4,959,757
|
BELGIUM
— 0.0% (a) |
|
|
|
|
|
Other
Security
|
|
|
|
1,454,736
|
BRAZIL
— 0.7% |
|
|
|
|
|
Other
Securities
|
|
|
|
19,671,349
|
CANADA
— 0.3% |
|
|
|
|
|
Other
Securities
|
|
|
|
8,078,500
|
CAYMAN
ISLANDS — 0.1% |
|
|
|
|
|
Other
Securities
|
|
|
|
4,653,696
|
CHILE
— 0.6% |
|
|
|
|
|
Other
Securities
|
|
|
|
18,364,845
|
CHINA
— 0.2% |
|
|
|
|
|
Other
Securities
|
|
|
|
7,624,912
|
COLOMBIA
— 0.2% |
|
|
|
|
|
Other
Securities
|
|
|
|
4,827,548
|
COSTA
RICA — 0.1% |
|
|
|
|
|
Other
Securities
|
|
|
|
2,865,018
|
DOMINICAN
REPUBLIC — 0.2% |
|
|
|
|
|
Other
Securities
|
|
|
|
6,174,420
|
FRANCE
— 0.0% (a) |
|
|
|
|
|
Other
Security
|
|
|
|
389,810
|
HONG
KONG — 0.0% (a) |
|
|
|
|
|
Other
Security
|
|
|
|
1,064,976
|
INDIA
— 1.1% |
|
|
|
|
|
Other
Securities
|
|
|
|
34,332,500
|
IRELAND
— 0.2% |
|
|
|
|
|
Other
Securities
|
|
|
|
5,520,587
|
ISRAEL
— 0.1% |
|
|
|
|
|
Other
Securities
|
|
|
|
3,960,155
|
JAMAICA
— 0.1% |
|
|
|
|
|
Other
Securities
|
|
|
|
2,234,394
|
See accompanying notes to financial statements.
26
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SUMMARY SCHEDULE OF INVESTMENTS (continued)
December 31, 2018 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
JAPAN
— 0.1% |
|
|
|
|
|
Other
Securities
|
|
|
|
$
2,976,306 |
LUXEMBOURG
— 0.2% |
|
|
|
|
|
Other
Securities
|
|
|
|
4,786,077
|
MALAYSIA
— 0.6% |
|
|
|
|
|
Other
Securities
|
|
|
|
17,438,809
|
MEXICO
— 0.6% |
|
|
|
|
|
Other
Securities
|
|
|
|
16,944,678
|
NETHERLANDS
— 0.1% |
|
|
|
|
|
Other
Securities
|
|
|
|
1,752,229
|
PANAMA
— 0.2% |
|
|
|
|
|
Other
Security
|
|
|
|
6,003,360
|
PERU
— 0.1% |
|
|
|
|
|
Other
Securities
|
|
|
|
2,215,693
|
PHILIPPINES
— 0.2% |
|
|
|
|
|
Other
Securities
|
|
|
|
7,012,600
|
SINGAPORE
— 0.6% |
|
|
|
|
|
Other
Securities
|
|
|
|
17,130,482
|
UNITED
KINGDOM — 0.3% |
|
|
|
|
|
Other
Securities
|
|
|
|
7,822,115
|
UNITED
STATES — 6.1% |
|
|
|
|
|
Other
Securities
|
|
|
|
181,243,280
|
Total Corporate Bonds & Notes (Cost
$418,086,477)
|
|
|
|
|
399,601,133
|
ASSET-BACKED
SECURITIES — 1.8% |
|
|
|
|
|
Aegis Asset Backed Securities Trust Series 2006-1, Class A2, 1 Month USD LIBOR + 0.17%, 2.68%, 1/25/2037
(b)
|
|
|
$30,018,585
|
|
23,737,564
|
Other
Securities
|
|
|
|
28,537,831
|
Total Asset-Backed Securities (Cost
$52,761,926)
|
|
|
|
|
52,275,395
|
FOREIGN
GOVERNMENT OBLIGATIONS — 1.6% |
|
|
|
|
|
ARGENTINA
— 0.3% |
|
|
|
|
|
Other
Securities
|
|
|
|
7,566,022
|
BRAZIL
— 0.1% |
|
|
|
|
|
Other
Security
|
|
|
|
2,342,200
|
See accompanying notes to financial statements.
27
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SUMMARY SCHEDULE OF INVESTMENTS (continued)
December 31, 2018 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
CANADA
— 0.0% (a) |
|
|
|
|
|
Other
Security
|
|
|
|
$
461,845 |
CHILE
— 0.2% |
|
|
|
|
|
Other
Securities
|
|
|
|
6,780,660
|
COSTA
RICA — 0.1% |
|
|
|
|
|
Other
Security
|
|
|
|
2,996,711
|
INDIA
— 0.0% (a) |
|
|
|
|
|
Other
Security
|
|
|
|
1,195,387
|
INDONESIA
— 0.2% |
|
|
|
|
|
Other
Securities
|
|
|
|
6,255,730
|
ISRAEL
— 0.1% |
|
|
|
|
|
Other
Security
|
|
|
|
3,389,715
|
MEXICO
— 0.0% (a) |
|
|
|
|
|
Other
Security
|
|
|
|
1,124,208
|
PANAMA
— 0.2% |
|
|
|
|
|
Other
Security
|
|
|
|
5,038,250
|
PERU
— 0.1% |
|
|
|
|
|
Other
Securities
|
|
|
|
2,502,682
|
PHILIPPINES
— 0.3% |
|
|
|
|
|
Other
Security
|
|
|
|
7,200,060
|
UNITED
STATES — 0.0% (a) |
|
|
|
|
|
Other
Security
|
|
|
|
73,366
|
Total Foreign Government Obligations (Cost
$50,764,053)
|
|
|
|
|
46,926,836
|
SENIOR
FLOATING RATE LOANS — 6.1% |
|
|
|
|
|
AEROSPACE
& DEFENSE — 0.0% (a) |
|
|
|
|
|
Other
Securities
|
|
|
|
755,450
|
AUTO
COMPONENTS — 0.2% |
|
|
|
|
|
Other
Securities
|
|
|
|
5,724,373
|
BUILDING
PRODUCTS — 0.1% |
|
|
|
|
|
Other
Security
|
|
|
|
3,097,464
|
CAPITAL
MARKETS — 0.1% |
|
|
|
|
|
Other
Security
|
|
|
|
2,850,951
|
CASINO
SERVICES — 0.0% (a) |
|
|
|
|
|
Other
Security
|
|
|
|
761,977
|
See accompanying notes to financial statements.
28
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SUMMARY SCHEDULE OF INVESTMENTS (continued)
December 31, 2018 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
CHEMICALS
— 0.2% |
|
|
|
|
|
Other
Securities
|
|
|
|
$
5,246,752 |
COMMERCIAL
SERVICES & SUPPLIES — 0.3% |
|
|
|
|
|
Other
Securities
|
|
|
|
9,471,818
|
COMMUNICATIONS
EQUIPMENT — 0.2% |
|
|
|
|
|
Other
Securities
|
|
|
|
5,975,325
|
CONSTRUCTION
& ENGINEERING — 0.0% (a) |
|
|
|
|
|
Other
Security
|
|
|
|
527,850
|
CONSTRUCTION
MATERIALS — 0.1% |
|
|
|
|
|
Other
Securities
|
|
|
|
3,015,169
|
CONTAINERS
& PACKAGING — 0.1% |
|
|
|
|
|
Other
Security
|
|
|
|
2,479,627
|
DISTRIBUTORS
— 0.0% (a) |
|
|
|
|
|
Other
Security
|
|
|
|
171,608
|
DIVERSIFIED
TELECOMMUNICATION SERVICES — 0.2% |
|
|
|
|
|
Other
Securities
|
|
|
|
4,808,707
|
ELECTRICAL
EQUIPMENT — 0.1% |
|
|
|
|
|
Other
Security
|
|
|
|
2,012,493
|
ELECTRONIC
EQUIPMENT, INSTRUMENTS & COMPONENTS — 0.0% (a) |
|
|
|
|
|
Other
Security
|
|
|
|
908,747
|
ENERGY
EQUIPMENT & SERVICES — 0.0% (a) |
|
|
|
|
|
Other
Security
|
|
|
|
1,220,851
|
FINANCIAL
SERVICES — 0.2% |
|
|
|
|
|
Other
Securities
|
|
|
|
5,227,788
|
FOOD
& STAPLES RETAILING — 0.1% |
|
|
|
|
|
Other
Security
|
|
|
|
2,505,572
|
FOOD
PRODUCTS — 0.0% (a) |
|
|
|
|
|
Other
Security
|
|
|
|
750,460
|
HEALTH
CARE PROVIDERS & SERVICES — 0.5% |
|
|
|
|
|
Other
Securities
|
|
|
|
15,501,957
|
HEALTH
CARE TECHNOLOGY — 0.1% |
|
|
|
|
|
Other
Security
|
|
|
|
3,750,928
|
HOTELS,
RESTAURANTS & LEISURE — 0.5% |
|
|
|
|
|
Other
Securities
|
|
|
|
15,647,990
|
See accompanying notes to financial statements.
29
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SUMMARY SCHEDULE OF INVESTMENTS (continued)
December 31, 2018 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
HOUSEHOLD
PRODUCTS — 0.0% (a) |
|
|
|
|
|
Other
Security
|
|
|
|
$
823,887 |
INSURANCE
— 0.3% |
|
|
|
|
|
Other
Securities
|
|
|
|
10,027,215
|
INTERACTIVE
MEDIA & SERVICES — 0.2% |
|
|
|
|
|
Other
Securities
|
|
|
|
7,223,262
|
IT
SERVICES — 0.3% |
|
|
|
|
|
Other
Securities
|
|
|
|
9,321,894
|
LIFE
SCIENCES TOOLS & SERVICES — 0.2% |
|
|
|
|
|
Other
Securities
|
|
|
|
4,746,692
|
MACHINERY
— 0.2% |
|
|
|
|
|
Other
Securities
|
|
|
|
4,865,560
|
MACHINERY-CONSTR&MINING
— 0.1% |
|
|
|
|
|
Other
Security
|
|
|
|
1,963,369
|
MEDIA
— 0.2% |
|
|
|
|
|
Other
Securities
|
|
|
|
5,352,599
|
METAL-DIVERSIFIED
— 0.0% (a) |
|
|
|
|
|
Other
Security
|
|
|
|
750,680
|
METALS
& MINING — 0.1% |
|
|
|
|
|
Other
Securities
|
|
|
|
2,605,115
|
OIL
REFINING&MARKETING — 0.0% (a) |
|
|
|
|
|
Other
Security
|
|
|
|
1,049,943
|
OIL,
GAS & CONSUMABLE FUELS — 0.1% |
|
|
|
|
|
Other
Security
|
|
|
|
3,315,409
|
PHARMACEUTICALS
— 0.1% |
|
|
|
|
|
Other
Securities
|
|
|
|
1,546,495
|
REAL
ESTATE INVESTMENT TRUSTS (REITS) — 0.1% |
|
|
|
|
|
Other
Securities
|
|
|
|
1,535,742
|
REAL
ESTATE MANAGEMENT & DEVELOPMENT — 0.1% |
|
|
|
|
|
Other
Security
|
|
|
|
2,019,708
|
RETAIL-RESTAURANTS
— 0.1% |
|
|
|
|
|
Other
Security
|
|
|
|
3,503,221
|
SOFTWARE
— 0.8% |
|
|
|
|
|
Other
Securities
|
|
|
|
24,294,849
|
SPECIALTY
RETAIL — 0.1% |
|
|
|
|
|
Other
Securities
|
|
|
|
2,380,989
|
See accompanying notes to financial statements.
30
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SUMMARY SCHEDULE OF INVESTMENTS (continued)
December 31, 2018 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
TELECOMMUNICATION
EQUIP — 0.1% |
|
|
|
|
|
Other
Security
|
|
|
|
$
2,658,092 |
Total Senior Floating Rate Loans (Cost
$191,955,428)
|
|
|
|
|
182,398,578
|
U.S.
GOVERNMENT AGENCY OBLIGATIONS — 43.8% |
|
|
|
|
|
Federal
Home Loan Mortgage Corp.: |
|
|
|
|
|
3.00%,
11/1/2042
|
|
|
$
16,465,243 |
|
16,177,533
|
3.00%,
1/1/2045
|
|
|
2,650,095
|
|
2,599,716
|
3.00%,
2/1/2045
|
|
|
1,862,076
|
|
1,823,020
|
3.00%,
3/1/2045
|
|
|
1,981,380
|
|
1,939,822
|
3.00%,
4/1/2045
|
|
|
13,704,097
|
|
13,416,663
|
3.00%,
4/1/2045
|
|
|
26,597,781
|
|
26,092,147
|
3.00%,
5/1/2045
|
|
|
6,949,522
|
|
6,803,761
|
3.00%,
8/1/2045
|
|
|
18,955,835
|
|
18,558,249
|
3.50%,
2/1/2045
|
|
|
3,508,782
|
|
3,525,272
|
3.50%,
4/1/2045
|
|
|
17,892,382
|
|
17,945,692
|
3.50%,
4/1/2045
|
|
|
11,218,403
|
|
11,251,829
|
3.50%,
6/1/2045
|
|
|
13,537,780
|
|
13,578,116
|
3.50%,
10/1/2045
|
|
|
15,610,182
|
|
15,656,693
|
3.50%,
2/1/2046
|
|
|
16,036,888
|
|
16,072,107
|
4.00%,
4/1/2047
|
|
|
41,403,387
|
|
42,246,728
|
4.00%,
7/1/2047
|
|
|
12,657,017
|
|
12,914,827
|
4.00%,
10/1/2047
|
|
|
25,826,016
|
|
26,352,063
|
4.50%,
6/1/2044
|
|
|
2,554,381
|
|
2,657,375
|
Series 326, Class 300, CMO 3.00%,
3/15/2044
|
|
|
33,894,334
|
|
33,119,315
|
Series 358, Class 300, CMO 3.00%,
10/15/2047
|
|
|
33,961,692
|
|
33,481,384
|
Series 3822, Class ZG, CMO, REMIC 4.00%,
2/15/2041
|
|
|
3,747,487
|
|
3,893,734
|
Series 3852, Class NS, CMO, IO, REMIC 6.00% - 1 Month USD LIBOR, 3.54%, 5/15/2041
(b)
|
|
|
11,434,021
|
|
1,493,116
|
Series 3889, Class VZ, CMO, REMIC 4.00%,
7/15/2041
|
|
|
11,982,080
|
|
12,251,676
|
Series 3935, Class SJ, CMO, IO, REMIC 6.65% - 1 Month USD LIBOR, 4.19%, 5/15/2041
(b)
|
|
|
2,756,307
|
|
246,364
|
Series 4120, Class KA, CMO, REMIC 1.75%,
10/15/2032
|
|
|
17,792,224
|
|
17,169,065
|
See accompanying notes to financial statements.
31
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SUMMARY SCHEDULE OF INVESTMENTS (continued)
December 31, 2018 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
Series 4165, Class ZT, CMO, REMIC 3.00%,
2/15/2043
|
|
|
$
15,951,726 |
|
$
14,214,394 |
Series 4215, Class KC, CMO, REMIC 2.25%,
3/15/2038
|
|
|
11,804,357
|
|
11,657,378
|
Series 4364, Class ZX, CMO, REMIC 4.00%,
7/15/2044
|
|
|
28,678,890
|
|
29,571,827
|
Series 4434, Class LZ, CMO, REMIC 3.00%,
2/15/2045
|
|
|
3,365,137
|
|
2,956,763
|
Series 4444, Class CZ, CMO, REMIC 3.00%,
2/15/2045
|
|
|
12,338,837
|
|
10,898,818
|
Series 4447, Class A, CMO, REMIC 3.00%,
6/15/2041
|
|
|
1,863,052
|
|
1,857,841
|
Series 4447, Class Z, CMO, REMIC 3.00%,
3/15/2045
|
|
|
4,072,598
|
|
3,619,954
|
Series 4471, Class BA, CMO, REMIC 3.00%,
12/15/2041
|
|
|
6,406,347
|
|
6,335,268
|
Series 4471, Class GA, CMO, REMIC 3.00%,
2/15/2044
|
|
|
9,803,283
|
|
9,637,259
|
Series 4474, Class ZX, CMO, REMIC 4.00%,
4/15/2045
|
|
|
11,941,528
|
|
12,402,727
|
Series 4481, Class B, CMO, REMIC 3.00%,
12/15/2042
|
|
|
6,575,192
|
|
6,473,600
|
Series 4483, Class CA, CMO, REMIC 3.00%,
6/15/2044
|
|
|
12,091,047
|
|
11,890,362
|
Series 4484, Class CD, CMO, REMIC 1.75%,
7/15/2030
|
|
|
14,700,060
|
|
14,136,431
|
Series 4491, Class B, CMO, REMIC 3.00%,
8/15/2040
|
|
|
11,957,302
|
|
11,858,424
|
Series 4492, Class GZ, CMO, REMIC 3.50%,
7/15/2045
|
|
|
8,562,317
|
|
8,154,121
|
Series 4499, Class AB, CMO, REMIC 3.00%,
6/15/2042
|
|
|
13,084,487
|
|
12,921,491
|
Series 4504, Class CA, CMO, REMIC 3.00%,
4/15/2044
|
|
|
13,136,328
|
|
12,931,954
|
Series 4511, Class QA, CMO, REMIC 3.00%,
1/15/2041
|
|
|
11,025,124
|
|
10,934,087
|
Series 4511, Class QC, CMO, REMIC 3.00%,
12/15/2040
|
|
|
8,717,823
|
|
8,642,007
|
Series 4533, Class AB, CMO, REMIC 3.00%,
6/15/2044
|
|
|
9,198,835
|
|
9,050,948
|
Series 4543, Class HG, CMO, REMIC 2.70%,
4/15/2044
|
|
|
17,114,783
|
|
16,625,182
|
See accompanying notes to financial statements.
32
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SUMMARY SCHEDULE OF INVESTMENTS (continued)
December 31, 2018 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
Series 4582, Class HA, CMO, REMIC 3.00%,
9/15/2045
|
|
|
$
13,412,647 |
|
$
13,133,728 |
Series 4629, Class KA, CMO, REMIC 3.00%,
3/15/2045
|
|
|
41,710,493
|
|
41,118,946
|
Series 4750, Class PA, 3.00%,
7/15/2046
|
|
|
23,586,076
|
|
23,248,802
|
Series 4792, Class A, CMO, REMIC 3.00%,
5/15/2048
|
|
|
25,836,126
|
|
25,190,856
|
Series K053, Class A2, Class A2, 3.00%,
12/25/2025
|
|
|
2,232,000
|
|
2,212,019
|
Federal
National Mortgage Association: |
|
|
|
|
|
2.50%,
9/1/2046
|
|
|
5,098,507
|
|
4,788,183
|
2.50%,
2/1/2047
|
|
|
13,792,411
|
|
13,018,145
|
3.00%,
10/1/2041
|
|
|
32,189,147
|
|
31,407,401
|
3.00%,
3/1/2043
|
|
|
5,530,675
|
|
5,435,708
|
3.00%,
7/1/2043
|
|
|
8,718,114
|
|
8,500,533
|
3.00%,
1/1/2045
|
|
|
2,005,182
|
|
1,953,665
|
3.00%,
3/1/2045
|
|
|
2,728,900
|
|
2,672,500
|
3.00%,
4/1/2045
|
|
|
11,371,527
|
|
11,056,887
|
3.00%,
7/1/2045
|
|
|
33,248,955
|
|
32,678,039
|
3.50%,
9/1/2034
|
|
|
2,594,111
|
|
2,630,938
|
3.50%,
12/1/2034
|
|
|
2,312,932
|
|
2,345,767
|
3.50%,
2/1/2035
|
|
|
1,476,446
|
|
1,497,407
|
3.50%,
1/1/2045
|
|
|
13,361,168
|
|
13,426,550
|
3.50%,
2/1/2045
|
|
|
4,800,101
|
|
4,823,590
|
3.50%,
6/1/2045
|
|
|
13,517,510
|
|
13,560,409
|
4.50%,
3/1/2044
|
|
|
2,709,235
|
|
2,819,123
|
4.50%,
6/1/2044
|
|
|
1,362,254
|
|
1,417,508
|
4.50%,
7/1/2044
|
|
|
1,409,080
|
|
1,466,233
|
4.50%,
2/1/2045
|
|
|
1,697,631
|
|
1,766,488
|
Series 2010-109, Class N, CMO, REMIC 3.00%,
10/25/2040
|
|
|
2,905,935
|
|
2,880,672
|
Series 2011-51, Class CI, CMO, IO, REMIC 6.00% - 1 Month USD LIBOR, 3.49%, 6/25/2041
(b)
|
|
|
7,701,976
|
|
991,832
|
Series 2012-101, Class AP, CMO, REMIC 2.00%,
8/25/2040
|
|
|
7,587,414
|
|
7,283,146
|
Series 2012-127, Class PA, CMO, REMIC 2.75%,
11/25/2042
|
|
|
3,868,543
|
|
3,733,966
|
Series 2012-151, Class SB, CMO, REMIC 6.00% - 1 Month USD LIBOR, 2.48%, 1/25/2043
(b)
|
|
|
1,248,324
|
|
943,500
|
See accompanying notes to financial statements.
33
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SUMMARY SCHEDULE OF INVESTMENTS (continued)
December 31, 2018 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
Series 2013-114, Class HZ, CMO, REMIC 3.00%,
11/25/2038
|
|
|
$
16,661,591 |
|
$
15,331,681 |
Series 2013-18, Class CD, CMO, REMIC 1.50%,
10/25/2027
|
|
|
5,389,879
|
|
5,170,891
|
Series 2013-30, Class PS, CMO, REMIC 6.00% - 1 Month USD LIBOR, 2.48%, 4/25/2043
(b)
|
|
|
1,718,187
|
|
1,360,082
|
Series 2014-21, Class GZ, CMO, REMIC 3.00%,
4/25/2044
|
|
|
6,367,987
|
|
5,680,622
|
Series 2014-39, Class ZA, CMO, REMIC 3.00%,
7/25/2044
|
|
|
9,154,752
|
|
8,465,477
|
Series 2015-42, Class CA, CMO, REMIC 3.00%,
3/25/2044
|
|
|
7,520,082
|
|
7,389,997
|
Series 2015-9, Class HA, CMO, REMIC 3.00%,
1/25/2045
|
|
|
11,214,375
|
|
11,007,683
|
Series 2015-95, Class AP, CMO, REMIC 3.00%,
8/25/2042
|
|
|
14,776,225
|
|
14,576,991
|
Series 2016-21, Class BZ, CMO, REMIC 3.00%,
4/25/2046
|
|
|
4,703,232
|
|
4,119,396
|
Series 2016-32, Class LA, CMO, REMIC 3.00%,
10/25/2044
|
|
|
12,679,607
|
|
12,491,456
|
Series 2016-72, Class PA, CMO, REMIC 3.00%,
7/25/2046
|
|
|
20,779,761
|
|
20,385,718
|
Series 2016-81, Class PA, CMO, REMIC 3.00%,
2/25/2044
|
|
|
28,834,789
|
|
28,518,457
|
Series 2016-9, Class A, CMO, REMIC 3.00%,
9/25/2043
|
|
|
10,620,294
|
|
10,412,456
|
Series 2016-92, Class A, CMO, REMIC 3.00%,
4/25/2042
|
|
|
34,072,426
|
|
33,552,353
|
Series 2016-M3, Class A2, 2.70%,
2/25/2026
|
|
|
2,150,000
|
|
2,081,724
|
Series 2017-13, Class CA, CMO, REMIC 2.50%,
10/25/2043
|
|
|
27,296,030
|
|
26,622,932
|
Series 2017-15, Class MA, CMO, REMIC 3.00%,
2/25/2042
|
|
|
16,676,166
|
|
16,515,525
|
Series 2017-18, Class A, CMO, REMIC 3.00%,
8/25/2042
|
|
|
42,238,781
|
|
41,975,130
|
Series 2017-32, Class CA, CMO, REMIC 3.00%,
10/25/2042
|
|
|
40,816,411
|
|
40,356,062
|
Series 2017-87, Class BA, CMO, REMIC 3.00%,
12/25/2042
|
|
|
29,349,857
|
|
29,406,762
|
Series 2017-9, Class EA, CMO, REMIC 3.00%,
10/25/2042
|
|
|
68,929,076
|
|
68,063,410
|
See accompanying notes to financial statements.
34
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SUMMARY SCHEDULE OF INVESTMENTS (continued)
December 31, 2018 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
Series 2018-27, Class JA, CMO, REMIC 3.00%,
12/25/2047
|
|
|
$
16,408,806 |
|
$
16,038,411 |
Series 2018-38, Class JB, CMO, REMIC 3.00%,
6/25/2048
|
|
|
13,544,682
|
|
13,298,210
|
Other
Securities
|
|
|
|
12,620,108
|
Total U.S. Government Agency Obligations (Cost
$1,345,160,769)
|
|
|
|
|
1,301,481,178
|
U.S.
TREASURY OBLIGATIONS — 18.6% |
|
|
|
|
|
Treasury Bill 2.59%,
8/15/2019
|
|
|
95,000,000
|
|
93,515,720
|
Treasury
Notes: |
|
|
|
|
|
1.50%,
5/31/2020
|
|
|
122,300,000
|
|
120,503,164
|
1.63%,
5/15/2026
|
|
|
66,620,000
|
|
62,220,421
|
2.13%,
2/29/2024
|
|
|
76,000,000
|
|
74,564,383
|
2.25%,
11/15/2025
|
|
|
63,700,000
|
|
62,304,552
|
2.25%,
11/15/2027
|
|
|
30,000,000
|
|
28,980,812
|
2.50%,
6/30/2020
|
|
|
111,600,000
|
|
111,513,889
|
Total U.S. Treasury Obligations (Cost
$554,790,959)
|
|
|
|
|
553,602,941
|
MORTGAGE-BACKED
SECURITIES — 4.5% |
|
|
|
|
|
Other Securities (Cost
$136,482,292)
|
|
|
|
132,874,390
|
COMMERCIAL
MORTGAGE BACKED SECURITIES — 4.7% |
|
|
|
|
|
Other Securities (Cost
$158,740,696)
|
|
|
|
139,549,406
|
|
|
Shares
|
|
SHORT-TERM
INVESTMENT - 5.1% |
|
|
|
State Street Institutional U.S. Government Money Market Fund, Class G Shares 2.31% (Cost $150,002,235) (c)
(d)
|
|
150,002,235
|
150,002,235
|
TOTAL INVESTMENTS - 99.7% (Cost
$3,058,744,835)
|
|
|
2,958,712,092
|
OTHER ASSETS IN EXCESS OF LIABILITIES - 0.3%
|
|
|
9,280,487
|
NET ASSETS -
100.0%
|
|
|
$
2,967,992,579 |
See accompanying notes to financial
statements.
35
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SUMMARY SCHEDULE OF INVESTMENTS (continued)
December 31, 2018 (Unaudited)
The
Summary Schedule of Investments does not reflect the complete portfolio holdings. It includes the Fund’s 50 largest holdings and each investment of any issuer that exceeds 1% of the Fund’s net assets. “Other Securities”
represent all issues not required to be disclosed under the rules adopted by the U.S. Securities and Exchange Commission (“SEC”). In certain instances, securities for which footnotes listed below may otherwise apply are included in the
Other Securities caption. The complete schedule of portfolio holdings is available on the Fund's website at www.spdrs.com, without charge, upon request by calling 1-866-787-2257 (toll-free) and on the SEC's
website at www.sec.gov. |
|
(a)
|
Amount
shown represents less than 0.05% of net assets. |
(b)
|
Variable
Rate Security - Interest rate shown is rate in effect at December 31, 2018. For securities based on a published reference rate and spread, the reference rate and spread are indicated in the description above. |
(c)
|
The
Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2018 are shown in the Affiliate Table below. |
(d)
|
The
rate shown is the annualized seven-day yield at December 31, 2018. |
CMO
|
Collateralized
Mortgage Obligation |
IO
|
Interest
Only |
LIBOR
|
London
Interbank Offered Rate |
REMIC
|
Real
Estate Mortgage Investment Conduit |
At December 31, 2018, the Fund had unfunded loan
commitments of $435,119, which could be extended at the option of the borrowers, pursuant to the following loan agreements:
Borrower
|
|
Unfunded
Loan Commitment ($) |
|
Value
($) |
|
Unrealized
Appreciation/(Depreciation) ($) |
Mavis
Tire Express Services Corp. |
|
435,119
|
|
420,978
|
|
(14,141)
|
See accompanying notes to financial statements.
36
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SUMMARY SCHEDULE OF INVESTMENTS (continued)
December 31, 2018 (Unaudited)
The following table summarizes the value of the Fund's investments according to the fair value hierarchy as of December 31, 2018.
Description
|
|
Level
1 – Quoted Prices |
|
Level
2 – Other Significant Observable Inputs |
|
Level
3 – Significant Unobservable Inputs |
|
Total
|
ASSETS:
|
|
|
|
|
|
|
|
|
INVESTMENTS:
|
|
|
|
|
|
|
|
|
Corporate Bonds &
Notes
|
|
$
— |
|
$
399,601,133 |
|
$—
|
|
$
399,601,133 |
Asset-Backed
Securities
|
|
—
|
|
52,275,395
|
|
—
|
|
52,275,395
|
Foreign Government
Obligations
|
|
—
|
|
46,926,836
|
|
—
|
|
46,926,836
|
U.S. Government Agency
Obligations
|
|
—
|
|
1,301,481,178
|
|
—
|
|
1,301,481,178
|
U.S. Treasury
Obligations
|
|
—
|
|
553,602,941
|
|
—
|
|
553,602,941
|
Mortgage-Backed
Securities
|
|
—
|
|
132,874,390
|
|
—
|
|
132,874,390
|
Commercial Mortgage Backed
Securities
|
|
—
|
|
139,549,406
|
|
—
|
|
139,549,406
|
Senior Floating Rate
Loans
|
|
—
|
|
182,398,578
|
|
—
|
|
182,398,578
|
Short-Term
Investment
|
|
150,002,235
|
|
—
|
|
—
|
|
150,002,235
|
TOTAL
INVESTMENTS
|
|
$150,002,235
|
|
$2,808,709,857
|
|
$—
|
|
$2,958,712,092
|
LIABILITIES:
|
|
|
|
|
|
|
|
|
OTHER
FINANCIAL INSTRUMENTS: |
|
|
|
|
|
|
|
|
Unfunded
Loans
|
|
—
|
|
(14,141)
|
|
—
|
|
(14,141)
|
TOTAL OTHER FINANCIAL
INSTRUMENTS
|
|
$
— |
|
$
(14,141) |
|
$—
|
|
$
(14,141) |
Affiliate Table
|
Number
of Shares Held at 6/30/18 |
|
Value
at 6/30/18 |
|
Cost
of Purchases |
|
Proceeds
from Shares Sold |
|
Realized
Gain (Loss) |
|
Change
in Unrealized Appreciation/ Depreciation |
|
Number
of Shares Held at 12/31/18 |
|
Value
at 12/31/18 |
|
Dividend
Income |
State Street Institutional U.S. Government Money Market Fund, Class G
Shares
|
—
|
|
$—
|
|
$440,854,524
|
|
$290,852,289
|
|
$—
|
|
$—
|
|
150,002,235
|
|
$150,002,235
|
|
$404,486
|
See accompanying notes to financial statements.
37
SSGA ACTIVE TRUST
STATEMENTS OF ASSETS AND LIABILITIES
December 31, 2018 (Unaudited)
|
SPDR
DoubleLine Emerging Markets Fixed Income ETF |
|
SPDR
DoubleLine Short Duration Total Return Tactical ETF |
ASSETS
|
|
|
|
Investments in unaffiliated issuers, at
value
|
$52,737,712
|
|
$80,478,920
|
Investments in affiliated issuers, at
value
|
1,418,548
|
|
1,782,183
|
Total
Investments
|
54,156,260
|
|
82,261,103
|
Cash
|
12,552
|
|
17,262
|
Receivable for investments
sold
|
—
|
|
28,707
|
Dividends receivable — affiliated
issuers
|
4,994
|
|
2,401
|
Interest receivable — unaffiliated
issuers
|
795,886
|
|
364,559
|
Receivable from
Adviser
|
4,899
|
|
3,733
|
TOTAL ASSETS
|
54,974,591
|
|
82,677,765
|
LIABILITIES
|
|
|
|
Payable for investments
purchased
|
196,913
|
|
—
|
Advisory fee
payable
|
36,165
|
|
35,030
|
Trustees’ fees and expenses
payable
|
18
|
|
15
|
TOTAL LIABILITIES
|
233,096
|
|
35,045
|
NET ASSETS
|
$54,741,495
|
|
$82,642,720
|
NET
ASSETS CONSIST OF: |
|
|
|
Paid-in
Capital
|
$57,277,902
|
|
$83,950,897
|
Total distributable earnings
(loss)
|
(2,536,407)
|
|
(1,308,177)
|
NET ASSETS
|
$54,741,495
|
|
$82,642,720
|
NET
ASSET VALUE PER SHARE |
|
|
|
Net asset value per
share
|
$
47.60 |
|
$
48.61 |
Shares outstanding (unlimited amount authorized, no par
value)
|
1,150,000
|
|
1,700,000
|
COST
OF INVESTMENTS: |
|
|
|
Investments in unaffiliated
issuers
|
$55,016,302
|
|
$81,291,448
|
Investments in affiliated
issuers
|
1,418,548
|
|
1,782,183
|
Total cost of
investments
|
$56,434,850
|
|
$83,073,631
|
See accompanying notes to financial
statements.
38
SSGA ACTIVE TRUST
STATEMENTS OF ASSETS AND LIABILITIES (continued)
December 31, 2018 (Unaudited)
|
SPDR
DoubleLine Total Return Tactical ETF |
ASSETS
|
|
Investments in unaffiliated issuers, at
value
|
$2,808,709,857
|
Investments in affiliated issuers, at
value
|
150,002,235
|
Total
Investments
|
2,958,712,092
|
Cash
|
11,562
|
Receivable for investments
sold
|
4,124,445
|
Dividends receivable — affiliated
issuers
|
202,979
|
Interest receivable — unaffiliated
issuers
|
13,881,346
|
Receivable from
Adviser
|
253,316
|
TOTAL ASSETS
|
2,977,185,740
|
LIABILITIES
|
|
Payable for investments
purchased
|
5,043,775
|
Payable for fund shares
repurchased
|
2,354,816
|
Unrealized depreciation on unfunded loan
commitments
|
14,141
|
Advisory fee
payable
|
1,777,845
|
Trustees’ fees and expenses
payable
|
1,515
|
Accrued expenses and other
liabilities
|
1,069
|
TOTAL LIABILITIES
|
9,193,161
|
NET ASSETS
|
$2,967,992,579
|
NET
ASSETS CONSIST OF: |
|
Paid-in
Capital
|
$3,130,136,701
|
Total distributable earnings
(loss)
|
(162,129,981)
|
NET ASSETS
|
$2,967,992,579
|
NET
ASSET VALUE PER SHARE |
|
Net asset value per
share
|
$
47.19 |
Shares outstanding (unlimited amount authorized, no par
value)
|
62,900,000
|
COST
OF INVESTMENTS: |
|
Investments in unaffiliated
issuers
|
$2,908,742,600
|
Investments in affiliated
issuers
|
150,002,235
|
Total cost of
investments
|
$3,058,744,835
|
See accompanying notes to financial
statements.
39
SSGA ACTIVE TRUST
STATEMENTS OF
OPERATIONS
For the Six Months Ended December 31, 2018
(Unaudited)
|
SPDR
DoubleLine Emerging Markets Fixed Income ETF |
|
SPDR
DoubleLine Short Duration Total Return Tactical ETF |
INVESTMENT
INCOME |
|
|
|
Interest income — unaffiliated
issuers
|
$1,178,562
|
|
$1,246,522
|
Dividend income — affiliated
issuers
|
22,873
|
|
14,447
|
TOTAL INVESTMENT INCOME
(LOSS)
|
1,201,435
|
|
1,260,969
|
EXPENSES
|
|
|
|
Advisory
fee
|
199,371
|
|
213,052
|
Trustees’ fees and
expenses
|
408
|
|
651
|
TOTAL
EXPENSES
|
199,779
|
|
213,703
|
Expenses waived/reimbursed by the
Adviser
|
(26,991)
|
|
(21,956)
|
NET
EXPENSES
|
172,788
|
|
191,747
|
NET INVESTMENT INCOME
(LOSS)
|
1,028,647
|
|
1,069,222
|
REALIZED
AND UNREALIZED GAIN (LOSS) |
|
|
|
Net
realized gain (loss) on: |
|
|
|
Investments — unaffiliated
issuers
|
(81,755)
|
|
(133,636)
|
Net
change in unrealized appreciation/depreciation on: |
|
|
|
Investments — unaffiliated
issuers
|
(556,081)
|
|
(43,411)
|
NET REALIZED AND UNREALIZED GAIN
(LOSS)
|
(637,836)
|
|
(177,047)
|
NET INCREASE (DECREASE) IN NET ASSETS FROM
OPERATIONS
|
$
390,811 |
|
$
892,175 |
See accompanying notes to financial
statements.
40
SSGA ACTIVE TRUST
STATEMENTS OF
OPERATIONS (continued)
For the Six Months Ended December 31, 2018 (Unaudited)
|
SPDR
DoubleLine Total Return Tactical ETF |
INVESTMENT
INCOME |
|
Interest income — unaffiliated
issuers
|
$
56,763,583 |
Dividend income — affiliated
issuers
|
404,486
|
TOTAL INVESTMENT INCOME
(LOSS)
|
57,168,069
|
EXPENSES
|
|
Advisory
fee
|
9,876,511
|
Trustees’ fees and
expenses
|
27,038
|
TOTAL
EXPENSES
|
9,903,549
|
Expenses waived/reimbursed by the
Adviser
|
(1,546,501)
|
NET
EXPENSES
|
8,357,048
|
NET INVESTMENT INCOME
(LOSS)
|
48,811,021
|
REALIZED
AND UNREALIZED GAIN (LOSS) |
|
Net
realized gain (loss) on: |
|
Investments — unaffiliated
issuers
|
(22,604,234)
|
Net
change in unrealized appreciation/depreciation on: |
|
Investments — unaffiliated
issuers
|
8,032,913
|
Unfunded loan
commitments
|
(12,529)
|
Net change in unrealized
appreciation/depreciation
|
8,020,384
|
NET REALIZED AND UNREALIZED GAIN
(LOSS)
|
(14,583,850)
|
NET INCREASE (DECREASE) IN NET ASSETS FROM
OPERATIONS
|
$
34,227,171 |
See accompanying notes to financial statements.
41
SSGA ACTIVE TRUST
STATEMENTS OF CHANGES IN NET ASSETS
|
SPDR
DoubleLine Emerging Markets Fixed Income ETF |
|
Six
Months Ended 12/31/18 (Unaudited) |
|
Year
Ended 6/30/18 |
INCREASE
(DECREASE) IN NET ASSETS FROM OPERATIONS: |
|
|
|
Net investment income
(loss)
|
$
1,028,647 |
|
$
1,040,266 |
Net realized gain
(loss)
|
(81,755)
|
|
203,609
|
Net change in unrealized
appreciation/depreciation
|
(556,081)
|
|
(1,996,624)
|
Net increase (decrease) in net assets resulting from
operations
|
390,811
|
|
(752,749)
|
Net equalization credits and
charges
|
16,667
|
|
34,869
|
Distributions to shareholders (Note
11)
|
(1,168,454)
|
|
(1,497,862)
|
FROM
BENEFICIAL INTEREST TRANSACTIONS: |
|
|
|
Proceeds from sale of shares
sold
|
9,604,814
|
|
22,676,121
|
Cost of shares
redeemed
|
(2,375,935)
|
|
—
|
Net income
equalization
|
(16,667)
|
|
(34,869)
|
Other
capital
|
37,180
|
|
79,367
|
Net increase (decrease) in net assets from beneficial interest
transactions
|
7,249,392
|
|
22,720,619
|
Net increase (decrease) in net assets during the
period
|
6,488,416
|
|
20,504,877
|
Net assets at beginning of
period
|
48,253,079
|
|
27,748,202
|
NET ASSETS AT END OF
PERIOD
|
$54,741,495
|
|
$48,253,079
|
SHARES
OF BENEFICIAL INTEREST: |
|
|
|
Shares
sold
|
200,000
|
|
450,000
|
Shares
redeemed
|
(50,000)
|
|
—
|
Net increase
(decrease)
|
150,000
|
|
450,000
|
See accompanying notes to financial
statements.
42
SSGA ACTIVE TRUST
STATEMENTS OF CHANGES IN NET ASSETS (continued)
|
SPDR
DoubleLine Short Duration Total Return Tactical ETF |
|
Six
Months Ended 12/31/18 (Unaudited) |
|
Year
Ended 6/30/18 |
INCREASE
(DECREASE) IN NET ASSETS FROM OPERATIONS: |
|
|
|
Net investment income
(loss)
|
$
1,069,222 |
|
$
1,015,044 |
Net realized gain
(loss)
|
(133,636)
|
|
(66,759)
|
Net change in unrealized
appreciation/depreciation
|
(43,411)
|
|
(702,128)
|
Net increase (decrease) in net assets resulting from
operations
|
892,175
|
|
246,157
|
Net equalization credits and
charges
|
1,723
|
|
46,752
|
Distributions to shareholders (Note
11)
|
(1,267,497)
|
|
(974,641)
|
FROM
BENEFICIAL INTEREST TRANSACTIONS: |
|
|
|
Proceeds from sale of shares
sold
|
4,870,230
|
|
48,865,257
|
Cost of shares
redeemed
|
(4,850,418)
|
|
—
|
Net income
equalization
|
(1,723)
|
|
(46,752)
|
Other
capital
|
14,601
|
|
122,163
|
Net increase (decrease) in net assets from beneficial interest
transactions
|
32,690
|
|
48,940,668
|
Net increase (decrease) in net assets during the
period
|
(340,909)
|
|
48,258,936
|
Net assets at beginning of
period
|
82,983,629
|
|
34,724,693
|
NET ASSETS AT END OF
PERIOD
|
$82,642,720
|
|
$82,983,629
|
SHARES
OF BENEFICIAL INTEREST: |
|
|
|
Shares
sold
|
100,000
|
|
1,000,000
|
Shares
redeemed
|
(100,000)
|
|
—
|
Net increase
(decrease)
|
—
|
|
1,000,000
|
See accompanying notes to financial
statements.
43
SSGA ACTIVE TRUST
STATEMENTS OF CHANGES IN NET ASSETS (continued)
|
SPDR
DoubleLine Total Return Tactical ETF |
|
Six
Months Ended 12/31/18 (Unaudited) |
|
Year
Ended 6/30/18 |
INCREASE
(DECREASE) IN NET ASSETS FROM OPERATIONS: |
|
|
|
Net investment income
(loss)
|
$
48,811,021 |
|
$
95,786,055 |
Net realized gain
(loss)
|
(22,604,234)
|
|
(5,407,972)
|
Net change in unrealized
appreciation/depreciation
|
8,020,384
|
|
(93,096,941)
|
Net increase (decrease) in net assets resulting from
operations
|
34,227,171
|
|
(2,718,858)
|
Net equalization credits and
charges
|
(289,413)
|
|
37,755
|
Distributions to shareholders (Note
11)
|
(63,190,410)
|
|
(103,695,830)
|
FROM
BENEFICIAL INTEREST TRANSACTIONS: |
|
|
|
Proceeds from sale of shares
sold
|
127,177,020
|
|
299,844,384
|
Cost of shares
redeemed
|
(313,376,121)
|
|
(366,600,086)
|
Net income
equalization
|
289,413
|
|
(37,755)
|
Other
capital
|
916,122
|
|
1,607,981
|
Net increase (decrease) in net assets from beneficial interest
transactions
|
(184,993,566)
|
|
(65,185,476)
|
Net increase (decrease) in net assets during the
period
|
(214,246,218)
|
|
(171,562,409)
|
Net assets at beginning of
period
|
3,182,238,797
|
|
3,353,801,206
|
NET ASSETS AT END OF
PERIOD
|
$2,967,992,579
|
|
$3,182,238,797
|
SHARES
OF BENEFICIAL INTEREST: |
|
|
|
Shares
sold
|
2,700,000
|
|
6,100,000
|
Shares
redeemed
|
(6,650,000)
|
|
(7,650,000)
|
Net increase
(decrease)
|
(3,950,000)
|
|
(1,550,000)
|
See accompanying notes to financial statements.
44
SSGA ACTIVE TRUST
FINANCIAL HIGHLIGHTS
Selected data for a share outstanding throughout each period
|
SPDR
DoubleLine Emerging Markets Fixed Income ETF |
|
Six
Months Ended 12/31/18 (Unaudited) |
|
Year
Ended 6/30/18 |
|
Year
Ended 6/30/17 |
|
For
the Period 4/14/16* - 6/30/16 |
Net asset value, beginning of
period
|
$
48.25 |
|
$
50.45 |
|
$
51.52 |
|
$
50.00 |
Income
(loss) from investment operations: |
|
|
|
|
|
|
|
Net investment income (loss)
(a)
|
0.94
|
|
1.31
|
|
1.77
|
|
0.45
|
Net realized and unrealized gain
(loss)
|
(0.58)
|
|
(1.74)
|
|
1.91
|
|
1.17
|
Total from investment
operations
|
0.36
|
|
(0.43)
|
|
3.68
|
|
1.62
|
Net equalization credits and charges
(a)
|
0.02
|
|
0.04
|
|
0.01
|
|
—
|
Other capital
(a)
|
0.03
|
|
0.10
|
|
0.05
|
|
0.15
|
Distributions
to shareholders from: |
|
|
|
|
|
|
|
Net investment
income
|
(1.06)
|
|
(1.36)
|
|
(1.81)
|
|
(0.25)
|
Net realized
gains
|
—
|
|
(0.55)
|
|
(3.00)
|
|
—
|
Total
distributions
|
(1.06)
|
|
(1.91)
|
|
(4.81)
|
|
(0.25)
|
Net asset value, end of
period
|
$
47.60 |
|
$
48.25 |
|
$
50.45 |
|
$
51.52 |
Total return
(b)
|
0.85%
|
|
(0.65)%
|
|
7.67%
|
|
3.55%
|
Ratios
and Supplemental Data: |
|
|
|
|
|
|
|
Net assets, end of period (in
000s)
|
$54,741
|
|
$48,253
|
|
$27,748
|
|
$38,639
|
Ratios
to average net assets: |
|
|
|
|
|
|
|
Total
expenses
|
0.75%(c)
|
|
0.76%
|
|
0.75%
|
|
0.75%(c)
|
Net
expenses
|
0.65%(c)
|
|
0.65%
|
|
0.65%
|
|
0.65%(c)
|
Net investment income
(loss)
|
3.87%(c)
|
|
2.64%
|
|
3.46%
|
|
4.15%(c)
|
Portfolio turnover rate
(d)
|
17%(e)
|
|
55%
|
|
141%
|
|
12%(e)
|
*
|
Commencement
of operations. |
(a)
|
Per
share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the period. |
(b)
|
Total
return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net
asset value per share on the respective payment dates of each distribution. Total returns for periods of less than one year are not annualized. Broker commission charges are not included in this calculation. |
(c)
|
Annualized.
|
(d)
|
Portfolio
turnover rate excludes securities received or delivered from in-kind processing of creations or redemptions. |
(e)
|
Not
annualized. |
See accompanying notes to financial statements.
45
SSGA ACTIVE TRUST
FINANCIAL HIGHLIGHTS (continued)
Selected data for a share outstanding throughout each period
|
SPDR
DoubleLine Short Duration Total Return Tactical ETF |
|
Six
Months Ended 12/31/18 (Unaudited) |
|
Year
Ended 6/30/18 |
|
Year
Ended 6/30/17 |
|
For
the Period 4/14/16* - 6/30/16 |
Net asset value, beginning of
period
|
$
48.81 |
|
$
49.61 |
|
$
50.40 |
|
$
50.00 |
Income
(loss) from investment operations: |
|
|
|
|
|
|
|
Net investment income (loss)
(a)
|
0.62
|
|
1.02
|
|
1.04
|
|
0.22
|
Net realized and unrealized gain
(loss)
|
(0.10)
|
|
(0.99)
|
|
(0.53)
|
|
0.20
|
Total from investment
operations
|
0.52
|
|
0.03
|
|
0.51
|
|
0.42
|
Net equalization credits and charges
(a)
|
0.00(b)
|
|
0.05
|
|
0.00(b)
|
|
—
|
Other capital
(a)
|
0.01
|
|
0.12
|
|
0.06
|
|
0.10
|
Distributions
to shareholders from: |
|
|
|
|
|
|
|
Net investment
income
|
(0.73)
|
|
(1.00)
|
|
(1.13)
|
|
(0.12)
|
Net realized
gains
|
—
|
|
—
|
|
(0.23)
|
|
—
|
Total
distributions
|
(0.73)
|
|
(1.00)
|
|
(1.36)
|
|
(0.12)
|
Net asset value, end of
period
|
$
48.61 |
|
$
48.81 |
|
$
49.61 |
|
$
50.40 |
Total return
(c)
|
1.10%
|
|
0.43%
|
|
1.14%
|
|
1.04%
|
Ratios
and Supplemental Data: |
|
|
|
|
|
|
|
Net assets, end of period (in
000s)
|
$82,643
|
|
$82,984
|
|
$34,725
|
|
$50,404
|
Ratios
to average net assets: |
|
|
|
|
|
|
|
Total
expenses
|
0.50%(d)
|
|
0.50%
|
|
0.50%
|
|
0.50%(d)
|
Net
expenses
|
0.45%(d)
|
|
0.45%
|
|
0.45%
|
|
0.45%(d)
|
Net investment income
(loss)
|
2.51%(d)
|
|
2.07%
|
|
2.10%
|
|
2.06%(d)
|
Portfolio turnover rate
(e)
|
20%(f)
|
|
50%
|
|
123%
|
|
25%(f)
|
*
|
Commencement
of operations. |
(a)
|
Per
share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the period. |
(b)
|
Amount
is less than $0.005 per share. |
(c)
|
Total
return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net
asset value per share on the respective payment dates of each distribution. Total returns for periods of less than one year are not annualized. Broker commission charges are not included in this calculation. |
(d)
|
Annualized.
|
(e)
|
Portfolio
turnover rate excludes securities received or delivered from in-kind processing of creations or redemptions. |
(f)
|
Not
annualized. |
See accompanying notes to financial statements.
46
SSGA ACTIVE TRUST
FINANCIAL HIGHLIGHTS (continued)
Selected data for a share outstanding throughout each period
|
SPDR
DoubleLine Total Return Tactical ETF |
|
Six
Months Ended 12/31/18 (Unaudited) |
|
Year
Ended 6/30/18(a) |
|
Year
Ended 6/30/17(a) |
|
Year
Ended 6/30/16(a) |
|
For
the Period 2/23/15* - 6/30/15(a) |
Net asset value, beginning of
period
|
$
47.60 |
|
$
49.03 |
|
$
49.87 |
|
$
49.43 |
|
$
50.00 |
Income
(loss) from investment operations: |
|
|
|
|
|
|
|
|
|
Net investment income (loss)
(b)
|
0.76
|
|
1.34
|
|
1.33
|
|
1.54
|
|
0.55
|
Net realized and unrealized gain (loss)
(c)
|
(0.19)
|
|
(1.34)
|
|
(0.66)
|
|
0.34
|
|
(0.88)
|
Total from investment
operations
|
0.57
|
|
—
|
|
0.67
|
|
1.88
|
|
(0.33)
|
Net equalization credits and charges
(b)
|
(0.00)(d)
|
|
0.00(d)
|
|
0.01
|
|
0.07
|
|
0.10
|
Other capital
(b)
|
0.01
|
|
0.02
|
|
0.04
|
|
0.03
|
|
0.05
|
Distributions
to shareholders from: |
|
|
|
|
|
|
|
|
|
Net investment
income
|
(0.99)
|
|
(1.45)
|
|
(1.48)
|
|
(1.54)
|
|
(0.39)
|
Net realized
gains
|
—
|
|
—
|
|
(0.08)
|
|
—
|
|
—
|
Total
distributions
|
(0.99)
|
|
(1.45)
|
|
(1.56)
|
|
(1.54)
|
|
(0.39)
|
Net asset value, end of
period
|
$
47.19 |
|
$
47.60 |
|
$
49.03 |
|
$
49.87 |
|
$
49.43 |
Total return
(e)
|
1.20%
|
|
0.04%
|
|
1.55%
|
|
4.03%
|
|
(0.34)%
|
Ratios
and Supplemental Data: |
|
|
|
|
|
|
|
|
|
Net assets, end of period (in
000s)
|
$2,967,993
|
|
$3,182,239
|
|
$3,353,801
|
|
$2,657,951
|
|
$746,443
|
Ratios
to average net assets: |
|
|
|
|
|
|
|
|
|
Total
expenses
|
0.65%(f)
|
|
0.65%
|
|
0.66%
|
|
0.65%
|
|
0.65%(f)
|
Net
expenses
|
0.55%(f)
|
|
0.55%
|
|
0.55%
|
|
0.55%
|
|
0.56%(f)
|
Net investment income
(loss)
|
3.21%(f)
|
|
2.78%
|
|
2.70%
|
|
3.14%
|
|
3.18%(f)
|
Portfolio turnover
rate
|
23%(g)
|
|
34%(h)
|
|
72%(h)
|
|
38%(h)
|
|
14%(h)
|
*
|
Commencement
of operations. |
(a)
|
The
per share amounts and percentages include the Fund’s proportionate share of income and expenses of the Portfolio prior to discontinuance of the master feeder structure. See Note 1. |
(b)
|
Per
share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the period. |
(c)
|
Amounts
shown in this caption for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period because of the timing of sales and repurchases of Fund shares in relation to fluctuating market values
for the Fund. |
(d)
|
Amount
is less than $0.005 per share. |
(e)
|
Total
return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net
asset value per share on the respective payment dates of each distribution. Total returns for periods of less than one year are not annualized. Broker commission charges are not included in this calculation. |
(f)
|
Annualized.
|
(g)
|
Not
annualized. |
(h)
|
Portfolio
turnover is from the Fund's Portfolio prior to discontinuance of master-feeder structure. See Note 1. |
See accompanying notes to financial statements.
47
SSGA ACTIVE TRUST
NOTES TO FINANCIAL STATEMENTS
December 31, 2018 (Unaudited)
1. Organization
SSGA Active Trust (the “Trust”), a
Massachusetts business trust, registered under the Investment Company Act of 1940, as amended (“1940 Act”), is an open-end management investment company.
As of December 31, 2018, the Trust consists of
twelve (12) series, each of which represents a separate series of beneficial interest in the Trust. The Declaration of Trust permits the Board of Trustees of the Trust (the “Board”) to authorize the issuance of an unlimited number of
shares of beneficial interest at no par value. The financial statements herein relate to the following series (each a “Fund”, and collectively, the “Funds”):
SPDR
DoubleLine Emerging Markets Fixed Income ETF |
SPDR
DoubleLine Short Duration Total Return Tactical ETF |
SPDR
DoubleLine Total Return Tactical ETF |
Each Fund is classified as a diversified investment
company under the 1940 Act, with the exception of SPDR DoubleLine Total Return Tactical ETF, which is a non-diversified investment company.
Prior to the close of business on May 7, 2018, SPDR
DoubleLine Total Return Tactical ETF had been operating in a “master –feeder” arrangement, under which the Fund invested substantially all of its assets in a corresponding series of SSGA Master Trust (i.e., a “Portfolio/ Master fund”). The State Street DoubleLine Total Return Tactical Portfolio (the “Portfolio”) was a separate mutual fund that had an identical investment objective, and
substantially identical investment strategies, policies and risks as the Fund (i.e., a “feeder fund”). As a result of this arrangement, the Fund had an indirect interest in all of the securities
owned by the Portfolio.
As of the close of
business on May 7, 2018, the securities held by the Portfolio were transferred “in-kind” to the feeder fund in a tax free exchange of the feeder fund’s interests as part of a complete liquidation of the Portfolio.
Effective May 8, 2018, the feeder fund pursues its
investment objective through direct investment in securities of the same type that previously would have been owned by the Portfolio. The discontinuance of the master-feeder arrangement on the feeder fund had no impact on shareholder’s net
asset value or the results of operations for the feeder fund.
Under the Trust’s organizational documents,
its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust. Additionally, in the normal course of business, the Trust enters into contracts with
SSGA ACTIVE TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
December 31, 2018 (Unaudited)
service providers that contain general indemnification clauses. The
Trust’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Trust that have not yet occurred.
2. Summary of Significant
Accounting Policies
The following is a summary
of significant accounting policies followed by the Trust in the preparation of its financial statements:
The preparation of financial statements in
accordance with U.S. generally accepted accounting principles (“U.S. GAAP”) requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ
from those estimates. Each Fund is an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies.
Security Valuation
Each Fund's investments are valued at fair value
each day that the New York Stock Exchange (“NYSE”) is open and, for financial reporting purposes, as of the report date should the reporting period end on a day that the NYSE is not open. Fair value is generally defined as the price a
fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. By its nature, a fair value price is a good faith estimate of the valuation in a current sale and may
not reflect an actual market price. The investments of each Fund are valued pursuant to the policy and procedures developed by the Oversight Committee (the “Committee”) and approved by the Board. The Committee provides oversight of the
valuation of investments for the Funds. The Board has responsibility for overseeing the determination of the fair value of investments.
Valuation techniques used to value each Fund’s
investments by major category are as follows:
• Investments
in registered investment companies (including money market funds) or other unitized pooled investment vehicles that are not traded on an exchange are valued at that day’s published net asset value (“NAV”) per share or unit.
• Government
and municipal fixed income securities are generally valued using quotations from independent pricing services or brokers. Certain government inflation-indexed securities may require a calculated fair valuation as the cumulative inflation is
contained within the price provided by the pricing service or broker. For these securities, the inflation component of the price is “cleaned” from the pricing service or broker price utilizing the published inflation factors in order to
ensure
SSGA ACTIVE TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
December 31, 2018 (Unaudited)
proper accrual of income.
• Debt
obligations (including short term investments) are valued using quotations from independent pricing services or brokers or are generally valued at the last reported evaluated prices.
• Senior
loans or other loans are valued at evaluated bid prices supplied by an independent pricing service, if available. Senior loans and other loans for which the Committee determines that there are no reliable valuations available from pricing services
or brokers will be initially valued at cost and adjusted for amortization of principal until remeasurement is warranted due to a credit or economic event or other factors affecting the loan.
In the event prices or quotations are not readily
available or that the application of these valuation methods results in a price for an investment that is deemed to be not representative of the fair value of such investment, fair value will be determined in good faith by the Committee, in
accordance with the valuation policy and procedures approved by the Board.
Fair value pricing could result in a difference
between the prices used to calculate a Fund's NAV and the prices used by the Funds' underlying benchmarks. Various inputs are used in determining the value of the Funds' investments.
The Funds value their assets and liabilities at fair
value using a fair value hierarchy consisting of three broad levels that prioritize the inputs to valuation techniques giving the highest priority to readily available unadjusted quoted prices in active markets for identical assets or liabilities
(Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements) when market prices are not readily available or reliable. The categorization of a value determined for an investment within the hierarchy is based upon the
pricing transparency of the investment and is not necessarily an indication of the risk associated with investing in it.
The three levels of the fair value hierarchy are as
follows:
• Level 1 –
Unadjusted quoted prices in active markets for an identical asset or liability;
• Level
2 – Inputs other than quoted prices included within Level 1 that are observable for the asset or liability either directly or indirectly, including quoted prices for similar assets or liabilities in active markets, quoted prices for identical
or similar assets or liabilities in markets that are not considered to be active, inputs other than quoted prices that are observable for the asset or liability (such as exchange rates, financing terms, interest rates, yield curves, volatilities,
prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs; and
SSGA ACTIVE TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
December 31, 2018 (Unaudited)
• Level
3 – Unobservable inputs for the asset or liability, including the Committee’s assumptions used in determining the fair value of investments.
The value of each Fund’s investments according
to the fair value hierarchy as of December 31, 2018, is disclosed in each Fund’s respective Schedule of Investments.
Investment Transactions and Income Recognition
Investment transactions are accounted for on trade
date for financial reporting purposes. Realized gains and losses from the sale or disposition of investments and foreign exchange transactions, if any, are determined using the identified cost method. Dividend income and capital gain distributions,
if any, are recognized daily on the ex-dividend date, net of any foreign taxes withheld at source, if any. Interest income is recorded daily on an accrual basis. All premiums and discounts are amortized/accreted for financial reporting
purposes.
Paydown gains and losses are
recorded as an adjustment to interest income.
Expenses
Certain expenses, which are directly identifiable to
a specific Fund, are applied to that Fund within the Trust. Other expenses which cannot be attributed to a specific Fund are allocated in such a manner as deemed equitable, taking into consideration the nature and type of expense and the relative
net assets of the Funds within the Trust.
Foreign Taxes
The Funds may be subject to foreign taxes (a portion
of which may be reclaimable) on income, stock dividends, realized and unrealized capital gains on investments or certain foreign currency transactions. Foreign taxes are recorded in accordance with SSGA FM’s understanding of the applicable
foreign tax regulations and rates that exist in the foreign jurisdictions in which the Funds invest. These foreign taxes, if any, are paid by the Funds and are reflected in the Statements of Operations, if applicable. Foreign taxes payable or
deferred as of December 31, 2018, if any, are disclosed in the Funds' Statements of Assets and Liabilities.
Equalization
The Funds in the Trust follow the accounting
practice known as “Equalization” by which a portion of the proceeds from sales and costs of reacquiring Fund shares, equivalent on a per share basis to the amount of distributable net investment income on the date of the transaction, is
credited or charged to undistributed net investment income. As a result, undistributed net investment income per share is unaffected by sales
SSGA ACTIVE TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
December 31, 2018 (Unaudited)
or reacquisition of Fund shares. Amounts related to Equalization
can be found on the Statements of Changes in Net Assets.
The following Funds utilized equalization during the
period ended December 31, 2018:
SPDR
DoubleLine Emerging Markets Fixed Income ETF |
SPDR
DoubleLine Short Duration Total Return Tactical ETF |
SPDR
DoubleLine Total Return Tactical ETF |
Distributions
Distributions from net investment income, if any,
are declared and paid monthly. Net realized capital gains, if any, are distributed annually. Dividends may be declared and paid more frequently or at any other times to comply with the distribution requirements of the Internal Revenue Code of 1986,
as amended (the “Internal Revenue Code”). The amount and character of income and capital gains to be distributed are determined in accordance with applicable tax regulations which may differ from net investment income and realized gains
recognized for U.S. GAAP purposes.
3. Securities and Other
Investments
Loan Agreements
The SPDR DoubleLine Short Duration Total Return
Tactical ETF and SPDR DoubleLine Total Return Tactical ETF invest in Senior Loans. Senior Loans consist generally of obligations of companies and other entities (collectively, “borrowers”) incurred for the purpose of reorganizing the
assets and liabilities of a borrower; acquiring another company; taking over control of a company (leveraged buyout); temporary refinancing; or financing internal growth or other general business purposes. Senior Loans are often obligations of
borrowers who have incurred a significant percentage of debt compared to their total assets and thus are highly leveraged. The Funds do not treat the banks originating or acting as agents for the lenders, or granting or acting as intermediary in
participation interests, in loans held by the Funds as the issuers of such loans.
SSGA ACTIVE TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
December 31, 2018 (Unaudited)
4. Fees and Transactions with
Affiliates
Advisory Fee
Each Fund has entered into an Investment Advisory
Agreement with SSGA FM. As compensation for services rendered, facilities furnished, and expenses borne by the Adviser, each Fund pays the Adviser a fee accrued daily and paid monthly, based on a percentage of each Fund’s average daily net
assets as shown in the following table:
|
Annual
Rate |
SPDR DoubleLine Emerging Markets Fixed Income
ETF
|
0.75%
|
SPDR DoubleLine Short Duration Total Return Tactical
ETF
|
0.50
|
SPDR DoubleLine Total Return Tactical
ETF
|
0.65
|
The Adviser has
contractually agreed to waive a portion of its advisory fee and/or reimburse certain expenses, until October 31, 2019, so that the net annual Fund operating expenses of each Fund will be limited to 0.65%, 0.45% and 0.55% of the Fund’s average
daily net assets for the SPDR DoubleLine Emerging Markets Fixed Income ETF, the SPDR DoubleLine Short Duration Total Return Tactical ETF and the SPDR DoubleLine Total Return Tactical ETF, respectively, before application of any extraordinary
expenses or acquired fund fees and expenses. The contractual fee waiver and/or reimbursement does not provide for the recoupment by the Adviser of any fees the Adviser previously waived. The Adviser may continue the waiver and/or reimbursement from
year to year, but there is no guarantee that the Adviser will do so and after October 31, 2019, the waiver and/or reimbursement may be cancelled or modified at any time. This waiver and/or reimbursement may not be terminated during the relevant
period except with the approval of the Board.
The Adviser pays all expenses of each Fund other
than management fee, brokerage expenses, taxes, interest, fees and expenses of the Trust’s Independent Trustees (including any Trustees’ counsel fees), acquired fund fees and expenses, litigation expenses, and other extraordinary
expenses.
DoubleLine Capital LP receives fees
for its services as the sub-adviser to the Funds from the Adviser.
SSGA ACTIVE TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
December 31, 2018 (Unaudited)
Administrator, Custodian, Sub-Administrator and
Transfer Agent Fees
SSGA FM serves as
administrator and State Street Bank and Trust Company (“State Street”), an affiliate of the Adviser, serves as custodian, sub-administrator and transfer agent. State Street receives fees for its services as custodian, sub-administrator
and transfer agent from the Adviser.
Distributor
State Street Global Advisors Funds Distributors, LLC
(“SSGA FD” or the “Distributor”), an affiliate of the Adviser, serves as the distributor of the Trust.
Other Transactions with Affiliates
The Funds may invest in affiliated entities,
including securities issued by State Street Corporation, affiliated funds, or entities deemed to be affiliates as a result of the Funds owning more than five percent of the entity’s voting securities or outstanding shares. Amounts relating to
these transactions during the period ended December 31, 2018, are disclosed in the Schedules of Investments.
5. Trustees’ Fees
The fees and expenses of the Trust’s trustees,
who are not “interested persons” of the Trust, as defined in the 1940 Act (“Independent Trustees”), are paid directly by the Funds. The Independent Trustees are reimbursed for travel and other out-of-pocket expenses in
connection with meeting attendance and industry seminars.
6. Investment
Transactions
Purchases and sales of
investments (excluding in-kind transactions and short term investments) for the period ended December 31, 2018, were as follows:
|
U.S.
Government Obligations |
|
Other
Securities |
|
Purchases
|
|
Sales
|
|
Purchases
|
|
Sales
|
SPDR DoubleLine Emerging Markets Fixed Income
ETF
|
$
— |
|
$
— |
|
$
17,432,993 |
|
$
8,223,862 |
SPDR DoubleLine Short Duration Total Return Tactical
ETF
|
11,939,210
|
|
7,940,316
|
|
9,148,344
|
|
6,496,893
|
SPDR DoubleLine Total Return Tactical
ETF
|
261,605,747
|
|
527,198,042
|
|
130,614,418
|
|
262,632,081
|
SSGA ACTIVE TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
December 31, 2018 (Unaudited)
7. Shareholder
Transactions
Each Fund issues and redeems its
shares, at NAV, by each Fund only in aggregations of a specified number of shares or multiples thereof (“Creation Units”). Except when aggregated in Creation Units, shares of each Fund are not redeemable. Transactions in capital shares
for each Fund are disclosed in detail in the Statements of Changes in Net Assets.
The consideration for the purchase of Creation Units
of a Fund may consist of the in-kind deposit of a designated portfolio of securities and a specified amount of cash. Investors purchasing and redeeming Creation Units may pay a purchase transaction fee and a redemption transaction fee directly to
the Trust and/or custodian, to offset transfer and other transaction costs associated with the issuance and redemption of Creation Units, including Creation Units for cash. An additional variable fee may be charged for certain transactions. Such
variable charges, if any, are included in “Other Capital” on the Statements of Changes in Net Assets.
8. Income Tax Information
The Funds have qualified and intend to continue to
qualify as regulated investment companies under Subchapter M of the Internal Revenue Code of 1986, as amended. Each Fund will not be subject to federal income taxes to the extent it distributes its taxable income, including any net realized capital
gains, for each fiscal year. Therefore, no provision for federal income tax is required.
The Funds file federal and various state and local
tax returns as required. No income tax returns are currently under examination. Generally, the federal returns are subject to examination by the Internal Revenue Service for a period of three years from date of filing, while the state returns may
remain open for an additional year depending upon jurisdiction. As of June 30, 2018, SSGA FM has analyzed each Fund's tax positions taken on tax returns for all open years and does not believe there are any uncertain tax positions that would require
recognition of a tax liability.
Distributions
to shareholders are recorded on ex-dividend date. Income dividends and gain distributions are determined in accordance with income tax rules and regulations, which may differ from generally accepted accounting principles.
SSGA ACTIVE TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
December 31, 2018 (Unaudited)
As of December 31, 2018, gross unrealized
appreciation and gross unrealized depreciation of investments and other financial instruments based on cost for federal income tax purposes were as follows:
|
Tax
Cost |
|
Gross
Unrealized Appreciation |
|
Gross
Unrealized Depreciation |
|
Net
Unrealized Appreciation (Depreciation) |
SPDR DoubleLine Emerging Markets Fixed Income
ETF
|
$
56,434,850 |
|
$
90,226 |
|
$
2,368,816 |
|
$
(2,278,590) |
SPDR DoubleLine Short Duration Total Return Tactical
ETF
|
83,073,631
|
|
147,016
|
|
959,544
|
|
(812,528)
|
SPDR DoubleLine Total Return Tactical
ETF
|
3,058,744,835
|
|
7,394,441
|
|
107,427,184
|
|
(100,032,743)
|
9. Line of Credit
The Funds and other affiliated funds (each a
“Participant” and, collectively, the “Participants”) participate in a $500 million revolving credit facility provided by a syndication of banks under which the Participants may borrow to fund shareholder redemptions. This
agreement expires in October 2019 unless extended or renewed.
The Participants are charged an annual commitment
fee which is calculated based on the unused portion of the shared credit line. Commitment fees are allocated among each of the Participants based on relative net assets. Commitment fees are ordinary fund operating expenses paid by the Adviser. A
participant incurs and pays the interest expense related to its borrowing. Interest is calculated at a rate per annum equal to the sum of 1% plus the greater of the New York Fed Bank Rate and 1-month LIBOR rate.
The Funds had no outstanding loans as of December
31, 2018.
10. Risks
Concentration Risk
As a result of the Funds' ability to invest a large
percentage of their assets in obligations of issuers within the same country, state, region, currency or economic sector, an adverse economic, business or political development may affect the value of the Funds' investments more than if the Funds'
were more broadly diversified.
SSGA ACTIVE TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
December 31, 2018 (Unaudited)
Foreign and Emerging Markets Risk
Investing in foreign markets involves risks and
considerations not typically associated with investing in the U.S. Foreign securities may be subject to risk of loss because of government regulation, economic, political and social instability in the countries in which the Funds invest. Foreign
markets may be less liquid than investments in the U.S. and may be subject to the risks of currency fluctuations. To the extent that the Funds invest in securities of issuers located in emerging markets, these risks may be even more
pronounced.
Market and Credit Risk
In the normal course of business, the Funds trade
financial instruments and enter into financial transactions where risk of potential loss exists due to changes in the general economic conditions and fluctuations of the market (market risk). Additionally, a Fund may also be exposed to credit risk
in the event that an issuer or guarantor fails to perform or that an institution or entity with which the Fund has unsettled or open transactions defaults.
11. Recent Accounting
Pronouncements
In March 2017, the Financial
Accounting Standards Board (FASB) issued Accounting Standards Update (ASU) No. 2017-08, Receivables — Nonrefundable Fees and Other Costs (Subtopic 310-20): Premium Amortization on Purchased Callable Debt Securities. The amendments in the ASU
shorten the amortization period for certain callable debt securities, held at a premium, to be amortized to the earliest call date. The ASU does not require an accounting change for securities held at a discount; which continues to be amortized to
maturity. The ASU is effective for fiscal years and interim periods within those fiscal years beginning after December 15, 2018. Management is currently evaluating the impact, if any, of applying this provision.
In August 2018, the U.S. Securities and Exchange
Commission (the “SEC”) released its Final Rule on Disclosure Update and Simplification (the “Final Rule”) which is intended to simplify an issuer’s disclosure compliance efforts by removing redundant or outdated
disclosure requirements without significantly altering the mix of information provided to investors. The Portfolio has adopted the Final Rule for the current period.
SSGA ACTIVE TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
December 31, 2018 (Unaudited)
|
Net
Investment Income |
|
Net
Realized Capital Gains |
|
Total
Distributions |
|
Undistributed
Net Investment Income (Loss) |
|
SPDR DoubleLine Emerging Markets Fixed Income
ETF
|
$
1,032,793 |
|
$
465,069 |
|
$
1,497,862 |
|
$
85,677 |
|
SPDR DoubleLine Short Duration Total Return Tactical
ETF
|
974,641
|
|
—
|
|
974,641
|
|
79,557
|
|
SPDR DoubleLine Total Return Tactical
ETF
|
103,695,830
|
|
—
|
|
103,695,830
|
|
9,694,482
|
|
12. Subsequent Events
Management has evaluated the impact of all
subsequent events on the Funds through the date the financial statements were issued and has determined that there were no subsequent events requiring adjustment or disclosure in the financial statements.
SSGA ACTIVE TRUST
OTHER INFORMATION
December 31, 2018 (Unaudited)
Expense Example
As a shareholder of a Fund, you incur two types of
costs: (1) transaction costs, including sales charges (loads), if applicable, on purchase payments, reinvested dividends, or other distributions and (2) ongoing costs, including advisory fees and other Fund expenses. This example is intended to help
you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. It is based on an investment of $1,000 made at the beginning of the period shown and held
for the entire period from July 1, 2018 to December 31, 2018.
The table below illustrates your Fund's cost in two
ways:
Based on actual fund return ——This section helps you to estimate the actual expenses that you paid over the period. The “Ending Account Value” shown is derived from each Fund's actual return, and the third column shows the
dollar amount that would have been paid by an investor who started with $1,000 in the Fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your
account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for the Fund under the heading “Expenses Paid During Period”.
Based on hypothetical 5% return ——This section is intended to help you compare your Fund's costs with those of other mutual funds. It assumes that the Fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged.
In this case, because the return used is not the Fund's actual return, the results do not apply to your investment. The example is useful in making comparisons because the SEC requires all mutual funds to calculate expenses based on a 5% return. You
can assess your Fund's costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.
Please note that the expenses shown in the table are
meant to highlight your ongoing costs only and do not reflect any transaction costs, such as sales load charges (loads). Therefore, the hypothetical 5% return section of the table is useful in comparing ongoing costs only, and will not help you
determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher.
SSGA ACTIVE TRUST
OTHER INFORMATION (continued)
December 31, 2018 (Unaudited)
|
SPDR
DoubleLine Emerging Markets Fixed Income ETF |
|
SPDR
DoubleLine Short Duration Total Return Tactical ETF |
|
SPDR
DoubleLine Total Return Tactical ETF |
Annualized Expense
Ratio
|
0.65%
|
|
0.45%
|
|
0.55%
|
Actual:
|
|
|
|
|
|
Ending Account
Value
|
$1,008.50
|
|
$1,011.00
|
|
$1,012.00
|
Expenses Paid During
Period(a)
|
3.29
|
|
2.28
|
|
2.79
|
Hypothetical
(assuming a 5% return before expenses): |
|
|
|
|
|
Ending Account
Value
|
1,021.90
|
|
1,022.90
|
|
1,022.40
|
Expenses Paid During
Period(a)
|
3.31
|
|
2.29
|
|
2.80
|
(a)
|
Expenses
are equal to the Fund's annualized net expense ratio multiplied by the average account value of the period, multiplied by 184, then divided by 365. |
Premium/Discount Information
Information regarding how often the Shares of each
Fund traded on the exchange at a price above (i.e., at a premium) or below (i.e., at a discount) the NAV of the Fund during the past calendar year can be found at www.spdrs.com.
Proxy Voting Policies and Procedures and Records
A description of the Trust’s proxy voting
policies and procedures that are used by the Funds’ investment adviser to vote proxies relating to the Funds’ portfolio of securities are available (i) without charge, upon request by calling 1-866-787-2257 (toll free) or (ii) on the
SEC's website at www.sec.gov.
Information regarding how the investment adviser
voted for the most recent 12-month period ended June 30, is available by August 31 of each year by calling the same number and on the SEC’s website at www.sec.gov, and on the Funds' website at www.spdrs.com.
Quarterly Portfolio Schedule
The Funds file a complete schedule of investments
with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Funds’ Forms N-Q are available on the SEC’s website at www.sec.gov. The information on the Form N-Q is available
upon request, without charge, by calling 1-866-787-2257 (toll free) and on the Funds’ website at www.spdrs.com.
SSGA ACTIVE TRUST
OTHER INFORMATION (continued)
December 31, 2018 (Unaudited)
Full Portfolio Schedule
The complete schedule of portfolio holdings for the
SPDR DoubleLine Total Return Tactical ETF is available on the Fund's website at www.spdrs.com, without charge, upon request by calling 1-866-787-2257 (toll-free) and on the SEC’s website at www.sec.gov.
[This Page Intentionally Left Blank]
Trustees
Bonny E. Boatman
Dwight D. Churchill
Frank Nesvet, Chairman
Clare S. Richer
James E. Ross
Sandra G. Sponem
Carl G. Verboncoeur
Investment Manager and Administrator
SSGA Funds Management, Inc.
One Iron Street
Boston, MA
02210
Distributor
State Street Global Advisors Funds Distributors, LLC
One
Iron Street
Boston, MA 02210
Custodian, Sub-Administrator and Transfer Agent
State Street Bank and Trust Company
One Lincoln Street
Boston, MA 02111
Legal Counsel
Morgan, Lewis & Bockius LLP
1111 Pennsylvania Avenue,
NW
Washington, DC 20004
Independent Registered Public
Accounting Firm
Ernst & Young LLP
200 Clarendon
Street
Boston, MA 02116
The information contained in this report is
intended for the general information of shareholders of the Trust. This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current Trust prospectus which contains important information concerning
the Trust. You may obtain a current prospectus and SAI from the Distributor by calling 1-866-787-2257 or visiting www.spdrs.com. Please read the prospectus carefully before you invest.
For more complete information, please call 1.866.787.2257 or visit
www.spdrs.com today.
State Street Global Advisors
One Iron Street
Boston, MA 02210
ETFs trade like
stocks, are subject to investment risk, fluctuate in market value and may trade at prices above or below the ETF's net asset value. Brokerage commissions and ETF expenses will reduce returns.
Foreign investments involve greater risks than U.S.
investments, including political and economic risks and the risk of currency fluctuations, all of which may be magnified in emerging markets.
Bonds generally present less short-term risk and volatility
than stocks, but contain interest rate risk (as interest rates rise bond prices usually fall); issuer default risk; issuer credit risk; liquidity risk; and inflation risk. These effects are usually pronounced for longer-term securities. Any fixed
income security sold or redeemed prior to maturity may be subject to a substantial gain or loss.
Investing in commodities entail significant risk and is not
appropriate for all investors. Commodities investing entail significant risk as commodity prices can be extremely volatile due to wide range of factors. A few such factors include overall market movements, real or perceived inflationary trends,
commodity index volatility, international, economic and political changes, change in interest and currency exchange rates.
Past performance is no guarantee of future results. It is not
possible to invest directly in an index. Index performance does not reflect charges and expenses associated with the fund or brokerage commissions associated with buying and selling a fund. Index performance is not meant to represent that of any
particular fund.
Standard & Poor’s, S&P and SPDR are registered trademarks of
Standard & Poor’s Financial Services LLC (S&P); Dow Jones is a registered trademark of Dow Jones Trademark Holdings LLC (Dow Jones); and these trademarks have been licensed for use by S&P Dow Jones Indices LLC (SPDJI) and
sublicensed for certain purposes by State Street Corporation. State Street Corporation’s financial products are not sponsored, endorsed, sold or promoted by SPDJI, Dow Jones, S&P, their respective affiliates and third party licensors and
none of such parties make any representation regarding the advisability of investing in such product(s) nor do they have any liability in relation thereto, including for any errors, omissions, or interruptions of any index.
Distributor: State Street Global Advisors Funds Distributors,
LLC, member FINRA, SIPC, an indirect wholly owned subsidiary of State Street Corporation. References to State Street may include State Street Corporation and its affiliates. Certain State Street affiliates provide services and receive fees from the
SPDR ETFs.
SSGA Funds Management has retained DoubleLine
Capital LP as the sub-adviser.
DoubleLine® is a registered trademark of DoubleLine Capital LP.
DoubleLine Capital LP is not affiliated with State Street Global
Advisors Funds Distributors, LLC.
Before investing,
consider a fund’s investment objectives, risks, charges and expenses. To obtain a prospectus or summary prospectus which contains this and other information, call 1.866.787.2257 or visit www.spdrs.com. Read it carefully.
Not FDIC Insured. No Bank Guarantee. May Lose Value.
The information contained in this report is intended
for the general information of shareholders of the Trust. This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current Trust prospectus which contains important information concerning the Trust.
You may obtain a current prospectus and SAI from the Distributor by calling 1-866-787-2257 or visiting www.spdrs.com. Please read the prospectus carefully before you invest.
© 2019 State Street Corporation - All Rights Reserved
SPDREMTLSAR
Semi-Annual Report
December 31, 2018
SSGA Active Trust
State
Street Disciplined Global Equity Portfolio |
The information contained in this report is intended for the
general information of shareholders of the Portfolio and shareholders of any fund or private client invested in the Portfolio. Generally, shares of the Portfolio may be purchased only by or on behalf of other registered investment companies or
private clients for which the Adviser or an affiliate serves as investment adviser (or in a similar capacity). This report is not authorized for distribution (i) to prospective investors in any fund invested in the Portfolio unless preceded or
accompanied by a current offering document for such fund or (ii) to prospective eligible investors in the Portfolio unless preceded or accompanied by a current offering document of the Portfolio. Eligible investors in the Portfolio may obtain a
current prospectus and SAI from the Distributor by calling 1-800-997-7327. Please read the offering document carefully before investing in the Portfolio.
TABLE OF CONTENTS (Unaudited)
The information contained in this report is intended
for the general information of shareholders of the Portfolio and shareholders of any fund or private client invested in the Portfolio. Generally, shares of the Portfolio may be purchased only by or on behalf of other registered investment companies
or private clients for which the Adviser or an affiliate serves as investment adviser (or in a similar capacity). This report is not authorized for distribution (i) to prospective investors in any fund invested in the Portfolio unless preceded or
accompanied by a current offering document for such fund or (ii) to prospective eligible investors in the Portfolio unless preceded or accompanied by a current offering document of the Portfolio. Eligible investors in the Portfolio may obtain a
current prospectus and SAI from the Distributor by calling 1-800-997-7327. Please read the offering document carefully before investing in the Portfolio.
State Street Disciplined Global Equity Portfolio
Portfolio Statistics (Unaudited)
Top Five Holdings as of December 31,
2018
|
|
|
|
|
|
Description
|
Market
Value |
%
of Net Assets |
|
|
Merck
& Co., Inc. |
29,647
|
1.5%
|
|
|
Waste
Management, Inc. |
29,278
|
1.4
|
|
|
Eli
Lilly & Co. |
28,814
|
1.4
|
|
|
CLP
Holdings, Ltd. |
28,259
|
1.4
|
|
|
HCA
Healthcare, Inc. |
28,250
|
1.4
|
|
|
TOTAL
|
144,248
|
7.1%
|
|
(The five largest holdings are subject to
change, and there are no guarantees the Portfolio will continue to remain invested in any particular company.)
Industry Breakdown as of December 31,
2018
|
|
|
|
|
|
%
of Net Assets |
|
|
Pharmaceuticals
|
11.2%
|
|
|
Insurance
|
7.7
|
|
|
Banks
|
7.5
|
|
|
Health
Care Providers & Services |
7.3
|
|
|
Electric
Utilities |
4.4
|
|
|
Multi-Utilities
|
4.1
|
|
|
Food
& Staples Retailing |
4.0
|
|
|
Equity
Real Estate Investment Trusts (REITs) |
3.7
|
|
|
Trading
Companies & Distributors |
3.7
|
|
|
Diversified
Telecommunication Services |
3.6
|
|
|
Hotels,
Restaurants & Leisure |
3.3
|
|
|
Specialty
Retail |
3.1
|
|
|
Airlines
|
2.5
|
|
|
Food
Products |
2.4
|
|
|
Beverages
|
2.4
|
|
|
Health
Care Equipment & Supplies |
2.0
|
|
|
Communications
Equipment |
2.0
|
|
|
Mortgage
Real Estate Investment Trust (REITs) |
2.0
|
|
|
Automobiles
|
2.0
|
|
|
Oil,
Gas & Consumable Fuels |
2.0
|
|
|
Aerospace
& Defense |
1.8
|
|
|
Commercial
Services & Supplies |
1.7
|
|
|
Gas
Utilities |
1.6
|
|
|
Construction
& Engineering |
1.4
|
|
|
Industrial
Conglomerates |
1.2
|
|
|
Household
Products |
1.2
|
|
|
Technology
Hardware, Storage & Peripherals |
1.1
|
|
|
Wireless
Telecommunication Services |
1.1
|
|
|
Tobacco
|
1.1
|
|
|
Consumer
Finance |
1.0
|
|
|
Multiline
Retail |
1.0
|
|
|
Electronic
Equipment, Instruments & Components |
0.9
|
|
|
Real
Estate Management & Development |
0.7
|
|
|
Air
Freight & Logistics |
0.6
|
|
|
Chemicals
|
0.6
|
|
|
Road
& Rail |
0.5
|
|
|
Textiles,
Apparel & Luxury Goods |
0.5
|
|
|
Metals
& Mining |
0.4
|
|
|
Capital
Markets |
0.2
|
|
|
Other
Assets in Excess of Liabilities |
0.5
|
|
|
TOTAL
|
100.0%
|
|
(The Portfolio’s industry breakdown is
expressed as a percentage of net assets and may change over time.)
See accompanying notes to financial statements.
1
SSGA ACTIVE TRUST
STATE STREET DISCIPLINED GLOBAL EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS
December 31, 2018 (Unaudited)
Security
Description |
|
|
Shares
|
|
Value
|
COMMON
STOCKS — 99.5% |
|
|
|
|
|
AUSTRALIA
— 4.0% |
|
|
|
|
|
Coles Group, Ltd.
(a)
|
|
|
399
|
|
$
3,298 |
Insurance Australia Group, Ltd.
(a)
|
|
|
615
|
|
3,031
|
Macquarie Group,
Ltd.
|
|
|
66
|
|
5,048
|
Mirvac Group
REIT
|
|
|
6,316
|
|
9,960
|
Qantas Airways,
Ltd.
|
|
|
2,520
|
|
10,272
|
Scentre Group
REIT
|
|
|
5,920
|
|
16,254
|
Sonic Healthcare,
Ltd.
|
|
|
253
|
|
3,938
|
South32,
Ltd.
|
|
|
3,183
|
|
7,507
|
Telstra Corp.,
Ltd.
|
|
|
2,143
|
|
4,300
|
Wesfarmers,
Ltd.
|
|
|
399
|
|
9,050
|
Woodside Petroleum,
Ltd.
|
|
|
400
|
|
8,819
|
|
|
|
|
|
81,477
|
BELGIUM
— 0.5% |
|
|
|
|
|
Ageas
|
|
|
237
|
|
10,647
|
CANADA
— 2.8% |
|
|
|
|
|
Bank of
Montreal
|
|
|
154
|
|
10,057
|
Sun Life Financial,
Inc.
|
|
|
227
|
|
7,527
|
TELUS
Corp.
|
|
|
490
|
|
16,234
|
Toronto-Dominion
Bank
|
|
|
465
|
|
23,104
|
|
|
|
|
|
56,922
|
DENMARK
— 1.1% |
|
|
|
|
|
Novo Nordisk A/S Class
B |
|
|
469
|
|
21,403
|
FRANCE
— 1.7% |
|
|
|
|
|
Peugeot
SA
|
|
|
764
|
|
16,284
|
Sanofi
|
|
|
209
|
|
18,077
|
|
|
|
|
|
34,361
|
GERMANY
— 0.9% |
|
|
|
|
|
Allianz
SE
|
|
|
28
|
|
5,606
|
Muenchener Rueckversicherungs-Gesellschaft AG in
Muenchen
|
|
|
57
|
|
12,416
|
|
|
|
|
|
18,022
|
HONG
KONG — 4.9% |
|
|
|
|
|
CLP Holdings,
Ltd.
|
|
|
2,500
|
|
28,259
|
Hang Seng Bank,
Ltd.
|
|
|
800
|
|
17,963
|
Jardine Matheson Holdings,
Ltd.
|
|
|
200
|
|
13,916
|
Link
REIT
|
|
|
2,500
|
|
25,322
|
Sun Hung Kai Properties,
Ltd.
|
|
|
1,000
|
|
14,254
|
|
|
|
|
|
99,714
|
ITALY
— 1.4% |
|
|
|
|
|
Enel
SpA
|
|
|
2,097
|
|
12,091
|
Eni
SpA
|
|
|
1,088
|
|
17,099
|
|
|
|
|
|
29,190
|
JAPAN
— 14.8% |
|
|
|
|
|
Astellas Pharma,
Inc.
|
|
|
1,800
|
|
22,993
|
FUJIFILM Holdings
Corp.
|
|
|
300
|
|
11,676
|
Hitachi,
Ltd.
|
|
|
700
|
|
18,729
|
ITOCHU
Corp.
|
|
|
900
|
|
15,315
|
Japan Airlines Co.,
Ltd.
|
|
|
700
|
|
24,825
|
Security
Description |
|
|
Shares
|
|
Value
|
Japan Post Holdings Co.,
Ltd.
|
|
|
1,000
|
|
$
11,530 |
Marubeni
Corp.
|
|
|
2,900
|
|
20,416
|
Mitsubishi
Corp.
|
|
|
600
|
|
16,515
|
Mitsui & Co.,
Ltd.
|
|
|
1,500
|
|
23,112
|
Mitsui Chemicals,
Inc.
|
|
|
500
|
|
11,320
|
Mizuho Financial Group,
Inc.
|
|
|
14,700
|
|
22,817
|
Nippon Telegraph & Telephone
Corp.
|
|
|
500
|
|
20,426
|
NTT DOCOMO,
Inc.
|
|
|
1,000
|
|
22,536
|
Taisei
Corp.
|
|
|
400
|
|
17,154
|
Tokio Marine Holdings,
Inc.
|
|
|
200
|
|
9,545
|
Tokyo Gas Co.,
Ltd.
|
|
|
300
|
|
7,617
|
Toyota Motor
Corp.
|
|
|
400
|
|
23,355
|
|
|
|
|
|
299,881
|
NETHERLANDS
— 1.4% |
|
|
|
|
|
Koninklijke Ahold Delhaize
NV
|
|
|
1,099
|
|
27,733
|
NORWAY
— 2.3% |
|
|
|
|
|
DNB
ASA
|
|
|
1,275
|
|
20,342
|
Equinor
ASA
|
|
|
832
|
|
17,655
|
Telenor
ASA
|
|
|
494
|
|
9,556
|
|
|
|
|
|
47,553
|
SPAIN
— 0.6% |
|
|
|
|
|
ACS Actividades de Construccion y Servicios
SA
|
|
|
321
|
|
12,414
|
SWEDEN
— 1.1% |
|
|
|
|
|
Swedish Match
AB
|
|
|
554
|
|
21,814
|
SWITZERLAND
— 4.3% |
|
|
|
|
|
Novartis
AG
|
|
|
226
|
|
19,267
|
Roche Holding
AG
|
|
|
103
|
|
25,431
|
Swiss Re
AG
|
|
|
242
|
|
22,123
|
Swisscom
AG
|
|
|
18
|
|
8,577
|
Zurich Insurance Group
AG
|
|
|
38
|
|
11,298
|
|
|
|
|
|
86,696
|
UNITED
KINGDOM — 0.6% |
|
|
|
|
|
Direct Line Insurance Group
PLC
|
|
|
3,228
|
|
13,102
|
UNITED
STATES — 57.1% |
|
|
|
|
|
Aflac,
Inc.
|
|
|
276
|
|
12,575
|
AGNC Investment Corp.
REIT
|
|
|
1,141
|
|
20,013
|
Allstate
Corp.
|
|
|
263
|
|
21,732
|
Ameren
Corp.
|
|
|
374
|
|
24,396
|
American Express
Co.
|
|
|
214
|
|
20,398
|
Annaly Capital Management, Inc.
REIT
|
|
|
1,995
|
|
19,591
|
Anthem,
Inc.
|
|
|
90
|
|
23,637
|
Archer-Daniels-Midland
Co.
|
|
|
511
|
|
20,936
|
AutoZone, Inc.
(a)
|
|
|
29
|
|
24,312
|
Baxter International,
Inc.
|
|
|
411
|
|
27,052
|
BB&T
Corp.
|
|
|
439
|
|
19,017
|
Bristol-Myers Squibb
Co.
|
|
|
216
|
|
11,228
|
Carnival
Corp.
|
|
|
162
|
|
7,987
|
CenterPoint Energy,
Inc.
|
|
|
637
|
|
17,982
|
Cigna
Corp.
|
|
|
104
|
|
19,752
|
Cisco Systems,
Inc.
|
|
|
320
|
|
13,866
|
Coca-Cola
Co.
|
|
|
529
|
|
25,048
|
DTE Energy
Co.
|
|
|
224
|
|
24,707
|
See accompanying notes to financial statements.
2
SSGA ACTIVE TRUST
STATE STREET DISCIPLINED GLOBAL EQUITY PORTFOLIO
SCHEDULE OF
INVESTMENTS (continued)
December 31, 2018 (Unaudited)
Security
Description |
|
|
Shares
|
|
Value
|
Eli Lilly &
Co.
|
|
|
249
|
|
$
28,814 |
Eversource
Energy
|
|
|
181
|
|
11,772
|
Exelon
Corp.
|
|
|
568
|
|
25,617
|
HCA Healthcare,
Inc.
|
|
|
227
|
|
28,250
|
Hershey
Co.
|
|
|
76
|
|
8,146
|
Home Depot,
Inc.
|
|
|
105
|
|
18,041
|
Honeywell International,
Inc.
|
|
|
79
|
|
10,437
|
HP,
Inc.
|
|
|
526
|
|
10,762
|
Humana,
Inc.
|
|
|
79
|
|
22,632
|
Johnson &
Johnson
|
|
|
199
|
|
25,681
|
JPMorgan Chase &
Co.
|
|
|
246
|
|
24,015
|
Kellogg
Co.
|
|
|
356
|
|
20,296
|
Lockheed Martin
Corp.
|
|
|
71
|
|
18,591
|
McDonald's
Corp.
|
|
|
143
|
|
25,392
|
Medtronic
PLC
|
|
|
159
|
|
14,463
|
Merck & Co.,
Inc.
|
|
|
388
|
|
29,647
|
Motorola Solutions,
Inc.
|
|
|
237
|
|
27,264
|
PepsiCo,
Inc.
|
|
|
215
|
|
23,753
|
Pfizer,
Inc.
|
|
|
515
|
|
22,480
|
Pinnacle West Capital
Corp.
|
|
|
115
|
|
9,798
|
PNC Financial Services Group,
Inc.
|
|
|
64
|
|
7,482
|
Procter & Gamble
Co.
|
|
|
271
|
|
24,910
|
Public Service Enterprise Group,
Inc.
|
|
|
324
|
|
16,864
|
Quest Diagnostics,
Inc.
|
|
|
150
|
|
12,490
|
Raytheon
Co.
|
|
|
125
|
|
19,169
|
Republic Services,
Inc.
|
|
|
81
|
|
5,839
|
Simon Property Group, Inc.
REIT
|
|
|
143
|
|
24,023
|
Starbucks
Corp.
|
|
|
186
|
|
11,978
|
Sysco
Corp.
|
|
|
351
|
|
21,994
|
Security
Description |
|
|
Shares
|
|
Value
|
Target
Corp.
|
|
|
309
|
|
$
20,422 |
TJX Cos.,
Inc.
|
|
|
476
|
|
21,296
|
Torchmark
Corp.
|
|
|
154
|
|
11,478
|
UGI
Corp.
|
|
|
453
|
|
24,168
|
Union Pacific
Corp.
|
|
|
69
|
|
9,538
|
United Continental Holdings, Inc.
(a)
|
|
|
188
|
|
15,741
|
United Parcel Service, Inc. Class
B |
|
|
122
|
|
11,899
|
UnitedHealth Group,
Inc.
|
|
|
102
|
|
25,410
|
Universal Health Services, Inc. Class
B |
|
|
97
|
|
11,306
|
US
Bancorp
|
|
|
180
|
|
8,226
|
Verizon Communications,
Inc.
|
|
|
247
|
|
13,886
|
VF
Corp.
|
|
|
132
|
|
9,417
|
Walmart,
Inc.
|
|
|
188
|
|
17,512
|
Waste Management,
Inc.
|
|
|
329
|
|
29,278
|
Yum! Brands,
Inc.
|
|
|
245
|
|
22,520
|
|
|
|
|
|
1,156,926
|
TOTAL COMMON STOCKS (Cost
$1,960,299)
|
|
|
|
|
2,017,855
|
TOTAL INVESTMENTS — 99.5% (Cost
$1,960,299)
|
|
2,017,855
|
|
OTHER ASSETS IN EXCESS OF LIABILITIES — 0.5%
|
|
10,180
|
|
NET ASSETS — 100.0%
|
|
$
2,028,035 |
|
(a)
|
Non-income
producing security. |
REIT
|
=
Real Estate Investment Trust |
The following table summarizes the value
of the Portfolio's investments according to the fair value hierarchy as of December 31, 2018.
Description
|
|
Level
1 – Quoted Prices |
|
Level
2 – Other Significant Observable Inputs |
|
Level
3 – Significant Unobservable Inputs |
|
Total
|
ASSETS:
|
|
|
|
|
|
|
|
|
INVESTMENTS:
|
|
|
|
|
|
|
|
|
Common
Stocks
|
|
$2,017,855
|
|
$—
|
|
$—
|
|
$2,017,855
|
TOTAL
INVESTMENTS
|
|
$2,017,855
|
|
$—
|
|
$—
|
|
$2,017,855
|
Affiliate
Table
|
Number
of Shares Held at 6/30/18 |
|
Value
at 6/30/18 |
|
Cost
of Purchases |
|
Proceeds
from Shares Sold |
|
Realized
Gain (Loss) |
|
Change
in Unrealized Appreciation/ Depreciation |
|
Number
of Shares Held at 12/31/18 |
|
Value
at 12/31/18 |
|
Dividend
Income |
|
Capital
Gains Distributions |
State Street Institutional U.S. Government Money Market Fund, Class G
Shares
|
33,569
|
|
$33,569
|
|
$695,359
|
|
$728,928
|
|
$—
|
|
$—
|
|
—
|
|
$—
|
|
$549
|
|
$—
|
See accompanying notes to financial statements.
3
SSGA ACTIVE TRUST
STATE STREET DISCIPLINED GLOBAL EQUITY PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
December 31, 2018 (Unaudited)
ASSETS
|
|
Investments in unaffiliated issuers, at
value
|
$2,017,855
|
Foreign currency, at
value
|
26,681
|
Receivable for investments
sold
|
7,131
|
Dividends receivable — unaffiliated
issuers
|
4,975
|
Dividends receivable — affiliated
issuers
|
120
|
Receivable from
Adviser
|
958
|
Receivable for foreign taxes
recoverable
|
3,920
|
TOTAL ASSETS
|
2,061,640
|
LIABILITIES
|
|
Due to
custodian
|
9,497
|
Payable for investments
purchased
|
18,648
|
Payable for fund shares
repurchased
|
4,522
|
Advisory fee
payable
|
937
|
Trustees’ fees and expenses
payable
|
1
|
TOTAL LIABILITIES
|
33,605
|
NET ASSETS
|
$2,028,035
|
NET
ASSETS CONSIST OF: |
|
Paid-in
Capital
|
$1,905,781
|
Total distributable earnings
(loss)
|
122,254
|
NET ASSETS
|
$2,028,035
|
NET
ASSET VALUE PER SHARE |
|
Net asset value per
share
|
$
9.74 |
Shares outstanding (unlimited amount authorized, no par
value)
|
208,269
|
COST
OF INVESTMENTS: |
|
Investments in unaffiliated
issuers
|
$1,960,299
|
Foreign currency, at
cost
|
$
26,659 |
See accompanying notes to financial
statements.
4
SSGA ACTIVE TRUST
STATE STREET DISCIPLINED GLOBAL EQUITY PORTFOLIO
STATEMENT OF OPERATIONS
For the Six Months Ended December 31, 2018 (Unaudited)
INVESTMENT
INCOME |
|
Dividend income — unaffiliated
issuers
|
$
67,511 |
Dividend income — affiliated
issuers
|
549
|
Foreign taxes
withheld
|
(2,405)
|
TOTAL INVESTMENT INCOME
(LOSS)
|
65,655
|
EXPENSES
|
|
Advisory
fee
|
6,558
|
Trustees’ fees and expenses
|
47
|
TOTAL
EXPENSES
|
6,605
|
Expenses waived/reimbursed by the
Adviser
|
(6,605)
|
NET
EXPENSES
|
—
|
NET INVESTMENT INCOME
(LOSS)
|
$
65,655 |
REALIZED
AND UNREALIZED GAIN (LOSS) |
|
Net
realized gain (loss) on: |
|
Investments — unaffiliated
issuers
|
53,787
|
Foreign currency
transactions
|
(1,372)
|
Net realized gain
(loss)
|
52,415
|
Net
change in unrealized appreciation/depreciation on: |
|
Investments — unaffiliated
issuers
|
(400,305)
|
Foreign currency
translations
|
90
|
Net change in unrealized
appreciation/depreciation
|
(400,215)
|
NET REALIZED AND UNREALIZED GAIN
(LOSS)
|
(347,800)
|
NET INCREASE (DECREASE) IN NET ASSETS FROM
OPERATIONS
|
$(282,145)
|
See accompanying notes to financial statements.
5
SSGA ACTIVE TRUST
STATE STREET DISCIPLINED GLOBAL EQUITY PORTFOLIO
STATEMENTS OF CHANGES IN NET ASSETS
|
Six
Months Ended 12/31/18 (Unaudited) |
|
Year
Ended 6/30/18 |
INCREASE
(DECREASE) IN NET ASSETS FROM OPERATIONS: |
|
|
|
Net investment income
(loss)
|
$
65,655 |
|
$
168,284 |
Net realized gain
(loss)
|
52,415
|
|
222,062
|
Net change in unrealized
appreciation/depreciation
|
(400,215)
|
|
(82,662)
|
Net increase (decrease) in net assets resulting from
operations
|
(282,145)
|
|
307,684
|
Distributions to shareholders (Note
9)
|
(351,240)
|
|
(211,763)
|
FROM
BENEFICIAL INTEREST TRANSACTIONS: |
|
|
|
Proceeds from sale of shares
sold
|
503,557
|
|
348,917
|
Reinvestment of
distributions
|
351,240
|
|
211,763
|
Cost of shares
redeemed
|
(3,198,070)
|
|
(282,814)
|
Net increase (decrease) in net assets from beneficial interest transactions
|
(2,343,273)
|
|
277,866
|
Net increase (decrease) in net assets during the
period
|
(2,976,658)
|
|
373,787
|
Net assets at beginning of
period
|
5,004,693
|
|
4,630,906
|
NET ASSETS AT END OF
PERIOD
|
$
2,028,035 |
|
$5,004,693
|
SHARES
OF BENEFICIAL INTEREST: |
|
|
|
Shares
sold
|
39,829
|
|
27,995
|
Reinvestment of
distributions
|
36,856
|
|
17,050
|
Shares
redeemed
|
(275,879)
|
|
(22,549)
|
Net increase (decrease) from share
transactions
|
(199,194)
|
|
22,496
|
See accompanying notes to financial statements.
6
SSGA ACTIVE TRUST
STATE STREET DISCIPLINED GLOBAL EQUITY PORTFOLIO
FINANCIAL HIGHLIGHTS
Selected data for a share outstanding throughout each period
|
State
Street Disciplined Global Equity Portfolio |
|
Six
Months Ended 12/31/18 (Unaudited) |
|
Year
Ended 6/30/18 |
|
Year
Ended 6/30/17 |
|
For
the Period 2/19/16* - 6/30/16 |
Net asset value, beginning of
period
|
$12.28
|
|
$12.03
|
|
$10.89
|
|
$10.00
|
Net investment income (loss)
(a)
|
0.16
|
|
0.42
|
|
0.31
|
|
0.15
|
Net realized and unrealized gain
(loss)
|
(0.70)
|
|
0.36
|
|
1.21
|
|
0.74
|
Total from investment
operations
|
(0.54)
|
|
0.78
|
|
1.52
|
|
0.89
|
Distributions
to shareholders from: |
|
|
|
|
|
|
|
Net investment
income
|
(0.74)
|
|
(0.38)
|
|
(0.28)
|
|
—
|
Net realized
gains
|
(1.26)
|
|
(0.15)
|
|
(0.10)
|
|
—
|
Total
distributions
|
(2.00)
|
|
(0.53)
|
|
(0.38)
|
|
—
|
Net asset value, end of
period
|
$
9.74 |
|
$12.28
|
|
$12.03
|
|
$10.89
|
Total return
(b)
|
(4.03)%(c)
|
|
6.48%
|
|
14.43%
|
|
8.90%(c)
|
Ratios
and Supplemental Data: |
|
|
|
|
|
|
|
Net assets, end of period (in
000s)
|
$2,028
|
|
$5,005
|
|
$4,631
|
|
$3,270
|
Ratios
to average net assets: |
|
|
|
|
|
|
|
Total
expenses
|
0.25%(d)
|
|
0.30%
|
|
0.33%
|
|
0.27%(d)
|
Net
expenses
|
—%(d)(e)
|
|
—%(e)
|
|
—%(e)
|
|
—%(d)
|
Net investment income
(loss)
|
2.50%(d)
|
|
3.37%
|
|
2.75%
|
|
4.00%(d)
|
Portfolio turnover
rate
|
39%(c)
|
|
47%
|
|
30%
|
|
21%(c)
|
*
|
Commencement
of operations. |
(a)
|
Per
share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the period. |
(b)
|
Total
return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net
asset value per share on the respective payment dates. Total return for periods of less than one year is not annualized. Results represent past performance and are not indicative of future results. |
(c)
|
Not
annualized. |
(d)
|
Annualized.
|
(e)
|
Amount
is less than 0.005%. |
See accompanying notes to financial statements.
7
SSGA ACTIVE TRUST
STATE STREET DISCIPLINED GLOBAL EQUITY PORTFOLIO
NOTES TO FINANCIAL STATEMENTS
December 31, 2018 (Unaudited)
1. Organization
SSGA Active Trust (the “Trust”), a
Massachusetts business trust registered under the Investment Company Act of 1940, as amended (“1940 Act”), is an open-end management investment company.
As of December 31, 2018, the Trust consists of
twelve (12) series, each of which represents a separate series of beneficial interest in the Trust. The Declaration of Trust permits the Board of Trustees of the Trust (the “Board”) to authorize the issuance of an unlimited number of
shares of beneficial interest with no par value. The financial statements herein relate only to the following Portfolio (the “Portfolio”):
Portfolio
|
Commencement
of Operations |
Diversification
Classification |
State
Street Disciplined Global Equity Portfolio |
February
19, 2016 |
Diversified
|
The Portfolio serves as a
master fund in a master-feeder structure.
Under the Trust’s organizational documents,
its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust. Additionally, in the normal course of business, the Trust enters into contracts with service providers that contain
general indemnification clauses. The Trust’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Trust that have not yet occurred.
2. Summary of Significant
Accounting Policies
The following is a summary
of significant accounting policies followed by the Trust in the preparation of its financial statements:
The preparation of financial statements in
accordance with U.S. generally accepted accounting principles (“U.S. GAAP”) requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ
from those estimates. The Portfolio is an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies.
Security Valuation
The Portfolio's investments are valued at fair value
each day that the New York Stock Exchange (“NYSE”) is open and, for financial reporting purposes, as of the report date should the reporting period end on a day that the NYSE is not open. Fair value is generally defined as the price a
fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. By its nature, a fair value price is a good faith estimate of the valuation in a current sale and may
not reflect an actual market price. The investments of the Portfolio are valued pursuant to the policy and procedures developed by the Oversight Committee (the “Committee”) and approved by the Board. The Committee provides oversight of
the valuation of investments for the Portfolio. The Board has responsibility for overseeing the determination of the fair value of investments.
Valuation techniques used to value the Portfolio's
investments by major category are as follows:
• Equity
investments traded on a recognized securities exchange for which market quotations are readily available are valued at the last sale price or official closing price, as applicable, on the primary market or exchange on which they trade. Equity
investments traded on a recognized exchange for which there were no sales on that day are valued at the last published sale price or at fair value.
• Investments
in registered investment companies (including money market funds) or other unitized pooled investment vehicles that are not traded on an exchange are valued at that day’s published net asset value (“NAV”) per share or unit.
In the event prices or quotations are not readily
available or that the application of these valuation methods results in a price for an investment that is deemed to be not representative of the fair value of such investment, fair value will be determined in good faith by the Committee, in
accordance with the valuation policy and procedures approved by the Board.
SSGA ACTIVE TRUST
STATE STREET DISCIPLINED GLOBAL EQUITY PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (continued)
December 31, 2018 (Unaudited)
Various inputs are used in determining the value of
the Portfolio’s investments.
The
Portfolio values its assets and liabilities at fair value using a fair value hierarchy consisting of three broad levels that prioritize the inputs to valuation techniques giving the highest priority to readily available unadjusted quoted prices in
active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements) when market prices are not readily available or reliable. The categorization of a value determined for an
investment within the hierarchy is based upon the pricing transparency of the investment and is not necessarily an indication of the risk associated with investing in it.
The three levels of the fair value hierarchy are as
follows:
• Level 1 –
Unadjusted quoted prices in active markets for an identical asset or liability;
• Level
2 – Inputs other than quoted prices included within Level 1 that are observable for the asset or liability either directly or indirectly, including quoted prices for similar assets or liabilities in active markets, quoted prices for identical
or similar assets or liabilities in markets that are not considered to be active, inputs other than quoted prices that are observable for the asset or liability (such as exchange rates, financing terms, interest rates, yield curves, volatilities,
prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs; and
• Level
3 – Unobservable inputs for the asset or liability, including the Committee’s assumptions used in determining the fair value of investments.
The value of the Portfolio’s investments
according to the fair value hierarchy as of December 31, 2018 is disclosed in the Portfolio’s Schedule of Investments.
Investment Transactions and Income Recognition
Investment transactions are accounted for on trade
date for financial reporting purposes. Realized gains and losses from the sale or disposition of investments and foreign exchange transactions, if any, are determined using the identified cost method.
Dividend income and capital gain distributions, if
any, are recognized daily on the ex-dividend date or when the information becomes available, net of any foreign taxes withheld at source, if any.
The Portfolio invests in Real Estate Investment
Trusts (“REITs”). REITs determine the tax character of their distributions annually and may characterize a portion of their distributions as a return of capital or capital gain. The Portfolio’s policy is to record all REIT
distributions initially as dividend income and re-designate the prior calendar years to return of capital or capital gains distributions at year end based on information provided by the REIT.
Expenses
Certain expenses, which are directly identifiable to
a specific Portfolio, are applied to that Portfolio within the Trust. Other expenses which cannot be attributed to a specific Portfolio are allocated in such a manner as deemed equitable, taking into consideration the nature and type of expense and
the relative net assets of the Portfolio within the Trust.
Foreign Currency Translation
The accounting records of the Portfolio are
maintained in U.S. dollars. Foreign currencies as well as investment securities and other assets and liabilities denominated in a foreign currency are translated to U.S. dollars using exchange rates at period end. Purchases and sales of securities,
income receipts and expense payments denominated in foreign currencies are translated into U.S. dollars at the prevailing exchange rate on the respective dates of the transactions.
The effects of exchange rate fluctuations on
investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.
SSGA ACTIVE TRUST
STATE STREET DISCIPLINED GLOBAL EQUITY PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (continued)
December 31, 2018 (Unaudited)
Foreign Taxes
The Portfolio may be subject to foreign taxes (a
portion of which may be reclaimable) on income, stock dividends, realized and unrealized capital gains on investments or certain foreign currency transactions. Foreign taxes are recorded in accordance with SSGA Funds Management, Inc.’s (the
“Adviser” or “SSGA FM”) understanding of the applicable foreign tax regulations and rates that exist in the foreign jurisdictions in which the Portfolio invests. These foreign taxes, if any, are paid by the Portfolio and are
reflected in the Statement of Operations, if applicable. Foreign taxes payable or deferred as of December 31, 2018, if any, are disclosed in the Portfolio’s Statement of Assets and Liabilities.
Distributions
Distributions from net investment income, if any,
are declared and paid annually. Net realized capital gains, if any, are distributed annually, unless additional distributions are required for compliance with applicable tax regulations. The amount and character of income and capital gains to be
distributed are determined in accordance with applicable tax regulations which may differ from net investment income and realized gains recognized for U.S. GAAP purposes.
3. Fees and Transactions with
Affiliates
Advisory Fee
The Portfolio has entered into an Investment
Advisory Agreement with SSGA FM. For its advisory services, the Portfolio pays the Adviser a fee accrued daily and paid monthly, at a rate of 0.25% of the Portfolio’s average daily net assets.
The Adviser has contractually agreed to waive a
portion of its management fee and/or reimburse expenses in such an amount equal to the “Total annual Fund operating expenses” until the later of April 30, 2020 or such time as the shares of the Portfolio cease to be the only investment
security held by the State Street Defensive Global Equity Fund (formerly, State Street Disciplined Global Equity Fund), a separate series of State Street Institutional Investment Trust. The contractual fee waiver and/or reimbursement does not
provide for the recoupment by the Adviser of any fees the Adviser previously waived. The Adviser may continue the waiver and/or reimbursement from year to year, but there is no guarantee that the Adviser will do so and the waiver and/or
reimbursement may be canceled or modified at any time after April 30, 2020. This waiver and/or reimbursement may not be terminated prior to April 30, 2020 except with the approval of the Trust’s Board of Trustees. For the period ended December
31, 2018, fees waived and expenses reimbursed by the Adviser, pursuant to the agreement, were $6,605.
Administrator, Custodian, Sub-Administrator and
Transfer Agent Fees
SSGA FM serves as
administrator and State Street Bank and Trust Company (“State Street”), an affiliate of the Adviser, serves as custodian, sub-administrator and transfer agent. State Street receives fees for its services as custodian, sub-administrator
and transfer agent from the Adviser.
Other
Transactions with Affiliates
The Portfolio may
invest in affiliated entities, including securities issued by State Street Corporation., affiliated funds, or entities deemed to be affiliates as a result of the Portfolio owning more than five percent of the entity’s voting securities or
outstanding shares. Amounts relating to these transactions during the period ended December 31, 2018, are disclosed in the Schedule of Investments.
Due to Custodian
In certain circumstances, the Portfolio may have
cash overdrafts with the custodian due to expense payments, capital transactions, trading of securities, investment operations or derivative transactions. The Due to custodian amount if any, reflects cash overdrawn with State Street as custodian who
is an affiliate of the Portfolio.
SSGA ACTIVE TRUST
STATE STREET DISCIPLINED GLOBAL EQUITY PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (continued)
December 31, 2018 (Unaudited)
4. Trustees’ Fees
The fees and expenses of the Trust’s trustees,
who are not “interested persons” of the Trust, as defined in the 1940 Act (“Independent Trustees”), are paid directly by the Portfolio. The Independent Trustees are reimbursed for travel and other out-of-pocket expenses in
connection with meeting attendance and industry seminars.
5. Investment
Transactions
Purchases and sales of
investments (excluding short term investments) for the period ended December 31, 2018, were as follows:
|
Purchases
|
|
Sales
|
State Street Disciplined Global Equity
Portfolio
|
$1,872,819
|
|
$4,400,883
|
6. Income Tax Information
The Portfolio has qualified and intends to continue
to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended. The Portfolio will not be subject to federal income taxes to the extent it distributes its taxable income, including any net realized
capital gains, for each fiscal year. Therefore, no provision for federal income tax is required.
The Portfolio files federal and various state and
local tax returns as required. No income tax returns are currently under examination. Generally, the federal returns are subject to examination by the Internal Revenue Service for a period of three years from date of filing, while the state returns
may remain open for an additional year depending upon jurisdiction. As of June 30, 2018, SSGA FM has analyzed the Portfolio’s tax positions taken on tax returns for all open years and does not believe there are any uncertain tax positions that
would require recognition of a tax liability.
Under tax reform legislation commonly referred to as
the Tax Cuts and Jobs Act (the “Tax Act”), a direct REIT shareholder is permitted to claim a 20% deduction for “qualified REIT dividends” (i.e., ordinary REIT dividends other than capital gain dividends and portions of REIT
dividends designated as qualified dividend income). Originally, the Act did not contain a provision permitting a regulated investment company, such as the Fund, to pass through the special character of “qualified REIT dividends” to its
shareholders. On January 18, 2019, the Treasury Department and IRS issued proposed regulations (the “Proposed Regulations”) that generally permit regulated investment companies, such as the Fund, to pass through “qualified REIT
dividends” to its shareholders under Section 199A of the Internal Revenue Code.
Distributions to shareholders are recorded on
ex-dividend date. Income dividends and gain distributions are determined in accordance with income tax rules and regulations, which may differ from generally accepted accounting principles.
As of December 31, 2018, gross unrealized
appreciation and gross unrealized depreciation of investments and other financial instruments based on cost for federal income tax purposes were as follows:
|
Tax
Cost |
|
Gross
Unrealized Appreciation |
|
Gross
Unrealized Depreciation |
|
Net
Unrealized Appreciation (Depreciation) |
State Street Disciplined Global Equity
Portfolio
|
$1,960,299
|
|
$174,281
|
|
$116,725
|
|
$57,556
|
7. Line of Credit
The Portfolio and other affiliated funds (each a
“Participant” and, collectively, the “Participants”) participate in a $500 million revolving credit facility provided by a syndication of banks under which the Participants may borrow to fund shareholder redemptions. This
agreement expires in October 2019 unless extended or renewed.
SSGA ACTIVE TRUST
STATE STREET DISCIPLINED GLOBAL EQUITY PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (continued)
December 31, 2018 (Unaudited)
The Participants are charged an annual commitment
fee which is calculated based on the unused portion of the shared credit line. Commitment fees are allocated among each of the Participants based on relative net assets. Commitment fees are ordinary fund operating expenses. A Participant incurs and
pays the interest expense related to its borrowing. Interest is calculated at a rate per annum equal to the sum of 1% plus the greater of the New York Fed Bank Rate and 1-month LIBOR rate.
The Portfolio had no outstanding loans as of
December 31, 2018.
8. Risks
Concentration Risk
As a result of the Portfolio's ability to invest a
large percentage of its assets in obligations of issuers within the same country, state, region, currency or economic sector, an adverse economic, business or political development may affect the value of the Portfolio’s investments more than
if the Portfolio was more broadly diversified.
Foreign and Emerging Markets Risk
Investing in foreign markets involves risks and
considerations not typically associated with investing in the U.S. Foreign securities may be subject to risk of loss because of government regulation, economic, political and social instability in the countries in which the Portfolio invests.
Foreign markets may be less liquid than investments in the U.S. and may be subject to the risks of currency fluctuations. To the extent that the Portfolio invests in securities of issuers located in emerging markets, these risks may be even more
pronounced.
Market and Credit Risk
In the normal course of business, the Portfolio
trades financial instruments and enters into transactions where risk of potential loss exists due to changes in the general economic conditions and fluctuations of the market (market risk). Additionally, the Portfolio may also be exposed to credit
risk in the event that an issuer or guarantor fails to perform or that an institution or entity with which the Portfolio has unsettled or open transactions defaults.
9. New Accounting
Pronouncements
In August 2018, the U.S.
Securities and Exchange Commission (the “SEC”) released its Final Rule on Disclosure Update and Simplification (the “Final Rule”) which is intended to simplify an issuer’s disclosure compliance efforts by removing
redundant or outdated disclosure requirements without significantly altering the mix of information provided to investors. The Portfolio has adopted the Final Rule for the current period.
10. Subsequent Events
Management has evaluated the impact of all
subsequent events on the Portfolio through the date the financial statements were issued and has determined that there were no subsequent events requiring adjustment or disclosure in the financial statements.
SSGA ACTIVE TRUST
STATE STREET DISCIPLINED GLOBAL EQUITY PORTFOLIO
OTHER INFORMATION
December 31, 2018 (Unaudited)
Expense Example
As a shareholder of the Portfolio, you incur two
types of costs: (1) transaction costs, including sales charges (loads), if applicable, on purchase payments, reinvested dividends, or other distributions and (2) ongoing costs, including advisory fees and other Portfolio expenses. This example is
intended to help you understand your ongoing costs (in dollars) of investing in the Portfolio and to compare these costs with the ongoing costs of investing in other mutual funds. It is based on an investment of $1,000 made at the beginning of the
period shown and held for the entire period from July 1, 2018 to December 31, 2018.
The table below illustrates your Portfolio's cost in
two ways:
Based on actual fund return ——This section helps you to estimate the actual expenses that you paid over the period. The “Ending Account Value” shown is derived from the Portfolio's actual return, and the third column shows
the dollar amount that would have been paid by an investor who started with $1,000 in the Portfolio. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply
divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for the Portfolio under the heading “Expenses Paid During Period”.
Based on hypothetical 5% return ——This section is intended to help you compare your Portfolio's costs with those of other mutual funds. It assumes that the Portfolio had a yearly return of 5% before expenses, but that the expense ratio is
unchanged. In this case, because the return used is not the Portfolio's actual return, the results do not apply to your investment. The example is useful in making comparisons because the SEC requires all mutual funds to calculate expenses based on
a 5% return. You can assess your Portfolio's costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.
Please note that the expenses shown in the table are
meant to highlight your ongoing costs only and do not reflect any transaction costs, such as sales load charges (loads). Therefore, the hypothetical 5% return section of the table is useful in comparing ongoing costs only, and will not help you
determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher.
SSGA ACTIVE TRUST
STATE STREET DISCIPLINED GLOBAL EQUITY PORTFOLIO
OTHER INFORMATION (continued)
December 31, 2018 (Unaudited)
|
|
|
Actual
|
|
Hypothetical
(assuming a 5% return before expenses) |
|
Annualized
Expense Ratio |
|
Ending
Account Value |
|
Expenses
Paid During Period(a) |
|
Ending
Account Value |
|
Expenses
Paid During Period(a) |
State Street Disciplined Global Equity
Portfolio
|
0.00%(b)
|
|
$959.70
|
|
$0.00(c)
|
|
$1,025.20
|
|
$0.00(c)
|
(a)
|
Expenses
are equal to the Portfolio's annualized net expense ratio multiplied by the average account value of the period, multiplied by 184, then divided by 365. |
(b)
|
Amount
is less than 0.005%. |
(c)
|
Amount
is less than $0.005. |
Proxy
Voting Policies and Procedures and Records
A
description of the Trust’s proxy voting policies and procedures that are used by the Portfolio's investment adviser to vote proxies relating to the Portfolio’s portfolio of securities are available (i) without charge, upon request by
calling 1-800-997-7327 (toll free) or (ii) on the SEC's website at www.sec.gov.
Information regarding how the investment adviser
voted for the prior 12-month period ended June 30 is available by August 31 of each year by calling the same number and on the SEC’s website at www.sec.gov, and on the Portfolio's website at www.ssgafunds.com.
Quarterly Portfolio Schedule
The Portfolio files a complete schedule of
investments with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Portfolio's Forms N-Q are available on the SEC’s website at www.sec.gov. The information on the Form N-Q is
available upon request, without charge, by calling 1-800-997-7327 (toll free) and on the Portfolio's website at www.ssgafunds.com.
[This Page Intentionally Left Blank]
[This Page Intentionally Left Blank]
Trustees
Bonny E. Boatman
Dwight D. Churchill
Frank Nesvet, Chairman
Clare S. Richer
James E. Ross
Sandra G. Sponem
Carl G. Verboncoeur
Investment Manager and Administrator
SSGA Funds Management, Inc.
One Iron Street
Boston, MA
02210
Distributor
State Street Global Advisors Funds Distributors, LLC
One
Iron Street
Boston, MA 02210
Custodian,
Sub-Administrator and Transfer Agent
State Street Bank
and Trust Company
One Lincoln Street
Boston, MA 02111
Legal Counsel
Morgan, Lewis & Bockius LLP
1111 Pennsylvania Avenue,
NW
Washington, DC 20004
Independent Registered Public Accounting Firm
Ernst & Young LLP
200 Clarendon Street
Boston, MA
02116
Portfolio Shares are distributed by State Street
Global Advisors Funds Distributors, LLC, an indirect, wholly-owned subsidiary of State Street Corporation. State Street Global Advisors Funds Distributors, LLC; member FINRA, SIPC.
The information contained in this report is intended for the
general information of shareholders of the Portfolio and shareholders of any fund or private client invested in the Portfolio. Generally, shares of the Portfolio may be purchased only by or on behalf of other registered investment companies or
private clients for which the Adviser or an affiliate serves as investment adviser (or in a similar capacity). This report is not authorized for distribution (i) to prospective investors in any fund invested in the Portfolio unless preceded or
accompanied by a current offering document for such fund or (ii) to prospective eligible investors in the Portfolio unless preceded or accompanied by a current offering document of the Portfolio. Eligible investors in the Portfolio may obtain a
current prospectus and SAI from the Distributor by calling 1-800-997-7327. Please read the offering document carefully before investing in the Portfolio.
© 2019 State Street Corporation -All Rights Reserved
Semi-Annual Report
December 31, 2018
SSGA Active Trust
SPDR
Blackstone / GSO Senior Loan ETF |
IMPORTANT NOTICE: Beginning on January 1, 2021, reports like
this one will no longer automatically be sent by mail. See inside for more information.
The information contained in this report is intended for the
general information of shareholders of the Trust. This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current Trust prospectus which contains important information concerning the Trust. You may
obtain a current prospectus and SAI from the Distributor by calling 1-866-787-2257 or visiting www.spdrs.com. Please read the prospectus carefully before you invest.
Beginning on January 1, 2021, as permitted by regulations
adopted by the U.S. Securities and Exchange Commission, paper copies of a Fund’s annual and semi-annual shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports from the Fund (or from your
financial intermediary, such as a broker-dealer or bank). Instead, the reports will be made available on a Fund’s website (www.spdrs.com), and you will be notified by mail each time a report is posted, and provided with a website link to
access the report. If you already elected to receive reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications by contacting your financial
intermediary.
Beginning on January 1, 2019, you may elect
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TABLE OF CONTENTS (Unaudited)
The information contained in this report is intended
for the general information of shareholders of the Trust. This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current Trust prospectus which contains important information concerning the Trust.
You may obtain a current prospectus and SAI from the Distributor by calling 1-866-787-2257 or visiting www.spdrs.com. Please read the prospectus carefully before you invest.
SSGA ACTIVE TRUST
STATEMENT OF ASSETS AND LIABILITIES
December 31, 2018 (Unaudited)
|
SPDR
Blackstone / GSO Senior Loan ETF |
ASSETS
|
|
Investment in corresponding affiliated Portfolio, at
value
|
$2,193,048,867
|
Cash
|
1,370
|
TOTAL ASSETS
|
2,193,050,237
|
LIABILITIES
|
|
Advisory fee
payable
|
914,831
|
Trustees’ fees and expenses
payable
|
699
|
TOTAL LIABILITIES
|
915,530
|
NET ASSETS
|
$2,192,134,707
|
NET
ASSETS CONSIST OF: |
|
Paid-in
Capital
|
$2,389,425,761
|
Total distributable earnings
(loss)
|
(197,291,054)
|
NET ASSETS
|
$2,192,134,707
|
NET
ASSET VALUE PER SHARE |
|
Net asset value per
share
|
$
44.92 |
Shares outstanding (unlimited amount authorized, no par
value)
|
48,800,000
|
COST
OF INVESTMENTS: |
|
Investments in corresponding affiliated
Portfolio
|
$2,281,057,617
|
See accompanying notes to financial statements and financial
statements of the Master Portfolio.
2
SSGA ACTIVE TRUST
STATEMENT OF OPERATIONS
For the Six Months Ended December 31, 2018 (Unaudited)
|
SPDR
Blackstone / GSO Senior Loan ETF |
INCOME
AND EXPENSES ALLOCATED FROM AFFILIATED PORTFOLIO |
|
Interest income allocated from affiliated
Portfolio
|
$
92,034,256 |
Dividend income allocated from affiliated
Portfolio
|
2,277,597
|
Expenses allocated from affiliated
Portfolio
|
(4,910,511)
|
TOTAL INVESTMENT INCOME (LOSS) ALLOCATED FROM AFFILIATED
PORTFOLIO
|
89,401,342
|
EXPENSES
|
|
Advisory
fee
|
6,503,506
|
Trustees’ fees and
expenses
|
26,355
|
TOTAL
EXPENSES
|
6,529,861
|
NET INVESTMENT INCOME
(LOSS)
|
82,871,481
|
REALIZED
AND UNREALIZED GAIN (LOSS) |
|
Net
realized gain (loss) on: |
|
Investment transactions allocated from affiliated
Portfolio
|
(47,295,865)
|
Net
change in unrealized appreciation/depreciation on: |
|
Investment transactions allocated from affiliated
Portfolio
|
(80,291,010)
|
NET REALIZED AND UNREALIZED GAIN
(LOSS)
|
(127,586,875)
|
NET INCREASE (DECREASE) IN NET ASSETS FROM
OPERATIONS
|
$
(44,715,394) |
See accompanying notes to financial statements and financial
statements of the Master Portfolio.
3
SSGA ACTIVE TRUST
STATEMENTS OF CHANGES IN NET ASSETS
|
SPDR
Blackstone / GSO Senior Loan ETF |
|
Six
Months Ended 12/31/18 (Unaudited) |
|
Year
Ended 6/30/18 |
INCREASE
(DECREASE) IN NET ASSETS FROM OPERATIONS: |
|
|
|
Net investment income
(loss)
|
$
82,871,481 |
|
$
103,046,158 |
Net realized gain
(loss)
|
(47,295,865)
|
|
(11,863,241)
|
Net change in unrealized
appreciation/depreciation
|
(80,291,010)
|
|
(16,510,899)
|
Net increase (decrease) in net assets resulting from
operations
|
(44,715,394)
|
|
74,672,018
|
Net equalization credits and
charges
|
(1,244,639)
|
|
1,868,667
|
Distributions to shareholders (Note
7):
|
(93,227,500)
|
|
(97,740,250)
|
FROM
BENEFICIAL INTEREST TRANSACTIONS: |
|
|
|
Proceeds from sale of shares
sold
|
280,085,173
|
|
1,509,849,497
|
Cost of shares
redeemed
|
(1,142,931,350)
|
|
(118,513,417)
|
Net income
equalization
|
1,244,639
|
|
(1,868,667)
|
Other
capital
|
3,300,163
|
|
850,598
|
Net increase (decrease) in net assets from beneficial interest
transactions
|
(858,301,375)
|
|
1,390,318,011
|
Net increase (decrease) in net assets during the
period
|
(997,488,908)
|
|
1,369,118,446
|
Net assets at beginning of
period
|
3,189,623,615
|
|
1,820,505,169
|
NET ASSETS AT END OF
PERIOD
|
$
2,192,134,707 |
|
$3,189,623,615
|
SHARES
OF BENEFICIAL INTEREST: |
|
|
|
Shares
sold
|
5,950,000
|
|
31,900,000
|
Shares
redeemed
|
(24,950,000)
|
|
(2,500,000)
|
Net increase
(decrease)
|
(19,000,000)
|
|
29,400,000
|
See accompanying notes to financial statements and financial
statements of the Master Portfolio.
4
SSGA ACTIVE TRUST
FINANCIAL HIGHLIGHTS
Selected data for a share outstanding throughout each period
|
SPDR
Blackstone / GSO Senior Loan ETF |
|
Six
Months Ended 12/31/18(a) (Unaudited) |
|
Year
Ended 6/30/18(a) |
|
Year
Ended 6/30/17(a) |
|
Year
Ended 6/30/16(a) |
|
Year
Ended 6/30/15(a) |
|
Year
Ended 6/30/14(a) |
Net asset value, beginning of
period
|
$
47.04 |
|
$
47.41 |
|
$
46.64 |
|
$
49.22 |
|
$
50.02 |
|
$
49.65 |
Income
(loss) from investment operations: |
|
|
|
|
|
|
|
|
|
|
|
Net investment income (loss)
(b)
|
1.20
|
|
2.04
|
|
1.85
|
|
1.95
|
|
2.01
|
|
1.54
|
Net realized and unrealized gain (loss)
(c)
|
(1.98)
|
|
(0.50)
|
|
0.73
|
|
(2.58)
|
|
(0.88)
|
|
0.24
|
Total from investment
operations
|
(0.78)
|
|
1.54
|
|
2.58
|
|
(0.63)
|
|
1.13
|
|
1.78
|
Net equalization credits and charges
(b)
|
(0.02)
|
|
0.04
|
|
0.05
|
|
0.02
|
|
0.01
|
|
0.03
|
Other capital
(b)
|
0.05
|
|
0.02
|
|
0.02
|
|
0.02
|
|
0.02
|
|
0.04
|
Distributions
to shareholders from: |
|
|
|
|
|
|
|
|
|
|
|
Net investment
income
|
(1.37)
|
|
(1.97)
|
|
(1.88)
|
|
(1.99)
|
|
(1.96)
|
|
(1.48)
|
Net asset value, end of
period
|
$
44.92 |
|
$
47.04 |
|
$
47.41 |
|
$
46.64 |
|
$
49.22 |
|
$
50.02 |
Total return
(d)
|
(1.67)%
|
|
3.43%
|
|
5.77%
|
|
(1.15)%
|
|
2.38%
|
|
3.77%
|
Ratios
and Supplemental Data: |
|
|
|
|
|
|
|
|
|
|
|
Net assets, end of period (in
000s)
|
$2,192,135
|
|
$3,189,624
|
|
$1,820,505
|
|
$802,228
|
|
$671,810
|
|
$610,275
|
Ratios
to average net assets: |
|
|
|
|
|
|
|
|
|
|
|
Total
expenses
|
0.70%(e)
|
|
0.70%
|
|
0.70%
|
|
0.71%
|
|
0.71%
|
|
0.85%
|
Net investment income
(loss)
|
5.10%(e)
|
|
4.30%
|
|
3.91%
|
|
4.15%
|
|
4.09%
|
|
3.09%
|
Portfolio turnover rate
(f)
|
41%(g)
|
|
90%
|
|
68%
|
|
88%
|
|
65%
|
|
77%
|
(a)
|
The
per share amounts and percentages include the Fund’s proportionate share of income and expenses of the affiliated Portfolio. |
(b)
|
Per
share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the period. |
(c)
|
Amounts
shown in this caption for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period because of the timing of sales and repurchases of Fund shares in relation to fluctuating market values
for the Fund. |
(d)
|
Total
return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net
asset value per share on the respective payment dates of each distribution. Total returns for periods of less than one year are not annualized. Broker commission charges are not included in this calculation. |
(e)
|
Annualized.
|
(f)
|
Portfolio
turnover rate is from the Portfolio. |
(g)
|
Not
annualized. |
See accompanying notes to financial statements and
financial statements of the Master Portfolio.
5
SSGA ACTIVE TRUST
NOTES TO FINANCIAL STATEMENTS
December 31, 2018 (Unaudited)
1. Organization
SSGA Active Trust (the “Trust”), a
Massachusetts business trust registered under the Investment Company Act of 1940, as amended (“1940 Act”), is an open-end management investment company.
As of December 31, 2018, the Trust consists of
twelve (12) series, each of which represents a separate series of beneficial interest in the Trust. The Declaration of Trust permits the Board of Trustees of the Trust (the “Board”) to authorize the issuance of an unlimited number of
shares of beneficial interest with no par value. The financial statements herein relate only to the SPDR Blackstone / GSO Senior Loan ETF(the “Fund”).
The Fund is classified as a diversified investment
company under the 1940 Act.
The Fund is part
of a master-feeder structure and invests substantially all of its assets in the Blackstone / GSO Senior Loan Portfolio (the “Portfolio”), a series of SSGA Master Trust (“Master Trust”). The value of the Fund's investment in
the Portfolio reflects the Fund's proportionate interest in net assets of the Portfolio (100.00% at December 31, 2018). The performance of the Fund is directly affected by the performance of the Portfolio. The financial statements of the Portfolio,
including its Schedule of Investments, are attached to this report and should be read in conjunction with the Fund's financial statements.
Under the Trust’s organizational documents,
its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust. Additionally, in the normal course of business, the Trust enters into contracts with service providers that contain
general indemnification clauses. The Trust’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Trust that have not yet occurred.
2. Summary of Significant
Accounting Policies
The following is a summary
of significant accounting policies followed by the Trust in the preparation of its financial statements:
The preparation of financial statements in
accordance with U.S. generally accepted accounting principles (“U.S. GAAP”) requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ
from those estimates. The Fund is an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies.
SSGA ACTIVE TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
December 31, 2018 (Unaudited)
Security Valuation
The Fund records its investment in the Portfolio at
fair value (net asset value) each business day. The valuation policy of the Portfolio is discussed in Note 2 of the Portfolio's Notes to Financial Statements, which are attached to this report.
The Portfolio's investments are valued at fair value
each day that the New York Stock Exchange (“NYSE”) is open and, for financial reporting purposes, as of the report date should the reporting period end on a day that the NYSE is not open. Fair value is generally defined as the price a
fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. By its nature, a fair value price is a good faith estimate of the valuation in a current sale and may
not reflect an actual market price. The investments of the Fund are valued pursuant to the policy and procedures developed by the Oversight Committee (the “Committee”) and approved by the Board. The Committee provides oversight of the
valuation of investments for the Fund. The Board has responsibility for overseeing the determination of the fair value of investments.
Investment Transactions and Income Recognition
Investment transactions are accounted for on the
trade date for financial reporting purposes. Realized gains and losses from security transactions consist of the Fund’s pro-rata share of its Portfolio’s realized gains and losses. Net investment income consists of the Fund’s
pro-rata share of the net investment income of its Portfolio less expenses of the Fund.
Expenses
Certain expenses, which are directly identifiable to
a specific Fund, are applied to that Fund within the Trust. Other expenses which cannot be attributed to a specific Fund are allocated in such a manner as deemed equitable, taking into consideration the nature and type of expense and the relative
net assets of the Fund within the Trust. Class specific expenses are borne by each class.
The Fund is allocated a pro-rata share of the
expenses of its Portfolio.
Equalization
The Fund follows the accounting practice known as
“Equalization” by which a portion of the proceeds from sales and costs of reacquiring Fund shares, equivalent on a per share basis to the amount of distributable net investment income on the date of the transaction, is credited or
charged to undistributed net investment income. As a result, undistributed net investment income per share is unaffected by sales or reacquisition of
SSGA ACTIVE TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
December 31, 2018 (Unaudited)
Fund shares. Amounts related to Equalization can be found on the
Statements of Changes in Net Assets.
Distributions
Distributions from net investment income, if any,
are declared and paid monthly. Net realized capital gains, if any, are distributed annually. Dividends may be declared and paid more frequently or at any other times to improve Index tracking or to comply with the distribution requirements of the
Internal Revenue Code of 1986, as amended (the “Internal Revenue Code”). The amount and character of income and capital gains to be distributed are determined in accordance with applicable tax regulations which may differ from net
investment income and realized gains recognized for U.S. GAAP purposes.
3. Fees and Transactions with
Affiliates
Advisory Fee
The Trust, on behalf of the Fund, has entered into
an Investment Advisory Agreement with SSGA Funds Management, Inc.(the “Adviser” or “SSGA FM”). For its advisory services to the Fund, facilities furnished, and expenses borne by the Adviser, the Fund pays the Adviser a fee
accrued daily and paid monthly, based on a percentage of the Fund’s average daily net assets as shown in the following table:
|
Annual
Rate |
SPDR Blackstone / GSO Senior Loan
ETF
|
0.70%
|
The Adviser pays all
expenses of the Fund other than management fee, brokerage expenses, taxes, interest, fees and expenses of the Trust’s Independent Trustees (including any Trustees’ counsel fees), acquired fund fees and expenses, litigation expenses and
other extraordinary expenses.
Administrator,
Custodian, Sub-Administrator and Transfer Agent Fees
SSGA FM serves as administrator and State Street
Bank and Trust Company (“State Street”), an affiliate of the Adviser, serves as custodian, sub-administrator and transfer agent. State Street receives fees for its services as custodian, sub-administrator and transfer agent from the
Adviser.
SSGA ACTIVE TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
December 31, 2018 (Unaudited)
Distributor
State Street Global Advisors Funds Distributors, LLC
(“SSGA FD” or the “Distributor”), an affiliate of the Adviser, serves as the distributor of the Trust.
Other Transactions with Affiliates
The Fund may invest in affiliated entities,
including securities issued by State Street Corporation, affiliated funds, or entities deemed to be affiliates as a result of the Fund owning more than five percent of the entity’s voting securities or outstanding shares. Amounts relating to
these transactions during the period ended December 31, 2018, are disclosed in the Statement of Assets and Liabilities.
4. Trustees’ Fees
The fees and expenses of the Trust’s trustees,
who are not “interested persons” of the Trust, as defined in the 1940 Act (“Independent Trustees”), are paid directly by the Fund. The Independent Trustees are reimbursed for travel and other out-of-pocket expenses in
connection with meeting attendance and industry seminars.
5. Shareholder
Transactions
The Fund issues and redeems its
shares, at Net Asset Value (“NAV”), only in aggregations of a specified number of shares or multiples thereof (“Creation Units”). Except when aggregated in Creation Units, shares of the Fund are not redeemable. Transactions
in capital shares for the Fund are disclosed in detail in the Statement of Changes in Net Assets.
The consideration for the purchase of Creation Units
of the Fund may consist of the in-kind deposit of a designated portfolio of securities and a specified amount of cash. Investors purchasing and redeeming Creation Units may pay a purchase transaction fee and a redemption transaction fee directly to
the Trust and/or custodian, to offset transfer and other transaction costs associated with the issuance and redemption of Creation Units, including Creation Units for cash. An additional variable fee may be charged for certain transactions. Such
variable charges, if any, are included in “Other Capital” on the Statement of Changes on Net Assets.
6. Income Tax Information
The Fund has qualified and intends to continue to
qualify as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended. The Fund will not be subject to federal income taxes to the extent it distributes its taxable
SSGA ACTIVE TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
December 31, 2018 (Unaudited)
income, including any net realized capital gains, for each fiscal
year. Therefore, no provision for federal income tax is required.
The Fund files federal and various state and local
tax returns as required. No income tax returns are currently under examination. Generally, the federal returns are subject to examination by the Internal Revenue Service for a period of three years from date of filing, while the state returns may
remain open for an additional year depending upon jurisdiction. As of June 30, 2018, SSGA FM has analyzed the Fund’s tax positions taken on tax returns for all open years and does not believe there are any uncertain tax positions that would
require recognition of a tax liability.
Distributions to shareholders are recorded on
ex-dividend date. Income dividends and gain distributions are determined in accordance with income tax rules and regulations, which may differ from generally accepted accounting principles.
As of December 31, 2018, gross unrealized
appreciation and gross unrealized depreciation of investments and other financial instruments based on cost for federal income tax purposes were as follows:
|
Tax
Cost |
|
Gross
Unrealized Appreciation |
|
Gross
Unrealized Depreciation |
|
Net
Unrealized Appreciation (Depreciation) |
SPDR Blackstone / GSO Senior Loan
ETF
|
$2,281,057,617
|
|
$—
|
|
$88,008,750
|
|
$(88,008,750)
|
7. New Accounting
Pronouncements
In August 2018, the U.S.
Securities and Exchange Commission (the “SEC”) released its Final Rule on Disclosure Update and Simplification (the “Final Rule”) which is intended to simplify an issuer’s disclosure compliance efforts by removing
redundant or outdated disclosure requirements without significantly altering the mix of information provided to investors. The Fund has adopted the Final Rule for the current period with the most notable impacts being that the Fund are no longer
required to present components of distributable earnings on the Statement of Assets and Liabilities or the sources of distributions to shareholders and the amount of undistributed net investment income on the Statements of Changes in Net
Assets.
For the period ended June 30, 2018,
distributions to shareholders and undistributed (distributions in excess of) net investment income were as follows:
SSGA ACTIVE TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
December 31, 2018 (Unaudited)
|
Net
Investment Income |
|
Net
Realized Capital Gains |
|
Total
Distributions |
|
Undistributed
Net Investment Income (Loss) |
|
SPDR Blackstone / GSO Senior Loan
ETF
|
$
97,740,250 |
|
$—
|
|
$
97,740,250 |
|
$
8,406,201 |
|
8. Subsequent Events
Management has evaluated the impact of all
subsequent events on the Fund through the date the financial statements were issued and has determined that there were no subsequent events requiring adjustment or disclosure in the financial statements.
SSGA ACTIVE TRUST
OTHER INFORMATION
December 31, 2018 (Unaudited)
Expense Example
As a shareholder of the Fund, you incur two types of
costs: (1) transaction costs, including sales charges (loads), if applicable, on purchase payments, reinvested dividends, or other distributions and (2) ongoing costs, including advisory fees and other Fund expenses. This example is intended to help
you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. It is based on an investment of $1,000 made at the beginning of the period shown and held
for the entire period from July 1, 2018 to December 31, 2018.
The table below illustrates your Fund's cost in two
ways:
Based on actual fund return ——This section helps you to estimate the actual expenses that you paid over the period. The “Ending Account Value” shown is derived from the Fund's actual return, and the third column shows the
dollar amount that would have been paid by an investor who started with $1,000 in the Fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your
account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for the Fund under the heading “Expenses Paid During Period”.
Based on hypothetical 5% return ——This section is intended to help you compare your Fund's costs with those of other mutual funds. It assumes that the Fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged.
In this case, because the return used is not the Fund's actual return, the results do not apply to your investment. The example is useful in making comparisons because the SEC requires all mutual funds to calculate expenses based on a 5% return. You
can assess your Fund's costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.
Please note that the expenses shown in the table are
meant to highlight your ongoing costs only and do not reflect any transaction costs, such as sales load charges (loads). Therefore, the hypothetical 5% return section of the table is useful in comparing ongoing costs only, and will not help you
determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher.
SSGA ACTIVE TRUST
OTHER INFORMATION (continued)
December 31, 2018 (Unaudited)
|
SPDR
Blackstone / GSO Senior Loan ETF (a) |
Annualized Expense
Ratio
|
0.70%
|
Actual:
|
|
Ending Account
Value
|
$
983.30 |
Expenses Paid During
Period(b)
|
3.50
|
Hypothetical
(assuming a 5% return before expenses): |
|
Ending Account
Value
|
1,021.70
|
Expenses Paid During
Period(b)
|
3.57
|
(a)
|
Because
the Fund invests all of its assets in its respective Master Portfolio, the expense example reflects the net expenses of both the Fund and the Master Portfolio in which it invest. |
(b)
|
Expenses
are equal to the Fund's annualized net expense ratio multiplied by the average account value of the period, multiplied by 184, then divided by 365. |
Premium/Discount Information
Information regarding how often the Shares of the
Fund traded on the exchange at a price above (i.e., at a premium) or below (i.e., at a discount) the NAV of the Fund during the past calendar year can be found at www.spdrs.com.
Proxy Voting Policies and Procedures and Records
A description of the Trust’s proxy voting
policies and procedures that are used by the Fund's investment adviser to vote proxies relating to the Fund's portfolio of securities are available (i) without charge, upon request by calling 1-866-787-2257 (toll free) or (ii) on the SEC's website
at www.sec.gov.
Information regarding how the investment adviser
voted for the prior 12-month period ended June 30, is available by August 31 of each year by calling the same number and on the SEC’s website at www.sec.gov, and on the Fund's website at www.spdrs.com.
Quarterly Portfolio Schedule
The Fund files a complete schedule of investments
with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Fund’s Forms N-Q are available on the SEC’s website at www.sec.gov. The information on the Form N-Q is available
upon request, without charge, by calling 1-866-787-2257 (toll free) and on the Fund’s website at www.spdrs.com.
Trustees
Bonny E. Boatman
Dwight D. Churchill
Frank Nesvet, Chairman
Clare S. Richer
James E. Ross
Sandra G. Sponem
Carl G. Verboncoeur
Investment Manager and Administrator
SSGA Funds Management, Inc.
One Iron Street
Boston, MA
02210
Distributor
State Street Global Advisors Funds Distributors, LLC
One
Iron Street
Boston, MA 02210
Custodian, Sub-Administrator and Transfer Agent
State Street Bank and Trust Company
One Lincoln Street
Boston, MA 02111
Legal Counsel
Morgan, Lewis & Bockius LLP
1111 Pennsylvania Avenue,
NW
Washington, DC 20004
Independent Registered Public
Accounting Firm
Ernst & Young LLP
200 Clarendon
Street
Boston, MA 02116
The information contained in this report is intended
for the general information of shareholders of the Trust. This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current Trust prospectus which contains important information concerning the Trust.
You may obtain a current prospectus and SAI from the Distributor by calling 1-866-787-2257 or visiting www.spdrs.com. Please read the prospectus carefully before you invest.
Semi-Annual Report
December 31, 2018
SSGA Master Trust
Blackstone
/ GSO Senior Loan Portfolio |
The
information contained in this report is intended for the general information of shareholders of the Trust. This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current Trust prospectus which
contains important information concerning the Trust. You may obtain a current prospectus and SAI from the Distributor by calling 1-866-787-2257 or visiting www.spdrs.com. Please read the prospectus carefully before you invest.
[This Page Intentionally Left Blank]
TABLE OF CONTENTS (Unaudited)
The information contained in this report is intended
for the general information of shareholders of the Trust. This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current Trust prospectus which contains important information concerning the Trust.
You may obtain a current prospectus and SAI from the Distributor by calling 1-866-787-2257 or visiting www.spdrs.com. Please read the prospectus carefully before you invest.
Blackstone / GSO Senior Loan Portfolio
Portfolio Statistics (Unaudited)
Top Five Holdings as of December 31,
2018
|
|
|
|
|
Description
|
%
of Net Assets |
|
|
CenturyLink
Escrow LLC Senior Secured 2017 Term Loan B 5.27% 1/31/2025 |
1.7%
|
|
|
Delta
2 (LUX) S.A.R.L. Senior Secured 2018 USD Term Loan 5.02% 2/1/2024 |
1.4
|
|
|
Scientific
Games International, Inc. Senior Secured 2018 Term Loan B5 5.27% 8/14/2024 |
1.4
|
|
|
Hub
International, Ltd. Senior Secured 2018 Term Loan B 5.24% 4/25/2025 |
1.3
|
|
|
Allied
Universal Holdco LLC Senior Secured 2015 Term Loan 6.27% 7/28/2022 |
1.3
|
|
|
TOTAL
|
7.1%
|
|
(The five largest holdings are subject to
change, and there are no guarantees the Portfolio will continue to remain invested in any particular company.)
Industry Breakdown as of December 31,
2018
|
|
|
|
|
|
%
of Net Assets |
|
|
Commercial
Services & Supplies |
10.4%
|
|
|
Software
|
10.1
|
|
|
Health
Care Providers & Services |
7.2
|
|
|
Media
|
5.7
|
|
|
Insurance
|
5.1
|
|
|
Hotels,
Restaurants & Leisure |
4.3
|
|
|
Pharmaceuticals
|
3.8
|
|
|
Specialty
Retail |
2.6
|
|
|
Diversified
Telecommunication Services |
2.5
|
|
|
Aerospace
& Defense |
2.5
|
|
|
Diversified
Financial Services |
2.2
|
|
|
IT
Services |
1.9
|
|
|
Chemicals
|
1.9
|
|
|
Containers
& Packaging |
1.6
|
|
|
Retail-Restaurants
|
1.6
|
|
|
Interactive
Media & Services |
1.5
|
|
|
Machinery
|
1.4
|
|
|
Health
Care Equipment & Supplies |
1.1
|
|
|
Life
Sciences Tools & Services |
1.1
|
|
|
Capital
Markets |
1.0
|
|
|
Building
Products |
0.9
|
|
|
Electronic
Equipment, Instruments & Components |
0.9
|
|
|
Auto
Components |
0.9
|
|
|
Oil,
Gas & Consumable Fuels |
0.8
|
|
|
Multiline
Retail |
0.7
|
|
|
Computer
Services |
0.7
|
|
|
Professional
Services |
0.6
|
|
See accompanying notes to financial statements.
1
Blackstone / GSO Senior Loan Portfolio
Portfolio Statistics (Unaudited) (continued)
|
|
|
|
|
|
%
of Net Assets |
|
|
Food
& Staples Retailing |
0.6%
|
|
|
Health
Care Technology |
0.6
|
|
|
Semiconductor
Equipment |
0.6
|
|
|
Internet
& Catalog Retail |
0.6
|
|
|
Machinery-Constr&Mining
|
0.6
|
|
|
Recycling
|
0.6
|
|
|
Construction
& Engineering |
0.5
|
|
|
Construction
Materials |
0.5
|
|
|
Paper&Related
Products |
0.5
|
|
|
Advertising
Services |
0.5
|
|
|
Semiconductors
& Semiconductor Equipment |
0.4
|
|
|
Distributors
|
0.4
|
|
|
Pollution
Control |
0.4
|
|
|
Communications
Equipment |
0.4
|
|
|
Computers
& Peripherals |
0.4
|
|
|
Food
Products |
0.3
|
|
|
Financial
Services |
0.3
|
|
|
Household
Products |
0.3
|
|
|
Road
& Rail |
0.2
|
|
|
Thrifts
& Mortgage Finance |
0.2
|
|
|
Diagnostic
Equipment |
0.2
|
|
|
Energy
Equipment & Services |
0.1
|
|
|
Metals
& Mining |
0.1
|
|
|
Electrical
Equipment |
0.1
|
|
|
Telecom
Services |
0.1
|
|
|
Telecommunication
Equip |
0.1
|
|
|
Entertainment
|
0.1
|
|
|
Electric
Utilities |
0.0
|
|
|
Diversified
Consumer Services |
0.0
|
|
|
Oil-Field
Services |
0.0
|
|
|
Containers-Paper/Plastic
|
0.0
|
|
|
Food
& Beverage |
0.0
|
|
|
Short-Term
Investment |
13.0
|
|
|
Other
Assets in Excess of Liabilities |
2.3
|
|
|
TOTAL
|
100.0%
|
|
(The Portfolio's industry breakdown is
expressed as a percentage of net assets and may change over time.)
See accompanying notes to financial statements.
2
BLACKSTONE / GSO SENIOR LOAN PORTFOLIO
SCHEDULE OF INVESTMENTS
December 31, 2018 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
SENIOR
FLOATING RATE LOANS — 82.4% (a) |
|
|
|
|
|
ADVERTISING
SERVICES — 0.5% |
|
|
|
|
|
AppLovin Corp. Senior Secured 2018 Term Loan B, 3 Month USD LIBOR + 3.75%, 6.27%,
8/15/2025
|
|
|
$
1,804,124 |
|
$
1,777,062 |
Red Ventures LLC Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 3.00%, 5.52%,
11/8/2024
|
|
|
9,863,713
|
|
9,419,846
|
|
|
|
|
|
11,196,908
|
AEROSPACE
& DEFENSE — 2.5% |
|
|
|
|
|
DAE Aviation Holdings, Inc. Senior Secured 1st Lien Term Loan, 1 Month USD LIBOR + 3.75%, 6.27%,
7/7/2022
|
|
|
2,521,933
|
|
2,498,681
|
MacDonald Dettwiler & Associates, Ltd. Senior Secured Term Loan B, 1 Month USD LIBOR + 2.75%, 5.27%,
10/4/2024
|
|
|
16,101,301
|
|
14,853,450
|
TransDigm,
Inc.: |
|
|
|
|
|
Senior Secured 2018 Term Loan E, 1 Month USD LIBOR + 2.50%, 5.02%,
5/30/2025
|
|
|
25,202,735
|
|
23,852,120
|
Senior Secured 2018 Term Loan F, 1 Month USD LIBOR + 2.50%, 5.02%,
6/9/2023
|
|
|
15,374,884
|
|
14,548,484
|
|
|
|
|
|
55,752,735
|
AUTO
COMPONENTS — 0.9% |
|
|
|
|
|
USI, Inc. Senior Secured 2017 Repriced Term Loan, 3 Month USD LIBOR + 3.00%, 5.80%,
5/16/2024
|
|
|
21,944,525
|
|
20,765,007
|
BUILDING
PRODUCTS — 0.9% |
|
|
|
|
|
AZEK Co. LLC Senior Secured 2017 Term Loan, 6 Month USD LIBOR + 3.75%, 6.63%,
5/5/2024
|
|
|
1,984,848
|
|
1,910,417
|
Builders FirstSource, Inc. Senior Secured 2017 Term Loan B, 3 Month USD LIBOR + 3.00%, 5.80%,
2/29/2024
|
|
|
1,907,170
|
|
1,795,467
|
See accompanying notes to financial statements.
3
BLACKSTONE / GSO SENIOR LOAN PORTFOLIO
SCHEDULE OF
INVESTMENTS (continued)
December 31, 2018 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
SRS Distribution, Inc. Senior Secured 2018 1st Lien Term Loan, 3 Month USD LIBOR + 3.25%, 5.77%,
5/23/2025
|
|
|
$
16,685,455 |
|
$
15,613,998 |
|
|
|
|
|
19,319,882
|
CAPITAL
MARKETS — 1.0% |
|
|
|
|
|
AqGen Ascensus, Inc. Senior Secured 2017 Repriced Term Loan, 6.12%,
12/3/2022
|
|
|
2,322,120
|
|
2,316,315
|
Duff & Phelps Corp. Senior Secured 2017 Term Loan B, 1 Month USD LIBOR + 3.25%, 5.77%,
2/13/2025
|
|
|
18,591,875
|
|
17,654,566
|
Victory Capital Holdings, Inc. Senior Secured 2018 Term Loan B, 3 Month USD LIBOR + 2.75%, 5.55%,
2/12/2025
|
|
|
935,011
|
|
926,829
|
|
|
|
|
|
20,897,710
|
CHEMICALS
— 1.9% |
|
|
|
|
|
Alpha 3 B.V. Senior Secured 2017 Term Loan B1, 3 Month USD LIBOR + 3.00%, 5.80%,
1/31/2024
|
|
|
4,290,040
|
|
4,094,844
|
Avantor, Inc. Senior Secured 2017 1st Lien Term Loan, 1 Month USD LIBOR + 4.00%, 6.57%,
11/21/2024
|
|
|
1,881,046
|
|
1,828,142
|
Composite Resins Holding B.V. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 4.25%, 6.83%,
8/1/2025
|
|
|
14,925,000
|
|
14,589,187
|
LTI Holdings, Inc. Senior Secured 2018 Add On 1st Lien Term Loan, 1 Month USD LIBOR + 3.50%, 6.02%,
9/6/2025
|
|
|
11,195,083
|
|
10,570,061
|
Starfruit Finco B.V. Senior Secured 2018 USD Term Loan B, 1 Month USD LIBOR + 3.25%, 5.75%,
10/1/2025
|
|
|
6,985,075
|
|
6,705,672
|
See accompanying notes to financial statements.
4
BLACKSTONE / GSO SENIOR LOAN PORTFOLIO
SCHEDULE OF
INVESTMENTS (continued)
December 31, 2018 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
Vantage Specialty Chemicals, Inc. Senior Secured 2017 1st Lien Term Loan, 3 Month USD LIBOR + 4.00%, 6.00%,
10/28/2024
|
|
|
$
3,464,507 |
|
$
3,351,910 |
|
|
|
|
|
41,139,816
|
COMMERCIAL
SERVICES & SUPPLIES — 10.3% |
|
|
|
|
|
Allied
Universal Holdco LLC: |
|
|
|
|
|
Senior Secured 2015 Term Loan, 3 Month USD LIBOR + 3.75%, 6.27%,
7/28/2022
|
|
|
30,939,622
|
|
29,439,050
|
Senior Secured Incremental Term Loan, 1 Month USD LIBOR + 4.25%, 6.77%,
7/28/2022
|
|
|
2,092,199
|
|
2,003,280
|
Ancestry.com Operations, Inc. Senior Secured 2017 1st Lien Term Loan, 1 Month USD LIBOR + 3.25%, 5.78%,
10/19/2023
|
|
|
3,603,564
|
|
3,454,917
|
APX Group, Inc. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 5.00%, 7.50%,
4/1/2024
|
|
|
4,275,017
|
|
4,166,346
|
Asurion
LLC: |
|
|
|
|
|
Senior Secured 2017 2nd Lien Term Loan, 1 Month USD LIBOR + 6.50%, 9.02%,
8/4/2025
|
|
|
21,082,345
|
|
20,911,156
|
Senior Secured 2017 Term Loan B4, 1 Month USD LIBOR + 3.00%, 5.52%,
8/4/2022
|
|
|
4,580,659
|
|
4,413,786
|
Senior Secured 2018 Term Loan B6, 1 Month USD LIBOR + 3.00%, 5.52%,
11/3/2023
|
|
|
1,648,131
|
|
1,584,266
|
Senior Secured 2018 Term Loan B7, 1 Month USD LIBOR + 3.00%, 5.52%,
11/3/2024
|
|
|
7,134,244
|
|
6,846,663
|
Cast and Crew Payroll LLC Senior Secured 2017 1st Lien Term Loan B, 1 Month USD LIBOR + 2.50%, 5.03%,
9/27/2024
|
|
|
498,737
|
|
496,166
|
Comet Acquisition, Inc. Senior Secured Term Loan, 1 Month USD LIBOR + 3.50%, 6.28%,
10/24/2025
|
|
|
4,090,909
|
|
4,024,432
|
Equian LLC Senior Secured Add on Term Loan B, 1 Month USD LIBOR + 3.25%, 5.76%,
5/20/2024
|
|
|
4,381,745
|
|
4,252,484
|
GFL Environmental, Inc. Senior Secured 2018 USD Term Loan B, 3 Month USD LIBOR + 2.75%, 5.52%,
5/30/2025
|
|
|
26,702,761
|
|
24,980,433
|
See accompanying notes to financial statements.
5
BLACKSTONE / GSO SENIOR LOAN PORTFOLIO
SCHEDULE OF
INVESTMENTS (continued)
December 31, 2018 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
KUEHG Corp. Senior Secured 2018 Incremental Term Loan, 1 Month USD LIBOR + 3.75%, 6.55%,
2/21/2025
|
|
|
$
4,866,568 |
|
$
4,690,179 |
Learning Care Group, Inc. Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 3.25%, 5.76%,
3/13/2025
|
|
|
10,036,517
|
|
9,660,148
|
Lineage Logistics Holdings LLC Senior Secured 2018 Term Loan, 1 Month USD LIBOR + 3.00%, 5.52%,
2/27/2025
|
|
|
21,478,973
|
|
20,431,873
|
Packers Holdings LLC Senior Secured 2017 Term Loan B, 1 Month USD LIBOR + 3.25%, 5.51%,
12/4/2024
|
|
|
7,832,278
|
|
7,597,310
|
Prime Security Services Borrower LLC Senior Secured 2016 1st Lien Term Loan, 1 Month USD LIBOR + 2.75%, 5.27%,
5/2/2022
|
|
|
29,713,359
|
|
28,413,400
|
Prometric Holdings, Inc. Senior Secured 1st Lien Term Loan, 1 Month USD LIBOR + 3.00%, 5.53%,
1/29/2025
|
|
|
905,187
|
|
874,637
|
Southern Graphics, Inc. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 3.25%, 5.75%,
12/31/2022
|
|
|
18,718,454
|
|
17,657,679
|
SSH Group Holdings, Inc. Senior Secured 2018 1st Lien Term Loan, 3 Month USD LIBOR + 4.25%, 6.77%,
7/30/2025
|
|
|
3,398,889
|
|
3,271,431
|
TruGreen, Ltd. Partnership Senior Secured 2017 Term Loan, 1 Month USD LIBOR + 4.00%, 6.51%,
4/13/2023
|
|
|
726,994
|
|
721,541
|
Verscend Holding Corp. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 4.50%, 7.02%,
8/27/2025
|
|
|
21,820,312
|
|
21,165,703
|
VT
Buyer Acquisition Corp.: |
|
|
|
|
|
Senior Secured 2018 1st Lien Term Loan, 3 Month USD LIBOR + 3.75%, 6.55%,
8/1/2025
|
|
|
3,433,256
|
|
3,395,713
|
Senior Secured 2018 Delayed Draw Term Loan, 3 Month USD LIBOR + 3.75%, 6.55%,
8/1/2025
|
|
|
432,054
|
|
427,329
|
|
|
|
|
|
224,879,922
|
See accompanying notes to financial statements.
6
BLACKSTONE / GSO SENIOR LOAN PORTFOLIO
SCHEDULE OF
INVESTMENTS (continued)
December 31, 2018 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
COMMUNICATIONS
EQUIPMENT — 0.4% |
|
|
|
|
|
Riverbed Technology, Inc. Senior Secured 2016 Term Loan, 1 Month USD LIBOR + 3.25%, 5.78%,
4/24/2022
|
|
|
$
8,929,257 |
|
$
8,446,095 |
COMPUTER
SERVICES — 0.7% |
|
|
|
|
|
Genuine Financial Holdings LLC Senior Secured 2018 1st Lien Term Loan, 3 Month USD LIBOR + 3.75%, 6.55%,
7/12/2025
|
|
|
16,196,428
|
|
15,649,798
|
COMPUTERS
& PERIPHERALS — 0.4% |
|
|
|
|
|
TierPoint LLC Senior Secured 2017 1st Lien Term Loan, 1 Month USD LIBOR + 3.75%, 6.27%,
5/6/2024
|
|
|
10,166,696
|
|
9,531,277
|
CONSTRUCTION
& ENGINEERING — 0.5% |
|
|
|
|
|
CNT Holdings III Corp. Senior Secured 2017 Term Loan, 1 Month USD LIBOR + 3.25%, 5.78%,
1/22/2023
|
|
|
4,937,028
|
|
4,764,232
|
Minimax GmbH & Co. KG Senior Secured 2018 USD Term Loan B1C, 1 Month USD LIBOR + 3.00%, 5.52%,
7/31/2025
|
|
|
1,999,868
|
|
1,944,871
|
Pike Corp. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 3.50%, 6.03%,
3/23/2025
|
|
|
3,608,836
|
|
3,543,426
|
|
|
|
|
|
10,252,529
|
CONSTRUCTION
MATERIALS — 0.5% |
|
|
|
|
|
Forterra Finance, Inc. Senior Secured 2017 Term Loan B, 1 Month USD LIBOR + 3.00%, 5.52%,
10/25/2023
|
|
|
1,712,045
|
|
1,552,457
|
Quikrete Holdings, Inc. Senior Secured 2016 1st Lien Term Loan, 1 Month USD LIBOR + 2.75%, 5.27%,
11/15/2023
|
|
|
10,000,000
|
|
9,556,300
|
Traverse Midstream Partners LLC Senior Secured 2017 Term Loan, 6 Month USD LIBOR + 4.00%, 6.60%,
9/27/2024
|
|
|
881,373
|
|
848,321
|
|
|
|
|
|
11,957,078
|
See accompanying notes to financial statements.
7
BLACKSTONE / GSO SENIOR LOAN PORTFOLIO
SCHEDULE OF
INVESTMENTS (continued)
December 31, 2018 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
CONTAINERS
& PACKAGING — 1.6% |
|
|
|
|
|
Berlin Packaging LLC Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 3.00%, 5.52%,
11/7/2025
|
|
|
$
4,607,174 |
|
$
4,353,780 |
Reynolds Group Holdings, Inc. Senior Secured USD 2017 Term Loan, 1 Month USD LIBOR + 2.75%, 5.27%,
2/5/2023
|
|
|
25,168,016
|
|
24,062,385
|
Trident TPI Holdings, Inc. Senior Secured 2017 USD Term Loan B1, 1 Month USD LIBOR + 3.25%, 5.77%,
10/17/2024
|
|
|
7,652,219
|
|
7,221,782
|
|
|
|
|
|
35,637,947
|
DIAGNOSTIC
EQUIPMENT — 0.2% |
|
|
|
|
|
Lifescan Global Corp. Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 6.00%, 8.80%,
9/27/2024
|
|
|
4,389,000
|
|
4,158,577
|
DISTRIBUTORS
— 0.3% |
|
|
|
|
|
Explorer Holdings, Inc. Senior Secured 2016 Term Loan B, 3 Month USD LIBOR + 3.75%, 6.55%,
5/2/2023
|
|
|
5,482,777
|
|
5,316,018
|
Spin Holdco Inc. Senior Secured 2017 Term Loan B, 1 Month USD LIBOR + 3.25%, 6.03%,
11/14/2022
|
|
|
2,493,671
|
|
2,386,443
|
|
|
|
|
|
7,702,461
|
DIVERSIFIED
CONSUMER SERVICES — 0.0% (b) |
|
|
|
|
|
Weight Watchers International, Inc. Senior Secured 2017 Term Loan B, 3 Month USD LIBOR + 4.75%, 7.56%,
11/29/2024
|
|
|
937,662
|
|
929,458
|
DIVERSIFIED
FINANCIAL SERVICES — 2.1% |
|
|
|
|
|
Edelman
Financial Center LLC: |
|
|
|
|
|
Senior Secured 2018 1st Lien Term Loan, 5.69%,
7/21/2025
|
|
|
12,012,578
|
|
11,609,256
|
Senior Secured 2018 2nd Lien Term Loan, 3 Month USD LIBOR + 6.75%, 9.54%,
7/20/2026
|
|
|
5,769,231
|
|
5,509,615
|
See accompanying notes to financial statements.
8
BLACKSTONE / GSO SENIOR LOAN PORTFOLIO
SCHEDULE OF
INVESTMENTS (continued)
December 31, 2018 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
IG Investment Holdings LLC Senior Secured 2018 1st Lien Term Loan, 3 Month USD LIBOR + 3.50%, 6.30%,
5/23/2025
|
|
|
$
2,218,581 |
|
$
2,166,445 |
LDiscovery LLC Senior Secured Term Loan, 1 Month USD LIBOR + 5.88%, 8.49%,
12/9/2022
|
|
|
3,290,043
|
|
2,985,714
|
UFC Holdings LLC Senior Secured 1st Lien Term Loan, 1 Month USD LIBOR + 3.25%, 5.78%,
8/18/2023
|
|
|
449,531
|
|
439,192
|
William Morris Endeavor Entertainment LLC Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 2.75%, 5.28%,
5/18/2025
|
|
|
24,260,181
|
|
22,402,821
|
|
|
|
|
|
45,113,043
|
DIVERSIFIED
TELECOMMUNICATION SERVICES — 2.5% |
|
|
|
|
|
CenturyLink Escrow LLC Senior Secured 2017 Term Loan B, 1 Month USD LIBOR + 2.75%, 5.27%,
1/31/2025
|
|
|
38,923,071
|
|
36,451,456
|
Consolidated Communications, Inc. Senior Secured 2016 Term Loan B, 1 Month USD LIBOR + 3.00%, 5.53%,
10/4/2023
|
|
|
10,040,220
|
|
9,431,532
|
Hargray Communications Group, Inc. Senior Secured 2017 Term Loan B, 1 Month USD LIBOR + 3.00%, 5.52%,
5/16/2024
|
|
|
4,401,329
|
|
4,258,286
|
Intelsat Jackson Holdings S.A. Senior Secured 2017 Term Loan B3, 1 Month USD LIBOR + 3.75%, 6.26%,
11/27/2023
|
|
|
1,000,000
|
|
972,590
|
Telesat Canada Senior Secured Term Loan B4, 3 Month USD LIBOR + 2.50%, 5.31%,
11/17/2023
|
|
|
2,961,760
|
|
2,815,152
|
|
|
|
|
|
53,929,016
|
ELECTRIC
UTILITIES — 0.0% (b) |
|
|
|
|
|
TEX Operations Co. LLC Senior Secured Exit Term Loan B, 1 Month USD LIBOR + 2.00%, 4.52%,
8/4/2023
|
|
|
524,886
|
|
507,316
|
See accompanying notes to financial statements.
9
BLACKSTONE / GSO SENIOR LOAN PORTFOLIO
SCHEDULE OF
INVESTMENTS (continued)
December 31, 2018 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
ELECTRICAL
EQUIPMENT — 0.1% |
|
|
|
|
|
EXC Holdings III Corp. Senior Secured USD 2017 1st Lien Term Loan, 3 Month USD LIBOR + 3.50%, 6.30%,
12/2/2024
|
|
|
$
2,304,742 |
|
$
2,229,838 |
ELECTRONIC
EQUIPMENT, INSTRUMENTS & COMPONENTS — 0.9% |
|
|
|
|
|
CPI International, Inc. Senior Secured 2017 1st Lien Term Loan, 1 Month USD LIBOR + 3.50%, 6.01%,
7/26/2024
|
|
|
9,607,894
|
|
9,335,654
|
GrafTech Finance, Inc. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 3.50%, 6.02%,
2/12/2025
|
|
|
10,625,945
|
|
10,081,365
|
TTM Technologies, Inc. Senior Secured 2017 Term Loan, 1 Month USD LIBOR + 2.50%, 5.02%,
9/28/2024
|
|
|
1,451,703
|
|
1,375,489
|
|
|
|
|
|
20,792,508
|
ENERGY
EQUIPMENT & SERVICES — 0.1% |
|
|
|
|
|
BCP Renaissance Parent LLC Senior Secured 2017 Term Loan B, 3 Month USD LIBOR + 3.50%, 6.03%,
10/31/2024
|
|
|
2,274,286
|
|
2,219,419
|
FINANCIAL
SERVICES — 0.3% |
|
|
|
|
|
AI Alpine AT Bidco GmbH Senior Secured 2018 USD Term Loan B, 1 Month USD LIBOR + 3.25%, 5.81%,
10/31/2025
|
|
|
4,051,095
|
|
3,889,051
|
GTCR Valor Companies, Inc. Senior Secured 2017 Term Loan B1, 3 Month USD LIBOR + 3.25%, 5.55%,
6/16/2023
|
|
|
2,992,036
|
|
2,886,566
|
|
|
|
|
|
6,775,617
|
FOOD
& STAPLES RETAILING — 0.6% |
|
|
|
|
|
Albertsons
LLC: |
|
|
|
|
|
Senior Secured USD 2017 Term Loan B5, 3 Month USD LIBOR + 3.00%, 5.82%,
12/21/2022
|
|
|
2,205,812
|
|
2,124,009
|
Senior Secured USD 2017 Term Loan B6, 3 Month USD LIBOR + 3.00%, 5.69%,
6/22/2023
|
|
|
2,805,194
|
|
2,671,947
|
See accompanying notes to financial statements.
10
BLACKSTONE / GSO SENIOR LOAN PORTFOLIO
SCHEDULE OF
INVESTMENTS (continued)
December 31, 2018 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
Mastronardi Produce, Ltd. Senior Secured Term Loan B, 1 Month USD LIBOR + 3.25%, 5.77%,
5/1/2025
|
|
|
$
2,367,484 |
|
$
2,337,891 |
Smart & Final Stores LLC Senior Secured 1st Lien Term Loan, 1 Month USD LIBOR + 3.50%, 6.02%,
11/15/2022
|
|
|
5,750,000
|
|
5,343,935
|
|
|
|
|
|
12,477,782
|
FOOD
PRODUCTS — 0.3% |
|
|
|
|
|
Dole Food Co., Inc. Senior Secured 2017 Term Loan B, 1 Month USD LIBOR + 2.75%, 5.26%,
4/6/2024
|
|
|
4,683,136
|
|
4,554,350
|
JBS USA LLC Senior Secured 2017 Term Loan B, 3 Month USD LIBOR + 2.50%, 5.30%,
10/30/2022
|
|
|
2,495,504
|
|
2,407,125
|
|
|
|
|
|
6,961,475
|
HEALTH
CARE EQUIPMENT & SUPPLIES — 1.0% |
|
|
|
|
|
Carestream
Health, Inc.: |
|
|
|
|
|
Senior Secured 1st Lien Term Loan, 1 Month USD LIBOR + 5.75%, 8.27%,
2/28/2021
|
|
|
4,323,128
|
|
4,247,473
|
Senior Secured 2nd Lien Term Loan, 1 Month USD LIBOR + 9.50%, 12.02%,
6/7/2021
|
|
|
17,069,077
|
|
16,813,041
|
DJO Finance LLC Senior Secured 2015 Term Loan, 1 Month USD LIBOR + 3.25%, 5.77%,
6/8/2020
|
|
|
11,937
|
|
11,814
|
|
|
|
|
|
21,072,328
|
HEALTH
CARE PROVIDERS & SERVICES — 6.9% |
|
|
|
|
|
ADMI Corp. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 3.25%, 5.52%,
4/30/2025
|
|
|
6,462,211
|
|
6,160,620
|
Air
Medical Group Holdings, Inc.: |
|
|
|
|
|
Senior Secured 2017 Term Loan B2, 1 Month USD LIBOR + 4.25%, 6.75%,
3/14/2025
|
|
|
27,037,361
|
|
25,260,601
|
Senior Secured 2018 Term Loan B1, 1 Month USD LIBOR + 3.25%, 5.76%,
4/28/2022
|
|
|
2,572,172
|
|
2,412,208
|
ATI Holdings Acquisition, Inc. Senior Secured 2016 Term Loan, 1 Month USD LIBOR + 3.50%, 5.96%,
5/10/2023
|
|
|
2,944,730
|
|
2,845,345
|
See accompanying notes to financial statements.
11
BLACKSTONE / GSO SENIOR LOAN PORTFOLIO
SCHEDULE OF
INVESTMENTS (continued)
December 31, 2018 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
Auris Luxembourg III S.A.R.L. Senior Secured 2018 USD Term Loan B, 3.75%,
7/20/2025
|
|
|
$
3,538,461 |
|
$
3,456,652 |
BioClinica, Inc. Senior Secured 1st Lien Term Loan, 3 Month USD LIBOR + 4.25%, 6.75%,
10/20/2023
|
|
|
1,785,263
|
|
1,658,063
|
Certara L.P. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 3.50%, 6.30%,
8/15/2024
|
|
|
1,661,353
|
|
1,630,203
|
CHG Healthcare Services, Inc. Senior Secured 2017 1st Lien Term Loan B, 1 Month USD LIBOR + 3.00%, 5.53%,
6/7/2023
|
|
|
2,168,465
|
|
2,087,147
|
Envision Healthcare Corp. Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 3.75%, 6.27%,
10/10/2025
|
|
|
22,903,226
|
|
21,406,271
|
GHX Ultimate Parent Corp. Senior Secured 2017 1st Lien Term Loan, 3 Month USD LIBOR + 3.25%, 6.06%,
6/28/2024
|
|
|
1,327,770
|
|
1,256,960
|
Heartland Dental LLC Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 3.75%, 6.27%,
4/30/2025
|
|
|
9,287,580
|
|
8,927,687
|
MPH Acquisition Holdings LLC Senior Secured 2016 Term Loan B, 3 Month USD LIBOR + 2.75%, 5.55%,
6/7/2023
|
|
|
9,429,312
|
|
8,964,400
|
National Mentor Holdings, Inc. Senior Secured Term Loan B, 3 Month USD LIBOR + 3.00%, 5.80%,
1/31/2021
|
|
|
2,629,864
|
|
2,597,806
|
Ortho-Clinical Diagnostics, Inc. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 3.25%, 5.76%,
6/30/2025
|
|
|
20,088,788
|
|
18,682,573
|
PharMerica Corp. Senior Secured 1st Lien Term Loan, 1 Month USD LIBOR + 3.50%, 5.96%,
12/6/2024
|
|
|
1,935,126
|
|
1,854,499
|
See accompanying notes to financial statements.
12
BLACKSTONE / GSO SENIOR LOAN PORTFOLIO
SCHEDULE OF
INVESTMENTS (continued)
December 31, 2018 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
PharMerica Corporation Senior Secured 2nd Lien Term Loan, 1 Month USD LIBOR + 7.75%, 10.21%,
12/5/2025
|
|
|
$
4,765,000 |
|
$
4,550,575 |
RegionalCare Hospital Partners Holdings, Inc. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 4.50%, 7.13%,
11/16/2025
|
|
|
1,342,658
|
|
1,277,626
|
Sterigenics-Nordion Holdings LLC Senior Secured 2017 Term Loan, 1 Month USD LIBOR + 3.00%, 5.52%,
5/15/2022
|
|
|
4,987,310
|
|
4,798,191
|
Surgery Center Holdings, Inc. Senior Secured 2017 Term Loan B, 3 Month USD LIBOR + 3.25%, 5.78%,
9/2/2024
|
|
|
6,921,081
|
|
6,613,993
|
Team Health Holdings, Inc. Senior Secured 1st Lien Term Loan, 1 Month USD LIBOR + 2.75%, 5.27%,
2/6/2024
|
|
|
12,604,481
|
|
11,328,277
|
U.S. Anesthesia Partners, Inc. Senior Secured 2017 Term Loan, 1 Month USD LIBOR + 3.00%, 5.52%,
6/23/2024
|
|
|
2,035,650
|
|
1,955,750
|
U.S. Renal Care, Inc. Senior Secured 2015 Term Loan B, 3 Month USD LIBOR + 4.25%, 7.05%,
12/30/2022
|
|
|
12,709,294
|
|
12,140,554
|
|
|
|
|
|
151,866,001
|
HEALTH
CARE TECHNOLOGY — 0.6% |
|
|
|
|
|
Agiliti Health, Inc Senior Secured Term Loan, Zero Coupon,
1/4/2026
|
|
|
2,702,703
|
|
2,621,622
|
Change Healthcare Holdings, Inc. Senior Secured 2017 Term Loan B, 1 Month USD LIBOR + 2.75%, 5.27%,
3/1/2024
|
|
|
7,525,453
|
|
7,161,710
|
Press Ganey Holdings, Inc. Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 2.75%, 5.27%,
10/23/2023
|
|
|
2,516,725
|
|
2,425,494
|
|
|
|
|
|
12,208,826
|
See accompanying notes to financial statements.
13
BLACKSTONE / GSO SENIOR LOAN PORTFOLIO
SCHEDULE OF
INVESTMENTS (continued)
December 31, 2018 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
HOTELS,
RESTAURANTS & LEISURE — 4.3% |
|
|
|
|
|
1011778 BC ULC Senior Secured Term Loan B3, 1 Month USD LIBOR + 2.25%, 4.77%,
2/16/2024
|
|
|
$
347,542 |
|
$
331,756 |
Big Jack Holdings L.P. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 3.25%, 5.78%,
4/5/2024
|
|
|
6,755,874
|
|
6,485,639
|
CEC Entertainment, Inc. Senior Secured Term Loan B, 1 Month USD LIBOR + 3.25%, 5.77%,
2/14/2021
|
|
|
7,478,117
|
|
6,942,198
|
Delta 2 (LUX) S.A.R.L. Senior Secured 2018 USD Term Loan, 1 Month USD LIBOR + 2.50%, 5.02%,
2/1/2024
|
|
|
32,346,487
|
|
30,735,794
|
Golden Nugget, Inc. Senior Secured 2017 Incremental Term Loan B, 1 Month USD LIBOR + 2.75%, 5.28%,
10/4/2023
|
|
|
5,901,807
|
|
5,700,526
|
Intrawest Resorts Holdings, Inc. Senior Secured Term Loan B1, 1 Month USD LIBOR + 3.00%, 5.52%,
7/31/2024
|
|
|
2,111,933
|
|
2,030,982
|
NPC International, Inc. Senior Secured 1st Lien Term Loan, 1 Month USD LIBOR + 3.50%, 6.02%,
4/19/2024
|
|
|
6,459,016
|
|
6,071,476
|
Red Lobster Management LLC Senior Secured Term Loan B, 1 Month USD LIBOR + 5.25%, 7.77%,
7/28/2021
|
|
|
1,742,650
|
|
1,694,727
|
Scientific Games International, Inc. Senior Secured 2018 Term Loan B5, 3 Month USD LIBOR + 2.75%, 5.27%,
8/14/2024
|
|
|
31,743,843
|
|
29,895,875
|
SeaWorld Parks & Entertainment, Inc. Senior Secured Term Loan B5, 1 Month USD LIBOR + 3.00%, 5.52%,
3/31/2024
|
|
|
2,992,386
|
|
2,864,671
|
Travel Leaders Group LLC Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 4.00%, 6.46%,
1/25/2024
|
|
|
726,300
|
|
722,367
|
|
|
|
|
|
93,476,011
|
See accompanying notes to financial statements.
14
BLACKSTONE / GSO SENIOR LOAN PORTFOLIO
SCHEDULE OF
INVESTMENTS (continued)
December 31, 2018 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
HOUSEHOLD
PRODUCTS — 0.3% |
|
|
|
|
|
Champ Acquisition Corp. Senior Secured Term Loan, 1 Month USD LIBOR + 5.50%, 7.98%,
12/12/2025
|
|
|
$
7,462,687 |
|
$
7,280,784 |
INSURANCE
— 4.7% |
|
|
|
|
|
Acrisure
LLC: |
|
|
|
|
|
Senior Secured 2017 Term Loan B, 3 Month USD LIBOR + 4.25%, 6.77%,
11/22/2023
|
|
|
15,290,088
|
|
14,860,131
|
Senior Secured 2018 Term Loan B, 3 Month USD LIBOR + 3.75%, 6.27%,
11/22/2023
|
|
|
4,192,416
|
|
3,972,314
|
Alliant Holdings I, Inc. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 3.00%, 5.21%,
5/9/2025
|
|
|
11,493,502
|
|
10,896,529
|
AmWINS Group, Inc. Senior Secured 2017 Term Loan B, 1 Month USD LIBOR + 2.75%, 5.27%,
1/25/2024
|
|
|
997,455
|
|
955,562
|
AssuredPartners, Inc. Senior Secured 2017 1st Lien Add-On Term Loan, 1 Month USD LIBOR + 3.25%, 5.77%,
10/22/2024
|
|
|
13,183,084
|
|
12,482,799
|
Broadstreet Partners, Inc. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 3.25%, 5.77%,
11/8/2023
|
|
|
1,405,505
|
|
1,358,070
|
Hub International, Ltd. Senior Secured 2018 Term Loan B, 3 Month USD LIBOR + 3.00%, 5.24%,
4/25/2025
|
|
|
31,152,353
|
|
29,502,368
|
Hyperion Insurance Group Ltd. Senior Secured 2017 Repriced Term Loan, 1 Month USD LIBOR + 3.50%, 6.06%,
12/20/2024
|
|
|
1,484,347
|
|
1,441,672
|
NFP Corp. Senior Secured Term Loan B, 1 Month USD LIBOR + 3.00%, 5.52%,
1/8/2024
|
|
|
12,754,686
|
|
12,101,009
|
Sedgwick Claims Management Services, Inc. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 3.25%, 5.77%,
12/31/2025
|
|
|
16,354,839
|
|
15,666,627
|
|
|
|
|
|
103,237,081
|
See accompanying notes to financial statements.
15
BLACKSTONE / GSO SENIOR LOAN PORTFOLIO
SCHEDULE OF
INVESTMENTS (continued)
December 31, 2018 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
INTERACTIVE
MEDIA & SERVICES — 1.5% |
|
|
|
|
|
Go Daddy Operating Co. LLC Senior Secured 2017 Repriced Term Loan, 1 Month USD LIBOR + 2.25%, 4.77%,
2/15/2024
|
|
|
$
299,240 |
|
$
286,672 |
ION Trading Technologies S.A.R.L. Senior Secured USD Incremental Term Loan B, 3 Month USD LIBOR + 4.00%, 6.52%,
11/21/2024
|
|
|
8,891,603
|
|
8,424,794
|
LANDesk Group, Inc. Senior Secured 2017 Term Loan B, 1 Month USD LIBOR + 4.25%, 6.76%,
1/20/2024
|
|
|
13,797,570
|
|
13,452,631
|
Rackspace Hosting, Inc. Senior Secured 2017 Incremental 1st Lien Term Loan, 3 Month USD LIBOR + 3.00%, 5.58%,
11/3/2023
|
|
|
9,907,619
|
|
8,790,535
|
SMS Systems Maintenance Services, Inc. Senior Secured 2016 1st Lien Term Loan, 1 Month USD LIBOR + 5.00%, 7.52%,
10/30/2023
|
|
|
1,945,114
|
|
1,481,943
|
|
|
|
|
|
32,436,575
|
INTERNET
& CATALOG RETAIL — 0.6% |
|
|
|
|
|
Harbor Freight Tools USA, Inc. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 2.50%, 5.02%,
8/18/2023
|
|
|
13,020,198
|
|
12,332,601
|
Spencer Gifts LLC Senior Secured Term Loan B1, 1 Month USD LIBOR + 4.25%, 6.72%,
7/16/2021
|
|
|
694,071
|
|
663,706
|
|
|
|
|
|
12,996,307
|
IT
SERVICES — 1.8% |
|
|
|
|
|
Access CIG LLC Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 3.75%, 6.46%,
2/27/2025
|
|
|
5,101,385
|
|
4,970,687
|
DigiCert,
Inc.: |
|
|
|
|
|
Senior Secured 2017 2nd Lien Term Loan, 1 Month USD LIBOR + 8.00%, 10.52%,
10/31/2025
|
|
|
6,400,000
|
|
6,232,000
|
Senior Secured 2017 Term Loan B1, 1 Month USD LIBOR + 4.00%, 6.52%,
10/31/2024
|
|
|
2,554,477
|
|
2,509,774
|
See accompanying notes to financial statements.
16
BLACKSTONE / GSO SENIOR LOAN PORTFOLIO
SCHEDULE OF
INVESTMENTS (continued)
December 31, 2018 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
First Data Corp. Senior Secured 2024 USD Term Loan, 1 Month USD LIBOR + 2.00%, 4.50%,
4/26/2024
|
|
|
$
7,417,829 |
|
$
7,104,425 |
Presidio, Inc. Senior Secured 2017 Refinanced Term Loan B, 3 Month USD LIBOR + 2.75%, 5.55%,
2/2/2024
|
|
|
933,197
|
|
899,756
|
TKC Holdings, Inc. Senior Secured 2017 1st Lien Term Loan, 1 Month USD LIBOR + 3.75%, 6.28%,
2/1/2023
|
|
|
11,885,897
|
|
11,343,663
|
Web.com Group, Inc. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 3.75%, 6.27%,
10/10/2025
|
|
|
6,000,000
|
|
5,790,000
|
|
|
|
|
|
38,850,305
|
LIFE
SCIENCES TOOLS & SERVICES — 1.1% |
|
|
|
|
|
Albany Molecular Research, Inc. Senior Secured 2017 1st Lien Term Loan, 1 Month USD LIBOR + 3.25%, 5.77%,
8/30/2024
|
|
|
4,232,312
|
|
4,023,363
|
Jaguar Holding Co. II Senior Secured 2018 Term Loan, 1 Month USD LIBOR + 2.50%, 5.02%,
8/18/2022
|
|
|
4,839,301
|
|
4,615,484
|
Parexel International Corp. Senior Secured Term Loan B, 1 Month USD LIBOR + 2.75%, 5.27%,
9/27/2024
|
|
|
16,772,975
|
|
15,284,373
|
|
|
|
|
|
23,923,220
|
MACHINERY
— 1.4% |
|
|
|
|
|
Apex Tool Group LLC Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 3.75%, 6.27%,
2/1/2022
|
|
|
589,956
|
|
570,192
|
Engineered Machinery Holdings, Inc. Senior Secured USD 1st Lien Term Loan, 3 Month USD LIBOR + 3.25%, 6.05%,
7/19/2024
|
|
|
4,950,000
|
|
4,795,313
|
Hayward Industries, Inc. Senior Secured 1st Lien Term Loan, 1 Month USD LIBOR + 3.50%, 6.02%,
8/5/2024
|
|
|
2,949,859
|
|
2,845,376
|
See accompanying notes to financial statements.
17
BLACKSTONE / GSO SENIOR LOAN PORTFOLIO
SCHEDULE OF
INVESTMENTS (continued)
December 31, 2018 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
Hillman Group, Inc. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 4.00%, 6.80%,
5/31/2025
|
|
|
$
4,987,469 |
|
$
4,750,564 |
Pro Mach Group, Inc. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 3.00%, 5.51%,
3/7/2025
|
|
|
7,066,659
|
|
6,742,794
|
Titan Acquisition, Ltd. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 3.00%, 5.52%,
3/28/2025
|
|
|
12,721,550
|
|
11,703,826
|
|
|
|
|
|
31,408,065
|
MACHINERY-CONSTR&MINING
— 0.4% |
|
|
|
|
|
Brookfield
WEC Holdings, Inc.: |
|
|
|
|
|
Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 3.75%, 6.27%,
8/1/2025
|
|
|
3,526,316
|
|
3,427,456
|
Senior Secured 2018 2nd Lien Term Loan, 1 Month USD LIBOR + 6.75%, 9.27%,
8/3/2026
|
|
|
5,484,423
|
|
5,385,018
|
|
|
|
|
|
8,812,474
|
MEDIA
— 5.7% |
|
|
|
|
|
Altice Financing SA Senior Secured USD 2017 1st Lien Term Loan, 1 Month USD LIBOR + 2.75%, 5.22%,
1/31/2026
|
|
|
2,406,927
|
|
2,229,416
|
CBS Radio, Inc. Senior Secured 2017 Term Loan B, 1 Month USD LIBOR + 2.75%, 5.26%,
11/18/2024
|
|
|
7,746,960
|
|
7,316,035
|
Entravision Communications Corp. Senior Secured 2017 Term Loan B, 1 Month USD LIBOR + 2.75%, 5.27%,
11/29/2024
|
|
|
6,840,278
|
|
6,395,660
|
MH Sub I LLC Senior Secured 2017 1st Lien Term Loan, 1 Month USD LIBOR + 3.75%, 6.25%,
9/13/2024
|
|
|
19,757,628
|
|
18,794,444
|
Mission Broadcasting, Inc. Senior Secured 2018 Term Loan B3, 1 Month USD LIBOR + 2.25%, 4.76%,
1/17/2024
|
|
|
2,399
|
|
2,278
|
See accompanying notes to financial statements.
18
BLACKSTONE / GSO SENIOR LOAN PORTFOLIO
SCHEDULE OF
INVESTMENTS (continued)
December 31, 2018 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
Radiate Holdco LLC Senior Secured 1st Lien Term Loan, 1 Month USD LIBOR + 3.00%, 5.52%,
2/1/2024
|
|
|
$
25,883,506 |
|
$
24,498,350 |
Univision Communications, Inc. Senior Secured Term Loan C5, 1 Month USD LIBOR + 2.75%, 5.27%,
3/15/2024
|
|
|
17,709,708
|
|
16,115,834
|
Virgin Media Bristol LLC Senior Secured Term Loan K, 1 Month USD LIBOR + 2.50%, 5.01%,
1/15/2026
|
|
|
17,371,485
|
|
16,498,655
|
WideOpenWest Finance LLC Senior Secured 2017 Term Loan B, 1 Month USD LIBOR + 3.25%, 5.72%,
8/18/2023
|
|
|
24,168,883
|
|
22,446,850
|
Ziggo Secured Finance Partnership Senior Secured USD Term Loan E, 1 Month USD LIBOR + 2.50%, 5.01%,
4/15/2025
|
|
|
11,089,036
|
|
10,477,420
|
|
|
|
|
|
124,774,942
|
METALS
& MINING — 0.1% |
|
|
|
|
|
Aleris International, Inc. Senior Secured 2018 Term Loan, 1 Month USD LIBOR + 4.75%, 7.25%,
2/27/2023
|
|
|
2,033,684
|
|
2,020,658
|
PLZ Aeroscience Corp. Senior Secured USD Term Loan, 3 Month USD LIBOR + 3.50%, 6.02%,
7/31/2022
|
|
|
1,271,559
|
|
1,268,380
|
|
|
|
|
|
3,289,038
|
MULTILINE
RETAIL — 0.7% |
|
|
|
|
|
AI Aqua Merger Sub, Inc. Senior Secured 2017 1st Lien Term Loan B, 1 Month USD LIBOR + 3.25%, 5.77%,
12/13/2023
|
|
|
14,961,929
|
|
14,382,154
|
OIL,
GAS & CONSUMABLE FUELS — 0.8% |
|
|
|
|
|
BCP Raptor LLC Senior Secured Term Loan B, 1 Month USD LIBOR + 4.25%, 6.87%,
6/24/2024
|
|
|
1,804,441
|
|
1,692,791
|
EG Finco, Ltd. Senior Secured 2018 USD Term Loan, 3 Month USD LIBOR + 4.00%, 6.81%,
2/7/2025
|
|
|
10,157,660
|
|
9,814,839
|
See accompanying notes to financial statements.
19
BLACKSTONE / GSO SENIOR LOAN PORTFOLIO
SCHEDULE OF
INVESTMENTS (continued)
December 31, 2018 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
Lucid Energy Group II LLC Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 3.00%, 5.50%,
2/17/2025
|
|
|
$
6,925,896 |
|
$
6,394,922 |
|
|
|
|
|
17,902,552
|
OIL-FIELD
SERVICES — 0.0% (b) |
|
|
|
|
|
MRC Global (US) Inc. Senior Secured 2018 1st Lien Term Loan B, 1 Month USD LIBOR + 3.00%, 5.52%,
9/20/2024
|
|
|
838,244
|
|
813,097
|
PAPER&RELATED
PRODUCTS — 0.5% |
|
|
|
|
|
Flex Acquisition Co., Inc. Senior Secured 2018 Incremental Term Loan, 3 Month USD LIBOR + 3.25%, 5.77%,
6/29/2025
|
|
|
11,875,000
|
|
11,281,250
|
PHARMACEUTICALS
— 3.6% |
|
|
|
|
|
Akorn, Inc. Senior Secured Term Loan B, 1 Month USD LIBOR + 4.75%, 8.06%,
4/16/2021
|
|
|
4,579,232
|
|
3,754,970
|
Alvogen Pharma US, Inc. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 4.75%, 7.27%,
4/2/2022
|
|
|
3,438,769
|
|
3,377,525
|
Amneal Pharmaceuticals LLC Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 3.50%, 6.06%,
5/4/2025
|
|
|
6,708,757
|
|
6,378,887
|
Arbor Pharmaceuticals, Inc. Senior Secured Term Loan B, 1 Month USD LIBOR + 5.00%, 7.80%,
7/5/2023
|
|
|
1,591,381
|
|
1,432,243
|
Endo Luxembourg Finance Co. I S.A.R.L. Senior Secured 2017 Term Loan B, 1 Month USD LIBOR + 4.25%, 6.81%,
4/29/2024
|
|
|
26,914,508
|
|
25,568,782
|
Horizon Pharma, Inc. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 3.00%, 5.56%,
3/29/2024
|
|
|
9,054,087
|
|
8,661,773
|
Pearl
Intermediate Parent LLC: |
|
|
|
|
|
Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 2.75%, 5.25%,
2/14/2025
|
|
|
14,082,510
|
|
13,395,988
|
See accompanying notes to financial statements.
20
BLACKSTONE / GSO SENIOR LOAN PORTFOLIO
SCHEDULE OF
INVESTMENTS (continued)
December 31, 2018 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
Senior Secured 2018 Delayed Draw Term Loan, 3 Month USD LIBOR + 2.75%, 5.25%,
2/14/2025
|
|
|
$
3,172,334 |
|
$
3,017,683 |
Valeant Pharmaceuticals International, Inc. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 3.00%, 5.51%,
6/2/2025
|
|
|
13,941,240
|
|
13,354,593
|
|
|
|
|
|
78,942,444
|
POLLUTION
CONTROL — 0.4% |
|
|
|
|
|
Core & Main L.P. Senior Secured 2017 Term Loan B, 3 Month USD LIBOR + 3.00%, 5.74%,
8/1/2024
|
|
|
2,332,461
|
|
2,260,551
|
EnergySolutions LLC Senior Secured 2018 Term Loan B, 3 Month USD LIBOR + 3.75%, 6.55%,
5/9/2025
|
|
|
7,420,090
|
|
6,900,684
|
|
|
|
|
|
9,161,235
|
PROFESSIONAL
SERVICES — 0.6% |
|
|
|
|
|
Advantage Sales & Marketing, Inc. Senior Secured 2014 2nd Lien Term Loan, 1 Month USD LIBOR + 6.50%, 9.02%,
7/25/2022
|
|
|
15,753,373
|
|
12,478,010
|
RECYCLING
— 0.6% |
|
|
|
|
|
Gopher Resource LLC Senior Secured 1st Lien Term Loan, 1 Month USD LIBOR + 3.25%, 5.77%,
3/6/2025
|
|
|
6,066,630
|
|
5,869,465
|
Tunnel Hill Partners, LP Senior Secured Term Loan B, Zero Coupon,
10/1/2025
|
|
|
7,743,363
|
|
7,641,731
|
|
|
|
|
|
13,511,196
|
RETAIL-RESTAURANTS
— 1.2% |
|
|
|
|
|
Flynn Restaurant Group LP Senior Secured 1st Lien Term Loan, 1 Month USD LIBOR + 3.50%, 6.02%,
6/27/2025
|
|
|
9,099,943
|
|
8,644,946
|
Fogo de Chao Churrascaria Holdings LLC Senior Secured 2018 Add On Term Loan, 1 Month USD LIBOR + 4.25%, 6.77%,
4/5/2025
|
|
|
10,780,673
|
|
10,349,446
|
See accompanying notes to financial statements.
21
BLACKSTONE / GSO SENIOR LOAN PORTFOLIO
SCHEDULE OF
INVESTMENTS (continued)
December 31, 2018 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
IRB Holding Corp. Senior Secured 1st Lien Term Loan, 3 Month USD LIBOR + 3.25%, 5.76%,
2/5/2025
|
|
|
$
1,978,511 |
|
$
1,891,456 |
K-Mac Holdings Corp. Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 3.25%, 5.75%,
3/14/2025
|
|
|
2,481,250
|
|
2,372,708
|
Tacala LLC Senior Secured 1st Lien Term Loan, 1 Month USD LIBOR + 3.25%, 5.77%,
1/31/2025
|
|
|
2,190,593
|
|
2,108,446
|
|
|
|
|
|
25,367,002
|
ROAD
& RAIL — 0.2% |
|
|
|
|
|
Direct ChassisLink, Inc. Senior Secured 2017 2nd Lien Term Loan, 1 Month USD LIBOR + 6.00%, 8.53%,
6/15/2023
|
|
|
5,000,000
|
|
4,825,000
|
SEMICONDUCTOR
EQUIPMENT — 0.6% |
|
|
|
|
|
MA FinanceCo. LLC Senior Secured USD Term Loan B3, 1 Month USD LIBOR + 2.50%, 5.02%,
6/21/2024
|
|
|
1,700,039
|
|
1,587,412
|
Seattle Spinco, Inc. Senior Secured USD Term Loan B3, 1 Month USD LIBOR + 2.50%, 5.02%,
6/21/2024
|
|
|
11,480,786
|
|
10,720,184
|
|
|
|
|
|
12,307,596
|
SEMICONDUCTORS
& SEMICONDUCTOR EQUIPMENT — 0.4% |
|
|
|
|
|
Cypress Semiconductor Corp. Senior Secured 2016 Term Loan B, 1 Month USD LIBOR + 2.00%, 4.53%,
7/5/2021
|
|
|
935,115
|
|
909,988
|
MACOM Technology Solutions Holdings, Inc. Senior Secured 2017 Add on Term Loan, 1 Month USD LIBOR + 2.25%, 4.77%,
5/17/2024
|
|
|
7,629,314
|
|
7,224,961
|
|
|
|
|
|
8,134,949
|
See accompanying notes to financial statements.
22
BLACKSTONE / GSO SENIOR LOAN PORTFOLIO
SCHEDULE OF
INVESTMENTS (continued)
December 31, 2018 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
SOFTWARE
— 10.1% |
|
|
|
|
|
Applied Systems, Inc. Senior Secured 2017 2nd Lien Term Loan, 3 Month USD LIBOR + 7.00%, 9.52%,
9/19/2025
|
|
|
$
454,545 |
|
$
447,159 |
BMC Software Finance, Inc. Senior Secured 2018 USD Term Loan B, 1 Month USD LIBOR + 4.25%, 7.05%,
10/2/2025
|
|
|
14,000,000
|
|
13,538,490
|
CCC Information Services, Inc. Senior Secured 2017 1st Lien Term Loan, 1 Month USD LIBOR + 3.00%, 5.53%,
4/26/2024
|
|
|
1,507,180
|
|
1,435,589
|
Compuware Corpo. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 3.50%, 6.01%,
8/22/2025
|
|
|
193,548
|
|
191,129
|
Dynatrace LLC Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 3.25%, 5.77%,
8/22/2025
|
|
|
2,800,000
|
|
2,719,500
|
Epicor Software Corp. Senior Secured 1st Lien Term Loan, 1 Month USD LIBOR + 3.25%, 5.78%,
6/1/2022
|
|
|
4,673,691
|
|
4,483,238
|
Flexera Software LLC Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 3.25%, 5.78%,
2/26/2025
|
|
|
6,498,766
|
|
6,284,306
|
GlobalLogic Holdings, Inc. Senior Secured 2018 Add On 1st Lien Term Loan, 3 Month USD LIBOR + 3.25%, 5.77%,
8/1/2025
|
|
|
4,112,729
|
|
3,973,924
|
Help/Systems LLC Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 3.75%, 6.27%,
3/28/2025
|
|
|
2,779,512
|
|
2,675,281
|
Hyland
Software, Inc.: |
|
|
|
|
|
Senior Secured 2017 2nd Lien Term Loan, 1 Month USD LIBOR + 7.00%, 9.52%,
7/7/2025
|
|
|
2,079,284
|
|
2,058,491
|
Senior Secured 2018 Term Loan 3, 1 Month USD LIBOR + 3.50%, 6.02%,
7/1/2024
|
|
|
4,560,375
|
|
4,433,825
|
Imperva,
Inc.: |
|
|
|
|
|
Senior Secured 1st Lien Term Loan, Zero Coupon,
1/12/2026
|
|
|
1,409,091
|
|
1,389,716
|
See accompanying notes to financial statements.
23
BLACKSTONE / GSO SENIOR LOAN PORTFOLIO
SCHEDULE OF
INVESTMENTS (continued)
December 31, 2018 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
Senior Secured 2nd Lien Term Loan, Zero Coupon,
1/11/2027
|
|
|
$
2,941,177 |
|
$
2,941,176 |
Informatica Corp. Senior Secured 2018 USD Term Loan, 1 Month USD LIBOR + 3.25%, 5.77%,
8/5/2022
|
|
|
1,932,184
|
|
1,880,015
|
Kronos, Inc. Senior Secured 2017 Term Loan B, 3 Month USD LIBOR + 3.00%, 5.54%,
11/1/2023
|
|
|
9,704,205
|
|
9,253,347
|
McAfee LLC Senior Secured 2018 USD Term Loan B, 1 Month USD LIBOR + 3.75%, 6.27%,
9/30/2024
|
|
|
6,044,507
|
|
5,900,950
|
Mitchell
International, Inc.: |
|
|
|
|
|
Senior Secured 2017 1st Lien Term Loan, 1 Month USD LIBOR + 3.25%, 5.77%,
11/29/2024
|
|
|
22,130,611
|
|
21,383,814
|
Senior Secured 2017 2nd Lien Term Loan, 1 Month USD LIBOR + 7.25%, 9.77%,
12/1/2025
|
|
|
12,848,485
|
|
12,535,367
|
NAVEX TopCo, Inc. Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 3.25%, 5.78%,
9/5/2025
|
|
|
3,485,646
|
|
3,285,221
|
Project Alpha Intermediate Holding, Inc. Senior Secured 2017 Term Loan B, 6 Month USD LIBOR + 3.50%, 6.37%,
4/26/2024
|
|
|
5,335,482
|
|
5,162,079
|
Project Ruby Ultimate Parent Corp. Senior Secured 2017 Term Loan B, 1 Month USD LIBOR + 3.50%, 6.01%,
2/9/2024
|
|
|
2,348,882
|
|
2,310,713
|
Quest
Software US Holdings, Inc.: |
|
|
|
|
|
Senior Secured 2018 1st Lien Term Loan, 3 Month USD LIBOR + 4.25%, 6.78%,
5/16/2025
|
|
|
15,000,000
|
|
14,550,000
|
Senior Secured 2018 2nd Lien Term Loan, 3 Month USD LIBOR + 8.25%, 10.78%,
5/16/2026
|
|
|
12,000,000
|
|
11,890,020
|
Rocket Software, Inc. Senior Secured 2018 2nd Lien Term Loan, 10.77%,
11/20/2026
|
|
|
9,000,000
|
|
8,947,485
|
SolarWinds Holdings, Inc. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 2.75%, 5.27%,
2/5/2024
|
|
|
17,906,344
|
|
17,282,487
|
See accompanying notes to financial statements.
24
BLACKSTONE / GSO SENIOR LOAN PORTFOLIO
SCHEDULE OF
INVESTMENTS (continued)
December 31, 2018 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
Solera Holdings, Inc. Senior Secured USD Term Loan B, 1 Month USD LIBOR + 2.75%, 5.27%,
3/3/2023
|
|
|
$
2,769,487 |
|
$
2,620,641 |
SonicWALL, Inc. Senior Secured 1st Lien Term Loan, 3 Month USD LIBOR + 3.50%, 6.14%,
5/16/2025
|
|
|
16,935,484
|
|
16,208,613
|
Sophia L.P. Senior Secured 2017 Term Loan B, 3 Month USD LIBOR + 3.25%, 6.05%,
9/30/2022
|
|
|
1,324,136
|
|
1,279,917
|
SS&C Technologies Holdings Europe S.A.R.L. Senior Secured 2018 Term Loan B4, 1 Month USD LIBOR + 2.25%, 4.77%,
4/16/2025
|
|
|
6,127,222
|
|
5,798,987
|
SS&C
Technologies, Inc.: |
|
|
|
|
|
Senior Secured 2018 Term Loan B3, 1 Month USD LIBOR + 2.25%, 4.49%,
4/16/2025
|
|
|
16,153,447
|
|
15,288,107
|
Senior Secured 2018 Term Loan B5, 1 Month USD LIBOR + 2.25%, 4.77%,
4/16/2025
|
|
|
2,036,240
|
|
1,928,075
|
Veritas Bermuda, Ltd. Senior Secured USD Repriced Term Loan B, 1 Month USD LIBOR + 4.50%, 7.30%,
1/27/2023
|
|
|
16,802,736
|
|
14,444,388
|
Vero Parent, Inc. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 4.50%, 7.02%,
8/16/2024
|
|
|
3,273,486
|
|
3,243,828
|
|
|
|
|
|
221,765,878
|
SPECIALTY
RETAIL — 2.5% |
|
|
|
|
|
Bass Pro Group LLC Senior Secured Term Loan B, 1 Month USD LIBOR + 5.00%, 7.52%,
9/25/2024
|
|
|
22,719,079
|
|
21,833,035
|
Party City Holdings, Inc. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 2.75%, 5.03%,
8/19/2022
|
|
|
1,688,923
|
|
1,634,742
|
Petco Animal Supplies, Inc. Senior Secured 2017 Term Loan B, 3 Month USD LIBOR + 3.25%, 5.78%,
1/26/2023
|
|
|
10,000,000
|
|
7,394,450
|
See accompanying notes to financial statements.
25
BLACKSTONE / GSO SENIOR LOAN PORTFOLIO
SCHEDULE OF
INVESTMENTS (continued)
December 31, 2018 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
PetSmart, Inc. Senior Secured Term Loan B2, Zero Coupon,
3/11/2022
|
|
|
$
5,000,000 |
|
$
3,967,850 |
Staples, Inc. Senior Secured 2017 Term Loan B, 3 Month USD LIBOR + 4.00%, 6.54%,
9/12/2024
|
|
|
20,361,934
|
|
19,568,735
|
|
|
|
|
|
54,398,812
|
TELECOM
SERVICES — 0.0% (b) |
|
|
|
|
|
Securus Technologies Holdings, Inc. Senior Secured 2017 1st Lien Term Loan, 1 Month USD LIBOR + 4.50%, 7.02%,
11/1/2024
|
|
|
1,022,556
|
|
986,767
|
TELECOMMUNICATION
EQUIP — 0.1% |
|
|
|
|
|
MLN US HoldCo LLC Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 4.50%, 7.02%,
11/30/2025
|
|
|
2,443,662
|
|
2,374,946
|
THRIFTS
& MORTGAGE FINANCE — 0.2% |
|
|
|
|
|
Capri Finance LLC Senior Secured USD 2017 1st Lien Term Loan, 3 Month USD LIBOR + 3.25%, 5.78%,
11/1/2024
|
|
|
4,201,081
|
|
4,001,530
|
TOTAL SENIOR FLOATING RATE LOANS (Cost
$1,891,736,153)
|
|
|
|
|
1,807,489,589
|
CORPORATE
BONDS & NOTES — 2.3% |
|
|
|
|
|
COMMERCIAL
SERVICES — 0.1% |
|
|
|
|
|
Prime Security Services Borrower LLC/Prime Finance, Inc. 9.25%, 5/15/2023
(c)
|
|
|
2,122,000
|
|
2,187,846
|
COMPUTERS
— 0.1% (b) |
|
|
|
|
|
Banff Merger Sub, Inc. 9.75%, 9/1/2026
(c)
|
|
|
1,122,000
|
|
1,026,787
|
ENGINEERING
& CONSTRUCTION — 0.0% (b) |
|
|
|
|
|
frontdoor, Inc. 6.75%, 8/15/2026
(c)
|
|
|
250,000
|
|
238,072
|
ENTERTAINMENT
— 0.1% |
|
|
|
|
|
AMC
Entertainment Holdings, Inc.: |
|
|
|
|
|
5.75%,
6/15/2025
|
|
|
2,000,000
|
|
1,773,320
|
See accompanying notes to financial statements.
26
BLACKSTONE / GSO SENIOR LOAN PORTFOLIO
SCHEDULE OF
INVESTMENTS (continued)
December 31, 2018 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
5.88%,
11/15/2026
|
|
|
$
1,000,000 |
|
$
857,010 |
|
|
|
|
|
2,630,330
|
FOOD
— 0.0% (b) |
|
|
|
|
|
Albertsons Cos. LLC/Safeway, Inc./New Albertson's, Inc./Albertson's LLC 5.75%,
3/15/2025
|
|
|
24,000
|
|
21,000
|
HEALTH
CARE PRODUCTS — 0.1% |
|
|
|
|
|
Avantor, Inc. 6.00%, 10/1/2024
(c)
|
|
|
776,000
|
|
762,156
|
Kinetic Concepts, Inc./KCI USA, Inc. 7.88%, 2/15/2021
(c)
|
|
|
830,000
|
|
840,815
|
|
|
|
|
|
1,602,971
|
HEALTH
CARE SERVICES — 0.3% |
|
|
|
|
|
MPH Acquisition Holdings LLC 7.13%, 6/1/2024
(c)
|
|
|
2,000,000
|
|
1,865,020
|
Tenet
Healthcare Corp.: |
|
|
|
|
|
6.75%,
6/15/2023
|
|
|
2,727,000
|
|
2,560,026
|
8.13%,
4/1/2022
|
|
|
2,000,000
|
|
2,002,560
|
|
|
|
|
|
6,427,606
|
HOLDING
COMPANIES-DIVERS — 0.1% |
|
|
|
|
|
Trident Merger Sub, Inc. 6.63%, 11/1/2025
(c)
|
|
|
1,688,000
|
|
1,505,527
|
INSURANCE
— 0.4% |
|
|
|
|
|
AssuredPartners, Inc. 7.00%, 8/15/2025
(c)
|
|
|
5,410,000
|
|
4,887,718
|
HUB International, Ltd. 7.00%, 5/1/2026
(c)
|
|
|
3,964,000
|
|
3,581,514
|
|
|
|
|
|
8,469,232
|
LODGING
— 0.0% (b) |
|
|
|
|
|
Boyd Gaming Corp. 6.38%,
4/1/2026
|
|
|
670,000
|
|
646,805
|
MACHINERY,
CONSTRUCTION & MINING — 0.2% |
|
|
|
|
|
Terex Corp. 5.63%, 2/1/2025
(c)
|
|
|
4,000
|
|
3,705
|
Vertiv Group Corp. 9.25%, 10/15/2024
(c)
|
|
|
4,814,000
|
|
4,356,478
|
|
|
|
|
|
4,360,183
|
See accompanying notes to financial statements.
27
BLACKSTONE / GSO SENIOR LOAN PORTFOLIO
SCHEDULE OF
INVESTMENTS (continued)
December 31, 2018 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
MACHINERY-DIVERSIFIED
— 0.0% (b) |
|
|
|
|
|
Titan Acquisition, Ltd./Titan Co-Borrower LLC 7.75%, 4/15/2026
(c)
|
|
|
$
500,000 |
|
$
430,550 |
MEDIA
— 0.0% (b) |
|
|
|
|
|
Sinclair Television Group, Inc. 5.63%, 8/1/2024
(c)
|
|
|
1,000,000
|
|
939,280
|
PACKAGING
& CONTAINERS — 0.1% |
|
|
|
|
|
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. 7.25%, 5/15/2024
(c)
|
|
|
320,000
|
|
317,149
|
Flex Acquisition Co., Inc. 6.88%, 1/15/2025
(c)
|
|
|
1,478,000
|
|
1,317,474
|
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Lu 7.00%, 7/15/2024
(c)
|
|
|
1,000,000
|
|
945,010
|
|
|
|
|
|
2,579,633
|
PHARMACEUTICALS
— 0.2% |
|
|
|
|
|
Bausch Health Cos., Inc. 6.50%, 3/15/2022
(c)
|
|
|
734,000
|
|
737,897
|
Endo Finance LLC 5.75%, 1/15/2022
(c)
|
|
|
198,000
|
|
164,847
|
Endo Finance LLC/Endo Finco, Inc. 7.25%, 1/15/2022
(c)
|
|
|
621,000
|
|
543,189
|
NVA Holdings, Inc. 6.88%, 4/1/2026
(c)
|
|
|
2,998,000
|
|
2,665,852
|
|
|
|
|
|
4,111,785
|
RETAIL
— 0.5% |
|
|
|
|
|
CEC Entertainment, Inc. 8.00%,
2/15/2022
|
|
|
1,148,000
|
|
1,013,833
|
IRB Holding Corp. 6.75%, 2/15/2026
(c)
|
|
|
8,000,000
|
|
6,955,120
|
Party City Holdings, Inc. 6.63%, 8/1/2026
(c)
|
|
|
2,500,000
|
|
2,273,600
|
|
|
|
|
|
10,242,553
|
SOFTWARE
— 0.0% (b) |
|
|
|
|
|
Riverbed Technology, Inc. 8.88%, 3/1/2023
(c)
|
|
|
500,000
|
|
360,375
|
TELECOMMUNICATIONS
— 0.1% |
|
|
|
|
|
Hughes Satellite Systems Corp. 6.63%,
8/1/2026
|
|
|
1,053,000
|
|
967,370
|
See accompanying notes to financial statements.
28
BLACKSTONE / GSO SENIOR LOAN PORTFOLIO
SCHEDULE OF
INVESTMENTS (continued)
December 31, 2018 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
Intelsat Jackson Holdings SA 8.50%, 10/15/2024
(c)
|
|
|
$630,000
|
|
$
607,950 |
|
|
|
|
|
1,575,320
|
TOTAL CORPORATE BONDS & NOTES (Cost
$53,003,083)
|
|
|
|
|
49,355,855
|
|
|
Shares
|
|
SHORT-TERM
INVESTMENT — 13.0% |
|
|
|
State Street Institutional U.S. Government Money Market Fund, Class G Shares 2.31% (d) (e) (Cost
$286,499,216)
|
|
286,499,216
|
286,499,216
|
TOTAL INVESTMENTS — 97.7% (Cost
$2,231,238,452)
|
|
|
2,143,344,660
|
OTHER ASSETS IN EXCESS OF LIABILITIES —
2.3%
|
|
|
49,705,358
|
NET ASSETS —
100.0%
|
|
|
$
2,193,050,018 |
(a)
|
The
rate shown represents the rate at December 31, 2018. |
(b)
|
Amount
is less than 0.05% of net assets. |
(c)
|
Securities
purchased pursuant to Rule 144A of the Securities Act of 1933, as amended. These securities, which represent 1.8% of net assets as of December 31, 2018, are considered liquid and may be resold in transactions exempt from registration, normally to
qualified institutional buyers. |
(d)
|
The
Portfolio invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2018 are shown in the Affiliate Table below. |
(e)
|
The
rate shown is the annualized seven-day yield at December 31, 2018. |
LIBOR
|
=
London Interbank Offered Rate |
LP
|
=
Limited Partnership |
At
December 31, 2018, the Portfolio had unfunded loan commitments of $3,489,711, which could be extended at the option of the borrowers, pursuant to the following loan agreements:
Borrower
|
|
Unfunded
Loan Commitment ($) |
|
Value
($) |
|
Unrealized
Appreciation/(Depreciation) ($) |
Access
CIG LLC |
|
640,413
|
|
624,005
|
|
(16,408)
|
Heartland
Dental LLC |
|
850,069
|
|
817,129
|
|
(32,940)
|
GlobalLogic
Holdings, Inc. |
|
586,191
|
|
569,126
|
|
(17,065)
|
Pearl
Intermediate Parent LLC |
|
985,674
|
|
941,770
|
|
(43,904)
|
See accompanying notes to financial statements.
29
BLACKSTONE / GSO SENIOR LOAN PORTFOLIO
SCHEDULE OF
INVESTMENTS (continued)
December 31, 2018 (Unaudited)
Borrower
|
|
Unfunded
Loan Commitment ($) |
|
Value
($) |
|
Unrealized
Appreciation/(Depreciation) ($) |
VT
Buyer Acquisition Corp. |
|
427,364
|
|
422,691
|
|
(4,673)
|
|
|
|
|
|
|
$(114,990)
|
The following table
summarizes the value of the Fund's investments according to the fair value hierarchy as of December 31, 2018.
Description
|
|
Level
1 – Quoted Prices |
|
Level
2 – Other Significant Observable Inputs |
|
Level
3 – Significant Unobservable Inputs |
|
Total
|
ASSETS:
|
|
|
|
|
|
|
|
|
INVESTMENTS:
|
|
|
|
|
|
|
|
|
Corporate Bonds &
Notes
|
|
$
— |
|
$
49,355,855 |
|
$—
|
|
$
49,355,855 |
Senior Floating Rate
Loans
|
|
—
|
|
1,807,489,589
|
|
—
|
|
1,807,489,589
|
Short-Term
Investment
|
|
286,499,216
|
|
—
|
|
—
|
|
286,499,216
|
TOTAL
INVESTMENTS
|
|
$286,499,216
|
|
$1,856,845,444
|
|
$—
|
|
$2,143,344,660
|
LIABILITIES:
|
|
|
|
|
|
|
|
|
OTHER
FINANCIAL INSTRUMENTS: |
|
|
|
|
|
|
|
|
Unfunded
Loans(a)
|
|
—
|
|
(114,990)
|
|
—
|
|
(114,990)
|
TOTAL OTHER FINANCIAL
INSTRUMENTS
|
|
$
— |
|
$
(114,990) |
|
$—
|
|
$
(114,990) |
(a)
|
Includes
appreciation (depreciation) on unfunded loan commitments. |
Affiliate Table
|
Number
of Shares Held at 6/30/18 |
|
Value
at 6/30/18 |
|
Cost
of Purchases |
|
Proceeds
from Shares Sold |
|
Realized
Gain (Loss) |
|
Change
in Unrealized Appreciation/ Depreciation |
|
Number
of Shares Held at 12/31/18 |
|
Value
at 12/31/18 |
|
Dividend
Income |
State Street Institutional U.S. Government Money Market Fund, Class G
Shares
|
196,673,118
|
|
$196,673,118
|
|
$1,235,395,031
|
|
$1,145,568,933
|
|
$—
|
|
$—
|
|
286,499,216
|
|
$286,499,216
|
|
$2,277,597
|
See accompanying notes to financial statements.
30
SSGA MASTER TRUST
STATEMENT OF ASSETS AND LIABILITIES
December 31, 2018 (Unaudited)
|
Blackstone
/ GSO Senior Loan Portfolio |
ASSETS
|
|
Investments in unaffiliated issuers, at
value
|
$1,856,845,444
|
Investments in affiliated issuers, at
value
|
286,499,216
|
Total
Investments
|
2,143,344,660
|
Receivable for investments
sold
|
232,235,113
|
Dividends receivable — affiliated
issuers
|
448,982
|
Interest receivable — unaffiliated
issuers
|
12,567,386
|
Other
Receivable
|
216,026
|
TOTAL ASSETS
|
2,388,812,167
|
LIABILITIES
|
|
Due to
custodian
|
6,692,276
|
Payable for investments
purchased
|
136,613,784
|
Payable for fund shares
repurchased
|
51,651,524
|
Unrealized depreciation on unfunded loan
commitments
|
114,990
|
Advisory fee
payable
|
687,817
|
Trustees’ fees and expenses
payable
|
599
|
Accrued expenses and other
liabilities
|
1,159
|
TOTAL LIABILITIES
|
195,762,149
|
NET ASSETS
|
$2,193,050,018
|
COST
OF INVESTMENTS: |
|
Investments in unaffiliated
issuers
|
$1,944,739,236
|
Investments in affiliated
issuers
|
286,499,216
|
Total cost of
investments
|
$2,231,238,452
|
See accompanying notes to financial statements.
31
SSGA MASTER TRUST
STATEMENT OF OPERATIONS
For the Six Months Ended December 31, 2018 (Unaudited)
|
Blackstone
/ GSO Senior Loan Portfolio |
INVESTMENT
INCOME |
|
Interest income — unaffiliated
issuers
|
$
92,034,230 |
Dividend income — affiliated
issuers
|
2,277,597
|
TOTAL INVESTMENT INCOME
(LOSS)
|
94,311,827
|
EXPENSES
|
|
Advisory
fee
|
4,884,230
|
Trustees’ fees and
expenses
|
26,283
|
TOTAL
EXPENSES
|
4,910,513
|
NET INVESTMENT INCOME
(LOSS)
|
89,401,314
|
REALIZED
AND UNREALIZED GAIN (LOSS) |
|
Net
realized gain (loss) on: |
|
Investments — unaffiliated
issuers
|
(47,295,884)
|
Net
change in unrealized appreciation/depreciation on: |
|
Investments — unaffiliated
issuers
|
(80,057,499)
|
Unfunded loan
commitments
|
(233,547)
|
Net change in unrealized
appreciation/depreciation
|
(80,291,046)
|
NET REALIZED AND UNREALIZED GAIN
(LOSS)
|
(127,586,930)
|
NET INCREASE (DECREASE) IN NET ASSETS FROM
OPERATIONS
|
$
(38,185,616) |
See accompanying notes to financial statements.
32
SSGA MASTER TRUST
STATEMENTS OF CHANGES IN NET ASSETS
|
Blackstone
/ GSO Senior Loan Portfolio |
|
Six
Months Ended 12/31/18 (Unaudited) |
|
Year
Ended 6/30/18 |
INCREASE
(DECREASE) IN NET ASSETS FROM OPERATIONS: |
|
|
|
Net investment income
(loss)
|
$
89,401,314 |
|
$
112,665,248 |
Net realized gain
(loss)
|
(47,295,884)
|
|
(11,863,247)
|
Net change in unrealized
appreciation/depreciation
|
(80,291,046)
|
|
(16,510,979)
|
Net increase (decrease) in net assets resulting from
operations
|
(38,185,616)
|
|
84,291,022
|
CAPITAL
TRANSACTIONS |
|
|
|
Contributions
|
280,085,172
|
|
1,509,849,498
|
Withdrawals
|
(1,242,812,661)
|
|
(225,415,777)
|
Other
capital
|
3,300,164
|
|
850,599
|
Net increase (decrease) in net assets from capital
transactions
|
(959,427,325)
|
|
1,285,284,320
|
Net increase (decrease) in net assets during the
period
|
(997,612,941)
|
|
1,369,575,342
|
Net assets at beginning of
period
|
3,190,662,959
|
|
1,821,087,617
|
NET ASSETS AT END OF
PERIOD
|
$
2,193,050,018 |
|
$3,190,662,959
|
See accompanying notes to financial statements.
33
SSGA MASTER TRUST
FINANCIAL HIGHLIGHTS
The following table includes selected supplemental data and ratios to
average net assets:
|
Blackstone
/ GSO Senior Loan Portfolio |
|
Six
Months Ended 12/31/18 (Unaudited) |
|
Year
Ended 6/30/18 |
|
Year
Ended 6/30/17 |
|
Year
Ended 6/30/16 |
|
Year
Ended 6/30/15 |
|
Year
Ended 6/30/14 |
Total
return
|
(1.47)%(a)
|
|
4.43%
|
|
6.19%
|
|
(0.20)%
|
|
2.98%
|
|
4.00%
|
Ratios
and Supplemental Data: |
|
|
|
|
|
|
|
|
|
|
|
Net assets, end of period (in
000s)
|
$2,193,050
|
|
$3,190,663
|
|
$1,821,088
|
|
$802,489
|
|
$672,264
|
|
$610,477
|
Ratios
to average net assets: |
|
|
|
|
|
|
|
|
|
|
|
Total
expenses
|
0.30%(b)
|
|
0.30%
|
|
0.30%
|
|
0.30%
|
|
0.31%
|
|
0.30%
|
Net investment income
(loss)
|
5.49%(b)
|
|
4.70%
|
|
4.31%
|
|
4.54%
|
|
4.49%
|
|
3.63%
|
Portfolio turnover
rate
|
41%(a)
|
|
90%
|
|
68%
|
|
88%
|
|
65%
|
|
77%
|
(a)
|
Not
annualized. |
(b)
|
Annualized.
|
See accompanying notes to financial statements.
34
SSGA MASTER TRUST
NOTES TO FINANCIAL STATEMENTS
December 31, 2018 (Unaudited)
1. Organization
SSGA Master Trust (the “Trust”), a
Massachusetts business trust registered under the Investment Company Act of 1940, as amended (“1940 Act”), is an open-end management investment company.
As of December 31, 2018, the Trust consists of one
(1) series, which represents a separate series of beneficial interest in the Trust. The financial statements herein relate to the Blackstone / GSO Senior Loan Portfolio (the “Portfolio”).
The Portfolio is classified as a diversified
investment company under the 1940 Act.
The
Portfolio serves as a master fund in a master-feeder structure.
Under the Trust’s organizational documents,
its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust. Additionally, in the normal course of business, the Trust enters into contracts with service providers that contain
general indemnification clauses. The Trust’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Trust that have not yet occurred.
2. Summary of Significant
Accounting Policies
The following is a summary
of significant accounting policies followed by the Trust in the preparation of its financial statements:
The preparation of financial statements in
accordance with U.S. generally accepted accounting principles (“U.S. GAAP”) requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ
from those estimates. The Fund is an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies.
Security Valuation
The Portfolio's investments are valued at fair value
each day that the New York Stock Exchange (“NYSE”) is open and, for financial reporting purposes, as of the report date should the reporting period end on a day that the NYSE is not open. Fair value is generally defined as the price a
fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. By its nature, a fair value price is a good faith estimate of the valuation in a current sale and may
not reflect an actual market price. The investments of the Portfolio are valued pursuant to the policy and procedures developed by the Oversight Committee (the
SSGA MASTER TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
December 31, 2018 (Unaudited)
“Committee”) and approved by the Board. The Committee
provides oversight of the valuation of investments for the Portfolio. The Board has responsibility for overseeing the determination of the fair value of investments.
Valuation techniques used to value the Portfolio's
investments by major category are as follows:
• Investments
in registered investment companies (including money market funds) or other unitized pooled investment vehicles that are not traded on an exchange are valued at that day’s published net asset value (“NAV”) per share or unit.
• Debt
obligations (including short-term investments and convertible debt securities) are valued using quotations from independent pricing services or brokers or are generally valued at the last reported evaluated prices.
• Senior
loans or other loans are valued at evaluated bid prices supplied by an independent pricing service, if available. Senior loans and other loans for which the Committee determines that there are no reliable valuations available from pricing services
or brokers will be initially valued at cost and adjusted for amortization of principal until remeasurement is warranted due to a credit or economic event or other factors affecting the loan.
In the event prices or quotations are not readily
available or that the application of these valuation methods results in a price for an investment that is deemed to be not representative of the fair value of such investment, fair value will be determined in good faith by the Committee, in
accordance with the valuation policy and procedures approved by the Board.
Fair value pricing could result in a difference
between the prices used to calculate the Portfolio's NAV and the prices used by the Portfolio's underlying benchmark.
Various inputs are used in determining the value of
the Portfolio's investments.
The Portfolio
values its assets and liabilities at fair value using a fair value hierarchy consisting of three broad levels that prioritize the inputs to valuation techniques giving the highest priority to readily available unadjusted quoted prices in active
markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements) when market prices are not readily available or reliable. The categorization of a value determined for an
investment within the hierarchy is based upon the pricing transparency of the investment and is not necessarily an indication of the risk associated with investing in it.
The three levels of the fair value hierarchy are as
follows:
SSGA MASTER TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
December 31, 2018 (Unaudited)
• Level 1 – Unadjusted quoted
prices in active markets for an identical asset or liability;
• Level
2 – Inputs other than quoted prices included within Level 1 that are observable for the asset or liability either directly or indirectly, including quoted prices for similar assets or liabilities in active markets, quoted prices for identical
or similar assets or liabilities in markets that are not considered to be active, inputs other than quoted prices that are observable for the asset or liability (such as exchange rates, financing terms, interest rates, yield curves, volatilities,
prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs; and
• Level
3 – Unobservable inputs for the asset or liability, including the Committee’s assumptions used in determining the fair value of investments.
The value of the Portfolio’s investments
according to the fair value hierarchy as of December 31, 2018, is disclosed in the Portfolio’s Schedule of Investments.
Investment Transactions and Income Recognition
Investment transactions are accounted for on trade
date for financial reporting purposes. Realized gains and losses from the sale or disposition of investments and foreign exchange transactions, if any, are determined using the identified cost method. Dividend income and capital gain distributions,
if any, are recognized on the ex-dividend date, net of any foreign taxes withheld at source, if any. Interest income is recorded on an accrual basis. All premiums and discounts are amortized/accreted for financial reporting purposes. Paydown gains
and losses are recorded as an adjustment to interest income. Non-cash dividends received in the form of stock are recorded as dividend income at fair value.
Distributions received by the Portfolio may include
a return of capital that is estimated by management. Such amounts are recorded as a reduction of the cost of investments or reclassified to capital gains.
All of the net investment income and realized gains
and losses from the security transactions of the Portfolio are allocated pro rata among the partners in the Portfolio on a daily basis based on each partner’s daily ownership percentage.
Expenses
Expenses which are directly identifiable to the
Portfolio are applied to the Portfolio within the Trust.
SSGA MASTER TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
December 31, 2018 (Unaudited)
3. Securities and Other
Investments
Loan Agreements
The Portfolio invests in Senior Loans. Senior Loans
consist generally of obligations of companies and other entities (collectively, “borrowers”) incurred for the purpose of reorganizing the assets and liabilities of a borrower; acquiring another company; taking over control of a company
(leveraged buyout); temporary refinancing; or financing internal growth or other general business purposes. Senior Loans are often obligations of borrowers who have incurred a significant percentage of debt compared to their total assets and thus
are highly leveraged. The Portfolio does not treat the banks originating or acting as agents for the lenders, or granting or acting as intermediary in participation interests, in loans held by the Portfolio as the issuers of such loans.
4. Fees and Transactions with
Affiliates
Advisory Fee
The Portfolio has entered into an Investment
Advisory Agreement with SSGA FM. For its advisory services to the Portfolio, facilities furnished, and expenses borne by the Adviser, the Portfolio pays the Adviser a fee accrued daily and paid monthly, based on a percentage of the Portfolio’s
average daily net assets as shown in the following table:
|
Annual
Rate |
Blackstone / GSO Senior Loan
Portfolio
|
0.30%
|
The Adviser pays all
expenses of the Portfolio other than management fee, brokerage expenses, taxes, interest, fees and expenses of the Trust's Independent Trustees (including any Trustees' counsel fees), acquired fund fees and expenses, litigation expenses and other
extraordinary expenses.
GSO / Blackstone Debt
Funds Management LLC receives fees for its services as the sub-adviser to the Portfolio from the Adviser.
Administrator, Custodian, Sub-Administrator and
Transfer Agent Fees
SSGA FM serves as
administrator and State Street Bank and Trust Company (“State Street”), an affiliate of the Adviser, serves as custodian, sub-administrator and transfer agent. State Street receives fees for its services as custodian, sub-administrator
and transfer agent from the Adviser.
SSGA MASTER TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
December 31, 2018 (Unaudited)
Due to Custodian
In certain circumstances, the Portfolio may have
cash overdrafts with the custodian due to expense payments, capital transactions, trading of securities, investment operations or derivative transactions. The Due to custodian amount if any, reflects cash overdrawn with State Street as custodian who
is an affiliate of the Portfolio.
5. Trustees’ Fees
The fees and expenses of the Trust’s trustees,
who are not “interested persons” of the Trust, as defined in the 1940 Act (“Independent Trustees”), are paid directly by the Portfolio. The Independent Trustees are reimbursed for travel and other out-of-pocket expenses in
connection with meeting attendance and industry seminars.
6. Investment
Transactions
Purchases and sales of
investments (excluding in-kind transactions and short term investments) for the period ended December 31, 2018, were as follows:
|
Purchases
|
|
Sales
|
Blackstone / GSO Senior Loan
Portfolio
|
$1,216,609,413
|
|
$2,393,570,349
|
7. Income Tax Information
The Portfolio is not required to pay federal income
taxes on its net investment income and net capital gains because it is treated as partnerships for federal income tax purposes. All interest, gains and losses of the Portfolio are deemed to have been “passed through” to the Portfolio's
partners in proportion to their holdings in the Portfolio, regardless of whether such items have been distributed by the Portfolio. Each partner is responsible for its tax liability based on its distributive share; therefore, no provision has been
made for federal income taxes.
The Portfolio
files federal and various state and local tax returns as required. No income tax returns are currently under examination. Generally, the federal returns are subject to examination by the Internal Revenue Service for a period of three years from date
of filing, while the state returns may remain open for an additional year depending upon jurisdiction. As of June 30, 2018, SSGA FM has analyzed the Portfolio’s tax positions taken on tax returns for all open years and does not believe there
are any uncertain tax positions that would require recognition of a tax liability.
SSGA MASTER TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
December 31, 2018 (Unaudited)
As of December 31, 2018, gross unrealized
appreciation and gross unrealized depreciation of investments and other financial instruments based on cost for federal income tax purposes were as follows:
|
Tax
Cost |
|
Gross
Unrealized Appreciation |
|
Gross
Unrealized Depreciation |
|
Net
Unrealized Appreciation (Depreciation) |
Blackstone / GSO Senior Loan
Portfolio
|
$2,231,238,452
|
|
$314,310
|
|
$88,208,102
|
|
$(87,893,792)
|
8. Line of Credit
Certain Portfolios and other affiliated funds (each
a “Participant” and, collectively, the “Participants”) participate in a $500 million revolving credit facility provided by a syndication of banks under which the Participants may borrow to fund shareholder redemptions. The
Portfolio has exclusive access to $300 million of the total credit facility. This agreement expires in October 2019 unless extended or renewed.
The Participants are charged an annual commitment
fee which is calculated based on the unused portion of the shared credit line. The Portfolio pays the commitment fee for its exclusive portion of the credit line. Commitment fees are allocated among each of the Participants based on relative net
assets. Blackstone / GSO Senior Loan Portfolio pays the commitment fee for its exclusive portion of the credit line. Commitment fees are ordinary fund operating expenses paid by the Adviser. A Participant incurs and pays the interest expense related
to its borrowing. Interest is calculated at a rate per annum equal to the sum of 1% plus the greater of the New York Fed Bank Rate and 1-month LIBOR rate.
The Portfolio had no outstanding loans as of
December 31, 2018.
9. Risks
Concentration Risk
As a result of the Portfolio's ability to invest a
large percentage of their assets in obligations of issuers within the same country, state, region, currency or economic sector, an adverse economic, business or political development may affect the value of the Funds’ investments more than if
the Portfolio was more broadly diversified.
SSGA MASTER TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
December 31, 2018 (Unaudited)
Foreign and Emerging Markets Risk
Investing in foreign markets involves risks and
considerations not typically associated with investing in the U.S. Foreign securities may be subject to risk of loss because of government regulation, economic, political and social instability in the countries in which the Portfolio invests.
Foreign markets may be less liquid than investments in the U.S. and may be subject to the risks of currency fluctuations. To the extent that a Portfolio invests in securities of issuers located in emerging markets, these risks may be even more
pronounced.
Market and Credit Risk
In the normal course of business, the Portfolio
trades financial instruments and enter into financial transactions where risk of potential loss exists due to changes in the general economic conditions and fluctuations of the market (market risk). Additionally, a Portfolio may also be exposed to
credit risk in the event that an issuer or guarantor fails to perform or that an institution or entity with which the Portfolio has unsettled or open transactions defaults.
10. New and Recent Accounting
Pronouncements
In March 2017, the Financial
Accounting Standards Board (FASB) issued Accounting Standards Update (ASU) No. 2017-08, Receivables – Nonrefundable Fees and Other Costs (Subtopic 310-20): Premium Amortization on Purchased Callable Debt Securities. The amendments in the ASU
shorten the amortization period for certain callable debt securities, held at a premium, to be amortized to the earliest call date. The ASU does not require an accounting change for securities held at a discount; which continues to be amortized to
maturity. The ASU is effective for fiscal years and interim periods within those fiscal years beginning after December 15, 2018. Management is currently evaluating the impact, if any, of applying this provision.
In August 2018, the U.S. Securities and Exchange
Commission (the “SEC”) released its Final Rule on Disclosure Update and Simplification (the “Final Rule”) which is intended to simplify an issuer’s disclosure compliance efforts by removing redundant or outdated
disclosure requirements without significantly altering the mix of information provided to investors. The Portfolio has adopted the Final Rule for the current period.
11. Subsequent Events
Management has evaluated the impact of all
subsequent events on the Portfolio through the date the financial statements were issued and has determined that there were no subsequent events requiring adjustment or disclosure in the financial statements.
SSGA MASTER TRUST
OTHER INFORMATION
December 31, 2018 (Unaudited)
Expense Example
As a shareholder of the Portfolio, you incur two
types of costs: (1) transaction costs, including sales charges (loads), if applicable, on purchase payments, reinvested dividends, or other distributions and (2) ongoing costs, including advisory fees and other Portfolio expenses. This example is
intended to help you understand your ongoing costs (in dollars) of investing in the Portfolio and to compare these costs with the ongoing costs of investing in other mutual funds. It is based on an investment of $1,000 made at the beginning of the
period shown and held for the entire period from July 1, 2018 to December 31, 2018.
The table below illustrates your Portfolio’s
cost in two ways:
Based on actual fund return ——This section helps you to estimate the actual expenses that you paid over the period. The “Ending Account Value” shown is derived from the Portfolio's actual return, and the third column shows
the dollar amount that would have been paid by an investor who started with $1,000 in the Portfolio. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply
divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for the Portfolio under the heading “Expenses Paid During Period”.
Based on hypothetical 5% return ——This section is intended to help you compare your Portfolio’s costs with those of other mutual funds. It assumes that the Portfolio had a yearly return of 5% before expenses, but that the expense
ratio is unchanged. In this case, because the return used is not the Portfolio’s actual return, the results do not apply to your investment. The example is useful in making comparisons because the SEC requires all mutual funds to calculate
expenses based on a 5% return. You can assess your Portfolio’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.
Please note that the expenses shown in the table are
meant to highlight your ongoing costs only and do not reflect any transaction costs, such as sales load charges (loads). Therefore, the hypothetical 5% return section of the table is useful in comparing ongoing costs only, and will not help you
determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher.
SSGA MASTER TRUST
OTHER INFORMATION (continued)
December 31, 2018 (Unaudited)
|
Blackstone
/ GSO Senior Loan Portfolio |
Annualized Expense
Ratio
|
0.30%
|
Actual:
|
|
Ending Account
Value
|
$
985.30 |
Expenses Paid During
Period(a)
|
1.50
|
Hypothetical
(assuming a 5% return before expenses): |
|
Ending Account
Value
|
1,023.70
|
Expenses Paid During
Period(a)
|
1.53
|
(a)
|
Expenses
are equal to the Portfolio’s annualized net expense ratio multiplied by the average account value of the period, multiplied by 184, then divided by 365. |
Proxy Voting Policies and Procedures and Records
A description of the Trust’s proxy voting
policies and procedures that are used by the Portfolio's investment adviser to vote proxies relating to the Portfolio's portfolio of securities are available (i) without charge, upon request by calling 1-866-787-2257 (toll free) or (ii) on the SEC's
website at www.sec.gov.
Information regarding how the investment adviser
voted for the prior 12-month period ended June 30, is available by August 31 of each year by calling the same number and on the SEC’s website at www.sec.gov, and on the Portfolio's website www.spdrs.com.
Quarterly Portfolio Schedule
The Portfolio files a complete schedule of
investments with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Portfolio’s Forms N-Q are available on the SEC’s website at www.sec.gov. The information on the Form
N-Q is available upon request, without charge, by calling 1-866-787-2257 (toll free) and on the Portfolio's website at www.spdrs.com.
[This Page Intentionally Left Blank]
[This Page Intentionally Left Blank]
[This Page Intentionally Left Blank]
Trustees
Bonny E. Boatman
Dwight D. Churchill
Frank Nesvet, Chairman
Clare S. Richer
James E. Ross
Sandra G. Sponem
Carl G. Verboncoeur
Investment Manager and Administrator
SSGA Funds Management, Inc.
One Iron Street
Boston, MA
02210
Custodian, Sub-Administrator and Transfer
Agent
State Street Bank and Trust Company
One
Lincoln Street
Boston, MA 02111
Legal Counsel
Morgan, Lewis & Bockius LLP
1111 Pennsylvania Avenue,
NW
Washington, DC 20004
Independent Registered Public
Accounting Firm
Ernst & Young LLP
200 Clarendon
Street
Boston, MA 02116
For more complete information, please call 1.866.787.2257 or visit
www.spdrs.com today.
State Street Global Advisors
One
Iron Street
Boston, MA 02210
ETFs trade like stocks,
are subject to investment risk, fluctuate in market value and may trade at prices above or below the ETF's net asset value. Brokerage commissions and ETF expenses will reduce returns.
Foreign investments involve greater risks than U.S.
investments, including political and economic risks and the risk of currency fluctuations, all of which may be magnified in emerging markets.
Bonds generally present less short-term risk and volatility
than stocks, but contain interest rate risk (as interest rates rise bond prices usually fall); issuer default risk; issuer credit risk; liquidity risk; and inflation risk. These effects are usually pronounced for longer-term securities. Any fixed
income security sold or redeemed prior to maturity may be subject to a substantial gain or loss.
Past performance is no guarantee of future results. It is not
possible to invest directly in an index. Index performance does not reflect charges and expenses associated with the fund or brokerage commissions associated with buying and selling a fund. Index performance is not meant to represent that of any
particular fund.
Standard & Poor’s, S&P and
SPDR are registered trademarks of Standard & Poor’s Financial
Services LLC (S&P); Dow Jones is a registered trademark of Dow Jones
Trademark Holdings LLC (Dow Jones); and these trademarks have been licensed for use by S&P Dow Jones Indices LLC (SPDJI) and sublicensed for certain purposes by State Street Corporation. State Street Corporation’s financial products are
not sponsored, endorsed, sold or promoted by SPDJI, Dow Jones, S&P, their respective affiliates and third party licensors and none of such parties make any representation regarding the advisability of investing in such product(s) nor do they
have any liability in relation thereto, including for any errors, omissions, or interruptions of any index.
Distributor: State Street Global Advisors Funds Distributors,
LLC, member FINRA, SIPC, an indirect wholly owned subsidiary of State Street Corporation. References to State Street may include State Street Corporation and its affiliates. Certain State Street affiliates provide services and receive fees from the
SPDR ETFs. SSGA Funds Management has retained GSO Capital Partners as the sub-adviser.
Before investing, consider a Fund’s investment objectives,
risks, charges and expenses. To obtain a prospectus or summary prospectus which contains this and other information, call 1.866.787.2257 or visit www.spdrs.com. Read it carefully.
Not FDIC Insured. No Bank Guarantee. May Lose Value.
The information contained in this report is intended
for the general information of shareholders of the Trust. This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current Trust prospectus which contains important information concerning the Trust.
You may obtain a current prospectus and SAI from the Distributor by calling 1-866-787-2257 or visiting www.spdrs.com. Please read the prospectus carefully before you invest.
© 2019 State Street
Corporation -All Rights Reserved
SPDRGSOSAR
Item 2. Code of Ethics.
Not applicable to the registrant; this Form N-CSR is a Semi-Annual Report.
Item 3. Audit Committee Financial Expert.
Not applicable to the registrant; this Form N-CSR is a Semi-Annual Report.
Item 4. Principal Accountant Fees and Services.
Not applicable to the registrant; this Form N-CSR is a Semi-Annual Report.
Item 5. Audit Committees of Listed Registrants.
Not applicable to the registrant; this Form N-CSR is a Semi-Annual Report.
Item 6. Investments.
(a) |
The Schedule of Investments for the SPDR DoubleLine Total Return Tactical ETF is listed below. Summary Schedule
of Investments for this Fund as well as the Schedules of Investments for the remaining series of the registrant are included as part of the reports to shareholders filed under Item 1 of this Form N-CSR.
|
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS
December 31, 2018 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
CORPORATE
BONDS & NOTES — 13.5% |
|
|
|
|
|
ARGENTINA
— 0.3% |
|
|
|
|
|
Pampa Energia SA Series REGS, 7.50%,
1/24/2027
|
|
|
$
4,350,000 |
|
$
3,645,518 |
YPF
SA: |
|
|
|
|
|
Series REGS, 6.95%,
7/21/2027
|
|
|
1,500,000
|
|
1,221,135
|
Series REGS, 8.50%,
7/28/2025
|
|
|
3,600,000
|
|
3,231,648
|
|
|
|
|
|
8,098,301
|
AUSTRALIA
— 0.2% |
|
|
|
|
|
Commonwealth Bank of Australia 2.75%, 3/10/2022
(a)
|
|
|
2,305,000
|
|
2,259,592
|
Macquarie
Group, Ltd.: |
|
|
|
|
|
3 Month USD LIBOR + 1.02%, 3.19%, 11/28/2023
(a)
(b)
|
|
|
1,155,000
|
|
1,113,281
|
3 Month USD LIBOR + 1.33%, 4.15%, 3/27/2024
(a)
(b)
|
|
|
1,590,000
|
|
1,586,884
|
|
|
|
|
|
4,959,757
|
BELGIUM
— 0.0% (c) |
|
|
|
|
|
Anheuser-Busch InBev Finance, Inc. 2.65%,
2/1/2021
|
|
|
1,480,000
|
|
1,454,736
|
BRAZIL
— 0.7% |
|
|
|
|
|
Banco BTG Pactual SA Series REGS, 5.50%,
1/31/2023
|
|
|
900,000
|
|
874,656
|
Banco do Brasil SA Series REGS, 10 Year CMT + 4.40%, 6.25%, 4/15/2024
(b)
|
|
|
4,700,000
|
|
4,030,955
|
Braskem Finance, Ltd. 6.45%,
2/3/2024
|
|
|
300,000
|
|
315,411
|
Itau Unibanco Holding SA Series REGS, 5 Year CMT + 3.86%, 6.50%, 3/19/2023
(b)
|
|
|
1,000,000
|
|
947,260
|
JBS Investments GmbH Series REGS, 7.25%,
4/3/2024
|
|
|
4,300,000
|
|
4,362,350
|
JBS USA LUX SA/JBS USA Finance, Inc. 6.75%, 2/15/2028
(a)
|
|
|
670,000
|
|
654,503
|
MARB
BondCo PLC: |
|
|
|
|
|
7.00%, 3/15/2024
(a)
|
|
|
600,000
|
|
567,258
|
Series REGS, 6.88%,
1/19/2025
|
|
|
2,200,000
|
|
2,040,302
|
Marfrig Holdings Europe B.V. 8.00%, 6/8/2023
(a)
|
|
|
1,000,000
|
|
1,001,000
|
Petrobras Global Finance B.V. 5.75%,
2/1/2029
|
|
|
4,600,000
|
|
4,264,154
|
Security
Description |
|
|
Principal
Amount |
|
Value
|
Votorantim Cimentos International SA Series REGS, 7.25%,
4/5/2041
|
|
|
$
600,000 |
|
$
613,500 |
|
|
|
|
|
19,671,349
|
CANADA
— 0.3% |
|
|
|
|
|
1011778 BC ULC/New Red Finance, Inc. 5.00%, 10/15/2025
(a)
|
|
|
890,000
|
|
818,773
|
Calfrac Holdings L.P. 8.50%, 6/15/2026
(a)
|
|
|
220,000
|
|
166,144
|
Canadian Natural Resources, Ltd. 2.95%,
1/15/2023
|
|
|
2,975,000
|
|
2,844,695
|
Fortis, Inc. 2.10%,
10/4/2021
|
|
|
1,395,000
|
|
1,338,935
|
Garda World Security Corp. 8.75%, 5/15/2025
(a)
|
|
|
620,000
|
|
565,533
|
Kronos Acquisition Holdings, Inc. 9.00%, 8/15/2023
(a)
|
|
|
415,000
|
|
322,720
|
MEG Energy Corp. 7.00%, 3/31/2024
(a)
|
|
|
230,000
|
|
219,650
|
Superior Plus L.P./Superior General Partner, Inc. 7.00%, 7/15/2026
(a)
|
|
|
635,000
|
|
610,813
|
Telesat Canada/Telesat LLC 8.88%, 11/15/2024
(a)
|
|
|
390,000
|
|
405,779
|
Tervita Escrow Corp. 7.63%, 12/1/2021
(a)
|
|
|
825,000
|
|
785,458
|
|
|
|
|
|
8,078,500
|
CAYMAN
ISLANDS — 0.1% |
|
|
|
|
|
Avolon Holdings Funding, Ltd. 5.13%, 10/1/2023
(a)
|
|
|
320,000
|
|
307,341
|
Cosan Overseas, Ltd. 8.25%,
2/5/2019
|
|
|
4,314,000
|
|
4,346,355
|
|
|
|
|
|
4,653,696
|
CHILE
— 0.6% |
|
|
|
|
|
AES Gener SA Series REGS, 5.00%,
7/14/2025
|
|
|
200,000
|
|
192,496
|
Banco de Credito e Inversiones SA Series REGS, 4.00%,
2/11/2023
|
|
|
2,000,000
|
|
1,984,240
|
Banco del Estado de Chile Series REGS, 3.88%,
2/8/2022
|
|
|
1,000,000
|
|
994,760
|
Banco Santander Chile Series REGS, 3.88%,
9/20/2022
|
|
|
434,000
|
|
430,615
|
Celulosa Arauco y Constitucion SA 4.75%,
1/11/2022
|
|
|
1,400,000
|
|
1,419,390
|
Embotelladora Andina SA Series REGS, 5.00%,
10/1/2023
|
|
|
1,804,000
|
|
1,846,394
|
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF
INVESTMENTS (continued)
December 31, 2018 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
Empresa Nacional de Telecomunicaciones SA Series REGS, 4.75%,
8/1/2026
|
|
|
$
1,400,000 |
|
$
1,305,710 |
GNL Quintero SA Series REGS, 4.63%,
7/31/2029
|
|
|
200,000
|
|
192,534
|
Guanay Finance, Ltd. Series REGS, 6.00%,
12/15/2020
|
|
|
872,046
|
|
875,229
|
Inversiones CMPC SA Series REGS, 4.50%,
4/25/2022
|
|
|
2,300,000
|
|
2,312,305
|
SACI Falabella Series REGS, 3.75%,
4/30/2023
|
|
|
3,600,000
|
|
3,498,984
|
Transelec SA Series REGS, 3.88%,
1/12/2029
|
|
|
1,000,000
|
|
911,300
|
VTR
Finance B.V.: |
|
|
|
|
|
6.88%, 1/15/2024
(a)
|
|
|
500,000
|
|
500,185
|
Series REGS, 6.88%,
1/15/2024
|
|
|
1,900,000
|
|
1,900,703
|
|
|
|
|
|
18,364,845
|
CHINA
— 0.2% |
|
|
|
|
|
Alibaba Group Holding, Ltd. 2.80%,
6/6/2023
|
|
|
200,000
|
|
193,186
|
CNPC General Capital, Ltd. Series REGS, 3.40%,
4/16/2023
|
|
|
3,000,000
|
|
2,969,700
|
Gran Tierra Energy International Holdings, Ltd. Series REGS, 6.25%,
2/15/2025
|
|
|
2,600,000
|
|
2,420,158
|
Sinopec Group Overseas Development 2016, Ltd. Series REGS, 2.75%,
9/29/2026
|
|
|
1,500,000
|
|
1,366,200
|
Sinopec Group Overseas Development 2017, Ltd. 3.63%, 4/12/2027
(a)
|
|
|
700,000
|
|
675,668
|
|
|
|
|
|
7,624,912
|
COLOMBIA
— 0.2% |
|
|
|
|
|
Banco Bilbao Vizcaya Argentaria Colombia SA Series REGS, 4.88%,
4/21/2025
|
|
|
500,000
|
|
487,630
|
Bancolombia SA 4.88%, 10/18/2027
(b)
|
|
|
1,700,000
|
|
1,640,908
|
Ecopetrol SA 5.88%,
9/18/2023
|
|
|
300,000
|
|
313,287
|
Grupo Aval, Ltd. Series REGS, 4.75%,
9/26/2022
|
|
|
500,000
|
|
467,445
|
Millicom
International Cellular SA: |
|
|
|
|
|
6.63%, 10/15/2026
(a)
|
|
|
1,500,000
|
|
1,523,070
|
Series REGS, 6.00%,
3/15/2025
|
|
|
400,000
|
|
395,208
|
|
|
|
|
|
4,827,548
|
Security
Description |
|
|
Principal
Amount |
|
Value
|
COSTA
RICA — 0.1% |
|
|
|
|
|
Banco Nacional de Costa Rica Series REGS, 5.88%, 4/25/2021
(a)
|
|
|
$
2,990,000 |
|
$
2,865,018 |
DOMINICAN
REPUBLIC — 0.2% |
|
|
|
|
|
AES Andres B.V./Dominican Power Partners/Empresa Generadora de Electricidad It 7.95%, 5/11/2026
(a)
|
|
|
2,200,000
|
|
2,224,420
|
Banco de Reservas de la Republica Dominicana Series REGS, 7.00%, 2/1/2023
(a)
|
|
|
3,950,000
|
|
3,950,000
|
|
|
|
|
|
6,174,420
|
FRANCE
— 0.0% (c) |
|
|
|
|
|
Altice France SA 7.38%, 5/1/2026
(a)
|
|
|
425,000
|
|
389,810
|
HONG
KONG — 0.0% (c) |
|
|
|
|
|
CK Hutchison International 17, Ltd. 3.50%, 4/5/2027
(a)
|
|
|
1,100,000
|
|
1,064,976
|
INDIA
— 1.1% |
|
|
|
|
|
Adani
Ports & Special Economic Zone, Ltd.: |
|
|
|
|
|
Series REGS, 3.50%,
7/29/2020
|
|
|
200,000
|
|
198,050
|
Series REGS, 3.95%,
1/19/2022
|
|
|
2,500,000
|
|
2,471,150
|
Bharat Petroleum Corp., Ltd. 4.63%,
10/25/2022
|
|
|
1,100,000
|
|
1,106,864
|
Bharti Airtel International Netherlands B.V. Series REGS, 5.13%,
3/11/2023
|
|
|
3,400,000
|
|
3,351,550
|
Bharti Airtel, Ltd. Series REGS, 4.38%,
6/10/2025
|
|
|
4,000,000
|
|
3,633,040
|
BPRL International Singapore Pte, Ltd. Series EMTN, 4.38%,
1/18/2027
|
|
|
3,900,000
|
|
3,685,094
|
Indian
Oil Corp., Ltd.: |
|
|
|
|
|
5.63%,
8/2/2021
|
|
|
2,000,000
|
|
2,085,052
|
5.75%,
8/1/2023
|
|
|
4,900,000
|
|
5,160,239
|
ONGC Videsh Vankorneft Pte, Ltd. 3.75%,
7/27/2026
|
|
|
5,500,000
|
|
5,105,997
|
Reliance Holding USA, Inc. Series REGS, 5.40%,
2/14/2022
|
|
|
4,500,000
|
|
4,669,110
|
Vedanta
Resources PLC: |
|
|
|
|
|
Series REGS, 6.13%,
8/9/2024
|
|
|
2,800,000
|
|
2,326,912
|
Series REGS, 7.13%,
5/31/2023
|
|
|
600,000
|
|
539,442
|
|
|
|
|
|
34,332,500
|
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF
INVESTMENTS (continued)
December 31, 2018 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
IRELAND
— 0.2% |
|
|
|
|
|
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. 6.00%, 2/15/2025
(a)
|
|
|
$
625,000 |
|
$
577,475 |
C&W
Senior Financing DAC: |
|
|
|
|
|
7.50%, 10/15/2026
(a)
|
|
|
1,300,000
|
|
1,256,112
|
Series REGS, 6.88%,
9/15/2027
|
|
|
4,000,000
|
|
3,687,000
|
|
|
|
|
|
5,520,587
|
ISRAEL
— 0.1% |
|
|
|
|
|
Delek
& Avner Tamar Bond, Ltd.: |
|
|
|
|
|
4.44%, 12/30/2020
(a)
|
|
|
1,600,000
|
|
1,596,336
|
5.41%, 12/30/2025
(a)
|
|
|
340,000
|
|
339,558
|
Israel Electric Corp., Ltd. Series 6, 5.00%, 11/12/2024
(a)
|
|
|
600,000
|
|
608,196
|
Teva Pharmaceutical Finance Netherlands III B.V. 2.80%,
7/21/2023
|
|
|
1,645,000
|
|
1,416,065
|
|
|
|
|
|
3,960,155
|
JAMAICA
— 0.1% |
|
|
|
|
|
Digicel
Group, Ltd.: |
|
|
|
|
|
Series REGS, 7.13%,
4/1/2022
|
|
|
3,300,000
|
|
1,556,214
|
Series REGS, 8.25%,
9/30/2020
|
|
|
1,000,000
|
|
678,180
|
|
|
|
|
|
2,234,394
|
JAPAN
— 0.1% |
|
|
|
|
|
Mitsubishi UFJ Financial Group, Inc. 3 Month USD LIBOR + 0.74%, 3.48%, 3/2/2023
(b)
|
|
|
1,325,000
|
|
1,308,729
|
Sumitomo Mitsui Financial Group, Inc. 3 Month USD LIBOR + 0.74%, 3.19%, 1/17/2023
(b)
|
|
|
1,685,000
|
|
1,667,577
|
|
|
|
|
|
2,976,306
|
LUXEMBOURG
— 0.2% |
|
|
|
|
|
Intelsat
Jackson Holdings SA: |
|
|
|
|
|
5.50%,
8/1/2023
|
|
|
215,000
|
|
188,981
|
8.50%, 10/15/2024
(a)
|
|
|
240,000
|
|
231,600
|
Millicom International Cellular SA Series REGS, 5.13%,
1/15/2028
|
|
|
600,000
|
|
538,050
|
Minerva
Luxembourg SA: |
|
|
|
|
|
Series REGS, 5.88%,
1/19/2028
|
|
|
1,400,000
|
|
1,220,758
|
Series REGS, 6.50%,
9/20/2026
|
|
|
2,800,000
|
|
2,606,688
|
|
|
|
|
|
4,786,077
|
Security
Description |
|
|
Principal
Amount |
|
Value
|
MALAYSIA
— 0.6% |
|
|
|
|
|
Axiata SPV2 Bhd Series 2, 3.47%,
11/19/2020
|
|
|
$
2,500,000 |
|
$
2,495,625 |
Gohl Capital, Ltd. 4.25%,
1/24/2027
|
|
|
5,000,000
|
|
4,703,660
|
Malayan Banking Bhd USD 5 Year Swap Rate + 2.54%, 3.91%, 10/29/2026
(b)
|
|
|
7,000,000
|
|
6,911,520
|
Malaysia Sovereign Sukuk Bhd Series REGS, 3.04%,
4/22/2025
|
|
|
1,400,000
|
|
1,360,184
|
Petronas Capital, Ltd. Series REGS, 3.50%,
3/18/2025
|
|
|
2,000,000
|
|
1,967,820
|
|
|
|
|
|
17,438,809
|
MEXICO
— 0.6% |
|
|
|
|
|
Banco
Mercantil del Norte SA: |
|
|
|
|
|
Series REGS, 10 Year CMT + 5.35%, 7.63%, 1/10/2028
(b)
|
|
|
2,510,000
|
|
2,429,805
|
Series REGS, 5 year CMT + 4.447%, 5.75%, 10/4/2031
(b)
|
|
|
1,200,000
|
|
1,079,592
|
Series REGS, 5 Year CMT + 5.04%, 6.88%, 7/6/2022
(b)
|
|
|
464,000
|
|
449,635
|
Banco Santander Mexico SA 5 Year CMT + 3.00%, 5.95%, 10/1/2028
(a)
(b)
|
|
|
1,700,000
|
|
1,707,395
|
BBVA
Bancomer SA: |
|
|
|
|
|
Series REGS, 5 Year CMT + 2.65%, 5.13%, 1/18/2033
(b)
|
|
|
5,200,000
|
|
4,513,652
|
Series REGS, 5 Year CMT + 3.00%, 5.35%, 11/12/2029
(b)
|
|
|
200,000
|
|
184,204
|
Coca-Cola Femsa SAB de CV 3.88%,
11/26/2023
|
|
|
650,000
|
|
657,878
|
Credito Real SAB de CV Series REGS, 5 Year CMT + 7.03%, 9.13%, 11/29/2022
(b)
|
|
|
900,000
|
|
846,351
|
Fomento Economico Mexicano SAB de CV 2.88%,
5/10/2023
|
|
|
1,000,000
|
|
956,840
|
Grupo Idesa SA de CV Series REGS, 7.88%,
12/18/2020
|
|
|
2,000,000
|
|
1,396,460
|
Unifin
Financiera SAB de CV: |
|
|
|
|
|
Series REGS, 7.38%,
2/12/2026
|
|
|
200,000
|
|
170,636
|
Series REGS, 5 Year CMT + 6.31%, 8.88%, 1/29/2025
(b)
|
|
|
3,100,000
|
|
2,552,230
|
|
|
|
|
|
16,944,678
|
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF
INVESTMENTS (continued)
December 31, 2018 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
NETHERLANDS
— 0.1% (c) |
|
|
|
|
|
AES Andres B.V./Dominican Power Partners/Empresa Generadora de Electricidad It Series REGS, 7.95%,
5/11/2026
|
|
|
1,200,000
|
|
$
1,213,320 |
Ajecorp B.V. Series REGS, 6.50%,
5/14/2022
|
|
|
$
150,000 |
|
102,944
|
Starfruit Finco B.V./Starfruit US Holdco LLC 8.00%, 10/1/2026
(a)
|
|
|
150,000
|
|
139,566
|
Stars Group Holdings B.V. 7.00%, 7/15/2026
(a)
|
|
|
305,000
|
|
296,399
|
|
|
|
|
|
1,752,229
|
PANAMA
— 0.2% |
|
|
|
|
|
Global Bank Corp. Series REGS, 5.13%,
10/30/2019
|
|
|
6,000,000
|
|
6,003,360
|
PERU
— 0.1% |
|
|
|
|
|
Banco Internacional del Peru SAA Series REGS, 3 Month USD LIBOR + 6.74%, 8.50%, 4/23/2070
(b)
|
|
|
500,000
|
|
522,750
|
BBVA Banco Continental SA Series REGS, 5.00%,
8/26/2022
|
|
|
1,000,000
|
|
1,017,590
|
Transportadora de Gas del Peru SA Series REGS, 4.25%,
4/30/2028
|
|
|
700,000
|
|
675,353
|
|
|
|
|
|
2,215,693
|
PHILIPPINES
— 0.2% |
|
|
|
|
|
BDO
Unibank, Inc.: |
|
|
|
|
|
Series EMTN, 2.63%,
10/24/2021
|
|
|
1,200,000
|
|
1,152,360
|
Series EMTN, 2.95%,
3/6/2023
|
|
|
6,200,000
|
|
5,860,240
|
|
|
|
|
|
7,012,600
|
SINGAPORE
— 0.6% |
|
|
|
|
|
DBS Group Holdings, Ltd. Series GMTN, USD 5 Year Swap Rate + 2.39%, 3.60%, 9/7/2021
(b)
|
|
|
4,100,000
|
|
3,915,500
|
Temasek Financial I, Ltd. Series REGS, 2.38%,
1/23/2023
|
|
|
7,650,000
|
|
7,412,008
|
United
Overseas Bank, Ltd.: |
|
|
|
|
|
Series EMTN, USD 5 Year Swap Rate + 1.79%, 3.88%, 10/19/2023
(b)
|
|
|
2,000,000
|
|
1,842,214
|
Series EMTN, USD 5 Year Swap Rate + 2.24%, 3.50%, 9/16/2026
(b)
|
|
|
4,000,000
|
|
3,960,760
|
|
|
|
|
|
17,130,482
|
UNITED
KINGDOM — 0.3% |
|
|
|
|
|
AstraZeneca PLC 2.38%,
6/12/2022
|
|
|
1,600,000
|
|
1,532,016
|
Security
Description |
|
|
Principal
Amount |
|
Value
|
Avation Capital SA 6.50%, 5/15/2021
(a)
|
|
|
$
400,000 |
|
$
400,000 |
MARB BondCo PLC Series REGS, 7.00%,
3/15/2024
|
|
|
400,000
|
|
378,172
|
Reynolds American, Inc. 4.00%,
6/12/2022
|
|
|
2,770,000
|
|
2,735,043
|
Royal Bank of Scotland Group PLC 3 Month USD LIBOR + 1.48%, 3.50%, 5/15/2023
(b)
|
|
|
2,895,000
|
|
2,776,884
|
|
|
|
|
|
7,822,115
|
UNITED
STATES — 6.1% |
|
|
|
|
|
AbbVie, Inc. 3.20%,
11/6/2022
|
|
|
1,450,000
|
|
1,430,396
|
Air Lease Corp. 3.25%,
3/1/2025
|
|
|
2,995,000
|
|
2,752,495
|
Air Medical Group Holdings, Inc. 6.38%, 5/15/2023
(a)
|
|
|
190,000
|
|
160,552
|
AK Steel Corp. 6.38%,
10/15/2025
|
|
|
240,000
|
|
188,182
|
Albertsons Cos. LLC/Safeway, Inc./New Albertson's, Inc./Albertson's LLC 5.75%,
3/15/2025
|
|
|
725,000
|
|
634,375
|
Alcoa Nederland Holding B.V. 6.13%, 5/15/2028
(a)
|
|
|
220,000
|
|
210,815
|
Allergan
Funding SCS: |
|
|
|
|
|
3.80%,
3/15/2025
|
|
|
465,000
|
|
453,612
|
3.85%,
6/15/2024
|
|
|
2,375,000
|
|
2,342,368
|
Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer 8.25%, 8/1/2023
(a)
|
|
|
815,000
|
|
807,453
|
Amazon.com,
Inc.: |
|
|
|
|
|
2.80%,
8/22/2024
|
|
|
1,985,000
|
|
1,929,222
|
3.80%,
12/5/2024
|
|
|
1,255,000
|
|
1,284,819
|
American Axle & Manufacturing, Inc. 6.25%,
3/15/2026
|
|
|
435,000
|
|
390,834
|
American Express Co. 2.50%,
8/1/2022
|
|
|
1,530,000
|
|
1,477,123
|
Anthem, Inc. 3.30%,
1/15/2023
|
|
|
2,982,000
|
|
2,934,109
|
Aramark Services, Inc. 5.00%, 4/1/2025
(a)
|
|
|
605,000
|
|
595,217
|
Arrow Electronics, Inc. 3.88%,
1/12/2028
|
|
|
359,000
|
|
326,812
|
Ascend Learning LLC 6.88%, 8/1/2025
(a)
|
|
|
595,000
|
|
571,736
|
Ashland LLC 4.75%,
8/15/2022
|
|
|
380,000
|
|
373,517
|
ASP AMC Merger Sub, Inc. 8.00%, 5/15/2025
(a)
|
|
|
593,000
|
|
314,604
|
AssuredPartners, Inc. 7.00%, 8/15/2025
(a)
|
|
|
597,000
|
|
539,366
|
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF
INVESTMENTS (continued)
December 31, 2018 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
AT&T, Inc. 3.40%,
5/15/2025
|
|
|
$
1,530,000 |
|
$
1,441,306 |
Avantor, Inc. 9.00%, 10/1/2025
(a)
|
|
|
560,000
|
|
559,681
|
B&G Foods, Inc. 5.25%,
4/1/2025
|
|
|
610,000
|
|
567,648
|
Banff Merger Sub, Inc. 9.75%, 9/1/2026
(a)
|
|
|
195,000
|
|
178,452
|
Bank of America Corp. Series GMTN, 3 Month USD LIBOR + 0.66%, 2.37%, 7/21/2021
(b)
|
|
|
2,815,000
|
|
2,767,201
|
Bausch Health Cos., Inc. 7.00%, 3/15/2024
(a)
|
|
|
240,000
|
|
243,101
|
Beacon Roofing Supply, Inc. 4.88%, 11/1/2025
(a)
|
|
|
650,000
|
|
571,851
|
Becton Dickinson and Co. 2.89%,
6/6/2022
|
|
|
2,895,000
|
|
2,802,707
|
Boston Properties L.P. 3.65%,
2/1/2026
|
|
|
2,890,000
|
|
2,801,248
|
Boyne USA, Inc. 7.25%, 5/1/2025
(a)
|
|
|
835,000
|
|
860,075
|
Builders FirstSource, Inc. 5.63%, 9/1/2024
(a)
|
|
|
860,000
|
|
797,874
|
Calpine Corp. 5.75%,
1/15/2025
|
|
|
210,000
|
|
191,789
|
Camelot Finance SA 7.88%, 10/15/2024
(a)
|
|
|
415,000
|
|
401,471
|
Cardinal Health, Inc. 3.41%,
6/15/2027
|
|
|
3,280,000
|
|
2,980,503
|
Caterpillar, Inc. 3.40%,
5/15/2024
|
|
|
2,791,000
|
|
2,800,154
|
CCO
Holdings LLC/CCO Holdings Capital Corp.: |
|
|
|
|
|
5.00%, 2/1/2028
(a)
|
|
|
475,000
|
|
436,957
|
5.75%, 2/15/2026
(a)
|
|
|
405,000
|
|
397,042
|
CDK Global, Inc. 5.88%,
6/15/2026
|
|
|
205,000
|
|
204,770
|
Celgene Corp. 4.35%,
11/15/2047
|
|
|
3,360,000
|
|
2,845,282
|
Cengage Learning, Inc. 9.50%, 6/15/2024
(a)
|
|
|
485,000
|
|
330,043
|
Centene Corp. 4.75%,
1/15/2025
|
|
|
880,000
|
|
841,262
|
Centene Escrow I Corp. 5.38%, 6/1/2026
(a)
|
|
|
90,000
|
|
87,886
|
Charter Communications Operating LLC/Charter Communications Operating Capital 4.46%,
7/23/2022
|
|
|
1,475,000
|
|
1,489,204
|
Cheniere Energy Partners L.P. 5.25%,
10/1/2025
|
|
|
935,000
|
|
871,046
|
Cincinnati Bell, Inc. 7.00%, 7/15/2024
(a)
|
|
|
439,000
|
|
363,966
|
Citigroup, Inc. 3 Month USD LIBOR + 1.39%, 3.67%, 7/24/2028
(b)
|
|
|
2,970,000
|
|
2,810,778
|
Security
Description |
|
|
Principal
Amount |
|
Value
|
CNX Midstream Partners L.P./CNX Midstream Finance Corp. 6.50%, 3/15/2026
(a)
|
|
|
$
730,000 |
|
$
690,799 |
Comcast Corp. 4.70%,
10/15/2048
|
|
|
1,530,000
|
|
1,548,192
|
Constellation Merger Sub, Inc. 8.50%, 9/15/2025
(a)
|
|
|
200,000
|
|
180,440
|
Continental Resources, Inc. 4.38%,
1/15/2028
|
|
|
1,465,000
|
|
1,381,070
|
CRC Escrow Issuer LLC/CRC Finco, Inc. 5.25%, 10/15/2025
(a)
|
|
|
420,000
|
|
366,811
|
Crown Americas LLC/Crown Americas Capital Corp. 4.75%, 2/1/2026
(a)
|
|
|
405,000
|
|
383,276
|
CSC
Holdings LLC: |
|
|
|
|
|
5.25%,
6/1/2024
|
|
|
440,000
|
|
403,867
|
5.38%, 7/15/2023
(a)
|
|
|
875,000
|
|
854,770
|
CSI Compressco L.P./CSI Compressco Finance, Inc. 7.50%, 4/1/2025
(a)
|
|
|
425,000
|
|
396,980
|
CVS Health Corp. 3.70%,
3/9/2023
|
|
|
3,015,000
|
|
2,985,393
|
Dana Financing Luxembourg Sarl 5.75%, 4/15/2025
(a)
|
|
|
425,000
|
|
395,960
|
Delta Air Lines, Inc. 3.63%,
3/15/2022
|
|
|
1,885,000
|
|
1,817,442
|
Delta Merger Sub, Inc. 6.00%, 9/15/2026
(a)
|
|
|
155,000
|
|
146,456
|
Discover Financial Services 4.10%,
2/9/2027
|
|
|
1,400,000
|
|
1,305,808
|
DISH DBS Corp. 5.88%,
11/15/2024
|
|
|
230,000
|
|
185,086
|
DJO Finance LLC/DJO Finance Corp. 8.13%, 6/15/2021
(a)
|
|
|
420,000
|
|
432,285
|
Dollar Tree, Inc. 4.00%,
5/15/2025
|
|
|
1,550,000
|
|
1,489,767
|
DowDuPont, Inc. 5.42%,
11/15/2048
|
|
|
1,145,000
|
|
1,192,414
|
Duke Energy Corp. 2.65%,
9/1/2026
|
|
|
3,085,000
|
|
2,804,851
|
Edison International 4.13%,
3/15/2028
|
|
|
685,000
|
|
649,544
|
Eldorado Resorts, Inc. 6.00%,
4/1/2025
|
|
|
420,000
|
|
405,363
|
Embarq Corp. 8.00%,
6/1/2036
|
|
|
460,000
|
|
416,065
|
Energy Transfer Operating L.P. 4.75%,
1/15/2026
|
|
|
2,130,000
|
|
2,066,547
|
Enterprise Products Operating LLC 3.75%,
2/15/2025
|
|
|
2,155,000
|
|
2,130,002
|
Envision Helthcare Corp. 8.75%, 10/15/2026
(a)
|
|
|
45,000
|
|
38,959
|
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF
INVESTMENTS (continued)
December 31, 2018 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
EP Energy LLC/Everest Acquisition Finance, Inc. 7.75%, 5/15/2026
(a)
|
|
|
$
440,000 |
|
$
390,210 |
EQT Corp. 3.90%,
10/1/2027
|
|
|
3,240,000
|
|
2,801,822
|
EQT Midstream Partners L.P. Series 5Y, 4.75%,
7/15/2023
|
|
|
1,895,000
|
|
1,885,051
|
ESH Hospitality, Inc. 5.25%, 5/1/2025
(a)
|
|
|
710,000
|
|
667,975
|
Expedia Group, Inc. 3.80%,
2/15/2028
|
|
|
3,275,000
|
|
2,972,718
|
Exterran Energy Solutions L.P./EES Finance Corp. 8.13%,
5/1/2025
|
|
|
190,000
|
|
182,248
|
Extraction Oil & Gas, Inc. 5.63%, 2/1/2026
(a)
|
|
|
155,000
|
|
115,746
|
FedEx Corp. 4.75%,
11/15/2045
|
|
|
1,425,000
|
|
1,338,246
|
Financial
& Risk US Holdings, Inc.: |
|
|
|
|
|
6.25%, 5/15/2026
(a)
|
|
|
270,000
|
|
259,856
|
8.25%, 11/15/2026
(a)
|
|
|
80,000
|
|
73,106
|
First Data Corp. 5.75%, 1/15/2024
(a)
|
|
|
835,000
|
|
813,758
|
Flex
Acquisition Co., Inc.: |
|
|
|
|
|
6.88%, 1/15/2025
(a)
|
|
|
405,000
|
|
361,013
|
7.88%, 7/15/2026
(a)
|
|
|
140,000
|
|
126,350
|
Foresight Energy LLC/Foresight Energy Finance Corp. 11.50%, 4/1/2023
(a)
|
|
|
510,000
|
|
434,790
|
frontdoor, Inc. 6.75%, 8/15/2026
(a)
|
|
|
390,000
|
|
371,393
|
Frontier
Communications Corp.: |
|
|
|
|
|
8.50%,
4/15/2020
|
|
|
155,000
|
|
137,175
|
8.50%, 4/1/2026
(a)
|
|
|
240,000
|
|
209,990
|
FTS International, Inc. 6.25%,
5/1/2022
|
|
|
405,000
|
|
359,632
|
General Motors Co. 3 Month USD LIBOR + 0.80%, 3.39%, 8/7/2020
(b)
|
|
|
645,000
|
|
639,214
|
General
Motors Financial Co., Inc.: |
|
|
|
|
|
3.95%,
4/13/2024
|
|
|
125,000
|
|
118,311
|
3 Month USD LIBOR + 0.99%, 3.40%, 1/5/2023
(b)
|
|
|
2,070,000
|
|
1,967,245
|
Genesys Telecommunications Laboratories, Inc./Greeneden Lux 3 Sarl/Greeneden US Holdings II LLC 10.00%, 11/30/2024
(a)
|
|
|
765,000
|
|
801,360
|
Georgia-Pacific LLC 3.60%, 3/1/2025
(a)
|
|
|
1,543,000
|
|
1,542,645
|
GLP
Capital L.P./GLP Financing II, Inc.: |
|
|
|
|
|
5.30%,
1/15/2029
|
|
|
535,000
|
|
524,867
|
Security
Description |
|
|
Principal
Amount |
|
Value
|
5.75%,
6/1/2028
|
|
|
$
950,000 |
|
$
944,481 |
Golden Nugget, Inc. 6.75%, 10/15/2024
(a)
|
|
|
580,000
|
|
546,551
|
Goldman
Sachs Group, Inc.: |
|
|
|
|
|
3 Month USD LIBOR + 0.78%, 3.31%, 10/31/2022
(b)
|
|
|
1,115,000
|
|
1,086,110
|
3 Month USD LIBOR + 1.17%, 3.79%, 5/15/2026
(b)
|
|
|
1,650,000
|
|
1,557,336
|
Gray Escrow, Inc. 7.00%, 5/15/2027
(a)
|
|
|
200,000
|
|
194,712
|
Gray Television, Inc. 5.13%, 10/15/2024
(a)
|
|
|
195,000
|
|
179,823
|
GTT Communications, Inc. 7.88%, 12/31/2024
(a)
|
|
|
665,000
|
|
575,996
|
Gulfport Energy Corp. 6.38%,
5/15/2025
|
|
|
405,000
|
|
360,450
|
Halfmoon Parent, Inc. 3 Month USD LIBOR + 0.89%, 3.33%, 7/15/2023
(a)
(b)
|
|
|
2,935,000
|
|
2,890,388
|
Hasbro, Inc. 3.50%,
9/15/2027
|
|
|
1,685,000
|
|
1,537,832
|
HCA Healthcare, Inc. 6.25%,
2/15/2021
|
|
|
400,000
|
|
409,108
|
HCA,
Inc.: |
|
|
|
|
|
5.25%,
4/15/2025
|
|
|
190,000
|
|
189,609
|
5.38%,
9/1/2026
|
|
|
795,000
|
|
773,392
|
Hess Infrastructure Partners L.P./Hess Infrastructure Partners Finance Corp. 5.63%, 2/15/2026
(a)
|
|
|
845,000
|
|
821,551
|
Hexion,
Inc.: |
|
|
|
|
|
6.63%,
4/15/2020
|
|
|
225,000
|
|
179,649
|
10.38%, 2/1/2022
(a)
|
|
|
440,000
|
|
347,644
|
Hilcorp Energy I L.P./Hilcorp Finance Co. 6.25%, 11/1/2028
(a)
|
|
|
415,000
|
|
364,889
|
Hilton Domestic Operating Co., Inc. 4.25%,
9/1/2024
|
|
|
440,000
|
|
416,209
|
Icahn Enterprises L.P./Icahn Enterprises Finance Corp. 6.25%,
2/1/2022
|
|
|
805,000
|
|
802,915
|
Indigo Natural Resources LLC 6.88%, 2/15/2026
(a)
|
|
|
445,000
|
|
383,247
|
Informatica LLC 7.13%, 7/15/2023
(a)
|
|
|
800,000
|
|
779,792
|
IRB Holding Corp. 6.75%, 2/15/2026
(a)
|
|
|
685,000
|
|
595,532
|
Iridium Communications, Inc. 10.25%, 4/15/2023
(a)
|
|
|
490,000
|
|
519,988
|
Jeld-Wen, Inc. 4.63%, 12/15/2025
(a)
|
|
|
450,000
|
|
396,000
|
KAR Auction Services, Inc. 5.13%, 6/1/2025
(a)
|
|
|
440,000
|
|
397,100
|
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF
INVESTMENTS (continued)
December 31, 2018 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
Kinder Morgan, Inc. 4.30%,
3/1/2028
|
|
|
$
1,435,000 |
|
$
1,405,769 |
Kratos Defense & Security Solutions, Inc. 6.50%, 11/30/2025
(a)
|
|
|
200,000
|
|
204,074
|
Laboratory Corp. of America Holdings 3.60%,
2/1/2025
|
|
|
3,096,000
|
|
2,974,637
|
Level 3 Financing, Inc. 5.38%,
1/15/2024
|
|
|
595,000
|
|
566,738
|
Live Nation Entertainment, Inc. 5.63%, 3/15/2026
(a)
|
|
|
425,000
|
|
418,651
|
LTF Merger Sub, Inc. 8.50%, 6/15/2023
(a)
|
|
|
375,000
|
|
380,276
|
Marriott Ownership Resorts, Inc. 6.50%, 9/15/2026
(a)
|
|
|
190,000
|
|
183,213
|
Match Group, Inc. 5.00%, 12/15/2027
(a)
|
|
|
400,000
|
|
366,964
|
Matterhorn Merger Sub LLC/Matterhorn Finance Sub, Inc. 8.50%, 6/1/2026
(a)
|
|
|
210,000
|
|
167,334
|
MGM Growth Properties Operating Partnership L.P./MGP Finance Co-Issuer, Inc. 4.50%,
1/15/2028
|
|
|
645,000
|
|
565,633
|
Microchip Technology, Inc. 4.33%, 6/1/2023
(a)
|
|
|
3,075,000
|
|
2,977,523
|
Morgan Stanley 3 Month USD LIBOR + 0.85%, 3.74%, 4/24/2024
(b)
|
|
|
2,800,000
|
|
2,775,668
|
Mosaic Co. 4.05%,
11/15/2027
|
|
|
1,540,000
|
|
1,481,049
|
Moss Creek Resources Holdings, Inc. 7.50%, 1/15/2026
(a)
|
|
|
520,000
|
|
449,805
|
MPH Acquisition Holdings LLC 7.13%, 6/1/2024
(a)
|
|
|
400,000
|
|
373,004
|
MPT Operating Partnership L.P./MPT Finance Corp. 5.25%,
8/1/2026
|
|
|
855,000
|
|
806,693
|
Nabors Industries, Inc. 5.75%,
2/1/2025
|
|
|
440,000
|
|
332,059
|
Navient Corp. 6.50%,
6/15/2022
|
|
|
720,000
|
|
671,256
|
NCL Corp., Ltd. 4.75%, 12/15/2021
(a)
|
|
|
375,000
|
|
374,325
|
Netflix, Inc. 5.88%,
2/15/2025
|
|
|
195,000
|
|
197,100
|
New York Life Global Funding 2.30%, 6/10/2022
(a)
|
|
|
1,555,000
|
|
1,502,130
|
NFP Corp. 6.88%, 7/15/2025
(a)
|
|
|
730,000
|
|
658,832
|
NUVEEN FINANCE LLC 4.13%, 11/1/2024
(a)
|
|
|
3,045,000
|
|
3,107,301
|
Security
Description |
|
|
Principal
Amount |
|
Value
|
Par Petroleum LLC/Petroleum Finance Corp. 7.75%, 12/15/2025
(a)
|
|
|
$
425,000 |
|
$
402,501 |
Peabody Energy Corp. 6.00%, 3/31/2022
(a)
|
|
|
718,000
|
|
702,807
|
Penske Truck Leasing Co. L.P./PTL Finance Corp. 4.20%, 4/1/2027
(a)
|
|
|
675,000
|
|
659,759
|
PetSmart,
Inc.: |
|
|
|
|
|
5.88%, 6/1/2025
(a)
|
|
|
90,000
|
|
65,231
|
7.13%, 3/15/2023
(a)
|
|
|
455,000
|
|
264,401
|
Pilgrim's Pride Corp. 5.75%, 3/15/2025
(a)
|
|
|
885,000
|
|
832,166
|
Polaris Intermediate Corp. PIK PIK, 8.50%, 12/1/2022
(a)
|
|
|
200,000
|
|
182,696
|
Post Holdings, Inc. 5.50%, 3/1/2025
(a)
|
|
|
600,000
|
|
576,462
|
Prime Security Services Borrower LLC/Prime Finance, Inc. 9.25%, 5/15/2023
(a)
|
|
|
1,009,000
|
|
1,040,309
|
Prudential Financial, Inc. Series MTN, 3.50%,
5/15/2024
|
|
|
2,775,000
|
|
2,784,879
|
QEP Resources, Inc. 5.25%,
5/1/2023
|
|
|
1,000,000
|
|
888,570
|
Radiate Holdco LLC/Radiate Finance, Inc. 6.88%, 2/15/2023
(a)
|
|
|
465,000
|
|
423,466
|
RegionalCare Hospital Partners Holdings, Inc. 8.25%, 5/1/2023
(a)
|
|
|
160,000
|
|
161,613
|
Resideo Funding, Inc. 6.13%, 11/1/2026
(a)
|
|
|
190,000
|
|
187,629
|
Riverbed Technology, Inc. 8.88%, 3/1/2023
(a)
|
|
|
255,000
|
|
183,791
|
Roper Technologies, Inc. 4.20%,
9/15/2028
|
|
|
1,505,000
|
|
1,497,264
|
Sabine Pass Liquefaction LLC 5.00%,
3/15/2027
|
|
|
2,240,000
|
|
2,254,694
|
Santander Holdings USA, Inc. 3.40%,
1/18/2023
|
|
|
1,400,000
|
|
1,346,324
|
Schweitzer-Mauduit International, Inc. 6.88%, 10/1/2026
(a)
|
|
|
290,000
|
|
273,386
|
Scientific Games International, Inc. 5.00%, 10/15/2025
(a)
|
|
|
340,000
|
|
304,538
|
Select Medical Corp. 6.38%,
6/1/2021
|
|
|
1,350,000
|
|
1,348,907
|
Sirius XM Radio, Inc. 5.38%, 7/15/2026
(a)
|
|
|
625,000
|
|
590,700
|
Six Flags Entertainment Corp. 4.88%, 7/31/2024
(a)
|
|
|
430,000
|
|
407,249
|
Smithfield Foods, Inc. 4.25%, 2/1/2027
(a)
|
|
|
1,620,000
|
|
1,480,307
|
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF
INVESTMENTS (continued)
December 31, 2018 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
Solera LLC/Solera Finance, Inc. 10.50%, 3/1/2024
(a)
|
|
|
$
360,000 |
|
$
383,400 |
Sophia L.P./Sophia Finance, Inc. 9.00%, 9/30/2023
(a)
|
|
|
733,000
|
|
739,890
|
Southern Co. 1.85%,
7/1/2019
|
|
|
1,320,000
|
|
1,310,245
|
Springleaf Finance Corp. 7.13%,
3/15/2026
|
|
|
415,000
|
|
370,744
|
Sprint Corp. 7.13%,
6/15/2024
|
|
|
1,355,000
|
|
1,340,691
|
Stevens Holding Co., Inc. 6.13%, 10/1/2026
(a)
|
|
|
405,000
|
|
399,456
|
SunCoke Energy Partners L.P./SunCoke Energy Partners Finance Corp. 7.50%, 6/15/2025
(a)
|
|
|
565,000
|
|
533,998
|
Sunoco L.P./Sunoco Finance Corp. Series WI, 5.50%,
2/15/2026
|
|
|
450,000
|
|
424,620
|
Sysco Corp. 3.25%,
7/15/2027
|
|
|
1,595,000
|
|
1,492,330
|
Tapstone Energy LLC/Tapstone Energy Finance Corp. 9.75%, 6/1/2022
(a)
|
|
|
225,000
|
|
173,320
|
Targa Resources Partners L.P./Targa Resources Partners Finance Corp. 5.88%, 4/15/2026
(a)
|
|
|
615,000
|
|
598,819
|
Tempo Acquisition LLC/Tempo Acquisition Finance Corp. 6.75%, 6/1/2025
(a)
|
|
|
600,000
|
|
565,140
|
Tempur Sealy International, Inc. 5.50%,
6/15/2026
|
|
|
602,000
|
|
547,748
|
Tenet Healthcare Corp. 7.00%,
8/1/2025
|
|
|
625,000
|
|
580,556
|
TerraForm Power Operating LLC 4.25%, 1/31/2023
(a)
|
|
|
535,000
|
|
500,728
|
T-Mobile USA, Inc. 4.50%,
2/1/2026
|
|
|
450,000
|
|
415,643
|
TransDigm, Inc. 6.38%,
6/15/2026
|
|
|
600,000
|
|
559,044
|
Transocean Guardian, Ltd. 5.88%, 1/15/2024
(a)
|
|
|
220,000
|
|
211,110
|
Transocean Proteus, Ltd. 6.25%, 12/1/2024
(a)
|
|
|
532,000
|
|
514,258
|
Transocean, Inc. 7.25%, 11/1/2025
(a)
|
|
|
255,000
|
|
225,045
|
Trident Merger Sub, Inc. 6.63%, 11/1/2025
(a)
|
|
|
250,000
|
|
222,975
|
Triumph Group, Inc. 7.75%,
8/15/2025
|
|
|
617,000
|
|
535,932
|
Uber Technologies, Inc. 8.00%, 11/1/2026
(a)
|
|
|
350,000
|
|
337,302
|
United Rentals North America, Inc. 6.50%,
12/15/2026
|
|
|
300,000
|
|
295,500
|
Univision Communications, Inc. 5.13%, 5/15/2023
(a)
|
|
|
120,000
|
|
107,885
|
Security
Description |
|
|
Principal
Amount |
|
Value
|
USA Compression Partners L.P./USA Compression Finance Corp. 6.88%, 4/1/2026
(a)
|
|
|
$
665,000 |
|
$
638,127 |
Valeant Pharmaceuticals International, Inc. 8.50%, 1/31/2027
(a)
|
|
|
565,000
|
|
547,389
|
Verizon Communications, Inc. 3.50%,
11/1/2024
|
|
|
1,510,000
|
|
1,490,113
|
Verscend Escrow Corp. 9.75%, 8/15/2026
(a)
|
|
|
375,000
|
|
352,436
|
Viking Cruises, Ltd. 5.88%, 9/15/2027
(a)
|
|
|
765,000
|
|
714,349
|
Vine Oil & Gas L.P./Vine Oil & Gas Finance Corp. 8.75%, 4/15/2023
(a)
|
|
|
230,000
|
|
179,803
|
Vistra Operations Co. LLC 5.50%, 9/1/2026
(a)
|
|
|
400,000
|
|
388,328
|
Vizient, Inc. 10.38%, 3/1/2024
(a)
|
|
|
780,000
|
|
826,301
|
Wand Merger Corp. 8.13%, 7/15/2023
(a)
|
|
|
380,000
|
|
370,796
|
Waste Pro USA, Inc. 5.50%, 2/15/2026
(a)
|
|
|
435,000
|
|
401,035
|
Weatherford International, Ltd. 9.88%,
2/15/2024
|
|
|
220,000
|
|
134,572
|
WellCare
Health Plans, Inc.: |
|
|
|
|
|
5.25%,
4/1/2025
|
|
|
575,000
|
|
553,547
|
5.38%, 8/15/2026
(a)
|
|
|
165,000
|
|
159,545
|
Wells
Fargo & Co.: |
|
|
|
|
|
3.07%,
1/24/2023
|
|
|
1,535,000
|
|
1,490,777
|
Series MTN, 3 Month USD LIBOR + 1.31%, 3.58%, 5/22/2028
(b)
|
|
|
1,585,000
|
|
1,521,917
|
Whiting Petroleum Corp. 6.63%,
1/15/2026
|
|
|
600,000
|
|
513,120
|
Williams Cos., Inc. 3.75%,
6/15/2027
|
|
|
1,510,000
|
|
1,419,702
|
WRKCo, Inc. 3.75%, 3/15/2025
(a)
|
|
|
1,460,000
|
|
1,424,084
|
Zimmer Biomet Holdings, Inc. 3.70%,
3/19/2023
|
|
|
1,580,000
|
|
1,557,201
|
|
|
|
|
|
181,243,280
|
TOTAL CORPORATE BONDS & NOTES (Cost
$418,086,477)
|
|
|
|
|
399,601,133
|
ASSET-BACKED
SECURITIES — 1.8% |
|
|
|
|
|
Aegis Asset Backed Securities Trust Series 2006-1, Class A2, 1 Month USD LIBOR + 0.17%, 2.68%, 1/25/2037
(b)
|
|
|
30,018,585
|
|
23,737,564
|
Ajax Mortgage Loan Trust Series 2017-C, Class A, 3.75%, 7/25/2060
(a)
(d)
|
|
|
6,737,333
|
|
6,664,076
|
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF
INVESTMENTS (continued)
December 31, 2018 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
Colony Starwood Homes Trust Series 2016-2A, Class D, 1 Month USD LIBOR + 2.35%, 4.81%, 12/17/2033
(a)
(b)
|
|
|
$
2,964,812 |
|
$
2,964,819 |
Flagship Credit Auto Trust Series 2016-3, Class B, 2.43%, 6/15/2021
(a)
|
|
|
3,500,000
|
|
3,487,306
|
GSAA Home Equity Trust Series 2007-10, Class A2A, 6.50%,
11/25/2037
|
|
|
2,685,090
|
|
1,817,185
|
OneMain Financial Issuance Trust Series 2015-1A, Class A, 3.19%, 3/18/2026
(a)
|
|
|
4,665,244
|
|
4,661,466
|
Progress Residential Trust Series 2016-SFR2, Class D, 1 Month USD LIBOR + 2.50%, 4.96%, 1/17/2034
(a)
(b)
|
|
|
1,000,000
|
|
1,000,688
|
Structured Asset Investment Loan Trust Series 2006-BNC2, Class A5, 1 Month USD LIBOR + 0.16%, 2.67%, 5/25/2036
(b)
|
|
|
4,372,200
|
|
4,123,525
|
Structured Asset Securities Corp. Mortgage Loan Trust Series 2006-BC4, Class A4, 1 Month USD LIBOR + 0.17%, 2.68%, 12/25/2036
(b)
|
|
|
2,428,363
|
|
2,301,179
|
Towd Point Mortgage Trust Series 2015-1, Class AE, 3.00%, 10/25/2053
(a)
|
|
|
1,535,626
|
|
1,517,587
|
TOTAL ASSET-BACKED SECURITIES (Cost
$52,761,926)
|
|
|
|
|
52,275,395
|
FOREIGN
GOVERNMENT OBLIGATIONS — 1.6% |
|
|
|
|
|
ARGENTINA
— 0.3% |
|
|
|
|
|
Argentine
Republic Government International Bond: |
|
|
|
|
|
5.88%,
1/11/2028
|
|
|
1,350,000
|
|
975,847
|
6.63%,
7/6/2028
|
|
|
1,150,000
|
|
854,278
|
6.88%,
1/26/2027
|
|
|
3,500,000
|
|
2,678,235
|
Provincia de Buenos Aires Series REGS, 7.88%,
6/15/2027
|
|
|
4,250,000
|
|
3,057,662
|
|
|
|
|
|
7,566,022
|
BRAZIL
— 0.1% |
|
|
|
|
|
Itau Unibanco Holding SA Series REGS, 6.13%, 12/12/2022
(b)
|
|
|
2,500,000
|
|
2,342,200
|
CANADA
— 0.0% (c) |
|
|
|
|
|
Masonite International Corp. 5.75%, 9/15/2026
(a)
|
|
|
490,000
|
|
461,845
|
CHILE
— 0.2% |
|
|
|
|
|
Chile
Government International Bond: |
|
|
|
|
|
Security
Description |
|
|
Principal
Amount |
|
Value
|
3.13%,
3/27/2025
|
|
|
$
2,000,000 |
|
$
1,945,560 |
3.13%,
1/21/2026
|
|
|
5,000,000
|
|
4,835,100
|
|
|
|
|
|
6,780,660
|
COSTA
RICA — 0.1% |
|
|
|
|
|
Costa Rica Government International Bond 10.00%,
8/1/2020
|
|
|
2,905,000
|
|
2,996,711
|
INDIA
— 0.0% (c) |
|
|
|
|
|
Export-Import Bank of India Series EMTN, 4.00%,
1/14/2023
|
|
|
1,200,000
|
|
1,195,387
|
INDONESIA
— 0.2% |
|
|
|
|
|
Perusahaan
Penerbit SBSN Indonesia III: |
|
|
|
|
|
4.15%, 3/29/2027
(a)
|
|
|
4,500,000
|
|
4,330,890
|
Series REGS, 4.15%,
3/29/2027
|
|
|
2,000,000
|
|
1,924,840
|
|
|
|
|
|
6,255,730
|
ISRAEL
— 0.1% |
|
|
|
|
|
Israel Government International Bond 2.88%,
3/16/2026
|
|
|
3,500,000
|
|
3,389,715
|
MEXICO
— 0.0% (c) |
|
|
|
|
|
Mexico Government International Bond 3.75%,
1/11/2028
|
|
|
1,200,000
|
|
1,124,208
|
PANAMA
— 0.2% |
|
|
|
|
|
Panama Government International Bond 4.00%,
9/22/2024
|
|
|
5,000,000
|
|
5,038,250
|
PERU
— 0.1% |
|
|
|
|
|
Fondo
MIVIVIENDA SA: |
|
|
|
|
|
3.50%, 1/31/2023
(a)
|
|
|
800,000
|
|
770,056
|
Series REGS, 3.50%,
1/31/2023
|
|
|
1,800,000
|
|
1,732,626
|
|
|
|
|
|
2,502,682
|
PHILIPPINES
— 0.3% |
|
|
|
|
|
Philippine Government International Bond 4.20%,
1/21/2024
|
|
|
7,000,000
|
|
7,200,060
|
UNITED
STATES — 0.0% (c) |
|
|
|
|
|
Mavis Tire Express Services Corp. 2.56%,
3/20/2025
|
|
|
75,831
|
|
73,366
|
TOTAL FOREIGN GOVERNMENT OBLIGATIONS (Cost
$50,764,053)
|
|
|
|
|
46,926,836
|
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF
INVESTMENTS (continued)
December 31, 2018 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
SENIOR
FLOATING RATE LOANS — 6.1% |
|
|
|
|
|
AEROSPACE
& DEFENSE — 0.0% (c) |
|
|
|
|
|
TransDigm,
Inc.: |
|
|
|
|
|
Senior Secured 2018 Term Loan E, 1 Month USD LIBOR + 2.50%, 5.02%,
5/30/2025
|
|
|
$
230,488 |
|
$
218,136 |
Senior Secured 2018 Term Loan F, 1 Month USD LIBOR + 2.50%, 5.02%,
6/9/2023
|
|
|
567,835
|
|
537,314
|
|
|
|
|
|
755,450
|
AUTO
COMPONENTS — 0.2% |
|
|
|
|
|
CH Hold Corp. Senior Secured 1st Lien Term Loan, 1 Month USD LIBOR + 3.00%, 5.52%,
2/1/2024
|
|
|
107,024
|
|
106,133
|
Mavis Tire Express Services Corp. Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 3.25%, 5.75%,
3/20/2025
|
|
|
3,169,766
|
|
3,066,749
|
Tenneco, Inc. Senior Secured 2018 Term Loan B, 5.27%,
10/1/2025
|
|
|
2,705,000
|
|
2,551,491
|
|
|
|
|
|
5,724,373
|
BUILDING
PRODUCTS — 0.1% |
|
|
|
|
|
NCI Building Systems, Inc. Senior Secured 2018 Term Loan, 6.55%,
4/12/2025
|
|
|
3,385,207
|
|
3,097,464
|
CAPITAL
MARKETS — 0.1% |
|
|
|
|
|
Duff & Phelps Corp. Senior Secured 2017 Term Loan B, 1 Month USD LIBOR + 3.25%, 5.77%,
2/13/2025
|
|
|
3,002,313
|
|
2,850,951
|
CASINO
SERVICES — 0.0% (c) |
|
|
|
|
|
Stars Group Holdings B.V. Senior Secured 2018 USD Incremental Term Loan, 3 Month USD LIBOR + 3.50%, 6.30%,
7/10/2025
|
|
|
786,050
|
|
761,977
|
CHEMICALS
— 0.2% |
|
|
|
|
|
Avantor, Inc. Senior Secured 2017 1st Lien Term Loan, 1 Month USD LIBOR + 4.00%, 6.57%,
11/21/2024
|
|
|
1,103,044
|
|
1,072,021
|
Security
Description |
|
|
Principal
Amount |
|
Value
|
LTI Holdings, Inc. Senior Secured 2018 Add On 1st Lien Term Loan, 1 Month USD LIBOR + 3.50%, 6.02%,
9/6/2025
|
|
|
$
947,625 |
|
$
894,719 |
Messer Industries, L.L.C. Senior Secured 2018 USD Term Loan, 2.50%,
10/1/2025
|
|
|
1,265,000
|
|
1,203,862
|
Schenectady International Group, Inc. Senior Secured 2018 1st Lien Term Loan, 7.54%,
10/15/2025
|
|
|
510,000
|
|
492,150
|
Starfruit Finco B.V. Senior Secured 2018 USD Term Loan B, 1 Month USD LIBOR + 3.25%, 5.75%,
10/1/2025
|
|
|
1,650,000
|
|
1,584,000
|
|
|
|
|
|
5,246,752
|
COMMERCIAL
SERVICES & SUPPLIES — 0.3% |
|
|
|
|
|
Asurion LLC Senior Secured 2017 2nd Lien Term Loan, 1 Month USD LIBOR + 6.50%, 9.02%,
8/4/2025
|
|
|
940,000
|
|
932,367
|
Prime Security Services Borrower LLC Senior Secured 2016 1st Lien Term Loan, 1 Month USD LIBOR + 2.75%, 5.27%,
5/2/2022
|
|
|
3,864,679
|
|
3,695,599
|
Verscend Holding Corp. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 4.50%, 7.02%,
8/27/2025
|
|
|
2,349,112
|
|
2,278,639
|
West Corp. Senior Secured 2017 Term Loan, 1 Month USD LIBOR + 4.00%, 6.53%,
10/10/2024
|
|
|
2,784,476
|
|
2,565,213
|
|
|
|
|
|
9,471,818
|
COMMUNICATIONS
EQUIPMENT — 0.2% |
|
|
|
|
|
Avaya, Inc. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 4.25%, 6.76%,
12/15/2024
|
|
|
2,173,037
|
|
2,103,772
|
Digicel International Finance, Ltd. Senior Secured 2017 Term Loan B, 1 Month USD LIBOR + 3.25%, 5.96%,
5/28/2024
|
|
|
2,032,278
|
|
1,850,643
|
Plantronics, Inc. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 2.50%, 5.02%,
7/2/2025
|
|
|
2,094,750
|
|
2,020,910
|
|
|
|
|
|
5,975,325
|
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF
INVESTMENTS (continued)
December 31, 2018 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
CONSTRUCTION
& ENGINEERING — 0.0% (c) |
|
|
|
|
|
Brand Energy & Infrastructure Services, Inc. Senior Secured 2017 Term Loan, 3 Month USD LIBOR + 4.25%, 6.73%,
6/21/2024
|
|
|
$
554,336 |
|
$
527,850 |
CONSTRUCTION
MATERIALS — 0.1% |
|
|
|
|
|
Forterra Finance, Inc. Senior Secured 2017 Term Loan B, 1 Month USD LIBOR + 3.00%, 5.52%,
10/25/2023
|
|
|
582,021
|
|
527,768
|
Traverse Midstream Partners LLC Senior Secured 2017 Term Loan, 6 Month USD LIBOR + 4.00%, 6.60%,
9/27/2024
|
|
|
2,584,312
|
|
2,487,401
|
|
|
|
|
|
3,015,169
|
CONTAINERS
& PACKAGING — 0.1% |
|
|
|
|
|
Reynolds Group Holdings, Inc. Senior Secured USD 2017 Term Loan, 1 Month USD LIBOR + 2.75%, 5.27%,
2/5/2023
|
|
|
2,593,563
|
|
2,479,627
|
DISTRIBUTORS
— 0.0% (c) |
|
|
|
|
|
American Tire Distributors Holdings, Inc. Senior Secured 2015 Term Loan, 3 Month USD LIBOR + 7.50%, 10.02%,
9/2/2024
|
|
|
208,431
|
|
171,608
|
DIVERSIFIED
TELECOMMUNICATION SERVICES — 0.2% |
|
|
|
|
|
CenturyLink Escrow LLC Senior Secured 2017 Term Loan B, 1 Month USD LIBOR + 2.75%, 5.27%,
1/31/2025
|
|
|
3,405,600
|
|
3,189,345
|
Intelsat Jackson Holdings S.A. Senior Secured 2017 Term Loan B3, 1 Month USD LIBOR + 3.75%, 6.26%,
11/27/2023
|
|
|
1,665,000
|
|
1,619,362
|
|
|
|
|
|
4,808,707
|
ELECTRICAL
EQUIPMENT — 0.1% |
|
|
|
|
|
Gates Global LLC Senior Secured 2017 USD Repriced Term Loan B, 1 Month USD LIBOR + 2.75%, 5.27%,
4/1/2024
|
|
|
2,112,509
|
|
2,012,493
|
Security
Description |
|
|
Principal
Amount |
|
Value
|
ELECTRONIC
EQUIPMENT, INSTRUMENTS & COMPONENTS — 0.0% (c) |
|
|
|
|
|
Verifone Systems, Inc. Senior Secured 2018 1st Lien Term Loan, 3 Month USD LIBOR + 4.00%, 6.64%,
8/20/2025
|
|
|
$
936,853 |
|
$
908,747 |
ENERGY
EQUIPMENT & SERVICES — 0.0% (c) |
|
|
|
|
|
BCP Renaissance Parent LLC Senior Secured 2017 Term Loan B, 3 Month USD LIBOR + 3.50%, 6.03%,
10/31/2024
|
|
|
1,251,032
|
|
1,220,851
|
FINANCIAL
SERVICES — 0.2% |
|
|
|
|
|
Financial & Risk US Holdings, Inc. Senior Secured 2018 USD Term Loan, 6.27%,
10/1/2025
|
|
|
2,640,000
|
|
2,524,500
|
GTCR Valor Companies, Inc. Senior Secured 2017 Term Loan B1, 3 Month USD LIBOR + 3.25%, 5.55%,
6/16/2023
|
|
|
2,802,061
|
|
2,703,288
|
|
|
|
|
|
5,227,788
|
FOOD
& STAPLES RETAILING — 0.1% |
|
|
|
|
|
BJ's Wholesale Club, Inc. Senior Secured 2017 1st Lien Term Loan, 1 Month USD LIBOR + 3.00%, 5.51%,
2/3/2024
|
|
|
2,570,147
|
|
2,505,572
|
FOOD
PRODUCTS — 0.0% (c) |
|
|
|
|
|
CSM Bakery Solutions LLC Senior Secured 1st Lien Term Loan, 3 Month USD LIBOR + 4.00%, 6.80%,
7/3/2020
|
|
|
808,032
|
|
750,460
|
HEALTH
CARE PROVIDERS & SERVICES — 0.5% |
|
|
|
|
|
Air Methods Corp. Senior Secured 2017 Term Loan B, 3 Month USD LIBOR + 3.50%, 6.30%,
4/21/2024
|
|
|
1,125,701
|
|
898,147
|
Auris Luxembourg III S.A.R.L. Senior Secured 2018 USD Term Loan B, 3.75%,
7/20/2025
|
|
|
810,000
|
|
791,273
|
CHG Healthcare Services, Inc. Senior Secured 2017 1st Lien Term Loan B, 1 Month USD LIBOR + 3.00%, 5.53%,
6/7/2023
|
|
|
3,182,526
|
|
3,063,181
|
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF
INVESTMENTS (continued)
December 31, 2018 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
Envision Healthcare Corp. Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 3.75%, 6.27%,
10/10/2025
|
|
|
$
3,300,000 |
|
$
3,084,312 |
Gentiva Health Services, Inc. Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 3.75%, 6.31%,
7/2/2025
|
|
|
3,519,505
|
|
3,422,719
|
RegionalCare Hospital Partners Holdings, Inc. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 4.50%, 7.13%,
11/16/2025
|
|
|
1,530,000
|
|
1,455,894
|
Select Medical Corp. Senior Secured 2017 Term Loan B, 1 Month USD LIBOR + 2.50%, 5.01%,
3/6/2025
|
|
|
2,897,507
|
|
2,786,431
|
|
|
|
|
|
15,501,957
|
HEALTH
CARE TECHNOLOGY — 0.1% |
|
|
|
|
|
Change Healthcare Holdings, Inc. Senior Secured 2017 Term Loan B, 1 Month USD LIBOR + 2.75%, 5.27%,
3/1/2024
|
|
|
3,941,437
|
|
3,750,928
|
HOTELS,
RESTAURANTS & LEISURE — 0.5% |
|
|
|
|
|
ClubCorp Club Operations, Inc. Senior Secured 2017 Term Loan B, 3 Month USD LIBOR + 2.75%, 5.55%,
9/18/2024
|
|
|
3,339,304
|
|
3,158,414
|
Delta 2 (LUX) S.A.R.L. Senior Secured 2018 USD Term Loan, 1 Month USD LIBOR + 2.50%, 5.02%,
2/1/2024
|
|
|
1,405,525
|
|
1,335,537
|
Intrawest Resorts Holdings, Inc. Senior Secured Term Loan B1, 1 Month USD LIBOR + 3.00%, 5.52%,
7/31/2024
|
|
|
2,942,976
|
|
2,830,172
|
LTF Merger Sub, Inc. Senior Secured 2017 Term Loan B, 3 Month USD LIBOR + 2.75%, 5.46%,
6/10/2022
|
|
|
4,475,845
|
|
4,324,158
|
Scientific Games International, Inc. Senior Secured 2018 Term Loan B5, 3 Month USD LIBOR + 2.75%, 5.27%,
8/14/2024
|
|
|
4,246,945
|
|
3,999,709
|
|
|
|
|
|
15,647,990
|
Security
Description |
|
|
Principal
Amount |
|
Value
|
HOUSEHOLD
PRODUCTS — 0.0% (c) |
|
|
|
|
|
KIK Custom Products, Inc. Senior Secured 2015 Term Loan B, 1 Month USD LIBOR + 4.00%, 6.52%,
5/15/2023
|
|
|
$
870,682 |
|
$
823,887 |
INSURANCE
— 0.3% |
|
|
|
|
|
Acrisure
LLC: |
|
|
|
|
|
Senior Secured 2017 Term Loan B, 3 Month USD LIBOR + 4.25%, 6.77%,
11/22/2023
|
|
|
4,079,998
|
|
3,965,269
|
Senior Secured 2018 Term Loan B, 3 Month USD LIBOR + 3.75%, 6.27%,
11/22/2023
|
|
|
905,450
|
|
857,914
|
AssuredPartners, Inc. Senior Secured 2017 1st Lien Add-On Term Loan, 1 Month USD LIBOR + 3.25%, 5.77%,
10/22/2024
|
|
|
3,891,629
|
|
3,684,906
|
Sedgwick Claims Management Services, Inc. Senior Secured 2018 Term Loan B, 5.77%,
12/31/2025
|
|
|
610,000
|
|
584,331
|
York Risk Services Holding Corp. Senior Secured Term Loan B, 1 Month USD LIBOR + 3.75%, 6.27%,
10/1/2021
|
|
|
996,738
|
|
934,795
|
|
|
|
|
|
10,027,215
|
INTERACTIVE
MEDIA & SERVICES — 0.2% |
|
|
|
|
|
GTT Communications, Inc. Senior Secured 2018 USD Term Loan B, 1 Month USD LIBOR + 2.75%, 5.27%,
5/31/2025
|
|
|
4,208,850
|
|
3,970,355
|
ION Trading Technologies S.A.R.L. Senior Secured USD Incremental Term Loan B, 3 Month USD LIBOR + 4.00%, 6.52%,
11/21/2024
|
|
|
3,433,147
|
|
3,252,907
|
|
|
|
|
|
7,223,262
|
IT
SERVICES — 0.3% |
|
|
|
|
|
Peak 10, Inc. Senior Secured 2017 1st Lien Term Loan, 6.30%,
8/1/2024
|
|
|
4,295,625
|
|
3,919,758
|
TKC Holdings, Inc. Senior Secured 2017 1st Lien Term Loan, 1 Month USD LIBOR + 3.75%, 6.28%,
2/1/2023
|
|
|
4,057,725
|
|
3,872,611
|
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF
INVESTMENTS (continued)
December 31, 2018 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
Web.com Group, Inc. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 3.75%, 6.27%,
10/10/2025
|
|
|
$
1,585,000 |
|
$
1,529,525 |
|
|
|
|
|
9,321,894
|
LIFE
SCIENCES TOOLS & SERVICES — 0.2% |
|
|
|
|
|
Jaguar Holding Co. II Senior Secured 2018 Term Loan, 1 Month USD LIBOR + 2.50%, 5.02%,
8/18/2022
|
|
|
3,869,251
|
|
3,690,298
|
Parexel International Corp. Senior Secured Term Loan B, 1 Month USD LIBOR + 2.75%, 5.27%,
9/27/2024
|
|
|
1,159,280
|
|
1,056,394
|
|
|
|
|
|
4,746,692
|
MACHINERY
— 0.2% |
|
|
|
|
|
Altra Industrial Motion Corp. Senior Secured 2018 Term Loan B, 4.52%,
10/1/2025
|
|
|
911,194
|
|
867,912
|
Filtration Group Corporation Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 3.00%, 5.52%,
3/29/2025
|
|
|
898,213
|
|
869,021
|
Milacron LLC Senior Secured Amended Term Loan B, 1 Month USD LIBOR + 2.50%, 5.02%,
9/28/2023
|
|
|
309,541
|
|
290,969
|
Titan Acquisition, Ltd. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 3.00%, 5.52%,
3/28/2025
|
|
|
3,084,411
|
|
2,837,658
|
|
|
|
|
|
4,865,560
|
MACHINERY-CONSTR&MINING
— 0.1% |
|
|
|
|
|
Brookfield WEC Holdings, Inc. Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 3.75%, 6.27%,
8/1/2025
|
|
|
2,020,000
|
|
1,963,369
|
MEDIA
— 0.2% |
|
|
|
|
|
CSC Holdings, LLC Senior Secured 2018 Incremental Term Loan, 4.76%,
1/15/2026
|
|
|
400,000
|
|
380,000
|
Meredith Corporation Senior Secured 2018 Term Loan B, 5.27%,
1/31/2025
|
|
|
404,542
|
|
394,036
|
NEP/NCP Holdco, Inc. Senior Secured 2018 1st Lien Term Loan, 5.77%,
10/20/2025
|
|
|
275,000
|
|
264,861
|
Security
Description |
|
|
Principal
Amount |
|
Value
|
Rentpath, Inc. Senior Secured 2017 Term Loan, 1 Month USD LIBOR + 4.75%, 7.28%,
12/17/2021
|
|
|
$
562,688 |
|
$
454,019 |
Tribune
Media Co.: |
|
|
|
|
|
Senior Secured Term Loan, 1 Month USD LIBOR + 3.00%, 5.52%,
12/27/2020
|
|
|
83,967
|
|
83,599
|
Senior Secured Term Loan C, 1 Month USD LIBOR + 3.00%, 5.52%,
1/27/2024
|
|
|
3,836,508
|
|
3,776,084
|
|
|
|
|
|
5,352,599
|
METAL-DIVERSIFIED
— 0.0% (c) |
|
|
|
|
|
Covia Holdings Corp. Senior Secured Term Loan, 3 Month USD LIBOR + 3.75%, 6.55%,
6/1/2025
|
|
|
1,028,329
|
|
750,680
|
METALS
& MINING — 0.1% |
|
|
|
|
|
Aleris International, Inc. Senior Secured 2018 Term Loan, 1 Month USD LIBOR + 4.75%, 7.25%,
2/27/2023
|
|
|
1,631,800
|
|
1,621,348
|
U.S. Silica Company Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 4.00%, 6.56%,
5/1/2025
|
|
|
1,121,632
|
|
983,767
|
|
|
|
|
|
2,605,115
|
OIL
REFINING&MARKETING — 0.0% (c) |
|
|
|
|
|
Gulf Finance LLC Senior Secured Term Loan B, 3 Month USD LIBOR + 5.25%, 7.89%,
8/25/2023
|
|
|
1,361,353
|
|
1,049,943
|
OIL,
GAS & CONSUMABLE FUELS — 0.1% |
|
|
|
|
|
EG Finco, Ltd. Senior Secured 2018 USD Term Loan, 3 Month USD LIBOR + 4.00%, 6.81%,
2/7/2025
|
|
|
3,431,212
|
|
3,315,409
|
PHARMACEUTICALS
— 0.1% |
|
|
|
|
|
Bausch Health Companies, Inc. Senior Secured Term Loan B, 5.26%,
11/27/2025
|
|
|
1,140,563
|
|
1,085,496
|
Valeant Pharmaceuticals International, Inc. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 3.00%, 5.51%,
6/2/2025
|
|
|
481,250
|
|
460,999
|
|
|
|
|
|
1,546,495
|
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF
INVESTMENTS (continued)
December 31, 2018 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
REAL
ESTATE INVESTMENT TRUSTS (REITS) — 0.1% |
|
|
|
|
|
Capital Automotive L.P. Senior Secured 2017 2nd Lien Term Loan, 1 Month USD LIBOR + 6.00%, 8.53%,
3/24/2025
|
|
|
$
393,809 |
|
$
390,119 |
Forest City Enterprises, L.P. Senior Secured Term Loan B, 6.51%,
12/7/2025
|
|
|
1,170,000
|
|
1,145,623
|
|
|
|
|
|
1,535,742
|
REAL
ESTATE MANAGEMENT & DEVELOPMENT — 0.1% |
|
|
|
|
|
Bright Bidco B.V. Senior Secured 2018 Term Loan B, 3 Month USD LIBOR + 3.50%, 6.02%,
6/30/2024
|
|
|
2,381,380
|
|
2,019,708
|
RETAIL-RESTAURANTS
— 0.1% |
|
|
|
|
|
IRB Holding Corp. Senior Secured 1st Lien Term Loan, 3 Month USD LIBOR + 3.25%, 5.76%,
2/5/2025
|
|
|
3,664,457
|
|
3,503,221
|
SOFTWARE
— 0.8% |
|
|
|
|
|
Almonde,
Inc.: |
|
|
|
|
|
Senior Secured USD 1st Lien Term Loan, 3 Month USD LIBOR + 3.50%, 6.30%,
6/13/2024
|
|
|
2,094,326
|
|
1,957,451
|
Senior Secured USD 2nd Lien Term Loan, 3 Month USD LIBOR + 7.25%, 10.05%,
6/13/2025
|
|
|
1,060,000
|
|
982,016
|
Applied Systems, Inc. Senior Secured 2017 1st Lien Term Loan, 3 Month USD LIBOR + 3.00%, 5.52%,
9/19/2024
|
|
|
593,111
|
|
567,162
|
BMC Software Finance, Inc. Senior Secured 2018 USD Term Loan B, 1 Month USD LIBOR + 4.25%, 7.05%,
10/2/2025
|
|
|
3,878,271
|
|
3,750,424
|
Kronos, Inc. Senior Secured 2017 Term Loan B, 3 Month USD LIBOR + 3.00%, 5.54%,
11/1/2023
|
|
|
3,851,053
|
|
3,672,133
|
Mitchell International, Inc. Senior Secured 2017 1st Lien Term Loan, 1 Month USD LIBOR + 3.25%, 5.77%,
11/29/2024
|
|
|
1,346,608
|
|
1,301,167
|
Security
Description |
|
|
Principal
Amount |
|
Value
|
SolarWinds Holdings, Inc. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 2.75%, 5.27%,
2/5/2024
|
|
|
$
1,961,395 |
|
$
1,893,061 |
Solera Holdings, Inc. Senior Secured USD Term Loan B, 1 Month USD LIBOR + 2.75%, 5.27%,
3/3/2023
|
|
|
3,981,042
|
|
3,767,081
|
Sophia L.P. Senior Secured 2017 Term Loan B, 3 Month USD LIBOR + 3.25%, 6.05%,
9/30/2022
|
|
|
3,848,167
|
|
3,719,657
|
SS&C Technologies, Inc. Senior Secured 2018 Term Loan B5, 1 Month USD LIBOR + 2.25%, 4.77%,
4/16/2025
|
|
|
977,536
|
|
925,609
|
Vertafore, Inc. Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 3.25%, 6.05%,
7/2/2025
|
|
|
1,845,000
|
|
1,759,088
|
|
|
|
|
|
24,294,849
|
SPECIALTY
RETAIL — 0.1% |
|
|
|
|
|
Jo-Ann Stores, Inc. Senior Secured 2016 Term Loan, 3 Month USD LIBOR + 5.00%, 7.48%,
10/20/2023
|
|
|
917,880
|
|
877,723
|
Staples, Inc. Senior Secured 2017 Term Loan B, 3 Month USD LIBOR + 4.00%, 6.54%,
9/12/2024
|
|
|
1,564,200
|
|
1,503,266
|
|
|
|
|
|
2,380,989
|
TELECOMMUNICATION
EQUIP — 0.1% |
|
|
|
|
|
MLN US HoldCo LLC Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 4.50%, 7.02%,
11/30/2025
|
|
|
2,735,000
|
|
2,658,092
|
TOTAL SENIOR FLOATING RATE LOANS (Cost
$191,955,428)
|
|
|
|
|
182,398,578
|
U.S.
GOVERNMENT AGENCY OBLIGATIONS — 43.8% |
|
|
|
|
|
Federal
Home Loan Mortgage Corp.: |
|
|
|
|
|
3.00%,
11/1/2042
|
|
|
16,465,243
|
|
16,177,533
|
3.00%,
1/1/2045
|
|
|
2,650,095
|
|
2,599,716
|
3.00%,
2/1/2045
|
|
|
1,862,076
|
|
1,823,020
|
3.00%,
3/1/2045
|
|
|
1,981,380
|
|
1,939,822
|
3.00%,
4/1/2045
|
|
|
40,301,878
|
|
39,508,810
|
3.00%,
5/1/2045
|
|
|
6,949,522
|
|
6,803,761
|
3.00%,
8/1/2045
|
|
|
18,955,835
|
|
18,558,249
|
3.50%,
2/1/2045
|
|
|
3,508,782
|
|
3,525,272
|
3.50%,
4/1/2045
|
|
|
29,110,785
|
|
29,197,521
|
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF
INVESTMENTS (continued)
December 31, 2018 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
3.50%,
6/1/2045
|
|
|
$
13,537,780 |
|
$
13,578,116 |
3.50%,
10/1/2045
|
|
|
15,610,182
|
|
15,656,693
|
3.50%,
2/1/2046
|
|
|
16,036,888
|
|
16,072,107
|
4.00%,
4/1/2047
|
|
|
41,403,387
|
|
42,246,728
|
4.00%,
7/1/2047
|
|
|
12,657,017
|
|
12,914,827
|
4.00%,
10/1/2047
|
|
|
25,826,016
|
|
26,352,063
|
4.50%,
6/1/2044
|
|
|
2,554,381
|
|
2,657,375
|
Series 326, Class 300, CMO, 3.00%,
3/15/2044
|
|
|
33,894,334
|
|
33,119,315
|
Series 358, Class 300, CMO, 3.00%,
10/15/2047
|
|
|
33,961,692
|
|
33,481,384
|
Series 3822, Class ZG, CMO, REMIC, 4.00%,
2/15/2041
|
|
|
3,747,487
|
|
3,893,734
|
Series 3852, Class NS, CMO, IO, REMIC, 6.00% - 1 Month USD LIBOR 3.54%, 5/15/2041
(b)
|
|
|
11,434,021
|
|
1,493,116
|
Series 3889, Class VZ, CMO, REMIC, 4.00%,
7/15/2041
|
|
|
11,982,080
|
|
12,251,676
|
Series 3935, Class SJ, CMO, IO, REMIC, 6.65% - 1 Month USD LIBOR 4.19%, 5/15/2041
(b)
|
|
|
2,756,307
|
|
246,364
|
Series 4120, Class KA, CMO, REMIC, 1.75%,
10/15/2032
|
|
|
17,792,224
|
|
17,169,065
|
Series 4165, Class ZT, CMO, REMIC, 3.00%,
2/15/2043
|
|
|
15,951,726
|
|
14,214,394
|
Series 4215, Class KC, CMO, REMIC, 2.25%,
3/15/2038
|
|
|
11,804,357
|
|
11,657,378
|
Series 4364, Class ZX, CMO, REMIC, 4.00%,
7/15/2044
|
|
|
28,678,890
|
|
29,571,827
|
Series 4434, Class LZ, CMO, REMIC, 3.00%,
2/15/2045
|
|
|
3,365,137
|
|
2,956,763
|
Series 4444, Class CZ, CMO, REMIC, 3.00%,
2/15/2045
|
|
|
12,338,837
|
|
10,898,818
|
Series 4447, Class A, CMO, REMIC, 3.00%,
6/15/2041
|
|
|
1,863,052
|
|
1,857,841
|
Series 4447, Class Z, CMO, REMIC, 3.00%,
3/15/2045
|
|
|
4,072,598
|
|
3,619,954
|
Series 4471, Class BA, CMO, REMIC, 3.00%,
12/15/2041
|
|
|
6,406,347
|
|
6,335,268
|
Series 4471, Class GA, CMO, REMIC, 3.00%,
2/15/2044
|
|
|
9,803,283
|
|
9,637,259
|
Series 4474, Class ZX, CMO, REMIC, 4.00%,
4/15/2045
|
|
|
11,941,528
|
|
12,402,727
|
Security
Description |
|
|
Principal
Amount |
|
Value
|
Series 4481, Class B, CMO, REMIC, 3.00%,
12/15/2042
|
|
|
$
6,575,192 |
|
$
6,473,600 |
Series 4483, Class CA, CMO, REMIC, 3.00%,
6/15/2044
|
|
|
12,091,047
|
|
11,890,362
|
Series 4484, Class CD, CMO, REMIC, 1.75%,
7/15/2030
|
|
|
14,700,060
|
|
14,136,431
|
Series 4491, Class B, CMO, REMIC, 3.00%,
8/15/2040
|
|
|
11,957,302
|
|
11,858,424
|
Series 4492, Class GZ, CMO, REMIC, 3.50%,
7/15/2045
|
|
|
8,562,317
|
|
8,154,121
|
Series 4499, Class AB, CMO, REMIC, 3.00%,
6/15/2042
|
|
|
13,084,487
|
|
12,921,491
|
Series 4504, Class CA, CMO, REMIC, 3.00%,
4/15/2044
|
|
|
13,136,328
|
|
12,931,954
|
Series 4511, Class QA, CMO, REMIC, 3.00%,
1/15/2041
|
|
|
11,025,124
|
|
10,934,087
|
Series 4511, Class QC, CMO, REMIC, 3.00%,
12/15/2040
|
|
|
8,717,823
|
|
8,642,007
|
Series 4533, Class AB, CMO, REMIC, 3.00%,
6/15/2044
|
|
|
9,198,835
|
|
9,050,948
|
Series 4543, Class HG, CMO, REMIC, 2.70%,
4/15/2044
|
|
|
17,114,783
|
|
16,625,182
|
Series 4582, Class HA, CMO, REMIC, 3.00%,
9/15/2045
|
|
|
13,412,647
|
|
13,133,728
|
Series 4629, Class KA, CMO, REMIC, 3.00%,
3/15/2045
|
|
|
41,710,493
|
|
41,118,946
|
Series 4750, Class PA, 3.00%,
7/15/2046
|
|
|
23,586,076
|
|
23,248,802
|
Series 4792, Class A, CMO, REMIC, 3.00%,
5/15/2048
|
|
|
25,836,126
|
|
25,190,856
|
Series K053, Class A2, Class A2, 3.00%,
12/25/2025
|
|
|
2,232,000
|
|
2,212,019
|
Federal
National Mortgage Association: |
|
|
|
|
|
2.50%,
9/1/2046
|
|
|
5,098,507
|
|
4,788,183
|
2.50%,
2/1/2047
|
|
|
13,792,411
|
|
13,018,145
|
3.00%,
10/1/2041
|
|
|
32,189,147
|
|
31,407,401
|
3.00%,
3/1/2043
|
|
|
5,530,675
|
|
5,435,708
|
3.00%,
7/1/2043
|
|
|
8,718,114
|
|
8,500,533
|
3.00%,
1/1/2045
|
|
|
2,005,182
|
|
1,953,665
|
3.00%,
3/1/2045
|
|
|
2,728,900
|
|
2,672,500
|
3.00%,
4/1/2045
|
|
|
11,371,527
|
|
11,056,887
|
3.00%,
7/1/2045
|
|
|
33,248,955
|
|
32,678,039
|
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF
INVESTMENTS (continued)
December 31, 2018 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
3.50%,
9/1/2034
|
|
|
$
2,594,111 |
|
$
2,630,938 |
3.50%,
12/1/2034
|
|
|
2,312,932
|
|
2,345,767
|
3.50%,
2/1/2035
|
|
|
1,476,446
|
|
1,497,407
|
3.50%,
1/1/2045
|
|
|
13,361,168
|
|
13,426,550
|
3.50%,
2/1/2045
|
|
|
4,800,101
|
|
4,823,590
|
3.50%,
6/1/2045
|
|
|
13,517,510
|
|
13,560,409
|
4.50%,
3/1/2044
|
|
|
2,709,235
|
|
2,819,123
|
4.50%,
6/1/2044
|
|
|
1,362,254
|
|
1,417,508
|
4.50%,
7/1/2044
|
|
|
1,409,080
|
|
1,466,233
|
4.50%,
2/1/2045
|
|
|
1,697,631
|
|
1,766,488
|
Series 2010-109, Class N, CMO, REMIC, 3.00%,
10/25/2040
|
|
|
2,905,935
|
|
2,880,672
|
Series 2011-51, Class CI, CMO, IO, REMIC, 6.00% - 1 Month USD LIBOR 3.49%, 6/25/2041
(b)
|
|
|
7,701,976
|
|
991,832
|
Series 2012-101, Class AP, CMO, REMIC, 2.00%,
8/25/2040
|
|
|
7,587,414
|
|
7,283,146
|
Series 2012-127, Class PA, CMO, REMIC, 2.75%,
11/25/2042
|
|
|
3,868,543
|
|
3,733,966
|
Series 2012-151, Class SB, CMO, REMIC, 6.00% - 1 Month USD LIBOR 2.48%, 1/25/2043
(b)
|
|
|
1,248,324
|
|
943,500
|
Series 2013-114, Class HZ, CMO, REMIC, 3.00%,
11/25/2038
|
|
|
16,661,591
|
|
15,331,681
|
Series 2013-18, Class CD, CMO, REMIC, 1.50%,
10/25/2027
|
|
|
5,389,879
|
|
5,170,891
|
Series 2013-30, Class PS, CMO, REMIC, 6.00% - 1 Month USD LIBOR 2.48%, 4/25/2043
(b)
|
|
|
1,718,187
|
|
1,360,082
|
Series 2014-21, Class GZ, CMO, REMIC, 3.00%,
4/25/2044
|
|
|
6,367,987
|
|
5,680,622
|
Series 2014-39, Class ZA, CMO, REMIC, 3.00%,
7/25/2044
|
|
|
9,154,752
|
|
8,465,477
|
Series 2015-42, Class CA, CMO, REMIC, 3.00%,
3/25/2044
|
|
|
7,520,082
|
|
7,389,997
|
Series 2015-9, Class HA, CMO, REMIC, 3.00%,
1/25/2045
|
|
|
11,214,375
|
|
11,007,683
|
Series 2015-95, Class AP, CMO, REMIC, 3.00%,
8/25/2042
|
|
|
14,776,225
|
|
14,576,991
|
Series 2016-21, Class BZ, CMO, REMIC, 3.00%,
4/25/2046
|
|
|
4,703,232
|
|
4,119,396
|
Series 2016-32, Class LA, CMO, REMIC, 3.00%,
10/25/2044
|
|
|
12,679,607
|
|
12,491,456
|
Security
Description |
|
|
Principal
Amount |
|
Value
|
Series 2016-72, Class PA, CMO, REMIC, 3.00%,
7/25/2046
|
|
|
$
20,779,761 |
|
$
20,385,718 |
Series 2016-81, Class PA, CMO, REMIC, 3.00%,
2/25/2044
|
|
|
28,834,789
|
|
28,518,457
|
Series 2016-9, Class A, CMO, REMIC, 3.00%,
9/25/2043
|
|
|
10,620,294
|
|
10,412,456
|
Series 2016-92, Class A, CMO, REMIC, 3.00%,
4/25/2042
|
|
|
34,072,426
|
|
33,552,353
|
Series 2016-M3, Class A2, 2.70%,
2/25/2026
|
|
|
2,150,000
|
|
2,081,724
|
Series 2017-13, Class CA, CMO, REMIC, 2.50%,
10/25/2043
|
|
|
27,296,030
|
|
26,622,932
|
Series 2017-15, Class MA, CMO, REMIC, 3.00%,
2/25/2042
|
|
|
16,676,166
|
|
16,515,525
|
Series 2017-18, Class A, CMO, REMIC, 3.00%,
8/25/2042
|
|
|
42,238,781
|
|
41,975,130
|
Series 2017-32, Class CA, CMO, REMIC, 3.00%,
10/25/2042
|
|
|
40,816,411
|
|
40,356,062
|
Series 2017-87, Class BA, CMO, REMIC, 3.00%,
12/25/2042
|
|
|
29,349,857
|
|
29,406,762
|
Series 2017-9, Class EA, CMO, REMIC, 3.00%,
10/25/2042
|
|
|
68,929,076
|
|
68,063,410
|
Series 2018-27, Class JA, CMO, REMIC, 3.00%,
12/25/2047
|
|
|
16,408,806
|
|
16,038,411
|
Series 2018-38, Class JB, CMO, REMIC, 3.00%,
6/25/2048
|
|
|
13,544,682
|
|
13,298,210
|
Government
National Mortgage Association: |
|
|
|
|
|
Series 2013-169, Class SE, CMO, IO, REMIC, 6.05% - 1 Month USD LIBOR 3.59%, 11/16/2043
(b)
|
|
|
2,635,827
|
|
352,521
|
Series 2013-34, Class PL, CMO, REMIC, 3.00%,
3/20/2042
|
|
|
11,629,659
|
|
11,555,725
|
Series 2014-43, Class PS, CMO, IO, REMIC, 6.18% - 1 Month USD LIBOR 3.71%, 7/20/2042
(b)
|
|
|
7,553,962
|
|
711,862
|
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS (Cost
$1,345,160,769)
|
|
|
|
|
1,301,481,178
|
U.S.
TREASURY OBLIGATIONS — 18.6% |
|
|
|
|
|
Treasury Bill 2.59%,
8/15/2019
|
|
|
95,000,000
|
|
93,515,720
|
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF
INVESTMENTS (continued)
December 31, 2018 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
Treasury
Notes: |
|
|
|
|
|
1.50%,
5/31/2020
|
|
|
$
122,300,000 |
|
$
120,503,164 |
1.63%,
5/15/2026
|
|
|
66,620,000
|
|
62,220,421
|
2.13%,
2/29/2024
|
|
|
76,000,000
|
|
74,564,383
|
2.25%,
11/15/2025
|
|
|
63,700,000
|
|
62,304,552
|
2.25%,
11/15/2027
|
|
|
30,000,000
|
|
28,980,812
|
2.50%,
6/30/2020
|
|
|
111,600,000
|
|
111,513,889
|
TOTAL U.S. TREASURY OBLIGATIONS (Cost
$554,790,959)
|
|
|
|
|
553,602,941
|
MORTGAGE-BACKED
SECURITIES — 4.5% |
|
|
|
|
|
Alternative
Loan Trust: |
|
|
|
|
|
Series 2005-79CB, Class A4, CMO, 5.50%,
1/25/2036
|
|
|
6,981,126
|
|
5,801,919
|
Series 2006-24CB, Class A9, CMO, 6.00%,
8/1/2036
|
|
|
4,104,253
|
|
3,541,333
|
Series 2006-43CB, Class 1A12, CMO, 5.75%,
2/25/2037
|
|
|
3,770,695
|
|
3,210,550
|
Angel Oak Mortgage Trust I Series 2018-1, Class A1, 3.26%, 4/27/2048
(a)
(b)
|
|
|
7,172,481
|
|
7,145,259
|
Atrium Hotel Portfolio Trust Series 2017-ATRM, Class E, 1 Month USD LIBOR + 3.05%, 5.51%, 12/15/2036
(a)
(b)
|
|
|
3,697,000
|
|
3,617,865
|
Banc of America Alternative Loan Trust Series 2005-9, Class 1CB2, CMO, 5.50%,
10/25/2035
|
|
|
4,608,902
|
|
4,419,376
|
Banc
of America Funding Trust: |
|
|
|
|
|
Series 2006-8T2, Class A4, CMO, 5.83%, 10/25/2036
(d)
|
|
|
4,131,209
|
|
3,571,632
|
Series 2007-5, Class CA1, CMO, 6.00%,
7/25/2037
|
|
|
6,015,703
|
|
5,168,028
|
BANK Series 2017-BNK6, Class XA, IO, 0.87%, 7/15/2060
(b)
|
|
|
55,138,263
|
|
2,924,119
|
BBCMS
Mortgage Trust: |
|
|
|
|
|
Series 2017-DELC, Class C, 1 Month USD LIBOR + 1.20% 3.66%, 8/15/2036
(a)
(b)
|
|
|
863,000
|
|
851,862
|
Series 2017-DELC, Class D, 1 Month USD LIBOR + 1.70% 4.16%, 8/15/2036
(a)
(b)
|
|
|
983,000
|
|
973,193
|
Series 2017-DELC, Class E, 1 Month USD LIBOR + 2.50% 4.96%, 8/15/2036
(a)
(b)
|
|
|
1,982,000
|
|
1,970,293
|
Security
Description |
|
|
Principal
Amount |
|
Value
|
Series 2017-DELC, Class F, 1 Month USD LIBOR + 3.50% 5.96%, 8/15/2036
(a)
(b)
|
|
|
$
1,974,000 |
|
$
1,964,889 |
BBCMS Trust Series 2018-BXH, Class A, 1 Month USD LIBOR + 1.00%, 3.46%, 10/15/2037
(a)
(b)
|
|
|
246,500
|
|
244,661
|
BCAP LLC Trust Series 2010-RR4, Class 3212, CMO, 6.19%, 1/26/2037
(a)
(b)
|
|
|
12,163,912
|
|
10,221,018
|
BHMS Series 2018-ATLS, Class A, 1 Month USD LIBOR + 1.25%, 3.71%, 7/15/2035
(a)
(b)
|
|
|
3,284,000
|
|
3,245,215
|
BX Trust Series 2018-EXCL, Class A, 1 Month USD LIBOR + 1.09%, 3.54%, 9/15/2037
(a)
(b)
|
|
|
246,500
|
|
244,707
|
CHL
Mortgage PassThrough Trust: |
|
|
|
|
|
Series 2005-J2, Class 3A14, CMO, 5.50%,
8/25/2035
|
|
|
1,275,352
|
|
1,099,819
|
Series 2007-12, Class A9, CMO, 5.75%,
8/25/2037
|
|
|
4,251,434
|
|
3,521,183
|
CHT
COSMO Mortgage Trust: |
|
|
|
|
|
Series 2017-CSMO, Class E, 1 Month USD LIBOR + 3.00% 5.46%, 11/15/2036
(a)
(b)
|
|
|
2,407,000
|
|
2,391,457
|
Series 2017-CSMO, Class F, 1 Month USD LIBOR + 3.74% 6.20%, 11/15/2036
(a)
(b)
|
|
|
1,284,000
|
|
1,269,551
|
Citigroup Mortgage Loan Trust Series 2007-AR5, Class 1A2A, CMO, 4.19%, 4/25/2037
(b)
|
|
|
2,148,743
|
|
1,987,861
|
CitiMortgage Alternative Loan Trust Series 2007-A1, Class 1A7, CMO, 6.00%,
1/25/2037
|
|
|
7,774,356
|
|
7,147,933
|
CLNS Trust Series 2017-IKPR, Class D, 1 Month USD LIBOR + 2.05%, 4.45%, 6/11/2032
(a)
(b)
|
|
|
3,338,000
|
|
3,318,435
|
Credit Suisse Commercial Mortgage Trust Series 2018-TOP, Class A, 1 Month USD LIBOR + 1.00%, 3.46%, 8/15/2035
(a)
(b)
|
|
|
790,000
|
|
779,988
|
CSAIL Commercial Mortgage Trust Series 2017-CX10, Class XA, IO, 0.73%, 11/15/2050
(b)
|
|
|
64,961,437
|
|
3,175,516
|
CSMC MortgageBacked Trust Series 2006-7, Class 7A7, CMO, 6.00%,
8/25/2036
|
|
|
2,227,928
|
|
2,227,928
|
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF
INVESTMENTS (continued)
December 31, 2018 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
CSMC Trust Series 2018-RPL2, Class A1, CMO, 4.03%, 8/25/2062
(a)
(d)
|
|
|
$
1,881,291 |
|
$
1,873,458 |
DBGS BIOD Mortgage Trust Series 2018-BIOD, Class A, 1 Month USD LIBOR + 0.80%, 3.26%, 5/15/2035
(a)
(b)
|
|
|
3,086,062
|
|
3,066,555
|
GS Mortgage Securities Corp. Trust Series 2018-3PCK, Class A, 1 Month USD LIBOR + 1.45%, 3.91%, 9/15/2021
(a)
(b)
|
|
|
3,200,000
|
|
3,169,697
|
GS
Mortgage Securities Trust: |
|
|
|
|
|
Series 2017-GS7, Class XA, IO, 1.14%, 8/10/2050
(b)
|
|
|
40,755,872
|
|
2,984,679
|
Series 2018-TWR, Class A, 1 Month USD LIBOR + 0.90% 3.36%, 7/15/2031
(a)
(b)
|
|
|
650,000
|
|
651,283
|
Series 2018-TWR, Class D, 1 Month USD LIBOR + 1.60% 4.06%, 7/15/2031
(a)
(b)
|
|
|
650,000
|
|
642,193
|
Series 2018-TWR, Class E, 1 Month USD LIBOR + 2.10% 4.56%, 7/15/2031
(a)
(b)
|
|
|
650,000
|
|
638,302
|
Series 2018-TWR, Class F, 1 Month USD LIBOR + 2.80% 5.26%, 7/15/2031
(a)
(b)
|
|
|
650,000
|
|
637,170
|
Series 2018-TWR, Class G, 1 Month USD LIBOR + 3.92% 6.38%, 7/15/2031
(a)
(b)
|
|
|
650,000
|
|
638,586
|
JP Morgan Chase Commercial Mortgage Securities Corp. Series 2018-LAQ, Class A, 1 Month USD LIBOR + 1.00%, 3.46%, 6/15/2032
(a)
(b)
|
|
|
3,287,000
|
|
3,223,204
|
JP
Morgan Chase Commercial Mortgage Securities Trust: |
|
|
|
|
|
Series 2007-LDPX, Class AM, 5.46%, 1/15/2049
(b)
|
|
|
195,242
|
|
194,839
|
Series 2017-MAUI, Class C, 1 Month USD LIBOR + 1.25% 3.64%, 7/15/2034
(a)
(b)
|
|
|
865,000
|
|
854,922
|
Series 2017-MAUI, Class D, 1 Month USD LIBOR + 1.95% 4.34%, 7/15/2034
(a)
(b)
|
|
|
812,000
|
|
783,494
|
Series 2017-MAUI, Class E, 1 Month USD LIBOR + 2.95% 5.34%, 7/15/2034
(a)
(b)
|
|
|
719,000
|
|
702,679
|
Security
Description |
|
|
Principal
Amount |
|
Value
|
Series 2017-MAUI, Class F, 1 Month USD LIBOR + 3.75% 6.14%, 7/15/2034
(a)
(b)
|
|
|
$
1,012,000 |
|
$
1,015,219 |
Morgan Stanley Capital I Trust Series 2016-UB12, Class XA, IO, 0.80%, 12/15/2049
(b)
|
|
|
56,880,502
|
|
2,435,172
|
OBX Trust Series 2018-1, Class A2, CMO, 1 Month USD LIBOR + 0.65%, 3.16%, 6/25/2057
(a)
(b)
|
|
|
1,493,449
|
|
1,480,541
|
Rosslyn
Portfolio Trust: |
|
|
|
|
|
Series 2017-ROSS, Class A, 1 Month USD LIBOR + 0.95% 3.41%, 6/15/2033
(a)
(b)
|
|
|
1,686,000
|
|
1,679,829
|
Series 2017-ROSS, Class B, 1 Month USD LIBOR + 1.25% 3.71%, 6/15/2033
(a)
(b)
|
|
|
1,686,000
|
|
1,684,624
|
Structured Adjustable Rate Mortgage Loan Trust Series 2006-8, Class 4A3, CMO, 4.41%, 9/25/2036
(b)
|
|
|
1,020,852
|
|
955,880
|
Structured Asset Mortgage Investments II Trust Series 2004-AR3, Class M, CMO, 1 Month USD LIBOR + 0.68%, 3.14%, 7/19/2034
(b)
|
|
|
2,850,118
|
|
2,761,689
|
UBS Commercial Mortgage Trust Series 2017-C1, Class XA, IO, 1.60%, 6/15/2050
(b)
|
|
|
18,342,422
|
|
1,804,373
|
VSD LLC 3.60%,
12/25/2043
|
|
|
852,442
|
|
851,706
|
Waldorf
Astoria Boca Raton Trust: |
|
|
|
|
|
Series 2016-BOCA, Class B, 1 Month USD LIBOR + 2.05% 4.51%, 6/15/2029
(a)
(b)
|
|
|
1,536,000
|
|
1,537,388
|
Series 2016-BOCA, Class C, 1 Month USD LIBOR + 2.50% 4.96%, 6/15/2029
(a)
(b)
|
|
|
1,300,000
|
|
1,300,967
|
Washington
Mutual Mortgage PassThrough Certificates WMALT Trust: |
|
|
|
|
|
Series 2005-8, Class 2CB1, CMO, 5.50%,
10/25/2035
|
|
|
2,040,315
|
|
2,038,612
|
Series 2006-5, Class 3A2, CMO, 6.00%, 7/25/2036
(d)
|
|
|
3,171,254
|
|
1,223,106
|
Wells Fargo Commercial Mortgage Trust Series 2015-P2, Class A4, Class A4, 3.81%,
12/15/2048
|
|
|
1,568,000
|
|
1,592,616
|
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF
INVESTMENTS (continued)
December 31, 2018 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
Wells Fargo Mortgage Backed Securities Trust Series 2007-AR4, Class A1, CMO, 4.57%, 8/25/2037
(b)
|
|
|
$
4,472,076 |
|
$
4,416,017 |
TOTAL MORTGAGE-BACKED SECURITIES (Cost
$136,482,292)
|
|
|
|
|
132,874,390
|
COMMERCIAL
MORTGAGE BACKED SECURITIES — 4.7% |
|
|
|
|
|
Banc of America Commercial Mortgage Trust Series 2015-UBS7, Class C, 4.36%, 9/15/2048
(b)
|
|
|
945,000
|
|
928,983
|
BANK Series 2017-BNK4, Class XA, IO, 1.44%, 5/15/2050
(b)
|
|
|
30,408,669
|
|
2,565,761
|
BBCMS Trust Series 2015-STP, Class D, 4.28%, 9/10/2028
(a)
(b)
|
|
|
1,750,000
|
|
1,741,384
|
BX
Trust: |
|
|
|
|
|
Series 2017-APPL, Class D, 1 Month USD LIBOR + 3.15% 4.51%, 7/15/2034
(a)
(b)
|
|
|
1,202,526
|
|
1,196,185
|
Series 2017-APPL, Class E, 1 Month USD LIBOR + 3.15% 5.61%, 7/15/2034
(a)
(b)
|
|
|
1,861,052
|
|
1,846,390
|
Series 2017-IMC, Class D, 1 Month USD LIBOR + 2.25% 4.71%, 10/15/2032
(a)
(b)
|
|
|
1,412,000
|
|
1,411,045
|
Series 2017-IMC, Class E, 1 Month USD LIBOR + 3.25% 5.71%, 10/15/2032
(a)
(b)
|
|
|
2,277,000
|
|
2,269,642
|
Series 2017-SLCT, Class D, 1 Month USD LIBOR + 2.05% 4.51%, 7/15/2034
(a)
(b)
|
|
|
1,065,050
|
|
1,048,765
|
Series 2017-SLCT, Class E, 1 Month USD LIBOR + 3.15% 5.61%, 7/15/2034
(a)
(b)
|
|
|
1,805,400
|
|
1,782,461
|
Series 2018-GW, Class A, 1 Month USD LIBOR + 0.80% 3.26%, 5/15/2035
(a)
(b)
|
|
|
3,140,000
|
|
3,072,279
|
Series 2018-GW, Class D, 1 Month USD LIBOR + 1.77% 4.23%, 5/15/2035
(a)
(b)
|
|
|
275,000
|
|
274,946
|
CD Mortgage Trust Series 2017-CD4, Class XA, IO, 1.32%, 5/10/2050
(b)
|
|
|
16,894,392
|
|
1,333,544
|
Security
Description |
|
|
Principal
Amount |
|
Value
|
CFCRE
Commercial Mortgage Trust: |
|
|
|
|
|
Series 2016-C3, Class XA, IO, 1.05%, 1/10/2048
(b)
|
|
|
$
24,515,880 |
|
$
1,471,353 |
Series 2016-C4, Class XA, IO, 1.73%, 5/10/2058
(b)
|
|
|
11,834,306
|
|
1,139,336
|
Series 2017-C8, Class XA, IO, 1.66%, 6/15/2050
(b)
|
|
|
28,048,236
|
|
2,728,544
|
Citigroup
Commercial Mortgage Trust: |
|
|
|
|
|
Series 2015-GC27, Class D, 4.43%, 2/10/2048
(a)
(b)
|
|
|
839,700
|
|
765,633
|
Series 2015-GC31, Class C, 4.06%, 6/10/2048
(b)
|
|
|
1,500,000
|
|
1,350,437
|
Series 2015-GC33, Class C, 4.57%, 9/10/2058
(b)
|
|
|
1,500,000
|
|
1,469,094
|
Series 2015-GC35, Class C, 4.50%, 11/10/2048
(b)
|
|
|
1,435,000
|
|
1,388,915
|
Series 2016-GC36, Class XA, IO, 1.30%, 2/10/2049
(b)
|
|
|
21,540,845
|
|
1,522,626
|
Series 2016-P4, Class A4, 2.90%,
7/10/2049
|
|
|
2,023,000
|
|
1,930,317
|
Series 2016-P6, Class A5, 3.72%, 12/10/2049
(b)
|
|
|
2,558,000
|
|
2,577,668
|
Cold
Storage Trust: |
|
|
|
|
|
Series 2017-ICE3, Class A, 1 Month USD LIBOR + 1.00% 3.46%, 4/15/2036
(a)
(b)
|
|
|
1,965,000
|
|
1,928,306
|
Series 2017-ICE3, Class C, 1 Month USD LIBOR + 1.35% 3.81%, 4/15/2036
(a)
(b)
|
|
|
2,397,000
|
|
2,394,216
|
COMM
Mortgage Trust: |
|
|
|
|
|
Series 2013-CR12, Class XA, IO, 1.18%, 10/10/2046
(b)
|
|
|
29,626,772
|
|
1,299,193
|
Series 2015-CR22, Class D, 4.12%, 3/10/2048
(a)
(b)
|
|
|
1,500,000
|
|
1,346,423
|
Series 2015-CR22, Class XA, IO, 0.97%, 3/10/2048
(b)
|
|
|
10,512,707
|
|
412,801
|
Series 2015-CR23, Class D, 4.25%, 5/10/2048
(b)
|
|
|
900,000
|
|
815,755
|
Series 2015-CR26, Class B, 4.48%, 10/10/2048
(b)
|
|
|
1,600,000
|
|
1,615,708
|
Series 2015-CR26, Class XA, IO, 0.96%, 10/10/2048
(b)
|
|
|
21,577,296
|
|
1,110,424
|
Series 2015-DC1, Class XA, IO, 1.13%, 2/10/2048
(b)
|
|
|
8,905,708
|
|
397,736
|
Series 2015-LC21, Class C, 4.30%, 7/10/2048
(b)
|
|
|
968,000
|
|
942,673
|
Series 2016-CR28, Class C, 4.65%, 2/10/2049
(b)
|
|
|
2,235,000
|
|
2,207,668
|
Series 2016-DC2, Class C, 4.64%, 2/10/2049
(b)
|
|
|
1,329,000
|
|
1,304,123
|
Series 2016-DC2, Class XA, IO, 1.04%, 2/10/2049
(b)
|
|
|
19,488,106
|
|
1,090,823
|
Series 2017-PANW, Class D, 3.93%, 10/10/2029
(a)
(b)
|
|
|
1,388,000
|
|
1,376,420
|
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF
INVESTMENTS (continued)
December 31, 2018 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
Series 2017-PANW, Class E, 3.81%, 10/10/2029
(a)
(b)
|
|
|
$
2,316,000 |
|
$
2,190,922 |
CSAIL
Commercial Mortgage Trust: |
|
|
|
|
|
Series 2015-C2, Class AS, 3.85%, 6/15/2057
(b)
|
|
|
900,000
|
|
893,002
|
Series 2015-C4, Class XA, IO, 0.91%, 11/15/2048
(b)
|
|
|
35,626,221
|
|
1,654,198
|
GE Commercial Mortgage Corp. Trust Series 2007-C1, Class AM, 5.61%, 12/10/2049
(b)
|
|
|
348,802
|
|
334,353
|
Great
Wolf Trust: |
|
|
|
|
|
Series 2017-WOLF, Class D, 1 Month USD LIBOR + 2.10% 4.71%, 9/15/2034
(a)
(b)
|
|
|
1,798,000
|
|
1,761,894
|
Series 2017-WOLF, Class E, 1 Month USD LIBOR + 3.10% 5.71%, 9/15/2034
(a)
(b)
|
|
|
2,787,000
|
|
2,790,676
|
Series 2017-WOLF, Class F, 1 Month USD LIBOR + 4.07% 6.68%, 9/15/2034
(a)
(b)
|
|
|
1,484,000
|
|
1,479,865
|
GS Mortgage Securities Corp. Series 2017-GS8, Class C, 4.34%, 11/10/2050
(b)
|
|
|
469,000
|
|
455,868
|
GS Mortgage Securities Corp. II Series 2013-GC10, Class XA, IO, 1.52%, 2/10/2046
(b)
|
|
|
13,505,722
|
|
701,253
|
GS
Mortgage Securities Trust: |
|
|
|
|
|
Series 2014-GC20, Class XA, IO, 1.06%, 4/10/2047
(b)
|
|
|
37,521,239
|
|
1,524,218
|
Series 2014-GC24, Class XA, IO, 0.80%, 9/10/2047
(b)
|
|
|
31,454,932
|
|
1,038,762
|
Series 2015-GC32, Class XA, IO, 0.82%, 7/10/2048
(b)
|
|
|
25,732,928
|
|
1,015,129
|
Series 2015-GC34, Class XA, IO, 1.34%, 10/10/2048
(b)
|
|
|
17,072,216
|
|
1,163,971
|
Series 2015-GS1, Class XA, IO, 0.81%, 11/10/2048
(b)
|
|
|
26,605,338
|
|
1,221,233
|
Series 2016-GS3, Class XA, IO, 1.27%, 10/10/2049
(b)
|
|
|
24,046,795
|
|
1,713,377
|
JP
Morgan Chase Commercial Mortgage Securities Corp.: |
|
|
|
|
|
Series 2017-FL10, Class B, 1 Month USD LIBOR + 1.00% 3.46%, 6/15/2032
(a)
(b)
|
|
|
815,000
|
|
810,716
|
Series 2017-FL10, Class C, 1 Month USD LIBOR + 1.25% 3.71%, 6/15/2032
(a)
(b)
|
|
|
616,000
|
|
614,746
|
Series 2017-FL10, Class D, 1 Month USD LIBOR + 1.90% 4.36%, 6/15/2032
(a)
(b)
|
|
|
1,994,000
|
|
1,965,782
|
Security
Description |
|
|
Principal
Amount |
|
Value
|
JP
Morgan Chase Commercial Mortgage Securities Trust: |
|
|
|
|
|
Series 2006-LDP9, Class AM, 5.37%,
5/15/2047
|
|
|
$
424,122 |
|
$
420,081 |
Series 2012-C8, Class B, 3.98%, 10/15/2045
(a)
(b)
|
|
|
1,775,000
|
|
1,788,829
|
Series 2015-JP1, Class XA, IO, 1.12%, 1/15/2049
(b)
|
|
|
22,778,178
|
|
994,720
|
Series 2016-WIKI, Class E, 4.01%, 10/5/2031
(a)
(b)
|
|
|
3,160,000
|
|
3,036,639
|
JPMBB
Commercial Mortgage Securities Trust: |
|
|
|
|
|
Series 2014-C25, Class XA, IO, 0.94%, 11/15/2047
(b)
|
|
|
6,255,037
|
|
238,441
|
Series 2014-C26, Class C, 4.42%, 1/15/2048
(b)
|
|
|
1,500,000
|
|
1,469,437
|
Series 2015-C28, Class XA, IO, 1.12%, 10/15/2048
(b)
|
|
|
11,220,845
|
|
488,269
|
Series 2015-C30, Class XA, IO, 0.61%, 7/15/2048
(b)
|
|
|
28,529,006
|
|
790,690
|
Series 2015-C32, Class C, 4.67%, 11/15/2048
(b)
|
|
|
1,300,000
|
|
1,284,857
|
Series 2015-C33, Class C, 4.62%, 12/15/2048
(b)
|
|
|
1,739,000
|
|
1,709,292
|
Series 2016-C1, Class C, 4.74%, 3/15/2049
(b)
|
|
|
2,180,000
|
|
2,180,953
|
JPMDB Commercial Mortgage Securities Trust Series 2016-C2, Class XA, IO, 1.69%, 6/15/2049
(b)
|
|
|
21,770,600
|
|
1,711,342
|
LSTAR Commercial Mortgage Trust Series 2017-5, Class X, IO, 1.11%, 3/10/2050
(a)
(b)
|
|
|
48,090,911
|
|
2,262,812
|
Merrill
Lynch Mortgage Trust: |
|
|
|
|
|
Series 2006-C1, Class AJ, 5.59%, 5/12/2039
(b)
|
|
|
132,181
|
|
133,210
|
Series 2007-C1, Class AM, 5.79%, 6/12/2050
(b)
|
|
|
4,676
|
|
4,697
|
Morgan
Stanley Bank of America Merrill Lynch Trust: |
|
|
|
|
|
Series 2013-C12, Class XA, IO, 0.62%, 10/15/2046
(b)
|
|
|
13,692,273
|
|
333,265
|
Series 2013-C7, Class XA, IO, 1.35%, 2/15/2046
(b)
|
|
|
14,275,031
|
|
649,024
|
Series 2015-C20, Class C, 4.46%, 2/15/2048
(b)
|
|
|
500,000
|
|
492,126
|
Series 2015-C25, Class C, 4.53%, 10/15/2048
(b)
|
|
|
1,700,000
|
|
1,690,167
|
Series 2015-C27, Class C, 4.53%, 12/15/2047
(b)
|
|
|
1,219,000
|
|
1,179,133
|
Series 2015-C27, Class D, 3.24%, 12/15/2047
(a)
(b)
|
|
|
1,750,000
|
|
1,459,816
|
Series 2016-C28, Class XA, IO, 1.26%, 1/15/2049
(b)
|
|
|
23,813,464
|
|
1,540,955
|
Series 2016-C30, Class XA, IO, 1.45%, 9/15/2049
(b)
|
|
|
18,741,415
|
|
1,556,156
|
Series 2016-C31, Class C, 4.32%, 11/15/2049
(b)
|
|
|
3,358,000
|
|
3,229,309
|
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF
INVESTMENTS (continued)
December 31, 2018 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
Series 2016-C32, Class A4, 3.72%,
12/15/2049
|
|
|
$
2,665,000 |
|
$
2,679,453 |
Morgan Stanley Capital I Trust Series 2015-UBS8, Class XA, IO, 0.92%, 12/15/2048
(b)
|
|
|
25,305,933
|
|
1,286,088
|
PFP,
Ltd.: |
|
|
|
|
|
Series 2017-3, Class AS, 1 Month USD LIBOR + 1.30% 3.76%, 1/14/2035
(a)
(b)
|
|
|
1,253,000
|
|
1,253,074
|
Series 2017-3, Class B, 1 Month USD LIBOR + 1.75% 4.21%, 1/14/2035
(a)
(b)
|
|
|
720,000
|
|
717,579
|
Series 2017-3, Class C, 1 Month USD LIBOR + 2.50% 4.96%, 1/14/2035
(a)
(b)
|
|
|
752,000
|
|
749,397
|
UBS Commercial Mortgage Trust Series 2017-C4, Class XA, IO, 1.11%, 10/15/2050
(b)
|
|
|
5,682,308
|
|
413,242
|
Waterfall Commercial Mortgage Trust Series 2015-SBC5, Class A, 4.10%, 9/14/2022
(a)
(b)
|
|
|
6,865,315
|
|
6,898,198
|
Wells
Fargo Commercial Mortgage Trust: |
|
|
|
|
|
Series 2014-LC16, Class D, 3.94%, 8/15/2050
(a)
|
|
|
920,000
|
|
772,014
|
Series 2015-C26, Class D, 3.59%, 2/15/2048
(a)
|
|
|
900,000
|
|
759,007
|
Series 2015-C26, Class XA, IO, 1.23%, 2/15/2048
(b)
|
|
|
8,630,997
|
|
494,257
|
Series 2015-C27, Class C, 3.89%,
2/15/2048
|
|
|
750,000
|
|
702,956
|
Series 2015-C28, Class C, 4.13%, 5/15/2048
(b)
|
|
|
1,500,000
|
|
1,427,818
|
Series 2015-LC20, Class XA, IO, 1.35%, 4/15/2050
(b)
|
|
|
7,696,853
|
|
433,203
|
Series 2015-NXS1, Class XA, IO, 1.15%, 5/15/2048
(b)
|
|
|
9,648,693
|
|
455,813
|
Series 2015-NXS2, Class XA, IO, 0.75%, 7/15/2058
(b)
|
|
|
29,105,808
|
|
921,499
|
Series 2015-NXS3, Class C, 4.64%, 9/15/2057
(b)
|
|
|
1,600,000
|
|
1,559,379
|
Series 2015-P2, Class XA, IO, 1.01%, 12/15/2048
(b)
|
|
|
21,812,082
|
|
1,059,407
|
Series 2016-C32, Class C, 4.72%, 1/15/2059
(b)
|
|
|
1,581,000
|
|
1,547,737
|
Series 2016-C33, Class XA, IO, 1.77%, 3/15/2059
(b)
|
|
|
15,156,983
|
|
1,348,855
|
Series 2017-C38, Class XA, IO, 1.08%, 7/15/2050
(b)
|
|
|
38,835,087
|
|
2,612,878
|
Series 2017-RC1, Class XA, IO, 1.55%, 1/15/2060
(b)
|
|
|
25,362,090
|
|
2,233,201
|
Security
Description |
|
|
Principal
Amount |
|
Value
|
WFRBS
Commercial Mortgage Trust: |
|
|
|
|
|
Series 2014-C19, Class XA, IO, 1.08%, 3/15/2047
(b)
|
|
|
$
9,692,459 |
|
$
394,179 |
Series 2014-C21, Class XA, IO, 1.07%, 8/15/2047
(b)
|
|
|
18,546,184
|
|
798,410
|
TOTAL COMMERCIAL MORTGAGE BACKED SECURITIES (Cost
$158,740,696)
|
|
|
|
|
139,549,406
|
|
|
Shares
|
|
SHORT-TERM
INVESTMENT — 5.1% |
|
|
|
State Street Institutional U.S. Government Money Market Fund, Class G Shares 2.31% (e) (f) (Cost
$150,002,235)
|
|
150,002,235
|
150,002,235
|
TOTAL INVESTMENTS — 99.7% (Cost
$3,058,744,835)
|
|
|
2,958,712,092
|
OTHER ASSETS IN EXCESS OF LIABILITIES — 0.3%
|
|
|
9,280,487
|
NET ASSETS — 100.0%
|
|
|
$
2,967,992,579 |
(a)
|
Securities
purchased pursuant to Rule 144A of the Securities Act of 1933, as amended. These securities, which represent 7.8% of net assets as of December 31, 2018, are considered liquid and may be resold in transactions exempt from registration, normally to
qualified institutional buyers. |
(b)
|
Variable
Rate Security - Interest rate shown is rate in effect at December 31, 2018. For securities based on a published reference rate and spread, the reference rate and spread are indicated in the description above. |
(c)
|
Amount
is less than 0.05% of net assets. |
(d)
|
Step-up
bond - Coupon rate increases in increments to maturity. Rate shown as of December 31, 2018. Maturity date shown is the final maturity. |
(e)
|
The
Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2018 are shown in the Affiliate Table below. |
(f)
|
The
rate shown is the annualized seven-day yield at December 31, 2018. |
CMO
|
=Collateralized
Mortgage Obligation |
CMT
|
=Constant
Maturity Treasury |
EMTN
|
=Euro
Medium Term Note |
GMTN
|
=Global
Medium Term Note |
IO
|
=Interest
Only |
LIBOR
|
=London
Interbank Offered Rate |
MTN
|
=Medium
Term Note |
PIK
|
=Payment
in Kind |
REMIC
|
=Real
Estate Mortgage Investment Conduit |
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF
INVESTMENTS (continued)
December 31, 2018 (Unaudited)
At December 31, 2018, the Fund had unfunded loan
commitments of $435,119, which could be extended at the option of the borrowers, pursuant to the following loan agreements:
Borrower
|
|
Unfunded
Loan Commitment ($) |
|
Value
($) |
|
Unrealized
Appreciation/(Depreciation) ($) |
Mavis Tire Express Services
Corp.
|
|
435,119
|
|
420,978
|
|
(14,141)
|
Description
|
|
Level
1 – Quoted Prices |
|
Level
2 – Other Significant Observable Inputs |
|
Level
3 – Significant Unobservable Inputs |
|
Total
|
ASSETS:
|
|
|
|
|
|
|
|
|
INVESTMENTS:
|
|
|
|
|
|
|
|
|
Corporate Bonds &
Notes
|
|
$
— |
|
$
399,601,133 |
|
$—
|
|
$
399,601,133 |
Asset-Backed
Securities
|
|
—
|
|
52,275,395
|
|
—
|
|
52,275,395
|
Foreign Government
Obligations
|
|
—
|
|
46,926,836
|
|
—
|
|
46,926,836
|
U.S. Government Agency
Obligations
|
|
—
|
|
1,301,481,178
|
|
—
|
|
1,301,481,178
|
U.S. Treasury
Obligations
|
|
—
|
|
553,602,941
|
|
—
|
|
553,602,941
|
Mortgage-Backed
Securities
|
|
—
|
|
132,874,390
|
|
—
|
|
132,874,390
|
Commercial Mortgage Backed
Securities
|
|
—
|
|
139,549,406
|
|
—
|
|
139,549,406
|
Senior Floating Rate
Loans
|
|
—
|
|
182,398,578
|
|
—
|
|
182,398,578
|
Short-Term
Investment
|
|
150,002,235
|
|
—
|
|
—
|
|
150,002,235
|
TOTAL
INVESTMENTS
|
|
$150,002,235
|
|
$2,808,709,857
|
|
$—
|
|
$2,958,712,092
|
LIABILITIES:
|
|
|
|
|
|
|
|
|
OTHER
FINANCIAL INSTRUMENTS: |
|
|
|
|
|
|
|
|
Unfunded
Loans
|
|
—
|
|
(14,141)
|
|
—
|
|
(14,141)
|
TOTAL OTHER FINANCIAL
INSTRUMENTS
|
|
$
— |
|
$
(14,141) |
|
$—
|
|
$
(14,141) |
|
Number
of Shares Held at 6/30/18 |
|
Value
at 6/30/18 |
|
Cost
of Purchases |
|
Proceeds
from Shares Sold |
|
Realized
Gain (Loss) |
|
Change
in Unrealized Appreciation/ Depreciation |
|
Number
of Shares Held at 12/31/18 |
|
Value
at 12/31/18 |
|
Dividend
Income |
|
Capital
Gains Distributions |
State Street Institutional U.S. Government Money Market Fund, Class G
Shares
|
—
|
|
$—
|
|
$440,854,524
|
|
$290,852,289
|
|
$—
|
|
$—
|
|
150,002,235
|
|
$150,002,235
|
|
$404,486
|
|
$—
|
(b) Not applicable to the registrant.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable to the registrant.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable to the registrant.
Item 9. Purchases
of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable
to the registrant.
Item 10. Submission of Matters to a Vote of Security Holders.
The registrant has not adopted any material changes to the procedures by which shareholders may recommend nominees to the registrants Board.
Item 11. Controls and Procedures.
(a) Within 90 days of the filing date of this Form N-CSR, Ellen M. Needham, the registrants President and
Principal Executive Officer, and Bruce S. Rosenberg, the registrants Treasurer and Principal Financial Officer, reviewed the registrants disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of
1940, as amended (the 1940 Act)) and evaluated their effectiveness. Based on their review, Ms. Needham and Mr. Rosenberg determined that the disclosure controls and procedures adequately ensure that information required to be
disclosed by the registrant in its periodic reports is recorded, processed, summarized and reported within the time periods required by the U.S. Securities and Exchange Commission.
(b) There were no changes in the registrants internal control over financial reporting (as defined in Rule
30a-3(d) under the 1940 Act) that occurred during the last fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the
registrants internal control over financial reporting.
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
(a) Not applicable to the registrant.
(b) Not applicable to the registrant.
Item 13.
Exhibits.
(a)(1) Not applicable to the registrant; this Form N-CSR is a Semi-Annual Report.
(a)(2) Separate certifications required by Rule 30a-2(a) under the Investment Company Act of 1940, as amended, for each
principal executive officer and principal financial officer of the registrant are attached.
(a)(3) Not applicable to the registrant.
(a)(4) Not applicable.
(b) A single certification required by
Rule 30a-2(b) under the Investment Company Act of 1940, as amended, Rule 13a-14(b) or Rule 15d-14(b) under the Securities
Exchange Act of 1934, as amended, and Section 1350 of Chapter 63 of Title 18 of the United States Code for the principal executive officer and principal financial officer of the registrant is attached.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934, as amended, and the Investment Company Act of 1940, as amended, the registrant has duly
caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
SSGA Active Trust
|
|
|
By: |
|
/s/ Ellen M. Needham |
|
|
Ellen M. Needham |
|
|
President and Principal Executive Officer |
|
|
Date: |
|
March 7, 2019 |
Pursuant to the requirements of the Securities Exchange Act of 1934, as amended, and the Investment Company Act of 1940, as
amended, 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: |
|
/s/ Ellen M. Needham |
|
|
Ellen M. Needham |
|
|
President and Principal Executive Officer |
|
|
Date: |
|
March 7, 2019 |
|
|
By: |
|
/s/ Bruce S. Rosenberg |
|
|
Bruce S. Rosenberg |
|
|
Treasurer and Principal Financial Officer |
|
|
Date: |
|
March 7, 2019 |