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)
Sean OMalley, Esq.
Senior Vice President and Deputy General 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) 664-1465
Date of fiscal year end: June 30
Date of reporting period: June 30, 2020
Item 1. Reports to Shareholders.
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 |
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1 |
Management’s Discussion of Fund Performance, Performance Summaries & Portfolio Statistics (Unaudited) | |
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2 |
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5 |
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7 |
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10 |
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13 |
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16 |
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20 |
Schedules of Investments | |
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23 |
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25 |
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27 |
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30 |
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37 |
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39 |
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41 |
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44 |
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51 |
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58 |
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67 |
|
68 |
Cumulative Total Return | Average Annual Total Return | |||||||||||||
Net
Asset Value |
Market
Value |
Bloomberg Barclays U.S. Government Inflation-linked Bond Index | DBIQ Optimum Yield Diversified Commodity Index Excess Return | Net
Asset Value |
Market
Value |
Bloomberg Barclays U.S. Government Inflation-linked Bond Index | DBIQ Optimum Yield Diversified Commodity Index Excess Return | |||||||
ONE YEAR | – 12.71% | – 12.81% | 8.74% | – 21.33% | – 12.71% | – 12.81% | 8.74% | – 21.33% | ||||||
FIVE YEARS | – 7.36% | – 7.32% | 21.16% | – 30.78% | – 1.52% | – 1.51% | 3.91% | – 7.09% | ||||||
SINCE INCEPTION(1) | – 14.72% | – 14.70% | 20.25% | – 53.60% | – 1.93% | – 1.92% | 2.28% | – 8.96% | ||||||
(1) | For the period April 25, 2012 to June 30, 2020. |
Description | % of Net Assets | ||
Invesco Optimum Yield Diversified Commodity Strategy No. K-1 ETF | 21.3% | ||
SPDR S&P Global Natural Resources ETF | 21.3 | ||
SPDR Portfolio TIPS ETF | 17.6 | ||
SPDR S&P Global Infrastructure ETF | 10.5 | ||
SPDR FTSE International Government Inflation-Protected Bond ETF | 7.8 | ||
TOTAL | 78.5% |
% of Net Assets | |||
Commodities | 23.5% | ||
Natural Resources | 23.3 | ||
Inflation Linked | 17.6 | ||
International Equity | 12.6 | ||
Real Estate | 12.2 | ||
International Fixed Income | 7.8 | ||
Domestic Equity | 2.6 | ||
Short Term Investments | 20.2 | ||
Liabilities in Excess of Other Assets | (19.8) | ||
TOTAL | 100.0% |
Cumulative Total Return | Average Annual Total Return | |||||||||||||
Net
Asset Value |
Market
Value |
MSCI World Index | Bloomberg Barclays US Long Government /Credit Bond Index | Net
Asset Value |
Market
Value |
MSCI World Index | Bloomberg Barclays US Long Government /Credit Bond Index | |||||||
ONE YEAR | – 4.56% | – 4.55% | 2.84% | 18.91% | – 4.56% | – 4.55% | 2.84% | 18.91% | ||||||
FIVE YEARS | 17.95% | 18.00% | 39.59% | 53.73% | 3.36% | 3.37% | 6.90% | 8.98% | ||||||
SINCE INCEPTION(1) | 38.58% | 38.58% | 101.42% | 73.16% | 4.07% | 4.07% | 8.94% | 6.94% | ||||||
(1) | For the period April 25, 2012 to June 30, 2020. |
Description | % of Net Assets | ||
SPDR Portfolio S&P 500 High Dividend ETF | 12.8% | ||
SPDR Bloomberg Barclays High Yield Bond ETF | 12.1 | ||
SPDR Blackstone / GSO Senior Loan ETF | 10.4 | ||
SPDR Bloomberg Barclays Emerging Markets Local Bond ETF | 10.3 | ||
SPDR Portfolio Long Term Treasury ETF | 8.6 | ||
TOTAL | 54.2% |
% of Net Assets | |||
Domestic Fixed Income | 50.3% | ||
Domestic Equity | 24.8 | ||
International Equity | 11.7 | ||
International Fixed Income | 10.3 | ||
Inflation Linked | 2.7 | ||
Short Term Investments | 17.1 | ||
Liabilities in Excess of Other Assets | (16.9) | ||
TOTAL | 100.0% |
Cumulative Total Return | Average Annual Total Return | |||||||||||||
Net
Asset Value |
Market
Value |
MSCI ACWI IMI Index | Bloomberg Barclays U.S. Aggregate Bond Index | Net
Asset Value |
Market
Value |
MSCI ACWI IMI Index | Bloomberg Barclays U.S. Aggregate Bond Index | |||||||
ONE YEAR | – 1.00% | – 0.87% | 1.17% | 8.74% | – 1.00% | – 0.87% | 1.17% | 8.74% | ||||||
FIVE YEARS | 21.53% | 21.55% | 34.52% | 23.45% | 3.98% | 3.98% | 6.11% | 4.30% | ||||||
SINCE INCEPTION(1) | 54.19% | 54.37% | 88.35% | 31.89% | 5.43% | 5.45% | 8.05% | 3.44% | ||||||
(1) | For the period April 25, 2012 to June 30, 2020. |
Description | % of Net Assets | ||
SPDR S&P 500 ETF Trust | 19.7% | ||
SPDR Portfolio Developed World ex-US ETF | 16.5 | ||
SPDR Portfolio Intermediate Term Corporate Bond ETF | 15.6 | ||
SPDR Bloomberg Barclays High Yield Bond ETF | 11.0 | ||
SPDR Portfolio Emerging Markets ETF | 7.1 | ||
TOTAL | 69.9% |
% of Net Assets | |||
Domestic Fixed Income | 28.7% | ||
Domestic Equity | 27.5 | ||
International Equity | 27.5 | ||
Inflation Linked | 5.3 | ||
Commodities | 4.3 | ||
International Fixed Income | 3.0 | ||
Real Estate | 1.9 | ||
Short Term Investments | 27.7 | ||
Liabilities in Excess of Other Assets | (25.9) | ||
TOTAL | 100.0% |
Cumulative Total Return | Average Annual Total Return | ||||||||
Net
Asset Value |
Market
Value |
Bloomberg Barclays US Treasury Bellwether 3 Month Index | Net
Asset Value |
Market
Value |
Bloomberg Barclays US Treasury Bellwether 3 Month Index | ||||
ONE YEAR | 1.86% | 2.02% | 1.65% | 1.86% | 2.02% | 1.65% | |||
FIVE YEARS | 8.72% | 8.89% | 6.20% | 1.69% | 1.72% | 1.21% | |||
SINCE INCEPTION(1) | 9.44% | 9.62% | 6.30% | 1.35% | 1.38% | 0.91% | |||
(1) | For the period October 9, 2013 to June 30, 2020. |
Description | % of Net Assets | ||
Treasury
Notes 1.63% 7/31/2020 |
3.5% | ||
Ford
Credit Auto Lease Trust 2.90% 5/15/2022 |
2.0 | ||
Nissan
Master Owner Trust Receivables ABS 0.50% 10/17/2022 |
1.9 | ||
L3Harris
Technologies, Inc. 1.06% 3/10/2023 |
1.6 | ||
Albemarle
Corp. 1.44% 11/15/2022 |
1.6 | ||
TOTAL | 10.6% |
% of Net Assets | |||
Corporate Bonds & Notes | 62.6% | ||
Asset-Backed Securities | 27.4 | ||
U.S. Treasury Obligations | 3.5 | ||
Mortgage-Backed Securities | 1.9 | ||
Foreign Government Obligations | 0.1 | ||
Short-Term Investment | 3.9 | ||
U.S. Treasury | 0.4 | ||
Other Assets in Excess of Liabilities | 0.2 | ||
TOTAL | 100.0% |
Cumulative Total Return | Average Annual Total Return | ||||||||
Net
Asset Value |
Market
Value |
S&P 500 Index | Net
Asset Value |
Market
Value |
S&P 500 Index | ||||
ONE YEAR | 2.78% | 2.77% | 7.51% | 2.78% | 2.77% | 7.51% | |||
FIVE YEARS | 55.84% | 56.19% | 66.45% | 9.28% | 9.33% | 10.73% | |||
SINCE INCEPTION(1) | 91.02% | 90.94% | 92.61% | 10.51% | 10.50% | 10.66% | |||
(1) | For the period January 8, 2014 to June 30, 2020. |
Description | % of Net Assets | ||
Apple, Inc. | 9.5% | ||
Microsoft Corp. | 9.5 | ||
Johnson & Johnson | 4.2 | ||
Intel Corp. | 4.0 | ||
Alphabet, Inc. | 3.7 | ||
TOTAL | 30.9% |
% of Net Assets | |||
Software | 12.6% | ||
Technology Hardware, Storage & Peripherals | 9.5 | ||
Pharmaceuticals | 7.9 | ||
Interactive Media & Services | 7.1 | ||
Machinery | 5.0 | ||
Insurance | 4.6 | ||
Semiconductors & Semiconductor Equipment | 4.0 | ||
Health Care Providers & Services | 3.7 | ||
Biotechnology | 3.4 | ||
Internet & Direct Marketing Retail | 3.3 | ||
Equity Real Estate Investment Trusts (REITs) | 3.1 | ||
Hotels, Restaurants & Leisure | 3.1 | ||
IT Services | 3.0 | ||
Media | 3.0 | ||
Tobacco | 2.9 | ||
Banks | 2.8 | ||
Independent Power and Renewable Electricity Producers | 2.6 | ||
Multiline Retail | 2.6 | ||
Food Products | 2.3 | ||
Electric Utilities | 2.0 | ||
Food & Staples Retailing | 1.8 | ||
Oil, Gas & Consumable Fuels | 1.8 | ||
Road & Rail | 1.5 | ||
Consumer Finance | 1.4 | ||
Entertainment | 1.1 | ||
Health Care Equipment & Supplies | 0.9 | ||
Capital Markets | 0.8 | ||
Household Products | 0.7 | ||
Construction & Engineering | 0.5 | ||
Containers & Packaging | 0.5 | ||
Short Term Investments | 0.5 | ||
Other Assets in Excess of Liabilities | 0.0 | ||
TOTAL | 100.0% |
Cumulative Total Return | Average Annual Total Return | ||||||||
Net
Asset Value |
Market
Value |
Russell 1000 Growth Index | Net
Asset Value |
Market
Value |
Russell 1000 Growth Index | ||||
ONE YEAR | 17.13% | 17.09% | 23.28% | 17.12% | 17.09% | 23.28% | |||
FIVE YEARS | 75.73% | 75.30% | 109.04% | 11.94% | 11.88% | 15.89% | |||
SINCE INCEPTION(1) | 122.41% | 122.33% | 147.36% | 13.14% | 13.13% | 15.02% | |||
(1) | For the period January 8, 2014 to June 30, 2020. |
Description | % of Net Assets | ||
Microsoft Corp. | 9.9% | ||
Apple, Inc. | 8.8 | ||
Amazon.com, Inc. | 6.2 | ||
PayPal Holdings, Inc. | 3.7 | ||
Alphabet, Inc. | 3.3 | ||
TOTAL | 31.9% |
% of Net Assets | |||
Software | 19.3% | ||
Technology Hardware, Storage & Peripherals | 8.8 | ||
Internet & Direct Marketing Retail | 7.5 | ||
IT Services | 7.0 | ||
Interactive Media & Services | 6.4 | ||
Semiconductors & Semiconductor Equipment | 6.3 | ||
Pharmaceuticals | 6.0 | ||
Entertainment | 4.8 | ||
Biotechnology | 4.6 | ||
Hotels, Restaurants & Leisure | 3.7 | ||
Machinery | 3.5 | ||
Health Care Providers & Services | 3.1 | ||
Equity Real Estate Investment Trusts (REITs) | 2.4 | ||
Tobacco | 2.4 | ||
Media | 2.2 | ||
Multiline Retail | 1.9 | ||
Consumer Finance | 1.3 | ||
Food & Staples Retailing | 1.1 | ||
Construction & Engineering | 1.0 | ||
Road & Rail | 1.0 | ||
Independent Power & Renewable Electricity Producers | 1.0 | ||
Specialty Retail | 0.9 | ||
Insurance | 0.7 | ||
Building Products | 0.7 | ||
Industrial Conglomerates | 0.6 | ||
Electric Utilities | 0.4 | ||
Health Care Equipment & Supplies | 0.4 | ||
Short-Term Investment | 1.0 | ||
Other Assets in Excess of Liabilities | 0.0 | ||
TOTAL | 100.0% |
Cumulative Total Return | Average Annual Total Return | ||||||||
Net
Asset Value |
Market
Value |
Russell 1000 Value Index | Net
Asset Value |
Market
Value |
Russell 1000 Value Index | ||||
ONE YEAR | – 7.77% | – 7.80% | – 8.84% | – 7.77% | – 7.80% | – 8.84% | |||
FIVE YEARS | 26.97% | 26.91% | 25.46% | 4.89% | 4.88% | 4.64% | |||
SINCE INCEPTION(1) | 52.78% | 52.70% | 41.84% | 6.76% | 6.75% | 5.55% | |||
(1) | For the period January 8, 2014 to June 30, 2020. |
Description | % of Net Assets | ||
Johnson & Johnson | 5.0% | ||
Intel Corp. | 4.3 | ||
Eaton Corp. PLC | 3.6 | ||
Target Corp. | 3.5 | ||
Citigroup, Inc. | 3.5 | ||
TOTAL | 19.9% |
% of Net Assets | |||
Pharmaceuticals | 9.2% | ||
Banks | 7.6 | ||
Oil, Gas & Consumable Fuels | 6.5 | ||
Equity Real Estate Investment Trusts (REITs) | 6.1 | ||
Electrical Equipment | 6.0 | ||
Electric Utilities | 5.3 | ||
Insurance | 5.0 | ||
Health Care Providers & Services | 4.6 | ||
Capital Markets | 4.3 | ||
Semiconductors & Semiconductor Equipment | 4.3 | ||
Entertainment | 3.7 | ||
Food Products | 3.7 | ||
Independent Power and Renewable Electricity Producers | 3.5 | ||
Software | 3.5 | ||
Multiline Retail | 3.5 | ||
Machinery | 2.5 | ||
Household Durables | 2.5 | ||
Media | 2.4 | ||
Tobacco | 2.2 | ||
IT Services | 1.9 | ||
Containers & Packaging | 1.7 | ||
Diversified Telecommunication Services | 1.6 | ||
Food & Staples Retailing | 1.3 | ||
Health Care Equipment & Supplies | 1.2 | ||
Biotechnology | 1.2 | ||
Road & Rail | 1.2 | ||
Chemicals | 0.8 | ||
Beverages | 0.7 | ||
Household Products | 0.5 | ||
Consumer Finance | 0.5 | ||
Short Term Investments | 0.9 | ||
Other Assets in Excess of Liabilities | 0.1 | ||
TOTAL | 100.0% |
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 |
$53,527,005 | $— | $— | $53,527,005 | ||||
Short-Term
Investments |
10,844,864 | — | — | 10,844,864 | ||||
TOTAL
INVESTMENTS |
$64,371,869 | $— | $— | $64,371,869 |
Number
of Shares Held at 6/30/19 |
Value
at 6/30/19 |
Cost
of Purchases |
Proceeds
from Shares Sold |
Realized
Gain (Loss) |
Change
in Unrealized Appreciation/ Depreciation |
Number
of Shares Held at 6/30/20 |
Value
at 6/30/20 |
Dividend
Income | |||||||||
SPDR Dow Jones International Real Estate
ETF |
254,986 | $ 9,880,708 | $ 1,903,931 | $ 6,091,481 | $(1,016,828) | $(1,093,514) | 124,317 | $ 3,582,816 | $ 708,459 | ||||||||
SPDR Dow Jones REIT
ETF |
99,368 | 9,817,558 | 3,510,348 | 8,769,104 | (344,936) | (1,242,640) | 38,078 | 2,971,226 | 253,707 | ||||||||
SPDR FTSE International Government Inflation-Protected Bond
ETF |
120,728 | 6,710,062 | 1,996,501 | 4,109,612 | (278,507) | (95,396) | 80,439 | 4,223,048 | 131,689 | ||||||||
SPDR Portfolio TIPS
ETF |
295,379 | 16,715,498 | 4,847,807 | 12,791,271 | 205,040 | 463,738 | 313,232 | 9,440,812 | 295,867 | ||||||||
SPDR S&P Global Infrastructure
ETF |
212,055 | 11,266,482 | 2,335,988 | 6,181,154 | (107,804) | (1,663,440) | 129,115 | 5,650,072 | 234,177 | ||||||||
SPDR S&P Global Natural Resources
ETF |
520,207 | 23,861,895 | 7,075,205 | 13,967,312 | (2,709,972) | (2,828,725) | 309,534 | 11,431,091 | 645,989 | ||||||||
SPDR S&P Metals & Mining
ETF |
122,057 | 3,463,978 | 442,816 | 2,171,073 | (511,067) | (151,698) | 50,635 | 1,072,956 | 26,173 | ||||||||
State Street Institutional U.S. Government Money Market Fund, Class G
Shares |
200,382 | 200,382 | 4,526,660 | 4,498,234 | — | — | 228,808 | 228,808 | 15,219 | ||||||||
State Street Navigator Securities Lending Portfolio
II |
— | — | 145,256,566 | 134,640,510 | — | — | 10,616,057 | 10,616,056 | 103,247 | ||||||||
State Street Navigator Securities Lending Portfolio
III |
8,210,284 | 8,210,284 | 126,231,378 | 134,441,662 | — | — | — | — | 33,640 | ||||||||
The Energy Select Sector SPDR
Fund |
89,126 | 5,678,217 | 1,292,014 | 4,139,545 | (1,278,828) | (174,345) | 36,394 | 1,377,513 | 189,638 | ||||||||
Total |
$95,805,064 | $299,419,214 | $331,800,958 | $(6,042,902) | $(6,786,020) | $50,594,398 | $2,637,805 |
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 |
$125,864,858 | $— | $— | $125,864,858 | ||||
Short-Term
Investments |
21,504,874 | — | — | 21,504,874 | ||||
TOTAL
INVESTMENTS |
$147,369,732 | $— | $— | $147,369,732 |
Number
of Shares Held at 6/30/19 |
Value
at 6/30/19 |
Cost
of Purchases |
Proceeds
from Shares Sold |
Realized
Gain (Loss) |
Change
in Unrealized Appreciation/ Depreciation |
Number
of Shares Held at 6/30/20 |
Value
at 6/30/20 |
Dividend
Income | |||||||||
SPDR Blackstone / GSO Senior Loan
ETF |
221,297 | $10,228,347 | $ 12,895,437 | $ 8,781,351 | $ (532,941) | $ (732,895) | 301,443 | $ 13,076,597 | $ 645,501 | ||||||||
SPDR Bloomberg Barclays Convertible Securities
ETF |
98,095 | 5,186,283 | 6,044,627 | 5,070,034 | 100,899 | 422,931 | 110,491 | 6,684,706 | 201,292 | ||||||||
SPDR Bloomberg Barclays Emerging Markets Local Bond
ETF |
379,704 | 10,563,365 | 12,483,164 | 9,068,101 | (183,062) | (777,278) | 496,684 | 13,018,088 | 541,492 | ||||||||
SPDR Bloomberg Barclays High Yield Bond
ETF |
134,592 | 14,662,453 | 18,296,799 | 15,897,094 | (1,303,315) | (435,935) | 151,472 | 15,322,908 | 818,815 | ||||||||
SPDR Portfolio Europe
ETF |
91,861 | 3,138,890 | 7,141,824 | 5,567,728 | (509,603) | (415,872) | 120,535 | 3,787,511 | 109,879 | ||||||||
SPDR Portfolio Intermediate Term Corporate Bond
ETF |
30,296 | 1,058,239 | 12,662,895 | 4,608,744 | 35,692 | 157,716 | 254,744 | 9,305,798 | 52,954 | ||||||||
SPDR Portfolio Long Term Corporate Bond
ETF |
188,290 | 5,413,338 | 7,872,531 | 5,620,370 | 313,676 | 200,661 | 258,039 | 8,179,836 | 231,465 | ||||||||
SPDR Portfolio Long Term Treasury
ETF |
278,234 | 10,617,409 | 12,622,521 | 15,211,285 | 2,005,695 | 779,822 | 230,530 | 10,814,162 | 261,357 | ||||||||
SPDR Portfolio S&P 500 High Dividend
ETF |
361,461 | 13,749,976 | 24,310,923 | 14,675,055 | (2,105,111) | (5,154,970) | 579,022 | 16,125,763 | 955,385 | ||||||||
SPDR Portfolio TIPS
ETF |
46,570 | 2,635,396 | 4,830,511 | 4,316,702 | 130,233 | 103,536 | 112,242 | 3,382,974 | 73,975 | ||||||||
SPDR S&P Global Infrastructure
ETF |
99,667 | 5,295,308 | 6,710,718 | 4,416,385 | (201,596) | (1,374,808) | 137,414 | 6,013,237 | 190,770 | ||||||||
SPDR S&P International Dividend
ETF |
106,418 | 4,188,613 | 7,824,120 | 5,839,192 | (83,177) | (1,159,460) | 148,835 | 4,930,904 | 160,484 | ||||||||
SPDR Wells Fargo Preferred Stock
ETF |
120,314 | 5,198,768 | 6,133,481 | 4,320,076 | (282,300) | (208,471) | 155,828 | 6,521,402 | 333,500 | ||||||||
State Street Institutional U.S. Government Money Market Fund, Class G
Shares |
241,663 | 241,663 | 12,660,547 | 12,740,474 | — | — | 161,736 | 161,736 | 24,336 | ||||||||
State Street Navigator Securities Lending Portfolio
II |
— | — | 376,326,779 | 354,983,641 | — | — | 21,343,138 | 21,343,138 | 204,749 | ||||||||
State Street Navigator Securities Lending Portfolio
III |
4,478,400 | 4,478,400 | 104,750,346 | 109,228,746 | — | — | — | — | 80,211 | ||||||||
Total |
$96,656,448 | $633,567,223 | $580,344,978 | $(2,614,910) | $(8,595,023) | $138,668,760 | $4,886,165 |
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 |
$233,552,435 | $— | $— | $233,552,435 | ||||
Short-Term
Investments |
65,863,390 | — | — | 65,863,390 | ||||
TOTAL
INVESTMENTS |
$299,415,825 | $— | $— | $299,415,825 |
Number
of Shares Held at 6/30/19 |
Value
at 6/30/19 |
Cost
of Purchases |
Proceeds
from Shares Sold |
Realized
Gain (Loss) |
Change
in Unrealized Appreciation/ Depreciation(a) |
Number
of Shares Held at 6/30/20 |
Value
at 6/30/20 |
Dividend
Income | |||||||||
SPDR Bloomberg Barclays Emerging Markets Local Bond
ETF |
94,356 | $ 2,624,984 | $ 478,369 | $ 587,656 | $ (21,953) | $ (92,384) | 91,620 | $ 2,401,360 | $ 111,713 | ||||||||
SPDR Bloomberg Barclays High Yield Bond
ETF |
330,621 | 36,017,852 | 21,668,300 | 29,483,492 | (770,373) | (1,352,328) | 257,809 | 26,079,959 | 1,406,016 | ||||||||
SPDR Bloomberg Barclays International Corporate Bond
ETF |
153,181 | 5,237,549 | 1,218,767 | 1,546,580 | (36,109) | (54,757) | 143,333 | 4,818,870 | 30,827 | ||||||||
SPDR Bloomberg Barclays International Treasury Bond
ETF |
268,338 | 7,760,335 | 5,733,086 | 13,170,324 | (11,069) | (312,028) | — | — | 56,998 | ||||||||
SPDR Dow Jones International Real Estate
ETF |
196,691 | 7,621,776 | 5,279,486 | 6,474,815 | (829,160) | (1,169,411) | 153,639 | 4,427,876 | 689,812 | ||||||||
SPDR Dow Jones REIT
ETF |
177,621 | 17,548,955 | 10,371,758 | 24,896,026 | (2,827,930) | (196,757) | — | — | 468,825 | ||||||||
SPDR Portfolio Aggregate Bond
ETF |
176,602 | 5,151,480 | 14,941,623 | 19,921,264 | 90,415 | (262,254) | — | — | 117,887 | ||||||||
SPDR Portfolio Developed World ex-US
ETF |
1,382,195 | 40,899,150 | 18,798,641 | 16,485,790 | 174,335 | (4,031,758) | 1,424,858 | 39,354,578 | 900,028 | ||||||||
SPDR Portfolio Emerging Markets
ETF |
364,020 | 13,028,276 | 21,385,432 | 15,417,279 | 991,136 | (3,220,625) | 501,104 | 16,766,940 | 424,002 | ||||||||
SPDR Portfolio Europe
ETF |
— | — | 12,006,787 | 10,338,983 | (1,667,804) | —* | — | —* | 75,918 | ||||||||
SPDR Portfolio Intermediate Term Corporate Bond
ETF |
149,799 | 5,232,479 | 38,663,577 | 8,098,180 | 113,048 | 1,278,077 | 1,018,040 | 37,189,001 | 263,772 | ||||||||
SPDR Portfolio Intermediate Term Treasury
ETF |
84,943 | 5,249,478 | 488,018 | 5,762,676 | 248,298 | (223,118) | — | — | 57,524 | ||||||||
SPDR Portfolio Long Term Corporate Bond
ETF |
— | — | 4,690,666 | 35,670 | 1,375 | 367,128 | 158,470 | 5,023,499 | 13,335 | ||||||||
SPDR Portfolio Small Cap
ETF |
170,359 | 5,219,800 | 672,121 | 5,285,082 | (500,034) | (106,805) | — | — | 34,136 | ||||||||
SPDR Portfolio TIPS
ETF |
228,037 | 12,904,614 | 3,663,349 | 4,871,900 | 139,948 | 659,038 | 414,567 | 12,495,049 | 263,752 | ||||||||
SPDR S&P 500 ETF
Trust |
176,029 | 51,576,497 | 16,251,810 | 22,571,496 | 978,786 | 622,788 | 151,960 | 46,858,385 | 1,024,540 | ||||||||
SPDR S&P Emerging Markets SmallCap
ETF |
56,408 | 2,521,438 | 3,192,938 | 2,950,935 | (10,372) | (321,643) | 59,550 | 2,431,426 | 72,312 | ||||||||
SPDR S&P International Small Cap
ETF |
250,396 | 7,499,360 | 2,157,614 | 1,997,916 | (248,074) | (500,213) | 252,679 | 6,910,771 | 259,930 | ||||||||
SPDR S&P MidCap 400 ETF
Trust |
14,440 | 5,120,280 | 1,300,766 | 1,500,615 | (10,243) | (421,193) | 13,834 | 4,488,995 | 74,910 | ||||||||
State Street Institutional U.S. Government Money Market Fund, Class G
Shares |
2,263,193 | 2,263,193 | 27,058,087 | 25,266,581 | — | — | 4,054,699 | 4,054,699 | 142,385 | ||||||||
State Street Navigator Securities Lending Portfolio
II |
— | — | 1,037,475,283 | 975,666,592 | — | — | 61,808,691 | 61,808,691 | 314,878 | ||||||||
State Street Navigator Securities Lending Portfolio
III |
10,451,625 | 10,451,625 | 408,353,101 | 418,804,726 | — | —* | — | —* | 94,290 | ||||||||
The Communication Services Select Sector SPDR
Fund |
— | — | 5,305,313 | 5,331,372 | 26,059 | —* | — | —* | 12,221 | ||||||||
The Consumer Staples Select Sector SPDR
Fund |
86,816 | 5,041,405 | 4,598,072 | 9,733,220 | 25,306 | 68,437 | — | — | — | ||||||||
The Financial Select Sector SPDR
Fund |
— | — | 6,693,344 | 1,268,549 | (156,035) | (1,017,618) | 183,714 | 4,251,142 | 89,850 | ||||||||
The Health Care Select Sector SPDR
Fund |
56,856 | 5,267,140 | 11,538,816 | 12,112,130 | 331,793 | (300,714) | 47,216 | 4,724,905 | 99,743 | ||||||||
The Industrial Select Sector SPDR
Fund |
66,672 | 5,161,746 | 44,758 | 5,274,230 | 264,778 | (197,052) | — | — | — |
Number
of Shares Held at 6/30/19 |
Value
at 6/30/19 |
Cost
of Purchases |
Proceeds
from Shares Sold |
Realized
Gain (Loss) |
Change
in Unrealized Appreciation/ Depreciation(a) |
Number
of Shares Held at 6/30/20 |
Value
at 6/30/20 |
Dividend
Income | |||||||||
The Real Estate Select Sector SPDR
Fund |
— | $ — | $ 10,910,382 | $ 11,226,015 | $ 315,633 | $ —* | — | $ —* | $ 35,758 | ||||||||
The Technology Select Sector SPDR
Fund |
— | — | 10,565,221 | 6,456,413 | 498,534 | 432,838 | 48,236 | 5,040,180 | 70,422 | ||||||||
Total |
$259,399,412 | $1,705,505,485 | $1,662,536,507 | $(2,889,712) | $(10,352,352) | $289,126,326 | $7,205,784 |
(a) | Does not include change in unrealized appreciation and depreciation from investments that are no longer affiliates at period ended June 30, 2020. |
* | As of June 30, 2020, no longer an affiliate. |
Description | Level
1 – Quoted Prices |
Level
2 – Other Significant Observable Inputs |
Level
3 – Significant Unobservable Inputs |
Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Corporate Bonds &
Notes |
$ — | $187,232,722 | $— | $187,232,722 | ||||
Asset-Backed
Securities |
— | 81,820,809 | — | 81,820,809 | ||||
Foreign Government
Obligations |
— | 249,983 | — | 249,983 | ||||
U.S. Treasury
Obligations |
— | 10,626,438 | — | 10,626,438 | ||||
U.S.
Treasury |
— | 989,969 | — | 989,969 | ||||
Mortgage-Backed
Securities |
— | 5,635,147 | — | 5,635,147 | ||||
Short-Term
Investment |
11,722,245 | — | — | 11,722,245 | ||||
TOTAL
INVESTMENTS |
$11,722,245 | $286,555,068 | $— | $298,277,313 |
Number
of Shares Held at 6/30/19 |
Value
at 6/30/19 |
Cost
of Purchases |
Proceeds
from Shares Sold |
Realized
Gain (Loss) |
Change
in Unrealized Appreciation/ Depreciation |
Number
of Shares Held at 6/30/20 |
Value
at 6/30/20 |
Dividend
Income | |||||||||
State Street Institutional U.S. Government Money Market Fund, Class G
Shares |
2,317,630 | $2,317,630 | $101,436,595 | $92,031,980 | $— | $— | 11,722,245 | $11,722,245 | $42,357 |
Description | Level
1 – Quoted Prices |
Level
2 – Other Significant Observable Inputs |
Level
3 – Significant Unobservable Inputs |
Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Common
Stocks |
$23,727,147 | $— | $— | $23,727,147 | ||||
Short-Term
Investment |
124,759 | — | — | 124,759 | ||||
TOTAL
INVESTMENTS |
$23,851,906 | $— | $— | $23,851,906 |
Number
of Shares Held at 6/30/19 |
Value
at 6/30/19 |
Cost
of Purchases |
Proceeds
from Shares Sold |
Realized
Gain (Loss) |
Change
in Unrealized Appreciation/ Depreciation |
Number
of Shares Held at 6/30/20 |
Value
at 6/30/20 |
Dividend
Income | |||||||||
State Street Institutional U.S. Government Money Market Fund, Class G
Shares |
255,902 | $255,902 | $932,420 | $1,063,563 | $— | $— | 124,759 | $124,759 | $4,369 |
Description | Level
1 – Quoted Prices |
Level
2 – Other Significant Observable Inputs |
Level
3 – Significant Unobservable Inputs |
Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Common
Stocks |
$37,549,210 | $— | $— | $37,549,210 | ||||
Short-Term
Investment |
365,868 | — | — | 365,868 | ||||
TOTAL
INVESTMENTS |
$37,915,078 | $— | $— | $37,915,078 |
Number
of Shares Held at 6/30/19 |
Value
at 6/30/19 |
Cost
of Purchases |
Proceeds
from Shares Sold |
Realized
Gain (Loss) |
Change
in Unrealized Appreciation/ Depreciation |
Number
of Shares Held at 6/30/20 |
Value
at 6/30/20 |
Dividend
Income | |||||||||
State Street Institutional U.S. Government Money Market Fund, Class G
Shares |
460,630 | $460,630 | $853,374 | $948,136 | $— | $— | 365,868 | $365,868 | $7,606 |
Description | Level
1 – Quoted Prices |
Level
2 – Other Significant Observable Inputs |
Level
3 – Significant Unobservable Inputs |
Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Common
Stocks |
$20,637,907 | $— | $— | $20,637,907 | ||||
Short-Term
Investment |
187,314 | — | — | 187,314 | ||||
TOTAL
INVESTMENTS |
$20,825,221 | $— | $— | $20,825,221 |
Number
of Shares Held at 6/30/19 |
Value
at 6/30/19 |
Cost
of Purchases |
Proceeds
from Shares Sold |
Realized
Gain (Loss) |
Change
in Unrealized Appreciation/ Depreciation |
Number
of Shares Held at 6/30/20 |
Value
at 6/30/20 |
Dividend
Income | |||||||||
State Street Institutional U.S. Government Money Market Fund, Class G
Shares |
286,017 | $286,017 | $936,696 | $1,035,399 | $— | $— | 187,314 | $187,314 | $4,369 |
SPDR SSGA Multi-Asset Real Return ETF | SPDR SSGA Income Allocation ETF | SPDR SSGA Global Allocation ETF | |||
ASSETS | |||||
Investments in unaffiliated issuers, at
value* |
$ 13,777,471 | $ 8,700,972 | $ 10,289,499 | ||
Investments in affiliated issuers, at
value |
50,594,398 | 138,668,760 | 289,126,326 | ||
Total
Investments |
64,371,869 | 147,369,732 | 299,415,825 | ||
Cash |
— | — | — | ||
Receivable for fund shares
sold |
— | 7,635 | — | ||
Dividends receivable — unaffiliated
issuers |
— | — | — | ||
Dividends receivable — affiliated
issuers |
20 | 66 | 223,747 | ||
Securities lending income receivable — unaffiliated
issuers |
1,029 | 9,495 | 4,069 | ||
Securities lending income receivable — affiliated issuers
|
6,442 | 13,790 | 44,530 | ||
TOTAL ASSETS
|
64,379,360 | 147,400,718 | 299,688,171 | ||
LIABILITIES | |||||
Payable upon return of securities
loaned |
10,616,056 | 21,343,138 | 61,808,691 | ||
Payable for fund shares
repurchased |
8,482 | — | — | ||
Advisory fee
payable |
4,909 | 18,449 | 29,647 | ||
Trustees’ fees and expenses
payable |
57 | 59 | 131 | ||
TOTAL LIABILITIES
|
10,629,504 | 21,361,646 | 61,838,469 | ||
NET ASSETS
|
$ 53,749,856 | $126,039,072 | $237,849,702 | ||
NET ASSETS CONSIST OF: | |||||
Paid-in
Capital |
$106,102,362 | $144,616,396 | $236,752,991 | ||
Total distributable earnings
(loss) |
(52,352,506) | (18,577,324) | 1,096,711 | ||
NET ASSETS
|
$ 53,749,856 | $126,039,072 | $237,849,702 | ||
NET ASSET VALUE PER SHARE | |||||
Net asset value per
share |
$ 21.25 | $ 30.37 | $ 36.88 | ||
Shares outstanding (unlimited amount authorized, no par
value) |
2,530,000 | 4,150,000 | 6,450,000 | ||
COST OF INVESTMENTS: | |||||
Investments in unaffiliated
issuers |
$ 18,376,399 | $ 11,446,779 | $ 8,107,070 | ||
Investments in affiliated
issuers |
57,395,878 | 145,019,899 | 281,642,655 | ||
Total cost of
investments |
$ 75,772,277 | $156,466,678 | $289,749,725 | ||
* Includes investments in securities on loan, at
value |
$ 14,056,558 | $ 26,684,773 | $ 71,525,522 |
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 | |||
$286,555,068 | $23,727,147 | $37,549,210 | $20,637,907 | |||
11,722,245 | 124,759 | 365,868 | 187,314 | |||
298,277,313 | 23,851,906 | 37,915,078 | 20,825,221 | |||
274 | — | — | — | |||
— | — | — | — | |||
— | 20,652 | 26,038 | 37,994 | |||
678,812 | 24 | 59 | 37 | |||
— | — | — | — | |||
— | — | — | — | |||
298,956,399 | 23,872,582 | 37,941,175 | 20,863,252 | |||
— | — | — | — | |||
— | — | — | — | |||
48,875 | 11,730 | 18,304 | 10,536 | |||
122 | 27 | 28 | 23 | |||
48,997 | 11,757 | 18,332 | 10,559 | |||
$298,907,402 | $23,860,825 | $37,922,843 | $20,852,693 | |||
$299,947,769 | $23,905,691 | $33,355,641 | $23,865,065 | |||
(1,040,367) | (44,866) | 4,567,202 | (3,012,372) | |||
$298,907,402 | $23,860,825 | $37,922,843 | $20,852,693 | |||
$ 40.26 | $ 82.28 | $ 97.24 | $ 59.58 | |||
7,425,000 | 290,000 | 390,000 | 350,000 | |||
$287,150,749 | $22,813,758 | $31,926,507 | $21,995,302 | |||
11,722,245 | 124,759 | 365,868 | 187,314 | |||
$298,872,994 | $22,938,517 | $32,292,375 | $22,182,616 | |||
$ — | $ — | $ — | $ — |
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 |
303,556 | 745,036 | 132,751 | ||
Dividend income — affiliated
issuers |
2,500,918 | 4,601,205 | 6,796,616 | ||
Unaffiliated securities lending
income |
23,975 | 70,960 | 95,136 | ||
Affiliated securities lending
income |
136,887 | 284,960 | 409,168 | ||
Foreign taxes
withheld |
— | — | — | ||
TOTAL INVESTMENT INCOME
(LOSS) |
2,965,336 | 5,702,161 | 7,433,671 | ||
EXPENSES | |||||
Advisory
fee |
70,916 | 223,466 | 215,937 | ||
Trustees’ fees and expenses
|
1,405 | 1,768 | 3,722 | ||
Miscellaneous
expenses |
403 | 377 | 500 | ||
TOTAL
EXPENSES |
72,724 | 225,611 | 220,159 | ||
NET INVESTMENT INCOME
(LOSS) |
$ 2,892,612 | $ 5,476,550 | $ 7,213,512 | ||
REALIZED AND UNREALIZED GAIN (LOSS) | |||||
Net realized gain (loss) on: | |||||
Investments — unaffiliated
issuers |
(623,166) | (3,925,855) | (1,068,270) | ||
Investments — affiliated
issuers |
(3,218,009) | (2,644,258) | (3,923,084) | ||
In-kind redemptions — unaffiliated
issuers |
(1,588,194) | (565,805) | 228,145 | ||
In-kind redemptions — affiliated
issuers |
(2,824,893) | 29,348 | 1,033,372 | ||
Net realized gain
(loss) |
(8,254,262) | (7,106,570) | (3,729,837) | ||
Net change in unrealized appreciation/depreciation on: | |||||
Investments — unaffiliated
issuers |
(2,212,495) | (1,956,249) | 1,871,412 | ||
Investments — affiliated
issuers |
(6,786,020) | (8,595,023) | (10,352,345) | ||
Net change in unrealized
appreciation/depreciation |
(8,998,515) | (10,551,272) | (8,480,933) | ||
NET REALIZED AND UNREALIZED GAIN
(LOSS) |
(17,252,777) | (17,657,842) | (12,210,770) | ||
NET INCREASE (DECREASE) IN NET ASSETS FROM
OPERATIONS |
$(14,360,165) | $(12,181,292) | $ (4,997,258) |
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 | |||
$ 5,130,242 | $ — | $ — | $ — | |||
— | 774,628 | 561,605 | 843,216 | |||
42,357 | 4,369 | 7,606 | 4,369 | |||
— | — | — | — | |||
— | — | — | — | |||
— | — | (1,752) | — | |||
5,172,599 | 778,997 | 567,459 | 847,585 | |||
465,044 | 209,371 | 220,583 | 180,791 | |||
3,118 | 575 | 473 | 484 | |||
402 | 326 | 330 | 327 | |||
468,564 | 210,272 | 221,386 | 181,602 | |||
$ 4,704,035 | $ 568,725 | $ 346,073 | $ 665,983 | |||
(390,164) | (960,836) | (847,184) | (1,109,136) | |||
— | — | — | — | |||
— | 716,228 | 2,549,618 | 28,711 | |||
— | — | — | — | |||
(390,164) | (244,608) | 1,702,434 | (1,080,425) | |||
(896,263) | (1,072,493) | 3,796,090 | (2,199,897) | |||
— | — | — | — | |||
(896,263) | (1,072,493) | 3,796,090 | (2,199,897) | |||
(1,286,427) | (1,317,101) | 5,498,524 | (3,280,322) | |||
$ 3,417,608 | $ (748,376) | $5,844,597 | $(2,614,339) |
SPDR SSGA Multi-Asset Real Return ETF | SPDR SSGA Income Allocation ETF | ||||||
Year
Ended 6/30/20 |
Year
Ended 6/30/19 |
Year
Ended 6/30/20 |
Year
Ended 6/30/19 | ||||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||||||
Net investment income
(loss) |
$ 2,892,612 | $ 3,631,029 | $ 5,476,550 | $ 4,637,548 | |||
Net realized gain
(loss) |
(8,254,262) | (2,143,100) | (7,106,570) | 4,363,213 | |||
Net change in unrealized
appreciation/depreciation |
(8,998,515) | (6,389,726) | (10,551,272) | (971,140) | |||
Net increase (decrease) in net assets resulting from
operations |
(14,360,165) | (4,901,797) | (12,181,292) | 8,029,621 | |||
Net equalization credits and
charges |
(81,758) | 24,895 | 115,750 | 105,971 | |||
Distributions to
shareholders |
(2,878,161) | (3,617,253) | (5,787,114) | (4,936,932) | |||
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||||||
Proceeds from shares
sold |
7,725,150 | 33,283,792 | 115,985,875 | 23,973,127 | |||
Cost of shares
redeemed |
(49,528,810) | (55,714,874) | (76,591,192) | (14,842,690) | |||
Net income
equalization |
81,758 | (24,895) | (115,750) | (105,971) | |||
Other
Capital |
— | — | — | 686 | |||
Net increase (decrease) in net assets from beneficial interest transactions
|
(41,721,902) | (22,455,977) | 39,278,933 | 9,025,152 | |||
Net increase (decrease) in net assets during the
period |
(59,041,986) | (30,950,132) | 21,426,277 | 12,223,812 | |||
Net assets at beginning of
period |
112,791,842 | 143,741,974 | 104,612,795 | 92,388,983 | |||
NET ASSETS AT END OF
PERIOD |
$ 53,749,856 | $112,791,842 | $126,039,072 | $104,612,795 | |||
SHARES OF BENEFICIAL INTEREST: | |||||||
Shares
sold |
340,000 | 1,350,000 | 3,590,000 | 750,000 | |||
Shares
redeemed |
(2,290,000) | (2,270,000) | (2,580,000) | (460,000) | |||
Net increase (decrease) from share
transactions |
(1,950,000) | (920,000) | 1,010,000 | 290,000 |
SPDR SSGA Global Allocation ETF | SPDR SSGA Ultra Short Term Bond ETF | SPDR MFS Systematic Core Equity ETF | ||||||||
Year
Ended 6/30/20 |
Year
Ended 6/30/19 |
Year
Ended 6/30/20 |
Year
Ended 6/30/19 |
Year
Ended 6/30/20 |
Year
Ended 6/30/19 | |||||
$ 7,213,512 | $ 7,053,566 | $ 4,704,035 | $ 3,320,929 | $ 568,725 | $ 557,940 | |||||
(3,729,837) | 7,468,496 | (390,164) | 190,469 | (244,608) | 1,681,070 | |||||
(8,480,933) | (3,125,237) | (896,263) | 292,631 | (1,072,493) | 1,551,309 | |||||
(4,997,258) | 11,396,825 | 3,417,608 | 3,804,029 | (748,376) | 3,790,319 | |||||
19,354 | 42,319 | 135,058 | 87,297 | (22,967) | 1,861 | |||||
(7,327,692) | (7,044,570) | (4,951,989) | (3,073,623) | (573,138) | (561,229) | |||||
22,973,653 | 66,920,704 | 167,508,423 | 152,893,417 | 8,428,314 | 18,295,264 | |||||
(28,488,708) | (64,514,651) | (34,951,266) | (36,316,451) | (22,349,855) | (12,523,740) | |||||
(19,354) | (42,319) | (135,058) | (87,297) | 22,967 | (1,861) | |||||
2,474 | — | 165,286 | 68,420 | 580 | 314 | |||||
(5,531,935) | 2,363,734 | 132,587,385 | 116,558,089 | (13,897,994) | 5,769,977 | |||||
(17,837,531) | 6,758,308 | 131,188,062 | 117,375,792 | (15,242,475) | 9,000,928 | |||||
255,687,233 | 248,928,925 | 167,719,340 | 50,343,548 | 39,103,300 | 30,102,372 | |||||
$237,849,702 | $255,687,233 | $298,907,402 | $167,719,340 | $ 23,860,825 | $ 39,103,300 | |||||
600,000 | 1,850,000 | 4,150,000 | 3,800,000 | 100,000 | 240,000 | |||||
(820,000) | (1,780,000) | (875,000) | (900,000) | (290,000) | (160,000) | |||||
(220,000) | 70,000 | 3,275,000 | 2,900,000 | (190,000) | 80,000 |
SPDR MFS Systematic Growth Equity ETF | SPDR MFS Systematic Value Equity ETF | ||||||
Year
Ended 6/30/20 |
Year
Ended 6/30/19 |
Year
Ended 6/30/20 |
Year
Ended 6/30/19 | ||||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||||||
Net investment income
(loss) |
$ 346,073 | $ 410,349 | $ 665,983 | $ 756,480 | |||
Net realized gain
(loss) |
1,702,434 | 1,275,022 | (1,080,425) | 128,129 | |||
Net change in unrealized
appreciation/depreciation |
3,796,090 | 167,078 | (2,199,897) | (36,634) | |||
Net increase (decrease) in net assets resulting from
operations |
5,844,597 | 1,852,449 | (2,614,339) | 847,975 | |||
Net equalization credits and
charges |
(16,068) | (10,318) | (34,490) | 1,385 | |||
Distributions to
shareholders |
(335,571) | (879,302) | (665,847) | (1,072,684) | |||
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||||||
Proceeds from shares
sold |
13,637,046 | 4,121,088 | — | 6,702,411 | |||
Cost of shares
redeemed |
(15,584,895) | (15,157,132) | (9,627,538) | (5,670,724) | |||
Net income
equalization |
16,068 | 10,318 | 34,490 | (1,385) | |||
Other
Capital |
363 | 332 | 488 | 272 | |||
Net increase (decrease) in net assets from beneficial interest transactions
|
(1,931,418) | (11,025,394) | (9,592,560) | 1,030,574 | |||
Net increase (decrease) in net assets during the
period |
3,561,540 | (10,062,565) | (12,907,236) | 807,250 | |||
Net assets at beginning of
period |
34,361,303 | 44,423,868 | 33,759,929 | 32,952,679 | |||
NET ASSETS AT END OF
PERIOD |
$ 37,922,843 | $ 34,361,303 | $ 20,852,693 | $33,759,929 | |||
SHARES OF BENEFICIAL INTEREST: | |||||||
Shares
sold |
160,000 | 50,000 | — | 100,000 | |||
Shares
redeemed |
(180,000) | (190,000) | (160,000) | (90,000) | |||
Net increase (decrease) from share
transactions |
(20,000) | (140,000) | (160,000) | 10,000 |
SPDR SSGA Multi-Asset Real Return ETF | |||||||||
Year
Ended 6/30/20 |
Year
Ended 6/30/19 |
Year
Ended 6/30/18(a) |
Year
Ended 6/30/17(a) |
Year
Ended 6/30/16(a) | |||||
Net asset value, beginning of
period |
$ 25.18 | $ 26.62 | $ 23.97 | $ 24.38 | $ 25.85 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss)
(b) |
0.78 | 0.69 | 0.53 | 0.56 | 0.30 | ||||
Net realized and unrealized gain (loss)
(c) |
(3.89) | (1.43) | 2.64 | (0.44) | (1.43) | ||||
Total from investment
operations |
(3.11) | (0.74) | 3.17 | 0.12 | (1.13) | ||||
Net equalization credits and charges
(b) |
(0.02) | 0.00(d) | (0.00)(d) | 0.01 | 0.01 | ||||
Distributions to shareholders from: | |||||||||
Net investment
income |
(0.80) | (0.70) | (0.52) | (0.54) | (0.35) | ||||
Net asset value, end of
period |
$ 21.25 | $ 25.18 | $ 26.62 | $ 23.97 | $ 24.38 | ||||
Total return
(e) |
(12.71)% | (2.71)% | 13.26% | 0.56% | (4.22)% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in
000s) |
$53,750 | $112,792 | $143,742 | $115,075 | $80,441 | ||||
Ratios to average net assets: | |||||||||
Total expenses
(f) |
0.08% | 0.12% | 0.22% | 0.22% | 0.28% | ||||
Net investment income
(loss) |
3.30% | 2.76% | 2.04% | 2.28% | 1.29% | ||||
Portfolio turnover
rate |
30% | 28% | 44% | 46%(g) | 25%(g) |
(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. |
(b) | Per share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the year. |
(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) | Does not include expenses of the Underlying Funds in which the Fund invests. |
(g) | Portfolio turnover is from the Fund's Portfolio prior to discontinuance of master-feeder structure. |
SPDR SSGA Income Allocation ETF | |||||||||
Year
Ended 6/30/20 |
Year
Ended 6/30/19 |
Year
Ended 6/30/18(a) |
Year
Ended 6/30/17(a) |
Year
Ended 6/30/16(a) | |||||
Net asset value, beginning of
period |
$ 33.32 | $ 32.42 | $ 32.33 | $ 31.23 | $ 31.16 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss)
(b) |
1.43 | 1.53 | 1.02 | 1.10 | 0.93 | ||||
Net realized and unrealized gain (loss)
(c) |
(2.95) | 0.91 | 0.09 | 0.98 | 0.22 | ||||
Total from investment
operations |
(1.52) | 2.44 | 1.11 | 2.08 | 1.15 | ||||
Net equalization credits and charges
(b) |
0.03 | 0.03 | (0.01) | (0.01) | (0.02) | ||||
Other capital
(b) |
— | 0.00(d) | — | — | — | ||||
Distributions to shareholders from: | |||||||||
Net investment
income |
(1.46) | (1.57) | (1.01) | (0.97) | (1.06) | ||||
Net asset value, end of
period |
$ 30.37 | $ 33.32 | $ 32.42 | $ 32.33 | $ 31.23 | ||||
Total return
(e) |
(4.56)% | 7.93% | 3.34% | 6.78% | 3.77% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in
000s) |
$126,039 | $104,613 | $92,389 | $95,376 | $104,605 | ||||
Ratios to average net assets: | |||||||||
Total expenses
(f) |
0.18% | 0.18% | 0.39% | 0.37% | 0.37% | ||||
Net investment income
(loss) |
4.41% | 4.71% | 3.07% | 3.49% | 3.07% | ||||
Portfolio turnover
rate |
38% | 71% | 29% | 47%(g) | 54%(g) |
(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. |
(b) | Per share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the year. |
(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) | Does not include expenses of the Underlying Funds in which the Fund invests. |
(g) | Portfolio turnover is from the Fund's Portfolio prior to discontinuance of master-feeder structure. |
SPDR SSGA Global Allocation ETF | |||||||||
Year
Ended 6/30/20 |
Year
Ended 6/30/19 |
Year
Ended 6/30/18(a) |
Year
Ended 6/30/17(a) |
Year
Ended 6/30/16(a) | |||||
Net asset value, beginning of
period |
$ 38.33 | $ 37.72 | $ 35.52 | $ 33.35 | $ 34.61 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss)
(b) |
1.07 | 1.03 | 0.81 | 0.99 | 0.81 | ||||
Net realized and unrealized gain (loss)
(c) |
(1.44) | 0.57 | 2.18 | 2.03 | (1.09) | ||||
Total from investment
operations |
(0.37) | 1.60 | 2.99 | 3.02 | (0.28) | ||||
Net equalization credits and charges
(b) |
0.00(d) | 0.01 | 0.01 | 0.00(d) | 0.02 | ||||
Other
capital |
0.00(d) | — | — | — | — | ||||
Distributions to shareholders from: | |||||||||
Net investment
income |
(1.08) | (1.00) | (0.80) | (0.85) | (0.94) | ||||
Net realized
gains |
— | — | — | — | (0.06) | ||||
Total
distributions |
(1.08) | (1.00) | (0.80) | (0.85) | (1.00) | ||||
Net asset value, end of
period |
$ 36.88 | $ 38.33 | $ 37.72 | $ 35.52 | $ 33.35 | ||||
Total return
(e) |
(1.00)% | 4.37% | 8.46% | 9.14% | (0.63)% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in
000s) |
$237,850 | $255,687 | $248,929 | $207,780 | $185,112 | ||||
Ratios to average net assets: | |||||||||
Total expenses
(f) |
0.09% | 0.15% | 0.20% | 0.20% | 0.20% | ||||
Net
expenses |
0.09% | 0.15% | 0.09% | 0.01% | 0.06% | ||||
Net investment income
(loss) |
2.84% | 2.76% | 2.14% | 2.91% | 2.45% | ||||
Portfolio turnover
rate |
94% | 71% | 43% | 90%(g) | 86%(g) |
(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. |
(b) | Per share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the year. |
(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) | Does not include expenses of the Underlying Funds in which the Fund invests. |
(g) | Portfolio turnover is from the Fund's Portfolio prior to discontinuance of master-feeder structure. |
SPDR SSGA Ultra Short Term Bond ETF | |||||||||
Year
Ended 6/30/20 |
Year
Ended 6/30/19 |
Year
Ended 6/30/18(a) |
Year
Ended 6/30/17(a) |
Year
Ended 6/30/16(a) | |||||
Net asset value, beginning of
period |
$ 40.41 | $ 40.27 | $ 40.26 | $ 40.06 | $ 40.05 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss)
(b) |
0.81 | 1.02 | 0.68 | 0.44 | 0.27 | ||||
Net realized and unrealized gain (loss)
(c) |
(0.11) | 0.04 | (0.14) | 0.13 | (0.21) | ||||
Total from investment
operations |
0.70 | 1.06 | 0.54 | 0.57 | 0.06 | ||||
Net equalization credits and charges
(b) |
0.02 | 0.03 | 0.04 | (0.00)(d) | 0.07 | ||||
Other capital
(b) |
0.03 | 0.02 | 0.06 | 0.05 | 0.12 | ||||
Distributions to shareholders from: | |||||||||
Net investment
income |
(0.90) | (0.97) | (0.63) | (0.42) | (0.18) | ||||
Net realized
gains |
— | — | — | — | (0.06) | ||||
Total
distributions |
(0.90) | (0.97) | (0.63) | (0.42) | (0.24) | ||||
Net asset value, end of
period |
$ 40.26 | $ 40.41 | $ 40.27 | $ 40.26 | $ 40.06 | ||||
Total return
(e) |
1.86% | 2.79% | 1.60% | 1.53% | 0.65% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in
000s) |
$298,907 | $167,719 | $50,344 | $18,117 | $24,039 | ||||
Ratios to average net assets: | |||||||||
Total
expenses |
0.20% | 0.20% | 0.20% | 0.20% | 0.20% | ||||
Net investment income
(loss) |
2.02% | 2.54% | 1.70% | 1.09% | 0.69% | ||||
Portfolio turnover
rate |
71% | 100% | 76% | 83%(f) | 407%(f) |
(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. |
(b) | Per share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the year. |
(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) | Portfolio turnover is from the Fund's Portfolio prior to discontinuance of master-feeder structure. |
SPDR MFS Systematic Core Equity ETF | |||||||||
Year
Ended 6/30/20 |
Year
Ended 6/30/19 |
Year
Ended 6/30/18(a) |
Year
Ended 6/30/17(a) |
Year
Ended 6/30/16(a) | |||||
Net asset value, beginning of
period |
$ 81.47 | $ 75.26 | $ 68.62 | $58.09 | $58.53 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss)
(b) |
1.36 | 1.34 | 1.13 | 0.97 | 1.020 | ||||
Net realized and unrealized gain (loss)
(c) |
0.90 | 6.20 | 7.30 | 10.53 | 0.00(d) | ||||
Total from investment
operations |
2.26 | 7.54 | 8.43 | 11.50 | 1.02 | ||||
Net equalization credits and charges
(b) |
(0.05) | 0.00(d) | 0.05 | — | 0.20 | ||||
Other capital
(b) |
0.00(d) | 0.00(d) | (0.00)(d) | — | — | ||||
Distributions to shareholders from: | |||||||||
Net investment
income |
(1.40) | (1.33) | (0.96) | (0.97) | (1.03) | ||||
Net realized
gains |
— | — | (0.88) | — | (0.63) | ||||
Total
distributions |
(1.40) | (1.33) | (1.84) | (0.97) | (1.66) | ||||
Net asset value, end of
period |
$ 82.28 | $ 81.47 | $ 75.26 | $68.62 | $58.09 | ||||
Total return
(e) |
2.78% | 10.11% | 12.36% | 19.92% | 2.21% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in
000s) |
$23,861 | $39,103 | $30,102 | $6,862 | $5,809 | ||||
Ratios to average net assets: | |||||||||
Total
expenses |
0.60% | 0.60% | 0.60% | 0.60% | 0.61% | ||||
Net investment income
(loss) |
1.63% | 1.70% | 1.51% | 1.52% | 1.78% | ||||
Portfolio turnover
rate |
53% | 65% | 67% | 67%(f) | 39%(f) |
(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. |
(b) | Per share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the year. |
(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) | Portfolio turnover is from the Fund's Portfolio prior to discontinuance of master-feeder structure. |
SPDR MFS Systematic Growth Equity ETF | |||||||||
Year
Ended 6/30/20 |
Year
Ended 6/30/19 |
Year
Ended 6/30/18(a) |
Year
Ended 6/30/17(a) |
Year
Ended 6/30/16(a) | |||||
Net asset value, beginning of
period |
$ 83.81 | $ 80.77 | $ 71.05 | $ 60.67 | $ 60.24 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss)
(b) |
0.82 | 0.87 | 0.61 | 0.70 | 0.63 | ||||
Net realized and unrealized gain (loss)
(c) |
13.47 | 4.13 | 9.80 | 10.27 | 1.62 | ||||
Total from investment
operations |
14.29 | 5.00 | 10.41 | 10.97 | 2.25 | ||||
Net equalization credits and charges
(b) |
(0.04) | (0.02) | 0.04 | 0.01 | 0.01 | ||||
Other capital
(b) |
0.00(d) | 0.00(d) | — | — | — | ||||
Distributions to shareholders from: | |||||||||
Net investment
income |
(0.82) | (0.95) | (0.60) | (0.60) | (0.61) | ||||
Net realized
gains |
— | (0.99) | (0.13) | — | (1.22) | ||||
Total
distributions |
(0.82) | (1.94) | (0.73) | (0.60) | (1.83) | ||||
Net asset value, end of
period |
$ 97.24 | $ 83.81 | $ 80.77 | $ 71.05 | $ 60.67 | ||||
Total return
(e) |
17.12% | 6.47% | 14.71% | 18.18% | 3.96% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in
000s) |
$37,923 | $34,361 | $44,424 | $39,079 | $12,134 | ||||
Ratios to average net assets: | |||||||||
Total
expenses |
0.60% | 0.60% | 0.61% | 0.60% | 0.61% | ||||
Net investment income
(loss) |
0.94% | 1.08% | 0.77% | 1.05% | 1.06% | ||||
Portfolio turnover
rate |
73% | 77% | 76% | 55%(f) | 56%(f) |
(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. |
(b) | Per share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the year. |
(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) | Portfolio turnover is from the Fund's Portfolio prior to discontinuance of master-feeder structure. |
SPDR MFS Systematic Value Equity ETF | |||||||||
Year
Ended 6/30/20 |
Year
Ended 6/30/19 |
Year
Ended 6/30/18(a) |
Year
Ended 6/30/17(a) |
Year
Ended 6/30/16(a) | |||||
Net asset value, beginning of
period |
$ 66.20 | $ 65.91 | $ 59.81 | $51.99 | $57.90 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss)
(b) |
1.44 | 1.44 | 1.21 | 1.03 | 0.99 | ||||
Net realized and unrealized gain (loss)
(c) |
(6.49) | 0.86 | 6.94 | 8.99 | (2.66) | ||||
Total from investment
operations |
(5.05) | 2.30 | 8.15 | 10.02 | (1.67) | ||||
Net equalization credits and charges
(b) |
(0.07) | 0.00(d) | 0.12 | 0.04 | — | ||||
Other capital
(b) |
0.00(d) | 0.00(d) | — | — | — | ||||
Distributions to shareholders from: | |||||||||
Net investment
income |
(1.50) | (1.47) | (1.06) | (1.01) | (1.01) | ||||
Net realized
gains |
— | (0.54) | (1.11) | (1.23) | (3.23) | ||||
Total
distributions |
(1.50) | (2.01) | (2.17) | (2.24) | (4.24) | ||||
Net asset value, end of
period |
$ 59.58 | $ 66.20 | $ 65.91 | $59.81 | $51.99 | ||||
Total return
(e) |
(7.77)% | 3.69% | 13.82% | 19.61% | (2.47)% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in
000s) |
$20,853 | $33,760 | $32,953 | $5,981 | $2,599 | ||||
Ratios to average net assets: | |||||||||
Total
expenses |
0.60% | 0.60% | 0.60% | 0.60% | 0.62% | ||||
Net investment income
(loss) |
2.21% | 2.18% | 1.83% | 1.80% | 1.85% | ||||
Portfolio turnover
rate |
53% | 53% | 54% | 64%(f) | 64%(f) |
(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. |
(b) | Per share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the year. |
(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) | Portfolio turnover is from the Fund's Portfolio prior to discontinuance of master-feeder structure. |
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 |
Annual Rate* | |
SPDR SSGA Multi-Asset Real Return
ETF |
0.50% |
SPDR SSGA Income Allocation
ETF |
0.50 |
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 |
Annual Rate* | |
SPDR MFS Systematic Value Equity
ETF |
0.60% |
* | The Advisory fee is reduced for SPDR SSGA Multi-Asset Real Return ETF, SPDR SSGA Income Allocation ETF and SPDR SSGA Global Allocation ETF by the acquired fund fees and expenses. For the year ended June 30, 2020, the net annualized advisory fee was 0.08%, 0.18%, and 0.09% for the SPDR SSGA Multi-Asset Real Return ETF, SPDR SSGA Income Allocation ETF, SPDR SSGA Global Allocation ETF, respectively. |
U.S. Government Obligations | |||||||
Purchases | Sales | Purchases | Sales | ||||
SPDR SSGA Multi-Asset Real Return
ETF |
$ — | $ — | $ 25,401,624 | $ 26,182,593 | |||
SPDR SSGA Income Allocation
ETF |
— | — | 48,322,712 | 47,191,506 | |||
SPDR SSGA Global Allocation
ETF |
— | — | 230,755,357 | 231,819,424 | |||
SPDR SSGA Ultra Short Term Bond
ETF |
10,608,936 | 11,975,376 | 248,728,075 | 132,364,716 | |||
SPDR MFS Systematic Core Equity
ETF |
— | — | 18,011,080 | 17,963,210 | |||
SPDR MFS Systematic Growth Equity
ETF |
— | — | 26,378,273 | 26,273,901 | |||
SPDR MFS Systematic Value Equity
ETF |
— | — | 15,678,797 | 15,604,247 |
In-kind
Contributions |
In-kind
Redemptions |
In-kind
Net Realized Gains/(Losses) | |||
SPDR SSGA Multi-Asset Real Return
ETF |
$ 7,571,587 | $48,535,196 | $(4,413,087) | ||
SPDR SSGA Income Allocation
ETF |
109,711,265 | 71,301,409 | (536,457) | ||
SPDR SSGA Global Allocation
ETF |
21,588,470 | 26,767,131 | 1,261,517 | ||
SPDR MFS Systematic Core Equity
ETF |
8,354,167 | 22,162,888 | 716,228 | ||
SPDR MFS Systematic Growth Equity
ETF |
13,535,197 | 15,463,108 | 2,549,618 | ||
SPDR MFS Systematic Value Equity
ETF |
— | 9,555,505 | 28,711 |
Ordinary
Income |
Long-Term
Capital Gains |
Total | |||
SPDR SSGA Multi-Asset Real Return
ETF |
$2,878,161 | $— | $2,878,161 | ||
SPDR SSGA Income Allocation
ETF |
5,787,114 | — | 5,787,114 | ||
SPDR SSGA Global Allocation
ETF |
7,327,692 | — | 7,327,692 | ||
SPDR SSGA Ultra Short Term Bond
ETF |
4,951,989 | — | 4,951,989 | ||
SPDR MFS Systematic Core Equity
ETF |
573,138 | — | 573,138 | ||
SPDR MFS Systematic Growth Equity
ETF |
335,571 | — | 335,571 | ||
SPDR MFS Systematic Value Equity
ETF |
665,847 | — | 665,847 |
Ordinary
Income |
Long-Term
Capital Gains |
Total | |||
SPDR SSGA Multi-Asset Real Return
ETF |
$ 3,617,253 | $ — | $ 3,617,253 | ||
SPDR SSGA Income Allocation ETF
|
4,936,932 | — | 4,936,932 | ||
SPDR SSGA Global Allocation ETF
|
7,044,570 | — | 7,044,570 | ||
SPDR SSGA Ultra Short Term Bond
ETF |
3,073,623 | — | 3,073,623 | ||
SPDR MFS Systematic Core Equity
ETF |
555,651 | 5,578 | 561,229 | ||
SPDR MFS Systematic Growth Equity
ETF |
879,302 | — | 879,302 | ||
SPDR MFS Systematic Value Equity
ETF |
897,607 | 175,077 | 1,072,684 |
Undistributed
Ordinary Income |
Capital
Loss Carryforwards |
Undistributed
Long-Term Capital Gains |
Net
Unrealized Gains (Losses) |
Qualified
Late-Year Losses |
Total | ||||||
SPDR SSGA Multi-Asset Real Return
ETF |
$ — | $(40,663,016) | $— | $(11,689,490) | $— | $(52,352,506) | |||||
SPDR SSGA Income Allocation
ETF |
— | (9,425,137) | — | (9,152,187) | — | (18,577,324) | |||||
SPDR SSGA Global Allocation
ETF |
200 | (7,784,550) | — | 8,881,061 | — | 1,096,711 | |||||
SPDR SSGA Ultra Short Term Bond
ETF |
128,087 | (537,191) | — | (631,263) | — | (1,040,367) | |||||
SPDR MFS Systematic Core Equity
ETF |
— | (958,255) | — | 913,389 | — | (44,866) | |||||
SPDR MFS Systematic Growth Equity
ETF |
10,502 | (1,066,003) | — | 5,622,703 | — | 4,567,202 | |||||
SPDR MFS Systematic Value Equity
ETF |
136 | (1,655,110) | — | (1,357,398) | — | (3,012,372) |
Non-Expiring
Short Term |
Non-Expiring
Long Term | ||
SPDR SSGA Multi-Asset Real Return
ETF |
$11,141,325 | $29,521,691 | |
SPDR SSGA Income Allocation
ETF |
6,603,434 | 2,821,703 | |
SPDR SSGA Global Allocation
ETF |
7,784,550 | — |
Non-Expiring
Short Term |
Non-Expiring
Long Term | ||
SPDR SSGA Ultra Short Term Bond
ETF |
$ 245,190 | $ 292,001 | |
SPDR MFS Systematic Core Equity
ETF |
597,086 | 361,169 | |
SPDR MFS Systematic Growth Equity
ETF |
1,066,003 | — | |
SPDR MFS Systematic Value Equity
ETF |
1,422,682 | 232,428 |
Tax
Cost |
Gross
Unrealized Appreciation |
Gross
Unrealized Depreciation |
Net
Unrealized Appreciation (Depreciation) | ||||
SPDR SSGA Multi-Asset Real Return
ETF |
$ 76,061,359 | $ 649,862 | $12,339,352 | $(11,689,490) | |||
SPDR SSGA Income Allocation
ETF |
156,521,919 | 3,512,277 | 12,664,464 | (9,152,187) | |||
SPDR SSGA Global Allocation
ETF |
290,534,764 | 15,650,494 | 6,769,433 | 8,881,061 | |||
SPDR SSGA Ultra Short Term Bond
ETF |
298,908,576 | 780,977 | 1,412,240 | (631,263) | |||
SPDR MFS Systematic Core Equity
ETF |
22,938,517 | 3,048,708 | 2,135,319 | 913,389 | |||
SPDR MFS Systematic Growth Equity
ETF |
32,292,375 | 7,131,425 | 1,508,722 | 5,622,703 | |||
SPDR MFS Systematic Value Equity
ETF |
22,182,619 | 1,367,376 | 2,724,774 | (1,357,398) |
Fund | Market
Value of Securities on Loan |
Cash
Collateral Received |
Non-Cash
Collateral Received |
Total
Collateral Received | ||||
SPDR SSGA Multi-Asset Real Return
ETF |
$ 14,056,558 | $ 10,616,056 | $ 3,715,541 | $ 14,331,597 | ||||
SPDR SSGA Income Allocation ETF
|
26,684,773 | 21,343,138 | 5,853,851 | 27,196,989 | ||||
SPDR SSGA Global Allocation ETF
|
71,525,522 | 61,808,691 | 11,142,919 | 72,951,610 |
Remaining
Contractual Maturity of the Agreements As of June 30, 2020 | ||||||||||||||
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 | $10,616,056 | $— | $— | $— | $10,616,056 | $10,616,056 | |||||||
SPDR SSGA Income Allocation
ETF |
Mutual Funds and Exchange Traded Products | 21,343,138 | — | — | — | 21,343,138 | 21,343,138 | |||||||
SPDR SSGA Global Allocation
ETF |
Mutual Funds and Exchange Traded Products | 61,808,691 | — | — | — | 61,808,691 | 61,808,691 |
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 |
0.08% | $ 844.40 | $0.37 | $1,024.50 | $0.40 | ||||
SPDR SSGA Income Allocation
ETF |
0.18 | 905.70 | 0.85 | 1,024.00 | 0.91 | ||||
SPDR SSGA Global Allocation
ETF |
0.08 | 930.50 | 0.38 | 1,024.50 | 0.40 | ||||
SPDR SSGA Ultra Short Term Bond
ETF |
0.20 | 1,005.30 | 1.00 | 1,023.90 | 1.01 | ||||
SPDR MFS Systematic Core Equity
ETF |
0.60 | 923.80 | 2.87 | 1,021.90 | 3.02 | ||||
SPDR MFS Systematic Growth Equity
ETF |
0.60 | 1,084.30 | 3.11 | 1,021.90 | 3.02 | ||||
SPDR MFS Systematic Value Equity
ETF |
0.60 | 838.20 | 2.74 | 1,021.90 | 3.02 |
(a) | Expenses are equal to the Fund's annualized net expense ratio multiplied by the average account value of the period, multiplied by 182, then divided by 366. |
Name,
Address and Year of Birth |
Position(s)
with Funds |
Term
of Office and Length of Time Served |
Principal
Occupation(s) During Past 5 Years |
Number
of Portfolios in Fund Complex Overseen by Trustee† |
Other
Directorships Held by Trustee During the Past 5 Years | |||||
Trustees | ||||||||||
Independent Trustees | ||||||||||
FRANK
NESVET c/o SSGA Active Trust One Iron Street Boston, MA 02210 1943 |
Independent
Trustee, Chairman, Trustee Committee Chair |
Term:
Unlimited Served: since March 2011 |
Retired. | 123 | None. | |||||
BONNY
EUGENIA BOATMAN c/o SSGA Active Trust One Iron Street Boston, MA 02210 1950 |
Independent
Trustee |
Term:
Unlimited Served: since March 2011 |
Retired. | 123 | None. | |||||
DWIGHT
D. CHURCHILL c/o SSGA Active Trust One Iron Street Boston, MA 02210 1953 |
Independent
Trustee |
Term:
Unlimited Served: since March 2011 |
Self-employed
consultant since 2010; CEO and President, CFA Institute (June 2014-January 2015). |
123 | Affiliated
Managers Group, Inc. (Chairman, Director and Audit Committee Chair). | |||||
CLARE
S. RICHER c/o SSGA Active Trust One Iron Street Boston, MA 02210 1958 |
Independent
Trustee |
Term:
Unlimited Served: since July 2018 |
Retired.
Chief Financial Officer, Putnam Investments LLC (December 2008- May 2017). |
123 | Principal
Financial Group (Director); Bain Capital Specialty Finance (Director); Putnam Acquisition Financing Inc. (Director); Putnam Acquisition Financing LLC (Director); Putnam GP Inc. (Director); Putnam Investor Services, Inc. (Director); University of Notre Dame (Trustee). | |||||
SANDRA
G. SPONEM c/o SSGA Active Trust One Iron Street Boston, MA 02210 1958 |
Independent
Trustee |
Term:
Unlimited Served: since July 2018 |
Retired.
Chief Financial Officer, M.A. Mortenson Companies, Inc. (February 2007- April 2017). |
123 | Rydex
Series Funds, Rydex Dynamic Funds, Rydex Variable Trust, Guggenheim Funds Trust, Guggenheim Variable Funds Trust, Guggenheim Strategy Funds Trust, Transparent Value Trust, Fiduciary/ Claymore Energy Infrastructure Fund, Guggenheim Taxable Municipal Managed Duration Trust, Guggenheim Strategic Opportunities Fund, Guggenheim Enhanced, Equity Income Fund, Guggenheim Credit Allocation Fund, Guggenheim Energy & Income Fund (Trustee and Audit Committee Chair). |
Name,
Address and Year of Birth |
Position(s)
with Funds |
Term
of Office and Length of Time Served |
Principal
Occupation(s) During Past 5 Years |
Number
of Portfolios in Fund Complex Overseen by Trustee† |
Other
Directorships Held by Trustee During the Past 5 Years | |||||
CARL
G. VERBONCOEUR c/o SSGA Active Trust One Iron Street Boston, MA 02210 1952 |
Independent
Trustee, Audit Committee Chair |
Term:
Unlimited Served: since March 2011 |
Self-employed
consultant since 2009. |
123 | The
Motley Fool Funds Trust (Trustee). | |||||
Interested Trustee | ||||||||||
JAMES
E. ROSS* c/o SSGA Active Trust One Iron Street Boston, MA 02210 1965 |
Interested
Trustee |
Term:
Unlimited Served as Trustee: since March 2011 |
Non-Executive
Chairman, Fusion Acquisition Corp. (June 2020 - Present); Retired Chairman and Director, SSGA Funds Management, Inc. (2005 - March 2020); Retired Executive Vice President, State Street Global Advisors (2012 - March 2020); Retired Chief Executive Officer and Director, State Street Global Advisors Funds Distributors, LLC (May 2017 - March 2020); Director, State Street Global Markets, LLC (2013 - April 2017); President, SSGA Funds Management, Inc. (2005 - 2012); Principal, State Street Global Advisors (2000 - 2005). |
134 | SSGA
SPDR ETFs Europe I plc (Director) (November 2016 - March 2020); SSGA SPDR ETFs Europe II plc (Director) (November 2016 - March 2020); State Street Navigator Securities Lending Trust (July 2016 - March 2020); SSGA Funds (January 2014 - March 2020); State Street Institutional Investment Trust (February 2007 - March 2020); State Street Master Funds (February 2007 - March 2020); Elfun Funds (July 2016 - December 2018). | |||||
† For the purpose of determining the number of portfolios overseen by the Trustees, “Fund Complex” comprises registered investment companies for which SSGA Funds Management, Inc. serves as investment adviser. | ||||||||||
* Mr. Ross is an Interested Trustee because of his former position with the Adviser and ownership interest in an affiliate of the Adviser. |
Name,
Address and Year of Birth |
Position(s)
with Funds |
Term
of Office and Length of Time Served |
Principal Occupation(s) During the Past 5 Years | |||
Officers | ||||||
ELLEN
M. NEEDHAM SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1967 |
President | Term:
Unlimited Served: since October 2012 |
Chairman, SSGA Funds Management, Inc. (March 2020 - present); President and Director, SSGA Funds Management, Inc. (2001 - present)*; Senior Managing Director, State Street Global Advisors (1992 - present)*; Manager, State Street Global Advisors Funds Distributors, LLC (May 2017 - present). | |||
BRUCE
S. ROSENBERG SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1961 |
Treasurer | Term:
Unlimited Served: since February 2016 |
Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (July 2015 - present); Director, Credit Suisse (April 2008 - July 2015). |
Name,
Address and Year of Birth |
Position(s)
with Funds |
Term
of Office and Length of Time Served |
Principal Occupation(s) During the Past 5 Years | |||
ANN
M. CARPENTER SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1966 |
Vice
President; Deputy Treasurer |
Term:
Unlimited Served: since August 2012 (with respect to Vice President); since February 2016 (with respect to Deputy Treasurer) |
Chief Operating Officer, SSGA Funds Management, Inc. (2005 - Present)*; Managing Director, State Street Global Advisors (2005 - present).* | |||
MICHAEL
P. RILEY SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1969 |
Vice
President |
Term:
Unlimited Served: since March 2011 |
Managing Director, State Street Global Advisors (2005 - present).* | |||
SEAN
O’MALLEY SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1969 |
Chief
Legal Officer |
Term:
Unlimited Served: since August 2019 |
Senior Vice President and Deputy General Counsel, State Street Global Advisors (November 2013 -present). | |||
ANDREW
DELORME SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1975 |
Secretary | Term:
Unlimited Served: since August 2019 |
Vice President and Senior Counsel, State Street Global Advisors (April 2016 - present); Vice President and Counsel, State Street Global Advisors (August 2014 - March 2016). | |||
KEVIN
MORRIS SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1982 |
Assistant
Secretary |
Term:
Unlimited Served: since August 2019 |
Vice President and Senior Counsel, State Street Global Advisors (April 2019 - present); Vice President and Counsel, State Street Global Advisors (January 2016 -April 2019); Director, Asset Management Compliance, Fidelity Investments (June 2015 - January 2016); Senior Compliance Advisor, Asset Management Compliance, Fidelity Investments (June 2012 - June 2015). | |||
DAVID
URMAN SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1985 |
Assistant
Secretary |
Term:
Unlimited Served: since August 2019 |
Vice President and Senior Counsel, State Street Global Advisors (April 2019 - present); Vice President and Counsel, State Street Global Advisors (August 2015 - April 2019); Associate, Ropes & Gray LLP (November 2012 - August 2015). | |||
CHAD
C. HALLETT SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1969 |
Deputy
Treasurer |
Term:
Unlimited Served: since February 2016 |
Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (November 2014 - present); Vice President, State Street Bank and Trust Company (2001 - November 2014).* | |||
DARLENE
ANDERSON-VASQUEZ SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1968 |
Deputy
Treasurer |
Term:
Unlimited Served: since November 2016 |
Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (May 2016 - present); Senior Vice President, John Hancock Investments (September 2007 - May 2016). | |||
ARTHUR
A. JENSEN SSGA Funds Management, Inc. 1600 Summer Street Stamford, CT 06905 1966 |
Deputy
Treasurer |
Term:
Unlimited Served: Since August 2017 |
Vice President at State Street Global Advisors (July 2016 – present); Mutual Funds Controller of GE Asset Management Incorporated (April 2011 - July 2016). |
Name,
Address and Year of Birth |
Position(s)
with Funds |
Term
of Office and Length of Time Served |
Principal Occupation(s) During the Past 5 Years | |||
SUJATA
UPRETI SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1974 |
Assistant
Treasurer |
Term:
Unlimited Served: since February 2016 |
Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (May 2015 - present). | |||
DANIEL
FOLEY SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1972 |
Assistant
Treasurer |
Term:
Unlimited Served: since February 2016 |
Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (April 2007 - present).* | |||
DANIEL
G. PLOURDE SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1980 |
Assistant
Treasurer |
Term:
Unlimited Served: since May 2017 |
Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (May 2015 - present); Officer, State Street Bank and Trust Company (March 2009 - May 2015). | |||
BRIAN
HARRIS SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1973 |
Chief
Compliance Officer; Anti-Money Laundering Officer; Code of Ethics Compliance Officer |
Term:
Unlimited Served: since November 2013 |
Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (June 2013 - present)*; Senior Vice President and Global Head of Investment Compliance, BofA Global Capital Management (2010 - 2013); Director of Compliance, AARP Financial Inc. (2008 - 2010). | |||
* Served in various capacities and/or with various affiliated entities during noted time period. | ||||||
The Statement of Additional Information (SAI) includes additional information about the Funds' trustees and is available, without charge, upon request and by calling 1-866-787-2257. |
SPDR SSGA Fixed Income Sector Rotation ETF |
SPDR SSGA US Sector Rotation ETF |
|
1 |
Management’s Discussion of Fund Performance, Performance Summaries & Portfolio Statistics (Unaudited) | |
|
2 |
|
5 |
Schedules of Investments | |
|
8 |
|
10 |
|
12 |
|
15 |
|
17 |
|
27 |
|
29 |
Cumulative Total Return | Average Annual Total Return | ||||||||
Net
Asset Value |
Market
Value |
Bloomberg Barclays U.S. Aggregate Bond Index | Net
Asset Value |
Market
Value |
Bloomberg Barclays U.S. Aggregate Bond Index | ||||
ONE YEAR | 6.42% | 6.24% | 8.74% | 6.42% | 6.24% | 8.74% | |||
SINCE INCEPTION(1) | 10.47% | 10.42% | 12.41% | 8.34% | 8.29% | 9.89% | |||
(1) | For the period April 2, 2019 to June 30, 2020. |
Description | % of Net Assets | ||
SPDR Portfolio Mortgage Backed Bond ETF | 33.0% | ||
SPDR Portfolio Intermediate Term Corporate Bond ETF | 28.1 | ||
SPDR Portfolio Intermediate Term Treasury ETF | 17.0 | ||
SPDR Portfolio Long Term Corporate Bond ETF | 10.2 | ||
SPDR Bloomberg Barclays High Yield Bond ETF | 9.4 | ||
TOTAL | 97.7% |
% of Net Assets | |||
Domestic Fixed Income | 97.7% | ||
Short Term Investments | 23.3 | ||
Liabilities in Excess of Other Assets | (21.0) | ||
TOTAL | 100.0% |
Cumulative Total Return | Average Annual Total Return | ||||||||
Net
Asset Value |
Market
Value |
S&P 500 Index | Net
Asset Value |
Market
Value |
S&P 500 Index | ||||
ONE YEAR | 8.52% | 8.81% | 7.51% | 8.52% | 8.81% | 7.51% | |||
SINCE INCEPTION(1) | 11.24% | 11.39% | 10.84% | 8.94% | 9.06% | 8.65% | |||
(1) | For the period April 2, 2019 to June 30, 2020. |
Description | % of Net Assets | ||
The Technology Select Sector SPDR Fund | 38.0% | ||
The Health Care Select Sector SPDR Fund | 25.5 | ||
The Financial Select Sector SPDR Fund | 16.1 | ||
The Communication Services Select Sector SPDR Fund | 12.9 | ||
The Energy Select Sector SPDR Fund | 2.7 | ||
TOTAL | 95.2% |
% of Net Assets | |||
Domestic Equity | 100.0% | ||
Short Term Investments | 6.5 | ||
Liabilities in Excess of Other Assets | (6.5) | ||
TOTAL | 100.0% |
Security Description | Shares | Value | ||||
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS — 97.7% | ||||||
DOMESTIC FIXED INCOME — 97.7% | ||||||
SPDR Bloomberg Barclays High Yield Bond ETF
(a)(b) |
43,696 | $ 4,420,287 | ||||
SPDR Portfolio Intermediate Term Corporate Bond ETF
(a)(b) |
362,090 | 13,227,148 | ||||
SPDR Portfolio Intermediate Term Treasury ETF
(a)(b) |
239,904 | 7,969,611 | ||||
SPDR Portfolio Long Term Corporate Bond ETF
(a)(b) |
151,623 | 4,806,450 | ||||
SPDR Portfolio Mortgage Backed Bond ETF
(a)(b) |
578,818 | 15,506,534 | ||||
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS (Cost
$44,634,429) |
45,930,030 | |||||
SHORT-TERM INVESTMENTS — 23.3% | ||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 0.16%
(c)(d) |
1,091,555 | 1,091,555 | ||||
State Street Navigator Securities Lending Portfolio II
(e)(f) |
9,882,034 | 9,882,034 | ||||
TOTAL SHORT-TERM INVESTMENTS (Cost
$10,973,589) |
$ 10,973,589 | |||||
TOTAL INVESTMENTS—121.0% (Cost
$55,608,018) |
56,903,619 | |||||
LIABILITIES IN EXCESS OF OTHER
ASSETS—(21.0)% |
(9,889,223) | |||||
NET
ASSETS—100.0% |
$ 47,014,396 |
The Fund invests in other funds and financial statements of underlying funds can be found at www.sec.gov. | |
(a) | Affiliated fund managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2020 are shown in the Affiliate Table below. |
(b) | All or a portion of the shares of the security are on loan at June 30, 2020. |
(c) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2020 are shown in the Affiliate Table below. |
(d) | The rate shown is the annualized seven-day yield at June 30, 2020. |
(e) | The Fund invested in an affiliated entity. Amounts related to these transactions during the period ended June 30, 2020 are shown in the Affiliate Table below. |
(f) | Investment of cash collateral for securities loaned. |
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 |
$45,930,030 | $— | $— | $45,930,030 | ||||
Short-Term
Investments |
10,973,589 | — | — | 10,973,589 | ||||
TOTAL
INVESTMENTS |
$56,903,619 | $— | $— | $56,903,619 |
Number
of Shares Held at 6/30/19 |
Value
at 6/30/19 |
Cost
of Purchases |
Proceeds
from Shares Sold |
Realized
Gain (Loss) |
Change
in Unrealized Appreciation/ Depreciation |
Number
of Shares Held at 6/30/20 |
Value
at 6/30/20 |
Dividend
Income | |||||||||
SPDR Bloomberg Barclays 1-3 Month T-Bill
ETF |
3,742 | $ 342,805 | $ 6,774,386 | $ 7,113,976 | $ (2,678) | $ (537) | — | $ — | $ 30,855 | ||||||||
SPDR Bloomberg Barclays High Yield Bond
ETF |
5,218 | 568,449 | 7,741,517 | 3,749,374 | (231,013) | 90,708 | 43,696 | 4,420,287 | 98,119 | ||||||||
SPDR Portfolio Intermediate Term Corporate Bond
ETF |
31,956 | 1,116,223 | 20,381,969 | 8,598,301 | (48,412) | 375,669 | 362,090 | 13,227,148 | 166,807 | ||||||||
SPDR Portfolio Intermediate Term Treasury
ETF |
23,909 | 1,477,576 | 14,530,839 | 8,485,176 | 33,846 | 412,526 | 239,904 | 7,969,611 | 78,922 | ||||||||
SPDR Portfolio Long Term Corporate Bond
ETF |
114,074 | 3,279,628 | 9,227,355 | 7,824,445 | 212,588 | (88,676) | 151,623 | 4,806,450 | 53,073 | ||||||||
SPDR Portfolio Long Term Treasury
ETF |
13,503 | 515,274 | 2,199,711 | 2,649,106 | (55,642) | (10,237) | — | — | 7,119 | ||||||||
SPDR Portfolio Mortgage Backed Bond
ETF |
136,205 | 3,560,399 | 16,044,975 | 4,323,220 | 17,974 | 206,406 | 578,818 | 15,506,534 | 231,353 | ||||||||
State Street Institutional U.S. Government Money Market Fund, Class G
Shares |
19,198 | 19,198 | 1,406,329 | 333,972 | — | — | 1,091,555 | 1,091,555 | 603 | ||||||||
State Street Navigator Securities Lending Portfolio
II |
— | — | 200,534,986 | 190,652,952 | — | — | 9,882,034 | 9,882,034 | 67,826 | ||||||||
State Street Navigator Securities Lending Portfolio
III |
— | — | 18,934,708 | 18,934,708 | — | — | — | — | 9,412 | ||||||||
Total |
$10,879,552 | $297,776,775 | $252,665,230 | $ (73,337) | $985,859 | $56,903,619 | $744,089 |
Security Description | Shares | Value | ||||
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS — 100.0% | ||||||
DOMESTIC EQUITY — 100.0% | ||||||
The Communication Services Select Sector SPDR Fund
(a)(b) |
164,031 | $ 8,864,235 | ||||
The Consumer Staples Select Sector SPDR Fund
(a)(b) |
29,312 | 1,718,856 | ||||
The Energy Select Sector SPDR Fund
(a)(b) |
48,903 | 1,850,978 | ||||
The Financial Select Sector SPDR Fund
(a)(b) |
476,814 | 11,033,476 | ||||
The Health Care Select Sector SPDR Fund
(a)(b) |
174,726 | 17,484,831 | ||||
The Technology Select Sector SPDR Fund
(a) |
249,472 | 26,067,329 | ||||
The Utilities Select Sector SPDR Fund
(a)(b) |
28,492 | 1,607,804 | ||||
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS (Cost
$65,231,650) |
68,627,509 | |||||
SHORT-TERM INVESTMENTS — 6.5% | ||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 0.16%
(c)(d) |
11,345 | 11,345 | ||||
State Street Navigator Securities Lending Portfolio II
(e)(f) |
4,445,869 | 4,445,869 | ||||
TOTAL SHORT-TERM INVESTMENTS (Cost
$4,457,214) |
$ 4,457,214 | |||||
TOTAL INVESTMENTS—106.5% (Cost
$69,688,864) |
73,084,723 | |||||
LIABILITIES IN EXCESS OF OTHER
ASSETS—(6.5)% |
(4,467,435) | |||||
NET
ASSETS—100.0% |
$ 68,617,288 |
The Fund invests in other funds and financial statements of underlying funds can be found at www.sec.gov. | |
(a) | Affiliated fund managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2020 are shown in the Affiliate Table below. |
(b) | All or a portion of the shares of the security are on loan at June 30, 2020. |
(c) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2020 are shown in the Affiliate Table below. |
(d) | The rate shown is the annualized seven-day yield at June 30, 2020. |
(e) | The Fund invested in an affiliated entity. Amounts related to these transactions during the period ended June 30, 2020 are shown in the Affiliate Table below. |
(f) | Investment of cash collateral for securities loaned. |
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 |
$68,627,509 | $— | $— | $68,627,509 | ||||
Short-Term
Investments |
4,457,214 | — | — | 4,457,214 | ||||
TOTAL
INVESTMENTS |
$73,084,723 | $— | $— | $73,084,723 |
Number
of Shares Held at 6/30/19 |
Value
at 6/30/19 |
Cost
of Purchases |
Proceeds
from Shares Sold |
Realized
Gain (Loss) |
Change
in Unrealized Appreciation/ Depreciation |
Number
of Shares Held at 6/30/20 |
Value
at 6/30/20 |
Dividend
Income | |||||||||
State Street Institutional U.S. Government Money Market Fund, Class G
Shares |
43,535 | $ 43,535 | $ 1,093,608 | $ 1,125,798 | $ — | $ — | 11,345 | $ 11,345 | $ 756 | ||||||||
State Street Navigator Securities Lending Portfolio
II |
— | — | 188,393,975 | 183,948,106 | — | — | 4,445,869 | 4,445,869 | 18,947 | ||||||||
State Street Navigator Securities Lending Portfolio
III |
— | — | 13,512,034 | 13,512,034 | — | — | — | — | 223 | ||||||||
The Communication Services Select Sector SPDR Fund
|
— | — | 17,149,970 | 8,752,043 | 350,160 | 116,148 | 164,031 | 8,864,235 | 29,716 | ||||||||
The Consumer Staples Select Sector SPDR
Fund |
26,360 | 1,530,725 | 10,817,089 | 10,520,211 | (148,510) | 39,763 | 29,312 | 1,718,856 | 40,866 | ||||||||
The Energy Select Sector SPDR
Fund |
— | — | 2,087,186 | 240,139 | 25,966 | (22,035) | 48,903 | 1,850,978 | 22,744 | ||||||||
The Financial Select Sector SPDR
Fund |
— | — | 22,540,495 | 8,243,324 | (1,527,223) | (1,736,472) | 476,814 | 11,033,476 | 200,227 | ||||||||
The Health Care Select Sector SPDR
Fund |
43,744 | 4,052,444 | 23,258,862 | 10,439,473 | (32,274) | 645,272 | 174,726 | 17,484,831 | 250,092 | ||||||||
The Industrial Select Sector SPDR
Fund |
43,980 | 3,404,932 | 3,811,359 | 7,266,437 | 145,490 | (95,344) | — | — | 21,459 | ||||||||
The Real Estate Select Sector SPDR
Fund |
37,107 | 1,364,424 | 10,640,510 | 12,337,528 | 319,909 | 12,685 | — | — | 23,052 | ||||||||
The Technology Select Sector SPDR
Fund |
47,988 | 3,744,984 | 28,145,827 | 9,609,861 | (300,307) | 4,086,686 | 249,472 | 26,067,329 | 219,145 | ||||||||
The Utilities Select Sector SPDR
Fund |
— | — | 1,614,137 | — | — | (6,333) | 28,492 | 1,607,804 | 12,585 | ||||||||
Total |
$14,141,044 | $323,065,052 | $265,994,954 | $(1,166,789) | $ 3,040,370 | $73,084,723 | $839,812 |
SPDR SSGA Fixed Income Sector Rotation ETF | SPDR SSGA US Sector Rotation ETF | ||
ASSETS | |||
Investments in affiliated issuers, at
value* |
$56,903,619 | $73,084,723 | |
Dividends receivable — affiliated
issuers |
104 | 8 | |
Securities lending income receivable — unaffiliated
issuers |
1,067 | 1,884 | |
Securities lending income receivable — affiliated
issuers |
2,935 | 1,981 | |
Receivable from
Adviser |
6,916 | 10,895 | |
TOTAL ASSETS
|
56,914,641 | 73,099,491 | |
LIABILITIES | |||
Payable upon return of securities
loaned |
9,882,034 | 4,445,869 | |
Advisory fee
payable |
18,200 | 36,317 | |
Trustees’ fees and expenses
payable |
11 | 17 | |
TOTAL LIABILITIES
|
9,900,245 | 4,482,203 | |
NET ASSETS
|
$47,014,396 | $68,617,288 | |
NET ASSETS CONSIST OF: | |||
Paid-in
Capital |
$45,918,236 | $66,988,425 | |
Total distributable earnings
(loss) |
1,096,160 | 1,628,863 | |
NET ASSETS
|
$47,014,396 | $68,617,288 | |
NET ASSET VALUE PER SHARE | |||
Net asset value per
share |
$ 31.98 | $ 32.83 | |
Shares outstanding (unlimited amount authorized, no par
value) |
1,470,000 | 2,090,000 | |
COST OF INVESTMENTS: | |||
Investments in affiliated
issuers |
$55,608,018 | $69,688,864 | |
* Includes investments in securities on loan, at
value |
$17,641,488 | $15,761,999 |
SPDR SSGA Fixed Income Sector Rotation ETF | SPDR SSGA US Sector Rotation ETF | ||
INVESTMENT INCOME | |||
Dividend income — affiliated
issuers |
$ 666,851 | $ 820,642 | |
Unaffiliated securities lending
income |
5,102 | 8,340 | |
Affiliated securities lending
income |
77,238 | 19,170 | |
TOTAL INVESTMENT INCOME
(LOSS) |
749,191 | 848,152 | |
EXPENSES | |||
Advisory
fee |
80,659 | 181,978 | |
Trustees’ fees and
expenses |
276 | 404 | |
Miscellaneous
expenses |
5 | 1,330 | |
TOTAL
EXPENSES |
80,940 | 183,712 | |
NET INVESTMENT INCOME
(LOSS) |
$ 668,251 | $ 664,440 | |
REALIZED AND UNREALIZED GAIN (LOSS) | |||
Net realized gain (loss) on: | |||
Investments — affiliated
issuers |
(82,173) | (1,766,996) | |
In-kind redemptions — affiliated
issuers |
8,836 | 600,207 | |
Net realized gain
(loss) |
(73,337) | (1,166,789) | |
Net change in unrealized appreciation/depreciation on: | |||
Investment — affiliated
issuers |
985,859 | 3,040,370 | |
NET REALIZED AND UNREALIZED GAIN
(LOSS) |
912,522 | 1,873,581 | |
NET INCREASE (DECREASE) IN NET ASSETS FROM
OPERATIONS |
$1,580,773 | $ 2,538,021 |
SPDR SSGA Fixed Income Sector Rotation ETF | SPDR SSGA US Sector Rotation ETF | ||||||
Year
Ended 6/30/20 |
For
the Period 04/02/19* - 6/30/19 |
Year
Ended 6/30/20 |
For
the Period 04/02/19* - 6/30/19 | ||||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||||||
Net investment income
(loss) |
$ 668,251 | $ 33,091 | $ 664,440 | $ 59,414 | |||
Net realized gain
(loss) |
(73,337) | 2,149 | (1,166,789) | 45,425 | |||
Net change in unrealized
appreciation/depreciation |
985,859 | 309,742 | 3,040,370 | 355,489 | |||
Net increase (decrease) in net assets resulting from
operations |
1,580,773 | 344,982 | 2,538,021 | 460,328 | |||
Net equalization credits and
charges |
(143,677) | 173 | 34,502 | (7,742) | |||
Distributions to
shareholders |
(785,178) | (36,040) | (704,061) | (52,452) | |||
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||||||
Proceeds from shares
sold |
37,162,072 | 10,567,861 | 62,332,050 | 13,728,143 | |||
Cost of shares
redeemed |
(1,820,074) | — | (9,684,741) | — | |||
Net income
equalization |
143,677 | (173) | (34,502) | 7,742 | |||
Net increase (decrease) in net assets from beneficial interest
transactions |
35,485,675 | 10,567,688 | 52,612,807 | 13,735,885 | |||
Net increase (decrease) in net assets during the
period |
36,137,593 | 10,876,803 | 54,481,269 | 14,136,019 | |||
Net assets at beginning of
period |
10,876,803 | — | 14,136,019 | — | |||
NET ASSETS AT END OF
PERIOD |
$47,014,396 | $10,876,803 | $68,617,288 | $14,136,019 | |||
SHARES OF BENEFICIAL INTEREST: | |||||||
Shares
sold |
1,180,000 | 350,000 | 1,940,000 | 460,000 | |||
Shares
redeemed |
(60,000) | — | (310,000) | — | |||
Net increase (decrease) from share
transactions |
1,120,000 | 350,000 | 1,630,000 | 460,000 |
*Inception date. |
SPDR SSGA Fixed Income Sector Rotation ETF | |||
Year
Ended 6/30/20 |
For
the Period 4/3/2019*- 6/30/19 | ||
Net asset value, beginning of
period |
$ 31.08 | $ 30.10 | |
Income (loss) from investment operations: | |||
Net investment income (loss)
(a) |
0.81 | 0.15 | |
Net realized and unrealized gain (loss)
(b) |
1.31 | 0.99 | |
Total from investment
operations |
2.12 | 1.14 | |
Net equalization credits and charges
(a) |
(0.17) | 0.00(c) | |
Distributions to shareholders from: | |||
Net investment
income |
(1.05) | (0.16) | |
Net asset value, end of
period |
$ 31.98 | $ 31.08 | |
Total return
(d) |
6.42% | 3.81% | |
Ratios and Supplemental Data: | |||
Net assets, end of period (in
000s) |
$47,014 | $10,877 | |
Ratios to average net assets: | |||
Total expenses
(e) |
0.31% | 0.31%(f) | |
Net investment income
(loss) |
2.57% | 1.98%(f) | |
Portfolio turnover rate
(g) |
150% | 32%(h) |
* | 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) | 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. |
(c) | Amount is less than $0.005 per share. |
(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) | Does not include expenses of the Underlying Funds in which the Fund invests. |
(f) | Annualized. |
(g) | Portfolio turnover rate excludes securities received or delivered from in-kind processing of creations or redemptions. |
(h) | Not annualized. |
SPDR SSGA US Sector Rotation ETF | |||
Year
Ended 6/30/20 |
For
the Period 4/3/2019*- 6/30/19 | ||
Net asset value, beginning of
period |
$ 30.73 | $ 30.09 | |
Income (loss) from investment operations: | |||
Net investment income (loss)
(a) |
0.57 | 0.23 | |
Net realized and unrealized gain (loss)
(b) |
1.98 | 0.55 | |
Total from investment
operations |
2.55 | 0.78 | |
Net equalization credits and charges
(a) |
0.03 | (0.03) | |
Distributions to shareholders from: | |||
Net investment
income |
(0.48) | (0.11) | |
Net asset value, end of
period |
$ 32.83 | $ 30.73 | |
Total return
(c) |
8.52% | 2.50% | |
Ratios and Supplemental Data: | |||
Net assets, end of period (in
000s) |
$68,617 | $14,136 | |
Ratios to average net assets: | |||
Total expenses
(d) |
0.49% | 0.49%(e) | |
Net investment income
(loss) |
1.79% | 3.12%(e) | |
Portfolio turnover rate
(f) |
154% | 39%(g) |
* | 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) | 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. |
(c) | Total return is calculated assuming a purchase of Units at net asset value per Unit on the first day and a sale at net asset value per Unit on the last day of each period reported. Distributions are assumed, for the purposes of this calculation, to be reinvested at the net asset value per Unit on the respective payment dates of the Trust. Broker commission charges are not included in this calculation. |
(d) | Does not include expenses of the Underlying Funds in which the Fund invests. |
(e) | Annualized. |
(f) | Portfolio turnover rate excludes securities received or delivered from in-kind processing of creations or redemptions. |
(g) | Not annualized. |
SPDR SSGA Fixed Income Sector Rotation ETF |
SPDR SSGA US Sector Rotation ETF |
Annual Rate | |
SPDR SSGA Fixed Income Sector Rotation
ETF |
0.50% |
SPDR SSGA US Sector Rotation
ETF |
0.70 |
Purchases | Sales | ||
SPDR SSGA Fixed Income Sector Rotation
ETF |
$39,740,898 | $40,923,243 | |
SPDR SSGA US Sector Rotation
ETF |
57,741,955 | 57,723,530 |
In-kind
Contributions |
In-kind
Redemptions |
In-kind
Net Realized Gains/(Losses) | |||
SPDR SSGA Fixed Income Sector Rotation
ETF |
$37,159,854 | $1,820,354 | $ 8,836 | ||
SPDR SSGA US Sector Rotation
ETF |
62,323,479 | 9,685,485 | 600,207 |
Ordinary
Income |
Long-Term
Capital Gains |
Total | |||
SPDR SSGA Fixed Income Sector Rotation
ETF |
$785,178 | $— | $785,178 | ||
SPDR SSGA US Sector Rotation
ETF |
704,061 | — | 704,061 |
Ordinary
Income |
Long-Term
Capital Gains |
Total | |||
SPDR SSGA Fixed Income Sector Rotation
ETF |
$ 36,040 | $ — | $ 36,040 | ||
SPDR SSGA US Sector Rotation
ETF |
52,452 | — | 52,452 |
Undistributed
Ordinary Income |
Capital
Loss Carryforwards |
Undistributed
Long-Term Capital Gains |
Net
Unrealized Gains (Losses) |
Qualified
Late-Year Losses |
Total | ||||||
SPDR SSGA Fixed Income Sector Rotation
ETF |
$— | $ — | $— | $1,213,129 | $(116,969) | $1,096,160 | |||||
SPDR SSGA US Sector Rotation
ETF |
— | (1,688,039) | — | 3,316,902 | — | 1,628,863 |
Non-Expiring
Short Term |
Non-Expiring
Long Term | ||
SPDR SSGA US Sector Rotation
ETF |
$1,688,039 | $— |
Tax
Cost |
Gross
Unrealized Appreciation |
Gross
Unrealized Depreciation |
Net
Unrealized Appreciation (Depreciation) | ||||
SPDR SSGA Fixed Income Sector Rotation
ETF |
$55,690,490 | $1,213,129 | $ — | $1,213,129 | |||
SPDR SSGA US Sector Rotation
ETF |
69,767,821 | 5,081,742 | 1,764,840 | 3,316,902 |
Fund | Market
Value of Securities on Loan |
Cash
Collateral Received |
Non-Cash
Collateral Received* |
Total
Collateral Received | ||||
SPDR SSGA Fixed Income Sector Rotation
ETF |
$ 17,641,488 | $ 9,882,034 | $ 8,089,600 | $ 17,971,634 | ||||
SPDR SSGA US Sector Rotation
ETF |
15,761,999 | 4,445,869 | 11,518,811 | 15,964,680 |
* | The non-cash collateral includes U.S. Treasuries and U.S. Government Agency securities. |
Remaining
Contractual Maturity of the Agreements As of June 30, 2020 | ||||||||||||||
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 Fixed Income Sector Rotation
ETF |
Mutual Funds and Exchange Traded Products | $9,882,034 | $— | $— | $— | $9,882,034 | $9,882,034 | |||||||
SPDR SSGA US Sector Rotation
ETF |
Mutual Funds and Exchange Traded Products | 4,445,869 | — | — | — | 4,445,869 | 4,445,869 |
SPDR SSGA Fixed Income Sector Rotation ETF | SPDR SSGA US Sector Rotation ETF | ||
Annualized Expense
Ratio |
0.33% | 0.49% | |
Actual: | |||
Ending Account
Value |
$1,037.70 | $ 974.30 | |
Expenses Paid During
Period |
1.67 | 2.41 | |
Hypothetical (assuming a 5% return before expenses): | |||
Ending Account
Value |
1,023.20 | 1,022.40 | |
Expenses Paid During
Period(a) |
1.66 | 2.46 |
(a) | Expenses are equal to the Fund's annualized net expense ratio multiplied by the average account value of the period, multiplied by 182, then divided by 366. |
Name,
Address and Year of Birth |
Position(s)
with Funds |
Term
of Office and Length of Time Served |
Principal
Occupation(s) During Past 5 Years |
Number
of Portfolios in Fund Complex Overseen by Trustee† |
Other
Directorships Held by Trustee During the Past 5 Years | |||||
Trustees | ||||||||||
Independent Trustees | ||||||||||
FRANK
NESVET c/o SSGA Active Trust One Iron Street Boston, MA 02210 1943 |
Independent
Trustee, Chairman, Trustee Committee Chair |
Term:
Unlimited Served: since March 2011 |
Retired. | 123 | None. | |||||
BONNY
EUGENIA BOATMAN c/o SSGA Active Trust One Iron Street Boston, MA 02210 1950 |
Independent
Trustee |
Term:
Unlimited Served: since March 2011 |
Retired. | 123 | None. | |||||
DWIGHT
D. CHURCHILL c/o SSGA Active Trust One Iron Street Boston, MA 02210 1953 |
Independent
Trustee |
Term:
Unlimited Served: since March 2011 |
Self-employed
consultant since 2010; CEO and President, CFA Institute (June 2014-January 2015). |
123 | Affiliated
Managers Group, Inc. (Chairman, Director and Audit Committee Chair). | |||||
CLARE
S. RICHER c/o SSGA Active Trust One Iron Street Boston, MA 02210 1958 |
Independent
Trustee |
Term:
Unlimited Served: since July 2018 |
Retired.
Chief Financial Officer, Putnam Investments LLC (December 2008- May 2017). |
123 | Principal
Financial Group (Director); Bain Capital Specialty Finance (Director); Putnam Acquisition Financing Inc. (Director); Putnam Acquisition Financing LLC (Director); Putnam GP Inc. (Director); Putnam Investor Services, Inc. (Director); University of Notre Dame (Trustee). |
Name,
Address and Year of Birth |
Position(s)
with Funds |
Term
of Office and Length of Time Served |
Principal
Occupation(s) During Past 5 Years |
Number
of Portfolios in Fund Complex Overseen by Trustee† |
Other
Directorships Held by Trustee During the Past 5 Years | |||||
SANDRA
G. SPONEM c/o SSGA Active Trust One Iron Street Boston, MA 02210 1958 |
Independent
Trustee |
Term:
Unlimited Served: since July 2018 |
Retired.
Chief Financial Officer, M.A. Mortenson Companies, Inc. (February 2007- April 2017). |
123 | Rydex
Series Funds, Rydex Dynamic Funds, Rydex Variable Trust, Guggenheim Funds Trust, Guggenheim Variable Funds Trust, Guggenheim Strategy Funds Trust, Transparent Value Trust, Fiduciary/ Claymore Energy Infrastructure Fund, Guggenheim Taxable Municipal Managed Duration Trust, Guggenheim Strategic Opportunities Fund, Guggenheim Enhanced, Equity Income Fund, Guggenheim Credit Allocation Fund, Guggenheim Energy & Income Fund (Trustee and Audit Committee Chair). | |||||
CARL
G. VERBONCOEUR c/o SSGA Active Trust One Iron Street Boston, MA 02210 1952 |
Independent
Trustee, Audit Committee Chair |
Term:
Unlimited Served: since March 2011 |
Self-employed
consultant since 2009. |
123 | The
Motley Fool Funds Trust (Trustee). |
Name,
Address and Year of Birth |
Position(s)
with Funds |
Term
of Office and Length of Time Served |
Principal
Occupation(s) During Past 5 Years |
Number
of Portfolios in Fund Complex Overseen by Trustee† |
Other
Directorships Held by Trustee During the Past 5 Years | |||||
Interested Trustee | ||||||||||
JAMES
E. ROSS* c/o SSGA Active Trust One Iron Street Boston, MA 02210 1965 |
Interested
Trustee |
Term:
Unlimited Served as Trustee: since March 2011 |
Non-Executive
Chairman, Fusion Acquisition Corp. (June 2020 - Present); Retired Chairman and Director, SSGA Funds Management, Inc. (2005 - March 2020); Retired Executive Vice President, State Street Global Advisors (2012 - March 2020); Retired Chief Executive Officer and Director, State Street Global Advisors Funds Distributors, LLC (May 2017 - March 2020); Director, State Street Global Markets, LLC (2013 - April 2017); President, SSGA Funds Management, Inc. (2005 - 2012); Principal, State Street Global Advisors (2000 - 2005). |
134 | SSGA
SPDR ETFs Europe I plc (Director) (November 2016 - March 2020); SSGA SPDR ETFs Europe II plc (Director) (November 2016 - March 2020); State Street Navigator Securities Lending Trust (July 2016 - March 2020); SSGA Funds (January 2014 - March 2020); State Street Institutional Investment Trust (February 2007 - March 2020); State Street Master Funds (February 2007 - March 2020); Elfun Funds (July 2016 - December 2018). | |||||
† For the purpose of determining the number of portfolios overseen by the Trustees, “Fund Complex” comprises registered investment companies for which SSGA Funds Management, Inc. serves as investment adviser. | ||||||||||
* Mr. Ross is an Interested Trustee because of his former position with the Adviser and ownership interest in an affiliate of the Adviser. |
Name,
Address and Year of Birth |
Position(s)
with Funds |
Term
of Office and Length of Time Served |
Principal Occupation(s) During the Past 5 Years | |||
Officers | ||||||
ELLEN
M. NEEDHAM SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1967 |
President | Term:
Unlimited Served: since October 2012 |
Chairman, SSGA Funds Management, Inc. (March 2020 - present); President and Director, SSGA Funds Management, Inc. (2001 - present)*; Senior Managing Director, State Street Global Advisors (1992 - present)*; Manager, State Street Global Advisors Funds Distributors, LLC (May 2017 - present). | |||
BRUCE
S. ROSENBERG SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1961 |
Treasurer | Term:
Unlimited Served: since February 2016 |
Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (July 2015 - present); Director, Credit Suisse (April 2008 - July 2015). | |||
ANN
M. CARPENTER SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1966 |
Vice
President; Deputy Treasurer |
Term:
Unlimited Served: since August 2012 (with respect to Vice President); since February 2016 (with respect to Deputy Treasurer) |
Chief Operating Officer, SSGA Funds Management, Inc. (2005 - Present)*; Managing Director, State Street Global Advisors (2005 - present).* | |||
MICHAEL
P. RILEY SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1969 |
Vice
President |
Term:
Unlimited Served: since March 2011 |
Managing Director, State Street Global Advisors (2005 - present).* | |||
SEAN
O’MALLEY SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1969 |
Chief
Legal Officer |
Term:
Unlimited Served: since August 2019 |
Senior Vice President and Deputy General Counsel, State Street Global Advisors (November 2013 -present). | |||
ANDREW
DELORME SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1975 |
Secretary | Term:
Unlimited Served: since August 2019 |
Vice President and Senior Counsel, State Street Global Advisors (April 2016 - present); Vice President and Counsel, State Street Global Advisors (August 2014 - March 2016). |
Name,
Address and Year of Birth |
Position(s)
with Funds |
Term
of Office and Length of Time Served |
Principal Occupation(s) During the Past 5 Years | |||
KEVIN
MORRIS SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1982 |
Assistant
Secretary |
Term:
Unlimited Served: since August 2019 |
Vice President and Senior Counsel, State Street Global Advisors (April 2019 - present); Vice President and Counsel, State Street Global Advisors (January 2016 -April 2019); Director, Asset Management Compliance, Fidelity Investments (June 2015 - January 2016); Senior Compliance Advisor, Asset Management Compliance, Fidelity Investments (June 2012 - June 2015). | |||
DAVID
URMAN SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1985 |
Assistant
Secretary |
Term:
Unlimited Served: since August 2019 |
Vice President and Senior Counsel, State Street Global Advisors (April 2019 - present); Vice President and Counsel, State Street Global Advisors (August 2015 - April 2019); Associate, Ropes & Gray LLP (November 2012 - August 2015). | |||
CHAD
C. HALLETT SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1969 |
Deputy
Treasurer |
Term:
Unlimited Served: since February 2016 |
Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (November 2014 - present); Vice President, State Street Bank and Trust Company (2001 - November 2014).* | |||
DARLENE
ANDERSON-VASQUEZ SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1968 |
Deputy
Treasurer |
Term:
Unlimited Served: since November 2016 |
Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (May 2016 - present); Senior Vice President, John Hancock Investments (September 2007 - May 2016). | |||
ARTHUR
A. JENSEN SSGA Funds Management, Inc. 1600 Summer Street Stamford, CT 06905 1966 |
Deputy
Treasurer |
Term:
Unlimited Served: Since August 2017 |
Vice President at State Street Global Advisors (July 2016 – present); Mutual Funds Controller of GE Asset Management Incorporated (April 2011 - July 2016). | |||
SUJATA
UPRETI SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1974 |
Assistant
Treasurer |
Term:
Unlimited Served: since February 2016 |
Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (May 2015 - present). | |||
DANIEL
FOLEY SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1972 |
Assistant
Treasurer |
Term:
Unlimited Served: since February 2016 |
Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (April 2007 - present).* |
Name,
Address and Year of Birth |
Position(s)
with Funds |
Term
of Office and Length of Time Served |
Principal Occupation(s) During the Past 5 Years | |||
DANIEL
G. PLOURDE SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1980 |
Assistant
Treasurer |
Term:
Unlimited Served: since May 2017 |
Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (May 2015 - present); Officer, State Street Bank and Trust Company (March 2009 - May 2015). | |||
BRIAN
HARRIS SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1973 |
Chief
Compliance Officer; Anti-Money Laundering Officer; Code of Ethics Compliance Officer |
Term:
Unlimited Served: since November 2013 |
Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (June 2013 - present)*; Senior Vice President and Global Head of Investment Compliance, BofA Global Capital Management (2010 - 2013); Director of Compliance, AARP Financial Inc. (2008 - 2010). | |||
* Served in various capacities and/or with various affiliated entities during noted time period. | ||||||
The Statement of Additional Information (SAI) includes additional information about the Funds' trustees and is available, without charge, upon request and by calling 1-866-787-2257. |
SPDR DoubleLine Emerging Markets Fixed Income ETF |
SPDR DoubleLine Short Duration Total Return Tactical ETF |
SPDR DoubleLine Total Return Tactical ETF |
|
1 |
Management's Discussion of Fund Performance, Performance Summaries and Performance Statistics (Unaudited) | |
|
2 |
|
5 |
|
8 |
Schedules of Investments | |
|
12 |
|
21 |
|
47 |
|
62 |
|
69 |
|
72 |
|
84 |
|
86 |
• | EM sovereign and corporate external bonds posted positive performance in the 12-month period ended June 30, 2020 against a backdrop of a severe shock to global growth and commodity prices induced by the COVID-19 pandemic outbreak, significant fiscal and monetary policy responses by governments and central banks in developed and emerging markets, and elevated US-China trade tensions. |
• | The Index’s positive return in the 12-month period was driven by lower Treasury yields, which offset spread performance, with the spread over U.S. Treasuries widening 106 bps to 439 bps. |
• | The Middle East was the best performing region across the corporate index, while Latin America was the worst performing region. |
• | The U.S. Treasury curve steepened over the 12-month period. 2 year UST yields fell 161 bps over the 12-month period to end at 0.15%, while 10 year UST yields fell 135 bps over the 12-month period to end at 0.66%. |
Cumulative Total Return | Average Annual Total Return | ||||||||
Net
Asset Value |
Market
Value |
JP Morgan Corporate Emerging Markets Bond Index Broad Diversified | Net
Asset Value |
Market
Value |
JP Morgan Corporate Emerging Markets Bond Index Broad Diversified | ||||
ONE YEAR | – 0.04% | – 0.21% | 3.74% | – 0.04% | – 0.21% | 3.74% | |||
SINCE INCEPTION(1) | 21.78% | 21.86% | 25.59% | 4.78% | 4.80% | 5.56% | |||
(1) | For the period April 13, 2016 to June 30, 2020. |
Description | % of Net Assets | ||
Panama
Government International Bond 4.00% 9/22/2024 |
3.2% | ||
Indonesia
Government International Bond 4.88% 5/5/2021 |
2.7 | ||
Colombia
Government International Bond 4.38% 7/12/2021 |
2.2 | ||
Republic
Of Indonesia 3.85% 10/15/2030 |
2.1 | ||
Philippine
Government International Bond 4.00% 1/15/2021 |
2.1 | ||
TOTAL | 12.3% |
% of Net Assets | |||
Corporate Bonds & Notes | 73.2% | ||
Foreign Government Obligations | 24.7 | ||
Convertible Bonds | 0.0 * | ||
Short-Term Investment | 0.8 | ||
Other Assets in Excess of Liabilities | 1.3 | ||
TOTAL | 100.0% |
* | Amount shown represents less than 0.05% of net assets. |
Cumulative Total Return | Average Annual Total Return | ||||||||
Net
Asset Value |
Market
Value |
Bloomberg Barclays U.S. Aggregate 1-3 Year Index | Net
Asset Value |
Market
Value |
Bloomberg Barclays U.S. Aggregate 1-3 Year Index | ||||
ONE YEAR | 2.43% | 2.22% | 4.00% | 2.43% | 2.22% | 4.00% | |||
SINCE INCEPTION(1) | 9.52% | 9.56% | 9.79% | 2.18% | 2.19% | 2.24% | |||
(1) | For the period April 13, 2016 to June 30, 2020. |
Description | % of Net Assets | ||
Treasury
Note 2.75% 9/15/2021 |
6.6% | ||
Treasury
Bill 0.18% 12/24/2020 |
5.3 | ||
Treasury
Bill 0.17% 10/1/2020 |
4.2 | ||
Treasury
Note 1.63% 4/30/2023 |
3.9 | ||
Treasury
Bill 0.12% 8/6/2020 |
3.8 | ||
TOTAL | 23.8% |
% of Net Assets | |||
U.S. Treasury Obligations | 32.0% | ||
Corporate Bonds & Notes | 27.5 | ||
U.S. Government Agency Obligations | 23.1 | ||
Mortgage-Backed Securities | 9.2 | ||
Asset-Backed Securities | 2.9 | ||
Foreign Government Obligations | 2.2 | ||
Short-Term Investment | 2.3 | ||
Other Assets in Excess of Liabilities | 0.8 | ||
TOTAL | 100.0% |
Cumulative Total Return | Average Annual Total Return | ||||||||
Net
Asset Value |
Market
Value |
Bloomberg Barclays U.S. Aggregate Bond Index | Net
Asset Value |
Market
Value |
Bloomberg Barclays U.S. Aggregate Bond Index | ||||
ONE YEAR | 4.13% | 4.03% | 8.74% | 4.13% | 4.03% | 8.74% | |||
FIVE YEARS | 17.26% | 17.45% | 23.45% | 3.24% | 3.27% | 4.30% | |||
SINCE INCEPTION(1) | 16.86% | 17.15% | 22.34% | 2.96% | 3.00% | 3.84% | |||
(1) | For the period February 23, 2015 to June 30, 2020. |
Description | % of Net Assets | ||
Treasury
Notes 2.25% 11/15/2025 |
4.3% | ||
Treasury
Notes 1.63% 5/15/2026 |
3.8 | ||
Treasury
Notes 2.13% 7/31/2024 |
3.5 | ||
Treasury
Notes 2.13% 2/29/2024 |
2.7 | ||
Treasury
Bill 0.17% 12/3/2020 |
2.2 | ||
TOTAL | 16.5% |
% of Net Assets | |||
U.S. Government Agency Obligations | 41.7% | ||
U.S. Treasury Obligations | 26.2 | ||
Mortgage-Backed Securities | 5.2 | ||
Commercial Mortgage Backed Securities | 3.2 | ||
Asset-Backed Securities | 2.5 | ||
Foreign Government Obligations | 1.0 | ||
Banks | 2.6 | ||
Electric | 1.4 | ||
Oil & Gas | 1.0 | ||
Software | 0.9 | ||
Pharmaceuticals | 0.9 | ||
Diversified Financial Services | 0.8 | ||
Telecommunications | 0.7 | ||
Health Care Services | 0.7 | ||
Media | 0.6 | ||
Food | 0.6 | ||
Insurance | 0.6 | ||
Pipelines | 0.6 | ||
Retail | 0.5 | ||
Real Estate Investment Trusts | 0.5 | ||
Transportation | 0.5 | ||
Chemicals | 0.4 | ||
Internet | 0.4 | ||
Entertainment | 0.3 | ||
Auto Manufacturers | 0.3 | ||
IT Services | 0.3 | ||
Commercial Services | 0.2 | ||
Mining | 0.2 | ||
Packaging & Containers | 0.2 | ||
Forest Products & Paper | 0.2 | ||
Electronics | 0.2 | ||
Computers | 0.2 | ||
Iron/Steel | 0.2 |
% of Net Assets | |||
Lodging | 0.1% | ||
Real Estate | 0.1 | ||
Machinery, Construction & Mining | 0.1 | ||
Environmental Control | 0.1 | ||
Leisure Time | 0.1 | ||
Agriculture | 0.1 | ||
Oil & Gas Services | 0.1 | ||
Building Materials | 0.1 | ||
Beverages | 0.1 | ||
Construction Materials | 0.1 | ||
Semiconductors | 0.1 | ||
Advertising | 0.1 | ||
Toys/Games/Hobbies | 0.1 | ||
Water | 0.1 | ||
Machinery-Diversified | 0.1 | ||
Biotechnology | 0.1 | ||
Energy-Alternate Sources | 0.1 | ||
Gas | 0.1 | ||
Home Furnishings | 0.1 | ||
Aerospace & Defense | 0.0* | ||
Auto Parts & Equipment | 0.0* | ||
Distribution & Wholesale | 0.0* | ||
Airlines | 0.0* | ||
Home Builders | 0.0* | ||
Food Service | 0.0* | ||
Health Care Products | 0.0* | ||
Miscellaneous Manufacturer | 0.0* | ||
Engineering & Construction | 0.0* | ||
Household Products & Wares | 0.0* | ||
Coal | 0.0* | ||
Electrical Components & Equipment | 0.0* | ||
Housewares | 0.0* | ||
Metal Fabricate & Hardware | 0.0* | ||
Apparel | 0.0* | ||
Household Products | 0.0* | ||
Short-Term Investment | 2.1 | ||
Other Assets in Excess of Liabilities | 0.2 | ||
TOTAL | 100.0% |
* | Amount shown represents less than 0.05% of net assets. |
Security Description | Principal
Amount |
Value | ||||
CORPORATE BONDS & NOTES — 73.2% | ||||||
ARGENTINA — 1.1% | ||||||
Banco Macro SA Series REGS, USD 5 Year Swap Rate + 5.46%, 6.75%, 11/4/2026
(a) |
$ 800,000 | $ 654,816 | ||||
Pampa Energia SA Series REGS, 7.50%,
1/24/2027 |
450,000 | 363,582 | ||||
1,018,398 | ||||||
BRAZIL — 2.7% | ||||||
Banco BTG Pactual SA Series REGS, 5 Year CMT + 5.26%, 7.75%, 2/15/2029
(a) |
500,000 | 504,510 | ||||
Banco do Brasil SA Series REGS, 10 Year CMT + 4.40%, 6.25%, 4/15/2024
(a) |
500,000 | 438,995 | ||||
CSN Islands XII Corp. Series REGS, 7.00%,
9/23/2020 |
900,000 | 673,173 | ||||
CSN Resources SA 7.63%, 4/17/2026
(b) |
200,000 | 175,092 | ||||
Globo Comunicacao e Participacoes SA 4.88%, 1/22/2030
(b) |
300,000 | 271,386 | ||||
Itau Unibanco Holding SA Series REGS, 6.20%,
12/21/2021 |
500,000 | 522,630 | ||||
2,585,786 | ||||||
CANADA — 0.2% | ||||||
Canacol Energy, Ltd. Series REGS, 7.25%,
5/3/2025 |
200,000 | 202,234 | ||||
CAYMAN ISLANDS — 1.6% | ||||||
CK Hutchison Capital Securities 17, Ltd. Series REGS, 5 Year CMT + 2.07%, 4.00%, 5/12/2022
(a) |
837,000 | 838,766 | ||||
Grupo Aval, Ltd. Series REGS, 4.38%,
2/4/2030 |
700,000 | 668,955 | ||||
1,507,721 | ||||||
CHILE — 12.0% | ||||||
AES Gener SA: | ||||||
Series REGS, 5.00%,
7/14/2025 |
860,000 | 831,508 | ||||
5 Year CMT + 4.92%, 6.35%, 10/7/2079
(a)(b) |
900,000 | 901,107 | ||||
Series REGS, 5 Year CMT + 4.92%, 6.35%, 10/7/2079
(a) |
500,000 | 500,615 | ||||
Banco del Estado de Chile Series REGS, 4.13%,
10/7/2020 |
1,300,000 | 1,306,903 | ||||
Banco Santander Chile Series REGS, 2.50%,
12/15/2020 |
1,300,000 | 1,304,433 | ||||
Colbun SA Series REGS, 4.50%,
7/10/2024 |
1,500,000 | 1,591,470 | ||||
Corp. Nacional del Cobre de Chile 3.75%, 1/15/2031
(b) |
500,000 | 544,815 | ||||
Empresa Electrica Angamos SA Series REGS, 4.88%,
5/25/2029 |
156,500 | 162,925 | ||||
Empresa Electrica Guacolda SA Series REGS, 4.56%,
4/30/2025 |
400,000 | 330,276 | ||||
Empresa Nacional de Telecomunicaciones SA Series REGS, 4.75%,
8/1/2026 |
500,000 | 531,900 | ||||
GNL Quintero SA Series REGS, 4.63%,
7/31/2029 |
1,600,000 | 1,709,776 | ||||
SACI Falabella Series REGS, 3.75%,
4/30/2023 |
600,000 | 614,670 |
Security Description | Principal
Amount |
Value | |||
Sociedad Quimica y Minera de Chile SA Series REGS, 4.38%,
1/28/2025 |
$ 400,000 | $ 427,920 | |||
Transelec SA Series REGS, 4.63%,
7/26/2023 |
500,000 | 531,285 | |||
11,289,603 | |||||
CHINA — 5.0% | |||||
Baidu, Inc. 3.43%,
4/7/2030 |
200,000 | 215,266 | |||
CNOOC Finance 2011, Ltd. Series REGS, 4.25%,
1/26/2021 |
200,000 | 203,240 | |||
Gran Tierra Energy International Holdings, Ltd. Series REGS, 6.25%,
2/15/2025 |
600,000 | 274,086 | |||
JD.com, Inc. 3.38%,
1/14/2030 |
1,400,000 | 1,494,612 | |||
Sinopec Group Overseas Development 2016, Ltd. Series REGS, 2.75%,
5/3/2021 |
400,000 | 404,620 | |||
Sinopec Group Overseas Development 2018, Ltd. 2.70%, 5/13/2030
(b) |
1,100,000 | 1,133,198 | |||
Tencent Holdings, Ltd. 2.39%, 6/3/2030
(b) |
1,000,000 | 1,005,520 | |||
4,730,542 | |||||
COLOMBIA — 5.5% | |||||
Banco Bilbao Vizcaya Argentaria Colombia SA Series REGS, 4.88%,
4/21/2025 |
200,000 | 210,642 | |||
Banco de Bogota SA: | |||||
Series REGS, 5.38%,
2/19/2023 |
700,000 | 725,403 | |||
Series REGS, 6.25%,
5/12/2026 |
200,000 | 211,220 | |||
Ecopetrol SA: | |||||
4.13%,
1/16/2025 |
1,000,000 | 1,002,160 | |||
6.88%,
4/29/2030 |
200,000 | 229,078 | |||
Empresas Publicas de Medellin ESP 4.25%, 7/18/2029
(b) |
300,000 | 300,636 | |||
Geopark, Ltd.: | |||||
5.50%, 1/17/2027
(b) |
200,000 | 172,678 | |||
Class REGS, 5.50%,
1/17/2027 |
200,000 | 172,678 | |||
Series REGS, 6.50%,
9/21/2024 |
500,000 | 456,595 | |||
Grupo Aval, Ltd. Series REGS, 4.75%,
9/26/2022 |
1,500,000 | 1,518,660 | |||
Grupo Energia Bogota SA ESP 4.88%, 5/15/2030
(b) |
200,000 | 211,164 | |||
5,210,914 | |||||
INDIA — 4.3% | |||||
Adani Ports & Special Economic Zone, Ltd.: | |||||
Series REGS, 3.38%,
7/24/2024 |
600,000 | 594,576 | |||
Series REGS, 3.95%,
1/19/2022 |
400,000 | 404,128 | |||
Indian Oil Corp., Ltd. 5.75%,
8/1/2023 |
800,000 | 864,065 | |||
Network i2i, Ltd. 5 Year CMT + 4.28%, 5.65%, 1/15/2025
(a)(b) |
200,000 | 193,588 | |||
ONGC Videsh Vankorneft Pte, Ltd. 3.75%,
7/27/2026 |
600,000 | 616,826 | |||
Reliance Holding USA, Inc. Series REGS, 5.40%,
2/14/2022 |
1,050,000 | 1,106,837 |
Security Description | Principal
Amount |
Value | |||
Vedanta Resources PLC Series REGS, 6.13%,
8/9/2024 |
$ 400,000 | $ 275,724 | |||
4,055,744 | |||||
INDONESIA — 1.9% | |||||
Perusahaan Listrik Negara PT Series REGS, 5.50%,
11/22/2021 |
1,500,000 | 1,567,155 | |||
Star Energy Geothermal Wayang Windu, Ltd. Series REGS, 6.75%,
4/24/2033 |
181,400 | 188,681 | |||
1,755,836 | |||||
ISRAEL — 0.2% | |||||
Israel Electric Corp., Ltd. Series 6, 5.00%, 11/12/2024
(b) |
200,000 | 225,124 | |||
JAMAICA — 0.0% (c) | |||||
Digicel Group 0.5, Ltd. 8.00%, 4/1/2025
(b) |
40,978 | 11,315 | |||
KUWAIT — 1.3% | |||||
MEGlobal Canada ULC: | |||||
5.00%, 5/18/2025
(b) |
700,000 | 756,469 | |||
5.88%, 5/18/2030
(b) |
400,000 | 452,860 | |||
1,209,329 | |||||
MALAYSIA — 6.5% | |||||
Axiata SPV2 Bhd Series 2, 3.47%,
11/19/2020 |
1,000,000 | 1,004,510 | |||
Gohl Capital, Ltd. 4.25%,
1/24/2027 |
800,000 | 806,828 | |||
Malayan Banking Bhd USD 5 Year Swap Rate + 2.54%, 3.91%, 10/29/2026
(a) |
1,000,000 | 1,013,610 | |||
Malaysia Sovereign Sukuk Bhd Series REGS, 3.04%,
4/22/2025 |
800,000 | 858,320 | |||
Malaysia Sukuk Global Bhd Series REGS, 3.18%,
4/27/2026 |
250,000 | 272,490 | |||
Petronas Capital, Ltd.: | |||||
Series REGS, 3.50%,
3/18/2025 |
600,000 | 653,388 | |||
3.50%, 4/21/2030
(b) |
200,000 | 221,558 | |||
TNB Global Ventures Capital Bhd Series EMTN, 3.24%,
10/19/2026 |
1,200,000 | 1,276,572 | |||
6,107,276 | |||||
MEXICO — 10.5% | |||||
Banco Mercantil del Norte SA: | |||||
Series REGS, 10 Year CMT + 5.35%, 7.63%, 1/10/2028
(a) |
700,000 | 666,652 | |||
Series REGS, 10 Year CMT + 5.47%, 7.50%, 6/27/2029
(a) |
800,000 | 756,736 | |||
Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand 5.38%, 4/17/2025
(b) |
1,000,000 | 1,094,540 | |||
BBVA Bancomer SA: | |||||
Series REGS, 5 Year CMT + 3.00%, 5.35%, 11/12/2029
(a) |
200,000 | 195,580 | |||
5 year CMT + 4.31%, 5.88%, 9/13/2034
(a)(b) |
1,100,000 | 1,077,967 |
Security Description | Principal
Amount |
Value | |||
Braskem Idesa SAPI 7.45%, 11/15/2029
(b) |
$ 400,000 | $ 374,268 | |||
Cemex SAB de CV Series REGS, 7.75%,
4/16/2026 |
400,000 | 409,052 | |||
Cometa Energia SA de CV Series REGS, 6.38%,
4/24/2035 |
1,330,000 | 1,386,711 | |||
Credito Real SAB de CV: | |||||
9.50%, 2/7/2026
(b) |
400,000 | 410,424 | |||
Series REGS, 5 Year CMT + 7.03%, 9.13%, 11/29/2022
(a) |
200,000 | 170,882 | |||
Docuformas SAPI de CV 10.25%, 7/24/2024
(b) |
300,000 | 251,157 | |||
Fomento Economico Mexicano SAB de CV 2.88%,
5/10/2023 |
600,000 | 621,672 | |||
Grupo Bimbo SAB de CV Series REGS, 4.50%,
1/25/2022 |
900,000 | 942,669 | |||
Operadora de Servicios Mega SA de CV Sofom ER 8.25%, 2/11/2025
(b) |
350,000 | 324,888 | |||
Unifin Financiera SAB de CV: | |||||
Series REGS, 7.38%,
2/12/2026 |
900,000 | 671,886 | |||
Series REGS, 5 Year CMT + 6.31%, 8.88%, 1/29/2025
(a) |
800,000 | 533,248 | |||
9,888,332 | |||||
NETHERLANDS — 3.2% | |||||
Minejesa Capital B.V.: | |||||
Series REGS, 4.63%,
8/10/2030 |
800,000 | 814,248 | |||
Series REGS, 5.63%,
8/10/2037 |
800,000 | 821,376 | |||
Syngenta Finance NV Series REGS, 5.68%,
4/24/2048 |
1,400,000 | 1,405,782 | |||
3,041,406 | |||||
PANAMA — 4.9% | |||||
Aeropuerto Internacional de Tocumen SA Series REGS, 5.63%,
5/18/2036 |
530,000 | 570,587 | |||
Banistmo SA Series REGS, 3.65%,
9/19/2022 |
1,900,000 | 1,899,848 | |||
Empresa de Transmision Electrica SA 5.13%, 5/2/2049
(b) |
500,000 | 583,965 | |||
Global Bank Corp.: | |||||
Series REGS, 4.50%,
10/20/2021 |
1,075,000 | 1,097,704 | |||
3 Month USD LIBOR + 3.30%, 5.25%, 4/16/2029
(a)(b) |
300,000 | 307,533 | |||
Multibank, Inc. Series REGS, 4.38%,
11/9/2022 |
150,000 | 150,648 | |||
4,610,285 | |||||
PERU — 5.1% | |||||
Banco de Credito del Peru: | |||||
Series REGS, 3 Month USD LIBOR + 7.04%, 6.13%, 4/24/2027
(a) |
200,000 | 212,084 | |||
5 year CMT + 3.00%, 3.13%, 7/1/2030
(a)(b) |
250,000 | 247,957 | |||
Banco Internacional del Peru SAA Interbank Series REGS, 3 Month USD LIBOR + 5.76%, 6.63%, 3/19/2029
(a) |
898,000 | 973,953 | |||
Hunt Oil Co. of Peru LLC Sucursal Del Peru Class REGS, 6.38%,
6/1/2028 |
600,000 | 582,306 | |||
Kallpa Generacion SA Series REGS, 4.13%,
8/16/2027 |
1,500,000 | 1,530,975 |
Security Description | Principal
Amount |
Value | ||||
Peru LNG S.r.l. Class REGS, 5.38%,
3/22/2030 |
$ 1,000,000 | $ 789,350 | ||||
Southern Copper Corp. 3.50%,
11/8/2022 |
482,000 | 505,088 | ||||
4,841,713 | ||||||
PHILIPPINES — 0.6% | ||||||
BDO Unibank, Inc. Series EMTN, 2.95%,
3/6/2023 |
500,000 | 511,196 | ||||
QATAR — 1.1% | ||||||
Ooredoo International Finance, Ltd. Class REGS, 3.25%,
2/21/2023 |
1,000,000 | 1,042,710 | ||||
SINGAPORE — 4.3% | ||||||
DBS Group Holdings, Ltd. Series GMTN, USD 5 Year Swap Rate + 2.39%, 3.60%, 9/7/2021
(a) |
1,300,000 | 1,303,250 | ||||
LLPL Capital Pte, Ltd. 6.88%, 2/4/2039
(b) |
384,520 | 420,407 | ||||
ONGC Videsh Vankorneft Pte, Ltd. 2.88%,
1/27/2022 |
400,000 | 401,932 | ||||
PSA Treasury Pte, Ltd. Class GMTN, 2.13%,
9/5/2029 |
600,000 | 618,150 | ||||
United Overseas Bank, Ltd.: | ||||||
Series EMTN, USD 5 Year Swap Rate + 1.79%, 3.88%, 10/19/2023
(a) |
1,100,000 | 1,110,648 | ||||
Series EMTN, USD 5 Year Swap Rate + 2.24%, 3.50%, 9/16/2026
(a) |
200,000 | 203,816 | ||||
4,058,203 | ||||||
SOUTH KOREA — 0.2% | ||||||
Korea East-West Power Co., Ltd. 1.75%, 5/6/2025
(b) |
200,000 | 205,986 | ||||
THAILAND — 0.2% | ||||||
PTTEP Treasury Center Co., Ltd. 2.59%, 6/10/2027
(b) |
200,000 | 204,772 | ||||
UNITED KINGDOM — 0.8% | ||||||
Radiant Access, Ltd. 4.60%,
11/18/2020 |
800,000 | 793,624 | ||||
TOTAL CORPORATE BONDS & NOTES (Cost
$67,984,075) |
69,108,049 | |||||
FOREIGN GOVERNMENT OBLIGATIONS — 24.7% | ||||||
CHILE — 0.8% | ||||||
Chile Government International Bond: | ||||||
2.45%,
1/31/2031 |
500,000 | 519,360 | ||||
3.13%,
3/27/2025 |
200,000 | 217,152 | ||||
736,512 | ||||||
COLOMBIA — 3.5% | ||||||
Colombia Government International Bond: | ||||||
2.63%,
3/15/2023 |
1,000,000 | 1,013,490 |
Security Description | Principal
Amount |
Value | |||
4.38%,
7/12/2021 |
$ 2,000,000 | $ 2,055,680 | |||
5.20%,
5/15/2049 |
200,000 | 234,444 | |||
3,303,614 | |||||
GUATEMALA — 0.5% | |||||
Republic Of Guatemala: | |||||
5.38%, 4/24/2032
(b) |
200,000 | 221,172 | |||
6.13%, 6/1/2050
(b) |
200,000 | 231,598 | |||
452,770 | |||||
INDONESIA — 5.9% | |||||
Indonesia Government International Bond Series REGS, 4.88%,
5/5/2021 |
2,500,000 | 2,575,350 | |||
PERUSAHAAN PENERBIT SBSN Series REGS, 3.40%,
3/29/2021 |
1,000,000 | 1,014,110 | |||
Republic Of Indonesia 3.85%,
10/15/2030 |
1,800,000 | 2,001,780 | |||
5,591,240 | |||||
MEXICO — 1.1% | |||||
Mexico Government International Bond: | |||||
4.00%,
10/2/2023 |
300,000 | 319,395 | |||
4.75%,
4/27/2032 |
500,000 | 551,320 | |||
5.00%,
4/27/2051 |
200,000 | 215,926 | |||
1,086,641 | |||||
PANAMA — 3.2% | |||||
Panama Government International Bond 4.00%,
9/22/2024 |
2,800,000 | 3,047,296 | |||
PERU — 1.6% | |||||
Peruvian Government International Bond: | |||||
2.39%,
1/23/2026 |
300,000 | 312,021 | |||
2.78%,
1/23/2031 |
1,150,000 | 1,226,372 | |||
1,538,393 | |||||
PHILIPPINES — 3.0% | |||||
Philippine Government International Bond: | |||||
2.46%,
5/5/2030 |
400,000 | 419,852 | |||
2.95%,
5/5/2045 |
400,000 | 415,776 | |||
4.00%,
1/15/2021 |
1,930,000 | 1,962,057 | |||
2,797,685 | |||||
QATAR — 1.5% | |||||
Qatar Government International Bond: | |||||
Series REGS, 3.38%,
3/14/2024 |
900,000 | 964,314 |
Security Description | Principal
Amount |
Value | |||
Series REGS, 3.88%,
4/23/2023 |
$ 400,000 | $ 428,980 | |||
1,393,294 | |||||
SAUDI ARABIA — 2.5% | |||||
Saudi Government International Bond: | |||||
Series REGS, 2.38%,
10/26/2021 |
900,000 | 913,410 | |||
Series REGS, 2.88%,
3/4/2023 |
500,000 | 521,405 | |||
2.90%, 10/22/2025
(b) |
850,000 | 901,943 | |||
2,336,758 | |||||
SOUTH KOREA — 0.4% | |||||
Korea Electric Power Corp. 1.13%, 6/15/2025
(b) |
400,000 | 401,772 | |||
UNITED ARAB EMIRATES — 0.7% | |||||
Abu Dhabi Government International Bond: | |||||
2.50%, 4/16/2025
(b) |
200,000 | 210,230 | |||
3.13%, 4/16/2030
(b) |
400,000 | 439,764 | |||
649,994 | |||||
TOTAL FOREIGN GOVERNMENT OBLIGATIONS (Cost
$22,428,572) |
23,335,969 |
Shares | |||
CONVERTIBLE BONDS — 0.0% (c) | |||
JAMAICA — 0.0% (c) | |||
Digicel Group 0.5, Ltd. PIK
(b) |
61,264 | 5,207 | |
TOTAL CONVERTIBLE BONDS (Cost
$5,162) |
5,207 |
SHORT-TERM INVESTMENT — 0.8% | |||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 0.16% (d) (e) (Cost
$780,408) |
780,408 | 780,408 | |
TOTAL INVESTMENTS — 98.7% (Cost
$91,198,812) |
93,229,633 | ||
OTHER ASSETS IN EXCESS OF LIABILITIES — 1.3%
|
1,264,465 | ||
NET ASSETS — 100.0%
|
$ 94,494,098 |
(a) | Variable Rate Security - Interest rate shown is rate in effect at June 30, 2020. 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 15.3% of net assets as of June 30, 2020, are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
(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 June 30, 2020 are shown in the Affiliate Table below. |
(e) | The rate shown is the annualized seven-day yield at June 30, 2020. |
CMT | Constant Maturity Treasury |
EMTN | Euro Medium Term Note |
LIBOR | London Interbank Offered Rate |
PIK | Payment in Kind |
Description | Level
1 – Quoted Prices |
Level
2 – Other Significant Observable Inputs |
Level
3 – Significant Unobservable Inputs |
Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Corporate Bonds &
Notes |
$ — | $69,108,049 | $— | $69,108,049 | ||||
Foreign Government
Obligations |
— | 23,335,969 | — | 23,335,969 | ||||
Convertible
Bonds |
— | 5,207 | — | 5,207 | ||||
Short-Term
Investment |
780,408 | — | — | 780,408 | ||||
TOTAL
INVESTMENTS |
$780,408 | $92,449,225 | $— | $93,229,633 |
% of Net Assets | ||
Foreign Government Obligations | 24.7% | |
Banks | 21.7 | |
Electric | 14.9 | |
Oil & Gas | 7.8 | |
Chemicals | 3.6 | |
Diversified Financial Services | 3.0 | |
Telecommunications | 3.0 | |
Internet | 2.9 | |
Pipelines | 2.7 | |
Mining | 1.4 | |
Gas | 1.4 | |
Sovereign | 1.2 | |
Commercial Services | 1.0 | |
Food | 1.0 | |
Iron/Steel | 0.9 | |
Holding Companies-Diversified | 0.9 | |
Lodging | 0.9 | |
Real Estate | 0.8 |
% of Net Assets | ||
Energy-Alternate Sources | 0.8% | |
Beverages | 0.7 | |
Transportation | 0.7 | |
Retail | 0.6 | |
Engineering & Construction | 0.6 | |
Construction Materials | 0.4 | |
Media | 0.3 | |
Short-Term Investment | 0.8 | |
Other Assets in Excess of Liabilities | 1.3 | |
TOTAL | 100.0% |
Number
of Shares Held at 6/30/19 |
Value
at 6/30/19 |
Cost
of Purchases |
Proceeds
from Shares Sold |
Realized
Gain (Loss) |
Change
in Unrealized Appreciation/ Depreciation |
Number
of Shares Held at 6/30/20 |
Value
at 6/30/20 |
Dividend
Income | |||||||||
State Street Institutional U.S. Government Money Market Fund, Class G
Shares |
85,220 | $85,220 | $62,920,997 | $62,225,809 | $— | $— | 780,408 | $780,408 | $47,366 |
Security Description | Principal
Amount |
Value | |||
CORPORATE BONDS & NOTES — 27.5% | |||||
ADVERTISING — 0.4% | |||||
Omnicom Group, Inc./Omnicom Capital, Inc. 3.63%,
5/1/2022 |
$ 485,000 | $ 511,331 | |||
AEROSPACE & DEFENSE — 0.5% | |||||
Bombardier, Inc. 6.00%, 10/15/2022
(a) |
45,000 | 31,784 | |||
Northrop Grumman Corp. 2.08%,
10/15/2020 |
452,000 | 453,898 | |||
TransDigm, Inc.: | |||||
5.50%,
11/15/2027 |
40,000 | 34,904 | |||
6.25%, 3/15/2026
(a) |
65,000 | 64,809 | |||
6.38%,
6/15/2026 |
25,000 | 22,809 | |||
8.00%, 12/15/2025
(a) |
10,000 | 10,504 | |||
Triumph Group, Inc. 7.75%,
8/15/2025 |
25,000 | 19,041 | |||
637,749 | |||||
AGRICULTURE — 0.3% | |||||
BAT Capital Corp. 2.76%,
8/15/2022 |
265,000 | 274,455 | |||
Reynolds American, Inc. 4.00%,
6/12/2022 |
195,000 | 205,856 | |||
480,311 | |||||
AIRLINES — 0.2% | |||||
Delta Air Lines, Inc. 3.40%,
4/19/2021 |
210,000 | 204,792 | |||
Mileage Plus Holdings LLC/Mileage Plus Intellectual Property Assets, Ltd. 6.50%, 6/20/2027
(a)
(b) |
70,000 | 70,369 | |||
275,161 | |||||
APPAREL — 0.1% | |||||
William Carter Co. 5.50%, 5/15/2025
(a) |
105,000 | 108,179 | |||
AUTO MANUFACTURERS — 0.8% | |||||
Daimler Finance North America LLC 2.30%, 2/12/2021
(a) |
560,000 | 563,853 | |||
Ford Motor Co. 9.00%,
4/22/2025 |
40,000 | 43,242 |
Security Description | Principal
Amount |
Value | |||
Hyundai Capital America 2.85%, 11/1/2022
(a) |
$ 485,000 | $ 494,201 | |||
1,101,296 | |||||
AUTO PARTS & EQUIPMENT — 0.0% (c) | |||||
Clarios Global L.P./Clarios US Finance Co. 6.25%, 5/15/2026
(a) |
50,000 | 51,551 | |||
BANKS — 4.6% | |||||
Banco de Credito del Peru Series REGS, 3 Month USD LIBOR + 7.04%, 6.13%, 4/24/2027
(d) |
200,000 | 212,084 | |||
Banco de Reservas de la Republica Dominicana Series REGS, 7.00%,
2/1/2023 |
150,000 | 145,140 | |||
Banco Mercantil del Norte SA Series REGS, 5 Year CMT + 5.04%, 6.88%, 7/6/2022
(d) |
200,000 | 191,000 | |||
Banco Santander Chile Series REGS, 2.50%,
12/15/2020 |
150,000 | 150,511 | |||
Bangkok Bank PCL Class REGS, 4.80%,
10/18/2020 |
200,000 | 201,896 | |||
Bank of America Corp. Series MTN, 3 Month USD LIBOR + 0.79%, 1.12%, 3/5/2024
(d) |
510,000 | 508,327 | |||
BBVA Bancomer SA Series REGS, 5 Year CMT + 3.00%, 5.35%, 11/12/2029
(d) |
200,000 | 195,580 | |||
BDO Unibank, Inc. Series EMTN, 2.63%,
10/24/2021 |
200,000 | 201,475 | |||
Citigroup, Inc. 3 Month USD LIBOR + 1.02%, 1.37%, 6/1/2024
(d) |
745,000 | 742,944 | |||
JPMorgan Chase & Co. 3 Month USD LIBOR + 0.70%, 3.21%, 4/1/2023
(d) |
485,000 | 504,706 | |||
Macquarie Bank, Ltd. 2.10%, 10/17/2022
(a) |
385,000 | 394,794 | |||
Malayan Banking Bhd USD 5 Year Swap Rate + 2.54%, 3.91%, 10/29/2026
(d) |
200,000 | 204,036 | |||
Morgan Stanley 3 Month USD LIBOR + 0.93%, 2.03%, 7/22/2022
(d) |
730,000 | 732,759 | |||
Oversea-Chinese Banking Corp., Ltd. Series REGS, 4.25%,
6/19/2024 |
200,000 | 217,428 | |||
Sumitomo Mitsui Financial Group, Inc. 2.06%,
7/14/2021 |
480,000 | 488,078 | |||
Toronto-Dominion Bank Series MTN, SOFR + 0.48%, 0.54%, 1/27/2023
(d) |
445,000 | 441,409 | |||
Truist Financial Corp. Series MTN, 2.20%,
3/16/2023 |
245,000 | 254,330 |
Security Description | Principal
Amount |
Value | |||
United Overseas Bank, Ltd. Series EMTN, USD 5 Year Swap Rate + 1.65%, 2.88%, 3/8/2027
(d) |
$ 200,000 | $ 202,734 | |||
Wells Fargo & Co. Series MTN, SOFR + 1.60%, 1.65%, 6/2/2024
(d) |
490,000 | 497,556 | |||
6,486,787 | |||||
BEVERAGES — 0.3% | |||||
Cott Holdings, Inc. 5.50%, 4/1/2025
(a) |
75,000 | 75,521 | |||
PepsiCo, Inc. 0.75%,
5/1/2023 |
360,000 | 362,671 | |||
438,192 | |||||
BUILDING MATERIALS — 0.5% | |||||
Builders FirstSource, Inc.: | |||||
5.00%, 3/1/2030
(a) |
40,000 | 37,688 | |||
6.75%, 6/1/2027
(a) |
65,000 | 66,539 | |||
Carrier Global Corp. 1.92%, 2/15/2023
(a) |
505,000 | 514,913 | |||
Griffon Corp. 5.75%,
3/1/2028 |
35,000 | 34,592 | |||
653,732 | |||||
CHEMICALS — 0.7% | |||||
CNAC HK Finbridge Co., Ltd. 3.50%,
7/19/2022 |
200,000 | 205,078 | |||
DowDuPont, Inc. 3.77%,
11/15/2020 |
140,000 | 141,596 | |||
LG Chem, Ltd. Class REGS, 3.25%,
10/15/2024 |
200,000 | 212,870 | |||
MEGlobal Canada ULC 5.00%, 5/18/2025
(a) |
200,000 | 216,134 | |||
Nutrien, Ltd. 1.90%,
5/13/2023 |
85,000 | 87,478 | |||
UPL Corp., Ltd. Series REGS, 3.25%,
10/13/2021 |
200,000 | 200,234 | |||
1,063,390 | |||||
COAL — 0.0% (c) | |||||
Peabody Energy Corp. 6.00%, 3/31/2022
(a) |
30,000 | 19,507 | |||
SunCoke Energy Partners L.P./SunCoke Energy Partners Finance Corp. 7.50%, 6/15/2025
(a) |
50,000 | 42,623 | |||
62,130 |
Security Description | Principal
Amount |
Value | |||
COMMERCIAL SERVICES — 1.1% | |||||
Allied Universal Holdco LLC/Allied Universal Finance Corp.: | |||||
6.63%, 7/15/2026
(a) |
$ 40,000 | $ 41,977 | |||
9.75%, 7/15/2027
(a) |
45,000 | 47,409 | |||
Cintas Corp. No. 2 2.90%,
4/1/2022 |
470,000 | 488,222 | |||
Financial & Risk US Holdings, Inc. 6.25%, 5/15/2026
(a) |
65,000 | 68,888 | |||
Garda World Security Corp. 8.75%, 5/15/2025
(a) |
50,000 | 50,463 | |||
HPHT Finance 19, Ltd. 2.88%,
11/5/2024 |
200,000 | 206,588 | |||
Jaguar Holding Co. II/PPD Development L.P. 5.00%, 6/15/2028
(a) |
25,000 | 25,589 | |||
MPH Acquisition Holdings LLC 7.13%, 6/1/2024
(a) |
50,000 | 46,495 | |||
PayPal Holdings, Inc.: | |||||
1.35%,
6/1/2023 |
100,000 | 101,906 | |||
2.20%,
9/26/2022 |
375,000 | 388,072 | |||
United Rentals North America, Inc. 6.50%,
12/15/2026 |
35,000 | 36,757 | |||
Verscend Escrow Corp. 9.75%, 8/15/2026
(a) |
50,000 | 53,870 | |||
1,556,236 | |||||
COMPUTERS — 0.1% | |||||
Tempo Acquisition LLC/Tempo Acquisition Finance Corp. 6.75%, 6/1/2025
(a) |
75,000 | 76,069 | |||
DISTRIBUTION & WHOLESALE — 0.0% (c) | |||||
Performance Food Group, Inc. 5.50%, 10/15/2027
(a) |
45,000 | 43,426 | |||
DIVERSIFIED FINANCIAL SERVICES — 1.1% | |||||
American Express Co. 3.70%,
11/5/2021 |
475,000 | 493,853 | |||
B3 SA - Brasil Bolsa Balcao Class REGS, 5.50%,
7/16/2020 |
100,000 | 99,923 | |||
Capital One Financial Corp.: | |||||
2.40%,
10/30/2020 |
167,000 | 167,683 | |||
3.20%,
1/30/2023 |
335,000 | 353,589 | |||
Global Aircraft Leasing Co., Ltd. PIK 6.50%, 9/15/2024
(a) |
50,000 | 35,303 |
Security Description | Principal
Amount |
Value | |||
Icahn Enterprises L.P./Icahn Enterprises Finance Corp.: | |||||
5.25%,
5/15/2027 |
$ 35,000 | $ 33,773 | |||
6.25%,
5/15/2026 |
55,000 | 55,002 | |||
Nationstar Mortgage Holdings, Inc. 8.13%, 7/15/2023
(a) |
50,000 | 51,272 | |||
Navient Corp. 5.00%,
3/15/2027 |
25,000 | 21,290 | |||
NFP Corp. 6.88%, 7/15/2025
(a) |
75,000 | 73,965 | |||
Springleaf Finance Corp. 6.63%,
1/15/2028 |
40,000 | 39,814 | |||
Unifin Financiera SAB de CV Class REGS, 7.00%,
1/15/2025 |
200,000 | 150,040 | |||
1,575,507 | |||||
ELECTRIC — 2.1% | |||||
AES Andres B.V./Dominican Power Partners/Empresa Generadora de Electricidad It Series REGS, 7.95%,
5/11/2026 |
200,000 | 201,430 | |||
AES Gener SA USD 5 Year Swap Rate + 4.64%, 7.13%, 3/26/2079
(a)
(d) |
200,000 | 207,092 | |||
Calpine Corp. 5.13%, 3/15/2028
(a) |
40,000 | 39,155 | |||
Consolidated Edison, Inc. 2.00%,
5/15/2021 |
435,000 | 441,125 | |||
DTE Energy Co.: | |||||
2.25%,
11/1/2022 |
260,000 | 268,559 | |||
Series C, 2.53%,
10/1/2024 |
255,000 | 268,434 | |||
Empresa Electrica Angamos SA Series REGS, 4.88%,
5/25/2029 |
156,500 | 162,924 | |||
Empresa Electrica Guacolda SA Series REGS, 4.56%,
4/30/2025 |
200,000 | 165,138 | |||
Israel Electric Corp., Ltd. Series REGS, 6.88%,
6/21/2023 |
200,000 | 228,858 | |||
Korea East-West Power Co., Ltd. 1.75%, 5/6/2025
(a) |
200,000 | 205,986 | |||
Perusahaan Listrik Negara PT Series REGS, 5.50%,
11/22/2021 |
200,000 | 208,954 | |||
PG&E Corp. 5.00%,
7/1/2028 |
25,000 | 25,035 | |||
PSEG Power LLC 3.85%,
6/1/2023 |
470,000 | 506,937 | |||
2,929,627 |
Security Description | Principal
Amount |
Value | |||
ELECTRICAL COMPONENTS & EQUIPMENT — 0.0% (c) | |||||
Energizer Holdings, Inc. 4.75%, 6/15/2028
(a)
(b) |
$ 60,000 | $ 58,990 | |||
ENTERTAINMENT — 0.3% | |||||
Colt Merger Sub, Inc. 6.25%, 7/1/2025
(a)
(b) |
55,000 | 54,953 | |||
Lions Gate Capital Holdings LLC 6.38%, 2/1/2024
(a) |
65,000 | 63,337 | |||
Live Nation Entertainment, Inc.: | |||||
4.75%, 10/15/2027
(a) |
65,000 | 56,093 | |||
6.50%, 5/15/2027
(a) |
50,000 | 51,508 | |||
Scientific Games International, Inc. 7.25%, 11/15/2029
(a) |
40,000 | 32,095 | |||
Six Flags Theme Parks, Inc. 7.00%, 7/1/2025
(a) |
105,000 | 108,996 | |||
Twin River Worldwide Holdings, Inc. 6.75%, 6/1/2027
(a) |
45,000 | 42,755 | |||
409,737 | |||||
ENVIRONMENTAL CONTROL — 0.8% | |||||
GFL Environmental, Inc.: | |||||
4.25%, 6/1/2025
(a) |
45,000 | 45,348 | |||
5.13%, 12/15/2026
(a) |
55,000 | 56,778 | |||
8.50%, 5/1/2027
(a) |
15,000 | 16,314 | |||
Republic Services, Inc. 2.50%,
8/15/2024 |
485,000 | 515,841 | |||
Tervita Corp. 7.63%, 12/1/2021
(a) |
50,000 | 40,122 | |||
Waste Management, Inc. 2.95%,
6/15/2024 |
450,000 | 459,882 | |||
1,134,285 | |||||
FOOD — 0.6% | |||||
B&G Foods, Inc.: | |||||
5.25%,
4/1/2025 |
30,000 | 30,175 | |||
5.25%,
9/15/2027 |
20,000 | 20,018 | |||
Grupo Bimbo SAB de CV Series REGS, 4.50%,
1/25/2022 |
200,000 | 209,482 | |||
JBS USA LUX SA/JBS USA Finance, Inc.: | |||||
5.75%, 6/15/2025
(a) |
5,000 | 5,055 | |||
5.88%, 7/15/2024
(a) |
10,000 | 10,135 | |||
6.75%, 2/15/2028
(a) |
50,000 | 52,807 |
Security Description | Principal
Amount |
Value | |||
Kraft Heinz Foods Co.: | |||||
3.95%,
7/15/2025 |
$ 19,000 | $ 20,297 | |||
5.00%,
7/15/2035 |
20,000 | 21,999 | |||
5.20%,
7/15/2045 |
60,000 | 65,013 | |||
Mondelez International, Inc.: | |||||
0.63%,
7/1/2022 |
195,000 | 194,973 | |||
3.63%,
5/7/2023 |
75,000 | 80,822 | |||
Pilgrim's Pride Corp. 5.88%, 9/30/2027
(a) |
45,000 | 45,027 | |||
Post Holdings, Inc. 4.63%, 4/15/2030
(a) |
50,000 | 49,024 | |||
US Foods, Inc. 6.25%, 4/15/2025
(a) |
10,000 | 10,174 | |||
815,001 | |||||
FOOD SERVICE — 0.1% | |||||
Aramark Services, Inc. 6.38%, 5/1/2025
(a) |
90,000 | 92,929 | |||
FOREST PRODUCTS & PAPER — 0.1% | |||||
Inversiones CMPC SA Series REGS, 4.50%,
4/25/2022 |
200,000 | 207,708 | |||
HAND & MACHINE TOOLS — 0.1% | |||||
Colfax Corp. 6.38%, 2/15/2026
(a) |
70,000 | 73,150 | |||
HEALTH CARE PRODUCTS — 0.1% | |||||
Avantor, Inc. 9.00%, 10/1/2025
(a) |
65,000 | 69,834 | |||
Ortho-Clinical Diagnostics, Inc./Ortho-Clinical Diagnostics SA 7.25%, 2/1/2028
(a) |
35,000 | 35,538 | |||
105,372 | |||||
HEALTH CARE SERVICES — 0.7% | |||||
Anthem, Inc.: | |||||
2.50%,
11/21/2020 |
325,000 | 327,515 | |||
3.30%,
1/15/2023 |
170,000 | 181,004 | |||
HCA, Inc. 5.38%,
9/1/2026 |
70,000 | 76,049 | |||
LifePoint Health, Inc.: | |||||
4.38%, 2/15/2027
(a) |
40,000 | 37,692 | |||
6.75%, 4/15/2025
(a) |
30,000 | 30,806 |
Security Description | Principal
Amount |
Value | |||
Molina Healthcare, Inc. 4.38%, 6/15/2028
(a) |
$ 15,000 | $ 15,007 | |||
Radiology Partners, Inc. 9.25%, 2/1/2028
(a) |
45,000 | 42,397 | |||
Select Medical Corp. 6.25%, 8/15/2026
(a) |
120,000 | 121,307 | |||
Tenet Healthcare Corp. 5.13%, 11/1/2027
(a) |
60,000 | 59,356 | |||
West Street Merger Sub, Inc. 6.38%, 9/1/2025
(a) |
40,000 | 38,795 | |||
929,928 | |||||
HOME BUILDERS — 0.0% (c) | |||||
Mattamy Group Corp. 4.63%, 3/1/2030
(a) |
55,000 | 53,028 | |||
HOME FURNISHINGS — 0.1% | |||||
Tempur Sealy International, Inc. 5.50%,
6/15/2026 |
75,000 | 76,545 | |||
HOUSEHOLD PRODUCTS & WARES — 0.0% (c) | |||||
Kronos Acquisition Holdings, Inc. 9.00%, 8/15/2023
(a) |
45,000 | 42,937 | |||
INSURANCE — 0.6% | |||||
Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer 6.75%, 10/15/2027
(a) |
30,000 | 29,786 | |||
GTCR AP Finance, Inc. 8.00%, 5/15/2027
(a) |
40,000 | 41,143 | |||
Marsh & McLennan Cos., Inc. 3 Month USD LIBOR + 1.20%, 1.51%, 12/29/2021
(d) |
330,000 | 330,162 | |||
Prudential Financial, Inc.: | |||||
Series MTN, 3.50%,
5/15/2024 |
340,000 | 375,724 | |||
Series MTN, 4.50%,
11/16/2021 |
30,000 | 31,640 | |||
808,455 | |||||
INTERNET — 1.0% | |||||
Alibaba Group Holding, Ltd. 2.80%,
6/6/2023 |
200,000 | 208,930 | |||
Baidu, Inc. 3.08%,
4/7/2025 |
200,000 | 210,020 | |||
eBay, Inc. 2.75%,
1/30/2023 |
475,000 | 497,206 |
Security Description | Principal
Amount |
Value | |||
JD.com, Inc. 3.13%,
4/29/2021 |
$ 200,000 | $ 202,266 | |||
Tencent Holdings, Ltd. 1.81%, 1/26/2026
(a) |
200,000 | 201,800 | |||
Uber Technologies, Inc. 7.50%, 9/15/2027
(a) |
35,000 | 35,068 | |||
1,355,290 | |||||
INVESTMENT COMPANY SECURITY — 0.1% | |||||
Grupo de Inversiones Suramericana SA Series REGS, 5.70%,
5/18/2021 |
200,000 | 206,026 | |||
IRON/STEEL — 0.1% | |||||
POSCO Class REGS, 2.38%,
11/12/2022 |
200,000 | 204,010 | |||
LEISURE TIME — 0.1% | |||||
Carnival Corp. 11.50%, 4/1/2023
(a) |
20,000 | 21,699 | |||
Viking Cruises, Ltd.: | |||||
5.88%, 9/15/2027
(a) |
95,000 | 56,675 | |||
13.00%, 5/15/2025
(a) |
20,000 | 21,003 | |||
99,377 | |||||
LODGING — 0.1% | |||||
Boyd Gaming Corp. 4.75%, 12/1/2027
(a) |
55,000 | 47,303 | |||
Hilton Domestic Operating Co., Inc.: | |||||
5.38%, 5/1/2025
(a) |
10,000 | 9,958 | |||
5.75%, 5/1/2028
(a) |
10,000 | 10,134 | |||
MGM Resorts International 6.75%,
5/1/2025 |
90,000 | 89,214 | |||
156,609 | |||||
MACHINERY, CONSTRUCTION & MINING — 0.0% (c) | |||||
BWX Technologies, Inc. 4.13%, 6/30/2028
(a) |
25,000 | 25,023 | |||
MEDIA — 0.4% | |||||
CCO Holdings LLC/CCO Holdings Capital Corp.: | |||||
4.75%, 3/1/2030
(a) |
45,000 | 46,071 | |||
5.75%, 2/15/2026
(a) |
95,000 | 98,485 | |||
Cengage Learning, Inc. 9.50%, 6/15/2024
(a) |
30,000 | 20,615 |
Security Description | Principal
Amount |
Value | |||
Diamond Sports Group LLC/Diamond Sports Finance Co. 5.38%, 8/15/2026
(a) |
$ 40,000 | $ 28,912 | |||
DISH DBS Corp. 5.88%,
11/15/2024 |
40,000 | 39,802 | |||
Gray Television, Inc. 7.00%, 5/15/2027
(a) |
50,000 | 51,582 | |||
iHeartCommunications, Inc. 8.38%,
5/1/2027 |
10,000 | 9,156 | |||
Nexstar Broadcasting, Inc. 5.63%, 7/15/2027
(a) |
25,000 | 24,821 | |||
Scripps Escrow, Inc. 5.88%, 7/15/2027
(a) |
35,000 | 33,164 | |||
VTR Finance N.V. Series REGS, 6.88%,
1/15/2024 |
200,000 | 204,584 | |||
557,192 | |||||
MINING — 0.2% | |||||
Arconic Corp. 6.13%, 2/15/2028
(a) |
80,000 | 80,309 | |||
Corp. Nacional del Cobre de Chile Class REGS, 3.88%,
11/3/2021 |
200,000 | 204,838 | |||
Novelis Corp. 4.75%, 1/30/2030
(a) |
20,000 | 19,106 | |||
304,253 | |||||
MISCELLANEOUS MANUFACTURER — 0.0% (c) | |||||
Gates Global LLC/Gates Global Co. 6.25%, 1/15/2026
(a) |
35,000 | 34,556 | |||
OIL & GAS — 1.9% | |||||
Apache Corp. 4.38%,
10/15/2028 |
30,000 | 26,558 | |||
CNOOC Finance, Ltd. 3.00%,
5/9/2023 |
200,000 | 208,894 | |||
CNPC General Capital, Ltd. Series REGS, 3.40%,
4/16/2023 |
200,000 | 211,318 | |||
EQT Corp. 6.13%,
2/1/2025 |
35,000 | 34,873 | |||
Exxon Mobil Corp. 1.57%,
4/15/2023 |
345,000 | 354,022 | |||
Geopark, Ltd. Series REGS, 6.50%,
9/21/2024 |
200,000 | 182,638 | |||
Gulfport Energy Corp. 6.38%,
5/15/2025 |
45,000 | 22,458 |
Security Description | Principal
Amount |
Value | |||
Hilcorp Energy I L.P./Hilcorp Finance Co. 6.25%, 11/1/2028
(a) |
$ 40,000 | $ 31,781 | |||
Indigo Natural Resources LLC 6.88%, 2/15/2026
(a) |
20,000 | 18,575 | |||
MEG Energy Corp.: | |||||
7.00%, 3/31/2024
(a) |
12,000 | 10,282 | |||
7.13%, 2/1/2027
(a) |
70,000 | 58,155 | |||
Oasis Petroleum, Inc. 6.88%,
3/15/2022 |
20,000 | 3,635 | |||
Occidental Petroleum Corp.: | |||||
3.50%,
8/15/2029 |
40,000 | 29,275 | |||
8.00%, 7/15/2025
(b) |
25,000 | 25,125 | |||
Series 1, 4.10%,
2/1/2021 |
50,000 | 50,113 | |||
ONGC Videsh, Ltd. 3.75%,
5/7/2023 |
250,000 | 257,143 | |||
Parkland Fuel Corp. 5.88%, 7/15/2027
(a) |
40,000 | 41,390 | |||
Parsley Energy LLC/Parsley Finance Corp. 5.63%, 10/15/2027
(a) |
55,000 | 54,187 | |||
QEP Resources, Inc. 5.63%,
3/1/2026 |
40,000 | 25,293 | |||
Reliance Industries, Ltd. Class REGS, 4.13%,
1/28/2025 |
250,000 | 271,605 | |||
Saudi Arabian Oil Co. Class REGS, 2.75%,
4/16/2022 |
200,000 | 204,358 | |||
Sinopec Group Overseas Development 2016, Ltd. Series REGS, 2.00%,
9/29/2021 |
200,000 | 201,504 | |||
Sinopec Group Overseas Development 2018, Ltd. 2.15%, 5/13/2025
(a) |
200,000 | 205,408 | |||
Sunoco L.P./Sunoco Finance Corp. 6.00%,
4/15/2027 |
70,000 | 70,062 | |||
Transocean Poseidon, Ltd. 6.88%, 2/1/2027
(a) |
75,000 | 66,214 | |||
Transocean, Inc. 8.00%, 2/1/2027
(a) |
35,000 | 19,332 | |||
WPX Energy, Inc.: | |||||
4.50%,
1/15/2030 |
30,000 | 26,397 | |||
5.88%,
6/15/2028 |
35,000 | 33,742 | |||
2,744,337 | |||||
OIL & GAS SERVICES — 0.3% | |||||
Schlumberger Holdings Corp. 3.75%, 5/1/2024
(a) |
370,000 | 398,952 |
Security Description | Principal
Amount |
Value | |||
USA Compression Partners L.P./USA Compression Finance Corp. 6.88%,
9/1/2027 |
$ 80,000 | $ 76,282 | |||
475,234 | |||||
PACKAGING & CONTAINERS — 0.1% | |||||
Berry Global, Inc. 5.63%, 7/15/2027
(a) |
65,000 | 66,894 | |||
Flex Acquisition Co., Inc. 6.88%, 1/15/2025
(a) |
50,000 | 48,077 | |||
Silgan Holdings, Inc. 4.13%, 2/1/2028
(a) |
65,000 | 64,564 | |||
179,535 | |||||
PHARMACEUTICALS — 2.0% | |||||
AbbVie, Inc. 2.30%, 11/21/2022
(a) |
215,000 | 222,418 | |||
AstraZeneca PLC: | |||||
2.38%,
11/16/2020 |
400,000 | 402,840 | |||
2.38%,
6/12/2022 |
55,000 | 56,896 | |||
3.50%,
8/17/2023 |
30,000 | 32,464 | |||
Bausch Health Cos., Inc. 6.25%, 2/15/2029
(a) |
95,000 | 95,529 | |||
Bristol-Myers Squibb Co. 2.60%, 5/16/2022
(a) |
480,000 | 498,504 | |||
Cardinal Health, Inc. 2.62%,
6/15/2022 |
475,000 | 490,798 | |||
Cigna Corp. 3.40%,
9/17/2021 |
450,000 | 464,881 | |||
CVS Health Corp. 3.70%,
3/9/2023 |
470,000 | 504,484 | |||
Upjohn, Inc. 1.13%, 6/22/2022
(a) |
145,000 | 145,956 | |||
2,914,770 | |||||
PIPELINES — 0.2% | |||||
Antero Midstream Partners L.P./Antero Midstream Finance Corp. 5.75%, 3/1/2027
(a) |
22,000 | 17,871 | |||
Cheniere Energy Partners L.P. 5.63%,
10/1/2026 |
90,000 | 89,324 | |||
EQM Midstream Partners L.P. 6.50%, 7/1/2027
(a) |
60,000 | 61,659 | |||
Hess Midstream Operations L.P. 5.13%, 6/15/2028
(a) |
55,000 | 52,901 |
Security Description | Principal
Amount |
Value | |||
Targa Resources Partners L.P./Targa Resources Partners Finance Corp. 5.50%, 3/1/2030
(a) |
$ 55,000 | $ 52,945 | |||
Western Midstream Operating L.P. 3.10%,
2/1/2025 |
40,000 | 38,046 | |||
312,746 | |||||
REAL ESTATE — 0.0% (c) | |||||
Realogy Group LLC/Realogy Co-Issuer Corp. 7.63%, 6/15/2025
(a) |
20,000 | 20,080 | |||
REAL ESTATE INVESTMENT TRUSTS — 0.9% | |||||
Crown Castle International Corp. 1.35%,
7/15/2025 |
150,000 | 151,209 | |||
ESH Hospitality, Inc. 5.25%, 5/1/2025
(a) |
55,000 | 52,949 | |||
MGM Growth Properties Operating Partnership L.P./MGP Finance Co-Issuer, Inc. 5.75%,
2/1/2027 |
50,000 | 51,725 | |||
MPT Operating Partnership L.P./MPT Finance Corp. 5.25%,
8/1/2026 |
35,000 | 36,408 | |||
Simon Property Group L.P. 2.00%,
9/13/2024 |
370,000 | 378,169 | |||
VICI Properties L.P./VICI Note Co., Inc.: | |||||
3.75%, 2/15/2027
(a) |
5,000 | 4,693 | |||
4.13%, 8/15/2030
(a) |
35,000 | 33,369 | |||
Welltower, Inc. 3.63%,
3/15/2024 |
485,000 | 517,883 | |||
1,226,405 | |||||
RETAIL — 0.7% | |||||
1011778 BC ULC/New Red Finance, Inc. 5.00%, 10/15/2025
(a) |
30,000 | 29,828 | |||
Asbury Automotive Group, Inc.: | |||||
4.50%, 3/1/2028
(a) |
5,000 | 4,851 | |||
4.75%, 3/1/2030
(a) |
5,000 | 4,876 | |||
Beacon Roofing Supply, Inc. 4.88%, 11/1/2025
(a) |
70,000 | 62,611 | |||
Carvana Co. 8.88%, 10/1/2023
(a) |
20,000 | 20,097 | |||
Golden Nugget, Inc. 6.75%, 10/15/2024
(a) |
60,000 | 42,960 | |||
IRB Holding Corp. 6.75%, 2/15/2026
(a) |
50,000 | 47,782 |
Security Description | Principal
Amount |
Value | |||
McDonald's Corp. Series MTN, 2.63%,
1/15/2022 |
$ 370,000 | $ 382,317 | |||
Nordstrom, Inc. 8.75%, 5/15/2025
(a) |
10,000 | 10,753 | |||
PetSmart, Inc.: | |||||
5.88%, 6/1/2025
(a) |
17,000 | 17,060 | |||
7.13%, 3/15/2023
(a) |
50,000 | 49,291 | |||
Staples, Inc. 7.50%, 4/15/2026
(a) |
50,000 | 39,381 | |||
Target Corp. 2.90%,
1/15/2022 |
230,000 | 239,207 | |||
Yum! Brands, Inc. 7.75%, 4/1/2025
(a) |
20,000 | 21,569 | |||
972,583 | |||||
SEMICONDUCTORS — 0.8% | |||||
Analog Devices, Inc. 2.95%,
1/12/2021 |
510,000 | 515,855 | |||
Microchip Technology, Inc. 3.92%,
6/1/2021 |
480,000 | 489,278 | |||
Micron Technology, Inc. 2.50%,
4/24/2023 |
150,000 | 155,894 | |||
1,161,027 | |||||
SOFTWARE — 0.2% | |||||
Genesys Telecommunications Laboratories, Inc./Greeneden Lux 3 Sarl/Greeneden US Holdings II LLC 10.00%, 11/30/2024
(a) |
45,000 | 46,688 | |||
Open Text Corp. 3.88%, 2/15/2028
(a) |
70,000 | 67,363 | |||
Oracle Corp. 2.50%,
4/1/2025 |
160,000 | 171,528 | |||
Star Merger Sub, Inc. 6.88%, 8/15/2026
(a) |
45,000 | 47,520 | |||
333,099 | |||||
TELECOMMUNICATIONS — 1.1% | |||||
Axiata SPV2 Bhd Series 2, 3.47%,
11/19/2020 |
200,000 | 200,902 | |||
CenturyLink, Inc.: | |||||
4.00%, 2/15/2027
(a) |
40,000 | 38,838 | |||
5.13%, 12/15/2026
(a) |
45,000 | 44,937 | |||
Cincinnati Bell, Inc. 7.00%, 7/15/2024
(a) |
35,000 | 35,751 |
Security Description | Principal
Amount |
Value | |||
Frontier Communications Corp. 8.00%, 4/1/2027
(a)
(e) |
$ 70,000 | $ 71,117 | |||
Gogo Intermediate Holdings LLC/Gogo Finance Co., Inc. 9.88%, 5/1/2024
(a) |
45,000 | 38,225 | |||
GTT Communications, Inc. 7.88%, 12/31/2024
(a) |
30,000 | 15,760 | |||
Intelsat Jackson Holdings SA 8.50%, 10/15/2024
(a)
(e) |
40,000 | 24,076 | |||
Level 3 Financing, Inc.: | |||||
4.25%, 7/1/2028
(a) |
85,000 | 85,202 | |||
4.63%, 9/15/2027
(a) |
55,000 | 55,322 | |||
SingTel Group Treasury Pte, Ltd.: | |||||
Class EMTN, 2.38%,
10/3/2026 |
200,000 | 211,888 | |||
Class EMTN, 3.25%,
6/30/2025 |
200,000 | 219,220 | |||
Telesat Canada/Telesat LLC 6.50%, 10/15/2027
(a) |
15,000 | 14,719 | |||
Verizon Communications, Inc. 3 Month USD LIBOR + 1.10%, 1.49%, 5/15/2025
(d) |
475,000 | 480,700 | |||
Zayo Group Holdings,Inc.: | |||||
4.00%, 3/1/2027
(a) |
45,000 | 42,794 | |||
6.13%, 3/1/2028
(a) |
15,000 | 14,581 | |||
1,594,032 | |||||
TRANSPORTATION — 0.5% | |||||
Kenan Advantage Group, Inc. 7.88%, 7/31/2023
(a) |
10,000 | 8,898 | |||
PSA Treasury Pte, Ltd. Class GMTN, 2.50%,
4/12/2026 |
200,000 | 212,858 | |||
Union Pacific Corp. 3.20%,
6/8/2021 |
515,000 | 528,549 | |||
750,305 | |||||
TRUCKING & LEASING — 0.5% | |||||
Avolon Holdings Funding, Ltd. 3.63%, 5/1/2022
(a) |
260,000 | 244,972 | |||
Penske Truck Leasing Co. L.P./PTL Finance Corp. 2.70%, 11/1/2024
(a) |
485,000 | 498,279 | |||
743,251 | |||||
TOTAL CORPORATE BONDS & NOTES (Cost
$38,871,840) |
39,228,479 |
Security Description | Principal
Amount |
Value | |||
ASSET-BACKED SECURITIES — 2.9% | |||||
AUTOMOBILE — 0.0% (c) | |||||
Westlake Automobile Receivables Trust Series 2017-2A, Class C, 2.59%, 12/15/2022
(a) |
$ 54,781 | $ 54,832 | |||
OTHER ABS — 2.8% | |||||
Ajax Mortgage Loan Trust Series 2018-E, Class A, 4.38%, 6/25/2058
(a)
(d) |
454,391 | 459,252 | |||
Arbor Realty Commercial Real Estate Notes 2018-FL1, Ltd. Series 2018-FL1, Class A, 1 Month USD LIBOR + 1.15%, 1.33%, 6/15/2028
(a)
(d) |
71,000 | 69,815 | |||
BDS, Ltd. Series 2019-FL4, Class A, 1 Month USD LIBOR + 1.10%, 1.29%, 8/15/2036
(a)
(d) |
100,000 | 97,133 | |||
BSPRT Issuer, Ltd. Series 2019-FL5, Class A, 1 Month USD LIBOR + 1.15%, 1.33%, 5/15/2029
(a)
(d) |
401,000 | 392,782 | |||
Consumer Loan Underlying Bond Credit Trust 2018-P1 Series 2018-P1, Class A, 3.39%, 7/15/2025
(a) |
30,667 | 30,689 | |||
FS Rialto 2019-FL1 Series 2019-FL1, Class A, 1 Month USD LIBOR + 1.20%, 1.40%, 12/16/2036
(a)
(d) |
161,000 | 153,111 | |||
LoanCore 2018-CRE1 Issuer, Ltd. Series 2018-CRE1, Class A, 1 Month USD LIBOR + 1.13%, 1.31%, 5/15/2028
(a)
(d) |
100,000 | 98,850 | |||
LoanCore Issuer, Ltd. Series 2019-CRE2, Class AS, 1 Month USD LIBOR + 1.50%, 1.68%, 5/15/2036
(a)
(d) |
100,000 | 91,484 | |||
Marathon CRE 2018 FL1, Ltd. Series 2018-FL1, Class A, 1 Month USD LIBOR + 1.15%, 1.33%, 6/15/2028
(a)
(d) |
100,000 | 98,125 | |||
Marlette Funding Trust: | |||||
Series 2019-2A, Class A, 3.13%, 7/16/2029
(a) |
228,916 | 230,584 | |||
Series 2018-3A, Class A, 3.20%, 9/15/2028
(a) |
9,820 | 9,825 | |||
Marlette Funding Trust 2019-4 Series 2019-4A, Class A, 2.39%, 12/17/2029
(a) |
336,724 | 338,381 | |||
NLY Commercial Mortgage Trust Series 2019-FL2, Class AS, 1 Month USD LIBOR + 1.60%, 1.78%, 2/15/2036
(a)
(d) |
120,000 | 114,087 | |||
OneMain Financial Issuance Trust Series 2017-1A, Class A1, 2.37%, 9/14/2032
(a) |
115,241 | 115,582 | |||
Sapphire Aviation Finance II, Ltd. Series 2020-1A, Class A, 3.23%, 3/15/2040
(a) |
494,167 | 419,786 |
Security Description | Principal
Amount |
Value | |||
Sofi Consumer Loan Program LLC Series 2017-1, Class A, 3.28%, 1/26/2026
(a) |
$ 37,880 | $ 37,979 | |||
STWD, Ltd. Series 2019-FL1, Class AS, 1 Month USD LIBOR + 1.40%, 1.58%, 7/15/2038
(a)
(d) |
100,000 | 97,125 | |||
Textainer Marine Containers VII, Ltd. Series 2019-1A, Class A, 3.96%, 4/20/2044
(a) |
453,333 | 461,527 | |||
TRTX 2019-FL3 Issuer, Ltd. Series 2019-FL3, Class A, 1 Month USD LIBOR + 1.15%, 1.34%, 10/15/2034
(a)
(d) |
200,000 | 195,250 | |||
Upstart Securitization Trust Series 2020-1, Class A, 2.32%, 4/22/2030
(a) |
436,971 | 436,591 | |||
3,947,958 | |||||
STUDENT LOAN ABS — 0.1% | |||||
Laurel Road Prime Student Loan Trust Series 2019-A, Class A1FX, 2.34%, 10/25/2048
(a) |
157,002 | 157,355 | |||
TOTAL ASSET-BACKED SECURITIES (Cost
$4,251,937) |
4,160,145 | ||||
FOREIGN GOVERNMENT OBLIGATIONS — 2.2% | |||||
BRAZIL — 0.3% | |||||
Banco Bradesco (Cayman) Class REGS, 5.90%,
1/16/2021 |
200,000 | 203,404 | |||
Banco do Brasil SA Series REGS, 10 Year CMT + 7.78%, 8.50%, 10/20/2020
(d) |
200,000 | 201,820 | |||
405,224 | |||||
CHILE — 0.1% | |||||
Chile Government International Bond 3.88%,
8/5/2020 |
200,000 | 200,382 | |||
COLOMBIA — 0.2% | |||||
Colombia Government International Bond 2.63%,
3/15/2023 |
300,000 | 304,047 | |||
DOMINICAN REPUBLIC — 0.1% | |||||
Dominican Republic International Bond Series REGS, 7.50%,
5/6/2021 |
133,333 | 137,696 | |||
INDONESIA — 0.1% | |||||
Indonesia Government International Bond Series REGS, 4.88%,
5/5/2021 |
200,000 | 206,028 |
Security Description | Principal
Amount |
Value | |||
MALAYSIA — 0.2% | |||||
Wakala Global Sukuk Bhd Class REGS, 4.65%,
7/6/2021 |
$ 250,000 | $ 259,000 | |||
MEXICO — 0.3% | |||||
Mexico Government International Bond 3.90%,
4/27/2025 |
200,000 | 214,048 | |||
Nacional Financiera SNC Series REGS, 3.38%,
11/5/2020 |
200,000 | 200,006 | |||
414,054 | |||||
PERU — 0.1% | |||||
Peruvian Government International Bond 2.39%,
1/23/2026 |
100,000 | 104,007 | |||
QATAR — 0.1% | |||||
Qatar Government International Bond Series REGS, 2.38%,
6/2/2021 |
200,000 | 202,498 | |||
SAUDI ARABIA — 0.3% | |||||
Saudi Government International Bond Series REGS, 2.88%,
3/4/2023 |
350,000 | 364,983 | |||
THAILAND — 0.2% | |||||
Export Import Bank of Thailand Series EMTN, 3 Month USD LIBOR + 0.85%, 1.21%, 5/23/2024
(d) |
250,000 | 245,043 | |||
UNITED ARAB EMIRATES — 0.2% | |||||
Abu Dhabi Government International Bond 2.50%, 4/16/2025
(a) |
200,000 | 210,230 | |||
TOTAL FOREIGN GOVERNMENT OBLIGATIONS (Cost
$3,016,317) |
3,053,192 | ||||
U.S. GOVERNMENT AGENCY OBLIGATIONS — 23.1% | |||||
Federal Home Loan Mortgage Corp.: | |||||
3.00%,
10/1/2034 |
803,128 | 843,814 | |||
3.50%,
9/1/2032 |
567,097 | 595,997 | |||
Series 264, Class F1, 1 Month USD LIBOR + 0.55%, 0.73%, 7/15/2042
(d) |
1,585,763 | 1,601,113 | |||
Series 4125, Class FH, 1 Month USD LIBOR + 0.35%, 0.53%, 11/15/2042
(d) |
592,053 | 589,876 | |||
Series 4211, Class AP, 1.60%,
3/15/2043 |
1,559,022 | 1,589,499 |
Security Description | Principal
Amount |
Value | |||
Series 3798, Class FG, CMO, 1 Month USD LIBOR + 0.51%, 0.69%, 1/15/2041
(d) |
$ 2,096,985 | $ 2,107,233 | |||
Series 4461, Class BA, CMO, 2.00%,
12/15/2043 |
1,195,251 | 1,220,804 | |||
Series 4030, Class AN, CMO, REMIC, 1.75%,
4/15/2027 |
1,205,081 | 1,218,432 | |||
Series 4060, Class QA, CMO, REMIC, 1.50%,
9/15/2026 |
396,374 | 399,954 | |||
Series 4125, Class FA, CMO, REMIC, 1 Month USD LIBOR + 0.35%, 0.53%, 11/15/2042
(d) |
379,029 | 377,822 | |||
Series 4484, Class CD, CMO, REMIC, 1.75%,
7/15/2030 |
190,206 | 190,946 | |||
Series 4582, Class HA, CMO, REMIC, 3.00%,
9/15/2045 |
514,818 | 544,620 | |||
Series 4738, Class LA, CMO, REMIC, 3.00%,
11/15/2043 |
524,621 | 555,467 | |||
Series 4764, Class WF, CMO, REMIC, 1 Month USD LIBOR + 0.30%, 0.48%, 2/15/2048
(d) |
690,751 | 689,507 | |||
Series K722, Class X1, IO, 1.44%, 3/25/2023
(d) |
469,728 | 11,729 | |||
Federal National Mortgage Association: | |||||
2.00%,
3/1/2035 |
1,461,887 | 1,514,129 | |||
2.00%,
7/1/2035 |
1,500,000 | 1,553,605 | |||
2.50%,
1/1/2032 |
1,814,758 | 1,913,560 | |||
3.00%,
11/1/2033 |
1,391,468 | 1,481,445 | |||
3.00%,
11/1/2036 |
413,252 | 438,392 | |||
1 Year CMT + 1.67 %, 2.70%, 5/1/2044
(d) |
210,362 | 217,696 | |||
Series 2010-141, Class FB, 1 Month USD LIBOR + 0.47%, 0.65%, 12/25/2040
(d) |
266,840 | 267,520 | |||
Series 2014-73, Class AF, 1 Month USD LIBOR + 0.45%, 0.63%, 11/25/2044
(d) |
1,611,251 | 1,610,790 | |||
Series 2016-23, Class FT, 1 Month USD LIBOR + 0.50%, 0.68%, 11/25/2045
(d) |
792,722 | 795,201 | |||
Series 2012-56, Class FA, CMO, 1 Month USD LIBOR + 0.55%, 0.73%, 6/25/2042
(d) |
1,412,214 | 1,424,766 | |||
Series 2018-77, Class FA, CMO, 1 Month USD LIBOR + 0.30%, 0.48%, 10/25/2048
(d) |
615,077 | 612,270 | |||
Series 2007-54, Class FW, CMO, REMIC, 1 Month USD LIBOR + 0.25%, 0.43%, 6/25/2037
(d) |
474,489 | 471,492 | |||
Series 2012-32, Class DA, CMO, REMIC, 2.00%,
11/25/2026 |
1,345,201 | 1,371,104 | |||
Series 2015-59, Class A, CMO, REMIC, 3.00%,
6/25/2041 |
306,619 | 311,074 | |||
Series 2016-8, Class FA, CMO, REMIC, 1 Month USD LIBOR + 0.45%, 0.63%, 3/25/2046
(d) |
517,152 | 517,038 | |||
Series 2017-13, Class ML, CMO, REMIC, 3.00%,
8/25/2041 |
601,562 | 628,059 | |||
Series 2017-2, Class HA, CMO, REMIC, 3.00%,
9/25/2041 |
495,377 | 514,977 | |||
Series 2018-27, Class FJ, CMO, REMIC, 1 Month USD LIBOR + 0.30%, 0.48%, 12/25/2047
(d) |
585,983 | 583,508 | |||
Series 2018-30, Class FA, CMO, REMIC, 1 Month USD LIBOR + 0.30%, 0.48%, 5/25/2048
(d) |
706,515 | 705,387 |
Security Description | Principal
Amount |
Value | |||
Series 2018-39, Class EF, CMO, REMIC, 1 Month USD LIBOR + 0.30%, 0.48%, 6/25/2048
(d) |
$ 582,544 | $ 580,805 | |||
Series 2018-39, Class FG, CMO, REMIC, 1 Month USD LIBOR + 0.25%, 0.43%, 11/25/2033
(d) |
636,865 | 634,578 | |||
Series 2018-45, Class FA, CMO, REMIC, 1 Month USD LIBOR + 0.30%, 0.48%, 6/25/2048
(d) |
577,248 | 574,614 | |||
Government National Mortgage Association: | |||||
Series 2014-94, Class FB, CMO, REMIC, 1 Month USD LIBOR + 0.25%, 0.44%, 9/20/2035
(d) |
605,984 | 604,126 | |||
Series 2017-116, Class FA, CMO, REMIC, 1 Month USD LIBOR + 0.30%, 0.47%, 11/20/2043
(d) |
494,746 | 493,349 | |||
Series 2017-116, Class FB, CMO, REMIC, 1 Month USD LIBOR + 0.25%, 0.44%, 5/20/2044
(d) |
570,411 | 567,817 | |||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS (Cost
$32,484,981) |
32,924,115 | ||||
U.S. TREASURY OBLIGATIONS — 32.0% | |||||
Treasury Bill: | |||||
0.15%,
9/10/2020 |
3,000,000 | 2,999,201 | |||
0.12%,
8/6/2020 |
5,400,000 | 5,399,352 | |||
0.16%,
11/27/2020 |
4,000,000 | 3,997,268 | |||
0.17%, 10/1/2020
(b) |
6,000,000 | 5,997,624 | |||
0.18%,
12/24/2020 |
7,600,000 | 7,593,869 | |||
Treasury Note: | |||||
1.63%,
4/30/2023 |
5,340,000 | 5,558,189 | |||
2.25%,
12/31/2023 |
4,420,000 | 4,735,271 | |||
2.75%,
9/15/2021 |
9,100,000 | 9,382,242 | |||
TOTAL U.S. TREASURY OBLIGATIONS (Cost
$44,929,245) |
45,663,016 | ||||
MORTGAGE-BACKED SECURITIES — 9.2% | |||||
Alternative Loan Trust Series 2006-41CB, Class 1A3, CMO, 6.00%,
1/25/2037 |
326,951 | 261,204 | |||
Atrium Hotel Portfolio Trust Series 2017-ATRM, Class E, 1 Month USD LIBOR + 3.05%, 3.23%, 12/15/2036
(a)
(d) |
36,000 | 28,828 | |||
Atrium Hotel Portfolio Trust 2018-ATRM Series 2018-ATRM, Class A, 1 Month USD LIBOR + 0.95%, 1.13%, 6/15/2035
(a)
(d) |
100,000 | 93,713 | |||
Bancorp Commercial Mortgage Trust Series 2019-CRE5, Class A, 1 Month USD LIBOR + 1.00%, 1.18%, 3/15/2036
(a)
(d) |
71,207 | 68,623 | |||
BANK: | |||||
Series 2017-BNK6, Class XA, IO, 0.97%, 7/15/2060
(d) |
1,106,423 | 43,812 | |||
Series 2020-BN26, Class XA, IO, VRN, 1.36%, 3/15/2063
(d) |
1,324,441 | 122,773 |
Security Description | Principal
Amount |
Value | |||
BBCMS Mortgage Trust: | |||||
Series 2017-DELC, Class B, 1 Month USD LIBOR + 1.03%, 1.21%, 8/15/2036
(a)
(d) |
$ 124,000 | $ 115,710 | |||
Series 2017-DELC, Class C, 1 Month USD LIBOR + 1.20%, 1.38%, 8/15/2036
(a)
(d) |
17,000 | 15,582 | |||
Series 2017-DELC, Class D, 1 Month USD LIBOR + 1.70%, 1.88%, 8/15/2036
(a)
(d) |
19,000 | 16,948 | |||
Series 2017-DELC, Class E, 1 Month USD LIBOR + 2.50%, 2.68%, 8/15/2036
(a)
(d) |
38,000 | 33,511 | |||
Series 2017-DELC, Class F, 1 Month USD LIBOR + 3.50%, 3.68%, 8/15/2036
(a)
(d) |
38,000 | 28,263 | |||
Series 2018-TALL, Class A, 1 Month USD LIBOR + 0.72%, 0.91%, 3/15/2037
(a)
(d) |
101,000 | 96,126 | |||
BBCMS Trust Series 2018-BXH, Class A, 1 Month USD LIBOR + 1.00%, 1.18%, 10/15/2037
(a)
(d) |
12,519 | 11,688 | |||
BENCHMARK Mortgage Trust Series 2018-B1, Class XA, IO, 0.66%, 1/15/2051
(d) |
2,254,870 | 68,960 | |||
BFLD 2019-DPLO Series 2019-DPLO, Class E, 1 Month USD LIBOR + 2.24%, 2.42%, 10/15/2034
(a)
(d) |
117,000 | 102,372 | |||
BHMS Series 2018-ATLS, Class A, 1 Month USD LIBOR + 1.25%, 1.43%, 7/15/2035
(a)
(d) |
75,000 | 70,956 | |||
BHP Trust: | |||||
Series 2019-BXHP, Class A, 1 Month USD LIBOR + 0.98%, 1.16%, 8/15/2036
(a)
(d) |
100,000 | 95,084 | |||
Series 2019-BXHP, Class C, 1 Month USD LIBOR + 1.52%, 1.71%, 8/15/2036
(a)
(d) |
100,000 | 91,189 | |||
Braemar Hotels & Resorts Trust 2018-Prime Series 2018-PRME, Class A, 1 Month USD LIBOR + 0.82%, 1.00%, 6/15/2035
(a)
(d) |
115,000 | 108,392 | |||
BX Commercial Mortgage Trust Series 2018-BIOA, Class E, 1 Month USD LIBOR + 1.95%, 2.14%, 3/15/2037
(a)
(d) |
257,000 | 242,086 | |||
BX Trust Series 2018-EXCL, Class A, 1 Month USD LIBOR + 1.09%, 1.27%, 9/15/2037
(a)
(d) |
13,611 | 12,117 | |||
BX Trust 2018-BILT Series 2018-BILT, Class A, 1 Month USD LIBOR + 0.80%, 0.98%, 5/15/2030
(a)
(d) |
115,000 | 108,611 | |||
BX Trust 2019-MMP Series 2019-MMP, Class B, 1 Month USD LIBOR + 1.30%, 1.48%, 8/15/2036
(a)
(d) |
116,000 | 111,208 | |||
BXMT, Ltd.: | |||||
Series 2017-FL1, Class C, 1 Month USD LIBOR + 1.95%, 2.14%, 6/15/2035
(a)
(d) |
150,000 | 146,475 | |||
Series 2020-FL2, Class C, 1 Month USD LIBOR + 1.65%, 1.84%, 2/16/2037
(a)
(d) |
119,000 | 110,670 | |||
CAMB Commercial Mortgage Trust Series 2019-LIFE, Class A, 1 Month USD LIBOR + 1.07%, 1.25%, 12/15/2037
(a)
(d) |
79,000 | 78,074 |
Security Description | Principal
Amount |
Value | |||
Cantor Commercial Real Estate: | |||||
Series 2019-CF1, Class 65A, 4.41%, 5/15/2052
(a)
(d) |
$ 163,000 | $ 163,850 | |||
Series 2019-CF1, Class 65B, 4.14%, 5/15/2052
(a)
(d) |
163,000 | 155,233 | |||
CF Trust Series 2019-MF1, Class A, 1 Month USD LIBOR + 1.05%, 2.05%, 8/21/2032
(a)
(d) |
100,000 | 100,399 | |||
CGDBB Commercial Mortgage Trust Series 2017-BIOC, Class A, 1 Month USD LIBOR + 0.79%, 0.97%, 7/15/2032
(a)
(d) |
91,354 | 90,367 | |||
CHT COSMO Mortgage Trust: | |||||
Series 2017-CSMO, Class E, 1 Month USD LIBOR + 3.00%, 3.18%, 11/15/2036
(a)
(d) |
59,000 | 53,679 | |||
Series 2017-CSMO, Class F, 1 Month USD LIBOR + 3.74%, 3.93%, 11/15/2036
(a)
(d) |
116,000 | 103,265 | |||
Citigroup Commercial Mortgage Trust: | |||||
Series 2018-TBR, Class D, 1 Month USD LIBOR + 1.80%, 1.98%, 12/15/2036
(a)
(d) |
95,000 | 81,462 | |||
Series 2019-PRM, Class D, 4.35%, 5/10/2036
(a) |
261,000 | 262,772 | |||
Series 2016-GC37, Class XA, IO, 1.91%, 4/10/2049
(d) |
490,992 | 38,764 | |||
COMM Mortgage Trust: | |||||
Series 2014-FL5, Class D, 1 Month USD LIBOR + 4.00%, 1.57%, 10/15/2031
(a)
(d) |
100,000 | 81,250 | |||
Series 2018-HCLV, Class A, 1 Month USD LIBOR + 1.00%, 1.18%, 9/15/2033
(a)
(d) |
70,000 | 66,759 | |||
Series 2015-CR25, Class XA, IO, 0.99%, 8/10/2048
(d) |
1,210,023 | 44,193 | |||
Credit Suisse Mortgage Capital Certificates: | |||||
Series 2017-CHOP, Class D, 1 Month USD LIBOR + 1.90%, 2.08%, 7/15/2032
(a)
(d) |
29,000 | 24,409 | |||
Series 2019-ICE4, Class A, 1 Month USD LIBOR + 0.98%, 1.16%, 5/15/2036
(a)
(d) |
102,000 | 101,051 | |||
CSAIL Commercial Mortgage Trust: | |||||
Series 2017-C8, Class XA, IO, 1.38%, 6/15/2050
(d) |
339,189 | 16,818 | |||
Series 2017-CX10, Class XA, IO, 0.86%, 11/15/2050
(d) |
990,722 | 39,077 | |||
Series 2017-CX9, Class XA, IO, 1.02%, 9/15/2050
(d) |
1,831,305 | 55,168 | |||
DBGS BIOD Mortgage Trust Series 2018-BIOD, Class A, 1 Month USD LIBOR + 0.80%, 0.99%, 5/15/2035
(a)
(d) |
139,221 | 136,179 | |||
Exantas Capital Corp., Ltd. Series 2019-RSO7, Class A, 1 Month USD LIBOR + 1.00%, 1.19%, 4/15/2036
(a)
(d) |
93,326 | 90,293 | |||
Federal Home Loan Mortgage Corp.: | |||||
Series 4703, Class FA, 1 Month USD LIBOR + 0.35%, 0.53%, 7/15/2047
(d) |
936,962 | 936,442 | |||
Series 4818, Class FC, 1 Month USD LIBOR + 0.30%, 0.48%, 4/15/2048
(d) |
439,788 | 437,848 |
Security Description | Principal
Amount |
Value | |||
Federal National Mortgage Association: | |||||
Series 2012-56, Class FK, 1 Month USD LIBOR + 0.45%, 0.63%, 6/25/2042
(d) |
$ 864,621 | $ 864,471 | |||
Series 2017-96, Class FA, 1 Month USD LIBOR + 0.40%, 0.58%, 12/25/2057
(d) |
821,432 | 820,344 | |||
Series 2018-55, Class FA, 1 Month USD LIBOR + 0.30%, 0.48%, 8/25/2048
(d) |
595,418 | 592,701 | |||
GPMT 2018-FL1, Ltd. Series 2018-FL1, Class A, 1 Month USD LIBOR + 0.90%, 1.09%, 11/21/2035
(a)
(d) |
26,240 | 26,012 | |||
Great Wolf Trust Series 2019-WOLF, Class E, 1 Month USD LIBOR + 2.73%, 2.92%, 12/15/2036
(a)
(d) |
125,000 | 111,376 | |||
GS Mortgage Securities Trust: | |||||
Series 2012-ALOH, Class A, 3.55%, 4/10/2034
(a) |
129,000 | 130,902 | |||
Series 2017-500K, Class E, 1 Month USD LIBOR + 1.50%, 1.75%, 7/15/2032
(a)
(d) |
50,000 | 48,587 | |||
Series 2017-500K, Class F, 1 Month USD LIBOR + 1.80%, 2.15%, 7/15/2032
(a)
(d) |
107,000 | 103,530 | |||
Series 2018-TWR, Class A, 1 Month USD LIBOR + 0.90%, 1.08%, 7/15/2031
(a)
(d) |
100,000 | 97,048 | |||
Series 2018-TWR, Class D, 1 Month USD LIBOR + 1.60%, 1.78%, 7/15/2031
(a)
(d) |
100,000 | 92,439 | |||
Series 2017-GS7, Class XA, IO, 1.27%, 8/10/2050
(d) |
390,387 | 23,553 | |||
JP Morgan Chase Commercial Mortgage Securities Corp. Series 2018-LAQ, Class A, 1 Month USD LIBOR + 1.00%, 1.18%, 6/15/2032
(a)
(d) |
82,830 | 77,853 | |||
JP Morgan Chase Commercial Mortgage Securities Trust: | |||||
Series 2018-WPT, Class EFL, 1 Month USD LIBOR + 2.60%, 2.77%, 7/5/2033
(a)
(d) |
100,000 | 89,058 | |||
Series 2019-MFP, Class A, 1 Month USD LIBOR + 0.96% , 1.14%, 7/15/2036
(a)
(d) |
107,000 | 103,670 | |||
Series 2016-JP4, Class XA, IO, 0.82%, 12/15/2049
(d) |
1,560,502 | 46,388 | |||
Series 2019-COR5, Class XA, IO, VRN, 1.66%, 6/13/2052
(d) |
1,127,544 | 113,429 | |||
LoanCore 2019-CRE3 Issuer, Ltd. Series 2019-CRE3, Class A, 1 Month USD LIBOR + 1.05%, 1.23%, 4/15/2034
(a)
(d) |
100,000 | 95,112 | |||
MF1 2019-FL2, Ltd. Series 2019-FL2, Class A, 1 Month USD LIBOR + 1.13%, 1.31%, 12/25/2034
(a)
(d) |
121,000 | 118,883 | |||
MF1 2020-FL3, Ltd. Series 2020-FL3, Class A, 1 Month USD LIBOR + 2.05%, 2.24%, 7/15/2035
(a)
(d) |
175,000 | 175,328 | |||
Morgan Stanley Bank of America Merrill Lynch Trust: | |||||
Series 2014-C15, Class XA, IO, 1.13%, 4/15/2047
(d) |
807,207 | 23,541 | |||
Series 2014-C19, Class LNCX, IO, 0.60%, 12/15/2046
(a) |
1,198,219 | 27,748 | |||
Morgan Stanley Capital I Trust: | |||||
Series 2006-IQ11, Class B, 6.05%, 10/15/2042
(d) |
61,945 | 60,565 |
Security Description | Principal
Amount |
Value | |||
Series 2018-SUN, Class A, 1 Month USD LIBOR + 0.90%, 1.08%, 7/15/2035
(a)
(d) |
$ 74,000 | $ 70,672 | |||
Series 2019-PLND, Class B, 1 Month USD LIBOR + 1.30%, 1.48%, 5/15/2036
(a)
(d) |
163,000 | 151,510 | |||
Series 2019-PLND, Class D, 1 Month USD LIBOR + 1.75%, 1.93%, 5/15/2036
(a)
(d) |
127,000 | 114,346 | |||
Series 2016-UB12, Class XA, IO, 0.90%, 12/15/2049
(d) |
1,569,735 | 53,349 | |||
Motel 6 Trust Series 2017-MTL6, Class D, 1 Month USD LIBOR + 2.15%, 2.33%, 8/15/2034
(a)
(d) |
59,381 | 55,550 | |||
MSCG Trust Series 2018-SELF, Class A, 1 Month USD LIBOR + 0.90%, 1.08%, 10/15/2037
(a)
(d) |
79,000 | 77,705 | |||
Natixis Commercial Mortgage Securities Trust 2018-850T: | |||||
Series 2018-850T, Class C, 1 Month USD LIBOR + 1.15%, 1.34%, 7/15/2033
(a)
(d) |
100,000 | 98,411 | |||
Series 2018-850T, Class D, 1 Month USD LIBOR + 1.45%, 1.64%, 7/15/2033
(a)
(d) |
100,000 | 97,413 | |||
Natixis Commercial Mortgage Securities Trust 2018-FL1 Series 2018-FL1, Class A, 1 Month USD LIBOR + 0.95%, 1.13%, 6/15/2035
(a)
(d) |
93,384 | 88,618 | |||
PFP 2019-6, Ltd. Series 2019-6, Class A, 1 Month USD LIBOR + 1.05%, 1.25%, 4/14/2037
(a)
(d) |
121,000 | 116,992 | |||
PFP, Ltd. Series 2019-5, Class A, 1 Month USD LIBOR + 0.97%, 1.17%, 4/14/2036
(a)
(d) |
99,991 | 96,491 | |||
ReadyCap Commercial Mortgage Trust Series 2019-FL3, Class A, 1 Month USD LIBOR + 1.00%, 1.18%, 3/25/2034
(a)
(d) |
100,000 | 95,297 | |||
Rosslyn Portfolio Trust: | |||||
Series 2017-ROSS, Class A, 1 Month USD LIBOR + 0.95%, 1.94%, 6/15/2033
(a)
(d) |
15,000 | 14,784 | |||
Series 2017-ROSS, Class B, 1 Month USD LIBOR + 1.25%, 2.24%, 6/15/2033
(a)
(d) |
15,000 | 14,788 | |||
Shelter Growth CRE 2019-FL2 Issuer, Ltd. Series 2019-FL2, Class B, 1 Month USD LIBOR + 2.30%, 2.48%, 5/15/2036
(a)
(d) |
99,109 | 89,403 | |||
Toorak Mortgage Corp., Ltd. Series 2020-1, Class A1, 2.73%, 3/25/2023
(a)
(f) |
1,000,000 | 978,020 | |||
UBS Commercial Mortgage Trust: | |||||
Series 2018-NYCH, Class D, 1 Month USD LIBOR + 2.10%, 2.28%, 2/15/2032
(a)
(d) |
261,000 | 237,523 | |||
Series 2017-C1, Class XA, IO, 1.72%, 6/15/2050
(d) |
792,571 | 64,737 | |||
Velocity Commercial Capital Loan Trust Series 2018-2, Class A, 4.05%, 10/26/2048
(a)
(d) |
667,028 | 681,511 | |||
Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-8, Class 2CB3, CMO, 1 Month USD LIBOR + 0.41%, 0.59%, 10/25/2035
(d) |
617,414 | 541,063 |
Security Description | Principal
Amount |
Value | |||
Wells Fargo Commercial Mortgage Trust Series 2019-C51, Class XA, 1.53%, 6/15/2052
(d) |
$ 1,029,886 | $ 94,147 | |||
WFRBS Commercial Mortgage Trust Series 2013-C18, Class XA, IO, 0.88%, 12/15/2046
(d) |
1,116,760 | 21,344 | |||
TOTAL MORTGAGE-BACKED SECURITIES (Cost
$13,865,780) |
13,058,465 |
Shares | |||
SHORT-TERM INVESTMENT — 2.3% | |||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 0.16% (g) (h) (Cost
$3,357,926) |
3,357,926 | 3,357,926 | |
TOTAL INVESTMENTS — 99.2% (Cost
$140,778,026) |
141,445,338 | ||
OTHER ASSETS IN EXCESS OF LIABILITIES — 0.8%
|
1,073,401 | ||
NET ASSETS —
100.0% |
$ 142,518,739 |
(a) | Securities purchased pursuant to Rule 144A of the Securities Act of 1933, as amended. These securities, which represent 15.7% of net assets as of June 30, 2020, are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
(b) | When-issued security. |
(c) | Amount is less than 0.05% of net assets. |
(d) | Variable Rate Security - Interest rate shown is rate in effect at June 30, 2020. For securities based on a published reference rate and spread, the reference rate and spread are indicated in the description above. |
(e) | Security is currently in default and/or issuer is in bankruptcy. |
(f) | Step-up bond - Coupon rate increases in increments to maturity. Rate shown as of June 30, 2020. Maturity date shown is the final maturity. |
(g) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2020 are shown in the Affiliate Table below. |
(h) | The rate shown is the annualized seven-day yield at June 30, 2020. |
ABS | Asset-Backed Security |
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 |
SOFR | Secured Overnight Financing Rate |
VRN | Variable Rate Note |
Description | Level
1 – Quoted Prices |
Level
2 – Other Significant Observable Inputs |
Level
3 – Significant Unobservable Inputs |
Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Corporate Bonds &
Notes |
$ — | $ 39,228,479 | $— | $ 39,228,479 | ||||
Asset-Backed
Securities |
— | 4,160,145 | — | 4,160,145 | ||||
Foreign Government
Obligations |
— | 3,053,192 | — | 3,053,192 | ||||
U.S. Government Agency
Obligations |
— | 32,924,115 | — | 32,924,115 | ||||
U.S. Treasury
Obligations |
— | 45,663,016 | — | 45,663,016 | ||||
Mortgage-Backed
Securities |
— | 13,058,465 | — | 13,058,465 | ||||
Short-Term
Investment |
3,357,926 | — | — | 3,357,926 | ||||
TOTAL
INVESTMENTS |
$3,357,926 | $138,087,412 | $— | $141,445,338 |
Number
of Shares Held at 6/30/19 |
Value
at 6/30/19 |
Cost
of Purchases |
Proceeds
from Shares Sold |
Realized
Gain (Loss) |
Change
in Unrealized Appreciation/ Depreciation |
Number
of Shares Held at 6/30/20 |
Value
at 6/30/20 |
Dividend
Income | |||||||||
State Street Institutional U.S. Government Money Market Fund, Class G
Shares |
6,248,841 | $6,248,841 | $76,983,553 | $79,874,468 | $— | $— | 3,357,926 | $3,357,926 | $59,685 |
Security Description | Principal
Amount |
Value | |||
CORPORATE BONDS & NOTES — 14.9% | |||||
ARGENTINA — 0.1% | |||||
Other
Securities |
$ 3,407,857 | ||||
AUSTRALIA — 0.1% | |||||
Other
Securities |
4,772,020 | ||||
BELGIUM — 0.1% | |||||
Other
Security |
2,131,328 | ||||
BRAZIL — 0.3% | |||||
Other
Securities |
10,225,549 | ||||
CANADA — 0.5% | |||||
Other
Securities |
15,608,090 | ||||
CAYMAN ISLANDS — 0.2% | |||||
Other
Securities |
5,072,377 | ||||
CHILE — 0.5% | |||||
Other
Securities |
16,714,032 | ||||
CHINA — 0.3% | |||||
Other
Securities |
8,573,333 | ||||
COLOMBIA — 0.3% | |||||
Other
Securities |
8,307,642 | ||||
DOMINICAN REPUBLIC — 0.2% | |||||
Other
Securities |
7,246,330 | ||||
FRANCE — 0.1% | |||||
Other
Securities |
2,487,746 | ||||
INDIA — 0.3% | |||||
Other
Securities |
10,647,465 | ||||
INDONESIA — 0.0% (a) | |||||
Other
Securities |
1,542,474 | ||||
IRELAND — 0.1% | |||||
Other
Securities |
1,782,788 | ||||
ISRAEL — 0.1% | |||||
Other
Securities |
2,608,005 | ||||
JAMAICA — 0.0% (a) | |||||
Other
Security |
226,027 | ||||
JAPAN — 0.1% | |||||
Other
Securities |
4,448,944 |
Security Description | Principal
Amount |
Value | |||
KUWAIT — 0.1% | |||||
Other
Securities |
$ 2,305,443 | ||||
LUXEMBOURG — 0.1% | |||||
Other
Securities |
2,430,308 | ||||
MALAYSIA — 0.1% | |||||
Other
Securities |
4,592,827 | ||||
MAURITIUS — 0.0% (a) | |||||
Other
Security |
1,298,687 | ||||
MEXICO — 0.8% | |||||
Other
Securities |
26,347,652 | ||||
NETHERLANDS — 0.3% | |||||
Other
Securities |
9,091,157 | ||||
NORWAY — 0.0% (a) | |||||
Other
Security |
362,502 | ||||
PANAMA — 0.1% | |||||
Other
Securities |
3,997,131 | ||||
PERU — 0.2% | |||||
Other
Securities |
5,129,488 | ||||
PHILIPPINES — 0.2% | |||||
Other
Security |
6,338,826 | ||||
QATAR — 0.1% | |||||
Other
Securities |
1,989,565 | ||||
SINGAPORE — 0.4% | |||||
Other
Securities |
12,178,560 | ||||
SOUTH KOREA — 0.0% (a) | |||||
Other
Security |
308,979 | ||||
SWITZERLAND — 0.0% (a) | |||||
Other
Security |
189,728 | ||||
THAILAND — 0.0% (a) | |||||
Other
Security |
204,772 | ||||
UNITED KINGDOM — 0.3% | |||||
Other
Securities |
10,096,006 | ||||
UNITED STATES — 8.9% | |||||
Other
Securities |
283,615,897 | ||||
Total Corporate Bonds & Notes (Cost
$475,403,973) |
476,279,535 |
Security Description | Principal
Amount |
Value | |||
ASSET-BACKED SECURITIES — 2.5% | |||||
Aegis Asset Backed Securities Trust Series 2006-1, Class A2, Class A2, 1 Month USD LIBOR + 0.17%, 0.35%, 1/25/2037
(b) |
$ 25,913,056 | $ 21,070,086 | |||
Other
Securities |
57,749,283 | ||||
Total Asset-Backed Securities (Cost
$79,916,741) |
78,819,369 | ||||
FOREIGN GOVERNMENT OBLIGATIONS — 1.0% | |||||
CHILE — 0.0% (a) | |||||
Other
Security |
1,454,208 | ||||
COLOMBIA — 0.1% | |||||
Other
Security |
2,432,376 | ||||
DOMINICAN REPUBLIC — 0.1% | |||||
Other
Securities |
2,459,264 | ||||
GUATEMALA — 0.0% (a) | |||||
Other
Securities |
673,942 | ||||
INDONESIA — 0.1% | |||||
Other
Security |
3,336,300 | ||||
MEXICO — 0.1% | |||||
Other
Securities |
1,590,205 | ||||
PANAMA — 0.1% | |||||
Other
Security |
4,353,280 | ||||
PERU — 0.1% | |||||
Other
Securities |
3,130,106 | ||||
PHILIPPINES — 0.1% | |||||
Other
Securities |
1,463,368 | ||||
QATAR — 0.1% | |||||
Other
Securities |
2,786,588 | ||||
SAUDI ARABIA — 0.2% | |||||
Other
Securities |
4,881,118 | ||||
SOUTH KOREA — 0.0% (a) | |||||
Other
Security |
703,101 | ||||
THAILAND — 0.0% (a) | |||||
Other
Security |
412,041 |
Security Description | Principal
Amount |
Value | |||
UNITED ARAB EMIRATES — 0.0% (a) | |||||
Other
Securities |
$ 1,295,162 | ||||
Total Foreign Government Obligations (Cost
$29,937,752) |
30,971,059 | ||||
SENIOR FLOATING RATE LOANS — 3.0% | |||||
ADVERTISING SERVICES — 0.0% (a) | |||||
Other
Security |
443,012 | ||||
AEROSPACE & DEFENSE — 0.0% (a) | |||||
Other
Security |
1,022,523 | ||||
AIRLINES — 0.0% (a) | |||||
Other
Securities |
613,257 | ||||
AUTO COMPONENTS — 0.0% (a) | |||||
Other
Securities |
741,521 | ||||
BROADCAST SERV/PROGRAM — 0.1% | |||||
Other
Security |
1,160,923 | ||||
BUILDING PRODUCTS — 0.0% (a) | |||||
Other
Security |
172,016 | ||||
CASINO SERVICES — 0.0% (a) | |||||
Other
Security |
387,925 | ||||
CHEMICALS — 0.1% | |||||
Other
Securities |
2,677,398 | ||||
COMMERCIAL SERVICES — 0.0% (a) | |||||
Other
Securities |
1,080,661 | ||||
COMMERCIAL SERVICES & SUPPLIES — 0.2% | |||||
Other
Securities |
6,394,834 | ||||
COMMUNICATIONS EQUIPMENT — 0.0% (a) | |||||
Other
Security |
488,706 | ||||
COMPUTER SERVICES — 0.1% | |||||
Other
Security |
1,175,814 | ||||
CONSTRUCTION & ENGINEERING — 0.0% (a) | |||||
Other
Securities |
1,003,598 | ||||
CONSTRUCTION MATERIALS — 0.0% (a) | |||||
Other
Security |
221,043 | ||||
CONSUMER FINANCE — 0.0% (a) | |||||
Other
Security |
137,841 |
Security Description | Principal
Amount |
Value | |||
CONTAINERS & PACKAGING — 0.1% | |||||
Other
Securities |
$ 1,126,554 | ||||
CONTAINERS-PAPER/PLASTIC — 0.0% (a) | |||||
Other
Security |
522,323 | ||||
DIVERSIFIED CONSUMER SERVICES — 0.1% | |||||
Other
Securities |
1,598,005 | ||||
DIVERSIFIED FINANCIAL SERVICES — 0.1% | |||||
Other
Securities |
2,732,775 | ||||
DIVERSIFIED TELECOMMUNICATION SERVICES — 0.1% | |||||
Other
Securities |
3,300,210 | ||||
ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS — 0.0% (a) | |||||
Other
Security |
307,255 | ||||
ENERGY EQUIPMENT & SERVICES — 0.0% (a) | |||||
Other
Security |
4,555 | ||||
ENTERTAINMENT — 0.0% (a) | |||||
Other
Security |
325,492 | ||||
FINANCE-OTHER SERVICES — 0.0% (a) | |||||
Other
Securities |
683,276 | ||||
FOOD & BEVERAGE — 0.0% (a) | |||||
Other
Securities |
777,817 | ||||
FOOD & STAPLES RETAILING — 0.0% (a) | |||||
Other
Security |
195,568 | ||||
FOOD PRODUCTS — 0.1% | |||||
Other
Security |
1,345,655 | ||||
FOOD-MISC/DIVERSIFIED — 0.0% (a) | |||||
Other
Securities |
971,330 | ||||
HEALTH CARE PROVIDERS & SERVICES — 0.2% | |||||
Other
Securities |
5,414,684 | ||||
HOTELS, RESTAURANTS & LEISURE — 0.2% | |||||
Other
Securities |
6,071,541 | ||||
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS — 0.0% (a) | |||||
Other
Securities |
1,027,010 | ||||
INSURANCE — 0.1% | |||||
Other
Securities |
2,769,284 |
Security Description | Principal
Amount |
Value | |||
INTERACTIVE MEDIA & SERVICES — 0.0% (a) | |||||
Other
Securities |
$ 645,984 | ||||
INTERNET & CATALOG RETAIL — 0.0% (a) | |||||
Other
Securities |
961,963 | ||||
IT SERVICES — 0.1% | |||||
Other
Securities |
3,450,059 | ||||
LIFE SCIENCES TOOLS & SERVICES — 0.0% (a) | |||||
Other
Security |
677,352 | ||||
MACHINERY — 0.1% | |||||
Other
Securities |
1,823,986 | ||||
MACHINERY-CONSTRUCTION & MINING — 0.0% (a) | |||||
Other
Security |
63,361 | ||||
MEDIA — 0.2% | |||||
Other
Securities |
5,029,570 | ||||
METAL-DIVERSIFIED — 0.0% (a) | |||||
Other
Security |
97,041 | ||||
MRI/MEDICAL DIAG IMAGING — 0.0% (a) | |||||
Other
Securities |
978,296 | ||||
OIL REFINING & MARKETING — 0.0% (a) | |||||
Other
Security |
227,516 | ||||
OIL, GAS & CONSUMABLE FUELS — 0.0% (a) | |||||
Other
Securities |
764,705 | ||||
PERSONAL PRODUCTS — 0.0% (a) | |||||
Other
Security |
463,449 | ||||
PHARMACEUTICALS — 0.1% | |||||
Other
Securities |
1,293,362 | ||||
PIPELINES — 0.1% | |||||
Other
Securities |
1,641,212 | ||||
PROFESSIONAL SERVICES — 0.1% | |||||
Other
Security |
1,208,297 | ||||
PUBLISHING-BOOKS — 0.0% (a) | |||||
Other
Security |
215,825 | ||||
REAL ESTATE INVESTMENT TRUSTS (REITS) — 0.1% | |||||
Other
Securities |
1,680,377 |
Security Description | Principal
Amount |
Value | |||
REAL ESTATE MANAGEMENT & DEVELOPMENT — 0.0% (a) | |||||
Other
Security |
$ 113,054 | ||||
RETAIL-RESTAURANTS — 0.0% (a) | |||||
Other
Securities |
975,133 | ||||
ROAD & RAIL — 0.0% (a) | |||||
Other
Security |
496,010 | ||||
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT — 0.0% (a) | |||||
Other
Security |
224,710 | ||||
SOFTWARE — 0.6% | |||||
Other
Securities |
19,877,038 | ||||
SPECIALTY RETAIL — 0.0% (a) | |||||
Other
Securities |
1,100,071 | ||||
TELECOM SERVICES — 0.0% (a) | |||||
Other
Securities |
831,277 | ||||
TELECOMMUNICATION EQUIP — 0.0% (a) | |||||
Other
Securities |
886,182 | ||||
TELEVISION — 0.1% | |||||
Other
Security |
1,174,884 | ||||
THRIFTS & MORTGAGE FINANCE — 0.0% (a) | |||||
Other
Security |
801,637 | ||||
TRADING COMPANIES & DISTRIBUTORS — 0.0% (a) | |||||
Other
Security |
331,298 | ||||
TRANSPORT-AIR FREIGHT — 0.0% (a) | |||||
Other
Security |
456,615 | ||||
Total Senior Floating Rate Loans (Cost
$99,567,400) |
95,384,670 | ||||
U.S. GOVERNMENT AGENCY OBLIGATIONS — 41.7% | |||||
Federal Home Loan Mortgage Corp.: | |||||
2.50%,
4/1/2033 |
$ 2,551,556 | 2,685,813 | |||
2.50%,
2/1/2035 |
6,919,572 | 7,242,938 | |||
2.50%,
11/1/2039 |
16,297,863 | 17,016,431 | |||
3.00%,
11/1/2042 |
13,492,266 | 14,432,538 | |||
3.00%,
12/1/2042 |
12,272,020 | 12,951,872 | |||
3.00%,
1/1/2045 |
2,033,872 | 2,158,141 | |||
3.00%,
2/1/2045 |
1,416,688 | 1,499,142 |
Security Description | Principal
Amount |
Value | |||
3.00%,
3/1/2045 |
$ 1,490,947 | $ 1,577,723 | |||
3.00%,
4/1/2045 |
10,556,959 | 11,171,394 | |||
3.00%,
4/1/2045 |
21,916,799 | 23,254,605 | |||
3.00%,
5/1/2045 |
5,389,182 | 5,702,843 | |||
3.00%,
8/1/2045 |
14,693,795 | 15,549,001 | |||
3.00%,
7/1/2047 |
5,095,356 | 5,377,632 | |||
3.50%,
2/1/2045 |
2,363,298 | 2,534,329 | |||
3.50%,
4/1/2045 |
16,806,641 | 18,336,280 | |||
3.50%,
4/1/2045 |
7,918,302 | 8,482,793 | |||
3.50%,
6/1/2045 |
11,510,457 | 12,558,476 | |||
3.50%,
10/1/2045 |
13,488,940 | 14,716,095 | |||
3.50%,
2/1/2046 |
11,250,905 | 11,939,271 | |||
4.00%,
4/1/2047 |
25,805,294 | 27,679,797 | |||
4.00%,
7/1/2047 |
7,906,203 | 8,428,653 | |||
4.00%,
10/1/2047 |
16,550,904 | 17,644,603 | |||
4.50%,
6/1/2044 |
1,738,761 | 1,925,366 | |||
Series 326, Class 300, Class 300, CMO 3.00%,
3/15/2044 |
25,587,484 | 27,573,227 | |||
Series 358, Class 300, Class 300, CMO 3.00%,
10/15/2047 |
27,385,451 | 30,227,062 | |||
Series 3822, Class ZG, Class ZG, CMO, REMIC 4.00%,
2/15/2041 |
3,952,428 | 4,499,924 | |||
Series 3852, Class NS, Class NS, CMO, IO, REMIC 6.00% - 1 Month USD LIBOR, 5.82%, 5/15/2041
(b) |
8,493,625 | 1,331,221 | |||
Series 3889, Class VZ, Class VZ, CMO, REMIC 4.00%,
7/15/2041 |
7,376,005 | 7,922,474 | |||
Series 3935, Class SJ, Class SJ, CMO, IO, REMIC 6.65% - 1 Month USD LIBOR, 6.47%, 5/15/2041
(b) |
1,464,154 | 152,438 | |||
Series 4120, Class KA, Class KA, CMO, REMIC 1.75%,
10/15/2032 |
11,547,176 | 11,863,840 | |||
Series 4165, Class ZT, Class ZT, CMO, REMIC 3.00%,
2/15/2043 |
16,601,900 | 17,365,502 | |||
Series 4215, Class KC, Class KC, CMO, REMIC 2.25%,
3/15/2038 |
3,357,698 | 3,370,907 | |||
Series 4364, Class ZX, Class ZX, CMO, REMIC 4.00%,
7/15/2044 |
30,247,271 | 34,363,916 | |||
Series 4434, Class LZ, Class LZ, CMO, REMIC 3.00%,
2/15/2045 |
3,502,296 | 3,895,569 | |||
Series 4444, Class CZ, Class CZ, CMO, REMIC 3.00%,
2/15/2045 |
12,841,753 | 14,304,621 |
Security Description | Principal
Amount |
Value | |||
Series 4447, Class A, Class A, CMO, REMIC 3.00%,
6/15/2041 |
$ 1,320,546 | $ 1,355,478 | |||
Series 4447, Class Z, Class Z, CMO, REMIC 3.00%,
3/15/2045 |
4,238,593 | 4,711,230 | |||
Series 4471, Class BA, Class BA, CMO, REMIC 3.00%,
12/15/2041 |
4,603,116 | 4,776,340 | |||
Series 4471, Class GA, Class GA, CMO, REMIC 3.00%,
2/15/2044 |
7,791,527 | 8,145,818 | |||
Series 4474, Class ZX, Class ZX, CMO, REMIC 4.00%,
4/15/2045 |
12,678,686 | 14,457,796 | |||
Series 4481, Class B, Class B, CMO, REMIC 3.00%,
12/15/2042 |
4,834,606 | 5,045,954 | |||
Series 4483, Class CA, Class CA, CMO, REMIC 3.00%,
6/15/2044 |
9,506,026 | 9,946,735 | |||
Series 4484, Class CD, CMO, REMIC 1.75%,
7/15/2030 |
8,306,495 | 8,338,818 | |||
Series 4491, Class B, Class B, CMO, REMIC 3.00%,
8/15/2040 |
6,923,552 | 7,022,138 | |||
Series 4492, Class GZ, Class GZ, CMO, REMIC 3.50%,
7/15/2045 |
8,970,752 | 9,773,462 | |||
Series 4499, Class AB, Class AB, CMO, REMIC 3.00%,
6/15/2042 |
9,478,992 | 9,819,812 | |||
Series 4504, Class CA, Class CA, CMO, REMIC 3.00%,
4/15/2044 |
9,895,653 | 10,320,462 | |||
Series 4511, Class QA, Class QA, CMO, REMIC 3.00%,
1/15/2041 |
5,070,958 | 5,132,574 | |||
Series 4511, Class QC, Class QC, CMO, REMIC 3.00%,
12/15/2040 |
5,248,679 | 5,326,362 | |||
Series 4533, Class AB, Class AB, CMO, REMIC 3.00%,
6/15/2044 |
7,149,061 | 7,530,572 | |||
Series 4543, Class HG, Class HG, CMO, REMIC 2.70%,
4/15/2044 |
13,514,441 | 14,023,198 | |||
Series 4582, Class HA, CMO, REMIC 3.00%,
9/15/2045 |
10,296,369 | 10,892,408 | |||
Series 4629, Class KA, Class KA, CMO, REMIC 3.00%,
3/15/2045 |
29,200,258 | 30,264,502 | |||
Series 4750, Class PA, Class PA, 3.00%,
7/15/2046 |
15,559,455 | 16,160,884 | |||
Series 4792, Class A, Class A, CMO, REMIC 3.00%,
5/15/2048 |
14,259,507 | 14,902,499 | |||
Series 4951, Class EA, Class EA, CMO 2.50%,
9/15/2044 |
10,799,055 | 11,178,289 |
Security Description | Principal
Amount |
Value | |||
Federal National Mortgage Association: | |||||
2.00%,
7/1/2035 |
$ 2,000,000 | $ 2,071,473 | |||
2.22%,
12/1/2029 |
5,400,000 | 5,820,132 | |||
2.29%,
10/1/2031 |
3,508,000 | 3,786,430 | |||
2.32%,
12/1/2029 |
7,600,000 | 8,232,280 | |||
2.41%,
10/1/2029 |
25,000,000 | 27,198,898 | |||
2.44%,
1/1/2032 |
16,600,000 | 18,126,496 | |||
2.50%,
2/1/2035 |
3,013,149 | 3,153,959 | |||
2.50%,
12/1/2039 |
10,112,083 | 10,557,921 | |||
2.50%,
4/1/2040 |
24,592,166 | 25,700,847 | |||
2.50%,
9/1/2046 |
4,175,901 | 4,340,977 | |||
2.50%,
2/1/2047 |
11,119,728 | 11,682,292 | |||
2.69%,
8/1/2030 |
24,295,242 | 26,806,839 | |||
1 Year CMT + 1.67 %, 2.70%, 5/1/2044
(b) |
11,219,295 | 11,610,465 | |||
2.80%,
11/1/2039 |
10,034,000 | 11,023,822 | |||
3.00%,
5/1/2035 |
7,223,905 | 7,663,822 | |||
3.00%,
10/1/2041 |
23,823,679 | 25,145,206 | |||
3.00%,
3/1/2043 |
4,356,635 | 4,653,864 | |||
3.00%,
7/1/2043 |
7,026,576 | 7,396,613 | |||
3.00%,
1/1/2045 |
1,369,829 | 1,430,102 | |||
3.00%,
3/1/2045 |
2,114,764 | 2,237,217 | |||
3.00%,
4/1/2045 |
8,140,783 | 8,478,009 | |||
3.00%,
7/1/2045 |
26,330,845 | 28,127,252 | |||
3.00%,
10/1/2046 |
6,677,251 | 7,047,646 | |||
3.00%,
2/1/2047 |
21,755,198 | 22,961,984 | |||
3.00%,
11/1/2048 |
13,277,897 | 14,014,437 | |||
3.00%,
10/1/2049 |
7,423,618 | 7,838,771 | |||
3.00%,
4/1/2053 |
15,114,199 | 16,416,111 | |||
3.50%,
9/1/2034 |
1,891,026 | 2,027,936 | |||
3.50%,
12/1/2034 |
1,703,539 | 1,826,875 | |||
3.50%,
2/1/2035 |
1,085,586 | 1,164,182 | |||
3.50%,
1/1/2045 |
11,744,279 | 12,783,733 | |||
3.50%,
2/1/2045 |
3,476,062 | 3,726,775 | |||
3.50%,
6/1/2045 |
10,935,636 | 11,928,441 | |||
4.50%,
3/1/2044 |
1,856,932 | 2,055,361 | |||
4.50%,
6/1/2044 |
915,638 | 1,013,481 | |||
4.50%,
7/1/2044 |
770,842 | 853,212 | |||
4.50%,
2/1/2045 |
1,148,627 | 1,271,367 | |||
Series 2010-109, Class N, Class N, CMO, REMIC 3.00%,
10/25/2040 |
2,188,501 | 2,334,080 |
Security Description | Principal
Amount |
Value | |||
Series 2011-51, Class CI, Class CI, CMO, IO, REMIC 6.00% - 1 Month USD LIBOR, 5.82%, 6/25/2041
(b) |
$ 5,233,243 | $ 946,283 | |||
Series 2012-101, Class AP, Class AP, CMO, REMIC 2.00%,
8/25/2040 |
4,412,288 | 4,452,652 | |||
Series 2012-127, Class PA, Class PA, CMO, REMIC 2.75%,
11/25/2042 |
2,957,867 | 3,139,794 | |||
Series 2012-151, Class SB, Class SB, CMO, REMIC 6.00% - 1 Month USD LIBOR, 5.74%, 1/25/2043
(b) |
1,167,097 | 1,218,082 | |||
Series 2013-114, Class HZ, Class HZ, CMO, REMIC 3.00%,
11/25/2038 |
17,340,698 | 18,889,127 | |||
Series 2013-18, Class CD, Class CD, CMO, REMIC 1.50%,
10/25/2027 |
3,566,191 | 3,615,554 | |||
Series 2013-30, Class PS, Class PS, CMO, REMIC 6.00% - 1 Month USD LIBOR, 5.74%, 4/25/2043
(b) |
1,718,187 | 1,786,342 | |||
Series 2014-21, Class GZ, Class GZ, CMO, REMIC 3.00%,
4/25/2044 |
6,660,718 | 7,065,039 | |||
Series 2014-39, Class ZA, Class ZA, CMO, REMIC 3.00%,
7/25/2044 |
9,527,889 | 10,084,961 | |||
Series 2015-42, Class CA, Class CA, CMO, REMIC 3.00%,
3/25/2044 |
5,965,776 | 6,233,101 | |||
Series 2015-9, Class HA, Class HA, CMO, REMIC 3.00%,
1/25/2045 |
8,395,045 | 9,063,949 | |||
Series 2015-95, Class AP, Class AP, CMO, REMIC 3.00%,
8/25/2042 |
8,684,499 | 9,083,665 | |||
Series 2016-21, Class BZ, Class BZ, CMO, REMIC 3.00%,
4/25/2046 |
4,894,931 | 5,437,861 | |||
Series 2016-32, Class LA, Class LA, CMO, REMIC 3.00%,
10/25/2044 |
9,776,297 | 10,232,465 | |||
Series 2016-72, Class PA, Class PA, CMO, REMIC 3.00%,
7/25/2046 |
15,074,517 | 16,114,122 | |||
Series 2016-81, Class PA, Class PA, CMO, REMIC 3.00%,
2/25/2044 |
20,111,522 | 21,076,480 | |||
Series 2016-9, Class A, Class A, CMO, REMIC 3.00%,
9/25/2043 |
8,447,557 | 8,957,551 | |||
Series 2016-92, Class A, Class A, CMO, REMIC 3.00%,
4/25/2042 |
25,610,392 | 27,381,646 | |||
Series 2017-13, Class CA, Class CA, CMO, REMIC 2.50%,
10/25/2043 |
12,620,517 | 12,708,682 | |||
Series 2017-15, Class MA, Class MA, CMO, REMIC 3.00%,
2/25/2042 |
10,866,964 | 11,346,032 |
Security Description | Principal
Amount |
Value | |||
Series 2017-18, Class A, Class A, CMO, REMIC 3.00%,
8/25/2042 |
$ 28,657,321 | $ 29,233,722 | |||
Series 2017-32, Class CA, Class CA, CMO, REMIC 3.00%,
10/25/2042 |
26,861,698 | 28,137,043 | |||
Series 2017-87, Class BA, Class BA, CMO, REMIC 3.00%,
12/25/2042 |
23,019,890 | 23,739,898 | |||
Series 2017-9, Class EA, Class EA, CMO, REMIC 3.00%,
10/25/2042 |
42,408,690 | 43,214,625 | |||
Series 2018-27, Class JA, Class JA, CMO, REMIC 3.00%,
12/25/2047 |
10,401,193 | 10,893,296 | |||
Series 2018-38, Class JB, Class JB, CMO, REMIC 3.00%,
6/25/2048 |
8,658,726 | 9,011,637 | |||
Series 2018-M10, Class A1, Class A1, 3.50%, 7/25/2028
(b) |
12,976,984 | 14,408,594 | |||
Other
Securities |
9,056,284 | ||||
Total U.S. Government Agency Obligations (Cost
$1,273,430,363) |
1,331,899,563 | ||||
U.S. TREASURY OBLIGATIONS — 26.2% | |||||
Treasury Bill: | |||||
0.11%,
7/2/2020 |
66,000,000 | 65,999,830 | |||
0.12%,
8/6/2020 |
20,600,000 | 20,597,528 | |||
0.16%,
11/27/2020 |
20,000,000 | 19,986,342 | |||
0.17%,
12/3/2020 |
70,000,000 | 69,953,285 | |||
Treasury Notes: | |||||
0.13%,
4/30/2022 |
31,000,000 | 30,979,414 | |||
1.50%,
2/15/2030 |
32,000,000 | 34,595,000 | |||
1.63%,
5/15/2026 |
113,200,000 | 121,292,032 | |||
2.13%,
2/29/2024 |
81,100,000 | 86,770,664 | |||
2.13%,
7/31/2024 |
103,800,000 | 111,763,406 | |||
2.25%,
11/15/2025 |
123,900,000 | 136,502,953 | |||
2.38%,
1/31/2023 |
29,800,000 | 31,490,219 | |||
2.38%,
5/15/2029 |
43,100,000 | 49,740,094 | |||
2.63%,
2/15/2029 |
18,500,000 | 21,679,688 | |||
2.88%,
8/15/2028 |
18,900,000 | 22,384,687 | |||
3.13%,
11/15/2028 |
8,800,000 | 10,639,750 | |||
Total U.S. Treasury Obligations (Cost
$782,550,551) |
834,374,892 |
Security Description | Principal
Amount |
Value | |||
MORTGAGE-BACKED SECURITIES — 5.2% | |||||
Seasoned Credit Risk Transfer Trust Series 2019-4, Class MV, Class MV, 3.00%,
2/25/2059 |
$ 17,342,887 | $ 19,402,074 | |||
Other
Securities |
146,859,906 | ||||
Total Mortgage-Backed Securities (Cost
$173,048,709) |
166,261,980 | ||||
COMMERCIAL MORTGAGE BACKED SECURITIES — 3.2% | |||||
Other Securities (Cost
$134,933,550) |
101,691,129 |
Shares | |||
COMMON STOCKS - 0.0% (a) | |||
UNITED STATES – 0.0% (a) | |||
Tapstone Energy Holdings (c)
(d) |
5,920 | — | |
Other Security (cost:
$47,619) |
4,080 | ||
4,080 | |||
CONVERTIBLE BONDS - 0.0% (a) | |||
JAMAICA – 0.0% (a) | |||
Other Security (cost:
$49,269) |
49,269 | ||
SHORT-TERM INVESTMENT - 2.1% | |||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 0.16% (e) (f) (Cost
$67,857,504) |
67,857,504 | 67,857,504 | |
TOTAL INVESTMENTS - 99.8% (Cost
$3,116,743,431) |
3,183,593,050 | ||
OTHER ASSETS IN EXCESS OF LIABILITIES - 0.2%
|
7,649,093 | ||
NET ASSETS -
100.0% |
$ 3,191,242,143 |
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.ssga.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 is less than 0.05% of net assets. |
(b) | Variable Rate Security - Interest rate shown is rate in effect at June 30, 2020. For securities based on a published reference rate and spread, the reference rate and spread are indicated in the description above. |
(c) | Fair valued as determined in good faith by the Trust's Oversight Committee in accordance with policy and procedures approved by the Board of Trustees. Security value is determined based on Level 3 inputs. As of June 30, 2020, total aggregate fair value of the security is $0, representing less than 0.05% of the Fund's net assets. |
(d) | Non-income producing security. |
(e) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2020 are shown in the Affiliate Table below. |
(f) | The rate shown is the annualized seven-day yield at June 30, 2020. |
CMO | Collateralized Mortgage Obligation |
CMT | Constant Maturity Treasury |
IO | Interest Only |
LIBOR | London Interbank Offered Rate |
REMIC | Real Estate Mortgage Investment Conduit |
Borrower | Unfunded
Loan Commitment ($) |
Value ($) | Unrealized
Appreciation/(Depreciation) ($) | |||
Intelsat Jackson Holdings S.A. | 93,014 | 94,671 | 1,657 |
Description | Level
1 – Quoted Prices |
Level
2 – Other Significant Observable Inputs |
Level
3 – Significant Unobservable Inputs |
Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Corporate Bonds &
Notes |
$ — | $ 476,279,535 | $— | $ 476,279,535 | ||||
Asset-Backed
Securities |
— | 78,819,369 | — | 78,819,369 | ||||
Foreign Government
Obligations |
— | 30,971,059 | — | 30,971,059 | ||||
U.S. Government Agency
Obligations |
— | 1,331,899,563 | — | 1,331,899,563 | ||||
U.S. Treasury
Obligations |
— | 834,374,892 | — | 834,374,892 | ||||
Mortgage-Backed
Securities |
— | 166,261,980 | — | 166,261,980 | ||||
Commercial Mortgage Backed
Securities |
— | 101,691,129 | — | 101,691,129 | ||||
Common
Stocks |
4,080 | — | 0(a) | 4,080 | ||||
Convertible
Bonds |
— | 49,269 | — | 49,269 | ||||
Senior Floating Rate
Loans |
— | 95,384,670 | — | 95,384,670 | ||||
Short-Term
Investment |
67,857,504 | — | — | 67,857,504 | ||||
TOTAL
INVESTMENTS |
$67,861,584 | $3,115,731,466 | $ 0 | $3,183,593,050 | ||||
LIABILITIES: | ||||||||
OTHER FINANCIAL INSTRUMENTS: | ||||||||
Unfunded
Loans(b) |
— | 1,657 | — | 1,657 | ||||
TOTAL OTHER FINANCIAL
INSTRUMENTS: |
$ — | $ 1,657 | $— | $ 1,657 |
(a) | The Fund held a Level 3 security that was valued at $0 at June 30, 2020. |
(b) | Includes appreciation (depreciation) on unfunded loan commitments. |
Number
of Shares Held at 6/30/19 |
Value
at 6/30/19 |
Cost
of Purchases |
Proceeds
from Shares Sold |
Realized
Gain (Loss) |
Change
in Unrealized Appreciation/ Depreciation |
Number
of Shares Held at 6/30/20 |
Value
at 6/30/20 |
Dividend
Income | |||||||||
State Street Institutional U.S. Government Money Market Fund, Class G
Shares |
84,316,399 | $84,316,399 | $1,125,021,728 | $1,141,480,623 | $— | $— | 67,857,504 | $67,857,504 | $748,875 |
SPDR DoubleLine Emerging Markets Fixed Income ETF | SPDR DoubleLine Short Duration Total Return Tactical ETF | ||
ASSETS | |||
Investments in unaffiliated issuers, at
value |
$92,449,225 | $138,087,412 | |
Investments in affiliated issuers, at
value |
780,408 | 3,357,926 | |
Total
Investments |
93,229,633 | 141,445,338 | |
Cash |
— | 69,736 | |
Receivable for investments
sold |
423,077 | 1,096,294 | |
Dividends receivable — affiliated
issuers |
85 | 507 | |
Interest receivable — unaffiliated
issuers |
1,156,027 | 494,518 | |
Receivable from
Adviser |
7,787 | 5,991 | |
Receivable for foreign taxes
recoverable |
— | 447 | |
TOTAL ASSETS
|
94,816,609 | 143,112,831 | |
LIABILITIES | |||
Payable for investments
purchased |
264,611 | 535,710 | |
Advisory fee
payable |
57,853 | 58,301 | |
Trustees’ fees and expenses
payable |
47 | 81 | |
TOTAL LIABILITIES
|
322,511 | 594,092 | |
NET ASSETS
|
$94,494,098 | $142,518,739 | |
NET ASSETS CONSIST OF: | |||
Paid-in
Capital |
$94,686,001 | $142,031,336 | |
Total distributable earnings
(loss) |
(191,903) | 487,403 | |
NET ASSETS
|
$94,494,098 | $142,518,739 | |
NET ASSET VALUE PER SHARE | |||
Net asset value per
share |
$ 49.09 | $ 49.57 | |
Shares outstanding (unlimited amount authorized, no par
value) |
1,925,000 | 2,875,000 | |
COST OF INVESTMENTS: | |||
Investments in unaffiliated
issuers |
$90,418,404 | $137,420,100 | |
Investments in affiliated
issuers |
780,408 | 3,357,926 | |
Total cost of
investments |
$91,198,812 | $140,778,026 |
SPDR DoubleLine Total Return Tactical ETF | |
ASSETS | |
Investments in unaffiliated issuers, at
value |
$3,115,735,546 |
Investments in affiliated issuers, at
value |
67,857,504 |
Total
Investments |
3,183,593,050 |
Receivable for investments
sold |
5,464,458 |
Dividends receivable — affiliated
issuers |
10,111 |
Interest receivable — unaffiliated
issuers |
16,002,528 |
Unrealized appreciation on unfunded loan
commitments |
1,657 |
Receivable from
Adviser |
258,483 |
TOTAL ASSETS
|
3,205,330,287 |
LIABILITIES | |
Due to
custodian |
11,948 |
Payable for investments
purchased |
12,380,431 |
Advisory fee
payable |
1,686,972 |
Trustees’ fees and expenses
payable |
2,294 |
Accrued expenses and other
liabilities |
6,499 |
TOTAL LIABILITIES
|
14,088,144 |
NET ASSETS
|
$3,191,242,143 |
NET ASSETS CONSIST OF: | |
Paid-in
Capital |
$3,215,303,977 |
Total distributable earnings
(loss) |
(24,061,834) |
NET ASSETS
|
$3,191,242,143 |
NET ASSET VALUE PER SHARE | |
Net asset value per
share |
$ 49.40 |
Shares outstanding (unlimited amount authorized, no par
value) |
64,600,000 |
COST OF INVESTMENTS: | |
Investments in unaffiliated
issuers |
$3,048,885,927 |
Investments in affiliated
issuers |
67,857,504 |
Total cost of
investments |
$3,116,743,431 |
SPDR DoubleLine Emerging Markets Fixed Income ETF | SPDR DoubleLine Short Duration Total Return Tactical ETF | ||
INVESTMENT INCOME | |||
Interest income — unaffiliated
issuers |
$ 3,390,310 | $3,469,605 | |
Dividend income — affiliated
issuers |
47,366 | 59,685 | |
Foreign taxes
withheld |
— | (7) | |
TOTAL INVESTMENT INCOME
(LOSS) |
3,437,676 | 3,529,283 | |
EXPENSES | |||
Advisory
fee |
582,952 | 671,492 | |
Trustees’ fees and
expenses |
1,363 | 2,268 | |
TOTAL
EXPENSES |
584,315 | 673,760 | |
Expenses waived/reimbursed by the
Adviser |
(79,090) | (69,417) | |
NET
EXPENSES |
505,225 | 604,343 | |
NET INVESTMENT INCOME
(LOSS) |
$ 2,932,451 | $2,924,940 | |
REALIZED AND UNREALIZED GAIN (LOSS) | |||
Net realized gain (loss) on: | |||
Investments — unaffiliated
issuers |
(2,205,780) | (18,615) | |
Net change in unrealized appreciation/depreciation on: | |||
Investments — unaffiliated
issuers |
401,488 | 125,822 | |
NET REALIZED AND UNREALIZED GAIN
(LOSS) |
(1,804,292) | 107,207 | |
NET INCREASE (DECREASE) IN NET ASSETS FROM
OPERATIONS |
$ 1,128,159 | $3,032,147 |
SPDR DoubleLine Total Return Tactical ETF | |
INVESTMENT INCOME | |
Interest income — unaffiliated
issuers |
$109,341,308 |
Dividend income — affiliated
issuers |
748,875 |
TOTAL INVESTMENT INCOME
(LOSS) |
110,090,183 |
EXPENSES | |
Advisory
fee |
21,349,833 |
Trustees’ fees and
expenses |
45,839 |
Miscellaneous
expenses |
1,922 |
TOTAL
EXPENSES |
21,397,594 |
Expenses waived/reimbursed by the
Adviser |
(3,332,350) |
NET
EXPENSES |
18,065,244 |
NET INVESTMENT INCOME
(LOSS) |
$ 92,024,939 |
REALIZED AND UNREALIZED GAIN (LOSS) | |
Net realized gain (loss) on: | |
Investments — unaffiliated
issuers |
(16,611,611) |
Net change in unrealized appreciation/depreciation on: | |
Investments — unaffiliated
issuers |
52,685,559 |
Unfunded loan
commitments |
8,536 |
Net change in unrealized
appreciation/depreciation |
52,694,095 |
NET REALIZED AND UNREALIZED GAIN
(LOSS) |
36,082,484 |
NET INCREASE (DECREASE) IN NET ASSETS FROM
OPERATIONS |
$128,107,423 |
SPDR
DoubleLine Emerging Markets Fixed Income ETF | |||
Year
Ended 6/30/20 |
Year
Ended 6/30/19 | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income
(loss) |
$ 2,932,451 | $ 2,300,308 | |
Net realized gain
(loss) |
(2,205,780) | (43,081) | |
Net change in unrealized
appreciation/depreciation |
401,488 | 3,351,797 | |
Net increase (decrease) in net assets resulting from
operations |
1,128,159 | 5,609,024 | |
Net equalization credits and
charges |
68,814 | 35,847 | |
Distributions to
shareholders |
(2,929,647) | (2,240,675) | |
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||
Proceeds from shares
sold |
49,043,585 | 23,145,799 | |
Cost of shares
redeemed |
(17,996,911) | (9,812,692) | |
Net income
equalization |
(68,814) | (35,847) | |
Other
Capital |
198,648 | 95,729 | |
Net increase (decrease) in net assets from beneficial interest
transactions |
31,176,508 | 13,392,989 | |
Net increase (decrease) in net assets during the
period |
29,443,834 | 16,797,185 | |
Net assets at beginning of
period |
65,050,264 | 48,253,079 | |
NET ASSETS AT END OF
PERIOD |
$ 94,494,098 | $65,050,264 | |
SHARES OF BENEFICIAL INTEREST: | |||
Shares
sold |
1,025,000 | 475,000 | |
Shares
redeemed |
(375,000) | (200,000) | |
Net increase (decrease) from share
transactions |
650,000 | 275,000 |
SPDR
DoubleLine Short Duration Total Return Tactical ETF | |||
Year
Ended 6/30/20 |
Year
Ended 6/30/19 | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income
(loss) |
$ 2,924,940 | $ 2,463,390 | |
Net realized gain
(loss) |
(18,615) | 117,898 | |
Net change in unrealized
appreciation/depreciation |
125,822 | 1,310,293 | |
Net increase (decrease) in net assets resulting from
operations |
3,032,147 | 3,891,581 | |
Net equalization credits and
charges |
11,473 | 50,594 | |
Distributions to
shareholders |
(3,062,675) | (2,440,795) | |
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||
Proceeds from shares
sold |
33,417,005 | 41,653,504 | |
Cost of shares
redeemed |
(12,303,910) | (4,850,418) | |
Net income
equalization |
(11,473) | (50,594) | |
Other
Capital |
92,112 | 106,559 | |
Net increase (decrease) in net assets from beneficial interest
transactions |
21,193,734 | 36,859,051 | |
Net increase (decrease) in net assets during the
period |
21,174,679 | 38,360,431 | |
Net assets at beginning of
period |
121,344,060 | 82,983,629 | |
NET ASSETS AT END OF
PERIOD |
$142,518,739 | $121,344,060 | |
SHARES OF BENEFICIAL INTEREST: | |||
Shares
sold |
675,000 | 850,000 | |
Shares
redeemed |
(250,000) | (100,000) | |
Net increase (decrease) from share
transactions |
425,000 | 750,000 |
SPDR DoubleLine Total Return Tactical ETF | |||
Year
Ended 6/30/20 |
Year
Ended 6/30/19 | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income
(loss) |
$ 92,024,939 | $ 100,519,822 | |
Net realized gain
(loss) |
(16,611,611) | (29,183,284) | |
Net change in unrealized
appreciation/depreciation |
52,694,095 | 122,210,213 | |
Net increase (decrease) in net assets resulting from
operations |
128,107,423 | 193,546,751 | |
Net equalization credits and
charges |
(152,877) | 159,504 | |
Distributions to
shareholders |
(104,243,448) | (108,291,677) | |
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||
Proceeds from shares
sold |
242,342,927 | 536,959,704 | |
Cost of shares
redeemed |
(413,569,469) | (470,157,761) | |
Net income
equalization |
152,877 | (159,504) | |
Other
Capital |
1,723,362 | 2,585,534 | |
Net increase (decrease) in net assets from beneficial interest
transactions |
(169,350,303) | 69,227,973 | |
Net increase (decrease) in net assets during the
period |
(145,639,205) | 154,642,551 | |
Net assets at beginning of
period |
3,336,881,348 | 3,182,238,797 | |
NET ASSETS AT END OF
PERIOD |
$3,191,242,143 | $3,336,881,348 | |
SHARES OF BENEFICIAL INTEREST: | |||
Shares
sold |
4,950,000 | 11,250,000 | |
Shares
redeemed |
(8,500,000) | (9,950,000) | |
Net increase (decrease) from share
transactions |
(3,550,000) | 1,300,000 |
SPDR DoubleLine Emerging Markets Fixed Income ETF | |||||||||
Year
Ended 6/30/20 |
Year
Ended 6/30/19 |
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 |
$ 51.02 | $ 48.25 | $ 50.45 | $ 51.52 | $ 50.00 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss)
(a) |
1.87 | 1.98 | 1.31 | 1.77 | 0.45 | ||||
Net realized and unrealized gain
(loss) |
(2.06) | 2.60 | (1.74) | 1.91 | 1.17 | ||||
Total from investment
operations |
(0.19) | 4.58 | (0.43) | 3.68 | 1.62 | ||||
Net equalization credits and charges
(a) |
0.04 | 0.03 | 0.04 | 0.01 | — | ||||
Other capital
(a) |
0.13 | 0.08 | 0.10 | 0.05 | 0.15 | ||||
Distributions to shareholders from: | |||||||||
Net investment
income |
(1.91) | (1.92) | (1.36) | (1.81) | (0.25) | ||||
Net realized
gains |
— | — | (0.55) | (3.00) | — | ||||
Total
distributions |
(1.91) | (1.92) | (1.91) | (4.81) | (0.25) | ||||
Net asset value, end of
period |
$ 49.09 | $ 51.02 | $ 48.25 | $ 50.45 | $ 51.52 | ||||
Total return
(b) |
(0.04)% | 9.99% | (0.65)% | 7.67% | 3.55% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in
000s) |
$94,494 | $65,050 | $48,253 | $27,748 | $38,639 | ||||
Ratios to average net assets: | |||||||||
Total
expenses |
0.75% | 0.75% | 0.76% | 0.75% | 0.75%(c) | ||||
Net
expenses |
0.65% | 0.65% | 0.65% | 0.65% | 0.65%(c) | ||||
Net investment income
(loss) |
3.77% | 4.06% | 2.64% | 3.46% | 4.15%(c) | ||||
Portfolio turnover rate
(d) |
54% | 37% | 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 year. |
(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. |
SPDR DoubleLine Short Duration Total Return Tactical ETF | |||||||||
Year
Ended 6/30/20 |
Year
Ended 6/30/19 |
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 |
$ 49.53 | $ 48.81 | $ 49.61 | $ 50.40 | $ 50.00 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss)
(a) |
1.08 | 1.30 | 1.02 | 1.04 | 0.22 | ||||
Net realized and unrealized gain
(loss) |
0.07 | 0.62 | (0.99) | (0.53) | 0.20 | ||||
Total from investment
operations |
1.15 | 1.92 | 0.03 | 0.51 | 0.42 | ||||
Net equalization credits and charges
(a) |
0.00(b) | 0.03 | 0.05 | 0.00(b) | — | ||||
Other capital
(a) |
0.03 | 0.06 | 0.12 | 0.06 | 0.10 | ||||
Distributions to shareholders from: | |||||||||
Net investment
income |
(1.14) | (1.29) | (1.00) | (1.13) | (0.12) | ||||
Net realized
gains |
— | — | — | (0.23) | — | ||||
Total
distributions |
(1.14) | (1.29) | (1.00) | (1.36) | (0.12) | ||||
Net asset value, end of
period |
$ 49.57 | $ 49.53 | $ 48.81 | $ 49.61 | $ 50.40 | ||||
Total return
(c) |
2.43% | 4.18% | 0.43% | 1.14% | 1.04% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in
000s) |
$142,519 | $121,344 | $82,984 | $34,725 | $50,404 | ||||
Ratios to average net assets: | |||||||||
Total
expenses |
0.50% | 0.50% | 0.50% | 0.50% | 0.50%(d) | ||||
Net
expenses |
0.45% | 0.45% | 0.45% | 0.45% | 0.45%(d) | ||||
Net investment income
(loss) |
2.18% | 2.65% | 2.07% | 2.10% | 2.06%(d) | ||||
Portfolio turnover rate
(e) |
43% | 62% | 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 year. |
(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. |
SPDR DoubleLine Total Return Tactical ETF | |||||||||
Year
Ended 6/30/20 |
Year
Ended 6/30/19 |
Year
Ended 6/30/18(a) |
Year
Ended 6/30/17(a) |
Year
Ended 6/30/16(a) | |||||
Net asset value, beginning of
period |
$ 48.96 | $ 47.60 | $ 49.03 | $ 49.87 | $ 49.43 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss)
(b) |
1.37 | 1.56 | 1.34 | 1.33 | 1.54 | ||||
Net realized and unrealized gain (loss)
(c) |
0.59 | 1.44 | (1.34) | (0.66) | 0.34 | ||||
Total from investment
operations |
1.96 | 3.00 | — | 0.67 | 1.88 | ||||
Net equalization credits and charges
(b) |
(0.00)(d) | 0.00(d) | 0.00(d) | 0.01 | 0.07 | ||||
Other capital
(b) |
0.03 | 0.04 | 0.02 | 0.04 | 0.03 | ||||
Distributions to shareholders from: | |||||||||
Net investment
income |
(1.55) | (1.68) | (1.45) | (1.48) | (1.54) | ||||
Net realized
gains |
— | — | — | (0.08) | — | ||||
Total
distributions |
(1.55) | (1.68) | (1.45) | (1.56) | (1.54) | ||||
Net asset value, end of
period |
$ 49.40 | $ 48.96 | $ 47.60 | $ 49.03 | $ 49.87 | ||||
Total return
(e) |
4.13% | 6.53% | 0.04% | 1.55% | 4.03% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in
000s) |
$3,191,242 | $3,336,881 | $3,182,239 | $3,353,801 | $2,657,951 | ||||
Ratios to average net assets: | |||||||||
Total
expenses |
0.65% | 0.65% | 0.65% | 0.66% | 0.65% | ||||
Net
expenses |
0.55% | 0.55% | 0.55% | 0.55% | 0.55% | ||||
Net investment income
(loss) |
2.80% | 3.27% | 2.78% | 2.70% | 3.14% | ||||
Portfolio turnover
rate |
25%(f) | 47%(f) | 34%(g) | 72%(g) | 38%(g) |
(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. |
(b) | Per share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the year. |
(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) | Portfolio turnover rate excludes securities received or delivered from in-kind processing of creations or redemptions. |
(g) | Portfolio turnover is from the Fund's Portfolio prior to discontinuance of master-feeder structure. |
SPDR DoubleLine Emerging Markets Fixed Income ETF |
SPDR DoubleLine Short Duration Total Return Tactical ETF |
SPDR DoubleLine Total Return Tactical ETF |
SPDR DoubleLine Emerging Markets Fixed Income ETF |
SPDR DoubleLine Short Duration Total Return Tactical ETF |
SPDR DoubleLine Total Return Tactical ETF |
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 |
U.S. Government Obligations | Other Securities | ||||||
Purchases | Sales | Purchases | Sales | ||||
SPDR DoubleLine Emerging Markets Fixed Income
ETF |
$ — | $ — | $ 63,893,208 | $ 39,050,539 | |||
SPDR DoubleLine Short Duration Total Return Tactical
ETF |
24,361,919 | 11,281,469 | 41,958,342 | 33,143,328 | |||
SPDR DoubleLine Total Return Tactical
ETF |
642,730,439 | 183,654,087 | 430,656,870 | 561,632,423 |
Ordinary
Income |
Long-Term
Capital Gains |
Total | |||
SPDR DoubleLine Emerging Markets Fixed Income
ETF |
$ 2,929,647 | $— | $ 2,929,647 | ||
SPDR DoubleLine Short Duration Total Return Tactical
ETF |
3,062,675 | — | 3,062,675 | ||
SPDR DoubleLine Total Return Tactical
ETF |
104,243,448 | — | 104,243,448 |
Ordinary
Income |
Long-Term
Capital Gains |
Total | |||
SPDR DoubleLine Emerging Markets Fixed Income
ETF |
$ 2,240,675 | $ — | $ 2,240,675 | ||
SPDR DoubleLine Short Duration Total Return Tactical
ETF |
2,440,795 | — | 2,440,795 | ||
SPDR DoubleLine Total Return Tactical
ETF |
108,291,677 | — | 108,291,677 |
Undistributed
Ordinary Income |
Capital
Loss Carryforwards |
Undistributed
Long-Term Capital Gains |
Net
Unrealized Gains (Losses) |
Qualified
Late-Year Losses |
Total | ||||||
SPDR DoubleLine Emerging Markets Fixed Income
ETF |
$ 148,324 | $ (2,331,735) | $— | $ 1,991,508 | $— | $ (191,903) | |||||
SPDR DoubleLine Short Duration Total Return Tactical
ETF |
89,803 | (257,417) | — | 655,017 | — | 487,403 | |||||
SPDR DoubleLine Total Return Tactical
ETF |
9,255,922 | (99,950,099) | — | 66,632,343 | — | (24,061,834) |
Non-Expiring
Short Term |
Non-Expiring
Long Term | ||
SPDR DoubleLine Emerging Markets Fixed Income
ETF |
$ 500,315 | $ 1,831,420 | |
SPDR DoubleLine Short Duration Total Return Tactical
ETF |
59,288 | 198,129 | |
SPDR DoubleLine Total Return Tactical
ETF |
16,850,299 | 83,099,800 |
Tax
Cost |
Gross
Unrealized Appreciation |
Gross
Unrealized Depreciation |
Net
Unrealized Appreciation (Depreciation) | ||||
SPDR DoubleLine Emerging Markets Fixed Income
ETF |
$ 91,238,080 | $ 3,353,472 | $ 1,361,919 | $ 1,991,553 | |||
SPDR DoubleLine Short Duration Total Return Tactical
ETF |
140,790,321 | 2,116,208 | 1,461,191 | 655,017 | |||
SPDR DoubleLine Total Return Tactical
ETF |
3,116,962,364 | 137,190,878 | 70,560,192 | 66,630,686 |
Individual fund constituting the SSGA Active Trust | Statement of operations | Statement of changes in net assets | Financial highlights |
SPDR
DoubleLine Emerging Markets Fixed Income ETF SPDR DoubleLine Short Duration Total Return Tactical ETF |
For the year ended June 30, 2020 | For each of the two years in the period ended June 30, 2020 | For each of the two years in the period ended June 30, 2020 and the period from April 14, 2016 (commencement of operations) through June 30, 2016 |
SPDR DoubleLine Total Return Tactical ETF | For the year ended June 30, 2020 | For each of the two years in the period ended June 30, 2020 | For each of the five years in the period ended June 30, 2020 |
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 |
$ 979.50 | $1,010.70 | $1,024.70 | ||
Expenses Paid During
Period(a) |
3.20 | 2.25 | 2.77 | ||
Hypothetical (assuming a 5% return before expenses): | |||||
Ending Account
Value |
1,021.60 | 1,022.60 | 1,022.10 | ||
Expenses Paid During
Period(a) |
3.27 | 2.26 | 2.77 |
(a) | Expenses are equal to the Fund's annualized net expense ratio multiplied by the average account value of the period, multiplied by 182, then divided by 366. |
Name,
Address and Year of Birth |
Position(s)
with Funds |
Term
of Office and Length of Time Served |
Principal
Occupation(s) During Past 5 Years |
Number
of Portfolios in Fund Complex Overseen by Trustee† |
Other
Directorships Held by Trustee During the Past 5 Years | |||||
Trustees | ||||||||||
Independent Trustees | ||||||||||
FRANK
NESVET c/o SSGA Active Trust One Iron Street Boston, MA 02210 1943 |
Independent
Trustee, Chairman, Trustee Committee Chair |
Term:
Unlimited Served: since March 2011 |
Retired. | 123 | None. | |||||
BONNY
EUGENIA BOATMAN c/o SSGA Active Trust One Iron Street Boston, MA 02210 1950 |
Independent
Trustee |
Term:
Unlimited Served: since March 2011 |
Retired. | 123 | None. | |||||
DWIGHT
D. CHURCHILL c/o SSGA Active Trust One Iron Street Boston, MA 02210 1953 |
Independent
Trustee |
Term:
Unlimited Served: since March 2011 |
Self-employed
consultant since 2010; CEO and President, CFA Institute (June 2014-January 2015). |
123 | Affiliated
Managers Group, Inc. (Chairman, Director and Audit Committee Chair). |
Name,
Address and Year of Birth |
Position(s)
with Funds |
Term
of Office and Length of Time Served |
Principal
Occupation(s) During Past 5 Years |
Number
of Portfolios in Fund Complex Overseen by Trustee† |
Other
Directorships Held by Trustee During the Past 5 Years | |||||
CLARE
S. RICHER c/o SSGA Active Trust One Iron Street Boston, MA 02210 1958 |
Independent
Trustee |
Term:
Unlimited Served: since July 2018 |
Retired.
Chief Financial Officer, Putnam Investments LLC (December 2008- May 2017). |
123 | Principal
Financial Group (Director); Bain Capital Specialty Finance (Director); Putnam Acquisition Financing Inc. (Director); Putnam Acquisition Financing LLC (Director); Putnam GP Inc. (Director); Putnam Investor Services, Inc. (Director); University of Notre Dame (Trustee). |
Name,
Address and Year of Birth |
Position(s)
with Funds |
Term
of Office and Length of Time Served |
Principal
Occupation(s) During Past 5 Years |
Number
of Portfolios in Fund Complex Overseen by Trustee† |
Other
Directorships Held by Trustee During the Past 5 Years | |||||
SANDRA
G. SPONEM c/o SSGA Active Trust One Iron Street Boston, MA 02210 1958 |
Independent
Trustee |
Term:
Unlimited Served: since July 2018 |
Retired.
Chief Financial Officer, M.A. Mortenson Companies, Inc. (February 2007- April 2017). |
123 | Rydex
Series Funds, Rydex Dynamic Funds, Rydex Variable Trust, Guggenheim Funds Trust, Guggenheim Variable Funds Trust, Guggenheim Strategy Funds Trust, Transparent Value Trust, Fiduciary/ Claymore Energy Infrastructure Fund, Guggenheim Taxable Municipal Managed Duration Trust, Guggenheim Strategic Opportunities Fund, Guggenheim Enhanced, Equity Income Fund, Guggenheim Credit Allocation Fund, Guggenheim Energy & Income Fund (Trustee and Audit Committee Chair). | |||||
CARL
G. VERBONCOEUR c/o SSGA Active Trust One Iron Street Boston, MA 02210 1952 |
Independent
Trustee, Audit Committee Chair |
Term:
Unlimited Served: since March 2011 |
Self-employed
consultant since 2009. |
123 | The
Motley Fool Funds Trust (Trustee). |
Name,
Address and Year of Birth |
Position(s)
with Funds |
Term
of Office and Length of Time Served |
Principal
Occupation(s) During Past 5 Years |
Number
of Portfolios in Fund Complex Overseen by Trustee† |
Other
Directorships Held by Trustee During the Past 5 Years | |||||
Interested Trustee | ||||||||||
JAMES
E. ROSS* c/o SSGA Active Trust One Iron Street Boston, MA 02210 1965 |
Interested
Trustee |
Term:
Unlimited Served as Trustee: since March 2011 |
Non-Executive
Chairman, Fusion Acquisition Corp. (June 2020 - Present); Retired Chairman and Director, SSGA Funds Management, Inc. (2005 - March 2020); Retired Executive Vice President, State Street Global Advisors (2012 - March 2020); Retired Chief Executive Officer and Director, State Street Global Advisors Funds Distributors, LLC (May 2017 - March 2020); Director, State Street Global Markets, LLC (2013 - April 2017); President, SSGA Funds Management, Inc. (2005 - 2012); Principal, State Street Global Advisors (2000 - 2005). |
134 | SSGA
SPDR ETFs Europe I plc (Director) (November 2016 - March 2020); SSGA SPDR ETFs Europe II plc (Director) (November 2016 - March 2020); State Street Navigator Securities Lending Trust (July 2016 - March 2020); SSGA Funds (January 2014 - March 2020); State Street Institutional Investment Trust (February 2007 - March 2020); State Street Master Funds (February 2007 - March 2020); Elfun Funds (July 2016 - December 2018). | |||||
† For the purpose of determining the number of portfolios overseen by the Trustees, “Fund Complex” comprises registered investment companies for which SSGA Funds Management, Inc. serves as investment adviser. | ||||||||||
* Mr. Ross is an Interested Trustee because of his former position with the Adviser and ownership interest in an affiliate of the Adviser. |
Name,
Address and Year of Birth |
Position(s)
with Funds |
Term
of Office and Length of Time Served |
Principal Occupation(s) During the Past 5 Years | |||
Officers | ||||||
ELLEN
M. NEEDHAM SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1967 |
President | Term:
Unlimited Served: since October 2012 |
Chairman, SSGA Funds Management, Inc. (March 2020 - present); President and Director, SSGA Funds Management, Inc. (2001 - present)*; Senior Managing Director, State Street Global Advisors (1992 - present)*; Manager, State Street Global Advisors Funds Distributors, LLC (May 2017 - present). | |||
BRUCE
S. ROSENBERG SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1961 |
Treasurer | Term:
Unlimited Served: since February 2016 |
Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (July 2015 - present); Director, Credit Suisse (April 2008 - July 2015). | |||
ANN
M. CARPENTER SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1966 |
Vice
President; Deputy Treasurer |
Term:
Unlimited Served: since August 2012 (with respect to Vice President); since February 2016 (with respect to Deputy Treasurer) |
Chief Operating Officer, SSGA Funds Management, Inc. (2005 - Present)*; Managing Director, State Street Global Advisors (2005 - present).* | |||
MICHAEL
P. RILEY SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1969 |
Vice
President |
Term:
Unlimited Served: since March 2011 |
Managing Director, State Street Global Advisors (2005 - present).* | |||
SEAN
O’MALLEY SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1969 |
Chief
Legal Officer |
Term:
Unlimited Served: since August 2019 |
Senior Vice President and Deputy General Counsel, State Street Global Advisors (November 2013 -present). | |||
ANDREW
DELORME SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1975 |
Secretary | Term:
Unlimited Served: since August 2019 |
Vice President and Senior Counsel, State Street Global Advisors (April 2016 - present); Vice President and Counsel, State Street Global Advisors (August 2014 - March 2016). |
Name,
Address and Year of Birth |
Position(s)
with Funds |
Term
of Office and Length of Time Served |
Principal Occupation(s) During the Past 5 Years | |||
KEVIN
MORRIS SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1982 |
Assistant
Secretary |
Term:
Unlimited Served: since August 2019 |
Vice President and Senior Counsel, State Street Global Advisors (April 2019 - present); Vice President and Counsel, State Street Global Advisors (January 2016 -April 2019); Director, Asset Management Compliance, Fidelity Investments (June 2015 - January 2016); Senior Compliance Advisor, Asset Management Compliance, Fidelity Investments (June 2012 - June 2015). | |||
DAVID
URMAN SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1985 |
Assistant
Secretary |
Term:
Unlimited Served: since August 2019 |
Vice President and Senior Counsel, State Street Global Advisors (April 2019 - present); Vice President and Counsel, State Street Global Advisors (August 2015 - April 2019); Associate, Ropes & Gray LLP (November 2012 - August 2015). | |||
CHAD
C. HALLETT SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1969 |
Deputy
Treasurer |
Term:
Unlimited Served: since February 2016 |
Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (November 2014 - present); Vice President, State Street Bank and Trust Company (2001 - November 2014).* | |||
DARLENE
ANDERSON-VASQUEZ SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1968 |
Deputy
Treasurer |
Term:
Unlimited Served: since November 2016 |
Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (May 2016 - present); Senior Vice President, John Hancock Investments (September 2007 - May 2016). | |||
ARTHUR
A. JENSEN SSGA Funds Management, Inc. 1600 Summer Street Stamford, CT 06905 1966 |
Deputy
Treasurer |
Term:
Unlimited Served: Since August 2017 |
Vice President at State Street Global Advisors (July 2016 – present); Mutual Funds Controller of GE Asset Management Incorporated (April 2011 - July 2016). | |||
SUJATA
UPRETI SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1974 |
Assistant
Treasurer |
Term:
Unlimited Served: since February 2016 |
Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (May 2015 - present). | |||
DANIEL
FOLEY SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1972 |
Assistant
Treasurer |
Term:
Unlimited Served: since February 2016 |
Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (April 2007 - present).* |
Name,
Address and Year of Birth |
Position(s)
with Funds |
Term
of Office and Length of Time Served |
Principal Occupation(s) During the Past 5 Years | |||
DANIEL
G. PLOURDE SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1980 |
Assistant
Treasurer |
Term:
Unlimited Served: since May 2017 |
Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (May 2015 - present); Officer, State Street Bank and Trust Company (March 2009 - May 2015). | |||
BRIAN
HARRIS SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1973 |
Chief
Compliance Officer; Anti-Money Laundering Officer; Code of Ethics Compliance Officer |
Term:
Unlimited Served: since November 2013 |
Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (June 2013 - present)*; Senior Vice President and Global Head of Investment Compliance, BofA Global Capital Management (2010 - 2013); Director of Compliance, AARP Financial Inc. (2008 - 2010). | |||
* Served in various capacities and/or with various affiliated entities during noted time period. | ||||||
The Statement of Additional Information (SAI) includes additional information about the Funds' trustees and is available, without charge, upon request and by calling 1-866-787-2257. |
SPDR Blackstone / GSO Senior Loan ETF |
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1 |
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2 |
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7 |
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32 |
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35 |
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36 |
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47 |
|
49 |
Cumulative Total Return | Average Annual Total Return | ||||||||
Net
Asset Value |
Market
Value |
Markit iBoxx USD Liquid Leveraged Loan Index | Net
Asset Value |
Market
Value |
Markit iBoxx USD Liquid Leveraged Loan Index | ||||
ONE YEAR(1) | – 1.23% | – 1.23% | – 3.08% | – 1.23% | – 1.23% | – 3.08% | |||
FIVE YEARS(1) | 10.74% | 10.65% | 8.88% | 2.06% | 2.04% | 1.72% | |||
SINCE INCEPTION(1) (2) | 17.08% | 17.00% | 15.00% | 2.20% | 2.19% | 1.95% | |||
(1) | The One Year, Five Year and Since Inception Cumulative Total Returns for the Fund’s secondary benchmark, S&P/LSTA U.S. Leveraged Loan 100 Index, were (0.47)%, 15.65% and 22.15%, respectively. The One Year, Five Year and Since Inception Average Annual Total Returns for the Fund’s secondary benchmark, S&P/LSTA U.S. Leveraged Loan 100 Index, were (0.47)%, 2.95% and 2.80%, respectively. |
(2) | For the period April 3, 2013 to June 30, 2020. |
Description | % of Net Assets | ||
Asurion
LLC Senior Secured 2017 2nd Lien Term Loan 6.68% 8/4/2025 |
2.2% | ||
Bass
Pro Group LLC Senior Secured Term Loan B 6.07% 9/25/2024 |
2.2 | ||
Univision
Communications, Inc. 6.63% 6/1/2027 |
1.4 | ||
Envision
Healthcare Corporation Senior Secured 2018 1st Lien Term Loan 3.93% 10/10/2025 |
1.3 | ||
Banff
Merger Sub, Inc. Senior Secured 2018 USD Term Loan B 4.43% 10/2/2025 |
1.2 | ||
TOTAL | 8.3% |
% of Net Assets | |||
Health Care Providers & Services | 9.8% | ||
Software | 9.1 | ||
Commercial Services & Supplies | 9.1 | ||
Media | 9.0 | ||
Specialty Retail | 4.5 | ||
Diversified Financial Services | 3.8 | ||
Insurance | 3.7 | ||
Pharmaceuticals | 3.3 | ||
Hotels, Restaurants & Leisure | 2.6 | ||
Chemicals | 2.6 | ||
Professional Services | 2.5 | ||
IT Services | 2.4 | ||
Communications Equipment | 2.1 | ||
Retail-Restaurants | 1.9 | ||
Interactive Media & Services | 1.8 | ||
Auto Components | 1.7 | ||
Commercial Services | 1.6 | ||
Health Care Equipment & Supplies | 1.5 | ||
Aerospace & Defense | 1.4 | ||
Machinery | 1.3 | ||
Construction & Engineering | 1.2 | ||
Computer Services | 1.1 | ||
Entertainment | 1.1 | ||
Electronic Equipment, Instruments & Components | 1.0 | ||
Diversified Consumer Services | 1.0 | ||
Cosmetics&Toiletries | 1.0 | ||
Advertising Services | 0.9 | ||
Machinery-Construction & Mining | 0.9 | ||
Diversified Telecommunication Services | 0.8 | ||
Real Estate Investment Trusts (REITs) | 0.8 |
% of Net Assets | |||
Building Products | 0.7% | ||
Construction Materials | 0.7 | ||
Hand/Machine Tools and Related Products | 0.7 | ||
Containers & Packaging | 0.6 | ||
Finance-Other Services | 0.6 | ||
Electrical Equipment | 0.6 | ||
Industrial Conglomerates | 0.6 | ||
Oil, Gas & Consumable Fuels | 0.5 | ||
Telecommunication Equip | 0.5 | ||
Casino Services | 0.5 | ||
Retail-Petroleum Product | 0.5 | ||
Food & Beverage | 0.5 | ||
Internet & Catalog Retail | 0.3 | ||
Financial Services | 0.3 | ||
Capital Markets | 0.3 | ||
Recycling | 0.3 | ||
Pipelines | 0.3 | ||
Food Products | 0.2 | ||
Semiconductor Equipment | 0.2 | ||
Containers-Paper/Plastic | 0.2 | ||
Multiline Retail | 0.2 | ||
Computers | 0.2 | ||
Transport-Equip&Leasng | 0.2 | ||
Apparel Manufacturers | 0.2 | ||
Life Sciences Tools & Services | 0.1 | ||
Trading Companies & Distributors | 0.1 | ||
Thrifts & Mortgage Finance | 0.1 | ||
Auto/Trk Prts&Equip-Repl | 0.1 | ||
Communications Software | 0.1 | ||
Retail-Apparel/Shoe | 0.1 | ||
Automobiles | 0.1 | ||
Home Furnishings | 0.1 | ||
Health Care Technology | 0.0 * | ||
Pollution Control | 0.0 * | ||
Airlines | 0.0 * | ||
Food & Staples Retailing | 0.0 * | ||
Road & Rail | 0.0 * | ||
Food-Misc/Diversified | 0.0 * | ||
Consumer Finance | 0.0 * | ||
Energy-Alternate Sources | 0.0 * | ||
Short-Term Investment | 8.4 | ||
Liabilities in Excess of Other Assets | (4.6) | ||
TOTAL | 100.0% | ||
* | Amount shown represents less than 0.05% of net assets. |
Security Description | Principal
Amount |
Value | |||
SENIOR FLOATING RATE LOANS — 82.0% (a) | |||||
ADVERTISING SERVICES — 0.9% | |||||
AppLovin Corp. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 3.50%, 3.68%,
8/15/2025 |
$ 3,053,713 | $ 2,972,270 | |||
Red Ventures LLC Senior Secured 2020 Term Loan B, 1 Month USD LIBOR + 2.50%, 2.68%,
11/8/2024 |
1,147,222 | 1,089,506 | |||
Terrier Media Buyer, Inc. Senior Secured Term Loan B, 1 Month USD LIBOR + 4.25%, 4.43%,
12/17/2026 |
9,604,487 | 9,196,296 | |||
13,258,072 | |||||
AEROSPACE & DEFENSE — 1.2% | |||||
TransDigm, Inc.: | |||||
Senior Secured 2020 Term Loan E, 1 Month USD LIBOR + 2.25%, 2.43%,
5/30/2025 |
1,718,996 | 1,552,871 | |||
Senior Secured 2020 Term Loan F, 1 Month USD LIBOR + 2.25%, 2.43%,
12/9/2025 |
13,064,372 | 11,826,719 | |||
Senior Secured 2020 Term Loan G, 1 Month USD LIBOR + 2.25%, 2.43%,
8/22/2024 |
4,456,612 | 4,052,130 | |||
17,431,720 | |||||
AIRLINES — 0.0% (b) | |||||
American Airlines, Inc. Senior Secured 2017 1st Lien Term Loan, 1 Month USD LIBOR + 1.75%, 1.93%,
1/29/2027 |
4,709 | 3,616 | |||
AUTO COMPONENTS — 1.7% | |||||
Belron Finance US LLC Senior Secured 2019 USD Term Loan B, 3 Month USD LIBOR + 2.50%, 3.26%,
10/30/2026 |
778,696 | 755,985 | |||
Panther BF Aggregator 2 L.P. Senior Secured USD Term Loan B, 1 Month USD LIBOR + 3.50%, 3.68%,
4/30/2026 |
17,301,021 | 16,544,102 | |||
USI, Inc.: | |||||
Senior Secured 2017 Repriced Term Loan, 3 Month USD LIBOR + 3.00%, 3.31%,
5/16/2024 |
1,321,479 | 1,258,048 | |||
Senior Secured 2019 Incremental Term Loan B, 3 Month USD LIBOR + 4.00%, 4.31%,
12/2/2026 |
6,195,283 | 6,034,608 | |||
24,592,743 |
Security Description | Principal
Amount |
Value | |||
BUILDING PRODUCTS — 0.7% | |||||
Builders FirstSource, Inc. Senior Secured 2017 Term Loan B, 3 Month USD LIBOR + 3.00%, 4.00%,
2/29/2024 |
$ 216,417 | $ 209,429 | |||
CPG International, Inc. Senior Secured 2017 Term Loan, 12 Month USD LIBOR + 3.75%, 4.75%,
5/5/2024 |
2,588,894 | 2,571,911 | |||
Jeld-Wen, Inc. Senior Secured 2017 1st Lien Term Loan, 1 Month USD LIBOR + 2.00%, 2.18%,
12/14/2024 |
362,790 | 342,951 | |||
NCI Building Systems, Inc. Senior Secured 2018 Term Loan, 1 Month USD LIBOR + 3.75%, 3.94%,
4/12/2025 |
6,977,125 | 6,669,713 | |||
9,794,004 | |||||
CAPITAL MARKETS — 0.3% | |||||
AqGen Ascensus, Inc. Senior Secured 2017 Repriced Term Loan, 3 Month USD LIBOR + 4.00%, 5.07%,
12/3/2022 |
3,751,046 | 3,668,223 | |||
CASINO SERVICES — 0.5% | |||||
Stars Group Holdings B.V. Senior Secured 2018 USD Incremental Term Loan, 7/10/2025
(c) |
6,676,821 | 6,652,985 | |||
CHEMICALS — 2.3% | |||||
Ascend Performance Materials Operations LLC Senior Secured 2019 Term Loan B, 3 Month USD LIBOR + 5.25%, 6.25%,
8/27/2026 |
3,957,563 | 3,894,915 | |||
Axalta Coating Systems US Holdings, Inc. Senior Secured USD Term Loan B3, 3 Month USD LIBOR + 1.75%, 2.06%,
6/1/2024 |
231,263 | 222,339 | |||
Composite Resins Holding B.V. Senior Secured 2018 Term Loan B, 6 Month USD LIBOR + 4.25%, 5.47%,
8/1/2025 |
7,006,642 | 6,726,376 | |||
Messer Industries GmbH Senior Secured 2018 USD Term Loan, 3 Month USD LIBOR + 2.50%, 2.81%,
3/1/2026 |
1,468,694 | 1,405,474 | |||
PQ Corporation Senior Secured 2020 USD Incremental Term Loan B, 2/7/2027
(c) |
2,313,167 | 2,239,435 | |||
Starfruit Finco B.V. Senior Secured 2018 USD Term Loan B, 1 Month USD LIBOR + 3.00%, 3.19%,
10/1/2025 |
18,858,020 | 17,773,684 | |||
32,262,223 |
Security Description | Principal
Amount |
Value | |||
COMMERCIAL SERVICES — 0.5% | |||||
ERM Emerald US Inc. Senior Secured USD Term Loan B1, 3 Month USD LIBOR + 3.75%, 4.06%,
7/10/2026 |
$ 5,103,093 | $ 4,918,106 | |||
LegalZoom.com, Inc. Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 4.50%, 4.68%,
11/21/2024 |
1,726,483 | 1,691,953 | |||
Wand NewCo 3, Inc. Senior Secured 2020 Term Loan, 3 Month USD LIBOR + 3.00%, 4.07%,
2/5/2026 |
368,518 | 351,014 | |||
6,961,073 | |||||
COMMERCIAL SERVICES & SUPPLIES — 8.9% | |||||
Allied Universal Holdco LLC Senior Secured 2019 Term Loan B, 1 Month USD LIBOR + 4.25%, 4.43%,
7/10/2026 |
3,979,999 | 3,874,410 | |||
Ancestry.com Operations, Inc. Senior Secured 2019 Extended Term Loan B, 1 Month USD LIBOR + 4.25%, 5.25%,
8/27/2026 |
2,826,993 | 2,694,039 | |||
ASGN Incorporated Senior Secured 2019 Term Loan B3, 1 Month USD LIBOR + 1.75%, 1.93%,
4/2/2025 |
361,999 | 352,541 | |||
Asurion LLC: | |||||
Senior Secured 2017 2nd Lien Term Loan, 1 Month USD LIBOR + 6.50%, 6.68%,
8/4/2025 |
31,913,822 | 31,834,037 | |||
Senior Secured 2017 Term Loan B4, 1 Month USD LIBOR + 3.00%, 3.18%,
8/4/2022 |
2,916,324 | 2,847,061 | |||
Senior Secured 2018 Term Loan B6, 3 Month USD LIBOR + 3.00%, 3.18%,
11/3/2023 |
11,567,650 | 11,224,206 | |||
Senior Secured 2018 Term Loan B7, 1 Month USD LIBOR + 3.00%, 3.18%,
11/3/2024 |
290,332 | 281,139 | |||
Cast and Crew Payroll LLC Senior Secured 2019 1st Lien Term Loan, 1 Month USD LIBOR + 3.75%, 3.93%,
2/9/2026 |
4,533,882 | 4,176,862 | |||
Coinamatic Canada, Inc. Senior Secured Canadian 1st Lien Term Loan, 1 Month USD LIBOR + 3.25%, 4.25%,
5/14/2022 |
249,220 | 240,082 | |||
Comet Acquisition, Inc. Senior Secured Term Loan, 3 Month USD LIBOR + 3.50%, 3.81%,
10/24/2025 |
4,029,545 | 3,767,625 | |||
Emerald TopCo, Inc. Senior Secured Term Loan, 3 Month USD LIBOR + 3.50%, 4.26%,
7/24/2026 |
539,743 | 523,551 |
Security Description | Principal
Amount |
Value | |||
EnergySolutions LLC Senior Secured 2018 Term Loan B, 3 Month USD LIBOR + 3.75%, 4.75%,
5/9/2025 |
$ 5,243,350 | $ 4,867,559 | |||
Garda World Security Corporation Senior Secured 2018 1st Lien Term Loan B, 3 Month USD LIBOR + 4.75%, 4.93%,
10/30/2026 |
10,316,877 | 10,156,966 | |||
Guidehouse LLP Senior Secured 2018 Term Loan, 1 Month USD LIBOR + 4.50%, 4.68%,
5/1/2025 |
4,541,052 | 4,416,173 | |||
KAR Auction Services, Inc. Senior Secured 2019 Term Loan B6, 1 Month USD LIBOR + 2.25%, 2.50%,
9/19/2026 |
288,493 | 274,429 | |||
Learning Care Group, Inc. Senior Secured 2018 1st Lien Term Loan, 3 Month USD LIBOR + 3.25%, 4.25%,
3/13/2025 |
4,947,963 | 4,380,481 | |||
Lineage Logistics Holdings LLC Senior Secured 2018 Term Loan, 1 Month USD LIBOR + 3.00%, 4.00%,
2/27/2025 |
941,880 | 914,801 | |||
National Intergovernmental Purchasing Alliance Co. Senior Secured 1st Lien Term Loan, 3 Month USD LIBOR + 3.75%, 4.06%,
5/23/2025 |
5,626,273 | 5,457,485 | |||
Packers Holdings LLC Senior Secured 2017 Term Loan B, 1 Month USD LIBOR + 3.00%, 4.00%,
12/4/2024 |
804,632 | 775,666 | |||
Prime Security Services Borrower LLC Senior Secured 2019 Term Loan B1, 6 Month USD LIBOR + 3.25%, 4.25%,
9/23/2026 |
3,680,418 | 3,548,162 | |||
SSH Group Holdings, Inc. Senior Secured 2018 1st Lien Term Loan, 3 Month USD LIBOR + 4.25%, 4.56%,
7/30/2025 |
5,087,361 | 4,743,964 | |||
TruGreen Ltd. Partnership Senior Secured 2019 Term Loan, 1 Month USD LIBOR + 3.75%, 3.93%,
3/19/2026 |
6,605,999 | 6,440,849 | |||
USS Ultimate Holdings, Inc. Senior Secured 1st Lien Term Loan, 3 Month USD LIBOR + 3.75%, 4.75%,
8/25/2024 |
805,279 | 760,582 | |||
Verscend Holding Corp. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 4.50%, 4.68%,
8/27/2025 |
15,573,943 | 15,104,778 | |||
VT Topco, Inc. Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 3.50%, 3.68%,
8/1/2025 |
4,535,559 | 4,195,392 | |||
127,852,840 |
Security Description | Principal
Amount |
Value | |||
COMMUNICATIONS EQUIPMENT — 2.1% | |||||
Avaya, Inc. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 4.25%, 4.43%,
12/15/2024 |
$ 14,651,905 | $ 13,574,990 | |||
CommScope, Inc. Senior Secured 2019 Term Loan B, 1 Month USD LIBOR + 3.25%, 3.43%,
4/6/2026 |
10,481,944 | 9,966,600 | |||
Securus Technologies Holdings, Inc. Senior Secured 2017 1st Lien Term Loan, 6 Month USD LIBOR + 4.50%, 5.50%,
11/1/2024 |
1,567,883 | 1,310,812 | |||
Zayo Group Holdings, Inc. Senior Secured USD Term Loan, 1 Month USD LIBOR + 3.00%, 3.18%,
3/9/2027 |
5,204,428 | 4,956,957 | |||
29,809,359 | |||||
COMPUTER SERVICES — 1.1% | |||||
ConvergeOne Holdings, Inc. Senior Secured 2019 Term Loan, 1 Month USD LIBOR + 5.00%, 5.18%,
1/4/2026 |
7,144,312 | 6,077,774 | |||
Genuine Financial Holdings LLC Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 3.75%, 3.93%,
7/12/2025 |
8,809,083 | 7,945,792 | |||
Perforce Software, Inc. Senior Secured 2020 Term Loan B, 1 Month USD LIBOR + 3.75%, 3.93%,
7/1/2026 |
1,991,699 | 1,926,969 | |||
Tempo Acquisition LLC Senior Secured Term Loan, 1 Month USD LIBOR + 2.75%, 2.93%,
5/1/2024 |
459,838 | 438,283 | |||
16,388,818 | |||||
COMPUTERS — 0.2% | |||||
Brave Parent Holdings, Inc. Senior Secured 1st Lien Term Loan, 1 Month USD LIBOR + 4.00%, 4.18%,
4/18/2025 |
2,924,012 | 2,833,850 | |||
CONSTRUCTION & ENGINEERING — 1.2% | |||||
CNT Holdings III Corp. Senior Secured 2017 Term Loan, 3 Month USD LIBOR + 3.00%, 4.08%,
1/22/2023 |
1,300,778 | 1,271,719 | |||
Dynasty Acquisition Co., Inc.: | |||||
Senior Secured 2020 CAD Term Loan B2, 3 Month USD LIBOR + 3.50%, 3.81%,
4/6/2026 |
5,660,562 | 4,875,158 | |||
Senior Secured 2020 Term Loan B1, 3 Month USD LIBOR + 3.50%, 3.81%,
4/6/2026 |
10,528,644 | 9,067,795 |
Security Description | Principal
Amount |
Value | |||
MX Holdings US, Inc. Senior Secured 2018 USD Term Loan B1C, 1 Month USD LIBOR + 2.75%, 3.50%,
7/31/2025 |
$ 974,754 | $ 952,822 | |||
Pike Corp. Senior Secured 2019 Term Loan B, 1 Month USD LIBOR + 3.25%, 4.25%,
7/24/2026 |
1,067,472 | 1,039,931 | |||
17,207,425 | |||||
CONSTRUCTION MATERIALS — 0.2% | |||||
Forterra Finance LLC Senior Secured 2017 Term Loan B, 10/25/2023
(c) |
646,010 | 629,860 | |||
Quikrete Holdings, Inc. Senior Secured 2016 1st Lien Term Loan, 1 Month USD LIBOR + 2.50%, 2.68%,
2/1/2027 |
877,171 | 846,746 | |||
Tamko Building Products LLC Senior Secured Term Loan B, 1 Month USD LIBOR + 3.25%, 3.43%,
6/1/2026 |
1,451,568 | 1,400,763 | |||
2,877,369 | |||||
CONSUMER FINANCE — 0.0% (b) | |||||
Amentum Government Services Holdings LLC Senior Secured Term Loan B, 1 Month USD LIBOR + 4.00%, 4.18%,
2/1/2027 |
733,945 | 722,628 | |||
CONTAINERS & PACKAGING — 0.6% | |||||
Berlin Packaging LLC Senior Secured 2018 1st Lien Term Loan, 3 Month USD LIBOR + 3.00%, 3.31%,
11/7/2025 |
1,265,323 | 1,203,639 | |||
Berry Global, Inc. Senior Secured Term Loan Y, 1 Month USD LIBOR + 2.00%, 2.18%,
7/1/2026 |
1,994,962 | 1,912,799 | |||
Charter NEX US Holdings, Inc. Senior Secured Incremental Term Loan, 1 Month USD LIBOR + 3.25%, 3.43%,
5/16/2024 |
2,264,170 | 2,177,000 | |||
Reynolds Group Holdings, Inc. Senior Secured USD 2017 Term Loan, 1 Month USD LIBOR + 2.75%, 2.93%,
2/5/2023 |
534,595 | 512,104 | |||
Trident TPI Holdings, Inc. Senior Secured 2017 USD Term Loan B1, 3 Month USD LIBOR + 3.00%, 4.07%,
10/17/2024 |
3,130,971 | 2,996,605 | |||
8,802,147 |
Security Description | Principal
Amount |
Value | |||
CONTAINERS-PAPER/PLASTIC — 0.2% | |||||
Flex Acquisition Company, Inc. Senior Secured 1st Lien Term Loan, 3 Month USD LIBOR + 3.00%, 4.43%,
12/29/2023 |
$ 2,810,242 | $ 2,693,308 | |||
COSMETICS&TOILETRIES — 1.0% | |||||
Sunshine Luxembourg VII SARL Senior Secured USD Term Loan B1, 6 Month USD LIBOR + 4.25%, 5.32%,
10/1/2026 |
14,704,128 | 14,131,329 | |||
DIVERSIFIED CONSUMER SERVICES — 1.0% | |||||
Cambium Learning Group, Inc. Senior Secured Term Loan B, 3 Month USD LIBOR + 4.50%, 4.81%,
12/18/2025 |
9,945,524 | 9,531,144 | |||
GI Revelation Acquisition LLC Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 5.00%, 5.18%,
4/16/2025 |
3,769,040 | 3,451,799 | |||
WASH Multifamily Laundry Systems LLC Senior Secured 2015 1st Lien Term Loan, 1 Month USD LIBOR + 3.25%, 4.25%,
5/14/2022 |
1,705,625 | 1,643,089 | |||
14,626,032 | |||||
DIVERSIFIED FINANCIAL SERVICES — 3.6% | |||||
Advisor Group, Inc. Senior Secured 2019 Term Loan B, 1 Month USD LIBOR + 5.00%, 5.18%,
7/31/2026 |
5,502,340 | 5,129,557 | |||
Deerfield Dakota Holding LLC Senior Secured 2020 USD Term Loan B, 1 Month USD LIBOR + 3.75%, 4.75%,
4/9/2027 |
7,718,735 | 7,522,563 | |||
Edelman Financial Center LLC: | |||||
Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 3.00%, 3.18%,
7/21/2025 |
3,940,098 | 3,775,717 | |||
Senior Secured 2018 2nd Lien Term Loan, 1 Month USD LIBOR + 6.75%, 6.93%,
7/20/2026 |
769,231 | 705,050 | |||
Ellie Mae, Inc. Senior Secured Term Loan, 3 Month USD LIBOR + 3.75%, 4.06%,
4/17/2026 |
3,559,387 | 3,464,174 | |||
IG Investment Holdings LLC Senior Secured 2018 1st Lien Term Loan, 3 Month USD LIBOR + 4.00%, 5.00%,
5/23/2025 |
4,479,151 | 4,194,725 | |||
LDiscovery LLC Senior Secured Term Loan, 3 Month USD LIBOR + 5.88%, 7.25%,
12/9/2022 |
8,511,602 | 8,171,138 |
Security Description | Principal
Amount |
Value | |||
Minotaur Acquisition, Inc. Senior Secured Term Loan B, 1 Month USD LIBOR + 5.00%, 5.18%,
3/27/2026 |
$ 5,405,892 | $ 5,022,966 | |||
UFC Holdings LLC Senior Secured 2019 Term Loan, 6 Month USD LIBOR + 3.25%, 4.25%,
4/29/2026 |
4,401,756 | 4,222,010 | |||
William Morris Endeavor Entertainment LLC Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 2.75%, 2.93%,
5/18/2025 |
11,638,822 | 9,585,384 | |||
51,793,284 | |||||
DIVERSIFIED TELECOMMUNICATION SERVICES — 0.8% | |||||
Altice France S.A. Senior Secured USD Term Loan B12, 1 Month USD LIBOR + 3.69%, 3.87%,
1/31/2026 |
6,344,346 | 6,103,832 | |||
Consolidated Communications, Inc. Senior Secured 2016 Term Loan B, 1 Month USD LIBOR + 3.00%, 4.00%,
10/4/2023 |
4,801,037 | 4,572,676 | |||
Telesat Canada Senior Secured Term Loan B5, 1 Month USD LIBOR + 2.75%, 2.93%,
12/7/2026 |
344,570 | 332,366 | |||
11,008,874 | |||||
ELECTRICAL EQUIPMENT — 0.3% | |||||
EXC Holdings III Corp. Senior Secured USD 2017 1st Lien Term Loan, 3 Month USD LIBOR + 3.50%, 4.50%,
12/2/2024 |
4,552,265 | 4,464,998 | |||
ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS — 1.0% | |||||
CPI International, Inc. Senior Secured 2017 1st Lien Term Loan, 1 Month USD LIBOR + 3.50%, 4.50%,
7/26/2024 |
2,714,771 | 2,574,498 | |||
GrafTech Finance, Inc. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 3.50%, 4.50%,
2/12/2025 |
10,027,672 | 9,797,888 | |||
Vertiv Group Corporation Senior Secured Term Loan B, 1 Month USD LIBOR + 3.00%, 3.18%,
3/2/2027 |
1,995,000 | 1,905,225 | |||
14,277,611 |
Security Description | Principal
Amount |
Value | |||
ENERGY-ALTERNATE SOURCES — 0.0% (b) | |||||
Granite Acquisition Inc. Senior Secured Term Loan B, 3 Month USD LIBOR + 3.50%, 4.50%,
12/19/2021 |
$ 262,736 | $ 258,532 | |||
ENTERTAINMENT — 0.9% | |||||
Crown Finance US, Inc. Senior Secured 2019 Incremental Term Loan, 9/30/2026
(c) |
1,492,481 | 1,116,562 | |||
Diamond Sports Group LLC Senior Secured Term Loan, 3 Month USD LIBOR + 3.25%, 3.43%,
8/24/2026 |
12,015,804 | 9,837,940 | |||
Motion Finco Sarl: | |||||
Senior Secured Delayed Draw Term Loan B2, 6 Month USD LIBOR + 3.25%, 4.32%,
11/4/2026 |
163,313 | 148,615 | |||
Senior Secured USD Term Loan B1, 6 Month USD LIBOR + 3.25%, 4.32%,
11/13/2026 |
1,232,216 | 1,121,317 | |||
SMG US Midco 2, Inc. Senior Secured 2020 Term Loan, 3 Month USD LIBOR + 2.50%, 3.52%,
1/23/2025 |
1,483,287 | 1,316,417 | |||
13,540,851 | |||||
FINANCE-OTHER SERVICES — 0.6% | |||||
Veritas Bermuda, Ltd. Senior Secured USD Repriced Term Loan B, 3 Month USD LIBOR + 4.50%, 5.50%,
1/27/2023 |
8,721,913 | 8,105,928 | |||
FINANCIAL SERVICES — 0.3% | |||||
AI Alpine AT Bidco GmbH Senior Secured 2018 USD Term Loan B, 6 Month USD LIBOR + 3.00%, 4.21%,
10/31/2025 |
3,990,329 | 3,641,175 | |||
FOOD & STAPLES RETAILING — 0.0% (b) | |||||
Hostess Brands LLC Senior Secured 2019 Term Loan, 1 Month USD LIBOR + 2.25%, 3.01%,
8/3/2025 |
211,088 | 204,333 | |||
FOOD PRODUCTS — 0.2% | |||||
Chobani LLC Senior Secured 2017 Term Loan B, 1 Month USD LIBOR + 3.50%, 4.50%,
10/10/2023 |
1,827,508 | 1,766,123 |
Security Description | Principal
Amount |
Value | |||
Dole Food Co., Inc. Senior Secured 2017 Term Loan B, 1 Month USD LIBOR + 2.75%, 3.75%,
4/6/2024 |
$ 528,286 | $ 515,628 | |||
2,281,751 | |||||
FOOD-MISC/DIVERSIFIED — 0.0% (b) | |||||
Froneri International Ltd. Senior Secured 2020 USD Term Loan, 1 Month USD LIBOR + 2.25%, 2.43%,
1/29/2027 |
278,195 | 262,374 | |||
HAND/MACHINE TOOLS AND RELATED PRODUCTS — 0.7% | |||||
Apex Tool Group LLC Senior Secured 2019 Term Loan B, 1 Month USD LIBOR + 5.25%, 6.50%,
8/1/2024 |
10,697,779 | 9,645,064 | |||
HEALTH CARE EQUIPMENT & SUPPLIES — 1.0% | |||||
Carestream Health, Inc. Senior Secured 2020 Extended 2nd Lien PIK Term Loan, 3 Month USD LIBOR + 4.50%, 5.57%,
8/8/2023 |
17,678,213 | 14,230,961 | |||
HEALTH CARE PROVIDERS & SERVICES — 9.6% | |||||
Agiliti Health, Inc. Senior Secured Term Loan, 1 Month USD LIBOR + 3.00%, 3.19%,
1/4/2026 |
1,135,019 | 1,100,968 | |||
Alphabet Holding Company, Inc. Senior Secured 2017 1st Lien Term Loan, 1 Month USD LIBOR + 3.50%, 3.68%,
9/26/2024 |
11,182,745 | 10,557,182 | |||
American Renal Holdings Inc. Senior Secured 2017 Term Loan B, 1 Month USD LIBOR + 5.00%, 5.18%,
6/21/2024 |
520,624 | 491,990 | |||
Athenahealth, Inc. Senior Secured 2019 Term Loan B, 3 Month USD LIBOR + 4.50%, 4.82%,
2/11/2026 |
13,947,016 | 13,563,473 | |||
Auris Luxembourg III S.a.r.l. Senior Secured 2019 USD Term Loan B2, 1 Month USD LIBOR + 3.75%, 3.93%,
2/27/2026 |
1,519,233 | 1,336,925 | |||
Certara L.P. Senior Secured 2018 Term Loan B, 3 Month USD LIBOR + 3.50%, 3.81%,
8/15/2024 |
1,631,214 | 1,525,185 | |||
CHG Healthcare Services, Inc. Senior Secured 2017 1st Lien Term Loan B, 3 Month USD LIBOR + 3.00%, 4.07%,
6/7/2023 |
8,134,254 | 7,864,116 |
Security Description | Principal
Amount |
Value | |||
CPI Holdco LLC Senior Secured 2019 Term Loan, 3 Month USD LIBOR + 4.25%, 4.43%,
11/4/2026 |
$ 514,175 | $ 497,465 | |||
Envision Healthcare Corporation Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 3.75%, 3.93%,
10/10/2025 |
29,055,519 | 19,321,920 | |||
ExamWorks Group, Inc. Senior Secured 2017 Term Loan, 3 Month USD LIBOR + 3.25%, 4.32%,
7/27/2023 |
2,961,638 | 2,904,256 | |||
Global Medical Response, Inc.: | |||||
Senior Secured 2017 Term Loan B2, 3 Month USD LIBOR + 4.25%, 5.25%,
3/14/2025 |
9,976,811 | 9,571,503 | |||
Senior Secured 2018 Term Loan B1, 3 Month USD LIBOR + 3.25%, 4.25%,
4/28/2022 |
2,169,536 | 2,094,155 | |||
Loire Finco Luxembourg S.a.r.l. Senior Secured Term Loan, 1 Month USD LIBOR + 3.5%, 3.68%,
4/21/2027 |
2,800,000 | 2,705,500 | |||
MPH Acquisition Holdings LLC Senior Secured 2016 Term Loan B, 3 Month USD LIBOR + 2.75%, 3.75%,
6/7/2023 |
12,864,150 | 12,267,382 | |||
Ortho-Clinical Diagnostics SA Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 3.25%, 3.43%,
6/30/2025 |
15,063,327 | 14,131,359 | |||
Pathway Vet Alliance LLC: | |||||
Senior Secured 2020 Delayed Draw Term Loan, 3/31/2027
(c) |
303,692 | 295,720 | |||
Senior Secured 2020 Term Loan, 3/31/2027
(c) |
3,727,370 | 3,629,527 | |||
Phoenix Guarantor Inc Senior Secured 2020 Term Loan B, 1 Month USD LIBOR + 3.25%, 3.43%,
3/5/2026 |
4,049,164 | 3,911,492 | |||
RegionalCare Hospital Partners Holdings, Inc. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 3.75%, 3.93%,
11/17/2025 |
8,811,947 | 8,287,328 | |||
Surgery Center Holdings, Inc. Senior Secured 2017 Term Loan B, 1 Month USD LIBOR + 3.25%, 4.25%,
9/3/2024 |
5,821,066 | 5,151,643 | |||
Team Health Holdings, Inc. Senior Secured 1st Lien Term Loan, 1 Month USD LIBOR + 2.75%, 3.75%,
2/6/2024 |
20,816,245 | 16,080,654 | |||
137,289,743 | |||||
HEALTH CARE TECHNOLOGY — 0.0% (b) | |||||
Change Healthcare Holdings LLC. Senior Secured 2017 Term Loan B, 3 Month USD LIBOR + 2.50%, 3.50%,
3/1/2024 |
276,315 | 266,355 |
Security Description | Principal
Amount |
Value | |||
HOTELS, RESTAURANTS & LEISURE — 2.5% | |||||
1011778 B.C. Unlimited Liability Co. Senior Secured Term Loan B4, 1 Month USD LIBOR + 1.75%, 1.93%,
11/19/2026 |
$ 442,937 | $ 420,846 | |||
Alterra Mountain Company Senior Secured Term Loan B1, 1 Month USD LIBOR + 2.75%, 2.93%,
7/31/2024 |
380,031 | 359,724 | |||
Caesars Resort Collection LLC Senior Secured 2017 1st Lien Term Loan B, 1 Month USD LIBOR + 2.75%, 2.93%,
12/23/2024 |
12,351,832 | 11,029,815 | |||
Delta 2 (LUX) S.A.R.L. Senior Secured 2018 USD Term Loan, 1 Month USD LIBOR + 2.50%, 3.50%,
2/1/2024 |
3,232,248 | 3,088,833 | |||
Fogo De Chao, Inc. Senior Secured 2018 Add On Term Loan, 3 Month USD LIBOR + 4.25%, 5.25%,
4/7/2025 |
3,498,752 | 2,536,595 | |||
Scientific Games International, Inc. Senior Secured 2018 Term Loan B5, 6 Month USD LIBOR + 2.75%, 3.61%,
8/14/2024 |
12,616,503 | 11,216,071 | |||
Travelport Finance (Luxembourg) S.a.r.l.: | |||||
Senior Secured 2019 2nd Lien Term Loan, 3 Month USD LIBOR + 9.00%, 10.07%,
5/28/2027 |
19,300,000 | 6,214,600 | |||
Senior Secured 2019 Term Loan, 3 Month USD LIBOR + 5.00%, 6.07%,
5/29/2026 |
1,468,512 | 979,564 | |||
35,846,048 | |||||
INSURANCE — 3.4% | |||||
Alliant Holdings Intermediate LLC: | |||||
Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 2.75%, 2.93%,
5/9/2025 |
691,347 | 658,315 | |||
Senior Secured Term Loan B, 1 Month USD LIBOR + 3.25%, 3.44%,
5/9/2025 |
1,572,353 | 1,502,580 | |||
AmWINS Group, Inc. Senior Secured 2017 Term Loan B, 1 Month USD LIBOR + 2.75%, 3.75%,
1/25/2024 |
606,526 | 590,702 | |||
AssuredPartners, Inc. Senior Secured 2020 Term Loan B, 1 Month USD LIBOR + 3.50%, 3.68%,
2/12/2027 |
5,858,408 | 5,620,410 | |||
Broadstreet Partners, Inc. Senior Secured 2020 Term Loan B, 1 Month USD LIBOR + 3.25%, 3.43%,
1/27/2027 |
310,535 | 296,853 | |||
Hub International, Ltd.: | |||||
Senior Secured 2018 Term Loan B, 3 Month USD LIBOR + 3.00%, 4.02%,
4/25/2025 |
12,017,533 | 11,464,246 |
Security Description | Principal
Amount |
Value | |||
Senior Secured 2019 Incremental Term Loan B, 3 Month USD LIBOR + 4.00%, 5.00%,
4/25/2025 |
$ 5,410,659 | $ 5,345,731 | |||
NFP Corp. Senior Secured 2020 Term Loan, 1 Month USD LIBOR + 3.25%, 3.43%,
2/15/2027 |
10,508,620 | 9,825,559 | |||
Sedgwick Claims Management Services, Inc.: | |||||
Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 3.25%, 3.43%,
12/31/2025 |
7,674,539 | 7,268,901 | |||
Senior Secured 2019 Term Loan B, 1 Month USD LIBOR + 4.00%, 4.18%,
9/3/2026 |
6,018,145 | 5,800,619 | |||
48,373,916 | |||||
INTERACTIVE MEDIA & SERVICES — 1.8% | |||||
Ivanti Software, Inc. Senior Secured 2017 Term Loan B, 1 Month USD LIBOR + 4.25%, 5.25%,
1/20/2024 |
9,472,420 | 9,081,683 | |||
Rackspace Hosting, Inc. Senior Secured 2017 Incremental 1st Lien Term Loan, 3 Month USD LIBOR + 3.00%, 4.00%,
11/3/2023 |
17,613,103 | 16,861,200 | |||
25,942,883 | |||||
INTERNET & CATALOG RETAIL — 0.3% | |||||
Harbor Freight Tools USA, Inc. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 2.50%, 3.25%,
8/18/2023 |
4,534,066 | 4,377,278 | |||
IT SERVICES — 2.4% | |||||
Access CIG LLC Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 3.75%, 3.92%,
2/27/2025 |
13,547,110 | 12,940,335 | |||
Presidio, Inc. Senior Secured 2020 Term Loan B, 3 Month USD LIBOR + 3.50%, 4.27%,
1/22/2027 |
1,477,612 | 1,430,513 | |||
TierPoint LLC Senior Secured 2017 1st Lien Term Loan, 1 Month USD LIBOR + 3.75%, 4.75%,
5/6/2024 |
3,080,659 | 2,948,361 | |||
TKC Holdings, Inc. Senior Secured 2017 1st Lien Term Loan, 3 Month USD LIBOR + 3.75%, 4.75%,
2/1/2023 |
6,671,461 | 6,273,809 | |||
Verra Mobility Corporation Senior Secured 2020 Term Loan B, 3 Month USD LIBOR + 3.25%, 3.56%,
2/28/2025 |
2,911,332 | 2,787,600 |
Security Description | Principal
Amount |
Value | |||
Web.com Group, Inc. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 3.75%, 3.94%,
10/10/2025 |
$ 9,092,055 | $ 8,648,817 | |||
35,029,435 | |||||
LIFE SCIENCES TOOLS & SERVICES — 0.1% | |||||
Albany Molecular Research, Inc. Senior Secured 2017 1st Lien Term Loan, 3 Month USD LIBOR + 3.25%, 4.25%,
8/30/2024 |
1,183,369 | 1,148,756 | |||
eResearchTechnology, Inc. Senior Secured 2020 1st Lien Term Loan, 1 Month USD LIBOR + 4.50%, 5.50%,
2/4/2027 |
1,000,000 | 982,750 | |||
2,131,506 | |||||
MACHINERY — 1.3% | |||||
Engineered Machinery Holdings, Inc. Senior Secured USD 1st Lien Term Loan, 3 Month USD LIBOR + 3.00%, 4.00%,
7/19/2024 |
4,875,000 | 4,659,671 | |||
Gardner Denver, Inc. Senior Secured 2020 USD Term Loan B, 3/1/2027
(c) |
2,272,727 | 2,214,489 | |||
Hillman Group, Inc. Senior Secured 2018 Term Loan B, 6 Month USD LIBOR + 4.00%, 5.07%,
5/31/2025 |
7,079,301 | 6,683,320 | |||
Titan Acquisition, Ltd. Senior Secured 2018 Term Loan B, 3 Month USD LIBOR + 3.00%, 3.36%,
3/28/2025 |
6,170,458 | 5,669,139 | |||
19,226,619 | |||||
MACHINERY-CONSTRUCTION & MINING — 0.9% | |||||
Brookfield WEC Holdings Inc. Senior Secured 2020 Term Loan, 1 Month USD LIBOR + 3.00%, 3.75%,
8/1/2025 |
10,606,370 | 10,274,920 | |||
Clear Channel Outdoor Holdings, Inc. Senior Secured Term Loan B, 3 Month USD LIBOR + 3.50%, 4.26%,
8/21/2026 |
2,862,247 | 2,610,370 | |||
12,885,290 | |||||
MEDIA — 3.9% | |||||
Entercom Media Corp. Senior Secured 2019 Term Loan, 1 Month USD LIBOR + 2.50%, 2.68%,
11/18/2024 |
3,996,415 | 3,750,815 | |||
Entravision Communications Corp. Senior Secured 2017 Term Loan B, 1 Month USD LIBOR + 2.75%, 2.93%,
11/29/2024 |
4,526,006 | 4,202,102 |
Security Description | Principal
Amount |
Value | |||
iHeartCommunications, Inc. Senior Secured 2020 Term Loan, 1 Month USD LIBOR + 3.00%, 3.18%,
5/1/2026 |
$ 947,215 | $ 876,965 | |||
MH Sub I LLC Senior Secured 2017 1st Lien Term Loan, 3 Month USD LIBOR + 3.50%, 4.57%,
9/13/2024 |
15,572,581 | 15,064,681 | |||
Nexstar Broadcasting, Inc. Senior Secured 2019 Term Loan B4, 1 Month USD LIBOR + 2.75%, 2.92%,
9/18/2026 |
387,524 | 370,017 | |||
Nielsen Finance LLC: | |||||
Senior Secured 2020 USD Term Loan B5, 1 Month USD LIBOR + 3.75%, 4.75%,
6/4/2025 |
2,064,220 | 2,050,029 | |||
Senior Secured USD Term Loan B4, 1 Month USD LIBOR + 2.00%, 2.18%,
10/4/2023 |
493 | 493 | |||
Radiate Holdco LLC Senior Secured 1st Lien Term Loan, 1 Month USD LIBOR + 3.00%, 3.75%,
2/1/2024 |
12,914,208 | 12,367,807 | |||
Recorded Books Inc. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 4.25%, 4.44%,
8/29/2025 |
2,865,797 | 2,790,570 | |||
Univision Communications Inc. Senior Secured 2020 Term Loan B, 3 Month USD LIBOR + 3.75%, 4.75%,
3/13/2026 |
2,341,797 | 2,194,264 | |||
WideOpenWest Finance LLC Senior Secured 2017 Term Loan B, 1 Month USD LIBOR + 3.25%, 4.25%,
8/18/2023 |
11,319,774 | 10,835,175 | |||
Ziggo Financing Partnership Senior Secured USD Term Loan I, 1 Month USD LIBOR + 2.50%, 2.68%,
4/30/2028 |
732,057 | 693,321 | |||
55,196,239 | |||||
MULTILINE RETAIL — 0.2% | |||||
AI Aqua Merger Sub, Inc. Senior Secured 2017 1st Lien Term Loan B, 3 Month USD LIBOR + 3.25%, 4.32%,
12/13/2023 |
3,207,620 | 3,091,344 | |||
OIL, GAS & CONSUMABLE FUELS — 0.5% | |||||
EG America LLC Senior Secured 2018 USD Term Loan, 6 Month USD LIBOR + 4.00%, 5.07%,
2/7/2025 |
8,014,406 | 7,546,926 |
Security Description | Principal
Amount |
Value | |||
PHARMACEUTICALS — 2.5% | |||||
Amneal Pharmaceuticals LLC Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 3.50%, 3.69%,
5/4/2025 |
$ 13,973,667 | $ 12,836,560 | |||
Arbor Pharmaceuticals, Inc. Senior Secured Term Loan B, 6 Month USD LIBOR + 5.00%, 6.00%,
7/5/2023 |
4,463,380 | 4,088,189 | |||
Endo Luxembourg Finance Co. I S.a.r.l. Senior Secured 2017 Term Loan B, 1 Month USD LIBOR + 4.25%, 5.00%,
4/29/2024 |
17,426,198 | 16,535,806 | |||
Packaging Coordinators Midco, Inc. Senior Secured 1st Lien Term Loan, 6 Month USD LIBOR + 4.00%, 5.08%,
6/30/2023 |
974,938 | 957,467 | |||
Pearl Intermediate Parent LLC Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 2.75%, 2.93%,
2/14/2025 |
1,950,247 | 1,862,486 | |||
36,280,508 | |||||
PIPELINES — 0.3% | |||||
Buckeye Partners, L.P. Senior Secured 2019 Term Loan B, 1 Month USD LIBOR + 2.75%, 2.92%,
11/1/2026 |
997,500 | 958,847 | |||
Lower Cadence Holdings LLC Senior Secured Term Loan B, 1 Month USD LIBOR + 4.00%, 4.18%,
5/22/2026 |
3,353,113 | 3,001,036 | |||
3,959,883 | |||||
POLLUTION CONTROL — 0.0% (b) | |||||
Core & Main L.P. Senior Secured 2017 Term Loan B, 3 Month USD LIBOR + 2.75%, 3.75%,
8/1/2024 |
148,012 | 141,767 | |||
PROFESSIONAL SERVICES — 2.5% | |||||
Advantage Sales & Marketing, Inc. Senior Secured 2014 2nd Lien Term Loan, 3 Month USD LIBOR + 6.50%, 7.50%,
7/25/2022 |
14,369,542 | 11,994,688 | |||
Dun & Bradstreet Corp. Senior Secured Term Loan, 1 Month USD LIBOR + 4.00%, 4.18%,
2/6/2026 |
14,126,316 | 13,799,645 | |||
KUEHG Corp. Senior Secured 2018 Incremental Term Loan, 3 Month USD LIBOR + 3.75%, 4.75%,
2/21/2025 |
11,196,816 | 9,593,264 | |||
35,387,597 |
Security Description | Principal
Amount |
Value | |||
RECYCLING — 0.3% | |||||
Tunnel Hill Partners LP Senior Secured Term Loan B, 3 Month USD LIBOR + 3.50%, 3.81%,
2/6/2026 |
$ 4,684,071 | $ 4,274,215 | |||
RETAIL-RESTAURANTS — 1.8% | |||||
IRB Holding Corp Senior Secured 2020 Term Loan B, 1 Month USD LIBOR + 2.75%, 3.75%,
2/5/2025 |
14,971,545 | 13,878,098 | |||
K-Mac Holdings Corp. Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 3.00%, 3.18%,
3/14/2025 |
4,739,885 | 4,463,953 | |||
SRS Distribution, Inc. Senior Secured 2018 1st Lien Term Loan, 3 Month USD LIBOR + 3.25%, 4.32%,
5/23/2025 |
4,695,042 | 4,455,594 | |||
Tacala LLC Senior Secured 1st Lien Term Loan, 1 Month USD LIBOR + 3.50%, 3.68%,
2/5/2027 |
3,365,079 | 3,189,809 | |||
25,987,454 | |||||
ROAD & RAIL — 0.0% (b) | |||||
Avis Budget Car Rental LLC Senior Secured 2020 Term Loan B, 1 Month USD LIBOR + 2.25%, 2.43%,
8/6/2027 |
288,582 | 258,642 | |||
SEMICONDUCTOR EQUIPMENT — 0.2% | |||||
MA FinanceCo. LLC Senior Secured USD Term Loan B3, 1 Month USD LIBOR + 2.50%, 2.68%,
6/21/2024 |
296,343 | 278,192 | |||
Seattle Spinco, Inc. Senior Secured USD Term Loan B3, 1 Month USD LIBOR + 2.50%, 2.68%,
6/21/2024 |
2,001,279 | 1,878,700 | |||
2,156,892 | |||||
SOFTWARE — 8.6% | |||||
Applied Systems, Inc. Senior Secured 2017 1st Lien Term Loan, 3 Month USD LIBOR + 3.25%, 4.25%,
9/19/2024 |
1,240,784 | 1,210,043 | |||
Banff Merger Sub, Inc. Senior Secured 2018 USD Term Loan B, 1 Month USD LIBOR + 4.25%, 4.43%,
10/2/2025 |
18,789,091 | 17,848,603 | |||
CCC Information Services, Inc. Senior Secured 2017 1st Lien Term Loan, 1 Month USD LIBOR + 3.00%, 4.00%,
4/29/2024 |
562,876 | 546,223 |
Security Description | Principal
Amount |
Value | |||
DCert Buyer, Inc. Senior Secured 2019 Term Loan B, 1 Month USD LIBOR + 4.00%, 4.18%,
10/16/2026 |
$ 1,030,345 | $ 999,862 | |||
ECI Macola Max Holdings LLC Senior Secured 1st Lien Term Loan, 3 Month USD LIBOR + 4.25%, 5.25%,
9/27/2024 |
2,177,429 | 2,142,961 | |||
Finastra USA, Inc. Senior Secured USD 1st Lien Term Loan, 6 Month USD LIBOR + 3.50%, 4.50%,
6/13/2024 |
11,502,740 | 10,109,356 | |||
Flexera Software LLC Senior Secured 2018 1st Lien Term Loan, 3 Month USD LIBOR + 3.50%, 4.50%,
2/26/2025 |
5,160,970 | 5,046,061 | |||
Help/Systems Holdings, Inc. Senior Secured 2019 Term Loan B, 3 Month USD LIBOR + 4.75%, 5.75%,
11/19/2026 |
6,676,424 | 6,492,823 | |||
Hyland Software, Inc. Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 3.25%, 4.00%,
7/1/2024 |
6,127,126 | 5,973,457 | |||
Imperva, Inc. Senior Secured 2nd Lien Term Loan, 3 Month USD LIBOR + 7.75%, 8.75%,
1/10/2027 |
2,312,693 | 2,091,068 | |||
Informatica LLC: | |||||
Senior Secured 2020 USD 2nd Lien Term Loan, 3 Month USD LIBOR + 7.13%, 7.13%,
2/25/2025 |
550,388 | 552,796 | |||
Senior Secured 2020 USD Term Loan B, 1 Month USD LIBOR + 3.25%, 3.43%,
2/25/2027 |
5,413,568 | 5,199,732 | |||
Kronos, Inc. Senior Secured 2017 Term Loan B, 1 Month USD LIBOR + 3.00%, 3.18%,
11/1/2023 |
3,154,528 | 3,152,304 | |||
MA FinanceCo. LLC Senior Secured USD Term Loan B, 3 Month USD LIBOR + 4.25%, 5.25%,
6/5/2025 |
5,281,690 | 5,176,056 | |||
McAfee LLC Senior Secured 2018 USD Term Loan B, 1 Month USD LIBOR + 3.75%, 3.93%,
9/30/2024 |
5,709,947 | 5,577,505 | |||
Mitchell International, Inc.: | |||||
Senior Secured 2017 1st Lien Term Loan, 1 Month USD LIBOR + 3.25%, 3.43%,
11/29/2024 |
1,556,569 | 1,459,447 | |||
Senior Secured 2017 2nd Lien Term Loan, 1 Month USD LIBOR + 7.75%, 7.43%,
12/1/2025 |
1,709,210 | 1,529,743 | |||
NAVEX TopCo, Inc. Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 3.25%, 3.43%,
9/5/2025 |
440,845 | 427,412 |
Security Description | Principal
Amount |
Value | |||
Project Alpha Intermediate Holding, Inc. Senior Secured 2017 Term Loan B, 3 Month USD LIBOR + 3.50%, 5.38%,
4/26/2024 |
$ 13,955,604 | $ 13,490,394 | |||
Project Angel Holdings LLC Senior Secured 2018 1st Lien Term Loan, 5/30/2025
(c) |
2,707,944 | 2,640,245 | |||
Project Boost Purchaser LLC Senior Secured 2019 Term Loan B, 1 Month USD LIBOR + 3.50%, 3.68%,
6/1/2026 |
7,392,774 | 7,071,669 | |||
Project Leopard Holdings, Inc.: | |||||
Senior Secured 2018 Term Loan, 3 Month USD LIBOR + 4.50%, 5.50%,
7/7/2023 |
1,984,733 | 1,940,076 | |||
Senior Secured 2019 Term Loan, 7/7/2023
(c) |
302,213 | 295,288 | |||
Project Ruby Ultimate Parent Corp. Senior Secured 2017 Term Loan B, 1 Month USD LIBOR + 3.50%, 4.75%,
2/9/2024 |
2,313,202 | 2,185,975 | |||
Quest Software US Holdings, Inc.: | |||||
Senior Secured 2018 1st Lien Term Loan, 3 Month USD LIBOR + 4.25%, 5.01%,
5/16/2025 |
2,538,744 | 2,447,349 | |||
Senior Secured 2018 2nd Lien Term Loan, 3 Month USD LIBOR + 8.25%, 9.01%,
5/18/2026 |
3,886,053 | 3,492,590 | |||
Rocket Software, Inc. Senior Secured 2018 2nd Lien Term Loan, 3 Month USD LIBOR + 8.25%, 9.01%,
11/27/2026 |
4,000,000 | 3,248,000 | |||
Sophia L.P. Senior Secured 2017 Term Loan B, 3 Month USD LIBOR + 3.25%, 4.25%,
9/30/2022 |
360,506 | 352,846 | |||
STG-Fairway Holdings LLC Senior Secured Term Loan B, 3 Month USD LIBOR + 3.50%, 4.57%,
1/31/2027 |
6,521,739 | 6,123,620 | |||
Surf Holdings LLC Senior Secured USD Term Loan, 3 Month USD LIBOR + 3.50%, 3.83%,
3/5/2027 |
2,026,972 | 1,952,045 | |||
Syncsort Incorporated Senior Secured 2018 Term Loan B, 3 Month USD LIBOR + 6.25%, 6.61%,
8/16/2024 |
3,224,261 | 2,982,441 | |||
123,757,990 | |||||
SPECIALTY RETAIL — 4.5% | |||||
Bass Pro Group LLC Senior Secured Term Loan B, 3 Month USD LIBOR + 5.00%, 6.07%,
9/25/2024 |
32,382,135 | 31,283,409 | |||
Petco Animal Supplies, Inc. Senior Secured 2017 Term Loan B, 3 Month USD LIBOR + 3.25%, 4.25%,
1/26/2023 |
15,442,591 | 12,673,658 |
Security Description | Principal
Amount |
Value | |||
PetSmart, Inc. Senior Secured Consenting Term Loan, 3 Month USD LIBOR + 4.00%, 5.00%,
3/11/2022 |
$ 17,551,150 | $ 17,367,652 | |||
Priso Acquisition Corp. Senior Secured 2017 Term Loan B, 6 Month USD LIBOR + 3.00%, 4.18%,
5/8/2022 |
3,460,671 | 3,322,244 | |||
64,646,963 | |||||
TELECOMMUNICATION EQUIP — 0.2% | |||||
MLN US HoldCo LLC Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 4.50%, 4.68%,
11/30/2025 |
3,900,958 | 3,220,748 | |||
THRIFTS & MORTGAGE FINANCE — 0.1% | |||||
Capri Finance LLC Senior Secured USD 2017 1st Lien Term Loan, 3 Month USD LIBOR + 3.00%, 3.76%,
11/1/2024 |
1,073,085 | 1,032,844 | |||
TRADING COMPANIES & DISTRIBUTORS — 0.1% | |||||
SiteOne Landscape Supply, Inc. Senior Secured 2018 Term Loan E, 1 Month USD LIBOR + 2.75%, 3.75%,
10/29/2024 |
491,746 | 482,526 | |||
Univar, Inc. Senior Secured 2019 USD Term Loan B5, 3 Month USD LIBOR + 2.00%, 2.18%,
7/1/2026 |
384,801 | 370,252 | |||
852,778 | |||||
TOTAL SENIOR FLOATING RATE LOANS (Cost
$1,212,141,603) |
1,175,447,363 | ||||
CORPORATE BONDS & NOTES — 14.2% | |||||
AEROSPACE & DEFENSE — 0.2% | |||||
TransDigm, Inc. 6.25%, 3/15/2026
(d) |
2,424,000 | 2,416,873 | |||
APPAREL — 0.2% | |||||
Hanesbrands, Inc. 5.38%, 5/15/2025
(d) |
3,361,000 | 3,401,130 | |||
AUTO PARTS & EQUIPMENT — 0.2% | |||||
Dana, Inc.: | |||||
5.38%,
11/15/2027 |
1,250,000 | 1,248,538 | |||
5.63%,
6/15/2028 |
1,546,000 | 1,539,244 | |||
2,787,782 |
Security Description | Principal
Amount |
Value | |||
BUILDING MATERIALS — 0.5% | |||||
Builders FirstSource, Inc. 6.75%, 6/1/2027
(d) |
$ 4,000,000 | $ 4,094,720 | |||
Standard Industries, Inc. 4.38%, 7/15/2030
(d) |
2,757,000 | 2,757,028 | |||
6,851,748 | |||||
CHEMICALS — 0.3% | |||||
Tronox, Inc. 6.50%, 5/1/2025
(d) |
4,651,000 | 4,702,115 | |||
COMMERCIAL SERVICES — 1.3% | |||||
Avis Budget Car Rental LLC/Avis Budget Finance, Inc. 5.75%, 7/15/2027
(d) |
3,000,000 | 2,292,030 | |||
Jaguar Holding Co. II/PPD Development L.P. 5.00%, 6/15/2028
(d) |
1,351,000 | 1,382,803 | |||
MPH Acquisition Holdings LLC 7.13%, 6/1/2024
(d) |
3,500,000 | 3,254,650 | |||
Prime Security Services Borrower LLC/Prime Finance, Inc. 6.25%, 1/15/2028
(d) |
11,667,000 | 10,999,064 | |||
17,928,547 | |||||
DIVERSIFIED FINANCIAL SERVICES — 0.4% | |||||
AG Issuer LLC 6.25%, 3/1/2028
(d) |
3,827,000 | 3,625,853 | |||
Vertical US Newco, Inc. 5.25%,
7/15/2027 |
2,578,000 | 2,578,000 | |||
6,203,853 | |||||
ELECTRICAL COMPONENTS & EQUIPMENT — 0.3% | |||||
Energizer Holdings, Inc. 6.38%, 7/15/2026
(d) |
1,648,000 | 1,705,680 | |||
Wesco Distribution, Inc. Co. 7.25%, 6/15/2028
(d) |
2,290,000 | 2,433,812 | |||
4,139,492 | |||||
ENTERTAINMENT — 0.2% | |||||
International Game Technology PLC 5.25%, 1/15/2029
(d) |
2,193,000 | 2,147,956 | |||
FOOD — 0.5% | |||||
Albertsons Cos., Inc./Safeway, Inc./New Albertsons L.P./Albertsons LLC 5.88%, 2/15/2028
(d) |
6,609,000 | 6,817,580 |
Security Description | Principal
Amount |
Value | |||
HEALTH CARE SERVICES — 0.5% | |||||
Acadia Healthcare Co., Inc. 5.50%, 7/1/2028
(d) |
$ 820,000 | $ 828,512 | |||
LifePoint Health, Inc. 6.75%, 4/15/2025
(d) |
6,666,000 | 6,845,115 | |||
7,673,627 | |||||
HOME BUILDERS — 0.1% | |||||
Picasso Finance Sub, Inc. 6.13%, 6/15/2025
(d) |
1,416,000 | 1,451,329 | |||
INSURANCE — 0.3% | |||||
HUB International, Ltd. 7.00%, 5/1/2026
(d) |
5,000,000 | 4,985,850 | |||
INTERNET — 0.1% | |||||
Photo Holdings Merger Sub, Inc. 8.50%, 10/1/2026
(d) |
1,746,000 | 1,649,760 | |||
LODGING — 0.1% | |||||
Hilton Domestic Operating Co., Inc. 5.38%, 5/1/2025
(d) |
826,000 | 822,547 | |||
MEDIA — 4.3% | |||||
Altice Financing SA 5.00%, 1/15/2028
(d) |
4,952,000 | 4,925,655 | |||
CSC Holdings LLC: | |||||
4.63%, 12/1/2030
(d) |
1,505,000 | 1,466,969 | |||
5.75%, 1/15/2030
(d) |
2,000,000 | 2,081,220 | |||
iHeartCommunications, Inc.: | |||||
4.75%, 1/15/2028
(d) |
5,000,000 | 4,619,600 | |||
5.25%, 8/15/2027
(d) |
7,417,000 | 7,105,486 | |||
LCPR Senior Secured Financing DAC 6.75%, 10/15/2027
(d) |
5,357,000 | 5,470,729 | |||
Sinclair Television Group, Inc. 5.63%, 8/1/2024
(d) |
6,000,000 | 5,770,380 | |||
Univision Communications, Inc.: | |||||
5.13%, 5/15/2023
(d) |
6,000,000 | 6,055,080 | |||
6.63%, 6/1/2027
(d) |
20,548,000 | 19,676,149 | |||
Virgin Media Finance PLC 5.00%, 7/15/2030
(d) |
4,660,000 | 4,561,441 | |||
61,732,709 |
Security Description | Principal
Amount |
Value | |||
PACKAGING & CONTAINERS — 0.6% | |||||
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc.: | |||||
5.25%, 4/30/2025
(d) |
$ 5,059,000 | $ 5,197,920 | |||
5.25%, 8/15/2027
(d) |
2,963,000 | 2,907,533 | |||
8,105,453 | |||||
PHARMACEUTICALS — 0.8% | |||||
Bausch Health Cos., Inc.: | |||||
5.25%, 1/30/2030
(d) |
3,232,000 | 3,062,708 | |||
6.25%, 2/15/2029
(d) |
6,957,000 | 6,995,750 | |||
Par Pharmaceutical, Inc. 7.50%, 4/1/2027
(d) |
2,000,000 | 2,051,500 | |||
12,109,958 | |||||
REAL ESTATE INVESTMENT TRUSTS — 0.8% | |||||
Iron Mountain, Inc. 5.25%, 7/15/2030
(d) |
12,270,000 | 12,128,036 | |||
RETAIL — 0.7% | |||||
eG Global Finance PLC 6.75%, 2/7/2025
(d) |
7,042,000 | 6,862,992 | |||
IRB Holding Corp. 7.00%, 6/15/2025
(d) |
1,429,000 | 1,471,641 | |||
L Brands, Inc. 6.88%, 7/1/2025
(d) |
1,409,000 | 1,460,894 | |||
9,795,527 | |||||
SOFTWARE — 0.5% | |||||
Boxer Parent Co., Inc. 7.13%, 10/2/2025
(d) |
2,059,000 | 2,158,738 | |||
Change Healthcare Holdings LLC/Change Healthcare Finance, Inc. 5.75%, 3/1/2025
(d) |
5,000,000 | 4,936,500 | |||
7,095,238 | |||||
TELECOMMUNICATIONS — 1.1% | |||||
Altice France Holding SA 6.00%, 2/15/2028
(d) |
1,598,000 | 1,510,637 | |||
Altice France SA 5.50%, 1/15/2028
(d) |
12,000,000 | 12,126,960 | |||
CommScope, Inc. 7.13%, 7/1/2028
(d)
(e) |
2,325,000 | 2,328,232 | |||
15,965,829 |
Security Description | Principal
Amount |
Value | |||
TRANSPORTATION — 0.2% | |||||
XPO Logistics, Inc. 6.25%, 5/1/2025
(d) |
$ 2,160,000 | $ 2,261,866 | |||
TOTAL CORPORATE BONDS & NOTES (Cost
$205,814,777) |
203,174,805 |
Shares | |||
SHORT-TERM INVESTMENT — 8.4% | |||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 0.16% (f) (g) (Cost
$120,384,183) |
120,384,183 | 120,384,183 | |
TOTAL INVESTMENTS — 104.6% (Cost
$1,538,340,563) |
1,499,006,351 | ||
LIABILITIES IN EXCESS OF OTHER ASSETS —
(4.6)% |
(65,911,853) | ||
NET ASSETS —
100.0% |
$ 1,433,094,498 |
(a) | The rate shown represents the rate at June 30, 2020. |
(b) | Amount is less than 0.05% of net assets. |
(c) | Position is unsettled. Contract rate was not determined at June 30, 2020 and does not take effect until settlement date. Maturity date is not finalized until settlement date. |
(d) | Securities purchased pursuant to Rule 144A of the Securities Act of 1933, as amended. These securities, which represent 13.8% of net assets as of June 30, 2020, are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
(e) | When-issued security. |
(f) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2020 are shown in the Affiliate Table below. |
(g) | The rate shown is the annualized seven-day yield at June 30, 2020. |
LIBOR | London Interbank Offered Rate |
LP | Limited Partnership |
PIK | Payment in Kind |
Description | Level
1 – Quoted Prices |
Level
2 – Other Significant Observable Inputs |
Level
3 – Significant Unobservable Inputs |
Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Corporate Bonds &
Notes |
$ — | $ 203,174,805 | $— | $ 203,174,805 | ||||
Senior Floating Rate
Loans |
— | 1,175,447,363 | — | 1,175,447,363 | ||||
Short-Term
Investment |
120,384,183 | — | — | 120,384,183 | ||||
TOTAL
INVESTMENTS |
$120,384,183 | $1,378,622,168 | $— | $1,499,006,351 |
Number
of Shares Held at 6/30/19* |
Value
at 6/30/19* |
Cost
of Purchases** |
Proceeds
from Shares Sold |
Realized
Gain (Loss) |
Change
in Unrealized Appreciation/ Depreciation |
Number
of Shares Held at 6/30/20 |
Value
at 6/30/20 |
Dividend
Income | |||||||||
State Street Institutional U.S. Government Money Market Fund, Class G
Shares |
— | $— | $2,421,546,618 | $2,301,162,435 | $— | $— | 120,384,183 | $120,384,183 | $2,246,425 |
* | Refer to Note 1 on the Notes to Financial Statements regarding the discontinuance of the master-feeder structure. |
** | Includes transfers from Portfolio - See Note 1 in the Notes to Financial Statements. |
SPDR Blackstone / GSO Senior Loan ETF | |
ASSETS | |
Investments in unaffiliated issuers, at
value |
$1,378,622,168 |
Investments in affiliated issuers, at
value |
120,384,183 |
Total
Investments |
1,499,006,351 |
Cash |
512,063 |
Receivable for investments
sold |
133,563,948 |
Dividends receivable — affiliated
issuers |
18,344 |
Interest receivable — unaffiliated
issuers |
6,826,608 |
Other
Receivable |
32,844 |
Due from
broker |
114,000 |
TOTAL ASSETS
|
1,640,074,158 |
LIABILITIES | |
Payable for investments
purchased |
186,587,575 |
Payable for fund shares
repurchased |
19,531,355 |
Advisory fee
payable |
853,332 |
Trustees’ fees and expenses
payable |
7,398 |
TOTAL LIABILITIES
|
206,979,660 |
NET ASSETS
|
$1,433,094,498 |
NET ASSETS CONSIST OF: | |
Paid-in
Capital |
$1,707,591,039 |
Total distributable earnings
(loss) |
(274,496,541) |
NET ASSETS
|
$1,433,094,498 |
NET ASSET VALUE PER SHARE | |
Net asset value per
share |
$ 43.36 |
Shares outstanding (unlimited amount authorized, no par
value) |
33,050,000 |
COST OF INVESTMENTS: | |
Investments in unaffiliated
issuers |
$1,417,956,380 |
Investments in affiliated
issuers |
120,384,183 |
Total cost of
investments |
$1,538,340,563 |
SPDR Blackstone / GSO Senior Loan ETF | |
INVESTMENT INCOME | |
Interest income allocated from the
Portfolio |
$ 25,780,068 |
Dividend income allocated from the
Portfolio |
506,438 |
Interest income — unaffiliated
issuers |
90,180,215 |
Dividend income — affiliated
issuers |
2,246,425 |
Expenses allocated from affiliated
Portfolio |
(1,222,731) |
TOTAL INVESTMENT
INCOME |
117,490,415 |
EXPENSES | |
Advisory
fee |
12,940,867 |
Trustees’ fees and
expenses |
29,732 |
Miscellaneous
expenses |
1,371 |
TOTAL
EXPENSES |
12,971,970 |
NET INVESTMENT INCOME
(LOSS) |
$ 104,518,445 |
REALIZED AND UNREALIZED GAIN (LOSS) | |
Net realized gain (loss) on: | |
Investments allocated from the
Portfolio |
(1,496,289) |
Investments — unaffiliated
issuers |
(110,455,754) |
Net realized gain
(loss) |
(111,952,043) |
Net change in unrealized appreciation/depreciation on: | |
Investments — unaffiliated
issuers |
(39,334,212) |
Investments allocated from the
Portfolio |
15,428,267 |
Net change in unrealized
appreciation/depreciation |
(23,905,945) |
NET REALIZED AND UNREALIZED GAIN
(LOSS) |
(135,857,988) |
NET INCREASE (DECREASE) IN NET ASSETS FROM
OPERATIONS |
$ (31,339,543) |
SPDR Blackstone / GSO Senior Loan ETF | |||
Year
Ended 6/30/20 |
Year
Ended 6/30/19 | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income
(loss) |
$ 104,518,445 | $ 146,684,741 | |
Net realized gain
(loss) |
(111,952,043) | (68,985,052) | |
Net change in unrealized
appreciation/depreciation |
(23,905,945) | (7,710,527) | |
Net increase (decrease) in net assets resulting from
operations |
(31,339,543) | 69,989,162 | |
Net equalization credits and
charges |
(1,610,641) | (1,756,152) | |
Distributions to
shareholders |
(106,659,500) | (147,138,500) | |
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||
Proceeds from shares
sold |
1,236,697,606 | 780,016,464 | |
Cost of shares
redeemed |
(1,898,029,896) | (1,675,706,058) | |
Net income
equalization |
1,610,641 | 1,756,152 | |
Other
Capital |
9,447,256 | 5,615,427 | |
Net increase (decrease) in net assets from beneficial interest
transactions |
(650,274,393) | (888,318,015) | |
Contribution from Affiliate (Note
4) |
578,465 | — | |
Net increase (decrease) in net assets during the
period |
(789,305,612) | (967,223,505) | |
Net assets at beginning of
period |
2,222,400,110 | 3,189,623,615 | |
NET ASSETS AT END OF
PERIOD |
$ 1,433,094,498 | $ 2,222,400,110 | |
SHARES OF BENEFICIAL INTEREST: | |||
Shares
sold |
27,700,000 | 16,750,000 | |
Shares
redeemed |
(42,700,000) | (36,500,000) | |
Net increase (decrease) from share
transactions |
(15,000,000) | (19,750,000) |
SPDR Blackstone / GSO Senior Loan ETF | |||||||||
Year
Ended 6/30/20(a) |
Year
Ended 6/30/19(a) |
Year
Ended 6/30/18(a) |
Year
Ended 6/30/17(a) |
Year
Ended 6/30/16(a) | |||||
Net asset value, beginning of
period |
$ 46.25 | $ 47.04 | $ 47.41 | $ 46.64 | $ 49.22 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss)
(b) |
2.34 | 2.48 | 2.04 | 1.85 | 1.95 | ||||
Net realized and unrealized gain (loss)
(c) |
(3.06) | (0.86) | (0.50) | 0.73 | (2.58) | ||||
Total from investment
operations |
(0.72) | 1.62 | 1.54 | 2.58 | (0.63) | ||||
Net equalization credits and charges
(b) |
(0.04) | (0.03) | 0.04 | 0.05 | 0.02 | ||||
Contribution from Affiliate (Note
4) |
0.01 | — | — | — | — | ||||
Other capital
(b) |
0.21 | 0.09 | 0.02 | 0.02 | 0.02 | ||||
Distributions to shareholders from: | |||||||||
Net investment
income |
(2.35) | (2.47) | (1.97) | (1.88) | (1.99) | ||||
Net asset value, end of
period |
$ 43.36 | $ 46.25 | $ 47.04 | $ 47.41 | $ 46.64 | ||||
Total return
(d) |
(1.23)%(e) | 3.68% | 3.43% | 5.77% | (1.15)% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in
000s) |
$1,433,094 | $2,222,400 | $3,189,624 | $1,820,505 | $802,228 | ||||
Ratios to average net assets: | |||||||||
Total
expenses |
0.70% | 0.70% | 0.70% | 0.70% | 0.71% | ||||
Net investment income
(loss) |
5.17% | 5.33% | 4.30% | 3.91% | 4.15% | ||||
Portfolio turnover rate
(f) |
195% | 124% | 90% | 68% | 88% |
(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. |
(b) | Per share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the year. |
(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) | If an affiliate had not made a contribution during the ended June 30, 2020, the total return would have remained (1.23)%. |
(f) | Portfolio turnover rate is from the the affiliated Portfolio prior to the discontinuance of the master feeder structure. See Note 1. |
Annual Rate | |
SPDR Blackstone / GSO Senior Loan
ETF |
0.70% |
Purchases | Sales | ||
SPDR Blackstone / GSO Senior Loan
ETF |
$3,792,000,466 | $4,434,484,202 |
Ordinary
Income |
Long-Term
Capital Gains |
Total | |||
SPDR Blackstone / GSO Senior Loan
ETF |
$106,659,500 | $— | $106,659,500 |
Ordinary
Income |
Long-Term
Capital Gains |
Total | |||
SPDR Blackstone / GSO Senior Loan ETF
|
$ 147,138,500 | $ — | $ 147,138,500 |
Undistributed
Ordinary Income |
Capital
Loss Carryforwards |
Undistributed
Long-Term Capital Gains |
Net
Unrealized Gains (Losses) |
Qualified
Late-Year Losses |
Total | ||||||
SPDR Blackstone / GSO Senior Loan
ETF |
$5,826,090 | $(216,243,650) | $— | $(64,078,981) | $— | $(274,496,541) |
Non-Expiring
Short Term |
Non-Expiring
Long Term | ||
SPDR Blackstone / GSO Senior Loan
ETF |
$115,491,607 | $100,752,043 |
Tax
Cost |
Gross
Unrealized Appreciation |
Gross
Unrealized Depreciation |
Net
Unrealized Appreciation (Depreciation) | ||||
SPDR Blackstone / GSO Senior Loan
ETF |
$1,563,085,332 | $15,331,499 | $79,410,480 | $(64,078,981) |
SPDR Blackstone / GSO Senior Loan ETF | |
Annualized Expense
Ratio |
0.70% |
Actual: | |
Ending Account
Value |
$ 952.50 |
Expenses Paid During
Period(a) |
3.40 |
Hypothetical (assuming a 5% return before expenses): | |
Ending Account
Value |
1,021.40 |
Expenses Paid During
Period(a) |
3.52 |
(a) | Expenses are equal to the Fund's annualized net expense ratio multiplied by the average account value of the period, multiplied by 182, then divided by 366. |
Name,
Address and Year of Birth |
Position(s)
with Funds |
Term
of Office and Length of Time Served |
Principal
Occupation(s) During Past 5 Years |
Number
of Portfolios in Fund Complex Overseen by Trustee† |
Other
Directorships Held by Trustee During the Past 5 Years | |||||
Trustees | ||||||||||
Independent Trustees | ||||||||||
FRANK
NESVET c/o SSGA Active Trust One Iron Street Boston, MA 02210 1943 |
Independent
Trustee, Chairman, Trustee Committee Chair |
Term:
Unlimited Served: since March 2011 |
Retired. | 123 | None. | |||||
BONNY
EUGENIA BOATMAN c/o SSGA Active Trust One Iron Street Boston, MA 02210 1950 |
Independent
Trustee |
Term:
Unlimited Served: since March 2011 |
Retired. | 123 | None. | |||||
DWIGHT
D. CHURCHILL c/o SSGA Active Trust One Iron Street Boston, MA 02210 1953 |
Independent
Trustee |
Term:
Unlimited Served: since March 2011 |
Self-employed
consultant since 2010; CEO and President, CFA Institute (June 2014-January 2015). |
123 | Affiliated
Managers Group, Inc. (Chairman, Director and Audit Committee Chair). | |||||
CLARE
S. RICHER c/o SSGA Active Trust One Iron Street Boston, MA 02210 1958 |
Independent
Trustee |
Term:
Unlimited Served: since July 2018 |
Retired.
Chief Financial Officer, Putnam Investments LLC (December 2008- May 2017). |
123 | Principal
Financial Group (Director); Bain Capital Specialty Finance (Director); Putnam Acquisition Financing Inc. (Director); Putnam Acquisition Financing LLC (Director); Putnam GP Inc. (Director); Putnam Investor Services, Inc. (Director); University of Notre Dame (Trustee). |
Name,
Address and Year of Birth |
Position(s)
with Funds |
Term
of Office and Length of Time Served |
Principal
Occupation(s) During Past 5 Years |
Number
of Portfolios in Fund Complex Overseen by Trustee† |
Other
Directorships Held by Trustee During the Past 5 Years | |||||
SANDRA
G. SPONEM c/o SSGA Active Trust One Iron Street Boston, MA 02210 1958 |
Independent
Trustee |
Term:
Unlimited Served: since July 2018 |
Retired.
Chief Financial Officer, M.A. Mortenson Companies, Inc. (February 2007- April 2017). |
123 | Rydex
Series Funds, Rydex Dynamic Funds, Rydex Variable Trust, Guggenheim Funds Trust, Guggenheim Variable Funds Trust, Guggenheim Strategy Funds Trust, Transparent Value Trust, Fiduciary/ Claymore Energy Infrastructure Fund, Guggenheim Taxable Municipal Managed Duration Trust, Guggenheim Strategic Opportunities Fund, Guggenheim Enhanced, Equity Income Fund, Guggenheim Credit Allocation Fund, Guggenheim Energy & Income Fund (Trustee and Audit Committee Chair). | |||||
CARL
G. VERBONCOEUR c/o SSGA Active Trust One Iron Street Boston, MA 02210 1952 |
Independent
Trustee, Audit Committee Chair |
Term:
Unlimited Served: since March 2011 |
Self-employed
consultant since 2009. |
123 | The
Motley Fool Funds Trust (Trustee). |
Name,
Address and Year of Birth |
Position(s)
with Funds |
Term
of Office and Length of Time Served |
Principal
Occupation(s) During Past 5 Years |
Number
of Portfolios in Fund Complex Overseen by Trustee† |
Other
Directorships Held by Trustee During the Past 5 Years | |||||
Interested Trustee | ||||||||||
JAMES
E. ROSS* c/o SSGA Active Trust One Iron Street Boston, MA 02210 1965 |
Interested
Trustee |
Term:
Unlimited Served as Trustee: since March 2011 |
Non-Executive
Chairman, Fusion Acquisition Corp. (June 2020 - Present); Retired Chairman and Director, SSGA Funds Management, Inc. (2005 - March 2020); Retired Executive Vice President, State Street Global Advisors (2012 - March 2020); Retired Chief Executive Officer and Director, State Street Global Advisors Funds Distributors, LLC (May 2017 - March 2020); Director, State Street Global Markets, LLC (2013 - April 2017); President, SSGA Funds Management, Inc. (2005 - 2012); Principal, State Street Global Advisors (2000 - 2005). |
134 | SSGA
SPDR ETFs Europe I plc (Director) (November 2016 - March 2020); SSGA SPDR ETFs Europe II plc (Director) (November 2016 - March 2020); State Street Navigator Securities Lending Trust (July 2016 - March 2020); SSGA Funds (January 2014 - March 2020); State Street Institutional Investment Trust (February 2007 - March 2020); State Street Master Funds (February 2007 - March 2020); Elfun Funds (July 2016 - December 2018). | |||||
† For the purpose of determining the number of portfolios overseen by the Trustees, “Fund Complex” comprises registered investment companies for which SSGA Funds Management, Inc. serves as investment adviser. | ||||||||||
* Mr. Ross is an Interested Trustee because of his former position with the Adviser and ownership interest in an affiliate of the Adviser. |
Name,
Address and Year of Birth |
Position(s)
with Funds |
Term
of Office and Length of Time Served |
Principal Occupation(s) During the Past 5 Years | |||
Officers | ||||||
ELLEN
M. NEEDHAM SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1967 |
President | Term:
Unlimited Served: since October 2012 |
Chairman, SSGA Funds Management, Inc. (March 2020 - present); President and Director, SSGA Funds Management, Inc. (2001 - present)*; Senior Managing Director, State Street Global Advisors (1992 - present)*; Manager, State Street Global Advisors Funds Distributors, LLC (May 2017 - present). | |||
BRUCE
S. ROSENBERG SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1961 |
Treasurer | Term:
Unlimited Served: since February 2016 |
Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (July 2015 - present); Director, Credit Suisse (April 2008 - July 2015). | |||
ANN
M. CARPENTER SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1966 |
Vice
President; Deputy Treasurer |
Term:
Unlimited Served: since August 2012 (with respect to Vice President); since February2016 (with respect to Deputy Treasurer) |
Chief Operating Officer, SSGA Funds Management, Inc. (2005 - Present)*; Managing Director, State Street Global Advisors (2005 - present).* | |||
MICHAEL
P. RILEY SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1969 |
Vice
President |
Term:
Unlimited Served: since March 2011 |
Managing Director, State Street Global Advisors (2005 - present).* | |||
SEAN
O’MALLEY SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1969 |
Chief
Legal Officer |
Term:
Unlimited Served: since August 2019 |
Senior Vice President and Deputy General Counsel, State Street Global Advisors (November 2013 -present). | |||
ANDREW
DELORME SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1975 |
Secretary | Term:
Unlimited Served: since August 2019 |
Vice President and Senior Counsel, State Street Global Advisors (April 2016 - present); Vice President and Counsel, State Street Global Advisors (August 2014 - March 2016). |
Name,
Address and Year of Birth |
Position(s)
with Funds |
Term
of Office and Length of Time Served |
Principal Occupation(s) During the Past 5 Years | |||
KEVIN
MORRIS SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1982 |
Assistant
Secretary |
Term:
Unlimited Served: since August 2019 |
Vice President and Senior Counsel, State Street Global Advisors (April 2019 - present); Vice President and Counsel, State Street Global Advisors (January 2016 -April 2019); Director, Asset Management Compliance, Fidelity Investments (June 2015 - January 2016); Senior Compliance Advisor, Asset Management Compliance, Fidelity Investments (June 2012 - June 2015). | |||
DAVID
URMAN SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1985 |
Assistant
Secretary |
Term:
Unlimited Served: since August 2019 |
Vice President and Senior Counsel, State Street Global Advisors (April 2019 - present); Vice President and Counsel, State Street Global Advisors (August 2015 - April 2019); Associate, Ropes & Gray LLP (November 2012 - August 2015). | |||
CHAD
C. HALLETT SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1969 |
Deputy
Treasurer |
Term:
Unlimited Served: since February 2016 |
Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (November 2014 - present); Vice President, State Street Bank and Trust Company (2001 - November 2014).* | |||
DARLENE
ANDERSON-VASQUEZ SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1968 |
Deputy
Treasurer |
Term:
Unlimited Served: since November 2016 |
Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (May 2016 - present); Senior Vice President, John Hancock Investments (September 2007 - May 2016). | |||
ARTHUR
A. JENSEN SSGA Funds Management, Inc. 1600 Summer Street Stamford, CT 06905 1966 |
Deputy
Treasurer |
Term:
Unlimited Served: Since August 2017 |
Vice President at State Street Global Advisors (July 2016 – present); Mutual Funds Controller of GE Asset Management Incorporated (April 2011 - July 2016). | |||
SUJATA
UPRETI SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1974 |
Assistant
Treasurer |
Term:
Unlimited Served: since February 2016 |
Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (May 2015 - present). | |||
DANIEL
FOLEY SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1972 |
Assistant
Treasurer |
Term:
Unlimited Served: since February 2016 |
Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (April 2007 - present).* |
Name,
Address and Year of Birth |
Position(s)
with Funds |
Term
of Office and Length of Time Served |
Principal Occupation(s) During the Past 5 Years | |||
DANIEL
G. PLOURDE SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1980 |
Assistant
Treasurer |
Term:
Unlimited Served: since May 2017 |
Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (May 2015 - present); Officer, State Street Bank and Trust Company (March 2009 - May 2015). | |||
BRIAN
HARRIS SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1973 |
Chief
Compliance Officer; Anti-Money Laundering Officer; Code of Ethics Compliance Officer |
Term:
Unlimited Served: since November 2013 |
Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (June 2013 - present)*; Senior Vice President and Global Head of Investment Compliance, BofA Global Capital Management (2010 - 2013); Director of Compliance, AARP Financial Inc. (2008 - 2010). | |||
* Served in various capacities and/or with various affiliated entities during noted time period. | ||||||
The Statement of Additional Information (SAI) includes additional information about the Fund's trustees and is available, without charge, upon request and by calling 1-866-787-2257. |
State Street Defensive Global Equity Portfolio |
|
1 |
|
2 |
|
5 |
|
8 |
|
9 |
|
10 |
|
11 |
|
12 |
|
18 |
|
19 |
Cumulative Total Return | Average Annual Total Return | ||||||||
Net
Asset Value |
Market
Value |
MSCI World Index | Net
Asset Value |
Market
Value |
MSCI World Index | ||||
ONE YEAR | – 3.50% | N/A | 2.84% | – 3.50% | N/A | 2.84% | |||
SINCE INCEPTION(1) | 38.78% | N/A | 55.35% | 7.79% | N/A | 10.63% | |||
(1) | For the period February 18, 2016 to June 30, 2020. |
Description | Market Value | % of Net Assets | ||
Eli Lilly & Co. | 32,179 | 1.5% | ||
AutoZone, Inc. | 31,587 | 1.5 | ||
Home Depot, Inc. | 31,564 | 1.5 | ||
Target Corp. | 31,062 | 1.5 | ||
Koninklijke Ahold Delhaize NV | 30,733 | 1.5 | ||
TOTAL | 157,125 | 7.5% |
Description | Level
1 – Quoted Prices |
Level
2 – Other Significant Observable Inputs |
Level
3 – Significant Unobservable Inputs |
Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Common
Stocks |
$1,241,167 | $803,789 | $— | $2,044,956 | ||||
Short-Term
Investment |
27,634 | — | — | 27,634 | ||||
TOTAL
INVESTMENTS |
$1,268,801 | $803,789 | $— | $2,072,590 |
% of Net Assets | ||
Pharmaceuticals | 13.8% | |
Diversified Telecommunication Services | 9.3 | |
Food & Staples Retailing | 6.1 | |
Food Products | 4.9 | |
Insurance | 4.8 | |
IT Services | 3.6 | |
Multiline Retail | 3.6 | |
Biotechnology | 3.5 | |
Software | 3.4 | |
Household Products | 3.4 | |
Electric Utilities | 3.1 | |
Specialty Retail | 3.0 | |
Health Care Equipment & Supplies | 2.7 | |
Beverages | 2.6 | |
Banks | 2.3 | |
Tobacco | 2.3 | |
Hotels, Restaurants & Leisure | 2.2 | |
Equity Real Estate Investment Trusts (REITs) | 2.1 | |
Communications Equipment | 2.0 | |
Commercial Services & Supplies | 2.0 | |
Metals & Mining | 2.0 | |
Wireless Telecommunication Services | 2.0 | |
Automobiles | 1.8 | |
Multi-Utilities | 1.7 | |
Household Durables | 1.5 | |
Trading Companies & Distributors | 1.2 | |
Aerospace & Defense | 1.0 | |
Technology Hardware, Storage & Peripherals | 1.0 | |
Health Care Providers & Services | 1.0 | |
Entertainment | 0.9 | |
Health Care Technology | 0.8 | |
Semiconductors & Semiconductor Equipment | 0.8 | |
Gas Utilities | 0.8 | |
Oil, Gas & Consumable Fuels | 0.4 | |
Electronic Equipment, Instruments & Components | 0.3 | |
Short-Term Investment | 1.3 | |
Other Assets in Excess of Liabilities | 0.8 | |
TOTAL | 100.0% |
Number
of Shares Held at 6/30/19 |
Value
at 6/30/19 |
Cost
of Purchases |
Proceeds
from Shares Sold |
Realized
Gain (Loss) |
Change
in Unrealized Appreciation/ Depreciation |
Number
of Shares Held at 6/30/20 |
Value
at 6/30/20 |
Dividend
Income | |||||||||
State Street Institutional Liquid Reserves Fund, Premier
Class |
— | $ — | $505,244 | $477,640 | $30 | $— | 27,623 | $27,634 | $306 | ||||||||
State Street Institutional U.S. Government Money Market Fund, Class G
Shares |
10,308 | 10,308 | 25,494 | 35,802 | — | — | — | — | 20 | ||||||||
Total |
$10,308 | $530,738 | $513,442 | $30 | $— | $27,634 | $326 |
ASSETS | |
Investments in unaffiliated issuers, at
value |
$2,044,956 |
Investments in affiliated issuers, at
value |
27,634 |
Total
Investments |
2,072,590 |
Foreign currency, at
value |
14,610 |
Cash |
604 |
Dividends receivable — unaffiliated
issuers |
2,256 |
Dividends receivable — affiliated
issuers |
29 |
Receivable from
Adviser |
432 |
Receivable for foreign taxes
recoverable |
4,417 |
TOTAL ASSETS
|
2,094,938 |
LIABILITIES | |
Payable for fund shares
repurchased |
5,501 |
Advisory fee
payable |
428 |
Trustees’ fees and expenses
payable |
2 |
TOTAL LIABILITIES
|
5,931 |
NET ASSETS
|
$2,089,007 |
NET ASSETS CONSIST OF: | |
Paid-in
Capital |
$1,974,336 |
Total distributable earnings
(loss) |
114,671 |
NET ASSETS
|
$2,089,007 |
NET ASSET VALUE PER SHARE | |
Net asset value per
share |
$ 9.82 |
Shares outstanding (unlimited amount authorized, no par
value) |
212,675 |
COST OF INVESTMENTS: | |
Investments in unaffiliated
issuers |
$1,945,759 |
Investments in affiliated
issuers |
27,634 |
Total cost of
investments |
$1,973,393 |
Foreign currency, at
cost |
$ 14,543 |
INVESTMENT INCOME | |
Dividend income — unaffiliated
issuers |
$ 64,610 |
Dividend income — affiliated
issuers |
326 |
Foreign taxes
withheld |
(4,297) |
TOTAL INVESTMENT INCOME
(LOSS) |
60,639 |
EXPENSES | |
Advisory
fee |
5,692 |
Trustees’ fees and expenses
|
30 |
Miscellaneous
expenses |
3 |
TOTAL
EXPENSES |
5,725 |
Expenses waived/reimbursed by the
Adviser |
(5,725) |
NET
EXPENSES |
— |
NET INVESTMENT INCOME
(LOSS) |
$ 60,639 |
REALIZED AND UNREALIZED GAIN (LOSS) | |
Net realized gain (loss) on: | |
Investments — unaffiliated
issuers |
11,851 |
Investments — affiliated
issuers |
30 |
Foreign currency
transactions |
(614) |
Net realized gain
(loss) |
11,267 |
Net change in unrealized appreciation/depreciation on: | |
Investments — unaffiliated
issuers |
(153,624) |
Foreign currency
translations |
122 |
Net change in unrealized
appreciation/depreciation |
(153,502) |
NET REALIZED AND UNREALIZED GAIN
(LOSS) |
(142,235) |
NET INCREASE (DECREASE) IN NET ASSETS FROM
OPERATIONS |
$ (81,596) |
Year
Ended 6/30/20 |
Year
Ended 6/30/19 | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income
(loss) |
$ 60,639 | $ 101,470 | |
Net realized gain
(loss) |
11,267 | 83,542 | |
Net change in unrealized
appreciation/depreciation |
(153,502) | (204,703) | |
Net increase (decrease) in net assets resulting from
operations |
(81,596) | (19,691) | |
Distributions to
shareholders |
(188,440) | (351,241) | |
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||
Proceeds from sale of shares
sold |
296,196 | 631,379 | |
Reinvestment of
distributions |
188,440 | 351,241 | |
Cost of shares
redeemed |
(415,467) | (3,326,507) | |
Net increase (decrease) in net assets from beneficial interest transactions
|
69,169 | (2,343,887) | |
Net increase (decrease) in net assets during the
period |
(200,867) | (2,714,819) | |
Net assets at beginning of
period |
2,289,874 | 5,004,693 | |
NET ASSETS AT END OF
PERIOD |
$2,089,007 | $ 2,289,874 | |
SHARES OF BENEFICIAL INTEREST: | |||
Shares
sold |
28,561 | 51,951 | |
Reinvestment of
distributions |
17,400 | 36,856 | |
Shares
redeemed |
(41,531) | (288,025) | |
Net increase (decrease) from share
transactions |
4,430 | (199,218) |
State Street Defensive Global Equity Portfolio | |||||||||
Year
Ended 6/30/20 |
Year
Ended 6/30/19 |
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 |
$11.00 | $12.28 | $12.03 | $10.89 | $10.00 | ||||
Net investment income (loss)
(a) |
0.28 | 0.33 | 0.42 | 0.31 | 0.15 | ||||
Net realized and unrealized gain
(loss) |
(0.58) | 0.39 | 0.36 | 1.21 | 0.74 | ||||
Total from investment
operations |
(0.30) | 0.72 | 0.78 | 1.52 | 0.89 | ||||
Distributions to shareholders from: | |||||||||
Net investment
income |
(0.39) | (0.74) | (0.38) | (0.28) | — | ||||
Net realized
gains |
(0.49) | (1.26) | (0.15) | (0.10) | — | ||||
Total
distributions |
(0.88) | (2.00) | (0.53) | (0.38) | — | ||||
Net asset value, end of
period |
$ 9.82 | $11.00 | $12.28 | $12.03 | $10.89 | ||||
Total return
(b) |
(3.50)% | 8.38% | 6.48% | 14.43% | 8.90%(c) | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in
000s) |
$2,089 | $2,290 | $5,005 | $4,631 | $3,270 | ||||
Ratios to average net assets: | |||||||||
Total
expenses |
0.25% | 0.27% | 0.30% | 0.33% | 0.27%(d) | ||||
Net
expenses |
—% | —% | —% | —%(e) | —%(d) | ||||
Net investment income
(loss) |
2.66% | 2.73% | 3.37% | 2.75% | 4.00%(d) | ||||
Portfolio turnover
rate |
57% | 72% | 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 year. |
(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%. |
Portfolio | Commencement of Operations | Diversification Classification |
State Street Defensive Global Equity Portfolio | February 19, 2016 | Diversified |
Purchases | Sales | ||
State Street Defensive Global Equity
Portfolio |
$1,260,086 | $1,329,371 |
Ordinary
Income |
Long-Term
Capital Gains |
Total | |||
State Street Defensive Global Equity
Portfolio |
$90,226 | $98,214 | $188,440 |
Ordinary
Income |
Long-Term
Capital Gains |
Total | |||
State Street Defensive Global Equity
Portfolio |
$ 165,202 | $ 186,039 | $ 351,241 |
Undistributed
Ordinary Income |
Capital
Loss Carryforwards |
Undistributed
Long-Term Capital Gains |
Net
Unrealized Gains (Losses) |
Qualified
Late-Year Losses |
Total | ||||||
State Street Defensive Global Equity
Portfolio |
$26,317 | $— | $— | $88,354 | $— | $114,671 |
Tax
Cost |
Gross
Unrealized Appreciation |
Gross
Unrealized Depreciation |
Net
Unrealized Appreciation (Depreciation) | ||||
State Street Defensive Global Equity
Portfolio |
$1,984,436 | $182,824 | $94,670 | $88,154 |
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 Defensive Global Equity
Portfolio |
0.00% | $905.90 | $0.00 | $1,024.90 | $0.00 |
(a) | Expenses are equal to the Portfolio's annualized net expense ratio multiplied by the average account value of the period, multiplied by 182, then divided by 366. |
Name,
Address and Year of Birth |
Position(s)
with Funds |
Term
of Office and Length of Time Served |
Principal
Occupation(s) During Past 5 Years |
Number
of Portfolios in Fund Complex Overseen by Trustee† |
Other
Directorships Held by Trustee During the Past 5 Years | |||||
Trustees | ||||||||||
Independent Trustees | ||||||||||
FRANK
NESVET c/o SSGA Active Trust One Iron Street Boston, MA 02210 1943 |
Independent
Trustee, Chairman, Trustee Committee Chair |
Term:
Unlimited Served: since March 2011 |
Retired. | 123 | None. | |||||
BONNY
EUGENIA BOATMAN c/o SSGA Active Trust One Iron Street Boston, MA 02210 1950 |
Independent
Trustee |
Term:
Unlimited Served: since March 2011 |
Retired. | 123 | None. | |||||
DWIGHT
D. CHURCHILL c/o SSGA Active Trust One Iron Street Boston, MA 02210 1953 |
Independent
Trustee |
Term:
Unlimited Served: since March 2011 |
Self-employed
consultant since 2010; CEO and President, CFA Institute (June 2014-January 2015). |
123 | Affiliated
Managers Group, Inc. (Chairman, Director and Audit Committee Chair). | |||||
CLARE
S. RICHER c/o SSGA Active Trust One Iron Street Boston, MA 02210 1958 |
Independent
Trustee |
Term:
Unlimited Served: since July 2018 |
Retired.
Chief Financial Officer, Putnam Investments LLC (December 2008- May 2017). |
123 | Principal
Financial Group (Director); Bain Capital Specialty Finance (Director); Putnam Acquisition Financing Inc. (Director); Putnam Acquisition Financing LLC (Director); Putnam GP Inc. (Director); Putnam Investor Services, Inc. (Director); University of Notre Dame (Trustee). | |||||
SANDRA
G. SPONEM c/o SSGA Active Trust One Iron Street Boston, MA 02210 1958 |
Independent
Trustee |
Term:
Unlimited Served: since July 2018 |
Retired.
Chief Financial Officer, M.A. Mortenson Companies, Inc. (February 2007- April 2017). |
123 | Rydex
Series Funds, Rydex Dynamic Funds, Rydex Variable Trust, Guggenheim Funds Trust, Guggenheim Variable Funds Trust, Guggenheim Strategy Funds Trust, Transparent Value Trust, Fiduciary/ Claymore Energy Infrastructure Fund, Guggenheim Taxable Municipal Managed Duration Trust, Guggenheim Strategic Opportunities Fund, Guggenheim Enhanced, Equity Income Fund, Guggenheim Credit Allocation Fund, Guggenheim Energy & Income Fund (Trustee and Audit Committee Chair). |
Name,
Address and Year of Birth |
Position(s)
with Funds |
Term
of Office and Length of Time Served |
Principal
Occupation(s) During Past 5 Years |
Number
of Portfolios in Fund Complex Overseen by Trustee† |
Other
Directorships Held by Trustee During the Past 5 Years | |||||
CARL
G. VERBONCOEUR c/o SSGA Active Trust One Iron Street Boston, MA 02210 1952 |
Independent
Trustee, Audit Committee Chair |
Term:
Unlimited Served: since March 2011 |
Self-employed
consultant since 2009. |
123 | The
Motley Fool Funds Trust (Trustee). | |||||
Interested Trustee | ||||||||||
JAMES
E. ROSS* c/o SSGA Active Trust One Iron Street Boston, MA 02210 1965 |
Interested
Trustee |
Term:
Unlimited Served as Trustee: since March 2011 |
Non-Executive
Chairman, Fusion Acquisition Corp. (June 2020 - Present); Retired Chairman and Director, SSGA Funds Management, Inc. (2005 - March 2020); Retired Executive Vice President, State Street Global Advisors (2012 - March 2020); Retired Chief Executive Officer and Director, State Street Global Advisors Funds Distributors, LLC (May 2017 - March 2020); Director, State Street Global Markets, LLC (2013 - April 2017); President, SSGA Funds Management, Inc. (2005 - 2012); Principal, State Street Global Advisors (2000 - 2005). |
134 | SSGA
SPDR ETFs Europe I plc (Director) (November 2016 - March 2020); SSGA SPDR ETFs Europe II plc (Director) (November 2016 - March 2020); State Street Navigator Securities Lending Trust (July 2016 - March 2020); SSGA Funds (January 2014 - March 2020); State Street Institutional Investment Trust (February 2007 - March 2020); State Street Master Funds (February 2007 - March 2020); Elfun Funds (July 2016 - December 2018). | |||||
† For the purpose of determining the number of portfolios overseen by the Trustees, “Fund Complex” comprises registered investment companies for which SSGA Funds Management, Inc. serves as investment adviser. | ||||||||||
* Mr. Ross is an Interested Trustee because of his former position with the Adviser and ownership interest in an affiliate of the Adviser. |
Name,
Address and Year of Birth |
Position(s)
with Funds |
Term
of Office and Length of Time Served |
Principal Occupation(s) During the Past 5 Years | |||
Officers | ||||||
ELLEN
M. NEEDHAM SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1967 |
President | Term:
Unlimited Served: since October 2012 |
Chairman, SSGA Funds Management, Inc. (March 2020 - present); President and Director, SSGA Funds Management, Inc. (2001 - present)*; Senior Managing Director, State Street Global Advisors (1992 - present)*; Manager, State Street Global Advisors Funds Distributors, LLC (May 2017 - present). | |||
BRUCE
S. ROSENBERG SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1961 |
Treasurer | Term:
Unlimited Served: since February 2016 |
Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (July 2015 - present); Director, Credit Suisse (April 2008 - July 2015). | |||
ANN
M. CARPENTER SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1966 |
Vice
President; Deputy Treasurer |
Term:
Unlimited Served: since August 2012 (with respect to Vice President);Since February 2016 (with respect to Deputy Treasurer) |
Chief Operating Officer, SSGA Funds Management, Inc. (2005 - Present)*; Managing Director, State Street Global Advisors (2005 - present).* | |||
MICHAEL
P. RILEY SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1969 |
Vice
President |
Term:
Unlimited Served: since March 2011 |
Managing Director, State Street Global Advisors (2005 - present).* | |||
SEAN
O’MALLEY SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1969 |
Chief
Legal Officer |
Term:
Unlimited Served: since August 2019 |
Senior Vice President and Deputy General Counsel, State Street Global Advisors (November 2013 -present). | |||
ANDREW
DELORME SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1975 |
Secretary | Term:
Unlimited Served: since August 2019 |
Vice President and Senior Counsel, State Street Global Advisors (April 2016 - present); Vice President and Counsel, State Street Global Advisors (August 2014 - March 2016). | |||
KEVIN
MORRIS SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1982 |
Assistant
Secretary |
Term:
Unlimited Served: since August 2019 |
Vice President and Senior Counsel, State Street Global Advisors (April 2019 - present); Vice President and Counsel, State Street Global Advisors (January 2016 -April 2019); Director, Asset Management Compliance, Fidelity Investments (June 2015 - January 2016); Senior Compliance Advisor, Asset Management Compliance, Fidelity Investments (June 2012 - June 2015). | |||
DAVID
URMAN SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1985 |
Assistant
Secretary |
Term:
Unlimited Served: since August 2019 |
Vice President and Senior Counsel, State Street Global Advisors (April 2019 - present); Vice President and Counsel, State Street Global Advisors (August 2015 - April 2019); Associate, Ropes & Gray LLP (November 2012 - August 2015). | |||
CHAD
C. HALLETT SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1969 |
Deputy
Treasurer |
Term:
Unlimited Served: since February 2016 |
Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (November 2014 - present); Vice President, State Street Bank and Trust Company (2001 - November 2014).* |
Name,
Address and Year of Birth |
Position(s)
with Funds |
Term
of Office and Length of Time Served |
Principal Occupation(s) During the Past 5 Years | |||
DARLENE
ANDERSON-VASQUEZ SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1968 |
Deputy
Treasurer |
Term:
Unlimited Served: since November 2016 |
Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (May 2016 - present); Senior Vice President, John Hancock Investments (September 2007 - May 2016). | |||
ARTHUR
A. JENSEN SSGA Funds Management, Inc. 1600 Summer Street Stamford, CT 06905 1966 |
Deputy
Treasurer |
Term:
Unlimited Served: Since August 2017 |
Vice President at State Street Global Advisors (July 2016 – present); Mutual Funds Controller of GE Asset Management Incorporated (April 2011 - July 2016). | |||
SUJATA
UPRETI SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1974 |
Assistant
Treasurer |
Term:
Unlimited Served: since February 2016 |
Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (May 2015 - present). | |||
DANIEL
FOLEY SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1972 |
Assistant
Treasurer |
Term:
Unlimited Served: since February 2016 |
Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (April 2007 - present).* | |||
DANIEL
G. PLOURDE SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1980 |
Assistant
Treasurer |
Term:
Unlimited Served: since May 2017 |
Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (May 2015 - present); Officer, State Street Bank and Trust Company (March 2009 - May 2015). | |||
BRIAN
HARRIS SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1973 |
Chief
Compliance Officer; Anti-Money Laundering Officer; Code of Ethics Compliance Officer |
Term:
Unlimited Served: since November 2013 |
Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (June 2013 - present)*; Senior Vice President and Global Head of Investment Compliance, BofA Global Capital Management (2010 - 2013); Director of Compliance, AARP Financial Inc. (2008 - 2010). | |||
* Served in various capacities and/or with various affiliated entities during noted time period. | ||||||
The Statement of Additional Information (SAI) includes additional information about the Portfolio's trustees and is available, without charge, upon request and by calling 1-866-787-2257. |
Item 2. Code of Ethics.
As of the end of the period covered by this report, the registrant has adopted a code of ethics that applies to the registrants principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party (the Code of Ethics). During the period covered by this report, no substantive amendments were made to the Code of Ethics. During the period covered by this report, the registrant did not grant any waivers, including any implicit waivers, from any provision of the Code of Ethics.
The Code of Ethics is attached hereto as Exhibit 13(a)(1).
Item 3. Audit Committee Financial Expert.
(a)(1) The Board of Trustees of the registrant has determined that the registrant has six Board members serving on the Audit Committee that possess the attributes identified in Instructions 2(b) of Item 3 to Form N-CSR to qualify as an audit committee financial expert.
(2) Bonny Boatman, Dwight Churchill, Frank Nesvet, Clare Richer, Sandra Sponem and Carl Verboncoeur are the registrants audit committee financial experts. The Board also determined that each of the foregoing persons are not interested person(s) of the registrant as that term is defined in Section 2(a)(19) of the Investment Company Act of 1940, as amended (the 1940 Act).
Item 4. Principal Accountant Fees and Services.
(a) Audit Fees.
For the fiscal years ending June 30, 2020 and June 30, 2019, the aggregate audit fees billed for professional services rendered by the principal accountant were $273,506 and $257,071, respectively. Audit fees include the performance of the annual audits and routine regulatory filings (one for each SEC registrant).
(b) Audit-Related Fees.
For the fiscal years ending June 30, 2020 and June 30, 2019, the principal accountant did not bill the registrant any fees for assurances and related services that are reasonably related to the performance of the audit of the registrants financial statements and are not reported under paragraph (a) of this Item.
(c) Tax Fees.
For the fiscal years ending June 30, 2020 and June 30, 2019, the aggregate tax fees billed for professional services rendered by the principal accountant were $138,894 and $138,894, respectively. Tax fees represent services related to the review of year-end distribution requirements, as well as the review and signing as preparer of all federal, state and excise income tax returns for the series of the registrant.
(d) All Other Fees.
There were no other fees billed by the principal accountant for the fiscal years ending June 30, 2020 and June 30, 2019.
(e)(1) Audit Committee Pre-Approval Policies and Procedures.
The registrants Audit Committee Charter states the following with respect to pre-approval procedures:
Before the independent auditors are engaged by the Trust to render audit, audit-related or permissible non-audit services, either:
(a) | The Audit Committee shall pre-approve all audit, audit-related and permissible non-audit services provided to the Trust. The Audit Committee may delegate to one or more of its members the authority to grant pre-approvals. Any decision of any member to whom authority is delegated under this section shall be presented to the full Audit Committee at its next regularly scheduled meeting; |
or
(b) | The engagement to render the audit, audit-related or permissible non-audit service is entered into pursuant to pre-approval policies and procedures established by the Audit Committee. Any such policies and procedures must (1) be detailed as to the particular service and (2) not involve any delegation of the Audit Committees responsibilities to the investment adviser. The Audit Committee must be informed of each service entered into pursuant to the policies and procedures. A copy of any such policies and procedures shall be attached as an exhibit to the Audit Committee Charter. |
(c) | Pre-Approval for a service provided to the Trust other than audit or audit-related services is not required if: (1) the aggregate amount of all such permissible non-audit services provided to the Trust constitutes not more than 5 percent of the total amount of revenues paid by the Trust to the independent auditors during the fiscal year in which the permissible non-audit services are provided; (2) such services were not recognized by the Trust at the time of the engagement to be permissible non-audit services; and (3) such services are promptly brought to the attention of the Audit Committee and are approved by the Audit Committee or by one or more members of the Audit Committee to whom authority to grant such approvals has been delegated by the Audit Committee prior to the completion of the audit (the De Minimis Exception). |
(d) | The Audit Committee shall pre-approve any permissible non-audit services proposed to be provided by the independent auditors to (a) the investment adviser and (b) any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the Trust, if the independent auditors engagement with the investment adviser or any such control persons relates directly to the operations and financial reporting of the Trust. It shall be the responsibility of the independent auditors to notify the Audit Committee of any permissible non-audit services that need to be pre-approved. |
(e) | The De Minimis exception set forth above applies to pre-approvals under this Section as well, except that the total amount of revenues calculation is based on the total amount of revenues paid to the independent auditors by the Trust and any other entity that has its services approved under this Section (i.e., the investment adviser or any control person). |
(e)(2) Percentage of Services.
One hundred percent of the services described in each of paragraphs (b) through (d) of this Item were approved by the registrants Audit Committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.
(f) Not applicable.
(g) The aggregate non-audit fees billed for by the registrants accountant for services rendered to the registrant, and rendered to the registrants investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser were as follows:
FY 2020 (in millions) |
FY 2019 (in millions) |
|||||||
Non audit services billed to: |
||||||||
Registrant: |
See Item 4 | (c) | See Item 4 | (c) | ||||
Investment Adviser: |
| | ||||||
Other entities in the Investment Company Complex (1)(2): |
||||||||
Audit Related Fees |
$ | 15.2 | $ | 14.8 | ||||
Tax Fees |
$ | 5.8 | $ | 5.3 | ||||
All Other Fees |
$ | 14.2 | $ | 16.2 |
(1) | Information is for the calendar years 2019 and 2018, respectively. |
(2) | Services under the caption Audit-Related Fees consisted principally of reports on the processing of transactions by servicing organizations, audits of employee benefit plan, non-statutory audits and due diligence procedures. Services under the caption Tax Fees consisted principally of expatriate, compliance and corporate tax advisory services. Services under the caption All Other Fees primarily related to statutory and financial statement audits and the requirement to opine on the design and operating effectiveness of internal control over financial reporting. |
(h) The registrants principal accountant notified the registrants Audit Committee of all non-audit services that were rendered by the principal accountant to the Adviser and any entity controlling, controlled by, or under common control with the Adviser that provides services to the registrant, which services were not required to be pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X, allowing the registrants Audit Committee to consider whether such services were compatible with maintaining the principal accountants independence.
Item 5. Audit Committees of Listed Registrants.
The registrant has an audit committee which was established by the Board of Trustees of the Trust in accordance with Section 3(a)(58)(A) of the Securities Exchange Act of 1934, as amended. The members of the registrants Audit Committee are Bonny Boatman, Dwight Churchill, Frank Nesvet, Clare Richer, Sandra Sponem and Carl Verboncoeur.
Item 6. Investments.
(a) | The Schedule of Investments for the SPDR DoubleLine Total Return Tactical ETF is listed below. The 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. |
Borrower | Unfunded
Loan Commitment ($) |
Value ($) | Unrealized
Appreciation/(Depreciation) ($) | |||
Intelsat Jackson Holdings
S.A. |
93,014 | 94,671 | 1,657 |
Description | Level
1 – Quoted Prices |
Level
2 – Other Significant Observable Inputs |
Level
3 – Significant Unobservable Inputs |
Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Corporate Bonds &
Notes |
$ — | $ 476,279,535 | $— | $ 476,279,535 | ||||
Asset-Backed
Securities |
— | 78,819,369 | — | 78,819,369 | ||||
Foreign Government
Obligations |
— | 30,971,059 | — | 30,971,059 | ||||
U.S. Government Agency
Obligations |
— | 1,331,899,563 | — | 1,331,899,563 | ||||
U.S. Treasury
Obligations |
— | 834,374,892 | — | 834,374,892 | ||||
Mortgage-Backed
Securities |
— | 166,261,980 | — | 166,261,980 | ||||
Commercial Mortgage Backed
Securities |
— | 101,691,129 | — | 101,691,129 | ||||
Common
Stocks |
4,080 | — | 0(a) | 4,080 | ||||
Convertible
Bonds |
— | 49,269 | — | 49,269 | ||||
Senior Floating Rate
Loans |
— | 95,384,670 | — | 95,384,670 | ||||
Short-Term
Investment |
67,857,504 | — | — | 67,857,504 | ||||
TOTAL
INVESTMENTS |
$67,861,584 | $3,115,731,466 | $ 0 | $3,183,593,050 |
Description | Level
1 – Quoted Prices |
Level
2 – Other Significant Observable Inputs |
Level
3 – Significant Unobservable Inputs |
Total | ||||
LIABILITIES: | ||||||||
OTHER FINANCIAL INSTRUMENTS: | ||||||||
Unfunded
Loans(b) |
$ — | $ 1,657 | $— | $ 1,657 | ||||
TOTAL OTHER FINANCIAL
INSTRUMENTS: |
$ — | $ 1,657 | $— | $ 1,657 |
(a) | The Fund held a Level 3 security that was valued at $0 at June 30, 2020. |
(b) | Includes appreciation (depreciation) on unfunded loan commitments. |
Number
of Shares Held at 6/30/19 |
Value
at 6/30/19 |
Cost
of Purchases |
Proceeds
from Shares Sold |
Realized
Gain (Loss) |
Change
in Unrealized Appreciation/ Depreciation |
Number
of Shares Held at 6/30/20 |
Value
at 6/30/20 |
Dividend
Income | |||||||||
State Street Institutional U.S. Government Money Market Fund, Class G
Shares |
84,316,399 | $84,316,399 | $1,125,021,728 | $1,141,480,623 | $— | $— | 67,857,504 | $67,857,504 | $748,875 |
31 | ARTOTL |
(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 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 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) Code of Ethics referred to in Item 2.
(a)(3) Not applicable to the registrant.
(a)(4) Not applicable.
(b) |
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: | September 3, 2020 |
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: | September 3, 2020 | |
By: | /s/ Bruce S. Rosenberg | |
Bruce S. Rosenberg | ||
Treasurer and Principal Financial Officer | ||
Date: | September 3, 2020 |
Exhibit 13(a)(1)
SPDR® Series Trust
SPDR® Index Shares Funds
SSGA Master Trust
SSGA Active Trust
(each, a Trust, and, collectively the Trusts)
CODE OF CONDUCT FOR PRINCIPAL EXECUTIVE AND
PRINCIPAL FINANCIAL OFFICERS
I. | Covered Officers/Purpose of the Code |
This Code of Conduct (the Code) shall apply to each Trusts Principal Executive Officer, Principal Financial Officer, Controller, Principal Accounting Officer and persons performing similar functions (the Covered Officers, each of whom is named in Exhibit A attached hereto) for the purpose of promoting:
| honest and ethical conduct, including the ethical handling of actual or apparent conflicts of interest between personal and professional relationships; |
| full, fair, accurate, timely and understandable disclosure in reports and documents that each Trust files with, or submits to, the Securities and Exchange Commission (SEC) and in other public communications made by the Trust; |
| compliance with applicable laws and governmental rules and regulations; |
| the prompt internal reporting of violations of the Code to an appropriate person or persons identified in the Code; and |
| accountability for adherence to the Code. |
Each Covered Officer should adhere to a high standard of business ethics and should be sensitive to situations that may give rise to actual as well as apparent conflicts of interest.
II. | Covered Officers Should Handle Ethically Actual and Apparent Conflicts of Interest |
Overview. A conflict of interest occurs when a Covered Officers private interest interferes with the interests of, or his or her service to, a Trust. For example, a conflict of interest would arise if a Covered Officer, or a member of his or her family, receives improper personal benefits as a result of his or her position with a Trust. Covered Officers must avoid conduct that conflicts, or appears to conflict, with their duties to a Trust. All Covered Officers should conduct themselves such that a reasonable observer would have no grounds for belief that a conflict of interest exists. Covered Officers are not permitted to self-deal or otherwise use their positions with a Trust to further their own or any other related persons business opportunities.
This Code does not, and is not intended to, repeat or replace the compliance programs and procedures or codes of ethics of each Trust or each Trusts investment adviser (the Adviser)1 or distributor.
Although typically not presenting an opportunity for improper personal benefit, conflicts may arise from, or as a result of, the contractual relationship between a Trust and its service providers, including Adviser, of which the Covered Officers may be officers or employees. As a result, this Code recognizes that the Covered Officers will, in the normal course of their duties (whether formally for a Trust, the Adviser, or other service providers), be involved in establishing policies and implementing decisions that will have different effects on the service providers and the Trusts. The participation of the Covered Officers in such activities is inherent in the contractual relationship between a Trust and its service providers and is consistent with the performance by the Covered Officers of their duties as officers of the Trust. Thus, if performed in conformity with the provisions of the Investment Company Act of 1940, as amended (Investment Company Act) and the Investment Advisers Act of 1940, as amended (Investment Advisers Act), such activities will be deemed to have been handled ethically. In addition, it is recognized by each Trusts Board of Trustees (the Board) that the Covered Officers may also be officers or employees of one or more other investment companies covered by this or other codes.
The following list provides examples of conflicts of interest under the Code, but Covered Officers should keep in mind that these examples are not exhaustive. The overarching principle is that the personal interest of a Covered Officer should not be placed improperly before the interest of a Trust.
* * * *
Each Covered Officer must not:
| use his or her personal influence or personal relationship improperly to influence investment decisions or financial reporting by a Trust whereby the Covered Officer would benefit personally to the detriment of the Trust; |
| cause a Trust to take action, or fail to take action, for the individual personal benefit of the Covered Officer rather than the benefit of the Trust; |
| retaliate against any other Covered Officer or any employee of a Trust or its affiliated persons for reports of potential violations by the Trust of applicable rules and regulations that are made in good faith; or |
1 | Any reference to Adviser with respect to a Trust may include reference to any investment sub-adviser for a series of the Trust. |
| use material non-public knowledge of portfolio transactions made or contemplated for the series of a Trust to trade personally or cause others to trade personally in contemplation of the market effect of such transactions. |
Each Covered Officer must discuss certain material conflict of interest situations with a Trusts Audit Committee. Examples of such situations include:
| service as a director, trustee, general partner, or officer of any unaffiliated business organization. This rule does not apply to charitable, civic, religious, public, political, or social organizations, the activities of which do not conflict with the interests of a Trust; |
| the receipt of any gifts, excluding branded promotional items valued at U.S. 50$ or less; |
| the receipt of any entertainment from any company with which a Trust has current or prospective business dealings unless such entertainment is business-related, reasonable in cost, appropriate as to time and place, and not so frequent as raise any question of impropriety; |
| any ownership interest in, or any consulting or employment relationship with, any of a Trusts service providers, other than its Adviser, principal underwriter, administrator, sub-administrator, transfer agent, custodian or any affiliated person thereof; and |
| a direct or indirect financial interest in commissions, transaction charges or spreads paid by a Trust for effecting portfolio transactions or for selling or redeeming shares other than an interest arising from the Covered Officers employment, such as compensation or equity ownership. |
III. | Disclosure and Conduct |
| Each Covered Officer will monitor the compliance of each Trust and the Trusts service providers with federal or state statutes, regulations or administrative procedures that affect the operation of the Trust. |
| Each Covered Officer should not knowingly misrepresent, or cause others to misrepresent, facts about a Trust to others, whether within or outside the Trust, including to the Trusts Board, the Trusts Audit Committee, the Trusts independent auditors, governmental regulators, self-regulators and self-regulatory organizations. |
| Each Covered Officer should, to the extent appropriate within his or her area of responsibility, consult with other officers and employees of a Trust and its service providers with the goal of promoting full, fair, accurate, timely and understandable disclosure in the reports and documents the Trust files with, or submits to, the SEC and in other public communications made by the Trust. |
| Each Covered Officer will exhibit and promote the highest standards of honest and ethical conduct through the establishment and operation of policies and procedures that encourage professional integrity in all aspects of each Trusts operations. |
IV. | Compliance with Applicable Laws and Regulations |
| Each Trusts Audit Committee is responsible for applying this Code to specific situations in which questions are presented under it and has the authority to interpret this Code in any particular situation, including providing any approvals or waivers sought by the Covered Persons. |
| It is the responsibility of each Covered Officer to promote compliance with the standards and restrictions imposed by applicable laws, rules and regulations. |
| In the event of any question of interpretation of the requirements under this Code, Covered Officers shall consult with the Audit Committee in order to assure compliance with the Code. |
V. | Reporting and Accountability |
Each Covered Officer must:
| upon adoption of this Code (or thereafter as applicable, upon becoming a Covered Officer), sign and return a report in the form of Exhibit B to each Trusts compliance officer affirming that he or she has received, read, and understands the Code; |
| annually sign and return a report in the form of Exhibit C to each Trusts compliance officer as an affirmation that he or she has complied with the requirements of the Code; and |
| notify a Trusts Audit Committee promptly if he or she knows of any violation of this Code. Failure to do so is itself a violation of this Code. |
The Audit Committee will follow these procedures in investigating and enforcing this Code:
| The Audit Committee will take all appropriate actions to investigate any potential violations reported to the Committee. |
| If, after such investigation, the Audit Committee believes that no violation has occurred, the Audit Committee is not required to take any further action. |
| Any matter that the Audit Committee believes is a violation of this Code will be reported to the full Board. |
| If the Board concurs that a violation has occurred, it will notify the appropriate personnel of the applicable service provider and may dismiss the Covered Officer as an officer of the Trusts. |
| The Audit Committee will be responsible for granting waivers of provisions of this Code, as appropriate. |
| Any changes to or waivers of this Code will, to the extent required, be disclosed as provided by SEC rules. |
VI. | Other Policies and Procedures |
This Code shall be the sole code of ethics adopted by each Trusts for purposes of Section 406 of the Sarbanes-Oxley Act of 2002 and the rules and forms applicable to registered investment companies thereunder. Insofar as other policies or procedures of each Trust, each Trusts Adviser, principal underwriter, or other service providers govern or purport to govern the behavior or activities of the Covered Officers who are subject to this Code, they are superseded by this Code to the extent that they overlap or conflict with the provisions of this Code. The Trusts Advisers and principal underwriters codes of ethics under Rule 17j-1 under the Investment Company Act and the Advisers more detailed policies and procedures are separate requirements applying to the Covered Officers and others, and are not part of this Code.
VII. | Amendments |
Any amendments to this Code, other than amendments to Exhibit A, must be approved or ratified by a majority vote of the Board, including a majority of Independent Trustees.
VIII. | Confidentiality |
All reports and records prepared or maintained pursuant to this Code will be considered confidential and shall be maintained and protected accordingly. Except as otherwise required by law or this Code, such matters shall not be disclosed to anyone other than the Trusts Board or Audit Committee.
IX. | Internal Use |
The Code is intended solely for the internal use by each Trust and does not constitute an admission, by or on behalf of a Trust, as to any fact, circumstance, or legal conclusion.
Adopted (SPDR® Series Trust): August 18, 2003
Adopted (SPDR® Index Shares Funds): July 1, 2004
Updated: August 1, 2007
Amended: November 18, 2010
Adopted (SSGA Master Trust/SSGA Active Trust)/Amended: May 25, 2011
Updated: November 17, 2015
Amended on: February 23, 2017
EXHIBIT A
Persons Covered by this Code of Conduct:
Title | Name | |
President, Chief Executive Officer and Principal Executive Officer | Ellen M. Needham | |
Treasurer, Chief Financial Officer and Principal Financial Officer | Bruce S. Rosenberg |
EXHIBIT B
INITIAL CERTIFICATION FORM
This is to certify that I have read and understand the Code of Conduct for Principal Executive and Principal Financial Officers of SPDR® Series Trust, SPDR® Index Shares Funds, SSGA Master Trust and SSGA Active Trust and that I recognize that I am subject to the provisions thereof and will comply with the policy and procedures stated therein.
Please sign your name here: |
|
|||||
Please print your name here: |
|
|||||
Please date here: |
|
EXHIBIT C
ANNUAL CERTIFICATION FORM
This is to certify that I have read and understand the Code of Conduct for Principal Executive and Senior Financial Officers of SPDR® Series Trust, SPDR® Index Shares Funds, SSGA Master Trust and SSGA Active Trust (the Code) and that I recognize that I am subject to the provisions thereof and will comply with the policy and procedures stated therein.
This is to further certify that I have complied with the policies and procedures set forth in each Code during my tenure as a Covered Officer, as defined in the Code.
Please sign your name here: |
|
|||||
Please print your name here: |
|
|||||
Please date here: |
|
Exhibit 13(a)(2)
CERTIFICATIONS
I, Ellen M. Needham, President and Principal Executive Officer of SSGA Active Trust, certify that:
1. | I have reviewed this report on Form N-CSR of SSGA Active Trust; |
2. | Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; |
3. | Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report; |
4. | The registrants other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: |
(a) | Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; |
(b) | Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; |
(c) | Evaluated the effectiveness of the registrants disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and |
(d) | Disclosed in this report any change in the registrants internal control over financial reporting that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrants internal control over financial reporting; and |
5. | The registrants other certifying officer(s) and I have disclosed to the registrants auditors and the audit committee of the registrants board of directors (or persons performing the equivalent functions): |
(a) | All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrants ability to record, process, summarize, and report financial information; and |
(b) | Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrants internal control over financial reporting. |
Date: | September 3, 2020 | |
By: | /s/ Ellen M. Needham | |
Ellen M. Needham | ||
President and Principal Executive Officer |
I, Bruce S. Rosenberg, Treasurer and Principal Financial Officer of SSGA Active Trust, certify that:
1. | I have reviewed this report on Form N-CSR of SSGA Active Trust; |
2. | Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; |
3. | Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report; |
4. | The registrants other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: |
(a) | Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; |
(b) | Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; |
(c) | Evaluated the effectiveness of the registrants disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and |
(d) | Disclosed in this report any change in the registrants internal control over financial reporting that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrants internal control over financial reporting; and |
5. | The registrants other certifying officer(s) and I have disclosed to the registrants auditors and the audit committee of the registrants board of directors (or persons performing the equivalent functions): |
(a) | All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrants ability to record, process, summarize, and report financial information; and |
(b) | Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrants internal control over financial reporting. |
Date: | September 3, 2020 | |
By: | /s/ Bruce S. Rosenberg | |
Bruce S. Rosenberg | ||
Treasurer and Principal Financial Officer |
Exhibit 13(b)
SECTION 906 CERTIFICATION
I, Ellen M. Needham, President and Principal Executive Officer, and I, Bruce S. Rosenberg, Treasurer and Principal Financial Officer, of SSGA Active Trust (the Trust) each certify that:
1. | This Form N-CSR filing for the Trust (the Report) fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934, as amended; and |
2. | The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Trust. |
By: | /s/ Ellen M. Needham | |
Ellen M. Needham | ||
President and Principal Executive Officer | ||
Date: September 3, 2020 | ||
By: | /s/ Bruce S. Rosenberg | |
Bruce S. Rosenberg | ||
Treasurer and Principal Financial Officer | ||
Date: | September 3, 2020 |
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