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 O’Malley, 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
Registrant’s telephone number, including area code: (617) 664-1465
Date of fiscal year end: June 30
Date of reporting period: June 30, 2021
Item 1. Reports to Shareholders.
(a) The Reports to Shareholders are attached herewith.
Annual Report
June 30, 2021
SSGA Active Trust
| SPDR SSGA Multi-Asset Real Return ETF |
| SPDR SSGA Income Allocation ETF |
| SPDR SSGA Global Allocation ETF |
| SPDR SSGA Ultra Short Term Bond ETF |
| SPDR Nuveen Municipal Bond ETF |
The
information contained in this report is intended for the general information of shareholders of the Trust. This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current Trust prospectus which
contains important information concerning the Trust. You may obtain a current prospectus and SAI from the Distributor by calling 1-866-787-2257 or visiting www.ssga.com. Please read the prospectus carefully before you invest.
TABLE OF CONTENTS
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1 |
| Management’s Discussion of Fund Performance, Performance Summaries & Portfolio Statistics (Unaudited) | |
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11 |
| Schedules of Investments | |
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15 |
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17 |
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19 |
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21 |
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27 |
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32 |
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38 |
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43 |
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52 |
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54 |
The information contained in this report is intended
for the general information of shareholders of the Trust. This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current Trust prospectus which contains important information concerning the Trust.
You may obtain a current prospectus and SAI from the Distributor by calling 1-866-787-2257 or visiting www.ssga.com. Please read the prospectus carefully before you invest.
Notes to
Performance Summaries (Unaudited)
The performance
chart of a Fund’s total return at net asset value (“NAV”), the total return based on market price and its benchmark index is provided for comparative purposes only and represents the periods noted. A Fund’s per share NAV is
the value of one share of a Fund and is calculated by dividing the value of total assets less total liabilities by the number of shares outstanding. The NAV return is based on the NAV of a Fund and the market return is based on the market price per
share of a Fund. The market price used to calculate the market return is determined by using the midpoint between the highest bid and the lowest offer on the exchange on which the shares of a Fund are listed for trading, as of the time that a
Fund’s NAV is calculated. NAV and market returns assume that dividends and capital gain distributions have been reinvested in a Fund at NAV. Market returns do not include brokerage commissions that may be payable on secondary market
transactions. If brokerage commissions were included market returns would be lower.
An index is a statistical measure of a specified financial
market or sector. An index does not actually hold a portfolio of securities and therefore does not reflect deductions for fees or expenses. In comparison, a Fund’s performance is negatively impacted by these deductions. Index returns reflect
all items of income, gain and loss and the reinvestment of dividends and other income.
The SPDR Nuveen Municipal Bond ETF has less than six months of
operations as of June 30, 2021 and, therefore, the Management's Discussion of Fund Performance and Performance Summary are not included in this report.
The Bloomberg Barclays U.S. Government Inflation-linked
Bond Index includes publicly issued, U.S. Treasury inflation protected securities that have at least 1 year remaining to maturity on index rebalancing date, with an issue size equal to or in excess of $500 million. Bonds must be capital-indexed and
linked to an eligible inflation index. The securities must be denominated in U.S. Dollars and pay coupon and principal in U.S. Dollars. The notional coupon of a bond must be fixed or zero. Bonds must settle on or before the index rebalancing
date.
The DBIQ Optimum Yield Diversified Commodity
Index Excess Return employs a rule based approach when it rolls from one futures contract to another for each commodity in the index. DBLCI Diversified Index represents 14 commodities drawn from the Energy, Precious Metals, Industrial Metals and
Agriculture sectors.
The MSCI World Index is a free
float-adjusted market capitalization weighted index that is designed to measure the large and mid-cap equity market performance of developed markets.
The Bloomberg Barclays US Long Government/Credit Index
measures the investment return of all medium and larger public issues of U.S. Treasury, agency, investment-grade corporate, and investment-grade international dollar-denominated bonds with maturities longer than 10 years. The average maturity is
approximately 20 years.
The MSCI ACWI IMI Index is a
free float-adjusted market capitalization-weighted index that is designed to measure the combined equity market performance of developed and emerging markets. The Index covers approximately 99% of the global equity markets.
The Bloomberg Barclays U.S. Aggregate Bond Index provides a
measure of the performance of the U.S. dollar denominated investment grade bond market, which includes investment grade (must be Baa3/BBB- or higher using the middle rating of Moody’s Investor Service, Inc., Standard & Poor’s, and
Fitch Inc.) government bonds, investment grade corporate bonds, mortgage pass through securities, commercial mortgage backed securities and asset backed securities that are publicly for sale in the United States.
The Bloomberg Barclays US Treasury Bellwether 3 Month Index is
a benchmark tracking the performance and attributes of the on-the-run U.S. Treasury that reflects the most recently issued three month security.
See accompanying notes to financial statements.
1
SPDR SSGA
Multi-Asset Real Return ETF
Management's Discussion of Fund
Performance (Unaudited)
The SPDR SSGA Multi-Asset Real
Return ETF (the “Fund”) seeks to achieve real return consisting of capital appreciation and current income. The Fund’s primary benchmark is the Bloomberg Barclays U.S. Government Inflation-Linked Bond Index (the
“Index”).
For the 12-month period ended
June 30, 2021 (the “Reporting Period”), the total return for the Fund was 37.12%, and the Index was 6.51%. The Fund and Index returns reflect the reinvestment of dividends and other income. The Fund’s performance reflects the
expenses of managing the Fund, including brokerage and advisory expenses. The Index is unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns.
The allocations to commodities and global natural resource
equities were the primary drivers with global infrastructure equities and real estate via Real Estate Investment Trusts (REITs) providing additional support of Fund performance during the Reporting Period relative to the Index. Broad-based
commodities and global natural resources equities enjoyed a resounding recovery during the early months of the reporting period as industrial production ramped back up, Chinese demand continued to recover and supply in certain markets was curtailed
on account of the global pandemic. However, rising infections in the later periods of 2020 portended weaker U.S. gasoline demand and plateauing mobility readings weighed on sentiment. Gold was added to provide some downside protection. However, that
was short-lived as the precious metal lost its shine as the reflation theme emerged. As the end of 2020 approached the view of the commodities complex and natural resource equities became attractive with favorable prospects across energy, industrial
metals, and agriculture with positive price momentum and improved futures curve dynamics. In 2021, robust oil demand and supply discipline, the continuation of vaccine rollouts and easing of mobility restrictions buoyed the energy sector while a
combination of strong and increasing consumer demand coupled with the push for green energy supported industrial metals. The global economic recovery, highlighted by surging trade off pandemic lows, supply-chain disruptions, along with anticipated
bold U.S. infrastructure spending plans provided further support for infrastructure equities. The portfolio continued to diversify its growth asset exposure with healthy allocations to commodities, global natural resource and infrastructure
equities. In 2020, the outlook for REITs was weak with high financial leverage, negative valuations and weakening earnings and sales estimates. Further, still stringent social distancing guidelines and only gradual re-openings continue to pressure
real estate and impact cash flows and dividends. Brighter prospects of economic reopening and supportive risk appetite supported real estate in 2021, but our outlook was not as positive relative to other reflationary asset options more closely tied
to the elevated inflation prints observed in 2021. Inflation expectations in the U.S. as measured by the 5-year breakeven rate recovered to near pre-COVID-19 levels in the third quarter of 2020 and proceeded to exceed them in 2021 as investors
contemplated the potential for rising inflation to be more than transitory. Coupled with plentiful fiscal and monetary stimulus, positioning in assets such as commodities and global natural resources rebounded strongly from the pandemic lows of 2020
over the reporting period.
The Fund did not invest in
derivatives during the reporting period.
On an
individual security level, the top positive contributors to the Fund’s performance on an absolute basis were the Invesco Invesco Optimum Yield Diversified Commodity Strategy No K-1 ETF (PDBC), SPDR Global Natural Resources EFT (GNR), and SPDR
S&P Metals and Mining ETF(XME). The lowest contributors to the Fund’s performance on an absolute basis were the DB Gold Fund (DGL) SPDR Portfolio TIPS ETF (SPIP), and SPDR FTSE International Government Inflation-Protected Bond ETF
(WIP).
The views expressed above reflect those of the
Fund’s portfolio manager only through the Reporting Period, and do not necessarily represent the views of the Adviser as a whole. Any such views are subject to change at any time based upon market or other conditions and the Adviser disclaims
any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any
fund.
See accompanying notes to financial statements.
2
SPDR SSGA
Multi-Asset Real Return ETF
Performance Summary (Unaudited)
Performance as of June 30, 2021
| 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 | 37.12% | 37.12% | 6.51% | 57.54% | 37.12% | 37.12% | 6.51% | 57.54% | |||
| FIVE YEARS | 32.63% | 32.69% | 23.38% | 27.40% | 5.81% | 5.82% | 4.29% | 4.96% | |||
| SINCE INCEPTION(1) | 16.94% | 16.97% | 28.08% | (26.90)% | 1.72% | 1.72% | 2.73% | (3.36)% | |||
| (1) | For the period April 25, 2012 to June 30, 2021. Since shares of the Fund did not trade in the secondary market until the day after the Fund’s inception, for the period from inception to the first day of secondary market trading in shares of the Fund (4/25/12, 4/26/12, respectively), the NAV of the Fund is used as a proxy for the secondary market trading price to calculate market returns. |
Comparison of Change in Value of a $10,000 Investment
(Based on Net Asset Value)
(Based on Net Asset Value)
Line graph is
based on cumulative total return.
The total expense
ratio for SPDR SSGA Multi-Asset Real Return ETF as stated in the Fees and Expenses table of the most recent prospectus is 0.50%. Please see the financial highlights for the total expense ratio for the fiscal period ended June 30, 2021.
Performance quoted represents past performance, which is no
guarantee of future results. Investment return and principal value will fluctuate, so you may have a gain or loss when shares are sold. Current performance may be higher or lower than that quoted. Visit www.ssga.com for most recent month-end
performance. The returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption or sale of Fund shares. See "Notes to Performance Summaries" on page 1 for more information.
See accompanying notes to financial statements.
3
SPDR SSGA
Multi-Asset Real Return ETF
Portfolio Statistics
(Unaudited)
Top Five Holdings as of
June 30, 2021
| Description | % of Net Assets | ||
| Invesco Optimum Yield Diversified Commodity Strategy No. K-1 ETF | 25.1% | ||
| SPDR S&P Global Natural Resources ETF | 24.6 | ||
| SPDR S&P Global Infrastructure ETF | 21.8 | ||
| SPDR Bloomberg Barclays 1-10 Year TIPS ETF | 8.5 | ||
| SPDR Dow Jones REIT ETF | 4.0 | ||
| TOTAL | 84.0% |
(The five largest holdings are subject to
change, and there are no guarantees the Fund will continue to remain invested in any particular company.)
Asset Allocation as of June 30, 2021
| % of Net Assets | |||
| Natural Resources | 28.4% | ||
| Commodities | 25.1 | ||
| International Equity | 23.8 | ||
| Inflation Linked | 8.5 | ||
| Real Estate | 6.0 | ||
| Domestic Equity | 3.9 | ||
| International Fixed Income | 3.8 | ||
| Short Term Investments | 10.0 | ||
| Liabilities in Excess of Other Assets | (9.5) | ||
| TOTAL | 100.0% |
(The Fund's asset allocation is expressed as
a percentage of net assets and may change over time.)
See accompanying notes to financial statements.
4
SPDR SSGA
Income Allocation ETF
Management's Discussion of Fund Performance
(Unaudited)
The SPDR SSGA Income Allocation ETF (the
“Fund”) seeks to provide total return by focusing on investments in income and yield-generating assets. The Fund’s benchmark is the MSCI World Index (the “Index”).
For the 12-month period ended June 30, 2021 (the
“Reporting Period”), the total return for the Fund was 21.90%, and the Index was 39.04%. The Fund and Index returns reflect the reinvestment of dividends and other income. The Fund’s performance reflects the expenses of managing
the Fund, including brokerage and advisory expenses. The Index is unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns.
Broad diversification across global asset classes,
allocations to several high dividend equity markets as well as asset allocation positioning were primary drivers of Fund performance during the Reporting Period relative to the Index. While the world continued to grapple with the pandemic associated
with COVID-19, financial markets delivered mostly strong performance as economies were supported by significant monetary and fiscal policy actions globally. And the rapid development of a vaccine enabled economic reopening, especially in developed
markets. Many equity markets delivered performance over the past year that exceeded 40% while a recovering economy, increased inflation expectations as well as concerns over monetary policy withdrawal led to losses for many fixed income investments.
The broad diversification held in the Fund was the primary detractor of performance compared with the Index, which is solely composed of equity securities. While most of the securities held by the Fund did advance over the past year, the government
bond ETF held in the portfolio declined in value and some higher beta fixed income and hybrid securities such as preferred stocks did not deliver the same level of total return as broad-based equity markets. Additionally, several relatively high
income equity assets owned by the fund including international dividend equities and REITs lagged other market cap weighted equities. Asset allocation positioning for the Fund contributed favorably to performance as the Fund concentrated its
holdings in areas that tend to do well as capital markets recover and economic growth accelerates such as equities and credit assets within fixed income. However, when compared against an all-equity index the overall results of the Fund still
lagged.
The Fund did not invest in derivatives during
the Reporting Period.
On an individual security
level, the top positive contributors to the Fund’s performance on an absolute basis during the Reporting Period were the SPDR Portfolio S&P 500 High Dividend ETF, the iShares Mortgage Real Estate ETF and the SPDR Bloomberg Barclays
Convertible Securities ETF. The top negative contributors to the Fund’s performance on an absolute basis during the Reporting Period was the SPDR Portfolio Long Term Treasury ETF.
The views expressed above reflect those of the Fund’s
portfolio manager only through the Reporting Period, and do not necessarily represent the views of the Adviser as a whole. Any such views are subject to change at any time based upon market or other conditions and the Adviser disclaims any
responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any fund.
See
accompanying notes to financial statements.
5
SPDR SSGA
Income Allocation ETF
Performance Summary (Unaudited)
Performance as of June 30, 2021
| 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 | 21.90% | 21.92% | 39.04% | (1.86)% | 21.90% | 21.92% | 39.04% | (1.86)% | |||
| FIVE YEARS | 38.56% | 38.55% | 99.64% | 30.38% | 6.74% | 6.74% | 14.83% | 5.45% | |||
| SINCE INCEPTION(1) | 68.94% | 68.95% | 180.06% | 69.95% | 5.88% | 5.88% | 11.87% | 5.95% | |||
| (1) | For the period April 25, 2012 to June 30, 2021. Since shares of the Fund did not trade in the secondary market until the day after the Fund’s inception, for the period from inception to the first day of secondary market trading in shares of the Fund (4/25/12, 4/26/12, respectively), the NAV of the Fund is used as a proxy for the secondary market trading price to calculate market returns. |
Comparison of Change in Value of a $10,000 Investment
(Based on Net Asset Value)
(Based on Net Asset Value)
Line graph is
based on cumulative total return.
The total expense ratio
for SPDR SSGA Income Allocation ETF as stated in the Fees and Expenses table of the most recent prospectus is 0.50%. Please see the financial highlights for the total expense ratio for the fiscal period ended June 30, 2021.
Performance quoted represents past performance, which is no
guarantee of future results. Investment return and principal value will fluctuate, so you may have a gain or loss when shares are sold. Current performance may be higher or lower than that quoted. Visit www.ssga.com for most recent month-end
performance. The returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption or sale of Fund shares. See "Notes to Performance Summaries" on page 1 for more information.
See accompanying notes to financial statements.
6
SPDR SSGA
Income Allocation ETF
Portfolio Statistics (Unaudited)
Top Five Holdings as of June 30, 2021
| Description | % of Net Assets | ||
| SPDR Blackstone Senior Loan ETF | 20.3% | ||
| SPDR Portfolio S&P 500 High Dividend ETF | 15.4 | ||
| SPDR Bloomberg Barclays Emerging Markets Local Bond ETF | 9.9 | ||
| SPDR S&P International Dividend ETF | 8.8 | ||
| SPDR Portfolio Long Term Corporate Bond ETF | 7.9 | ||
| TOTAL | 62.3% |
(The five largest holdings are subject to
change, and there are no guarantees the Fund will continue to remain invested in any particular company.)
Asset Allocation as of June 30, 2021
| % of Net Assets | |||
| Domestic Fixed Income | 47.8% | ||
| Domestic Equity | 28.5 | ||
| International Equity | 13.7 | ||
| International Fixed Income | 9.9 | ||
| Short Term Investments | 8.2 | ||
| Liabilities in Excess of Other Assets | (8.1) | ||
| TOTAL | 100.0% |
(The Fund's asset allocation is expressed as
a percentage of net assets and may change over time.)
See accompanying notes to financial statements.
7
SPDR SSGA
Global Allocation ETF
Management's Discussion of Fund Performance
(Unaudited)
The SPDR SSGA Global Allocation ETF (the
“Fund”) seeks to provide capital appreciation. The Fund’s benchmark is the MSCI ACWI IMI Index (the “Index”).
For the 12-month period ended June 30, 2021 (the
“Reporting Period”), the total return for the Fund was 27.51%, and the Index was 40.94%. The Fund and Index returns reflect the reinvestment of dividends and other income. The Fund’s performance reflects the expenses of managing
the Fund, including brokerage and advisory expenses. The Index is unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns.
Broad diversification across global asset classes as well
as asset allocation positioning were primary drivers of Fund performance during the Reporting Period relative to the Index. While the world continued to grapple with the pandemic associated with COVID-19, financial markets delivered mostly strong
performance as economies were supported by significant monetary and fiscal policy actions globally. And the rapid development of a vaccine enabled economic reopening, especially in developed markets. Many equity markets delivered performance over
the past year that exceeded 40% while a recovering economy, increased inflation expectations as well as concerns over monetary policy withdrawal led to losses for many fixed income investments. The broad diversification held in the Fund was the
primary detractor of performance compared with the Index, which is solely composed of equity securities. While most of the securities held by the Fund did advance over the past year, several securities declined in value and some higher beta fixed
income securities did not deliver the same level of total return as broad-based equity markets. Asset allocation positioning for the Fund contributed favorably to performance as the Fund concentrated its holdings in areas that tend to do well as
capital markets recover and economic growth accelerates such as equities, commodities and credit assets within fixed income. However, when compared against an all-equity index the overall results of the Fund still lagged.
The Fund did not invest in derivatives during the Reporting
Period.
On an individual security level, the top
positive contributors to the Fund’s performance on an absolute basis during the Reporting Period were the SPDR S&P 500 ETF Trust, the SPDR Portfolio Developed World ex-US ETF and the SPDR Portfolio Emerging Markets ETF. The top negative
contributors to the Fund’s performance on an absolute basis during the Reporting Period were the Invesco DB Gold Fund, the Materials Select Sector SPDR Fund and the SPDR Portfolio Aggregate Bond ETF.
The views expressed above reflect those of the Fund’s
portfolio manager only through the Reporting Period, and do not necessarily represent the views of the Adviser as a whole. Any such views are subject to change at any time based upon market or other conditions and the Adviser disclaims any
responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any fund.
See
accompanying notes to financial statements.
8
SPDR SSGA
Global Allocation ETF
Performance Summary (Unaudited)
Performance as of June 30, 2021
| 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 | 27.51% | 27.39% | 40.94% | (0.33)% | 27.51% | 27.39% | 40.94% | (0.33)% | |||
| FIVE YEARS | 55.95% | 55.91% | 97.21% | 16.08% | 9.29% | 9.29% | 14.55% | 3.03% | |||
| SINCE INCEPTION(1) | 96.61% | 96.66% | 165.46% | 31.45% | 7.64% | 7.64% | 11.22% | 3.02% | |||
| (1) | For the period April 25, 2012 to June 30, 2021. Since shares of the Fund did not trade in the secondary market until the day after the Fund’s inception, for the period from inception to the first day of secondary market trading in shares of the Fund (4/25/12, 4/26/12, respectively), the NAV of the Fund is used as a proxy for the secondary market trading price to calculate market returns. |
Comparison of Change in Value of a $10,000 Investment
(Based on Net Asset Value)
(Based on Net Asset Value)
Line graph is
based on cumulative total return.
The total expense ratio
for SPDR SSGA Global Allocation ETF as stated in the Fees and Expenses table of the most recent prospectus is 0.35%. Please see the financial highlights for the total expense ratio for the fiscal period ended June 30, 2021.
Performance quoted represents past performance, which is no
guarantee of future results. Investment return and principal value will fluctuate, so you may have a gain or loss when shares are sold. Current performance may be higher or lower than that quoted. Visit www.ssga.com for most recent month-end
performance. The returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption or sale of Fund shares. See "Notes to Performance Summaries" on page 1 for more information.
See accompanying notes to financial statements.
9
SPDR SSGA
Global Allocation ETF
Portfolio Statistics (Unaudited)
Top Five Holdings as of June 30, 2021
| Description | % of Net Assets | ||
| SPDR S&P 500 ETF Trust | 21.5% | ||
| SPDR Portfolio Developed World ex-US ETF | 15.1 | ||
| SPDR Portfolio Emerging Markets ETF | 7.0 | ||
| SPDR Portfolio Intermediate Term Corporate Bond ETF | 6.1 | ||
| SPDR Portfolio Long Term Corporate Bond ETF | 5.2 | ||
| TOTAL | 54.9% |
(The five largest holdings are subject to
change, and there are no guarantees the Fund will continue to remain invested in any particular company.)
Asset Allocation as of June 30, 2021
| % of Net Assets | |||
| Domestic Equity | 34.4% | ||
| International Equity | 29.9 | ||
| Domestic Fixed Income | 21.0 | ||
| Inflation Linked | 5.1 | ||
| Commodities | 4.9 | ||
| Real Estate | 1.9 | ||
| International Fixed Income | 1.0 | ||
| Short Term Investments | 16.8 | ||
| Liabilities in Excess of Other Assets | (15.0) | ||
| TOTAL | 100.0% |
(The Fund's asset allocation is expressed as
a percentage of net assets and may change over time.)
See accompanying notes to financial statements.
10
SPDR SSGA
Ultra Short Term Bond ETF
Management's Discussion of Fund
Performance (Unaudited)
The SPDR SSGA Ultra Short Term
Bond ETF (the “Fund”) seeks to maximize current income consistent with preservation of capital and daily liquidity. The Fund’s benchmark is the Bloomberg Barclays U.S. Treasury Bellwether 3 Month Index (the
“Index”).
For the 12-month period ended
June 30, 2021 (the “Reporting Period”), the total return for the Fund was 1.34%, and the Index was 0.09%. The Fund and Index returns reflect the reinvestment of dividends and other income. The Fund’s performance reflects the
expenses of managing the Fund, including brokerage and advisory expenses. The Index is unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns.
The Fund’s allocation to investment grade corporate
credit floating rate notes (“FRN”) was the primary driver of the Fund’s out-performance of the Index during the Reporting Period. During the Reporting Period, there was the discovery and broad U.S distribution of multiple COVID-19
vaccines, which led to a significant increase in U.S. economic activity. During the Reporting Period, the Fed maintained the Fed Funds rate at 0.25%. Also during the Reporting Period, the Fed’s balance sheet grew from $7.1 trillion to $8.1
trillion. Finally, the U.S. government passed legislation during the Reporting Period that resulted in roughly $2.8 trillion of new fiscal stimulus. The combination of the discovery and distribution of COVID-19 vaccines, above-trend economic
activity, and continued government stimulus were the key drivers to the significant tightening of FRN spreads observed during the Reporting Period. The Fund maintained a duration profile near the middle of its 0.25 to 0.75 range during the Reporting
Period.
As of the June 30, 2021, the Fund’s asset
allocation consisted of U.S. Treasuries (2.7%), Credit-Financial (25.1%), Credit-Industrial (30.8%), Credit-Non Corp (7.6%), ABS (10.2%), CMBS (7.9%) and Cash (15.8%).
The Fund did not invest in derivatives during the Reporting
Period.
The views expressed above reflect those of
the Fund’s portfolio manager only through the Reporting Period, and do not necessarily represent the views of the Adviser as a whole. Any such views are subject to change at any time based upon market or other conditions and the Adviser
disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of
any fund.
See accompanying notes to financial statements.
11
SPDR SSGA
Ultra Short Term Bond ETF
Performance Summary (Unaudited)
Performance as of June 30, 2021
| 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 | 1.34% | 1.20% | 0.09% | 1.34% | 1.20% | 0.09% | |
| FIVE YEARS | 9.47% | 9.51% | 6.07% | 1.83% | 1.83% | 1.19% | |
| SINCE INCEPTION(1) | 10.91% | 10.94% | 6.40% | 1.35% | 1.35% | 0.81% | |
| (1) | For the period October 9, 2013 to June 30, 2021. Since shares of the Fund did not trade in the secondary market until one day after the Fund’s inception, for the period from inception to the first day of secondary market trading in shares of the Fund (10/9/13, 10/10/13, respectively), the NAV of the Fund is used as a proxy for the secondary market trading price to calculate market returns. |
Comparison of Change in Value of a $10,000 Investment
(Based on Net Asset Value)
(Based on Net Asset Value)
Line graph is
based on cumulative total return.
The total expense ratio
for SPDR SSGA Ultra Short Term Bond ETF as stated in the Fees and Expenses table of the most recent prospectus is 0.20%. Please see the financial highlights for the total expense ratio for the fiscal period ended June 30, 2021.
Performance quoted represents past performance, which is no
guarantee of future results. Investment return and principal value will fluctuate, so you may have a gain or loss when shares are sold. Current performance may be higher or lower than that quoted. Visit www.ssga.com for most recent month-end
performance. The returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption or sale of Fund shares. See "Notes to Performance Summaries" on page 1 for more information.
See accompanying notes to financial statements.
12
SPDR SSGA
Ultra Short Term Bond ETF
Portfolio Statistics (Unaudited)
Top Five Holdings as of June 30, 2021
| Description | % of Net Assets | ||
| Nissan
Master Owner Trust Receivables ABS 0.63% 2/15/2024 |
2.8% | ||
| U.S.
Treasury Bill 0.05% 7/13/2021 |
2.7 | ||
| BX
Commercial Mortgage Trust 0.74% 3/15/2037 |
2.3 | ||
| CenterPoint
Energy Resources Corp. 0.63% 3/2/2023 |
2.0 | ||
| Golden
Credit Card Trust ABS 0.59% 7/15/2024 |
1.9 | ||
| TOTAL | 11.7% |
(The five largest holdings are subject to
change, and there are no guarantees the Fund will continue to remain invested in any particular company.)
Asset Allocation as of June 30, 2021
| % of Net Assets | |||
| Corporate Bonds & Notes | 63.3% | ||
| Asset-Backed Securities | 10.1 | ||
| Mortgage-Backed Securities | 4.4 | ||
| Commercial Mortgage Backed Securities | 3.5 | ||
| U.S. Treasury Obligations | 2.7 | ||
| Short-Term Investment | 15.6 | ||
| Other Assets in Excess of Liabilities | 0.4 | ||
| TOTAL | 100.0% |
(The Fund's asset allocation is expressed as
a percentage of net assets and may change over time.)
See accompanying notes to financial statements.
13
SPDR Nuveen
Municipal Bond ETF
Portfolio Statistics (Unaudited)
Top Five Holdings as of June 30, 2021
| Description | % of Net Assets | ||
| New
York, State Dormitory Authority Revenue, State Supported Debt 1.54% 3/15/2027 |
3.3% | ||
| Washington,
State General Obligation 5.00% 2/1/2037 |
2.9 | ||
| Energy
Northwest Revenue 5.00% 7/1/2033 |
2.9 | ||
| Los
Angeles Unified School District, General Obligation 5.00% 7/1/2029 |
2.9 | ||
| State
of Florida Revenue 5.00% 6/1/2029 |
2.9 | ||
| TOTAL | 14.9% |
(The five largest holdings are subject to
change, and there are no guarantees the Fund will continue to remain invested in any particular company.)
Asset Allocation as of June 30, 2021
| % of Net Assets | |||
| Municipal Bonds & Notes | 99.3% | ||
| Short-Term Investment | 3.0 | ||
| Liabilities in Excess of Other Assets | (2.3) | ||
| TOTAL | 100.0% |
(The Fund's asset allocation is expressed as
a percentage of net assets and may change over time.)
See accompanying notes to financial statements.
14
SPDR SSGA
MULTI-ASSET REAL RETURN ETF
SCHEDULE OF INVESTMENTS
June 30, 2021
The following table summarizes the value of the
Fund's investments according to the fair value hierarchy as of June 30, 2021.
| 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 |
$129,687,694 | $— | $— | $129,687,694 | ||||
|
Short-Term
Investments |
13,027,853 | — | — | 13,027,853 | ||||
|
TOTAL
INVESTMENTS |
$142,715,547 | $— | $— | $142,715,547 |
See accompanying notes to financial statements.
15
SPDR SSGA
MULTI-ASSET REAL RETURN ETF
SCHEDULE OF INVESTMENTS (continued)
June 30,
2021
Affiliate Table
| Number
of Shares Held at 6/30/20 |
Value
at 6/30/20 |
Cost
of Purchases |
Proceeds
from Shares Sold |
Realized
Gain (Loss) |
Change
in Unrealized Appreciation/ Depreciation |
Number
of Shares Held at 6/30/21 |
Value
at 6/30/21 |
Dividend
Income | |||||||||
|
SPDR Bloomberg Barclays 1-10 Year TIPS
ETF |
— | $ — | $ 11,400,024 | $ 389,136 | $ 685 | $ 81,935 | 524,888 | $ 11,093,508 | $ 96,059 | ||||||||
|
SPDR Dow Jones International Real Estate
ETF |
124,317 | 3,582,816 | 2,960,408 | 4,631,779 | (822,679) | 1,484,058 | 70,066 | 2,572,824 | 87,280 | ||||||||
|
SPDR Dow Jones REIT
ETF |
38,078 | 2,971,226 | 3,864,327 | 2,569,370 | (202,829) | 1,171,181 | 49,905 | 5,234,535 | 124,521 | ||||||||
|
SPDR FTSE International Government Inflation-Protected Bond
ETF |
80,439 | 4,223,048 | 4,806,881 | 4,399,543 | (8,031) | 308,780 | 87,385 | 4,931,135 | 100,674 | ||||||||
|
SPDR Portfolio TIPS
ETF |
313,232 | 9,440,812 | 2,669,389 | 12,227,003 | 556,464 | (439,662) | — | — | 120,632 | ||||||||
|
SPDR S&P Global Infrastructure
ETF |
129,115 | 5,650,072 | 23,626,525 | 1,995,413 | 46,774 | 1,010,951 | 542,787 | 28,338,909 | 335,128 | ||||||||
|
SPDR S&P Global Natural Resources
ETF |
309,534 | 11,431,091 | 20,007,718 | 4,120,392 | (26,750) | 4,778,792 | 605,103 | 32,070,459 | 606,096 | ||||||||
|
SPDR S&P Metals & Mining
ETF |
50,635 | 1,072,956 | 3,683,933 | 1,514,569 | 87,146 | 1,573,087 | 113,854 | 4,902,553 | 27,626 | ||||||||
|
State Street Institutional U.S. Government Money Market Fund, Class G
Shares |
228,808 | 228,808 | 3,542,629 | 3,165,127 | — | — | 606,310 | 606,310 | 87 | ||||||||
|
State Street Navigator Securities Lending Portfolio
II |
10,616,056 | 10,616,056 | 273,730,171 | 271,924,684 | — | — | 12,421,543 | 12,421,543 | 102,252 | ||||||||
|
The Energy Select Sector SPDR
Fund |
36,394 | 1,377,513 | 3,919,172 | 1,129,297 | (405,896) | 1,381,854 | 95,477 | 5,143,346 | 122,366 | ||||||||
|
Total |
$50,594,398 | $ 354,211,177 | $308,066,313 | $ (775,116) | $11,350,976 | $107,315,122 | $1,722,721 |
See accompanying notes to financial statements.
16
SPDR SSGA INCOME
ALLOCATION ETF
SCHEDULE OF INVESTMENTS
June 30, 2021
The following table summarizes the value of the
Fund's investments according to the fair value hierarchy as of June 30, 2021.
| 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 |
$124,938,471 | $— | $— | $124,938,471 | ||||
|
Short-Term
Investments |
10,199,204 | — | — | 10,199,204 | ||||
|
TOTAL
INVESTMENTS |
$135,137,675 | $— | $— | $135,137,675 |
See accompanying notes to financial statements.
17
SPDR SSGA INCOME
ALLOCATION ETF
SCHEDULE OF INVESTMENTS (continued)
June 30,
2021
Affiliate Table
| Number
of Shares Held at 6/30/20 |
Value
at 6/30/20 |
Cost
of Purchases |
Proceeds
from Shares Sold |
Realized
Gain (Loss) |
Change
in Unrealized Appreciation/ Depreciation |
Number
of Shares Held at 6/30/21 |
Value
at 6/30/21 |
Dividend
Income | |||||||||
|
SPDR Blackstone Senior Loan
ETF |
301,443 | $ 13,076,597 | $ 26,118,609 | $ 14,706,468 | $ (4,266) | $ 942,486 | 549,297 | $ 25,426,958 | $ 756,038 | ||||||||
|
SPDR Bloomberg Barclays Convertible Securities
ETF |
110,491 | 6,684,706 | 4,224,800 | 6,393,918 | 1,597,418 | 508,223 | 76,343 | 6,621,229 | 149,123 | ||||||||
|
SPDR Bloomberg Barclays Emerging Markets Local Bond
ETF |
496,684 | 13,018,088 | 9,029,386 | 9,931,869 | 88,641 | 170,465 | 468,207 | 12,374,711 | 413,753 | ||||||||
|
SPDR Bloomberg Barclays High Yield Bond
ETF |
151,472 | 15,322,908 | 12,220,763 | 19,660,531 | 80,376 | 995,805 | 81,478 | 8,959,321 | 620,032 | ||||||||
|
SPDR Portfolio Europe
ETF |
120,535 | 3,787,511 | 3,958,174 | 8,535,989 | 573,348 | 216,956 | — | — | 41,949 | ||||||||
|
SPDR Portfolio Intermediate Term Corporate Bond
ETF |
254,744 | 9,305,798 | 5,967,065 | 15,409,302 | 354,397 | (217,958) | — | — | 97,326 | ||||||||
|
SPDR Portfolio Long Term Corporate Bond
ETF |
258,039 | 8,179,836 | 13,317,795 | 11,857,073 | 519,336 | (277,172) | 310,973 | 9,882,722 | 228,287 | ||||||||
|
SPDR Portfolio Long Term Treasury
ETF |
230,530 | 10,814,162 | 10,216,315 | 11,800,457 | 1,232,557 | (1,531,576) | 216,247 | 8,931,001 | 90,947 | ||||||||
|
SPDR Portfolio S&P 500 High Dividend
ETF |
579,022 | 16,125,763 | 20,788,369 | 24,970,922 | 1,125,071 | 6,184,060 | 480,228 | 19,252,341 | 1,098,576 | ||||||||
|
SPDR Portfolio TIPS
ETF |
112,242 | 3,382,974 | 69,840 | 3,523,572 | 233,124 | (162,366) | — | — | 12,157 | ||||||||
|
SPDR S&P Global Infrastructure
ETF |
137,414 | 6,013,237 | 4,108,579 | 4,928,162 | 44,316 | 908,818 | 117,732 | 6,146,788 | 146,360 | ||||||||
|
SPDR S&P International Dividend
ETF |
148,835 | 4,930,904 | 15,070,323 | 10,313,900 | (26,551) | 1,368,426 | 279,929 | 11,029,202 | 305,441 | ||||||||
|
SPDR Wells Fargo Preferred Stock
ETF |
155,828 | 6,521,402 | 7,864,939 | 5,782,142 | (14,027) | 332,672 | 201,783 | 8,922,844 | 346,058 | ||||||||
|
State Street Institutional U.S. Government Money Market Fund, Class G
Shares |
161,736 | 161,736 | 10,381,223 | 10,457,822 | — | — | 85,137 | 85,137 | 286 | ||||||||
|
State Street Navigator Securities Lending Portfolio
II |
21,343,138 | 21,343,138 | 407,501,265 | 418,730,336 | — | — | 10,114,067 | 10,114,067 | 195,598 | ||||||||
|
Total |
$138,668,760 | $550,837,445 | $577,002,463 | $5,803,740 | $ 9,438,839 | $127,746,321 | $4,501,931 |
See accompanying notes to financial statements.
18
SPDR SSGA GLOBAL
ALLOCATION ETF
SCHEDULE OF INVESTMENTS
June 30, 2021
See accompanying notes to financial statements.
19
SPDR SSGA GLOBAL
ALLOCATION ETF
SCHEDULE OF INVESTMENTS (continued)
June 30,
2021
The following table summarizes the value of the Fund's
investments according to the fair value hierarchy as of June 30, 2021.
| 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 |
$277,659,613 | $— | $— | $277,659,613 | ||||
|
Short-Term
Investments |
47,542,254 | — | — | 47,542,254 | ||||
|
TOTAL
INVESTMENTS |
$325,201,867 | $— | $— | $325,201,867 |
Affiliate Table
| Number
of Shares Held at 6/30/20 |
Value
at 6/30/20 |
Cost
of Purchases |
Proceeds
from Shares Sold |
Realized
Gain (Loss) |
Change
in Unrealized Appreciation/ Depreciation |
Number
of Shares Held at 6/30/21 |
Value
at 6/30/21 |
Dividend
Income | |||||||||
|
SPDR Bloomberg Barclays Emerging Markets Local Bond
ETF |
91,620 | $ 2,401,360 | $ 756,952 | $ 395,295 | $ 1,631 | $ 35,637 | 105,951 | $ 2,800,285 | $ 92,804 | ||||||||
|
SPDR Bloomberg Barclays High Yield Bond
ETF |
257,809 | 26,079,959 | 21,788,619 | 38,248,827 | 273,698 | 1,612,655 | 104,639 | 11,506,104 | 1,206,513 | ||||||||
|
SPDR Bloomberg Barclays International Corporate Bond
ETF |
143,333 | 4,818,870 | 22,283 | 5,175,114 | 155,509 | 178,452 | — | — | 6,871 | ||||||||
|
SPDR Dow Jones International Real Estate
ETF |
153,639 | 4,427,876 | 2,815,446 | 4,843,760 | (898,691) | 1,227,755 | 74,309 | 2,728,626 | 51,173 | ||||||||
|
SPDR Dow Jones REIT
ETF |
— | — | 2,894,928 | 675,600 | 64,054 | 484,980 | 26,393 | 2,768,362 | 79,126 | ||||||||
|
SPDR Portfolio Aggregate Bond
ETF |
— | — | 22,098,387 | 14,826,057 | (108,640) | 10,831 | 239,071 | 7,174,521 | 33,929 | ||||||||
|
SPDR Portfolio Developed World ex-US
ETF |
1,424,858 | 39,354,578 | 21,466,444 | 30,756,283 | 2,019,604 | 10,522,524 | 1,158,110 | 42,606,867 | 1,060,432 | ||||||||
|
SPDR Portfolio Emerging Markets
ETF |
501,104 | 16,766,940 | 5,952,420 | 8,445,160 | 237,216 | 5,304,107 | 435,506 | 19,815,523 | 372,550 | ||||||||
|
SPDR Portfolio Europe
ETF |
— | — | 17,506,108 | 6,599,027 | 222,654 | (178,720) | 261,673 | 10,951,015 | 135,829 | ||||||||
|
SPDR Portfolio Intermediate Term Corporate Bond
ETF |
1,018,040 | 37,189,001 | 17,799,012 | 38,200,595 | 1,465,695 | (1,087,202) | 467,736 | 17,165,911 | 408,734 | ||||||||
|
SPDR Portfolio Long Term Corporate Bond
ETF |
158,470 | 5,023,499 | 19,787,409 | 10,056,638 | 150,312 | (246,851) | 461,225 | 14,657,731 | 284,051 | ||||||||
|
SPDR Portfolio Long Term Treasury
ETF |
— | — | 8,536,234 | 131,821 | 1,482 | 389,229 | 212,957 | 8,795,124 | 12,854 | ||||||||
|
SPDR Portfolio Small Cap
ETF |
— | — | 15,487,798 | 5,769,702 | 463,807 | 3,671,192 | 315,273 | 13,853,095 | 122,635 | ||||||||
|
SPDR Portfolio TIPS
ETF |
414,567 | 12,495,049 | 3,810,963 | 2,362,325 | 168,383 | 250,134 | 461,214 | 14,362,204 | 356,835 | ||||||||
|
SPDR S&P 500 ETF
Trust |
151,960 | 46,858,385 | 40,439,761 | 45,561,662 | 6,212,312 | 12,833,584 | 141,995 | 60,782,380 | 911,798 | ||||||||
|
SPDR S&P Emerging Markets SmallCap
ETF |
59,550 | 2,431,426 | 393,854 | 995,740 | 86,662 | 977,673 | 47,193 | 2,893,875 | 61,150 | ||||||||
|
SPDR S&P International Small Cap
ETF |
252,679 | 6,910,771 | 1,054,853 | 2,333,839 | 137,040 | 2,515,626 | 214,290 | 8,284,451 | 143,643 | ||||||||
|
SPDR S&P MidCap 400 ETF
Trust |
13,834 | 4,488,995 | 1,156,921 | 2,230,186 | 446,344 | 1,731,021 | 11,391 | 5,593,095 | 57,836 | ||||||||
|
State Street Institutional U.S. Government Money Market Fund, Class G
Shares |
4,054,699 | 4,054,699 | 22,678,684 | 21,852,238 | — | — | 4,881,145 | 4,881,145 | 3,124 | ||||||||
|
State Street Navigator Securities Lending Portfolio
II |
61,808,691 | 61,808,691 | 1,549,071,332 | 1,568,218,914 | — | — | 42,661,109 | 42,661,109 | 330,190 | ||||||||
|
The Communication Services Select Sector SPDR
Fund |
— | — | 16,158,027 | 16,735,859 | 577,832 | — | — | — | 4,062 | ||||||||
|
The Consumer Discretionary Select Sector SPDR
Fund |
— | — | 12,872,291 | 13,601,962 | 729,671 | — | — | — | 14,821 | ||||||||
|
The Consumer Staples Select Sector SPDR
Fund |
— | — | 5,419,158 | 5,895,872 | 476,714 | — | — | — | 71,722 | ||||||||
|
The Energy Select Sector SPDR
Fund |
— | — | 8,967,424 | 6,102,690 | (11,516) | (108,003) | 50,960 | 2,745,215 | 79,103 | ||||||||
|
The Financial Select Sector SPDR
Fund |
183,714 | 4,251,142 | 5,503,751 | 10,279,803 | (492,708) | 1,017,618 | — | — | 23,596 | ||||||||
|
The Health Care Select Sector SPDR
Fund |
47,216 | 4,724,905 | 7,170 | 4,747,238 | (173,440) | 188,603 | — | — | — | ||||||||
|
The Industrial Select Sector SPDR
Fund |
— | — | 5,369,706 | 2,645,596 | 106,278 | (44,596) | 27,205 | 2,785,792 | 18,436 | ||||||||
|
The Materials Select Sector SPDR
Fund |
— | — | 8,315,824 | 2,700,230 | 82,515 | (299,149) | 65,593 | 5,398,960 | 35,558 | ||||||||
|
The Technology Select Sector SPDR
Fund |
48,236 | 5,040,180 | 6,378,567 | 6,870,230 | 1,366,215 | 188,351 | 41,332 | 6,103,083 | 32,913 | ||||||||
|
Total |
$289,126,326 | $1,844,510,326 | $1,877,258,263 | $13,760,633 | $41,175,451 | $311,314,473 | $6,012,288 |
See accompanying notes to financial statements.
20
SPDR SSGA ULTRA
SHORT TERM BOND ETF
SCHEDULE OF INVESTMENTS
June 30, 2021
See accompanying notes to financial statements.
21
SPDR SSGA ULTRA
SHORT TERM BOND ETF
SCHEDULE OF INVESTMENTS (continued)
June 30,
2021
See accompanying notes to financial statements.
22
SPDR SSGA ULTRA
SHORT TERM BOND ETF
SCHEDULE OF INVESTMENTS (continued)
June 30,
2021
See accompanying notes to financial statements.
23
SPDR SSGA ULTRA
SHORT TERM BOND ETF
SCHEDULE OF INVESTMENTS (continued)
June 30,
2021
See accompanying notes to financial statements.
24
SPDR SSGA ULTRA
SHORT TERM BOND ETF
SCHEDULE OF INVESTMENTS (continued)
June 30,
2021
See accompanying notes to financial
statements.
25
SPDR SSGA ULTRA
SHORT TERM BOND ETF
SCHEDULE OF INVESTMENTS (continued)
June 30,
2021
The following table summarizes the value of the
Fund's investments according to the fair value hierarchy as of June 30, 2021.
| Description | Level
1 – Quoted Prices |
Level
2 – Other Significant Observable Inputs |
Level
3 – Significant Unobservable Inputs |
Total | ||||
| ASSETS: | ||||||||
| INVESTMENTS: | ||||||||
|
Corporate Bonds &
Notes |
$ — | $254,806,969 | $— | $254,806,969 | ||||
|
Asset-Backed
Securities |
— | 40,875,597 | — | 40,875,597 | ||||
|
U.S. Treasury
Obligations |
— | 10,999,844 | — | 10,999,844 | ||||
|
Mortgage-Backed
Securities |
— | 17,583,847 | — | 17,583,847 | ||||
|
Commercial Mortgage Backed
Securities |
— | 14,197,100 | — | 14,197,100 | ||||
|
Short-Term
Investment |
62,702,468 | — | — | 62,702,468 | ||||
|
TOTAL
INVESTMENTS |
$62,702,468 | $338,463,357 | $— | $401,165,825 |
Affiliate Table
| Number
of Shares Held at 6/30/20 |
Value
at 6/30/20 |
Cost
of Purchases |
Proceeds
from Shares Sold |
Realized
Gain (Loss) |
Change
in Unrealized Appreciation/ Depreciation |
Number
of Shares Held at 6/30/21 |
Value
at 6/30/21 |
Dividend
Income | |||||||||
|
State Street Institutional U.S. Government Money Market Fund, Class G
Shares |
11,722,245 | $11,722,245 | $225,450,511 | $174,470,288 | $— | $— | 62,702,468 | $62,702,468 | $17,835 |
See accompanying notes to financial statements.
26
SPDR NUVEEN
MUNICIPAL BOND ETF
SCHEDULE OF INVESTMENTS
June 30, 2021
See accompanying notes to financial statements.
27
SPDR NUVEEN
MUNICIPAL BOND ETF
SCHEDULE OF INVESTMENTS (continued)
June 30,
2021
See accompanying notes to financial statements.
28
SPDR NUVEEN
MUNICIPAL BOND ETF
SCHEDULE OF INVESTMENTS (continued)
June 30,
2021
See accompanying notes to financial
statements.
29
SPDR NUVEEN
MUNICIPAL BOND ETF
SCHEDULE OF INVESTMENTS (continued)
June 30,
2021
The following table summarizes the value of the
Fund's investments according to the fair value hierarchy as of June 30, 2021.
| Description | Level
1 – Quoted Prices |
Level
2 – Other Significant Observable Inputs |
Level
3 – Significant Unobservable Inputs |
Total | ||||
| ASSETS: | ||||||||
| INVESTMENTS: | ||||||||
|
Municipal Bonds &
Notes |
$ — | $44,831,451 | $— | $44,831,451 | ||||
|
Short-Term
Investment |
1,374,817 | — | — | 1,374,817 | ||||
|
TOTAL
INVESTMENTS |
$1,374,817 | $44,831,451 | $— | $46,206,268 |
Affiliate Table
| Number
of Shares Held at 2/3/2021* |
Value
at 2/3/2021* |
Cost
of Purchases |
Proceeds
from Shares Sold |
Realized
Gain (Loss) |
Change
in Unrealized Appreciation/ Depreciation |
Number
of Shares Held at 6/30/21 |
Value
at 6/30/21 |
Dividend
Income | |||||||||
|
State Street Institutional U.S. Government Money Market Fund, Class G
Shares |
— | $— | $52,848,299 | $51,473,482 | $— | $— | 1,374,817 | $1,374,817 | $631 |
| * | Commencement of operations. |
See accompanying notes to financial statements.
30
SSGA ACTIVE
TRUST
STATEMENTS OF ASSETS AND LIABILITIES
June 30, 2021
| SPDR SSGA Multi-Asset Real Return ETF | SPDR SSGA Income Allocation ETF | SPDR SSGA Global Allocation ETF | |||
| ASSETS | |||||
|
Investments in unaffiliated issuers, at
value* |
$ 35,400,425 | $ 7,391,354 | $ 13,887,394 | ||
|
Investments in affiliated issuers, at
value |
107,315,122 | 127,746,321 | 311,314,473 | ||
|
Total
Investments |
142,715,547 | 135,137,675 | 325,201,867 | ||
|
Receivable for fund shares
sold |
34,187 | — | — | ||
|
Dividends receivable — unaffiliated
issuers |
— | — | 209,019 | ||
|
Dividends receivable — affiliated
issuers |
16 | 9 | 110 | ||
|
Interest receivable — unaffiliated
issuers |
— | — | — | ||
|
Securities lending income receivable — unaffiliated
issuers |
27,298 | 8,423 | 184 | ||
|
Securities lending income receivable — affiliated issuers
|
12,973 | 19,171 | 42,871 | ||
|
TOTAL ASSETS
|
142,790,021 | 135,165,278 | 325,454,051 | ||
| LIABILITIES | |||||
|
Payable upon return of securities
loaned |
12,421,543 | 10,114,067 | 42,661,109 | ||
|
Payable for investments
purchased |
— | — | — | ||
|
Payable for fund shares
repurchased |
— | — | 55,580 | ||
|
Advisory fee
payable |
10,127 | 12,579 | 47,503 | ||
|
Trustees’ fees and expenses
payable |
64 | 92 | 181 | ||
|
TOTAL LIABILITIES
|
12,431,734 | 10,126,738 | 42,764,373 | ||
|
NET ASSETS
|
$130,358,287 | $125,038,540 | $282,689,678 | ||
| NET ASSETS CONSIST OF: | |||||
|
Paid-in
Capital |
$164,484,016 | $132,066,876 | $232,423,743 | ||
|
Total distributable earnings
(loss) |
(34,125,729) | (7,028,336) | 50,265,935 | ||
|
NET ASSETS
|
$130,358,287 | $125,038,540 | $282,689,678 | ||
| NET ASSET VALUE PER SHARE | |||||
|
Net asset value per
share |
$ 28.52 | $ 35.62 | $ 46.04 | ||
|
Shares outstanding (unlimited amount authorized, no par
value) |
4,570,000 | 3,510,000 | 6,140,000 | ||
| COST OF INVESTMENTS: | |||||
|
Investments in unaffiliated
issuers |
$ 31,417,122 | $ 6,899,774 | $ 12,405,298 | ||
|
Investments in affiliated
issuers |
102,765,626 | 124,658,621 | 262,655,352 | ||
|
Total cost of
investments |
$134,182,748 | $131,558,395 | $275,060,650 | ||
|
* Includes investments in securities on loan, at
value |
$ 18,674,023 | $ 21,491,633 | $ 48,247,191 |
See accompanying notes to financial statements.
32
| SPDR SSGA Ultra Short Term Bond ETF | SPDR Nuveen Municipal Bond ETF | |
| $338,463,357 | $44,831,451 | |
| 62,702,468 | 1,374,817 | |
| 401,165,825 | 46,206,268 | |
| 1,011,567 | — | |
| — | — | |
| 1,134 | 59 | |
| 488,616 | 407,947 | |
| — | — | |
| — | — | |
| 402,667,142 | 46,614,274 | |
| — | — | |
| — | 1,435,249 | |
| — | — | |
| 63,557 | 14,862 | |
| 122 | — | |
| 63,679 | 1,450,111 | |
| $402,603,463 | $45,164,163 | |
| $402,100,832 | $44,949,896 | |
| 502,631 | 214,267 | |
| $402,603,463 | $45,164,163 | |
| $ 40.46 | $ 30.11 | |
| 9,950,000 | 1,500,000 | |
| $337,607,097 | $44,821,241 | |
| 62,702,468 | 1,374,817 | |
| $400,309,565 | $46,196,058 | |
| $ — | $ — |
33
SSGA ACTIVE
TRUST
STATEMENTS OF OPERATIONS
For the Year Ended June 30, 2021
| 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 |
20,163 | 208,499 | 1,943 | ||
|
Dividend income — affiliated
issuers |
1,620,469 | 4,306,333 | 5,682,098 | ||
|
Unaffiliated securities lending
income |
81,755 | 80,920 | 59,564 | ||
|
Affiliated securities lending
income |
102,252 | 195,598 | 330,190 | ||
|
TOTAL INVESTMENT INCOME
(LOSS) |
1,824,639 | 4,791,350 | 6,073,795 | ||
| EXPENSES | |||||
|
Advisory
fee |
55,778 | 177,566 | 435,891 | ||
|
Trustees’ fees and expenses
|
1,138 | 1,918 | 3,831 | ||
|
Miscellaneous
expenses |
1 | 1 | 3 | ||
|
TOTAL
EXPENSES |
56,917 | 179,485 | 439,725 | ||
|
NET INVESTMENT INCOME
(LOSS) |
$ 1,767,722 | $ 4,611,865 | $ 5,634,070 | ||
| REALIZED AND UNREALIZED GAIN (LOSS) | |||||
| Net realized gain (loss) on: | |||||
|
Investments — unaffiliated
issuers |
(998,515) | (1,683,189) | 2,026,144 | ||
|
Investments — affiliated
issuers |
(1,085,680) | 89,770 | 7,809,110 | ||
|
In-kind redemptions — unaffiliated
issuers |
(67,492) | 1,103,587 | 354,363 | ||
|
In-kind redemptions — affiliated
issuers |
310,564 | 5,713,970 | 5,951,523 | ||
|
Net realized gain
(loss) |
(1,841,123) | 5,224,138 | 16,141,140 | ||
| Net change in unrealized appreciation/depreciation on: | |||||
|
Investments — unaffiliated
issuers |
8,582,231 | 3,237,387 | (700,333) | ||
|
Investments — affiliated
issuers |
11,350,976 | 9,438,839 | 41,175,450 | ||
|
Net change in unrealized
appreciation/depreciation |
19,933,207 | 12,676,226 | 40,475,117 | ||
|
NET REALIZED AND UNREALIZED GAIN
(LOSS) |
18,092,084 | 17,900,364 | 56,616,257 | ||
|
NET INCREASE (DECREASE) IN NET ASSETS FROM
OPERATIONS |
$19,859,806 | $22,512,229 | $62,250,327 |
See accompanying notes to financial statements.
34
| SPDR SSGA Ultra Short Term Bond ETF | SPDR Nuveen Municipal Bond ETF(a) | |
| $2,822,942 | 156,039 | |
| — | — | |
| 17,835 | 631 | |
| — | — | |
| — | — | |
| 2,840,777 | 156,670 | |
| 650,007 | 64,580 | |
| 4,422 | 116 | |
| 2 | — | |
| 654,431 | 64,696 | |
| $2,186,346 | $ 91,974 | |
| 478,164 | 252,383 | |
| — | — | |
| — | — | |
| — | — | |
| 478,164 | 252,383 | |
| 1,451,941 | 10,210 | |
| — | — | |
| 1,451,941 | 10,210 | |
| 1,930,105 | 262,593 | |
| $ 4,116,451 | $354,567 |
| (a) | For the period February 03, 2021 (commencement of operations) through June 30, 2021. |
35
SSGA ACTIVE
TRUST
STATEMENTS OF CHANGES IN NET ASSETS
| SPDR SSGA Multi-Asset Real Return ETF | SPDR SSGA Income Allocation ETF | ||||||
| Year
Ended 6/30/21 |
Year
Ended 6/30/20 |
Year
Ended 6/30/21 |
Year
Ended 6/30/20 | ||||
| INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||||||
|
Net investment income
(loss) |
$ 1,767,722 | $ 2,892,612 | $ 4,611,865 | $ 5,476,550 | |||
|
Net realized gain
(loss) |
(1,841,123) | (8,254,262) | 5,224,138 | (7,106,570) | |||
|
Net change in unrealized
appreciation/depreciation |
19,933,207 | (8,998,515) | 12,676,226 | (10,551,272) | |||
|
Net increase (decrease) in net assets resulting from
operations |
19,859,806 | (14,360,165) | 22,512,229 | (12,181,292) | |||
|
Net equalization credits and
charges |
54,735 | (81,758) | 149,449 | 115,750 | |||
|
Distributions to
shareholders |
(1,750,442) | (2,878,161) | (4,629,430) | (5,787,114) | |||
| FROM BENEFICIAL INTEREST TRANSACTIONS: | |||||||
|
Proceeds from shares
sold |
67,513,380 | 7,725,150 | 73,221,393 | 115,985,875 | |||
|
Cost of shares
redeemed |
(9,014,313) | (49,528,810) | (92,104,724) | (76,591,192) | |||
|
Net income
equalization |
(54,735) | 81,758 | (149,449) | (115,750) | |||
|
Other
Capital |
— | — | — | — | |||
|
Net increase (decrease) in net assets from beneficial interest transactions
|
58,444,332 | (41,721,902) | (19,032,780) | 39,278,933 | |||
|
Net increase (decrease) in net assets during the
period |
76,608,431 | (59,041,986) | (1,000,532) | 21,426,277 | |||
|
Net assets at beginning of
period |
53,749,856 | 112,791,842 | 126,039,072 | 104,612,795 | |||
|
NET ASSETS AT END OF
PERIOD |
$130,358,287 | $ 53,749,856 | $125,038,540 | $126,039,072 | |||
| SHARES OF BENEFICIAL INTEREST: | |||||||
|
Shares
sold |
2,420,000 | 340,000 | 2,120,000 | 3,590,000 | |||
|
Shares
redeemed |
(380,000) | (2,290,000) | (2,760,000) | (2,580,000) | |||
|
Net increase (decrease) from share
transactions |
2,040,000 | (1,950,000) | (640,000) | 1,010,000 | |||
See accompanying notes to financial statements.
36
| SPDR SSGA Global Allocation ETF | SPDR SSGA Ultra Short Term Bond ETF | SPDR Nuveen Municipal Bond ETF | ||||||
| Year
Ended 6/30/21 |
Year
Ended 6/30/20 |
Year
Ended 6/30/21 |
Year
Ended 6/30/20 |
For
the Period 2/3/21*- 6/30/21 | ||||
| $ 5,634,070 | $ 7,213,512 | $ 2,186,346 | $ 4,704,035 | $ 91,974 | ||||
| 16,141,140 | (3,729,837) | 478,164 | (390,164) | 252,383 | ||||
| 40,475,117 | (8,480,933) | 1,451,941 | (896,263) | 10,210 | ||||
| 62,250,327 | (4,997,258) | 4,116,451 | 3,417,608 | 354,567 | ||||
| (16,635) | 19,354 | 31,941 | 135,058 | 2,273 | ||||
| (5,588,244) | (7,327,692) | (2,605,083) | (4,951,989) | (140,300) | ||||
| 23,982,836 | 22,973,653 | 130,443,856 | 167,508,423 | 44,904,991 | ||||
| (35,804,943) | (28,488,708) | (28,304,057) | (34,951,266) | — | ||||
| 16,635 | (19,354) | (31,941) | (135,058) | (2,273) | ||||
| — | 2,474 | 44,894 | 165,286 | 44,905 | ||||
| (11,805,472) | (5,531,935) | 102,152,752 | 132,587,385 | 44,947,623 | ||||
| 44,839,976 | (17,837,531) | 103,696,061 | 131,188,062 | 45,164,163 | ||||
| 237,849,702 | 255,687,233 | 298,907,402 | 167,719,340 | — | ||||
| $282,689,678 | $237,849,702 | $402,603,463 | $298,907,402 | $45,164,163 | ||||
| 550,000 | 600,000 | 3,225,000 | 4,150,000 | 1,500,000 | ||||
| (860,000) | (820,000) | (700,000) | (875,000) | — | ||||
| (310,000) | (220,000) | 2,525,000 | 3,275,000 | 1,500,000 | ||||
| * | Commencement of operations. |
37
SSGA ACTIVE
TRUST
FINANCIAL HIGHLIGHTS
Selected data for a share outstanding throughout each period
| SPDR SSGA Multi-Asset Real Return ETF | |||||||||
| Year
Ended 6/30/21 |
Year
Ended 6/30/20 |
Year
Ended 6/30/19 |
Year
Ended 6/30/18(a) |
Year
Ended 6/30/17(a) | |||||
|
Net asset value, beginning of
period |
$ 21.25 | $ 25.18 | $ 26.62 | $ 23.97 | $ 24.38 | ||||
| Income (loss) from investment operations: | |||||||||
|
Net investment income (loss)
(b) |
0.65 | 0.78 | 0.69 | 0.53 | 0.56 | ||||
|
Net realized and unrealized gain (loss)
(c) |
7.15 | (3.89) | (1.43) | 2.64 | (0.44) | ||||
|
Total from investment
operations |
7.80 | (3.11) | (0.74) | 3.17 | 0.12 | ||||
|
Net equalization credits and charges
(b) |
0.02 | (0.02) | 0.00(d) | (0.00)(d) | 0.01 | ||||
| Distributions to shareholders from: | |||||||||
|
Net investment
income |
(0.55) | (0.80) | (0.70) | (0.52) | (0.54) | ||||
|
Net asset value, end of
period |
$ 28.52 | $ 21.25 | $ 25.18 | $ 26.62 | $ 23.97 | ||||
|
Total return
(e) |
37.12% | (12.71)% | (2.71)% | 13.26% | 0.56% | ||||
| Ratios and Supplemental Data: | |||||||||
|
Net assets, end of period (in
000s) |
$130,358 | $53,750 | $112,792 | $143,742 | $115,075 | ||||
| Ratios to average net assets: | |||||||||
|
Total expenses
(f) |
0.08% | 0.08% | 0.12% | 0.22% | 0.22% | ||||
|
Net investment income
(loss) |
2.56% | 3.30% | 2.76% | 2.04% | 2.28% | ||||
|
Portfolio turnover
rate |
49% | 30% | 28% | 44% | 46%(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. |
See accompanying notes to financial statements.
38
SSGA ACTIVE
TRUST
FINANCIAL HIGHLIGHTS (continued)
Selected data for a share outstanding throughout each period
| SPDR SSGA Income Allocation ETF | |||||||||
| Year
Ended 6/30/21 |
Year
Ended 6/30/20 |
Year
Ended 6/30/19 |
Year
Ended 6/30/18(a) |
Year
Ended 6/30/17(a) | |||||
|
Net asset value, beginning of
period |
$ 30.37 | $ 33.32 | $ 32.42 | $ 32.33 | $ 31.23 | ||||
| Income (loss) from investment operations: | |||||||||
|
Net investment income (loss)
(b) |
1.35 | 1.43 | 1.53 | 1.02 | 1.10 | ||||
|
Net realized and unrealized gain (loss)
(c) |
5.18 | (2.95) | 0.91 | 0.09 | 0.98 | ||||
|
Total from investment
operations |
6.53 | (1.52) | 2.44 | 1.11 | 2.08 | ||||
|
Net equalization credits and charges
(b) |
0.04 | 0.03 | 0.03 | (0.01) | (0.01) | ||||
|
Other capital
(b) |
— | — | 0.00(d) | — | — | ||||
| Distributions to shareholders from: | |||||||||
|
Net investment
income |
(1.32) | (1.46) | (1.57) | (1.01) | (0.97) | ||||
|
Net asset value, end of
period |
$ 35.62 | $ 30.37 | $ 33.32 | $ 32.42 | $ 32.33 | ||||
|
Total return
(e) |
21.90% | (4.56)% | 7.93% | 3.34% | 6.78% | ||||
| Ratios and Supplemental Data: | |||||||||
|
Net assets, end of period (in
000s) |
$125,039 | $126,039 | $104,613 | $92,389 | $95,376 | ||||
| Ratios to average net assets: | |||||||||
|
Total expenses
(f) |
0.16% | 0.18% | 0.18% | 0.39% | 0.37% | ||||
|
Net investment income
(loss) |
4.02% | 4.41% | 4.71% | 3.07% | 3.49% | ||||
|
Portfolio turnover
rate |
60% | 38% | 71% | 29% | 47%(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. |
See accompanying notes to financial statements.
39
SSGA ACTIVE
TRUST
FINANCIAL HIGHLIGHTS (continued)
Selected data for a share outstanding throughout each period
| SPDR SSGA Global Allocation ETF | |||||||||
| Year
Ended 6/30/21 |
Year
Ended 6/30/20 |
Year
Ended 6/30/19 |
Year
Ended 6/30/18(a) |
Year
Ended 6/30/17(a) | |||||
|
Net asset value, beginning of
period |
$ 36.88 | $ 38.33 | $ 37.72 | $ 35.52 | $ 33.35 | ||||
| Income (loss) from investment operations: | |||||||||
|
Net investment income (loss)
(b) |
0.91 | 1.07 | 1.03 | 0.81 | 0.99 | ||||
|
Net realized and unrealized gain (loss)
(c) |
9.16 | (1.44) | 0.57 | 2.18 | 2.03 | ||||
|
Total from investment
operations |
10.07 | (0.37) | 1.60 | 2.99 | 3.02 | ||||
|
Net equalization credits and charges
(b) |
(0.00)(d) | 0.00(d) | 0.01 | 0.01 | 0.00(d) | ||||
|
Other capital
(b) |
— | 0.00(d) | — | — | — | ||||
| Distributions to shareholders from: | |||||||||
|
Net investment
income |
(0.91) | (1.08) | (1.00) | (0.80) | (0.85) | ||||
|
Total
distributions |
(0.91) | (1.08) | (1.00) | (0.80) | (0.85) | ||||
|
Net asset value, end of
period |
$ 46.04 | $ 36.88 | $ 38.33 | $ 37.72 | $ 35.52 | ||||
|
Total return
(e) |
27.51% | (1.00)% | 4.37% | 8.46% | 9.14% | ||||
| Ratios and Supplemental Data: | |||||||||
|
Net assets, end of period (in
000s) |
$282,690 | $237,850 | $255,687 | $248,929 | $207,780 | ||||
| Ratios to average net assets: | |||||||||
|
Total expenses
(f) |
0.17% | 0.09% | 0.15% | 0.20% | 0.20% | ||||
|
Net
expenses |
0.17% | 0.09% | 0.15% | 0.09% | 0.01% | ||||
|
Net investment income
(loss) |
2.16% | 2.84% | 2.76% | 2.14% | 2.91% | ||||
|
Portfolio turnover
rate |
110% | 94% | 71% | 43% | 90%(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. |
See accompanying notes to financial statements.
40
SSGA ACTIVE
TRUST
FINANCIAL HIGHLIGHTS (continued)
Selected data for a share outstanding throughout each period
| SPDR SSGA Ultra Short Term Bond ETF | |||||||||
| Year
Ended 6/30/21 |
Year
Ended 6/30/20 |
Year
Ended 6/30/19 |
Year
Ended 6/30/18(a) |
Year
Ended 6/30/17(a) | |||||
|
Net asset value, beginning of
period |
$ 40.26 | $ 40.41 | $ 40.27 | $ 40.26 | $ 40.06 | ||||
| Income (loss) from investment operations: | |||||||||
|
Net investment income (loss)
(b) |
0.27 | 0.81 | 1.02 | 0.68 | 0.44 | ||||
|
Net realized and unrealized gain (loss)
(c) |
0.25 | (0.11) | 0.04 | (0.14) | 0.13 | ||||
|
Total from investment
operations |
0.52 | 0.70 | 1.06 | 0.54 | 0.57 | ||||
|
Net equalization credits and charges
(b) |
0.00(d) | 0.02 | 0.03 | 0.04 | (0.00)(d) | ||||
|
Other capital
(b) |
0.01 | 0.03 | 0.02 | 0.06 | 0.05 | ||||
| Distributions to shareholders from: | |||||||||
|
Net investment
income |
(0.33) | (0.90) | (0.97) | (0.63) | (0.42) | ||||
|
Total
distributions |
(0.33) | (0.90) | (0.97) | (0.63) | (0.42) | ||||
|
Net asset value, end of
period |
$ 40.46 | $ 40.26 | $ 40.41 | $ 40.27 | $ 40.26 | ||||
|
Total return
(e) |
1.34% | 1.86% | 2.79% | 1.60% | 1.53% | ||||
| Ratios and Supplemental Data: | |||||||||
|
Net assets, end of period (in
000s) |
$402,603 | $298,907 | $167,719 | $50,344 | $18,117 | ||||
| Ratios to average net assets: | |||||||||
|
Total
expenses |
0.20% | 0.20% | 0.20% | 0.20% | 0.20% | ||||
|
Net investment income
(loss) |
0.67% | 2.02% | 2.54% | 1.70% | 1.09% | ||||
|
Portfolio turnover
rate |
76% | 71% | 100% | 76% | 83%(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. |
See accompanying notes to financial statements.
41
SSGA ACTIVE
TRUST
FINANCIAL HIGHLIGHTS (continued)
Selected data for a share outstanding throughout each period
| SPDR Nuveen Municipal Bond ETF | |
| For
the Period 2/3/21*- 6/30/21 | |
|
Net asset value, beginning of
period |
$ 30.00 |
| Income (loss) from investment operations: | |
|
Net investment income (loss)
(a) |
0.07 |
|
Net realized and unrealized gain (loss)
(b) |
0.11 |
|
Total from investment
operations |
0.18 |
|
Net equalization credits and charges
(a) |
0.00(c) |
|
Other capital
(a) |
0.03 |
| Distributions to shareholders from: | |
|
Net investment
income |
(0.10) |
|
Net asset value, end of
period |
$ 30.11 |
|
Total return
(d) |
0.69% |
| Ratios and Supplemental Data: | |
|
Net assets, end of period (in
000s) |
$45,164 |
| Ratios to average net assets: | |
|
Total
expenses |
0.40%(e) |
|
Net investment income
(loss) |
0.57%(e) |
|
Portfolio turnover rate
(f) |
51%(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 year. |
| (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) | Annualized. |
| (f) | Portfolio turnover rate excludes securities received or delivered from in-kind processing of creations or redemptions. |
| (g) | Not annualized. |
See accompanying notes to financial statements.
42
SSGA ACTIVE
TRUST
NOTES TO FINANCIAL STATEMENTS
June 30, 2021
1. Organization
SSGA Active Trust (the “Trust”), a Massachusetts
business trust registered under the Investment Company Act of 1940, as amended (“1940 Act”), is an open-end management investment company.
As of June 30, 2021, the Trust consists of eleven (11) series,
each of which represents a separate series of beneficial interest in the Trust. The Declaration of Trust permits the Board of Trustees of the Trust (the “Board”) to authorize the issuance of an unlimited number of shares of beneficial
interest with no par value. The financial statements herein relate to the following series (each, a “Fund” and collectively, the “Funds”):
| SPDR SSGA Multi-Asset Real Return ETF |
| SPDR SSGA Income Allocation ETF |
| SPDR SSGA Global Allocation ETF |
| SPDR SSGA Ultra Short Term Bond ETF |
| SPDR Nuveen Municipal Bond ETF |
Each Fund
is classified as a diversified investment company under the 1940 Act, with the exception of SPDR SSGA Ultra Short Term Bond ETF, which is a non-diversified investment company.
The SPDR Nuveen Municipal Bond ETF commenced operations on
February 3, 2021.
Under the Trust’s organizational
documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust. Additionally, in the normal course of business, the Trust enters into contracts with service providers that
contain general indemnification clauses. The Trust’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Trust that have not yet occurred.
2. Summary of Significant Accounting
Policies
The following is a summary of significant
accounting policies followed by the Trust in the preparation of its financial statements:
The preparation of financial statements in accordance with
U.S. generally accepted accounting principles (“U.S. GAAP”) requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those
estimates. Each Fund is an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies.
Security Valuation
Each Fund's investments are valued at fair value each day that
the New York Stock Exchange (“NYSE”) is open and, for financial reporting purposes, as of the report date should the reporting period end on a day that the NYSE is not open. Fair value is generally defined as the price a fund would
receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. By its nature, a fair value price is a good faith estimate of the valuation in a current sale and may not reflect
an actual market price. The investments of each Fund are valued pursuant to the policy and procedures developed by the Oversight Committee (the “Committee”) and approved by the Board. The Committee provides oversight of the valuation of
investments for the Funds. The Board has responsibility for overseeing the determination of the fair value of investments.
Valuation techniques used to value each Fund’s
investments by major category are as follows:
•
Equity investments (including preferred stocks and registered investment companies that are exchange-traded funds) traded on a recognized securities exchange for which market quotations are readily available are valued at the last sale price or
official closing price, as applicable, on the primary market or exchange on which they trade. Equity investments traded on a recognized exchange for which there were no sales on that day are valued
43
SSGA ACTIVE
TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
June 30, 2021
at the last published sale price or at fair value.
•
Investments in registered investment companies (including money market funds) or other unitized pooled investment vehicles that are not traded on an exchange are valued at that day’s published net asset value (“NAV”) per share
or unit.
•
Government and municipal fixed income securities are generally valued using quotations from independent pricing services or brokers. Certain government inflation-indexed securities may require a calculated fair valuation as the cumulative
inflation is contained within the price provided by the pricing service or broker. For these securities, the inflation component of the price is “cleaned” from the pricing service or broker price utilizing the published inflation factors
in order to ensure proper accrual of income.
•
Debt obligations (including short-term investments and convertible debt securities) are valued using quotations from independent pricing services or brokers or are generally valued at the last reported evaluated prices.
In the event prices or quotations are not readily available or
that the application of these valuation methods results in a price for an investment that is deemed to be not representative of the fair value of such investment, fair value will be determined in good faith by the Committee, in accordance with the
valuation policy and procedures approved by the Board.
Various inputs are used in determining the value of the Funds'
investments.
The Funds value their assets and
liabilities at fair value using a fair value hierarchy consisting of three broad levels that prioritize the inputs to valuation techniques giving the highest priority to readily available unadjusted quoted prices in active markets for identical
assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements) when market prices are not readily available or reliable. The categorization of a value determined for an investment within the
hierarchy is based upon the pricing transparency of the investment and is not necessarily an indication of the risk associated with investing in it.
The three levels of the fair value hierarchy are as
follows:
• Level 1 – Unadjusted
quoted prices in active markets for an identical asset or liability;
•
Level 2 – Inputs other than quoted prices included within Level 1 that are observable for the asset or liability either directly or indirectly, including quoted prices for similar assets or liabilities in active markets, quoted prices for
identical or similar assets or liabilities in markets that are not considered to be active, inputs other than quoted prices that are observable for the asset or liability (such as exchange rates, financing terms, interest rates, yield curves,
volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs; and
•
Level 3 – Unobservable inputs for the asset or liability, including the Committee’s assumptions used in determining the fair value of investments.
The value of each Fund’s investments, according to the
fair value hierarchy as of June 30, 2021, is disclosed in each Fund’s respective Schedule of Investments.
Investment Transactions and Income Recognition
Investment transactions are accounted for on the trade date
for financial reporting purposes. Realized gains and losses from the sale and disposition of investments are determined using the identified cost method.
Dividend income and capital gain distributions, if any, are
recognized daily on the ex-dividend date, net of any foreign taxes withheld at source, if any. Interest income is recorded daily on an accrual basis. All premiums and discounts are amortized/accreted for financial reporting purposes.
44
SSGA ACTIVE
TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
June 30, 2021
Expenses
Certain expenses, which are directly identifiable to a
specific Fund, are applied to that Fund within the Trust. Other expenses which cannot be attributed to a specific Fund are allocated in such a manner as deemed equitable, taking into consideration the nature and type of expense and the relative net
assets of the Funds within the Trust.
Foreign Currency
Translation
The accounting records of the Funds are
maintained in U.S. dollars. Foreign currencies as well as investment securities and other assets and liabilities denominated in a foreign currency are translated to U.S. dollars using exchange rates at period end. Purchases and sales of securities,
income receipts and expense payments denominated in foreign currencies are translated into U.S. dollars at the prevailing exchange rate on the respective dates of the transactions.
The effects of exchange rate fluctuations on investments are
included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.
Foreign Taxes
The Funds may be subject to foreign taxes (a portion of which
may be reclaimable) on income, stock dividends, realized and unrealized capital gain on investments or certain foreign currency transactions. Foreign taxes are recorded in accordance with SSGA FM’s understanding of the applicable foreign tax
regulations and rates that exist in the foreign jurisdictions in which the Funds invest. These foreign taxes, if any, are paid by the Funds and are reflected in the Statements of Operations, if applicable. Foreign taxes payable or deferred as of
June 30, 2021, if any, are disclosed in the Funds’ Statements of Assets and Liabilities.
Equalization
The Funds follow the accounting practice known as
“Equalization” by which a portion of the proceeds from sales and costs of reacquiring Fund shares, equivalent on a per share basis to the amount of distributable net investment income on the date of the transaction, is credited or
charged to undistributed net investment income. As a result, undistributed net investment income per share is unaffected by sales or reacquisition of Fund shares. Amounts related to Equalization can be found on the Statements of Changes in Net
Assets.
Distributions
Distributions from net investment income are declared and paid
quarterly for SPDR SSGA Multi-Asset Real Return ETF, SPDR SSGA Income Allocation ETF and SPDR SSGA Global Allocation ETF and declared and paid monthly for SPDR SSGA Ultra Short Term Bond ETF and SPDR Nuveen Municipal Bond ETF.
Net realized capital gains, if any, are distributed annually.
Dividends may be declared and paid more frequently or at any other times to improve Index tracking or to comply with the distribution requirements of the Internal Revenue Code of 1986, as amended (“Internal Revenue Code”). The amount and
character of income and capital gains to be distributed are determined in accordance with applicable tax regulations which may differ from net investment income and realized gains recognized for U.S. GAAP purposes.
45
SSGA ACTIVE
TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
June 30, 2021
3. Fees and Transactions with
Affiliates
Advisory Fee
Each Fund has entered into an Investment Advisory Agreement
with SSGA FM. As compensation for services rendered, facilities furnished, and expenses borne by the Adviser, each Fund pays the Adviser a fee (“Management/Advisory fee”) accrued daily and paid monthly, based on a percentage of each
Fund’s average daily net assets as shown in the following table:
| Annual Rate* | |
|
SPDR SSGA Multi-Asset Real Return
ETF |
0.50% |
|
SPDR SSGA Income Allocation
ETF |
0.50 |
|
SPDR SSGA Global Allocation
ETF |
0.35 |
|
SPDR SSGA Ultra Short Term Bond
ETF |
0.20 |
|
SPDR Nuveen Municipal Bond
ETF |
0.40 |
| * | 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, 2021, the net annualized advisory fee was 0.08%, 0.16%, and 0.17% for the SPDR SSGA Multi-Asset Real Return ETF, SPDR SSGA Income Allocation ETF, SPDR SSGA Global Allocation ETF, respectively. |
From time to time, the Adviser may waive all or a portion of
its Management fee. The Adviser has contractually agreed to waive a portion of its management fee and/or reimburse expenses in an amount equal to any acquired fund fees and expenses (excluding holdings in acquired funds for cash management purposes,
if any) for each Fund until October 31, 2021. This waiver and/or reimbursement does not provide for the recoupment by the Adviser of any amounts waived or reimbursed. This waiver and/or reimbursement may not be terminated prior to October 31, 2021,
except with the approval of the Board.
The Adviser pays
all expenses of each Fund other than the management fee, brokerage expenses, taxes, interest, fees and expenses of the Independent Trustees (including any Trustee’s counsel fees), litigation expenses and other extraordinary expenses.
Administrator, Custodian, Sub-Administrator and Transfer Agent
Fees
SSGA FM serves as administrator and State Street
Bank and Trust Company (“State Street”), an affiliate of the Adviser, serves as custodian, sub-administrator and transfer agent. State Street receives fees for its services as custodian, sub-administrator and transfer agent from the
Adviser.
Distributor
State Street Global Advisors Funds Distributors, LLC
(“SSGA FD” or the “Distributor”), an affiliate of the Adviser, serves as the distributor of the Trust.
Other Transactions with Affiliates - Securities Lending
State Street, an affiliate of the Funds, acts as the
securities lending agent for the Funds, pursuant to an amended and restated securities lending authorization agreement dated January 6, 2017.
Proceeds collected by State Street on investment of cash
collateral or any fee income are allocated as follows (after deduction of such other amounts payable to State Street under the terms of the securities lending agreement): 85% payable to the Funds, and 15% payable to State Street.
In addition, cash collateral from lending activities is
invested in the State Street Navigator Securities Lending Portfolio II, an affiliated fund, for which SSGA FM serves as investment adviser. See Note 8 for additional information regarding securities lending.
46
SSGA ACTIVE
TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
June 30, 2021
Other Transactions with Affiliates
The Funds may invest in affiliated entities, including
securities issued by State Street Corporation, affiliated funds, or entities deemed to be affiliates as a result of the Funds owning more than five percent of the entity’s voting securities or outstanding shares. Amounts relating to these
transactions during the year ended June 30, 2021 are disclosed in the Schedules of Investments.
4. Trustees’ Fees
The fees and expenses of the Trust’s trustees, who are
not “interested persons” of the Trust, as defined in the 1940 Act (“Independent Trustees”), are paid directly by the Funds. The Independent Trustees are reimbursed for travel and other out-of-pocket expenses in connection
with meeting attendance and industry seminars.
5. Investment Transactions
Purchases and sales of investments (excluding in-kind
transactions and short term investments) for the year ended June 30, 2021, were as follows:
| Purchases | Sales | ||
|
SPDR SSGA Multi-Asset Real Return
ETF |
$ 34,711,664 | $ 33,972,513 | |
|
SPDR SSGA Income Allocation
ETF |
68,848,997 | 69,024,626 | |
|
SPDR SSGA Global Allocation
ETF |
278,398,480 | 279,743,158 | |
|
SPDR SSGA Ultra Short Term Bond
ETF |
278,615,616 | 214,483,192 | |
|
SPDR Nuveen Municipal Bond
ETF |
65,421,380 | 20,620,345 |
For the year ended June 30, 2021,
the following Funds had in-kind contributions, redemptions and net realized gains/losses in the amounts as follows:
| In-kind
Contributions |
In-kind
Redemptions |
In-kind
Net Realized Gains/(Losses) | |||
|
SPDR SSGA Multi-Asset Real Return
ETF |
$66,162,829 | $ 8,833,376 | $ 243,072 | ||
|
SPDR SSGA Income Allocation
ETF |
70,730,721 | 89,126,566 | 6,817,557 | ||
|
SPDR SSGA Global Allocation
ETF |
22,134,357 | 33,256,043 | 6,305,886 |
6. Shareholder
Transactions
Each Fund issues and redeems its shares, at
NAV, by each Fund only in aggregations of a specified number of shares or multiples thereof (“Creation Units”). Except when aggregated in Creation Units, shares of each Fund are not redeemable. Transactions in capital shares for each
Fund are disclosed in detail in the Statements of Changes in Net Assets.
The consideration for the purchase of Creation Units of a Fund
may consist of the in-kind deposit of a designated portfolio of securities and a specified amount of cash . Investors purchasing and redeeming Creation Units may pay a purchase transaction fee and a redemption transaction fee directly to the Trust
and/or custodian, to offset transfer and other transaction costs associated with the issuance and redemption of Creation Units, including Creation Units for cash. An additional variable fee may be charged for certain transactions. Such variable
charges, if any, are included in “Other Capital” on the Statements of Changes in Net Assets.
7. Income Tax Information
The Funds have qualified and intend to continue to qualify as
regulated investment companies under Subchapter M of the Internal Revenue Code. SPDR Nuveen Municipal Bond ETF intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code. Each Fund will not be subject to
federal income
47
SSGA ACTIVE
TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
June 30, 2021
taxes to the extent it distributes its taxable income, including any net
realized capital gains, for each fiscal year. Therefore, no provision for federal income tax is required.
The Funds file federal and various state and local tax returns
as required. No income tax returns are currently under examination. Generally, the federal returns are subject to examination by the Internal Revenue Service for a period of three years from date of filing, while the state returns may remain open
for an additional year depending upon jurisdiction. SSGA FM has analyzed each Fund's tax positions taken on tax returns for all open years and does not believe there are any uncertain tax positions that would require recognition of a tax
liability.
Distributions to shareholders are recorded on
ex-dividend date. Income dividends and gain distributions are determined in accordance with income tax rules and regulations, which may differ from generally accepted accounting principles.
Certain capital accounts in the financial statements have been
adjusted for permanent book-tax differences. These adjustments have no impact on net asset values or results of operations. Temporary book-tax differences will reverse in the future. These book-tax differences are primarily due to differing
treatments for character of distributions, in-kind transactions, partnership basis adjustments, distributions in excess of current earnings, amortization and accretion of premium and discount for financial statement purposes, paydown gains and
losses and wash sale loss deferrals. In additions, certain funds claimed a portion of the payments made to redeeming shareholders as a distribution for income tax purposes.
The tax character of distributions paid during the year ended
June 30, 2021, was as follows:
| Ordinary
Income |
Tax
Exempt Income |
Long-Term
Capital Gains |
Total | ||||
|
SPDR SSGA Multi-Asset Real Return
ETF |
$1,750,442 | $ — | $— | $1,750,442 | |||
|
SPDR SSGA Income Allocation
ETF |
4,629,430 | — | — | 4,629,430 | |||
|
SPDR SSGA Global Allocation
ETF |
5,588,244 | — | — | 5,588,244 | |||
|
SPDR SSGA Ultra Short Term Bond
ETF |
2,605,083 | — | — | 2,605,083 | |||
|
SPDR Nuveen Municipal Bond
ETF |
3,922 | 136,378 | — | 140,300 |
The tax character of distributions
paid during the year ended June 30, 2020, was as follows:
| 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 |
At June 30, 2021, the components of
distributable earnings on a tax basis were as follows:
| Undistributed
Ordinary Income |
Undistributed
Tax Exempt Income |
Capital
Loss Carryforwards |
Undistributed
Long-Term Capital Gains |
Net
Unrealized Gains (Losses) |
Total | ||||||
|
SPDR SSGA Multi-Asset Real Return
ETF |
$ 5,007 | $ — | $(42,274,980) | $ — | $ 8,144,244 | $(34,125,729) | |||||
|
SPDR SSGA Income Allocation
ETF |
— | — | (10,432,789) | — | 3,404,453 | (7,028,336) | |||||
|
SPDR SSGA Global Allocation
ETF |
32,107 | — | — | 1,513,610 | 48,720,218 | 50,265,935 | |||||
|
SPDR SSGA Ultra Short Term Bond
ETF |
— | — | (300,137) | — | 802,768 | 502,631 | |||||
|
SPDR Nuveen Municipal Bond
ETF |
231,630 | 43,145 | — | — | (60,508) | 214,267 |
48
SSGA ACTIVE
TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
June 30, 2021
As of June 30, 2021, the following Funds had capital loss
carryforwards available to offset future realized capital gains as follows:
| Non-Expiring
Short Term |
Non-Expiring
Long Term | ||
|
SPDR SSGA Multi-Asset Real Return
ETF |
$11,267,651 | $31,007,329 | |
|
SPDR SSGA Income Allocation
ETF |
6,609,405 | 3,823,384 | |
|
SPDR SSGA Ultra Short Term Bond
ETF |
— | 300,137 |
As of June 30, 2021, gross
unrealized appreciation and gross unrealized depreciation of investments based on cost for federal income tax purposes were as follows:
| Tax
Cost |
Gross
Unrealized Appreciation |
Gross
Unrealized Depreciation |
Net
Unrealized Appreciation (Depreciation) | ||||
|
SPDR SSGA Multi-Asset Real Return
ETF |
$134,571,303 | $ 8,144,244 | $ — | $ 8,144,244 | |||
|
SPDR SSGA Income Allocation
ETF |
131,733,222 | 3,739,684 | 335,231 | 3,404,453 | |||
|
SPDR SSGA Global Allocation
ETF |
276,481,649 | 49,845,640 | 1,125,422 | 48,720,218 | |||
|
SPDR SSGA Ultra Short Term Bond
ETF |
400,363,057 | 876,983 | 74,215 | 802,768 | |||
|
SPDR Nuveen Municipal Bond
ETF |
46,266,776 | 143,889 | 204,397 | (60,508) |
8. Securities
Lending
Each Fund may lend securities to qualified
broker-dealers or institutional investors. The loans are secured at all times by cash, cash equivalents or U.S. government securities in an amount at least equal to the market value of the securities loaned, plus accrued interest and dividends,
determined on a daily basis and adjusted accordingly. The value of the collateral with respect to a loaned security may be temporarily more or less than the value of a security due to market fluctuations of securities values. With respect to each
loan, if on any U.S. business day the aggregate market value of securities collateral plus cash collateral is less than the aggregate market value of the securities which are subject to the loan, the borrower will be notified to provide additional
collateral on the next business day.
The Funds will
regain record ownership of loaned securities to exercise certain beneficial rights; however, the Funds may bear the risk of delay in recovery of, or even loss of rights in the securities loaned should the borrower fail financially. In addition, a
Fund will bear the risk of loss of any cash collateral that it may invest. Each Fund receives compensation for lending its securities from interest or dividends earned on the cash, cash equivalents or U.S. government securities held as collateral,
net of fee rebates paid to the borrower and net of fees paid to State Street as the lending agent. Additionally, a Fund will receive a fee from the borrower for non-cash collateral equal to a percentage of the market value of the loaned
securities.
The market value of securities on loan as of
June 30, 2021, and the value of the invested cash collateral are disclosed in the Funds' Statements of Assets and Liabilities. Non-cash collateral is not disclosed in the Funds’ Statements of Assets and Liabilities as it is held by the lending
agent on behalf of the Funds, and the Funds do not have the ability to re-hypothecate those securities. Securities lending income, as disclosed in the Funds’ Statements of Operations, represents the income earned from the non-cash collateral
and the investment of cash collateral, net of fee rebates paid to the borrower and net of fees paid to State Street as lending agent.
The following is a summary of each Fund’s securities
lending agreements and related cash and non-cash collateral received as of June 30, 2021:
| Fund | Market
Value of Securities on Loan |
Cash
Collateral Received |
Non-Cash
Collateral Received* |
Total
Collateral Received | ||||
|
SPDR SSGA Multi-Asset Real Return
ETF |
$ 18,674,023 | $ 12,421,543 | $ 6,581,098 | $ 19,002,641 | ||||
|
SPDR SSGA Income Allocation ETF
|
21,491,633 | 10,114,067 | 11,885,682 | 21,999,749 |
49
SSGA ACTIVE
TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
June 30, 2021
| Fund | Market
Value of Securities on Loan |
Cash
Collateral Received |
Non-Cash
Collateral Received* |
Total
Collateral Received | ||||
|
SPDR SSGA Global Allocation ETF
|
$48,247,191 | $42,661,109 | $ 6,740,579 | $49,401,688 |
| * | The non-cash collateral includes U.S. Treasuries and U.S. Government Agency securities. |
The following table reflects a breakdown of transactions
accounted for as secured borrowings, the gross obligation by the type of collateral pledged or securities loaned, and the remaining contractual maturity of those transactions as of June 30, 2021:
| Remaining
Contractual Maturity of the Agreements as of June 30, 2021 | ||||||||||||||
| 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 | $12,421,543 | $— | $— | $— | $12,421,543 | $12,421,543 | |||||||
|
SPDR SSGA Income Allocation
ETF |
Mutual Funds and Exchange Traded Products | 10,114,067 | — | — | — | 10,114,067 | 10,114,067 | |||||||
|
SPDR SSGA Global Allocation
ETF |
Mutual Funds and Exchange Traded Products | 42,661,109 | — | — | — | 42,661,109 | 42,661,109 | |||||||
9. Line of
Credit
The SPDR SSGA Ultra Short Term Bond ETF and other
affiliated funds (each a “Participant” and, collectively, the “Participants”) have access to $200 million of a $500 million revolving credit facility provided by a syndication of banks under which the Participants may borrow
to fund shareholder redemptions. This agreement expires in October 2021 unless extended or renewed.
The Participants are charged an annual commitment fee which is
calculated based on the unused portion of the shared credit line. Commitment fees are allocated among each of the Participants based on relative net assets. Commitment fees are ordinary fund operating expenses paid by the Adviser. A Participant
incurs and pays the interest expense related to its borrowing. Interest is calculated at a rate per annum equal to the sum of 1.25% plus the New York Fed Bank Rate. Prior to October 8, 2020, interest was calculated at a rate per annum equal to the
sum of 1% plus the greater of the New York Fed Bank Rate and 1-month LIBOR rate.
The Fund had no outstanding loans as of June 30, 2021.
10. Risks
Concentration Risk
As a result of the Funds' ability to invest a large percentage
of its assets in obligations of issuers within the same country, state, region, currency or economic sector, an adverse economic, business or political development may affect the value of the Funds' investments more than if the Funds were more
broadly diversified.
Foreign and Emerging Markets
Risk
Investing in foreign markets involves risks and
considerations not typically associated with investing in the U.S. Foreign securities may be subject to risk of loss because of government regulation, economic, political and social instability in the countries in which the Funds invest. Foreign
markets may be less liquid than investments in
50
SSGA ACTIVE
TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
June 30, 2021
the U.S. and may be subject to the risks of currency fluctuations. To the
extent that the Funds invest in securities of issuers located in emerging markets, these risks may be even more pronounced.
Credit Risk
A Fund may be exposed to credit risk in the event that an
issuer or guarantor fails to perform or that an institution or entity with which the Fund has unsettled or open transactions defaults.
Market Risk
Each Fund’s investments are subject to changes in
general economic conditions, general market fluctuations and the risks inherent in investment in securities markets. Investment markets can be volatile and prices of investments can change substantially due to various factors including, but not
limited to, economic growth or recession, changes in interest rates, changes in the actual or perceived creditworthiness of issuers, and general market liquidity. A Fund is subject to the risk that geopolitical events will disrupt securities markets
and adversely affect global economies and markets. Local, regional or global events such as war, acts of terrorism, the spread of infectious illness or other public health issues, or other events could have a significant impact on a Fund and its
investments.
An outbreak of a respiratory disease caused
by a novel coronavirus (known as COVID-19) first detected in China in December 2019 has resulted in a global pandemic and major disruptions to economies and markets around the world, including the United States. Financial markets experienced and may
continue to experience extreme volatility and severe losses, and trading in many instruments was and may continue to be disrupted as a result. Liquidity for many instruments was and may continue to be greatly reduced for periods of time. Some
interest rates are very low and in some cases yields are negative. Governments and central banks, including the Federal Reserve in the United States, have taken extraordinary and unprecedented actions to support local and global economies and the
financial markets. The impact of these measures, and whether they will be effective to mitigate the economic and market disruption, will not be known for some time. In addition, the outbreak of COVID-19, and measures taken to mitigate its effects,
could result in disruptions to the services provided to a Fund by its service providers.
11. Recent Accounting Pronouncement
In March 2020, the Financial Accounting Standards Board
(“FASB”) issued Accounting Standards Update No. 2020-04 (“ASU 2020-04”), “Reference Rate Reform (Topic 848)”. In response to concerns about structural risks of interbank offered rates, and particularly the risk of
cessation of LIBOR, regulators have undertaken reference rate reform initiatives to identify alternative reference rates that are more observable or transaction based and less susceptible to manipulation. ASU 2020-04 provides optional guidance for a
limited period of time to ease the potential burden in accounting for (or recognizing the effects of) reference rate reform on financial reporting. ASU 2020-04 is elective and applies to all entities, subject to meeting certain criteria, that have
contracts, hedging relationships, and other transactions that reference LIBOR or another reference rate expected to be discontinued because of reference rate reform. The relief provided is temporary and generally cannot be applied to contract
modifications that occur after December 31, 2022, or hedging relationships entered into or evaluated after that date. However, the FASB has indicated that it will revisit the sunset date in Topic 848 after the LIBOR administrator makes a final
decision on a phaseout date. On November 30, 2020, the LIBOR administrator proposed extending the publication of the overnight and the one-, three-, six- and 12-month USD LIBOR settings through June 30, 2023, when many existing contracts that
reference LIBOR will have expired. Management is currently evaluating the impact of the guidance.
12. Subsequent Events
Management has evaluated the impact of all subsequent events
on the Funds through the date the financial statements were issued and has determined that there were no subsequent events requiring adjustment or disclosure in the financial statements.
51
SSGA ACTIVE
TRUST
REPORT OF INDEPENDENT REGISTERED PUBLIC
ACCOUNTING FIRM
To the Shareholders of SPDR SSGA Multi-Asset Real Return ETF,
SPDR SSGA Income Allocation ETF, SPDR SSGA Global Allocation ETF, SPDR SSGA Ultra Short Term Bond ETF and SPDR Nuveen Municipal Bond ETF and the Board of Trustees of SSGA Active Trust
Opinion on the Financial Statements
We have audited the accompanying statements of assets and
liabilities of SPDR SSGA Multi-Asset Real Return ETF, SPDR SSGA Income Allocation ETF, SPDR SSGA Global Allocation ETF, SPDR SSGA Ultra Short Term Bond ETF and SPDR Nuveen Municipal Bond ETF (collectively referred to as the “Funds”)
(five of the funds constituting SSGA Active Trust (the “Trust”)), including the schedules of investments, as of June 30, 2021, and the related statements of operations and changes in net assets, and the financial highlights for each of
the periods indicated in the table below and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of
the Funds (five of the funds constituting SSGA Active Trust) at June 30, 2021, and the results of their operations, changes in net assets and financial highlights for each of the periods indicated in the table below, in conformity with U.S.
generally accepted accounting principles.
| Individual Fund constituting the SSGA Active Trust | Statement of operations | Statement of changes in net assets | Financial highlights |
| SPDR
SSGA Multi-Asset Real Return ETF SPDR SSGA Income Allocation ETF SPDR SSGA Global Allocation ETF SPDR SSGA Ultra Short Term Bond ETF |
For the year ended June 30, 2021 | For each of the two years in the period ended June 30, 2021 | For each of the five years in the period ended June 30, 2021 |
| SPDR Nuveen Municipal Bond ETF | For
the period from February 3, 2021 (commencement of operations) to June 30, 2021 | ||
Basis for Opinion
These financial statements are the responsibility of the
Trust’s management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States)
(“PCAOB”) and are required to be independent with respect to the Trust in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of
the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Trust is not required to have, nor were
we engaged to perform, an audit of the Trust’s internal control over financial reporting. As part of our audits, we are required to obtain an understanding of internal control over financial reporting, but not for the purpose of expressing an
opinion on the effectiveness of the Trust’s internal control over financial reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risks
of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the
financial statements. Our procedures included confirmation of securities owned as of June 30, 2021, by correspondence with the custodian, brokers and others or by other appropriate auditing procedures where replies from brokers and others were not
received. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable
basis for our opinion.
52
SSGA ACTIVE
TRUST
REPORT OF INDEPENDENT REGISTERED PUBLIC
ACCOUNTING FIRM
We have served as the auditor of one or more State Street
Global Advisors investment companies since 2000.
Boston,
Massachusetts
August 30, 2021
August 30, 2021
53
SSGA ACTIVE
TRUST
OTHER INFORMATION
June 30, 2021 (Unaudited)
Expense Example
As a shareholder of a Fund, you incur two types of costs: (1)
transaction costs, including sales charges (loads), if applicable, on purchase payments, reinvested dividends, or other distributions and (2) ongoing costs, including advisory fees and other Fund expenses. This example is intended to help you
understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. It is based on an investment of $1,000 made at the beginning of the period shown and held for
the entire period from January 1, 2021 to June 30, 2021.
The table below illustrates your Fund's cost in two
ways:
Based on actual fund return ——This section helps you to estimate the actual expenses that you paid over the period. The “Ending Account Value” shown is derived from each Fund's actual return, and the third column shows the
dollar amount that would have been paid by an investor who started with $1,000 in the Fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your
account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for the Fund under the heading “Expenses Paid During Period”.
Based on hypothetical 5%
return ——This section is intended to help you compare your Fund's costs with those of other mutual funds. It assumes that the Fund had a yearly return of 5% before expenses, but that the expense ratio is
unchanged. In this case, because the return used is not the Fund's actual return, the results do not apply to your investment. The example is useful in making comparisons because the U.S. Securities and Exchange Commission (the “SEC”)
requires all mutual funds to calculate expenses based on a 5% return. You can assess your Fund's costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.
Please note that the expenses shown in the table are meant to
highlight your ongoing costs only and do not reflect any transaction costs, such as sales load charges (loads). Therefore, the hypothetical 5% return section of the table is useful in comparing ongoing costs only, and will not help you determine the
relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher.
| 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% | $1,167.90 | $0.43 | $1,024.40 | $0.40 | ||||
|
SPDR SSGA Income Allocation
ETF |
0.14 | 1,072.10 | 0.72 | 1,024.10 | 0.70 | ||||
|
SPDR SSGA Global Allocation
ETF |
0.20 | 1,088.30 | 1.04 | 1,023.80 | 1.00 | ||||
|
SPDR SSGA Ultra Short Term Bond
ETF |
0.20 | 1,003.20 | 0.99 | 1,023.80 | 1.00 | ||||
|
SPDR Nuveen Municipal Bond
ETF |
0.40(b) | 1,006.90 | 1.62 | 1,018.50 | 1.63 | ||||
| (a) | Expenses are equal to the Fund's annualized net expense ratio multiplied by the average account value of the period, multiplied by 181, then divided by 365. |
| (b) | Actual period is from commencement of operations on 02/03/2021. |
54
SSGA ACTIVE
TRUST
OTHER INFORMATION (continued)
June 30, 2021 (Unaudited)
Tax Information
For federal income tax purposes, the following information is
furnished with respect to the distributions of the Trust for its fiscal year ended June 30, 2021.
Dividends Received Deduction
Each Fund reports the maximum amount allowable of its net
taxable income as eligible for the corporate dividends received deduction.
Qualified Business Income Deduction
Each Fund reports the maximum amount allowable of qualified
REIT dividends eligible for the 20% qualified business income deduction under Section 199A.
Qualified Dividend Income
A portion of dividends distributed by the Funds during the
fiscal year ended June 30, 2021 are considered qualified dividend income and are eligible for reduced tax rates. These lower rates range from 5% to 20% depending on the individual’s tax bracket. Each Fund reports the maximum amount allowable
of its net taxable income as qualified dividend income as provided in the Jobs and Growth Tax Relief Reconciliation Act of 2003.
Qualified Interest Income
Each Fund reports the maximum amount allowable of its net
taxable income and short-term capital gain as qualified interest income.
Interest Dividends
Each Fund reports the maximum amount allowable as Section
163(j) Interest Dividends.
Capital Gain Dividend
The Funds hereby designate as a capital gain dividend the
amount reflected below, or if subsequently determined to be different, the net capital gain of such fiscal period.
| Amount | |
|
SPDR SSGA Global Allocation
ETF |
$1,523,983 |
Foreign Tax Credit
For the year ended June 30, 2021, the following Funds have
made an election under Internal Revenue Code Section 853 to pass through foreign taxes paid by the Funds to its shareholders and accordingly have earned foreign source income:
SPDR SSGA Multi-Asset Real Return ETF
SPDR SSGA Income Allocation ETF
SPDR SSGA Global Allocation ETF
55
SSGA ACTIVE
TRUST
OTHER INFORMATION (continued)
June 30, 2021 (Unaudited)
Tax-Exempt Income
The percentage of distributions paid by the Funds that are
exempt-interest distributions are as follows:
| Percentage | |
|
SPDR Nuveen Municipal Bond
ETF |
97.20% |
Premium/Discount Information
Information regarding how often the Shares of each Fund traded
on the exchange at a price above (i.e., at a premium) or below (i.e., at a discount) the NAV of the Fund during the past calendar year can be found at www.ssga.com.
Proxy
Voting Policies and Procedures and Records
A description
of the Trust’s proxy voting policies and procedures that are used by the Funds’ investment adviser to vote proxies relating to the Funds’ portfolio of securities are available (i) without charge, upon request by calling
1-866-787-2257 (toll free) or (ii) on the SEC's website at www.sec.gov.
Information regarding how the investment adviser voted for the
12-month period ended June 30, is available by August 31 of each year by calling the same number, on the SEC’s website at www.sec.gov, and on the Funds’ website at
www.ssga.com.
Quarterly Portfolio Schedule
Following the Funds’ first and third fiscal
quarter-ends, a complete schedule of investments is filed with the SEC as an exhibit on Form N-PORT, which can be found on the SEC's website at www.sec.gov, and on the Funds' website at www.ssga.com. The Funds’ schedules of investments are available upon request, without charge, by calling 1-866-787-2257 (toll free).
56
SSGA ACTIVE
TRUST
OTHER INFORMATION (continued)
June 30, 2021 (Unaudited)
Approval of Advisory Agreement
At meetings held prior to June 30, 2021, the Board of Trustees
of the Trust (the “Board”) evaluated proposals to continue the Investment Advisory Agreement (the “Agreement”) between the Trust and SSGA Funds Management, Inc. (the “Adviser” or “SSGA FM”) with
respect to the following series of SSGA Active Trust: SPDR SSGA Multi-Asset Real Return ETF, SPDR SSGA Income Allocation ETF, SPDR SSGA Global Allocation ETF and SPDR SSGA Ultra Short Term Bond ETF (the “Funds”). The Trustees who are not
“interested persons” of the Trust within the meaning of the Investment Company Act of 1940, as amended (the “Independent Trustees”), also met separately to consider the Agreement. The Independent Trustees were advised by
their independent legal counsel throughout the process.
To evaluate the Agreement, the Board requested, and SSGA FM,
the Trust’s investment adviser and administrator, and State Street Bank and Trust Company, the Trust’s sub-administrator, transfer agent and custodian (“State Street”) provided, such materials as the Board, with the advice of
counsel, deemed reasonably necessary. In deciding whether to approve the Agreement, the Board considered various factors, including the (i) nature, extent and quality of services provided by the Adviser with respect to the Funds under the Agreement,
(ii) investment performance of the Funds, (iii) profits realized by the Adviser and its affiliates from its relationship with the Trust, (iv) fees charged to comparable funds, (v) other benefits to the Adviser, and (vi) extent to which economies of
scale would be shared as the Funds grow.
Nature, Extent
and Quality of Services
The Board considered the nature,
extent and quality of services provided by the Adviser. In doing so, the Trustees relied on their prior experience in overseeing the management of the Trust and the materials provided prior to and at the meetings. The Board reviewed the Agreement
and the Adviser’s responsibilities for managing investment operations of each of the Funds in accordance with each Fund’s investment objectives and policies, and applicable legal and regulatory requirements. The Board appreciated the
nature of the Funds as exchange-traded funds and the experience and expertise of the Adviser in managing exchange-traded funds. The Board considered the background and experience of the Adviser’s senior management, including those individuals
responsible for portfolio management, oversight of sub-advisers and regulatory compliance of the Funds. The Board also considered the portfolio management resources, structures and practices of the Adviser, including those associated with monitoring
and ensuring each Fund’s compliance with its investment objectives and policies, and applicable laws and regulations. The Board further considered information about the Adviser’s best execution procedures and overall investment
management business, noting that the Adviser serves a wide range of clients across a broad spectrum of asset classes. The Board looked at the Adviser’s general knowledge of the investment management business and that of its affiliates which
make up State Street Global Advisors, through which the Adviser shares all of its senior personnel. The Board considered that the Adviser and its affiliates constitute one of the world’s largest investment management enterprises for
exchange-traded funds. The Board specifically considered the Adviser’s experience in managing actively-managed exchange-traded funds.
Investment Performance
The Board compared the investment performance of each series
of the Trust to the performance of an appropriate benchmark (gross of expenses) and to the perfornace of a group of comparable funds (net of expenses) (“Performance Group”) obtained from Broadridge Financial Solutions, Inc.
(“Broadridge”). Among other information, the Board considered the following performance information over various periods ended December 31, 2020 in its evaluation of the Funds:
SPDR SSGA Multi-Asset Real Return ETF. The Board considered that the Fund underperformed the median of its Performance Group for the 1-, 2-, 3-, 4- and 5-year periods. In addition, the Board considered that the Fund underperformed its benchmark for the 1-, 3-,
and 5-year, and since inception periods.
SPDR
SSGA Income Allocation ETF. The Board considered that the Fund outperformed the median of its Performance Group for the 1-, 2-, 3-, 4- and 5-year periods. In addition, the Board considered that the Fund
underperformed its benchmark for the 1-, 3- and 5-year, and since inception periods.
57
SSGA ACTIVE
TRUST
OTHER INFORMATION (continued)
June 30, 2021 (Unaudited)
SPDR SSGA Global Allocation ETF. The Board considered that the Fund outperformed the median of its Performance Group for the 1-, 2-, 3-, 4- and 5- year periods. In addition, the Board considered that the Fund underperformed its benchmark for the 1-, 3-
and 5-year, and since inception periods.
SPDR
SSGA Ultra Short Term Bond ETF. The Board considered that the Fund underperformed the median of its Performance Group for the 1-, 2-, 3-, 4- and 5-year periods. In addition, the Board considered that the Fund
outperformed its benchmark index for the 1-, 3-, 5-year and since inception periods.
In those instances where the Board observed underperformance
for an extended period of time, the Trustees discussed with management those factors that contributed to such underperformance and steps being taken in response to such factors, where appropriate.
Profits Realized by Adviser
The Board considered the profitability of the advisory
arrangement with the Funds to the Adviser and its affiliates, including data on the Funds’ historical profitability to these entities. The Board, including the Independent Trustees, with their independent legal counsel, had the opportunity to
discuss, with representatives of the Adviser and State Street, methodologies used in computing costs that formed the bases of profitability calculations.
Fees Charged to Comparable Funds
The Board evaluated each Fund’s unitary fee through
review of comparative information with respect to fees paid by similar funds – i.e., exchange-traded funds that are actively managed. The Board reviewed the universe of similar exchange-traded funds for each Fund based upon data independently
obtained from Broadridge and related comparative information for similar exchange-traded funds. In doing so, the Board used a fund by fund analysis of the data. In certain instances as considered appropriate by the Board, the Board explored with
management the reasons for the differences between a Fund’s fee and fees paid by similar funds.
Other Benefits
The Board also considered whether the Adviser or its
affiliates benefited in other ways from its relationship with the Trust, noting that the Adviser does not maintain soft-dollar arrangements in connection with the Trust’s brokerage transactions.
Economies of Scale
The Board reviewed information regarding economies of scale or
other efficiencies that may result as each Fund’s assets grow in size. The Board noted that the advisory fee rate for each Fund does not provide for breakpoints as assets of the Fund increase. However, the Board further noted the
Adviser’s assertion that future economies of scale (among several factors) had been taken into consideration for the Funds by fixing relatively low advisory fees, effectively sharing the benefits of lower fees with the Funds from inception.
The Adviser also asserted that one of the benefits of the unitary fee was to provide an unvarying expense structure, which could be lost or diluted with the addition of breakpoints. The Board noted that it intends to continue to monitor fees as the
Funds grow in size and assess whether fee breakpoints may be warranted.
58
SSGA ACTIVE
TRUST
OTHER INFORMATION (continued)
June 30, 2021 (Unaudited)
Conclusion
After weighing the foregoing factors, none of which was
dispositive in itself and may have been weighed differently by each Trustee, the Board, including the Independent Trustees voting separately, approved the continuation of the Agreement for each Fund. The Board’s conclusions with respect to the
factors were as follows: (a) the nature, extent and quality of the services provided by the Adviser with respect to the Funds were appropriate; (b) the performance of the Fund had been satisfactory or the Advisor had demonstrated due attention to
the remediation of underperformance, where appropriate; (c) the Adviser’s unitary fee for each Fund considered in relation to the services provided, and in relation to the fees charged to comparable funds, was reasonable; (d) the profitability
of the Trusts’ relationships with the Adviser and its affiliates was not excessive in view of the nature, extent and quality of the services provided; (e) any additional potential benefits to the Adviser or its affiliates were not of a
magnitude to materially affect the Board’s conclusions; and (f) the fees paid to the Adviser adequately shared the economies of scale with respect to the Funds by way of the relatively low fee structure of the Trust.
59
SSGA ACTIVE
TRUST
OTHER INFORMATION (continued)
June 30, 2021 (Unaudited)
Approval of Advisory Agreement
At a meeting held prior to June 30, 2021, the Board of
Trustees of the Trust (the “Board”) evaluated a proposal related to the initial approval of advisory arrangements for a new series of the Trust, including a proposal to approve the Investment Advisory Agreement (the
“Agreement”) between the Trust and SSGA Funds Management, Inc. (the “Adviser” or “SSGA FM”) with respect to the SPDR Nuveen Municipal Bond ETF (the “New ETF”), which commenced operations during the
period covered by this Annual Report. The Trustees who are not “interested persons” of the Trust within the meaning of the Investment Company Act of 1940, as amended (the “Independent Trustees”), also met separately to
consider the Agreement. The Independent Trustees were advised by their independent legal counsel throughout the process.
To evaluate the Agreement, the Board requested, and SSGA FM,
the Trust’s investment adviser and administrator, and State Street Bank and Trust Company, the Trust’s sub-administrator, transfer agent and custodian (“State Street”) provided, such materials as the Board, with the advice of
counsel, deemed reasonably necessary. In deciding whether to approve the Agreement, the Board considered various factors, including the (i) nature, extent and quality of services expected to be provided by the Adviser with respect to the New ETF
under the Agreement, (ii) fees charged to comparable funds, (iii) other benefits to the Adviser, and (iv) extent to which economies of scale would be shared as the New ETF grows.
Nature, Extent and Quality of Services
The Board considered the nature, extent and quality of
services expected to be provided by the Adviser. In doing so, the Trustees relied on their prior experience in overseeing the management of the Trust and materials provided prior to and at the meeting. The Board reviewed the Agreement and the
Adviser’s anticipated responsibilities for managing investment operations of the New ETF in accordance with the New ETF’s investment objective and policies, and applicable legal and regulatory requirements. The Board appreciated the
nature of the New ETF as an exchange-traded fund and the experience and expertise of the Adviser with exchange-traded funds. The Board considered the background and experience of the Adviser’s senior management, including those individuals
responsible for portfolio management and regulatory compliance of the New ETF. The Board also considered the portfolio management resources, structures and practices of the Adviser, including those associated with monitoring and securing the New
ETF’s compliance with its investment objective and policies and with applicable laws and regulations. The Board also considered information about the Adviser’s overall investment management business, noting that the Adviser serves a wide
range of clients across a broad spectrum of asset classes. The Board looked at the Adviser’s general knowledge of the investment management business and that of its affiliates which make up State Street Global Advisors, through which the
Adviser shares all of its senior personnel. The Board considered that the Adviser and its affiliates constitute one of the world’s largest investment management enterprises for indexed products generally and exchange-traded funds in
particular. The Board specifically considered the Adviser’s experience in managing fixed income exchange-traded funds with index-based investment objectives and overseeing third-party sub-advisers, as applicable.
Fees Charged to Comparable Funds
The Board evaluated the New ETF’s proposed unitary fee
through review of comparative information with respect to fees paid by similar funds. The Board reviewed the universe of exchange-traded funds similar to the New ETF based upon data independently obtained from Broadridge Financial Solutions, Inc.
and related comparative information.
Other
Benefits
The Board considered whether the Adviser or its
affiliates would benefit in other ways from its relationship with the New ETF. The Board also considered the potential for revenue to State Street, the Trust’s securities lending agent, in the event of any loaning of portfolio securities of
the New ETF. The Board also noted that the Adviser does not maintain soft-dollar arrangements in connection with the Trust’s brokerage transactions.
60
SSGA ACTIVE
TRUST
OTHER INFORMATION (continued)
June 30, 2021 (Unaudited)
Economies of Scale
The Board reviewed information regarding economies of scale or
other efficiencies that may result as the New ETF’s assets grow in size. The Board noted that the Agreement did not provide for breakpoints in the New ETF’s advisory fee rate as assets of the New ETF increase. However, the Board further
noted the Adviser’s assertion that future economies of scale (among several factors) had been taken into consideration for the New ETF by fixing a relatively low advisory fee, effectively sharing the benefits of a lower fee with the New ETF
from inception. The Adviser also asserted that one of the benefits of the unitary fee was to provide an unvarying expense structure, which could be lost or diluted with the addition of breakpoints. The Board noted that it intends to continue to
monitor fees as the New ETF grows in size and assess whether fee breakpoints may be warranted.
Conclusion
After weighing the foregoing factors, none of which was
dispositive in itself and may have been weighed differently by each Trustee, the Board, including the Independent Trustees voting separately, approved the Agreement for the New ETF. The Board’s conclusions with respect to the factors were as
follows: (a) the nature and extent of the services expected to be provided by the Adviser with respect to the New ETF were appropriate; (b) the Adviser’s unitary fee for the New ETF, considered in relation to services expected to be provided
and in relation to fees charged to comparable funds, was fair and reasonable; and (c) any additional potential benefits to the Adviser or its affiliates were not of a magnitude to materially affect the Board’s conclusions.
61
SSGA ACTIVE
TRUST
OTHER INFORMATION (continued)
June 30, 2021 (Unaudited)
Approval of Nuveen Asset Management Sub-Advisory Agreement
At a meeting held prior to June 30, 2021, the Board also
evaluated a proposal related to the initial approval of a sub-advisory arrangement (the “Nuveen Sub-Advisory Agreement”) between the Adviser and Nuveen Asset Management (“Nuveen”), with respect to the New ETF sub-advised by
Nuveen (the “New Nuveen ETF”). The Independent Trustees also met separately to consider the Nuveen Sub-Advisory Agreement. The Independent Trustees were advised by their independent legal counsel throughout the process.
To evaluate the Nuveen Sub-Advisory Agreement, the Board
requested, and Nuveen and the Adviser provided, such materials as the Board, with the advice of counsel, deemed reasonably necessary. In deciding whether to approve the Nuveen Sub-Advisory Agreement, the Board considered various factors, including
the nature, extent and quality of services provided by Nuveen with respect to the New Nuveen ETF under the Nuveen Sub-Advisory Agreement. The Board was informed of the portion of the current advisory fee that the Adviser would pay to Nuveen under
the Nuveen Sub-Advisory Agreement and also considered that such fees would be paid directly by the Adviser and would not result in increased fees payable by the New Nuveen ETF.
The Board considered the background and experience of
Nuveen’s senior management and, in particular, Nuveen’s experience in investing in municipal securities. The Board also considered the unitary fee paid to the Adviser by the New Nuveen ETF and Nuveen’s fees paid by the Adviser. The
Board also considered whether Nuveen benefited in other ways from its relationship with the Trust.
After weighing the foregoing factors, as well as the relevant
factors discussed in relation to the Nuveen Sub-Advisory Agreement between Nuveen and the Adviser, none of which was dispositive in itself and may have been weighed differently by each Trustee, the Board, including the independent Trustees voting
separately, approved the Nuveen Sub-Advisory Agreement for the New Nuveen ETF. In approving the Nuveen Sub-Advisory Agreement, the Board, including the Independent Trustees voting separately, found that, with respect to the New Nuveen ETF, the terms
of the Nuveen Sub-Advisory Agreement are fair and reasonable and in the best interests of the New Nuveen ETF and its shareholders. The Board’s conclusions with respect to the factors were as follows: (a) the nature, extent and quality of the
services provided by Nuveen with respect to the Nuveen ETFs were appropriate; (b) Nuveen’s fees for the New Nuveen ETF and the unitary fee, considered in relation to the services provided, were reasonable; (c) any additional potential benefits
to Nuveen were not of a magnitude to materially affect the Board’s conclusions; and (d) the fees paid to Nuveen adequately shared the economies of scale with the New Nuveen ETF by way of the relatively low fee structure of the Trust.
62
SSGA ACTIVE
TRUST
OTHER INFORMATION (continued)
June 30, 2021 (Unaudited)
TRUSTEES AND OFFICERS INFORMATION
| 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 | ||||||||||
| DWIGHT
D. CHURCHILL c/o SSGA Active Trust One Iron Street Boston, MA 02210 1953 |
Independent
Trustee, Audit Committee Chair |
Term:
Unlimited Served: since March 2011 |
Self-employed
consultant since 2010; CEO and President, CFA Institute (June 2014 - January 2015). |
126 | 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). |
126 | 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). |
126 | Rydex
Series Funds (Trustee); Rydex Dynamic Funds (Trustee); Rydex Variable Trust (Trustee); Guggenheim Funds Trust (Trustee); Guggenheim Variable Funds Trust (Trustee); Guggenheim Strategy Funds Trust (Trustee); Transparent Value Trust (Trustee); Fiduciary/Claymore Energy Infrastructure Fund (Trustee); Guggenheim Taxable Municipal Managed Duration Trust (Trustee); Guggenheim Strategic Opportunities Fund (Trustee); Guggenheim Enhanced, Equity Income Fund (Trustee); Guggenheim Credit Allocation Fund (Trustee); Guggenheim Energy & Income Fund (Trustee). | |||||
| CARL
G. VERBONCOEUR c/o SSGA Active Trust One Iron Street Boston, MA 02210 1952 |
Independent
Trustee, Trustee Committee Chair |
Term:
Unlimited Served: since March 2011 |
Self-employed
consultant since 2009. |
126 | The
Motley Fool Funds Trust (Trustee). |
63
SSGA ACTIVE
TRUST
OTHER INFORMATION (continued)
June 30, 2021 (Unaudited)
| 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 Manager, 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). |
137 | 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. | ||||||||||
64
SSGA ACTIVE
TRUST
OTHER INFORMATION (continued)
June 30, 2021 (Unaudited)
| 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); Unlimited Served: since February 2016 (with respect to Deputy Treasurer) |
Chief Operating Officer, SSGA Funds Management, Inc. (April 2005 - Present)*; Managing Director, State Street Global Advisors (April 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). | |||
| 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). | |||
| DAVID
BARR SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1974 |
Assistant
Secretary |
Term:
Unlimited Served: since November 2020 |
Vice President and Senior Counsel, State Street Global Advisors (October 2019 - present); Vice President and Counsel, Eaton Vance Corp. (2010 - 2019). | |||
| 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). |
65
SSGA ACTIVE
TRUST
OTHER INFORMATION (continued)
June 30, 2021 (Unaudited)
| 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 | |||
| ARTHUR
A. JENSEN SSGA Funds Management, Inc. 1600 Summer Street Stamford, CT 06905 1966 |
Deputy
Treasurer |
Term:
Unlimited Served: Since August 2017 |
Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (July 2016 - present); Mutual Funds Controller of GE Asset Management Incorporated (April 2011 - July 2016). | |||
| DAVID
LANCASTER SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1971 |
Assistant
Treasurer |
Term:
Unlimited Served: since November 2020 |
Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (July 2017 - present); Assistant Vice President, State Street Bank and Trust Company (November 2011 - July 2017). | |||
| 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. | ||||||
66
SSGA Active Trust
The information contained in this report is
intended for the general information of shareholders of the Trust. This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current Trust prospectus which contains important information concerning
the Trust. You may obtain a current prospectus and SAI from the Distributor by calling 1-866-787-2257 or visiting www.ssga.com. Please read the prospectus carefully before you invest.
SSGA Active Trust
The information contained in this report is
intended for the general information of shareholders of the Trust. This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current Trust prospectus which contains important information concerning
the Trust. You may obtain a current prospectus and SAI from the Distributor by calling 1-866-787-2257 or visiting www.ssga.com. Please read the prospectus carefully before you invest.
Annual Report
June 30, 2021
SSGA Active Trust
| SPDR SSGA Fixed Income Sector Rotation ETF |
| SPDR SSGA US Sector Rotation ETF |
The
information contained in this report is intended for the general information of shareholders of the Trust. This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current Trust prospectus which
contains important information concerning the Trust. You may obtain a current prospectus and SAI from the Distributor by calling 1-866-787-2257 or visiting www.ssga.com. Please read the prospectus carefully before you invest.
TABLE OF CONTENTS
|
|
1 |
| Management’s Discussion of Fund Performance, Performance Summaries & Portfolio Statistics (Unaudited) | |
|
|
2 |
|
|
5 |
| Schedules of Investments | |
|
|
8 |
|
|
10 |
|
|
12 |
|
|
15 |
|
|
17 |
|
|
28 |
|
|
30 |
The information contained in this report is intended
for the general information of shareholders of the Trust. This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current Trust prospectus which contains important information concerning the Trust.
You may obtain a current prospectus and SAI from the Distributor by calling 1-866-787-2257 or visiting www.ssga.com. Please read the prospectus carefully before you invest.
Notes to Performance
Summaries (Unaudited)
The performance chart of a
Fund’s total return at net asset value (“NAV”), the total return based on market price and its benchmark index is provided for comparative purposes only and represents the periods noted. A Fund’s per share NAV is the value of
one share of a Fund and is calculated by dividing the value of total assets less total liabilities by the number of shares outstanding. The NAV return is based on the NAV of a Fund and the market return is based on the market price per share of a
Fund. The market price used to calculate the market return is determined by using the midpoint between the highest bid and the lowest offer on the exchange on which the shares of a Fund are listed for trading, as of the time that a Fund’s NAV
is calculated. NAV and market returns assume that dividends and capital gain distributions have been reinvested in a Fund at NAV. Market returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage
commissions were included market returns would be lower.
An index is a statistical measure of a specified financial
market or sector. An index does not actually hold a portfolio of securities and therefore does not reflect deductions for fees or expenses. In comparison, a Fund’s performance is negatively impacted by these deductions. Index returns reflect
all items of income, gain and loss and the reinvestment of dividends and other income.
The Bloomberg Barclays U.S. Aggregate Bond Index (the
"Index") is designed to measure the performance of the U.S. dollar denominated investment grade bond market, which includes investment grade (must be Baa3/BBB- or higher using the middle rating of Moody's Investors Service, Inc., Standard &
Poor's Financial Services, LLC, and Fitch Inc.) government bonds, investment grade corporate bonds, mortgage pass through securities, commercial mortgage backed securities and other asset backed securities that are publicly for sale in the United
States.
The S&P 500® Index is composed of five hundred (500) selected stocks, all of which are listed on national stock exchanges and spans approximately 24 separate
industry groups.
See accompanying notes to financial statements.
1
SPDR SSGA Fixed Income
Sector Rotation
Management Discussion Of Fund Performance
(Unaudited)
The SPDR SSGA Fixed Income Sector
Rotation ETF (the “Fund”) seeks to provide total return by focusing on investments in income and yield-generating assets. The Fund’s benchmark is the Bloomberg Barclays U.S. Aggregate Bond Index (the “Index”).
For the 12-month period ended June 30, 2021 (the
“Reporting Period”), the total return for the Fund was 0.29%, and the Index was –0.33%. The Fund and Index returns reflect the reinvestment of
dividends and other income. The Fund’s performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index is unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a
negative impact on returns.
Asset allocation
positioning and active rotation across fixed income sectors were primary drivers of Fund performance during the Reporting Period relative to the Index. While the world continued to grapple with the pandemic associated with COVID-19, financial
markets delivered mostly strong performance as economies were supported by significant monetary and fiscal policy actions globally. And the rapid development of a vaccine enabled economic reopening, especially in developed markets. Many equity
markets delivered performance over the past year that exceeded 40% while a recovering economy, increased inflation expectations as well as concerns over monetary policy withdrawal led to losses for many fixed income investments. The Fund was able to
achieve positive absolute returns and outperform its benchmark largely due to investments made in credit sectors during the fourth quarter of 2020 as well as shifting to target a duration overweight during the second quarter of 2021. During the
fourth quarter of 2020 the Fund held an overweight in investment grade credit and that position appreciated as credit spreads collapsed following a relatively benign US election outcome and news that effective COVID vaccines had been developed. The
Fund also maintained an overweight duration position, largely implemented through long term corporate bonds, which contributed to favorable results during the second quarter of 2020. The position benefited the portfolio as interest rates stabilized
and then declined following an interest rate scare early in the year as well as numerous inflation prints which exhibited elevated readings as the US and global economies rolled over the 1-year anniversary mark from some of the economic depths of
the COVID crisis.
The Fund did not invest in derivatives
during the Reporting Period.
The views expressed
above reflect those of the Fund’s portfolio manager only through the Reporting Period, and do not necessarily represent the views of the Adviser as a whole. Any such views are subject to change at any time based upon market or other conditions
and the Adviser disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a fund are based on numerous factors, may not be relied on as an indication of trading
intent on behalf of any fund.
See accompanying notes to financial statements.
2
SPDR SSGA Fixed Income
Sector Rotation ETF
Performance Summary (Unaudited)
Performance as of June 30, 2021
| 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 | 0.29% | 0.31% | (0.33)% | 0.29% | 0.31% | (0.33)% | |
| SINCE INCEPTION(1) | 10.79% | 10.76% | 12.04% | 4.67% | 4.66% | 5.20% | |
| (1) | For the period April 2, 2019 to June 30, 2021. Since shares of the Fund did not trade in the secondary market until one day after the Fund’s inception, for the period from inception to the first day of secondary market trading in shares of the Fund (4/2/19, 4/3/19, respectively), the NAV of the Fund is used as a proxy for the secondary market trading price to calculate market returns. |
Comparison of Change in Value of a $10,000
Investment
(Based on Net Asset Value)
(Based on Net Asset Value)
Line graph is
based on cumulative total return.
The total expense ratio
for SPDR SSGA Fixed Income Sector Rotation ETF as stated in the Fees and Expenses table of the most recent prospectus is 0.50%. Please see the financial highlights for the total expense ratio for the fiscal period ended June 30, 2021.
Performance quoted represents past performance, which is no
guarantee of future results. Investment return and principal value will fluctuate, so you may have a gain or loss when shares are sold. Current performance may be higher or lower than that quoted. Visit www.ssga.com for most recent month-end
performance. The returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption or sale of Fund shares. See "Notes to Performance Summaries" on page 1 for more information.
See
accompanying notes to financial statements.
3
SPDR SSGA Fixed Income
Sector Rotation ETF
Portfolio Statistics (Unaudited)
Top Five Holdings as of June 30, 2021
| Description | % of Net Assets | ||
| SPDR Portfolio Mortgage Backed Bond ETF | 30.3% | ||
| SPDR Portfolio Long Term Corporate Bond ETF | 24.3 | ||
| SPDR Portfolio Intermediate Term Corporate Bond ETF | 22.5 | ||
| SPDR Portfolio Intermediate Term Treasury ETF | 11.4 | ||
| SPDR Portfolio Long Term Treasury ETF | 7.0 | ||
| TOTAL | 95.5% |
(The five largest holdings are subject to
change, and there are no guarantees the Fund will continue to remain invested in any particular company.)
Asset Allocation as of June 30, 2021
| % of Net Assets | |||
| Domestic Fixed Income | 99.9% | ||
| Short Term Investments | 29.8 | ||
| Liabilities in Excess of Other Assets | (29.7) | ||
| TOTAL | 100.0% |
(The Fund's asset allocation is expressed
as a percentage of net assets and may change over time.)
See accompanying notes to financial statements.
4
SPDR SSGA US Sector
Rotation ETF
Management Discussion Of Fund Performance
(Unaudited)
The SPDR SSGA US Sector Rotation ETF (the
“Fund”) seeks to provide capital appreciation. The Fund’s benchmark is the S&P 500® Index (the “Index”).
For the 12-month period ended June 30, 2021 (the
“Reporting Period”), the total return for the Fund was 36.48%, and the Index was 40.79%. The Fund and Index returns reflect the reinvestment of dividends and other income. The Fund’s performance reflects the expenses of managing
the Fund, including brokerage and advisory expenses. The Index is unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns.
Active allocation across U.S. sectors was the primary
driver of Fund performance during the Reporting Period relative to the Index. While the world continued to grapple with the pandemic associated with COVID-19, financial markets delivered mostly strong performance as economies were supported by
significant monetary and fiscal policy actions globally. And the rapid development of a vaccine enabled economic reopening, especially in developed markets. Many equity markets delivered performance over the past year that exceeded 40% while a
recovering economy, increased inflation expectations as well as concerns over monetary policy withdrawal led to losses for many fixed income investments. Over the Reporting Period all U.S. equity sectors delivered positive absolute returns as equity
markets recovered from the volatility brought on by the pandemic but there was still significant dispersion across sectors. While the Fund also delivered positive absolute returns, it trailed the Index primarily due to overweight or underweight
allocations across consumer staples and financials. Our modeling favored consumer staples during the second half of 2020 based on favorable quality and sentiment characteristics. However, the sector trailed the broader market during the recovery.
The financial sector contributed negatively because the Fund held an underweight allocation around the turn of 2020/2021 as economic growth accelerated, interest rates increased and the sector outperformed.
The Fund did not invest in derivatives during the Reporting
Period.
On an sector level, the top positive
contributors to the Fund’s performance on an absolute basis during the Reporting Period were the Technology Select Sector SPDR Fund, the Communication Services Select Sector SPDR Fund and the Consumer Discretionary Select Sector SPDR Fund.
None of the sector allocations held by the Fund had negative absolute returns over the Reporting Period.
The views expressed above reflect those of the Fund’s
portfolio manager only through the Reporting Period, and do not necessarily represent the views of the Adviser as a whole. Any such views are subject to change at any time based upon market or other conditions and the Adviser disclaims any
responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any fund.
See
accompanying notes to financial statements.
5
SPDR SSGA US Sector
Rotation ETF
Performance Summary (Unaudited)
Performance as of June 30, 2021
| 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 | 36.48% | 36.31% | 40.79% | 36.48% | 36.31% | 40.79% | |
| SINCE INCEPTION(1) | 51.82% | 51.84% | 56.06% | 20.45% | 20.46% | 21.94% | |
| (1) | For the period April 2, 2019 to June 30, 2021. Since shares of the Fund did not trade in the secondary market until one day after the Fund’s inception, for the period from inception to the first day of secondary market trading in shares of the Fund (4/2/19, 4/3/19, respectively), the NAV of the Fund is used as a proxy for the secondary market trading price to calculate market returns. |
Comparison of Change in Value of a $10,000
Investment
(Based on Net Asset Value)
(Based on Net Asset Value)
Line graph is
based on cumulative total return.
The total expense ratio
for SPDR SSGA US Sector Rotation ETF as stated in the Fees and Expenses table of the most recent prospectus is 0.70%. Please see the financial highlights for the total expense ratio for the fiscal period ended June 30, 2021.
Performance quoted represents past performance, which is no
guarantee of future results. Investment return and principal value will fluctuate, so you may have a gain or loss when shares are sold. Current performance may be higher or lower than that quoted. Visit www.ssga.com for most recent month-end
performance. The returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption or sale of Fund shares. See "Notes to Performance Summaries" on page 1 for more information.
See
accompanying notes to financial statements.
6
SPDR SSGA US Sector
Rotation ETF
Portfolio Statistics (Unaudited)
Top Five Holdings as of June 30, 2021
| Description | % of Net Assets | ||
| The Technology Select Sector SPDR Fund | 41.7% | ||
| The Materials Select Sector SPDR Fund | 16.6 | ||
| The Industrial Select Sector SPDR Fund | 16.1 | ||
| The Financial Select Sector SPDR Fund | 12.6 | ||
| The Communication Services Select Sector SPDR Fund | 7.0 | ||
| TOTAL | 94.0% |
(The five largest holdings are subject to
change, and there are no guarantees the Fund will continue to remain invested in any particular company.)
Asset Allocation as of June 30, 2021
| % of Net Assets | |||
| Domestic Equity | 99.8% | ||
| Short Term Investments | 28.6 | ||
| Liabilities in Excess of Other Assets | (28.4) | ||
| TOTAL | 100.0% |
(The Fund's asset allocation is expressed
as a percentage of net assets and may change over time.)
See accompanying notes to financial statements.
7
SPDR SSGA FIXED INCOME SECTOR
ROTATION ETF
SCHEDULE OF INVESTMENTS
June 30, 2021
| Security Description | Shares | Value | ||||
| MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS — 99.9% | ||||||
| DOMESTIC FIXED INCOME — 99.9% | ||||||
|
SPDR Bloomberg Barclays 1-3 Month T-Bill ETF
(a)(b) |
39,726 | $ 3,633,737 | ||||
|
SPDR Portfolio Intermediate Term Corporate Bond ETF
(a)(b) |
508,248 | 18,652,702 | ||||
|
SPDR Portfolio Intermediate Term Treasury ETF
(a) |
292,929 | 9,485,041 | ||||
|
SPDR Portfolio Long Term Corporate Bond ETF
(a)(b) |
634,102 | 20,151,762 | ||||
|
SPDR Portfolio Long Term Treasury ETF
(a) |
139,338 | 5,754,659 | ||||
|
SPDR Portfolio Mortgage Backed Bond ETF
(a)(b) |
973,311 | 25,169,822 | ||||
|
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS (Cost
$82,670,441) |
82,847,723 | |||||
| SHORT-TERM INVESTMENTS — 29.8% | ||||||
|
State Street Institutional U.S. Government Money Market Fund, Class G Shares 0.03%
(c)(d) |
136,849 | 136,849 | ||||
|
State Street Navigator Securities Lending Portfolio II
(e)(f) |
24,628,973 | 24,628,973 | ||||
|
TOTAL SHORT-TERM INVESTMENTS (Cost
$24,765,822) |
$ 24,765,822 | |||||
|
TOTAL INVESTMENTS—129.7% (Cost
$107,436,263) |
107,613,545 | |||||
|
LIABILITIES IN EXCESS OF OTHER
ASSETS—(29.7)% |
(24,639,701) | |||||
|
NET
ASSETS—100.0% |
$ 82,973,844 | |||||
| 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, 2021 are shown in the Affiliate Table below. |
| (b) | All or a portion of the shares of the security are on loan at June 30, 2021. |
| (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, 2021 are shown in the Affiliate Table below. |
| (d) | The rate shown is the annualized seven-day yield at June 30, 2021. |
| (e) | The Fund invested in an affiliated entity. Amounts related to these transactions during the period ended June 30, 2021 are shown in the Affiliate Table below. |
| (f) | Investment of cash collateral for securities loaned. |
See accompanying notes to financial statements.
8
SPDR SSGA FIXED INCOME SECTOR
ROTATION ETF
SCHEDULE OF INVESTMENTS (continued)
June 30,
2021
| 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 |
$ 82,847,723 | $— | $— | $ 82,847,723 | ||||
|
Short-Term
Investments |
24,765,822 | — | — | 24,765,822 | ||||
|
TOTAL
INVESTMENTS |
$107,613,545 | $— | $— | $107,613,545 |
Affiliate Table
| Number
of Shares Held at 6/30/20 |
Value
at 6/30/20 |
Cost
of Purchases |
Proceeds
from Shares Sold |
Realized
Gain (Loss) |
Change
in Unrealized Appreciation/ Depreciation |
Number
of Shares Held at 6/30/21 |
Value
at 6/30/21 |
Dividend
Income | |||||||||
|
SPDR Bloomberg Barclays 1-3 Month T-Bill
ETF |
— | $ — | $ 9,741,170 | $ 6,103,656 | $ (2,842) | $ (935) | 39,726 | $ 3,633,737 | $ — | ||||||||
|
SPDR Bloomberg Barclays High Yield Bond
ETF |
43,696 | 4,420,287 | 2,706,432 | 7,324,826 | 298,320 | (100,213) | — | — | 104,963 | ||||||||
|
SPDR Portfolio Intermediate Term Corporate Bond
ETF |
362,090 | 13,227,148 | 19,283,435 | 14,010,513 | 261,114 | (108,482) | 508,248 | 18,652,702 | 219,640 | ||||||||
|
SPDR Portfolio Intermediate Term Treasury
ETF |
239,904 | 7,969,611 | 12,226,097 | 10,462,221 | 138,940 | (387,386) | 292,929 | 9,485,041 | 35,705 | ||||||||
|
SPDR Portfolio Long Term Corporate Bond
ETF |
151,623 | 4,806,450 | 27,332,547 | 11,512,564 | (381,262) | (93,409) | 634,102 | 20,151,762 | 415,748 | ||||||||
|
SPDR Portfolio Long Term Treasury
ETF |
— | — | 10,332,144 | 4,596,683 | (159,847) | 179,045 | 139,338 | 5,754,659 | 10,398 | ||||||||
|
SPDR Portfolio Mortgage Backed Bond
ETF |
578,818 | 15,506,534 | 21,360,024 | 11,053,427 | (36,370) | (606,939) | 973,311 | 25,169,822 | 514,167 | ||||||||
|
State Street Institutional U.S. Government Money Market Fund, Class G
Shares |
1,091,555 | 1,091,555 | 1,738,586 | 2,693,292 | — | — | 136,849 | 136,849 | 377 | ||||||||
|
State Street Navigator Securities Lending Portfolio
II |
9,882,034 | 9,882,034 | 494,143,581 | 479,396,642 | — | — | 24,628,973 | 24,628,973 | 91,988 | ||||||||
|
Total |
$56,903,619 | $598,864,016 | $547,153,824 | $ 118,053 | $(1,118,319) | $107,613,545 | $1,392,986 |
See accompanying notes to financial statements.
9
SPDR SSGA US SECTOR ROTATION ETF
SCHEDULE OF INVESTMENTS
June 30, 2021
| Security Description | Shares | Value | ||||
| MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS — 99.8% | ||||||
| DOMESTIC EQUITY — 99.8% | ||||||
|
The Communication Services Select Sector SPDR Fund
(a)(b) |
150,287 | $ 12,168,738 | ||||
|
The Consumer Staples Select Sector SPDR Fund
(a) |
67,445 | 4,719,127 | ||||
|
The Energy Select Sector SPDR Fund
(a) |
100,084 | 5,391,525 | ||||
|
The Financial Select Sector SPDR Fund
(a) |
599,399 | 21,991,949 | ||||
|
The Industrial Select Sector SPDR Fund
(a)(b) |
274,818 | 28,141,363 | ||||
|
The Materials Select Sector SPDR Fund
(a)(b) |
351,629 | 28,942,583 | ||||
|
The Technology Select Sector SPDR Fund
(a) |
492,231 | 72,682,830 | ||||
|
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS (Cost
$162,854,192) |
174,038,115 | |||||
| SHORT-TERM INVESTMENTS — 28.6% | ||||||
|
State Street Institutional U.S. Government Money Market Fund, Class G Shares 0.03%
(c)(d) |
422,278 | 422,278 | ||||
|
State Street Navigator Securities Lending Portfolio II
(e)(f) |
49,478,804 | 49,478,804 | ||||
|
TOTAL SHORT-TERM INVESTMENTS (Cost
$49,901,082) |
$ 49,901,082 | |||||
|
TOTAL INVESTMENTS—128.4% (Cost
$212,755,274) |
223,939,197 | |||||
|
LIABILITIES IN EXCESS OF OTHER
ASSETS—(28.4)% |
(49,543,582) | |||||
|
NET
ASSETS—100.0% |
$ 174,395,615 | |||||
| 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, 2021 are shown in the Affiliate Table below. |
| (b) | All or a portion of the shares of the security are on loan at June 30, 2021. |
| (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, 2021 are shown in the Affiliate Table below. |
| (d) | The rate shown is the annualized seven-day yield at June 30, 2021. |
| (e) | The Fund invested in an affiliated entity. Amounts related to these transactions during the period ended June 30, 2021 are shown in the Affiliate Table below. |
| (f) | Investment of cash collateral for securities loaned. |
See
accompanying notes to financial statements.
10
SPDR SSGA US SECTOR ROTATION ETF
SCHEDULE OF
INVESTMENTS (continued)
June 30, 2021
| 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 |
$ 174,038,115 | $— | $— | $ 174,038,115 | ||||
|
Short-Term
Investments |
49,901,082 | — | — | 49,901,082 | ||||
|
TOTAL
INVESTMENTS |
$223,939,197 | $— | $— | $223,939,197 |
Affiliate Table
| Number
of Shares Held at 6/30/20 |
Value
at 6/30/20 |
Cost
of Purchases |
Proceeds
from Shares Sold |
Realized
Gain (Loss) |
Change
in Unrealized Appreciation/ Depreciation |
Number
of Shares Held at 6/30/21 |
Value
at 6/30/21 |
Dividend
Income | |||||||||
|
State Street Institutional U.S. Government Money Market Fund, Class G
Shares |
11,345 | $ 11,345 | $ 3,046,762 | $ 2,635,829 | $ — | $ — | 422,278 | $ 422,278 | $ 137 | ||||||||
|
State Street Navigator Securities Lending Portfolio
II |
4,445,869 | 4,445,869 | 785,734,715 | 740,701,780 | — | — | 49,478,804 | 49,478,804 | 25,211 | ||||||||
|
The Communication Services Select Sector SPDR Fund
|
164,031 | 8,864,235 | 67,203,985 | 68,723,881 | 3,706,001 | 1,118,398 | 150,287 | 12,168,738 | 109,364 | ||||||||
|
The Consumer Discretionary Select Sector SPDR
Fund |
— | — | 55,475,990 | 58,528,345 | 3,052,355 | — | — | — | 79,889 | ||||||||
|
The Consumer Staples Select Sector SPDR
Fund |
29,312 | 1,718,856 | 36,226,229 | 34,245,499 | 1,093,058 | (73,517) | 67,445 | 4,719,127 | 308,461 | ||||||||
|
The Energy Select Sector SPDR
Fund |
48,903 | 1,850,978 | 11,822,211 | 8,278,910 | 161,675 | (164,429) | 100,084 | 5,391,525 | 80,818 | ||||||||
|
The Financial Select Sector SPDR
Fund |
476,814 | 11,033,476 | 38,269,748 | 30,345,553 | 82,330 | 2,951,948 | 599,399 | 21,991,949 | 180,249 | ||||||||
|
The Health Care Select Sector SPDR
Fund |
174,726 | 17,484,831 | 21,873,013 | 40,229,961 | 1,660,385 | (788,268) | — | — | — | ||||||||
|
The Industrial Select Sector SPDR
Fund |
— | — | 48,539,135 | 22,979,724 | 2,679,806 | (97,854) | 274,818 | 28,141,363 | 130,621 | ||||||||
|
The Materials Select Sector SPDR
Fund |
— | — | 44,741,547 | 16,739,561 | 1,111,795 | (171,198) | 351,629 | 28,942,583 | 240,457 | ||||||||
|
The Technology Select Sector SPDR
Fund |
249,472 | 26,067,329 | 84,344,217 | 50,289,156 | 7,553,789 | 5,006,651 | 492,231 | 72,682,830 | 330,110 | ||||||||
|
The Utilities Select Sector SPDR
Fund |
28,492 | 1,607,804 | 39,080 | 1,670,440 | 17,223 | 6,333 | — | — | — | ||||||||
|
Total |
$73,084,723 | $1,197,316,632 | $1,075,368,639 | $21,118,417 | $7,788,064 | $223,939,197 | $1,485,317 |
See accompanying notes to financial statements.
11
SSGA ACTIVE TRUST
STATEMENTS OF ASSETS AND LIABILITIES
June 30, 2021
| SPDR SSGA Fixed Income Sector Rotation ETF | SPDR SSGA US Sector Rotation ETF | ||
| ASSETS | |||
|
Investments in affiliated issuers, at
value* |
$107,613,545 | $223,939,197 | |
|
Receivable for fund shares
sold |
54 | — | |
|
Dividends receivable — affiliated
issuers |
3 | 6 | |
|
Securities lending income receivable — unaffiliated
issuers |
384 | 411 | |
|
Securities lending income receivable — affiliated
issuers |
6,726 | 5,109 | |
|
Receivable from
Adviser |
10,409 | 17,727 | |
|
TOTAL ASSETS
|
107,631,121 | 223,962,450 | |
| LIABILITIES | |||
|
Payable upon return of securities
loaned |
24,628,973 | 49,478,804 | |
|
Payable for fund shares
repurchased |
— | 19 | |
|
Advisory fee
payable |
28,295 | 88,012 | |
|
Trustees’ fees and expenses
payable |
9 | — | |
|
TOTAL LIABILITIES
|
24,657,277 | 49,566,835 | |
|
NET ASSETS
|
$ 82,973,844 | $174,395,615 | |
| NET ASSETS CONSIST OF: | |||
|
Paid-in
Capital |
$ 83,406,646 | $158,155,243 | |
|
Total distributable earnings
(loss) |
(432,802) | 16,240,372 | |
|
NET ASSETS
|
$ 82,973,844 | $174,395,615 | |
| NET ASSET VALUE PER SHARE | |||
|
Net asset value per
share |
$ 31.31 | $ 44.38 | |
|
Shares outstanding (unlimited amount authorized, no par
value) |
2,650,000 | 3,930,000 | |
| COST OF INVESTMENTS: | |||
|
Investments in affiliated
issuers |
$107,436,263 | $212,755,274 | |
|
* Includes investments in securities on loan, at
value |
$ 26,667,803 | $ 60,264,358 |
See accompanying notes to financial statements.
12
SSGA ACTIVE TRUST
STATEMENTS OF OPERATIONS
For the Period Ended June 30, 2021
| SPDR SSGA Fixed Income Sector Rotation ETF | SPDR SSGA US Sector Rotation ETF | ||
| INVESTMENT INCOME | |||
|
Dividend income — affiliated
issuers |
$ 1,300,998 | $ 1,460,106 | |
|
Unaffiliated securities lending
income |
21,396 | 14,373 | |
|
Affiliated securities lending
income |
91,988 | 25,211 | |
|
TOTAL INVESTMENT INCOME
(LOSS) |
1,414,382 | 1,499,690 | |
| EXPENSES | |||
|
Advisory
fee |
232,271 | 548,060 | |
|
Trustees’ fees and
expenses |
1,012 | 1,427 | |
|
Miscellaneous
expenses |
113 | — | |
|
TOTAL
EXPENSES |
233,396 | 549,487 | |
|
NET INVESTMENT INCOME
(LOSS) |
$ 1,180,986 | $ 950,203 | |
| REALIZED AND UNREALIZED GAIN (LOSS) | |||
| Net realized gain (loss) on: | |||
|
Investments — affiliated
issuers |
(483,189) | 10,488,293 | |
|
In-kind redemptions — affiliated
issuers |
601,242 | 10,630,124 | |
|
Net realized gain
(loss) |
118,053 | 21,118,417 | |
| Net change in unrealized appreciation/depreciation on: | |||
|
Investments — affiliated
issuers |
(1,118,319) | 7,788,064 | |
|
NET REALIZED AND UNREALIZED GAIN
(LOSS) |
(1,000,266) | 28,906,481 | |
|
NET INCREASE (DECREASE) IN NET ASSETS FROM
OPERATIONS |
$ 180,720 | $29,856,684 |
See accompanying notes to financial statements.
13
SSGA ACTIVE TRUST
STATEMENTS OF CHANGES IN NET ASSETS
| SPDR SSGA Fixed Income Sector Rotation ETF | SPDR SSGA US Sector Rotation ETF | ||||||
| Year
Ended 6/30/21 |
Year
Ended 6/30/20 |
Year
Ended 6/30/21 |
Year
Ended 6/30/20 | ||||
| INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||||||
|
Net investment income
(loss) |
$ 1,180,986 | $ 668,251 | $ 950,203 | $ 664,440 | |||
|
Net realized gain
(loss) |
118,053 | (73,337) | 21,118,417 | (1,166,789) | |||
|
Net change in unrealized
appreciation/depreciation |
(1,118,319) | 985,859 | 7,788,064 | 3,040,370 | |||
|
Net increase (decrease) in net assets resulting from
operations |
180,720 | 1,580,773 | 29,856,684 | 2,538,021 | |||
|
Net equalization credits and
charges |
(305,734) | (143,677) | (102,983) | 34,502 | |||
|
Distributions to
shareholders |
(1,399,502) | (785,178) | (1,087,675) | (704,061) | |||
| FROM BENEFICIAL INTEREST TRANSACTIONS: | |||||||
|
Proceeds from shares
sold |
55,227,077 | 37,162,072 | 131,380,293 | 62,332,050 | |||
|
Cost of shares
redeemed |
(18,048,847) | (1,820,074) | (54,370,975) | (9,684,741) | |||
|
Net income
equalization |
305,734 | 143,677 | 102,983 | (34,502) | |||
|
Net increase (decrease) in net assets from beneficial interest
transactions |
37,483,964 | 35,485,675 | 77,112,301 | 52,612,807 | |||
|
Net increase (decrease) in net assets during the
period |
35,959,448 | 36,137,593 | 105,778,327 | 54,481,269 | |||
|
Net assets at beginning of
period |
47,014,396 | 10,876,803 | 68,617,288 | 14,136,019 | |||
|
NET ASSETS AT END OF
PERIOD |
$ 82,973,844 | $47,014,396 | $174,395,615 | $68,617,288 | |||
| SHARES OF BENEFICIAL INTEREST: | |||||||
|
Shares
sold |
1,750,000 | 1,180,000 | 3,220,000 | 1,940,000 | |||
|
Shares
redeemed |
(570,000) | (60,000) | (1,380,000) | (310,000) | |||
|
Net increase (decrease) from share
transactions |
1,180,000 | 1,120,000 | 1,840,000 | 1,630,000 | |||
See accompanying notes to financial statements.
14
SSGA ACTIVE TRUST
FINANCIAL HIGHLIGHTS
Selected data for a share outstanding throughout each period
| SPDR SSGA Fixed Income Sector Rotation ETF | |||||
| Year
Ended 6/30/21 |
Year
Ended 6/30/20 |
For
the Period 4/3/2019*- 6/30/19 | |||
|
Net asset value, beginning of
period |
$ 31.98 | $ 31.08 | $ 30.10 | ||
| Income (loss) from investment operations: | |||||
|
Net investment income (loss)
(a) |
0.63 | 0.81 | 0.15 | ||
|
Net realized and unrealized gain (loss)
(b) |
(0.37) | 1.31 | 0.99 | ||
|
Total from investment
operations |
0.26 | 2.12 | 1.14 | ||
|
Net equalization credits and charges
(a) |
(0.16) | (0.17) | 0.00(c) | ||
| Distributions to shareholders from: | |||||
|
Net investment
income |
(0.77) | (1.05) | (0.16) | ||
|
Net asset value, end of
period |
$ 31.31 | $ 31.98 | $ 31.08 | ||
|
Total return
(d) |
0.29% | 6.42% | 3.81% | ||
| Ratios and Supplemental Data: | |||||
|
Net assets, end of period (in
000s) |
$82,974 | $47,014 | $10,877 | ||
| Ratios to average net assets: | |||||
|
Total expenses
(e) |
0.39% | 0.31% | 0.31%(f) | ||
|
Net investment income
(loss) |
1.99% | 2.57% | 1.98%(f) | ||
|
Portfolio turnover rate
(g) |
79% | 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. |
See accompanying notes to financial statements.
15
SSGA ACTIVE TRUST
FINANCIAL
HIGHLIGHTS (continued)
Selected data for a share outstanding throughout each period
| SPDR SSGA US Sector Rotation ETF | |||||
| Year
Ended 6/30/21 |
Year
Ended 6/30/20 |
For
the Period 4/3/2019*- 6/30/19 | |||
|
Net asset value, beginning of
period |
$ 32.83 | $ 30.73 | $ 30.09 | ||
| Income (loss) from investment operations: | |||||
|
Net investment income (loss)
(a) |
0.36 | 0.57 | 0.23 | ||
|
Net realized and unrealized gain (loss)
(b) |
11.62 | 1.98 | 0.55 | ||
|
Total from investment
operations |
11.98 | 2.55 | 0.78 | ||
|
Net equalization credits and charges
(a) |
(0.04) | 0.03 | (0.03) | ||
| Distributions to shareholders from: | |||||
|
Net investment
income |
(0.39) | (0.48) | (0.11) | ||
|
Net asset value, end of
period |
$ 44.38 | $ 32.83 | $ 30.73 | ||
|
Total return
(c) |
36.48% | 8.52% | 2.50% | ||
| Ratios and Supplemental Data: | |||||
|
Net assets, end of period (in
000s) |
$174,396 | $68,617 | $14,136 | ||
| Ratios to average net assets: | |||||
|
Total expenses
(d) |
0.52% | 0.49% | 0.49%(e) | ||
|
Net investment income
(loss) |
0.89% | 1.79% | 3.12%(e) | ||
|
Portfolio turnover rate
(f) |
263% | 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. |
See accompanying notes to financial statements.
16
SSGA ACTIVE TRUST
NOTES TO FINANCIAL STATEMENTS
June 30, 2021
1. Organization
SSGA Active Trust (the “Trust”), a Massachusetts
business trust registered under the Investment Company Act of 1940, as amended (“1940 Act”), is an open-end management investment company.
As of June 30, 2021, the Trust consists of eleven (11) series,
each of which represents a separate series of beneficial interest in the Trust. The Declaration of Trust permits the Board of Trustees of the Trust (the “Board”) to authorize the issuance of an unlimited number of shares of beneficial
interest with no par value. The financial statements herein relate to the following series (each, a “Fund” and collectively, the “Funds”):
| SPDR SSGA Fixed Income Sector Rotation ETF |
| SPDR SSGA US Sector Rotation ETF |
Each
Fund is classified as a diversified investment company under the 1940 Act.
Under the Trust’s organizational documents, its officers
and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust. Additionally, in the normal course of business, the Trust enters into contracts with service providers that contain general
indemnification clauses. The Trust’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Trust that have not yet occurred.
2. Summary of Significant Accounting
Policies
The following is a summary of significant
accounting policies followed by the Trust in the preparation of its financial statements:
The preparation of financial statements in accordance with
U.S. generally accepted accounting principles (“U.S. GAAP”) requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those
estimates. Each Fund is an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies.
Security Valuation
Each Fund's investments are valued at fair value each day that
the New York Stock Exchange (“NYSE”) is open and, for financial reporting purposes, as of the report date should the reporting period end on a day that the NYSE is not
17
SSGA ACTIVE TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
June 30, 2021
open. Fair value is generally defined as the price a fund would receive to
sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. By its nature, a fair value price is a good faith estimate of the valuation in a current sale and may not reflect an actual
market price. The investments of each Fund are valued pursuant to the policy and procedures developed by the Oversight Committee (the “Committee”) and approved by the Board. The Committee provides oversight of the valuation of
investments for the Funds. The Board has responsibility for overseeing the determination of the fair value of investments.
Valuation techniques used to value each Fund’s
investments by major category are as follows:
•
Equity investments traded on a recognized securities exchange for which market quotations are readily available are valued at the last sale price or official closing price, as applicable, on the primary market or exchange on which they trade.
Equity investments traded on a recognized exchange for which there were no sales on that day are valued at the last published sale price or at fair value.
•
Investments in registered investment companies (including money market funds) or other unitized pooled investment vehicles that are not traded on an exchange are valued at that day’s published net asset value (“NAV”) per share
or unit.
In the event prices or quotations are not
readily available or that the application of these valuation methods results in a price for an investment that is deemed to be not representative of the fair value of such investment, fair value will be determined in good faith by the Committee, in
accordance with the valuation policy and procedures approved by the Board.
Fair value pricing could result in a difference between the
prices used to calculate a Fund's NAV and the prices used by the Funds' underlying benchmarks. Various inputs are used in determining the value of the Funds' investments.
The Funds value their assets and liabilities at fair value
using a fair value hierarchy consisting of three broad levels that prioritize the inputs to valuation techniques giving the highest priority to readily available unadjusted quoted prices in active markets for identical assets or liabilities (Level 1
measurements) and the lowest priority to unobservable inputs (Level 3 measurements) when market prices are not readily available or reliable. The categorization of a value
18
SSGA ACTIVE TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
June 30, 2021
determined for an investment within the hierarchy is based upon the pricing
transparency of the investment and is not necessarily an indication of the risk associated with investing in it.
The three levels of the fair value hierarchy are as
follows:
•
Level 1 – Unadjusted quoted prices in active markets for an identical asset or liability;
•
Level 2 – Inputs other than quoted prices included within Level 1 that are observable for the asset or liability either directly or indirectly, including quoted prices for similar assets or liabilities in active markets, quoted prices for
identical or similar assets or liabilities in markets that are not considered to be active, inputs other than quoted prices that are observable for the asset or liability (such as exchange rates, financing terms, interest rates, yield curves,
volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs; and
•
Level 3 – Unobservable inputs for the asset or liability, including the Committee’s assumptions used in determining the fair value of investments.
The value of each Fund’s investments, according to the
fair value hierarchy as of June 30, 2021, is disclosed in each Fund’s respective Schedule of Investments.
Investment Transactions and Income Recognition
Investment transactions are accounted for on trade date for
financial reporting purposes. Realized gains and losses from the sale or disposition of investments are determined using the identified cost method. Dividend income and capital gain distributions, if any, are recognized daily on the ex-dividend
date, net of any foreign taxes withheld at source, if any. Interest income is recorded daily on an accrual basis. All premiums and discounts are amortized/accreted for financial reporting purposes.
Expenses
Certain expenses, which are directly identifiable to a
specific Fund, are applied to that Fund within the Trust. Other expenses which cannot be attributed to a specific Fund are allocated in such a manner as deemed equitable, taking into consideration the nature and type of expense and the relative net
assets of the Funds within the Trust.
19
SSGA ACTIVE TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
June 30, 2021
Equalization
The Funds follow the accounting practice known as
“Equalization” by which a portion of the proceeds from sales and costs of reacquiring Fund shares, equivalent on a per share basis to the amount of distributable net investment income on the date of the transaction, is credited or
charged to undistributed net investment income. As a result, undistributed net investment income per share is unaffected by sales or reacquisition of Fund shares. Amounts related to Equalization can be found on the Statements of Changes in Net
Assets.
Distributions
Distributions from net investment income, if any, are declared
and paid monthly for SPDR SSGA Fixed Income Sector Rotation ETF and declared and paid quarterly for SPDR SSGA US Sector Rotation ETF.
Net realized capital gains, if any, are distributed annually.
Dividends may be declared and paid more frequently or at any other times to improve Index tracking or to comply with the distribution requirements of the Internal Revenue Code of 1986, as amended (“Internal Revenue Code”). The amount and
character of income and capital gains to be distributed are determined in accordance with applicable tax regulations which may differ from net investment income and realized gains recognized for U.S. GAAP purposes.
3. Fees and Transactions with
Affiliates
Advisory Fee
The Trust on behalf of each Fund has entered into an
Investment Advisory Agreement with SSGA FM. As compensation for services rendered, facilities furnished, and expenses borne by the Adviser, each Fund pays the Adviser a fee (“Management/Advisory fee”) accrued daily and paid monthly,
based on a percentage of each Fund’s average daily net assets as shown in the following table:
| Annual Rate | |
|
SPDR SSGA Fixed Income Sector Rotation
ETF |
0.50% |
|
SPDR SSGA US Sector Rotation
ETF |
0.70 |
Each Fund's Advisory fee is reduced
by any acquired fund fees and expenses attributable to each Fund's investments in other investment companies. For the period ended June 30, 2021, the net annualized advisory fee was 0.39%, and
20
SSGA ACTIVE TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
June 30, 2021
0.52%, for SPDR SSGA Fixed Income Sector Rotation ETF and SPDR SSGA US Sector
Rotation ETF respectively.
The Adviser pays all expenses
of each Fund other than the management fee, brokerage expenses, taxes, interest, fees and expenses of the Independent Trustees (including any Trustee’s counsel fees), litigation expenses and other extraordinary expenses.
Administrator, Custodian, Sub-Administrator and Transfer Agent
Fees
SSGA FM serves as administrator and State Street
Bank and Trust Company (“State Street”), an affiliate of the Adviser, serves as custodian, sub-administrator and transfer agent. State Street receives fees for its services as custodian, sub-administrator and transfer agent from the
Adviser.
Distributor
State Street Global Advisors Funds Distributors, LLC
(“SSGA FD” or the “Distributor”), an affiliate of the Adviser, serves as the distributor of the Trust.
Other Transactions with Affiliates
The Funds may invest in affiliated entities, including
securities issued by State Street Corporation, affiliated funds, or entities deemed to be affiliates as a result of the Funds owning more than five percent of the entity’s voting securities or outstanding shares. Amounts relating to these
transactions during the year ended June 30, 2021 are disclosed in the Schedules of Investments.
4. Trustees’ Fees
The fees and expenses of the Trust’s trustees, who are
not “interested persons” of the Trust, as defined in the 1940 Act (“Independent Trustees”), are paid directly by the Funds. The Independent Trustees are reimbursed for travel and other out-of-pocket expenses in connection
with meeting attendance and industry seminars.
21
SSGA ACTIVE TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
June 30, 2021
5. Investment Transactions
Purchases and sales of investments (excluding in-kind
transactions and short term investments) for the year ended June 30, 2021, were as follows:
| Purchases | Sales | ||
|
SPDR SSGA Fixed Income Sector Rotation
ETF |
$ 47,759,866 | $ 47,016,793 | |
|
SPDR SSGA US Sector Rotation
ETF |
281,257,845 | 281,588,516 |
For the year ended June 30, 2021,
the following Funds had in-kind contributions and net realized gains/losses in the amounts as follows:
| In-kind
Contributions |
In-kind
Redemptions |
In-kind
Net Realized Gains/(Losses) | |||
|
SPDR SSGA Fixed Income Sector Rotation
ETF |
$ 55,221,982 | $18,047,095 | $ 601,242 | ||
|
SPDR SSGA US Sector Rotation
ETF |
127,277,309 | 50,442,513 | 10,630,124 |
6. Shareholder
Transactions
Each Fund issues and redeems its shares, at
NAV, by each Fund only in aggregations of a specified number of shares or multiples thereof (“Creation Units”). Except when aggregated in Creation Units, shares of each Fund are not redeemable. Transactions in capital shares for each
Fund are disclosed in detail in the Statements of Changes in Net Assets.
The consideration for the purchase of Creation Units of a Fund
may consist of the in-kind deposit of a designated portfolio of securities and a specified amount of cash . Investors purchasing and redeeming Creation Units may pay a purchase transaction fee and a redemption transaction fee directly to the Trust
and/or custodian, to offset transfer and other transaction costs associated with the issuance and redemption of Creation Units, including Creation Units for cash. An additional variable fee may be charged for certain transactions. Such variable
charges, if any, are included in “Other Capital” on the Statements of Changes in Net Assets.
7. Income Tax Information
The Funds have qualified and intend to continue to qualify as
regulated investment companies under Subchapter M of the Internal Revenue Code. Each Fund will not be subject to federal income taxes to the extent it distributes
22
SSGA ACTIVE TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
June 30, 2021
its taxable income, including any net realized capital gains, for each fiscal
year. Therefore, no provision for federal income tax is required.
The Funds file federal and various state and local tax returns
as required. No income tax returns are currently under examination. Generally, the federal returns are subject to examination by the Internal Revenue Service for a period of three years from date of filing, while the state returns may remain open
for an additional year depending upon jurisdiction. SSGA FM has analyzed each Fund's tax positions and does not believe there are any uncertain tax positions that would require recognition of a tax liability.
Distributions to shareholders are recorded on ex-dividend
date. Income dividends and gain distributions are determined in accordance with income tax rules and regulations, which may differ from generally accepted accounting principles.
Certain capital accounts in the financial statements have been
adjusted for permanent book-tax differences. These adjustments have no impact on net asset values or results of operations. Temporary book-tax differences will reverse in the future. These book-tax differences are primarily due to differing
treatments for in-kind transactions, distributions in excess of current earnings and wash sale loss deferrals. In addition, certain funds claimed a portion of the payments made to redeeming shareholders as a distribution for income tax
purposes.
The tax character of distributions paid during
the year ended June 30, 2021, was as follows:
| Ordinary
Income |
Long-Term
Capital Gains |
Total | |||
|
SPDR SSGA Fixed Income Sector Rotation
ETF |
$1,399,502 | $— | $1,399,502 | ||
|
SPDR SSGA US Sector Rotation
ETF |
1,087,675 | — | 1,087,675 |
The tax character of distributions
paid during the year ended June 30, 2020, was as follows:
| 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 |
23
SSGA ACTIVE TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
June 30, 2021
At June 30, 2021, the components of distributable earnings on
a tax basis were as follows:
| 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 |
$ — | $— | $— | $ 137,022 | $(569,824) | $ (432,802) | |||||
|
SPDR SSGA US Sector Rotation
ETF |
5,107,960 | — | — | 11,132,412 | — | 16,240,372 |
As of June 30, 2021, gross
unrealized appreciation and gross unrealized depreciation of investments based on cost for federal income tax purposes were as follows:
| Tax
Cost |
Gross
Unrealized Appreciation |
Gross
Unrealized Depreciation |
Net
Unrealized Appreciation (Depreciation) | ||||
|
SPDR SSGA Fixed Income Sector Rotation
ETF |
$107,476,523 | $ 494,205 | $357,183 | $ 137,022 | |||
|
SPDR SSGA US Sector Rotation
ETF |
212,806,785 | 11,643,327 | 510,915 | 11,132,412 |
8. Securities
Lending
Each Fund may lend securities to qualified
broker-dealers or institutional investors. The loans are secured at all times by cash, cash equivalents or U.S. government securities in an amount at least equal to the market value of the securities loaned, plus accrued interest and dividends,
determined on a daily basis and adjusted accordingly. The value of the collateral with respect to a loaned security may be temporarily more or less than the value of a security due to market fluctuations of securities values. With respect to each
loan, if on any U.S. business day the aggregate market value of securities collateral plus cash collateral is less than the aggregate market value of the securities which are subject to the loan, the borrower will be notified to provide additional
collateral on the next business day.
The Funds will
regain record ownership of loaned securities to exercise certain beneficial rights; however, the Funds may bear the risk of delay in recovery of, or even loss of rights in the securities loaned should the borrower fail financially. In addition, a
Fund will bear the risk of loss of any cash collateral that it may invest. Each Fund receives compensation for lending its securities from interest or dividends earned on the cash, cash equivalents or U.S. government securities held as collateral,
net of fee rebates paid to the borrower and net of fees paid to State Street as the lending agent. Additionally, a Fund will receive a fee from the borrower for non-cash collateral equal to a percentage of the market value of the loaned
securities.
24
SSGA ACTIVE TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
June 30, 2021
The market value of securities on loan as of June 30, 2021,
and the value of the invested cash collateral are disclosed in the Funds' Statements of Assets and Liabilities. Non-cash collateral is not disclosed in the Funds Statements of Assets and Liabilities as it is held by the lending agent on behalf of
the Funds, and the Funds do not have the ability to re-hypothecate those securities. Securities lending income, as disclosed in the Funds Statements of Operations, represents the income earned from the non-cash collateral and the investment of cash
collateral, net of fee rebates paid to the borrower and net of fees paid to State Street as lending agent.
The following is a summary of each Fund’s securities
lending agreements and related cash and non-cash collateral received as of June 30, 2021:
| Fund | Market
Value of Securities on Loan |
Cash
Collateral Received |
Non-Cash
Collateral Received* |
Total
Collateral Received | ||||
|
SPDR SSGA Fixed Income Sector Rotation
ETF |
$ 26,667,803 | $ 24,628,973 | $ 2,650,278 | $ 27,279,251 | ||||
|
SPDR SSGA US Sector Rotation
ETF |
60,264,358 | 49,478,804 | 11,771,444 | 61,250,248 |
| * | The non-cash collateral includes U.S. Treasuries and U.S. Government Agency securities. |
The following table reflects a breakdown of transactions
accounted for as secured borrowings, the gross obligation by the type of collateral pledged or securities loaned, and the remaining contractual maturity of those transactions as of June 30, 2021:
| Remaining
Contractual Maturity of the Agreements as of June 30, 2021 | ||||||||||||||
| 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 | $24,628,973 | $— | $— | $— | $24,628,973 | $24,628,973 | |||||||
|
SPDR SSGA US Sector Rotation
ETF |
Mutual Funds and Exchange Traded Products | 49,478,804 | — | — | — | 49,478,804 | 49,478,804 | |||||||
25
SSGA ACTIVE TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
June 30, 2021
9. Risks
Concentration Risk
As a result of the Funds' ability to invest a large percentage
of their assets in obligations of issuers within the same country, state, region, currency or economic sector, an adverse economic, business or political development may affect the value of the Funds' investments more than if the Funds' were more
broadly diversified.
Foreign and Emerging Markets
Risk
Investing in foreign markets involves risks and
considerations not typically associated with investing in the U.S. Foreign securities may be subject to risk of loss because of government regulation, economic, political and social instability in the countries in which the Funds invest. Foreign
markets may be less liquid than investments in the U.S. and may be subject to the risks of currency fluctuations. To the extent that the Funds invest in securities of issuers located in emerging markets, these risks may be even more
pronounced.
Credit Risk
A Fund may also be exposed to credit risk in the event that an
issuer or guarantor fails to perform or that an institution or entity with which a Fund has unsettled or open transactions defaults.
Market Risk
Each Fund’s investments are subject to changes in
general economic conditions, general market fluctuations and the risks inherent in investment in securities markets. Investment markets can be volatile and prices of investments can change substantially due to various factors including, but not
limited to, economic growth or recession, changes in interest rates, changes in the actual or perceived creditworthiness of issuers, and general market liquidity. A Fund is subject to the risk that geopolitical events will disrupt securities markets
and adversely affect global economies and markets. Local, regional or global events such as war, acts of terrorism, the spread of infectious illness or other public health issues, or other events could have a significant impact on a Fund and its
investments.
An outbreak of a respiratory disease caused
by a novel coronavirus (known as COVID-19) first detected in China in December 2019 has resulted in a global pandemic and major disruptions to economies and markets around the world,
26
SSGA ACTIVE TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
June 30, 2021
including the United States. Financial markets experienced and may continue
to experience extreme volatility and severe losses, and trading in many instruments was and may continue to be disrupted as a result. Liquidity for many instruments was and may continue to be greatly reduced for periods of time. Some interest rates
are very low and in some cases yields are negative. Governments and central banks, including the Federal Reserve in the United States, have taken extraordinary and unprecedented actions to support local and global economies and the financial
markets. The impact of these measures, and whether they will be effective to mitigate the economic and market disruption, will not be known for some time. In addition, the outbreak of COVID-19, and measures taken to mitigate its effects, could
result in disruptions to the services provided to a Fund by its service providers.
10. Subsequent Events
Management has evaluated the impact of all subsequent events
on the Funds through the date the financial statements were issued and has determined that there were no subsequent events requiring adjustment or disclosure in the financial statements.
27
SSGA ACTIVE TRUST
REPORT OF INDEPENDENT REGISTERED PUBLIC
ACCOUNTING FIRM
To the Shareholders of SPDR SSGA Fixed Income Sector Rotation
ETF and SPDR SSGA US Sector Rotation ETF and the Board of Trustees of SSGA Active Trust
Opinion on the Financial Statements
We have audited the accompanying statements of assets and
liabilities of SPDR SSGA Fixed Income Sector Rotation ETF and SPDR SSGA US Sector Rotation ETF (collectively referred to as the “Funds”) (two of the funds constituting SSGA Active Trust (the “Trust”)), including the schedules
of investments, as of June 30, 2021, and the related statements of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, the financial highlights for each of the two years in
the period then ended and the period from April 3, 2019 (commencement of operations) through June 30, 2019, and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present
fairly, in all material respects, the financial position of each of the Funds (two of the funds constituting SSGA Active Trust) at June 30, 2021, the results of their operations for the year then ended, the changes in their net assets for each of
the two years in the period then ended, and their financial highlights for each of the two years in the period then ended and the period from April 3, 2019 (commencement of operations) through June 30, 2019, in conformity with U.S. generally
accepted accounting principles.
Basis for Opinion
These financial statements are the responsibility of the
Trust’s management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States)
(“PCAOB”) and are required to be independent with respect to the Trust in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of
the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Trust is not required to have, nor were
we engaged to perform, an audit of the Trust’s internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting, but not for the purpose
28
SSGA ACTIVE TRUST
REPORT OF INDEPENDENT REGISTERED PUBLIC
ACCOUNTING
FIRM (continued)
of expressing
an opinion on the effectiveness of the Trust’s internal control over financial reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risks
of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the
financial statements. Our procedures included confirmation of securities owned as of June 30, 2021, by correspondence with the custodian, brokers and others or by other appropriate auditing procedures where replies from brokers and others were not
received. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable
basis for our opinion.
We have served as
the auditor of one or more State Street Global Advisors investment companies since 2000.
Boston, Massachusetts
August 30, 2021
August 30, 2021
29
SSGA ACTIVE TRUST
OTHER INFORMATION
June 30, 2021 (Unaudited)
Expense Example
As a shareholder of a Fund, you incur two types of costs: (1)
transaction costs, including sales charges (loads), if applicable, on purchase payments, reinvested dividends, or other distributions and (2) ongoing costs, including advisory fees and other Fund expenses. This example is intended to help you
understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. It is based on an investment of $1,000 made at the beginning of the period shown and held for
the entire period from January 1, 2021 to June 30, 2021.
The table below illustrates your Fund's cost in two
ways:
Based on actual fund return ——This section helps you to estimate the actual expenses that you paid over the period. The “Ending Account Value” shown is derived from each Fund's actual return, and the third column shows the
dollar amount that would have been paid by an investor who started with $1,000 in the Fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your
account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for the Fund under the heading “Expenses Paid During Period”.
Based on hypothetical 5%
return ——This section is intended to help you compare your Fund's costs with those of other mutual funds. It assumes that the Fund had a yearly return of 5% before expenses, but that the expense ratio is
unchanged. In this case, because the return used is not the Fund's actual return, the results do not apply to your investment. The example is useful in making comparisons because the U.S. Securities and Exchange Commission (the “SEC”)
requires all mutual funds to calculate expenses based on a 5% return. You can assess your Fund's costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.
Please note that the expenses shown in the table are meant to
highlight your ongoing costs only and do not reflect any transaction costs, such as sales load charges (loads). Therefore, the hypothetical 5% return section of the table is useful in comparing ongoing costs only, and will not help you determine the
relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher.
30
SSGA ACTIVE TRUST
OTHER
INFORMATION (continued)
June 30, 2021 (Unaudited)
| SPDR SSGA Fixed Income Sector Rotation ETF | SPDR SSGA US Sector Rotation ETF | ||
|
Annualized Expense
Ratio |
0.38% | 0.52% | |
| Actual: | |||
|
Ending Account
Value |
$ 981.50 | $1,104.70 | |
|
Expenses Paid During
Period |
1.87 | 2.71 | |
| Hypothetical (assuming a 5% return before expenses): | |||
|
Ending Account
Value |
1,022.90 | 1,022.20 | |
|
Expenses Paid During
Period(a) |
1.91 | 2.61 |
| (a) | Expenses are equal to the Fund's annualized net expense ratio multiplied by the average account value of the period, multiplied by 181, then divided by 365. |
31
SSGA ACTIVE TRUST
OTHER
INFORMATION (continued)
June 30, 2021 (Unaudited)
Tax Information
For federal income tax purposes, the following information is
furnished with respect to the distributions of the Trust for its fiscal year ended June 30, 2021.
Dividends Received Deduction
Each Fund reports the maximum amount allowable of its net
taxable income as eligible for the corporate dividends received deduction.
Qualified Dividend Income
A portion of dividends distributed by the Funds during the
fiscal year ended June 30, 2021 are considered qualified dividend income and are eligible for reduced tax rates. These lower rates range from 5% to 20% depending on the individual’s tax bracket. Each Fund reports the maximum amount allowable
of its net taxable income as qualified dividend income as provided in the Jobs and Growth Tax Relief Reconciliation Act of 2003.
Qualified Interest Income
Each Fund reports the maximum amount allowable of its net
taxable income and short-term capital gain as qualified interest income.
Interest Dividends
Each Fund reports the maximum amount allowable as Section
163(j) Interest Dividends.
Capital Gain Dividend
The Funds hereby designate as a capital gain dividend the
amount reflected below, or if subsequently determined to be different, the net capital gain of such fiscal period.
| Amount | |
|
SPDR SSGA Fixed Income Sector Rotation
ETF |
$ 142 |
|
SPDR SSGA US Sector Rotation
ETF |
360,780 |
32
SSGA ACTIVE TRUST
OTHER
INFORMATION (continued)
June 30, 2021 (Unaudited)
Premium/Discount Information
Information regarding how often the Shares of each Fund traded
on the exchange at a price above (i.e., at a premium) or below (i.e., at a discount) the NAV of the Fund during the past calendar year can be found at www.ssga.com.
Proxy
Voting Policies and Procedures and Records
A description
of the Trust’s proxy voting policies and procedures that are used by the Funds’ investment adviser to vote proxies relating to the Funds’ portfolio of securities are available (i) without charge, upon request by calling
1-866-787-2257 (toll free) or (ii) on the SEC's website at www.sec.gov.
Information regarding how the investment adviser voted for the
12-month period ended June 30, is available by August 31 of each year by calling the same number, on the SEC’s website at www.sec.gov, and on the Funds’ website at
www.ssga.com.
Quarterly Portfolio Schedule
Following the Funds’ first and third fiscal
quarter-ends, a complete schedule of investments is filed with the SEC as an exhibit on Form N-PORT, which can be found on the SEC's website at www.sec.gov, and on the Funds' website at www.ssga.com. The Funds’ schedules of investments are available upon request, without charge, by calling 1-866-787-2257 (toll free).
33
SSGA ACTIVE TRUST
OTHER
INFORMATION (continued)
June 30, 2021 (Unaudited)
Approval of Advisory Agreement
At meetings held prior to June 30, 2021, the Board of Trustees
of the Trust (the “Board”) evaluated proposals to continue the Investment Advisory Agreement (the “Agreement”) between the Trust and SSGA Funds Management, Inc. (the “Adviser” or “SSGA FM”) with
respect to the SPDR SSGA US Sector Rotation ETF and the SPDR SSGA Fixed Income Sector Rotation ETF (the “Funds”). The Trustees who are not “interested persons” of the Trust within the meaning of the Investment Company Act of
1940, as amended (the “Independent Trustees”), also met separately to consider the Agreement. The Independent Trustees were advised by their independent legal counsel throughout the process.
To evaluate the Agreement, the Board requested, and SSGA FM,
the Trust’s investment adviser and administrator, and State Street Bank and Trust Company, the Trust’s sub-administrator, transfer agent and custodian (“State Street”) provided, such materials as the Board, with the advice of
counsel, deemed reasonably necessary. In deciding whether to approve the Agreement, the Board considered various factors, including the (i) nature, extent and quality of services provided by the Adviser with respect to the Funds under the Agreement,
(ii) fees charged to comparable funds, (iii) other benefits to the Adviser, and (iv) extent to which economies of scale would be shared as the Funds grow.
Nature, Extent and Quality of Services
The Board considered the nature, extent and quality of
services provided by the Adviser. In doing so, the Trustees relied on their prior experience in overseeing the management of the Trust and the materials provided prior to and at the meetings. The Board reviewed the Agreement and the Adviser’s
responsibilities for managing investment operations of each of the Funds in accordance with each Fund’s investment objectives and policies, and applicable legal and regulatory requirements. The Board appreciated the nature of the Funds as
exchange-traded funds and the experience and expertise of the Adviser in managing exchange-traded funds. The Board considered the background and experience of the Adviser’s senior management, including those individuals responsible for
portfolio management, oversight of sub-advisers and regulatory compliance of the Funds. The Board also considered the portfolio management resources, structures and practices of the Adviser, including those associated with monitoring and ensuring
each Fund’s compliance with its investment objectives and policies, and applicable laws and regulations. The Board further considered information about the Adviser’s best execution procedures and
34
SSGA ACTIVE TRUST
OTHER
INFORMATION (continued)
June 30, 2021 (Unaudited)
overall investment management business, noting that the Adviser serves a wide
range of clients across a broad spectrum of asset classes. The Board looked at the Adviser’s general knowledge of the investment management business and that of its affiliates which make up State Street Global Advisors, through which the
Adviser shares all of its senior personnel. The Board considered that the Adviser and its affiliates constitute one of the world’s largest investment management enterprises for exchange-traded funds. The Board specifically considered the
Adviser’s experience in managing actively-managed exchange-traded funds.
Investment Performance
The Board compared the investment performance of each series
of the Trust to the performance of an appropriate benchmark (gross of expenses) and to the performance of a group of comparable funds (net of expenses) (“Performance Group”) obtained from Broadridge Financial Solutions, Inc.
(“Broadridge”). Among other information, the Board considered the following performance information over various periods ended December 31, 2020 in its evaluation of the Funds:
SPDR SSGA US Sector Rotation ETF. The Board considered that the Fund outperformed the median of its Performance Group for the most recent 1-year period. In addition, the Board considered that the Fund outperformed its benchmark index for the 1-year and
since inception periods.
SPDR SSGA Fixed Income
Sector Rotation ETF. The Board considered that the Fund outperformed the median of its Performance Group for the most recent 1-year period. In addition, the Board considered that the Fund underperformed its benchmark
index for the 1-year and since inception periods.
Profits Realized by Adviser
The Board considered the profitability of the advisory
arrangement with the Funds to the Adviser and its affiliates, including data on the Funds’ historical profitability to these entities. The Board, including the Independent Trustees, with their independent legal counsel, had the opportunity to
discuss, with representatives of the Adviser and State Street, methodologies used in computing costs that formed the bases of profitability calculations.
35
SSGA ACTIVE TRUST
OTHER
INFORMATION (continued)
June 30, 2021 (Unaudited)
Fees Charged to Comparable Funds
The Board evaluated each Fund’s unitary fee through
review of comparative information with respect to fees paid by similar funds – i.e., exchange-traded funds that are actively managed. The Board reviewed the universe of similar exchange-traded funds for each Fund based upon data independently
obtained from Broadridge and related comparative information for similar exchange-traded funds. In doing so, the Board used a fund by fund analysis of the data. In certain instances as considered appropriate by the Board, the Board explored with
management the reasons for the differences between a Fund’s fee and fees paid by similar funds.
Other Benefits
The Board also considered whether the Adviser or its
affiliates benefited in other ways from its relationship with the Trust, noting that the Adviser does not maintain soft-dollar arrangements in connection with the Trust’s brokerage transactions.
Economies of Scale
The Board reviewed information regarding economies of scale or
other efficiencies that may result as each Fund’s assets grow in size. The Board noted that the advisory fee rate for each Fund does not provide for breakpoints as assets of the Fund increase. However, the Board further noted the
Adviser’s assertion that future economies of scale (among several factors) had been taken into consideration for the Funds by fixing relatively low advisory fees, effectively sharing the benefits of lower fees with the Funds from inception.
The Adviser also asserted that one of the benefits of the unitary fee was to provide an unvarying expense structure, which could be lost or diluted with the addition of breakpoints. The Board noted that it intends to continue to monitor fees as the
Funds grow in size and assess whether fee breakpoints may be warranted.
Conclusion
After weighing the foregoing factors, none of which was
dispositive in itself and may have been weighed differently by each Trustee, the Board, including the Independent Trustees voting separately, approved the continuation of the Agreement for each Fund. The Board’s conclusions with respect to the
factors were as follows: (a) the nature, extent and quality of the services provided by the Adviser with respect to the Funds were appropriate; (b) the performance of the Funds had been satisfactory; (c) the Adviser’s unitary fee for each Fund
considered in relation to the services provided, and in relation to the fees
36
SSGA ACTIVE TRUST
OTHER
INFORMATION (continued)
June 30, 2021 (Unaudited)
charged to comparable funds, was reasonable; (d) the profitability of the
Trust’s relationships with the Adviser and its affiliates was not excessive in view of the nature, extent and quality of the services provided; (e) any additional potential benefits to the Adviser or its affiliates were not of a magnitude to
materially affect the Board’s conclusions; and (f) the fees paid to the Adviser adequately shared the economies of scale with respect to the Funds by way of the relatively low fee structure of the Trust.
37
SSGA ACTIVE TRUST
OTHER
INFORMATION (continued)
June 30, 2021 (Unaudited)
TRUSTEES AND OFFICERS INFORMATION
| 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 | ||||||||||
| DWIGHT
D. CHURCHILL c/o SSGA Active Trust One Iron Street Boston, MA 02210 1953 |
Independent
Trustee, Audit Committee Chair |
Term:
Unlimited Served: since March 2011 |
Self-employed
consultant since 2010; CEO and President, CFA Institute (June 2014 - January 2015). |
126 | 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). |
126 | 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). |
38
SSGA ACTIVE TRUST
OTHER
INFORMATION (continued)
June 30, 2021 (Unaudited)
| 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). |
126 | Rydex
Series Funds (Trustee); Rydex Dynamic Funds (Trustee); Rydex Variable Trust (Trustee); Guggenheim Funds Trust (Trustee); Guggenheim Variable Funds Trust (Trustee); Guggenheim Strategy Funds Trust (Trustee); Transparent Value Trust (Trustee); Fiduciary/Claymore Energy Infrastructure Fund (Trustee); Guggenheim Taxable Municipal Managed Duration Trust (Trustee); Guggenheim Strategic Opportunities Fund (Trustee); Guggenheim Enhanced, Equity Income Fund (Trustee); Guggenheim Credit Allocation Fund (Trustee); Guggenheim Energy & Income Fund (Trustee). | |||||
| CARL
G. VERBONCOEUR c/o SSGA Active Trust One Iron Street Boston, MA 02210 1952 |
Independent
Trustee, Trustee Committee Chair |
Term:
Unlimited Served: since March 2011 |
Self-employed
consultant since 2009. |
126 | The
Motley Fool Funds Trust (Trustee). |
39
SSGA ACTIVE TRUST
OTHER
INFORMATION (continued)
June 30, 2021 (Unaudited)
| 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 Manager, 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). |
137 | 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. | ||||||||||
40
SSGA ACTIVE TRUST
OTHER
INFORMATION (continued)
June 30, 2021 (Unaudited)
| 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); Unlimited Served: since February 2016 (with respect to Deputy Treasurer) |
Chief Operating Officer, SSGA Funds Management, Inc. (April 2005 - Present)*; Managing Director, State Street Global Advisors (April 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). | |||
| 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). |
41
SSGA ACTIVE TRUST
OTHER
INFORMATION (continued)
June 30, 2021 (Unaudited)
| 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 | |||
| DAVID
BARR SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1974 |
Assistant
Secretary |
Term:
Unlimited Served: since November 2020 |
Vice President and Senior Counsel, State Street Global Advisors (October 2019 - present); Vice President and Counsel, Eaton Vance Corp. (2010 - 2019). | |||
| 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, State Street Global Advisors and SSGA Funds Management, Inc. (July 2016 - present); Mutual Funds Controller of GE Asset Management Incorporated (April 2011 - July 2016). | |||
| DAVID
LANCASTER SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1971 |
Assistant
Treasurer |
Term:
Unlimited Served: since November 2020 |
Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (July 2017 - present); Assistant Vice President, State Street Bank and Trust Company (November 2011 - July 2017). | |||
| 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. | ||||||
42
SSGA Active
Trust
The information contained in this report is
intended for the general information of shareholders of the Trust. This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current Trust prospectus which contains important information concerning
the Trust. You may obtain a current prospectus and SAI from the Distributor by calling 1-866-787-2257 or visiting www.ssga.com. Please read the prospectus carefully before you invest.
SSGA Active
Trust
The information contained in this report is intended
for the general information of shareholders of the Trust. This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current Trust prospectus which contains important information concerning the Trust.
You may obtain a current prospectus and SAI from the Distributor by calling 1-866-787-2257 or visiting www.ssga.com. Please read the prospectus carefully before you invest.
Annual Report
June 30, 2021
SSGA Active Trust
| SPDR DoubleLine Emerging Markets Fixed Income ETF |
| SPDR DoubleLine Short Duration Total Return Tactical ETF |
| SPDR DoubleLine Total Return Tactical ETF |
The information contained in this report is intended for the
general information of shareholders of the Trust. This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current Trust prospectus which contains important information concerning the Trust. You may
obtain a current prospectus and SAI from the Distributor by calling 1-866-787-2257 or visiting www.ssga.com. Please read the prospectus carefully before you invest.
TABLE OF CONTENTS
|
|
1 |
| Management's Discussion of Fund Performance, Performance Summaries and Portfolio Statistics (Unaudited) | |
|
|
2 |
|
|
5 |
|
|
8 |
| Schedules of Investments | |
|
|
12 |
|
|
22 |
|
|
50 |
|
|
123 |
|
|
130 |
|
|
133 |
|
|
147 |
|
|
149 |
The information contained in this report is intended
for the general information of shareholders of the Trust. This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current Trust prospectus which contains important information concerning the Trust.
You may obtain a current prospectus and SAI from the Distributor by calling 1-866-787-2257 or visiting www.ssga.com. Please read the prospectus carefully before you invest.
Notes to Performance
Summaries (Unaudited)
The performance chart of a
Fund’s total return at net asset value (“NAV”), the total return based on market price and its benchmark index is provided for comparative purposes only and represents the periods noted. A Fund’s per share NAV is the value of
one share of a Fund and is calculated by dividing the value of total assets less total liabilities by the number of shares outstanding. The NAV return is based on the NAV of a Fund and the market return is based on the market price per share of a
Fund. The market price used to calculate the market return is determined by using the midpoint between the highest bid and the lowest offer on the exchange on which the shares of a Fund are listed for trading, as of the time that a Fund’s NAV
is calculated. NAV and market returns assume that dividends and capital gain distributions have been reinvested in a Fund at NAV. Market returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage
commissions were included market returns would be lower.
An index is a statistical measure of a specified financial
market or sector. An index does not actually hold a portfolio of securities and therefore does not reflect deductions for fees or expenses. In comparison, a Fund’s performance is negatively impacted by these deductions. Index returns reflect
all items of income, gain and loss and the reinvestment of dividends and other income.
The JP Morgan Corporate Emerging Markets Bond Index Broad
Diversified is a market capitalization weighted index consisting of U.S. dollar denominated emerging market corporate bonds.
The Bloomberg Barclays U.S. Aggregate 1-3 Year Index
provides a measure of the performance of the U.S. dollar denominated investment grade bond market that have a remaining maturity of greater than or equal to 1 year and less than 3 years.
The Bloomberg Barclays U.S. Aggregate Index is designed to
measure the performance of the U.S. dollar denominated investment grade bond market, which includes investment grade government bonds, investment grade corporate bonds, mortgage pass through securities, commercial mortgage backed securities and
other asset backed securities that are publicly for sale in the United States. The Index is market capitalization weighted and the securities in the Index are updated on the last business day of each month.
See accompanying
notes to financial statements.
1
SPDR DoubleLine Emerging
Markets Fixed Income ETF
Management Discussion Of Fund
Performance (Unaudited)
The SPDR DoubleLine Emerging
Markets Fixed Income ETF (the “Fund”) seeks to provide high total return from current income and capital appreciation. The Fund’s benchmark is the JP Morgan Corporate Emerging Market Bond Index Broad Diversified (the
“Index”).
For the 12-month period ended
June 30, 2021 (the “Reporting Period”), the total return for the Fund was 7.09%, and the Index was 8.67%. The Fund and Index returns reflect the reinvestment of dividends and other income. The Fund’s performance reflects the
expenses of managing the Fund, including brokerage and advisory expenses. The Index is unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns.
Lower allocation to high yield credits, and higher
allocation to sovereign credits were the primary drivers of Fund underperformance during the Reporting Period relative to the Index. Over the 12-month period, high yield credits significantly outperformed their investment grade counterparts, while
corporate credits outperformed their sovereign counterparts.
Notes:
| • | Emerging market sovereign and corporate external bonds posted positive performance in the 12-month period ended June 30, 2021 against a backdrop of a nascent global economic recovery supported by significant fiscal and monetary policy responses by governments and central banks in developed and emerging markets to the severe shock to global growth and commodity prices induced by the COVID-19 pandemic outbreak. |
| • | The JPMorgan CEMBI Broad Diversified Index’s positive return in the 12-month period was driven by significant spread performance, with the spread over U.S Treasuries narrowing by 143 bps to 296 bps, and offsetting the impact of higher Treasury yields. |
| • | All regions across the corporate index posted positive returns. Africa was the best performing region, while Asia had the least positive return. |
| • | The U.S. Treasury curve steepened over the 12-month period. 2 year UST yields rose 10 bps over the 12-month period to end at 0.25%, while 10 year U.S. Treasury yields rose 81 bps over the 12-month period to end at 1.47%. |
The Fund did not invest in derivatives during the Reporting
Period.
The views expressed above reflect those of
the Fund’s portfolio manager only through the Reporting Period, and do not necessarily represent the views of the Adviser as a whole. Any such views are subject to change at any time based upon market or other conditions and the Adviser
disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of
any fund.
See accompanying notes to financial statements.
2
SPDR DoubleLine Emerging
Markets Fixed Income ETF
Performance Summary (Unaudited)
Performance as of June 30, 2021
| 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 | 7.09% | 7.06% | 8.67% | 7.09% | 7.06% | 8.67% | |
| FIVE YEARS | 25.94% | 27.07% | 32.52% | 4.72% | 4.91% | 5.79% | |
| SINCE INCEPTION(1) | 30.41% | 30.46% | 36.48% | 5.22% | 5.23% | 6.15% | |
| (1) | For the period April 13, 2016 to June 30, 2021. |
Comparison of Change in Value of a $10,000
Investment
(Based on Net Asset Value)
(Based on Net Asset Value)
Line graph is
based on cumulative total return.
The total expense
ratio for SPDR Doubleline Emerging Markets Fixed Income ETF as stated in the Fees and Expenses table of the most recent prospectus is 0.65%. Please see the financial highlights for the total expense for the fiscal period ended June 30, 2021.
Performance quoted represents past performance, which is no
guarantee of future results. Investment return and principal value will fluctuate, so you may have a gain or loss when shares are sold. Current performance may be higher or lower than that quoted. Visit www.ssga.com for most recent month-end
performance. The returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption or sale of Fund shares. See "Notes to Performance Summaries" on page 1 for more information.
See accompanying
notes to financial statements.
3
SPDR DoubleLine Emerging
Markets Fixed Income ETF
Portfolio Statistics (Unaudited)
Top Five Holdings as of June 30, 2021
| Description | % of Net Assets | ||
| Panama
Government International Bond 3.87% 7/23/2060 |
2.2% | ||
| Chile
Electricity PEC SpA Zero Coupon, 1/25/2028 |
1.9 | ||
| Saudi
Government International Bond 3.45% 2/2/2061 |
1.9 | ||
| Galaxy
Pipeline Assets Bidco, Ltd. 2.16% 3/31/2034 |
1.8 | ||
| Minejesa
Capital B.V. 5.63% 8/10/2037 |
1.8 | ||
| TOTAL | 9.6% |
(The five largest holdings are subject to
change, and there are no guarantees the Fund will continue to remain invested in any particular company.)
Portfolio Composition as of June 30,
2021
| % of Net Assets | |||
| Corporate Bonds & Notes | 66.4% | ||
| Foreign Government Obligations | 31.5 | ||
| Short-Term Investment | 2.1 | ||
| Liabilities in Excess of Other Assets | (0.0) * | ||
| TOTAL | 100.0% |
| * | Amount shown represents less than 0.05% of net assets. |
(The Fund's portfolio composition is
expressed as a percentage of net assets and may change over time.)
See accompanying notes to financial statements.
4
SPDR DoubleLine Short
Duration Total Return Tactical ETF
Management Discussion Of Fund
Performance (Unaudited)
The SPDR DoubleLine Short
Duration Total Return Tactical ETF (the “Fund”) seeks to maximize current income with a dollar-weighted average effective duration between one and three years. The Fund’s benchmark is the Bloomberg Barclays U.S. Aggregate 1-3 Year
Index (the “Index”).
For the 12-month
period ended June 30, 2021 (the “Reporting Period”), the total return for the Fund was 1.70%, and the Index was 0.36%. The Fund and Index returns reflect the reinvestment of dividends and other income. The Fund’s performance
reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index is unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns.
The primary driver of outperformance was asset allocation
as the portfolio maintained a higher credit allocation versus the benchmark. This contributed positively to performance as credit spreads tightened while the fundamental view on credit risk improved over the course of the reporting period. In terms
of asset allocation, nearly half of the Fund was comprised of U.S. Treasuries and Agency MBS compared to almost eighty percent of the index. Duration return as a factor of performance was negligible as the duration positioning of the Fund was
similar to the duration positioning of the benchmark.
Every sector of the Fund delivered positive total returns
with high yield corporate bonds being the best-performing sector. Performance from corporate credit sectors such as high yield and investment grade corporate bonds can be attributed to strength in the underlying view of fundamental corporate credit
risk since the COVID related tumult. Emerging market bonds enjoyed positive returns as commodities rallied while countries loosened restrictions and supply shortages began to form. Structured fixed income sectors such as commercial MBS and
asset-backed securities contributed positively to performance as the approval of a COVID-19 vaccine seemed essential for the sectors’ rebound. In addition, delinquency rates on acutely affected commercial properties, such as hotels, began to
taper, while consumer balance sheet’s improved notably driven by the stimulus payments received from the U.S. Department of Treasury. Non-Agency RMBS benefitted from improved delinquency rates along with robust housing market data.
Collateralized loan obligations delivered positive returns as credit outlook improved and investors piled into floating rate assets during the first quarter of 2021. Agency MBS benefitted from notable demand from banks driving spreads tighter while
U.S. Treasuries had menial positive returns as short term U.S. Treasury rates were muted.
The Fund did not invest in derivatives during the reporting
period.
The top three positive contributing sectors
to the performance of the Fund were high yield corporate bonds, Commercial MBS, and investment grade corporate bonds. While no sector delivered negative total returns, the U.S. Treasury allocation lagged other sectors on a contribution basis,
followed by Collateralized loan obligations and asset-backed securities.
The views expressed above reflect those of the Fund’s
portfolio manager only through the Reporting Period, and do not necessarily represent the views of the Adviser as a whole. Any such views are subject to change at any time based upon market or other conditions and the Adviser disclaims any
responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any fund.
See
accompanying notes to financial statements.
5
SPDR DoubleLine Short
Duration Total Return Tactical ETF
Performance Summary
(Unaudited)
Performance as of June 30,
2021
| 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 | 1.70% | 1.79% | 0.36% | 1.70% | 1.79% | 0.36% | |
| FIVE YEARS | 10.23% | 10.07% | 9.50% | 1.97% | 1.94% | 1.83% | |
| SINCE INCEPTION(1) | 11.38% | 11.52% | 10.19% | 2.09% | 2.11% | 1.88% | |
| (1) | For the period April 13, 2016 to June 30, 2021. |
Comparison of Change in Value of a $10,000
Investment
(Based on Net Asset Value)
(Based on Net Asset Value)
Line graph is
based on cumulative total return.
The total expense
ratio for SPDR Doubleline Short Duration Total Return Tactical ETF as stated in the Fees and Expenses table of the most recent prospectus is 0.45%. Please see the financial highlights for the total expense for the fiscal period ended June 30,
2021.
Performance quoted represents past performance,
which is no guarantee of future results. Investment return and principal value will fluctuate, so you may have a gain or loss when shares are sold. Current performance may be higher or lower than that quoted. Visit www.ssga.com for most recent
month-end performance. The returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption or sale of Fund shares. See "Notes to Performance Summaries" on page 1 for more information.
See accompanying notes to financial statements.
6
SPDR DoubleLine Short
Duration Total Return Tactical ETF
Portfolio Statistics
(Unaudited)
Top Five Holdings as of
June 30, 2021
| Description | % of Net Assets | ||
| U.S.
Treasury Note 2.75% 9/15/2021 |
5.7% | ||
| Federal
Home Loan Mortgage Corp. 1.50% 3/1/2036 |
4.9 | ||
| U.S.
Treasury Bill 0.07% 3/24/2022 |
3.7 | ||
| U.S.
Treasury Note 1.63% 4/30/2023 |
3.4 | ||
| U.S.
Treasury Bill 0.07% 8/5/2021 |
3.4 | ||
| TOTAL | 21.1% |
(The five largest holdings are subject to
change, and there are no guarantees the Fund will continue to remain invested in any particular company.)
Portfolio Composition as of June 30,
2021
| % of Net Assets | |||
| Corporate Bonds & Notes | 27.1% | ||
| U.S. Government Agency Obligations | 25.4 | ||
| U.S. Treasury Obligations | 21.0 | ||
| Asset-Backed Securities | 11.2 | ||
| Mortgage-Backed Securities | 6.4 | ||
| Foreign Government Obligations | 1.6 | ||
| Commercial Mortgage Backed Securities | 1.2 | ||
| Short-Term Investment | 9.1 | ||
| Liabilities in Excess of Other Assets | (3.0) | ||
| TOTAL | 100.0% |
(The Fund's portfolio composition is
expressed as a percentage of net assets and may change over time.)
See accompanying notes to financial statements.
7
SPDR DoubleLine Total
Return Tactical ETF
Management Discussion Of Fund Performance
(Unaudited)
The SPDR DoubleLine Total Return Tactical
ETF (the “Fund”) seeks to maximize current income with a dollar-weighted average effective duration between one and three years. The Fund’s benchmark is the Bloomberg Barclays U.S. Aggregate Bond Index (the
“Index”).
For the 12-month period ended
June 30, 2021 (the “Reporting Period”), the total return for the Fund as measured by NAV was 0.81%, and the Index was –0.33%. The Fund and Index
returns reflect the reinvestment of dividends and other income. The Fund’s performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index is unmanaged and Index returns do not reflect fees and
expenses of any kind, which would have a negative impact on returns.
The primary drivers of outperformance were asset allocation
and duration positioning. In terms of asset allocation, the Fund maintained roughly thirty-seven percent weighting to credit risk sectors compared to approximately thirty percent in the benchmark. This contributed positively to outperformance as the
credit allocation of the Fund maintained a shorter duration than the benchmark, benefitting the Fund when asset prices rallied while long term U.S. Treasury yields rose. In terms of duration positioning, the Fund consistently maintained a shorter
duration position than the benchmark, which bolstered relative performance as the U.S. Treasury curve steepened.
High yield corporate credit was the best performing sector
within the Fund as the fundamental view on credit risk improved, leading to tighter credit spreads. Emerging market debt enjoyed positive returns as commodities rallied while countries loosened restrictions and supply shortages began to form.
Commercial MBS experienced strong returns as industries acutely impacted by COVID-19 restrictions, such as retail and hospitality, began to return to a more normalized rate of demand. Asset backed securities benefitted from returning demand in air
travel, transportation networks, and households prioritizing debt repayments. Non-Agency RMBS also generated strong returns as both delinquency and forbearance rates improved, driven by a robust housing market and positive investor sentiment.
Additionally, collateralized loan obligations delivered positive returns as the outlook for credit improved and investors piled into floating rate assets during the first quarter of 2021. The two sectors that detracted from the overall performance
of the Fund were Agency MBS and U.S. Treasuries as rates sold-off. The sectors’ longer duration profiles, coupled with extension concerns on mortgages, negatively impacted performance.
The Fund did not invest in derivates during the Reporting
Period.
On a sector level, the top positive
contributors to the Fund’s performance on an absolute basis during the Reporting Period were high yield corporate credit, Emerging Market debt, and Commercial MBS. The top negative contributors to the Fund’s performance on an absolute
basis during the Reporting Period were Agency RMBS and U.S. Treasuries. The sector that contributed least to positive performance were collateralized loan obligations.
The views expressed above reflect those of the Fund’s
portfolio manager only through the Reporting Period, and do not necessarily represent the views of the Adviser as a whole. Any such views are subject to change at any time based upon market or other conditions and the Adviser disclaims any
responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any fund.
See
accompanying notes to financial statements.
8
SPDR DoubleLine Total
Return Tactical ETF
Performance Summary (Unaudited)
Performance as of June 30, 2021
| 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 | 0.81% | 0.48% | (0.33)% | 0.81% | 0.48% | (0.33)% | |
| FIVE YEARS | 13.63% | 13.42% | 16.08% | 2.59% | 2.55% | 3.03% | |
| SINCE INCEPTION(1) | 17.81% | 17.72% | 21.93% | 2.61% | 2.60% | 3.17% | |
| (1) | For the period February 23, 2015 to June 30, 2021. |
Comparison of Change in Value of a $10,000
Investment
(Based on Net Asset Value)
(Based on Net Asset Value)
Line graph is
based on cumulative total return.
The total expense
ratio for SPDR Doubleline Total Return Tactical ETF as stated in the Fees and Expenses table of the most recent prospectus is 0.55%. Please see the financial highlights for the total expense for the fiscal period ended June 30, 2021.
Performance quoted represents past performance, which is no
guarantee of future results. Investment return and principal value will fluctuate, so you may have a gain or loss when shares are sold. Current performance may be higher or lower than that quoted. Visit www.ssga.com for most recent month-end
performance. The returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption or sale of Fund shares. See "Notes to Performance Summaries" on page 1 for more information.
See
accompanying notes to financial statements.
9
SPDR DoubleLine Total
Return Tactical ETF
Portfolio Statistics (Unaudited)
Top Five Holdings as of June 30, 2021
| Description | % of Net Assets | ||
| Treasury
Notes 0.25% 6/15/2024 |
3.6% | ||
| Treasury
Notes 0.13% 1/15/2024 |
3.5 | ||
| Treasury
Notes 2.25% 11/15/2025 |
2.8 | ||
| Treasury
Notes 0.38% 11/30/2025 |
2.3 | ||
| Treasury
Notes 1.25% 6/30/2028 |
2.0 | ||
| TOTAL | 14.2% |
(The five largest holdings are subject to
change, and there are no guarantees the Fund will continue to remain invested in any particular company.)
Industry Breakdown as of June 30,
2021
| % of Net Assets | |||
| U.S. Government Agency Obligations | 35.2% | ||
| U.S. Treasury Obligations | 24.6 | ||
| Mortgage-Backed Securities | 8.0 | ||
| Asset-Backed Securities | 6.2 | ||
| Commercial Mortgage Backed Securities | 4.9 | ||
| Foreign Government Obligations | 1.7 | ||
| Banks | 2.4 | ||
| Electric | 1.3 | ||
| Oil & Gas | 0.9 | ||
| Telecommunications | 0.9 | ||
| Software | 0.9 | ||
| Pipelines | 0.9 | ||
| Diversified Financial Services | 0.7 | ||
| Health Care Services | 0.7 | ||
| Insurance | 0.7 | ||
| Pharmaceuticals | 0.6 | ||
| Food | 0.6 | ||
| Retail | 0.5 | ||
| Real Estate Investment Trusts | 0.5 | ||
| Internet | 0.4 | ||
| Transportation | 0.4 | ||
| Media | 0.3 | ||
| Commercial Services | 0.3 | ||
| Chemicals | 0.3 | ||
| Entertainment | 0.3 | ||
| Packaging & Containers | 0.3 | ||
| Computers | 0.3 | ||
| Auto Manufacturers | 0.2 | ||
| Lodging | 0.2 | ||
| Mining | 0.2 | ||
| Aerospace & Defense | 0.2 | ||
| Miscellaneous Manufacturer | 0.2 | ||
| Electronics | 0.2 | ||
| Beverages | 0.2 |
See accompanying notes to financial statements.
10
SPDR DoubleLine Total
Return Tactical ETF
Portfolio Statistics
(Unaudited) (continued)
| % of Net Assets | |||
| Building Materials | 0.2% | ||
| Biotechnology | 0.2 | ||
| IT Services | 0.2 | ||
| Agriculture | 0.2 | ||
| Oil & Gas Services | 0.2 | ||
| Energy-Alternate Sources | 0.1 | ||
| Iron/Steel | 0.1 | ||
| Leisure Time | 0.1 | ||
| Airlines | 0.1 | ||
| Machinery-Diversified | 0.1 | ||
| Household Products & Wares | 0.1 | ||
| Advertising | 0.1 | ||
| Forest Products & Paper | 0.1 | ||
| Semiconductors | 0.1 | ||
| Water | 0.1 | ||
| Auto Parts & Equipment | 0.0* | ||
| Environmental Control | 0.0* | ||
| Health Care Products | 0.0* | ||
| Distribution & Wholesale | 0.0* | ||
| Home Builders | 0.0* | ||
| Investment Company Security | 0.0* | ||
| Coal | 0.0* | ||
| Construction Materials | 0.0* | ||
| Real Estate | 0.0* | ||
| Home Furnishings | 0.0* | ||
| Metal Fabricate & Hardware | 0.0* | ||
| Engineering & Construction | 0.0* | ||
| Cosmetics/Personal Care | 0.0* | ||
| Apparel | 0.0* | ||
| Food Service | 0.0* | ||
| Housewares | 0.0* | ||
| Household Products | 0.0* | ||
| Trucking & Leasing | 0.0* | ||
| Toys/Games/Hobbies | 0.0* | ||
| Gas | 0.0* | ||
| Machinery, Construction & Mining | 0.0* | ||
| Hand & Machine Tools | 0.0* | ||
| Short-Term Investment | 2.0 | ||
| Liabilities in Excess of Other Assets | (0.2) | ||
| TOTAL | 100.0% |
| * | Amount shown represents less than 0.05% of net assets. |
(The Fund's industry breakdown is expressed
as a percentage of net assets and may change over time.)
See accompanying notes to financial statements.
11
SPDR DOUBLELINE EMERGING MARKETS
FIXED INCOME ETF
SCHEDULE OF INVESTMENTS
June 30, 2021
| Security Description | Principal
Amount |
Value | ||||
| CORPORATE BONDS & NOTES — 66.4% | ||||||
| ARGENTINA — 0.7% | ||||||
|
Banco Macro SA Series REGS, USD 5 Year Swap Rate + 5.46%, 6.75%, 11/4/2026
(a) |
$ 550,000 | $ 457,556 | ||||
|
Pampa Energia SA Series REGS, 7.50%,
1/24/2027 |
450,000 | 405,662 | ||||
| 863,218 | ||||||
| BRAZIL — 4.3% | ||||||
| Banco do Estado do Rio Grande do Sul SA: | ||||||
|
5 year CMT + 4.93%, 5.38%, 1/28/2031
(a)(b) |
200,000 | 204,534 | ||||
|
Series REGS, 5 year CMT + 4.93%, 5.38%, 1/28/2031
(a) |
200,000 | 204,534 | ||||
|
Braskem Netherlands Finance BV 5 year CMT + 8.22%, 8.50%, 1/23/2081
(a)(b) |
600,000 | 700,326 | ||||
|
CSN Islands XII Corp. Series REGS, 7.00%,
9/23/2021 |
700,000 | 705,894 | ||||
|
Itau Unibanco Holding SA Series REGS, 5 year CMT + 3.22%, 4.63%, 2/27/2025
(a) |
1,000,000 | 962,610 | ||||
| Petrobras Global Finance B.V.: | ||||||
|
5.50%,
6/10/2051 |
1,100,000 | 1,100,165 | ||||
|
6.75%,
6/3/2050 |
1,000,000 | 1,167,500 | ||||
|
Suzano Austria GmbH 3.13%, 1/15/2032
(c) |
250,000 | 247,397 | ||||
| 5,292,960 | ||||||
| CAYMAN ISLANDS — 2.7% | ||||||
|
Banco Nacional de Costa Rica Series REGS, 5 year CMT + 3.00%, 3.80%,
8/11/2026 |
1,500,000 | 1,502,325 | ||||
|
CK Hutchison Capital Securities 17, Ltd. Series REGS, 5 Year CMT + 2.07%, 4.00%, 5/12/2022
(a) |
1,837,000 | 1,873,281 | ||||
| 3,375,606 | ||||||
| CHILE — 4.7% | ||||||
|
Antofagasta PLC Series REGS, 2.38%,
10/14/2030 |
400,000 | 385,708 | ||||
|
CAP SA 3.90%, 4/27/2031
(b) |
600,000 | 600,168 | ||||
|
Chile Electricity PEC SpA Zero Coupon, 1/25/2028
(b) |
2,900,000 | 2,349,754 | ||||
|
Empresa Electrica Angamos SA Series REGS, 4.88%,
5/25/2029 |
139,100 | 139,795 | ||||
|
Empresa Electrica Cochrane SpA Series REGS, 5.50%,
5/14/2027 |
1,533,240 | 1,588,130 | ||||
|
Empresa Electrica Guacolda SA Series REGS, 4.56%,
4/30/2025 |
400,000 | 285,412 | ||||
|
Engie Energia Chile SA 3.40%,
1/28/2030 |
200,000 | 205,226 | ||||
|
VTR Finance NV Series REGS, 6.38%,
7/15/2028 |
200,000 | 212,962 | ||||
| 5,767,155 | ||||||
| CHINA — 2.9% | ||||||
|
Baidu, Inc. 3.43%,
4/7/2030 |
200,000 | 216,942 | ||||
See accompanying notes to financial statements.
12
SPDR DOUBLELINE EMERGING MARKETS
FIXED INCOME ETF
SCHEDULE OF INVESTMENTS (continued)
June 30,
2021
| Security Description | Principal
Amount |
Value | |||
|
JD.com, Inc. 3.38%,
1/14/2030 |
$ 1,400,000 | $ 1,495,326 | |||
|
State Grid Overseas Investment 2013, Ltd. Series REGS, 3.13%,
5/22/2023 |
200,000 | 208,664 | |||
|
State Grid Overseas Investment 2016, Ltd. Series EMTN, 1.00%,
8/5/2025 |
700,000 | 691,515 | |||
|
Tencent Holdings, Ltd. 2.39%, 6/3/2030
(b) |
1,000,000 | 996,450 | |||
| 3,608,897 | |||||
| COLOMBIA — 2.8% | |||||
|
AI Candelaria Spain SLU 5.75%, 6/15/2033
(b) |
500,000 | 514,845 | |||
|
Banco Davivienda SA 10 Year CMT + 5.08%, 6.65%, 4/22/2031
(a)(b) |
400,000 | 419,204 | |||
| Empresas Publicas de Medellin ESP: | |||||
|
Series REGS, 4.25%,
7/18/2029 |
1,500,000 | 1,495,215 | |||
|
Series REGS, 4.38%,
2/15/2031 |
500,000 | 495,050 | |||
|
Gran Tierra Energy International Holdings, Ltd. Series REGS, 6.25%,
2/15/2025 |
600,000 | 532,740 | |||
| 3,457,054 | |||||
| GUATEMALA — 0.2% | |||||
|
Investment Energy Resources, Ltd. 6.25%, 4/26/2029
(b) |
200,000 | 216,382 | |||
| INDIA — 4.1% | |||||
|
Adani International Container Terminal Pvt, Ltd. 3.00%, 2/16/2031
(b) |
400,000 | 386,944 | |||
|
Adani International Container Terminal Pvt., Ltd. Series REGS, 3.00%,
2/16/2031 |
200,000 | 193,045 | |||
| Adani Ports & Special Economic Zone, Ltd.: | |||||
|
3.10%,
2/2/2031 |
1,000,000 | 953,180 | |||
|
Series REGS, 3.38%,
7/24/2024 |
600,000 | 624,384 | |||
|
Series REGS, 4.38%,
7/3/2029 |
700,000 | 731,108 | |||
|
JSW Hydro Energy, Ltd. 4.13%, 5/18/2031
(b) |
300,000 | 303,900 | |||
|
Network i2i, Ltd. 5 Year CMT + 4.28%, 5.65%, 1/15/2025
(a)(b) |
200,000 | 213,536 | |||
|
ONGC Videsh Vankorneft Pte, Ltd. 3.75%,
7/27/2026 |
600,000 | 639,386 | |||
|
Reliance Industries, Ltd. Series REGS, 5.40%,
2/14/2022 |
500,000 | 513,830 | |||
|
Ultratech Cement, Ltd. 2.80%,
2/16/2031 |
200,000 | 193,520 | |||
|
Vedanta Resources, Ltd. Series REGS, 6.13%,
8/9/2024 |
400,000 | 335,440 | |||
| 5,088,273 | |||||
| INDONESIA — 3.7% | |||||
| Minejesa Capital B.V.: | |||||
|
Series REGS, 4.63%,
8/10/2030 |
800,000 | 847,736 | |||
|
Series REGS, 5.63%,
8/10/2037 |
2,000,000 | 2,169,020 |
See accompanying notes to financial statements.
13
SPDR DOUBLELINE EMERGING MARKETS
FIXED INCOME ETF
SCHEDULE OF INVESTMENTS (continued)
June 30,
2021
| Security Description | Principal
Amount |
Value | |||
|
Perusahaan Listrik Negara PT Series REGS, 5.50%,
11/22/2021 |
$ 1,500,000 | $ 1,526,235 | |||
| 4,542,991 | |||||
| JAMAICA — 0.1% | |||||
| Digicel Group Holdings, Ltd.: | |||||
|
7.00%, 10/1/2169
(b) |
64,616 | 49,923 | |||
|
8.00%, 4/1/2025
(b) |
43,544 | 36,928 | |||
| 86,851 | |||||
| KUWAIT — 0.6% | |||||
| MEGlobal Canada ULC: | |||||
|
5.00%, 5/18/2025
(b) |
200,000 | 224,194 | |||
|
5.88%, 5/18/2030
(b) |
400,000 | 493,220 | |||
| 717,414 | |||||
| MALAYSIA — 3.9% | |||||
|
CIMB Bank Bhd 3.26%,
3/15/2022 |
400,000 | 406,388 | |||
|
Malayan Banking Bhd USD 5 Year Swap Rate + 2.54%, 3.91%, 10/29/2026
(a) |
1,000,000 | 1,007,360 | |||
| Petronas Capital, Ltd.: | |||||
|
2.48%, 1/28/2032
(b) |
400,000 | 402,128 | |||
|
Series REGS, 3.50%,
3/18/2025 |
600,000 | 649,782 | |||
|
3.50%, 4/21/2030
(b) |
200,000 | 218,758 | |||
|
TNB Global Ventures Capital Bhd Series EMTN, 3.24%,
10/19/2026 |
2,000,000 | 2,138,140 | |||
| 4,822,556 | |||||
| MEXICO — 1.7% | |||||
| Banco Mercantil del Norte SA: | |||||
|
Series REGS, 10 Year CMT + 5.35%, 7.63%,
10/6/2169 |
200,000 | 226,644 | |||
|
Series REGS, 10 Year CMT + 5.47%, 7.50%, 6/27/2029
(a) |
800,000 | 904,688 | |||
|
Credito Real SAB de CV Series REGS, 5 Year CMT + 7.03%, 9.13%, 11/29/2022
(a) |
200,000 | 141,222 | |||
|
Mexarrend SAPI de CV 10.25%, 7/24/2024
(b) |
300,000 | 281,865 | |||
|
Unifin Financiera SAB de CV Series REGS, 5 Year CMT + 6.31%, 8.88%, 1/29/2025
(a) |
800,000 | 597,808 | |||
| 2,152,227 | |||||
| PANAMA — 7.0% | |||||
| AES Panama Generation Holdings SRL: | |||||
|
4.38%, 5/31/2030
(b) |
400,000 | 418,772 | |||
|
Series REGS, 4.38%,
5/31/2030 |
1,100,000 | 1,151,623 | |||
|
Banco General SA 10 Year CMT + 3.67%, 5.25%, 5/7/2031
(a)(b) |
800,000 | 830,960 |
See accompanying notes to financial statements.
14
SPDR DOUBLELINE EMERGING MARKETS
FIXED INCOME ETF
SCHEDULE OF INVESTMENTS (continued)
June 30,
2021
| Security Description | Principal
Amount |
Value | |||
|
Banco Latinoamericano de Comercio Exterior SA 2.38%, 9/14/2025
(b) |
$ 200,000 | $ 205,038 | |||
|
Banco Nacional de Panama 2.50%, 8/11/2030
(b) |
300,000 | 290,328 | |||
|
Banistmo SA Series REGS, 3.65%,
9/19/2022 |
1,900,000 | 1,939,045 | |||
|
Global Bank Corp. Series REGS, 4.50%,
10/20/2021 |
400,000 | 402,780 | |||
|
Multibank, Inc. Series REGS, 4.38%,
11/9/2022 |
1,650,000 | 1,687,983 | |||
|
UEP Penonome II SA 6.50%, 10/1/2038
(b) |
1,676,150 | 1,718,573 | |||
| 8,645,102 | |||||
| PARAGUAY — 0.3% | |||||
|
Banco Continental SAECA 2.75%, 12/10/2025
(b) |
350,000 | 344,376 | |||
| PERU — 5.3% | |||||
|
Banco BBVA Peru SA 5 year CMT + 2.75%, 5.25%, 9/22/2029
(a) |
200,000 | 210,300 | |||
| Banco de Credito del Peru: | |||||
|
5 year CMT + 3.00%, 3.13%, 7/1/2030
(a) |
400,000 | 397,824 | |||
|
5 year CMT + 3.00%, 3.13%, 7/1/2030
(a)(b) |
250,000 | 248,640 | |||
|
Banco Internacional del Peru SAA Interbank Series REGS, 3 Month USD LIBOR + 5.76%, 6.63%,
3/19/2029 |
898,000 | 957,070 | |||
|
Banco Internacional del Peru SAA Interbank Series REGS, 1 year CMT + 3.71%, 4.00%, 7/8/2030
(a) |
700,000 | 690,844 | |||
|
Fenix Power Peru SA Series REGS, 4.32%,
9/20/2027 |
947,941 | 964,170 | |||
|
Hunt Oil Co. of Peru LLC Sucursal Del Peru Series REGS, 6.38%,
6/1/2028 |
1,100,000 | 1,159,521 | |||
|
Inkia Energy, Ltd. 5.88%,
11/9/2027 |
200,000 | 207,340 | |||
|
Nexa Resources SA Series REGS, 5.38%,
5/4/2027 |
400,000 | 429,712 | |||
|
Orazul Energy Egenor SCA 5.63%,
4/28/2027 |
400,000 | 412,800 | |||
|
Peru LNG S.r.l. Series REGS, 5.38%,
3/22/2030 |
1,000,000 | 861,310 | |||
| 6,539,531 | |||||
| QATAR — 0.2% | |||||
|
Ooredoo International Finance, Ltd. Series REGS, 3.25%,
2/21/2023 |
200,000 | 208,504 | |||
| SAUDI ARABIA — 0.3% | |||||
|
SA Global Sukuk, Ltd. 2.69%, 6/17/2031
(b) |
400,000 | 404,652 | |||
| SINGAPORE — 11.2% | |||||
| 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 | |||
|
USD 5 Year Swap Rate + 2.39%, 3.60%, 9/7/2021
(a) |
300,000 | 301,083 | |||
|
Series GMTN, 5 year CMT + 1.10%, 1.82%, 3/10/2031
(a) |
700,000 | 697,676 |
See accompanying notes to financial statements.
15
SPDR DOUBLELINE EMERGING MARKETS
FIXED INCOME ETF
SCHEDULE OF INVESTMENTS (continued)
June 30,
2021
| Security Description | Principal
Amount |
Value | |||
|
5 year CMT + 1.91%, 3.30%, 2/27/2025
(a) |
$ 200,000 | $ 205,816 | |||
|
LLPL Capital Pte, Ltd. 6.88%, 2/4/2039
(b) |
364,800 | 424,740 | |||
| Oversea-Chinese Banking Corp., Ltd.: | |||||
|
5 year CMT + 1.58%, 1.83%, 9/10/2030
(a)(b) |
500,000 | 499,640 | |||
|
Series REGS, 5 year CMT + 1.58%, 1.83%, 9/10/2030
(a) |
1,700,000 | 1,698,776 | |||
| PSA Treasury Pte, Ltd.: | |||||
|
Series GMTN, 2.13%,
9/5/2029 |
2,000,000 | 2,038,620 | |||
|
2.25%,
4/30/2030 |
800,000 | 821,105 | |||
|
SingTel Group Treasury Pte, Ltd. 1.88%,
6/10/2030 |
1,500,000 | 1,484,859 | |||
| Temasek Financial I, Ltd.: | |||||
|
1.00%, 10/6/2030
(b) |
2,100,000 | 1,969,359 | |||
|
Series REGS, 1.00%,
10/6/2030 |
250,000 | 234,448 | |||
| United Overseas Bank, Ltd.: | |||||
|
Series EMTN, USD 5 Year Swap Rate + 1.79%, 3.88%, 10/19/2023
(a) |
600,000 | 625,050 | |||
|
Series EMTN, USD 5 Year Swap Rate + 2.24%, 3.50%, 9/16/2026
(a) |
200,000 | 200,940 | |||
|
5 year CMT + 1.52%, 1.75%, 3/16/2031
(a) |
800,000 | 794,816 | |||
|
Series EMTN, USD 5 Year Swap Rate + 1.65%, 2.88%, 3/8/2027
(a) |
600,000 | 607,188 | |||
| 13,907,366 | |||||
| SOUTH KOREA — 5.3% | |||||
| Korea East-West Power Co., Ltd.: | |||||
|
1.75%, 5/6/2025
(b) |
200,000 | 204,196 | |||
|
Series REGS, 1.75%,
5/6/2025 |
1,100,000 | 1,123,078 | |||
|
Korea Southern Power Co., Ltd. 0.75%, 1/27/2026
(b) |
1,000,000 | 975,600 | |||
|
KT Corp. Series REGS, 2.50%,
7/18/2026 |
800,000 | 839,184 | |||
|
LG Chem, Ltd. 2.38%, 7/7/2031
(b)(c) |
200,000 | 199,372 | |||
|
NongHyup Bank 1.25%, 7/20/2025
(b) |
600,000 | 600,618 | |||
| POSCO: | |||||
|
Series REGS, 2.38%,
11/12/2022 |
400,000 | 408,824 | |||
|
Series REGS, 2.38%,
1/17/2023 |
600,000 | 614,298 | |||
|
Series REGS, 2.75%,
7/15/2024 |
400,000 | 420,392 | |||
|
Shinhan Financial Group Co., Ltd. 5 year CMT + 2.06%, 2.88%, 5/12/2026
(a)(b) |
550,000 | 547,228 | |||
|
Woori Bank Series REGS, 5 year CMT + 2.66%, 4.25%, 10/4/2024
(a) |
600,000 | 623,016 | |||
| 6,555,806 | |||||
| THAILAND — 1.0% | |||||
|
Bangkok Bank PCL 5.00%,
12/31/2051 |
400,000 | 422,744 |
See accompanying notes to financial statements.
16
SPDR DOUBLELINE EMERGING MARKETS
FIXED INCOME ETF
SCHEDULE OF INVESTMENTS (continued)
June 30,
2021
| Security Description | Principal
Amount |
Value | ||||
|
Kasikornbank PCL Series EMTN, 5 year CMT + 4.94%, 5.28%, 10/14/2025
(a) |
$ 600,000 | $ 634,800 | ||||
|
PTTEP Treasury Center Co., Ltd. 2.59%, 6/10/2027
(b) |
200,000 | 207,402 | ||||
| 1,264,946 | ||||||
| UNITED ARAB EMIRATES — 2.2% | ||||||
| Galaxy Pipeline Assets Bidco, Ltd.: | ||||||
|
2.16%, 3/31/2034
(b) |
2,300,000 | 2,261,337 | ||||
|
Series REGS, 2.63%,
3/31/2036 |
500,000 | 490,461 | ||||
| 2,751,798 | ||||||
| UNITED STATES — 1.2% | ||||||
|
JBS Finance Luxembourg S.a.r.l 3.63%, 1/15/2032
(b) |
1,500,000 | 1,497,435 | ||||
|
TOTAL CORPORATE BONDS & NOTES (Cost
$81,027,571) |
82,111,100 | |||||
| FOREIGN GOVERNMENT OBLIGATIONS — 31.5% | ||||||
| BRAZIL — 1.3% | ||||||
|
Brazil Government International Bond 3.75%,
9/12/2031 |
300,000 | 297,498 | ||||
| Brazilian Government International Bond: | ||||||
|
5.00%,
1/27/2045 |
300,000 | 303,861 | ||||
|
5.63%,
2/21/2047 |
900,000 | 982,260 | ||||
| 1,583,619 | ||||||
| CHILE — 1.8% | ||||||
| Chile Government International Bond: | ||||||
|
3.10%,
1/22/2061 |
1,500,000 | 1,435,890 | ||||
|
3.50%,
1/25/2050 |
700,000 | 735,259 | ||||
| 2,171,149 | ||||||
| COLOMBIA — 3.3% | ||||||
| Colombia Government International Bond: | ||||||
|
2.63%,
3/15/2023 |
1,000,000 | 1,022,500 | ||||
|
3.13%,
4/15/2031 |
500,000 | 489,205 | ||||
|
3.25%,
4/22/2032 |
1,000,000 | 978,480 | ||||
|
4.13%,
5/15/2051 |
950,000 | 900,144 | ||||
|
5.00%,
6/15/2045 |
700,000 | 743,785 | ||||
| 4,134,114 | ||||||
| DOMINICAN REPUBLIC — 1.6% | ||||||
|
Dominican Republic International Bond Series 144A, 4.88%, 9/23/2032
(b) |
1,900,000 | 1,963,308 | ||||
See accompanying notes to financial statements.
17
SPDR DOUBLELINE EMERGING MARKETS
FIXED INCOME ETF
SCHEDULE OF INVESTMENTS (continued)
June 30,
2021
| Security Description | Principal
Amount |
Value | |||
| INDONESIA — 3.2% | |||||
| Indonesia Government International Bond: | |||||
|
3.70%,
10/30/2049 |
$ 1,600,000 | $ 1,677,568 | |||
|
4.35%,
1/11/2048 |
500,000 | 567,510 | |||
| Perusahaan Penerbit SBSN Indonesia III: | |||||
|
Series 144A, 2.55%, 6/9/2031
(b) |
600,000 | 602,622 | |||
|
Series REGS, 3.80%,
6/23/2050 |
1,100,000 | 1,150,094 | |||
| 3,997,794 | |||||
| MALAYSIA — 2.4% | |||||
|
Malaysia Sovereign Sukuk Bhd Series REGS, 3.04%,
4/22/2025 |
800,000 | 857,024 | |||
|
Malaysia Sukuk Global Bhd Series REGS, 3.18%,
4/27/2026 |
250,000 | 272,690 | |||
|
Malaysia Wakala Sukuk Bhd 2.07%, 4/28/2031
(b) |
250,000 | 252,482 | |||
|
Malaysia Wakala Sukuk Bhd. 3.08%, 4/28/2051
(b) |
1,500,000 | 1,566,360 | |||
| 2,948,556 | |||||
| MEXICO — 3.8% | |||||
| Mexico Government International Bond: | |||||
|
3.77%,
5/24/2061 |
1,700,000 | 1,584,077 | |||
|
4.28%,
8/14/2041 |
1,600,000 | 1,681,488 | |||
|
4.50%,
1/31/2050 |
500,000 | 532,050 | |||
|
4.60%,
2/10/2048 |
800,000 | 859,728 | |||
| 4,657,343 | |||||
| PANAMA — 3.4% | |||||
| Panama Government International Bond: | |||||
|
2.25%,
9/29/2032 |
300,000 | 287,946 | |||
|
3.87%,
7/23/2060 |
2,600,000 | 2,655,874 | |||
|
4.00%,
9/22/2024 |
600,000 | 654,030 | |||
|
4.30%,
4/29/2053 |
600,000 | 665,172 | |||
| 4,263,022 | |||||
| PERU — 1.8% | |||||
| Peruvian Government International Bond: | |||||
|
3.30%,
3/11/2041 |
1,350,000 | 1,365,025 | |||
|
3.55%,
3/10/2051 |
850,000 | 883,133 | |||
| 2,248,158 | |||||
| PHILIPPINES — 2.9% | |||||
| Philippine Government International Bond: | |||||
|
2.46%,
5/5/2030 |
400,000 | 416,512 | |||
|
2.65%,
12/10/2045 |
900,000 | 833,607 | |||
|
3.70%,
3/1/2041 |
1,200,000 | 1,295,232 |
See accompanying notes to financial statements.
18
SPDR DOUBLELINE EMERGING MARKETS
FIXED INCOME ETF
SCHEDULE OF INVESTMENTS (continued)
June 30,
2021
| Security Description | Principal
Amount |
Value | |||
|
3.70%,
2/2/2042 |
$ 1,000,000 | $ 1,079,280 | |||
| 3,624,631 | |||||
| QATAR — 0.3% | |||||
|
Qatar Government International Bond Series REGS, 3.38%,
3/14/2024 |
300,000 | 321,750 | |||
| SAUDI ARABIA — 3.2% | |||||
| Saudi Government International Bond: | |||||
|
Series REGS, 2.88%,
3/4/2023 |
500,000 | 518,600 | |||
|
Series 144A, 2.90%, 10/22/2025
(b) |
850,000 | 910,078 | |||
|
Series REGS, 3.45%,
2/2/2061 |
2,350,000 | 2,344,548 | |||
|
Series REGS, 3.75%,
1/21/2055 |
200,000 | 211,101 | |||
| 3,984,327 | |||||
| SOUTH KOREA — 0.8% | |||||
|
Korea Development Bank 1.00%,
9/9/2026 |
200,000 | 198,714 | |||
| Korea Electric Power Corp.: | |||||
|
Series 144A, 1.13%, 6/15/2025
(b) |
400,000 | 398,868 | |||
|
Series REGS, 1.13%,
6/15/2025 |
200,000 | 199,434 | |||
|
Korea Hydro & Nuclear Power Co., Ltd. Series 144A, 1.25%, 4/27/2026
(b) |
200,000 | 199,058 | |||
| 996,074 | |||||
| UNITED ARAB EMIRATES — 1.7% | |||||
| Abu Dhabi Government International Bond: | |||||
|
Series 144A, 3.13%, 4/16/2030
(b) |
400,000 | 434,756 | |||
|
Series REGS, 3.13%,
9/30/2049 |
1,400,000 | 1,426,460 | |||
|
Series REGS, 3.88%,
4/16/2050 |
200,000 | 230,250 | |||
| 2,091,466 | |||||
|
TOTAL FOREIGN GOVERNMENT OBLIGATIONS (Cost
$37,879,902) |
38,985,311 |
See accompanying notes to financial statements.
19
SPDR DOUBLELINE EMERGING MARKETS
FIXED INCOME ETF
SCHEDULE OF INVESTMENTS (continued)
June 30,
2021
| Security Description | Shares | Value | ||||
| SHORT-TERM INVESTMENT — 2.1% | ||||||
|
State Street Institutional U.S. Government Money Market Fund, Class G Shares 0.03% (d) (e) (Cost
$2,549,386) |
2,549,386 | $ 2,549,386 | ||||
|
TOTAL INVESTMENTS — 100.0% (Cost
$121,456,859) |
123,645,797 | |||||
|
LIABILITIES IN EXCESS OF OTHER ASSETS — (0.0)%
(f) |
(2,699) | |||||
|
NET ASSETS — 100.0%
|
$ 123,643,098 | |||||
| (a) | Variable Rate Security - Interest rate shown is rate in effect at June 30, 2021. 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 23.3% of net assets as of June 30, 2021, are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
| (c) | When-issued security. |
| (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, 2021 are shown in the Affiliate Table below. |
| (e) | The rate shown is the annualized seven-day yield at June 30, 2021. |
| (f) | Amount is less than 0.05% of net assets. |
| CMT | Constant Maturity Treasury |
| EMTN | Euro Medium Term Note |
| GMTN | Global Medium Term Note |
| LIBOR | London Interbank Offered Rate |
The
following table summarizes the value of the Fund's investments according to the fair value hierarchy as of June 30, 2021.
| Description | Level
1 – Quoted Prices |
Level
2 – Other Significant Observable Inputs |
Level
3 – Significant Unobservable Inputs |
Total | ||||
| ASSETS: | ||||||||
| INVESTMENTS: | ||||||||
|
Corporate Bonds &
Notes |
$ — | $ 82,111,100 | $— | $ 82,111,100 | ||||
|
Foreign Government
Obligations |
— | 38,985,311 | — | 38,985,311 | ||||
|
Short-Term
Investment |
2,549,386 | — | — | 2,549,386 | ||||
|
TOTAL
INVESTMENTS |
$2,549,386 | $121,096,411 | $— | $123,645,797 |
See accompanying notes to financial statements.
20
SPDR DOUBLELINE EMERGING MARKETS
FIXED INCOME ETF
SCHEDULE OF INVESTMENTS (continued)
June 30,
2021
Industry Breakdown as of June 30, 2021
| % of Net Assets | ||
| Foreign Government Obligations | 31.5% | |
| Banks | 19.5 | |
| Electric | 15.1 | |
| Oil & Gas | 5.5 | |
| Pipelines | 3.3 | |
| Energy-Alternate Sources | 3.2 | |
| Transportation | 2.4 | |
| Diversified Financial Services | 2.4 | |
| Telecommunications | 2.4 | |
| Commercial Services | 2.2 | |
| Iron/Steel | 2.2 | |
| Internet | 2.2 | |
| Holding Companies-Diversified | 1.5 | |
| Chemicals | 1.4 | |
| Food | 1.2 | |
| Mining | 1.1 | |
| Forest Products & Paper | 0.2 | |
| Investment Company Security | 0.2 | |
| Media | 0.2 | |
| Multi-National | 0.2 | |
| Short-Term Investment | 2.1 | |
| Liabilities in Excess of Other Assets | (0.0) | |
| TOTAL | 100.0% |
(The Fund's industry breakdown is
expressed as a percentage of net assets and may change over time.)
Affiliate Table
| Number
of Shares Held at 6/30/20 |
Value
at 6/30/20 |
Cost
of Purchases |
Proceeds
from Shares Sold |
Realized
Gain (Loss) |
Change
in Unrealized Appreciation/ Depreciation |
Number
of Shares Held at 6/30/21 |
Value
at 6/30/21 |
Dividend
Income | |||||||||
|
State Street Institutional U.S. Government Money Market Fund, Class G
Shares |
780,408 | $780,408 | $70,498,769 | $68,729,791 | $— | $— | 2,549,386 | $2,549,386 | $1,064 |
See accompanying notes to financial statements.
21
SPDR DOUBLELINE SHORT DURATION
TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS
June 30, 2021
| Security Description | Principal
Amount |
Value | ||||
| CORPORATE BONDS & NOTES — 27.1% | ||||||
| ADVERTISING — 0.0% (a) | ||||||
|
Clear Channel Outdoor Holdings, Inc. 7.50%, 6/1/2029
(b) |
$ 40,000 | $ 41,435 | ||||
| AEROSPACE & DEFENSE — 0.4% | ||||||
|
Boeing Co. 4.51%,
5/1/2023 |
490,000 | 522,266 | ||||
| TransDigm, Inc.: | ||||||
|
4.88%, 5/1/2029
(b) |
30,000 | 30,315 | ||||
|
5.50%,
11/15/2027 |
40,000 | 41,708 | ||||
|
6.25%, 3/15/2026
(b) |
65,000 | 68,563 | ||||
|
8.00%, 12/15/2025
(b) |
10,000 | 10,803 | ||||
|
Triumph Group, Inc. 7.75%,
8/15/2025 |
25,000 | 25,731 | ||||
| 699,386 | ||||||
| AGRICULTURE — 0.3% | ||||||
|
BAT International Finance PLC 1.67%,
3/25/2026 |
515,000 | 515,639 | ||||
| AIRLINES — 0.5% | ||||||
|
American Airlines, Inc./AAdvantage Loyalty IP, Ltd. 5.75%, 4/20/2029
(b) |
175,000 | 189,248 | ||||
|
Southwest Airlines Co. 4.75%,
5/4/2023 |
470,000 | 504,442 | ||||
|
United Airlines, Inc. 4.63%, 4/15/2029
(b) |
40,000 | 41,432 | ||||
| 735,122 | ||||||
| AUTO MANUFACTURERS — 0.6% | ||||||
|
General Motors Financial Co., Inc. 5.25%,
3/1/2026 |
450,000 | 519,885 | ||||
|
Hyundai Capital America 2.85%, 11/1/2022
(b) |
485,000 | 498,692 | ||||
| 1,018,577 | ||||||
| AUTO PARTS & EQUIPMENT — 0.1% | ||||||
|
Clarios Global L.P./Clarios US Finance Co. 6.25%, 5/15/2026
(b) |
45,000 | 47,928 | ||||
|
Goodyear Tire & Rubber Co. 5.25%, 7/15/2031
(b) |
60,000 | 62,562 | ||||
| 110,490 | ||||||
See accompanying notes to financial statements.
22
SPDR DOUBLELINE SHORT DURATION
TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
June 30,
2021
| Security Description | Principal
Amount |
Value | ||||
| BANKS — 5.2% | ||||||
|
Banco Bilbao Vizcaya Argentaria Colombia SA Series REGS, 4.88%,
4/21/2025 |
$ 200,000 | $ 209,424 | ||||
|
Banco Continental SAECA 2.75%, 12/10/2025
(b) |
150,000 | 147,590 | ||||
|
Banco de Credito del Peru 5 year CMT + 3.00%, 3.13%, 7/1/2030
(c) |
100,000 | 99,456 | ||||
|
Banco de Reservas de la Republica Dominicana Series REGS, 7.00%,
2/1/2023 |
150,000 | 157,401 | ||||
|
Bancolombia SA 5 Year CMT + 2.94%, 4.63%, 12/18/2029
(c) |
200,000 | 203,424 | ||||
| Bank of America Corp.: | ||||||
|
SOFR + 0.69%, 0.72%, 4/22/2025
(c) |
200,000 | 201,166 | ||||
|
Series MTN, 3 Month USD LIBOR + 0.79%, 0.92%, 3/5/2024
(c) |
385,000 | 388,384 | ||||
|
Bank of Nova Scotia 0.55%,
9/15/2023 |
160,000 | 160,368 | ||||
|
BBVA Bancomer SA Series REGS, 5 Year CMT + 3.00%, 5.35%, 11/12/2029
(c) |
200,000 | 211,722 | ||||
|
BDO Unibank, Inc. Series EMTN, 2.63%,
10/24/2021 |
200,000 | 201,000 | ||||
|
Canadian Imperial Bank of Commerce 0.45%,
6/22/2023 |
300,000 | 299,961 | ||||
|
CIMB Bank Bhd 3.26%,
3/15/2022 |
200,000 | 203,194 | ||||
|
Citigroup, Inc. 3 Month USD LIBOR + 1.02%, 1.16%, 6/1/2024
(c) |
555,000 | 562,298 | ||||
|
DBS Group Holdings, Ltd. USD 5 Year Swap Rate + 2.39%, 3.60%, 9/7/2021
(c) |
200,000 | 200,722 | ||||
|
Goldman Sachs Group, Inc. 3.50%,
4/1/2025 |
525,000 | 569,394 | ||||
|
Itau Unibanco Holding SA 5 year CMT + 3.45%, 3.88%, 4/15/2031
(c) |
200,000 | 198,850 | ||||
| JPMorgan Chase & Co.: | ||||||
|
3.90%,
7/15/2025 |
65,000 | 71,882 | ||||
|
3 Month USD LIBOR + 0.70%, 3.21%, 4/1/2023
(c) |
485,000 | 495,229 | ||||
|
Macquarie Bank, Ltd. 2.10%, 10/17/2022
(b) |
350,000 | 357,924 | ||||
|
Macquarie Group, Ltd. 3 Month USD LIBOR + 1.33%, 4.15%, 3/27/2024
(b)
(c) |
195,000 | 206,454 | ||||
|
Malayan Banking Bhd USD 5 Year Swap Rate + 2.54%, 3.91%, 10/29/2026
(c) |
200,000 | 201,734 | ||||
See accompanying notes to financial statements.
23
SPDR DOUBLELINE SHORT DURATION
TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
June 30,
2021
| Security Description | Principal
Amount |
Value | ||||
|
Morgan Stanley Series MTN, SOFR + 0.46%, 0.53%, 1/25/2024
(c) |
$ 565,000 | $ 564,819 | ||||
|
NongHyup Bank 1.25%, 7/20/2025
(b) |
200,000 | 200,206 | ||||
|
Oversea-Chinese Banking Corp., Ltd. Series REGS, 4.25%,
6/19/2024 |
200,000 | 218,088 | ||||
|
Royal Bank of Canada SOFR + 0.53%, 0.55%, 1/20/2026
(c) |
565,000 | 565,938 | ||||
|
Scotiabank Peru SAA Series REGS, 3 Month USD LIBOR + 3.86%, 4.50%, 12/13/2027
(c) |
50,000 | 51,166 | ||||
|
Truist Financial Corp. SOFR + 0.40%, 0.45%, 6/9/2025
(c) |
565,000 | 565,452 | ||||
|
United Overseas Bank, Ltd. Series EMTN, USD 5 Year Swap Rate + 1.65%, 2.88%, 3/8/2027
(c) |
200,000 | 202,350 | ||||
|
Wells Fargo & Co. Series MTN, SOFR + 1.60%, 1.65%, 6/2/2024
(c) |
560,000 | 572,057 | ||||
| 8,287,653 | ||||||
| BEVERAGES — 0.5% | ||||||
|
Central American Bottling Corp. 5.75%,
1/31/2027 |
200,000 | 208,592 | ||||
|
Keurig Dr Pepper, Inc. 0.75%,
3/15/2024 |
500,000 | 500,480 | ||||
|
Primo Water Holdings, Inc. 4.38%, 4/30/2029
(b) |
90,000 | 90,018 | ||||
|
Triton Water Holdings, Inc. 6.25%, 4/1/2029
(b) |
35,000 | 35,243 | ||||
| 834,333 | ||||||
| BIOTECHNOLOGY — 0.2% | ||||||
|
Royalty Pharma PLC 0.75%, 9/2/2023
(b) |
250,000 | 250,747 | ||||
| BUILDING MATERIALS — 0.5% | ||||||
|
Builders FirstSource, Inc. 6.75%, 6/1/2027
(b) |
58,000 | 62,264 | ||||
|
Carrier Global Corp. 2.24%,
2/15/2025 |
490,000 | 509,786 | ||||
|
Griffon Corp. 5.75%,
3/1/2028 |
35,000 | 37,159 | ||||
See accompanying notes to financial statements.
24
SPDR DOUBLELINE SHORT DURATION
TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
June 30,
2021
| Security Description | Principal
Amount |
Value | ||||
|
Martin Marietta Materials, Inc. 0.65%, 7/15/2023
(d) |
$ 150,000 | $ 150,288 | ||||
| 759,497 | ||||||
| CHEMICALS — 0.5% | ||||||
|
CVR Partners L.P./CVR Nitrogen Finance Corp. 6.13%, 6/15/2028
(b) |
25,000 | 25,620 | ||||
|
DuPont de Nemours, Inc. 4.49%,
11/15/2025 |
455,000 | 517,271 | ||||
|
LG Chem, Ltd. Series REGS, 3.25%,
10/15/2024 |
200,000 | 214,810 | ||||
|
SCIH Salt Holdings, Inc. 6.63%, 5/1/2029
(b) |
15,000 | 15,036 | ||||
| 772,737 | ||||||
| COAL — 0.1% | ||||||
|
Peabody Energy Corp. 8.50%, 12/31/2024
(b) |
13,000 | 9,773 | ||||
|
SunCoke Energy Partners L.P./SunCoke Energy Partners Finance Corp. 7.50%, 6/15/2025
(b) |
50,000 | 51,922 | ||||
|
SunCoke Energy, Inc. 4.88%, 6/30/2029
(b) |
50,000 | 49,994 | ||||
| 111,689 | ||||||
| COMMERCIAL SERVICES — 0.5% | ||||||
| Allied Universal Holdco LLC/Allied Universal Finance Corp.: | ||||||
|
6.63%, 7/15/2026
(b) |
35,000 | 37,111 | ||||
|
9.75%, 7/15/2027
(b) |
65,000 | 71,601 | ||||
|
Garda World Security Corp. 6.00%, 6/1/2029
(b) |
65,000 | 64,459 | ||||
|
HPHT Finance 19, Ltd. 2.88%,
11/5/2024 |
200,000 | 209,376 | ||||
|
Metis Merger Sub LLC 6.50%, 5/15/2029
(b) |
40,000 | 39,383 | ||||
|
MPH Acquisition Holdings LLC 5.75%, 11/1/2028
(b) |
65,000 | 65,306 | ||||
|
NESCO Holdings II, Inc. 5.50%, 4/15/2029
(b) |
10,000 | 10,435 | ||||
|
PSA Treasury Pte, Ltd. Class GMTN, 2.50%,
4/12/2026 |
200,000 | 210,834 | ||||
See accompanying notes to financial statements.
25
SPDR DOUBLELINE SHORT DURATION
TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
June 30,
2021
| Security Description | Principal
Amount |
Value | ||||
|
Verscend Escrow Corp. 9.75%, 8/15/2026
(b) |
$ 50,000 | $ 52,738 | ||||
| 761,243 | ||||||
| COSMETICS/PERSONAL CARE — 0.0% (a) | ||||||
|
Coty, Inc. 5.00%, 4/15/2026
(b) |
40,000 | 40,580 | ||||
| DISTRIBUTION & WHOLESALE — 0.0% (a) | ||||||
|
Performance Food Group, Inc. 5.50%, 10/15/2027
(b) |
45,000 | 47,353 | ||||
| DIVERSIFIED FINANCIAL SERVICES — 0.8% | ||||||
|
Avolon Holdings Funding, Ltd. 3.63%, 5/1/2022
(b) |
495,000 | 506,355 | ||||
| Capital One Financial Corp.: | ||||||
|
3.20%,
1/30/2023 |
380,000 | 395,793 | ||||
|
3.90%,
1/29/2024 |
160,000 | 172,645 | ||||
|
Global Aircraft Leasing Co., Ltd. 6.50%, 9/15/2024
(b) |
53,690 | 53,846 | ||||
|
Nationstar Mortgage Holdings, Inc. 5.50%, 8/15/2028
(b) |
40,000 | 40,317 | ||||
|
Navient Corp. 5.00%,
3/15/2027 |
25,000 | 25,924 | ||||
|
NFP Corp. 6.88%, 8/15/2028
(b) |
35,000 | 36,980 | ||||
|
OneMain Finance Corp. 6.63%,
1/15/2028 |
40,000 | 46,033 | ||||
|
PennyMac Financial Services, Inc. 4.25%, 2/15/2029
(b) |
70,000 | 67,446 | ||||
| 1,345,339 | ||||||
| ELECTRIC — 2.8% | ||||||
| Calpine Corp.: | ||||||
|
4.63%, 2/1/2029
(b) |
30,000 | 29,639 | ||||
|
5.13%, 3/15/2028
(b) |
40,000 | 40,665 | ||||
|
Chile Electricity PEC SpA Zero Coupon, 1/25/2028
(b) |
200,000 | 162,052 | ||||
| DTE Energy Co.: | ||||||
|
2.25%,
11/1/2022 |
60,000 | 61,420 | ||||
|
Series C, 2.53%,
10/1/2024 |
230,000 | 241,631 | ||||
|
Series F, 1.05%,
6/1/2025 |
185,000 | 184,698 | ||||
See accompanying notes to financial statements.
26
SPDR DOUBLELINE SHORT DURATION
TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
June 30,
2021
| Security Description | Principal
Amount |
Value | ||||
|
Empresa Electrica Angamos SA Series REGS, 4.88%,
5/25/2029 |
$ 139,100 | $ 139,796 | ||||
|
Empresa Electrica Guacolda SA Series REGS, 4.56%,
4/30/2025 |
200,000 | 142,706 | ||||
|
Empresa Generadora de Electricidad Itabo SA 7.95%,
5/11/2026 |
54,000 | 54,408 | ||||
|
Enel Generacion Chile SA 4.25%,
4/15/2024 |
200,000 | 214,038 | ||||
|
Fenix Power Peru SA Series REGS, 4.32%,
9/20/2027 |
172,353 | 175,304 | ||||
|
Korea East-West Power Co., Ltd. 1.75%, 5/6/2025
(b) |
200,000 | 204,196 | ||||
|
Minejesa Capital B.V. Series REGS, 4.63%,
8/10/2030 |
200,000 | 211,934 | ||||
|
NextEra Energy Capital Holdings, Inc. 0.65%,
3/1/2023 |
430,000 | 431,488 | ||||
|
NRG Energy, Inc. 3.63%, 2/15/2031
(b) |
80,000 | 78,566 | ||||
|
Orazul Energy Egenor SCA 5.63%,
4/28/2027 |
200,000 | 206,400 | ||||
|
Pacific Gas & Electric Co. 1.75%,
6/16/2022 |
500,000 | 499,885 | ||||
|
PG&E Corp. 5.00%,
7/1/2028 |
25,000 | 25,299 | ||||
|
Pike Corp. 5.50%, 9/1/2028
(b) |
45,000 | 46,783 | ||||
|
PSEG Power LLC 3.85%,
6/1/2023 |
535,000 | 567,656 | ||||
|
Southern California Edison Co. SOFR + 0.83%, 0.88%, 4/1/2024
(c) |
565,000 | 567,096 | ||||
|
State Grid Overseas Investment 2016, Ltd. Series EMTN, 1.00%,
8/5/2025 |
200,000 | 197,576 | ||||
| 4,483,236 | ||||||
| ELECTRICAL COMPONENTS & EQUIPMENT — 0.0% (a) | ||||||
|
Energizer Holdings, Inc. 4.75%, 6/15/2028
(b) |
60,000 | 61,679 | ||||
| ENTERTAINMENT — 0.4% | ||||||
|
Bally's Corp. 6.75%, 6/1/2027
(b) |
70,000 | 74,640 | ||||
|
Boyne USA, Inc. 4.75%, 5/15/2029
(b) |
110,000 | 113,935 | ||||
See accompanying notes to financial statements.
27
SPDR DOUBLELINE SHORT DURATION
TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
June 30,
2021
| Security Description | Principal
Amount |
Value | ||||
|
Caesars Entertainment, Inc. 6.25%, 7/1/2025
(b) |
$ 55,000 | $ 58,340 | ||||
|
Cedar Fair L.P. 5.25%,
7/15/2029 |
40,000 | 41,234 | ||||
|
Lions Gate Capital Holdings LLC 5.50%, 4/15/2029
(b) |
45,000 | 47,472 | ||||
| Live Nation Entertainment, Inc.: | ||||||
|
4.75%, 10/15/2027
(b) |
65,000 | 67,355 | ||||
|
6.50%, 5/15/2027
(b) |
50,000 | 55,488 | ||||
|
Midwest Gaming Borrower LLC/Midwest Gaming Finance Corp. 4.88%, 5/1/2029
(b) |
95,000 | 95,162 | ||||
|
Scientific Games International, Inc. 7.25%, 11/15/2029
(b) |
40,000 | 45,119 | ||||
| 598,745 | ||||||
| ENVIRONMENTAL CONTROL — 0.4% | ||||||
|
GFL Environmental, Inc. 4.00%, 8/1/2028
(b) |
80,000 | 79,063 | ||||
| Madison IAQ LLC: | ||||||
|
4.13%, 6/30/2028
(b) |
45,000 | 45,442 | ||||
|
5.88%, 6/30/2029
(b) |
40,000 | 40,702 | ||||
|
Republic Services, Inc. 2.50%,
8/15/2024 |
485,000 | 509,449 | ||||
| 674,656 | ||||||
| FOOD — 0.6% | ||||||
|
B&G Foods, Inc. 5.25%,
9/15/2027 |
20,000 | 20,839 | ||||
|
Conagra Brands, Inc. 4.30%,
5/1/2024 |
467,000 | 512,439 | ||||
|
Grupo Bimbo SAB de CV Series REGS, 4.50%,
1/25/2022 |
100,000 | 102,237 | ||||
| Kraft Heinz Foods Co.: | ||||||
|
5.00%,
7/15/2035 |
20,000 | 24,481 | ||||
|
5.20%,
7/15/2045 |
60,000 | 74,559 | ||||
|
Pilgrim's Pride Corp. 5.88%, 9/30/2027
(b) |
45,000 | 47,994 | ||||
|
Post Holdings, Inc. 4.63%, 4/15/2030
(b) |
50,000 | 50,886 | ||||
|
United Natural Foods, Inc. 6.75%, 10/15/2028
(b) |
40,000 | 43,024 | ||||
See accompanying notes to financial statements.
28
SPDR DOUBLELINE SHORT DURATION
TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
June 30,
2021
| Security Description | Principal
Amount |
Value | ||||
|
US Foods, Inc. 6.25%, 4/15/2025
(b) |
$ 10,000 | $ 10,610 | ||||
| 887,069 | ||||||
| GAS — 0.3% | ||||||
|
Atmos Energy Corp. 0.63%,
3/9/2023 |
225,000 | 225,061 | ||||
|
ENN Energy Holdings, Ltd. 3.25%,
7/24/2022 |
200,000 | 204,144 | ||||
| 429,205 | ||||||
| HEALTH CARE PRODUCTS — 0.0% (a) | ||||||
|
Ortho-Clinical Diagnostics, Inc./Ortho-Clinical Diagnostics SA 7.25%, 2/1/2028
(b) |
42,000 | 45,922 | ||||
| HEALTH CARE SERVICES — 1.2% | ||||||
| Anthem, Inc.: | ||||||
|
3.30%,
1/15/2023 |
280,000 | 292,141 | ||||
|
3.50%,
8/15/2024 |
255,000 | 274,553 | ||||
| Centene Corp.: | ||||||
|
2.50%,
3/1/2031 |
55,000 | 54,296 | ||||
|
3.00%,
10/15/2030 |
30,000 | 30,832 | ||||
| CHS/Community Health Systems, Inc.: | ||||||
|
6.00%, 1/15/2029
(b) |
55,000 | 58,869 | ||||
|
6.88%, 4/15/2029
(b) |
40,000 | 42,004 | ||||
|
HCA, Inc. 5.00%,
3/15/2024 |
465,000 | 513,950 | ||||
| Legacy LifePoint Health LLC: | ||||||
|
4.38%, 2/15/2027
(b) |
40,000 | 40,487 | ||||
|
6.75%, 4/15/2025
(b) |
30,000 | 31,954 | ||||
|
Radiology Partners, Inc. 9.25%, 2/1/2028
(b) |
45,000 | 49,872 | ||||
|
RP Escrow Issuer LLC 5.25%, 12/15/2025
(b) |
55,000 | 57,450 | ||||
|
Select Medical Corp. 6.25%, 8/15/2026
(b) |
120,000 | 127,830 | ||||
| Tenet Healthcare Corp.: | ||||||
|
5.13%, 11/1/2027
(b) |
60,000 | 62,876 | ||||
|
6.13%, 10/1/2028
(b) |
70,000 | 74,484 | ||||
|
UnitedHealth Group, Inc. 0.55%,
5/15/2024 |
295,000 | 294,782 | ||||
| 2,006,380 | ||||||
See accompanying notes to financial statements.
29
SPDR DOUBLELINE SHORT DURATION
TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
June 30,
2021
| Security Description | Principal
Amount |
Value | ||||
| HOME BUILDERS — 0.0% (a) | ||||||
|
Mattamy Group Corp. 4.63%, 3/1/2030
(b) |
$ 55,000 | $ 56,288 | ||||
| HOME FURNISHINGS — 0.1% | ||||||
|
Tempur Sealy International, Inc. 4.00%, 4/15/2029
(b) |
35,000 | 35,593 | ||||
|
WASH Multifamily Acquisition, Inc. 5.75%, 4/15/2026
(b) |
50,000 | 52,214 | ||||
| 87,807 | ||||||
| HOUSEHOLD PRODUCTS & WARES — 0.1% | ||||||
| Kronos Acquisition Holdings, Inc./KIK Custom Products, Inc.: | ||||||
|
5.00%, 12/31/2026
(b) |
55,000 | 56,089 | ||||
|
7.00%, 12/31/2027
(b) |
35,000 | 35,116 | ||||
| 91,205 | ||||||
| INSURANCE — 1.2% | ||||||
|
Acrisure LLC/Acrisure Finance, Inc. 4.25%, 2/15/2029
(b) |
70,000 | 69,097 | ||||
|
Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer 6.75%, 10/15/2027
(b) |
35,000 | 36,800 | ||||
|
Athene Global Funding SOFR + 0.70%, 0.74%, 5/24/2024
(b)
(c) |
565,000 | 570,012 | ||||
|
Brighthouse Financial Global Funding 0.60%, 6/28/2023
(b) |
210,000 | 210,011 | ||||
|
Grupo de Inversiones Suramericana SA 5.50%,
4/29/2026 |
200,000 | 216,040 | ||||
|
GTCR AP Finance, Inc. 8.00%, 5/15/2027
(b) |
40,000 | 42,746 | ||||
|
Marsh & McLennan Cos., Inc. 3.88%,
3/15/2024 |
525,000 | 569,541 | ||||
|
Prudential Financial, Inc. Series MTN, 3.50%,
5/15/2024 |
265,000 | 286,915 | ||||
| 2,001,162 | ||||||
| INTERNET — 0.6% | ||||||
|
Baidu, Inc. 3.08%,
4/7/2025 |
200,000 | 211,798 | ||||
|
eBay, Inc. 2.75%,
1/30/2023 |
500,000 | 517,835 | ||||
|
Endure Digital, Inc. 6.00%, 2/15/2029
(b) |
55,000 | 54,456 | ||||
See accompanying notes to financial statements.
30
SPDR DOUBLELINE SHORT DURATION
TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
June 30,
2021
| Security Description | Principal
Amount |
Value | ||||
|
Tencent Holdings, Ltd. 1.81%, 1/26/2026
(b) |
$ 200,000 | $ 203,336 | ||||
|
Uber Technologies, Inc. 7.50%, 9/15/2027
(b) |
35,000 | 38,457 | ||||
| 1,025,882 | ||||||
| INVESTMENT COMPANY SECURITY — 0.2% | ||||||
|
Icahn Enterprises L.P./Icahn Enterprises Finance Corp. 5.25%,
5/15/2027 |
35,000 | 36,229 | ||||
|
Temasek Financial I, Ltd. Series REGS, 2.38%,
1/23/2023 |
250,000 | 257,480 | ||||
| 293,709 | ||||||
| IRON/STEEL — 0.1% | ||||||
|
POSCO Series REGS, 2.38%,
11/12/2022 |
200,000 | 204,412 | ||||
| LEISURE TIME — 0.2% | ||||||
|
Carnival Corp. 5.75%, 3/1/2027
(b) |
125,000 | 131,490 | ||||
| Viking Cruises, Ltd.: | ||||||
|
5.88%, 9/15/2027
(b) |
95,000 | 93,852 | ||||
|
13.00%, 5/15/2025
(b) |
20,000 | 23,521 | ||||
| 248,863 | ||||||
| LODGING — 0.1% | ||||||
|
Boyd Gaming Corp. 4.75%, 6/15/2031
(b) |
80,000 | 83,171 | ||||
|
MGM Resorts International 6.75%,
5/1/2025 |
70,000 | 74,950 | ||||
| 158,121 | ||||||
| MEDIA — 0.3% | ||||||
|
CCO Holdings LLC/CCO Holdings Capital Corp. 4.75%, 3/1/2030
(b) |
45,000 | 47,551 | ||||
|
Cengage Learning, Inc. 9.50%, 6/15/2024
(b) |
45,000 | 46,092 | ||||
|
Diamond Sports Group LLC/Diamond Sports Finance Co. 5.38%, 8/15/2026
(b) |
25,000 | 16,198 | ||||
| DISH DBS Corp.: | ||||||
|
5.13%, 6/1/2029
(b) |
40,000 | 39,534 | ||||
|
5.88%,
11/15/2024 |
40,000 | 42,956 | ||||
|
GCI LLC 4.75%, 10/15/2028
(b) |
50,000 | 51,238 | ||||
See accompanying notes to financial statements.
31
SPDR DOUBLELINE SHORT DURATION
TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
June 30,
2021
| Security Description | Principal
Amount |
Value | ||||
|
iHeartCommunications, Inc. 8.38%,
5/1/2027 |
$ 10,000 | $ 10,728 | ||||
|
Nexstar Broadcasting, Inc. 5.63%, 7/15/2027
(b) |
25,000 | 26,585 | ||||
|
Radiate Holdco LLC/Radiate Finance, Inc. 4.50%, 9/15/2026
(b) |
35,000 | 36,219 | ||||
|
Scripps Escrow II, Inc. 3.88%, 1/15/2029
(b) |
20,000 | 19,842 | ||||
|
Scripps Escrow, Inc. 5.88%, 7/15/2027
(b) |
55,000 | 56,949 | ||||
|
Univision Communications, Inc. 4.50%, 5/1/2029
(b) |
40,000 | 40,301 | ||||
| 434,193 | ||||||
| MINING — 0.2% | ||||||
|
Arconic Corp. 6.13%, 2/15/2028
(b) |
80,000 | 85,788 | ||||
| Glencore Funding LLC: | ||||||
|
4.00%, 4/16/2025
(b) |
40,000 | 43,681 | ||||
|
4.13%, 5/30/2023
(b) |
135,000 | 143,586 | ||||
|
4.13%, 3/12/2024
(b) |
65,000 | 70,091 | ||||
|
Novelis Corp. 4.75%, 1/30/2030
(b) |
20,000 | 20,994 | ||||
| 364,140 | ||||||
| MISCELLANEOUS MANUFACTURER — 0.0% (a) | ||||||
|
Bombardier, Inc. 6.00%, 10/15/2022
(b) |
45,000 | 45,067 | ||||
| OIL & GAS — 2.0% | ||||||
| Apache Corp.: | ||||||
|
4.38%,
10/15/2028 |
30,000 | 31,950 | ||||
|
4.63%,
11/15/2025 |
20,000 | 21,551 | ||||
|
Canacol Energy, Ltd. Series REGS, 7.25%,
5/3/2025 |
200,000 | 212,758 | ||||
|
Chesapeake Energy Corp. 5.88%, 2/1/2029
(b) |
55,000 | 59,479 | ||||
|
CNX Resources Corp. 6.00%, 1/15/2029
(b) |
35,000 | 37,838 | ||||
|
Ecopetrol SA 5.88%,
9/18/2023 |
150,000 | 162,462 | ||||
|
EQT Corp. 8.50%,
2/1/2030 |
30,000 | 39,035 | ||||
See accompanying notes to financial statements.
32
SPDR DOUBLELINE SHORT DURATION
TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
June 30,
2021
| Security Description | Principal
Amount |
Value | ||||
| Hilcorp Energy I L.P./Hilcorp Finance Co.: | ||||||
|
5.75%, 2/1/2029
(b) |
$ 25,000 | $ 26,062 | ||||
|
6.25%, 11/1/2028
(b) |
40,000 | 42,504 | ||||
|
Indigo Natural Resources LLC 5.38%, 2/1/2029
(b) |
40,000 | 41,945 | ||||
| MEG Energy Corp.: | ||||||
|
5.88%, 2/1/2029
(b) |
10,000 | 10,506 | ||||
|
7.13%, 2/1/2027
(b) |
55,000 | 58,693 | ||||
| Occidental Petroleum Corp.: | ||||||
|
6.13%,
1/1/2031 |
45,000 | 52,913 | ||||
|
6.45%,
9/15/2036 |
25,000 | 29,875 | ||||
|
6.63%,
9/1/2030 |
35,000 | 42,100 | ||||
|
8.00%,
7/15/2025 |
25,000 | 29,984 | ||||
|
ONGC Videsh, Ltd. 3.75%,
5/7/2023 |
250,000 | 260,718 | ||||
|
Ovintiv, Inc. 7.38%,
11/1/2031 |
30,000 | 39,928 | ||||
|
Parkland Corp. 4.50%, 10/1/2029
(b) |
50,000 | 50,776 | ||||
|
Pertamina Persero PT 1.40%,
2/9/2026 |
200,000 | 195,926 | ||||
|
Petrobras Global Finance B.V. 4.38%,
5/20/2023 |
200,000 | 211,888 | ||||
|
Petronas Capital, Ltd. 3.13%,
3/18/2022 |
200,000 | 203,614 | ||||
|
Pioneer Natural Resources Co. 0.55%,
5/15/2023 |
500,000 | 500,320 | ||||
|
SA Global Sukuk, Ltd. 1.60%, 6/17/2026
(b) |
200,000 | 199,470 | ||||
| Sunoco L.P./Sunoco Finance Corp.: | ||||||
|
4.50%, 5/15/2029
(b) |
20,000 | 20,411 | ||||
|
6.00%,
4/15/2027 |
70,000 | 73,434 | ||||
|
Transocean Poseidon, Ltd. 6.88%, 2/1/2027
(b) |
75,000 | 75,374 | ||||
|
Transocean, Inc. 11.50%, 1/30/2027
(b) |
15,000 | 16,032 | ||||
|
Valero Energy Corp. 1.20%,
3/15/2024 |
500,000 | 504,045 | ||||
| 3,251,591 | ||||||
| OIL & GAS SERVICES — 0.4% | ||||||
|
Schlumberger Holdings Corp. 3.75%, 5/1/2024
(b) |
460,000 | 494,859 | ||||
See accompanying notes to financial statements.
33
SPDR DOUBLELINE SHORT DURATION
TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
June 30,
2021
| Security Description | Principal
Amount |
Value | ||||
|
USA Compression Partners L.P./USA Compression Finance Corp. 6.88%,
9/1/2027 |
$ 80,000 | $ 85,475 | ||||
| 580,334 | ||||||
| PACKAGING & CONTAINERS — 0.1% | ||||||
|
Berry Global, Inc. 5.63%, 7/15/2027
(b) |
65,000 | 68,719 | ||||
|
Silgan Holdings, Inc. 4.13%,
2/1/2028 |
65,000 | 67,449 | ||||
| 136,168 | ||||||
| PHARMACEUTICALS — 0.7% | ||||||
|
AbbVie, Inc. 2.30%,
11/21/2022 |
485,000 | 497,833 | ||||
| AstraZeneca PLC: | ||||||
|
2.38%,
6/12/2022 |
55,000 | 56,017 | ||||
|
3.50%,
8/17/2023 |
419,000 | 445,049 | ||||
|
Bausch Health Cos., Inc. 6.25%, 2/15/2029
(b) |
65,000 | 64,279 | ||||
|
Endo Luxembourg Finance Co. I Sarl/Endo US, Inc. 6.13%, 4/1/2029
(b) |
30,000 | 29,406 | ||||
| 1,092,584 | ||||||
| PIPELINES — 0.5% | ||||||
|
Antero Midstream Partners L.P./Antero Midstream Finance Corp. 5.75%, 3/1/2027
(b) |
22,000 | 22,883 | ||||
|
EQM Midstream Partners L.P. 4.75%, 1/15/2031
(b) |
75,000 | 77,283 | ||||
|
Galaxy Pipeline Assets Bidco, Ltd. 1.75%,
9/30/2027 |
200,000 | 201,993 | ||||
|
Hess Midstream Operations L.P. 5.13%, 6/15/2028
(b) |
55,000 | 57,684 | ||||
|
NGL Energy Operating LLC/NGL Energy Finance Corp. 7.50%, 2/1/2026
(b) |
75,000 | 78,758 | ||||
|
NuStar Logistics L.P. 6.38%,
10/1/2030 |
45,000 | 49,710 | ||||
|
Targa Resources Partners L.P./Targa Resources Partners Finance Corp. 5.50%,
3/1/2030 |
55,000 | 60,463 | ||||
|
Transportadora de Gas del Peru SA Series REGS, 4.25%,
4/30/2028 |
200,000 | 214,684 | ||||
See accompanying notes to financial statements.
34
SPDR DOUBLELINE SHORT DURATION
TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
June 30,
2021
| Security Description | Principal
Amount |
Value | ||||
|
Western Midstream Operating L.P. 4.35%,
2/1/2025 |
$ 40,000 | $ 42,263 | ||||
| 805,721 | ||||||
| REAL ESTATE — 0.0% (a) | ||||||
| Realogy Group LLC/Realogy Co-Issuer Corp.: | ||||||
|
5.75%, 1/15/2029
(b) |
35,000 | 36,592 | ||||
|
7.63%, 6/15/2025
(b) |
30,000 | 32,548 | ||||
| 69,140 | ||||||
| REAL ESTATE INVESTMENT TRUSTS — 0.8% | ||||||
|
Iron Mountain, Inc. REIT, 4.50%, 2/15/2031
(b) |
30,000 | 30,387 | ||||
|
MGM Growth Properties Operating Partnership L.P./MGP Finance Co-Issuer, Inc. REIT, 5.75%,
2/1/2027 |
50,000 | 55,806 | ||||
|
Park Intermediate Holdings LLC/PK Domestic Property LLC/PK Finance Co-Issuer 4.88%, 5/15/2029
(b) |
40,000 | 41,410 | ||||
|
Uniti Group L.P./Uniti Group Finance, Inc./CSL Capital LLC 6.50%, 2/15/2029
(b) |
35,000 | 35,165 | ||||
|
Welltower, Inc. REIT, 3.63%,
3/15/2024 |
530,000 | 569,167 | ||||
|
WP Carey, Inc. 4.25%,
10/1/2026 |
505,000 | 567,691 | ||||
| 1,299,626 | ||||||
| RETAIL — 0.6% | ||||||
|
Ambience Merger Sub, Inc. 7.13%, 7/15/2029
(b)
(d) |
25,000 | 25,226 | ||||
| Asbury Automotive Group, Inc.: | ||||||
|
4.50%,
3/1/2028 |
5,000 | 5,172 | ||||
|
4.75%,
3/1/2030 |
5,000 | 5,227 | ||||
| Dollar Tree, Inc.: | ||||||
|
3.70%,
5/15/2023 |
360,000 | 380,318 | ||||
|
4.00%,
5/15/2025 |
155,000 | 171,063 | ||||
|
Ferrellgas L.P./Ferrellgas Finance Corp. 5.38%, 4/1/2026
(b) |
30,000 | 29,745 | ||||
|
Golden Nugget, Inc. 6.75%, 10/15/2024
(b) |
60,000 | 60,436 | ||||
|
IRB Holding Corp. 6.75%, 2/15/2026
(b) |
50,000 | 51,789 | ||||
|
SRS Distribution, Inc. 4.63%, 7/1/2028
(b) |
55,000 | 56,261 | ||||
See accompanying notes to financial statements.
35
SPDR DOUBLELINE SHORT DURATION
TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
June 30,
2021
| Security Description | Principal
Amount |
Value | ||||
|
Staples, Inc. 7.50%, 4/15/2026
(b) |
$ 35,000 | $ 36,264 | ||||
|
Suburban Propane Partners L.P./Suburban Energy Finance Corp. 5.00%, 6/1/2031
(b) |
55,000 | 56,254 | ||||
|
Superior Plus L.P./Superior General Partner, Inc. 4.50%, 3/15/2029
(b) |
70,000 | 72,088 | ||||
|
Victoria's Secret & Co. 4.63%,
7/15/2029 |
25,000 | 25,023 | ||||
| 974,866 | ||||||
| SEMICONDUCTORS — 0.7% | ||||||
|
Microchip Technology, Inc. 0.97%, 2/15/2024
(b) |
515,000 | 514,902 | ||||
|
NVIDIA Corp. 0.58%,
6/14/2024 |
545,000 | 545,283 | ||||
| 1,060,185 | ||||||
| SOFTWARE — 0.1% | ||||||
|
Clarivate Science Holdings Corp. 4.88%, 6/30/2029
(b) |
45,000 | 46,175 | ||||
|
Open Text Corp. 3.88%, 2/15/2028
(b) |
70,000 | 71,129 | ||||
| 117,304 | ||||||
| TELECOMMUNICATIONS — 1.6% | ||||||
|
AT&T, Inc. 4.45%,
4/1/2024 |
525,000 | 573,646 | ||||
|
Avaya, Inc. 6.13%, 9/15/2028
(b) |
40,000 | 42,813 | ||||
| Frontier Communications Holdings LLC: | ||||||
|
5.00%, 5/1/2028
(b) |
30,000 | 31,031 | ||||
|
5.88%, 10/15/2027
(b) |
15,000 | 16,078 | ||||
|
6.75%, 5/1/2029
(b) |
15,000 | 15,959 | ||||
|
GTT Communications, Inc. 7.88%, 12/31/2024
(b) |
30,000 | 3,102 | ||||
|
KT Corp. 1.00%,
9/1/2025 |
250,000 | 247,420 | ||||
| Lumen Technologies, Inc.: | ||||||
|
4.00%, 2/15/2027
(b) |
40,000 | 40,801 | ||||
|
5.13%, 12/15/2026
(b) |
45,000 | 46,754 | ||||
|
Millicom International Cellular SA Series REGS, 5.13%,
1/15/2028 |
180,000 | 188,415 | ||||
See accompanying notes to financial statements.
36
SPDR DOUBLELINE SHORT DURATION
TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
June 30,
2021
| Security Description | Principal
Amount |
Value | ||||
|
Sable International Finance, Ltd. 5.75%,
9/7/2027 |
$ 200,000 | $ 210,174 | ||||
|
SingTel Group Treasury Pte, Ltd. Class EMTN, 3.25%,
6/30/2025 |
200,000 | 214,485 | ||||
| T-Mobile USA, Inc.: | ||||||
|
2.88%,
2/15/2031 |
15,000 | 14,876 | ||||
|
3.38%,
4/15/2029 |
20,000 | 20,681 | ||||
|
3.38%, 4/15/2029
(b) |
10,000 | 10,332 | ||||
|
Verizon Communications, Inc. 3 Month USD LIBOR + 1.10%, 1.26%, 5/15/2025
(c) |
550,000 | 566,846 | ||||
|
VTR Comunicaciones SpA 5.13%,
1/15/2028 |
200,000 | 209,224 | ||||
| Zayo Group Holdings,Inc.: | ||||||
|
4.00%, 3/1/2027
(b) |
45,000 | 44,704 | ||||
|
6.13%, 3/1/2028
(b) |
15,000 | 15,316 | ||||
| 2,512,657 | ||||||
| TRANSPORTATION — 0.2% | ||||||
|
Kenan Advantage Group, Inc. 7.88%, 7/31/2023
(b) |
10,000 | 10,008 | ||||
| Union Pacific Corp.: | ||||||
|
3.15%,
3/1/2024 |
260,000 | 277,394 | ||||
|
3.75%,
3/15/2024 |
60,000 | 64,513 | ||||
| 351,915 | ||||||
| TRUCKING & LEASING — 0.4% | ||||||
|
Avolon Holdings Funding, Ltd. 5.13%, 10/1/2023
(b) |
60,000 | 64,867 | ||||
|
Penske Truck Leasing Co. L.P./PTL Finance Corp. 2.70%, 11/1/2024
(b) |
485,000 | 510,521 | ||||
| 575,388 | ||||||
|
TOTAL CORPORATE BONDS & NOTES (Cost
$42,834,788) |
43,357,040 | |||||
| ASSET-BACKED SECURITIES — 11.2% | ||||||
| AUTOMOBILE — 0.9% | ||||||
|
CPS Auto Receivables Trust Series 2021-A, Class D, 1.16%, 12/15/2026
(b) |
600,000 | 596,673 | ||||
|
Exeter Automobile Receivables Trust Series 2021-1A, Class C, 0.74%,
1/15/2026 |
500,000 | 499,603 | ||||
See accompanying notes to financial statements.
37
SPDR DOUBLELINE SHORT DURATION
TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
June 30,
2021
| Security Description | Principal
Amount |
Value | |||
|
Hertz Vehicle Financing LLC Series 2021-1A, Class B, 1.56%, 12/26/2025
(b) |
$ 350,000 | $ 350,919 | |||
| 1,447,195 | |||||
| OTHER ABS — 10.1% | |||||
| Affirm Asset Securitization Trust: | |||||
|
Series 2020-A, Class A, 2.10%, 2/18/2025
(b) |
750,000 | 754,644 | |||
|
Series 2020-A, Class B, 3.54%, 2/18/2025
(b) |
750,000 | 761,909 | |||
|
Ajax Mortgage Loan Trust Series 2018-E, Class A, 4.38%, 6/25/2058
(b)
(c) |
410,458 | 413,401 | |||
|
Arbor Realty Collateralized Loan Obligation 2020-FL1, Ltd. Series 2020-FL1, Class AS, 1 Month USD LIBOR + 1.400%, 1.52%, 2/15/2035
(b)
(c) |
131,000 | 130,995 | |||
|
Arbor Realty Commercial Real Estate Notes 2018-FL1, Ltd. Series 2018-FL1, Class A, 1 Month USD LIBOR + 1.15%, 1.22%, 6/15/2028
(b)
(c) |
71,000 | 71,022 | |||
|
Arbor Realty Commercial Real Estate Notes 2019-FL1, Ltd. Series 2019-FL1, Class B, 1 Month USD LIBOR + 1.700%, 1.77%, 5/15/2037
(b)
(c) |
138,000 | 138,000 | |||
|
Bain Capital Credit CLO Series 2019-1A, Class AR, 3 Month USD LIBOR + 1.13%, 1.32%, 4/19/2034
(b)
(c) |
500,000 | 499,874 | |||
|
Bain Capital Credit CLO, Ltd. Series 2020-3A, Class A, 3 Month USD LIBOR + 1.38%, 1.55%, 10/23/2032
(b)
(c) |
1,250,000 | 1,250,375 | |||
|
BDS, Ltd. Series 2019-FL4, Class A, 1 Month USD LIBOR + 1.10%, 1.18%, 8/15/2036
(b)
(c) |
100,000 | 99,939 | |||
| BSPRT Issuer, Ltd.: | |||||
|
Series 2019-FL5, Class A, 1 Month USD LIBOR + 1.15%, 1.22%, 5/15/2029
(b)
(c) |
401,000 | 400,755 | |||
|
Series 2021-FL6, Class A, 1 Month USD LIBOR + 1.100%, 1.17%, 3/15/2036
(b)
(c) |
138,000 | 137,914 | |||
|
Carlyle US CLO, Ltd Series 2021-1A, Class A1, 3 Month USD LIBOR + 1.140%, 1.33%, 4/15/2034
(b)
(c) |
1,000,000 | 999,735 | |||
|
CarVal CLO IV, Ltd. Series 2021-1A, Class A1A, 3 Month USD LIBOR + 1.18%, Zero Coupon%, 7/20/2034
(b) (c)
(d) |
500,000 | 500,000 | |||
| CHCP, Ltd.: | |||||
|
Series 2021-FL1, Class A, 1 Month USD LIBOR + 1.050%, 1.17%, 2/15/2038
(b)
(c) |
100,000 | 100,063 | |||
|
Series 2021-FL1, Class AS, 1 Month USD LIBOR + 1.300%, 1.42%, 2/15/2038
(b)
(c) |
100,000 | 100,094 |
See accompanying notes to financial statements.
38
SPDR DOUBLELINE SHORT DURATION
TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
June 30,
2021
| Security Description | Principal
Amount |
Value | |||
|
CLNC, Ltd. Series 2019-FL1, Class AS, 1 Month USD LIBOR + 1.55%, 1.67%, 8/20/2035
(b)
(c) |
$ 131,000 | $ 130,838 | |||
|
FS RIALTO Series 2021-FL2, Class A, 1 Month USD LIBOR + 1.22%, 1.29%, 4/16/2028
(b)
(c) |
150,000 | 150,047 | |||
|
FS Rialto 2019-FL1 Series 2019-FL1, Class A, 1 Month USD LIBOR + 1.20%, 1.27%, 12/16/2036
(b)
(c) |
161,000 | 160,475 | |||
|
Galaxy XXVII CLO, Ltd. Series 2018-27A, Class A, 3 Month USD LIBOR + 1.02%, 1.18%, 5/16/2031
(b)
(c) |
500,000 | 499,150 | |||
|
HalseyPoint CLO 3, Ltd. Series 2020-3A, Class A1A, 3 Month USD LIBOR + 1.45%, 1.64%, 11/30/2032
(b)
(c) |
900,000 | 904,230 | |||
|
Jamestown CLO XV, Ltd. Series 2020-15A, Class A, 3 Month USD LIBOR + 1.340%, 1.52%, 4/15/2033
(b)
(c) |
500,000 | 499,950 | |||
|
LoanCore 2018-CRE1 Issuer, Ltd. Series 2018-CRE1, Class A, 1 Month USD LIBOR + 1.13%, 1.20%, 5/15/2028
(b)
(c) |
34,617 | 34,565 | |||
|
LoanCore 2019-CRE2 Issuer, Ltd. Series 2019-CRE2, Class AS, 1 Month USD LIBOR + 1.50%, 1.57%, 5/15/2036
(b)
(c) |
100,000 | 99,876 | |||
|
Loanpal Solar Loan, Ltd. Series 2021-1GS, Class A, 2.29%, 1/20/2048
(b) |
440,255 | 441,085 | |||
|
Marathon CRE, Ltd. Series 2018-FL1, Class A, 1 Month USD LIBOR + 1.15%, 1.23%, 6/15/2028
(b)
(c) |
28,997 | 28,997 | |||
| Marlette Funding Trust: | |||||
|
Series 2019-4A, Class A, 2.39%, 12/17/2029
(b) |
105,877 | 106,367 | |||
|
Series 2019-2A, Class A, 3.13%, 7/16/2029
(b) |
40,557 | 40,684 | |||
|
Series 2021-1A, Class C, 1.41%, 6/16/2031
(b) |
650,000 | 649,177 | |||
|
MF1 Multifamily Housing Mortgage Loan Trust Series 2021-FL6, Class A, 1 Month USD LIBOR + 1.10%, 1.20%, 7/16/2036
(b)
(c) |
150,000 | 150,091 | |||
|
NLY Commercial Mortgage Trust Series 2019-FL2, Class AS, 1 Month USD LIBOR + 1.60%, 1.67%, 2/15/2036
(b)
(c) |
120,000 | 119,928 | |||
|
Northwoods Capital XVI, Ltd. Series 2017-16A, Class A, 3 Month USD LIBOR + 1.27%, 1.43%, 11/15/2030
(b)
(c) |
1,000,626 | 999,725 | |||
|
Pagaya AI Debt Selection Trust Series 2021-1, Class A, 1.18%, 11/15/2027
(b) |
395,374 | 396,223 |
See accompanying notes to financial statements.
39
SPDR DOUBLELINE SHORT DURATION
TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
June 30,
2021
| Security Description | Principal
Amount |
Value | |||
|
Sapphire Aviation Finance II, Ltd. Series 2020-1A, Class A, 3.23%, 3/15/2040
(b) |
$ 433,078 | $ 430,652 | |||
|
Shackleton CLO, Ltd. Series 2013-3A, Class AR, 3 Month USD LIBOR + 1.120%, 1.30%, 7/15/2030
(b)
(c) |
497,278 | 495,886 | |||
|
Sound Point CLO Series 2020-1A, 1.00%, 7/20/2034
(b)
(c) |
1,000,000 | 1,000,000 | |||
|
STWD, Ltd. Series 2019-FL1, Class AS, 1 Month USD LIBOR + 1.40%, 1.52%, 7/15/2038
(b)
(c) |
100,000 | 100,000 | |||
|
THL Credit Wind River CLO, Ltd. Series 2013-2A, Class AR, 3 Month USD LIBOR + 1.230%, 1.42%, 10/18/2030
(b)
(c) |
484,924 | 484,391 | |||
|
TRTX Issuer, Ltd. Series 2019-FL3, Class A, 1 Month USD LIBOR + 1.15%, 1.27%, 10/15/2034
(b)
(c) |
200,000 | 200,000 | |||
|
Upstart Securitization Trust Series 2021-1, Class A, 0.87%, 3/20/2031
(b) |
618,580 | 619,787 | |||
|
Vibrant ClO VIII, Ltd. Series 2018-8A, Class A1A, 3 Month USD LIBOR + 1.140%, 1.33%, 1/20/2031
(b)
(c) |
500,000 | 498,300 | |||
|
Washington Mutural Asset-Backed Certificates WMABS Trust Series 2006-HE5, Class 2A2, 1 Month USD LIBOR + 0.18%, 0.27%, 10/25/2036
(c) |
310,044 | 155,928 | |||
|
Wind River CLO, Ltd. Series 2014-1A, Class ARR, 3 Month USD LIBOR + 1.05%, 1.24%, 7/18/2031
(b)
(c) |
497,951 | 497,104 | |||
| 16,252,176 | |||||
| STUDENT LOAN ABS — 0.2% | |||||
|
Commonbond Student Loan Trust Series 2018-BGS, Class B, 3.99%, 9/25/2045
(b) |
222,332 | 226,874 | |||
|
Laurel Road Prime Student Loan Trust Series 2019-A, Class A1FX, 2.34%, 10/25/2048
(b) |
77,071 | 77,961 | |||
| 304,835 | |||||
|
TOTAL ASSET-BACKED SECURITIES (Cost
$17,998,200) |
18,004,206 | ||||
| FOREIGN GOVERNMENT OBLIGATIONS — 1.6% | |||||
| BRAZIL — 0.2% | |||||
|
Brazil Government International Bond 2.88%,
6/6/2025 |
250,000 | 257,525 |
See accompanying notes to financial statements.
40
SPDR DOUBLELINE SHORT DURATION
TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
June 30,
2021
| Security Description | Principal
Amount |
Value | |||
| COLOMBIA — 0.1% | |||||
|
Colombia Government International Bond 4.50%,
1/28/2026 |
$ 200,000 | $ 218,388 | |||
| INDONESIA — 0.1% | |||||
|
Perusahaan Penerbit SBSN Indonesia III Series REGS, 2.30%,
6/23/2025 |
200,000 | 207,742 | |||
| MALAYSIA — 0.2% | |||||
|
Wakala Global Sukuk Bhd Series REGS, 4.65%,
7/6/2021 |
250,000 | 250,000 | |||
| PANAMA — 0.2% | |||||
|
Panama Government International Bond 3.75%,
3/16/2025 |
250,000 | 272,102 | |||
| PERU — 0.0% (a) | |||||
|
Peruvian Government International Bond 2.39%,
1/23/2026 |
50,000 | 51,608 | |||
| SAUDI ARABIA — 0.2% | |||||
|
Saudi Government International Bond Series REGS, 2.88%,
3/4/2023 |
350,000 | 363,020 | |||
| SOUTH KOREA — 0.3% | |||||
|
Korea Development Bank 1.25%,
6/3/2025 |
200,000 | 201,684 | |||
|
Korea Electric Power Corp. Series REGS, 1.13%,
6/15/2025 |
200,000 | 199,434 | |||
| 401,118 | |||||
| THAILAND — 0.2% | |||||
|
Export Import Bank of Thailand Series EMTN, 3 Month USD LIBOR + 0.85%, 1.00%, 5/23/2024
(c) |
250,000 | 251,315 | |||
| UNITED ARAB EMIRATES — 0.1% | |||||
|
Abu Dhabi Government International Bond Series 144A, 2.50%, 4/16/2025
(b) |
200,000 | 212,542 | |||
|
TOTAL FOREIGN GOVERNMENT OBLIGATIONS (Cost
$2,468,871) |
2,485,360 |
See accompanying notes to financial statements.
41
SPDR DOUBLELINE SHORT DURATION
TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
June 30,
2021
| Security Description | Principal
Amount |
Value | |||
| U.S. GOVERNMENT AGENCY OBLIGATIONS — 25.4% | |||||
| Federal Home Loan Mortgage Corp.: | |||||
|
1.50%
2/1/2036 |
$ 7,668,758 | $ 7,765,598 | |||
|
1.50%,
3/1/2036 |
7,762,447 | 7,858,954 | |||
|
2.00%,
3/1/2036 |
1,696,360 | 1,750,713 | |||
|
2.00%,
5/1/2036 |
2,934,961 | 3,041,916 | |||
|
2.00%,
11/1/2040 |
2,423,733 | 2,472,703 | |||
|
2.00%,
5/1/2041 |
1,488,414 | 1,520,001 | |||
|
3.50%,
9/1/2032 |
371,760 | 397,850 | |||
|
Series 4211, Class AP, 1.60%,
3/15/2043 |
1,227,732 | 1,257,777 | |||
|
Series 4461, Class BA, CMO, 2.00%,
12/15/2043 |
859,081 | 881,907 | |||
|
Series 4030, Class AN, CMO, REMIC, 1.75%,
4/15/2027 |
769,181 | 782,793 | |||
|
Series 4060, Class QA, CMO, REMIC, 1.50%,
9/15/2026 |
190,854 | 192,235 | |||
|
Series 4484, Class CD, CMO, REMIC, 1.75%,
7/15/2030 |
122,083 | 124,972 | |||
|
Series 4582, Class HA, CMO, REMIC, 3.00%,
9/15/2045 |
319,118 | 332,424 | |||
|
Series K722, Class X1, IO, 1.44%, 3/25/2023
(c) |
435,233 | 7,271 | |||
| Federal National Mortgage Association: | |||||
|
1.50%,
2/1/2036 |
1,921,063 | 1,945,312 | |||
|
1.50%,
3/1/2036 |
485,118 | 491,148 | |||
|
1.50%,
5/1/2036 |
1,233,935 | 1,251,589 | |||
|
2.00%,
1/1/2036 |
948,489 | 982,452 | |||
|
2.00%,
2/1/2036 |
1,434,998 | 1,480,518 | |||
|
2.50%,
1/1/2032 |
1,401,006 | 1,469,393 | |||
|
3.00%,
11/1/2033 |
1,049,530 | 1,114,099 | |||
|
3.00%,
11/1/2036 |
248,101 | 261,800 | |||
|
12 Month USD LIBOR + 1.66%, 2.64%, 5/1/2044
(c) |
131,881 | 136,811 | |||
|
Series 2010-141, Class FB, CMO, REMIC, 1 Month USD LIBOR + 0.47%, 0.56%, 12/25/2040
(c) |
209,559 | 211,656 | |||
|
Series 2012-32, Class DA, CMO, REMIC, 2.00%,
11/25/2026 |
895,355 | 911,034 | |||
|
Series 2015-59, Class A, CMO, REMIC, 3.00%,
6/25/2041 |
11,070 | 11,070 | |||
|
Series 2016-8, Class FA, CMO, REMIC, 1 Month USD LIBOR + 0.45%, 0.54%, 3/25/2046
(c) |
363,489 | 366,096 | |||
|
Series 2017-13, Class ML, CMO, REMIC, 3.00%,
8/25/2041 |
2,601 | 2,601 | |||
|
Series 2018-27, Class FJ, CMO, REMIC, 1 Month USD LIBOR + 0.30%, 0.39%, 12/25/2047
(c) |
287,973 | 288,429 | |||
|
Series 2018-45, Class FA, CMO, REMIC, 1 Month USD LIBOR + 0.30%, 0.39%, 6/25/2048
(c) |
327,774 | 328,347 | |||
|
Series 2020-M49, Class 1A1, VRN, 1.30%, 11/25/2030
(c) |
1,094,635 | 1,092,824 | |||
|
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS (Cost
$40,840,794) |
40,732,293 |
See accompanying notes to financial statements.
42
SPDR DOUBLELINE SHORT DURATION
TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
June 30,
2021
| Security Description | Principal
Amount |
Value | |||
| U.S. TREASURY OBLIGATIONS — 21.0% | |||||
| U.S. Treasury Bill: | |||||
|
0.07%,
8/5/2021 |
$ 5,400,000 | $ 5,399,754 | |||
|
0.07%,
2/24/2022 |
3,000,000 | 2,998,909 | |||
|
0.07%,
3/24/2022 |
6,000,000 | 5,997,872 | |||
| U.S. Treasury Note: | |||||
|
1.63%,
4/30/2023 |
5,340,000 | 5,476,212 | |||
|
2.25%,
12/31/2023 |
4,420,000 | 4,628,914 | |||
|
2.75%,
9/15/2021 |
9,100,000 | 9,150,121 | |||
|
TOTAL U.S. TREASURY OBLIGATIONS (Cost
$33,252,837) |
33,651,782 | ||||
| MORTGAGE-BACKED SECURITIES — 6.4% | |||||
|
Alternative Loan Trust Series 2006-41CB, Class 1A3, CMO, 6.00%,
1/25/2037 |
288,025 | 221,624 | |||
| Atrium Hotel Portfolio Trust: | |||||
|
Series 2017-ATRM, Class E, 1 Month USD LIBOR + 3.05%, 3.12%, 12/15/2036
(b)
(c) |
36,000 | 34,629 | |||
|
Series 2018-ATRM, Class A, 1 Month USD LIBOR + 0.95%, 1.02%, 6/15/2035
(b)
(c) |
100,000 | 100,066 | |||
|
Bancorp Commercial Mortgage Trust Series 2019-CRE5, Class A, 1 Month USD LIBOR + 1.00%, 1.07%, 3/15/2036
(b)
(c) |
12,119 | 12,119 | |||
| BANK: | |||||
|
Series 2017-BNK6, Class XA, IO, 0.95%, 7/15/2060
(c) |
1,091,410 | 40,262 | |||
|
Series 2020-BN26, Class XA, IO, VRN, 1.35%, 3/15/2063
(c) |
1,317,401 | 113,098 | |||
| BBCMS Mortgage Trust: | |||||
|
Series 2017-DELC, Class B, 1 Month USD LIBOR + 1.03%, 1.10%, 8/15/2036
(b)
(c) |
124,000 | 124,062 | |||
|
Series 2017-DELC, Class C, 1 Month USD LIBOR + 1.20%, 1.27%, 8/15/2036
(b)
(c) |
17,000 | 17,009 | |||
|
Series 2017-DELC, Class E, 1 Month USD LIBOR + 2.50%, 2.57%, 8/15/2036
(b)
(c) |
38,000 | 37,909 | |||
|
Series 2017-DELC, Class F, 1 Month USD LIBOR + 3.50%, 3.57%, 8/15/2036
(b)
(c) |
38,000 | 37,636 | |||
|
Series 2018-TALL, Class A, 1 Month USD LIBOR + 0.72%, 0.79%, 3/15/2037
(b)
(c) |
101,000 | 100,443 | |||
|
BBCMS Trust Series 2018-BXH, Class A, 1 Month USD LIBOR + 1.00%, 1.07%, 10/15/2037
(b)
(c) |
12,519 | 12,504 | |||
|
BENCHMARK Mortgage Trust Series 2018-B1, Class XA, IO, 0.65%, 1/15/2051
(c) |
2,240,780 | 60,287 |
See accompanying notes to financial statements.
43
SPDR DOUBLELINE SHORT DURATION
TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
June 30,
2021
| Security Description | Principal
Amount |
Value | |||
|
BHMS Series 2018-ATLS, Class A, 1 Month USD LIBOR + 1.25%, 1.32%, 7/15/2035
(b)
(c) |
$ 75,000 | $ 75,070 | |||
| BHP Trust: | |||||
|
Series 2019-BXHP, Class A, 1 Month USD LIBOR + 0.98%, 1.05%, 8/15/2036
(b)
(c) |
64,025 | 64,072 | |||
|
Series 2019-BXHP, Class C, 1 Month USD LIBOR + 1.52%, 1.60%, 8/15/2036
(b)
(c) |
70,000 | 70,022 | |||
|
Braemar Hotels & Resorts Trust Series 2018-PRME, Class A, 1 Month USD LIBOR + 0.82%, 0.89%, 6/15/2035
(b)
(c) |
115,000 | 114,436 | |||
| BX Trust: | |||||
|
Series 2018-BILT, Class A, 1 Month USD LIBOR + 0.80%, 0.87%, 5/15/2030
(b)
(c) |
115,000 | 115,144 | |||
|
Series 2018-EXCL, Class A, 1 Month USD LIBOR + 1.09%, 1.16%, 9/15/2037
(b)
(c) |
12,426 | 12,280 | |||
| Cantor Commercial Real Estate: | |||||
|
Series 2019-CF1, Class 65A, 4.41%, 5/15/2052
(b)
(c) |
163,000 | 169,709 | |||
|
Series 2019-CF1, Class 65B, 4.14%, 5/15/2052
(b)
(c) |
163,000 | 164,248 | |||
|
CF Trust Series 2019-MF1, Class A, 1 Month USD LIBOR + 1.05%, 2.05%, 8/21/2032
(b)
(c) |
100,000 | 99,770 | |||
| Citigroup Commercial Mortgage Trust: | |||||
|
Series 2018-TBR, Class D, 1 Month USD LIBOR + 1.80%, 1.87%, 12/15/2036
(b)
(c) |
95,000 | 94,228 | |||
|
Series 2019-PRM, Class D, 4.35%, 5/10/2036
(b) |
261,000 | 276,659 | |||
|
Series 2016-GC37, Class XA, IO, 1.85%, 4/10/2049
(c) |
433,872 | 28,186 | |||
| COMM Mortgage Trust: | |||||
|
Series 2014-FL5, Class D, 1 Month USD LIBOR + 4.00%, 4.07%, 10/15/2031
(b)
(c) |
100,000 | 95,418 | |||
|
Series 2018-HCLV, Class A, 1 Month USD LIBOR + 1.00%, 1.07%, 9/15/2033
(b)
(c) |
70,000 | 69,732 | |||
|
Series 2015-CR25, Class XA, IO, 0.97%, 8/10/2048
(c) |
1,175,667 | 34,270 | |||
| Credit Suisse Mortgage Capital Certificates: | |||||
|
Series 2017-CHOP, Class D, 1 Month USD LIBOR + 1.90%, 2.22%, 7/15/2032
(b)
(c) |
29,000 | 28,490 | |||
|
Series 2019-ICE4, Class A, 1 Month USD LIBOR + 0.98%, 1.05%, 5/15/2036
(b)
(c) |
102,000 | 102,154 | |||
| CSAIL Commercial Mortgage Trust: | |||||
|
Series 2017-C8, Class XA, IO, 1.37%, 6/15/2050
(c) |
336,444 | 14,181 | |||
|
Series 2017-CX10, Class XA, IO, 0.85%, 11/15/2050
(c) |
985,638 | 34,846 | |||
|
Series 2017-CX9, Class XA, IO, 1.00%, 9/15/2050
(c) |
1,817,004 | 43,426 | |||
| CSMC Mortgage Backed Trust: | |||||
|
Series 2020-FACT, Class C, 1 Month USD LIBOR + 2.60%, 2.67%, 10/15/2037
(b)
(c) |
200,000 | 202,000 | |||
|
Series 2020-RPL3, Class A1, CMO, 2.69%, 3/25/2060
(b)
(c) |
1,170,087 | 1,185,161 |
See accompanying notes to financial statements.
44
SPDR DOUBLELINE SHORT DURATION
TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
June 30,
2021
| Security Description | Principal
Amount |
Value | |||
|
Great Wolf Trust Series 2019-WOLF, Class E, 1 Month USD LIBOR + 2.73%, 2.81%, 12/15/2036
(b)
(c) |
$ 125,000 | $ 122,648 | |||
| GS Mortgage Securities Trust: | |||||
|
Series 2012-ALOH, Class A, 3.55%, 4/10/2034
(b) |
129,000 | 130,489 | |||
|
Series 2018-TWR, Class A, 1 Month USD LIBOR + 0.90%, 0.97%, 7/15/2031
(b)
(c) |
100,000 | 99,706 | |||
|
Series 2018-TWR, Class D, 1 Month USD LIBOR + 1.60%, 1.67%, 7/15/2031
(b)
(c) |
100,000 | 98,612 | |||
|
Series 2017-GS7, Class XA, IO, 1.26%, 8/10/2050
(c) |
387,873 | 19,985 | |||
| JP Morgan Chase Commercial Mortgage Securities Trust: | |||||
|
Series 2018-LAQ, Class A, 1 Month USD LIBOR + 1.00%, 1.07%, 6/15/2032
(b)
(c) |
37,835 | 37,869 | |||
|
Series 2019-MFP, Class A, 1 Month USD LIBOR + 0.96% , 1.03%, 7/15/2036
(b)
(c) |
107,000 | 106,987 | |||
|
Series 2016-JP4, Class XA, IO, 0.81%, 12/15/2049
(c) |
1,539,733 | 38,103 | |||
| JPMBB Commercial Mortgage Securities Trust: | |||||
|
Series 2019-COR5, Class XA, IO, VRN, 1.65%, 6/13/2052
(c) |
1,122,162 | 99,688 | |||
|
Series 2014-C25, Class B, VRN, 4.35%, 11/15/2047
(c) |
150,000 | 161,249 | |||
|
LoanCore 2019-CRE3 Issuer, Ltd. Series 2019-CRE3, Class AS, 1 Month USD LIBOR + 1.37%, 1.44%, 4/15/2034
(b)
(c) |
117,900 | 117,753 | |||
|
MF1 2019-FL2, Ltd. Series 2019-FL2, Class A, 1 Month USD LIBOR + 1.13%, 1.26%, 12/25/2034
(b)
(c) |
42,841 | 42,841 | |||
|
MF1 2020-FL3, Ltd. Series 2020-FL3, Class A, 1 Month USD LIBOR + 2.05%, 2.17%, 7/15/2035
(b)
(c) |
146,955 | 148,331 | |||
| Morgan Stanley Bank of America Merrill Lynch Trust: | |||||
|
Series 2014-C15, Class XA, IO, 1.10%, 4/15/2047
(c) |
749,057 | 14,692 | |||
|
Series 2014-C19, Class LNCX, IO, 0.76%, 12/15/2046
(b)
(c) |
1,176,612 | 22,557 | |||
| Morgan Stanley Capital I Trust: | |||||
|
Series 2018-SUN, Class A, 1 Month USD LIBOR + 0.90%, 0.97%, 7/15/2035
(b)
(c) |
74,000 | 74,095 | |||
|
Series 2019-PLND, Class B, 1 Month USD LIBOR + 1.30%, 1.37%, 5/15/2036
(b)
(c) |
163,000 | 160,035 | |||
|
Series 2019-PLND, Class D, 1 Month USD LIBOR + 1.75%, 1.82%, 5/15/2036
(b)
(c) |
127,000 | 121,760 | |||
|
Series 2016-UB12, Class XA, IO, 0.85%, 12/15/2049
(c) |
1,531,883 | 42,009 | |||
|
Morgan Stanley Captial I Trust Series 2021-L6, 2.13%,
6/15/2054 |
151,000 | 155,526 | |||
|
Motel 6 Trust Series 2017-MTL6, Class D, 1 Month USD LIBOR + 2.15%, 2.22%, 8/15/2034
(b)
(c) |
31,116 | 31,177 | |||
|
MSCG Trust Series 2018-SELF, Class A, 1 Month USD LIBOR + 0.90%, 0.97%, 10/15/2037
(b)
(c) |
79,000 | 79,058 |
See accompanying notes to financial statements.
45
SPDR DOUBLELINE SHORT DURATION
TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
June 30,
2021
| Security Description | Principal
Amount |
Value | |||
| Natixis Commercial Mortgage Securities Trust: | |||||
|
Series 2018-850T, Class C, 1 Month USD LIBOR + 1.15%, 1.23%, 7/15/2033
(b)
(c) |
$ 100,000 | $ 98,754 | |||
|
Series 2018-850T, Class D, 1 Month USD LIBOR + 1.45%, 1.53%, 7/15/2033
(b)
(c) |
100,000 | 96,727 | |||
|
Series 2018-FL1, Class A, 1 Month USD LIBOR + 0.95%, 1.02%, 6/15/2035
(b)
(c) |
92,420 | 91,263 | |||
| PFP, Ltd.: | |||||
|
Series 2019-5, Class A, 1 Month USD LIBOR + 0.97%, 1.04%, 4/14/2036
(b)
(c) |
36,171 | 36,148 | |||
|
Series 2019-6, Class A, 1 Month USD LIBOR + 1.05%, 1.12%, 4/14/2037
(b)
(c) |
68,728 | 68,685 | |||
|
ReadyCap Commercial Mortgage Trust Series 2019-FL3, Class A, 1 Month USD LIBOR + 1.00%, 1.09%, 3/25/2034
(b)
(c) |
53,242 | 53,263 | |||
|
Shelter Growth CRE Issuer, Ltd. Series 2019-FL2, Class B, 1 Month USD LIBOR + 2.30%, 1.87%, 5/15/2036
(b)
(c) |
85,000 | 84,358 | |||
|
Toorak Mortgage Corp., Ltd. Series 2020-1, Class A1, 2.73%, 3/25/2023
(b)
(e) |
1,000,000 | 1,005,244 | |||
| UBS Commercial Mortgage Trust: | |||||
|
Series 2018-NYCH, Class D, 1 Month USD LIBOR + 2.10%, 2.17%, 2/15/2032
(b)
(c) |
261,000 | 260,415 | |||
|
Series 2017-C1, Class XA, IO, 1.68%, 6/15/2050
(c) |
718,730 | 48,617 | |||
|
Velocity Commercial Capital Loan Trust Series 2018-2, Class A, 4.05%, 10/26/2048
(b)
(c) |
502,205 | 521,572 | |||
|
Volt Xcix LLC Series 2021-NPL8, Class A1, 2.12%, 4/25/2051
(b)
(e) |
1,451,240 | 1,454,686 | |||
|
Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-8, Class 2CB3, CMO, 1 Month USD LIBOR + 0.41%, 0.50%, 10/25/2035
(c) |
420,901 | 388,448 | |||
|
Wells Fargo Commercial Mortgage Trust Series 2019-C51, Class XA, IO, VRN, 1.51%, 6/15/2052
(c) |
1,000,068 | 78,166 | |||
|
WFRBS Commercial Mortgage Trust Series 2013-C18, Class XA, IO, 0.95%, 12/15/2046
(c) |
813,178 | 13,481 | |||
|
TOTAL MORTGAGE-BACKED SECURITIES (Cost
$10,716,636) |
10,230,147 | ||||
| COMMERCIAL MORTGAGE BACKED SECURITIES — 1.2% | |||||
|
Arbor Multifamily Mortgage Securities Trust 2021-MF2 Series 2021-MF2, Class A2, 2.02%, 6/15/2054
(b) |
139,000 | 142,072 | |||
|
Bancorp Commercial Mortgage Trust Series 2019-CRE5, Class B, 1 Month USD LIBOR + 1.500%, 1.57%, 3/15/2036
(b)
(c) |
150,000 | 149,910 |
See accompanying notes to financial statements.
46
SPDR DOUBLELINE SHORT DURATION
TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
June 30,
2021
| Security Description | Principal
Amount |
Value | |||
|
BX Trust Series 2021-VIEW, Class A, 1 Month USD LIBOR + 1.28%, 1.43%, 6/15/2023
(b)
(c) |
$ 138,000 | $ 138,178 | |||
| BXMT, Ltd.: | |||||
|
Series 2020-FL2, Class A, 1 Month USD LIBOR + 0.90%, 1.02%, 2/15/2038
(b)
(c) |
138,000 | 137,871 | |||
|
Series 2021-FL4, Class A, 1 Month USD LIBOR + 1.05%, 1.12%, 5/15/2038
(b)
(c) |
138,000 | 138,000 | |||
|
DBGS Mortgage Trust Series 2018-5BP, Class D, 1 Month USD LIBOR + 1.35%, 1.57%, 6/15/2033
(b)
(c) |
136,000 | 135,461 | |||
|
Extended Stay America Trust Series 2021-ESH, Class A, 1 Month USD LIBOR + 1.08%, 1.16%, 7/15/2038
(b) (c)
(d) |
150,000 | 150,295 | |||
|
GPMT, Ltd. Series 2021-FL3, Class A, 1 Month USD LIBOR + 1.25%, 1.33%, 7/16/2035
(b)
(c) |
100,000 | 100,065 | |||
| MF1 Multifamily Housing Mortgage Loan Trust: | |||||
|
Series 2021-FL5, Class A, 1 Month USD LIBOR + 0.85%, 0.97%, 7/15/2036
(b)
(c) |
138,000 | 137,871 | |||
|
Series 2021-FL5, Class AS, 1 Month USD LIBOR + 1.20%, 1.32%, 7/15/2036
(b)
(c) |
138,000 | 137,871 | |||
|
MHC Commercial Mortgage Trust Series 2021-MHC, Class A, 1 Month USD LIBOR + 0.80%, 0.87%, 4/15/2038
(b)
(c) |
150,000 | 150,119 | |||
|
Tharaldson Hotel Portfolio Trust Series 2018-THL, Class B, 1 Month USD LIBOR + 1.25%, 1.33%, 11/11/2034
(b)
(c) |
110,171 | 110,201 | |||
|
TTAN 2021-MHC Series 2021-MHC, Class A, 1 Month USD LIBOR + 0.85%, 0.92%, 3/15/2038
(b)
(c) |
138,000 | 138,158 | |||
| Wells Fargo Commercial Mortgage Trust: | |||||
|
Series 2021-SAVE, Class A, 1 Month USD LIBOR + 1.150%, 1.22%, 2/15/2040
(b)
(c) |
90,902 | 91,297 | |||
|
Series 2021-SAVE, Class B, 1 Month USD LIBOR + 1.450%, 1.52%, 2/15/2040
(b)
(c) |
90,902 | 91,190 | |||
|
TOTAL COMMERCIAL MORTGAGE BACKED SECURITIES (Cost
$1,946,527) |
1,948,559 |
| Shares | |||
| SHORT-TERM INVESTMENT — 9.1% | |||
|
State Street Institutional U.S. Government Money Market Fund, Class G Shares 0.03% (f) (g) (Cost
$14,576,244) |
14,576,244 | 14,576,244 | |
|
TOTAL INVESTMENTS — 103.0% (Cost
$164,634,897) |
164,985,631 | ||
|
LIABILITIES IN EXCESS OF OTHER ASSETS — (3.0)%
|
(4,746,957) | ||
|
NET ASSETS —
100.0% |
$ 160,238,674 | ||
See
accompanying notes to financial statements.
47
SPDR DOUBLELINE SHORT DURATION
TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
June 30,
2021
| (a) | Amount is less than 0.05% of net assets. |
| (b) | Securities purchased pursuant to Rule 144A of the Securities Act of 1933, as amended. These securities, which represent 24.9% of net assets as of June 30, 2021, are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
| (c) | Variable Rate Security - Interest rate shown is rate in effect at June 30, 2021. For securities based on a published reference rate and spread, the reference rate and spread are indicated in the description above. |
| (d) | When-issued security. |
| (e) | Step-up bond - Coupon rate increases in increments to maturity. Rate shown as of June 30, 2021. Maturity date shown is the final maturity. |
| (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, 2021 are shown in the Affiliate Table below. |
| (g) | The rate shown is the annualized seven-day yield at June 30, 2021. |
| ABS | Asset-Backed Security |
| CLO | Collateralized Loan Obligation |
| 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 |
| REIT | Real Estate Investment Trust |
| REMIC | Real Estate Mortgage Investment Conduit |
| SOFR | Secured Overnight Financing Rate |
| VRN | Variable Rate Note |
The following table
summarizes the value of the Fund's investments according to the fair value hierarchy as of June 30, 2021.
| Description | Level
1 – Quoted Prices |
Level
2 – Other Significant Observable Inputs |
Level
3 – Significant Unobservable Inputs |
Total | ||||
| ASSETS: | ||||||||
| INVESTMENTS: | ||||||||
|
Corporate Bonds &
Notes |
$ — | $ 43,357,040 | $— | $ 43,357,040 | ||||
|
Asset-Backed
Securities |
— | 18,004,206 | — | 18,004,206 | ||||
|
Foreign Government
Obligations |
— | 2,485,360 | — | 2,485,360 | ||||
|
U.S. Government Agency
Obligations |
— | 40,732,293 | — | 40,732,293 | ||||
|
U.S. Treasury
Obligations |
— | 33,651,782 | — | 33,651,782 | ||||
|
Mortgage-Backed
Securities |
— | 10,230,147 | — | 10,230,147 | ||||
|
Commercial Mortgage Backed
Securities |
— | 1,948,559 | — | 1,948,559 | ||||
|
Short-Term
Investment |
14,576,244 | — | — | 14,576,244 | ||||
|
TOTAL
INVESTMENTS |
$14,576,244 | $150,409,387 | $— | $164,985,631 |
See accompanying notes to financial statements.
48
SPDR DOUBLELINE SHORT DURATION
TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
June 30,
2021
Affiliate Table
| Number
of Shares Held at 6/30/20 |
Value
at 6/30/20 |
Cost
of Purchases |
Proceeds
from Shares Sold |
Realized
Gain (Loss) |
Change
in Unrealized Appreciation/ Depreciation |
Number
of Shares Held at 6/30/21 |
Value
at 6/30/21 |
Dividend
Income | |||||||||
|
State Street Institutional U.S. Government Money Market Fund, Class G
Shares |
3,357,926 | $3,357,926 | $76,451,191 | $65,232,873 | $— | $— | 14,576,244 | $14,576,244 | $3,418 |
See accompanying notes to financial statements.
49
SPDR DOUBLELINE TOTAL RETURN
TACTICAL ETF
SCHEDULE OF INVESTMENTS
June 30, 2021
| Security Description | Principal
Amount |
Value | |||
| CORPORATE BONDS & NOTES — 14.5% | |||||
| ARGENTINA — 0.1% | |||||
|
AES Argentina Generacion SA Series REGS, 7.75%,
2/2/2024 |
$ 500,000 | $ 425,520 | |||
| Banco Macro SA: | |||||
|
USD 5 Year Swap Rate + 5.46%, 6.75%, 11/4/2026
(a)
(b) |
450,000 | 374,364 | |||
|
Series REGS, USD 5 Year Swap Rate + 5.46%, 6.75%, 11/4/2026
(b) |
1,150,000 | 956,708 | |||
| Pampa Energia SA: | |||||
|
Series REGS, 7.50%,
1/24/2027 |
2,000,000 | 1,802,940 | |||
|
Series REGS, 9.13%,
4/15/2029 |
150,000 | 136,815 | |||
| 3,696,347 | |||||
| AUSTRALIA — 0.2% | |||||
|
Glencore Funding LLC 1.63%, 4/27/2026
(a) |
1,900,000 | 1,905,738 | |||
| Macquarie Group, Ltd.: | |||||
|
3 Month USD LIBOR + 1.33%, 4.15%, 3/27/2024
(a)
(b) |
1,810,000 | 1,916,319 | |||
|
SOFR + 0.91%, 1.63%, 9/23/2027
(a)
(b) |
1,915,000 | 1,906,019 | |||
| 5,728,076 | |||||
| BELGIUM — 0.1% | |||||
|
Anheuser-Busch InBev Worldwide, Inc. 5.55%,
1/23/2049 |
1,405,000 | 1,931,819 | |||
| BRAZIL — 0.4% | |||||
|
Banco BTG Pactual SA 5 Year CMT + 5.26%, 7.75%, 2/15/2029
(a)
(b) |
400,000 | 436,636 | |||
|
Banco do Brasil SA Series REGS, 10 Year CMT + 4.40%, 6.25%, 4/15/2024
(b) |
200,000 | 204,408 | |||
|
Banco do Estado do Rio Grande do Sul SA Series REGS, VRN, 5 year CMT + 4.93%, 5.38%, 1/28/2031
(b) |
700,000 | 715,869 | |||
|
Braskem Netherlands Finance BV VRN, 5 year CMT + 8.22%, 8.50%, 1/23/2081
(a)
(b) |
800,000 | 933,768 | |||
|
Cosan Overseas, Ltd. 8.25%,
8/5/2021 |
4,314,000 | 4,421,850 |
See accompanying notes to financial statements.
50
SPDR DOUBLELINE TOTAL RETURN
TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
June 30,
2021
| Security Description | Principal
Amount |
Value | |||
|
CSN Islands XII Corp. Series REGS, 7.00%,
9/23/2021 |
$ 1,750,000 | $ 1,764,735 | |||
| Itau Unibanco Holding SA: | |||||
|
VRN, 5 Year CMT + 3.22%, 4.63%, 2/27/2025
(a)
(b) |
200,000 | 192,522 | |||
|
Series REGS, VRN, 5 year CMT + 3.22%, 4.63%, 2/27/2025
(b) |
200,000 | 192,522 | |||
|
Minerva Luxembourg SA 4.38%, 3/18/2031
(a) |
1,200,000 | 1,192,920 | |||
| Petrobras Global Finance B.V.: | |||||
|
5.50%,
6/10/2051 |
300,000 | 300,045 | |||
|
6.75%,
6/3/2050 |
2,600,000 | 3,035,500 | |||
|
Suzano Austria GmbH 3.13%, 1/15/2032
(c) |
350,000 | 346,356 | |||
| 13,737,131 | |||||
| CANADA — 0.5% | |||||
| Bank of Nova Scotia: | |||||
|
1.63%,
5/1/2023 |
1,485,000 | 1,518,116 | |||
|
3.40%,
2/11/2024 |
400,000 | 428,356 | |||
| Bombardier, Inc.: | |||||
|
6.00%, 10/15/2022
(a) |
300,000 | 300,444 | |||
|
7.88%, 4/15/2027
(a) |
350,000 | 362,824 | |||
|
Canadian Natural Resources, Ltd. 2.95%,
1/15/2023 |
1,945,000 | 2,015,214 | |||
| Garda World Security Corp.: | |||||
|
4.63%, 2/15/2027
(a) |
615,000 | 617,386 | |||
|
6.00%, 6/1/2029
(a) |
480,000 | 476,002 | |||
| GFL Environmental, Inc.: | |||||
|
3.75%, 8/1/2025
(a) |
275,000 | 282,516 | |||
|
4.00%, 8/1/2028
(a) |
585,000 | 578,144 | |||
|
Intelligent Packaging, Ltd. Finco, Inc./Intelligent Packaging, Ltd. Co-Issuer LLC 6.00%, 9/15/2028
(a) |
225,000 | 234,740 | |||
| Kronos Acquisition Holdings, Inc./KIK Custom Products, Inc.: | |||||
|
5.00%, 12/31/2026
(a) |
975,000 | 994,315 | |||
|
7.00%, 12/31/2027
(a) |
525,000 | 526,738 | |||
|
Mattamy Group Corp. 4.63%, 3/1/2030
(a) |
395,000 | 404,247 | |||
| MEG Energy Corp.: | |||||
|
5.88%, 2/1/2029
(a) |
95,000 | 99,811 | |||
|
7.13%, 2/1/2027
(a) |
460,000 | 490,889 |
See accompanying notes to financial statements.
51
SPDR DOUBLELINE TOTAL RETURN
TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
June 30,
2021
| Security Description | Principal
Amount |
Value | |||
|
Parkland Corp. 4.50%, 10/1/2029
(a) |
$ 435,000 | $ 441,751 | |||
|
Primo Water Holdings, Inc. 4.38%, 4/30/2029
(a) |
475,000 | 475,095 | |||
|
Royal Bank of Canada Series GMTN, 2.55%,
7/16/2024 |
4,135,000 | 4,362,921 | |||
|
Superior Plus L.P./Superior General Partner, Inc. 4.50%, 3/15/2029
(a) |
615,000 | 633,345 | |||
| Telesat Canada/Telesat LLC: | |||||
|
4.88%, 6/1/2027
(a) |
255,000 | 246,911 | |||
|
6.50%, 10/15/2027
(a) |
260,000 | 247,728 | |||
|
Tervita Corp. 11.00%, 12/1/2025
(a) |
395,000 | 441,966 | |||
|
Titan Acquisition, Ltd./Titan Co-Borrower LLC 7.75%, 4/15/2026
(a) |
155,000 | 160,702 | |||
| 16,340,161 | |||||
| CAYMAN ISLANDS — 0.0% (d) | |||||
|
Global Aircraft Leasing Co., Ltd. PIK, 6.50%, 9/15/2024
(a) |
563,752 | 565,387 | |||
| CHILE — 0.3% | |||||
| AES Gener SA: | |||||
|
5 Year CMT + 4.92%, 6.35%, 10/7/2079
(a)
(b) |
200,000 | 213,486 | |||
|
USD 5 Year Swap Rate + 4.64%, 7.13%, 3/26/2079
(a)
(b) |
400,000 | 428,992 | |||
|
Series REGS, USD 5 Year Swap Rate + 4.64%, 7.13%, 3/26/2079
(b) |
1,600,000 | 1,715,968 | |||
|
Antofagasta PLC Series REGS, 2.38%,
10/14/2030 |
600,000 | 578,562 | |||
|
CAP SA 3.90%, 4/27/2031
(a) |
600,000 | 600,168 | |||
|
Chile Electricity PEC SpA Zero Coupon%, 1/25/2028
(a) |
1,200,000 | 972,312 | |||
|
Empresa Electrica Angamos SA Series REGS, 4.88%,
5/25/2029 |
1,391,000 | 1,397,955 | |||
|
Empresa Electrica Cochrane SpA Series REGS, 5.50%,
5/14/2027 |
894,390 | 926,409 | |||
|
Empresa Electrica Guacolda SA Series REGS, 4.56%,
4/30/2025 |
1,900,000 | 1,355,707 |
See accompanying notes to financial statements.
52
SPDR DOUBLELINE TOTAL RETURN
TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
June 30,
2021
| Security Description | Principal
Amount |
Value | |||
|
VTR Finance NV Series REGS, 6.38%,
7/15/2028 |
$ 200,000 | $ 212,962 | |||
| 8,402,521 | |||||
| CHINA — 0.2% | |||||
|
Baidu, Inc. 3.43%,
4/7/2030 |
200,000 | 216,942 | |||
|
ENN Energy Holdings, Ltd. 3.25%,
7/24/2022 |
200,000 | 204,144 | |||
|
JD.com, Inc. 3.38%,
1/14/2030 |
1,800,000 | 1,922,562 | |||
|
State Grid Overseas Investment 2013, Ltd. Series REGS, 3.13%,
5/22/2023 |
500,000 | 521,660 | |||
|
State Grid Overseas Investment 2016, Ltd. Series EMTN, 1.00%,
8/5/2025 |
200,000 | 197,576 | |||
|
Tencent Holdings, Ltd. 2.39%, 6/3/2030
(a) |
2,100,000 | 2,092,545 | |||
| 5,155,429 | |||||
| COLOMBIA — 0.2% | |||||
|
AI Candelaria Spain SLU 5.75%, 6/15/2033
(a) |
900,000 | 926,721 | |||
|
Banco Davivienda SA VRN, 10 Year CMT + 5.08%, 6.65%, 4/22/2031
(a)
(b) |
600,000 | 628,806 | |||
| Empresas Publicas de Medellin ESP: | |||||
|
Series REGS, 4.25%,
7/18/2029 |
1,100,000 | 1,096,491 | |||
|
Series REGS, 4.38%,
2/15/2031 |
800,000 | 792,080 | |||
|
Gran Tierra Energy International Holdings, Ltd. Series REGS, 6.25%,
2/15/2025 |
2,600,000 | 2,308,540 | |||
|
Grupo Aval, Ltd. 4.38%, 2/4/2030
(a) |
300,000 | 296,373 | |||
| 6,049,011 | |||||
| DOMINICAN REPUBLIC — 0.1% | |||||
|
Banco de Reservas de la Republica Dominicana Series REGS, 7.00%,
2/1/2023 |
1,900,000 | 1,993,746 | |||
|
Empresa Generadora de Electricidad Itabo SA 7.95%, 5/11/2026
(a) |
918,000 | 924,940 | |||
| 2,918,686 |
See accompanying notes to financial statements.
53
SPDR DOUBLELINE TOTAL RETURN
TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
June 30,
2021
| Security Description | Principal
Amount |
Value | |||
| FRANCE — 0.1% | |||||
| Altice France SA: | |||||
|
5.13%, 7/15/2029
(a) |
$ 680,000 | $ 687,773 | |||
|
7.38%, 5/1/2026
(a) |
321,000 | 333,692 | |||
|
TotalEnergies Capital International SA 3.39%,
6/29/2060 |
1,975,000 | 2,085,442 | |||
| 3,106,907 | |||||
| GERMANY — 0.0% (d) | |||||
|
TK Elevator US Newco, Inc. 5.25%, 7/15/2027
(a) |
700,000 | 737,387 | |||
| GUATEMALA — 0.0% (d) | |||||
|
Investment Energy Resources, Ltd. 6.25%, 4/26/2029
(a) |
250,000 | 270,477 | |||
| INDIA — 0.3% | |||||
|
Adani International Container Terminal Pvt., Ltd. Series REGS, 3.00%,
2/16/2031 |
300,000 | 289,567 | |||
|
Adani Ports & Special Economic Zone, Ltd. Series REGS, 4.38%,
7/3/2029 |
400,000 | 417,776 | |||
|
JSW Hydro Energy, Ltd. 4.13%, 5/18/2031
(a) |
400,000 | 405,200 | |||
|
Network i2i, Ltd. 5 Year CMT + 4.28%, 5.65%, 1/15/2025
(a)
(b) |
900,000 | 960,912 | |||
|
ONGC Videsh Vankorneft Pte, Ltd. 3.75%,
7/27/2026 |
2,200,000 | 2,344,415 | |||
|
UPL Corp., Ltd. 4.50%,
3/8/2028 |
1,300,000 | 1,393,288 | |||
|
Vedanta Resources Finance II PLC 9.25%, 4/23/2026
(a) |
1,400,000 | 1,231,832 | |||
|
Vedanta Resources, Ltd. Series REGS, 6.13%,
8/9/2024 |
2,400,000 | 2,012,640 | |||
| 9,055,630 | |||||
| INDONESIA — 0.1% | |||||
|
Medco Bell Pte, Ltd. 6.38%, 1/30/2027
(a) |
600,000 | 619,548 | |||
| Minejesa Capital B.V.: | |||||
|
Series REGS, 4.63%,
8/10/2030 |
1,200,000 | 1,271,604 |
See accompanying notes to financial statements.
54
SPDR DOUBLELINE TOTAL RETURN
TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
June 30,
2021
| Security Description | Principal
Amount |
Value | |||
|
Series REGS, 5.63%,
8/10/2037 |
$ 2,200,000 | $ 2,385,922 | |||
| 4,277,074 | |||||
| IRELAND — 0.1% | |||||
| Avolon Holdings Funding, Ltd.: | |||||
|
2.13%, 2/21/2026
(a) |
1,065,000 | 1,055,703 | |||
|
3.25%, 2/15/2027
(a) |
850,000 | 877,098 | |||
| 1,932,801 | |||||
| JAMAICA — 0.0% (d) | |||||
| Digicel Group Holdings, Ltd.: | |||||
|
PIK, 7.00%, 10/1/2169
(a) |
611,353 | 472,332 | |||
|
PIK, 8.00%, 4/1/2025
(a) |
835,317 | 708,407 | |||
| 1,180,739 | |||||
| JAPAN — 0.1% | |||||
|
Mitsubishi UFJ Financial Group, Inc. 3 Month USD LIBOR + 0.74%, 0.87%, 3/2/2023
(b) |
1,845,000 | 1,860,480 | |||
| KUWAIT — 0.0% (d) | |||||
|
MEGlobal Canada ULC 5.00%, 5/18/2025
(a) |
500,000 | 560,485 | |||
| LUXEMBOURG — 0.0% (d) | |||||
|
Altice Financing SA 5.00%, 1/15/2028
(a) |
240,000 | 236,181 | |||
|
Altice France Holding SA 6.00%, 2/15/2028
(a) |
430,000 | 427,433 | |||
|
ARD Finance SA PIK, 6.50%, 6/30/2027
(a) |
200,000 | 209,856 | |||
| 873,470 | |||||
| MALAYSIA — 0.1% | |||||
|
Malayan Banking Bhd USD 5 Year Swap Rate + 2.54%, 3.91%, 10/29/2026
(b) |
2,500,000 | 2,518,400 | |||
| Petronas Capital, Ltd.: | |||||
|
2.48%, 1/28/2032
(a) |
200,000 | 201,064 | |||
|
3.50%, 4/21/2030
(a) |
400,000 | 437,516 | |||
| 3,156,980 |
See accompanying notes to financial statements.
55
SPDR DOUBLELINE TOTAL RETURN
TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
June 30,
2021
| Security Description | Principal
Amount |
Value | |||
| MEXICO — 0.3% | |||||
| Banco Mercantil del Norte SA: | |||||
|
10 year CMT + 5.47%, 7.50%, 6/27/2029
(a)
(b) |
$ 1,600,000 | $ 1,809,376 | |||
|
Series REGS, 10 Year CMT + 5.35%, 7.63%, 10/6/2169
(b) |
800,000 | 906,576 | |||
|
BBVA Bancomer SA Series REGS, 5 Year CMT + 2.65%, 5.13%, 1/18/2033
(b) |
1,600,000 | 1,669,904 | |||
| Credito Real SAB de CV: | |||||
|
9.50%, 2/7/2026
(a) |
600,000 | 561,894 | |||
|
Series REGS, 5 Year CMT + 7.03%, 9.13%, 11/29/2022
(b) |
1,500,000 | 1,059,165 | |||
|
Grupo Idesa SA de CV PIK, 10.13%, 5/22/2026
(a) |
1,509,859 | 862,311 | |||
|
Mexarrend SAPI de CV 10.25%, 7/24/2024
(a) |
1,182,000 | 1,110,548 | |||
|
Unifin Financiera SAB de CV Series REGS, 5 Year CMT + 6.31%, 8.88%, 1/29/2025
(b) |
3,700,000 | 2,764,862 | |||
| 10,744,636 | |||||
| NETHERLANDS — 0.0% (d) | |||||
|
Nouryon Holding B.V. 8.00%, 10/1/2026
(a) |
150,000 | 159,000 | |||
| PANAMA — 0.2% | |||||
| AES Panama Generation Holdings SRL: | |||||
|
4.38%, 5/31/2030
(a) |
300,000 | 314,079 | |||
|
Series REGS, 4.38%,
5/31/2030 |
600,000 | 628,158 | |||
|
Banco General SA VRN, 10 Year CMT + 3.67%, 5.25%, 5/7/2031
(a)
(b) |
1,000,000 | 1,038,700 | |||
|
Banco Nacional de Panama 2.50%, 8/11/2030
(a) |
300,000 | 290,328 | |||
|
Global Bank Corp. 3 Month USD LIBOR + 3.30%, 5.25%, 4/16/2029
(a)
(b) |
1,400,000 | 1,473,290 | |||
| UEP Penonome II SA: | |||||
|
6.50%, 10/1/2038
(a) |
838,075 | 859,287 | |||
|
Series REGS, 6.50%,
10/1/2038 |
394,388 | 404,370 | |||
| 5,008,212 |
See accompanying notes to financial statements.
56
SPDR DOUBLELINE TOTAL RETURN
TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
June 30,
2021
| Security Description | Principal
Amount |
Value | |||
| PERU — 0.2% | |||||
| Banco de Credito del Peru: | |||||
|
VRN, 5 year CMT + 3.00%, 3.13%, 7/1/2030
(a)
(b) |
$ 700,000 | $ 696,192 | |||
|
5 year CMT + 3.00%, 3.13%, 7/1/2030
(b) |
300,000 | 298,368 | |||
|
Banco Internacional del Peru SAA Interbank Series REGS, VRN, 1 year CMT + 3.71%, 4.00%, 7/8/2030
(b) |
1,200,000 | 1,184,304 | |||
|
Fenix Power Peru SA Series REGS, 4.32%,
9/20/2027 |
344,706 | 350,607 | |||
|
Hunt Oil Co. of Peru LLC Sucursal Del Peru Series REGS, 6.38%,
6/1/2028 |
1,100,000 | 1,159,521 | |||
|
Nexa Resources SA Series REGS, 5.38%,
5/4/2027 |
400,000 | 429,712 | |||
|
Orazul Energy Egenor SCA 5.63%,
4/28/2027 |
200,000 | 206,400 | |||
|
Peru LNG S.r.l. Series REGS, 5.38%,
3/22/2030 |
1,900,000 | 1,636,489 | |||
|
Scotiabank Peru SAA Series REGS, 3 Month USD LIBOR + 3.86%, 4.50%, 12/13/2027
(b) |
200,000 | 204,664 | |||
| 6,166,257 | |||||
| PHILIPPINES — 0.1% | |||||
|
BDO Unibank, Inc. Series EMTN, 2.95%,
3/6/2023 |
3,000,000 | 3,098,400 | |||
| QATAR — 0.0% (d) | |||||
| Ooredoo International Finance, Ltd.: | |||||
|
Series REGS, 3.25%,
2/21/2023 |
300,000 | 312,756 | |||
|
Series REGS, 3.75%,
6/22/2026 |
200,000 | 220,606 | |||
| 533,362 | |||||
| SAUDI ARABIA — 0.0% (d) | |||||
|
SA Global Sukuk, Ltd. 2.69%, 6/17/2031
(a) |
600,000 | 606,978 | |||
| SINGAPORE — 0.4% | |||||
|
Avation Capital SA PIK, 8.25%, 10/31/2026
(a) |
260,000 | 214,224 |
See accompanying notes to financial statements.
57
SPDR DOUBLELINE TOTAL RETURN
TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
June 30,
2021
| Security Description | Principal
Amount |
Value | |||
| DBS Group Holdings, Ltd.: | |||||
|
Series GMTN, USD 5 Year Swap Rate + 2.39%, 3.60%, 9/7/2021
(b) |
$ 3,000,000 | $ 3,007,500 | |||
|
Series GMTN, VRN, 5 year CMT + 1.10%, 1.82%, 3/10/2031
(b) |
400,000 | 398,672 | |||
|
Series REGS, VRN, USD 5 year ICE Swap Rate + 1.59%, 4.52%, 12/11/2028
(b) |
500,000 | 539,395 | |||
| Oversea-Chinese Banking Corp., Ltd.: | |||||
|
VRN, 5 year CMT + 1.58%, 1.83%, 9/10/2030
(a)
(b) |
700,000 | 699,496 | |||
|
Series REGS, VRN, 5 year CMT + 1.58%, 1.83%, 9/10/2030
(b) |
900,000 | 899,352 | |||
|
PSA Treasury Pte, Ltd. Series GMTN, 2.13%,
9/5/2029 |
1,100,000 | 1,121,241 | |||
| Temasek Financial I, Ltd.: | |||||
|
1.00%, 10/6/2030
(a) |
2,900,000 | 2,719,591 | |||
|
Series REGS, 1.00%,
10/6/2030 |
250,000 | 234,448 | |||
| United Overseas Bank, Ltd.: | |||||
|
Series EMTN, USD 5 Year Swap Rate + 1.79%, 3.88%, 10/19/2023
(b) |
400,000 | 416,700 | |||
|
Series EMTN, USD 5 Year Swap Rate + 2.24%, 3.50%, 9/16/2026
(b) |
2,000,000 | 2,009,400 | |||
| 12,260,019 | |||||
| SOUTH KOREA — 0.2% | |||||
| Korea East-West Power Co., Ltd.: | |||||
|
1.75%, 5/6/2025
(a) |
300,000 | 306,294 | |||
|
Series REGS, 1.75%,
5/6/2025 |
1,800,000 | 1,837,764 | |||
| KT Corp.: | |||||
|
1.00%,
9/1/2025 |
200,000 | 197,936 | |||
|
Series REGS, 2.50%,
7/18/2026 |
1,000,000 | 1,048,980 | |||
|
LG Chem, Ltd. 2.38%, 7/7/2031
(a)
(c) |
250,000 | 249,215 | |||
|
NongHyup Bank 1.25%, 7/20/2025
(a) |
1,000,000 | 1,001,030 | |||
| POSCO: | |||||
|
Series REGS, 2.38%,
1/17/2023 |
700,000 | 716,681 | |||
|
Series REGS, 2.75%,
7/15/2024 |
800,000 | 840,784 |
See accompanying notes to financial statements.
58
SPDR DOUBLELINE TOTAL RETURN
TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
June 30,
2021
| Security Description | Principal
Amount |
Value | |||
|
Shinhan Financial Group Co., Ltd. VRN, 5 year CMT + 2.06%, 2.88%, 5/12/2026
(a)
(b) |
$ 900,000 | $ 895,464 | |||
|
Woori Bank Series REGS, VRN, 5 year CMT + 2.66%, 4.25%, 10/4/2024
(b) |
1,000,000 | 1,038,360 | |||
| 8,132,508 | |||||
| THAILAND — 0.1% | |||||
|
Bangkok Bank PCL VRN, 5.00%,
12/31/2051 |
900,000 | 951,174 | |||
|
Kasikornbank PCL Series EMTN, VRN, 5 year CMT + 4.94%, 5.28%, 10/14/2025
(b) |
700,000 | 740,600 | |||
|
PTTEP Treasury Center Co., Ltd. 2.59%, 6/10/2027
(a) |
200,000 | 207,402 | |||
| 1,899,176 | |||||
| UNITED ARAB EMIRATES — 0.1% | |||||
| Galaxy Pipeline Assets Bidco, Ltd.: | |||||
|
2.16%, 3/31/2034
(a) |
2,200,000 | 2,163,018 | |||
|
Series REGS, 2.63%,
3/31/2036 |
1,000,000 | 980,921 | |||
| 3,143,939 | |||||
| UNITED KINGDOM — 0.1% | |||||
|
BAT Capital Corp. 2.73%,
3/25/2031 |
1,970,000 | 1,940,391 | |||
|
CK Hutchison International 20, Ltd. 2.50%, 5/8/2030
(a) |
1,000,000 | 1,023,090 | |||
|
eG Global Finance PLC 8.50%, 10/30/2025
(a) |
615,000 | 649,827 | |||
|
Virgin Media Finance PLC 5.00%, 7/15/2030
(a) |
605,000 | 609,931 | |||
| 4,223,239 | |||||
| UNITED STATES — 9.9% | |||||
|
AbbVie, Inc. 3.85%,
6/15/2024 |
1,820,000 | 1,973,353 | |||
|
Academy, Ltd. 6.00%, 11/15/2027
(a) |
385,000 | 411,973 | |||
|
Acrisure LLC/Acrisure Finance, Inc. 4.25%, 2/15/2029
(a) |
445,000 | 439,259 | |||
|
Activision Blizzard, Inc. 2.50%,
9/15/2050 |
2,140,000 | 1,923,582 | |||
|
Acuris Finance Us, Inc./Acuris Finance SARL 5.00%, 5/1/2028
(a) |
675,000 | 673,488 |
See accompanying notes to financial statements.
59
SPDR DOUBLELINE TOTAL RETURN
TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
June 30,
2021
| Security Description | Principal
Amount |
Value | |||
|
Advanced Drainage Systems, Inc. 5.00%, 9/30/2027
(a) |
$ 370,000 | $ 386,413 | |||
|
AEP Texas, Inc. Series H, 3.45%,
1/15/2050 |
1,280,000 | 1,327,475 | |||
|
Aethon United BR L.P./Aethon United Finance Corp. 8.25%, 2/15/2026
(a) |
305,000 | 330,349 | |||
|
Air Lease Corp. 3.25%,
3/1/2025 |
1,965,000 | 2,093,825 | |||
|
Air Methods Corp. 8.00%, 5/15/2025
(a) |
358,000 | 338,317 | |||
|
Alexandria Real Estate Equities, Inc. 1.88%,
2/1/2033 |
2,535,000 | 2,399,301 | |||
|
Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer 6.75%, 10/15/2027
(a) |
390,000 | 410,058 | |||
| Allied Universal Holdco LLC/Allied Universal Finance Corp.: | |||||
|
6.63%, 7/15/2026
(a) |
355,000 | 376,414 | |||
|
9.75%, 7/15/2027
(a) |
680,000 | 749,054 | |||
|
Allison Transmission, Inc. 3.75%, 1/30/2031
(a) |
360,000 | 353,246 | |||
| Ambience Merger Sub, Inc.: | |||||
|
4.88%, 7/15/2028
(a)
(c) |
115,000 | 115,288 | |||
|
7.13%, 7/15/2029
(a)
(c) |
245,000 | 247,212 | |||
|
American Airlines, Inc./AAdvantage Loyalty IP, Ltd. 5.75%, 4/20/2029
(a) |
645,000 | 697,516 | |||
|
American Axle & Manufacturing, Inc. 6.25%,
3/15/2026 |
325,000 | 335,166 | |||
|
Amgen, Inc. 2.45%,
2/21/2030 |
1,795,000 | 1,850,465 | |||
|
Antero Midstream Partners L.P./Antero Midstream Finance Corp. 5.75%, 3/1/2027
(a) |
300,000 | 312,036 | |||
|
Antero Resources Corp. 5.38%, 3/1/2030
(a) |
330,000 | 336,765 | |||
|
Anthem, Inc. 3.30%,
1/15/2023 |
1,862,000 | 1,942,736 | |||
| Apache Corp.: | |||||
|
4.38%,
10/15/2028 |
355,000 | 378,079 | |||
|
4.63%,
11/15/2025 |
200,000 | 215,514 | |||
|
APi Group DE, Inc. 4.13%, 7/15/2029
(a) |
390,000 | 388,147 | |||
|
Apple, Inc. 1.25%,
8/20/2030 |
4,005,000 | 3,840,435 |
See accompanying notes to financial statements.
60
SPDR DOUBLELINE TOTAL RETURN
TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
June 30,
2021
| Security Description | Principal
Amount |
Value | |||
|
Arches Buyer, Inc. 4.25%, 6/1/2028
(a) |
$ 130,000 | $ 129,249 | |||
|
Arconic Corp. 6.13%, 2/15/2028
(a) |
860,000 | 922,221 | |||
|
Ardagh Metal Packaging Finance USA LLC/Ardagh Metal Packaging Finance PLC 4.00%, 9/1/2029
(a) |
835,000 | 828,704 | |||
|
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. 5.25%, 8/15/2027
(a) |
300,000 | 306,207 | |||
|
Arrow Electronics, Inc. 3.88%,
1/12/2028 |
1,667,000 | 1,867,257 | |||
| Asbury Automotive Group, Inc.: | |||||
|
4.50%,
3/1/2028 |
1,182,000 | 1,222,720 | |||
|
4.75%,
3/1/2030 |
357,000 | 373,204 | |||
|
Ascend Learning LLC 6.88%, 8/1/2025
(a) |
1,030,000 | 1,049,049 | |||
| AssuredPartners, Inc.: | |||||
|
5.63%, 1/15/2029
(a) |
60,000 | 60,122 | |||
|
7.00%, 8/15/2025
(a) |
952,000 | 971,944 | |||
| AT&T, Inc.: | |||||
|
2.25%,
2/1/2032 |
1,935,000 | 1,901,892 | |||
|
2.75%,
6/1/2031 |
475,000 | 493,805 | |||
|
3.30%,
2/1/2052 |
950,000 | 925,281 | |||
|
Athene Holding, Ltd. 3.95%,
5/25/2051 |
1,755,000 | 1,878,885 | |||
|
Atkore, Inc. 4.25%, 6/1/2031
(a) |
325,000 | 329,209 | |||
|
Austin BidCo, Inc. 7.13%, 12/15/2028
(a) |
155,000 | 158,749 | |||
|
Avantor Funding, Inc. 4.63%, 7/15/2028
(a) |
720,000 | 759,859 | |||
|
Avaya, Inc. 6.13%, 9/15/2028
(a) |
755,000 | 808,099 | |||
|
Axalta Coating Systems LLC/Axalta Coating Systems Dutch Holding B B.V. 4.75%, 6/15/2027
(a) |
655,000 | 686,702 | |||
|
B&G Foods, Inc. 5.25%,
9/15/2027 |
240,000 | 250,063 | |||
|
Bally's Corp. 6.75%, 6/1/2027
(a) |
740,000 | 789,055 | |||
|
Banff Merger Sub, Inc. 9.75%, 9/1/2026
(a) |
150,000 | 158,124 |
See accompanying notes to financial statements.
61
SPDR DOUBLELINE TOTAL RETURN
TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
June 30,
2021
| Security Description | Principal
Amount |
Value | |||
|
Bank of America Corp. Series MTN, SOFR + 1.53%, 1.90%, 7/23/2031
(b) |
$ 2,960,000 | $ 2,872,177 | |||
| Bausch Health Cos., Inc.: | |||||
|
4.88%, 6/1/2028
(a) |
420,000 | 429,517 | |||
|
5.25%, 1/30/2030
(a) |
390,000 | 363,862 | |||
|
6.25%, 2/15/2029
(a) |
300,000 | 296,673 | |||
|
7.00%, 1/15/2028
(a) |
535,000 | 552,387 | |||
|
Beacon Roofing Supply, Inc. 4.13%, 5/15/2029
(a) |
170,000 | 169,179 | |||
|
Becton Dickinson and Co. 2.89%,
6/6/2022 |
2,874,000 | 2,936,711 | |||
|
Berry Global, Inc. 0.95%, 2/15/2024
(a) |
1,920,000 | 1,923,955 | |||
|
Blue Racer Midstream LLC/Blue Racer Finance Corp. 7.63%, 12/15/2025
(a) |
235,000 | 254,583 | |||
|
Boeing Co. 2.95%,
2/1/2030 |
2,035,000 | 2,083,820 | |||
|
Boston Properties L.P. 3.65%,
2/1/2026 |
2,740,000 | 3,020,275 | |||
|
Boxer Parent Co., Inc. 7.13%, 10/2/2025
(a) |
35,000 | 37,460 | |||
|
Boyd Gaming Corp. 4.75%, 6/15/2031
(a) |
570,000 | 592,595 | |||
|
Boyne USA, Inc. 4.75%, 5/15/2029
(a) |
700,000 | 725,039 | |||
|
Brighthouse Financial Global Funding 1.00%, 4/12/2024
(a) |
765,000 | 766,408 | |||
|
Broadcom, Inc. 3.42%, 4/15/2033
(a) |
1,869,000 | 1,970,636 | |||
|
Brown & Brown, Inc. 2.38%,
3/15/2031 |
1,390,000 | 1,389,708 | |||
| Builders FirstSource, Inc.: | |||||
|
5.00%, 3/1/2030
(a) |
400,000 | 420,008 | |||
|
6.75%, 6/1/2027
(a) |
165,000 | 177,129 | |||
|
Bunge, Ltd. Finance Corp. 2.75%,
5/14/2031 |
1,905,000 | 1,926,850 | |||
| Cablevision Lightpath LLC: | |||||
|
3.88%, 9/15/2027
(a) |
300,000 | 297,858 | |||
|
5.63%, 9/15/2028
(a) |
200,000 | 204,000 | |||
|
Caesars Entertainment, Inc. 6.25%, 7/1/2025
(a) |
440,000 | 466,717 | |||
| Calpine Corp.: | |||||
|
4.50%, 2/15/2028
(a) |
265,000 | 270,239 |
See accompanying notes to financial statements.
62
SPDR DOUBLELINE TOTAL RETURN
TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
June 30,
2021
| Security Description | Principal
Amount |
Value | |||
|
4.63%, 2/1/2029
(a) |
$ 205,000 | $ 202,534 | |||
|
5.13%, 3/15/2028
(a) |
165,000 | 167,744 | |||
|
Camelot Finance SA 4.50%, 11/1/2026
(a) |
125,000 | 130,701 | |||
|
Carlson Travel, Inc. 6.75%, 12/15/2025
(a) |
215,000 | 197,662 | |||
| Carnival Corp.: | |||||
|
5.75%, 3/1/2027
(a) |
385,000 | 404,989 | |||
|
11.50%, 4/1/2023
(a) |
165,000 | 186,310 | |||
|
Carrier Global Corp. 3.58%,
4/5/2050 |
880,000 | 934,094 | |||
|
Carvana Co. 5.63%, 10/1/2025
(a) |
165,000 | 171,544 | |||
|
Castle US Holding Corp. 9.50%, 2/15/2028
(a) |
585,000 | 611,073 | |||
|
Catalent Pharma Solutions, Inc. 5.00%, 7/15/2027
(a) |
470,000 | 491,305 | |||
| CCO Holdings LLC/CCO Holdings Capital Corp.: | |||||
|
4.50%, 8/15/2030
(a) |
370,000 | 385,951 | |||
|
4.75%, 3/1/2030
(a) |
755,000 | 797,793 | |||
|
5.00%, 2/1/2028
(a) |
195,000 | 204,606 | |||
|
Cedar Fair L.P. 5.25%,
7/15/2029 |
430,000 | 443,261 | |||
|
Cengage Learning, Inc. 9.50%, 6/15/2024
(a) |
495,000 | 507,014 | |||
| Centene Corp.: | |||||
|
2.50%,
3/1/2031 |
2,320,000 | 2,290,327 | |||
|
3.00%,
10/15/2030 |
210,000 | 215,823 | |||
|
4.25%,
12/15/2027 |
460,000 | 485,268 | |||
|
Century Communities, Inc. 6.75%,
6/1/2027 |
360,000 | 381,874 | |||
|
Charles River Laboratories International, Inc. 4.25%, 5/1/2028
(a) |
370,000 | 383,165 | |||
|
Charter Communications Operating LLC/Charter Communications Operating Capital 2.30%,
2/1/2032 |
2,540,000 | 2,446,350 | |||
|
Chesapeake Energy Corp. 5.88%, 2/1/2029
(a) |
415,000 | 448,793 | |||
| CHS/Community Health Systems, Inc.: | |||||
|
4.75%, 2/15/2031
(a) |
410,000 | 411,480 | |||
|
6.00%, 1/15/2029
(a) |
455,000 | 487,009 | |||
|
6.88%, 4/15/2029
(a) |
325,000 | 341,279 |
See accompanying notes to financial statements.
63
SPDR DOUBLELINE TOTAL RETURN
TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
June 30,
2021
| Security Description | Principal
Amount |
Value | |||
| Cigna Corp.: | |||||
|
4.90%,
12/15/2048 |
$ 1,445,000 | $ 1,867,662 | |||
|
3 Month USD LIBOR + 0.89%, 1.07%, 7/15/2023
(b) |
1,665,000 | 1,686,612 | |||
|
Citigroup, Inc. 3 Month USD LIBOR + 1.39%, 3.67%, 7/24/2028
(b) |
3,385,000 | 3,738,631 | |||
| Clarios Global L.P./Clarios US Finance Co.: | |||||
|
6.25%, 5/15/2026
(a) |
396,000 | 421,768 | |||
|
8.50%, 5/15/2027
(a) |
225,000 | 245,266 | |||
|
Clarivate Science Holdings Corp. 4.88%, 6/30/2029
(a) |
245,000 | 251,395 | |||
| Clean Harbors, Inc.: | |||||
|
4.88%, 7/15/2027
(a) |
460,000 | 482,793 | |||
|
5.13%, 7/15/2029
(a) |
145,000 | 157,688 | |||
| Clear Channel Outdoor Holdings, Inc.: | |||||
|
7.50%, 6/1/2029
(a) |
245,000 | 253,788 | |||
|
7.75%, 4/15/2028
(a) |
80,000 | 83,796 | |||
|
Clearway Energy Operating LLC 4.75%, 3/15/2028
(a) |
375,000 | 393,420 | |||
|
CNX Midstream Partners L.P./CNX Midstream Finance Corp. 6.50%, 3/15/2026
(a) |
510,000 | 533,236 | |||
|
CNX Resources Corp. 6.00%, 1/15/2029
(a) |
200,000 | 216,216 | |||
|
Comcast Corp. 4.70%,
10/15/2048 |
1,455,000 | 1,886,364 | |||
|
CommScope Technologies LLC 5.00%, 3/15/2027
(a) |
230,000 | 235,228 | |||
|
Consolidated Communications, Inc. 5.00%, 10/1/2028
(a) |
405,000 | 410,455 | |||
| Constellation Brands, Inc.: | |||||
|
2.88%,
5/1/2030 |
375,000 | 393,844 | |||
|
3.15%,
8/1/2029 |
1,380,000 | 1,483,348 | |||
|
Constellation Merger Sub, Inc. 8.50%, 9/15/2025
(a) |
170,000 | 167,875 | |||
|
Cornerstone Building Brands, Inc. 6.13%, 1/15/2029
(a) |
440,000 | 472,692 | |||
| Coty, Inc.: | |||||
|
5.00%, 4/15/2026
(a) |
410,000 | 415,941 | |||
|
6.50%, 4/15/2026
(a) |
245,000 | 248,072 | |||
|
CQP Holdco L.P./BIP-V Chinook Holdco LLC 5.50%, 6/15/2031
(a) |
1,015,000 | 1,057,488 | |||
|
CRC Escrow Issuer LLC/CRC Finco, Inc. 5.25%, 10/15/2025
(a) |
505,000 | 511,499 |
See accompanying notes to financial statements.
64
SPDR DOUBLELINE TOTAL RETURN
TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
June 30,
2021
| Security Description | Principal
Amount |
Value | |||
|
Credit Acceptance Corp. 6.63%,
3/15/2026 |
$ 590,000 | $ 623,353 | |||
|
Crown Castle International Corp. 4.30%,
2/15/2029 |
1,605,000 | 1,847,515 | |||
| CSC Holdings LLC: | |||||
|
4.63%, 12/1/2030
(a) |
800,000 | 784,680 | |||
|
5.75%, 1/15/2030
(a) |
810,000 | 842,651 | |||
|
CSI Compressco L.P./CSI Compressco Finance, Inc. 7.50%, 4/1/2025
(a) |
660,000 | 669,022 | |||
|
CSX Corp. 3.35%,
9/15/2049 |
1,935,000 | 2,049,958 | |||
|
CVR Partners L.P./CVR Nitrogen Finance Corp. 6.13%, 6/15/2028
(a) |
245,000 | 251,074 | |||
|
Dana Financing Luxembourg Sarl 5.75%, 4/15/2025
(a) |
325,000 | 335,302 | |||
| Dana, Inc.: | |||||
|
4.25%,
9/1/2030 |
95,000 | 97,703 | |||
|
5.38%,
11/15/2027 |
125,000 | 132,979 | |||
|
5.63%,
6/15/2028 |
300,000 | 324,114 | |||
|
DaVita, Inc. 4.63%, 6/1/2030
(a) |
320,000 | 329,274 | |||
|
Dealer Tire LLC/DT Issuer LLC 8.00%, 2/1/2028
(a) |
295,000 | 317,824 | |||
|
Dell International LLC/EMC Corp. 6.02%,
6/15/2026 |
1,645,000 | 1,972,931 | |||
|
Diamond Sports Group LLC/Diamond Sports Finance Co. 5.38%, 8/15/2026
(a) |
385,000 | 249,457 | |||
|
Discover Financial Services 4.10%,
2/9/2027 |
1,635,000 | 1,832,181 | |||
| DISH DBS Corp.: | |||||
|
5.13%, 6/1/2029
(a) |
415,000 | 410,165 | |||
|
5.88%,
11/15/2024 |
380,000 | 408,086 | |||
|
Dollar General Corp. 3.50%,
4/3/2030 |
1,780,000 | 1,957,662 | |||
|
Dollar Tree, Inc. 4.00%,
5/15/2025 |
1,753,000 | 1,934,663 | |||
|
Duke Energy Corp. 2.65%,
9/1/2026 |
2,725,000 | 2,882,369 | |||
| Dun & Bradstreet Corp.: | |||||
|
6.88%, 8/15/2026
(a) |
171,000 | 181,320 | |||
|
10.25%, 2/15/2027
(a) |
268,000 | 295,658 | |||
|
DuPont de Nemours, Inc. 5.42%,
11/15/2048 |
700,000 | 972,111 |
See accompanying notes to financial statements.
65
SPDR DOUBLELINE TOTAL RETURN
TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
June 30,
2021
| Security Description | Principal
Amount |
Value | |||
|
Embarq Corp. 8.00%,
6/1/2036 |
$ 370,000 | $ 419,399 | |||
|
Emergent BioSolutions, Inc. 3.88%, 8/15/2028
(a) |
420,000 | 411,709 | |||
|
Enable Midstream Partners L.P. 5.00%,
5/15/2044 |
890,000 | 968,676 | |||
| Encompass Health Corp.: | |||||
|
4.50%,
2/1/2028 |
185,000 | 191,938 | |||
|
4.63%,
4/1/2031 |
455,000 | 487,323 | |||
|
4.75%,
2/1/2030 |
60,000 | 63,824 | |||
|
Endeavor Energy Resources L.P./EER Finance, Inc. 6.63%, 7/15/2025
(a) |
240,000 | 257,184 | |||
|
Endo Luxembourg Finance Co. I Sarl/Endo US, Inc. 6.13%, 4/1/2029
(a) |
350,000 | 343,066 | |||
|
Endure Digital, Inc. 6.00%, 2/15/2029
(a) |
490,000 | 485,159 | |||
|
Energy Transfer L.P. 4.75%,
1/15/2026 |
955,000 | 1,075,072 | |||
|
Enterprise Products Operating LLC 3.75%,
2/15/2025 |
1,805,000 | 1,967,793 | |||
|
Envision Helthcare Corp. 8.75%, 10/15/2026
(a) |
225,000 | 156,902 | |||
| EQM Midstream Partners L.P.: | |||||
|
4.75%, 1/15/2031
(a) |
395,000 | 407,024 | |||
|
6.50%, 7/1/2027
(a) |
135,000 | 150,501 | |||
|
EQT Corp. 8.50%,
2/1/2030 |
370,000 | 481,425 | |||
|
ESH Hospitality, Inc. REIT, 5.25%, 5/1/2025
(a) |
515,000 | 524,615 | |||
|
Essential Utilities, Inc. 3.35%,
4/15/2050 |
1,885,000 | 1,948,939 | |||
|
Everi Holdings, Inc. 5.00%,
7/15/2029 |
230,000 | 235,741 | |||
|
Expedia Group, Inc. 3.80%,
2/15/2028 |
2,315,000 | 2,521,915 | |||
|
Exterran Energy Solutions L.P./EES Finance Corp. 8.13%,
5/1/2025 |
190,000 | 169,073 | |||
|
Exxon Mobil Corp. 2.99%,
3/19/2025 |
1,260,000 | 1,351,930 | |||
|
FedEx Corp. 4.75%,
11/15/2045 |
815,000 | 1,015,832 | |||
|
Ferrellgas L.P./Ferrellgas Finance Corp. 5.38%, 4/1/2026
(a) |
330,000 | 327,192 |
See accompanying notes to financial statements.
66
SPDR DOUBLELINE TOTAL RETURN
TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
June 30,
2021
| Security Description | Principal
Amount |
Value | |||
|
Flex Acquisition Co., Inc. 6.88%, 1/15/2025
(a) |
$ 635,000 | $ 646,919 | |||
| Ford Motor Co.: | |||||
|
7.45%,
7/16/2031 |
430,000 | 566,284 | |||
|
9.00%,
4/22/2025 |
175,000 | 215,646 | |||
| Ford Motor Credit Co. LLC: | |||||
|
3.63%,
6/17/2031 |
545,000 | 555,273 | |||
|
Series GMTN, 4.39%,
1/8/2026 |
600,000 | 647,640 | |||
|
Fortress Transportation and Infrastructure Investors LLC 5.50%, 5/1/2028
(a) |
250,000 | 260,413 | |||
| Frontier Communications Holdings LLC: | |||||
|
5.00%, 5/1/2028
(a) |
250,000 | 258,590 | |||
|
5.88%, 10/15/2027
(a) |
125,000 | 133,980 | |||
|
6.75%, 5/1/2029
(a) |
150,000 | 159,590 | |||
|
Full House Resorts, Inc. 8.25%, 2/15/2028
(a) |
165,000 | 179,838 | |||
|
Gates Global LLC/Gates Corp. 6.25%, 1/15/2026
(a) |
405,000 | 424,703 | |||
|
GCI LLC 4.75%, 10/15/2028
(a) |
360,000 | 368,914 | |||
| General Electric Co.: | |||||
|
Series GMTN, 6.88%,
1/10/2039 |
540,000 | 810,416 | |||
|
Series MTN, 5.88%,
1/14/2038 |
850,000 | 1,157,623 | |||
| General Motors Financial Co., Inc.: | |||||
|
3.95%,
4/13/2024 |
125,000 | 134,675 | |||
|
3 Month USD LIBOR + 0.99%, 1.18%, 1/5/2023
(b) |
3,236,000 | 3,264,024 | |||
|
Georgia-Pacific LLC 3.60%, 3/1/2025
(a) |
1,543,000 | 1,678,059 | |||
|
Golden Entertainment, Inc. 7.63%, 4/15/2026
(a) |
315,000 | 335,314 | |||
| Golden Nugget, Inc.: | |||||
|
6.75%, 10/15/2024
(a) |
740,000 | 745,372 | |||
|
8.75%, 10/1/2025
(a) |
150,000 | 158,207 | |||
|
Goldman Sachs Group, Inc. Series ., 3 Month USD LIBOR + 1.17%, 1.33%, 5/15/2026
(b) |
3,790,000 | 3,884,750 | |||
|
Goodyear Tire & Rubber Co. 5.25%, 7/15/2031
(a) |
405,000 | 422,289 |
See accompanying notes to financial statements.
67
SPDR DOUBLELINE TOTAL RETURN
TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
June 30,
2021
| Security Description | Principal
Amount |
Value | |||
|
GrafTech Finance, Inc. 4.63%, 12/15/2028
(a) |
$ 195,000 | $ 200,546 | |||
|
Gray Television, Inc. 7.00%, 5/15/2027
(a) |
575,000 | 624,249 | |||
|
Griffon Corp. 5.75%,
3/1/2028 |
960,000 | 1,019,213 | |||
|
Group 1 Automotive, Inc. 4.00%, 8/15/2028
(a) |
130,000 | 132,249 | |||
|
GrubHub Holdings, Inc. 5.50%, 7/1/2027
(a) |
225,000 | 237,179 | |||
|
GTT Communications, Inc. 7.88%, 12/31/2024
(a) |
310,000 | 32,054 | |||
|
Guardian Life Global Funding 1.25%, 5/13/2026
(a) |
1,910,000 | 1,906,180 | |||
|
Halliburton Co. 2.92%,
3/1/2030 |
977,000 | 1,015,494 | |||
| HCA, Inc.: | |||||
|
4.13%,
6/15/2029 |
870,000 | 981,082 | |||
|
5.38%,
9/1/2026 |
965,000 | 1,111,024 | |||
| Hess Midstream Operations L.P.: | |||||
|
5.13%, 6/15/2028
(a) |
365,000 | 382,816 | |||
|
5.63%, 2/15/2026
(a) |
455,000 | 474,269 | |||
|
Hexion, Inc. 7.88%, 7/15/2027
(a) |
300,000 | 323,580 | |||
|
H-Food Holdings LLC/Hearthside Finance Co., Inc. 8.50%, 6/1/2026
(a) |
450,000 | 470,533 | |||
|
Hightower Holding LLC 6.75%, 4/15/2029
(a) |
315,000 | 321,291 | |||
| Hilcorp Energy I L.P./Hilcorp Finance Co.: | |||||
|
5.75%, 2/1/2029
(a) |
170,000 | 177,223 | |||
|
6.25%, 11/1/2028
(a) |
540,000 | 573,809 | |||
|
Hillman Group, Inc. 6.38%, 7/15/2022
(a) |
295,000 | 295,286 | |||
| Hilton Domestic Operating Co., Inc.: | |||||
|
5.38%, 5/1/2025
(a) |
25,000 | 26,331 | |||
|
5.75%, 5/1/2028
(a) |
25,000 | 27,048 | |||
|
Home Depot, Inc. 3.90%,
6/15/2047 |
1,590,000 | 1,887,950 | |||
|
Horizon Pharma USA, Inc. 5.50%, 8/1/2027
(a) |
730,000 | 774,946 | |||
|
Hyundai Capital America 3.00%, 2/10/2027
(a) |
1,920,000 | 2,032,531 |
See accompanying notes to financial statements.
68
SPDR DOUBLELINE TOTAL RETURN
TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
June 30,
2021
| Security Description | Principal
Amount |
Value | |||
|
IAA, Inc. 5.50%, 6/15/2027
(a) |
$ 570,000 | $ 598,169 | |||
| Icahn Enterprises L.P./Icahn Enterprises Finance Corp.: | |||||
|
5.25%,
5/15/2027 |
385,000 | 398,521 | |||
|
6.25%,
5/15/2026 |
715,000 | 758,515 | |||
| iHeartCommunications, Inc.: | |||||
|
5.25%, 8/15/2027
(a) |
300,000 | 314,016 | |||
|
8.38%,
5/1/2027 |
75,000 | 80,462 | |||
|
Illuminate Buyer LLC/Illuminate Holdings IV, Inc. 9.00%, 7/1/2028
(a) |
345,000 | 385,127 | |||
|
Indigo Natural Resources LLC 5.38%, 2/1/2029
(a) |
410,000 | 429,934 | |||
|
Installed Building Products, Inc. 5.75%, 2/1/2028
(a) |
435,000 | 457,868 | |||
|
IRB Holding Corp. 6.75%, 2/15/2026
(a) |
575,000 | 595,573 | |||
| Iron Mountain, Inc.: | |||||
|
4.88%, 9/15/2029
(a) |
185,000 | 191,131 | |||
|
REIT, 4.50%, 2/15/2031
(a) |
260,000 | 263,357 | |||
|
iStar, Inc. 4.75%,
10/1/2024 |
305,000 | 321,909 | |||
|
Jazz Securities DAC 4.38%, 1/15/2029
(a) |
290,000 | 300,884 | |||
|
JBS Finance Luxembourg S.a.r.l 3.63%, 1/15/2032
(a) |
200,000 | 199,658 | |||
| JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc.: | |||||
|
3.75%, 12/1/2031
(a) |
215,000 | 219,405 | |||
|
5.50%, 1/15/2030
(a) |
190,000 | 210,991 | |||
|
Jeld-Wen, Inc. 4.63%, 12/15/2025
(a) |
610,000 | 623,688 | |||
|
JPMorgan Chase & Co. SOFR + 1.25%, 2.58%, 4/22/2032
(b) |
3,305,000 | 3,395,524 | |||
|
KAR Auction Services, Inc. 5.13%, 6/1/2025
(a) |
480,000 | 492,446 | |||
|
Kenan Advantage Group, Inc. 7.88%, 7/31/2023
(a) |
85,000 | 85,070 | |||
| Kraft Heinz Foods Co.: | |||||
|
5.00%,
7/15/2035 |
430,000 | 526,337 | |||
|
5.20%,
7/15/2045 |
1,195,000 | 1,484,967 | |||
|
Kraton Polymers LLC/Kraton Polymers Capital Corp. 4.25%, 12/15/2025
(a) |
800,000 | 815,912 |
See accompanying notes to financial statements.
69
SPDR DOUBLELINE TOTAL RETURN
TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
June 30,
2021
| Security Description | Principal
Amount |
Value | |||
|
Kratos Defense & Security Solutions, Inc. 6.50%, 11/30/2025
(a) |
$ 475,000 | $ 498,080 | |||
|
LBM Acquisition LLC 6.25%, 1/15/2029
(a) |
485,000 | 488,676 | |||
| LD Holdings Group LLC: | |||||
|
6.13%, 4/1/2028
(a) |
60,000 | 59,917 | |||
|
6.50%, 11/1/2025
(a) |
230,000 | 235,141 | |||
|
Leeward Renewable Energy Operations LLC 4.25%, 7/1/2029
(a)
(c) |
425,000 | 431,821 | |||
|
Legacy LifePoint Health LLC 4.38%, 2/15/2027
(a) |
410,000 | 414,990 | |||
|
Legends Hospitality Holding Co. LLC/Legends Hospitality Co-Issuer, Inc. 5.00%, 2/1/2026
(a) |
340,000 | 354,409 | |||
| Level 3 Financing, Inc.: | |||||
|
3.75%, 7/15/2029
(a) |
180,000 | 175,041 | |||
|
4.25%, 7/1/2028
(a) |
300,000 | 304,422 | |||
|
4.63%, 9/15/2027
(a) |
460,000 | 477,301 | |||
|
Lifepoint Health, Inc. 5.38%, 1/15/2029
(a) |
285,000 | 277,430 | |||
|
Ligado Networks LLC PIK, 15.50%, 11/1/2023
(a) |
351,306 | 346,609 | |||
|
Lions Gate Capital Holdings LLC 5.50%, 4/15/2029
(a) |
450,000 | 474,723 | |||
| Live Nation Entertainment, Inc.: | |||||
|
5.63%, 3/15/2026
(a) |
960,000 | 1,001,117 | |||
|
6.50%, 5/15/2027
(a) |
185,000 | 205,306 | |||
|
LogMeIn, Inc. 5.50%, 9/1/2027
(a) |
175,000 | 181,419 | |||
|
LSF9 Atlantis Holdings LLC/Victra Finance Corp. 7.75%, 2/15/2026
(a) |
375,000 | 388,129 | |||
| Lumen Technologies, Inc.: | |||||
|
4.00%, 2/15/2027
(a) |
355,000 | 362,111 | |||
|
5.13%, 12/15/2026
(a) |
390,000 | 405,202 | |||
|
M/I Homes, Inc. 4.95%,
2/1/2028 |
365,000 | 381,418 | |||
| Madison IAQ LLC: | |||||
|
4.13%, 6/30/2028
(a) |
340,000 | 343,342 | |||
|
5.88%, 6/30/2029
(a) |
330,000 | 335,795 | |||
|
Magic Mergeco, Inc. 7.88%, 5/1/2029
(a) |
185,000 | 190,622 | |||
|
Marriott International, Inc. Series HH, 2.85%,
4/15/2031 |
1,910,000 | 1,940,980 |
See accompanying notes to financial statements.
70
SPDR DOUBLELINE TOTAL RETURN
TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
June 30,
2021
| Security Description | Principal
Amount |
Value | |||
|
Marriott Ownership Resorts, Inc./ILG LLC 6.50%,
9/15/2026 |
$ 620,000 | $ 645,098 | |||
|
Masonite International Corp. 5.75%, 9/15/2026
(a) |
490,000 | 507,762 | |||
|
Massachusetts Mutual Life Insurance Co. 3.38%, 4/15/2050
(a) |
1,885,000 | 1,968,015 | |||
| Match Group Holdings II LLC: | |||||
|
4.63%, 6/1/2028
(a) |
165,000 | 171,404 | |||
|
5.00%, 12/15/2027
(a) |
775,000 | 814,540 | |||
|
Metis Merger Sub LLC 6.50%, 5/15/2029
(a) |
375,000 | 369,217 | |||
|
MGM Growth Properties Operating Partnership L.P./MGP Finance Co-Issuer, Inc. REIT, 5.75%,
2/1/2027 |
735,000 | 820,356 | |||
| MGM Resorts International: | |||||
|
5.75%,
6/15/2025 |
453,000 | 499,541 | |||
|
6.75%,
5/1/2025 |
420,000 | 449,698 | |||
|
Midwest Gaming Borrower LLC/Midwest Gaming Finance Corp. 4.88%, 5/1/2029
(a) |
685,000 | 686,171 | |||
|
ModivCare, Inc. 5.88%, 11/15/2025
(a) |
260,000 | 278,192 | |||
|
Monongahela Power Co. 5.40%, 12/15/2043
(a) |
675,000 | 883,224 | |||
|
Morgan Stanley 3 Month USD LIBOR + 0.85%, 3.74%, 4/24/2024
(b) |
3,710,000 | 3,922,880 | |||
|
Moss Creek Resources Holdings, Inc. 7.50%, 1/15/2026
(a) |
345,000 | 321,871 | |||
|
MPH Acquisition Holdings LLC 5.75%, 11/1/2028
(a) |
650,000 | 653,061 | |||
|
MPLX L.P. 1.75%,
3/1/2026 |
1,015,000 | 1,026,541 | |||
|
Murphy Oil USA, Inc. 4.75%,
9/15/2029 |
285,000 | 299,837 | |||
|
Nabors Industries, Ltd. 7.25%, 1/15/2026
(a) |
305,000 | 298,967 | |||
| Nationstar Mortgage Holdings, Inc.: | |||||
|
5.50%, 8/15/2028
(a) |
410,000 | 413,251 | |||
|
6.00%, 1/15/2027
(a) |
65,000 | 67,443 | |||
| Navient Corp.: | |||||
|
5.00%,
3/15/2027 |
285,000 | 295,534 | |||
|
6.50%,
6/15/2022 |
895,000 | 933,261 |
See accompanying notes to financial statements.
71
SPDR DOUBLELINE TOTAL RETURN
TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
June 30,
2021
| Security Description | Principal
Amount |
Value | |||
| NCL Corp., Ltd.: | |||||
|
3.63%, 12/15/2024
(a) |
$ 585,000 | $ 564,630 | |||
|
5.88%, 3/15/2026
(a) |
395,000 | 413,770 | |||
|
NESCO Holdings II, Inc. 5.50%, 4/15/2029
(a) |
115,000 | 120,006 | |||
|
NetApp, Inc. 1.88%,
6/22/2025 |
965,000 | 992,840 | |||
| Netflix, Inc.: | |||||
|
5.38%, 11/15/2029
(a) |
240,000 | 291,559 | |||
|
5.88%,
2/15/2025 |
410,000 | 473,575 | |||
|
Nexstar Broadcasting, Inc. 5.63%, 7/15/2027
(a) |
310,000 | 329,651 | |||
|
NextEra Energy Capital Holdings, Inc. 2.75%,
5/1/2025 |
1,975,000 | 2,098,536 | |||
| NFP Corp.: | |||||
|
4.88%, 8/15/2028
(a) |
280,000 | 284,595 | |||
|
6.88%, 8/15/2028
(a) |
360,000 | 380,362 | |||
|
NGL Energy Operating LLC/NGL Energy Finance Corp. 7.50%, 2/1/2026
(a) |
655,000 | 687,822 | |||
|
NGL Energy Partners L.P./NGL Energy Finance Corp. 7.50%,
4/15/2026 |
395,000 | 360,414 | |||
|
Novelis Corp. 4.75%, 1/30/2030
(a) |
235,000 | 246,680 | |||
|
NRG Energy, Inc. 3.63%, 2/15/2031
(a) |
545,000 | 535,228 | |||
|
NuStar Logistics L.P. 6.00%,
6/1/2026 |
510,000 | 554,870 | |||
|
Nuveen Finance LLC 4.13%, 11/1/2024
(a) |
3,045,000 | 3,358,178 | |||
|
Oasis Petroleum, Inc. 6.38%, 6/1/2026
(a) |
375,000 | 390,682 | |||
| Occidental Petroleum Corp.: | |||||
|
3.50%,
8/15/2029 |
685,000 | 687,493 | |||
|
6.13%,
1/1/2031 |
540,000 | 634,959 | |||
|
6.45%,
9/15/2036 |
220,000 | 262,896 | |||
|
6.60%,
3/15/2046 |
215,000 | 255,328 | |||
|
6.63%,
9/1/2030 |
650,000 | 781,859 | |||
|
8.00%,
7/15/2025 |
255,000 | 305,832 | |||
|
Omnicom Group, Inc. 2.45%,
4/30/2030 |
1,770,000 | 1,797,771 | |||
| OneMain Finance Corp.: | |||||
|
5.38%,
11/15/2029 |
250,000 | 272,358 |
See accompanying notes to financial statements.
72
SPDR DOUBLELINE TOTAL RETURN
TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
June 30,
2021
| Security Description | Principal
Amount |
Value | |||
|
6.63%,
1/15/2028 |
$ 125,000 | $ 143,854 | |||
|
7.13%,
3/15/2026 |
324,000 | 377,544 | |||
|
Oracle Corp. 3.60%,
4/1/2050 |
1,980,000 | 2,034,371 | |||
|
Organon & Co./Organon Foreign Debt Co-Issuer BV 5.13%, 4/30/2031
(a) |
570,000 | 587,157 | |||
| Ortho-Clinical Diagnostics, Inc./Ortho-Clinical Diagnostics SA: | |||||
|
7.25%, 2/1/2028
(a) |
351,000 | 383,776 | |||
|
7.38%, 6/1/2025
(a) |
39,000 | 41,859 | |||
|
Ovintiv, Inc. 7.38%,
11/1/2031 |
385,000 | 512,412 | |||
| Pacific Gas & Electric Co.: | |||||
|
1.37%,
3/10/2023 |
1,080,000 | 1,080,108 | |||
|
2.50%,
2/1/2031 |
980,000 | 919,495 | |||
|
Par Petroleum LLC/Petroleum Finance Corp. 7.75%, 12/15/2025
(a) |
705,000 | 711,951 | |||
|
Park Intermediate Holdings LLC/PK Domestic Property LLC/PK Finance Co-Issuer 4.88%, 5/15/2029
(a) |
290,000 | 300,223 | |||
|
PBF Holding Co. LLC/PBF Finance Corp. Series WI, 6.00%,
2/15/2028 |
185,000 | 122,807 | |||
|
Peabody Energy Corp. PIK, 8.50%, 12/31/2024
(a) |
168,000 | 126,297 | |||
| Penn National Gaming, Inc.: | |||||
|
4.13%, 7/1/2029
(a)
(c) |
310,000 | 309,650 | |||
|
5.63%, 1/15/2027
(a) |
620,000 | 644,180 | |||
| PennyMac Financial Services, Inc.: | |||||
|
4.25%, 2/15/2029
(a) |
245,000 | 236,062 | |||
|
5.38%, 10/15/2025
(a) |
465,000 | 489,422 | |||
|
Penske Truck Leasing Co. L.P./PTL Finance Corp. 4.20%, 4/1/2027
(a) |
880,000 | 988,891 | |||
|
Performance Food Group, Inc. 5.50%, 10/15/2027
(a) |
575,000 | 605,067 | |||
| PetSmart, Inc./PetSmart Finance Corp.: | |||||
|
4.75%, 2/15/2028
(a) |
825,000 | 856,713 | |||
|
7.75%, 2/15/2029
(a) |
500,000 | 551,480 | |||
|
PG&E Corp. 5.00%,
7/1/2028 |
560,000 | 566,698 | |||
|
PIC AU Holdings LLC/PIC AU Holdings Corp. 10.00%, 12/31/2024
(a) |
188,000 | 187,250 | |||
|
Pike Corp. 5.50%, 9/1/2028
(a) |
385,000 | 400,254 |
See accompanying notes to financial statements.
73
SPDR DOUBLELINE TOTAL RETURN
TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
June 30,
2021
| Security Description | Principal
Amount |
Value | |||
|
Pilgrim's Pride Corp. 5.88%, 9/30/2027
(a) |
$ 440,000 | $ 469,273 | |||
|
Pioneer Natural Resources Co. 1.13%,
1/15/2026 |
1,180,000 | 1,168,212 | |||
| Post Holdings, Inc.: | |||||
|
4.63%, 4/15/2030
(a) |
530,000 | 539,397 | |||
|
5.50%, 12/15/2029
(a) |
140,000 | 149,839 | |||
|
Prime Security Services Borrower LLC/Prime Finance, Inc. 6.25%, 1/15/2028
(a) |
330,000 | 351,668 | |||
|
Rackspace Technology Global, Inc. 5.38%, 12/1/2028
(a) |
35,000 | 35,919 | |||
| Radiate Holdco LLC/Radiate Finance, Inc.: | |||||
|
4.50%, 9/15/2026
(a) |
300,000 | 310,449 | |||
|
6.50%, 9/15/2028
(a) |
115,000 | 120,791 | |||
|
Radiology Partners, Inc. 9.25%, 2/1/2028
(a) |
440,000 | 487,639 | |||
|
Rattler Midstream L.P. 5.63%, 7/15/2025
(a) |
295,000 | 309,977 | |||
|
Real Hero Merger Sub 2, Inc. 6.25%, 2/1/2029
(a) |
165,000 | 171,130 | |||
| Realogy Group LLC/Realogy Co-Issuer Corp.: | |||||
|
5.75%, 1/15/2029
(a) |
295,000 | 308,420 | |||
|
7.63%, 6/15/2025
(a) |
285,000 | 309,205 | |||
|
Rent-A-Center, Inc. 6.38%, 2/15/2029
(a) |
330,000 | 353,760 | |||
|
Resideo Funding, Inc. 6.13%, 11/1/2026
(a) |
390,000 | 411,352 | |||
|
Roper Technologies, Inc. 4.20%,
9/15/2028 |
1,505,000 | 1,731,668 | |||
|
Royalty Pharma PLC 3.30%, 9/2/2040
(a) |
2,015,000 | 2,025,800 | |||
|
RP Escrow Issuer LLC 5.25%, 12/15/2025
(a) |
870,000 | 908,750 | |||
|
Sabine Pass Liquefaction LLC 5.00%,
3/15/2027 |
1,485,000 | 1,714,774 | |||
|
Sabre GLBL, Inc. 9.25%, 4/15/2025
(a) |
210,000 | 249,669 | |||
|
Santander Holdings USA, Inc. 3.40%,
1/18/2023 |
1,970,000 | 2,050,179 | |||
|
Schweitzer-Mauduit International, Inc. 6.88%, 10/1/2026
(a) |
475,000 | 502,830 | |||
| Scientific Games International, Inc.: | |||||
|
5.00%, 10/15/2025
(a) |
580,000 | 598,734 |
See accompanying notes to financial statements.
74
SPDR DOUBLELINE TOTAL RETURN
TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
June 30,
2021
| Security Description | Principal
Amount |
Value | |||
|
8.25%, 3/15/2026
(a) |
$ 225,000 | $ 241,623 | |||
|
SCIH Salt Holdings, Inc. 6.63%, 5/1/2029
(a) |
145,000 | 145,351 | |||
|
Scotts Miracle-Gro Co. 4.50%,
10/15/2029 |
440,000 | 457,741 | |||
|
Scripps Escrow II, Inc. 3.88%, 1/15/2029
(a) |
140,000 | 138,894 | |||
|
Scripps Escrow, Inc. 5.88%, 7/15/2027
(a) |
280,000 | 289,920 | |||
|
Seagate HDD Cayman 3.38%, 7/15/2031
(a) |
195,000 | 188,791 | |||
|
SEG Holding LLC/SEG Finance Corp. 5.63%, 10/15/2028
(a) |
605,000 | 635,220 | |||
|
Select Medical Corp. 6.25%, 8/15/2026
(a) |
860,000 | 916,115 | |||
|
Silgan Holdings, Inc. 4.13%,
2/1/2028 |
570,000 | 591,478 | |||
| Sirius XM Radio, Inc.: | |||||
|
4.13%, 7/1/2030
(a) |
510,000 | 515,947 | |||
|
5.50%, 7/1/2029
(a) |
340,000 | 370,427 | |||
|
Six Flags Entertainment Corp. 4.88%, 7/31/2024
(a) |
710,000 | 716,922 | |||
|
Six Flags Theme Parks, Inc. 7.00%, 7/1/2025
(a) |
235,000 | 253,260 | |||
|
Smithfield Foods, Inc. 4.25%, 2/1/2027
(a) |
1,620,000 | 1,768,910 | |||
|
Southern Co. Series A, 3.70%,
4/30/2030 |
1,705,000 | 1,882,115 | |||
| Spectrum Brands, Inc.: | |||||
|
3.88%, 3/15/2031
(a) |
410,000 | 402,768 | |||
|
5.00%, 10/1/2029
(a) |
370,000 | 394,017 | |||
|
Sprint Capital Corp. 6.88%,
11/15/2028 |
1,270,000 | 1,629,346 | |||
|
Sprint Corp. 7.13%,
6/15/2024 |
1,355,000 | 1,566,041 | |||
| SRS Distribution, Inc.: | |||||
|
4.63%, 7/1/2028
(a) |
315,000 | 322,220 | |||
|
6.13%, 7/1/2029
(a) |
495,000 | 510,602 | |||
| Staples, Inc.: | |||||
|
7.50%, 4/15/2026
(a) |
315,000 | 326,375 | |||
|
10.75%, 4/15/2027
(a) |
150,000 | 152,997 |
See accompanying notes to financial statements.
75
SPDR DOUBLELINE TOTAL RETURN
TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
June 30,
2021
| Security Description | Principal
Amount |
Value | |||
|
Suburban Propane Partners L.P./Suburban Energy Finance Corp. 5.00%, 6/1/2031
(a) |
$ 325,000 | $ 332,413 | |||
|
SunCoke Energy Partners L.P./SunCoke Energy Partners Finance Corp. 7.50%, 6/15/2025
(a) |
815,000 | 846,329 | |||
|
SunCoke Energy, Inc. 4.88%, 6/30/2029
(a) |
510,000 | 509,944 | |||
| Sunoco L.P./Sunoco Finance Corp.: | |||||
|
4.50%, 5/15/2029
(a) |
150,000 | 153,084 | |||
|
6.00%,
4/15/2027 |
300,000 | 314,718 | |||
|
5.50%,
2/15/2026 |
570,000 | 587,334 | |||
| Sysco Corp.: | |||||
|
3.25%,
7/15/2027 |
885,000 | 959,650 | |||
|
3.30%,
2/15/2050 |
960,000 | 963,427 | |||
| Targa Resources Partners L.P./Targa Resources Partners Finance Corp.: | |||||
|
4.88%, 2/1/2031
(a) |
650,000 | 703,462 | |||
|
6.50%,
7/15/2027 |
200,000 | 217,602 | |||
|
Tempo Acquisition LLC/Tempo Acquisition Finance Corp. 6.75%, 6/1/2025
(a) |
855,000 | 869,432 | |||
|
Tempur Sealy International, Inc. 4.00%, 4/15/2029
(a) |
250,000 | 254,238 | |||
| Tenet Healthcare Corp.: | |||||
|
4.25%, 6/1/2029
(a) |
580,000 | 588,021 | |||
|
5.13%, 11/1/2027
(a) |
230,000 | 241,024 | |||
|
6.13%, 10/1/2028
(a) |
695,000 | 739,522 | |||
|
6.25%, 2/1/2027
(a) |
610,000 | 637,426 | |||
|
Tenneco, Inc. 5.13%, 4/15/2029
(a) |
405,000 | 416,632 | |||
|
Terrier Media Buyer, Inc. 8.88%, 12/15/2027
(a) |
155,000 | 167,383 | |||
|
Textron, Inc. 2.45%,
3/15/2031 |
2,910,000 | 2,924,928 | |||
| T-Mobile USA, Inc.: | |||||
|
2.25%,
2/15/2026 |
2,820,000 | 2,844,590 | |||
|
2.88%,
2/15/2031 |
185,000 | 183,472 | |||
|
3.38%, 4/15/2029
(a) |
375,000 | 387,621 | |||
|
TMS International Corp. 6.25%, 4/15/2029
(a) |
220,000 | 231,031 | |||
|
Townsquare Media, Inc. 6.88%, 2/1/2026
(a) |
150,000 | 160,442 |
See accompanying notes to financial statements.
76
SPDR DOUBLELINE TOTAL RETURN
TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
June 30,
2021
| Security Description | Principal
Amount |
Value | |||
| TransDigm, Inc.: | |||||
|
4.88%, 5/1/2029
(a) |
$ 350,000 | $ 353,671 | |||
|
5.50%,
11/15/2027 |
360,000 | 375,372 | |||
|
6.25%, 3/15/2026
(a) |
675,000 | 711,997 | |||
|
8.00%, 12/15/2025
(a) |
90,000 | 97,225 | |||
|
Transocean Poseidon, Ltd. 6.88%, 2/1/2027
(a) |
585,000 | 587,913 | |||
|
Transocean Proteus, Ltd. 6.25%, 12/1/2024
(a) |
275,000 | 277,637 | |||
|
Transocean, Inc. 11.50%, 1/30/2027
(a) |
141,000 | 150,701 | |||
|
Trident Merger Sub, Inc. 6.63%, 11/1/2025
(a) |
410,000 | 421,373 | |||
|
Triton Water Holdings, Inc. 6.25%, 4/1/2029
(a) |
385,000 | 387,668 | |||
| Triumph Group, Inc.: | |||||
|
6.25%, 9/15/2024
(a) |
160,000 | 162,458 | |||
|
7.75%,
8/15/2025 |
282,000 | 290,251 | |||
|
Tronox, Inc. 4.63%, 3/15/2029
(a) |
100,000 | 101,119 | |||
| Uber Technologies, Inc.: | |||||
|
7.50%, 9/15/2027
(a) |
210,000 | 230,742 | |||
|
8.00%, 11/1/2026
(a) |
385,000 | 414,934 | |||
| United Airlines, Inc.: | |||||
|
4.38%, 4/15/2026
(a) |
145,000 | 150,108 | |||
|
4.63%, 4/15/2029
(a) |
490,000 | 507,542 | |||
|
United Natural Foods, Inc. 6.75%, 10/15/2028
(a) |
455,000 | 489,398 | |||
| United Rentals North America, Inc.: | |||||
|
3.88%,
2/15/2031 |
65,000 | 66,175 | |||
|
4.00%,
7/15/2030 |
360,000 | 370,487 | |||
|
5.25%,
1/15/2030 |
40,000 | 43,823 | |||
|
Uniti Group L.P./Uniti Group Finance, Inc./CSL Capital LLC 6.50%, 2/15/2029
(a) |
325,000 | 326,528 | |||
| Univision Communications, Inc.: | |||||
|
4.50%, 5/1/2029
(a) |
325,000 | 327,444 | |||
|
6.63%, 6/1/2027
(a) |
355,000 | 384,653 | |||
| US Foods, Inc.: | |||||
|
4.75%, 2/15/2029
(a) |
340,000 | 346,783 | |||
|
6.25%, 4/15/2025
(a) |
35,000 | 37,135 |
See accompanying notes to financial statements.
77
SPDR DOUBLELINE TOTAL RETURN
TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
June 30,
2021
| Security Description | Principal
Amount |
Value | |||
|
USA Compression Partners L.P./USA Compression Finance Corp. 6.88%,
9/1/2027 |
$ 895,000 | $ 956,254 | |||
|
Valero Energy Corp. 2.85%,
4/15/2025 |
1,260,000 | 1,335,991 | |||
|
Verizon Communications, Inc. 1.75%,
1/20/2031 |
3,165,000 | 3,033,083 | |||
|
Verscend Escrow Corp. 9.75%, 8/15/2026
(a) |
760,000 | 801,610 | |||
|
ViaSat, Inc. 6.50%, 7/15/2028
(a) |
440,000 | 469,229 | |||
|
Viatris, Inc. 1.65%, 6/22/2025
(a) |
540,000 | 547,139 | |||
|
VICI Properties L.P./VICI Note Co., Inc. REIT, 3.75%, 2/15/2027
(a) |
70,000 | 71,484 | |||
|
Victoria's Secret & Co. 4.63%,
7/15/2029 |
230,000 | 230,214 | |||
| Viking Cruises, Ltd.: | |||||
|
5.88%, 9/15/2027
(a) |
955,000 | 943,464 | |||
|
13.00%, 5/15/2025
(a) |
125,000 | 147,005 | |||
|
Viper Energy Partners L.P. 5.38%, 11/1/2027
(a) |
365,000 | 382,038 | |||
|
Vizient, Inc. 6.25%, 5/15/2027
(a) |
380,000 | 401,314 | |||
|
Vontier Corp. 1.80%, 4/1/2026
(a) |
2,135,000 | 2,128,083 | |||
|
Vornado Realty L.P. 2.15%,
6/1/2026 |
705,000 | 715,145 | |||
|
WASH Multifamily Acquisition, Inc. 5.75%, 4/15/2026
(a) |
555,000 | 579,575 | |||
|
Waste Pro USA, Inc. 5.50%, 2/15/2026
(a) |
375,000 | 387,277 | |||
|
Weatherford International, Ltd. 11.00%, 12/1/2024
(a) |
14,000 | 14,546 | |||
|
Wells Fargo & Co. Series MTN, 3 Month USD LIBOR + 1.31%, 3.58%, 5/22/2028
(b) |
1,745,000 | 1,921,228 | |||
|
Welltower, Inc. 2.05%,
1/15/2029 |
1,905,000 | 1,907,724 | |||
| Western Midstream Operating L.P.: | |||||
|
4.35%,
2/1/2025 |
380,000 | 401,497 | |||
|
5.30%,
2/1/2030 |
395,000 | 443,589 | |||
|
WeWork Cos., Inc. 7.88%, 5/1/2025
(a) |
170,000 | 177,596 |
See accompanying notes to financial statements.
78
SPDR DOUBLELINE TOTAL RETURN
TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
June 30,
2021
| Security Description | Principal
Amount |
Value | |||
|
Wheel Pros, Inc. 6.50%, 5/15/2029
(a) |
$ 245,000 | $ 247,756 | |||
|
William Carter Co. 5.63%, 3/15/2027
(a) |
485,000 | 510,099 | |||
|
Williams Cos., Inc. 3.75%,
6/15/2027 |
990,000 | 1,099,197 | |||
|
Wolverine Escrow LLC 9.00%, 11/15/2026
(a) |
287,000 | 279,831 | |||
|
WR Grace & Co-Conn 4.88%, 6/15/2027
(a) |
675,000 | 715,432 | |||
|
WRKCo, Inc. 3.75%,
3/15/2025 |
1,785,000 | 1,949,666 | |||
|
Wyndham Hotels & Resorts, Inc. 4.38%, 8/15/2028
(a) |
380,000 | 395,128 | |||
| XHR L.P.: | |||||
|
4.88%, 6/1/2029
(a) |
425,000 | 438,812 | |||
|
6.38%, 8/15/2025
(a) |
265,000 | 282,024 | |||
| Yum! Brands, Inc.: | |||||
|
4.75%, 1/15/2030
(a) |
375,000 | 405,739 | |||
|
7.75%, 4/1/2025
(a) |
170,000 | 185,285 | |||
| Zayo Group Holdings,Inc.: | |||||
|
4.00%, 3/1/2027
(a) |
455,000 | 452,006 | |||
|
6.13%, 3/1/2028
(a) |
215,000 | 219,532 | |||
| 315,634,077 | |||||
|
TOTAL CORPORATE BONDS & NOTES (Cost
$447,857,009) |
463,146,801 | ||||
| ASSET-BACKED SECURITIES — 6.2% | |||||
|
Aaset Trust Series 2019-2, Class A, 3.38%, 10/16/2039
(a) |
1,725,578 | 1,687,074 | |||
|
AccessLex Institute Series 2004-2, Class A3, 3 Month USD LIBOR + 0.19%, 0.37%, 10/25/2024
(b) |
775,221 | 764,272 | |||
|
ACE Securities Corp. Home Equity Loan Trust Series 2007-WM2, Class A2C, ABS, 1 Month USD LIBOR + 0.280%, 0.37%, 2/25/2037
(b) |
3,195,836 | 1,778,520 | |||
|
Aegis Asset Backed Securities Trust Series 2006-1, Class A2, 1 Month USD LIBOR + 0.17%, 0.26%, 1/25/2037
(b) |
23,063,346 | 19,911,583 | |||
| AMSR Trust: | |||||
|
Series 2021-SFR2, Class E1, ABS, 2.48, 8/17/2026
(a)
(c) |
3,000,000 | 2,999,445 |
See accompanying notes to financial statements.
79
SPDR DOUBLELINE TOTAL RETURN
TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
June 30,
2021
| Security Description | Principal
Amount |
Value | |||
|
Series 2021-SFR2, Class F1, ABS, 3.28, 8/17/2026
(a)
(c) |
$ 3,000,000 | $ 2,998,819 | |||
|
Series 2021-SFR2, Class F2, ABS, 3.67, 8/17/2026
(a)
(c) |
2,000,000 | 1,999,158 | |||
|
Arbor Realty Commercial Real Estate Notes 2019-FL1, Ltd. Series 2019-FL1, Class C, ABS, 1 Month USD LIBOR + 2.100%, 2.17%, 5/15/2037
(a)
(b) |
2,942,000 | 2,941,082 | |||
|
Argent Securities Trust Series 2006-M1, Class A2B, ABS, 1 Month USD LIBOR + 0.090%, 0.27%, 7/25/2036
(b) |
19,346,253 | 7,755,926 | |||
|
Bain Capital Credit CLO 2016-2, Ltd. Series 2016-2A, Class DRR, ABS, 3 Month USD LIBOR + 3.85%, 4.03%, 1/15/2029
(a)
(b) |
1,000,000 | 992,700 | |||
|
Bain Capital Credit CLO 2020-2, Ltd. Series 2020-2A, Class B1, ABS, 3 Month USD LIBOR + 2.50%, 2.69%, 7/21/2031
(a)
(b) |
1,000,000 | 998,000 | |||
|
Bain Capital Credit CLO, Ltd. Series 2020-5A, Class D, ABS, 3 Month USD LIBOR + 3.55%, 3.82%, 1/20/2032
(a)
(b) |
2,500,000 | 2,466,843 | |||
|
Blackbird Capital Aircraft Series 2021-1A, Class B, ABS, 3.45%, 7/15/2046
(a)
(c) |
5,000,000 | 5,037,605 | |||
|
BNC Mortgage Loan Trust Series 2006-1, Class A1, ABS, 1 Month USD LIBOR + 0.36%, 0.45%, 10/25/2036
(b) |
16,141,739 | 13,064,039 | |||
|
Canyon Capital CLO 2017-1, Ltd. Series 2017-1A, Class D, ABS, 3 Month USD LIBOR + 3.60%, 3.78%, 7/15/2030
(a)
(b) |
1,000,000 | 995,400 | |||
|
Canyon Capital CLO, Ltd. Series 2021-1A, Class D, ABS, 3 Month USD LIBOR + 3.10%, 3.29%, 4/15/2034
(a)
(b) |
2,000,000 | 1,996,982 | |||
|
CARLYLE US CLO 2021-1, Ltd. Series 2021-1A, Class D, ABS, 3 Month USD LIBOR + 6.00%, 6.19%, 4/15/2034
(a)
(b) |
1,000,000 | 990,223 | |||
|
Catamaran CLO 2016-1, Ltd. Series 2016-1A, Class CR, ABS, 3 Month USD LIBOR + 3.75%, 3.94%, 1/18/2029
(a)
(b) |
2,000,000 | 1,987,512 | |||
|
CIFC Funding 2017-I, Ltd. Series 2017-1A, Class D, ABS, 3 Month USD LIBOR + 3.50%, 3.69%, 4/23/2029
(a)
(b) |
1,000,000 | 990,400 | |||
|
CIFC Funding 2021-I, Ltd. Series 2021-1A, Class E, ABS, 3 Month USD LIBOR + 6.00%, 6.14%, 4/25/2033
(a)
(b) |
500,000 | 494,953 |
See accompanying notes to financial statements.
80
SPDR DOUBLELINE TOTAL RETURN
TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
June 30,
2021
| Security Description | Principal
Amount |
Value | |||
|
CIFC Funding, Ltd. Series 2013-1A, Class CR, ABS, 3 Month USD LIBOR + 3.55%, 3.73%, 7/16/2030
(a)
(b) |
$ 1,000,000 | $ 985,000 | |||
|
CLNC, Ltd. Series 2019-FL1, Class A, 1 Month USD LIBOR + 1.25%, 1.37%, 8/20/2035
(a)
(b) |
2,050,000 | 2,048,846 | |||
|
Dryden 33 Senior Loan Fund Series 2014-33A, Class DR3, ABS, 3 Month USD LIBOR + 3.65%, 3.83%, 4/15/2029
(a)
(b) |
2,000,000 | 2,006,114 | |||
|
Dryden 68 CLO, Ltd. Series 2019-68A, Class D, ABS, 3 Month USD LIBOR + 3.40%, 3.58%, 7/15/2032
(a)
(b) |
1,500,000 | 1,466,100 | |||
|
Elmwood CLO VIII, Ltd. Series 2021-1A, Class D1, ABS, 3 Month USD LIBOR + 3.00%, 3.12%, 1/20/2034
(a)
(b) |
1,500,000 | 1,497,726 | |||
| Exeter Automobile Receivables Trust 2021-1: | |||||
|
Series 2021-1A, Class D, ABS, 1.08,
11/16/2026 |
1,000,000 | 999,533 | |||
|
Series 2021-1A, Class E, ABS, 2.21, 2/15/2028
(a) |
1,500,000 | 1,488,794 | |||
|
First Franklin Mortgage Loan Trust Series 2007-FF2, Class A1, ABS, 1 Month USD LIBOR + 0.14%, 0.23%, 3/25/2037
(b) |
10,923,870 | 7,082,183 | |||
| FirstKey Homes Trust: | |||||
|
Series 2020-SFR2, Class D, ABS, 1.97, 10/19/2037
(a) |
2,000,000 | 1,990,059 | |||
|
Series 2020-SFR2, Class E, 2.67, 10/19/2037
(a) |
2,000,000 | 2,033,194 | |||
|
FREED ABS Trust 2021-2 Series 2021-2, Class C, ABS, 1.94%, 6/19/2028
(a) |
4,750,000 | 4,825,481 | |||
|
FS RIALTO Series 2021-FL2, Class A, ABS, 1 Month USD LIBOR + 1.22%, 1.29%, 4/16/2028
(a)
(b) |
2,000,000 | 2,000,622 | |||
|
GAIA Aviation, Ltd. Series 2019-1, Class A, 3.97%, 12/15/2044
(a)
(e) |
1,367,344 | 1,362,604 | |||
|
Galaxy XVIII CLO, Ltd. Series 2018-28A, Class D, ABS, 3 Month USD LIBOR + 3.00%, 3.18%, 7/15/2031
(a)
(b) |
2,100,000 | 2,060,310 | |||
|
GSAA Home Equity Trust Series 2007-10, Class A2A, 6.50%,
11/25/2037 |
2,135,116 | 1,287,362 | |||
|
Hardee's Funding LLC Series 2018-1A, Class A23, ABS, 5.71%, 6/20/2048
(a) |
1,653,250 | 1,854,665 |
See accompanying notes to financial statements.
81
SPDR DOUBLELINE TOTAL RETURN
TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
June 30,
2021
| Security Description | Principal
Amount |
Value | |||
|
Hayfin Kingsland X, Ltd. Series 2019-1A, Class B1R, ABS, 3 Month USD LIBOR + 1.850%, 2.03%, 4/28/2031
(a)
(b) |
$ 2,000,000 | $ 1,998,990 | |||
|
Helios Issuer LLC Series 2021-A, Class A, ABS, 1.80%, 2/20/2048
(a) |
1,437,522 | 1,420,177 | |||
|
JOL Air, Ltd. Series 2019-1, Class A, 3.97%, 4/15/2044
(a) |
2,560,265 | 2,555,668 | |||
|
LoanCore 2019-CRE2 Issuer, Ltd. Series 2019-CRE2, Class AS, 1 Month USD LIBOR + 1.50%, 1.57%, 5/15/2036
(a)
(b) |
3,382,000 | 3,377,789 | |||
|
Madison Park Funding XI, Ltd. Series 2013-11A, Class DR, ABS, 3 Month USD LIBOR + 3.25%, 3.42%, 7/23/2029
(a)
(b) |
1,000,000 | 987,900 | |||
|
Madison Park Funding XLVIII, Ltd. Series 2021-48A, Class D, ABS, 3 Month USD LIBOR + 3.00%, 3.14%, 4/19/2033
(a)
(b) |
1,000,000 | 996,656 | |||
|
Magnetite CLO, Ltd. 1.00%,
7/15/2034 |
500,000 | 500,000 | |||
|
Magnetite Xxix, Ltd. Series 2021-29A, Class E, ABS, 3 Month USD LIBOR + 5.75%, 5.85%, 1/15/2034
(a)
(b) |
500,000 | 498,732 | |||
|
Marlette Funding Trust Series 2019-2A, Class A, 3.13%, 7/16/2029
(a) |
162,228 | 162,738 | |||
|
Mosaic Solar Loan Trust 2018-1 Series 2018-1A, Class C, ABS, PO, 0.00%, 6/22/2043
(a) |
619,973 | 588,236 | |||
| MVW 2021-1W LLC: | |||||
|
Series 2021-1WA, Class C, ABS, 1.94, 1/22/2041
(a) |
1,469,880 | 1,476,825 | |||
|
Series 2021-1WA, Class D, ABS, 3.17, 1/22/2041
(a) |
2,449,800 | 2,443,073 | |||
|
Neuberger Berman Loan Advisers Clo 40, Ltd. Series 2021-40A, Class D, ABS, 3 Month USD LIBOR + 2.75%, 2.94%, 4/16/2033
(a)
(b) |
1,500,000 | 1,497,734 | |||
|
Octagon Investment Parteners, Ltd. Series 2019-4A, Class D, ABS, LIBOR + 3.75%, 3.92%, 5/12/2031
(a)
(b) |
4,000,000 | 3,971,600 | |||
|
Octagon Investment Partners 27, Ltd. Series 2016-1A, Class DR, ABS, 3 Month USD LIBOR + 2.95%, 3.13%, 7/15/2030
(a)
(b) |
500,000 | 493,500 | |||
|
Octagon Investment Partners 30, Ltd. Series 2017-1A, Class CR, ABS, 3 Month USD LIBOR + 3.30%, 3.49%, 3/17/2030
(a)
(b) |
1,000,000 | 1,007,900 |
See accompanying notes to financial statements.
82
SPDR DOUBLELINE TOTAL RETURN
TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
June 30,
2021
| Security Description | Principal
Amount |
Value | |||
|
Octagon Investment Partners 31 LLC Series 2017-1A, Class DR, ABS, 3 Month USD LIBOR + 3.40%, 3.59%, 7/20/2030
(a)
(b) |
$ 1,000,000 | $ 1,003,762 | |||
|
Octagon Investment Partners 49, Ltd. Series 2020-5A, Class D, ABS, 1 Month USD LIBOR + 3.40%, 3.61%, 1/15/2033
(a)
(b) |
2,500,000 | 2,496,198 | |||
|
PMT Issuer Trust - FMSR Series 2021-FT1, Class A, ABS, 1 Month USD LIBOR + 3.00%, 3.09%, 3/25/2026
(a)
(b) |
1,300,000 | 1,303,782 | |||
|
Pretium Mortgage Credit Partners I LLC Series 2020-NPL3, Class A1, ABS, 3.10%, 6/27/2060
(a)
(e) |
5,489,974 | 5,543,516 | |||
|
Renaissance Home Equity Loan Trust Series 2006-2, Class AF4, ABS, 6.12%, 8/25/2036
(e) |
8,876,162 | 5,213,748 | |||
|
Sapphire Aviation Finance II, Ltd. Series 2020-1A, Class A, 3.23%, 3/15/2040
(a) |
1,299,234 | 1,291,957 | |||
|
Shenton Aircraft Investment I, Ltd. Series 2015-1A, Class A, ABS, 4.75%, 10/15/2042
(a) |
2,467,945 | 2,369,567 | |||
|
SOFI Alternative Trust 2021-A Series 2021-A, Class PT1, ABS, VRN, 1.48%, 3/15/2047
(a)
(b) |
8,343,489 | 8,246,563 | |||
|
Sofi Alternative Trust 2021-B Series 2021-B, Class PT1, ABS, VRN, 1.76%, 2/15/2047
(a)
(b) |
5,408,661 | 5,432,233 | |||
|
Sound Point Clo XII, Ltd. Series 2016-2A, Class DR, ABS, 3 Month USD LIBOR + 3.85%, 4.04%, 10/20/2028
(a)
(b) |
1,000,000 | 994,900 | |||
|
Sound Point Clo XIV, Ltd. Series 2016-3A, Class DR, ABS, 3 Month USD LIBOR + 3.65%, 3.82%, 1/23/2029
(a)
(b) |
1,000,000 | 1,002,162 | |||
|
Sound Point CLO XXIII Series 2019-2A, Class ER, 6.62%, 7/15/2034
(a)
(b) |
1,000,000 | 977,500 | |||
|
Sound Point CLO XXVIII, Ltd. Series 2020-3A, Class D, ABS, 1 Month USD LIBOR + 3.65%, 3.90%, 1/25/2032
(a)
(b) |
4,000,000 | 4,032,088 | |||
|
Sound Point CLO, Ltd. 1.00%,
7/20/2034 |
500,000 | 500,000 | |||
|
START Ireland Series 2019-1, Class A, 4.09%, 3/15/2044
(a) |
604,610 | 610,624 | |||
|
Structured Asset Securities Corp. Mortgage Loan Trust Series 2006-BC4, Class A4, 1 Month USD LIBOR + 0.17%, 0.43%, 12/25/2036
(b) |
1,307,505 | 1,287,628 |
See accompanying notes to financial statements.
83
SPDR DOUBLELINE TOTAL RETURN
TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
June 30,
2021
| Security Description | Principal
Amount |
Value | |||
| TIF Funding II LLC: | |||||
|
Series 2021-1A, Class A, ABS, 1.65, 2/20/2046
(a) |
$ 4,838,542 | $ 4,757,374 | |||
|
Series 2021-1A, Class B, ABS, 2.54, 2/20/2046
(a) |
1,935,417 | 1,884,014 | |||
|
TPG Real Estate Finance Issuer, Ltd. Series 2021-FL4, Class A, ABS, 1 Month USD LIBOR + 1.20%, 1.28%, 3/15/2038
(a)
(b) |
200,000 | 200,187 | |||
|
TRTX Issuer, Ltd. Series 2019-FL3, Class AS, 1 Month USD LIBOR + 1.45%, 1.57%, 10/15/2034
(a)
(b) |
3,527,000 | 3,525,900 | |||
|
Upstart Pass-Through Trust Series 2021-ST3 Series 2021-ST3, Class A, ABS, 2.00%, 5/20/2027
(a) |
4,761,868 | 4,766,181 | |||
|
Upstart Securitization Trust 2020-1 Series 2020-1, Class C, ABS, 4.90%, 4/22/2030
(a) |
2,000,000 | 2,074,574 | |||
|
US Auto Funding 2019-1 LLC Series 2019-1A, Class D, ABS, 8.06%, 11/15/2025
(a) |
2,750,000 | 2,870,209 | |||
|
Venture 39 CLO, Ltd. Series 2020-39A, Class D, ABS, 3 Month USD LIBOR + 4.25%, 4.43%, 4/15/2033
(a)
(b) |
1,750,000 | 1,747,900 | |||
|
Voya CLO 2017-3, Ltd. Series 2017-3A, Class CR, ABS, 3 Month USD LIBOR + 3.15%, 3.34%, 4/20/2034
(a)
(b) |
1,000,000 | 998,489 | |||
|
TOTAL ASSET-BACKED SECURITIES (Cost
$196,659,770) |
196,947,703 | ||||
| FOREIGN GOVERNMENT OBLIGATIONS — 1.7% | |||||
| BRAZIL — 0.1% | |||||
|
Brazil Government International Bond 3.75%,
9/12/2031 |
1,500,000 | 1,487,490 | |||
|
Brazilian Government International Bond 5.63%,
2/21/2047 |
1,200,000 | 1,309,680 | |||
| 2,797,170 | |||||
| CHILE — 0.1% | |||||
| Chile Government International Bond: | |||||
|
3.10%,
1/22/2061 |
2,500,000 | 2,393,150 | |||
|
3.50%,
1/25/2050 |
1,300,000 | 1,365,481 | |||
| 3,758,631 |
See accompanying notes to financial statements.
84
SPDR DOUBLELINE TOTAL RETURN
TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
June 30,
2021
| Security Description | Principal
Amount |
Value | |||
| COLOMBIA — 0.2% | |||||
| Colombia Government International Bond: | |||||
|
3.13%,
4/15/2031 |
$ 1,200,000 | $ 1,174,092 | |||
|
3.25%,
4/22/2032 |
1,300,000 | 1,272,024 | |||
|
4.13%,
5/15/2051 |
1,700,000 | 1,610,784 | |||
|
5.00%,
6/15/2045 |
900,000 | 956,295 | |||
| 5,013,195 | |||||
| DOMINICAN REPUBLIC — 0.1% | |||||
|
Dominican Republic International Bond Series REGS, 5.88%,
1/30/2060 |
3,300,000 | 3,297,360 | |||
| INDONESIA — 0.2% | |||||
| Indonesia Government International Bond: | |||||
|
3.70%,
10/30/2049 |
1,900,000 | 1,992,112 | |||
|
4.35%,
1/11/2048 |
1,100,000 | 1,248,522 | |||
| Perusahaan Penerbit SBSN Indonesia III: | |||||
|
Series 144A, 2.55%, 6/9/2031
(a) |
1,100,000 | 1,104,807 | |||
|
Series REGS, 3.80%,
6/23/2050 |
1,000,000 | 1,045,540 | |||
| 5,390,981 | |||||
| MALAYSIA — 0.1% | |||||
|
Malaysia Wakala Sukuk Bhd. 3.08%, 4/28/2051
(a) |
3,000,000 | 3,132,720 | |||
| MEXICO — 0.2% | |||||
| Mexico Government International Bond: | |||||
|
3.77%,
5/24/2061 |
2,200,000 | 2,049,982 | |||
|
4.28%,
8/14/2041 |
2,100,000 | 2,206,953 | |||
|
4.50%,
1/31/2050 |
1,100,000 | 1,170,510 | |||
|
4.60%,
2/10/2048 |
1,500,000 | 1,611,990 | |||
| 7,039,435 | |||||
| PANAMA — 0.1% | |||||
| Panama Government International Bond: | |||||
|
3.87%,
7/23/2060 |
2,600,000 | 2,655,874 | |||
|
4.30%,
4/29/2053 |
1,300,000 | 1,441,206 | |||
| 4,097,080 |
See accompanying notes to financial statements.
85
SPDR DOUBLELINE TOTAL RETURN
TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
June 30,
2021
| Security Description | Principal
Amount |
Value | |||
| PERU — 0.2% | |||||
| Peruvian Government International Bond: | |||||
|
2.78%,
1/23/2031 |
$ 1,400,000 | $ 1,424,780 | |||
|
3.30%,
3/11/2041 |
1,300,000 | 1,314,469 | |||
|
3.55%,
3/10/2051 |
1,450,000 | 1,506,521 | |||
| 4,245,770 | |||||
| PHILIPPINES — 0.2% | |||||
| Philippine Government International Bond: | |||||
|
1.65%,
6/10/2031 |
1,450,000 | 1,399,525 | |||
|
2.46%,
5/5/2030 |
800,000 | 833,024 | |||
|
2.65%,
12/10/2045 |
600,000 | 555,738 | |||
|
2.95%,
5/5/2045 |
600,000 | 579,726 | |||
|
3.70%,
3/1/2041 |
1,100,000 | 1,187,296 | |||
|
3.70%,
2/2/2042 |
1,700,000 | 1,834,776 | |||
| 6,390,085 | |||||
| QATAR — 0.0% (d) | |||||
|
Qatar Government International Bond Series REGS, 3.38%,
3/14/2024 |
300,000 | 321,750 | |||
| SAUDI ARABIA — 0.1% | |||||
| Saudi Government International Bond: | |||||
|
Series REGS, 2.88%,
3/4/2023 |
400,000 | 414,880 | |||
|
Series REGS, 3.45%,
2/2/2061 |
3,100,000 | 3,092,808 | |||
|
Series REGS, 3.75%,
1/21/2055 |
200,000 | 211,101 | |||
| 3,718,789 | |||||
| SOUTH KOREA — 0.0% (d) | |||||
|
Korea Electric Power Corp. Series 144A, 1.13%, 6/15/2025
(a) |
700,000 | 698,019 | |||
|
Korea Hydro & Nuclear Power Co., Ltd. Series 144A, 1.25%, 4/27/2026
(a) |
200,000 | 199,058 | |||
| 897,077 | |||||
| THAILAND — 0.0% (d) | |||||
|
Export Import Bank of Thailand Series EMTN, 3 Month USD LIBOR + 0.90%, 1.06%, 11/20/2023
(b) |
420,000 | 422,537 |
See accompanying notes to financial statements.
86
SPDR DOUBLELINE TOTAL RETURN
TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
June 30,
2021
| Security Description | Principal
Amount |
Value | |||
| UNITED ARAB EMIRATES — 0.1% | |||||
| Abu Dhabi Government International Bond: | |||||
|
Series 144A, 3.13%, 4/16/2030
(a) |
$ 700,000 | $ 760,823 | |||
|
Series REGS, 3.13%,
9/30/2049 |
2,150,000 | 2,190,635 | |||
|
Series REGS, 3.88%,
4/16/2050 |
500,000 | 575,625 | |||
| 3,527,083 | |||||
|
TOTAL FOREIGN GOVERNMENT OBLIGATIONS (Cost
$52,494,263) |
54,049,663 |
| Shares | |||
| COMMON STOCKS — 0.0% (d) | |||
| UNITED STATES — 0.0% (d) | |||
|
Foresight Energy
(f)
(g) |
572 | 11,504 | |
|
Tapstone Energy Holdings
(f)
(g) |
5,920 | — | |
| 11,504 | |||
|
TOTAL COMMON STOCKS (Cost
$1,913) |
11,504 |
| Principal
Amount |
|||
| SENIOR FLOATING RATE LOANS — 3.1% | |||
| ADVERTISING SERVICES — 0.0% (d) | |||
|
Terrier Media Buyer, Inc. Senior Secured 2021 Term Loan, 1 Month USD LIBOR + 3.50%, 3.61%, 12/17/2026
(b) |
458,048 | 456,266 | |
| AEROSPACE & DEFENSE — 0.1% | |||
| Dynasty Acquisition Co., Inc.: | |||
|
Senior Secured 2020 CAD Term Loan B2, 3 Month USD LIBOR + 3.50%, 3.65%, 4/6/2026
(b) |
256,129 | 249,886 | |
|
Senior Secured 2020 Term Loan B1, 3 Month USD LIBOR + 3.50%, 3.65%, 4/6/2026
(b) |
476,400 | 464,788 | |
|
TransDigm, Inc. Senior Secured 2020 Term Loan E, 1 Month USD LIBOR + 2.25%, 2.35%, 5/30/2025
(b) |
1,120,534 | 1,106,029 | |
| 1,820,703 |
See accompanying notes to financial statements.
87
SPDR DOUBLELINE TOTAL RETURN
TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
June 30,
2021
| Security Description | Principal
Amount |
Value | |||
| AIR FREIGHT & LOGISTICS — 0.0% (d) | |||||
|
Kenan Advantage Group, Inc. Senior Secured 2021 Term Loan B1, 1 Month USD LIBOR + 3.75%, 4.50%, 3/24/2026
(b) |
$ 274,211 | $ 275,304 | |||
| AIRLINES — 0.1% | |||||
|
AAdvantage Loyalty IP Ltd. Senior Secured 2021 Term Loan, 3 Month USD LIBOR + 4.75%, 5.50%, 4/20/2028
(b) |
310,000 | 323,583 | |||
| American Airlines, Inc.: | |||||
|
Senior Secured 2017 1st Lien Term Loan, 1 Month USD LIBOR + 1.75%, 1.85%, 1/29/2027
(b) |
217,800 | 208,717 | |||
|
Senior Secured 2017 Incremental Term Loan, 1 Month USD LIBOR + 2.00%, 2.07%, 12/15/2023
(b) |
105,000 | 102,678 | |||
|
Senior Secured Repriced TL B due 2023, 1 Month USD LIBOR + 2.00%, 2.10%, 4/28/2023
(b) |
103,906 | 101,594 | |||
|
Mileage Plus Holdings LLC Senior Secured 2020 Term Loan B, 3 Month USD LIBOR + 5.25%, 6.25%, 6/21/2027
(b) |
505,000 | 540,006 | |||
|
SkyMiles IP Ltd. Senior Secured 2020 Skymiles Term Loan B, 3 Month USD LIBOR + 3.75%, 4.75%, 10/20/2027
(b) |
215,000 | 227,376 | |||
|
United Airlines, Inc. Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 3.75%, 4.50%, 4/21/2028
(b) |
215,000 | 218,121 | |||
| 1,722,075 | |||||
| AUTO COMPONENTS — 0.0% (d) | |||||
|
Autokiniton US Holdings, Inc. Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 4.50%, 5.00%, 4/6/2028
(b) |
140,000 | 141,269 | |||
|
Clarios Global LP Senior Secured 2021 USD Term Loan B, 1 Month USD LIBOR + 3.25%, 3.35%, 4/30/2026
(b) |
568,227 | 564,145 | |||
|
Truck Hero, Inc. Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 3.75%, 4.50%, 1/31/2028
(b) |
149,625 | 149,840 | |||
|
Wheel Pros, LLC Senior Secured 2021 Term Loan, 1 Month USD LIBOR + 4.50%, 5.25%, 5/11/2028
(b) |
135,000 | 135,543 | |||
| 990,797 | |||||
| BEVERAGES — 0.0% (d) | |||||
|
Triton Water Holdings, Inc Senior Secured Term Loan, 3 Month USD LIBOR + 3.50%, 4.00%, 3/31/2028
(b) |
550,000 | 550,077 | |||
| BROADCAST SERV/PROGRAM — 0.0% (d) | |||||
|
E.W. Scripps Company (The) Senior Secured 2019 Term Loan B2, 1 Month USD LIBOR + 2.56%, 3.31%, 5/1/2026
(b) |
455,352 | 454,498 |
See accompanying notes to financial statements.
88
SPDR DOUBLELINE TOTAL RETURN
TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
June 30,
2021
| Security Description | Principal
Amount |
Value | |||
| BUILDING PRODUCTS — 0.0% (d) | |||||
|
CP Atlas Buyer, Inc. Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 3.75%, 4.25%, 11/23/2027
(b) |
$ 503,738 | $ 503,186 | |||
|
Quikrete Holdings, Inc. Senior Secured 2021 Term Loan B1, 3.00%, 5/12/2028
(h) |
125,000 | 124,141 | |||
|
Tamko Building Products, LLC Senior Secured Term Loan B, 3 Month USD LIBOR + 3.00%, 3.19%, 6/1/2026
(b) |
179,544 | 179,433 | |||
| 806,760 | |||||
| CASINO SERVICES — 0.0% (d) | |||||
|
Stars Group Holdings B.V. (The) Senior Secured 2018 USD Incremental Term Loan, 3 Month USD LIBOR + 3.50%, 3.65%, 7/10/2025
(b) |
317,853 | 318,509 | |||
| CHEMICALS — 0.1% | |||||
|
Atotech B.V. Senior Secured 2021 USD Term Loan B, 3 Month USD LIBOR + 2.50%, 3.00%, 3/18/2028
(b) |
65,000 | 64,743 | |||
|
Avantor Funding, Inc. Senior Secured USD Term Loan B3, 1 Month USD LIBOR + 2.00%, 3.00%, 11/21/2024
(b) |
84,114 | 84,307 | |||
|
Diamond (BC) B.V. Senior Secured USD Term Loan, 2 Month USD LIBOR + 3.00%, 3.19%, 9/6/2024
(b) |
577,538 | 575,309 | |||
|
Illuminate Buyer, LLC Senior Secured 2021 Term Loan, 1 Month USD LIBOR + 3.50%, 3.60%, 6/30/2027
(b) |
396,843 | 395,000 | |||
|
Messer Industries GmbH Senior Secured 2018 USD Term Loan, 3 Month USD LIBOR + 2.50%, 2.65%, 3/1/2026
(b) |
127,788 | 127,085 | |||
|
Polar US Borrower, LLC Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 4.75%, 4.83%, 10/15/2025
(b) |
277,715 | 279,104 | |||
|
PQ Corporation Senior Secured 2021 Term Loan B, Chemicals, Plastics and Rubber, 2.75%, 5/26/2028
(h) |
100,000 | 100,042 | |||
|
SCIH Salt Holdings, Inc. Senior Secured 2021 Incremental Term Loan B, 3 Month USD LIBOR + 4.00%, 4.75%, 3/16/2027
(b) |
200,000 | 200,646 | |||
|
Solenis Holdings LLC Senior Secured 2018 1st Lien Term Loan, 3 Month USD LIBOR + 4.00%, 4.14%, 6/26/2025
(b) |
626,464 | 627,134 | |||
|
Starfruit Finco B.V Senior Secured 2018 USD Term Loan B, 1 Month USD LIBOR + 2.75%, 2.84%, 10/1/2025
(b) |
560,249 | 556,865 | |||
|
Vantage Specialty Chemicals, Inc. Senior Secured 2017 1st Lien Term Loan, 3 Month USD LIBOR + 3.50%, 4.50%, 10/28/2024
(b) |
213,397 | 208,574 | |||
| 3,218,809 |
See accompanying notes to financial statements.
89
SPDR DOUBLELINE TOTAL RETURN
TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
June 30,
2021
| Security Description | Principal
Amount |
Value | |||
| COMMERCIAL SERVICES — 0.2% | |||||
|
Allied Universal Holdco LLC Senior Secured 2021 USD Incremental Term Loan B, 1 Month USD LIBOR + 3.75%, 4.25%, 5/12/2028
(b) |
$ 1,217,188 | $ 1,222,099 | |||
|
EAB Global, Inc. Senior Secured 2021 Term Loan, 6/28/2028
(h) |
415,000 | 415,000 | |||
|
IRI Holdings, Inc. Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 4.25%, 4.35%, 12/1/2025
(b) |
385,063 | 385,385 | |||
|
Mavis Tire Express Services Corp. Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 4.00%, 4.75%, 5/4/2028
(b) |
600,000 | 602,667 | |||
|
Spin Holdco, Inc. Senior Secured 2021 Term Loan, 3 Month USD LIBOR + 4.00%, 4.75%, 3/1/2028
(b) |
445,000 | 446,252 | |||
|
Verscend Holding Corp. Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 4.00%, 4.10%, 8/27/2025
(b) |
1,244,365 | 1,249,256 | |||
|
Wand NewCo 3, Inc. Senior Secured 2020 Term Loan, 1 Month USD LIBOR + 3.00%, 3.10%, 2/5/2026
(b) |
597,992 | 591,692 | |||
| 4,912,351 | |||||
| COMMERCIAL SERVICES & SUPPLIES — 0.1% | |||||
|
ADMI Corp. Senior Secured 2021 Incremental Term Loan B3, 12 Month USD LIBOR + 0.00%, 1.00%,
12/23/2027 |
170,000 | 170,001 | |||
| Asurion LLC: | |||||
|
Senior Secured 2018 Term Loan B6, 1 Month USD LIBOR + 3.00%, 5.35%, 11/3/2023
(b) |
400,323 | 398,698 | |||
|
Senior Secured 2020 Term Loan B8, 1 Month USD LIBOR + 3.25%, 3.35%, 12/23/2026
(b) |
313,425 | 310,242 | |||
|
Senior Secured 2021 2nd Lien Term Loan B3, 1 Month USD LIBOR + 5.25%, 5.35%, 1/31/2028
(b) |
70,000 | 70,656 | |||
|
Senior Secured 2021 Term Loan B9, 1 Month USD LIBOR + 3.25%, 3.35%, 7/31/2027
(b) |
274,312 | 271,512 | |||
|
Emerald TopCo, Inc. Senior Secured Term Loan, 3 Month USD LIBOR + 3.50%, 3.69%, 7/24/2026
(b) |
270,601 | 269,417 | |||
|
Garda World Security Corporation Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 4.25%, 4.35%, 10/30/2026
(b) |
625,000 | 628,794 | |||
|
Packaging Coordinators Midco, Inc. Senior Secured 2020 1st Lien Term Loan, 3 Month USD LIBOR + 3.50%, 4.25%, 11/30/2027
(b) |
154,613 | 154,960 | |||
|
Packers Holdings, LLC Senior Secured 2021 Term Loan, 6 Month USD LIBOR + 3.25%, 4.00%, 3/9/2028
(b) |
280,000 | 278,893 | |||
| 2,553,173 |
See accompanying notes to financial statements.
90
SPDR DOUBLELINE TOTAL RETURN
TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
June 30,
2021
| Security Description | Principal
Amount |
Value | |||
| COMMUNICATIONS EQUIPMENT — 0.0% (d) | |||||
| Avaya, Inc.: | |||||
|
Senior Secured 2020 Term Loan B, 1 Month USD LIBOR + 4.25%, 4.32%, 12/15/2027
(b) |
$ 292,230 | $ 293,478 | |||
|
Senior Secured 2021 Term Loan B2, 1 Month USD LIBOR + 4.00%, 4.07%, 12/15/2027
(b) |
360,000 | 361,350 | |||
|
Riverbed Technology, Inc. Senior Secured 2020 Term Loan B, 3 Month USD LIBOR + 6.00%, 7.00%, 12/31/2025
(b) |
253,725 | 241,673 | |||
| 896,501 | |||||
| COMPUTER SERVICES — 0.0% (d) | |||||
|
Redstone Buyer LLC Senior Secured 2021 Term Loan, 3 Month USD LIBOR + 4.75%, 5.50%, 4/27/2028
(b) |
244,361 | 244,260 | |||
| CONSTRUCTION & ENGINEERING — 0.0% (d) | |||||
|
Aegion Corporation Senior Secured Term Loan, 3 Month USD LIBOR + 4.75%, 5.50%, 5/17/2028
(b) |
100,000 | 101,250 | |||
|
Brand Energy & Infrastructure Services, Inc. Senior Secured 2017 Term Loan, 3 Month USD LIBOR + 4.25%, 5.25%, 6/21/2024
(b) |
399,417 | 393,488 | |||
|
Brown Group Holding, LLC Senior Secured Term Loan B, 3 Month USD LIBOR + 2.75%, 3.25%, 6/7/2028
(b) |
55,000 | 54,780 | |||
| DG Investment Intermediate Holdings 2, Inc.: | |||||
|
Senior Secured 2021 2nd Lien Term Loan, 1 Month USD LIBOR + 6.75%, 7.50%, 3/30/2029
(b) |
60,000 | 60,112 | |||
|
Senior Secured 2021 Delayed Draw Term Loan, 1 Month USD LIBOR + 3.75%, 4.50%, 3/31/2028
(b) |
87,515 | 87,989 | |||
|
Senior Secured 2021 Term Loan, 1 Month USD LIBOR + 3.75%, 4.50%, 3/31/2028
(b) |
549,848 | 552,829 | |||
|
Pike Corporation Senior Secured 2021 Incremental Term Loan B, 1 Month USD LIBOR + 3.00%, 3.11%, 1/21/2028
(b) |
115,069 | 115,005 | |||
| 1,365,453 | |||||
| CONSTRUCTION MATERIALS — 0.0% (d) | |||||
|
Forterra Finance, LLC Senior Secured 2017 Term Loan B, 1 Month USD LIBOR + 3.00%, 4.00%, 10/25/2023
(b) |
96,866 | 97,006 | |||
|
Traverse Midstream Partners LLC Senior Secured 2017 Term Loan, 1 Month USD LIBOR + 5.50%, 6.50%, 9/27/2024
(b) |
290,000 | 291,814 | |||
| 388,820 |
See accompanying notes to financial statements.
91
SPDR DOUBLELINE TOTAL RETURN
TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
June 30,
2021
| Security Description | Principal
Amount |
Value | |||
| CONSUMER FINANCE — 0.0% (d) | |||||
|
Amentum Government Services Holdings LLC Senior Secured Term Loan B, 1 Month USD LIBOR + 3.50%, 3.60%, 1/29/2027
(b) |
$ 297,796 | $ 297,833 | |||
| CONTAINERS & PACKAGING — 0.1% | |||||
|
Charter NEX US, Inc. Senior Secured 2021 Term Loan, 1 Month USD LIBOR + 3.75%, 4.50%,
12/1/2027 |
304,238 | 305,331 | |||
|
Graham Packaging Company, Inc. Senior Secured 2021 Term Loan, 1 Month USD LIBOR + 3.00%, 3.75%, 8/4/2027
(b) |
625,416 | 625,594 | |||
|
Klockner-Pentaplast of America, Inc. Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 4.75%, 5.25%, 2/12/2026
(b) |
468,825 | 472,341 | |||
|
Reynolds Group Holdings, Inc. Senior Secured USD 2017 Term Loan, 1 Month USD LIBOR + 2.75%, 2.85%, 2/5/2023
(b) |
148,652 | 148,489 | |||
| TricorBraun Holdings, Inc.: | |||||
|
Senior Secured 2021 Delayed Draw Term Loan, 3 Month USD LIBOR + 3.25%, 3.75%, 3/3/2028
(b) |
1,836 | 1,825 | |||
|
Senior Secured 2021 Term Loan, 3 Month USD LIBOR + 3.25%, 3.75%, 3/3/2028
(b) |
244,912 | 243,444 | |||
|
Trident TPI Holdings, Inc. Senior Secured 2017 USD Term Loan B1, 3 Month USD LIBOR + 3.00%, 4.00%, 10/17/2024
(b) |
501,105 | 500,061 | |||
| 2,297,085 | |||||
| DIVERSIFIED CONSUMER SERVICES — 0.1% | |||||
|
Ascend Learning LLC Senior Secured 2017 Term Loan B, 1 Month USD LIBOR + 3.00%, 4.00%, 7/12/2024
(b) |
1,216,048 | 1,216,680 | |||
|
Mister Car Wash Holdings, Inc. Senior Secured 2019 Term Loan B, 1 Month USD LIBOR + 3.00%, 3.10%, 5/14/2026
(b) |
342,057 | 341,281 | |||
| 1,557,961 | |||||
| DIVERSIFIED FINANCIAL SERVICES — 0.1% | |||||
|
Deerfield Dakota Holding, LLC Senior Secured 2020 USD Term Loan B, 1 Month USD LIBOR + 3.75%, 4.75%, 4/9/2027
(b) |
901,086 | 906,556 | |||
| Edelman Financial Center, LLC: | |||||
|
Senior Secured 2018 2nd Lien Term Loan, 1 Month USD LIBOR + 6.75%, 6.85%, 7/20/2026
(b) |
295,000 | 297,243 | |||
|
Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 3.75%, 4.50%, 4/7/2028
(b) |
561,000 | 562,324 |
See accompanying notes to financial statements.
92
SPDR DOUBLELINE TOTAL RETURN
TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
June 30,
2021
| Security Description | Principal
Amount |
Value | |||
|
HighTower Holdings LLC Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 4.00%, 4.75%, 4/30/2028
(b) |
$ 268,000 | $ 268,949 | |||
|
Zebra Buyer LLC Senior Secured Term Loan B, 3.25%, 4/21/2028
(h) |
275,000 | 276,375 | |||
| 2,311,447 | |||||
| DIVERSIFIED TELECOMMUNICATION SERVICES — 0.1% | |||||
| Intelsat Jackson Holdings S.A.: | |||||
|
Senior Secured 2017 Term Loan B3, 1 Month USD LIBOR + 4.75%, 8.00%, 11/27/2023
(b) |
1,237,174 | 1,259,858 | |||
|
Senior Secured 2020 DIP Term Loan, 3 Month USD LIBOR + 5.50%, 6.50%, 7/13/2022
(b) |
186,027 | 187,655 | |||
|
Telesat Canada Senior Secured Term Loan B5, 1 Month USD LIBOR + 2.75%, 2.86%, 12/7/2026
(b) |
178,999 | 168,669 | |||
| 1,616,182 | |||||
| ELECTRIC-INTEGRATED — 0.0% (d) | |||||
|
ExGen Renewables IV, LLC Senior Secured 2020 Term Loan, 3 Month USD LIBOR + 2.50%, 3.50%, 12/15/2027
(b) |
210,162 | 210,469 | |||
| ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS — 0.0% (d) | |||||
|
Ingram Micro Inc. Senior Secured 2021 Term Loan B, 3.50%, 6/30/2028
(h) |
490,000 | 491,455 | |||
|
Mirion Technologies, Inc. Senior Secured 2019 Term Loan B, 3 Month USD LIBOR + 4.00%, 4.15%, 3/6/2026
(b) |
69,645 | 69,808 | |||
| 561,263 | |||||
| ENERGY EQUIPMENT & SERVICES — 0.0% (d) | |||||
|
Carnival Corporation Senior Secured USD Term Loan B, 1 Month USD LIBOR + 3.00%, 3.75%, 6/30/2025
(b) |
143,913 | 147,661 | |||
|
Granite Holdings US Acquisition Co. Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 4.00%, 4.15%, 9/30/2026
(b) |
362,241 | 364,052 | |||
|
WIN Waste Innovations Holdings, Inc. Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 2.75%, 3.25%, 3/24/2028
(b) |
430,000 | 429,910 | |||
| 941,623 | |||||
| ENTERTAINMENT — 0.1% | |||||
|
NASCAR Holdings, Inc Senior Secured Term Loan B, 1 Month USD LIBOR + 2.75%, 2.85%, 10/19/2026
(b) |
283,506 | 282,549 |
See accompanying notes to financial statements.
93
SPDR DOUBLELINE TOTAL RETURN
TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
June 30,
2021
| Security Description | Principal
Amount |
Value | |||
|
UFC Holdings, LLC Senior Secured 2021 Term Loan B, 6 Month USD LIBOR + 3.00%, 3.75%, 4/29/2026
(b) |
$ 1,290,478 | $ 1,290,478 | |||
| 1,573,027 | |||||
| FINANCIAL SERVICES — 0.0% (d) | |||||
|
Greystone Select Financial LLC Senior Secured Term Loan B, 5.75%,
6/16/2028 |
90,000 | 90,450 | |||
| FOOD & BEVERAGE — 0.0% (d) | |||||
|
Caesars Resort Collection, LLC Senior Secured 2020 Term Loan B1, 1 Month USD LIBOR + 4.50%, 4.60%, 7/21/2025
(b) |
471,438 | 473,500 | |||
|
UTZ Quality Foods, LLC Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 3.00%, 3.10%, 1/20/2028
(b) |
29,925 | 29,944 | |||
| 503,444 | |||||
| FOOD & STAPLES RETAILING — 0.0% (d) | |||||
|
United Natural Foods, Inc. Senior Secured Term Loan B, 1 Month USD LIBOR + 3.50%, 3.60%, 10/22/2025
(b) |
115,332 | 115,566 | |||
| FOOD-MISC/DIVERSIFIED — 0.0% (d) | |||||
|
H Food Holdings LLC Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 3.69%, 3.79%, 5/23/2025
(b) |
586,079 | 583,287 | |||
| HEALTH CARE EQUIPMENT & SUPPLIES — 0.1% | |||||
|
Avantor Funding, Inc. Senior Secured 2020 Incremental Term Loan B4, 1 Month USD LIBOR + 2.25%, 3.25%, 11/8/2027
(b) |
203,975 | 204,293 | |||
|
Gainwell Acquisition Corp. Senior Secured Term Loan B, 3 Month USD LIBOR + 4.00%, 4.75%, 10/1/2027
(b) |
1,472,550 | 1,479,913 | |||
|
Zelis Healthcare Corporation Senior Secured 2021 Term Loan, 1 Month USD LIBOR + 3.50%, 3.59%, 9/30/2026
(b) |
585,030 | 584,118 | |||
| 2,268,324 | |||||
| HEALTH CARE PROVIDERS & SERVICES — 0.1% | |||||
|
Air Methods Corporation Senior Secured 2017 Term Loan B, 3 Month USD LIBOR + 3.50%, 4.50%, 4/22/2024
(b) |
393,846 | 388,990 | |||
| Aveanna Healthcare, LLC: | |||||
|
Senior Secured 2021 Delayed Draw Term Loan, 3.75%, 6/30/2028
(h) |
39,623 | 39,474 | |||
|
Senior Secured 2021 Term Loan B, 3.75%, 6/30/2028
(h) |
170,377 | 169,738 | |||
|
CHG Healthcare Services, Inc. Senior Secured 2017 1st Lien Term Loan B, 3 Month USD LIBOR + 3.00%, 4.00%, 6/7/2023
(b) |
681,103 | 681,246 |
See accompanying notes to financial statements.
94
SPDR DOUBLELINE TOTAL RETURN
TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
June 30,
2021
| Security Description | Principal
Amount |
Value | |||
|
Endo Luxembourg Finance Company I S.a r.l. Senior Secured 2021 Term Loan, 3 Month USD LIBOR + 5.00%, 5.75%, 3/27/2028
(b) |
$ 279,300 | $ 270,311 | |||
|
Envision Healthcare Corporation Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 3.75%, 3.85%, 10/10/2025
(b) |
403,969 | 347,161 | |||
|
Global Medical Response, Inc. Senior Secured 2020 Term Loan B, 3 Month USD LIBOR + 4.75%, 5.75%, 10/2/2025
(b) |
348,250 | 350,209 | |||
|
Heartland Dental, LLC , 4.07%,
4/30/2025 |
135,000 | 134,937 | |||
|
Horizon Therapeutics USA, Inc. Senior Secured 2021 Term Loan B, 3/15/2028
(b)
(h) |
259,350 | 258,053 | |||
| ICON Luxembourg S.A.R.L.: | |||||
|
Senior Secured 1st Lien Term Loan B, 7/3/2028
(h) |
48,867 | 49,000 | |||
|
Senior Secured Term Loan B, 7/3/2028
(h) |
196,133 | 196,670 | |||
|
MED ParentCo LP Senior Secured 1st Lien Term Loan, 1 Month USD LIBOR + 4.25%, 4.35%, 8/31/2026
(b) |
189,518 | 189,970 | |||
|
MPH Acquisition Holdings LLC Senior Secured 2016 Term Loan B, 3 Month USD LIBOR + 2.75%, 3.75%, 6/7/2023
(b) |
613,325 | 612,316 | |||
|
Ortho-Clinical Diagnostics SA Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 3.00%, 3.09%, 6/30/2025
(b) |
149,848 | 149,902 | |||
|
RegionalCare Hospital Partners Holdings, Inc. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 3.75%, 3.85%, 11/16/2025
(b) |
318,096 | 317,730 | |||
|
Team Health Holdings, Inc. Senior Secured 1st Lien Term Loan, 1 Month USD LIBOR + 2.75%, 3.75%, 2/6/2024
(b) |
172,301 | 167,849 | |||
| 4,323,556 | |||||
| HOME FURNISHINGS — 0.0% (d) | |||||
| AI Aqua Merger Sub, Inc.: | |||||
|
Senior Secured 2021 1st Lien Delayed Draw Term Loan, 6/16/2028
(h) |
15,556 | 15,614 | |||
|
Senior Secured 2021 1st Lien Term Loan B, 6/16/2028
(h) |
124,444 | 124,911 | |||
|
Tecta America Corp. Senior Secured 2021 Term Loan, 3 Month USD LIBOR + 4.25%, 5.00%, 4/1/2028
(b) |
195,000 | 195,609 | |||
| 336,134 |
See accompanying notes to financial statements.
95
SPDR DOUBLELINE TOTAL RETURN
TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
June 30,
2021
| Security Description | Principal
Amount |
Value | |||
| HOTELS, RESTAURANTS & LEISURE — 0.2% | |||||
|
Alterra Mountain Company Senior Secured Term Loan B1, 1 Month USD LIBOR + 2.75%, 2.85%, 7/31/2024
(b) |
$ 984,526 | $ 974,681 | |||
|
Caesars Resort Collection, LLC Senior Secured 2017 1st Lien Term Loan B, 1 Month USD LIBOR + 2.75%, 2.85%, 12/23/2024
(b) |
1,119,695 | 1,111,448 | |||
|
ClubCorp Holdings, Inc. Senior Secured 2017 Term Loan B, 3 Month USD LIBOR + 2.75%, 2.90%, 9/18/2024
(b) |
326,835 | 314,745 | |||
|
Golden Nugget, Inc. Senior Secured 2017 Incremental Term Loan B, 2 Month USD LIBOR + 2.50%, 3.25%, 10/4/2023
(b) |
395,425 | 392,991 | |||
|
Peraton Corp. Senior Secured Term Loan B, 1 Month USD LIBOR + 3.75%, 4.50%, 2/1/2028
(b) |
513,712 | 516,102 | |||
|
Playa Resorts Holding B.V. Senior Secured 2017 Term Loan B, 1 Month USD LIBOR + 2.75%, 3.75%, 4/29/2024
(b) |
150,328 | 144,738 | |||
| Travelport Finance (Luxembourg) S.a.r.l.: | |||||
|
Senior Secured 2019 Term Loan, 3 Month USD LIBOR + 5.00%, 5.15%, 5/29/2026
(b) |
92,185 | 84,493 | |||
|
Senior Secured 2020 Super Priority Term Loan, 3 Month USD LIBOR + 1.50%, 2.50%, 2/28/2025
(b) |
253,176 | 266,197 | |||
|
Vertical U.S. Newco, Inc. Senior Secured USD Term Loan B, 6 Month USD LIBOR + 4.25%, 4.48%, 7/30/2027
(b) |
1,616,885 | 1,621,267 | |||
| 5,426,662 | |||||
| HOUSEHOLD PRODUCTS — 0.0% (d) | |||||
|
Conair Holdings, LLC Senior Secured Term Loan B, 3 Month USD LIBOR + 3.75%, 4.25%, 5/17/2028
(b) |
185,000 | 185,624 | |||
| TGP Holdings III, LLC: | |||||
|
Senior Secured 2021 Delayed Draw Term Loan, 6/29/2028
(h) |
11,161 | 11,203 | |||
|
Senior Secured 2021 Term Loan, 6/29/2028
(h) |
113,839 | 114,266 | |||
| 311,093 | |||||
| INDEPENDENT POWER PRODUCERS & ENERGY TRADERS — 0.0% (d) | |||||
|
Calpine Corporation Senior Secured 2019 Term Loan B10, 1 Month USD LIBOR + 2.00%, 2.10%, 8/12/2026
(b) |
78,600 | 77,659 | |||
| INSURANCE — 0.1% | |||||
|
Acrisure, LLC Senior Secured 2020 Term Loan B, 3 Month USD LIBOR + 3.50%, 3.60%, 2/15/2027
(b) |
833,309 | 825,584 | |||
|
Alliant Holdings Intermediate, LLC Senior Secured 2020 Term Loan B3, 1 Month USD LIBOR + 3.25%, 3.35%, 10/8/2027
(b)
(h) |
95,000 | 95,283 |
See accompanying notes to financial statements.
96
SPDR DOUBLELINE TOTAL RETURN
TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
June 30,
2021
| Security Description | Principal
Amount |
Value | |||
|
AmWINS Group, Inc. Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 2.25%, 3.00%, 2/19/2028
(b) |
$ 29,850 | $ 29,698 | |||
|
AssuredPartners, Inc. Senior Secured 2020 Term Loan B, 1 Month USD LIBOR + 3.50%, 3.60%, 2/12/2027
(b) |
1,211,681 | 1,206,889 | |||
|
OneDigital Borrower LLC Senior Secured 2020 Term Loan, 3 Month USD LIBOR + 4.50%, 5.25%, 11/16/2027
(b) |
581,250 | 584,400 | |||
|
Sedgwick Claims Management Services, Inc. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 3.25%, 3.35%, 12/31/2025
(b) |
832,545 | 824,636 | |||
| 3,566,490 | |||||
| INTERACTIVE MEDIA & SERVICES — 0.0% (d) | |||||
|
GTT Communications, Inc. Senior Secured 2018 USD Term Loan B, 3 Month USD LIBOR + 2.75%, 2.90%, 5/31/2025
(b) |
124,967 | 99,478 | |||
|
Ivanti Software, Inc. Senior Secured 2020 Term Loan B, 3 Month USD LIBOR + 4.75%, 5.75%, 12/1/2027
(b) |
264,338 | 265,127 | |||
|
Rentpath, Inc. Senior Secured 2021 Stub Current Face Term Loan, 12 Month USD LIBOR + 0.00%, 4/1/2028
(b)
(h) |
31,497 | 4,567 | |||
| 369,172 | |||||
| INTERNET & CATALOG RETAIL — 0.1% | |||||
|
Endure Digital Inc. Senior Secured Term Loan, 3 Month USD LIBOR + 3.50%, 4.25%, 2/10/2028
(b) |
600,000 | 598,248 | |||
|
Harbor Freight Tools USA, Inc. Senior Secured 2020 Term Loan B, 1 Month USD LIBOR + 3.00%, 3.75%, 10/19/2027
(b) |
402,975 | 403,557 | |||
|
PUG LLC Senior Secured USD Term Loan, 1 Month USD LIBOR + 3.50%, 3.60%, 2/12/2027
(b) |
316,800 | 310,466 | |||
|
Uber Technologies, Inc. Senior Secured 2021 1st Lien Term Loan B, 1 Month USD LIBOR + 3.50%, 3.60%, 4/4/2025
(b) |
507,385 | 508,110 | |||
| 1,820,381 | |||||
| INTERNET & TELECOM — 0.0% (d) | |||||
|
Cablevision Lightpath LLC Senior Secured Term Loan B, 1 Month USD LIBOR + 3.25%, 3.75%, 11/30/2027
(b) |
393,025 | 393,713 | |||
|
CNT Holdings I Corp. Senior Secured 2020 Term Loan, 3 Month USD LIBOR + 3.75%, 4.50%, 11/8/2027
(b) |
219,450 | 219,810 | |||
| 613,523 |
See accompanying notes to financial statements.
97
SPDR DOUBLELINE TOTAL RETURN
TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
June 30,
2021
| Security Description | Principal
Amount |
Value | |||
| IT SERVICES — 0.1% | |||||
|
Blackhawk Network Holdings, Inc Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 3.00%, 3.10%, 6/15/2025
(b) |
$ 697,677 | $ 690,798 | |||
|
CoreLogic, Inc. Senior Secured Term Loan, 6/2/2028
(b)
(h) |
225,000 | 224,691 | |||
|
Flexential Intermediate Corporation Senior Secured 2017 1st Lien Term Loan, 3 Month USD LIBOR + 3.50%, 3.65%, 8/1/2024
(b) |
318,973 | 294,025 | |||
|
VS Buyer, LLC Senior Secured Term Loan B, 1 Month USD LIBOR + 3.00%, 3.10%, 2/28/2027
(b) |
1,022,063 | 1,020,468 | |||
| 2,229,982 | |||||
| LIFE SCIENCES TOOLS & SERVICES — 0.0% (d) | |||||
|
eResearchTechnology, Inc. Senior Secured 2020 1st Lien Term Loan, 1 Month USD LIBOR + 4.50%, 5.50%, 2/4/2027
(b) |
29,924 | 30,098 | |||
|
Parexel International Corporation Senior Secured Term Loan B, 1 Month USD LIBOR + 2.75%, 2.85%, 9/27/2024
(b) |
597,713 | 595,145 | |||
| 625,243 | |||||
| MACHINERY — 0.1% | |||||
|
Alliance Laundry Systems LLC Senior Secured Term Loan B, 3 Month USD LIBOR + 3.50%, 4.25%, 10/8/2027
(b) |
118,114 | 118,410 | |||
|
American Trailer World Corp. Senior Secured Term Loan B, 1 Month USD LIBOR + 3.75%, 4.50%, 3/3/2028
(b) |
235,000 | 234,964 | |||
|
Columbus McKinnon Corporation Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 2.75%, 3.25%, 5/14/2028
(b) |
35,000 | 35,044 | |||
|
Filtration Group Corporation Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 3.00%, 3.10%, 3/29/2025
(b) |
394,613 | 391,941 | |||
|
Hayward Industries, Inc. Senior Secured 2021 Term Loan, 1 Month USD LIBOR + 2.75%, 3.25%, 5/12/2028
(b) |
380,000 | 379,466 | |||
| Hillman Group Inc. (The): | |||||
|
Senior Secured 2021 Delayed Draw Term Loan, 2/24/2028
(h) |
28,692 | 28,666 | |||
|
Senior Secured 2021 Term Loan B1, 2/24/2028
(h) |
141,308 | 141,179 | |||
|
Madison IAQ LLC Senior Secured Term Loan, 3 Month USD LIBOR + 3.25%, 3.75%,
6/21/2028 |
245,000 | 245,421 | |||
|
Titan Acquisition Limited Senior Secured 2018 Term Loan B, 3 Month USD LIBOR + 3.00%, 3.17%, 3/28/2025
(b) |
287,694 | 283,302 | |||
| 1,858,393 |
See accompanying notes to financial statements.
98
SPDR DOUBLELINE TOTAL RETURN
TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
June 30,
2021
| Security Description | Principal
Amount |
Value | |||
| MACHINERY-CONSTRUCTION & MINING — 0.0% (d) | |||||
|
Clear Channel Outdoor Holdings, Inc. Senior Secured Term Loan B, 3 Month USD LIBOR + 3.50%, 3.69%, 8/21/2026
(b) |
$ 152,651 | $ 149,216 | |||
| MEDIA — 0.1% | |||||
|
Diamond Sports Group, LLC Senior Secured Term Loan, 1 Month USD LIBOR + 3.25%, 3.36%, 8/24/2026
(b) |
174,114 | 106,210 | |||
|
Radiate Holdco, LLC Senior Secured 2020 Term Loan, 1 Month USD LIBOR + 3.50%, 4.25%, 9/25/2026
(b) |
1,054,700 | 1,056,989 | |||
|
Sinclair Television Group Inc. Senior Secured Term Loan B2B, 1 Month USD LIBOR + 2.50%, 2.61%, 9/30/2026
(b) |
275,100 | 271,791 | |||
| 1,434,990 | |||||
| METALS & MINING — 0.0% (d) | |||||
|
Tiger Acquisition, LLC Senior Secured 2021 Term Loan, 3 Month USD LIBOR + 3.25%, 3.75%, 6/1/2028
(b) |
195,000 | 194,818 | |||
|
U.S. Silica Company Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 4.00%, 5.00%, 5/1/2025
(b) |
184,041 | 176,450 | |||
| 371,268 | |||||
| MISCELLANEOUS MANUFACTUR — 0.0% (d) | |||||
|
Gemini HDPE LLC Senior Secured 2020 Term Loan B, 3 Month USD LIBOR + 3.00%, 3.50%, 12/31/2027
(b) |
345,440 | 345,441 | |||
|
Groupe Solmax Inc. Senior Secured Term Loan, 6/28/2028
(h) |
95,000 | 94,881 | |||
| 440,322 | |||||
| MRI/MEDICAL DIAG IMAGING — 0.0% (d) | |||||
|
Radiology Partners, Inc Senior Secured 2018 1st Lien Term Loan B, 1 Month USD LIBOR + 4.25%, 4.35%, 7/9/2025
(b) |
618,810 | 619,413 | |||
| OIL REFINING & MARKETING — 0.0% (d) | |||||
|
Gulf Finance, LLC Senior Secured Term Loan B, 1 Month USD LIBOR + 5.25%, 6.25%, 8/25/2023
(b) |
220,539 | 187,813 | |||
| OIL, GAS & CONSUMABLE FUELS — 0.0% (d) | |||||
|
EG America LLC Senior Secured 2018 USD Term Loan, 3 Month USD LIBOR + 4.00%, 4.15%, 2/7/2025
(b) |
178,038 | 177,085 | |||
|
EG Group Limited Senior Secured 2021 Term Loan, 3 Month USD LIBOR + 4.25%, 4.75%, 3/31/2026
(b) |
155,000 | 155,315 |
See accompanying notes to financial statements.
99
SPDR DOUBLELINE TOTAL RETURN
TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
June 30,
2021
| Security Description | Principal
Amount |
Value | |||
|
Pacific Gas & Electric Company Senior Secured 2020 Term Loan, 3 Month USD LIBOR + 3.00%, 3.50%, 6/23/2025
(b) |
$ 598,950 | $ 591,933 | |||
|
Waterbridge Midstream Operating LLC Senior Secured Term Loan B, 6 Month USD LIBOR + 5.75%, 6.75%, 6/22/2026
(b) |
169,570 | 163,029 | |||
| 1,087,362 | |||||
| PERSONAL PRODUCTS — 0.0% (d) | |||||
|
Kronos Acquisition Holdings, Inc. Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 3.75%, 4.25%, 12/22/2026
(b) |
447,925 | 445,358 | |||
| PHARMACEUTICALS — 0.1% | |||||
|
Bausch Health Companies Inc. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 3.00%, 3.10%, 6/2/2025
(b) |
149,044 | 148,570 | |||
|
HC Group Holdings II, Inc. Senior Secured Term Loan B, 1 Month USD LIBOR + 3.75%, 3.85%, 8/6/2026
(b) |
89,545 | 89,714 | |||
|
Jazz Financing Lux S.a.r.l. Senior Secured USD Term Loan, 1 Month USD LIBOR + 3.50%, 4.00%, 4/21/2028
(b) |
590,000 | 592,534 | |||
|
Organon & Co Senior Secured USD Term Loan, 3 Month USD LIBOR + 3.00%, 3.50%, 6/2/2028
(b) |
590,000 | 591,354 | |||
|
Pathway Vet Alliance LLC Senior Secured 2021 Term Loan, 1 Month USD LIBOR + 3.75%, 3.85%, 3/31/2027
(b) |
593,713 | 593,092 | |||
|
PetVet Care Centers, LLC Senior Secured 2021 Term Loan B3, 1 Month USD LIBOR + 3.50%, 4.25%, 2/14/2025
(b) |
14,924 | 14,987 | |||
| 2,030,251 | |||||
| PIPELINES — 0.1% | |||||
|
CQP Holdco LP Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 3.75%, 4.25%, 6/5/2028
(b) |
650,000 | 648,213 | |||
|
DT Midstream, Inc Senior Secured Term Loan B, 6/26/2028
(h) |
170,000 | 170,501 | |||
|
Oryx Midstream Holdings LLC Senior Secured Term Loan B, 1 Month USD LIBOR + 4.00%, 4.10%, 5/22/2026
(b) |
694,649 | 691,238 | |||
| 1,509,952 | |||||
| PROFESSIONAL SERVICES — 0.0% (d) | |||||
|
Dun & Bradstreet Corporation (The) Senior Secured Term Loan, 1 Month USD LIBOR + 3.25%, 3.35%, 2/6/2026
(b) |
1,373,797 | 1,368,858 |
See accompanying notes to financial statements.
100
SPDR DOUBLELINE TOTAL RETURN
TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
June 30,
2021
| Security Description | Principal
Amount |
Value | |||
| PUBLISHING-BOOKS — 0.0% (d) | |||||
|
Getty Images, Inc. Senior Secured 2019 USD Term Loan B, 1 Month USD LIBOR + 4.50%, 4.63%, 2/19/2026
(b) |
$ 238,670 | $ 238,820 | |||
| REAL ESTATE INVESTMENT TRUSTS (REITS) — 0.1% | |||||
|
VICI Properties 1 LLC Senior Secured Replacement Term Loan B, 1 Month USD LIBOR + 1.75%, 1.84%, 12/20/2024
(b) |
1,423,068 | 1,413,128 | |||
| REAL ESTATE MANAGEMENT & DEVELOPMENT — 0.0% (d) | |||||
|
Bright Bidco B.V. Senior Secured 2018 Term Loan B, 3 Month USD LIBOR + 3.50%, 4.50%, 6/30/2024
(b) |
355,623 | 298,834 | |||
| RETAIL-BUILDING PRODUCTS — 0.0% (d) | |||||
|
Kodiak Building Partners, Inc. Senior Secured Term Loan B, 3 Month USD LIBOR + 3.25%, 4.00%, 3/12/2028
(b) |
139,650 | 139,650 | |||
| LBM Acquisition LLC: | |||||
|
Senior Secured Delayed Draw Term Loan, 12/17/2027
(b)
(h) |
30,909 | 30,732 | |||
|
Senior Secured Term Loan B, 3 Month USD LIBOR + 3.75%, 4.50%, 12/17/2027
(b) |
208,115 | 206,922 | |||
|
Park River Holdings Inc Senior Secured Term Loan, 3 Month USD LIBOR + 3.25%, 4.00%, 12/28/2027
(b) |
295,000 | 293,894 | |||
| 671,198 | |||||
| RETAIL-RESTAURANTS — 0.0% (d) | |||||
|
IRB Holding Corp Senior Secured 2020 Fourth Amendment Incremental Term Loan, 3 Month USD LIBOR + 3.25%, 4.25%, 12/15/2027
(b) |
278,600 | 278,928 | |||
|
Whatabrands LLC Senior Secured 2020 Term Loan B, 1 Month USD LIBOR + 2.75%, 2.83%, 7/31/2026
(b) |
283,598 | 282,711 | |||
| 561,639 | |||||
| ROAD & RAIL — 0.0% (d) | |||||
|
PODS, LLC Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 3.00%, 3.75%, 3/31/2028
(b) |
573,563 | 573,043 | |||
| SEMICONDUCTOR EQUIPMENT — 0.0% (d) | |||||
|
Tech Data Corporation Senior Secured ABL Term Loan, 1 Month USD LIBOR + 3.50%, 3.60%, 6/30/2025
(b) |
838,663 | 841,057 |
See accompanying notes to financial statements.
101
SPDR DOUBLELINE TOTAL RETURN
TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
June 30,
2021
| Security Description | Principal
Amount |
Value | |||
| SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT — 0.0% (d) | |||||
|
Ultra Clean Holdings, Inc. Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 3.75%, 3.85%, 8/27/2025
(b) |
$ 157,398 | $ 157,922 | |||
| SOFTWARE — 0.6% | |||||
|
Applied Systems, Inc. Senior Secured 2017 1st Lien Term Loan, 1 Month USD LIBOR + 3.25%, 3.75%, 9/19/2024
(b) |
281,712 | 281,467 | |||
|
Artera Services, LLC Senior Secured Incremental Term Loan, 3/6/2025
(h) |
205,000 | 204,552 | |||
|
Athenahealth, Inc. Senior Secured 2021 Term Loan B1, 3 Month USD LIBOR + 4.25%, 4.41%, 2/11/2026
(b) |
361,883 | 363,354 | |||
|
Atlas Purchaser, Inc. Senior Secured 2021 Term Loan, 3 Month USD LIBOR + 5.25%, 6.00%, 5/8/2028
(b) |
300,000 | 295,812 | |||
|
Banff Merger Sub, Inc. Senior Secured 2021 USD Term Loan, 1 Month USD LIBOR + 3.75%, 3.85%, 10/2/2025
(b) |
265,325 | 264,139 | |||
|
Camelot U.S. Acquisition 1 Co. Senior Secured Term Loan B, 1 Month USD LIBOR + 3.00%, 3.10%, 10/30/2026
(b) |
1,226,325 | 1,222,646 | |||
|
Castle US Holding Corporation Senior Secured USD Term Loan B, 3 Month USD LIBOR + 3.75%, 3.90%, 1/29/2027
(b) |
1,266,667 | 1,253,506 | |||
| Cengage Learning, Inc.: | |||||
|
Senior Secured 2016 Term Loan B, 1 Month USD LIBOR + 4.25%, 5.25%, 6/7/2023
(b) |
536,375 | 537,909 | |||
|
Senior Secured 2021 Term Loan B, 6/29/2026
(h) |
440,000 | 441,102 | |||
|
CommerceHub, Inc. Senior Secured 2020 Term Loan B, 3 Month USD LIBOR + 4.00%, 4.75%, 12/29/2027
(b) |
139,300 | 139,822 | |||
|
Constant Contact Inc Senior Secured Term Loan, 3 Month USD LIBOR + 4.00%, 4.75%, 2/10/2028
(b) |
398,059 | 397,561 | |||
|
DCert Buyer, Inc. Senior Secured 2019 Term Loan B, 1 Month USD LIBOR + 4.00%, 4.10%, 10/16/2026
(b) |
94,521 | 94,758 | |||
| Finastra USA, Inc.: | |||||
|
Senior Secured USD 1st Lien Term Loan, 6 Month USD LIBOR + 3.50%, 4.50%, 6/13/2024
(b) |
514,849 | 507,595 | |||
|
Senior Secured USD 2nd Lien Term Loan, 6 Month USD LIBOR + 7.25%, 8.25%, 6/13/2025
(b) |
105,000 | 106,346 | |||
|
First Advantage Holdings, LLC Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 2.75%, 2.85%, 1/31/2027
(b) |
275,666 | 274,762 | |||
|
Flexera Software LLC Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 3.75%, 4.50%, 3/3/2028
(b) |
536,841 | 538,663 |
See accompanying notes to financial statements.
102
SPDR DOUBLELINE TOTAL RETURN
TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
June 30,
2021
| Security Description | Principal
Amount |
Value | |||
|
Grab Holdings, Inc. Senior Secured Term Loan B, 6 Month USD LIBOR + 4.50%, 5.50%, 1/29/2026
(b) |
$ 304,237 | $ 309,562 | |||
|
Greeneden U.S. Holdings II, LLC Senior Secured 2020 USD Term Loan B4, 1 Month USD LIBOR + 4.00%, 4.75%, 12/1/2027
(b) |
1,223,951 | 1,228,326 | |||
|
Helios Software Holdings, Inc. Senior Secured 2021 USD Term Loan B, 6 Month USD LIBOR + 3.75%, 3.92%, 3/11/2028
(b) |
513,714 | 514,598 | |||
| Hyland Software, Inc.: | |||||
|
Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 3.50%, 4.25%, 7/1/2024
(b) |
1,216,433 | 1,220,107 | |||
|
Senior Secured 2021 2nd Lien Term Loan, 1 Month USD LIBOR + 6.25%, 7.00%, 7/7/2025
(b) |
45,000 | 45,356 | |||
|
I-Logic Technologies Bidco, Ltd. Senior Secured 2021 USD Term Loan B, 3 Month USD LIBOR + 4.00%, 4.50%, 2/16/2028
(b) |
162,500 | 163,255 | |||
|
Informatica LLC, Senior Secured 2020 USD Term Loan B, 1 Month USD LIBOR + 3.25%, 3.35%, 2/25/2027
(b) |
202,438 | 201,517 | |||
|
ION Trading Finance Limited Senior Secured 2021 USD Term Loan, 3 Month USD LIBOR + 4.75%, 4.92%, 4/1/2028
(b) |
590,000 | 593,319 | |||
|
LogMeIn, Inc. Senior Secured Term Loan B, 1 Month USD LIBOR + 4.75%, 4.83%, 8/31/2027
(b) |
701,475 | 701,201 | |||
|
Mitchell International, Inc. Senior Secured 2017 1st Lien Term Loan, 1 Month USD LIBOR + 3.25%, 3.35%, 11/29/2024
(b) |
1,067,535 | 1,059,198 | |||
|
PointClickCare Technologies, Inc. Senior Secured Term Loan B, 6 Month USD LIBOR + 3.00%, 3.75%, 12/29/2027
(b) |
145,000 | 145,091 | |||
|
Polaris Newco LLC Senior Secured USD Term Loan B, 6 Month USD LIBOR + 4.00%, 4.50%, 6/2/2028
(b) |
590,000 | 592,472 | |||
|
Project Alpha Intermediate Holding, Inc. Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 4.00%, 4.11%, 4/26/2024
(b) |
709,052 | 710,949 | |||
|
Proofpoint, Inc. Senior Secured 1st Lien Term Loan, 6/9/2028
(h) |
340,000 | 338,514 | |||
|
Renaissance Holding Corp. Senior Secured 2018 2nd Lien Term Loan, 7.00%, 5/29/2026
(b)
(h) |
150,000 | 150,488 | |||
|
Sabre GLBL, Inc. Senior Secured 2020 Term Loan B, 1 Month USD LIBOR + 4.00%, 4.75%, 12/17/2027
(b) |
134,325 | 135,388 | |||
|
Severin Acquisition, LLC Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 3.25%, 3.33%, 8/1/2025
(b) |
597,080 | 594,626 |
See accompanying notes to financial statements.
103
SPDR DOUBLELINE TOTAL RETURN
TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
June 30,
2021
| Security Description | Principal
Amount |
Value | |||
|
Sophia, L.P. Senior Secured 2020 1st Lien Term Loan, 3 Month USD LIBOR + 3.75%, 4.50%, 10/7/2027
(b) |
$ 592,025 | $ 593,259 | |||
|
Surf Holdings, LLC Senior Secured USD Term Loan, 3 Month USD LIBOR + 3.50%, 3.63%, 3/5/2027
(b) |
1,029,603 | 1,024,136 | |||
|
Tempo Acquisition LLC Senior Secured 2020 Extended Term Loan, 1 Month USD LIBOR + 3.25%, 3.75%, 11/2/2026
(b) |
1,075,125 | 1,077,813 | |||
|
Tibco Software Inc. Senior Secured 2020 Term Loan B3, 1 Month USD LIBOR + 3.75%, 3.86%, 6/30/2026
(b) |
1,029,315 | 1,028,028 | |||
| Ultimate Software Group, Inc. (The): | |||||
|
Senior Secured 2020 2nd Lien Incremental Term Loan, 3 Month USD LIBOR + 6.75%, 7.50%, 5/3/2027
(b) |
95,000 | 96,940 | |||
|
Senior Secured 2021 Incremental Term Loan, 3 Month USD LIBOR + 3.25%, 4.00%, 5/4/2026
(b) |
590,961 | 592,412 | |||
|
Virtusa Corporation Senior Secured Term Loan B, 1 Month USD LIBOR + 4.25%, 5.00%, 2/11/2028
(b) |
69,825 | 70,218 | |||
| 20,110,767 | |||||
| SPECIALTY RETAIL — 0.1% | |||||
|
At Home Group, Inc. Senior Secured Term Loan B, 7/30/2028
(h) |
160,000 | 160,400 | |||
|
Great Outdoors Group, LLC Senior Secured 2021 Term Loan B, 6 Month USD LIBOR + 4.25%, 5.00%, 3/6/2028
(b) |
462,675 | 464,917 | |||
|
Jo-Ann Stores, Inc. Senior Secured 2021 Term Loan B, 6/30/2028
(h) |
140,000 | 139,650 | |||
|
K-Mac Holdings Corp Senior Secured 2021 Term Loan, 6/23/2028
(h) |
85,000 | 85,292 | |||
|
Michaels Companies, Inc. Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 4.25%, 5.00%, 4/15/2028
(b) |
195,000 | 196,053 | |||
|
Petco Animal Supplies, Inc. Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 3.25%, 4.00%, 3/3/2028
(b) |
583,538 | 583,018 | |||
|
PetSmart, Inc. Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 3.75%, 4.50%, 2/12/2028
(b) |
300,000 | 300,600 | |||
|
Rent-A-Center, Inc. Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 4.00%, 4.75%, 2/17/2028
(b) |
169,575 | 169,999 | |||
|
SRS Distribution Inc. Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 3.75%, 4.25%, 6/2/2028
(b) |
270,000 | 270,169 | |||
|
Staples, Inc. Senior Secured 7 Year Term Loan, 3 Month USD LIBOR + 5.00%, 5.18%, 4/16/2026
(b) |
210,000 | 205,013 | |||
|
Victoria's Secret & Co. Senior Secured Term Loan B, 6/30/2028
(h) |
210,000 | 207,900 | |||
| 2,783,011 |
See accompanying notes to financial statements.
104
SPDR DOUBLELINE TOTAL RETURN
TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
June 30,
2021
| Security Description | Principal
Amount |
Value | |||
| STEEL-PRODUCERS — 0.0% (d) | |||||
|
Phoenix Services International, LLC Senior Secured Term Loan, 3/1/2025
(b)
(h) |
$ 399,304 | $ 399,242 | |||
| TELECOM SERVICES — 0.0% (d) | |||||
|
Connect Finco Sarl Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 3.50%, 4.50%, 12/11/2026
(b) |
143,188 | 143,546 | |||
| TELECOMMUNICATION EQUIP — 0.1% | |||||
|
Altice France S.A. Senior Secured 2018 Term Loan B13, 3 Month USD LIBOR + 4.00%, 4.15%, 8/14/2026
(b) |
755,316 | 755,275 | |||
|
Cologix, Inc. Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 3.75%, 4.50%, 5/1/2028
(b) |
490,000 | 492,653 | |||
|
Delta TopCo, Inc. Senior Secured 2020 Term Loan B, 3 Month USD LIBOR + 3.75%, 4.50%, 12/1/2027
(b) |
275,000 | 275,975 | |||
|
GOGO Intermediate Holdings LLC Senior Secured Term Loan B, 3 Month USD LIBOR + 3.75%, 4.50%, 4/30/2028
(b) |
310,000 | 309,922 | |||
|
MLN US HoldCo LLC Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 4.50%, 4.59%, 11/30/2025
(b) |
105,039 | 96,676 | |||
| 1,930,501 | |||||
| TRADING COMPANIES & DISTRIBUTORS — 0.0% (d) | |||||
|
Foundation Building Materials Holding Company LLC Senior Secured 2021 Term Loan, 3 Month USD LIBOR + 3.25%, 3.75%, 2/3/2028
(b) |
300,000 | 298,344 | |||
| TRANSPORT-AIR FREIGHT — 0.0% (d) | |||||
|
Kestrel Bidco, Inc. Senior Secured Term Loan B, 6 Month USD LIBOR + 3.00%, 4.00%, 12/11/2026
(b) |
557,752 | 547,643 | |||
|
TOTAL SENIOR FLOATING RATE LOANS (Cost
$97,633,510) |
98,074,103 | ||||
| U.S. GOVERNMENT AGENCY OBLIGATIONS — 35.2% | |||||
| Federal Home Loan Mortgage Corp.: | |||||
|
2.50%,
4/1/2033 |
1,917,929 | 2,010,010 | |||
|
2.50%,
9/1/2050 |
17,738,480 | 18,420,311 | |||
|
3.00%,
11/1/2042 |
8,668,741 | 9,196,905 | |||
|
3.00%,
12/1/2042 |
6,305,069 | 6,631,312 | |||
|
3.00%,
1/1/2045 |
1,083,746 | 1,148,288 | |||
|
3.00%,
2/1/2045 |
739,146 | 779,900 |
See accompanying notes to financial statements.
105
SPDR DOUBLELINE TOTAL RETURN
TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
June 30,
2021
| Security Description | Principal
Amount |
Value | |||
|
3.00%,
3/1/2045 |
$ 736,973 | $ 777,607 | |||
|
3.00%,
4/1/2045 |
19,991,458 | 21,157,166 | |||
|
3.00%,
5/1/2045 |
2,868,284 | 3,026,432 | |||
|
3.00%,
8/1/2045 |
8,335,442 | 8,795,030 | |||
|
3.00%,
7/1/2047 |
2,910,739 | 3,061,349 | |||
|
3.00%,
5/1/2051 |
19,719,120 | 20,680,203 | |||
|
3.00%,
6/1/2051 |
24,933,555 | 26,169,126 | |||
|
3.50%,
2/1/2045 |
1,281,223 | 1,371,695 | |||
|
3.50%,
4/1/2045 |
17,589,878 | 18,982,347 | |||
|
3.50%,
6/1/2045 |
8,463,643 | 9,154,942 | |||
|
3.50%,
10/1/2045 |
9,032,438 | 9,770,162 | |||
|
3.50%,
2/1/2046 |
5,295,139 | 5,629,267 | |||
|
4.00%,
4/1/2047 |
14,853,521 | 15,894,667 | |||
|
4.00%,
7/1/2047 |
3,910,426 | 4,184,422 | |||
|
4.00%,
10/1/2047 |
8,375,627 | 8,962,490 | |||
|
4.50%,
6/1/2044 |
1,284,879 | 1,419,029 | |||
|
Series 326, Class 300, CMO, 3.00%,
3/15/2044 |
16,636,121 | 17,588,716 | |||
|
Series 358, Class 300, CMO, 3.00%,
10/15/2047 |
19,830,814 | 20,880,077 | |||
|
Series 3852, Class NS, CMO, IO, REMIC, 6.00% - 1 Month USD LIBOR 5.93%, 5/15/2041
(b) |
5,645,236 | 763,825 | |||
|
Series 3889, Class VZ, CMO, REMIC, 4.00%,
7/15/2041 |
4,224,360 | 4,527,054 | |||
|
Series 3935, Class SJ, CMO, IO, REMIC, 6.65% - 1 Month USD LIBOR 6.58%, 5/15/2041
(b) |
965,809 | 105,302 | |||
|
Series 4120, Class KA, CMO, REMIC, 1.75%,
10/15/2032 |
8,805,580 | 9,060,743 | |||
|
Series 4165, Class ZT, CMO, REMIC, 3.00%,
2/15/2043 |
7,255,227 | 7,445,985 | |||
|
Series 4364, Class ZX, CMO, REMIC, 4.00%,
7/15/2044 |
31,689,805 | 35,177,932 | |||
|
Series 4434, Class LZ, CMO, REMIC, 3.00%,
2/15/2045 |
3,626,889 | 3,853,443 | |||
|
Series 4444, Class CZ, CMO, REMIC, 3.00%,
2/15/2045 |
13,298,592 | 14,126,330 | |||
|
Series 4447, Class A, CMO, REMIC, 3.00%,
6/15/2041 |
416,143 | 421,133 | |||
|
Series 4447, Class Z, CMO, REMIC, 3.00%,
3/15/2045 |
4,389,378 | 4,667,402 |
See accompanying notes to financial statements.
106
SPDR DOUBLELINE TOTAL RETURN
TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
June 30,
2021
| Security Description | Principal
Amount |
Value | |||
|
Series 4471, Class BA, CMO, REMIC, 3.00%,
12/15/2041 |
$ 1,808,127 | $ 1,862,673 | |||
|
Series 4471, Class GA, CMO, REMIC, 3.00%,
2/15/2044 |
5,298,930 | 5,528,786 | |||
|
Series 4474, Class ZX, CMO, REMIC, 4.00%,
4/15/2045 |
13,195,235 | 14,690,127 | |||
|
Series 4481, Class B, CMO, REMIC, 3.00%,
12/15/2042 |
2,123,445 | 2,202,625 | |||
|
Series 4483, Class CA, CMO, REMIC, 3.00%,
6/15/2044 |
5,564,179 | 5,801,086 | |||
|
Series 4484, Class CD, CMO, REMIC, 1.75%,
7/15/2030 |
5,331,483 | 5,457,668 | |||
|
Series 4492, Class GZ, CMO, REMIC, 3.50%,
7/15/2045 |
9,344,084 | 9,935,929 | |||
|
Series 4499, Class AB, CMO, REMIC, 3.00%,
6/15/2042 |
3,882,696 | 3,997,177 | |||
|
Series 4504, Class CA, CMO, REMIC, 3.00%,
4/15/2044 |
5,492,597 | 5,721,562 | |||
|
Series 4533, Class AB, CMO, REMIC, 3.00%,
6/15/2044 |
4,582,001 | 4,765,539 | |||
|
Series 4543, Class HG, CMO, REMIC, 2.70%,
4/15/2044 |
8,315,309 | 8,605,879 | |||
|
Series 4582, Class HA, CMO, REMIC, 3.00%,
9/15/2045 |
6,382,359 | 6,648,487 | |||
|
Series 4702, Class ZL, CMO, 3.00%,
7/15/2047 |
13,944,007 | 15,117,178 | |||
|
Series 4750, Class PA, 3.00%,
7/15/2046 |
6,907,646 | 7,166,947 | |||
|
Series 4792, Class A, CMO, REMIC, 3.00%,
5/15/2048 |
5,705,459 | 5,971,045 | |||
|
Series 4951, Class EA, CMO, 2.50%,
9/15/2044 |
6,812,393 | 7,072,397 | |||
| Federal National Mortgage Association: | |||||
|
1.41%,
12/1/2030 |
10,000,000 | 9,885,543 | |||
|
2.00%,
2/1/2036 |
1,913,331 | 1,974,024 | |||
|
2.00%,
5/1/2036 |
55,162,899 | 57,275,492 | |||
|
2.00%,
5/1/2041 |
39,684,456 | 40,521,706 | |||
|
2.00%,
5/1/2051 |
29,786,886 | 30,152,362 | |||
|
2.22%,
12/1/2029 |
5,400,000 | 5,706,907 | |||
|
2.44%,
1/1/2032 |
16,600,000 | 17,817,038 | |||
|
2.50%,
10/1/2040 |
23,811,018 | 24,905,724 | |||
|
2.50%,
9/1/2046 |
2,745,450 | 2,828,090 | |||
|
2.50%,
2/1/2047 |
6,879,137 | 7,148,300 |
See accompanying notes to financial statements.
107
SPDR DOUBLELINE TOTAL RETURN
TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
June 30,
2021
| Security Description | Principal
Amount |
Value | |||
|
2.50%,
11/1/2050 |
$ 18,996,158 | $ 19,825,858 | |||
|
2.50%,
2/1/2051 |
13,463,119 | 13,983,628 | |||
|
2.50%,
4/1/2051 |
4,620,109 | 4,807,912 | |||
|
2.50%,
5/1/2051 |
42,920,195 | 44,600,747 | |||
|
12 Month USD LIBOR + 1.66% 2.64%, 5/1/2044
(b) |
7,033,651 | 7,296,578 | |||
|
2.69%,
8/1/2030 |
23,794,445 | 25,819,379 | |||
|
2.80%,
11/1/2039 |
10,034,000 | 11,085,215 | |||
|
3.00%,
5/1/2035 |
4,574,680 | 4,838,571 | |||
|
3.00%,
10/1/2041 |
13,125,948 | 13,805,579 | |||
|
3.00%,
3/1/2043 |
3,196,747 | 3,396,690 | |||
|
3.00%,
7/1/2043 |
3,381,570 | 3,533,954 | |||
|
3.00%,
1/1/2045 |
152,288 | 159,003 | |||
|
3.00%,
3/1/2045 |
1,004,520 | 1,059,375 | |||
|
3.00%,
4/1/2045 |
2,303,676 | 2,398,720 | |||
|
3.00%,
7/1/2045 |
18,326,079 | 19,472,297 | |||
|
3.00%,
10/1/2046 |
3,534,072 | 3,717,058 | |||
|
3.00%,
2/1/2047 |
12,360,855 | 13,000,871 | |||
|
3.00%,
11/1/2048 |
7,648,648 | 8,044,678 | |||
|
3.00%,
10/1/2049 |
4,761,857 | 5,014,254 | |||
|
3.00%,
4/1/2053 |
13,540,870 | 14,558,292 | |||
|
3.50%,
9/1/2034 |
1,274,262 | 1,364,662 | |||
|
3.50%,
12/1/2034 |
1,122,937 | 1,202,602 | |||
|
3.50%,
2/1/2035 |
726,618 | 778,167 | |||
|
3.50%,
1/1/2045 |
7,953,785 | 8,598,853 | |||
|
3.50%,
2/1/2045 |
2,360,938 | 2,526,428 | |||
|
3.50%,
6/1/2045 |
8,507,113 | 9,198,172 | |||
|
3.88%,
10/1/2030 |
11,560,000 | 13,543,220 | |||
|
4.50%,
3/1/2044 |
1,183,579 | 1,306,329 | |||
|
4.50%,
6/1/2044 |
488,262 | 538,899 | |||
|
4.50%,
7/1/2044 |
496,429 | 547,913 | |||
|
4.50%,
2/1/2045 |
724,514 | 799,654 | |||
|
Series 2010-109, Class N, CMO, REMIC, 3.00%,
10/25/2040 |
1,637,853 | 1,742,956 | |||
|
Series 2011-51, Class CI, CMO, IO, REMIC, 6.00% - 1 Month USD LIBOR 5.91%, 6/25/2041
(b) |
3,480,631 | 604,195 | |||
|
Series 2012-127, Class PA, CMO, REMIC, 2.75%,
11/25/2042 |
2,103,081 | 2,218,995 | |||
|
Series 2012-151, Class SB, CMO, REMIC, 6.00% - 1 Month USD LIBOR 5.86%, 1/25/2043
(b) |
135,265 | 136,651 |
See accompanying notes to financial statements.
108
SPDR DOUBLELINE TOTAL RETURN
TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
June 30,
2021
| Security Description | Principal
Amount |
Value | |||
|
Series 2013-114, Class HZ, CMO, REMIC, 3.00%,
11/25/2038 |
$ 17,957,584 | $ 19,159,513 | |||
|
Series 2013-18, Class CD, CMO, REMIC, 1.50%,
10/25/2027 |
2,511,537 | 2,534,830 | |||
|
Series 2013-30, Class PS, CMO, REMIC, 6.00% - 1 Month USD LIBOR 5.86%, 4/25/2043
(b) |
825,677 | 840,599 | |||
|
Series 2014-21, Class GZ, CMO, REMIC, 3.00%,
4/25/2044 |
5,653,452 | 5,908,766 | |||
|
Series 2014-39, Class ZA, CMO, REMIC, 3.00%,
7/25/2044 |
7,207,011 | 7,498,621 | |||
|
Series 2015-42, Class CA, CMO, REMIC, 3.00%,
3/25/2044 |
3,440,900 | 3,582,801 | |||
|
Series 2015-9, Class HA, CMO, REMIC, 3.00%,
1/25/2045 |
6,401,347 | 6,818,262 | |||
|
Series 2015-95, Class AP, CMO, REMIC, 3.00%,
8/25/2042 |
1,830,377 | 1,845,721 | |||
|
Series 2016-21, Class BZ, CMO, REMIC, 3.00%,
4/25/2046 |
5,069,065 | 5,383,068 | |||
|
Series 2016-32, Class LA, CMO, REMIC, 3.00%,
10/25/2044 |
6,298,884 | 6,520,826 | |||
|
Series 2016-72, Class PA, CMO, REMIC, 3.00%,
7/25/2046 |
6,323,931 | 6,597,799 | |||
|
Series 2016-81, Class PA, CMO, REMIC, 3.00%,
2/25/2044 |
6,083,790 | 6,249,360 | |||
|
Series 2016-9, Class A, CMO, REMIC, 3.00%,
9/25/2043 |
2,009,106 | 2,042,331 | |||
|
Series 2016-92, Class A, CMO, REMIC, 3.00%,
4/25/2042 |
9,898,852 | 10,145,465 | |||
|
Series 2017-18, Class A, CMO, REMIC, 3.00%,
8/25/2042 |
1,457,299 | 1,459,039 | |||
|
Series 2017-32, Class CA, CMO, REMIC, 3.00%,
10/25/2042 |
1,513,550 | 1,515,358 | |||
|
Series 2017-87, Class BA, CMO, REMIC, 3.00%,
12/25/2042 |
9,755,879 | 9,885,197 | |||
|
Series 2018-M10, Class A1, 3.48%, 7/25/2028
(b) |
11,937,272 | 12,954,652 | |||
|
Series 2020-47, Class GL, CMO, 2.00%,
5/25/2046 |
10,000,000 | 10,301,314 | |||
|
Series 2021-29, Class BA, CMO, 1.25%,
5/25/2041 |
14,591,343 | 14,616,669 | |||
|
Series 2021-35, Class EH, CMO, 2.00%,
2/25/2037 |
24,177,643 | 24,874,180 |
See accompanying notes to financial statements.
109
SPDR DOUBLELINE TOTAL RETURN
TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
June 30,
2021
| Security Description | Principal
Amount |
Value | |||
| Government National Mortgage Association: | |||||
|
2.50%,
3/20/2051 |
$ 11,336,191 | $ 11,807,725 | |||
|
Series 2013-169, Class SE, CMO, IO, REMIC, 6.05% - 1 Month USD LIBOR 5.98%, 11/16/2043
(b) |
1,265,179 | 214,141 | |||
|
Series 2013-34, Class PL, CMO, REMIC, 3.00%,
3/20/2042 |
3,569,655 | 3,665,639 | |||
|
Series 2014-43, Class PS, CMO, IO, REMIC, 6.18% - 1 Month USD LIBOR 6.09%, 7/20/2042
(b) |
3,124,162 | 283,925 | |||
|
Series 2020-116, Class HS, CMO, IO, 1 Month USD LIBOR + 6.20% 6.11%, 8/20/2050
(b) |
12,526,786 | 2,233,652 | |||
|
Series 2020-173, Class SY, CMO, IO, 1 Month USD LIBOR + 6.30% 6.21%, 11/20/2050
(b) |
34,764,957 | 8,736,477 | |||
|
Series 2020-173, Class TI, CMO, IO, 2.00%,
11/20/2050 |
40,503,116 | 5,409,713 | |||
|
Series 2020-176, Class SL, CMO, IO, 1 Month USD LIBOR + 5.00% 4.91%, 11/20/2050
(b) |
10,940,515 | 2,060,605 | |||
|
Series 2020-185, Class SE, CMO, IO, 1 Month USD LIBOR + 6.30% 6.21%, 12/20/2050
(b) |
43,624,018 | 9,615,377 | |||
|
Series 2021-40, Class IO, IO, VRN, 0.84%, 2/16/2063
(b) |
79,649,364 | 6,244,149 | |||
|
Series 2021-60, Class IO, IO, VRN, 0.84%, 5/16/2063
(b) |
61,825,730 | 4,877,564 | |||
|
Series 2021-80, Class IO, IO, VRN, 0.91%, 12/16/2062
(b) |
92,624,734 | 7,768,843 | |||
|
Series 2021-85, Class IO, IO, VRN, 0.71%, 3/16/2063
(b) |
107,802,283 | 8,008,990 | |||
|
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS (Cost
$1,098,955,029) |
1,121,788,419 | ||||
| U.S. TREASURY OBLIGATIONS — 24.6% | |||||
|
Treasury Bonds 1.88%,
2/15/2051 |
44,000,000 | 41,985,625 | |||
| Treasury Notes: | |||||
|
0.13%,
1/15/2024 |
111,200,000 | 110,539,750 | |||
|
0.25%,
6/15/2024 |
117,200,000 | 116,494,969 | |||
|
0.38%,
11/30/2025 |
73,200,000 | 71,884,688 | |||
|
0.50%,
6/30/2027 |
63,500,000 | 61,431,289 | |||
|
0.63%,
5/15/2030 |
36,200,000 | 33,841,344 |
See accompanying notes to financial statements.
110
SPDR DOUBLELINE TOTAL RETURN
TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
June 30,
2021
| Security Description | Principal
Amount |
Value | |||
|
0.88%,
6/30/2026 |
$ 65,000,000 | $ 64,979,688 | |||
|
1.25%,
6/30/2028 |
65,000,000 | 65,111,719 | |||
|
1.63%,
5/15/2031 |
64,000,000 | 65,000,000 | |||
|
1.63%,
5/15/2026 |
21,500,000 | 22,286,094 | |||
|
2.13%,
7/31/2024 |
42,100,000 | 44,224,734 | |||
|
2.25%,
11/15/2025 |
83,600,000 | 88,949,094 | |||
|
TOTAL U.S. TREASURY OBLIGATIONS (Cost
$778,244,015) |
786,728,994 | ||||
| MORTGAGE-BACKED SECURITIES — 8.0% | |||||
| Alternative Loan Trust: | |||||
|
Series 2005-79CB, Class A4, CMO, 5.50%,
1/25/2036 |
4,208,884 | 3,479,789 | |||
|
Series 2006-24CB, Class A9, CMO, 6.00%,
8/25/2036 |
3,040,369 | 2,353,506 | |||
|
Series 2006-43CB, Class 1A12, CMO, 5.75%,
2/25/2037 |
2,736,373 | 2,025,818 | |||
|
Alternative Loan Trust 2005-21CB Series 2005-21CB, Class A3, CMO, 5.25%,
6/25/2035 |
2,273,240 | 2,170,305 | |||
| Banc of America Funding Trust: | |||||
|
Series 2006-8T2, Class A4, CMO, 5.83%, 10/25/2036
(e) |
2,573,875 | 2,603,124 | |||
|
Series 2007-5, Class CA1, CMO, 6.00%,
7/25/2037 |
4,193,557 | 3,714,656 | |||
|
BANK Series 2017-BNK6, Class XA, IO, 0.95%, 7/15/2060
(b) |
53,157,301 | 1,960,954 | |||
| BBCMS Mortgage Trust: | |||||
|
Series 2017-DELC, Class B, 1 Month USD LIBOR + 1.03% 1.10%, 8/15/2036
(a)
(b) |
2,449,000 | 2,450,225 | |||
|
Series 2017-DELC, Class C, 1 Month USD LIBOR + 1.20% 1.27%, 8/15/2036
(a)
(b) |
863,000 | 863,442 | |||
|
Series 2017-DELC, Class D, 1 Month USD LIBOR + 1.70% 1.77%, 8/15/2036
(a)
(b) |
983,000 | 983,326 | |||
|
Series 2017-DELC, Class E, 1 Month USD LIBOR + 2.50% 2.57%, 8/15/2036
(a)
(b) |
1,982,000 | 1,977,246 | |||
|
Series 2017-DELC, Class F, 1 Month USD LIBOR + 3.50% 3.57%, 8/15/2036
(a)
(b) |
1,974,000 | 1,955,073 | |||
|
BBCMS Trust Series 2018-BXH, Class A, 1 Month USD LIBOR + 1.00%, 1.07%, 10/15/2037
(a)
(b) |
205,725 | 205,484 | |||
|
BCAP LLC Trust Series 2010-RR4, Class 3212, CMO, 6.46%, 1/26/2037
(a)
(b) |
7,798,430 | 7,039,460 | |||
|
BRAVO Residential Funding Trust 2021-A Series 2021-A, Class A1, CMO, 1.99%, 4/25/2031
(a)
(e) |
9,517,916 | 9,519,781 |
See accompanying notes to financial statements.
111
SPDR DOUBLELINE TOTAL RETURN
TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
June 30,
2021
| Security Description | Principal
Amount |
Value | |||
|
BX Trust Series 2018-EXCL, Class A, 1 Month USD LIBOR + 1.09%, 1.16%, 9/15/2037
(a)
(b) |
$ 204,195 | $ 201,809 | |||
|
ChaseFlex Trust Series 2007-3 Series 2007-3, Class 1A2, CMO, 1 Month USD LIBOR + 0.46%, 0.55%, 7/25/2037
(b) |
8,566,912 | 2,242,269 | |||
| CHL Mortgage PassThrough Trust: | |||||
|
Series 2005-J2, Class 3A14, CMO, 5.50%,
8/25/2035 |
753,175 | 648,771 | |||
|
Series 2007-12, Class A9, CMO, 5.75%,
8/25/2037 |
2,851,334 | 2,222,003 | |||
|
CHL Mortgage Pass-Through Trust 2007-HYB1 Series 2007-HYB1, Class 2A1, CMO, 2.83%, 3/25/2037
(b) |
1,364,761 | 1,277,344 | |||
|
CHT COSMO Mortgage Trust Series 2017-CSMO, Class E, 1 Month USD LIBOR + 3.00%, 3.07%, 11/15/2036
(a)
(b) |
1,333,000 | 1,336,630 | |||
| Citigroup Mortgage Loan Trust: | |||||
|
Series 2007-AR4, Class 1A1A, CMO, 3.19%, 3/25/2037
(b) |
2,035,316 | 1,977,106 | |||
|
Series 2007-AR5, Class 1A2A, CMO, 3.10%, 4/25/2037
(b) |
985,337 | 882,645 | |||
|
Series 2021-JL1, Class A, 2.75%, 2/27/2062
(a)
(b) |
1,759,231 | 1,746,887 | |||
|
CitiMortgage Alternative Loan Trust Series 2007-A1, Class 1A7, CMO, 6.00%,
1/25/2037 |
4,784,074 | 4,485,078 | |||
|
COMM Mortgage Trust Series 2018-HCLV, Class A, 1 Month USD LIBOR + 1.00%, 1.07%, 9/15/2033
(a)
(b) |
347,000 | 345,670 | |||
|
CSAIL Commercial Mortgage Trust Series 2017-CX10, Class XA, IO, 0.85%, 11/15/2050
(b) |
64,263,576 | 2,271,945 | |||
|
CSMC MortgageBacked Trust Series 2006-7, Class 7A7, CMO, 6.00%,
8/25/2036 |
1,577,013 | 1,689,938 | |||
| CSMC Trust: | |||||
|
Series 2017-MOON, Class E, 3.30%, 7/10/2034
(a)
(b) |
3,181,000 | 3,180,904 | |||
|
Series 2019-RPL8, Class A2, CMO, 4.06%, 10/25/2058
(a)
(e) |
20,313,550 | 20,357,643 | |||
|
Series 2020-RPL2, Class A12, CMO, 3.44%, 2/25/2060
(a)
(b) |
11,511,985 | 11,633,994 | |||
| FMC GMSR Issuer Trust: | |||||
|
Series 2019-GT2, Class A, CMO, VRN, 4.23%, 9/25/2024
(a)
(b) |
3,100,000 | 3,095,006 | |||
|
Series 2020-GT1, Class A, CMO, VRN, 4.45%, 1/25/2026
(a)
(b) |
3,000,000 | 3,014,058 | |||
|
FWD Securitization Trust Series 2019-INV1, Class A3, 3.11%, 6/25/2049
(a)
(b) |
1,358,655 | 1,366,836 | |||
|
Government National Mortgage Association 0.92%,
8/16/2063 |
92,194,000 | 7,945,012 |
See accompanying notes to financial statements.
112
SPDR DOUBLELINE TOTAL RETURN
TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
June 30,
2021
| Security Description | Principal
Amount |
Value | |||
|
Great Wolf Trust Series 2019-WOLF, Class E, 1 Month USD LIBOR + 2.73%, 2.81%, 12/15/2036
(a)
(b) |
$ 100,000 | $ 98,118 | |||
| GS Mortgage Securities Trust: | |||||
|
Series 2017-GS7, Class XA, IO, 1.26%, 8/10/2050
(b) |
40,270,890 | 2,074,997 | |||
|
Series 2018-TWR, Class A, 1 Month USD LIBOR + 0.90% 0.97%, 7/15/2031
(a)
(b) |
650,000 | 648,092 | |||
|
Series 2018-TWR, Class D, 1 Month USD LIBOR + 1.60% 1.67%, 7/15/2031
(a)
(b) |
650,000 | 640,980 | |||
|
Series 2018-TWR, Class E, 1 Month USD LIBOR + 2.10% 2.17%, 7/15/2031
(a)
(b) |
650,000 | 626,114 | |||
|
Series 2018-TWR, Class F, 1 Month USD LIBOR + 2.80% 2.87%, 7/15/2031
(a)
(b) |
650,000 | 613,301 | |||
|
Series 2018-TWR, Class G, 1 Month USD LIBOR + 3.92% 4.00%, 7/15/2031
(a)
(b) |
650,000 | 570,415 | |||
|
Series 2019-SOHO, Class E, 1 Month USD LIBOR + 1.87% 1.95%, 6/15/2036
(a)
(b) |
3,411,000 | 3,351,307 | |||
|
GSR Mortgage Loan Trust Series 2006-OA1, Class 1A1, CMO, 1 Month USD LIBOR + 0.22%, 0.53%, 8/25/2046
(b) |
14,909,246 | 4,604,137 | |||
|
Headlands Residential Series 2019-RPL1, Class NOTE, 3.97%, 6/25/2024
(a)
(e) |
4,100,000 | 4,115,748 | |||
|
IndyMac IMJA Mortgage Loan Trust 2007-A4 Series 2007-A4, Class A1, CMO, 6.25%,
2/25/2038 |
22,054,684 | 10,323,589 | |||
|
JP Morgan Chase Commercial Mortgage Securities Trust Series 2018-LAQ, Class A, 1 Month USD LIBOR + 1.00%, 1.07%, 6/15/2032
(a)
(b) |
1,243,623 | 1,244,744 | |||
|
Morgan Stanley Capital I Trust Series 2016-UB12, Class XA, IO, 0.85%, 12/15/2049
(b) |
54,206,526 | 1,486,508 | |||
|
Morgan Stanley Resecuritization Trust Series 2014-R7, Class B2, CMO, 3.73%, 1/26/2051
(a)
(b) |
9,155,936 | 9,252,135 | |||
|
Morgan Stanley Residential Mortgage Loan Trust Series 2020-RPL1, Class A1, CMO, VRN, 2.69%, 10/25/2060
(a)
(b) |
1,156,777 | 1,163,509 | |||
|
New Residential Mortgage Loan Trust Series 2020-RPL2, Class A1, CMO, VRN, 3.58%, 8/25/2025
(a)
(b) |
733,261 | 746,887 | |||
| NRPL Trust: | |||||
|
Series 2018-2A, Class A1, CMO, 4.25%, 7/25/2067
(a)
(e) |
3,577,664 | 3,587,424 | |||
|
Series 2019-3A, Class A1, CMO, 3.00%, 7/25/2059
(a)
(e) |
4,454,989 | 4,478,837 | |||
|
PMT Credit Risk Transfer Trust Series 2019-2R, Class A, 1 Month USD LIBOR + 2.75%, 2.85%, 5/27/2023
(a)
(b) |
2,351,934 | 2,329,132 |
See accompanying notes to financial statements.
113
SPDR DOUBLELINE TOTAL RETURN
TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
June 30,
2021
| Security Description | Principal
Amount |
Value | |||
|
PMT Credit Risk Transfer Trust 2021-1R Series 2021-1R, Class A, 1 Month USD LIBOR + 2.90%, 3.01%, 2/27/2024
(a)
(b) |
$ 1,666,537 | $ 1,681,803 | |||
|
PRPM LLC Series 2020-6, Class A1, CMO, 2.36%, 11/25/2025
(a)
(e) |
14,831,893 | 14,867,283 | |||
| Seasoned Credit Risk Transfer Trust: | |||||
|
Series 2019-4, Class MV, 3.00%,
2/25/2059 |
16,793,663 | 17,921,199 | |||
|
Series 2020-2, Class MT, CMO, 2.00%,
11/25/2059 |
8,514,465 | 8,648,297 | |||
|
Seasoned Credit Risk Transfer Trust Series 2020-3, Class MT, CMO, 2.00%,
5/25/2060 |
13,619,505 | 13,777,771 | |||
|
Structured Adjustable Rate Mortgage Loan Trust Series 2006-8, Class 4A3, CMO, 3.53%, 9/25/2036
(b) |
474,461 | 465,906 | |||
|
Structured Asset Mortgage Investments II Trust Series 2004-AR3, Class M, CMO, 1 Month USD LIBOR + 0.68%, 0.77%, 7/19/2034
(b) |
1,563,546 | 1,521,507 | |||
|
UBS Commercial Mortgage Trust Series 2017-C1, Class XA, IO, 1.68%, 6/15/2050
(b) |
20,530,808 | 1,388,767 | |||
|
Vericrest Opportunity Loan Transferee Series 2021-NPL7, Class A1, 2.12%, 4/25/2051
(a)
(e) |
2,098,610 | 2,099,412 | |||
|
VOLT XCIV LLC Series 2021-NPL3, Class A1, CMO, 2.24%, 2/27/2051
(a)
(e) |
3,325,579 | 3,328,846 | |||
|
Volt Xcix LLC Series 2021-NPL8, Class A1, 2.12%, 4/25/2051
(a)
(e) |
6,829,366 | 6,845,581 | |||
|
VOLT XCVI LLC Series 2021-NPL5, Class A1, CMO, 2.12%, 3/27/2051
(a)
(e) |
2,042,466 | 2,043,548 | |||
|
Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2007-HY1 Trust Series 2007-HY1, Class A3A, CMO, 1 Month USD LIBOR + 0.230%, 0.32%, 2/25/2037
(b) |
5,804,834 | 4,924,928 | |||
| Washington Mutual Mortgage PassThrough Certificates WMALT Trust: | |||||
|
Series 2005-8, Class 2CB1, CMO, 5.50%,
10/25/2035 |
996,831 | 996,831 | |||
|
Series 2006-5, Class 3A2, CMO, 6.00%, 7/25/2036
(e) |
2,741,913 | 879,823 | |||
|
Series 2007-2, Class 1A3, CMO, 6.00%,
4/25/2037 |
4,712,509 | 4,453,406 | |||
|
Wells Fargo Mortgage Backed Securities Trust Series 2007-AR4, Class A1, CMO, 2.98%, 8/25/2037
(b) |
1,465,921 | 1,433,886 | |||
|
TOTAL MORTGAGE-BACKED SECURITIES (Cost
$261,799,676) |
254,458,505 |
See accompanying notes to financial statements.
114
SPDR DOUBLELINE TOTAL RETURN
TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
June 30,
2021
| Security Description | Principal
Amount |
Value | |||
| COMMERCIAL MORTGAGE BACKED SECURITIES — 4.9% | |||||
|
ACRE Commercial Mortgage, Ltd. Series 2021-FL4, Class B, 1 Month USD LIBOR + 1.40%, 1.48%, 12/18/2037
(a)
(b) |
$ 3,000,000 | $ 2,985,102 | |||
|
BANK Series 2017-BNK4, Class XA, IO, 1.55%, 5/15/2050
(b) |
29,444,217 | 1,694,688 | |||
|
BBCMS Mortgage Trust Series 2017-DELC, Class A, 1 Month USD LIBOR + 0.85%, 0.92%, 8/15/2036
(a)
(b) |
2,552,000 | 2,553,966 | |||
|
Benchmark 2021-B24 Mortgage Trust Series 2021-B24, Class XA, IO, VRN, 1.27%, 3/15/2054
(b) |
3,391,846 | 294,078 | |||
| Benchmark Mortgage Trust: | |||||
|
Series 2018-B2, Class C, VRN, 4.35%, 2/15/2051
(b) |
2,545,000 | 2,812,701 | |||
|
Series 2020-B19, Class XA, IO, VRN, 1.89%, 9/15/2053
(b) |
20,054,094 | 2,220,925 | |||
| BX Trust: | |||||
|
Series 2017-APPL, Class E, 1 Month USD LIBOR + 3.15% 3.22%, 7/15/2034
(a)
(b) |
1,007,434 | 1,008,882 | |||
|
Series 2017-SLCT, Class D, 1 Month USD LIBOR + 2.05% 2.12%, 7/15/2034
(a)
(b) |
565,436 | 566,913 | |||
|
Series 2017-SLCT, Class E, 1 Month USD LIBOR + 3.15% 3.22%, 7/15/2034
(a)
(b) |
1,805,400 | 1,810,659 | |||
|
Series 2019-OC11, Class E, 4.08%, 12/9/2041
(a)
(b) |
3,830,000 | 4,012,200 | |||
|
CD Mortgage Trust Series 2017-CD4, Class XA, IO, 1.44%, 5/10/2050
(b) |
16,481,835 | 868,609 | |||
| CFCRE Commercial Mortgage Trust: | |||||
|
Series 2016-C3, Class XA, IO, 1.15%, 1/10/2048
(b) |
23,642,790 | 911,261 | |||
|
Series 2016-C4, Class XA, IO, 1.80%, 5/10/2058
(b) |
10,981,585 | 695,786 | |||
|
Series 2017-C8, Class XA, IO, 1.76%, 6/15/2050
(b) |
26,779,477 | 1,709,265 | |||
| Citigroup Commercial Mortgage Trust: | |||||
|
Series 2015-GC27, Class C, VRN, 4.57%, 2/10/2048
(b) |
2,541,000 | 2,698,222 | |||
|
Series 2015-GC27, Class D, 4.57%, 2/10/2048
(a)
(b) |
423,700 | 421,364 | |||
|
Series 2015-GC31, Class C, 4.19%, 6/10/2048
(b) |
1,500,000 | 1,577,892 | |||
|
Series 2015-GC33, Class C, 4.73%, 9/10/2058
(b) |
1,500,000 | 1,490,170 | |||
|
Series 2016-GC36, Class XA, IO, 1.38%, 2/10/2049
(b) |
20,204,835 | 951,764 | |||
|
Series 2020-555, Class E, 3.62%, 12/10/2041
(a)
(b) |
2,047,000 | 1,923,501 | |||
| COMM Mortgage Trust: | |||||
|
Series 2013-CR12, Class XA, IO, 1.28%, 10/10/2046
(b) |
26,589,771 | 584,602 |
See accompanying notes to financial statements.
115
SPDR DOUBLELINE TOTAL RETURN
TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
June 30,
2021
| Security Description | Principal
Amount |
Value | |||
|
Series 2015-CR22, Class XA, IO, 1.02%, 3/10/2048
(b) |
$ 8,736,553 | $ 214,372 | |||
|
Series 2015-CR26, Class B, 4.62%, 10/10/2048
(b) |
1,600,000 | 1,764,441 | |||
|
Series 2015-CR26, Class XA, IO, 1.07%, 10/10/2048
(b) |
20,264,981 | 656,180 | |||
|
Series 2015-DC1, Class C, VRN, 4.45%, 2/10/2048
(b) |
644,000 | 664,233 | |||
|
Series 2015-DC1, Class XA, IO, 1.16%, 2/10/2048
(b) |
7,431,623 | 196,204 | |||
|
Series 2015-LC21, Class C, 4.48%, 7/10/2048
(b) |
968,000 | 1,027,554 | |||
|
Series 2016-CR28, Class C, 4.79%, 2/10/2049
(b) |
2,011,000 | 2,207,772 | |||
|
Series 2016-DC2, Class XA, IO, 1.12%, 2/10/2049
(b) |
16,119,184 | 592,435 | |||
|
Series 2017-PANW, Class D, 4.34%, 10/10/2029
(a)
(b) |
1,388,000 | 1,472,404 | |||
|
Series 2017-PANW, Class E, 4.13%, 10/10/2029
(a)
(b) |
2,316,000 | 2,342,580 | |||
|
CSAIL 2019-C17 Commercial Mortgage Trust Series 2019-C17, Class XA, IO, VRN, 1.51%, 9/15/2052
(b) |
30,248,231 | 2,561,535 | |||
| CSAIL Commercial Mortgage Trust: | |||||
|
Series 2015-C2, Class AS, 3.85%, 6/15/2057
(b) |
900,000 | 960,290 | |||
|
Series 2015-C4, Class XA, IO, 0.97%, 11/15/2048
(b) |
32,722,570 | 1,005,118 | |||
|
CSMC 2017-TIME Series 2017-TIME, Class A, 3.65%, 11/13/2039
(a) |
2,977,000 | 3,081,614 | |||
|
CSMC 2020-NET Series 2020-NET, Class A, 2.26%, 8/15/2037
(a) |
2,440,000 | 2,518,975 | |||
|
CSMC Trust Series 2017-MOON, Class D, 3.30%, 7/10/2034
(a)
(b) |
2,263,000 | 2,283,550 | |||
|
DBUBS Mortgage Trust Series 2017-BRBK, Class E, VRN, 3.65%, 10/10/2034
(a)
(b) |
463,000 | 475,769 | |||
|
DBWF Mortgage Trust Series 2018-GLKS, Class A, 1 Month USD LIBOR + 1.03%, 1.12%, 12/19/2030
(a)
(b) |
2,552,000 | 2,555,689 | |||
| DOLP Trust 2021-NYC: | |||||
|
Series 2021-NYC, Class D, VRN, 3.70%, 5/10/2041
(a)
(b) |
1,000,000 | 1,021,710 | |||
|
Series 2021-NYC, Class E, VRN, 3.70%, 5/10/2041
(a)
(b) |
1,000,000 | 997,048 | |||
|
Grace Trust Series 2020-GRCE, Class D, VRN, 2.77%, 12/10/2040
(a)
(b) |
2,487,000 | 2,463,679 | |||
|
Great Wolf Trust Series 2019-WOLF, Class F, 1 Month USD LIBOR + 3.13%, 3.20%, 12/15/2036
(a)
(b) |
100,000 | 98,287 | |||
|
GS Mortgage Securities Corp. II Series 2013-GC10, Class XA, IO, 1.63%, 2/10/2046
(b) |
11,722,235 | 206,785 |
See accompanying notes to financial statements.
116
SPDR DOUBLELINE TOTAL RETURN
TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
June 30,
2021
| Security Description | Principal
Amount |
Value | |||
| GS Mortgage Securities Trust: | |||||
|
Series 2014-GC24, Class XA, IO, 0.85%, 9/10/2047
(b) |
$ 26,799,649 | $ 520,077 | |||
|
Series 2015-GC32, Class XA, IO, 0.88%, 7/10/2048
(b) |
22,973,766 | 591,125 | |||
|
Series 2015-GC34, Class XA, IO, 1.38%, 10/10/2048
(b) |
15,545,304 | 670,826 | |||
|
Series 2015-GS1, Class XA, IO, 0.91%, 11/10/2048
(b) |
25,746,196 | 748,694 | |||
|
Series 2016-GS3, Class XA, IO, 1.34%, 10/10/2049
(b) |
24,919,944 | 1,326,303 | |||
|
Series 2019-GC38, Class XA, IO, 1.12%, 2/10/2052
(b) |
40,495,313 | 2,513,618 | |||
|
HPLY Trust Series 2019-HIT, Class F, 1 Month USD LIBOR + 3.15%, 3.22%, 11/15/2036
(a)
(b) |
2,766,018 | 2,714,499 | |||
| IMT Trust: | |||||
|
Series 2017-APTS, Class BFL, 1 Month USD LIBOR + 0.95% 1.02%, 6/15/2034
(a)
(b) |
1,509,617 | 1,506,517 | |||
|
Series 2017-APTS, Class CFL, 1 Month USD LIBOR + 1.10% 1.17%, 6/15/2034
(a)
(b) |
1,509,617 | 1,507,231 | |||
|
JP Morgan Chase Commercial Mortgage Securities Corp. Series 2017-FL10, Class D, 1 Month USD LIBOR + 1.90%, 1.97%, 6/15/2032
(a)
(b) |
126,758 | 126,506 | |||
| JP Morgan Chase Commercial Mortgage Securities Trust: | |||||
|
Series 2011-C5, Class B, VRN, 5.61%, 8/15/2046
(a)
(b) |
648,000 | 648,798 | |||
|
Series 2012-C8, Class B, 3.98%, 10/15/2045
(a)
(b) |
1,775,000 | 1,814,308 | |||
|
Series 2014-C20, Class B, 4.40%, 7/15/2047
(b) |
3,000,000 | 3,230,097 | |||
|
Series 2015-JP1, Class XA, IO, 1.07%, 1/15/2049
(b) |
16,800,919 | 568,658 | |||
|
Series 2016-JP3, Class B, VRN, 3.40%, 8/15/2049
(b) |
2,899,000 | 3,055,480 | |||
| JPMBB Commercial Mortgage Securities Trust: | |||||
|
Series 2014-C21, Class B, VRN, 4.34%, 8/15/2047
(b) |
1,055,000 | 1,124,404 | |||
|
Series 2014-C25, Class XA, IO, 0.99%, 11/15/2047
(b) |
4,966,148 | 121,705 | |||
|
Series 2014-C26, Class C, 4.52%, 1/15/2048
(b) |
1,500,000 | 1,582,019 | |||
|
Series 2015-C28, Class XA, IO, 1.11%, 10/15/2048
(b) |
8,847,714 | 244,845 | |||
|
Series 2015-C30, Class XA, IO, 0.65%, 7/15/2048
(b) |
25,619,663 | 455,625 | |||
|
Series 2015-C32, Class C, 4.80%, 11/15/2048
(b) |
1,132,000 | 950,249 | |||
|
Series 2015-C33, Class C, 4.77%, 12/15/2048
(b) |
1,739,000 | 1,859,430 | |||
|
JPMDB Commercial Mortgage Securities Trust Series 2016-C2, Class XA, IO, 1.71%, 6/15/2049
(b) |
17,726,355 | 915,899 |
See accompanying notes to financial statements.
117
SPDR DOUBLELINE TOTAL RETURN
TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
June 30,
2021
| Security Description | Principal
Amount |
Value | |||
|
LSTAR Commercial Mortgage Trust Series 2017-5, Class X, IO, 1.14%, 3/10/2050
(a)
(b) |
$ 43,500,389 | $ 1,214,461 | |||
| Manhattan West 2020-1MW Mortgage Trust: | |||||
|
Series 2020-1MW, Class C, VRN, 2.41%, 9/10/2039
(a)
(b) |
2,462,000 | 2,489,674 | |||
|
Series 2020-1MW, Class D, VRN, 2.41%, 9/10/2039
(a)
(b) |
2,462,000 | 2,444,281 | |||
| Morgan Stanley Bank of America Merrill Lynch Trust: | |||||
|
Series 2013-C12, Class XA, IO, 0.74%, 10/15/2046
(b) |
12,388,562 | 129,679 | |||
|
Series 2013-C7, Class XA, IO, 1.46%, 2/15/2046
(b) |
12,944,583 | 184,150 | |||
|
Series 2015-C20, Class C, 4.61%, 2/15/2048
(b) |
500,000 | 529,883 | |||
|
Series 2015-C27, Class C, 4.66%, 12/15/2047
(b) |
1,219,000 | 1,236,674 | |||
|
Series 2015-C27, Class D, 3.24%, 12/15/2047
(a)
(b) |
1,750,000 | 1,568,398 | |||
|
Series 2016-C28, Class XA, IO, 1.35%, 1/15/2049
(b) |
20,408,039 | 828,532 | |||
|
Series 2016-C30, Class XA, IO, 1.52%, 9/15/2049
(b) |
18,055,025 | 1,000,651 | |||
|
Series 2016-C31, Class C, 4.43%, 11/15/2049
(b) |
3,358,000 | 3,466,905 | |||
| Morgan Stanley Capital I Trust: | |||||
|
Series 2015-UBS8, Class XA, IO, 1.03%, 12/15/2048
(b) |
24,277,625 | 786,938 | |||
|
Series 2019-H7, Class C, 4.13%,
7/15/2052 |
2,930,000 | 3,209,581 | |||
|
Series 2019-L3, Class XA, IO, 0.76%, 11/15/2052
(b) |
55,942,484 | 2,668,818 | |||
|
Series 2020-HR8, Class XA, IO, VRN, 1.97%, 7/15/2053
(b) |
21,455,246 | 2,841,388 | |||
|
Series 2020-L4, Class XA, IO, VRN, 1.20%, 2/15/2053
(b) |
33,105,762 | 2,562,089 | |||
|
One New York Plaza Trust 2020-1NYP Series 2020-1NYP, Class C, 1 Month USD LIBOR + 2.20%, 2.27%, 1/15/2026
(a)
(b) |
1,599,000 | 1,616,701 | |||
|
SG Commercial Mortgage Securities Trust Series 2016-C5, Class B, 3.93%,
10/10/2048 |
450,000 | 479,865 | |||
| SLG Office Trust 2021-OVA: | |||||
|
Series 2021-OVA, Class E, 2.85%, 7/15/2041
(a) |
1,989,000 | 1,946,895 | |||
|
Series 2021-OVA, Class F, 2.85%, 7/15/2041
(a) |
1,989,000 | 1,852,475 | |||
|
UBS Commercial Mortgage Trust Series 2017-C4, Class XA, IO, 1.19%, 10/15/2050
(b) |
23,935,146 | 1,245,084 | |||
|
Velocity Commercial Capital Loan Trust Series 2020-1, Class M3, VRN, 3.19%, 2/25/2050
(a)
(b) |
3,132,177 | 3,135,950 |
See accompanying notes to financial statements.
118
SPDR DOUBLELINE TOTAL RETURN
TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
June 30,
2021
| Security Description | Principal
Amount |
Value | |||
|
Waterfall Commercial Mortgage Trust Series 2015-SBC5, Class A, 4.10%, 9/14/2022
(a)
(b) |
$ 3,140,906 | $ 3,194,593 | |||
| Wells Fargo Commercial Mortgage Trust: | |||||
|
Series 2014-LC16, Class D, 3.94%, 8/15/2050
(a) |
277,000 | 63,578 | |||
|
Series 2015-C26, Class XA, IO, 1.35%, 2/15/2048
(b) |
7,550,860 | 280,949 | |||
|
Series 2015-C28, Class C, 4.23%, 5/15/2048
(b) |
1,500,000 | 1,588,398 | |||
|
Series 2015-LC20, Class XA, IO, 1.45%, 4/15/2050
(b) |
6,802,398 | 219,700 | |||
|
Series 2015-NXS1, Class XA, IO, 1.23%, 5/15/2048
(b) |
7,341,221 | 236,031 | |||
|
Series 2015-NXS2, Class XA, IO, 0.80%, 7/15/2058
(b) |
23,232,994 | 526,873 | |||
|
Series 2015-P2, Class XA, IO, 1.07%, 12/15/2048
(b) |
16,669,697 | 616,491 | |||
|
Series 2016-C33, Class XA, IO, 1.78%, 3/15/2059
(b) |
11,814,980 | 741,895 | |||
|
Series 2016-C35, Class B, 3.44%,
7/15/2048 |
3,000,000 | 3,195,104 | |||
|
Series 2016-LC24, Class C, VRN, 4.60%, 10/15/2049
(b) |
1,900,000 | 2,021,719 | |||
|
Series 2017-C38, Class XA, IO, 1.16%, 7/15/2050
(b) |
37,145,799 | 1,747,063 | |||
|
Series 2017-RC1, Class XA, IO, 1.65%, 1/15/2060
(b) |
24,239,811 | 1,365,024 | |||
|
Series 2019-C50, Class XA, IO, 1.58%, 5/15/2052
(b) |
29,673,122 | 2,416,433 | |||
|
Series 2020-C57, Class XA, IO, VRN, 2.23%, 8/15/2053
(b) |
16,232,862 | 2,431,213 | |||
|
Series 2020-C58, Class XA, IO, VRN, 2.01%, 7/15/2053
(b) |
20,149,845 | 2,739,580 | |||
|
Wells Fargo Commercial Mortgage Trust 2016-BNK1 Series 2016-BNK1, Class XB, IO, VRN, 1.47%, 8/15/2049
(b) |
19,849,000 | 1,246,356 | |||
| WFRBS Commercial Mortgage Trust: | |||||
|
Series 2014-C19, Class XA, IO, 1.18%, 3/15/2047
(b) |
8,523,265 | 165,993 | |||
|
Series 2014-C21, Class XA, IO, 1.18%, 8/15/2047
(b) |
14,746,711 | 369,409 | |||
|
TOTAL COMMERCIAL MORTGAGE BACKED SECURITIES (Cost
$188,444,629) |
156,563,161 |
See accompanying notes to financial statements.
119
SPDR DOUBLELINE TOTAL RETURN
TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
June 30,
2021
| Security Description | Shares | Value | |||
| SHORT-TERM INVESTMENT — 2.0% | |||||
|
State Street Institutional U.S. Government Money Market Fund, Class G Shares 0.03% (i) (j) (Cost
$63,404,943) |
63,404,943 | $ 63,404,943 | |||
|
TOTAL INVESTMENTS — 100.2% (Cost
$3,185,494,757) |
3,195,173,796 | ||||
|
LIABILITIES IN EXCESS OF OTHER ASSETS — (0.2)%
|
(6,502,785) | ||||
|
NET ASSETS — 100.0%
|
$ 3,188,671,011 |
| (a) | Securities purchased pursuant to Rule 144A of the Securities Act of 1933, as amended. These securities, which represent 16.8% of net assets as of June 30, 2021, are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
| (b) | Variable Rate Security - Interest rate shown is rate in effect at June 30, 2021. For securities based on a published reference rate and spread, the reference rate and spread are indicated in the description above. |
| (c) | When-issued security. |
| (d) | Amount is less than 0.05% of net assets. |
| (e) | Step-up bond - Coupon rate increases in increments to maturity. Rate shown as of June 30, 2021. Maturity date shown is the final maturity. |
| (f) | 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, 2021, total aggregate fair value of the security is $11,504, representing less than 0.05% of the Fund's net assets. |
| (g) | Non-income producing security. |
| (h) | Position is unsettled. Contract rate was not determined at June 30, 2021 and does not take effect until settlement date. Maturity date is not finalized until settlement date. |
| (i) | 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, 2021 are shown in the Affiliate Table below. |
| (j) | The rate shown is the annualized seven-day yield at June 30, 2021. |
See accompanying notes to financial statements.
120
SPDR DOUBLELINE TOTAL RETURN
TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
June 30,
2021
| ABS | Asset-Backed Security |
| CLO | Collateralized Loan Obligation |
| 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 |
| LP | Limited Partnership |
| PIK | Payment in Kind |
| PO | Principal Only |
| REIT | Real Estate Investment Trust |
| REMIC | Real Estate Mortgage Investment Conduit |
| SOFR | Secured Overnight Financing Rate |
| VRN | Variable Rate Note |
At June 30, 2021, the
Fund had unfunded loan commitments of $384,673, which could be extended at the option of the borrowers, pursuant to the following loan agreements:
| Borrower | Unfunded
Loan Commitment ($) |
Value ($) | Unrealized
Appreciation/(Depreciation) ($) | |||
| OneDigital Borrower LLC | 18,750 | 18,852 | 102 | |||
| Constant Contact Inc | 106,941 | 106,808 | (133) | |||
| Redstone Buyer LLC | 95,639 | 95,599 | (40) | |||
| HighTower Holdings LLC | 67,000 | 67,237 | 237 | |||
| DG Investment Intermediate Holdings 2, Inc. | 27,636 | 27,786 | 150 | |||
| LBM Acquisition LLC | 15,455 | 15,366 | (89) | |||
| TricorBraun Holdings, Inc. | 53,252 | 52,932 | (319) | |||
| $384,673 | $384,580 | $(92) |
See accompanying notes to financial statements.
121
SPDR DOUBLELINE TOTAL RETURN
TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
June 30,
2021
The following table summarizes the value of the Fund's
investments according to the fair value hierarchy as of June 30, 2021.
| Description | Level
1 – Quoted Prices |
Level
2 – Other Significant Observable Inputs |
Level
3 – Significant Unobservable Inputs |
Total | ||||
| ASSETS: | ||||||||
| INVESTMENTS: | ||||||||
|
Corporate Bonds &
Notes |
$ — | $ 463,146,801 | $ — | $ 463,146,801 | ||||
|
Asset-Backed
Securities |
— | 196,947,703 | — | 196,947,703 | ||||
|
Foreign Government
Obligations |
— | 54,049,663 | — | 54,049,663 | ||||
|
U.S. Government Agency
Obligations |
— | 1,121,788,419 | — | 1,121,788,419 | ||||
|
U.S. Treasury
Obligations |
— | 786,728,994 | — | 786,728,994 | ||||
|
Mortgage-Backed
Securities |
— | 254,458,505 | — | 254,458,505 | ||||
|
Commercial Mortgage Backed
Securities |
— | 156,563,161 | — | 156,563,161 | ||||
|
Common
Stocks |
— | — | 11,504 | 11,504 | ||||
|
Senior Floating Rate
Loans |
— | 98,074,103 | — | 98,074,103 | ||||
|
Short-Term
Investment |
63,404,943 | — | — | 63,404,943 | ||||
|
TOTAL
INVESTMENTS |
$63,404,943 | $3,131,757,349 | $11,504 | $3,195,173,796 | ||||
| LIABILITIES: | ||||||||
| OTHER FINANCIAL INSTRUMENTS: | ||||||||
|
Unfunded
Loans(a) |
— | (92) | — | (92) | ||||
|
TOTAL OTHER FINANCIAL
INSTRUMENTS: |
$ — | $ (92) | $ — | $ (92) |
| (a) | Unfunded loan commitments are valued at unrealized appreciation (depreciation). |
Affiliate Table
| Number
of Shares Held at 6/30/20 |
Value
at 6/30/20 |
Cost
of Purchases |
Proceeds
from Shares Sold |
Realized
Gain (Loss) |
Change
in Unrealized Appreciation/ Depreciation |
Number
of Shares Held at 6/30/21 |
Value
at 6/30/21 |
Dividend
Income | |||||||||
|
State Street Institutional U.S. Government Money Market Fund, Class G
Shares |
67,857,504 | $67,857,504 | $1,442,895,649 | $1,447,348,210 | $— | $— | 63,404,943 | $63,404,943 | $35,793 | ||||||||
See accompanying notes to financial statements.
122
SSGA ACTIVE TRUST
STATEMENTS OF ASSETS AND LIABILITIES
June 30, 2021
| SPDR DoubleLine Emerging Markets Fixed Income ETF | SPDR DoubleLine Short Duration Total Return Tactical ETF | ||
| ASSETS | |||
|
Investments in unaffiliated issuers, at
value |
$ 121,096,411 | $150,409,387 | |
|
Investments in affiliated issuers, at
value |
2,549,386 | 14,576,244 | |
|
Total
Investments |
123,645,797 | 164,985,631 | |
|
Cash |
998,649 | 7,203 | |
|
Receivable for investments
sold |
905,979 | 10,038 | |
|
Dividends receivable — affiliated
issuers |
132 | 145 | |
|
Interest receivable — unaffiliated
issuers |
1,144,062 | 559,355 | |
|
TOTAL ASSETS
|
126,694,619 | 165,562,372 | |
| LIABILITIES | |||
|
Payable for investments
purchased |
2,985,834 | 5,268,290 | |
|
Advisory fee
payable |
65,644 | 55,313 | |
|
Trustees’ fees and expenses
payable |
43 | 95 | |
|
TOTAL LIABILITIES
|
3,051,521 | 5,323,698 | |
|
NET ASSETS
|
$123,643,098 | $160,238,674 | |
| NET ASSETS CONSIST OF: | |||
|
Paid-in
Capital |
$120,243,001 | $159,444,982 | |
|
Total distributable earnings
(loss) |
3,400,097 | 793,692 | |
|
NET ASSETS
|
$123,643,098 | $160,238,674 | |
| NET ASSET VALUE PER SHARE | |||
|
Net asset value per
share |
$ 50.99 | $ 49.69 | |
|
Shares outstanding (unlimited amount authorized, no par
value) |
2,425,000 | 3,225,000 | |
| COST OF INVESTMENTS: | |||
|
Investments in unaffiliated
issuers |
$ 118,907,473 | $150,058,653 | |
|
Investments in affiliated
issuers |
2,549,386 | 14,576,244 | |
|
Total cost of
investments |
$121,456,859 | $164,634,897 |
See accompanying notes to financial statements.
123
SSGA ACTIVE TRUST
STATEMENTS OF ASSETS AND LIABILITIES (continued)
June 30, 2021
| SPDR DoubleLine Total Return Tactical ETF | |
| ASSETS | |
|
Investments in unaffiliated issuers, at
value |
$3,131,768,853 |
|
Investments in affiliated issuers, at
value |
63,404,943 |
|
Total
Investments |
3,195,173,796 |
|
Cash |
1,404,184 |
|
Receivable for investments
sold |
192,002,450 |
|
Dividends receivable — affiliated
issuers |
1,089 |
|
Interest receivable — unaffiliated
issuers |
13,480,302 |
|
TOTAL ASSETS
|
3,402,061,821 |
| LIABILITIES | |
|
Payable for investments
purchased |
211,937,336 |
|
Unrealized depreciation on unfunded loan
commitments |
92 |
|
Advisory fee
payable |
1,444,389 |
|
Trustees’ fees and expenses
payable |
2,493 |
|
Accrued expenses and other
liabilities |
6,500 |
|
TOTAL LIABILITIES
|
213,390,810 |
|
NET ASSETS
|
$ 3,188,671,011 |
| NET ASSETS CONSIST OF: | |
|
Paid-in
Capital |
$3,275,337,799 |
|
Total distributable earnings
(loss) |
(86,666,788) |
|
NET ASSETS
|
$ 3,188,671,011 |
| NET ASSET VALUE PER SHARE | |
|
Net asset value per
share |
$ 48.46 |
|
Shares outstanding (unlimited amount authorized, no par
value) |
65,800,000 |
| COST OF INVESTMENTS: | |
|
Investments in unaffiliated
issuers |
$3,122,089,814 |
|
Investments in affiliated
issuers |
63,404,943 |
|
Total cost of
investments |
$3,185,494,757 |
See accompanying notes to financial statements.
124
SSGA ACTIVE TRUST
STATEMENTS OF OPERATIONS
For the Year Ended June 30, 2021
| SPDR DoubleLine Emerging Markets Fixed Income ETF | SPDR DoubleLine Short Duration Total Return Tactical ETF | ||
| INVESTMENT INCOME | |||
|
Interest income — unaffiliated
issuers |
$3,399,567 | $2,638,846 | |
|
Dividend income — affiliated
issuers |
1,064 | 3,418 | |
|
Foreign taxes
withheld |
(5,746) | (98) | |
|
TOTAL INVESTMENT INCOME
(LOSS) |
3,394,885 | 2,642,166 | |
| EXPENSES | |||
|
Advisory
fee |
677,417 | 710,070 | |
|
Trustees’ fees and
expenses |
3,270 | 4,032 | |
|
TOTAL
EXPENSES |
680,687 | 714,102 | |
|
Expenses waived/reimbursed by the
Adviser |
(64,946) | (53,010) | |
|
NET
EXPENSES |
615,741 | 661,092 | |
|
NET INVESTMENT INCOME
(LOSS) |
$2,779,144 | $1,981,074 | |
| REALIZED AND UNREALIZED GAIN (LOSS) | |||
| Net realized gain (loss) on: | |||
|
Investments — unaffiliated
issuers |
3,516,700 | 752,709 | |
| Net change in unrealized appreciation/depreciation on: | |||
|
Investments — unaffiliated
issuers |
158,117 | (316,578) | |
|
NET REALIZED AND UNREALIZED GAIN
(LOSS) |
3,674,817 | 436,131 | |
|
NET INCREASE (DECREASE) IN NET ASSETS FROM
OPERATIONS |
$6,453,961 | $2,417,205 |
See accompanying notes to financial statements.
125
SSGA ACTIVE TRUST
STATEMENTS OF OPERATIONS (continued)
For the Year Ended June 30, 2021
| SPDR DoubleLine Total Return Tactical ETF | |
| INVESTMENT INCOME | |
|
Interest income — unaffiliated
issuers |
$ 89,174,220 |
|
Dividend income — affiliated
issuers |
35,793 |
|
Foreign taxes
withheld |
(572) |
|
TOTAL INVESTMENT INCOME
(LOSS) |
89,209,441 |
| EXPENSES | |
|
Advisory
fee |
20,074,065 |
|
Trustees’ fees and
expenses |
44,294 |
|
Miscellaneous
expenses |
1,785 |
|
TOTAL
EXPENSES |
20,120,144 |
|
Expenses waived/reimbursed by the
Adviser |
(2,355,432) |
|
NET
EXPENSES |
17,764,712 |
|
NET INVESTMENT INCOME
(LOSS) |
$ 71,444,729 |
| REALIZED AND UNREALIZED GAIN (LOSS) | |
| Net realized gain (loss) on: | |
|
Investments — unaffiliated
issuers |
10,798,424 |
| Net change in unrealized appreciation/depreciation on: | |
|
Investments — unaffiliated
issuers |
(57,170,580) |
|
Unfunded loan
commitments |
(1,749) |
|
Net change in unrealized
appreciation/depreciation |
(57,172,329) |
|
NET REALIZED AND UNREALIZED GAIN
(LOSS) |
(46,373,905) |
|
NET INCREASE (DECREASE) IN NET ASSETS FROM
OPERATIONS |
$ 25,070,824 |
See accompanying notes to financial statements.
126
SSGA ACTIVE TRUST
STATEMENTS OF CHANGES IN NET ASSETS
| SPDR
DoubleLine Emerging Markets Fixed Income ETF | |||
| Year
Ended 6/30/21 |
Year
Ended 6/30/20 | ||
| INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
|
Net investment income
(loss) |
$ 2,779,144 | $ 2,932,451 | |
|
Net realized gain
(loss) |
3,516,700 | (2,205,780) | |
|
Net change in unrealized
appreciation/depreciation |
158,117 | 401,488 | |
|
Net increase (decrease) in net assets resulting from
operations |
6,453,961 | 1,128,159 | |
|
Net equalization credits and
charges |
62,106 | 68,814 | |
|
Distributions to
shareholders |
(2,854,562) | (2,929,647) | |
| FROM BENEFICIAL INTEREST TRANSACTIONS: | |||
|
Proceeds from shares
sold |
40,389,997 | 49,043,585 | |
|
Cost of shares
redeemed |
(15,014,743) | (17,996,911) | |
|
Net income
equalization |
(62,106) | (68,814) | |
|
Other
Capital |
174,347 | 198,648 | |
|
Net increase (decrease) in net assets from beneficial interest
transactions |
25,487,495 | 31,176,508 | |
|
Net increase (decrease) in net assets during the
period |
29,149,000 | 29,443,834 | |
|
Net assets at beginning of
period |
94,494,098 | 65,050,264 | |
|
NET ASSETS AT END OF
PERIOD |
$123,643,098 | $ 94,494,098 | |
| SHARES OF BENEFICIAL INTEREST: | |||
|
Shares
sold |
800,000 | 1,025,000 | |
|
Shares
redeemed |
(300,000) | (375,000) | |
|
Net increase (decrease) from share
transactions |
500,000 | 650,000 | |
See accompanying notes to financial statements.
127
SSGA ACTIVE TRUST
STATEMENTS OF CHANGES IN NET ASSETS (continued)
| SPDR
DoubleLine Short Duration Total Return Tactical ETF | |||
| Year
Ended 6/30/21 |
Year
Ended 6/30/20 | ||
| INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
|
Net investment income
(loss) |
$ 1,981,074 | $ 2,924,940 | |
|
Net realized gain
(loss) |
752,709 | (18,615) | |
|
Net change in unrealized
appreciation/depreciation |
(316,578) | 125,822 | |
|
Net increase (decrease) in net assets resulting from
operations |
2,417,205 | 3,032,147 | |
|
Net equalization credits and
charges |
14,932 | 11,473 | |
|
Distributions to
shareholders |
(2,110,916) | (3,062,675) | |
| FROM BENEFICIAL INTEREST TRANSACTIONS: | |||
|
Proceeds from shares
sold |
17,383,837 | 33,417,005 | |
|
Cost of shares
redeemed |
— | (12,303,910) | |
|
Net income
equalization |
(14,932) | (11,473) | |
|
Other
Capital |
29,809 | 92,112 | |
|
Net increase (decrease) in net assets from beneficial interest
transactions |
17,398,714 | 21,193,734 | |
|
Net increase (decrease) in net assets during the
period |
17,719,935 | 21,174,679 | |
|
Net assets at beginning of
period |
142,518,739 | 121,344,060 | |
|
NET ASSETS AT END OF
PERIOD |
$160,238,674 | $142,518,739 | |
| SHARES OF BENEFICIAL INTEREST: | |||
|
Shares
sold |
350,000 | 675,000 | |
|
Shares
redeemed |
— | (250,000) | |
|
Net increase (decrease) from share
transactions |
350,000 | 425,000 | |
See accompanying notes to financial statements.
128
SSGA ACTIVE TRUST
STATEMENTS OF CHANGES IN NET ASSETS (continued)
| SPDR DoubleLine Total Return Tactical ETF | |||
| Year
Ended 6/30/21 |
Year
Ended 6/30/20 | ||
| INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
|
Net investment income
(loss) |
$ 71,444,729 | $ 92,024,939 | |
|
Net realized gain
(loss) |
10,798,424 | (16,611,611) | |
|
Net change in unrealized
appreciation/depreciation |
(57,172,329) | 52,694,095 | |
|
Net increase (decrease) in net assets resulting from
operations |
25,070,824 | 128,107,423 | |
|
Net equalization credits and
charges |
18,500 | (152,877) | |
|
Distributions to
shareholders |
(87,675,778) | (104,243,448) | |
| FROM BENEFICIAL INTEREST TRANSACTIONS: | |||
|
Proceeds from shares
sold |
105,856,538 | 242,342,927 | |
|
Cost of shares
redeemed |
(46,179,065) | (413,569,469) | |
|
Net income
equalization |
(18,500) | 152,877 | |
|
Other
Capital |
317,321 | 1,723,362 | |
|
Net increase (decrease) in net assets from beneficial interest
transactions |
59,976,294 | (169,350,303) | |
|
Contribution from Affiliate (Note
4) |
39,028 | — | |
|
Net increase (decrease) in net assets during the
period |
(2,571,132) | (145,639,205) | |
|
Net assets at beginning of
period |
3,191,242,143 | 3,336,881,348 | |
|
NET ASSETS AT END OF
PERIOD |
$ 3,188,671,011 | $3,191,242,143 | |
| SHARES OF BENEFICIAL INTEREST: | |||
|
Shares
sold |
2,150,000 | 4,950,000 | |
|
Shares
redeemed |
(950,000) | (8,500,000) | |
|
Net increase (decrease) from share
transactions |
1,200,000 | (3,550,000) | |
See accompanying notes to financial statements.
129
SSGA ACTIVE TRUST
FINANCIAL HIGHLIGHTS
Selected data for a share outstanding throughout each period
| SPDR DoubleLine Emerging Markets Fixed Income ETF | |||||||||
| Year
Ended 6/30/21 |
Year
Ended 6/30/20 |
Year
Ended 6/30/19 |
Year
Ended 6/30/18 |
Year
Ended 6/30/17 | |||||
|
Net asset value, beginning of
period |
$ 49.09 | $ 51.02 | $ 48.25 | $ 50.45 | $ 51.52 | ||||
| Income (loss) from investment operations: | |||||||||
|
Net investment income (loss)
(a) |
1.48 | 1.87 | 1.98 | 1.31 | 1.77 | ||||
|
Net realized and unrealized gain
(loss) |
1.83 | (2.06) | 2.60 | (1.74) | 1.91 | ||||
|
Total from investment
operations |
3.31 | (0.19) | 4.58 | (0.43) | 3.68 | ||||
|
Net equalization credits and charges
(a) |
0.03 | 0.04 | 0.03 | 0.04 | 0.01 | ||||
|
Other capital
(a) |
0.09 | 0.13 | 0.08 | 0.10 | 0.05 | ||||
| Distributions to shareholders from: | |||||||||
|
Net investment
income |
(1.53) | (1.91) | (1.92) | (1.36) | (1.81) | ||||
|
Net realized
gains |
— | — | — | (0.55) | (3.00) | ||||
|
Total
distributions |
(1.53) | (1.91) | (1.92) | (1.91) | (4.81) | ||||
|
Net asset value, end of
period |
$ 50.99 | $ 49.09 | $ 51.02 | $ 48.25 | $ 50.45 | ||||
|
Total return
(b) |
7.09% | (0.04)% | 9.99% | (0.65)% | 7.67% | ||||
| Ratios and Supplemental Data: | |||||||||
|
Net assets, end of period (in
000s) |
$123,643 | $94,494 | $65,050 | $48,253 | $27,748 | ||||
| Ratios to average net assets: | |||||||||
|
Total
expenses |
0.72% | 0.75% | 0.75% | 0.76% | 0.75% | ||||
|
Net
expenses |
0.65% | 0.65% | 0.65% | 0.65% | 0.65% | ||||
|
Net investment income
(loss) |
2.95% | 3.77% | 4.06% | 2.64% | 3.46% | ||||
|
Portfolio turnover rate
(c) |
77% | 54% | 37% | 55% | 141% | ||||
| (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) | Portfolio turnover rate excludes securities received or delivered from in-kind processing of creations or redemptions. |
See accompanying notes to financial statements.
130
SSGA ACTIVE TRUST
FINANCIAL
HIGHLIGHTS (continued)
Selected data for a share outstanding throughout each period
| SPDR DoubleLine Short Duration Total Return Tactical ETF | |||||||||
| Year
Ended 6/30/21 |
Year
Ended 6/30/20 |
Year
Ended 6/30/19 |
Year
Ended 6/30/18 |
Year
Ended 6/30/17 | |||||
|
Net asset value, beginning of
period |
$ 49.57 | $ 49.53 | $ 48.81 | $ 49.61 | $ 50.40 | ||||
| Income (loss) from investment operations: | |||||||||
|
Net investment income (loss)
(a) |
0.68 | 1.08 | 1.30 | 1.02 | 1.04 | ||||
|
Net realized and unrealized gain
(loss) |
0.14 | 0.07 | 0.62 | (0.99) | (0.53) | ||||
|
Total from investment
operations |
0.82 | 1.15 | 1.92 | 0.03 | 0.51 | ||||
|
Net equalization credits and charges
(a) |
0.01 | 0.00(b) | 0.03 | 0.05 | 0.00(b) | ||||
|
Other capital
(a) |
0.01 | 0.03 | 0.06 | 0.12 | 0.06 | ||||
| Distributions to shareholders from: | |||||||||
|
Net investment
income |
(0.72) | (1.14) | (1.29) | (1.00) | (1.13) | ||||
|
Net realized
gains |
— | — | — | — | (0.23) | ||||
|
Total
distributions |
(0.72) | (1.14) | (1.29) | (1.00) | (1.36) | ||||
|
Net asset value, end of
period |
$ 49.69 | $ 49.57 | $ 49.53 | $ 48.81 | $ 49.61 | ||||
|
Total return
(c) |
1.70% | 2.43% | 4.18% | 0.43% | 1.14% | ||||
| Ratios and Supplemental Data: | |||||||||
|
Net assets, end of period (in
000s) |
$160,239 | $142,519 | $121,344 | $82,984 | $34,725 | ||||
| Ratios to average net assets: | |||||||||
|
Total
expenses |
0.49% | 0.50% | 0.50% | 0.50% | 0.50% | ||||
|
Net
expenses |
0.45% | 0.45% | 0.45% | 0.45% | 0.45% | ||||
|
Net investment income
(loss) |
1.36% | 2.18% | 2.65% | 2.07% | 2.10% | ||||
|
Portfolio turnover rate
(d) |
58% | 43% | 62% | 50% | 123% | ||||
| (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) | Portfolio turnover rate excludes securities received or delivered from in-kind processing of creations or redemptions. |
See accompanying notes to financial statements.
131
SSGA ACTIVE TRUST
FINANCIAL
HIGHLIGHTS (continued)
Selected data for a share outstanding throughout each period
| SPDR DoubleLine Total Return Tactical ETF | |||||||||
| Year
Ended 6/30/21 |
Year
Ended 6/30/20 |
Year
Ended 6/30/19 |
Year
Ended 6/30/18(a) |
Year
Ended 6/30/17(a) | |||||
|
Net asset value, beginning of
period |
$ 49.40 | $ 48.96 | $ 47.60 | $ 49.03 | $ 49.87 | ||||
| Income (loss) from investment operations: | |||||||||
|
Net investment income (loss)
(b) |
1.09 | 1.37 | 1.56 | 1.34 | 1.33 | ||||
|
Net realized and unrealized gain (loss)
(c) |
(0.70) | 0.59 | 1.44 | (1.34) | (0.66) | ||||
|
Total from investment
operations |
0.39 | 1.96 | 3.00 | 0.00 | 0.67 | ||||
|
Net equalization credits and charges
(b) |
0.00(d) | (0.00)(d) | 0.00(d) | 0.00(d) | 0.01 | ||||
|
Contribution from Affiliate (Note
4) |
0.00(d) | — | — | — | — | ||||
|
Other capital
(b) |
0.00 | 0.03 | 0.04 | 0.02 | 0.04 | ||||
| Distributions to shareholders from: | |||||||||
|
Net investment
income |
(1.33) | (1.55) | (1.68) | (1.45) | (1.48) | ||||
|
Net realized
gains |
— | — | — | — | (0.08) | ||||
|
Total
distributions |
(1.33) | (1.55) | (1.68) | (1.45) | (1.56) | ||||
|
Net asset value, end of
period |
$ 48.46 | $ 49.40 | $ 48.96 | $ 47.60 | $ 49.03 | ||||
|
Total return
(e) |
0.81%(f) | 4.13% | 6.53% | 0.04% | 1.55% | ||||
| Ratios and Supplemental Data: | |||||||||
|
Net assets, end of period (in
000s) |
$3,188,671 | $3,191,242 | $3,336,881 | $3,182,239 | $3,353,801 | ||||
| Ratios to average net assets: | |||||||||
|
Total
expenses |
0.62% | 0.65% | 0.65% | 0.65% | 0.66% | ||||
|
Net
expenses |
0.55% | 0.55% | 0.55% | 0.55% | 0.55% | ||||
|
Net investment income
(loss) |
2.22% | 2.80% | 3.27% | 2.78% | 2.70% | ||||
|
Portfolio turnover
rate |
82%(g) | 25%(g) | 47%(g) | 34%(h) | 72%(h) | ||||
| (a) | The per share amounts and percentages include the Fund’s proportionate share of income and expenses of the Portfolio prior to discontinuance of the master feeder structure. |
| (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) | If an affiliate had not made a contribution during the year ended ended June 30, 2021, the total return would have remained 0.81%. |
| (g) | Portfolio turnover rate excludes securities received or delivered from in-kind processing of creations or redemptions. |
| (h) | Portfolio turnover is from the Fund's Portfolio prior to discontinuance of master-feeder structure. |
See accompanying notes to financial statements.
132
SSGA ACTIVE TRUST
NOTES TO FINANCIAL STATEMENTS
June 30, 2021
1. Organization
SSGA Active Trust (the “Trust”), a Massachusetts
business trust, registered under the Investment Company Act of 1940, as amended (“1940 Act”), is an open-end management investment company.
As of June 30, 2021, the Trust consists of eleven (11) series,
each of which represents a separate series of beneficial interest in the Trust. The Declaration of Trust permits the Board of Trustees of the Trust (the “Board”) to authorize the issuance of an unlimited number of shares of beneficial
interest at no par value. The financial statements herein relate to the following series (each a “Fund”, and collectively, the “Funds”):
| SPDR DoubleLine Emerging Markets Fixed Income ETF |
| SPDR DoubleLine Short Duration Total Return Tactical ETF |
| SPDR DoubleLine Total Return Tactical ETF |
Each Fund is classified as a diversified investment company
under the 1940 Act, with the exception of SPDR DoubleLine Total Return Tactical ETF, which is a non-diversified investment company.
Under the Trust’s organizational documents, its officers
and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust. Additionally, in the normal course of business, the Trust enters into contracts with service providers that contain general
indemnification clauses. The Trust’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Trust that have not yet occurred.
2. Summary of Significant Accounting
Policies
The following is a summary of significant
accounting policies followed by the Trust in the preparation of its financial statements:
The preparation of financial statements in accordance with
U.S. generally accepted accounting principles (“U.S. GAAP”) requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those
estimates. Each Fund is an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies.
133
SSGA ACTIVE TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
June 30, 2021
Security Valuation
Each Fund's investments are valued at fair value each day that
the New York Stock Exchange (“NYSE”) is open and, for financial reporting purposes, as of the report date should the reporting period end on a day that the NYSE is not open. Fair value is generally defined as the price a fund would
receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. By its nature, a fair value price is a good faith estimate of the valuation in a current sale and may not reflect
an actual market price. The investments of each Fund are valued pursuant to the policy and procedures developed by the Oversight Committee (the “Committee”) and approved by the Board. The Committee provides oversight of the valuation of
investments for the Funds. The Board has responsibility for overseeing the determination of the fair value of investments.
Valuation techniques used to value each Fund’s
investments by major category are as follows:
•
Equity investments traded on a recognized securities exchange for which market quotations are readily available are valued at the last sale price or official closing price, as applicable, on the primary market or exchange on which they trade.
Equity investments traded on a recognized exchange for which there were no sales on that day are valued at the last published sale price or at fair value.
•
Investments in registered investment companies (including money market funds) or other unitized pooled investment vehicles that are not traded on an exchange are valued at that day’s published net asset value (“NAV”) per share
or unit.
•
Government and municipal fixed income securities are generally valued using quotations from independent pricing services or brokers. Certain government inflation-indexed securities may require a calculated fair valuation as the cumulative
inflation is contained within the price provided by the pricing service or broker. For these securities, the inflation component of the price is “cleaned” from the pricing service or broker price utilizing the published inflation factors
in order to ensure proper accrual of income.
•
Debt obligations (including short-term investments) are valued using quotations from independent pricing services or brokers or are generally valued at the last reported evaluated prices.
• Senior loans or other loans are valued at
evaluated bid prices supplied by an
134
SSGA ACTIVE TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
June 30, 2021
independent pricing service, if available. Senior loans
and other loans for which the Committee determines that there are no reliable valuations available from pricing services or brokers will be initially valued at cost and adjusted for amortization of principal until remeasurement is warranted due to a
credit or economic event or other factors affecting the loan.
In the event prices or quotations are not readily available or
that the application of these valuation methods results in a price for an investment that is deemed to be not representative of the fair value of such investment, fair value will be determined in good faith by the Committee, in accordance with the
valuation policy and procedures approved by the Board.
Fair value pricing could result in a difference between the
prices used to calculate a Fund's NAV and the prices used by the Funds' underlying benchmarks. Various inputs are used in determining the value of the Funds' investments.
The Funds value their assets and liabilities at fair value
using a fair value hierarchy consisting of three broad levels that prioritize the inputs to valuation techniques giving the highest priority to readily available unadjusted quoted prices in active markets for identical assets or liabilities (Level 1
measurements) and the lowest priority to unobservable inputs (Level 3 measurements) when market prices are not readily available or reliable. The categorization of a value determined for an investment within the hierarchy is based upon the pricing
transparency of the investment and is not necessarily an indication of the risk associated with investing in it.
The three levels of the fair value hierarchy are as
follows:
•
Level 1 – Unadjusted quoted prices in active markets for an identical asset or liability;
•
Level 2 – Inputs other than quoted prices included within Level 1 that are observable for the asset or liability either directly or indirectly, including quoted prices for similar assets or liabilities in active markets, quoted prices for
identical or similar assets or liabilities in markets that are not considered to be active, inputs other than quoted prices that are observable for the asset or liability (such as exchange rates, financing terms, interest rates, yield curves,
volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs; and
•
Level 3 – Unobservable inputs for the asset or liability, including the Committee’s assumptions used in determining the fair value of investments.
135
SSGA ACTIVE TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
June 30, 2021
The value of each Fund’s investments, according to the
fair value hierarchy as of June 30, 2021, is disclosed in each Fund’s respective Schedule of Investments.
Investment Transactions and Income Recognition
Investment transactions are accounted for on trade date for
financial reporting purposes. Realized gains and losses from the sale or disposition of investments and foreign exchange transactions, if any, are determined using the identified cost method. Dividend income and capital gain distributions, if any,
are recognized on the ex-dividend date, or when the information becomes available, net of any foreign taxes withheld at source, if any. Interest income is recorded daily on an accrual basis. All premiums and discounts are amortized/accreted for
financial reporting purposes.
Paydown gains and losses
are recorded as an adjustment to interest income.
Expenses
Certain expenses, which are directly identifiable to a
specific Fund, are applied to that Fund within the Trust. Other expenses which cannot be attributed to a specific Fund are allocated in such a manner as deemed equitable, taking into consideration the nature and type of expense and the relative net
assets of the Funds within the Trust.
Foreign Currency
Translation
The accounting records of the Funds are
maintained in U.S. dollars. Foreign currencies as well as investment securities and other assets and liabilities denominated in a foreign currency are translated to U.S. dollars using exchange rates at period end. Purchases and sales of securities,
income receipts and expense payments denominated in foreign currencies are translated into U.S. dollars at the prevailing exchange rate on the respective dates of the transactions.
The effects of exchange rate fluctuations on investments are
included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.
136
SSGA ACTIVE TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
June 30, 2021
Foreign Taxes
The Funds may be subject to foreign taxes (a portion of which
may be reclaimable) on income, stock dividends, realized and unrealized capital gains on investments or certain foreign currency transactions. Foreign taxes are recorded in accordance with SSGA FM's understanding of the applicable foreign tax
regulations and rates that exist in the foreign jurisdictions in which the Funds invest. These foreign taxes, if any, are paid by the Funds and are reflected in the Statements of Operations, if applicable. Foreign taxes payable or deferred as of
June 30, 2021, if any, are disclosed in the Funds' Statements of Assets and Liabilities.
Equalization
The Funds follow the accounting practice known as
“Equalization” by which a portion of the proceeds from sales and costs of reacquiring Fund shares, equivalent on a per share basis to the amount of distributable net investment income on the date of the transaction, is credited or
charged to undistributed net investment income. As a result, undistributed net investment income per share is unaffected by sales or reacquisition of Fund shares. Amounts related to Equalization can be found on the Statements of Changes in Net
Assets.
| SPDR DoubleLine Emerging Markets Fixed Income ETF |
| SPDR DoubleLine Short Duration Total Return Tactical ETF |
| SPDR DoubleLine Total Return Tactical ETF |
Distributions
Distributions from net investment income, if any, are declared
and paid monthly. Net realized capital gains, if any, are distributed annually. Dividends may be declared and paid more frequently or at any other times to comply with the distribution requirements of the Internal Revenue Code of 1986, as amended
(the “Internal Revenue Code”). The amount and character of income and capital gains to be distributed are determined in accordance with applicable tax regulations which may differ from net investment income and realized gains recognized
for U.S. GAAP purposes.
137
SSGA ACTIVE TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
June 30, 2021
3. Securities and Other Investments
Delayed Delivery Transactions and When-Issued Securities
During the period, certain Funds transacted in securities on a
delayed delivery or when-issued basis. Payment and delivery may take place after the customary settlement period for that security. The price of the underlying securities and the date when the securities will be delivered and paid for are fixed at
the time the transaction is negotiated. The securities purchased on a delayed delivery or when-issued basis are identified as such in each applicable Fund’s Schedule of Investments. The Funds may receive compensation for interest forgone in
the purchase of a delayed delivery or when-issued security. With respect to purchase commitments, the Funds identify securities as segregated in their records with a value at least equal to the amount of the commitment. Losses may arise due to
changes in the value of the underlying securities or if the counterparty does not perform under the contract’s terms, or if the issuer does not issue the securities due to political, economic or other factors.
Loan Agreements
The SPDR DoubleLine Total Return Tactical ETF invests in
Senior Loans. Senior Loans consist generally of obligations of companies and other entities (collectively, “borrowers”) incurred for the purpose of reorganizing the assets and liabilities of a borrower; acquiring another company; taking
over control of a company (leveraged buyout); temporary refinancing; or financing internal growth or other general business purposes. Senior Loans are often obligations of borrowers who have incurred a significant percentage of debt compared to
their total assets and thus are highly leveraged. The Funds do not treat the banks originating or acting as agents for the lenders, or granting or acting as intermediary in participation interests, in loans held by the Funds as the issuers of such
loans.
4. Fees and Transactions
with Affiliates
Advisory Fee
The Trust, on behalf of each Fund, has entered into an
Investment Advisory Agreement with SSGA FM. As compensation for services rendered, facilities furnished, and expenses borne by the Adviser, each Fund pays the Adviser a fee (“Management/Advisory fee”) accrued daily and paid monthly,
based on a
138
SSGA ACTIVE TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
June 30, 2021
percentage of each Fund’s average daily net assets as shown in the
following table:
| Annual Rate | |
|
SPDR DoubleLine Emerging Markets Fixed Income
ETF |
0.65% (a) |
|
SPDR DoubleLine Short Duration Total Return Tactical
ETF |
0.45 (b) |
|
SPDR DoubleLine Total Return Tactical
ETF |
0.55 (c) |
| (a) | Effective March 24, 2021, the Adviser agreed to reduce the SPDR DoubleLine Emerging Markets Fixed Income ETF's management fee from 0.75% to 0.65% of the Fund’s average daily net assets. |
| (b) | Effective March 24, 2021, the Adviser agreed to reduce the SPDR DoubleLine Short Duration Total Return Tactical ETF's management fee from 0.50% to 0.45% of the Fund’s average daily net assets. |
| (c) | Effective March 24, 2021, the Adviser agreed to reduce the SPDR DoubleLine Total Return Tactical ETF's management fee from 0.65% to 0.55% of the Fund’s average daily net assets. |
In connection with the above management fee reductions, the
Board approved the termination of the existing contractual fee waivers, whereby the Adviser agreed to limit the total annual operating expenses to 0.65%, 0.45% and 0.55% of the Fund’s average daily net assets, before application of any fees
and expenses not paid by the Adviser pursuant to the Investment Advisory Agreement, if any, for the SPDR DoubleLine Emerging Markets Fixed Income ETF, the SPDR DoubleLine Short Duration Total Return Tactical ETF and the SPDR DoubleLine Total Return
Tactical ETF, respectively. These waivers and/or reimbursements did not provide for the recoupment by the Adviser of any amounts waived or reimbursed. The total amount of fees waived for each Fund for the year ended June 30, 2021 has been disclosed
in the Statements of Operations.
From time to time, the
Adviser may waive all or a portion of its management fee. The Adviser has contractually agreed to waive a portion of its management fee and/or reimburse expenses in an amount equal to any acquired fund fees and expenses (excluding holdings in
acquired funds for cash management purposes, if any) for each Fund until October 31, 2021. This waiver and/or reimbursement does not provide for the recoupment by the Adviser of any amounts waived or reimbursed. This waiver and/or reimbursement may
not be terminated prior to October 31, 2021 except with the approval of the Board.
The Adviser pays all expenses of each Fund other than the
management fee, brokerage expenses, taxes, interest, fees and expenses of the Independent Trustees (including any Trustee’s counsel fees), litigation expenses, acquired fund fees and expenses and other extraordinary expenses.
DoubleLine Capital LP receives fees for its services as the
sub-adviser to the Funds from the Adviser.
139
SSGA ACTIVE TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
June 30, 2021
Administrator, Custodian, Sub-Administrator and Transfer Agent
Fees
SSGA FM serves as administrator and State Street
Bank and Trust Company (“State Street”), an affiliate of the Adviser, serves as custodian, sub-administrator and transfer agent. State Street receives fees for its services as custodian, sub-administrator and transfer agent from the
Adviser.
Distributor
State Street Global Advisors Funds Distributors, LLC
(“SSGA FD” or the “Distributor”), an affiliate of the Adviser, serves as the distributor of the Trust.
Other Transactions with Affiliates
The Funds may invest in affiliated entities, including
securities issued by State Street Corporation, affiliated funds, or entities deemed to be affiliates as a result of the Funds owning more than five percent of the entity’s voting securities or outstanding shares. Amounts relating to these
transactions during the year ended June 30, 2021 are disclosed in the Schedules of Investments.
On October 30, 2020, DoubleLine Capital LP agreed to make a
contribution of $39,028 to the SPDR DoubleLine Total Return Tactical ETF in connection with a portfolio trading matter.
5. Trustees’ Fees
The fees and expenses of the Trust’s trustees, who are
not “interested persons” of the Trust, as defined in the 1940 Act (“Independent Trustees”), are paid directly by the Funds. The Independent Trustees are reimbursed for travel and other out-of-pocket expenses in connection
with meeting attendance and industry seminars.
140
SSGA ACTIVE TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
June 30, 2021
6. Investment Transactions
Purchases and sales of investments (excluding in-kind
transactions and short term investments) for the year ended June 30, 2021, were as follows:
| U.S. Government Obligations | Other Securities | ||||||
| Purchases | Sales | Purchases | Sales | ||||
|
SPDR DoubleLine Emerging Markets Fixed Income
ETF |
$ — | $ — | $100,645,958 | $ 69,707,062 | |||
|
SPDR DoubleLine Short Duration Total Return Tactical
ETF |
42,198,402 | 37,680,429 | 66,545,000 | 33,384,633 | |||
|
SPDR DoubleLine Total Return Tactical
ETF |
2,617,963,890 | 1,990,848,136 | 709,468,763 | 498,242,581 | |||
7. Shareholder
Transactions
Each Fund issues and redeems its shares, at
NAV, by each Fund only in aggregations of a specified number of shares or multiples thereof (“Creation Units”). Except when aggregated in Creation Units, shares of each Fund are not redeemable. Transactions in capital shares for each
Fund are disclosed in detail in the Statements of Changes in Net Assets.
The consideration for the purchase of Creation Units of a Fund
may consist of the in-kind deposit of a designated portfolio of securities and a specified amount of cash . Investors purchasing and redeeming Creation Units may pay a purchase transaction fee and a redemption transaction fee directly to the Trust
and/or custodian, to offset transfer and other transaction costs associated with the issuance and redemption of Creation Units, including Creation Units for cash. An additional variable fee may be charged for certain transactions. Such variable
charges, if any, are included in “Other Capital” on the Statements of Changes in Net Assets.
8. Income Tax Information
The Funds have qualified and intend to continue to qualify as
regulated investment companies under Subchapter M of the Internal Revenue Code. Each Fund will not be subject to federal income taxes to the extent it distributes its taxable income, including any net realized capital gains, for each fiscal year.
Therefore, no provision for federal income tax is required.
141
SSGA ACTIVE TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
June 30, 2021
The Funds file federal and various state and local tax returns
as required. No income tax returns are currently under examination. Generally, the federal returns are subject to examination by the Internal Revenue Service for a period of three years from date of filing, while the state returns may remain open
for an additional year depending upon jurisdiction. SSGA FM has analyzed each Fund's tax positions taken on tax returns for all open years and does not believe there are any uncertain tax positions that would require recognition of a tax
liability.
Distributions to shareholders are recorded on
ex-dividend date. Income dividends and gain distributions are determined in accordance with income tax rules and regulations, which may differ from generally accepted accounting principles.
Certain capital accounts in the financial statements have been
adjusted for permanent book-tax differences. These adjustments have no impact on NAVs or results of operations. Temporary book-tax differences will reverse in the future. These book-tax differences are primarily due to differing treatments for
character of distributions, differing treatment for paydown gains and losses, defaulted bonds and amortization and accretion of premium and discount for financial statement purposes. Certain Funds claimed a portion of the payments made to redeeming
shareholders as a distribution for income tax purposes
The tax character of distributions paid during the year ended
June 30, 2021, was as follows:
| Ordinary
Income |
Long-Term
Capital Gains |
Total | |||
|
SPDR DoubleLine Emerging Markets Fixed Income
ETF |
$ 2,854,562 | $— | $ 2,854,562 | ||
|
SPDR DoubleLine Short Duration Total Return Tactical
ETF |
2,110,916 | — | 2,110,916 | ||
|
SPDR DoubleLine Total Return Tactical
ETF |
87,675,778 | — | 87,675,778 |
142
SSGA ACTIVE TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
June 30, 2021
The tax character of distributions paid during the year ended
June 30, 2020, was as follows:
| 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 |
At June 30, 2021, the components of
distributable earnings on a tax basis were as follows:
| Undistributed
Ordinary Income |
Capital
Loss Carryforwards |
Undistributed
Long-Term Capital Gains |
Net
Unrealized Gains (Losses) |
Total | |||||
|
SPDR DoubleLine Emerging Markets Fixed Income
ETF |
$1,217,957 | $ — | $ — | $2,182,140 | $ 3,400,097 | ||||
|
SPDR DoubleLine Short Duration Total Return Tactical
ETF |
367,213 | — | 84,082 | 342,397 | 793,692 | ||||
|
SPDR DoubleLine Total Return Tactical
ETF |
9,385,187 | (104,657,163) | — | 8,605,188 | (86,666,788) |
As of June 30, 2021, the following
Funds had capital loss carryforwards available to offset future realized capital gains as follows:
| Non-Expiring
Short Term |
Non-Expiring
Long Term | ||
|
SPDR DoubleLine Total Return Tactical
ETF |
$50,672,099 | $53,985,064 |
As of June 30, 2021, gross
unrealized appreciation and gross unrealized depreciation of investments based on cost for federal income tax purposes were as follows:
| Tax
Cost |
Gross
Unrealized Appreciation |
Gross
Unrealized Depreciation |
Net
Unrealized Appreciation (Depreciation) | ||||
|
SPDR DoubleLine Emerging Markets Fixed Income
ETF |
$ 121,463,657 | $ 3,172,324 | $ 990,184 | $2,182,140 | |||
|
SPDR DoubleLine Short Duration Total Return Tactical
ETF |
164,643,234 | 1,417,212 | 1,074,815 | 342,397 | |||
|
SPDR DoubleLine Total Return Tactical
ETF |
3,186,568,515 | 71,361,030 | 62,755,749 | 8,605,281 |
143
SSGA ACTIVE TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
June 30, 2021
9. Line of Credit
The Funds and other affiliated funds (each a
“Participant” and, collectively, the “Participants”) have access to $200 million of a $500 million revolving credit facility provided by a syndication of banks under which the Participants may borrow to fund shareholder
redemptions. This agreement expires in October 2021 unless extended or renewed.
The Participants are charged an annual commitment fee which is
calculated based on the unused portion of the shared credit line. Commitment fees are allocated among each of the Participants based on relative net assets. Commitment fees are ordinary fund operating expenses paid by the Adviser. A Participant
incurs and pays the interest expense related to its borrowing. Interest is calculated at a rate per annum equal to the sum of 1.25% plus the New York Fed Bank Rate. Prior to October 8, 2020, interest was calculated at a rate per annum equal to the
sum of 1% plus the greater of the New York Fed Bank Rate and 1-month LIBOR rate.
The Funds had no outstanding loans as of June 30, 2021.
10. Risks
Concentration Risk
As a result of the Funds' ability to invest a large percentage
of their assets in obligations of issuers within the same country, state, region, currency or economic sector, an adverse economic, business or political development may affect the value of the Funds' investments more than if the Funds were more
broadly diversified.
Foreign and Emerging Markets
Risk
Investing in foreign markets involves risks and
considerations not typically associated with investing in the U.S. Foreign securities may be subject to risk of loss because of government regulation, economic, political and social instability in the countries in which the Funds invest. Foreign
markets may be less liquid than investments in the U.S. and may be subject to the risks of currency fluctuations. To the extent that the Funds invest in securities of issuers located in emerging markets, these risks may be even more
pronounced.
144
SSGA ACTIVE TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
June 30, 2021
Credit Risk
A Fund may also be exposed to credit risk in the event that an
issuer or guarantor fails to perform or that an institution or entity with which a Fund has unsettled or open transactions defaults.
Market Risk
Each Fund's investments are subject to changes in general
economic conditions, general market fluctuations and the risks inherent in investment in securities markets. Investment markets can be volatile and prices of investments can change substantially due to various factors including, but not limited to,
economic growth or recession, changes in interest rates, changes in the actual or perceived creditworthiness of issuers, and general market liquidity. Each Fund is subject to the risk that geopolitical events will disrupt securities markets and
adversely affect global economies and markets. Local, regional or global events such as war, acts of terrorism, the spread of infectious illness or other public health issues, or other events could have a significant impact on a Fund and its
investments.
An outbreak of a respiratory disease caused
by a novel coronavirus (known as COVID-19) first detected in China in December 2019 has resulted in a global pandemic and major disruptions to economies and markets around the world, including the United States. Financial markets experienced and may
continue to experience extreme volatility and severe losses, and trading in many instruments was and may continue to be disrupted as a result. Liquidity for many instruments was and may continue to be greatly reduced for periods of time. Some
interest rates are very low and in some cases yields are negative. Governments and central banks, including the Federal Reserve in the United States, have taken extraordinary and unprecedented actions to support local and global economies and the
financial markets. The impact of these measures, and whether they will be effective to mitigate the economic and market disruption, will not be known for some time. In addition, the outbreak of COVID-19, and measures taken to mitigate its effects,
could result in disruptions to the services provided to a Fund by its service providers.
11. Recent Accounting Pronouncement
In March 2020, the Financial Accounting Standards Board
(“FASB”) issued Accounting Standards Update No. 2020-04 (“ASU 2020-04”), “Reference Rate Reform (Topic 848)”. In response to concerns about structural risks of interbank offered rates, and particularly the risk of
cessation of LIBOR, regulators have
145
SSGA ACTIVE TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
June 30, 2021
undertaken reference rate reform initiatives to identify alternative
reference rates that are more observable or transaction based and less susceptible to manipulation. ASU 2020-04 provides optional guidance for a limited period of time to ease the potential burden in accounting for (or recognizing the effects of)
reference rate reform on financial reporting. ASU 2020-04 is elective and applies to all entities, subject to meeting certain criteria, that have contracts, hedging relationships, and other transactions that reference LIBOR or another reference rate
expected to be discontinued because of reference rate reform. The relief provided is temporary and generally cannot be applied to contract modifications that occur after December 31, 2022, or hedging relationships entered into or evaluated after
that date. However, the FASB has indicated that it will revisit the sunset date in Topic 848 after the LIBOR administrator makes a final decision on a phaseout date. On November 30, 2020, the LIBOR administrator proposed extending the publication of
the overnight and the one-, three-, six- and 12-month USD LIBOR settings through June 30, 2023, when many existing contracts that reference LIBOR will have expired. Management is currently evaluating the impact of the guidance.
12. Subsequent Events
Management has evaluated the impact of all subsequent events
on the Funds through the date the financial statements were issued and has determined that there were no subsequent events requiring adjustment or disclosure in the financial statements.
146
SSGA ACTIVE TRUST
REPORT OF INDEPENDENT REGISTERED PUBLIC
ACCOUNTING FIRM
To the Shareholders of SPDR DoubleLine Emerging Markets Fixed
Income ETF, SPDR DoubleLine Short Duration Total Return Tactical ETF and SPDR DoubleLine Total Return Tactical ETF and the Board of Trustees of SSGA Active Trust
Opinion on the Financial Statements and Schedule of Investments
in Securities
We have audited the accompanying
statements of assets and liabilities of SPDR DoubleLine Emerging Markets Fixed Income ETF, SPDR DoubleLine Short Duration Total Return Tactical ETF and SPDR DoubleLine Total Return Tactical ETF (collectively referred to as the “Funds”)
(three of the funds constituting SSGA Active Trust (the “Trust”)), including the schedules of investments, as of June 30, 2021, and the related statements of operations for the year then ended, the statements of changes in net assets for
each of the two years in the period then ended, the financial highlights for each of the five years in the period then ended and the related notes (collectively referred to as the “financial statements”) In our opinion, the financial
statements present fairly, in all material respects, the financial position of each of the Funds (three of the funds constituting SSGA Active Trust) at June 30, 2021, the results of their operations for the year then ended, the changes in their net
assets for each of the two years in the period then ended and their financial highlights for each of the five years in the period then ended, in conformity with U.S. generally accepted accounting principles.
Basis for Opinion
These financial statements are the responsibility of the
Trust’s management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States)
(“PCAOB”) and are required to be independent with respect to the Trust in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of
the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Trust is not required to have, nor were
we engaged to perform, an audit of the Trust’s internal control over financial reporting. As part of our audits, we are required to obtain an understanding of internal control over financial reporting, but not for the purpose
147
SSGA ACTIVE TRUST
REPORT OF INDEPENDENT REGISTERED PUBLIC
ACCOUNTING FIRM
of expressing an opinion on the effectiveness of the Trust’s internal
control over financial reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risks
of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the
financial statements. Our procedures included confirmation of securities owned as of June 30, 2021, by correspondence with the custodian, brokers and others or by other appropriate auditing procedures where replies from brokers and others were not
received. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable
basis for our opinion.
We have served as
the auditor of one or more State Street Global Advisors investment companies since 2000.
Boston, Massachusetts
August 30, 2021
August 30, 2021
148
SSGA ACTIVE TRUST
OTHER INFORMATION
June 30, 2021 (Unaudited)
Expense Example
As a shareholder of a Fund, you incur two types of costs: (1)
transaction costs, including sales charges (loads), if applicable, on purchase payments, reinvested dividends, or other distributions and (2) ongoing costs, including advisory fees and other Fund expenses. This example is intended to help you
understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. It is based on an investment of $1,000 made at the beginning of the period shown and held for
the entire period from January 1, 2021 to June 30, 2021.
The table below illustrates your Fund's cost in two
ways:
Based on actual fund return ——This section helps you to estimate the actual expenses that you paid over the period. The “Ending Account Value” shown is derived from each Fund's actual return, and the third column shows the
dollar amount that would have been paid by an investor who started with $1,000 in the Fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your
account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for the Fund under the heading “Expenses Paid During Period”.
Based on hypothetical 5%
return ——This section is intended to help you compare your Fund's costs with those of other mutual funds. It assumes that the Fund had a yearly return of 5% before expenses, but that the expense ratio is
unchanged. In this case, because the return used is not the Fund's actual return, the results do not apply to your investment. The example is useful in making comparisons because the U.S. Securities and Exchange Commission (the “SEC”)
requires all mutual funds to calculate expenses based on a 5% return. You can assess your Fund's costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.
Please note that the expenses shown in the table are meant to
highlight your ongoing costs only and do not reflect any transaction costs, such as sales load charges (loads). Therefore, the hypothetical 5% return section of the table is useful in comparing ongoing costs only, and will not help you determine the
relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher.
149
SSGA ACTIVE TRUST
OTHER
INFORMATION (continued)
June 30, 2021 (Unaudited)
| SPDR DoubleLine Emerging Markets Fixed Income ETF | SPDR DoubleLine Short Duration Total Return Tactical ETF | SPDR DoubleLine Total Return Tactical ETF | |||
|
Annualized Expense
Ratio |
0.65% | 0.45% | 0.55% | ||
| Actual: | |||||
|
Ending Account
Value |
$1,013.00 | $1,001.30 | $ 994.00 | ||
|
Expenses Paid During
Period(a) |
3.24 | 2.23 | 2.72 | ||
| Hypothetical (assuming a 5% return before expenses): | |||||
|
Ending Account
Value |
1,021.60 | 1,022.60 | 1,022.10 | ||
|
Expenses Paid During
Period(a) |
3.26 | 2.26 | 2.76 |
| (a) | Expenses are equal to the Fund's annualized net expense ratio multiplied by the average account value of the period, multiplied by 181, then divided by 365. |
150
SSGA ACTIVE TRUST
OTHER
INFORMATION (continued)
June 30, 2021 (Unaudited)
Tax Information
For federal income tax purposes, the following information is
furnished with respect to the distributions of the Trust for its fiscal year ended June 30, 2021.
Qualified Interest Income
Each Fund reports the maximum amount allowable of its net
taxable income and short-term capital gain as qualified interest income.
Interest Dividends
Each Fund reports the maximum amount allowable as Section
163(j) Interest Dividends.
Premium/Discount
Information
Information regarding how often the Shares
of each Fund traded on the exchange at a price above (i.e., at a premium) or below (i.e., at a discount) the NAV of the Fund during the past calendar year can be found
at www.ssga.com.
Proxy Voting Policies and Procedures and Records
A description of the Trust’s proxy voting policies and
procedures that are used by the Funds’ investment adviser to vote proxies relating to the Funds’ portfolio of securities are available (i) without charge, upon request by calling 1-866-787-2257 (toll free) or (ii) on the SEC's website at
www.sec.gov.
Information regarding how the investment adviser voted for the
12-month period ended June 30, is available by August 31 of each year by calling the same number, on the SEC’s website at www.sec.gov, and on the Funds’ website at
www.ssga.com.
Quarterly Portfolio Schedule
Following the Funds’ first and third fiscal
quarter-ends, a complete schedule of investments is filed with the SEC as an exhibit on Form N-PORT, which can be found on the SEC's website at www.sec.gov, and on the Funds' website at www.ssga.com. The Funds’ schedules of investments are available upon request, without charge, by calling 1-866-787-2257 (toll free).
151
SSGA ACTIVE TRUST
OTHER
INFORMATION (continued)
June 30, 2021 (Unaudited)
Approval of Advisory Agreement
At meetings held prior to June 30, 2021, the Board of Trustees
of the Trust (the “Board”) evaluated proposals to continue the Investment Advisory Agreement (the “Agreement”) between the Trust and SSGA Funds Management, Inc. (the “Adviser” or “SSGA FM”) with
respect to the SPDR DoubleLine Emerging Markets Fixed Income ETF, SPDR DoubleLine Short Duration Total Return Tactical ETF, and SPDR DoubleLine Total Return Tactical ETF, each a series of SSGA Active Trust (each, a “Fund” and
collectively, the “Funds”). The Trustees who are not “interested persons” of the Trust within the meaning of the Investment Company Act of 1940, as amended (the “Independent Trustees”), also met separately to
consider the Agreement. The Independent Trustees were advised by their independent legal counsel throughout the process.
To evaluate the Agreement, the Board requested, and SSGA FM,
the Trust’s investment adviser and administrator, and State Street Bank and Trust Company, the Trust’s sub-administrator, transfer agent and custodian (“State Street”) provided, such materials as the Board, with the advice of
counsel, deemed reasonably necessary. In deciding whether to approve the Agreement, the Board considered various factors, including the (i) nature, extent and quality of services provided by the Adviser with respect to the Funds under the Agreement,
(ii) investment performance of the Funds, (iii) profits realized by the Adviser and its affiliates from its relationship with the Trust, (iv) fees charged to comparable funds, (v) other benefits to the Adviser, and (vi) extent to which economies of
scale would be shared as the Funds grow.
Nature, Extent
and Quality of Services
The Board considered the nature,
extent and quality of services provided by the Adviser. In doing so, the Trustees relied on their prior experience in overseeing the management of the Trust and the materials provided prior to and at the meetings. The Board reviewed the Agreement
and the Adviser’s responsibilities for managing investment operations of each of the Funds in accordance with each Fund’s investment objectives and policies, and applicable legal and regulatory requirements. The Board appreciated the
nature of the Funds as exchange-traded funds and the experience and expertise of the Adviser in managing exchange-traded funds. The Board considered the background and experience of the Adviser’s senior management, including those individuals
responsible for portfolio management, oversight of sub-advisers and regulatory compliance of the Funds. The Board also considered the portfolio management resources, structures and practices of the Adviser, including those associated with monitoring
and ensuring each Fund’s compliance with its investment
152
SSGA ACTIVE TRUST
OTHER
INFORMATION (continued)
June 30, 2021 (Unaudited)
objectives and policies, and applicable laws and regulations. The Board
further considered information about the Adviser’s best execution procedures and overall investment management business, noting that the Adviser serves a wide range of clients across a broad spectrum of asset classes. The Board looked at the
Adviser’s general knowledge of the investment management business and that of its affiliates which make up State Street Global Advisors, through which the Adviser shares all of its senior personnel. The Board considered that the Adviser and
its affiliates constitute one of the world’s largest investment management enterprises for exchange-traded funds. The Board specifically considered the Adviser’s experience in managing actively-managed exchange-traded funds and
overseeing third party sub-advisers.
Investment
Performance
The Board then reviewed each Fund’s
performance. The Board compared each Fund’s investment performance to the performance of an appropriate benchmark (gross of expenses) and a group of comparable funds (net of expenses). Among other information, the Board considered the
following performance information over various periods ended December 31, 2020 in its evaluation of each Fund:
SPDR DoubleLine Short Duration Total Return Tactical ETF. The Board considered that the Fund underperformed the median of its Performance Group for the 1-, 2-, 3- and 4-year periods. In addition, the Board considered that the Fund outperformed its benchmark index for the 1- and
3-year, and since inception periods.
SPDR
DoubleLine Total Return Tactical ETF. The Board considered that the Fund underperformed the median of its Performance Group for the 1-, 2-, 3- and 4-year periods. In addition, the Board considered that the Fund
underperformed its benchmark index for the 1-, 3- and 5-year, and since inception periods.
SPDR DoubleLine Emerging Markets Fixed Income ETF. The Board considered that the Fund underperformed the median of its Performance Group for the 1-, 2-, 3- and 4-year periods. In addition, the Board considered that the Fund underperformed its benchmark index for the 1-
and 3-year, and since inception periods.
153
SSGA ACTIVE TRUST
OTHER
INFORMATION (continued)
June 30, 2021 (Unaudited)
In those instances where the Board observed underperformance
for an extended period of time, the Trustees discussed with management those factors that contributed to such underperformance and steps being taken in response to such factors, where appropriate.
Profits Realized by Adviser
The Board considered the profitability of the advisory
arrangement with the Funds to the Adviser and its affiliates, including data on the Funds’ historical profitability to these entities. The Board, including the Independent Trustees, with their independent legal counsel, had the opportunity to
discuss, with representatives of the Adviser and State Street, methodologies used in computing costs that formed the bases of profitability calculations.
Fees Charged to Comparable Funds
The Board evaluated each Fund’s unitary fee through
review of comparative information with respect to fees paid by similar funds – i.e., exchange-traded funds that are actively managed. The Board reviewed the universe of similar exchange-traded funds for each Fund based upon data independently
obtained from Broadridge Financial Solutions, Inc. and related comparative information for similar exchange-traded funds. In doing so, the Board used a fund by fund analysis of the data. In certain instances as considered appropriate by the Board,
the Board explored with management the reasons for the differences between a Fund’s fee and fees paid by similar funds.
Other Benefits
The Board also considered whether the Adviser or its
affiliates benefited in other ways from its relationship with the Trust, noting that the Adviser does not maintain soft-dollar arrangements in connection with the Trust’s brokerage transactions.
Economies of Scale
The Board reviewed information regarding economies of scale or
other efficiencies that may result as each Fund’s assets grow in size. The Board noted that the advisory fee rate for each Fund does not provide for breakpoints as assets of a Fund increase. However, the Board further noted the Adviser’s
assertion that future economies of scale (among several factors) had been taken into consideration for each Fund by fixing relatively low advisory fees, effectively sharing the benefits of lower fees with each Fund from inception. The Adviser also
asserted that one of the benefits of the unitary fee was to provide
154
SSGA ACTIVE TRUST
OTHER
INFORMATION (continued)
June 30, 2021 (Unaudited)
an unvarying expense structure, which could be lost or diluted with the
addition of breakpoints. The Board noted that it intends to continue to monitor fees as each Fund grows in size and assess whether fee breakpoints may be warranted.
Conclusion
After weighing the foregoing factors, none of which was
dispositive in itself and may have been weighed differently by each Trustee, the Board, including the Independent Trustees voting separately, approved the continuation of the Agreement for each Fund. The Board’s conclusions with respect to the
factors were as follows: (a) the nature, extent and quality of the services provided by the Adviser with respect to the Funds were appropriate; (b) the performance of the Funds had been satisfactory or the Advisor had demonstrated due attention to
the remediation of underperformance, where appropriate; (c) the Adviser’s unitary fee for each Fund considered in relation to the services provided, and in relation to the fees charged to comparable funds, was reasonable; (d) the profitability
of the Trust’s relationships with the Adviser and its affiliates was not excessive in view of the nature, extent and quality of the services provided; (e) any additional potential benefits to the Adviser or its affiliates were not of a
magnitude to materially affect the Board’s conclusions; and (f) the fees paid to the Adviser adequately shared the economies of scale with respect to the Funds by way of the relatively low fee structure of the Trust.
155
SSGA ACTIVE TRUST
OTHER
INFORMATION (continued)
June 30, 2021 (Unaudited)
Approval of DoubleLine Capital LP Sub-Advisory Agreement
At meetings held prior to June 30, 2021, the Board also
considered a proposal to continue the Sub-Advisory Agreement (the “DoubleLine Sub-Advisory Agreement”) between the Adviser and DoubleLine Capital LP (“DoubleLine”) with respect to each Fund. The Independent Trustees also met
separately to consider the DoubleLine Sub-Advisory Agreement. The Independent Trustees were advised by their independent legal counsel throughout the process.
To evaluate the DoubleLine Sub-Advisory Agreement, the Board
requested, and DoubleLine and the Adviser provided, such materials as the Board, with the advice of counsel, deemed reasonably necessary. In deciding whether to approve the DoubleLine Sub-Advisory Agreement, the Board considered various factors,
including the (i) nature, extent and quality of services provided by DoubleLine with respect to each Fund under the DoubleLine Sub-Advisory Agreement; and (ii) investment performance of each Fund. The Board was informed of the portion of the
advisory fee that the Adviser would pay to DoubleLine under the DoubleLine Sub-Advisory Agreement and also considered that such fees would be paid directly by the Adviser and would not result in increased fees payable by the Funds.
The Board considered the background and experience of senior
management at DoubleLine and, in particular, DoubleLine’s experience in investing in fixed income securities. The Board reviewed each Fund’s performance, noting that the DoubleLine ETFs had underperformed, but considered
management’s explanation of those factors that contributed to such underperformance and steps being taken in response to such factors. The Board also considered the unitary fee paid to the Adviser by each Fund and DoubleLine’s fees paid
by the Adviser. The Board also considered whether DoubleLine benefited in other ways from its relationship with the Trust.
After weighing the foregoing factors, as well as the relevant
factors discussed in relation to the Double-Line Sub-Advisory Agreement between DoubleLine and the Adviser, none of which was dispositive in itself and may have been weighed differently by each Trustee, the Board, including the Independent Trustees
voting separately, approved the continuation of the DoubleLine Sub-Advisory Agreement for each Fund. The Board’s conclusions with respect to the factors were as follows: (a) the nature, extent and quality of the services provided by DoubleLine
with respect to each Fund were adequate and appropriate; (b) the performance of the Funds had been satisfactory or the Advisor had demonstrated due attention to the remediation of underperformance, where appropriate; (c) DoubleLine’s fees for
each Fund and the unitary fee,
156
SSGA ACTIVE TRUST
OTHER
INFORMATION (continued)
June 30, 2021 (Unaudited)
considered in relation to the services provided, were reasonable; (d) any
additional potential benefits to DoubleLine were not of a magnitude to materially affect the Board’s conclusions; and (e) the fees paid to DoubleLine adequately shared the economies of scale with each Fund by way of the relatively low fee
structure of the Trust.
157
SSGA ACTIVE TRUST
OTHER
INFORMATION (continued)
June 30, 2021 (Unaudited)
TRUSTEES AND OFFICERS INFORMATION
| 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 | ||||||||||
| DWIGHT
D. CHURCHILL c/o SSGA Active Trust One Iron Street Boston, MA 02210 1953 |
Independent
Trustee, Audit Committee Chair |
Term:
Unlimited Served: since March 2011 |
Self-employed
consultant since 2010; CEO and President, CFA Institute (June 2014 - January 2015). |
126 | 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). |
126 | 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). |
158
SSGA ACTIVE TRUST
OTHER
INFORMATION (continued)
June 30, 2021 (Unaudited)
| 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). |
126 | Rydex
Series Funds (Trustee); Rydex Dynamic Funds (Trustee); Rydex Variable Trust (Trustee); Guggenheim Funds Trust (Trustee); Guggenheim Variable Funds Trust (Trustee); Guggenheim Strategy Funds Trust (Trustee); Transparent Value Trust (Trustee); Fiduciary/Claymore Energy Infrastructure Fund (Trustee); Guggenheim Taxable Municipal Managed Duration Trust (Trustee); Guggenheim Strategic Opportunities Fund (Trustee); Guggenheim Enhanced, Equity Income Fund (Trustee); Guggenheim Credit Allocation Fund (Trustee); Guggenheim Energy & Income Fund (Trustee). | |||||
| CARL
G. VERBONCOEUR c/o SSGA Active Trust One Iron Street Boston, MA 02210 1952 |
Independent
Trustee, Trustee Committee Chair |
Term:
Unlimited Served: since March 2011 |
Self-employed
consultant since 2009. |
126 | The
Motley Fool Funds Trust (Trustee). |
159
SSGA ACTIVE TRUST
OTHER
INFORMATION (continued)
June 30, 2021 (Unaudited)
| 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 Manager, 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). |
137 | 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. | ||||||||||
160
SSGA ACTIVE TRUST
OTHER
INFORMATION (continued)
June 30, 2021 (Unaudited)
| 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); Unlimited Served: since February 2016 (with respect to Deputy Treasurer) |
Chief Operating Officer, SSGA Funds Management, Inc. (April 2005 - Present)*; Managing Director, State Street Global Advisors (April 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). | |||
| 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). |
161
SSGA ACTIVE TRUST
OTHER
INFORMATION (continued)
June 30, 2021 (Unaudited)
| 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 | |||
| DAVID
BARR SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1974 |
Assistant
Secretary |
Term:
Unlimited Served: since November 2020 |
Vice President and Senior Counsel, State Street Global Advisors (October 2019 - present); Vice President and Counsel, Eaton Vance Corp. (2010 - 2019). | |||
| 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, State Street Global Advisors and SSGA Funds Management, Inc. (July 2016 - present); Mutual Funds Controller of GE Asset Management Incorporated (April 2011 - July 2016). | |||
| DAVID
LANCASTER SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1971 |
Assistant
Treasurer |
Term:
Unlimited Served: since November 2020 |
Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (July 2017 - present); Assistant Vice President, State Street Bank and Trust Company (November 2011 - July 2017). | |||
| 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. | ||||||
162
SSGA Active
Trust
The information contained in this report is
intended for the general information of shareholders of the Trust. This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current Trust prospectus which contains important information concerning
the Trust. You may obtain a current prospectus and SAI from the Distributor by calling 1-866-787-2257 or visiting www.ssga.com. Please read the prospectus carefully before you invest.
SSGA Active
Trust
The information contained in this report is intended for the general
information of shareholders of the Trust. This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current Trust prospectus which contains important information concerning the Trust. You may obtain
a current prospectus and SAI from the Distributor by calling 1-866-787-2257 or visiting www.ssga.com. Please read the prospectus carefully before you invest.
Annual Report
June 30, 2021
SSGA Active Trust
| SPDR Blackstone Senior Loan ETF (Formerly, SPDR Blackstone / GSO Senior Loan ETF) |
The information contained in this report is intended for the
general information of shareholders of the Trust. This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current Trust prospectus which contains important information concerning the Trust. You may
obtain a current prospectus and SAI from the Distributor by calling 1-866-787-2257 or visiting www.ssga.com. Please read the prospectus carefully before you invest.
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TABLE OF CONTENTS
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49 |
The information contained in this report is intended
for the general information of shareholders of the Trust. This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current Trust prospectus which contains important information concerning the Trust.
You may obtain a current prospectus and SAI from the Distributor by calling 1-866-787-2257 or visiting www.ssga.com. Please read the prospectus carefully before you invest.
Notes to
Performance Summary (Unaudited)
The performance chart
of a Fund’s total return at net asset value (“NAV”), the total return based on market price and its benchmark index is provided for comparative purposes only and represents the periods noted. A Fund’s per share NAV is the
value of one share of a Fund and is calculated by dividing the value of total assets less total liabilities by the number of shares outstanding. The NAV return is based on the NAV of a Fund and the market return is based on the market price per
share of a Fund. The market price used to calculate the market return is determined by using the midpoint between the highest bid and the lowest offer on the exchange on which the shares of a Fund are listed for trading, as of the time that a
Fund’s NAV is calculated. NAV and market returns assume that dividends and capital gain distributions have been reinvested in a Fund at NAV. Market returns do not include brokerage commissions that may be payable on secondary market
transactions. If brokerage commissions were included market returns would be lower.
An index is a statistical measure of a specified financial
market or sector. An index does not actually hold a portfolio of securities and therefore does not reflect deductions for fees or expenses. In comparison, a Fund’s performance is negatively impacted by these deductions. Index returns reflect
all items of income, gain and loss and the reinvestment of dividends and other income.
The Markit iBoxx USD Liquid Leveraged Loan Index is
comprised of about 100 of the most liquid, tradable leveraged loans, as identified by Markit’s Loans Liquidity service. Markit is dedicated to utilizing its unique datasets on loans to become the premier provider of independent and objective
loan indices for trading, product structuring, and benchmarking.
The S&P/LSTA U.S. Leveraged Loan 100 Index is designed
to reflect the largest facilities in the leveraged loan market. It mirrors the market-weighted performance of the largest institutional leveraged loans based upon market weightings, spreads, and interest payments. The index consists of 100 loan
facilities drawn from a larger benchmark, the S&P/LSTA (Loan Syndications and Trading Association) Leveraged Loan Index (LLI).
See accompanying notes to financial statements.
1
SPDR Blackstone
Senior Loan ETF
Management's Discussion of Fund Performance
(Unaudited)
The investment objective of the SPDR
Blackstone Senior Loan ETF (the “Fund”) is to provide current income consistent with the preservation of capital. The Fund’s primary benchmark is the Markit iBoxx USD Liquid Leveraged Loan Index (the “Index”).
For the 12-month period ended June 30, 2021 (the
“Reporting Period”), the total return for the Fund was 11.97%, and the Index was 8.85%. The Fund and Index returns reflect the reinvestment of dividends and other income. The Fund’s performance reflects the expenses of managing the
Fund, including brokerage and advisory expenses. The Index is unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns.
Allocation to CCC-rated loans, credit selection within
single B-rated loans and credit selection within the industrials and healthcare sectors were the primary positive drivers of Fund performance during the Reporting Period relative to the Index. Individual credit selection within CCC-rated loans and
underweight allocations to Caesars Resort Collection and West Corp relative to the Index were the primary detractors from Fund performance during the period.
The Fund did not invest in derivatives during the Reporting
Period.
On an individual security level, the top
positive contributors to the Fund’s performance on an absolute basis during the Reporting Period were Travelport Finance Second Lien Term Loan, Delta Airlines SkyMiles Bond, and Carestream Health Inc Second Lien Term Loan. The top negative
contributors to the Fund’s performance on an absolute basis during the Reporting Period were Diamond Sports Group Bond, Sinclair Broadcasting Term Loan, and Bausch Health Companies Bond.
The views expressed above reflect those of the Fund’s
portfolio manager only through the Reporting Period, and do not necessarily represent the views of the Adviser as a whole. Any such views are subject to change at any time based upon market or other conditions and the Adviser disclaims any
responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any fund.
See
accompanying notes to financial statements.
2
SPDR Blackstone
Senior Loan ETF
Performance Summary (Unaudited)
Performance as of June 30, 2021
| 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) | 11.97% | 12.00% | 8.85% | 11.97% | 12.00% | 8.85% | |
| FIVE YEARS(1) | 25.43% | 25.22% | 18.63% | 4.64% | 4.60% | 3.48% | |
| SINCE INCEPTION(1) (2) | 31.09% | 31.04% | 25.18% | 3.34% | 3.33% | 2.76% | |
| (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 9.37%, 25.62% and 33.59%, 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 9.37%, 4.67% and 3.58%, respectively. |
| (2) | For the period April 3, 2013 to June 30, 2021. |
Comparison of Change in Value of a $10,000
Investment
(Based on Net Asset Value)
(Based on Net Asset Value)
Line graph is
based on cumulative total return.
The total expense ratio
for SPDR Blackstone Senior Loan ETF as stated in the Fees and Expenses table of the most recent prospectus is 0.70%. Please see the financial highlights for the total expense ratio for the fiscal period ended June 30, 2021.
Performance quoted represents past performance, which is no
guarantee of future results. Investment return and principal value will fluctuate, so you may have a gain or loss when shares are sold. Current performance may be higher or lower than that quoted. Visit www.ssga.com for most recent month-end
performance. The returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption or sale of Fund shares. See "Notes to Performance Summary" on page 1 for more information.
See accompanying
notes to financial statements.
3
SPDR Blackstone
Senior Loan ETF (Formerly, SPDR Blackstone / GSO Senior Loan ETF)
Portfolio Statistics (Unaudited)
Top Five Holdings as of June 30, 2021
| Description | % of Net Assets | ||
| Change
Healthcare Holdings LLC. Senior Secured 2017 Term Loan B 3.50% 3/1/2024 |
2.1% | ||
| Crown
Finance US, Inc. Senior Secured 2018 USD Term Loan 3.50% 2/28/2025 |
1.8 | ||
| Alphabet
Holding Company, Inc. Senior Secured 2017 1st Lien Term Loan 3.60% 9/26/2024 |
1.8 | ||
| United
Airlines, Inc. Senior Secured 2021 Term Loan B 4.50% 4/21/2028 |
1.7 | ||
| AMC
Entertainment Holdings, Inc. Senior Secured 2019 Term Loan B 3.09% 4/22/2026 |
1.7 | ||
| TOTAL | 9.1% |
(The five largest holdings are subject to
change, and there are no guarantees the Fund will continue to remain invested in any particular company.)
Industry Breakdown as of June 30,
2021
| % of Net Assets | |||
| Software | 16.1% | ||
| Health Care Providers & Services | 11.3 | ||
| Entertainment | 5.2 | ||
| Hotels, Restaurants & Leisure | 5.1 | ||
| Diversified Financial Services | 4.7 | ||
| Specialty Retail | 4.3 | ||
| Airlines | 4.1 | ||
| Commercial Services & Supplies | 3.9 | ||
| Media | 3.7 | ||
| Internet & Catalog Retail | 2.7 | ||
| Commercial Services | 2.4 | ||
| Health Care Technology | 2.1 | ||
| Oil, Gas & Consumable Fuels | 2.0 | ||
| Retail-Building Products | 1.8 | ||
| IT Services | 1.5 | ||
| Chemicals | 1.4 | ||
| Health Care Equipment & Supplies | 1.2 | ||
| Pharmaceuticals | 1.2 | ||
| Telecommunication Equip | 1.2 | ||
| Containers & Packaging | 1.1 | ||
| Retail-Restaurants | 1.1 | ||
| Computer Services | 1.0 | ||
| Real Estate Management & Development | 1.0 | ||
| Transport-Services | 0.9 | ||
| Interactive Media & Services | 0.9 | ||
| Cosmetics & Toiletries | 0.9 | ||
| Industrial Conglomerates | 0.9 | ||
| Professional Services | 0.8 |
See accompanying notes to financial statements.
4
SPDR Blackstone
Senior Loan ETF (Formerly, SPDR Blackstone / GSO Senior Loan ETF)
Portfolio Statistics (Unaudited) (continued)
| % of Net Assets | |||
| MRI/Medical Diag Imaging | 0.8% | ||
| Pipelines | 0.8 | ||
| Construction & Engineering | 0.7 | ||
| Diversified Consumer Services | 0.7 | ||
| Aerospace & Defense | 0.7 | ||
| Leisure&Rec/Games | 0.7 | ||
| Machinery | 0.6 | ||
| Hand/Machine Tools and Related Products | 0.6 | ||
| Transport-Air Freight | 0.6 | ||
| Consumer Products-Misc | 0.6 | ||
| Air Freight & Logistics | 0.6 | ||
| Home Furnishings | 0.6 | ||
| Environmentally Friendly | 0.5 | ||
| Miscellaneous Manufactur | 0.5 | ||
| Building Products | 0.5 | ||
| Communications Software | 0.5 | ||
| Household Products | 0.4 | ||
| Beverages | 0.4 | ||
| Trading Companies & Distributors | 0.4 | ||
| Retail-Petroleum Product | 0.4 | ||
| Electrical Equipment | 0.3 | ||
| Insurance | 0.3 | ||
| Computers | 0.3 | ||
| Capital Markets | 0.3 | ||
| Food-Misc/Diversified | 0.3 | ||
| Life Sciences Tools & Services | 0.2 | ||
| Food Products | 0.2 | ||
| Steel-Producers | 0.1 | ||
| Financial Services | 0.1 | ||
| Diversified Telecommunication Services | 0.1 | ||
| Leisure Equipment & Products | 0.1 | ||
| Containers-Paper/Plastic | 0.1 | ||
| Auto Components | 0.1 | ||
| Textiles, Apparel & Luxury Goods | 0.1 | ||
| Food & Beverage | 0.1 | ||
| Electronic Equipment, Instruments & Components | 0.0 * | ||
| Construction Materials | 0.0 * | ||
| Multiline Retail | 0.0 * | ||
| Advertising Services | 0.0 * | ||
| Machinery-Construction & Mining | 0.0 * | ||
| Short-Term Investment | 17.8 | ||
| Liabilities in Excess of Other Assets | (16.6) | ||
| TOTAL | 100.0% | ||
| * | Amount shown represents less than 0.05% of net assets. |
See accompanying
notes to financial statements.
5
SPDR BLACKSTONE SENIOR LOAN
ETF (Formerly, SPDR Blackstone / GSO Senior Loan ETF)
SCHEDULE OF INVESTMENTS
June 30, 2021
| Security Description | Principal
Amount |
Value | |||
| SENIOR FLOATING RATE LOANS — 91.5% (a) | |||||
| ADVERTISING SERVICES — 0.0% (b) | |||||
|
Red Ventures LLC Senior Secured 2020 Term Loan B2, 1 Month USD LIBOR + 2.50%, 2.60%,
11/8/2024 |
$ 2,367,308 | $ 2,341,990 | |||
| AEROSPACE & DEFENSE — 0.5% | |||||
| Dynasty Acquisition Co., Inc.: | |||||
|
Senior Secured 2020 CAD Term Loan B2, 3 Month USD LIBOR + 3.50%, 3.65%,
4/6/2026 |
12,244,530 | 11,946,069 | |||
|
Senior Secured 2020 Term Loan B1, 3 Month USD LIBOR + 3.50%, 3.65%,
4/6/2026 |
22,774,823 | 22,219,687 | |||
| 34,165,756 | |||||
| AIR FREIGHT & LOGISTICS — 0.6% | |||||
|
Kenan Advantage Group, Inc. Senior Secured 2021 Term Loan B1, 1 Month USD LIBOR + 3.75%, 4.50%,
3/24/2026 |
34,899,045 | 35,038,118 | |||
| AIRLINES — 3.6% | |||||
|
AAdvantage Loyalty IP Ltd. Senior Secured 2021 Term Loan, 3 Month USD LIBOR + 4.75%, 5.50%,
4/20/2028 |
61,469,098 | 64,162,367 | |||
|
American Airlines, Inc. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 1.75%, 1.85%,
6/27/2025 |
57,324,899 | 55,103,845 | |||
|
United Airlines, Inc. Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 3.75%, 4.50%,
4/21/2028 |
108,410,487 | 109,984,065 | |||
| 229,250,277 | |||||
| AUTO COMPONENTS — 0.1% | |||||
|
Wheel Pros, LLC Senior Secured 2021 Term Loan, 1 Month USD LIBOR + 4.50%, 5.25%,
5/11/2028 |
3,118,812 | 3,131,350 | |||
| BEVERAGES — 0.4% | |||||
|
Arterra Wines Canada, Inc. Senior Secured 2020 Term Loan, 3 Month USD LIBOR + 3.50%, 4.25%,
11/24/2027 |
2,920,109 | 2,930,154 |
See accompanying notes to financial statements.
6
SPDR BLACKSTONE SENIOR LOAN
ETF (Formerly, SPDR Blackstone / GSO Senior Loan ETF)
SCHEDULE OF
INVESTMENTS (continued)
June 30, 2021
| Security Description | Principal
Amount |
Value | |||
|
Triton Water Holdings, Inc Senior Secured Term Loan, 3 Month USD LIBOR + 3.50%, 4.00%,
3/31/2028 |
$ 21,885,517 | $ 21,888,581 | |||
| 24,818,735 | |||||
| BUILDING PRODUCTS — 0.5% | |||||
|
CP Atlas Buyer, Inc. Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 3.75%, 4.25%,
11/23/2027 |
28,830,101 | 28,798,532 | |||
| CAPITAL MARKETS — 0.3% | |||||
| AqGen Ascensus, Inc.: | |||||
|
Senior Secured 2020 Term Loan, 1 Month USD LIBOR + 4.00%, 5.00%,
12/13/2026 |
15,705,477 | 15,754,634 | |||
|
Senior Secured 2021 2nd Lien Term Loan, 5/4/2029
(c) |
4,518,072 | 4,495,482 | |||
|
Victory Capital Holdings, Inc. Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 2.25%, 2.44%,
7/1/2026 |
26,464 | 26,452 | |||
| 20,276,568 | |||||
| CHEMICALS — 1.4% | |||||
|
Ascend Performance Materials Operations LLC Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 4.75%, 5.50%,
8/27/2026 |
6,580,922 | 6,685,493 | |||
|
Composite Resins Holding B.V. Senior Secured 2018 Term Loan B, 3 Month USD LIBOR + 4.25%, 5.25%,
8/1/2025 |
6,763,008 | 6,805,277 | |||
|
New Arclin U.S. Holding Corp. Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 4.00%, 5.00%,
2/28/2026 |
2,392,543 | 2,408,250 | |||
|
NIC Acquisition Corp. Senior Secured Term Loan, 3 Month USD LIBOR + 3.75%, 3.92%,
12/29/2027 |
4,488,750 | 4,486,663 | |||
|
SCIH Salt Holdings, Inc. Senior Secured 2021 Incremental Term Loan B, 3 Month USD LIBOR + 4.00%, 4.75%,
3/16/2027 |
55,804,616 | 55,984,865 | |||
|
Vantage Specialty Chemicals, Inc. Senior Secured 2017 1st Lien Term Loan, 3 Month USD LIBOR + 3.50%, 4.50%,
10/28/2024 |
9,808,847 | 9,587,167 | |||
| 85,957,715 |
See accompanying notes to financial statements.
7
SPDR BLACKSTONE SENIOR LOAN
ETF (Formerly, SPDR Blackstone / GSO Senior Loan ETF)
SCHEDULE OF
INVESTMENTS (continued)
June 30, 2021
| Security Description | Principal
Amount |
Value | |||
| COMMERCIAL SERVICES — 2.1% | |||||
|
Allied Universal Holdco LLC Senior Secured 2021 USD Incremental Term Loan B, 1 Month USD LIBOR + 3.75%, 4.25%,
5/12/2028 |
$ 41,265,333 | $ 41,431,839 | |||
|
APX Group, Inc. Senior Secured 2020 Term Loan, 3 Month USD LIBOR + 4.00%, 7.25%,
12/31/2025 |
12,377,313 | 12,431,464 | |||
|
LegalZoom.com, Inc. Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 4.50%, 4.60%,
11/21/2024 |
4,602,443 | 4,603,870 | |||
|
Spin Holdco, Inc. Senior Secured 2021 Term Loan, 3 Month USD LIBOR + 4.00%, 4.75%,
3/1/2028 |
48,667,277 | 48,804,275 | |||
|
Verscend Holding Corp. Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 4.00%, 4.10%,
8/27/2025 |
24,687,830 | 24,784,853 | |||
| 132,056,301 | |||||
| COMMERCIAL SERVICES & SUPPLIES — 3.9% | |||||
| Asurion LLC: | |||||
|
Senior Secured 2018 Term Loan B6, 1 Month USD LIBOR + 3.00%, 5.35%,
11/3/2023 |
19,104,194 | 19,026,631 | |||
|
Senior Secured 2021 2nd Lien Term Loan B3, 1 Month USD LIBOR + 5.25%, 5.35%,
1/31/2028 |
74,899,316 | 75,601,498 | |||
|
Cast and Crew Payroll LLC Senior Secured 2019 1st Lien Term Loan, 1 Month USD LIBOR + 3.75%, 3.85%,
2/9/2026 |
27,053,401 | 26,943,564 | |||
|
Emerald TopCo, Inc. Senior Secured Term Loan, 3 Month USD LIBOR + 3.50%, 3.69%,
7/24/2026 |
164,581 | 163,861 | |||
|
EnergySolutions LLC Senior Secured 2018 Term Loan B, 3 Month USD LIBOR + 3.75%, 4.75%,
5/9/2025 |
90,587 | 90,204 | |||
|
Garda World Security Corporation Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 4.25%, 4.35%,
10/30/2026 |
16,237,709 | 16,336,272 | |||
|
Guidehouse LLP Senior Secured 2018 Term Loan, 1 Month USD LIBOR + 4.00%, 4.10%,
5/1/2025 |
5,985,000 | 6,006,367 | |||
|
Learning Care Group, Inc. Senior Secured 2018 1st Lien Term Loan, 3 Month USD LIBOR + 3.25%, 4.25%,
3/13/2025 |
40,935,453 | 40,327,152 |
See accompanying notes to financial statements.
8
SPDR BLACKSTONE SENIOR LOAN
ETF (Formerly, SPDR Blackstone / GSO Senior Loan ETF)
SCHEDULE OF
INVESTMENTS (continued)
June 30, 2021
| Security Description | Principal
Amount |
Value | |||
|
SSH Group Holdings, Inc. Senior Secured 2018 1st Lien Term Loan, 3 Month USD LIBOR + 4.25%, 4.40%,
7/30/2025 |
$ 14,218,520 | $ 13,747,531 | |||
|
USS Ultimate Holdings, Inc. Senior Secured 1st Lien Term Loan, 1 Month USD LIBOR + 3.75%, 4.75%,
8/25/2024 |
5,745,584 | 5,768,481 | |||
|
West Corp. Senior Secured 2017 Term Loan, 3 Month USD LIBOR + 4.00%, 5.00%,
10/10/2024 |
42,415,100 | 41,573,796 | |||
| 245,585,357 | |||||
| COMPUTER SERVICES — 1.0% | |||||
|
ConvergeOne Holdings, Inc. Senior Secured 2019 Term Loan, 1 Month USD LIBOR + 5.00%, 5.10%,
1/4/2026 |
19,041,352 | 18,872,551 | |||
|
Genuine Financial Holdings LLC Senior Secured 2018 1st Lien Term Loan, 3 Month USD LIBOR + 3.75%, 3.85%,
7/11/2025 |
40,498,503 | 39,844,047 | |||
|
Tempo Acquisition LLC Senior Secured Non-Extended Term Loan, 5/1/2024
(c) |
2,543,290 | 2,542,234 | |||
| 61,258,832 | |||||
| COMPUTERS — 0.2% | |||||
|
Brave Parent Holdings, Inc. Senior Secured 1st Lien Term Loan, 1 Month USD LIBOR + 4.00%, 4.10%,
4/18/2025 |
3,530,627 | 3,530,627 | |||
|
Imprivata, Inc. Senior Secured Term Loan, 3 Month USD LIBOR + 3.50%, 4.00%,
12/1/2027 |
8,769,616 | 8,796,364 | |||
|
Park Place Technologies LLC Senior Secured 2020 Term Loan, 1 Month USD LIBOR + 5.00%, 6.00%,
11/10/2027 |
3,027,080 | 3,041,458 | |||
| 15,368,449 | |||||
| CONSTRUCTION & ENGINEERING — 0.7% | |||||
|
Aegion Corporation Senior Secured Term Loan, 3 Month USD LIBOR + 4.75%, 5.50%,
5/17/2028 |
13,117,513 | 13,281,482 | |||
|
Brand Energy & Infrastructure Services, Inc. Senior Secured 2017 Term Loan, 3 Month USD LIBOR + 4.25%, 5.25%,
6/21/2024 |
21,600,400 | 21,279,742 | |||
| DG Investment Intermediate Holdings 2, Inc.: | |||||
|
Senior Secured 2021 Delayed Draw Term Loan, 1 Month USD LIBOR + 3.75%, 4.50%,
3/31/2028 |
779,367 | 783,591 |
See accompanying notes to financial statements.
9
SPDR BLACKSTONE SENIOR LOAN
ETF (Formerly, SPDR Blackstone / GSO Senior Loan ETF)
SCHEDULE OF
INVESTMENTS (continued)
June 30, 2021
| Security Description | Principal
Amount |
Value | |||
|
Senior Secured 2021 Term Loan, 1 Month USD LIBOR + 3.75%, 4.50%,
3/31/2028 |
$ 4,896,683 | $ 4,923,223 | |||
|
Tutor Perini Corp. Senior Secured Term Loan B, 3 Month USD LIBOR + 4.50%, 5.75%,
8/13/2027 |
983,567 | 996,683 | |||
| 41,264,721 | |||||
| CONSTRUCTION MATERIALS — 0.0% (b) | |||||
|
Quikrete Holdings, Inc. Senior Secured 2016 1st Lien Term Loan, 2/1/2027
(c) |
2,000,000 | 1,985,910 | |||
| CONSUMER PRODUCTS-MISC — 0.6% | |||||
|
Drive Chassis HoldCo, LLC Senior Secured 2019 2nd Lien Term Loan, 3 Month USD LIBOR + 7.00%, 7.19%,
4/10/2026 |
29,503,958 | 30,032,521 | |||
|
MI Windows and Doors LLC Senior Secured 2020 Term Loan, 1 Month USD LIBOR + 3.75%, 4.50%,
12/18/2027 |
10,504,912 | 10,534,484 | |||
| 40,567,005 | |||||
| CONTAINERS & PACKAGING — 1.1% | |||||
|
BWAY Holding Company Senior Secured 2017 Term Loan B, 1 Month USD LIBOR + 3.25%, 3.35%,
4/3/2024 |
42,366,346 | 41,423,060 | |||
|
Charter NEX US, Inc. Senior Secured 2021 Term Loan, 1 Month USD LIBOR + 3.75%, 4.50%,
12/1/2027 |
9,043,645 | 9,076,157 | |||
|
Proampac PG Borrower LLC Senior Secured 2020 Term Loan, 3 Month USD LIBOR + 3.75%, 4.50%,
11/3/2025 |
3,864,406 | 3,867,787 | |||
| TricorBraun Holdings, Inc.: | |||||
|
Senior Secured 2021 Delayed Draw Term Loan, 3 Month USD LIBOR + 3.25%, 3.75%,
3/3/2028 |
617,842 | 614,138 | |||
|
Senior Secured 2021 Term Loan, 3 Month USD LIBOR + 3.25%, 3.75%,
3/3/2028 |
4,719,724 | 4,691,429 | |||
|
Trident TPI Holdings, Inc. Senior Secured 2017 USD Term Loan B1, 3 Month USD LIBOR + 3.00%, 4.00%,
10/17/2024 |
7,879,750 | 7,863,320 | |||
| 67,535,891 | |||||
| CONTAINERS-PAPER/PLASTIC — 0.1% | |||||
|
Flex Acquisition Company, Inc. Senior Secured 2021 Term Loan, 3 Month USD LIBOR + 3.50%, 4.00%,
2/23/2028 |
5,325,160 | 5,308,519 |
See accompanying notes to financial statements.
10
SPDR BLACKSTONE SENIOR LOAN
ETF (Formerly, SPDR Blackstone / GSO Senior Loan ETF)
SCHEDULE OF
INVESTMENTS (continued)
June 30, 2021
| Security Description | Principal
Amount |
Value | |||
| COSMETICS & TOILETRIES — 0.9% | |||||
|
Sunshine Luxembourg VII SARL Senior Secured 2021 Term Loan B3, 3 Month USD LIBOR + 3.75%, 4.50%,
10/1/2026 |
$ 57,607,963 | $ 57,892,258 | |||
| DIVERSIFIED CONSUMER SERVICES — 0.7% | |||||
|
Cambium Learning Group, Inc. Senior Secured Term Loan B, 3 Month USD LIBOR + 4.50%, 5.25%,
12/18/2025 |
36,992,004 | 37,246,324 | |||
|
St. George's University Scholastic Services Senior Secured 2021 Term Loan B, 6/29/2028
(c) |
6,323,362 | 6,315,457 | |||
| 43,561,781 | |||||
| DIVERSIFIED FINANCIAL SERVICES — 4.5% | |||||
|
Advisor Group, Inc. Senior Secured 2021 Term Loan, 1 Month USD LIBOR + 4.50%, 4.60%,
7/31/2026 |
61,899,921 | 62,110,691 | |||
| Atlas CC Acquisition Corp: | |||||
|
Senior Secured Term Loan B, 3 Month USD LIBOR + 4.25%, 5.00%,
4/28/2028 |
7,945,392 | 7,980,153 | |||
|
Senior Secured Term Loan C, 3 Month USD LIBOR + 4.25%, 6.00%,
4/28/2028 |
1,616,012 | 1,623,082 | |||
|
Deerfield Dakota Holding, LLC Senior Secured 2020 USD Term Loan B, 1 Month USD LIBOR + 3.75%, 4.75%,
4/9/2027 |
67,683,411 | 68,094,249 | |||
| Edelman Financial Center, LLC: | |||||
|
Senior Secured 2018 2nd Lien Term Loan, 1 Month USD LIBOR + 6.75%, 6.85%,
7/20/2026 |
7,009,231 | 7,062,536 | |||
|
Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 3.75%, 4.50%,
4/7/2028 |
45,774,574 | 45,882,601 | |||
|
IG Investment Holdings LLC Senior Secured 2018 1st Lien Term Loan, 3 Month USD LIBOR + 4.00%, 4.75%,
5/23/2025 |
18,646,976 | 18,711,681 | |||
|
Minotaur Acquisition, Inc. Senior Secured Term Loan B, 1 Month USD LIBOR + 5.00%, 4.85%,
3/27/2026 |
24,967,922 | 24,993,889 | |||
|
S&S Holdings LLC Senior Secured Term Loan, 3 Month USD LIBOR + 5.00%, 5.50%,
3/11/2028 |
9,975,000 | 9,925,125 | |||
|
William Morris Endeavor Entertainment LLC Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 2.75%, 2.86%,
5/18/2025 |
37,477,118 | 36,879,920 | |||
| 283,263,927 |
See accompanying notes to financial statements.
11
SPDR BLACKSTONE SENIOR LOAN
ETF (Formerly, SPDR Blackstone / GSO Senior Loan ETF)
SCHEDULE OF
INVESTMENTS (continued)
June 30, 2021
| Security Description | Principal
Amount |
Value | |||
| DIVERSIFIED TELECOMMUNICATION SERVICES — 0.1% | |||||
|
Altice France S.A. Senior Secured USD Term Loan B12, 3 Month USD LIBOR + 3.69%, 3.87%,
1/31/2026 |
$ 5,000,000 | $ 4,969,375 | |||
|
CenturyLink, Inc. Senior Secured 2020 Term Loan B, 3/15/2027
(c) |
1,266 | 1,250 | |||
|
Telesat Canada Senior Secured Term Loan B5, 1 Month USD LIBOR + 2.75%, 2.86%,
12/7/2026 |
2,000,000 | 1,884,580 | |||
| 6,855,205 | |||||
| ELECTRICAL EQUIPMENT — 0.3% | |||||
|
DiversiTech Holdings, Inc. Senior Secured 2021 Term Loan, 3 Month USD LIBOR + 3.25%, 4.25%,
12/2/2024 |
11,300,820 | 11,325,512 | |||
|
EXC Holdings III Corp. Senior Secured USD 2017 1st Lien Term Loan, 3 Month USD LIBOR + 3.50%, 4.50%,
12/2/2024 |
6,500,407 | 6,510,158 | |||
| 17,835,670 | |||||
| ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS — 0.0% (b) | |||||
|
CPI International, Inc. Senior Secured 2017 1st Lien Term Loan, 1 Month USD LIBOR + 3.50%, 4.50%,
7/26/2024 |
2,769,831 | 2,770,523 | |||
| ENTERTAINMENT — 4.4% | |||||
|
AMC Entertainment Holdings, Inc. Senior Secured 2019 Term Loan B, 1 Month USD LIBOR + 3.00%, 3.09%,
4/22/2026 |
115,222,017 | 108,560,456 | |||
| Crown Finance US, Inc.: | |||||
|
Senior Secured 2018 USD Term Loan, 6 Month USD LIBOR + 2.50%, 3.50%,
2/28/2025 |
129,002,117 | 114,012,716 | |||
|
Senior Secured 2019 Incremental Term Loan, 6 Month USD LIBOR + 2.75%, 3.75%,
9/30/2026 |
43,967,882 | 38,423,752 | |||
|
Motion Finco S.a.r.l. Senior Secured Delayed Draw Term Loan B2, 3 Month USD LIBOR + 3.25%, 3.40%,
11/12/2026 |
8,101,251 | 7,863,277 | |||
|
SMG U.S. Midco 2, Inc. Senior Secured 2020 Term Loan, 3 Month USD LIBOR + 2.50%, 2.69%,
1/23/2025 |
7,947,129 | 7,713,682 | |||
| 276,573,883 |
See accompanying notes to financial statements.
12
SPDR BLACKSTONE SENIOR LOAN
ETF (Formerly, SPDR Blackstone / GSO Senior Loan ETF)
SCHEDULE OF
INVESTMENTS (continued)
June 30, 2021
| Security Description | Principal
Amount |
Value | |||
| ENVIRONMENTALLY FRIENDLY — 0.5% | |||||
|
Robertshaw U.S. Holding Corp. Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 3.50%, 4.50%,
2/28/2025 |
$ 32,237,894 | $ 31,230,460 | |||
| FINANCIAL SERVICES — 0.1% | |||||
|
AI Alpine AT Bidco GmbH Senior Secured 2018 USD Term Loan B, 3 Month USD LIBOR + 3.00%, 3.20%,
10/31/2025 |
3,949,818 | 3,848,603 | |||
| FOOD PRODUCTS — 0.2% | |||||
|
Chobani LLC Senior Secured 2020 Term Loan B, 1 Month USD LIBOR + 3.50%, 4.50%,
10/20/2027 |
13,933,686 | 13,990,326 | |||
| FOOD-MISC/DIVERSIFIED — 0.3% | |||||
|
1 Month USD LIBOR + 4.00%, 4.50%,
4/30/2028 |
20,000,000 | 20,009,400 | |||
| HAND/MACHINE TOOLS AND RELATED PRODUCTS — 0.6% | |||||
|
Apex Tool Group LLC Senior Secured 2019 Term Loan B, 1 Month USD LIBOR + 5.25%, 6.50%,
8/1/2024 |
37,146,675 | 37,350,424 | |||
| HEALTH CARE EQUIPMENT & SUPPLIES — 1.2% | |||||
| Carestream Health, Inc.: | |||||
|
Senior Secured 2020 Extended 2nd Lien PIK Term Loan, 3 Month USD LIBOR + 8.00%, 8.00%,
8/8/2023 |
19,156,318 | 18,813,132 | |||
|
Senior Secured 2020 Extended Term Loan, 3 Month USD LIBOR + 4.50%, 5.50%,
5/8/2023 |
5,061,921 | 5,080,903 | |||
|
Gainwell Acquisition Corp. Senior Secured Term Loan B, 3 Month USD LIBOR + 4.00%, 4.75%,
10/1/2027 |
49,603,323 | 49,851,340 | |||
| 73,745,375 | |||||
| HEALTH CARE PROVIDERS & SERVICES — 10.5% | |||||
|
Alphabet Holding Company, Inc. Senior Secured 2017 1st Lien Term Loan, 1 Month USD LIBOR + 3.50%, 3.60%,
9/26/2024 |
111,889,215 | 111,893,131 | |||
|
Auris Luxembourg III S.a.r.l. Senior Secured 2019 USD Term Loan B2, 1 Month USD LIBOR + 3.75%, 3.85%,
2/27/2026 |
3,668,809 | 3,635,240 |
See accompanying notes to financial statements.
13
SPDR BLACKSTONE SENIOR LOAN
ETF (Formerly, SPDR Blackstone / GSO Senior Loan ETF)
SCHEDULE OF
INVESTMENTS (continued)
June 30, 2021
| Security Description | Principal
Amount |
Value | |||
|
Cambrex Corp. Senior Secured 2021 Term Loan, 1 Month USD LIBOR + 3.50%, 4.25%,
12/4/2026 |
$ 8,941,003 | $ 8,974,576 | |||
|
CHG Healthcare Services, Inc. Senior Secured 2017 1st Lien Term Loan B, 3 Month USD LIBOR + 3.00%, 4.00%,
6/7/2023 |
6,593,340 | 6,594,725 | |||
| Covenant Surgical Partners, Inc.: | |||||
|
Senior Secured 2019 Delayed Draw Term Loan, 1 Month USD LIBOR + 3.00%, 4.00%,
7/1/2026 |
505,237 | 502,079 | |||
|
Senior Secured 2019 Term Loan, 1 Month USD LIBOR + 4.00%, 4.08%,
7/1/2026 |
2,482,305 | 2,466,791 | |||
|
Envision Healthcare Corporation Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 3.75%, 3.85%,
10/10/2025 |
112,408,945 | 96,601,437 | |||
|
ExamWorks Group, Inc. Senior Secured 2017 Term Loan, 1 Month USD LIBOR + 3.25%, 4.25%,
7/27/2023 |
33,419,572 | 33,490,087 | |||
| Global Medical Response, Inc.: | |||||
|
Senior Secured 2017 Term Loan B2, 6 Month USD LIBOR + 4.25%, 5.25%,
3/14/2025 |
40,107,798 | 40,265,221 | |||
|
Senior Secured 2020 Term Loan B, 3 Month USD LIBOR + 4.75%, 5.75%,
10/2/2025 |
35,463,945 | 35,663,430 | |||
|
Horizon Therapeutics USA, Inc. Senior Secured 2021 Term Loan B, 3/15/2028
(c) |
1,995,000 | 1,985,025 | |||
| ICON Luxembourg S.A.R.L.: | |||||
|
Senior Secured 1st Lien Term Loan B, 7/3/2028
(c) |
220,169 | 220,771 | |||
|
Senior Secured Term Loan B, 7/3/2028
(c) |
883,677 | 886,094 | |||
| National Mentor Holdings, Inc.: | |||||
|
Senior Secured 2021 Delayed Draw Term Loan, 3 Month USD LIBOR + 0.50%, 3.75%,
3/2/2028 |
571,551 | 573,177 | |||
|
Senior Secured 2021 Term Loan, 3 Month USD LIBOR + 3.75%, 4.50%,
2/18/2028 |
39,774,980 | 39,888,140 | |||
|
Senior Secured 2021 Term Loan C, 3 Month USD LIBOR + 3.75%, 4.75%,
3/2/2028 |
1,252,716 | 1,256,280 | |||
|
NMSC Holdings, Inc. Senior Secured 1st Lien Term Loan, 1 Month USD LIBOR + 5.00%, 6.00%,
4/19/2023 |
12,471,288 | 12,463,556 | |||
|
1 Month USD LIBOR + 2.25%, 2.75%,
1/13/2028 |
2,358,968 | 2,359,157 | |||
|
RegionalCare Hospital Partners Holdings, Inc. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 3.75%, 3.85%,
11/16/2025 |
6,131,272 | 6,124,221 |
See accompanying notes to financial statements.
14
SPDR BLACKSTONE SENIOR LOAN
ETF (Formerly, SPDR Blackstone / GSO Senior Loan ETF)
SCHEDULE OF
INVESTMENTS (continued)
June 30, 2021
| Security Description | Principal
Amount |
Value | |||
|
Surgery Center Holdings, Inc. Senior Secured 2021 Term Loan, 1 Month USD LIBOR + 3.75%, 4.50%,
8/31/2026 |
$ 96,619,580 | $ 97,140,359 | |||
|
Team Health Holdings, Inc. Senior Secured 1st Lien Term Loan, 1 Month USD LIBOR + 2.75%, 3.75%,
2/6/2024 |
93,565,907 | 91,148,632 | |||
|
U.S. Anesthesia Partners, Inc. Senior Secured 2017 Term Loan, 6 Month USD LIBOR + 3.00%, 4.00%,
6/23/2024 |
45,694,587 | 45,440,982 | |||
|
Unified Physician Management LLC Senior Secured 2020 Term Loan, 1 Month USD LIBOR + 4.25%, 5.00%,
12/16/2027 |
20,771,499 | 20,836,410 | |||
| 660,409,521 | |||||
| HEALTH CARE TECHNOLOGY — 2.1% | |||||
|
Change Healthcare Holdings LLC. Senior Secured 2017 Term Loan B, 1 Month USD LIBOR + 2.50%, 3.50%,
3/1/2024 |
130,823,628 | 130,830,824 | |||
| HOME FURNISHINGS — 0.5% | |||||
| AI Aqua Merger Sub, Inc.: | |||||
|
Senior Secured 2021 1st Lien Delayed Draw Term Loan, 6/16/2028
(c) |
3,737,524 | 3,751,540 | |||
|
Senior Secured 2021 1st Lien Term Loan B, 6/16/2028
(c) |
29,900,193 | 30,012,319 | |||
| 33,763,859 | |||||
| HOTELS, RESTAURANTS & LEISURE — 5.1% | |||||
|
Alterra Mountain Company Senior Secured 2020 Term Loan B, 1 Month USD LIBOR + 4.50%, 5.50%,
8/1/2026 |
9,560,406 | 9,596,306 | |||
|
Golden Nugget, Inc. Senior Secured 2017 Incremental Term Loan B, 2 Month USD LIBOR + 2.50%, 3.25%,
10/4/2023 |
74,960,840 | 74,499,456 | |||
|
Motion Finco S.a.r.l. Senior Secured USD Term Loan B1, 3 Month USD LIBOR + 3.25%, 3.40%,
11/12/2026 |
60,806,015 | 59,019,838 | |||
|
Peraton Corp. Senior Secured Term Loan B, 1 Month USD LIBOR + 3.75%, 4.50%,
2/1/2028 |
37,242,952 | 37,416,131 | |||
|
Recess Holdings, Inc. Senior Secured 2017 1st Lien Term Loan, 6 Month USD LIBOR + 3.75%, 4.75%,
9/30/2024 |
20,312,926 | 20,246,909 | |||
|
Travel Leaders Group LLC Senior Secured 2018 Term Loan B, 1/25/2024
(c) |
13,167,105 | 12,711,194 |
See accompanying notes to financial statements.
15
SPDR BLACKSTONE SENIOR LOAN
ETF (Formerly, SPDR Blackstone / GSO Senior Loan ETF)
SCHEDULE OF
INVESTMENTS (continued)
June 30, 2021
| Security Description | Principal
Amount |
Value | |||
| Travelport Finance (Luxembourg) S.a.r.l.: | |||||
|
Senior Secured 2020 Super Priority Term Loan, 3 Month USD LIBOR + 1.50%, 2.50%,
2/28/2025 |
$ 44,661,621 | $ 46,958,569 | |||
|
Senior Secured 2021 Consented Term Loan,
5/29/2026 |
67,165,298 | 61,005,192 | |||
| 321,453,595 | |||||
| HOUSEHOLD PRODUCTS — 0.4% | |||||
|
Champ Acquisition Corp. Senior Secured Term Loan, 3 Month USD LIBOR + 5.50%, 5.70%,
12/19/2025 |
26,205,122 | 26,363,532 | |||
| INDUSTRIAL CONGLOMERATES — 0.8% | |||||
|
Anvil International, LLC Senior Secured 2019 1st Lien Term Loan, 5/28/2026
(c) |
15,150,719 | 15,131,781 | |||
| Fluid-Flow Products, Inc.: | |||||
|
Senior Secured Delayed Draw Term Loan, 3 Month USD LIBOR + 1.875%, 1.88%,
3/31/2028 |
78,933 | 79,118 | |||
|
Senior Secured Term Loan, 3 Month USD LIBOR + 3.75%, 4.25%,
3/31/2028 |
16,867,240 | 16,906,794 | |||
|
Magenta Buyer LLC Senior Secured 2021 USD 2nd Lien Term Loan, 5/3/2029
(c) |
17,916,667 | 17,782,292 | |||
| 49,899,985 | |||||
| INSURANCE — 0.2% | |||||
|
Acrisure, LLC Senior Secured 2020 Term Loan B, 3 Month USD LIBOR + 3.50%, 3.60%,
2/15/2027 |
3,777,104 | 3,742,090 | |||
|
Alliant Holdings Intermediate, LLC Senior Secured 2020 Term Loan B3, 1 Month USD LIBOR + 3.25%, 3.35%,
10/8/2027 |
11,311,611 | 11,345,376 | |||
|
OneDigital Borrower LLC Senior Secured 2020 Term Loan, 3 Month USD LIBOR + 4.50%, 5.25%,
11/16/2027 |
537,765 | 540,680 | |||
| 15,628,146 | |||||
| INTERACTIVE MEDIA & SERVICES — 0.9% | |||||
| Ivanti Software, Inc.: | |||||
|
Senior Secured 2020 Term Loan B, 3 Month USD LIBOR + 4.75%, 5.75%,
12/1/2027 |
53,999,741 | 54,160,930 | |||
|
Senior Secured 2021 Add On Term Loan B, 3 Month USD LIBOR + 4.00%, 4.75%,
12/1/2027 |
3,344,674 | 3,334,925 | |||
| 57,495,855 |
See accompanying notes to financial statements.
16
SPDR BLACKSTONE SENIOR LOAN
ETF (Formerly, SPDR Blackstone / GSO Senior Loan ETF)
SCHEDULE OF
INVESTMENTS (continued)
June 30, 2021
| Security Description | Principal
Amount |
Value | |||
| INTERNET & CATALOG RETAIL — 2.3% | |||||
|
Endure Digital Inc. Senior Secured Term Loan, 3 Month USD LIBOR + 3.50%, 4.25%,
2/10/2028 |
$ 84,413,125 | $ 84,166,639 | |||
|
Shutterfly, Inc. Senior Secured 2019 Term Loan B, 3 Month USD LIBOR + 6.00%, 7.00%,
9/25/2026 |
1,009,316 | 1,013,191 | |||
|
White Cap Buyer LLC Senior Secured Term Loan B, 3 Month USD LIBOR + 4.00%, 4.50%,
10/19/2027 |
61,678,554 | 61,864,207 | |||
| 147,044,037 | |||||
| IT SERVICES — 1.5% | |||||
|
Access CIG LLC Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 3.75%, 3.84%,
2/27/2025 |
11,912,488 | 11,856,262 | |||
|
Ahead Data Blue, LLC Senior Secured 2021 Term Loan B, 2 Month USD LIBOR + 3.75%, 4.50%,
10/18/2027 |
32,947,014 | 33,052,444 | |||
|
CoreLogic, Inc. Senior Secured Term Loan, 6/2/2028
(c) |
41,800,000 | 41,742,525 | |||
|
TierPoint LLC Senior Secured 2021 Term Loan, 1 Month USD LIBOR + 3.75%, 4.50%,
5/5/2026 |
9,906,080 | 9,916,679 | |||
| 96,567,910 | |||||
| LEISURE EQUIPMENT & PRODUCTS — 0.1% | |||||
|
Cinemark USA, Inc. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 1.75%, 1.86%,
3/31/2025 |
6,321,847 | 6,157,858 | |||
| LEISURE&REC/GAMES — 0.7% | |||||
|
AP Gaming I LLC Senior Secured 2018 Incremental Term Loan, 3 Month USD LIBOR + 3.50%, 4.50%,
2/15/2024 |
44,427,587 | 44,103,710 | |||
| LIFE SCIENCES TOOLS & SERVICES — 0.2% | |||||
|
Albany Molecular Research, Inc. Senior Secured 2017 1st Lien Term Loan, 3 Month USD LIBOR + 3.25%, 4.25%,
8/30/2024 |
4,163,429 | 4,174,587 | |||
|
eResearchTechnology, Inc. Senior Secured 2020 1st Lien Term Loan, 1 Month USD LIBOR + 4.50%, 5.50%,
2/4/2027 |
11,293,830 | 11,359,165 | |||
| 15,533,752 |
See accompanying notes to financial statements.
17
SPDR BLACKSTONE SENIOR LOAN
ETF (Formerly, SPDR Blackstone / GSO Senior Loan ETF)
SCHEDULE OF
INVESTMENTS (continued)
June 30, 2021
| Security Description | Principal
Amount |
Value | |||
| MACHINERY — 0.6% | |||||
|
American Trailer World Corp. Senior Secured Term Loan B, 1 Month USD LIBOR + 3.75%, 4.50%,
3/3/2028 |
$ 5,376,344 | $ 5,375,511 | |||
|
Blount International, Inc. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 3.75%, 4.75%,
4/12/2023 |
7,409,461 | 7,441,877 | |||
|
Hillman Group, Inc. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 4.00%, 4.10%,
5/31/2025 |
24,564,523 | 24,559,364 | |||
|
Madison IAQ LLC Senior Secured Term Loan, 3 Month USD LIBOR + 3.25%, 3.75%,
6/21/2028 |
654,811 | 655,938 | |||
| 38,032,690 | |||||
| MACHINERY-CONSTRUCTION & MINING — 0.0% (b) | |||||
|
Brookfield WEC Holdings, Inc. Senior Secured 2021 Term Loan, 8/1/2025
(c) |
5,013 | 4,960 | |||
| MEDIA — 2.5% | |||||
|
Go Daddy Operating Co. LLC Senior Secured 2021 Term Loan B4, 8/10/2027
(c) |
3,703 | 3,685 | |||
|
iHeartCommunications, Inc. Senior Secured 2020 Term Loan, 1 Month USD LIBOR + 3.00%, 3.10%,
5/1/2026 |
2,027,438 | 2,012,658 | |||
| MH Sub I LLC: | |||||
|
Senior Secured 2017 1st Lien Term Loan, 1 Month USD LIBOR + 3.50%, 3.60%,
9/13/2024 |
3,389 | 3,380 | |||
|
Senior Secured 2020 Incremental Term Loan, 1 Month USD LIBOR + 3.75%, 4.75%,
9/13/2024 |
28,829,574 | 28,928,748 | |||
|
Senior Secured 2021 2nd Lien Term Loan, 1 Month USD LIBOR + 6.25%, 6.35%,
2/12/2029 |
15,253,579 | 15,515,789 | |||
|
ProQuest LLC Senior Secured 2019 Term Loan, 10/23/2026
(c) |
4,028,640 | 4,028,841 | |||
|
Radiate Holdco, LLC Senior Secured 2020 Term Loan, 1 Month USD LIBOR + 3.50%, 4.25%,
9/25/2026 |
60,090,511 | 60,220,907 | |||
|
Recorded Books, Inc. Senior Secured 2021 Term Loan, 1 Month USD LIBOR + 4.00%, 4.08%,
8/29/2025 |
14,177,542 | 14,212,986 | |||
|
Univision Communications Inc. Senior Secured 2021 First Lien Term Loan B, 3/15/2026
(c) |
9,233,368 | 9,265,084 |
See accompanying notes to financial statements.
18
SPDR BLACKSTONE SENIOR LOAN
ETF (Formerly, SPDR Blackstone / GSO Senior Loan ETF)
SCHEDULE OF
INVESTMENTS (continued)
June 30, 2021
| Security Description | Principal
Amount |
Value | |||
|
Univision Communications, Inc. Senior Secured Term Loan C5, 1 Month USD LIBOR + 2.75%, 3.75%,
3/15/2024 |
$ 322,086 | $ 322,188 | |||
|
Vertical US Newco Inc Senior Secured Term Loan B, 7/29/2027
(c) |
2,386,935 | 2,393,570 | |||
|
WideOpenWest Finance LLC Senior Secured 2017 Term Loan B, 1 Month USD LIBOR + 3.25%, 4.25%,
8/18/2023 |
17,821,077 | 17,824,819 | |||
| 154,732,655 | |||||
| MISCELLANEOUS MANUFACTUR — 0.5% | |||||
| LTI Holdings, Inc.: | |||||
|
Senior Secured 2018 2nd Lien Term Loan, 1 Month USD LIBOR + 6.75%, 6.85%,
9/6/2026 |
1,928,424 | 1,928,434 | |||
|
Senior Secured 2018 Add On 1st Lien Term Loan, 1 Month USD LIBOR + 3.50%, 3.60%,
9/6/2025 |
26,890,053 | 26,569,523 | |||
| 28,497,957 | |||||
| MRI/MEDICAL DIAG IMAGING — 0.8% | |||||
|
Radiology Partners, Inc Senior Secured 2018 1st Lien Term Loan B, 1 Month USD LIBOR + 4.25%, 4.35%,
7/9/2025 |
50,078,605 | 50,127,432 | |||
| MULTILINE RETAIL — 0.0% (b) | |||||
| AI Aqua Merger Sub, Inc.: | |||||
|
Senior Secured 2017 1st Lien Term Loan B, 12/13/2023
(c) |
13,512 | 13,538 | |||
|
Senior Secured 2017 Incremental Term Loan, 1 Month USD LIBOR + 3.25%, 4.25%,
12/13/2023 |
2,244,171 | 2,246,976 | |||
| 2,260,514 | |||||
| OIL, GAS & CONSUMABLE FUELS — 2.0% | |||||
|
BCP Raptor LLC Senior Secured Term Loan B, 1 Month USD LIBOR + 4.25%, 5.25%,
6/24/2024 |
75,351,055 | 74,775,373 | |||
|
EG America LLC Senior Secured 2018 USD Term Loan, 3 Month USD LIBOR + 4.00%, 4.15%,
2/7/2025 |
26,717,507 | 26,574,435 | |||
| EG Group Limited: | |||||
|
Senior Secured 2018 USD Term Loan B, 2/7/2025
(c) |
2,992,268 | 2,976,244 | |||
|
Senior Secured 2021 Term Loan, 3 Month USD LIBOR + 4.25%, 4.75%,
3/31/2026 |
3,634,752 | 3,642,131 |
See accompanying notes to financial statements.
19
SPDR BLACKSTONE SENIOR LOAN
ETF (Formerly, SPDR Blackstone / GSO Senior Loan ETF)
SCHEDULE OF
INVESTMENTS (continued)
June 30, 2021
| Security Description | Principal
Amount |
Value | |||
|
Lucid Energy Group II LLC Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 3.00%, 4.00%,
2/17/2025 |
$ 20,318,776 | $ 20,169,940 | |||
| 128,138,123 | |||||
| PHARMACEUTICALS — 1.1% | |||||
|
Amneal Pharmaceuticals LLC Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 3.50%, 3.63%,
5/4/2025 |
42,153,667 | 41,468,669 | |||
|
Arbor Pharmaceuticals, Inc. Senior Secured Term Loan B, 6 Month USD LIBOR + 5.00%, 6.00%,
7/5/2023 |
11,045,987 | 11,006,553 | |||
|
Padagis LLC Senior Secured Term Loan B, 7/6/2028
(c) |
14,266,304 | 14,177,140 | |||
|
PetVet Care Centers, LLC Senior Secured 2021 Term Loan B3, 1 Month USD LIBOR + 3.50%, 4.25%,
2/14/2025 |
5,397,788 | 5,420,675 | |||
| 72,073,037 | |||||
| PIPELINES — 0.8% | |||||
|
Oryx Midstream Holdings LLC Senior Secured Term Loan B, 1 Month USD LIBOR + 4.00%, 4.10%,
5/22/2026 |
47,378,657 | 47,146,027 | |||
| PROFESSIONAL SERVICES — 0.8% | |||||
|
GlobalLogic Holdings, Inc. Senior Secured 2020 Incremental Term Loan B2, 1 Month USD LIBOR + 3.75%, 4.50%,
9/14/2027 |
3,214,054 | 3,223,600 | |||
|
KUEHG Corp. Senior Secured 2018 Incremental Term Loan, 3 Month USD LIBOR + 3.75%, 4.75%,
2/21/2025 |
47,647,887 | 47,010,120 | |||
| 50,233,720 | |||||
| REAL ESTATE MANAGEMENT & DEVELOPMENT — 1.0% | |||||
|
Bright Bidco B.V. Senior Secured 2018 Term Loan B, 3 Month USD LIBOR + 3.50%, 4.50%,
6/30/2024 |
72,234,719 | 60,699,557 | |||
| RETAIL-BUILDING PRODUCTS — 1.7% | |||||
| LBM Acquisition LLC: | |||||
|
Senior Secured 2021 Incremental Delayed Draw Term Loan B2, 12/17/2027
(c) |
5,696,970 | 5,657,803 | |||
|
Senior Secured 2021 Incremental Term Loan B2, 12/17/2027
(c) |
6,803,030 | 6,756,260 |
See accompanying notes to financial statements.
20
SPDR BLACKSTONE SENIOR LOAN
ETF (Formerly, SPDR Blackstone / GSO Senior Loan ETF)
SCHEDULE OF
INVESTMENTS (continued)
June 30, 2021
| Security Description | Principal
Amount |
Value | |||
|
Senior Secured Delayed Draw Term Loan, 12/17/2027
(c) |
$ 15,074,242 | $ 14,987,867 | |||
|
Senior Secured Term Loan B, 3 Month USD LIBOR + 3.75%, 4.50%,
12/17/2027 |
67,664,007 | 67,276,292 | |||
|
Park River Holdings Inc Senior Secured Term Loan, 3 Month USD LIBOR + 3.25%, 4.00%,
12/28/2027 |
9,952,992 | 9,915,668 | |||
| 104,593,890 | |||||
| RETAIL-RESTAURANTS — 1.1% | |||||
|
CT Technologies Intermediate Holdings, Inc. Senior Secured 2021 Term Loan B, 12/16/2025
(c) |
25,876,705 | 25,966,755 | |||
|
IRB Holding Corp Senior Secured 2020 Fourth Amendment Incremental Term Loan, 3 Month USD LIBOR + 3.25%, 4.25%,
12/15/2027 |
32,058,177 | 32,095,846 | |||
|
Tacala LLC Senior Secured 1st Lien Term Loan, 1 Month USD LIBOR + 3.75%, 4.50%,
2/5/2027 |
13,594,504 | 13,621,081 | |||
| 71,683,682 | |||||
| SOFTWARE — 16.0% | |||||
|
Applied Systems, Inc. Senior Secured 2021 2nd Lien Term Loan, 3 Month USD LIBOR + 5.50%, 6.25%,
9/19/2025 |
3,758,500 | 3,821,455 | |||
|
Apttus Corporation Senior Secured 2021 Term Loan, 3 Month USD LIBOR + 4.25%, 5.00%,
5/8/2028 |
7,682,927 | 7,738,628 | |||
|
Athenahealth, Inc. Senior Secured 2021 Term Loan B1, 3 Month USD LIBOR + 4.25%, 4.41%,
2/11/2026 |
51,319,569 | 51,528,183 | |||
|
Banff Merger Sub, Inc. Senior Secured 2021 USD Term Loan, 1 Month USD LIBOR + 3.75%, 3.85%,
10/2/2025 |
30,246,241 | 30,111,040 | |||
|
CCC Information Services, Inc. Senior Secured 2017 1st Lien Term Loan, 1 Month USD LIBOR + 3.00%, 4.00%,
4/29/2024 |
40,132,516 | 40,176,260 | |||
|
Cengage Learning, Inc. Senior Secured 2021 Term Loan B, 6/29/2026
(c) |
63,253,012 | 63,411,461 | |||
| DCert Buyer, Inc.: | |||||
|
Senior Secured 2019 Term Loan B, 1 Month USD LIBOR + 4.00%, 4.10%,
10/16/2026 |
17,714,244 | 17,758,530 | |||
|
Senior Secured 2021 2nd Lien Term Loan, 1 Month USD LIBOR + 7.00%, 7.10%,
2/16/2029 |
30,245,434 | 30,598,398 |
See accompanying notes to financial statements.
21
SPDR BLACKSTONE SENIOR LOAN
ETF (Formerly, SPDR Blackstone / GSO Senior Loan ETF)
SCHEDULE OF
INVESTMENTS (continued)
June 30, 2021
| Security Description | Principal
Amount |
Value | |||
|
ECI Macola Max Holdings LLC Senior Secured 2020 Term Loan, 3 Month USD LIBOR + 3.75%, 4.50%,
11/9/2027 |
$ 12,422,953 | $ 12,466,434 | |||
|
Ensono, LP Senior Secured 2021 Term Loan, 1 Month USD LIBOR + 4.00%, 4.75%,
5/19/2028 |
28,571,429 | 28,675,571 | |||
| Epicor Software Corporation: | |||||
|
Senior Secured 2020 2nd Lien Term Loan, 1 Month USD LIBOR + 7.75%, 8.75%,
7/31/2028 |
3,632,899 | 3,763,465 | |||
|
Senior Secured 2020 Term Loan, 1 Month USD LIBOR + 3.25%, 4.00%,
7/30/2027 |
6,769,344 | 6,769,987 | |||
|
Finastra USA, Inc. Senior Secured USD 1st Lien Term Loan, 6 Month USD LIBOR + 3.50%, 4.50%,
6/13/2024 |
109,604,617 | 108,060,288 | |||
|
Flexera Software LLC Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 3.75%, 4.50%,
3/3/2028 |
18,386,661 | 18,449,083 | |||
|
Gigamon, Inc. Senior Secured 1st Lien Term Loan, 3 Month USD LIBOR + 3.75%, 4.50%,
12/27/2024 |
1,554,574 | 1,560,404 | |||
|
Greeneden U.S. Holdings II, LLC Senior Secured 2020 USD Term Loan B4, 1 Month USD LIBOR + 4.00%, 4.75%,
12/1/2027 |
42,174,042 | 42,324,814 | |||
|
Help/Systems Holdings, Inc Senior Secured 2021 Term Loan, 4.50%,
11/19/2026 |
64,852,746 | 65,072,597 | |||
|
Hyland Software, Inc. Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 3.50%, 4.25%,
7/1/2024 |
22,619,047 | 22,687,357 | |||
|
Idera, Inc. Senior Secured 2021 Term Loan, 3 Month USD LIBOR + 3.75%, 4.50%,
3/2/2028 |
21,073,321 | 21,115,046 | |||
|
I-Logic Technologies Bidco, Ltd. Senior Secured 2021 USD Term Loan B, 3 Month USD LIBOR + 4.00%, 4.50%,
2/16/2028 |
3,627,232 | 3,644,081 | |||
| Imperva, Inc.: | |||||
|
Senior Secured 1st Lien Term Loan, 3 Month USD LIBOR + 4.00%, 5.00%,
1/12/2026 |
15,824,578 | 15,900,061 | |||
|
Senior Secured 2nd Lien Term Loan, 3 Month USD LIBOR + 7.75%, 8.75%,
1/10/2027 |
2,312,693 | 2,323,297 | |||
|
Informatica LLC Senior Secured 2020 USD 2nd Lien Term Loan, 3 Month USD LIBOR + 7.12%, 7.13%,
2/25/2025 |
587,888 | 602,217 |
See accompanying notes to financial statements.
22
SPDR BLACKSTONE SENIOR LOAN
ETF (Formerly, SPDR Blackstone / GSO Senior Loan ETF)
SCHEDULE OF
INVESTMENTS (continued)
June 30, 2021
| Security Description | Principal
Amount |
Value | |||
|
ION Trading Finance Limited Senior Secured 2021 USD Term Loan, 3 Month USD LIBOR + 4.75%, 4.92%,
4/1/2028 |
$ 10,866,089 | $ 10,927,211 | |||
|
MA FinanceCo. LLC Senior Secured 2020 USD Term Loan B, 3 Month USD LIBOR + 4.25%, 5.25%,
6/5/2025 |
5,182,658 | 5,259,336 | |||
| Mitchell International, Inc.: | |||||
|
Senior Secured 2017 2nd Lien Term Loan, 1 Month USD LIBOR + 7.25%, 7.35%,
12/1/2025 |
4,297,287 | 4,308,030 | |||
|
Senior Secured 2020 Add-On Term Loan, 1 Month USD LIBOR + 4.25%, 4.75%,
11/29/2024 |
24,995,465 | 25,147,187 | |||
|
Navicure, Inc. Senior Secured 2019 Term Loan B, 10/22/2026
(c) |
2,992,424 | 3,001,776 | |||
|
Polaris Newco LLC Senior Secured USD Term Loan B, 6 Month USD LIBOR + 4.00%, 4.50%,
6/2/2028 |
29,586,961 | 29,710,930 | |||
|
Project Alpha Intermediate Holding, Inc. Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 4.00%, 4.11%,
4/26/2024 |
4,926,861 | 4,940,040 | |||
|
Project Angel Holdings LLC Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 4.00%, 4.75%,
5/30/2025 |
4,080,598 | 4,082,516 | |||
|
Project Boost Purchaser, LLC Senior Secured 2021 Incremental Term Loan, 5/30/2026
(c) |
6,382,979 | 6,383,011 | |||
| Project Leopard Holdings, Inc.: | |||||
|
Senior Secured 2018 Term Loan, 3 Month USD LIBOR + 4.75%, 5.75%,
7/5/2024 |
2,251,727 | 2,263,267 | |||
|
Senior Secured 2019 Term Loan, 3 Month USD LIBOR + 4.75%, 5.75%,
7/7/2024 |
28,056,742 | 28,196,746 | |||
|
Project Ruby Ultimate Parent Corp. Senior Secured 2021 Term Loan, 1 Month USD LIBOR + 3.25%, 4.00%,
3/3/2028 |
7,632,014 | 7,618,887 | |||
|
Proofpoint, Inc. Senior Secured 1st Lien Term Loan, 6/9/2028
(c) |
7,147,788 | 7,116,553 | |||
| Quest Software US Holdings, Inc.: | |||||
|
Senior Secured 2018 1st Lien Term Loan, 3 Month USD LIBOR + 4.25%, 4.44%,
5/16/2025 |
13,418,065 | 13,430,141 | |||
|
Senior Secured 2018 2nd Lien Term Loan, 3 Month USD LIBOR + 8.25%, 8.44%,
5/18/2026 |
6,386,053 | 6,387,650 | |||
| Rocket Software, Inc.: | |||||
|
Senior Secured 2018 Term Loan, 1 Month USD LIBOR + 4.25%, 4.35%,
11/28/2025 |
9,596,206 | 9,436,525 |
See accompanying notes to financial statements.
23
SPDR BLACKSTONE SENIOR LOAN
ETF (Formerly, SPDR Blackstone / GSO Senior Loan ETF)
SCHEDULE OF
INVESTMENTS (continued)
June 30, 2021
| Security Description | Principal
Amount |
Value | |||
|
Senior Secured 2021 USD Incremental Term Loan B, 11/28/2025
(c) |
$ 12,500,000 | $ 12,295,312 | |||
|
Sabre GLBL, Inc. Senior Secured 2020 Term Loan B, 1 Month USD LIBOR + 4.00%, 4.75%,
12/17/2027 |
2,696,477 | 2,717,820 | |||
|
SolarWinds Holdings, Inc. Senior Secured 2018 Term Loan B, 2/5/2024
(c) |
1,994,832 | 1,963,144 | |||
|
Sophia, L.P. Senior Secured 2020 1st Lien Term Loan, 3 Month USD LIBOR + 3.75%, 4.50%,
10/7/2027 |
18,343,069 | 18,381,314 | |||
|
Syncsort Incorporated Senior Secured 2021 1st Lien Term Loan, 3 Month USD LIBOR + 4.25%, 5.00%,
4/24/2028 |
68,275,744 | 68,309,882 | |||
| Ultimate Software Group, Inc. (The): | |||||
|
Senior Secured 2020 2nd Lien Incremental Term Loan, 3 Month USD LIBOR + 6.75%, 7.50%,
5/3/2027 |
20,872,742 | 21,298,859 | |||
|
Senior Secured 2021 Incremental Term Loan, 3 Month USD LIBOR + 3.25%, 4.00%,
5/4/2026 |
3,000,000 | 3,007,365 | |||
|
Veritas US, Inc. Senior Secured 2021 USD Term Loan B, 3 Month USD LIBOR + 5.00%, 6.00%,
9/1/2025 |
57,898,191 | 58,346,902 | |||
|
Virgin Pulse, Inc. Senior Secured 2021 Term Loan, 3 Month USD LIBOR + 4.00%, 4.75%,
3/30/2028 |
11,510,638 | 11,546,609 | |||
|
Virtusa Corporation Senior Secured Term Loan B, 1 Month USD LIBOR + 4.25%, 5.00%,
2/11/2028 |
26,984,253 | 27,136,039 | |||
|
Weld North Education LLC Senior Secured 2020 Term Loan B, 1 Month USD LIBOR + 4.00%, 4.75%,
12/21/2027 |
15,849,557 | 15,889,181 | |||
| 1,007,660,890 | |||||
| SPECIALTY RETAIL — 4.0% | |||||
|
At Home Group, Inc. Senior Secured Term Loan B, 7/30/2028
(c) |
4,687,500 | 4,699,219 | |||
|
K-Mac Holdings Corp Senior Secured 2021 Term Loan, 6/23/2028
(c) |
6,021,390 | 6,042,104 | |||
|
Michaels Companies, Inc. Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 4.25%, 5.00%,
4/15/2028 |
101,746,457 | 102,295,888 | |||
|
Petco Animal Supplies, Inc. Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 3.25%, 4.00%,
3/3/2028 |
6,896,136 | 6,889,998 |
See accompanying notes to financial statements.
24
SPDR BLACKSTONE SENIOR LOAN
ETF (Formerly, SPDR Blackstone / GSO Senior Loan ETF)
SCHEDULE OF
INVESTMENTS (continued)
June 30, 2021
| Security Description | Principal
Amount |
Value | |||
|
PetSmart, Inc. Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 3.75%, 4.50%,
2/12/2028 |
$ 79,116,322 | $ 79,274,554 | |||
|
SRS Distribution Inc. Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 3.75%, 4.25%,
6/2/2028 |
49,441,500 | 49,472,401 | |||
| 248,674,164 | |||||
| STEEL-PRODUCERS — 0.1% | |||||
|
Phoenix Services International, LLC Senior Secured Term Loan, 3/1/2025
(c) |
5,208,341 | 5,207,534 | |||
| TELECOMMUNICATION EQUIP — 0.6% | |||||
|
Altice France S.A. Senior Secured 2018 Term Loan B13, 3 Month USD LIBOR + 4.00%, 4.15%,
8/14/2026 |
11,663,118 | 11,662,477 | |||
|
Colorado Buyer, Inc. Senior Secured Term Loan B, 6 Month USD LIBOR + 3.00%, 4.00%,
5/1/2024 |
13,022,527 | 12,707,577 | |||
|
Delta TopCo, Inc. Senior Secured 2020 Term Loan B, 3 Month USD LIBOR + 3.75%, 4.50%,
12/1/2027 |
16,094,340 | 16,151,394 | |||
| 40,521,448 | |||||
| TEXTILES, APPAREL & LUXURY GOODS — 0.1% | |||||
|
Varsity Brands, Inc. Senior Secured 2017 Term Loan B, 12/15/2024
(c) |
6,483,221 | 6,348,824 | |||
| TRADING COMPANIES & DISTRIBUTORS — 0.1% | |||||
|
Foundation Building Materials Holding Company LLC Senior Secured 2021 Term Loan, 3 Month USD LIBOR + 3.25%, 3.75%,
2/3/2028 |
3,500,000 | 3,480,680 | |||
| TRANSPORT-AIR FREIGHT — 0.6% | |||||
|
Kestrel Bidco, Inc. Senior Secured Term Loan B, 6 Month USD LIBOR + 3.00%, 4.00%,
12/11/2026 |
38,179,328 | 37,487,328 |
See accompanying notes to financial statements.
25
SPDR BLACKSTONE SENIOR LOAN
ETF (Formerly, SPDR Blackstone / GSO Senior Loan ETF)
SCHEDULE OF
INVESTMENTS (continued)
June 30, 2021
| Security Description | Principal
Amount |
Value | |||
| TRANSPORT-SERVICES — 0.9% | |||||
|
Gruden Acquisition, Inc. Senior Secured 2017 Term Loan, 3 Month USD LIBOR + 4.50%, 7.75%,
8/18/2022 |
$ 54,322,378 | $ 54,390,282 | |||
|
TOTAL SENIOR FLOATING RATE LOANS (Cost
$5,680,614,445) |
5,760,885,839 |
| Shares | |||
| WARRANTS — 0.0% (b) | |||
| HEALTH CARE EQUIPMENT & SUPPLIES — 0.0% (b) | |||
|
Carestream Health Holdings (expiring 12/31/49) (d) (e) (Cost
$0) |
372 | 1,469,525 | |
|
TOTAL WARRANTS (Cost
$0) |
1,469,525 |
| Principal
Amount |
|||
| CORPORATE BONDS & NOTES — 7.3% | |||
| AEROSPACE & DEFENSE — 0.2% | |||
| TransDigm, Inc.: | |||
|
4.63%, 1/15/2029
(f) |
2,740,000 | 2,748,439 | |
|
5.50%,
11/15/2027 |
3,000,000 | 3,128,100 | |
|
6.25%, 3/15/2026
(f) |
7,424,000 | 7,830,910 | |
| 13,707,449 | |||
| AIRLINES — 0.5% | |||
|
American Airlines, Inc./AAdvantage Loyalty IP, Ltd. 5.50%, 4/20/2026
(f) |
24,000,000 | 25,479,360 | |
| United Airlines, Inc.: | |||
|
4.38%, 4/15/2026
(f) |
3,003,000 | 3,108,796 | |
|
4.63%, 4/15/2029
(f) |
4,803,000 | 4,974,947 | |
| 33,563,103 | |||
| COMMERCIAL SERVICES — 1.1% | |||
| Allied Universal Holdco LLC/Allied Universal Finance Corp.: | |||
|
6.00%, 6/1/2029
(f) |
2,817,000 | 2,854,269 | |
|
6.63%, 7/15/2026
(f) |
811,000 | 859,919 | |
|
Avis Budget Car Rental LLC/Avis Budget Finance, Inc. 5.38%, 3/1/2029
(f) |
2,000,000 | 2,082,540 | |
|
Prime Security Services Borrower LLC/Prime Finance, Inc. 6.25%, 1/15/2028
(f) |
13,235,000 | 14,104,010 |
See accompanying notes to financial statements.
26
SPDR BLACKSTONE SENIOR LOAN
ETF (Formerly, SPDR Blackstone / GSO Senior Loan ETF)
SCHEDULE OF
INVESTMENTS (continued)
June 30, 2021
| Security Description | Principal
Amount |
Value | |||
|
Team Health Holdings, Inc. 6.38%, 2/1/2025
(f) |
$ 51,600,000 | $ 49,117,008 | |||
| 69,017,746 | |||||
| COMPUTERS — 0.1% | |||||
|
Diebold Nixdorf, Inc. 9.38%, 7/15/2025
(f) |
3,488,000 | 3,864,041 | |||
| DIVERSIFIED FINANCIAL SERVICES — 0.2% | |||||
|
AG Issuer LLC 6.25%, 3/1/2028
(f) |
3,827,000 | 4,029,372 | |||
|
NFP Corp. 6.88%, 8/15/2028
(f) |
10,484,000 | 11,076,975 | |||
| 15,106,347 | |||||
| ELECTRIC — 0.0% (b) | |||||
|
Calpine Corp. 5.00%, 2/1/2031
(f) |
1,450,000 | 1,442,184 | |||
| ENTERTAINMENT — 0.8% | |||||
|
AMC Entertainment Holdings, Inc. PIK 12.00%, 6/15/2026
(f) |
43,920,178 | 44,960,647 | |||
|
Cinemark USA, Inc. 5.88%, 3/15/2026
(f) |
1,974,000 | 2,070,509 | |||
| 47,031,156 | |||||
| FOOD — 0.1% | |||||
|
Albertsons Cos., Inc./Safeway, Inc./New Albertsons L.P./Albertsons LLC 5.88%, 2/15/2028
(f) |
6,609,000 | 7,120,669 | |||
| HOME FURNISHINGS — 0.1% | |||||
|
WASH Multifamily Acquisition, Inc. 5.75%, 4/15/2026
(f) |
4,400,000 | 4,594,832 | |||
| INSURANCE — 0.1% | |||||
|
AssuredPartners, Inc. 5.63%, 1/15/2029
(f) |
2,632,000 | 2,637,369 | |||
|
HUB International, Ltd. 7.00%, 5/1/2026
(f) |
5,000,000 | 5,184,300 | |||
| 7,821,669 |
See accompanying notes to financial statements.
27
SPDR BLACKSTONE SENIOR LOAN
ETF (Formerly, SPDR Blackstone / GSO Senior Loan ETF)
SCHEDULE OF
INVESTMENTS (continued)
June 30, 2021
| Security Description | Principal
Amount |
Value | |||
| INTERNET — 0.9% | |||||
|
Endure Digital, Inc. 6.00%, 2/15/2029
(f) |
$ 21,000,000 | $ 20,792,520 | |||
|
Photo Holdings Merger Sub, Inc. 8.50%, 10/1/2026
(f) |
29,421,000 | 32,280,427 | |||
| 53,072,947 | |||||
| MEDIA — 0.8% | |||||
|
Altice Financing SA 5.00%, 1/15/2028
(f) |
2,039,000 | 2,006,560 | |||
|
Audacy Capital Corp. 6.75%, 3/31/2029
(f) |
2,500,000 | 2,598,425 | |||
| DISH DBS Corp.: | |||||
|
5.13%, 6/1/2029
(f) |
9,533,000 | 9,421,941 | |||
|
7.38%,
7/1/2028 |
6,500,000 | 6,996,275 | |||
|
iHeartCommunications, Inc. 5.25%, 8/15/2027
(f) |
7,417,000 | 7,763,522 | |||
|
LCPR Senior Secured Financing DAC 6.75%, 10/15/2027
(f) |
5,357,000 | 5,772,221 | |||
|
Univision Communications, Inc. 6.63%, 6/1/2027
(f) |
15,548,000 | 16,846,724 | |||
| 51,405,668 | |||||
| PACKAGING & CONTAINERS — 0.1% | |||||
|
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. 5.25%, 8/15/2027
(f) |
2,963,000 | 3,025,490 | |||
|
Intelligent Packaging, Ltd. Finco, Inc./Intelligent Packaging, Ltd. Co-Issuer LLC 6.00%, 9/15/2028
(f) |
1,442,000 | 1,504,424 | |||
| 4,529,914 | |||||
| PHARMACEUTICALS — 0.1% | |||||
|
Bausch Health Cos., Inc. 5.25%, 2/15/2031
(f) |
3,200,000 | 2,986,464 | |||
|
Par Pharmaceutical, Inc. 7.50%, 4/1/2027
(f) |
5,200,000 | 5,317,728 | |||
| 8,304,192 | |||||
| REAL ESTATE — 0.0% (b) | |||||
|
Realogy Group LLC/Realogy Co-Issuer Corp. 5.75%, 1/15/2029
(f) |
2,016,000 | 2,107,708 |
See accompanying notes to financial statements.
28
SPDR BLACKSTONE SENIOR LOAN
ETF (Formerly, SPDR Blackstone / GSO Senior Loan ETF)
SCHEDULE OF
INVESTMENTS (continued)
June 30, 2021
| Security Description | Principal
Amount |
Value | |||
| RETAIL — 1.1% | |||||
|
eG Global Finance PLC 6.75%, 2/7/2025
(f) |
$ 25,937,000 | $ 26,800,702 | |||
|
Foundation Building Materials, Inc. 6.00%, 3/1/2029
(f) |
15,692,000 | 15,552,027 | |||
|
LBM Acquisition LLC 6.25%, 1/15/2029
(f) |
5,000,000 | 5,037,900 | |||
|
PetSmart, Inc./PetSmart Finance Corp. 7.75%, 2/15/2029
(f) |
10,248,000 | 11,303,134 | |||
|
SRS Distribution, Inc. 6.13%, 7/1/2029
(f) |
8,095,000 | 8,350,155 | |||
| 67,043,918 | |||||
| SOFTWARE — 0.4% | |||||
|
Boxer Parent Co., Inc. 7.13%, 10/2/2025
(f) |
2,059,000 | 2,203,727 | |||
|
Change Healthcare Holdings LLC/Change Healthcare Finance, Inc. 5.75%, 3/1/2025
(f) |
5,000,000 | 5,079,550 | |||
|
Veritas US, Inc./Veritas Bermuda, Ltd. 7.50%, 9/1/2025
(f) |
19,444,000 | 20,239,843 | |||
| 27,523,120 | |||||
| TELECOMMUNICATIONS — 0.7% | |||||
|
Altice France Holding SA 6.00%, 2/15/2028
(f) |
6,598,000 | 6,558,610 | |||
|
Altice France SA 5.50%, 1/15/2028
(f) |
5,000,000 | 5,175,000 | |||
|
CommScope Technologies LLC 6.00%, 6/15/2025
(f) |
10,000,000 | 10,215,400 | |||
|
CommScope, Inc. 7.13%, 7/1/2028
(f) |
2,325,000 | 2,524,904 | |||
|
Plantronics, Inc. 4.75%, 3/1/2029
(f) |
14,346,000 | 14,228,793 | |||
|
Telesat Canada/Telesat LLC 5.63%, 12/6/2026
(f) |
2,043,000 | 2,049,906 | |||
| 40,752,613 | |||||
|
TOTAL CORPORATE BONDS & NOTES (Cost
$442,845,404) |
458,009,276 |
See
accompanying notes to financial statements.
29
SPDR BLACKSTONE SENIOR LOAN
ETF (Formerly, SPDR Blackstone / GSO Senior Loan ETF)
SCHEDULE OF
INVESTMENTS (continued)
June 30, 2021
| Security Description | Shares | Value | |||
| SHORT-TERM INVESTMENT — 17.8% | |||||
|
State Street Institutional U.S. Government Money Market Fund, Class G Shares 0.03% (g) (h) (Cost
$1,121,627,625) |
1,121,627,625 | $ 1,121,627,625 | |||
|
TOTAL INVESTMENTS — 116.6% (Cost
$7,245,087,474) |
7,341,992,265 | ||||
|
LIABILITIES IN EXCESS OF OTHER ASSETS —
(16.6)% |
(1,047,796,055) | ||||
|
NET ASSETS —
100.0% |
$ 6,294,196,210 |
| (a) | The rate shown represents the rate at June 30, 2021. |
| (b) | Amount is less than 0.05% of net assets. |
| (c) | Position is unsettled. Contract rate was not determined at June 30, 2021 and does not take effect until settlement date. Maturity date is not finalized until settlement date. |
| (d) | 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, 2021, total aggregate fair value of the security is $1,469,525, representing less than 0.05% of the Fund's net assets. |
| (e) | Non-income producing security. |
| (f) | Securities purchased pursuant to Rule 144A of the Securities Act of 1933, as amended. These securities, which represent 7.1% of net assets as of June 30, 2021, are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
| (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, 2021 are shown in the Affiliate Table below. |
| (h) | The rate shown is the annualized seven-day yield at June 30, 2021. |
| LIBOR | London Interbank Offered Rate |
| LP | Limited Partnership |
| PIK | Payment in Kind |
At June 30, 2021, the Fund
had unfunded loan commitments of $5,116,097, which could be extended at the option of the borrowers, pursuant to the following loan agreements:
| Borrower | Unfunded
Loan Commitment ($) |
Value ($) | Unrealized
Appreciation/(Depreciation) ($) | |||
| OneDigital Borrower LLC | 17,391 | 17,485 | 94 | |||
| DG Investment Intermediate Holdings 2, Inc. | 246,116 | 247,450 | 1,334 |
See accompanying notes to financial statements.
30
SPDR BLACKSTONE SENIOR LOAN
ETF (Formerly, SPDR Blackstone / GSO Senior Loan ETF)
SCHEDULE OF
INVESTMENTS (continued)
June 30, 2021
| Borrower | Unfunded
Loan Commitment ($) |
Value ($) | Unrealized
Appreciation/(Depreciation) ($) | |||
| TricorBraun Holdings, Inc. | 443,764 | 441,104 | (2,660) | |||
| Fluid-Flow Products, Inc. | 3,133,874 | 3,141,223 | 7,349 | |||
| National Mentor Holdings, Inc. | 1,274,952 | 1,278,579 | 3,627 | |||
| $5,116,097 | $5,125,841 | $9,744 |
The following table summarizes the
value of the Fund's investments according to the fair value hierarchy as of June 30, 2021.
| Description | Level
1 – Quoted Prices |
Level
2 – Other Significant Observable Inputs |
Level
3 – Significant Unobservable Inputs |
Total | ||||
| ASSETS: | ||||||||
| INVESTMENTS: | ||||||||
|
Corporate Bonds &
Notes |
$ — | $ 458,009,276 | $ — | $ 458,009,276 | ||||
|
Senior Floating Rate
Loans |
— | 5,760,885,839 | — | 5,760,885,839 | ||||
|
Warrants |
— | — | 1,469,525 | 1,469,525 | ||||
|
Short-Term
Investment |
1,121,627,625 | — | — | 1,121,627,625 | ||||
|
TOTAL
INVESTMENTS |
$1,121,627,625 | $ 6,218,895,115 | $1,469,525 | $7,341,992,265 | ||||
| LIABILITIES: | ||||||||
| OTHER FINANCIAL INSTRUMENTS: | ||||||||
|
Unfunded
Loans(a) |
— | 9,744 | — | 9,744 | ||||
|
TOTAL OTHER FINANCIAL
INSTRUMENTS: |
$ — | $ 9,744 | $ — | $ 9,744 |
| (a) | Unfunded loan commitments are valued at unrealized appreciation (depreciation). |
Affiliate Table
| Number
of Shares Held at 6/30/20 |
Value
at 6/30/20 |
Cost
of Purchases |
Proceeds
from Shares Sold |
Realized
Gain (Loss) |
Change
in Unrealized Appreciation/ Depreciation |
Number
of Shares Held at 6/30/21 |
Value
at 6/30/21 |
Dividend
Income | |||||||||
|
State Street Institutional U.S. Government Money Market Fund, Class G
Shares |
120,384,183 | $120,384,183 | $3,283,828,588 | $2,282,585,146 | $— | $— | 1,121,627,625 | $1,121,627,625 | $215,394 | ||||||||
See accompanying notes to financial statements.
31
SSGA ACTIVE TRUST
STATEMENT OF ASSETS AND LIABILITIES
June 30, 2021
| SPDR Blackstone Senior Loan ETF | |
| ASSETS | |
|
Investments in unaffiliated issuers, at
value |
$6,220,364,640 |
|
Investments in affiliated issuers, at
value |
1,121,627,625 |
|
Total
Investments |
7,341,992,265 |
|
Cash |
21,303,276 |
|
Receivable for investments
sold |
996,891,168 |
|
Receivable for fund shares
sold |
60,187,511 |
|
Dividends receivable — affiliated
issuers |
21,322 |
|
Interest receivable — unaffiliated
issuers |
14,638,778 |
|
Unrealized appreciation on unfunded loan
commitments |
9,744 |
|
Receivable from
affiliate |
79,391 |
|
TOTAL ASSETS
|
8,435,123,455 |
| LIABILITIES | |
|
Payable for investments
purchased |
2,135,231,278 |
|
Payable for fund shares
repurchased |
2,314,553 |
|
Advisory fee
payable |
3,375,475 |
|
Trustees’ fees and expenses
payable |
5,939 |
|
TOTAL LIABILITIES
|
2,140,927,245 |
|
NET ASSETS
|
$6,294,196,210 |
| NET ASSETS CONSIST OF: | |
|
Paid-in
Capital |
$6,420,943,099 |
|
Total distributable earnings
(loss) |
(126,746,889) |
|
NET ASSETS
|
$6,294,196,210 |
| NET ASSET VALUE PER SHARE | |
|
Net asset value per
share |
$ 46.30 |
|
Shares outstanding (unlimited amount authorized, no par
value) |
135,950,000 |
| COST OF INVESTMENTS: | |
|
Investments in unaffiliated
issuers |
$6,123,459,849 |
|
Investments in affiliated
issuers |
1,121,627,625 |
|
Total cost of
investments |
$7,245,087,474 |
See accompanying notes to financial statements.
32
SSGA ACTIVE TRUST
STATEMENT OF OPERATIONS
For the Year Ended June 30, 2021
| SPDR Blackstone Senior Loan ETF | |
| INVESTMENT INCOME | |
|
Interest income — unaffiliated
issuers |
$146,857,540 |
|
Dividend income — affiliated
issuers |
215,394 |
|
TOTAL INVESTMENT
INCOME |
147,072,934 |
| EXPENSES | |
|
Advisory
fee |
20,442,991 |
|
Trustees’ fees and
expenses |
27,279 |
|
Miscellaneous
expenses |
27 |
|
TOTAL
EXPENSES |
20,470,297 |
|
NET INVESTMENT INCOME
(LOSS) |
$126,602,637 |
| REALIZED AND UNREALIZED GAIN (LOSS) | |
| Net realized gain (loss) on: | |
|
Investments — unaffiliated
issuers |
8,848,268 |
| Net change in unrealized appreciation/depreciation on: | |
|
Investments — unaffiliated
issuers |
136,239,003 |
|
Unfunded loan
commitments |
9,744 |
|
Net change in unrealized
appreciation/depreciation |
136,248,747 |
|
NET REALIZED AND UNREALIZED GAIN
(LOSS) |
145,097,015 |
|
NET INCREASE (DECREASE) IN NET ASSETS FROM
OPERATIONS |
$271,699,652 |
See accompanying notes to financial statements.
33
SSGA ACTIVE TRUST
STATEMENTS OF CHANGES IN NET ASSETS
| SPDR Blackstone Senior Loan ETF | |||
| Year
Ended 6/30/21 |
Year
Ended 6/30/20 | ||
| INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
|
Net investment income
(loss) |
$ 126,602,637 | $ 104,518,445 | |
|
Net realized gain
(loss) |
8,848,268 | (111,952,043) | |
|
Net change in unrealized
appreciation/depreciation |
136,248,747 | (23,905,945) | |
|
Net increase (decrease) in net assets resulting from
operations |
271,699,652 | (31,339,543) | |
|
Net equalization credits and
charges |
3,900,949 | (1,610,641) | |
|
Distributions to
shareholders |
(123,950,000) | (106,659,500) | |
| FROM BENEFICIAL INTEREST TRANSACTIONS: | |||
|
Proceeds from shares
sold |
4,849,884,181 | 1,236,697,606 | |
|
Cost of shares
redeemed |
(138,069,393) | (1,898,029,896) | |
|
Net income
equalization |
(3,900,949) | 1,610,641 | |
|
Other
Capital |
1,457,881 | 9,447,256 | |
|
Net increase (decrease) in net assets from beneficial interest
transactions |
4,709,371,720 | (650,274,393) | |
|
Contribution from Affiliate (Note
4) |
79,391 | 578,465 | |
|
Net increase (decrease) in net assets during the
period |
4,861,101,712 | (789,305,612) | |
|
Net assets at beginning of
period |
1,433,094,498 | 2,222,400,110 | |
|
NET ASSETS AT END OF
PERIOD |
$6,294,196,210 | $ 1,433,094,498 | |
| SHARES OF BENEFICIAL INTEREST: | |||
|
Shares
sold |
105,950,000 | 27,700,000 | |
|
Shares
redeemed |
(3,050,000) | (42,700,000) | |
|
Net increase (decrease) from share
transactions |
102,900,000 | (15,000,000) | |
See accompanying notes to financial statements.
34
SSGA ACTIVE TRUST
FINANCIAL HIGHLIGHTS
Selected data for a share outstanding throughout each period
| SPDR Blackstone Senior Loan ETF | |||||||||
| Year
Ended 6/30/21 |
Year
Ended 6/30/20(a) |
Year
Ended 6/30/19(a) |
Year
Ended 6/30/18(a) |
Year
Ended 6/30/17(a) | |||||
|
Net asset value, beginning of
period |
$ 43.36 | $ 46.25 | $ 47.04 | $ 47.41 | $ 46.64 | ||||
| Income (loss) from investment operations: | |||||||||
|
Net investment income (loss)
(b) |
1.98 | 2.34 | 2.48 | 2.04 | 1.85 | ||||
|
Net realized and unrealized gain (loss)
(c) |
3.02 | (3.06) | (0.86) | (0.50) | 0.73 | ||||
|
Total from investment
operations |
5.00 | (0.72) | 1.62 | 1.54 | 2.58 | ||||
|
Net equalization credits and charges
(b) |
0.06 | (0.04) | (0.03) | 0.04 | 0.05 | ||||
|
Contribution from Affiliate (Note
4) |
0.00(d) | 0.01 | — | — | — | ||||
|
Other capital
(b) |
0.02 | 0.21 | 0.09 | 0.02 | 0.02 | ||||
| Distributions to shareholders from: | |||||||||
|
Net investment
income |
(2.14) | (2.35) | (2.47) | (1.97) | (1.88) | ||||
|
Net asset value, end of
period |
$ 46.30 | $ 43.36 | $ 46.25 | $ 47.04 | $ 47.41 | ||||
|
Total return
(e) |
11.97%(f) | (1.23)%(f) | 3.68% | 3.43% | 5.77% | ||||
| Ratios and Supplemental Data: | |||||||||
|
Net assets, end of period (in
000s) |
$6,294,196 | $1,433,094 | $2,222,400 | $3,189,624 | $1,820,505 | ||||
| Ratios to average net assets: | |||||||||
|
Total
expenses |
0.70% | 0.70% | 0.70% | 0.70% | 0.70% | ||||
|
Net investment income
(loss) |
4.31% | 5.17% | 5.33% | 4.30% | 3.91% | ||||
|
Portfolio turnover
rate |
176% | 195%(g) | 124%(g) | 90%(g) | 68%(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) | If an affiliate had not made a contribution during the years ended ended June 30, 2021 and June 30, 2020, the total return would have remained 11.97% and (1.23)%, respectively. |
| (g) | Portfolio turnover rate is from the the affiliated Portfolio prior to the discontinuance of the master feeder structure. |
See accompanying notes to financial statements.
35
SSGA ACTIVE TRUST
NOTES TO FINANCIAL STATEMENTS
June 30, 2021
1. Organization
SSGA Active Trust (the “Trust”), a Massachusetts
business trust registered under the Investment Company Act of 1940, as amended (“1940 Act”), is an open-end management investment company.
As of June 30, 2021, the Trust consists of eleven (11) series,
each of which represents a separate series of beneficial interest in the Trust. The Declaration of Trust permits the Board of Trustees of the Trust (the “Board”) to authorize the issuance of an unlimited number of shares of beneficial
interest with no par value. The financial statements herein relate only to the SPDR Blackstone Senior Loan ETF (the “Fund”).
The Fund is classified as a diversified investment company
under the 1940 Act.
Under the Trust’s
organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust. Additionally, in the normal course of business, the Trust enters into contracts with service
providers that contain general indemnification clauses. The Trust’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Trust that have not yet occurred.
2. Summary of Significant Accounting
Policies
The following is a summary of significant
accounting policies followed by the Trust in the preparation of its financial statements:
The preparation of financial statements in accordance with
U.S. generally accepted accounting principles (“U.S. GAAP”) requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those
estimates. The Fund is an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies.
Security Valuation
The Fund's investments are valued at fair value each day that
the New York Stock Exchange (“NYSE”) is open and, for financial reporting purposes, as of the report date should the reporting period end on a day that the NYSE is not open. Fair value is generally defined as the price a fund would
receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. By its nature, a fair value price is a good
36
SSGA ACTIVE TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
June 30, 2021
faith estimate of the valuation in a current sale and may not reflect an
actual market price. The investments of the Fund are valued pursuant to the policy and procedures developed by the Oversight Committee (the “Committee”) and approved by the Board. The Committee provides oversight of the valuation of
investments for the Fund. The Board has responsibility for overseeing the determination of the fair value of investments.
Valuation techniques used to value the Fund's investments by
major category are as follows:
•
Investments in registered investment companies (including money market funds) or other unitized pooled investment vehicles that are not traded on an exchange are valued at that day’s published net asset value (“NAV”) per share
or unit.
•
Debt obligations (including short-term investments) are valued using quotations from independent pricing services or brokers or are generally valued at the last reported evaluated prices.
•
Senior loans or other loans are valued at evaluated bid prices supplied by an independent pricing service, if available. Senior loans and other loans for which the Committee determines that there are no reliable valuations available from
pricing services or brokers will be initially valued at cost and adjusted for amortization of principal until remeasurement is warranted due to a credit or economic event or other factors affecting the loan.
In the event prices or quotations are not readily available or
that the application of these valuation methods results in a price for an investment that is deemed to be not representative of the fair value of such investment, fair value will be determined in good faith by the Committee, in accordance with the
valuation policy and procedures approved by the Board.
Fair value pricing could result in a difference between the
prices used to calculate the Fund's NAV and the prices used by the Fund's underlying benchmark.
Various inputs are used in determining the value of the Fund's
investments.
The Fund values its assets and liabilities
at fair value using a fair value hierarchy consisting of three broad levels that prioritize the inputs to valuation techniques giving the highest priority to readily available unadjusted quoted prices in active markets for identical assets or
liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements) when
37
SSGA ACTIVE TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
June 30, 2021
market prices are not readily available or reliable. The categorization of a
value determined for an investment within the hierarchy is based upon the pricing transparency of the investment and is not necessarily an indication of the risk associated with investing in it.
The three levels of the fair value hierarchy are as
follows:
•
Level 1 – Unadjusted quoted prices in active markets for an identical asset or liability;
•
Level 2 – Inputs other than quoted prices included within Level 1 that are observable for the asset or liability either directly or indirectly, including quoted prices for similar assets or liabilities in active markets, quoted prices for
identical or similar assets or liabilities in markets that are not considered to be active, inputs other than quoted prices that are observable for the asset or liability (such as exchange rates, financing terms, interest rates, yield curves,
volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs; and
•
Level 3 – Unobservable inputs for the asset or liability, including the Committee’s assumptions used in determining the fair value of investments.
The value of the Fund’s investments according to the
fair value hierarchy as of June 30, 2021, is disclosed in the Fund’s Schedule of Investments.
Investment Transactions and Income Recognition
Investment transactions are accounted for on the trade date
for financial reporting purposes. Realized gains and losses from the sale and disposition of investments are determined using the identified cost method.
Dividend income and capital gain distributions, if any, are
recognized on the ex-dividend date, net of any foreign taxes withheld at source, if any. Interest income is recorded on an accrual basis. All premiums and discounts are amortized/accreted for financial reporting purposes. Paydown gains and losses
are recorded as an adjustment to interest income. Non-cash dividends received in the form of stock, if any, are recorded as dividend income at fair value.
Expenses
Certain expenses, which are directly identifiable to a
specific Fund, are applied to that Fund within the Trust. Other expenses which cannot be attributed to a specific Fund are allocated in such a manner as deemed equitable, taking into
38
SSGA ACTIVE TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
June 30, 2021
consideration the nature and type of expense and the relative net assets of
the Fund within the Trust. Class specific expenses are borne by each class.
Equalization
The Fund follows the accounting practice known as
“Equalization” by which a portion of the proceeds from sales and costs of reacquiring Fund shares, equivalent on a per share basis to the amount of distributable net investment income on the date of the transaction, is credited or
charged to undistributed net investment income. As a result, undistributed net investment income per share is unaffected by sales or reacquisition of Fund shares. Amounts related to Equalization can be found on the Statements of Changes in Net
Assets.
Distributions
Distributions from net investment income, if any, are declared
and paid monthly. Net realized capital gains, if any, are distributed annually. Dividends may be declared and paid more frequently or at any other times to improve Index tracking or to comply with the distribution requirements of the Internal
Revenue Code of 1986, as amended (the “Internal Revenue Code”). The amount and character of income and capital gains to be distributed are determined in accordance with applicable tax regulations which may differ from net investment
income and realized gains recognized for U.S. GAAP purposes.
3. Securities and Other Investments
Loan Agreements
The Fund invests in Senior Loans. Senior Loans consist
generally of obligations of companies and other entities (collectively, “borrowers”) incurred for the purpose of reorganizing the assets and liabilities of a borrower; acquiring another company; taking over control of a company
(leveraged buyout); temporary refinancing; or financing internal growth or other general business purposes. Senior Loans are often obligations of borrowers who have incurred a significant percentage of debt compared to their total assets and thus
are highly leveraged. The Fund does not treat the banks originating or acting as agents for the lenders, or granting or acting as intermediary in participation interests, in loans held by the Fund as the issuers of such loans.
39
SSGA ACTIVE TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
June 30, 2021
Commitments
The Fund entered into a separate agreement whereby the Fund
may be required to provide funding to participate in a loan agreement. The amount committed, but not yet funded, for this agreement was $66 million at June 30, 2021.
4. Fees and Transactions with
Affiliates
Advisory Fee
The Trust, on behalf of the Fund, has entered into an
Investment Advisory Agreement with SSGA Funds Management, Inc. (the “Adviser” or “SSGA FM”). For its advisory services to the Fund, facilities furnished, and expenses borne by the Adviser, the Fund pays the Adviser a fee
(“Management/Advisory fee”) accrued daily and paid monthly, based on a percentage of the Fund’s average daily net assets as shown in the following table:
| Annual Rate | |
|
SPDR Blackstone Senior Loan
ETF |
0.70% |
From time to time, the Adviser may
waive all or a portion of its management fee. The Adviser has contractually agreed to waive a portion of its management fee and/or reimburse expenses in an amount equal to any acquired fund fees and expenses (excluding holdings in acquired funds for
cash management purposes, if any) for the Fund until October 31, 2021. This waiver and/or reimbursement does not provide for the recoupment by the Adviser of any amounts waived or reimbursed. This waiver and/or reimbursement may not be terminated
prior to October 31, 2021 except with the approval of the Fund’s Board of Trustees.
The Adviser pays all the operating expenses of the Fund other
than the management fee, brokerage expenses, taxes, interest, fees and expenses of the Trust’s Independent Trustees (including any Trustees’ counsel fees), litigation expenses and other extraordinary expenses.
Blackstone Liquid Credit Strategies LLC (formerly GSO /
Blackstone Debt Funds Management LLC) receives fees for its services as the sub-adviser to the Fund from the Adviser.
40
SSGA ACTIVE TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
June 30, 2021
Administrator, Custodian, Sub-Administrator and Transfer Agent
Fees
SSGA FM serves as administrator and State Street
Bank and Trust Company (“State Street”), an affiliate of the Adviser, serves as custodian, sub-administrator and transfer agent. State Street receives fees for its services as custodian, sub-administrator and transfer agent from the
Adviser.
Distributor
State Street Global Advisors Funds Distributors, LLC
(“SSGA FD” or the “Distributor”), an affiliate of the Adviser, serves as the distributor of the Trust.
Other Transactions with Affiliates
The Fund may invest in affiliated entities, including
securities issued by State Street Corporation, affiliated funds, or entities deemed to be affiliates as a result of the Fund owning more than five percent of the entity’s voting securities or outstanding shares. Amounts relating to these
transactions during the period ended June 30, 2021, are disclosed in the Statement of Assets and Liabilities.
During the fiscal year ended June 30, 2021, State Street made
a voluntary contribution to the Fund in the amount of $79,391 related to an accounting matter.
During the fiscal year ended June 30, 2020, State Street made
a voluntary contribution to the Fund in the amount of $578,465 related to an accounting matter.
5. Trustees’ Fees
The fees and expenses of the Trust’s trustees, who are
not “interested persons” of the Trust, as defined in the 1940 Act (“Independent Trustees”), are paid directly by the Fund. The Independent Trustees are reimbursed for travel and other out-of-pocket expenses in connection with
meeting attendance and industry seminars.
6. Investment Transactions
Purchases and sales of investments (excluding in-kind
transactions and short term investments) for the year ended June 30, 2021, were as follows:
| Purchases | Sales | ||
|
SPDR Blackstone Senior Loan
ETF |
$9,846,058,378 | $5,192,611,407 |
41
SSGA ACTIVE TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
June 30, 2021
7. Shareholder Transactions
The Fund issues and redeems its shares, at NAV, only in
aggregations of a specified number of shares or multiples thereof (“Creation Units”). Except when aggregated in Creation Units, shares of the Fund are not redeemable. Transactions in capital shares for the Fund are disclosed in detail in
the Statement of Changes in Net Assets.
The
consideration for the purchase of Creation Units of the Fund may consist of the in-kind deposit of a designated portfolio of securities and a specified amount of cash. Investors purchasing and redeeming Creation Units may pay a purchase transaction
fee and a redemption transaction fee directly to the Trust and/or custodian, to offset transfer and other transaction costs associated with the issuance and redemption of Creation Units, including Creation Units for cash. An additional variable fee
may be charged for certain transactions. Such variable charges, if any, are included in “Other Capital” on the Statement of Changes on Net Assets.
8. Income Tax Information
The Fund has qualified and intends to continue to qualify as a
regulated investment company under Subchapter M of the Internal Revenue Code. The Fund will not be subject to federal income taxes to the extent it distributes its taxable income, including any net realized capital gains, for each fiscal year.
Therefore, no provision for federal income tax is required.
The Fund files federal and various state and local tax returns
as required. No income tax returns are currently under examination. Generally, the federal returns are subject to examination by the Internal Revenue Service for a period of three years from date of filing, while the state returns may remain open
for an additional year depending upon jurisdiction. SSGA FM has analyzed the Fund’s tax positions taken on tax returns for all open years and does not believe there are any uncertain tax positions that would require recognition of a tax
liability.
Distributions to shareholders are recorded on
ex-dividend date. Income dividends and gain distributions are determined in accordance with income tax rules and regulations, which may differ from generally accepted accounting principles.
Certain capital accounts in the financial statements have been
adjusted for permanent book-tax differences. These adjustments have no impact on net asset values or results of operations. Temporary book-tax differences will reverse in the future. These book-tax differences are primarily due to
42
SSGA ACTIVE TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
June 30, 2021
amortization and accretion of premium and discount for financial statement
purposes and differing treatments for wash sales.
The
tax character of distributions paid during the year ended June 30, 2021, was as follows:
| Ordinary
Income |
Long-Term
Capital Gains |
Total | |||
|
SPDR Blackstone Senior Loan
ETF |
$123,950,000 | $— | $123,950,000 |
The tax character of distributions
paid during the year ended June 30, 2020, was as follows:
| Ordinary
Income |
Long-Term
Capital Gains |
Total | |||
|
SPDR Blackstone Senior Loan ETF
|
$ 106,659,500 | $ — | $ 106,659,500 |
At June 30, 2021, the
components of distributable earnings on a tax basis were as follows:
| Undistributed
Ordinary Income |
Capital
Loss Carryforwards |
Undistributed
Long-Term Capital Gains |
Net
Unrealized Gains (Losses) |
Total | |||||
|
SPDR Blackstone Senior Loan
ETF |
$8,613,673 | $(218,323,522) | $— | $82,962,960 | $(126,746,889) |
As of June 30, 2021, the Fund had
capital loss carryforwards available to offset future realized capital gains as follows:
| Non-Expiring
Short Term |
Non-Expiring
Long Term | ||
|
SPDR Blackstone Senior Loan
ETF |
$104,590,183 | $113,733,339 |
As of June 30, 2021, gross
unrealized appreciation and gross unrealized depreciation of investments based on cost for federal income tax purposes were as follows:
| Tax
Cost |
Gross
Unrealized Appreciation |
Gross
Unrealized Depreciation |
Net
Unrealized Appreciation (Depreciation) | ||||
|
SPDR Blackstone Senior Loan
ETF |
$7,259,039,049 | $86,885,257 | $3,932,041 | $82,953,216 |
43
SSGA ACTIVE TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
June 30, 2021
9. Line of Credit
The Fund and other affiliated funds (each a
“Participant” and, collectively, the “Participants”) participate in a $500 million revolving credit facility provided by a syndication of banks under which the Participants may borrow to fund shareholder redemptions. The Fund
has exclusive access to $300 million of the total credit facility. This agreement expires in October 2021 unless extended or renewed.
The Participants are charged an annual commitment fee which is
calculated based on the unused portion of the shared credit line. SPDR Blackstone Senior Loan ETF pays the commitment fee for its exclusive portion of the credit line. Interest is calculated at a rate per annum equal to the sum of 1.25% plus the New
York Fed Bank Rate. Prior to October 8, 2020, interest was calculated at a rate per annum equal to the sum of 1% plus the greater of the New York Fed Bank Rate and 1-month LIBOR rate.
The Fund has no outstanding loans as of June 30, 2021.
10. Risks
Concentration Risk
As a result of the Fund's ability to invest a large percentage
of it's assets in obligations of issuers within the same country, state, region, currency or economic sector, an adverse economic, business or political development may affect the value of the Fund’s investments more than if the Fund was more
broadly diversified.
Foreign and Emerging Markets
Risk
Investing in foreign markets involves risks and
considerations not typically associated with investing in the U.S. Foreign securities may be subject to risk of loss because of government regulation, economic, political and social instability in the countries in which the Fund invests. Foreign
markets may be less liquid than investments in the U.S. and may be subject to the risks of currency fluctuations. To the extent that a Fund invests in securities of issuers located in emerging markets, these risks may be even more pronounced.
44
SSGA ACTIVE TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
June 30, 2021
Credit Risk
The Fund may be exposed to credit risk in the event that an
issuer or guarantor fails to perform or that an institution or entity with which the Fund has unsettled or open transactions defaults.
Market Risk
The Fund’s investments are subject to changes in general
economic conditions, general market fluctuations and the risks inherent in investment in securities markets. Investment markets can be volatile and prices of investments can change substantially due to various factors including, but not limited to,
economic growth or recession, changes in interest rates, changes in the actual or perceived creditworthiness of issuers, and general market liquidity. The Fund is subject to the risk that geopolitical events will disrupt securities markets and
adversely affect global economies and markets. Local, regional or global events such as war, acts of terrorism, the spread of infectious illness or other public health issues, or other events could have a significant impact on a Fund and its
investments.
An outbreak of a respiratory disease caused
by a novel coronavirus (known as COVID-19) first detected in China in December 2019 has resulted in a global pandemic and major disruptions to economies and markets around the world, including the United States. Financial markets experienced and may
continue to experience extreme volatility and severe losses, and trading in many instruments was and may continue to be disrupted as a result. Liquidity for many instruments was and may continue to be greatly reduced for periods of time. Some
interest rates are very low and in some cases yields are negative. Governments and central banks, including the Federal Reserve in the United States, have taken extraordinary and unprecedented actions to support local and global economies and the
financial markets. The impact of these measures, and whether they will be effective to mitigate the economic and market disruption, will not be known for some time. In addition, the outbreak of COVID-19, and measures taken to mitigate its effects,
could result in disruptions to the services provided to a Fund by its service providers.
11. Recent Accounting Pronouncement
In March 2020, the Financial Accounting Standards Board
(“FASB”) issued Accounting Standards Update No. 2020-04 (“ASU 2020-04”), “Reference Rate Reform (Topic 848)”. In response to concerns about structural risks of interbank offered rates, and particularly the risk of
cessation of LIBOR, regulators have
45
SSGA ACTIVE TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
June 30, 2021
undertaken reference rate reform initiatives to identify alternative
reference rates that are more observable or transaction based and less susceptible to manipulation. ASU 2020-04 provides optional guidance for a limited period of time to ease the potential burden in accounting for (or recognizing the effects of)
reference rate reform on financial reporting. ASU 2020-04 is elective and applies to all entities, subject to meeting certain criteria, that have contracts, hedging relationships, and other transactions that reference LIBOR or another reference rate
expected to be discontinued because of reference rate reform. The relief provided is temporary and generally cannot be applied to contract modifications that occur after December 31, 2022, or hedging relationships entered into or evaluated after
that date. However, the FASB has indicated that it will revisit the sunset date in Topic 848 after the LIBOR administrator makes a final decision on a phaseout date. On November 30, 2020, the LIBOR administrator proposed extending the publication of
the overnight and the one-, three-, six- and 12-month USD LIBOR settings through June 30, 2023, when many existing contracts that reference LIBOR will have expired. Management is currently evaluating the impact of the guidance.
12. Subsequent Events
Management has evaluated the impact of all subsequent events
on the Fund through the date the financial statements were issued and has determined that there were no subsequent events requiring adjustment or disclosure in the financial statements.
46
SSGA ACTIVE TRUST
REPORT OF INDEPENDENT REGISTERED PUBLIC
ACCOUNTING FIRM
To the Shareholders of SPDR Blackstone Senior Loan ETF and the
Board of Trustees of SSGA Active Trust
Opinion on the
Financial Statements
We have audited the accompanying
statement of assets and liabilities of SPDR Blackstone Senior Loan ETF (Formerly, SPDR Blackstone / GSO Senior Loan ETF) (one of the funds constituting SSGA Active Trust (the “Trust”)), as of June 30, 2021, and the related statement of
operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, the financial highlights for each of the five years in the period then ended and the related notes (collectively referred
to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund (one of the funds constituting SSGA Active Trust) at June 30, 2021, the results of
its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and its financial highlights for each of the five years in the period then ended, in conformity with U.S. generally accepted
accounting principles.
Basis for Opinion
These financial statements are the responsibility of the
Trust’s management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States)
(“PCAOB”) and are required to be independent with respect to the Trust in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of
the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Trust is not required to have, nor were
we engaged to perform, an audit of the Trust’s internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an
opinion on the effectiveness of the Trust’s internal control over financial reporting. Accordingly, we express no such opinion.
47
SSGA ACTIVE TRUST
REPORT OF INDEPENDENT REGISTERED PUBLIC
ACCOUNTING
FIRM (continued)
Our audits included performing procedures to assess the risks
of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the
financial statements. Our procedures included confirmation of securities owned as of June 30, 2021, by correspondence with the custodian, brokers and others or by other appropriate auditing procedures where replies from brokers and others were not
received. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable
basis for our opinion.
We have served as
the auditor of one or more State Street Global Advisors investment companies since 2000.
Boston, Massachusetts
August 30, 2021
August 30, 2021
48
SSGA ACTIVE TRUST
OTHER INFORMATION
June 30, 2021 (Unaudited)
Expense Example
As a shareholder of the Fund, you incur two types of costs:
(1) transaction costs, including sales charges (loads), if applicable, on purchase payments, reinvested dividends, or other distributions and (2) ongoing costs, including advisory fees and other Fund expenses. This example is intended to help you
understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. It is based on an investment of $1,000 made at the beginning of the period shown and held for
the entire period from January 1, 2021 to June 30, 2021.
The table below illustrates your Fund's cost in two
ways:
Based on actual fund return ——This section helps you to estimate the actual expenses that you paid over the period. The “Ending Account Value” shown is derived from the Fund's actual return, and the third column shows the
dollar amount that would have been paid by an investor who started with $1,000 in the Fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your
account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for the Fund under the heading “Expenses Paid During Period”.
Based on hypothetical 5%
return ——This section is intended to help you compare your Fund's costs with those of other mutual funds. It assumes that the Fund had a yearly return of 5% before expenses, but that the expense ratio is
unchanged. In this case, because the return used is not the Fund's actual return, the results do not apply to your investment. The example is useful in making comparisons because the U.S. Securities and Exchange Commission (the “SEC”)
requires all mutual funds to calculate expenses based on a 5% return. You can assess your Fund's costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.
Please note that the expenses shown in the table are meant to
highlight your ongoing costs only and do not reflect any transaction costs, such as sales load charges (loads). Therefore, the hypothetical 5% return section of the table is useful in comparing ongoing costs only, and will not help you determine the
relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher.
49
SSGA ACTIVE TRUST
OTHER
INFORMATION (continued)
June 30, 2021 (Unaudited)
| SPDR Blackstone Senior Loan ETF | |
|
Annualized Expense
Ratio |
0.70% |
| Actual: | |
|
Ending Account
Value |
$1,038.40 |
|
Expenses Paid During
Period(a) |
3.54 |
| Hypothetical (assuming a 5% return before expenses): | |
|
Ending Account
Value |
1,021.30 |
|
Expenses Paid During
Period(a) |
3.51 |
| (a) | Expenses are equal to the Fund's annualized net expense ratio multiplied by the average account value of the period, multiplied by 181, then divided by 365. |
50
SSGA ACTIVE TRUST
OTHER
INFORMATION (continued)
June 30, 2021 (Unaudited)
Tax Information
For federal income tax purposes, the following information is
furnished with respect to the distributions of the Trust for its fiscal year ended June 30, 2021.
Qualified Interest Income
The Fund reports the maximum amount allowable of its net
taxable income and short-term capital gain as qualified interest income.
Interest Dividends
The Fund reports the maximum amount allowable as Section
163(j) Interest Dividends.
Premium/Discount
Information
Information regarding how often the Shares
of the Fund traded on the exchange at a price above (i.e., at a premium) or below (i.e., at a discount) the NAV of the Fund during the past calendar year can be found at
www.ssga.com.
Proxy Voting Policies and Procedures and Records
A description of the Trust’s proxy voting policies and
procedures that are used by the Fund's investment adviser to vote proxies relating to the Fund's portfolio of securities are available (i) without charge, upon request by calling 1-866-787-2257 (toll free) or (ii) on the SEC's website at www.sec.gov.
Information regarding how the investment adviser voted for the
prior 12-month period ended June 30, is available by August 31 of each year by calling the same number and on the SEC’s website at www.sec.gov, and on the Fund's website at www.ssga.com.
Quarterly
Portfolio Schedule
Following the Fund’s first and
third fiscal quarter-ends, a complete schedule of investments is filed with the SEC as an exhibit on Form N-PORT, which can be found on the SEC's website at www.sec.gov, and on the Fund's website at www.ssga.com. The Fund’s schedules of investments are available upon request, without charge, by calling 1-866-787-2257 (toll free).
51
SSGA ACTIVE TRUST
OTHER
INFORMATION (continued)
June 30, 2021 (Unaudited)
Approval of Advisory Agreement
At meetings held prior to June 30, 2021, the Board of Trustees
of the Trust (the “Board”) evaluated proposals to continue the Investment Advisory Agreement (the “Agreement”) between the Trust and SSGA Funds Management, Inc. (the “Adviser” or “SSGA FM”) with
respect to the SPDR Blackstone Senior Loan ETF, a series of SSGA Active Trust (the “Fund”). The Trustees who are not “interested persons” of the Trust within the meaning of the Investment Company Act of 1940, as amended (the
“Independent Trustees”), also met separately to consider the Agreement. The Independent Trustees were advised by their independent legal counsel throughout the process.
To evaluate the Agreement, the Board requested, and SSGA FM,
the Trust’s investment adviser and administrator, and State Street Bank and Trust Company, the Trust’s sub-administrator, transfer agent and custodian (“State Street”) provided, such materials as the Board, with the advice of
counsel, deemed reasonably necessary. In deciding whether to approve the Agreement, the Board considered various factors, including the (i) nature, extent and quality of services provided by the Adviser with respect to the Fund under the Agreement,
(ii) investment performance of the Fund, (iii) profits realized by the Adviser and its affiliates from its relationship with the Trust, (iv) fees charged to comparable funds, (v) other benefits to the Adviser, and (vi) extent to which economies of
scale would be shared as the Fund grows.
Nature, Extent
and Quality of Services
The Board considered the nature,
extent and quality of services provided by the Adviser. In doing so, the Trustees relied on their prior experience in overseeing the management of the Trust and the materials provided prior to and at the meetings. The Board reviewed the Agreement
and the Adviser’s responsibilities for managing investment operations of the Fund in accordance with the Fund’s investment objectives and policies, and applicable legal and regulatory requirements. The Board appreciated the nature of the
Fund as exchange-traded fund and the experience and expertise of the Adviser in managing exchange-traded funds. The Board considered the background and experience of the Adviser’s senior management, including those individuals responsible for
portfolio management, oversight of sub-advisers and regulatory compliance of the Fund. The Board also considered the portfolio management resources, structures and practices of the Adviser, including those associated with monitoring and ensuring the
Fund’s compliance with its investment objectives and policies, and applicable laws and regulations. The Board further considered information about the Adviser’s best execution procedures and
52
SSGA ACTIVE TRUST
OTHER
INFORMATION (continued)
June 30, 2021 (Unaudited)
overall investment management business, noting that the Adviser serves a wide
range of clients across a broad spectrum of asset classes. The Board looked at the Adviser’s general knowledge of the investment management business and that of its affiliates which make up State Street Global Advisors, through which the
Adviser shares all of its senior personnel. The Board considered that the Adviser and its affiliates constitute one of the world’s largest investment management enterprises for exchange-traded funds. The Board specifically considered the
Adviser’s experience in managing actively-managed exchange-traded funds and overseeing third party sub-advisers.
Investment Performance
The Board then reviewed the Fund’s performance. The
Board compared the Fund’s investment performance to the performance of an appropriate benchmark (gross of expenses) and a group of comparable funds (net of expenses). The Board considered that the Fund outperformed the median of its
Performance Group for the 1-, 2-, 3-, 4- and 5-year periods. In addition, the Board considered that the Fund outperformed its benchmark index for the 1-, 3- and 5-year, and since inception periods.
Profits Realized by Adviser
The Board considered the profitability of the advisory
arrangement with the Fund to the Adviser, including data on the Fund’s historical profitability to the Adviser. The Board, including the Independent Trustees with their independent legal counsel, had the opportunity to discuss, with
representatives of the Adviser and State Street, methodologies used in computing costs that formed the bases of profitability calculations.
Fees Charged to Comparable Funds
The Board evaluated the Fund’s unitary fee through
review of comparative information with respect to fees paid by similar funds – i.e., exchange-traded funds that are actively managed. The Board reviewed the universe of similar exchange-traded funds based upon data independently obtained from
Broadridge Financial Solutions, Inc. and related comparative information for similar exchange-traded funds. In doing so, the Board used a fund by fund analysis of the data.
53
SSGA ACTIVE TRUST
OTHER
INFORMATION (continued)
June 30, 2021 (Unaudited)
Other Benefits
The Board also considered whether the Adviser or its
affiliates benefited in other ways from its relationship with the Trust, noting that the Adviser does not maintain soft-dollar arrangements in connection with the Trust’s brokerage transactions.
Economies of Scale
The Board reviewed information regarding economies of scale or
other efficiencies that may result as the Fund’s assets grow in size. The Board noted that the advisory fee rate for the Fund does not provide for breakpoints as assets of the Fund increase. However, the Board further noted the Adviser’s
assertion that future economies of scale (among several factors) had been taken into consideration for the Fund by fixing relatively low advisory fees, effectively sharing the benefits of lower fees with the Fund from inception. The Adviser also
asserted that one of the benefits of the unitary fee was to provide an unvarying expense structure, which could be lost or diluted with the addition of breakpoints. The Board noted that it intends to continue to monitor fees as the Fund grows in
size and assess whether fee breakpoints may be warranted.
Conclusion
After weighing the foregoing factors, none of which was
dispositive in itself and may have been weighed differently by each Trustee, the Board, including the Independent Trustees voting separately, approved the continuation of the Agreement for the Fund. The Board’s conclusions with respect to the
factors were as follows: (a) the nature, extent and quality of the services provided by the Adviser with respect to the Fund were appropriate; (b) the performance of the Fund had been satisfactory; (c) the Adviser’s unitary fee for the Fund
considered in relation to the services provided, and in relation to the fees charged to comparable funds, was reasonable; (d) the profitability of the Trust’s relationships with the Adviser and its affiliates was not excessive in view of the
nature, extent and quality of the services provided; (e) any additional potential benefits to the Adviser or its affiliates were not of a magnitude to materially affect the Board’s conclusions; and (f) the fees paid to the Adviser adequately
shared the economies of scale with respect to the Fund by way of the relatively low fee structure of the Trust.
54
SSGA ACTIVE TRUST
OTHER
INFORMATION (continued)
June 30, 2021 (Unaudited)
Approval of Blackstone Liquid Credit Strategies LLC
(“Blackstone Credit”) Sub-Advisory Agreement
At meetings held prior to June 30, 2021, the Board also
evaluated proposals to continue the Sub-Advisory Agreement (the “Blackstone Credit Sub-Advisory Agreement”) between the Adviser and Blackstone Liquid Credit Strategies LLC (“Blackstone Credit”) with respect to the Fund. The
Independent Trustees also met separately to consider the Blackstone Credit Sub-Advisory Agreement. The Independent Trustees were advised by their independent legal counsel throughout the process.
To evaluate the Blackstone Credit Sub-Advisory Agreement, the
Board requested, and Blackstone Credit and the Adviser provided, such materials as the Board, with the advice of counsel, deemed reasonably necessary. In deciding whether to approve the Blackstone Credit Sub-Advisory Agreement, the Board considered
various factors, including the (i) nature, extent and quality of services provided by Blackstone Credit with respect to the Fund under the Blackstone Credit Sub-Advisory Agreement and (ii) investment performance of the Fund. The Board was informed
of the portion of the current advisory fee that the Adviser would pay to Blackstone Credit under the Blackstone Credit Sub-Advisory Agreement and also considered that such fees would be paid directly by the Adviser and would not result in increased
fees payable by the Fund.
The Board considered the
background and experience of Blackstone Credit’s senior management and, in particular, Blackstone Credit’s experience in investing in senior loan securities. The Board reviewed the Fund’s performance, noting that the performance of
the Fund was satisfactory. The Board also considered the unitary fee paid to the Adviser by the Fund and Blackstone Credit’s fees paid by the Adviser. The Board also considered whether Blackstone Credit benefited in other ways from its
relationship with the Trust.
After weighing the
foregoing factors, as well as the relevant factors discussed in relation to the Blackstone Credit Sub-Advisory Agreement between Blackstone Credit and the Adviser, none of which was dispositive in itself and may have been weighed differently by each
Trustee, the Board, including the Independent Trustees voting separately, approved the continuation of the Blackstone Credit Sub-Advisory Agreement for the Fund. The Board’s conclusions with respect to the factors were as follows: (a) the
nature, extent and quality of the services provided by Blackstone Credit with respect to the Blackstone Senior Loan ETF were appropriate; (b) the performance of the Blackstone Senior Loan ETF had been satisfactory; (c) Blackstone Credit’s fees
for the Blackstone Senior
55
SSGA ACTIVE TRUST
OTHER
INFORMATION (continued)
June 30, 2021 (Unaudited)
Loan ETF and the unitary fee, considered in relation to the services
provided, were reasonable; (d) any additional potential benefits to Blackstone Credit were not of a magnitude to materially affect the Board’s conclusions; and (e) the fees paid to Blackstone Credit adequately shared the economies of scale
with the Fund by way of the relatively low fee structure of the Trust.
56
SSGA ACTIVE TRUST
OTHER
INFORMATION (continued)
June 30, 2021 (Unaudited)
TRUSTEES AND OFFICERS INFORMATION
| 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 | ||||||||||
| DWIGHT
D. CHURCHILL c/o SSGA Active Trust One Iron Street Boston, MA 02210 1953 |
Independent
Trustee, Audit Committee Chair |
Term:
Unlimited Served: since March 2011 |
Self-employed
consultant since 2010; CEO and President, CFA Institute (June 2014 - January 2015). |
126 | 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). |
126 | 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). |
57
SSGA ACTIVE TRUST
OTHER
INFORMATION (continued)
June 30, 2021 (Unaudited)
| 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). |
126 | Rydex
Series Funds (Trustee); Rydex Dynamic Funds (Trustee); Rydex Variable Trust (Trustee); Guggenheim Funds Trust (Trustee); Guggenheim Variable Funds Trust (Trustee); Guggenheim Strategy Funds Trust (Trustee); Transparent Value Trust (Trustee); Fiduciary/Claymore Energy Infrastructure Fund (Trustee); Guggenheim Taxable Municipal Managed Duration Trust (Trustee); Guggenheim Strategic Opportunities Fund (Trustee); Guggenheim Enhanced, Equity Income Fund (Trustee); Guggenheim Credit Allocation Fund (Trustee); Guggenheim Energy & Income Fund (Trustee). | |||||
| CARL
G. VERBONCOEUR c/o SSGA Active Trust One Iron Street Boston, MA 02210 1952 |
Independent
Trustee, Trustee Committee Chair |
Term:
Unlimited Served: since March 2011 |
Self-employed
consultant since 2009. |
126 | The
Motley Fool Funds Trust (Trustee). |
58
SSGA ACTIVE TRUST
OTHER
INFORMATION (continued)
June 30, 2021 (Unaudited)
| 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 Manager, 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). |
137 | 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. | ||||||||||
59
SSGA ACTIVE TRUST
OTHER
INFORMATION (continued)
June 30, 2021 (Unaudited)
| 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); Unlimited Served: since February 2016 (with respect to Deputy Treasurer) |
Chief Operating Officer, SSGA Funds Management, Inc. (April 2005 - Present)*; Managing Director, State Street Global Advisors (April 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). | |||
| 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). |
60
SSGA ACTIVE TRUST
OTHER
INFORMATION (continued)
June 30, 2021 (Unaudited)
| 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 | |||
| DAVID
BARR SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1974 |
Assistant
Secretary |
Term:
Unlimited Served: since November 2020 |
Vice President and Senior Counsel, State Street Global Advisors (October 2019 - present); Vice President and Counsel, Eaton Vance Corp. (2010 - 2019). | |||
| 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, State Street Global Advisors and SSGA Funds Management, Inc. (July 2016 - present); Mutual Funds Controller of GE Asset Management Incorporated (April 2011 - July 2016). | |||
| DAVID
LANCASTER SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1971 |
Assistant
Treasurer |
Term:
Unlimited Served: since November 2020 |
Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (July 2017 - present); Assistant Vice President, State Street Bank and Trust Company (November 2011 - July 2017). | |||
| 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. | ||||||
61
SSGA
Active Trust
The information contained in this report is
intended for the general information of shareholders of the Trust. This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current Trust prospectus which contains important information concerning
the Trust. You may obtain a current prospectus and SAI from the Distributor by calling 1-866-787-2257 or visiting www.ssga.com. Please read the prospectus carefully before you invest.
SSGA
Active Trust
The information contained in this report is intended
for the general information of shareholders of the Trust. This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current Trust prospectus which contains important information concerning the Trust.
You may obtain a current prospectus and SAI from the Distributor by calling 1-866-787-2257 or visiting www.ssga.com. Please read the prospectus carefully before you invest.
(b) Not applicable.
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 registrant’s 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 four 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) Dwight Churchill, Clare Richer, Sandra Sponem and Carl Verboncoeur are the registrant’s 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, 2021 and June 30, 2020, the aggregate audit fees billed for professional services rendered by the principal accountant were $265,133 and $273,506, 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, 2021 and June 30, 2020, 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 registrant’s financial statements and are not reported under paragraph (a) of this Item.
(c) Tax Fees.
For the fiscal years ending June 30, 2021 and June 30, 2020, the aggregate tax fees billed for professional services rendered by the principal accountant were $29,725 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, 2021 and June 30, 2020.
(e)(1) Audit Committee Pre-Approval Policies and Procedures.
The registrant’s 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 Committee’s 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 five percent (5%) 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. |
| (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. |
Notwithstanding the above, Pre-Approval for any permissible non-audit services under this Sub-section is not required if: (1) the aggregate amount of all such permissible non-audit services constitutes not more than five percent (5%) of 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) 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.
(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 registrant’s 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 registrant’s accountant for services rendered to the registrant, and rendered to the registrant’s 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 2021 (in millions) |
FY 2020 (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 |
$ | 18.4 | $ | 15.2 | ||||
| Tax Fees |
$ | 4.4 | $ | 5.8 | ||||
| All Other Fees |
$ | 14.5 | $ | 14.2 | ||||
| (1) | Information is for the calendar years 2021 and 2020, 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 registrant’s principal accountant notified the registrant’s 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 registrant’s Audit Committee to consider whether such services were compatible with maintaining the principal accountant’s 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 registrant’s Audit Committee are Dwight Churchill, Clare Richer, Sandra Sponem and Carl Verboncoeur.
Item 6. Investments.
| (a) | Schedules of Investments are included as part of the report to shareholders filed under Item 1 of this Form N-CSR. |
| (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 registrant’s Board.
Item 11. Controls and Procedures.
(a) Within 90 days of the filing date of this Form N-CSR, Ellen M. Needham, the registrant’s President and Principal Executive Officer, and Bruce S. Rosenberg, the registrant’s Treasurer and Principal Financial Officer, reviewed the registrant’s 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 registrant’s 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 registrant’s 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) |
| (a)(2) |
| (a)(3) | Not applicable to the registrant. |
| (a)(4) | Not applicable. |
| (b) |
ii
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 8, 2021
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 8, 2021
| By: | /s/ Bruce S. Rosenberg | |
| Bruce S. Rosenberg | ||
| Treasurer and Principal Financial Officer | ||
Date: September 8, 2021