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: December 31, 2021
Item 1. Reports to Shareholders.
(a) The Reports to Shareholders are attached herewith.
Semi-Annual Report
December 31, 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 Loomis Sayles Opportunistic 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 https://www.ssga.com/spdrs. Please read the prospectus carefully before you invest.
TABLE OF CONTENTS (Unaudited)
| Portfolio Statistics (Unaudited) | |
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1 |
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3 |
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4 |
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5 |
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7 |
| Schedules of Investments (Unaudited) | |
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8 |
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10 |
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12 |
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14 |
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21 |
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33 |
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38 |
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45 |
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51 |
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61 |
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 https://www.ssga.com/spdrs. Please read the prospectus carefully before you invest.
SPDR SSGA
Multi-Asset Real Return ETF
Portfolio Statistics
(Unaudited)
Top Five Holdings as of
December 31, 2021
| Description | % of Net Assets | ||
| Invesco Optimum Yield Diversified Commodity Strategy No. K-1 ETF | 24.3% | ||
| SPDR S&P Global Natural Resources ETF | 23.9 | ||
| SPDR S&P Global Infrastructure ETF | 23.1 | ||
| SPDR Bloomberg 1-10 Year TIPS ETF | 9.5 | ||
| SPDR Dow Jones REIT ETF | 5.1 | ||
| TOTAL | 85.9% |
(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 December 31,
2021
| % of Net Assets | |||
| Natural Resources | 26.9% | ||
| Commodities | 24.3 | ||
| International Equity | 23.4 | ||
| Inflation Linked | 9.5 | ||
| Real Estate | 7.1 | ||
| International Fixed Income | 4.2 | ||
| Domestic Equity | 4.0 | ||
| Short Term Investments | 4.4 | ||
| Liabilities in Excess of Other Assets | (3.8) | ||
| TOTAL | 100.0% |
(The Fund's asset allocation is expressed as
a percentage of net assets and may change over time.)
See accompanying notes to financial statements.
1
SPDR SSGA
Income Allocation ETF
Portfolio Statistics (Unaudited)
Top Five Holdings as of December 31,
2021
| Description | % of Net Assets | ||
| SPDR Blackstone Senior Loan ETF | 20.1% | ||
| SPDR Portfolio S&P 500 High Dividend ETF | 12.1 | ||
| SPDR S&P International Dividend ETF | 10.2 | ||
| SPDR Bloomberg Emerging Markets Local Bond ETF | 10.0 | ||
| SPDR Portfolio Long Term Corporate Bond ETF | 9.3 | ||
| TOTAL | 61.7% |
(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 December 31,
2021
| % of Net Assets | |||
| Domestic Fixed Income | 48.7% | ||
| Domestic Equity | 25.8 | ||
| International Equity | 15.2 | ||
| International Fixed Income | 10.0 | ||
| Short Term Investments | 6.2 | ||
| Liabilities in Excess of Other Assets | (5.9) | ||
| TOTAL | 100.0% |
(The Fund's asset allocation is expressed as
a percentage of net assets and may change over time.)
See accompanying notes to financial statements.
2
SPDR SSGA
Global Allocation ETF
Portfolio Statistics (Unaudited)
Top Five Holdings as of December 31,
2021
| Description | % of Net Assets | ||
| SPDR Portfolio Developed World ex-US ETF | 18.6% | ||
| SPDR S&P 500 ETF Trust | 14.1 | ||
| SPDR Portfolio TIPS ETF | 5.1 | ||
| SPDR Portfolio Europe ETF | 5.0 | ||
| SPDR Portfolio Intermediate Term Corporate Bond ETF | 5.0 | ||
| TOTAL | 47.8% |
(The five largest holdings are subject to
change, and there are no guarantees the Fund will continue to remain invested in any particular company.)
Asset Allocation as of December 31,
2021
| % of Net Assets | |||
| International Equity | 31.9% | ||
| Domestic Equity | 26.6 | ||
| Domestic Fixed Income | 21.5 | ||
| Inflation Linked | 5.1 | ||
| International Fixed Income | 4.0 | ||
| Commodities | 4.0 | ||
| Real Estate | 2.9 | ||
| Short Term Investments | 28.9 | ||
| Liabilities in Excess of Other Assets | (24.9) | ||
| TOTAL | 100.0% |
(The Fund's asset allocation is expressed as
a percentage of net assets and may change over time.)
See accompanying notes to financial statements.
3
SPDR SSGA
Ultra Short Term Bond ETF
Portfolio Statistics (Unaudited)
Top Five Holdings as of December 31,
2021
| Description | % of Net Assets | ||
| Treasury
Notes 0.25% 9/30/2023 |
6.6% | ||
| U.S.
Treasury Bill 0.05% 1/13/2022 |
3.8 | ||
| Nissan
Master Owner Trust Receivables ABS 0.67% 2/15/2024 |
2.5 | ||
| Golden
Credit Card Trust ABS 0.63% 7/15/2024 |
1.8 | ||
| Master
Credit Card Trust II ABS 0.59% 7/21/2024 |
1.6 | ||
| TOTAL | 16.3% |
(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 December 31,
2021
| % of Net Assets | |||
| Corporate Bonds & Notes | 56.0% | ||
| Asset-Backed Securities | 6.9 | ||
| Commercial Mortgage Backed Securities | 4.6 | ||
| Mortgage-Backed Securities | 2.7 | ||
| Short-Term Investment | 18.6 | ||
| U.S. Treasury Obligations | 10.4 | ||
| Other Assets in Excess of Liabilities | 0.8 | ||
| TOTAL | 100.0% |
(The Fund's asset allocation is expressed as
a percentage of net assets and may change over time.)
See accompanying notes to financial statements.
4
SPDR Loomis
Sayles Opportunistic Bond ETF
Portfolio Statistics
(Unaudited)
Top Five Holdings as of
December 31, 2021
| Description | % of Net Assets | ||
| SPDR
Blackstone Senior Loan ETF |
4.5% | ||
| DirecTV
Financing, LLC Senior Secured Term Loan 5.75% 8/2/2027 |
1.5 | ||
| OneMain
Direct Auto Receivables Trust ABS 0.87% 7/14/2028 |
1.3 | ||
| E.W.
Scripps Company (The) Senior Secured 2019 Term Loan B2 Zero Coupon, 5/1/2026 |
1.2 | ||
| Medline
Industries, Inc. Zero Coupon, 10/23/2028 |
1.2 | ||
| TOTAL | 9.7% |
(The five largest holdings are subject to
change, and there are no guarantees the Fund will continue to remain invested in any particular company.)
See accompanying notes to financial statements.
5
SPDR Loomis
Sayles Opportunistic Bond ETF
Portfolio Statistics
(Unaudited) (continued)
Industry Breakdown as of December 31,
2021
| % of Net Assets | |||
| Asset-Backed Securities | 6.7% | ||
| Commercial Mortgage Backed Securities | 0.2 | ||
| Banks | 7.6 | ||
| Media | 6.0 | ||
| Commercial Services | 5.0 | ||
| Oil & Gas | 5.0 | ||
| Commercial Mortgage-Backed Securities | 4.5 | ||
| Internet | 4.3 | ||
| Diversified Financial Services | 4.0 | ||
| Software | 4.0 | ||
| Insurance | 3.6 | ||
| Retail | 3.6 | ||
| Chemicals | 2.8 | ||
| Telecommunications | 2.8 | ||
| Auto Manufacturers | 2.6 | ||
| Health Care Products | 2.2 | ||
| Real Estate Investment Trusts | 2.1 | ||
| Lodging | 2.1 | ||
| Health Care Services | 2.1 | ||
| Airlines | 2.1 | ||
| Food | 2.1 | ||
| Electric | 1.8 | ||
| Semiconductors | 1.8 | ||
| Entertainment | 1.7 | ||
| Investment Company Security | 1.3 | ||
| Pharmaceuticals | 1.0 | ||
| Transportation | 1.0 | ||
| Electronics | 0.9 | ||
| Pipelines | 0.8 | ||
| Advertising | 0.7 | ||
| Computers | 0.7 | ||
| Oil & Gas Services | 0.7 | ||
| Energy-Alternate Sources | 0.7 | ||
| Environmental Control | 0.7 | ||
| Machinery-Diversified | 0.6 | ||
| Mining | 0.6 | ||
| Construction Materials | 0.5 | ||
| Building Materials | 0.5 | ||
| Packaging & Containers | 0.5 | ||
| Coal | 0.5 | ||
| Auto Parts & Equipment | 0.4 | ||
| IT Services | 0.4 | ||
| Electrical Components & Equipment | 0.4 | ||
| Forest Products & Paper | 0.4 | ||
| Iron/Steel | 0.3 | ||
| Home Furnishings | 0.3 | ||
| Miscellaneous Manufacturer | 0.3 | ||
| Engineering & Construction | 0.3 | ||
| Beverages | 0.2 | ||
| Leisure Time | 0.2 | ||
| Aerospace & Defense | 0.1 | ||
| Agriculture | 0.0* | ||
| Biotechnology | 0.0* | ||
| Short-Term Investment | 9.5 | ||
| Liabilities in Excess of Other Assets | (5.2) | ||
| 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.
6
SPDR Nuveen
Municipal Bond ETF
Portfolio Statistics (Unaudited)
Top Five Holdings as of December 31,
2021
| Description | % of Net Assets | ||
| Los
Angeles, CA, Unified School District, General Obligation 5.00% 7/1/2029 |
3.3% | ||
| State
of Florida Revenue 5.00% 6/1/2029 |
3.3 | ||
| Metropolitan
Council, Minneapolis-Saint Paul, MN, Metropolitan Area, General Obligation 5.00% 12/1/2028 |
3.3 | ||
| Georgia,
State General Obligation 5.00% 7/1/2028 |
3.3 | ||
| New
Jersey Economic Development Authority Revenue 5.00% 6/15/2031 |
3.3 | ||
| TOTAL | 16.5% |
(The five largest holdings are subject to
change, and there are no guarantees the Fund will continue to remain invested in any particular company.)
Asset Allocation as of December 31,
2021
| % of Net Assets | |||
| Municipal Bonds & Notes | 94.5% | ||
| Short-Term Investment | 4.5 | ||
| Other Assets in Excess of Liabilities | 1.0 | ||
| 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.
7
SPDR SSGA
MULTI-ASSET REAL RETURN ETF
SCHEDULE OF INVESTMENTS
December 31, 2021 (Unaudited)
The following table summarizes the value of the
Fund's investments according to the fair value hierarchy as of December 31, 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 |
$181,078,100 | $— | $— | $181,078,100 | ||||
|
Short-Term
Investments |
8,038,941 | — | — | 8,038,941 | ||||
|
TOTAL
INVESTMENTS |
$ 189,117,041 | $— | $— | $ 189,117,041 |
See accompanying notes to financial statements.
8
SPDR SSGA
MULTI-ASSET REAL RETURN ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2021 (Unaudited)
Affiliate Table
| Number
of Shares Held at 6/30/21 |
Value
at 6/30/21 |
Cost
of Purchases |
Proceeds
from Shares Sold |
Realized
Gain (Loss) |
Change
in Unrealized Appreciation/ Depreciation |
Number
of Shares Held at 12/31/21 |
Value
at 12/31/21 |
Dividend
Income | |||||||||
|
SPDR Bloomberg 1-10 Year TIPS
ETF |
524,888 | $ 11,093,508 | $ 9,345,046 | $ 3,152,491 | $ (1,113) | $ (38,717) | 816,583 | $ 17,246,233 | $ 421,984 | ||||||||
|
SPDR Dow Jones International Real Estate
ETF |
70,066 | 2,572,824 | 1,886,118 | 712,337 | 9,823 | (109,956) | 102,429 | 3,646,472 | 120,032 | ||||||||
|
SPDR Dow Jones REIT
ETF |
49,905 | 5,234,535 | 5,725,146 | 2,942,623 | 235,558 | 990,132 | 75,661 | 9,242,748 | 143,452 | ||||||||
|
SPDR FTSE International Government Inflation-Protected Bond
ETF |
87,385 | 4,931,135 | 3,976,270 | 997,584 | (1,083) | (302,533) | 141,353 | 7,606,205 | 185,699 | ||||||||
|
SPDR S&P Global Infrastructure
ETF |
542,787 | 28,338,909 | 20,923,463 | 8,367,260 | 204,206 | 1,053,692 | 777,014 | 42,153,010 | 675,824 | ||||||||
|
SPDR S&P Global Natural Resources
ETF |
605,103 | 32,070,459 | 21,838,861 | 10,991,965 | 289,278 | 463,843 | 809,312 | 43,670,476 | 1,034,948 | ||||||||
|
SPDR S&P Metals & Mining
ETF |
113,854 | 4,902,553 | 3,260,381 | 3,013,725 | 226,140 | 58,032 | 121,335 | 5,433,381 | 17,607 | ||||||||
|
State Street Institutional U.S. Government Money Market Fund, Class G
Shares |
606,310 | 606,310 | 13,902,279 | 13,416,184 | — | — | 1,092,405 | 1,092,405 | 64 | ||||||||
|
State Street Navigator Securities Lending Portfolio
II |
12,421,543 | 12,421,543 | 122,899,180 | 128,374,187 | — | — | 6,946,536 | 6,946,536 | 28,555 | ||||||||
|
The Energy Select Sector SPDR
Fund |
95,477 | 5,143,346 | 3,875,736 | 2,087,036 | 153,927 | 134,077 | 130,091 | 7,220,050 | 163,911 | ||||||||
|
Total |
$107,315,122 | $207,632,480 | $174,055,392 | $1,116,736 | $2,248,570 | $144,257,516 | $2,792,076 |
See accompanying notes to financial statements.
9
SPDR SSGA INCOME
ALLOCATION ETF
SCHEDULE OF INVESTMENTS
December 31, 2021 (Unaudited)
The following table summarizes the value of the
Fund's investments according to the fair value hierarchy as of December 31, 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 |
$ 117,443,030 | $— | $— | $ 117,443,030 | ||||
|
Short-Term
Investments |
7,372,408 | — | — | 7,372,408 | ||||
|
TOTAL
INVESTMENTS |
$124,815,438 | $— | $— | $124,815,438 |
See accompanying notes to financial statements.
10
SPDR SSGA INCOME
ALLOCATION ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2021 (Unaudited)
Affiliate Table
| Number
of Shares Held at 6/30/21 |
Value
at 6/30/21 |
Cost
of Purchases |
Proceeds
from Shares Sold |
Realized
Gain (Loss) |
Change
in Unrealized Appreciation/ Depreciation |
Number
of Shares Held at 12/31/21 |
Value
at 12/31/21 |
Dividend
Income | |||||||||
|
SPDR Blackstone Senior Loan
ETF |
549,297 | $ 25,426,958 | $ 3,580,716 | $ 4,975,012 | $ (7,765) | $ (357,985) | 518,670 | $ 23,666,912 | $ 610,677 | ||||||||
|
SPDR Bloomberg Convertible Securities
ETF |
76,343 | 6,621,229 | 992,723 | 1,534,029 | 377,962 | (656,492) | 69,930 | 5,801,393 | 82,732 | ||||||||
|
SPDR Bloomberg Emerging Markets Local Bond
ETF |
468,207 | 12,374,711 | 2,364,568 | 2,049,341 | (34,102) | (861,923) | 482,566 | 11,793,913 | 254,834 | ||||||||
|
SPDR Bloomberg High Yield Bond
ETF |
81,478 | 8,959,321 | 3,717,209 | 5,073,840 | 36,167 | (127,116) | 69,188 | 7,511,741 | 164,139 | ||||||||
|
SPDR ICE Preferred Securities
ETF |
201,783 | 8,922,844 | 1,268,327 | 1,553,460 | (12,690) | (238,819) | 195,437 | 8,386,202 | 239,289 | ||||||||
|
SPDR Portfolio Long Term Corporate Bond
ETF |
310,973 | 9,882,722 | 3,329,516 | 2,245,119 | 111,188 | (199,638) | 345,574 | 10,878,669 | 181,525 | ||||||||
|
SPDR Portfolio Long Term Treasury
ETF |
216,247 | 8,931,001 | 3,058,553 | 2,767,663 | 119,684 | 116,042 | 224,380 | 9,457,617 | 90,254 | ||||||||
|
SPDR Portfolio S&P 500 High Dividend
ETF |
480,228 | 19,252,341 | 3,033,849 | 8,772,007 | 301,643 | 392,238 | 337,885 | 14,208,064 | 213,959 | ||||||||
|
SPDR S&P Global Infrastructure
ETF |
117,732 | 6,146,788 | 854,704 | 1,257,734 | 47,249 | 163,907 | 109,768 | 5,954,914 | 90,385 | ||||||||
|
SPDR S&P International Dividend
ETF |
279,929 | 11,029,202 | 4,011,097 | 3,020,701 | 117,420 | (155,407) | 308,169 | 11,981,611 | 225,597 | ||||||||
|
State Street Institutional U.S. Government Money Market Fund, Class G
Shares |
85,137 | 85,137 | 1,004,841 | 698,342 | — | — | 391,636 | 391,636 | 42 | ||||||||
|
State Street Navigator Securities Lending Portfolio
II |
10,114,067 | 10,114,067 | 187,616,340 | 190,749,635 | — | — | 6,980,772 | 6,980,772 | 71,916 | ||||||||
|
Total |
$127,746,321 | $214,832,443 | $224,696,883 | $1,056,756 | $(1,925,193) | $117,013,444 | $2,225,349 |
See accompanying notes to financial statements.
11
SPDR SSGA GLOBAL
ALLOCATION ETF
SCHEDULE OF INVESTMENTS
December 31, 2021 (Unaudited)
See accompanying notes to financial statements.
12
SPDR SSGA GLOBAL
ALLOCATION ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2021 (Unaudited)
The following table summarizes the value of the
Fund's investments according to the fair value hierarchy as of December 31, 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 |
$276,219,763 | $— | $— | $276,219,763 | ||||
|
Short-Term
Investments |
83,240,230 | — | — | 83,240,230 | ||||
|
TOTAL
INVESTMENTS |
$359,459,993 | $— | $— | $359,459,993 |
Affiliate Table
| Number
of Shares Held at 6/30/21 |
Value
at 6/30/21 |
Cost
of Purchases |
Proceeds
from Shares Sold |
Realized
Gain (Loss) |
Change
in Unrealized Appreciation/ Depreciation |
Number
of Shares Held at 12/31/21 |
Value
at 12/31/21 |
Dividend
Income | |||||||||
|
SPDR Bloomberg Emerging Markets Local Bond
ETF |
105,951 | $ 2,800,285 | $ 519,961 | $ 199,202 | $ (5,579) | $ (220,034) | 118,471 | $ 2,895,431 | $ 62,432 | ||||||||
|
SPDR Bloomberg High Yield Bond
ETF |
104,639 | 11,506,104 | 21,204,408 | 23,785,331 | 534,530 | (751,637) | 80,207 | 8,708,074 | 178,518 | ||||||||
|
SPDR Bloomberg International Corporate Bond
ETF |
— | — | 3,041,325 | 116,973 | (1,842) | (37,738) | 83,399 | 2,884,772 | 2,425 | ||||||||
|
SPDR Dow Jones International Real Estate
ETF |
74,309 | 2,728,626 | 3,857,546 | 380,493 | 33,548 | (287,939) | 167,171 | 5,951,288 | 190,977 | ||||||||
|
SPDR Dow Jones REIT
ETF |
26,393 | 2,768,362 | 282,302 | 971,709 | 199,254 | 240,241 | 20,616 | 2,518,450 | 48,439 | ||||||||
|
SPDR FTSE International Government Inflation-Protected Bond
ETF |
— | — | 6,029,685 | 176,368 | 1,000 | (61,724) | 107,649 | 5,792,593 | 84,501 | ||||||||
|
SPDR Portfolio Aggregate Bond
ETF |
239,071 | 7,174,521 | 26,734,900 | 23,742,349 | (58,355) | (63,894) | 339,123 | 10,044,823 | 147,406 | ||||||||
|
SPDR Portfolio Developed World ex-US
ETF |
1,158,110 | 42,606,867 | 17,847,267 | 6,524,518 | 764,533 | (1,119,512) | 1,468,603 | 53,574,637 | 865,039 | ||||||||
|
SPDR Portfolio Emerging Markets
ETF |
435,506 | 19,815,523 | 2,371,902 | 8,929,944 | 913,222 | (2,251,414) | 287,281 | 11,919,289 | 256,410 | ||||||||
|
SPDR Portfolio Europe
ETF |
261,673 | 10,951,015 | 14,202,659 | 11,062,782 | (214,672) | 564,650 | 338,908 | 14,440,870 | 143,953 | ||||||||
|
SPDR Portfolio Intermediate Term Corporate Bond
ETF |
467,736 | 17,165,911 | 1,911,890 | 4,463,416 | 22,477 | (244,246) | 398,136 | 14,392,616 | 131,361 | ||||||||
|
SPDR Portfolio Long Term Corporate Bond
ETF |
461,225 | 14,657,731 | 1,558,849 | 1,708,977 | 54,374 | (182,133) | 456,793 | 14,379,844 | 246,906 | ||||||||
|
SPDR Portfolio Long Term Treasury
ETF |
212,957 | 8,795,124 | 6,825,944 | 1,519,668 | 69,963 | 74,157 | 337,972 | 14,245,520 | 107,211 | ||||||||
|
SPDR Portfolio S&P 600 Small Cap
ETF |
315,273 | 13,853,095 | 6,984,064 | 8,653,760 | 722,127 | (210,750) | 284,063 | 12,694,776 | 152,908 | ||||||||
|
SPDR Portfolio TIPS
ETF |
461,214 | 14,362,204 | 1,841,432 | 1,814,931 | 99,805 | 63,860 | 461,980 | 14,552,370 | 458,219 | ||||||||
|
SPDR S&P 500 ETF
Trust |
141,995 | 60,782,380 | 13,837,937 | 39,493,060 | 8,909,653 | (3,486,250) | 85,377 | 40,550,660 | 384,216 | ||||||||
|
SPDR S&P Emerging Markets SmallCap
ETF |
47,193 | 2,893,875 | 408,623 | 188,551 | 40,505 | (133,734) | 50,931 | 3,020,718 | 57,722 | ||||||||
|
SPDR S&P International Small Cap
ETF |
214,290 | 8,284,451 | 1,552,398 | 677,505 | 126,578 | (306,747) | 237,733 | 8,979,175 | 150,277 | ||||||||
|
SPDR S&P MidCap 400 ETF
Trust |
11,391 | 5,593,095 | 838,874 | 638,457 | 162,790 | 160,605 | 11,816 | 6,116,907 | 32,196 | ||||||||
|
State Street Institutional U.S. Government Money Market Fund, Class G
Shares |
4,881,145 | 4,881,145 | 17,374,088 | 11,265,784 | — | — | 10,989,449 | 10,989,449 | 900 | ||||||||
|
State Street Navigator Securities Lending Portfolio
II |
42,661,109 | 42,661,109 | 770,028,894 | 740,439,222 | — | — | 72,250,781 | 72,250,781 | 150,056 | ||||||||
|
The Communication Services Select Sector SPDR
Fund |
— | — | 6,118,012 | 5,849,495 | (268,517) | — | — | — | 9,793 | ||||||||
|
The Consumer Staples Select Sector SPDR
Fund |
— | — | 8,924,385 | 9,040,655 | 116,270 | — | — | — | 17,922 | ||||||||
|
The Energy Select Sector SPDR
Fund |
50,960 | 2,745,215 | 9,195,012 | 5,936,080 | (503,063) | 16,282 | 99,412 | 5,517,366 | 69,963 | ||||||||
|
The Financial Select Sector SPDR
Fund |
— | — | 5,952,234 | 2,924,388 | (68,218) | 29,493 | 76,546 | 2,989,121 | 13,655 | ||||||||
|
The Industrial Select Sector SPDR
Fund |
27,205 | 2,785,792 | 2,892,872 | 5,743,851 | 20,591 | 44,596 | — | — | — | ||||||||
|
The Materials Select Sector SPDR
Fund |
65,593 | 5,398,960 | 6,167,963 | 8,477,043 | (396,071) | 353,677 | 33,633 | 3,047,486 | 26,771 | ||||||||
|
The Technology Select Sector SPDR
Fund |
41,332 | 6,103,083 | 662,352 | 2,216,396 | 295,970 | 698,662 | 31,884 | 5,543,671 | 20,664 | ||||||||
|
Total |
$311,314,473 | $959,167,778 | $926,940,908 | $11,570,873 | $ (7,111,529) | $348,000,687 | $4,010,840 |
See accompanying notes to financial statements.
13
SPDR SSGA ULTRA
SHORT TERM BOND ETF
SCHEDULE OF INVESTMENTS
December 31, 2021 (Unaudited)
See accompanying notes to financial statements.
14
SPDR SSGA ULTRA
SHORT TERM BOND ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2021 (Unaudited)
See accompanying notes to financial statements.
15
SPDR SSGA ULTRA
SHORT TERM BOND ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2021 (Unaudited)
See accompanying notes to financial statements.
16
SPDR SSGA ULTRA
SHORT TERM BOND ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2021 (Unaudited)
See accompanying notes to financial statements.
17
SPDR SSGA ULTRA
SHORT TERM BOND ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2021 (Unaudited)
See accompanying notes to financial
statements.
18
SPDR SSGA ULTRA
SHORT TERM BOND ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2021 (Unaudited)
At December 31, 2021, open futures contracts were
as follows:
| Description | Number
of Contracts |
Expiration
Date |
Notional
Amount |
Value | Unrealized
Appreciation (Depreciation) | |||||
| 2 Yr. U.S. Treasury Notes Futures (long) | 18 | 03/31/2022 | $3,925,500 | $3,927,064 | $1,564 |
During the period ended December 31, 2021, average
notional value related to futures contracts was $1,316,424.
See accompanying notes to financial statements.
19
SPDR SSGA ULTRA
SHORT TERM BOND ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2021 (Unaudited)
The
following table summarizes the value of the Fund's investments according to the fair value hierarchy as of December 31, 2021.
| Description | Level
1 – Quoted Prices |
Level
2 – Other Significant Observable Inputs |
Level
3 – Significant Unobservable Inputs |
Total | ||||
| ASSETS: | ||||||||
| INVESTMENTS: | ||||||||
|
Corporate Bonds &
Notes |
$ — | $250,535,729 | $— | $250,535,729 | ||||
|
Asset-Backed
Securities |
— | 30,879,307 | — | 30,879,307 | ||||
|
U.S. Treasury
Obligations |
— | 46,367,503 | — | 46,367,503 | ||||
|
Mortgage-Backed
Securities |
— | 12,005,635 | — | 12,005,635 | ||||
|
Commercial Mortgage Backed
Securities |
— | 20,585,015 | — | 20,585,015 | ||||
|
Short-Term
Investment |
83,418,920 | — | — | 83,418,920 | ||||
|
TOTAL
INVESTMENTS |
$83,418,920 | $360,373,189 | $— | $443,792,109 | ||||
| OTHER FINANCIAL INSTRUMENTS: | ||||||||
|
Futures
Contracts(a) |
1,564 | — | — | 1,564 | ||||
|
TOTAL OTHER FINANCIAL
INSTRUMENTS: |
$ 1,564 | $ — | $— | $ 1,564 | ||||
|
TOTAL INVESTMENTS AND OTHER FINANCIAL
INSTRUMENTS |
$83,420,484 | $360,373,189 | $— | $443,793,673 |
| (a) | Futures Contracts are valued at unrealized appreciation (depreciation). |
Affiliate Table
| Number
of Shares Held at 6/30/21 |
Value
at 6/30/21 |
Cost
of Purchases |
Proceeds
from Shares Sold |
Realized
Gain (Loss) |
Change
in Unrealized Appreciation/ Depreciation |
Number
of Shares Held at 12/31/21 |
Value
at 12/31/21 |
Dividend
Income | |||||||||
|
State Street Institutional U.S. Government Money Market Fund, Class G
Shares |
62,702,468 | $62,702,468 | $234,377,372 | $213,660,920 | $— | $— | 83,418,920 | $83,418,920 | $8,434 |
See accompanying notes to financial statements.
20
SPDR LOOMIS SAYLES
OPPORTUNISTIC BOND ETF
SCHEDULE OF INVESTMENTS
December 31, 2021 (Unaudited)
See accompanying notes to financial statements.
21
SPDR LOOMIS SAYLES
OPPORTUNISTIC BOND ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2021 (Unaudited)
See accompanying notes to financial statements.
22
SPDR LOOMIS SAYLES
OPPORTUNISTIC BOND ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2021 (Unaudited)
See accompanying notes to financial statements.
23
SPDR LOOMIS SAYLES
OPPORTUNISTIC BOND ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2021 (Unaudited)
See accompanying notes to financial statements.
24
SPDR LOOMIS SAYLES
OPPORTUNISTIC BOND ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2021 (Unaudited)
See accompanying notes to financial statements.
25
SPDR LOOMIS SAYLES
OPPORTUNISTIC BOND ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2021 (Unaudited)
See accompanying notes to financial statements.
26
SPDR LOOMIS SAYLES
OPPORTUNISTIC BOND ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2021 (Unaudited)
See accompanying notes to financial statements.
27
SPDR LOOMIS SAYLES
OPPORTUNISTIC BOND ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2021 (Unaudited)
See accompanying notes to financial statements.
28
SPDR LOOMIS SAYLES
OPPORTUNISTIC BOND ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2021 (Unaudited)
See accompanying notes to financial statements.
29
SPDR LOOMIS SAYLES
OPPORTUNISTIC BOND ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2021 (Unaudited)
At December 31, 2021, open forward foreign
currency exchange contracts were as follows:
| Counterparty | Amount Sold | Amount Bought | Settlement
Date |
Net
Unrealized Appreciation/ (Depreciation) | ||||
| Commonwealth Bank of Australia Sydney | EUR 89,000 | USD 100,187 | 01/10/2022 | $(1,035) |
See accompanying notes to financial statements.
30
SPDR LOOMIS SAYLES
OPPORTUNISTIC BOND ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2021 (Unaudited)
| Counterparty | Amount Sold | Amount Bought | Settlement
Date |
Net
Unrealized Appreciation/ (Depreciation) | ||||
| Standard Chartered Bank | EUR 129,000 | USD 146,162 | 01/06/2022 | $ (542) | ||||
| Total | $(1,577) | |||||||
During the period ended December 31, 2021, average notional
value related toforeign currency exchange contracts was $156,833.
At December 31, 2021, open futures contracts were as
follows:
| Description | Number
of Contracts |
Expiration
Date |
Notional
Amount |
Value | Unrealized
Appreciation (Depreciation) | |||||
| 90 Day Euro Futures (long) | 85 | 12/19/2022 | $ 21,102,030 | $ 21,027,937 | $(74,092) | |||||
| 2 Yr. U.S. Treasury Notes Futures (short) | (34) | 03/31/2022 | (7,416,441) | (7,417,844) | (1,403) | |||||
| 10 Yr. U.S. Treasury Ultra Futures (long) | 15 | 03/22/2022 | 2,193,293 | 2,196,563 | 3,269 | |||||
| 90 Day Euro Futures (short) | (85) | 12/16/2024 | (20,882,429) | (20,886,625) | (4,196) | |||||
| Total unrealized appreciation/depreciation on open futures contracts. | $(76,422) |
During the period ended December 31, 2021, average notional
value related to futures contracts was $9,998,560.
The
following table summarizes the value of the Fund's investments according to the fair value hierarchy as of December 31, 2021.
| Description | Level
1 – Quoted Prices |
Level
2 – Other Significant Observable Inputs |
Level
3 – Significant Unobservable Inputs |
Total | ||||
| ASSETS: | ||||||||
| INVESTMENTS: | ||||||||
|
Corporate Bonds &
Notes |
$ — | $25,063,313 | $— | $25,063,313 | ||||
|
Asset-Backed
Securities |
— | 2,896,332 | — | 2,896,332 | ||||
|
Commercial Mortgage Backed
Securities |
— | 99,501 | — | 99,501 | ||||
|
Mutual Funds and Exchange Traded
Products |
1,922,620 | — | — | 1,922,620 | ||||
|
Preferred
Stocks |
180,644 | — | — | 180,644 | ||||
|
Senior Floating Rate
Loans |
— | 11,273,013 | — | 11,273,013 | ||||
|
Short-Term
Investment |
4,129,348 | — | — | 4,129,348 | ||||
|
TOTAL
INVESTMENTS |
$6,232,612 | $39,332,159 | $— | $45,564,771 | ||||
| OTHER FINANCIAL INSTRUMENTS: | ||||||||
|
Futures
Contracts(a) |
3,269 | — | — | 3,269 | ||||
|
TOTAL OTHER FINANCIAL
INSTRUMENTS: |
$ 3,269 | $ — | $— | $ 3,269 | ||||
|
TOTAL INVESTMENTS AND OTHER FINANCIAL
INSTRUMENTS |
$6,235,881 | $39,332,159 | $— | $45,568,040 |
See accompanying notes to financial statements.
31
SPDR LOOMIS SAYLES
OPPORTUNISTIC BOND ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2021 (Unaudited)
| Description | Level
1 – Quoted Prices |
Level
2 – Other Significant Observable Inputs |
Level
3 – Significant Unobservable Inputs |
Total | ||||
| LIABILITIES: | ||||||||
| OTHER FINANCIAL INSTRUMENTS: | ||||||||
|
Foreign Currency Exchange
Contracts(b) |
$ (1,577) | $ — | $— | $ (1,577) | ||||
|
Futures
Contracts(a) |
(79,691) | — | — | (79,691) | ||||
|
TOTAL OTHER FINANCIAL
INSTRUMENTS: |
$ (81,268) | $ — | $— | $ (81,268) |
| (a) | Futures Contracts are valued at unrealized appreciation (depreciation). |
| (b) | Forward Foreign Currency Exchange Contracts are valued at unrealized appreciation (depreciation). |
Affiliate Table
| Number
of Shares Held at 9/27/2021* |
Value
at 9/27/2021* |
Cost
of Purchases |
Proceeds
from Shares Sold |
Realized
Gain (Loss) |
Change
in Unrealized Appreciation/ Depreciation |
Number
of Shares Held at 12/31/21 |
Value
at 12/31/21 |
Dividend
Income | |||||||||
|
SPDR Blackstone Senior Loan
ETF |
— | $— | $ 1,940,590 | $ — | $— | $(17,970) | 42,135 | $1,922,620 | $26,986 | ||||||||
|
State Street Institutional U.S. Government Money Market Fund, Class G
Shares |
— | — | 43,397,328 | 39,267,980 | — | — | 4,129,348 | 4,129,348 | 633 | ||||||||
|
Total |
$— | $45,337,918 | $39,267,980 | $— | $(17,970) | $6,051,968 | $27,619 |
| * | Commencement of operations. |
See accompanying notes to financial statements.
32
SPDR NUVEEN
MUNICIPAL BOND ETF
SCHEDULE OF INVESTMENTS
December 31, 2021 (Unaudited)
See accompanying notes to financial statements.
33
SPDR NUVEEN
MUNICIPAL BOND ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2021 (Unaudited)
See accompanying notes to financial statements.
34
SPDR NUVEEN
MUNICIPAL BOND ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2021 (Unaudited)
See accompanying notes to financial statements.
35
SPDR NUVEEN
MUNICIPAL BOND ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2021 (Unaudited)
The
following table summarizes the value of the Fund's investments according to the fair value hierarchy as of December 31, 2021.
| Description | Level
1 – Quoted Prices |
Level
2 – Other Significant Observable Inputs |
Level
3 – Significant Unobservable Inputs |
Total | ||||
| ASSETS: | ||||||||
| INVESTMENTS: | ||||||||
|
Municipal Bonds &
Notes |
$ — | $36,529,594 | $— | $36,529,594 | ||||
|
Short-Term
Investment |
1,743,772 | — | — | 1,743,772 | ||||
|
TOTAL
INVESTMENTS |
$1,743,772 | $36,529,594 | $— | $38,273,366 |
Affiliate Table
| Number
of Shares Held at 6/30/21 |
Value
at 6/30/21 |
Cost
of Purchases |
Proceeds
from Shares Sold |
Realized
Gain (Loss) |
Change
in Unrealized Appreciation/ Depreciation |
Number
of Shares Held at 12/31/21 |
Value
at 12/31/21 |
Dividend
Income | |||||||||
|
State Street Institutional U.S. Government Money Market Fund, Class G
Shares |
1,374,817 | $1,374,817 | $12,405,487 | $12,036,532 | $— | $— | 1,743,772 | $1,743,772 | $245 |
See accompanying notes to financial statements.
36
SSGA ACTIVE
TRUST
STATEMENTS OF ASSETS AND LIABILITIES
December 31, 2021 (Unaudited)
| SPDR SSGA Multi-Asset Real Return ETF | SPDR SSGA Income Allocation ETF | SPDR SSGA Global Allocation ETF | |||
| ASSETS | |||||
|
Investments in unaffiliated issuers, at
value* |
$ 44,859,525 | $ 7,801,994 | $ 11,459,306 | ||
|
Investments in affiliated issuers, at
value |
144,257,516 | 117,013,444 | 348,000,687 | ||
|
Total
Investments |
189,117,041 | 124,815,438 | 359,459,993 | ||
|
Foreign currency, at
value |
— | — | — | ||
|
Net cash at
broker |
— | — | — | ||
|
Cash |
— | — | — | ||
|
Receivable from broker — accumulated variation margin on futures
contracts |
— | — | — | ||
|
Receivable for investments
sold |
— | — | — | ||
|
Receivable for fund shares
sold |
37,132 | — | 298,027 | ||
|
Dividends receivable — unaffiliated
issuers |
— | — | — | ||
|
Dividends receivable — affiliated
issuers |
36 | 12 | 172,789 | ||
|
Interest receivable — unaffiliated
issuers |
— | — | — | ||
|
Securities lending income receivable — unaffiliated
issuers |
207 | 3,765 | 4,579 | ||
|
Securities lending income receivable — affiliated issuers
|
5,756 | 10,182 | 35,782 | ||
|
Receivable for foreign taxes
recoverable |
— | — | — | ||
|
TOTAL ASSETS
|
189,160,172 | 124,829,397 | 359,971,170 | ||
| LIABILITIES | |||||
|
Due to
custodian |
— | — | — | ||
|
Payable upon return of securities
loaned |
6,946,536 | 6,980,772 | 72,250,781 | ||
|
Payable for investments
purchased |
— | — | — | ||
|
Payable to broker – accumulated variation margin on open futures
contracts |
— | — | — | ||
|
Unrealized depreciation on forward foreign currency exchange
contracts |
— | — | — | ||
|
Advisory fee
payable |
— | 12,570 | 29,441 | ||
|
Trustees’ fees and expenses
payable |
3 | 223 | 399 | ||
|
TOTAL LIABILITIES
|
6,946,539 | 6,993,565 | 72,280,621 | ||
|
NET ASSETS
|
$182,213,633 | $ 117,835,832 | $287,690,549 | ||
| NET ASSETS CONSIST OF: | |||||
|
Paid-in
Capital |
$ 230,611,341 | $127,128,360 | $241,466,859 | ||
|
Total distributable earnings
(loss) |
(48,397,708) | (9,292,528) | 46,223,690 | ||
|
NET ASSETS
|
$182,213,633 | $ 117,835,832 | $287,690,549 | ||
| NET ASSET VALUE PER SHARE | |||||
|
Net asset value per
share |
$ 27.03 | $ 35.39 | $ 46.03 | ||
|
Shares outstanding (unlimited amount authorized, no par
value) |
6,740,000 | 3,330,000 | 6,250,000 | ||
| COST OF INVESTMENTS: | |||||
|
Investments in unaffiliated
issuers |
$ 53,630,694 | $ 7,813,561 | $ 12,158,660 | ||
|
Investments in affiliated
issuers |
137,459,450 | 115,850,937 | 306,453,095 | ||
|
Total cost of
investments |
$191,090,144 | $123,664,498 | $ 318,611,755 | ||
|
Foreign currency, at
cost |
$ — | $ — | $ — | ||
|
* Includes investments in securities on loan, at
value |
$ 6,754,679 | $ 9,182,534 | $ 78,194,014 |
See accompanying notes to financial statements.
38
| SPDR SSGA Ultra Short Term Bond ETF | SPDR Loomis Sayles Opportunistic Bond ETF | SPDR Nuveen Municipal Bond ETF | ||
| $360,373,189 | $39,512,803 | $36,529,594 | ||
| 83,418,920 | 6,051,968 | 1,743,772 | ||
| 443,792,109 | 45,564,771 | 38,273,366 | ||
| — | 102,042 | — | ||
| 58,798 | 198,956 | — | ||
| — | 770 | — | ||
| 1,594 | — | — | ||
| 5,044,012 | 164,786 | — | ||
| — | — | — | ||
| — | 1,040 | 389,447 | ||
| 1,666 | 109 | 42 | ||
| 627,711 | 348,571 | — | ||
| — | — | — | ||
| — | — | — | ||
| — | 1,367 | — | ||
| 449,525,890 | 46,382,412 | 38,662,855 | ||
| 795,627 | — | — | ||
| — | — | — | ||
| 1,190,744 | 2,983,874 | — | ||
| — | 76,422 | — | ||
| — | 1,577 | — | ||
| 77,014 | 20,192 | 13,588 | ||
| 158 | 17 | 52 | ||
| 2,063,543 | 3,082,082 | 13,640 | ||
| $447,462,347 | $43,300,330 | $38,649,215 | ||
| $448,729,284 | $43,564,634 | $38,963,570 | ||
| (1,266,937) | (264,304) | (314,355) | ||
| $447,462,347 | $43,300,330 | $38,649,215 | ||
| $ 40.31 | $ 29.86 | $ 29.73 | ||
| 11,100,000 | 1,450,000 | 1,300,000 | ||
| $360,865,965 | $39,638,939 | $36,709,069 | ||
| 83,418,920 | 6,069,938 | 1,743,772 | ||
| $444,284,885 | $45,708,877 | $38,452,841 | ||
| $ — | $ 102,042 | $ — | ||
| $ — | $ — | $ — |
39
SSGA ACTIVE
TRUST
STATEMENTS OF OPERATIONS
For the Six Months Ended December 31, 2021 (Unaudited)
| SPDR SSGA Multi-Asset Real Return ETF | SPDR SSGA Income Allocation ETF | SPDR SSGA Global Allocation ETF | |||
| INVESTMENT INCOME | |||||
|
Interest income — unaffiliated
issuers |
$ — | $ — | $ — | ||
|
Dividend income — unaffiliated
issuers |
15,439,724 | 265,057 | 3,115,739 | ||
|
Dividend income — affiliated
issuers |
2,763,521 | 2,153,433 | 3,860,784 | ||
|
Unaffiliated securities lending
income |
49,183 | 24,781 | 20,538 | ||
|
Affiliated securities lending
income |
28,555 | 71,916 | 150,056 | ||
|
TOTAL INVESTMENT INCOME
(LOSS) |
18,280,983 | 2,515,187 | 7,147,117 | ||
| EXPENSES | |||||
|
Advisory
fee |
57,583 | 77,391 | 240,334 | ||
|
Trustees’ fees and expenses
|
572 | 718 | 1,611 | ||
|
Miscellaneous
expenses |
2 | 1 | 4 | ||
|
TOTAL
EXPENSES |
58,157 | 78,110 | 241,949 | ||
|
NET INVESTMENT INCOME
(LOSS) |
$ 18,222,826 | $ 2,437,077 | $ 6,905,168 | ||
| REALIZED AND UNREALIZED GAIN (LOSS) | |||||
| Net realized gain (loss) on: | |||||
|
Investments — unaffiliated
issuers |
(1,528,223) | (25,932) | (276,702) | ||
|
Investments — affiliated
issuers |
(445,493) | (63,319) | 7,671,906 | ||
|
In-kind redemptions — unaffiliated
issuers |
1,181,269 | 301,169 | 128,678 | ||
|
In-kind redemptions — affiliated
issuers |
1,562,229 | 1,120,075 | 3,898,967 | ||
|
Forward foreign currency exchange
contracts |
— | — | — | ||
|
Foreign currency
transactions |
— | — | — | ||
|
Futures
contracts |
— | — | — | ||
|
Net realized gain
(loss) |
769,782 | 1,331,993 | 11,422,849 | ||
| Net change in unrealized appreciation/depreciation on: | |||||
|
Investments — unaffiliated
issuers |
(12,754,472) | (503,147) | (2,181,450) | ||
|
Investments — affiliated
issuers |
2,248,570 | (1,925,193) | (7,111,529) | ||
|
Forward foreign currency exchange
contracts |
— | — | — | ||
|
Foreign currency
translations |
— | — | — | ||
|
Futures
contracts |
— | — | — | ||
|
Net change in unrealized
appreciation/depreciation |
(10,505,902) | (2,428,340) | (9,292,979) | ||
|
NET REALIZED AND UNREALIZED GAIN
(LOSS) |
(9,736,120) | (1,096,347) | 2,129,870 | ||
|
NET INCREASE (DECREASE) IN NET ASSETS FROM
OPERATIONS |
$ 8,486,706 | $ 1,340,730 | $ 9,035,038 |
See accompanying notes to financial statements.
40
| SPDR SSGA Ultra Short Term Bond ETF | SPDR Loomis Sayles Opportunistic Bond ETF(a) | SPDR Nuveen Municipal Bond ETF | ||
| $ 1,420,144 | $ 287,747 | (91,944) | ||
| — | 2,661 | 283,347 | ||
| 8,434 | 27,619 | 245 | ||
| — | — | — | ||
| — | — | — | ||
| 1,428,578 | 318,027 | 191,648 | ||
| 444,669 | 59,610 | 89,245 | ||
| 1,968 | 81 | 273 | ||
| 6 | — | — | ||
| 446,643 | 59,691 | 89,518 | ||
| $ 981,935 | $ 258,336 | $ 102,130 | ||
| (335,241) | (77,396) | 85,443 | ||
| — | — | — | ||
| — | — | 5,816 | ||
| — | — | — | ||
| — | (6,948) | — | ||
| — | 11,391 | — | ||
| 139,608 | 10,779 | — | ||
| (195,633) | (62,174) | 91,259 | ||
| (1,349,036) | (126,136) | (189,685) | ||
| — | (17,970) | — | ||
| — | (1,577) | — | ||
| — | 1,577 | — | ||
| 1,564 | (76,951) | — | ||
| (1,347,472) | (221,057) | (189,685) | ||
| (1,543,105) | (283,231) | (98,426) | ||
| $ (561,170) | $ (24,895) | $ 3,704 |
| (a) | For the period September 27, 2021 (commencement of operations) through December 31, 2021. |
41
SSGA ACTIVE
TRUST
STATEMENTS OF CHANGES IN NET ASSETS
| SPDR SSGA Multi-Asset Real Return ETF | SPDR SSGA Income Allocation ETF | ||||||
| Six
Months Ended 12/31/21 (Unaudited) |
Year
Ended 6/30/21 |
Six
Months Ended 12/31/21 (Unaudited) |
Year
Ended 6/30/21 | ||||
| INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||||||
|
Net investment income
(loss) |
$ 18,222,826 | $ 1,767,722 | $ 2,437,077 | $ 4,611,865 | |||
|
Net realized gain
(loss) |
769,782 | (1,841,123) | 1,331,993 | 5,224,138 | |||
|
Net change in unrealized
appreciation/depreciation |
(10,505,902) | 19,933,207 | (2,428,340) | 12,676,226 | |||
|
Net increase (decrease) in net assets resulting from
operations |
8,486,706 | 19,859,806 | 1,340,730 | 22,512,229 | |||
|
Net equalization credits and
charges |
2,054,666 | 54,735 | (3,724) | 149,449 | |||
|
Distributions to
shareholders |
(20,015,187) | (1,750,442) | (2,183,678) | (4,629,430) | |||
| FROM BENEFICIAL INTEREST TRANSACTIONS: | |||||||
|
Proceeds from shares
sold |
79,250,204 | 67,513,380 | 14,645,106 | 73,221,393 | |||
|
Cost of shares
redeemed |
(15,884,632) | (9,014,313) | (21,004,866) | (92,104,724) | |||
|
Net income
equalization |
(2,054,666) | (54,735) | 3,724 | (149,449) | |||
|
Other
Capital |
18,255 | — | — | — | |||
|
Net increase (decrease) in net assets from beneficial interest transactions
|
61,329,161 | 58,444,332 | (6,356,036) | (19,032,780) | |||
|
Net increase (decrease) in net assets during the
period |
51,855,346 | 76,608,431 | (7,202,708) | (1,000,532) | |||
|
Net assets at beginning of
period |
130,358,287 | 53,749,856 | 125,038,540 | 126,039,072 | |||
|
NET ASSETS AT END OF
PERIOD |
$182,213,633 | $130,358,287 | $ 117,835,832 | $125,038,540 | |||
| SHARES OF BENEFICIAL INTEREST: | |||||||
|
Shares
sold |
2,720,000 | 2,420,000 | 410,000 | 2,120,000 | |||
|
Shares
redeemed |
(550,000) | (380,000) | (590,000) | (2,760,000) | |||
|
Net increase (decrease) from share
transactions |
2,170,000 | 2,040,000 | (180,000) | (640,000) | |||
See accompanying notes to financial statements.
42
| SPDR SSGA Global Allocation ETF | SPDR SSGA Ultra Short Term Bond ETF | SPDR Loomis Sayles Opportunistic Bond ETF | ||||||
| Six
Months Ended 12/31/21 (Unaudited) |
Year
Ended 6/30/21 |
Six
Months Ended 12/31/21 (Unaudited) |
Year
Ended 6/30/21 |
For
the Period 9/27/21*- 12/31/21 (Unaudited) | ||||
| $ 6,905,168 | $ 5,634,070 | $ 981,935 | $ 2,186,346 | $ 258,336 | ||||
| 11,422,849 | 16,141,140 | (195,633) | 478,164 | (62,174) | ||||
| (9,292,979) | 40,475,117 | (1,347,472) | 1,451,941 | (221,057) | ||||
| 9,035,038 | 62,250,327 | (561,170) | 4,116,451 | (24,895) | ||||
| 7,763 | (16,635) | 3,894 | 31,941 | 6,664 | ||||
| (9,049,638) | (5,588,244) | (1,208,398) | (2,605,083) | (239,409) | ||||
| 22,758,235 | 23,982,836 | 113,126,245 | 130,443,856 | 43,477,679 | ||||
| (17,742,764) | (35,804,943) | (66,545,344) | (28,304,057) | — | ||||
| (7,763) | 16,635 | (3,894) | (31,941) | (6,664) | ||||
| — | — | 47,551 | 44,894 | 86,955 | ||||
| 5,007,708 | (11,805,472) | 46,624,558 | 102,152,752 | 43,557,970 | ||||
| 5,000,871 | 44,839,976 | 44,858,884 | 103,696,061 | 43,300,330 | ||||
| 282,689,678 | 237,849,702 | 402,603,463 | 298,907,402 | — | ||||
| $287,690,549 | $282,689,678 | $447,462,347 | $402,603,463 | $43,300,330 | ||||
| 490,000 | 550,000 | 2,800,000 | 3,225,000 | 1,450,000 | ||||
| (380,000) | (860,000) | (1,650,000) | (700,000) | — | ||||
| 110,000 | (310,000) | 1,150,000 | 2,525,000 | 1,450,000 | ||||
| * | Commencement of operations. |
43
SSGA ACTIVE
TRUST
STATEMENTS OF CHANGES IN NET ASSETS (continued)
| SPDR Nuveen Municipal Bond ETF | |||
| Six
Months Ended 12/31/21 (Unaudited) |
For
the Period 2/3/21*- 6/30/21 | ||
| INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
|
Net investment income
(loss) |
$ 102,130 | $ 91,974 | |
|
Net realized gain
(loss) |
91,259 | 252,383 | |
|
Net change in unrealized
appreciation/depreciation |
(189,685) | 10,210 | |
|
Net increase (decrease) in net assets resulting from
operations |
3,704 | 354,567 | |
|
Net equalization credits and
charges |
(850) | 2,273 | |
|
Distributions to
shareholders |
(526,510) | (140,300) | |
| FROM BENEFICIAL INTEREST TRANSACTIONS: | |||
|
Proceeds from shares
sold |
— | 44,904,991 | |
|
Cost of shares
redeemed |
(5,992,142) | — | |
|
Net income
equalization |
850 | (2,273) | |
|
Other
Capital |
— | 44,905 | |
|
Net increase (decrease) in net assets from beneficial interest transactions
|
(5,991,292) | 44,947,623 | |
|
Net increase (decrease) in net assets during the
period |
(6,514,948) | 45,164,163 | |
|
Net assets at beginning of
period |
45,164,163 | — | |
|
NET ASSETS AT END OF
PERIOD |
$38,649,215 | $45,164,163 | |
| SHARES OF BENEFICIAL INTEREST: | |||
|
Shares
redeemed |
(200,000) | — | |
|
Net increase (decrease) from share
transactions |
(200,000) | 1,500,000 | |
| * | Commencement of operations. |
See accompanying notes to financial statements.
44
SSGA ACTIVE
TRUST
FINANCIAL HIGHLIGHTS
Selected data for a share outstanding throughout each period
| SPDR SSGA Multi-Asset Real Return ETF | |||||||||||
| Six
Months Ended 12/31/21 (Unaudited) |
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 |
$ 28.52 | $ 21.25 | $ 25.18 | $ 26.62 | $ 23.97 | $ 24.38 | |||||
| Income (loss) from investment operations: | |||||||||||
|
Net investment income (loss)
(b) |
3.41 | 0.65 | 0.78 | 0.69 | 0.53 | 0.56 | |||||
|
Net realized and unrealized gain (loss)
(c) |
(2.25) | 7.15 | (3.89) | (1.43) | 2.64 | (0.44) | |||||
|
Total from investment
operations |
1.16 | 7.80 | (3.11) | (0.74) | 3.17 | 0.12 | |||||
|
Net equalization credits and charges
(b) |
0.38 | 0.02 | (0.02) | 0.00(d) | (0.00)(d) | 0.01 | |||||
|
Other
capital |
0.00(d) | — | — | — | — | — | |||||
| Distributions to shareholders from: | |||||||||||
|
Net investment
income |
(3.03) | (0.55) | (0.80) | (0.70) | (0.52) | (0.54) | |||||
|
Net asset value, end of
period |
$ 27.03 | $ 28.52 | $ 21.25 | $ 25.18 | $ 26.62 | $ 23.97 | |||||
|
Total return
(e) |
5.40% | 37.12% | (12.71)% | (2.71)% | 13.26% | 0.56% | |||||
| Ratios and Supplemental Data: | |||||||||||
|
Net assets, end of period (in
000s) |
$182,214 | $130,358 | $53,750 | $112,792 | $143,742 | $115,075 | |||||
| Ratios to average net assets: | |||||||||||
|
Total expenses
(f) |
0.07%(g) | 0.08% | 0.08% | 0.12% | 0.22% | 0.22% | |||||
|
Net investment income
(loss) |
23.27%(g) | 2.56% | 3.30% | 2.76% | 2.04% | 2.28% | |||||
|
Portfolio turnover
rate |
19%(h) | 49% | 30% | 28% | 44% | 46%(i) | |||||
| (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 period. |
| (c) | Amounts shown in this caption for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period because of the timing of sales and repurchases of Fund shares in relation to fluctuating market values for the Fund. |
| (d) | Amount is less than $0.005 per share. |
| (e) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates of each distribution. Total returns for periods of less than one year are not annualized. Broker commission charges are not included in this calculation. |
| (f) | Does not include expenses of the Underlying Funds in which the Fund invests. |
| (g) | Annualized. |
| (h) | Not annualized. |
| (i) | Portfolio turnover is from the Fund's Portfolio prior to discontinuance of master-feeder structure. |
See accompanying notes to financial statements.
45
SSGA ACTIVE
TRUST
FINANCIAL HIGHLIGHTS (continued)
Selected data for a share outstanding throughout each period
| SPDR SSGA Income Allocation ETF | |||||||||||
| Six
Months Ended 12/31/21 (Unaudited) |
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 |
$ 35.62 | $ 30.37 | $ 33.32 | $ 32.42 | $ 32.33 | $ 31.23 | |||||
| Income (loss) from investment operations: | |||||||||||
|
Net investment income (loss)
(b) |
0.75 | 1.35 | 1.43 | 1.53 | 1.02 | 1.10 | |||||
|
Net realized and unrealized gain (loss)
(c) |
(0.31) | 5.18 | (2.95) | 0.91 | 0.09 | 0.98 | |||||
|
Total from investment
operations |
0.44 | 6.53 | (1.52) | 2.44 | 1.11 | 2.08 | |||||
|
Net equalization credits and charges
(b) |
(0.00)(d) | 0.04 | 0.03 | 0.03 | (0.01) | (0.01) | |||||
|
Other capital
(b) |
— | — | — | 0.00(d) | — | — | |||||
| Distributions to shareholders from: | |||||||||||
|
Net investment
income |
(0.67) | (1.32) | (1.46) | (1.57) | (1.01) | (0.97) | |||||
|
Net asset value, end of
period |
$ 35.39 | $ 35.62 | $ 30.37 | $ 33.32 | $ 32.42 | $ 32.33 | |||||
|
Total return
(e) |
1.23% | 21.90% | (4.56)% | 7.93% | 3.34% | 6.78% | |||||
| Ratios and Supplemental Data: | |||||||||||
|
Net assets, end of period (in
000s) |
$117,836 | $125,039 | $126,039 | $104,613 | $92,389 | $95,376 | |||||
| Ratios to average net assets: | |||||||||||
|
Total expenses
(f) |
0.13%(g) | 0.16% | 0.18% | 0.18% | 0.39% | 0.37% | |||||
|
Net investment income
(loss) |
4.16%(g) | 4.02% | 4.41% | 4.71% | 3.07% | 3.49% | |||||
|
Portfolio turnover
rate |
12%(h) | 60% | 38% | 71% | 29% | 47%(i) | |||||
| (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 period. |
| (c) | Amounts shown in this caption for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period because of the timing of sales and repurchases of Fund shares in relation to fluctuating market values for the Fund. |
| (d) | Amount is less than $0.005 per share. |
| (e) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates of each distribution. Total returns for periods of less than one year are not annualized. Broker commission charges are not included in this calculation. |
| (f) | Does not include expenses of the Underlying Funds in which the Fund invests. |
| (g) | Annualized. |
| (h) | Not annualized. |
| (i) | Portfolio turnover is from the Fund's Portfolio prior to discontinuance of master-feeder structure. |
See accompanying notes to financial statements.
46
SSGA ACTIVE
TRUST
FINANCIAL HIGHLIGHTS (continued)
Selected data for a share outstanding throughout each period
| SPDR SSGA Global Allocation ETF | |||||||||||
| Six
Months Ended 12/31/21 (Unaudited) |
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 |
$ 46.04 | $ 36.88 | $ 38.33 | $ 37.72 | $ 35.52 | $ 33.35 | |||||
| Income (loss) from investment operations: | |||||||||||
|
Net investment income (loss)
(b) |
1.12 | 0.91 | 1.07 | 1.03 | 0.81 | 0.99 | |||||
|
Net realized and unrealized gain (loss)
(c) |
0.35 | 9.16 | (1.44) | 0.57 | 2.18 | 2.03 | |||||
|
Total from investment
operations |
1.47 | 10.07 | (0.37) | 1.60 | 2.99 | 3.02 | |||||
|
Net equalization credits and charges
(b) |
0.00(d) | (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 |
(1.13) | (0.91) | (1.08) | (1.00) | (0.80) | (0.85) | |||||
|
Net realized
gains |
(0.35) | — | — | — | — | — | |||||
|
Total
distributions |
(1.48) | (0.91) | (1.08) | (1.00) | (0.80) | (0.85) | |||||
|
Net asset value, end of
period |
$ 46.03 | $ 46.04 | $ 36.88 | $ 38.33 | $ 37.72 | $ 35.52 | |||||
|
Total return
(e) |
3.18% | 27.51% | (1.00)% | 4.37% | 8.46% | 9.14% | |||||
| Ratios and Supplemental Data: | |||||||||||
|
Net assets, end of period (in
000s) |
$287,691 | $282,690 | $237,850 | $255,687 | $248,929 | $207,780 | |||||
| Ratios to average net assets: | |||||||||||
|
Total expenses
(f) |
0.17%(g) | 0.17% | 0.09% | 0.15% | 0.20% | 0.20% | |||||
|
Net
expenses |
0.17%(g) | 0.17% | 0.09% | 0.15% | 0.09% | 0.01% | |||||
|
Net investment income
(loss) |
4.76%(g) | 2.16% | 2.84% | 2.76% | 2.14% | 2.91% | |||||
|
Portfolio turnover rate
(h) |
57%(i) | 110% | 94% | 71% | 43% | 90%(j) | |||||
| (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 period. |
| (c) | Amounts shown in this caption for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period because of the timing of sales and repurchases of Fund shares in relation to fluctuating market values for the Fund. |
| (d) | Amount is less than $0.005 per share. |
| (e) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates of each distribution. Total returns for periods of less than one year are not annualized. Broker commission charges are not included in this calculation. |
| (f) | Does not include expenses of the Underlying Funds in which the Fund invests. |
| (g) | Annualized. |
| (h) | Portfolio turnover rate excludes securities received or delivered from in-kind processing of creations or redemptions. |
| (i) | Not annualized. |
| (j) | Portfolio turnover is from the Fund's Portfolio prior to discontinuance of master-feeder structure. |
See accompanying notes to financial statements.
47
SSGA ACTIVE
TRUST
FINANCIAL HIGHLIGHTS (continued)
Selected data for a share outstanding throughout each period
| SPDR SSGA Ultra Short Term Bond ETF | |||||||||||
| Six
Months Ended 12/31/21 (Unaudited) |
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 |
$ 40.46 | $ 40.26 | $ 40.41 | $ 40.27 | $ 40.26 | $ 40.06 | |||||
| Income (loss) from investment operations: | |||||||||||
|
Net investment income (loss)
(b) |
0.09 | 0.27 | 0.81 | 1.02 | 0.68 | 0.44 | |||||
|
Net realized and unrealized gain (loss)
(c) |
(0.13) | 0.25 | (0.11) | 0.04 | (0.14) | 0.13 | |||||
|
Total from investment
operations |
(0.04) | 0.52 | 0.70 | 1.06 | 0.54 | 0.57 | |||||
|
Net equalization credits and charges
(b) |
0.00(d) | 0.00(d) | 0.02 | 0.03 | 0.04 | (0.00)(d) | |||||
|
Other capital
(b) |
0.00(d) | 0.01 | 0.03 | 0.02 | 0.06 | 0.05 | |||||
| Distributions to shareholders from: | |||||||||||
|
Net investment
income |
(0.11) | (0.33) | (0.90) | (0.97) | (0.63) | (0.42) | |||||
|
Total
distributions |
(0.11) | (0.33) | (0.90) | (0.97) | (0.63) | (0.42) | |||||
|
Net asset value, end of
period |
$ 40.31 | $ 40.46 | $ 40.26 | $ 40.41 | $ 40.27 | $ 40.26 | |||||
|
Total return
(e) |
(0.10)% | 1.34% | 1.86% | 2.79% | 1.60% | 1.53% | |||||
| Ratios and Supplemental Data: | |||||||||||
|
Net assets, end of period (in
000s) |
$447,462 | $402,603 | $298,907 | $167,719 | $50,344 | $18,117 | |||||
| Ratios to average net assets: | |||||||||||
|
Total
expenses |
0.20%(f) | 0.20% | 0.20% | 0.20% | 0.20% | 0.20% | |||||
|
Net investment income
(loss) |
0.44%(f) | 0.67% | 2.02% | 2.54% | 1.70% | 1.09% | |||||
|
Portfolio turnover
rate |
41%(g) | 76% | 71% | 100% | 76% | 83%(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 period. |
| (c) | Amounts shown in this caption for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period because of the timing of sales and repurchases of Fund shares in relation to fluctuating market values for the Fund. |
| (d) | Amount is less than $0.005 per share. |
| (e) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates of each distribution. Total returns for periods of less than one year are not annualized. Broker commission charges are not included in this calculation. |
| (f) | Annualized. |
| (g) | Not annualized. |
| (h) | Portfolio turnover is from the Fund's Portfolio prior to discontinuance of master-feeder structure. |
See accompanying notes to financial statements.
48
SSGA ACTIVE
TRUST
FINANCIAL HIGHLIGHTS (continued)
Selected data for a share outstanding throughout each period
| SPDR Loomis Sayles Opportunistic Bond ETF | |
| For
the Period 9/27/2021*- 12/31/21 (Unaudited) | |
|
Net asset value, beginning of
period |
$ 30.00 |
| Income (loss) from investment operations: | |
|
Net investment income (loss)
(a) |
0.19 |
|
Net realized and unrealized gain (loss)
(b) |
(0.56) |
|
Total from investment
operations |
(0.37) |
|
Net equalization credits and charges
(a) |
0.00(c) |
|
Other capital
(a) |
0.06 |
| Distributions to shareholders from: | |
|
Net investment
income |
0.17 |
|
Net asset value, end of
period |
$ 29.86 |
|
Total return
(d) |
0.09% |
| Ratios and Supplemental Data: | |
|
Net assets, end of period (in
000s) |
$43,300 |
| Ratios to average net assets: | |
|
Total
expenses |
0.55%(e) |
|
Net investment income
(loss) |
2.36%(e) |
|
Portfolio turnover rate
(f) |
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) | Amount is less than $0.00005 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.
49
SSGA ACTIVE
TRUST
FINANCIAL HIGHLIGHTS (continued)
Selected data for a share outstanding throughout each period
| SPDR Nuveen Municipal Bond ETF | |||
| Six
Months Ended 12/31/21 (Unaudited) |
For
the Period 2/3/21*- 6/30/21 | ||
|
Net asset value, beginning of
period |
$ 30.11 | $ 30.00 | |
| Income (loss) from investment operations: | |||
|
Net investment income (loss)
(a) |
0.07 | 0.07 | |
|
Net realized and unrealized gain (loss)
(b) |
(0.07) | 0.11 | |
|
Total from investment
operations |
0.00 | 0.18 | |
|
Net equalization credits and charges
(a) |
(0.00)(c) | 0.00(c) | |
|
Other capital
(a) |
— | 0.03 | |
| Distributions to shareholders from: | |||
|
Net investment
income |
(0.16) | (0.10) | |
|
Net realized
gains |
(0.22) | — | |
|
Total
distributions |
(0.38) | — | |
|
Net asset value, end of
period |
$ 29.73 | $ 30.11 | |
|
Total return
(d) |
0.01% | 0.69% | |
| Ratios and Supplemental Data: | |||
|
Net assets, end of period (in
000s) |
$38,649 | $45,164 | |
| Ratios to average net assets: | |||
|
Total
expenses |
0.40%(e) | 0.40%(e) | |
|
Net investment income
(loss) |
0.46%(e) | 0.57%(e) | |
|
Portfolio turnover rate
(f) |
35%(g) | 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 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) | 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.
50
SSGA ACTIVE
TRUST
NOTES TO FINANCIAL STATEMENTS
December 31, 2021 (Unaudited)
1. Organization
SSGA Active Trust (the “Trust”), a Massachusetts
business trust registered under the Investment Company Act of 1940, as amended (“1940 Act”), is an open-end management investment company.
As of December 31, 2021, the Trust consists of twelve (12)
series, each of which represents a separate series of beneficial interest in the Trust. The Declaration of Trust permits the Board of Trustees of the Trust (the “Board”) to authorize the issuance of an unlimited number of shares of
beneficial interest with no par value. The financial statements herein relate to the following series (each, a “Fund” and collectively, the “Funds”):
| SPDR SSGA Multi-Asset Real Return ETF |
| SPDR SSGA Income Allocation ETF |
| SPDR SSGA Global Allocation ETF |
| SPDR SSGA Ultra Short Term Bond ETF |
| SPDR Loomis Sayles Opportunistic 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 and SPDR Nuveen Municipal Bond ETF, which is a non-diversified investment company.
The SPDR Loomis Sayles Opportunistic Bond ETF commenced
operations September 27, 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 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
51
SSGA ACTIVE
TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
December 31, 2021 (Unaudited)
(“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.
•
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.
•
Exchange-traded futures contracts are valued at the closing settlement price on the primary market on which they are traded most extensively. Exchange-traded futures contracts traded on a recognized exchange for which there were no sales on
that day are valued at the last reported sale price obtained from independent pricing services or brokers or at fair value.
•
Forward foreign currency exchange contracts are valued based on that day’s prevailing forward exchange rate for the underlying currencies. The rates are obtained from independent pricing services in accordance with the valuation policy
and procedures approved by the Board.
In the event
prices or quotations are not readily available or that the application of these valuation methods results in a price for an investment that is deemed to be not representative of the fair value of such investment, fair value will be determined in
good faith by the Committee, in accordance with the valuation policy and procedures approved by the Board.
Various inputs are used in determining the value of the Funds'
investments.
The Funds value their assets and
liabilities at fair value using a fair value hierarchy consisting of three broad levels that prioritize the inputs to valuation techniques giving the highest priority to readily available unadjusted quoted prices in active markets for identical
assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements) when market prices are not readily available or reliable. The categorization of a value determined for an investment within the
hierarchy is based upon the pricing transparency of the investment and is not necessarily an indication of the risk associated with investing in it.
The three levels of the fair value hierarchy are as
follows:
• Level 1 – Unadjusted
quoted prices in active markets for an identical asset or liability;
•
Level 2 – Inputs other than quoted prices included within Level 1 that are observable for the asset or liability either directly or indirectly, including quoted prices for similar assets or liabilities in active markets, quoted prices for
identical or similar assets or liabilities in markets that are not considered to be active, inputs other than quoted prices that are observable for the asset or liability (such as exchange rates, financing terms, interest rates, yield curves,
volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs; and
•
Level 3 – Unobservable inputs for the asset or liability, including the Committee’s assumptions used in determining the fair value of investments.
The value of each Fund’s investments, according to the
fair value hierarchy as of December 31, 2021, is disclosed in each Fund’s respective Schedule of Investments.
52
SSGA ACTIVE
TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
December 31, 2021 (Unaudited)
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.
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
December 31, 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, SPDR Loomis Sayles Opportunistic 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.
53
SSGA ACTIVE
TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
December 31, 2021 (Unaudited)
3. Securities and Other Investments
Loan Agreements
The SPDR Loomis Sayles Opportunistic Bond 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. Derivative Financial
Instruments
Forward Foreign Currency Exchange
Contracts
Funds may engage in forward foreign currency
exchange contracts to acquire exposure to foreign currencies or to hedge the Funds' investments against currency fluctuations. A forward foreign currency exchange contract is a commitment to purchase or sell a foreign currency at the settlement date
at a negotiated rate. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in cash without the delivery of foreign currency. The contract is marked-to-market daily and the change in market value is recorded
by the Fund as an unrealized gain or loss. When the contract is closed, a Fund recognizes a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.
Certain risks may arise upon entering into forward foreign
currency exchange contracts from the potential inability of counterparties to meet the terms of their contracts and are generally limited to the amount of unrealized gains on appreciated contracts, if any. Additionally, when utilizing forward
foreign currency exchange contracts to hedge, a Fund gives up the opportunity to profit from favorable exchange rate movements during the term of the contract.
For the period ended December 31, 2021, SPDR Loomis Sayles
Opportunistic Bond ETF entered into forward foreign currency exchange contracts to reduce the currency deviation of the Fund versus the Index.
Futures Contracts
Funds may enter into futures contracts to meet the
Funds’ objectives. A futures contract is a standardized, exchange-traded agreement to buy or sell a financial instrument at a set price on a future date. Upon entering into a futures contract, a Fund is required to deposit with the broker,
cash or securities in an amount equal to the minimum initial margin requirements of the clearing house. Securities deposited, if any, are designated on the Schedules of Investments and cash deposited, if any, is included in Net cash at broker on the
Statements of Assets and Liabilities. Subsequent payments are made or received by the Fund equal to the daily change in the contract value, accumulated, exchange rates, and or other transactional fees. The accumulation of those payments are recorded
as variation margin receivable or payable with a corresponding offset to unrealized gains or losses. The Funds recognizes a realized gain or loss when the contract is closed.
Losses may arise if the value of a futures contract decreases
due to unfavorable changes in the market rates or values of the underlying instrument during the term of the contract or if the counterparty does not perform under the contract. The use of futures contracts also involves the risk that the movements
in the price of the futures contracts do not correlate with the movement of the assets underlying such contracts.
For the period ended December 31, 2021, the SPDR SSGA Ultra
Short Term Bond ETF and SPDR Loomis Sayles Opportunistic Bond ETF entered into futures contracts to hedge interest rate exposure and manage duration.
| Asset Derivatives | |||||||||||
| Interest
Rate Risk |
Foreign
Exchange Risk |
Credit
Risk |
Equity
Risk |
Commodity
Risk |
Total | ||||||
| SPDR SSGA Ultra Short Term Bond ETF | |||||||||||
|
Futures
Contracts |
$— | $— | $— | $1,594 | $— | $1,594 | |||||
54
SSGA ACTIVE
TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
December 31, 2021 (Unaudited)
| Liability Derivatives | |||||||||||
| Interest
Rate Risk |
Foreign
Exchange Risk |
Credit
Risk |
Equity
Risk |
Commodity
Risk |
Total | ||||||
| SPDR Loomis Sayles Opportunistic Bond ETF | |||||||||||
|
Forward Foreign Currency Exchange
Contracts |
$ — | $1,577 | $— | $— | $— | $ 1,577 | |||||
|
Futures
Contracts |
76,422 | — | — | — | — | 76,422 | |||||
| Net Realized Gain (Loss) | |||||||||||
| Interest
Rate Risk |
Foreign
Exchange Risk |
Credit
Risk |
Equity
Risk |
Commodity
Risk |
Total | ||||||
| SPDR SSGA Ultra Short Term Bond ETF | |||||||||||
|
Futures
Contracts |
$139,608 | $ — | $— | $— | $— | $139,608 | |||||
| SPDR Loomis Sayles Opportunistic Bond ETF | |||||||||||
|
Forward Foreign Currency Exchange
Contracts |
— | (6,948) | — | — | — | (6,948) | |||||
|
Futures
Contracts |
10,779 | — | — | — | — | 10,779 | |||||
| Net Change in Unrealized Appreciation (Depreciation) | |||||||||||
| Interest
Rate Risk |
Foreign
Exchange Risk |
Credit
Risk |
Equity
Risk |
Commodity
Risk |
Total | ||||||
| SPDR SSGA Ultra Short Term Bond ETF | |||||||||||
|
Futures
Contracts |
$ 1,564 | $ — | $— | $— | $— | $ 1,564 | |||||
| SPDR Loomis Sayles Opportunistic Bond ETF | |||||||||||
|
Forward Foreign Currency Exchange
Contracts |
— | (1,577) | — | — | — | (1,577) | |||||
|
Futures
Contracts |
(76,951) | — | — | — | — | (76,951) | |||||
| Offsetting of Financial Liabilities and Derivative Liabilities | ||||||||
| Forward Foreign Currency Exchange Contracts | ||||||||
| Counterparty | Gross
Amounts of Liabilities |
Amount
Eligible to Offset |
Collateral
(Received) Pledged |
Net
Amount | ||||
|
Commonwealth Bank of
Australia |
$(1,035) | $— | $— | $(1,035) | ||||
|
Standard Chartered
Bank |
(542) | — | — | (542) | ||||
| $(1,577) | $— | $— | $(1,577) | |||||
5. 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 |
55
SSGA ACTIVE
TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
December 31, 2021 (Unaudited)
| Annual Rate* | |
|
SPDR SSGA Ultra Short Term Bond
ETF |
0.20% |
|
SPDR Loomis Sayles Opportunistic Bond
ETF |
0.55 |
|
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 December 31, 2021, the net annualized advisory fee was 0.07%, 0.13%, 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, 2022. 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, 2022,
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 Trustees, who are not “interested persons” of the Trust, as defined in the 1940 Act (“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.
Beginning on January 1, 2022, net proceeds collected by State
Street on investment of cash collateral or any fee income less rebates payable to borrowers, are paid as follows: If the calendar year to date net proceeds are below a specified threshold across SPDR ETFs, each Fund retains eighty five percent (85%)
of the net proceeds and fifteen percent (15%) of such net proceeds is payable to State Street. Starting the business day following the date that calendar year to date net proceeds exceeds a specified threshold, each Fund retains ninety percent (90%)
of the net proceeds and ten percent (10%) of such net proceeds is payable to State Street. Prior to January 1, 2022, net proceeds were 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 10 for additional information regarding securities lending.
Other Transactions with Affiliates
The Funds may invest in affiliated entities, including
securities issued by State Street Corporation, affiliated funds, or entities deemed to be affiliates as a result of the Funds owning more than five percent of the entity’s voting securities or outstanding shares. Amounts relating to these
transactions during the period ended December 31, 2021 are disclosed in the Schedules of Investments.
6. Trustees’ Fees
The fees and expenses of the 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.
56
SSGA ACTIVE
TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
December 31, 2021 (Unaudited)
7. Investment Transactions
Purchases and sales of investments (excluding in-kind
transactions, derivative contracts and short term investments) for the period ended December 31, 2021, were as follows:
| Purchases | Sales | ||
|
SPDR SSGA Multi-Asset Real Return
ETF |
$ 29,383,479 | $ 30,322,256 | |
|
SPDR SSGA Income Allocation
ETF |
14,474,769 | 14,676,469 | |
|
SPDR SSGA Global Allocation
ETF |
157,993,489 | 166,286,294 | |
|
SPDR SSGA Ultra Short Term Bond
ETF |
180,900,444 | 147,067,663 | |
|
SPDR Loomis Sayles Opportunistic Bond
ETF |
55,764,978 | 13,928,215 | |
|
SPDR Nuveen Municipal Bond
ETF |
14,915,022 | 22,391,334 |
For the period ended December 31,
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 |
$77,629,914 | $15,564,610 | $2,743,498 | ||
|
SPDR SSGA Income Allocation
ETF |
14,279,544 | 20,476,939 | 1,421,244 | ||
|
SPDR SSGA Global Allocation
ETF |
21,399,821 | 16,676,735 | 4,027,645 | ||
|
SPDR Nuveen Municipal Bond
ETF |
— | 6,053,012 | 5,816 |
8. 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.
9. 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 Loomis Sayles Opportunistic Bond ETF and SPDR Nuveen Municipal Bond ETF intend to qualify as a regulated investment company under Subchapter M of the Internal
Revenue Code. Each Fund will not be subject to federal income taxes to the extent it distributes its taxable income, including any net realized capital gains, for each fiscal year. Therefore, no provision for federal income tax is required.
The Funds file federal and various state and local tax returns
as required. No income tax returns are currently under examination. Generally, the federal returns are subject to examination by the Internal Revenue Service for a period of three years from date of filing, while the state returns may remain open
for an additional year depending upon jurisdiction. As of June 30, 2021,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.
57
SSGA ACTIVE
TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
December 31, 2021 (Unaudited)
As of December 31, 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 |
$191,478,699 | $ 6,811,177 | $9,172,835 | $ (2,361,658) | |||
|
SPDR SSGA Income Allocation
ETF |
123,839,325 | 2,994,385 | 2,018,272 | 976,113 | |||
|
SPDR SSGA Global Allocation
ETF |
320,032,754 | 40,917,179 | 1,489,940 | 39,427,239 | |||
|
SPDR SSGA Ultra Short Term Bond
ETF |
444,338,377 | 243,127 | 787,830 | (544,703) | |||
|
SPDR Loomis Sayles Opportunistic Bond
ETF |
45,708,877 | 235,035 | 457,138 | (222,103) | |||
|
SPDR Nuveen Municipal Bond
ETF |
38,523,559 | 124,871 | 375,064 | (250,193) |
10. Securities
Lending
Each Fund may lend securities to qualified
broker-dealers or institutional investors. The loans are secured at all times by cash, cash equivalents or U.S. government securities in an amount at least equal to the market value of the securities loaned, plus accrued interest and dividends,
determined on a daily basis and adjusted accordingly. The value of the collateral with respect to a loaned security may be temporarily more or less than the value of a security due to market fluctuations of securities values. With respect to each
loan, if on any U.S. business day the aggregate market value of securities collateral plus cash collateral is less than the aggregate market value of the securities which are subject to the loan, the borrower will be notified to provide additional
collateral on the next business day.
The Funds will
regain record ownership of loaned securities to exercise certain beneficial rights; however, the Funds may bear the risk of delay in recovery of, or even loss of rights in the securities loaned should the borrower fail financially. In addition, a
Fund will bear the risk of loss of any cash collateral that it may invest. Each Fund receives compensation for lending its securities from interest or dividends earned on the cash, cash equivalents or U.S. government securities held as collateral,
net of fee rebates paid to the borrower and net of fees paid to State Street as the lending agent. Additionally, a Fund will receive a fee from the borrower for non-cash collateral equal to a percentage of the market value of the loaned
securities.
The market value of securities on loan as of
December 31, 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 December 31, 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 |
$ 6,754,679 | $ 6,946,536 | $ — | $ 6,946,536 | ||||
|
SPDR SSGA Income Allocation ETF
|
9,182,534 | 6,980,772 | 2,425,650 | 9,406,422 | ||||
|
SPDR SSGA Global Allocation ETF
|
78,194,014 | 72,250,781 | 7,697,425 | 79,948,206 |
| * | The non-cash collateral includes U.S. Treasuries and U.S. Government Agency securities. |
58
SSGA ACTIVE
TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
December 31, 2021 (Unaudited)
The following table reflects a breakdown of transactions
accounted for as secured borrowings, the gross obligation by the type of collateral pledged or securities loaned, and the remaining contractual maturity of those transactions as of December 31, 2021:
| Remaining
Contractual Maturity of the Agreements as of December 31, 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 | $ 6,946,536 | $— | $— | $— | $ 6,946,536 | $ 6,946,536 | |||||||
|
SPDR SSGA Income Allocation
ETF |
Mutual Funds and Exchange Traded Products | 6,980,772 | — | — | — | 6,980,772 | 6,980,772 | |||||||
|
SPDR SSGA Global Allocation
ETF |
Mutual Funds and Exchange Traded Products | 72,250,781 | — | — | — | 72,250,781 | 72,250,781 | |||||||
11. 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 $1.1 billion revolving credit facility provided by a syndication of banks under which the Participants may borrow
to fund shareholder redemptions. This agreement expires in October 2022 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 1.00% plus the greater of the New York Fed Bank Rate and the one-month SOFR Rate.
Prior to October 7, 2021, the Funds had access to $200 million
of a $500 million revolving credit facility and interest was calculated at a rate per annum equal to the sum of 1.25% plus the New York Fed Bank Rate.
The Fund had no outstanding loans as of December 31,
2021.
12. 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 the U.S. and may be subject to the risks of currency fluctuations. To the extent that the Funds invest in securities of issuers located in emerging markets, these risks may be even more
pronounced.
Market 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
59
SSGA ACTIVE
TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
December 31, 2021 (Unaudited)
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.
13. 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.
14. 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.
60
SSGA ACTIVE
TRUST
OTHER INFORMATION
December 31, 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 July 1, 2021 to December 31, 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 |
Ending
Account Value |
Expenses
Paid During Period(a) | |||||
|
SPDR SSGA Multi-Asset Real Return
ETF |
0.07% | $1,054.00 | $0.36(a) | $1,024.90 | $0.36 | ||||
|
SPDR SSGA Income Allocation
ETF |
0.13 | 1,012.30 | 0.66(a) | 1,024.60 | 0.66 | ||||
|
SPDR SSGA Global Allocation
ETF |
0.17 | 1,031.80 | 0.87(a) | 1,024.30 | 0.87 | ||||
|
SPDR SSGA Ultra Short Term Bond
ETF |
0.20 | 999.00 | 1.01(a) | 1,024.20 | 1.02 | ||||
|
SPDR Loomis Sayles Opportunistic Bond
ETF |
0.55 | 1,000.00 | 1.43(b) | 1,022.40 | 2.80 | ||||
|
SPDR Nuveen Municipal Bond
ETF |
0.40 | 1,000.10 | 2.02(a) | 1,023.20 | 2.04 | ||||
| (a) | Expenses are equal to the Fund's annualized net expense ratio multiplied by the average account value of the period, multiplied by 184, then divided by 365. |
| (b) | Actual period is from commencement of operations on 9/27/2021. |
61
SSGA ACTIVE
TRUST
OTHER INFORMATION (continued)
December 31, 2021 (Unaudited)
Liquidity Risk Management Program
Pursuant to Rule 22e-4 under the 1940 Act, the Funds have
adopted a liquidity risk management program (the "Program"). The Program’s principal objectives include assessing, managing and periodically reviewing each Fund’s liquidity risk, based on factors specific to the circumstances of the
Fund. Liquidity risk is defined as the risk that a Fund could not meet redemption requests without significant dilution of remaining investors’ interests in the Fund.
SSGA FM has been designated by the Board to administer the
Funds’ Program. During the fiscal year, SSGA FM provided the Board with a report addressing the operations of the Program and assessing its adequacy and the effectiveness of the Program's implementation for the period September 2020 through
June 2021, including:
| • | the Program supported each Fund’s ability to honor redemption requests timely; |
| • | the Program supported SSGA FM’s management of each Fund’s liquidity profile, including during periods of market volatility and net redemptions; |
| • | no material liquidity issues were identified during the period; |
| • | there were no material changes to the Program during the period; |
| • | the implementation of the Program was effective to manage each Fund’s liquidity risk; and |
| • | the Program operated adequately during the period. |
There can be no assurance that the Program will achieve its
objectives in the future. Please refer to your Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other principal risks to which an investment in the Fund may be subject.
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
https://www.ssga.com/spdrs.
Quarterly Portfolio Schedule
Following the Funds’ first and third fiscal
quarter-ends, complete Schedules of Investments are filed with the SEC as exhibits on Form N-PORT, which can be found on the Funds' website at https://www.ssga.com/spdrs and on the SEC's website at www.sec.gov. The Funds’ Schedules of Investments are available upon request, without charge, by calling 1-866-787-2257 (toll free).
62
SSGA ACTIVE
TRUST
OTHER INFORMATION (continued)
December 31, 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 Loomis Sayles Opportunistic Bond ETF (the “New ETF”), which commenced operations
during the period covered by this Semi-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 the 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 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 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 ensuring
the New ETF’s compliance with its investment objective and policies and with 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, 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.
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 advisory fee rate for the New ETF did not provide for breakpoints 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.
63
SSGA ACTIVE
TRUST
OTHER INFORMATION (continued)
December 31, 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 Agreement for the New ETF. In approving the Advisory Agreement, the Board, including the
Independent Trustees voting separately, found that the terms of the Advisory Agreement are fair and reasonable and that the approval of the Advisory Agreement is in the best interests of the New 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 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 the services expected to be provided and in relation to the fees charged to comparable funds, was reasonable; (c) any additional potential benefits to the Adviser or its affiliates were not of a magnitude to materially
affect the Board’s conclusions and (d) the fees paid to the Adviser adequately shared the economies of scale with respect to the New ETF by way of the relatively low fee structure of the Trust.
Approval of Loomis Sayles & Company, L.P. 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 “Loomis Sayles Sub-Advisory Agreement”) between the Adviser and Loomis Sayles & Company, L.P. (“Loomis”), with respect to
the New ETF sub-advised by Loomis (the “New Loomis ETF”). The Independent Trustees also met separately to consider the Loomis Sub-Advisory Agreement. The Independent Trustees were advised by their independent legal counsel throughout the
process.
To evaluate the Loomis Sub-Advisory Agreement,
the Board requested, and Loomis and the Adviser provided, such materials as the Board, with the advice of counsel, deemed reasonably necessary. In deciding whether to approve the Loomis Sub-Advisory Agreement, the Board considered various factors,
including the nature, extent and quality of services provided by Loomis with respect to the New Loomis ETF under the Loomis Sub-Advisory Agreement. The Board was informed of the portion of the current advisory fee that the Adviser would pay to
Loomis under the Loomis 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 Loomis ETF.
The Board considered the background and experience of
Loomis’ senior management and, in particular, Loomis’ experience in investing in debt securities. The Board also considered the unitary fee paid to the Adviser by the New Loomis ETF and Loomis’ fees paid by the Adviser. The Board
also considered whether Loomis 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 Loomis Sub-Advisory Agreement between Loomis 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 Loomis Sub-Advisory Agreement for the New Loomis ETF. In approving the Loomis Sub-Advisory Agreement, the Board, including the Independent Trustees voting separately, found that, with respect to the New Loomis ETF, the terms
of the Loomis Sub-Advisory Agreement are fair and reasonable and in the best interests of the New Loomis 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 Loomis with respect to the New Loomis ETF were appropriate; (b) Loomis’ fees for the New Loomis ETF and the unitary fee, considered in relation to the services provided, were reasonable; (c) any additional potential
benefits to Loomis were not of a magnitude to materially affect the Board’s conclusions; and (d) the fees paid to Loomis adequately shared the economies of scale with the New Loomis ETF by way of the relatively low fee structure of the
Trust.
64
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 https://www.ssga.com/spdrs. 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 https://www.ssga.com/spdrs. Please read the prospectus carefully before you invest.
Semi-Annual Report
December 31, 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 https://www.ssga.com/spdrs. Please read the
prospectus carefully before you invest.
TABLE OF CONTENTS (Unaudited)
| Portfolio Statistics (Unaudited) | |
|
|
1 |
|
|
2 |
| Schedules of Investments (Unaudited) | |
|
|
3 |
|
|
5 |
|
|
7 |
|
|
10 |
|
|
12 |
|
|
22 |
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 https://www.ssga.com/spdrs. Please read the prospectus carefully before you invest.
SPDR SSGA Fixed Income
Sector Rotation ETF
Portfolio Statistics (Unaudited)
Top Five Holdings as of December 31,
2021
| Description | % of Net Assets | ||
| SPDR Portfolio Long Term Corporate Bond ETF | 26.0% | ||
| SPDR Portfolio Mortgage Backed Bond ETF | 25.3 | ||
| SPDR Portfolio Intermediate Term Corporate Bond ETF | 15.2 | ||
| SPDR Bloomberg Barclays 1-3 Month T-Bill ETF | 11.9 | ||
| SPDR Portfolio Intermediate Term Treasury ETF | 11.4 | ||
| TOTAL | 89.8% |
(The five largest holdings are subject to
change, and there are no guarantees the Fund will continue to remain invested in any particular company.)
Asset Allocation as of December 31,
2021
| % of Net Assets | |||
| Domestic Fixed Income | 99.8% | ||
| Short Term Investments | 4.2 | ||
| Liabilities in Excess of Other Assets | (4.0) | ||
| 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.
1
SPDR SSGA US Sector
Rotation ETF
Portfolio Statistics (Unaudited)
Top Five Holdings as of December 31,
2021
| Description | % of Net Assets | ||
| The Technology Select Sector SPDR Fund | 43.8% | ||
| The Financial Select Sector SPDR Fund | 16.5 | ||
| The Consumer Staples Select Sector SPDR Fund | 15.9 | ||
| The Materials Select Sector SPDR Fund | 12.3 | ||
| The Energy Select Sector SPDR Fund | 5.1 | ||
| TOTAL | 93.6% |
(The five largest holdings are subject to
change, and there are no guarantees the Fund will continue to remain invested in any particular company.)
Asset Allocation as of December 31,
2021
| % of Net Assets | |||
| Domestic Equity | 99.8% | ||
| Short Term Investments | 9.9 | ||
| Liabilities in Excess of Other Assets | (9.7) | ||
| 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.
2
SPDR SSGA FIXED INCOME SECTOR
ROTATION ETF
SCHEDULE OF INVESTMENTS
December 31, 2021 (Unaudited)
| Security Description | Shares | Value | ||||
| MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS — 99.8% | ||||||
| DOMESTIC FIXED INCOME — 99.8% | ||||||
|
SPDR Bloomberg Barclays 1-3 Month T-Bill ETF
(a)(b) |
151,118 | $ 13,816,719 | ||||
|
SPDR Bloomberg High Yield Bond ETF
(a) |
16,082 | 1,746,023 | ||||
|
SPDR Portfolio Intermediate Term Corporate Bond ETF
(a)(b) |
485,789 | 17,561,272 | ||||
|
SPDR Portfolio Intermediate Term Treasury ETF
(a) |
413,394 | 13,249,278 | ||||
|
SPDR Portfolio Long Term Corporate Bond ETF
(a)(b) |
956,834 | 30,121,134 | ||||
|
SPDR Portfolio Long Term Treasury ETF
(a) |
233,924 | 9,859,896 | ||||
|
SPDR Portfolio Mortgage Backed Bond ETF
(a)(b) |
1,155,794 | 29,334,052 | ||||
|
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS (Cost
$116,781,846) |
115,688,374 | |||||
| SHORT-TERM INVESTMENTS — 4.2% | ||||||
|
State Street Institutional U.S. Government Money Market Fund, Class G Shares 0.03%
(c)(d) |
273,544 | 273,544 | ||||
|
State Street Navigator Securities Lending Portfolio II
(e)(f) |
4,603,450 | 4,603,450 | ||||
|
TOTAL SHORT-TERM INVESTMENTS (Cost
$4,876,994) |
$ 4,876,994 | |||||
|
TOTAL INVESTMENTS — 104.0% (Cost
$121,658,840) |
120,565,368 | |||||
|
LIABILITIES IN EXCESS OF OTHER ASSETS —
(4.0)% |
(4,623,850) | |||||
|
NET ASSETS —
100.0% |
$ 115,941,518 | |||||
| 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 December 31, 2021 are shown in the Affiliate Table below. |
| (b) | All or a portion of the shares of the security are on loan at December 31, 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 December 31, 2021 are shown in the Affiliate Table below. |
| (d) | The rate shown is the annualized seven-day yield at December 31, 2021. |
| (e) | The Fund invested in an affiliated entity. Amounts related to these transactions during the period ended December 31, 2021 are shown in the Affiliate Table below. |
| (f) | Investment of cash collateral for securities loaned. |
See
accompanying notes to financial statements.
3
SPDR SSGA FIXED INCOME SECTOR
ROTATION ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2021 (Unaudited)
| 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 |
$ 115,688,374 | $— | $— | $ 115,688,374 | ||||
|
Short-Term
Investments |
4,876,994 | — | — | 4,876,994 | ||||
|
TOTAL
INVESTMENTS |
$120,565,368 | $— | $— | $120,565,368 |
Affiliate Table
| Number
of Shares Held at 6/30/21 |
Value
at 6/30/21 |
Cost
of Purchases |
Proceeds
from Shares Sold |
Realized
Gain (Loss) |
Change
in Unrealized Appreciation/ Depreciation |
Number
of Shares Held at 12/31/21 |
Value
at 12/31/21 |
Dividend
Income | |||||||||
|
SPDR Bloomberg Barclays 1-3 Month T-Bill
ETF |
39,726 | $ 3,633,737 | $ 14,843,882 | $ 4,655,471 | $ (1,709) | $ (3,720) | 151,118 | $ 13,816,719 | $ — | ||||||||
|
SPDR Bloomberg High Yield Bond
ETF |
— | — | 5,315,771 | 3,529,325 | (34,447) | (5,976) | 16,082 | 1,746,023 | 24,030 | ||||||||
|
SPDR Portfolio Intermediate Term Corporate Bond
ETF |
508,248 | 18,652,702 | 10,280,712 | 11,109,347 | 85,564 | (348,359) | 485,789 | 17,561,272 | 163,104 | ||||||||
|
SPDR Portfolio Intermediate Term Treasury
ETF |
292,929 | 9,485,041 | 6,451,442 | 2,567,332 | 82,847 | (202,720) | 413,394 | 13,249,278 | 39,471 | ||||||||
|
SPDR Portfolio Long Term Corporate Bond
ETF |
634,102 | 20,151,762 | 17,595,862 | 7,311,493 | 123,530 | (438,527) | 956,834 | 30,121,134 | 431,161 | ||||||||
|
SPDR Portfolio Long Term Treasury
ETF |
139,338 | 5,754,659 | 5,904,941 | 1,969,655 | 111,925 | 58,026 | 233,924 | 9,859,896 | 75,190 | ||||||||
|
SPDR Portfolio Mortgage Backed Bond
ETF |
973,311 | 25,169,822 | 14,734,512 | 10,081,895 | (158,909) | (329,478) | 1,155,794 | 29,334,052 | 381,030 | ||||||||
|
State Street Institutional U.S. Government Money Market Fund, Class G
Shares |
136,849 | 136,849 | 354,895 | 218,200 | — | — | 273,544 | 273,544 | 29 | ||||||||
|
State Street Navigator Securities Lending Portfolio
II |
24,628,973 | 24,628,973 | 769,907,169 | 789,932,692 | — | — | 4,603,450 | 4,603,450 | 117,898 | ||||||||
|
Total |
$107,613,545 | $845,389,186 | $831,375,410 | $ 208,801 | $(1,270,754) | $120,565,368 | $1,231,913 |
See accompanying notes to financial statements.
4
SPDR SSGA US SECTOR ROTATION ETF
SCHEDULE OF INVESTMENTS
December 31, 2021 (Unaudited)
| Security Description | Shares | Value | ||||
| MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS — 99.8% | ||||||
| DOMESTIC EQUITY — 99.8% | ||||||
|
The Consumer Discretionary Select Sector SPDR Fund
(a) |
14,976 | $ 3,061,693 | ||||
|
The Consumer Staples Select Sector SPDR Fund
(a)(b) |
404,888 | 31,220,914 | ||||
|
The Energy Select Sector SPDR Fund
(a) |
181,238 | 10,058,709 | ||||
|
The Financial Select Sector SPDR Fund
(a) |
831,191 | 32,458,009 | ||||
|
The Industrial Select Sector SPDR Fund
(a)(b) |
32,826 | 3,473,319 | ||||
|
The Materials Select Sector SPDR Fund
(a)(b) |
267,732 | 24,259,196 | ||||
|
The Technology Select Sector SPDR Fund
(a) |
494,749 | 86,022,009 | ||||
|
The Utilities Select Sector SPDR Fund
(a)(b) |
75,909 | 5,433,566 | ||||
|
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS (Cost
$172,391,259) |
195,987,415 | |||||
| SHORT-TERM INVESTMENTS — 9.9% | ||||||
|
State Street Institutional U.S. Government Money Market Fund, Class G Shares 0.03%
(c)(d) |
406,528 | 406,528 | ||||
|
State Street Navigator Securities Lending Portfolio II
(e)(f) |
18,914,544 | 18,914,544 | ||||
|
TOTAL SHORT-TERM INVESTMENTS (Cost
$19,321,072) |
$ 19,321,072 | |||||
|
TOTAL INVESTMENTS — 109.7% (Cost
$191,712,331) |
215,308,487 | |||||
|
LIABILITIES IN EXCESS OF OTHER ASSETS —
(9.7)% |
(19,011,846) | |||||
|
NET ASSETS —
100.0% |
$ 196,296,641 | |||||
| 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 December 31, 2021 are shown in the Affiliate Table below. |
| (b) | All or a portion of the shares of the security are on loan at December 31, 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 December 31, 2021 are shown in the Affiliate Table below. |
| (d) | The rate shown is the annualized seven-day yield at December 31, 2021. |
| (e) | The Fund invested in an affiliated entity. Amounts related to these transactions during the period ended December 31, 2021 are shown in the Affiliate Table below. |
| (f) | Investment of cash collateral for securities loaned. |
See
accompanying notes to financial statements.
5
SPDR SSGA US SECTOR ROTATION ETF
SCHEDULE OF
INVESTMENTS (continued)
December 31, 2021 (Unaudited)
| 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 |
$195,987,415 | $— | $— | $195,987,415 | ||||
|
Short-Term
Investments |
19,321,072 | — | — | 19,321,072 | ||||
|
TOTAL
INVESTMENTS |
$215,308,487 | $— | $— | $215,308,487 |
Affiliate Table
| Number
of Shares Held at 6/30/21 |
Value
at 6/30/21 |
Cost
of Purchases |
Proceeds
from Shares Sold |
Realized
Gain (Loss) |
Change
in Unrealized Appreciation/ Depreciation |
Number
of Shares Held at 12/31/21 |
Value
at 12/31/21 |
Dividend
Income | |||||||||
|
State Street Institutional U.S. Government Money Market Fund, Class G
Shares |
422,278 | $ 422,278 | $ 2,461,871 | $ 2,477,621 | $ — | $ — | 406,528 | $ 406,528 | $ 59 | ||||||||
|
State Street Navigator Securities Lending Portfolio
II |
49,478,804 | 49,478,804 | — | 30,564,260 | — | — | 18,914,544 | 18,914,544 | 19,981 | ||||||||
|
The Communication Services Select Sector SPDR
Fund |
150,287 | 12,168,738 | 44,648,705 | 54,417,963 | (1,164,934) | (1,234,546) | — | — | 78,550 | ||||||||
|
The Consumer Discretionary Select Sector SPDR
Fund |
— | — | 3,113,893 | 27,626 | (989) | (23,585) | 14,976 | 3,061,693 | 4,397 | ||||||||
|
The Consumer Staples Select Sector SPDR
Fund |
67,445 | 4,719,127 | 73,443,252 | 49,838,444 | 873,477 | 2,023,502 | 404,888 | 31,220,914 | 356,663 | ||||||||
|
The Energy Select Sector SPDR
Fund |
100,084 | 5,391,525 | 16,457,916 | 10,865,301 | (953,141) | 27,710 | 181,238 | 10,058,709 | 126,564 | ||||||||
|
The Financial Select Sector SPDR
Fund |
599,399 | 21,991,949 | 42,845,705 | 33,892,461 | 1,269,439 | 243,377 | 831,191 | 32,458,009 | 257,740 | ||||||||
|
The Health Care Select Sector SPDR
Fund |
— | — | 11,090,165 | 11,154,087 | 63,922 | — | — | — | — | ||||||||
|
The Industrial Select Sector SPDR
Fund |
274,818 | 28,141,363 | 8,220,187 | 33,173,038 | 148,689 | 136,118 | 32,826 | 3,473,319 | 12,699 | ||||||||
|
The Materials Select Sector SPDR
Fund |
351,629 | 28,942,583 | 40,609,354 | 45,840,872 | (236,425) | 784,556 | 267,732 | 24,259,196 | 185,479 | ||||||||
|
The Technology Select Sector SPDR
Fund |
492,231 | 72,682,830 | 13,308,180 | 12,923,585 | 2,830,356 | 10,124,228 | 494,749 | 86,022,009 | 301,170 | ||||||||
|
The Utilities Select Sector SPDR
Fund |
— | — | 5,150,630 | 50,618 | 2,681 | 330,873 | 75,909 | 5,433,566 | 41,610 | ||||||||
|
Total |
$223,939,197 | $261,349,858 | $285,225,876 | $ 2,833,075 | $12,412,233 | $215,308,487 | $1,384,912 |
See accompanying notes to financial statements.
6
SSGA ACTIVE TRUST
STATEMENTS OF ASSETS AND LIABILITIES
December 31, 2021 (Unaudited)
| SPDR SSGA Fixed Income Sector Rotation ETF | SPDR SSGA US Sector Rotation ETF | ||
| ASSETS | |||
|
Investments in affiliated issuers, at
value* |
$120,565,368 | $215,308,487 | |
|
Dividends receivable — affiliated
issuers |
6 | 11 | |
|
Securities lending income receivable — unaffiliated
issuers |
— | 2,084 | |
|
Securities lending income receivable — affiliated
issuers |
19,229 | 5,073 | |
|
Receivable from
Adviser |
9,564 | 12,191 | |
|
TOTAL ASSETS
|
120,594,167 | 215,327,846 | |
| LIABILITIES | |||
|
Payable upon return of securities
loaned |
4,603,450 | 18,914,544 | |
|
Advisory fee
payable |
49,192 | 116,656 | |
|
Trustees’ fees and expenses
payable |
7 | 5 | |
|
TOTAL LIABILITIES
|
4,652,649 | 19,031,205 | |
|
NET ASSETS
|
$ 115,941,518 | $196,296,641 | |
| NET ASSETS CONSIST OF: | |||
|
Paid-in
Capital |
$ 117,939,595 | $173,351,203 | |
|
Total distributable earnings
(loss) |
(1,998,077) | 22,945,438 | |
|
NET ASSETS
|
$ 115,941,518 | $196,296,641 | |
| NET ASSET VALUE PER SHARE | |||
|
Net asset value per
share |
$ 31.00 | $ 46.96 | |
|
Shares outstanding (unlimited amount authorized, no par
value) |
3,740,000 | 4,180,000 | |
| COST OF INVESTMENTS: | |||
|
Investments in affiliated
issuers |
$121,658,840 | $191,712,331 | |
|
* Includes investments in securities on loan, at
value |
$ 5,938,194 | $ 18,745,849 |
See accompanying notes to financial statements.
7
SSGA ACTIVE TRUST
STATEMENTS OF OPERATIONS
For the Period Ended December 31, 2021 (Unaudited)
| SPDR SSGA Fixed Income Sector Rotation ETF | SPDR SSGA US Sector Rotation ETF | ||
| INVESTMENT INCOME | |||
|
Dividend income — affiliated
issuers |
$ 1,114,015 | $ 1,364,931 | |
|
Unaffiliated securities lending
income |
17,347 | 8,256 | |
|
Affiliated securities lending
income |
117,898 | 19,981 | |
|
TOTAL INVESTMENT INCOME
(LOSS) |
1,249,260 | 1,393,168 | |
| EXPENSES | |||
|
Advisory
fee |
208,286 | 485,675 | |
|
Trustees’ fees and
expenses |
386 | 791 | |
|
Miscellaneous
expenses |
— | 3 | |
|
TOTAL
EXPENSES |
208,672 | 486,469 | |
|
NET INVESTMENT INCOME
(LOSS) |
$ 1,040,588 | $ 906,699 | |
| REALIZED AND UNREALIZED GAIN (LOSS) | |||
| Net realized gain (loss) on: | |||
|
Investments — affiliated
issuers |
(288,782) | (547,665) | |
|
In-kind redemptions — affiliated
issuers |
497,583 | 3,380,740 | |
|
Net realized gain
(loss) |
208,801 | 2,833,075 | |
| Net change in unrealized appreciation/depreciation on: | |||
|
Investments — affiliated
issuers |
(1,270,754) | 12,412,233 | |
|
NET REALIZED AND UNREALIZED GAIN
(LOSS) |
(1,061,953) | 15,245,308 | |
|
NET INCREASE (DECREASE) IN NET ASSETS FROM
OPERATIONS |
$ (21,365) | $16,152,007 |
See accompanying notes to financial statements.
8
SSGA ACTIVE TRUST
STATEMENTS OF CHANGES IN NET ASSETS
| SPDR SSGA Fixed Income Sector Rotation ETF | SPDR SSGA US Sector Rotation ETF | ||||||
| Six
Months Ended 12/31/21 (Unaudited) |
Year
Ended 6/30/21 |
Six
Months Ended 12/31/21 (Unaudited) |
Year
Ended 6/30/21 | ||||
| INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||||||
|
Net investment income
(loss) |
$ 1,040,588 | $ 1,180,986 | $ 906,699 | $ 950,203 | |||
|
Net realized gain
(loss) |
208,801 | 118,053 | 2,833,075 | 21,118,417 | |||
|
Net change in unrealized
appreciation/depreciation |
(1,270,754) | (1,118,319) | 12,412,233 | 7,788,064 | |||
|
Net increase (decrease) in net assets resulting from
operations |
(21,365) | 180,720 | 16,152,007 | 29,856,684 | |||
|
Net equalization credits and
charges |
(319,385) | (305,734) | (30,249) | (102,983) | |||
|
Distributions to
shareholders |
(1,046,327) | (1,399,502) | (6,066,201) | (1,087,675) | |||
| FROM BENEFICIAL INTEREST TRANSACTIONS: | |||||||
|
Proceeds from shares
sold |
60,663,938 | 55,227,077 | 30,304,477 | 131,380,293 | |||
|
Cost of shares
redeemed |
(26,628,572) | (18,048,847) | (18,489,257) | (54,370,975) | |||
|
Net income
equalization |
319,385 | 305,734 | 30,249 | 102,983 | |||
|
Net increase (decrease) in net assets from beneficial interest
transactions |
34,354,751 | 37,483,964 | 11,845,469 | 77,112,301 | |||
|
Net increase (decrease) in net assets during the
period |
32,967,674 | 35,959,448 | 21,901,026 | 105,778,327 | |||
|
Net assets at beginning of
period |
82,973,844 | 47,014,396 | 174,395,615 | 68,617,288 | |||
|
NET ASSETS AT END OF
PERIOD |
$115,941,518 | $ 82,973,844 | $196,296,641 | $174,395,615 | |||
| SHARES OF BENEFICIAL INTEREST: | |||||||
|
Shares
sold |
1,940,000 | 1,750,000 | 660,000 | 3,220,000 | |||
|
Shares
redeemed |
(850,000) | (570,000) | (410,000) | (1,380,000) | |||
|
Net increase (decrease) from share
transactions |
1,090,000 | 1,180,000 | 250,000 | 1,840,000 | |||
See accompanying notes to financial statements.
9
SSGA ACTIVE TRUST
FINANCIAL HIGHLIGHTS
Selected data for a share outstanding throughout each period
| SPDR SSGA Fixed Income Sector Rotation ETF | |||||||
| Six
Months Ended 12/31/21 (Unaudited) |
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 |
$ 31.31 | $ 31.98 | $ 31.08 | $ 30.10 | |||
| Income (loss) from investment operations: | |||||||
|
Net investment income (loss)
(a) |
0.33 | 0.63 | 0.81 | 0.15 | |||
|
Net realized and unrealized gain (loss)
(b) |
(0.21) | (0.37) | 1.31 | 0.99 | |||
|
Total from investment
operations |
0.12 | 0.26 | 2.12 | 1.14 | |||
|
Net equalization credits and charges
(a) |
(0.10) | (0.16) | (0.17) | 0.00(c) | |||
| Distributions to shareholders from: | |||||||
|
Net investment
income |
(0.33) | (0.77) | (1.05) | (0.16) | |||
|
Net asset value, end of
period |
$ 31.00 | $ 31.31 | $ 31.98 | $ 31.08 | |||
|
Total return
(d) |
0.05% | 0.29% | 6.42% | 3.81% | |||
| Ratios and Supplemental Data: | |||||||
|
Net assets, end of period (in
000s) |
$115,942 | $82,974 | $47,014 | $10,877 | |||
| Ratios to average net assets: | |||||||
|
Total expenses
(e) |
0.41%(f) | 0.39% | 0.31% | 0.31%(f) | |||
|
Net investment income
(loss) |
2.06%(f) | 1.99% | 2.57% | 1.98%(f) | |||
|
Portfolio turnover rate
(g) |
41%(h) | 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.
10
SSGA ACTIVE TRUST
FINANCIAL
HIGHLIGHTS (continued)
Selected data for a share outstanding throughout each period
| SPDR SSGA US Sector Rotation ETF | |||||||
| Six
Months Ended 12/31/21 (Unaudited) |
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 |
$ 44.38 | $ 32.83 | $ 30.73 | $ 30.09 | |||
| Income (loss) from investment operations: | |||||||
|
Net investment income (loss)
(a) |
0.22 | 0.36 | 0.57 | 0.23 | |||
|
Net realized and unrealized gain (loss)
(b) |
3.82 | 11.62 | 1.98 | 0.55 | |||
|
Total from investment
operations |
4.04 | 11.98 | 2.55 | 0.78 | |||
|
Net equalization credits and charges
(a) |
(0.01) | (0.04) | 0.03 | (0.03) | |||
| Distributions to shareholders from: | |||||||
|
Net investment
income |
(0.22) | (0.39) | (0.48) | (0.11) | |||
|
Net realized
gains |
(1.23) | — | — | — | |||
|
Total
distributions |
(1.45) | — | — | — | |||
|
Net asset value, end of
period |
$ 46.96 | $ 44.38 | $ 32.83 | $ 30.73 | |||
|
Total return
(c) |
9.11% | 36.48% | 8.52% | 2.50% | |||
| Ratios and Supplemental Data: | |||||||
|
Net assets, end of period (in
000s) |
$196,297 | $174,396 | $68,617 | $14,136 | |||
| Ratios to average net assets: | |||||||
|
Total expenses
(d) |
0.52%(e) | 0.52% | 0.49% | 0.49%(e) | |||
|
Net investment income
(loss) |
0.97%(e) | 0.89% | 1.79% | 3.12%(e) | |||
|
Portfolio turnover rate
(f) |
124%(g) | 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.
11
SSGA ACTIVE TRUST
NOTES TO FINANCIAL STATEMENTS
December 31, 2021 (Unaudited)
1. Organization
SSGA Active Trust (the “Trust”), a Massachusetts
business trust registered under the Investment Company Act of 1940, as amended (“1940 Act”), is an open-end management investment company.
As of December 31, 2021, the Trust consists of twelve (12)
series, each of which represents a separate series of beneficial interest in the Trust. The Declaration of Trust permits the Board of Trustees of the Trust (the “Board”) to authorize the issuance of an unlimited number of shares of
beneficial interest with no par value. The financial statements herein relate to the following series (each, a “Fund” and collectively, the “Funds”):
| SPDR SSGA 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 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
12
SSGA ACTIVE TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
December 31, 2021 (Unaudited)
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 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
13
SSGA ACTIVE TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
December 31, 2021 (Unaudited)
observable for the asset or liability either directly or
indirectly, including quoted prices for similar assets or liabilities in active markets, quoted prices for identical or similar assets or liabilities in markets that are not considered to be active, inputs other than quoted prices that are
observable for the asset or liability (such as exchange rates, financing terms, interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs; and
•
Level 3 – Unobservable inputs for the asset or liability, including the Committee’s assumptions used in determining the fair value of investments.
The value of each Fund’s investments, according to the
fair value hierarchy as of December 31, 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.
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.
14
SSGA ACTIVE TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
December 31, 2021 (Unaudited)
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 December 31, 2021, the net annualized advisory fee was 0.41%, and 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 the Trust’s Trustees, who are not “interested persons” of the Trust, as defined in the 1940 Act (“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.
15
SSGA ACTIVE TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
December 31, 2021 (Unaudited)
Distributor
State Street Global Advisors Funds Distributors, LLC
(“SSGA FD” or the “Distributor”), an affiliate of the Adviser, serves as the distributor of the Trust.
Other Transactions with Affiliates - 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, as amended.
Beginning on January 1, 2022 net proceeds collected by State
Street on investment of cash collateral or any fee income less rebates payable to borrowers, are paid as follows: If the calendar year to date net proceeds are below a specified threshold across SPDR ETFs, each Fund retains eighty five percent (85%)
of the net proceeds and fifteen percent (15%) of such net proceeds is payable to State Street. Starting the business day following the date that calendar year to date net proceeds exceeds a specified threshold, each Fund retains ninety percent (90%)
of the net proceeds and ten percent (10%) of such net proceeds is payable to State Street. Prior to January 1, 2022, net proceeds were 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.
Other Transactions with Affiliates
The Funds may invest in affiliated entities, including
securities issued by State Street Corporation, affiliated funds, or entities deemed to be affiliates as a result of the Funds owning more than five percent of the entity’s voting securities or outstanding shares. Amounts relating to these
transactions during the period ended December 31, 2021 are disclosed in the Schedules of Investments.
4. Trustees’ Fees
The fees and expenses of the 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.
16
SSGA ACTIVE TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
December 31, 2021 (Unaudited)
5. Investment Transactions
Purchases and sales of investments (excluding in-kind
transactions and short term investments) for the period ended December 31, 2021, were as follows:
| Purchases | Sales | ||
|
SPDR SSGA Fixed Income Sector Rotation
ETF |
$ 75,127,123 | $ 41,224,518 | |
|
SPDR SSGA US Sector Rotation
ETF |
229,952,426 | 235,072,152 |
For the period ended December 31,
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 Fixed Income Sector Rotation
ETF |
$55,019,680 | $20,985,805 | $ 497,583 | ||
|
SPDR SSGA US Sector Rotation
ETF |
28,935,561 | 17,111,844 | 3,380,740 |
6. Shareholder
Transactions
Each Fund issues and redeems its shares, at
NAV, by each Fund only in aggregations of a specified number of shares or multiples thereof (“Creation Units”). Except when aggregated in Creation Units, shares of each Fund are not redeemable. Transactions in capital shares for each
Fund are disclosed in detail in the Statements of Changes in Net Assets.
The consideration for the purchase of Creation Units of a Fund
may consist of the in-kind deposit of a designated portfolio of securities and a specified amount of cash. Investors purchasing and redeeming Creation Units may pay a purchase transaction fee and a redemption transaction fee directly to the Trust
and/or custodian, to offset transfer and other transaction costs associated with the issuance and redemption of Creation Units, including Creation Units for cash. An additional variable fee may be charged for certain transactions. Such variable
charges, if any, are included in “Other Capital” on the Statements of Changes in Net Assets.
7. Income Tax Information
The Funds have qualified and intend to continue to qualify as
regulated investment companies under Subchapter M of the Internal Revenue Code. Each Fund will not be subject to federal income taxes to the extent it distributes its taxable income, including any net realized capital gains, for each fiscal year.
Therefore, no provision for federal income tax is required.
17
SSGA ACTIVE TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
December 31, 2021 (Unaudited)
The Funds file federal and various state and local tax returns
as required. No income tax returns are currently under examination. Generally, the federal returns are subject to examination by the Internal Revenue Service for a period of three years from date of filing, while the state returns may remain open
for an additional year depending upon jurisdiction. As of June 30, 2021, 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.
As of December 31, 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 |
$121,699,100 | $ 196,810 | $1,330,542 | $ (1,133,732) | |||
|
SPDR SSGA US Sector Rotation
ETF |
191,763,842 | 23,726,985 | 182,340 | 23,544,645 |
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.
18
SSGA ACTIVE TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
December 31, 2021 (Unaudited)
The market value of securities on loan as of December 31,
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 December 31, 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 |
$ 5,938,194 | $ 4,603,450 | $ 1,470,600 | $ 6,074,050 | ||||
|
SPDR SSGA US Sector Rotation
ETF |
18,745,849 | 18,914,544 | 160,673 | 19,075,217 |
| * | 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 December 31, 2021:
| Remaining
Contractual Maturity of the Agreements as of December 31, 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 | $ 4,603,450 | $— | $— | $— | $ 4,603,450 | $ 4,603,450 | |||||||
|
SPDR SSGA US Sector Rotation
ETF |
Mutual Funds and Exchange Traded Products | 18,914,544 | — | — | — | 18,914,544 | 18,914,544 | |||||||
19
SSGA ACTIVE TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
December 31, 2021 (Unaudited)
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. 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
20
SSGA ACTIVE TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
December 31, 2021 (Unaudited)
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.
21
SSGA ACTIVE TRUST
OTHER INFORMATION
December 31, 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 July 1, 2021 to December 31, 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.
22
SSGA ACTIVE TRUST
OTHER
INFORMATION (continued)
December 31, 2021 (Unaudited)
| SPDR SSGA Fixed Income Sector Rotation ETF | SPDR SSGA US Sector Rotation ETF | ||
|
Annualized Expense
Ratio |
0.41% | 0.52% | |
| Actual: | |||
|
Ending Account
Value |
$1,000.50 | $1,091.10 | |
|
Expenses Paid During
Period |
2.07 | 2.74 | |
| Hypothetical (assuming a 5% return before expenses): | |||
|
Ending Account
Value |
1,023.10 | 1,022.60 | |
|
Expenses Paid During
Period(a) |
2.09 | 2.65 |
| (a) | Expenses are equal to the Fund's annualized net expense ratio multiplied by the average account value of the period, multiplied by 184, then divided by 365. |
23
SSGA ACTIVE TRUST
OTHER
INFORMATION (continued)
December 31, 2021 (Unaudited)
Liquidity Risk Management Program
Pursuant to Rule 22e-4 under the 1940 Act, the Funds have
adopted a liquidity risk management program (the "Program"). The Program’s principal objectives include assessing, managing and periodically reviewing each Fund’s liquidity risk, based on factors specific to the circumstances of the
Fund. Liquidity risk is defined as the risk that a Fund could not meet redemption requests without significant dilution of remaining investors’ interests in the Fund.
SSGA FM has been designated by the Board to administer the
Funds’ Program. During the fiscal year, SSGA FM provided the Board with a report addressing the operations of the Program and assessing its adequacy and the effectiveness of the Program's implementation for the period September 2020 through
June 2021, including:
| • | the Program supported each Fund’s ability to honor redemption requests timely; |
| • | the Program supported SSGA FM’s management of each Fund’s liquidity profile, including during periods of market volatility and net redemptions; |
| • | no material liquidity issues were identified during the period; |
| • | there were no material changes to the Program during the period; |
| • | the implementation of the Program was effective to manage each Fund’s liquidity risk; and |
| • | the Program operated adequately during the period. |
There can be no assurance that the Program will achieve its
objectives in the future. Please refer to your Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other principal risks to which an investment in the Fund may be subject.
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
https://www.ssga.com/spdrs.
24
SSGA ACTIVE TRUST
OTHER
INFORMATION (continued)
December 31, 2021 (Unaudited)
Quarterly Portfolio Schedule
Following the Funds’ first and third fiscal
quarter-ends, complete Schedules of Investments are filed with the SEC as exhibits on Form N-PORT, which can be found on the Funds' website at https://www.ssga.com/spdrs and on the SEC's website at www.sec.gov. The Funds’ Schedules of Investments are available upon request, without charge, by calling 1-866-787-2257 (toll free).
25
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 https://www.ssga.com/spdrs. 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 https://www.ssga.com/spdrs. Please read the prospectus carefully before you invest.
Semi-Annual Report
December 31, 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 https://www.ssga.com/spdrs. Please read the prospectus carefully before you invest.
TABLE OF CONTENTS (Unaudited)
| Management's Discussion of Fund Performance, Performance Summaries and Portfolio Statistics (Unaudited) | |
|
|
1 |
|
|
2 |
|
|
3 |
| Schedules of Investments (Unaudited) | |
|
|
5 |
|
|
14 |
|
|
41 |
|
|
110 |
|
|
117 |
|
|
120 |
|
|
131 |
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 https://www.ssga.com/spdrs. Please read the prospectus carefully before you invest.
SPDR DoubleLine Emerging
Markets Fixed Income ETF
Portfolio Statistics (Unaudited)
Top Five Holdings as of December 31,
2021
| Description | % of Net Assets | ||
| Galaxy
Pipeline Assets Bidco, Ltd. 2.16% 3/31/2034 |
2.3% | ||
| Panama
Government International Bond 3.87% 7/23/2060 |
2.1 | ||
| Minejesa
Capital B.V. 5.63% 8/10/2037 |
2.1 | ||
| TNB
Global Ventures Capital Bhd 3.24% 10/19/2026 |
2.1 | ||
| Chile
Electricity PEC SpA 0.01% 1/25/2028 |
2.1 | ||
| TOTAL | 10.7% |
(The five largest holdings are subject to
change, and there are no guarantees the Fund will continue to remain invested in any particular company.)
Portfolio Composition as of December 31,
2021
| % of Net Assets | |||
| Corporate Bonds & Notes | 64.1% | ||
| Foreign Government Obligations | 34.0 | ||
| Short-Term Investment | 1.0 | ||
| Other Assets in Excess of Liabilities | 0.9 | ||
| TOTAL | 100.0% |
(The Fund's portfolio composition is
expressed as a percentage of net assets and may change over time.)
See accompanying notes to financial statements.
1
SPDR DoubleLine Short
Duration Total Return Tactical ETF
Portfolio Statistics
(Unaudited)
Top Five Holdings as of
December 31, 2021
| Description | % of Net Assets | ||
| U.S.
Treasury Bill 0.08% 8/11/2022 |
8.9% | ||
| U.S.
Treasury Bill 0.12% 7/14/2022 |
3.3 | ||
| Federal
National Mortgage Association 2.50% 8/1/2041 |
2.8 | ||
| Federal
Home Loan Mortgage Corp. 1.50% 2/1/2036 |
2.6 | ||
| U.S.
Treasury Note 1.63% 4/30/2023 |
2.5 | ||
| TOTAL | 20.1% |
(The five largest holdings are subject to
change, and there are no guarantees the Fund will continue to remain invested in any particular company.)
Portfolio Composition as of December 31,
2021
| % of Net Assets | |||
| U.S. Government Agency Obligations | 25.3% | ||
| Corporate Bonds & Notes | 24.0 | ||
| U.S. Treasury Obligations | 16.7 | ||
| Asset-Backed Securities | 12.2 | ||
| Senior Floating Rate Loans | 7.2 | ||
| Mortgage-Backed Securities | 4.8 | ||
| Foreign Government Obligations | 2.6 | ||
| Commercial Mortgage Backed Securities | 2.3 | ||
| Short-Term Investment | 3.7 | ||
| Other Assets in Excess of Liabilities | 1.2 | ||
| 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.
2
SPDR DoubleLine Total
Return Tactical ETF
Portfolio Statistics (Unaudited)
Top Five Holdings as of December 31,
2021
| Description | % of Net Assets | ||
| Treasury
Bonds 1.88% 11/15/2051 |
4.0% | ||
| Treasury
Notes 0.50% 11/30/2023 |
3.4 | ||
| Treasury
Notes 1.50% 11/30/2028 |
3.2 | ||
| Treasury
Notes 0.13% 11/30/2022 |
3.0 | ||
| Treasury
Notes 2.25% 11/15/2025 |
2.5 | ||
| TOTAL | 16.1% |
(The five largest holdings are subject to
change, and there are no guarantees the Fund will continue to remain invested in any particular company.)
Industry Breakdown as of December 31,
2021
| % of Net Assets | |||
| U.S. Government Agency Obligations | 35.7% | ||
| U.S. Treasury Obligations | 23.5 | ||
| Mortgage-Backed Securities | 6.7 | ||
| Asset-Backed Securities | 6.3 | ||
| Commercial Mortgage Backed Securities | 5.4 | ||
| Foreign Government Obligations | 2.1 | ||
| Banks | 2.2 | ||
| Electric | 1.5 | ||
| Oil & Gas | 1.2 | ||
| Telecommunications | 1.0 | ||
| Pipelines | 0.8 | ||
| Health Care Services | 0.8 | ||
| Software | 0.8 | ||
| Diversified Financial Services | 0.7 | ||
| Insurance | 0.7 | ||
| Retail | 0.6 | ||
| Real Estate Investment Trusts | 0.6 | ||
| Commercial Services | 0.5 | ||
| Food | 0.5 | ||
| Chemicals | 0.5 | ||
| Auto Manufacturers | 0.4 | ||
| Packaging & Containers | 0.4 | ||
| Pharmaceuticals | 0.3 | ||
| Leisure Time | 0.3 | ||
| Media | 0.2 | ||
| Internet | 0.2 | ||
| Entertainment | 0.2 | ||
| Transportation | 0.2 | ||
| Mining | 0.2 | ||
| Investment Company Security | 0.2 | ||
| Beverages | 0.2 | ||
| Biotechnology | 0.2 | ||
| Electronics | 0.2 | ||
| Building Materials | 0.2 |
See accompanying notes to financial statements.
3
SPDR DoubleLine Total
Return Tactical ETF
Portfolio Statistics
(Unaudited) (continued)
| % of Net Assets | |||
| Machinery-Diversified | 0.2% | ||
| Agriculture | 0.2 | ||
| Oil & Gas Services | 0.2 | ||
| IT Services | 0.2 | ||
| Health Care Products | 0.1 | ||
| Auto Parts & Equipment | 0.1 | ||
| Aerospace & Defense | 0.1 | ||
| Lodging | 0.1 | ||
| Airlines | 0.1 | ||
| Miscellaneous Manufacturer | 0.1 | ||
| Advertising | 0.1 | ||
| Forest Products & Paper | 0.1 | ||
| Semiconductors | 0.1 | ||
| Household Products & Wares | 0.1 | ||
| Energy-Alternate Sources | 0.1 | ||
| Water | 0.1 | ||
| Computers | 0.1 | ||
| Engineering & Construction | 0.1 | ||
| Iron/Steel | 0.0* | ||
| Environmental Control | 0.0* | ||
| Home Builders | 0.0* | ||
| Construction Materials | 0.0* | ||
| Housewares | 0.0* | ||
| Distribution & Wholesale | 0.0* | ||
| Metal Fabricate & Hardware | 0.0* | ||
| Real Estate | 0.0* | ||
| Coal | 0.0* | ||
| Cosmetics/Personal Care | 0.0* | ||
| Trucking & Leasing | 0.0* | ||
| Household Products | 0.0* | ||
| Machinery, Construction & Mining | 0.0* | ||
| Home Furnishings | 0.0* | ||
| Hand & Machine Tools | 0.0* | ||
| Short-Term Investment | 2.2 | ||
| Other Assets in Excess of Liabilities | 0.1 | ||
| TOTAL | 100.0% |
| * | Amount shown represents less than 0.05% of net assets. |
(The Fund's industry breakdown is expressed
as a percentage of net assets and may change over time.)
See accompanying notes to financial statements.
4
SPDR DOUBLELINE EMERGING MARKETS
FIXED INCOME ETF
SCHEDULE OF INVESTMENTS
December 31, 2021 (Unaudited)
| Security Description | Principal
Amount |
Value | ||||
| CORPORATE BONDS & NOTES — 64.1% | ||||||
| ARGENTINA — 0.9% | ||||||
|
Banco Macro SA Series REGS, USD 5 Year Swap Rate + 5.46%, 6.75%, 11/4/2026
(a) |
$ 550,000 | $ 459,833 | ||||
|
Pampa Energia SA Series REGS, 7.50%,
1/24/2027 |
450,000 | 388,755 | ||||
| 848,588 | ||||||
| BRAZIL — 4.6% | ||||||
|
Banco do Brasil SA 10 Year CMT + 6.36%, 9.00%, 6/18/2024
(a) |
900,000 | 960,156 | ||||
|
Banco do Estado do Rio Grande do Sul SA Series REGS, 5 year CMT + 4.93%, 5.38%, 1/28/2031
(a) |
200,000 | 193,742 | ||||
|
Braskem Netherlands Finance BV 5 year CMT + 8.22%, 8.50%, 1/23/2081
(a)(b) |
400,000 | 466,188 | ||||
|
Itau Unibanco Holding SA Series REGS, 5 year CMT + 3.45%, 3.88%, 4/15/2031
(a) |
1,790,000 | 1,717,559 | ||||
|
Nexa Resources SA Series REGS, 5.38%,
5/4/2027 |
200,000 | 212,524 | ||||
|
Petrobras Global Finance B.V. 5.50%,
6/10/2051 |
1,100,000 | 1,020,734 | ||||
| 4,570,903 | ||||||
| CHILE — 6.5% | ||||||
|
Antofagasta PLC Series REGS, 2.38%,
10/14/2030 |
600,000 | 572,622 | ||||
| CAP SA: | ||||||
|
3.90%, 4/27/2031
(b) |
600,000 | 564,000 | ||||
|
3.90%,
4/27/2031 |
1,000,000 | 940,000 | ||||
|
Chile Electricity PEC SpA 0.01%, 1/25/2028
(b) |
2,500,000 | 2,032,125 | ||||
|
Empresa Electrica Angamos SA Series REGS, 4.88%,
5/25/2029 |
130,400 | 125,218 | ||||
|
Empresa Electrica Cochrane SpA Series REGS, 5.50%,
5/14/2027 |
1,426,320 | 1,429,501 | ||||
|
Engie Energia Chile SA 3.40%,
1/28/2030 |
400,000 | 404,444 | ||||
|
Guacolda Energia SA Series REGS, 4.56%,
4/30/2025 |
400,000 | 155,900 | ||||
|
Telefonica Moviles Chile SA 3.54%, 11/18/2031
(b) |
150,000 | 149,493 | ||||
| 6,373,303 | ||||||
| COLOMBIA — 4.7% | ||||||
|
AI Candelaria Spain SLU 5.75%, 6/15/2033
(b) |
500,000 | 483,585 | ||||
|
Banco Davivienda SA 10 Year CMT + 5.10%, 6.65%, 4/22/2031
(a)(b) |
400,000 | 405,372 | ||||
| Ecopetrol SA: | ||||||
|
4.63%,
11/2/2031 |
700,000 | 679,966 | ||||
|
5.88%,
5/28/2045 |
100,000 | 95,774 | ||||
|
5.88%,
11/2/2051 |
250,000 | 234,443 | ||||
| Empresas Publicas de Medellin ESP: | ||||||
|
Series REGS, 4.25%,
7/18/2029 |
1,500,000 | 1,422,825 | ||||
See accompanying notes to financial statements.
5
SPDR DOUBLELINE EMERGING MARKETS
FIXED INCOME ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2021 (Unaudited)
| Security Description | Principal
Amount |
Value | |||
|
Series REGS, 4.38%,
2/15/2031 |
$ 500,000 | $ 470,070 | |||
|
Gran Tierra Energy International Holdings, Ltd. Series REGS, 6.25%,
2/15/2025 |
600,000 | 545,940 | |||
|
Oleoducto Central SA Series REGS, 4.00%,
7/14/2027 |
300,000 | 298,902 | |||
| 4,636,877 | |||||
| INDIA — 4.2% | |||||
| Adani International Container Terminal Pvt, Ltd.: | |||||
|
3.00%, 2/16/2031
(b) |
392,000 | 377,711 | |||
|
Series REGS, 3.00%,
2/16/2031 |
980,000 | 944,912 | |||
| Adani Ports & Special Economic Zone, Ltd.: | |||||
|
3.10%,
2/2/2031 |
1,000,000 | 952,270 | |||
|
Series REGS, 4.38%,
7/3/2029 |
700,000 | 731,017 | |||
|
ONGC Videsh Vankorneft Pte, Ltd. 3.75%,
7/27/2026 |
600,000 | 628,770 | |||
|
Ultratech Cement, Ltd. 2.80%,
2/16/2031 |
200,000 | 193,328 | |||
|
Vedanta Resources, Ltd. Series REGS, 6.13%,
8/9/2024 |
400,000 | 350,292 | |||
| 4,178,300 | |||||
| INDONESIA — 3.4% | |||||
|
LLPL Capital Pte, Ltd. 6.88%, 2/4/2039
(b) |
358,680 | 408,809 | |||
| Minejesa Capital B.V.: | |||||
|
Series REGS, 4.63%,
8/10/2030 |
800,000 | 821,008 | |||
|
Series REGS, 5.63%,
8/10/2037 |
2,000,000 | 2,090,960 | |||
| 3,320,777 | |||||
| JAMAICA — 0.1% | |||||
| Digicel Group Holdings, Ltd.: | |||||
|
7.00%, 12/31/2099
(b) |
66,877 | 58,016 | |||
|
8.00%, 4/1/2025
(b) |
44,197 | 41,017 | |||
| 99,033 | |||||
| KUWAIT — 0.9% | |||||
|
Equate Petrochemical B.V. Series REGS, 2.63%,
4/28/2028 |
900,000 | 901,125 | |||
| MALAYSIA — 3.4% | |||||
| Petronas Capital, Ltd.: | |||||
|
2.48%, 1/28/2032
(b) |
400,000 | 401,268 | |||
|
Series REGS, 3.50%,
3/18/2025 |
600,000 | 636,204 | |||
|
3.50%, 4/21/2030
(b) |
200,000 | 216,448 | |||
|
TNB Global Ventures Capital Bhd Series EMTN, 3.24%,
10/19/2026 |
2,000,000 | 2,089,920 | |||
| 3,343,840 |
See accompanying notes to financial statements.
6
SPDR DOUBLELINE EMERGING MARKETS
FIXED INCOME ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2021 (Unaudited)
| Security Description | Principal
Amount |
Value | |||
| MEXICO — 2.2% | |||||
|
Banco Mercantil del Norte SA Series REGS, 10 Year CMT + 5.47%, 7.50%, 6/27/2029
(a) |
$ 800,000 | $ 851,592 | |||
|
Credito Real SAB de CV Series REGS, 5 Year CMT + 7.03%, 9.13%, 11/29/2022
(a) |
200,000 | 97,618 | |||
|
Mexarrend SAPI de CV 10.25%, 7/24/2024
(b) |
300,000 | 266,805 | |||
|
Petroleos Mexicanos 6.75%,
9/21/2047 |
550,000 | 486,640 | |||
|
Unifin Financiera SAB de CV Series REGS, 5 Year CMT + 6.31%, 8.88%, 1/29/2025
(a) |
800,000 | 471,040 | |||
| 2,173,695 | |||||
| PANAMA — 2.5% | |||||
|
Banco General SA 10 Year CMT + 3.67%, 5.25%, 5/7/2031
(a)(b) |
800,000 | 812,464 | |||
|
Banco Nacional de Panama 2.50%, 8/11/2030
(b) |
300,000 | 281,025 | |||
|
UEP Penonome II SA 6.50%, 10/1/2038
(b) |
1,346,684 | 1,416,065 | |||
| 2,509,554 | |||||
| PERU — 5.5% | |||||
|
Banco BBVA Peru SA 5 year CMT + 2.75%, 5.25%, 9/22/2029
(a) |
200,000 | 210,022 | |||
| Banco de Credito del Peru: | |||||
|
Series REGS, 5 year CMT + 3.00%, 3.13%, 7/1/2030
(a) |
800,000 | 790,976 | |||
|
5 year CMT + 3.00%, 3.13%, 7/1/2030
(a)(b) |
250,000 | 247,180 | |||
|
Banco Internacional del Peru SAA Interbank Series REGS, 3 Month USD LIBOR + 5.76%, 6.63%,
3/19/2029 |
898,000 | 946,339 | |||
|
Banco Internacional del Peru SAA Interbank Series REGS, 1 year CMT + 3.71%, 4.00%, 7/8/2030
(a) |
700,000 | 697,144 | |||
|
Fenix Power Peru SA Series REGS, 4.32%,
9/20/2027 |
909,118 | 930,064 | |||
|
Hunt Oil Co. of Peru LLC Sucursal Del Peru Series REGS, 6.38%,
6/1/2028 |
1,053,800 | 1,068,226 | |||
|
Inkia Energy, Ltd. Series REGS, 5.88%,
11/9/2027 |
300,000 | 307,464 | |||
|
Orazul Energy Egenor SCA 5.63%,
4/28/2027 |
252,000 | 242,868 | |||
| 5,440,283 | |||||
| QATAR — 1.5% | |||||
|
Qatar Energy 2.25%,
7/12/2031 |
1,500,000 | 1,485,852 | |||
| SAUDI ARABIA — 0.4% | |||||
|
SA Global Sukuk, Ltd. 2.69%, 6/17/2031
(b) |
400,000 | 402,304 | |||
| SINGAPORE — 12.8% | |||||
| DBS Group Holdings, Ltd.: | |||||
|
Series GMTN, 5 year CMT + 1.10%, 1.82%, 3/10/2031
(a) |
1,550,000 | 1,531,834 | |||
|
5 year CMT + 1.91%, 3.30%, 2/27/2025
(a) |
200,000 | 203,082 |
See accompanying notes to financial statements.
7
SPDR DOUBLELINE EMERGING MARKETS
FIXED INCOME ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2021 (Unaudited)
| Security Description | Principal
Amount |
Value | |||
| Oversea-Chinese Banking Corp., Ltd.: | |||||
|
5 year CMT + 1.58%, 1.83%, 9/10/2030
(a)(b) |
$ 500,000 | $ 496,335 | |||
|
Series REGS, 5 year CMT + 1.58%, 1.83%, 9/10/2030
(a) |
1,700,000 | 1,687,539 | |||
| PSA Treasury Pte, Ltd.: | |||||
|
Series GMTN, 2.13%,
9/5/2029 |
2,000,000 | 2,019,725 | |||
|
2.25%,
4/30/2030 |
800,000 | 816,553 | |||
|
SingTel Group Treasury Pte, Ltd. 1.88%,
6/10/2030 |
1,500,000 | 1,477,301 | |||
| Temasek Financial I Ltd.: | |||||
|
1.00%, 10/6/2030
(b) |
2,100,000 | 1,958,208 | |||
|
Series REGS, 1.00%,
10/6/2030 |
250,000 | 233,120 | |||
|
1.63%,
8/2/2031 |
250,000 | 242,750 | |||
| United Overseas Bank, Ltd.: | |||||
|
Series EMTN, USD 5 Year Swap Rate + 1.79%, 3.88%, 10/19/2023
(a) |
600,000 | 615,000 | |||
|
Series GMTN, 5 year CMT + 1.52%, 1.75%, 3/16/2031
(a) |
800,000 | 787,280 | |||
|
Series EMTN, USD 5 Year Swap Rate + 1.65%, 2.88%, 3/8/2027
(a) |
600,000 | 602,016 | |||
| 12,670,743 | |||||
| SOUTH KOREA — 6.4% | |||||
|
Korea East-West Power Co., Ltd. Series REGS, 1.75%,
5/6/2025 |
1,100,000 | 1,108,140 | |||
|
Korea Southern Power Co., Ltd. 0.75%, 1/27/2026
(b) |
1,000,000 | 966,240 | |||
| KT Corp.: | |||||
|
1.00%,
9/1/2025 |
400,000 | 392,092 | |||
|
Series REGS, 2.50%,
7/18/2026 |
800,000 | 826,640 | |||
|
LG Chem, Ltd. 2.38%, 7/7/2031
(b) |
200,000 | 196,844 | |||
|
NongHyup Bank 1.25%, 7/20/2025
(b) |
600,000 | 594,252 | |||
| POSCO: | |||||
|
Series REGS, 2.38%,
1/17/2023 |
600,000 | 607,584 | |||
|
Series REGS, 2.75%,
7/15/2024 |
400,000 | 412,944 | |||
|
Shinhan Financial Group Co., Ltd. 5 year CMT + 2.06%, 2.88%, 5/12/2026
(a)(b) |
550,000 | 542,107 | |||
|
Woori Bank Series REGS, 5 year CMT + 2.66%, 4.25%, 10/4/2024
(a) |
600,000 | 622,014 | |||
| 6,268,857 | |||||
| THAILAND — 1.3% | |||||
|
Bangkok Bank PCL 5 Year CMT + 4.72%, 5.00%,
12/31/2099 |
400,000 | 414,188 | |||
|
Kasikornbank PCL Series EMTN, 5 year CMT + 4.94%, 5.28%, 10/14/2025
(a) |
600,000 | 628,500 | |||
|
PTTEP Treasury Center Co., Ltd. 2.59%, 6/10/2027
(b) |
200,000 | 204,130 | |||
| 1,246,818 |
See accompanying notes to financial statements.
8
SPDR DOUBLELINE EMERGING MARKETS
FIXED INCOME ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2021 (Unaudited)
| Security Description | Principal
Amount |
Value | ||||
| UNITED ARAB EMIRATES — 2.8% | ||||||
| Galaxy Pipeline Assets Bidco, Ltd.: | ||||||
|
2.16%, 3/31/2034
(b) |
$ 2,300,000 | $ 2,257,634 | ||||
|
Series REGS, 2.63%,
3/31/2036 |
500,000 | 488,496 | ||||
| 2,746,130 | ||||||
|
TOTAL CORPORATE BONDS & NOTES (Cost
$64,263,098) |
63,216,982 | |||||
| FOREIGN GOVERNMENT OBLIGATIONS — 34.0% | ||||||
| BRAZIL — 2.0% | ||||||
| Brazilian Government International Bond: | ||||||
|
3.75%,
9/12/2031 |
900,000 | 847,692 | ||||
|
5.00%,
1/27/2045 |
300,000 | 281,490 | ||||
|
5.63%,
2/21/2047 |
900,000 | 897,867 | ||||
| 2,027,049 | ||||||
| CHILE — 2.7% | ||||||
| Chile Government International Bond: | ||||||
|
2.55%,
1/27/2032 |
600,000 | 598,770 | ||||
|
2.55%,
7/27/2033 |
600,000 | 584,154 | ||||
|
3.10%,
5/7/2041 |
600,000 | 589,500 | ||||
|
3.10%,
1/22/2061 |
200,000 | 186,268 | ||||
|
3.50%,
1/25/2050 |
700,000 | 729,526 | ||||
| 2,688,218 | ||||||
| COLOMBIA — 3.0% | ||||||
| Colombia Government International Bond: | ||||||
|
3.13%,
4/15/2031 |
500,000 | 450,660 | ||||
|
3.25%,
4/22/2032 |
1,200,000 | 1,080,864 | ||||
|
4.13%,
5/15/2051 |
950,000 | 773,499 | ||||
|
5.00%,
6/15/2045 |
700,000 | 631,638 | ||||
| 2,936,661 | ||||||
| DOMINICAN REPUBLIC — 2.0% | ||||||
|
Dominican Republic International Bond Series 144A, 4.88%, 9/23/2032
(b) |
1,900,000 | 1,936,632 | ||||
| INDONESIA — 4.4% | ||||||
| Indonesia Government International Bond: | ||||||
|
3.70%,
10/30/2049 |
1,600,000 | 1,700,112 | ||||
|
4.35%,
1/11/2048 |
500,000 | 576,860 | ||||
| Perusahaan Penerbit SBSN Indonesia III: | ||||||
|
2.55%, 6/9/2031
(b) |
1,700,000 | 1,726,146 | ||||
See accompanying notes to financial statements.
9
SPDR DOUBLELINE EMERGING MARKETS
FIXED INCOME ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2021 (Unaudited)
| Security Description | Principal
Amount |
Value | |||
|
Series REGS, 3.80%,
6/23/2050 |
$ 300,000 | $ 315,759 | |||
| 4,318,877 | |||||
| MALAYSIA — 1.9% | |||||
|
Malaysia Sovereign Sukuk Bhd Series REGS, 3.04%,
4/22/2025 |
800,000 | 840,120 | |||
|
Malaysia Sukuk Global Bhd Series REGS, 3.18%,
4/27/2026 |
250,000 | 266,757 | |||
| Malaysia Wakala Sukuk Bhd: | |||||
|
2.07%, 4/28/2031
(b) |
250,000 | 249,903 | |||
|
Series REGS, 2.07%,
4/28/2031 |
500,000 | 499,805 | |||
| 1,856,585 | |||||
| MEXICO — 5.0% | |||||
| Mexico Government International Bond: | |||||
|
2.66%,
5/24/2031 |
1,600,000 | 1,561,504 | |||
|
4.28%,
8/14/2041 |
1,600,000 | 1,662,608 | |||
|
4.35%,
1/15/2047 |
300,000 | 312,243 | |||
|
4.50%,
1/31/2050 |
500,000 | 531,665 | |||
|
4.60%,
2/10/2048 |
800,000 | 855,544 | |||
| 4,923,564 | |||||
| PANAMA — 3.1% | |||||
| Panama Government International Bond: | |||||
|
2.25%,
9/29/2032 |
300,000 | 285,609 | |||
|
3.87%,
7/23/2060 |
2,100,000 | 2,100,567 | |||
|
4.30%,
4/29/2053 |
600,000 | 647,472 | |||
| 3,033,648 | |||||
| PHILIPPINES — 3.1% | |||||
| Philippine Government International Bond: | |||||
|
2.46%,
5/5/2030 |
400,000 | 412,864 | |||
|
2.65%,
12/10/2045 |
500,000 | 476,075 | |||
|
3.70%,
3/1/2041 |
1,000,000 | 1,097,070 | |||
|
3.70%,
2/2/2042 |
1,000,000 | 1,097,300 | |||
| 3,083,309 | |||||
| SAUDI ARABIA — 3.7% | |||||
| Saudi Government International Bond: | |||||
|
Series REGS, 2.25%,
2/2/2033 |
2,000,000 | 1,949,520 | |||
|
Series REGS, 3.45%,
2/2/2061 |
1,500,000 | 1,513,410 | |||
|
Series REGS, 3.75%,
1/21/2055 |
200,000 | 214,412 | |||
| 3,677,342 |
See accompanying notes to financial statements.
10
SPDR DOUBLELINE EMERGING MARKETS
FIXED INCOME ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2021 (Unaudited)
| Security Description | Principal
Amount |
Value | |||
| SOUTH KOREA — 1.5% | |||||
| Korea Development Bank: | |||||
|
1.00%,
9/9/2026 |
$ 200,000 | $ 195,650 | |||
|
1.63%,
1/19/2031 |
500,000 | 490,600 | |||
| Korea Electric Power Corp.: | |||||
|
Series 144A, 1.13%, 6/15/2025
(b) |
400,000 | 395,628 | |||
|
Series REGS, 1.13%,
6/15/2025 |
200,000 | 197,814 | |||
|
Korea Hydro & Nuclear Power Co., Ltd. Series 144A, 1.25%, 4/27/2026
(b) |
200,000 | 196,486 | |||
| 1,476,178 | |||||
| UNITED ARAB EMIRATES — 1.6% | |||||
| Abu Dhabi Government International Bond: | |||||
|
Series REGS, 1.70%,
3/2/2031 |
800,000 | 777,600 | |||
|
Series 144A, 3.13%, 4/16/2030
(b) |
400,000 | 433,600 | |||
|
Series REGS, 3.13%,
9/30/2049 |
400,000 | 408,170 | |||
| 1,619,370 | |||||
|
TOTAL FOREIGN GOVERNMENT OBLIGATIONS (Cost
$33,643,624) |
33,577,433 |
| Shares | |||
| SHORT-TERM INVESTMENT — 1.0% | |||
|
State Street Institutional U.S. Government Money Market Fund, Class G Shares 0.03% (c) (d) (Cost
$968,249) |
968,249 | 968,249 | |
|
TOTAL INVESTMENTS — 99.1% (Cost
$98,874,971) |
97,762,664 | ||
|
OTHER ASSETS IN EXCESS OF LIABILITIES — 0.9%
|
913,073 | ||
|
NET ASSETS — 100.0%
|
$ 98,675,737 | ||
| (a) | Variable Rate Security - Interest rate shown is rate in effect at December 31, 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 21.5% of net assets as of December 31, 2021, are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
| (c) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2021 are shown in the Affiliate Table below. |
| (d) | The rate shown is the annualized seven-day yield at December 31, 2021. |
See
accompanying notes to financial statements.
11
SPDR DOUBLELINE EMERGING MARKETS
FIXED INCOME ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2021 (Unaudited)
| 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 December 31, 2021.
| Description | Level
1 – Quoted Prices |
Level
2 – Other Significant Observable Inputs |
Level
3 – Significant Unobservable Inputs |
Total | ||||
| ASSETS: | ||||||||
| INVESTMENTS: | ||||||||
|
Corporate Bonds &
Notes |
$ — | $63,216,982 | $— | $63,216,982 | ||||
|
Foreign Government
Obligations |
— | 33,577,433 | — | 33,577,433 | ||||
|
Short-Term
Investment |
968,249 | — | — | 968,249 | ||||
|
TOTAL
INVESTMENTS |
$968,249 | $96,794,415 | $— | $97,762,664 |
Industry Breakdown as of December 31,
2021
| % of Net Assets | ||
| Foreign Government Obligations | 34.0% | |
| Banks | 17.6 | |
| Electric | 14.1 | |
| Oil & Gas | 8.2 | |
| Commercial Services | 6.0 | |
| Pipelines | 3.6 | |
| Telecommunications | 3.0 | |
| Energy-Alternate Sources | 2.8 | |
| Iron/Steel | 2.6 | |
| Investment Company Security | 2.4 | |
| Chemicals | 1.6 | |
| Mining | 1.1 | |
| Diversified Financial Services | 0.9 | |
| Building Materials | 0.2 | |
| Short-Term Investment | 1.0 | |
| Other Assets in Excess of Liabilities | 0.9 | |
| TOTAL | 100.0% |
(The Fund's industry breakdown is
expressed as a percentage of net assets and may change over time.)
See accompanying notes to financial statements.
12
SPDR DOUBLELINE EMERGING MARKETS
FIXED INCOME ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2021 (Unaudited)
Affiliate
Table
| Number
of Shares Held at 6/30/21 |
Value
at 6/30/21 |
Cost
of Purchases |
Proceeds
from Shares Sold |
Realized
Gain (Loss) |
Change
in Unrealized Appreciation/ Depreciation |
Number
of Shares Held at 12/31/21 |
Value
at 12/31/21 |
Dividend
Income | |||||||||
|
State Street Institutional U.S. Government Money Market Fund, Class G
Shares |
2,549,386 | $2,549,386 | $18,511,387 | $20,092,524 | $— | $— | 968,249 | $968,249 | $167 |
See accompanying notes to financial statements.
13
SPDR DOUBLELINE SHORT DURATION
TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS
December 31, 2021 (Unaudited)
| Security Description | Principal
Amount |
Value | ||||
| CORPORATE BONDS & NOTES — 24.0% | ||||||
| ADVERTISING — 0.3% | ||||||
|
Omnicom Group, Inc./Omnicom Capital, Inc. 3.65%,
11/1/2024 |
$ 425,000 | $ 450,334 | ||||
| AEROSPACE & DEFENSE — 0.3% | ||||||
|
Boeing Co. 4.51%,
5/1/2023 |
430,000 | 448,585 | ||||
| TransDigm, Inc.: | ||||||
|
5.50%,
11/15/2027 |
40,000 | 41,224 | ||||
|
6.25%, 3/15/2026
(a) |
65,000 | 67,543 | ||||
| 557,352 | ||||||
| AGRICULTURE — 0.3% | ||||||
|
BAT International Finance PLC 1.67%,
3/25/2026 |
455,000 | 447,165 | ||||
| AIRLINES — 0.4% | ||||||
|
American Airlines, Inc./AAdvantage Loyalty IP, Ltd. 5.75%, 4/20/2029
(a) |
140,000 | 149,719 | ||||
|
Southwest Airlines Co. 4.75%,
5/4/2023 |
430,000 | 450,464 | ||||
|
United Airlines, Inc. 4.63%, 4/15/2029
(a) |
115,000 | 119,273 | ||||
| 719,456 | ||||||
| AUTO MANUFACTURERS — 0.7% | ||||||
|
Ford Motor Co. 3.25%,
2/12/2032 |
80,000 | 81,900 | ||||
|
General Motors Financial Co., Inc. 5.25%,
3/1/2026 |
395,000 | 443,024 | ||||
| Hyundai Capital America: | ||||||
|
1.00%, 9/17/2024
(a) |
100,000 | 98,419 | ||||
|
2.85%, 11/1/2022
(a) |
365,000 | 370,300 | ||||
|
Nissan Motor Acceptance Co. LLC 1.13%, 9/16/2024
(a) |
130,000 | 127,917 | ||||
| 1,121,560 | ||||||
| AUTO PARTS & EQUIPMENT — 0.1% | ||||||
|
American Axle & Manufacturing, Inc. 5.00%,
10/1/2029 |
75,000 | 73,616 | ||||
See accompanying notes to financial statements.
14
SPDR DOUBLELINE SHORT DURATION
TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2021 (Unaudited)
| Security Description | Principal
Amount |
Value | ||||
|
Goodyear Tire & Rubber Co. 5.25%, 7/15/2031
(a) |
$ 110,000 | $ 119,508 | ||||
| 193,124 | ||||||
| BANKS — 4.3% | ||||||
|
Banco Bilbao Vizcaya Argentaria Colombia SA Series REGS, 4.88%,
4/21/2025 |
200,000 | 206,948 | ||||
|
Banco de Credito del Peru Series REGS, 5 year CMT + 3.00%, 3.13%, 7/1/2030
(b) |
400,000 | 395,488 | ||||
|
Banco do Brasil SA 3.25%, 9/30/2026
(a) |
200,000 | 194,968 | ||||
|
Banco Internacional del Peru SAA Interbank Series REGS, 3 Month USD LIBOR + 5.76%, 6.63%,
3/19/2029 |
100,000 | 105,383 | ||||
|
Bancolombia SA 5 Year CMT + 2.93%, 4.88%, 10/18/2027
(b) |
200,000 | 200,384 | ||||
| Bank of America Corp.: | ||||||
|
SOFR + 0.69%, 0.74%, 4/22/2025
(b) |
165,000 | 165,718 | ||||
|
Series MTN, 3 Month USD LIBOR + 0.79%, 0.97%, 3/5/2024
(b) |
285,000 | 286,445 | ||||
|
Bank of Nova Scotia 0.65%,
7/31/2024 |
330,000 | 325,505 | ||||
|
Canadian Imperial Bank of Commerce 0.45%,
6/22/2023 |
340,000 | 337,668 | ||||
| Citigroup, Inc.: | ||||||
|
3 Month USD LIBOR + 1.02%, 1.19%, 6/1/2024
(b) |
285,000 | 287,491 | ||||
|
SOFR + 0.53%, 1.28%, 11/3/2025
(b) |
155,000 | 154,673 | ||||
|
DBS Group Holdings, Ltd. Series GMTN, 5 year CMT + 1.10%, 1.82%, 3/10/2031
(b) |
200,000 | 197,656 | ||||
|
Goldman Sachs Group, Inc. 3.50%,
4/1/2025 |
415,000 | 439,236 | ||||
|
Itau Unibanco Holding SA Series REGS, 5 year CMT + 3.45%, 3.88%, 4/15/2031
(b) |
200,000 | 191,906 | ||||
| JPMorgan Chase & Co.: | ||||||
|
3.90%,
7/15/2025 |
305,000 | 330,022 | ||||
|
3 Month USD LIBOR + 0.70%, 3.21%, 4/1/2023
(b) |
100,000 | 100,593 | ||||
|
Macquarie Group, Ltd. 3 Month USD LIBOR + 1.33%, 4.15%, 3/27/2024
(a)
(b) |
430,000 | 445,510 | ||||
|
Morgan Stanley Series MTN, SOFR + 0.46%, 0.53%, 1/25/2024
(b) |
445,000 | 443,487 | ||||
|
NongHyup Bank 1.25%, 7/20/2025
(a) |
200,000 | 198,084 | ||||
See accompanying notes to financial statements.
15
SPDR DOUBLELINE SHORT DURATION
TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2021 (Unaudited)
| Security Description | Principal
Amount |
Value | ||||
|
Oversea-Chinese Banking Corp., Ltd. Series REGS, 5 year CMT + 1.58%, 1.83%, 9/10/2030
(b) |
$ 250,000 | $ 248,168 | ||||
|
Royal Bank of Canada SOFR + 0.53%, 0.57%, 1/20/2026
(b) |
450,000 | 449,325 | ||||
|
Scotiabank Peru SAA Series REGS, 3 Month USD LIBOR + 3.86%, 4.50%, 12/13/2027
(b) |
50,000 | 51,036 | ||||
|
Toronto-Dominion Bank Series MTN, 0.70%,
9/10/2024 |
450,000 | 444,622 | ||||
|
United Overseas Bank, Ltd. Series GMTN, 5 year CMT + 1.52%, 1.75%, 3/16/2031
(b) |
250,000 | 246,025 | ||||
|
Wells Fargo & Co. Series MTN, SOFR + 1.60%, 1.65%, 6/2/2024
(b) |
440,000 | 443,692 | ||||
| 6,890,033 | ||||||
| BEVERAGES — 0.3% | ||||||
|
Keurig Dr Pepper, Inc. 0.75%,
3/15/2024 |
445,000 | 441,925 | ||||
|
Triton Water Holdings, Inc. 6.25%, 4/1/2029
(a) |
35,000 | 33,837 | ||||
| 475,762 | ||||||
| BIOTECHNOLOGY — 0.3% | ||||||
|
Royalty Pharma PLC 0.75%,
9/2/2023 |
440,000 | 437,171 | ||||
| BUILDING MATERIALS — 0.3% | ||||||
|
Carrier Global Corp. 2.24%,
2/15/2025 |
445,000 | 455,916 | ||||
|
Griffon Corp. 5.75%,
3/1/2028 |
85,000 | 88,413 | ||||
| 544,329 | ||||||
| CHEMICALS — 0.2% | ||||||
|
CVR Partners L.P./CVR Nitrogen Finance Corp. 6.13%, 6/15/2028
(a) |
50,000 | 52,848 | ||||
|
EverArc Escrow S.a.r.l. 5.00%, 10/30/2029
(a) |
85,000 | 85,074 | ||||
|
Illuminate Buyer LLC/Illuminate Holdings IV, Inc. 9.00%, 7/1/2028
(a) |
100,000 | 106,547 | ||||
|
WR Grace Holdings LLC 5.63%, 8/15/2029
(a) |
130,000 | 133,550 | ||||
| 378,019 | ||||||
See accompanying notes to financial statements.
16
SPDR DOUBLELINE SHORT DURATION
TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2021 (Unaudited)
| Security Description | Principal
Amount |
Value | ||||
| COAL — 0.1% | ||||||
|
Peabody Energy Corp. 8.50%, 12/31/2024
(a) |
$ 13,136 | $ 12,617 | ||||
|
SunCoke Energy, Inc. 4.88%, 6/30/2029
(a) |
100,000 | 99,573 | ||||
| 112,190 | ||||||
| COMMERCIAL SERVICES — 0.8% | ||||||
| Allied Universal Holdco LLC/Allied Universal Finance Corp.: | ||||||
|
6.63%, 7/15/2026
(a) |
35,000 | 36,711 | ||||
|
9.75%, 7/15/2027
(a) |
95,000 | 101,551 | ||||
|
Garda World Security Corp. 6.00%, 6/1/2029
(a) |
65,000 | 62,524 | ||||
|
HPHT Finance 19, Ltd. 2.88%,
11/5/2024 |
200,000 | 206,646 | ||||
|
Metis Merger Sub LLC 6.50%, 5/15/2029
(a) |
100,000 | 97,986 | ||||
|
PSA Treasury Pte, Ltd. Class GMTN, 2.50%,
4/12/2026 |
200,000 | 207,082 | ||||
|
Triton Container International, Ltd. 0.80%, 8/1/2023
(a) |
445,000 | 441,307 | ||||
|
WASH Multifamily Acquisition, Inc. 5.75%, 4/15/2026
(a) |
125,000 | 131,336 | ||||
| 1,285,143 | ||||||
| COSMETICS/PERSONAL CARE — 0.0% (c) | ||||||
|
Coty, Inc. 5.00%, 4/15/2026
(a) |
40,000 | 41,220 | ||||
| DIVERSIFIED FINANCIAL SERVICES — 0.8% | ||||||
| Avolon Holdings Funding, Ltd.: | ||||||
|
3.63%, 5/1/2022
(a) |
120,000 | 120,864 | ||||
|
5.13%, 10/1/2023
(a) |
300,000 | 316,539 | ||||
| Capital One Financial Corp.: | ||||||
|
3.20%,
1/30/2023 |
5,000 | 5,123 | ||||
|
3.90%,
1/29/2024 |
410,000 | 431,873 | ||||
|
Global Aircraft Leasing Co., Ltd. 6.50%, 9/15/2024
(a) |
53,690 | 51,860 | ||||
|
Nationstar Mortgage Holdings, Inc. 5.75%, 11/15/2031
(a) |
130,000 | 129,857 | ||||
|
Navient Corp. 5.00%,
3/15/2027 |
25,000 | 25,489 | ||||
See accompanying notes to financial statements.
17
SPDR DOUBLELINE SHORT DURATION
TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2021 (Unaudited)
| Security Description | Principal
Amount |
Value | ||||
|
NFP Corp. 6.88%, 8/15/2028
(a) |
$ 35,000 | $ 35,137 | ||||
|
OneMain Finance Corp. 5.38%,
11/15/2029 |
75,000 | 81,553 | ||||
|
PennyMac Financial Services, Inc. 4.25%, 2/15/2029
(a) |
110,000 | 105,633 | ||||
| 1,303,928 | ||||||
| ELECTRIC — 2.4% | ||||||
|
Calpine Corp. 4.63%, 2/1/2029
(a) |
130,000 | 128,882 | ||||
|
Chile Electricity PEC SpA 0.01%, 1/25/2028
(a) |
200,000 | 162,570 | ||||
| DTE Energy Co.: | ||||||
|
Series C, 2.53%,
10/1/2024 |
30,000 | 30,926 | ||||
|
Series F, 1.05%,
6/1/2025 |
425,000 | 417,091 | ||||
|
Empresa Electrica Angamos SA Series REGS, 4.88%,
5/25/2029 |
130,400 | 125,218 | ||||
|
Entergy Louisiana LLC 0.95%,
10/1/2024 |
450,000 | 446,355 | ||||
|
Fenix Power Peru SA Series REGS, 4.32%,
9/20/2027 |
330,588 | 338,205 | ||||
|
Guacolda Energia SA Series REGS, 4.56%,
4/30/2025 |
200,000 | 77,950 | ||||
|
Inkia Energy, Ltd. Series REGS, 5.88%,
11/9/2027 |
250,000 | 256,220 | ||||
|
Minejesa Capital B.V. Series REGS, 4.63%,
8/10/2030 |
400,000 | 410,504 | ||||
|
NRG Energy, Inc. 3.63%, 2/15/2031
(a) |
130,000 | 127,341 | ||||
|
Pacific Gas & Electric Co. 1.75%,
6/16/2022 |
445,000 | 444,693 | ||||
|
Pike Corp. 5.50%, 9/1/2028
(a) |
120,000 | 120,394 | ||||
|
Southern California Edison Co. SOFR + 0.83%, 0.88%, 4/1/2024
(b) |
515,000 | 514,531 | ||||
|
TNB Global Ventures Capital Bhd Series EMTN, 3.24%,
10/19/2026 |
300,000 | 313,488 | ||||
| 3,914,368 | ||||||
| ENTERTAINMENT — 0.3% | ||||||
|
Boyne USA, Inc. 4.75%, 5/15/2029
(a) |
150,000 | 155,322 | ||||
See accompanying notes to financial statements.
18
SPDR DOUBLELINE SHORT DURATION
TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2021 (Unaudited)
| Security Description | Principal
Amount |
Value | ||||
|
Caesars Entertainment, Inc. 4.63%, 10/15/2029
(a) |
$ 50,000 | $ 50,284 | ||||
|
Cedar Fair L.P. 5.25%,
7/15/2029 |
100,000 | 103,083 | ||||
|
Lions Gate Capital Holdings LLC 5.50%, 4/15/2029
(a) |
45,000 | 45,988 | ||||
|
Midwest Gaming Borrower LLC/Midwest Gaming Finance Corp. 4.88%, 5/1/2029
(a) |
60,000 | 60,890 | ||||
| Premier Entertainment Sub LLC/Premier Entertainment Finance Corp.: | ||||||
|
5.63%, 9/1/2029
(a) |
80,000 | 79,472 | ||||
|
5.88%, 9/1/2031
(a) |
65,000 | 65,284 | ||||
| 560,323 | ||||||
| ENVIRONMENTAL CONTROL — 0.3% | ||||||
| Madison IAQ LLC: | ||||||
|
4.13%, 6/30/2028
(a) |
45,000 | 45,237 | ||||
|
5.88%, 6/30/2029
(a) |
40,000 | 40,004 | ||||
|
Republic Services, Inc. 2.50%,
8/15/2024 |
440,000 | 452,839 | ||||
| 538,080 | ||||||
| FOOD — 0.5% | ||||||
|
Conagra Brands, Inc. 4.30%,
5/1/2024 |
422,000 | 449,493 | ||||
| Performance Food Group, Inc.: | ||||||
|
4.25%, 8/1/2029
(a) |
40,000 | 39,684 | ||||
|
5.50%, 10/15/2027
(a) |
45,000 | 46,986 | ||||
|
Post Holdings, Inc. 4.63%, 4/15/2030
(a) |
125,000 | 126,864 | ||||
|
US Foods, Inc. 4.63%, 6/1/2030
(a) |
100,000 | 101,225 | ||||
| 764,252 | ||||||
| FOREST PRODUCTS & PAPER — 0.1% | ||||||
|
Glatfelter Corp. 4.75%, 11/15/2029
(a) |
100,000 | 103,351 | ||||
| GAS — 0.1% | ||||||
|
Atmos Energy Corp. 0.63%,
3/9/2023 |
245,000 | 244,358 | ||||
See accompanying notes to financial statements.
19
SPDR DOUBLELINE SHORT DURATION
TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2021 (Unaudited)
| Security Description | Principal
Amount |
Value | ||||
| HEALTH CARE PRODUCTS — 0.6% | ||||||
|
Mozart Debt Merger Sub, Inc. 5.25%, 10/1/2029
(a) |
$ 70,000 | $ 71,090 | ||||
|
Thermo Fisher Scientific, Inc. 0.80%,
10/18/2023 |
435,000 | 433,595 | ||||
|
Zimmer Biomet Holdings, Inc. 1.45%,
11/22/2024 |
450,000 | 449,032 | ||||
| 953,717 | ||||||
| HEALTH CARE SERVICES — 1.0% | ||||||
|
Anthem, Inc. 3.50%,
8/15/2024 |
415,000 | 438,286 | ||||
|
Centene Corp. 2.50%,
3/1/2031 |
130,000 | 126,546 | ||||
| CHS/Community Health Systems, Inc.: | ||||||
|
6.00%, 1/15/2029
(a) |
55,000 | 58,911 | ||||
|
6.88%, 4/15/2029
(a) |
75,000 | 76,593 | ||||
|
HCA, Inc. 5.00%,
3/15/2024 |
415,000 | 446,457 | ||||
|
Legacy LifePoint Health LLC 4.38%, 2/15/2027
(a) |
40,000 | 40,457 | ||||
|
Radiology Partners, Inc. 9.25%, 2/1/2028
(a) |
95,000 | 99,808 | ||||
|
Tenet Healthcare Corp. 6.13%, 10/1/2028
(a) |
70,000 | 73,963 | ||||
|
UnitedHealth Group, Inc. 0.55%,
5/15/2024 |
245,000 | 243,030 | ||||
| 1,604,051 | ||||||
| HOME BUILDERS — 0.1% | ||||||
|
Mattamy Group Corp. 4.63%, 3/1/2030
(a) |
105,000 | 106,970 | ||||
| HOUSEHOLD PRODUCTS & WARES — 0.1% | ||||||
| Kronos Acquisition Holdings, Inc./KIK Custom Products, Inc.: | ||||||
|
5.00%, 12/31/2026
(a) |
55,000 | 54,294 | ||||
|
7.00%, 12/31/2027
(a) |
35,000 | 33,263 | ||||
| 87,557 | ||||||
| HOUSEWARES — 0.0% (c) | ||||||
|
SWF Escrow Issuer Corp. 6.50%, 10/1/2029
(a) |
85,000 | 81,643 | ||||
See accompanying notes to financial statements.
20
SPDR DOUBLELINE SHORT DURATION
TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2021 (Unaudited)
| Security Description | Principal
Amount |
Value | ||||
| INSURANCE — 0.9% | ||||||
|
Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer 6.75%, 10/15/2027
(a) |
$ 85,000 | $ 88,187 | ||||
|
AmWINS Group, Inc. 4.88%, 6/30/2029
(a) |
115,000 | 116,367 | ||||
|
Athene Global Funding SOFR + 0.70%, 0.75%, 5/24/2024
(a)
(b) |
460,000 | 460,736 | ||||
|
Brighthouse Financial Global Funding 0.60%, 6/28/2023
(a) |
175,000 | 174,120 | ||||
|
Grupo de Inversiones Suramericana SA 5.50%,
4/29/2026 |
200,000 | 212,432 | ||||
|
GTCR AP Finance, Inc. 8.00%, 5/15/2027
(a) |
40,000 | 41,454 | ||||
|
Marsh & McLennan Cos., Inc. 3.88%,
3/15/2024 |
415,000 | 439,203 | ||||
| 1,532,499 | ||||||
| INTERNET — 0.3% | ||||||
|
Expedia Group, Inc. 6.25%, 5/1/2025
(a) |
405,000 | 457,119 | ||||
|
Uber Technologies, Inc. 4.50%, 8/15/2029
(a) |
90,000 | 91,868 | ||||
| 548,987 | ||||||
| INVESTMENT COMPANY SECURITY — 0.0% (c) | ||||||
|
Icahn Enterprises L.P./Icahn Enterprises Finance Corp. 5.25%,
5/15/2027 |
35,000 | 35,980 | ||||
| LEISURE TIME — 0.3% | ||||||
|
Carnival Corp. 5.75%, 3/1/2027
(a) |
245,000 | 244,939 | ||||
|
Viking Cruises, Ltd. 5.88%, 9/15/2027
(a) |
205,000 | 195,037 | ||||
| 439,976 | ||||||
| LODGING — 0.5% | ||||||
|
Hyatt Hotels Corp. 1.30%,
10/1/2023 |
385,000 | 385,189 | ||||
|
Marriott International, Inc. 3.60%,
4/15/2024 |
430,000 | 450,326 | ||||
| 835,515 | ||||||
See accompanying notes to financial statements.
21
SPDR DOUBLELINE SHORT DURATION
TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2021 (Unaudited)
| Security Description | Principal
Amount |
Value | ||||
| MEDIA — 0.2% | ||||||
| CCO Holdings LLC/CCO Holdings Capital Corp.: | ||||||
|
4.25%, 1/15/2034
(a) |
$ 85,000 | $ 83,701 | ||||
|
4.75%, 3/1/2030
(a) |
95,000 | 99,036 | ||||
|
Diamond Sports Group LLC/Diamond Sports Finance Co. 5.38%, 8/15/2026
(a) |
25,000 | 12,466 | ||||
|
Directv Financing LLC/Directv Financing Co-Obligor, Inc. 5.88%, 8/15/2027
(a) |
50,000 | 51,219 | ||||
|
DISH DBS Corp. 5.13%,
6/1/2029 |
40,000 | 36,395 | ||||
| 282,817 | ||||||
| MINING — 0.3% | ||||||
|
Arconic Corp. 6.13%, 2/15/2028
(a) |
80,000 | 85,124 | ||||
|
Glencore Funding LLC 4.13%, 5/30/2023
(a) |
430,000 | 447,557 | ||||
| 532,681 | ||||||
| OIL & GAS — 2.0% | ||||||
|
Apache Corp. 4.38%,
10/15/2028 |
75,000 | 81,739 | ||||
|
Chesapeake Energy Corp. 5.88%, 2/1/2029
(a) |
175,000 | 187,339 | ||||
|
CNX Resources Corp. 6.00%, 1/15/2029
(a) |
85,000 | 88,401 | ||||
|
EQT Corp. 7.50%,
2/1/2030 |
30,000 | 38,514 | ||||
| Hilcorp Energy I L.P./Hilcorp Finance Co.: | ||||||
|
5.75%, 2/1/2029
(a) |
75,000 | 77,264 | ||||
|
6.25%, 11/1/2028
(a) |
40,000 | 42,586 | ||||
| MEG Energy Corp.: | ||||||
|
5.88%, 2/1/2029
(a) |
10,000 | 10,488 | ||||
|
7.13%, 2/1/2027
(a) |
55,000 | 58,574 | ||||
| Occidental Petroleum Corp.: | ||||||
|
6.13%,
1/1/2031 |
45,000 | 54,622 | ||||
|
6.45%,
9/15/2036 |
25,000 | 31,876 | ||||
|
6.63%,
9/1/2030 |
85,000 | 105,219 | ||||
|
ONGC Videsh, Ltd. 3.75%,
5/7/2023 |
250,000 | 257,222 | ||||
|
Pertamina Persero PT 1.40%,
2/9/2026 |
200,000 | 194,112 | ||||
See accompanying notes to financial statements.
22
SPDR DOUBLELINE SHORT DURATION
TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2021 (Unaudited)
| Security Description | Principal
Amount |
Value | ||||
|
Petrobras Global Finance BV 6.25%,
3/17/2024 |
$ 50,000 | $ 54,020 | ||||
|
Petronas Capital, Ltd. Series REGS, 3.50%,
3/18/2025 |
250,000 | 265,085 | ||||
|
Pioneer Natural Resources Co. 0.55%,
5/15/2023 |
440,000 | 438,385 | ||||
|
Qatar Petroleum 1.38%,
9/12/2026 |
300,000 | 294,042 | ||||
|
Reliance Industries, Ltd. Class REGS, 4.13%,
1/28/2025 |
300,000 | 321,042 | ||||
| SA Global Sukuk, Ltd.: | ||||||
|
1.60%, 6/17/2026
(a) |
200,000 | 197,010 | ||||
|
1.60%,
6/17/2026 |
200,000 | 196,800 | ||||
| Southwestern Energy Co.: | ||||||
|
4.75%,
2/1/2032 |
45,000 | 47,435 | ||||
|
5.38%,
2/1/2029 |
40,000 | 42,373 | ||||
|
Sunoco L.P./Sunoco Finance Corp. 4.50%,
5/15/2029 |
20,000 | 20,329 | ||||
|
Transocean Poseidon, Ltd. 6.88%, 2/1/2027
(a) |
125,000 | 121,259 | ||||
|
Transocean, Inc. 11.50%, 1/30/2027
(a) |
15,000 | 14,718 | ||||
| 3,240,454 | ||||||
| OIL & GAS SERVICES — 0.4% | ||||||
|
Schlumberger Holdings Corp. 3.75%, 5/1/2024
(a) |
430,000 | 451,440 | ||||
|
USA Compression Partners L.P./USA Compression Finance Corp. 6.88%,
9/1/2027 |
80,000 | 84,499 | ||||
|
Weatherford International, Ltd. 6.50%, 9/15/2028
(a) |
50,000 | 52,928 | ||||
| 588,867 | ||||||
| PHARMACEUTICALS — 0.1% | ||||||
|
Bausch Health Cos., Inc. 6.25%, 2/15/2029
(a) |
65,000 | 61,849 | ||||
|
Endo Luxembourg Finance Co. I Sarl/Endo US, Inc. 6.13%, 4/1/2029
(a) |
45,000 | 44,059 | ||||
| 105,908 | ||||||
| PIPELINES — 0.7% | ||||||
|
Antero Midstream Partners L.P./Antero Midstream Finance Corp. 5.75%, 3/1/2027
(a) |
22,000 | 22,743 | ||||
See accompanying notes to financial statements.
23
SPDR DOUBLELINE SHORT DURATION
TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2021 (Unaudited)
| Security Description | Principal
Amount |
Value | ||||
|
EQM Midstream Partners L.P. 4.75%, 1/15/2031
(a) |
$ 75,000 | $ 79,266 | ||||
|
Galaxy Pipeline Assets Bidco, Ltd. 1.75%,
9/30/2027 |
195,731 | 195,940 | ||||
|
GNL Quintero SA Series REGS, 4.63%,
7/31/2029 |
376,480 | 399,551 | ||||
|
Hess Midstream Operations L.P. 4.25%, 2/15/2030
(a) |
80,000 | 79,686 | ||||
|
NGL Energy Operating LLC/NGL Energy Finance Corp. 7.50%, 2/1/2026
(a) |
100,000 | 103,052 | ||||
|
Transportadora de Gas del Peru SA Series REGS, 4.25%,
4/30/2028 |
200,000 | 211,942 | ||||
|
Venture Global Calcasieu Pass LLC 4.13%, 8/15/2031
(a) |
115,000 | 122,706 | ||||
| 1,214,886 | ||||||
| REAL ESTATE — 0.1% | ||||||
|
Realogy Group LLC/Realogy Co-Issuer Corp. 5.75%, 1/15/2029
(a) |
110,000 | 113,017 | ||||
| REAL ESTATE INVESTMENT TRUSTS — 0.4% | ||||||
|
Iron Mountain, Inc. REIT, 4.50%, 2/15/2031
(a) |
130,000 | 131,043 | ||||
|
MGM Growth Properties Operating Partnership L.P./MGP Finance Co-Issuer, Inc. REIT, 5.75%,
2/1/2027 |
50,000 | 56,693 | ||||
|
Welltower, Inc. REIT, 3.63%,
3/15/2024 |
420,000 | 441,718 | ||||
| 629,454 | ||||||
| RETAIL — 0.7% | ||||||
|
Dollar Tree, Inc. 4.00%,
5/15/2025 |
415,000 | 446,021 | ||||
|
Ferrellgas L.P./Ferrellgas Finance Corp. 5.38%, 4/1/2026
(a) |
80,000 | 77,699 | ||||
|
Sonic Automotive, Inc. 4.63%, 11/15/2029
(a) |
95,000 | 95,665 | ||||
|
SRS Distribution, Inc. 4.63%, 7/1/2028
(a) |
130,000 | 131,071 | ||||
|
Staples, Inc. 7.50%, 4/15/2026
(a) |
35,000 | 35,946 | ||||
|
Suburban Propane Partners L.P./Suburban Energy Finance Corp. 5.00%, 6/1/2031
(a) |
130,000 | 131,842 | ||||
See accompanying notes to financial statements.
24
SPDR DOUBLELINE SHORT DURATION
TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2021 (Unaudited)
| Security Description | Principal
Amount |
Value | ||||
|
Superior Plus L.P./Superior General Partner, Inc. 4.50%, 3/15/2029
(a) |
$ 70,000 | $ 71,794 | ||||
|
Victoria's Secret & Co. 4.63%, 7/15/2029
(a) |
85,000 | 86,737 | ||||
| 1,076,775 | ||||||
| SEMICONDUCTORS — 0.3% | ||||||
|
Microchip Technology, Inc. 0.97%,
2/15/2024 |
460,000 | 456,085 | ||||
| TELECOMMUNICATIONS — 1.5% | ||||||
|
AT&T, Inc. 4.45%,
4/1/2024 |
415,000 | 443,170 | ||||
|
Avaya, Inc. 6.13%, 9/15/2028
(a) |
45,000 | 47,747 | ||||
|
CommScope, Inc. 4.75%, 9/1/2029
(a) |
50,000 | 49,754 | ||||
| Frontier Communications Holdings LLC: | ||||||
|
5.00%, 5/1/2028
(a) |
25,000 | 25,793 | ||||
|
5.88%, 10/15/2027
(a) |
15,000 | 15,865 | ||||
|
6.00%, 1/15/2030
(a) |
50,000 | 50,213 | ||||
| KT Corp.: | ||||||
|
1.00%,
9/1/2025 |
250,000 | 245,057 | ||||
|
Series REGS, 2.50%,
7/18/2026 |
200,000 | 206,660 | ||||
|
Millicom International Cellular SA Series REGS, 5.13%,
1/15/2028 |
180,000 | 186,934 | ||||
|
Sable International Finance, Ltd. 5.75%,
9/7/2027 |
200,000 | 204,154 | ||||
|
SingTel Group Treasury Pte, Ltd. Class EMTN, 3.25%,
6/30/2025 |
200,000 | 211,728 | ||||
| T-Mobile USA, Inc.: | ||||||
|
2.88%,
2/15/2031 |
15,000 | 14,809 | ||||
|
3.38%,
4/15/2029 |
20,000 | 20,404 | ||||
|
3.38%, 4/15/2029
(a) |
10,000 | 10,205 | ||||
|
Verizon Communications, Inc. 3 Month USD LIBOR + 1.10%, 1.26%, 5/15/2025
(b) |
445,000 | 453,286 | ||||
|
VTR Comunicaciones SpA 5.13%,
1/15/2028 |
200,000 | 203,672 | ||||
| 2,389,451 | ||||||
| TRANSPORTATION — 0.3% | ||||||
|
Canadian Pacific Railway Co. 1.35%,
12/2/2024 |
440,000 | 440,524 | ||||
See accompanying notes to financial statements.
25
SPDR DOUBLELINE SHORT DURATION
TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2021 (Unaudited)
| Security Description | Principal
Amount |
Value | ||||
| TRUCKING & LEASING — 0.3% | ||||||
|
Penske Truck Leasing Co. L.P./PTL Finance Corp. 2.70%, 11/1/2024
(a) |
$ 435,000 | $ 448,285 | ||||
|
TOTAL CORPORATE BONDS & NOTES (Cost
$39,016,967) |
38,827,617 | |||||
| ASSET-BACKED SECURITIES — 12.2% | ||||||
| AUTOMOBILE — 0.9% | ||||||
|
CPS Auto Receivables Trust Series 2021-A, Class D, 1.16%, 12/15/2026
(a) |
600,000 | 596,051 | ||||
|
Exeter Automobile Receivables Trust Series 2021-1A, Class C, 0.74%,
1/15/2026 |
500,000 | 498,241 | ||||
|
Hertz Vehicle Financing LLC Series 2021-1A, Class B, 1.56%, 12/26/2025
(a) |
350,000 | 346,696 | ||||
| 1,440,988 | ||||||
| OTHER ABS — 11.2% | ||||||
|
ACREC 2021-FL1, Ltd. Series 2021-FL1, Class A, 1 Month USD LIBOR + 1.15%, 1.25%, 10/16/2036
(a)
(b) |
181,000 | 181,000 | ||||
|
Affirm Asset Securitization Trust Series 2020-A, Class B, 3.54%, 2/18/2025
(a) |
750,000 | 752,094 | ||||
|
Anchorage Capital CLO 19, Ltd. Series 2021-19A, Class A, 3 Month USD LIBOR + 1.21%, 1.37%, 10/15/2034
(a)
(b) |
1,000,000 | 999,737 | ||||
|
Arbor Realty Collateralized Loan Obligation 2020-FL1, Ltd. Series 2020-FL1, Class AS, 1 Month USD LIBOR + 1.51%, 1.56%, 2/15/2035
(a)
(b) |
131,000 | 130,918 | ||||
|
Arbor Realty Commercial Real Estate Notes 2018-FL1, Ltd. Series 2018-FL1, Class A, 1 Month USD LIBOR + 1.15%, 1.26%, 6/15/2028
(a)
(b) |
71,000 | 70,978 | ||||
|
Arbor Realty Commercial Real Estate Notes 2021-FL3, Ltd. Series 2021-FL3, Class A, 1 Month USD LIBOR + 1.07%, 1.18%, 8/15/2034
(a)
(b) |
193,000 | 192,525 | ||||
|
Bain Capital Credit CLO Series 2019-1A, Class AR, 3 Month USD LIBOR + 1.13%, 1.25%, 4/19/2034
(a)
(b) |
500,000 | 499,875 | ||||
|
BDS, Ltd. Series 2019-FL4, Class A, 1 Month USD LIBOR + 1.10%, 1.21%, 8/15/2036
(a)
(b) |
74,902 | 74,868 | ||||
|
BRSP 2021-FL1, Ltd. Series 2021-FL1, Class A, 1 Month USD LIBOR + 1.15%, 1.25%, 8/19/2038
(a)
(b) |
151,000 | 150,524 | ||||
See accompanying notes to financial statements.
26
SPDR DOUBLELINE SHORT DURATION
TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2021 (Unaudited)
| Security Description | Principal
Amount |
Value | |||
| BSPRT Issuer, Ltd.: | |||||
|
Series 2019-FL5, Class A, 1 Month USD LIBOR + 1.15%, 1.26%, 5/15/2029
(a)
(b) |
$ 295,095 | $ 295,096 | |||
|
Series 2021-FL6, Class A, 1 Month USD LIBOR + 1.100%, 1.21%, 3/15/2036
(a)
(b) |
138,000 | 137,591 | |||
|
Carlyle US CLO, Ltd Series 2021-1A, Class A1, 3 Month USD LIBOR + 1.140%, 1.26%, 4/15/2034
(a)
(b) |
1,000,000 | 999,749 | |||
|
CarVal CLO IV, Ltd. Series 2021-1A, Class A1A, 3 Month USD LIBOR + 1.18%, 1.31%, 7/20/2034
(a)
(b) |
500,000 | 500,149 | |||
| CHCP, Ltd.: | |||||
|
Series 2021-FL1, Class A, 1 Month USD LIBOR + 1.16%, 1.21%, 2/15/2038
(a)
(b) |
300,000 | 299,488 | |||
|
Series 2021-FL1, Class AS, 1 Month USD LIBOR + 1.41%, 1.46%, 2/15/2038
(a)
(b) |
100,000 | 99,648 | |||
|
CLNC, Ltd. Series 2019-FL1, Class AS, 1 Month USD LIBOR + 1.66%, 1.71%, 8/20/2035
(a)
(b) |
131,000 | 130,836 | |||
|
Credit-Based Asset Servicing & Securitization LLC Series 2004-CB7, Class M1, 1 Month USD LIBOR + 1.005%, 1.10%, 10/25/2034
(b) |
660,643 | 662,360 | |||
|
FS RIALTO Series 2021-FL2, Class A, 1 Month USD LIBOR + 1.22%, 1.33%, 4/16/2028
(a)
(b) |
150,000 | 149,477 | |||
|
FS Rialto 2019-FL1 Series 2019-FL1, Class A, 1 Month USD LIBOR + 1.20%, 1.31%, 12/16/2036
(a)
(b) |
161,000 | 160,642 | |||
|
FS Rialto 2021-FL3 Series 2021-FL3, Class A, 1 Month USD LIBOR + 1.25%, 1.36%, 11/16/2036
(a)
(b) |
181,000 | 181,052 | |||
|
HalseyPoint CLO 3, Ltd. Series 2020-3A, Class A1A, 3 Month USD LIBOR + 1.45%, 1.58%, 11/30/2032
(a)
(b) |
900,000 | 900,900 | |||
|
Jamestown CLO XV, Ltd. Series 2020-15A, Class A, 3 Month USD LIBOR + 1.340%, 1.46%, 4/15/2033
(a)
(b) |
500,000 | 499,650 | |||
|
LCCM 2021-FL2 Trust Series 2021-FL2, Class A, 1 Month USD LIBOR + 1.20%, 1.31%, 12/13/2038
(a)
(b) |
151,000 | 150,824 | |||
|
LCCM Trust Series 2021-FL3, Class A, 1 Month USD LIBOR + 1.45%, 1.55%, 11/15/2038
(a)
(b) |
181,000 | 181,054 |
See accompanying notes to financial statements.
27
SPDR DOUBLELINE SHORT DURATION
TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2021 (Unaudited)
| Security Description | Principal
Amount |
Value | |||
|
Lendingpoint 2021-A Asset Securitization Trust Series 2021-A, Class B, 1.46%, 12/15/2028
(a) |
$ 400,000 | $ 397,398 | |||
|
LoanCore 2018-CRE1 Issuer, Ltd. Series 2018-CRE1, Class A, 1 Month USD LIBOR + 1.13%, 1.24%, 5/15/2028
(a)
(b) |
20,940 | 20,909 | |||
|
LoanCore 2019-CRE2 Issuer, Ltd. Series 2019-CRE2, Class AS, 1 Month USD LIBOR + 1.50%, 1.61%, 5/15/2036
(a)
(b) |
100,000 | 99,817 | |||
|
Loanpal Solar Loan, Ltd. Series 2021-1GS, Class A, 2.29%, 1/20/2048
(a) |
398,625 | 394,895 | |||
|
Marble Point CLO XXI, Ltd. Series 2021-3A, Class A1, 3 Month USD LIBOR + 1.24%, 1.37%, 10/17/2034
(a)
(b) |
2,000,000 | 1,999,496 | |||
| Marlette Funding Trust: | |||||
|
Series 2019-4A, Class A, 2.39%, 12/17/2029
(a) |
12,303 | 12,307 | |||
|
Series 2021-1A, Class C, 1.41%, 6/16/2031
(a) |
650,000 | 640,800 | |||
|
MF1 2021-FL7, Ltd. Series 2021-FL7, Class A, 1 Month USD LIBOR + 1.08%, 1.19%, 10/16/2036
(a)
(b) |
192,000 | 191,290 | |||
|
MF1 Multifamily Housing Mortgage Loan Trust Series 2021-FL6, Class A, 1 Month USD LIBOR + 1.10%, 1.21%, 7/16/2036
(a)
(b) |
150,000 | 149,690 | |||
|
NLY Commercial Mortgage Trust Series 2019-FL2, Class AS, 1 Month USD LIBOR + 1.60%, 1.71%, 2/15/2036
(a)
(b) |
120,000 | 119,491 | |||
|
Northwoods Capital XVI, Ltd. Series 2017-16A, Class A, 3 Month USD LIBOR + 1.27%, 1.43%, 11/15/2030
(a)
(b) |
1,000,626 | 999,625 | |||
|
Pagaya AI Debt Selection Trust Series 2021-3, Class B, 1.74%, 5/15/2029
(a) |
1,000,000 | 990,651 | |||
|
Pagaya AI Debt Selection Trust 2021-5 Series 2021-5, Class B, 2.63%, 8/15/2029
(a) |
1,000,000 | 997,844 | |||
|
Sapphire Aviation Finance II, Ltd. Series 2020-1A, Class A, 3.23%, 3/15/2040
(a) |
410,974 | 399,015 | |||
|
Shackleton CLO, Ltd. Series 2013-3A, Class AR, 3 Month USD LIBOR + 1.12%, 1.24%, 7/15/2030
(a)
(b) |
497,278 | 496,681 | |||
|
Sound Point CLO Series 2020-1A, Class AR, 3 Month USD LIBOR - 1.17%, 1.30%, 7/20/2034
(a)
(b) |
1,000,000 | 999,748 | |||
|
STWD, Ltd. Series 2019-FL1, Class AS, 1 Month USD LIBOR + 1.51%, 1.56%, 7/15/2038
(a)
(b) |
100,000 | 99,906 |
See accompanying notes to financial statements.
28
SPDR DOUBLELINE SHORT DURATION
TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2021 (Unaudited)
| Security Description | Principal
Amount |
Value | |||
|
Vibrant ClO VIII, Ltd. Series 2018-8A, Class A1A, 3 Month USD LIBOR + 1.14%, 1.27%, 1/20/2031
(a)
(b) |
$ 500,000 | $ 499,400 | |||
|
Washington Mutural Asset-Backed Certificates WMABS Trust Series 2006-HE5, Class 2A2, 1 Month USD LIBOR + 0.18%, 0.28%, 10/25/2036
(b) |
302,344 | 147,937 | |||
| 18,057,935 | |||||
| STUDENT LOAN ABS — 0.1% | |||||
|
Commonbond Student Loan Trust Series 2018-BGS, Class B, 3.99%, 9/25/2045
(a) |
179,398 | 184,264 | |||
|
Laurel Road Prime Student Loan Trust Series 2019-A, Class A1FX, 2.34%, 10/25/2048
(a) |
54,988 | 55,396 | |||
| 239,660 | |||||
|
TOTAL ASSET-BACKED SECURITIES (Cost
$19,799,081) |
19,738,583 | ||||
| FOREIGN GOVERNMENT OBLIGATIONS — 2.6% | |||||
| BRAZIL — 0.1% | |||||
|
Brazilian Government International Bond 2.88%,
6/6/2025 |
250,000 | 253,648 | |||
| CHILE — 0.3% | |||||
|
Chile Government International Bond 3.13%,
1/21/2026 |
400,000 | 421,048 | |||
| COLOMBIA — 0.3% | |||||
|
Colombia Government International Bond 4.50%,
1/28/2026 |
400,000 | 418,872 | |||
| INDONESIA — 0.4% | |||||
| Perusahaan Penerbit SBSN Indonesia III: | |||||
|
Series 144A, 1.50%, 06/09/2026
(a) |
200,000 | 199,460 | |||
|
Series REGS, 1.50%,
06/09/2026 |
300,000 | 299,190 | |||
|
Series REGS, 2.30%,
06/23/2025 |
200,000 | 205,582 | |||
| 704,232 | |||||
| PANAMA — 0.2% | |||||
|
Panama Government International Bond 3.75%,
3/16/2025 |
250,000 | 264,882 |
See accompanying notes to financial statements.
29
SPDR DOUBLELINE SHORT DURATION
TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2021 (Unaudited)
| Security Description | Principal
Amount |
Value | |||
| PERU — 0.1% | |||||
|
Corp. Financiera de Desarrollo SA Series REGS, 3 Month USD LIBOR + 5.605%, 5.25%, 7/15/2029
(b) |
$ 200,000 | $ 205,864 | |||
| QATAR — 0.3% | |||||
|
Qatar Government International Bond Series REGS, 3.25%,
6/2/2026 |
400,000 | 425,988 | |||
| SAUDI ARABIA — 0.2% | |||||
|
Saudi Government International Bond Series REGS, 3.25%,
10/26/2026 |
250,000 | 266,357 | |||
| SOUTH KOREA — 0.5% | |||||
| Korea Development Bank: | |||||
|
1.00%,
09/09/2026 |
250,000 | 244,563 | |||
|
1.25%,
06/03/2025 |
200,000 | 199,306 | |||
|
Korea Electric Power Corp. Series REGS, 1.13%,
6/15/2025 |
400,000 | 395,628 | |||
| 839,497 | |||||
| THAILAND — 0.1% | |||||
|
Export Import Bank of Thailand Series EMTN, 3 Month USD LIBOR + 0.85%, 1.01%, 5/23/2024
(b) |
250,000 | 250,565 | |||
| UNITED ARAB EMIRATES — 0.1% | |||||
|
Abu Dhabi Government International Bond Series 144A, 2.50%, 4/16/2025
(a) |
200,000 | 207,802 | |||
|
TOTAL FOREIGN GOVERNMENT OBLIGATIONS (Cost
$4,318,961) |
4,258,755 | ||||
| U.S. GOVERNMENT AGENCY OBLIGATIONS — 25.3% | |||||
| Federal Home Loan Mortgage Corp.: | |||||
|
1.50%
2/1/2036 |
6,902,592 | 6,934,086 | |||
|
1.50%,
3/1/2036 |
3,507,330 | 3,520,650 | |||
|
2.00%,
3/1/2036 |
1,525,210 | 1,563,469 | |||
|
2.00%,
5/1/2036 |
2,786,885 | 2,867,304 | |||
|
2.00%,
10/1/2041 |
1,476,411 | 1,493,837 | |||
|
3.50%,
9/1/2032 |
295,155 | 312,281 | |||
|
Series 4211, Class AP, 1.60%,
3/15/2043 |
1,086,686 | 1,098,513 | |||
|
Series 4461, Class BA, CMO, 2.00%,
12/15/2043 |
706,049 | 715,766 | |||
|
Series 4030, Class AN, CMO, REMIC, 1.75%,
4/15/2027 |
603,053 | 610,270 |
See accompanying notes to financial statements.
30
SPDR DOUBLELINE SHORT DURATION
TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2021 (Unaudited)
| Security Description | Principal
Amount |
Value | |||
|
Series 4060, Class QA, CMO, REMIC, 1.50%,
9/15/2026 |
$ 101,966 | $ 102,369 | |||
|
Series 4484, Class CD, CMO, REMIC, 1.75%,
7/15/2030 |
99,124 | 100,007 | |||
|
Series 4582, Class HA, CMO, REMIC, 3.00%,
9/15/2045 |
262,881 | 273,580 | |||
|
Series K722, Class X1, IO, 1.31%, 3/25/2023
(b) |
412,147 | 4,521 | |||
| Federal National Mortgage Association: | |||||
|
1.50%,
2/1/2036 |
1,701,202 | 1,708,966 | |||
|
1.50%,
3/1/2036 |
436,836 | 438,495 | |||
|
1.50%,
5/1/2036 |
1,158,653 | 1,164,322 | |||
|
2.00%,
1/1/2036 |
875,522 | 899,991 | |||
|
2.00%,
2/1/2036 |
1,268,388 | 1,300,053 | |||
|
2.00%,
9/1/2036 |
961,525 | 985,649 | |||
|
2.00%,
10/1/2036 |
1,946,162 | 1,994,989 | |||
|
2.50%,
1/1/2032 |
1,217,898 | 1,265,265 | |||
|
2.50%,
8/1/2041 |
4,402,765 | 4,587,033 | |||
|
3.00%,
11/1/2033 |
899,286 | 946,777 | |||
|
3.00%,
11/1/2036 |
198,423 | 208,144 | |||
|
12 Month USD LIBOR + 1.66%, 2.53%, 5/1/2044
(b) |
101,686 | 106,031 | |||
|
Series 2010-141, Class FB, CMO, REMIC, 1 Month USD LIBOR + 0.47%, 0.57%, 12/25/2040
(b) |
182,329 | 183,920 | |||
|
Series 2012-32, Class DA, CMO, REMIC, 2.00%,
11/25/2026 |
634,310 | 641,600 | |||
|
Series 2016-8, Class FA, CMO, REMIC, 1 Month USD LIBOR + 0.45%, 0.55%, 3/25/2046
(b) |
294,230 | 296,227 | |||
|
Series 2018-27, Class FJ, CMO, REMIC, 1 Month USD LIBOR + 0.30%, 0.40%, 12/25/2047
(b) |
215,139 | 215,339 | |||
|
Series 2018-45, Class FA, CMO, REMIC, 1 Month USD LIBOR + 0.30%, 0.40%, 6/25/2048
(b) |
250,612 | 250,843 | |||
|
Series 2020-M49, Class 1A1, VRN, 1.26%, 11/25/2030
(b) |
1,088,589 | 1,074,894 | |||
|
Freddie Mac Pool 2.00%,
12/1/2036 |
2,979,523 | 3,054,263 | |||
|
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS (Cost
$41,319,731) |
40,919,454 | ||||
| U.S. TREASURY OBLIGATIONS — 16.7% | |||||
| U.S. Treasury Bill: | |||||
|
0.07%,
3/24/2022 |
100,000 | 99,988 | |||
|
0.08%,
8/11/2022 |
14,400,000 | 14,382,620 | |||
|
0.12%,
7/14/2022 |
5,400,000 | 5,394,811 | |||
| U.S. Treasury Note: | |||||
|
1.63%,
4/30/2023 |
4,000,000 | 4,057,344 | |||
|
2.25%,
12/31/2023 |
3,000,000 | 3,090,117 | |||
|
TOTAL U.S. TREASURY OBLIGATIONS (Cost
$26,854,050) |
27,024,880 |
See accompanying notes to financial statements.
31
SPDR DOUBLELINE SHORT DURATION
TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2021 (Unaudited)
| Security Description | Principal
Amount |
Value | |||
| MORTGAGE-BACKED SECURITIES — 4.8% | |||||
|
Alternative Loan Trust Series 2006-41CB, Class 1A3, CMO, 6.00%,
1/25/2037 |
$ 263,327 | $ 186,284 | |||
|
Alternative Loan Trust 2006-J7 Series 2006-J7, Class 1A3, 6.25%,
11/25/2036 |
457,063 | 303,220 | |||
|
Atrium Hotel Portfolio Trust Series 2017-ATRM, Class E, 1 Month USD LIBOR + 3.05%, 3.16%, 12/15/2036
(a)
(b) |
36,000 | 34,053 | |||
| BANK: | |||||
|
Series 2017-BNK6, Class XA, IO, 0.80%, 7/15/2060
(b) |
1,080,143 | 36,191 | |||
|
Series 2020-BN26, Class XA, IO, VRN, 1.23%, 3/15/2063
(b) |
1,313,424 | 104,978 | |||
|
BBCMS Mortgage Trust Series 2017-DELC, Class E, 1 Month USD LIBOR + 2.50%, 2.61%, 8/15/2036
(a)
(b) |
38,000 | 37,611 | |||
|
BENCHMARK Mortgage Trust Series 2018-B1, Class XA, IO, 0.50%, 1/15/2051
(b) |
2,217,598 | 54,094 | |||
|
BX Trust Series 2018-EXCL, Class A, 1 Month USD LIBOR + 1.09%, 1.20%, 9/15/2037
(a)
(b) |
177,135 | 175,874 | |||
|
Cantor Commercial Real Estate Series 2019-CF1, Class 65A, 4.41%, 5/15/2052
(a)
(b) |
163,000 | 166,157 | |||
| Citigroup Commercial Mortgage Trust: | |||||
|
Series 2018-TBR, Class D, 1 Month USD LIBOR + 1.80%, 1.91%, 12/15/2036
(a)
(b) |
95,000 | 92,916 | |||
|
Series 2019-PRM, Class D, 4.35%, 5/10/2036
(a) |
261,000 | 269,461 | |||
|
Series 2016-GC37, Class XA, IO, 1.69%, 4/10/2049
(b) |
429,682 | 24,822 | |||
| COMM Mortgage Trust: | |||||
|
Series 2018-HCLV, Class A, 1 Month USD LIBOR + 1.00%, 1.11%, 9/15/2033
(a)
(b) |
70,000 | 69,487 | |||
|
Series 2015-CR25, Class XA, IO, 0.82%, 8/10/2048
(b) |
1,162,965 | 29,322 | |||
|
Credit Suisse Mortgage Capital Certificates Series 2017-CHOP, Class D, 1 Month USD LIBOR + 2.15%, 2.26%, 7/15/2032
(a)
(b) |
29,000 | 28,479 | |||
| CSAIL Commercial Mortgage Trust: | |||||
|
Series 2017-C8, Class XA, IO, 1.19%, 6/15/2050
(b) |
295,032 | 12,098 | |||
|
Series 2017-CX10, Class XA, IO, 0.71%, 11/15/2050
(b) |
969,049 | 30,502 | |||
|
Series 2017-CX9, Class XA, IO, 0.85%, 9/15/2050
(b) |
1,806,682 | 35,413 | |||
|
CSMC Mortgage Backed Trust Series 2020-RPL3, Class A1, CMO, 2.69%, 3/25/2060
(a)
(b) |
1,042,311 | 1,045,693 | |||
|
Great Wolf Trust Series 2019-WOLF, Class E, 1 Month USD LIBOR + 2.73%, 2.84%, 12/15/2036
(a)
(b) |
125,000 | 121,307 | |||
| GS Mortgage Securities Trust: | |||||
|
Series 2012-ALOH, Class A, 3.55%, 4/10/2034
(a) |
129,000 | 129,000 | |||
|
Series 2021-IP, Class A, 1 Month USD LIBOR + 0.95%, 1.06%, 10/15/2036
(a)
(b) |
181,000 | 179,848 |
See accompanying notes to financial statements.
32
SPDR DOUBLELINE SHORT DURATION
TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2021 (Unaudited)
| Security Description | Principal
Amount |
Value | |||
|
Series 2017-GS7, Class XA, IO, 1.11%, 8/10/2050
(b) |
$ 386,561 | $ 17,960 | |||
| JP Morgan Chase Commercial Mortgage Securities Trust: | |||||
|
Series 2019-MFP, Class A, 1 Month USD LIBOR + 0.96% , 1.07%, 7/15/2036
(a)
(b) |
107,000 | 106,800 | |||
|
Series 2016-JP4, Class XA, IO, 0.59%, 12/15/2049
(b) |
1,397,229 | 33,505 | |||
| JPMBB Commercial Mortgage Securities Trust: | |||||
|
Series 2019-COR5, Class XA, IO, VRN, 1.48%, 6/13/2052
(b) |
1,109,594 | 91,925 | |||
|
Series 2014-C25, Class B, VRN, 4.35%, 11/15/2047
(b) |
150,000 | 156,316 | |||
|
Legacy Mortgage Asset Trust Series 2021-GS1, Class A1, 1.89%, 10/25/2066
(a)
(d) |
450,356 | 449,668 | |||
|
LoanCore 2019-CRE3 Issuer, Ltd. Series 2019-CRE3, Class AS, 1 Month USD LIBOR + 1.37%, 1.48%, 4/15/2034
(a)
(b) |
117,900 | 117,836 | |||
|
MF1 2020-FL3, Ltd. Series 2020-FL3, Class A, 1 Month USD LIBOR + 2.16%, 2.21%, 7/15/2035
(a)
(b) |
72,083 | 72,480 | |||
| Morgan Stanley Bank of America Merrill Lynch Trust: | |||||
|
Series 2014-C15, Class XA, IO, 0.93%, 4/15/2047
(b) |
739,198 | 11,022 | |||
|
Series 2014-C19, Class LNCX, IO, 0.60%, 12/15/2046
(a)
(b) |
1,165,488 | 17,743 | |||
| Morgan Stanley Capital I Trust: | |||||
|
Series 2019-PLND, Class B, 1 Month USD LIBOR + 1.30%, 1.41%, 5/15/2036
(a)
(b) |
163,000 | 160,770 | |||
|
Series 2019-PLND, Class D, 1 Month USD LIBOR + 1.75%, 1.86%, 5/15/2036
(a)
(b) |
127,000 | 123,904 | |||
|
Series 2016-UB12, Class XA, IO, 0.71%, 12/15/2049
(b) |
1,368,577 | 36,821 | |||
|
Morgan Stanley Captial I Trust Series 2021-L6, Class A2, 2.13%,
6/15/2054 |
151,000 | 151,617 | |||
|
MSCG Trust Series 2018-SELF, Class A, 1 Month USD LIBOR + 0.90%, 1.01%, 10/15/2037
(a)
(b) |
79,000 | 78,943 | |||
|
Natixis Commercial Mortgage Securities Trust Series 2018-FL1, Class A, 1 Month USD LIBOR + 0.95%, 1.06%, 6/15/2035
(a)
(b) |
78,409 | 77,511 | |||
|
PFP, Ltd. Series 2019-6, Class A, 1 Month USD LIBOR + 1.05%, 1.16%, 4/14/2037
(a)
(b) |
37,716 | 37,585 | |||
|
ReadyCap Commercial Mortgage Trust Series 2019-FL3, Class A, 1 Month USD LIBOR + 1.00%, 1.10%, 3/25/2034
(a)
(b) |
2,615 | 2,616 | |||
|
Residential Asset Securitization Trust Series 2006-A6, Class 1A4, CMO, IO, 6.00%,
7/25/2036 |
2,560,912 | 918,943 | |||
|
Shelter Growth CRE Issuer, Ltd. Series 2019-FL2, Class B, 1 Month USD LIBOR + 2.30%, 1.91%, 5/15/2036
(a)
(b) |
67,311 | 67,086 | |||
|
Toorak Mortgage Corp., Ltd. Series 2020-1, Class A1, 2.73%, 3/25/2023
(a)
(d) |
1,000,000 | 1,001,538 | |||
|
UBS Commercial Mortgage Trust Series 2017-C1, Class XA, IO, 1.53%, 6/15/2050
(b) |
633,510 | 41,464 |
See accompanying notes to financial statements.
33
SPDR DOUBLELINE SHORT DURATION
TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2021 (Unaudited)
| Security Description | Principal
Amount |
Value | |||
|
Velocity Commercial Capital Loan Trust Series 2018-2, Class A, 4.05%, 10/26/2048
(a)
(b) |
$ 407,652 | $ 419,787 | |||
|
Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-8, Class 2CB3, CMO, 1 Month USD LIBOR + 0.41%, 0.51%, 10/25/2035
(b) |
383,269 | 367,809 | |||
|
Wells Fargo Commercial Mortgage Trust Series 2019-C51, Class XA, IO, VRN, 1.33%, 6/15/2052
(b) |
992,693 | 75,241 | |||
|
WFRBS Commercial Mortgage Trust Series 2013-C18, Class XA, IO, 0.78%, 12/15/2046
(b) |
799,186 | 10,144 | |||
|
TOTAL MORTGAGE-BACKED SECURITIES (Cost
$8,713,775) |
7,813,844 | ||||
| COMMERCIAL MORTGAGE BACKED SECURITIES — 2.3% | |||||
|
Arbor Multifamily Mortgage Securities Trust 2021-MF2 Series 2021-MF2, Class A2, 2.02%, 6/15/2054
(a) |
139,000 | 138,914 | |||
|
Benchmark 2019-B15 Mortgage Trust Series 2019-B15, Class XA, IO, VRN, 0.82%, 12/15/2072
(b) |
4,078,933 | 204,089 | |||
|
BPR Trust 2021-TY Series 2021-TY, Class A, 1 Month USD LIBOR + 1.05%, 1.16%, 9/15/2038
(a)
(b) |
192,000 | 191,644 | |||
|
BX Commercial Mortgage Trust 2021-21M Series 2021-21M, Class A, 1 Month USD LIBOR + 0.73%, 0.84%, 10/15/2036
(a)
(b) |
181,000 | 179,413 | |||
|
BX Trust Series 2021-VIEW, Class A, 1 Month USD LIBOR + 1.28%, 1.39%, 6/15/2023
(a)
(b) |
299,000 | 299,245 | |||
|
BXHPP Trust 2021-FILM Series 2021-FILM, Class B, 1 Month USD LIBOR + 0.90%, 1.01%, 8/15/2036
(a)
(b) |
224,000 | 221,377 | |||
|
BXMT, Ltd. Series 2021-FL4, Class A, 1 Month USD LIBOR + 1.05%, 1.16%, 5/15/2038
(a)
(b) |
138,000 | 137,741 | |||
|
Citigroup Commercial Mortgage Trust Series 2020-GC46, Class XA, IO, VRN, 0.99%, 2/15/2053
(b) |
2,205,973 | 134,200 | |||
|
EQUS 2021-EQAZ Mortgage Trust Series 2021-EQAZ, Class A, 1 Month USD LIBOR + 0.75%, 0.86%, 10/15/2038
(a)
(b) |
181,000 | 180,269 | |||
|
Extended Stay America Trust Series 2021-ESH, Class A, 1 Month USD LIBOR + 1.08%, 1.19%, 7/15/2038
(a)
(b) |
149,224 | 149,256 | |||
|
GPMT, Ltd. Series 2021-FL3, Class A, 1 Month USD LIBOR + 1.25%, 1.35%, 7/16/2035
(a)
(b) |
87,172 | 87,142 | |||
|
GS Mortgage Securities Trust Series 2020-GC47, Class XA, IO, VRN, 1.13%, 5/12/2053
(b) |
2,114,109 | 169,117 | |||
|
MF1 Multifamily Housing Mortgage Loan Trust Series 2021-FL5, Class AS, 1 Month USD LIBOR + 1.31%, 1.36%, 7/15/2036
(a)
(b) |
138,000 | 137,878 | |||
|
Morgan Stanley Capital I, Inc. Series 2021-ILP, Class A, 1 Month USD LIBOR + 0.78%, 0.89%, 11/15/2023
(a)
(b) |
180,404 | 180,232 |
See accompanying notes to financial statements.
34
SPDR DOUBLELINE SHORT DURATION
TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2021 (Unaudited)
| Security Description | Principal
Amount |
Value | ||||
|
SREIT Trust 2021-MFP Series 2021-MFP, Class A, 1 Month USD LIBOR + 0.73%, 0.83%, 11/15/2038
(a)
(b) |
$ 181,000 | $ 180,036 | ||||
| Wells Fargo Commercial Mortgage Trust: | ||||||
|
Series 2021-C60, Class A2, 2.04%,
8/15/2054 |
151,000 | 151,035 | ||||
|
Series 2021-SAVE, Class A, 1 Month USD LIBOR + 1.150%, 1.26%, 2/15/2040
(a)
(b) |
90,902 | 90,907 | ||||
|
Series 2021-SAVE, Class B, 1 Month USD LIBOR + 1.450%, 1.56%, 2/15/2040
(a)
(b) |
90,902 | 90,494 | ||||
|
Series 2019-C52, Class XA, IO, VRN, 1.59%, 8/15/2052
(b) |
2,969,346 | 268,841 | ||||
| WFRBS Commercial Mortgage Trust: | ||||||
|
Series 2014-C21, Class AS, 3.89%,
8/15/2047 |
250,000 | 258,941 | ||||
|
Series 2014-C23, Class AS, VRN, 4.21%, 10/15/2057
(b) |
235,000 | 249,160 | ||||
|
TOTAL COMMERCIAL MORTGAGE BACKED SECURITIES (Cost
$3,797,185) |
3,699,931 | |||||
| SENIOR FLOATING RATE LOANS — 7.2% | ||||||
| CABLE/SATELLITE TV — 0.2% | ||||||
|
Cable One, Inc. Senior Secured 2021 Term Loan B4, 1 Month USD LIBOR + 2.000% 2.10%, 5/3/2028
(b) |
298,500 | 298,998 | ||||
| CASINO SERVICES — 0.3% | ||||||
|
Stars Group Holdings B.V. Senior Secured 2018 USD Incremental Term Loan, 3 Month USD LIBOR + 2.25% 2.47%, 7/21/2026
(b) |
425,000 | 424,020 | ||||
| CHEMICALS — 0.4% | ||||||
|
Axalta Coating Systems US Holdings, Inc. Senior Secured USD Term Loan B3, 3 Month USD LIBOR + 1.75% 1.97%,
6/1/2024(b) |
422,482 | 422,747 | ||||
|
Element Solutions Inc. Senior Secured 2019 Term Loan B1, 1 Month USD LIBOR + 2.000% 2.10%,
1/31/2026(b) |
223,855 | 223,295 | ||||
| 646,042 | ||||||
| COMMERCIAL SERVICES — 0.2% | ||||||
|
Terminix Co., LLC Senior Secured 2019 Term Loan D, 1 Month USD LIBOR + 1.750% 1.88%, 11/5/2026
(b) |
300,000 | 300,252 | ||||
| COMMERCIAL SERVICES & SUPPLIES — 0.2% | ||||||
|
Clean Harbors Inc. Senior Secured 2021 Incremental Term Loan B, 1 Month USD LIBOR + 2.000% 2.10%,
10/8/2028(b) |
75,000 | 75,047 | ||||
|
KAR Auction Services, Inc. Senior Secured 2019 Term Loan B6, 1 Month USD LIBOR + 2.250% 2.38%,
9/19/2026(b) |
299,237 | 295,496 | ||||
| 370,543 | ||||||
See accompanying notes to financial statements.
35
SPDR DOUBLELINE SHORT DURATION
TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2021 (Unaudited)
| Security Description | Principal
Amount |
Value | |||
| DISTRIBUTION/WHOLESALE — 0.2% | |||||
|
Resideo Funding Inc. Senior Secured 2021 Term Loan, 1 Month USD LIBOR + 2.25% 2.75%, 2/11/2028
(b) |
$ 298,496 | $ 298,496 | |||
| DIVERSIFIED FINANCIAL SERVICES — 0.3% | |||||
|
Setanta Aircraft Leasing Designated Activity Company Senior Secured Term Loan B, 3 Month USD LIBOR + 2.000% 2.14%,
11/5/2028(b) |
185,000 | 185,116 | |||
|
Trans Union, LLC Senior Secured 2019 Term Loan B5, 1 Month USD LIBOR + 1.75% 1.85%,
11/16/2026(b) |
236,790 | 234,718 | |||
| 419,834 | |||||
| DIVERSIFIED TELECOMMUNICATION SERVICES — 0.3% | |||||
|
Level 3 Financing, Inc. Senior Secured 2019 Term Loan B, 1 Month USD LIBOR + 1.75% 1.85%, 3/1/2027
(b) |
425,000 | 420,219 | |||
| ENTERTAINMENT — 0.3% | |||||
|
WMG Acquisition Corp. Senior Secured 2021 Term Loan G, 1 Month USD LIBOR + 2.125% 2.23%, 1/20/2028
(b) |
425,000 | 423,991 | |||
| FINANCE-OTHER SERVICES — 0.2% | |||||
|
RPI Intermediate Finance Trust Senior Secured 2020 Term Loan B1, 1 Month USD LIBOR + 1.750% 1.85%, 2/11/2027
(b) |
413,911 | 413,178 | |||
| FOOD PRODUCTS — 0.3% | |||||
|
KFC Holding Co. Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 1.750% 1.85%, 3/15/2028
(b) |
423,935 | 423,935 | |||
| FORESTRY — 0.3% | |||||
|
Asplundh Tree Expert, LLC Senior Secured 2021 Term Loan B2, 1 Month USD LIBOR + 1.750% 1.85%, 9/7/2027
(b) |
422,859 | 421,686 | |||
| HEALTH CARE EQUIPMENT & SUPPLIES — 0.0% (c) | |||||
|
ICU Medical, Inc. Senior Secured Term Loan B, 12/16/2028
(e) |
30,000 | 30,081 | |||
| HEALTH CARE PROVIDERS & SERVICES — 0.5% | |||||
|
Horizon Therapeutics USA, Inc. Senior Secured 2021 Term Loan B2, 1 Month USD LIBOR + 1.75% 2.25%,
3/15/2028(b) |
423,935 | 423,064 | |||
|
ICON Luxembourg S.A.R.L. Senior Secured LUX Term Loan, 3 Month USD LIBOR + 2.25% 2.75%,
7/3/2028(b) |
308,535 | 309,027 | |||
|
ICON Luxembourg S.A.R.L. Senior Secured US Term Loan, 3 Month USD LIBOR + 2.25% 2.75%,
7/3/2028(b) |
76,871 | 76,994 | |||
| 809,085 | |||||
See accompanying notes to financial statements.
36
SPDR DOUBLELINE SHORT DURATION
TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2021 (Unaudited)
| Security Description | Principal
Amount |
Value | |||
| HOTELS, RESTAURANTS & LEISURE — 0.3% | |||||
|
1011778 B.C. Unlimited Liability Co. Senior Secured Term Loan B4, 1 Month USD LIBOR + 1.75% 1.85%, 11/19/2026
(b) |
$ 447,716 | $ 442,399 | |||
| HOUSEHOLD DURABLES — 0.0% (c) | |||||
|
Installed Building Products, Inc. Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 2.250% 2.75%,
12/14/2028 |
15,000 | 15,031 | |||
| HOUSEHOLD PRODUCTS — 0.5% | |||||
|
Energizer Holdings, Inc. Senior Secured 2020 Term Loan,
12/22/2027(e) |
339,146 | 338,829 | |||
|
Reynolds Consumer Products, LLC Senior Secured Term Loan, 1 Month USD LIBOR + 1.75% 1.85%,
2/4/2027(b) |
422,547 | 420,848 | |||
| 759,677 | |||||
| INDEPENDENT POWER PRODUCERS & ENERGY TRADERS — 0.4% | |||||
|
Calpine Corp. Senior Secured 2020 Term Loan B5, 1 Month USD LIBOR + 2.50% 2.61%,
12/16/2027(b) |
298,492 | 296,937 | |||
|
Vistra Operations Co., LLC Senior Secured 1st Lien Term Loan B3, 1 Month USD LIBOR + 1.75% 1.86%,
12/31/2025(b) |
422,633 | 420,009 | |||
| 716,946 | |||||
| INTERACTIVE MEDIA & SERVICES — 0.3% | |||||
|
Go Daddy Operating Co., LLC Senior Secured 2017 Repriced Term Loan, 1 Month USD LIBOR + 1.75% 1.85%, 2/15/2024
(b) |
422,043 | 419,992 | |||
| IT SERVICES — 0.2% | |||||
|
Fleetcor Technologies Operating Company, LLC Senior Secured 2021 Term Loan B4, 1 Month USD LIBOR + 1.750% 1.85%, 4/28/2028
(b) |
422,876 | 418,436 | |||
| MACHINERY — 0.3% | |||||
|
Ali Group S.R.L. ,
10/12/2028(e) |
85,000 | 84,587 | |||
|
Ingersoll-Rand Services Co. Senior Secured 2020 USD Spinco Term Loan, 1 Month USD LIBOR + 1.75% 1.85%,
3/1/2027(b) |
447,722 | 443,399 | |||
| 527,986 | |||||
| MEDIA — 0.2% | |||||
|
Gray Television, Inc. Senior Secured 2021 Term Loan D, 1 Month USD LIBOR + 3.000% 3.10%,
12/1/2028 |
80,000 | 79,710 | |||
|
Nexstar Broadcasting, Inc. Senior Secured 2019 Term Loan B4, 3 Month USD LIBOR + 2.50% 2.60%,
9/18/2026(b) |
300,000 | 299,814 | |||
| 379,524 | |||||
See accompanying notes to financial statements.
37
SPDR DOUBLELINE SHORT DURATION
TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2021 (Unaudited)
| Security Description | Principal
Amount |
Value | |||
| MRI/MEDICAL DIAG IMAGING — 0.2% | |||||
|
IQVIA, Inc. Senior Secured 2018 USD Term Loan B3, 3 Month USD LIBOR + 1.750% 1.97%, 6/11/2025
(b) |
$ 396,862 | $ 396,036 | |||
| PHARMACEUTICALS — 0.5% | |||||
|
Catalent Pharma Solutions Inc. Senior Secured 2021 Term Loan B3, 1 Month USD LIBOR + 2.000% 2.50%,
2/22/2028(b) |
34,912 | 35,004 | |||
|
Elanco Animal Health, Inc. Senior Secured Term Loan B, 3 Month USD LIBOR + 1.75% 1.85%,
8/1/2027(b) |
512,341 | 506,377 | |||
|
Grifols Worldwide Operations USA, Inc. Senior Secured USD 2019 Term Loan B, 1 Month USD LIBOR + 2.00% 2.10%,
11/15/2027(b) |
319,481 | 315,346 | |||
| 856,727 | |||||
| PROFESSIONAL SERVICES — 0.1% | |||||
|
Trans Union, LLC Senior Secured 2021 Term Loan B6, 12/1/2028
(e) |
95,000 | 94,881 | |||
| REAL ESTATE INVESTMENT TRUSTS (REITS) — 0.2% | |||||
|
Iron Mountain, Inc. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 1.750% 1.85%, 1/2/2026
(b) |
423,902 | 418,249 | |||
| SOFTWARE — 0.3% | |||||
|
SS&C Technologies, Inc. Senior Secured 2018 Term Loan B5, 1 Month USD LIBOR + 1.750% 1.85%, 4/16/2025
(b) |
432,458 | 428,313 | |||
| THRIFTS & MORTGAGE FINANCE — 0.0% (c) | |||||
|
Walker & Dunlop, Inc. Senior Secured 2021 Term Loan, 12/16/2028
(e) |
40,000 | 40,000 | |||
|
TOTAL SENIOR FLOATING RATE LOANS (Cost
$11,606,341) |
11,614,557 | ||||
| Shares | |||
| SHORT-TERM INVESTMENT — 3.7% | |||
|
State Street Institutional U.S. Government Money Market Fund, Class G Shares 0.03% (f) (g) (Cost
$5,925,569) |
5,925,569 | 5,925,569 | |
|
TOTAL INVESTMENTS — 98.8% (Cost
$161,351,660) |
159,823,190 | ||
|
OTHER ASSETS IN EXCESS OF LIABILITIES — 1.2%
|
1,965,175 | ||
|
NET ASSETS —
100.0% |
$ 161,788,365 | ||
See
accompanying notes to financial statements.
38
SPDR DOUBLELINE SHORT DURATION
TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2021 (Unaudited)
| (a) | Securities purchased pursuant to Rule 144A of the Securities Act of 1933, as amended. These securities, which represent 23.8% of net assets as of December 31, 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 December 31, 2021. For securities based on a published reference rate and spread, the reference rate and spread are indicated in the description above. |
| (c) | Amount is less than 0.05% of net assets. |
| (d) | Step-up bond - Coupon rate increases in increments to maturity. Rate shown as of December 31, 2021. Maturity date shown is the final maturity. |
| (e) | Position is unsettled. Contract rate was not determined at December 31, 2021 and does not take effect until settlement date. Maturity date is not finalized until settlement date. |
| (f) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2021 are shown in the Affiliate Table below. |
| (g) | The rate shown is the annualized seven-day yield at December 31, 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 |
See accompanying notes to financial statements.
39
SPDR DOUBLELINE SHORT DURATION
TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2021 (Unaudited)
The
following table summarizes the value of the Fund's investments according to the fair value hierarchy as of December 31, 2021.
| Description | Level
1 – Quoted Prices |
Level
2 – Other Significant Observable Inputs |
Level
3 – Significant Unobservable Inputs |
Total | ||||
| ASSETS: | ||||||||
| INVESTMENTS: | ||||||||
|
Corporate Bonds &
Notes |
$ — | $ 38,827,617 | $— | $ 38,827,617 | ||||
|
Asset-Backed
Securities |
— | 19,738,583 | — | 19,738,583 | ||||
|
Foreign Government
Obligations |
— | 4,258,755 | — | 4,258,755 | ||||
|
U.S. Government Agency
Obligations |
— | 40,919,454 | — | 40,919,454 | ||||
|
U.S. Treasury
Obligations |
— | 27,024,880 | — | 27,024,880 | ||||
|
Mortgage-Backed
Securities |
— | 7,813,844 | — | 7,813,844 | ||||
|
Commercial Mortgage Backed
Securities |
— | 3,699,931 | — | 3,699,931 | ||||
|
Senior Floating Rate
Loans |
— | 11,614,557 | — | 11,614,557 | ||||
|
Short-Term
Investment |
5,925,569 | — | — | 5,925,569 | ||||
|
TOTAL
INVESTMENTS |
$5,925,569 | $153,897,621 | $— | $159,823,190 |
Affiliate Table
| Number
of Shares Held at 6/30/21 |
Value
at 6/30/21 |
Cost
of Purchases |
Proceeds
from Shares Sold |
Realized
Gain (Loss) |
Change
in Unrealized Appreciation/ Depreciation |
Number
of Shares Held at 12/31/21 |
Value
at 12/31/21 |
Dividend
Income | |||||||||
|
State Street Institutional U.S. Government Money Market Fund, Class G
Shares |
14,576,244 | $14,576,244 | $118,036,333 | $126,687,008 | $— | $— | 5,925,569 | $5,925,569 | $1,556 |
See accompanying notes to financial statements.
40
SPDR DOUBLELINE TOTAL RETURN
TACTICAL ETF
SCHEDULE OF INVESTMENTS
December 31, 2021 (Unaudited)
| Security Description | Principal
Amount |
Value | |||
| CORPORATE BONDS & NOTES — 14.9% | |||||
| ARGENTINA — 0.1% | |||||
|
AES Argentina Generacion SA Series REGS, 7.75%,
2/2/2024 |
$ 500,000 | $ 423,755 | |||
| Banco Macro SA: | |||||
|
USD 5 Year Swap Rate + 5.46%, 6.75%, 11/4/2026
(a)
(b) |
300,000 | 250,818 | |||
|
Series REGS, USD 5 Year Swap Rate + 5.46%, 6.75%, 11/4/2026
(b) |
1,000,000 | 836,060 | |||
| Pampa Energia SA: | |||||
|
Series REGS, 7.50%,
1/24/2027 |
2,000,000 | 1,727,800 | |||
|
Series REGS, 9.13%,
4/15/2029 |
150,000 | 131,969 | |||
| 3,370,402 | |||||
| AUSTRALIA — 0.3% | |||||
| Glencore Funding LLC: | |||||
|
1.63%, 4/27/2026
(a) |
1,120,000 | 1,099,873 | |||
|
3.38%, 9/23/2051
(a) |
745,000 | 712,369 | |||
| Macquarie Group, Ltd.: | |||||
|
SOFR + 0.91%, 1.63%, 9/23/2027
(a)
(b) |
1,665,000 | 1,629,469 | |||
|
SOFR + 1.53%, 2.87%, 1/14/2033
(a)
(b) |
1,910,000 | 1,903,640 | |||
|
Westpac Banking Corp. 5 year CMT + 1.53%, 3.02%, 11/18/2036
(b) |
1,840,000 | 1,820,128 | |||
| 7,165,479 | |||||
| BELGIUM — 0.1% | |||||
|
Anheuser-Busch InBev Worldwide, Inc. 5.55%,
1/23/2049 |
1,255,000 | 1,735,803 | |||
| BRAZIL — 0.4% | |||||
|
Banco do Brasil SA 10 Year CMT + 6.36%, 9.00%, 6/18/2024
(b) |
1,500,000 | 1,600,260 | |||
|
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 | 678,097 | |||
|
Cosan Overseas, Ltd. 8.25%,
2/5/2022 |
4,314,000 | 4,405,672 | |||
| Itau Unibanco Holding SA: | |||||
|
VRN, 5 Year CMT + 3.22%, 4.63%, 2/27/2025
(a)
(b) |
200,000 | 187,516 | |||
|
Series REGS, 5 Year CMT + 3.98%, 6.13%, 12/12/2022
(b) |
1,200,000 | 1,206,612 | |||
|
Series REGS, VRN, 5 year CMT + 3.22%, 4.63%, 2/27/2025
(b) |
200,000 | 187,516 | |||
|
Series REGS, VRN, 5 year CMT + 3.45%, 3.88%, 4/15/2031
(b) |
1,100,000 | 1,055,483 |
See accompanying notes to financial statements.
41
SPDR DOUBLELINE TOTAL RETURN
TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2021 (Unaudited)
| Security Description | Principal
Amount |
Value | |||
|
Minerva Luxembourg SA 4.38%, 3/18/2031
(a) |
$ 1,200,000 | $ 1,142,904 | |||
| Petrobras Global Finance B.V.: | |||||
|
5.50%,
6/10/2051 |
1,300,000 | 1,206,322 | |||
|
6.75%,
6/3/2050 |
1,000,000 | 1,047,340 | |||
| 12,717,722 | |||||
| CANADA — 0.5% | |||||
|
Air Canada 3.88%, 8/15/2026
(a) |
320,000 | 327,203 | |||
| Bank of Nova Scotia: | |||||
|
1.63%,
5/1/2023 |
1,360,000 | 1,375,586 | |||
|
3.40%,
2/11/2024 |
400,000 | 419,392 | |||
|
Bombardier, Inc. 7.88%, 4/15/2027
(a) |
350,000 | 362,947 | |||
| Garda World Security Corp.: | |||||
|
4.63%, 2/15/2027
(a) |
615,000 | 615,369 | |||
|
6.00%, 6/1/2029
(a) |
480,000 | 461,717 | |||
|
GFL Environmental, Inc. 4.00%, 8/1/2028
(a) |
585,000 | 574,101 | |||
|
Intelligent Packaging, Ltd. Finco, Inc./Intelligent Packaging, Ltd. Co-Issuer LLC 6.00%, 9/15/2028
(a) |
225,000 | 231,894 | |||
| Kronos Acquisition Holdings, Inc./KIK Custom Products, Inc.: | |||||
|
5.00%, 12/31/2026
(a) |
975,000 | 962,491 | |||
|
7.00%, 12/31/2027
(a) |
525,000 | 498,939 | |||
|
Mattamy Group Corp. 4.63%, 3/1/2030
(a) |
395,000 | 402,410 | |||
| MEG Energy Corp.: | |||||
|
5.88%, 2/1/2029
(a) |
95,000 | 99,639 | |||
|
7.13%, 2/1/2027
(a) |
460,000 | 489,891 | |||
| Parkland Corp.: | |||||
|
4.50%, 10/1/2029
(a) |
435,000 | 435,718 | |||
|
4.63%, 5/1/2030
(a) |
300,000 | 299,091 | |||
|
Primo Water Holdings, Inc. 4.38%, 4/30/2029
(a) |
325,000 | 322,231 | |||
|
Royal Bank of Canada Series GMTN, 1.15%,
7/14/2026 |
5,205,000 | 5,097,725 | |||
|
Superior Plus L.P./Superior General Partner, Inc. 4.50%, 3/15/2029
(a) |
615,000 | 630,756 | |||
| Telesat Canada/Telesat LLC: | |||||
|
4.88%, 6/1/2027
(a) |
255,000 | 225,723 | |||
|
6.50%, 10/15/2027
(a) |
260,000 | 201,484 |
See accompanying notes to financial statements.
42
SPDR DOUBLELINE TOTAL RETURN
TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2021 (Unaudited)
| Security Description | Principal
Amount |
Value | |||
|
Tervita Corp. 11.00%, 12/1/2025
(a) |
$ 237,000 | $ 272,586 | |||
|
Titan Acquisition, Ltd./Titan Co-Borrower LLC 7.75%, 4/15/2026
(a) |
320,000 | 325,635 | |||
| 14,632,528 | |||||
| CAYMAN ISLANDS — 0.0% (c) | |||||
|
Global Aircraft Leasing Co., Ltd. PIK, 6.50%, 9/15/2024
(a) |
563,752 | 544,534 | |||
| CHILE — 0.3% | |||||
| AES Gener SA: | |||||
|
5 Year CMT + 4.92%, 6.35%, 10/7/2079
(a)
(b) |
200,000 | 203,486 | |||
|
USD 5 Year Swap Rate + 4.64%, 7.13%, 3/26/2079
(a)
(b) |
400,000 | 414,752 | |||
|
Series REGS, USD 5 Year Swap Rate + 4.64%, 7.13%, 3/26/2079
(b) |
1,600,000 | 1,659,008 | |||
|
Antofagasta PLC Series REGS, 2.38%,
10/14/2030 |
200,000 | 190,874 | |||
|
CAP SA 3.90%, 4/27/2031
(a) |
1,350,000 | 1,269,000 | |||
|
Chile Electricity PEC SpA 0.01%, 1/25/2028
(a) |
500,000 | 406,425 | |||
|
Empresa Electrica Angamos SA Series REGS, 4.88%,
5/25/2029 |
1,304,000 | 1,252,179 | |||
|
Empresa Electrica Cochrane SpA Series REGS, 5.50%,
5/14/2027 |
832,020 | 833,875 | |||
|
Guacolda Energia SA Series REGS, 4.56%,
4/30/2025 |
1,900,000 | 740,525 | |||
|
Telefonica Moviles Chile SA 3.54%, 11/18/2031
(a) |
150,000 | 149,493 | |||
| 7,119,617 | |||||
| CHINA — 0.0% (c) | |||||
|
Tencent Holdings, Ltd. 2.39%, 6/3/2030
(a) |
500,000 | 489,840 | |||
| COLOMBIA — 0.3% | |||||
|
AI Candelaria Spain SLU 5.75%, 6/15/2033
(a) |
900,000 | 870,453 | |||
|
Banco Davivienda SA VRN, 10 Year CMT + 5.10%, 6.65%, 4/22/2031
(a)
(b) |
600,000 | 608,058 | |||
| Ecopetrol SA: | |||||
|
4.63%,
11/2/2031 |
400,000 | 388,552 |
See accompanying notes to financial statements.
43
SPDR DOUBLELINE TOTAL RETURN
TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2021 (Unaudited)
| Security Description | Principal
Amount |
Value | |||
|
5.88%,
5/28/2045 |
$ 200,000 | $ 191,548 | |||
|
5.88%,
11/2/2051 |
2,050,000 | 1,922,428 | |||
| Empresas Publicas de Medellin ESP: | |||||
|
Series REGS, 4.25%,
7/18/2029 |
1,400,000 | 1,327,970 | |||
|
Series REGS, 4.38%,
2/15/2031 |
1,000,000 | 940,140 | |||
|
Gran Tierra Energy International Holdings, Ltd. Series REGS, 6.25%,
2/15/2025 |
2,600,000 | 2,365,740 | |||
|
Grupo Aval, Ltd. 4.38%, 2/4/2030
(a) |
300,000 | 287,832 | |||
|
Oleoducto Central SA Series REGS, 4.00%,
7/14/2027 |
500,000 | 498,170 | |||
| 9,400,891 | |||||
| FRANCE — 0.1% | |||||
| Altice France SA: | |||||
|
5.13%, 7/15/2029
(a) |
680,000 | 663,360 | |||
|
5.50%, 10/15/2029
(a) |
460,000 | 455,400 | |||
|
TotalEnergies Capital International SA 3.39%,
6/29/2060 |
1,575,000 | 1,678,635 | |||
| 2,797,395 | |||||
| GERMANY — 0.0% (c) | |||||
|
TK Elevator US Newco, Inc. 5.25%, 7/15/2027
(a) |
700,000 | 735,238 | |||
| HONG KONG — 0.0% (c) | |||||
|
Seaspan Corp. 5.50%, 8/1/2029
(a) |
325,000 | 326,814 | |||
| INDIA — 0.3% | |||||
|
Adani International Container Terminal Pvt, Ltd. Series REGS, 3.00%,
2/16/2031 |
784,000 | 755,929 | |||
| Adani Ports & Special Economic Zone, Ltd.: | |||||
|
4.00%,
7/30/2027 |
400,000 | 412,368 | |||
|
Series REGS, 4.38%,
7/3/2029 |
400,000 | 417,724 | |||
|
JSW Hydro Energy, Ltd. 4.13%, 5/18/2031
(a) |
386,000 | 384,001 | |||
|
ONGC Videsh Vankorneft Pte, Ltd. 3.75%,
7/27/2026 |
2,200,000 | 2,305,490 | |||
|
UPL Corp., Ltd. 4.50%,
3/8/2028 |
1,300,000 | 1,367,073 | |||
|
Vedanta Resources Finance II PLC 9.25%, 4/23/2026
(a) |
1,400,000 | 1,310,764 |
See accompanying notes to financial statements.
44
SPDR DOUBLELINE TOTAL RETURN
TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2021 (Unaudited)
| Security Description | Principal
Amount |
Value | |||
|
Vedanta Resources, Ltd. Series REGS, 6.13%,
8/9/2024 |
$ 2,200,000 | $ 1,926,606 | |||
| 8,879,955 | |||||
| INDONESIA — 0.1% | |||||
| Minejesa Capital B.V.: | |||||
|
Series REGS, 4.63%,
8/10/2030 |
1,200,000 | 1,231,512 | |||
|
Series REGS, 5.63%,
8/10/2037 |
2,200,000 | 2,300,056 | |||
| 3,531,568 | |||||
| IRELAND — 0.1% | |||||
| Avolon Holdings Funding, Ltd.: | |||||
|
2.13%, 2/21/2026
(a) |
1,065,000 | 1,046,575 | |||
|
3.25%, 2/15/2027
(a) |
620,000 | 628,079 | |||
| 1,674,654 | |||||
| JAMAICA — 0.0% (c) | |||||
| Digicel Group Holdings, Ltd.: | |||||
|
PIK, 7.00%, 12/31/2099
(a) |
632,750 | 548,911 | |||
|
PIK, 8.00%, 4/1/2025
(a) |
847,846 | 786,852 | |||
| 1,335,763 | |||||
| JAPAN — 0.1% | |||||
|
Mitsubishi UFJ Financial Group, Inc. 3 Month USD LIBOR + 0.74%, 0.91%, 3/2/2023
(b) |
1,720,000 | 1,728,239 | |||
| KUWAIT — 0.1% | |||||
|
Equate Petrochemical B.V. Series REGS, 2.63%,
4/28/2028 |
1,100,000 | 1,101,375 | |||
|
MEGlobal Canada ULC 5.00%, 5/18/2025
(a) |
500,000 | 545,590 | |||
| 1,646,965 | |||||
| LUXEMBOURG — 0.0% (c) | |||||
|
Altice Financing SA 5.00%, 1/15/2028
(a) |
240,000 | 233,402 | |||
|
Altice France Holding SA 6.00%, 2/15/2028
(a) |
430,000 | 411,287 | |||
|
ARD Finance SA PIK, 6.50%, 6/30/2027
(a) |
200,000 | 205,908 | |||
| 850,597 |
See accompanying notes to financial statements.
45
SPDR DOUBLELINE TOTAL RETURN
TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2021 (Unaudited)
| Security Description | Principal
Amount |
Value | |||
| MALAYSIA — 0.1% | |||||
| Petronas Capital, Ltd.: | |||||
|
2.48%, 1/28/2032
(a) |
$ 1,200,000 | $ 1,203,804 | |||
|
3.50%, 4/21/2030
(a) |
400,000 | 432,896 | |||
| 1,636,700 | |||||
| MEXICO — 0.3% | |||||
| Banco Mercantil del Norte SA: | |||||
|
10 year CMT + 5.47%, 7.50%, 6/27/2029
(a)
(b) |
1,400,000 | 1,490,286 | |||
|
Series REGS, 10 Year CMT + 5.35%, 7.63%, 12/31/2099
(b) |
800,000 | 854,144 | |||
|
Credito Real SAB de CV Series REGS, 5 Year CMT + 7.03%, 9.13%, 11/29/2022
(b) |
1,200,000 | 585,708 | |||
|
Grupo Idesa SA de CV PIK, 10.13%, 5/22/2026
(a) |
1,550,908 | 1,027,492 | |||
|
Mexarrend SAPI de CV 10.25%, 7/24/2024
(a) |
982,000 | 873,342 | |||
|
Petroleos Mexicanos 6.75%,
9/21/2047 |
1,400,000 | 1,238,720 | |||
|
Unifin Financiera SAB de CV Series REGS, 5 Year CMT + 6.31%, 8.88%, 1/29/2025
(b) |
3,000,000 | 1,766,400 | |||
| 7,836,092 | |||||
| PANAMA — 0.1% | |||||
|
Banco General SA VRN, 10 Year CMT + 3.67%, 5.25%, 5/7/2031
(a)
(b) |
1,000,000 | 1,015,580 | |||
|
Banco Nacional de Panama 2.50%, 8/11/2030
(a) |
300,000 | 281,025 | |||
| UEP Penonome II SA: | |||||
|
6.50%, 10/1/2038
(a) |
336,671 | 354,016 | |||
|
Series REGS, 6.50%,
10/1/2038 |
384,767 | 404,590 | |||
| 2,055,211 | |||||
| PERU — 0.2% | |||||
| Banco de Credito del Peru: | |||||
|
VRN, 5 year CMT + 3.00%, 3.13%, 7/1/2030
(a)
(b) |
700,000 | 692,104 | |||
|
Series REGS, 5 year CMT + 3.00%, 3.13%, 7/1/2030
(b) |
700,000 | 692,104 | |||
|
Banco Internacional del Peru SAA Interbank Series REGS, VRN, 1 year CMT + 3.71%, 4.00%, 7/8/2030
(b) |
1,200,000 | 1,195,104 | |||
|
Fenix Power Peru SA Series REGS, 4.32%,
9/20/2027 |
330,588 | 338,205 |
See accompanying notes to financial statements.
46
SPDR DOUBLELINE TOTAL RETURN
TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2021 (Unaudited)
| Security Description | Principal
Amount |
Value | |||
|
Hunt Oil Co. of Peru LLC Sucursal Del Peru Series REGS, 6.38%,
6/1/2028 |
$ 1,053,800 | $ 1,068,227 | |||
|
Inkia Energy, Ltd. Series REGS, 5.88%,
11/9/2027 |
1,200,000 | 1,229,856 | |||
|
Peru LNG S.r.l. Series REGS, 5.38%,
3/22/2030 |
800,000 | 692,296 | |||
| 5,907,896 | |||||
| PHILIPPINES — 0.1% | |||||
|
BDO Unibank, Inc. Series EMTN, 2.95%,
3/6/2023 |
3,000,000 | 3,052,500 | |||
| QATAR — 0.1% | |||||
| Ooredoo International Finance, Ltd.: | |||||
|
Series REGS, 3.25%,
2/21/2023 |
300,000 | 307,494 | |||
|
Series REGS, 3.75%,
6/22/2026 |
200,000 | 216,532 | |||
|
Qatar Energy 2.25%,
7/12/2031 |
2,400,000 | 2,377,363 | |||
| 2,901,389 | |||||
| SAUDI ARABIA — 0.0% (c) | |||||
|
SA Global Sukuk, Ltd. 2.69%, 6/17/2031
(a) |
600,000 | 603,456 | |||
| SINGAPORE — 0.4% | |||||
|
Avation Capital SA PIK, 8.25%, 10/31/2026
(a) |
264,163 | 221,149 | |||
| DBS Group Holdings, Ltd.: | |||||
|
Series GMTN, VRN, 5 year CMT + 1.10%, 1.82%, 3/10/2031
(b) |
400,000 | 395,312 | |||
|
Series REGS, VRN, USD 5 year ICE Swap Rate + 1.59%, 4.52%, 12/11/2028
(b) |
500,000 | 528,225 | |||
| Oversea-Chinese Banking Corp., Ltd.: | |||||
|
VRN, 5 year CMT + 1.58%, 1.83%, 9/10/2030
(a)
(b) |
700,000 | 694,869 | |||
|
Series REGS, VRN, 5 year CMT + 1.58%, 1.83%, 9/10/2030
(b) |
900,000 | 893,403 | |||
| PSA Treasury Pte, Ltd.: | |||||
|
2.25%,
4/30/2030 |
500,000 | 510,346 | |||
|
Series GMTN, 2.13%,
9/5/2029 |
1,700,000 | 1,716,766 | |||
| SingTel Group Treasury Pte, Ltd.: | |||||
|
1.88%,
6/10/2030 |
1,250,000 | 1,231,084 | |||
|
2.38%,
8/28/2029 |
400,000 | 409,953 |
See accompanying notes to financial statements.
47
SPDR DOUBLELINE TOTAL RETURN
TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2021 (Unaudited)
| Security Description | Principal
Amount |
Value | |||
| Temasek Financial I Ltd.: | |||||
|
1.00%, 10/6/2030
(a) |
$ 2,900,000 | $ 2,704,192 | |||
|
1.63%,
8/2/2031 |
1,050,000 | 1,019,550 | |||
|
Series REGS, 1.00%,
10/6/2030 |
250,000 | 233,120 | |||
| United Overseas Bank, Ltd.: | |||||
|
Series EMTN, USD 5 Year Swap Rate + 1.79%, 3.88%, 10/19/2023
(b) |
400,000 | 410,000 | |||
|
Series GMTN, VRN, 5 year CMT + 1.52%, 1.75%, 3/16/2031
(b) |
500,000 | 492,050 | |||
| 11,460,019 | |||||
| SOUTH KOREA — 0.3% | |||||
|
Korea East-West Power Co., Ltd. Series REGS, 1.75%,
5/6/2025 |
1,800,000 | 1,813,320 | |||
| KT Corp.: | |||||
|
1.00%,
9/1/2025 |
600,000 | 588,138 | |||
|
1.38%,
1/21/2027 |
700,000 | 683,562 | |||
|
Series REGS, 2.50%,
7/18/2026 |
1,000,000 | 1,033,300 | |||
|
LG Chem, Ltd. 2.38%, 7/7/2031
(a) |
250,000 | 246,055 | |||
|
NongHyup Bank 1.25%, 7/20/2025
(a) |
1,000,000 | 990,420 | |||
| POSCO: | |||||
|
Series REGS, 2.38%,
1/17/2023 |
700,000 | 708,848 | |||
|
Series REGS, 2.75%,
7/15/2024 |
800,000 | 825,888 | |||
|
Shinhan Financial Group Co., Ltd. VRN, 5 year CMT + 2.06%, 2.88%, 5/12/2026
(a)
(b) |
900,000 | 887,085 | |||
|
Woori Bank Series REGS, VRN, 5 year CMT + 2.66%, 4.25%, 10/4/2024
(b) |
1,000,000 | 1,036,690 | |||
| 8,813,306 | |||||
| SPAIN — 0.0% (c) | |||||
|
Grifols Escrow Issuer SA 4.75%, 10/15/2028
(a) |
1,040,000 | 1,049,693 | |||
| THAILAND — 0.1% | |||||
|
Bangkok Bank PCL VRN, 5 Year CMT + 4.72%, 5.00%, 12/31/2099
(b) |
900,000 | 931,923 | |||
|
Kasikornbank PCL Series EMTN, VRN, 5 year CMT + 4.94%, 5.28%, 10/14/2025
(b) |
700,000 | 733,250 | |||
|
PTTEP Treasury Center Co., Ltd. 2.59%, 6/10/2027
(a) |
200,000 | 204,130 | |||
| 1,869,303 |
See accompanying notes to financial statements.
48
SPDR DOUBLELINE TOTAL RETURN
TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2021 (Unaudited)
| Security Description | Principal
Amount |
Value | |||
| UNITED ARAB EMIRATES — 0.1% | |||||
| Galaxy Pipeline Assets Bidco, Ltd.: | |||||
|
2.16%, 3/31/2034
(a) |
$ 2,200,000 | $ 2,159,476 | |||
|
2.94%,
9/30/2040 |
200,000 | 199,043 | |||
|
Series REGS, 2.63%,
3/31/2036 |
1,700,000 | 1,660,887 | |||
| 4,019,406 | |||||
| UNITED KINGDOM — 0.1% | |||||
|
BAT Capital Corp. 2.73%,
3/25/2031 |
1,820,000 | 1,767,729 | |||
|
CK Hutchison International 20, Ltd. 2.50%, 5/8/2030
(a) |
1,000,000 | 1,014,030 | |||
|
eG Global Finance PLC 8.50%, 10/30/2025
(a) |
615,000 | 640,787 | |||
|
Virgin Media Finance PLC 5.00%, 7/15/2030
(a) |
605,000 | 604,607 | |||
| 4,027,153 | |||||
| UNITED STATES — 10.2% | |||||
|
AbbVie, Inc. 3.85%,
6/15/2024 |
1,670,000 | 1,765,641 | |||
|
Academy, Ltd. 6.00%, 11/15/2027
(a) |
385,000 | 411,180 | |||
| Acrisure LLC/Acrisure Finance, Inc.: | |||||
|
4.25%, 2/15/2029
(a) |
445,000 | 433,572 | |||
|
6.00%, 8/1/2029
(a) |
365,000 | 360,346 | |||
|
Acuris Finance Us, Inc./Acuris Finance SARL 5.00%, 5/1/2028
(a) |
675,000 | 673,393 | |||
|
AdaptHealth LLC 5.13%, 3/1/2030
(a) |
615,000 | 628,991 | |||
|
Advanced Drainage Systems, Inc. 5.00%, 9/30/2027
(a) |
370,000 | 383,453 | |||
|
AEP Texas, Inc. Series H, 3.45%,
1/15/2050 |
1,280,000 | 1,309,350 | |||
|
Aethon United BR L.P./Aethon United Finance Corp. 8.25%, 2/15/2026
(a) |
305,000 | 327,384 | |||
|
Air Lease Corp. 3.25%,
3/1/2025 |
1,715,000 | 1,782,657 | |||
|
Air Methods Corp. 8.00%, 5/15/2025
(a) |
173,000 | 148,745 | |||
|
Alexandria Real Estate Equities, Inc. 1.88%,
2/1/2033 |
2,385,000 | 2,240,636 |
See accompanying notes to financial statements.
49
SPDR DOUBLELINE TOTAL RETURN
TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2021 (Unaudited)
| Security Description | Principal
Amount |
Value | |||
|
Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer 6.75%, 10/15/2027
(a) |
$ 390,000 | $ 404,625 | |||
| Allied Universal Holdco LLC/Allied Universal Finance Corp.: | |||||
|
6.00%, 6/1/2029
(a) |
425,000 | 413,257 | |||
|
6.63%, 7/15/2026
(a) |
355,000 | 372,356 | |||
|
9.75%, 7/15/2027
(a) |
455,000 | 486,377 | |||
|
American Airlines, Inc./AAdvantage Loyalty IP, Ltd. 5.75%, 4/20/2029
(a) |
645,000 | 689,776 | |||
|
American Axle & Manufacturing, Inc. 5.00%,
10/1/2029 |
590,000 | 579,109 | |||
|
Amgen, Inc. 2.45%,
2/21/2030 |
1,795,000 | 1,826,897 | |||
|
AmWINS Group, Inc. 4.88%, 6/30/2029
(a) |
580,000 | 586,896 | |||
|
Antero Midstream Partners L.P./Antero Midstream Finance Corp. 5.75%, 3/1/2027
(a) |
300,000 | 310,131 | |||
|
Antero Resources Corp. 5.38%, 3/1/2030
(a) |
330,000 | 352,862 | |||
|
Anthem, Inc. 3.30%,
1/15/2023 |
1,737,000 | 1,783,986 | |||
| Apache Corp.: | |||||
|
4.38%,
10/15/2028 |
355,000 | 386,900 | |||
|
4.63%,
11/15/2025 |
200,000 | 215,046 | |||
|
APi Escrow Corp. 4.75%, 10/15/2029
(a) |
475,000 | 482,643 | |||
|
APi Group DE, Inc. 4.13%, 7/15/2029
(a) |
390,000 | 394,150 | |||
|
Arches Buyer, Inc. 4.25%, 6/1/2028
(a) |
130,000 | 130,029 | |||
|
Arconic Corp. 6.13%, 2/15/2028
(a) |
860,000 | 915,083 | |||
|
Ardagh Metal Packaging Finance USA LLC/Ardagh Metal Packaging Finance PLC 4.00%, 9/1/2029
(a) |
835,000 | 828,061 | |||
|
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. 5.25%, 8/15/2027
(a) |
300,000 | 302,310 | |||
|
Arrow Electronics, Inc. 3.88%,
1/12/2028 |
1,667,000 | 1,806,911 | |||
|
Ashton Woods USA LLC/Ashton Woods Finance Co. 4.63%, 4/1/2030
(a) |
415,000 | 411,917 | |||
| AssuredPartners, Inc.: | |||||
|
5.63%, 1/15/2029
(a) |
60,000 | 58,587 |
See accompanying notes to financial statements.
50
SPDR DOUBLELINE TOTAL RETURN
TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2021 (Unaudited)
| Security Description | Principal
Amount |
Value | |||
|
7.00%, 8/15/2025
(a) |
$ 952,000 | $ 961,234 | |||
| At Home Group, Inc.: | |||||
|
4.88%, 7/15/2028
(a) |
115,000 | 113,347 | |||
|
7.13%, 7/15/2029
(a) |
245,000 | 242,734 | |||
| AT&T, Inc.: | |||||
|
2.25%,
2/1/2032 |
1,785,000 | 1,727,112 | |||
|
2.75%,
6/1/2031 |
475,000 | 484,381 | |||
|
3.30%,
2/1/2052 |
950,000 | 930,629 | |||
|
Athene Holding, Ltd. 3.95%,
5/25/2051 |
1,605,000 | 1,757,908 | |||
|
Austin BidCo, Inc. 7.13%, 12/15/2028
(a) |
155,000 | 160,596 | |||
|
Avaya, Inc. 6.13%, 9/15/2028
(a) |
605,000 | 641,935 | |||
|
B&G Foods, Inc. 5.25%,
9/15/2027 |
240,000 | 248,270 | |||
|
Bank of America Corp. 5 year CMT + 1.20%, 2.48%, 9/21/2036
(b) |
2,740,000 | 2,651,936 | |||
| Bausch Health Cos., Inc.: | |||||
|
4.88%, 6/1/2028
(a) |
420,000 | 430,907 | |||
|
5.25%, 1/30/2030
(a) |
275,000 | 243,150 | |||
|
6.25%, 2/15/2029
(a) |
300,000 | 285,456 | |||
|
7.00%, 1/15/2028
(a) |
535,000 | 537,814 | |||
|
Beacon Roofing Supply, Inc. 4.13%, 5/15/2029
(a) |
170,000 | 169,929 | |||
|
Berry Global, Inc. 0.95%,
2/15/2024 |
1,770,000 | 1,752,017 | |||
|
Blackstone Holdings Finance Co. LLC 2.00%, 1/30/2032
(a) |
3,940,000 | 3,791,659 | |||
|
Blue Racer Midstream LLC/Blue Racer Finance Corp. 7.63%, 12/15/2025
(a) |
235,000 | 249,831 | |||
|
Boeing Co. 2.95%,
2/1/2030 |
1,685,000 | 1,706,366 | |||
|
Boston Properties L.P. 3.65%,
2/1/2026 |
2,590,000 | 2,775,884 | |||
|
Boxer Parent Co., Inc. 7.13%, 10/2/2025
(a) |
35,000 | 36,752 | |||
|
Boyd Gaming Corp. 4.75%, 6/15/2031
(a) |
570,000 | 584,261 | |||
|
Boyne USA, Inc. 4.75%, 5/15/2029
(a) |
700,000 | 724,836 | |||
|
BP Capital Markets America, Inc. 3.00%,
3/17/2052 |
1,865,000 | 1,828,315 |
See accompanying notes to financial statements.
51
SPDR DOUBLELINE TOTAL RETURN
TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2021 (Unaudited)
| Security Description | Principal
Amount |
Value | |||
|
Brighthouse Financial Global Funding 1.00%, 4/12/2024
(a) |
$ 765,000 | $ 759,025 | |||
|
Broadcom, Inc. 3.42%, 4/15/2033
(a) |
1,719,000 | 1,794,584 | |||
|
Brown & Brown, Inc. 2.38%,
3/15/2031 |
1,290,000 | 1,264,484 | |||
| Builders FirstSource, Inc.: | |||||
|
4.25%, 2/1/2032
(a) |
400,000 | 416,088 | |||
|
5.00%, 3/1/2030
(a) |
400,000 | 429,384 | |||
|
Bunge, Ltd. Finance Corp. 2.75%,
5/14/2031 |
1,755,000 | 1,781,764 | |||
| Cablevision Lightpath LLC: | |||||
|
3.88%, 9/15/2027
(a) |
300,000 | 291,138 | |||
|
5.63%, 9/15/2028
(a) |
200,000 | 197,340 | |||
|
Caesars Entertainment, Inc. 4.63%, 10/15/2029
(a) |
465,000 | 467,641 | |||
| Calpine Corp.: | |||||
|
4.50%, 2/15/2028
(a) |
265,000 | 274,900 | |||
|
4.63%, 2/1/2029
(a) |
205,000 | 203,237 | |||
|
5.13%, 3/15/2028
(a) |
165,000 | 167,660 | |||
|
Camelot Finance SA 4.50%, 11/1/2026
(a) |
125,000 | 129,586 | |||
|
Carlson Travel, Inc. 6.75%, 12/15/2025
(a)
(d) |
215,000 | 103,120 | |||
|
Carnival Corp. 5.75%, 3/1/2027
(a) |
855,000 | 854,786 | |||
|
Carrier Global Corp. 3.58%,
4/5/2050 |
880,000 | 936,135 | |||
|
Carvana Co. 5.63%, 10/1/2025
(a) |
165,000 | 165,210 | |||
|
Castle US Holding Corp. 9.50%, 2/15/2028
(a) |
585,000 | 611,237 | |||
|
Catalent Pharma Solutions, Inc. 3.50%, 4/1/2030
(a) |
360,000 | 359,309 | |||
| CCO Holdings LLC/CCO Holdings Capital Corp.: | |||||
|
4.25%, 1/15/2034
(a) |
380,000 | 374,194 | |||
|
4.50%, 8/15/2030
(a) |
370,000 | 379,661 | |||
|
4.75%, 3/1/2030
(a) |
755,000 | 787,072 | |||
|
Cedar Fair L.P. 5.25%,
7/15/2029 |
430,000 | 443,257 | |||
|
Cengage Learning, Inc. 9.50%, 6/15/2024
(a) |
495,000 | 501,252 |
See accompanying notes to financial statements.
52
SPDR DOUBLELINE TOTAL RETURN
TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2021 (Unaudited)
| Security Description | Principal
Amount |
Value | |||
| Centene Corp.: | |||||
|
2.50%,
3/1/2031 |
$ 2,320,000 | $ 2,258,358 | |||
|
2.63%,
8/1/2031 |
325,000 | 319,712 | |||
|
3.00%,
10/15/2030 |
210,000 | 213,679 | |||
|
Century Communities, Inc. 6.75%,
6/1/2027 |
360,000 | 379,134 | |||
|
Charter Communications Operating LLC/Charter Communications Operating Capital 2.30%,
2/1/2032 |
2,315,000 | 2,199,829 | |||
|
Chesapeake Energy Corp. 5.88%, 2/1/2029
(a) |
415,000 | 444,262 | |||
| CHS/Community Health Systems, Inc.: | |||||
|
4.75%, 2/15/2031
(a) |
410,000 | 415,117 | |||
|
6.00%, 1/15/2029
(a) |
455,000 | 487,355 | |||
|
6.88%, 4/15/2029
(a) |
540,000 | 551,470 | |||
|
Cigna Corp. 4.90%,
12/15/2048 |
1,305,000 | 1,685,068 | |||
|
Citigroup, Inc. 3 Month USD LIBOR + 1.39%, 3.67%, 7/24/2028
(b) |
3,235,000 | 3,489,142 | |||
| Clarios Global L.P./Clarios US Finance Co.: | |||||
|
6.25%, 5/15/2026
(a) |
396,000 | 414,909 | |||
|
8.50%, 5/15/2027
(a) |
225,000 | 238,536 | |||
|
Clarivate Science Holdings Corp. 4.88%, 7/1/2029
(a) |
390,000 | 396,185 | |||
|
Clean Harbors, Inc. 5.13%, 7/15/2029
(a) |
145,000 | 153,846 | |||
| Clear Channel Outdoor Holdings, Inc.: | |||||
|
7.50%, 6/1/2029
(a) |
245,000 | 261,640 | |||
|
7.75%, 4/15/2028
(a) |
80,000 | 85,929 | |||
|
Clearway Energy Operating LLC 4.75%, 3/15/2028
(a) |
375,000 | 395,400 | |||
|
CNX Midstream Partners L.P. 4.75%, 4/15/2030
(a) |
775,000 | 773,039 | |||
|
CNX Resources Corp. 6.00%, 1/15/2029
(a) |
375,000 | 390,004 | |||
|
Comcast Corp. 2.94%, 11/1/2056
(a) |
1,826,000 | 1,739,356 | |||
|
CommScope Technologies LLC 5.00%, 3/15/2027
(a) |
230,000 | 216,708 | |||
|
CommScope, Inc. 4.75%, 9/1/2029
(a) |
470,000 | 467,688 | |||
|
Consolidated Communications, Inc. 5.00%, 10/1/2028
(a) |
405,000 | 413,274 |
See accompanying notes to financial statements.
53
SPDR DOUBLELINE TOTAL RETURN
TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2021 (Unaudited)
| Security Description | Principal
Amount |
Value | |||
| Constellation Brands, Inc.: | |||||
|
2.88%,
5/1/2030 |
$ 375,000 | $ 384,428 | |||
|
3.15%,
8/1/2029 |
1,380,000 | 1,453,802 | |||
|
Constellation Merger Sub, Inc. 8.50%, 9/15/2025
(a) |
170,000 | 163,557 | |||
|
Continental Resources, Inc. 2.27%, 11/15/2026
(a) |
645,000 | 640,511 | |||
|
Cornerstone Building Brands, Inc. 6.13%, 1/15/2029
(a) |
440,000 | 469,383 | |||
| Coty, Inc.: | |||||
|
5.00%, 4/15/2026
(a) |
410,000 | 422,509 | |||
|
6.50%, 4/15/2026
(a) |
245,000 | 252,524 | |||
|
CQP Holdco L.P./BIP-V Chinook Holdco LLC 5.50%, 6/15/2031
(a) |
1,015,000 | 1,059,112 | |||
|
Crown Castle International Corp. 4.30%,
2/15/2029 |
1,605,000 | 1,791,485 | |||
| CSC Holdings LLC: | |||||
|
4.63%, 12/1/2030
(a) |
800,000 | 756,944 | |||
|
5.75%, 1/15/2030
(a) |
810,000 | 809,887 | |||
|
CSI Compressco L.P./CSI Compressco Finance, Inc. 7.50%, 4/1/2025
(a) |
660,000 | 669,550 | |||
|
CSX Corp. 3.35%,
9/15/2049 |
1,585,000 | 1,686,123 | |||
|
CVR Partners L.P./CVR Nitrogen Finance Corp. 6.13%, 6/15/2028
(a) |
380,000 | 401,641 | |||
|
Dana Financing Luxembourg Sarl 5.75%, 4/15/2025
(a) |
325,000 | 333,528 | |||
| Dana, Inc.: | |||||
|
4.25%,
9/1/2030 |
95,000 | 96,769 | |||
|
5.38%,
11/15/2027 |
125,000 | 131,248 | |||
|
5.63%,
6/15/2028 |
300,000 | 318,744 | |||
|
DaVita, Inc. 4.63%, 6/1/2030
(a) |
320,000 | 328,493 | |||
|
Dealer Tire LLC/DT Issuer LLC 8.00%, 2/1/2028
(a) |
455,000 | 473,723 | |||
|
Diamond BC B.V. 4.63%, 10/1/2029
(a) |
325,000 | 322,355 | |||
|
Diamond Sports Group LLC/Diamond Sports Finance Co. 5.38%, 8/15/2026
(a) |
385,000 | 191,973 | |||
|
Directv Financing LLC/Directv Financing Co-Obligor, Inc. 5.88%, 8/15/2027
(a) |
485,000 | 496,824 | |||
|
Discover Financial Services 4.10%,
2/9/2027 |
1,635,000 | 1,780,139 |
See accompanying notes to financial statements.
54
SPDR DOUBLELINE TOTAL RETURN
TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2021 (Unaudited)
| Security Description | Principal
Amount |
Value | |||
| DISH DBS Corp.: | |||||
|
5.13%,
6/1/2029 |
$ 345,000 | $ 313,909 | |||
|
5.75%, 12/1/2028
(a) |
405,000 | 409,496 | |||
|
5.88%,
11/15/2024 |
380,000 | 390,233 | |||
|
Dollar General Corp. 3.50%,
4/3/2030 |
1,630,000 | 1,763,790 | |||
|
Dollar Tree, Inc. 4.00%,
5/15/2025 |
1,603,000 | 1,722,824 | |||
|
Duke Energy Corp. 2.65%,
9/1/2026 |
2,600,000 | 2,698,644 | |||
|
Dun & Bradstreet Corp. 5.00%, 12/15/2029
(a) |
1,005,000 | 1,027,793 | |||
|
DuPont de Nemours, Inc. 5.42%,
11/15/2048 |
700,000 | 978,670 | |||
|
Embarq Corp. 8.00%,
6/1/2036 |
285,000 | 319,371 | |||
|
Emergent BioSolutions, Inc. 3.88%, 8/15/2028
(a) |
420,000 | 402,822 | |||
|
Enable Midstream Partners L.P. 5.00%,
5/15/2044 |
740,000 | 802,545 | |||
| Encompass Health Corp.: | |||||
|
4.50%,
2/1/2028 |
185,000 | 190,517 | |||
|
4.63%,
4/1/2031 |
455,000 | 464,391 | |||
|
4.75%,
2/1/2030 |
60,000 | 61,889 | |||
|
Endo Luxembourg Finance Co. I Sarl/Endo US, Inc. 6.13%, 4/1/2029
(a) |
475,000 | 465,068 | |||
|
Endure Digital, Inc. 6.00%, 2/15/2029
(a) |
490,000 | 457,263 | |||
|
Energy Transfer L.P. 4.75%,
1/15/2026 |
805,000 | 880,453 | |||
|
Enterprise Products Operating LLC 3.75%,
2/15/2025 |
1,655,000 | 1,762,227 | |||
|
Envision Helthcare Corp. 8.75%, 10/15/2026
(a) |
225,000 | 129,623 | |||
| EQM Midstream Partners L.P.: | |||||
|
4.75%, 1/15/2031
(a) |
395,000 | 417,468 | |||
|
6.50%, 7/1/2027
(a) |
135,000 | 151,451 | |||
|
EQT Corp. 7.50%,
2/1/2030 |
370,000 | 475,010 | |||
|
Essential Utilities, Inc. 3.35%,
4/15/2050 |
1,710,000 | 1,774,484 | |||
|
EverArc Escrow S.a.r.l. 5.00%, 10/30/2029
(a) |
740,000 | 740,644 |
See accompanying notes to financial statements.
55
SPDR DOUBLELINE TOTAL RETURN
TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2021 (Unaudited)
| Security Description | Principal
Amount |
Value | |||
|
Everi Holdings, Inc. 5.00%, 7/15/2029
(a) |
$ 460,000 | $ 466,702 | |||
| Expedia Group, Inc.: | |||||
|
3.80%,
2/15/2028 |
2,115,000 | 2,258,164 | |||
|
5.00%,
2/15/2026 |
1,200,000 | 1,338,492 | |||
|
Exterran Energy Solutions L.P./EES Finance Corp. 8.13%,
5/1/2025 |
190,000 | 176,700 | |||
|
Exxon Mobil Corp. 2.99%,
3/19/2025 |
1,135,000 | 1,193,872 | |||
|
FedEx Corp. 4.75%,
11/15/2045 |
665,000 | 811,879 | |||
|
Ferrellgas L.P./Ferrellgas Finance Corp. 5.38%, 4/1/2026
(a) |
330,000 | 320,509 | |||
|
First Student Bidco, Inc./First Transit Parent, Inc. 4.00%, 7/31/2029
(a) |
340,000 | 329,892 | |||
|
Ford Motor Co. 3.25%,
2/12/2032 |
1,275,000 | 1,305,281 | |||
| Ford Motor Credit Co. LLC: | |||||
|
3.63%,
6/17/2031 |
545,000 | 573,945 | |||
|
3 Month USD LIBOR + 1.235%, 1.39%, 2/15/2023
(b) |
3,695,000 | 3,685,984 | |||
|
Series GMTN, 4.39%,
1/8/2026 |
600,000 | 645,696 | |||
|
Fortress Transportation and Infrastructure Investors LLC 5.50%, 5/1/2028
(a) |
500,000 | 509,250 | |||
| Frontier Communications Holdings LLC: | |||||
|
5.00%, 5/1/2028
(a) |
250,000 | 257,930 | |||
|
5.88%, 10/15/2027
(a) |
125,000 | 132,208 | |||
|
6.00%, 1/15/2030
(a) |
435,000 | 436,849 | |||
|
Full House Resorts, Inc. 8.25%, 2/15/2028
(a) |
165,000 | 174,167 | |||
|
Gap, Inc. 3.88%, 10/1/2031
(a) |
405,000 | 400,217 | |||
|
GCI LLC 4.75%, 10/15/2028
(a) |
360,000 | 369,104 | |||
|
General Motors Financial Co., Inc. 2.40%,
10/15/2028 |
930,000 | 927,387 | |||
|
Georgia-Pacific LLC 3.60%, 3/1/2025
(a) |
1,543,000 | 1,635,750 | |||
|
Glatfelter Corp. 4.75%, 11/15/2029
(a) |
425,000 | 439,242 | |||
|
Golden Entertainment, Inc. 7.63%, 4/15/2026
(a) |
315,000 | 329,808 | |||
|
Golden Nugget, Inc. 6.75%, 10/15/2024
(a) |
740,000 | 740,141 |
See accompanying notes to financial statements.
56
SPDR DOUBLELINE TOTAL RETURN
TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2021 (Unaudited)
| Security Description | Principal
Amount |
Value | |||
|
Goldman Sachs Group, Inc. Series ., 3 Month USD LIBOR + 1.17%, 1.33%, 5/15/2026
(b) |
$ 3,440,000 | $ 3,506,770 | |||
|
Goodyear Tire & Rubber Co. 5.25%, 7/15/2031
(a) |
405,000 | 440,008 | |||
|
GrafTech Finance, Inc. 4.63%, 12/15/2028
(a) |
195,000 | 198,141 | |||
|
Griffon Corp. 5.75%,
3/1/2028 |
960,000 | 998,544 | |||
|
Group 1 Automotive, Inc. 4.00%, 8/15/2028
(a) |
210,000 | 209,761 | |||
|
GrubHub Holdings, Inc. 5.50%, 7/1/2027
(a) |
225,000 | 223,265 | |||
|
Guardian Life Global Funding 1.25%, 5/13/2026
(a) |
1,810,000 | 1,786,542 | |||
|
Gulfport Energy Corp. 8.00%, 5/17/2026
(a) |
375,000 | 410,250 | |||
|
Halliburton Co. 2.92%,
3/1/2030 |
827,000 | 854,109 | |||
|
HCA, Inc. 4.13%,
6/15/2029 |
870,000 | 959,253 | |||
|
Helios Software Holdings, Inc./ION Corporate Solutions Finance Sarl 4.63%, 5/1/2028
(a) |
640,000 | 629,658 | |||
|
Hertz Corp. 5.00%, 12/1/2029
(a) |
345,000 | 345,904 | |||
| Hess Midstream Operations L.P.: | |||||
|
4.25%, 2/15/2030
(a) |
750,000 | 747,060 | |||
|
5.13%, 6/15/2028
(a) |
365,000 | 382,757 | |||
|
5.63%, 2/15/2026
(a) |
455,000 | 470,657 | |||
|
Hexion, Inc. 7.88%, 7/15/2027
(a) |
300,000 | 317,451 | |||
|
H-Food Holdings LLC/Hearthside Finance Co., Inc. 8.50%, 6/1/2026
(a) |
450,000 | 451,629 | |||
|
Hightower Holding LLC 6.75%, 4/15/2029
(a) |
315,000 | 323,215 | |||
| Hilcorp Energy I L.P./Hilcorp Finance Co.: | |||||
|
5.75%, 2/1/2029
(a) |
170,000 | 175,132 | |||
|
6.25%, 11/1/2028
(a) |
540,000 | 574,906 | |||
| Hilton Domestic Operating Co., Inc.: | |||||
|
5.38%, 5/1/2025
(a) |
25,000 | 25,993 | |||
|
5.75%, 5/1/2028
(a) |
25,000 | 26,717 |
See accompanying notes to financial statements.
57
SPDR DOUBLELINE TOTAL RETURN
TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2021 (Unaudited)
| Security Description | Principal
Amount |
Value | |||
|
Home Depot, Inc. 3.90%,
6/15/2047 |
$ 1,245,000 | $ 1,462,240 | |||
|
Hyundai Capital America 3.00%, 2/10/2027
(a) |
1,745,000 | 1,806,703 | |||
|
IAA, Inc. 5.50%, 6/15/2027
(a) |
570,000 | 591,301 | |||
| Icahn Enterprises L.P./Icahn Enterprises Finance Corp.: | |||||
|
5.25%,
5/15/2027 |
385,000 | 395,780 | |||
|
6.25%,
5/15/2026 |
715,000 | 744,465 | |||
| iHeartCommunications, Inc.: | |||||
|
5.25%, 8/15/2027
(a) |
300,000 | 311,964 | |||
|
8.38%,
5/1/2027 |
75,000 | 79,148 | |||
|
II-VI, Inc. 5.00%, 12/15/2029
(a) |
605,000 | 618,473 | |||
|
Illuminate Buyer LLC/Illuminate Holdings IV, Inc. 9.00%, 7/1/2028
(a) |
510,000 | 543,390 | |||
|
Installed Building Products, Inc. 5.75%, 2/1/2028
(a) |
435,000 | 451,948 | |||
|
Invitation Homes Operating Partnership L.P. 2.70%,
1/15/2034 |
1,840,000 | 1,804,838 | |||
| Iron Mountain, Inc.: | |||||
|
4.88%, 9/15/2029
(a) |
185,000 | 191,621 | |||
|
REIT, 4.50%, 2/15/2031
(a) |
260,000 | 262,085 | |||
|
iStar, Inc. 4.75%,
10/1/2024 |
305,000 | 318,545 | |||
|
Jazz Securities DAC 4.38%, 1/15/2029
(a) |
290,000 | 300,194 | |||
|
Jeld-Wen, Inc. 4.63%, 12/15/2025
(a) |
610,000 | 616,521 | |||
|
JPMorgan Chase & Co. SOFR + 1.25%, 2.58%, 4/22/2032
(b) |
1,360,000 | 1,376,946 | |||
|
KAR Auction Services, Inc. 5.13%, 6/1/2025
(a) |
480,000 | 486,082 | |||
| Kraft Heinz Foods Co.: | |||||
|
5.00%,
7/15/2035 |
310,000 | 379,437 | |||
|
5.20%,
7/15/2045 |
1,195,000 | 1,523,314 | |||
|
Kraton Polymers LLC/Kraton Polymers Capital Corp. 4.25%, 12/15/2025
(a) |
800,000 | 827,224 | |||
|
LBM Acquisition LLC 6.25%, 1/15/2029
(a) |
320,000 | 318,752 | |||
| LD Holdings Group LLC: | |||||
|
6.13%, 4/1/2028
(a) |
60,000 | 56,642 | |||
|
6.50%, 11/1/2025
(a) |
230,000 | 226,989 |
See accompanying notes to financial statements.
58
SPDR DOUBLELINE TOTAL RETURN
TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2021 (Unaudited)
| Security Description | Principal
Amount |
Value | |||
|
Leeward Renewable Energy Operations LLC 4.25%, 7/1/2029
(a) |
$ 425,000 | $ 429,552 | |||
|
Legacy LifePoint Health LLC 4.38%, 2/15/2027
(a) |
410,000 | 414,686 | |||
|
Legends Hospitality Holding Co. LLC/Legends Hospitality Co-Issuer, Inc. 5.00%, 2/1/2026
(a) |
340,000 | 342,764 | |||
| Level 3 Financing, Inc.: | |||||
|
4.25%, 7/1/2028
(a) |
300,000 | 298,956 | |||
|
4.63%, 9/15/2027
(a) |
460,000 | 469,918 | |||
|
LFS Topco LLC 5.88%, 10/15/2026
(a) |
395,000 | 409,611 | |||
|
Lifepoint Health, Inc. 5.38%, 1/15/2029
(a) |
285,000 | 283,062 | |||
|
Ligado Networks LLC PIK, 15.50%, 11/1/2023
(a) |
350,187 | 284,558 | |||
|
Lions Gate Capital Holdings LLC 5.50%, 4/15/2029
(a) |
450,000 | 459,878 | |||
| Live Nation Entertainment, Inc.: | |||||
|
5.63%, 3/15/2026
(a) |
960,000 | 991,776 | |||
|
6.50%, 5/15/2027
(a) |
185,000 | 202,492 | |||
|
LogMeIn, Inc. 5.50%, 9/1/2027
(a) |
175,000 | 176,859 | |||
|
LSF9 Atlantis Holdings LLC/Victra Finance Corp. 7.75%, 2/15/2026
(a) |
545,000 | 550,821 | |||
| Lumen Technologies, Inc.: | |||||
|
4.00%, 2/15/2027
(a) |
355,000 | 360,162 | |||
|
5.13%, 12/15/2026
(a) |
390,000 | 405,760 | |||
|
M/I Homes, Inc. 4.95%,
2/1/2028 |
365,000 | 380,027 | |||
| Madison IAQ LLC: | |||||
|
4.13%, 6/30/2028
(a) |
340,000 | 341,792 | |||
|
5.88%, 6/30/2029
(a) |
330,000 | 330,033 | |||
|
Marriott International, Inc. Series HH, 2.85%,
4/15/2031 |
1,760,000 | 1,755,811 | |||
|
Massachusetts Mutual Life Insurance Co. 3.38%, 4/15/2050
(a) |
1,685,000 | 1,777,422 | |||
| Match Group Holdings II LLC: | |||||
|
4.63%, 6/1/2028
(a) |
165,000 | 171,610 | |||
|
5.00%, 12/15/2027
(a) |
775,000 | 808,937 | |||
|
McGraw-Hill Education, Inc. 5.75%, 8/1/2028
(a) |
320,000 | 316,998 |
See accompanying notes to financial statements.
59
SPDR DOUBLELINE TOTAL RETURN
TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2021 (Unaudited)
| Security Description | Principal
Amount |
Value | |||
|
Metis Merger Sub LLC 6.50%, 5/15/2029
(a) |
$ 635,000 | $ 622,211 | |||
|
MGM Growth Properties Operating Partnership L.P./MGP Finance Co-Issuer, Inc. REIT, 5.75%,
2/1/2027 |
735,000 | 833,387 | |||
| MGM Resorts International: | |||||
|
5.75%,
6/15/2025 |
453,000 | 488,651 | |||
|
6.75%,
5/1/2025 |
420,000 | 440,597 | |||
| Michaels Cos., Inc.: | |||||
|
5.25%, 5/1/2028
(a) |
490,000 | 489,378 | |||
|
7.88%, 5/1/2029
(a) |
185,000 | 182,388 | |||
|
Midwest Gaming Borrower LLC/Midwest Gaming Finance Corp. 4.88%, 5/1/2029
(a) |
265,000 | 268,930 | |||
|
ModivCare Escrow Issuer, Inc. 5.00%, 10/1/2029
(a) |
190,000 | 194,026 | |||
|
ModivCare, Inc. 5.88%, 11/15/2025
(a) |
260,000 | 273,762 | |||
|
Monongahela Power Co. 5.40%, 12/15/2043
(a) |
675,000 | 873,031 | |||
|
Morgan Stanley SOFR + 1.36%, 2.48%, 9/16/2036
(b) |
3,670,000 | 3,532,632 | |||
|
Moss Creek Resources Holdings, Inc. 7.50%, 1/15/2026
(a) |
345,000 | 323,044 | |||
|
Mozart Debt Merger Sub, Inc. 5.25%, 10/1/2029
(a) |
455,000 | 462,084 | |||
|
MPH Acquisition Holdings LLC 5.75%, 11/1/2028
(a) |
254,000 | 241,452 | |||
|
MPLX L.P. 1.75%,
3/1/2026 |
865,000 | 859,049 | |||
|
Murphy Oil USA, Inc. 4.75%,
9/15/2029 |
285,000 | 300,595 | |||
|
Nabors Industries, Inc. 7.38%, 5/15/2027
(a) |
255,000 | 263,724 | |||
|
Nabors Industries, Ltd. 7.25%, 1/15/2026
(a) |
305,000 | 281,869 | |||
|
Nationstar Mortgage Holdings, Inc. 5.75%, 11/15/2031
(a) |
620,000 | 619,318 | |||
|
Navient Corp. 5.00%,
3/15/2027 |
285,000 | 290,572 | |||
| NCL Corp., Ltd.: | |||||
|
3.63%, 12/15/2024
(a) |
585,000 | 553,673 | |||
|
5.88%, 3/15/2026
(a) |
395,000 | 395,628 |
See accompanying notes to financial statements.
60
SPDR DOUBLELINE TOTAL RETURN
TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2021 (Unaudited)
| Security Description | Principal
Amount |
Value | |||
|
NESCO Holdings II, Inc. 5.50%, 4/15/2029
(a) |
$ 115,000 | $ 118,922 | |||
|
NetApp, Inc. 1.88%,
6/22/2025 |
820,000 | 828,971 | |||
| Netflix, Inc.: | |||||
|
5.38%, 11/15/2029
(a) |
240,000 | 284,712 | |||
|
5.88%,
2/15/2025 |
410,000 | 460,123 | |||
|
NextEra Energy Capital Holdings, Inc. 1.88%,
1/15/2027 |
1,035,000 | 1,041,469 | |||
| NFP Corp.: | |||||
|
4.88%, 8/15/2028
(a) |
280,000 | 283,856 | |||
|
6.88%, 8/15/2028
(a) |
360,000 | 361,415 | |||
|
NGL Energy Operating LLC/NGL Energy Finance Corp. 7.50%, 2/1/2026
(a) |
655,000 | 674,991 | |||
|
NGL Energy Partners L.P./NGL Energy Finance Corp. 7.50%,
4/15/2026 |
360,000 | 309,503 | |||
|
NRG Energy, Inc. 3.63%, 2/15/2031
(a) |
545,000 | 533,855 | |||
|
NuStar Logistics L.P. 6.00%,
6/1/2026 |
510,000 | 556,282 | |||
|
Oasis Petroleum, Inc. 6.38%, 6/1/2026
(a) |
545,000 | 572,588 | |||
| Occidental Petroleum Corp.: | |||||
|
3.50%,
8/15/2029 |
685,000 | 703,139 | |||
|
6.13%,
1/1/2031 |
540,000 | 655,463 | |||
|
6.45%,
9/15/2036 |
220,000 | 280,509 | |||
|
6.60%,
3/15/2046 |
215,000 | 279,046 | |||
|
6.63%,
9/1/2030 |
650,000 | 804,615 | |||
|
8.00%,
7/15/2025 |
255,000 | 296,397 | |||
|
Olympus Water US Holding Corp. 4.25%, 10/1/2028
(a) |
600,000 | 591,546 | |||
|
Omnicom Group, Inc. 2.45%,
4/30/2030 |
1,770,000 | 1,771,204 | |||
| OneMain Finance Corp.: | |||||
|
5.38%,
11/15/2029 |
250,000 | 271,843 | |||
|
6.63%,
1/15/2028 |
125,000 | 140,790 | |||
|
7.13%,
3/15/2026 |
324,000 | 370,617 | |||
|
Option Care Health, Inc. 4.38%, 10/31/2029
(a) |
470,000 | 471,034 | |||
|
Oracle Corp. 3.60%,
4/1/2050 |
1,820,000 | 1,782,362 | |||
|
Organon & Co./Organon Foreign Debt Co-Issuer BV 5.13%, 4/30/2031
(a) |
570,000 | 595,462 |
See accompanying notes to financial statements.
61
SPDR DOUBLELINE TOTAL RETURN
TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2021 (Unaudited)
| Security Description | Principal
Amount |
Value | |||
| Ortho-Clinical Diagnostics, Inc./Ortho-Clinical Diagnostics SA: | |||||
|
7.25%, 2/1/2028
(a) |
$ 351,000 | $ 377,121 | |||
|
7.38%, 6/1/2025
(a) |
39,000 | 41,152 | |||
|
Ovintiv, Inc. 7.38%,
11/1/2031 |
385,000 | 506,879 | |||
| Pacific Gas & Electric Co.: | |||||
|
1.37%,
3/10/2023 |
905,000 | 899,642 | |||
|
2.50%,
2/1/2031 |
980,000 | 933,607 | |||
|
Par Petroleum LLC/Petroleum Finance Corp. 7.75%, 12/15/2025
(a) |
650,000 | 657,306 | |||
|
Park Intermediate Holdings LLC/PK Domestic Property LLC/PK Finance Co-Issuer 4.88%, 5/15/2029
(a) |
290,000 | 297,064 | |||
|
PBF Holding Co. LLC/PBF Finance Corp. 6.00%,
2/15/2028 |
185,000 | 119,112 | |||
|
Peabody Energy Corp. PIK, 8.50%, 12/31/2024
(a) |
169,761 | 163,055 | |||
|
PECF USS Intermediate Holding III Corp. 8.00%, 11/15/2029
(a) |
285,000 | 294,978 | |||
| Penn National Gaming, Inc.: | |||||
|
4.13%, 7/1/2029
(a) |
310,000 | 301,766 | |||
|
5.63%, 1/15/2027
(a) |
620,000 | 637,906 | |||
| PennyMac Financial Services, Inc.: | |||||
|
4.25%, 2/15/2029
(a) |
495,000 | 475,348 | |||
|
5.38%, 10/15/2025
(a) |
465,000 | 477,290 | |||
|
Penske Truck Leasing Co. L.P./PTL Finance Corp. 4.20%, 4/1/2027
(a) |
765,000 | 842,357 | |||
| Performance Food Group, Inc.: | |||||
|
4.25%, 8/1/2029
(a) |
380,000 | 377,002 | |||
|
5.50%, 10/15/2027
(a) |
460,000 | 480,295 | |||
| PetSmart, Inc./PetSmart Finance Corp.: | |||||
|
4.75%, 2/15/2028
(a) |
825,000 | 848,116 | |||
|
7.75%, 2/15/2029
(a) |
500,000 | 545,855 | |||
|
PIC AU Holdings LLC/PIC AU Holdings Corp. 10.00%, 12/31/2024
(a) |
188,000 | 193,377 | |||
|
Pike Corp. 5.50%, 9/1/2028
(a) |
825,000 | 827,706 | |||
|
Pioneer Natural Resources Co. 1.13%,
1/15/2026 |
1,055,000 | 1,026,167 | |||
| Post Holdings, Inc.: | |||||
|
4.63%, 4/15/2030
(a) |
530,000 | 537,902 | |||
|
5.50%, 12/15/2029
(a) |
140,000 | 147,165 |
See accompanying notes to financial statements.
62
SPDR DOUBLELINE TOTAL RETURN
TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2021 (Unaudited)
| Security Description | Principal
Amount |
Value | |||
| Premier Entertainment Sub LLC/Premier Entertainment Finance Corp.: | |||||
|
5.63%, 9/1/2029
(a) |
$ 485,000 | $ 481,799 | |||
|
5.88%, 9/1/2031
(a) |
480,000 | 482,102 | |||
|
Prime Security Services Borrower LLC/Prime Finance, Inc. 6.25%, 1/15/2028
(a) |
530,000 | 553,346 | |||
|
Qorvo, Inc. 1.75%, 12/15/2024
(a) |
620,000 | 620,471 | |||
|
Quanta Services, Inc. 2.35%,
1/15/2032 |
1,830,000 | 1,780,315 | |||
| Radiate Holdco LLC/Radiate Finance, Inc.: | |||||
|
4.50%, 9/15/2026
(a) |
300,000 | 304,041 | |||
|
6.50%, 9/15/2028
(a) |
115,000 | 115,554 | |||
|
Radiology Partners, Inc. 9.25%, 2/1/2028
(a) |
440,000 | 462,268 | |||
|
Rattler Midstream L.P. 5.63%, 7/15/2025
(a) |
295,000 | 306,948 | |||
|
Real Hero Merger Sub 2, Inc. 6.25%, 2/1/2029
(a) |
165,000 | 165,149 | |||
| Realogy Group LLC/Realogy Co-Issuer Corp.: | |||||
|
5.75%, 1/15/2029
(a) |
295,000 | 303,092 | |||
|
7.63%, 6/15/2025
(a) |
285,000 | 302,864 | |||
|
Rent-A-Center, Inc. 6.38%, 2/15/2029
(a) |
330,000 | 344,289 | |||
|
Roller Bearing Co. of America, Inc. 4.38%, 10/15/2029
(a) |
205,000 | 209,424 | |||
|
Royalty Pharma PLC 3.30%,
9/2/2040 |
1,815,000 | 1,809,501 | |||
|
RP Escrow Issuer LLC 5.25%, 12/15/2025
(a) |
870,000 | 883,198 | |||
|
Sabine Pass Liquefaction LLC 5.00%,
3/15/2027 |
1,285,000 | 1,446,255 | |||
|
Sabre GLBL, Inc. 9.25%, 4/15/2025
(a) |
210,000 | 237,279 | |||
|
Santander Holdings USA, Inc. 3.40%,
1/18/2023 |
1,770,000 | 1,809,028 | |||
|
Schweitzer-Mauduit International, Inc. 6.88%, 10/1/2026
(a) |
475,000 | 496,907 | |||
|
Scientific Games International, Inc. 8.25%, 3/15/2026
(a) |
225,000 | 237,197 | |||
|
SCIH Salt Holdings, Inc. 6.63%, 5/1/2029
(a) |
145,000 | 136,396 |
See accompanying notes to financial statements.
63
SPDR DOUBLELINE TOTAL RETURN
TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2021 (Unaudited)
| Security Description | Principal
Amount |
Value | |||
|
Scotts Miracle-Gro Co. 4.50%,
10/15/2029 |
$ 440,000 | $ 458,093 | |||
|
Scripps Escrow, Inc. 5.88%, 7/15/2027
(a) |
280,000 | 294,213 | |||
|
Seagate HDD Cayman 3.38%,
7/15/2031 |
405,000 | 394,243 | |||
|
SEG Holding LLC/SEG Finance Corp. 5.63%, 10/15/2028
(a) |
605,000 | 635,583 | |||
|
Select Medical Corp. 6.25%, 8/15/2026
(a) |
860,000 | 911,067 | |||
|
Sherwin-Williams Co. 2.90%,
3/15/2052 |
365,000 | 356,875 | |||
|
Silgan Holdings, Inc. 4.13%,
2/1/2028 |
570,000 | 583,879 | |||
| Sirius XM Radio, Inc.: | |||||
|
4.13%, 7/1/2030
(a) |
510,000 | 511,367 | |||
|
5.50%, 7/1/2029
(a) |
340,000 | 366,768 | |||
|
Six Flags Entertainment Corp. 4.88%, 7/31/2024
(a) |
710,000 | 717,583 | |||
|
Smithfield Foods, Inc. 4.25%, 2/1/2027
(a) |
1,620,000 | 1,741,208 | |||
|
Sonic Automotive, Inc. 4.63%, 11/15/2029
(a) |
515,000 | 518,605 | |||
|
Southern Co. Series A, 3.70%,
4/30/2030 |
1,580,000 | 1,717,365 | |||
| Southwestern Energy Co.: | |||||
|
4.75%,
2/1/2032 |
430,000 | 453,263 | |||
|
5.38%,
2/1/2029 |
410,000 | 434,321 | |||
|
Spectrum Brands, Inc. 5.00%, 10/1/2029
(a) |
370,000 | 388,988 | |||
|
Sprint Capital Corp. 6.88%,
11/15/2028 |
1,270,000 | 1,606,753 | |||
|
Sprint Corp. 7.13%,
6/15/2024 |
1,355,000 | 1,522,058 | |||
| SRS Distribution, Inc.: | |||||
|
4.63%, 7/1/2028
(a) |
315,000 | 317,596 | |||
|
6.13%, 7/1/2029
(a) |
495,000 | 504,217 | |||
| Staples, Inc.: | |||||
|
7.50%, 4/15/2026
(a) |
240,000 | 246,490 | |||
|
10.75%, 4/15/2027
(a) |
150,000 | 141,290 | |||
|
Station Casinos LLC 4.63%, 12/1/2031
(a) |
295,000 | 297,387 |
See accompanying notes to financial statements.
64
SPDR DOUBLELINE TOTAL RETURN
TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2021 (Unaudited)
| Security Description | Principal
Amount |
Value | |||
|
Suburban Propane Partners L.P./Suburban Energy Finance Corp. 5.00%, 6/1/2031
(a) |
$ 595,000 | $ 603,431 | |||
|
SunCoke Energy, Inc. 4.88%, 6/30/2029
(a) |
510,000 | 507,822 | |||
| Sunoco L.P./Sunoco Finance Corp.: | |||||
|
4.50%,
5/15/2029 |
150,000 | 152,469 | |||
|
6.00%,
4/15/2027 |
300,000 | 312,558 | |||
|
SWF Escrow Issuer Corp. 6.50%, 10/1/2029
(a) |
585,000 | 561,892 | |||
| Sysco Corp.: | |||||
|
3.25%,
7/15/2027 |
885,000 | 940,525 | |||
|
3.30%,
2/15/2050 |
810,000 | 821,486 | |||
| Targa Resources Partners L.P./Targa Resources Partners Finance Corp.: | |||||
|
4.88%,
2/1/2031 |
650,000 | 706,160 | |||
|
6.50%,
7/15/2027 |
200,000 | 214,288 | |||
| Tenet Healthcare Corp.: | |||||
|
4.25%, 6/1/2029
(a) |
630,000 | 641,290 | |||
|
6.13%, 10/1/2028
(a) |
695,000 | 734,344 | |||
|
6.25%, 2/1/2027
(a) |
610,000 | 631,228 | |||
|
Tenneco, Inc. 5.13%, 4/15/2029
(a) |
380,000 | 374,562 | |||
|
Terrier Media Buyer, Inc. 8.88%, 12/15/2027
(a) |
155,000 | 167,586 | |||
|
Textron, Inc. 2.45%,
3/15/2031 |
2,910,000 | 2,878,601 | |||
|
Thermo Fisher Scientific, Inc. 1.22%,
10/18/2024 |
3,485,000 | 3,482,351 | |||
| T-Mobile USA, Inc.: | |||||
|
2.25%,
2/15/2026 |
2,820,000 | 2,823,215 | |||
|
2.88%,
2/15/2031 |
185,000 | 182,647 | |||
|
3.38%, 4/15/2029
(a) |
375,000 | 382,625 | |||
|
TMS International Corp. 6.25%, 4/15/2029
(a) |
220,000 | 219,160 | |||
|
Townsquare Media, Inc. 6.88%, 2/1/2026
(a) |
150,000 | 159,671 | |||
| TransDigm, Inc.: | |||||
|
5.50%,
11/15/2027 |
360,000 | 371,016 | |||
|
6.25%, 3/15/2026
(a) |
675,000 | 701,413 | |||
|
8.00%, 12/15/2025
(a) |
90,000 | 94,934 |
See accompanying notes to financial statements.
65
SPDR DOUBLELINE TOTAL RETURN
TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2021 (Unaudited)
| Security Description | Principal
Amount |
Value | |||
|
Transocean Poseidon, Ltd. 6.88%, 2/1/2027
(a) |
$ 585,000 | $ 567,491 | |||
|
Transocean Proteus, Ltd. 6.25%, 12/1/2024
(a) |
250,000 | 247,473 | |||
|
Transocean, Inc. 11.50%, 1/30/2027
(a) |
141,000 | 138,346 | |||
|
Trident Merger Sub, Inc. 6.63%, 11/1/2025
(a) |
410,000 | 411,681 | |||
|
Triton Water Holdings, Inc. 6.25%, 4/1/2029
(a) |
690,000 | 667,078 | |||
| Triumph Group, Inc.: | |||||
|
6.25%, 9/15/2024
(a) |
160,000 | 160,974 | |||
|
7.75%,
8/15/2025 |
282,000 | 280,593 | |||
|
Tronox, Inc. 4.63%, 3/15/2029
(a) |
100,000 | 99,750 | |||
|
Uber Technologies, Inc. 4.50%, 8/15/2029
(a) |
380,000 | 387,885 | |||
| Unifrax Escrow Issuer Corp.: | |||||
|
5.25%, 9/30/2028
(a) |
590,000 | 597,340 | |||
|
7.50%, 9/30/2029
(a) |
50,000 | 50,758 | |||
| United Airlines, Inc.: | |||||
|
4.38%, 4/15/2026
(a) |
145,000 | 151,293 | |||
|
4.63%, 4/15/2029
(a) |
490,000 | 508,208 | |||
|
United Natural Foods, Inc. 6.75%, 10/15/2028
(a) |
455,000 | 487,837 | |||
| United Rentals North America, Inc.: | |||||
|
3.88%,
2/15/2031 |
65,000 | 66,010 | |||
|
4.00%,
7/15/2030 |
360,000 | 371,689 | |||
|
5.25%,
1/15/2030 |
40,000 | 43,304 | |||
|
Uniti Group L.P./Uniti Group Finance, Inc./CSL Capital LLC 6.50%, 2/15/2029
(a) |
325,000 | 323,765 | |||
|
Univision Communications, Inc. 4.50%, 5/1/2029
(a) |
325,000 | 329,111 | |||
| US Foods, Inc.: | |||||
|
4.63%, 6/1/2030
(a) |
290,000 | 293,553 | |||
|
4.75%, 2/15/2029
(a) |
340,000 | 345,773 | |||
|
USA Compression Partners L.P./USA Compression Finance Corp. 6.88%,
9/1/2027 |
895,000 | 945,335 | |||
|
Valero Energy Corp. 2.85%,
4/15/2025 |
1,260,000 | 1,308,989 | |||
|
Venture Global Calcasieu Pass LLC 4.13%, 8/15/2031
(a) |
600,000 | 640,206 |
See accompanying notes to financial statements.
66
SPDR DOUBLELINE TOTAL RETURN
TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2021 (Unaudited)
| Security Description | Principal
Amount |
Value | |||
|
Verizon Communications, Inc. 1.75%,
1/20/2031 |
$ 3,015,000 | $ 2,853,637 | |||
|
Verscend Escrow Corp. 9.75%, 8/15/2026
(a) |
760,000 | 803,092 | |||
|
ViaSat, Inc. 6.50%, 7/15/2028
(a) |
440,000 | 440,911 | |||
|
Viatris, Inc. 1.65%,
6/22/2025 |
540,000 | 538,418 | |||
|
VICI Properties L.P./VICI Note Co., Inc. REIT, 3.75%, 2/15/2027
(a) |
70,000 | 72,328 | |||
|
Victoria's Secret & Co. 4.63%, 7/15/2029
(a) |
640,000 | 653,075 | |||
| Viking Cruises, Ltd.: | |||||
|
5.88%, 9/15/2027
(a) |
955,000 | 908,587 | |||
|
13.00%, 5/15/2025
(a) |
125,000 | 141,455 | |||
|
Viper Energy Partners L.P. 5.38%, 11/1/2027
(a) |
365,000 | 377,735 | |||
|
Vizient, Inc. 6.25%, 5/15/2027
(a) |
380,000 | 395,770 | |||
|
VMware, Inc. 2.20%,
8/15/2031 |
1,750,000 | 1,720,092 | |||
|
Vontier Corp. 1.80%, 4/1/2026
(a) |
1,735,000 | 1,705,071 | |||
|
Vornado Realty L.P. 2.15%,
6/1/2026 |
705,000 | 706,509 | |||
|
WASH Multifamily Acquisition, Inc. 5.75%, 4/15/2026
(a) |
555,000 | 583,133 | |||
|
Waste Pro USA, Inc. 5.50%, 2/15/2026
(a) |
375,000 | 374,959 | |||
| Weatherford International, Ltd.: | |||||
|
6.50%, 9/15/2028
(a) |
240,000 | 254,052 | |||
|
8.63%, 4/30/2030
(a) |
200,000 | 206,228 | |||
|
11.00%, 12/1/2024
(a) |
26,000 | 26,798 | |||
|
Wells Fargo & Co. Series MTN, 3 Month USD LIBOR + 1.31%, 3.58%, 5/22/2028
(b) |
1,645,000 | 1,768,934 | |||
|
Welltower, Inc. 2.05%,
1/15/2029 |
1,755,000 | 1,731,027 | |||
|
Western Midstream Operating L.P. 5.30%,
2/1/2030 |
395,000 | 433,746 | |||
|
Wheel Pros, Inc. 6.50%, 5/15/2029
(a) |
245,000 | 236,307 | |||
|
Williams Cos., Inc. 3.75%,
6/15/2027 |
815,000 | 880,559 |
See accompanying notes to financial statements.
67
SPDR DOUBLELINE TOTAL RETURN
TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2021 (Unaudited)
| Security Description | Principal
Amount |
Value | |||
|
Wolverine Escrow LLC 9.00%, 11/15/2026
(a) |
$ 287,000 | $ 272,311 | |||
|
WR Grace Holdings LLC 5.63%, 8/15/2029
(a) |
610,000 | 626,659 | |||
|
WRKCo, Inc. 3.75%,
3/15/2025 |
1,635,000 | 1,744,708 | |||
|
Wyndham Hotels & Resorts, Inc. 4.38%, 8/15/2028
(a) |
380,000 | 391,567 | |||
| XHR L.P.: | |||||
|
4.88%, 6/1/2029
(a) |
425,000 | 433,045 | |||
|
6.38%, 8/15/2025
(a) |
265,000 | 281,356 | |||
|
Yum! Brands, Inc. 4.75%, 1/15/2030
(a) |
375,000 | 405,773 | |||
| Zayo Group Holdings, Inc.: | |||||
|
4.00%, 3/1/2027
(a) |
455,000 | 448,453 | |||
|
6.13%, 3/1/2028
(a) |
215,000 | 212,160 | |||
| 295,896,724 | |||||
|
TOTAL CORPORATE BONDS & NOTES (Cost
$427,207,840) |
431,812,852 | ||||
| ASSET-BACKED SECURITIES — 6.3% | |||||
|
Aaset Trust Series 2019-2, Class A, 3.38%, 10/16/2039
(a) |
1,678,087 | 1,597,690 | |||
|
AccessLex Institute Series 2004-2, Class A3, 3 Month USD LIBOR + 0.19%, 0.31%, 10/25/2024
(b) |
612,850 | 607,147 | |||
|
ACE Securities Corp. Home Equity Loan Trust Series 2007-WM2, Class A2C, ABS, 1 Month USD LIBOR + 0.28%, 0.38%, 2/25/2037
(b) |
3,102,674 | 1,696,124 | |||
| AMSR Trust: | |||||
|
Series 2021-SFR2, Class E1, ABS, 2.48, 8/17/2038
(a) |
3,000,000 | 2,910,566 | |||
|
Series 2021-SFR2, Class F1, ABS, 3.28, 8/17/2038
(a) |
3,000,000 | 2,887,311 | |||
|
Series 2021-SFR2, Class F2, ABS, 3.67, 8/17/2038
(a) |
2,000,000 | 1,956,310 | |||
|
Argent Securities Trust Series 2006-M1, Class A2B, ABS, 1 Month USD LIBOR + 0.18%, 0.28%, 7/25/2036
(b) |
18,804,311 | 7,516,921 | |||
|
Bain Capital Credit CLO 2016-2, Ltd. Series 2016-2A, Class DRR, ABS, 3 Month USD LIBOR + 3.85%, 3.97%, 1/15/2029
(a)
(b) |
1,000,000 | 992,700 | |||
| Bain Capital Credit CLO, Ltd.: | |||||
|
Series 2019-3A, Class DR, ABS, 3 Month USD LIBOR + 3.10%, 3.19, 10/21/2034
(a)
(b) |
1,000,000 | 1,000,000 |
See accompanying notes to financial statements.
68
SPDR DOUBLELINE TOTAL RETURN
TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2021 (Unaudited)
| Security Description | Principal
Amount |
Value | |||
|
Series 2020-5A, Class D, ABS, 3 Month USD LIBOR + 3.55%, 3.68, 1/20/2032
(a)
(b) |
$ 2,500,000 | $ 2,500,395 | |||
|
Blackbird Capital Aircraft Series 2021-1A, Class B, ABS, 3.45%, 7/15/2046
(a) |
4,895,833 | 4,835,470 | |||
|
BNC Mortgage Loan Trust Series 2006-1, Class A1, ABS, 1 Month USD LIBOR + 0.36%, 0.46%, 10/25/2036
(b) |
19,140,807 | 15,157,322 | |||
| Canyon Capital CLO, Ltd.: | |||||
|
Series 2017-1A, Class DR, ABS, 3 Month USD LIBOR + 3.00%, 3.12, 7/15/2030
(a)
(b) |
1,000,000 | 999,991 | |||
|
Series 2021-1A, Class D, ABS, 3 Month USD LIBOR + 3.10%, 3.22, 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%, 6.12%, 4/15/2034
(a)
(b) |
1,000,000 | 968,235 | |||
|
CIFC Funding 2017-I, Ltd. Series 2017-1A, Class D, ABS, 3 Month USD LIBOR + 3.50%, 3.63%, 4/23/2029
(a)
(b) |
1,000,000 | 991,500 | |||
|
CIFC Funding 2021-I, Ltd. Series 2021-1A, Class E, ABS, 3 Month USD LIBOR + 6.00%, 6.12%, 4/25/2033
(a)
(b) |
500,000 | 489,783 | |||
|
CIFC Funding, Ltd. Series 2013-1A, Class CR, ABS, 3 Month USD LIBOR + 3.55%, 3.67%, 7/16/2030
(a)
(b) |
1,000,000 | 987,500 | |||
|
CLNC, Ltd. Series 2019-FL1, Class A, SOFR30A + 1.36%, 1.41%, 8/20/2035
(a)
(b) |
2,050,000 | 2,049,319 | |||
|
Dryden 33 Senior Loan Fund Series 2014-33A, Class DR3, ABS, 3 Month USD LIBOR + 3.65%, 3.77%, 4/15/2029
(a)
(b) |
2,000,000 | 2,005,452 | |||
|
Dryden 68 CLO, Ltd. Series 2019-68A, Class DR, ABS, 3 Month USD LIBOR + 3.35%, 3.47%, 7/15/2035
(a)
(b) |
1,500,000 | 1,497,734 | |||
|
Elmwood CLO VIII, Ltd. Series 2021-1A, Class D1, ABS, 3 Month USD LIBOR + 3.00%, 3.13%, 1/20/2034
(a)
(b) |
1,500,000 | 1,498,793 | |||
| Exeter Automobile Receivables Trust 2021-1: | |||||
|
Series 2021-1A, Class D, ABS, 1.08,
11/16/2026 |
1,000,000 | 994,055 | |||
|
Series 2021-1A, Class E, ABS, 2.21, 2/15/2028
(a) |
1,500,000 | 1,503,426 | |||
|
First Franklin Mortgage Loan Trust Series 2007-FF2, Class A1, ABS, 1 Month USD LIBOR + 0.14%, 0.24%, 3/25/2037
(b) |
10,068,739 | 6,417,582 | |||
| FirstKey Homes Trust: | |||||
|
Series 2020-SFR2, Class D, ABS, 1.97, 10/19/2037
(a) |
2,000,000 | 1,944,741 |
See accompanying notes to financial statements.
69
SPDR DOUBLELINE TOTAL RETURN
TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2021 (Unaudited)
| Security Description | Principal
Amount |
Value | |||
|
Series 2020-SFR2, Class E, 2.67, 10/19/2037
(a) |
$ 2,000,000 | $ 1,984,664 | |||
|
FREED ABS Trust 2021-2 Series 2021-2, Class C, ABS, 1.94%, 6/19/2028
(a) |
4,750,000 | 4,754,492 | |||
|
FS RIALTO Series 2021-FL2, Class A, ABS, 1 Month USD LIBOR + 1.22%, 1.33%, 4/16/2028
(a)
(b) |
2,000,000 | 1,993,032 | |||
|
GAIA Aviation, Ltd. Series 2019-1, Class A, 3.97%, 12/15/2044
(a)
(e) |
1,289,628 | 1,257,180 | |||
|
Galaxy XVIII CLO, Ltd. Series 2018-28A, Class D, ABS, 3 Month USD LIBOR + 3.00%, 3.12%, 7/15/2031
(a)
(b) |
2,100,000 | 2,089,819 | |||
|
GoodLeap Sustainable Home Solutions Trust Series 2021-5CS, Class C, 3.50%, 10/20/2048
(a) |
3,500,000 | 3,416,758 | |||
|
Greystone CRE Notes, Ltd. Series 2021-FL3, Class B, ABS, 1 Month USD LIBOR + 1.65%, 1.76%, 7/15/2039
(a)
(b) |
2,925,000 | 2,914,485 | |||
|
GSAA Home Equity Trust Series 2007-10, Class A2A, 6.50%,
11/25/2037 |
2,132,924 | 1,287,517 | |||
|
Hardee's Funding LLC Series 2018-1A, Class A23, ABS, 5.71%, 6/20/2048
(a) |
1,644,750 | 1,814,411 | |||
|
Hayfin Kingsland X, Ltd. Series 2019-1A, Class B1R, ABS, 3 Month USD LIBOR + 1.85%, 1.99%, 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) |
1,380,207 | 1,348,984 | |||
|
JOL Air, Ltd. Series 2019-1, Class A, 3.97%, 4/15/2044
(a) |
2,484,345 | 2,399,863 | |||
|
LCCM Trust Series 2021-FL3, Class A, 1 Month USD LIBOR + 1.45%, 1.55%, 11/15/2038
(a)
(b) |
2,864,000 | 2,864,862 | |||
|
Lendingpoint Asset Securitization Trust Series 2021-A, Class C, ABS, 2.75%, 12/15/2028
(a) |
4,000,000 | 3,887,592 | |||
|
LoanCore 2019-CRE2 Issuer, Ltd. Series 2019-CRE2, Class AS, 1 Month USD LIBOR + 1.50%, 1.61%, 5/15/2036
(a)
(b) |
3,382,000 | 3,375,818 | |||
|
Madison Park Funding XI, Ltd. Series 2013-11A, Class DR, ABS, 3 Month USD LIBOR + 3.25%, 3.37%, 7/23/2029
(a)
(b) |
1,000,000 | 977,200 | |||
|
Madison Park Funding XLVIII, Ltd. Series 2021-48A, Class D, ABS, 3 Month USD LIBOR + 3.00%, 3.12%, 4/19/2033
(a)
(b) |
1,000,000 | 996,763 |
See accompanying notes to financial statements.
70
SPDR DOUBLELINE TOTAL RETURN
TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2021 (Unaudited)
| Security Description | Principal
Amount |
Value | |||
|
Magnetite CLO, Ltd. Series 2021-31A, Class E, 3 Month USD LIBOR + 6.00%, 6.11%, 7/15/2034
(a)
(b) |
$ 500,000 | $ 495,385 | |||
|
Magnetite Xxix, Ltd. Series 2021-29A, Class E, ABS, 3 Month USD LIBOR + 5.75%, 5.87%, 1/15/2034
(a)
(b) |
500,000 | 496,036 | |||
|
Mosaic Solar Loan Trust Series 2018-1A, Class C, ABS, PO, 0.00%, 6/22/2043
(a) |
454,719 | 432,186 | |||
| MVW 2021-1W LLC: | |||||
|
Series 2021-1WA, Class C, ABS, 1.94, 1/22/2041
(a) |
1,277,105 | 1,250,732 | |||
|
Series 2021-1WA, Class D, ABS, 3.17, 1/22/2041
(a) |
2,128,509 | 2,103,547 | |||
|
Neuberger Berman Loan Advisers Clo 40, Ltd. Series 2021-40A, Class D, ABS, 3 Month USD LIBOR + 2.75%, 2.87%, 4/16/2033
(a)
(b) |
1,500,000 | 1,484,606 | |||
|
Octagon Investment Partners 27, Ltd. Series 2016-1A, Class DR, ABS, 3 Month USD LIBOR + 2.95%, 3.07%, 7/15/2030
(a)
(b) |
500,000 | 471,750 | |||
|
Octagon Investment Partners 30, Ltd. Series 2017-1A, Class CR, ABS, 3 Month USD LIBOR + 3.30%, 3.43%, 3/17/2030
(a)
(b) |
1,000,000 | 1,007,464 | |||
|
Octagon Investment Partners 31 LLC Series 2017-1A, Class DR, ABS, 3 Month USD LIBOR + 3.40%, 3.53%, 7/20/2030
(a)
(b) |
1,000,000 | 1,003,551 | |||
|
Octagon Investment Partners 40, Ltd. Series 2019-1A, Class DR, ABS, 3 Month USD LIBOR + 3.35%, 3.46%, 1/20/2035
(a)
(b) |
500,000 | 484,850 | |||
|
Octagon Investment Partners 49, Ltd. Series 2020-5A, Class D, ABS, 3 Month USD LIBOR + 3.40%, 3.52%, 1/15/2033
(a)
(b) |
2,500,000 | 2,496,223 | |||
|
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 | 1,301,928 | |||
|
PRET LLC Series 2021-NPL5, Class A1, 2.49%, 10/25/2051
(a)
(e) |
5,029,369 | 5,008,261 | |||
|
Renaissance Home Equity Loan Trust Series 2006-2, Class AF4, ABS, 6.12%, 8/25/2036
(e) |
8,773,135 | 5,013,865 | |||
|
Sapphire Aviation Finance II, Ltd. Series 2020-1A, Class A, 3.23%, 3/15/2040
(a) |
1,232,922 | 1,197,044 | |||
|
Shenton Aircraft Investment I, Ltd. Series 2015-1A, Class A, ABS, 4.75%, 10/15/2042
(a) |
2,235,750 | 2,049,764 |
See accompanying notes to financial statements.
71
SPDR DOUBLELINE TOTAL RETURN
TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2021 (Unaudited)
| Security Description | Principal
Amount |
Value | |||
|
SOFI Alternative Trust 2021-A Series 2021-A, Class PT1, ABS, VRN, 1.48%, 3/15/2047
(a)
(b) |
$ 6,603,221 | $ 6,425,515 | |||
|
Sofi Alternative Trust 2021-B Series 2021-B, Class PT1, ABS, VRN, 1.76%, 2/15/2047
(a)
(b) |
4,298,504 | 4,303,869 | |||
|
Sound Point Clo XII, Ltd. Series 2016-2A, Class DR, ABS, 3 Month USD LIBOR + 3.85%, 3.98%, 10/20/2028
(a)
(b) |
1,000,000 | 984,300 | |||
|
Sound Point Clo XIV, Ltd. Series 2016-3A, Class DR, ABS, 3 Month USD LIBOR + 3.65%, 3.77%, 1/23/2029
(a)
(b) |
1,000,000 | 1,001,665 | |||
|
Sound Point CLO XXIII Series 2019-2A, Class ER, 3 Month USD LIBOR + 6.47%, 6.59%, 7/15/2034
(a)
(b) |
1,000,000 | 968,310 | |||
|
Sound Point CLO XXVIII, Ltd. Series 2020-3A, Class D, ABS, 3 Month USD LIBOR + 3.65%, 3.77%, 1/25/2032
(a)
(b) |
4,000,000 | 4,014,392 | |||
|
Sound Point CLO, Ltd. Series 2020-1A, Class DR, 3 Month USD LIBOR + 3.35%, 3.48%, 7/20/2034
(a)
(b) |
500,000 | 499,245 | |||
|
START Ireland Series 2019-1, Class A, 4.09%, 3/15/2044
(a) |
589,127 | 585,470 | |||
|
Structured Asset Securities Corp. Mortgage Loan Trust Series 2006-BC4, Class A4, 1 Month USD LIBOR + 0.34%, 0.44%, 12/25/2036
(b) |
1,050,088 | 1,030,988 | |||
|
Sunrun Demeter Issuer Series 2021-2A, Class A, 2.27%, 1/30/2057
(a) |
2,750,000 | 2,715,158 | |||
| TIF Funding II LLC: | |||||
|
Series 2021-1A, Class A, ABS, 1.65, 2/20/2046
(a) |
4,644,792 | 4,501,209 | |||
|
Series 2021-1A, Class B, ABS, 2.54, 2/20/2046
(a) |
1,857,917 | 1,825,524 | |||
|
TPG Real Estate Finance Issuer, Ltd. Series 2021-FL4, Class A, ABS, 1 Month USD LIBOR + 1.20%, 1.31%, 3/15/2038
(a)
(b) |
200,000 | 199,875 | |||
|
Trimaran Cavu, Ltd. Series 2021-3A, Class D, ABS, 3 Month USD LIBOR + 3.78%, 3.88%, 1/18/2035
(a)
(b) |
1,500,000 | 1,500,000 | |||
|
TRTX Issuer, Ltd. Series 2019-FL3, Class AS, SOFR30A + 1.56%, 1.61%, 10/15/2034
(a)
(b) |
3,527,000 | 3,523,695 | |||
|
Upstart Pass-Through Trust Series 2021-ST3, Class A, ABS, 2.00%, 5/20/2027
(a) |
3,888,214 | 3,868,001 | |||
|
Upstart Securitization Trust Series 2020-1, Class C, ABS, 4.90%, 4/22/2030
(a) |
2,000,000 | 2,039,192 |
See accompanying notes to financial statements.
72
SPDR DOUBLELINE TOTAL RETURN
TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2021 (Unaudited)
| Security Description | Principal
Amount |
Value | |||
|
US Auto Funding 2019-1 LLC Series 2019-1A, Class D, ABS, 8.06%, 11/15/2025
(a) |
$ 2,750,000 | $ 2,819,881 | |||
|
Venture 39 CLO, Ltd. Series 2020-39A, Class D, ABS, 3 Month USD LIBOR + 4.25%, 4.37%, 4/15/2033
(a)
(b) |
1,750,000 | 1,742,475 | |||
|
VOLT XCVI LLC Series 2021-NPL5, Class A1, CMO, 2.12%, 3/27/2051
(a)
(e) |
1,850,010 | 1,841,331 | |||
|
Voya CLO 2017-3, Ltd. Series 2017-3A, Class CR, ABS, 3 Month USD LIBOR + 3.15%, 3.28%, 4/20/2034
(a)
(b) |
1,000,000 | 998,490 | |||
|
TOTAL ASSET-BACKED SECURITIES (Cost
$184,221,127) |
181,051,256 | ||||
| FOREIGN GOVERNMENT OBLIGATIONS — 2.1% | |||||
| BRAZIL — 0.1% | |||||
| Brazilian Government International Bond: | |||||
|
3.75%,
9/12/2031 |
3,000,000 | 2,825,640 | |||
|
5.63%,
2/21/2047 |
1,200,000 | 1,197,156 | |||
| 4,022,796 | |||||
| CHILE — 0.2% | |||||
| Chile Government International Bond: | |||||
|
2.55%,
1/27/2032 |
200,000 | 199,590 | |||
|
3.10%,
5/7/2041 |
1,800,000 | 1,768,500 | |||
|
3.10%,
1/22/2061 |
1,600,000 | 1,490,144 | |||
|
3.50%,
1/25/2050 |
1,300,000 | 1,354,834 | |||
| 4,813,068 | |||||
| COLOMBIA — 0.2% | |||||
| Colombia Government International Bond: | |||||
|
3.13%,
4/15/2031 |
1,200,000 | 1,081,584 | |||
|
3.25%,
4/22/2032 |
1,800,000 | 1,621,296 | |||
|
4.13%,
5/15/2051 |
1,700,000 | 1,384,157 | |||
|
5.00%,
6/15/2045 |
900,000 | 812,106 | |||
| 4,899,143 | |||||
| DOMINICAN REPUBLIC — 0.1% | |||||
|
Dominican Republic International Bond Series REGS, 5.88%,
1/30/2060 |
1,800,000 | 1,732,482 | |||
| INDONESIA — 0.3% | |||||
| Indonesia Government International Bond: | |||||
|
2.15%,
7/28/2031 |
1,000,000 | 994,750 |
See accompanying notes to financial statements.
73
SPDR DOUBLELINE TOTAL RETURN
TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2021 (Unaudited)
| Security Description | Principal
Amount |
Value | |||
|
3.70%,
10/30/2049 |
$ 1,900,000 | $ 2,018,883 | |||
|
4.35%,
1/11/2048 |
1,100,000 | 1,269,092 | |||
| Perusahaan Penerbit SBSN Indonesia III: | |||||
|
2.55%, 6/9/2031
(a) |
2,600,000 | 2,639,988 | |||
|
Series REGS, 3.80%,
6/23/2050 |
1,000,000 | 1,052,530 | |||
| 7,975,243 | |||||
| MALAYSIA — 0.1% | |||||
|
Malaysia Wakala Sukuk Bhd Series REGS, 2.07%,
4/28/2031 |
2,200,000 | 2,199,142 | |||
|
Malaysia Wakala Sukuk Bhd. 3.08%, 4/28/2051
(a) |
500,000 | 514,750 | |||
| 2,713,892 | |||||
| MEXICO — 0.3% | |||||
| Mexico Government International Bond: | |||||
|
2.66%,
5/24/2031 |
1,200,000 | 1,171,128 | |||
|
3.77%,
5/24/2061 |
1,500,000 | 1,382,790 | |||
|
4.28%,
8/14/2041 |
2,100,000 | 2,182,173 | |||
|
4.35%,
1/15/2047 |
300,000 | 312,243 | |||
|
4.50%,
1/31/2050 |
1,100,000 | 1,169,663 | |||
|
4.60%,
2/10/2048 |
1,500,000 | 1,604,145 | |||
| 7,822,142 | |||||
| PANAMA — 0.2% | |||||
| Panama Government International Bond: | |||||
|
2.25%,
9/29/2032 |
1,200,000 | 1,142,436 | |||
|
3.87%,
7/23/2060 |
2,000,000 | 2,000,540 | |||
|
4.30%,
4/29/2053 |
1,300,000 | 1,402,856 | |||
|
4.50%,
4/1/2056 |
400,000 | 440,588 | |||
| 4,986,420 | |||||
| PERU — 0.0% (c) | |||||
| Peruvian Government International Bond: | |||||
|
2.78%,
1/23/2031 |
800,000 | 796,960 | |||
|
3.30%,
3/11/2041 |
600,000 | 602,628 | |||
| 1,399,588 | |||||
| PHILIPPINES — 0.2% | |||||
| Philippine Government International Bond: | |||||
|
1.65%,
6/10/2031 |
1,450,000 | 1,403,759 | |||
|
2.46%,
5/5/2030 |
800,000 | 825,728 | |||
|
2.65%,
12/10/2045 |
600,000 | 571,290 |
See accompanying notes to financial statements.
74
SPDR DOUBLELINE TOTAL RETURN
TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2021 (Unaudited)
| Security Description | Principal
Amount |
Value | |||
|
2.95%,
5/5/2045 |
$ 600,000 | $ 594,606 | |||
|
3.70%,
3/1/2041 |
800,000 | 877,656 | |||
|
3.70%,
2/2/2042 |
1,700,000 | 1,865,410 | |||
| 6,138,449 | |||||
| QATAR — 0.0% (c) | |||||
|
Qatar Government International Bond Series REGS, 3.38%,
3/14/2024 |
300,000 | 314,124 | |||
| SAUDI ARABIA — 0.2% | |||||
| Saudi Government International Bond: | |||||
|
Series REGS, 2.25%,
2/2/2033 |
2,000,000 | 1,949,520 | |||
|
Series REGS, 2.88%,
3/4/2023 |
400,000 | 409,418 | |||
|
Series REGS, 3.45%,
2/2/2061 |
3,100,000 | 3,127,714 | |||
|
Series REGS, 3.75%,
1/21/2055 |
200,000 | 214,412 | |||
| 5,701,064 | |||||
| SOUTH KOREA — 0.1% | |||||
| Korea Development Bank: | |||||
|
1.63%,
1/19/2031 |
800,000 | 784,960 | |||
|
2.00%,
10/25/2031 |
1,650,000 | 1,654,224 | |||
|
Korea Electric Power Corp. Series 144A, 1.13%, 6/15/2025
(a) |
700,000 | 692,349 | |||
|
Korea Hydro & Nuclear Power Co., Ltd. Series 144A, 1.25%, 4/27/2026
(a) |
200,000 | 196,486 | |||
|
Korea International Bond 2.75%,
1/19/2027 |
200,000 | 211,660 | |||
| 3,539,679 | |||||
| THAILAND — 0.0% (c) | |||||
|
Export Import Bank of Thailand Series EMTN, 3 Month USD LIBOR + 0.90%, 1.06%, 11/20/2023
(b) |
420,000 | 422,100 | |||
| UNITED ARAB EMIRATES — 0.1% | |||||
| Abu Dhabi Government International Bond: | |||||
|
Series 144A, 3.13%, 4/16/2030
(a) |
700,000 | 758,800 | |||
|
Series REGS, 1.70%,
3/2/2031 |
800,000 | 777,600 | |||
|
Series REGS, 3.13%,
9/30/2049 |
1,150,000 | 1,173,488 |
See accompanying notes to financial statements.
75
SPDR DOUBLELINE TOTAL RETURN
TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2021 (Unaudited)
| Security Description | Principal
Amount |
Value | |||
|
Series REGS, 3.88%,
4/16/2050 |
$ 500,000 | $ 582,394 | |||
| 3,292,282 | |||||
|
TOTAL FOREIGN GOVERNMENT OBLIGATIONS (Cost
$59,648,716) |
59,772,472 |
| Shares | |||
| COMMON STOCKS — 0.0% (c) | |||
| UNITED KINGDOM — 0.0% (c) | |||
|
Avation Capital SA
(f)
(g) |
4,550 | 1,787 | |
| UNITED STATES — 0.0% (c) | |||
|
Foresight Energy
(f)
(g) |
572 | 10,967 | |
|
Tapstone Energy Holdings
(f)
(g) |
5,920 | — | |
| 10,967 | |||
|
TOTAL COMMON STOCKS (Cost
$1,913) |
12,754 |
| Principal
Amount |
|||
| SENIOR FLOATING RATE LOANS — 3.1% | |||
| ADVERTISING SERVICES — 0.0% (c) | |||
|
Terrier Media Buyer, Inc., Senior Secured 2021 Term Loan, 1 Month USD LIBOR + 3.50%, 3.60%, 12/17/2026
(b) |
$ 455,747 | 454,208 | |
| AEROSPACE & DEFENSE — 0.0% (c) | |||
| Dynasty Acquisition Co., Inc.: | |||
|
Senior Secured 2020 CAD Term Loan B2, 3 Month USD LIBOR + 3.50%, 3.72%, 4/6/2026
(b) |
254,826 | 248,638 | |
|
Senior Secured 2020 Term Loan B1, 3 Month USD LIBOR + 3.50%, 3.72%, 4/6/2026
(b) |
473,975 | 462,468 | |
| 711,106 | |||
| AIR FREIGHT & LOGISTICS — 0.0% (c) | |||
|
Kenan Advantage Group, Inc., Senior Secured 2021 Term Loan B1, 1 Month USD LIBOR + 3.75%, 4.50%, 3/24/2026
(b) |
382,391 | 381,886 | |
|
Worldwide Express Operations, LLC, Senior Secured 2021 1st Lien Term Loan, 6 Month USD LIBOR + 4.25%, 5.00%, 7/26/2028
(b) |
190,000 | 190,752 | |
| 572,638 |
See accompanying notes to financial statements.
76
SPDR DOUBLELINE TOTAL RETURN
TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2021 (Unaudited)
| Security Description | Principal
Amount |
Value | |||
| 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 | $ 321,763 | |||
|
Air Canada, Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 3.50%, 4.25%, 8/11/2028
(b) |
195,000 | 195,104 | |||
| American Airlines, Inc.: | |||||
|
Senior Secured 2017 1st Lien Term Loan, 1 Month USD LIBOR + 1.75%, 1.85%, 1/29/2027
(b) |
217,800 | 205,549 | |||
|
Senior Secured 2017 Incremental Term Loan, 3 Month USD LIBOR + 2.00%, 2.11%, 12/15/2023
(b) |
103,906 | 102,028 | |||
|
Mileage Plus Holdings LLC, Senior Secured 2020 Term Loan B, 3 Month USD LIBOR + 5.25%, 6.25%, 6/21/2027
(b) |
505,000 | 533,914 | |||
|
SkyMiles IP Ltd., Senior Secured 2020 Skymiles Term Loan B, 3 Month USD LIBOR + 3.75%, 4.75%, 10/20/2027
(b) |
215,000 | 227,900 | |||
|
United Airlines, Inc., Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 3.75%, 4.50%, 4/21/2028
(b) |
213,388 | 214,636 | |||
| 1,800,894 | |||||
| AUTO COMPONENTS — 0.1% | |||||
|
Clarios Global LP, Senior Secured 2021 USD Term Loan B, 1 Month USD LIBOR + 3.25%, 3.35%, 4/30/2026
(b) |
528,551 | 526,503 | |||
| DexKo Global, Inc.: | |||||
|
Senior Secured 2021 USD Delayed Draw Term Loan, 3 Month USD LIBOR + 1.86%, 1.88%, 10/4/2028
(b) |
26,462 | 26,411 | |||
|
Senior Secured 2021 USD Term Loan B, 3 Month USD LIBOR + 3.75%, 4.25%, 10/4/2028
(b) |
214,200 | 213,782 | |||
|
Truck Hero, Inc., Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 3.25%, 4.00%, 1/31/2028
(b) |
148,875 | 148,375 | |||
|
Wheel Pros, LLC, Senior Secured 2021 Term Loan, 1 Month USD LIBOR + 4.50%, 5.25%, 5/11/2028
(b) |
240,000 | 239,956 | |||
| 1,155,027 | |||||
| BEVERAGES — 0.0% (c) | |||||
|
Triton Water Holdings, Inc., Senior Secured Term Loan, 3 Month USD LIBOR + 3.50%, 4.00%, 3/31/2028
(b) |
547,373 | 542,242 | |||
| BROADCAST SERV/PROGRAM — 0.0% (c) | |||||
|
E.W. Scripps Company (The), Senior Secured 2019 Term Loan B2, 1 Month USD LIBOR + 2.56%, 3.31%, 5/1/2026
(b) |
454,193 | 454,230 | |||
| BUILDING PRODUCTS — 0.0% (c) | |||||
|
Chamberlain Group, Inc., Senior Secured Term Loan B, 1 Month USD LIBOR + 3.5%, 4.00%, 11/3/2028
(b) |
205,000 | 205,065 |
See accompanying notes to financial statements.
77
SPDR DOUBLELINE TOTAL RETURN
TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2021 (Unaudited)
| Security Description | Principal
Amount |
Value | |||
|
CP Atlas Buyer, Inc., Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 3.75%, 4.25%, 11/23/2027
(b) |
$ 575,875 | $ 574,147 | |||
|
Quikrete Holdings, Inc., Senior Secured 2021 Term Loan B1, 6/11/2028
(h) |
125,000 | 124,904 | |||
|
Tamko Building Products, LLC, Senior Secured Term Loan B, 2 Month USD LIBOR + 3.00%, 3.00%, 6/1/2026
(b) |
178,177 | 177,584 | |||
| 1,081,700 | |||||
| CASINO SERVICES — 0.0% (c) | |||||
|
Stars Group Holdings B.V., Senior Secured 2018 USD Incremental Term Loan, 3 Month USD LIBOR + 2.25%, 2.47%, 7/21/2026
(b) |
317,853 | 317,120 | |||
| CHEMICALS — 0.1% | |||||
|
Atotech B.V., Senior Secured 2021 USD Term Loan B, 1 Month USD LIBOR + 2.50%, 3.00%, 3/18/2028
(b) |
64,675 | 64,632 | |||
|
Diamond (BC) B.V., Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 3.00%, 3.50%, 9/29/2028
(b) |
455,000 | 454,181 | |||
|
GEON Performance Solutions, LLC, Senior Secured 2021 Term Loan, 3 Month USD LIBOR + 4.75%, 5.50%, 8/18/2028
(b) |
59,850 | 60,449 | |||
|
Illuminate Buyer, LLC, Senior Secured 2021 Term Loan, 1 Month USD LIBOR + 3.50%, 3.60%, 6/30/2027
(b) |
375,862 | 374,167 | |||
|
Ineos US Finance LLC, Senior Secured 2021 USD Term Loan B, 3 Month USD LIBOR + 2.50%, 3.00%,
11/8/2028 |
55,000 | 54,817 | |||
|
Kraton Polymers, LLC, Senior Secured 2021 USD Term Loan B, 11/18/2028
(h) |
155,000 | 155,291 | |||
|
Messer Industries GmbH, Senior Secured 2018 USD Term Loan, 3 Month USD LIBOR + 2.50%, 2.72%, 3/1/2026
(b) |
121,244 | 120,475 | |||
|
Olympus Water US Holding Corp., Senior Secured 2021 USD Term Loan B, 3 Month USD LIBOR + 3.75%, 4.25%, 11/9/2028
(b) |
200,000 | 199,625 | |||
|
Polar US Borrower, LLC, Senior Secured 2018 1st Lien Term Loan, 3 Month USD LIBOR + 3.75%, 4.75%, 10/15/2025
(b) |
277,715 | 278,236 | |||
|
PQ Corporation, Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 2.75%, 3.25%, 6/9/2028
(b) |
99,750 | 99,812 | |||
|
Starfruit Finco B.V, Senior Secured 2018 USD Term Loan B, 1 Month USD LIBOR + 3.00%, 3.10%, 10/1/2025
(b) |
452,743 | 451,753 | |||
|
Vantage Specialty Chemicals, Inc., Senior Secured 2017 1st Lien Term Loan, 3 Month USD LIBOR + 3.50%, 4.50%, 10/28/2024
(b) |
441,694 | 434,240 |
See accompanying notes to financial statements.
78
SPDR DOUBLELINE TOTAL RETURN
TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2021 (Unaudited)
| Security Description | Principal
Amount |
Value | |||
|
W.R. Grace & Co.-Conn., Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 3.75%, 4.25%, 9/22/2028
(b) |
$ 375,000 | $ 376,125 | |||
| 3,123,803 | |||||
| COMMERCIAL SERVICES — 0.2% | |||||
|
Allied Universal Holdco LLC, Senior Secured 2021 USD Incremental Term Loan B, 3 Month USD LIBOR + 3.75%, 4.25%, 5/12/2028
(b) |
575,745 | 574,596 | |||
|
APX Group, Inc., Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 3.50%, 4.00%, 7/10/2028
(b) |
140,000 | 139,971 | |||
|
EAB Global, Inc., Senior Secured 2021 Term Loan, 3 Month USD LIBOR + 3.50%, 4.00%, 8/16/2028
(b) |
415,000 | 413,272 | |||
|
IRI Holdings, Inc., Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 4.25%, 4.35%, 12/1/2025
(b) |
383,089 | 383,711 | |||
|
Mavis Tire Express Services Corp., Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 4.00%, 4.75%, 5/4/2028
(b) |
597,000 | 598,307 | |||
|
PECF USS Intermediate Holding III Corporation, Senior Secured Term Loan B, 12/15/2028
(h) |
480,000 | 481,116 | |||
|
Spin Holdco Inc., Senior Secured 2021 Term Loan, 3 Month USD LIBOR + 4.00%, 4.75%, 3/4/2028
(b) |
442,775 | 444,743 | |||
|
Verscend Holding Corp., Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 4.00%, 4.10%, 8/27/2025
(b) |
571,493 | 572,065 | |||
|
Viad Corp., Senior Secured Initial Term Loan, 3 Month USD LIBOR + 5.00%, 5.50%, 7/30/2028
(b) |
169,575 | 169,470 | |||
|
VT Topco, Inc., Senior Secured 2021 Incremental Term Loan, 1 Month USD LIBOR + 3.75%, 4.50%, 8/1/2025
(b) |
258,926 | 258,980 | |||
|
Wand NewCo 3, Inc., Senior Secured 2020 Term Loan, 3 Month USD LIBOR + 3.00%, 3.18%, 2/5/2026
(b) |
596,474 | 588,896 | |||
| 4,625,127 | |||||
| COMMERCIAL SERVICES & SUPPLIES — 0.1% | |||||
|
ADMI Corp., Senior Secured 2021 Incremental Term Loan B3, 1 Month USD LIBOR + 3.50%, 4.00%, 12/23/2027
(b) |
169,575 | 169,535 | |||
|
Asurion LLC, Senior Secured 2021 Term Loan B9, 1 Month USD LIBOR + 3.25%, 3.35%, 7/31/2027
(b) |
442,085 | 439,930 | |||
| Asurion, LLC: | |||||
|
Senior Secured 2021 2nd Lien Term Loan B3, 1 Month USD LIBOR + 5.25%, 5.35%, 1/31/2028
(b) |
70,000 | 70,306 | |||
|
Senior Secured 2021 Second Lien Term Loan B4, 1 Month USD LIBOR + 5.25%, 5.35%, 1/20/2029
(b) |
290,000 | 289,185 | |||
| Covanta Holding Corporation: | |||||
|
Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 2.50%, 3.00%, 11/30/2028
(b) |
120,941 | 121,213 |
See accompanying notes to financial statements.
79
SPDR DOUBLELINE TOTAL RETURN
TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2021 (Unaudited)
| Security Description | Principal
Amount |
Value | |||
|
Senior Secured 2021 Term Loan C, 3 Month USD LIBOR + 2.50%, 3.00%, 11/30/2028
(b) |
$ 9,059 | $ 9,080 | |||
|
Garda World Security Corporation, Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 4.25%, 4.36%, 10/30/2026
(b) |
625,000 | 624,938 | |||
|
Packaging Coordinators Midco, Inc., Senior Secured 2020 1st Lien Term Loan, 3 Month USD LIBOR + 3.75%, 4.50%, 11/30/2027
(b) |
153,838 | 154,030 | |||
|
Packers Holdings, LLC, Senior Secured 2021 Term Loan, 6 Month USD LIBOR + 3.25%, 4.00%, 3/9/2028
(b) |
277,923 | 276,533 | |||
|
Prometric Holdings, Inc., Senior Secured 1st Lien Term Loan, 1/29/2025
(h) |
475,000 | 469,953 | |||
| 2,624,703 | |||||
| COMMUNICATIONS EQUIPMENT — 0.0% (c) | |||||
| Avaya, Inc.: | |||||
|
Senior Secured 2020 Term Loan B, 3 Month USD LIBOR + 4.25%, 4.36%, 12/15/2027
(b) |
292,231 | 293,480 | |||
|
Senior Secured 2021 Term Loan B2, 3 Month USD LIBOR + 4.00%, 4.11%, 12/15/2027
(b) |
360,000 | 360,293 | |||
| 653,773 | |||||
| COMPUTER SERVICES — 0.0% (c) | |||||
|
Redstone Holdco 2 LP, Senior Secured 2021 Term Loan, 3 Month USD LIBOR + 4.75%, 5.50%, 4/27/2028
(b) |
340,000 | 325,763 | |||
| CONSTRUCTION & ENGINEERING — 0.1% | |||||
|
Aegion Corporation, Senior Secured Term Loan, 3 Month USD LIBOR + 4.75%, 5.50%, 5/17/2028
(b) |
99,750 | 100,332 | |||
|
Brand Energy & Infrastructure Services, Inc., Senior Secured 2017 Term Loan, 3 Month USD LIBOR + 4.25%, 5.25%, 6/21/2024
(b) |
143,896 | 141,098 | |||
|
Brown Group Holding, LLC, Senior Secured Term Loan B, 3 Month USD LIBOR + 2.50%, 3.00%, 6/7/2028
(b) |
51,253 | 51,221 | |||
| 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 | 60,150 | |||
|
Senior Secured 2021 Term Loan, 1 Month USD LIBOR + 3.75%, 3.75%, 3/31/2028
(b) |
663,360 | 663,983 | |||
|
KKR Apple Bidco, LLC, Senior Secured 2021 Term Loan, 1 Month USD LIBOR + 3.00%, 3.50%, 9/23/2028
(b) |
190,000 | 189,657 | |||
| 1,206,441 |
See accompanying notes to financial statements.
80
SPDR DOUBLELINE TOTAL RETURN
TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2021 (Unaudited)
| Security Description | Principal
Amount |
Value | |||
| CONSTRUCTION MATERIALS — 0.0% (c) | |||||
|
Forterra Finance, LLC, Senior Secured 2017 Term Loan B, 1 Month USD LIBOR + 3.00%, 4.00%, 10/25/2023
(b) |
$ 95,383 | $ 95,461 | |||
|
Traverse Midstream Partners LLC, Senior Secured 2017 Term Loan, 3 Month USD LIBOR + 4.25%, 5.25%, 9/27/2024
(b) |
283,758 | 283,050 | |||
| 378,511 | |||||
| CONSUMER FINANCE — 0.0% (c) | |||||
|
Amentum Government Services Holdings LLC, Senior Secured Term Loan B, 1 Month USD LIBOR + 3.50%, 3.60%, 1/29/2027
(b) |
296,292 | 292,496 | |||
| CONTAINERS & PACKAGING — 0.1% | |||||
|
Charter NEX US, Inc., Senior Secured 2021 Term Loan, 1 Month USD LIBOR + 3.75%, 4.50%, 12/1/2027
(b) |
301,950 | 302,965 | |||
|
Graham Packaging Company, Inc., Senior Secured 2021 Term Loan, 1 Month USD LIBOR + 3.00%, 3.75%, 8/4/2027
(b) |
622,281 | 621,403 | |||
|
Klockner-Pentaplast of America, Inc., Senior Secured 2021 Term Loan B, 6 Month USD LIBOR + 4.75%, 5.25%, 2/12/2026
(b) |
337,650 | 329,631 | |||
| Pretium PKG Holdings, Inc.: | |||||
|
Senior Secured 2021 1st Lien Term Loan, 6 Month USD LIBOR + 4.00%, 4.50%, 10/2/2028
(b) |
220,000 | 219,877 | |||
|
Senior Secured 2021 2nd Lien Term Loan, 6 Month USD LIBOR + 6.75%, 7.25%, 10/1/2029
(b) |
45,000 | 44,972 | |||
|
TricorBraun Holdings, Inc., Senior Secured 2021 Term Loan, 1 Month USD LIBOR + 3.25%, 3.75%, 3/3/2028
(b) |
398,340 | 396,015 | |||
| Trident TPI Holdings, Inc.: | |||||
|
Senior Secured 2017 USD Term Loan B1, 3 Month USD LIBOR + 3.25%, 4.25%, 10/17/2024
(b) |
498,509 | 499,249 | |||
|
Senior Secured 2021 Delayed Draw Term Loan, 3 Month USD LIBOR + 4.00%, 4.20%, 9/15/2028
(b) |
3,495 | 3,498 | |||
|
Senior Secured 2021 Incremental Term Loan, 3 Month USD LIBOR + 4.00%, 4.50%, 9/15/2028
(b) |
61,151 | 61,199 | |||
| 2,478,809 | |||||
| DISTRIBUTORS — 0.0% (c) | |||||
|
American Tire Distributors Holdings, Inc., Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 6.25%, 7.00%, 10/8/2028
(b) |
165,000 | 166,355 | |||
| DIVERSIFIED CONSUMER SERVICES — 0.0% (c) | |||||
| Ascend Learning, LLC: |
See accompanying notes to financial statements.
81
SPDR DOUBLELINE TOTAL RETURN
TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2021 (Unaudited)
| Security Description | Principal
Amount |
Value | |||
|
Senior Secured 2021 2nd Lien Term Loan, 3 Month USD LIBOR + 5.75%, 6.25%, 12/10/2029
(b) |
$ 85,000 | $ 85,531 | |||
|
Senior Secured 2021 Term Loan, 12/11/2028
(h) |
545,000 | 544,888 | |||
|
Mister Car Wash Holdings, Inc., Senior Secured 2019 Term Loan B, 1 Month USD LIBOR + 3.00%, 3.10%, 5/14/2026
(b) |
340,890 | 339,484 | |||
| 969,903 | |||||
| DIVERSIFIED FINANCIAL SERVICES — 0.1% | |||||
|
AllSpring Buyer LLC, Senior Secured Term Loan B, 2 Month USD LIBOR + 3.25%, 3.75%, 11/1/2028
(b) |
243,952 | 244,866 | |||
| Astra Acquisition Corp.: | |||||
|
Senior Secured 2021 1st Lien Term Loan, 1 Month USD LIBOR + 5.25%, 5.75%, 10/25/2028
(b) |
660,000 | 649,552 | |||
|
Senior Secured 2021 2nd Lien Term Loan, 1 Month USD LIBOR + 8.86%, 9.63%, 10/22/2029
(b) |
160,000 | 158,000 | |||
|
Deerfield Dakota Holding, LLC, Senior Secured 2020 USD Term Loan B, 1 Month USD LIBOR + 3.75%, 4.75%, 4/9/2027
(b) |
896,529 | 898,704 | |||
|
DirecTV Financing, LLC, Senior Secured Term Loan, 3 Month USD LIBOR + 5.00%, 5.75%, 8/2/2027
(b) |
375,771 | 376,601 | |||
| 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 | 296,690 | |||
|
Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 3.50%, 4.25%, 4/7/2028
(b) |
558,195 | 558,580 | |||
|
Eisner Advisory Group LLC, Senior Secured Term Loan, 3 Month USD LIBOR + 5.25%, 6.00%, 7/28/2028
(b) |
160,000 | 160,400 | |||
|
HighTower Holdings LLC, Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 4.00%, 4.75%, 4/21/2028
(b) |
335,000 | 335,245 | |||
| 3,678,638 | |||||
| DIVERSIFIED TELECOMMUNICATION SERVICES — 0.1% | |||||
|
Cincinnati Bell, Inc., Senior Secured 2021 Term Loan B2, 3 Month USD LIBOR + 3.25%, 3.75%, 11/22/2028
(b) |
205,000 | 205,231 | |||
| 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 | 1,237,428 | |||
|
Senior Secured 2021 DIP Term Loan, 3 Month USD LIBOR + 4.75%, 3.60%, 10/13/2022
(b) |
212,199 | 212,531 | |||
|
Telesat Canada, Senior Secured Term Loan B5, 2 Month USD LIBOR + 2.75%, 2.90%, 12/7/2026
(b) |
178,999 | 158,861 | |||
| 1,814,051 |
See accompanying notes to financial statements.
82
SPDR DOUBLELINE TOTAL RETURN
TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2021 (Unaudited)
| Security Description | Principal
Amount |
Value | |||
| ELECTRICAL EQUIPMENT — 0.0% (c) | |||||
|
EXC Holdings III Corp., Senior Secured USD 2017 1st Lien Term Loan, 3 Month USD LIBOR + 3.50%, 4.50%, 12/2/2024
(b) |
$ 74,611 | $ 74,984 | |||
| ELECTRIC-INTEGRATED — 0.0% (c) | |||||
|
ExGen Renewables IV, LLC, Senior Secured 2020 Term Loan, 3 Month USD LIBOR + 2.50%, 3.50%, 12/15/2027
(b) |
210,162 | 210,506 | |||
| ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS — 0.0% (c) | |||||
|
Ingram Micro, Inc., Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 3.50%, 4.00%, 6/30/2028
(b) |
487,550 | 488,342 | |||
|
Mirion Technologies, Inc., Senior Secured 2021 Term Loan, 2 Month USD LIBOR + 2.75%, 3.25%, 10/20/2028
(b) |
245,000 | 244,825 | |||
| 733,167 | |||||
| ENERGY EQUIPMENT & SERVICES — 0.0% (c) | |||||
|
Carnival Corporation, Senior Secured USD Term Loan B, 3 Month USD LIBOR + 3.00%, 3.75%, 6/30/2025
(b) |
143,188 | 142,293 | |||
|
Granite Holdings US Acquisition Co., Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 4.00%, 4.22%, 9/30/2026
(b) |
473,447 | 474,039 | |||
|
WIN Waste Innovations Holdings, Inc., Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 2.75%, 3.25%, 3/24/2028
(b) |
427,850 | 427,743 | |||
| 1,044,075 | |||||
| ENTERTAINMENT — 0.1% | |||||
|
Everi Holdings, Inc., Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 2.50%, 3.00%, 8/3/2028
(b) |
114,713 | 114,682 | |||
|
NASCAR Holdings, Inc, Senior Secured Term Loan B, 1 Month USD LIBOR + 2.50%, 2.60%, 10/19/2026
(b) |
242,508 | 242,471 | |||
|
Sweetwater Borrower, LLC, Senior Secured Term Loan B, 1 Month USD LIBOR + 4.75%, 5.50%, 8/7/2028
(b) |
305,000 | 305,762 | |||
|
UFC Holdings, LLC, Senior Secured 2021 Term Loan B, 6 Month USD LIBOR + 2.75%, 3.50%, 4/29/2026
(b) |
668,623 | 666,831 | |||
| 1,329,746 | |||||
| FINANCIAL SERVICES — 0.0% (c) | |||||
|
Greystone Select Financial LLC, Senior Secured Term Loan B, 6 Month USD LIBOR + 5.00%, 5.00%, 6/16/2028
(b) |
89,446 | 90,117 |
See accompanying notes to financial statements.
83
SPDR DOUBLELINE TOTAL RETURN
TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2021 (Unaudited)
| Security Description | Principal
Amount |
Value | |||
| FOOD & STAPLES RETAILING — 0.0% (c) | |||||
|
Monogram Food Solutions, LLC, Senior Secured Term Loan B, 1 Month USD LIBOR + 4.00%, 4.50%, 8/28/2028
(b) |
$ 260,000 | $ 260,000 | |||
|
United Natural Foods, Inc., Senior Secured Term Loan B, 1 Month USD LIBOR + 3.25%, 3.35%, 10/22/2025
(b) |
219,226 | 219,561 | |||
| 479,561 | |||||
| FOOD PRODUCTS — 0.0% (c) | |||||
|
CHG PPC Parent LLC, Senior Secured 2021 Term Loan, 3 Month USD LIBOR + 3.00%, 3.50%, 12/8/2028
(b) |
315,000 | 314,409 | |||
| FOOD-MISC/DIVERSIFIED — 0.0% (c) | |||||
|
H Food Holdings LLC, Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 3.69%, 3.79%, 5/23/2025
(b) |
583,058 | 580,143 | |||
| HEALTH CARE EQUIPMENT & SUPPLIES — 0.1% | |||||
|
Gainwell Acquisition Corp., Senior Secured Term Loan B, 3 Month USD LIBOR + 4.00%, 4.75%, 10/1/2027
(b) |
560,109 | 562,279 | |||
|
Zelis Healthcare Corporation, Senior Secured 2021 Term Loan, 1 Month USD LIBOR + 3.50%, 3.60%, 9/30/2026
(b) |
583,560 | 580,479 | |||
| 1,142,758 | |||||
| HEALTH CARE PROVIDERS & SERVICES — 0.2% | |||||
|
Agiliti Health, Inc., Senior Secured Term Loan, 3 Month USD LIBOR + 2.75%, 2.88%, 1/4/2026
(b) |
114,705 | 114,275 | |||
|
Air Methods Corporation, Senior Secured 2017 Term Loan B, 3 Month USD LIBOR + 3.50%, 4.50%, 4/22/2024
(b) |
100,097 | 95,342 | |||
| Aveanna Healthcare, LLC: | |||||
|
Senior Secured 2021 2nd Lien Term Loan, 3 Month USD LIBOR + 7.00%, 7.50%, 12/10/2029
(b) |
310,000 | 309,612 | |||
|
Senior Secured 2021 Delayed Draw Term Loan, 7/17/2028
(h) |
108,491 | 108,161 | |||
|
Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 3.75%, 4.25%, 7/17/2028
(b) |
466,509 | 465,094 | |||
|
CHG Healthcare Services, Inc., Senior Secured 2021 Term Loan, 3 Month USD LIBOR + 3.50%, 4.00%, 9/29/2028
(b) |
259,350 | 259,707 | |||
|
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) |
97,882 | 95,453 | |||
|
Envision Healthcare Corp., Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 3.75%, 3.85%, 10/10/2025
(b) |
401,898 | 324,659 | |||
| Global Medical Response, Inc.: | |||||
|
Senior Secured 2017 Incremental Term Loan, 6 Month USD LIBOR + 4.25%, 5.25%, 3/14/2025
(b) |
110,000 | 109,745 |
See accompanying notes to financial statements.
84
SPDR DOUBLELINE TOTAL RETURN
TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2021 (Unaudited)
| Security Description | Principal
Amount |
Value | |||
|
Senior Secured 2020 Term Loan B, 3 Month USD LIBOR + 4.25%, 5.25%, 10/2/2025
(b) |
$ 287,783 | $ 286,992 | |||
|
Heartland Dental, LLC, Senior Secured 2021 Incremental Term Loan, 1 Month USD LIBOR + 4.00%, 4.10%, 4/30/2025
(b) |
572,125 | 572,005 | |||
|
Horizon Therapeutics USA, Inc., Senior Secured 2021 Term Loan B2, 1 Month USD LIBOR + 1.75%, 2.25%, 3/15/2028
(b) |
258,700 | 258,168 | |||
| ICON Luxembourg S.A.R.L.: | |||||
|
Senior Secured LUX Term Loan, 3 Month USD LIBOR + 2.25%, 2.75%, 7/3/2028
(b) |
177,861 | 178,145 | |||
|
Senior Secured US Term Loan, 3 Month USD LIBOR + 2.25%, 2.75%, 7/3/2028
(b) |
44,314 | 44,385 | |||
|
MED ParentCo LP, Senior Secured 1st Lien Term Loan, 1 Month USD LIBOR + 4.25%, 4.35%, 8/31/2026
(b) |
188,553 | 188,605 | |||
|
Ortho-Clinical Diagnostics SA, Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 3.00%, 3.00%, 6/30/2025
(b) |
149,848 | 149,940 | |||
|
Radnet Management, Inc., Senior Secured 2021 Term Loan, 3 Month USD LIBOR + 3.00%, 3.75%, 4/21/2028
(b) |
574,187 | 574,905 | |||
|
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 | 318,253 | |||
|
Team Health Holdings, Inc., Senior Secured 1st Lien Term Loan, 1 Month USD LIBOR + 2.75%, 3.75%, 2/6/2024
(b) |
171,401 | 164,374 | |||
|
Upstream Rehabilition, Inc., Senior Secured 2021 Term Loan, 1 Month USD LIBOR + 4.25%, 4.35%, 11/20/2026
(b) |
164,175 | 164,611 | |||
| 4,782,431 | |||||
| HOME FURNISHINGS — 0.0% (c) | |||||
| AI Aqua Merger Sub, Inc.: | |||||
|
Senior Secured 2021 1st Lien Delayed Draw Term Loan, 7/31/2028
(h) |
12,444 | 12,494 | |||
|
Senior Secured 2021 1st Lien Term Loan B, 1 Month USD LIBOR + 4.00%, 4.50%, 7/31/2028
(b) |
127,556 | 128,068 | |||
|
Tecta America Corp., Senior Secured 2021 Term Loan, 1 Month USD LIBOR + 4.25%, 5.00%, 4/10/2028
(b) |
194,025 | 194,389 | |||
| 334,951 | |||||
| HOTELS, RESTAURANTS & LEISURE — 0.1% | |||||
|
Alterra Mountain Co., Senior Secured 2021 Series B-2 Consenting Term Loan, 1 Month USD LIBOR + 3.50%, 4.00%, 8/17/2028
(b) |
982,065 | 982,065 | |||
|
ClubCorp Holdings, Inc., Senior Secured 2017 Term Loan B, 3 Month USD LIBOR + 2.75%, 2.97%, 9/18/2024
(b) |
325,137 | 313,803 |
See accompanying notes to financial statements.
85
SPDR DOUBLELINE TOTAL RETURN
TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2021 (Unaudited)
| Security Description | Principal
Amount |
Value | |||
|
Golden Nugget, Inc., Senior Secured 2017 Incremental Term Loan B, 2 Month USD LIBOR + 2.50%, 3.25%, 10/4/2023
(b) |
$ 393,181 | $ 391,392 | |||
|
Peraton Corp., Senior Secured Term Loan B, 1 Month USD LIBOR + 3.75%, 4.50%, 2/1/2028
(b) |
511,137 | 512,231 | |||
|
Playa Resorts Holding B.V., Senior Secured 2017 Term Loan B, 1 Month USD LIBOR + 2.75%, 3.75%, 4/29/2024
(b) |
339,019 | 330,931 | |||
|
Travel Leaders Group, LLC, Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 4.00%, 4.10%, 1/25/2024
(b) |
203,943 | 187,098 | |||
| Travelport Finance (Luxembourg) S.A.R.L.: | |||||
|
Senior Secured 2020 Super Priority Term Loan, 3 Month USD LIBOR + 1.50%, 3.50%, 2/28/2025
(b) |
275,956 | 284,424 | |||
|
Senior Secured 2021 Consented Term Loan, 3 Month USD LIBOR + 1.75%, 6.97%, 5/29/2026
(b) |
92,125 | 76,970 | |||
|
Twin River Worldwide Holdings, Inc., Senior Secured 2021 Term Loan B, 6 Month USD LIBOR + 3.25%, 3.75%, 10/2/2028
(b) |
610,000 | 611,058 | |||
| 3,689,972 | |||||
| HOUSEHOLD DURABLES — 0.0% (c) | |||||
|
Springs Windows Fashions, LLC, Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 4.00%, 4.75%, 10/6/2028
(b) |
570,000 | 566,081 | |||
| HOUSEHOLD PRODUCTS — 0.0% (c) | |||||
|
Conair Holdings, LLC, Senior Secured Term Loan B, 3 Month USD LIBOR + 3.75%, 3.75%, 5/17/2028
(b) |
184,537 | 184,850 | |||
|
TGP Holdings III, LLC, Senior Secured 2021 Term Loan, 3 Month USD LIBOR + 3.25%, 4.00%, 6/29/2028
(b) |
84,643 | 84,396 | |||
| 269,246 | |||||
| INDEPENDENT POWER PRODUCERS & ENERGY TRADERS — 0.0% (c) | |||||
|
Calpine Corporation, Senior Secured 2019 Term Loan B10, 1 Month USD LIBOR + 2.00%, 2.10%, 8/12/2026
(b) |
78,200 | 77,337 | |||
| INSURANCE — 0.2% | |||||
| Acrisure, LLC: | |||||
|
Senior Secured 2020 Term Loan B, 3 Month USD LIBOR + 3.50%, 3.72%, 2/15/2027
(b) |
829,089 | 821,213 | |||
|
Senior Secured 2021 First Lien Term Loan B, 3 Month USD LIBOR + 4.25%, 4.75%, 2/15/2027
(b) |
140,000 | 140,175 |
See accompanying notes to financial statements.
86
SPDR DOUBLELINE TOTAL RETURN
TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2021 (Unaudited)
| Security Description | Principal
Amount |
Value | |||
|
Alliant Holdings Intermediate, LLC, Senior Secured 2021 Term Loan B4, 1 Month USD LIBOR + 3.50%, 4.00%, 11/6/2027
(b) |
$ 155,000 | $ 155,028 | |||
|
AmWINS Group, Inc., Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 2.25%, 3.00%, 2/19/2028
(b) |
313,269 | 311,344 | |||
|
AssuredPartners, Inc., Senior Secured 2020 Term Loan B, 1 Month USD LIBOR + 3.50%, 3.60%, 2/12/2027
(b) |
1,205,530 | 1,198,080 | |||
|
OneDigital Borrower LLC, Senior Secured 2021 Term Loan, 1 Month USD LIBOR + 4.25%, 4.75%, 11/16/2027
(b) |
655,000 | 654,591 | |||
|
Sedgwick Claims Management Services, Inc., Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 3.25%, 3.35%, 12/31/2025
(b) |
828,276 | 822,842 | |||
| 4,103,273 | |||||
| INTERACTIVE MEDIA & SERVICES — 0.0% (c) | |||||
|
GTT Communications, Inc., Senior Secured 2018 USD Term Loan B, 3 Month USD LIBOR + 3.75%, 7.00%, 5/31/2025
(b) |
63,353 | 57,001 | |||
|
Rentpath, Inc., Senior Secured 2021 Stub Current Face Term Loan, 4/1/2028
(i) |
28,239 | 7,201 | |||
| 64,202 | |||||
| INTERNET & CATALOG RETAIL — 0.0% (c) | |||||
|
PUG LLC, Senior Secured USD Term Loan, 1 Month USD LIBOR + 3.50%, 3.60%, 2/12/2027
(b) |
315,192 | 309,282 | |||
|
Uber Technologies, Inc., Senior Secured 2021 1st Lien Term Loan B, 1 Month USD LIBOR + 3.50%, 3.60%, 4/4/2025
(b) |
504,769 | 505,681 | |||
| 814,963 | |||||
| INTERNET & TELECOM — 0.0% (c) | |||||
|
Arches Buyer, Inc., Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 3.25%, 3.75%, 12/6/2027
(b) |
393,015 | 390,905 | |||
|
Cablevision Lightpath LLC, Senior Secured Term Loan B, 3 Month USD LIBOR + 3.25%, 3.75%, 11/30/2027
(b) |
391,050 | 391,001 | |||
|
CNT Holdings I Corp., Senior Secured 2020 Term Loan, 3 Month USD LIBOR + 3.50%, 4.25%, 11/8/2027
(b) |
218,900 | 219,310 | |||
| 1,001,216 | |||||
| IT SERVICES — 0.1% | |||||
|
Access CIG, LLC, Senior Secured 2018 1st Lien Term Loan, 3 Month USD LIBOR + 3.75%, 3.84%, 2/27/2025
(b) |
79,786 | 79,394 | |||
|
Blackhawk Network Holdings, Inc., Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 3.00%, 3.10%, 6/15/2025
(b) |
694,081 | 690,656 |
See accompanying notes to financial statements.
87
SPDR DOUBLELINE TOTAL RETURN
TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2021 (Unaudited)
| Security Description | Principal
Amount |
Value | |||
|
VS Buyer, LLC, Senior Secured Term Loan B, 1 Month USD LIBOR + 3.00%, 3.10%, 2/28/2027
(b) |
$ 1,016,888 | $ 1,014,345 | |||
| 1,784,395 | |||||
| LEISURE INDUSTRY — 0.0% (c) | |||||
|
Carnival Corporation, Senior Secured 2021 Incremental Term Loan B, 6 Month USD LIBOR + 3.25%, 4.00%, 10/18/2028
(b) |
430,000 | 427,134 | |||
| LIFE SCIENCES TOOLS & SERVICES — 0.0% (c) | |||||
|
eResearchTechnology, Inc., Senior Secured 2020 1st Lien Term Loan, 1 Month USD LIBOR + 4.50%, 5.50%, 2/4/2027
(b) |
29,849 | 29,988 | |||
|
Parexel International Corporation, Senior Secured 2021 1st Lien Term Loan, 1 Month USD LIBOR + 3.50%, 4.00%, 11/15/2028
(b) |
385,000 | 385,531 | |||
| 415,519 | |||||
| MACHINERY — 0.1% | |||||
|
Alliance Laundry Systems LLC, Senior Secured Term Loan B, 3 Month USD LIBOR + 3.50%, 4.25%, 10/8/2027
(b) |
117,514 | 117,728 | |||
|
American Trailer World Corp., Senior Secured Term Loan B, 1 Month USD LIBOR + 3.75%, 4.50%, 3/3/2028
(b) |
233,825 | 233,387 | |||
|
Columbus McKinnon Corporation, Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 2.75%, 3.25%, 5/14/2028
(b) |
34,104 | 34,189 | |||
|
Filtration Group Corporation, Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 3.00%, 3.10%, 3/29/2025
(b) |
392,492 | 389,733 | |||
|
Grinding Media Inc., Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 4.00%, 4.75%, 10/12/2028
(b) |
239,400 | 239,550 | |||
| Hillman Group, Inc.: | |||||
|
Senior Secured 2021 Delayed Draw Term Loan, 3 Month USD LIBOR + 2.75%, 2.79%, 7/14/2028
(b) |
2,295 | 2,290 | |||
|
Senior Secured 2021 Term Loan B1, 1 Month USD LIBOR + 2.75%, 3.25%, 7/14/2028
(b) |
119,789 | 119,534 | |||
|
Madison IAQ LLC, Senior Secured Term Loan, 6 Month USD LIBOR + 3.25%, 3.75%, 6/21/2028
(b) |
363,175 | 363,326 | |||
|
Titan Acquisition Limited, Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 3.00%, 3.35%, 3/28/2025
(b) |
286,207 | 281,934 | |||
|
Waterlogic Holdings Limited, Senior Secured 2021 USD Term Loan B, 3 Month USD LIBOR + 4.75%, 4.97%, 8/4/2028
(b) |
377,558 | 378,502 | |||
| 2,160,173 |
See accompanying notes to financial statements.
88
SPDR DOUBLELINE TOTAL RETURN
TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2021 (Unaudited)
| Security Description | Principal
Amount |
Value | |||
| MACHINERY-CONSTRUCTION & MINING — 0.0% (c) | |||||
|
Clear Channel Outdoor Holdings, Inc., Senior Secured Term Loan B, 3 Month USD LIBOR + 3.50%, 3.63%, 8/21/2026
(b) |
$ 241,416 | $ 238,424 | |||
| MACHINERY-FARM — 0.0% (c) | |||||
|
ASP Blade Holdings, Inc., Senior Secured Initial Term Loan, 1 Month USD LIBOR + 4.00%, 4.50%, 10/13/2028
(b) |
85,000 | 85,106 | |||
| MEDIA — 0.1% | |||||
|
Diamond Sports Group, LLC, Senior Secured Term Loan, 1 Month USD LIBOR + 3.25%, 3.36%, 8/24/2026
(b) |
173,228 | 81,368 | |||
|
NEP/NCP Holdco, Inc., Senior Secured 2018 1st Lien Term Loan, 10/20/2025
(h) |
145,000 | 142,402 | |||
|
Radiate Holdco, LLC, Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 3.25%, 4.00%, 9/25/2026
(b) |
480,000 | 479,002 | |||
|
Sinclair Television Group, Inc., Senior Secured Term Loan B2B, 1 Month USD LIBOR + 2.50%, 2.61%, 9/30/2026
(b) |
129,070 | 126,166 | |||
|
Vertical US Newco, Inc., Senior Secured Term Loan B, 6 Month USD LIBOR + 3.50%, 4.00%, 7/30/2027
(b) |
573,572 | 574,688 | |||
|
Ziggo Financing Partnership, Senior Secured USD Term Loan I, 3 Month USD LIBOR + 2.50%, 2.61%, 4/30/2028
(b) |
190,000 | 188,219 | |||
| 1,591,845 | |||||
| METALS & MINING — 0.0% (c) | |||||
|
Tiger Acquisition, LLC, Senior Secured 2021 Term Loan, 3 Month USD LIBOR + 3.25%, 3.75%, 6/1/2028
(b) |
194,512 | 193,575 | |||
|
U.S. Silica Company, Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 4.00%, 5.00%, 5/1/2025
(b) |
242,770 | 237,914 | |||
| 431,489 | |||||
| MISCELLANEOUS MANUFACTUR — 0.0% (c) | |||||
|
Groupe Solmax, Inc., Senior Secured Term Loan, 3 Month USD LIBOR + 4.75%, 4.75%, 5/29/2028
(b) |
159,763 | 159,962 | |||
| MRI/MEDICAL DIAG IMAGING — 0.0% (c) | |||||
|
Radiology Partners, Inc, Senior Secured 2018 1st Lien Term Loan B, 3 Month USD LIBOR + 4.25%, 4.36%, 7/9/2025
(b) |
728,810 | 719,602 | |||
| OIL, GAS & CONSUMABLE FUELS — 0.1% | |||||
|
EG America LLC, Senior Secured 2018 USD Term Loan, 3 Month USD LIBOR + 4.00%, 4.22%, 2/7/2025
(b) |
177,579 | 177,147 | |||
|
EG Group Limited, Senior Secured 2021 Term Loan, 3 Month USD LIBOR + 4.25%, 4.75%, 3/31/2026
(b) |
154,230 | 155,484 |
See accompanying notes to financial statements.
89
SPDR DOUBLELINE TOTAL RETURN
TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2021 (Unaudited)
| Security Description | Principal
Amount |
Value | |||
|
Gulf Finance, LLC, Senior Secured 2021 Term Loan, 3 Month USD LIBOR + 6.75%, 6.75%, 8/25/2026
(b) |
$ 175,826 | $ 164,892 | |||
|
Oryx Midstream Services Permian Basin LLC, Senior Secured Term Loan B, 3 Month USD LIBOR + 3.25%, 3.75%, 10/5/2028
(b) |
190,000 | 189,036 | |||
|
Pacific Gas & Electric Co., Senior Secured 2020 Term Loan, 3 Month USD LIBOR + 3.00%, 3.50%, 6/23/2025
(b) |
595,925 | 590,711 | |||
|
Waterbridge Midstream Operating LLC, Senior Secured Term Loan B, 6 Month USD LIBOR + 5.75%, 6.75%, 6/22/2026
(b) |
168,709 | 164,807 | |||
| 1,442,077 | |||||
| PERSONAL PRODUCTS — 0.0% (c) | |||||
|
Kronos Acquisition Holdings, Inc., Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 3.75%, 4.25%, 12/22/2026
(b) |
445,587 | 433,683 | |||
| 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) |
127,526 | 127,096 | |||
|
Jazz Financing Lux SARL, Senior Secured USD Term Loan, 1 Month USD LIBOR + 3.50%, 4.00%, 5/5/2028
(b) |
572,125 | 574,951 | |||
|
Organon & Co, Senior Secured USD Term Loan, 3 Month USD LIBOR + 3.00%, 3.50%, 6/2/2028
(b) |
553,522 | 554,848 | |||
|
Pathway Vet Alliance LLC, Senior Secured 2021 Term Loan, 1 Month USD LIBOR + 3.75%, 3.85%, 3/31/2027
(b) |
685,490 | 684,205 | |||
|
PetVet Care Centers, LLC, Senior Secured 2021 Term Loan B3, 1 Month USD LIBOR + 3.50%, 4.25%, 2/14/2025
(b) |
224,097 | 224,349 | |||
|
Southern Veterinary Partners, LLC, Senior Secured Term Loan, 3 Month USD LIBOR + 4.00%, 5.00%, 10/5/2027
(b) |
44,887 | 45,027 | |||
| 2,210,476 | |||||
| PIPELINES — 0.1% | |||||
|
CQP Holdco LP, Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 3.75%, 4.25%, 6/5/2028
(b) |
572,902 | 572,304 | |||
|
DT Midstream, Inc., Senior Secured Term Loan B, 3 Month USD LIBOR + 2.00%, 2.50%, 6/26/2028
(b) |
169,150 | 169,692 | |||
|
Freeport LNG Investments, LLLP, Senior Secured Term Loan B, 3 Month USD LIBOR + 3.5%, 4.00%, 12/21/2028
(b) |
215,000 | 213,220 | |||
|
GIP II Blue Holding, L.P, Senior Secured Term Loan B, 3 Month USD LIBOR + 4.50%, 4.72%, 9/29/2028
(b) |
145,000 | 144,909 | |||
| 1,100,125 |
See accompanying notes to financial statements.
90
SPDR DOUBLELINE TOTAL RETURN
TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2021 (Unaudited)
| Security Description | Principal
Amount |
Value | |||
| PROFESSIONAL SERVICES — 0.0% (c) | |||||
|
Proofpoint, Inc., Senior Secured 1st Lien Term Loan, 3 Month USD LIBOR + 3.25%, 3.75%, 8/31/2028
(b) |
$ 340,000 | $ 339,125 | |||
|
Trans Union, LLC, Senior Secured 2021 Term Loan B6, 12/1/2028
(h) |
200,000 | 199,750 | |||
| 538,875 | |||||
| PUBLISHING-BOOKS — 0.0% (c) | |||||
|
Getty Images, Inc., Senior Secured 2019 USD Term Loan B, 1 Month USD LIBOR + 4.50%, 4.63%, 2/19/2026
(b) |
238,052 | 238,697 | |||
| REAL ESTATE MANAGEMENT & DEVELOPMENT — 0.0% (c) | |||||
|
Bright Bidco B.V., Senior Secured 2018 Term Loan B, 6 Month USD LIBOR + 3.50%, 4.50%, 6/30/2024
(b) |
354,698 | 274,874 | |||
| RETAIL-BUILDING PRODUCTS — 0.0% (c) | |||||
|
LBM Acquisition LLC, Senior Secured Term Loan B, 1 Month USD LIBOR + 3.75%, 4.50%, 12/17/2027
(b) |
253,205 | 251,327 | |||
|
Park River Holdings, Inc., Senior Secured Term Loan, 3 Month USD LIBOR + 3.25%, 4.00%, 12/28/2027
(b) |
293,525 | 291,230 | |||
| 542,557 | |||||
| RETAIL-RESTAURANTS — 0.0% (c) | |||||
|
IRB Holding Corp., Senior Secured 2020 Fourth Amendment Incremental Term Loan, 3 Month USD LIBOR + 3.25%, 4.25%, 12/15/2027
(b) |
277,200 | 277,589 | |||
| ROAD & RAIL — 0.0% (c) | |||||
|
PODS, LLC, Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 3.00%, 3.75%, 3/31/2028
(b) |
602,125 | 600,827 | |||
| SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT — 0.0% (c) | |||||
|
Ultra Clean Holdings, Inc., Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 3.75%, 3.85%, 8/27/2025
(b) |
145,894 | 146,258 | |||
| SOFTWARE — 0.6% | |||||
|
Applied Systems, Inc., Senior Secured 2017 1st Lien Term Loan, 3 Month USD LIBOR + 2.25%, 3.25%, 9/19/2024
(b) |
281,712 | 281,923 | |||
|
Artera Services, LLC, Senior Secured Incremental Term Loan, 3 Month USD LIBOR + 3.50%, 4.50%, 3/6/2025
(b) |
203,975 | 198,048 | |||
|
Athenahealth, Inc., Senior Secured 2021 Term Loan B1, 3 Month USD LIBOR + 4.25%, 4.40%, 2/11/2026
(b) |
360,069 | 360,564 |
See accompanying notes to financial statements.
91
SPDR DOUBLELINE TOTAL RETURN
TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2021 (Unaudited)
| Security Description | Principal
Amount |
Value | |||
|
Atlas Purchaser, Inc., Senior Secured 2021 Term Loan, 3 Month USD LIBOR + 5.25%, 6.00%, 5/8/2028
(b) |
$ 299,250 | $ 295,509 | |||
|
Banff Merger Sub, Inc., Senior Secured 2021 USD Term Loan, 3 Month USD LIBOR + 3.75%, 3.97%, 10/2/2025
(b) |
303,683 | 302,165 | |||
|
Camelot U.S. Acquisition 1 Co., Senior Secured Term Loan B, 1 Month USD LIBOR + 3.00%, 3.10%, 10/30/2026
(b) |
575,684 | 572,446 | |||
|
Castle US Holding Corporation, Senior Secured USD Term Loan B, 3 Month USD LIBOR + 3.75%, 3.97%, 1/29/2027
(b) |
574,239 | 569,932 | |||
|
Cengage Learning, Inc., Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 4.75%, 5.75%, 6/29/2026
(b) |
530,000 | 532,125 | |||
|
Constant Contact Inc., Senior Secured Term Loan, 3 Month USD LIBOR + 4.00%, 4.75%, 2/10/2028
(b) |
287,107 | 287,287 | |||
|
Cornerstone OnDemand, Inc., Senior Secured 2021 Term Loan, 3 Month USD LIBOR + 3.75%, 4.25%, 10/16/2028
(b) |
340,000 | 339,453 | |||
|
Cvent, Inc., Senior Secured 1st Lien Term Loan, 1 Month USD LIBOR + 3.75%, 3.85%, 11/29/2024
(b) |
200,905 | 200,842 | |||
| DCert Buyer, Inc.: | |||||
|
Senior Secured 2019 Term Loan B, 1 Month USD LIBOR + 4.00%, 4.10%, 10/16/2026
(b) |
94,043 | 93,984 | |||
|
Senior Secured 2021 2nd Lien Term Loan, 1 Month USD LIBOR + 7.00%, 7.10%, 2/19/2029
(b) |
190,000 | 190,791 | |||
| Finastra USA, Inc.: | |||||
|
Senior Secured USD 1st Lien Term Loan, 3 Month USD LIBOR + 3.50%, 4.50%, 6/13/2024
(b) |
512,031 | 510,431 | |||
|
Senior Secured USD 2nd Lien Term Loan, 3 Month USD LIBOR + 7.25%, 8.25%, 6/13/2025
(b) |
105,000 | 105,012 | |||
|
First Advantage Holdings, LLC, Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 2.75%, 2.85%, 1/31/2027
(b) |
275,667 | 274,855 | |||
|
Flexera Software LLC, Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 3.75%, 4.50%, 3/3/2028
(b) |
534,143 | 535,182 | |||
|
Grab Holdings, Inc., Senior Secured Term Loan B, 1 Month USD LIBOR + 4.50%, 5.50%, 1/29/2026
(b) |
302,712 | 304,352 | |||
|
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) |
569,449 | 572,119 | |||
|
Helios Software Holdings, Inc., Senior Secured 2021 USD Term Loan B, 3 Month USD LIBOR + 3.75%, 3.97%, 3/11/2028
(b) |
513,714 | 511,359 | |||
| Hyland Software, Inc.: | |||||
|
Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 3.50%, 4.25%, 7/1/2024
(b) |
569,108 | 571,954 |
See accompanying notes to financial statements.
92
SPDR DOUBLELINE TOTAL RETURN
TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2021 (Unaudited)
| Security Description | Principal
Amount |
Value | |||
|
Senior Secured 2021 2nd Lien Term Loan, 1 Month USD LIBOR + 6.25%, 7.00%, 7/7/2025
(b) |
$ 45,000 | $ 45,473 | |||
|
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 | 163,283 | |||
|
Informatica LLC, Senior Secured 2021 USD Term Loan B, 1 Month USD LIBOR + 2.75%, 2.88%, 10/27/2028
(b) |
330,000 | 329,381 | |||
|
ION Trading Finance Limited, Senior Secured 2021 USD Term Loan, 3 Month USD LIBOR + 4.75%, 4.97%, 4/3/2028
(b) |
477,600 | 479,458 | |||
|
Ivanti Software, Inc., Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 4.25%, 5.00%, 12/1/2027
(b) |
263,675 | 264,416 | |||
|
LogMeIn, Inc., Senior Secured Term Loan B, 3 Month USD LIBOR + 4.75%, 4.75%, 8/31/2027
(b) |
286,559 | 285,364 | |||
|
MedAssets Software Intermediate Holdings, Inc., Senior Secured 2021 Term Loan, 3 Month USD LIBOR + 4%, 4.50%, 11/17/2028
(b) |
215,000 | 215,335 | |||
| Mitchell International, Inc.: | |||||
|
Senior Secured 2021 2nd Lien Term Loan, 3 Month USD LIBOR + 6.50%, 7.00%, 10/15/2029
(b) |
40,000 | 40,330 | |||
|
Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 3.75%, 4.25%, 10/15/2028
(b) |
765,000 | 761,653 | |||
|
PointClickCare Technologies, Inc., Senior Secured Term Loan B, 6 Month USD LIBOR + 3.00%, 3.75%, 12/29/2027
(b) |
143,913 | 143,972 | |||
|
Polaris Newco LLC, Senior Secured USD Term Loan B, 3 Month USD LIBOR + 4.00%, 4.50%, 6/2/2028
(b) |
573,562 | 574,248 | |||
|
Project Alpha Intermediate Holding, Inc., Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 4.00%, 4.10%, 4/26/2024
(b) |
569,558 | 571,161 | |||
|
Red Planet Borrower, LLC, Senior Secured Term Loan B, 3 Month USD LIBOR + 3.75%, 4.25%, 10/2/2028
(b) |
204,488 | 203,670 | |||
|
Renaissance Holding Corp., Senior Secured 2018 2nd Lien Term Loan, 1 Month USD LIBOR + 7.00%, 7.10%, 5/29/2026
(b) |
150,000 | 150,844 | |||
| Sabre GLBL, Inc.: | |||||
|
Senior Secured 2021 Term Loan B1, 1 Month USD LIBOR + 3.50%, 4.00%, 12/17/2027
(b) |
80,549 | 79,643 | |||
|
Senior Secured 2021 Term Loan B2, 1 Month USD LIBOR + 3.50%, 4.00%, 12/17/2027
(b) |
128,401 | 126,956 | |||
|
Severin Acquisition, LLC, Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 3.00%, 3.10%, 8/1/2025
(b) |
592,498 | 590,463 | |||
|
SkillSoft Corporation, Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 4.75%, 5.50%, 6/30/2028
(b) |
175,000 | 176,021 |
See accompanying notes to financial statements.
93
SPDR DOUBLELINE TOTAL RETURN
TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2021 (Unaudited)
| Security Description | Principal
Amount |
Value | |||
|
Sophia, L.P., Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 3.50%, 4.00%, 10/7/2027
(b) |
$ 590,537 | $ 591,054 | |||
|
Surf Holdings, LLC, Senior Secured USD Term Loan, 3 Month USD LIBOR + 3.50%, 3.69%, 3/5/2027
(b) |
1,027,005 | 1,020,586 | |||
|
Tempo Acquisition LLC, Senior Secured 2020 Extended Term Loan, 1 Month USD LIBOR + 3.25%, 3.75%, 11/2/2026
(b) |
572,766 | 574,198 | |||
|
Tibco Software, Inc., Senior Secured 2020 Term Loan B3, 1 Month USD LIBOR + 3.75%, 3.75%, 6/30/2026
(b) |
574,405 | 570,815 | |||
|
Ultimate Software Group, Inc. (The), Senior Secured 2021 2nd Lien Term Loan, 1 Month USD LIBOR + 5.25%, 5.75%,
5/3/2027 |
70,000 | 70,423 | |||
|
Zelis Healthcare Corporation, Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 3.50%, 3.60%, 9/30/2026
(b) |
128,333 | 127,812 | |||
| 15,766,892 | |||||
| SPECIALTY RETAIL — 0.1% | |||||
|
Great Outdoors Group, LLC, Senior Secured 2021 Term Loan B1, 3 Month USD LIBOR + 3.75%, 4.50%, 3/6/2028
(b) |
460,359 | 461,461 | |||
|
Jo-Ann Stores, Inc., Senior Secured 2021 Term Loan B1, 3 Month USD LIBOR + 4.75%, 5.50%, 7/7/2028
(b) |
239,400 | 237,381 | |||
|
K-Mac Holdings Corp., Senior Secured 2021 Term Loan, 3 Month USD LIBOR + 3.50%, 4.00%, 7/21/2028
(b) |
195,000 | 194,010 | |||
|
Michaels Companies, Inc., Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 4.25%, 5.00%, 4/15/2028
(b) |
238,912 | 237,163 | |||
|
Petco Health and Wellness Company, Inc., Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 3.25%, 4.00%, 3/3/2028
(b) |
580,612 | 580,656 | |||
|
PetSmart, Inc., Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 3.75%, 4.50%, 2/11/2028
(b) |
299,250 | 300,092 | |||
|
Rent-A-Center, Inc., Senior Secured 2021 First Lien Term Loan B, 1 Month USD LIBOR + 3.25%, 3.75%, 2/17/2028
(b) |
168,725 | 168,831 | |||
|
Restoration Hardware, Inc., Senior Secured Term Loan B, 3 Month USD LIBOR + 2.50%, 3.00%, 10/20/2028
(b) |
239,400 | 239,221 | |||
|
SRS Distribution, Inc., Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 3.75%, 4.25%, 6/2/2028
(b) |
269,325 | 269,120 | |||
|
Staples, Inc., Senior Secured 7 Year Term Loan, 3 Month USD LIBOR + 5.00%, 5.13%, 4/16/2026
(b) |
208,929 | 202,377 | |||
|
Victoria's Secret & Co., Senior Secured Term Loan B, 3 Month USD LIBOR + 3.25%, 3.75%, 6/30/2028
(b) |
210,000 | 209,870 | |||
|
Whatabrands LLC, Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 3.25%, 3.75%, 8/3/2028
(b) |
295,000 | 294,379 | |||
| 3,394,561 |
See accompanying notes to financial statements.
94
SPDR DOUBLELINE TOTAL RETURN
TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2021 (Unaudited)
| Security Description | Principal
Amount |
Value | |||
| STEEL-PRODUCERS — 0.0% (c) | |||||
|
Phoenix Services International, LLC, Senior Secured Term Loan, 1 Month USD LIBOR + 3.75%, 4.75%, 3/1/2025
(b) |
$ 396,907 | $ 394,798 | |||
| TELECOM SERVICES — 0.0% (c) | |||||
|
Connect Finco Sarl, Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 3.50%, 4.50%, 12/11/2026
(b) |
142,463 | 142,653 | |||
| TELECOMMUNICATION EQUIP — 0.1% | |||||
|
Altice France S.A., Senior Secured 2018 Term Loan B13, 2 Month USD LIBOR + 4.00%, 4.12%, 8/14/2026
(b) |
751,443 | 748,813 | |||
|
Cyxtera DC Holdings, Inc., Senior Secured Term Loan B, 6 Month USD LIBOR + 3.00%, 4.00%, 5/1/2024
(b) |
299,219 | 296,734 | |||
| Delta TopCo, Inc.: | |||||
|
Senior Secured 2020 2nd Lien Term Loan, 3 Month USD LIBOR + 7.25%, 8.00%, 12/1/2028
(b) |
65,000 | 65,629 | |||
|
Senior Secured 2020 Term Loan B, 3 Month USD LIBOR + 3.75%, 4.50%, 12/1/2027
(b) |
273,625 | 274,261 | |||
|
GOGO Intermediate Holdings LLC, Senior Secured Term Loan B, 3 Month USD LIBOR + 3.75%, 4.50%, 4/30/2028
(b) |
478,800 | 479,355 | |||
|
MLN US HoldCo LLC, Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 4.50%, 4.60%, 11/30/2025
(b) |
85,531 | 82,869 | |||
| 1,947,661 | |||||
| THRIFTS & MORTGAGE FINANCE — 0.0% (c) | |||||
|
Walker & Dunlop, Inc., Senior Secured 2021 Term Loan, 3 Month USD LIBOR + 2.25%, 2.75%, 12/16/2028
(b) |
115,000 | 115,000 | |||
| TRANSPORT-AIR FREIGHT — 0.0% (c) | |||||
|
Kestrel Bidco, Inc., Senior Secured Term Loan B, 6 Month USD LIBOR + 3.00%, 4.00%, 12/11/2026
(b) |
554,928 | 540,330 | |||
| TRANSPORTATION INFRASTRUCTURE — 0.0% (c) | |||||
| First Student Bidco, Inc.: | |||||
|
Senior Secured Term Loan B, 3 Month USD LIBOR + 3.00%, 3.50%, 7/21/2028
(b) |
299,461 | 298,588 | |||
|
Senior Secured Term Loan C, 3 Month USD LIBOR + 3.00%, 4.00%, 7/21/2028
(b) |
110,539 | 110,217 | |||
| 408,805 | |||||
| TRANSPORT-SERVICES — 0.0% (c) | |||||
|
Echo Global Logistics, Inc., Senior Secured Term Loan, 3 Month USD LIBOR + 3.75%, 4.25%, 11/4/2028
(b) |
205,000 | 204,513 | |||
| LaserShip, Inc.: |
See accompanying notes to financial statements.
95
SPDR DOUBLELINE TOTAL RETURN
TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2021 (Unaudited)
| Security Description | Principal
Amount |
Value | |||
|
Senior Secured 2021 2nd Lien Term Loan, 6 Month USD LIBOR + 7.50%, 8.25%, 5/7/2029
(b) |
$ 40,000 | $ 40,350 | |||
|
Senior Secured 2021 Term Loan, 3 Month USD LIBOR + 4.50%, 5.25%, 5/7/2028
(b) |
139,650 | 139,978 | |||
|
Savage Enterprises LLC, Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 3.25%, 3.75%, 9/15/2028
(b) |
254,363 | 254,462 | |||
| 639,303 | |||||
| WEB HOSTING/DESIGN — 0.0% (c) | |||||
|
Endure Digital, Inc., Senior Secured Term Loan, 3 Month USD LIBOR + 3.50%, 4.25%, 2/10/2028
(b) |
597,000 | 592,803 | |||
|
TOTAL SENIOR FLOATING RATE LOANS (Cost
$90,825,992) |
90,893,169 | ||||
| U.S. GOVERNMENT AGENCY OBLIGATIONS — 35.7% | |||||
| Federal Home Loan Mortgage Corp.: | |||||
|
2.50%,
4/1/2033 |
1,665,286 | 1,728,690 | |||
|
2.50%,
9/1/2050 |
16,003,844 | 16,380,487 | |||
|
3.00%,
11/1/2042 |
7,425,086 | 7,827,315 | |||
|
3.00%,
12/1/2042 |
5,993,247 | 6,275,331 | |||
|
3.00%,
1/1/2045 |
864,265 | 908,951 | |||
|
3.00%,
2/1/2045 |
602,062 | 632,776 | |||
|
3.00%,
3/1/2045 |
587,283 | 617,244 | |||
|
3.00%,
4/1/2045 |
16,295,659 | 17,134,836 | |||
|
3.00%,
5/1/2045 |
2,322,225 | 2,440,696 | |||
|
3.00%,
8/1/2045 |
6,727,755 | 7,070,980 | |||
|
3.00%,
7/1/2047 |
2,344,238 | 2,454,574 | |||
|
3.00%,
6/1/2051 |
22,115,847 | 22,929,904 | |||
|
3.50%,
2/1/2045 |
1,010,090 | 1,080,784 | |||
|
3.50%,
4/1/2045 |
13,678,711 | 14,739,147 | |||
|
3.50%,
6/1/2045 |
7,162,013 | 7,739,123 | |||
|
3.50%,
10/1/2045 |
7,648,204 | 8,264,329 | |||
|
3.50%,
2/1/2046 |
4,135,879 | 4,407,761 | |||
|
4.00%,
4/1/2047 |
11,857,790 | 12,702,007 | |||
|
4.00%,
7/1/2047 |
2,917,390 | 3,125,079 | |||
|
4.00%,
10/1/2047 |
6,346,697 | 6,798,519 | |||
|
4.50%,
6/1/2044 |
1,138,104 | 1,253,931 | |||
|
Series 326, Class 300, CMO, 3.00%,
3/15/2044 |
13,208,305 | 13,778,574 | |||
|
Series 3852, Class NS, CMO, IO, REMIC, 6.00% - 1 Month USD LIBOR, 5.89%, 5/15/2041
(b) |
4,562,571 | 651,983 | |||
|
Series 3889, Class VZ, CMO, REMIC, 4.00%,
7/15/2041 |
3,415,606 | 3,671,490 |
See accompanying notes to financial statements.
96
SPDR DOUBLELINE TOTAL RETURN
TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2021 (Unaudited)
| Security Description | Principal
Amount |
Value | |||
|
Series 3935, Class SJ, CMO, IO, REMIC, 6.65% - 1 Month USD LIBOR, 6.54%, 5/15/2041
(b) |
$ 796,041 | $ 79,407 | |||
|
Series 4120, Class KA, CMO, REMIC, 1.75%,
10/15/2032 |
7,664,130 | 7,774,559 | |||
|
Series 4165, Class ZT, CMO, REMIC, 3.00%,
2/15/2043 |
4,746,448 | 4,877,748 | |||
|
Series 4364, Class ZX, CMO, REMIC, 4.00%,
7/15/2044 |
32,328,550 | 35,382,463 | |||
|
Series 4434, Class LZ, CMO, REMIC, 3.00%,
2/15/2045 |
3,681,610 | 3,946,577 | |||
|
Series 4444, Class CZ, CMO, REMIC, 3.00%,
2/15/2045 |
13,499,238 | 14,414,844 | |||
|
Series 4447, Class A, CMO, REMIC, 3.00%,
6/15/2041 |
171,910 | 173,250 | |||
|
Series 4447, Class Z, CMO, REMIC, 3.00%,
3/15/2045 |
4,455,632 | 4,735,546 | |||
|
Series 4471, Class BA, CMO, REMIC, 3.00%,
12/15/2041 |
1,200,077 | 1,228,823 | |||
|
Series 4471, Class GA, CMO, REMIC, 3.00%,
2/15/2044 |
4,420,934 | 4,583,136 | |||
|
Series 4474, Class ZX, CMO, REMIC, 4.00%,
4/15/2045 |
13,461,349 | 14,972,411 | |||
|
Series 4481, Class B, CMO, REMIC, 3.00%,
12/15/2042 |
1,536,778 | 1,583,567 | |||
|
Series 4483, Class CA, CMO, REMIC, 3.00%,
6/15/2044 |
4,476,705 | 4,636,940 | |||
|
Series 4484, Class CD, CMO, REMIC, 1.75%,
7/15/2030 |
4,328,854 | 4,367,421 | |||
|
Series 4492, Class GZ, CMO, REMIC, 3.50%,
7/15/2045 |
9,429,391 | 9,949,736 | |||
|
Series 4499, Class AB, CMO, REMIC, 3.00%,
6/15/2042 |
2,668,749 | 2,731,880 | |||
|
Series 4504, Class CA, CMO, REMIC, 3.00%,
4/15/2044 |
4,215,106 | 4,363,434 | |||
|
Series 4533, Class AB, CMO, REMIC, 3.00%,
6/15/2044 |
3,748,792 | 3,891,228 | |||
|
Series 4543, Class HG, CMO, REMIC, 2.70%,
4/15/2044 |
6,854,946 | 7,055,382 | |||
|
Series 4582, Class HA, CMO, REMIC, 3.00%,
9/15/2045 |
5,257,612 | 5,471,594 | |||
|
Series 4702, Class ZL, CMO, 3.00%,
7/15/2047 |
14,154,391 | 15,315,650 | |||
|
Series 4792, Class A, CMO, REMIC, 3.00%,
5/15/2048 |
4,075,446 | 4,247,190 | |||
|
Series 5130, Class SD, CMO, IO, SOFR30A + 2.60%, 2.55%, 8/25/2051
(b) |
92,564,730 | 5,494,785 | |||
| Federal National Mortgage Association: | |||||
|
1.41%,
12/1/2030 |
10,000,000 | 9,699,348 | |||
|
1.98%,
10/1/2033 |
19,500,000 | 19,538,361 | |||
|
2.00%,
2/1/2036 |
1,691,184 | 1,733,404 | |||
|
2.00%,
5/1/2036 |
52,236,580 | 53,792,592 | |||
|
2.00%,
4/1/2051 |
9,939,510 | 9,920,597 | |||
|
2.00%,
5/1/2051 |
28,712,566 | 28,691,012 | |||
|
2.08%,
10/1/2033 |
57,500,000 | 58,302,752 | |||
|
2.22%,
12/1/2029 |
5,400,000 | 5,596,459 | |||
|
2.44%,
1/1/2032 |
16,600,000 | 17,427,086 | |||
|
2.50%,
10/1/2040 |
21,731,126 | 22,531,020 | |||
|
2.50%,
9/1/2046 |
1,946,265 | 1,992,906 | |||
|
2.50%,
2/1/2047 |
5,517,715 | 5,677,113 | |||
|
2.50%,
11/1/2050 |
17,784,311 | 18,325,518 | |||
|
2.50%,
2/1/2051 |
12,415,165 | 12,708,489 | |||
|
2.50%,
4/1/2051 |
4,345,086 | 4,452,356 | |||
|
2.50%,
5/1/2051 |
40,902,176 | 41,894,521 |
See accompanying notes to financial statements.
97
SPDR DOUBLELINE TOTAL RETURN
TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2021 (Unaudited)
| Security Description | Principal
Amount |
Value | |||
|
12 Month USD LIBOR + 1.66%, 2.53%, 5/1/2044
(b) |
$ 5,423,258 | $ 5,655,008 | |||
|
2.80%,
11/1/2039 |
10,034,000 | 10,787,014 | |||
|
3.00%,
5/1/2035 |
3,702,869 | 3,886,663 | |||
|
3.00%,
10/1/2041 |
10,908,199 | 11,421,894 | |||
|
3.00%,
3/1/2043 |
2,706,833 | 2,860,314 | |||
|
3.00%,
7/1/2043 |
2,791,363 | 2,904,112 | |||
|
3.00%,
1/1/2045 |
71,489 | 74,345 | |||
|
3.00%,
3/1/2045 |
771,755 | 810,791 | |||
|
3.00%,
4/1/2045 |
1,692,853 | 1,761,223 | |||
|
3.00%,
7/1/2045 |
15,223,345 | 16,086,532 | |||
|
3.00%,
10/1/2046 |
2,816,050 | 2,948,665 | |||
|
3.00%,
2/1/2047 |
10,146,106 | 10,623,912 | |||
|
3.00%,
11/1/2048 |
6,208,637 | 6,501,018 | |||
|
3.00%,
10/1/2049 |
3,996,606 | 4,196,594 | |||
|
3.00%,
4/1/2053 |
12,447,978 | 13,304,687 | |||
|
3.50%,
9/1/2034 |
1,077,349 | 1,146,606 | |||
|
3.50%,
12/1/2034 |
943,993 | 1,004,676 | |||
|
3.50%,
2/1/2035 |
616,215 | 655,828 | |||
|
3.50%,
1/1/2045 |
6,218,363 | 6,723,076 | |||
|
3.50%,
2/1/2045 |
2,094,302 | 2,239,843 | |||
|
3.50%,
6/1/2045 |
7,425,270 | 8,021,413 | |||
|
3.88%,
10/1/2030 |
11,560,000 | 13,163,912 | |||
|
4.50%,
3/1/2044 |
971,833 | 1,070,437 | |||
|
4.50%,
6/1/2044 |
379,551 | 418,061 | |||
|
4.50%,
7/1/2044 |
374,271 | 412,245 | |||
|
4.50%,
2/1/2045 |
580,019 | 638,868 | |||
|
2.00%,
10/1/2051 |
39,516,026 | 39,440,836 | |||
|
3.00%,
6/1/2051 |
18,849,570 | 19,612,303 | |||
|
Series 2010-109, Class N, CMO, REMIC, 3.00%,
10/25/2040 |
1,402,231 | 1,461,014 | |||
|
Series 2011-51, Class CI, CMO, IO, REMIC, 6.00% - 1 Month USD LIBOR, 5.90%, 6/25/2041
(b) |
2,550,701 | 367,268 | |||
|
Series 2012-127, Class PA, CMO, REMIC, 2.75%,
11/25/2042 |
1,808,771 | 1,882,404 | |||
|
Series 2012-151, Class SB, CMO, REMIC, 6.00% - 1 Month USD LIBOR, 5.85%, 1/25/2043
(b) |
40,869 | 37,316 | |||
|
Series 2013-114, Class HZ, CMO, REMIC, 3.00%,
11/25/2038 |
18,228,524 | 19,273,609 | |||
|
Series 2013-18, Class CD, CMO, REMIC, 1.50%,
10/25/2027 |
1,898,505 | 1,910,180 | |||
|
Series 2013-30, Class PS, CMO, REMIC, 6.00% - 1 Month USD LIBOR, 5.85%, 4/25/2043
(b) |
671,482 | 629,506 |
See accompanying notes to financial statements.
98
SPDR DOUBLELINE TOTAL RETURN
TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2021 (Unaudited)
| Security Description | Principal
Amount |
Value | |||
|
Series 2014-21, Class GZ, CMO, REMIC, 3.00%,
4/25/2044 |
$ 4,465,558 | $ 4,641,237 | |||
|
Series 2014-39, Class ZA, CMO, REMIC, 3.00%,
7/25/2044 |
5,626,637 | 5,864,746 | |||
|
Series 2015-42, Class CA, CMO, REMIC, 3.00%,
3/25/2044 |
2,824,244 | 2,921,648 | |||
|
Series 2015-95, Class AP, CMO, REMIC, 3.00%,
8/25/2042 |
134,654 | 134,785 | |||
|
Series 2016-21, Class BZ, CMO, REMIC, 3.00%,
4/25/2046 |
5,145,546 | 5,513,200 | |||
|
Series 2016-32, Class LA, CMO, REMIC, 3.00%,
10/25/2044 |
4,989,380 | 5,154,393 | |||
|
Series 2016-72, Class PA, CMO, REMIC, 3.00%,
7/25/2046 |
4,617,890 | 4,790,255 | |||
|
Series 2016-81, Class PA, CMO, REMIC, 3.00%,
2/25/2044 |
3,493,169 | 3,565,321 | |||
|
Series 2016-9, Class A, CMO, REMIC, 3.00%,
9/25/2043 |
741,784 | 747,684 | |||
|
Series 2016-92, Class A, CMO, REMIC, 3.00%,
4/25/2042 |
6,653,757 | 6,787,027 | |||
|
Series 2017-87, Class BA, CMO, REMIC, 3.00%,
12/25/2042 |
5,579,693 | 5,688,471 | |||
|
Series 2018-M10, Class A1, 3.37%, 7/25/2028
(b) |
5,910,518 | 6,142,177 | |||
|
Series 2020-47, Class GL, CMO, 2.00%,
5/25/2046 |
10,000,000 | 10,127,521 | |||
|
Series 2021-29, Class BA, CMO, 1.25%,
5/25/2041 |
12,106,359 | 11,985,162 | |||
|
Series 2021-35, Class EH, CMO, 2.00%,
2/25/2037 |
20,049,205 | 20,384,360 | |||
| Government National Mortgage Association: | |||||
|
2.50%,
3/20/2051 |
10,796,179 | 11,123,017 | |||
|
Series 2013-169, Class SE, CMO, IO, REMIC, 6.05% - 1 Month USD LIBOR, 5.94%, 11/16/2043
(b) |
1,010,307 | 160,943 | |||
|
Series 2013-34, Class PL, CMO, REMIC, 3.00%,
3/20/2042 |
2,410,638 | 2,467,953 | |||
|
Series 2014-43, Class PS, CMO, IO, REMIC, 6.18% - 1 Month USD LIBOR, 6.08%, 7/20/2042
(b) |
2,362,821 | 178,304 | |||
|
Series 2020-116, Class HS, CMO, IO, 1 Month USD LIBOR + 6.20%, 6.10%, 8/20/2050
(b) |
9,808,157 | 1,844,825 | |||
|
Series 2020-173, Class SY, CMO, IO, 1 Month USD LIBOR + 6.30%, 6.20%, 11/20/2050
(b) |
31,828,278 | 5,770,740 | |||
|
Series 2020-173, Class TI, CMO, IO, 2.00%,
11/20/2050 |
38,900,007 | 3,797,473 | |||
|
Series 2020-176, Class SL, CMO, IO, 1 Month USD LIBOR + 5.00%, 4.90%, 11/20/2050
(b) |
10,406,921 | 1,390,179 | |||
|
Series 2020-185, Class SE, CMO, IO, 1 Month USD LIBOR + 6.30%, 6.20%, 12/20/2050
(b) |
37,885,175 | 8,231,243 | |||
|
Series 2021-125, Class SN, CMO, IO, 1 Month USD LIBOR+ 4.20%, 4.10%, 1/20/2051
(b) |
9,982,455 | 996,663 | |||
|
Series 2021-143, Class IO, IO, VRN, 0.99%, 10/16/2063
(b) |
89,336,498 | 7,345,373 | |||
|
Series 2021-196, Class UI, IO, 3.00%,
11/20/2051 |
61,342,739 | 5,403,443 | |||
|
Series 2021-40, Class IO, IO, VRN, 0.84%, 2/16/2063
(b) |
78,862,515 | 5,936,385 | |||
|
Series 2021-60, Class IO, IO, VRN, 0.84%, 5/16/2063
(b) |
61,165,735 | 4,621,219 | |||
|
Series 2021-79, Class IO, 0.92%, 8/16/2063
(b) |
90,285,663 | 7,305,898 | |||
|
Series 2021-80, Class IO, IO, VRN, 0.91%, 12/16/2062
(b) |
91,939,136 | 7,419,946 | |||
|
Series 2021-85, Class IO, IO, VRN, 0.69%, 3/16/2063
(b) |
104,542,770 | 7,398,189 |
See accompanying notes to financial statements.
99
SPDR DOUBLELINE TOTAL RETURN
TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2021 (Unaudited)
| Security Description | Principal
Amount |
Value | |||
|
Series 2021-99, Class IO, IO, VRN, 0.59%, 5/16/2061
(b) |
$ 42,871,289 | $ 2,771,962 | |||
|
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS (Cost
$1,029,717,267) |
1,030,719,531 | ||||
| U.S. TREASURY OBLIGATIONS — 23.5% | |||||
|
Treasury Bonds 1.88%,
11/15/2051 |
117,000,000 | 116,652,656 | |||
| Treasury Notes: | |||||
|
0.13%,
11/30/2022 |
86,800,000 | 86,599,953 | |||
|
0.38%,
11/30/2025 |
61,300,000 | 59,480,156 | |||
|
0.50%,
11/30/2023 |
98,800,000 | 98,433,359 | |||
|
0.63%,
7/31/2026 |
56,100,000 | 54,583,547 | |||
|
1.00%,
12/15/2024 |
20,200,000 | 20,226,828 | |||
|
1.25%,
11/30/2026 |
28,900,000 | 28,906,774 | |||
|
1.38%,
11/15/2031 |
32,800,000 | 32,436,125 | |||
|
1.50%,
11/30/2028 |
93,300,000 | 93,751,922 | |||
|
2.13%,
7/31/2024 |
16,700,000 | 17,232,313 | |||
|
2.25%,
11/15/2025 |
69,500,000 | 72,426,602 | |||
|
TOTAL U.S. TREASURY OBLIGATIONS (Cost
$680,527,765) |
680,730,235 | ||||
| MORTGAGE-BACKED SECURITIES — 6.7% | |||||
| Alternative Loan Trust: | |||||
|
Series 2005-21CB, Class A3, CMO, 5.25%,
6/25/2035 |
1,997,106 | 1,789,620 | |||
|
Series 2005-79CB, Class A4, CMO, 5.50%,
1/25/2036 |
3,772,804 | 2,871,608 | |||
|
Series 2006-24CB, Class A9, CMO, 6.00%,
8/25/2036 |
2,854,747 | 2,054,855 | |||
|
Series 2006-43CB, Class 1A12, CMO, 5.75%,
2/25/2037 |
2,542,536 | 1,752,239 | |||
|
Series 2006-OA2, Class A1, CMO, 1 Month USD LIBOR + 0.42%, 0.52%, 5/20/2046
(b) |
2,041,454 | 1,767,887 | |||
| Banc of America Funding Trust: | |||||
|
Series 2006-8T2, Class A4, CMO, 5.83%, 10/25/2036
(e) |
2,379,678 | 2,336,092 | |||
|
Series 2007-5, Class CA1, CMO, 6.00%,
7/25/2037 |
4,002,499 | 3,593,874 | |||
|
BANK Series 2017-BNK6, Class XA, IO, 0.80%, 7/15/2060
(b) |
52,608,525 | 1,762,665 | |||
|
BBCMS Mortgage Trust Series 2017-DELC, Class B, 1 Month USD LIBOR + 1.03%, 1.14%, 8/15/2036
(a)
(b) |
925,000 | 920,358 | |||
|
BCAP LLC Trust Series 2010-RR4, Class 3212, CMO, 6.46%, 1/26/2037
(a)
(b) |
7,026,041 | 6,731,695 | |||
|
BX Trust Series 2018-EXCL, Class A, 1 Month USD LIBOR + 1.09%, 1.20%, 9/15/2037
(a)
(b) |
203,088 | 201,642 | |||
|
ChaseFlex Trust Series 2007-3, Class 1A2, CMO , IO, 1 Month USD LIBOR + 0.46%, 0.56%, 7/25/2037
(b) |
7,975,110 | 1,873,624 | |||
| CHL Mortgage PassThrough Trust: | |||||
|
Series 2005-J2, Class 3A14, CMO, 5.50%,
8/25/2035 |
744,070 | 684,362 |
See accompanying notes to financial statements.
100
SPDR DOUBLELINE TOTAL RETURN
TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2021 (Unaudited)
| Security Description | Principal
Amount |
Value | |||
|
Series 2007-12, Class A9, CMO, 5.75%,
8/25/2037 |
$ 2,429,202 | $ 1,843,143 | |||
|
CHL Mortgage Pass-Through Trust Series 2007-HYB1, Class 2A1, CMO, 2.87%, 3/25/2037
(b) |
1,241,316 | 1,182,313 | |||
|
CHT COSMO Mortgage Trust Series 2017-CSMO, Class E, 1 Month USD LIBOR + 3.00%, 3.11%, 11/15/2036
(a)
(b) |
1,333,000 | 1,332,628 | |||
| Citigroup Mortgage Loan Trust: | |||||
|
Series 2007-AR4, Class 1A1A, CMO, 3.17%, 3/25/2037
(b) |
1,660,105 | 1,509,394 | |||
|
Series 2007-AR5, Class 1A2A, CMO, 3.01%, 4/25/2037
(b) |
795,616 | 715,451 | |||
|
Series 2021-JL1, Class A, 2.75%, 2/27/2062
(a)
(b) |
1,427,547 | 1,428,863 | |||
|
CitiMortgage Alternative Loan Trust Series 2007-A1, Class 1A7, CMO, 6.00%,
1/25/2037 |
4,302,026 | 4,227,883 | |||
|
COMM Mortgage Trust Series 2018-HCLV, Class A, 1 Month USD LIBOR + 1.00%, 1.11%, 9/15/2033
(a)
(b) |
347,000 | 344,457 | |||
|
CSAIL Commercial Mortgage Trust Series 2017-CX10, Class XA, IO, 0.71%, 11/15/2050
(b) |
63,181,966 | 1,988,712 | |||
|
CSMC MortgageBacked Trust Series 2006-7, Class 7A7, CMO, 6.00%,
8/25/2036 |
1,437,497 | 1,496,034 | |||
| CSMC Trust: | |||||
|
Series 2017-MOON, Class E, 3.20%, 7/10/2034
(a)
(b) |
3,181,000 | 3,177,547 | |||
|
Series 2020-RPL2, Class A12, CMO, 3.42%, 2/25/2060
(a)
(b) |
10,591,669 | 10,634,864 | |||
|
Series 2021-JR2, Class A1, 2.22%, 11/25/2061
(a)
(b) |
13,659,170 | 13,568,099 | |||
| FMC GMSR Issuer Trust: | |||||
|
Series 2020-GT1, Class A, CMO, VRN, 4.45%, 1/25/2026
(a)
(b) |
3,000,000 | 3,005,203 | |||
|
Series 2021-GT2, Class A, 3.85%, 10/25/2026
(a)
(b) |
2,650,000 | 2,628,074 | |||
|
FWD Securitization Trust Series 2019-INV1, Class A3, 3.11%, 6/25/2049
(a)
(b) |
965,131 | 971,366 | |||
|
Great Wolf Trust Series 2019-WOLF, Class E, 1 Month USD LIBOR + 2.73%, 2.84%, 12/15/2036
(a)
(b) |
100,000 | 97,045 | |||
| GS Mortgage Securities Trust: | |||||
|
Series 2017-GS7, Class XA, IO, 1.11%, 8/10/2050
(b) |
40,134,613 | 1,864,698 | |||
|
Series 2018-TWR, Class A, 1 Month USD LIBOR + 0.90%, 1.01%, 7/15/2031
(a)
(b) |
283,000 | 282,338 | |||
|
Series 2018-TWR, Class D, 1 Month USD LIBOR + 1.60%, 1.71%, 7/15/2031
(a)
(b) |
650,000 | 627,076 | |||
|
Series 2018-TWR, Class E, 1 Month USD LIBOR + 2.10%, 2.21%, 7/15/2031
(a)
(b) |
650,000 | 627,266 | |||
|
Series 2018-TWR, Class F, 1 Month USD LIBOR + 2.80%, 2.91%, 7/15/2031
(a)
(b) |
650,000 | 618,543 | |||
|
Series 2018-TWR, Class G, 1 Month USD LIBOR + 3.92%, 4.03%, 7/15/2031
(a)
(b) |
650,000 | 565,316 |
See accompanying notes to financial statements.
101
SPDR DOUBLELINE TOTAL RETURN
TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2021 (Unaudited)
| Security Description | Principal
Amount |
Value | |||
|
GSR Mortgage Loan Trust Series 2006-OA1, Class 1A1, CMO, 1 Month USD LIBOR + 0.44%, 0.54%, 8/25/2046
(b) |
$ 14,310,295 | $ 4,187,799 | |||
|
IndyMac IMJA Mortgage Loan Trust Series 2007-A4, Class A1, CMO, 6.25%,
2/25/2038 |
21,270,160 | 9,674,060 | |||
|
Legacy Mortgage Asset Trust Series 2020-SL1, Class M, 3.25%, 1/25/2060
(a)
(b) |
8,492,000 | 8,458,232 | |||
|
Morgan Stanley Capital I Trust Series 2016-UB12, Class XA, IO, 0.71%, 12/15/2049
(b) |
48,427,842 | 1,302,947 | |||
|
Morgan Stanley Resecuritization Trust Series 2014-R7, Class B2, CMO, 3.71%, 1/26/2051
(a)
(b) |
13,693,694 | 14,096,511 | |||
|
Morgan Stanley Residential Mortgage Loan Trust Series 2020-RPL1, Class A1, CMO, VRN, 2.69%, 10/25/2060
(a)
(b) |
968,988 | 962,759 | |||
|
NRPL Trust Series 2019-3A, Class A1, CMO, 3.00%, 7/25/2059
(a)
(e) |
4,013,796 | 4,022,882 | |||
| PMT Credit Risk Transfer Trust: | |||||
|
Series 2019-2R, Class A, 1 Month USD LIBOR + 2.75%, 2.85%, 5/27/2023
(a)
(b) |
1,716,129 | 1,700,552 | |||
|
Series 2021-1R, Class A, 1 Month USD LIBOR + 2.90%, 3.00%, 2/27/2024
(a)
(b) |
1,208,478 | 1,224,516 | |||
|
PRPM LLC Series 2020-6, Class A1, CMO, 2.36%, 11/25/2025
(a)
(e) |
4,357,850 | 4,345,279 | |||
| Seasoned Credit Risk Transfer Trust: | |||||
|
Series 2019-4, Class MV, 3.00%,
2/25/2059 |
16,512,817 | 17,414,070 | |||
|
Series 2020-2, Class MT, CMO, 2.00%,
11/25/2059 |
7,605,185 | 7,590,545 | |||
|
Seasoned Credit Risk Transfer Trust Series 2020-3, Class MT, CMO, 2.00%,
5/25/2060 |
12,063,642 | 12,010,842 | |||
|
STRU JPM 1.91%,
11/4/2051 |
10,000,000 | 10,068,750 | |||
|
Structured Adjustable Rate Mortgage Loan Trust Series 2006-8, Class 4A3, CMO, 3.28%, 9/25/2036
(b) |
289,123 | 289,240 | |||
|
Structured Asset Mortgage Investments II Trust Series 2004-AR3, Class M, CMO, 1 Month USD LIBOR + 0.68%, 0.78%, 7/19/2034
(b) |
1,439,042 | 1,429,524 | |||
|
UBS Commercial Mortgage Trust Series 2017-C1, Class XA, IO, 1.53%, 6/15/2050
(b) |
18,096,460 | 1,184,444 | |||
|
Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2007-HY1 Trust Series 2007-HY1, Class A3A, CMO, 1 Month USD LIBOR + 0.23%, 0.33%, 2/25/2037
(b) |
5,159,769 | 4,343,173 | |||
| Washington Mutual Mortgage PassThrough Certificates WMALT Trust: | |||||
|
Series 2005-8, Class 2CB1, CMO, 5.50%,
10/25/2035 |
907,706 | 907,706 | |||
|
Series 2006-5, Class 3A2, CMO, 6.50%, 7/25/2036
(e) |
2,679,927 | 829,547 |
See accompanying notes to financial statements.
102
SPDR DOUBLELINE TOTAL RETURN
TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2021 (Unaudited)
| Security Description | Principal
Amount |
Value | |||
|
Series 2007-2, Class 1A3, CMO, 6.00%,
4/25/2037 |
$ 4,328,718 | $ 4,131,408 | |||
|
Wells Fargo Mortgage Backed Securities Trust Series 2007-AR4, Class A1, CMO, 2.67%, 8/25/2037
(b) |
1,136,439 | 1,084,171 | |||
|
TOTAL MORTGAGE-BACKED SECURITIES (Cost
$203,905,529) |
194,335,791 | ||||
| COMMERCIAL MORTGAGE BACKED SECURITIES — 5.4% | |||||
|
ACRE Commercial Mortgage, Ltd. Series 2021-FL4, Class B, 1 Month USD LIBOR + 1.40%, 1.50%, 12/18/2037
(a)
(b) |
3,000,000 | 2,989,368 | |||
| BANK: | |||||
|
Series 2017-BNK4, Class XA, IO, 1.38%, 5/15/2050
(b) |
29,239,605 | 1,510,388 | |||
|
Series 2021-BN35, Class XA, IO, VRN, 1.05%, 6/15/2064
(b) |
9,235,219 | 715,901 | |||
|
BBCMS Mortgage Trust Series 2021-C11, Class XA, IO, VRN, 1.39%, 9/15/2054
(b) |
27,211,558 | 2,735,446 | |||
| Benchmark Mortgage Trust: | |||||
|
Series 2018-B2, Class C, VRN, 4.20%, 2/15/2051
(b) |
2,545,000 | 2,712,826 | |||
|
Series 2020-B19, Class XA, IO, VRN, 1.78%, 9/15/2053
(b) |
20,029,962 | 1,993,241 | |||
|
Series 2021-B24, Class XA, IO, VRN, 1.15%, 3/15/2054
(b) |
3,389,460 | 267,897 | |||
| BX Commercial Mortgage Trust: | |||||
|
Series 2021-21M, Class H, 1 Month USD LIBOR + 4.01%, 4.12%, 10/15/2036
(a)
(b) |
2,873,000 | 2,845,418 | |||
|
Series 2021-VOLT, Class E, 1 Month USD LIBOR + 2.00%, 2.11%, 9/15/2036
(a)
(b) |
1,923,000 | 1,906,182 | |||
|
Series 2021-VOLT, Class F, 1 Month USD LIBOR + 2.40%, 2.51%, 9/15/2036
(a)
(b) |
1,923,000 | 1,904,981 | |||
|
Series 2021-XL2, Class E, 1 Month USD LIBOR + 1.84%, 1.96%, 10/15/2038
(a)
(b) |
2,882,000 | 2,855,655 | |||
| BX Trust: | |||||
|
Series 2017-SLCT, Class E, 1 Month USD LIBOR + 3.15%, 3.26%, 7/15/2034
(a)
(b) |
1,314,100 | 1,314,804 | |||
|
Series 2019-OC11, Class E, 4.08%, 12/9/2041
(a)
(b) |
3,830,000 | 3,822,786 | |||
|
CD Mortgage Trust Series 2017-CD4, Class XA, IO, 1.27%, 5/10/2050
(b) |
16,375,601 | 764,201 | |||
| CFCRE Commercial Mortgage Trust: | |||||
|
Series 2016-C3, Class XA, IO, 0.99%, 1/10/2048
(b) |
23,185,662 | 783,553 | |||
|
Series 2016-C4, Class XA, IO, 1.64%, 5/10/2058
(b) |
10,880,639 | 608,143 | |||
|
Series 2017-C8, Class XA, IO, 1.50%, 6/15/2050
(b) |
22,969,229 | 1,442,499 | |||
| Citigroup Commercial Mortgage Trust: | |||||
|
Series 2015-GC27, Class C, VRN, 4.42%, 2/10/2048
(b) |
2,541,000 | 2,648,630 | |||
|
Series 2015-GC27, Class D, 4.42%, 2/10/2048
(a)
(b) |
423,700 | 407,936 | |||
|
Series 2015-GC31, Class C, 4.04%, 6/10/2048
(b) |
1,500,000 | 1,565,964 |
See accompanying notes to financial statements.
103
SPDR DOUBLELINE TOTAL RETURN
TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2021 (Unaudited)
| Security Description | Principal
Amount |
Value | |||
|
Series 2015-GC33, Class C, 4.57%, 9/10/2058
(b) |
$ 1,500,000 | $ 1,543,845 | |||
|
Series 2016-GC36, Class XA, IO, 1.22%, 2/10/2049
(b) |
20,022,679 | 820,525 | |||
|
Series 2020-555, Class E, 3.50%, 12/10/2041
(a)
(b) |
2,047,000 | 1,927,267 | |||
| COMM Mortgage Trust: | |||||
|
Series 2013-CR12, Class XA, IO, 1.11%, 10/10/2046
(b) |
25,817,991 | 412,347 | |||
|
Series 2015-CR22, Class XA, IO, 0.88%, 3/10/2048
(b) |
8,645,412 | 176,259 | |||
|
Series 2015-CR26, Class XA, IO, 0.92%, 10/10/2048
(b) |
19,981,207 | 577,256 | |||
|
Series 2015-DC1, Class C, VRN, 4.31%, 2/10/2048
(b) |
644,000 | 625,320 | |||
|
Series 2015-DC1, Class XA, IO, 1.01%, 2/10/2048
(b) |
7,291,865 | 157,951 | |||
|
Series 2015-LC21, Class C, 4.33%, 7/10/2048
(b) |
968,000 | 1,018,824 | |||
|
Series 2016-CR28, Class C, 4.64%, 2/10/2049
(b) |
2,011,000 | 2,154,289 | |||
|
Series 2016-DC2, Class XA, IO, 0.96%, 2/10/2049
(b) |
15,859,513 | 484,716 | |||
|
Series 2017-PANW, Class D, 3.93%, 10/10/2029
(a)
(b) |
1,388,000 | 1,411,203 | |||
|
Series 2017-PANW, Class E, 3.81%, 10/10/2029
(a)
(b) |
2,316,000 | 2,301,347 | |||
| CSAIL Commercial Mortgage Trust: | |||||
|
Series 2015-C2, Class AS, 3.85%, 6/15/2057
(b) |
900,000 | 940,850 | |||
|
Series 2015-C4, Class XA, IO, 0.81%, 11/15/2048
(b) |
32,365,739 | 853,649 | |||
|
Series 2019-C17, Class XA, IO, VRN, 1.36%, 9/15/2052
(b) |
30,151,092 | 2,373,683 | |||
|
CSMC 2017-TIME Series 2017-TIME, Class A, 3.65%, 11/13/2039
(a) |
2,977,000 | 3,009,285 | |||
|
CSMC 2020-NET Series 2020-NET, Class A, 2.26%, 8/15/2037
(a) |
2,440,000 | 2,459,370 | |||
| CSMC 2021-B33: | |||||
|
Series 2021-B33, Class A1, 3.05%, 10/10/2043
(a) |
632,000 | 643,718 | |||
|
Series 2021-B33, Class A2, 3.17%, 10/10/2043
(a) |
2,250,000 | 2,316,204 | |||
|
CSMC Trust Series 2017-MOON, Class D, 3.20%, 7/10/2034
(a)
(b) |
2,263,000 | 2,266,038 | |||
|
DBUBS Mortgage Trust Series 2017-BRBK, Class E, VRN, 3.53%, 10/10/2034
(a)
(b) |
463,000 | 461,866 | |||
| DOLP Trust: | |||||
|
Series 2021-NYC, Class D, VRN, 3.70%, 5/10/2041
(a)
(b) |
1,000,000 | 994,647 | |||
|
Series 2021-NYC, Class E, VRN, 3.70%, 5/10/2041
(a)
(b) |
1,000,000 | 968,115 | |||
|
Grace Trust Series 2020-GRCE, Class D, VRN, 2.68%, 12/10/2040
(a)
(b) |
1,147,000 | 1,092,386 | |||
|
Great Wolf Trust Series 2019-WOLF, Class F, 1 Month USD LIBOR + 3.13%, 3.24%, 12/15/2036
(a)
(b) |
100,000 | 96,647 | |||
|
GS Mortgage Securities Corp. II Series 2013-GC10, Class XA, IO, 1.47%, 2/10/2046
(b) |
11,504,100 | 123,243 | |||
| GS Mortgage Securities Trust: | |||||
|
Series 2014-GC24, Class XA, IO, 0.71%, 9/10/2047
(b) |
26,213,965 | 419,519 | |||
|
Series 2015-GC32, Class XA, IO, 0.73%, 7/10/2048
(b) |
22,711,752 | 506,407 | |||
|
Series 2015-GC34, Class XA, IO, 1.22%, 10/10/2048
(b) |
15,489,358 | 584,398 |
See accompanying notes to financial statements.
104
SPDR DOUBLELINE TOTAL RETURN
TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2021 (Unaudited)
| Security Description | Principal
Amount |
Value | |||
|
Series 2015-GS1, Class XA, IO, 0.76%, 11/10/2048
(b) |
$ 25,660,979 | $ 668,494 | |||
|
Series 2016-GS3, Class XA, IO, 1.20%, 10/10/2049
(b) |
24,129,364 | 1,135,951 | |||
|
Series 2019-GC38, Class XA, IO, 0.96%, 2/10/2052
(b) |
40,422,108 | 2,319,535 | |||
|
HPLY Trust Series 2019-HIT, Class F, 1 Month USD LIBOR + 3.15%, 3.26%, 11/15/2036
(a)
(b) |
2,766,018 | 2,678,838 | |||
|
JP Morgan Chase Commercial Mortgage Securities Corp. Series 2017-FL10, Class D, 1 Month USD LIBOR + 1.90%, 2.01%, 6/15/2032
(a)
(b) |
126,758 | 126,636 | |||
| JP Morgan Chase Commercial Mortgage Securities Trust: | |||||
|
Series 2012-C8, Class B, 3.98%, 10/15/2045
(a)
(b) |
1,775,000 | 1,793,029 | |||
|
Series 2014-C20, Class B, 4.40%, 7/15/2047
(b) |
3,000,000 | 3,159,053 | |||
|
Series 2015-JP1, Class XA, IO, 0.89%, 1/15/2049
(b) |
15,688,707 | 484,262 | |||
|
Series 2016-JP3, Class B, VRN, 3.40%, 8/15/2049
(b) |
2,899,000 | 2,942,931 | |||
| JPMBB Commercial Mortgage Securities Trust: | |||||
|
Series 2014-C21, Class B, VRN, 4.34%, 8/15/2047
(b) |
1,055,000 | 1,109,466 | |||
|
Series 2014-C25, Class XA, IO, 0.83%, 11/15/2047
(b) |
4,900,983 | 98,255 | |||
|
Series 2014-C26, Class C, 4.38%, 1/15/2048
(b) |
1,500,000 | 1,551,646 | |||
|
Series 2015-C28, Class XA, IO, 0.96%, 10/15/2048
(b) |
8,757,841 | 204,750 | |||
|
Series 2015-C30, Class XA, IO, 0.50%, 7/15/2048
(b) |
25,194,410 | 385,417 | |||
|
Series 2015-C32, Class C, 4.65%, 11/15/2048
(b) |
1,132,000 | 919,416 | |||
|
Series 2015-C33, Class C, 4.61%, 12/15/2048
(b) |
1,739,000 | 1,812,064 | |||
|
JPMDB Commercial Mortgage Securities Trust Series 2016-C2, Class XA, IO, 1.55%, 6/15/2049
(b) |
17,580,340 | 842,599 | |||
|
LSTAR Commercial Mortgage Trust Series 2017-5, Class X, IO, 0.86%, 3/10/2050
(a)
(b) |
39,122,212 | 1,006,920 | |||
| Manhattan West 2020-1MW Mortgage Trust: | |||||
|
Series 2020-1MW, Class C, VRN, 2.34%, 9/10/2039
(a)
(b) |
2,462,000 | 2,425,986 | |||
|
Series 2020-1MW, Class D, VRN, 2.34%, 9/10/2039
(a)
(b) |
2,462,000 | 2,368,662 | |||
|
Med Trust Series 2021-MDLN, Class G, 1 Month USD LIBOR + 5.25%, 5.36%, 11/15/2038
(a)
(b) |
2,864,000 | 2,842,922 | |||
| Morgan Stanley Bank of America Merrill Lynch Trust: | |||||
|
Series 2013-C12, Class XA, IO, 0.58%, 10/15/2046
(b) |
12,187,428 | 91,370 | |||
|
Series 2013-C7, Class XA, IO, 1.28%, 2/15/2046
(b) |
12,158,254 | 90,379 | |||
|
Series 2015-C20, Class C, 4.45%, 2/15/2048
(b) |
500,000 | 517,499 | |||
|
Series 2015-C27, Class C, 4.50%, 12/15/2047
(b) |
1,219,000 | 1,240,932 | |||
|
Series 2015-C27, Class D, 3.24%, 12/15/2047
(a)
(b) |
1,750,000 | 1,603,396 | |||
|
Series 2016-C28, Class XA, IO, 1.19%, 1/15/2049
(b) |
18,778,454 | 723,535 | |||
|
Series 2016-C30, Class XA, IO, 1.37%, 9/15/2049
(b) |
17,771,149 | 890,260 | |||
|
Series 2016-C31, Class C, 4.27%, 11/15/2049
(b) |
3,358,000 | 3,382,882 | |||
| Morgan Stanley Capital I Trust: | |||||
|
Series 2015-UBS8, Class XA, IO, 0.87%, 12/15/2048
(b) |
24,024,005 | 683,625 | |||
|
Series 2019-H7, Class C, 4.13%,
7/15/2052 |
2,930,000 | 3,094,223 |
See accompanying notes to financial statements.
105
SPDR DOUBLELINE TOTAL RETURN
TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2021 (Unaudited)
| Security Description | Principal
Amount |
Value | |||
|
Series 2019-L3, Class XA, IO, 0.64%, 11/15/2052
(b) |
$ 55,877,312 | $ 2,408,671 | |||
|
Series 2020-HR8, Class XA, IO, VRN, 1.84%, 7/15/2053
(b) |
21,426,925 | 2,749,193 | |||
|
Series 2020-L4, Class XA, IO, VRN, 1.08%, 2/15/2053
(b) |
33,083,260 | 2,403,885 | |||
|
One New York Plaza Trust Series 2020-1NYP, Class C, 1 Month USD LIBOR + 2.20%, 2.31%, 1/15/2036
(a)
(b) |
1,599,000 | 1,610,465 | |||
|
SG Commercial Mortgage Securities Trust Series 2016-C5, Class B, 3.93%,
10/10/2048 |
450,000 | 458,690 | |||
| SLG Office Trust 2021-OVA: | |||||
|
Series 2021-OVA, Class E, 2.85%, 7/15/2041
(a) |
1,989,000 | 1,888,879 | |||
|
Series 2021-OVA, Class F, 2.85%, 7/15/2041
(a) |
1,989,000 | 1,790,117 | |||
|
SREIT Trust Series 2021-MFP, Class D, 1 Month USD LIBOR + 1.58%, 1.68%, 11/15/2038
(a)
(b) |
2,864,000 | 2,861,261 | |||
|
UBS Commercial Mortgage Trust Series 2017-C4, Class XA, IO, 1.02%, 10/15/2050
(b) |
23,021,983 | 1,070,231 | |||
|
Velocity Commercial Capital Loan Trust Series 2020-1, Class M3, VRN, 3.19%, 2/25/2050
(a)
(b) |
3,034,778 | 2,998,633 | |||
|
Waterfall Commercial Mortgage Trust Series 2015-SBC5, Class A, 4.10%, 9/14/2022
(a)
(b) |
2,143,082 | 2,170,241 | |||
| Wells Fargo Commercial Mortgage Trust: | |||||
|
Series 2015-C26, Class XA, IO, 1.20%, 2/15/2048
(b) |
7,357,454 | 226,492 | |||
|
Series 2015-C28, Class C, 4.09%, 5/15/2048
(b) |
1,500,000 | 1,551,686 | |||
|
Series 2015-LC20, Class XA, IO, 1.30%, 4/15/2050
(b) |
6,656,424 | 196,890 | |||
|
Series 2015-NXS1, Class XA, IO, 1.09%, 5/15/2048
(b) |
7,241,657 | 197,999 | |||
|
Series 2015-NXS2, Class XA, IO, 0.65%, 7/15/2058
(b) |
22,661,180 | 444,812 | |||
|
Series 2015-P2, Class XA, IO, 0.96%, 12/15/2048
(b) |
16,506,614 | 540,981 | |||
|
Series 2016-BNK1, Class XB, IO, VRN, 1.33%, 8/15/2049
(b) |
19,849,000 | 1,123,872 | |||
|
Series 2016-C33, Class XA, IO, 1.61%, 3/15/2059
(b) |
11,443,628 | 646,130 | |||
|
Series 2016-C35, Class B, 3.44%,
7/15/2048 |
3,000,000 | 3,088,859 | |||
|
Series 2016-LC24, Class C, VRN, 4.43%, 10/15/2049
(b) |
1,900,000 | 1,983,140 | |||
|
Series 2017-C38, Class XA, IO, 1.02%, 7/15/2050
(b) |
36,947,332 | 1,571,991 | |||
|
Series 2017-RC1, Class XA, IO, 1.46%, 1/15/2060
(b) |
20,588,204 | 1,189,735 | |||
|
Series 2019-C50, Class XA, IO, 1.41%, 5/15/2052
(b) |
29,524,959 | 2,230,488 | |||
|
Series 2020-C57, Class XA, IO, VRN, 2.09%, 8/15/2053
(b) |
16,164,835 | 2,267,597 | |||
|
Series 2020-C58, Class XA, IO, VRN, 1.88%, 7/15/2053
(b) |
20,079,950 | 2,591,455 | |||
| WFRBS Commercial Mortgage Trust: | |||||
|
Series 2014-C19, Class XA, IO, 1.01%, 3/15/2047
(b) |
8,354,281 | 126,916 | |||
|
Series 2014-C21, Class XA, IO, 1.02%, 8/15/2047
(b) |
13,987,418 | 289,399 | |||
|
TOTAL COMMERCIAL MORTGAGE BACKED SECURITIES (Cost
$193,333,062) |
155,390,634 |
See
accompanying notes to financial statements.
106
SPDR DOUBLELINE TOTAL RETURN
TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2021 (Unaudited)
| Security Description | Shares | Value | |||
| SHORT-TERM INVESTMENT — 2.2% | |||||
|
State Street Institutional U.S. Government Money Market Fund, Class G Shares 0.03% (j) (k) (Cost
$64,167,817) |
64,167,818 | $ 64,167,818 | |||
|
TOTAL INVESTMENTS — 99.9% (Cost
$2,933,557,028) |
2,888,886,512 | ||||
|
OTHER ASSETS IN EXCESS OF LIABILITIES — 0.1%
|
1,714,862 | ||||
|
NET ASSETS — 100.0%
|
$ 2,890,601,374 |
| (a) | Securities purchased pursuant to Rule 144A of the Securities Act of 1933, as amended. These securities, which represent 16.5% of net assets as of December 31, 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 December 31, 2021. For securities based on a published reference rate and spread, the reference rate and spread are indicated in the description above. |
| (c) | Amount is less than 0.05% of net assets. |
| (d) | Security is currently in default and/or issuer is in bankruptcy. |
| (e) | Step-up bond - Coupon rate increases in increments to maturity. Rate shown as of December 31, 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 December 31, 2021, total aggregate fair value of the security is $12,754, 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 December 31, 2021 and does not take effect until settlement date. Maturity date is not finalized until settlement date. |
| (i) | Unfunded loan commitments are valued at unrealized appreciation (depreciation). |
| (j) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2021 are shown in the Affiliate Table below. |
| (k) | The rate shown is the annualized seven-day yield at December 31, 2021. |
See accompanying notes to financial statements.
107
SPDR DOUBLELINE TOTAL RETURN
TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2021 (Unaudited)
| 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 |
| MTN | Medium Term Note |
| 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 |
| USD | United States Dollar |
At December 31, 2021,
the Fund had unfunded loan commitments of $191,618, which could be extended at the option of the borrowers, pursuant to the following loan agreements:
| Borrower | Unfunded
Loan Commitment ($) |
Value ($) | Unrealized
Appreciation/(Depreciation) ($) | |||
| TGP Holdings III, LLC | 11,160 | 11,128 | (32) | |||
| Hillman Group Inc. | 26,397 | 26,341 | (56) | |||
| Intelsat Jackson Holdings S.A. | 42,440 | 42,506 | 66 | |||
| VT Topco, Inc. | 45,425 | 45,435 | 10 | |||
| Zelis Healthcare Corporation | 46,667 | 46,477 | (190) | |||
| Trident TPI Holdings, Inc. | 5,191 | 5,195 | 4 | |||
| DexKo Global Inc. | 14,338 | 14,310 | (28) | |||
| $191,618 | $191,392 | $(226) |
See accompanying notes to financial statements.
108
SPDR DOUBLELINE TOTAL RETURN
TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2021 (Unaudited)
The
following table summarizes the value of the Fund's investments according to the fair value hierarchy as of December 31, 2021.
| Description | Level
1 – Quoted Prices |
Level
2 – Other Significant Observable Inputs |
Level
3 – Significant Unobservable Inputs |
Total | ||||
| ASSETS: | ||||||||
| INVESTMENTS: | ||||||||
|
Corporate Bonds &
Notes |
$ — | $ 431,812,852 | $ — | $ 431,812,852 | ||||
|
Asset-Backed
Securities |
— | 181,051,256 | — | 181,051,256 | ||||
|
Foreign Government
Obligations |
— | 59,772,472 | — | 59,772,472 | ||||
|
U.S. Government Agency
Obligations |
— | 1,030,719,531 | — | 1,030,719,531 | ||||
|
U.S. Treasury
Obligations |
— | 680,730,235 | — | 680,730,235 | ||||
|
Mortgage-Backed
Securities |
— | 194,335,791 | — | 194,335,791 | ||||
|
Commercial Mortgage Backed
Securities |
— | 155,390,634 | — | 155,390,634 | ||||
|
Common
Stocks |
— | — | 12,754 | 12,754 | ||||
|
Senior Floating Rate
Loans |
— | 90,893,169 | — | 90,893,169 | ||||
|
Short-Term
Investment |
64,167,818 | — | — | 64,167,818 | ||||
|
TOTAL
INVESTMENTS |
$64,167,818 | $2,824,705,940 | $12,754 | $2,888,886,512 | ||||
| LIABILITIES: | ||||||||
| OTHER FINANCIAL INSTRUMENTS: | ||||||||
|
Unfunded
Loans(a) |
— | (226) | — | (226) | ||||
|
TOTAL OTHER FINANCIAL
INSTRUMENTS: |
$ — | $ (226) | $ — | $ (226) |
| (a) | Includes appreciation on unfunded loan commitments. |
Affiliate Table
| Number
of Shares Held at 6/30/21 |
Value
at 6/30/21 |
Cost
of Purchases |
Proceeds
from Shares Sold |
Realized
Gain (Loss) |
Change
in Unrealized Appreciation/ Depreciation |
Number
of Shares Held at 12/31/21 |
Value
at 12/31/21 |
Dividend
Income | |||||||||
|
State Street Institutional U.S. Government Money Market Fund, Class G
Shares |
63,404,943 | $63,404,943 | $486,558,633 | $485,795,758 | $— | $— | 64,167,818 | $64,167,818 | $7,332 | ||||||||
See accompanying notes to financial statements.
109
SSGA ACTIVE TRUST
STATEMENTS OF ASSETS AND LIABILITIES
December 31, 2021 (Unaudited)
| SPDR DoubleLine Emerging Markets Fixed Income ETF | SPDR DoubleLine Short Duration Total Return Tactical ETF | ||
| ASSETS | |||
|
Investments in unaffiliated issuers, at
value |
$96,794,415 | $153,897,621 | |
|
Investments in affiliated issuers, at
value |
968,249 | 5,925,569 | |
|
Total
Investments |
97,762,664 | 159,823,190 | |
|
Cash |
— | 13,421 | |
|
Receivable for investments
sold |
— | 1,685,082 | |
|
Dividends receivable — affiliated
issuers |
59 | 111 | |
|
Interest receivable — unaffiliated
issuers |
967,853 | 537,429 | |
|
TOTAL ASSETS
|
98,730,576 | 162,059,233 | |
| LIABILITIES | |||
|
Payable for investments
purchased |
— | 208,763 | |
|
Advisory fee
payable |
54,761 | 61,948 | |
|
Trustees’ fees and expenses
payable |
78 | 157 | |
|
TOTAL LIABILITIES
|
54,839 | 270,868 | |
|
NET ASSETS
|
$98,675,737 | $161,788,365 | |
| NET ASSETS CONSIST OF: | |||
|
Paid-in
Capital |
$99,889,712 | $163,593,509 | |
|
Total distributable earnings
(loss) |
(1,213,975) | (1,805,144) | |
|
NET ASSETS
|
$98,675,737 | $161,788,365 | |
| NET ASSET VALUE PER SHARE | |||
|
Net asset value per
share |
$ 48.73 | $ 49.03 | |
|
Shares outstanding (unlimited amount authorized, no par
value) |
2,025,000 | 3,300,000 | |
| COST OF INVESTMENTS: | |||
|
Investments in unaffiliated
issuers |
$97,906,722 | $155,426,091 | |
|
Investments in affiliated
issuers |
968,249 | 5,925,569 | |
|
Total cost of
investments |
$98,874,971 | $161,351,660 |
See accompanying notes to financial statements.
110
SSGA ACTIVE TRUST
STATEMENTS OF ASSETS AND LIABILITIES (continued)
December 31, 2021 (Unaudited)
| SPDR DoubleLine Total Return Tactical ETF | |
| ASSETS | |
|
Investments in unaffiliated issuers, at
value |
$2,824,718,694 |
|
Investments in affiliated issuers, at
value |
64,167,818 |
|
Total
Investments |
2,888,886,512 |
|
Receivable for investments
sold |
3,836,219 |
|
Dividends receivable — affiliated
issuers |
1,110 |
|
Interest receivable — unaffiliated
issuers |
13,322,892 |
|
TOTAL ASSETS
|
2,906,046,733 |
| LIABILITIES | |
|
Due to
custodian |
606,301 |
|
Payable for investments
purchased |
13,449,703 |
|
Unrealized depreciation on unfunded loan
commitments |
226 |
|
Advisory fee
payable |
1,376,996 |
|
Trustees’ fees and expenses
payable |
5,890 |
|
Accrued expenses and other
liabilities |
6,243 |
|
TOTAL LIABILITIES
|
15,445,359 |
|
NET ASSETS
|
$2,890,601,374 |
| NET ASSETS CONSIST OF: | |
|
Paid-in
Capital |
$3,037,930,470 |
|
Total distributable earnings
(loss) |
(147,329,096) |
|
NET ASSETS
|
$2,890,601,374 |
| NET ASSET VALUE PER SHARE | |
|
Net asset value per
share |
$ 47.50 |
|
Shares outstanding (unlimited amount authorized, no par
value) |
60,850,000 |
| COST OF INVESTMENTS: | |
|
Investments in unaffiliated
issuers |
$2,869,389,210 |
|
Investments in affiliated
issuers |
64,167,818 |
|
Total cost of
investments |
$2,933,557,028 |
See accompanying notes to financial statements.
111
SSGA ACTIVE TRUST
STATEMENTS OF OPERATIONS
For the Six Months Ended December 31, 2021 (Unaudited)
| SPDR DoubleLine Emerging Markets Fixed Income ETF | SPDR DoubleLine Short Duration Total Return Tactical ETF | ||
| INVESTMENT INCOME | |||
|
Interest income — unaffiliated
issuers |
$ 1,841,090 | $ 1,547,507 | |
|
Dividend income — affiliated
issuers |
167 | 1,556 | |
|
Other
income |
— | 16,166 | |
|
Foreign taxes
withheld |
— | (342) | |
|
TOTAL INVESTMENT INCOME
(LOSS) |
1,841,257 | 1,564,887 | |
| EXPENSES | |||
|
Advisory
fee |
340,275 | 413,590 | |
|
Trustees’ fees and
expenses |
569 | 893 | |
|
TOTAL
EXPENSES |
340,844 | 414,483 | |
|
NET INVESTMENT INCOME
(LOSS) |
$ 1,500,413 | $ 1,150,404 | |
| REALIZED AND UNREALIZED GAIN (LOSS) | |||
| Net realized gain (loss) on: | |||
|
Investments — unaffiliated
issuers |
1,412,092 | 81,314 | |
| Net change in unrealized appreciation/depreciation on: | |||
|
Investments — unaffiliated
issuers |
(3,301,245) | (1,879,204) | |
|
NET REALIZED AND UNREALIZED GAIN
(LOSS) |
(1,889,153) | (1,797,890) | |
|
NET INCREASE (DECREASE) IN NET ASSETS FROM
OPERATIONS |
$ (388,740) | $ (647,486) |
See accompanying notes to financial statements.
112
SSGA ACTIVE TRUST
STATEMENTS OF OPERATIONS (continued)
For the Six Months Ended December 31, 2021 (Unaudited)
| SPDR DoubleLine Total Return Tactical ETF | |
| INVESTMENT INCOME | |
|
Interest income — unaffiliated
issuers |
$ 48,792,392 |
|
Dividend income — affiliated
issuers |
7,332 |
|
Foreign taxes
withheld |
(734) |
|
TOTAL INVESTMENT INCOME
(LOSS) |
48,798,990 |
| EXPENSES | |
|
Advisory
fee |
8,490,837 |
|
Trustees’ fees and
expenses |
19,056 |
|
Miscellaneous
expenses |
38 |
|
TOTAL
EXPENSES |
8,509,931 |
|
NET INVESTMENT INCOME
(LOSS) |
$ 40,289,059 |
| REALIZED AND UNREALIZED GAIN (LOSS) | |
| Net realized gain (loss) on: | |
|
Investments — unaffiliated
issuers |
12,688,956 |
| Net change in unrealized appreciation/depreciation on: | |
|
Investments — unaffiliated
issuers |
(54,349,555) |
|
Unfunded loan
commitments |
(134) |
|
Net change in unrealized
appreciation/depreciation |
(54,349,689) |
|
NET REALIZED AND UNREALIZED GAIN
(LOSS) |
(41,660,733) |
|
NET INCREASE (DECREASE) IN NET ASSETS FROM
OPERATIONS |
$ (1,371,674) |
See accompanying notes to financial statements.
113
SSGA ACTIVE TRUST
STATEMENTS OF CHANGES IN NET ASSETS
| SPDR
DoubleLine Emerging Markets Fixed Income ETF | |||
| Six
Months Ended 12/31/21 (Unaudited) |
Year
Ended 6/30/21 | ||
| INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
|
Net investment income
(loss) |
$ 1,500,413 | $ 2,779,144 | |
|
Net realized gain
(loss) |
1,412,092 | 3,516,700 | |
|
Net change in unrealized
appreciation/depreciation |
(3,301,245) | 158,117 | |
|
Net increase (decrease) in net assets resulting from
operations |
(388,740) | 6,453,961 | |
|
Net equalization credits and
charges |
(16,725) | 62,106 | |
|
Distributions to
shareholders |
(4,225,332) | (2,854,562) | |
| FROM BENEFICIAL INTEREST TRANSACTIONS: | |||
|
Proceeds from shares
sold |
3,750,085 | 40,389,997 | |
|
Cost of shares
redeemed |
(24,138,763) | (15,014,743) | |
|
Net income
equalization |
16,725 | (62,106) | |
|
Other
Capital |
35,389 | 174,347 | |
|
Net increase (decrease) in net assets from beneficial interest
transactions |
(20,336,564) | 25,487,495 | |
|
Net increase (decrease) in net assets during the
period |
(24,967,361) | 29,149,000 | |
|
Net assets at beginning of
period |
123,643,098 | 94,494,098 | |
|
NET ASSETS AT END OF
PERIOD |
$ 98,675,737 | $123,643,098 | |
| SHARES OF BENEFICIAL INTEREST: | |||
|
Shares
sold |
75,000 | 800,000 | |
|
Shares
redeemed |
(475,000) | (300,000) | |
|
Net increase (decrease) from share
transactions |
(400,000) | 500,000 | |
See accompanying notes to financial statements.
114
SSGA ACTIVE TRUST
STATEMENTS OF CHANGES IN NET ASSETS (continued)
| SPDR
DoubleLine Short Duration Total Return Tactical ETF | |||
| Six
Months Ended 12/31/21 (Unaudited) |
Year
Ended 6/30/21 | ||
| INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
|
Net investment income
(loss) |
$ 1,150,404 | $ 1,981,074 | |
|
Net realized gain
(loss) |
81,314 | 752,709 | |
|
Net change in unrealized
appreciation/depreciation |
(1,879,204) | (316,578) | |
|
Net increase (decrease) in net assets resulting from
operations |
(647,486) | 2,417,205 | |
|
Net equalization credits and
charges |
(17,589) | 14,932 | |
|
Distributions to
shareholders |
(1,951,350) | (2,110,916) | |
| FROM BENEFICIAL INTEREST TRANSACTIONS: | |||
|
Proceeds from shares
sold |
80,702,978 | 17,383,837 | |
|
Cost of shares
redeemed |
(76,752,258) | — | |
|
Net income
equalization |
17,589 | (14,932) | |
|
Other
Capital |
197,807 | 29,809 | |
|
Net increase (decrease) in net assets from beneficial interest
transactions |
4,166,116 | 17,398,714 | |
|
Net increase (decrease) in net assets during the
period |
1,549,691 | 17,719,935 | |
|
Net assets at beginning of
period |
160,238,674 | 142,518,739 | |
|
NET ASSETS AT END OF
PERIOD |
$161,788,365 | $160,238,674 | |
| SHARES OF BENEFICIAL INTEREST: | |||
|
Shares
sold |
1,625,000 | 350,000 | |
|
Shares
redeemed |
(1,550,000) | — | |
|
Net increase (decrease) from share
transactions |
75,000 | 350,000 | |
See accompanying notes to financial statements.
115
SSGA ACTIVE TRUST
STATEMENTS OF CHANGES IN NET ASSETS (continued)
| SPDR DoubleLine Total Return Tactical ETF | |||
| Six
Months Ended 12/31/21 (Unaudited) |
Year
Ended 6/30/21 | ||
| INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
|
Net investment income
(loss) |
$ 40,289,059 | $ 71,444,729 | |
|
Net realized gain
(loss) |
12,688,956 | 10,798,424 | |
|
Net change in unrealized
appreciation/depreciation |
(54,349,689) | (57,172,329) | |
|
Net increase (decrease) in net assets resulting from
operations |
(1,371,674) | 25,070,824 | |
|
Net equalization credits and
charges |
(3,201) | 18,500 | |
|
Distributions to
shareholders |
(59,290,634) | (87,675,778) | |
| FROM BENEFICIAL INTEREST TRANSACTIONS: | |||
|
Proceeds from shares
sold |
12,031,920 | 105,856,538 | |
|
Cost of shares
redeemed |
(249,713,026) | (46,179,065) | |
|
Net income
equalization |
3,201 | (18,500) | |
|
Other
Capital |
273,777 | 317,321 | |
|
Net increase (decrease) in net assets from beneficial interest
transactions |
(237,404,128) | 59,976,294 | |
|
Contribution from Affiliate (Note
4) |
— | 39,028 | |
|
Net increase (decrease) in net assets during the
period |
(298,069,637) | (2,571,132) | |
|
Net assets at beginning of
period |
3,188,671,011 | 3,191,242,143 | |
|
NET ASSETS AT END OF
PERIOD |
$2,890,601,374 | $ 3,188,671,011 | |
| SHARES OF BENEFICIAL INTEREST: | |||
|
Shares
sold |
250,000 | 2,150,000 | |
|
Shares
redeemed |
(5,200,000) | (950,000) | |
|
Net increase (decrease) from share
transactions |
(4,950,000) | 1,200,000 | |
See accompanying notes to financial statements.
116
SSGA ACTIVE TRUST
FINANCIAL HIGHLIGHTS
Selected data for a share outstanding throughout each period
| SPDR DoubleLine Emerging Markets Fixed Income ETF | |||||||||||
| Six
Months Ended 12/31/21 (Unaudited) |
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 |
$ 50.99 | $ 49.09 | $ 51.02 | $ 48.25 | $ 50.45 | $ 51.52 | |||||
| Income (loss) from investment operations: | |||||||||||
|
Net investment income (loss)
(a) |
0.73 | 1.48 | 1.87 | 1.98 | 1.31 | 1.77 | |||||
|
Net realized and unrealized gain
(loss) |
(0.94) | 1.83 | (2.06) | 2.60 | (1.74) | 1.91 | |||||
|
Total from investment
operations |
(0.21) | 3.31 | (0.19) | 4.58 | (0.43) | 3.68 | |||||
|
Net equalization credits and charges
(a) |
(0.01) | 0.03 | 0.04 | 0.03 | 0.04 | 0.01 | |||||
|
Other capital
(a) |
0.02 | 0.09 | 0.13 | 0.08 | 0.10 | 0.05 | |||||
| Distributions to shareholders from: | |||||||||||
|
Net investment
income |
(0.84) | (1.53) | (1.91) | (1.92) | (1.36) | (1.81) | |||||
|
Net realized
gains |
(1.22) | — | — | — | (0.55) | (3.00) | |||||
|
Total
distributions |
(2.06) | (1.53) | (1.91) | (1.92) | (1.91) | (4.81) | |||||
|
Net asset value, end of
period |
$ 48.73 | $ 50.99 | $ 49.09 | $ 51.02 | $ 48.25 | $ 50.45 | |||||
|
Total return
(b) |
(0.41)% | 7.09% | (0.04)% | 9.99% | (0.65)% | 7.67% | |||||
| Ratios and Supplemental Data: | |||||||||||
|
Net assets, end of period (in
000s) |
$98,676 | $123,643 | $94,494 | $65,050 | $48,253 | $27,748 | |||||
| Ratios to average net assets: | |||||||||||
|
Total
expenses |
0.65%(c) | 0.72% | 0.75% | 0.75% | 0.76% | 0.75% | |||||
|
Net
expenses |
0.65%(c) | 0.65% | 0.65% | 0.65% | 0.65% | 0.65% | |||||
|
Net investment income
(loss) |
2.87%(c) | 2.95% | 3.77% | 4.06% | 2.64% | 3.46% | |||||
|
Portfolio turnover rate
(d) |
21%(e) | 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 period. |
| (b) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates of each distribution. Total returns for periods of less than one year are not annualized. Broker commission charges are not included in this calculation. |
| (c) | Annualized. |
| (d) | Portfolio turnover rate excludes securities received or delivered from in-kind processing of creations or redemptions. |
| (e) | Not annualized. |
See accompanying notes to financial statements.
117
SSGA ACTIVE TRUST
FINANCIAL
HIGHLIGHTS (continued)
Selected data for a share outstanding throughout each period
| SPDR DoubleLine Short Duration Total Return Tactical ETF | |||||||||||
| Six
Months Ended 12/31/21 (Unaudited) |
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 |
$ 49.69 | $ 49.57 | $ 49.53 | $ 48.81 | $ 49.61 | $ 50.40 | |||||
| Income (loss) from investment operations: | |||||||||||
|
Net investment income (loss)
(a) |
0.31 | 0.68 | 1.08 | 1.30 | 1.02 | 1.04 | |||||
|
Net realized and unrealized gain (loss)
(b) |
(0.46) | 0.14 | 0.07 | 0.62 | (0.99) | (0.53) | |||||
|
Total from investment
operations |
(0.15) | 0.82 | 1.15 | 1.92 | 0.03 | 0.51 | |||||
|
Net equalization credits and charges
(a) |
(0.00)(c) | 0.01 | 0.00(c) | 0.03 | 0.05 | 0.00(c) | |||||
|
Other capital
(a) |
0.05 | 0.01 | 0.03 | 0.06 | 0.12 | 0.06 | |||||
| Distributions to shareholders from: | |||||||||||
|
Net investment
income |
(0.40) | (0.72) | (1.14) | (1.29) | (1.00) | (1.13) | |||||
|
Net realized
gains |
(0.16) | — | — | — | — | (0.23) | |||||
|
Total
distributions |
(0.56) | (0.72) | (1.14) | (1.29) | (1.00) | (1.36) | |||||
|
Net asset value, end of
period |
$ 49.03 | $ 49.69 | $ 49.57 | $ 49.53 | $ 48.81 | $ 49.61 | |||||
|
Total return
(d) |
(0.20)% | 1.70% | 2.43% | 4.18% | 0.43% | 1.14% | |||||
| Ratios and Supplemental Data: | |||||||||||
|
Net assets, end of period (in
000s) |
$161,788 | $160,239 | $142,519 | $121,344 | $82,984 | $34,725 | |||||
| Ratios to average net assets: | |||||||||||
|
Total
expenses |
0.45%(e) | 0.49% | 0.50% | 0.50% | 0.50% | 0.50% | |||||
|
Net
expenses |
0.45%(e) | 0.45% | 0.45% | 0.45% | 0.45% | 0.45% | |||||
|
Net investment income
(loss) |
1.25%(e) | 1.36% | 2.18% | 2.65% | 2.07% | 2.10% | |||||
|
Portfolio turnover rate
(f) |
64%(g) | 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 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) | 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.
118
SSGA ACTIVE TRUST
FINANCIAL
HIGHLIGHTS (continued)
Selected data for a share outstanding throughout each period
| SPDR DoubleLine Total Return Tactical ETF | |||||||||||
| Six
Months Ended 12/31/21 (Unaudited) |
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 |
$ 48.46 | $ 49.40 | $ 48.96 | $ 47.60 | $ 49.03 | $ 49.87 | |||||
| Income (loss) from investment operations: | |||||||||||
|
Net investment income (loss)
(b) |
0.63 | 1.09 | 1.37 | 1.56 | 1.34 | 1.33 | |||||
|
Net realized and unrealized gain (loss)
(c) |
(0.66) | (0.70) | 0.59 | 1.44 | (1.34) | (0.66) | |||||
|
Total from investment
operations |
(0.03) | 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) | 0.00(d) | 0.01 | |||||
|
Contribution from
Affiliate |
— | 0.00(d) | — | — | — | — | |||||
|
Other capital
(b) |
0.00(d) | 0.00 | 0.03 | 0.04 | 0.02 | 0.04 | |||||
| Distributions to shareholders from: | |||||||||||
|
Net investment
income |
(0.93) | (1.33) | (1.55) | (1.68) | (1.45) | (1.48) | |||||
|
Net realized
gains |
— | — | — | — | — | (0.08) | |||||
|
Total
distributions |
(0.93) | (1.33) | (1.55) | (1.68) | (1.45) | (1.56) | |||||
|
Net asset value, end of
period |
$ 47.50 | $ 48.46 | $ 49.40 | $ 48.96 | $ 47.60 | $ 49.03 | |||||
|
Total return
(e) |
(0.05)% | 0.81%(f) | 4.13% | 6.53% | 0.04% | 1.55% | |||||
| Ratios and Supplemental Data: | |||||||||||
|
Net assets, end of period (in
000s) |
$2,890,601 | $3,188,671 | $3,191,242 | $3,336,881 | $3,182,239 | $3,353,801 | |||||
| Ratios to average net assets: | |||||||||||
|
Total
expenses |
0.55%(g) | 0.62% | 0.65% | 0.65% | 0.65% | 0.66% | |||||
|
Net
expenses |
0.55%(g) | 0.55% | 0.55% | 0.55% | 0.55% | 0.55% | |||||
|
Net investment income
(loss) |
2.61%(g) | 2.22% | 2.80% | 3.27% | 2.78% | 2.70% | |||||
|
Portfolio turnover
rate |
63%(h)(i) | 82%(i) | 25%(i) | 47%(i) | 34%(j) | 72%(j) | |||||
| (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 period. |
| (c) | Amounts shown in this caption for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period because of the timing of sales and repurchases of Fund shares in relation to fluctuating market values for the Fund. |
| (d) | Amount is less than $0.005 per share. |
| (e) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates of each distribution. Total returns for periods of less than one year are not annualized. Broker commission charges are not included in this calculation. |
| (f) | 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) | Annualized. |
| (h) | Not annualized. |
| (i) | Portfolio turnover rate excludes securities received or delivered from in-kind processing of creations or redemptions. |
| (j) | Portfolio turnover is from the Fund's Portfolio prior to discontinuance of master-feeder structure. |
See accompanying notes to financial statements.
119
SSGA ACTIVE TRUST
NOTES TO FINANCIAL STATEMENTS
December 31, 2021 (Unaudited)
1. Organization
SSGA Active Trust (the “Trust”), a Massachusetts
business trust, registered under the Investment Company Act of 1940, as amended (“1940 Act”), is an open-end management investment company.
As of December 31, 2021, the Trust consists of twelve (12)
series, each of which represents a separate series of beneficial interest in the Trust. The Declaration of Trust permits the Board of Trustees of the Trust (the “Board”) to authorize the issuance of an unlimited number of shares of
beneficial interest at no par value. The financial statements herein relate to the following series (each a “Fund”, and collectively, the “Funds”):
| SPDR DoubleLine Emerging Markets Fixed Income ETF |
| SPDR DoubleLine Short Duration Total Return Tactical ETF |
| SPDR DoubleLine Total Return Tactical ETF |
Each Fund is classified as a diversified investment company
under the 1940 Act, with the exception of SPDR DoubleLine Total Return Tactical ETF, which is a non-diversified investment company.
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
120
SSGA ACTIVE TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
December 31, 2021 (Unaudited)
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 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
121
SSGA ACTIVE TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
December 31, 2021 (Unaudited)
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.
The value of each Fund’s investments, according to the
fair value hierarchy as of December 31, 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
122
SSGA ACTIVE TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
December 31, 2021 (Unaudited)
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.
Foreign Taxes
The Funds may be subject to foreign taxes (a portion of which
may be reclaimable) on income, stock dividends, realized and unrealized capital gains on investments or certain foreign currency transactions. Foreign taxes are recorded in accordance with SSGA FM's understanding of the applicable foreign tax
regulations and rates that exist in the foreign jurisdictions in which the Funds invest. These foreign taxes, if any, are paid by the Funds and are reflected in the Statements of Operations, if applicable. Foreign taxes payable or deferred as of
December 31, 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.
123
SSGA ACTIVE TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
December 31, 2021 (Unaudited)
Distributions
Distributions from net investment income, if any, are declared
and paid monthly. Net realized capital gains, if any, are distributed annually. Dividends may be declared and paid more frequently or at any other times to comply with the distribution requirements of the Internal Revenue Code of 1986, as amended
(the “Internal Revenue Code”). The amount and character of income and capital gains to be distributed are determined in accordance with applicable tax regulations which may differ from net investment income and realized gains recognized
for U.S. GAAP purposes.
3. Securities and Other Investments
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.
124
SSGA ACTIVE TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
December 31, 2021 (Unaudited)
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 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% |
|
SPDR DoubleLine Short Duration Total Return Tactical
ETF |
0.45 |
|
SPDR DoubleLine Total Return Tactical
ETF |
0.55 |
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, 2022. 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, 2022 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 the Trust’s Trustees, who are not “interested persons” of the Trust, as defined in the 1940 Act (“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.
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.
125
SSGA ACTIVE TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
December 31, 2021 (Unaudited)
Other Transactions with Affiliates
The Funds may invest in affiliated entities, including
securities issued by State Street Corporation, affiliated funds, or entities deemed to be affiliates as a result of the Funds owning more than five percent of the entity’s voting securities or outstanding shares. Amounts relating to these
transactions during the period ended December 31, 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 Independent Trustees are paid
directly by the Funds. The Independent Trustees are reimbursed for travel and other out-of-pocket expenses in connection with meeting attendance and industry seminars.
6. Investment Transactions
Purchases and sales of investments (excluding in-kind
transactions and short term investments) for the period ended December 31, 2021, were as follows:
| U.S. Government Obligations | Other Securities | ||||||
| Purchases | Sales | Purchases | Sales | ||||
|
SPDR DoubleLine Emerging Markets Fixed Income
ETF |
$ — | $ — | $ 21,520,605 | $ 43,895,240 | |||
|
SPDR DoubleLine Short Duration Total Return Tactical
ETF |
28,741,148 | 39,987,881 | 68,094,177 | 56,699,498 | |||
|
SPDR DoubleLine Total Return Tactical
ETF |
1,616,064,462 | 1,856,956,117 | 249,839,420 | 330,822,943 | |||
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
126
SSGA ACTIVE TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
December 31, 2021 (Unaudited)
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.
The Funds file federal and various state and local tax returns
as required. No income tax returns are currently under examination. Generally, the federal returns are subject to examination by the Internal Revenue Service for a period of three years from date of filing, while the state returns may remain open
for an additional year depending upon jurisdiction. As of June 30, 2021, 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.
As of December 31, 2021, gross unrealized appreciation and
gross unrealized depreciation of investments and other financial instruments based on cost for federal income tax purposes were as follows:
| Tax
Cost |
Gross
Unrealized Appreciation |
Gross
Unrealized Depreciation |
Net
Unrealized Appreciation (Depreciation) | ||||
|
SPDR DoubleLine Emerging Markets Fixed Income
ETF |
$ 98,881,769 | $ 1,144,025 | $ 2,263,130 | $ (1,119,105) | |||
|
SPDR DoubleLine Short Duration Total Return Tactical
ETF |
161,359,997 | 620,583 | 2,157,390 | (1,536,807) | |||
|
SPDR DoubleLine Total Return Tactical
ETF |
2,934,630,786 | 41,078,193 | 86,822,241 | (45,744,048) |
9. Line of
Credit
The Funds and other affiliated funds (each a
“Participant” and, collectively, the “Participants”) have access to $200 million of a $1.1 billion revolving credit facility provided by a syndication of banks under which the Participants may borrow to fund shareholder
redemptions. This agreement expires in October 2022 unless extended or renewed.
127
SSGA ACTIVE TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
December 31, 2021 (Unaudited)
The Participants are charged an annual commitment fee which is
calculated based on the unused portion of the shared credit line. Commitment fees are allocated among each of the Participants based on relative net assets. Commitment fees are ordinary fund operating . 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 1.00% plus the greater of the New York Fed Bank Rate and the one-month SOFR Rate.
Prior to October 7, 2021, the Funds had access to $200 million
of a $500 million revolving credit facility and interest was calculated at a rate per annum equal to the sum of 1.25% plus the New York Fed Bank Rate.
The Funds had no outstanding loans as of December 31,
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.
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
128
SSGA ACTIVE TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
December 31, 2021 (Unaudited)
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.
129
SSGA ACTIVE TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
December 31, 2021 (Unaudited)
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.
130
SSGA ACTIVE TRUST
OTHER INFORMATION
December 31, 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 July 1, 2021 to December 31, 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.
131
SSGA ACTIVE TRUST
OTHER
INFORMATION (continued)
December 31, 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 |
$ 995.90 | $ 998.00 | $ 999.50 | ||
|
Expenses Paid During
Period(a) |
3.27 | 2.27 | 2.77 | ||
| Hypothetical (assuming a 5% return before expenses): | |||||
|
Ending Account
Value |
1,021.90 | 1,022.90 | 1,022.40 | ||
|
Expenses Paid During
Period(a) |
3.31 | 2.29 | 2.80 |
| (a) | Expenses are equal to the Fund's annualized net expense ratio multiplied by the average account value of the period, multiplied by 184, then divided by 365. |
132
SSGA ACTIVE TRUST
OTHER
INFORMATION (continued)
December 31, 2021 (Unaudited)
Liquidity Risk Management Program
Pursuant to Rule 22e-4 under the 1940 Act, the Funds have
adopted a liquidity risk management program (the "Program"). The Program’s principal objectives include assessing, managing and periodically reviewing each Fund’s liquidity risk, based on factors specific to the circumstances of the
Fund. Liquidity risk is defined as the risk that a Fund could not meet redemption requests without significant dilution of remaining investors’ interests in the Fund.
SSGA FM has been designated by the Board to administer the
Funds’ Program. During the fiscal year, SSGA FM provided the Board with a report addressing the operations of the Program and assessing its adequacy and the effectiveness of the Program's implementation for the period September 2020 through
June 2021, including:
| • | the Program supported each Fund’s ability to honor redemption requests timely; |
| • | the Program supported SSGA FM’s management of each Fund’s liquidity profile, including during periods of market volatility and net redemptions; |
| • | no material liquidity issues were identified during the period; |
| • | there were no material changes to the Program during the period; |
| • | the implementation of the Program was effective to manage each Fund’s liquidity risk; and |
| • | the Program operated adequately during the period. |
There can be no assurance that the Program will achieve its
objectives in the future. Please refer to your Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other principal risks to which an investment in the Fund may be subject.
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
https://www.ssga.com/spdrs.
133
SSGA ACTIVE TRUST
OTHER
INFORMATION (continued)
December 31, 2021 (Unaudited)
Quarterly Portfolio Schedule
Following the Funds’ first and third fiscal
quarter-ends, complete Schedules of Investments are filed with the SEC as exhibits on Form N-PORT, which can be found on the Funds' website at https://www.ssga.com/spdrs and on the SEC's website at www.sec.gov. The Funds’ Schedules of Investments are available upon request, without charge, by calling 1-866-787-2257 (toll free).
134
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 https://www.ssga.com/spdrs. 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 https://www.ssga.com/spdrs. Please read the prospectus carefully before you invest.
Semi-Annual Report
December 31, 2021
SSGA Active Trust
| SPDR Blackstone 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 https://www.ssga.com/spdrs. Please read the prospectus carefully before you invest.
[This Page Intentionally Left Blank]
TABLE OF CONTENTS (Unaudited)
|
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1 |
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|
4 |
|
|
37 |
|
|
40 |
|
|
41 |
|
|
50 |
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 https://www.ssga.com/spdrs. Please read the prospectus carefully before you invest.
SPDR Blackstone
Senior Loan ETF
Portfolio Statistics (Unaudited)
Top Five Holdings as of December 31,
2021
| Description | % of Net Assets | ||
| Change
Healthcare Holdings LLC Senior Secured 2017 Term Loan B 3.50% 3/1/2024 |
1.8% | ||
| BCP
Raptor, LLC Senior Secured Term Loan B 5.25% 6/24/2024 |
1.7 | ||
| Envision
Healthcare Corp. Senior Secured 2018 1st Lien Term Loan 3.85% 10/10/2025 |
1.6 | ||
| DirecTV
Financing, LLC Senior Secured Term Loan 5.75% 8/2/2027 |
1.6 | ||
| LBM
Acquisition LLC Senior Secured Term Loan B 4.50% 12/17/2027 |
1.5 | ||
| TOTAL | 8.2% |
(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 December 31,
2021
| % of Net Assets | |||
| Software | 15.8% | ||
| Health Care Providers & Services | 7.3 | ||
| Diversified Financial Services | 6.1 | ||
| Commercial Services & Supplies | 4.9 | ||
| Entertainment | 4.3 | ||
| Hotels, Restaurants & Leisure | 4.1 | ||
| Airlines | 3.6 | ||
| Media | 3.5 | ||
| Oil, Gas & Consumable Fuels | 3.3 | ||
| Specialty Retail | 2.6 | ||
| Unknown G3 | 2.2 | ||
| Chemicals | 2.1 | ||
| Commercial Services | 2.0 | ||
| Health Care Technology | 1.8 | ||
| Retail-Building Products | 1.8 | ||
| Containers & Packaging | 1.7 | ||
| Internet & Catalog Retail | 1.5 | ||
| Computers | 1.4 | ||
| Insurance | 1.3 | ||
| Communications Equipment | 1.3 | ||
| Web Hosting/Design | 1.3 | ||
| Health Care Equipment & Supplies | 1.2 | ||
| Air Freight & Logistics | 1.2 | ||
| Telecommunication Equip | 1.1 | ||
| Pipelines | 1.0 | ||
| Textiles, Apparel & Luxury Goods | 1.0 | ||
| Construction & Engineering | 0.9 | ||
| Transport-Air Freight | 0.9 | ||
| Retail-Restaurants | 0.9 | ||
| Cosmetics & Toiletries | 0.9 | ||
| IT Services | 0.8 |
See accompanying notes to financial statements.
2
SPDR Blackstone
Senior Loan ETF
Portfolio Statistics
(Unaudited) (continued)
| % of Net Assets | |||
| Real Estate Management & Development | 0.7% | ||
| Capital Markets | 0.7 | ||
| Home Furnishings | 0.7 | ||
| MRI/Medical Diag Imaging | 0.6 | ||
| Building Products | 0.6 | ||
| Industrial Conglomerates | 0.6 | ||
| Leisure Industry | 0.6 | ||
| Distributors | 0.6 | ||
| Lasers-Syst/Components | 0.6 | ||
| Pharmaceuticals | 0.5 | ||
| Telecom Services | 0.5 | ||
| Professional Services | 0.5 | ||
| Computer Services | 0.5 | ||
| Machinery-Construction & Mining | 0.5 | ||
| Consumer Products-Misc | 0.5 | ||
| Trading Companies & Distributors | 0.5 | ||
| Medical Labs&Testing Srv | 0.5 | ||
| Leisure&Rec/Games | 0.4 | ||
| Environmentally Friendly | 0.3 | ||
| Household Products | 0.3 | ||
| Food-Misc/Diversified | 0.3 | ||
| Machinery | 0.3 | ||
| Transport-Services | 0.3 | ||
| Retail-Petroleum Product | 0.3 | ||
| Electronic Equipment, Instruments & Components | 0.2 | ||
| Miscellaneous Manufactur | 0.2 | ||
| Hand/Machine Tools and Related Products | 0.2 | ||
| Aerospace & Defense | 0.2 | ||
| Food Products | 0.2 | ||
| Fiduciary Banks | 0.2 | ||
| Auto Components | 0.1 | ||
| Electrical Equipment | 0.1 | ||
| Diversified Telecommunication Services | 0.1 | ||
| Steel-Producers | 0.1 | ||
| Advertising Services | 0.1 | ||
| Life Sciences Tools & Services | 0.1 | ||
| Interactive Media & Services | 0.1 * | ||
| Leisure Equipment & Products | 0.1 | ||
| Machinery-Farm | 0.1 | ||
| Semiconductors & Semiconductor Equipment | 0.1 | ||
| Internet Security | 0.1 | ||
| Diversified Finan Serv | 0.1 | ||
| Independent Power Producers & Energy Traders | 0.1 | ||
| Communications Software | 0.1 | ||
| Construction Materials | 0.0 * | ||
| Television | 0.0 * | ||
| Beverages | 0.0 * | ||
| Retail-Catalog Shopping | 0.0 * | ||
| Containers-Paper/Plastic | 0.0 * | ||
| Short-Term Investment | 10.4 | ||
| Liabilities in Excess of Other Assets | (8.7) | ||
| TOTAL | 100.0% | ||
| * | Amount shown represents less than 0.05% of net assets. | ||
See accompanying notes to financial statements.
3
SPDR BLACKSTONE SENIOR LOAN
ETF
SCHEDULE OF INVESTMENTS
December 31, 2021 (Unaudited)
| Security Description | Principal
Amount |
Value | |||
| SENIOR FLOATING RATE LOANS — 91.7% (a) | |||||
| ADVERTISING SERVICES — 0.1% | |||||
|
AppLovin Corp. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 3.25% 3.35%,
8/15/2025 |
$ 7,366,219 | $ 7,361,615 | |||
|
Terrier Media Buyer, Inc. Senior Secured 2021 Term Loan, 12/17/2026
(b) |
498,741 | 497,057 | |||
| 7,858,672 | |||||
| AEROSPACE & DEFENSE — 0.2% | |||||
| Dynasty Acquisition Co., Inc.: | |||||
|
Senior Secured 2020 CAD Term Loan B2, 3 Month USD LIBOR + 3.50% 3.72%,
4/6/2026 |
4,831,857 | 4,714,540 | |||
|
Senior Secured 2020 Term Loan B1, 3 Month USD LIBOR + 3.50% 3.72%,
4/6/2026 |
8,988,482 | 8,770,242 | |||
|
TransDigm, Inc. Senior Secured 2020 Term Loan F, 12/9/2025
(b) |
2,493,639 | 2,462,942 | |||
| 15,947,724 | |||||
| AIR FREIGHT & LOGISTICS — 1.2% | |||||
|
Kenan Advantage Group, Inc. Senior Secured 2021 Term Loan B1, 1 Month USD LIBOR + 3.75% 4.50%,
3/24/2026 |
49,104,831 | 49,040,013 | |||
|
Worldwide Express Operations, LLC Senior Secured 2021 1st Lien Term Loan, 6 Month USD LIBOR + 4.25% 5.00%,
7/26/2028 |
61,510,725 | 61,754,000 | |||
| 110,794,013 | |||||
| AIRLINES — 3.6% | |||||
|
AAdvantage Loyalty IP Ltd. Senior Secured 2021 Term Loan, 3 Month USD LIBOR + 4.75% 5.50%,
4/20/2028 |
70,662,575 | 73,343,866 | |||
|
Air Canada Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 3.50% 4.25%,
8/11/2028 |
7,745,695 | 7,749,839 | |||
| American Airlines, Inc.: | |||||
|
Senior Secured 2017 Incremental Term Loan, 3 Month USD LIBOR + 2.00% 2.11%,
12/15/2023 |
12,263,560 | 12,041,958 | |||
|
Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 1.75% 1.85%,
6/27/2025 |
44,460,207 | 42,264,984 | |||
|
Mileage Plus Holdings LLC Senior Secured 2020 Term Loan B, 3 Month USD LIBOR + 5.25% 6.25%,
6/21/2027 |
39,941,895 | 42,228,768 |
See accompanying notes to financial statements.
4
SPDR BLACKSTONE SENIOR LOAN
ETF
SCHEDULE OF
INVESTMENTS (continued)
December 31, 2021 (Unaudited)
| Security Description | Principal
Amount |
Value | |||
|
SkyMiles IP Ltd. Senior Secured 2020 Skymiles Term Loan B, 3 Month USD LIBOR + 3.75% 4.75%,
10/20/2027 |
$ 25,778,136 | $ 27,324,824 | |||
|
United Airlines, Inc. Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 3.75% 4.50%,
4/21/2028 |
115,299,907 | 115,974,412 | |||
| 320,928,651 | |||||
| AUTO COMPONENTS — 0.1% | |||||
|
USI, Inc. Senior Secured 2017 Repriced Term Loan, 3 Month USD LIBOR + 3.00% 3.22%,
5/16/2024 |
2,493,489 | 2,477,245 | |||
|
Wheel Pros, LLC Senior Secured 2021 Term Loan, 1 Month USD LIBOR + 4.50% 5.25%,
5/11/2028 |
9,830,582 | 9,828,763 | |||
| 12,306,008 | |||||
| BEVERAGES — 0.0% (c) | |||||
|
Triton Water Holdings, Inc. Senior Secured Term Loan, 3 Month USD LIBOR + 3.50% 4.00%,
3/31/2028 |
509,525 | 504,748 | |||
| BUILDING PRODUCTS — 0.6% | |||||
|
CP Atlas Buyer, Inc. Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 3.75% 4.25%,
11/23/2027 |
54,224,524 | 54,061,851 | |||
| DiversiTech Holdings, Inc.: | |||||
|
Senior Secured 2021 1st Lien Term Loan, 12/16/2028
(b) |
630,435 | 630,633 | |||
|
Senior Secured 2021 Delayed Draw Term Loan, 12/16/2028
(b) |
130,435 | 130,476 | |||
| 54,822,960 | |||||
| CAPITAL MARKETS — 0.7% | |||||
|
AqGen Ascensus, Inc. Senior Secured 2021 2nd Lien Term Loan, 3 Month USD LIBOR + 6.50% 7.00%,
8/2/2029 |
7,194,340 | 7,232,578 | |||
|
Freeport LNG Investments, LLLP Senior Secured Term Loan B, 3 Month USD LIBOR + 3.50% 4.00%,
12/21/2028 |
19,598,931 | 19,436,651 | |||
|
PECF USS Intermediate Holding III Corp. Senior Secured Term Loan B, 12/15/2028
(b) |
36,746,575 | 36,832,011 | |||
| 63,501,240 |
See accompanying notes to financial statements.
5
SPDR BLACKSTONE SENIOR LOAN
ETF
SCHEDULE OF
INVESTMENTS (continued)
December 31, 2021 (Unaudited)
| Security Description | Principal
Amount |
Value | |||
| CHEMICALS — 2.1% | |||||
|
Ascend Performance Materials Operations LLC Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 4.75% 5.50%,
8/27/2026 |
$ 18,388,167 | $ 18,521,481 | |||
|
Atotech B.V. Senior Secured 2021 USD Term Loan B, 3/18/2028
(b) |
12,098,003 | 12,090,018 | |||
|
Axalta Coating Systems US Holdings, Inc. Senior Secured USD Term Loan B3, 6/1/2024
(b) |
2,703,957 | 2,705,647 | |||
|
CPC Acquisition Corp. Senior Secured Term Loan, 3 Month USD LIBOR + 3.75% 4.50%,
12/29/2027 |
25,860,981 | 25,602,371 | |||
|
GEON Performance Solutions, LLC Senior Secured 2021 Term Loan, 3 Month USD LIBOR + 4.75% 5.50%,
8/18/2028 |
7,881,481 | 7,960,296 | |||
|
Ineos US Finance, LLC Senior Secured 2017 USD Term Loan B, 4/1/2024
(b) |
680,566 | 677,888 | |||
|
Messer Industries GmbH Senior Secured 2018 USD Term Loan, 3/1/2026
(b) |
997,040 | 990,709 | |||
|
New Arclin U.S. Holding Corp. Senior Secured 2021 Term Loan, 1 Month USD LIBOR + 3.75% 4.25%,
9/30/2028 |
11,481,730 | 11,482,132 | |||
|
Olympus Water US Holding Corp. Senior Secured 2021 USD Term Loan B, 3 Month USD LIBOR + 3.75% 4.25%,
11/9/2028 |
10,434,311 | 10,414,747 | |||
|
SCIH Salt Holdings, Inc. Senior Secured 2021 Incremental Term Loan B, 3 Month USD LIBOR + 4.00% 4.75%,
3/16/2027 |
49,669,906 | 49,266,338 | |||
|
Starfruit Finco B.V Senior Secured 2018 USD Term Loan B, 10/1/2025
(b) |
2,933,023 | 2,926,614 | |||
|
Vantage Specialty Chemicals, Inc. Senior Secured 2017 1st Lien Term Loan, 3 Month USD LIBOR + 3.50% 4.50%,
10/28/2024 |
42,109,010 | 41,398,420 | |||
| 184,036,661 | |||||
| COMMERCIAL SERVICES — 1.8% | |||||
|
Allied Universal Holdco LLC Senior Secured 2021 USD Incremental Term Loan B, 3 Month USD LIBOR + 3.75% 4.25%,
5/12/2028 |
92,531,197 | 92,346,597 | |||
|
Inmar Holdings, Inc. Senior Secured 2017 1st Lien Term Loan, 3 Month USD LIBOR + 4.00% 5.00%,
5/1/2024 |
2,194,256 | 2,195,408 | |||
|
Spin Holdco Inc. Senior Secured 2021 Term Loan, 3 Month USD LIBOR + 4.00% 4.75%,
3/4/2028 |
53,482,837 | 53,720,568 |
See accompanying notes to financial statements.
6
SPDR BLACKSTONE SENIOR LOAN
ETF
SCHEDULE OF
INVESTMENTS (continued)
December 31, 2021 (Unaudited)
| Security Description | Principal
Amount |
Value | |||
|
Verscend Holding Corp. Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 4.00% 4.10%,
8/27/2025 |
$ 2,493,734 | $ 2,496,228 | |||
|
VT Topco, Inc. Senior Secured 2021 Incremental Term Loan, 1 Month USD LIBOR + 3.75% 4.50%,
8/1/2025 |
12,309,206 | 12,311,791 | |||
| 163,070,592 | |||||
| COMMERCIAL SERVICES & SUPPLIES — 4.9% | |||||
|
ADMI Corp. Senior Secured 2021 Incremental Term Loan B3, 12/23/2027
(b) |
1,770,563 | 1,770,146 | |||
| Asurion, LLC: | |||||
|
Senior Secured 2021 2nd Lien Term Loan B3, 1 Month USD LIBOR + 5.25% 5.35%,
1/31/2028 |
75,951,226 | 76,283,513 | |||
|
Senior Secured 2021 Second Lien Term Loan B4, 1 Month USD LIBOR + 5.25% 5.35%,
1/20/2029 |
100,160,000 | 99,878,550 | |||
| Covanta Holding Corporation: | |||||
|
Senior Secured 2021 Term Loan B, 11/30/2028
(b) |
465,157 | 466,203 | |||
|
Senior Secured 2021 Term Loan C, 11/30/2028
(b) |
34,843 | 34,922 | |||
|
Emerald TopCo, Inc. Senior Secured Term Loan, 3 Month USD LIBOR + 3.50% 3.63%,
7/24/2026 |
6,345 | 6,325 | |||
|
Garda World Security Corporation Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 4.25% 4.36%,
10/30/2026 |
34,704,700 | 34,701,230 | |||
|
Intrado Corp. Senior Secured 2017 Term Loan, 3 Month USD LIBOR + 4.00% 5.00%,
10/10/2024 |
57,007,187 | 54,256,021 | |||
|
Learning Care Group, Inc. Senior Secured 2018 1st Lien Term Loan, 3 Month USD LIBOR + 3.25% 4.25%,
3/13/2025 |
22,352,455 | 21,961,287 | |||
|
McGraw-Hill Global Education Holdings, LLC Senior Secured 2021 Term Loan, 1 Month USD LIBOR + 4.75% 5.25%,
7/28/2028 |
97,758,577 | 97,468,723 | |||
|
Packaging Coordinators Midco, Inc. Senior Secured 2020 1st Lien Term Loan, 3 Month USD LIBOR + 3.75% 4.50%,
11/30/2027 |
6,916,933 | 6,925,579 | |||
|
SSH Group Holdings, Inc. Senior Secured 2018 1st Lien Term Loan, 3 Month USD LIBOR + 4.25% 4.47%,
7/30/2025 |
14,145,417 | 13,676,850 | |||
|
TRC Companies, Inc. Senior Secured 2021 First Lien Term Loan, 3 Month USD LIBOR + 3.75% 4.25%,
11/17/2028 |
29,556,650 | 29,450,394 |
See accompanying notes to financial statements.
7
SPDR BLACKSTONE SENIOR LOAN
ETF
SCHEDULE OF
INVESTMENTS (continued)
December 31, 2021 (Unaudited)
| Security Description | Principal
Amount |
Value | |||
|
VT Topco, Inc. Senior Secured 2018 1st Lien Term Loan, 8/1/2025
(b) |
$ 3,093,605 | $ 3,074,270 | |||
| 439,954,013 | |||||
| COMMUNICATIONS EQUIPMENT — 1.3% | |||||
|
CommScope, Inc. Senior Secured 2019 Term Loan B, 1 Month USD LIBOR + 3.25% 3.35%,
4/6/2026 |
50,864,822 | 50,303,275 | |||
|
Zayo Group Holdings, Inc. Senior Secured USD Term Loan, 1 Month USD LIBOR + 3.00% 3.10%,
3/9/2027 |
62,717,217 | 61,979,035 | |||
| 112,282,310 | |||||
| COMPUTER SERVICES — 0.5% | |||||
|
ConvergeOne Holdings, Inc. Senior Secured 2019 Term Loan, 1 Month USD LIBOR + 5.00% 5.10%,
1/4/2026 |
18,943,954 | 18,594,722 | |||
|
Genuine Financial Holdings, LLC Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 3.75% 3.85%,
7/11/2025 |
29,189,800 | 29,131,420 | |||
| 47,726,142 | |||||
| COMPUTERS — 1.4% | |||||
|
Magenta Buyer LLC Senior Secured 2021 USD 1st Lien Term Loan, 3 Month USD LIBOR + 5.00% 5.75%,
7/27/2028 |
99,653,860 | 99,544,739 | |||
|
Park Place Technologies, LLC Senior Secured 2020 Term Loan, 1 Month USD LIBOR + 5.00% 6.00%,
11/10/2027 |
3,408,906 | 3,409,622 | |||
|
Virtusa Corp. Senior Secured First Lien Term Loan B, 1 Month USD LIBOR + 3.75% 4.50%,
2/11/2028 |
22,083,622 | 22,180,238 | |||
| 125,134,599 | |||||
| CONSTRUCTION & ENGINEERING — 0.9% | |||||
|
Aegion Corporation Senior Secured Term Loan, 3 Month USD LIBOR + 4.75% 5.50%,
5/17/2028 |
33,856,905 | 34,054,291 | |||
|
Brand Energy & Infrastructure Services, Inc. Senior Secured 2017 Term Loan, 3 Month USD LIBOR + 4.25% 5.25%,
6/21/2024 |
21,487,898 | 21,070,066 | |||
|
DG Investment Intermediate Holdings 2, Inc. Senior Secured 2021 Term Loan, 1 Month USD LIBOR + 3.75% 3.75%,
3/31/2028 |
6,705,319 | 6,711,622 |
See accompanying notes to financial statements.
8
SPDR BLACKSTONE SENIOR LOAN
ETF
SCHEDULE OF
INVESTMENTS (continued)
December 31, 2021 (Unaudited)
| Security Description | Principal
Amount |
Value | |||
| KKR Apple Bidco, LLC: | |||||
|
Senior Secured 2021 2nd Lien Term Loan, 1 Month USD LIBOR + 5.75% 6.25%,
9/21/2029 |
$ 13,662,426 | $ 13,871,666 | |||
|
Senior Secured 2021 Term Loan, 1 Month USD LIBOR + 3.00% 3.50%,
9/23/2028 |
2,500,000 | 2,495,488 | |||
|
Tutor Perini Corp. Senior Secured Term Loan B, 3 Month USD LIBOR + 4.75% 5.75%,
8/18/2027 |
978,613 | 982,282 | |||
| 79,185,415 | |||||
| CONSTRUCTION MATERIALS — 0.0% (c) | |||||
|
Quikrete Holdings, Inc. Senior Secured 2016 1st Lien Term Loan, 2/1/2027
(b) |
1,994,911 | 1,975,830 | |||
| CONSUMER PRODUCTS-MISC — 0.5% | |||||
|
Drive Chassis HoldCo, LLC Senior Secured 2019 2nd Lien Term Loan, 3 Month USD LIBOR + 6.00% 6.87%,
4/10/2026 |
29,503,958 | 29,688,358 | |||
|
MI Windows and Doors, LLC Senior Secured 2020 Term Loan, 1 Month USD LIBOR + 3.75% 4.50%,
12/18/2027 |
10,452,124 | 10,510,917 | |||
| 40,199,275 | |||||
| CONTAINERS & PACKAGING — 1.7% | |||||
|
Berlin Packaging LLC Senior Secured 2021 First Lien Term Loan B, 3 Month USD LIBOR + 3.75% 4.25%,
3/11/2028 |
8,899,927 | 8,901,039 | |||
|
Berry Global, Inc. Senior Secured 2021 Term Loan Z, 2 Month USD LIBOR + 1.75% 1.86%,
7/1/2026 |
23,729,818 | 23,605,236 | |||
|
BWAY Holding Co. Senior Secured 2017 Term Loan B, 1 Month USD LIBOR + 3.25% 3.35%,
4/3/2024 |
57,689,353 | 57,035,156 | |||
|
Charter NEX US, Inc. Senior Secured 2021 Term Loan, 1 Month USD LIBOR + 3.75% 4.50%,
12/1/2027 |
11,273,380 | 11,311,259 | |||
|
Graham Packaging Company, Inc. Senior Secured 2021 Term Loan, 1 Month USD LIBOR + 3.00% 3.75%,
8/4/2027 |
1,420,709 | 1,418,706 | |||
|
Pretium PKG Holdings, Inc. Senior Secured 2021 1st Lien Term Loan, 6 Month USD LIBOR + 4.00% 4.50%,
10/2/2028 |
31,659,979 | 31,642,250 |
See accompanying notes to financial statements.
9
SPDR BLACKSTONE SENIOR LOAN
ETF
SCHEDULE OF
INVESTMENTS (continued)
December 31, 2021 (Unaudited)
| Security Description | Principal
Amount |
Value | |||
|
Proampac PG Borrower LLC Senior Secured 2020 Term Loan, 3 Month USD LIBOR + 3.75% 4.50%,
11/3/2025 |
$ 4,251,512 | $ 4,261,482 | |||
|
Ring Container Technologies Group, LLC Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 3.75% 4.25%,
8/12/2028 |
4,264,955 | 4,279,882 | |||
| Trident TPI Holdings, Inc.: | |||||
|
Senior Secured 2017 USD Term Loan B1, 3 Month USD LIBOR + 3.25% 4.25%,
10/17/2024 |
875,191 | 876,491 | |||
|
Senior Secured 2021 Delayed Draw Term Loan, 3 Month USD LIBOR + 4.00% 4.20%,
9/15/2028 |
383,662 | 383,961 | |||
|
Senior Secured 2021 Incremental Term Loan, 3 Month USD LIBOR + 4.00% 4.50%,
9/15/2028 |
6,711,705 | 6,716,940 | |||
| 150,432,402 | |||||
| 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 |
77,479,500 | 77,875,033 | |||
| DISTRIBUTORS — 0.6% | |||||
|
American Tire Distributors Holdings, Inc. Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 6.25% 7.00%,
10/8/2028 |
57,435,848 | 57,907,684 | |||
| DIVERSIFIED FINAN SERV — 0.1% | |||||
|
Apex Group Treasury, LLC Senior Secured 2021 USD Incremental Term Loan, 7/27/2028
(b) |
6,433,735 | 6,431,740 | |||
| DIVERSIFIED FINANCIAL SERVICES — 5.9% | |||||
|
Advisor Group, Inc. Senior Secured 2021 Term Loan, 1 Month USD LIBOR + 4.50% 4.60%,
7/31/2026 |
60,590,785 | 60,837,086 | |||
|
AlixPartners, LLP Senior Secured 2021 USD Term Loan B, 1 Month USD LIBOR + 2.75% 3.25%,
2/4/2028 |
7,980,074 | 7,954,418 | |||
|
Apex Group Treasury LLC Senior Secured USD Term Loan, 3 Month USD LIBOR + 3.75% 4.25%,
7/27/2028 |
11,059,530 | 11,056,102 | |||
| Atlas CC Acquisition Corp.: | |||||
|
Senior Secured Term Loan B, 3 Month USD LIBOR + 4.25% 5.00%,
5/25/2028 |
18,117,028 | 18,180,709 |
See accompanying notes to financial statements.
10
SPDR BLACKSTONE SENIOR LOAN
ETF
SCHEDULE OF
INVESTMENTS (continued)
December 31, 2021 (Unaudited)
| Security Description | Principal
Amount |
Value | |||
|
Senior Secured Term Loan C, 3 Month USD LIBOR + 4.25% 5.00%,
5/25/2028 |
$ 3,684,819 | $ 3,697,771 | |||
|
Camelot U.S. Acquisition 1 Co. Senior Secured 2020 Incremental Term Loan B, 10/30/2026
(b) |
3,989,925 | 3,992,418 | |||
|
Deerfield Dakota Holding, LLC Senior Secured 2020 USD Term Loan B, 1 Month USD LIBOR + 3.75% 4.75%,
4/9/2027 |
72,564,593 | 72,740,562 | |||
|
DirecTV Financing, LLC Senior Secured Term Loan, 3 Month USD LIBOR + 5.00% 5.75%,
8/2/2027 |
141,067,985 | 141,379,745 | |||
| Edelman Financial Center, LLC: | |||||
|
Senior Secured 2018 2nd Lien Term Loan, 1 Month USD LIBOR + 6.75% 6.85%,
7/20/2026 |
32,634,126 | 32,821,120 | |||
|
Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 3.50% 4.25%,
4/7/2028 |
91,267,299 | 91,330,274 | |||
|
Minotaur Acquisition, Inc. Senior Secured Term Loan B, 1 Month USD LIBOR + 4.75% 4.85%,
3/27/2026 |
24,840,209 | 24,747,058 | |||
|
S&S Holdings LLC Senior Secured Term Loan, 3 Month USD LIBOR + 5.00% 5.50%,
3/11/2028 |
12,326,934 | 12,346,226 | |||
|
Superannuation and Investments US LLC Senior Secured USD Term Loan, 3 Month USD LIBOR + 3.75% 4.25%,
12/1/2028 |
341,427 | 342,067 | |||
|
Trans Union, LLC Senior Secured 2019 Term Loan B5, 11/16/2026
(b) |
2,991,312 | 2,965,138 | |||
|
William Morris Endeavor Entertainment, LLC Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 2.75% 2.86%,
5/18/2025 |
48,193,749 | 47,272,044 | |||
| 531,662,738 | |||||
| DIVERSIFIED TELECOMMUNICATION SERVICES — 0.1% | |||||
|
Altice France S.A. Senior Secured USD Term Loan B12, 3 Month USD LIBOR + 3.69% 3.81%,
1/31/2026 |
282,945 | 280,999 | |||
|
CenturyLink, Inc. Senior Secured 2020 Term Loan B, 3/15/2027
(b) |
3,890,076 | 3,850,903 | |||
|
Level 3 Financing, Inc. Senior Secured 2019 Term Loan B, 1 Month USD LIBOR + 1.75% 1.85%,
3/1/2027 |
5,100,000 | 5,042,625 |
See accompanying notes to financial statements.
11
SPDR BLACKSTONE SENIOR LOAN
ETF
SCHEDULE OF
INVESTMENTS (continued)
December 31, 2021 (Unaudited)
| Security Description | Principal
Amount |
Value | |||
|
Numericable Group SA Senior Secured USD Term Loan B11, 3 Month USD LIBOR + 2.75% 2.88%,
7/31/2025 |
$ 1,288,813 | $ 1,267,200 | |||
| 10,441,727 | |||||
| ELECTRICAL EQUIPMENT — 0.1% | |||||
|
EXC Holdings III Corp. Senior Secured USD 2017 1st Lien Term Loan, 3 Month USD LIBOR + 3.50% 4.50%,
12/2/2024 |
6,466,726 | 6,499,060 | |||
|
Gates Global, LLC Senior Secured 2021 Term Loan B3, 1 Month USD LIBOR + 2.50% 3.25%,
3/31/2027 |
5,770,184 | 5,764,760 | |||
| 12,263,820 | |||||
| ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS — 0.2% | |||||
|
CPI International, Inc. Senior Secured 2017 1st Lien Term Loan, 1 Month USD LIBOR + 3.50% 4.50%,
7/26/2024 |
17,427,588 | 17,431,945 | |||
|
Ingram Micro, Inc. Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 3.50% 4.00%,
6/30/2028 |
2,864 | 2,869 | |||
|
Mirion Technologies, Inc. Senior Secured 2021 Term Loan, 2 Month USD LIBOR + 2.75% 3.25%,
10/20/2028 |
499,000 | 498,643 | |||
| 17,933,457 | |||||
| ENTERTAINMENT — 3.1% | |||||
|
AMC Entertainment Holdings, Inc. Senior Secured 2019 Term Loan B, 1 Month USD LIBOR + 3.00% 3.10%,
4/22/2026 |
112,120,639 | 101,399,103 | |||
| Crown Finance US, Inc.: | |||||
|
Senior Secured 2018 USD Term Loan, 6 Month USD LIBOR + 2.50% 3.50%,
2/28/2025 |
141,731,478 | 110,134,571 | |||
|
Senior Secured 2019 Incremental Term Loan, 6 Month USD LIBOR + 2.75% 3.75%,
9/30/2026 |
64,458,145 | 49,391,054 | |||
|
Delta 2 (LUX) S.A.R.L. Senior Secured 2018 USD Term Loan, 1 Month USD LIBOR + 2.50% 3.50%,
2/1/2024 |
500,000 | 500,207 | |||
|
Motion Finco S.A.R.L. Senior Secured Delayed Draw Term Loan B2, 3 Month USD LIBOR + 3.25% 3.47%,
11/12/2026 |
11,939,398 | 11,705,923 |
See accompanying notes to financial statements.
12
SPDR BLACKSTONE SENIOR LOAN
ETF
SCHEDULE OF
INVESTMENTS (continued)
December 31, 2021 (Unaudited)
| Security Description | Principal
Amount |
Value | |||
|
SMG U.S. Midco 2, Inc. Senior Secured 2020 Term Loan, 3 Month USD LIBOR + 2.50% 2.63%,
1/23/2025 |
$ 3,982,353 | $ 3,881,142 | |||
|
UFC Holdings, LLC Senior Secured 2021 Term Loan B, 6 Month USD LIBOR + 2.75% 3.50%,
4/29/2026 |
916,298 | 913,842 | |||
| 277,925,842 | |||||
| ENVIRONMENTALLY FRIENDLY — 0.3% | |||||
|
Robertshaw U.S. Holding Corp. Senior Secured 2018 1st Lien Term Loan, 3 Month USD LIBOR + 3.50% 4.50%,
2/28/2025 |
32,071,290 | 30,291,333 | |||
| FIDUCIARY BANKS — 0.2% | |||||
|
AqGen Island Holdings, Inc. Senior Secured Term Loan, 8/2/2028
(b) |
19,326,531 | 19,278,214 | |||
| FOOD PRODUCTS — 0.2% | |||||
|
Chobani, LLC Senior Secured 2020 Term Loan B, 1 Month USD LIBOR + 3.50% 4.50%,
10/25/2027 |
15,893,551 | 15,955,138 | |||
| FOOD-MISC/DIVERSIFIED — 0.3% | |||||
|
Froneri International Ltd. Senior Secured 2020 USD Term Loan, 1 Month USD LIBOR + 2.25% 2.35%,
1/29/2027 |
498,734 | 493,181 | |||
|
Skopima Merger Sub, Inc. Senior Secured Term Loan B, 1 Month USD LIBOR + 4.00% 4.50%,
5/12/2028 |
29,845,200 | 29,699,108 | |||
| 30,192,289 | |||||
| HAND/MACHINE TOOLS AND RELATED PRODUCTS — 0.2% | |||||
|
Apex Tool Group, LLC Senior Secured 2019 Term Loan B, 1 Month USD LIBOR + 5.50% 6.75%,
8/1/2024 |
17,195,367 | 16,917,490 | |||
| HEALTH CARE EQUIPMENT & SUPPLIES — 1.2% | |||||
| Carestream Health, Inc.: | |||||
|
Senior Secured 2020 Extended 2nd Lien PIK Term Loan, 3 Month USD LIBOR + 4.50% 5.50%,
8/8/2023 |
19,547,958 | 19,132,564 | |||
|
Senior Secured 2020 Extended Term Loan,
5/8/2023 |
4,980,676 | 5,004,558 |
See accompanying notes to financial statements.
13
SPDR BLACKSTONE SENIOR LOAN
ETF
SCHEDULE OF
INVESTMENTS (continued)
December 31, 2021 (Unaudited)
| Security Description | Principal
Amount |
Value | |||
|
Gainwell Acquisition Corp. Senior Secured Term Loan B, 3 Month USD LIBOR + 4.00% 4.75%,
10/1/2027 |
$ 85,343,525 | $ 85,674,231 | |||
| 109,811,353 | |||||
| HEALTH CARE PROVIDERS & SERVICES — 6.5% | |||||
|
AHP Health Partners, Inc. Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 3.50% 4.00%,
8/4/2028 |
498,750 | 499,531 | |||
|
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 |
5,579,153 | 5,546,040 | |||
|
Cambrex Corp. Senior Secured 2021 Term Loan, 1 Month USD LIBOR + 3.50% 4.25%,
12/4/2026 |
1,010 | 1,012 | |||
|
CHG Healthcare Services, Inc. Senior Secured 2021 Term Loan, 3 Month USD LIBOR + 3.50% 4.00%,
9/29/2028 |
3,077,974 | 3,082,207 | |||
| Covenant Surgical Partners, Inc.: | |||||
|
Senior Secured 2019 Delayed Draw Term Loan, 1 Month USD LIBOR + 4.00% 4.10%,
7/1/2026 |
505,237 | 500,225 | |||
|
Senior Secured 2019 Term Loan, 1 Month USD LIBOR + 4.00% 4.10%,
7/1/2026 |
2,476,099 | 2,451,536 | |||
|
Curia Global, Inc. Senior Secured 2021 Term Loan, 3 Month USD LIBOR + 3.75% 4.50%,
8/30/2026 |
19,928,005 | 19,977,825 | |||
|
DaVita, Inc. Senior Secured 2020 Term Loan B, 1 Month USD LIBOR + 1.75% 1.85%,
8/12/2026 |
1,534,005 | 1,528,053 | |||
| Envision Healthcare Corp.: | |||||
|
Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 3.75% 3.85%,
10/10/2025 |
178,624,677 | 144,295,694 | |||
|
Senior Secured 2018 Revolver, 10/11/2023
(b) |
11,164,500 | 9,378,180 | |||
| Global Medical Response, Inc.: | |||||
|
Senior Secured 2017 Incremental Term Loan, 6 Month USD LIBOR + 4.25% 5.25%,
3/14/2025 |
66,197,685 | 66,044,107 | |||
|
Senior Secured 2020 Term Loan B, 3 Month USD LIBOR + 4.25% 5.25%,
10/2/2025 |
53,006,705 | 52,860,936 | |||
|
Horizon Therapeutics USA, Inc. Senior Secured 2021 Term Loan B2, 1 Month USD LIBOR + 1.75% 2.25%,
3/15/2028 |
8,272,375 | 8,255,375 | |||
| ICON Luxembourg S.A.R.L.: | |||||
|
Senior Secured LUX Term Loan, 3 Month USD LIBOR + 2.25% 2.75%,
7/3/2028 |
3,940,944 | 3,947,230 |
See accompanying notes to financial statements.
14
SPDR BLACKSTONE SENIOR LOAN
ETF
SCHEDULE OF
INVESTMENTS (continued)
December 31, 2021 (Unaudited)
| Security Description | Principal
Amount |
Value | |||
|
Senior Secured US Term Loan, 3 Month USD LIBOR + 2.25% 2.75%,
7/3/2028 |
$ 981,889 | $ 983,455 | |||
| National Mentor Holdings, Inc.: | |||||
|
Senior Secured 2021 Delayed Draw Term Loan,
3/2/2028 |
116,520 | 115,427 | |||
|
Senior Secured 2021 Term Loan, 3 Month USD LIBOR + 3.75% 4.50%,
3/2/2028 |
42,900,284 | 42,498,094 | |||
|
Senior Secured 2021 Term Loan C, 3 Month USD LIBOR + 3.75% 4.50%,
3/2/2028 |
1,296,202 | 1,284,050 | |||
|
NMSC Holdings, Inc. Senior Secured 1st Lien Term Loan, 3 Month USD LIBOR + 5.00% 6.00%,
4/19/2023 |
12,405,650 | 12,408,751 | |||
| Phoenix Guarantor, Inc.: | |||||
|
Senior Secured 2020 Term Loan B, 1 Month USD LIBOR + 3.25% 3.35%,
3/5/2026 |
2,493,639 | 2,480,971 | |||
|
Senior Secured 2021 Term Loan B3, 1 Month USD LIBOR + 3.50% 3.60%,
3/5/2026 |
1,866,135 | 1,861,003 | |||
|
Radnet Management, Inc. Senior Secured 2021 Term Loan, 4/21/2028
(b) |
1,412,116 | 1,413,881 | |||
|
RegionalCare Hospital Partners Holdings, Inc. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 3.75% 3.85%,
11/16/2025 |
3,500,000 | 3,501,732 | |||
|
Surgery Center Holdings, Inc. Senior Secured 2021 Term Loan, 1 Month USD LIBOR + 3.75% 4.50%,
8/31/2026 |
71,386,527 | 71,453,631 | |||
|
Team Health Holdings, Inc. Senior Secured 1st Lien Term Loan, 1 Month USD LIBOR + 2.75% 3.75%,
2/6/2024 |
102,541,430 | 98,337,231 | |||
|
Unified Physician Management, LLC Senior Secured 2020 Term Loan, 1 Month USD LIBOR + 4.25% 5.00%,
12/16/2027 |
22,999,718 | 23,054,343 | |||
| 577,760,520 | |||||
| HEALTH CARE TECHNOLOGY — 1.8% | |||||
|
Change Healthcare Holdings LLC Senior Secured 2017 Term Loan B, 1 Month USD LIBOR + 2.50% 3.50%,
3/1/2024 |
160,217,263 | 160,239,693 | |||
| HOME FURNISHINGS — 0.7% | |||||
| AI Aqua Merger Sub, Inc.: | |||||
|
Senior Secured 2021 1st Lien Delayed Draw Term Loan, 7/31/2028
(b) |
4,261,271 | 4,278,379 |
See accompanying notes to financial statements.
15
SPDR BLACKSTONE SENIOR LOAN
ETF
SCHEDULE OF
INVESTMENTS (continued)
December 31, 2021 (Unaudited)
| Security Description | Principal
Amount |
Value | |||
|
Senior Secured 2021 1st Lien Term Loan B, 1 Month USD LIBOR + 4.00% 4.50%,
7/31/2028 |
$ 60,081,264 | $ 60,322,491 | |||
| 64,600,870 | |||||
| HOTELS, RESTAURANTS & LEISURE — 4.1% | |||||
|
1011778 B.C. Unlimited Liability Co. Senior Secured Term Loan B4, 1 Month USD LIBOR + 1.75% 1.85%,
11/19/2026 |
2,992,366 | 2,956,832 | |||
|
Alterra Mountain Co. Senior Secured 2021 Series B-2 Consenting Term Loan, 1 Month USD LIBOR + 3.50% 4.00%,
8/17/2028 |
1,051,505 | 1,051,505 | |||
|
Caesars Resort Collection, LLC Senior Secured 2017 1st Lien Term Loan B, 1 Month USD LIBOR + 2.75% 2.85%,
12/23/2024 |
498,701 | 496,754 | |||
|
Golden Nugget, Inc. Senior Secured 2017 Incremental Term Loan B, 2 Month USD LIBOR + 2.50% 3.25%,
10/4/2023 |
91,567,063 | 91,150,433 | |||
|
Motion Finco S.A.R.L. Senior Secured USD Term Loan B1, 3 Month USD LIBOR + 3.25% 3.47%,
11/12/2026 |
90,827,929 | 89,051,789 | |||
|
Peraton Corp. Senior Secured Term Loan B, 1 Month USD LIBOR + 3.75% 4.50%,
2/1/2028 |
54,519,890 | 54,636,563 | |||
|
Recess Holdings, Inc. Senior Secured 2017 1st Lien Term Loan, 3 Month USD LIBOR + 3.75% 4.75%,
9/30/2024 |
20,260,165 | 20,203,133 | |||
|
Scientific Games International, Inc. Senior Secured 2018 Term Loan B5, 1 Month USD LIBOR + 2.75% 2.85%,
8/14/2024 |
14,399,196 | 14,369,965 | |||
|
Travel Leaders Group, LLC Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 4.00% 4.10%,
1/25/2024 |
28,701,893 | 26,331,117 | |||
| Travelport Finance (Luxembourg) S.A.R.L.: | |||||
|
Senior Secured 2020 Super Priority Term Loan, 3 Month USD LIBOR + 1.50% 3.50%,
2/28/2025 |
56,350,055 | 58,079,156 | |||
|
Senior Secured 2021 Consented Term Loan, 3 Month USD LIBOR + 1.75% 6.97%,
5/29/2026 |
13,662,131 | 11,414,710 | |||
| 369,741,957 | |||||
| HOUSEHOLD PRODUCTS — 0.3% | |||||
|
Champ Acquisition Corp. Senior Secured Term Loan, 6 Month USD LIBOR + 5.50% 5.66%,
12/19/2025 |
24,651,810 | 24,821,291 |
See accompanying notes to financial statements.
16
SPDR BLACKSTONE SENIOR LOAN
ETF
SCHEDULE OF
INVESTMENTS (continued)
December 31, 2021 (Unaudited)
| Security Description | Principal
Amount |
Value | |||
|
Reynolds Consumer Products, LLC Senior Secured Term Loan, 2/4/2027
(b) |
$ 3,551,083 | $ 3,536,808 | |||
| 28,358,099 | |||||
| INDEPENDENT POWER PRODUCERS & ENERGY TRADERS — 0.1% | |||||
|
Calpine Corp. Senior Secured 2020 Term Loan B5, 12/16/2027
(b) |
1,941,848 | 1,931,731 | |||
|
Vistra Operations Co., LLC Senior Secured 1st Lien Term Loan B3, 12/31/2025
(b) |
3,463,494 | 3,441,986 | |||
| 5,373,717 | |||||
| INDUSTRIAL CONGLOMERATES — 0.5% | |||||
|
Anticimex International AB Senior Secured 2021 USD Term Loan B1, 11/16/2028
(b) |
500,000 | 499,530 | |||
|
Anvil International, LLC Senior Secured 2019 1st Lien Term Loan, 1 Month USD LIBOR + 5% 5.11%,
5/28/2026 |
15,112,168 | 15,051,417 | |||
|
Fluid-Flow Products, Inc. Senior Secured Term Loan, 3 Month USD LIBOR + 3.75% 3.97%,
3/31/2028 |
7,759,194 | 7,749,495 | |||
|
Magenta Buyer LLC Senior Secured 2021 USD 2nd Lien Term Loan, 3 Month USD LIBOR + 8.25% 9.00%,
7/27/2029 |
17,916,667 | 17,843,925 | |||
| 41,144,367 | |||||
| INSURANCE — 1.3% | |||||
| Acrisure, LLC: | |||||
|
Senior Secured 2020 Term Loan B, 3 Month USD LIBOR + 3.50% 3.72%,
2/15/2027 |
11,432,496 | 11,323,887 | |||
|
Senior Secured 2021 First Lien Term Loan B, 3 Month USD LIBOR + 4.25% 4.75%,
2/15/2027 |
18,150,685 | 18,173,373 | |||
|
Senior Secured 2021 Incremental Term Loan B, 3 Month USD LIBOR + 3.75% 4.25%,
2/15/2027 |
3,486,250 | 3,486,250 | |||
|
Alliant Holdings Intermediate, LLC Senior Secured 2021 Term Loan B4, 1 Month USD LIBOR + 3.50% 4.00%,
11/6/2027 |
2,493,750 | 2,494,199 | |||
|
AmWINS Group, Inc. Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 2.25% 3.00%,
2/19/2028 |
3,217,352 | 3,197,581 | |||
| AssuredPartners, Inc.: | |||||
|
Senior Secured 2020 Term Loan B, 1 Month USD LIBOR + 3.50% 3.60%,
2/12/2027 |
4,542,772 | 4,514,698 |
See accompanying notes to financial statements.
17
SPDR BLACKSTONE SENIOR LOAN
ETF
SCHEDULE OF
INVESTMENTS (continued)
December 31, 2021 (Unaudited)
| Security Description | Principal
Amount |
Value | |||
|
Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 3.50% 4.00%,
2/12/2027 |
$ 31,578,053 | $ 31,573,158 | |||
|
Baldwin Risk Partners, LLC Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 3.50% 4.00%,
10/14/2027 |
4,084,031 | 4,068,716 | |||
|
Broadstreet Partners, Inc. Senior Secured 2020 Term Loan B, 1/27/2027
(b) |
3,451,005 | 3,412,371 | |||
| Hub International, Ltd.: | |||||
|
Senior Secured 2018 Term Loan B, 3 Month USD LIBOR + 2.75% 2.87%,
4/25/2025 |
14,033,403 | 13,889,911 | |||
|
Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 3.25% 4.00%,
4/25/2025 |
2,992,443 | 2,996,019 | |||
|
NFP Corp. Senior Secured 2020 Term Loan, 1 Month USD LIBOR + 3.25% 3.35%,
2/15/2027 |
15,831,892 | 15,603,122 | |||
|
Sedgwick Claims Management Services, Inc. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 3.25% 3.35%,
12/31/2025 |
4,208,964 | 4,181,353 | |||
| 118,914,638 | |||||
| INTERACTIVE MEDIA & SERVICES — 0.1% (c) | |||||
|
Go Daddy Operating Co., LLC Senior Secured 2017 Repriced Term Loan, 2/15/2024
(b) |
398,604 | 396,667 | |||
| Ivanti Software, Inc.: | |||||
|
Senior Secured 2020 Term Loan B, 3 Month USD LIBOR + 4.75% 5.75%,
12/1/2027 |
573,239 | 574,850 | |||
|
Senior Secured 2021 Add On Term Loan B, 3 Month USD LIBOR + 4.00% 4.75%,
12/1/2027 |
3,327,909 | 3,316,128 | |||
| 4,287,645 | |||||
| INTERNET & CATALOG RETAIL — 1.3% | |||||
|
Shutterfly, Inc. Senior Secured 2021 Term Loan, 3 Month USD LIBOR + 5.00% 5.75%,
9/25/2026 |
43,271,044 | 42,946,511 | |||
|
White Cap Buyer LLC Senior Secured Term Loan B, 1 Month USD LIBOR + 4.00% 4.50%,
10/19/2027 |
68,794,460 | 68,942,712 | |||
| 111,889,223 | |||||
| INTERNET SECURITY — 0.1% | |||||
|
Proofpoint, Inc. Senior Secured 2nd Lien Term Loan, 3 Month USD LIBOR + 6.25% 6.75%,
8/31/2029 |
5,000,000 | 5,068,750 |
See accompanying notes to financial statements.
18
SPDR BLACKSTONE SENIOR LOAN
ETF
SCHEDULE OF
INVESTMENTS (continued)
December 31, 2021 (Unaudited)
| Security Description | Principal
Amount |
Value | |||
| IT SERVICES — 0.8% | |||||
|
Access CIG, LLC Senior Secured 2018 1st Lien Term Loan, 3 Month USD LIBOR + 3.75% 3.84%,
2/27/2025 |
$ 5,331 | $ 5,305 | |||
|
Ahead DB Holdings, LLC Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 3.75% 4.50%,
10/18/2027 |
23,069,050 | 23,133,989 | |||
|
CoreLogic, Inc. Senior Secured Term Loan, 1 Month USD LIBOR + 3.50% 4.00%,
6/2/2028 |
37,549,675 | 37,568,450 | |||
|
TierPoint, LLC Senior Secured 2021 Term Loan, 1 Month USD LIBOR + 3.75% 4.50%,
5/5/2026 |
9,854,485 | 9,870,893 | |||
| 70,578,637 | |||||
| LASERS-SYST/COMPONENTS — 0.6% | |||||
|
II-VI, Inc. Senior Secured 2021 Bridge Term Loan B, 12/1/2028
(b) |
56,790,123 | 56,802,049 | |||
| LEISURE EQUIPMENT & PRODUCTS — 0.1% | |||||
|
Cinemark USA, Inc. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 1.75% 1.85%,
3/31/2025 |
12,145,171 | 11,687,784 | |||
| LEISURE INDUSTRY — 0.6% | |||||
|
Carnival Corporation Senior Secured 2021 Incremental Term Loan B, 6 Month USD LIBOR + 3.25% 4.00%,
10/18/2028 |
57,699,115 | 57,314,550 | |||
| LEISURE&REC/GAMES — 0.4% | |||||
|
AP Gaming I, LLC Senior Secured 2018 Incremental Term Loan, 3 Month USD LIBOR + 3.5% 4.50%,
2/15/2024 |
32,528,253 | 32,396,026 | |||
| LIFE SCIENCES TOOLS & SERVICES — 0.1% | |||||
|
eResearchTechnology, Inc. Senior Secured 2020 1st Lien Term Loan, 1 Month USD LIBOR + 4.50% 5.50%,
2/4/2027 |
12,289,095 | 12,346,300 | |||
| MACHINERY — 0.3% | |||||
|
American Trailer World Corp. Senior Secured Term Loan B, 1 Month USD LIBOR + 3.75% 4.50%,
3/3/2028 |
7,339,462 | 7,325,701 |
See accompanying notes to financial statements.
19
SPDR BLACKSTONE SENIOR LOAN
ETF
SCHEDULE OF
INVESTMENTS (continued)
December 31, 2021 (Unaudited)
| Security Description | Principal
Amount |
Value | |||
|
Engineered Machinery Holdings, Inc. Senior Secured 2021 USD Incremental Term Loan, 3 Month USD LIBOR + 3.75% 4.50%,
5/19/2028 |
$ 15,050,167 | $ 15,036,020 | |||
| Hillman Group, Inc.: | |||||
|
Senior Secured 2021 Delayed Draw Term Loan, 3 Month USD LIBOR + 2.75% 2.79%,
7/14/2028 |
1,100,592 | 1,098,253 | |||
|
Senior Secured 2021 Term Loan B1, 1 Month USD LIBOR + 2.75% 3.25%,
7/14/2028 |
558,849 | 557,661 | |||
|
Ingersoll-Rand Services Co. Senior Secured 2020 USD Spinco Term Loan, 3/1/2027
(b) |
3,504,203 | 3,470,370 | |||
|
Madison IAQ LLC Senior Secured Term Loan, 6 Month USD LIBOR + 3.25% 3.75%,
6/21/2028 |
3,595,646 | 3,597,139 | |||
| 31,085,144 | |||||
| MACHINERY-CONSTRUCTION & MINING — 0.5% | |||||
|
Brookfield WEC Holdings, Inc. Senior Secured 2021 Term Loan, 1 Month USD LIBOR + 2.75% 3.25%,
8/1/2025 |
1,496,222 | 1,487,177 | |||
|
Clear Channel Outdoor Holdings, Inc. Senior Secured Term Loan B, 3 Month USD LIBOR + 3.50% 3.63%,
8/21/2026 |
39,339,009 | 38,851,402 | |||
| 40,338,579 | |||||
| MACHINERY-FARM — 0.1% | |||||
|
ASP Blade Holdings, Inc. Senior Secured Initial Term Loan, 1 Month USD LIBOR + 4.00% 4.50%,
10/13/2028 |
7,000,000 | 7,008,750 | |||
|
Victory Buyer, LLC Senior Secured Term Loan, 11/19/2028
(b) |
4,241,379 | 4,244,030 | |||
| 11,252,780 | |||||
| MEDIA — 3.1% | |||||
|
Altice Financing SA Senior Secured 2017 USD Term Loan B, 3 Month USD LIBOR + 2.75% 2.87%,
7/15/2025 |
1,338,282 | 1,323,588 | |||
|
Charter Communications Operating, LLC Senior Secured 2019 Term Loan B2, 1 Month USD LIBOR + 1.75% 1.85%,
2/1/2027 |
4,089,541 | 4,055,659 | |||
| CSC Holdings, LLC: | |||||
|
Senior Secured 2017 Term Loan B1, 3 Month USD LIBOR + 2.25% 2.36%,
7/17/2025 |
19,246,971 | 18,982,325 | |||
|
Senior Secured 2018 Incremental Term Loan, 3 Month USD LIBOR + 2.25% 2.36%,
1/15/2026 |
976,830 | 965,597 |
See accompanying notes to financial statements.
20
SPDR BLACKSTONE SENIOR LOAN
ETF
SCHEDULE OF
INVESTMENTS (continued)
December 31, 2021 (Unaudited)
| Security Description | Principal
Amount |
Value | |||
|
Senior Secured 2019 Term Loan B5, 3 Month USD LIBOR + 2.50% 2.61%,
4/15/2027 |
$ 38,949,354 | $ 38,511,174 | |||
|
iHeartCommunications, Inc. Senior Secured 2020 Term Loan, 1 Month USD LIBOR + 3.00% 3.10%,
5/1/2026 |
6,472,768 | 6,436,941 | |||
| MH Sub I, LLC: | |||||
|
Senior Secured 2017 1st Lien Term Loan, 1 Month USD LIBOR + 3.50% 3.60%,
9/13/2024 |
1,994,792 | 1,987,690 | |||
|
Senior Secured 2020 Incremental Term Loan, 1 Month USD LIBOR + 3.75% 4.75%,
9/13/2024 |
67,328,326 | 67,552,866 | |||
|
Senior Secured 2021 2nd Lien Term Loan, 1 Month USD LIBOR + 6.25% 6.35%,
2/12/2029 |
23,868,141 | 24,076,987 | |||
|
Nexstar Broadcasting, Inc. Senior Secured 2019 Term Loan B4, 3 Month USD LIBOR + 2.50% 2.60%,
9/18/2026 |
3,000,000 | 2,998,140 | |||
|
Radiate Holdco, LLC Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 3.25% 4.00%,
9/25/2026 |
72,423,670 | 72,273,028 | |||
|
Telenet Financing USD, LLC Senior Secured 2020 USD Term Loan AR, 3 Month USD LIBOR + 2.00% 2.11%,
4/30/2028 |
5,500,000 | 5,411,312 | |||
|
Univision Communications Inc. Senior Secured 2021 First Lien Term Loan B, 1 Month USD LIBOR + 3.25% 4.00%,
3/15/2026 |
5,012 | 5,030 | |||
|
Univision Communications, Inc. Senior Secured Term Loan C5, 1 Month USD LIBOR + 2.75% 3.75%,
3/15/2024 |
2,554,758 | 2,558,743 | |||
|
UPC Financing Partnership Senior Secured 2021 USD Term Loan AX, 3 Month USD LIBOR + 3.00% 3.11%,
1/31/2029 |
1,961,071 | 1,956,777 | |||
|
Vertical US Newco, Inc. Senior Secured Term Loan B, 6 Month USD LIBOR + 3.50% 4.00%,
7/30/2027 |
4,488,750 | 4,497,481 | |||
|
Virgin Media Bristol, LLC Senior Secured USD Term Loan N, 3 Month USD LIBOR + 2.50% 2.61%,
1/31/2028 |
17,379,000 | 17,245,095 | |||
|
Ziggo Financing Partnership Senior Secured USD Term Loan I, 3 Month USD LIBOR + 2.50% 2.61%,
4/30/2028 |
7,764,167 | 7,691,378 | |||
| 278,529,811 |
See accompanying notes to financial statements.
21
SPDR BLACKSTONE SENIOR LOAN
ETF
SCHEDULE OF
INVESTMENTS (continued)
December 31, 2021 (Unaudited)
| Security Description | Principal
Amount |
Value | |||
| MEDICAL LABS&TESTING SRV — 0.5% | |||||
|
Electron BidCo, Inc. Senior Secured 2021 Term Loan, 3 Month USD LIBOR + 3.25% 3.75%,
11/1/2028 |
$ 12,035,919 | $ 12,021,958 | |||
|
U.S. Anesthesia Partners, Inc. Senior Secured 2021 Term Loan, 6 Month USD LIBOR + 4.25% 4.75%,
10/1/2028 |
36,512,077 | 36,468,810 | |||
| 48,490,768 | |||||
| MISCELLANEOUS MANUFACTUR — 0.2% | |||||
|
Hyperion Materials & Technologies, Inc. Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 4.50% 5.00%,
8/30/2028 |
11,511,134 | 11,544,747 | |||
| LTI Holdings, Inc.: | |||||
|
Senior Secured 2018 2nd Lien Term Loan, 1 Month USD LIBOR + 6.75% 6.85%,
9/6/2026 |
1,928,424 | 1,924,085 | |||
|
Senior Secured 2018 Add On 1st Lien Term Loan, 1 Month USD LIBOR + 3.50% 3.60%,
9/6/2025 |
498,711 | 493,587 | |||
| 13,962,419 | |||||
| MRI/MEDICAL DIAG IMAGING — 0.6% | |||||
|
Radiology Partners, Inc Senior Secured 2018 1st Lien Term Loan B, 3 Month USD LIBOR + 4.25% 4.36%,
7/9/2025 |
55,803,644 | 55,098,565 | |||
| OIL, GAS & CONSUMABLE FUELS — 3.3% | |||||
|
BCP Raptor, LLC Senior Secured Term Loan B, 1 Month USD LIBOR + 4.25% 5.25%,
6/24/2024 |
147,011,923 | 147,063,378 | |||
|
EG America LLC Senior Secured 2018 USD Term Loan, 3 Month USD LIBOR + 4.00% 4.22%,
2/7/2025 |
44,603,368 | 44,494,982 | |||
| EG Group Limited: | |||||
|
Senior Secured 2018 USD Term Loan B, 3 Month USD LIBOR + 4.00% 4.22%,
2/7/2025 |
8,890,328 | 8,868,724 | |||
|
Senior Secured 2021 Term Loan, 3 Month USD LIBOR + 4.25% 4.75%,
3/31/2026 |
8,286,084 | 8,353,408 | |||
|
Oryx Midstream Services Permian Basin LLC Senior Secured Term Loan B, 3 Month USD LIBOR + 3.25% 3.75%,
10/5/2028 |
12,918,052 | 12,852,493 | |||
|
Pacific Gas & Electric Co. Senior Secured 2020 Term Loan, 3 Month USD LIBOR + 3.00% 3.50%,
6/23/2025 |
74,182,308 | 73,533,213 | |||
| 295,166,198 |
See accompanying notes to financial statements.
22
SPDR BLACKSTONE SENIOR LOAN
ETF
SCHEDULE OF
INVESTMENTS (continued)
December 31, 2021 (Unaudited)
| Security Description | Principal
Amount |
Value | |||
| PHARMACEUTICALS — 0.5% | |||||
|
Amneal Pharmaceuticals LLC Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 3.50% 3.63%,
5/4/2025 |
$ 4,533,976 | $ 4,495,438 | |||
|
Elanco Animal Health, Inc. Senior Secured Term Loan B, 3 Month USD LIBOR + 1.75% 1.85%,
8/1/2027 |
5,460,807 | 5,397,243 | |||
|
Grifols Worldwide Operations USA, Inc. Senior Secured USD 2019 Term Loan B, 1 Month USD LIBOR + 2.00% 2.10%,
11/15/2027 |
471,021 | 464,923 | |||
|
Jazz Financing Lux SARL Senior Secured USD Term Loan, 1 Month USD LIBOR + 3.50% 4.00%,
5/5/2028 |
499,058 | 501,524 | |||
|
Padagis LLC Senior Secured Term Loan B, 3 Month USD LIBOR + 4.75% 5.25%,
7/6/2028 |
28,485,934 | 28,396,915 | |||
|
PetVet Care Centers, LLC Senior Secured 2021 Term Loan B3, 1 Month USD LIBOR + 3.50% 4.25%,
2/14/2025 |
1,994,898 | 1,997,142 | |||
| 41,253,185 | |||||
| PIPELINES — 1.0% | |||||
|
CQP Holdco LP Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 3.75% 4.25%,
6/5/2028 |
8,977,444 | 8,968,062 | |||
|
Lucid Energy Group II Borrower, LLC Senior Secured 2021 Term Loan, 3 Month USD LIBOR + 4.25% 5.00%,
11/24/2028 |
63,845,777 | 63,175,396 | |||
|
TransMontaigne Operating Company L.P. Senior Secured Term Loan B, 1 Month USD LIBOR + 3.50% 4.00%,
11/17/2028 |
17,184,210 | 17,280,872 | |||
| 89,424,330 | |||||
| PROFESSIONAL SERVICES — 0.5% | |||||
|
Dun & Bradstreet Corporation (The) Senior Secured Term Loan, 1 Month USD LIBOR + 3.25% 3.35%,
2/6/2026 |
2,493,703 | 2,486,583 | |||
|
KUEHG Corp. Senior Secured 2018 Incremental Term Loan, 3 Month USD LIBOR + 3.75% 4.75%,
2/21/2025 |
41,859,442 | 41,100,949 | |||
|
Trans Union, LLC Senior Secured 2021 Term Loan B6,
12/1/2028 |
500,000 | 499,375 |
See accompanying notes to financial statements.
23
SPDR BLACKSTONE SENIOR LOAN
ETF
SCHEDULE OF
INVESTMENTS (continued)
December 31, 2021 (Unaudited)
| Security Description | Principal
Amount |
Value | |||
|
WP CityMD Bidco, LLC Senior Secured 2021 1st Lien Term Loan B, 6 Month USD LIBOR + 3.25% 3.75%,
12/22/2028 |
$ 998,744 | $ 999,523 | |||
| 45,086,430 | |||||
| REAL ESTATE MANAGEMENT & DEVELOPMENT — 0.7% | |||||
|
Bright Bidco B.V. Senior Secured 2018 Term Loan B, 6 Month USD LIBOR + 3.50% 4.50%,
6/30/2024 |
75,530,283 | 58,532,193 | |||
| RETAIL-BUILDING PRODUCTS — 1.7% | |||||
|
LBM Acquisition LLC Senior Secured Term Loan B, 1 Month USD LIBOR + 3.75% 4.50%,
12/17/2027 |
136,867,242 | 135,851,687 | |||
|
Park River Holdings, Inc. Senior Secured Term Loan, 3 Month USD LIBOR + 3.25% 4.00%,
12/28/2027 |
6,107,435 | 6,059,706 | |||
|
Specialty Building Products Holdings, LLC Senior Secured 2021 Term Loan B, 10/15/2028
(b) |
8,771,930 | 8,763,728 | |||
| 150,675,121 | |||||
| RETAIL-CATALOG SHOPPING — 0.0% (c) | |||||
| Medical Solutions L.L.C.: | |||||
|
Senior Secured 2021 Delayed Draw Term Loan,
11/1/2028 |
218,880 | 218,919 | |||
|
Senior Secured 2021 First Lien Term Loan, 3 Month USD LIBOR + 3.50% 4.00%,
11/1/2028 |
2,889,843 | 2,890,363 | |||
| 3,109,282 | |||||
| RETAIL-RESTAURANTS — 0.9% | |||||
|
CT Technologies Intermediate Holdings, Inc. Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 4.25% 5.00%,
12/16/2025 |
31,117,892 | 31,176,238 | |||
| IRB Holding Corp.: | |||||
|
Senior Secured 2020 Fourth Amendment Incremental Term Loan, 3 Month USD LIBOR + 3.25% 4.25%,
12/15/2027 |
24,559,292 | 24,593,798 | |||
|
Senior Secured 2020 Term Loan B, 6 Month USD LIBOR + 2.75% 3.75%,
2/5/2025 |
11,927,424 | 11,924,025 | |||
|
Tacala, LLC Senior Secured 1st Lien Term Loan, 1 Month USD LIBOR + 3.50% 4.25%,
2/5/2027 |
8,538,490 | 8,534,092 | |||
| 76,228,153 |
See accompanying notes to financial statements.
24
SPDR BLACKSTONE SENIOR LOAN
ETF
SCHEDULE OF
INVESTMENTS (continued)
December 31, 2021 (Unaudited)
| Security Description | Principal
Amount |
Value | |||
| SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT — 0.1% | |||||
|
MKS Instruments, Inc. Senior Secured 2021 USD Term Loan, 10/21/2028
(b) |
$ 5,000,000 | $ 4,995,625 | |||
| SOFTWARE — 15.8% | |||||
| Applied Systems, Inc.: | |||||
|
Senior Secured 2017 1st Lien Term Loan, 3 Month USD LIBOR + 2.25% 3.25%,
9/19/2024 |
2,000,000 | 2,001,500 | |||
|
Senior Secured 2021 2nd Lien Term Loan, 3 Month USD LIBOR + 5.50% 6.25%,
9/19/2025 |
5,914,103 | 5,976,409 | |||
|
Apttus Corp. Senior Secured 2021 Term Loan, 3 Month USD LIBOR + 4.25% 5.00%,
5/8/2028 |
12,651,220 | 12,698,662 | |||
|
Athenahealth, Inc. Senior Secured 2021 Term Loan B1, 3 Month USD LIBOR + 4.25% 4.40%,
2/11/2026 |
58,881,826 | 58,962,788 | |||
| Banff Merger Sub, Inc.: | |||||
|
Senior Secured 2021 USD 2nd Lien Term Loan, 3 Month USD LIBOR + 5.50% 6.00%,
2/27/2026 |
43,500,065 | 43,998,358 | |||
|
Senior Secured 2021 USD Term Loan, 3 Month USD LIBOR + 3.75% 3.97%,
10/2/2025 |
35,158,849 | 34,983,055 | |||
|
CCC Intelligent Solutions, Inc. Senior Secured Term Loan B, 9/21/2028
(b) |
5,000,000 | 5,002,350 | |||
|
Cengage Learning, Inc. Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 4.75% 5.75%,
6/29/2026 |
106,137,879 | 106,563,492 | |||
| Cloudera, Inc.: | |||||
|
Senior Secured 2021 Second Lien Term Loan, 1 Month USD LIBOR + 6.00% 6.50%,
10/8/2029 |
20,579,950 | 20,631,400 | |||
|
Senior Secured 2021 Term Loan, 1 Month USD LIBOR + 3.75% 4.25%,
10/8/2028 |
49,715,481 | 49,645,631 | |||
|
ConnectWise, LLC Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 3.50% 4.00%,
9/29/2028 |
8,000,000 | 7,991,440 | |||
|
Cornerstone OnDemand, Inc. Senior Secured 2021 Term Loan, 3 Month USD LIBOR + 3.75% 4.25%,
10/16/2028 |
17,524,590 | 17,496,376 | |||
| DCert Buyer, Inc.: | |||||
|
Senior Secured 2019 Term Loan B, 1 Month USD LIBOR + 4.00% 4.10%,
10/16/2026 |
8,318,321 | 8,313,122 | |||
|
Senior Secured 2021 2nd Lien Term Loan, 1 Month USD LIBOR + 7.00% 7.10%,
2/19/2029 |
30,245,434 | 30,371,406 |
See accompanying notes to financial statements.
25
SPDR BLACKSTONE SENIOR LOAN
ETF
SCHEDULE OF
INVESTMENTS (continued)
December 31, 2021 (Unaudited)
| 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 |
$ 17,440,337 | $ 17,470,334 | |||
|
Ensono, LP Senior Secured 2021 Term Loan, 1 Month USD LIBOR + 4.00% 4.75%,
5/19/2028 |
33,274,252 | 33,291,554 | |||
| Epicor Software Corp.: | |||||
|
Senior Secured 2020 2nd Lien Term Loan, 1 Month USD LIBOR + 7.75% 8.75%,
7/31/2028 |
3,632,899 | 3,726,755 | |||
|
Senior Secured 2020 Term Loan, 1 Month USD LIBOR + 3.25% 4.00%,
7/30/2027 |
3,491,162 | 3,492,960 | |||
|
Finastra USA, Inc. Senior Secured USD 1st Lien Term Loan, 3 Month USD LIBOR + 3.50% 4.50%,
6/13/2024 |
79,993,289 | 79,743,310 | |||
|
Flexera Software LLC Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 3.75% 4.50%,
3/3/2028 |
25,826,552 | 25,876,785 | |||
|
Gigamon, Inc. Senior Secured 1st Lien Term Loan, 6 Month USD LIBOR + 3.75% 4.50%,
12/27/2024 |
1,546,614 | 1,549,762 | |||
|
Greeneden U.S. Holdings II, LLC Senior Secured 2020 USD Term Loan B4, 1 Month USD LIBOR + 4.00% 4.75%,
12/1/2027 |
78,730,701 | 79,099,948 | |||
|
Help/Systems Holdings, Inc Senior Secured 2021 Term Loan, 2 Month USD LIBOR + 4.00% 4.75%,
11/19/2026 |
73,770,719 | 73,663,014 | |||
|
Hyland Software, Inc. Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 3.50% 4.25%,
7/1/2024 |
2,992,268 | 3,007,229 | |||
|
Idera, Inc. Senior Secured 2021 Term Loan, 3 Month USD LIBOR + 3.75% 4.50%,
3/2/2028 |
61,627,111 | 61,656,076 | |||
|
I-Logic Technologies Bidco, Ltd. Senior Secured 2021 USD Term Loan B, 3 Month USD LIBOR + 4.00% 4.50%,
2/16/2028 |
2,304,315 | 2,315,422 | |||
| Imperva, Inc.: | |||||
|
Senior Secured 1st Lien Term Loan, 3 Month USD LIBOR + 4.00% 5.00%,
1/12/2026 |
25,444,401 | 25,442,365 | |||
|
Senior Secured 2nd Lien Term Loan, 3 Month USD LIBOR + 7.75% 8.75%,
1/11/2027 |
5,398,559 | 5,425,552 | |||
|
ION Trading Finance Limited Senior Secured 2021 USD Term Loan, 3 Month USD LIBOR + 4.75% 4.97%,
4/3/2028 |
20,695,306 | 20,775,811 |
See accompanying notes to financial statements.
26
SPDR BLACKSTONE SENIOR LOAN
ETF
SCHEDULE OF
INVESTMENTS (continued)
December 31, 2021 (Unaudited)
| Security Description | Principal
Amount |
Value | |||
| Ivanti Software, Inc.: | |||||
|
Senior Secured 2021 2nd Lien Term Loan, 3 Month USD LIBOR + 7.25% 7.75%,
12/1/2028 |
$ 14,677,836 | $ 14,714,604 | |||
|
Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 4.25% 5.00%,
12/1/2027 |
77,014,489 | 77,230,900 | |||
|
MA FinanceCo., LLC Senior Secured 2020 USD Term Loan B, 3 Month USD LIBOR + 4.25% 5.25%,
6/5/2025 |
10,084,586 | 10,242,208 | |||
|
MeridianLink, Inc. Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 3.00% 3.50%,
11/10/2028 |
512,500 | 512,661 | |||
| Mitchell International, Inc.: | |||||
|
Senior Secured 2021 2nd Lien Term Loan, 3 Month USD LIBOR + 6.50% 7.00%,
10/15/2029 |
31,677,381 | 31,938,719 | |||
|
Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 3.75% 4.25%,
10/15/2028 |
41,542,923 | 41,361,173 | |||
|
Navicure, Inc. Senior Secured 2019 Term Loan B, 1 Month USD LIBOR + 4.00% 4.10%,
10/22/2026 |
493,681 | 493,885 | |||
|
Polaris Newco LLC Senior Secured USD Term Loan B, 3 Month USD LIBOR + 4.00% 4.50%,
6/2/2028 |
96,819,392 | 96,935,091 | |||
| Project Boost Purchaser, LLC: | |||||
|
Senior Secured 2019 Term Loan B, 6/1/2026
(b) |
4,992,634 | 4,995,755 | |||
|
Senior Secured 2021 Incremental Term Loan, 1 Month USD LIBOR + 3.50% 4.00%,
5/30/2026 |
3,787,974 | 3,792,709 | |||
| Project Leopard Holdings, Inc.: | |||||
|
Senior Secured 2018 Term Loan, 3 Month USD LIBOR + 4.75% 5.75%,
7/5/2024 |
2,240,412 | 2,245,083 | |||
|
Senior Secured 2019 Term Loan, 3 Month USD LIBOR + 4.75% 5.75%,
7/7/2024 |
27,915,754 | 27,985,543 | |||
|
Project Ruby Ultimate Parent Corp. Senior Secured 2021 Term Loan, 1 Month USD LIBOR + 3.25% 4.00%,
3/3/2028 |
7,593,759 | 7,595,315 | |||
| Quest Software US Holdings, Inc.: | |||||
|
Senior Secured 2018 1st Lien Term Loan, 3 Month USD LIBOR + 4.25% 4.38%,
5/16/2025 |
20,636,543 | 20,644,385 | |||
|
Senior Secured 2018 2nd Lien Term Loan, 3 Month USD LIBOR + 8.25% 8.38%,
5/18/2026 |
6,386,053 | 6,394,707 | |||
|
RealPage, Inc. Senior Secured 1st Lien Term Loan, 1 Month USD LIBOR + 3.25% 3.75%,
4/24/2028 |
5,524,913 | 5,515,438 |
See accompanying notes to financial statements.
27
SPDR BLACKSTONE SENIOR LOAN
ETF
SCHEDULE OF
INVESTMENTS (continued)
December 31, 2021 (Unaudited)
| Security Description | Principal
Amount |
Value | |||
| Rocket Software, Inc.: | |||||
|
Senior Secured 2018 Term Loan, 1 Month USD LIBOR + 4.25% 4.35%,
11/28/2025 |
$ 11,039,448 | $ 10,994,628 | |||
|
Senior Secured 2021 USD Incremental Term Loan B, 1 Month USD LIBOR + 4.25% 4.75%,
11/28/2025 |
12,437,500 | 12,439,055 | |||
| Sabre GLBL, Inc.: | |||||
|
Senior Secured 2021 Term Loan B1, 1 Month USD LIBOR + 3.50% 4.00%,
12/17/2027 |
3,234,329 | 3,197,943 | |||
|
Senior Secured 2021 Term Loan B2, 1 Month USD LIBOR + 3.50% 4.00%,
12/17/2027 |
5,155,713 | 5,097,711 | |||
|
SolarWinds Holdings, Inc. Senior Secured 2018 Term Loan B, 2/5/2024
(b) |
2,318,476 | 2,290,017 | |||
|
Sophia, L.P. Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 3.50% 4.00%,
10/7/2027 |
1,974,874 | 1,976,602 | |||
|
Sovos Compliance, LLC Senior Secured 2021 Term Loan, 1 Month USD LIBOR + 4.50% 5.00%,
8/11/2028 |
10,681,687 | 10,722,598 | |||
|
SS&C Technologies Holdings, Inc. S.A.R.L. Senior Secured 2018 Term Loan B4, 4/16/2025
(b) |
3,661,850 | 3,625,250 | |||
|
SS&C Technologies, Inc. Senior Secured 2018 Term Loan B3, 4/16/2025
(b) |
4,599,760 | 4,553,785 | |||
|
Surf Holdings, LLC Senior Secured USD Term Loan, 3 Month USD LIBOR + 3.50% 3.69%,
3/5/2027 |
1,649 | 1,638 | |||
|
TPG VIII Elf Purchaser, LLC Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 3.50% 4.00%,
11/6/2028 |
2,456,893 | 2,460,886 | |||
|
Veritas US, Inc. Senior Secured 2021 USD Term Loan B, 3 Month USD LIBOR + 5.00% 6.00%,
9/1/2025 |
60,126,169 | 60,201,326 | |||
|
Virgin Pulse, Inc. Senior Secured 2021 Term Loan, 3 Month USD LIBOR + 4.00% 4.75%,
4/6/2028 |
17,106,437 | 16,921,088 | |||
| Vision Solutions, Inc.: | |||||
|
Senior Secured 2021 2nd Lien Term Loan, 4/23/2029
(b) |
3,000,000 | 3,004,695 | |||
|
Senior Secured 2021 Incremental Term Loan, 3 Month USD LIBOR + 4.00% 4.75%,
4/24/2028 |
73,092,555 | 73,092,555 | |||
|
Weld North Education, LLC Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 3.75% 4.25%,
12/21/2027 |
11,726,756 | 11,743,877 | |||
| 1,416,094,696 |
See accompanying notes to financial statements.
28
SPDR BLACKSTONE SENIOR LOAN
ETF
SCHEDULE OF
INVESTMENTS (continued)
December 31, 2021 (Unaudited)
| Security Description | Principal
Amount |
Value | |||
| SPECIALTY RETAIL — 2.3% | |||||
|
K-Mac Holdings Corp. Senior Secured 2021 Term Loan, 3 Month USD LIBOR + 3.50% 4.00%,
7/21/2028 |
$ 6,271,715 | $ 6,239,855 | |||
|
Michaels Companies, Inc. Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 4.25% 5.00%,
4/15/2028 |
47,130,426 | 46,785,431 | |||
|
Petco Health and Wellness Company, Inc. Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 3.25% 4.00%,
3/3/2028 |
7,058,517 | 7,059,046 | |||
|
PetSmart, Inc. Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 3.75% 4.50%,
2/11/2028 |
91,202,743 | 91,459,479 | |||
|
SRS Distribution, Inc. Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 3.75% 4.25%,
6/2/2028 |
50,279,340 | 50,241,128 | |||
| 201,784,939 | |||||
| STEEL-PRODUCERS — 0.1% | |||||
|
Phoenix Services International, LLC Senior Secured Term Loan, 1 Month USD LIBOR + 3.75% 4.75%,
3/1/2025 |
8,930,902 | 8,883,434 | |||
| TELECOM SERVICES — 0.5% | |||||
|
SBA Senior Finance II, LLC Senior Secured 2018 Term Loan B, 4/11/2025
(b) |
46,579,328 | 46,135,427 | |||
| TELECOMMUNICATION EQUIP — 0.8% | |||||
|
Altice France S.A. Senior Secured 2018 Term Loan B13, 2 Month USD LIBOR + 4.00% 4.12%,
8/14/2026 |
8,603,308 | 8,573,196 | |||
|
Cyxtera DC Holdings, Inc. Senior Secured Term Loan B, 6 Month USD LIBOR + 3.00% 4.00%,
5/1/2024 |
22,937,217 | 22,746,723 | |||
|
Delta TopCo, Inc. Senior Secured 2020 Term Loan B, 3 Month USD LIBOR + 3.75% 4.50%,
12/1/2027 |
21,705,504 | 21,755,970 | |||
|
MLN US HoldCo LLC Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 4.50% 4.60%,
11/30/2025 |
15,511,453 | 15,028,504 | |||
| 68,104,393 |
See accompanying notes to financial statements.
29
SPDR BLACKSTONE SENIOR LOAN
ETF
SCHEDULE OF
INVESTMENTS (continued)
December 31, 2021 (Unaudited)
| Security Description | Principal
Amount |
Value | |||
| TELEVISION — 0.0% (c) | |||||
|
Gray Television, Inc. Senior Secured 2018 Term Loan C, 1/2/2026
(b) |
$ 680,789 | $ 676,602 | |||
| TEXTILES, APPAREL & LUXURY GOODS — 1.0% | |||||
|
Varsity Brands, Inc. Senior Secured 2017 Term Loan B, 1 Month USD LIBOR + 3.50% 4.50%,
12/15/2024 |
92,739,423 | 91,174,445 | |||
| TRADING COMPANIES & DISTRIBUTORS — 0.3% | |||||
|
Foundation Building Materials Holding Co. LLC Senior Secured 2021 Term Loan, 2/3/2028
(b) |
2,197,436 | 2,185,075 | |||
| Pro Mach Group, Inc.: | |||||
|
Senior Secured 2021 Delayed Draw Term Loan, 3 Month USD LIBOR + 4.00% 5.00%,
8/31/2028 |
223,464 | 224,519 | |||
|
Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 4.00% 5.00%,
8/31/2028 |
22,925,778 | 23,033,988 | |||
| 25,443,582 | |||||
| TRANSPORT-AIR FREIGHT — 0.9% | |||||
|
Kestrel Bidco, Inc. Senior Secured Term Loan B, 6 Month USD LIBOR + 3.00% 4.00%,
12/11/2026 |
80,663,195 | 78,541,350 | |||
| TRANSPORT-SERVICES — 0.3% | |||||
|
LaserShip, Inc. Senior Secured 2021 Term Loan, 3 Month USD LIBOR + 4.50% 5.25%,
5/7/2028 |
25,810,313 | 25,870,838 | |||
| WEB HOSTING/DESIGN — 1.3% | |||||
|
Endure Digital, Inc. Senior Secured Term Loan, 3 Month USD LIBOR + 3.50% 4.25%,
2/10/2028 |
117,765,075 | 116,937,187 | |||
|
TOTAL SENIOR FLOATING RATE LOANS (Cost
$8,182,970,620) |
8,196,929,414 |
See accompanying notes to financial statements.
30
SPDR BLACKSTONE SENIOR LOAN
ETF
SCHEDULE OF
INVESTMENTS (continued)
December 31, 2021 (Unaudited)
| Security Description | Shares | Value | |||
| WARRANTS — 0.0% (c) | |||||
| HEALTH CARE EQUIPMENT & SUPPLIES — 0.0% (c) | |||||
|
Carestream Health Holdings (expiring 12/31/49) (d) (e) (Cost
$0) |
372 | $ 1,033,394 | |||
|
TOTAL WARRANTS (Cost
$0) |
1,033,394 |
| Principal
Amount |
|||
| CORPORATE BONDS & NOTES — 6.6% | |||
| AEROSPACE & DEFENSE — 0.0% (c) | |||
|
TransDigm, Inc. 5.50%,
11/15/2027 |
$ 1,000,000 | 1,030,600 | |
| AIRLINES — 0.8% | |||
|
American Airlines, Inc. 11.75%, 7/15/2025
(f) |
60,030,000 | 74,632,898 | |
| AUTO PARTS & EQUIPMENT — 0.3% | |||
|
GC EOS Buyer, Inc. 9.25%, 8/1/2025
(f) |
21,000,000 | 22,487,010 | |
| COMMERCIAL SERVICES — 1.0% | |||
|
Allied Universal Holdco LLC/Allied Universal Finance Corp. 6.00%, 6/1/2029
(f) |
2,817,000 | 2,739,166 | |
|
Prime Security Services Borrower LLC/Prime Finance, Inc. 6.25%, 1/15/2028
(f) |
13,235,000 | 13,818,002 | |
|
Team Health Holdings, Inc. 6.38%, 2/1/2025
(f) |
73,734,000 | 69,396,966 | |
|
WASH Multifamily Acquisition, Inc. 5.75%, 4/15/2026
(f) |
4,400,000 | 4,623,036 | |
| 90,577,170 | |||
| COMPUTERS — 0.0% (c) | |||
|
Diebold Nixdorf, Inc. 9.38%, 7/15/2025
(f) |
3,488,000 | 3,748,379 | |
| DIVERSIFIED FINANCIAL SERVICES — 0.2% | |||
|
AG Issuer LLC 6.25%, 3/1/2028
(f) |
3,827,000 | 3,977,975 | |
|
NFP Corp. 6.88%, 8/15/2028
(f) |
10,484,000 | 10,525,202 | |
| 14,503,177 |
See accompanying notes to financial statements.
31
SPDR BLACKSTONE SENIOR LOAN
ETF
SCHEDULE OF
INVESTMENTS (continued)
December 31, 2021 (Unaudited)
| Security Description | Principal
Amount |
Value | |||
| ENTERTAINMENT — 1.4% | |||||
|
AMC Entertainment Holdings, Inc. 10.00%, 6/15/2026
(f) |
$ 78,513,000 | $ 77,606,959 | |||
| Cinemark USA, Inc.: | |||||
|
5.25%, 7/15/2028
(f) |
19,000,000 | 18,526,140 | |||
|
5.88%, 3/15/2026
(f) |
27,974,000 | 28,255,139 | |||
| 124,388,238 | |||||
| HEALTH CARE SERVICES — 0.1% | |||||
|
Envision Helthcare Corp. 8.75%, 10/15/2026
(f) |
13,588,000 | 7,828,047 | |||
|
US Acute Care Solutions LLC 6.38%, 3/1/2026
(f) |
3,788,000 | 3,963,839 | |||
| 11,791,886 | |||||
| INTERNET — 0.3% | |||||
|
Endure Digital, Inc. 6.00%, 2/15/2029
(f) |
21,000,000 | 19,596,990 | |||
|
Photo Holdings Merger Sub, Inc. 8.50%, 10/1/2026
(f) |
7,042,000 | 7,327,412 | |||
| 26,924,402 | |||||
| MEDIA — 0.6% | |||||
|
Altice Financing SA 5.75%, 8/15/2029
(f) |
24,548,000 | 24,284,354 | |||
|
Audacy Capital Corp. 6.75%, 3/31/2029
(f) |
2,500,000 | 2,442,775 | |||
|
Directv Financing LLC/Directv Financing Co-Obligor, Inc. 5.88%, 8/15/2027
(f) |
5,952,000 | 6,097,110 | |||
| DISH DBS Corp.: | |||||
|
5.13%,
6/1/2029 |
9,533,000 | 8,673,886 | |||
|
7.38%,
7/1/2028 |
6,500,000 | 6,599,060 | |||
|
LCPR Senior Secured Financing DAC 6.75%, 10/15/2027
(f) |
4,822,000 | 5,103,605 | |||
| 53,200,790 | |||||
| PACKAGING & CONTAINERS — 0.1% | |||||
|
Altium Packaging LLC 1 Month USD LIBOR + 1.75% 3.25%,
2/3/2028 |
3,290 | 3,261 | |||
|
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. 5.25%, 8/15/2027
(f) |
2,963,000 | 2,992,097 |
See accompanying notes to financial statements.
32
SPDR BLACKSTONE SENIOR LOAN
ETF
SCHEDULE OF
INVESTMENTS (continued)
December 31, 2021 (Unaudited)
| Security Description | Principal
Amount |
Value | |||
|
Intelligent Packaging, Ltd. Finco, Inc./Intelligent Packaging, Ltd. Co-Issuer LLC 6.00%, 9/15/2028
(f) |
$ 1,442,000 | $ 1,486,183 | |||
| 4,481,541 | |||||
| RETAIL — 0.9% | |||||
|
eG Global Finance PLC 6.75%, 2/7/2025
(f) |
25,937,000 | 26,226,975 | |||
|
Foundation Building Materials, Inc. 6.00%, 3/1/2029
(f) |
13,692,000 | 13,425,417 | |||
|
LBM Acquisition LLC 6.25%, 1/15/2029
(f) |
12,810,000 | 12,760,041 | |||
|
PetSmart, Inc./PetSmart Finance Corp. 7.75%, 2/15/2029
(f) |
10,248,000 | 11,187,844 | |||
|
SRS Distribution, Inc. 6.13%, 7/1/2029
(f) |
16,095,000 | 16,394,689 | |||
|
White Cap Buyer LLC 6.88%, 10/15/2028
(f) |
3,783,000 | 3,960,120 | |||
| 83,955,086 | |||||
| SOFTWARE — 0.2% | |||||
|
Veritas US, Inc./Veritas Bermuda, Ltd. 7.50%, 9/1/2025
(f) |
19,444,000 | 20,184,039 | |||
| TELECOMMUNICATIONS — 0.7% | |||||
|
Altice France Holding SA 6.00%, 2/15/2028
(f) |
6,598,000 | 6,310,855 | |||
| Altice France SA: | |||||
|
5.50%, 1/15/2028
(f) |
5,000,000 | 4,956,600 | |||
|
5.50%, 10/15/2029
(f) |
23,728,000 | 23,490,720 | |||
|
CommScope Technologies LLC 6.00%, 6/15/2025
(f) |
10,000,000 | 10,010,900 | |||
|
CommScope, Inc. 7.13%, 7/1/2028
(f) |
2,325,000 | 2,296,263 | |||
|
Plantronics, Inc. 4.75%, 3/1/2029
(f) |
11,251,000 | 10,726,028 | |||
| 57,791,366 | |||||
|
TOTAL CORPORATE BONDS & NOTES (Cost
$606,475,059) |
589,696,582 |
See
accompanying notes to financial statements.
33
SPDR BLACKSTONE SENIOR LOAN
ETF
SCHEDULE OF
INVESTMENTS (continued)
December 31, 2021 (Unaudited)
| Security Description | Shares | Value | |||
| SHORT-TERM INVESTMENT — 10.4% | |||||
|
State Street Institutional U.S. Government Money Market Fund, Class G Shares 0.03% (g) (h) (Cost
$928,384,340) |
928,384,340 | $ 928,384,340 | |||
|
TOTAL INVESTMENTS — 108.7% (Cost
$9,717,830,019) |
9,716,043,730 | ||||
|
LIABILITIES IN EXCESS OF OTHER ASSETS —
(8.7)% |
(774,524,646) | ||||
|
NET ASSETS —
100.0% |
$ 8,941,519,084 |
| (a) | The rate shown represents the rate at December 31, 2021. |
| (b) | Position is unsettled. Contract rate was not determined at December 31, 2021 and does not take effect until settlement date. Maturity date is not finalized until settlement date. |
| (c) | Amount is less than 0.05% of net assets. |
| (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 December 31, 2021, total aggregate fair value of the security is $1,033,394, 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 6.4% of net assets as of December 31, 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 December 31, 2021 are shown in the Affiliate Table below. |
| (h) | The rate shown is the annualized seven-day yield at December 31, 2021. |
| LIBOR | London Interbank Offered Rate |
| LP | Limited Partnership |
| PIK | Payment in Kind |
At December 31, 2021, the
Fund had unfunded loan commitments of $11,914,213, which could be extended at the option of the borrowers, pursuant to the following loan agreements:
| Borrower | Unfunded
Loan Commitment ($) |
Value ($) | Unrealized
Appreciation/(Depreciation) ($) | |||
| National Mentor Holdings, Inc. | 1,796,357 | 1,779,516 | (16,841) | |||
| New Arclin U.S. Holding Corp. | 1,676,165 | 1,676,224 | 59 | |||
| Hillman Group Inc. | 875,927 | 874,066 | (1,861) |
See accompanying notes to financial statements.
34
SPDR BLACKSTONE SENIOR LOAN
ETF
SCHEDULE OF
INVESTMENTS (continued)
December 31, 2021 (Unaudited)
| Borrower | Unfunded
Loan Commitment ($) |
Value ($) | Unrealized
Appreciation/(Depreciation) ($) | |||
| VT Topco, Inc. | 2,159,510 | 2,159,963 | 453 | |||
| Sovos Compliance, LLC | 1,844,629 | 1,851,694 | 7,065 | |||
| Trident TPI Holdings, Inc. | 569,777 | 570,222 | 445 | |||
| Medical Solutions L.L.C. | 331,566 | 331,626 | 60 | |||
| Pro Mach Group, Inc. | 2,660,282 | 2,672,838 | 12,556 | |||
| $11,914,213 | $11,916,149 | $1,936 |
The following table summarizes the
value of the Fund's investments according to the fair value hierarchy as of December 31, 2021.
| Description | Level
1 – Quoted Prices |
Level
2 – Other Significant Observable Inputs |
Level
3 – Significant Unobservable Inputs |
Total | ||||
| ASSETS: | ||||||||
| INVESTMENTS: | ||||||||
|
Corporate Bonds &
Notes |
$ — | $ 589,696,582 | $ — | $ 589,696,582 | ||||
|
Senior Floating Rate
Loans |
— | 8,196,929,414 | — | 8,196,929,414 | ||||
|
Warrants |
— | — | 1,033,394 | 1,033,394 | ||||
|
Short-Term
Investment |
928,384,340 | — | — | 928,384,340 | ||||
|
TOTAL
INVESTMENTS |
$928,384,340 | $8,786,625,996 | $1,033,394 | $9,716,043,730 | ||||
| LIABILITIES: | ||||||||
| OTHER FINANCIAL INSTRUMENTS: | ||||||||
|
Unfunded
Loans(a) |
— | 1,936 | — | 1,936 | ||||
|
TOTAL OTHER FINANCIAL
INSTRUMENTS: |
$ — | $ 1,936 | $ — | $ 1,936 |
| (a) | Unfunded loan commitments are valued at unrealized appreciation (depreciation). |
See accompanying notes to financial statements.
35
SPDR BLACKSTONE SENIOR LOAN
ETF
SCHEDULE OF
INVESTMENTS (continued)
December 31, 2021 (Unaudited)
Affiliate Table
| Number
of Shares Held at 6/30/21 |
Value
at 6/30/21 |
Cost
of Purchases |
Proceeds
from Shares Sold |
Realized
Gain (Loss) |
Change
in Unrealized Appreciation/ Depreciation |
Number
of Shares Held at 12/31/21 |
Value
at 12/31/21 |
Dividend
Income | |||||||||
|
State Street Institutional U.S. Government Money Market Fund, Class G
Shares |
1,121,627,625 | $1,121,627,625 | $2,264,565,361 | $2,457,808,646 | $— | $— | 928,384,340 | $928,384,340 | $130,751 | ||||||||
See accompanying notes to financial statements.
36
SSGA ACTIVE TRUST
STATEMENT OF ASSETS AND LIABILITIES
December 31, 2021 (Unaudited)
| SPDR Blackstone Senior Loan ETF | |
| ASSETS | |
|
Investments in unaffiliated issuers, at
value |
$ 8,787,659,390 |
|
Investments in affiliated issuers, at
value |
928,384,340 |
|
Total
Investments |
9,716,043,730 |
|
Receivable for investments
sold |
701,231,808 |
|
Receivable for fund shares
sold |
4,556,442 |
|
Dividends receivable — affiliated
issuers |
15,922 |
|
Interest receivable — unaffiliated
issuers |
53,324,460 |
|
Unrealized appreciation on unfunded loan
commitments |
1,936 |
|
TOTAL ASSETS
|
10,475,174,298 |
| LIABILITIES | |
|
Due to
custodian |
31,945,713 |
|
Payable for investments
purchased |
1,496,567,186 |
|
Advisory fee
payable |
5,132,206 |
|
Trustees’ fees and expenses
payable |
10,109 |
|
TOTAL LIABILITIES
|
1,533,655,214 |
|
NET ASSETS
|
$ 8,941,519,084 |
| NET ASSETS CONSIST OF: | |
|
Paid-in
Capital |
$ 9,180,441,207 |
|
Total distributable earnings
(loss) |
(238,922,123) |
|
NET ASSETS
|
$ 8,941,519,084 |
| NET ASSET VALUE PER SHARE | |
|
Net asset value per
share |
$ 45.59 |
|
Shares outstanding (unlimited amount authorized, no par
value) |
196,150,000 |
| COST OF INVESTMENTS: | |
|
Investments in unaffiliated
issuers |
$ 8,789,445,679 |
|
Investments in affiliated
issuers |
928,384,340 |
|
Total cost of
investments |
$ 9,717,830,019 |
See accompanying notes to financial statements.
37
SSGA ACTIVE TRUST
STATEMENT OF OPERATIONS
For the Six Months Ended December 31, 2021 (Unaudited)
| SPDR Blackstone Senior Loan ETF | |
| INVESTMENT INCOME | |
|
Interest income — unaffiliated
issuers |
$192,875,125 |
|
Dividend income — affiliated
issuers |
130,751 |
|
TOTAL INVESTMENT
INCOME |
193,005,876 |
| EXPENSES | |
|
Advisory
fee |
26,789,733 |
|
Trustees’ fees and
expenses |
45,556 |
|
Miscellaneous
expenses |
88 |
|
TOTAL
EXPENSES |
26,835,377 |
|
NET INVESTMENT INCOME
(LOSS) |
$166,170,499 |
| REALIZED AND UNREALIZED GAIN (LOSS) | |
| Net realized gain (loss) on: | |
|
Investments — unaffiliated
issuers |
16,983,655 |
| Net change in unrealized appreciation/depreciation on: | |
|
Investments — unaffiliated
issuers |
(98,691,080) |
|
Unfunded loan
commitments |
(7,808) |
|
Net change in unrealized
appreciation/depreciation |
(98,698,888) |
|
NET REALIZED AND UNREALIZED GAIN
(LOSS) |
(81,715,233) |
|
NET INCREASE (DECREASE) IN NET ASSETS FROM
OPERATIONS |
$ 84,455,266 |
See accompanying notes to financial statements.
38
SSGA ACTIVE TRUST
STATEMENTS OF CHANGES IN NET ASSETS
| SPDR Blackstone Senior Loan ETF | |||
| Six
Months Ended 12/31/21 (Unaudited) |
Year
Ended 6/30/21 | ||
| INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
|
Net investment income
(loss) |
$ 166,170,499 | $ 126,602,637 | |
|
Net realized gain
(loss) |
16,983,655 | 8,848,268 | |
|
Net change in unrealized
appreciation/depreciation |
(98,698,888) | 136,248,747 | |
|
Net increase (decrease) in net assets resulting from
operations |
84,455,266 | 271,699,652 | |
|
Net equalization credits and
charges |
(968,043) | 3,900,949 | |
|
Distributions to
shareholders |
(196,630,500) | (123,950,000) | |
| FROM BENEFICIAL INTEREST TRANSACTIONS: | |||
|
Proceeds from shares
sold |
2,960,620,986 | 4,849,884,181 | |
|
Cost of shares
redeemed |
(201,328,321) | (138,069,393) | |
|
Net income
equalization |
968,043 | (3,900,949) | |
|
Other
Capital |
205,443 | 1,457,881 | |
|
Net increase (decrease) in net assets from beneficial interest
transactions |
2,760,466,151 | 4,709,371,720 | |
|
Contribution from Affiliate (Note
4) |
— | 79,391 | |
|
Net increase (decrease) in net assets during the
period |
2,647,322,874 | 4,861,101,712 | |
|
Net assets at beginning of
period |
6,294,196,210 | 1,433,094,498 | |
|
NET ASSETS AT END OF
PERIOD |
$8,941,519,084 | $6,294,196,210 | |
| SHARES OF BENEFICIAL INTEREST: | |||
|
Shares
sold |
64,600,000 | 105,950,000 | |
|
Shares
redeemed |
(4,400,000) | (3,050,000) | |
|
Net increase (decrease) from share
transactions |
60,200,000 | 102,900,000 | |
See accompanying notes to financial statements.
39
SSGA ACTIVE TRUST
FINANCIAL HIGHLIGHTS
Selected data for a share outstanding throughout each period
| SPDR Blackstone Senior Loan ETF | |||||||||||
| Six
Months Ended 12/31/21 (Unaudited) |
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 |
$ 46.30 | $ 43.36 | $ 46.25 | $ 47.04 | $ 47.41 | $ 46.64 | |||||
| Income (loss) from investment operations: | |||||||||||
|
Net investment income (loss)
(b) |
1.00 | 1.98 | 2.34 | 2.48 | 2.04 | 1.85 | |||||
|
Net realized and unrealized gain (loss)
(c) |
(0.51) | 3.02 | (3.06) | (0.86) | (0.50) | 0.73 | |||||
|
Total from investment
operations |
0.49 | 5.00 | (0.72) | 1.62 | 1.54 | 2.58 | |||||
|
Net equalization credits and charges
(b) |
(0.01) | 0.06 | (0.04) | (0.03) | 0.04 | 0.05 | |||||
|
Contribution from Affiliate (Note
4) |
— | 0.00(d) | 0.01 | — | — | — | |||||
|
Other capital
(b) |
0.00(d) | 0.02 | 0.21 | 0.09 | 0.02 | 0.02 | |||||
| Distributions to shareholders from: | |||||||||||
|
Net investment
income |
(1.19) | (2.14) | (2.35) | (2.47) | (1.97) | (1.88) | |||||
|
Net asset value, end of
period |
$ 45.59 | $ 46.30 | $ 43.36 | $ 46.25 | $ 47.04 | $ 47.41 | |||||
|
Total return
(e) |
1.03% | 11.97%(f) | (1.23)%(f) | 3.68% | 3.43% | 5.77% | |||||
| Ratios and Supplemental Data: | |||||||||||
|
Net assets, end of period (in
000s) |
$8,941,519 | $6,294,196 | $1,433,094 | $2,222,400 | $3,189,624 | $1,820,505 | |||||
| Ratios to average net assets: | |||||||||||
|
Total
expenses |
0.70%(g) | 0.70% | 0.70% | 0.70% | 0.70% | 0.70% | |||||
|
Net investment income
(loss) |
4.34%(g) | 4.31% | 5.17% | 5.33% | 4.30% | 3.91% | |||||
|
Portfolio turnover
rate |
57%(h) | 176% | 195%(i) | 124%(i) | 90%(i) | 68%(i) | |||||
| (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 period. |
| (c) | Amounts shown in this caption for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period because of the timing of sales and repurchases of Fund shares in relation to fluctuating market values for the Fund. |
| (d) | Amount is less than $0.005 per share. |
| (e) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates of each distribution. Total returns for periods of less than one year are not annualized. Broker commission charges are not included in this calculation. |
| (f) | 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) | Annualized. |
| (h) | Not annualized. |
| (i) | Portfolio turnover rate is from the the affiliated Portfolio prior to the discontinuance of the master feeder structure. |
See accompanying notes to financial statements.
40
SSGA ACTIVE TRUST
NOTES TO FINANCIAL STATEMENTS
December 31, 2021 (Unaudited)
1. Organization
SSGA Active Trust (the “Trust”), a Massachusetts
business trust registered under the Investment Company Act of 1940, as amended (“1940 Act”), is an open-end management investment company.
As of December 31, 2021, the Trust consists of twelve (12)
series, each of which represents a separate series of beneficial interest in the Trust. The Declaration of Trust permits the Board of Trustees of the Trust (the “Board”) to authorize the issuance of an unlimited number of shares of
beneficial interest with no par value. The financial statements herein relate only to the SPDR Blackstone 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 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.
41
SSGA ACTIVE TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
December 31, 2021 (Unaudited)
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 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
42
SSGA ACTIVE TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
December 31, 2021 (Unaudited)
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 December 31, 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 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.
43
SSGA ACTIVE TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
December 31, 2021 (Unaudited)
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.
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, 2022. 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
44
SSGA ACTIVE TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
December 31, 2021 (Unaudited)
terminated prior to October 31, 2022 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 Trustees, who are not "interested persons" of the Trust, as defined in the 1940 Act ("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.
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 December 31, 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.
5. Trustees’ Fees
The fees and expenses of the 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.
45
SSGA ACTIVE TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
December 31, 2021 (Unaudited)
6. Investment Transactions
Purchases and sales of investments (excluding in-kind
transactions and short term investments) for the period ended December 31, 2021, were as follows:
| Purchases | Sales | ||
|
SPDR Blackstone Senior Loan
ETF |
$6,971,725,453 | $4,322,986,681 |
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.
46
SSGA ACTIVE TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
December 31, 2021 (Unaudited)
As of December 31, 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 |
$9,731,781,594 | $43,114,639 | $58,850,567 | $(15,735,928) |
9. Line of
Credit
The Fund and other affiliated funds (each a
“Participant” and, collectively, the “Participants”) participate in a $1.1 billion 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 $900 million of the total credit facility. This agreement expires in October 2022 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 1.00% plus the
greater of the New York Fed Bank Rate and the one-month SOFR Rate. Prior to October 7, 2021 the Fund had exclusive access to $300 million of a $500 million revolving credit facility and interest was calculated at a rate per annum equal to the sum of
1.25% plus the New York Fed Bank Rate.
The Fund has no
outstanding loans as of December 31, 2021.
Effective
January 5, 2022, the Fund also has exclusive access to a $500 million uncommitted line of credit with State Street that may be used solely for temporary or emergency purposes, including to temporarily finance the redemption of shares or for other
temporary and emergency purposes consistent with the current investment objectives and investment restrictions of the Fund.
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.
47
SSGA ACTIVE TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
December 31, 2021 (Unaudited)
Foreign and Emerging Markets Risk
Investing in foreign markets involves risks and considerations
not typically associated with investing in the U.S. Foreign securities may be subject to risk of loss because of government regulation, economic, political and social instability in the countries in which the 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.
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.
48
SSGA ACTIVE TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
December 31, 2021 (Unaudited)
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 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.
49
SSGA ACTIVE TRUST
OTHER INFORMATION
December 31, 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 July 1, 2021 to December 31, 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.
50
SSGA ACTIVE TRUST
OTHER
INFORMATION (continued)
December 31, 2021 (Unaudited)
| SPDR Blackstone Senior Loan ETF | |
|
Annualized Expense
Ratio |
0.70% |
| Actual: | |
|
Ending Account
Value |
$1,010.30 |
|
Expenses Paid During
Period(a) |
3.55 |
| Hypothetical (assuming a 5% return before expenses): | |
|
Ending Account
Value |
1,021.70 |
|
Expenses Paid During
Period(a) |
3.57 |
| (a) | Expenses are equal to the Fund's annualized net expense ratio multiplied by the average account value of the period, multiplied by 184, then divided by 365. |
51
SSGA ACTIVE TRUST
OTHER
INFORMATION (continued)
December 31, 2021 (Unaudited)
Liquidity Risk Management Program
Pursuant to Rule 22e-4 under the 1940 Act, the Fund has
adopted a liquidity risk management program (the "Program"). The Program's principal objectives include assessing, managing and periodically reviewing the Fund's liquidity risk, based on factors specific to the circumstances of the Fund. Liquidity
risk is defined as the risk that a Fund could not meet redemption requests without significant dilution of remaining investors' interests in the Fund.
SSGA FM has been designated by the Board to administer the
Fund's Program. During the fiscal year, SSGA FM provided the Board with a report addressing the operations of the Program and assessing its adequacy and the effectiveness of the Program's implementation for the period September 2020 through June
2021, including:
| • | the Program supported the Fund's ability to honor redemption requests timely; |
| • | the Program supported SSGA FM's management of the Fund's liquidity profile, including during periods of market volatility and net redemptions; |
| • | no material liquidity issues were identified during the period; |
| • | there were no material changes to the Program during the period; |
| • | the implementation of the Program was effective to manage the Fund's liquidity risk; and |
| • | the Program operated adequately during the period. |
There can be no assurance that the Program will achieve its
objectives in the future. Please refer to your Fund's prospectus for more information regarding the Fund's exposure to liquidity risk and other principal risks to which an investment in the Fund may be subject.
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 https://www.ssga.com/spdrs.
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.
52
SSGA ACTIVE TRUST
OTHER
INFORMATION (continued)
December 31, 2021 (Unaudited)
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 https://www.ssga.com/spdrs.
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 https://www.ssga.com/spdrs. The Fund’s schedules of investments are available upon request, without charge, by calling 1-866-787-2257 (toll free).
53
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 https://www.ssga.com/spdrs. 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 https://www.ssga.com/spdrs. Please read the prospectus carefully before you invest.
(b) Not applicable.
Item 2. Code of Ethics.
Not applicable to this filing; this Form N-CSR is a Semi-Annual Report.
Item 3. Audit Committee Financial Expert.
Not applicable to this filing; this Form N-CSR is a Semi-Annual Report.
Item 4. Principal Accountant Fees and Services.
Not applicable to this filing; this Form N-CSR is a Semi-Annual Report.
Item 5. Audit Committees of Listed Registrants.
Not applicable to this filing; this Form N-CSR is a Semi-Annual Report.
Item 6. Investments.
| (a) | Schedules of Investments are included as part of the reports 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) Not applicable to the registrant.
(a)(3) Not applicable to the registrant.
(a)(4) Not applicable.
| (b) |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934, as amended, and the Investment Company Act of 1940, as amended, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
| SSGA Active Trust | ||
| By: | /s/ Ellen M. Needham | |
| Ellen M. Needham | ||
| President and Principal Executive Officer | ||
| Date: | March 9, 2022 | |
Pursuant to the requirements of the Securities Exchange Act of 1934, as amended, and the Investment Company Act of 1940, as amended, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
| By: | /s/ Ellen M. Needham | |
| Ellen M. Needham | ||
| President and Principal Executive Officer | ||
| Date: | March 9, 2022 | |
| By: | /s/ Bruce S. Rosenberg | |
| Bruce S. Rosenberg | ||
| Treasurer and Principal Financial Officer | ||
| Date: | March 9, 2022 | |