SSGA ACTIVE TRUST
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED
SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: 811-22542
SSGA ACTIVE TRUST
(Exact name of registrant as specified in charter)
One Iron
Street, Boston, Massachusetts 02210
(Address of principal executive offices) (zip code)
Sean OMalley, Esq.
Senior Vice President and General Counsel
c/o SSGA Funds Management, Inc.
One Iron Street
Boston,
Massachusetts 02210
(Name and address of agent for service)
Copy to:
W.
John McGuire, Esq.
Morgan, Lewis & Bockius LLP
1111 Pennsylvania Avenue, NW
Washington, DC 20004
Registrants telephone number, including area code: (617) 664-1465
Date of fiscal year end: June 30
Date of reporting period: December 31, 2022
Item 1. Reports to Shareholders.
(a) The Reports to Shareholders are attached herewith.
Semi-Annual Report
December 31, 2022
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 |
SPDR
Nuveen Municipal Bond ESG ETF |
SPDR
SSGA Fixed Income Sector Rotation ETF |
SPDR
SSGA US Sector Rotation ETF |
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)
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]
SPDR SSGA
Multi-Asset Real Return ETF
Portfolio Statistics
(Unaudited)
Top Five Holdings as of
December 31, 2022
|
|
|
|
|
Description
|
%
of Net Assets |
|
|
SPDR
S&P Global Natural Resources ETF |
26.6%
|
|
|
SPDR
S&P Global Infrastructure ETF |
24.9
|
|
|
Invesco
Optimum Yield Diversified Commodity Strategy No. K-1 ETF |
21.7
|
|
|
SPDR
Bloomberg 1-10 Year TIPS ETF |
10.2
|
|
|
The
Energy Select Sector SPDR Fund |
5.7
|
|
|
TOTAL
|
89.1%
|
|
(The five largest holdings are subject to
change, and there are no guarantees the Fund will continue to remain invested in any particular company.)
Asset Allocation as of December 31,
2022
|
|
|
|
|
|
%
of Net Assets |
|
|
Natural
Resources |
29.6%
|
|
|
International
Equity |
25.2
|
|
|
Commodities
|
21.7
|
|
|
Inflation
Linked |
10.2
|
|
|
Domestic
Equity |
5.7
|
|
|
Real
Estate |
2.5
|
|
|
International
Fixed Income |
2.4
|
|
|
Short
Term Investments |
9.8
|
|
|
Liabilities
in Excess of Other Assets |
(7.1)
|
|
|
TOTAL
|
100.0%
|
|
(The Fund's asset allocation is expressed as
a percentage of net assets and may change over time.)
See accompanying notes to financial statements.
1
SPDR SSGA
Income Allocation ETF
Portfolio Statistics (Unaudited)
Top Five Holdings as of December 31,
2022
|
|
|
|
|
Description
|
%
of Net Assets |
|
|
SPDR
Portfolio Long Term Treasury ETF |
15.7%
|
|
|
SPDR
S&P International Dividend ETF |
12.9
|
|
|
SPDR
Bloomberg Emerging Markets Local Bond ETF |
12.1
|
|
|
SPDR
Blackstone Senior Loan ETF |
10.1
|
|
|
SPDR
Bloomberg High Yield Bond ETF |
9.0
|
|
|
TOTAL
|
59.8%
|
|
(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,
2022
|
|
|
|
|
|
%
of Net Assets |
|
|
Domestic
Fixed Income |
42.3%
|
|
|
International
Equity |
20.9
|
|
|
International
Fixed Income |
17.1
|
|
|
Domestic
Equity |
14.5
|
|
|
Inflation
Linked |
3.0
|
|
|
Real
Estate |
2.0
|
|
|
Short
Term Investments |
8.0
|
|
|
Liabilities
in Excess of Other Assets |
(7.8)
|
|
|
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.
2
SPDR SSGA
Global Allocation ETF
Portfolio Statistics (Unaudited)
Top Five Holdings as of December 31,
2022
|
|
|
|
|
Description
|
%
of Net Assets |
|
|
SPDR
Portfolio Developed World ex-US ETF |
18.9%
|
|
|
SPDR
S&P 500 ETF Trust |
13.0
|
|
|
SPDR
Portfolio Aggregate Bond ETF |
12.0
|
|
|
SPDR
Bloomberg 1-10 Year TIPS ETF |
6.0
|
|
|
Vanguard
FTSE Pacific ETF |
5.0
|
|
|
TOTAL
|
54.9%
|
|
(The five largest holdings are subject to
change, and there are no guarantees the Fund will continue to remain invested in any particular company.)
Asset Allocation as of December 31,
2022
|
|
|
|
|
|
%
of Net Assets |
|
|
International
Equity |
35.9%
|
|
|
Domestic
Fixed Income |
23.5
|
|
|
Domestic
Equity |
22.0
|
|
|
International
Fixed Income |
6.0
|
|
|
Inflation
Linked |
6.0
|
|
|
Commodities
|
3.1
|
|
|
Real
Estate |
1.0
|
|
|
Short
Term Investments |
21.5
|
|
|
Liabilities
in Excess of Other Assets |
(19.0)
|
|
|
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.
3
SPDR SSGA
Ultra Short Term Bond ETF
Portfolio Statistics (Unaudited)
Top Five Holdings as of December 31,
2022
|
|
|
|
|
Description
|
%
of Net Assets |
|
|
U.S.
Treasury Bill Zero Coupon, 1/10/2023 |
15.6%
|
|
|
U.S.
Treasury Bill Zero Coupon, 1/5/2023 |
7.2
|
|
|
U.S.
Treasury Notes 0.25% 9/30/2023 |
6.5
|
|
|
Ford
Credit Floorplan Master Owner Trust ABS 4.82% 9/15/2025 |
2.1
|
|
|
Ford
Credit Floorplan Master Owner Trust 2.44% 9/15/2026 |
1.9
|
|
|
TOTAL
|
33.3%
|
|
(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,
2022
|
|
|
|
|
|
%
of Net Assets |
|
|
Corporate
Bonds & Notes |
51.0%
|
|
|
U.S.
Treasury Obligations |
29.3
|
|
|
Asset-Backed
Securities |
6.8
|
|
|
Commercial
Mortgage Backed Securities |
2.9
|
|
|
Mortgage-Backed
Securities |
2.7
|
|
|
Short-Term
Investment |
6.3
|
|
|
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.
4
SPDR Loomis
Sayles Opportunistic Bond ETF
Portfolio Statistics
(Unaudited)
Top Five Holdings as of
December 31, 2022
|
|
|
|
|
Description
|
%
of Net Assets |
|
|
OneMain
Direct Auto Receivables Trust ABS 0.87% 7/14/2028 |
1.7%
|
|
|
Credit
Suisse AG 4.75% 8/9/2024 |
1.5
|
|
|
UniCredit
SpA 7.30% 4/2/2034 |
1.4
|
|
|
HSBC
Holdings PLC 8.11% 11/3/2033 |
1.3
|
|
|
HSBC
Holdings PLC 4.18% 12/9/2025 |
1.2
|
|
|
TOTAL
|
7.1%
|
|
(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,
2022
|
|
|
|
|
|
%
of Net Assets |
|
|
Asset-Backed
Securities |
4.6%
|
|
|
Commercial
Mortgage Backed Securities |
0.3
|
|
|
Banks
|
20.1
|
|
|
Internet
|
4.2
|
|
|
Insurance
|
4.1
|
|
|
Media
|
4.1
|
|
|
Commercial
Services |
3.7
|
|
|
Retail
|
3.6
|
|
|
Electric
|
3.5
|
|
|
Auto
Manufacturers |
3.3
|
|
|
Oil
& Gas |
2.9
|
|
|
Telecommunications
|
2.8
|
|
|
Diversified
Financial Services |
2.7
|
|
|
Investment
Company Security |
2.7
|
|
|
Pipelines
|
2.4
|
|
|
Chemicals
|
2.2
|
|
|
Semiconductors
|
2.0
|
|
|
Commercial
Mortgage-Backed Securities |
2.0
|
|
|
Airlines
|
1.7
|
|
|
Real
Estate Investment Trusts |
1.6
|
|
|
Software
|
1.4
|
|
|
Aerospace
& Defense |
1.4
|
|
|
Food
|
1.3
|
|
|
Entertainment
|
1.2
|
|
|
Beverages
|
1.2
|
|
|
Lodging
|
1.1
|
|
|
Home
Builders |
1.0
|
|
|
Mining
|
1.0
|
|
|
Oil
& Gas Services |
1.0
|
|
|
Health
Care Services |
0.9
|
|
|
Computers
|
0.8
|
|
|
Pharmaceuticals
|
0.8
|
|
|
Leisure
Time |
0.8
|
|
|
Iron/Steel
|
0.7
|
|
|
Building
Materials |
0.7
|
|
|
Packaging
& Containers |
0.6
|
|
|
Energy-Alternate
Sources |
0.6
|
|
|
Advertising
|
0.6
|
|
|
Health
Care Products |
0.5
|
|
|
Engineering
& Construction |
0.4
|
|
|
Biotechnology
|
0.4
|
|
|
Electronics
|
0.3
|
|
|
Machinery,
Construction & Mining |
0.3
|
|
|
Forest
Products & Paper |
0.3
|
|
|
Transportation
|
0.3
|
|
|
Home
Furnishings |
0.3
|
|
|
Coal
|
0.3
|
|
|
Miscellaneous
Manufacturer |
0.2
|
|
|
Construction
Materials |
0.2
|
|
See accompanying notes to financial statements.
5
SPDR Loomis
Sayles Opportunistic Bond ETF
Portfolio Statistics
(Unaudited) (continued)
|
|
|
|
|
|
%
of Net Assets |
|
|
Electrical
Components & Equipment |
0.2%
|
|
|
Cosmetics/Personal
Care |
0.1
|
|
|
Auto
Parts & Equipment |
0.1
|
|
|
Food
Service |
0.1
|
|
|
Machinery-Diversified
|
0.1
|
|
|
Environmental
Control |
0.1
|
|
|
Gas
|
0.0
|
|
|
Other
Assets in Excess of Liabilities |
4.2
|
|
|
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.
6
SPDR Nuveen
Municipal Bond ETF
Portfolio Statistics (Unaudited)
Top Five Holdings as of December 31,
2022
|
|
|
|
|
Description
|
%
of Net Assets |
|
|
New
Jersey Economic Development Authority Revenue |
2.7%
|
|
|
State
of Florida Department of Transportation |
2.6
|
|
|
City
of New York, NY, General Obligation |
2.5
|
|
|
Medford
Hospital Facilities Authority Revenue |
2.5
|
|
|
New
Mexico Hospital Equipment Loan Council |
2.5
|
|
|
TOTAL
|
12.8%
|
|
(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,
2022
|
|
|
|
|
|
%
of Net Assets |
|
|
Municipal
Bonds & Notes |
92.5%
|
|
|
Short-Term
Investment |
3.6
|
|
|
Other
Assets in Excess of Liabilities |
3.9
|
|
|
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.
7
SPDR Nuveen
Municipal Bond ESG ETF
Portfolio Statistics (Unaudited)
Top Five Holdings as of December 31,
2022
|
|
|
|
|
Description
|
%
of Net Assets |
|
|
Massachusetts
Clean Water Trust |
2.4%
|
|
|
Energy
Northwest, WA, Revenue Class A |
2.4
|
|
|
City
of Charlotte NC Water & Sewer System Revenue |
2.3
|
|
|
California,
State General Obligation |
2.2
|
|
|
Medford
Hospital Facilities Authority |
2.2
|
|
|
TOTAL
|
11.5%
|
|
(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,
2022
|
|
|
|
|
|
%
of Net Assets |
|
|
Municipal
Bonds & Notes |
93.2%
|
|
|
Short-Term
Investment |
3.4
|
|
|
Other
Assets in Excess of Liabilities |
3.4
|
|
|
TOTAL
|
100.0%
|
|
(The Fund's asset allocation is expressed as
a percentage of net assets and may change over time.)
See accompanying notes to financial statements.
8
SPDR SSGA
Fixed Income Sector Rotation ETF
Portfolio Statistics
(Unaudited)
Top Five Holdings as of
December 31, 2022
|
|
|
|
|
Description
|
%
of Net Assets |
|
|
SPDR
Portfolio Mortgage Backed Bond ETF |
29.5%
|
|
|
SPDR
Portfolio Intermediate Term Treasury ETF |
28.9
|
|
|
SPDR
Portfolio Intermediate Term Corporate Bond ETF |
15.0
|
|
|
SPDR
Portfolio Long Term Treasury ETF |
14.1
|
|
|
SPDR
Portfolio Long Term Corporate Bond ETF |
6.8
|
|
|
TOTAL
|
94.3%
|
|
(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,
2022
|
|
|
|
|
|
%
of Net Assets |
|
|
Domestic
Fixed Income |
99.8%
|
|
|
Short
Term Investments |
18.2
|
|
|
Liabilities
in Excess of Other Assets |
(18.0)
|
|
|
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.
9
SPDR SSGA
US Sector Rotation ETF
Portfolio Statistics (Unaudited)
Top Five Holdings as of December 31,
2022
|
|
|
|
|
Description
|
%
of Net Assets |
|
|
The
Financial Select Sector SPDR Fund |
20.8%
|
|
|
The
Technology Select Sector SPDR Fund |
18.2
|
|
|
The
Consumer Staples Select Sector SPDR Fund |
15.5
|
|
|
The
Health Care Select Sector SPDR Fund |
15.1
|
|
|
The
Industrial Select Sector SPDR Fund |
9.6
|
|
|
TOTAL
|
79.2%
|
|
(The five largest holdings are subject to
change, and there are no guarantees the Fund will continue to remain invested in any particular company.)
Asset Allocation as of December 31,
2022
|
|
|
|
|
|
%
of Net Assets |
|
|
Domestic
Equity |
99.6%
|
|
|
Short
Term Investments |
26.6
|
|
|
Liabilities
in Excess of Other Assets |
(26.2)
|
|
|
TOTAL
|
100.0%
|
|
(The Fund's asset allocation is expressed as
a percentage of net assets and may change over time.)
See accompanying notes to financial statements.
10
SPDR
DoubleLine Emerging Markets Fixed Income ETF
Portfolio Statistics
(Unaudited)
Top Five Holdings as of
December 31, 2022
|
|
|
|
|
Description
|
%
of Net Assets |
|
|
Minejesa
Capital B.V. 5.63% 8/10/2037 |
3.0%
|
|
|
Galaxy
Pipeline Assets Bidco, Ltd. 2.16% 3/31/2034 |
2.7
|
|
|
Chile
Electricity PEC SpA Zero Coupon, 1/25/2028 |
2.7
|
|
|
Temasek
Financial I Ltd. 1.00% 10/6/2030 |
2.4
|
|
|
Dominican
Republic International Bond 4.88% 9/23/2032 |
2.3
|
|
|
TOTAL
|
13.1%
|
|
(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,
2022
|
|
|
|
|
|
%
of Net Assets |
|
|
Corporate
Bonds & Notes |
69.3%
|
|
|
Foreign
Government Obligations |
29.1
|
|
|
Short-Term
Investment |
0.2
|
|
|
Other
Assets in Excess of Liabilities |
1.4
|
|
|
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.
11
SPDR
DoubleLine Short Duration Total Return Tactical ETF
Portfolio
Statistics (Unaudited)
Top Five
Holdings as of December 31, 2022
|
|
|
|
|
Description
|
%
of Net Assets |
|
|
U.S.
Treasury Bill 4.12% 2/9/2023 |
17.2%
|
|
|
U.S.
Treasury Notes 4.25% 10/15/2025 |
7.1
|
|
|
U.S.
Treasury Notes 3.00% 7/15/2025 |
3.8
|
|
|
Citigroup
Mortgage Loan Trust CMO 3.59% 7/25/2037 |
1.9
|
|
|
Luminent
Mortgage Trust CMO 4.71% 11/25/2036 |
1.8
|
|
|
TOTAL
|
31.8%
|
|
(The five largest holdings are subject to
change, and there are no guarantees the Fund will continue to remain invested in any particular company.)
Portfolio Composition as of December 31,
2022
|
|
|
|
|
|
%
of Net Assets |
|
|
U.S.
Treasury Obligations |
28.1%
|
|
|
Asset-Backed
Securities |
23.0
|
|
|
Corporate
Bonds & Notes |
14.9
|
|
|
Mortgage-Backed
Securities |
10.3
|
|
|
U.S.
Government Agency Obligations |
7.1
|
|
|
Senior
Floating Rate Loans |
6.3
|
|
|
Commercial
Mortgage Backed Securities |
5.6
|
|
|
Foreign
Government Obligations |
0.5
|
|
|
Short-Term
Investment |
3.6
|
|
|
Other
Assets in Excess of Liabilities |
0.6
|
|
|
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.
12
SPDR
DoubleLine Total Return Tactical ETF
Portfolio Statistics
(Unaudited)
Top Five Holdings as of
December 31, 2022
|
|
|
|
|
Description
|
%
of Net Assets |
|
|
U.S.
Treasury Notes 4.13% 11/15/2032 |
12.3%
|
|
|
U.S.
Treasury Bonds 3.00% 8/15/2052 |
7.0
|
|
|
U.S.
Treasury Bonds 4.00% 11/15/2052 |
5.2
|
|
|
Federal
Home Loan Mortgage Corp. CMO, REMIC 4.00% 7/15/2044 |
1.2
|
|
|
Securitized
Asset-Backed Receivables LLC Trust 4.57% 5/25/2037 |
1.2
|
|
|
TOTAL
|
26.9%
|
|
(The five largest holdings are subject to
change, and there are no guarantees the Fund will continue to remain invested in any particular company.)
Industry Breakdown as of December 31,
2022
|
|
|
|
|
|
%
of Net Assets |
|
|
U.S.
Treasury Obligations |
28.2%
|
|
|
U.S.
Government Agency Obligations |
26.8
|
|
|
Asset-Backed
Securities |
10.7
|
|
|
Mortgage-Backed
Securities |
9.9
|
|
|
Commercial
Mortgage Backed Securities |
4.9
|
|
|
Foreign
Government Obligations |
0.8
|
|
|
Banks
|
1.9
|
|
|
Electric
|
0.8
|
|
|
Oil
& Gas |
0.8
|
|
|
Diversified
Financial Services |
0.7
|
|
|
Retail
|
0.7
|
|
|
Telecommunications
|
0.6
|
|
|
Commercial
Services |
0.6
|
|
|
Pipelines
|
0.6
|
|
|
Software
|
0.5
|
|
|
Media
|
0.5
|
|
|
Health
Care Services |
0.5
|
|
|
Insurance
|
0.4
|
|
|
Real
Estate Investment Trusts |
0.4
|
|
|
Chemicals
|
0.4
|
|
|
Internet
|
0.3
|
|
|
Pharmaceuticals
|
0.3
|
|
|
Food
|
0.3
|
|
|
Entertainment
|
0.3
|
|
|
Mining
|
0.2
|
|
|
Semiconductors
|
0.2
|
|
|
Packaging
& Containers |
0.2
|
|
|
Beverages
|
0.2
|
|
|
Electronics
|
0.2
|
|
|
Aerospace
& Defense |
0.2
|
|
|
Transportation
|
0.2
|
|
|
Auto
Manufacturers |
0.2
|
|
|
Miscellaneous
Manufacturer |
0.1
|
|
|
Leisure
Time |
0.1
|
|
|
Lodging
|
0.1
|
|
|
Building
Materials |
0.1
|
|
|
Agriculture
|
0.1
|
|
|
Airlines
|
0.1
|
|
|
Machinery-Diversified
|
0.1
|
|
|
Biotechnology
|
0.1
|
|
|
Forest
Products & Paper |
0.1
|
|
|
Advertising
|
0.1
|
|
|
Iron/Steel
|
0.1
|
|
|
Water
|
0.1
|
|
|
IT
Services |
0.1
|
|
|
Investment
Company Security |
0.1
|
|
|
Oil
& Gas Services |
0.1
|
|
|
Construction
Materials |
0.1
|
|
|
Auto
Parts & Equipment |
0.1
|
|
See accompanying notes to financial statements.
13
SPDR
DoubleLine Total Return Tactical ETF
Portfolio Statistics
(Unaudited) (continued)
|
|
|
|
|
|
%
of Net Assets |
|
|
Computers
|
0.1%
|
|
|
Home
Builders |
0.1
|
|
|
Health
Care Products |
0.1
|
|
|
Environmental
Control |
0.0*
|
|
|
Household
Products & Wares |
0.0*
|
|
|
Energy-Alternate
Sources |
0.0*
|
|
|
Cosmetics/Personal
Care |
0.0*
|
|
|
Engineering
& Construction |
0.0*
|
|
|
Distribution
& Wholesale |
0.0*
|
|
|
Housewares
|
0.0*
|
|
|
Metal
Fabricate & Hardware |
0.0*
|
|
|
Coal
|
0.0*
|
|
|
Trucking
& Leasing |
0.0*
|
|
|
Real
Estate |
0.0*
|
|
|
Update
Category Library |
0.0*
|
|
|
Household
Products |
0.0*
|
|
|
Electrical
Components & Equipment |
0.0*
|
|
|
Home
Furnishings |
0.0*
|
|
|
Hand
& Machine Tools |
0.0*
|
|
|
Short-Term
Investment |
3.9
|
|
|
Other
Assets in Excess of Liabilities |
0.6
|
|
|
TOTAL
|
100.0%
|
|
*
|
Amount
shown represents less than 0.05% of net assets. |
|
(The Fund's portfolio composition is
expressed as a percentage of net assets and may change over time.)
See accompanying notes to financial statements.
14
SPDR SSGA
MULTI-ASSET REAL RETURN ETF
SCHEDULE OF INVESTMENTS
December 31, 2022 (Unaudited)
Security
Description |
|
|
Shares
|
|
Value
|
MUTUAL
FUNDS AND EXCHANGE TRADED PRODUCTS — 97.3% |
|
|
|
COMMODITIES
— 21.7% |
|
Invesco Optimum Yield Diversified Commodity Strategy No. K-1
ETF
|
|
|
9,303,192
|
|
$
137,501,178 |
DOMESTIC
EQUITY — 5.7% |
|
The Energy Select Sector SPDR Fund
(a)(b)
|
|
|
412,441
|
|
36,076,214
|
INFLATION
LINKED — 10.2% |
|
SPDR Bloomberg 1-10 Year TIPS ETF
(a)
|
|
|
3,484,996
|
|
64,298,176
|
INTERNATIONAL
EQUITY — 25.2% |
|
SPDR S&P Global Infrastructure ETF
(a)(b)
|
|
|
3,003,846
|
|
157,461,607
|
VanEck Vectors Agribusiness ETF
(b)
|
|
|
18,497
|
|
1,587,783
|
|
|
|
|
|
159,049,390
|
INTERNATIONAL
FIXED INCOME — 2.4% |
|
SPDR FTSE International Government Inflation-Protected Bond ETF
(a)
|
|
|
372,365
|
|
15,341,438
|
NATURAL
RESOURCES — 29.6% |
|
SPDR S&P Global Natural Resources ETF
(a)(b)
|
|
|
2,953,956
|
|
168,434,571
|
SPDR S&P Metals & Mining ETF
(a)(b)
|
|
|
374,553
|
|
18,656,485
|
|
|
|
|
|
187,091,056
|
REAL
ESTATE — 2.5% |
|
SPDR Dow Jones International Real Estate ETF
(a)(b)
|
|
|
111,178
|
|
2,976,235
|
SPDR Dow Jones REIT ETF
(a)(b)
|
|
|
145,604
|
|
12,689,389
|
|
|
|
|
|
15,665,624
|
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS (Cost
$638,663,056)
|
|
615,023,076
|
|
Security
Description |
|
|
Shares
|
|
Value
|
SHORT-TERM
INVESTMENTS — 9.8% |
|
|
|
State Street Institutional U.S. Government Money Market Fund, Class G Shares 4.16%
(c)(d)
|
|
|
16,786,567
|
|
$
16,786,567 |
State Street Navigator Securities Lending Portfolio II
(e)(f)
|
|
|
45,511,787
|
|
45,511,787
|
TOTAL SHORT-TERM INVESTMENTS (Cost
$62,298,354)
|
|
|
|
|
$
62,298,354 |
TOTAL INVESTMENTS — 107.1% (Cost
$700,961,410)
|
|
|
|
|
677,321,430
|
LIABILITIES IN EXCESS OF OTHER ASSETS —
(7.1)%
|
|
|
|
|
(45,177,130)
|
NET ASSETS —
100.0%
|
|
|
|
|
$
632,144,300 |
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, 2022 are shown in the Affiliate Table below. |
(b)
|
All
or a portion of the shares of the security are on loan at December 31, 2022. |
(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, 2022 are shown in the Affiliate Table below. |
(d)
|
The
rate shown is the annualized seven-day yield at December 31, 2022. |
(e)
|
The
Fund invested in an affiliated entity. Amounts related to these transactions during the period ended December 31, 2022 are shown in the Affiliate Table below. |
(f)
|
Investment
of cash collateral for securities loaned. |
The following table summarizes the value of the
Fund's investments according to the fair value hierarchy as of December 31, 2022.
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
|
|
$615,023,076
|
|
$—
|
|
$—
|
|
$615,023,076
|
Short-Term
Investments
|
|
62,298,354
|
|
—
|
|
—
|
|
62,298,354
|
TOTAL
INVESTMENTS
|
|
$677,321,430
|
|
$—
|
|
$—
|
|
$677,321,430
|
See accompanying notes to financial statements.
15
SPDR SSGA
MULTI-ASSET REAL RETURN ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2022 (Unaudited)
Affiliate Table
|
Number
of Shares Held at 6/30/22 |
|
Value
at 6/30/22 |
|
Cost
of Purchases |
|
Proceeds
from Shares Sold |
|
Realized
Gain (Loss) |
|
Change
in Unrealized Appreciation/ Depreciation |
|
Number
of Shares Held at 12/31/22 |
|
Value
at 12/31/22 |
|
Dividend
Income |
SPDR Bloomberg 1-10 Year TIPS
ETF
|
2,036,829
|
|
$
39,636,692 |
|
$
36,841,600 |
|
$
9,707,435 |
|
$
(391,075) |
|
$
(2,081,606) |
|
3,484,996
|
|
$
64,298,176 |
|
$1,196,217
|
SPDR Dow Jones International Real Estate
ETF
|
90,476
|
|
2,553,233
|
|
1,081,690
|
|
555,201
|
|
(28,988)
|
|
(74,499)
|
|
111,178
|
|
2,976,235
|
|
61,748
|
SPDR Dow Jones REIT
ETF
|
369,583
|
|
35,139,952
|
|
8,166,857
|
|
28,924,158
|
|
(4,672,066)
|
|
2,978,804
|
|
145,604
|
|
12,689,389
|
|
354,888
|
SPDR FTSE International Government Inflation-Protected Bond
ETF
|
55,737
|
|
2,521,542
|
|
14,162,368
|
|
611,855
|
|
(14,293)
|
|
(716,324)
|
|
372,365
|
|
15,341,438
|
|
228,842
|
SPDR S&P Global Infrastructure
ETF
|
2,215,734
|
|
118,408,825
|
|
69,513,960
|
|
28,665,470
|
|
(1,004,621)
|
|
(791,087)
|
|
3,003,846
|
|
157,461,607
|
|
2,546,399
|
SPDR S&P Global Natural Resources
ETF
|
2,278,511
|
|
118,687,638
|
|
65,537,108
|
|
27,085,429
|
|
(1,145,852)
|
|
12,441,106
|
|
2,953,956
|
|
168,434,571
|
|
3,757,015
|
SPDR S&P Metals & Mining
ETF
|
293,310
|
|
12,729,654
|
|
8,370,879
|
|
4,540,795
|
|
152,938
|
|
1,943,809
|
|
374,553
|
|
18,656,485
|
|
189,593
|
State Street Institutional U.S. Government Money Market Fund, Class G
Shares
|
8,773,651
|
|
8,773,651
|
|
48,685,151
|
|
40,672,235
|
|
—
|
|
—
|
|
16,786,567
|
|
16,786,567
|
|
453,357
|
State Street Navigator Securities Lending Portfolio
II
|
48,571,637
|
|
48,571,637
|
|
610,131,893
|
|
613,191,743
|
|
—
|
|
—
|
|
45,511,787
|
|
45,511,787
|
|
112,604
|
The Energy Select Sector SPDR
Fund
|
271,581
|
|
19,420,757
|
|
21,048,397
|
|
9,466,348
|
|
863,972
|
|
4,209,436
|
|
412,441
|
|
36,076,214
|
|
597,541
|
Total
|
|
|
$406,443,581
|
|
$883,539,903
|
|
$763,420,669
|
|
$(6,239,985)
|
|
$17,909,639
|
|
|
|
$538,232,469
|
|
$9,498,204
|
See accompanying notes to financial statements.
16
SPDR SSGA INCOME
ALLOCATION ETF
SCHEDULE OF INVESTMENTS
December 31, 2022 (Unaudited)
Security
Description |
|
|
Shares
|
|
Value
|
MUTUAL
FUNDS AND EXCHANGE TRADED PRODUCTS — 99.8% |
|
|
|
DOMESTIC
EQUITY — 14.5% |
|
Invesco KBW Premium Yield Equity REIT
ETF
|
|
|
88,800
|
|
$
1,730,712 |
iShares Mortgage Real Estate ETF
(a)
|
|
|
151,920
|
|
3,447,065
|
SPDR ICE Preferred Securities ETF
(b)
|
|
|
158,837
|
|
5,213,030
|
SPDR Portfolio S&P 500 High Dividend ETF
(a)(b)
|
|
|
54,747
|
|
2,166,886
|
|
|
|
|
|
12,557,693
|
DOMESTIC
FIXED INCOME — 42.3% |
|
Schwab US Dividend Equity
ETF
|
|
|
28,732
|
|
2,170,415
|
SPDR Blackstone Senior Loan ETF
(a)(b)
|
|
|
213,095
|
|
8,715,586
|
SPDR Bloomberg Convertible Securities ETF
(a)(b)
|
|
|
67,660
|
|
4,353,244
|
SPDR Bloomberg High Yield Bond ETF
(b)
|
|
|
87,149
|
|
7,843,410
|
SPDR Portfolio Long Term Treasury ETF
(b)
|
|
|
469,300
|
|
13,623,779
|
|
|
|
|
|
36,706,434
|
INFLATION
LINKED — 3.0% |
|
SPDR Bloomberg 1-10 Year TIPS ETF
(b)
|
|
|
141,473
|
|
2,610,177
|
INTERNATIONAL
EQUITY — 20.9% |
|
SPDR S&P Global Infrastructure ETF
(a)(b)
|
|
|
131,653
|
|
6,901,250
|
SPDR S&P International Dividend ETF
(b)
|
|
|
347,055
|
|
11,216,818
|
|
|
|
|
|
18,118,068
|
INTERNATIONAL
FIXED INCOME — 17.1% |
|
SPDR Bloomberg Emerging Markets Local Bond ETF
(b)
|
|
|
508,036
|
|
10,445,220
|
SPDR Bloomberg International Corporate Bond ETF
(b)
|
|
|
156,901
|
|
4,349,296
|
|
|
|
|
|
14,794,516
|
REAL
ESTATE — 2.0% |
|
SPDR Dow Jones REIT ETF
(b)
|
|
|
19,875
|
|
1,732,106
|
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS (Cost
$95,591,198)
|
|
86,518,994
|
|
Security
Description |
|
|
Shares
|
|
Value
|
SHORT-TERM
INVESTMENTS — 8.0% |
|
|
|
State Street Institutional U.S. Government Money Market Fund, Class G Shares 4.16%
(c)(d)
|
|
|
143,821
|
|
$
143,821 |
State Street Navigator Securities Lending Portfolio II
(e)(f)
|
|
|
6,784,842
|
|
6,784,842
|
TOTAL SHORT-TERM INVESTMENTS (Cost
$6,928,663)
|
|
|
|
|
$
6,928,663 |
TOTAL INVESTMENTS — 107.8% (Cost
$102,519,861)
|
|
|
|
|
93,447,657
|
LIABILITIES IN EXCESS OF OTHER ASSETS —
(7.8)%
|
|
|
|
|
(6,745,213)
|
NET ASSETS —
100.0%
|
|
|
|
|
$
86,702,444 |
The
Fund invests in other funds and financial statements of underlying funds can be found at www.sec.gov. |
|
(a)
|
All
or a portion of the shares of the security are on loan at December 31, 2022. |
(b)
|
Affiliated
fund managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2022 are shown in the Affiliate Table below. |
(c)
|
The
Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2022 are shown in the Affiliate Table below. |
(d)
|
The
rate shown is the annualized seven-day yield at December 31, 2022. |
(e)
|
The
Fund invested in an affiliated entity. Amounts related to these transactions during the period ended December 31, 2022 are shown in the Affiliate Table below. |
(f)
|
Investment
of cash collateral for securities loaned. |
See accompanying notes to financial statements.
17
SPDR SSGA INCOME
ALLOCATION ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2022 (Unaudited)
The
following table summarizes the value of the Fund's investments according to the fair value hierarchy as of December 31, 2022.
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
|
|
$86,518,994
|
|
$—
|
|
$—
|
|
$86,518,994
|
Short-Term
Investments
|
|
6,928,663
|
|
—
|
|
—
|
|
6,928,663
|
TOTAL
INVESTMENTS
|
|
$93,447,657
|
|
$—
|
|
$—
|
|
$93,447,657
|
Affiliate Table
|
Number
of Shares Held at 6/30/22 |
|
Value
at 6/30/22 |
|
Cost
of Purchases |
|
Proceeds
from Shares Sold |
|
Realized
Gain (Loss) |
|
Change
in Unrealized Appreciation/ Depreciation |
|
Number
of Shares Held at 12/31/22 |
|
Value
at 12/31/22 |
|
Dividend
Income |
SPDR Blackstone Senior Loan
ETF
|
478,391
|
|
$
19,920,201 |
|
$
5,205,961 |
|
$
16,060,881 |
|
$(1,730,926)
|
|
$1,381,231
|
|
213,095
|
|
$
8,715,586 |
|
$
666,126 |
SPDR Bloomberg 1-10 Year TIPS
ETF
|
—
|
|
—
|
|
2,610,640
|
|
—
|
|
—
|
|
(463)
|
|
141,473
|
|
2,610,177
|
|
—
|
SPDR Bloomberg Convertible Securities
ETF
|
44,018
|
|
2,841,802
|
|
2,381,848
|
|
867,718
|
|
59,602
|
|
(62,290)
|
|
67,660
|
|
4,353,244
|
|
38,561
|
SPDR Bloomberg Emerging Markets Local Bond
ETF
|
471,277
|
|
9,637,615
|
|
3,743,679
|
|
2,921,008
|
|
(374,096)
|
|
359,030
|
|
508,036
|
|
10,445,220
|
|
286,295
|
SPDR Bloomberg High Yield Bond
ETF
|
20,953
|
|
1,900,647
|
|
10,430,187
|
|
4,045,881
|
|
(524,844)
|
|
83,301
|
|
87,149
|
|
7,843,410
|
|
167,882
|
SPDR Bloomberg International Corporate Bond
ETF
|
—
|
|
—
|
|
4,348,511
|
|
—
|
|
—
|
|
785
|
|
156,901
|
|
4,349,296
|
|
—
|
SPDR Dow Jones REIT
ETF
|
—
|
|
—
|
|
1,732,842
|
|
—
|
|
—
|
|
(736)
|
|
19,875
|
|
1,732,106
|
|
—
|
SPDR ICE Preferred Securities
ETF
|
135,451
|
|
4,855,918
|
|
2,325,015
|
|
1,591,940
|
|
(135,039)
|
|
(240,924)
|
|
158,837
|
|
5,213,030
|
|
159,281
|
SPDR Portfolio Long Term Corporate Bond
ETF
|
99,847
|
|
2,405,314
|
|
3,723,704
|
|
6,154,027
|
|
(503,367)
|
|
528,376
|
|
—
|
|
—
|
|
40,580
|
SPDR Portfolio Long Term Treasury
ETF
|
410,560
|
|
13,577,219
|
|
8,240,979
|
|
6,663,890
|
|
(1,486,141)
|
|
(44,388)
|
|
469,300
|
|
13,623,779
|
|
169,012
|
SPDR Portfolio S&P 500 High Dividend
ETF
|
309,596
|
|
12,355,976
|
|
8,415,059
|
|
18,796,710
|
|
(302,475)
|
|
495,036
|
|
54,747
|
|
2,166,886
|
|
150,958
|
SPDR S&P Global Infrastructure
ETF
|
144,598
|
|
7,727,317
|
|
1,820,398
|
|
2,507,131
|
|
(13,387)
|
|
(125,947)
|
|
131,653
|
|
6,901,250
|
|
114,527
|
SPDR S&P International Dividend
ETF
|
250,835
|
|
8,606,149
|
|
11,741,420
|
|
8,398,315
|
|
(1,043,058)
|
|
310,622
|
|
347,055
|
|
11,216,818
|
|
306,863
|
State Street Institutional U.S. Government Money Market Fund, Class G
Shares
|
3,843,857
|
|
3,843,857
|
|
11,554,700
|
|
15,254,736
|
|
—
|
|
—
|
|
143,821
|
|
143,821
|
|
66,681
|
State Street Navigator Securities Lending Portfolio
II
|
30,179,720
|
|
30,179,720
|
|
109,915,691
|
|
133,310,569
|
|
—
|
|
—
|
|
6,784,842
|
|
6,784,842
|
|
190,904
|
Total
|
|
|
$117,851,735
|
|
$188,190,634
|
|
$216,572,806
|
|
$(6,053,731)
|
|
$2,683,633
|
|
|
|
$86,099,465
|
|
$2,357,670
|
See accompanying notes to financial statements.
18
SPDR SSGA GLOBAL
ALLOCATION ETF
SCHEDULE OF INVESTMENTS
December 31, 2022 (Unaudited)
Security
Description |
|
|
Shares
|
|
Value
|
MUTUAL
FUNDS AND EXCHANGE TRADED PRODUCTS — 97.5% |
|
|
|
COMMODITIES
— 3.1% |
|
Invesco Optimum Yield Diversified Commodity Strategy No. K-1
ETF
|
|
|
479,240
|
|
$
7,083,167 |
DOMESTIC
EQUITY — 22.0% |
|
SPDR Portfolio S&P 600 Small Cap ETF
(a)
|
|
|
62,915
|
|
2,325,967
|
SPDR S&P 500 ETF Trust
(a)
|
|
|
79,255
|
|
30,309,490
|
SPDR S&P MidCap 400 ETF Trust
(a)(b)
|
|
|
10,511
|
|
4,654,166
|
The Consumer Staples Select Sector SPDR Fund
(a)(b)
|
|
|
62,386
|
|
4,650,876
|
The Energy Select Sector SPDR Fund
(a)(b)
|
|
|
26,854
|
|
2,348,919
|
The Financial Select Sector SPDR Fund
(a)(b)
|
|
|
136,278
|
|
4,660,708
|
The Materials Select Sector SPDR Fund
(a)(b)
|
|
|
29,850
|
|
2,318,748
|
|
|
|
|
|
51,268,874
|
DOMESTIC
FIXED INCOME — 23.5% |
|
SPDR Blackstone Senior Loan ETF
(a)(b)
|
|
|
85,908
|
|
3,513,637
|
SPDR Bloomberg High Yield Bond ETF
(a)
|
|
|
13,009
|
|
1,170,810
|
SPDR Bloomberg International Treasury Bond ETF
(a)
|
|
|
516,638
|
|
11,588,190
|
SPDR Portfolio Aggregate Bond ETF
(a)(b)
|
|
|
1,111,720
|
|
27,937,524
|
SPDR Portfolio Intermediate Term Treasury ETF
(a)
|
|
|
82,520
|
|
2,330,365
|
SPDR Portfolio Long Term Treasury ETF
(a)
|
|
|
279,170
|
|
8,104,305
|
|
|
|
|
|
54,644,831
|
INFLATION
LINKED — 6.0% |
|
SPDR Bloomberg 1-10 Year TIPS ETF
(a)(b)
|
|
|
759,113
|
|
14,005,635
|
INTERNATIONAL
EQUITY — 35.9% |
|
SPDR Portfolio Developed World ex-US ETF
(a)(b)
|
|
|
1,482,487
|
|
44,015,039
|
SPDR Portfolio Emerging Markets ETF
(a)(b)
|
|
|
350,421
|
|
11,549,876
|
SPDR Portfolio Europe ETF
(a)
|
|
|
266,436
|
|
9,242,665
|
SPDR S&P International Small Cap ETF
(a)
|
|
|
236,909
|
|
6,967,494
|
Vanguard FTSE Pacific ETF
(b)
|
|
|
180,239
|
|
11,598,380
|
|
|
|
|
|
83,373,454
|
Security
Description |
|
|
Shares
|
|
Value
|
INTERNATIONAL
FIXED INCOME — 6.0% |
|
SPDR Bloomberg Emerging Markets Local Bond ETF
(a)
|
|
|
340,898
|
|
$
7,008,863 |
SPDR Bloomberg International Corporate Bond ETF
(a)
|
|
|
252,613
|
|
7,002,432
|
|
|
|
|
|
14,011,295
|
REAL
ESTATE — 1.0% |
|
SPDR Dow Jones International Real Estate ETF
(a)
|
|
|
43,575
|
|
1,166,503
|
SPDR Dow Jones REIT ETF
(a)
|
|
|
13,349
|
|
1,163,365
|
|
|
|
|
|
2,329,868
|
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS (Cost
$222,467,610)
|
|
226,717,124
|
|
SHORT-TERM
INVESTMENTS — 21.5% |
|
|
|
State Street Institutional U.S. Government Money Market Fund, Class G Shares 4.16%
(c)(d)
|
|
|
4,808,444
|
|
4,808,444
|
State Street Navigator Securities Lending Portfolio II
(e)(f)
|
|
|
45,214,621
|
|
45,214,621
|
TOTAL SHORT-TERM INVESTMENTS (Cost
$50,023,065)
|
|
|
|
|
$
50,023,065 |
TOTAL INVESTMENTS — 119.0% (Cost
$272,490,675)
|
|
|
|
|
276,740,189
|
LIABILITIES IN EXCESS OF OTHER ASSETS —
(19.0)%
|
|
|
|
|
(44,183,555)
|
NET ASSETS —
100.0%
|
|
|
|
|
$
232,556,634 |
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, 2022 are shown in the Affiliate Table below. |
(b)
|
All
or a portion of the shares of the security are on loan at December 31, 2022. |
(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, 2022 are shown in the Affiliate Table below. |
(d)
|
The
rate shown is the annualized seven-day yield at December 31, 2022. |
(e)
|
The
Fund invested in an affiliated entity. Amounts related to these transactions during the period ended December 31, 2022 are shown in the Affiliate Table below. |
(f)
|
Investment
of cash collateral for securities loaned. |
See accompanying notes to financial statements.
19
SPDR SSGA GLOBAL
ALLOCATION ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2022 (Unaudited)
The
following table summarizes the value of the Fund's investments according to the fair value hierarchy as of December 31, 2022.
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
|
|
$226,717,124
|
|
$—
|
|
$—
|
|
$226,717,124
|
Short-Term
Investments
|
|
50,023,065
|
|
—
|
|
—
|
|
50,023,065
|
TOTAL
INVESTMENTS
|
|
$276,740,189
|
|
$—
|
|
$—
|
|
$276,740,189
|
Affiliate Table
|
Number
of Shares Held at 6/30/22 |
|
Value
at 6/30/22 |
|
Cost
of Purchases |
|
Proceeds
from Shares Sold |
|
Realized
Gain (Loss) |
|
Change
in Unrealized Appreciation/ Depreciation |
|
Number
of Shares Held at 12/31/22 |
|
Value
at 12/31/22 |
|
Dividend
Income |
SPDR Blackstone Senior Loan
ETF
|
202,281
|
|
$
8,422,981 |
|
$
1,605,404 |
|
$
6,362,957 |
|
$
(651,005) |
|
$
499,214 |
|
85,908
|
|
$
3,513,637 |
|
$
297,135 |
SPDR Bloomberg 1-10 Year TIPS
ETF
|
867,998
|
|
16,891,241
|
|
3,513,120
|
|
5,492,154
|
|
(503,824)
|
|
(402,748)
|
|
759,113
|
|
14,005,635
|
|
481,768
|
SPDR Bloomberg Emerging Markets Local Bond
ETF
|
296,971
|
|
6,073,057
|
|
1,855,862
|
|
958,561
|
|
(79,259)
|
|
117,764
|
|
340,898
|
|
7,008,863
|
|
190,131
|
SPDR Bloomberg High Yield Bond
ETF
|
—
|
|
—
|
|
4,937,155
|
|
3,610,067
|
|
(160,636)
|
|
4,358
|
|
13,009
|
|
1,170,810
|
|
19,239
|
SPDR Bloomberg International Corporate Bond
ETF
|
—
|
|
—
|
|
7,001,169
|
|
—
|
|
—
|
|
1,263
|
|
252,613
|
|
7,002,432
|
|
—
|
SPDR Bloomberg International Treasury Bond
ETF
|
418,602
|
|
9,694,823
|
|
12,478,484
|
|
10,247,159
|
|
(1,330,481)
|
|
992,523
|
|
516,638
|
|
11,588,190
|
|
126,539
|
SPDR Dow Jones International Real Estate
ETF
|
43,111
|
|
1,216,593
|
|
1,185,879
|
|
1,222,192
|
|
(227,955)
|
|
214,178
|
|
43,575
|
|
1,166,503
|
|
—
|
SPDR Dow Jones REIT
ETF
|
42
|
|
3,993
|
|
1,163,859
|
|
4,013
|
|
(60)
|
|
(414)
|
|
13,349
|
|
1,163,365
|
|
—
|
SPDR Portfolio Aggregate Bond
ETF
|
231,832
|
|
6,108,773
|
|
43,397,529
|
|
20,954,291
|
|
(728,800)
|
|
114,313
|
|
1,111,720
|
|
27,937,524
|
|
149,218
|
SPDR Portfolio Developed World ex-US
ETF
|
1,740,818
|
|
50,205,191
|
|
6,458,640
|
|
13,887,909
|
|
(468,747)
|
|
1,707,864
|
|
1,482,487
|
|
44,015,039
|
|
515,608
|
SPDR Portfolio Emerging Markets
ETF
|
422,956
|
|
14,706,180
|
|
2,634,352
|
|
5,120,272
|
|
(921,022)
|
|
250,638
|
|
350,421
|
|
11,549,876
|
|
276,255
|
SPDR Portfolio Europe
ETF
|
—
|
|
—
|
|
13,560,742
|
|
4,962,694
|
|
74,404
|
|
570,213
|
|
266,436
|
|
9,242,665
|
|
53,467
|
SPDR Portfolio Intermediate Term Treasury
ETF
|
373,341
|
|
11,002,359
|
|
5,814,064
|
|
14,035,827
|
|
(338,537)
|
|
(111,694)
|
|
82,520
|
|
2,330,365
|
|
54,449
|
SPDR Portfolio Long Term Treasury
ETF
|
443,258
|
|
14,658,542
|
|
9,489,401
|
|
14,339,727
|
|
(3,415,281)
|
|
1,711,370
|
|
279,170
|
|
8,104,305
|
|
161,821
|
SPDR Portfolio S&P 600 Small Cap
ETF
|
374,403
|
|
13,471,020
|
|
3,196,957
|
|
14,517,071
|
|
(816,367)
|
|
991,428
|
|
62,915
|
|
2,325,967
|
|
36,421
|
SPDR S&P 500 ETF
Trust
|
80,272
|
|
30,282,612
|
|
26,167,590
|
|
27,275,530
|
|
563,868
|
|
570,950
|
|
79,255
|
|
30,309,490
|
|
210,885
|
SPDR S&P International Small Cap
ETF
|
254,837
|
|
7,372,435
|
|
1,168,150
|
|
1,736,769
|
|
(221,080)
|
|
384,758
|
|
236,909
|
|
6,967,494
|
|
92,706
|
SPDR S&P MidCap 400 ETF
Trust
|
11,823
|
|
4,888,692
|
|
728,729
|
|
1,329,352
|
|
140,841
|
|
225,256
|
|
10,511
|
|
4,654,166
|
|
36,646
|
State Street Institutional U.S. Government Money Market Fund, Class G
Shares
|
11,863,750
|
|
11,863,750
|
|
42,240,584
|
|
49,295,890
|
|
—
|
|
—
|
|
4,808,444
|
|
4,808,444
|
|
308,475
|
State Street Navigator Securities Lending Portfolio
II
|
36,578,077
|
|
36,578,077
|
|
601,570,842
|
|
592,934,298
|
|
—
|
|
—
|
|
45,214,621
|
|
45,214,621
|
|
264,192
|
The Consumer Staples Select Sector SPDR
Fund
|
—
|
|
—
|
|
4,905,144
|
|
144,447
|
|
(3,091)
|
|
(106,730)
|
|
62,386
|
|
4,650,876
|
|
33,701
|
The Energy Select Sector SPDR
Fund
|
68,732
|
|
4,915,025
|
|
684,055
|
|
4,149,018
|
|
286,959
|
|
611,898
|
|
26,854
|
|
2,348,919
|
|
74,133
|
The Financial Select Sector SPDR
Fund
|
—
|
|
—
|
|
5,520,229
|
|
934,394
|
|
12,860
|
|
62,013
|
|
136,278
|
|
4,660,708
|
|
53,096
|
The Health Care Select Sector SPDR
Fund
|
—
|
|
—
|
|
2,512,657
|
|
2,449,148
|
|
(63,509)
|
|
—
|
|
—
|
|
—
|
|
—
|
The Materials Select Sector SPDR
Fund
|
66,063
|
|
4,862,237
|
|
2,608,535
|
|
5,262,223
|
|
(589,857)
|
|
700,056
|
|
29,850
|
|
2,318,748
|
|
15,047
|
The Utilities Select Sector SPDR
Fund
|
71,668
|
|
5,026,077
|
|
904,147
|
|
6,090,670
|
|
20,985
|
|
139,461
|
|
—
|
|
—
|
|
30,803
|
Total
|
|
|
$258,243,658
|
|
$807,303,279
|
|
$807,316,633
|
|
$(9,419,594)
|
|
$9,247,932
|
|
|
|
$258,058,642
|
|
$3,481,735
|
See accompanying notes to financial statements.
20
SPDR SSGA ULTRA
SHORT TERM BOND ETF
SCHEDULE OF INVESTMENTS
December 31, 2022 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
CORPORATE
BONDS & NOTES — 51.0% |
|
|
|
|
|
AEROSPACE
& DEFENSE — 1.5% |
|
Boeing
Co.: |
|
|
|
|
|
1.17%,
2/4/2023
|
|
|
$
2,665,000 |
|
$
2,655,326 |
1.43%,
2/4/2024
|
|
|
1,000,000
|
|
956,590
|
4.51%,
5/1/2023
|
|
|
1,500,000
|
|
1,495,080
|
L3Harris Technologies, Inc. 3 Month USD LIBOR + 0.75%, 5.49%, 3/10/2023
(a)
|
|
|
1,000,000
|
|
1,000,490
|
|
|
|
|
|
6,107,486
|
AGRICULTURE
— 1.2% |
|
Imperial Brands Finance PLC 3.50%, 2/11/2023
(b)
|
|
|
2,500,000
|
|
2,491,875
|
Philip Morris International, Inc. 5.13%,
11/15/2024
|
|
|
2,500,000
|
|
2,502,125
|
|
|
|
|
|
4,994,000
|
AUTO
MANUFACTURERS — 3.9% |
|
American Honda Finance Corp. Series MTN, 3 Month USD LIBOR + 0.37%, 4.96%, 5/10/2023
(a)
|
|
|
1,900,000
|
|
1,899,449
|
Daimler
Trucks Finance North America LLC: |
|
|
|
|
|
SOFR + 0.60%, 4.92%, 12/14/2023
(a)
(b)
|
|
|
1,000,000
|
|
994,980
|
SOFR + 0.75%, 5.06%, 12/13/2024
(a)
(b)
|
|
|
1,000,000
|
|
987,070
|
Ford
Motor Credit Co. LLC: |
|
|
|
|
|
2.30%,
2/10/2025
|
|
|
1,680,000
|
|
1,533,638
|
4.38%,
8/6/2023
|
|
|
1,500,000
|
|
1,485,330
|
General Motors Financial Co., Inc. 3.80%,
4/7/2025
|
|
|
2,500,000
|
|
2,414,900
|
Hyundai Capital America 0.80%, 1/8/2024
(b)
|
|
|
1,000,000
|
|
952,180
|
Mercedes-Benz Finance North America LLC 5.50%, 11/27/2024
(b)
|
|
|
5,000,000
|
|
5,029,050
|
Nissan Motor Acceptance Co. LLC 3 Month USD LIBOR + 0.64%, 5.37%, 3/8/2024
(a)
(b)
|
|
|
1,000,000
|
|
982,080
|
|
|
|
|
|
16,278,677
|
BANKS
— 10.8% |
|
Banco Santander SA 3.85%,
4/12/2023
|
|
|
5,000,000
|
|
4,979,250
|
Bank
of America Corp.: |
|
|
|
|
|
Series L, 3.95%,
4/21/2025
|
|
|
1,566,000
|
|
1,525,566
|
Series MTN, SOFR + 0.73%, 4.68%, 10/24/2024
(a)
|
|
|
1,000,000
|
|
989,270
|
Bank of Montreal SOFR + 0.35%, 4.62%, 12/8/2023
(a)
|
|
|
1,755,000
|
|
1,747,243
|
Security
Description |
|
|
Principal
Amount |
|
Value
|
Citigroup, Inc. SOFR + 1.37%, 4.14%, 5/24/2025
(a)
|
|
|
$
1,500,000 |
|
$
1,477,080 |
Cooperatieve Rabobank UA 3 Month USD LIBOR + 0.48%, 4.39%, 1/10/2023
(a)
|
|
|
250,000
|
|
250,020
|
Goldman
Sachs Group, Inc.: |
|
|
|
|
|
3 Month USD LIBOR + 0.75%, 5.44%, 2/23/2023
(a)
|
|
|
1,500,000
|
|
1,500,615
|
SOFR + 0.49%, 4.37%, 10/21/2024
(a)
|
|
|
1,500,000
|
|
1,474,125
|
SOFR + 0.58%, 4.85%, 3/8/2024
(a)
|
|
|
1,000,000
|
|
992,850
|
HSBC
Holdings PLC: |
|
|
|
|
|
4.25%,
3/14/2024
|
|
|
1,000,000
|
|
982,650
|
SOFR + 1.43%, 5.70%, 3/10/2026
(a)
|
|
|
1,000,000
|
|
981,190
|
SOFR + 0.58%, 4.75%, 11/22/2024
(a)
|
|
|
1,250,000
|
|
1,220,138
|
JPMorgan Chase & Co. 3 Month USD LIBOR + 0.73%, 5.05%, 4/23/2024
(a)
|
|
|
1,000,000
|
|
999,570
|
KeyBank NA 4.15%,
8/8/2025
|
|
|
770,000
|
|
752,975
|
Macquarie Group, Ltd. SOFR + 0.71%, 4.50%, 10/14/2025
(a)
(b)
|
|
|
1,000,000
|
|
975,230
|
Morgan
Stanley: |
|
|
|
|
|
SOFR + 1.16%, 3.62%, 4/17/2025
(a)
|
|
|
1,500,000
|
|
1,463,100
|
Series GMTN, 3 Month USD LIBOR + 1.22%, 5.77%, 5/8/2024
(a)
|
|
|
1,682,000
|
|
1,684,994
|
Series GMTN, SOFR + 0.51%, 0.79%, 1/22/2025
(a)
|
|
|
1,500,000
|
|
1,420,545
|
National Australia Bank, Ltd. 1.39%, 1/12/2025
(b)
|
|
|
1,500,000
|
|
1,398,885
|
NatWest Markets PLC SOFR + 0.53%, 4.66%, 8/12/2024
(a)
(b)
|
|
|
2,125,000
|
|
2,087,472
|
Royal
Bank of Canada: |
|
|
|
|
|
Series GMTN, 3 Month USD LIBOR + 0.36%, 4.44%, 1/17/2023
(a)
|
|
|
2,000,000
|
|
1,999,620
|
Series GMTN, SOFR + 0.53%, 4.40%, 1/20/2026
(a)
|
|
|
500,000
|
|
484,865
|
Sumitomo
Mitsui Financial Group, Inc.: |
|
|
|
|
|
3 Month USD LIBOR + 0.80%, 4.88%, 10/16/2023
(a)
|
|
|
1,000,000
|
|
1,000,810
|
3 Month USD LIBOR + 0.86%, 5.09%, 7/19/2023
(a)
|
|
|
2,000,000
|
|
2,004,300
|
See accompanying notes to financial statements.
21
SPDR SSGA ULTRA
SHORT TERM BOND ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2022 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
Sumitomo
Mitsui Trust Bank, Ltd.: |
|
|
|
|
|
0.80%, 9/16/2024
(b)
|
|
|
$
2,500,000 |
|
$
2,308,425 |
SOFR + 0.44%, 4.75%, 9/16/2024
(a)
(b)
|
|
|
1,500,000
|
|
1,488,840
|
Toronto-Dominion
Bank: |
|
|
|
|
|
SOFR + 0.91%, 5.18%, 3/8/2024
(a)
|
|
|
2,000,000
|
|
1,996,220
|
Series MTN, SOFR + 0.35%, 4.63%, 9/10/2024
(a)
|
|
|
1,515,000
|
|
1,491,078
|
Truist Bank SOFR + 0.20%, 4.00%, 1/17/2024
(a)
|
|
|
1,000,000
|
|
992,700
|
Wells Fargo & Co. Series MTN, SOFR + 1.09%, 2.41%, 10/30/2025
(a)
|
|
|
1,500,000
|
|
1,420,485
|
Westpac Banking Corp. 3 Month USD LIBOR + 0.39%, 4.33%, 1/13/2023
(a)
|
|
|
1,000,000
|
|
999,910
|
|
|
|
|
|
45,090,021
|
BIOTECHNOLOGY
— 0.5% |
|
Royalty Pharma PLC 0.75%,
9/2/2023
|
|
|
2,000,000
|
|
1,938,140
|
CHEMICALS
— 1.4% |
|
DuPont de Nemours, Inc. 3 Month USD LIBOR + 1.11%, 5.72%, 11/15/2023
(a)
|
|
|
1,000,000
|
|
998,970
|
LyondellBasell Industries NV 5.75%,
4/15/2024
|
|
|
3,000,000
|
|
3,006,210
|
Nutrien, Ltd. 5.90%,
11/7/2024
|
|
|
830,000
|
|
840,325
|
Sherwin-Williams Co. 4.05%,
8/8/2024
|
|
|
875,000
|
|
863,783
|
|
|
|
|
|
5,709,288
|
COMMERCIAL
SERVICES — 0.1% |
|
Cintas Corp. No. 2 3.45%,
5/1/2025
|
|
|
585,000
|
|
565,859
|
COMPUTERS
— 0.3% |
|
Leidos, Inc. 2.95%,
5/15/2023
|
|
|
1,435,000
|
|
1,422,630
|
DIVERSIFIED
FINANCIAL SERVICES — 3.0% |
|
AerCap
Ireland Capital DAC/AerCap Global Aviation Trust: |
|
|
|
|
|
SOFR + 0.68%, 5.00%, 9/29/2023
(a)
|
|
|
1,000,000
|
|
984,630
|
Series 3NC1, 1.75%,
10/29/2024
|
|
|
1,000,000
|
|
922,170
|
Air Lease Corp. 3.00%,
9/15/2023
|
|
|
1,500,000
|
|
1,472,655
|
Aircastle, Ltd. 4.40%,
9/25/2023
|
|
|
6,281,000
|
|
6,214,170
|
Security
Description |
|
|
Principal
Amount |
|
Value
|
Blackstone Holdings Finance Co. LLC 4.75%, 2/15/2023
(b)
|
|
|
$
1,500,000 |
|
$
1,498,980 |
Synchrony Financial 4.25%,
8/15/2024
|
|
|
1,452,000
|
|
1,419,127
|
|
|
|
|
|
12,511,732
|
ELECTRIC
— 4.2% |
|
Alliant Energy Finance LLC 3.75%, 6/15/2023
(b)
|
|
|
1,000,000
|
|
992,050
|
CenterPoint Energy, Inc. SOFR + 0.65%, 4.78%, 5/13/2024
(a)
|
|
|
1,500,000
|
|
1,481,670
|
DTE Energy Co. 4.22%, 11/1/2024
(c)
|
|
|
1,250,000
|
|
1,230,038
|
Duke Energy Corp. SOFR + 0.25%, 4.53%, 6/10/2023
(a)
|
|
|
1,000,000
|
|
996,310
|
National Rural Utilities Cooperative Finance Corp. Series D, SOFR + 0.33%, 4.14%, 10/18/2024
(a)
|
|
|
2,500,000
|
|
2,464,200
|
NextEra
Energy Capital Holdings, Inc.: |
|
|
|
|
|
4.26%,
9/1/2024
|
|
|
1,250,000
|
|
1,234,950
|
SOFR + 0.40%, 4.47%, 11/3/2023
(a)
|
|
|
1,500,000
|
|
1,494,015
|
SOFR + 1.02%, 5.34%, 3/21/2024
(a)
|
|
|
1,500,000
|
|
1,498,365
|
Pacific Gas & Electric Co. 3.85%,
11/15/2023
|
|
|
2,459,000
|
|
2,426,787
|
Southern California Edison Co. Series J, 0.70%,
8/1/2023
|
|
|
3,850,000
|
|
3,748,052
|
|
|
|
|
|
17,566,437
|
ENTERTAINMENT
— 0.8% |
|
WarnerMedia
Holdings, Inc.: |
|
|
|
|
|
3.64%, 3/15/2025
(b)
|
|
|
1,000,000
|
|
951,160
|
SOFR + 1.78%, 6.09%, 3/15/2024
(a)
(b)
|
|
|
2,500,000
|
|
2,493,250
|
|
|
|
|
|
3,444,410
|
GAS
— 1.6% |
|
Atmos Energy Corp. 3 Month USD LIBOR + 0.38%, 5.10%, 3/9/2023
(a)
|
|
|
3,125,000
|
|
3,122,875
|
CenterPoint Energy Resources Corp. 3 Month USD LIBOR + 0.50%, 5.28%, 3/2/2023
(a)
|
|
|
3,450,000
|
|
3,448,413
|
|
|
|
|
|
6,571,288
|
HEALTH
CARE PRODUCTS — 2.5% |
|
GE HealthCare Technologies, Inc. 5.55%, 11/15/2024
(b)
|
|
|
2,945,000
|
|
2,954,454
|
PerkinElmer, Inc. 0.85%,
9/15/2024
|
|
|
1,000,000
|
|
927,580
|
See accompanying notes to financial statements.
22
SPDR SSGA ULTRA
SHORT TERM BOND ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2022 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
Thermo
Fisher Scientific, Inc.: |
|
|
|
|
|
SOFR + 0.35%, 4.16%, 4/18/2023
(a)
|
|
|
$
3,000,000 |
|
$
2,996,760 |
SOFR + 0.39%, 4.20%, 10/18/2023
(a)
|
|
|
2,500,000
|
|
2,488,000
|
SOFR + 0.53%, 4.34%, 10/18/2024
(a)
|
|
|
1,135,000
|
|
1,124,342
|
|
|
|
|
|
10,491,136
|
HEALTH
CARE SERVICES — 0.5% |
|
Centene Corp. 4.25%,
12/15/2027
|
|
|
2,000,000
|
|
1,878,100
|
INSURANCE
— 2.2% |
|
Allstate Corp. 3 Month USD LIBOR + 0.63%, 5.36%, 3/29/2023
(a)
|
|
|
1,500,000
|
|
1,499,430
|
Athene Global Funding SOFR + 0.70%, 4.90%, 5/24/2024
(a)
(b)
|
|
|
1,000,000
|
|
981,120
|
Jackson National Life Global Funding SOFR + 0.60%, 4.28%, 1/6/2023
(a)
(b)
|
|
|
2,398,000
|
|
2,397,976
|
MET Tower Global Funding SOFR + 0.55%, 4.35%, 1/17/2023
(a)
(b)
|
|
|
1,500,000
|
|
1,499,520
|
Metropolitan Life Global Funding I SOFR + 0.57%, 4.34%, 1/13/2023
(a)
(b)
|
|
|
1,500,000
|
|
1,500,075
|
Pricoa Global Funding I 2.40%, 9/23/2024
(b)
|
|
|
1,500,000
|
|
1,428,300
|
|
|
|
|
|
9,306,421
|
INVESTMENT
COMPANY SECURITY — 0.2% |
|
Blackstone Private Credit Fund 2.35%,
11/22/2024
|
|
|
1,000,000
|
|
915,330
|
LEISURE
TIME — 0.2% |
|
Brunswick Corp. 0.85%,
8/18/2024
|
|
|
1,000,000
|
|
924,050
|
LODGING
— 0.4% |
|
Hyatt Hotels Corp. 1.30%,
10/1/2023
|
|
|
1,530,000
|
|
1,483,519
|
MACHINERY-DIVERSIFIED
— 1.6% |
|
CNH Industrial Capital LLC 3.95%,
5/23/2025
|
|
|
960,000
|
|
930,595
|
John
Deere Capital Corp.: |
|
|
|
|
|
3.40%,
6/6/2025
|
|
|
1,390,000
|
|
1,350,079
|
4.05%,
9/8/2025
|
|
|
2,000,000
|
|
1,970,060
|
Series MTN, SOFR + 0.20%, 3.87%, 10/11/2024
(a)
|
|
|
1,500,000
|
|
1,483,290
|
Rockwell Automation, Inc. 0.35%,
8/15/2023
|
|
|
1,000,000
|
|
971,970
|
|
|
|
|
|
6,705,994
|
Security
Description |
|
|
Principal
Amount |
|
Value
|
MEDIA
— 0.6% |
|
WarnerMedia Holdings, Inc. 3.53%, 3/15/2024
(b)
|
|
|
$
2,500,000 |
|
$
2,422,475 |
MISCELLANEOUS
MANUFACTURER — 0.6% |
|
Carlisle Cos., Inc. 0.55%,
9/1/2023
|
|
|
575,000
|
|
556,456
|
Parker-Hannifin Corp. 3.65%,
6/15/2024
|
|
|
1,000,000
|
|
978,370
|
Siemens Financieringsmaatschappij NV SOFR + 0.43%, 4.71%, 3/11/2024
(a)
(b)
|
|
|
1,000,000
|
|
994,790
|
|
|
|
|
|
2,529,616
|
OIL
& GAS — 0.7% |
|
Chevron USA, Inc. 3.90%,
11/15/2024
|
|
|
1,000,000
|
|
983,140
|
Continental Resources, Inc. 2.27%, 11/15/2026
(b)
|
|
|
1,250,000
|
|
1,084,025
|
Shell International Finance B.V. 3 Month USD LIBOR + 0.40%, 5.05%, 11/13/2023
(a)
|
|
|
1,000,000
|
|
1,000,170
|
|
|
|
|
|
3,067,335
|
PACKAGING
& CONTAINERS — 1.4% |
|
Berry Global, Inc. 0.95%,
2/15/2024
|
|
|
3,500,000
|
|
3,326,575
|
Graphic Packaging International LLC 0.82%, 4/15/2024
(b)
|
|
|
1,000,000
|
|
936,230
|
Sonoco Products Co. 1.80%,
2/1/2025
|
|
|
1,470,000
|
|
1,367,012
|
|
|
|
|
|
5,629,817
|
PHARMACEUTICALS
— 2.6% |
|
Astrazeneca Finance LLC 0.70%,
5/28/2024
|
|
|
2,000,000
|
|
1,886,560
|
Bayer US Finance II LLC 3 Month USD LIBOR + 1.01%, 5.78%, 12/15/2023
(a)
(b)
|
|
|
1,500,000
|
|
1,500,075
|
Bristol-Myers Squibb Co. 0.54%,
11/13/2023
|
|
|
1,640,000
|
|
1,580,829
|
Cigna Corp. 3 Month USD LIBOR + 0.89%, 4.97%, 7/15/2023
(a)
|
|
|
1,000,000
|
|
1,001,430
|
Mylan, Inc. 4.20%,
11/29/2023
|
|
|
3,000,000
|
|
2,968,140
|
Shire Acquisitions Investments Ireland DAC 2.88%,
9/23/2023
|
|
|
2,000,000
|
|
1,965,140
|
|
|
|
|
|
10,902,174
|
PIPELINES
— 2.5% |
|
Cheniere Corpus Christi Holdings LLC 7.00%,
6/30/2024
|
|
|
3,000,000
|
|
3,053,070
|
See accompanying notes to financial statements.
23
SPDR SSGA ULTRA
SHORT TERM BOND ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2022 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
Enbridge, Inc. 0.55%,
10/4/2023
|
|
|
$
1,000,000 |
|
$
966,640 |
Sabine Pass Liquefaction LLC 5.63%,
3/1/2025
|
|
|
2,500,000
|
|
2,505,925
|
TransCanada PipeLines, Ltd. 1.00%,
10/12/2024
|
|
|
2,035,000
|
|
1,885,020
|
Williams Cos., Inc. 4.55%,
6/24/2024
|
|
|
2,000,000
|
|
1,977,840
|
|
|
|
|
|
10,388,495
|
REAL
ESTATE INVESTMENT TRUSTS — 1.4% |
|
American Tower Corp. 5.00%,
2/15/2024
|
|
|
1,000,000
|
|
997,850
|
Omega Healthcare Investors, Inc. 4.38%,
8/1/2023
|
|
|
5,000,000
|
|
4,959,950
|
|
|
|
|
|
5,957,800
|
RETAIL
— 0.9% |
|
7-Eleven, Inc. 0.80%, 2/10/2024
(b)
|
|
|
2,000,000
|
|
1,902,500
|
Dollar General Corp. 4.25%,
9/20/2024
|
|
|
1,090,000
|
|
1,075,830
|
Genuine Parts Co. 1.75%,
2/1/2025
|
|
|
660,000
|
|
616,862
|
|
|
|
|
|
3,595,192
|
SEMICONDUCTORS
— 1.7% |
|
Microchip Technology, Inc. 4.33%,
6/1/2023
|
|
|
2,000,000
|
|
1,990,900
|
NXP B.V./NXP Funding LLC 4.88%,
3/1/2024
|
|
|
750,000
|
|
743,978
|
Skyworks Solutions, Inc. 0.90%,
6/1/2023
|
|
|
4,638,000
|
|
4,543,060
|
|
|
|
|
|
7,277,938
|
TELECOMMUNICATIONS
— 1.3% |
|
AT&T,
Inc.: |
|
|
|
|
|
0.90%,
3/25/2024
|
|
|
1,500,000
|
|
1,425,390
|
SOFR + 0.64%, 4.96%, 3/25/2024
(a)
|
|
|
1,000,000
|
|
994,950
|
Verizon
Communications, Inc.: |
|
|
|
|
|
3 Month USD LIBOR + 1.10%, 5.71%, 5/15/2025
(a)
|
|
|
1,500,000
|
|
1,511,985
|
SOFR + 0.50%, 4.82%, 3/22/2024
(a)
|
|
|
1,500,000
|
|
1,490,820
|
|
|
|
|
|
5,423,145
|
TRANSPORTATION
— 0.4% |
|
Canadian Pacific Railway Co. 1.35%,
12/2/2024
|
|
|
1,395,000
|
|
1,301,605
|
Security
Description |
|
|
Principal
Amount |
|
Value
|
United Parcel Service, Inc. 3 Month USD LIBOR + 0.45%, 5.20%, 4/1/2023
(a)
|
|
|
$
200,000 |
|
$
199,932 |
|
|
|
|
|
1,501,537
|
TOTAL CORPORATE BONDS & NOTES (Cost
$216,211,843)
|
|
|
|
|
212,600,042
|
ASSET-BACKED
SECURITIES — 6.8% |
|
|
|
|
|
ASSET-BACKED
- OTHER — 4.0% |
|
|
|
|
|
Ford
Credit Floorplan Master Owner Trust: |
|
|
|
|
|
Series 2019-4, Class A, 2.44%,
9/15/2026
|
|
|
8,000,000
|
|
7,650,913
|
Series 2020-1, Class A2, Class A2, 1 Month USD LIBOR + 0.50%, 4.82%, 9/15/2025
(a)
|
|
|
8,780,000
|
|
8,742,775
|
|
|
|
|
|
16,393,688
|
AUTOMOBILE
— 0.0% (d) |
|
|
|
|
|
Enterprise Fleet Financing LLC Series 2019-3, Class A2, 2.06%, 5/20/2025
(b)
|
|
|
58,630
|
|
58,549
|
CREDIT
CARD — 2.8% |
|
|
|
|
|
Master Credit Card Trust Series 2021-1A, Class A, 0.53%, 11/21/2025
(b)
|
|
|
5,000,000
|
|
4,695,692
|
Master Credit Card Trust II Series 2018-1A, Class A, 1 Month USD LIBOR + 0.49%, 4.84%, 7/21/2024
(a)
(b)
|
|
|
7,000,000
|
|
6,999,882
|
|
|
|
|
|
11,695,574
|
TOTAL ASSET-BACKED SECURITIES (Cost
$28,342,956)
|
|
|
|
|
28,147,811
|
U.S.
TREASURY OBLIGATIONS — 29.3% |
|
|
|
|
|
U.S.
Treasury Bill: |
|
|
|
|
|
Zero Coupon,
1/5/2023
|
|
|
30,000,000
|
|
29,993,942
|
Zero Coupon,
1/10/2023
|
|
|
65,000,000
|
|
64,954,277
|
U.S. Treasury Notes 0.25%, 9/30/2023 (Cost
$27,946,598)
|
|
|
27,995,200
|
|
27,076,607
|
TOTAL U.S. TREASURY OBLIGATIONS (Cost
$122,872,055)
|
|
|
|
|
122,024,826
|
MORTGAGE-BACKED
SECURITIES — 2.7% |
|
|
|
|
|
BHMS Mortgage Trust Series 2018-ATLS, Class A, 1 Month USD LIBOR + 1.25%, 5.57%, 7/15/2035
(a)
(b)
|
|
|
2,870,000
|
|
2,771,916
|
See accompanying notes to financial statements.
24
SPDR SSGA ULTRA
SHORT TERM BOND ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2022 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
BX Commercial Mortgage Trust Series 2019-XL, Class A, 1 Month USD Term LIBOR + 1.03%, 5.37%, 10/15/2036
(a)
(b)
|
|
|
$
1,430,053 |
|
$
1,412,401 |
Credit Suisse Mortgage Capital Certificates Series 2019-ICE4, Class A, 1 Month USD LIBOR + 0.98%, 5.30%, 5/15/2036
(a)
(b)
|
|
|
7,350,000
|
|
7,265,574
|
TOTAL MORTGAGE-BACKED SECURITIES (Cost
$11,616,701)
|
|
|
|
|
11,449,891
|
COMMERCIAL
MORTGAGE BACKED SECURITIES — 2.9% |
|
|
|
|
|
BPR Trust Series 2022-OANA, Class A, 1 Month USD Term LIBOR + 1.90%, 6.23%, 4/15/2037
(a)
(b)
|
|
|
1,800,000
|
|
1,772,480
|
BX 2021-LBA3 Mortgage Trust Series 2021-PAC, Class B, 1 Month USD LIBOR + 0.90%, 5.22%, 10/15/2036
(a)
(b)
|
|
|
2,500,000
|
|
2,359,749
|
Cold
Storage Trust: |
|
|
|
|
|
Series 2020-ICE5, Class A, 1 Month USD LIBOR + 0.90%, 5.22%, 11/15/2037
(a)
(b)
|
|
|
3,178,991
|
|
3,095,776
|
Series 2020-ICE5, Class B, 1 Month USD LIBOR + 1.30%, 5.62%, 11/15/2037
(a)
(b)
|
|
|
4,914,953
|
|
4,758,393
|
TOTAL COMMERCIAL MORTGAGE BACKED SECURITIES (Cost
$12,335,087)
|
|
|
|
|
11,986,398
|
Security
Description |
|
|
Shares
|
|
Value
|
SHORT-TERM
INVESTMENT — 6.3% |
|
|
|
State Street Institutional U.S. Government Money Market Fund, Class G Shares 4.16% (e) (f) (Cost
$26,321,701)
|
|
26,321,701
|
|
$
26,321,701 |
TOTAL INVESTMENTS — 99.0% (Cost
$417,700,343)
|
|
412,530,669
|
|
OTHER ASSETS IN EXCESS OF LIABILITIES — 1.0%
|
|
4,100,140
|
|
NET ASSETS —
100.0%
|
|
$
416,630,809 |
|
(a)
|
Variable
Rate Security - Interest rate shown is rate in effect at December 31, 2022. 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 19.3% of net assets as of December 31, 2022, are considered liquid and may be resold in transactions exempt from registration, normally to
qualified institutional buyers. |
(c)
|
Step-up
bond - Coupon rate increases in increments to maturity. Rate shown as of December 31, 2022. Maturity date shown is the final maturity. |
(d)
|
Amount
is less than 0.05% of net assets. |
(e)
|
The
Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2022 are shown in the Affiliate Table below. |
(f)
|
The
rate shown is the annualized seven-day yield at December 31, 2022. |
GMTN
|
Global
Medium Term Note |
LIBOR
|
London
Interbank Offered Rate |
MTN
|
Medium
Term Note |
SOFR
|
Secured
Overnight Financing Rate |
At December 31, 2022, open futures contracts were
as follows:
Description
|
|
Number
of Contracts |
|
Expiration
Date |
|
Notional
Amount |
|
Value
|
|
Unrealized
Appreciation (Depreciation) |
2
Yr. U.S. Treasury Note Futures (short) |
|
(297)
|
|
03/31/2023
|
|
$(60,844,814)
|
|
$(60,908,767)
|
|
$(63,953)
|
During the period ended December 31, 2022, average
notional value related to futures contracts was $56,996,690.
See accompanying notes to financial statements.
25
SPDR SSGA ULTRA
SHORT TERM BOND ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2022 (Unaudited)
The
following table summarizes the value of the Fund's investments according to the fair value hierarchy as of December 31, 2022.
Description
|
|
Level
1 – Quoted Prices |
|
Level
2 – Other Significant Observable Inputs |
|
Level
3 – Significant Unobservable Inputs |
|
Total
|
ASSETS:
|
|
|
|
|
|
|
|
|
INVESTMENTS:
|
|
|
|
|
|
|
|
|
Corporate Bonds &
Notes
|
|
$
— |
|
$212,600,042
|
|
$—
|
|
$212,600,042
|
Asset-Backed
Securities
|
|
—
|
|
28,147,811
|
|
—
|
|
28,147,811
|
U.S. Treasury
Obligations
|
|
—
|
|
122,024,826
|
|
—
|
|
122,024,826
|
Mortgage-Backed
Securities
|
|
—
|
|
11,449,891
|
|
—
|
|
11,449,891
|
Commercial Mortgage Backed
Securities
|
|
—
|
|
11,986,398
|
|
—
|
|
11,986,398
|
Short-Term
Investment
|
|
26,321,701
|
|
—
|
|
—
|
|
26,321,701
|
TOTAL
INVESTMENTS
|
|
$26,321,701
|
|
$386,208,968
|
|
$—
|
|
$412,530,669
|
LIABILITIES:
|
|
|
|
|
|
|
|
|
OTHER
FINANCIAL INSTRUMENTS: |
|
|
|
|
|
|
|
|
Futures
Contracts(a)
|
|
(63,953)
|
|
—
|
|
—
|
|
(63,953)
|
TOTAL OTHER FINANCIAL
INSTRUMENTS:
|
|
$
(63,953) |
|
$
— |
|
$—
|
|
$
(63,953) |
(a)
|
Futures
Contracts are valued at unrealized appreciation (depreciation). |
Affiliate Table
|
Number
of Shares Held at 6/30/22 |
|
Value
at 6/30/22 |
|
Cost
of Purchases |
|
Proceeds
from Shares Sold |
|
Realized
Gain (Loss) |
|
Change
in Unrealized Appreciation/ Depreciation |
|
Number
of Shares Held at 12/31/22 |
|
Value
at 12/31/22 |
|
Dividend
Income |
State Street Institutional U.S. Government Money Market Fund, Class G
Shares
|
29,493,611
|
|
$29,493,611
|
|
$236,918,682
|
|
$240,090,592
|
|
$—
|
|
$—
|
|
26,321,701
|
|
$26,321,701
|
|
$315,538
|
See accompanying notes to financial statements.
26
SPDR LOOMIS SAYLES
OPPORTUNISTIC BOND ETF
SCHEDULE OF INVESTMENTS
December 31, 2022 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
CORPORATE
BONDS & NOTES — 73.1% |
|
|
|
|
|
AUSTRALIA
— 0.8% |
|
|
|
|
FMG
Resources August 2006 Pty, Ltd.: |
|
|
|
|
|
4.50%, 9/15/2027
(a)
|
|
|
$
72,000 |
|
$
66,697 |
6.13%, 4/15/2032
(a)
|
|
|
35,000
|
|
32,643
|
Glencore Funding LLC 2.85%, 4/27/2031
(a)
|
|
|
85,000
|
|
69,688
|
Infrabuild Australia Pty, Ltd. 12.00%, 10/1/2024
(a)
|
|
|
22,000
|
|
21,286
|
Mineral
Resources, Ltd.: |
|
|
|
|
|
8.00%, 11/1/2027
(a)
|
|
|
10,000
|
|
10,213
|
8.13%, 5/1/2027
(a)
|
|
|
48,000
|
|
48,817
|
8.50%, 5/1/2030
(a)
|
|
|
25,000
|
|
25,567
|
|
|
|
|
|
274,911
|
BELGIUM
— 0.7% |
|
|
|
|
Anheuser-Busch InBev Worldwide, Inc. 3.50%,
6/1/2030
|
|
|
255,000
|
|
231,925
|
BERMUDA
— 0.0% (b) |
|
|
|
|
NCL Corp., Ltd. 7.75%, 2/15/2029
(a)
|
|
|
5,000
|
|
3,763
|
BRAZIL
— 0.1% |
|
|
|
|
MercadoLibre, Inc. 2.00%,
8/15/2028
|
|
|
14,000
|
|
28,443
|
CANADA
— 2.0% |
|
|
|
|
Baffinland Iron Mines Corp./Baffinland Iron Mines L.P. 8.75%, 7/15/2026
(a)
|
|
|
24,000
|
|
22,773
|
Baytex Energy Corp. 8.75%, 4/1/2027
(a)
|
|
|
14,000
|
|
14,240
|
Bombardier,
Inc.: |
|
|
|
|
|
6.00%, 2/15/2028
(a)
|
|
|
43,000
|
|
39,911
|
7.50%, 12/1/2024
(a)
|
|
|
35,000
|
|
35,065
|
Enerflex, Ltd. 9.00%,
10/15/2027
|
|
|
85,000
|
|
84,800
|
Garda
World Security Corp.: |
|
|
|
|
|
6.00%, 6/1/2029
(a)
|
|
|
10,000
|
|
8,175
|
9.50%, 11/1/2027
(a)
|
|
|
22,000
|
|
21,303
|
Methanex Corp. 5.65%,
12/1/2044
|
|
|
22,000
|
|
17,079
|
Nutrien, Ltd. 5.95%,
11/7/2025
|
|
|
320,000
|
|
327,072
|
Parkland Corp. 4.50%, 10/1/2029
(a)
|
|
|
4,000
|
|
3,350
|
Strathcona Resources, Ltd. 6.88%, 8/1/2026
(a)
|
|
|
55,000
|
|
40,364
|
Taseko Mines, Ltd. 7.00%, 2/15/2026
(a)
|
|
|
44,000
|
|
38,711
|
|
|
|
|
|
652,843
|
Security
Description |
|
|
Principal
Amount |
|
Value
|
CHINA
— 1.0% |
|
|
|
|
Alibaba Group Holding, Ltd. 3.15%,
2/9/2051
|
|
|
$
159,000 |
|
$
99,456 |
NXP B.V./NXP Funding LLC/NXP USA, Inc. 5.00%,
1/15/2033
|
|
|
54,000
|
|
50,953
|
Pinduoduo, Inc. Zero Coupon,
12/1/2025
|
|
|
15,000
|
|
13,956
|
Prosus NV 4.19%, 1/19/2032
(a)
|
|
|
200,000
|
|
166,258
|
|
|
|
|
|
330,623
|
FINLAND
— 0.1% |
|
|
|
|
Nokia Oyj 6.63%,
5/15/2039
|
|
|
36,000
|
|
34,450
|
FRANCE
— 1.9% |
|
|
|
|
BNP
Paribas SA: |
|
|
|
|
|
5 year CMT + 3.75%, 4.63%, 1/12/2027
(a)
(c)
|
|
|
200,000
|
|
164,480
|
5 Year CMT + 4.90%, 7.75%, 8/16/2029
(a)
(c)
|
|
|
200,000
|
|
197,200
|
SOFR + 1.22%, 2.16%, 9/15/2029
(a)
(c)
|
|
|
200,000
|
|
163,170
|
Credit Agricole SA 5 Year CMT + 3.24%, 4.75%, 3/23/2029
(a)
(c)
|
|
|
144,000
|
|
115,628
|
|
|
|
|
|
640,478
|
GERMANY
— 1.2% |
|
|
|
|
Deutsche
Bank AG: |
|
|
|
|
|
SOFR + 1.72%, 3.04%, 5/28/2032
(c)
|
|
|
110,000
|
|
83,373
|
SOFR + 1.87%, 2.13%, 11/24/2026
(c)
|
|
|
150,000
|
|
132,317
|
Volkswagen Group of America Finance LLC 3.95%, 6/6/2025
(a)
|
|
|
200,000
|
|
193,626
|
|
|
|
|
|
409,316
|
HONG
KONG — 0.1% |
|
|
|
|
Seaspan Corp. 5.50%, 8/1/2029
(a)
|
|
|
55,000
|
|
41,656
|
IRELAND
— 1.2% |
|
|
|
|
AerCap Ireland Capital DAC/AerCap Global Aviation Trust 3.30%,
1/30/2032
|
|
|
110,000
|
|
85,944
|
Bank
of Ireland Group PLC: |
|
|
|
|
|
1 year CMT + 2.65%, 6.25%, 9/16/2026
(a)
(c)
|
|
|
200,000
|
|
199,132
|
VRN, 1 year CMT + 1.10%, 2.03%, 9/30/2027
(a)
(c)
|
|
|
144,000
|
|
121,576
|
|
|
|
|
|
406,652
|
ITALY
— 3.1% |
|
|
|
|
Enel Finance International NV 5.50%, 6/15/2052
(a)
|
|
|
144,000
|
|
120,774
|
See accompanying notes to financial statements.
27
SPDR LOOMIS SAYLES
OPPORTUNISTIC BOND ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2022 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
Intesa
Sanpaolo SpA: |
|
|
|
|
|
5.02%, 6/26/2024
(a)
|
|
|
$
200,000 |
|
$
193,116 |
1 year CMT + 2.75%, 4.95%, 6/1/2042
(a)
(c)
|
|
|
296,000
|
|
191,947
|
Telecom
Italia Capital SA: |
|
|
|
|
|
6.00%,
9/30/2034
|
|
|
10,000
|
|
7,658
|
7.20%,
7/18/2036
|
|
|
29,000
|
|
23,539
|
7.72%,
6/4/2038
|
|
|
15,000
|
|
12,530
|
UniCredit SpA 5 Year US ISDA + 4.91%, 7.30%, 4/2/2034
(a)
(c)
|
|
|
496,000
|
|
455,849
|
|
|
|
|
|
1,005,413
|
JAPAN
— 1.2% |
|
|
|
|
Mitsubishi UFJ Financial Group, Inc. 1 year CMT + 1.70%, 4.79%, 7/18/2025
(c)
|
|
|
200,000
|
|
197,840
|
NTT Finance Corp. 4.14%, 7/26/2024
(a)
|
|
|
200,000
|
|
196,810
|
|
|
|
|
|
394,650
|
LUXEMBOURG
— 0.1% |
|
|
|
|
Intelsat Jackson Holdings SA 6.50%, 3/15/2030
(a)
|
|
|
17,000
|
|
15,255
|
MACAU
— 0.6% |
|
|
|
|
Sands China, Ltd. 5.63%,
8/8/2025
|
|
|
200,000
|
|
193,590
|
NORWAY
— 0.6% |
|
|
|
|
DNB Bank ASA 5.90%, 10/9/2026
(a)
|
|
|
200,000
|
|
200,208
|
SPAIN
— 1.2% |
|
|
|
|
Banco
Santander SA: |
|
|
|
|
|
5.29%,
8/18/2027
|
|
|
200,000
|
|
195,114
|
VRN, 5 Year US ISDA + 4.99%, 7.50%, 2/8/2024
(c)
|
|
|
200,000
|
|
195,220
|
|
|
|
|
|
390,334
|
SWITZERLAND
— 1.5% |
|
|
|
|
Credit Suisse AG 4.75%,
8/9/2024
|
|
|
500,000
|
|
477,625
|
UNITED
KINGDOM — 6.1% |
|
|
|
|
Barclays
PLC: |
|
|
|
|
|
1 year CMT + 1.30%, 2.89%, 11/24/2032
(c)
|
|
|
144,000
|
|
109,588
|
1 year CMT + 2.30%, 5.30%, 8/9/2026
(c)
|
|
|
200,000
|
|
198,626
|
5 Year CMT + 3.41%, 4.38%, 3/15/2028
(c)
|
|
|
344,000
|
|
263,521
|
British Telecommunications PLC 9.63%,
12/15/2030
|
|
|
115,000
|
|
137,273
|
HSBC
Holdings PLC: |
|
|
|
|
|
SOFR + 1.51%, 4.18%, 12/9/2025
(c)
|
|
|
400,000
|
|
388,292
|
SOFR + 4.25%, 8.11%, 11/3/2033
(c)
|
|
|
400,000
|
|
423,900
|
Security
Description |
|
|
Principal
Amount |
|
Value
|
Lloyds Banking Group PLC 1 year CMT + 3.75%, 7.95%, 11/15/2033
(c)
|
|
|
$
240,000 |
|
$
254,352 |
Standard Chartered PLC 1 year CMT + 0.95%, 1.82%, 11/23/2025
(a)
(c)
|
|
|
200,000
|
|
182,820
|
TechnipFMC PLC 6.50%, 2/1/2026
(a)
|
|
|
60,000
|
|
58,621
|
|
|
|
|
|
2,016,993
|
UNITED
STATES — 49.6% |
|
|
|
|
Academy, Ltd. 6.00%, 11/15/2027
(a)
|
|
|
10,000
|
|
9,606
|
AdaptHealth LLC 4.63%, 8/1/2029
(a)
|
|
|
50,000
|
|
41,910
|
ADT Security Corp. 4.88%, 7/15/2032
(a)
|
|
|
23,000
|
|
19,565
|
Adtalem Global Education, Inc. 5.50%, 3/1/2028
(a)
|
|
|
45,000
|
|
41,246
|
Affinity Gaming 6.88%, 12/15/2027
(a)
|
|
|
50,000
|
|
42,513
|
Airbnb, Inc. Zero Coupon,
3/15/2026
|
|
|
12,000
|
|
9,931
|
Akumin Escrow, Inc. 7.50%, 8/1/2028
(a)
|
|
|
40,000
|
|
24,378
|
Albertsons Cos., Inc./Safeway, Inc./New Albertsons L.P./Albertsons LLC 3.50%, 2/15/2023
(a)
|
|
|
9,000
|
|
8,947
|
Alliance Resource Operating Partners L.P./Alliance Resource Finance Corp. 7.50%, 5/1/2025
(a)
|
|
|
44,000
|
|
43,664
|
Allied Universal Holdco LLC/Allied Universal Finance Corp. 9.75%, 7/15/2027
(a)
|
|
|
44,000
|
|
38,622
|
Alta Equipment Group, Inc. 5.63%, 4/15/2026
(a)
|
|
|
5,000
|
|
4,530
|
Amazon.com,
Inc.: |
|
|
|
|
|
3.10%,
5/12/2051
|
|
|
105,000
|
|
75,241
|
4.65%,
12/1/2029
|
|
|
190,000
|
|
188,565
|
American Express Co. 5.85%,
11/5/2027
|
|
|
45,000
|
|
46,752
|
American International Group, Inc. Series A-9, 3 Month USD LIBOR + 2.87%, 5.75%, 4/1/2048
(c)
|
|
|
22,000
|
|
21,024
|
American Tower Corp. 2.30%,
9/15/2031
|
|
|
110,000
|
|
85,645
|
Ameriprise Financial, Inc. 4.50%,
5/13/2032
|
|
|
54,000
|
|
52,179
|
Amgen, Inc. 4.20%,
3/1/2033
|
|
|
110,000
|
|
102,077
|
Aon Corp. / Aon Global Holdings PLC 5.00%,
9/12/2032
|
|
|
115,000
|
|
113,757
|
See accompanying notes to financial statements.
28
SPDR LOOMIS SAYLES
OPPORTUNISTIC BOND ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2022 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
Aramark Services, Inc. 6.38%, 5/1/2025
(a)
|
|
|
$
35,000 |
|
$
34,656 |
Arches Buyer, Inc. 6.13%, 12/1/2028
(a)
|
|
|
27,000
|
|
21,666
|
Arko Corp. 5.13%, 11/15/2029
(a)
|
|
|
50,000
|
|
39,220
|
Armor Holdco, Inc. 8.50%, 11/15/2029
(a)
|
|
|
25,000
|
|
18,668
|
Arrow Bidco LLC 9.50%, 3/15/2024
(a)
|
|
|
22,000
|
|
21,986
|
Artera Services LLC 9.03%, 12/4/2025
(a)
|
|
|
39,000
|
|
32,547
|
Ashland LLC 3.38%, 9/1/2031
(a)
|
|
|
56,000
|
|
44,560
|
AT&T,
Inc.: |
|
|
|
|
|
3.55%,
9/15/2055
|
|
|
54,000
|
|
36,473
|
3.65%,
9/15/2059
|
|
|
71,000
|
|
48,065
|
3.80%,
12/1/2057
|
|
|
7,000
|
|
4,852
|
Athene Global Funding 2.65%, 10/4/2031
(a)
|
|
|
110,000
|
|
84,010
|
Atkore, Inc. 4.25%, 6/1/2031
(a)
|
|
|
48,000
|
|
41,514
|
AutoZone, Inc. 4.75%,
8/1/2032
|
|
|
100,000
|
|
97,143
|
Avnet, Inc. 5.50%,
6/1/2032
|
|
|
52,000
|
|
47,904
|
Bain Capital Specialty Finance, Inc. 2.55%,
10/13/2026
|
|
|
188,000
|
|
154,611
|
Bank
of America Corp.: |
|
|
|
|
|
SOFR + 1.33%, 5.65%, 4/2/2026
(c)
|
|
|
100,000
|
|
99,111
|
SOFR + 1.99%, 6.20%, 11/10/2028
(c)
|
|
|
105,000
|
|
108,090
|
SOFR + 2.16%, 5.02%, 7/22/2033
(c)
|
|
|
155,000
|
|
147,061
|
Bank of New York Mellon Corp. 5.80%,
10/25/2028
|
|
|
30,000
|
|
30,980
|
Bath
& Body Works, Inc.: |
|
|
|
|
|
6.75%,
7/1/2036
|
|
|
12,000
|
|
10,519
|
6.88%,
11/1/2035
|
|
|
50,000
|
|
44,448
|
7.50%,
6/15/2029
|
|
|
10,000
|
|
9,863
|
Beazer Homes USA, Inc. 7.25%,
10/15/2029
|
|
|
50,000
|
|
44,743
|
BGC Partners, Inc. 4.38%,
12/15/2025
|
|
|
157,000
|
|
146,968
|
Bill.com Holdings, Inc. Zero Coupon,
12/1/2025
|
|
|
15,000
|
|
15,430
|
BlackRock TCP Capital Corp. 2.85%,
2/9/2026
|
|
|
149,000
|
|
132,988
|
BlackRock, Inc. 2.10%,
2/25/2032
|
|
|
78,000
|
|
62,676
|
Blackstone Holdings Finance Co. LLC 5.90%, 11/3/2027
(a)
|
|
|
85,000
|
|
85,705
|
Blackstone
Private Credit Fund: |
|
|
|
|
|
2.35%,
11/22/2024
|
|
|
245,000
|
|
224,256
|
Security
Description |
|
|
Principal
Amount |
|
Value
|
2.63%,
12/15/2026
|
|
|
$
161,000 |
|
$
133,337 |
Blackstone
Secured Lending Fund: |
|
|
|
|
|
2.75%,
9/16/2026
|
|
|
110,000
|
|
96,334
|
2.85%,
9/30/2028
|
|
|
56,000
|
|
43,710
|
Block, Inc. 0.13%,
3/1/2025
|
|
|
25,000
|
|
23,790
|
BlueLinx Holdings, Inc. 6.00%, 11/15/2029
(a)
|
|
|
39,000
|
|
32,473
|
Boeing Co. 5.71%,
5/1/2040
|
|
|
260,000
|
|
247,523
|
Booking Holdings, Inc. 0.75%,
5/1/2025
|
|
|
10,000
|
|
13,403
|
Bristow Group, Inc. 6.88%, 3/1/2028
(a)
|
|
|
44,000
|
|
40,765
|
Broadcom,
Inc.: |
|
|
|
|
|
3.50%, 2/15/2041
(a)
|
|
|
249,000
|
|
178,262
|
4.15%, 4/15/2032
(a)
|
|
|
141,000
|
|
123,940
|
Brundage-Bone Concrete Pumping Holdings, Inc. 6.00%, 2/1/2026
(a)
|
|
|
45,000
|
|
41,064
|
Builders FirstSource, Inc. 5.00%, 3/1/2030
(a)
|
|
|
74,000
|
|
65,968
|
C&S Group Enterprises LLC 5.00%, 12/15/2028
(a)
|
|
|
36,000
|
|
27,128
|
Caesars
Entertainment, Inc.: |
|
|
|
|
|
4.63%, 10/15/2029
(a)
|
|
|
5,000
|
|
4,066
|
8.13%, 7/1/2027
(a)
|
|
|
5,000
|
|
4,917
|
Calpine Corp. 5.13%, 3/15/2028
(a)
|
|
|
63,000
|
|
56,393
|
Calumet
Specialty Products Partners L.P./Calumet Finance Corp.: |
|
|
|
|
|
8.13%, 1/15/2027
(a)
|
|
|
15,000
|
|
14,099
|
11.00%, 4/15/2025
(a)
|
|
|
10,000
|
|
10,446
|
Carpenter Technology Corp. 7.63%,
3/15/2030
|
|
|
51,000
|
|
51,238
|
Carriage Purchaser, Inc. 7.88%, 10/15/2029
(a)
|
|
|
10,000
|
|
7,127
|
Cars.com, Inc. 6.38%, 11/1/2028
(a)
|
|
|
45,000
|
|
40,096
|
Caterpillar Financial Services Corp. 3.65%,
8/12/2025
|
|
|
105,000
|
|
102,429
|
CCO Holdings LLC/CCO Holdings Capital Corp. 4.50%, 8/15/2030
(a)
|
|
|
105,000
|
|
86,942
|
Charter Communications Operating LLC/Charter Communications Operating Capital 3.90%,
6/1/2052
|
|
|
105,000
|
|
66,226
|
Citigroup, Inc. 4.65%,
7/23/2048
|
|
|
83,000
|
|
72,168
|
Civitas Resources, Inc. 5.00%, 10/15/2026
(a)
|
|
|
72,000
|
|
66,167
|
See accompanying notes to financial statements.
29
SPDR LOOMIS SAYLES
OPPORTUNISTIC BOND ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2022 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
Clarios Global L.P./Clarios US Finance Co. 8.50%, 5/15/2027
(a)
|
|
|
$
39,000 |
|
$
38,154 |
CMG Media Corp. 8.88%, 12/15/2027
(a)
|
|
|
27,000
|
|
20,315
|
Colgate Energy Partners III LLC 7.75%, 2/15/2026
(a)
|
|
|
45,000
|
|
43,929
|
Comcast Corp. 2.99%,
11/1/2063
|
|
|
95,000
|
|
57,843
|
Commercial Metals Co. 4.38%,
3/15/2032
|
|
|
67,000
|
|
57,973
|
CommScope Technologies LLC 6.00%, 6/15/2025
(a)
|
|
|
50,000
|
|
45,503
|
CommScope, Inc. 7.13%, 7/1/2028
(a)
|
|
|
10,000
|
|
7,192
|
Conduent Business Services LLC/Conduent State & Local Solutions, Inc. 6.00%, 11/1/2029
(a)
|
|
|
39,000
|
|
31,879
|
Constellation Brands, Inc. 4.75%,
5/9/2032
|
|
|
100,000
|
|
95,842
|
Continental Resources, Inc. 2.27%, 11/15/2026
(a)
|
|
|
73,000
|
|
63,307
|
CoreCivic, Inc. 8.25%,
4/15/2026
|
|
|
58,000
|
|
59,417
|
Cornerstone Building Brands, Inc. 6.13%, 1/15/2029
(a)
|
|
|
31,000
|
|
21,852
|
Corporate Office Properties L.P. 2.75%,
4/15/2031
|
|
|
22,000
|
|
16,469
|
Coty, Inc./HFC Prestige Products, Inc./HFC Prestige International US LLC 4.75%, 1/15/2029
(a)
|
|
|
34,000
|
|
30,760
|
CPI CG, Inc. 8.63%, 3/15/2026
(a)
|
|
|
30,000
|
|
29,542
|
Crescent Energy Finance LLC 7.25%, 5/1/2026
(a)
|
|
|
20,000
|
|
18,996
|
CTR Partnership L.P./CareTrust Capital Corp. 3.88%, 6/30/2028
(a)
|
|
|
75,000
|
|
63,334
|
CVR Energy, Inc. 5.25%, 2/15/2025
(a)
|
|
|
40,000
|
|
36,779
|
CVS Health Corp. 5.05%,
3/25/2048
|
|
|
83,000
|
|
74,922
|
Datadog, Inc. 0.13%,
6/15/2025
|
|
|
5,000
|
|
5,462
|
DaVita, Inc. 4.63%, 6/1/2030
(a)
|
|
|
34,000
|
|
27,401
|
Delek Logistics Partners L.P./Delek Logistics Finance Corp. 7.13%, 6/1/2028
(a)
|
|
|
82,000
|
|
73,915
|
Dell
International LLC/EMC Corp.: |
|
|
|
|
|
3.45%, 12/15/2051
(a)
|
|
|
115,000
|
|
71,141
|
8.35%,
7/15/2046
|
|
|
18,000
|
|
20,649
|
Diamondback Energy, Inc. 6.25%,
3/15/2033
|
|
|
105,000
|
|
106,638
|
Security
Description |
|
|
Principal
Amount |
|
Value
|
Directv Financing LLC/Directv Financing Co-Obligor, Inc. 5.88%, 8/15/2027
(a)
|
|
|
$
97,000 |
|
$
86,987 |
DISH
DBS Corp.: |
|
|
|
|
|
5.13%,
6/1/2029
|
|
|
20,000
|
|
12,902
|
5.88%,
11/15/2024
|
|
|
220,000
|
|
205,194
|
Domtar Corp. 6.75%, 10/1/2028
(a)
|
|
|
70,000
|
|
60,731
|
DPL, Inc. 4.35%,
4/15/2029
|
|
|
95,000
|
|
85,340
|
DT Midstream, Inc. 4.38%, 6/15/2031
(a)
|
|
|
62,000
|
|
51,854
|
Eco Material Technologies, Inc. 7.88%, 1/31/2027
(a)
|
|
|
39,000
|
|
37,277
|
Edgewell Personal Care Co. 4.13%, 4/1/2029
(a)
|
|
|
17,000
|
|
14,576
|
Embecta Corp. 5.00%, 2/15/2030
(a)
|
|
|
20,000
|
|
16,765
|
Enact Holdings, Inc. 6.50%, 8/15/2025
(a)
|
|
|
84,000
|
|
82,580
|
Encino Acquisition Partners Holdings LLC 8.50%, 5/1/2028
(a)
|
|
|
24,000
|
|
21,865
|
EnLink
Midstream LLC: |
|
|
|
|
|
5.38%,
6/1/2029
|
|
|
10,000
|
|
9,283
|
5.63%, 1/15/2028
(a)
|
|
|
53,000
|
|
50,558
|
EnLink Midstream Partners L.P. 4.85%,
7/15/2026
|
|
|
73,000
|
|
69,005
|
Enphase Energy, Inc. Zero Coupon,
3/1/2028
|
|
|
7,000
|
|
8,221
|
Enstar Group, Ltd. 3.10%,
9/1/2031
|
|
|
27,000
|
|
19,715
|
Enviva Partners L.P./Enviva Partners Finance Corp. 6.50%, 1/15/2026
(a)
|
|
|
39,000
|
|
36,787
|
EQT Corp. 1.75%,
5/1/2026
|
|
|
6,000
|
|
13,962
|
Equifax, Inc. 5.10%,
12/15/2027
|
|
|
90,000
|
|
88,904
|
Expedia Group, Inc. Zero Coupon,
2/15/2026
|
|
|
7,000
|
|
6,081
|
Fidelity National Financial, Inc. 2.45%,
3/15/2031
|
|
|
39,000
|
|
29,551
|
FirstEnergy Corp. Series C, 5.35%,
7/15/2047
|
|
|
24,000
|
|
21,450
|
Fluor Corp. 4.25%,
9/15/2028
|
|
|
70,000
|
|
63,472
|
Foot Locker, Inc. 4.00%, 10/1/2029
(a)
|
|
|
80,000
|
|
63,016
|
Ford Motor Credit Co. LLC 5.58%,
3/18/2024
|
|
|
275,000
|
|
271,903
|
Forestar Group, Inc. 5.00%, 3/1/2028
(a)
|
|
|
70,000
|
|
60,401
|
Freeport-McMoRan, Inc. 4.63%,
8/1/2030
|
|
|
135,000
|
|
126,190
|
See accompanying notes to financial statements.
30
SPDR LOOMIS SAYLES
OPPORTUNISTIC BOND ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2022 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
Frontier
Communications Holdings LLC: |
|
|
|
|
|
5.88%,
11/1/2029
|
|
|
$
20,000 |
|
$
15,509 |
6.00%, 1/15/2030
(a)
|
|
|
12,000
|
|
9,442
|
Frontier Florida LLC Series E, 6.86%,
2/1/2028
|
|
|
10,000
|
|
9,204
|
Full House Resorts, Inc. 8.25%, 2/15/2028
(a)
|
|
|
17,000
|
|
15,018
|
Gannett Holdings LLC 6.00%, 11/1/2026
(a)
|
|
|
39,000
|
|
31,816
|
Gap, Inc. 3.63%, 10/1/2029
(a)
|
|
|
80,000
|
|
56,930
|
Gartner, Inc. 3.63%, 6/15/2029
(a)
|
|
|
67,000
|
|
58,732
|
General
Motors Financial Co., Inc.: |
|
|
|
|
|
2.90%,
2/26/2025
|
|
|
22,000
|
|
20,880
|
3.80%,
4/7/2025
|
|
|
260,000
|
|
251,150
|
5.00%,
4/9/2027
|
|
|
83,000
|
|
80,466
|
Genworth Holdings, Inc. 6.50%,
6/15/2034
|
|
|
45,000
|
|
39,616
|
Georgia Power Co. 5.13%,
5/15/2052
|
|
|
100,000
|
|
94,234
|
Global Medical Response, Inc. 6.50%, 10/1/2025
(a)
|
|
|
24,000
|
|
17,498
|
Global Partners L.P./GLP Finance Corp. 6.88%,
1/15/2029
|
|
|
45,000
|
|
40,757
|
Global Payments, Inc. 5.40%,
8/15/2032
|
|
|
45,000
|
|
42,902
|
Goldman Sachs Group, Inc. SOFR + 1.51%, 3.21%, 4/22/2042
(c)
|
|
|
232,000
|
|
166,989
|
GPS Hospitality Holding Co. LLC/GPS Finco, Inc. 7.00%, 8/15/2028
(a)
|
|
|
34,000
|
|
21,485
|
Granite US Holdings Corp. 11.00%, 10/1/2027
(a)
|
|
|
20,000
|
|
21,057
|
GrubHub Holdings, Inc. 5.50%, 7/1/2027
(a)
|
|
|
50,000
|
|
36,218
|
Guitar Center, Inc. 8.50%, 1/15/2026
(a)
|
|
|
45,000
|
|
37,237
|
Haemonetics Corp. Zero Coupon,
3/1/2026
|
|
|
20,000
|
|
16,605
|
Hertz Corp. 5.00%, 12/1/2029
(a)
|
|
|
19,000
|
|
14,411
|
Hexcel Corp. 4.95%,
8/15/2025
|
|
|
30,000
|
|
29,250
|
Hilcorp Energy I L.P./Hilcorp Finance Co. 6.25%, 11/1/2028
(a)
|
|
|
41,000
|
|
37,197
|
HLF Financing SARL LLC/Herbalife International, Inc. 4.88%, 6/1/2029
(a)
|
|
|
14,000
|
|
9,588
|
Howmet
Aerospace, Inc.: |
|
|
|
|
|
5.95%,
2/1/2037
|
|
|
34,000
|
|
33,019
|
Security
Description |
|
|
Principal
Amount |
|
Value
|
6.75%,
1/15/2028
|
|
|
$
34,000 |
|
$
34,457 |
HP, Inc. 5.50%,
1/15/2033
|
|
|
20,000
|
|
18,813
|
Ingles Markets, Inc. 4.00%, 6/15/2031
(a)
|
|
|
44,000
|
|
36,987
|
International Business Machines Corp. 4.40%,
7/27/2032
|
|
|
100,000
|
|
95,265
|
Ionis Pharmaceuticals, Inc. Zero Coupon,
4/1/2026
|
|
|
15,000
|
|
13,890
|
Iron Mountain, Inc. 5.63%, 7/15/2032
(a)
|
|
|
43,000
|
|
37,502
|
ITT Holdings LLC 6.50%, 8/1/2029
(a)
|
|
|
45,000
|
|
37,970
|
Jackson Financial, Inc. 3.13%,
11/23/2031
|
|
|
71,000
|
|
54,732
|
JPMorgan
Chase & Co.: |
|
|
|
|
|
SOFR + 1.46%, 3.16%, 4/22/2042
(c)
|
|
|
95,000
|
|
69,067
|
SOFR + 1.56%, 4.32%, 4/26/2028
(c)
|
|
|
164,000
|
|
156,343
|
SOFR + 2.08%, 4.91%, 7/25/2033
(c)
|
|
|
135,000
|
|
128,425
|
SOFR + 2.58%, 5.72%, 9/14/2033
(c)
|
|
|
75,000
|
|
73,699
|
Kinder Morgan, Inc. 4.80%,
2/1/2033
|
|
|
105,000
|
|
97,378
|
KKR Group Finance Co. XII LLC 4.85%, 5/17/2032
(a)
|
|
|
34,000
|
|
31,806
|
Kohl's Corp. 3.63%,
5/1/2031
|
|
|
65,000
|
|
45,633
|
Koppers, Inc. 6.00%, 2/15/2025
(a)
|
|
|
45,000
|
|
43,127
|
Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp. 5.25%, 10/1/2025
(a)
|
|
|
49,000
|
|
46,155
|
Lamb Weston Holdings, Inc. 4.88%, 5/15/2028
(a)
|
|
|
55,000
|
|
52,140
|
Liberty
Mutual Group, Inc.: |
|
|
|
|
|
4.30%, 2/1/2061
(a)
|
|
|
120,000
|
|
73,530
|
4.57%, 2/1/2029
(a)
|
|
|
45,000
|
|
42,178
|
Live Nation Entertainment, Inc. 2.00%,
2/15/2025
|
|
|
15,000
|
|
14,866
|
Lowe's Cos., Inc. 2.80%,
9/15/2041
|
|
|
115,000
|
|
78,283
|
LSF11 A5 Holdco LLC 6.63%, 10/15/2029
(a)
|
|
|
15,000
|
|
12,164
|
LSF9 Atlantis Holdings LLC/Victra Finance Corp. 7.75%, 2/15/2026
(a)
|
|
|
44,000
|
|
39,004
|
M/I Homes, Inc. 4.95%,
2/1/2028
|
|
|
90,000
|
|
79,947
|
Macy's
Retail Holdings LLC: |
|
|
|
|
|
4.50%,
12/15/2034
|
|
|
12,000
|
|
8,235
|
5.88%, 4/1/2029
(a)
|
|
|
58,000
|
|
51,592
|
See accompanying notes to financial statements.
31
SPDR LOOMIS SAYLES
OPPORTUNISTIC BOND ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2022 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
Marsh & McLennan Cos., Inc. 5.75%,
11/1/2032
|
|
|
$
105,000 |
|
$
110,169 |
Massachusetts Mutual Life Insurance Co. 5.67%, 12/1/2052
(a)
|
|
|
125,000
|
|
123,977
|
Meritage Homes Corp. 3.88%, 4/15/2029
(a)
|
|
|
5,000
|
|
4,243
|
Micron
Technology, Inc.: |
|
|
|
|
|
3.37%,
11/1/2041
|
|
|
73,000
|
|
48,807
|
6.75%,
11/1/2029
|
|
|
100,000
|
|
101,751
|
Millennium Escrow Corp. 6.63%, 8/1/2026
(a)
|
|
|
34,000
|
|
21,643
|
Moody's Corp. 2.00%,
8/19/2031
|
|
|
71,000
|
|
56,250
|
Morgan
Stanley: |
|
|
|
|
|
SOFR + 1.36%, 2.48%, 9/16/2036
(c)
|
|
|
115,000
|
|
83,884
|
SOFR + 2.08%, 4.89%, 7/20/2033
(c)
|
|
|
110,000
|
|
103,310
|
Moss Creek Resources Holdings, Inc. 7.50%, 1/15/2026
(a)
|
|
|
45,000
|
|
40,532
|
MPLX L.P. 4.95%,
9/1/2032
|
|
|
75,000
|
|
70,331
|
Murphy
Oil Corp.: |
|
|
|
|
|
6.13%,
12/1/2042
|
|
|
25,000
|
|
19,589
|
6.38%,
7/15/2028
|
|
|
61,000
|
|
59,023
|
Murphy
Oil USA, Inc.: |
|
|
|
|
|
3.75%, 2/15/2031
(a)
|
|
|
34,000
|
|
28,310
|
4.75%,
9/15/2029
|
|
|
26,000
|
|
23,752
|
5.63%,
5/1/2027
|
|
|
51,000
|
|
49,473
|
Navient Corp. 5.63%,
8/1/2033
|
|
|
60,000
|
|
43,144
|
NCL Corp., Ltd. 3.63%, 12/15/2024
(a)
|
|
|
27,000
|
|
23,123
|
NCL Finance, Ltd. 6.13%, 3/15/2028
(a)
|
|
|
10,000
|
|
7,424
|
Nestle
Holdings, Inc.: |
|
|
|
|
|
2.50%, 9/14/2041
(a)
|
|
|
115,000
|
|
80,942
|
4.13%, 10/1/2027
(a)
|
|
|
150,000
|
|
146,536
|
Netflix, Inc. 5.38%, 11/15/2029
(a)
|
|
|
81,000
|
|
79,303
|
New Fortress Energy, Inc. 6.75%, 9/15/2025
(a)
|
|
|
86,000
|
|
81,532
|
NextEra Energy Capital Holdings, Inc. 4.26%,
9/1/2024
|
|
|
60,000
|
|
59,278
|
NextEra
Energy Operating Partners L.P.: |
|
|
|
|
|
3.88%, 10/15/2026
(a)
|
|
|
38,000
|
|
34,908
|
4.50%, 9/15/2027
(a)
|
|
|
82,000
|
|
75,483
|
NMI Holdings, Inc. 7.38%, 6/1/2025
(a)
|
|
|
55,000
|
|
55,719
|
Nordstrom, Inc. 6.95%,
3/15/2028
|
|
|
80,000
|
|
73,022
|
Northern Oil & Gas, Inc. 8.13%, 3/1/2028
(a)
|
|
|
45,000
|
|
43,180
|
Security
Description |
|
|
Principal
Amount |
|
Value
|
NRG
Energy, Inc.: |
|
|
|
|
|
3.88%, 2/15/2032
(a)
|
|
|
$
45,000 |
|
$
33,928 |
5.25%, 6/15/2029
(a)
|
|
|
54,000
|
|
47,708
|
NuStar Logistics L.P. 5.63%,
4/28/2027
|
|
|
80,000
|
|
75,204
|
Occidental Petroleum Corp. 7.95%,
6/15/2039
|
|
|
42,000
|
|
45,830
|
Oceaneering International, Inc. 6.00%,
2/1/2028
|
|
|
45,000
|
|
42,089
|
OI European Group B.V. 4.75%, 2/15/2030
(a)
|
|
|
56,000
|
|
49,477
|
Olin Corp. 5.00%,
2/1/2030
|
|
|
10,000
|
|
9,127
|
OWL Rock Core Income Corp. 5.50%,
3/21/2025
|
|
|
120,000
|
|
116,490
|
Patterson-UTI Energy, Inc. 5.15%,
11/15/2029
|
|
|
51,000
|
|
45,913
|
PayPal Holdings, Inc. 5.05%,
6/1/2052
|
|
|
53,000
|
|
48,371
|
PBF
Holding Co. LLC/PBF Finance Corp.: |
|
|
|
|
|
7.25%,
6/15/2025
|
|
|
51,000
|
|
50,260
|
6.00%,
2/15/2028
|
|
|
40,000
|
|
35,401
|
PennyMac Financial Services, Inc. 5.38%, 10/15/2025
(a)
|
|
|
58,000
|
|
52,550
|
PepsiCo, Inc. 4.20%,
7/18/2052
|
|
|
20,000
|
|
18,321
|
PG&E
Corp.: |
|
|
|
|
|
5.00%,
7/1/2028
|
|
|
45,000
|
|
41,178
|
5.25%,
7/1/2030
|
|
|
44,000
|
|
40,039
|
PHH Mortgage Corp. 7.88%, 3/15/2026
(a)
|
|
|
41,000
|
|
36,609
|
Phillips 66 3.30%,
3/15/2052
|
|
|
54,000
|
|
37,462
|
Pike Corp. 5.50%, 9/1/2028
(a)
|
|
|
30,000
|
|
26,223
|
Pioneer Natural Resources Co. 0.25%,
5/15/2025
|
|
|
5,000
|
|
11,670
|
PM General Purchaser LLC 9.50%, 10/1/2028
(a)
|
|
|
34,000
|
|
25,852
|
Prime Healthcare Services, Inc. 7.25%, 11/1/2025
(a)
|
|
|
45,000
|
|
38,085
|
Prime Security Services Borrower LLC/Prime Finance, Inc. 5.75%, 4/15/2026
(a)
|
|
|
12,000
|
|
11,563
|
Prudential
Financial, Inc.: |
|
|
|
|
|
3 Month USD LIBOR + 3.92%, 5.63%, 6/15/2043
(c)
|
|
|
5,000
|
|
4,925
|
5 Year CMT + 3.23%, 6.00%, 9/1/2052
(c)
|
|
|
170,000
|
|
165,264
|
Public Storage 2.25%,
11/9/2031
|
|
|
54,000
|
|
43,546
|
Pure Storage, Inc. 0.13%,
4/15/2023
|
|
|
10,000
|
|
10,794
|
See accompanying notes to financial statements.
32
SPDR LOOMIS SAYLES
OPPORTUNISTIC BOND ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2022 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
QUALCOMM, Inc. 5.40%,
5/20/2033
|
|
|
$
160,000 |
|
$
166,725 |
Rain CII Carbon LLC/CII Carbon Corp. 7.25%, 4/1/2025
(a)
|
|
|
45,000
|
|
41,392
|
RegionalCare Hospital Partners Holdings, Inc./LifePoint Health, Inc. 9.75%, 12/1/2026
(a)
|
|
|
29,000
|
|
23,347
|
ROCC Holdings LLC 9.25%, 8/15/2026
(a)
|
|
|
34,000
|
|
33,998
|
Rockies
Express Pipeline LLC: |
|
|
|
|
|
4.95%, 7/15/2029
(a)
|
|
|
55,000
|
|
49,937
|
6.88%, 4/15/2040
(a)
|
|
|
24,000
|
|
20,157
|
Royal
Caribbean Cruises, Ltd.: |
|
|
|
|
|
7.50%,
10/15/2027
|
|
|
10,000
|
|
8,623
|
11.63%, 8/15/2027
(a)
|
|
|
165,000
|
|
165,874
|
Santander Holdings USA, Inc. SOFR + 1.25%, 2.49%, 1/6/2028
(c)
|
|
|
135,000
|
|
116,142
|
Sarepta Therapeutics, Inc. 1.50%,
11/15/2024
|
|
|
10,000
|
|
18,656
|
Scripps Escrow II, Inc. 3.88%, 1/15/2029
(a)
|
|
|
16,000
|
|
13,017
|
Sealed Air Corp. 6.88%, 7/15/2033
(a)
|
|
|
34,000
|
|
33,834
|
SEG Holding LLC/SEG Finance Corp. 5.63%, 10/15/2028
(a)
|
|
|
41,000
|
|
38,248
|
Sempra Energy 3.70%,
4/1/2029
|
|
|
27,000
|
|
24,635
|
Service
Properties Trust: |
|
|
|
|
|
4.75%,
10/1/2026
|
|
|
70,000
|
|
55,327
|
5.25%,
2/15/2026
|
|
|
10,000
|
|
8,361
|
Sinclair
Television Group, Inc.: |
|
|
|
|
|
5.13%, 2/15/2027
(a)
|
|
|
17,000
|
|
13,889
|
5.50%, 3/1/2030
(a)
|
|
|
12,000
|
|
8,400
|
Sirius XM Radio, Inc. 4.13%, 7/1/2030
(a)
|
|
|
88,000
|
|
72,700
|
Smyrna Ready Mix Concrete LLC 6.00%, 11/1/2028
(a)
|
|
|
39,000
|
|
34,875
|
Southern Co. 5.15%,
10/6/2025
|
|
|
215,000
|
|
216,572
|
Southwest Airlines Co. 1.25%,
5/1/2025
|
|
|
10,000
|
|
12,059
|
Spirit AeroSystems, Inc. 4.60%,
6/15/2028
|
|
|
39,000
|
|
31,587
|
Splunk, Inc. 1.13%,
6/15/2027
|
|
|
15,000
|
|
12,709
|
Standard Industries, Inc. 4.38%, 7/15/2030
(a)
|
|
|
39,000
|
|
31,947
|
Starwood
Property Trust, Inc.: |
|
|
|
|
|
3.63%, 7/15/2026
(a)
|
|
|
29,000
|
|
25,375
|
4.38%, 1/15/2027
(a)
|
|
|
175,000
|
|
154,003
|
Stellantis Finance US, Inc. 5.63%, 1/12/2028
(a)
|
|
|
200,000
|
|
198,446
|
Security
Description |
|
|
Principal
Amount |
|
Value
|
StoneX Group,Inc. 8.63%, 6/15/2025
(a)
|
|
|
$
80,000 |
|
$
80,724 |
SunCoke Energy, Inc. 4.88%, 6/30/2029
(a)
|
|
|
45,000
|
|
38,388
|
Sunnova Energy Corp. 5.88%, 9/1/2026
(a)
|
|
|
44,000
|
|
39,325
|
Sunoco L.P./Sunoco Finance Corp. 4.50%,
5/15/2029
|
|
|
62,000
|
|
54,230
|
Sylvamo Corp. 7.00%, 9/1/2029
(a)
|
|
|
39,000
|
|
37,233
|
Synchrony Financial 4.88%,
6/13/2025
|
|
|
71,000
|
|
69,265
|
Tallgrass Energy Partners L.P./Tallgrass Energy Finance Corp. 5.50%, 1/15/2028
(a)
|
|
|
75,000
|
|
66,652
|
Taylor Morrison Communities, Inc. 5.75%, 1/15/2028
(a)
|
|
|
58,000
|
|
54,498
|
Tempur
Sealy International, Inc.: |
|
|
|
|
|
3.88%, 10/15/2031
(a)
|
|
|
41,000
|
|
32,096
|
4.00%, 4/15/2029
(a)
|
|
|
64,000
|
|
53,737
|
Thor Industries, Inc. 4.00%, 10/15/2029
(a)
|
|
|
20,000
|
|
15,777
|
Toledo
Hospital: |
|
|
|
|
|
6.02%,
11/15/2048
|
|
|
35,000
|
|
24,604
|
Series B, 5.33%,
11/15/2028
|
|
|
10,000
|
|
7,768
|
TreeHouse Foods, Inc. 4.00%,
9/1/2028
|
|
|
27,000
|
|
23,020
|
Triton Water Holdings, Inc. 6.25%, 4/1/2029
(a)
|
|
|
30,000
|
|
24,304
|
Uber Technologies, Inc. Zero Coupon,
12/15/2025
|
|
|
7,000
|
|
5,912
|
United Airlines 2020-1 Pass Through Trust Series 2020-1, Class B, 4.88%,
7/15/2027
|
|
|
133,350
|
|
125,533
|
UnitedHealth Group, Inc. 5.88%,
2/15/2053
|
|
|
105,000
|
|
114,003
|
Urban One, Inc. 7.38%, 2/1/2028
(a)
|
|
|
41,000
|
|
34,665
|
US Acute Care Solutions LLC 6.38%, 3/1/2026
(a)
|
|
|
39,000
|
|
34,613
|
USA Compression Partners L.P./USA Compression Finance Corp. 6.88%,
4/1/2026
|
|
|
50,000
|
|
48,035
|
Verizon
Communications, Inc.: |
|
|
|
|
|
2.85%,
9/3/2041
|
|
|
29,000
|
|
20,069
|
3.55%,
3/22/2051
|
|
|
76,000
|
|
54,405
|
Verscend Escrow Corp. 9.75%, 8/15/2026
(a)
|
|
|
27,000
|
|
26,448
|
ViaSat, Inc. 6.50%, 7/15/2028
(a)
|
|
|
45,000
|
|
34,471
|
Victoria's Secret & Co. 4.63%, 7/15/2029
(a)
|
|
|
51,000
|
|
40,017
|
See accompanying notes to financial statements.
33
SPDR LOOMIS SAYLES
OPPORTUNISTIC BOND ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2022 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
Virginia Electric & Power Co. Series C, 4.63%,
5/15/2052
|
|
|
$
76,000 |
|
$
66,880 |
Vishay Intertechnology, Inc. 2.25%,
6/15/2025
|
|
|
14,000
|
|
13,570
|
Vista Outdoor, Inc. 4.50%, 3/15/2029
(a)
|
|
|
24,000
|
|
17,679
|
Vistra
Operations Co. LLC: |
|
|
|
|
|
4.38%, 5/1/2029
(a)
|
|
|
46,000
|
|
39,689
|
5.63%, 2/15/2027
(a)
|
|
|
44,000
|
|
42,021
|
Wabash National Corp. 4.50%, 10/15/2028
(a)
|
|
|
45,000
|
|
38,158
|
WarnerMedia Holdings, Inc. 5.14%, 3/15/2052
(a)
|
|
|
54,000
|
|
39,651
|
Waste Pro USA, Inc. 5.50%, 2/15/2026
(a)
|
|
|
20,000
|
|
17,723
|
Watco Cos. LLC/Watco Finance Corp. 6.50%, 6/15/2027
(a)
|
|
|
27,000
|
|
25,610
|
Weatherford International, Ltd. 8.63%, 4/30/2030
(a)
|
|
|
55,000
|
|
53,111
|
Wells Fargo & Co. SOFR + 1.32%, 3.91%, 4/25/2026
(c)
|
|
|
139,000
|
|
135,002
|
WESCO Distribution, Inc. 7.25%, 6/15/2028
(a)
|
|
|
69,000
|
|
69,956
|
Western Global Airlines LLC 10.38%, 8/15/2025
(a)
|
|
|
29,000
|
|
21,914
|
White Cap Buyer LLC 6.88%, 10/15/2028
(a)
|
|
|
22,000
|
|
19,170
|
Windstream Escrow LLC/Windstream Escrow Finance Corp. REGS, 7.75%, 8/15/2028
(a)
|
|
|
30,000
|
|
24,543
|
Winnebago Industries,Inc. 6.25%, 7/15/2028
(a)
|
|
|
85,000
|
|
79,473
|
Ziff Davis, Inc. 1.75%, 11/1/2026
(a)
|
|
|
25,000
|
|
25,063
|
Zscaler, Inc. 0.13%,
7/1/2025
|
|
|
18,000
|
|
18,881
|
|
|
|
|
|
16,376,296
|
TOTAL CORPORATE BONDS & NOTES (Cost
$25,847,331)
|
|
|
|
|
24,125,424
|
ASSET-BACKED
SECURITIES — 4.6% |
|
|
|
|
|
AMMC CLO, Ltd. Series 2014-15A, Class BR3, 5.73%, 1/15/2032
(a)
(c)
|
|
|
250,000
|
|
239,325
|
CBAM Ltd. Series 2018-6A, Class B2R, ABS, 3 Month SOFR + 2.36%, 6.23%, 1/15/2031
(a)
(c)
|
|
|
255,000
|
|
247,529
|
Generate CLO, Ltd. Series 2A, Class BR, 5.77%, 1/22/2031
(a)
(c)
|
|
|
250,000
|
|
238,300
|
Security
Description |
|
|
Principal
Amount |
|
Value
|
Hayfin US XII, Ltd. Series 2018-8A, Class B, ABS, 3 Month USD LIBOR + 1.48%, 5.72%, 4/20/2031
(a)
(c)
|
|
|
$
250,000 |
|
$
238,150 |
OneMain Direct Auto Receivables Trust Series 2021-1A, Class A, ABS, 0.87%, 7/14/2028
(a)
|
|
|
600,000
|
|
557,220
|
TOTAL ASSET-BACKED SECURITIES (Cost
$1,572,715)
|
|
|
|
|
1,520,524
|
|
|
Shares
|
|
CONVERTIBLE
BONDS — 0.3% |
|
|
PANAMA
— 0.1% |
|
|
Carnival Corp.
(a)
|
|
25,000
|
22,445
|
UNITED
STATES — 0.2% |
|
|
Cloudflare,
Inc.
|
|
58,000
|
47,524
|
Liberty Media Corp.-Liberty Formula One
(a)
|
|
25,000
|
24,016
|
Post Holdings, Inc.
(a)
|
|
12,000
|
12,646
|
|
|
|
84,186
|
TOTAL CONVERTIBLE BONDS (Cost
$115,771)
|
|
|
106,631
|
CONVERTIBLE
PREFERRED STOCKS — 0.1% |
|
|
UNITED
STATES — 0.1% |
|
|
NextEra Energy,
Inc.
|
|
313
|
15,803
|
TOTAL CONVERTIBLE PREFERRED STOCKS (Cost
$16,816)
|
|
|
15,803
|
|
|
|
|
PREFERRED
STOCKS — 0.1% |
|
|
|
UNITED
STATES — 0.1% |
|
|
|
American Electric Power Co., Inc.,
6.13%
|
|
192
|
9,903
|
Danaher Corp.,
5.00%
|
|
11
|
14,922
|
NiSource, Inc.,
7.75%
|
|
115
|
11,875
|
|
|
|
36,700
|
TOTAL PREFERRED STOCKS (Cost
$39,910)
|
|
|
36,700
|
|
|
Principal
Amount |
|
SENIOR
FLOATING RATE LOANS — 15.3% |
|
|
|
ADVERTISING
SERVICES — 0.5% |
|
|
|
CMG Media Corp., Senior Secured 2021 Term Loan, 3 Month USD LIBOR + 3.50%, 12/17/2026
(c)
|
|
$
147,739 |
138,743
|
See accompanying notes to financial statements.
34
SPDR LOOMIS SAYLES
OPPORTUNISTIC BOND ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2022 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
Summer Holdco B SARL, Senior Secured 2021 USD Term Loan B2, 3 Month USD LIBOR + 4.50%, 9.23%, 12/4/2026
(c)
|
|
|
$
35,061 |
|
$
32,636 |
|
|
|
|
|
171,379
|
AIRLINES
— 1.2% |
|
|
|
|
|
American Airlines, Inc., Senior Secured 2021 Term Loan, 3 Month USD LIBOR + 4.75%, 8.99%, 4/20/2028
(c)
|
|
|
110,000
|
|
109,708
|
SkyMiles IP Ltd., Senior Secured 2020 Skymiles Term Loan B, 3 Month USD LIBOR + 3.75%, 7.99%, 10/20/2027
(c)
|
|
|
108,000
|
|
110,289
|
United Airlines, Inc., Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 3.75%, 8.11%, 4/21/2028
(c)
|
|
|
188,711
|
|
186,863
|
|
|
|
|
|
406,860
|
AUTO
COMPONENTS — 0.3% |
|
|
|
|
|
USI, Inc., Senior Secured 2022 Incremental Term Loan, 1 Month USD SOFR + 3.75%, 8.33%, 11/22/2029
(c)
|
|
|
99,750
|
|
99,002
|
BEVERAGES
— 0.1% |
|
|
|
|
|
City Brewing Company LLC, Senior Secured Closing Date Term Loan, 1 Month USD LIBOR + 3.50%, 7.79%, 4/5/2028
(c)
|
|
|
55,658
|
|
24,977
|
BROADCAST
SERV/PROGRAM — 1.0% |
|
|
|
|
|
E.W. Scripps Co. (The), Senior Secured 2019 Term Loan B2, 1 Month USD LIBOR + 2.56%, 6.95%, 5/1/2026
(c)
|
|
|
326,407
|
|
320,804
|
BUILDING
PRODUCTS — 0.2% |
|
|
|
|
|
ACProducts, Inc., Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 4.25%, 8.98%, 5/17/2028
(c)
|
|
|
60,037
|
|
45,345
|
Oscar Acquisitionco LLC, Senior Secured Term Loan B, 3 Month USD SOFR + 4.50%, 9.18%, 4/29/2029
(c)
|
|
|
30,923
|
|
29,357
|
|
|
|
|
|
74,702
|
CHEMICALS
— 0.8% |
|
|
|
|
|
Illuminate Buyer LLC, Senior Secured 2021 Term Loan, 1 Month USD LIBOR + 3.50%, 7.88%, 6/30/2027
(c)
|
|
|
112,453
|
|
107,955
|
LSF11 A5 Holdco LLC, Senior Secured Term Loan, 1 Month USD SOFR + 3.50%, 8.05%, 10/15/2028
(c)
|
|
|
110,651
|
|
107,166
|
Security
Description |
|
|
Principal
Amount |
|
Value
|
Olympus Water U.S. Holding Corp., Senior Secured 2021 USD Term Loan B, 3 Month USD LIBOR + 3.75%, 8.50%, 11/9/2028
(c)
|
|
|
$
55,056 |
|
$
52,999 |
|
|
|
|
|
268,120
|
COMMERCIAL
SERVICES — 0.3% |
|
|
|
|
|
Albion Financing 3 SARL, Senior Secured USD Term Loan, 3 Month USD LIBOR + 5.25%, 9.57%, 8/17/2026
(c)
|
|
|
104,894
|
|
99,649
|
COMMERCIAL
SERVICES & SUPPLIES — 0.5% |
|
|
|
|
|
McGraw-Hill Global Education Holdings LLC, Senior Secured 2021 Term Loan, 6 Month USD LIBOR + 4.75%, 8.32%, 7/28/2028
(c)
|
|
|
132,868
|
|
125,435
|
Prime Security Services Borrower LLC, Senior Secured 2021 Term Loan, 3 Month USD LIBOR + 2.75%, 6.50%, 9/23/2026
(c)
|
|
|
47,454
|
|
46,978
|
|
|
|
|
|
172,413
|
COMMUNICATIONS
EQUIPMENT — 0.5% |
|
|
|
|
|
CommScope, Inc., Senior Secured 2019 Term Loan B, 1 Month USD LIBOR + 3.25%, 7.63%, 4/6/2026
(c)
|
|
|
184,059
|
|
173,982
|
CONTAINERS
& PACKAGING — 0.4% |
|
|
|
|
|
Graham Packaging Company, Inc., Senior Secured 2021 Term Loan, 1 Month USD LIBOR + 3.00%, 7.38%, 8/4/2027
(c)
|
|
|
118,196
|
|
116,357
|
DIVERSIFIED
CONSUMER SERVICES — 0.3% |
|
|
|
|
|
Ascend Learning LLC, Senior Secured 2021 Term Loan, 1 Month USD LIBOR + 3.50%, 7.88%, 12/11/2028
(c)
|
|
|
94,221
|
|
89,320
|
DIVERSIFIED
FINANCIAL SERVICES — 0.4% |
|
|
|
|
|
DirecTV Financing LLC, Senior Secured Term Loan, 1 Month USD LIBOR + 5.00%, 9.38%, 8/2/2027
(c)
|
|
|
125,438
|
|
122,394
|
See accompanying notes to financial statements.
35
SPDR LOOMIS SAYLES
OPPORTUNISTIC BOND ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2022 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
ENERGY
EQUIPMENT & SERVICES — 0.4% |
|
|
|
|
|
Carnival Corp., Senior Secured USD Term Loan B, 1 Month USD LIBOR + 3.00%, 7.38%, 6/30/2025
(c)
|
|
|
$
142,276 |
|
$
136,814 |
ENERGY-ALTERNATE
SOURCES — 0.3% |
|
|
|
|
|
Array Technologies, Inc., Senior Secured Term Loan B, 3 Month USD LIBOR + 3.25%, 7.94%, 10/14/2027
(c)
|
|
|
114,766
|
|
109,727
|
FINANCE-CREDIT
CARD — 0.1% |
|
|
|
|
|
Paysafe Holdings (US) Corp., Senior Secured USD Term Loan B1, 1 Month USD LIBOR + 2.75%, 7.14%, 6/28/2028
(c)
|
|
|
43,577
|
|
41,680
|
HEALTH
CARE PROVIDERS & SERVICES — 1.2% |
|
|
|
|
|
Agiliti Health, Inc, Senior Secured 2020 Incremental Term Loan, 1 Month USD LIBOR + 2.75%, 6.88%, 1/4/2026
(c)
|
|
|
58,523
|
|
57,133
|
CHG Healthcare Services, Inc., Senior Secured 2021 Term Loan, 1 Month USD LIBOR + 3.25%, 7.63%, 9/29/2028
(c)
|
|
|
296,250
|
|
290,470
|
Medline Borrower LP, Senior Secured USD Term Loan B, 1 Month USD LIBOR + 3.25%, 7.63%, 10/23/2028
(c)
|
|
|
55,668
|
|
53,002
|
|
|
|
|
|
400,605
|
HOTELS,
RESTAURANTS & LEISURE — 0.9% |
|
|
|
|
|
Caesars Resort Collection LLC, Senior Secured 2017 1st Lien Term Loan B, 1 Month USD LIBOR + 2.75%, 7.13%, 12/23/2024
(c)
|
|
|
301,962
|
|
301,672
|
INSURANCE
— 0.9% |
|
|
|
|
|
Amynta Agency Borrower, Inc., Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 4.50%, 8.88%, 2/28/2025
(c)
|
|
|
103,644
|
|
98,461
|
Sedgwick Claims Management Services, Inc., Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 3.25%, 7.63%, 12/31/2025
(c)
|
|
|
220,040
|
|
214,402
|
|
|
|
|
|
312,863
|
Security
Description |
|
|
Principal
Amount |
|
Value
|
INTERNET
& CATALOG RETAIL — 0.5% |
|
|
|
|
|
Uber Technologies, Inc., Senior Secured 2021 1st Lien Term Loan B, 3 Month USD LIBOR + 3.50%, 7.17%, 4/4/2025
(c)
|
|
|
$
160,060 |
|
$
159,727 |
INTERNET
& TELECOM — 0.3% |
|
|
|
|
|
Arches Buyer, Inc., Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 3.25%, 7.63%, 12/6/2027
(c)
|
|
|
103,417
|
|
96,017
|
IT
SERVICES — 0.2% |
|
|
|
|
|
CoreLogic, Inc., Senior Secured Term Loan, 1 Month USD LIBOR + 3.50%, 7.94%, 6/2/2028
(c)
|
|
|
62,264
|
|
52,166
|
LIFE
SCIENCES TOOLS & SERVICES — 0.1% |
|
|
|
|
|
Avantor Funding, Inc., Senior Secured 2021 Term Loan B5, 1 Month USD LIBOR + 2.25%, 6.63%, 11/8/2027
(c)
|
|
|
33,806
|
|
33,700
|
MACHINERY-CONSTRUCTION
& MINING — 0.2% |
|
|
|
|
|
Clear Channel Outdoor Holdings, Inc., Senior Secured Term Loan B, 3 Month USD LIBOR + 3.50%, 7.91%, 8/21/2026
(c)
|
|
|
61,344
|
|
56,015
|
MEDIA
— 0.3% |
|
|
|
|
|
MH Sub I LLC, Senior Secured 2017 1st Lien Term Loan, 1 Month USD LIBOR + 3.75%, 8.13%, 9/13/2024
(c)
|
|
|
109,747
|
|
106,850
|
MISCELLANEOUS
MANUFACTUR — 0.2% |
|
|
|
|
|
Gates Global LLC, Senior Secured 2021 Term Loan B3, 1 Month USD LIBOR + 2.50%, 6.88%, 3/31/2027
(c)
|
|
|
76,729
|
|
75,251
|
PHARMACEUTICALS
— 0.3% |
|
|
|
|
|
Jazz Financing Lux SARL, Senior Secured USD Term Loan, 1 Month USD LIBOR + 3.50%, 7.88%, 5/5/2028
(c)
|
|
|
93,264
|
|
92,586
|
PROFESSIONAL
SERVICES — 0.8% |
|
|
|
|
|
Dun & Bradstreet Corp., Senior Secured Term Loan, 1 Month USD LIBOR + 3.25%, 7.64%, 2/6/2026
(c)
|
|
|
126,342
|
|
125,406
|
See accompanying notes to financial statements.
36
SPDR LOOMIS SAYLES
OPPORTUNISTIC BOND ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2022 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
Proofpoint, Inc., Senior Secured 1st Lien Term Loan, 3 Month USD LIBOR + 3.25%, 7.98%, 8/31/2028
(c)
|
|
|
$
133,987 |
|
$
128,842 |
|
|
|
|
|
254,248
|
RETAIL-BUILDING
PRODUCTS — 0.2% |
|
|
|
|
|
Park River Holdings, Inc., Senior Secured Term Loan, 3 Month USD LIBOR + 3.25%, 6.99%, 12/28/2027
(c)
|
|
|
88,871
|
|
78,096
|
RETAIL-RESTAURANTS
— 0.4% |
|
|
|
|
|
IRB Holding Corp., Senior Secured 2020 Term Loan B, 1 Month USD LIBOR + 2.75%, 7.13%, 2/5/2025
(c)
|
|
|
120,304
|
|
119,420
|
SOFTWARE
— 0.9% |
|
|
|
|
|
Camelot U.S. Acquisition LLC, Senior Secured Term Loan B, 1 Month USD LIBOR + 3.00%, 7.38%, 10/30/2026
(c)
|
|
|
127,060
|
|
125,234
|
RealPage, Inc., Senior Secured 1st Lien Term Loan, 1 Month USD LIBOR + 3.00%, 7.38%, 4/24/2028
(c)
|
|
|
59,002
|
|
56,228
|
Sabre
GLBL, Inc.: |
|
|
|
|
|
Senior Secured 2021 Term Loan B1, 1 Month USD LIBOR + 3.50%, 7.88%, 12/17/2027
(c)
|
|
|
45,566
|
|
41,636
|
Senior Secured 2021 Term Loan B2, 1 Month USD LIBOR + 3.50%, 7.88%, 12/17/2027
(c)
|
|
|
72,634
|
|
66,370
|
|
|
|
|
|
289,468
|
SPECIALTY
RETAIL — 0.3% |
|
|
|
|
|
At Home Group, Inc., Senior Secured Term Loan B, 3 Month USD LIBOR + 4.00%, 8.98%, 7/24/2028
(c)
|
|
|
53,588
|
|
42,408
|
Michaels Companies, Inc., Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 4.25%, 8.98%, 4/15/2028
(c)
|
|
|
73,815
|
|
63,994
|
|
|
|
|
|
106,402
|
TRANSPORT-SERVICES
— 0.3% |
|
|
|
|
|
Endure Digital, Inc., Senior Secured Term Loan, 1 Month USD LIBOR + 3.50%, 7.72%, 2/10/2028
(c)
|
|
|
99,846
|
|
90,111
|
TOTAL SENIOR FLOATING RATE LOANS (Cost
$5,289,681)
|
|
|
|
|
5,053,377
|
Security
Description |
|
|
Shares
|
|
Value
|
MUTUAL
FUNDS AND EXCHANGE TRADED PRODUCTS — 2.0% |
|
|
|
|
|
UNITED
STATES — 2.0% |
|
|
|
|
|
SPDR Blackstone Senior Loan ETF
(d)
|
|
|
8,015
|
|
$
327,814 |
SPDR Bloomberg High Yield Bond ETF
(d)
|
|
|
3,700
|
|
333,000
|
|
|
|
|
|
660,814
|
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS (Cost
$661,295)
|
|
|
|
|
660,814
|
|
|
Principal
Amount |
|
COMMERCIAL
MORTGAGE BACKED SECURITIES — 0.3% |
|
|
|
COMM Mortgage Trust Series 2012-CR3, Class B, 3.92%, 10/15/2045 (a) (Cost
$99,000)
|
|
$
100,000 |
88,827
|
TOTAL INVESTMENTS — 95.8% (Cost
$33,642,519)
|
|
|
31,608,100
|
OTHER ASSETS IN EXCESS OF LIABILITIES — 4.2%
|
|
|
1,379,169
|
NET ASSETS — 100.0%
|
|
|
$
32,987,269 |
(a)
|
Securities
purchased pursuant to Rule 144A of the Securities Act of 1933, as amended. These securities, which represent 36.3% of net assets as of December 31, 2022, are considered liquid and may be resold in transactions exempt from registration, normally to
qualified institutional buyers. |
(b)
|
Amount
is less than 0.05% of net assets. |
(c)
|
Variable
Rate Security - Interest rate shown is rate in effect at December 31, 2022. For securities based on a published reference rate and spread, the reference rate and spread are indicated in the description above. |
(d)
|
Affiliated
fund managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2022 are shown in the Affiliate Table below. |
ABS
|
Asset-Backed Security
|
CLO
|
Collateralized
Loan Obligation |
CMT
|
Constant
Maturity Treasury |
ISDA
|
International
Swaps and Derivatives Association |
LIBOR
|
London
Interbank Offered Rate |
SOFR
|
Secured
Overnight Financing Rate |
VRN
|
Variable
Rate Note |
See accompanying notes to financial statements.
37
SPDR LOOMIS SAYLES
OPPORTUNISTIC BOND ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2022 (Unaudited)
At
December 31, 2022, open forward foreign currency exchange contracts were as follows:
Counterparty
|
|
Amount
Sold |
|
Amount
Bought |
|
Settlement
Date |
|
Net
Unrealized Appreciation/ (Depreciation) |
Commonwealth
Bank of Australia |
|
EUR
37,000 |
|
USD
39,404 |
|
01/19/2023
|
|
$(123)
|
Commonwealth
Bank of Australia |
|
EUR
95,000 |
|
USD
101,339 |
|
01/19/2023
|
|
(151)
|
Total
|
|
|
|
|
|
|
|
$(274)
|
|
During the period December 31, 2022, average notional value
related to foreign currency exchange contracts wa $127,594.
At December 31, 2022, open futures contracts were as
follows:
Description
|
|
Number
of Contracts |
|
Expiration
Date |
|
Notional
Amount |
|
Value
|
|
Unrealized
Appreciation (Depreciation) |
10
Yr. U.S. Treasury Ultra Futures (long) |
|
52
|
|
03/22/2023
|
|
$
6,241,153 |
|
$
6,150,625 |
|
$
(90,823) |
5
Yr. U.S. Treasury Note Futures (long) |
|
63
|
|
03/31/2023
|
|
6,877,923
|
|
6,799,570
|
|
(78,353)
|
2
Yr. U.S. Treasury Note Futures (long) |
|
28
|
|
03/31/2023
|
|
5,769,263
|
|
5,742,188
|
|
(27,075)
|
|
|
|
|
|
|
|
|
|
|
$(196,251)
|
Euro-Bund
Futures (short) |
|
(14)
|
|
03/08/2023
|
|
(2,031,593)
|
|
(1,986,173)
|
|
54,033
|
|
|
|
|
|
|
|
|
|
|
$(142,218)
|
During the period ended June 30, 2022, average notional value
related to long futures contracts was $10,134,349 and short futures contracts was $283,789.
During the period ended December 31, 2022, average notional
value related to swap contracts was $651,214. There were no swaps held at December 31, 2022.
The following table summarizes the value of the Fund's
investments according to the fair value hierarchy as of December 31, 2022.
Description
|
|
Level
1 – Quoted Prices |
|
Level
2 – Other Significant Observable Inputs |
|
Level
3 – Significant Unobservable Inputs |
|
Total
|
ASSETS:
|
|
|
|
|
|
|
|
|
INVESTMENTS:
|
|
|
|
|
|
|
|
|
Corporate Bonds &
Notes
|
|
$
— |
|
$24,125,424
|
|
$—
|
|
$24,125,424
|
Asset-Backed
Securities
|
|
—
|
|
1,520,524
|
|
—
|
|
1,520,524
|
Commercial Mortgage Backed
Securities
|
|
—
|
|
88,827
|
|
—
|
|
88,827
|
Convertible
Bonds
|
|
—
|
|
106,631
|
|
—
|
|
106,631
|
Convertible Preferred
Stocks
|
|
15,803
|
|
—
|
|
—
|
|
15,803
|
Mutual Funds and Exchange Traded
Products
|
|
660,814
|
|
—
|
|
—
|
|
660,814
|
Preferred
Stocks
|
|
36,700
|
|
—
|
|
—
|
|
36,700
|
Senior Floating Rate
Loans
|
|
—
|
|
5,053,377
|
|
—
|
|
5,053,377
|
See accompanying notes to financial statements.
38
SPDR LOOMIS SAYLES
OPPORTUNISTIC BOND ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2022 (Unaudited)
Description
|
|
Level
1 – Quoted Prices |
|
Level
2 – Other Significant Observable Inputs |
|
Level
3 – Significant Unobservable Inputs |
|
Total
|
TOTAL
INVESTMENTS
|
|
$
713,317 |
|
$30,894,783
|
|
$—
|
|
$31,608,100
|
OTHER
FINANCIAL INSTRUMENTS: |
|
|
|
|
|
|
|
|
Short
Futures(a)
|
|
54,033
|
|
—
|
|
—
|
|
54,033
|
TOTAL OTHER FINANCIAL
INSTRUMENTS:
|
|
$
54,033 |
|
$
— |
|
$—
|
|
$
54,033 |
TOTAL INVESTMENTS AND OTHER FINANCIAL
INSTRUMENTS
|
|
$
767,350 |
|
$30,894,783
|
|
$—
|
|
$31,662,133
|
LIABILITIES:
|
|
|
|
|
|
|
|
|
OTHER
FINANCIAL INSTRUMENTS: |
|
|
|
|
|
|
|
|
Foreign Currency Exchange
Contracts(b)
|
|
—
|
|
(274)
|
|
—
|
|
(274)
|
Futures
Contracts(a)
|
|
(196,251)
|
|
—
|
|
—
|
|
(196,251)
|
TOTAL OTHER FINANCIAL
INSTRUMENTS:
|
|
$(196,251)
|
|
$
(274) |
|
$—
|
|
$
(196,525) |
(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 6/30/22 |
|
Value
at 6/30/22 |
|
Cost
of Purchases |
|
Proceeds
from Shares Sold |
|
Realized
Gain (Loss) |
|
Change
in Unrealized Appreciation/ Depreciation |
|
Number
of Shares Held at 12/31/22 |
|
Value
at 12/31/22 |
|
Dividend
Income |
SPDR Blackstone Senior Loan
ETF
|
—
|
|
$
— |
|
$
625,451 |
|
$
295,103 |
|
$(871)
|
|
$(1,664)
|
|
8,015
|
|
$327,813
|
|
$
7,499 |
SPDR Bloomberg High Yield Bond
ETF
|
—
|
|
—
|
|
627,764
|
|
296,695
|
|
749
|
|
1,182
|
|
3,700
|
|
333,000
|
|
7,305
|
State Street Institutional U.S. Government Money Market Fund, Class G
Shares
|
1,958,487
|
|
1,958,487
|
|
17,245,680
|
|
19,204,167
|
|
—
|
|
—
|
|
—
|
|
—
|
|
23,215
|
Total
|
|
|
$1,958,487
|
|
$18,498,895
|
|
$19,795,965
|
|
$(122)
|
|
$
(482) |
|
|
|
$660,813
|
|
$38,019
|
See accompanying notes to financial statements.
39
SPDR NUVEEN
MUNICIPAL BOND ETF
SCHEDULE OF INVESTMENTS
December 31, 2022 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
MUNICIPAL
BONDS & NOTES — 92.5% |
|
|
|
ALABAMA
— 2.4% |
|
|
|
|
Black Belt Energy Gas District Series B, 4.00%, 10/1/2052
(a)
|
|
$
500,000 |
|
$
494,034 |
Southeast Energy Authority, A Cooperative District , General Obligation Series B, 4.00%, 12/1/2051
(a)
|
|
500,000
|
|
482,247
|
|
|
|
|
|
976,281
|
ARIZONA
— 0.2% |
|
|
|
|
Maricopa County Industrial Development Authority Revenue AMT, 4.00%, 10/15/2047
(b)
|
|
100,000
|
|
80,873
|
ARKANSAS
— 1.2% |
|
|
|
|
Arkansas Development Finance Authority AMT, 5.45%, 9/1/2052
(b)
|
|
500,000
|
|
483,558
|
CALIFORNIA
— 13.0% |
|
|
|
|
Anaheim Public Financing Authority Revenue Series C, ETM, Zero Coupon, 9/1/2036
(c)
|
|
320,000
|
|
197,149
|
California Housing Finance Revenue 3.50%,
11/20/2035
|
|
175,393
|
|
158,639
|
California,
State General Obligation: |
|
|
|
|
5.00%,
8/1/2029
|
|
100,000
|
|
108,246
|
5.00%,
8/1/2030
|
|
360,000
|
|
388,961
|
5.00%,
9/1/2031
|
|
245,000
|
|
264,889
|
5.00%,
8/1/2033
|
|
280,000
|
|
301,421
|
Los Angeles County Metropolitan Transportation Authority Sales Tax Revenue 5.00%,
6/1/2026
|
|
745,000
|
|
806,675
|
Los
Angeles, CA, Department of Water & Power System Revenue: |
|
|
|
|
Series B, 5.00%,
7/1/2026
|
|
640,000
|
|
693,190
|
Series E, 5.00%,
7/1/2039
|
|
380,000
|
|
389,684
|
Municipal Improvement Corp. of Los Angeles, Revenue Series A, 1.45%,
11/1/2027
|
|
540,000
|
|
457,338
|
Norman Y Mineta San Jose International Airport SJC Revenue Series A, 5.00%,
3/1/2037
|
|
210,000
|
|
216,246
|
Orange County Community Facilities District Series A, 5.00%,
8/15/2037
|
|
250,000
|
|
260,820
|
Palomar Health, General Obligation Series A, Zero Coupon,
8/1/2027
|
|
100,000
|
|
85,707
|
Sacramento City Financing Authority Revenue 5.00%,
12/1/2026
|
|
190,000
|
|
202,714
|
Security
Description |
|
|
Principal
Amount |
|
Value
|
San Francisco City & County Airport Comm-San Francisco International Airport Revenue Series H, AMT, 5.00%,
5/1/2028
|
|
$
175,000 |
|
$
186,735 |
University of California, Revenue Series BI, 1.37%,
5/15/2028
|
|
595,000
|
|
494,796
|
|
|
|
|
|
5,213,210
|
COLORADO
— 2.1% |
|
|
|
|
City & County of Denver Co. Airport System Revenue Series B2, 5.00%, 11/15/2031
(a)
|
|
400,000
|
|
418,320
|
Denver Convention Center Hotel Authority Revenue 5.00%,
12/1/2030
|
|
400,000
|
|
409,831
|
|
|
|
|
|
828,151
|
CONNECTICUT
— 2.7% |
|
|
|
|
Connecticut, State Health & Educational Facility Authority Revenue Series A, 5.00%,
7/1/2027
|
|
120,000
|
|
123,406
|
South Central Connecticut Regional Water Authority Revenue Series B, 5.00%,
8/1/2037
|
|
125,000
|
|
131,541
|
State of Connecticut Series F, 5.00%,
11/15/2041
|
|
610,000
|
|
666,483
|
State of Connecticut, General Obligation Series B, 5.00%,
2/15/2028
|
|
150,000
|
|
165,896
|
|
|
|
|
|
1,087,326
|
DELAWARE
— 0.8% |
|
|
|
|
Delaware Transportation Authority 5.00%,
7/1/2035
|
|
275,000
|
|
311,991
|
FLORIDA
— 6.3% |
|
|
|
|
County of Miami-Dade FL Aviation Revenue Series A, 5.00%,
10/1/2029
|
|
210,000
|
|
214,474
|
County of Miami-Dade FL Water & Sewer System Revenue 3.00%,
10/1/2036
|
|
500,000
|
|
452,733
|
Florida Development Finance Corp. AMT, VRN, 7.25%, 7/1/2057
(a)
(b)
|
|
540,000
|
|
538,391
|
Miami-Dade County, FL, General Obligation Series A, 5.00%,
7/1/2029
|
|
245,000
|
|
259,434
|
State of Florida Department of Transportation Series A, 5.00%,
7/1/2025
|
|
1,000,000
|
|
1,053,418
|
|
|
|
|
|
2,518,450
|
GUAM
— 0.8% |
|
|
|
|
Territory of Guam Revenue Series A, 5.00%,
11/1/2035
|
|
300,000
|
|
312,630
|
See accompanying notes to financial statements.
40
SPDR NUVEEN
MUNICIPAL BOND ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2022 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
HAWAII
— 2.4% |
|
|
|
|
Hawaii, State General Obligation Series EY, 5.00%,
10/1/2027
|
|
$
905,000 |
|
$
961,879 |
ILLINOIS
— 8.4% |
|
|
|
|
Chicago Board of Education, General Obligation Series A, 5.00%,
12/1/2035
|
|
300,000
|
|
302,055
|
Chicago Transit Authority Capital Grant Receipts Revenue 5.00%,
6/1/2024
|
|
150,000
|
|
153,748
|
Chicago, IL, Board of Education, General Obligation Series A, 5.00%,
12/1/2036
|
|
300,000
|
|
300,569
|
Chicago, IL, O'Hare International Airport Revenue Series B, 5.00%,
1/1/2029
|
|
160,000
|
|
166,092
|
Illinois, State Finance Authority Revenue 5.00%,
7/1/2039
|
|
230,000
|
|
250,630
|
Illinois, State Toll Highway Authority Revenue Series A, 5.00%,
1/1/2035
|
|
400,000
|
|
429,386
|
Northern Illinois Municipal Power Agency Revenue Series A, 5.00%,
12/1/2029
|
|
360,000
|
|
388,626
|
State of Illinois Sales Tax Revenue 5.00%,
6/15/2026
|
|
565,000
|
|
588,231
|
State
of Illinois, General Obligation: |
|
|
|
|
Series A, 4.00%,
3/1/2038
|
|
730,000
|
|
651,590
|
Series A, 5.00%,
12/1/2031
|
|
150,000
|
|
152,340
|
|
|
|
|
|
3,383,267
|
IOWA
— 0.5% |
|
|
|
|
Iowa Finance Authority Revenue 4.00%, 12/1/2050
(a)
|
|
200,000
|
|
191,298
|
KENTUCKY
— 0.2% |
|
|
|
|
Kentucky, Economic Development Finance Authority Revenue Series A, 4.25%,
7/1/2035
|
|
100,000
|
|
93,391
|
LOUISIANA
— 0.7% |
|
|
|
|
Louisiana Local Gov't Environmental Facilities & Community Development Auth Series B, 5.00%,
8/15/2025
|
|
250,000
|
|
262,939
|
MARYLAND
— 3.0% |
|
|
|
|
State
of Maryland Department of Transportation Revenue: |
|
|
|
|
5.00%,
8/1/2027
|
|
250,000
|
|
265,613
|
5.00%,
8/1/2028
|
|
400,000
|
|
427,954
|
5.00%,
8/1/2030
|
|
200,000
|
|
216,662
|
5.00%,
8/1/2031
|
|
250,000
|
|
272,682
|
|
|
|
|
|
1,182,911
|
MASSACHUSETTS
— 3.9% |
|
|
|
|
Massachusetts
Clean Water Trust: |
|
|
|
|
Series 2018, 5.00%,
2/1/2029
|
|
690,000
|
|
707,677
|
Security
Description |
|
|
Principal
Amount |
|
Value
|
Series 24B, 5.00%,
2/1/2037
|
|
$
750,000 |
|
$
855,496 |
|
|
|
|
|
1,563,173
|
MICHIGAN
— 0.3% |
|
|
|
|
Michigan, State Finance Authority Revenue 5.00%,
11/1/2034
|
|
110,000
|
|
121,189
|
MINNESOTA
— 0.3% |
|
|
|
|
State of Mississippi, General Obligation Series A, 5.00%,
8/1/2035
|
|
100,000
|
|
110,561
|
MISSOURI
— 2.7% |
|
|
|
|
City of State Louis, MO, Airport Revenue 5.00%,
7/1/2029
|
|
100,000
|
|
111,594
|
Park Hill School District of Platte County 3.00%,
3/1/2032
|
|
1,000,000
|
|
980,683
|
|
|
|
|
|
1,092,277
|
NEW
JERSEY — 3.4% |
|
|
|
|
New Jersey Economic Development Authority Revenue 5.00%,
6/15/2031
|
|
1,000,000
|
|
1,090,011
|
New Jersey Transportation Trust Fund Authority Revenue Series A, 5.00%,
6/15/2025
|
|
245,000
|
|
255,241
|
|
|
|
|
|
1,345,252
|
NEW
MEXICO — 2.5% |
|
|
|
|
New Mexico Hospital Equipment Loan Council 4.00%,
8/1/2039
|
|
1,000,000
|
|
987,312
|
NEW
YORK — 4.9% |
|
|
|
|
City of New York, NY, General Obligation Series A-1, 4.00%,
8/1/2037
|
|
1,000,000
|
|
995,266
|
New York City Transitional Finance Authority Future Tax Secured Revenue 5.00%,
11/1/2023
|
|
10,000
|
|
10,161
|
New York, NY, City Transitional Finance Authority, Future Tax Secured Revenue 5.00%,
8/1/2027
|
|
120,000
|
|
123,808
|
New
York, State Dormitory Authority Revenue, State Supported Debt: |
|
|
|
|
Series B-GRP B, 5.00%,
2/15/2034
|
|
300,000
|
|
312,231
|
Series E, 5.25%,
3/15/2033
|
|
400,000
|
|
424,508
|
Triborough Bridge & Tunnel Authority Revenue Series A, 5.00%,
11/1/2025
|
|
85,000
|
|
90,442
|
|
|
|
|
|
1,956,416
|
NORTH
CAROLINA — 1.3% |
|
|
|
|
County of Wake NC Series A, 5.00%,
2/1/2025
|
|
500,000
|
|
524,006
|
See accompanying notes to financial statements.
41
SPDR NUVEEN
MUNICIPAL BOND ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2022 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
OHIO
— 2.4% |
|
|
|
|
State of Ohio Revenue 5.00%,
1/1/2029
|
|
$
850,000 |
|
$
952,197 |
OREGON
— 4.4% |
|
|
|
|
Medford Hospital Facilities Authority Revenue Series A, 5.00%,
8/15/2032
|
|
900,000
|
|
993,773
|
Washington & Clackamas Counties School District No. 23J Tigard-Tualatin, General Obligation Series A, 5.00%,
6/15/2038
|
|
695,000
|
|
757,662
|
|
|
|
|
|
1,751,435
|
PENNSYLVANIA
— 5.3% |
|
|
|
|
City of Philadelphia PA Airport Revenue Series B, 5.00%,
7/1/2032
|
|
750,000
|
|
782,811
|
Commonwealth Financing Authority 4.00%, 6/1/2039
(c)
|
|
500,000
|
|
491,938
|
Pennsylvania Economic Development Financing Authority Revenue Series A, 5.00%,
2/1/2025
|
|
100,000
|
|
102,948
|
Pennsylvania, State General Obligation 5.00%,
3/15/2027
|
|
100,000
|
|
104,614
|
Pennsylvania, State University, Revenue Series B, 5.00%,
9/1/2033
|
|
600,000
|
|
645,919
|
|
|
|
|
|
2,128,230
|
TENNESSEE
— 1.1% |
|
|
|
|
New Memphis Arena Public Building Authority Revenue 4.00%,
4/1/2030
|
|
530,000
|
|
462,167
|
TEXAS
— 3.1% |
|
|
|
|
Harris County-Houston Sports Authority Series A, 5.00%,
11/15/2029
|
|
505,000
|
|
517,863
|
Houston of Harris County, TX, Port Authority General Obligation Series A, 5.00%,
10/1/2027
|
|
260,000
|
|
284,486
|
New Hope, Cultural Education Facilities Corp. Revenue Series A-1, 5.50%,
1/1/2057
|
|
320,000
|
|
230,620
|
Plano, TX, Independent School District, General Obligation Series A, 5.00%, 2/15/2027
(c)
|
|
215,000
|
|
229,794
|
|
|
|
|
|
1,262,763
|
UTAH
— 3.9% |
|
|
|
|
City of Salt Lake City UT Airport Revenue Series A, 5.00%,
7/1/2024
|
|
815,000
|
|
834,693
|
Vineyard
Redevelopment Agency: |
|
|
|
|
5.00%, 5/1/2024
(c)
|
|
350,000
|
|
359,364
|
Security
Description |
|
|
Principal
Amount |
|
Value
|
5.00%, 5/1/2027
(c)
|
|
$
325,000 |
|
$
352,704 |
|
|
|
|
|
1,546,761
|
VIRGINIA
— 1.2% |
|
|
|
|
Virginia
Small Business Financing Authority Revenue: |
|
|
|
|
5.00%,
6/30/2039
|
|
125,000
|
|
129,211
|
5.00%,
12/31/2039
|
|
355,000
|
|
366,959
|
|
|
|
|
|
496,170
|
WASHINGTON
— 3.0% |
|
|
|
|
Port of Seattle WA Series C, 5.00%,
4/1/2035
|
|
750,000
|
|
762,649
|
Port of Seattle WA Revenue Series A, 5.00%,
8/1/2033
|
|
230,000
|
|
266,201
|
Washington, State General Obligation Series A, 5.00%,
8/1/2029
|
|
150,000
|
|
161,342
|
|
|
|
|
|
1,190,192
|
WISCONSIN
— 4.1% |
|
|
|
|
Public Finance Authority 6.00%,
6/15/2052
|
|
250,000
|
|
228,514
|
Wisconsin
Health & Educational Facilities Authority Revenue: |
|
|
|
|
5.00%,
10/15/2027
|
|
350,000
|
|
375,438
|
5.00%,
10/15/2028
|
|
850,000
|
|
923,333
|
Wisconsin, State General Obligation Series 2, 5.00%,
11/1/2027
|
|
100,000
|
|
109,576
|
|
|
|
|
|
1,636,861
|
TOTAL MUNICIPAL BONDS & NOTES (Cost
$39,788,552)
|
|
37,015,117
|
|
|
|
Shares
|
|
SHORT-TERM
INVESTMENT — 3.6% |
|
State Street Institutional U.S. Government Money Market Fund, Class G Shares 4.16% (d) (e) (Cost
$1,442,669)
|
1,442,669
|
1,442,669
|
TOTAL INVESTMENTS — 96.1% (Cost
$41,231,221)
|
38,457,786
|
OTHER ASSETS IN EXCESS OF LIABILITIES — 3.9%
|
1,578,828
|
NET ASSETS —
100.0%
|
$
40,036,614 |
See accompanying notes to financial
statements.
42
SPDR NUVEEN
MUNICIPAL BOND ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2022 (Unaudited)
(a)
|
Variable
Rate Security - Interest rate shown is rate in effect at December 31, 2022. 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 2.8% of net assets as of December 31, 2022, are considered liquid and may be resold in transactions exempt from registration, normally to
qualified institutional buyers. |
(c)
|
Bond
is insured by the following: |
|
%
of Net Assets |
Assured Guaranty Municipal
Corp.
|
3.5%
|
Permanent School Fund
Guaranteed
|
0.6%
|
(d)
|
The
Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2022 are shown in the Affiliate Table below. |
(e)
|
The
rate shown is the annualized seven-day yield at December 31, 2022. |
AMT
|
Alternative
Minimum Tax |
ETM
|
Escrowed
to Maturity |
UT
|
Unlimited
Tax |
VRN
|
Variable
Rate Note |
The following table summarizes the value of the Fund's
investments according to the fair value hierarchy as of December 31, 2022.
Description
|
|
Level
1 – Quoted Prices |
|
Level
2 – Other Significant Observable Inputs |
|
Level
3 – Significant Unobservable Inputs |
|
Total
|
ASSETS:
|
|
|
|
|
|
|
|
|
INVESTMENTS:
|
|
|
|
|
|
|
|
|
Municipal Bonds &
Notes
|
|
$
— |
|
$37,015,117
|
|
$—
|
|
$
37,015,117 |
Short-Term
Investment
|
|
1,442,669
|
|
—
|
|
—
|
|
1,442,669
|
TOTAL
INVESTMENTS
|
|
$1,442,669
|
|
$37,015,117
|
|
$—
|
|
$38,457,786
|
Affiliate Table
|
Number
of Shares Held at 6/30/22 |
|
Value
at 6/30/22 |
|
Cost
of Purchases |
|
Proceeds
from Shares Sold |
|
Realized
Gain (Loss) |
|
Change
in Unrealized Appreciation/ Depreciation |
|
Number
of Shares Held at 12/31/22 |
|
Value
at 12/31/22 |
|
Dividend
Income |
State Street Institutional U.S. Government Money Market Fund, Class G
Shares
|
1,595,897
|
|
$1,595,897
|
|
$9,012,977
|
|
$9,166,205
|
|
$—
|
|
$—
|
|
1,442,669
|
|
$1,442,669
|
|
$35,463
|
See accompanying notes to financial statements.
43
SPDR NUVEEN
MUNICIPAL BOND ESG ETF
SCHEDULE OF INVESTMENTS
December 31, 2022 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
MUNICIPAL
BONDS & NOTES — 93.2% |
|
|
|
ARIZONA
— 0.7% |
|
|
|
|
City of Phoenix Civic Improvement Corp. Series D, Class D, 5.00%,
7/1/2030
|
|
$
215,000 |
|
$
234,866 |
CALIFORNIA
— 10.8% |
|
|
|
|
California Health Facilities Financing Authority Series A-1, Class A1, 5.00%,
11/1/2027
|
|
200,000
|
|
222,188
|
California,
State General Obligation: |
|
|
|
|
4.00%,
11/1/2026
|
|
750,000
|
|
787,567
|
5.00%,
8/1/2024
|
|
100,000
|
|
103,534
|
5.00%,
3/1/2027
|
|
120,000
|
|
126,114
|
Compton Unified School District Series B, Class B, Build America Mutual Assurance Company, 4.00%, 6/1/2032
(a)
|
|
175,000
|
|
183,035
|
Folsom Ranch Financing Authority Revenue 5.00%,
9/1/2029
|
|
145,000
|
|
155,663
|
Hartnell Community College District/CA Series B, 4.00%,
8/1/2034
|
|
215,000
|
|
223,731
|
Los Angeles County Metropolitan Transportation Authority Sales Tax Revenue Series A, 5.00%,
7/1/2025
|
|
125,000
|
|
132,608
|
Los
Angeles, CA, Department of Water & Power System Revenue: |
|
|
|
|
Series A, 5.00%,
7/1/2028
|
|
250,000
|
|
279,604
|
Series E, 5.00%,
7/1/2039
|
|
600,000
|
|
615,291
|
Orange County Community Facilities District Series A, 5.00%,
8/15/2052
|
|
200,000
|
|
200,986
|
San Francisco City & County Airport Comm-San Francisco International Airport Revenue Class D, 5.00%,
5/1/2025
|
|
375,000
|
|
394,655
|
San Francisco Unified School District, General Obligations 4.00%,
6/15/2026
|
|
185,000
|
|
193,504
|
San Mateo Foster City Public Financing Authority, Revenue 4.00%,
8/1/2035
|
|
175,000
|
|
184,031
|
|
|
|
|
|
3,802,511
|
COLORADO
— 2.1% |
|
|
|
|
Colorado Health Facilities Authority Revenue Series A, 5.00%,
1/1/2025
|
|
300,000
|
|
312,740
|
Regional Transportation District Revenue Series A, Class A, 5.00%,
7/15/2027
|
|
400,000
|
|
416,427
|
|
|
|
|
|
729,167
|
Security
Description |
|
|
Principal
Amount |
|
Value
|
CONNECTICUT
— 4.6% |
|
|
|
|
State of Connecticut Series F, 5.00%,
11/15/2041
|
|
$
610,000 |
|
$
666,483 |
State of Connecticut, General Obligation Series E, 5.00%,
10/15/2029
|
|
500,000
|
|
540,259
|
University of Connecticut Revenue Series A, Class A, 5.00%,
4/15/2026
|
|
380,000
|
|
407,472
|
|
|
|
|
|
1,614,214
|
DELAWARE
— 1.5% |
|
|
|
|
Delaware Municipal Electric Corp. Revenue 5.00%,
7/1/2030
|
|
300,000
|
|
342,873
|
Delaware Transportation Authority Revenue 3.25%,
7/1/2025
|
|
180,000
|
|
181,447
|
|
|
|
|
|
524,320
|
DISTRICT
OF COLUMBIA — 2.8% |
|
|
|
|
District of Columbia Revenue Class A, 5.00%,
8/31/2026
|
|
700,000
|
|
728,547
|
Washington Metropolitan Area Transit Authority Revenue 5.00%,
7/1/2024
|
|
250,000
|
|
258,180
|
|
|
|
|
|
986,727
|
FLORIDA
— 9.5% |
|
|
|
|
City of Gainesville FL Utilities System Revenue Series A, 5.00%,
10/1/2025
|
|
290,000
|
|
306,569
|
City of Pompano Beach, FL , Revenue 3.50%,
9/1/2030
|
|
250,000
|
|
224,300
|
County of Miami-Dade FL Aviation Revenue Series A, Class A, 5.00%,
10/1/2024
|
|
370,000
|
|
383,636
|
Florida Development Finance Corp. AMT, VRN, 7.25%, 7/1/2057
(b)
(c)
|
|
300,000
|
|
299,106
|
Florida
Development Finance Corp. Revenue: |
|
|
|
|
4.00%,
11/15/2034
|
|
385,000
|
|
385,464
|
Series A, Class A, 4.00%,
6/15/2042
|
|
500,000
|
|
426,527
|
Miami-Dade County Expressway Authority Revenue Series A, Class A, 5.00%,
7/1/2025
|
|
100,000
|
|
102,593
|
Orlando Utilities Commission Revenue Revenue Series A, 5.00%,
10/1/2027
|
|
150,000
|
|
165,597
|
Palm Beach County Health Facilities Authority Revenue 5.00%,
11/15/2032
|
|
100,000
|
|
100,657
|
See accompanying notes to financial statements.
44
SPDR NUVEEN
MUNICIPAL BOND ESG ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2022 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
Somerset
Community Development District: |
|
|
|
|
4.00%,
5/1/2032
|
|
$
200,000 |
|
$
185,023 |
4.20%,
5/1/2037
|
|
200,000
|
|
177,855
|
Tallahassee, FL, Energy System Revenue Series A, 5.00%,
10/1/2037
|
|
560,000
|
|
577,355
|
|
|
|
|
|
3,334,682
|
ILLINOIS
— 3.8% |
|
|
|
|
Chicago, IL, O'Hare International Airport Revenue 5.00%,
1/1/2034
|
|
400,000
|
|
433,395
|
Illinois Finance Authority, Water Revenue 5.00%,
7/1/2036
|
|
270,000
|
|
303,111
|
Illinois State Toll Highway Authority Revenue Series B, 5.00%,
1/1/2027
|
|
140,000
|
|
151,908
|
Mount Prospect Park District, General Obligation Series A, Class A, 5.00%,
11/1/2031
|
|
280,000
|
|
319,113
|
State of Illinois, General Obligation 5.50%,
1/1/2028
|
|
130,000
|
|
137,299
|
|
|
|
|
|
1,344,826
|
IOWA
— 0.8% |
|
|
|
|
Iowa Finance Authority Revenue 4.00%, 12/1/2050
(c)
|
|
300,000
|
|
286,947
|
MAINE
— 0.3% |
|
|
|
|
City of Auburn ME 5.00%,
9/1/2024
|
|
100,000
|
|
103,655
|
MARYLAND
— 4.3% |
|
|
|
|
County of Montgomery MD, General Obligation Series B, Class B, 4.00%,
11/1/2028
|
|
125,000
|
|
134,362
|
Maryland Economic Development Corp.Revenue Series B, Class B, 5.00%,
12/31/2036
|
|
425,000
|
|
432,301
|
Maryland, State General Obligation Series B, Class B, 5.00%,
8/1/2027
|
|
400,000
|
|
441,879
|
State of Maryland Department of Transportation Revenue 5.00%,
10/1/2028
|
|
285,000
|
|
315,249
|
Washington Suburban Sanitary Commission Revenue 5.00%,
6/1/2027
|
|
150,000
|
|
165,170
|
|
|
|
|
|
1,488,961
|
MASSACHUSETTS
— 4.3% |
|
|
|
|
Massachusetts Bay Transportation Authority Sales Tax Revenue Series A, 5.00%,
7/1/2025
|
|
350,000
|
|
370,083
|
Security
Description |
|
|
Principal
Amount |
|
Value
|
Massachusetts Clean Water Trust Series 24B, 5.00%,
2/1/2037
|
|
$
750,000 |
|
$
855,496 |
Massachusetts Development Finance Agency Revenue Series A-2, 5.00%,
7/1/2027
|
|
250,000
|
|
273,069
|
|
|
|
|
|
1,498,648
|
MINNESOTA
— 1.9% |
|
|
|
|
City of Minneapolis MN/St. Paul Housing & Redevelopment Authority Revenue Class A, 5.00%,
11/15/2026
|
|
330,000
|
|
354,706
|
Minneapolis, St. Paul Metropolitan Airports Commission Revenue Series B, 5.00%,
1/1/2034
|
|
300,000
|
|
325,757
|
|
|
|
|
|
680,463
|
NEW
JERSEY — 4.4% |
|
|
|
|
Hudson County Improvement Authority Revenue 3.00%,
10/1/2034
|
|
100,000
|
|
92,954
|
New
Jersey Economic Development Authority Revenue: |
|
|
|
|
Series MMM, 5.00%,
6/15/2033
|
|
180,000
|
|
194,312
|
Series QQQ, 5.00%,
6/15/2033
|
|
275,000
|
|
299,581
|
New Jersey Transportation Trust Fund Authority Series CC, 5.25%,
6/15/2036
|
|
300,000
|
|
329,167
|
New Jersey, Transportation Trust Fund Authority Revenue Series AA, Ambac Financial Group, 5.00%,
6/15/2036
|
|
250,000
|
|
250,885
|
State of New Jersey Series A, Class A, 5.00%,
6/1/2027
|
|
330,000
|
|
360,494
|
|
|
|
|
|
1,527,393
|
NEW
YORK — 10.5% |
|
|
|
|
City
of New York NY: |
|
|
|
|
Series A, 5.00%,
8/1/2025
|
|
105,000
|
|
111,100
|
Series A-1, 5.00%,
9/1/2034
|
|
400,000
|
|
461,238
|
Hudson Yards Infrastructure Corp. Series A, 5.00%,
2/15/2030
|
|
300,000
|
|
327,120
|
Metropolitan Transportation Authority Series A, 5.00%,
11/15/2037
|
|
575,000
|
|
634,156
|
Metropolitan Transportation Authority Revenue Series E, Class E, 3.50%,
11/15/2032
|
|
230,000
|
|
230,018
|
New York City Transitional Finance Authority Building Aid Revenue Series S1A, Class A, 5.00%,
7/15/2038
|
|
475,000
|
|
515,720
|
New York City Transitional Finance Authority Future Tax Secured Revenue 5.00%,
11/1/2034
|
|
250,000
|
|
285,824
|
See accompanying notes to financial statements.
45
SPDR NUVEEN
MUNICIPAL BOND ESG ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2022 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
New York State Dormitory Authority Revenue 5.00%,
10/1/2025
|
|
$
500,000 |
|
$
533,203 |
New York Transportation Development Corp. Revenue 5.00%,
12/1/2037
|
|
300,000
|
|
308,696
|
New York Transportation Development Corp. Revenue 5.00%,
12/1/2036
|
|
250,000
|
|
258,549
|
|
|
|
|
|
3,665,624
|
NORTH
CAROLINA — 2.9% |
|
|
|
|
City of Charlotte NC Water & Sewer System Revenue 4.00%,
7/1/2035
|
|
800,000
|
|
826,571
|
County of Wake NC, Revenue Series A, Class A, 5.00%,
8/1/2026
|
|
185,000
|
|
200,103
|
|
|
|
|
|
1,026,674
|
OHIO
— 2.0% |
|
|
|
|
Ohio, State General Obligation Series A, Class A, 5.00%,
5/1/2025
|
|
670,000
|
|
705,582
|
OKLAHOMA
— 2.2% |
|
|
|
|
Carter County Public Facilities Authority Revenue 5.00%,
9/1/2028
|
|
200,000
|
|
212,370
|
Muskogee Industrial Trust Revenue 4.00%,
9/1/2032
|
|
100,000
|
|
102,415
|
Norman Regional Hospital Authority Revenue 4.00%,
9/1/2037
|
|
230,000
|
|
207,372
|
Oklahoma County Finance Authority Revenue 4.00%,
12/1/2027
|
|
250,000
|
|
256,120
|
|
|
|
|
|
778,277
|
OREGON
— 3.4% |
|
|
|
|
Medford Hospital Facilities Authority Series A, 5.00%,
8/15/2037
|
|
720,000
|
|
770,664
|
Port of Portland OR Airport Revenue Series A, 5.00%,
7/1/2031
|
|
380,000
|
|
435,095
|
|
|
|
|
|
1,205,759
|
PENNSYLVANIA
— 3.8% |
|
|
|
|
Central Bucks School District, General Obligation 5.00%,
5/15/2025
|
|
270,000
|
|
284,719
|
Commonwealth of Pennsylvania, General Obligation 2nd Series, 5.00%,
9/15/2023
|
|
500,000
|
|
507,314
|
Pennsylvania Turnpike Commission Revenue 5.00%,
6/1/2027
|
|
500,000
|
|
528,228
|
|
|
|
|
|
1,320,261
|
Security
Description |
|
|
Principal
Amount |
|
Value
|
TEXAS
— 4.0% |
|
|
|
|
City of Garland TX Electric Utility System Revenue 5.00%,
3/1/2024
|
|
$
300,000 |
|
$
306,730 |
County of Williamson, TX , General Obligation 5.00%,
2/15/2028
|
|
155,000
|
|
171,660
|
Love Field Airport Modernization Corp. Revenue 5.00%,
11/1/2034
|
|
105,000
|
|
108,841
|
Texas Woman's University Series A, 5.00%,
7/1/2037
|
|
300,000
|
|
334,501
|
University of Texas, Revenue Series B, 5.00%,
8/15/2029
|
|
425,000
|
|
486,856
|
|
|
|
|
|
1,408,588
|
VIRGINIA
— 2.1% |
|
|
|
|
Chesapeake Bay Bridge & Tunnel District 5.00%,
11/1/2023
|
|
610,000
|
|
615,573
|
Hampton Roads Transportation Accountability Commission Revenue Series A, Class A, 5.00%,
7/1/2026
|
|
125,000
|
|
134,635
|
|
|
|
|
|
750,208
|
WASHINGTON
— 8.1% |
|
|
|
|
Central Puget Sound, Regional Transit Authority Revenue Series S-1, 5.00%,
11/1/2045
|
|
105,000
|
|
111,811
|
Energy Northwest, WA, Revenue Series A, Class A, 5.00%,
7/1/2028
|
|
750,000
|
|
836,917
|
King County Public Hospital District No 1 5.00%,
12/1/2036
|
|
590,000
|
|
625,322
|
Port of Seattle WA Series C, 5.00%,
4/1/2035
|
|
750,000
|
|
762,649
|
Port of Seattle WA, Revenue Series B, 5.00%,
6/1/2034
|
|
200,000
|
|
226,201
|
State of Washington, General Obligation Series A, 5.00%,
8/1/2033
|
|
250,000
|
|
271,668
|
|
|
|
|
|
2,834,568
|
WISCONSIN
— 2.4% |
|
|
|
|
Public Finance Authority Revenue Series A, Class A, 4.00%,
11/15/2037
|
|
600,000
|
|
533,505
|
State of Wisconsin Revenue Series A, Class A, 5.00%,
5/1/2025
|
|
300,000
|
|
315,724
|
|
|
|
|
|
849,229
|
TOTAL MUNICIPAL BONDS & NOTES (Cost
$33,239,363)
|
|
32,702,150
|
|
See accompanying notes to financial
statements.
46
SPDR NUVEEN
MUNICIPAL BOND ESG ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2022 (Unaudited)
Security
Description |
|
|
Shares
|
|
Value
|
SHORT-TERM
INVESTMENT — 3.4% |
|
|
|
State Street Institutional U.S. Government Money Market Fund, Class G Shares 4.16% (d) (e) (Cost
$1,207,057)
|
|
1,207,057
|
|
$
1,207,057 |
TOTAL INVESTMENTS — 96.6% (Cost
$34,446,420)
|
|
33,909,207
|
|
OTHER ASSETS IN EXCESS OF LIABILITIES — 3.4%
|
|
1,202,168
|
|
NET ASSETS —
100.0%
|
|
$
35,111,375 |
|
(a)
|
Bond
is insured by the following: |
|
%
of Net Assets |
Build America Mutual Assurance
Company
|
0.5%
|
(b)
|
Securities
purchased pursuant to Rule 144A of the Securities Act of 1933, as amended. These securities, which represent 0.9% of net assets as of December 31, 2022, are considered liquid and may be resold in transactions exempt from registration, normally to
qualified institutional buyers. |
(c)
|
Variable
Rate Security - Interest rate shown is rate in effect at December 31, 2022. For securities based on a published reference rate and spread, the reference rate and spread are indicated in the description above. |
(d)
|
The
Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2022 are shown in the Affiliate Table below. |
(e)
|
The
rate shown is the annualized seven-day yield at December 31, 2022. |
AMT
|
Alternative
Minimum Tax |
VRN
|
Variable
Rate Note |
The following table summarizes the value of the
Fund's investments according to the fair value hierarchy as of December 31, 2022.
Description
|
|
Level
1 – Quoted Prices |
|
Level
2 – Other Significant Observable Inputs |
|
Level
3 – Significant Unobservable Inputs |
|
Total
|
ASSETS:
|
|
|
|
|
|
|
|
|
INVESTMENTS:
|
|
|
|
|
|
|
|
|
Municipal Bonds &
Notes
|
|
$
— |
|
$32,702,150
|
|
$—
|
|
$32,702,150
|
Short-Term
Investment
|
|
1,207,057
|
|
—
|
|
—
|
|
1,207,057
|
TOTAL
INVESTMENTS
|
|
$1,207,057
|
|
$32,702,150
|
|
$—
|
|
$33,909,207
|
|
Number
of Shares Held at 6/30/22 |
|
Value
at 6/30/22 |
|
Cost
of Purchases |
|
Proceeds
from Shares Sold |
|
Realized
Gain (Loss) |
|
Change
in Unrealized Appreciation/ Depreciation |
|
Number
of Shares Held at 12/31/22 |
|
Value
at 12/31/22 |
|
Dividend
Income |
State Street ESG Liquid Reserves Fund, Premier
Class
|
1,543,320
|
|
$1,543,320
|
|
$2,576,364
|
|
$4,120,138
|
|
$485
|
|
$(31)
|
|
—
|
|
$
— |
|
$
6,665 |
State Street Institutional U.S. Government Money Market Fund, Class G
Shares
|
—
|
|
—
|
|
6,395,309
|
|
5,188,252
|
|
—
|
|
—
|
|
1,207,057
|
|
1,207,057
|
|
16,472
|
Total
|
|
|
$1,543,320
|
|
$8,971,673
|
|
$9,308,390
|
|
$485
|
|
$(31)
|
|
|
|
$1,207,057
|
|
$23,137
|
See accompanying notes to financial statements.
47
SPDR SSGA FIXED
INCOME SECTOR ROTATION ETF
SCHEDULE OF INVESTMENTS
December 31, 2022 (Unaudited)
Security
Description |
|
|
Shares
|
|
Value
|
MUTUAL
FUNDS AND EXCHANGE TRADED PRODUCTS — 99.8% |
|
|
|
DOMESTIC
FIXED INCOME — 99.8% |
|
SPDR Bloomberg 1-3 Month T-Bill ETF
(a)(b)
|
|
|
34,470
|
|
$
3,152,971 |
SPDR Bloomberg International Treasury Bond ETF
(a)
|
|
|
207,589
|
|
4,656,221
|
SPDR Portfolio Intermediate Term Corporate Bond ETF
(a)(b)
|
|
|
672,893
|
|
21,418,184
|
SPDR Portfolio Intermediate Term Treasury ETF
(a)
|
|
|
1,456,630
|
|
41,135,231
|
SPDR Portfolio Long Term Corporate Bond ETF
(a)(b)
|
|
|
434,250
|
|
9,748,912
|
SPDR Portfolio Long Term Treasury ETF
(a)
|
|
|
692,391
|
|
20,100,111
|
SPDR Portfolio Mortgage Backed Bond ETF
(a)(b)
|
|
|
1,938,441
|
|
42,064,170
|
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS (Cost
$151,811,574)
|
|
142,275,800
|
|
SHORT-TERM
INVESTMENTS — 18.2% |
|
|
|
State Street Institutional U.S. Government Money Market Fund, Class G Shares 4.16%
(c)(d)
|
|
|
354,569
|
|
354,569
|
State Street Navigator Securities Lending Portfolio II
(e)(f)
|
|
|
25,608,951
|
|
25,608,951
|
TOTAL SHORT-TERM INVESTMENTS (Cost
$25,963,519)
|
|
|
|
|
$
25,963,520 |
TOTAL INVESTMENTS — 118.0% (Cost
$177,775,093)
|
|
|
|
|
168,239,320
|
LIABILITIES IN EXCESS OF OTHER ASSETS —
(18.0)%
|
|
|
|
|
(25,624,205)
|
NET ASSETS —
100.0%
|
|
|
|
|
$
142,615,115 |
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, 2022 are shown in the Affiliate Table below. |
(b)
|
All
or a portion of the shares of the security are on loan at December 31, 2022. |
(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, 2022 are shown in the Affiliate Table below. |
(d)
|
The
rate shown is the annualized seven-day yield at December 31, 2022. |
(e)
|
The
Fund invested in an affiliated entity. Amounts related to these transactions during the period ended December 31, 2022 are shown in the Affiliate Table below. |
(f)
|
Investment
of cash collateral for securities loaned. |
The following table summarizes the value of the
Fund's investments according to the fair value hierarchy as of December 31, 2022.
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
|
|
$142,275,800
|
|
$—
|
|
$—
|
|
$142,275,800
|
Short-Term
Investments
|
|
25,963,520
|
|
—
|
|
—
|
|
25,963,520
|
TOTAL
INVESTMENTS
|
|
$168,239,320
|
|
$—
|
|
$—
|
|
$168,239,320
|
See accompanying notes to financial statements.
48
SPDR SSGA FIXED
INCOME SECTOR ROTATION ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2022 (Unaudited)
Affiliate Table
|
Number
of Shares Held at 6/30/22 |
|
Value
at 6/30/22 |
|
Cost
of Purchases |
|
Proceeds
from Shares Sold |
|
Realized
Gain (Loss) |
|
Change
in Unrealized Appreciation/ Depreciation |
|
Number
of Shares Held at 12/31/22 |
|
Value
at 12/31/22 |
|
Dividend
Income |
SPDR Bloomberg 1-3 Month T-Bill
ETF
|
208,058
|
|
$
19,035,227 |
|
$
17,319,628 |
|
$
33,197,324 |
|
$
4,887 |
|
$
(9,447) |
|
34,470
|
|
$
3,152,971 |
|
$
185,379 |
SPDR Bloomberg High Yield Bond
ETF
|
—
|
|
—
|
|
3,452,942
|
|
3,307,424
|
|
(145,518)
|
|
—
|
|
—
|
|
—
|
|
17,687
|
SPDR Bloomberg International Treasury Bond
ETF
|
26,869
|
|
622,286
|
|
7,681,688
|
|
3,764,253
|
|
(17,957)
|
|
134,457
|
|
207,589
|
|
4,656,221
|
|
31,050
|
SPDR Portfolio Intermediate Term Corporate Bond
ETF
|
526,060
|
|
17,165,338
|
|
14,329,241
|
|
9,680,989
|
|
(646,265)
|
|
250,859
|
|
672,893
|
|
21,418,184
|
|
322,891
|
SPDR Portfolio Intermediate Term Treasury
ETF
|
628,939
|
|
18,534,832
|
|
35,492,772
|
|
11,320,807
|
|
(807,673)
|
|
(763,893)
|
|
1,456,630
|
|
41,135,231
|
|
304,032
|
SPDR Portfolio Long Term Corporate Bond
ETF
|
11,160
|
|
268,844
|
|
13,309,525
|
|
2,978,573
|
|
(234,469)
|
|
(616,415)
|
|
434,250
|
|
9,748,912
|
|
49,744
|
SPDR Portfolio Long Term Treasury
ETF
|
986,122
|
|
32,611,055
|
|
15,854,157
|
|
25,416,618
|
|
(4,894,706)
|
|
1,946,223
|
|
692,391
|
|
20,100,111
|
|
390,322
|
SPDR Portfolio Mortgage Backed Bond
ETF
|
1,318,878
|
|
30,136,362
|
|
27,561,671
|
|
13,426,485
|
|
(1,437,637)
|
|
(769,741)
|
|
1,938,441
|
|
42,064,170
|
|
588,370
|
State Street Institutional U.S. Government Money Market Fund, Class G
Shares
|
188,090
|
|
188,090
|
|
563,595
|
|
397,116
|
|
—
|
|
—
|
|
354,569
|
|
354,569
|
|
3,120
|
State Street Navigator Securities Lending Portfolio
II
|
20,836,025
|
|
20,836,025
|
|
355,522,760
|
|
350,749,834
|
|
—
|
|
—
|
|
25,608,951
|
|
25,608,951
|
|
103,805
|
Total
|
|
|
$139,398,059
|
|
$491,087,979
|
|
$454,239,423
|
|
$(8,179,338)
|
|
$
172,043 |
|
|
|
$168,239,320
|
|
$1,996,400
|
See accompanying notes to financial statements.
49
SPDR SSGA US SECTOR
ROTATION ETF
SCHEDULE OF INVESTMENTS
December 31, 2022 (Unaudited)
Security
Description |
|
|
Shares
|
|
Value
|
MUTUAL
FUNDS AND EXCHANGE TRADED PRODUCTS — 99.6% |
|
|
|
DOMESTIC
EQUITY — 99.6% |
|
The Consumer Discretionary Select Sector SPDR Fund
(a)(b)
|
|
|
116,106
|
|
$
14,996,251 |
The Consumer Staples Select Sector SPDR Fund
(a)(b)
|
|
|
467,918
|
|
34,883,287
|
The Energy Select Sector SPDR Fund
(a)
|
|
|
178,899
|
|
15,648,296
|
The Financial Select Sector SPDR Fund
(a)(b)
|
|
|
1,367,763
|
|
46,777,495
|
The Health Care Select Sector SPDR Fund
(a)(b)
|
|
|
250,612
|
|
34,045,640
|
The Industrial Select Sector SPDR Fund
(a)(b)
|
|
|
220,926
|
|
21,697,142
|
The Materials Select Sector SPDR Fund
(a)(b)
|
|
|
194,442
|
|
15,104,255
|
The Technology Select Sector SPDR Fund
(a)
|
|
|
328,542
|
|
40,883,766
|
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS (Cost
$225,194,386)
|
|
224,036,132
|
|
SHORT-TERM
INVESTMENTS — 26.6% |
|
|
|
State Street Institutional U.S. Government Money Market Fund, Class G Shares 4.16%
(c)(d)
|
|
|
1,048,991
|
|
1,048,991
|
State Street Navigator Securities Lending Portfolio II
(e)(f)
|
|
|
58,900,996
|
|
58,900,996
|
TOTAL SHORT-TERM INVESTMENTS (Cost
$59,949,987)
|
|
|
|
|
$
59,949,987 |
TOTAL INVESTMENTS — 126.2% (Cost
$285,144,373)
|
|
|
|
|
283,986,119
|
LIABILITIES IN EXCESS OF OTHER ASSETS —
(26.2)%
|
|
|
|
|
(58,980,728)
|
NET ASSETS —
100.0%
|
|
|
|
|
$
225,005,391 |
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, 2022 are shown in the Affiliate Table below. |
(b)
|
All
or a portion of the shares of the security are on loan at December 31, 2022. |
(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, 2022 are shown in the Affiliate Table below. |
(d)
|
The
rate shown is the annualized seven-day yield at December 31, 2022. |
(e)
|
The
Fund invested in an affiliated entity. Amounts related to these transactions during the period ended December 31, 2022 are shown in the Affiliate Table below. |
(f)
|
Investment
of cash collateral for securities loaned. |
The following table summarizes the value of the
Fund's investments according to the fair value hierarchy as of December 31, 2022.
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
|
|
$224,036,132
|
|
$—
|
|
$—
|
|
$224,036,132
|
Short-Term
Investments
|
|
59,949,987
|
|
—
|
|
—
|
|
59,949,987
|
TOTAL
INVESTMENTS
|
|
$
283,986,119 |
|
$—
|
|
$—
|
|
$
283,986,119 |
See accompanying notes to financial statements.
50
SPDR SSGA US SECTOR
ROTATION ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2022 (Unaudited)
Affiliate Table
|
Number
of Shares Held at 6/30/22 |
|
Value
at 6/30/22 |
|
Cost
of Purchases |
|
Proceeds
from Shares Sold |
|
Realized
Gain (Loss) |
|
Change
in Unrealized Appreciation/ Depreciation |
|
Number
of Shares Held at 12/31/22 |
|
Value
at 12/31/22 |
|
Dividend
Income |
State Street Institutional U.S. Government Money Market Fund, Class G
Shares
|
747,558
|
|
$
747,558 |
|
$
3,825,872 |
|
$
3,524,439 |
|
$
— |
|
$
— |
|
1,048,991
|
|
$
1,048,991 |
|
$
6,057 |
State Street Navigator Securities Lending Portfolio
II
|
34,939,526
|
|
34,939,526
|
|
530,992,125
|
|
507,030,655
|
|
—
|
|
—
|
|
58,900,996
|
|
58,900,996
|
|
55,173
|
The Communication Services Select Sector SPDR
Fund
|
71,118
|
|
3,859,574
|
|
9,894,873
|
|
12,662,008
|
|
(1,817,340)
|
|
724,901
|
|
—
|
|
—
|
|
10,940
|
The Consumer Discretionary Select Sector SPDR
Fund
|
101,186
|
|
13,911,051
|
|
12,191,555
|
|
9,845,904
|
|
(2,249,044)
|
|
988,593
|
|
116,106
|
|
14,996,251
|
|
79,330
|
The Consumer Staples Select Sector SPDR
Fund
|
87,688
|
|
6,329,320
|
|
46,767,911
|
|
17,808,575
|
|
(281,675)
|
|
(123,694)
|
|
467,918
|
|
34,883,287
|
|
334,011
|
The Energy Select Sector SPDR
Fund
|
177,229
|
|
12,673,646
|
|
5,444,748
|
|
5,817,362
|
|
629,973
|
|
2,717,291
|
|
178,899
|
|
15,648,296
|
|
336,634
|
The Financial Select Sector SPDR
Fund
|
748,783
|
|
23,549,225
|
|
24,778,515
|
|
4,107,445
|
|
429,516
|
|
2,127,684
|
|
1,367,763
|
|
46,777,495
|
|
485,528
|
The Health Care Select Sector SPDR
Fund
|
246,210
|
|
31,573,970
|
|
18,258,908
|
|
18,477,224
|
|
40,445
|
|
2,649,541
|
|
250,612
|
|
34,045,640
|
|
283,129
|
The Industrial Select Sector SPDR
Fund
|
229,397
|
|
20,035,534
|
|
15,162,268
|
|
15,092,771
|
|
(1,766,047)
|
|
3,358,158
|
|
220,926
|
|
21,697,142
|
|
195,801
|
The Materials Select Sector SPDR
Fund
|
278,774
|
|
20,517,766
|
|
19,216,280
|
|
24,275,972
|
|
(3,769,096)
|
|
3,415,277
|
|
194,442
|
|
15,104,255
|
|
147,419
|
The Real Estate Sector SPDR
Fund
|
136,665
|
|
5,584,133
|
|
31,935
|
|
5,675,084
|
|
(803,327)
|
|
862,343
|
|
—
|
|
—
|
|
—
|
The Technology Select Sector SPDR
Fund
|
394,971
|
|
50,208,714
|
|
22,142,088
|
|
30,640,808
|
|
(1,607,107)
|
|
780,879
|
|
328,542
|
|
40,883,766
|
|
258,900
|
The Utilities Select Sector SPDR
Fund
|
204,622
|
|
14,350,141
|
|
10,533,603
|
|
24,227,957
|
|
(1,331,293)
|
|
675,506
|
|
—
|
|
—
|
|
155,207
|
Total
|
|
|
$238,280,158
|
|
$719,240,681
|
|
$679,186,204
|
|
$(12,524,995)
|
|
$18,176,479
|
|
|
|
$283,986,119
|
|
$2,348,129
|
See accompanying notes to financial statements.
51
SSGA ACTIVE
TRUST
SPDR DOUBLELINE EMERGING MARKETS FIXED INCOME ETF
SCHEDULE OF INVESTMENTS
December 31, 2022 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
CORPORATE
BONDS & NOTES — 69.3% |
|
|
|
BRAZIL
— 2.5% |
|
|
|
Braskem Netherlands Finance B.V. 5 Year CMT + 8.22%, 8.50%, 1/23/2081
(a)
|
|
|
$
400,000 |
|
$
387,620 |
MC Brazil Downstream Trading SARL 7.25%,
6/30/2031
|
|
|
900,000
|
|
741,735
|
Movida Europe SA 5.25%,
2/8/2031
|
|
|
300,000
|
|
225,150
|
MV24 Capital B.V. 6.75%,
6/1/2034
|
|
|
171,300
|
|
156,572
|
Simpar Europe SA 5.20%,
1/26/2031
|
|
|
200,000
|
|
151,166
|
|
|
|
|
|
1,662,243
|
CHILE
— 9.8% |
|
|
|
CAP
SA: |
|
|
|
|
|
3.90%, 4/27/2031
(b)
|
|
|
600,000
|
|
470,076
|
3.90%,
4/27/2031
|
|
|
1,000,000
|
|
783,460
|
Chile Electricity PEC SpA Zero Coupon, 1/25/2028
(b)
|
|
|
2,500,000
|
|
1,793,600
|
Empresa Electrica Angamos SA Series REGS, 4.88%,
5/25/2029
|
|
|
113,000
|
|
100,626
|
Empresa Electrica Cochrane SpA Series REGS, 5.50%,
5/14/2027
|
|
|
1,194,480
|
|
1,102,613
|
Inversiones La Construccion SA 4.75%,
2/7/2032
|
|
|
1,400,000
|
|
1,142,022
|
Mercury Chile Holdco LLC 6.50%, 1/24/2027
(b)
|
|
|
800,000
|
|
763,216
|
Telefonica Moviles Chile SA 3.54%, 11/18/2031
(b)
|
|
|
150,000
|
|
123,453
|
VTR Comunicaciones SpA 5.13%,
1/15/2028
|
|
|
200,000
|
|
124,716
|
VTR Finance NV Series REGS, 6.38%,
7/15/2028
|
|
|
500,000
|
|
195,155
|
|
|
|
|
|
6,598,937
|
COLOMBIA
— 7.5% |
|
|
|
AI
Candelaria Spain SA: |
|
|
|
|
|
5.75%, 6/15/2033
(b)
|
|
|
500,000
|
|
382,615
|
5.75%,
6/15/2033
|
|
|
725,000
|
|
554,792
|
Banco Davivienda SA 10 Year CMT + 5.10%, 6.65%, 4/22/2031
(a)(b)
|
|
|
400,000
|
|
308,285
|
Ecopetrol
SA: |
|
|
|
|
|
4.63%,
11/2/2031
|
|
|
1,500,000
|
|
1,149,495
|
5.88%,
5/28/2045
|
|
|
100,000
|
|
70,000
|
5.88%,
11/2/2051
|
|
|
250,000
|
|
168,950
|
Empresas
Publicas de Medellin ESP: |
|
|
|
|
|
Series REGS, 4.25%,
7/18/2029
|
|
|
1,500,000
|
|
1,193,205
|
Series REGS, 4.38%,
2/15/2031
|
|
|
500,000
|
|
385,015
|
Security
Description |
|
|
Principal
Amount |
|
Value
|
Oleoducto Central SA Series REGS, 4.00%,
7/14/2027
|
|
|
$
950,000 |
|
$
837,681 |
|
|
|
|
|
5,050,038
|
INDIA
— 5.6% |
|
|
|
Adani Electricity Mumbai, Ltd. Series REGS, 3.87%,
7/22/2031
|
|
|
200,000
|
|
144,010
|
Adani
International Container Terminal Pvt, Ltd.: |
|
|
|
|
|
3.00%, 2/16/2031
(b)
|
|
|
375,000
|
|
295,834
|
Series REGS, 3.00%,
2/16/2031
|
|
|
937,500
|
|
735,092
|
Adani
Ports & Special Economic Zone, Ltd.: |
|
|
|
|
|
3.10%,
2/2/2031
|
|
|
1,000,000
|
|
733,520
|
Series REGS, 4.38%,
7/3/2029
|
|
|
700,000
|
|
588,077
|
JSW Steel, Ltd. 5.05%,
4/5/2032
|
|
|
200,000
|
|
158,048
|
Periama Holdings LLC 5.95%,
4/19/2026
|
|
|
200,000
|
|
186,738
|
UPL Corp., Ltd. 4.63%,
6/16/2030
|
|
|
900,000
|
|
700,717
|
Vedanta Resources, Ltd. Series REGS, 6.13%,
8/9/2024
|
|
|
400,000
|
|
252,324
|
|
|
|
|
|
3,794,360
|
INDONESIA
— 6.7% |
|
|
|
Freeport
Indonesia PT: |
|
|
|
|
|
5.32%, 4/14/2032
(b)
|
|
|
400,000
|
|
367,772
|
6.20%,
4/14/2052
|
|
|
300,000
|
|
261,879
|
Indofood CBP Sukses Makmur Tbk PT 3.40%,
6/9/2031
|
|
|
200,000
|
|
164,548
|
Indonesia Asahan Aluminium Persero PT 5.80%,
5/15/2050
|
|
|
200,000
|
|
167,544
|
LLPL
Capital Pte., Ltd.: |
|
|
|
|
|
6.88%, 2/4/2039
(b)
|
|
|
341,280
|
|
297,576
|
6.88%,
2/4/2039
|
|
|
1,450,440
|
|
1,264,697
|
Minejesa Capital B.V. Series REGS, 5.63%,
8/10/2037
|
|
|
2,600,000
|
|
2,012,374
|
|
|
|
|
|
4,536,390
|
ISRAEL
— 3.0% |
|
|
|
Bank Hapoalim BM 5 year CMT + 2.16%, 3.26%, 1/21/2032
(a)(b)
|
|
|
1,100,000
|
|
946,528
|
Bank Leumi Le-Israel BM 5 Year CMT + 1.63%, 3.28%, 1/29/2031
(a)(b)
|
|
|
1,200,000
|
|
1,061,856
|
|
|
|
|
|
2,008,384
|
JAMAICA
— 0.0% (c) |
|
|
|
Digicel
Group Holdings, Ltd.: |
|
|
|
|
|
7.00%, 12/31/2099
(b)
|
|
|
65,748
|
|
5,917
|
See accompanying notes to financial statements.
52
SSGA ACTIVE
TRUST
SPDR DOUBLELINE EMERGING MARKETS FIXED INCOME ETF
SCHEDULE OF
INVESTMENTS (continued)
December 31, 2022 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
8.00%, 4/1/2025
(b)
|
|
|
$
45,531 |
|
$
12,414 |
|
|
|
|
|
18,331
|
KUWAIT
— 1.2% |
|
|
|
Equate Petrochemical B.V. Series REGS, 2.63%,
4/28/2028
|
|
|
900,000
|
|
783,000
|
LUXEMBOURG
— 0.3% |
|
|
|
Guara Norte SARL 5.20%,
6/15/2034
|
|
|
273,171
|
|
230,881
|
MALAYSIA
— 0.5% |
|
|
|
Petronas Capital, Ltd. 2.48%, 1/28/2032
(b)
|
|
|
400,000
|
|
329,852
|
MAURITIUS
— 0.9% |
|
|
|
Network i2i Ltd. Series REGS, 5 Year CMT + 3.39%, 3.98%, 12/31/2099
(a)
|
|
|
700,000
|
|
610,134
|
MEXICO
— 4.8% |
|
|
|
Banco Mercantil del Norte SA Series REGS, 10 Year CMT + 5.47%, 7.50%, 6/27/2029
(a)
|
|
|
800,000
|
|
732,168
|
Banco Nacional de Comercio Exterior SNC 5 Year CMT + 2.00%, 2.72%, 8/11/2031
(a)
|
|
|
200,000
|
|
166,154
|
BBVA Bancomer SA 5 Year CMT + 4.31%, 5.88%, 9/13/2034
(a)
|
|
|
700,000
|
|
647,906
|
Braskem Idesa SAPI 6.99%,
2/20/2032
|
|
|
200,000
|
|
142,950
|
Cemex SAB de CV 5 Year CMT + 4.53%, 5.13%, 6/8/2026
(a)
|
|
|
500,000
|
|
463,125
|
Mexarrend SAPI de CV 10.25%, 7/24/2024
(b)
|
|
|
300,000
|
|
66,291
|
Mexico Generadora de Energia S de rl Series REGS, 5.50%,
12/6/2032
|
|
|
683,500
|
|
656,331
|
Petroleos Mexicanos 6.75%,
9/21/2047
|
|
|
550,000
|
|
352,016
|
Unifin Financiera SAB de CV Series REGS, 5 Year CMT + 6.31%, 8.88%, 1/29/2025
(a)(d)
|
|
|
800,000
|
|
5,288
|
|
|
|
|
|
3,232,229
|
PANAMA
— 2.0% |
|
|
|
Banco Nacional de Panama 2.50%, 8/11/2030
(b)
|
|
|
300,000
|
|
240,555
|
C&W Senior Financing DAC Series REGS, 6.88%,
9/15/2027
|
|
|
400,000
|
|
371,300
|
Empresa de Transmision Electrica SA 5.13%,
5/2/2049
|
|
|
246,000
|
|
200,350
|
UEP Penonome II SA 6.50%, 10/1/2038
(b)
|
|
|
729,390
|
|
532,447
|
|
|
|
|
|
1,344,652
|
Security
Description |
|
|
Principal
Amount |
|
Value
|
PARAGUAY
— 0.3% |
|
|
|
Bioceanico Sovereign Certificate, Ltd. Zero Coupon,
6/5/2034
|
|
|
$
319,650 |
|
$
217,228 |
PERU
— 6.2% |
|
|
|
Banco BBVA Peru SA 5 Year CMT + 2.75%, 5.25%, 9/22/2029
(a)
|
|
|
200,000
|
|
194,210
|
Banco Internacional del Peru SAA Interbank Series REGS, 1 year CMT + 3.71%, 4.00%, 7/8/2030
(a)
|
|
|
1,050,000
|
|
950,407
|
Fenix Power Peru SA Series REGS, 4.32%,
9/20/2027
|
|
|
821,764
|
|
753,123
|
Hunt Oil Co. of Peru LLC Sucursal Del Peru Series REGS, 6.38%,
6/1/2028
|
|
|
1,179,900
|
|
1,121,790
|
Orazul Energy Peru SA 5.63%,
4/28/2027
|
|
|
252,000
|
|
226,873
|
Petroleos
del Peru SA: |
|
|
|
|
|
4.75%,
6/19/2032
|
|
|
500,000
|
|
382,395
|
5.63%,
6/19/2047
|
|
|
200,000
|
|
130,130
|
Scotiabank Peru SAA Series REGS, 3 Month USD LIBOR + 3.86%, 8.63%, 12/13/2027
(a)
|
|
|
400,000
|
|
395,144
|
|
|
|
|
|
4,154,072
|
QATAR
— 1.6% |
|
|
|
QatarEnergy Trading LLC 2.25%,
7/12/2031
|
|
|
1,300,000
|
|
1,075,701
|
SAUDI
ARABIA — 2.3% |
|
|
|
EIG
Pearl Holdings SARL: |
|
|
|
|
|
3.55%,
8/31/2036
|
|
|
700,000
|
|
587,972
|
Series REGS, 4.39%,
11/30/2046
|
|
|
800,000
|
|
614,043
|
SA Global Sukuk, Ltd. 2.69%, 6/17/2031
(b)
|
|
|
400,000
|
|
341,864
|
|
|
|
|
|
1,543,879
|
SINGAPORE
— 6.2% |
|
|
|
DBS Group Holdings, Ltd. Series GMTN, 5 Year CMT + 1.10%, 1.82%, 3/10/2031
(a)
|
|
|
950,000
|
|
843,989
|
Oversea-Chinese
Banking Corp., Ltd.: |
|
|
|
|
|
5 Year CMT + 1.58%, 1.83%, 9/10/2030
(a)(b)
|
|
|
500,000
|
|
449,970
|
Series REGS, 5 Year CMT + 1.58%, 1.83%, 9/10/2030
(a)
|
|
|
200,000
|
|
179,988
|
SingTel Group Treasury Pte, Ltd. 1.88%,
6/10/2030
|
|
|
1,300,000
|
|
1,048,809
|
Temasek Financial I Ltd. 1.00%, 10/6/2030
(b)
|
|
|
2,100,000
|
|
1,624,539
|
|
|
|
|
|
4,147,295
|
See accompanying notes to financial statements.
53
SSGA ACTIVE
TRUST
SPDR DOUBLELINE EMERGING MARKETS FIXED INCOME ETF
SCHEDULE OF
INVESTMENTS (continued)
December 31, 2022 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
SOUTH
AFRICA — 1.1% |
|
|
|
AngloGold Ashanti Holdings PLC 3.75%,
10/1/2030
|
|
|
$
500,000 |
|
$
436,625 |
Sasol Financing USA LLC 5.50%,
3/18/2031
|
|
|
400,000
|
|
324,712
|
|
|
|
|
|
761,337
|
SOUTH
KOREA — 2.0% |
|
|
|
KT
Corp.: |
|
|
|
|
|
1.00%,
9/1/2025
|
|
|
400,000
|
|
356,996
|
Series REGS, 2.50%,
7/18/2026
|
|
|
400,000
|
|
364,248
|
LG Chem, Ltd. 2.38%, 7/7/2031
(b)
|
|
|
200,000
|
|
157,142
|
Shinhan Financial Group Co., Ltd. 5 Year CMT + 2.06%, 2.88%, 5/12/2026
(a)(b)
|
|
|
550,000
|
|
470,833
|
|
|
|
|
|
1,349,219
|
UNITED
ARAB EMIRATES — 2.7% |
|
|
|
Galaxy Pipeline Assets Bidco, Ltd. 2.16%, 3/31/2034
(b)
|
|
|
2,126,718
|
|
1,807,413
|
UNITED
STATES — 2.1% |
|
|
|
Freeport-McMoRan,
Inc.: |
|
|
|
|
|
4.38%,
8/1/2028
|
|
|
200,000
|
|
187,536
|
4.63%,
8/1/2030
|
|
|
1,300,000
|
|
1,215,162
|
|
|
|
|
|
1,402,698
|
TOTAL CORPORATE BONDS & NOTES (Cost
$54,411,626)
|
|
|
|
|
46,658,273
|
FOREIGN
GOVERNMENT OBLIGATIONS — 29.1% |
|
|
|
BRAZIL
— 1.4% |
|
|
|
Brazilian
Government International Bond: |
|
|
|
|
|
5.00%,
1/27/2045
|
|
|
300,000
|
|
222,432
|
5.63%,
2/21/2047
|
|
|
900,000
|
|
714,519
|
|
|
|
|
|
936,951
|
CHILE
— 3.0% |
|
|
|
Chile
Government International Bond: |
|
|
|
|
|
2.55%,
1/27/2032
|
|
|
600,000
|
|
491,802
|
2.55%,
7/27/2033
|
|
|
600,000
|
|
470,610
|
3.10%,
5/7/2041
|
|
|
600,000
|
|
431,700
|
3.10%,
1/22/2061
|
|
|
200,000
|
|
124,804
|
3.50%,
1/25/2050
|
|
|
700,000
|
|
508,172
|
|
|
|
|
|
2,027,088
|
COLOMBIA
— 3.9% |
|
|
|
Colombia
Government International Bond: |
|
|
|
|
|
3.13%,
4/15/2031
|
|
|
700,000
|
|
520,205
|
3.25%,
4/22/2032
|
|
|
1,400,000
|
|
1,017,786
|
4.13%,
5/15/2051
|
|
|
950,000
|
|
570,352
|
Security
Description |
|
|
Principal
Amount |
|
Value
|
5.00%,
6/15/2045
|
|
|
$
700,000 |
|
$
480,081 |
|
|
|
|
|
2,588,424
|
DOMINICAN
REPUBLIC — 2.6% |
|
|
|
Dominican
Republic International Bond: |
|
|
|
|
|
Series 144A, 4.88%, 9/23/2032
(b)
|
|
|
1,900,000
|
|
1,580,914
|
Series 144A, 6.00%, 2/22/2033
(b)
|
|
|
200,000
|
|
180,758
|
|
|
|
|
|
1,761,672
|
INDONESIA
— 3.7% |
|
|
|
Indonesia
Government International Bond: |
|
|
|
|
|
3.70%,
10/30/2049
|
|
|
1,600,000
|
|
1,237,952
|
4.35%,
1/11/2048
|
|
|
500,000
|
|
430,940
|
Perusahaan Penerbit SBSN Indonesia III 2.55%, 6/9/2031
(b)
|
|
|
1,000,000
|
|
848,720
|
|
|
|
|
|
2,517,612
|
MEXICO
— 5.3% |
|
|
|
Mexico
Government International Bond: |
|
|
|
|
|
2.66%,
5/24/2031
|
|
|
1,400,000
|
|
1,128,064
|
4.28%,
8/14/2041
|
|
|
1,600,000
|
|
1,237,104
|
4.35%,
1/15/2047
|
|
|
300,000
|
|
224,895
|
4.40%,
2/12/2052
|
|
|
1,350,000
|
|
992,992
|
|
|
|
|
|
3,583,055
|
PANAMA
— 3.0% |
|
|
|
Panama
Government International Bond: |
|
|
|
|
|
2.25%,
9/29/2032
|
|
|
300,000
|
|
222,528
|
3.87%,
7/23/2060
|
|
|
2,100,000
|
|
1,358,805
|
4.30%,
4/29/2053
|
|
|
600,000
|
|
436,560
|
|
|
|
|
|
2,017,893
|
PHILIPPINES
— 2.7% |
|
|
|
Philippine
Government International Bond: |
|
|
|
|
|
2.65%,
12/10/2045
|
|
|
500,000
|
|
336,205
|
3.70%,
3/1/2041
|
|
|
1,000,000
|
|
815,130
|
3.70%,
2/2/2042
|
|
|
800,000
|
|
649,424
|
|
|
|
|
|
1,800,759
|
SAUDI
ARABIA — 0.9% |
|
|
|
Saudi
Government International Bond: |
|
|
|
|
|
Series REGS, 2.25%,
2/2/2033
|
|
|
500,000
|
|
405,494
|
Series REGS, 3.45%,
2/2/2061
|
|
|
300,000
|
|
214,500
|
|
|
|
|
|
619,994
|
See accompanying notes to financial statements.
54
SSGA ACTIVE
TRUST
SPDR DOUBLELINE EMERGING MARKETS FIXED INCOME ETF
SCHEDULE OF
INVESTMENTS (continued)
December 31, 2022 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
SOUTH
AFRICA — 1.1% |
|
|
|
Republic
of South Africa Government International Bond: |
|
|
|
|
|
4.30%,
10/12/2028
|
|
|
$
600,000 |
|
$
534,792 |
5.88%,
4/20/2032
|
|
|
200,000
|
|
180,376
|
|
|
|
|
|
715,168
|
SOUTH
KOREA — 1.5% |
|
|
|
Korea East-West Power Co., Ltd. Series REGS, 1.75%,
5/6/2025
|
|
|
900,000
|
|
827,739
|
Korea Electric Power Corp. Series REGS, 1.13%,
6/15/2025
|
|
|
200,000
|
|
180,968
|
|
|
|
|
|
1,008,707
|
TOTAL FOREIGN GOVERNMENT OBLIGATIONS (Cost
$25,721,709)
|
|
|
|
|
19,577,323
|
|
|
Shares
|
|
SHORT-TERM
INVESTMENT — 0.2% |
|
State Street Institutional U.S. Government Money Market Fund, Class G Shares 4.16% (e)(f) (Cost
$127,818)
|
127,818
|
127,818
|
TOTAL INVESTMENTS — 98.6% (Cost
$80,261,153)
|
66,363,414
|
OTHER ASSETS IN EXCESS OF LIABILITIES — 1.4%
|
949,930
|
NET ASSETS — 100.0%
|
$
67,313,344 |
(a)
|
Variable
Rate Security - Interest rate shown is rate in effect at December 31, 2022. For securities based on a published reference rate and spread, the reference rate and spread are indicated in the description above. |
(b)
|
Securities
purchased pursuant to Rule 144A of the Securities Act of 1933, as amended. These securities, which represent 23.0% of net assets as of December 31, 2022, are considered liquid and may be resold in transactions exempt from registration, normally to
qualified institutional buyers. |
(c)
|
Amount
is less than 0.05% of net assets. |
(d)
|
Security
is currently in default and/or issuer is in bankruptcy. |
(e)
|
The
Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2022 are shown in the Affiliate Table below. |
(f)
|
The
rate shown is the annualized seven-day yield at December 31, 2022. |
CMT
|
Constant
Maturity Treasury |
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, 2022.
Description
|
|
Level
1 – Quoted Prices |
|
Level
2 – Other Significant Observable Inputs |
|
Level
3 – Significant Unobservable Inputs |
|
Total
|
ASSETS:
|
|
|
|
|
|
|
|
|
INVESTMENTS:
|
|
|
|
|
|
|
|
|
Corporate Bonds &
Notes
|
|
$
— |
|
$46,658,273
|
|
$—
|
|
$46,658,273
|
Foreign Government
Obligations
|
|
—
|
|
19,577,323
|
|
—
|
|
19,577,323
|
Short-Term
Investment
|
|
127,818
|
|
—
|
|
—
|
|
127,818
|
TOTAL
INVESTMENTS
|
|
$127,818
|
|
$66,235,596
|
|
$—
|
|
$66,363,414
|
See accompanying notes to financial statements.
55
SSGA ACTIVE
TRUST
SPDR DOUBLELINE EMERGING MARKETS FIXED INCOME ETF
SCHEDULE OF
INVESTMENTS (continued)
December 31, 2022 (Unaudited)
Industry Breakdown as of December 31, 2022
|
|
|
|
|
%
of Net Assets |
|
Foreign
Government Obligations |
29.1%
|
|
Electric
|
14.6
|
|
Banks
|
11.3
|
|
Oil
& Gas |
9.1
|
|
Pipelines
|
7.1
|
|
Telecommunications
|
4.5
|
|
Mining
|
4.3
|
|
Commercial
Services |
3.8
|
|
Chemicals
|
3.7
|
|
Energy-Alternate
Sources |
2.4
|
|
Investment
Company Security |
2.4
|
|
Iron/Steel
|
2.4
|
|
Diversified
Financial Services |
2.0
|
|
Construction
Materials |
0.7
|
|
Engineering
& Construction |
0.3
|
|
Media
|
0.3
|
|
Food
|
0.2
|
|
Transportation
|
0.2
|
|
Short-Term
Investment |
0.2
|
|
Other
Assets in Excess of Liabilities |
1.4
|
|
TOTAL
|
100.0%
|
(The Fund's industry breakdown is
expressed as a percentage of net assets and may change over time.)
Affiliate Table
|
Number
of Shares Held at 6/30/22 |
|
Value
at 6/30/22 |
|
Cost
of Purchases |
|
Proceeds
from Shares Sold |
|
Realized
Gain (Loss) |
|
Change
in Unrealized Appreciation/ Depreciation |
|
Number
of Shares Held at 12/31/22 |
|
Value
at 12/31/22 |
|
Dividend
Income |
State Street Institutional U.S. Government Money Market Fund, Class G
Shares
|
681,102
|
|
$681,102
|
|
$13,443,370
|
|
$13,996,654
|
|
$—
|
|
$—
|
|
127,818
|
|
$127,818
|
|
$33,106
|
See accompanying notes to financial statements.
56
SSGA ACTIVE
TRUST
SPDR DOUBLELINE SHORT DURATION TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS
December 31, 2022 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
CORPORATE
BONDS & NOTES — 14.9% |
|
|
|
|
|
AGRICULTURE
— 0.2% |
|
BAT International Finance PLC 1.67%,
3/25/2026
|
|
|
$
310,000 |
|
$
274,471 |
AUTO
MANUFACTURERS — 0.5% |
|
General Motors Financial Co., Inc. 5.25%,
3/1/2026
|
|
|
280,000
|
|
275,738
|
Hyundai Capital America 1.00%, 9/17/2024
(a)
|
|
|
335,000
|
|
309,674
|
Nissan Motor Acceptance Co. LLC 1.13%, 9/16/2024
(a)
|
|
|
85,000
|
|
77,476
|
|
|
|
|
|
662,888
|
BANKS
— 3.7% |
|
Banco BBVA Peru SA 5 Year CMT + 2.75%, 5.25%, 9/22/2029
(b)
|
|
|
100,000
|
|
97,105
|
Banco Bilbao Vizcaya Argentaria Colombia SA Series REGS, 4.88%,
4/21/2025
|
|
|
200,000
|
|
192,188
|
Banco Internacional del Peru SAA Interbank Series REGS, 1 year CMT + 3.71%, 4.00%, 7/8/2030
(b)
|
|
|
150,000
|
|
135,773
|
Banco Mercantil del Norte SA 5 Year CMT + 4.64%, 5.88%, 1/24/2027
(b)
|
|
|
200,000
|
|
178,066
|
Banco Nacional de Comercio Exterior SNC 5 Year CMT + 2.00%, 2.72%, 8/11/2031
(b)
|
|
|
200,000
|
|
166,154
|
Bank Hapoalim BM 5 year CMT + 2.16%, 3.26%, 1/21/2032
(a)
(b)
|
|
|
200,000
|
|
172,096
|
Bank Leumi Le-Israel BM 5 Year CMT + 1.63%, 3.28%, 1/29/2031
(a)
(b)
|
|
|
200,000
|
|
176,976
|
Bank
of America Corp.: |
|
|
|
|
|
SOFR + 0.69%, 4.64%, 4/22/2025
(b)
|
|
|
90,000
|
|
88,630
|
Series MTN, 3 Month USD LIBOR + 0.79%, 5.56%, 3/5/2024
(b)
|
|
|
195,000
|
|
194,858
|
Bank of Montreal SOFR + 0.71%, 4.98%, 3/8/2024
(b)
|
|
|
280,000
|
|
278,522
|
Bank of Nova Scotia 0.65%,
7/31/2024
|
|
|
155,000
|
|
144,488
|
BBVA Bancomer SA Series REGS, 5 Year CMT + 3.00%, 5.35%, 11/12/2029
(b)
|
|
|
200,000
|
|
195,770
|
Security
Description |
|
|
Principal
Amount |
|
Value
|
Citigroup,
Inc.: |
|
|
|
|
|
3 Month USD LIBOR + 1.02%, 5.78%, 6/1/2024
(b)
|
|
|
$
210,000 |
|
$
210,122 |
SOFR + 0.53%, 1.28%, 11/3/2025
(b)
|
|
|
90,000
|
|
82,911
|
Goldman Sachs Group, Inc. 3.50%,
4/1/2025
|
|
|
290,000
|
|
279,183
|
JPMorgan
Chase & Co.: |
|
|
|
|
|
3.90%,
7/15/2025
|
|
|
285,000
|
|
278,870
|
SOFR + 1.32%, 5.27%, 4/26/2026
(b)
|
|
|
145,000
|
|
143,731
|
Macquarie Group, Ltd. 3 Month USD LIBOR + 1.33%, 4.15%, 3/27/2024
(a)
(b)
|
|
|
290,000
|
|
288,770
|
Morgan Stanley Series MTN, SOFR + 0.46%, 0.53%, 1/25/2024
(b)
|
|
|
280,000
|
|
278,272
|
Royal Bank of Canada 3.38%,
4/14/2025
|
|
|
300,000
|
|
290,478
|
Toronto-Dominion Bank Series MTN, 0.70%,
9/10/2024
|
|
|
300,000
|
|
279,198
|
Truist Financial Corp. SOFR + 1.46%, 4.26%, 7/28/2026
(b)
|
|
|
295,000
|
|
290,203
|
Wells Fargo & Co. Series MTN, SOFR + 1.60%, 1.65%, 6/2/2024
(b)
|
|
|
285,000
|
|
280,468
|
|
|
|
|
|
4,722,832
|
BEVERAGES
— 0.2% |
|
Keurig Dr Pepper, Inc. 0.75%,
3/15/2024
|
|
|
305,000
|
|
289,674
|
BIOTECHNOLOGY
— 0.2% |
|
Royalty Pharma PLC 0.75%,
9/2/2023
|
|
|
300,000
|
|
290,721
|
CHEMICALS
— 0.4% |
|
Braskem Netherlands Finance B.V. 5 Year CMT + 8.22%, 8.50%, 1/23/2081
(b)
|
|
|
200,000
|
|
193,810
|
Sasol Financing USA LLC 4.38%,
9/18/2026
|
|
|
200,000
|
|
177,210
|
UPL Corp., Ltd. 4.50%,
3/8/2028
|
|
|
200,000
|
|
168,097
|
|
|
|
|
|
539,117
|
COMMERCIAL
SERVICES — 0.5% |
|
Adani International Container Terminal Pvt, Ltd. Series REGS, 3.00%,
2/16/2031
|
|
|
187,500
|
|
147,018
|
Adani Ports & Special Economic Zone, Ltd. 4.00%,
7/30/2027
|
|
|
200,000
|
|
175,028
|
See accompanying notes to financial statements.
57
SSGA ACTIVE
TRUST
SPDR DOUBLELINE SHORT DURATION TOTAL RETURN TACTICAL ETF
SCHEDULE OF
INVESTMENTS (continued)
December 31, 2022 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
Triton Container International, Ltd. 0.80%, 8/1/2023
(a)
|
|
|
$
305,000 |
|
$
294,423 |
|
|
|
|
|
616,469
|
DIVERSIFIED
FINANCIAL SERVICES — 0.9% |
|
American
Express Co.: |
|
|
|
|
|
3.38%,
5/3/2024
|
|
|
145,000
|
|
142,119
|
SOFR + 0.93%, 5.18%, 3/4/2025
(b)
|
|
|
140,000
|
|
139,507
|
Avolon Holdings Funding, Ltd. 5.13%, 10/1/2023
(a)
|
|
|
290,000
|
|
286,938
|
Capital One Financial Corp. SOFR + 2.16%, 4.99%, 7/24/2026
(b)
|
|
|
285,000
|
|
279,576
|
Charles Schwab Corp. SOFR + 1.05%, 5.30%, 3/3/2027
(b)
|
|
|
295,000
|
|
286,902
|
|
|
|
|
|
1,135,042
|
ELECTRIC
— 1.6% |
|
Empresa Electrica Angamos SA Series REGS, 4.88%,
5/25/2029
|
|
|
113,000
|
|
100,627
|
Entergy Louisiana LLC 0.95%,
10/1/2024
|
|
|
310,000
|
|
288,824
|
Fenix Power Peru SA Series REGS, 4.32%,
9/20/2027
|
|
|
298,823
|
|
273,863
|
Mexico Generadora de Energia S de rl Series REGS, 5.50%,
12/6/2032
|
|
|
136,700
|
|
131,266
|
Minejesa Capital B.V. Series REGS, 4.63%,
8/10/2030
|
|
|
400,000
|
|
352,228
|
Pacific
Gas & Electric Co.: |
|
|
|
|
|
3.25%,
2/16/2024
|
|
|
175,000
|
|
170,674
|
4.95%,
6/8/2025
|
|
|
115,000
|
|
113,268
|
Southern California Edison Co. SOFR + 0.83%, 5.15%, 4/1/2024
(b)
|
|
|
285,000
|
|
282,982
|
TNB Global Ventures Capital Bhd Series EMTN, 3.24%,
10/19/2026
|
|
|
300,000
|
|
277,152
|
|
|
|
|
|
1,990,884
|
ENERGY-ALTERNATE
SOURCES — 0.1% |
|
Empresa Electrica Cochrane SpA Series REGS, 5.50%,
5/14/2027
|
|
|
132,720
|
|
122,513
|
ENTERTAINMENT
— 0.2% |
|
WarnerMedia Holdings, Inc. 3.79%, 3/15/2025
(a)
|
|
|
305,000
|
|
291,617
|
Security
Description |
|
|
Principal
Amount |
|
Value
|
ENVIRONMENTAL
CONTROL — 0.2% |
|
Republic Services, Inc. 2.50%,
8/15/2024
|
|
|
$
290,000 |
|
$
277,977 |
FOOD
— 0.1% |
|
Conagra Brands, Inc. 4.30%,
5/1/2024
|
|
|
47,000
|
|
46,334
|
HEALTH
CARE PRODUCTS — 0.2% |
|
Zimmer Biomet Holdings, Inc. 1.45%,
11/22/2024
|
|
|
310,000
|
|
288,508
|
HEALTH
CARE SERVICES — 0.5% |
|
Elevance Health, Inc. 3.50%,
8/15/2024
|
|
|
220,000
|
|
214,515
|
HCA, Inc. 5.00%,
3/15/2024
|
|
|
290,000
|
|
288,411
|
UnitedHealth
Group, Inc.: |
|
|
|
|
|
3.70%,
5/15/2027
|
|
|
70,000
|
|
67,680
|
5.15%,
10/15/2025
|
|
|
75,000
|
|
75,906
|
|
|
|
|
|
646,512
|
INSURANCE
— 0.6% |
|
Athene Global Funding SOFR + 0.70%, 4.90%, 5/24/2024
(a)
(b)
|
|
|
295,000
|
|
289,430
|
Brighthouse Financial Global Funding 0.60%, 6/28/2023
(a)
|
|
|
135,000
|
|
131,936
|
Marsh & McLennan Cos., Inc. 3.88%,
3/15/2024
|
|
|
285,000
|
|
281,044
|
|
|
|
|
|
702,410
|
INTERNET
— 0.2% |
|
Expedia Group, Inc. 6.25%, 5/1/2025
(a)
|
|
|
285,000
|
|
287,058
|
IRON/STEEL
— 0.2% |
|
Periama Holdings LLC 5.95%,
4/19/2026
|
|
|
200,000
|
|
186,738
|
LODGING
— 0.2% |
|
Marriott International, Inc. 3.60%,
4/15/2024
|
|
|
295,000
|
|
288,737
|
MEDIA
— 0.1% |
|
Comcast Corp. 5.25%,
11/7/2025
|
|
|
140,000
|
|
141,905
|
MINING
— 0.4% |
|
Freeport-McMoRan, Inc. 4.13%,
3/1/2028
|
|
|
150,000
|
|
139,258
|
Glencore Funding LLC 4.13%, 5/30/2023
(a)
|
|
|
290,000
|
|
288,475
|
|
|
|
|
|
427,733
|
MISCELLANEOUS
MANUFACTURER — 0.2% |
|
Parker-Hannifin Corp. 3.65%,
6/15/2024
|
|
|
265,000
|
|
259,268
|
OIL
& GAS — 0.2% |
|
Ecopetrol SA 4.13%,
1/16/2025
|
|
|
100,000
|
|
95,330
|
See accompanying notes to financial statements.
58
SSGA ACTIVE
TRUST
SPDR DOUBLELINE SHORT DURATION TOTAL RETURN TACTICAL ETF
SCHEDULE OF
INVESTMENTS (continued)
December 31, 2022 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
SA Global Sukuk, Ltd. 1.60%, 6/17/2026
(a)
|
|
|
$
200,000 |
|
$
178,766 |
|
|
|
|
|
274,096
|
PIPELINES
— 0.8% |
|
AI Candelaria Spain SA Series REGS, 7.50%,
12/15/2028
|
|
|
235,417
|
|
223,505
|
Energy
Transfer L.P.: |
|
|
|
|
|
4.05%,
3/15/2025
|
|
|
30,000
|
|
29,069
|
5.88%,
1/15/2024
|
|
|
260,000
|
|
260,660
|
GNL Quintero SA Series REGS, 4.63%,
7/31/2029
|
|
|
329,440
|
|
318,796
|
Transportadora de Gas del Peru SA Series REGS, 4.25%,
4/30/2028
|
|
|
200,000
|
|
187,696
|
|
|
|
|
|
1,019,726
|
REAL
ESTATE INVESTMENT TRUSTS — 0.2% |
|
Welltower, Inc. REIT, 3.63%,
3/15/2024
|
|
|
295,000
|
|
288,657
|
RETAIL
— 0.4% |
|
Dollar Tree, Inc. 4.00%,
5/15/2025
|
|
|
270,000
|
|
263,685
|
Lowe's Cos., Inc. 4.40%,
9/8/2025
|
|
|
170,000
|
|
167,734
|
|
|
|
|
|
431,419
|
SEMICONDUCTORS
— 0.5% |
|
Broadcom Corp./Broadcom Cayman Finance, Ltd. 3.88%,
1/15/2027
|
|
|
60,000
|
|
56,802
|
Broadcom, Inc. 3.15%,
11/15/2025
|
|
|
230,000
|
|
218,081
|
Microchip Technology, Inc. 0.97%,
2/15/2024
|
|
|
305,000
|
|
289,967
|
|
|
|
|
|
564,850
|
SOFTWARE
— 0.2% |
|
Oracle Corp. 5.80%,
11/10/2025
|
|
|
275,000
|
|
280,904
|
TELECOMMUNICATIONS
— 0.8% |
|
KT Corp. Series REGS, 2.50%,
7/18/2026
|
|
|
200,000
|
|
182,124
|
Millicom International Cellular SA Series REGS, 5.13%,
1/15/2028
|
|
|
180,000
|
|
167,485
|
SingTel Group Treasury Pte, Ltd. Class EMTN, 3.25%,
6/30/2025
|
|
|
200,000
|
|
192,630
|
Verizon Communications, Inc. 3 Month USD LIBOR + 1.10%, 5.71%, 5/15/2025
(b)
|
|
|
285,000
|
|
287,277
|
Security
Description |
|
|
Principal
Amount |
|
Value
|
VTR Comunicaciones SpA 5.13%,
1/15/2028
|
|
|
$
200,000 |
|
$
124,716 |
|
|
|
|
|
954,232
|
TRANSPORTATION
— 0.2% |
|
Canadian Pacific Railway Co. 1.35%,
12/2/2024
|
|
|
310,000
|
|
289,245
|
TRUCKING
& LEASING — 0.2% |
|
Penske Truck Leasing Co. L.P./PTL Finance Corp. 2.70%, 11/1/2024
(a)
|
|
|
305,000
|
|
287,865
|
TOTAL CORPORATE BONDS & NOTES (Cost
$19,857,527)
|
|
|
|
|
18,880,402
|
ASSET-BACKED
SECURITIES — 23.0% |
|
|
|
|
|
AUTOMOBILE
— 1.1% |
|
|
|
|
|
CPS Auto Receivables Trust Series 2021-A, Class D, 1.16%, 12/15/2026
(a)
|
|
|
600,000
|
|
568,500
|
Exeter Automobile Receivables Trust Series 2021-1A, Class C, 0.74%,
1/15/2026
|
|
|
402,470
|
|
392,795
|
Hertz Vehicle Financing LLC Series 2021-1A, Class B, 1.56%, 12/26/2025
(a)
|
|
|
350,000
|
|
320,678
|
USASF Receivables 2020-1 LLC Series 2020-1A, Class B, 3.22%, 5/15/2024
(a)
|
|
|
74,263
|
|
74,130
|
|
|
|
|
|
1,356,103
|
OTHER
ABS — 21.8% |
|
|
|
|
|
ACREC 2021-FL1, Ltd. Series 2021-FL1, Class A, 1 Month USD LIBOR + 1.15%, 5.48%, 10/16/2036
(a)
(b)
|
|
|
181,000
|
|
172,258
|
Affirm Asset Securitization Trust Series 2022-A, Class A, 4.30%, 5/17/2027
(a)
|
|
|
500,000
|
|
475,116
|
Anchorage Capital CLO 19, Ltd. Series 2021-19A, Class A, 3 Month USD LIBOR + 1.21%, 5.29%, 10/15/2034
(a)
(b)
|
|
|
1,500,000
|
|
1,447,800
|
Arbor Realty Collateralized Loan Obligation 2020-FL1, Ltd. Series 2020-FL1, Class AS, 1 Month USD Term LIBOR + 1.51%, 5.85%, 2/15/2035
(a)
(b)
|
|
|
131,000
|
|
127,455
|
Arbor Realty Commercial Real Estate Notes 2022-FL1, Ltd. Series 2022-FL1, Class A, SOFR30A + 1.45%, 5.26%, 1/15/2037
(a)
(b)
|
|
|
250,000
|
|
239,406
|
See accompanying notes to financial statements.
59
SSGA ACTIVE
TRUST
SPDR DOUBLELINE SHORT DURATION TOTAL RETURN TACTICAL ETF
SCHEDULE OF
INVESTMENTS (continued)
December 31, 2022 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
Bain Capital Credit CLO, Ltd. Series 2019-1A, Class AR, 3 Month USD LIBOR + 1.13%, 5.36%, 4/19/2034
(a)
(b)
|
|
|
$
500,000 |
|
$
486,127 |
BDS LLC Series 2022-FL11, Class ATS, 1 Month USD Term LIBOR + 1.80%, 6.12%, 3/19/2039
(a)
(b)
|
|
|
250,000
|
|
240,945
|
BDS, Ltd. Series 2019-FL4, Class A, 1 Month USD LIBOR + 1.10%, 5.43%, 8/15/2036
(a)
(b)
|
|
|
1,874
|
|
1,874
|
BRSP, Ltd. Series 2021-FL1, Class A, 1 Month USD LIBOR + 1.15%, 5.49%, 8/19/2038
(a)
(b)
|
|
|
151,000
|
|
146,441
|
BSPRT
Issuer, Ltd.: |
|
|
|
|
|
Series 2021-FL7, Class A, 1 Month USD LIBOR + 1.32%, 5.64%, 12/15/2038
(a)
(b)
|
|
|
200,000
|
|
191,298
|
Series 2021-FL6, Class A, 1 Month USD LIBOR + 1.10%, 5.42%, 3/15/2036
(a)
(b)
|
|
|
138,000
|
|
134,274
|
Carlyle U.S. CLO Ltd. Series 2021-1A, Class A1, 3 Month USD LIBOR + 1.14%, 5.22%, 4/15/2034
(a)
(b)
|
|
|
1,000,000
|
|
968,499
|
CarVal CLO IV, Ltd. Series 2021-1A, Class A1A, 3 Month USD LIBOR + 1.18%, 5.42%, 7/20/2034
(a)
(b)
|
|
|
500,000
|
|
484,500
|
CHCP, Ltd. Series 2021-FL1, Class A, 1 Month USD Term LIBOR + 1.16%, 5.49%, 2/15/2038
(a)
(b)
|
|
|
281,511
|
|
276,879
|
CLNC, Ltd. Series 2019-FL1, Class AS, 1 Month USD Term LIBOR + 1.66%, 5.99%, 8/20/2035
(a)
(b)
|
|
|
131,000
|
|
126,721
|
CQS U.S. CLO, Ltd. Series 2021-1A, Class A, 3 Month USD LIBOR + 1.22%, 5.46%, 1/20/2035
(a)
(b)
|
|
|
1,000,000
|
|
964,500
|
Credit-Based Asset Servicing & Securitization LLC Series 2004-CB7, Class M1, 1 Month USD LIBOR + 1.01%, 3.32%, 10/25/2034
(b)
|
|
|
557,965
|
|
502,168
|
Diamond Resorts Owner Trust Series 2021-1A, Class A, 1.51%, 11/21/2033
(a)
|
|
|
520,991
|
|
474,221
|
Security
Description |
|
|
Principal
Amount |
|
Value
|
FS
Rialto Issuer LLC: |
|
|
|
|
|
Series 2019-FL1, Class A, 1 Month USD LIBOR + 1.20%, 5.53%, 12/16/2036
(a)
(b)
|
|
|
$
67,280 |
|
$
66,931 |
Series 2021-FL3, Class A, 1 Month USD LIBOR + 1.25%, 5.58%, 11/16/2036
(a)
(b)
|
|
|
181,000
|
|
172,590
|
Series 2022-FL5, Class A, Class A, 1 Month USD Term LIBOR + 2.30%, 6.63%, 6/19/2037
(a)
(b)
|
|
|
300,000
|
|
295,747
|
Series 2022-FL4, Class AS, SOFR30A + 2.40%, 6.21%, 1/19/2039
(a)
(b)
|
|
|
250,000
|
|
238,646
|
Series 2021-FL2, Class A, 1 Month USD LIBOR + 1.22%, 5.55%, 5/16/2038
(a)
(b)
|
|
|
150,000
|
|
143,656
|
HalseyPoint CLO 3, Ltd. Series 2020-3A, Class A1A, 3 Month USD LIBOR + 1.45%, 5.86%, 11/30/2032
(a)
(b)
|
|
|
1,150,000
|
|
1,130,450
|
Jamestown CLO XV, Ltd. Series 2020-15A, Class A, 3 Month USD LIBOR + 1.34%, 5.42%, 4/15/2033
(a)
(b)
|
|
|
500,000
|
|
490,000
|
KREF 2021-FL2, Ltd. Series 2021-FL2, Class AS, 1 Month USD LIBOR + 1.30%, 5.63%, 2/15/2039
(a)
(b)
|
|
|
250,000
|
|
233,419
|
LCCM
Trust: |
|
|
|
|
|
Series 2021-FL3, Class A, 1 Month USD LIBOR + 1.45%, 5.77%, 11/15/2038
(a)
(b)
|
|
|
181,000
|
|
175,864
|
Series 2021-FL2, Class A, 1 Month USD LIBOR + 1.20%, 5.52%, 12/13/2038
(a)
(b)
|
|
|
151,000
|
|
146,369
|
Lendingpoint Asset Securitization Trust Series 2021-A, Class B, 1.46%, 12/15/2028
(a)
|
|
|
390,475
|
|
387,300
|
LoanCore
Issuer, Ltd.: |
|
|
|
|
|
Series 2019-CRE2, Class AS, 1 Month USD LIBOR + 1.50%, 5.82%, 5/15/2036
(a)
(b)
|
|
|
87,377
|
|
85,211
|
Series 2022-CRE7, Class A, SOFR30A + 1.55%, 5.36%, 1/17/2037
(a)
(b)
|
|
|
500,000
|
|
483,633
|
Loanpal Solar Loan, Ltd. Series 2021-1GS, Class A, 2.29%, 1/20/2048
(a)
|
|
|
343,852
|
|
259,093
|
See accompanying notes to financial statements.
60
SSGA ACTIVE
TRUST
SPDR DOUBLELINE SHORT DURATION TOTAL RETURN TACTICAL ETF
SCHEDULE OF
INVESTMENTS (continued)
December 31, 2022 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
Marble Point CLO XXI, Ltd. Series 2021-3A, Class A1, 3 Month USD LIBOR + 1.24%, 5.32%, 10/17/2034
(a)
(b)
|
|
|
$
2,000,000 |
|
$
1,921,264 |
Marlette Funding Trust Series 2021-1A, Class C, 1.41%, 6/16/2031
(a)
|
|
|
650,000
|
|
617,507
|
MF1 Multifamily Housing Mortgage Loan Trust Series 2021-FL6, Class A, 1 Month USD LIBOR + 1.10%, 5.43%, 7/16/2036
(a)
(b)
|
|
|
150,000
|
|
144,113
|
MF1,
Ltd.: |
|
|
|
|
|
Series 2022-FL8, Class A, SOFR30A + 1.35%, 5.18%, 2/19/2037
(a)
(b)
|
|
|
157,000
|
|
150,540
|
Series 2021-FL7, Class A, 1 Month USD LIBOR + 1.08%, 5.42%, 10/16/2036
(a)
(b)
|
|
|
192,000
|
|
183,573
|
NLY Commercial Mortgage Trust Series 2019-FL2, Class AS, 1 Month USD LIBOR + 1.60%, 5.92%, 2/15/2036
(a)
(b)
|
|
|
120,000
|
|
117,600
|
Northwoods Capital XVI, Ltd. Series 2017-16A, Class A, 3 Month USD LIBOR + 1.27%, 5.88%, 11/15/2030
(a)
(b)
|
|
|
1,000,626
|
|
983,115
|
Octagon Investment Partners 51, Ltd. Series 2021-1A, Class A, 3 Month USD LIBOR + 1.15%, 5.39%, 7/20/2034
(a)
(b)
|
|
|
1,000,000
|
|
966,600
|
Pagaya
AI Debt Selection Trust: |
|
|
|
|
|
Series 2021-3, Class B, 1.74%, 5/15/2029
(a)
|
|
|
999,946
|
|
925,993
|
Series 2021-5, Class B, 2.63%, 8/15/2029
(a)
|
|
|
999,882
|
|
914,388
|
Peace Park CLO, Ltd. Series 2021-1A, Class A, 3 Month USD LIBOR + 1.13%, 5.37%, 10/20/2034
(a)
(b)
|
|
|
1,000,000
|
|
972,300
|
Regatta VI Funding, Ltd. Series 2016-1A, Class AR2, 3 Month USD LIBOR + 1.16%, 5.40%, 4/20/2034
(a)
(b)
|
|
|
1,000,000
|
|
968,700
|
Regatta XXIII Funding, Ltd. Series 2021-4A, Class A1, 3 Month USD LIBOR + 1.15%, 5.39%, 1/20/2035
(a)
(b)
|
|
|
2,265,000
|
|
2,185,951
|
Sapphire Aviation Finance II, Ltd. Series 2020-1A, Class A, 3.23%, 3/15/2040
(a)
|
|
|
373,315
|
|
282,270
|
Security
Description |
|
|
Principal
Amount |
|
Value
|
Shackleton CLO, Ltd. Series 2013-3A, Class AR, 3 Month USD LIBOR + 1.12%, 5.20%, 7/15/2030
(a)
(b)
|
|
|
$
497,278 |
|
$
489,421 |
Sound Point CLO XXVI, Ltd. Series 2020-1A, Class AR, 3 Month USD LIBOR + 1.17%, 5.41%, 7/20/2034
(a)
(b)
|
|
|
1,000,000
|
|
963,738
|
STWD, Ltd. Series 2019-FL1, Class AS, 1 Month USD Term LIBOR + 1.51%, 5.84%, 7/15/2038
(a)
(b)
|
|
|
100,000
|
|
98,140
|
TRTX Issuer, Ltd. Series 2022-FL5, Class A, SOFR30A + 1.65%, 5.46%, 2/15/2039
(a)
(b)
|
|
|
200,000
|
|
192,710
|
Vibrant ClO VIII, Ltd. Series 2018-8A, Class A1A, 3 Month USD LIBOR + 1.14%, 5.38%, 1/20/2031
(a)
(b)
|
|
|
500,000
|
|
491,200
|
VMC Finance LLC Series 2022-FL5, Class A, SOFR30A + 1.90%, 5.71%, 2/18/2039
(a)
(b)
|
|
|
450,000
|
|
438,029
|
VOLT C LLC Series 2021-NPL9, Class A1, 1.99%, 5/25/2051
(a)
(c)
|
|
|
430,170
|
|
384,093
|
VOLT CI LLC Series 2021-NP10, Class A1, 1.99%, 5/25/2051
(a)
(c)
|
|
|
1,452,674
|
|
1,288,400
|
Washington Mutural Asset-Backed Certificates WMABS Trust Series 2006-HE5, Class 2A2, 1 Month USD LIBOR + 0.18%, 3.82%, 10/25/2036
(b)
|
|
|
278,652
|
|
99,593
|
|
|
|
|
|
27,548,629
|
STUDENT
LOAN ABS — 0.1% |
|
|
|
|
|
Commonbond Student Loan Trust Series 2018-BGS, Class B, 3.99%, 9/25/2045
(a)
|
|
|
131,773
|
|
122,308
|
Laurel Road Prime Student Loan Trust Series 2019-A, Class A1FX, 2.34%, 10/25/2048
(a)
|
|
|
30,044
|
|
29,060
|
|
|
|
|
|
151,368
|
TOTAL ASSET-BACKED SECURITIES (Cost
$30,349,896)
|
|
|
|
|
29,056,100
|
See accompanying notes to financial statements.
61
SSGA ACTIVE
TRUST
SPDR DOUBLELINE SHORT DURATION TOTAL RETURN TACTICAL ETF
SCHEDULE OF
INVESTMENTS (continued)
December 31, 2022 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
FOREIGN
GOVERNMENT OBLIGATIONS — 0.5% |
|
|
|
|
|
COLOMBIA
— 0.1% |
|
|
|
|
|
Colombia Government International Bond 4.50%,
1/28/2026
|
|
|
$
200,000 |
|
$
188,040 |
PANAMA
— 0.2% |
|
|
|
|
|
Panama Government International Bond 3.75%,
3/16/2025
|
|
|
250,000
|
|
241,790
|
SOUTH
AFRICA — 0.2% |
|
|
|
|
|
Republic of South Africa Government International Bond 4.88%,
4/14/2026
|
|
|
200,000
|
|
193,148
|
TOTAL FOREIGN GOVERNMENT OBLIGATIONS (Cost
$678,058)
|
|
|
|
|
622,978
|
U.S.
GOVERNMENT AGENCY OBLIGATIONS — 7.1% |
|
|
|
|
|
Federal
Home Loan Mortgage Corp.: |
|
|
|
|
|
2.00%,
3/1/2036
|
|
|
1,325,244
|
|
1,181,142
|
2.00%,
11/1/2036
|
|
|
1,066,298
|
|
951,393
|
Series 4211, Class AP, 1.60%,
3/15/2043
|
|
|
847,455
|
|
780,183
|
Series 4461, Class BA, CMO, 2.00%,
12/15/2043
|
|
|
520,486
|
|
480,876
|
Series 5179, Class GD, CMO, 2.00%,
12/25/2047
|
|
|
907,229
|
|
767,322
|
Series 4030, Class AN, CMO, REMIC, 1.75%,
4/15/2027
|
|
|
344,602
|
|
331,357
|
Series 4484, Class CD, CMO, REMIC, 1.75%,
7/15/2030
|
|
|
71,049
|
|
66,156
|
Series K722, Class X1, IO, 1.37%, 3/25/2023
(b)
|
|
|
95,363
|
|
114
|
Federal
National Mortgage Association: |
|
|
|
|
|
1.50%,
5/1/2036
|
|
|
1,008,707
|
|
876,227
|
2.00%,
9/1/2036
|
|
|
845,056
|
|
753,182
|
3.00%,
11/1/2033
|
|
|
707,097
|
|
669,560
|
3.00%,
11/1/2036
|
|
|
162,352
|
|
149,546
|
Series 2010-141, Class FB, CMO, REMIC, 1 Month USD LIBOR + 0.47%, 4.86%, 12/25/2040
(b)
|
|
|
146,558
|
|
144,375
|
Series 2012-32, Class DA, CMO, REMIC, 2.00%,
11/25/2026
|
|
|
296,323
|
|
289,302
|
Series 2016-8, Class FA, CMO, REMIC, 1 Month USD LIBOR + 0.45%, 4.84%, 3/25/2046
(b)
|
|
|
230,293
|
|
224,660
|
Security
Description |
|
|
Principal
Amount |
|
Value
|
Series 2018-27, Class FJ, CMO, REMIC, 1 Month USD LIBOR + 0.30%, 4.69%, 12/25/2047
(b)
|
|
|
$
162,110 |
|
$
156,285 |
Series 2018-45, Class FA, CMO, REMIC, 1 Month USD LIBOR + 0.30%, 4.69%, 6/25/2048
(b)
|
|
|
180,740
|
|
174,127
|
Series 2020-M49, Class 1A1, VRN, 1.26%, 11/25/2030
(b)
|
|
|
1,068,850
|
|
921,310
|
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS (Cost
$10,042,137)
|
|
|
|
|
8,917,117
|
U.S.
TREASURY OBLIGATIONS — 28.1% |
|
|
|
|
|
U.S. Treasury Bill 4.12%, 2/9/2023 (Cost
$21,730,614)
|
|
|
21,800,000
|
|
21,713,029
|
U.S.
Treasury Notes: |
|
|
|
|
|
3.00%,
7/15/2025
|
|
|
5,000,000
|
|
4,842,969
|
4.25%,
10/15/2025
|
|
|
9,000,000
|
|
8,994,375
|
TOTAL U.S. TREASURY OBLIGATIONS (Cost
$35,651,233)
|
|
|
|
|
35,550,373
|
MORTGAGE-BACKED
SECURITIES — 10.3% |
|
|
|
|
|
Alternative
Loan Trust: |
|
|
|
|
|
Series 2006-J7, Class 1A3, 6.25%,
11/25/2036
|
|
|
417,950
|
|
206,434
|
Series 2006-41CB, Class 1A3, CMO, 6.00%,
1/25/2037
|
|
|
244,296
|
|
136,420
|
Citigroup Mortgage Loan Trust Series 2007-AR8, Class 2A1A, CMO, 3.59%, 7/25/2037
(b)
|
|
|
3,228,770
|
|
2,454,961
|
CSMC Mortgage Backed Trust Series 2020-RPL3, Class A1, CMO, 2.69%, 3/25/2060
(a)
(b)
|
|
|
867,224
|
|
826,704
|
Legacy
Mortgage Asset Trust: |
|
|
|
|
|
Series 2021-GS1, Class A1, 1.89%, 10/25/2066
(a)
(c)
|
|
|
400,108
|
|
365,648
|
Series 2021-GS2, Class A1, 1.75%, 4/25/2061
(a)
(c)
|
|
|
344,258
|
|
311,172
|
Luminent Mortgage Trust Series 2007-1, Class 1A1, CMO, 1 Month USD LIBOR + 0.32%, 4.71%, 11/25/2036
(b)
|
|
|
2,608,802
|
|
2,309,529
|
PRPM LLC Series 2022-1, Class A1, 3.72%, 2/25/2027
(a)
(c)
|
|
|
1,719,305
|
|
1,607,556
|
See accompanying notes to financial statements.
62
SSGA ACTIVE
TRUST
SPDR DOUBLELINE SHORT DURATION TOTAL RETURN TACTICAL ETF
SCHEDULE OF
INVESTMENTS (continued)
December 31, 2022 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
Residential Asset Securitization Trust Series 2006-A6, Class 1A4, CMO, IO, 6.00%,
7/25/2036
|
|
|
$
2,585,498 |
|
$
636,627 |
Residential Mortgage Loan Trust Series 2020-1, Class A1, 2.38%, 1/26/2060
(a)
(b)
|
|
|
1,125,197
|
|
1,071,552
|
Toorak Mortgage Corp., Ltd. Series 2020-1, Class A1, 2.73%, 3/25/2023
(a)
(c)
|
|
|
451,354
|
|
435,943
|
Verus Securitization Trust Series 2022-3, Class A1, 4.13%, 2/25/2067
(a)
(c)
|
|
|
823,299
|
|
777,178
|
WaMu Mortgage Pass-Through Certificates Trust Series 2006-AR16, Class 2A1, CMO, 3.41%, 12/25/2036
(b)
|
|
|
1,885,722
|
|
1,566,853
|
Washington Mutual Mortgage Pass-Through Certificates Trust Series 2005-8, Class 2CB3, CMO, 1 Month USD LIBOR + 0.41%, 4.80%, 10/25/2035
(b)
|
|
|
301,754
|
|
268,672
|
TOTAL MORTGAGE-BACKED SECURITIES (Cost
$14,960,497)
|
|
|
|
|
12,975,249
|
COMMERCIAL
MORTGAGE BACKED SECURITIES — 5.6% |
|
|
|
|
|
Arbor Multifamily Mortgage Securities Trust Series 2021-MF2, Class A2, 2.02%, 6/15/2054
(a)
|
|
|
139,000
|
|
122,305
|
BANK:
|
|
|
|
|
|
Series 2017-BNK6, Class XA, IO, 0.77%, 7/15/2060
(b)
|
|
|
1,014,964
|
|
26,954
|
Series 2020-BN26, Class XA, IO, VRN, 1.23%, 3/15/2063
(b)
|
|
|
1,304,580
|
|
83,299
|
BBCMS Mortgage Trust Series 2017-DELC, Class E, 1 Month USD LIBOR + 2.63%, 6.94%, 8/15/2036
(a)
(b)
|
|
|
38,000
|
|
36,862
|
Benchmark
Mortgage Trust: |
|
|
|
|
|
Series 2018-B1, Class XA, IO, 0.53%, 1/15/2051
(b)
|
|
|
1,662,166
|
|
33,704
|
Series 2019-B15, Class XA, IO, VRN, 0.82%, 12/15/2072
(b)
|
|
|
4,057,985
|
|
162,334
|
BPR
Trust: |
|
|
|
|
|
Series 2021-TY, Class A, 1 Month USD LIBOR + 1.05%, 5.37%, 9/15/2038
(a)
(b)
|
|
|
192,000
|
|
182,366
|
Security
Description |
|
|
Principal
Amount |
|
Value
|
Series 2022-OANA, Class A, 1 Month USD Term LIBOR + 1.90%, 6.23%, 4/15/2037
(a)
(b)
|
|
|
$
250,000 |
|
$
246,178 |
BX Commercial Mortgage Trust Series 2021-21M, Class A, 1 Month USD LIBOR + 0.73%, 5.05%, 10/15/2036
(a)
(b)
|
|
|
134,847
|
|
129,581
|
BX
Trust: |
|
|
|
|
|
Series 2021-VIEW, Class A, 1 Month USD LIBOR + 1.28%, 5.60%, 6/15/2036
(a)
(b)
|
|
|
299,000
|
|
283,384
|
Series 2022-PSB, Class A, 1 Month USD Term LIBOR + 2.45%, 6.79%, 8/15/2039
(a)
(b)
|
|
|
148,285
|
|
147,971
|
BXHPP Trust Series 2021-FILM, Class B, 1 Month USD LIBOR + 0.90%, 5.22%, 8/15/2036
(a)
(b)
|
|
|
224,000
|
|
207,472
|
BXMT, Ltd. Series 2021-FL4, Class A, 1 Month USD LIBOR + 1.05%, 5.37%, 5/15/2038
(a)
(b)
|
|
|
138,000
|
|
134,714
|
Cantor Commercial Real Estate Series 2019-CF1, Class 65A, 4.41%, 5/15/2052
(a)
(b)
|
|
|
163,000
|
|
152,192
|
Citigroup
Commercial Mortgage Trust: |
|
|
|
|
|
Series 2019-PRM, Class D, 4.35%, 5/10/2036
(a)
|
|
|
261,000
|
|
258,246
|
Series 2016-GC37, Class XA, IO, 1.65%, 4/10/2049
(b)
|
|
|
381,648
|
|
15,686
|
COMM
Mortgage Trust: |
|
|
|
|
|
Series 2018-HCLV, Class A, 1 Month USD LIBOR + 1.10%, 5.42%, 9/15/2033
(a)
(b)
|
|
|
70,000
|
|
65,656
|
Series 2015-CR25, Class XA, IO, 0.80%, 8/10/2048
(b)
|
|
|
1,109,490
|
|
19,036
|
Credit Suisse Mortgage Capital Certificates Series 2017-CHOP, Class D, 1 Month USD LIBOR + 1.90%, 6.22%, 7/15/2032
(a)
(b)
|
|
|
29,000
|
|
25,923
|
CSAIL
Commercial Mortgage Trust: |
|
|
|
|
|
Series 2017-C8, Class XA, IO, 1.10%, 6/15/2050
(b)
|
|
|
244,394
|
|
9,195
|
Series 2017-CX10, Class XA, IO, 0.75%, 11/15/2050
(b)
|
|
|
845,506
|
|
22,775
|
Series 2017-CX9, Class XA, IO, 0.66%, 9/15/2050
(b)
|
|
|
1,255,008
|
|
22,862
|
See accompanying notes to financial statements.
63
SSGA ACTIVE
TRUST
SPDR DOUBLELINE SHORT DURATION TOTAL RETURN TACTICAL ETF
SCHEDULE OF
INVESTMENTS (continued)
December 31, 2022 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
EQUS 2021-EQAZ Mortgage Trust Series 2021-EQAZ, Class A, 1 Month USD LIBOR + 0.75%, 5.07%, 10/15/2038
(a)
(b)
|
|
|
$
180,996 |
|
$
174,270 |
Extended Stay America Trust Series 2021-ESH, Class A, 1 Month USD LIBOR + 1.08%, 5.40%, 7/15/2038
(a)
(b)
|
|
|
146,429
|
|
142,172
|
GPMT, Ltd. Series 2021-FL3, Class A, 1 Month USD LIBOR + 1.25%, 5.59%, 7/16/2035
(a)
(b)
|
|
|
64,773
|
|
63,185
|
Great Wolf Trust Series 2019-WOLF, Class E, 1 Month USD LIBOR + 2.73%, 7.05%, 12/15/2036
(a)
(b)
|
|
|
125,000
|
|
118,356
|
GS
Mortgage Securities Trust: |
|
|
|
|
|
Series 2021-IP, Class A, 1 Month USD LIBOR + 0.95%, 5.27%, 10/15/2036
(a)
(b)
|
|
|
181,000
|
|
171,585
|
Series 2017-GS7, Class XA, IO, 1.08%, 8/10/2050
(b)
|
|
|
373,027
|
|
13,932
|
Series 2020-GC47, Class XA, IO, VRN, 1.13%, 5/12/2053
(b)
|
|
|
2,112,033
|
|
127,908
|
JP
Morgan Chase Commercial Mortgage Securities Trust: |
|
|
|
|
|
Series 2019-MFP, Class A, 1 Month USD LIBOR + 0.96% , 5.28%, 7/15/2036
(a)
(b)
|
|
|
49,199
|
|
47,907
|
Series 2022-NLP, Class A, 1 Month USD Term LIBOR + 0.60%, 4.93%, 4/15/2037
(a)
(b)
|
|
|
187,129
|
|
173,214
|
Series 2016-JP4, Class XA, IO, 0.59%, 12/15/2049
(b)
|
|
|
1,359,147
|
|
24,173
|
JPMBB
Commercial Mortgage Securities Trust: |
|
|
|
|
|
Series 2019-COR5, Class XA, IO, VRN, 1.47%, 6/13/2052
(b)
|
|
|
1,086,734
|
|
68,184
|
Series 2014-C25, Class B, VRN, 4.35%, 11/15/2047
(b)
|
|
|
150,000
|
|
140,722
|
LoanCore Issuer, Ltd. Series 2019-CRE3, Class AS, 1 Month USD LIBOR + 1.37%, 5.69%, 4/15/2034
(a)
(b)
|
|
|
107,612
|
|
107,134
|
MF1 Multifamily Housing Mortgage Loan Trust Series 2021-FL5, Class AS, 1 Month USD Term LIBOR + 1.31%, 5.65%, 7/15/2036
(a)
(b)
|
|
|
138,000
|
|
133,060
|
Security
Description |
|
|
Principal
Amount |
|
Value
|
MHP Trust Series 2022-MHIL, Class A, 1 Month USD Term LIBOR + 0.81%, 5.15%, 1/15/2027
(a)
(b)
|
|
|
$
152,550 |
|
$
145,927 |
Morgan
Stanley Bank of America Merrill Lynch Trust: |
|
|
|
|
|
Series 2014-C15, Class XA, IO, 0.87%, 4/15/2047
(b)
|
|
|
583,215
|
|
2,861
|
Series 2014-C19, Class LNCX, IO, 0.60%, 12/15/2046
(a)
(b)
|
|
|
1,142,261
|
|
10,241
|
Morgan
Stanley Capital I Trust: |
|
|
|
|
|
Series 2019-PLND, Class B, 1 Month USD LIBOR + 1.30%, 5.62%, 5/15/2036
(a)
(b)
|
|
|
163,000
|
|
158,805
|
Series 2019-PLND, Class D, 1 Month USD LIBOR + 1.75%, 6.07%, 5/15/2036
(a)
(b)
|
|
|
127,000
|
|
115,764
|
Series 2016-UB12, Class XA, IO, 0.65%, 12/15/2049
(b)
|
|
|
1,342,516
|
|
27,244
|
Morgan Stanley Captial I Trust Series 2021-L6, Class A2, 2.13%, 6/15/2054
(b)
|
|
|
151,000
|
|
133,370
|
MSC Trust Series 2021-ILP, Class A, 1 Month USD LIBOR + 0.78%, 5.10%, 11/15/2023
(a)
(b)
|
|
|
180,403
|
|
173,524
|
MSCG Trust Series 2018-SELF, Class A, 1 Month USD LIBOR + 0.90%, 5.22%, 10/15/2037
(a)
(b)
|
|
|
72,196
|
|
70,786
|
Natixis Commercial Mortgage Securities Trust Series 2018-FL1, Class A, 1 Month USD LIBOR + 0.95%, 5.27%, 6/15/2035
(a)
(b)
|
|
|
49,442
|
|
47,722
|
RIAL Issuer, Ltd. Series 2022-FL8, Class A, 1 Month USD Term LIBOR + 2.25%, 6.57%, 1/19/2037
(a)
(b)
|
|
|
250,000
|
|
243,750
|
SMR 2022-IND Mortgage Trust Series 2022-IND, Class A, 1 Month USD Term LIBOR + 1.65%, 5.99%, 2/15/2039
(a)
(b)
|
|
|
155,299
|
|
149,329
|
SREIT Trust Series 2021-MFP, Class A, 1 Month USD LIBOR + 0.73%, 5.05%, 11/15/2038
(a)
(b)
|
|
|
181,000
|
|
174,056
|
UBS Commercial Mortgage Trust Series 2017-C1, Class XA, IO, 1.53%, 6/15/2050
(b)
|
|
|
607,071
|
|
30,823
|
Velocity Commercial Capital Loan Trust Series 2018-2, Class A, 4.05%, 10/26/2048
(a)
(b)
|
|
|
268,457
|
|
257,290
|
See accompanying notes to financial statements.
64
SSGA ACTIVE
TRUST
SPDR DOUBLELINE SHORT DURATION TOTAL RETURN TACTICAL ETF
SCHEDULE OF
INVESTMENTS (continued)
December 31, 2022 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
Wells
Fargo Commercial Mortgage Trust: |
|
|
|
|
|
Series 2021-C60, Class A2, 2.04%,
8/15/2054
|
|
|
$
151,000 |
|
$
132,821 |
Series 2021-SAVE, Class A, 1 Month USD LIBOR + 1.15%, 5.47%, 2/15/2040
(a)
(b)
|
|
|
90,902
|
|
84,931
|
Series 2021-SAVE, Class B, 1 Month USD LIBOR + 1.45%, 5.77%, 2/15/2040
(a)
(b)
|
|
|
90,902
|
|
82,560
|
Series 2022-ONL, Class A, 3.86%, 12/15/2039
(a)
|
|
|
500,000
|
|
454,737
|
Series 2019-C51, Class XA, IO, VRN, 1.33%, 6/15/2052
(b)
|
|
|
982,604
|
|
59,379
|
Series 2019-C52, Class XA, IO, VRN, 1.60%, 8/15/2052
(b)
|
|
|
2,890,379
|
|
206,394
|
WFRBS
Commercial Mortgage Trust: |
|
|
|
|
|
Series 2014-C21, Class AS, 3.89%,
8/15/2047
|
|
|
250,000
|
|
239,546
|
Series 2013-C18, Class XA, IO, 0.73%, 12/15/2046
(b)
|
|
|
713,985
|
|
3,455
|
Series 2014-C23, Class AS, VRN, 4.21%, 10/15/2057
(b)
|
|
|
235,000
|
|
224,202
|
TOTAL COMMERCIAL MORTGAGE BACKED SECURITIES (Cost
$8,338,672)
|
|
|
|
|
7,124,014
|
SENIOR
FLOATING RATE LOANS — 6.3% |
|
|
|
CABLE/SATELLITE
TV — 0.2% |
|
|
|
|
Cable One, Inc. Senior Secured 2021 Term Loan B4, 1 Month USD LIBOR + 2.00%, 6.39%, 5/3/2028
(b)
|
|
285,600
|
|
279,781
|
CAPITAL
MARKETS — 0.0% (d) |
|
|
|
|
Focus Financial Partners LLC Senior Secured 2021 Term Loan B4, 1 Month USD LIBOR + 2.50%, 6.82%, 6/30/2028
(b)
|
|
34,648
|
|
34,064
|
CASINO
SERVICES — 0.3% |
|
|
|
|
Stars Group Holdings B.V. Senior Secured 2018 USD Incremental Term Loan, 3 Month USD LIBOR + 2.25%, 6.98%, 7/21/2026
(b)
|
|
360,289
|
|
355,884
|
CHEMICALS
— 0.2% |
|
|
|
|
Axalta Coating Systems Dutch Holding B B.V Senior Secured 2022 USD Term Loan B,
12/20/2029
|
|
115,000
|
|
115,259
|
Security
Description |
|
|
Principal
Amount |
|
Value
|
Element Solutions, Inc. Senior Secured 2019 Term Loan B1, 1 Month USD LIBOR + 2.00%, 6.07%, 1/31/2026
(b)
|
|
$
181,873 |
|
$
181,872 |
|
|
|
|
|
297,131
|
COMMERCIAL
SERVICES & SUPPLIES — 0.1% |
|
|
|
|
Clean Harbors, Inc. Senior Secured 2021 Incremental Term Loan B, 1 Month USD LIBOR + 2.00%, 6.38%, 10/8/2028
(b)
|
|
74,250
|
|
74,054
|
DISTRIBUTION/WHOLESALE
— 0.2% |
|
|
|
|
Resideo Funding, Inc. Senior Secured 2021 Term Loan, 3 Month USD LIBOR + 2.25%, 6.83%, 2/11/2028
(b)
|
|
295,489
|
|
293,828
|
DIVERSIFIED
FINANCIAL SERVICES — 0.3% |
|
|
|
|
Setanta Aircraft Leasing DAC Senior Secured Term Loan B, 3 Month USD LIBOR + 2.00%, 6.73%, 11/5/2028
(b)
|
|
185,000
|
|
184,445
|
Trans Union LLC Senior Secured 2019 Term Loan B5, 1 Month USD LIBOR + 1.75%, 6.13%, 11/16/2026
(b)
|
|
186,564
|
|
184,249
|
|
|
|
|
|
368,694
|
DIVERSIFIED
TELECOMMUNICATION SERVICES — 0.3% |
|
|
|
|
Level 3 Financing, Inc. Senior Secured 2019 Term Loan B, 1 Month USD LIBOR + 1.75%, 6.13%, 3/1/2027
(b)
|
|
329,356
|
|
316,447
|
ENTERTAINMENT
— 0.2% |
|
|
|
|
WMG Acquisition Corp. Senior Secured 2021 Term Loan G, 1 Month USD LIBOR + 2.13%, 6.51%, 1/20/2028
(b)
|
|
277,767
|
|
274,989
|
FOOD
PRODUCTS — 0.2% |
|
|
|
|
KFC Holding Co. Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 1.75%, 6.09%, 3/15/2028
(b)
|
|
268,990
|
|
265,964
|
FORESTRY
— 0.3% |
|
|
|
|
Asplundh Tree Expert LLC Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 1.75%, 6.13%, 9/7/2027
(b)
|
|
418,577
|
|
418,401
|
See accompanying notes to financial statements.
65
SSGA ACTIVE
TRUST
SPDR DOUBLELINE SHORT DURATION TOTAL RETURN TACTICAL ETF
SCHEDULE OF
INVESTMENTS (continued)
December 31, 2022 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
HEALTH
CARE EQUIPMENT & SUPPLIES — 0.0% (d) |
|
|
|
|
ICU Medical, Inc. Senior Secured Term Loan B, 1 Month USD SOFR + 2.50%, 6.92%, 1/8/2029
(b)
|
|
$
29,775 |
|
$
28,882 |
HEALTH
CARE PROVIDERS & SERVICES — 0.5% |
|
|
|
|
Horizon Therapeutics USA, Inc. Senior Secured 2021 Term Loan B2, 1 Month USD LIBOR + 1.75%, 6.19%, 3/15/2028
(b)
|
|
418,609
|
|
418,722
|
ICON Luxembourg SARL Senior Secured LUX Term Loan, 3 Month USD LIBOR + 2.25%, 7.00%, 7/3/2028
(b)
|
|
203,887
|
|
203,531
|
PRA Health Sciences, Inc. Senior Secured US Term Loan, 3 Month USD LIBOR + 2.25%, 7.00%, 7/3/2028
(b)
|
|
50,798
|
|
50,710
|
|
|
|
|
|
672,963
|
HOUSEHOLD
PRODUCTS — 0.3% |
|
|
|
|
Reynolds Consumer Products LLC Senior Secured Term Loan, 1 Month USD LIBOR + 1.75%, 6.13%, 2/4/2027
(b)
|
|
407,757
|
|
405,113
|
INDEPENDENT
POWER PRODUCERS & ENERGY TRADERS — 0.3% |
|
|
|
|
Vistra Operations Co. LLC Senior Secured 1st Lien Term Loan B3, 1 Month USD LIBOR + 1.75%, 6.12%, 12/31/2025
(b)
|
|
368,459
|
|
365,800
|
INTERNET
& TELECOM — 0.3% |
|
|
|
|
Go Daddy Operating Company LLC Senior Secured 2022 Term Loan B5, 1 Month USD SOFR + 3.25%, 7.57%,
11/9/2029
|
|
307,737
|
|
307,630
|
IT
SERVICES — 0.3% |
|
|
|
|
Fleetcor Technologies Operating Co. LLC Senior Secured 2021 Term Loan B4, 1 Month USD LIBOR + 1.75%, 6.13%, 4/28/2028
(b)
|
|
418,630
|
|
414,967
|
MACHINERY
— 0.4% |
|
|
|
|
Ali Group North America Corp. Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 2.00%, 6.44%, 7/30/2029
(b)
|
|
75,178
|
|
74,708
|
Security
Description |
|
|
Principal
Amount |
|
Value
|
Ingersoll-Rand Services Co. Senior Secured 2020 USD Spinco Term Loan, 1 Month USD SOFR + 1.75%, 6.17%, 3/1/2027
(b)
|
|
$
443,164 |
|
$
440,211 |
|
|
|
|
|
514,919
|
MEDIA
— 0.2% |
|
|
|
|
Gray Television, Inc. Senior Secured 2021 Term Loan D, 1 Month USD LIBOR + 3.00%, 7.12%, 12/1/2028
(b)
|
|
79,200
|
|
77,080
|
Nexstar Broadcasting, Inc. Senior Secured 2019 Term Loan B4, 1 Month USD LIBOR + 2.50%, 6.88%, 9/18/2026
(b)
|
|
135,800
|
|
134,934
|
|
|
|
|
|
212,014
|
MRI/MEDICAL
DIAG IMAGING — 0.2% |
|
|
|
|
IQVIA, Inc. Senior Secured 2018 USD Term Loan B3, 3 Month USD LIBOR + 1.75%, 6.48%, 6/11/2025
(b)
|
|
271,862
|
|
271,098
|
PHARMACEUTICALS
— 0.5% |
|
|
|
|
Catalent Pharma Solutions, Inc. Senior Secured 2021 Term Loan B3, 1 Month USD LIBOR + 2.00%, 6.38%, 2/22/2028
(b)
|
|
34,474
|
|
34,005
|
Elanco Animal Health, Inc. Senior Secured Term Loan B, 1 Month USD LIBOR + 1.75%, 5.87%, 8/1/2027
(b)
|
|
277,123
|
|
266,687
|
Grifols Worldwide Operations USA, Inc. Senior Secured USD 2019 Term Loan B, 1 Month USD LIBOR + 2.00%, 6.38%, 11/15/2027
(b)
|
|
319,481
|
|
309,631
|
|
|
|
|
|
610,323
|
PROFESSIONAL
SERVICES — 0.1% |
|
|
|
|
Trans Union LLC Senior Secured 2021 Term Loan B6, 1 Month USD LIBOR + 2.25%, 6.63%, 12/1/2028
(b)
|
|
75,663
|
|
75,048
|
REAL
ESTATE INVESTMENT TRUSTS (REITs) — 0.3% |
|
|
|
|
Iron Mountain, Inc. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 1.75% 6.38%,
1/2/2026(b)
|
|
418,411
|
|
413,704
|
See accompanying notes to financial statements.
66
SSGA ACTIVE
TRUST
SPDR DOUBLELINE SHORT DURATION TOTAL RETURN TACTICAL ETF
SCHEDULE OF
INVESTMENTS (continued)
December 31, 2022 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
SOFTWARE
— 0.6% |
|
|
|
|
NortonLifeLock, Inc. Senior Secured 2022 Term Loan B, 1 Month USD SOFR + 2.00%, 6.42%,
9/12/2029
|
|
$
277,494 |
|
$
273,390 |
SS&C Technologies, Inc. Senior Secured 2018 Term Loan B5, 1 Month USD LIBOR + 1.75%, 6.13%, 4/16/2025
(b)
|
|
414,835
|
|
408,535
|
|
|
|
|
|
681,925
|
THRIFTS
& MORTGAGE FINANCE — 0.0% (d) |
|
|
|
|
Walker & Dunlop, Inc. Senior Secured 2021 Term Loan, 1 Month USD SOFR + 2.25%, 6.67%, 12/16/2028
(b)
|
|
39,600
|
|
38,907
|
TOTAL SENIOR FLOATING RATE LOANS (Cost
$8,046,662)
|
|
|
|
|
7,992,530
|
|
|
Shares
|
|
SHORT-TERM
INVESTMENT — 3.6% |
|
State Street Institutional U.S. Government Money Market Fund, Class G Shares 4.16% (e) (f) (Cost
$4,559,807)
|
4,559,807
|
4,559,807
|
TOTAL INVESTMENTS — 99.4% (Cost
$132,484,489)
|
125,678,570
|
OTHER ASSETS IN EXCESS OF LIABILITIES — 0.6%
|
818,856
|
NET ASSETS —
100.0%
|
$
126,497,426 |
(a)
|
Securities
purchased pursuant to Rule 144A of the Securities Act of 1933, as amended. These securities, which represent 33.3% of net assets as of December 31, 2022, 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, 2022. For securities based on a published reference rate and spread, the reference rate and spread are indicated in the description above. |
(c)
|
Step-up
bond - Coupon rate increases in increments to maturity. Rate shown as of December 31, 2022. Maturity date shown is the final maturity. |
(d)
|
Amount
is less than 0.05% of net assets. |
(e)
|
The
Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2022 are shown in the Affiliate Table below. |
(f)
|
The
rate shown is the annualized seven-day yield at December 31, 2022. |
ABS
|
Asset-Backed
Security |
CLO
|
Collateralized
Loan Obligation |
CMO
|
Collateralized
Mortgage Obligation |
CMT
|
Constant
Maturity Treasury |
EMTN
|
Euro
Medium Term Note |
IO
|
Interest
Only |
LIBOR
|
London
Interbank Offered Rate |
MTN
|
Medium
Term Note |
REIT
|
Real
Estate Investment Trust |
REMIC
|
Real
Estate Mortgage Investment Conduit |
SOFR
|
Secured
Overnight Financing Rate |
VRN
|
Variable
Rate Note |
The following table summarizes the value of the
Fund's investments according to the fair value hierarchy as of December 31, 2022.
Description
|
|
Level
1 – Quoted Prices |
|
Level
2 – Other Significant Observable Inputs |
|
Level
3 – Significant Unobservable Inputs |
|
Total
|
ASSETS:
|
|
|
|
|
|
|
|
|
INVESTMENTS:
|
|
|
|
|
|
|
|
|
Corporate Bonds &
Notes
|
|
$
— |
|
$
18,880,402 |
|
$—
|
|
$
18,880,402 |
Asset-Backed
Securities
|
|
—
|
|
29,056,100
|
|
—
|
|
29,056,100
|
Foreign Government
Obligations
|
|
—
|
|
622,978
|
|
—
|
|
622,978
|
U.S. Government Agency
Obligations
|
|
—
|
|
8,917,117
|
|
—
|
|
8,917,117
|
U.S. Treasury
Obligations
|
|
—
|
|
35,550,373
|
|
—
|
|
35,550,373
|
Mortgage-Backed
Securities
|
|
—
|
|
12,975,249
|
|
—
|
|
12,975,249
|
Commercial Mortgage Backed
Securities
|
|
—
|
|
7,124,014
|
|
—
|
|
7,124,014
|
Senior Floating Rate
Loans
|
|
—
|
|
7,992,530
|
|
—
|
|
7,992,530
|
Short-Term
Investment
|
|
4,559,807
|
|
—
|
|
—
|
|
4,559,807
|
TOTAL
INVESTMENTS
|
|
$4,559,807
|
|
$121,118,763
|
|
$—
|
|
$125,678,570
|
See accompanying notes to financial statements.
67
SSGA ACTIVE
TRUST
SPDR DOUBLELINE SHORT DURATION TOTAL RETURN TACTICAL ETF
SCHEDULE OF
INVESTMENTS (continued)
December 31, 2022 (Unaudited)
Affiliate Table
|
Number
of Shares Held at 6/30/22 |
|
Value
at 6/30/22 |
|
Cost
of Purchases |
|
Proceeds
from Shares Sold |
|
Realized
Gain (Loss) |
|
Change
in Unrealized Appreciation/ Depreciation |
|
Number
of Shares Held at 12/31/22 |
|
Value
at 12/31/22 |
|
Dividend
Income |
State Street Institutional U.S. Government Money Market Fund, Class G
Shares
|
7,824,635
|
|
$7,824,635
|
|
$44,833,238
|
|
$48,098,066
|
|
$—
|
|
$—
|
|
4,559,807
|
|
$4,559,807
|
|
$78,186
|
See accompanying notes to financial statements.
68
SPDR DOUBLELINE
TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS
December 31, 2022 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
CORPORATE
BONDS & NOTES — 12.2% |
|
|
|
|
|
ARGENTINA
— 0.0% (a) |
|
|
|
|
Pampa Energia SA Series REGS, 9.13%,
4/15/2029
|
|
|
$
150,000 |
|
$
138,117 |
AUSTRALIA
— 0.2% |
|
|
|
|
Glencore
Funding LLC: |
|
|
|
|
|
1.63%, 4/27/2026
(b)
|
|
|
1,055,000
|
|
933,738
|
3.38%, 9/23/2051
(b)
|
|
|
1,115,000
|
|
736,012
|
Macquarie Group, Ltd. SOFR + 1.53%, 2.87%, 1/14/2033
(b)
(c)
|
|
|
2,525,000
|
|
1,933,670
|
Westpac Banking Corp. 5 Year CMT + 1.53%, 3.02%, 11/18/2036
(c)
|
|
|
2,370,000
|
|
1,753,373
|
|
|
|
|
|
5,356,793
|
BELGIUM
— 0.1% |
|
|
|
|
Anheuser-Busch InBev Worldwide, Inc. 5.55%,
1/23/2049
|
|
|
1,750,000
|
|
1,744,120
|
BERMUDA
— 0.1% |
|
|
|
|
Triton Container International, Ltd./TAL International Container Corp. 3.25%,
3/15/2032
|
|
|
2,140,000
|
|
1,652,401
|
BRAZIL
— 0.2% |
|
|
|
|
Banco do Brasil SA Series REGS, 10 Year CMT + 6.36%, 9.00%, 6/18/2024
(c)
|
|
|
1,100,000
|
|
1,095,380
|
Braskem Netherlands Finance B.V. 5 Year CMT + 8.22%, 8.50%, 1/23/2081
(c)
|
|
|
1,100,000
|
|
1,065,955
|
MC Brazil Downstream Trading SARL 7.25%,
6/30/2031
|
|
|
600,000
|
|
494,490
|
Movida Europe SA 5.25%,
2/8/2031
|
|
|
400,000
|
|
300,200
|
MV24 Capital B.V. 6.75%,
6/1/2034
|
|
|
256,950
|
|
234,857
|
Petrobras
Global Finance B.V.: |
|
|
|
|
|
5.50%,
6/10/2051
|
|
|
200,000
|
|
153,552
|
6.75%,
6/3/2050
|
|
|
1,000,000
|
|
873,850
|
Simpar Europe SA 5.20%,
1/26/2031
|
|
|
200,000
|
|
151,166
|
|
|
|
|
|
4,369,450
|
CANADA
— 0.5% |
|
|
|
|
1375209 BC, Ltd. 9.00%, 1/30/2028
(b)
|
|
|
79,000
|
|
76,961
|
Bank of Montreal 5 Year CMT + 1.40%, 3.09%, 1/10/2037
(c)
|
|
|
2,385,000
|
|
1,810,358
|
Security
Description |
|
|
Principal
Amount |
|
Value
|
Bank of Nova Scotia 3.45%,
4/11/2025
|
|
|
$
3,330,000 |
|
$
3,209,054 |
Bombardier, Inc. 7.88%, 4/15/2027
(b)
|
|
|
365,000
|
|
355,353
|
Garda
World Security Corp.: |
|
|
|
|
|
4.63%, 2/15/2027
(b)
|
|
|
615,000
|
|
543,888
|
6.00%, 6/1/2029
(b)
|
|
|
480,000
|
|
392,386
|
Kronos
Acquisition Holdings, Inc./KIK Custom Products, Inc.: |
|
|
|
|
|
5.00%, 12/31/2026
(b)
|
|
|
265,000
|
|
231,337
|
7.00%, 12/31/2027
(b)
|
|
|
220,000
|
|
180,884
|
Mattamy Group Corp. 4.63%, 3/1/2030
(b)
|
|
|
395,000
|
|
322,814
|
Parkland
Corp.: |
|
|
|
|
|
4.50%, 10/1/2029
(b)
|
|
|
435,000
|
|
364,300
|
4.63%, 5/1/2030
(b)
|
|
|
300,000
|
|
249,924
|
Primo Water Holdings, Inc. 4.38%, 4/30/2029
(b)
|
|
|
325,000
|
|
280,683
|
Superior Plus L.P./Superior General Partner, Inc. 4.50%, 3/15/2029
(b)
|
|
|
395,000
|
|
339,214
|
Telesat
Canada/Telesat LLC: |
|
|
|
|
|
4.88%, 6/1/2027
(b)
|
|
|
175,000
|
|
79,667
|
6.50%, 10/15/2027
(b)
|
|
|
170,000
|
|
49,949
|
Tervita Corp. 11.00%, 12/1/2025
(b)
|
|
|
237,000
|
|
255,583
|
Titan Acquisition, Ltd./Titan Co-Borrower LLC 7.75%, 4/15/2026
(b)
|
|
|
320,000
|
|
288,963
|
Toronto-Dominion Bank 4.69%,
9/15/2027
|
|
|
2,860,000
|
|
2,827,367
|
|
|
|
|
|
11,858,685
|
CAYMAN
ISLANDS — 0.0% (a) |
|
|
|
|
Global Aircraft Leasing Co., Ltd. PIK, 6.50%, 9/15/2024
(b)
|
|
|
584,188
|
|
497,944
|
CHILE
— 0.1% |
|
|
|
|
CAP SA 3.90%, 4/27/2031
(b)
|
|
|
1,350,000
|
|
1,057,671
|
Chile Electricity PEC SpA Zero Coupon, 1/25/2028
(b)
|
|
|
500,000
|
|
358,720
|
Empresa Electrica Cochrane SpA Series REGS, 5.50%,
5/14/2027
|
|
|
530,880
|
|
490,050
|
Inversiones La Construccion SA 4.75%,
2/7/2032
|
|
|
900,000
|
|
734,157
|
Telefonica Moviles Chile SA 3.54%, 11/18/2031
(b)
|
|
|
150,000
|
|
123,453
|
VTR Comunicaciones SpA 5.13%,
1/15/2028
|
|
|
600,000
|
|
374,148
|
|
|
|
|
|
3,138,199
|
See accompanying notes to financial statements.
69
SPDR DOUBLELINE
TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2022 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
CHINA
— 0.1% |
|
|
|
|
NXP B.V./NXP Funding LLC/NXP USA, Inc. 3.88%,
6/18/2026
|
|
|
$
1,410,000 |
|
$
1,342,292 |
COLOMBIA
— 0.2% |
|
|
|
|
AI Candelaria Spain SA 5.75%, 6/15/2033
(b)
|
|
|
900,000
|
|
688,707
|
Banco Davivienda SA VRN, 10 Year CMT + 5.10%, 6.65%, 4/22/2031
(b)
(c)
|
|
|
600,000
|
|
462,426
|
Ecopetrol
SA: |
|
|
|
|
|
4.63%,
11/2/2031
|
|
|
400,000
|
|
306,532
|
5.88%,
5/28/2045
|
|
|
200,000
|
|
140,000
|
5.88%,
11/2/2051
|
|
|
2,050,000
|
|
1,385,390
|
Empresas
Publicas de Medellin ESP: |
|
|
|
|
|
Series REGS, 4.25%,
7/18/2029
|
|
|
1,400,000
|
|
1,113,658
|
Series REGS, 4.38%,
2/15/2031
|
|
|
1,000,000
|
|
770,030
|
Grupo Aval, Ltd. 4.38%, 2/4/2030
(b)
|
|
|
300,000
|
|
243,762
|
Millicom International Cellular SA Series REGS, 5.13%,
1/15/2028
|
|
|
180,000
|
|
167,485
|
Oleoducto Central SA Series REGS, 4.00%,
7/14/2027
|
|
|
500,000
|
|
440,885
|
|
|
|
|
|
5,718,875
|
FRANCE
— 0.1% |
|
|
|
|
Altice France SA 5.50%, 10/15/2029
(b)
|
|
|
460,000
|
|
352,194
|
TotalEnergies Capital International SA 3.39%,
6/29/2060
|
|
|
1,120,000
|
|
786,890
|
|
|
|
|
|
1,139,084
|
GERMANY
— 0.0% (a) |
|
|
|
|
TK Elevator US Newco, Inc. 5.25%, 7/15/2027
(b)
|
|
|
700,000
|
|
622,678
|
HONG
KONG — 0.0% (a) |
|
|
|
|
Seaspan Corp. 5.50%, 8/1/2029
(b)
|
|
|
325,000
|
|
246,152
|
INDIA
— 0.2% |
|
|
|
|
Adani
Electricity Mumbai, Ltd.: |
|
|
|
|
|
Series REGS, 3.87%,
7/22/2031
|
|
|
400,000
|
|
288,020
|
Series REGS, 3.95%,
2/12/2030
|
|
|
200,000
|
|
151,558
|
Adani International Container Terminal Pvt, Ltd. Series REGS, 3.00%,
2/16/2031
|
|
|
750,000
|
|
588,074
|
Security
Description |
|
|
Principal
Amount |
|
Value
|
Adani
Ports & Special Economic Zone, Ltd.: |
|
|
|
|
|
4.00%,
7/30/2027
|
|
|
$
200,000 |
|
$
175,028 |
Series REGS, 4.38%,
7/3/2029
|
|
|
400,000
|
|
336,044
|
JSW Hydro Energy, Ltd. 4.13%, 5/18/2031
(b)
|
|
|
354,000
|
|
295,848
|
JSW Steel, Ltd. 5.05%,
4/5/2032
|
|
|
1,000,000
|
|
790,240
|
Reliance Industries, Ltd. 2.88%,
1/12/2032
|
|
|
800,000
|
|
649,072
|
UPL
Corp., Ltd.: |
|
|
|
|
|
4.50%,
3/8/2028
|
|
|
1,300,000
|
|
1,092,633
|
4.63%,
6/16/2030
|
|
|
200,000
|
|
155,715
|
Vedanta Resources Finance II PLC 9.25%, 4/23/2026
(b)
|
|
|
1,400,000
|
|
903,826
|
|
|
|
|
|
5,426,058
|
INDONESIA
— 0.2% |
|
|
|
|
Freeport
Indonesia PT: |
|
|
|
|
|
5.32%, 4/14/2032
(b)
|
|
|
400,000
|
|
367,772
|
6.20%,
4/14/2052
|
|
|
200,000
|
|
174,586
|
Indofood
CBP Sukses Makmur Tbk PT: |
|
|
|
|
|
3.40%,
6/9/2031
|
|
|
200,000
|
|
164,548
|
3.54%,
4/27/2032
|
|
|
200,000
|
|
163,063
|
Indonesia Asahan Aluminium Persero PT 5.80%,
5/15/2050
|
|
|
200,000
|
|
167,544
|
LLPL Capital Pte., Ltd. 6.88%,
2/4/2039
|
|
|
1,109,160
|
|
967,121
|
Minejesa
Capital B.V.: |
|
|
|
|
|
Series REGS, 4.63%,
8/10/2030
|
|
|
200,000
|
|
176,114
|
Series REGS, 5.63%,
8/10/2037
|
|
|
2,400,000
|
|
1,857,576
|
|
|
|
|
|
4,038,324
|
IRELAND
— 0.1% |
|
|
|
|
Avolon
Holdings Funding, Ltd.: |
|
|
|
|
|
2.13%, 2/21/2026
(b)
|
|
|
1,345,000
|
|
1,159,524
|
3.25%, 2/15/2027
(b)
|
|
|
685,000
|
|
588,100
|
|
|
|
|
|
1,747,624
|
ISRAEL
— 0.1% |
|
|
|
|
Bank Hapoalim BM 5 year CMT + 2.16%, 3.26%, 1/21/2032
(b)
(c)
|
|
|
1,000,000
|
|
860,480
|
Bank Leumi Le-Israel BM 5 Year CMT + 1.63%, 3.28%, 1/29/2031
(b)
(c)
|
|
|
400,000
|
|
353,952
|
|
|
|
|
|
1,214,432
|
JAMAICA
— 0.0% (a) |
|
|
|
|
Digicel
Group Holdings, Ltd.: |
|
|
|
|
|
PIK, 7.00%, 12/31/2099
(b)
|
|
|
622,113
|
|
55,990
|
See accompanying notes to financial statements.
70
SPDR DOUBLELINE
TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2022 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
PIK, 8.00%, 4/1/2025
(b)
|
|
|
$
873,471 |
|
$
238,152 |
|
|
|
|
|
294,142
|
KUWAIT
— 0.0% (a) |
|
|
|
|
Equate Petrochemical B.V. Series REGS, 2.63%,
4/28/2028
|
|
|
700,000
|
|
609,000
|
LUXEMBOURG
— 0.0% (a) |
|
|
|
|
Altice Financing SA 5.00%, 1/15/2028
(b)
|
|
|
240,000
|
|
193,963
|
Altice France Holding SA 6.00%, 2/15/2028
(b)
|
|
|
430,000
|
|
253,889
|
Guara Norte SARL 5.20%,
6/15/2034
|
|
|
273,171
|
|
230,882
|
Intelsat Jackson Holdings SA 6.50%, 3/15/2030
(b)
|
|
|
240,000
|
|
215,369
|
|
|
|
|
|
894,103
|
MAURITIUS
— 0.0% (a) |
|
|
|
|
Network i2i Ltd. Series REGS, 5 Year CMT + 3.39%, 3.98%, 12/31/2099
(c)
|
|
|
600,000
|
|
522,972
|
MEXICO
— 0.2% |
|
|
|
|
Banco
Mercantil del Norte SA: |
|
|
|
|
|
10 year CMT + 5.03%, 6.63%, 1/24/2032
(c)
|
|
|
200,000
|
|
165,588
|
10 year CMT + 5.47%, 7.50%, 6/27/2029
(b)
(c)
|
|
|
1,400,000
|
|
1,281,294
|
Banco Nacional de Comercio Exterior SNC 5 Year CMT + 2.00%, 2.72%, 8/11/2031
(c)
|
|
|
800,000
|
|
664,616
|
BBVA
Bancomer SA: |
|
|
|
|
|
VRN, 5 Year CMT + 4.31%, 5.88%, 9/13/2034
(c)
|
|
|
600,000
|
|
555,348
|
Series REGS, 5 Year CMT + 2.65%, 5.13%, 1/18/2033
(c)
|
|
|
200,000
|
|
179,950
|
Braskem Idesa SAPI 6.99%,
2/20/2032
|
|
|
500,000
|
|
357,375
|
Cemex SAB de CV 5 Year CMT + 4.53%, 5.13%, 6/8/2026
(c)
|
|
|
900,000
|
|
833,625
|
Credito Real SAB de CV Series REGS, 5 Year CMT + 7.03%, 9.13%, 11/29/2027
(c)
(d)
|
|
|
500,000
|
|
9,245
|
Mexarrend SAPI de CV 10.25%, 7/24/2024
(b)
|
|
|
282,000
|
|
62,314
|
Unifin Financiera SAB de CV Series REGS, 5 Year CMT + 6.31%, 8.88%, 1/29/2025
(c)
(d)
|
|
|
1,800,000
|
|
11,898
|
|
|
|
|
|
4,121,253
|
Security
Description |
|
|
Principal
Amount |
|
Value
|
NETHERLANDS
— 0.0% (a) |
|
|
|
|
Mong Duong Finance Holdings BV Series REGS, 5.13%,
5/7/2029
|
|
|
$
250,000 |
|
$
208,308 |
PANAMA
— 0.1% |
|
|
|
|
Banco Nacional de Panama 2.50%, 8/11/2030
(b)
|
|
|
300,000
|
|
240,555
|
C&W Senior Financing DAC Series REGS, 6.88%,
9/15/2027
|
|
|
450,000
|
|
417,713
|
Empresa de Transmision Electrica SA 5.13%,
5/2/2049
|
|
|
200,000
|
|
162,886
|
UEP
Penonome II SA: |
|
|
|
|
|
6.50%, 10/1/2038
(b)
|
|
|
323,148
|
|
235,894
|
Series REGS, 6.50%,
10/1/2038
|
|
|
369,311
|
|
269,594
|
|
|
|
|
|
1,326,642
|
PARAGUAY
— 0.0% (a) |
|
|
|
|
Bioceanico Sovereign Certificate, Ltd. Zero Coupon,
6/5/2034
|
|
|
136,993
|
|
93,098
|
Rutas 2 and 7 Finance, Ltd. Zero Coupon,
9/30/2036
|
|
|
233,333
|
|
146,029
|
|
|
|
|
|
239,127
|
PERU
— 0.2% |
|
|
|
|
Banco de Credito del Peru S.A. VRN, 5 Year CMT + 3.00%, 3.13%, 7/1/2030
(b)
(c)
|
|
|
400,000
|
|
363,364
|
Banco Internacional del Peru SAA Interbank Series REGS, VRN, 1 year CMT + 3.71%, 4.00%, 7/8/2030
(c)
|
|
|
1,200,000
|
|
1,086,180
|
Fenix Power Peru SA Series REGS, 4.32%,
9/20/2027
|
|
|
298,823
|
|
273,863
|
Hunt Oil Co. of Peru LLC Sucursal Del Peru Series REGS, 6.38%,
6/1/2028
|
|
|
786,600
|
|
747,860
|
Petroleos
del Peru SA: |
|
|
|
|
|
4.75%,
6/19/2032
|
|
|
700,000
|
|
535,353
|
5.63%,
6/19/2047
|
|
|
200,000
|
|
130,130
|
Scotiabank Peru SAA Series REGS, 3 Month USD LIBOR + 3.86%, 8.63%, 12/13/2027
(c)
|
|
|
500,000
|
|
493,930
|
|
|
|
|
|
3,630,680
|
QATAR
— 0.0% (a) |
|
|
|
|
QatarEnergy Trading LLC 2.25%,
7/12/2031
|
|
|
1,000,000
|
|
827,462
|
See accompanying notes to financial statements.
71
SPDR DOUBLELINE
TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2022 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
SAUDI
ARABIA — 0.1% |
|
|
|
|
EIG
Pearl Holdings SARL: |
|
|
|
|
|
3.55%,
8/31/2036
|
|
|
$
500,000 |
|
$
419,980 |
Series REGS, 4.39%,
11/30/2046
|
|
|
900,000
|
|
690,799
|
|
|
|
|
|
1,110,779
|
SINGAPORE
— 0.1% |
|
|
|
|
Avation Capital SA PIK, 8.25%, 10/31/2026
(b)
|
|
|
267,465
|
|
210,631
|
Oversea-Chinese Banking Corp., Ltd. Series REGS, VRN, 5 Year CMT + 1.58%, 1.83%, 9/10/2030
(c)
|
|
|
700,000
|
|
629,958
|
Temasek Financial I Ltd. 1.00%, 10/6/2030
(b)
|
|
|
1,900,000
|
|
1,469,821
|
|
|
|
|
|
2,310,410
|
SOUTH
AFRICA — 0.0% (a) |
|
|
|
|
AngloGold Ashanti Holdings PLC 3.75%,
10/1/2030
|
|
|
500,000
|
|
436,625
|
Sasol Financing USA LLC 5.50%,
3/18/2031
|
|
|
800,000
|
|
649,424
|
|
|
|
|
|
1,086,049
|
SOUTH
KOREA — 0.1% |
|
|
|
|
KT Corp. 1.38%,
1/21/2027
|
|
|
700,000
|
|
600,936
|
LG Chem, Ltd. 2.38%, 7/7/2031
(b)
|
|
|
250,000
|
|
196,428
|
Shinhan Financial Group Co., Ltd. VRN, 5 Year CMT + 2.06%, 2.88%, 5/12/2026
(b)
(c)
|
|
|
900,000
|
|
770,454
|
|
|
|
|
|
1,567,818
|
SPAIN
— 0.0% (a) |
|
|
|
|
Grifols Escrow Issuer SA 4.75%, 10/15/2028
(b)
|
|
|
640,000
|
|
553,728
|
THAILAND
— 0.0% (a) |
|
|
|
|
Bangkok Bank PCL VRN, 5 Year CMT + 4.73%, 5.00%, 12/31/2099
(c)
|
|
|
400,000
|
|
380,060
|
Kasikornbank PCL Series EMTN, VRN, 5 Year CMT + 4.94%, 5.28%, 10/14/2025
(c)
|
|
|
700,000
|
|
656,250
|
|
|
|
|
|
1,036,310
|
UNITED
ARAB EMIRATES — 0.0% (a) |
|
|
|
|
Galaxy
Pipeline Assets Bidco, Ltd.: |
|
|
|
|
|
2.16%, 3/31/2034
(b)
|
|
|
184,932
|
|
157,166
|
2.94%,
9/30/2040
|
|
|
193,306
|
|
155,205
|
|
|
|
|
|
312,371
|
Security
Description |
|
|
Principal
Amount |
|
Value
|
UNITED
KINGDOM — 0.1% |
|
|
|
|
BAT Capital Corp. 2.73%,
3/25/2031
|
|
|
$
2,295,000 |
|
$
1,789,848 |
eG Global Finance PLC 8.50%, 10/30/2025
(b)
|
|
|
415,000
|
|
388,701
|
|
|
|
|
|
2,178,549
|
UNITED
STATES — 9.1% |
|
|
|
|
AbbVie, Inc. 3.85%,
6/15/2024
|
|
|
1,820,000
|
|
1,791,317
|
Academy, Ltd. 6.00%, 11/15/2027
(b)
|
|
|
385,000
|
|
369,812
|
Acrisure LLC/Acrisure Finance, Inc. 6.00%, 8/1/2029
(b)
|
|
|
215,000
|
|
173,030
|
Acuris Finance US, Inc./Acuris Finance SARL 5.00%, 5/1/2028
(b)
|
|
|
475,000
|
|
379,055
|
AdaptHealth LLC 5.13%, 3/1/2030
(b)
|
|
|
900,000
|
|
766,008
|
AEP Texas, Inc. Series H, 3.45%,
1/15/2050
|
|
|
1,730,000
|
|
1,225,030
|
Aethon United BR L.P./Aethon United Finance Corp. 8.25%, 2/15/2026
(b)
|
|
|
305,000
|
|
302,874
|
Air Lease Corp. 3.25%,
3/1/2025
|
|
|
1,505,000
|
|
1,429,163
|
Air Methods Corp. 8.00%, 5/15/2025
(b)
|
|
|
78,000
|
|
4,458
|
Alexandria Real Estate Equities, Inc. 1.88%,
2/1/2033
|
|
|
3,015,000
|
|
2,246,356
|
Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer 6.75%, 10/15/2027
(b)
|
|
|
345,000
|
|
310,859
|
Allied
Universal Holdco LLC/Allied Universal Finance Corp.: |
|
|
|
|
|
6.63%, 7/15/2026
(b)
|
|
|
355,000
|
|
325,546
|
9.75%, 7/15/2027
(b)
|
|
|
455,000
|
|
399,390
|
AMC Entertainment Holdings, Inc. 7.50%, 2/15/2029
(b)
|
|
|
110,000
|
|
59,837
|
American Airlines, Inc./AAdvantage Loyalty IP, Ltd. 5.75%, 4/20/2029
(b)
|
|
|
640,000
|
|
585,510
|
American Axle & Manufacturing, Inc. 5.00%,
10/1/2029
|
|
|
155,000
|
|
124,322
|
American Express Co. 3.95%,
8/1/2025
|
|
|
1,735,000
|
|
1,700,300
|
AmWINS Group, Inc. 4.88%, 6/30/2029
(b)
|
|
|
330,000
|
|
283,328
|
Antero Resources Corp. 5.38%, 3/1/2030
(b)
|
|
|
330,000
|
|
305,877
|
See accompanying notes to financial statements.
72
SPDR DOUBLELINE
TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2022 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
APi Group DE, Inc. 4.75%, 10/15/2029
(b)
|
|
|
$
475,000 |
|
$
416,057 |
Arconic Corp. 6.13%, 2/15/2028
(b)
|
|
|
860,000
|
|
808,357
|
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. 5.25%, 8/15/2027
(b)
|
|
|
300,000
|
|
220,566
|
Arrow Electronics, Inc. 3.88%,
1/12/2028
|
|
|
1,587,000
|
|
1,444,678
|
Ashton Woods USA LLC/Ashton Woods Finance Co. 4.63%, 4/1/2030
(b)
|
|
|
225,000
|
|
182,133
|
ASP Unifrax Holdings, Inc. 5.25%, 9/30/2028
(b)
|
|
|
590,000
|
|
475,121
|
AssuredPartners, Inc. 5.63%, 1/15/2029
(b)
|
|
|
420,000
|
|
348,923
|
AT&T,
Inc.: |
|
|
|
|
|
2.25%,
2/1/2032
|
|
|
2,215,000
|
|
1,736,759
|
2.75%,
6/1/2031
|
|
|
500,000
|
|
415,175
|
AthenaHealth Group, Inc. 6.50%, 2/15/2030
(b)
|
|
|
555,000
|
|
411,161
|
Athene Holding, Ltd. 3.95%,
5/25/2051
|
|
|
2,620,000
|
|
1,786,002
|
Bank
of America Corp.: |
|
|
|
|
|
5 Year CMT + 1.20%, 2.48%, 9/21/2036
(c)
|
|
|
3,620,000
|
|
2,668,700
|
SOFR + 1.11%, 3.84%, 4/25/2025
(c)
|
|
|
385,000
|
|
375,814
|
SOFR + 1.75%, 4.83%, 7/22/2026
(c)
|
|
|
540,000
|
|
533,947
|
Bausch
Health Cos., Inc.: |
|
|
|
|
|
4.88%, 6/1/2028
(b)
|
|
|
420,000
|
|
268,703
|
6.13%, 2/1/2027
(b)
|
|
|
185,000
|
|
127,267
|
11.00%, 9/30/2028
(b)
|
|
|
141,000
|
|
110,572
|
14.00%,
10/15/2030
|
|
|
28,000
|
|
16,633
|
BCPE Empire Holdings, Inc. 7.63%, 5/1/2027
(b)
|
|
|
435,000
|
|
390,247
|
Berry Global, Inc. 0.95%,
2/15/2024
|
|
|
1,769,000
|
|
1,681,346
|
Blackstone Holdings Finance Co. LLC 2.00%, 1/30/2032
(b)
|
|
|
2,825,000
|
|
2,075,443
|
Blue Racer Midstream LLC/Blue Racer Finance Corp. 7.63%, 12/15/2025
(b)
|
|
|
235,000
|
|
233,757
|
Boeing Co. 2.95%,
2/1/2030
|
|
|
1,945,000
|
|
1,646,384
|
Boxer Parent Co., Inc. 7.13%, 10/2/2025
(b)
|
|
|
35,000
|
|
34,326
|
Brighthouse Financial Global Funding 1.00%, 4/12/2024
(b)
|
|
|
665,000
|
|
625,432
|
Broadcom, Inc. 3.42%, 4/15/2033
(b)
|
|
|
2,229,000
|
|
1,789,174
|
Security
Description |
|
|
Principal
Amount |
|
Value
|
Brown & Brown, Inc. 2.38%,
3/15/2031
|
|
|
$
1,600,000 |
|
$
1,219,840 |
Builders
FirstSource, Inc.: |
|
|
|
|
|
4.25%, 2/1/2032
(b)
|
|
|
400,000
|
|
325,652
|
5.00%, 3/1/2030
(b)
|
|
|
400,000
|
|
356,584
|
Bunge, Ltd. Finance Corp. 2.75%,
5/14/2031
|
|
|
1,175,000
|
|
964,534
|
Caesars Entertainment, Inc. 4.63%, 10/15/2029
(b)
|
|
|
465,000
|
|
378,138
|
Callon Petroleum Co. 7.50%, 6/15/2030
(b)
|
|
|
455,000
|
|
417,699
|
Calpine
Corp.: |
|
|
|
|
|
4.50%, 2/15/2028
(b)
|
|
|
265,000
|
|
236,841
|
4.63%, 2/1/2029
(b)
|
|
|
205,000
|
|
176,651
|
Capital One Financial Corp. SOFR + 2.16%, 4.99%, 7/24/2026
(c)
|
|
|
1,850,000
|
|
1,814,794
|
Carnival
Corp.: |
|
|
|
|
|
5.75%, 3/1/2027
(b)
|
|
|
605,000
|
|
431,661
|
9.88%, 8/1/2027
(b)
|
|
|
420,000
|
|
397,845
|
Carrier Global Corp. 3.58%,
4/5/2050
|
|
|
1,185,000
|
|
848,768
|
Castle US Holding Corp. 9.50%, 2/15/2028
(b)
|
|
|
235,000
|
|
92,423
|
CCO
Holdings LLC/CCO Holdings Capital Corp.: |
|
|
|
|
|
4.25%, 1/15/2034
(b)
|
|
|
380,000
|
|
281,002
|
4.50%, 8/15/2030
(b)
|
|
|
370,000
|
|
306,367
|
4.75%, 3/1/2030
(b)
|
|
|
755,000
|
|
652,086
|
4.75%, 2/1/2032
(b)
|
|
|
375,000
|
|
304,016
|
Cedar Fair L.P. 5.25%,
7/15/2029
|
|
|
430,000
|
|
387,701
|
Charter Communications Operating LLC/Charter Communications Operating Capital 2.30%,
2/1/2032
|
|
|
2,900,000
|
|
2,140,084
|
Chesapeake Energy Corp. 5.88%, 2/1/2029
(b)
|
|
|
415,000
|
|
395,350
|
Chord Energy Corp. 6.38%, 6/1/2026
(b)
|
|
|
255,000
|
|
247,044
|
CHS/Community
Health Systems, Inc.: |
|
|
|
|
|
4.75%, 2/15/2031
(b)
|
|
|
310,000
|
|
225,621
|
6.00%, 1/15/2029
(b)
|
|
|
220,000
|
|
184,142
|
6.88%, 4/15/2029
(b)
|
|
|
220,000
|
|
114,068
|
Citigroup, Inc. 3 Month USD LIBOR + 1.39%, 3.67%, 7/24/2028
(c)
|
|
|
3,935,000
|
|
3,614,022
|
Clarivate Science Holdings Corp. 4.88%, 7/1/2029
(b)
|
|
|
205,000
|
|
174,307
|
Clean Harbors, Inc. 5.13%, 7/15/2029
(b)
|
|
|
145,000
|
|
134,421
|
Clear
Channel Outdoor Holdings, Inc.: |
|
|
|
|
|
7.50%, 6/1/2029
(b)
|
|
|
220,000
|
|
160,021
|
See accompanying notes to financial statements.
73
SPDR DOUBLELINE
TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2022 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
7.75%, 4/15/2028
(b)
|
|
|
$
80,000 |
|
$
58,714 |
Clearway Energy Operating LLC 4.75%, 3/15/2028
(b)
|
|
|
375,000
|
|
347,704
|
CNX Midstream Partners L.P. 4.75%, 4/15/2030
(b)
|
|
|
550,000
|
|
454,008
|
CNX
Resources Corp.: |
|
|
|
|
|
6.00%, 1/15/2029
(b)
|
|
|
375,000
|
|
346,121
|
7.38%,
1/15/2031
|
|
|
115,000
|
|
110,343
|
Coherent Corp. 5.00%, 12/15/2029
(b)
|
|
|
405,000
|
|
350,418
|
Comcast Corp. 2.94%,
11/1/2056
|
|
|
2,896,000
|
|
1,816,458
|
CommScope Technologies LLC 5.00%, 3/15/2027
(b)
|
|
|
230,000
|
|
157,746
|
CommScope, Inc. 4.75%, 9/1/2029
(b)
|
|
|
470,000
|
|
379,553
|
Consolidated Communications, Inc. 5.00%, 10/1/2028
(b)
|
|
|
290,000
|
|
213,858
|
Constellation
Brands, Inc.: |
|
|
|
|
|
2.88%,
5/1/2030
|
|
|
1,625,000
|
|
1,381,169
|
3.15%,
8/1/2029
|
|
|
560,000
|
|
490,722
|
Continental Resources, Inc. 2.27%, 11/15/2026
(b)
|
|
|
635,000
|
|
550,685
|
Cornerstone Building Brands, Inc. 6.13%, 1/15/2029
(b)
|
|
|
340,000
|
|
239,663
|
Coty,
Inc.: |
|
|
|
|
|
5.00%, 4/15/2026
(b)
|
|
|
410,000
|
|
390,800
|
6.50%, 4/15/2026
(b)
|
|
|
245,000
|
|
235,384
|
CQP Holdco L.P./BIP-V Chinook Holdco LLC 5.50%, 6/15/2031
(b)
|
|
|
1,015,000
|
|
889,363
|
Crown Castle, Inc. 4.30%,
2/15/2029
|
|
|
1,635,000
|
|
1,544,110
|
CSC Holdings LLC 5.75%, 1/15/2030
(b)
|
|
|
810,000
|
|
457,990
|
CSI Compressco L.P./CSI Compressco Finance, Inc. 7.50%, 4/1/2025
(b)
|
|
|
285,000
|
|
266,042
|
CSX Corp. 3.35%,
9/15/2049
|
|
|
2,505,000
|
|
1,804,827
|
CVR Partners L.P./CVR Nitrogen Finance Corp. 6.13%, 6/15/2028
(b)
|
|
|
380,000
|
|
341,495
|
Dana,
Inc.: |
|
|
|
|
|
4.25%,
9/1/2030
|
|
|
95,000
|
|
76,554
|
5.38%,
11/15/2027
|
|
|
125,000
|
|
115,920
|
5.63%,
6/15/2028
|
|
|
300,000
|
|
272,916
|
Dealer Tire LLC/DT Issuer LLC 8.00%, 2/1/2028
(b)
|
|
|
455,000
|
|
387,706
|
Security
Description |
|
|
Principal
Amount |
|
Value
|
Diamond Sports Group LLC/Diamond Sports Finance Co. 5.38%, 8/15/2026
(b)
|
|
|
$
385,000 |
|
$
45,838 |
Dick's Sporting Goods, Inc. 4.10%,
1/15/2052
|
|
|
530,000
|
|
345,152
|
Directv Financing LLC/Directv Financing Co-Obligor, Inc. 5.88%, 8/15/2027
(b)
|
|
|
485,000
|
|
434,933
|
Discover Financial Services 4.10%,
2/9/2027
|
|
|
1,900,000
|
|
1,788,242
|
DISH
DBS Corp.: |
|
|
|
|
|
5.13%,
6/1/2029
|
|
|
195,000
|
|
125,796
|
5.75%, 12/1/2028
(b)
|
|
|
405,000
|
|
323,502
|
5.88%,
11/15/2024
|
|
|
110,000
|
|
102,597
|
Dollar
General Corp.: |
|
|
|
|
|
3.50%,
4/3/2030
|
|
|
1,965,000
|
|
1,761,092
|
4.25%,
9/20/2024
|
|
|
860,000
|
|
848,820
|
Dollar Tree, Inc. 4.00%,
5/15/2025
|
|
|
1,763,000
|
|
1,721,763
|
DTE Energy Co. 4.22%, 11/1/2024
(e)
|
|
|
920,000
|
|
905,308
|
Duke Energy Carolinas LLC 3.55%,
3/15/2052
|
|
|
670,000
|
|
506,145
|
Duke Energy Corp. 2.65%,
9/1/2026
|
|
|
2,960,000
|
|
2,734,596
|
Dun & Bradstreet Corp. 5.00%, 12/15/2029
(b)
|
|
|
505,000
|
|
435,164
|
Elevance
Health, Inc.: |
|
|
|
|
|
3.30%,
1/15/2023
|
|
|
1,507,000
|
|
1,506,201
|
4.10%,
5/15/2032
|
|
|
1,880,000
|
|
1,746,558
|
Embarq Corp. 8.00%,
6/1/2036
|
|
|
285,000
|
|
132,545
|
Emergent BioSolutions, Inc. 3.88%, 8/15/2028
(b)
|
|
|
240,000
|
|
118,536
|
Encompass
Health Corp.: |
|
|
|
|
|
4.50%,
2/1/2028
|
|
|
185,000
|
|
167,954
|
4.63%,
4/1/2031
|
|
|
455,000
|
|
390,718
|
4.75%,
2/1/2030
|
|
|
60,000
|
|
52,840
|
Endo Luxembourg Finance Co. I SARL/Endo US, Inc. 6.13%, 4/1/2029
(b)
(d)
|
|
|
215,000
|
|
163,424
|
Energizer Holdings, Inc. 6.50%, 12/31/2027
(b)
|
|
|
235,000
|
|
224,152
|
Energy
Transfer L.P.: |
|
|
|
|
|
4.75%,
1/15/2026
|
|
|
895,000
|
|
873,386
|
5.00%,
5/15/2044
|
|
|
950,000
|
|
777,090
|
Entergy Louisiana LLC 4.75%,
9/15/2052
|
|
|
580,000
|
|
523,038
|
Enterprise Products Operating LLC 3.75%,
2/15/2025
|
|
|
1,590,000
|
|
1,546,180
|
EQM Midstream Partners L.P. 4.75%, 1/15/2031
(b)
|
|
|
395,000
|
|
325,492
|
Essential Utilities, Inc. 3.35%,
4/15/2050
|
|
|
2,680,000
|
|
1,841,214
|
See accompanying notes to financial statements.
74
SPDR DOUBLELINE
TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2022 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
Everi Holdings, Inc. 5.00%, 7/15/2029
(b)
|
|
|
$
580,000 |
|
$
499,844 |
Exelon Corp. 4.10%,
3/15/2052
|
|
|
255,000
|
|
202,709
|
Expedia
Group, Inc.: |
|
|
|
|
|
3.80%,
2/15/2028
|
|
|
2,325,000
|
|
2,134,489
|
5.00%,
2/15/2026
|
|
|
1,405,000
|
|
1,387,016
|
Exxon Mobil Corp. 2.99%,
3/19/2025
|
|
|
1,150,000
|
|
1,108,565
|
Ferrellgas L.P./Ferrellgas Finance Corp. 5.38%, 4/1/2026
(b)
|
|
|
275,000
|
|
250,561
|
Fertitta Entertainment LLC/Fertitta Entertainment Finance Co., Inc. 6.75%, 1/15/2030
(b)
|
|
|
510,000
|
|
411,692
|
Ford Motor Co. 3.25%,
2/12/2032
|
|
|
1,275,000
|
|
959,374
|
Ford
Motor Credit Co. LLC: |
|
|
|
|
|
3.63%,
6/17/2031
|
|
|
545,000
|
|
429,079
|
4.95%,
5/28/2027
|
|
|
400,000
|
|
373,608
|
Fortress Transportation and Infrastructure Investors LLC 5.50%, 5/1/2028
(b)
|
|
|
500,000
|
|
426,170
|
Freeport-McMoRan,
Inc.: |
|
|
|
|
|
4.38%,
8/1/2028
|
|
|
100,000
|
|
93,768
|
4.63%,
8/1/2030
|
|
|
300,000
|
|
280,422
|
5.25%,
9/1/2029
|
|
|
700,000
|
|
675,087
|
Frontier
Communications Holdings LLC: |
|
|
|
|
|
5.00%, 5/1/2028
(b)
|
|
|
250,000
|
|
218,005
|
5.88%, 10/15/2027
(b)
|
|
|
125,000
|
|
116,339
|
6.00%, 1/15/2030
(b)
|
|
|
435,000
|
|
342,271
|
Full House Resorts, Inc. 8.25%, 2/15/2028
(b)
|
|
|
505,000
|
|
446,122
|
Gap, Inc. 3.88%, 10/1/2031
(b)
|
|
|
405,000
|
|
285,719
|
General
Motors Financial Co., Inc.: |
|
|
|
|
|
2.40%,
10/15/2028
|
|
|
1,135,000
|
|
944,241
|
3.10%,
1/12/2032
|
|
|
1,110,000
|
|
871,883
|
Georgia-Pacific LLC 3.60%, 3/1/2025
(b)
|
|
|
1,868,000
|
|
1,810,092
|
Glatfelter Corp. 4.75%, 11/15/2029
(b)
|
|
|
325,000
|
|
197,353
|
Goldman Sachs Group, Inc. 3 Month USD LIBOR + 1.17%, 5.78%, 5/15/2026
(c)
|
|
|
3,090,000
|
|
3,060,552
|
Goodyear Tire & Rubber Co. 5.25%,
7/15/2031
|
|
|
535,000
|
|
437,839
|
GrafTech Finance, Inc. 4.63%, 12/15/2028
(b)
|
|
|
195,000
|
|
160,994
|
Griffon Corp. 5.75%,
3/1/2028
|
|
|
960,000
|
|
877,901
|
Security
Description |
|
|
Principal
Amount |
|
Value
|
Guardian Life Global Funding 1.25%, 5/13/2026
(b)
|
|
|
$
1,740,000 |
|
$
1,538,421 |
Gulfport Energy Corp. 8.00%, 5/17/2026
(b)
|
|
|
175,000
|
|
173,343
|
Halliburton Co. 2.92%,
3/1/2030
|
|
|
922,000
|
|
791,832
|
HCA,
Inc.: |
|
|
|
|
|
4.13%,
6/15/2029
|
|
|
880,000
|
|
803,352
|
5.13%,
6/15/2039
|
|
|
1,050,000
|
|
935,980
|
Hertz Corp. 5.00%, 12/1/2029
(b)
|
|
|
215,000
|
|
163,067
|
Hess
Midstream Operations L.P.: |
|
|
|
|
|
4.25%, 2/15/2030
(b)
|
|
|
750,000
|
|
643,155
|
5.13%, 6/15/2028
(b)
|
|
|
365,000
|
|
339,680
|
5.50%, 10/15/2030
(b)
|
|
|
310,000
|
|
285,098
|
H-Food Holdings LLC/Hearthside Finance Co., Inc. 8.50%, 6/1/2026
(b)
|
|
|
375,000
|
|
215,179
|
Hightower Holding LLC 6.75%, 4/15/2029
(b)
|
|
|
315,000
|
|
263,683
|
Hilcorp Energy I L.P./Hilcorp Finance Co. 6.25%, 11/1/2028
(b)
|
|
|
540,000
|
|
489,910
|
Icahn Enterprises L.P./Icahn Enterprises Finance Corp. 5.25%,
5/15/2027
|
|
|
385,000
|
|
353,045
|
iHeartCommunications, Inc. 8.38%,
5/1/2027
|
|
|
75,000
|
|
63,878
|
Illuminate Buyer LLC/Illuminate Holdings IV, Inc. 9.00%, 7/1/2028
(b)
|
|
|
510,000
|
|
429,216
|
Installed Building Products, Inc. 5.75%, 2/1/2028
(b)
|
|
|
435,000
|
|
392,231
|
Invitation Homes Operating Partnership L.P. 2.70%,
1/15/2034
|
|
|
2,435,000
|
|
1,781,884
|
Iron
Mountain, Inc.: |
|
|
|
|
|
4.88%, 9/15/2029
(b)
|
|
|
185,000
|
|
161,176
|
REIT, 4.50%, 2/15/2031
(b)
|
|
|
260,000
|
|
214,159
|
Jeld-Wen, Inc. 4.63%, 12/15/2025
(b)
|
|
|
220,000
|
|
183,788
|
JPMorgan
Chase & Co.: |
|
|
|
|
|
SOFR + 1.25%, 2.58%, 4/22/2032
(c)
|
|
|
2,165,000
|
|
1,732,087
|
SOFR + 1.26%, 2.96%, 1/25/2033
(c)
|
|
|
2,125,000
|
|
1,727,497
|
SOFR + 1.99%, 4.85%, 7/25/2028
(c)
|
|
|
900,000
|
|
878,652
|
LD
Holdings Group LLC: |
|
|
|
|
|
6.13%, 4/1/2028
(b)
|
|
|
60,000
|
|
35,819
|
6.50%, 11/1/2025
(b)
|
|
|
105,000
|
|
71,571
|
See accompanying notes to financial statements.
75
SPDR DOUBLELINE
TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2022 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
Leeward Renewable Energy Operations LLC 4.25%, 7/1/2029
(b)
|
|
|
$
425,000 |
|
$
368,071 |
Legends Hospitality Holding Co. LLC/Legends Hospitality Co-Issuer, Inc. 5.00%, 2/1/2026
(b)
|
|
|
340,000
|
|
302,794
|
LFS Topco LLC 5.88%, 10/15/2026
(b)
|
|
|
395,000
|
|
318,153
|
Lifepoint Health, Inc. 5.38%, 1/15/2029
(b)
|
|
|
285,000
|
|
161,347
|
Lions Gate Capital Holdings LLC 5.50%, 4/15/2029
(b)
|
|
|
275,000
|
|
159,184
|
Lowe's Cos., Inc. 4.40%,
9/8/2025
|
|
|
2,075,000
|
|
2,047,340
|
LSF9 Atlantis Holdings LLC/Victra Finance Corp. 7.75%, 2/15/2026
(b)
|
|
|
545,000
|
|
483,115
|
Lumen
Technologies, Inc.: |
|
|
|
|
|
4.00%, 2/15/2027
(b)
|
|
|
155,000
|
|
132,045
|
5.13%, 12/15/2026
(b)
|
|
|
240,000
|
|
208,486
|
M/I Homes, Inc. 4.95%,
2/1/2028
|
|
|
365,000
|
|
324,230
|
Madison
IAQ LLC: |
|
|
|
|
|
4.13%, 6/30/2028
(b)
|
|
|
340,000
|
|
283,138
|
5.88%, 6/30/2029
(b)
|
|
|
220,000
|
|
151,325
|
Marriott International, Inc. Series HH, 2.85%,
4/15/2031
|
|
|
2,205,000
|
|
1,786,248
|
Marvell Technology, Inc. 1.65%,
4/15/2026
|
|
|
1,470,000
|
|
1,300,524
|
Massachusetts Mutual Life Insurance Co. 3.38%, 4/15/2050
(b)
|
|
|
1,980,000
|
|
1,375,526
|
Match Group Holdings II LLC 5.00%, 12/15/2027
(b)
|
|
|
775,000
|
|
719,657
|
Mativ Holdings, Inc. 6.88%, 10/1/2026
(b)
|
|
|
250,000
|
|
218,695
|
McGraw-Hill Education, Inc. 5.75%, 8/1/2028
(b)
|
|
|
305,000
|
|
256,722
|
Medline Borrower L.P. 5.25%, 10/1/2029
(b)
|
|
|
555,000
|
|
441,103
|
Metis Merger Sub LLC 6.50%, 5/15/2029
(b)
|
|
|
210,000
|
|
177,576
|
Michaels
Cos., Inc.: |
|
|
|
|
|
5.25%, 5/1/2028
(b)
|
|
|
240,000
|
|
193,831
|
7.88%, 5/1/2029
(b)
|
|
|
200,000
|
|
134,978
|
Microsoft Corp. 2.92%,
3/17/2052
|
|
|
1,090,001
|
|
776,604
|
Midwest Gaming Borrower LLC/Midwest Gaming Finance Corp. 4.88%, 5/1/2029
(b)
|
|
|
370,000
|
|
316,154
|
ModivCare Escrow Issuer, Inc. 5.00%, 10/1/2029
(b)
|
|
|
190,000
|
|
160,088
|
Security
Description |
|
|
Principal
Amount |
|
Value
|
ModivCare, Inc. 5.88%, 11/15/2025
(b)
|
|
|
$
260,000 |
|
$
246,207 |
Monongahela Power Co. 5.40%, 12/15/2043
(b)
|
|
|
900,000
|
|
867,285
|
Morgan Stanley SOFR + 1.36%, 2.48%, 9/16/2036
(c)
|
|
|
4,870,000
|
|
3,552,324
|
Moss Creek Resources Holdings, Inc. 7.50%, 1/15/2026
(b)
|
|
|
90,000
|
|
81,065
|
MPLX L.P. 1.75%,
3/1/2026
|
|
|
780,000
|
|
696,290
|
Murphy Oil USA, Inc. 4.75%,
9/15/2029
|
|
|
285,000
|
|
260,362
|
Nabors Industries, Ltd. 7.25%, 1/15/2026
(b)
|
|
|
305,000
|
|
288,725
|
Nationstar Mortgage Holdings, Inc. 5.75%, 11/15/2031
(b)
|
|
|
620,000
|
|
481,740
|
Navient Corp. 5.00%,
3/15/2027
|
|
|
285,000
|
|
249,275
|
NCL Corp., Ltd. 5.88%, 3/15/2026
(b)
|
|
|
395,000
|
|
310,889
|
NetApp, Inc. 1.88%,
6/22/2025
|
|
|
1,525,000
|
|
1,405,394
|
News Corp. 5.13%, 2/15/2032
(b)
|
|
|
155,000
|
|
140,921
|
NextEra Energy Capital Holdings, Inc. 4.26%,
9/1/2024
|
|
|
815,000
|
|
805,187
|
NFP Corp. 4.88%, 8/15/2028
(b)
|
|
|
280,000
|
|
238,392
|
NGL Energy Operating LLC/NGL Energy Finance Corp. 7.50%, 2/1/2026
(b)
|
|
|
275,000
|
|
244,945
|
NGL Energy Partners L.P./NGL Energy Finance Corp. 7.50%,
4/15/2026
|
|
|
110,000
|
|
84,876
|
NRG Energy, Inc. 3.63%, 2/15/2031
(b)
|
|
|
545,000
|
|
416,996
|
NuStar Logistics L.P. 6.00%,
6/1/2026
|
|
|
510,000
|
|
492,573
|
Occidental
Petroleum Corp.: |
|
|
|
|
|
6.13%,
1/1/2031
|
|
|
435,000
|
|
440,216
|
6.45%,
9/15/2036
|
|
|
220,000
|
|
224,444
|
6.60%,
3/15/2046
|
|
|
215,000
|
|
221,267
|
6.63%,
9/1/2030
|
|
|
305,000
|
|
315,153
|
Olympus
Water US Holding Corp.: |
|
|
|
|
|
4.25%, 10/1/2028
(b)
|
|
|
600,000
|
|
491,616
|
6.25%, 10/1/2029
(b)
|
|
|
400,000
|
|
303,956
|
Omnicom Group, Inc. 2.45%,
4/30/2030
|
|
|
2,200,000
|
|
1,816,364
|
OneMain
Finance Corp.: |
|
|
|
|
|
5.38%,
11/15/2029
|
|
|
250,000
|
|
204,810
|
See accompanying notes to financial statements.
76
SPDR DOUBLELINE
TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2022 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
7.13%,
3/15/2026
|
|
|
$
324,000 |
|
$
308,066 |
Oracle
Corp.: |
|
|
|
|
|
3.60%,
4/1/2050
|
|
|
1,935,000
|
|
1,320,076
|
3.80%,
11/15/2037
|
|
|
155,000
|
|
122,276
|
6.25%,
11/9/2032
|
|
|
165,000
|
|
173,258
|
Organon & Co./Organon Foreign Debt Co-Issuer BV 5.13%, 4/30/2031
(b)
|
|
|
570,000
|
|
493,745
|
Owens & Minor, Inc. 6.63%, 4/1/2030
(b)
|
|
|
530,000
|
|
455,742
|
Pacific Gas & Electric Co. 2.50%,
2/1/2031
|
|
|
1,135,000
|
|
882,451
|
Par Petroleum LLC/Par Petroleum Finance Corp. 7.75%, 12/15/2025
(b)
|
|
|
250,000
|
|
240,983
|
Park Intermediate Holdings LLC/PK Domestic Property LLC/PK Finance Co-Issuer 4.88%, 5/15/2029
(b)
|
|
|
290,000
|
|
245,476
|
Parker-Hannifin Corp. 4.25%,
9/15/2027
|
|
|
455,000
|
|
442,133
|
PBF Holding Co. LLC/PBF Finance Corp. 6.00%,
2/15/2028
|
|
|
100,000
|
|
88,502
|
PECF USS Intermediate Holding III Corp. 8.00%, 11/15/2029
(b)
|
|
|
160,000
|
|
103,867
|
Penn
Entertainment, Inc.: |
|
|
|
|
|
4.13%, 7/1/2029
(b)
|
|
|
310,000
|
|
245,241
|
5.63%, 1/15/2027
(b)
|
|
|
620,000
|
|
561,664
|
PennyMac Financial Services, Inc. 4.25%, 2/15/2029
(b)
|
|
|
495,000
|
|
386,927
|
Penske Truck Leasing Co. L.P./PTL Finance Corp. 4.20%, 4/1/2027
(b)
|
|
|
920,000
|
|
863,898
|
PepsiCo, Inc. 3.60%,
2/18/2028
|
|
|
550,000
|
|
528,302
|
Performance
Food Group, Inc.: |
|
|
|
|
|
4.25%, 8/1/2029
(b)
|
|
|
380,000
|
|
329,190
|
5.50%, 10/15/2027
(b)
|
|
|
460,000
|
|
436,982
|
PetSmart, Inc./PetSmart Finance Corp. 7.75%, 2/15/2029
(b)
|
|
|
500,000
|
|
466,450
|
Pike Corp. 5.50%, 9/1/2028
(b)
|
|
|
560,000
|
|
489,496
|
Pioneer Natural Resources Co. 1.13%,
1/15/2026
|
|
|
1,235,000
|
|
1,100,558
|
Post
Holdings, Inc.: |
|
|
|
|
|
4.63%, 4/15/2030
(b)
|
|
|
90,000
|
|
77,647
|
5.50%, 12/15/2029
(b)
|
|
|
140,000
|
|
126,837
|
Security
Description |
|
|
Principal
Amount |
|
Value
|
Premier Entertainment Sub LLC/Premier Entertainment Finance Corp. 5.63%, 9/1/2029
(b)
|
|
|
$
305,000 |
|
$
224,416 |
Prime Security Services Borrower LLC/Prime Finance, Inc. 6.25%, 1/15/2028
(b)
|
|
|
350,000
|
|
319,589
|
Qorvo, Inc. 1.75%, 12/15/2024
(b)
|
|
|
700,000
|
|
645,848
|
Quanta Services, Inc. 2.35%,
1/15/2032
|
|
|
2,355,000
|
|
1,789,988
|
Radiate Holdco LLC/Radiate Finance, Inc. 4.50%, 9/15/2026
(b)
|
|
|
300,000
|
|
220,482
|
Radiology Partners, Inc. 9.25%, 2/1/2028
(b)
|
|
|
230,000
|
|
129,343
|
Raytheon Technologies Corp. 3.03%,
3/15/2052
|
|
|
1,140,000
|
|
779,110
|
Realogy Group LLC/Realogy Co-Issuer Corp. 5.25%, 4/15/2030
(b)
|
|
|
450,000
|
|
328,131
|
Rent-A-Center, Inc. 6.38%, 2/15/2029
(b)
|
|
|
205,000
|
|
166,073
|
Roller Bearing Co. of America, Inc. 4.38%, 10/15/2029
(b)
|
|
|
205,000
|
|
177,225
|
Royal Caribbean Cruises, Ltd. 5.50%, 8/31/2026
(b)
|
|
|
420,000
|
|
353,363
|
Royalty Pharma PLC 3.30%,
9/2/2040
|
|
|
2,515,000
|
|
1,759,167
|
RP Escrow Issuer LLC 5.25%, 12/15/2025
(b)
|
|
|
210,000
|
|
160,604
|
Sabine Pass Liquefaction LLC 5.00%,
3/15/2027
|
|
|
1,230,000
|
|
1,206,618
|
Santander Holdings USA, Inc. SOFR + 1.25%, 2.49%, 1/6/2028
(c)
|
|
|
2,040,000
|
|
1,755,032
|
Scientific Games Holdings L.P./Scientific Games US FinCo, Inc. 6.63%, 3/1/2030
(b)
|
|
|
470,000
|
|
396,873
|
Scotts Miracle-Gro Co. 4.50%,
10/15/2029
|
|
|
440,000
|
|
356,426
|
Scripps Escrow II, Inc. 3.88%, 1/15/2029
(b)
|
|
|
170,000
|
|
138,310
|
Scripps Escrow, Inc. 5.88%, 7/15/2027
(b)
|
|
|
105,000
|
|
94,038
|
SEG Holding LLC/SEG Finance Corp. 5.63%, 10/15/2028
(b)
|
|
|
605,000
|
|
564,392
|
Select Medical Corp. 6.25%, 8/15/2026
(b)
|
|
|
490,000
|
|
466,990
|
Sirius XM Radio, Inc. 5.50%, 7/1/2029
(b)
|
|
|
340,000
|
|
310,624
|
See accompanying notes to financial statements.
77
SPDR DOUBLELINE
TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2022 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
SK Invictus Intermediate II SARL 5.00%, 10/30/2029
(b)
|
|
|
$
415,000 |
|
$
341,412 |
Smithfield Foods, Inc. 4.25%, 2/1/2027
(b)
|
|
|
1,865,000
|
|
1,715,352
|
Sonic Automotive, Inc. 4.63%, 11/15/2029
(b)
|
|
|
515,000
|
|
415,265
|
Southern Co. Series A, 3.70%,
4/30/2030
|
|
|
1,950,000
|
|
1,761,610
|
Southwestern
Energy Co.: |
|
|
|
|
|
4.75%,
2/1/2032
|
|
|
430,000
|
|
367,147
|
5.38%,
2/1/2029
|
|
|
410,000
|
|
379,754
|
Spectrum Brands, Inc. 5.00%, 10/1/2029
(b)
|
|
|
370,000
|
|
323,650
|
SRS
Distribution, Inc.: |
|
|
|
|
|
4.63%, 7/1/2028
(b)
|
|
|
315,000
|
|
281,374
|
6.13%, 7/1/2029
(b)
|
|
|
355,000
|
|
288,136
|
Staples,
Inc.: |
|
|
|
|
|
7.50%, 4/15/2026
(b)
|
|
|
340,000
|
|
292,682
|
10.75%, 4/15/2027
(b)
|
|
|
150,000
|
|
108,038
|
Station Casinos LLC 4.63%, 12/1/2031
(b)
|
|
|
295,000
|
|
237,738
|
Suburban Propane Partners L.P./Suburban Energy Finance Corp. 5.00%, 6/1/2031
(b)
|
|
|
395,000
|
|
338,128
|
SunCoke Energy, Inc. 4.88%, 6/30/2029
(b)
|
|
|
510,000
|
|
435,066
|
Sunoco
L.P./Sunoco Finance Corp.: |
|
|
|
|
|
4.50%,
5/15/2029
|
|
|
150,000
|
|
131,201
|
6.00%,
4/15/2027
|
|
|
170,000
|
|
167,850
|
SWF Escrow Issuer Corp. 6.50%, 10/1/2029
(b)
|
|
|
165,000
|
|
95,684
|
Sysco
Corp.: |
|
|
|
|
|
3.25%,
7/15/2027
|
|
|
855,000
|
|
791,234
|
3.30%,
2/15/2050
|
|
|
920,000
|
|
632,776
|
Tenet
Healthcare Corp.: |
|
|
|
|
|
6.13%, 10/1/2028
(b)
|
|
|
230,000
|
|
206,395
|
6.13%, 6/15/2030
(b)
|
|
|
450,000
|
|
428,585
|
6.25%, 2/1/2027
(b)
|
|
|
245,000
|
|
235,325
|
Textron, Inc. 2.45%,
3/15/2031
|
|
|
3,310,000
|
|
2,651,244
|
T-Mobile USA, Inc. 2.25%,
2/15/2026
|
|
|
2,920,000
|
|
2,659,302
|
TMS International Corp. 6.25%, 4/15/2029
(b)
|
|
|
180,000
|
|
129,559
|
Townsquare Media, Inc. 6.88%, 2/1/2026
(b)
|
|
|
150,000
|
|
132,183
|
TransDigm,
Inc.: |
|
|
|
|
|
5.50%,
11/15/2027
|
|
|
520,000
|
|
488,306
|
6.25%, 3/15/2026
(b)
|
|
|
450,000
|
|
444,744
|
Transocean Poseidon, Ltd. 6.88%, 2/1/2027
(b)
|
|
|
328,125
|
|
319,715
|
Trident TPI Holdings, Inc. 6.63%, 11/1/2025
(b)
|
|
|
410,000
|
|
360,878
|
Security
Description |
|
|
Principal
Amount |
|
Value
|
Triton Water Holdings, Inc. 6.25%, 4/1/2029
(b)
|
|
|
$
220,000 |
|
$
178,226 |
Triumph Group, Inc. 7.75%,
8/15/2025
|
|
|
147,000
|
|
125,193
|
Uber Technologies, Inc. 4.50%, 8/15/2029
(b)
|
|
|
380,000
|
|
331,292
|
United Airlines, Inc. 4.63%, 4/15/2029
(b)
|
|
|
400,000
|
|
349,084
|
United Natural Foods, Inc. 6.75%, 10/15/2028
(b)
|
|
|
455,000
|
|
437,642
|
Uniti Group L.P./Uniti Group Finance, Inc./CSL Capital LLC 6.50%, 2/15/2029
(b)
|
|
|
325,000
|
|
215,196
|
Univision Communications, Inc. 4.50%, 5/1/2029
(b)
|
|
|
325,000
|
|
271,629
|
US Foods, Inc. 4.75%, 2/15/2029
(b)
|
|
|
340,000
|
|
301,923
|
USA Compression Partners L.P./USA Compression Finance Corp. 6.88%,
9/1/2027
|
|
|
260,000
|
|
243,838
|
Verizon Communications, Inc. 1.75%,
1/20/2031
|
|
|
3,674,000
|
|
2,845,807
|
Viatris, Inc. 1.65%,
6/22/2025
|
|
|
600,000
|
|
543,564
|
Victoria's Secret & Co. 4.63%, 7/15/2029
(b)
|
|
|
385,000
|
|
302,090
|
Viking Cruises, Ltd. 5.88%, 9/15/2027
(b)
|
|
|
955,000
|
|
779,509
|
Virtusa Corp. 7.13%, 12/15/2028
(b)
|
|
|
155,000
|
|
118,918
|
VMware, Inc. 2.20%,
8/15/2031
|
|
|
1,670,000
|
|
1,266,144
|
Vontier Corp. 1.80%,
4/1/2026
|
|
|
2,440,000
|
|
2,064,142
|
Vornado Realty L.P. 2.15%,
6/1/2026
|
|
|
685,000
|
|
580,277
|
WarnerMedia Holdings, Inc. 3.76%, 3/15/2027
(b)
|
|
|
2,010,000
|
|
1,814,105
|
WASH Multifamily Acquisition, Inc. 5.75%, 4/15/2026
(b)
|
|
|
555,000
|
|
523,082
|
Weatherford
International, Ltd.: |
|
|
|
|
|
6.50%, 9/15/2028
(b)
|
|
|
240,000
|
|
235,349
|
8.63%, 4/30/2030
(b)
|
|
|
295,000
|
|
284,867
|
Wells
Fargo & Co.: |
|
|
|
|
|
SOFR + 1.98%, 4.81%, 7/25/2028
(c)
|
|
|
740,000
|
|
721,374
|
Series MTN, 3 Month USD LIBOR + 1.31%, 3.58%, 5/22/2028
(c)
|
|
|
1,910,000
|
|
1,769,233
|
Welltower, Inc. 2.05%,
1/15/2029
|
|
|
2,240,000
|
|
1,819,821
|
See accompanying notes to financial statements.
78
SPDR DOUBLELINE
TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2022 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
Western Midstream Operating L.P. 4.30%,
2/1/2030
|
|
|
$
395,000 |
|
$
345,988 |
Wheel Pros, Inc. 6.50%, 5/15/2029
(b)
|
|
|
100,000
|
|
37,503
|
Williams Cos., Inc. 3.75%,
6/15/2027
|
|
|
681,000
|
|
641,883
|
Workday, Inc. 3.70%,
4/1/2029
|
|
|
865,000
|
|
793,464
|
WR Grace Holdings LLC 5.63%, 8/15/2029
(b)
|
|
|
270,000
|
|
218,435
|
WRKCo, Inc. 3.75%,
3/15/2025
|
|
|
1,810,000
|
|
1,751,193
|
XHR
L.P.: |
|
|
|
|
|
4.88%, 6/1/2029
(b)
|
|
|
425,000
|
|
348,997
|
6.38%, 8/15/2025
(b)
|
|
|
265,000
|
|
258,672
|
Yum! Brands, Inc. 4.75%, 1/15/2030
(b)
|
|
|
375,000
|
|
344,704
|
Zayo
Group Holdings, Inc.: |
|
|
|
|
|
4.00%, 3/1/2027
(b)
|
|
|
230,000
|
|
170,455
|
6.13%, 3/1/2028
(b)
|
|
|
110,000
|
|
62,729
|
|
|
|
|
|
211,171,650
|
TOTAL CORPORATE BONDS & NOTES (Cost
$333,031,053)
|
|
|
|
|
284,252,581
|
ASSET-BACKED
SECURITIES — 10.7% |
|
|
|
|
|
AccessLex Institute Series 2004-2, Class A3, 3 Month USD LIBOR + 0.19%, 4.55%, 10/25/2024
(c)
|
|
|
104,734
|
|
104,579
|
ACE
Securities Corp. Home Equity Loan Trust: |
|
|
|
|
|
Series 2006-FM1, Class A2C, Class A2C, ABS, 1 Month USD LIBOR + 0.30%, 4.69%, 7/25/2036
(c)
|
|
|
8,532,065
|
|
2,218,336
|
Series 2007-WM2, Class A2C, ABS, 1 Month USD LIBOR + 0.28%, 4.67%, 2/25/2037
(c)
|
|
|
2,868,879
|
|
1,198,885
|
Affirm Asset Securitization Trust Series 2022-A, Class A, 4.30%, 5/17/2027
(b)
|
|
|
3,000,000
|
|
2,850,696
|
Aimco CLO 11, Ltd. Series 2020-11A, Class AR, 3 Month USD LIBOR + 1.13%, 5.21%, 10/17/2034
(b)
(c)
|
|
|
2,000,000
|
|
1,933,000
|
Ameriquest Mortgage Securities Asset-Backed Pass-Through Series 2004-FR1, Class M5, 3.97%, 5/25/2034
(e)
|
|
|
4,804,032
|
|
3,360,303
|
Security
Description |
|
|
Principal
Amount |
|
Value
|
AMSR
Trust: |
|
|
|
|
|
Series 2021-SFR2, Class E1, ABS, 2.48%, 8/17/2038
(b)
|
|
|
$
3,000,000 |
|
$
2,497,276 |
Series 2021-SFR2, Class F1, ABS, 3.28%, 8/17/2038
(b)
|
|
|
3,000,000
|
|
2,454,572
|
Series 2021-SFR2, Class F2, ABS, 3.67%, 8/17/2038
(b)
|
|
|
2,000,000
|
|
1,647,008
|
Anchorage Capital CLO 19, Ltd. Series 2021-19A, Class A, ABS, 3 Month USD LIBOR + 1.21%, 5.29%, 10/15/2034
(b)
(c)
|
|
|
2,000,000
|
|
1,930,400
|
Argent Securities Trust Series 2006-M1, Class A2B, ABS, 1 Month USD LIBOR + 0.18%, 4.57%, 7/25/2036
(c)
|
|
|
17,971,001
|
|
4,800,156
|
Bain
Capital Credit CLO, Ltd.: |
|
|
|
|
|
Series 2019-3A, Class DR, ABS, 3 Month USD LIBOR + 3.10%, 7.38%, 10/21/2034
(b)
(c)
|
|
|
1,000,000
|
|
917,638
|
Series 2020-5A, Class D, ABS, 3 Month USD LIBOR + 3.55%, 7.79%, 1/20/2032
(b)
(c)
|
|
|
2,500,000
|
|
2,335,395
|
Series 2021-6A, Class A1, 3 Month USD LIBOR + 1.15%, 5.43%, 10/21/2034
(b)
(c)
|
|
|
3,000,000
|
|
2,886,300
|
Series 2022-3A, Class D, 3 Month SOFR + 3.70%, 7.56%, 7/17/2035
(b)
(c)
|
|
|
1,000,000
|
|
888,600
|
Blackbird Capital Aircraft Series 2021-1A, Class B, ABS, 3.45%, 7/15/2046
(b)
|
|
|
4,692,910
|
|
3,534,285
|
BNC Mortgage Loan Trust Series 2006-1, Class A1, ABS, 1 Month USD LIBOR + 0.36%, 3.80%, 10/25/2036
(c)
|
|
|
16,946,131
|
|
11,306,902
|
Canyon
Capital CLO, Ltd.: |
|
|
|
|
|
Series 2017-1A, Class DR, ABS, 3 Month USD LIBOR + 3.00%, 7.08%, 7/15/2030
(b)
(c)
|
|
|
1,000,000
|
|
890,500
|
Series 2021-1A, Class D, ABS, 3 Month USD LIBOR + 3.10%, 7.18%, 4/15/2034
(b)
(c)
|
|
|
2,000,000
|
|
1,793,150
|
See accompanying notes to financial statements.
79
SPDR DOUBLELINE
TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2022 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
Carlyle
U.S. CLO Ltd.: |
|
|
|
|
|
Series 2021-1A, Class D, ABS, 3 Month USD LIBOR + 6.00%, 10.08%, 4/15/2034
(b)
(c)
|
|
|
$
1,000,000 |
|
$
874,827 |
Series 2022-2A, Class A2, Class A2, 3 Month SOFR + 2.00%, 5.96%, 4/20/2035
(b)
(c)
|
|
|
2,000,000
|
|
1,916,000
|
Catamaran CLO, Ltd. Series 2018-1A, Class C, 3 Month USD LIBOR + 2.50%, 6.86%, 10/25/2031
(b)
(c)
|
|
|
1,000,000
|
|
918,600
|
CIFC
Funding, Ltd.: |
|
|
|
|
|
Series 2013-1A, Class CR, ABS, 3 Month USD LIBOR + 3.55%, 7.63%, 7/16/2030
(b)
(c)
|
|
|
1,000,000
|
|
916,200
|
Series 2017-1A, Class D, ABS, 3 Month USD LIBOR + 3.50%, 7.78%, 4/23/2029
(b)
(c)
|
|
|
1,000,000
|
|
959,000
|
Series 2021-1A, Class E, ABS, 3 Month USD LIBOR + 6.00%, 10.36%, 4/25/2033
(b)
(c)
|
|
|
500,000
|
|
447,872
|
Series 2022-3A, Class B, Class B, 3 Month SOFR + 2.00%, 5.99%, 4/21/2035
(b)
(c)
|
|
|
2,000,000
|
|
1,918,200
|
Dryden 68 CLO, Ltd. Series 2019-68A, Class DR, ABS, 3 Month USD LIBOR + 3.35%, 7.43%, 7/15/2035
(b)
(c)
|
|
|
1,500,000
|
|
1,389,318
|
Elmwood CLO VIII, Ltd. Series 2021-1A, Class D1, ABS, 3 Month USD LIBOR + 3.00%, 7.24%, 1/20/2034
(b)
(c)
|
|
|
1,500,000
|
|
1,413,818
|
Exeter
Automobile Receivables Trust: |
|
|
|
|
|
Series 2021-1A, Class D, ABS, 1.08%,
11/16/2026
|
|
|
1,000,000
|
|
931,873
|
Series 2021-1A, Class E, ABS, 2.21%, 2/15/2028
(b)
|
|
|
1,500,000
|
|
1,357,740
|
First Franklin Mortgage Loan Trust Series 2007-FF2, Class A1, ABS, 1 Month USD LIBOR + 0.14%, 4.53%, 3/25/2037
(c)
|
|
|
9,173,789
|
|
4,782,956
|
FirstKey
Homes Trust: |
|
|
|
|
|
Series 2020-SFR2, Class D, ABS, 1.97%, 10/19/2037
(b)
|
|
|
2,000,000
|
|
1,755,206
|
Security
Description |
|
|
Principal
Amount |
|
Value
|
Series 2020-SFR2, Class E, 2.67%, 10/19/2037
(b)
|
|
|
$
2,000,000 |
|
$
1,765,792 |
FMC
GMSR Issuer Trust: |
|
|
|
|
|
Series 2020-GT1, Class A, CMO, VRN, 4.45%, 1/25/2026
(b)
(c)
|
|
|
3,000,000
|
|
2,620,637
|
Series 2021-GT2, Class A, 3.85%, 10/25/2026
(b)
(c)
|
|
|
2,650,000
|
|
2,125,183
|
FREED ABS Trust Series 2021-2, Class C, ABS, 1.94%, 6/19/2028
(b)
|
|
|
4,750,000
|
|
4,614,880
|
FS Rialto Issuer LLC Series 2021-FL2, Class A, ABS, 1 Month USD LIBOR + 1.22%, 5.55%, 5/16/2038
(b)
(c)
|
|
|
2,000,000
|
|
1,915,408
|
GAIA Aviation, Ltd. Series 2019-1, Class A, 3.97%, 12/15/2044
(b)
(e)
|
|
|
1,166,806
|
|
965,237
|
Galaxy XVIII CLO, Ltd. Series 2018-28A, Class D, ABS, 3 Month USD LIBOR + 3.00%, 7.08%, 7/15/2031
(b)
(c)
|
|
|
2,100,000
|
|
1,921,534
|
GoodLeap Sustainable Home Solutions Trust Series 2021-5CS, Class C, 3.50%, 10/20/2048
(b)
|
|
|
3,166,985
|
|
2,384,139
|
Greystone CRE Notes, Ltd. Series 2021-FL3, Class B, ABS, 1 Month USD LIBOR + 1.65%, 5.97%, 7/15/2039
(b)
(c)
|
|
|
2,925,000
|
|
2,690,336
|
GSAA
Home Equity Trust: |
|
|
|
|
|
Series 2007-10, Class A2A, 6.50%,
11/25/2037
|
|
|
2,131,645
|
|
915,495
|
Series 2007-4, Class A3A, Class A3A, ABS, 1 Month USD LIBOR + 0.60%, 4.99%, 3/25/2037
(c)
|
|
|
5,867,563
|
|
2,402,556
|
Hardee's Funding LLC Series 2018-1A, Class A23, ABS, 5.71%, 6/20/2048
(b)
|
|
|
1,627,750
|
|
1,497,937
|
Hayfin Kingsland X, Ltd. Series 2019-1A, Class B1R, ABS, 3 Month USD LIBOR + 1.85%, 6.22%, 4/28/2031
(b)
(c)
|
|
|
2,000,000
|
|
1,957,564
|
Helios Issuer LLC Series 2021-A, Class A, ABS, 1.80%, 2/20/2048
(b)
|
|
|
1,273,326
|
|
928,312
|
Jamestown CLO XII, Ltd. Series 2019-1A, Class A2, ABS, 3 Month USD LIBOR + 2.15%, 6.39%, 4/20/2032
(b)
(c)
|
|
|
1,000,000
|
|
971,600
|
See accompanying notes to financial statements.
80
SPDR DOUBLELINE
TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2022 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
JOL Air, Ltd. Series 2019-1, Class A, 3.97%, 4/15/2044
(b)
|
|
|
$
2,228,440 |
|
$
1,820,439 |
LCCM Trust Series 2021-FL3, Class A, 1 Month USD LIBOR + 1.45%, 5.77%, 11/15/2038
(b)
(c)
|
|
|
2,864,000
|
|
2,782,728
|
Lendbuzz Securitization Trust Series 2022-1A, Class A, Class A, 4.22%, 5/17/2027
(b)
|
|
|
3,726,669
|
|
3,580,048
|
Lendingpoint Asset Securitization Trust Series 2021-A, Class C, ABS, 2.75%, 12/15/2028
(b)
|
|
|
4,000,000
|
|
3,794,167
|
LoanCore Issuer, Ltd. Series 2019-CRE2, Class AS, 1 Month USD LIBOR + 1.50%, 5.82%, 5/15/2036
(b)
(c)
|
|
|
2,955,092
|
|
2,881,832
|
Madison Park Funding XI, Ltd. Series 2013-11A, Class DR, ABS, 3 Month USD LIBOR + 3.25%, 7.57%, 7/23/2029
(b)
(c)
|
|
|
1,000,000
|
|
937,600
|
Madison Park Funding XLVIII, Ltd. Series 2021-48A, Class D, ABS, 3 Month USD LIBOR + 3.00%, 7.23%, 4/19/2033
(b)
(c)
|
|
|
1,000,000
|
|
928,425
|
Madison Park Funding XVII, Ltd. Series 2015-17A, Class DR, 3 Month USD LIBOR + 3.60%, 7.88%, 7/21/2030
(b)
(c)
|
|
|
1,000,000
|
|
945,300
|
Magnetite CLO, Ltd. Series 2021-31A, Class E, 3 Month USD LIBOR + 6.00%, 10.08%, 7/15/2034
(b)
(c)
|
|
|
500,000
|
|
438,134
|
Magnetite XXIX, Ltd. Series 2021-29A, Class E, ABS, 3 Month USD LIBOR + 5.75%, 9.83%, 1/15/2034
(b)
(c)
|
|
|
500,000
|
|
446,040
|
Mosaic Solar Loan Trust Series 2018-1A, Class C, ABS, PO, 0.01%, 6/22/2043
(b)
|
|
|
266,812
|
|
245,448
|
MVW
LLC: |
|
|
|
|
|
Series 2021-1WA, Class C, ABS, 1.94%, 1/22/2041
(b)
|
|
|
851,943
|
|
761,568
|
Series 2021-1WA, Class D, ABS, 3.17%, 1/22/2041
(b)
|
|
|
1,419,905
|
|
1,259,824
|
Security
Description |
|
|
Principal
Amount |
|
Value
|
Neuberger
Berman Loan Advisers CLO, Ltd.: |
|
|
|
|
|
Series 2021-40A, Class D, ABS, 3 Month USD LIBOR + 2.75%, 6.83%, 4/16/2033
(b)
(c)
|
|
|
$
1,500,000 |
|
$
1,382,954 |
Series 2022-47A, Class D, ABS, 3 Month SOFR + 3.10%, 6.93%, 4/14/2035
(b)
(c)
|
|
|
500,000
|
|
447,250
|
Ocean Trails CLO V Series 2014-5A, Class DRR, ABS, 3 Month USD LIBOR + 3.45%, 7.39%, 10/13/2031
(b)
(c)
|
|
|
1,000,000
|
|
847,800
|
Octagon Investment Partners 27, Ltd. Series 2016-1A, Class DR, ABS, 3 Month USD LIBOR + 2.95%, 7.03%, 7/15/2030
(b)
(c)
|
|
|
500,000
|
|
433,700
|
Octagon Investment Partners 30, Ltd. Series 2017-1A, Class CR, ABS, 3 Month USD LIBOR + 3.30%, 7.54%, 3/17/2030
(b)
(c)
|
|
|
1,000,000
|
|
952,506
|
Octagon Investment Partners 31 Ltd. Series 2017-1A, Class DR, ABS, 3 Month USD LIBOR + 3.40%, 7.64%, 7/20/2030
(b)
(c)
|
|
|
1,000,000
|
|
955,683
|
Octagon Investment Partners 40, Ltd. Series 2019-1A, Class DR, ABS, 3 Month USD LIBOR + 3.35%, 7.59%, 1/20/2035
(b)
(c)
|
|
|
500,000
|
|
431,000
|
Octagon Investment Partners 49, Ltd. Series 2020-5A, Class D, ABS, 3 Month USD LIBOR + 3.40%, 7.48%, 1/15/2033
(b)
(c)
|
|
|
2,500,000
|
|
2,258,000
|
Octagon Investment Partners 51, Ltd. Series 2021-1A, Class A, ABS, 3 Month USD LIBOR + 1.15%, 5.39%, 7/20/2034
(b)
(c)
|
|
|
1,385,000
|
|
1,338,741
|
Pagaya
AI Debt Trust: |
|
|
|
|
|
Series 2022-1, Class A, 2.03%, 10/15/2029
(b)
|
|
|
1,410,823
|
|
1,345,307
|
Series 2022-1, Class B, ABS, 3.34%, 10/15/2029
(b)
|
|
|
4,499,405
|
|
4,049,654
|
Series 2022-2, Class A, Class A, 4.97%, 1/15/2030
(b)
|
|
|
2,709,273
|
|
2,643,379
|
PMT Issuer Trust - FMSR Series 2021-FT1, Class A, ABS, 1 Month USD LIBOR + 3.00%, 7.39%, 3/25/2026
(b)
(c)
|
|
|
1,300,000
|
|
1,260,976
|
See accompanying notes to financial statements.
81
SPDR DOUBLELINE
TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2022 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
PRET
LLC: |
|
|
|
|
|
Series 2021-NPL5, Class A1, 2.49%, 10/25/2051
(b)
(e)
|
|
|
$
4,286,950 |
|
$
3,870,546 |
Series 2022-RN1, Class A1, 3.72%, 7/25/2051
(b)
(e)
|
|
|
13,299,002
|
|
12,412,893
|
Regatta VI Funding, Ltd. Series 2016-1A, Class AR2, 3 Month USD LIBOR + 1.16%, 5.40%, 4/20/2034
(b)
(c)
|
|
|
850,000
|
|
823,395
|
Regatta XXIII Funding, Ltd. Series 2021-4A, Class A1, 3 Month USD LIBOR + 1.15%, 5.39%, 1/20/2035
(b)
(c)
|
|
|
4,500,000
|
|
4,342,950
|
Renaissance Home Equity Loan Trust Series 2006-2, Class AF4, ABS, 6.12%, 8/25/2036
(e)
|
|
|
8,664,451
|
|
3,654,048
|
Sapphire Aviation Finance II, Ltd. Series 2020-1A, Class A, 3.23%, 3/15/2040
(b)
|
|
|
1,119,946
|
|
846,811
|
Securitized
Asset Backed Receivables LLC Trust: |
|
|
|
|
|
Series 2007-BR4, Class A2A, Class A2A, ABS, 1 Month USD LIBOR + 0.09%, 4.48%, 5/25/2037
(c)
|
|
|
3,663,529
|
|
2,214,493
|
Series 2007-BR4, Class A2B, Class A2B, ABS, 1 Month USD LIBOR + 0.20%, 4.59%, 5/25/2037
(c)
|
|
|
25,457,289
|
|
15,400,367
|
Securitized Asset-Backed Receivables LLC Trust Series 2007-BR5, Class A2B, Class A2B, 1 Month USD LIBOR + 0.18%, 4.57%, 5/25/2037
(c)
|
|
|
36,103,677
|
|
26,769,353
|
Shenton Aircraft Investment I, Ltd. Series 2015-1A, Class A, ABS, 4.75%, 10/15/2042
(b)
|
|
|
1,972,865
|
|
1,509,262
|
SOFI Alternative Trust Series 2021-A, Class PT1, ABS, VRN, 1.48%, 3/15/2047
(b)
(c)
|
|
|
1,980
|
|
1,722
|
Sound Point Clo XII, Ltd. Series 2016-2A, Class DR, ABS, 3 Month USD LIBOR + 3.85%, 8.09%, 10/20/2028
(b)
(c)
|
|
|
1,000,000
|
|
977,600
|
Security
Description |
|
|
Principal
Amount |
|
Value
|
Sound Point Clo XIV, Ltd. Series 2016-3A, Class DR, ABS, 3 Month USD LIBOR + 3.65%, 7.97%, 1/23/2029
(b)
(c)
|
|
|
$
1,000,000 |
|
$
962,987 |
Sound Point CLO XXIII, Ltd. Series 2019-2A, Class ER, 3 Month USD LIBOR + 6.47%, 10.55%, 7/15/2034
(b)
(c)
|
|
|
1,000,000
|
|
797,410
|
Sound Point CLO XXVI, Ltd. Series 2020-1A, Class DR, 3 Month USD LIBOR + 3.35%, 7.59%, 7/20/2034
(b)
(c)
|
|
|
500,000
|
|
443,807
|
Sound Point CLO XXVIII, Ltd. Series 2020-3A, Class D, ABS, 3 Month USD LIBOR + 3.65%, 8.01%, 1/25/2032
(b)
(c)
|
|
|
4,000,000
|
|
3,641,820
|
Sound Point CLO XXXIII, Ltd. Series 2022-1A, Class D, ABS, 3 Month SOFR + 3.30%, 7.36%, 4/25/2035
(b)
(c)
|
|
|
700,000
|
|
584,430
|
Start II Ltd. Series 2019-1, Class A, 4.09%, 3/15/2044
(b)
|
|
|
490,687
|
|
418,404
|
Structured Asset Securities Corp. Mortgage Loan Trust Series 2006-BC4, Class A4, 1 Month USD LIBOR + 0.34%, 4.73%, 12/25/2036
(c)
|
|
|
734,765
|
|
703,895
|
Sunrun Demeter Issuer Series 2021-2A, Class A, 2.27%, 1/30/2057
(b)
|
|
|
2,616,582
|
|
1,838,485
|
THL Credit Wind River CLO, Ltd. Series 2017-3A, Class AR, ABS, 3 Month USD LIBOR + 1.15%, 5.23%, 4/15/2035
(b)
(c)
|
|
|
2,150,000
|
|
2,065,720
|
TIF
Funding II LLC: |
|
|
|
|
|
Series 2021-1A, Class A, ABS, 1.65%, 2/20/2046
(b)
|
|
|
4,257,292
|
|
3,523,122
|
Series 2021-1A, Class B, ABS, 2.54%, 2/20/2046
(b)
|
|
|
1,702,917
|
|
1,368,391
|
Trimaran Cavu, Ltd. Series 2021-3A, Class D, ABS, 3 Month USD LIBOR + 3.78%, 7.97%, 1/18/2035
(b)
(c)
|
|
|
1,500,000
|
|
1,386,221
|
TRTX
Issuer, Ltd.: |
|
|
|
|
|
Series 2019-FL3, Class AS, 1 Month USD Term LIBOR + 1.56%, 5.89%, 10/15/2034
(b)
(c)
|
|
|
3,527,000
|
|
3,508,208
|
See accompanying notes to financial statements.
82
SPDR DOUBLELINE
TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2022 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
Series 2021-FL4, Class A, ABS, 1 Month USD LIBOR + 1.20%, 5.53%, 3/15/2038
(b)
(c)
|
|
|
$
200,000 |
|
$
193,274 |
Upstart Pass-Through Trust Series 2021-ST3, Class A, ABS, 2.00%, 5/20/2027
(b)
|
|
|
2,082,908
|
|
1,952,511
|
Upstart
Securitization Trust: |
|
|
|
|
|
Series 2020-1, Class C, ABS, 4.90%, 4/22/2030
(b)
|
|
|
1,938,001
|
|
1,882,563
|
Series 2022-1, Class B, 4.48%, 3/20/2032
(b)
|
|
|
6,500,000
|
|
5,985,098
|
USASF Receivables 2020-1 LLC Series 2020-1A, Class B, 3.22%, 5/15/2024
(b)
|
|
|
464,140
|
|
463,312
|
Venture CLO, Ltd. Series 2020-39A, Class D, ABS, 3 Month USD LIBOR + 4.25%, 8.33%, 4/15/2033
(b)
(c)
|
|
|
1,750,000
|
|
1,601,425
|
VOLT XCVI LLC Series 2021-NPL5, Class A1, CMO, 2.12%, 3/27/2051
(b)
(e)
|
|
|
1,606,564
|
|
1,456,437
|
Voya CLO, Ltd. Series 2017-3A, Class CR, ABS, 3 Month USD LIBOR + 3.15%, 7.39%, 4/20/2034
(b)
(c)
|
|
|
1,000,000
|
|
919,625
|
Wellfleet CLO X, Ltd. Series 2019-XA, Class A2R, 3 Month USD LIBOR + 1.75%, 5.99%, 7/20/2032
(b)
(c)
|
|
|
3,500,000
|
|
3,311,350
|
TOTAL ASSET-BACKED SECURITIES (Cost
$283,598,705)
|
|
|
|
|
249,806,639
|
FOREIGN
GOVERNMENT OBLIGATIONS — 0.8% |
|
|
|
|
|
BRAZIL
— 0.1% |
|
|
|
|
|
Brazilian Government International Bond 5.63%,
2/21/2047
|
|
|
1,200,000
|
|
952,692
|
CHILE
— 0.1% |
|
|
|
|
|
Chile
Government International Bond: |
|
|
|
|
|
2.55%,
1/27/2032
|
|
|
200,000
|
|
163,934
|
3.10%,
5/7/2041
|
|
|
1,800,000
|
|
1,295,100
|
3.10%,
1/22/2061
|
|
|
500,000
|
|
312,010
|
3.50%,
1/25/2050
|
|
|
1,300,000
|
|
943,748
|
|
|
|
|
|
2,714,792
|
Security
Description |
|
|
Principal
Amount |
|
Value
|
COLOMBIA
— 0.1% |
|
|
|
|
|
Colombia
Government International Bond: |
|
|
|
|
|
3.13%,
4/15/2031
|
|
|
$
700,000 |
|
$
520,205 |
3.25%,
4/22/2032
|
|
|
1,100,000
|
|
799,689
|
4.13%,
5/15/2051
|
|
|
1,700,000
|
|
1,020,629
|
5.00%,
6/15/2045
|
|
|
900,000
|
|
617,247
|
|
|
|
|
|
2,957,770
|
INDONESIA
— 0.1% |
|
|
|
|
|
Indonesia Government International Bond 3.70%,
10/30/2049
|
|
|
1,900,000
|
|
1,470,068
|
MEXICO
— 0.2% |
|
|
|
|
|
Mexico
Government International Bond: |
|
|
|
|
|
2.66%,
5/24/2031
|
|
|
1,200,000
|
|
966,912
|
4.28%,
8/14/2041
|
|
|
3,000,000
|
|
2,319,570
|
4.35%,
1/15/2047
|
|
|
300,000
|
|
224,895
|
|
|
|
|
|
3,511,377
|
PANAMA
— 0.1% |
|
|
|
|
|
Panama
Government International Bond: |
|
|
|
|
|
2.25%,
9/29/2032
|
|
|
1,200,000
|
|
890,112
|
3.87%,
7/23/2060
|
|
|
1,000,000
|
|
647,050
|
4.30%,
4/29/2053
|
|
|
1,300,000
|
|
945,880
|
4.50%,
4/1/2056
|
|
|
400,000
|
|
293,896
|
|
|
|
|
|
2,776,938
|
PERU
— 0.0% (a) |
|
|
|
|
|
Corp. Financiera de Desarrollo SA Series REGS, 3 Month USD LIBOR + 5.61%, 5.25%, 7/15/2029
(c)
|
|
|
200,000
|
|
191,652
|
PHILIPPINES
— 0.1% |
|
|
|
|
|
Philippine
Government International Bond: |
|
|
|
|
|
1.65%,
6/10/2031
|
|
|
650,000
|
|
519,759
|
2.65%,
12/10/2045
|
|
|
600,000
|
|
403,446
|
2.95%,
5/5/2045
|
|
|
600,000
|
|
432,786
|
3.70%,
2/2/2042
|
|
|
800,000
|
|
649,424
|
|
|
|
|
|
2,005,415
|
SAUDI
ARABIA — 0.0% (a) |
|
|
|
|
|
Saudi Government International Bond Series REGS, 2.25%,
2/2/2033
|
|
|
1,000,000
|
|
810,988
|
SOUTH
AFRICA — 0.0% (a) |
|
|
|
|
|
Republic of South Africa Government International Bond 4.30%,
10/12/2028
|
|
|
650,000
|
|
579,358
|
See accompanying notes to financial statements.
83
SPDR DOUBLELINE
TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2022 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
SOUTH
KOREA — 0.0% (a) |
|
|
|
|
|
Korea
Development Bank: |
|
|
|
|
|
1.63%,
1/19/2031
|
|
|
$
800,000 |
|
$
628,696 |
2.00%,
10/25/2031
|
|
|
400,000
|
|
318,320
|
|
|
|
|
|
947,016
|
TOTAL FOREIGN GOVERNMENT OBLIGATIONS (Cost
$25,473,233)
|
|
|
|
|
18,918,066
|
|
|
Shares
|
|
COMMON
STOCKS — 0.0% (a) |
|
|
UNITED
KINGDOM — 0.0% (a) |
|
|
Avation Capital
SA
|
|
4,550
|
1,642
|
UNITED
STATES — 0.0% (a) |
|
|
Bright Bidco B.V.
(f)
|
|
710
|
13,934
|
Carlson Travel, Inc.
(f)
|
|
5,125
|
33,313
|
Foresight Energy
(f)
|
|
572
|
6,861
|
|
|
|
54,108
|
TOTAL COMMON STOCKS (Cost
$160,402)
|
|
|
55,750
|
|
|
Principal
Amount |
|
SENIOR
FLOATING RATE LOANS — 2.0% |
|
|
|
ADVERTISING
SERVICES — 0.0% (a) |
|
|
|
CMG Media Corp., Senior Secured 2021 Term Loan, 3 Month USD LIBOR + 3.50%, 12/17/2026
(c)
|
|
$
151,531 |
142,305
|
AEROSPACE
& DEFENSE — 0.0% (a) |
|
|
|
Dynasty
Acquisition Co., Inc.: |
|
|
|
Senior Secured 2020 CAD Term Loan B2, 1 Month USD LIBOR + 3.50%, 7.92%, 4/6/2026
(c)
|
|
76,100
|
72,735
|
Senior Secured 2020 Term Loan B1, 1 Month USD LIBOR + 3.50%, 7.80%, 4/6/2026
(c)
|
|
141,547
|
135,287
|
Spirit Aerosystems, Inc., Senior Secured 2022 Term Loan, 1 Month USD SOFR + 4.50%, 8.82%, 1/15/2027
(c)
|
|
79,800
|
79,277
|
|
|
|
287,299
|
Security
Description |
|
|
Principal
Amount |
|
Value
|
AIR
FREIGHT & LOGISTICS — 0.0% (a) |
|
|
|
|
|
Kenan Advantage Group, Inc., Senior Secured 2021 Term Loan B1, 1 Month USD LIBOR + 3.75%, 8.13%, 3/24/2026
(c)
|
|
|
$
378,528 |
|
$
369,943 |
Worldwide Express Operations LLC, Senior Secured 2021 1st Lien Term Loan, 3 Month USD LIBOR + 4.00%, 8.73%, 7/26/2028
(c)
|
|
|
188,100
|
|
172,752
|
|
|
|
|
|
542,695
|
AIRLINES
— 0.1% |
|
|
|
|
|
Air Canada, Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 3.50%, 8.13%, 8/11/2028
(c)
|
|
|
194,025
|
|
192,357
|
American
Airlines, Inc.: |
|
|
|
|
|
Senior Secured 2017 1st Lien Term Loan, 1 Month USD LIBOR + 1.75%, 6.14%, 1/29/2027
(c)
|
|
|
215,600
|
|
205,205
|
Senior Secured 2021 Term Loan, 3 Month USD LIBOR + 4.75%, 8.99%, 4/20/2028
(c)
|
|
|
310,000
|
|
309,177
|
Mileage Plus Holdings LLC, Senior Secured 2020 Term Loan B, 3 Month USD LIBOR + 5.25%, 10.00%, 6/21/2027
(c)
|
|
|
454,500
|
|
468,305
|
SkyMiles IP Ltd., Senior Secured 2020 Skymiles Term Loan B, 3 Month USD LIBOR + 3.75%, 7.99%, 10/20/2027
(c)
|
|
|
215,000
|
|
219,556
|
United Airlines, Inc., Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 3.75%, 8.11%, 4/21/2028
(c)
|
|
|
352,430
|
|
348,980
|
|
|
|
|
|
1,743,580
|
AUTO
COMPONENTS — 0.0% (a) |
|
|
|
|
|
DexKo Global, Inc., Senior Secured 2021 USD Term Loan B, 3 Month USD LIBOR + 3.75%, 8.59%, 10/4/2028
(c)
|
|
|
150,697
|
|
135,606
|
Wheel Pros LLC, Senior Secured 2021 Term Loan, 3 Month USD LIBOR + 4.5%, 8.82%, 5/11/2028
(c)
|
|
|
73,051
|
|
49,940
|
|
|
|
|
|
185,546
|
See accompanying notes to financial statements.
84
SPDR DOUBLELINE
TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2022 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
BEVERAGES
— 0.0% (a) |
|
|
|
|
|
Triton Water Holdings, Inc., Senior Secured Term Loan, 3 Month USD LIBOR + 3.50%, 8.23%, 3/31/2028
(c)
|
|
|
$
296,405 |
|
$
276,657 |
BROADCAST
SERV/PROGRAM — 0.0% (a) |
|
|
|
|
|
E.W. Scripps Co. (The), Senior Secured 2019 Term Loan B2, 1 Month USD LIBOR + 2.56%, 6.95%, 5/1/2026
(c)
|
|
|
448,400
|
|
441,842
|
BUILDING
PRODUCTS — 0.0% (a) |
|
|
|
|
|
Quikrete Holdings, Inc., Senior Secured 2021 Term Loan B1, 1 Month USD LIBOR + 3.00%, 7.38%, 6/11/2028
(c)
|
|
|
124,063
|
|
123,258
|
Tamko Building Products LLC, Senior Secured Term Loan B, 3 Month USD LIBOR + 3.00%, 7.73%, 6/1/2026
(c)
|
|
|
176,354
|
|
171,284
|
|
|
|
|
|
294,542
|
CASINO
SERVICES — 0.0% (a) |
|
|
|
|
|
Stars Group Holdings B.V., Senior Secured 2018 USD Incremental Term Loan, 3 Month USD LIBOR + 2.25%, 6.98%, 7/21/2026
(c)
|
|
|
313,880
|
|
310,043
|
CHEMICALS
— 0.1% |
|
|
|
|
|
Axalta Coating Systems Dutch Holding B B.V, Senior Secured 2022 USD Term Loan B,
12/20/2029
|
|
|
145,000
|
|
145,326
|
Diamond (BC) B.V., Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 2.75%, 7.16%, 9/29/2028
(c)
|
|
|
450,450
|
|
436,092
|
Illuminate Buyer LLC, Senior Secured 2021 Term Loan, 1 Month USD LIBOR + 3.50%, 7.88%, 6/30/2027
(c)
|
|
|
371,884
|
|
357,008
|
Messer Industries GmbH, Senior Secured 2018 USD Term Loan, 3 Month USD LIBOR + 2.50%, 7.23%, 3/2/2026
(c)
|
|
|
106,864
|
|
106,113
|
Security
Description |
|
|
Principal
Amount |
|
Value
|
Olympus Water U.S. Holding Corp., Senior Secured 2021 USD Term Loan B, 3 Month USD LIBOR + 3.75%, 8.50%, 11/9/2028
(c)
|
|
|
$
198,000 |
|
$
190,603 |
PMHC II, Inc., Senior Secured 2022 Term Loan B, 3 Month USD SOFR + 4.25%, 8.49%, 4/23/2029
(c)
|
|
|
124,687
|
|
106,017
|
Polar U.S. Borrower LLC, Senior Secured 2018 1st Lien Term Loan, 2 Month USD LIBOR + 4.75%, 9.02%, 10/15/2025
(c)
|
|
|
154,390
|
|
125,519
|
PQ Corp., Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 2.50%, 6.91%, 6/9/2028
(c)
|
|
|
98,500
|
|
97,207
|
Vantage Specialty Chemicals, Inc., Senior Secured 2017 1st Lien Term Loan, 3 Month USD LIBOR + 3.50%, 8.23%, 10/28/2024
(c)
|
|
|
280,996
|
|
275,060
|
|
|
|
|
|
1,838,945
|
COMMERCIAL
SERVICES — 0.1% |
|
|
|
|
|
Allied Universal Holdco LLC, Senior Secured 2021 USD Incremental Term Loan B, 1 Month USD LIBOR + 3.75%, 8.17%, 5/12/2028
(c)
|
|
|
292,622
|
|
278,577
|
APX Group, Inc., Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 2.50%, 9.75%, 7/10/2028
(c)
|
|
|
138,250
|
|
137,019
|
EAB Global, Inc., Senior Secured 2021 Term Loan, 1 Month USD LIBOR + 3.50%, 7.88%, 8/16/2028
(c)
|
|
|
156,492
|
|
150,931
|
Mavis Tire Express Services Corp., Senior Secured 2021 Term Loan B, 1 Month USD SOFR + 4.00%, 8.50%, 5/4/2028
(c)
|
|
|
322,387
|
|
308,397
|
PECF USS Intermediate Holding III Corp., Senior Secured Term Loan B, 1 Month USD LIBOR + 4.25%, 8.63%, 12/15/2028
(c)
|
|
|
301,079
|
|
252,175
|
See accompanying notes to financial statements.
85
SPDR DOUBLELINE
TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2022 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
Spin Holdco, Inc., Senior Secured 2021 Term Loan, 3 Month USD LIBOR + 4.00%, 7.14%, 3/4/2028
(c)
|
|
|
$
247,212 |
|
$
209,760 |
Verscend Holding Corp., Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 4.00%, 8.38%, 8/27/2025
(c)
|
|
|
415,504
|
|
413,686
|
Viad Corp., Senior Secured Initial Term Loan, 1 Month USD LIBOR + 5.00%, 9.38%, 7/30/2028
(c)
|
|
|
167,875
|
|
159,220
|
VT Topco, Inc., Senior Secured 2021 Incremental Term Loan, 1 Month USD LIBOR + 3.75%, 8.13%, 8/1/2025
(c)
|
|
|
64,745
|
|
62,937
|
Wand NewCo 3, Inc., Senior Secured 2020 Term Loan, 1 Month USD LIBOR + 3.00%, 7.38%, 2/5/2026
(c)
|
|
|
171,259
|
|
162,848
|
|
|
|
|
|
2,135,550
|
COMMERCIAL
SERVICES & SUPPLIES — 0.1% |
|
|
|
|
|
Asurion
LLC: |
|
|
|
|
|
Senior Secured 2021 2nd Lien Term Loan B3, 1 Month USD LIBOR + 5.25%, 9.63%, 1/31/2028
(c)
|
|
|
70,000
|
|
55,008
|
Senior Secured 2021 Second Lien Term Loan B4, 1 Month USD LIBOR + 5.25%, 9.63%, 1/20/2029
(c)
|
|
|
290,000
|
|
227,132
|
Garda
World Security Corp.: |
|
|
|
|
|
Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 4.25%, 8.93%, 10/30/2026
(c)
|
|
|
289,126
|
|
282,043
|
Senior Secured 2022 Term Loan B, 3 Month USD SOFR + 4.25%, 8.53%, 2/1/2029
(c)
|
|
|
154,612
|
|
149,201
|
Packaging Coordinators Midco, Inc., Senior Secured 2020 1st Lien Term Loan, 3 Month USD LIBOR + 3.75%, 8.23%, 11/30/2027
(c)
|
|
|
152,288
|
|
144,810
|
Packers Holdings LLC, Senior Secured 2021 Term Loan, 3 Month USD LIBOR + 3.25%, 7.54%, 3/9/2028
(c)
|
|
|
275,168
|
|
242,149
|
Security
Description |
|
|
Principal
Amount |
|
Value
|
Prometric Holdings, Inc., Senior Secured 1st Lien Term Loan, 1 Month USD LIBOR + 3.00%, 7.39%, 1/29/2025
(c)
|
|
|
$
294,364 |
|
$
260,145 |
|
|
|
|
|
1,360,488
|
COMPUTER
SERVICES — 0.0% (a) |
|
|
|
|
|
Redstone Holdco 2 LP, Senior Secured 2021 Term Loan, 3 Month USD LIBOR + 4.75%, 9.11%, 4/27/2028
(c)
|
|
|
94,861
|
|
66,131
|
Tempo Acquisition LLC, Senior Secured 2022 Term Loan B, 1 Month USD SOFR + 3.00%, 7.32%, 8/31/2028
(c)
|
|
|
143,550
|
|
143,335
|
|
|
|
|
|
209,466
|
CONSTRUCTION
& ENGINEERING — 0.0% (a) |
|
|
|
|
|
Brown Group Holding LLC, Senior Secured Term Loan B, 1 Month USD LIBOR + 2.50%, 6.88%, 6/7/2028
(c)
|
|
|
50,703
|
|
49,866
|
DG
Investment Intermediate Holdings 2, Inc.: |
|
|
|
|
|
Senior Secured 2021 2nd Lien Term Loan, 1 Month USD LIBOR + 6.75%, 11.07%, 3/30/2029
(c)
|
|
|
60,000
|
|
53,300
|
Senior Secured 2021 Term Loan, 1 Month USD LIBOR + 3.75%, 8.07%, 3/31/2028
(c)
|
|
|
287,537
|
|
275,676
|
KKR Apple Bidco LLC, Senior Secured 2021 Term Loan, 1 Month USD LIBOR + 2.75%, 7.13%, 9/23/2028
(c)
|
|
|
188,100
|
|
185,822
|
Tecta America Corp., Senior Secured 2021 Term Loan, 1 Month USD LIBOR + 4.25%, 8.69%, 4/10/2028
(c)
|
|
|
192,075
|
|
184,872
|
|
|
|
|
|
749,536
|
CONSTRUCTION
MATERIALS — 0.0% (a) |
|
|
|
|
|
Traverse Midstream Partners LLC, Senior Secured 2017 Term Loan, 3 Month USD SOFR + 4.25%, 8.80%, 9/27/2024
(c)
|
|
|
254,526
|
|
254,366
|
See accompanying notes to financial statements.
86
SPDR DOUBLELINE
TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2022 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
CONSUMER
FINANCE — 0.0% (a) |
|
|
|
|
|
Amentum
Government Services Holdings LLC: |
|
|
|
|
|
Senior Secured 2022 Term Loan, 3 Month USD SOFR + 4.00%, 8.76%, 2/15/2029
(c)
|
|
|
$
89,550 |
|
$
87,479 |
Senior Secured Term Loan B, 3 Month USD LIBOR + 4.00%, 8.73%, 1/29/2027
(c)
|
|
|
293,284
|
|
287,540
|
|
|
|
|
|
375,019
|
CONTAINERS
& PACKAGING — 0.1% |
|
|
|
|
|
Charter NEX U.S., Inc., Senior Secured 2021 Term Loan, 1 Month USD LIBOR + 3.75%, 8.13%, 12/1/2027
(c)
|
|
|
299,662
|
|
291,633
|
Pretium
PKG Holdings, Inc.: |
|
|
|
|
|
Senior Secured 2021 1st Lien Term Loan, 3 Month USD LIBOR + 4.00%, 7.74%, 10/2/2028
(c)
|
|
|
217,800
|
|
174,707
|
Senior Secured 2021 2nd Lien Term Loan, 3 Month USD LIBOR + 6.75%, 11.48%, 10/1/2029
(c)
|
|
|
45,000
|
|
28,069
|
TricorBraun Holdings, Inc., Senior Secured 2021 Term Loan, 1 Month USD LIBOR + 3.25%, 7.63%, 3/3/2028
(c)
|
|
|
324,213
|
|
310,113
|
Trident TPI Holdings, Inc., Senior Secured 2021 Incremental Term Loan, 3 Month USD LIBOR + 4.00%, 8.73%, 9/15/2028
(c)
|
|
|
69,163
|
|
66,582
|
|
|
|
|
|
871,104
|
COSMETICS
& TOILETRIES — 0.0% (a) |
|
|
|
|
|
Solis IV BV, Senior Secured USD Term Loan B1, 3 Month USD SOFR + 3.50%, 7.86%, 2/26/2029
(c)
|
|
|
318,400
|
|
281,755
|
DISTRIBUTION/WHOLESALE
— 0.0% (a) |
|
|
|
|
|
BCPE Empire Holdings, Inc., Senior Secured 2022 Incremental Term Loan, 1 Month USD SOFR + 4.63%, 9.05%, 6/11/2026
(c)
|
|
|
34,738
|
|
33,869
|
Security
Description |
|
|
Principal
Amount |
|
Value
|
DISTRIBUTORS
— 0.0% (a) |
|
|
|
|
|
American Tire Distributors Holdings, Inc., Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 6.25%, 10.61%, 10/20/2028
(c)
|
|
|
$
163,762 |
|
$
150,662 |
DIVERSIFIED
CONSUMER SERVICES — 0.0% (a) |
|
|
|
|
|
Ascend
Learning LLC: |
|
|
|
|
|
Senior Secured 2021 2nd Lien Term Loan, 1 Month USD LIBOR + 5.75%, 10.13%, 12/10/2029
(c)
|
|
|
64,708
|
|
55,999
|
Senior Secured 2021 Term Loan, 1 Month USD LIBOR + 3.50%, 7.88%, 12/11/2028
(c)
|
|
|
358,817
|
|
340,153
|
Mister Car Wash Holdings, Inc., Senior Secured 2019 Term Loan B, 1 Month USD LIBOR + 3.00%, 7.42%, 5/14/2026
(c)
|
|
|
340,098
|
|
335,967
|
|
|
|
|
|
732,119
|
DIVERSIFIED
FINANCIAL SERVICES — 0.1% |
|
|
|
|
|
AllSpring Buyer LLC, Senior Secured Term Loan B, 3 Month USD LIBOR + 3.00%, 7.75%, 11/1/2028
(c)
|
|
|
242,122
|
|
239,277
|
Astra
Acquisition Corp.: |
|
|
|
|
|
Senior Secured 2021 1st Lien Term Loan, 1 Month USD LIBOR + 5.25%, 9.63%, 10/25/2028
(c)
|
|
|
139,181
|
|
123,523
|
Senior Secured 2021 2nd Lien Term Loan, 1 Month USD LIBOR + 8.88%, 13.26%, 10/25/2029
(c)
|
|
|
159,962
|
|
143,966
|
Castlelake Aviation Ltd., Senior Secured Term Loan B, 3 Month USD LIBOR + 2.75%, 7.52%, 10/22/2026
(c)
|
|
|
342,400
|
|
339,984
|
Clydesdale Acquisition Holdings, Inc., Senior Secured Term Loan B, 1 Month USD SOFR + 4.18%, 8.60%, 4/13/2029
(c)
|
|
|
298,500
|
|
285,030
|
Deerfield Dakota Holding LLC, Senior Secured 2020 USD Term Loan B, 1 Month USD SOFR + 3.75%, 8.07%, 4/9/2027
(c)
|
|
|
419,987
|
|
393,280
|
See accompanying notes to financial statements.
87
SPDR DOUBLELINE
TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2022 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
DirecTV Financing LLC, Senior Secured Term Loan, 1 Month USD LIBOR + 5.00%, 9.38%, 8/2/2027
(c)
|
|
|
$
241,453 |
|
$
235,593 |
HighTower Holdings LLC, Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 4.00%, 8.28%, 4/21/2028
(c)
|
|
|
330,812
|
|
304,622
|
|
|
|
|
|
2,065,275
|
DIVERSIFIED
TELECOMMUNICATION SERVICES — 0.0% (a) |
|
|
|
|
|
CenturyLink, Inc., Senior Secured 2020 Term Loan B, 1 Month USD LIBOR + 2.25%, 6.63%, 3/15/2027
(c)
|
|
|
166,995
|
|
158,899
|
Cincinnati Bell, Inc., Senior Secured 2021 Term Loan B2, 1 Month USD SOFR + 3.25%, 7.67%, 11/22/2028
(c)
|
|
|
68,965
|
|
67,862
|
Intelsat Jackson Holdings SA, Senior Secured 2021 Exit Term Loan B, 6 Month USD SOFR + 4.25%, 7.44%, 2/1/2029
(c)
|
|
|
298,848
|
|
289,135
|
Telesat Canada, Senior Secured Term Loan B5, 3 Month USD LIBOR + 2.75%, 7.17%, 12/7/2026
(c)
|
|
|
102,573
|
|
48,392
|
|
|
|
|
|
564,288
|
ELECTRICAL
EQUIPMENT — 0.0% (a) |
|
|
|
|
|
Gates Global LLC, Senior Secured 2022 Term Loan B4, 1 Month USD SOFR + 3.50%, 7.82%, 11/16/2029
(c)
|
|
|
59,850
|
|
59,532
|
ELECTRONIC
EQUIPMENT, INSTRUMENTS & COMPONENTS — 0.0% (a) |
|
|
|
|
|
Compass Power Generation LLC, Senior Secured 2022 Term Loan B2, 1 Month USD SOFR + 4.25%, 8.69%, 4/14/2029
(c)
|
|
|
225,533
|
|
224,172
|
Security
Description |
|
|
Principal
Amount |
|
Value
|
Mirion Technologies, Inc., Senior Secured 2021 Term Loan, 6 Month USD LIBOR + 2.75%, 7.90%, 10/20/2028
(c)
|
|
|
$
242,550 |
|
$
238,652 |
|
|
|
|
|
462,824
|
ENERGY
EQUIPMENT & SERVICES — 0.0% (a) |
|
|
|
|
|
Carnival Corp., Senior Secured USD Term Loan B, 1 Month USD LIBOR + 3.00%, 7.38%, 6/30/2025
(c)
|
|
|
141,375
|
|
135,947
|
Granite Holdings U.S. Acquisition Co., Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 4.00%, 8.75%, 9/30/2026
(c)
|
|
|
351,491
|
|
351,710
|
|
|
|
|
|
487,657
|
ENTERTAINMENT
— 0.1% |
|
|
|
|
|
AMC Entertainment Holdings, Inc., Senior Secured 2019 Term Loan B, 1 Month USD LIBOR + 3.00%, 7.27%, 4/22/2026
(c)
|
|
|
49,187
|
|
26,894
|
Fertitta Entertainment LLC, Senior Secured 2022 Term Loan B, 1 Month USD SOFR + 4.00%, 8.32%, 1/27/2029
(c)
|
|
|
233,237
|
|
222,218
|
Formula One Holdings Ltd., Senior Secured Term Loan B, 3 Month USD SOFR + 3.25%, 7.57%, 1/15/2030
(c)
|
|
|
260,000
|
|
260,195
|
NASCAR Holdings, Inc, Senior Secured Term Loan B, 1 Month USD LIBOR + 2.50%, 6.88%, 10/19/2026
(c)
|
|
|
205,972
|
|
205,763
|
Sweetwater Borrower LLC, Senior Secured Term Loan B, 1 Month USD LIBOR + 4.25%, 8.69%, 8/7/2028
(c)
|
|
|
84,164
|
|
78,273
|
|
|
|
|
|
793,343
|
FINANCIAL
SERVICES — 0.0% (a) |
|
|
|
|
|
Greystone Select Financial LLC, Senior Secured Term Loan B, 3 Month USD LIBOR + 5.00%, 9.23%, 6/16/2028
(c)
|
|
|
88,062
|
|
84,979
|
See accompanying notes to financial statements.
88
SPDR DOUBLELINE
TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2022 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
FOOD
& STAPLES RETAILING — 0.0% (a) |
|
|
|
|
|
Monogram Food Solutions LLC, Senior Secured Term Loan B, 1 Month USD LIBOR + 4.00%, 8.44%, 8/28/2028
(c)
|
|
|
$
257,400 |
|
$
249,035 |
United Natural Foods, Inc., Senior Secured Term Loan B, 1 Month USD SOFR + 3.25%, 7.69%, 10/22/2025
(c)
|
|
|
94,646
|
|
94,546
|
|
|
|
|
|
343,581
|
FOOD-MISC/DIVERSIFIED
— 0.0% (a) |
|
|
|
|
|
H Food Holdings LLC, Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 3.69%, 8.07%, 5/23/2025
(c)
|
|
|
319,882
|
|
285,775
|
HEALTH
CARE EQUIPMENT & SUPPLIES — 0.1% |
|
|
|
|
|
Bausch & Lomb, Inc., Senior Secured Term Loan, 3 Month USD SOFR + 3.25%, 7.84%, 5/10/2027
(c)
|
|
|
323,525
|
|
308,613
|
Gainwell Acquisition Corp., Senior Secured Term Loan B, 3 Month USD LIBOR + 4.00%, 8.73%, 10/1/2027
(c)
|
|
|
420,147
|
|
395,464
|
Zelis Healthcare Corp., Senior Secured 2021 Term Loan, 1 Month USD LIBOR + 3.50%, 7.88%, 9/30/2026
(c)
|
|
|
321,257
|
|
318,346
|
|
|
|
|
|
1,022,423
|
HEALTH
CARE PROVIDERS & SERVICES — 0.1% |
|
|
|
|
|
Air Methods Corporation, Senior Secured 2017 Term Loan B, 3 Month USD LIBOR + 3.50%, 8.23%, 4/22/2024
(c)
|
|
|
121,665
|
|
68,908
|
Aveanna
Healthcare LLC: |
|
|
|
|
|
Senior Secured 2021 2nd Lien Term Loan, 1 Month USD LIBOR + 7.00%, 11.39%, 12/10/2029
(c)
|
|
|
110,000
|
|
66,000
|
Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 3.75%, 8.14%, 7/17/2028
(c)
|
|
|
87,373
|
|
66,160
|
Security
Description |
|
|
Principal
Amount |
|
Value
|
CHG Healthcare Services, Inc., Senior Secured 2021 Term Loan, 1 Month USD LIBOR + 3.25%, 7.63%, 9/29/2028
(c)
|
|
|
$
256,750 |
|
$
251,741 |
Envision
Healthcare Corp.: |
|
|
|
|
|
Senior Secured 2022 Second Out Term Loan, 3 Month USD SOFR + 4.25%, 8.83%, 3/31/2027
(c)
|
|
|
108,374
|
|
37,931
|
Senior Secured 2022 Third Out Term Loan, 3 Month USD SOFR + 3.75%, 8.33%, 3/31/2027
(c)
|
|
|
265,349
|
|
70,759
|
Global
Medical Response, Inc.: |
|
|
|
|
|
Senior Secured 2017 Incremental Term Loan, 1 Month USD LIBOR + 2.25%, 8.63%, 3/14/2025
(c)
|
|
|
108,585
|
|
77,593
|
Senior Secured 2020 Term Loan B, 1 Month USD LIBOR + 4.25%, 8.42%, 10/2/2025
(c)
|
|
|
121,298
|
|
85,743
|
Heartland Dental LLC, Senior Secured 2021 Incremental Term Loan, 1 Month USD LIBOR + 4.00%, 8.39%, 4/30/2025
(c)
|
|
|
288,077
|
|
268,416
|
Horizon Therapeutics USA, Inc., Senior Secured 2021 Term Loan B2, 1 Month USD LIBOR + 1.75%, 6.19%, 3/15/2028
(c)
|
|
|
255,450
|
|
255,519
|
ICON Luxembourg SARL, Senior Secured LUX Term Loan, 3 Month USD LIBOR + 2.25%, 7.00%, 7/3/2028
(c)
|
|
|
149,410
|
|
149,149
|
MED ParentCo LP, Senior Secured 1st Lien Term Loan, 1 Month USD LIBOR + 4.25%, 8.63%, 8/31/2026
(c)
|
|
|
186,624
|
|
160,103
|
Pediatric
Associates Holding Company LLC: |
|
|
|
|
|
Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 3.25%, 7.63%, 12/29/2028
(c)
|
|
|
211,168
|
|
201,049
|
Senior Secured 2022 Delayed Draw Term Loan, 1 Month USD LIBOR + 3.25%, 5.43%, 12/29/2028
(c)
|
|
|
15,998
|
|
15,231
|
See accompanying notes to financial statements.
89
SPDR DOUBLELINE
TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2022 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
PRA Health Sciences, Inc., Senior Secured US Term Loan, 3 Month USD LIBOR + 2.25%, 7.00%, 7/3/2028
(c)
|
|
|
$
37,226 |
|
$
37,161 |
RegionalCare Hospital Partners Holdings, Inc., Senior Secured 2018 Term Loan B, 3 Month USD LIBOR + 3.75%, 8.16%, 11/16/2025
(c)
|
|
|
212,714
|
|
201,042
|
|
|
|
|
|
2,012,505
|
HOME
FURNISHINGS — 0.0% (a) |
|
|
|
|
|
AI
Aqua Merger Sub, Inc.: |
|
|
|
|
|
Senior Secured 2021 1st Lien Term Loan B, 1 Month USD SOFR + 3.75%, 7.97%, 7/31/2028
(c)
|
|
|
139,300
|
|
131,551
|
Senior Secured 2022 Delayed Draw Term loan, 7/31/2028
(c)
|
|
|
1,296
|
|
1,231
|
Senior Secured 2022 Term Loan B, 3 Month USD SOFR + 3.75%, 7.84%, 7/31/2028
(c)
|
|
|
20
|
|
19
|
|
|
|
|
|
132,801
|
HOTELS,
RESTAURANTS & LEISURE — 0.1% |
|
|
|
|
|
Alterra Mountain Co., Senior Secured 2021 Series B-2 Consenting Term Loan, 1 Month USD LIBOR + 3.50%, 7.88%, 8/17/2028
(c)
|
|
|
168,784
|
|
167,149
|
ClubCorp Holdings, Inc., Senior Secured 2017 Term Loan B, 3 Month USD LIBOR + 2.75%, 7.48%, 9/18/2024
(c)
|
|
|
153,778
|
|
139,209
|
Penn National Gaming, Inc., Senior Secured 2022 Term Loan B, 1 Month USD SOFR + 2.75%, 7.17%, 5/3/2029
(c)
|
|
|
74,625
|
|
74,008
|
Peraton Corp., Senior Secured Term Loan B, 1 Month USD LIBOR + 3.75%, 8.13%, 2/1/2028
(c)
|
|
|
421,633
|
|
412,498
|
Playa Resorts Holding B.V., Senior Secured 2022 Term Loan B, 3 Month USD SOFR + 4.25%, 8.58%, 1/5/2029
(c)
|
|
|
160,000
|
|
156,267
|
Security
Description |
|
|
Principal
Amount |
|
Value
|
Scientific Games International, Inc., Senior Secured 2022 USD Term Loan, 1 Month USD SOFR + 3.00%, 7.42%, 4/14/2029
(c)
|
|
|
$
139,300 |
|
$
137,758 |
Travel Leaders Group LLC, Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 4.00%, 8.38%, 1/25/2024
(c)
|
|
|
119,056
|
|
109,457
|
Travelport
Finance (Luxembourg) SARL: |
|
|
|
|
|
Senior Secured 2020 Super Priority Term Loan, 3 Month USD LIBOR + 1.50%, 6.23%, 2/28/2025
(c)
|
|
|
302,246
|
|
303,312
|
Senior Secured 2021 Consented Term Loan, 3 Month USD LIBOR + 6.75%, 11.48%, 5/29/2026
(c)
|
|
|
255
|
|
175
|
|
|
|
|
|
1,499,833
|
HOUSEHOLD
DURABLES — 0.0% (a) |
|
|
|
|
|
Springs Windows Fashions LLC, Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 4.00%, 8.75%, 10/6/2028
(c)
|
|
|
117,975
|
|
96,946
|
HOUSEHOLD
PRODUCTS — 0.0% (a) |
|
|
|
|
|
Conair Holdings LLC, Senior Secured Term Loan B, 3 Month USD LIBOR + 3.75%, 8.48%, 5/17/2028
(c)
|
|
|
182,688
|
|
154,599
|
TGP Holdings III LLC, Senior Secured 2021 Term Loan, 1 Month USD LIBOR + 3.25%, 7.63%, 6/29/2028
(c)
|
|
|
90,195
|
|
72,582
|
|
|
|
|
|
227,181
|
INDEPENDENT
POWER PRODUCERS & ENERGY TRADERS — 0.0% (a) |
|
|
|
|
|
Calpine Corp., Senior Secured 2019 Term Loan B10, 1 Month USD LIBOR + 2.00%, 6.38%, 8/12/2026
(c)
|
|
|
77,400
|
|
76,544
|
INSURANCE
— 0.1% |
|
|
|
|
|
Acrisure
LLC: |
|
|
|
|
|
See accompanying notes to financial statements.
90
SPDR DOUBLELINE
TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2022 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
Senior Secured 2020 Term Loan B, 1 Month USD LIBOR + 3.50%, 7.88%, 2/15/2027
(c)
|
|
|
$
303,572 |
|
$
285,602 |
Senior Secured 2021 First Lien Term Loan B, 1 Month USD LIBOR + 4.25%, 8.63%, 2/15/2027
(c)
|
|
|
138,600
|
|
134,499
|
Alliant Holdings Intermediate LLC, Senior Secured 2021 Term Loan B4, 1 Month USD LIBOR + 3.50%, 7.85%, 11/6/2027
(c)
|
|
|
153,062
|
|
149,810
|
AmWINS Group, Inc., Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 2.25%, 6.63%, 2/19/2028
(c)
|
|
|
310,106
|
|
304,994
|
AssuredPartners,
Inc.: |
|
|
|
|
|
Senior Secured 2020 Term Loan B, 1 Month USD LIBOR + 3.50%, 7.88%, 2/12/2027
(c)
|
|
|
321,131
|
|
312,636
|
Senior Secured 2022 Term Loan, 1 Month USD SOFR + 3.50%, 7.82%, 2/12/2027
(c)
|
|
|
104,213
|
|
101,451
|
OneDigital Borrower LLC, Senior Secured 2021 Term Loan, 3 Month USD SOFR + 4.25%, 8.49%, 11/16/2027
(c)
|
|
|
362,133
|
|
343,121
|
|
|
|
|
|
1,632,113
|
INTERACTIVE
MEDIA & SERVICES — 0.0% (a) |
|
|
|
|
|
Rentpath, Inc., Senior Secured 2021 Stub Current Face Term Loan, 4/1/2028
(g)
|
|
|
24,474
|
|
367
|
INTERNET
& CATALOG RETAIL — 0.0% (a) |
|
|
|
|
|
PUG LLC, Senior Secured USD Term Loan, 1 Month USD LIBOR + 3.50%, 7.88%, 2/12/2027
(c)
|
|
|
311,976
|
|
259,720
|
INTERNET
& TELECOM — 0.0% (a) |
|
|
|
|
|
Cablevision Lightpath LLC, Senior Secured Term Loan B, 1 Month USD LIBOR + 3.25%, 7.57%, 11/30/2027
(c)
|
|
|
387,100
|
|
371,376
|
Security
Description |
|
|
Principal
Amount |
|
Value
|
CNT Holdings I Corp., Senior Secured 2020 Term Loan, 3 Month USD SOFR + 3.50%, 7.24%, 11/8/2027
(c)
|
|
|
$
216,150 |
|
$
209,762 |
Go Daddy Operating Company LLC, Senior Secured 2022 Term Loan B5, 1 Month USD SOFR + 3.25%, 7.57%, 11/9/2029
(c)
|
|
|
50,000
|
|
49,982
|
|
|
|
|
|
631,120
|
IT
SERVICES — 0.1% |
|
|
|
|
|
Access CIG LLC, Senior Secured 2018 1st Lien Term Loan, 3 Month USD LIBOR + 3.75%, 7.82%, 2/27/2025
(c)
|
|
|
78,939
|
|
77,499
|
Blackhawk Network Holdings, Inc., Senior Secured 2018 1st Lien Term Loan, 3 Month USD SOFR + 3.00%, 7.08%, 6/15/2025
(c)
|
|
|
304,171
|
|
297,192
|
VS Buyer LLC, Senior Secured Term Loan B, 1 Month USD LIBOR + 3.00%, 7.38%, 2/28/2027
(c)
|
|
|
505,901
|
|
492,938
|
|
|
|
|
|
867,629
|
LEISURE
INDUSTRY — 0.0% (a) |
|
|
|
|
|
Carnival Corp., Senior Secured 2021 Incremental Term Loan B, 1 Month USD LIBOR + 3.25%, 7.63%, 10/18/2028
(c)
|
|
|
293,895
|
|
275,968
|
LEISURE&REC/GAMES
— 0.0% (a) |
|
|
|
|
|
Scientific Games Holdings LP, Senior Secured 2022 USD Term Loan B, 3 Month USD SOFR + 3.50%, 7.10%, 4/4/2029
(c)
|
|
|
154,613
|
|
147,824
|
LIFE
SCIENCES TOOLS & SERVICES — 0.0% (a) |
|
|
|
|
|
eResearchTechnology, Inc., Senior Secured 2020 1st Lien Term Loan, 1 Month USD LIBOR + 4.50%, 8.88%, 2/4/2027
(c)
|
|
|
29,471
|
|
26,091
|
See accompanying notes to financial statements.
91
SPDR DOUBLELINE
TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2022 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
Parexel International Corp., Senior Secured 2021 1st Lien Term Loan, 1 Month USD LIBOR + 3.25%, 7.63%, 11/15/2028
(c)
|
|
|
$
382,113 |
|
$
368,846 |
|
|
|
|
|
394,937
|
MACHINERY
— 0.1% |
|
|
|
|
|
Alliance Laundry Systems LLC, Senior Secured Term Loan B, 3 Month USD LIBOR + 3.50%, 7.41%, 10/8/2027
(c)
|
|
|
116,314
|
|
114,191
|
American Trailer World Corp., Senior Secured Term Loan B, 1 Month USD SOFR + 3.75%, 8.07%, 3/3/2028
(c)
|
|
|
74,018
|
|
64,334
|
Columbus McKinnon Corp., Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 2.75%, 7.50%, 5/14/2028
(c)
|
|
|
31,442
|
|
31,088
|
Filtration Group Corporation, Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 3.00%, 7.38%, 3/29/2025
(c)
|
|
|
388,250
|
|
385,016
|
Grinding Media Inc., Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 4.00%, 7.70%, 10/12/2028
(c)
|
|
|
237,000
|
|
221,595
|
Hillman
Group, Inc.: |
|
|
|
|
|
Senior Secured 2021 Delayed Draw Term Loan, 1 Month USD LIBOR + 2.75%, 7.14%, 7/14/2028
(c)
|
|
|
2,267
|
|
2,205
|
Senior Secured 2021 Term Loan B1, 1 Month USD LIBOR + 2.75%, 7.14%, 7/14/2028
(c)
|
|
|
118,292
|
|
115,060
|
Madison IAQ LLC, Senior Secured Term Loan, 3 Month USD LIBOR + 3.25%, 7.99%, 6/21/2028
(c)
|
|
|
359,525
|
|
335,394
|
Titan Acquisition Ltd., Senior Secured 2018 Term Loan B, 6 Month USD LIBOR + 3.00%, 8.15%, 3/28/2025
(c)
|
|
|
283,233
|
|
265,332
|
|
|
|
|
|
1,534,215
|
Security
Description |
|
|
Principal
Amount |
|
Value
|
MACHINERY-CONSTRUCTION
& MINING — 0.0% (a) |
|
|
|
|
|
Clear Channel Outdoor Holdings, Inc., Senior Secured Term Loan B, 3 Month USD LIBOR + 3.50%, 7.91%, 8/21/2026
(c)
|
|
|
$
238,946 |
|
$
218,188 |
MEDIA
— 0.1% |
|
|
|
|
|
Charter Communications Operating LLC, Senior Secured 2019 Term Loan B2, 1 Month USD LIBOR + 1.75%, 6.14%, 2/1/2027
(c)
|
|
|
183,107
|
|
179,079
|
Diamond Sports Group LLC, Senior Secured 2022 2nd Lien Term Loan, 1 Month USD SOFR + 3.25%, 7.57%, 8/24/2026
(c)
|
|
|
171,496
|
|
22,009
|
NEP/NCP Holdco, Inc., Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 3.25%, 7.63%, 10/20/2025
(c)
|
|
|
143,136
|
|
124,111
|
Radiate Holdco LLC, Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 3.25%, 7.63%, 9/25/2026
(c)
|
|
|
227,080
|
|
185,508
|
Sinclair Television Group, Inc., Senior Secured Term Loan B2B, 1 Month USD LIBOR + 2.50%, 6.89%, 9/30/2026
(c)
|
|
|
127,749
|
|
122,128
|
Univision Communications, Inc., Senior Secured 2022 First Lien Term Loan B, 3 Month USD SOFR + 4.25%, 8.83%, 6/24/2029
(c)
|
|
|
44,775
|
|
44,350
|
Ziggo Financing Partnership, Senior Secured USD Term Loan I, 1 Month USD LIBOR + 2.50%, 6.82%, 4/30/2028
(c)
|
|
|
190,000
|
|
185,711
|
|
|
|
|
|
862,896
|
METALS
& MINING — 0.0% (a) |
|
|
|
|
|
Tiger Acquisition LLC, Senior Secured 2021 Term Loan, 1 Month USD LIBOR + 3.25%, 7.63%, 6/1/2028
(c)
|
|
|
116,501
|
|
110,902
|
See accompanying notes to financial statements.
92
SPDR DOUBLELINE
TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2022 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
MRI/MEDICAL
DIAG IMAGING — 0.0% (a) |
|
|
|
|
|
Radiology Partners, Inc, Senior Secured 2018 1st Lien Term Loan B, 1 Month USD LIBOR + 4.25%, 8.64%, 7/9/2025
(c)
|
|
|
$
306,250 |
|
$
258,495 |
OIL,
GAS & CONSUMABLE FUELS — 0.0% (a) |
|
|
|
|
|
Gulf Finance LLC, Senior Secured 2021 Term Loan, 1 Month USD LIBOR + 6.75%, 11.14%, 8/25/2026
(c)
|
|
|
174,068
|
|
164,784
|
Oryx Midstream Services Permian Basin LLC, Senior Secured Term Loan B, 3 Month USD LIBOR + 3.25%, 7.92%, 10/5/2028
(c)
|
|
|
186,299
|
|
184,392
|
Pacific Gas & Electric Co., Senior Secured 2020 Term Loan, 1 Month USD LIBOR + 3.00%, 7.44%, 6/23/2025
(c)
|
|
|
210,128
|
|
208,815
|
Waterbridge Midstream Operating LLC, Senior Secured Term Loan B, 3 Month USD LIBOR + 5.75%, 9.13%, 6/22/2026
(c)
|
|
|
166,557
|
|
160,545
|
|
|
|
|
|
718,536
|
PERSONAL
PRODUCTS — 0.0% (a) |
|
|
|
|
|
Kronos Acquisition Holdings, Inc., Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 3.75%, 8.48%, 12/22/2026
(c)
|
|
|
276,506
|
|
263,780
|
PHARMACEUTICALS
— 0.1% |
|
|
|
|
|
Jazz Financing Lux SARL, Senior Secured USD Term Loan, 1 Month USD LIBOR + 3.50%, 7.88%, 5/5/2028
(c)
|
|
|
510,730
|
|
507,019
|
Organon & Co., Senior Secured USD Term Loan, 3 Month USD LIBOR + 3.00%, 6/2/2028
(c)
|
|
|
534,386
|
|
530,523
|
Pathway Vet Alliance LLC, Senior Secured 2021 Term Loan, 3 Month USD LIBOR + 3.75%, 8.13%, 3/31/2027
(c)
|
|
|
191,363
|
|
160,425
|
Security
Description |
|
|
Principal
Amount |
|
Value
|
Perrigo Investments LLC, Senior Secured Term Loan B, 1 Month USD SOFR + 2.50%, 6.82%, 4/20/2029
(c)
|
|
|
$
104,475 |
|
$
104,083 |
PetVet Care Centers LLC, Senior Secured 2021 Term Loan B3, 1 Month USD LIBOR + 3.50%, 7.88%, 2/14/2025
(c)
|
|
|
221,804
|
|
209,139
|
Southern Veterinary Partners LLC, Senior Secured Term Loan, 1 Month USD LIBOR + 4.00%, 8.38%, 10/5/2027
(c)
|
|
|
54,220
|
|
52,074
|
|
|
|
|
|
1,563,263
|
PIPELINES
— 0.0% (a) |
|
|
|
|
|
BCP Renaissance Parent LLC, Senior Secured 2022 Term Loan B3, 3 Month USD SOFR + 3.50%, 8.04%, 10/31/2026
(c)
|
|
|
138,553
|
|
137,489
|
CQP Holdco LP, Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 3.75%, 8.48%, 6/5/2028
(c)
|
|
|
273,634
|
|
272,779
|
Freeport LNG Investments, LLLP, Senior Secured Term Loan B, 3 Month USD LIBOR + 3.50%, 7.74%, 12/21/2028
(c)
|
|
|
211,603
|
|
201,699
|
GIP II Blue Holding LP, Senior Secured Term Loan B, 3 Month USD LIBOR + 4.50%, 9.23%, 9/29/2028
(c)
|
|
|
114,422
|
|
113,623
|
|
|
|
|
|
725,590
|
PROFESSIONAL
SERVICES — 0.0% (a) |
|
|
|
|
|
Dun & Bradstreet Corp. (The), Senior Secured 2022 Incremental Term Loan B2, 1 Month USD SOFR + 3.25%, 7.57%, 1/18/2029
(c)
|
|
|
69,475
|
|
68,531
|
Proofpoint, Inc., Senior Secured 1st Lien Term Loan, 3 Month USD LIBOR + 3.25%, 7.98%, 8/31/2028
(c)
|
|
|
336,600
|
|
324,490
|
See accompanying notes to financial statements.
93
SPDR DOUBLELINE
TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2022 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
Trans Union LLC, Senior Secured 2021 Term Loan B6, 1 Month USD LIBOR + 2.25%, 6.63%, 12/1/2028
(c)
|
|
|
$
137,562 |
|
$
136,444 |
|
|
|
|
|
529,465
|
PUBLISHING-BOOKS
— 0.0% (a) |
|
|
|
|
|
Getty Images, Inc., Senior Secured 2019 USD Term Loan B, 1 Month USD LIBOR + 4.50%, 8.89%, 2/19/2026
(c)
|
|
|
163,571
|
|
163,469
|
RETAIL-BUILDING
PRODUCTS — 0.0% (a) |
|
|
|
|
|
LBM Acquisition LLC, Senior Secured Term Loan B, 6 Month USD LIBOR + 3.75%, 7.12%, 12/17/2027
(c)
|
|
|
125,975
|
|
109,776
|
Park River Holdings, Inc., Senior Secured Term Loan, 3 Month USD LIBOR + 3.25%, 6.99%, 12/28/2027
(c)
|
|
|
120,573
|
|
105,953
|
|
|
|
|
|
215,729
|
SEMICONDUCTORS
& SEMICONDUCTOR EQUIPMENT — 0.0% (a) |
|
|
|
|
|
Bright Bidco B.V., Senior Secured 2022 Exit Term Loan, 3 Month USD SOFR + 8.00%, 12.09%, 10/31/2027
(c)
|
|
|
23,324
|
|
20,487
|
Ultra Clean Holdings, Inc., Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 3.75%, 8.13%, 8/27/2025
(c)
|
|
|
135,356
|
|
135,017
|
|
|
|
|
|
155,504
|
SOFTWARE
— 0.3% |
|
|
|
|
|
Applied
Systems, Inc.: |
|
|
|
|
|
Senior Secured 2021 2nd Lien Term Loan, 3 Month USD SOFR + 5.50%, 10.23%, 9/19/2025
(c)
|
|
|
210,000
|
|
208,819
|
Senior Secured 2022 Extended 1st Lien Term Loan, 3 Month USD SOFR + 4.50%, 9.08%, 9/18/2026
(c)
|
|
|
277,890
|
|
276,987
|
Artera Services LLC, Senior Secured Incremental Term Loan, 3 Month USD LIBOR + 3.50%, 8.23%, 3/6/2025
(c)
|
|
|
187,076
|
|
153,871
|
Security
Description |
|
|
Principal
Amount |
|
Value
|
Atlas Purchaser, Inc., Senior Secured 2021 Term Loan, 3 Month USD LIBOR + 5.25%, 9.81%, 5/8/2028
(c)
|
|
|
$
95,555 |
|
$
67,665 |
Banff Merger Sub, Inc., Senior Secured 2021 USD Term Loan, 1 Month USD LIBOR + 3.75%, 8.13%, 10/2/2025
(c)
|
|
|
176,289
|
|
169,198
|
Castle U.S. Holding Corp., Senior Secured USD Term Loan B, 1 Month USD LIBOR + 3.75%, 8.13%, 1/29/2027
(c)
|
|
|
313,529
|
|
195,368
|
CDK Global, Inc., Senior Secured 2022 USD Term Loan B, 3 Month USD SOFR + 4.50%, 9.08%, 7/6/2029
(c)
|
|
|
145,000
|
|
143,937
|
Cengage Learning, Inc., Senior Secured 2021 Term Loan B, 6 Month USD LIBOR + 4.75%, 7.81%, 7/14/2026
(c)
|
|
|
339,856
|
|
306,455
|
Constant Contact, Inc., Senior Secured Term Loan, 3 Month USD LIBOR + 4.00%, 7.91%, 2/10/2028
(c)
|
|
|
114,612
|
|
101,575
|
Cornerstone OnDemand, Inc., Senior Secured 2021 Term Loan, 1 Month USD LIBOR + 3.75%, 8.13%, 10/16/2028
(c)
|
|
|
337,450
|
|
302,861
|
DCert
Buyer, Inc.: |
|
|
|
|
|
Senior Secured 2019 Term Loan B, 6 Month USD SOFR + 4.00%, 8.70%, 10/16/2026
(c)
|
|
|
93,086
|
|
90,127
|
Senior Secured 2021 2nd Lien Term Loan, 6 Month USD LIBOR + 7.00%, 11.70%, 2/19/2029
(c)
|
|
|
55,000
|
|
50,435
|
Finastra
USA, Inc.: |
|
|
|
|
|
Senior Secured USD 1st Lien Term Loan, 3 Month USD LIBOR + 3.50%, 6.87%, 6/13/2024
(c)
|
|
|
255,987
|
|
227,081
|
Senior Secured USD 2nd Lien Term Loan, 3 Month USD LIBOR + 7.25%, 10.62%, 6/13/2025
(c)
|
|
|
105,000
|
|
78,825
|
First Advantage Holdings LLC, Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 2.75%, 7.13%, 1/31/2027
(c)
|
|
|
275,666
|
|
271,187
|
See accompanying notes to financial statements.
94
SPDR DOUBLELINE
TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2022 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
GoTo Group, Inc., Senior Secured Term Loan B, 1 Month USD LIBOR + 4.75%, 9.14%, 8/31/2027
(c)
|
|
|
$
128,147 |
|
$
83,039 |
Grab Holdings, Inc., Senior Secured Term Loan B, 1 Month USD LIBOR + 4.50%, 8.89%, 1/29/2026
(c)
|
|
|
299,086
|
|
296,095
|
Greeneden U.S. Holdings II LLC, Senior Secured 2020 USD Term Loan B4, 1 Month USD LIBOR + 4.00%, 8.38%, 12/1/2027
(c)
|
|
|
320,142
|
|
308,071
|
Helios Software Holdings, Inc., Senior Secured 2021 USD Term Loan B, 3 Month USD SOFR + 3.75%, 8.48%, 3/11/2028
(c)
|
|
|
268,821
|
|
264,398
|
Hyland
Software, Inc.: |
|
|
|
|
|
Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 3.50%, 7.88%, 7/1/2024
(c)
|
|
|
348,161
|
|
344,200
|
Senior Secured 2021 2nd Lien Term Loan, 1 Month USD LIBOR + 6.25%, 10.63%, 7/7/2025
(c)
|
|
|
45,000
|
|
42,795
|
I-Logic Technologies Bidco Ltd., Senior Secured 2021 USD Term Loan B, 3 Month USD SOFR + 4.00%, 8.73%, 2/16/2028
(c)
|
|
|
162,500
|
|
160,062
|
Informatica LLC, Senior Secured 2021 USD Term Loan B, 1 Month USD LIBOR + 2.75%, 7.19%, 10/27/2028
(c)
|
|
|
327,525
|
|
322,121
|
ION Trading Finance Ltd., Senior Secured 2021 USD Term Loan, 3 Month USD LIBOR + 4.75%, 9.48%, 4/3/2028
(c)
|
|
|
273,306
|
|
259,933
|
Ivanti Software, Inc., Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 4.25%, 9.01%, 12/1/2027
(c)
|
|
|
72,500
|
|
57,736
|
McAfee LLC, Senior Secured 2022 USD Term Loan B, 1 Month USD SOFR + 3.75%, 7.97%, 3/1/2029
(c)
|
|
|
278,600
|
|
260,093
|
Security
Description |
|
|
Principal
Amount |
|
Value
|
MedAssets Software Intermediate Holdings, Inc., Senior Secured 2021 Term Loan, 1 Month USD LIBOR + 4.00%, 8.38%, 12/18/2028
(c)
|
|
|
$
213,387 |
|
$
181,558 |
Mitchell
International, Inc.: |
|
|
|
|
|
Senior Secured 2021 2nd Lien Term Loan, 3 Month USD LIBOR + 6.50%, 11.23%, 10/15/2029
(c)
|
|
|
40,000
|
|
33,425
|
Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 3.75%, 8.41%, 10/15/2028
(c)
|
|
|
243,266
|
|
224,896
|
PointClickCare Technologies, Inc., Senior Secured Term Loan B, 6 Month USD LIBOR + 3.00%, 7.75%, 12/29/2027
(c)
|
|
|
142,100
|
|
138,547
|
Polaris Newco LLC, Senior Secured USD Term Loan B, 3 Month USD LIBOR + 4.00%, 8.73%, 6/2/2028
(c)
|
|
|
273,557
|
|
250,305
|
Renaissance Holding Corp., Senior Secured 2018 2nd Lien Term Loan, 1 Month USD LIBOR + 7.00%, 11.38%, 5/29/2026
(c)
|
|
|
150,000
|
|
140,374
|
Sophia LP, Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 3.25%, 8.23%, 10/7/2027
(c)
|
|
|
421,689
|
|
407,987
|
Surf Holdings LLC, Senior Secured USD Term Loan, 3 Month USD LIBOR + 3.50%, 8.23%, 3/5/2027
(c)
|
|
|
156,478
|
|
152,119
|
Ultimate Software Group, Inc., Senior Secured 2021 2nd Lien Term Loan, 1 Month USD LIBOR + 5.25%, 9.00%, 5/3/2027
(c)
|
|
|
70,000
|
|
64,592
|
|
|
|
|
|
6,636,737
|
SPECIALTY
RETAIL — 0.1% |
|
|
|
|
|
Great Outdoors Group LLC, Senior Secured 2021 Term Loan B1, 1 Month USD LIBOR + 3.75%, 8.13%, 3/6/2028
(c)
|
|
|
271,211
|
|
261,210
|
Jo-Ann Stores, Inc., Senior Secured 2021 Term Loan B1, 3 Month USD LIBOR + 4.75%, 9.08%, 7/7/2028
(c)
|
|
|
237,000
|
|
162,543
|
See accompanying notes to financial statements.
95
SPDR DOUBLELINE
TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2022 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
K-Mac Holdings Corp., Senior Secured 2021 Term Loan, 1 Month USD LIBOR + 3.50%, 7.88%, 7/21/2028
(c)
|
|
|
$
191,831 |
|
$
182,959 |
Michaels Companies, Inc., Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 4.25%, 8.98%, 4/15/2028
(c)
|
|
|
89,412
|
|
77,515
|
PetSmart, Inc., Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 3.75%, 8.13%, 2/11/2028
(c)
|
|
|
296,250
|
|
290,787
|
Rent-A-Center, Inc., Senior Secured 2021 First Lien Term Loan B, 3 Month USD LIBOR + 3.25%, 7.69%, 2/17/2028
(c)
|
|
|
167,025
|
|
161,388
|
Restoration Hardware, Inc., Senior Secured Term Loan B, 1 Month USD LIBOR + 2.50%, 6.88%, 10/20/2028
(c)
|
|
|
237,000
|
|
218,692
|
SRS Distribution, Inc., Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 3.50%, 7.88%, 6/2/2028
(c)
|
|
|
266,625
|
|
255,556
|
Staples, Inc., Senior Secured 7 Year Term Loan, 3 Month USD LIBOR + 5.00%, 9.44%, 4/16/2026
(c)
|
|
|
206,786
|
|
191,765
|
Victoria's Secret & Co., Senior Secured Term Loan B, 3 Month USD LIBOR + 3.25%, 7.98%, 8/2/2028
(c)
|
|
|
207,375
|
|
202,191
|
Whatabrands LLC, Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 3.25%, 7.63%, 8/3/2028
(c)
|
|
|
292,050
|
|
282,923
|
|
|
|
|
|
2,287,529
|
STEEL-PRODUCERS
— 0.0% (a) |
|
|
|
|
|
Phoenix
Services International LLC: |
|
|
|
|
|
Senior Secured 2022 DIP New Money Term Loan, 1 Month USD SOFR + 12.00%, 16.32%, 3/28/2023
(c)
|
|
|
40,074
|
|
38,671
|
Security
Description |
|
|
Principal
Amount |
|
Value
|
Senior Secured 2022 DIP PIK Roll Up Term Loan, 1 Month USD SOFR + 12.00%, 16.32%, 9/29/2023
(c)
|
|
|
$
59,780 |
|
$
57,688 |
Senior Secured Term Loan, 3 Month USD LIBOR + 2.75%, 10.25%, 3/1/2025
(c)
|
|
|
335,743
|
|
36,302
|
|
|
|
|
|
132,661
|
TELECOM
SERVICES — 0.0% (a) |
|
|
|
|
|
Connect Finco SARL, Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 3.50%, 7.88%, 12/11/2026
(c)
|
|
|
141,013
|
|
139,676
|
TELECOMMUNICATION
EQUIP — 0.0% (a) |
|
|
|
|
|
Cyxtera DC Holdings, Inc., Senior Secured Term Loan B, 3 Month USD LIBOR + 3.00%, 7.36%, 5/1/2024
(c)
|
|
|
296,094
|
|
253,809
|
Delta TopCo, Inc., Senior Secured 2020 2nd Lien Term Loan, 3 Month USD LIBOR + 7.25%, 11.65%, 12/1/2028
(c)
|
|
|
65,001
|
|
51,757
|
GOGO Intermediate Holdings LLC, Senior Secured Term Loan B, 3 Month USD LIBOR + 3.75%, 8.16%, 4/30/2028
(c)
|
|
|
168,494
|
|
167,266
|
|
|
|
|
|
472,832
|
THRIFTS
& MORTGAGE FINANCE — 0.0% (a) |
|
|
|
|
|
Walker & Dunlop, Inc., Senior Secured 2021 Term Loan, 1 Month USD SOFR + 2.25%, 6.67%, 12/16/2028
(c)
|
|
|
113,850
|
|
111,858
|
TRANSPORT-AIR
FREIGHT — 0.0% (a) |
|
|
|
|
|
Kestrel Bidco, Inc., Senior Secured Term Loan B, 1 Month USD LIBOR + 3.00%, 7.35%, 12/11/2026
(c)
|
|
|
120,117
|
|
110,189
|
See accompanying notes to financial statements.
96
SPDR DOUBLELINE
TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2022 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
TRANSPORT-SERVICES
— 0.1% |
|
|
|
|
|
Echo Global Logistics, Inc., Senior Secured Term Loan, 1 Month USD LIBOR + 3.500%, 7.88%, 11/23/2028
(c)
|
|
|
$
203,462 |
|
$
191,763 |
Edelman
Financial Center LLC: |
|
|
|
|
|
Senior Secured 2018 2nd Lien Term Loan, 1 Month USD LIBOR + 6.75%, 11.13%, 7/20/2026
(c)
|
|
|
91,670
|
|
82,887
|
Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 3.50%, 7.88%, 4/7/2028
(c)
|
|
|
188,063
|
|
175,980
|
Edgewater Generation LLC, Senior Secured Term Loan, 1 Month USD LIBOR + 3.75%, 8.13%, 12/13/2025
(c)
|
|
|
148,603
|
|
141,470
|
EG America LLC, Senior Secured 2018 USD Term Loan, 3 Month USD LIBOR + 4.00%, 8.73%, 2/7/2025
(c)
|
|
|
175,280
|
|
165,969
|
EG Group Ltd., Senior Secured 2021 Term Loan, 3 Month USD LIBOR + 4.25%, 7.92%, 3/31/2026
(c)
|
|
|
153,205
|
|
143,917
|
Eisner Advisory Group LLC, Senior Secured Term Loan, 1 Month USD SOFR + 4.48%, 9.69%, 7/28/2028
(c)
|
|
|
158,001
|
|
150,101
|
Element
Materials Technology Group U.S. Holdings, Inc.: |
|
|
|
|
|
Senior Secured 2022 USD Delayed Draw Term Loan B, 3 Month USD SOFR + 4.25%, 8.93%, 7/6/2029
(c)
|
|
|
41,053
|
|
40,215
|
Senior Secured 2022 USD Term Loan, 3 Month USD SOFR + 4.25%, 8.93%, 7/6/2029
(c)
|
|
|
88,947
|
|
87,131
|
Endure Digital, Inc., Senior Secured Term Loan, 1 Month USD LIBOR + 3.50%, 7.72%, 2/10/2028
(c)
|
|
|
122,269
|
|
110,348
|
Everi Holdings, Inc., Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 2.50%, 6.88%, 8/3/2028
(c)
|
|
|
113,562
|
|
112,806
|
Security
Description |
|
|
Principal
Amount |
|
Value
|
ExGen Renewables IV LLC, Senior Secured 2020 Term Loan, 3 Month USD LIBOR + 2.50%, 7.24%, 12/15/2027
(c)
|
|
|
$
198,332 |
|
$
196,741 |
LaserShip,
Inc.: |
|
|
|
|
|
Senior Secured 2021 2nd Lien Term Loan, 3 Month USD LIBOR + 7.50%, 12.23%, 5/7/2029
(c)
|
|
|
40,000
|
|
24,400
|
Senior Secured 2021 Term Loan, 3 Month USD LIBOR + 4.50%, 9.23%, 5/7/2028
(c)
|
|
|
138,250
|
|
100,173
|
|
|
|
|
|
1,723,901
|
TOTAL SENIOR FLOATING RATE LOANS (Cost
$49,749,189)
|
|
|
|
|
46,577,968
|
U.S.
GOVERNMENT AGENCY OBLIGATIONS — 26.8% |
|
|
|
|
|
Federal
Home Loan Mortgage Corp.: |
|
|
|
|
|
2.50%,
9/1/2050
|
|
|
13,533,797
|
|
11,556,711
|
3.00%,
11/1/2042
|
|
|
6,199,523
|
|
5,621,153
|
3.00%,
12/1/2042
|
|
|
5,361,535
|
|
4,812,078
|
3.00%,
1/1/2045
|
|
|
722,200
|
|
653,329
|
3.00%,
2/1/2045
|
|
|
506,206
|
|
455,039
|
3.00%,
3/1/2045
|
|
|
493,813
|
|
443,899
|
3.00%,
4/1/2045
|
|
|
14,082,482
|
|
12,717,977
|
3.00%,
5/1/2045
|
|
|
1,939,900
|
|
1,743,817
|
3.00%,
8/1/2045
|
|
|
5,618,441
|
|
5,050,535
|
3.00%,
7/1/2047
|
|
|
1,968,879
|
|
1,767,106
|
3.00%,
6/1/2051
|
|
|
18,028,080
|
|
15,902,042
|
3.50%,
2/1/2045
|
|
|
804,468
|
|
750,859
|
3.50%,
4/1/2045
|
|
|
12,082,615
|
|
11,211,901
|
3.50%,
6/1/2045
|
|
|
6,052,959
|
|
5,611,453
|
3.50%,
10/1/2045
|
|
|
6,321,464
|
|
5,860,373
|
3.50%,
2/1/2046
|
|
|
3,101,745
|
|
2,871,274
|
4.00%,
4/1/2047
|
|
|
8,842,480
|
|
8,444,293
|
4.00%,
7/1/2047
|
|
|
2,164,731
|
|
2,067,250
|
4.00%,
10/1/2047
|
|
|
4,810,376
|
|
4,593,759
|
4.50%,
6/1/2044
|
|
|
927,653
|
|
917,391
|
4.50%,
10/1/2052
|
|
|
18,156,545
|
|
17,476,725
|
Series 2021-HQA4, Class M2, CMO, SOFR30A + 2.35%, 6.28%, 12/25/2041
(b)
(c)
|
|
|
5,000,000
|
|
4,303,444
|
Series 2022-DNA2, Class M2, SOFR30A + 3.75%, 7.68%, 2/25/2042
(b)
(c)
|
|
|
9,500,000
|
|
8,990,495
|
See accompanying notes to financial statements.
97
SPDR DOUBLELINE
TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2022 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
Series 2022-DNA3, Class M1B, SOFR30A + 2.90%, 6.83%, 4/25/2042
(b)
(c)
|
|
|
$
20,000,000 |
|
$
19,765,101 |
Series 326, Class 300, CMO, 3.00%,
3/15/2044
|
|
|
10,179,085
|
|
9,182,247
|
Series 3852, Class NS, CMO, IO, REMIC, 1 Month USD LIBOR + 6.00%, 1.68%, 5/15/2041
(c)
|
|
|
3,392,618
|
|
297,461
|
Series 3889, Class VZ, CMO, REMIC, 4.00%,
7/15/2041
|
|
|
2,253,093
|
|
2,124,943
|
Series 3935, Class SJ, CMO, IO, REMIC, 1 Month USD LIBOR + 6.65%, 2.33%, 5/15/2041
(c)
|
|
|
592,063
|
|
19,774
|
Series 4120, Class KA, CMO, REMIC, 1.75%,
10/15/2032
|
|
|
5,766,920
|
|
5,351,212
|
Series 4165, Class ZT, CMO, REMIC, 3.00%,
2/15/2043
|
|
|
4,348,691
|
|
3,538,665
|
Series 4364, Class ZX, CMO, REMIC, 4.00%,
7/15/2044
|
|
|
29,855,522
|
|
28,544,958
|
Series 4434, Class LZ, CMO, REMIC, 3.00%,
2/15/2045
|
|
|
3,793,614
|
|
3,196,610
|
Series 4444, Class CZ, CMO, REMIC, 3.00%,
2/15/2045
|
|
|
13,909,917
|
|
11,872,397
|
Series 4471, Class BA, CMO, REMIC, 3.00%,
12/15/2041
|
|
|
736,840
|
|
713,452
|
Series 4471, Class GA, CMO, REMIC, 3.00%,
2/15/2044
|
|
|
3,606,559
|
|
3,375,291
|
Series 4474, Class ZX, CMO, REMIC, 4.00%,
4/15/2045
|
|
|
14,009,785
|
|
13,276,507
|
Series 4483, Class CA, CMO, REMIC, 3.00%,
6/15/2044
|
|
|
3,542,826
|
|
3,326,709
|
Series 4484, Class CD, CMO, REMIC, 1.75%,
7/15/2030
|
|
|
3,102,803
|
|
2,889,121
|
Series 4492, Class GZ, CMO, REMIC, 3.50%,
7/15/2045
|
|
|
7,788,939
|
|
7,176,269
|
Series 4504, Class CA, CMO, REMIC, 3.00%,
4/15/2044
|
|
|
3,167,725
|
|
3,001,122
|
Series 4533, Class AB, CMO, REMIC, 3.00%,
6/15/2044
|
|
|
2,968,000
|
|
2,777,556
|
Security
Description |
|
|
Principal
Amount |
|
Value
|
Series 4543, Class HG, CMO, REMIC, 2.70%,
4/15/2044
|
|
|
$
5,361,897 |
|
$
5,024,934 |
Series 4702, Class ZL, CMO, 3.00%,
7/15/2047
|
|
|
14,585,001
|
|
12,892,969
|
Series 4792, Class A, CMO, REMIC, 3.00%,
5/15/2048
|
|
|
3,058,555
|
|
2,698,854
|
Series 5130, Class SD, CMO, IO, SOFR30A + 2.60%, 0.32%, 8/25/2051
(c)
|
|
|
81,960,747
|
|
1,114,861
|
Series 5243, Class IB, 3.00%,
1/25/2051
|
|
|
17,979,262
|
|
3,021,531
|
Federal
National Mortgage Association: |
|
|
|
|
|
1.41%,
12/1/2030
|
|
|
10,000,000
|
|
7,940,434
|
1.91%,
12/1/2031
|
|
|
10,000,000
|
|
8,145,314
|
1.98%,
10/1/2033
|
|
|
19,500,000
|
|
15,549,504
|
2.22%,
12/1/2029
|
|
|
5,400,000
|
|
4,675,956
|
2.50%,
10/1/2040
|
|
|
19,268,063
|
|
16,912,561
|
2.50%,
9/1/2046
|
|
|
1,862,564
|
|
1,581,612
|
2.50%,
2/1/2047
|
|
|
4,717,108
|
|
4,083,628
|
2.50%,
11/1/2050
|
|
|
7,960,187
|
|
6,835,983
|
2.50%,
5/1/2051
|
|
|
8,411,821
|
|
7,161,062
|
2.80%,
11/1/2039
|
|
|
10,034,000
|
|
7,824,609
|
3.00%,
5/1/2035
|
|
|
3,050,419
|
|
2,817,489
|
3.00%,
10/1/2041
|
|
|
9,410,352
|
|
8,446,037
|
3.00%,
3/1/2043
|
|
|
2,255,132
|
|
2,042,620
|
3.00%,
7/1/2043
|
|
|
2,216,655
|
|
1,980,720
|
3.00%,
1/1/2045
|
|
|
69,583
|
|
62,127
|
3.00%,
3/1/2045
|
|
|
655,872
|
|
589,003
|
3.00%,
4/1/2045
|
|
|
1,339,428
|
|
1,188,212
|
3.00%,
7/1/2045
|
|
|
12,327,742
|
|
11,166,036
|
3.00%,
10/1/2046
|
|
|
2,360,997
|
|
2,119,057
|
3.00%,
2/1/2047
|
|
|
8,567,604
|
|
7,689,648
|
3.00%,
11/1/2048
|
|
|
5,247,569
|
|
4,709,831
|
3.00%,
10/1/2049
|
|
|
3,580,803
|
|
3,145,365
|
3.00%,
4/1/2053
|
|
|
11,077,822
|
|
10,038,959
|
3.50%,
9/1/2034
|
|
|
867,461
|
|
825,742
|
3.50%,
12/1/2034
|
|
|
741,361
|
|
705,706
|
3.50%,
2/1/2035
|
|
|
498,508
|
|
474,533
|
3.50%,
1/1/2045
|
|
|
5,202,958
|
|
4,851,471
|
3.50%,
2/1/2045
|
|
|
1,555,280
|
|
1,450,213
|
3.50%,
6/1/2045
|
|
|
6,335,605
|
|
5,867,752
|
3.88%,
10/1/2030
|
|
|
11,532,779
|
|
11,053,405
|
4.50%,
3/1/2044
|
|
|
707,211
|
|
698,701
|
4.50%,
6/1/2044
|
|
|
270,809
|
|
267,551
|
4.50%,
7/1/2044
|
|
|
295,544
|
|
291,988
|
4.50%,
2/1/2045
|
|
|
490,063
|
|
484,166
|
3.00%,
6/1/2051
|
|
|
16,203,966
|
|
14,252,215
|
Series 2010-109, Class N, CMO, REMIC, 3.00%,
10/25/2040
|
|
|
1,117,734
|
|
1,051,065
|
See accompanying notes to financial statements.
98
SPDR DOUBLELINE
TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2022 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
Series 2011-51, Class CI, CMO, IO, REMIC, 1 Month USD LIBOR + 6.00%, 1.61%, 6/25/2041
(c)
|
|
|
$
2,026,977 |
|
$
176,641 |
Series 2012-127, Class PA, CMO, REMIC, 2.75%,
11/25/2042
|
|
|
1,481,569
|
|
1,350,759
|
Series 2012-151, Class SB, CMO, REMIC, 1 Month USD LIBOR + 6.00%, 0.35%, 1/25/2043
(c)
|
|
|
20,907
|
|
11,364
|
Series 2013-114, Class HZ, CMO, REMIC, 3.00%,
11/25/2038
|
|
|
18,783,079
|
|
16,890,807
|
Series 2013-18, Class CD, CMO, REMIC, 1.50%,
10/25/2027
|
|
|
1,026,747
|
|
987,766
|
Series 2013-30, Class PS, CMO, REMIC, 1 Month USD LIBOR + 6.00%, 0.35%, 4/25/2043
(c)
|
|
|
611,451
|
|
376,108
|
Series 2014-21, Class GZ, CMO, REMIC, 3.00%,
4/25/2044
|
|
|
3,763,688
|
|
3,331,532
|
Series 2014-39, Class ZA, CMO, REMIC, 3.00%,
7/25/2044
|
|
|
4,519,869
|
|
4,034,162
|
Series 2015-42, Class CA, CMO, REMIC, 3.00%,
3/25/2044
|
|
|
2,284,232
|
|
2,141,741
|
Series 2016-32, Class LA, CMO, REMIC, 3.00%,
10/25/2044
|
|
|
3,644,429
|
|
3,398,187
|
Series 2016-72, Class PA, CMO, REMIC, 3.00%,
7/25/2046
|
|
|
3,747,255
|
|
3,354,322
|
Series 2016-81, Class PA, CMO, REMIC, 3.00%,
2/25/2044
|
|
|
1,935,808
|
|
1,870,365
|
Series 2016-9, Class A, CMO, REMIC, 3.00%,
9/25/2043
|
|
|
118,056
|
|
116,845
|
Series 2016-92, Class A, CMO, REMIC, 3.00%,
4/25/2042
|
|
|
4,307,452
|
|
4,141,099
|
Series 2017-87, Class BA, CMO, REMIC, 3.00%,
12/25/2042
|
|
|
1,863,071
|
|
1,818,134
|
Series 2018-M10, Class A1, 3.36%, 7/25/2028
(c)
|
|
|
1,806,839
|
|
1,782,657
|
Series 2020-47, Class GL, CMO, 2.00%,
5/25/2046
|
|
|
9,080,460
|
|
7,839,966
|
Series 2020-M12, Class IO, 1.28%, 7/25/2029
(c)
|
|
|
99,009,712
|
|
5,941,659
|
Series 2021-29, Class BA, CMO, 1.25%,
5/25/2041
|
|
|
9,925,961
|
|
8,584,867
|
Security
Description |
|
|
Principal
Amount |
|
Value
|
Series 2021-35, Class EH, CMO, 2.00%,
2/25/2037
|
|
|
$
16,598,044 |
|
$
14,749,186 |
Government
National Mortgage Association: |
|
|
|
|
|
2.50%,
3/20/2051
|
|
|
9,366,821
|
|
8,145,771
|
Series 2013-34, Class PL, CMO, REMIC, 3.00%,
3/20/2042
|
|
|
1,361,730
|
|
1,314,463
|
Series 2014-43, Class PS, CMO, IO, REMIC, 1 Month USD LIBOR + 6.18%, 1.83%, 7/20/2042
(c)
|
|
|
1,559,539
|
|
39,251
|
Series 2020-116, Class HS, CMO, IO, 1 Month USD LIBOR + 6.20%, 1.85%, 8/20/2050
(c)
|
|
|
7,561,301
|
|
817,017
|
Series 2020-173, Class SY, CMO, IO, 1 Month USD LIBOR + 6.30%, 1.95%, 11/20/2050
(c)
|
|
|
27,689,794
|
|
3,351,233
|
Series 2020-173, Class TI, CMO, IO, 2.00%,
11/20/2050
|
|
|
34,302,453
|
|
3,781,220
|
Series 2020-176, Class SL, CMO, IO, 1 Month USD LIBOR + 5.00%, 0.65%, 11/20/2050
(c)
|
|
|
9,212,316
|
|
469,542
|
Series 2020-185, Class SE, CMO, IO, 1 Month USD LIBOR + 6.30%, 1.95%, 12/20/2050
(c)
|
|
|
33,148,709
|
|
3,907,061
|
Series 2021-1, Class IH, 2.50%,
1/20/2051
|
|
|
40,982,139
|
|
5,293,342
|
Series 2021-125, Class SN, CMO, IO, 1 Month USD LIBOR + 4.20%, 0.26%, 1/20/2051
(c)
|
|
|
8,562,313
|
|
400,033
|
Series 2021-143, Class IO, IO, VRN, 0.97%, 10/16/2063
(c)
|
|
|
84,506,102
|
|
5,778,596
|
Series 2021-196, Class UI, IO, 3.00%,
11/20/2051
|
|
|
47,263,313
|
|
5,337,186
|
Series 2021-30, Class KI, 3.00%,
2/20/2051
|
|
|
9,133,631
|
|
1,334,713
|
Series 2021-40, Class IO, IO, VRN, 0.82%, 2/16/2063
(c)
|
|
|
73,675,467
|
|
4,599,806
|
Series 2021-44, Class IQ, 3.00%,
3/20/2051
|
|
|
9,401,873
|
|
1,380,891
|
Series 2021-57, Class AI, 2.00%,
2/20/2051
|
|
|
9,413,014
|
|
1,047,152
|
Series 2021-60, Class IO, IO, VRN, 0.83%, 5/16/2063
(c)
|
|
|
56,944,266
|
|
3,592,703
|
Series 2021-79, Class IO, IO, 0.91%, 8/16/2063
(c)
|
|
|
84,568,919
|
|
5,739,428
|
See accompanying notes to financial statements.
99
SPDR DOUBLELINE
TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2022 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
Series 2021-8, Class KX, 3.00%,
1/20/2051
|
|
|
$
11,873,297 |
|
$
1,713,279 |
Series 2021-80, Class IO, IO, VRN, 0.90%, 12/16/2062
(c)
|
|
|
89,243,842
|
|
6,020,073
|
Series 2021-85, Class IO, IO, VRN, 0.68%, 3/16/2063
(c)
|
|
|
101,546,792
|
|
5,984,225
|
Series 2021-99, Class IO, IO, VRN, 0.59%, 5/16/2061
(c)
|
|
|
42,093,521
|
|
2,261,970
|
Series 2022-180, Class IO, 2.50%,
6/20/2051
|
|
|
46,395,608
|
|
6,385,330
|
Series 2022-61, Class EI, 3.00%,
7/20/2051
|
|
|
3,948,642
|
|
568,985
|
Series 2022-91, Class IO, 0.43%, 7/16/2064
(c)
|
|
|
82,442,335
|
|
4,136,301
|
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS (Cost
$724,758,559)
|
|
|
|
|
624,283,460
|
U.S.
TREASURY OBLIGATIONS — 28.2% |
|
|
|
|
|
U.S. Treasury Bill Zero Coupon,
4/20/2023
|
|
|
8,200,000
|
|
8,093,091
|
U.S.
Treasury Bonds: |
|
|
|
|
|
3.00%,
8/15/2052
|
|
|
197,500,000
|
|
163,739,844
|
4.00%,
11/15/2052
|
|
|
119,500,000
|
|
120,153,516
|
U.S.
Treasury Notes: |
|
|
|
|
|
2.75%,
8/15/2032
|
|
|
7,000,000
|
|
6,372,188
|
3.13%,
8/31/2027
|
|
|
6,200,000
|
|
5,964,109
|
3.13%,
8/31/2029
|
|
|
8,100,000
|
|
7,689,937
|
3.50%,
9/15/2025
|
|
|
5,300,000
|
|
5,194,828
|
3.88%,
11/30/2027
|
|
|
6,800,000
|
|
6,763,344
|
3.88%,
11/30/2029
|
|
|
6,500,000
|
|
6,456,328
|
4.00%,
12/15/2025
|
|
|
7,000,000
|
|
6,956,250
|
4.13%,
9/30/2027
|
|
|
4,300,000
|
|
4,316,125
|
4.13%,
10/31/2027
|
|
|
4,700,000
|
|
4,717,625
|
4.13%,
11/15/2032
|
|
|
282,000,000
|
|
287,640,000
|
4.25%,
9/30/2024
|
|
|
4,300,000
|
|
4,277,660
|
4.50%,
11/30/2024
|
|
|
8,700,000
|
|
8,700,680
|
4.50%,
11/15/2025
|
|
|
8,600,000
|
|
8,654,422
|
TOTAL U.S. TREASURY OBLIGATIONS (Cost
$666,936,461)
|
|
|
|
|
655,689,947
|
MORTGAGE-BACKED
SECURITIES — 9.9% |
|
|
|
|
|
Alternative
Loan Trust: |
|
|
|
|
|
Series 2005-21CB, Class A3, CMO, 5.25%,
6/25/2035
|
|
|
1,692,819
|
|
1,296,821
|
Series 2005-79CB, Class A4, CMO, 5.50%,
1/25/2036
|
|
|
3,230,671
|
|
1,971,068
|
Security
Description |
|
|
Principal
Amount |
|
Value
|
Series 2006-24CB, Class A9, CMO, 6.00%,
8/25/2036
|
|
|
$
2,565,392 |
|
$
1,492,418 |
Series 2006-43CB, Class 1A12, CMO, 5.75%,
2/25/2037
|
|
|
2,355,921
|
|
1,297,636
|
Series 2006-OA2, Class A1, CMO, 1 Month USD LIBOR + 0.42%, 4.77%, 5/20/2046
(c)
|
|
|
1,768,564
|
|
1,453,200
|
Banc
of America Funding Trust: |
|
|
|
|
|
Series 2006-8T2, Class A4, CMO, 5.83%, 10/25/2036
(e)
|
|
|
1,836,480
|
|
1,464,016
|
Series 2007-5, Class CA1, CMO, 6.00%,
7/25/2037
|
|
|
3,496,256
|
|
2,684,071
|
BCAP LLC Trust Series 2010-RR4, Class 3212, CMO, 5.98%, 1/26/2037
(b)
(c)
|
|
|
6,003,103
|
|
5,163,347
|
ChaseFlex Trust Series 2007-3, Class 1A2, CMO , IO, 1 Month USD LIBOR + 0.46%, 4.85%, 7/25/2037
(c)
|
|
|
7,808,670
|
|
2,154,254
|
CHL
Mortgage Pass-Through Trust: |
|
|
|
|
|
Series 2005-J2, Class 3A14, CMO, 5.50%,
8/25/2035
|
|
|
701,483
|
|
520,445
|
Series 2007-10, Class A4, 5.50%,
7/25/2037
|
|
|
3,463,333
|
|
1,617,986
|
Series 2007-12, Class A9, CMO, 5.75%,
8/25/2037
|
|
|
2,144,849
|
|
1,297,063
|
Series 2007-HYB1, Class 2A1, CMO, 3.42%, 3/25/2037
(c)
|
|
|
1,075,893
|
|
877,908
|
Citigroup
Mortgage Loan Trust: |
|
|
|
|
|
Series 2007-10, Class 2A2A, CMO, 3.87%, 9/25/2037
(c)
|
|
|
2,107,192
|
|
1,586,650
|
Series 2007-AR4, Class 1A1A, CMO, 3.46%, 3/25/2037
(c)
|
|
|
1,257,901
|
|
987,326
|
Series 2007-AR5, Class 1A2A, CMO, 3.56%, 4/25/2037
(c)
|
|
|
621,661
|
|
510,621
|
Series 2021-JL1, Class A, 2.75%, 2/27/2062
(b)
(c)
|
|
|
975,953
|
|
879,156
|
CitiMortgage Alternative Loan Trust Series 2007-A1, Class 1A7, CMO, 6.00%,
1/25/2037
|
|
|
3,737,744
|
|
3,090,042
|
COLT
Mortgage Loan Trust: |
|
|
|
|
|
Series 2022-2, Class A1, 2.99%, 2/25/2067
(b)
(e)
|
|
|
17,229,908
|
|
15,475,434
|
See accompanying notes to financial statements.
100
SPDR DOUBLELINE
TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2022 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
Series 2022-3, Class M1, 4.21%, 2/25/2067
(b)
(c)
|
|
|
$
10,023,000 |
|
$
7,521,672 |
Connecticut Avenue Securities Trust Series 2022-R02, Class 2M2, CMO, SOFR30A + 3.00%, 6.93%, 1/25/2042
(b)
(c)
|
|
|
12,000,000
|
|
11,308,934
|
Credit Suisse Mortgage Capital Certificates Series 2021-RPL9, Class A1, 2.44%, 2/25/2061
(b)
(c)
|
|
|
5,287,403
|
|
4,847,713
|
Credit Suisse Mortgage Trust Series 2022-JR1, Class A1, 4.27%, 10/25/2066
(b)
(e)
|
|
|
11,057,932
|
|
10,521,228
|
CSMC MortgageBacked Trust Series 2006-7, Class 7A7, CMO, 6.00%,
8/25/2036
|
|
|
1,209,576
|
|
1,056,146
|
CSMC Trust Series 2021-JR2, Class A1, 2.22%, 11/25/2061
(b)
(c)
|
|
|
8,288,430
|
|
7,828,692
|
Deephaven Residential Mortgage Trust Series 2022-2, Class A1, 4.30%, 3/25/2067
(b)
(c)
|
|
|
5,009,307
|
|
4,704,389
|
Deutsche Alt-A Securities Mortgage Loan Trust Series 2007-AR3, Class 1A4, 1 Month USD LIBOR + 0.64%, 5.03%, 6/25/2037
(c)
|
|
|
3,615,338
|
|
2,997,893
|
FWD Securitization Trust Series 2019-INV1, Class A3, 3.11%, 6/25/2049
(b)
(c)
|
|
|
587,652
|
|
530,027
|
GSR
Mortgage Loan Trust: |
|
|
|
|
|
Series 2006-OA1, Class 1A1, CMO, 1 Month USD LIBOR + 0.44%, 4.83%, 8/25/2046
(c)
|
|
|
13,876,872
|
|
3,299,850
|
Series 2007-AR1, Class 2A1, 3.47%, 3/25/2047
(c)
|
|
|
4,317,331
|
|
2,674,376
|
IndyMac IMJA Mortgage Loan Trust Series 2007-A4, Class A1, CMO, 6.25%,
2/25/2038
|
|
|
21,352,069
|
|
7,553,440
|
IndyMac INDX Mortgage Loan Trust Series 2006-AR3, Class 3A1B, CMO, 3.11%, 4/25/2036
(c)
|
|
|
1,179,730
|
|
1,019,988
|
Legacy Mortgage Asset Trust Series 2020-SL1, Class M, 3.25%, 1/25/2060
(b)
(c)
|
|
|
8,492,000
|
|
7,775,934
|
Lehman XS Trust Series 2006-GP2, Class 1A4, 1 Month USD LIBOR + 0.66%, 5.05%, 6/25/2046
(c)
|
|
|
5,590,791
|
|
3,922,387
|
Security
Description |
|
|
Principal
Amount |
|
Value
|
Luminent Mortgage Trust Series 2007-1, Class 1A1, CMO, 1 Month USD LIBOR + 0.32%, 4.71%, 11/25/2036
(c)
|
|
|
$
7,117,376 |
|
$
6,300,894 |
Morgan Stanley Resecuritization Trust Series 2014-R7, Class B2, CMO, 3.93%, 1/26/2051
(b)
(c)
|
|
|
14,219,390
|
|
12,994,478
|
Morgan Stanley Residential Mortgage Loan Trust Series 2020-RPL1, Class A1, CMO, VRN, 2.69%, 10/25/2060
(b)
(c)
|
|
|
749,850
|
|
688,860
|
NRPL Trust Series 2019-3A, Class A1, CMO, 6.00%, 7/25/2059
(b)
(e)
|
|
|
3,307,992
|
|
3,318,939
|
PMT
Credit Risk Transfer Trust: |
|
|
|
|
|
Series 2019-2R, Class A, 1 Month USD LIBOR + 2.75%, 7.14%, 5/27/2023
(b)
(c)
|
|
|
1,276,172
|
|
1,221,300
|
Series 2021-1R, Class A, 1 Month USD LIBOR + 2.90%, 7.29%, 2/27/2024
(b)
(c)
|
|
|
906,173
|
|
865,451
|
PRPM
LLC: |
|
|
|
|
|
Series 2020-6, Class A1, CMO, 2.36%, 11/25/2025
(b)
(e)
|
|
|
3,267,449
|
|
3,015,028
|
Series 2022-1, Class A1, 3.72%, 2/25/2027
(b)
(e)
|
|
|
15,473,743
|
|
14,467,999
|
RALI Trust Series 2005-QA7, Class A22, CMO, 3.84%, 7/25/2035
(c)
|
|
|
1,922,567
|
|
1,742,599
|
Residential Asset Securitization Trust Series 2005-A16, Class A3, Class A3, 6.00%,
2/25/2036
|
|
|
3,007,314
|
|
1,236,308
|
Seasoned
Credit Risk Transfer Trust: |
|
|
|
|
|
Series 2019-4, Class MV, 3.00%,
2/25/2059
|
|
|
15,938,346
|
|
13,891,427
|
Series 2020-2, Class MT, CMO, 2.00%,
11/25/2059
|
|
|
6,526,932
|
|
5,372,654
|
Seasoned Credit Risk Transfer Trust Series 2020-3, Class MT, CMO, 2.00%,
5/25/2060
|
|
|
10,622,638
|
|
8,781,927
|
Structured Adjustable Rate Mortgage Loan Trust Series 2006-8, Class 4A3, CMO, 3.94%, 9/25/2036
(c)
|
|
|
200,614
|
|
192,355
|
See accompanying notes to financial statements.
101
SPDR DOUBLELINE
TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2022 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
Structured Asset Mortgage Investments II Trust Series 2004-AR3, Class M, CMO, 1 Month USD LIBOR + 0.68%, 5.01%, 7/19/2034
(c)
|
|
|
$
1,142,495 |
|
$
1,079,435 |
Verus Securitization Trust Series 2022-3, Class A1, 4.13%, 2/25/2067
(b)
(e)
|
|
|
18,295,525
|
|
17,270,632
|
WaMu Mortgage Pass-Through Certificates Trust Series 2006-AR14, Class 1A5, 3.33%, 11/25/2036
(c)
|
|
|
3,539,911
|
|
2,798,459
|
Washington
Mutual Mortgage Pass-Through Certificates Trust: |
|
|
|
|
|
Series 2005-8, Class 2CB1, CMO, 5.50%,
10/25/2035
|
|
|
714,856
|
|
665,169
|
Series 2006-1, Class 4CB, 6.50%,
2/25/2036
|
|
|
4,996,198
|
|
3,665,322
|
Series 2006-5, Class 3A2, CMO, 6.50%, 7/25/2036
(e)
|
|
|
2,554,374
|
|
580,516
|
Series 2007-2, Class 1A3, CMO, 6.00%,
4/25/2037
|
|
|
3,878,029
|
|
3,007,948
|
Series 2007-HY1, Class A3A, CMO, 1 Month USD LIBOR + 0.46%, 4.85%, 2/25/2037
(c)
|
|
|
4,198,107
|
|
2,957,625
|
Wells Fargo Mortgage Backed Securities Trust Series 2007-AR4, Class A1, CMO, 4.10%, 8/25/2037
(c)
|
|
|
826,714
|
|
703,243
|
TOTAL MORTGAGE-BACKED SECURITIES (Cost
$264,222,033)
|
|
|
|
|
230,200,699
|
COMMERCIAL
MORTGAGE BACKED SECURITIES — 4.9% |
|
|
|
|
|
ACRE Commercial Mortgage, Ltd. Series 2021-FL4, Class B, 1 Month USD LIBOR + 1.40%, 5.74%, 12/18/2037
(b)
(c)
|
|
|
3,000,000
|
|
2,888,910
|
BANK:
|
|
|
|
|
|
Series 2017-BNK4, Class XA, IO, 1.34%, 5/15/2050
(c)
|
|
|
24,802,552
|
|
1,073,070
|
Series 2017-BNK6, Class XA, IO, 0.77%, 7/15/2060
(c)
|
|
|
49,433,989
|
|
1,312,797
|
Series 2021-BN35, Class XA, IO, VRN, 1.05%, 6/15/2064
(c)
|
|
|
9,192,872
|
|
540,942
|
Security
Description |
|
|
Principal
Amount |
|
Value
|
BBCMS Mortgage Trust Series 2017-DELC, Class B, 1 Month USD LIBOR + 1.16%, 5.47%, 8/15/2036
(b)
(c)
|
|
|
$
925,000 |
|
$
904,485 |
Benchmark
Mortgage Trust: |
|
|
|
|
|
Series 2018-B2, Class C, VRN, 4.23%, 2/15/2051
(c)
|
|
|
2,545,000
|
|
2,173,241
|
Series 2020-B19, Class XA, IO, VRN, 1.77%, 9/15/2053
(c)
|
|
|
19,958,610
|
|
1,526,842
|
Series 2021-B24, Class XA, IO, VRN, 1.15%, 3/15/2054
(c)
|
|
|
3,384,485
|
|
207,627
|
BX
Commercial Mortgage Trust: |
|
|
|
|
|
Series 2021-21M, Class H, 1 Month USD LIBOR + 4.01%, 8.33%, 10/15/2036
(b)
(c)
|
|
|
2,140,418
|
|
1,934,765
|
Series 2021-VOLT, Class E, 1 Month USD LIBOR + 2.00%, 6.32%, 9/15/2036
(b)
(c)
|
|
|
1,923,000
|
|
1,789,231
|
Series 2021-VOLT, Class F, 1 Month USD LIBOR + 2.40%, 6.72%, 9/15/2036
(b)
(c)
|
|
|
1,923,000
|
|
1,772,449
|
Series 2021-XL2, Class E, 1 Month USD LIBOR + 1.85%, 6.16%, 10/15/2038
(b)
(c)
|
|
|
2,670,793
|
|
2,502,990
|
BX
Trust: |
|
|
|
|
|
Series 2017-SLCT, Class E, 1 Month USD LIBOR + 3.28%, 7.59%, 7/15/2034
(b)
(c)
|
|
|
1,131,323
|
|
1,115,936
|
Series 2019-OC11, Class E, 3.94%, 12/9/2041
(b)
(c)
|
|
|
3,830,000
|
|
2,934,678
|
CD Mortgage Trust Series 2017-CD4, Class XA, IO, 1.23%, 5/10/2050
(c)
|
|
|
13,447,611
|
|
530,900
|
CFCRE Commercial Mortgage Trust Series 2016-C4, Class XA, IO, 1.61%, 5/10/2058
(c)
|
|
|
10,009,421
|
|
408,016
|
Citigroup
Commercial Mortgage Trust: |
|
|
|
|
|
Series 2015-GC27, Class C, VRN, 4.42%, 2/10/2048
(c)
|
|
|
2,541,000
|
|
2,349,772
|
Series 2015-GC27, Class D, 4.42%, 2/10/2048
(b)
(c)
|
|
|
423,700
|
|
372,247
|
See accompanying notes to financial statements.
102
SPDR DOUBLELINE
TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2022 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
Series 2015-GC31, Class C, 4.04%, 6/10/2048
(c)
|
|
|
$
1,500,000 |
|
$
1,330,580 |
Series 2015-GC33, Class C, 4.57%, 9/10/2058
(c)
|
|
|
1,500,000
|
|
1,337,560
|
Series 2016-GC36, Class XA, IO, 1.21%, 2/10/2049
(c)
|
|
|
19,526,691
|
|
547,340
|
Series 2020-555, Class E, 3.50%, 12/10/2041
(b)
(c)
|
|
|
2,047,000
|
|
1,510,117
|
COMM
Mortgage Trust: |
|
|
|
|
|
Series 2013-CR12, Class XA, IO, 1.06%, 10/10/2046
(c)
|
|
|
24,543,164
|
|
152,930
|
Series 2015-CR22, Class XA, IO, 0.82%, 3/10/2048
(c)
|
|
|
7,277,935
|
|
100,114
|
Series 2015-CR26, Class XA, IO, 0.90%, 10/10/2048
(c)
|
|
|
18,726,351
|
|
362,044
|
Series 2015-DC1, Class C, VRN, 4.30%, 2/10/2048
(c)
|
|
|
644,000
|
|
558,544
|
Series 2015-DC1, Class XA, IO, 0.98%, 2/10/2048
(c)
|
|
|
6,113,289
|
|
91,119
|
Series 2016-DC2, Class XA, IO, 0.94%, 2/10/2049
(c)
|
|
|
14,723,761
|
|
329,660
|
Series 2017-PANW, Class D, 3.93%, 10/10/2029
(b)
(c)
|
|
|
1,388,000
|
|
1,271,437
|
Series 2017-PANW, Class E, 3.81%, 10/10/2029
(b)
(c)
|
|
|
2,316,000
|
|
2,119,839
|
Series 2018-HCLV, Class A, 1 Month USD LIBOR + 1.10%, 5.42%, 9/15/2033
(b)
(c)
|
|
|
347,000
|
|
325,465
|
CSAIL
Commercial Mortgage Trust: |
|
|
|
|
|
Series 2015-C2, Class AS, 3.85%, 6/15/2057
(c)
|
|
|
900,000
|
|
812,906
|
Series 2015-C4, Class XA, IO, 0.81%, 11/15/2048
(c)
|
|
|
31,619,896
|
|
571,796
|
Series 2017-CX10, Class XA, IO, 0.75%, 11/15/2050
(c)
|
|
|
55,127,001
|
|
1,484,925
|
Series 2019-C17, Class XA, IO, VRN, 1.35%, 9/15/2052
(c)
|
|
|
29,909,408
|
|
1,807,312
|
CSMC
Trust: |
|
|
|
|
|
Series 2017-TIME, Class A, 3.65%, 11/13/2039
(b)
|
|
|
2,977,000
|
|
2,427,811
|
Security
Description |
|
|
Principal
Amount |
|
Value
|
Series 2020-NET, Class A, 2.26%, 8/15/2037
(b)
|
|
|
$
2,384,659 |
|
$
2,145,496 |
Series 2021-B33, Class A1, 3.05%, 10/10/2043
(b)
|
|
|
632,000
|
|
532,138
|
Series 2021-B33, Class A2, 3.17%, 10/10/2043
(b)
|
|
|
2,250,000
|
|
1,719,814
|
DBUBS Mortgage Trust Series 2017-BRBK, Class E, VRN, 3.53%, 10/10/2034
(b)
(c)
|
|
|
463,000
|
|
408,088
|
DOLP
Trust: |
|
|
|
|
|
Series 2021-NYC, Class D, VRN, 3.70%, 5/10/2041
(b)
(c)
|
|
|
1,000,000
|
|
688,542
|
Series 2021-NYC, Class E, VRN, 3.70%, 5/10/2041
(b)
(c)
|
|
|
1,000,000
|
|
636,476
|
Grace Trust Series 2020-GRCE, Class D, VRN, 2.68%, 12/10/2040
(b)
(c)
|
|
|
1,147,000
|
|
783,114
|
Great
Wolf Trust: |
|
|
|
|
|
Series 2019-WOLF, Class E, 1 Month USD LIBOR + 2.73%, 7.05%, 12/15/2036
(b)
(c)
|
|
|
100,000
|
|
94,685
|
Series 2019-WOLF, Class F, 1 Month USD LIBOR + 3.13%, 7.45%, 12/15/2036
(b)
(c)
|
|
|
100,000
|
|
94,196
|
GS Mortgage Securities Corp. II Series 2013-GC10, Class XA, IO, 1.22%, 2/10/2046
(c)
|
|
|
2,635,418
|
|
103
|
GS
Mortgage Securities Trust: |
|
|
|
|
|
Series 2014-GC24, Class XA, IO, 0.71%, 9/10/2047
(c)
|
|
|
24,925,544
|
|
218,710
|
Series 2015-GC32, Class XA, IO, 0.71%, 7/10/2048
(c)
|
|
|
21,309,180
|
|
313,379
|
Series 2015-GC34, Class XA, IO, 1.20%, 10/10/2048
(c)
|
|
|
14,812,388
|
|
396,846
|
Series 2015-GS1, Class XA, IO, 0.76%, 11/10/2048
(c)
|
|
|
25,232,018
|
|
457,420
|
Series 2016-GS3, Class XA, IO, 1.20%, 10/10/2049
(c)
|
|
|
23,753,498
|
|
815,235
|
Series 2017-GS7, Class XA, IO, 1.08%, 8/10/2050
(c)
|
|
|
38,729,520
|
|
1,446,487
|
Series 2018-TWR, Class A, 1 Month USD LIBOR + 1.15%, 5.47%, 7/15/2031
(b)
(c)
|
|
|
283,000
|
|
270,534
|
See accompanying notes to financial statements.
103
SPDR DOUBLELINE
TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2022 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
Series 2018-TWR, Class D, 1 Month USD LIBOR + 1.85%, 6.17%, 7/15/2031
(b)
(c)
|
|
|
$
650,000 |
|
$
572,894 |
Series 2018-TWR, Class E, 1 Month USD LIBOR + 2.35%, 6.67%, 7/15/2031
(b)
(c)
|
|
|
650,000
|
|
559,894
|
Series 2018-TWR, Class F, 1 Month USD LIBOR + 3.05%, 7.37%, 7/15/2031
(b)
(c)
|
|
|
650,000
|
|
540,394
|
Series 2018-TWR, Class G, 1 Month USD LIBOR + 4.17%, 8.49%, 7/15/2031
(b)
(c)
|
|
|
650,000
|
|
514,745
|
Series 2019-GC38, Class XA, IO, 0.95%, 2/10/2052
(c)
|
|
|
40,266,745
|
|
1,780,871
|
HPLY Trust Series 2019-HIT, Class F, 1 Month USD LIBOR + 3.15%, 7.47%, 11/15/2036
(b)
(c)
|
|
|
2,603,321
|
|
2,415,670
|
JP
Morgan Chase Commercial Mortgage Securities Trust: |
|
|
|
|
|
Series 2014-C20, Class B, 4.40%, 7/15/2047
(c)
|
|
|
3,000,000
|
|
2,829,731
|
Series 2015-JP1, Class XA, IO, 0.89%, 1/15/2049
(c)
|
|
|
14,895,202
|
|
324,927
|
Series 2016-JP3, Class B, VRN, 3.40%, 8/15/2049
(c)
|
|
|
2,899,000
|
|
2,483,995
|
Series 2022-NLP, Class A, 1 Month USD Term LIBOR + 0.60%, 4.93%, 4/15/2037
(b)
(c)
|
|
|
2,359,019
|
|
2,183,608
|
JPMBB
Commercial Mortgage Securities Trust: |
|
|
|
|
|
Series 2014-C21, Class B, VRN, 4.34%, 8/15/2047
(c)
|
|
|
1,055,000
|
|
985,541
|
Series 2014-C25, Class XA, IO, 0.81%, 11/15/2047
(c)
|
|
|
4,516,201
|
|
51,541
|
Series 2015-C28, Class XA, IO, 0.95%, 10/15/2048
(c)
|
|
|
8,175,118
|
|
121,768
|
Series 2015-C30, Class XA, IO, 0.43%, 7/15/2048
(c)
|
|
|
22,194,655
|
|
204,055
|
Series 2015-C32, Class C, 4.65%, 11/15/2048
(c)
|
|
|
1,132,000
|
|
820,662
|
JPMDB Commercial Mortgage Securities Trust Series 2016-C2, Class XA, IO, 1.49%, 6/15/2049
(c)
|
|
|
15,874,677
|
|
589,921
|
Security
Description |
|
|
Principal
Amount |
|
Value
|
LSTAR Commercial Mortgage Trust Series 2017-5, Class X, IO, 0.79%, 3/10/2050
(b)
(c)
|
|
|
$
34,884,848 |
|
$
714,805 |
Manhattan
West Mortgage Trust: |
|
|
|
|
|
Series 2020-1MW, Class C, VRN, 2.34%, 9/10/2039
(b)
(c)
|
|
|
2,462,000
|
|
2,019,862
|
Series 2020-1MW, Class D, VRN, 2.34%, 9/10/2039
(b)
(c)
|
|
|
2,462,000
|
|
1,955,359
|
Med Trust Series 2021-MDLN, Class G, 1 Month USD LIBOR + 5.25%, 9.57%, 11/15/2038
(b)
(c)
|
|
|
2,864,000
|
|
2,617,187
|
Morgan
Stanley Bank of America Merrill Lynch Trust: |
|
|
|
|
|
Series 2013-C12, Class XA, IO, 0.55%, 10/15/2046
(c)
|
|
|
11,141,485
|
|
18,737
|
Series 2013-C7, Class XA, IO, 0.87%, 2/15/2046
(c)
|
|
|
935,428
|
|
37
|
Series 2015-C20, Class C, 4.45%, 2/15/2048
(c)
|
|
|
500,000
|
|
462,471
|
Series 2016-C28, Class XA, IO, 1.15%, 1/15/2049
(c)
|
|
|
18,133,107
|
|
488,368
|
Series 2016-C30, Class XA, IO, 1.35%, 9/15/2049
(c)
|
|
|
16,951,319
|
|
627,249
|
Series 2016-C31, Class C, 4.27%, 11/15/2049
(c)
|
|
|
3,358,000
|
|
2,750,241
|
Morgan
Stanley Capital I Trust: |
|
|
|
|
|
Series 2015-UBS8, Class XA, IO, 0.86%, 12/15/2048
(c)
|
|
|
23,195,467
|
|
459,454
|
Series 2016-UB12, Class XA, IO, 0.65%, 12/15/2049
(c)
|
|
|
47,505,666
|
|
964,061
|
Series 2019-L3, Class XA, IO, 0.64%, 11/15/2052
(c)
|
|
|
55,715,677
|
|
1,838,595
|
Series 2020-HR8, Class XA, IO, VRN, 1.84%, 7/15/2053
(c)
|
|
|
13,598,763
|
|
1,377,382
|
Series 2020-L4, Class XA, IO, VRN, 1.08%, 2/15/2053
(c)
|
|
|
32,980,989
|
|
1,956,903
|
One New York Plaza Trust Series 2020-1NYP, Class C, 1 Month USD LIBOR + 2.20%, 6.52%, 1/15/2036
(b)
(c)
|
|
|
1,599,000
|
|
1,483,644
|
See accompanying notes to financial statements.
104
SPDR DOUBLELINE
TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2022 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
SG Commercial Mortgage Securities Trust Series 2016-C5, Class B, 3.93%,
10/10/2048
|
|
|
$
450,000 |
|
$
386,034 |
SLG
Office Trust: |
|
|
|
|
|
Series 2021-OVA, Class E, 2.85%, 7/15/2041
(b)
|
|
|
1,989,000
|
|
1,381,734
|
Series 2021-OVA, Class F, 2.85%, 7/15/2041
(b)
|
|
|
1,989,000
|
|
1,288,942
|
SREIT Trust Series 2021-MFP, Class D, 1 Month USD LIBOR + 1.58%, 5.90%, 11/15/2038
(b)
(c)
|
|
|
2,864,000
|
|
2,702,313
|
UBS
Commercial Mortgage Trust: |
|
|
|
|
|
Series 2017-C1, Class XA, IO, 1.53%, 6/15/2050
(c)
|
|
|
17,341,203
|
|
880,464
|
Series 2017-C4, Class XA, IO, 1.09%, 10/15/2050
(c)
|
|
|
20,374,832
|
|
788,251
|
Velocity Commercial Capital Loan Trust Series 2020-1, Class M3, VRN, 3.19%, 2/25/2050
(b)
(c)
|
|
|
2,445,972
|
|
2,013,514
|
Waterfall Commercial Mortgage Trust Series 2015-SBC5, Class A, 4.10%, 9/14/2049
(c)
|
|
|
1,263,106
|
|
1,238,663
|
Wells
Fargo Commercial Mortgage Trust: |
|
|
|
|
|
Series 2015-C26, Class XA, IO, 1.20%, 2/15/2048
(c)
|
|
|
7,128,306
|
|
140,783
|
Series 2015-LC20, Class XA, IO, 1.29%, 4/15/2050
(c)
|
|
|
6,354,734
|
|
112,711
|
Series 2015-NXS1, Class XA, IO, 1.07%, 5/15/2048
(c)
|
|
|
6,748,801
|
|
118,731
|
Series 2015-NXS2, Class XA, IO, 0.61%, 7/15/2058
(c)
|
|
|
21,222,571
|
|
248,192
|
Series 2015-P2, Class XA, IO, 0.93%, 12/15/2048
(c)
|
|
|
14,220,623
|
|
309,520
|
Series 2016-BNK1, Class XB, IO, VRN, 1.32%, 8/15/2049
(c)
|
|
|
19,849,000
|
|
800,377
|
Series 2016-C33, Class XA, IO, 1.58%, 3/15/2059
(c)
|
|
|
10,699,722
|
|
418,391
|
Series 2016-C35, Class B, 3.44%,
7/15/2048
|
|
|
3,000,000
|
|
2,543,731
|
Series 2016-LC24, Class C, VRN, 4.43%, 10/15/2049
(c)
|
|
|
1,900,000
|
|
1,636,876
|
Security
Description |
|
|
Principal
Amount |
|
Value
|
Series 2017-C38, Class XA, IO, 0.97%, 7/15/2050
(c)
|
|
|
$
34,315,568 |
|
$
1,123,552 |
Series 2017-RC1, Class XA, IO, 1.38%, 1/15/2060
(c)
|
|
|
16,298,840
|
|
740,221
|
Series 2019-C50, Class XA, IO, 1.41%, 5/15/2052
(c)
|
|
|
26,965,642
|
|
1,700,571
|
Series 2020-C58, Class XA, IO, VRN, 1.87%, 7/15/2053
(c)
|
|
|
19,892,709
|
|
1,973,483
|
WFRBS
Commercial Mortgage Trust: |
|
|
|
|
|
Series 2014-C19, Class XA, IO, 0.96%, 3/15/2047
(c)
|
|
|
6,131,090
|
|
46,783
|
Series 2014-C21, Class XA, IO, 1.00%, 8/15/2047
(c)
|
|
|
12,676,660
|
|
145,427
|
TOTAL COMMERCIAL MORTGAGE BACKED SECURITIES (Cost
$176,953,081)
|
|
|
|
|
113,955,496
|
|
|
Shares
|
|
SHORT-TERM
INVESTMENT — 3.9% |
|
|
|
State Street Institutional U.S. Government Money Market Fund, Class G Shares 4.16% (h) (i) (Cost
$90,237,657)
|
|
90,237,657
|
90,237,657
|
TOTAL INVESTMENTS — 99.4% (Cost
$2,615,120,369)
|
|
|
2,313,978,263
|
OTHER ASSETS IN EXCESS OF LIABILITIES — 0.6%
|
|
|
14,244,423
|
NET ASSETS — 100.0%
|
|
|
$
2,328,222,686 |
(a)
|
Amount
is less than 0.05% of net assets. |
(b)
|
Securities
purchased pursuant to Rule 144A of the Securities Act of 1933, as amended. These securities, which represent 20.7% of net assets as of December 31, 2022, are considered liquid and may be resold in transactions exempt from registration, normally to
qualified institutional buyers. |
(c)
|
Variable
Rate Security - Interest rate shown is rate in effect at December 31, 2022. For securities based on a published reference rate and spread, the reference rate and spread are indicated in the description above. |
(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, 2022. Maturity date shown is the final maturity. |
See accompanying notes to financial statements.
105
SPDR DOUBLELINE
TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2022 (Unaudited)
(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, 2022, total aggregate fair
value of the securities is $54,108, representing less than 0.05% of the Fund's net assets. |
(g)
|
Position
is unsettled. Contract rate was not determined at December 31, 2022 and does not take effect until settlement date. Maturity date is not finalized until settlement date. |
(h)
|
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, 2022 are shown in the Affiliate Table below. |
(i)
|
The
rate shown is the annualized seven-day yield at December 31, 2022. |
ABS
|
Asset-Backed Security
|
CLO
|
Collateralized
Loan Obligation |
CMO
|
Collateralized
Mortgage Obligation |
CMT
|
Constant
Maturity Treasury |
EMTN
|
Euro
Medium Term Note |
IO
|
Interest
Only |
LIBOR
|
London
Interbank Offered Rate |
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 |
At December 31, 2022, the Fund had unfunded loan
commitments of $57,604, which could be extended at the option of the borrowers, pursuant to the following loan agreements:
Borrower
|
|
Unfunded
Loan Commitment ($) |
|
Value
($) |
|
Unrealized
Appreciation/(Depreciation) ($) |
Hillman
Group Inc. |
|
26,397
|
|
25,675
|
|
(721)
|
Pediatric
Associates Holding Company, LLC |
|
16,119
|
|
15,346
|
|
(772)
|
TGP
Holdings III, LLC |
|
5,580
|
|
4,491
|
|
(1,090)
|
VT
Topco, Inc. |
|
4,323
|
|
4,202
|
|
(121)
|
AI
Aqua Merger Sub, Inc. |
|
5,185
|
|
4,923
|
|
(262)
|
|
|
$57,604
|
|
$54,637
|
|
$(2,966)
|
The following table summarizes the value of the
Fund's investments according to the fair value hierarchy as of December 31, 2022.
Description
|
|
Level
1 – Quoted Prices |
|
Level
2 – Other Significant Observable Inputs |
|
Level
3 – Significant Unobservable Inputs |
|
Total
|
ASSETS:
|
|
|
|
|
|
|
|
|
INVESTMENTS:
|
|
|
|
|
|
|
|
|
Corporate Bonds &
Notes
|
|
$
— |
|
$
284,252,581 |
|
$
— |
|
$
284,252,581 |
Asset-Backed
Securities
|
|
—
|
|
249,806,639
|
|
—
|
|
249,806,639
|
Foreign Government
Obligations
|
|
—
|
|
18,918,066
|
|
—
|
|
18,918,066
|
U.S. Government Agency
Obligations
|
|
—
|
|
624,283,460
|
|
—
|
|
624,283,460
|
U.S. Treasury
Obligations
|
|
—
|
|
655,689,947
|
|
—
|
|
655,689,947
|
Mortgage-Backed
Securities
|
|
—
|
|
230,200,699
|
|
—
|
|
230,200,699
|
Commercial Mortgage Backed
Securities
|
|
—
|
|
113,955,496
|
|
—
|
|
113,955,496
|
Common
Stocks
|
|
—
|
|
1,642
|
|
54,108
|
|
55,750
|
Senior Floating Rate
Loans
|
|
—
|
|
46,577,968
|
|
—
|
|
46,577,968
|
Short-Term
Investment
|
|
90,237,657
|
|
—
|
|
—
|
|
90,237,657
|
TOTAL
INVESTMENTS
|
|
$90,237,657
|
|
$2,223,686,498
|
|
$54,108
|
|
$2,313,978,263
|
LIABILITIES:
|
|
|
|
|
|
|
|
|
OTHER
FINANCIAL INSTRUMENTS: |
|
|
|
|
|
|
|
|
Unfunded
Loans(a)
|
|
—
|
|
(2,966)
|
|
—
|
|
(2,966)
|
TOTAL OTHER FINANCIAL
INSTRUMENTS:
|
|
$
— |
|
$
(2,966) |
|
$
— |
|
$
(2,966) |
(a)
|
Unfunded
loan commitments are valued at unrealized appreciation (depreciation). |
See accompanying notes to financial statements.
106
SPDR DOUBLELINE
TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2022 (Unaudited)
Affiliate Table
|
Number
of Shares Held at 6/30/22 |
|
Value
at 6/30/22 |
|
Cost
of Purchases |
|
Proceeds
from Shares Sold |
|
Realized
Gain (Loss) |
|
Change
in Unrealized Appreciation/ Depreciation |
|
Number
of Shares Held at 12/31/22 |
|
Value
at 12/31/22 |
|
Dividend
Income |
State Street Institutional U.S. Government Money Market Fund, Class G
Shares
|
78,929,216
|
|
$78,929,216
|
|
$532,782,583
|
|
$521,474,142
|
|
$—
|
|
$—
|
|
90,237,657
|
|
$90,237,657
|
|
$1,351,711
|
See accompanying notes to financial statements.
107
SSGA ACTIVE
TRUST
STATEMENTS OF ASSETS AND LIABILITIES
December 31, 2022 (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*
|
$139,088,961
|
|
$
7,348,192 |
|
$
18,681,547 |
Investments in affiliated issuers, at
value
|
538,232,469
|
|
86,099,465
|
|
258,058,642
|
Total
Investments
|
677,321,430
|
|
93,447,657
|
|
276,740,189
|
Foreign currency, at
value
|
—
|
|
—
|
|
—
|
Net cash at
broker
|
—
|
|
—
|
|
—
|
Cash
|
4
|
|
17
|
|
10
|
Receivable for investments
sold
|
—
|
|
23,257,600
|
|
21,524,354
|
Receivable for fund shares
sold
|
12,113,284
|
|
—
|
|
—
|
Dividends receivable — unaffiliated
issuers
|
—
|
|
—
|
|
—
|
Dividends receivable — affiliated
issuers
|
98,800
|
|
5,690
|
|
205,614
|
Securities lending income receivable — unaffiliated
issuers
|
2,386
|
|
7,177
|
|
—
|
Securities lending income receivable — affiliated issuers
|
25,265
|
|
22,851
|
|
49,960
|
Receivable from
Adviser
|
—
|
|
10,959
|
|
—
|
Receivable for foreign taxes
recoverable
|
—
|
|
—
|
|
—
|
Other
Receivable
|
—
|
|
—
|
|
—
|
TOTAL ASSETS
|
689,561,169
|
|
116,751,951
|
|
298,520,127
|
LIABILITIES
|
|
|
|
|
|
Due to
custodian
|
—
|
|
—
|
|
—
|
Payable upon return of securities
loaned
|
45,511,787
|
|
6,784,842
|
|
45,214,621
|
Payable for investments
purchased
|
11,870,675
|
|
23,264,665
|
|
20,741,945
|
Payable to broker – accumulated variation margin on open futures
contracts
|
—
|
|
—
|
|
—
|
Unrealized depreciation on forward foreign currency exchange
contracts
|
—
|
|
—
|
|
—
|
Advisory fee
payable
|
34,403
|
|
—
|
|
6,925
|
Accrued expenses and other
liabilities
|
4
|
|
—
|
|
2
|
TOTAL LIABILITIES
|
57,416,869
|
|
30,049,507
|
|
65,963,493
|
NET ASSETS
|
$632,144,300
|
|
$
86,702,444 |
|
$232,556,634
|
NET
ASSETS CONSIST OF: |
|
|
|
|
|
Paid-in
Capital
|
$712,750,168
|
|
$
114,948,333 |
|
$245,467,129
|
Total distributable earnings
(loss)
|
(80,605,868)
|
|
(28,245,889)
|
|
(12,910,495)
|
NET ASSETS
|
$632,144,300
|
|
$
86,702,444 |
|
$232,556,634
|
NET
ASSET VALUE PER SHARE |
|
|
|
|
|
Net asset value per
share
|
$
27.52 |
|
$
29.49 |
|
$
37.51 |
Shares outstanding (unlimited amount authorized, $0.01 par
value)
|
22,970,000
|
|
2,940,000
|
|
6,200,000
|
COST
OF INVESTMENTS: |
|
|
|
|
|
Investments in unaffiliated
issuers
|
$160,097,251
|
|
$
8,655,649 |
|
$
18,346,153 |
Investments in affiliated
issuers
|
540,864,159
|
|
93,864,212
|
|
254,144,522
|
Total cost of
investments
|
$700,961,410
|
|
$102,519,861
|
|
$272,490,675
|
Foreign currency, at
cost
|
$
— |
|
$
— |
|
$
— |
* Includes investments in securities on loan, at
value
|
$
44,497,363 |
|
$
10,843,490 |
|
$
45,846,754 |
See accompanying notes to financial statements.
108
SPDR
SSGA Ultra Short Term Bond ETF |
|
SPDR
Loomis Sayles Opportunistic Bond ETF |
|
SPDR
Nuveen Municipal Bond ETF |
|
SPDR
Nuveen Municipal Bond ESG ETF |
|
|
|
|
|
|
|
$386,208,968
|
|
$30,947,287
|
|
$
37,015,117 |
|
$32,702,150
|
26,321,701
|
|
660,813
|
|
1,442,669
|
|
1,207,057
|
412,530,669
|
|
31,608,100
|
|
38,457,786
|
|
33,909,207
|
—
|
|
54,355
|
|
—
|
|
—
|
502,883
|
|
948,747
|
|
—
|
|
—
|
1,373
|
|
—
|
|
—
|
|
—
|
—
|
|
192,317
|
|
1,108,167
|
|
1,045,465
|
1,997,930
|
|
—
|
|
—
|
|
—
|
1,648,578
|
|
379,512
|
|
476,791
|
|
414,274
|
78,651
|
|
1,506
|
|
7,543
|
|
6,838
|
—
|
|
—
|
|
—
|
|
—
|
—
|
|
—
|
|
—
|
|
—
|
—
|
|
707
|
|
—
|
|
—
|
—
|
|
3,984
|
|
—
|
|
—
|
599
|
|
—
|
|
—
|
|
—
|
416,760,683
|
|
33,189,228
|
|
40,050,287
|
|
35,375,784
|
|
|
|
|
|
|
|
—
|
|
22,276
|
|
—
|
|
—
|
—
|
|
—
|
|
—
|
|
—
|
—
|
|
21,806
|
|
—
|
|
251,550
|
63,389
|
|
141,923
|
|
—
|
|
—
|
—
|
|
274
|
|
—
|
|
—
|
66,481
|
|
15,680
|
|
13,673
|
|
12,859
|
4
|
|
—
|
|
—
|
|
—
|
129,874
|
|
201,959
|
|
13,673
|
|
264,409
|
$416,630,809
|
|
$32,987,269
|
|
$40,036,614
|
|
$
35,111,375 |
|
|
|
|
|
|
|
$421,736,979
|
|
$38,536,071
|
|
$44,219,888
|
|
$35,863,658
|
(5,106,170)
|
|
(5,548,802)
|
|
(4,183,274)
|
|
(752,283)
|
$416,630,809
|
|
$32,987,269
|
|
$40,036,614
|
|
$
35,111,375 |
|
|
|
|
|
|
|
$
39.96 |
|
$
25.37 |
|
$
26.69 |
|
$
29.26 |
10,425,000
|
|
1,300,000
|
|
1,500,000
|
|
1,200,000
|
|
|
|
|
|
|
|
$391,378,642
|
|
$32,981,224
|
|
$39,788,552
|
|
$33,239,363
|
26,321,701
|
|
661,295
|
|
1,442,669
|
|
1,207,057
|
$417,700,343
|
|
$33,642,519
|
|
$41,231,221
|
|
$34,446,420
|
$
— |
|
$
54,269 |
|
$
— |
|
$
— |
$
— |
|
$
— |
|
$
— |
|
$
— |
SSGA ACTIVE
TRUST
STATEMENTS OF ASSETS AND LIABILITIES (continued)
December 31,
2022 (Unaudited)
|
SPDR
SSGA Fixed Income Sector Rotation ETF |
|
SPDR
SSGA US Sector Rotation ETF |
|
SPDR
DoubleLine Emerging Markets Fixed Income ETF |
ASSETS
|
|
|
|
|
|
Investments in unaffiliated issuers, at
value*
|
$
— |
|
$
— |
|
$
66,235,596 |
Investments in affiliated issuers, at
value
|
168,239,320
|
|
283,986,119
|
|
127,818
|
Total
Investments
|
168,239,320
|
|
283,986,119
|
|
66,363,414
|
Foreign currency, at
value
|
—
|
|
—
|
|
—
|
Cash
|
—
|
|
—
|
|
213
|
Receivable for investments
sold
|
—
|
|
—
|
|
—
|
Receivable for fund shares
sold
|
—
|
|
—
|
|
—
|
Dividends receivable — unaffiliated
issuers
|
—
|
|
—
|
|
985,642
|
Dividends receivable — affiliated
issuers
|
979
|
|
1,830
|
|
1,686
|
Interest receivable — unaffiliated
issuers
|
—
|
|
—
|
|
—
|
Securities lending income receivable — unaffiliated
issuers
|
2,577
|
|
5,987
|
|
—
|
Securities lending income receivable — affiliated issuers
|
21,417
|
|
23,474
|
|
—
|
Receivable from
Adviser
|
20,272
|
|
31,481
|
|
—
|
Other
Receivable
|
—
|
|
—
|
|
—
|
TOTAL ASSETS
|
168,284,565
|
|
284,048,891
|
|
67,350,955
|
LIABILITIES
|
|
|
|
|
|
Due to
custodian
|
—
|
|
—
|
|
91
|
Payable upon return of securities
loaned
|
25,608,951
|
|
58,900,996
|
|
—
|
Payable for investments
purchased
|
—
|
|
—
|
|
—
|
Unrealized depreciation on unfunded loan
commitments
|
—
|
|
—
|
|
—
|
Advisory fee
payable
|
60,499
|
|
142,502
|
|
37,520
|
Trustees’ fees and expenses
payable
|
—
|
|
—
|
|
—
|
Accrued expenses and other
liabilities
|
—
|
|
2
|
|
—
|
TOTAL LIABILITIES
|
25,669,450
|
|
59,043,500
|
|
37,611
|
NET ASSETS
|
$
142,615,115 |
|
$225,005,391
|
|
$
67,313,344 |
NET
ASSETS CONSIST OF: |
|
|
|
|
|
Paid-in
Capital
|
$165,894,449
|
|
$244,572,003
|
|
$
83,906,904 |
Total distributable earnings
(loss)
|
(23,279,334)
|
|
(19,566,612)
|
|
(16,593,560)
|
NET ASSETS
|
$
142,615,115 |
|
$225,005,391
|
|
$
67,313,344 |
NET
ASSET VALUE PER SHARE |
|
|
|
|
|
Net asset value per
share
|
$
25.60 |
|
$
38.93 |
|
$
40.19 |
Shares outstanding (unlimited amount authorized, $0.01 par
value)
|
5,570,000
|
|
5,780,000
|
|
1,675,000
|
COST
OF INVESTMENTS: |
|
|
|
|
|
Investments in unaffiliated
issuers
|
$
— |
|
$
— |
|
$
80,133,335 |
Investments in affiliated
issuers
|
177,775,093
|
|
285,144,373
|
|
127,818
|
Total cost of
investments
|
$177,775,093
|
|
$285,144,373
|
|
$
80,261,153 |
Foreign currency, at
cost
|
$
— |
|
$
— |
|
$
— |
* Includes investments in securities on loan, at
value
|
$
27,447,700 |
|
$
72,479,637 |
|
$
— |
See accompanying notes to financial statements.
110
SPDR
DoubleLine Short Duration Total Return Tactical ETF |
|
SPDR
DoubleLine Total Return Tactical ETF |
|
|
|
$
121,118,763 |
|
$2,223,740,606
|
4,559,807
|
|
90,237,657
|
125,678,570
|
|
2,313,978,263
|
—
|
|
138
|
8,204
|
|
—
|
178,859
|
|
1,278,386
|
—
|
|
22,019,886
|
783,233
|
|
—
|
10,554
|
|
364,863
|
—
|
|
16,136,001
|
—
|
|
—
|
—
|
|
—
|
—
|
|
—
|
—
|
|
17,814
|
126,659,420
|
|
2,353,795,351
|
|
|
|
31
|
|
114,769
|
—
|
|
—
|
113,850
|
|
24,389,020
|
—
|
|
2,966
|
48,112
|
|
1,065,888
|
1
|
|
—
|
—
|
|
22
|
161,994
|
|
25,572,665
|
$126,497,426
|
|
$2,328,222,686
|
|
|
|
$137,641,896
|
|
$2,897,597,183
|
(11,144,470)
|
|
(569,374,497)
|
$126,497,426
|
|
$2,328,222,686
|
|
|
|
$
46.00 |
|
$
39.97 |
2,750,000
|
|
58,250,000
|
|
|
|
$127,924,682
|
|
$2,524,882,712
|
4,559,807
|
|
90,237,657
|
$132,484,489
|
|
$2,615,120,369
|
$
— |
|
$
138 |
$
— |
|
$
— |
SSGA ACTIVE
TRUST
STATEMENTS OF OPERATIONS
For the Six Months Ended December 31, 2022 (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
|
16,260,716
|
|
365,257
|
|
1,069,955
|
Dividend income — affiliated
issuers
|
9,385,600
|
|
2,166,766
|
|
3,217,543
|
Unaffiliated securities lending
income
|
66,912
|
|
41,762
|
|
11,636
|
Affiliated securities lending
income
|
112,604
|
|
190,904
|
|
264,192
|
Foreign taxes
withheld
|
—
|
|
—
|
|
—
|
TOTAL INVESTMENT INCOME
(LOSS)
|
25,825,832
|
|
2,764,689
|
|
4,563,326
|
EXPENSES
|
|
|
|
|
|
Advisory
fee
|
225,270
|
|
20,875
|
|
119,346
|
Trustees’ fees and expenses
|
2,879
|
|
562
|
|
1,458
|
Proxy voting
expenses
|
34,069
|
|
3,986
|
|
10,164
|
Miscellaneous
expenses
|
4
|
|
—
|
|
3
|
TOTAL
EXPENSES
|
262,222
|
|
25,423
|
|
130,971
|
Expenses waived/reimbursed by the
Adviser
|
—
|
|
—
|
|
—
|
NET
EXPENSES
|
262,222
|
|
25,423
|
|
130,971
|
NET INVESTMENT INCOME
(LOSS)
|
$
25,563,610 |
|
$
2,739,266 |
|
$
4,432,355 |
REALIZED
AND UNREALIZED GAIN (LOSS) |
|
|
|
|
|
Net
realized gain (loss) on: |
|
|
|
|
|
Investments — unaffiliated
issuers
|
(1,716,290)
|
|
(1,134,624)
|
|
(799,682)
|
Investments — affiliated
issuers
|
(9,236,645)
|
|
(5,726,045)
|
|
(11,279,490)
|
In-kind redemptions — unaffiliated
issuers
|
904,498
|
|
(85,229)
|
|
227,261
|
In-kind redemptions — affiliated
issuers
|
2,996,660
|
|
(327,686)
|
|
1,859,896
|
Forward foreign currency exchange
contracts
|
—
|
|
—
|
|
—
|
Foreign currency
transactions
|
—
|
|
—
|
|
—
|
Futures
contracts
|
—
|
|
—
|
|
—
|
Swaps
contracts
|
—
|
|
—
|
|
—
|
Net realized gain
(loss)
|
(7,051,777)
|
|
(7,273,584)
|
|
(9,992,015)
|
Net
change in unrealized appreciation/depreciation on: |
|
|
|
|
|
Investments — unaffiliated
issuers
|
(23,989,113)
|
|
374,153
|
|
(1,234,224)
|
Investments — affiliated
issuers
|
17,909,639
|
|
2,683,633
|
|
9,247,932
|
Forward foreign currency exchange
contracts
|
—
|
|
—
|
|
—
|
Foreign currency
translations
|
—
|
|
—
|
|
—
|
Futures
contracts
|
—
|
|
—
|
|
—
|
Swap
contracts
|
—
|
|
—
|
|
—
|
Net change in unrealized
appreciation/depreciation
|
(6,079,474)
|
|
3,057,786
|
|
8,013,708
|
NET REALIZED AND UNREALIZED GAIN
(LOSS)
|
(13,131,251)
|
|
(4,215,798)
|
|
(1,978,307)
|
NET INCREASE (DECREASE) IN NET ASSETS FROM
OPERATIONS
|
$
12,432,359 |
|
$(1,476,532)
|
|
$
2,454,048 |
See accompanying notes to financial statements.
112
SPDR
SSGA Ultra Short Term Bond ETF |
|
SPDR
Loomis Sayles Opportunistic Bond ETF |
|
SPDR
Nuveen Municipal Bond ETF |
|
SPDR
Nuveen Municipal Bond ESG ETF |
|
SPDR
SSGA Fixed Income Sector Rotation ETF |
|
SPDR
SSGA US Sector Rotation ETF |
|
SPDR
DoubleLine Emerging Markets Fixed Income ETF |
|
|
|
|
|
|
|
|
|
|
|
|
|
$4,913,965
|
|
$
789,591 |
|
324,309
|
|
452,672
|
|
—
|
|
—
|
|
$
1,755,551 |
—
|
|
1,472
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
315,538
|
|
38,019
|
|
35,463
|
|
23,137
|
|
1,892,595
|
|
2,292,956
|
|
33,106
|
—
|
|
—
|
|
—
|
|
—
|
|
6,482
|
|
63,998
|
|
—
|
—
|
|
—
|
|
—
|
|
—
|
|
103,805
|
|
55,173
|
|
—
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
(1,642)
|
5,229,503
|
|
829,082
|
|
359,772
|
|
475,809
|
|
2,002,882
|
|
2,412,127
|
|
1,787,015
|
|
|
|
|
|
|
|
|
|
|
|
|
|
354,698
|
|
83,402
|
|
75,774
|
|
72,762
|
|
234,113
|
|
648,966
|
|
225,634
|
2,086
|
|
195
|
|
215
|
|
199
|
|
725
|
|
1,315
|
|
431
|
13,824
|
|
1,226
|
|
1,527
|
|
1,380
|
|
5,271
|
|
9,232
|
|
2,993
|
4
|
|
—
|
|
—
|
|
—
|
|
—
|
|
2
|
|
—
|
370,612
|
|
84,823
|
|
77,516
|
|
74,341
|
|
240,109
|
|
659,515
|
|
229,058
|
—
|
|
(4,549)
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
370,612
|
|
80,274
|
|
77,516
|
|
74,341
|
|
240,109
|
|
659,515
|
|
229,058
|
$4,858,891
|
|
$
748,808 |
|
$
282,256 |
|
$
401,468 |
|
$
1,762,773 |
|
$
1,752,612 |
|
$
1,557,957 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(279,530)
|
|
(1,447,762)
|
|
(805,188)
|
|
(63,695)
|
|
—
|
|
—
|
|
(1,951,222)
|
—
|
|
(122)
|
|
—
|
|
485
|
|
(7,510,796)
|
|
(14,549,592)
|
|
—
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
—
|
|
—
|
|
—
|
|
—
|
|
(668,542)
|
|
2,024,597
|
|
—
|
—
|
|
3,325
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
—
|
|
(257)
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
1,856,251
|
|
(356,926)
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
—
|
|
(75,570)
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
1,576,721
|
|
(1,877,312)
|
|
(805,188)
|
|
(63,210)
|
|
(8,179,338)
|
|
(12,524,995)
|
|
(1,951,222)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
166,957
|
|
1,427,197
|
|
632,779
|
|
(60,475)
|
|
—
|
|
—
|
|
919,590
|
—
|
|
(482)
|
|
—
|
|
(31)
|
|
172,043
|
|
18,176,479
|
|
—
|
—
|
|
(2,840)
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
—
|
|
5,450
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
(188,350)
|
|
(127,134)
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
—
|
|
10,911
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
(21,393)
|
|
1,313,102
|
|
632,779
|
|
(60,506)
|
|
172,043
|
|
18,176,479
|
|
919,590
|
1,555,328
|
|
(564,210)
|
|
(172,409)
|
|
(123,716)
|
|
(8,007,295)
|
|
5,651,484
|
|
(1,031,632)
|
$6,414,219
|
|
$
184,598 |
|
$
109,847 |
|
$
277,752 |
|
$(6,244,522)
|
|
$
7,404,096 |
|
$
526,325 |
SSGA ACTIVE
TRUST
STATEMENTS OF
OPERATIONS (continued)
For the Six Months Ended December 31, 2022 (Unaudited)
|
SPDR
DoubleLine Short Duration Total Return Tactical ETF |
|
SPDR
DoubleLine Total Return Tactical ETF |
INVESTMENT
INCOME |
|
|
|
Interest income — unaffiliated
issuers
|
$
2,255,206 |
|
$
47,030,243 |
Dividend income — affiliated
issuers
|
78,186
|
|
1,351,711
|
Other
income
|
9,384
|
|
—
|
Foreign taxes
withheld
|
—
|
|
(3,154)
|
TOTAL INVESTMENT INCOME
(LOSS)
|
2,342,776
|
|
48,378,800
|
EXPENSES
|
|
|
|
Advisory
fee
|
293,076
|
|
6,070,168
|
Trustees’ fees and expenses
|
785
|
|
13,259
|
Proxy voting
expenses
|
5,538
|
|
94,154
|
Miscellaneous
expenses
|
—
|
|
22
|
TOTAL
EXPENSES
|
299,399
|
|
6,177,603
|
NET INVESTMENT INCOME
(LOSS)
|
$
2,043,377 |
|
$
42,201,197 |
REALIZED
AND UNREALIZED GAIN (LOSS) |
|
|
|
Net
realized gain (loss) on: |
|
|
|
Investments — unaffiliated
issuers
|
(762,247)
|
|
(58,887,547)
|
Net
change in unrealized appreciation/depreciation on: |
|
|
|
Investments — unaffiliated
issuers
|
(597,383)
|
|
(41,865,759)
|
Unfunded loan
commitments
|
—
|
|
5,643
|
Net change in unrealized
appreciation/depreciation
|
(597,383)
|
|
(41,860,116)
|
NET REALIZED AND UNREALIZED GAIN
(LOSS)
|
(1,359,630)
|
|
(100,747,663)
|
NET INCREASE (DECREASE) IN NET ASSETS FROM
OPERATIONS
|
$
683,747 |
|
$
(58,546,466) |
See accompanying notes to financial statements.
114
[This Page
Intentionally Left Blank]
SSGA ACTIVE
TRUST
STATEMENTS OF CHANGES IN NET ASSETS
|
SPDR
SSGA Multi-Asset Real Return ETF |
|
SPDR
SSGA Income Allocation ETF |
|
Six
Months Ended 12/31/22 (Unaudited) |
|
Year
Ended 6/30/22 |
|
Six
Months Ended 12/31/22 (Unaudited) |
|
Year
Ended 6/30/22 |
INCREASE
(DECREASE) IN NET ASSETS FROM OPERATIONS: |
|
|
|
|
|
|
|
Net investment income
(loss)
|
$
25,563,610 |
|
$
23,531,552 |
|
$
2,739,266 |
|
$
4,230,037 |
Net realized gain
(loss)
|
(7,051,777)
|
|
4,007,362
|
|
(7,273,584)
|
|
(2,550)
|
Net change in unrealized
appreciation/depreciation
|
(6,079,474)
|
|
(26,093,305)
|
|
3,057,786
|
|
(15,709,270)
|
Net increase (decrease) in net assets resulting from
operations
|
12,432,359
|
|
1,445,609
|
|
(1,476,532)
|
|
(11,481,783)
|
Net equalization credits and
charges
|
(153,052)
|
|
2,661,692
|
|
17,585
|
|
(16,609)
|
Distributions to
shareholders
|
(23,810,351)
|
|
(26,209,495)
|
|
(2,567,121)
|
|
(4,045,876)
|
FROM
BENEFICIAL INTEREST TRANSACTIONS: |
|
|
|
|
|
|
|
Proceeds from shares
sold
|
230,862,230
|
|
419,842,759
|
|
17,870,869
|
|
38,728,531
|
Cost of shares
redeemed
|
(55,370,793)
|
|
(57,424,560)
|
|
(22,683,940)
|
|
(52,680,244)
|
Net income
equalization
|
153,052
|
|
(2,661,692)
|
|
(17,585)
|
|
16,609
|
Other
Capital
|
—
|
|
18,255
|
|
—
|
|
—
|
Net increase (decrease) in net assets from beneficial interest transactions
|
175,644,489
|
|
359,774,762
|
|
(4,830,656)
|
|
(13,935,104)
|
Net increase (decrease) in net assets during the
period
|
164,113,445
|
|
337,672,568
|
|
(8,856,724)
|
|
(29,479,372)
|
Net assets at beginning of
period
|
468,030,855
|
|
130,358,287
|
|
95,559,168
|
|
125,038,540
|
NET ASSETS AT END OF
PERIOD
|
$632,144,300
|
|
$468,030,855
|
|
$
86,702,444 |
|
$
95,559,168 |
SHARES
OF BENEFICIAL INTEREST: |
|
|
|
|
|
|
|
Shares
sold
|
8,220,000
|
|
14,140,000
|
|
590,000
|
|
1,120,000
|
Shares
redeemed
|
(2,010,000)
|
|
(1,950,000)
|
|
(760,000)
|
|
(1,520,000)
|
Net increase (decrease) from share
transactions
|
6,210,000
|
|
12,190,000
|
|
(170,000)
|
|
(400,000)
|
See accompanying notes to financial statements.
116
SPDR
SSGA Global Allocation ETF |
|
SPDR
SSGA Ultra Short Term Bond ETF |
|
SPDR
Loomis Sayles Opportunistic Bond ETF |
Six
Months Ended 12/31/22 (Unaudited) |
|
Year
Ended 6/30/22 |
|
Six
Months Ended 12/31/22 (Unaudited) |
|
Year
Ended 6/30/22 |
|
Six
Months Ended 12/31/22 (Unaudited) |
|
For
the Period 9/28/21*- 6/30/22 |
|
|
|
|
|
|
|
|
|
|
|
$
4,432,355 |
|
$
9,954,711 |
|
$
4,858,891 |
|
$
2,171,248 |
|
$
748,808 |
|
$
966,581 |
(9,992,015)
|
|
12,256,385
|
|
1,576,721
|
|
(685,236)
|
|
(1,877,312)
|
|
(2,421,925)
|
8,013,708
|
|
(53,905,411)
|
|
(21,393)
|
|
(6,068,494)
|
|
1,313,102
|
|
(3,484,542)
|
2,454,048
|
|
(31,694,315)
|
|
6,414,219
|
|
(4,582,482)
|
|
184,598
|
|
(4,939,886)
|
(39,835)
|
|
192
|
|
101,281
|
|
(79,660)
|
|
11,203
|
|
(29,064)
|
(11,188,770)
|
|
(12,089,236)
|
|
(5,303,291)
|
|
(2,137,247)
|
|
(885,204)
|
|
(831,308)
|
|
|
|
|
|
|
|
|
|
|
|
23,306,997
|
|
36,021,408
|
|
172,628,992
|
|
239,500,100
|
|
4,971,463
|
|
44,823,447
|
(22,849,995)
|
|
(34,093,710)
|
|
(59,900,582)
|
|
(332,794,845)
|
|
—
|
|
(10,438,804)
|
39,835
|
|
(192)
|
|
(101,281)
|
|
79,660
|
|
(11,203)
|
|
29,064
|
529
|
|
—
|
|
63,769
|
|
138,713
|
|
13,316
|
|
89,647
|
497,366
|
|
1,927,506
|
|
112,690,898
|
|
(93,076,372)
|
|
4,973,576
|
|
34,503,354
|
(8,277,191)
|
|
(41,855,853)
|
|
113,903,107
|
|
(99,875,761)
|
|
4,284,173
|
|
28,703,096
|
240,833,825
|
|
282,689,678
|
|
302,727,702
|
|
402,603,463
|
|
28,703,096
|
|
—
|
$232,556,634
|
|
$240,833,825
|
|
$416,630,809
|
|
$
302,727,702 |
|
$32,987,269
|
|
$
28,703,096 |
|
|
|
|
|
|
|
|
|
|
|
610,000
|
|
810,000
|
|
4,325,000
|
|
5,950,000
|
|
200,000
|
|
1,500,000
|
(590,000)
|
|
(770,000)
|
|
(1,500,000)
|
|
(8,300,000)
|
|
—
|
|
(400,000)
|
20,000
|
|
40,000
|
|
2,825,000
|
|
(2,350,000)
|
|
200,000
|
|
1,100,000
|
|
|
*
|
Commencement
of operations. |
SSGA ACTIVE
TRUST
STATEMENTS OF CHANGES IN NET ASSETS (continued)
|
SPDR
Nuveen Municipal Bond ETF |
|
SPDR
Nuveen Municipal Bond ESG ETF |
|
Six
Months Ended 12/31/22 (Unaudited) |
|
Year
Ended 6/30/22 |
|
Six
Months Ended 12/31/22 (Unaudited) |
|
For
the Period 4/5/22*- 6/30/22 |
INCREASE
(DECREASE) IN NET ASSETS FROM OPERATIONS: |
|
|
|
|
|
|
|
Net investment income
(loss)
|
$
282,256 |
|
$
231,606 |
|
$
401,468 |
|
$
152,659 |
Net realized gain
(loss)
|
(805,188)
|
|
(189,996)
|
|
(63,210)
|
|
(105,291)
|
Net change in unrealized
appreciation/depreciation
|
632,779
|
|
(3,416,424)
|
|
(60,506)
|
|
(476,707)
|
Net increase (decrease) in net assets resulting from
operations
|
109,847
|
|
(3,374,814)
|
|
277,752
|
|
(429,339)
|
Net equalization credits and
charges
|
6,512
|
|
(1,113)
|
|
830
|
|
1,649
|
Distributions to
shareholders
|
(425,884)
|
|
(700,875)
|
|
(497,910)
|
|
(102,786)
|
FROM
BENEFICIAL INTEREST TRANSACTIONS: |
|
|
|
|
|
|
|
Proceeds from shares
sold
|
5,291,272
|
|
10,685,680
|
|
2,863,918
|
|
32,963,912
|
Cost of shares
redeemed
|
—
|
|
(16,723,473)
|
|
—
|
|
—
|
Net income
equalization
|
(6,512)
|
|
1,113
|
|
(830)
|
|
(1,649)
|
Other
Capital
|
12
|
|
10,686
|
|
2,864
|
|
32,964
|
Net increase (decrease) in net assets from beneficial interest transactions
|
5,284,772
|
|
(6,025,994)
|
|
2,865,952
|
|
32,995,227
|
Net increase (decrease) in net assets during the
period
|
4,975,247
|
|
(10,102,796)
|
|
2,646,624
|
|
32,464,751
|
Net assets at beginning of
period
|
35,061,367
|
|
45,164,163
|
|
32,464,751
|
|
—
|
NET ASSETS AT END OF
PERIOD
|
$40,036,614
|
|
$
35,061,367 |
|
$
35,111,375 |
|
$32,464,751
|
SHARES
OF BENEFICIAL INTEREST: |
|
|
|
|
|
|
|
Shares
sold
|
200,000
|
|
400,000
|
|
100,000
|
|
1,100,000
|
Shares
redeemed
|
—
|
|
(600,000)
|
|
—
|
|
—
|
Net increase (decrease) from share
transactions
|
200,000
|
|
(200,000)
|
|
100,000
|
|
1,100,000
|
|
|
*
|
Commencement
of operations. |
See accompanying notes to financial statements.
118
SPDR
SSGA Fixed Income Sector Rotation ETF |
|
SPDR
SSGA US Sector Rotation ETF |
|
SPDR
DoubleLine Emerging Markets Fixed Income ETF |
Six
Months Ended 12/31/22 (Unaudited) |
|
Year
Ended 6/30/22 |
|
Six
Months Ended 12/31/22 (Unaudited) |
|
Year
Ended 6/30/22 |
|
Six
Months Ended 12/31/22 (Unaudited) |
|
Year
Ended 6/30/22 |
|
|
|
|
|
|
|
|
|
|
|
$
1,762,773 |
|
$
1,864,166 |
|
$
1,752,612 |
|
$
2,044,310 |
|
$
1,557,957 |
|
$
2,925,925 |
(8,179,338)
|
|
(5,800,454)
|
|
(12,524,995)
|
|
2,571,374
|
|
(1,951,222)
|
|
769,507
|
172,043
|
|
(9,885,098)
|
|
18,176,479
|
|
(30,518,656)
|
|
919,590
|
|
(17,006,267)
|
(6,244,522)
|
|
(13,821,386)
|
|
7,404,096
|
|
(25,902,972)
|
|
526,325
|
|
(13,310,835)
|
(360,483)
|
|
(509,259)
|
|
(104,214)
|
|
(142,580)
|
|
(11,492)
|
|
(15,165)
|
(1,704,355)
|
|
(1,883,135)
|
|
(2,616,810)
|
|
(7,269,494)
|
|
(1,804,193)
|
|
(5,404,954)
|
|
|
|
|
|
|
|
|
|
|
|
59,955,295
|
|
112,910,613
|
|
37,812,948
|
|
107,170,499
|
|
7,947,071
|
|
9,309,790
|
(27,936,748)
|
|
(61,634,491)
|
|
(20,839,830)
|
|
(45,148,661)
|
|
(13,574,299)
|
|
(40,124,127)
|
360,483
|
|
509,259
|
|
104,214
|
|
142,580
|
|
11,492
|
|
15,165
|
—
|
|
—
|
|
—
|
|
—
|
|
37,414
|
|
68,054
|
32,379,030
|
|
51,785,381
|
|
17,077,332
|
|
62,164,418
|
|
(5,578,322)
|
|
(30,731,118)
|
24,069,670
|
|
35,571,601
|
|
21,760,404
|
|
28,849,372
|
|
(6,867,682)
|
|
(49,462,072)
|
118,545,445
|
|
82,973,844
|
|
203,244,987
|
|
174,395,615
|
|
74,181,026
|
|
123,643,098
|
$142,615,115
|
|
$118,545,445
|
|
$225,005,391
|
|
$203,244,987
|
|
$
67,313,344 |
|
$
74,181,026 |
|
|
|
|
|
|
|
|
|
|
|
2,270,000
|
|
3,780,000
|
|
970,000
|
|
2,450,000
|
|
200,000
|
|
200,000
|
(1,070,000)
|
|
(2,060,000)
|
|
(530,000)
|
|
(1,040,000)
|
|
(325,000)
|
|
(825,000)
|
1,200,000
|
|
1,720,000
|
|
440,000
|
|
1,410,000
|
|
(125,000)
|
|
(625,000)
|
SSGA ACTIVE
TRUST
STATEMENTS OF CHANGES IN NET ASSETS (continued)
|
SPDR
DoubleLine Short Duration Total Return Tactical ETF |
|
SPDR
DoubleLine Total Return Tactical ETF |
|
Six
Months Ended 12/31/22 (Unaudited) |
|
Year
Ended 6/30/22 |
|
Six
Months Ended 12/31/22 (Unaudited) |
|
Year
Ended 6/30/22 |
INCREASE
(DECREASE) IN NET ASSETS FROM OPERATIONS: |
|
|
|
|
|
|
|
Net investment income
(loss)
|
$
2,043,377 |
|
$
2,322,666 |
|
$
42,201,197 |
|
$
77,993,893 |
Net realized gain
(loss)
|
(762,247)
|
|
(3,083,762)
|
|
(58,887,547)
|
|
(71,677,135)
|
Net change in unrealized
appreciation/depreciation
|
(597,383)
|
|
(6,559,270)
|
|
(41,860,116)
|
|
(268,963,903)
|
Net increase (decrease) in net assets resulting from
operations
|
683,747
|
|
(7,320,366)
|
|
(58,546,466)
|
|
(262,647,145)
|
Net equalization credits and
charges
|
(16,236)
|
|
(22,189)
|
|
—
|
|
(3,201)
|
Distributions to
shareholders
|
(2,329,017)
|
|
(2,972,526)
|
|
(65,247,706)
|
|
(96,266,392)
|
FROM
BENEFICIAL INTEREST TRANSACTIONS: |
|
|
|
|
|
|
|
Proceeds from shares
sold
|
3,479,690
|
|
89,243,755
|
|
464,427,759
|
|
12,031,920
|
Cost of shares
redeemed
|
(6,954,553)
|
|
(107,825,844)
|
|
(258,273,252)
|
|
(597,715,967)
|
Net income
equalization
|
16,236
|
|
22,189
|
|
—
|
|
3,201
|
Other
Capital
|
12,174
|
|
241,692
|
|
1,167,144
|
|
621,780
|
Net increase (decrease) in net assets from beneficial interest transactions
|
(3,446,453)
|
|
(18,318,208)
|
|
207,321,651
|
|
(585,059,066)
|
Net increase (decrease) in net assets during the
period
|
(5,107,959)
|
|
(28,633,289)
|
|
83,527,479
|
|
(943,975,804)
|
Net assets at beginning of
period
|
131,605,385
|
|
160,238,674
|
|
2,244,695,207
|
|
3,188,671,011
|
NET ASSETS AT END OF
PERIOD
|
$126,497,426
|
|
$
131,605,385 |
|
$2,328,222,686
|
|
$2,244,695,207
|
SHARES
OF BENEFICIAL INTEREST: |
|
|
|
|
|
|
|
Shares
sold
|
75,000
|
|
1,800,000
|
|
11,500,000
|
|
250,000
|
Shares
redeemed
|
(150,000)
|
|
(2,200,000)
|
|
(6,350,000)
|
|
(12,950,000)
|
Net increase (decrease) from share
transactions
|
(75,000)
|
|
(400,000)
|
|
5,150,000
|
|
(12,700,000)
|
See accompanying notes to financial statements.
120
SSGA ACTIVE
TRUST
FINANCIAL HIGHLIGHTS
Selected data for a share outstanding throughout each period
|
SPDR
SSGA Multi-Asset Real Return ETF |
|
Six
Months Ended 12/31/22 (Unaudited) |
|
Year
Ended 6/30/22 |
|
Year
Ended 6/30/21 |
|
Year
Ended 6/30/20 |
|
Year
Ended 6/30/19 |
|
Year
Ended 6/30/18(a) |
Net asset value, beginning of
period
|
$
27.93 |
|
$
28.52 |
|
$
21.25 |
|
$
25.18 |
|
$
26.62 |
|
$
23.97 |
Income
(loss) from investment operations: |
|
|
|
|
|
|
|
|
|
|
|
Net investment income (loss)
(b)
|
1.36
|
|
2.99
|
|
0.65
|
|
0.78
|
|
0.69
|
|
0.53
|
Net realized and unrealized gain (loss)
(c)
|
(0.65)
|
|
(0.44)
|
|
7.15
|
|
(3.89)
|
|
(1.43)
|
|
2.64
|
Total from investment
operations
|
0.71
|
|
2.55
|
|
7.80
|
|
(3.11)
|
|
(0.74)
|
|
3.17
|
Net equalization credits and charges
(b)
|
(0.01)
|
|
0.34
|
|
0.02
|
|
(0.02)
|
|
0.00(d)
|
|
(0.00)(d)
|
Other capital
(b)
|
—
|
|
0.00(d)
|
|
—
|
|
—
|
|
—
|
|
—
|
Distributions
to shareholders from: |
|
|
|
|
|
|
|
|
|
|
|
Net investment
income
|
(1.11)
|
|
(3.48)
|
|
(0.55)
|
|
(0.80)
|
|
(0.70)
|
|
(0.52)
|
Net asset value, end of
period
|
$
27.52 |
|
$
27.93 |
|
$
28.52 |
|
$
21.25 |
|
$
25.18 |
|
$
26.62 |
Total return
(e)
|
2.55%
|
|
10.57%
|
|
37.12%
|
|
(12.71)%
|
|
(2.71)%
|
|
13.26%
|
Ratios
and Supplemental Data: |
|
|
|
|
|
|
|
|
|
|
|
Net assets, end of period (in
000s)
|
$632,144
|
|
$468,031
|
|
$130,358
|
|
$53,750
|
|
$112,792
|
|
$143,742
|
Ratios
to average net assets: |
|
|
|
|
|
|
|
|
|
|
|
Total expenses
(f)
|
0.10%(g)
|
|
0.05%
|
|
0.08%
|
|
0.08%
|
|
0.12%
|
|
0.22%
|
Net investment income
(loss)
|
9.65%(g)
|
|
10.09%
|
|
2.56%
|
|
3.30%
|
|
2.76%
|
|
2.04%
|
Portfolio turnover
rate
|
17%(h)
|
|
38%
|
|
49%
|
|
30%
|
|
28%
|
|
44%
|
(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. |
See accompanying notes to financial statements.
121
SSGA ACTIVE
TRUST
FINANCIAL HIGHLIGHTS (continued)
Selected data for a share outstanding throughout each period
|
SPDR
SSGA Income Allocation ETF |
|
Six
Months Ended 12/31/22 (Unaudited) |
|
Year
Ended 6/30/22 |
|
Year
Ended 6/30/21 |
|
Year
Ended 6/30/20 |
|
Year
Ended 6/30/19 |
|
Year
Ended 6/30/18(a) |
Net asset value, beginning of
period
|
$
30.73 |
|
$
35.62 |
|
$
30.37 |
|
$
33.32 |
|
$
32.42 |
|
$
32.33 |
Income
(loss) from investment operations: |
|
|
|
|
|
|
|
|
|
|
|
Net investment income (loss)
(b)
|
0.94
|
|
1.33
|
|
1.35
|
|
1.43
|
|
1.53
|
|
1.02
|
Net realized and unrealized gain (loss)
(c)
|
(1.32)
|
|
(4.92)
|
|
5.18
|
|
(2.95)
|
|
0.91
|
|
0.09
|
Total from investment
operations
|
(0.38)
|
|
(3.59)
|
|
6.53
|
|
(1.52)
|
|
2.44
|
|
1.11
|
Net equalization credits and charges
(b)
|
0.01
|
|
(0.01)
|
|
0.04
|
|
0.03
|
|
0.03
|
|
(0.01)
|
Other capital
(b)
|
—
|
|
—
|
|
—
|
|
—
|
|
0.00(d)
|
|
—
|
Distributions
to shareholders from: |
|
|
|
|
|
|
|
|
|
|
|
Net investment
income
|
(0.87)
|
|
(1.29)
|
|
(1.32)
|
|
(1.46)
|
|
(1.57)
|
|
(1.01)
|
Net asset value, end of
period
|
$
29.49 |
|
$
30.73 |
|
$
35.62 |
|
$
30.37 |
|
$
33.32 |
|
$
32.42 |
Total return
(e)
|
(1.16)%
|
|
(10.41)%
|
|
21.90%
|
|
(4.56)%
|
|
7.93%
|
|
3.34%
|
Ratios
and Supplemental Data: |
|
|
|
|
|
|
|
|
|
|
|
Net assets, end of period (in
000s)
|
$86,702
|
|
$95,559
|
|
$125,039
|
|
$126,039
|
|
$104,613
|
|
$92,389
|
Ratios
to average net assets: |
|
|
|
|
|
|
|
|
|
|
|
Total expenses
(f)
|
0.06%(g)
|
|
0.12%
|
|
0.16%
|
|
0.18%
|
|
0.18%
|
|
0.39%
|
Net investment income
(loss)
|
6.16%(g)
|
|
3.85%
|
|
4.02%
|
|
4.41%
|
|
4.71%
|
|
3.07%
|
Portfolio turnover
rate
|
61%(h)
|
|
58%
|
|
60%
|
|
38%
|
|
71%
|
|
29%
|
(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. |
See accompanying notes to financial statements.
122
SSGA ACTIVE
TRUST
FINANCIAL HIGHLIGHTS (continued)
Selected data for a share outstanding throughout each period
|
SPDR
SSGA Global Allocation ETF |
|
Six
Months Ended 12/31/22 (Unaudited) |
|
Year
Ended 6/30/22 |
|
Year
Ended 6/30/21 |
|
Year
Ended 6/30/20 |
|
Year
Ended 6/30/19 |
|
Year
Ended 6/30/18(a) |
Net asset value, beginning of
period
|
$
38.97 |
|
$
46.04 |
|
$
36.88 |
|
$
38.33 |
|
$
37.72 |
|
$
35.52 |
Income
(loss) from investment operations: |
|
|
|
|
|
|
|
|
|
|
|
Net investment income (loss)
(b)
|
0.72
|
|
1.61
|
|
0.91
|
|
1.07
|
|
1.03
|
|
0.81
|
Net realized and unrealized gain (loss)
(c)
|
(0.34)
|
|
(6.71)
|
|
9.16
|
|
(1.44)
|
|
0.57
|
|
2.18
|
Total from investment
operations
|
0.38
|
|
(5.10)
|
|
10.07
|
|
(0.37)
|
|
1.60
|
|
2.99
|
Net equalization credits and charges
(b)
|
(0.01)
|
|
0.00(d)
|
|
(0.00)(d)
|
|
0.00(d)
|
|
0.01
|
|
0.01
|
Other capital
(b)
|
0.00(d)
|
|
—
|
|
—
|
|
0.00(d)
|
|
—
|
|
—
|
Distributions
to shareholders from: |
|
|
|
|
|
|
|
|
|
|
|
Net investment
income
|
(0.99)
|
|
(1.62)
|
|
(0.91)
|
|
(1.08)
|
|
(1.00)
|
|
(0.80)
|
Net realized
gains
|
(0.84)
|
|
(0.35)
|
|
—
|
|
—
|
|
—
|
|
—
|
Total
distributions
|
(1.83)
|
|
(1.97)
|
|
(0.91)
|
|
(1.08)
|
|
(1.00)
|
|
(0.80)
|
Net asset value, end of
period
|
$
37.51 |
|
$
38.97 |
|
$
46.04 |
|
$
36.88 |
|
$
38.33 |
|
$
37.72 |
Total return
(e)
|
1.03%
|
|
(11.58)%
|
|
27.51%
|
|
(1.00)%
|
|
4.37%
|
|
8.46%
|
Ratios
and Supplemental Data: |
|
|
|
|
|
|
|
|
|
|
|
Net assets, end of period (in
000s)
|
$232,557
|
|
$240,834
|
|
$282,690
|
|
$237,850
|
|
$255,687
|
|
$248,929
|
Ratios
to average net assets: |
|
|
|
|
|
|
|
|
|
|
|
Total expenses
(f)
|
0.11%(g)
|
|
0.11%
|
|
0.17%
|
|
0.09%
|
|
0.15%
|
|
0.20%
|
Net investment income
(loss)
|
3.72%(g)
|
|
3.59%
|
|
2.16%
|
|
2.84%
|
|
2.76%
|
|
2.14%
|
Portfolio turnover rate
(h)
|
75%(i)
|
|
153%
|
|
110%
|
|
94%
|
|
71%
|
|
43%
|
(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. |
See accompanying notes to financial statements.
123
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 12/31/22 (Unaudited) |
|
Year
Ended 6/30/22 |
|
Year
Ended 6/30/21 |
|
Year
Ended 6/30/20 |
|
Year
Ended 6/30/19 |
|
Year
Ended 6/30/18(a) |
Net asset value, beginning of
period
|
$
39.83 |
|
$
40.46 |
|
$
40.26 |
|
$
40.41 |
|
$
40.27 |
|
$
40.26 |
Income
(loss) from investment operations: |
|
|
|
|
|
|
|
|
|
|
|
Net investment income (loss)
(b)
|
0.55
|
|
0.21
|
|
0.27
|
|
0.81
|
|
1.02
|
|
0.68
|
Net realized and unrealized gain (loss)
(c)
|
0.15
|
|
(0.63)
|
|
0.25
|
|
(0.11)
|
|
0.04
|
|
(0.14)
|
Total from investment
operations
|
0.70
|
|
(0.42)
|
|
0.52
|
|
0.70
|
|
1.06
|
|
0.54
|
Net equalization credits and charges
(b)
|
0.01
|
|
(0.01)
|
|
0.00(d)
|
|
0.02
|
|
0.03
|
|
0.04
|
Other capital
(b)
|
0.01
|
|
0.01
|
|
0.01
|
|
0.03
|
|
0.02
|
|
0.06
|
Distributions
to shareholders from: |
|
|
|
|
|
|
|
|
|
|
|
Net investment
income
|
(0.59)
|
|
(0.21)
|
|
(0.33)
|
|
(0.90)
|
|
(0.97)
|
|
(0.63)
|
Net asset value, end of
period
|
$
39.96 |
|
$
39.83 |
|
$
40.46 |
|
$
40.26 |
|
$
40.41 |
|
$
40.27 |
Total return
(e)
|
1.81%
|
|
(1.05)%
|
|
1.34%
|
|
1.86%
|
|
2.79%
|
|
1.60%
|
Ratios
and Supplemental Data: |
|
|
|
|
|
|
|
|
|
|
|
Net assets, end of period (in
000s)
|
$416,631
|
|
$302,728
|
|
$402,603
|
|
$298,907
|
|
$167,719
|
|
$50,344
|
Ratios
to average net assets: |
|
|
|
|
|
|
|
|
|
|
|
Total
expenses
|
0.21%(f)
|
|
0.20%
|
|
0.20%
|
|
0.20%
|
|
0.20%
|
|
0.20%
|
Net investment income
(loss)
|
2.74%(f)
|
|
0.51%
|
|
0.67%
|
|
2.02%
|
|
2.54%
|
|
1.70%
|
Portfolio turnover
rate
|
22%(g)
|
|
68%
|
|
76%
|
|
71%
|
|
100%
|
|
76%
|
(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. |
See accompanying notes to financial statements.
124
SSGA ACTIVE
TRUST
FINANCIAL HIGHLIGHTS (continued)
Selected data for a share outstanding throughout each period
|
SPDR
Loomis Sayles Opportunistic Bond ETF |
|
Six
Months Ended 12/31/22 (Unaudited) |
|
For
the Period 9/28/2021*- 6/30/22 |
Net asset value, beginning of
period
|
$
26.09 |
|
$
30.00 |
Income
(loss) from investment operations: |
|
|
|
Net investment income (loss)
(a)
|
0.64
|
|
0.67
|
Net realized and unrealized gain (loss)
(b)
|
(0.63)
|
|
(4.05)
|
Total from investment
operations
|
0.01
|
|
(3.38)
|
Net equalization credits and charges
(a)
|
0.01
|
|
(0.02)
|
Other capital
(a)
|
0.01
|
|
0.06
|
Distributions
to shareholders from: |
|
|
|
Net investment
income
|
(0.75)
|
|
(0.57)
|
Net asset value, end of
period
|
$
25.37 |
|
$
26.09 |
Total return
(c)
|
0.11%
|
|
(11.25)%
|
Ratios
and Supplemental Data: |
|
|
|
Net assets, end of period (in
000s)
|
$32,987
|
|
$28,703
|
Ratios
to average net assets: |
|
|
|
Total
expenses
|
0.56%(d)
|
|
0.55%(d)
|
Net
expenses
|
0.53%(d)
|
|
0.51%(d)
|
Net investment income
(loss)
|
4.94%(d)
|
|
3.11%(d)
|
Portfolio turnover rate
(e)
|
67%(f)
|
|
101%(f)
|
*
|
Commencement of operations.
|
(a)
|
Per share
numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the period. |
(b)
|
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 shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net
asset value per share on the respective payment dates of each distribution. Total returns for periods of less than one year are not annualized. Broker commission charges are not included in this calculation. |
(d)
|
Annualized.
|
(e)
|
Portfolio
turnover rate excludes securities received or delivered from in-kind processing of creations or redemptions. |
(f)
|
Not
annualized. |
See accompanying notes to financial statements.
125
SSGA ACTIVE
TRUST
FINANCIAL HIGHLIGHTS (continued)
Selected data for a share outstanding throughout each period
|
SPDR
Nuveen Municipal Bond ETF |
|
Six
Months Ended 12/31/22 (Unaudited) |
|
Year
Ended 6/30/22 |
|
For
the Period 2/3/21*- 6/30/21 |
Net asset value, beginning of
period
|
$
26.97 |
|
$
30.11 |
|
$
30.00 |
Income
(loss) from investment operations: |
|
|
|
|
|
Net investment income (loss)
(a)
|
0.20
|
|
0.17
|
|
0.07
|
Net realized and unrealized gain (loss)
(b)
|
(0.18)
|
|
(2.80)
|
|
0.11
|
Total from investment
operations
|
0.02
|
|
(2.63)
|
|
0.18
|
Net equalization credits and charges
(a)
|
0.00(c)
|
|
(0.00)(c)
|
|
0.00(c)
|
Other capital
(a)
|
0.00(c)
|
|
0.01
|
|
0.03
|
Distributions
to shareholders from: |
|
|
|
|
|
Net investment
income
|
(0.30)
|
|
(0.30)
|
|
(0.10)
|
Net realized
gains
|
—
|
|
(0.22)
|
|
—
|
Total
distributions
|
(0.30)
|
|
(0.52)
|
|
(0.10)
|
Net asset value, end of
period
|
$
26.69 |
|
$
26.97 |
|
$
30.11 |
Total return
(d)
|
0.07%
|
|
(8.83)%
|
|
0.69%
|
Ratios
and Supplemental Data: |
|
|
|
|
|
Net assets, end of period (in
000s)
|
$40,037
|
|
$35,061
|
|
$45,164
|
Ratios
to average net assets: |
|
|
|
|
|
Total
expenses
|
0.41%(e)
|
|
0.40%
|
|
0.40%(e)
|
Net investment income
(loss)
|
1.49%(e)
|
|
0.57%
|
|
0.57%(e)
|
Portfolio turnover rate
(f)
|
30%(g)
|
|
49%
|
|
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.
126
SSGA ACTIVE
TRUST
FINANCIAL HIGHLIGHTS (continued)
Selected data for a share outstanding throughout each period
|
SPDR
Nuveen Municipal Bond ESG ETF |
|
Six
Months Ended 12/31/22 (Unaudited) |
|
For
the Period 4/5/2022*- 6/30/22 |
Net asset value, beginning of
period
|
$
29.51 |
|
$
30.00 |
Income
(loss) from investment operations: |
|
|
|
Net investment income (loss)
(a)
|
0.35
|
|
0.14
|
Net realized and unrealized gain (loss)
(b)
|
(0.17)
|
|
(0.57)
|
Total from investment
operations
|
0.18
|
|
(0.43)
|
Net equalization credits and charges
(a)
|
0.00(c)
|
|
0.00(c)
|
Other capital
(a)
|
0.00(c)
|
|
0.03
|
Distributions
to shareholders from: |
|
|
|
Net investment
income
|
(0.43)
|
|
(0.09)
|
Net asset value, end of
period
|
$
29.26 |
|
$
29.51 |
Total return
(d)
|
0.62%
|
|
(1.31)%
|
Ratios
and Supplemental Data: |
|
|
|
Net assets, end of period (in
000s)
|
$35,111
|
|
$32,465
|
Ratios
to average net assets: |
|
|
|
Total
expenses
|
0.44%(e)
|
|
0.43%(e)
|
Net investment income
(loss)
|
2.37%(e)
|
|
2.00%(e)
|
Portfolio turnover rate
(f)
|
23%(g)
|
|
5%(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.
127
SSGA ACTIVE
TRUST
FINANCIAL HIGHLIGHTS (continued)
Selected data for a share outstanding throughout each period
|
SPDR
SSGA Fixed Income Sector Rotation ETF |
|
Six
Months Ended 12/31/22 (Unaudited) |
|
Year
Ended 6/30/22 |
|
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
|
$
27.13 |
|
$
31.31 |
|
$
31.98 |
|
$
31.08 |
|
$
30.10 |
Income
(loss) from investment operations: |
|
|
|
|
|
|
|
|
|
Net investment income (loss)
(a)
|
0.36
|
|
0.52
|
|
0.63
|
|
0.81
|
|
0.15
|
Net realized and unrealized gain (loss)
(b)
|
(1.48)
|
|
(4.02)
|
|
(0.37)
|
|
1.31
|
|
0.99
|
Total from investment
operations
|
(1.12)
|
|
(3.50)
|
|
0.26
|
|
2.12
|
|
1.14
|
Net equalization credits and charges
(a)
|
(0.07)
|
|
(0.14)
|
|
(0.16)
|
|
(0.17)
|
|
0.00(c)
|
Distributions
to shareholders from: |
|
|
|
|
|
|
|
|
|
Net investment
income
|
(0.34)
|
|
(0.54)
|
|
(0.77)
|
|
(1.05)
|
|
(0.16)
|
Net asset value, end of
period
|
$
25.60 |
|
$
27.13 |
|
$
31.31 |
|
$
31.98 |
|
$
31.08 |
Total return
(d)
|
(4.36)%
|
|
(11.78)%
|
|
0.29%
|
|
6.42%
|
|
3.81%
|
Ratios
and Supplemental Data: |
|
|
|
|
|
|
|
|
|
Net assets, end of period (in
000s)
|
$142,615
|
|
$118,545
|
|
$82,974
|
|
$47,014
|
|
$10,877
|
Ratios
to average net assets: |
|
|
|
|
|
|
|
|
|
Total expenses
(e)
|
0.37%(f)
|
|
0.39%
|
|
0.39%
|
|
0.31%
|
|
0.31%(f)
|
Net investment income
(loss)
|
2.73%(f)
|
|
1.76%
|
|
1.99%
|
|
2.57%
|
|
1.98%(f)
|
Portfolio turnover rate
(g)
|
58%(h)
|
|
75%
|
|
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.
128
SSGA ACTIVE
TRUST
FINANCIAL HIGHLIGHTS (continued)
Selected data for a share outstanding throughout each period
|
SPDR
SSGA US Sector Rotation ETF |
|
Six
Months Ended 12/31/22 (Unaudited) |
|
Year
Ended 6/30/22 |
|
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
|
$
38.06 |
|
$
44.38 |
|
$
32.83 |
|
$
30.73 |
|
$
30.09 |
Income
(loss) from investment operations: |
|
|
|
|
|
|
|
|
|
Net investment income (loss)
(a)
|
0.31
|
|
0.47
|
|
0.36
|
|
0.57
|
|
0.23
|
Net realized and unrealized gain (loss)
(b)
|
1.04
|
|
(5.07)
|
|
11.62
|
|
1.98
|
|
0.55
|
Total from investment
operations
|
1.35
|
|
(4.60)
|
|
11.98
|
|
2.55
|
|
0.78
|
Net equalization credits and charges
(a)
|
(0.02)
|
|
(0.03)
|
|
(0.04)
|
|
0.03
|
|
(0.03)
|
Distributions
to shareholders from: |
|
|
|
|
|
|
|
|
|
Net investment
income
|
(0.46)
|
|
(0.46)
|
|
(0.39)
|
|
(0.48)
|
|
(0.11)
|
Net realized
gains
|
—
|
|
(1.23)
|
|
—
|
|
—
|
|
—
|
Total
distributions
|
(0.46)
|
|
(1.69)
|
|
(0.39)
|
|
(0.48)
|
|
(0.11)
|
Net asset value, end of
period
|
$
38.93 |
|
$
38.06 |
|
$
44.38 |
|
$
32.83 |
|
$
30.73 |
Total return
(c)
|
3.49%
|
|
(11.02)%
|
|
36.48%
|
|
8.52%
|
|
2.50%
|
Ratios
and Supplemental Data: |
|
|
|
|
|
|
|
|
|
Net assets, end of period (in
000s)
|
$225,005
|
|
$203,245
|
|
$174,396
|
|
$68,617
|
|
$14,136
|
Ratios
to average net assets: |
|
|
|
|
|
|
|
|
|
Total expenses
(d)
|
0.58%(e)
|
|
0.54%
|
|
0.52%
|
|
0.49%
|
|
0.49%(e)
|
Net investment income
(loss)
|
1.55%(e)
|
|
1.06%
|
|
0.89%
|
|
1.79%
|
|
3.12%(e)
|
Portfolio turnover rate
(f)
|
66%(g)
|
|
202%
|
|
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.
129
SSGA ACTIVE
TRUST
FINANCIAL HIGHLIGHTS (continued)
Selected data for a share outstanding throughout each period
|
SPDR
DoubleLine Emerging Markets Fixed Income ETF |
|
Six
Months Ended 12/31/22 (Unaudited) |
|
Year
Ended 6/30/22 |
|
Year
Ended 6/30/21 |
|
Year
Ended 6/30/20 |
|
Year
Ended 6/30/19 |
|
Year
Ended 6/30/18 |
Net asset value, beginning of
period
|
$
41.21 |
|
$
50.99 |
|
$
49.09 |
|
$
51.02 |
|
$
48.25 |
|
$
50.45 |
Income
(loss) from investment operations: |
|
|
|
|
|
|
|
|
|
|
|
Net investment income (loss)
(a)
|
0.91
|
|
1.49
|
|
1.48
|
|
1.87
|
|
1.98
|
|
1.31
|
Net realized and unrealized gain
(loss)
|
(0.89)
|
|
(8.60)
|
|
1.83
|
|
(2.06)
|
|
2.60
|
|
(1.74)
|
Total from investment
operations
|
0.02
|
|
(7.11)
|
|
3.31
|
|
(0.19)
|
|
4.58
|
|
(0.43)
|
Net equalization credits and charges
(a)
|
(0.01)
|
|
(0.01)
|
|
0.03
|
|
0.04
|
|
0.03
|
|
0.04
|
Other capital
(a)
|
0.02
|
|
0.03
|
|
0.09
|
|
0.13
|
|
0.08
|
|
0.10
|
Distributions
to shareholders from: |
|
|
|
|
|
|
|
|
|
|
|
Net investment
income
|
(1.05)
|
|
(1.47)
|
|
(1.53)
|
|
(1.91)
|
|
(1.92)
|
|
(1.36)
|
Net realized
gains
|
—
|
|
(1.22)
|
|
—
|
|
—
|
|
—
|
|
(0.55)
|
Total
distributions
|
(1.05)
|
|
(2.69)
|
|
(1.53)
|
|
(1.91)
|
|
(1.92)
|
|
(1.91)
|
Net asset value, end of
period
|
$
40.19 |
|
$
41.21 |
|
$
50.99 |
|
$
49.09 |
|
$
51.02 |
|
$
48.25 |
Total return
(b)
|
0.10%
|
|
(14.57)%
|
|
7.09%
|
|
(0.04)%
|
|
9.99%
|
|
(0.65)%
|
Ratios
and Supplemental Data: |
|
|
|
|
|
|
|
|
|
|
|
Net assets, end of period (in
000s)
|
$67,313
|
|
$74,181
|
|
$123,643
|
|
$94,494
|
|
$65,050
|
|
$48,253
|
Ratios
to average net assets: |
|
|
|
|
|
|
|
|
|
|
|
Total
expenses
|
0.66%(c)
|
|
0.65%
|
|
0.72%
|
|
0.75%
|
|
0.75%
|
|
0.76%
|
Net
expenses
|
0.66%(c)
|
|
0.65%
|
|
0.65%
|
|
0.65%
|
|
0.65%
|
|
0.65%
|
Net investment income
(loss)
|
4.49%(c)
|
|
3.12%
|
|
2.95%
|
|
3.77%
|
|
4.06%
|
|
2.64%
|
Portfolio turnover rate
(d)
|
16%(e)
|
|
38%
|
|
77%
|
|
54%
|
|
37%
|
|
55%
|
(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.
130
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 12/31/22 (Unaudited) |
|
Year
Ended 6/30/22 |
|
Year
Ended 6/30/21 |
|
Year
Ended 6/30/20 |
|
Year
Ended 6/30/19 |
|
Year
Ended 6/30/18 |
Net asset value, beginning of
period
|
$
46.59 |
|
$
49.69 |
|
$
49.57 |
|
$
49.53 |
|
$
48.81 |
|
$
49.61 |
Income
(loss) from investment operations: |
|
|
|
|
|
|
|
|
|
|
|
Net investment income (loss)
(a)
|
0.73
|
|
0.69
|
|
0.68
|
|
1.08
|
|
1.30
|
|
1.02
|
Net realized and unrealized gain (loss)
(b)
|
(0.47)
|
|
(2.96)
|
|
0.14
|
|
0.07
|
|
0.62
|
|
(0.99)
|
Total from investment
operations
|
0.26
|
|
(2.27)
|
|
0.82
|
|
1.15
|
|
1.92
|
|
0.03
|
Net equalization credits and charges
(a)
|
(0.01)
|
|
(0.01)
|
|
0.01
|
|
0.00(c)
|
|
0.03
|
|
0.05
|
Other capital
(a)
|
0.00(c)
|
|
0.07
|
|
0.01
|
|
0.03
|
|
0.06
|
|
0.12
|
Distributions
to shareholders from: |
|
|
|
|
|
|
|
|
|
|
|
Net investment
income
|
(0.84)
|
|
(0.73)
|
|
(0.72)
|
|
(1.14)
|
|
(1.29)
|
|
(1.00)
|
Net realized
gains
|
—
|
|
(0.16)
|
|
—
|
|
—
|
|
—
|
|
—
|
Total
distributions
|
(0.84)
|
|
(0.89)
|
|
(0.72)
|
|
(1.14)
|
|
(1.29)
|
|
(1.00)
|
Net asset value, end of
period
|
$
46.00 |
|
$
46.59 |
|
$
49.69 |
|
$
49.57 |
|
$
49.53 |
|
$
48.81 |
Total return
(d)
|
0.55%
|
|
(4.52)%
|
|
1.70%
|
|
2.43%
|
|
4.18%
|
|
0.43%
|
Ratios
and Supplemental Data: |
|
|
|
|
|
|
|
|
|
|
|
Net assets, end of period (in
000s)
|
$126,497
|
|
$131,605
|
|
$160,239
|
|
$142,519
|
|
$121,344
|
|
$82,984
|
Ratios
to average net assets: |
|
|
|
|
|
|
|
|
|
|
|
Total
expenses
|
0.46%(e)
|
|
0.45%
|
|
0.49%
|
|
0.50%
|
|
0.50%
|
|
0.50%
|
Net
expenses
|
0.46%(e)
|
|
0.45%
|
|
0.45%
|
|
0.45%
|
|
0.45%
|
|
0.45%
|
Net investment income
(loss)
|
3.14%(e)
|
|
1.41%
|
|
1.36%
|
|
2.18%
|
|
2.65%
|
|
2.07%
|
Portfolio turnover rate
(f)
|
16%(g)
|
|
104%
|
|
58%
|
|
43%
|
|
62%
|
|
50%
|
(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.
131
SSGA ACTIVE
TRUST
FINANCIAL HIGHLIGHTS (continued)
Selected data for a share outstanding throughout each period
|
SPDR
DoubleLine Total Return Tactical ETF |
|
Six
Months Ended 12/31/22 (Unaudited) |
|
Year
Ended 6/30/22 |
|
Year
Ended 6/30/21 |
|
Year
Ended 6/30/20 |
|
Year
Ended 6/30/19 |
|
Year
Ended 6/30/18(a) |
Net asset value, beginning of
period
|
$
42.27 |
|
$
48.46 |
|
$
49.40 |
|
$
48.96 |
|
$
47.60 |
|
$
49.03 |
Income
(loss) from investment operations: |
|
|
|
|
|
|
|
|
|
|
|
Net investment income (loss)
(b)
|
0.79
|
|
1.30
|
|
1.09
|
|
1.37
|
|
1.56
|
|
1.34
|
Net realized and unrealized gain (loss)
(c)
|
(1.89)
|
|
(5.91)
|
|
(0.70)
|
|
0.59
|
|
1.44
|
|
(1.34)
|
Total from investment
operations
|
(1.10)
|
|
(4.61)
|
|
0.39
|
|
1.96
|
|
3.00
|
|
0.00(d)
|
Net equalization credits and charges
(b)
|
—
|
|
(0.00)(d)
|
|
0.00(d)
|
|
(0.00)(d)
|
|
0.00(d)
|
|
0.00(d)
|
Contribution from
affiliate
|
—
|
|
—
|
|
0.00(d)
|
|
—
|
|
—
|
|
—
|
Other capital
(b)
|
0.02
|
|
0.01
|
|
0.00(d)
|
|
0.03
|
|
0.04
|
|
0.02
|
Distributions
to shareholders from: |
|
|
|
|
|
|
|
|
|
|
|
Net investment
income
|
(1.22)
|
|
(1.59)
|
|
(1.33)
|
|
(1.55)
|
|
(1.68)
|
|
(1.45)
|
Net asset value, end of
period
|
$
39.97 |
|
$
42.27 |
|
$
48.46 |
|
$
49.40 |
|
$
48.96 |
|
$
47.60 |
Total return
(e)
|
(2.58)%
|
|
(9.75)%
|
|
0.81%(f)
|
|
4.13%
|
|
6.53%
|
|
0.04%
|
Ratios
and Supplemental Data: |
|
|
|
|
|
|
|
|
|
|
|
Net assets, end of period (in
000s)
|
$2,328,223
|
|
$2,244,695
|
|
$3,188,671
|
|
$3,191,242
|
|
$3,336,881
|
|
$3,182,239
|
Ratios
to average net assets: |
|
|
|
|
|
|
|
|
|
|
|
Total
expenses
|
0.56%(g)
|
|
0.55%
|
|
0.62%
|
|
0.65%
|
|
0.65%
|
|
0.65%
|
Net
expenses
|
0.56%(g)
|
|
0.55%
|
|
0.55%
|
|
0.55%
|
|
0.55%
|
|
0.55%
|
Net investment income
(loss)
|
3.82%(g)
|
|
2.79%
|
|
2.22%
|
|
2.80%
|
|
3.27%
|
|
2.78%
|
Portfolio turnover
rate
|
51%(h)(i)
|
|
119%(i)
|
|
82%(i)
|
|
25%(i)
|
|
47%(i)
|
|
34%(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.
132
SSGA ACTIVE
TRUST
NOTES TO FINANCIAL STATEMENTS
December 31, 2022 (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, 2022, the Trust consists of fourteen (14)
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 |
SPDR
Nuveen Municipal Bond ESG ETF |
SPDR
SSGA Fixed Income Sector Rotation ETF |
SPDR
SSGA US Sector Rotation ETF |
SPDR
DoubleLine Emerging Markets Fixed Income ETF |
SPDR
DoubleLine Short Duration Total Return Tactical ETF |
SPDR
DoubleLine Total Return Tactical ETF |
The SPDR Loomis Sayles Opportunistic Bond ETF was
formed on September 27, 2021 and commenced operations on September 28, 2021. The SPDR Nuveen Municipal Bond ESG ETF was formed on April 4, 2022 and commenced operations on April 5, 2022.
The SPDR SSGA Ultra Short Term Bond ETF, SPDR
Loomis Sayles Opportunistic Bond ETF, SPDR Nuveen Municipal Bond ETF, SPDR Nuveen Municipal Bond ESG ETF and the SPDR DoubleLine Total Return Tactical ETF are each classified as a non-diversified investment company. The remaining Funds are each
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 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.
SSGA ACTIVE
TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
December 31, 2022 (Unaudited)
•
Investments in registered investment companies (including money market funds) or other unitized pooled investment vehicles that are not traded on an exchange are valued at that day’s published net asset value (“NAV”) per share
or unit.
•
Government and municipal fixed income securities are generally valued using quotations from independent pricing services or brokers. Certain government inflation-indexed securities may require a calculated fair valuation as the cumulative
inflation is contained within the price provided by the pricing service or broker. For these securities, the inflation component of the price is “cleaned” from the pricing service or broker price utilizing the published inflation factors
in order to ensure proper accrual of income.
•
Debt obligations (including short-term investments and convertible debt securities) are valued using quotations from independent pricing services or brokers or are generally valued at the last reported evaluated prices.
•
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.
•
Swap agreements are valued daily based upon prices supplied by Board approved pricing vendors or through brokers. Depending on the product and terms of the transaction, the value of agreements is determined using a series of techniques
including valuation models that incorporate a number of market data factors, such as discounted cash flows, yields, curves, trades and values of the underlying reference instruments. In the event the advisor is unable to obtain an independent,
third–party valuation the agreements will be fair valued.
•
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.
Various inputs are used in determining the value of the Funds'
investments.
The Funds value their assets and
liabilities at fair value using a fair value hierarchy consisting of three broad levels that prioritize the inputs to valuation techniques giving the highest priority to readily available unadjusted quoted prices in active markets for identical
assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements) when market prices are not readily available or reliable. The categorization of a value determined for an investment within the
hierarchy is based upon the pricing transparency of the investment and is not necessarily an indication of the risk associated with investing in it.
The three levels of the fair value hierarchy are as
follows:
• Level 1 – Unadjusted
quoted prices in active markets for an identical asset or liability;
•
Level 2 – Inputs other than quoted prices included within Level 1 that are observable for the asset or liability either directly or indirectly, including quoted prices for similar assets or liabilities in active markets, quoted prices for
identical or similar assets or liabilities in markets that are not considered to be active, inputs other than quoted prices that are observable for the asset or liability (such as exchange rates, financing terms, interest rates, yield curves,
volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs; and
SSGA ACTIVE
TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
December 31, 2022 (Unaudited)
•
Level 3 – Unobservable inputs for the asset or liability, including the Committee’s assumptions used in determining the fair value of investments.
The value of each Fund’s investments, according to the
fair value hierarchy as of December 31, 2022, is disclosed in each Fund’s respective Schedule of Investments.
Investment Transactions and Income Recognition
Investment transactions are accounted for on the trade date
for financial reporting purposes. Realized gains and losses from the sale and disposition of investments are determined using the identified cost method.
Dividend income and capital gain distributions, if any, are
recognized daily on the ex-dividend date, net of any foreign taxes withheld at source, if any. Interest income is recorded daily on an accrual basis. All premiums and discounts are amortized/accreted for financial reporting purposes.
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, 2022, 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, SPDR SSGA Global Allocation ETF and SPDR SSGA US Sector Rotation ETF and declared and paid monthly for SPDR SSGA Ultra Short Term Bond ETF, SPDR Loomis Sayles
Opportunistic Bond ETF, SPDR Doubline Total Return Tactical ETF, SPDR Doubline Emerging Markets Fixed Income ETF, SPDR DoubleLine Short Duration Total Return Tactical ETF, SPDR SSGA Fixed Income Sector Rotation ETF, SPDR Nuveen Municipal Bond ESG
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”).
SSGA ACTIVE
TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
December 31, 2022 (Unaudited)
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
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 invest in Senior
Loans. Senior Loans consist generally of obligations of companies and other entities (collectively, “borrowers”) incurred for the purpose of reorganizing the assets and liabilities of a borrower; acquiring another company; taking over
control of a company (leveraged buyout); temporary refinancing; or financing internal growth or other general business purposes. Senior Loans are often obligations of borrowers who have incurred a significant percentage of debt compared to their
total assets and thus are highly leveraged. The Fund 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 Fund as the issuers of such
loans.
4. Derivative Financial
Instruments
Forward Foreign Currency Exchange
Contracts
The SPDR Loomis Sayles Opportunitistic Bond
ETF may engage in forward foreign currency exchange contracts to acquire exposure to foreign currencies or to hedge the Fund's 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, the 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.
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, the Funds are required to deposit
with the broker, cash or securities in an amount equal to the minimum initial margin requirements of the clearing house. Subsequent payments are made or received by Funds 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, 2022, 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.
SSGA ACTIVE
TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
December 31, 2022 (Unaudited)
Credit Default Swaps
During the period ended December 31, 2022, the SPDR Loomis
Sayles Opportunistic Bond ETF engaged in credit default swaps to manage credit risk. When the Fund is the buyer in a credit default swap contract, the Fund is entitled to receive the par (or other agreed upon) value (full notional value) of a
referenced debt obligation (or basket of debt obligations) from the counterparty (or central clearing party (“CCP”) in the case of a centrally cleared swap) to the contract if a credit event by a third party, such as a U.S. or foreign
corporate issuer or sovereign issuer, on the debt obligation occurs. In return, the Fund pays the counterparty a periodic stream of payments over the term of the contract provided that no credit event has occurred. If no credit event occurs, the
Fund loses its investment and recovers nothing. However, if a credit event occurs, the Fund receives full notional value for a referenced debt obligation that may have little or no value. When the Fund is the seller of a credit default swap, it
receives a fixed rate of income throughout the term of the contract, provided there is no credit event. If a credit event occurs, the Fund is obligated to pay the notional amount of the swap and in certain instances take delivery of securities of
the reference entity upon the occurrence of a credit event, as defined under the terms of that particular swap agreement. Credit events are contract specific but may include bankruptcy, failure to pay, restructuring, obligation acceleration and
repudiation/moratorium. If the Fund is a seller of protection and a credit event occurs, the maximum potential amount of future payments that the Fund could be required to make would be an amount equal to the notional amount of the agreement. This
potential amount would be partially offset by any recovery value of the respective referenced obligation, or net amount received from the settlement.
As the seller, the Fund may create economic leverage to its
portfolio because, in addition to its total net assets, the Fund is subject to investment exposure on the notional amount of the swap. The interest fee paid or received on the swap, which is based on a specified interest rate on a fixed notional
amount, is accrued daily as a component of unrealized appreciation (depreciation) and is recorded as realized gain upon receipt or realized loss upon payment. The Fund also records an increase or decrease to unrealized appreciation (depreciation) in
an amount equal to the daily valuation. For centrally cleared swaps, the daily change in valuation is recorded as a receivable or payable for variation margin and settled in cash with the CCP daily. All upfront payments, if any, are amortized over
the life of the swap as realized gains or losses. Those upfront payments that are paid or received, typically for non-centrally cleared swaps, are recorded as other assets or other liabilities, respectively, net of amortization. For financial
reporting purposes, unamortized upfront payments, if any, are netted with unrealized appreciation or depreciation on swaps to determine the market value of swaps. The Fund segregates assets in the form of cash or liquid securities in an amount equal
to the notional amount of the credit default swaps of which it is the seller. The Fund segregates assets in the form of cash or liquid securities in an amount equal to any unrealized depreciation of the credit default swaps of which it is the buyer,
marked to market on a daily basis. Credit default swaps involve greater risks than if the Fund had invested in the referenced debt obligation directly. If the Fund is a buyer of a credit default swap and no credit event occurs, the Fund will not
earn any return on its investment. If the Fund is a seller of a credit default swap, the Fund’s risk of loss may be the entire notional amount of the swap. Swaps may also subject the Fund to the risk that the counterparty to the transaction
may not fulfill its its obligation. In the case of centrally cleared swaps, counterparty risk is minimal due to protections provided by the CCP.
The following tables summarize the value of the Fund's
derivative instruments as of December 31, 2022, and the related location in the accompanying Statements of Assets and Liabilities and Statements of Operations, presented by primary underlying risk exposure:
|
Liability
Derivatives |
|
Interest
Rate Risk |
|
Foreign
Exchange Risk |
|
Credit
Risk |
|
Equity
Risk |
|
Commodity
Risk |
|
Total
|
SPDR
SSGA Ultra Short Term Bond ETF |
|
|
|
|
|
|
|
|
|
|
|
Futures
Contracts
|
$
63,389 |
|
$
— |
|
$—
|
|
$—
|
|
$—
|
|
$
63,389 |
SPDR
Loomis Sayles Opportunistic Bond ETF |
|
|
|
|
|
|
|
|
|
|
|
Forward Foreign Currency Exchange
Contracts
|
—
|
|
274
|
|
—
|
|
—
|
|
—
|
|
274
|
Futures
Contracts
|
141,923
|
|
—
|
|
—
|
|
—
|
|
—
|
|
141,923
|
SSGA ACTIVE
TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
December 31, 2022 (Unaudited)
|
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
|
$1,856,251
|
|
$
— |
|
$
— |
|
$—
|
|
$—
|
|
$1,856,251
|
SPDR
Loomis Sayles Opportunistic Bond ETF |
|
|
|
|
|
|
|
|
|
|
|
Forward Foreign Currency Exchange
Contracts
|
—
|
|
3,325
|
|
—
|
|
—
|
|
—
|
|
3,325
|
Futures
Contracts
|
(356,926)
|
|
—
|
|
—
|
|
—
|
|
—
|
|
(356,926)
|
Swap
Contracts
|
—
|
|
—
|
|
(75,570)
|
|
—
|
|
—
|
|
(75,570)
|
|
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
|
$(188,350)
|
|
$
— |
|
$
— |
|
$—
|
|
$—
|
|
$(188,350)
|
SPDR
Loomis Sayles Opportunistic Bond ETF |
|
|
|
|
|
|
|
|
|
|
|
Forward Foreign Currency Exchange
Contracts
|
—
|
|
(2,840)
|
|
—
|
|
—
|
|
—
|
|
(2,840)
|
Futures
Contracts
|
(127,134)
|
|
—
|
|
—
|
|
—
|
|
—
|
|
(127,134)
|
Swap
Contracts
|
—
|
|
—
|
|
10,911
|
|
—
|
|
—
|
|
10,911
|
For financial reporting purposes,
the Funds do not offset derivative assets or liabilities, including those that may be subject to an enforceable Foreign Exchange Master Agreement that allows for net settlement between counterparties, on their Statements of Assets and Liabilities.
The following tables set forth the SPDR Loomis Sayles Opportunistic Bond ETF's net exposure to derivative assets and liabilities available for offset and net of collateral at December 31, 2022:
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
|
|
$(274)
|
|
$—
|
|
$—
|
|
$(274)
|
|
|
$(274)
|
|
$—
|
|
$—
|
|
$(274)
|
5. 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 Multi-Asset Real Return
ETF
|
0.50
*% |
SPDR SSGA Income Allocation
ETF
|
0.50
* |
SPDR SSGA Global Allocation
ETF
|
0.35
* |
SPDR SSGA Ultra Short Term Bond
ETF
|
0.20
|
SPDR Loomis Sayles Opportunistic Bond
ETF
|
0.55
|
SSGA ACTIVE
TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
December 31, 2022 (Unaudited)
|
Annual
Rate |
SPDR Nuveen Municipal Bond
ETF
|
0.40%
|
SPDR Nuveen Municipal Bond ESG
ETF
|
0.43
|
SPDR SSGA Fixed Income Sector Rotation
ETF
|
0.50
* |
SPDR SSGA US Sector Rotation
ETF
|
0.70
* |
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
|
* |
The Advisory fees are reduced
for SPDR SSGA Multi-Asset Real Return ETF, SPDR SSGA Income Allocation ETF, SPDR SSGA Global Allocation ETF, SPDR SSGA Fixed Income Sector Rotation ETF and SPDR SSGA US Sector Rotation ETF by the acquired fund fees and expenses and for the period
ended December 31, 2022, the net annualized advisory fees were 0.09%, 0.05%, 0.10%, 0.36% and 0.58% 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 Trusts's trustees, who are not “interested persons” of the Trust, as defined in the 1940 Act (“Independent
Trustees”) (including any Trustee’s counsel fees), acquired fund fees and expenses, litigation expenses and other extraordinary expenses.
Administrator, Custodian, Sub-Administrator and Transfer Agent
Fees
SSGA FM serves as administrator and State Street
Bank and Trust Company (“State Street”), an affiliate of the Adviser, serves as custodian, sub-administrator and transfer agent. State Street receives fees for its services as custodian, sub-administrator and transfer agent from the
Adviser.
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 January 6, 2017, as amended.
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.
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, 2022 are disclosed in the Schedules of Investments.
SSGA ACTIVE
TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
December 31, 2022 (Unaudited)
6. Trustees’ Fees
The fees and expenses of the Independent Trustees and one
interested, non-management Trustee are paid directly by the Funds. The Independent Trustees and one interested, non-management Trustee are reimbursed for travel and other out-of-pocket expenses in connection with meeting attendance and industry
seminars.
7. Investment
Transactions
Purchases and sales of investments
(excluding in-kind transactions and short term investments) for the period ended December 31, 2022, were as follows:
|
U.S.
Government Obligations |
|
Other
Securities |
|
Purchases
|
|
Sales
|
|
Purchases
|
|
Sales
|
SPDR SSGA Multi-Asset Real Return
ETF
|
$
— |
|
$
— |
|
$
87,319,752 |
|
$
90,646,363 |
SPDR SSGA Income Allocation
ETF
|
—
|
|
—
|
|
55,616,033
|
|
51,898,904
|
SPDR SSGA Global Allocation
ETF
|
—
|
|
—
|
|
161,136,471
|
|
161,674,853
|
SPDR SSGA Ultra Short Term Bond
ETF
|
—
|
|
—
|
|
74,045,477
|
|
54,823,256
|
SPDR Loomis Sayles Opportunistic Bond
ETF
|
830,909
|
|
1,656,915
|
|
20,511,684
|
|
16,919,391
|
SPDR Nuveen Municipal Bond
ETF
|
—
|
|
—
|
|
14,899,126
|
|
10,312,876
|
SPDR Nuveen Municipal Bond ESG
ETF
|
—
|
|
—
|
|
9,900,482
|
|
7,390,559
|
SPDR SSGA Fixed Income Sector Rotation
ETF
|
—
|
|
—
|
|
75,040,806
|
|
75,158,672
|
SPDR SSGA US Sector Rotation
ETF
|
—
|
|
—
|
|
146,608,289
|
|
147,794,822
|
SPDR DoubleLine Emerging Markets Fixed Income
ETF
|
—
|
|
—
|
|
10,379,455
|
|
15,769,281
|
SPDR DoubleLine Short Duration Total Return Tactical
ETF
|
13,915,820
|
|
2,098,361
|
|
5,549,776
|
|
13,484,999
|
SPDR DoubleLine Total Return Tactical
ETF
|
1,213,695,200
|
|
896,431,130
|
|
50,610,738
|
|
175,901,399
|
For the period ended December 31,
2022, 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
|
$220,099,587
|
|
$47,823,906
|
|
$3,901,158
|
SPDR SSGA Income Allocation
ETF
|
16,180,347
|
|
20,861,161
|
|
(412,915)
|
SPDR SSGA Global Allocation
ETF
|
21,904,973
|
|
21,478,839
|
|
2,087,157
|
SPDR SSGA Fixed Income Sector Rotation
ETF
|
59,960,818
|
|
27,933,800
|
|
(668,542)
|
SPDR SSGA US Sector Rotation
ETF
|
37,814,398
|
|
20,836,288
|
|
2,024,597
|
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.
SSGA ACTIVE
TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
December 31, 2022 (Unaudited)
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 of 1986, as amended. SPDR Loomis Sayles Opportunistic Bond ETF and SPDR Nuveen Municipal Bond ESG ETF intend to qualify as 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. SSGA FM has analyzed the Fund's tax positions taken on tax returns for all open years and does not believe there are any uncertain tax positions that would require recognition of a
tax liability.
Distributions to shareholders are
recorded on ex-dividend date. Income dividends and gain distributions are determined in accordance with income tax rules and regulations, which may differ from generally accepted accounting principles.
As of December 31, 2022, 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 SSGA Multi-Asset Real Return
ETF
|
$
702,408,454 |
|
$7,083,888
|
|
$
32,170,912 |
|
$
(25,087,024) |
SPDR SSGA Income Allocation
ETF
|
103,150,802
|
|
226,948
|
|
9,930,093
|
|
(9,703,145)
|
SPDR SSGA Global Allocation
ETF
|
275,988,474
|
|
6,670,831
|
|
5,919,116
|
|
751,715
|
SPDR SSGA Ultra Short Term Bond
ETF
|
417,779,620
|
|
193,664
|
|
5,442,615
|
|
(5,248,951)
|
SPDR Loomis Sayles Opportunistic Bond
ETF
|
33,645,792
|
|
273,723
|
|
2,453,633
|
|
(2,179,910)
|
SPDR Nuveen Municipal Bond
ETF
|
41,452,274
|
|
10,015
|
|
3,004,503
|
|
(2,994,488)
|
SPDR Nuveen Municipal Bond ESG
ETF
|
34,458,512
|
|
100,618
|
|
649,923
|
|
(549,305)
|
SPDR SSGA Fixed Income Sector Rotation
ETF
|
177,792,489
|
|
118,224
|
|
9,671,393
|
|
(9,553,169)
|
SPDR SSGA US Sector Rotation
ETF
|
287,454,440
|
|
3,520,950
|
|
6,989,271
|
|
(3,468,321)
|
SPDR DoubleLine Emerging Markets Fixed Income
ETF
|
80,261,569
|
|
172,410
|
|
14,070,565
|
|
(13,898,155)
|
SPDR DoubleLine Short Duration Total Return Tactical
ETF
|
132,489,619
|
|
115,646
|
|
6,926,695
|
|
(6,811,049)
|
SPDR DoubleLine Total Return Tactical
ETF
|
2,615,396,218
|
|
2,150,022
|
|
303,567,977
|
|
(301,417,955)
|
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, the
Funds will bear the risk of loss of any cash collateral that it may invest. The Funds 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, the Funds 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, 2022, 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 does 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.
SSGA ACTIVE
TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
December 31, 2022 (Unaudited)
The following is a summary of each Fund's securities lending
agreements and related cash and non-cash collateral received as of December 31, 2022:
Fund
|
|
Market
Value of Securities on Loan |
|
Cash
Collateral Received |
|
Non-Cash
Collateral Received* |
|
Total
Collateral Received |
SPDR SSGA Multi-Asset Real Return
ETF
|
|
$
44,497,363 |
|
$
45,511,787 |
|
$
134,250 |
|
$
45,646,037 |
SPDR SSGA Income Allocation
ETF
|
|
10,843,490
|
|
6,784,842
|
|
4,368,875
|
|
11,153,717
|
SPDR SSGA Global Allocation
ETF
|
|
45,846,754
|
|
45,214,621
|
|
2,011,450
|
|
47,226,071
|
SPDR SSGA Fixed Income Sector Rotation
ETF
|
|
27,447,700
|
|
25,608,951
|
|
2,787,750
|
|
28,396,701
|
SPDR SSGA US Sector Rotation
ETF
|
|
72,479,637
|
|
58,900,996
|
|
15,402,475
|
|
74,303,471
|
*
|
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, 2022:
|
|
|
|
Remaining
Contractual Maturity of the Agreements as of December 31, 2022 |
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 |
|
$
45,511,787 |
|
$—
|
|
$—
|
|
$—
|
|
$
45,511,787 |
|
$
45,511,787 |
SPDR SSGA Income Allocation
ETF
|
|
Mutual
Funds and Exchange Traded Products |
|
6,784,842
|
|
—
|
|
—
|
|
—
|
|
6,784,842
|
|
6,784,842
|
SPDR SSGA Global Allocation
ETF
|
|
Mutual
Funds and Exchange Traded Products |
|
45,214,621
|
|
—
|
|
—
|
|
—
|
|
45,214,621
|
|
45,214,621
|
SPDR SSGA Fixed Income Sector Rotation
ETF
|
|
Mutual
Funds and Exchange Traded Products |
|
25,608,951
|
|
—
|
|
—
|
|
—
|
|
25,608,951
|
|
25,608,951
|
SPDR SSGA US Sector Rotation
ETF
|
|
Mutual
Funds and Exchange Traded Products |
|
58,900,996
|
|
—
|
|
—
|
|
—
|
|
58,900,996
|
|
58,900,996
|
11. Line of
Credit
Certain Funds and other affiliated funds (each a
“Participant” and, collectively, the “Participants”) have access to $200 million of a $1.275 billion ($1.1 billion prior to October 6, 2022) revolving credit facility provided by a syndication of banks under which the
Participants may borrow to fund shareholder redemptions. This agreement expires in October 2023 unless extended or renewed.
The following Funds participate in the credit facility as of
December 31, 2022:
SPDR
SSGA Ultra Short Term Bond ETF |
SPDR
Loomis Sayles Opportunistic Bond ETF |
SPDR
DoubleLine Emerging Markets Fixed Income ETF |
SPDR
DoubleLine Short Duration Total Return Tactical ETF |
SPDR
DoubleLine Total Return Tactical ETF |
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.
SSGA ACTIVE
TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
December 31, 2022 (Unaudited)
The Funds had no outstanding loans as of December 31,
2022.
12. 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 were more broadly
diversified.
Foreign and Emerging Markets Risk
Investing in foreign markets involves risks and considerations
not typically associated with investing in the U.S. Foreign securities may be subject to risk of loss because of government regulation, economic, political and social instability in the countries in which the undefined invests. Foreign markets may
be less liquid than investments in the U.S. and may be subject to the risks of currency fluctuations. To the extent that the undefined invests in securities of issuers located in emerging markets, these risks may be even more pronounced.
Credit Risk
The Funds 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 Funds have unsettled or open transactions defaults.
Market Risk
Market prices of investments held by a Fund will go up or
down, sometimes rapidly or unpredictably. A 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, inflation, changes in actual or perceived creditworthiness of issuers and general
market liquidity. Even if general economic conditions do not change, the value of an investment in a Fund could decline if the particular industries, sectors or companies in which the Fund invests do not perform well or are adversely affected by
events. Further, legal, political, regulatory and tax changes also may cause fluctuations in markets and securities prices. Local, regional or global events such as war, military conflicts, acts of terrorism, natural disasters, the spread of
infectious illness, such as COVID-19, or other public health issues, or other events could have a significant impact on a Fund and its investments.
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.
SSGA ACTIVE
TRUST
OTHER INFORMATION
December 31, 2022 (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, 2022 to December 31, 2022.
The table below illustrates your Fund's cost in two
ways:
Based on actual fund return ——This section helps you to estimate the actual expenses that you paid over the period. The “Ending Account Value” shown is derived from each Fund's actual return, and the third column shows the
dollar amount that would have been paid by an investor who started with $1,000 in the Fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your
account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for the Fund under the heading “Expenses Paid During Period”.
Based on hypothetical 5%
return ——This section is intended to help you compare your Fund's costs with those of other mutual funds. It assumes that the Fund had a yearly return of 5% before expenses, but that the expense ratio is
unchanged. In this case, because the return used is not the Fund's actual return, the results do not apply to your investment. The example is useful in making comparisons because the U.S. Securities and Exchange Commission (the “SEC”)
requires all mutual funds to calculate expenses based on a 5% return. You can assess your Fund's costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.
Please note that the expenses shown in the table are meant to
highlight your ongoing costs only and do not reflect any transaction costs, such as sales load charges (loads). Therefore, the hypothetical 5% return section of the table is useful in comparing ongoing costs only, and will not help you determine the
relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher.
|
|
|
Actual
|
|
Hypothetical
(assuming a 5% return before expenses) |
|
Annualized
Expense Ratio |
|
Ending
Account Value |
|
Expenses
Paid During Period(a) |
|
Ending
Account Value |
|
Expenses
Paid During Period(a) |
SPDR SSGA Multi-Asset Real Return
ETF
|
0.10%
|
|
$1,025.50
|
|
$0.51
|
|
$1,024.70
|
|
$0.51
|
SPDR SSGA Income Allocation
ETF
|
0.06
|
|
988.40
|
|
0.30
|
|
1,024.90
|
|
0.31
|
SPDR SSGA Global Allocation
ETF
|
0.11
|
|
1,010.30
|
|
0.56
|
|
1,024.70
|
|
0.56
|
SPDR SSGA Ultra Short Term Bond
ETF
|
0.21
|
|
1,018.10
|
|
1.07
|
|
1,024.10
|
|
1.07
|
SPDR Loomis Sayles Opportunistic Bond
ETF
|
0.53
|
|
1,001.10
|
|
2.67
|
|
1,022.50
|
|
2.70
|
SPDR Nuveen Municipal Bond
ETF
|
0.41
|
|
1,000.70
|
|
2.07
|
|
1,023.10
|
|
2.09
|
SPDR Nuveen Municipal Bond ESG
ETF
|
0.44
|
|
1,006.20
|
|
2.22
|
|
1,023.00
|
|
2.24
|
SPDR SSGA Fixed Income Sector Rotation
ETF
|
0.37
|
|
956.40
|
|
1.82
|
|
1,023.30
|
|
1.89
|
SPDR SSGA US Sector Rotation
ETF
|
0.58
|
|
1,034.90
|
|
2.97
|
|
1,022.30
|
|
2.96
|
SPDR DoubleLine Emerging Markets Fixed Income
ETF
|
0.66
|
|
1,001.00
|
|
3.33
|
|
1,021.90
|
|
3.36
|
SPDR DoubleLine Short Duration Total Return Tactical
ETF
|
0.46
|
|
1,005.50
|
|
2.33
|
|
1,022.90
|
|
2.35
|
SPDR DoubleLine Total Return Tactical
ETF
|
0.56
|
|
974.20
|
|
2.79
|
|
1,022.40
|
|
2.85
|
(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. |
SSGA ACTIVE
TRUST
OTHER INFORMATION (continued)
December 31, 2022 (Unaudited)
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 Funds 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.
Shareholder Meeting Results
A Special Meeting of the Shareholders of SSGA Active Trust
(the “Shareholder Meeting”) was held on October 20, 2022. The purpose of the Shareholder Meeting was to ask shareholders to approve the election of Trustees. At the Shareholder Meeting, the shareholders of each Fund approved the election
of Trustees. The results of the voting are as follows:
Trustee
Nominee Name |
Shares
For |
Shares
Withheld |
Clare
S. Richer |
458,963,922.211
|
3,805,311.071
|
Sandra
G. Sponem |
458,912,867.553
|
3,856,365.729
|
Kristi
L. Rowsell |
459,030,936.405
|
3,738,296.877
|
Gunjan
Chauhan |
458,827,846.171
|
3,941,387.111
|
Carolyn
M. Clancy |
459,042,164.143
|
3,727,069.139
|
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).
[This Page Intentionally Left Blank]
Trustees
Gunjan Chauhan, Interested Trustee
Dwight D. Churchill
Carolyn M. Clancy
Clare S. Richer
James E. Ross, Interested Non-management Trustee
Kristi L. Rowsell
Sandra G. Sponem
Carl G. Verboncoeur, Chairman
Investment Manager and Administrator
SSGA Funds Management, Inc.
One Iron Street
Boston, MA
02210
Distributor
State Street Global Advisors Funds Distributors, LLC
One
Iron Street
Boston, MA 02210
Custodian, Sub-Administrator and Transfer Agent
State Street Bank and Trust Company
One Lincoln Street
Boston, MA 02111
Legal Counsel
Morgan, Lewis & Bockius LLP
1111 Pennsylvania Avenue,
NW
Washington, DC 20004
Independent Registered Public
Accounting Firm
Ernst & Young LLP
200 Clarendon
Street
Boston, MA 02116
The information contained in this report is
intended for the general information of shareholders of the Trust. This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current Trust prospectus which contains important information concerning
the Trust. You may obtain a current prospectus and SAI from the Distributor by calling 1-866-787-2257 or visiting https://www.ssga.com/spdrs. Please read the prospectus carefully before you invest.
For more complete information, please call 1.866.787.2257 or visit https://www.ssga.com/spdrs today.
State Street Global Advisors
One Iron Street
Boston,
MA 02210
ETFs trade like stocks, are subject to
investment risk, fluctuate in market value and may trade at prices above or below the ETF's net asset value. Brokerage commissions and ETF expenses will reduce returns.
Because the Funds are actively managed, they are therefore
subject to the risk that the investments selected by SSGA may cause the Funds to underperform relative to their benchmarks or other funds with similar investment objectives. Actively managed ETFs do not seek to replicate the performance of a
specified index.
Foreign investments involve greater
risks than U.S. investments, including political and economic risks and the risk of currency fluctuations, all of which may be magnified in emerging markets.
Bonds generally present less short-term risk and volatility
than stocks, but contain interest rate risk (as interest rates rise bond prices usually fall); issuer default risk; issuer credit risk; liquidity risk; and inflation risk. These effects are usually pronounced for longer-term securities. Any fixed
income security sold or redeemed prior to maturity may be subject to a substantial gain or loss.
Investing in commodities entail significant risk and is not
appropriate for all investors. Commodities investing entail significant risk as commodity prices can be extremely volatile due to wide range of factors. A few such factors include overall market movements, real or perceived inflationary trends,
commodity index volatility, international, economic and political changes, change in interest and currency exchange rates.
Past performance is no guarantee of future results. It is not possible to
invest directly in an index. Index performance does not reflect charges and expenses associated with the fund or brokerage commissions associated with buying and selling a fund. Index performance is not meant to represent that of any particular
fund.
Standard & Poor’s, S& P and SPDR are
registered trademarks of Standard & Poor’s Financial Services LLC (S&P); Dow Jones is a registered trademark of Dow Jones Trademark Holdings LLC (Dow Jones); and these trademarks have been licensed for use by S&P Dow Jones Indices
LLC (SPDJI) and sublicensed for certain purposes by State Street Corporation. State Street Corporation’s financial products are not sponsored, endorsed, sold or promoted by SPDJI, Dow Jones, S&P, their respective affiliates and third party
licensors and none of such parties make any representation regarding the advisability of investing in such product(s) nor do they have any liability in relation thereto, including for any errors, omissions, or interruptions of any index.
DoubleLine® is a registered trademark of DoubleLine Capital LP.
State Street Global Advisors Funds Distributors, LLC is the
distributor for all registered products on behalf of the adviser. SSGA Funds Management has retained GSO Capital Partners, Massachusetts Financial Services Company & DoubleLine Capital LP as the Sub-Adviser.
Before investing, consider a Fund’s investment objectives,
risks, charges and expenses. To obtain a prospectus or summary prospectus which contains this and other information, call 1.866.787.2257 or visit https://www.ssga.com/spdrs. Read it carefully.
Not FDIC Insured. No Bank Guarantee. May Lose Value.
The information contained in this report is
intended for the general information of shareholders of the Trust. This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current Trust prospectus which contains important information concerning
the Trust. You may obtain a current prospectus and SAI from the Distributor by calling 1-866-787-2257 or visiting https://www.ssga.com/spdrs. Please read the prospectus carefully before you invest.
© 2022 State Street Corporation - All Rights Reserved
SPDRACTIVESAR
Semi-Annual Report
December 31, 2022
SSGA Active Trust
SPDR
Blackstone High Income ETF |
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.
TABLE OF CONTENTS (Unaudited)
The information contained in this report is intended
for the general information of shareholders of the Trust. This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current Trust prospectus which contains important information concerning the Trust.
You may obtain a current prospectus and SAI from the Distributor by calling 1-866-787-2257 or visiting https://www.ssga.com/spdrs. Please read the prospectus carefully before you invest.
[This Page
Intentionally Left Blank]
SPDR
Blackstone High Income ETF
Portfolio Statistics (Unaudited)
Top Five Holdings as of December 31,
2022
|
|
|
|
|
Description
|
%
of Net Assets |
|
|
Point
Au Roche Park CLO Ltd. 10.34% 7/20/2034 |
1.0%
|
|
|
Mineral
Resources, Ltd. 8.50% 5/1/2030 |
0.7
|
|
|
Intesa
Sanpaolo SpA 5.71% 1/15/2026 |
0.7
|
|
|
LTI
Holdings, Inc. Senior Secured 2018 2nd Lien Term Loan 11.13% 9/6/2026 |
0.7
|
|
|
Sunoco
L.P./Sunoco Finance Corp. 4.50% 5/15/2029 |
0.6
|
|
|
TOTAL
|
3.7%
|
|
(The five largest holdings are subject to
change, and there are no guarantees the Fund will continue to remain invested in any particular company.)
Industry Breakdown as of December 31,
2022
|
|
|
|
|
|
%
of Net Assets |
|
|
Software
|
7.0%
|
|
|
Oil,
Gas & Consumable Fuels |
6.9
|
|
|
Diversified
Financial Services |
4.8
|
|
|
Media
|
4.7
|
|
|
Hotels,
Restaurants & Leisure |
3.8
|
|
|
Insurance
|
3.3
|
|
|
Entertainment
|
3.1
|
|
|
Retail-Restaurants
|
3.1
|
|
|
Other
ABS |
3.0
|
|
|
Commercial
Services |
2.8
|
|
|
Commercial
Services & Supplies |
2.7
|
|
|
Health
Care Providers & Services |
2.6
|
|
|
Specialty
Retail |
2.6
|
|
|
Real
Estate Investment Trusts (REITs) |
2.3
|
|
|
Aerospace
& Defense |
2.2
|
|
|
Chemicals
|
1.9
|
|
|
Pipelines
|
1.9
|
|
|
Diversified
Telecommunication Services |
1.8
|
|
|
Leisure
Industry |
1.8
|
|
|
Construction
& Engineering |
1.6
|
|
|
Food
& Staples Retailing |
1.5
|
|
|
Home
Furnishings |
1.5
|
|
|
Pharmaceuticals
|
1.3
|
|
|
Metals
& Mining |
1.3
|
|
|
IT
Services |
1.2
|
|
|
Containers
& Packaging |
1.2
|
|
|
Transport-Services
|
1.0
|
|
|
Metal-Iron
|
1.0
|
|
|
Electronic
Equipment, Instruments & Components |
0.8
|
|
|
Construction
Materials |
0.8
|
|
|
Airlines
|
0.8
|
|
|
Miscellaneous
Manufactur |
0.8
|
|
|
Capital
Markets |
0.8
|
|
|
Electric
Utilities |
0.8
|
|
|
Steel-Producers
|
0.7
|
|
|
Advertising
Services |
0.7
|
|
|
Household
Products |
0.7
|
|
|
Commercial
Banks |
0.7
|
|
|
Paper
& Forest Products |
0.7
|
|
|
Independent
Power Producers & Energy Traders |
0.6
|
|
|
Auto
Components |
0.6
|
|
|
Computer
Services |
0.6
|
|
|
Automobiles
|
0.6
|
|
|
Telecom
Services |
0.5
|
|
|
Professional
Services |
0.5
|
|
|
Communications
Equipment |
0.5
|
|
|
Air
Freight & Logistics |
0.5
|
|
|
Machinery
|
0.5
|
|
|
Building
Products |
0.5
|
|
|
Food
Products |
0.5
|
|
|
Life
Sciences Tools & Services |
0.5
|
|
|
Health
Care Equipment & Supplies |
0.4
|
|
|
Cosmetics
& Toiletries |
0.4
|
|
|
Computers
|
0.4
|
|
|
Distribution/Wholesale
|
0.4
|
|
See accompanying notes to financial statements.
1
SPDR
Blackstone High Income ETF
Portfolio Statistics
(Unaudited) (continued)
|
|
|
|
|
|
%
of Net Assets |
|
|
Financial
Services |
0.4%
|
|
|
Energy-Alternate
Sources |
0.4
|
|
|
Office
Automation&Equip |
0.4
|
|
|
Electronic
Compo-Misc |
0.4
|
|
|
Electrical
Equipment |
0.3
|
|
|
Road
& Rail |
0.3
|
|
|
Consumer
Finance |
0.3
|
|
|
Telecommunication
Equip |
0.3
|
|
|
Retail-Building
Products |
0.3
|
|
|
Machinery-Construction
& Mining |
0.3
|
|
|
Beverages
|
0.3
|
|
|
Textiles,
Apparel & Luxury Goods |
0.3
|
|
|
Investment
Companies |
0.3
|
|
|
Semiconductors
& Semiconductor Equipment |
0.3
|
|
|
Casino
Services |
0.3
|
|
|
Television
|
0.2
|
|
|
Trading
Companies & Distributors |
0.2
|
|
|
Food-Misc/Diversified
|
0.2
|
|
|
Internet
Security |
0.2
|
|
|
Distributors
|
0.2
|
|
|
Leisure&Rec/Games
|
0.2
|
|
|
Environ
Monitoring&Det |
0.2
|
|
|
Real
Estate |
0.2
|
|
|
MRI/Medical
Diag Imaging |
0.1
|
|
|
Transport-Air
Freight |
0.1
|
|
|
Food
& Beverage |
0.1
|
|
|
Internet
& Telecom |
0.1
|
|
|
Forestry
|
0.1
|
|
|
Energy
Equipment & Services |
0.1
|
|
|
Cable/Satellite
TV |
0.1
|
|
|
Finance-Credit
Card |
0.1
|
|
|
Personal
Products |
0.1
|
|
|
Thrifts
& Mortgage Finance |
0.1
|
|
|
Diversified
Consumer Services |
0.1
|
|
|
Gaming
& Entertainment |
0.1
|
|
|
Office
Furnishings-Orig |
0.1
|
|
|
Medical
Labs&Testing Srv |
0.0
* |
|
|
Coal
|
0.0
* |
|
|
Short-Term
Investment |
8.2
|
|
|
Liabilities
in Excess of Other Assets |
(6.2)
|
|
|
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.
2
SPDR
Blackstone Senior Loan ETF
Portfolio Statistics (Unaudited)
Top Five Holdings as of December 31,
2022
|
|
|
|
|
Description
|
%
of Net Assets |
|
|
1011778
B.C. Unlimited Liability Co. Senior Secured Term Loan B4 5.82% 11/19/2026 |
2.2%
|
|
|
Caesars
Resort Collection LLC Senior Secured 2017 1st Lien Term Loan B 7.13% 12/23/2024 |
1.7
|
|
|
Peraton
Corp. Senior Secured Term Loan B 8.13% 2/1/2028 |
1.7
|
|
|
Medline
Borrower LP Senior Secured USD Term Loan B 7.63% 10/23/2028 |
1.5
|
|
|
Berry
Global, Inc. Senior Secured 2021 Term Loan Z 6.02% 7/1/2026 |
1.5
|
|
|
TOTAL
|
8.6%
|
|
(The five largest holdings are subject to
change, and there are no guarantees the Fund will continue to remain invested in any particular company.)
Industry Breakdown as of December 31,
2022
|
|
|
|
|
|
%
of Net Assets |
|
|
Software
|
12.3%
|
|
|
Hotels,
Restaurants & Leisure |
7.3
|
|
|
Media
|
6.6
|
|
|
Health
Care Providers & Services |
5.9
|
|
|
Diversified
Financial Services |
5.9
|
|
|
Insurance
|
4.3
|
|
|
Retail-Restaurants
|
3.7
|
|
|
Specialty
Retail |
2.8
|
|
|
Entertainment
|
2.4
|
|
|
Oil,
Gas & Consumable Fuels |
2.4
|
|
|
Commercial
Services & Supplies |
2.2
|
|
|
Health
Care Equipment & Supplies |
1.9
|
|
|
Pharmaceuticals
|
1.8
|
|
|
Commercial
Services |
1.8
|
|
|
Airlines
|
1.7
|
|
|
Diversified
Telecommunication Services |
1.6
|
|
|
Aerospace
& Defense |
1.6
|
|
|
Containers
& Packaging |
1.6
|
|
|
Casino
Services |
1.5
|
|
|
Independent
Power Producers & Energy Traders |
1.4
|
|
|
Telecom
Services |
1.2
|
|
|
Professional
Services |
1.2
|
|
|
Road
& Rail |
1.2
|
|
|
IT
Services |
1.2
|
|
|
Machinery-Construction
& Mining |
1.1
|
|
|
Chemicals
|
1.0
|
|
|
Capital
Markets |
0.9
|
|
|
MRI/Medical
Diag Imaging |
0.8
|
|
|
Building
Products |
0.8
|
|
|
Cosmetics
& Toiletries |
0.8
|
|
|
Communications
Equipment |
0.7
|
|
|
Retail-Building
Products |
0.7
|
|
|
Food
Products |
0.7
|
|
|
Computers
|
0.7
|
|
|
Transport-Services
|
0.6
|
|
|
Beverages
|
0.6
|
|
|
Life
Sciences Tools & Services |
0.6
|
|
|
Distributors
|
0.6
|
|
|
Auto
Components |
0.5
|
|
|
Pipelines
|
0.5
|
|
|
Household
Products |
0.4
|
|
|
Semiconductors
& Semiconductor Equipment |
0.4
|
|
|
Electronic
Equipment, Instruments & Components |
0.4
|
|
|
Real
Estate Investment Trusts (REITs) |
0.4
|
|
|
Construction
Materials |
0.2
|
|
|
Food-Misc/Diversified
|
0.2
|
|
|
Air
Freight & Logistics |
0.2
|
|
|
Industrial
Conglomerates |
0.2
|
|
|
Leisure
Industry |
0.2
|
|
|
Investment
Companies |
0.2
|
|
|
Internet
& Telecom |
0.2
|
|
|
Automobiles
|
0.2
|
|
|
Metals
& Mining |
0.2
|
|
|
Metal-Iron
|
0.2
|
|
|
Food
& Staples Retailing |
0.1
|
|
See accompanying notes to financial statements.
3
SPDR
Blackstone Senior Loan ETF
Portfolio Statistics
(Unaudited) (continued)
|
|
|
|
|
|
%
of Net Assets |
|
|
Construction
& Engineering |
0.1%
|
|
|
Textiles,
Apparel & Luxury Goods |
0.1
|
|
|
Diversified
Consumer Services |
0.1
|
|
|
Distribution/Wholesale
|
0.1
|
|
|
Advertising
Services |
0.1
|
|
|
Home
Furnishings |
0.1
|
|
|
Leisure&Rec/Games
|
0.1
|
|
|
Internet
Security |
0.1
|
|
|
Commercial
Banks |
0.1
|
|
|
Auto/Trk
Prts&Equip-Orig |
0.1
|
|
|
Energy-Alternate
Sources |
0.1
|
|
|
Electric
Utilities |
0.1
|
|
|
Computer
Services |
0.1
|
|
|
Paper
& Forest Products |
0.1
|
|
|
Office
Automation&Equip |
0.1
|
|
|
Steel-Producers
|
0.0
* |
|
|
Telecommunication
Equip |
0.0
* |
|
|
Machinery
|
0.0
* |
|
|
Miscellaneous
Manufactur |
0.0
* |
|
|
Leisure
Equipment & Products |
0.0
* |
|
|
Interactive
Media & Services |
0.0
* |
|
|
Medical
Labs&Testing Srv |
0.0
* |
|
|
Gaming
& Entertainment |
0.0
* |
|
|
Real
Estate |
0.0
* |
|
|
Environ
Monitoring&Det |
0.0
* |
|
|
Short-Term
Investment |
5.9
|
|
|
U.S.
Treasury Obligations |
2.5
|
|
|
Liabilities
in Excess of Other Assets |
(0.7)
|
|
|
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 BLACKSTONE
HIGH INCOME ETF
SCHEDULE OF INVESTMENTS
December 31, 2022 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
SENIOR
FLOATING RATE LOANS — 50.1% (a) |
|
|
|
|
|
ADVERTISING
SERVICES — 0.5% |
|
|
|
|
|
AppLovin Corp. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 3.25%, 7.63%, 8/15/2025
(b)
|
|
|
$
353,137 |
|
$
340,961 |
CMG Media Corp. Senior Secured 2021 Term Loan, 3 Month USD LIBOR + 3.50%, 12/17/2026
(b)
|
|
|
112,658
|
|
105,797
|
Lamar Media Corp. Senior Secured 2020 Term Loan B, 1 Month USD LIBOR + 1.50%, 5.86%, 2/5/2027
(b)
|
|
|
119,339
|
|
116,356
|
|
|
|
|
|
563,114
|
AEROSPACE
& DEFENSE — 0.6% |
|
|
|
|
|
Dynasty
Acquisition Co., Inc.: |
|
|
|
|
|
Senior Secured 2020 CAD Term Loan B2, 1 Month USD LIBOR + 3.50%, 7.92%, 4/6/2026
(b)
|
|
|
28,547
|
|
27,285
|
Senior Secured 2020 Term Loan B1, 1 Month USD LIBOR + 3.50%, 7.80%, 4/6/2026
(b)
|
|
|
53,098
|
|
50,750
|
TransDigm,
Inc.: |
|
|
|
|
|
Senior Secured 2020 Term Loan E, 3 Month USD LIBOR + 2.25%, 6.98%, 5/30/2025
(b)
|
|
|
308,932
|
|
306,159
|
Senior Secured 2020 Term Loan F, 3 Month USD LIBOR + 2.25%, 6.98%, 12/9/2025
(b)
|
|
|
296,939
|
|
293,895
|
|
|
|
|
|
678,089
|
AIR
FREIGHT & LOGISTICS — 0.4% |
|
|
|
|
|
Kenan Advantage Group, Inc. Senior Secured 2021 2nd Lien Term Loan, 1 Month USD LIBOR + 7.25%, 11.63%, 9/1/2027
(b)
|
|
|
87,127
|
|
80,883
|
Worldwide Express Operations LLC Senior Secured 2021 1st Lien Term Loan, 3 Month USD LIBOR + 4.00%, 8.73%, 7/26/2028
(b)
|
|
|
61,710
|
|
56,675
|
Security
Description |
|
|
Principal
Amount |
|
Value
|
XPO Logistics, Inc. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 1.75%, 5.93%, 2/24/2025
(b)
|
|
|
$
340,594 |
|
$
339,502 |
|
|
|
|
|
477,060
|
AIRLINES
— 0.7% |
|
|
|
|
|
American Airlines, Inc. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 1.75%, 6.14%, 6/27/2025
(b)
|
|
|
286,174
|
|
275,846
|
United Airlines, Inc. Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 3.75%, 8.11%, 4/21/2028
(b)
|
|
|
512,460
|
|
507,443
|
|
|
|
|
|
783,289
|
AUTO
COMPONENTS — 0.5% |
|
|
|
|
|
Belron Finance U.S. LLC Senior Secured 2019 USD Term Loan B, 3 Month USD LIBOR + 2.50%, 6.69%, 10/30/2026
(b)
|
|
|
123,193
|
|
122,988
|
Clarios Global LP Senior Secured 2021 USD Term Loan B, 1 Month USD LIBOR + 3.25%, 7.63%, 4/30/2026
(b)
|
|
|
288,720
|
|
283,909
|
USI, Inc. Senior Secured 2022 Incremental Term Loan, 1 Month USD SOFR + 3.75%, 8.33%, 11/22/2029
(b)
|
|
|
149,625
|
|
148,503
|
|
|
|
|
|
555,400
|
BEVERAGES
— 0.2% |
|
|
|
|
|
Triton Water Holdings, Inc. Senior Secured Term Loan, 3 Month USD LIBOR + 3.50%, 8.23%, 3/31/2028
(b)
|
|
|
191,163
|
|
178,427
|
BUILDING
PRODUCTS — 0.4% |
|
|
|
|
|
Cornerstone Building Brands, Inc. Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 3.25%, 7.57%, 4/12/2028
(b)
|
|
|
112,641
|
|
101,598
|
Standard Industries, Inc. Senior Secured 2021 Term Loan B, 6.68%, 9/22/2028
(b)
|
|
|
146,407
|
|
144,813
|
Summit Materials LLC Senior Secured Term Loan B, 3 Month USD SOFR + 3.00%, 7.61%, 12/14/2027
(b)
|
|
|
200,000
|
|
200,125
|
|
|
|
|
|
446,536
|
See accompanying notes to financial statements.
5
SPDR BLACKSTONE
HIGH INCOME ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2022 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
CABLE/SATELLITE
TV — 0.1% |
|
|
|
|
|
Cable One, Inc. Senior Secured 2021 Term Loan B4, 1 Month USD LIBOR + 2.00%, 6.39%, 5/3/2028
(b)
|
|
|
$
123,056 |
|
$
120,548 |
CAPITAL
MARKETS — 0.8% |
|
|
|
|
|
Focus Financial Partners LLC Senior Secured 2021 Term Loan B4, 1 Month USD LIBOR + 2.50%, 6.82%, 6/30/2028
(b)
|
|
|
314,574
|
|
309,266
|
LPL Holdings, Inc. Senior Secured 2019 Term Loan B1, 1 Month USD LIBOR + 1.75%, 5.87%, 11/12/2026
(b)
|
|
|
340,380
|
|
339,103
|
Victory Capital Holdings, Inc. Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 2.25%, 6.60%, 7/1/2026
(b)
|
|
|
305,454
|
|
303,783
|
|
|
|
|
|
952,152
|
CASINO
SERVICES — 0.3% |
|
|
|
|
|
Stars Group Holdings B.V. Senior Secured 2022 USD Term Loan B, 3 Month USD SOFR + 3.25%, 8.09%, 7/22/2028
(b)
|
|
|
399,000
|
|
397,837
|
CHEMICALS
— 0.7% |
|
|
|
|
|
Axalta Coating Systems Dutch Holding B B.V Senior Secured 2022 USD Term Loan B, 12/20/2029
(b)
|
|
|
250,000
|
|
250,562
|
Messer Industries GmbH Senior Secured 2018 USD Term Loan, 3 Month USD LIBOR + 2.50%, 7.23%, 3/2/2026
(b)
|
|
|
140,290
|
|
139,304
|
PQ Corp. Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 2.50%, 6.91%, 6/9/2028
(b)
|
|
|
126,402
|
|
124,743
|
Starfruit Finco B.V Senior Secured 2018 USD Term Loan B, 3 Month USD LIBOR + 2.75%, 7.16%, 10/1/2025
(b)
|
|
|
345,384
|
|
341,326
|
|
|
|
|
|
855,935
|
COMMERCIAL
SERVICES — 1.2% |
|
|
|
|
|
AEA International Holdings (Lux) S.a.r.l. Senior Secured Term Loan B, COR, 8.14%, 9/7/2028
(b)
|
|
|
290,800
|
|
288,619
|
Security
Description |
|
|
Principal
Amount |
|
Value
|
Allied Universal Holdco LLC Senior Secured 2021 USD Incremental Term Loan B, 1 Month USD LIBOR + 3.75%, 8.17%, 5/12/2028
(b)
|
|
|
$
121,705 |
|
$
115,863 |
Corporation Service Co. Senior Secured Term Loan B, 1 Month USD SOFR + 3.25%, 7.67%, 11/2/2029
(b)
|
|
|
500,000
|
|
495,625
|
Galaxy U.S. Opco, Inc. Senior Secured Term Loan, 1 Month USD SOFR + 4.75%, 9.07%, 4/29/2029
(b)
|
|
|
58,708
|
|
53,278
|
Sabre GLBL Inc. Senior Secured 2022 Term Loan B, 1 Month USD SOFR + 4.25%, 8.67%, 6/30/2028
(b)
|
|
|
47,622
|
|
43,723
|
Vaco Holdings LLC Senior Secured 2022 Term Loan, 3 Month USD SOFR + 5.00%, 9.73%, 1/21/2029
(b)
|
|
|
413,104
|
|
399,850
|
|
|
|
|
|
1,396,958
|
COMMERCIAL
SERVICES & SUPPLIES — 2.5% |
|
|
|
|
|
Aramark
Services, Inc.: |
|
|
|
|
|
Senior Secured 2018 Term Loan B3, 1 Month USD LIBOR + 1.75%, 6.13%, 3/11/2025
(b)
|
|
|
149,836
|
|
149,344
|
Senior Secured 2019 Term Loan B4, 1 Month USD LIBOR + 1.75%, 6.13%, 1/15/2027
(b)
|
|
|
125,532
|
|
123,790
|
Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 1.75%, 6.88%, 4/6/2028
(b)
|
|
|
355,896
|
|
352,203
|
Asurion
LLC: |
|
|
|
|
|
Senior Secured 2021 2nd Lien Term Loan B3, 1 Month USD LIBOR + 5.25%, 9.63%, 1/31/2028
(b)
|
|
|
108,911
|
|
85,585
|
Senior Secured 2021 Second Lien Term Loan B4, 1 Month USD LIBOR + 5.25%, 9.63%, 1/20/2029
(b)
|
|
|
445,120
|
|
348,625
|
Senior Secured 2021 Term Loan B9, 1 Month USD LIBOR + 3.25%, 7.63%, 7/31/2027
(b)
|
|
|
229,315
|
|
201,368
|
Cast and Crew Payroll LLC Senior Secured 2019 1st Lien Term Loan, 1 Month USD LIBOR + 3.75%, 1.00%, 2/9/2026
(b)
|
|
|
199,449
|
|
197,117
|
See accompanying notes to financial statements.
6
SPDR BLACKSTONE
HIGH INCOME ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2022 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
Clean Harbors, Inc. Senior Secured 2021 Incremental Term Loan B, 1 Month USD LIBOR + 2.00%, 6.38%, 10/8/2028
(b)
|
|
|
$
323,182 |
|
$
322,329 |
Covanta
Holding Corp.: |
|
|
|
|
|
Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 2.50%, 6.82%, 11/30/2028
(b)
|
|
|
132,465
|
|
131,685
|
Senior Secured 2021 Term Loan C, 1 Month USD LIBOR + 2.50%, 6.57%, 11/30/2028
(b)
|
|
|
9,997
|
|
9,939
|
Garda World Security Corp. Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 4.25%, 8.93%, 10/30/2026
(b)
|
|
|
305,848
|
|
298,355
|
McGraw-Hill Global Education Holdings LLC Senior Secured 2021 Term Loan, 6 Month USD LIBOR + 4.75%, 8.32%, 7/28/2028
(b)
|
|
|
247,044
|
|
233,225
|
Packaging Coordinators Midco, Inc. Senior Secured 2020 1st Lien Term Loan, 3 Month USD LIBOR + 3.75%, 8.23%, 11/30/2027
(b)
|
|
|
189,105
|
|
179,819
|
Prime Security Services Borrower LLC Senior Secured 2021 Term Loan, 3 Month USD LIBOR + 2.75%, 6.50%, 9/23/2026
(b)
|
|
|
331,125
|
|
328,641
|
|
|
|
|
|
2,962,025
|
COMMUNICATIONS
EQUIPMENT — 0.5% |
|
|
|
|
|
Ciena Corp. Senior Secured 2020 Term Loan B, 1 Month USD LIBOR + 1.75%, 6.14%, 9/26/2025
(b)
|
|
|
287,336
|
|
286,618
|
Cogeco Financing 2 LP Senior Secured 2021 Incremental Term Loan B, 1 Month USD LIBOR + 2.50%, 6.88%, 9/1/2028
(b)
|
|
|
127,599
|
|
124,329
|
CommScope, Inc. Senior Secured 2019 Term Loan B, 1 Month USD LIBOR + 3.25%, 7.63%, 4/6/2026
(b)
|
|
|
221,326
|
|
209,209
|
|
|
|
|
|
620,156
|
Security
Description |
|
|
Principal
Amount |
|
Value
|
COMPUTER
SERVICES — 0.4% |
|
|
|
|
|
Maximus, Inc. Senior Secured Term Loan B, 1 Month USD LIBOR + 2.00%, 6.42%, 5/28/2028
(b)
|
|
|
$
110,970 |
|
$
110,323 |
Tempo Acquisition LLC Senior Secured 2022 Term Loan B, 1 Month USD SOFR + 3.00%, 7.32%, 8/31/2028
(b)
|
|
|
359,169
|
|
358,630
|
|
|
|
|
|
468,953
|
COMPUTERS
— 0.4% |
|
|
|
|
|
Magenta Buyer LLC Senior Secured 2021 USD 1st Lien Term Loan, 3 Month USD LIBOR + 4.75%, 9.17%, 7/27/2028
(b)
|
|
|
540,026
|
|
464,930
|
CONSTRUCTION
& ENGINEERING — 1.0% |
|
|
|
|
|
AECOM Senior Secured 2021 Term Loan B, 6.07%, 4/13/2028
(b)
|
|
|
313,354
|
|
313,433
|
Brown
Group Holding LLC: |
|
|
|
|
|
Senior Secured 2022 Incremental Term Loan B2, 1.00%, 7/2/2029
(b)
|
|
|
154,681
|
|
154,427
|
Senior Secured Term Loan B, 1 Month USD LIBOR + 2.50%, 6.88%, 6/7/2028
(b)
|
|
|
338,373
|
|
332,781
|
KKR Apple Bidco LLC Senior Secured 2021 Term Loan, 1 Month USD LIBOR + 2.75%, 7.13%, 9/23/2028
(b)
|
|
|
199,187
|
|
196,775
|
Pike Corp. Senior Secured 2021 Incremental Term Loan B, 1 Month USD LIBOR + 3.00%, 7.39%, 1/21/2028
(b)
|
|
|
184,204
|
|
181,973
|
|
|
|
|
|
1,179,389
|
CONSTRUCTION
MATERIALS — 0.4% |
|
|
|
|
|
Quikrete Holdings, Inc. Senior Secured 2016 1st Lien Term Loan, 1 Month USD LIBOR + 2.63%, 7.01%, 2/1/2027
(b)
|
|
|
424,951
|
|
421,001
|
CONSUMER
FINANCE — 0.3% |
|
|
|
|
|
Amentum Government Services Holdings LLC Senior Secured Term Loan B, 3 Month USD LIBOR + 4.00%, 8.73%, 1/29/2027
(b)
|
|
|
353,179
|
|
346,262
|
See accompanying notes to financial statements.
7
SPDR BLACKSTONE
HIGH INCOME ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2022 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
CONTAINERS
& PACKAGING — 0.6% |
|
|
|
|
|
Berlin Packaging LLC Senior Secured 2021 Term Loan B5, 1 Month USD LIBOR + 3.75%, 7.88%, 3/11/2028
(b)
|
|
|
$
61,241 |
|
$
59,064 |
Berry Global, Inc. Senior Secured 2021 Term Loan Z, 1 Month USD LIBOR + 1.75%, 6.02%, 7/1/2026
(b)
|
|
|
393,114
|
|
390,702
|
Charter NEX U.S., Inc. Senior Secured 2021 Term Loan, 1 Month USD LIBOR + 3.75%, 8.13%, 12/1/2027
(b)
|
|
|
189,700
|
|
184,617
|
Graham Packaging Company, Inc. Senior Secured 2021 Term Loan, 1 Month USD LIBOR + 3.00%, 7.38%, 8/4/2027
(b)
|
|
|
51,032
|
|
50,238
|
|
|
|
|
|
684,621
|
COSMETICS
& TOILETRIES — 0.1% |
|
|
|
|
|
Sunshine Luxembourg VII SARL Senior Secured 2021 Term Loan B3, 3 Month USD LIBOR + 3.75%, 8.48%, 10/1/2026
(b)
|
|
|
108,034
|
|
103,728
|
DISTRIBUTION/WHOLESALE
— 0.4% |
|
|
|
|
|
Resideo Funding, Inc. Senior Secured 2021 Term Loan, 3 Month USD LIBOR + 2.25%, 6.83%, 2/11/2028
(b)
|
|
|
304,872
|
|
303,159
|
Univar Solutions USA, Inc. Senior Secured Term Loan B6, 1 Month USD LIBOR + 1.75%, 6.13%, 6/3/2028
(b)
|
|
|
128,181
|
|
127,900
|
|
|
|
|
|
431,059
|
DISTRIBUTORS
— 0.2% |
|
|
|
|
|
American Tire Distributors Holdings, Inc. Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 6.25%, 10.61%, 10/20/2028
(b)
|
|
|
213,649
|
|
196,557
|
DIVERSIFIED
CONSUMER SERVICES — 0.1% |
|
|
|
|
|
Ascend Learning LLC Senior Secured 2021 2nd Lien Term Loan, 1 Month USD LIBOR + 5.75%, 10.13%, 12/10/2029
(b)
|
|
|
157,414
|
|
136,228
|
Security
Description |
|
|
Principal
Amount |
|
Value
|
DIVERSIFIED
FINANCIAL SERVICES — 2.0% |
|
|
|
|
|
AlixPartners, LLP Senior Secured 2021 USD Term Loan B, 1 Month USD LIBOR + 2.75%, 7.13%, 2/4/2028
(b)
|
|
|
$
178,217 |
|
$
177,023 |
Citadel Securities LP Senior Secured 2021 Term Loan B, 1 Month USD SOFR + 2.50%, 6.94%, 2/2/2028
(b)
|
|
|
402,326
|
|
395,688
|
Clipper Acquisitions Corp. Senior Secured 2017 Term Loan B, Finance, 6.48%, 3/3/2028
(b)
|
|
|
286,381
|
|
283,396
|
Clydesdale Acquisition Holdings, Inc. Senior Secured Term Loan B, 1 Month USD SOFR + 4.18%, 8.60%, 4/13/2029
(b)
|
|
|
221,357
|
|
211,369
|
Deerfield Dakota Holding LLC Senior Secured 2020 USD Term Loan B, 1 Month USD SOFR + 3.75%, 8.07%, 4/9/2027
(b)
|
|
|
103,389
|
|
96,814
|
DirecTV Financing LLC Senior Secured Term Loan, 1 Month USD LIBOR + 5.00%, 9.38%, 8/2/2027
(b)
|
|
|
477,937
|
|
466,338
|
Setanta Aircraft Leasing DAC Senior Secured Term Loan B, 3 Month USD LIBOR + 2.00%, 6.73%, 11/5/2028
(b)
|
|
|
159,762
|
|
159,283
|
Trans Union LLC Senior Secured 2019 Term Loan B5, 1 Month USD LIBOR + 1.75%, 6.13%, 11/16/2026
(b)
|
|
|
296,515
|
|
292,835
|
William Morris Endeavor Entertainment LLC Senior Secured 2018 1st Lien Term Loan, 3 Month USD LIBOR + 2.75%, 7.14%, 5/18/2025
(b)
|
|
|
276,901
|
|
271,640
|
|
|
|
|
|
2,354,386
|
DIVERSIFIED
TELECOMMUNICATION SERVICES — 0.8% |
|
|
|
|
|
CenturyLink, Inc. Senior Secured 2020 Term Loan B, 1 Month USD LIBOR + 2.25%, 6.63%, 3/15/2027
(b)
|
|
|
247,302
|
|
235,312
|
Intelsat Jackson Holdings SA Senior Secured 2021 Exit Term Loan B, 6 Month USD SOFR + 4.25%, 7.44%, 2/1/2029
(b)
|
|
|
381,436
|
|
369,039
|
See accompanying notes to financial statements.
8
SPDR BLACKSTONE
HIGH INCOME ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2022 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
Level 3 Financing, Inc. Senior Secured 2019 Term Loan B, 1 Month USD LIBOR + 1.75%, 6.13%, 3/1/2027
(b)
|
|
|
$
175,501 |
|
$
168,622 |
Numericable Group SA Senior Secured USD Term Loan B11, 3 Month USD LIBOR + 2.75%, 7.16%, 7/31/2025
(b)
|
|
|
202,750
|
|
192,993
|
|
|
|
|
|
965,966
|
ELECTRICAL
EQUIPMENT — 0.1% |
|
|
|
|
|
Generac Power Systems, Inc. Senior Secured 2019 Term Loan B, 1 Month USD LIBOR + 1.75%, 5.97%, 12/13/2026
(b)
|
|
|
114,546
|
|
112,165
|
ELECTRONIC
EQUIPMENT, INSTRUMENTS & COMPONENTS — 0.8% |
|
|
|
|
|
II-VI, Inc. Senior Secured 2022 Term Loan B, 3 Month USD LIBOR + 2.75%, 7.13%, 7/2/2029
(b)
|
|
|
407,152
|
|
403,895
|
Ingram Micro, Inc. Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 3.50%, 8.22%, 6/30/2028
(b)
|
|
|
339,251
|
|
335,010
|
MX Holdings U.S., Inc. Senior Secured 2018 USD Term Loan B1C, 1 Month USD LIBOR + 2.75%, 7/31/2025
(b)
|
|
|
116,109
|
|
116,158
|
TTM Technologies, Inc. Senior Secured 2017 Term Loan, 1 Month USD LIBOR + 2.50%, 6.62%, 9/28/2024
(b)
|
|
|
111,486
|
|
111,718
|
|
|
|
|
|
966,781
|
ENERGY
EQUIPMENT & SERVICES — 0.1% |
|
|
|
|
|
WIN Waste Innovations Holdings, Inc. Senior Secured 2021 Term Loan B, 1 Month USD LIBOR, 1.00%, 3/24/2028
(b)
|
|
|
151,342
|
|
145,194
|
ENERGY-ALTERNATE
SOURCES — 0.1% |
|
|
|
|
|
TerraForm Power Operating LLC Senior Secured 2022 Term Loan B, 1 Month USD SOFR + 2.75%, 7.41%, 5/21/2029
(b)
|
|
|
113,589
|
|
112,933
|
Security
Description |
|
|
Principal
Amount |
|
Value
|
ENTERTAINMENT
— 1.9% |
|
|
|
|
|
AMC Entertainment Holdings, Inc. Senior Secured 2019 Term Loan B, 1 Month USD LIBOR + 3.00%, 7.27%, 4/22/2026
(b)
|
|
|
$
97,845 |
|
$
53,499 |
AP Gaming I LLC Senior Secured 2022 Term Loan B, 3 Month USD SOFR + 4.00%, 8.73%, 2/15/2029
(b)
|
|
|
167,326
|
|
158,960
|
Crown Finance U.S., Inc. Senior Secured 2018 USD Term Loan, 3 Month USD LIBOR + 2.50%, 4.00%, 2/28/2025
(b)
(c)
|
|
|
95,314
|
|
18,013
|
Fertitta Entertainment LLC Senior Secured 2022 Term Loan B, 1 Month USD SOFR + 4.00%, 8.32%, 1/27/2029
(b)
|
|
|
353,227
|
|
336,539
|
Formula One Holdings Ltd. Senior Secured Term Loan B, 3 Month USD SOFR + 3.25%, 7.57%, 1/15/2030
(b)
|
|
|
250,000
|
|
250,187
|
GVC
Holdings (Gibraltar) Ltd.: |
|
|
|
|
|
Senior Secured 2021 USD Term Loan B4, 3 Month USD LIBOR + 2.50%, 7.23%, 3/29/2027
(b)
|
|
|
81,341
|
|
80,871
|
Senior Secured 2022 Term Loan B, 10/31/2029
(b)
|
|
|
279,536
|
|
278,663
|
Live Nation Entertainment, Inc. Senior Secured Term Loan B4, 1 Month USD LIBOR + 1.75%, 6.13%, 10/17/2026
(b)
|
|
|
124,167
|
|
121,683
|
Motion Finco SARL Senior Secured Delayed Draw Term Loan B2, 3 Month USD LIBOR + 3.25%, 7.98%, 11/12/2026
(b)
|
|
|
25,086
|
|
23,991
|
NASCAR Holdings, Inc Senior Secured Term Loan B, 1 Month USD LIBOR + 2.50%, 6.88%, 10/19/2026
(b)
|
|
|
287,393
|
|
287,101
|
SMG U.S. Midco 2, Inc. Senior Secured 2020 Term Loan, 1 Month USD LIBOR + 2.50%, 6.91%, 1/23/2025
(b)
|
|
|
140,261
|
|
136,989
|
UFC Holdings LLC Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 2.75%, 7.11%, 4/29/2026
(b)
|
|
|
325,025
|
|
321,369
|
WMG Acquisition Corp. Senior Secured 2021 Term Loan G, 1 Month USD LIBOR + 2.13%, 6.51%, 1/20/2028
(b)
|
|
|
134,203
|
|
132,861
|
|
|
|
|
|
2,200,726
|
See accompanying notes to financial statements.
9
SPDR BLACKSTONE
HIGH INCOME ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2022 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
FINANCE-CREDIT
CARD — 0.1% |
|
|
|
|
|
Paysafe Holdings (US) Corp. Senior Secured USD Term Loan B1, 1 Month USD LIBOR + 2.75%, 7.14%, 6/28/2028
(b)
|
|
|
$
76,820 |
|
$
73,475 |
FINANCIAL
SERVICES — 0.4% |
|
|
|
|
|
Belron Finance U.S. LLC Senior Secured 2021 USD Term Loan B, 3 Month USD LIBOR + 2.50%, 7.06%, 4/13/2028
(b)
|
|
|
303,531
|
|
301,397
|
CE Intermediate I LLC Senior Secured Term Loan B, 3 Month USD LIBOR + 4.00%, 8.59%, 11/10/2028
(b)
|
|
|
190,291
|
|
181,728
|
|
|
|
|
|
483,125
|
FOOD
& BEVERAGE — 0.1% |
|
|
|
|
|
Caesars Resort Collection LLC Senior Secured 2020 Term Loan B1, 1 Month USD LIBOR + 3.50%, 7.88%, 7/21/2025
(b)
|
|
|
151,406
|
|
151,225
|
FOOD
& STAPLES RETAILING — 0.4% |
|
|
|
|
|
Hostess Brands LLC Senior Secured 2019 Term Loan, 1 Month USD LIBOR + 2.25%, 6.66%, 8/3/2025
(b)
|
|
|
119,383
|
|
119,202
|
U.S. Foods, Inc. Senior Secured 2019 Term Loan B, 1 Month USD LIBOR + 2.00%, 6.38%, 9/13/2026
(b)
|
|
|
361,010
|
|
358,146
|
|
|
|
|
|
477,348
|
FOOD
PRODUCTS — 0.3% |
|
|
|
|
|
KFC Holding Co. Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 1.75%, 6.09%, 3/15/2028
(b)
|
|
|
322,494
|
|
318,866
|
FOOD-MISC/DIVERSIFIED
— 0.2% |
|
|
|
|
|
Skopima Merger Sub, Inc. Senior Secured Term Loan B, 1 Month USD LIBOR + 4.00%, 8.38%, 5/12/2028
(b)
|
|
|
189,927
|
|
180,159
|
FORESTRY
— 0.1% |
|
|
|
|
|
Asplundh Tree Expert LLC Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 1.75%, 6.13%, 9/7/2027
(b)
|
|
|
158,416
|
|
158,349
|
Security
Description |
|
|
Principal
Amount |
|
Value
|
GAMING
& ENTERTAINMENT — 0.1% |
|
|
|
|
|
PCI Gaming Authority Senior Secured Term Loan, 1 Month USD LIBOR + 2.50%, 6.88%, 5/29/2026
(b)
|
|
|
$
130,998 |
|
$
130,453 |
HEALTH
CARE EQUIPMENT & SUPPLIES — 0.4% |
|
|
|
|
|
Bausch & Lomb, Inc. Senior Secured Term Loan, 3 Month USD SOFR + 3.25%, 7.84%, 5/10/2027
(b)
|
|
|
127,976
|
|
122,078
|
Gainwell Acquisition Corp. Senior Secured Term Loan B, 3 Month USD LIBOR + 4.00%, 8.73%, 10/1/2027
(b)
|
|
|
378,103
|
|
355,889
|
|
|
|
|
|
477,967
|
HEALTH
CARE PROVIDERS & SERVICES — 1.1% |
|
|
|
|
|
GHX Ultimate Parent Corp. Senior Secured 2017 1st Lien Term Loan, 3 Month USD LIBOR + 3.25%, 6/28/2024
(b)
|
|
|
171,084
|
|
167,805
|
Horizon Therapeutics USA, Inc. Senior Secured 2021 Term Loan B2, 1 Month USD LIBOR + 1.75%, 6.19%, 3/15/2028
(b)
|
|
|
146,433
|
|
146,473
|
ICON Luxembourg SARL Senior Secured LUX Term Loan, 3 Month USD LIBOR + 2.25%, 7.00%, 7/3/2028
(b)
|
|
|
201,747
|
|
201,394
|
Medline Borrower LP Senior Secured USD Term Loan B, 1 Month USD LIBOR + 3.25%, 7.63%, 10/23/2028
(b)
|
|
|
212,534
|
|
202,354
|
National
Mentor Holdings, Inc.: |
|
|
|
|
|
Senior Secured 2021 Term Loan, 3 Month USD LIBOR + 3.75%, 8.33%, 3/2/2028
(b)
|
|
|
92,199
|
|
64,949
|
Senior Secured 2021 Term Loan C, 3 Month USD LIBOR + 3.75%, 8.48%, 3/2/2028
(b)
|
|
|
2,631
|
|
1,854
|
Pediatric
Associates Holding Company LLC: |
|
|
|
|
|
Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 3.25%, 7.63%, 12/29/2028
(b)
|
|
|
148,728
|
|
141,601
|
Senior Secured 2022 Delayed Draw Term Loan, 1 Month USD LIBOR + 3.25%, 5.43%, 12/29/2028
(b)
|
|
|
22,620
|
|
9,841
|
See accompanying notes to financial statements.
10
SPDR BLACKSTONE
HIGH INCOME ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2022 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
PRA Health Sciences, Inc. Senior Secured US Term Loan, 3 Month USD LIBOR + 2.25%, 7.00%, 7/3/2028
(b)
|
|
|
$
50,265 |
|
$
50,178 |
Vizient, Inc. Senior Secured 2022 Term Loan B, 1 Month SOFR CME + 2.25%, 6.67%, 4/28/2029
(b)
|
|
|
116,342
|
|
116,371
|
WP CityMD Bidco LLC Senior Secured 2021 1st Lien Term Loan B, 1 Month USD LIBOR + 3.25%, 7.63%, 12/22/2028
(b)
|
|
|
214,810
|
|
214,634
|
|
|
|
|
|
1,317,454
|
HOME
FURNISHINGS — 0.2% |
|
|
|
|
|
AI
Aqua Merger Sub, Inc.: |
|
|
|
|
|
Senior Secured 2021 1st Lien Term Loan B, 1 Month USD SOFR + 3.75%, 7.97%, 7/31/2028
(b)
|
|
|
73,454
|
|
69,368
|
Senior Secured 2022 Delayed Draw Term loan, 7/31/2028
(b)
|
|
|
9,794
|
|
9,247
|
Senior Secured 2022 Term Loan B, 3 Month USD SOFR + 3.75%, 7.84%, 7/31/2028
(b)
|
|
|
166,090
|
|
156,817
|
|
|
|
|
|
235,432
|
HOTELS,
RESTAURANTS & LEISURE — 2.4% |
|
|
|
|
|
1011778 B.C. Unlimited Liability Co. Senior Secured Term Loan B4, 1 Month USD LIBOR + 1.75%, 5.82%, 11/19/2026
(b)
|
|
|
296,939
|
|
292,404
|
Alterra Mountain Co. Senior Secured 2021 Series B-2 Consenting Term Loan, 1 Month USD LIBOR + 3.50%, 7.88%, 8/17/2028
(b)
|
|
|
314,580
|
|
311,534
|
Aristocrat Technologies, Inc. Senior Secured 2022 Term Loan B, 3 Month USD SOFR + 2.25%, 6.93%, 5/24/2029
(b)
|
|
|
124,904
|
|
124,904
|
Caesars Resort Collection LLC Senior Secured 2017 1st Lien Term Loan B, 1 Month USD LIBOR + 2.75%, 7.13%, 12/23/2024
(b)
|
|
|
319,386
|
|
319,080
|
Marriott Ownership Resorts, Inc. Senior Secured 2019 Term Loan B, 1 Month USD LIBOR + 1.75%, 6.13%, 8/29/2025
(b)
|
|
|
123,151
|
|
122,166
|
Security
Description |
|
|
Principal
Amount |
|
Value
|
Motion Finco SARL Senior Secured USD Term Loan B1, 3 Month USD LIBOR + 3.25%, 7.98%, 11/12/2026
(b)
|
|
|
$
175,965 |
|
$
168,285 |
Penn National Gaming, Inc. Senior Secured 2022 Term Loan B, 1 Month USD SOFR + 2.75%, 7.17%, 5/3/2029
(b)
|
|
|
386,839
|
|
383,641
|
Peraton Corp. Senior Secured Term Loan B, 1 Month USD LIBOR + 3.75%, 8.13%, 2/1/2028
(b)
|
|
|
539,834
|
|
528,139
|
Scientific Games International, Inc. Senior Secured 2022 USD Term Loan, 1 Month USD SOFR + 3.00%, 7.42%, 4/14/2029
(b)
|
|
|
309,852
|
|
306,422
|
Twin River Worldwide Holdings, Inc. Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 3.25%, 7.54%, 10/2/2028
(b)
|
|
|
160,116
|
|
148,587
|
Wyndham Hotels & Resorts, Inc. Senior Secured Term Loan B, 1 Month USD LIBOR + 1.75%, 6.13%, 5/30/2025
(b)
|
|
|
133,229
|
|
133,262
|
|
|
|
|
|
2,838,424
|
HOUSEHOLD
PRODUCTS — 0.4% |
|
|
|
|
|
Champ Acquisition Corp. Senior Secured Term Loan, 3 Month USD LIBOR + 5.50%, 10.23%, 12/19/2025
(b)
|
|
|
140,876
|
|
139,820
|
Energizer Holdings, Inc. Senior Secured 2020 Term Loan, 1 Month USD LIBOR + 2.00%, 6.63%, 12/22/2027
(b)
|
|
|
135,226
|
|
133,028
|
Reynolds Consumer Products LLC Senior Secured Term Loan, 1 Month USD LIBOR + 1.75%, 6.13%, 2/4/2027
(b)
|
|
|
162,288
|
|
161,236
|
|
|
|
|
|
434,084
|
INDEPENDENT
POWER PRODUCERS & ENERGY TRADERS — 0.6% |
|
|
|
|
|
Calpine
Corp.: |
|
|
|
|
|
Senior Secured 2020 Term Loan B5, 1 Month USD LIBOR + 2.50%, 6.89%, 12/16/2027
(b)
|
|
|
26,042
|
|
25,826
|
Senior Secured Term Loan B9, 1 Month USD LIBOR + 2.25%, 6.39%, 4/5/2026
(b)
|
|
|
339,540
|
|
335,827
|
See accompanying notes to financial statements.
11
SPDR BLACKSTONE
HIGH INCOME ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2022 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
Vistra Operations Co. LLC Senior Secured 1st Lien Term Loan B3, 1 Month USD LIBOR + 1.75%, 6.12%, 12/31/2025
(b)
|
|
|
$
319,813 |
|
$
317,506 |
|
|
|
|
|
679,159
|
INSURANCE
— 3.1% |
|
|
|
|
|
Acrisure LLC Senior Secured 2021 First Lien Term Loan B, 1 Month USD LIBOR + 4.25%, 8.63%, 2/15/2027
(b)
|
|
|
571,462
|
|
554,556
|
Alliant Holdings Intermediate LLC Senior Secured 2021 Term Loan B4, 1 Month USD LIBOR + 3.50%, 7.85%, 11/6/2027
(b)
|
|
|
494,987
|
|
484,469
|
AmWINS Group, Inc. Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 2.25%, 6.63%, 2/19/2028
(b)
|
|
|
320,083
|
|
314,806
|
AssuredPartners, Inc. Senior Secured 2020 Term Loan B, 1 Month USD LIBOR + 3.50%, 7.88%, 2/12/2027
(b)
|
|
|
369,720
|
|
359,939
|
Broadstreet Partners, Inc. Senior Secured 2020 Term Loan B, 1 Month USD LIBOR + 3.00%, 7.38%, 1/27/2027
(b)
|
|
|
206,927
|
|
201,065
|
Hub International Ltd. Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 3.25%, 7.53%, 4/25/2025
(b)
|
|
|
494,950
|
|
491,180
|
Hyperion Insurance Group Ltd. Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 3.25%, 7.69%, 11/12/2027
(b)
|
|
|
560,543
|
|
546,829
|
NFP Corp. Senior Secured 2020 Term Loan, 1 Month USD LIBOR + 3.25%, 7.63%, 2/15/2027
(b)
|
|
|
135,817
|
|
130,239
|
Ryan Specialty Group LLC Senior Secured Term Loan, 1 Month USD LIBOR + 3.00%, 7.32%, 9/1/2027
(b)
|
|
|
146,624
|
|
145,953
|
Sedgwick Claims Management Services, Inc. Senior Secured 2019 Term Loan B, 1 Month USD LIBOR + 3.75%, 8.13%, 9/3/2026
(b)
|
|
|
358,669
|
|
352,714
|
|
|
|
|
|
3,581,750
|
Security
Description |
|
|
Principal
Amount |
|
Value
|
INTERNET
& TELECOM — 0.1% |
|
|
|
|
|
Adevinta ASA Senior Secured USD Term Loan B, 6/26/2028
(b)
|
|
|
$
115,358 |
|
$
114,377 |
INTERNET
SECURITY — 0.2% |
|
|
|
|
|
Proofpoint, Inc. Senior Secured 2nd Lien Term Loan, 3 Month USD LIBOR + 6.25%, 10.98%, 8/31/2029
(b)
|
|
|
240,040
|
|
231,739
|
INVESTMENT
COMPANIES — 0.1% |
|
|
|
|
|
AL GCX Holdings LLC Senior Secured Term Loan B, 3 Month USD SOFR + 3.75%, 7.42%, 5/17/2029
(b)
|
|
|
138,692
|
|
137,687
|
IT
SERVICES — 1.0% |
|
|
|
|
|
Access CIG LLC Senior Secured 2018 2nd Lien Term Loan, 3 Month USD LIBOR + 7.75%, 11.82%, 2/27/2026
(b)
|
|
|
194,616
|
|
173,208
|
Ahead DB Holdings LLC Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 3.75%, 8.48%, 10/18/2027
(b)
|
|
|
189,772
|
|
183,723
|
CoreLogic, Inc. Senior Secured Term Loan, 1 Month USD LIBOR + 3.50%, 7.94%, 6/2/2028
(b)
|
|
|
138,716
|
|
116,218
|
Fleetcor Technologies Operating Co. LLC Senior Secured 2021 Term Loan B4, 1 Month USD LIBOR + 1.75%, 6.13%, 4/28/2028
(b)
|
|
|
155,807
|
|
154,444
|
Presidio Holdings, Inc. Senior Secured 2020 Term Loan B, 3 Month USD LIBOR + 3.50%, 1/22/2027
(b)
|
|
|
167,271
|
|
164,920
|
Science Applications International Corp. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 1.875%, 6.30%, 10/31/2025
(b)
|
|
|
113,279
|
|
113,467
|
WEX, Inc. Senior Secured 2021 Term Loan, 1 Month USD LIBOR + 2.25%, 6.63%, 3/31/2028
(b)
|
|
|
248,106
|
|
247,021
|
|
|
|
|
|
1,153,001
|
See accompanying notes to financial statements.
12
SPDR BLACKSTONE
HIGH INCOME ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2022 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
LEISURE
INDUSTRY — 0.2% |
|
|
|
|
|
Carnival Corp. Senior Secured 2021 Incremental Term Loan B, 1 Month USD LIBOR + 3.25%, 7.63%, 10/18/2028
(b)
|
|
|
$
198,000 |
|
$
185,922 |
LEISURE&REC/GAMES
— 0.2% |
|
|
|
|
|
Scientific Games Holdings LP Senior Secured 2022 USD Term Loan B, 3 Month USD SOFR + 3.50%, 7.10%, 4/4/2029
(b)
|
|
|
278,485
|
|
266,259
|
LIFE
SCIENCES TOOLS & SERVICES — 0.5% |
|
|
|
|
|
Avantor Funding, Inc. Senior Secured 2021 Term Loan B5, 1 Month USD LIBOR + 2.25%, 6.63%, 11/8/2027
(b)
|
|
|
238,467
|
|
237,722
|
Parexel International Corp. Senior Secured 2021 1st Lien Term Loan, 1 Month USD LIBOR + 3.25%, 7.63%, 11/15/2028
(b)
|
|
|
325,631
|
|
314,325
|
|
|
|
|
|
552,047
|
MACHINERY
— 0.5% |
|
|
|
|
|
Clark Equipment Co. Senior Secured 2022 Term Loan B, 3 Month USD SOFR + 2.25%, 7.18%, 4/20/2029
(b)
|
|
|
125,316
|
|
123,749
|
Ingersoll-Rand Services Co. Senior Secured 2020 USD Spinco Term Loan, 1 Month USD SOFR + 1.75%, 6.17%, 3/1/2027
(b)
|
|
|
335,172
|
|
332,938
|
Madison IAQ LLC Senior Secured Term Loan, 3 Month USD LIBOR + 3.25%, 7.99%, 6/21/2028
(b)
|
|
|
198,990
|
|
185,634
|
|
|
|
|
|
642,321
|
MACHINERY-CONSTRUCTION
& MINING — 0.3% |
|
|
|
|
|
Brookfield WEC Holdings, Inc. Senior Secured 2021 Term Loan, 1 Month USD LIBOR + 2.75%, 7.13%, 8/1/2025
(b)
|
|
|
336,637
|
|
332,412
|
MEDIA
— 3.9% |
|
|
|
|
|
Charter Communications Operating LLC Senior Secured 2019 Term Loan B2, 1 Month USD LIBOR + 1.75%, 6.14%, 2/1/2027
(b)
|
|
|
552,523
|
|
540,368
|
Cogeco Communications Finance (USA) LP Senior Secured Term Loan B, 1 Month USD LIBOR + 2.00%, 6.38%, 1/3/2025
(b)
|
|
|
148,366
|
|
146,718
|
Security
Description |
|
|
Principal
Amount |
|
Value
|
CSC
Holdings LLC: |
|
|
|
|
|
Senior Secured 2017 Term Loan B1, 1 Month USD LIBOR + 2.25%, 6.57%, 7/17/2025
(b)
|
|
|
$
297,638 |
|
$
282,310 |
Senior Secured 2019 Term Loan B5, 1 Month USD LIBOR + 2.50%, 6.82%, 4/15/2027
(b)
|
|
|
370,528
|
|
332,086
|
Go Daddy Operating Co. LLC Senior Secured 2021 Term Loan B4, 1 Month USD LIBOR + 2.00%, 6.38%, 8/10/2027
(b)
|
|
|
320,069
|
|
317,519
|
Gray Television, Inc. Senior Secured 2021 Term Loan D, 1 Month USD LIBOR + 3.00%, 7.12%, 12/1/2028
(b)
|
|
|
60,058
|
|
58,450
|
MH
Sub I LLC: |
|
|
|
|
|
Senior Secured 2020 Incremental Term Loan, 1 Month USD LIBOR + 3.75%, 8.13%, 9/13/2024
(b)
|
|
|
378,233
|
|
368,372
|
Senior Secured 2021 2nd Lien Term Loan, 3 Month USD SOFR + 6.25%, 10.65%, 2/23/2029
(b)
|
|
|
194,343
|
|
174,059
|
Nexstar Broadcasting, Inc. Senior Secured 2019 Term Loan B4, 1 Month USD LIBOR + 2.50%, 6.88%, 9/18/2026
(b)
|
|
|
136,843
|
|
135,971
|
Radiate Holdco LLC Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 3.25%, 7.63%, 9/25/2026
(b)
|
|
|
353,220
|
|
288,556
|
Telenet Financing USD LLC Senior Secured 2020 USD Term Loan AR, 1 Month USD LIBOR + 2.00%, 6.32%, 4/30/2028
(b)
|
|
|
311,409
|
|
303,857
|
Univision
Communications, Inc.: |
|
|
|
|
|
Senior Secured 2021 First Lien Term Loan B, 1 Month USD LIBOR + 3.25%, 7.63%, 3/15/2026
(b)
|
|
|
296,985
|
|
292,901
|
Senior Secured 2022 Term Loan B, 1 Month USD LIBOR + 3.25%, 7.63%, 1/31/2029
(b)
|
|
|
154,579
|
|
150,474
|
UPC Broadband Holding BV Senior Secured 2020 USD Term Loan AT, 1 Month USD LIBOR + 2.25%, 6.57%, 4/30/2028
(b)
|
|
|
322,531
|
|
315,475
|
See accompanying notes to financial statements.
13
SPDR BLACKSTONE
HIGH INCOME ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2022 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
Vertical U.S. Newco, Inc. Senior Secured Term Loan B, 6 Month USD LIBOR + 3.50%, 6.87%, 7/30/2027
(b)
|
|
|
$
339,742 |
|
$
327,773 |
Virgin Media Bristol LLC Senior Secured USD Term Loan N, 1 Month USD LIBOR + 2.50%, 6.82%, 1/31/2028
(b)
|
|
|
164,749
|
|
162,292
|
Ziggo Financing Partnership Senior Secured USD Term Loan I, 1 Month USD LIBOR + 2.50%, 6.82%, 4/30/2028
(b)
|
|
|
322,531
|
|
315,250
|
|
|
|
|
|
4,512,431
|
MEDICAL
LABS&TESTING SRV (d) — 0.0% |
|
|
|
|
|
Electron BidCo, Inc. Senior Secured 2021 Term Loan, 1 Month USD LIBOR + 3.00%, 7.38%, 11/1/2028
(b)
|
|
|
61,242
|
|
59,719
|
MISCELLANEOUS
MANUFACTUR — 0.7% |
|
|
|
|
|
LTI Holdings, Inc. Senior Secured 2018 2nd Lien Term Loan, 1 Month USD LIBOR + 6.75%, 11.13%, 9/6/2026
(b)
|
|
|
961,858
|
|
769,486
|
MRI/MEDICAL
DIAG IMAGING — 0.1% |
|
|
|
|
|
IQVIA, Inc. Senior Secured 2018 USD Term Loan B3, 3 Month USD LIBOR + 1.75%, 6.48%, 6/11/2025
(b)
|
|
|
124,671
|
|
124,321
|
OIL,
GAS & CONSUMABLE FUELS — 0.9% |
|
|
|
|
|
Buckeye Partners LP Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 2.25%, 6.63%, 11/1/2026
(b)
|
|
|
309,044
|
|
307,709
|
ITT Holdings LLC Senior Secured 2021 Term Loan, 1 Month USD LIBOR + 2.75%, 7.13%, 7/10/2028
(b)
|
|
|
119,316
|
|
118,123
|
Oryx Midstream Services Permian Basin LLC Senior Secured Term Loan B, 3 Month USD LIBOR + 3.25%, 7.92%, 10/5/2028
(b)
|
|
|
350,923
|
|
347,331
|
Pacific Gas & Electric Co. Senior Secured 2020 Term Loan, 1 Month USD LIBOR + 3.00%, 7.44%, 6/23/2025
(b)
|
|
|
325,587
|
|
323,552
|
|
|
|
|
|
1,096,715
|
Security
Description |
|
|
Principal
Amount |
|
Value
|
PERSONAL
PRODUCTS — 0.1% |
|
|
|
|
|
Prestige Brands, Inc. Senior Secured 2021 Term Loan B5, 6.39%, 7/3/2028
(b)
|
|
|
$
112,009 |
|
$
111,851 |
PHARMACEUTICALS
— 1.2% |
|
|
|
|
|
Catalent Pharma Solutions, Inc. Senior Secured 2021 Term Loan B3, 1 Month USD LIBOR + 2.00%, 6.38%, 2/22/2028
(b)
|
|
|
349,060
|
|
344,317
|
Elanco Animal Health, Inc. Senior Secured Term Loan B, 1 Month USD LIBOR + 1.75%, 5.87%, 8/1/2027
(b)
|
|
|
191,713
|
|
184,493
|
Grifols Worldwide Operations USA, Inc. Senior Secured USD 2019 Term Loan B, 1 Month USD LIBOR + 2.00%, 6.38%, 11/15/2027
(b)
|
|
|
171,055
|
|
165,781
|
Jazz Financing Lux SARL Senior Secured USD Term Loan, 1 Month USD LIBOR + 3.50%, 7.88%, 5/5/2028
(b)
|
|
|
308,551
|
|
306,310
|
Organon & Co. Senior Secured USD Term Loan, 3 Month USD LIBOR + 3.00%, 6/2/2028
(b)
|
|
|
31,693
|
|
31,464
|
Padagis LLC Senior Secured Term Loan B, 3 Month USD LIBOR + 4.75%, 8.49%, 7/6/2028
(b)
|
|
|
391,339
|
|
348,945
|
|
|
|
|
|
1,381,310
|
PIPELINES
— 0.5% |
|
|
|
|
|
CQP Holdco LP Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 3.75%, 8.48%, 6/5/2028
(b)
|
|
|
392,386
|
|
391,160
|
TransMontaigne Operating Co. LP Senior Secured Term Loan B, 1 Month USD LIBOR + 3.50%, 7.87%, 11/17/2028
(b)
|
|
|
152,535
|
|
149,914
|
|
|
|
|
|
541,074
|
PROFESSIONAL
SERVICES — 0.5% |
|
|
|
|
|
Anticimex International AB Senior Secured 2021 USD Term Loan B1, 3 Month USD LIBOR + 3.50%, 8.23%, 11/16/2028
(b)
|
|
|
176,542
|
|
170,804
|
See accompanying notes to financial statements.
14
SPDR BLACKSTONE
HIGH INCOME ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2022 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
Dun & Bradstreet Corp. Senior Secured Term Loan, 1 Month USD LIBOR + 3.25%, 7.64%, 2/6/2026
(b)
|
|
|
$
385,135 |
|
$
382,281 |
|
|
|
|
|
553,085
|
RETAIL-BUILDING
PRODUCTS — 0.1% |
|
|
|
|
|
LBM Acquisition LLC Senior Secured Term Loan B, 6 Month USD LIBOR + 3.75%, 7.12%, 12/17/2027
(b)
|
|
|
107,658
|
|
93,814
|
Specialty Building Products Holdings LLC Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 3.75%, 7.64%, 10/15/2028
(b)
|
|
|
24,353
|
|
22,009
|
|
|
|
|
|
115,823
|
RETAIL-RESTAURANTS
— 0.9% |
|
|
|
|
|
CT Technologies Intermediate Holdings, Inc. Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 4.25%, 8.63%, 12/16/2025
(b)
|
|
|
205,933
|
|
189,490
|
Hilton Domestic Operating Company, Inc Senior Secured 2019 Term Loan B2, 1 Month USD LIBOR + 1.75%, 6.17%, 6/22/2026
(b)
|
|
|
328,092
|
|
327,457
|
IRB
Holding Corp.: |
|
|
|
|
|
Senior Secured 2020 Term Loan B, 1 Month USD LIBOR + 2.75%, 7.13%, 2/5/2025
(b)
|
|
|
203,314
|
|
201,821
|
Senior Secured 2022 Term Loan B, 1 Month USD SOFR + 3.00%, 7.32%, 12/15/2027
(b)
|
|
|
297,727
|
|
289,391
|
|
|
|
|
|
1,008,159
|
ROAD
& RAIL — 0.3% |
|
|
|
|
|
Genesee & Wyoming, Inc. Senior Secured Term Loan, 3 Month USD LIBOR + 2.00%, 6.73%, 12/30/2026
(b)
|
|
|
320,062
|
|
318,803
|
SEMICONDUCTORS
& SEMICONDUCTOR EQUIPMENT — 0.3% |
|
|
|
|
|
Entegris, Inc. Senior Secured 2022 Term Loan B, 7/6/2029
(b)
|
|
|
260,777
|
|
260,404
|
Security
Description |
|
|
Principal
Amount |
|
Value
|
MKS Instruments, Inc. Senior Secured 2022 USD Term Loan B, 1 Month USD SOFR + 2.75%, 7.17%, 8/17/2029
(b)
|
|
|
$
141,431 |
|
$
140,092 |
|
|
|
|
|
400,496
|
SOFTWARE
— 5.4% |
|
|
|
|
|
Applied Systems, Inc. Senior Secured 2022 Extended 1st Lien Term Loan, 3 Month USD SOFR + 4.50%, 9.08%, 9/18/2026
(b)
|
|
|
125,000
|
|
124,594
|
Apttus Corp. Senior Secured 2021 Term Loan, 3 Month USD LIBOR + 4.25%, 8.66%, 5/8/2028
(b)
|
|
|
171,250
|
|
160,975
|
Athenahealth,
Inc.: |
|
|
|
|
|
Senior Secured 2022 Delayed Draw Term Loan, 1 Month CME Term SOFR + 3.50%, 3.50%, 2/15/2029
(b)
|
|
|
43,478
|
|
9,841
|
Senior Secured 2022 Term Loan B, 1 Month USD SOFR + 3.50%, 7.82%, 2/15/2029
(b)
|
|
|
255,239
|
|
231,083
|
Banff Merger Sub, Inc. Senior Secured 2021 USD 2nd Lien Term Loan, 1 Month USD LIBOR + 5.50%, 9.88%, 2/27/2026
(b)
|
|
|
73,647
|
|
68,101
|
CCC Intelligent Solutions, Inc. Senior Secured Term Loan, 1 Month USD LIBOR + 2.25%, 6.63%, 9/21/2028
(b)
|
|
|
144,802
|
|
143,933
|
CDK Global, Inc. Senior Secured 2022 USD Term Loan B, 3 Month USD SOFR + 4.50%, 9.08%, 7/6/2029
(b)
|
|
|
400,000
|
|
397,068
|
Cengage Learning, Inc. Senior Secured 2021 Term Loan B, 6 Month USD LIBOR + 4.75%, 7.81%, 7/14/2026
(b)
|
|
|
123,577
|
|
111,432
|
DCert Buyer, Inc. Senior Secured 2019 Term Loan B, 6 Month USD SOFR + 4.00%, 8.70%, 10/16/2026
(b)
|
|
|
250,235
|
|
242,281
|
EP Purchaser LLC Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 3.50%, 8.23%, 11/6/2028
(b)
|
|
|
146,122
|
|
144,844
|
Epicor Software Corp. Senior Secured 2020 Term Loan, 1 Month USD LIBOR + 3.25%, 7.63%, 7/30/2027
(b)
|
|
|
93,311
|
|
89,807
|
See accompanying notes to financial statements.
15
SPDR BLACKSTONE
HIGH INCOME ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2022 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
EverCommerce, Inc. Senior Secured Term Loan B, 7.64%, 7/6/2028
(b)
|
|
|
$
137,764 |
|
$
135,559 |
First Advantage Holdings LLC Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 2.75%, 7.13%, 1/31/2027
(b)
|
|
|
116,548
|
|
114,654
|
Flexera Software LLC Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 3.75%, 8.14%, 3/3/2028
(b)
|
|
|
188,466
|
|
181,340
|
Fortra LLC Senior Secured 2021 Term Loan, 3 Month USD SOFR + 4.00%, 8.19%, 11/19/2026
(b)
|
|
|
97,714
|
|
88,358
|
Greeneden U.S. Holdings II LLC Senior Secured 2020 USD Term Loan B4, 1 Month USD LIBOR + 4.00%, 8.38%, 12/1/2027
(b)
|
|
|
189,531
|
|
182,385
|
Hyland Software, Inc. Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 3.50%, 7.88%, 7/1/2024
(b)
|
|
|
122,871
|
|
121,474
|
Idera, Inc. Senior Secured 2021 Term Loan, 3 Month USD LIBOR + 3.75%, 7.50%, 3/2/2028
(b)
|
|
|
189,639
|
|
179,327
|
I-Logic Technologies Bidco Ltd. Senior Secured 2021 USD Term Loan B, 3 Month USD SOFR + 4.00%, 8.73%, 2/16/2028
(b)
|
|
|
177,920
|
|
175,251
|
Informatica LLC Senior Secured 2021 USD Term Loan B, 1 Month USD LIBOR + 2.75%, 7.19%, 10/27/2028
(b)
|
|
|
154,343
|
|
151,796
|
McAfee LLC Senior Secured 2022 USD Term Loan B, 1 Month USD SOFR + 3.75%, 7.97%, 3/1/2029
(b)
|
|
|
507,793
|
|
474,061
|
MeridianLink, Inc. Senior Secured 2021 Term Loan B, 6 Month USD LIBOR + 3.00%, 8.15%, 11/10/2028
(b)
|
|
|
115,285
|
|
111,215
|
Mitchell International, Inc. Senior Secured 2021 2nd Lien Term Loan, 3 Month USD LIBOR + 6.50%, 11.23%, 10/15/2029
(b)
|
|
|
77,379
|
|
64,660
|
NortonLifeLock, Inc. Senior Secured 2022 Term Loan B, 1 Month USD SOFR + 2.00%, 6.42%, 9/12/2029
(b)
|
|
|
448,132
|
|
441,504
|
Security
Description |
|
|
Principal
Amount |
|
Value
|
Open Text Corp. Senior Secured 2022 Term Loan B, 11/16/2029
(e)
|
|
|
$
253,721 |
|
$
248,424 |
Polaris Newco LLC Senior Secured USD Term Loan B, 3 Month USD LIBOR + 4.00%, 8.73%, 6/2/2028
(b)
|
|
|
182,126
|
|
166,645
|
Project Alpha Intermediate Holding, Inc. Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 4.00%, 8.39%, 4/26/2024
(b)
|
|
|
51,032
|
|
49,909
|
Project Ruby Ultimate Parent Corp. Senior Secured 2021 Term Loan, 1 Month USD LIBOR + 3.25%, 7.63%, 3/10/2028
(b)
|
|
|
192,577
|
|
182,518
|
RealPage, Inc. Senior Secured 1st Lien Term Loan, 1 Month USD LIBOR + 3.00%, 7.38%, 4/24/2028
(b)
|
|
|
347,694
|
|
331,353
|
SolarWinds Holdings, Inc. Senior Secured 2022 Term Loan B, 1 Month USD SOFR + 4.00%, 8.32%, 2/5/2027
(b)
|
|
|
251,413
|
|
249,318
|
Sovos Compliance LLC Senior Secured 2021 Term Loan, 1 Month USD LIBOR + 4.50%, 8.88%, 8/11/2028
(b)
|
|
|
219,563
|
|
202,821
|
SS&C Technologies, Inc. Senior Secured 2018 Term Loan B5, 1 Month USD LIBOR + 1.75%, 6.13%, 4/16/2025
(b)
|
|
|
427,910
|
|
421,412
|
Surf Holdings LLC Senior Secured USD Term Loan, 3 Month USD LIBOR + 3.50%, 8.23%, 3/5/2027
(b)
|
|
|
94,896
|
|
92,252
|
Ultimate Software Group, Inc. Senior Secured 2021 2nd Lien Term Loan, 1 Month USD LIBOR + 5.25%, 9.00%, 5/3/2027
(b)
|
|
|
100,669
|
|
92,892
|
Vision Solutions, Inc. Senior Secured 2021 Incremental Term Loan, 3 Month USD LIBOR + 4.00%, 8.36%, 4/24/2028
(b)
|
|
|
128,023
|
|
106,355
|
|
|
|
|
|
6,289,442
|
SPECIALTY
RETAIL — 1.3% |
|
|
|
|
|
Petco Health & Wellness Company, Inc. Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 3.25%, 7.98%, 3/3/2028
(b)
|
|
|
447,071
|
|
434,639
|
See accompanying notes to financial statements.
16
SPDR BLACKSTONE
HIGH INCOME ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2022 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
PetSmart, Inc. Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 3.75%, 8.13%, 2/11/2028
(b)
|
|
|
$
468,042 |
|
$
459,411 |
Pilot Travel Centers LLC Senior Secured 2021 Term Loan B, 1 Month USD SOFR + 2.00%, 6.42%, 8/4/2028
(b)
|
|
|
358,732
|
|
355,279
|
Whatabrands LLC Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 3.25%, 7.63%, 8/3/2028
(b)
|
|
|
309,068
|
|
299,409
|
|
|
|
|
|
1,548,738
|
STEEL-PRODUCERS
— 0.2% |
|
|
|
|
|
Phoenix
Services International LLC: |
|
|
|
|
|
Senior Secured 2022 DIP New Money Term Loan, 1 Month USD SOFR + 12.00%, 16.32%, 3/28/2023
(b)
|
|
|
92,901
|
|
89,650
|
Senior Secured 2022 DIP PIK Roll Up Term Loan, 1 Month USD SOFR + 12.00%, 16.32%, 9/29/2023
(b)
|
|
|
129,680
|
|
125,141
|
Senior Secured Term Loan, 3 Month USD LIBOR + 2.75%, 10.25%, 3/1/2025
(b)
(c)
|
|
|
643,368
|
|
69,564
|
|
|
|
|
|
284,355
|
TELECOM
SERVICES — 0.3% |
|
|
|
|
|
SBA Senior Finance II LLC Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 1.75%, 6.14%, 4/11/2025
(b)
|
|
|
314,500
|
|
313,846
|
TELECOMMUNICATION
EQUIP — 0.3% |
|
|
|
|
|
Coral-US Co-Borrower LLC Senior Secured 2021 Term Loan B6, 1 Month USD LIBOR + 2.25%, 7.32%, 10/15/2029
(b)
|
|
|
305,848
|
|
297,285
|
Delta Topco, Inc. Senior Secured 2020 Term Loan B, 3 Month USD LIBOR + 3.75%, 8.15%, 12/1/2027
(b)
|
|
|
119,726
|
|
110,986
|
|
|
|
|
|
408,271
|
TELEVISION
— 0.2% |
|
|
|
|
|
Gray Television, Inc. Senior Secured 2018 Term Loan C, 1 Month USD LIBOR + 2.50%, 6.62%, 1/2/2026
(b)
|
|
|
225,804
|
|
220,382
|
Security
Description |
|
|
Principal
Amount |
|
Value
|
TEXTILES,
APPAREL & LUXURY GOODS — 0.1% |
|
|
|
|
|
Varsity Brands, Inc. Senior Secured 2017 Term Loan B, 1 Month USD LIBOR + 3.50%, 7.88%, 12/15/2024
(b)
|
|
|
$
172,643 |
|
$
166,881 |
THRIFTS
& MORTGAGE FINANCE — 0.1% |
|
|
|
|
|
Walker & Dunlop, Inc. Senior Secured 2021 Term Loan, 1 Month USD SOFR + 2.25%, 6.67%, 12/16/2028
(b)
|
|
|
117,955
|
|
115,891
|
TRADING
COMPANIES & DISTRIBUTORS — 0.2% |
|
|
|
|
|
Foundation Building Materials Holding Co. LLC Senior Secured 2021 Term Loan, 3 Month USD LIBOR + 3.25%, 7.66%, 1/31/2028
(b)
|
|
|
201,939
|
|
191,690
|
TRANSPORT-AIR
FREIGHT — 0.1% |
|
|
|
|
|
Kestrel Bidco, Inc. Senior Secured Term Loan B, 1 Month USD LIBOR + 3.00%, 7.35%, 12/11/2026
(b)
|
|
|
78,436
|
|
71,952
|
TRANSPORT-SERVICES
— 0.3% |
|
|
|
|
|
EG America LLC Senior Secured 2018 USD Term Loan, 3 Month USD LIBOR + 4.00%, 8.73%, 2/7/2025
(b)
|
|
|
236,398
|
|
223,840
|
Endure Digital, Inc. Senior Secured Term Loan, 1 Month USD LIBOR + 3.50%, 7.72%, 2/10/2028
(b)
|
|
|
191,562
|
|
172,885
|
|
|
|
|
|
396,725
|
TOTAL SENIOR FLOATING RATE LOANS (Cost
$59,919,426)
|
|
|
|
|
58,432,886
|
ASSET-BACKED
SECURITIES — 3.0% |
|
|
|
|
|
OTHER
ABS — 3.0% |
|
|
|
|
|
Balboa Bay Loan Funding Ltd. Series 2022-1A, Class E, 3 Month SOFR + 7.93%, 11.89%, 4/20/2034
(b)
(f)
|
|
|
500,000
|
|
445,200
|
Carlyle U.S. CLO Ltd. Series 2020-1A, Class DR, 3 Month USD LIBOR + 6.25%, 10.49%, 7/20/2034
(b)
(f)
|
|
|
500,000
|
|
408,250
|
See accompanying notes to financial statements.
17
SPDR BLACKSTONE
HIGH INCOME ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2022 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
Goldentree Loan Management US CLO Ltd. Series 2022-12A, Class E, 3 Month SOFR + 7.25%, 11.21%, 4/20/2034
(b)
(f)
|
|
|
$
500,000 |
|
$
438,550 |
Point Au Roche Park CLO Ltd. Series 2021-1A, Class E, 3 Month USD LIBOR + 6.10%, 10.34%, 7/20/2034
(b)
(f)
|
|
|
1,480,000
|
|
1,203,832
|
Rad CLO, Ltd. Series 2021-15A, Class E, 3 Month USD LIBOR + 6.20%, 10.44%, 1/20/2034
(b)
(f)
|
|
|
652,349
|
|
543,537
|
RR, Ltd. Series 2022-20A, Class D, 3 Month SOFR + 7.25%, 11.11%, 7/15/2037
(b)
(f)
|
|
|
500,000
|
|
457,450
|
|
|
|
|
|
3,496,819
|
TOTAL ASSET-BACKED SECURITIES (Cost
$3,945,547)
|
|
|
|
|
3,496,819
|
CORPORATE
BONDS & NOTES — 44.9% |
|
|
|
|
|
ADVERTISING
— 0.2% |
|
|
|
|
|
Lamar Media Corp. 4.88%,
1/15/2029
|
|
|
200,000
|
|
184,836
|
AEROSPACE
& DEFENSE — 1.6% |
|
|
|
|
|
Bombardier,
Inc.: |
|
|
|
|
|
6.00%, 2/15/2028
(f)
|
|
|
520,000
|
|
482,648
|
7.88%, 4/15/2027
(f)
|
|
|
345,000
|
|
335,882
|
Howmet
Aerospace, Inc.: |
|
|
|
|
|
3.00%,
1/15/2029
|
|
|
282,000
|
|
238,341
|
5.95%,
2/1/2037
|
|
|
50,000
|
|
48,558
|
TransDigm,
Inc.: |
|
|
|
|
|
4.63%,
1/15/2029
|
|
|
340,000
|
|
298,751
|
4.88%,
5/1/2029
|
|
|
260,000
|
|
226,686
|
Triumph Group, Inc. 7.75%,
8/15/2025
|
|
|
300,000
|
|
255,495
|
|
|
|
|
|
1,886,361
|
AIRLINES
— 0.1% |
|
|
|
|
|
American Airlines Group, Inc. 3.75%, 3/1/2025
(f)
|
|
|
170,000
|
|
144,879
|
APPAREL
— 0.2% |
|
|
|
|
|
Crocs, Inc. 4.25%, 3/15/2029
(f)
|
|
|
100,000
|
|
85,322
|
Kontoor Brands, Inc. 4.13%, 11/15/2029
(f)
|
|
|
140,000
|
|
112,673
|
|
|
|
|
|
197,995
|
AUTO
MANUFACTURERS — 0.6% |
|
|
|
|
|
Allison
Transmission, Inc.: |
|
|
|
|
|
3.75%, 1/30/2031
(f)
|
|
|
220,000
|
|
181,007
|
4.75%, 10/1/2027
(f)
|
|
|
120,000
|
|
111,431
|
Security
Description |
|
|
Principal
Amount |
|
Value
|
5.88%, 6/1/2029
(f)
|
|
|
$
79,000 |
|
$
74,177 |
Ford Motor Credit Co. LLC 2.90%,
2/10/2029
|
|
|
250,000
|
|
199,577
|
Wabash National Corp. 4.50%, 10/15/2028
(f)
|
|
|
130,000
|
|
110,234
|
|
|
|
|
|
676,426
|
AUTO
PARTS & EQUIPMENT — 0.1% |
|
|
|
|
|
Titan International, Inc. 7.00%,
4/30/2028
|
|
|
160,000
|
|
152,176
|
BANKS
— 0.7% |
|
|
|
|
|
Intesa Sanpaolo SpA 5.71%, 1/15/2026
(f)
|
|
|
800,000
|
|
770,872
|
BEVERAGES
— 0.1% |
|
|
|
|
|
Primo Water Holdings, Inc. 4.38%, 4/30/2029
(f)
|
|
|
200,000
|
|
172,728
|
BUILDING
MATERIALS — 0.5% |
|
|
|
|
|
Griffon Corp. 5.75%,
3/1/2028
|
|
|
200,000
|
|
182,896
|
Louisiana-Pacific Corp. 3.63%, 3/15/2029
(f)
|
|
|
120,000
|
|
103,525
|
Masonite International Corp. 5.38%, 2/1/2028
(f)
|
|
|
230,000
|
|
213,035
|
PGT Innovations, Inc. 4.38%, 10/1/2029
(f)
|
|
|
150,000
|
|
125,646
|
|
|
|
|
|
625,102
|
CHEMICALS
— 1.6% |
|
|
|
|
|
Ashland LLC 3.38%, 9/1/2031
(f)
|
|
|
440,000
|
|
350,117
|
Chemours
Co.: |
|
|
|
|
|
4.63%, 11/15/2029
(f)
|
|
|
494,000
|
|
405,085
|
5.75%, 11/15/2028
(f)
|
|
|
100,000
|
|
89,792
|
HB Fuller Co. 4.25%,
10/15/2028
|
|
|
230,000
|
|
202,476
|
Ingevity Corp. 3.88%, 11/1/2028
(f)
|
|
|
200,000
|
|
172,530
|
Nufarm Australia, Ltd./Nufarm Americas, Inc. 5.00%, 1/27/2030
(f)
|
|
|
130,000
|
|
113,663
|
Rayonier AM Products, Inc. 7.63%, 1/15/2026
(f)
|
|
|
380,000
|
|
365,324
|
Valvoline, Inc. 3.63%, 6/15/2031
(f)
|
|
|
200,000
|
|
164,048
|
|
|
|
|
|
1,863,035
|
COAL
— 0.2% |
|
|
|
|
|
SunCoke Energy, Inc. 4.88%, 6/30/2029
(f)
|
|
|
220,000
|
|
187,675
|
COMMERCIAL
SERVICES — 1.8% |
|
|
|
|
|
Adtalem Global Education, Inc. 5.50%, 3/1/2028
(f)
|
|
|
135,000
|
|
123,737
|
ASGN, Inc. 4.63%, 5/15/2028
(f)
|
|
|
100,000
|
|
91,530
|
See accompanying notes to financial statements.
18
SPDR BLACKSTONE
HIGH INCOME ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2022 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
Avis Budget Car Rental LLC/Avis Budget Finance, Inc. 5.75%, 7/15/2027
(f)
|
|
|
$
250,000 |
|
$
227,047 |
Gartner,
Inc.: |
|
|
|
|
|
3.63%, 6/15/2029
(f)
|
|
|
460,000
|
|
403,231
|
3.75%, 10/1/2030
(f)
|
|
|
100,000
|
|
86,706
|
Korn Ferry 4.63%, 12/15/2027
(f)
|
|
|
100,000
|
|
91,776
|
Prime Security Services Borrower LLC/Prime Finance, Inc. 6.25%, 1/15/2028
(f)
|
|
|
315,000
|
|
287,630
|
Service
Corp. International: |
|
|
|
|
|
3.38%,
8/15/2030
|
|
|
310,000
|
|
254,811
|
4.00%,
5/15/2031
|
|
|
410,000
|
|
348,008
|
TriNet Group, Inc. 3.50%, 3/1/2029
(f)
|
|
|
180,000
|
|
149,098
|
|
|
|
|
|
2,063,574
|
COMPUTERS
— 0.4% |
|
|
|
|
|
Booz Allen Hamilton, Inc. 3.88%, 9/1/2028
(f)
|
|
|
350,000
|
|
312,046
|
KBR, Inc. 4.75%, 9/30/2028
(f)
|
|
|
90,000
|
|
78,780
|
Science Applications International Corp. 4.88%, 4/1/2028
(f)
|
|
|
150,000
|
|
139,416
|
|
|
|
|
|
530,242
|
COSMETICS/PERSONAL
CARE — 0.3% |
|
|
|
|
|
Edgewell Personal Care Co. 5.50%, 6/1/2028
(f)
|
|
|
350,000
|
|
327,666
|
DIVERSIFIED
FINANCIAL SERVICES — 2.5% |
|
|
|
|
|
Enova International, Inc. 8.50%, 9/15/2025
(f)
|
|
|
150,000
|
|
138,611
|
LPL Holdings, Inc. 4.38%, 5/15/2031
(f)
|
|
|
180,000
|
|
154,341
|
Nationstar Mortgage Holdings, Inc. 5.50%, 8/15/2028
(f)
|
|
|
650,000
|
|
531,797
|
Navient
Corp.: |
|
|
|
|
|
4.88%,
3/15/2028
|
|
|
350,000
|
|
287,305
|
6.75%,
6/25/2025
|
|
|
150,000
|
|
144,192
|
6.75%,
6/15/2026
|
|
|
200,000
|
|
191,020
|
5.63%,
8/1/2033
|
|
|
190,000
|
|
136,623
|
OneMain
Finance Corp.: |
|
|
|
|
|
6.63%,
1/15/2028
|
|
|
180,000
|
|
165,967
|
6.88%,
3/15/2025
|
|
|
300,000
|
|
288,405
|
PennyMac
Financial Services, Inc.: |
|
|
|
|
|
5.38%, 10/15/2025
(f)
|
|
|
200,000
|
|
181,208
|
5.75%, 9/15/2031
(f)
|
|
|
270,000
|
|
218,716
|
PHH Mortgage Corp. 7.88%, 3/15/2026
(f)
|
|
|
180,000
|
|
160,724
|
Security
Description |
|
|
Principal
Amount |
|
Value
|
PRA Group, Inc. 5.00%, 10/1/2029
(f)
|
|
|
$
330,000 |
|
$
273,194 |
|
|
|
|
|
2,872,103
|
ELECTRIC
— 0.8% |
|
|
|
|
|
DPL, Inc. 4.13%,
7/1/2025
|
|
|
511,000
|
|
482,123
|
PG&E Corp. 5.00%,
7/1/2028
|
|
|
200,000
|
|
183,014
|
Vistra Operations Co. LLC 4.38%, 5/1/2029
(f)
|
|
|
250,000
|
|
215,703
|
|
|
|
|
|
880,840
|
ELECTRICAL
COMPONENTS & EQUIPMENT — 0.4% |
|
|
|
|
|
Energizer
Holdings, Inc.: |
|
|
|
|
|
4.38%, 3/31/2029
(f)
|
|
|
260,000
|
|
221,008
|
6.50%, 12/31/2027
(f)
|
|
|
250,000
|
|
238,460
|
|
|
|
|
|
459,468
|
ELECTRONICS
— 0.4% |
|
|
|
|
|
Sensata Technologies B.V. 4.00%, 4/15/2029
(f)
|
|
|
420,000
|
|
362,267
|
TTM Technologies, Inc. 4.00%, 3/1/2029
(f)
|
|
|
170,000
|
|
145,952
|
|
|
|
|
|
508,219
|
ENERGY-ALTERNATE
SOURCES — 0.3% |
|
|
|
|
|
Atlantica Sustainable Infrastructure PLC 4.13%, 6/15/2028
(f)
|
|
|
140,000
|
|
124,386
|
Enviva Partners L.P./Enviva Partners Finance Corp. 6.50%, 1/15/2026
(f)
|
|
|
200,000
|
|
188,652
|
|
|
|
|
|
313,038
|
ENGINEERING
& CONSTRUCTION — 0.3% |
|
|
|
|
|
Brundage-Bone Concrete Pumping Holdings, Inc. 6.00%, 2/1/2026
(f)
|
|
|
114,000
|
|
104,028
|
Fluor Corp. 4.25%,
9/15/2028
|
|
|
100,000
|
|
90,674
|
Tutor Perini Corp. 6.88%, 5/1/2025
(f)
|
|
|
190,000
|
|
166,552
|
|
|
|
|
|
361,254
|
ENTERTAINMENT
— 1.0% |
|
|
|
|
|
CDI Escrow Issuer, Inc. 5.75%, 4/1/2030
(f)
|
|
|
700,000
|
|
631,099
|
Cinemark USA, Inc. 5.88%, 3/15/2026
(f)
|
|
|
300,000
|
|
249,579
|
Wynn Resorts Finance LLC/Wynn Resorts Capital Corp. REGS, 5.13%, 10/1/2029
(f)
|
|
|
320,000
|
|
274,429
|
|
|
|
|
|
1,155,107
|
See accompanying notes to financial statements.
19
SPDR BLACKSTONE
HIGH INCOME ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2022 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
ENVIRONMENTAL
CONTROL — 0.2% |
|
|
|
|
|
Stericycle, Inc. 3.88%, 1/15/2029
(f)
|
|
|
$
264,000 |
|
$
230,461 |
FOOD
— 1.3% |
|
|
|
|
|
Lamb
Weston Holdings, Inc.: |
|
|
|
|
|
4.13%, 1/31/2030
(f)
|
|
|
400,000
|
|
353,924
|
4.88%, 5/15/2028
(f)
|
|
|
400,000
|
|
379,200
|
Post
Holdings, Inc.: |
|
|
|
|
|
4.50%, 9/15/2031
(f)
|
|
|
100,000
|
|
84,466
|
5.50%, 12/15/2029
(f)
|
|
|
290,000
|
|
262,734
|
5.63%, 1/15/2028
(f)
|
|
|
470,000
|
|
444,221
|
|
|
|
|
|
1,524,545
|
FOREST
PRODUCTS & PAPER — 0.3% |
|
|
|
|
|
Clearwater Paper Corp. 4.75%, 8/15/2028
(f)
|
|
|
230,000
|
|
202,904
|
Mativ Holdings, Inc. 6.88%, 10/1/2026
(f)
|
|
|
140,000
|
|
122,469
|
|
|
|
|
|
325,373
|
GAS
— 0.6% |
|
|
|
|
|
AmeriGas
Partners L.P./AmeriGas Finance Corp.: |
|
|
|
|
|
5.50%,
5/20/2025
|
|
|
330,000
|
|
317,067
|
5.63%,
5/20/2024
|
|
|
150,000
|
|
146,346
|
5.75%,
5/20/2027
|
|
|
200,000
|
|
186,970
|
|
|
|
|
|
650,383
|
HEALTH
CARE PRODUCTS — 0.6% |
|
|
|
|
|
Hologic, Inc. 3.25%, 2/15/2029
(f)
|
|
|
818,000
|
|
706,425
|
HEALTH
CARE SERVICES — 1.4% |
|
|
|
|
|
Acadia Healthcare Co., Inc. 5.50%, 7/1/2028
(f)
|
|
|
320,000
|
|
303,786
|
Charles River Laboratories International, Inc. 4.25%, 5/1/2028
(f)
|
|
|
60,000
|
|
55,210
|
CHS/Community
Health Systems, Inc.: |
|
|
|
|
|
5.25%, 5/15/2030
(f)
|
|
|
70,000
|
|
52,870
|
8.00%, 3/15/2026
(f)
|
|
|
600,000
|
|
547,002
|
8.00%, 12/15/2027
(f)
|
|
|
150,000
|
|
135,699
|
Encompass
Health Corp.: |
|
|
|
|
|
4.50%,
2/1/2028
|
|
|
570,000
|
|
517,480
|
4.63%,
4/1/2031
|
|
|
85,000
|
|
72,991
|
|
|
|
|
|
1,685,038
|
HOME
BUILDERS — 1.3% |
|
|
|
|
|
Beazer Homes USA, Inc. 5.88%,
10/15/2027
|
|
|
260,000
|
|
229,291
|
Forestar Group, Inc. 3.85%, 5/15/2026
(f)
|
|
|
292,000
|
|
259,629
|
Security
Description |
|
|
Principal
Amount |
|
Value
|
Installed Building Products, Inc. 5.75%, 2/1/2028
(f)
|
|
|
$
90,000 |
|
$
81,151 |
KB Home 7.25%,
7/15/2030
|
|
|
100,000
|
|
97,114
|
LGI Homes, Inc. 4.00%, 7/15/2029
(f)
|
|
|
100,000
|
|
77,173
|
M/I Homes, Inc. 4.95%,
2/1/2028
|
|
|
200,000
|
|
177,660
|
Meritage Homes Corp. 3.88%, 4/15/2029
(f)
|
|
|
300,000
|
|
254,595
|
Taylor Morrison Communities, Inc. 5.13%, 8/1/2030
(f)
|
|
|
180,000
|
|
156,622
|
Tri Pointe Homes, Inc. 5.70%,
6/15/2028
|
|
|
200,000
|
|
182,140
|
|
|
|
|
|
1,515,375
|
HOME
FURNISHINGS — 0.3% |
|
|
|
|
|
Tempur Sealy International, Inc. 4.00%, 4/15/2029
(f)
|
|
|
480,000
|
|
403,027
|
HOUSEHOLD
PRODUCTS & WARES — 0.3% |
|
|
|
|
|
Central
Garden & Pet Co.: |
|
|
|
|
|
4.13%,
10/15/2030
|
|
|
200,000
|
|
164,584
|
4.13%, 4/30/2031
(f)
|
|
|
190,000
|
|
157,432
|
|
|
|
|
|
322,016
|
INSURANCE
— 0.2% |
|
|
|
|
|
MGIC Investment Corp. 5.25%,
8/15/2028
|
|
|
300,000
|
|
277,071
|
INTERNET
— 0.2% |
|
|
|
|
|
Gen Digital, Inc. 6.75%, 9/30/2027
(f)
|
|
|
189,000
|
|
185,568
|
INVESTMENT
COMPANY SECURITY — 0.5% |
|
|
|
|
|
Icahn
Enterprises L.P./Icahn Enterprises Finance Corp.: |
|
|
|
|
|
4.38%,
2/1/2029
|
|
|
280,000
|
|
238,067
|
5.25%,
5/15/2027
|
|
|
440,000
|
|
403,480
|
|
|
|
|
|
641,547
|
IRON/STEEL
— 1.5% |
|
|
|
|
|
ATI,
Inc.: |
|
|
|
|
|
5.13%,
10/1/2031
|
|
|
100,000
|
|
87,741
|
5.88%,
12/1/2027
|
|
|
300,000
|
|
286,725
|
Carpenter
Technology Corp.: |
|
|
|
|
|
6.38%,
7/15/2028
|
|
|
120,000
|
|
114,330
|
7.63%,
3/15/2030
|
|
|
150,000
|
|
150,699
|
Commercial Metals Co. 3.88%,
2/15/2031
|
|
|
350,000
|
|
295,127
|
Mineral
Resources, Ltd.: |
|
|
|
|
|
8.13%, 5/1/2027
(f)
|
|
|
40,000
|
|
40,681
|
8.50%, 5/1/2030
(f)
|
|
|
790,000
|
|
807,902
|
|
|
|
|
|
1,783,205
|
See accompanying notes to financial statements.
20
SPDR BLACKSTONE
HIGH INCOME ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2022 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
LEISURE
TIME — 1.8% |
|
|
|
|
|
Carnival
Corp.: |
|
|
|
|
|
5.75%, 3/1/2027
(f)
|
|
|
$
100,000 |
|
$
71,349 |
7.63%, 3/1/2026
(f)
|
|
|
560,000
|
|
447,261
|
Life Time, Inc. 8.00%, 4/15/2026
(f)
|
|
|
200,000
|
|
179,688
|
NCL
Corp., Ltd.: |
|
|
|
|
|
5.88%, 3/15/2026
(f)
|
|
|
340,000
|
|
267,600
|
7.75%, 2/15/2029
(f)
|
|
|
270,000
|
|
203,189
|
Royal
Caribbean Cruises, Ltd.: |
|
|
|
|
|
4.25%, 7/1/2026
(f)
|
|
|
100,000
|
|
80,969
|
5.50%, 8/31/2026
(f)
|
|
|
270,000
|
|
227,162
|
11.63%, 8/15/2027
(f)
|
|
|
470,000
|
|
472,491
|
Vista Outdoor, Inc. 4.50%, 3/15/2029
(f)
|
|
|
210,000
|
|
154,690
|
|
|
|
|
|
2,104,399
|
LODGING
— 1.2% |
|
|
|
|
|
Full House Resorts, Inc. 8.25%, 2/15/2028
(f)
|
|
|
100,000
|
|
88,341
|
Hilton
Domestic Operating Co., Inc.: |
|
|
|
|
|
3.63%, 2/15/2032
(f)
|
|
|
200,000
|
|
160,082
|
3.75%, 5/1/2029
(f)
|
|
|
250,000
|
|
216,973
|
4.00%, 5/1/2031
(f)
|
|
|
80,000
|
|
67,379
|
4.88%,
1/15/2030
|
|
|
50,000
|
|
45,366
|
Las Vegas Sands Corp. 3.90%,
8/8/2029
|
|
|
311,000
|
|
263,358
|
Marriott Ownership Resorts, Inc. 4.75%,
1/15/2028
|
|
|
300,000
|
|
260,712
|
Travel & Leisure Co. 4.50%, 12/1/2029
(f)
|
|
|
170,000
|
|
138,565
|
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp. REGS, 5.25%, 5/15/2027
(f)
|
|
|
200,000
|
|
181,010
|
|
|
|
|
|
1,421,786
|
MACHINERY-DIVERSIFIED
— 0.0% (d) |
|
|
|
|
|
ATS Corp. 4.13%, 12/15/2028
(f)
|
|
|
40,000
|
|
34,504
|
MEDIA
— 1.2% |
|
|
|
|
|
CCO Holdings LLC/CCO Holdings Capital Corp. 4.25%, 1/15/2034
(f)
|
|
|
110,000
|
|
81,343
|
DISH
DBS Corp.: |
|
|
|
|
|
7.38%,
7/1/2028
|
|
|
200,000
|
|
141,360
|
7.75%,
7/1/2026
|
|
|
500,000
|
|
403,505
|
Sirius
XM Radio, Inc.: |
|
|
|
|
|
3.88%, 9/1/2031
(f)
|
|
|
60,000
|
|
47,408
|
4.00%, 7/15/2028
(f)
|
|
|
750,000
|
|
651,098
|
4.13%, 7/1/2030
(f)
|
|
|
60,000
|
|
49,568
|
|
|
|
|
|
1,374,282
|
Security
Description |
|
|
Principal
Amount |
|
Value
|
MINING
— 1.3% |
|
|
|
|
|
Compass Minerals International, Inc. 6.75%, 12/1/2027
(f)
|
|
|
$
150,000 |
|
$
144,789 |
Eldorado Gold Corp. 6.25%, 9/1/2029
(f)
|
|
|
220,000
|
|
194,148
|
FMG
Resources August 2006 Pty, Ltd.: |
|
|
|
|
|
4.50%, 9/15/2027
(f)
|
|
|
100,000
|
|
92,635
|
6.13%, 4/15/2032
(f)
|
|
|
235,000
|
|
219,177
|
FMG Resources August Pty. Ltd. 5.88%, 4/15/2030
(f)
|
|
|
316,000
|
|
296,699
|
Hecla Mining Co. 7.25%,
2/15/2028
|
|
|
100,000
|
|
98,676
|
Hudbay Minerals, Inc. 6.13%, 4/1/2029
(f)
|
|
|
60,000
|
|
54,684
|
IAMGOLD Corp. 5.75%, 10/15/2028
(f)
|
|
|
80,000
|
|
62,173
|
Kaiser
Aluminum Corp.: |
|
|
|
|
|
4.50%, 6/1/2031
(f)
|
|
|
100,000
|
|
80,342
|
4.63%, 3/1/2028
(f)
|
|
|
100,000
|
|
87,668
|
New Gold, Inc. 7.50%, 7/15/2027
(f)
|
|
|
100,000
|
|
87,828
|
Taseko Mines, Ltd. 7.00%, 2/15/2026
(f)
|
|
|
160,000
|
|
140,768
|
|
|
|
|
|
1,559,587
|
MISCELLANEOUS
MANUFACTURER — 0.1% |
|
|
|
|
|
LSB Industries, Inc. 6.25%, 10/15/2028
(f)
|
|
|
100,000
|
|
91,119
|
OFFICE
& BUSINESS EQUIPMENT — 0.4% |
|
|
|
|
|
Pitney Bowes, Inc. 6.88%, 3/15/2027
(f)
|
|
|
150,000
|
|
128,371
|
Xerox Holdings Corp. 5.50%, 8/15/2028
(f)
|
|
|
450,000
|
|
363,186
|
|
|
|
|
|
491,557
|
OFFICE
FURNISHINGS — 0.1% |
|
|
|
|
|
Interface, Inc. 5.50%, 12/1/2028
(f)
|
|
|
100,000
|
|
82,359
|
OIL
& GAS — 4.1% |
|
|
|
|
|
Apache Corp. 5.35%,
7/1/2049
|
|
|
280,000
|
|
227,657
|
Calumet Specialty Products Partners L.P./Calumet Finance Corp. 8.13%, 1/15/2027
(f)
|
|
|
230,000
|
|
216,179
|
CVR Energy, Inc. 5.75%, 2/15/2028
(f)
|
|
|
400,000
|
|
347,312
|
Energean PLC 6.50%, 4/30/2027
(f)
|
|
|
240,000
|
|
220,944
|
Nabors Industries, Ltd. 7.50%, 1/15/2028
(f)
|
|
|
395,000
|
|
359,991
|
Northern Oil & Gas, Inc. 8.13%, 3/1/2028
(f)
|
|
|
310,000
|
|
297,464
|
See accompanying notes to financial statements.
21
SPDR BLACKSTONE
HIGH INCOME ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2022 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
Occidental
Petroleum Corp.: |
|
|
|
|
|
6.60%,
3/15/2046
|
|
|
$
90,000 |
|
$
92,624 |
7.88%,
9/15/2031
|
|
|
370,000
|
|
408,391
|
8.88%,
7/15/2030
|
|
|
220,000
|
|
248,433
|
Patterson-UTI Energy, Inc. 5.15%,
11/15/2029
|
|
|
190,000
|
|
171,049
|
PBF Holding Co. LLC/PBF Finance Corp. 6.00%,
2/15/2028
|
|
|
250,000
|
|
221,255
|
Petrofac, Ltd. 9.75%, 11/15/2026
(f)
|
|
|
200,000
|
|
112,994
|
Precision Drilling Corp. 6.88%, 1/15/2029
(f)
|
|
|
320,000
|
|
299,856
|
ROCC Holdings LLC 9.25%, 8/15/2026
(f)
|
|
|
74,000
|
|
73,995
|
Sunoco
L.P./Sunoco Finance Corp.: |
|
|
|
|
|
4.50%,
5/15/2029
|
|
|
830,000
|
|
725,976
|
4.50%,
4/30/2030
|
|
|
40,000
|
|
34,736
|
Transocean,
Inc.: |
|
|
|
|
|
7.25%, 11/1/2025
(f)
|
|
|
130,000
|
|
115,318
|
7.50%, 1/15/2026
(f)
|
|
|
335,000
|
|
282,261
|
7.50%,
4/15/2031
|
|
|
150,000
|
|
100,134
|
8.00%, 2/1/2027
(f)
|
|
|
320,000
|
|
260,749
|
|
|
|
|
|
4,817,318
|
OIL
& GAS SERVICES — 0.2% |
|
|
|
|
|
Enerflex, Ltd. 9.00%,
10/15/2027
|
|
|
210,000
|
|
209,506
|
PACKAGING
& CONTAINERS — 0.6% |
|
|
|
|
|
Ball Corp. 3.13%,
9/15/2031
|
|
|
130,000
|
|
104,358
|
OI European Group B.V. 4.75%, 2/15/2030
(f)
|
|
|
360,000
|
|
318,067
|
Owens-Brockway Glass Container, Inc. 6.63%, 5/13/2027
(f)
|
|
|
150,000
|
|
145,995
|
TriMas Corp. 4.13%, 4/15/2029
(f)
|
|
|
150,000
|
|
131,587
|
|
|
|
|
|
700,007
|
PHARMACEUTICALS
— 0.1% |
|
|
|
|
|
AdaptHealth LLC 5.13%, 3/1/2030
(f)
|
|
|
100,000
|
|
85,112
|
PIPELINES
— 2.3% |
|
|
|
|
|
Antero
Midstream Partners L.P./Antero Midstream Finance Corp.: |
|
|
|
|
|
5.38%, 6/15/2029
(f)
|
|
|
200,000
|
|
182,946
|
5.75%, 1/15/2028
(f)
|
|
|
240,000
|
|
223,654
|
Crestwood
Midstream Partners L.P./Crestwood Midstream Finance Corp.: |
|
|
|
|
|
5.63%, 5/1/2027
(f)
|
|
|
280,000
|
|
261,055
|
8.00%, 4/1/2029
(f)
|
|
|
50,000
|
|
49,917
|
Security
Description |
|
|
Principal
Amount |
|
Value
|
Delek Logistics Partners L.P./Delek Logistics Finance Corp. 7.13%, 6/1/2028
(f)
|
|
|
$
170,000 |
|
$
153,238 |
EnLink
Midstream Partners L.P.: |
|
|
|
|
|
5.05%,
4/1/2045
|
|
|
230,000
|
|
173,314
|
5.45%,
6/1/2047
|
|
|
220,000
|
|
176,618
|
EQM Midstream Partners L.P. 6.50%,
7/15/2048
|
|
|
170,000
|
|
127,502
|
Global Partners L.P./GLP Finance Corp. 6.88%,
1/15/2029
|
|
|
255,000
|
|
230,959
|
Holly Energy Partners L.P./Holly Energy Finance Corp. 5.00%, 2/1/2028
(f)
|
|
|
370,000
|
|
339,068
|
NuStar Logistics L.P. 6.38%,
10/1/2030
|
|
|
380,000
|
|
352,522
|
Summit Midstream Holdings LLC/Summit Midstream Finance Corp. 8.50%, 10/15/2026
(f)
|
|
|
200,000
|
|
189,894
|
Western Midstream Operating L.P. 5.50%,
8/15/2048
|
|
|
310,000
|
|
257,464
|
|
|
|
|
|
2,718,151
|
REAL
ESTATE — 0.2% |
|
|
|
|
|
Howard Hughes Corp. 4.13%, 2/1/2029
(f)
|
|
|
305,000
|
|
255,139
|
REAL
ESTATE INVESTMENT TRUSTS — 2.3% |
|
|
|
|
|
Apollo Commercial Real Estate Finance, Inc. 4.63%, 6/15/2029
(f)
|
|
|
200,000
|
|
160,042
|
Iron
Mountain, Inc.: |
|
|
|
|
|
4.88%, 9/15/2029
(f)
|
|
|
40,000
|
|
34,849
|
5.63%, 7/15/2032
(f)
|
|
|
160,000
|
|
139,544
|
REIT, 4.50%, 2/15/2031
(f)
|
|
|
460,000
|
|
378,897
|
MPT
Operating Partnership L.P./MPT Finance Corp.: |
|
|
|
|
|
4.63%,
8/1/2029
|
|
|
140,000
|
|
108,454
|
5.00%,
10/15/2027
|
|
|
300,000
|
|
252,450
|
Office Properties Income Trust 2.65%,
6/15/2026
|
|
|
320,000
|
|
248,928
|
Rithm Capital Corp. 6.25%, 10/15/2025
(f)
|
|
|
200,000
|
|
179,534
|
SBA Communications Corp. 3.13%,
2/1/2029
|
|
|
140,000
|
|
116,586
|
Service
Properties Trust: |
|
|
|
|
|
3.95%,
1/15/2028
|
|
|
390,000
|
|
277,621
|
4.75%,
10/1/2026
|
|
|
230,000
|
|
181,790
|
4.95%,
2/15/2027
|
|
|
150,000
|
|
118,229
|
5.25%,
2/15/2026
|
|
|
150,000
|
|
125,420
|
Starwood
Property Trust, Inc.: |
|
|
|
|
|
3.63%, 7/15/2026
(f)
|
|
|
150,000
|
|
131,250
|
4.38%, 1/15/2027
(f)
|
|
|
310,000
|
|
272,806
|
|
|
|
|
|
2,726,400
|
See accompanying notes to financial statements.
22
SPDR BLACKSTONE
HIGH INCOME ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2022 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
RETAIL
— 3.5% |
|
|
|
|
|
1011778
BC ULC/New Red Finance, Inc.: |
|
|
|
|
|
3.50%, 2/15/2029
(f)
|
|
|
$
50,000 |
|
$
43,131 |
3.88%, 1/15/2028
(f)
|
|
|
630,000
|
|
567,435
|
4.00%, 10/15/2030
(f)
|
|
|
130,000
|
|
105,566
|
4.38%, 1/15/2028
(f)
|
|
|
100,000
|
|
89,929
|
Abercrombie & Fitch Management Co. 8.75%, 7/15/2025
(f)
|
|
|
70,000
|
|
69,266
|
Asbury
Automotive Group, Inc.: |
|
|
|
|
|
4.63%, 11/15/2029
(f)
|
|
|
150,000
|
|
126,558
|
4.75%,
3/1/2030
|
|
|
170,000
|
|
142,706
|
Bath & Body Works, Inc. 6.75%,
7/1/2036
|
|
|
230,000
|
|
201,616
|
Bloomin' Brands, Inc./OSI Restaurant Partners LLC 5.13%, 4/15/2029
(f)
|
|
|
80,000
|
|
67,254
|
FirstCash, Inc. 4.63%, 9/1/2028
(f)
|
|
|
410,000
|
|
359,517
|
Gap, Inc. 3.63%, 10/1/2029
(f)
|
|
|
470,000
|
|
334,461
|
Group 1 Automotive, Inc. 4.00%, 8/15/2028
(f)
|
|
|
190,000
|
|
161,538
|
Macy's
Retail Holdings LLC: |
|
|
|
|
|
5.88%, 3/15/2030
(f)
|
|
|
100,000
|
|
86,922
|
6.13%, 3/15/2032
(f)
|
|
|
100,000
|
|
84,053
|
Murphy Oil USA, Inc. 3.75%, 2/15/2031
(f)
|
|
|
160,000
|
|
133,222
|
Papa John's International, Inc. 3.88%, 9/15/2029
(f)
|
|
|
140,000
|
|
116,851
|
Patrick Industries, Inc. 4.75%, 5/1/2029
(f)
|
|
|
250,000
|
|
209,660
|
Sonic
Automotive, Inc.: |
|
|
|
|
|
4.63%, 11/15/2029
(f)
|
|
|
100,000
|
|
80,634
|
4.88%, 11/15/2031
(f)
|
|
|
176,000
|
|
138,563
|
Superior Plus L.P./Superior General Partner, Inc. 4.50%, 3/15/2029
(f)
|
|
|
230,000
|
|
197,517
|
Yum!
Brands, Inc.: |
|
|
|
|
|
3.63%,
3/15/2031
|
|
|
280,000
|
|
234,643
|
4.63%,
1/31/2032
|
|
|
402,000
|
|
356,425
|
4.75%, 1/15/2030
(f)
|
|
|
180,000
|
|
165,458
|
|
|
|
|
|
4,072,925
|
SOFTWARE
— 1.4% |
|
|
|
|
|
Consensus
Cloud Solutions, Inc.: |
|
|
|
|
|
6.00%, 10/15/2026
(f)
|
|
|
80,000
|
|
75,474
|
6.50%, 10/15/2028
(f)
|
|
|
130,000
|
|
118,799
|
Fair Isaac Corp. 4.00%, 6/15/2028
(f)
|
|
|
610,000
|
|
553,368
|
MSCI,
Inc.: |
|
|
|
|
|
3.63%, 9/1/2030
(f)
|
|
|
100,000
|
|
83,314
|
3.88%, 2/15/2031
(f)
|
|
|
390,000
|
|
324,683
|
Open Text Corp. 3.88%, 2/15/2028
(f)
|
|
|
310,000
|
|
266,051
|
Security
Description |
|
|
Principal
Amount |
|
Value
|
Open Text Holdings, Inc. 4.13%, 2/15/2030
(f)
|
|
|
$
60,000 |
|
$
48,812 |
Ziff Davis, Inc. 4.63%, 10/15/2030
(f)
|
|
|
150,000
|
|
127,010
|
|
|
|
|
|
1,597,511
|
TELECOMMUNICATIONS
— 1.2% |
|
|
|
|
|
CommScope, Inc. 8.25%, 3/1/2027
(f)
|
|
|
365,000
|
|
285,565
|
Frontier Communications Holdings LLC 6.75%, 5/1/2029
(f)
|
|
|
640,000
|
|
529,120
|
Hughes Satellite Systems Corp. 6.63%,
8/1/2026
|
|
|
200,000
|
|
186,682
|
ViaSat, Inc. 6.50%, 7/15/2028
(f)
|
|
|
525,000
|
|
402,166
|
|
|
|
|
|
1,403,533
|
TRANSPORTATION
— 0.1% |
|
|
|
|
|
Cargo Aircraft Management, Inc. 4.75%, 2/1/2028
(f)
|
|
|
110,000
|
|
99,755
|
TOTAL CORPORATE BONDS & NOTES (Cost
$53,993,355)
|
|
|
|
|
52,428,580
|
|
|
Shares
|
|
SHORT-TERM
INVESTMENT — 8.2% |
|
|
|
State Street Institutional U.S. Government Money Market Fund, Class G Shares 4.16% (g) (h) (Cost
$9,542,516)
|
|
9,542,516
|
9,542,516
|
TOTAL INVESTMENTS — 106.2% (Cost
$127,392,957)
|
|
|
123,900,801
|
LIABILITIES IN EXCESS OF OTHER ASSETS —
(6.2)%
|
|
|
(7,236,493)
|
NET ASSETS —
100.0%
|
|
|
$
116,664,308 |
(a)
|
The
rate shown represents the rate at December 31, 2022. |
(b)
|
Variable
Rate Security - Interest rate shown is rate in effect at December 31, 2022. For securities based on a published reference rate and spread, the reference rate and spread are indicated in the description above. |
(c)
|
Security
is currently in default and/or issuer is in bankruptcy. |
(d)
|
Amount
is less than 0.05% of net assets. |
(e)
|
Position
is unsettled. Contract rate was not determined at December 31, 2022 and does not take effect until settlement date. Maturity date is not finalized until settlement date. |
See accompanying notes to financial statements.
23
SPDR BLACKSTONE
HIGH INCOME ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2022 (Unaudited)
(f)
|
Securities
purchased pursuant to Rule 144A of the Securities Act of 1933, as amended. These securities, which represent 34.1% of net assets as of December 31, 2022, 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, 2022 are shown in the Affiliate Table below. |
(h)
|
The
rate shown is the annualized seven-day yield at December 31, 2022. |
ABS
|
Asset-Backed
Security |
CDI
|
CREST
Depository Interest |
CLO
|
Collateralized
Loan Obligation |
CME
|
Chicago
Mercantile Exchange |
CVR
|
Contingent
Value Rights |
LIBOR
|
London
Interbank Offered Rate |
PIK
|
Payment
in Kind |
REIT
|
Real
Estate Investment Trust |
SOFR
|
Secured
Overnight Financing Rate |
At December 31, 2022, the Fund had unfunded loan
commitments of $43,961, which could be extended at the option of the borrowers, pursuant to the following loan agreements:
Borrower
|
|
Unfunded
Loan Commitment ($) |
|
Value
($) |
|
Unrealized
Appreciation/(Depreciation) ($) |
Pediatric
Associates Holding Company, LLC |
|
11,352
|
|
10,808
|
|
(544)
|
Athenahealth,
Inc. |
|
32,609
|
|
29,523
|
|
(3,086)
|
|
|
$43,961
|
|
$40,331
|
|
$(3,630)
|
The following table summarizes the value of the
Fund's investments according to the fair value hierarchy as of December 31, 2022.
Description
|
|
Level
1 – Quoted Prices |
|
Level
2 – Other Significant Observable Inputs |
|
Level
3 – Significant Unobservable Inputs |
|
Total
|
ASSETS:
|
|
|
|
|
|
|
|
|
INVESTMENTS:
|
|
|
|
|
|
|
|
|
Corporate Bonds &
Notes
|
|
$
— |
|
$
52,428,580 |
|
$—
|
|
$
52,428,580 |
Asset-Backed
Securities
|
|
—
|
|
3,496,819
|
|
—
|
|
3,496,819
|
Senior Floating Rate
Loans
|
|
—
|
|
58,432,886
|
|
—
|
|
58,432,886
|
Short-Term
Investment
|
|
9,542,516
|
|
—
|
|
—
|
|
9,542,516
|
TOTAL
INVESTMENTS
|
|
$9,542,516
|
|
$114,358,285
|
|
$—
|
|
$123,900,801
|
LIABILITIES:
|
|
|
|
|
|
|
|
|
OTHER
FINANCIAL INSTRUMENTS: |
|
|
|
|
|
|
|
|
Unfunded
Loans(a)
|
|
—
|
|
(3,630)
|
|
—
|
|
(3,630)
|
TOTAL OTHER FINANCIAL
INSTRUMENTS:
|
|
$
— |
|
$
(3,630) |
|
$—
|
|
$
(3,630) |
(a)
|
Unfunded
loan commitments are valued at unrealized appreciation (depreciation). |
Affiliate Table
|
Number
of Shares Held at 6/30/22 |
|
Value
at 6/30/22 |
|
Cost
of Purchases |
|
Proceeds
from Shares Sold |
|
Realized
Gain (Loss) |
|
Change
in Unrealized Appreciation/ Depreciation |
|
Number
of Shares Held at 12/31/22 |
|
Value
at 12/31/22 |
|
Dividend
Income |
SPDR Blackstone Senior Loan
ETF
|
—
|
|
$
— |
|
$
2,327,133 |
|
$
2,323,843 |
|
$(3,290)
|
|
$—
|
|
—
|
|
$
— |
|
$
14,072 |
State Street Institutional U.S. Government Money Market Fund, Class G
Shares
|
2,996,829
|
|
2,996,829
|
|
56,734,518
|
|
50,188,831
|
|
—
|
|
—
|
|
9,542,516
|
|
9,542,516
|
|
106,191
|
Total
|
|
|
$2,996,829
|
|
$59,061,651
|
|
$52,512,674
|
|
$(3,290)
|
|
$—
|
|
|
|
$9,542,516
|
|
$120,263
|
See accompanying notes to financial statements.
24
SPDR BLACKSTONE
SENIOR LOAN ETF
SCHEDULE OF INVESTMENTS
December 31, 2022 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
SENIOR
FLOATING RATE LOANS — 87.0% (a) |
|
|
|
|
|
ADVERTISING
SERVICES — 0.1% |
|
|
|
|
|
AppLovin Corp. Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 3.00%, 9.50%, 10/25/2028
(b)
|
|
|
$
6,126,748 |
|
$
5,835,728 |
AEROSPACE
& DEFENSE — 1.4% |
|
|
|
|
|
Dynasty
Acquisition Co., Inc.: |
|
|
|
|
|
Senior Secured 2020 CAD Term Loan B2, 1 Month USD LIBOR + 3.50%, 7.92%, 4/6/2026
(b)
|
|
|
182,989
|
|
174,897
|
Senior Secured 2020 Term Loan B1, 1 Month USD LIBOR + 3.50%, 7.80%, 4/6/2026
(b)
|
|
|
341,338
|
|
326,244
|
TransDigm,
Inc.: |
|
|
|
|
|
,
2/22/2027
|
|
|
5,137,215
|
|
5,125,990
|
Senior Secured 2020 Term Loan E, 3 Month USD LIBOR + 2.25%, 6.98%, 5/30/2025
(b)
|
|
|
4,732,448
|
|
4,689,974
|
Senior Secured 2020 Term Loan F, 3 Month USD LIBOR + 2.25%, 6.98%, 12/9/2025
(b)
|
|
|
73,555,056
|
|
72,801,117
|
|
|
|
|
|
83,118,222
|
AIR
FREIGHT & LOGISTICS — 0.2% |
|
|
|
|
|
Kenan Advantage Group, Inc. Senior Secured 2021 Term Loan B1, 1 Month USD LIBOR + 3.75%, 8.13%, 3/24/2026
(b)
|
|
|
3,251,980
|
|
3,178,225
|
Worldwide Express Operations LLC Senior Secured 2021 1st Lien Term Loan, 3 Month USD LIBOR + 4.00%, 8.73%, 7/26/2028
(b)
|
|
|
9,245,414
|
|
8,491,034
|
|
|
|
|
|
11,669,259
|
AIRLINES
— 1.7% |
|
|
|
|
|
Air Canada Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 3.50%, 8.13%, 8/11/2028
(b)
|
|
|
235,166
|
|
233,144
|
American
Airlines, Inc.: |
|
|
|
|
|
Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 1.75%, 6.14%, 6/27/2025
(b)
|
|
|
3,289,905
|
|
3,171,172
|
Security
Description |
|
|
Principal
Amount |
|
Value
|
Senior Secured 2021 Term Loan, 3 Month USD LIBOR + 4.75%, 8.99%, 4/20/2028
(b)
|
|
|
$
1,000,000 |
|
$
997,345 |
Mileage Plus Holdings LLC Senior Secured 2020 Term Loan B, 3 Month USD LIBOR + 5.25%, 10.00%, 6/21/2027
(b)
|
|
|
18,752,670
|
|
19,322,283
|
SkyMiles IP Ltd. Senior Secured 2020 Skymiles Term Loan B, 3 Month USD LIBOR + 3.75%, 7.99%, 10/20/2027
(b)
|
|
|
10,703,939
|
|
10,930,756
|
United Airlines, Inc. Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 3.75%, 8.11%, 4/21/2028
(b)
|
|
|
67,769,071
|
|
67,105,612
|
|
|
|
|
|
101,760,312
|
AUTO
COMPONENTS — 0.5% |
|
|
|
|
|
Clarios Global LP Senior Secured 2021 USD Term Loan B, 1 Month USD LIBOR + 3.25%, 7.63%, 4/30/2026
(b)
|
|
|
18,611,132
|
|
18,300,977
|
USI, Inc. Senior Secured 2022 Incremental Term Loan, 1 Month USD SOFR + 3.75%, 8.33%, 11/22/2029
(b)
|
|
|
9,522,335
|
|
9,450,918
|
|
|
|
|
|
27,751,895
|
BEVERAGES
— 0.6% |
|
|
|
|
|
Triton Water Holdings, Inc. Senior Secured Term Loan, 3 Month USD LIBOR + 3.50%, 8.23%, 3/31/2028
(b)
|
|
|
36,454,461
|
|
34,025,682
|
BUILDING
PRODUCTS — 0.7% |
|
|
|
|
|
Cornerstone Building Brands, Inc. Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 3.25%, 7.57%, 4/12/2028
(b)
|
|
|
39,585,403
|
|
35,704,647
|
Summit Materials LLC Senior Secured Term Loan B, 3 Month USD SOFR + 3.00%, 7.61%, 12/14/2027
(b)
|
|
|
3,455,707
|
|
3,457,867
|
|
|
|
|
|
39,162,514
|
See accompanying notes to financial statements.
25
SPDR BLACKSTONE
SENIOR LOAN ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2022 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
CAPITAL
MARKETS — 0.9% |
|
|
|
|
|
AqGen Ascensus, Inc. Senior Secured 2021 2nd Lien Term Loan, 3 Month USD LIBOR + 6.50%, 10.25%, 8/2/2029
(b)
|
|
|
$
7,194,340 |
|
$
6,319,004 |
Ascensus Holdings, Inc. Senior Secured Term Loan, 3 Month USD LIBOR + 3.50%, 8.25%, 8/2/2028
(b)
|
|
|
498,758
|
|
477,770
|
Focus Financial Partners LLC Senior Secured 2022 Term Loan B5, 1 Month USD SOFR + 3.25%, 7.57%, 6/30/2028
(b)
|
|
|
15,960,000
|
|
15,803,752
|
LPL Holdings, Inc. Senior Secured 2019 Term Loan B1, 1 Month USD LIBOR + 1.75%, 5.87%, 11/12/2026
(b)
|
|
|
31,444,195
|
|
31,326,280
|
|
|
|
|
|
53,926,806
|
CASINO
SERVICES — 1.5% |
|
|
|
|
|
Stars
Group Holdings B.V.: |
|
|
|
|
|
Senior Secured 2018 USD Incremental Term Loan, 3 Month USD LIBOR + 2.25%, 6.98%, 7/21/2026
(b)
|
|
|
81,908,640
|
|
80,907,306
|
Senior Secured 2022 USD Term Loan B, 3 Month USD SOFR + 3.25%, 8.09%, 7/22/2028
(b)
|
|
|
11,571,000
|
|
11,537,271
|
|
|
|
|
|
92,444,577
|
CHEMICALS
— 1.0% |
|
|
|
|
|
Axalta Coating Systems Dutch Holding B B.V Senior Secured 2022 USD Term Loan B, 12/20/2029
(b)
|
|
|
17,574,803
|
|
17,614,347
|
Messer Industries GmbH Senior Secured 2018 USD Term Loan, 3 Month USD LIBOR + 2.50%, 7.23%, 3/2/2026
(b)
|
|
|
878,783
|
|
872,605
|
SCIH Salt Holdings, Inc. Senior Secured 2021 Incremental Term Loan B, 3 Month USD LIBOR + 4.00%, 8.41%, 3/16/2027
(b)
|
|
|
5,398,725
|
|
5,261,813
|
Starfruit Finco B.V Senior Secured 2018 USD Term Loan B, 3 Month USD LIBOR + 2.75%, 7.16%, 10/1/2025
(b)
|
|
|
36,153,075
|
|
35,728,277
|
|
|
|
|
|
59,477,042
|
Security
Description |
|
|
Principal
Amount |
|
Value
|
COMMERCIAL
SERVICES — 1.7% |
|
|
|
|
|
Allied Universal Holdco LLC Senior Secured 2021 USD Incremental Term Loan B, 1 Month USD LIBOR + 3.75%, 8.17%, 5/12/2028
(b)
|
|
|
$
67,634,054 |
|
$
64,387,957 |
Corporation Service Co. Senior Secured Term Loan B, 1 Month USD SOFR + 3.25%, 7.67%, 11/2/2029
(b)
|
|
|
1,000,000
|
|
991,250
|
Galaxy U.S. Opco, Inc. Senior Secured Term Loan, 1 Month USD SOFR + 4.75%, 9.07%, 4/29/2029
(b)
|
|
|
675,123
|
|
612,675
|
Sabre GLBL Inc. Senior Secured 2022 Term Loan B, 1 Month USD SOFR + 4.25%, 8.67%, 6/30/2028
(b)
|
|
|
793,307
|
|
728,355
|
Senior Secured 2022 Term Loan, 9.73%,
1/21/2029
|
|
|
6,364,286
|
|
6,160,088
|
Verscend Holding Corp. Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 4.00%, 8.38%, 8/27/2025
(b)
|
|
|
17,217,447
|
|
17,142,121
|
VT
Topco, Inc.: |
|
|
|
|
|
Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 3.25%, 7.88%, 8/1/2025
(b)
|
|
|
1,078,878
|
|
1,046,625
|
Senior Secured 2021 Delayed Draw Term Loan, 1 Month USD LIBOR + 3.75%, 6.16%, 8/1/2025
(b)
|
|
|
299,423
|
|
291,065
|
Senior Secured 2021 Incremental Term Loan, 1 Month USD LIBOR + 3.75%, 8.13%, 8/1/2025
(b)
|
|
|
8,146,430
|
|
7,919,022
|
|
|
|
|
|
99,279,158
|
COMMERCIAL
SERVICES & SUPPLIES — 2.2% |
|
|
|
|
|
Aramark Services, Inc. Senior Secured 2018 Term Loan B3, 1 Month USD LIBOR + 1.75%, 6.13%, 3/11/2025
(b)
|
|
|
15,900,000
|
|
15,847,848
|
Asurion
LLC: |
|
|
|
|
|
Senior Secured 2018 Term Loan B7, 1 Month USD LIBOR + 3.00%, 7.38%, 11/3/2024
(b)
|
|
|
1,871,844
|
|
1,822,708
|
See accompanying notes to financial statements.
26
SPDR BLACKSTONE
SENIOR LOAN ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2022 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
Senior Secured 2020 Term Loan B8, 1 Month USD LIBOR + 3.25%, 7.63%, 12/23/2026
(b)
|
|
|
$
994,924 |
|
$
889,422 |
Senior Secured 2021 2nd Lien Term Loan B3, 1 Month USD LIBOR + 5.25%, 9.63%, 1/31/2028
(b)
|
|
|
38,035,258
|
|
29,889,247
|
Senior Secured 2021 Second Lien Term Loan B4, 1 Month USD LIBOR + 5.25%, 9.63%, 1/20/2029
(b)
|
|
|
32,985,009
|
|
25,834,354
|
Senior Secured 2021 Term Loan B9, 1 Month USD LIBOR + 3.25%, 7.63%, 7/31/2027
(b)
|
|
|
1,125,559
|
|
988,387
|
Covanta
Holding Corporation: |
|
|
|
|
|
, 6.57%,
11/30/2028
|
|
|
923,677
|
|
918,236
|
, 6.82%,
11/30/2028
|
|
|
69,849
|
|
69,437
|
Garda World Security Corp. Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 4.25%, 8.93%, 10/30/2026
(b)
|
|
|
1,000,000
|
|
975,500
|
GFL Environmental, Inc. Senior Secured 2020 Term Loan, 3 Month USD LIBOR + 3.00%, 7.41%, 5/30/2025
(b)
|
|
|
994,924
|
|
996,511
|
McGraw-Hill Global Education Holdings LLC Senior Secured 2021 Term Loan, 6 Month USD LIBOR + 4.75%, 8.32%, 7/28/2028
(b)
|
|
|
1,381,104
|
|
1,303,846
|
Prime Security Services Borrower LLC Senior Secured 2021 Term Loan, 3 Month USD LIBOR + 2.75%, 6.50%, 9/23/2026
(b)
|
|
|
50,360,625
|
|
49,982,920
|
|
|
|
|
|
129,518,416
|
COMMUNICATIONS
EQUIPMENT — 0.7% |
|
|
|
|
|
CommScope, Inc. Senior Secured 2019 Term Loan B, 1 Month USD LIBOR + 3.25%, 7.63%, 4/6/2026
(b)
|
|
|
43,047,744
|
|
40,690,880
|
COMPUTERS
— 0.7% |
|
|
|
|
|
Magenta Buyer LLC Senior Secured 2021 USD 1st Lien Term Loan, 3 Month USD LIBOR + 4.75%, 9.17%, 7/27/2028
(b)
|
|
|
45,483,885
|
|
39,158,896
|
Security
Description |
|
|
Principal
Amount |
|
Value
|
CONSTRUCTION
& ENGINEERING — 0.0% (c) |
|
|
|
|
|
DG Investment Intermediate Holdings 2, Inc. Senior Secured 2021 Term Loan, 1 Month USD LIBOR + 3.75%, 8.07%, 3/31/2028
(b)
|
|
|
$
496,215 |
|
$
475,746 |
Pike Corp. Senior Secured 2021 Incremental Term Loan B, 1 Month USD LIBOR + 3.00%, 7.39%, 1/21/2028
(b)
|
|
|
1,000,000
|
|
987,890
|
|
|
|
|
|
1,463,636
|
CONSTRUCTION
MATERIALS — 0.2% |
|
|
|
|
|
Quikrete Holdings, Inc. Senior Secured 2016 1st Lien Term Loan, 1 Month USD LIBOR + 2.63%, 7.01%, 2/1/2027
(b)
|
|
|
11,437,208
|
|
11,330,900
|
CONTAINERS
& PACKAGING — 1.5% |
|
|
|
|
|
Berry Global, Inc. Senior Secured 2021 Term Loan Z, 1 Month USD LIBOR + 1.75%, 6.02%, 7/1/2026
(b)
|
|
|
90,113,204
|
|
89,560,360
|
COSMETICS
& TOILETRIES — 0.8% |
|
|
|
|
|
Sunshine Luxembourg VII SARL Senior Secured 2021 Term Loan B3, 3 Month USD LIBOR + 3.75%, 8.48%, 10/1/2026
(b)
|
|
|
52,462,916
|
|
50,371,744
|
DISTRIBUTION/WHOLESALE
— 0.1% |
|
|
|
|
|
Resideo Funding, Inc. Senior Secured 2021 Term Loan, 3 Month USD LIBOR + 2.25%, 6.83%, 2/11/2028
(b)
|
|
|
4,894,510
|
|
4,867,002
|
DISTRIBUTORS
— 0.6% |
|
|
|
|
|
American Tire Distributors Holdings, Inc. Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 6.25%, 10.61%, 10/20/2028
(b)
|
|
|
36,051,203
|
|
33,167,107
|
See accompanying notes to financial statements.
27
SPDR BLACKSTONE
SENIOR LOAN ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2022 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
DIVERSIFIED
CONSUMER SERVICES — 0.1% |
|
|
|
|
|
Bright Horizons Family Solutions LLC Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 2.25%, 6.69%, 11/24/2028
(b)
|
|
|
$
4,194,421 |
|
$
4,128,884 |
St. George's University Scholastic Services Senior Secured 2022 Term Loan B, 1 Month USD LIBOR + 3.25%, 7.63%, 2/10/2029
(b)
|
|
|
44,902
|
|
43,779
|
|
|
|
|
|
4,172,663
|
DIVERSIFIED
FINANCIAL SERVICES — 5.4% |
|
|
|
|
|
AlixPartners, LLP Senior Secured 2021 USD Term Loan B, 1 Month USD LIBOR + 2.75%, 7.13%, 2/4/2028
(b)
|
|
|
20,981,744
|
|
20,841,271
|
Apex Group Treasury LLC Senior Secured USD Term Loan, 3 Month USD LIBOR + 3.75%, 8.26%, 7/27/2028
(b)
|
|
|
498,737
|
|
477,541
|
Avolon TLB Borrower 1 (U.S.) LLC Senior Secured Term Loan B3, 1 Month USD LIBOR + 1.75%, 6.10%, 1/15/2025
(b)
|
|
|
9,612,896
|
|
9,596,890
|
Camelot U.S. Acquisition LLC Senior Secured 2020 Incremental Term Loan B, 1 Month USD LIBOR + 3.00%, 7.38%, 10/30/2026
(b)
|
|
|
890,482
|
|
878,238
|
Citadel Securities LP Senior Secured 2021 Term Loan B, 1 Month USD SOFR + 2.50%, 6.94%, 2/2/2028
(b)
|
|
|
83,376,804
|
|
82,001,087
|
Clydesdale Acquisition Holdings, Inc. Senior Secured Term Loan B, 1 Month USD SOFR + 4.18%, 8.60%, 4/13/2029
(b)
|
|
|
44,077,484
|
|
42,088,488
|
Deerfield Dakota Holding LLC Senior Secured 2020 USD Term Loan B, 1 Month USD SOFR + 3.75%, 8.07%, 4/9/2027
(b)
|
|
|
994,898
|
|
931,633
|
Security
Description |
|
|
Principal
Amount |
|
Value
|
DirecTV Financing LLC Senior Secured Term Loan, 1 Month USD LIBOR + 5.00%, 9.38%, 8/2/2027
(b)
|
|
|
$
56,098,874 |
|
$
54,737,354 |
Minotaur Acquisition, Inc. Senior Secured Term Loan B, 1 Month USD SOFR + 4.75%, 9.17%, 3/27/2026
(b)
|
|
|
861,066
|
|
825,547
|
Setanta Aircraft Leasing DAC Senior Secured Term Loan B, 3 Month USD LIBOR + 2.00%, 6.73%, 11/5/2028
(b)
|
|
|
5,545,610
|
|
5,528,973
|
Trans Union LLC Senior Secured 2019 Term Loan B5, 1 Month USD LIBOR + 1.75%, 6.13%, 11/16/2026
(b)
|
|
|
48,482,852
|
|
47,881,179
|
William Morris Endeavor Entertainment LLC Senior Secured 2018 1st Lien Term Loan, 3 Month USD LIBOR + 2.75%, 7.14%, 5/18/2025
(b)
|
|
|
55,490,170
|
|
54,435,857
|
|
|
|
|
|
320,224,058
|
DIVERSIFIED
TELECOMMUNICATION SERVICES — 1.6% |
|
|
|
|
|
CenturyLink, Inc. Senior Secured 2020 Term Loan B, 1 Month USD LIBOR + 2.25%, 6.63%, 3/15/2027
(b)
|
|
|
58,507,304
|
|
55,670,577
|
Intelsat Jackson Holdings SA Senior Secured 2021 Exit Term Loan B, 6 Month USD SOFR + 4.25%, 7.44%, 2/1/2029
(b)
|
|
|
924,817
|
|
894,760
|
Level 3 Financing, Inc. Senior Secured 2019 Term Loan B, 1 Month USD LIBOR + 1.75%, 6.13%, 3/1/2027
(b)
|
|
|
40,656,113
|
|
39,062,597
|
|
|
|
|
|
95,627,934
|
ELECTRONIC
EQUIPMENT, INSTRUMENTS & COMPONENTS — 0.4% |
|
|
|
|
|
II-VI, Inc. Senior Secured 2022 Term Loan B, 3 Month USD LIBOR + 2.75%, 7.13%, 7/2/2029
(b)
|
|
|
21,973,220
|
|
21,797,434
|
See accompanying notes to financial statements.
28
SPDR BLACKSTONE
SENIOR LOAN ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2022 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
ENTERTAINMENT
— 2.4% |
|
|
|
|
|
AMC Entertainment Holdings, Inc. Senior Secured 2019 Term Loan B, 1 Month USD LIBOR + 3.00%, 7.27%, 4/22/2026
(b)
|
|
|
$
32,093,713 |
|
$
17,547,880 |
AP Gaming I LLC Senior Secured 2022 Term Loan B, 3 Month USD SOFR + 4.00%, 8.73%, 2/15/2029
(b)
|
|
|
14,162,476
|
|
13,454,353
|
Crown
Finance U.S., Inc.: |
|
|
|
|
|
Senior Secured 2018 USD Term Loan, 3 Month USD LIBOR + 2.50%, 4.00%, 2/28/2025
(b)
|
|
|
49,204,796
|
|
9,299,214
|
Senior Secured 2019 Incremental Term Loan, 3 Month USD LIBOR + 2.75%, 4.25%, 9/30/2026
(b)
|
|
|
6,043,316
|
|
1,118,890
|
Fertitta Entertainment LLC Senior Secured 2022 Term Loan B, 1 Month USD SOFR + 4.00%, 8.32%, 1/27/2029
(b)
|
|
|
27,203,578
|
|
25,918,345
|
Formula One Holdings Ltd. Senior Secured Term Loan B, 3 Month USD SOFR + 3.25%, 7.57%, 1/15/2030
(b)
|
|
|
10,507,576
|
|
10,515,456
|
GVC
Holdings (Gibraltar) Ltd.: |
|
|
|
|
|
Senior Secured 2021 USD Term Loan B4, 3 Month USD LIBOR + 2.50%, 7.23%, 3/29/2027
(b)
|
|
|
5,599,369
|
|
5,567,005
|
Senior Secured 2022 Term Loan B, 10/31/2029
(d)
|
|
|
4,573,846
|
|
4,559,553
|
Motion Finco SARL Senior Secured Delayed Draw Term Loan B2, 3 Month USD LIBOR + 3.25%, 7.98%, 11/12/2026
(b)
|
|
|
284,686
|
|
272,260
|
NASCAR Holdings, Inc Senior Secured Term Loan B, 1 Month USD LIBOR + 2.50%, 6.88%, 10/19/2026
(b)
|
|
|
17,631,697
|
|
17,613,801
|
UFC Holdings LLC Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 2.75%, 7.11%, 4/29/2026
(b)
|
|
|
33,061,732
|
|
32,689,787
|
Security
Description |
|
|
Principal
Amount |
|
Value
|
WMG Acquisition Corp. Senior Secured 2021 Term Loan G, 1 Month USD LIBOR + 2.13%, 6.51%, 1/20/2028
(b)
|
|
|
$
4,000,000 |
|
$
3,960,000 |
|
|
|
|
|
142,516,544
|
FOOD
& STAPLES RETAILING — 0.1% |
|
|
|
|
|
Hostess Brands LLC Senior Secured 2019 Term Loan, 1 Month USD LIBOR + 2.25%, 6.66%, 8/3/2025
(b)
|
|
|
7,242,832
|
|
7,231,896
|
U.S. Foods, Inc. Senior Secured 2019 Term Loan B, 1 Month USD LIBOR + 2.00%, 6.38%, 9/13/2026
(b)
|
|
|
857,755
|
|
850,948
|
|
|
|
|
|
8,082,844
|
FOOD
PRODUCTS — 0.6% |
|
|
|
|
|
KFC Holding Co. Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 1.75%, 6.09%, 3/15/2028
(b)
|
|
|
35,197,086
|
|
34,801,119
|
FOOD-MISC/DIVERSIFIED
— 0.2% |
|
|
|
|
|
Froneri International Ltd. Senior Secured 2020 USD Term Loan, 1 Month USD LIBOR + 2.25%, 6.63%, 1/29/2027
(b)
|
|
|
11,145,574
|
|
10,868,496
|
Skopima Merger Sub, Inc. Senior Secured Term Loan B, 1 Month USD LIBOR + 4.00%, 8.38%, 5/12/2028
(b)
|
|
|
578,664
|
|
548,903
|
|
|
|
|
|
11,417,399
|
GAMING
& ENTERTAINMENT — 0.0% (c) |
|
|
|
|
|
PCI Gaming Authority Senior Secured Term Loan, 1 Month USD LIBOR + 2.50%, 6.88%, 5/29/2026
(b)
|
|
|
1,000,000
|
|
995,835
|
HEALTH
CARE EQUIPMENT & SUPPLIES — 1.9% |
|
|
|
|
|
Bausch & Lomb, Inc. Senior Secured Term Loan, 3 Month USD SOFR + 3.25%, 7.84%, 5/10/2027
(b)
|
|
|
50,275,313
|
|
47,958,124
|
See accompanying notes to financial statements.
29
SPDR BLACKSTONE
SENIOR LOAN ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2022 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
Carestream Health, Inc. Senior Secured 2022 Term Loan, 3 Month USD SOFR + 7.50%, 12.18%, 9/30/2027
(b)
|
|
|
$
4,786,437 |
|
$
3,661,625 |
Gainwell Acquisition Corp. Senior Secured Term Loan B, 3 Month USD LIBOR + 4.00%, 8.73%, 10/1/2027
(b)
|
|
|
65,659,715
|
|
61,802,206
|
|
|
|
|
|
113,421,955
|
HEALTH
CARE PROVIDERS & SERVICES — 5.7% |
|
|
|
|
|
AmSurg LLC Senior Secured 2022 Revolver, 7/20/2026
(b)
|
|
|
11,164,500
|
|
9,796,878
|
Covenant
Surgical Partners, Inc.: |
|
|
|
|
|
Senior Secured 2019 Delayed Draw Term Loan, 3 Month USD LIBOR + 4.00%, 8.41%, 7/1/2026
(b)
|
|
|
332,954
|
|
282,178
|
Senior Secured 2019 Term Loan, 1 Month USD LIBOR + 4.00%, 8.41%, 7/1/2026
(b)
|
|
|
1,611,469
|
|
1,365,720
|
DaVita, Inc. Senior Secured 2020 Term Loan B, 1 Month USD LIBOR + 1.75%, 6.13%, 8/12/2026
(b)
|
|
|
70,645,888
|
|
68,986,062
|
Envision
Healthcare Corp.: |
|
|
|
|
|
Senior Secured 2022 First Out Term Loan, 3 Month USD SOFR + 7.875%, 12.61%, 3/31/2027
(b)
|
|
|
21,171,494
|
|
18,961,719
|
Senior Secured 2022 Second Out Term Loan, 3 Month USD SOFR + 4.25%, 8.83%, 3/31/2027
(b)
|
|
|
7,656,271
|
|
2,679,695
|
Horizon Therapeutics USA, Inc. Senior Secured 2021 Term Loan B2, 1 Month USD LIBOR + 1.75%, 6.19%, 3/15/2028
(b)
|
|
|
26,956,214
|
|
26,963,492
|
ICON Luxembourg SARL Senior Secured LUX Term Loan, 3 Month USD LIBOR + 2.25%, 7.00%, 7/3/2028
(b)
|
|
|
66,072,225
|
|
65,956,929
|
Medline Borrower LP Senior Secured USD Term Loan B, 1 Month USD LIBOR + 3.25%, 7.63%, 10/23/2028
(b)
|
|
|
96,423,287
|
|
91,805,094
|
Security
Description |
|
|
Principal
Amount |
|
Value
|
National
Mentor Holdings, Inc.: |
|
|
|
|
|
Senior Secured 2021 Term Loan, 3 Month USD LIBOR + 3.75%, 8.33%, 3/2/2028
(b)
|
|
|
$
37,363,353 |
|
$
26,320,428 |
Senior Secured 2021 Term Loan C, 3 Month USD LIBOR + 3.75%, 8.48%, 3/2/2028
(b)
|
|
|
1,193,493
|
|
840,750
|
Pediatric
Associates Holding Company LLC: |
|
|
|
|
|
Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 3.25%, 7.63%, 12/29/2028
(b)
|
|
|
893,250
|
|
850,450
|
Senior Secured 2022 Delayed Draw Term Loan, 1 Month USD LIBOR + 3.25%, 5.43%, 12/29/2028
(b)
|
|
|
67,671
|
|
64,428
|
PRA Health Sciences, Inc. Senior Secured US Term Loan, 3 Month USD LIBOR + 2.25%, 7.00%, 7/3/2028
(b)
|
|
|
16,531,034
|
|
16,502,187
|
Radnet Management, Inc. Senior Secured 2021 Term Loan, 1 Month USD LIBOR + 3.00%, 7.74%, 4/21/2028
(b)
|
|
|
997,877
|
|
973,634
|
Surgery Center Holdings, Inc. Senior Secured 2021 Term Loan, 3 Month USD LIBOR + 3.75%, 8.05%, 8/31/2026
(b)
|
|
|
358,376
|
|
354,753
|
Team Health Holdings, Inc. Senior Secured 1st Lien Term Loan, 1 Month USD LIBOR + 2.75%, 7.13%, 2/6/2024
(b)
|
|
|
8,398,288
|
|
7,222,528
|
Vizient, Inc. Senior Secured 2022 Term Loan B, 1 Month SOFR CME + 2.25%, 6.67%, 4/28/2029
(b)
|
|
|
995,000
|
|
995,249
|
WP CityMD Bidco LLC Senior Secured 2021 1st Lien Term Loan B, 1 Month USD LIBOR + 3.25%, 7.63%, 12/22/2028
(b)
|
|
|
1,001,303
|
|
1,000,482
|
|
|
|
|
|
341,922,656
|
See accompanying notes to financial statements.
30
SPDR BLACKSTONE
SENIOR LOAN ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2022 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
HOME
FURNISHINGS — 0.0% (c) |
|
|
|
|
|
AI
Aqua Merger Sub, Inc.: |
|
|
|
|
|
Senior Secured 2021 1st Lien Term Loan B, 1 Month USD SOFR + 3.75%, 7.97%, 7/31/2028
(b)
|
|
|
$
1,278,160 |
|
$
1,207,063 |
Senior Secured 2022 Delayed Draw Term loan, 7/31/2028
(d)
|
|
|
515,093
|
|
486,332
|
Senior Secured 2022 Term Loan B, 3 Month USD SOFR + 3.75%, 7.84%, 7/31/2028
(b)
|
|
|
1,276,065
|
|
1,204,816
|
|
|
|
|
|
2,898,211
|
HOTELS,
RESTAURANTS & LEISURE — 7.0% |
|
|
|
|
|
1011778 B.C. Unlimited Liability Co. Senior Secured Term Loan B4, 1 Month USD LIBOR + 1.75%, 5.82%, 11/19/2026
(b)
|
|
|
131,880,400
|
|
129,866,587
|
Alterra Mountain Co. Senior Secured 2021 Series B-2 Consenting Term Loan, 1 Month USD LIBOR + 3.50%, 7.88%, 8/17/2028
(b)
|
|
|
991,752
|
|
982,146
|
Aristocrat Technologies, Inc. Senior Secured 2022 Term Loan B, 3 Month USD SOFR + 2.25%, 6.93%, 5/24/2029
(b)
|
|
|
500,000
|
|
500,000
|
Caesars Resort Collection LLC Senior Secured 2017 1st Lien Term Loan B, 1 Month USD LIBOR + 2.75%, 7.13%, 12/23/2024
(b)
|
|
|
98,664,793
|
|
98,570,075
|
Marriott Ownership Resorts, Inc. Senior Secured 2019 Term Loan B, 1 Month USD LIBOR + 1.75%, 6.13%, 8/29/2025
(b)
|
|
|
8,000,000
|
|
7,936,000
|
Motion Finco SARL Senior Secured USD Term Loan B1, 3 Month USD LIBOR + 3.25%, 7.98%, 11/12/2026
(b)
|
|
|
6,557,489
|
|
6,271,287
|
Penn National Gaming, Inc. Senior Secured 2022 Term Loan B, 1 Month USD SOFR + 2.75%, 7.17%, 5/3/2029
(b)
|
|
|
12,380,909
|
|
12,278,581
|
Security
Description |
|
|
Principal
Amount |
|
Value
|
Peraton Corp. Senior Secured Term Loan B, 1 Month USD LIBOR + 3.75%, 8.13%, 2/1/2028
(b)
|
|
|
$
100,145,366 |
|
$
97,975,717 |
Scientific Games International, Inc. Senior Secured 2022 USD Term Loan, 1 Month USD SOFR + 3.00%, 7.42%, 4/14/2029
(b)
|
|
|
36,410,309
|
|
36,007,247
|
Twin River Worldwide Holdings, Inc. Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 3.25%, 7.54%, 10/2/2028
(b)
|
|
|
994,975
|
|
923,337
|
Wyndham Hotels & Resorts, Inc. Senior Secured Term Loan B, 1 Month USD LIBOR + 1.75%, 6.13%, 5/30/2025
(b)
|
|
|
25,269,854
|
|
25,276,171
|
|
|
|
|
|
416,587,148
|
HOUSEHOLD
PRODUCTS — 0.4% |
|
|
|
|
|
Reynolds Consumer Products LLC Senior Secured Term Loan, 1 Month USD LIBOR + 1.75%, 6.13%, 2/4/2027
(b)
|
|
|
22,530,913
|
|
22,384,800
|
INDEPENDENT
POWER PRODUCERS & ENERGY TRADERS — 1.4% |
|
|
|
|
|
Calpine
Corp.: |
|
|
|
|
|
Senior Secured 2019 Term Loan B10, 1 Month USD LIBOR + 2.00%, 6.38%, 8/12/2026
(b)
|
|
|
33,236,426
|
|
32,868,831
|
Senior Secured 2020 Term Loan B5, 1 Month USD LIBOR + 2.50%, 6.89%, 12/16/2027
(b)
|
|
|
1,994,911
|
|
1,978,363
|
Vistra Operations Co. LLC Senior Secured 1st Lien Term Loan B3, 1 Month USD LIBOR + 1.75%, 6.12%, 12/31/2025
(b)
|
|
|
48,391,579
|
|
48,042,434
|
|
|
|
|
|
82,889,628
|
See accompanying notes to financial statements.
31
SPDR BLACKSTONE
SENIOR LOAN ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2022 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
INDUSTRIAL
CONGLOMERATES — 0.2% |
|
|
|
|
|
Magenta Buyer LLC Senior Secured 2021 USD 2nd Lien Term Loan, 3 Month USD LIBOR + 8.25%, 12.67%, 7/27/2029
(b)
|
|
|
$
13,082,319 |
|
$
10,400,444 |
INSURANCE
— 4.3% |
|
|
|
|
|
Acrisure
LLC: |
|
|
|
|
|
Senior Secured 2020 Term Loan B, 1 Month USD LIBOR + 3.50%, 7.88%, 2/15/2027
(b)
|
|
|
56,694,042
|
|
53,338,039
|
Senior Secured 2021 First Lien Term Loan B, 1 Month USD LIBOR + 4.25%, 8.63%, 2/15/2027
(b)
|
|
|
4,388,708
|
|
4,258,868
|
Senior Secured 2021 Incremental Term Loan B, 1 Month USD LIBOR + 3.75%, 8.13%, 2/15/2027
(b)
|
|
|
994,962
|
|
947,701
|
Alliant
Holdings Intermediate LLC: |
|
|
|
|
|
Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 3.25%, 7.63%, 5/9/2025
(b)
|
|
|
601,140
|
|
594,077
|
Senior Secured 2021 Term Loan B4, 1 Month USD LIBOR + 3.50%, 7.85%, 11/6/2027
(b)
|
|
|
21,274,561
|
|
20,822,477
|
AmWINS Group, Inc. Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 2.25%, 6.63%, 2/19/2028
(b)
|
|
|
26,535,612
|
|
26,098,172
|
AssuredPartners,
Inc.: |
|
|
|
|
|
Senior Secured 2020 Term Loan B, 1 Month USD LIBOR + 3.50%, 7.88%, 2/12/2027
(b)
|
|
|
496,157
|
|
483,031
|
Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 3.50%, 7.88%, 2/12/2027
(b)
|
|
|
496,215
|
|
481,825
|
Senior Secured 2022 Term Loan, 1 Month USD SOFR + 3.50%, 7.82%, 2/12/2027
(b)
|
|
|
496,244
|
|
483,093
|
Baldwin Risk Partners LLC Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 3.50%, 7.79%, 10/14/2027
(b)
|
|
|
1,065,656
|
|
1,041,679
|
Security
Description |
|
|
Principal
Amount |
|
Value
|
Broadstreet Partners, Inc. Senior Secured 2020 Term Loan B, 1 Month USD LIBOR + 3.00%, 7.38%, 1/27/2027
(b)
|
|
|
$
994,885 |
|
$
966,700 |
Hub
International Ltd.: |
|
|
|
|
|
Senior Secured 2018 Term Loan B, 3 Month USD LIBOR + 3.00%, 7.33%, 4/25/2025
(b)
|
|
|
81,215,081
|
|
80,458,157
|
Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 3.25%, 7.53%, 4/25/2025
(b)
|
|
|
53,339,479
|
|
52,933,299
|
Senior Secured 2022 Term Loan B, 3 Month USD SOFR + 4.00%, 8.22%, 11/10/2029
(b)
|
|
|
7,291,667
|
|
7,224,838
|
Hyperion Insurance Group Ltd. Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 3.25%, 7.69%, 11/12/2027
(b)
|
|
|
1,738,229
|
|
1,695,703
|
NFP Corp. Senior Secured 2020 Term Loan, 1 Month USD LIBOR + 3.25%, 7.63%, 2/15/2027
(b)
|
|
|
2,876,107
|
|
2,757,985
|
|
|
|
|
|
254,585,644
|
INTERACTIVE
MEDIA & SERVICES — 0.0% (c) |
|
|
|
|
|
Ivanti Software, Inc. Senior Secured 2021 Add On Term Loan B, 3 Month USD LIBOR + 4.00%, 8.73%, 12/1/2027
(b)
|
|
|
994,937
|
|
787,870
|
INTERNET
& TELECOM — 0.2% |
|
|
|
|
|
Go Daddy Operating Company LLC Senior Secured 2022 Term Loan B5, 1 Month USD SOFR + 3.25%, 7.57%, 11/9/2029
(b)
|
|
|
11,175,633
|
|
11,171,721
|
INTERNET
SECURITY — 0.1% (c) |
|
|
|
|
|
Senior Secured 2nd Lien Term Loan, 10.98%,
8/31/2029
|
|
|
3,678,427
|
|
3,551,227
|
INVESTMENT
COMPANIES — 0.2% |
|
|
|
|
|
AL GCX Holdings LLC Senior Secured Term Loan B, 3 Month USD SOFR + 3.75%, 7.42%, 5/17/2029
(b)
|
|
|
981,667
|
|
974,550
|
See accompanying notes to financial statements.
32
SPDR BLACKSTONE
SENIOR LOAN ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2022 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
Energize HoldCo LLC Senior Secured 2021 1st Lien Term Loan, 1 Month USD LIBOR + 3.75%, 8.13%, 12/8/2028
(b)
|
|
|
$
11,465,589 |
|
$
10,995,500 |
|
|
|
|
|
11,970,050
|
IT
SERVICES — 1.2% |
|
|
|
|
|
Ahead DB Holdings LLC Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 3.75%, 8.48%, 10/18/2027
(b)
|
|
|
994,949
|
|
963,235
|
CoreLogic, Inc. Senior Secured Term Loan, 1 Month USD LIBOR + 3.50%, 7.94%, 6/2/2028
(b)
|
|
|
66,788,433
|
|
55,956,351
|
Fleetcor Technologies Operating Co. LLC Senior Secured 2021 Term Loan B4, 1 Month USD LIBOR + 1.75%, 6.13%, 4/28/2028
(b)
|
|
|
995,949
|
|
987,235
|
WEX, Inc. Senior Secured 2021 Term Loan, 1 Month USD LIBOR + 2.25%, 6.63%, 3/31/2028
(b)
|
|
|
15,142,980
|
|
15,076,729
|
|
|
|
|
|
72,983,550
|
LEISURE
EQUIPMENT & PRODUCTS — 0.0% (c) |
|
|
|
|
|
Cinemark USA, Inc. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 1.75%, 6.15%, 3/31/2025
(b)
|
|
|
18,539
|
|
17,893
|
LEISURE
INDUSTRY — 0.1% |
|
|
|
|
|
Carnival Corp. Senior Secured 2021 Incremental Term Loan B, 1 Month USD LIBOR + 3.25%, 7.63%, 10/18/2028
(b)
|
|
|
8,485,245
|
|
7,967,645
|
LEISURE&REC/GAMES
— 0.1% |
|
|
|
|
|
Scientific Games Holdings LP Senior Secured 2022 USD Term Loan B, 3 Month USD SOFR + 3.50%, 7.10%, 4/4/2029
(b)
|
|
|
3,990,000
|
|
3,814,819
|
Security
Description |
|
|
Principal
Amount |
|
Value
|
LIFE
SCIENCES TOOLS & SERVICES — 0.6% |
|
|
|
|
|
Avantor Funding, Inc. Senior Secured 2021 Term Loan B5, 1 Month USD LIBOR + 2.25%, 6.63%, 11/8/2027
(b)
|
|
|
$
781,811 |
|
$
779,368 |
Parexel International Corp. Senior Secured 2021 1st Lien Term Loan, 1 Month USD LIBOR + 3.25%, 7.63%, 11/15/2028
(b)
|
|
|
36,481,263
|
|
35,214,633
|
|
|
|
|
|
35,994,001
|
MACHINERY
— 0.0% (c) |
|
|
|
|
|
Ingersoll-Rand Services Co. Senior Secured 2020 USD Spinco Term Loan, 1 Month USD SOFR + 1.75%, 6.17%, 3/1/2027
(b)
|
|
|
994,885
|
|
988,254
|
Madison IAQ LLC Senior Secured Term Loan, 3 Month USD LIBOR + 3.25%, 7.99%, 6/21/2028
(b)
|
|
|
2,241,071
|
|
2,090,651
|
|
|
|
|
|
3,078,905
|
MACHINERY-CONSTRUCTION
& MINING — 1.1% |
|
|
|
|
|
Brookfield WEC Holdings, Inc. Senior Secured 2021 Term Loan, 1 Month USD LIBOR + 2.75%, 7.13%, 8/1/2025
(b)
|
|
|
68,548,563
|
|
67,688,279
|
MEDIA
— 6.5% |
|
|
|
|
|
Charter
Communications Operating LLC: |
|
|
|
|
|
Senior Secured 2019 Term Loan B1, 1 Month USD LIBOR + 1.75%, 6.14%, 4/30/2025
(b)
|
|
|
1,727,642
|
|
1,722,511
|
Senior Secured 2019 Term Loan B2, 1 Month USD LIBOR + 1.75%, 6.14%, 2/1/2027
(b)
|
|
|
56,716,376
|
|
55,468,616
|
Colibri Group LLC Senior Secured 2022 Term Loan, 3 Month USD SOFR + 4.00%, 8.77%, 3/12/2029
(b)
|
|
|
994,987
|
|
931,248
|
Coral-US Co-Borrower LLC Senior Secured 2020 Term Loan B2, 1 Month USD LIBOR + 2.25%, 6.57%, 1/31/2028
(b)
|
|
|
5,000,000
|
|
4,851,250
|
See accompanying notes to financial statements.
33
SPDR BLACKSTONE
SENIOR LOAN ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2022 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
CSC
Holdings LLC: |
|
|
|
|
|
Senior Secured 2017 Term Loan B1, 1 Month USD LIBOR + 2.25%, 6.57%, 7/17/2025
(b)
|
|
|
$
31,623,681 |
|
$
29,995,061 |
Senior Secured 2018 Incremental Term Loan, 1 Month USD LIBOR + 2.25%, 6.57%, 1/15/2026
(b)
|
|
|
5,841,196
|
|
5,471,565
|
Senior Secured 2019 Term Loan B5, 1 Month USD LIBOR + 2.50%, 6.82%, 4/15/2027
(b)
|
|
|
58,378,964
|
|
52,322,147
|
Go Daddy Operating Co. LLC Senior Secured 2021 Term Loan B4, 1 Month USD LIBOR + 2.00%, 6.38%, 8/10/2027
(b)
|
|
|
1,001,717
|
|
993,739
|
iHeartCommunications, Inc. Senior Secured 2020 Term Loan, 1 Month USD LIBOR + 3.00%, 7.38%, 5/1/2026
(b)
|
|
|
4,113,947
|
|
3,783,556
|
MH
Sub I LLC: |
|
|
|
|
|
Senior Secured 2017 1st Lien Term Loan, 1 Month USD LIBOR + 3.75%, 8.13%, 9/13/2024
(b)
|
|
|
11,898,424
|
|
11,584,424
|
Senior Secured 2020 Incremental Term Loan, 1 Month USD LIBOR + 3.75%, 8.13%, 9/13/2024
(b)
|
|
|
18,351,450
|
|
17,873,028
|
Senior Secured 2021 2nd Lien Term Loan, 3 Month USD SOFR + 6.25%, 10.65%, 2/23/2029
(b)
|
|
|
13,868,141
|
|
12,420,653
|
Nexstar Broadcasting, Inc. Senior Secured 2019 Term Loan B4, 1 Month USD LIBOR + 2.50%, 6.88%, 9/18/2026
(b)
|
|
|
37,084,289
|
|
36,847,877
|
Radiate Holdco LLC Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 3.25%, 7.63%, 9/25/2026
(b)
|
|
|
50,137,704
|
|
40,958,995
|
Telenet Financing USD LLC Senior Secured 2020 USD Term Loan AR, 1 Month USD LIBOR + 2.00%, 6.32%, 4/30/2028
(b)
|
|
|
1,000,000
|
|
975,750
|
Security
Description |
|
|
Principal
Amount |
|
Value
|
Univision
Communications, Inc.: |
|
|
|
|
|
Senior Secured 2021 First Lien Term Loan B, 1 Month USD LIBOR + 3.25%, 7.63%, 3/15/2026
(b)
|
|
|
$
27,472,557 |
|
$
27,094,809 |
Senior Secured 2022 First Lien Term Loan B, 3 Month USD SOFR + 4.25%, 8.83%, 6/24/2029
(b)
|
|
|
995,000
|
|
985,547
|
Senior Secured 2022 Term Loan B, 1 Month USD LIBOR + 3.25%, 7.63%, 1/31/2029
(b)
|
|
|
994,987
|
|
968,561
|
Senior Secured Term Loan C5, 1 Month USD LIBOR + 2.75%, 7.13%, 3/15/2024
(b)
|
|
|
4,473,570
|
|
4,474,510
|
UPC Financing Partnership Senior Secured 2021 USD Term Loan AX, 1 Month USD LIBOR + 2.93%, 7.24%, 1/31/2029
(b)
|
|
|
1,000,000
|
|
979,165
|
Vertical U.S. Newco, Inc. Senior Secured Term Loan B, 6 Month USD LIBOR + 3.50%, 6.87%, 7/30/2027
(b)
|
|
|
41,516,072
|
|
40,053,460
|
Virgin Media Bristol LLC Senior Secured USD Term Loan N, 1 Month USD LIBOR + 2.50%, 6.82%, 1/31/2028
(b)
|
|
|
30,551,875
|
|
30,096,347
|
Ziggo Financing Partnership Senior Secured USD Term Loan I, 1 Month USD LIBOR + 2.50%, 6.82%, 4/30/2028
(b)
|
|
|
8,977,712
|
|
8,775,040
|
|
|
|
|
|
389,627,859
|
MEDICAL
LABS&TESTING SRV — 0.0% (c) |
|
|
|
|
|
Electron BidCo, Inc. Senior Secured 2021 Term Loan, 1 Month USD LIBOR + 3.00%, 7.38%, 11/1/2028
(b)
|
|
|
1,028,150
|
|
1,002,575
|
MISCELLANEOUS
MANUFACTUR — 0.0% (c) |
|
|
|
|
|
LTI Holdings, Inc. Senior Secured 2018 2nd Lien Term Loan, 1 Month USD LIBOR + 6.75%, 11.13%, 9/6/2026
(b)
|
|
|
1,928,424
|
|
1,542,739
|
See accompanying notes to financial statements.
34
SPDR BLACKSTONE
SENIOR LOAN ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2022 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
MRI/MEDICAL
DIAG IMAGING — 0.8% |
|
|
|
|
|
IQVIA, Inc. Senior Secured 2018 USD Term Loan B3, 3 Month USD LIBOR + 1.75%, 6.48%, 6/11/2025
(b)
|
|
|
$
30,648,836 |
|
$
30,562,713 |
Radiology Partners, Inc Senior Secured 2018 1st Lien Term Loan B, 1 Month USD LIBOR + 4.25%, 8.64%, 7/9/2025
(b)
|
|
|
20,453,306
|
|
17,263,919
|
|
|
|
|
|
47,826,632
|
OIL,
GAS & CONSUMABLE FUELS — 1.9% |
|
|
|
|
|
Buckeye Partners LP Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 2.25%, 6.63%, 11/1/2026
(b)
|
|
|
36,683,716
|
|
36,525,243
|
Pacific Gas & Electric Co. Senior Secured 2020 Term Loan, 1 Month USD LIBOR + 3.00%, 7.44%, 6/23/2025
(b)
|
|
|
75,226,766
|
|
74,756,599
|
|
|
|
|
|
111,281,842
|
PHARMACEUTICALS
— 1.7% |
|
|
|
|
|
Amneal Pharmaceuticals LLC Senior Secured 2018 Term Loan B, 3 Month USD LIBOR + 3.50%, 8.09%, 5/4/2025
(b)
|
|
|
1,010,794
|
|
908,901
|
Catalent Pharma Solutions, Inc. Senior Secured 2021 Term Loan B3, 1 Month USD LIBOR + 2.00%, 6.38%, 2/22/2028
(b)
|
|
|
11,462,802
|
|
11,307,022
|
Elanco Animal Health, Inc. Senior Secured Term Loan B, 1 Month USD LIBOR + 1.75%, 5.87%, 8/1/2027
(b)
|
|
|
11,011,697
|
|
10,596,996
|
Grifols Worldwide Operations USA, Inc. Senior Secured USD 2019 Term Loan B, 1 Month USD LIBOR + 2.00%, 6.38%, 11/15/2027
(b)
|
|
|
5,095,144
|
|
4,938,061
|
Jazz Financing Lux SARL Senior Secured USD Term Loan, 1 Month USD LIBOR + 3.50%, 7.88%, 5/5/2028
(b)
|
|
|
68,160,211
|
|
67,665,028
|
Security
Description |
|
|
Principal
Amount |
|
Value
|
Organon & Co. Senior Secured USD Term Loan, 3 Month USD LIBOR + 3.00%, 6/2/2028
(b)
|
|
|
$
6,334,398 |
|
$
6,288,600 |
|
|
|
|
|
101,704,608
|
PIPELINES
— 0.4% |
|
|
|
|
|
CQP Holdco LP Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 3.75%, 8.48%, 6/5/2028
(b)
|
|
|
9,544,080
|
|
9,514,255
|
TransMontaigne Operating Co. LP Senior Secured Term Loan B, 1 Month USD LIBOR + 3.50%, 7.87%, 11/17/2028
(b)
|
|
|
15,951,935
|
|
15,677,801
|
|
|
|
|
|
25,192,056
|
PROFESSIONAL
SERVICES — 1.2% |
|
|
|
|
|
Dun & Bradstreet Corp. Senior Secured Term Loan, 1 Month USD LIBOR + 3.25%, 7.64%, 2/6/2026
(b)
|
|
|
42,195,818
|
|
41,883,147
|
Proofpoint, Inc. Senior Secured 1st Lien Term Loan, 3 Month USD LIBOR + 3.25%, 7.98%, 8/31/2028
(b)
|
|
|
3,911,738
|
|
3,771,013
|
Trans Union LLC Senior Secured 2021 Term Loan B6, 1 Month USD LIBOR + 2.25%, 6.63%, 12/1/2028
(b)
|
|
|
23,481,450
|
|
23,290,664
|
|
|
|
|
|
68,944,824
|
RETAIL-BUILDING
PRODUCTS — 0.7% |
|
|
|
|
|
LBM Acquisition LLC Senior Secured Term Loan B, 6 Month USD LIBOR + 3.75%, 7.12%, 12/17/2027
(b)
|
|
|
50,554,199
|
|
44,053,434
|
RETAIL-RESTAURANTS
— 3.3% |
|
|
|
|
|
CT Technologies Intermediate Holdings, Inc. Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 4.25%, 8.63%, 12/16/2025
(b)
|
|
|
13,546,844
|
|
12,465,197
|
See accompanying notes to financial statements.
35
SPDR BLACKSTONE
SENIOR LOAN ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2022 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
Hilton Domestic Operating Company, Inc Senior Secured 2019 Term Loan B2, 1 Month USD LIBOR + 1.75%, 6.17%, 6/22/2026
(b)
|
|
|
$
86,263,332 |
|
$
86,096,412 |
IRB
Holding Corp.: |
|
|
|
|
|
Senior Secured 2020 Term Loan B, 1 Month USD LIBOR + 2.75%, 7.13%, 2/5/2025
(b)
|
|
|
26,155,441
|
|
25,963,329
|
Senior Secured 2022 Term Loan B, 1 Month USD SOFR + 3.00%, 7.32%, 12/15/2027
(b)
|
|
|
73,208,250
|
|
71,158,419
|
|
|
|
|
|
195,683,357
|
ROAD
& RAIL — 1.2% |
|
|
|
|
|
Genesee & Wyoming, Inc. Senior Secured Term Loan, 3 Month USD LIBOR + 2.00%, 6.73%, 12/30/2026
(b)
|
|
|
70,549,981
|
|
70,272,366
|
SEMICONDUCTORS
& SEMICONDUCTOR EQUIPMENT — 0.4% |
|
|
|
|
|
Entegris, Inc. Senior Secured 2022 Term Loan B, 7/6/2029
(b)
|
|
|
4,070,380
|
|
4,064,559
|
MKS Instruments, Inc. Senior Secured 2022 USD Term Loan B, 1 Month USD SOFR + 2.75%, 7.17%, 8/17/2029
(b)
|
|
|
17,955,000
|
|
17,785,056
|
|
|
|
|
|
21,849,615
|
SOFTWARE
— 12.2% |
|
|
|
|
|
Apttus Corp. Senior Secured 2021 Term Loan, 3 Month USD LIBOR + 4.25%, 8.66%, 5/8/2028
(b)
|
|
|
496,225
|
|
466,451
|
Athenahealth,
Inc.: |
|
|
|
|
|
Senior Secured 2022 Delayed Draw Term Loan, 1 Month CME Term SOFR + 3.50%, 3.50%, 2/15/2029
(b)
|
|
|
3,455,076
|
|
3,128,088
|
Senior Secured 2022 Term Loan B, 1 Month USD SOFR + 3.50%, 7.82%, 2/15/2029
(b)
|
|
|
74,841,700
|
|
67,758,681
|
Banff
Merger Sub, Inc.: |
|
|
|
|
|
Senior Secured 2021 USD 2nd Lien Term Loan, 1 Month USD LIBOR + 5.50%, 9.88%, 2/27/2026
(b)
|
|
|
20,197,744
|
|
18,676,652
|
Security
Description |
|
|
Principal
Amount |
|
Value
|
Senior Secured 2021 USD Term Loan, 1 Month USD LIBOR + 3.75%, 8.13%, 10/2/2025
(b)
|
|
|
$
20,567,862 |
|
$
19,740,520 |
CCC Intelligent Solutions, Inc. Senior Secured Term Loan, 1 Month USD LIBOR + 2.25%, 6.63%, 9/21/2028
(b)
|
|
|
995,948
|
|
989,973
|
CDK Global, Inc. Senior Secured 2022 USD Term Loan B, 3 Month USD SOFR + 4.50%, 9.08%, 7/6/2029
(b)
|
|
|
40,751,319
|
|
40,452,612
|
Cengage Learning, Inc. Senior Secured 2021 Term Loan B, 6 Month USD LIBOR + 4.75%, 7.81%, 7/14/2026
(b)
|
|
|
6,644,250
|
|
5,991,253
|
Cloudera, Inc. Senior Secured 2021 Second Lien Term Loan, 1 Month USD LIBOR + 6.00%, 10.38%, 10/8/2029
(b)
|
|
|
5,883,443
|
|
4,934,738
|
ConnectWise LLC Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 3.50%, 7.88%, 9/29/2028
(b)
|
|
|
4,023,421
|
|
3,832,308
|
DCert
Buyer, Inc.: |
|
|
|
|
|
Senior Secured 2019 Term Loan B, 6 Month USD SOFR + 4.00%, 8.70%, 10/16/2026
(b)
|
|
|
496,167
|
|
480,396
|
Senior Secured 2021 2nd Lien Term Loan, 6 Month USD LIBOR + 7.00%, 11.70%, 2/19/2029
(b)
|
|
|
7,467,875
|
|
6,848,042
|
ECI Macola Max Holdings LLC Senior Secured 2020 Term Loan, 3 Month USD LIBOR + 3.75%, 8.48%, 11/9/2027
(b)
|
|
|
409,200
|
|
393,855
|
EP Purchaser LLC Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 3.50%, 8.23%, 11/6/2028
(b)
|
|
|
999,341
|
|
990,602
|
Epicor Software Corp. Senior Secured 2020 Term Loan, 1 Month USD LIBOR + 3.25%, 7.63%, 7/30/2027
(b)
|
|
|
512,788
|
|
493,528
|
See accompanying notes to financial statements.
36
SPDR BLACKSTONE
SENIOR LOAN ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2022 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
Flexera Software LLC Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 3.75%, 8.14%, 3/3/2028
(b)
|
|
|
$
994,906 |
|
$
957,289 |
Fortra LLC Senior Secured 2021 Term Loan, 3 Month USD SOFR + 4.00%, 8.19%, 11/19/2026
(b)
|
|
|
19,599,522
|
|
17,722,867
|
Greeneden U.S. Holdings II LLC Senior Secured 2020 USD Term Loan B4, 1 Month USD LIBOR + 4.00%, 8.38%, 12/1/2027
(b)
|
|
|
11,045,645
|
|
10,629,169
|
Idera, Inc. Senior Secured 2021 Term Loan, 3 Month USD LIBOR + 3.75%, 7.50%, 3/2/2028
(b)
|
|
|
516,900
|
|
488,793
|
I-Logic Technologies Bidco Ltd. Senior Secured 2021 USD Term Loan B, 3 Month USD SOFR + 4.00%, 8.73%, 2/16/2028
(b)
|
|
|
763,435
|
|
751,984
|
Imperva, Inc. Senior Secured 2nd Lien Term Loan, 3 Month USD LIBOR + 7.75%, 12.42%, 1/11/2027
(b)
|
|
|
5,398,559
|
|
4,177,135
|
Informatica LLC Senior Secured 2021 USD Term Loan B, 1 Month USD LIBOR + 2.75%, 7.19%, 10/27/2028
(b)
|
|
|
994,988
|
|
978,570
|
Ivanti
Software, Inc.: |
|
|
|
|
|
Senior Secured 2021 2nd Lien Term Loan, 3 Month USD LIBOR + 7.25%, 12.01%, 12/1/2028
(b)
|
|
|
14,432,836
|
|
8,443,209
|
Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 4.25%, 9.01%, 12/1/2027
(b)
|
|
|
3,708,154
|
|
2,953,007
|
McAfee LLC Senior Secured 2022 USD Term Loan B, 1 Month USD SOFR + 3.75%, 7.97%, 3/1/2029
(b)
|
|
|
80,025,320
|
|
74,709,238
|
MeridianLink, Inc. Senior Secured 2021 Term Loan B, 6 Month USD LIBOR + 3.00%, 8.15%, 11/10/2028
(b)
|
|
|
8,085,221
|
|
7,799,732
|
Security
Description |
|
|
Principal
Amount |
|
Value
|
Mitchell
International, Inc.: |
|
|
|
|
|
Senior Secured 2021 2nd Lien Term Loan, 3 Month USD LIBOR + 6.50%, 11.23%, 10/15/2029
(b)
|
|
|
$
7,600,023 |
|
$
6,350,769 |
Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 3.75%, 8.41%, 10/15/2028
(b)
|
|
|
20,661,501
|
|
19,101,248
|
Navicure, Inc. Senior Secured 2019 Term Loan B, 1 Month USD LIBOR + 4.00%, 8.38%, 10/22/2026
(b)
|
|
|
326,963
|
|
322,059
|
NortonLifeLock, Inc. Senior Secured 2022 Term Loan B, 1 Month USD SOFR + 2.00%, 6.42%, 9/12/2029
(b)
|
|
|
42,297,879
|
|
41,672,293
|
Open
Text Corp.: |
|
|
|
|
|
Senior Secured 2022 Term Loan B, 11/16/2029
(d)
|
|
|
34,336,840
|
|
33,620,058
|
Senior Secured Term Loan B, 1 Month USD LIBOR + 1.75%, 6.13%, 5/30/2025
(b)
|
|
|
5,754,786
|
|
5,644,495
|
Polaris Newco LLC Senior Secured USD Term Loan B, 3 Month USD LIBOR + 4.00%, 8.73%, 6/2/2028
(b)
|
|
|
63,858,156
|
|
58,430,213
|
Project Ruby Ultimate Parent Corp. Senior Secured 2021 Term Loan, 1 Month USD LIBOR + 3.25%, 7.63%, 3/10/2028
(b)
|
|
|
7,517,247
|
|
7,124,584
|
Quest Software U.S. Holdings, Inc. Senior Secured 2022 Term Loan, 1 Month USD SOFR + 4.25%, 8.49%, 2/1/2029
(b)
|
|
|
57,662,466
|
|
44,742,614
|
RealPage, Inc. Senior Secured 1st Lien Term Loan, 1 Month USD LIBOR + 3.00%, 7.38%, 4/24/2028
(b)
|
|
|
69,931,847
|
|
66,645,050
|
Rocket
Software, Inc.: |
|
|
|
|
|
Senior Secured 2018 Term Loan, 1 Month USD LIBOR + 4.25%, 8.64%, 11/28/2025
(b)
|
|
|
666,011
|
|
641,952
|
Senior Secured 2021 USD Incremental Term Loan B, 1 Month USD LIBOR + 4.25%, 8.63%, 11/28/2025
(b)
|
|
|
664,018
|
|
641,192
|
See accompanying notes to financial statements.
37
SPDR BLACKSTONE
SENIOR LOAN ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2022 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
Sabre
GLBL, Inc.: |
|
|
|
|
|
Senior Secured 2021 Term Loan B1, 1 Month USD LIBOR + 3.50%, 7.88%, 12/17/2027
(b)
|
|
|
$
268,568 |
|
$
245,404 |
Senior Secured 2021 Term Loan B2, 1 Month USD LIBOR + 3.50%, 7.88%, 12/17/2027
(b)
|
|
|
428,078
|
|
391,156
|
SolarWinds Holdings, Inc. Senior Secured 2022 Term Loan B, 1 Month USD SOFR + 4.00%, 8.32%, 2/5/2027
(b)
|
|
|
6,899,798
|
|
6,842,288
|
Sophia LP Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 3.25%, 8.23%, 10/7/2027
(b)
|
|
|
496,225
|
|
480,100
|
SS&C European Holdings SARL Senior Secured 2018 Term Loan B4, 1 Month USD LIBOR + 1.75%, 6.13%, 4/16/2025
(b)
|
|
|
7,879,685
|
|
7,761,490
|
SS&C
Technologies Inc.: |
|
|
|
|
|
Senior Secured 2022 Term Loan B6, 1 Month USD SOFR + 2.25%, 6.57%, 3/22/2029
(b)
|
|
|
9,959,858
|
|
9,801,148
|
Senior Secured 2022 Term Loan B7, 1 Month USD SOFR + 2.25%, 6.67%, 3/22/2029
(b)
|
|
|
15,075,040
|
|
14,834,819
|
SS&C
Technologies, Inc.: |
|
|
|
|
|
Senior Secured 2018 Term Loan B3, 1 Month USD LIBOR + 1.75%, 6.13%, 4/16/2025
(b)
|
|
|
8,902,055
|
|
8,768,524
|
Senior Secured 2018 Term Loan B5, 1 Month USD LIBOR + 1.75%, 6.13%, 4/16/2025
(b)
|
|
|
5,803,060
|
|
5,714,940
|
Ultimate
Software Group, Inc.: |
|
|
|
|
|
Senior Secured 2021 2nd Lien Term Loan, 1 Month USD LIBOR + 5.25%, 9.00%, 5/3/2027
(b)
|
|
|
850,746
|
|
785,026
|
Senior Secured 2021 Term Loan, 3 Month USD LIBOR + 3.25%, 7.00%, 5/4/2026
(b)
|
|
|
57,184,666
|
|
54,539,876
|
Senior Secured Term Loan B, 1 Month USD LIBOR + 3.75%, 8.13%, 5/4/2026
(b)
|
|
|
664,306
|
|
641,766
|
Security
Description |
|
|
Principal
Amount |
|
Value
|
Vision
Solutions, Inc.: |
|
|
|
|
|
Senior Secured 2021 2nd Lien Term Loan, 3 Month USD LIBOR + 7.25%, 11.61%, 4/23/2029
(b)
|
|
|
$
1,233,333 |
|
$
919,993 |
Senior Secured 2021 Incremental Term Loan, 3 Month USD LIBOR + 4.00%, 8.36%, 4/24/2028
(b)
|
|
|
30,384,072
|
|
25,241,568
|
Weld North Education LLC Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 3.75%, 8.13%, 12/21/2027
(b)
|
|
|
579,579
|
|
569,291
|
|
|
|
|
|
727,262,608
|
SPECIALTY
RETAIL — 2.6% |
|
|
|
|
|
Petco Health & Wellness Company, Inc. Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 3.25%, 7.98%, 3/3/2028
(b)
|
|
|
24,696,074
|
|
24,009,276
|
PetSmart, Inc. Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 3.75%, 8.13%, 2/11/2028
(b)
|
|
|
43,616,670
|
|
42,812,379
|
Pilot Travel Centers LLC Senior Secured 2021 Term Loan B, 1 Month USD SOFR + 2.00%, 6.42%, 8/4/2028
(b)
|
|
|
88,327,280
|
|
87,477,130
|
|
|
|
|
|
154,298,785
|
STEEL-PRODUCERS
— 0.0% (c) |
|
|
|
|
|
Phoenix
Services International LLC: |
|
|
|
|
|
Senior Secured 2022 DIP New Money Term Loan, 1 Month USD SOFR + 12.00%, 16.32%, 3/28/2023
(b)
|
|
|
1,076,429
|
|
1,038,754
|
Senior Secured 2022 DIP PIK Roll Up Term Loan, 1 Month USD SOFR + 12.00%, 16.32%, 9/29/2023
(b)
|
|
|
1,502,578
|
|
1,449,987
|
Senior Secured Term Loan, 3 Month USD LIBOR + 2.75%, 10.25%, 3/1/2025
(b)
|
|
|
7,432,140
|
|
803,600
|
|
|
|
|
|
3,292,341
|
See accompanying notes to financial statements.
38
SPDR BLACKSTONE
SENIOR LOAN ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2022 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
TELECOM
SERVICES — 1.1% |
|
|
|
|
|
SBA Senior Finance II LLC Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 1.75%, 6.14%, 4/11/2025
(b)
|
|
|
$
65,965,589 |
|
$
65,828,380 |
TELECOMMUNICATION
EQUIP — 0.0% (c) |
|
|
|
|
|
Altice France SA Senior Secured 2018 Term Loan B13, 3 Month USD LIBOR + 4.00%, 8.65%, 8/14/2026
(b)
|
|
|
1,728,667
|
|
1,612,708
|
CCI Buyer, Inc. Senior Secured Term Loan, 3 Month USD SOFR + 4.00%, 8.58%, 12/17/2027
(b)
|
|
|
575,130
|
|
550,975
|
|
|
|
|
|
2,163,683
|
TEXTILES,
APPAREL & LUXURY GOODS — 0.1% |
|
|
|
|
|
Varsity Brands, Inc. Senior Secured 2017 Term Loan B, 1 Month USD LIBOR + 3.50%, 7.88%, 12/15/2024
(b)
|
|
|
6,080,567
|
|
5,877,628
|
TRANSPORT-SERVICES
— 0.5% |
|
|
|
|
|
Edelman Financial Center LLC Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 3.50%, 7.88%, 4/7/2028
(b)
|
|
|
22,338,929
|
|
20,903,653
|
EG America LLC Senior Secured 2018 USD Term Loan, 3 Month USD LIBOR + 4.00%, 8.73%, 2/7/2025
(b)
|
|
|
492,940
|
|
466,755
|
Endure Digital, Inc. Senior Secured Term Loan, 1 Month USD LIBOR + 3.50%, 7.72%, 2/10/2028
(b)
|
|
|
12,250,630
|
|
11,056,194
|
|
|
|
|
|
32,426,602
|
TOTAL SENIOR FLOATING RATE LOANS (Cost
$5,355,357,183)
|
|
|
|
|
5,182,464,346
|
|
|
Shares
|
|
COMMON
STOCKS — 0.1% |
|
|
|
HEALTH
CARE EQUIPMENT & SUPPLIES — 0.1% |
|
|
|
Carestream Health, Inc.
(e)
|
|
396,286
|
5,944,290
|
Security
Description |
|
|
Principal
Amount |
|
Value
|
CORPORATE
BONDS & NOTES — 5.2% |
|
|
|
|
|
AEROSPACE
& DEFENSE — 0.2% |
|
|
|
|
|
Bombardier, Inc. 6.00%, 2/15/2028
(f)
|
|
|
$
6,760,000 |
|
$
6,274,429 |
Howmet Aerospace, Inc. 6.88%,
5/1/2025
|
|
|
1,459,000
|
|
1,498,466
|
TransDigm UK Holdings PLC 6.88%,
5/15/2026
|
|
|
900,000
|
|
882,009
|
TransDigm,
Inc.: |
|
|
|
|
|
4.63%,
1/15/2029
|
|
|
2,020,000
|
|
1,774,934
|
4.88%,
5/1/2029
|
|
|
1,600,000
|
|
1,394,992
|
|
|
|
|
|
11,824,830
|
APPAREL
— 0.0% (c) |
|
|
|
|
|
Crocs, Inc. 4.25%, 3/15/2029
(f)
|
|
|
1,020,000
|
|
870,284
|
AUTO
MANUFACTURERS — 0.2% |
|
|
|
|
|
Allison
Transmission, Inc.: |
|
|
|
|
|
4.75%, 10/1/2027
(f)
|
|
|
2,800,000
|
|
2,600,052
|
5.88%, 6/1/2029
(f)
|
|
|
3,500,000
|
|
3,286,325
|
Ford
Motor Credit Co. LLC: |
|
|
|
|
|
2.30%,
2/10/2025
|
|
|
4,500,000
|
|
4,107,960
|
2.90%,
2/10/2029
|
|
|
400,000
|
|
319,324
|
Wabash National Corp. 4.50%, 10/15/2028
(f)
|
|
|
1,620,000
|
|
1,373,679
|
|
|
|
|
|
11,687,340
|
AUTO
PARTS & EQUIPMENT — 0.1% |
|
|
|
|
|
American
Axle & Manufacturing, Inc.: |
|
|
|
|
|
6.50%,
4/1/2027
|
|
|
763,000
|
|
691,759
|
6.88%,
7/1/2028
|
|
|
2,140,000
|
|
1,909,479
|
Dana, Inc. 4.50%,
2/15/2032
|
|
|
1,000,000
|
|
807,350
|
Titan International, Inc. 7.00%,
4/30/2028
|
|
|
1,523,000
|
|
1,448,525
|
|
|
|
|
|
4,857,113
|
BANKS
— 0.1% |
|
|
|
|
|
Intesa Sanpaolo SpA 5.71%, 1/15/2026
(f)
|
|
|
6,340,000
|
|
6,109,161
|
BEVERAGES
— 0.0% (c) |
|
|
|
|
|
Primo Water Holdings, Inc. 4.38%, 4/30/2029
(f)
|
|
|
1,800,000
|
|
1,554,552
|
BUILDING
MATERIALS — 0.1% (c) |
|
|
|
|
|
Builders FirstSource, Inc. 4.25%, 2/1/2032
(f)
|
|
|
300,000
|
|
244,239
|
Griffon Corp. 5.75%,
3/1/2028
|
|
|
2,640,000
|
|
2,414,227
|
See accompanying notes to financial statements.
39
SPDR BLACKSTONE
SENIOR LOAN ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2022 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
PGT Innovations, Inc. 4.38%, 10/1/2029
(f)
|
|
|
$
1,710,000 |
|
$
1,432,365 |
|
|
|
|
|
4,090,831
|
CHEMICALS
— 0.1% |
|
|
|
|
|
Ashland LLC 3.38%, 9/1/2031
(f)
|
|
|
600,000
|
|
477,432
|
CVR Partners L.P./CVR Nitrogen Finance Corp. 6.13%, 6/15/2028
(f)
|
|
|
770,000
|
|
691,976
|
Ingevity Corp. 3.88%, 11/1/2028
(f)
|
|
|
1,750,000
|
|
1,509,637
|
Nufarm Australia, Ltd./Nufarm Americas, Inc. 5.00%, 1/27/2030
(f)
|
|
|
1,430,000
|
|
1,250,292
|
Rayonier AM Products, Inc. 7.63%, 1/15/2026
(f)
|
|
|
1,920,000
|
|
1,845,849
|
Valvoline, Inc. 3.63%, 6/15/2031
(f)
|
|
|
190,000
|
|
155,846
|
|
|
|
|
|
5,931,032
|
COAL
— 0.0% (c) |
|
|
|
|
|
SunCoke Energy, Inc. 4.88%, 6/30/2029
(f)
|
|
|
1,790,000
|
|
1,526,995
|
COMMERCIAL
SERVICES — 0.1% |
|
|
|
|
|
Adtalem Global Education, Inc. 5.50%, 3/1/2028
(f)
|
|
|
865,000
|
|
792,833
|
Prime Security Services Borrower LLC/Prime Finance, Inc. 6.25%, 1/15/2028
(f)
|
|
|
3,000,000
|
|
2,739,330
|
Service Corp. International 4.00%,
5/15/2031
|
|
|
1,300,000
|
|
1,103,440
|
ZipRecruiter, Inc. 5.00%, 1/15/2030
(f)
|
|
|
810,000
|
|
667,213
|
|
|
|
|
|
5,302,816
|
COMPUTERS
— 0.1% |
|
|
|
|
|
Booz
Allen Hamilton, Inc.: |
|
|
|
|
|
3.88%, 9/1/2028
(f)
|
|
|
2,200,000
|
|
1,961,432
|
4.00%, 7/1/2029
(f)
|
|
|
250,000
|
|
221,563
|
Conduent Business Services LLC/Conduent State & Local Solutions, Inc. 6.00%, 11/1/2029
(f)
|
|
|
460,000
|
|
376,013
|
KBR, Inc. 4.75%, 9/30/2028
(f)
|
|
|
300,000
|
|
262,599
|
Science Applications International Corp. 4.88%, 4/1/2028
(f)
|
|
|
1,450,000
|
|
1,347,688
|
|
|
|
|
|
4,169,295
|
Security
Description |
|
|
Principal
Amount |
|
Value
|
DIVERSIFIED
FINANCIAL SERVICES — 0.4% |
|
|
|
|
|
Burford
Capital Global Finance LLC: |
|
|
|
|
|
6.25%, 4/15/2028
(f)
|
|
|
$
80,000 |
|
$
71,664 |
6.88%, 4/15/2030
(f)
|
|
|
3,100,000
|
|
2,777,972
|
Enova International, Inc. 8.50%, 9/15/2025
(f)
|
|
|
1,020,000
|
|
942,551
|
goeasy, Ltd. 4.38%, 5/1/2026
(f)
|
|
|
1,920,000
|
|
1,706,746
|
Nationstar
Mortgage Holdings, Inc.: |
|
|
|
|
|
5.50%, 8/15/2028
(f)
|
|
|
2,080,000
|
|
1,701,752
|
5.75%, 11/15/2031
(f)
|
|
|
3,560,000
|
|
2,766,120
|
Navient
Corp.: |
|
|
|
|
|
4.88%,
3/15/2028
|
|
|
3,660,000
|
|
3,004,384
|
5.63%,
8/1/2033
|
|
|
2,730,000
|
|
1,963,061
|
OneMain Finance Corp. 7.13%,
3/15/2026
|
|
|
2,490,000
|
|
2,367,542
|
PennyMac
Financial Services, Inc.: |
|
|
|
|
|
5.38%, 10/15/2025
(f)
|
|
|
1,380,000
|
|
1,250,335
|
5.75%, 9/15/2031
(f)
|
|
|
4,530,000
|
|
3,669,572
|
PHH Mortgage Corp. 7.88%, 3/15/2026
(f)
|
|
|
382,000
|
|
341,092
|
PRA Group, Inc. 5.00%, 10/1/2029
(f)
|
|
|
2,643,000
|
|
2,188,034
|
|
|
|
|
|
24,750,825
|
ELECTRIC
— 0.1% (c) |
|
|
|
|
|
DPL,
Inc.: |
|
|
|
|
|
4.13%,
7/1/2025
|
|
|
2,525,000
|
|
2,382,312
|
4.35%,
4/15/2029
|
|
|
700,000
|
|
628,824
|
PG&E Corp. 5.25%,
7/1/2030
|
|
|
250,000
|
|
227,493
|
|
|
|
|
|
3,238,629
|
ELECTRICAL
COMPONENTS & EQUIPMENT — 0.1% |
|
|
|
|
|
Energizer Holdings, Inc. 6.50%, 12/31/2027
(f)
|
|
|
5,910,000
|
|
5,637,194
|
ENERGY-ALTERNATE
SOURCES — 0.1% (c) |
|
|
|
|
|
Enviva Partners L.P./Enviva Partners Finance Corp. 6.50%, 1/15/2026
(f)
|
|
|
3,050,000
|
|
2,876,943
|
ENGINEERING
& CONSTRUCTION — 0.1% (c) |
|
|
|
|
|
Brundage-Bone Concrete Pumping Holdings, Inc. 6.00%, 2/1/2026
(f)
|
|
|
1,530,000
|
|
1,396,171
|
Tutor Perini Corp. 6.88%, 5/1/2025
(f)
|
|
|
2,010,000
|
|
1,761,946
|
|
|
|
|
|
3,158,117
|
See accompanying notes to financial statements.
40
SPDR BLACKSTONE
SENIOR LOAN ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2022 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
ENTERTAINMENT
— 0.1% |
|
|
|
|
|
CDI Escrow Issuer, Inc. 5.75%, 4/1/2030
(f)
|
|
|
$
500,000 |
|
$
450,785 |
Churchill Downs, Inc. 4.75%, 1/15/2028
(f)
|
|
|
2,000,000
|
|
1,789,740
|
Cinemark USA, Inc. 5.88%, 3/15/2026
(f)
|
|
|
1,800,000
|
|
1,497,474
|
Scientific Games International, Inc. 7.25%, 11/15/2029
(f)
|
|
|
900,000
|
|
863,577
|
Wynn Resorts Finance LLC/Wynn Resorts Capital Corp. REGS, 5.13%, 10/1/2029
(f)
|
|
|
2,800,000
|
|
2,401,252
|
|
|
|
|
|
7,002,828
|
ENVIRONMENTAL
CONTROL — 0.0% (c) |
|
|
|
|
|
Stericycle, Inc. 3.88%, 1/15/2029
(f)
|
|
|
500,000
|
|
436,480
|
FOOD
— 0.1% |
|
|
|
|
|
Lamb
Weston Holdings, Inc.: |
|
|
|
|
|
4.13%, 1/31/2030
(f)
|
|
|
747,000
|
|
660,953
|
4.38%, 1/31/2032
(f)
|
|
|
110,000
|
|
96,075
|
Post
Holdings, Inc.: |
|
|
|
|
|
4.50%, 9/15/2031
(f)
|
|
|
600,000
|
|
506,796
|
4.63%, 4/15/2030
(f)
|
|
|
2,890,000
|
|
2,493,319
|
5.50%, 12/15/2029
(f)
|
|
|
1,400,000
|
|
1,268,372
|
|
|
|
|
|
5,025,515
|
FOREST
PRODUCTS & PAPER — 0.0% (c) |
|
|
|
|
|
Clearwater Paper Corp. 4.75%, 8/15/2028
(f)
|
|
|
600,000
|
|
529,314
|
Mercer International, Inc. 5.13%,
2/1/2029
|
|
|
1,150,000
|
|
961,124
|
|
|
|
|
|
1,490,438
|
GAS
— 0.0% (c) |
|
|
|
|
|
AmeriGas
Partners L.P./AmeriGas Finance Corp.: |
|
|
|
|
|
5.50%,
5/20/2025
|
|
|
470,000
|
|
451,580
|
5.63%,
5/20/2024
|
|
|
1,620,000
|
|
1,580,537
|
|
|
|
|
|
2,032,117
|
HEALTH
CARE PRODUCTS — 0.0% (c) |
|
|
|
|
|
Varex Imaging Corp. 7.88%, 10/15/2027
(f)
|
|
|
910,000
|
|
905,332
|
HEALTH
CARE SERVICES — 0.1% |
|
|
|
|
|
CHS/Community
Health Systems, Inc.: |
|
|
|
|
|
8.00%, 3/15/2026
(f)
|
|
|
1,500,000
|
|
1,367,505
|
8.00%, 12/15/2027
(f)
|
|
|
150,000
|
|
135,699
|
Security
Description |
|
|
Principal
Amount |
|
Value
|
Encompass Health Corp. 4.75%,
2/1/2030
|
|
|
$
1,800,000 |
|
$
1,585,206 |
ModivCare, Inc. 5.88%, 11/15/2025
(f)
|
|
|
3,530,000
|
|
3,342,733
|
|
|
|
|
|
6,431,143
|
HOME
BUILDERS — 0.1% |
|
|
|
|
|
Beazer Homes USA, Inc. 7.25%,
10/15/2029
|
|
|
950,000
|
|
850,117
|
Forestar Group, Inc. 3.85%, 5/15/2026
(f)
|
|
|
1,930,000
|
|
1,716,040
|
Installed Building Products, Inc. 5.75%, 2/1/2028
(f)
|
|
|
550,000
|
|
495,924
|
KB Home 7.25%,
7/15/2030
|
|
|
370,000
|
|
359,322
|
LGI Homes, Inc. 4.00%, 7/15/2029
(f)
|
|
|
1,210,000
|
|
933,793
|
M/I Homes, Inc. 4.95%,
2/1/2028
|
|
|
600,000
|
|
532,980
|
Meritage Homes Corp. 3.88%, 4/15/2029
(f)
|
|
|
650,000
|
|
551,623
|
Taylor Morrison Communities, Inc. 5.13%, 8/1/2030
(f)
|
|
|
1,700,000
|
|
1,479,204
|
Tri Pointe Homes, Inc. 5.70%,
6/15/2028
|
|
|
1,940,000
|
|
1,766,758
|
|
|
|
|
|
8,685,761
|
HOME
FURNISHINGS — 0.0% (c) |
|
|
|
|
|
Tempur
Sealy International, Inc.: |
|
|
|
|
|
3.88%, 10/15/2031
(f)
|
|
|
2,630,000
|
|
2,058,869
|
4.00%, 4/15/2029
(f)
|
|
|
700,000
|
|
587,748
|
|
|
|
|
|
2,646,617
|
INSURANCE
— 0.0% (c) |
|
|
|
|
|
NMI Holdings, Inc. 7.38%, 6/1/2025
(f)
|
|
|
1,320,000
|
|
1,337,266
|
INVESTMENT
COMPANY SECURITY — 0.1% |
|
|
|
|
|
Icahn
Enterprises L.P./Icahn Enterprises Finance Corp.: |
|
|
|
|
|
4.38%,
2/1/2029
|
|
|
1,820,000
|
|
1,547,437
|
5.25%,
5/15/2027
|
|
|
4,840,000
|
|
4,438,280
|
6.25%,
5/15/2026
|
|
|
340,000
|
|
328,943
|
|
|
|
|
|
6,314,660
|
IRON/STEEL
— 0.2% |
|
|
|
|
|
ATI, Inc. 5.13%,
10/1/2031
|
|
|
3,290,000
|
|
2,886,679
|
Carpenter Technology Corp. 7.63%,
3/15/2030
|
|
|
2,038,000
|
|
2,047,497
|
Commercial Metals Co. 4.38%,
3/15/2032
|
|
|
200,000
|
|
173,054
|
See accompanying notes to financial statements.
41
SPDR BLACKSTONE
SENIOR LOAN ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2022 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
Mineral Resources, Ltd. 8.50%, 5/1/2030
(f)
|
|
|
$
6,180,002 |
|
$
6,320,040 |
|
|
|
|
|
11,427,270
|
LEISURE
TIME — 0.2% |
|
|
|
|
|
Carnival
Corp.: |
|
|
|
|
|
5.75%, 3/1/2027
(f)
|
|
|
1,050,000
|
|
749,164
|
7.63%, 3/1/2026
(f)
|
|
|
1,800,000
|
|
1,437,624
|
NCL Corp., Ltd. 5.88%, 2/15/2027
(f)
|
|
|
3,187,000
|
|
2,758,540
|
Royal
Caribbean Cruises, Ltd.: |
|
|
|
|
|
3.70%,
3/15/2028
|
|
|
720,000
|
|
534,305
|
5.38%, 7/15/2027
(f)
|
|
|
1,540,000
|
|
1,252,774
|
5.50%, 8/31/2026
(f)
|
|
|
1,300,000
|
|
1,093,742
|
5.50%, 4/1/2028
(f)
|
|
|
2,170,000
|
|
1,733,418
|
7.50%,
10/15/2027
|
|
|
1,510,000
|
|
1,302,103
|
11.63%, 8/15/2027
(f)
|
|
|
300,000
|
|
301,590
|
Vista Outdoor, Inc. 4.50%, 3/15/2029
(f)
|
|
|
1,290,000
|
|
950,240
|
|
|
|
|
|
12,113,500
|
LODGING
— 0.1% |
|
|
|
|
|
Hilton
Domestic Operating Co., Inc.: |
|
|
|
|
|
3.75%, 5/1/2029
(f)
|
|
|
1,300,000
|
|
1,128,257
|
4.00%, 5/1/2031
(f)
|
|
|
500,000
|
|
421,120
|
Las
Vegas Sands Corp.: |
|
|
|
|
|
2.90%,
6/25/2025
|
|
|
3,000,000
|
|
2,771,280
|
3.90%,
8/8/2029
|
|
|
1,000,000
|
|
846,810
|
Marriott Ownership Resorts, Inc. 4.50%, 6/15/2029
(f)
|
|
|
1,450,000
|
|
1,206,603
|
Wynn
Las Vegas LLC/Wynn Las Vegas Capital Corp.: |
|
|
|
|
|
5.50%, 3/1/2025
(f)
|
|
|
2,000,000
|
|
1,905,700
|
REGS, 5.25%, 5/15/2027
(f)
|
|
|
500,000
|
|
452,525
|
|
|
|
|
|
8,732,295
|
MEDIA
— 0.1% |
|
|
|
|
|
DISH DBS Corp. 7.75%,
7/1/2026
|
|
|
200,000
|
|
161,402
|
Sirius
XM Radio, Inc.: |
|
|
|
|
|
4.00%, 7/15/2028
(f)
|
|
|
2,640,000
|
|
2,291,863
|
5.00%, 8/1/2027
(f)
|
|
|
4,110,000
|
|
3,803,147
|
Urban One, Inc. 7.38%, 2/1/2028
(f)
|
|
|
40,000
|
|
33,820
|
|
|
|
|
|
6,290,232
|
MINING
— 0.2% |
|
|
|
|
|
Compass Minerals International, Inc. 6.75%, 12/1/2027
(f)
|
|
|
1,360,000
|
|
1,312,754
|
FMG
Resources August 2006 Pty, Ltd.: |
|
|
|
|
|
4.38%, 4/1/2031
(f)
|
|
|
1,960,000
|
|
1,657,043
|
6.13%, 4/15/2032
(f)
|
|
|
1,360,000
|
|
1,268,431
|
Security
Description |
|
|
Principal
Amount |
|
Value
|
Hecla Mining Co. 7.25%,
2/15/2028
|
|
|
$
1,930,000 |
|
$
1,904,447 |
Kaiser Aluminum Corp. 4.50%, 6/1/2031
(f)
|
|
|
300,000
|
|
241,026
|
New Gold, Inc. 7.50%, 7/15/2027
(f)
|
|
|
1,630,000
|
|
1,431,596
|
Taseko Mines, Ltd. 7.00%, 2/15/2026
(f)
|
|
|
1,620,000
|
|
1,425,276
|
|
|
|
|
|
9,240,573
|
MISCELLANEOUS
MANUFACTURER — 0.0% (c) |
|
|
|
|
|
LSB Industries, Inc. 6.25%, 10/15/2028
(f)
|
|
|
140,000
|
|
127,567
|
OFFICE
& BUSINESS EQUIPMENT — 0.1% |
|
|
|
|
|
Pitney Bowes, Inc. 7.25%, 3/15/2029
(f)
|
|
|
1,020,000
|
|
796,661
|
Xerox Holdings Corp. 5.50%, 8/15/2028
(f)
|
|
|
6,960,000
|
|
5,617,277
|
|
|
|
|
|
6,413,938
|
OIL
& GAS — 0.3% |
|
|
|
|
|
Apache Corp. 5.35%,
7/1/2049
|
|
|
500,000
|
|
406,530
|
CVR Energy, Inc. 5.75%, 2/15/2028
(f)
|
|
|
3,651,000
|
|
3,170,090
|
Nabors Industries, Inc. 7.38%, 5/15/2027
(f)
|
|
|
1,550,000
|
|
1,518,752
|
Northern Oil & Gas, Inc. 8.13%, 3/1/2028
(f)
|
|
|
2,940,000
|
|
2,821,106
|
Occidental Petroleum Corp. 7.88%,
9/15/2031
|
|
|
1,700,000
|
|
1,876,392
|
Patterson-UTI Energy, Inc. 5.15%,
11/15/2029
|
|
|
970,000
|
|
873,252
|
PBF Holding Co. LLC/PBF Finance Corp. 6.00%,
2/15/2028
|
|
|
1,770,000
|
|
1,566,485
|
Petrofac, Ltd. 9.75%, 11/15/2026
(f)
|
|
|
1,327,000
|
|
749,715
|
Precision Drilling Corp. 6.88%, 1/15/2029
(f)
|
|
|
3,110,000
|
|
2,914,226
|
Sunoco L.P./Sunoco Finance Corp. 4.50%,
5/15/2029
|
|
|
4,620,000
|
|
4,040,976
|
Vermilion Energy, Inc. 6.88%, 5/1/2030
(f)
|
|
|
250,000
|
|
229,388
|
|
|
|
|
|
20,166,912
|
OIL
& GAS SERVICES — 0.0% (c) |
|
|
|
|
|
Enerflex, Ltd. 9.00%,
10/15/2027
|
|
|
2,000,000
|
|
1,995,300
|
PACKAGING
& CONTAINERS — 0.1% |
|
|
|
|
|
OI European Group B.V. 4.75%, 2/15/2030
(f)
|
|
|
3,070,000
|
|
2,712,406
|
See accompanying notes to financial statements.
42
SPDR BLACKSTONE
SENIOR LOAN ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2022 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
Owens-Brockway Glass Container, Inc. 6.63%, 5/13/2027
(f)
|
|
|
$
1,540,000 |
|
$
1,498,882 |
|
|
|
|
|
4,211,288
|
PHARMACEUTICALS
— 0.1% (c) |
|
|
|
|
|
AdaptHealth
LLC: |
|
|
|
|
|
4.63%, 8/1/2029
(f)
|
|
|
540,000
|
|
452,628
|
6.13%, 8/1/2028
(f)
|
|
|
3,870,000
|
|
3,578,202
|
|
|
|
|
|
4,030,830
|
PIPELINES
— 0.3% |
|
|
|
|
|
Antero Midstream Partners L.P./Antero Midstream Finance Corp. 5.38%, 6/15/2029
(f)
|
|
|
1,100,000
|
|
1,006,203
|
Crestwood
Midstream Partners L.P./Crestwood Midstream Finance Corp.: |
|
|
|
|
|
6.00%, 2/1/2029
(f)
|
|
|
780,000
|
|
719,456
|
8.00%, 4/1/2029
(f)
|
|
|
1,620,000
|
|
1,617,311
|
Delek Logistics Partners L.P./Delek Logistics Finance Corp. 7.13%, 6/1/2028
(f)
|
|
|
2,710,000
|
|
2,442,794
|
EnLink Midstream Partners L.P. 5.45%,
6/1/2047
|
|
|
570,000
|
|
457,602
|
EQM Midstream Partners L.P. 6.50%,
7/15/2048
|
|
|
680,000
|
|
510,007
|
Global
Partners L.P./GLP Finance Corp.: |
|
|
|
|
|
6.88%,
1/15/2029
|
|
|
1,640,000
|
|
1,485,381
|
7.00%,
8/1/2027
|
|
|
100,000
|
|
95,434
|
Hess Midstream Operations L.P. 5.13%, 6/15/2028
(f)
|
|
|
1,720,000
|
|
1,600,683
|
NuStar Logistics L.P. 6.38%,
10/1/2030
|
|
|
3,030,000
|
|
2,810,901
|
Summit Midstream Holdings LLC/Summit Midstream Finance Corp. 8.50%, 10/15/2026
(f)
|
|
|
2,840,000
|
|
2,696,495
|
|
|
|
|
|
15,442,267
|
REAL
ESTATE — 0.0% (c) |
|
|
|
|
|
Howard
Hughes Corp.: |
|
|
|
|
|
4.13%, 2/1/2029
(f)
|
|
|
700,000
|
|
585,564
|
4.38%, 2/1/2031
(f)
|
|
|
314,000
|
|
252,792
|
5.38%, 8/1/2028
(f)
|
|
|
1,000,000
|
|
900,370
|
|
|
|
|
|
1,738,726
|
REAL
ESTATE INVESTMENT TRUSTS — 0.4% |
|
|
|
|
|
Apollo Commercial Real Estate Finance, Inc. 4.63%, 6/15/2029
(f)
|
|
|
2,030,000
|
|
1,624,426
|
Security
Description |
|
|
Principal
Amount |
|
Value
|
Iron Mountain Information Management Services, Inc. 5.00%, 7/15/2032
(f)
|
|
|
$
6,160,000 |
|
$
5,139,904 |
Iron Mountain, Inc. 5.63%, 7/15/2032
(f)
|
|
|
1,000,000
|
|
872,150
|
Rithm Capital Corp. 6.25%, 10/15/2025
(f)
|
|
|
2,230,000
|
|
2,001,804
|
Service
Properties Trust: |
|
|
|
|
|
4.75%,
10/1/2026
|
|
|
2,220,000
|
|
1,754,666
|
4.95%,
2/15/2027
|
|
|
3,120,000
|
|
2,459,153
|
4.95%,
10/1/2029
|
|
|
2,720,000
|
|
1,903,809
|
Starwood
Property Trust, Inc.: |
|
|
|
|
|
3.63%, 7/15/2026
(f)
|
|
|
1,500,000
|
|
1,312,500
|
4.38%, 1/15/2027
(f)
|
|
|
4,650,000
|
|
4,092,093
|
|
|
|
|
|
21,160,505
|
RETAIL
— 0.6% |
|
|
|
|
|
1011778
BC ULC/New Red Finance, Inc.: |
|
|
|
|
|
4.00%, 10/15/2030
(f)
|
|
|
5,600,000
|
|
4,547,480
|
4.38%, 1/15/2028
(f)
|
|
|
1,500,000
|
|
1,348,935
|
Abercrombie & Fitch Management Co. 8.75%, 7/15/2025
(f)
|
|
|
1,430,000
|
|
1,414,999
|
Asbury
Automotive Group, Inc.: |
|
|
|
|
|
4.75%,
3/1/2030
|
|
|
1,700,000
|
|
1,427,065
|
5.00%, 2/15/2032
(f)
|
|
|
1,400,000
|
|
1,154,944
|
Bath
& Body Works, Inc.: |
|
|
|
|
|
6.75%,
7/1/2036
|
|
|
1,280,000
|
|
1,122,035
|
6.88%,
11/1/2035
|
|
|
450,000
|
|
400,036
|
Bloomin' Brands, Inc./OSI Restaurant Partners LLC 5.13%, 4/15/2029
(f)
|
|
|
1,240,000
|
|
1,042,431
|
FirstCash, Inc. 5.63%, 1/1/2030
(f)
|
|
|
3,880,000
|
|
3,465,383
|
Foot Locker, Inc. 4.00%, 10/1/2029
(f)
|
|
|
1,170,000
|
|
921,609
|
Gap, Inc. 3.63%, 10/1/2029
(f)
|
|
|
5,000,000
|
|
3,558,100
|
Group 1 Automotive, Inc. 4.00%, 8/15/2028
(f)
|
|
|
1,200,000
|
|
1,020,240
|
KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of America LLC 4.75%, 6/1/2027
(f)
|
|
|
4,122,000
|
|
3,986,634
|
Macy's
Retail Holdings LLC: |
|
|
|
|
|
5.88%, 4/1/2029
(f)
|
|
|
1,050,000
|
|
933,996
|
5.88%, 3/15/2030
(f)
|
|
|
1,400,000
|
|
1,216,908
|
6.13%, 3/15/2032
(f)
|
|
|
2,130,000
|
|
1,790,329
|
Papa John's International, Inc. 3.88%, 9/15/2029
(f)
|
|
|
200,000
|
|
166,930
|
Patrick Industries, Inc. 4.75%, 5/1/2029
(f)
|
|
|
850,000
|
|
712,844
|
Sonic
Automotive, Inc.: |
|
|
|
|
|
4.63%, 11/15/2029
(f)
|
|
|
2,410,000
|
|
1,943,279
|
4.88%, 11/15/2031
(f)
|
|
|
800,000
|
|
629,832
|
See accompanying notes to financial statements.
43
SPDR BLACKSTONE
SENIOR LOAN ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2022 (Unaudited)
Security
Description |
|
|
Principal
Amount |
|
Value
|
Suburban Propane Partners L.P./Suburban Energy Finance Corp. 5.00%, 6/1/2031
(f)
|
|
|
$
780,000 |
|
$
667,696 |
Superior Plus L.P./Superior General Partner, Inc. 4.50%, 3/15/2029
(f)
|
|
|
1,210,000
|
|
1,039,112
|
|
|
|
|
|
34,510,817
|
SOFTWARE
— 0.1% |
|
|
|
|
|
Consensus
Cloud Solutions, Inc.: |
|
|
|
|
|
6.00%, 10/15/2026
(f)
|
|
|
1,300,000
|
|
1,226,459
|
6.50%, 10/15/2028
(f)
|
|
|
1,950,000
|
|
1,781,988
|
Fair
Isaac Corp.: |
|
|
|
|
|
4.00%, 6/15/2028
(f)
|
|
|
3,000,000
|
|
2,721,480
|
5.25%, 5/15/2026
(f)
|
|
|
1,500,000
|
|
1,468,905
|
MSCI, Inc. 3.88%, 2/15/2031
(f)
|
|
|
500,000
|
|
416,260
|
|
|
|
|
|
7,615,092
|
TELECOMMUNICATIONS
— 0.1% |
|
|
|
|
|
Hughes Satellite Systems Corp. 6.63%,
8/1/2026
|
|
|
3,540,000
|
|
3,304,271
|
ViaSat, Inc. 6.50%, 7/15/2028
(f)
|
|
|
1,914,000
|
|
1,466,182
|
|
|
|
|
|
4,770,453
|
TOTAL CORPORATE BONDS & NOTES (Cost
$309,601,200)
|
|
|
|
|
309,881,679
|
|
|
Shares
|
|
|
U.S.
TREASURY OBLIGATIONS — 2.5% |
|
|
|
|
U.S.
Treasury Bill: |
|
|
|
|
2.68%,
1/12/2023
|
|
25,000,000
|
24,978,297
|
|
4.00%,
1/26/2023
|
|
85,000,000
|
84,789,267
|
|
4.29%,
3/23/2023
|
|
40,000,000
|
39,627,702
|
|
TOTAL U.S. TREASURY OBLIGATIONS (Cost
$149,674,562)
|
|
|
149,395,266
|
|
Security
Description |
|
|
Shares
|
|
Value
|
SHORT-TERM
INVESTMENT — 5.9% |
|
|
|
|
|
State Street Institutional U.S. Government Money Market Fund, Class G Shares 4.16% (g) (h) (Cost
$350,922,450)
|
|
|
350,922,450
|
|
$
350,922,450 |
TOTAL INVESTMENTS — 100.7% (Cost
$6,173,143,928)
|
|
|
|
|
5,998,608,031
|
LIABILITIES IN EXCESS OF OTHER ASSETS —
(0.7)%
|
|
|
|
|
(44,536,826)
|
NET ASSETS —
100.0%
|
|
|
|
|
$
5,954,071,205 |
(a)
|
The
rate shown represents the rate at December 31, 2022. |
(b)
|
Variable
Rate Security - Interest rate shown is rate in effect at December 31, 2022. 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)
|
Position
is unsettled. Contract rate was not determined at December 31, 2022 and does not take effect until settlement date. Maturity date is not finalized until settlement date. |
(e)
|
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, 2022, total aggregate fair
value of the security is $5,944,290, representing 0.10% of the Fund's net assets. |
(f)
|
Securities
purchased pursuant to Rule 144A of the Securities Act of 1933, as amended. These securities, which represent 3.8% of net assets as of December 31, 2022, 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, 2022 are shown in the Affiliate Table below. |
(h)
|
The
rate shown is the annualized seven-day yield at December 31, 2022. |
CDI
|
CREST
Depository Interest |
CME
|
Chicago
Mercantile Exchange |
CVR
|
Contingent
Value Rights |
LIBOR
|
London
Interbank Offered Rate |
PIK
|
Payment
in Kind |
SOFR
|
Secured
Overnight Financing Rate |
See accompanying notes to financial statements.
44
SPDR BLACKSTONE
SENIOR LOAN ETF
SCHEDULE OF INVESTMENTS (continued)
December 31,
2022 (Unaudited)
At
December 31, 2022, the Fund had unfunded loan commitments of $10,813,190, which could be extended at the option of the borrowers, pursuant to the following loan agreements:
Borrower
|
|
Unfunded
Loan Commitment ($) |
|
Value
($) |
|
Unrealized
Appreciation/(Depreciation) ($) |
Pediatric
Associates Holding Company, LLC |
|
68,182
|
|
64,915
|
|
(3,267)
|
Athenahealth,
Inc. |
|
9,278,272
|
|
8,400,176
|
|
(878,096)
|
VT
Topco, Inc. |
|
244,514
|
|
237,689
|
|
(6,825)
|
AI
Aqua Merger Sub, Inc. |
|
1,222,222
|
|
1,153,979
|
|
(68,243)
|
|
|
$10,813,190
|
|
$9,856,759
|
|
$(956,431)
|
The following table summarizes the value of the Fund's
investments according to the fair value hierarchy as of December 31, 2022.
Description
|
|
Level
1 – Quoted Prices |
|
Level
2 – Other Significant Observable Inputs |
|
Level
3 – Significant Unobservable Inputs |
|
Total
|
ASSETS:
|
|
|
|
|
|
|
|
|
INVESTMENTS:
|
|
|
|
|
|
|
|
|
Corporate Bonds &
Notes
|
|
$
— |
|
$
309,881,679 |
|
$
— |
|
$
309,881,679 |
U.S. Treasury
Obligations
|
|
—
|
|
149,395,266
|
|
—
|
|
149,395,266
|
Common
Stocks
|
|
—
|
|
—
|
|
5,944,290
|
|
5,944,290
|
Senior Floating Rate
Loans
|
|
—
|
|
5,182,464,346
|
|
—
|
|
5,182,464,346
|
Short-Term
Investment
|
|
350,922,450
|
|
—
|
|
—
|
|
350,922,450
|
TOTAL
INVESTMENTS
|
|
$350,922,450
|
|
$5,641,741,291
|
|
$5,944,290
|
|
$5,998,608,031
|
LIABILITIES:
|
|
|
|
|
|
|
|
|
OTHER
FINANCIAL INSTRUMENTS: |
|
|
|
|
|
|
|
|
Unfunded
Loans(a)
|
|
—
|
|
(956,431)
|
|
—
|
|
(956,431)
|
TOTAL OTHER FINANCIAL
INSTRUMENTS:
|
|
$
— |
|
$
(956,431) |
|
$
— |
|
$
(956,431) |
(a)
|
Unfunded
loan commitments are valued at unrealized appreciation (depreciation). |
Affiliate Table
|
Number
of Shares Held at 6/30/22 |
|
Value
at 6/30/22 |
|
Cost
of Purchases |
|
Proceeds
from Shares Sold |
|
Realized
Gain (Loss) |
|
Change
in Unrealized Appreciation/ Depreciation |
|
Number
of Shares Held at 12/31/22 |
|
Value
at 12/31/22 |
|
Dividend
Income |
SPDR Bloomberg High Yield Bond
ETF
|
—
|
|
$
— |
|
$
25,027,937 |
|
$
24,446,819 |
|
$(581,118)
|
|
$—
|
|
—
|
|
$
— |
|
$
129,475 |
State Street Institutional U.S. Government Money Market Fund, Class G
Shares
|
910,350,809
|
|
910,350,809
|
|
2,489,173,927
|
|
3,048,602,286
|
|
—
|
|
—
|
|
350,922,450
|
|
350,922,450
|
|
5,439,203
|
Total
|
|
|
$910,350,809
|
|
$2,514,201,864
|
|
$3,073,049,105
|
|
$(581,118)
|
|
$—
|
|
|
|
$350,922,450
|
|
$5,568,678
|
See accompanying notes to financial statements.
45
SSGA ACTIVE
TRUST
STATEMENTS OF ASSETS AND LIABILITIES
December 31, 2022 (Unaudited)
|
SPDR
Blackstone High Income ETF |
|
SPDR
Blackstone Senior Loan ETF |
ASSETS
|
|
|
|
Investments in unaffiliated issuers, at
value
|
$
114,358,285 |
|
$
5,647,685,581 |
Investments in affiliated issuers, at
value
|
9,542,516
|
|
350,922,450
|
Total
Investments
|
123,900,801
|
|
5,998,608,031
|
Cash
|
380,395
|
|
28,464,092
|
Receivable for investments
sold
|
2,846,804
|
|
441,971,375
|
Dividends receivable — affiliated
issuers
|
35,216
|
|
1,234,910
|
Interest receivable — unaffiliated
issuers
|
1,491,872
|
|
48,051,767
|
Receivable for foreign taxes
recoverable
|
5,477
|
|
43,401
|
Other
Receivable
|
—
|
|
75,902
|
TOTAL ASSETS
|
128,660,565
|
|
6,518,449,478
|
LIABILITIES
|
|
|
|
Payable for investments
purchased
|
11,929,711
|
|
508,485,657
|
Payable for fund shares
repurchased
|
—
|
|
51,465,142
|
Unrealized depreciation on unfunded loan
commitments
|
3,630
|
|
956,431
|
Advisory fee
payable
|
62,916
|
|
3,470,948
|
Accrued expenses and other
liabilities
|
—
|
|
95
|
TOTAL LIABILITIES
|
11,996,257
|
|
564,378,273
|
NET ASSETS
|
$
116,664,308 |
|
$
5,954,071,205 |
NET
ASSETS CONSIST OF: |
|
|
|
Paid-in
Capital
|
$129,020,750
|
|
$
7,140,775,445 |
Total distributable earnings
(loss)
|
(12,356,442)
|
|
(1,186,704,240)
|
NET ASSETS
|
$
116,664,308 |
|
$
5,954,071,205 |
NET
ASSET VALUE PER SHARE |
|
|
|
Net asset value per
share
|
$
27.13 |
|
$
41.19 |
Shares outstanding (unlimited amount authorized, $0.01 par
value)
|
4,300,000
|
|
144,550,000
|
COST
OF INVESTMENTS: |
|
|
|
Investments in unaffiliated
issuers
|
$
117,850,441 |
|
$
5,822,221,478 |
Investments in affiliated
issuers
|
9,542,516
|
|
350,922,450
|
Total cost of
investments
|
$127,392,957
|
|
$
6,173,143,928 |
See accompanying notes to financial statements.
46
SSGA ACTIVE
TRUST
STATEMENTS OF OPERATIONS
For the Six Months Ended December 31, 2022 (Unaudited)
|
SPDR
Blackstone High Income ETF |
|
SPDR
Blackstone Senior Loan ETF |
INVESTMENT
INCOME |
|
|
|
Interest income — unaffiliated
issuers
|
$
4,275,483 |
|
$
254,440,483 |
Dividend income — affiliated
issuers
|
120,263
|
|
5,568,678
|
TOTAL INVESTMENT INCOME
(LOSS)
|
4,395,746
|
|
260,009,161
|
EXPENSES
|
|
|
|
Advisory
fee
|
415,147
|
|
25,459,615
|
Trustees’ fees and expenses
|
733
|
|
45,727
|
Miscellaneous
expenses
|
3,806
|
|
265,192
|
TOTAL
EXPENSES
|
419,686
|
|
25,770,534
|
Expenses waived/reimbursed by the
Adviser
|
(5,575)
|
|
(192,766)
|
NET
EXPENSES
|
414,111
|
|
25,577,768
|
NET INVESTMENT INCOME
(LOSS)
|
$
3,981,635 |
|
$
234,431,393 |
REALIZED
AND UNREALIZED GAIN (LOSS) |
|
|
|
Net
realized gain (loss) on: |
|
|
|
Investments — unaffiliated
issuers
|
(6,095,190)
|
|
(510,126,381)
|
Investments — affiliated
issuers
|
(3,290)
|
|
(581,118)
|
Net realized gain
(loss)
|
(6,098,480)
|
|
(510,707,499)
|
Net
change in unrealized appreciation/depreciation on: |
|
|
|
Investments — unaffiliated
issuers
|
5,846,766
|
|
425,649,131
|
Unfunded loan
commitments
|
(1,110)
|
|
381,566
|
Net change in unrealized
appreciation/depreciation
|
5,845,656
|
|
426,030,697
|
NET REALIZED AND UNREALIZED GAIN
(LOSS)
|
(252,824)
|
|
(84,676,802)
|
NET INCREASE (DECREASE) IN NET ASSETS FROM
OPERATIONS
|
$
3,728,811 |
|
$
149,754,591 |
See accompanying notes to financial statements.
47
SSGA ACTIVE
TRUST
STATEMENTS OF CHANGES IN NET ASSETS
|
SPDR
Blackstone High Income ETF |
|
SPDR
Blackstone Senior Loan ETF |
|
Six
Months Ended 12/31/22 (Unaudited) |
|
For
the Period 2/17/22*- 6/30/22 |
|
Six
Months Ended 12/31/22 (Unaudited) |
|
Year
Ended 6/30/22 |
INCREASE
(DECREASE) IN NET ASSETS FROM OPERATIONS: |
|
|
|
|
|
|
|
Net investment income
(loss)
|
$
3,981,635 |
|
$
2,126,689 |
|
$
234,431,393 |
|
$
375,689,558 |
Net realized gain
(loss)
|
(6,098,480)
|
|
(2,925,500)
|
|
(510,707,499)
|
|
(250,379,712)
|
Net change in unrealized
appreciation/depreciation
|
5,845,656
|
|
(9,341,442)
|
|
426,030,697
|
|
(698,437,560)
|
Net increase (decrease) in net assets resulting from
operations
|
3,728,811
|
|
(10,140,253)
|
|
149,754,591
|
|
(573,127,714)
|
Net equalization credits and
charges
|
(10,009)
|
|
294
|
|
1,160,238
|
|
1,321,939
|
Distributions to
shareholders
|
(4,397,000)
|
|
(1,548,000)
|
|
(251,791,500)
|
|
(384,792,728)
|
Return of
capital
|
—
|
|
—
|
|
—
|
|
(2,807,272)
|
Total Distributions to shareholders
|
(4,397,000)
|
|
(1,548,000)
|
|
(251,791,500)
|
|
(387,600,000)
|
FROM
BENEFICIAL INTEREST TRANSACTIONS: |
|
|
|
|
|
|
|
Proceeds from shares
sold
|
4,116,887
|
|
128,999,422
|
|
941,162,104
|
|
6,597,224,116
|
Cost of shares
redeemed
|
(4,102,865)
|
|
—
|
|
(3,357,350,934)
|
|
(3,482,041,836)
|
Net income
equalization
|
10,009
|
|
(294)
|
|
(1,160,238)
|
|
(1,321,939)
|
Other
Capital
|
6,898
|
|
408
|
|
12,053,464
|
|
11,592,704
|
Net increase (decrease) in net assets from beneficial interest transactions
|
30,929
|
|
128,999,536
|
|
(2,405,295,604)
|
|
3,125,453,045
|
Net increase (decrease) in net assets during the
period
|
(647,269)
|
|
117,311,577
|
|
(2,506,172,275)
|
|
2,166,047,270
|
Net assets at beginning of
period
|
117,311,577
|
|
—
|
|
8,460,243,480
|
|
6,294,196,210
|
NET ASSETS AT END OF
PERIOD
|
$116,664,308
|
|
$
117,311,577 |
|
$
5,954,071,205 |
|
$
8,460,243,480 |
SHARES
OF BENEFICIAL INTEREST: |
|
|
|
|
|
|
|
Shares
sold
|
150,000
|
|
4,300,000
|
|
22,350,000
|
|
145,850,000
|
Shares
redeemed
|
(150,000)
|
|
—
|
|
(80,050,000)
|
|
(79,550,000)
|
Net increase (decrease) from share
transactions
|
—
|
|
4,300,000
|
|
(57,700,000)
|
|
66,300,000
|
|
|
*
|
Commencement
of operations. |
See accompanying notes to financial statements.
48
SSGA ACTIVE
TRUST
FINANCIAL HIGHLIGHTS
Selected data for a share outstanding throughout each period
|
SPDR
Blackstone High Income ETF |
|
Six
Months Ended 12/31/22 (Unaudited) |
|
For
the Period 02/17/22*- 6/30/22 |
Net asset value, beginning of
period
|
$
27.28 |
|
$
30.00 |
Income
(loss) from investment operations: |
|
|
|
Net investment income (loss)
(a)
|
0.93
|
|
0.50
|
Net realized and unrealized gain (loss)
(b)
|
(0.05)
|
|
(2.86)
|
Total from investment
operations
|
0.88
|
|
(2.36)
|
Net equalization credits and charges
(a)
|
(0.00)(c)
|
|
0.00(c)
|
Other capital
(a)
|
0.00(c)
|
|
0.00(c)
|
Distributions
to shareholders from: |
|
|
|
Net investment
income
|
(1.03)
|
|
(0.36)
|
Net asset value, end of
period
|
$
27.13 |
|
$
27.28 |
Total return
(d)
|
3.25%
|
|
(7.93)%
|
Ratios
and Supplemental Data: |
|
|
|
Net assets, end of period (in
000s)
|
$116,664
|
|
$117,312
|
Ratios
to average net assets: |
|
|
|
Total
expenses
|
0.71%(e)
|
|
0.70%(e)
|
Net
expenses
|
0.70%(e)
|
|
0.70%(e)
|
Net investment income
(loss)
|
6.71%(e)
|
|
4.63%(e)
|
Portfolio turnover
rate
|
66%(f)
|
|
55%(f)
|
*
|
Commencement of operations.
|
(a)
|
Per share
numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the period. |
(b)
|
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)
|
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
Blackstone Senior Loan ETF |
|
Six
Months Ended 12/31/22 (Unaudited) |
|
Year
Ended 6/30/22 |
|
Year
Ended 6/30/21 |
|
Year
Ended 6/30/20(a) |
|
Year
Ended 6/30/19(a) |
|
Year
Ended 6/30/18(a) |
Net asset value, beginning of
period
|
$
41.83 |
|
$
46.30 |
|
$
43.36 |
|
$
46.25 |
|
$
47.04 |
|
$
47.41 |
Income
(loss) from investment operations: |
|
|
|
|
|
|
|
|
|
|
|
Net investment income (loss)
(b)
|
1.36
|
|
1.95
|
|
1.98
|
|
2.34
|
|
2.48
|
|
2.04
|
Net realized and unrealized gain (loss)
(c)
|
(0.59)
|
|
(4.44)
|
|
3.02
|
|
(3.06)
|
|
(0.86)
|
|
(0.50)
|
Total from investment
operations
|
0.77
|
|
(2.49)
|
|
5.00
|
|
(0.72)
|
|
1.62
|
|
1.54
|
Net equalization credits and charges
(b)
|
0.01
|
|
0.01
|
|
0.06
|
|
(0.04)
|
|
(0.03)
|
|
0.04
|
Contribution from
affiliate
|
—
|
|
—
|
|
0.00(d)
|
|
0.01
|
|
—
|
|
—
|
Other capital
(b)
|
0.07
|
|
0.06
|
|
0.02
|
|
0.21
|
|
0.09
|
|
0.02
|
Distributions
to shareholders from: |
|
|
|
|
|
|
|
|
|
|
|
Net investment
income
|
(1.49)
|
|
(2.04)
|
|
(2.14)
|
|
(2.35)
|
|
(2.47)
|
|
(1.97)
|
Return of
Capital
|
—
|
|
(0.01)
|
|
—
|
|
—
|
|
—
|
|
—
|
Total
distributions
|
(1.49)
|
|
(2.05)
|
|
—
|
|
—
|
|
—
|
|
—
|
Net asset value, end of
period
|
$
41.19 |
|
$
41.83 |
|
$
46.30 |
|
$
43.36 |
|
$
46.25 |
|
$
47.04 |
Total return
(e)
|
2.00%
|
|
(5.46)%
|
|
11.97%(f)
|
|
(1.23)%(f)
|
|
3.68%
|
|
3.43%
|
Ratios
and Supplemental Data: |
|
|
|
|
|
|
|
|
|
|
|
Net assets, end of period (in
000s)
|
$5,954,071
|
|
$8,460,243
|
|
$6,294,196
|
|
$1,433,094
|
|
$2,222,400
|
|
$3,189,624
|
Ratios
to average net assets: |
|
|
|
|
|
|
|
|
|
|
|
Total
expenses
|
0.71%(g)
|
|
0.70%
|
|
0.70%
|
|
0.70%
|
|
0.70%
|
|
0.70%
|
Net
expenses
|
0.70%(g)
|
|
0.70%
|
|
0.70%
|
|
—%
|
|
—%
|
|
—%
|
Net investment income
(loss)
|
6.45%(g)
|
|
4.33%
|
|
4.31%
|
|
5.17%
|
|
5.33%
|
|
4.30%
|
Portfolio turnover
rate
|
54%(h)
|
|
140%
|
|
176%
|
|
195%(i)
|
|
124%(i)
|
|
90%(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.
50
SSGA ACTIVE
TRUST
NOTES TO FINANCIAL STATEMENTS
December 31, 2022 (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, 2022, the Trust consists of fourteen (14)
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
Blackstone High Income ETF |
SPDR
Blackstone Senior Loan ETF |
SPDR
Blackstone High Income ETF was formed on February 16, 2022 and commenced operations on February 17, 2022.
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 and procedures developed by the Oversight Committee (the “Committee”) and approved by the Board. The Committee provides oversight of the valuation of
investments for the Funds. The Board has responsibility for overseeing the determination of the fair value of investments.
Valuation techniques used to value each Fund’s
investments by major category are as follows:
•
Investments in registered investment companies (including money market funds) or other unitized pooled investment vehicles that are not traded on an exchange are valued at that day’s published net asset value (“NAV”) per share
or unit.
•
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.
SSGA ACTIVE
TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
December 31, 2022 (Unaudited)
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 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, 2022, is disclosed in each Fund’s respective Schedule of Investments.
Investment Transactions and Income Recognition
Investment transactions are accounted for on the trade date
for financial reporting purposes. Realized gains and losses from the sale and disposition of investments are determined using the identified cost method.
Dividend income and capital gain distributions, if any, are
recognized 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, if any, received in the form of stock are recorded as dividend income at fair value.
Expenses
Certain expenses, which are directly identifiable to a
specific Fund, are applied to that Fund within the Trust. Other expenses which cannot be attributed to a specific Fund are allocated in such a manner as deemed equitable, taking into consideration the nature and type of expense and the relative net
assets of the Funds within the Trust. Class specific expenses are borne by each class.
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.
SSGA ACTIVE
TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
December 31, 2022 (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 Funds invest in Senior Loans. Senior Loans consist
generally of obligations of companies and other entities (collectively, “borrowers”) incurred for the purpose of reorganizing the assets and liabilities of a borrower; acquiring another company; taking over control of a company
(leveraged buyout); temporary refinancing; or financing internal growth or other general business purposes. Senior Loans are often obligations of borrowers who have incurred a significant percentage of debt compared to their total assets and thus
are highly leveraged. Funds do not treat the banks originating or acting as agents for the lenders, or granting or acting as intermediary in participation interests, in loans held by the Funds as the issuers of such loans.
4. Fees and Transactions with
Affiliates
Advisory Fee
The Trust, on behalf of each Fund, has entered into an
Investment Advisory Agreement with SSGA 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 High Income
ETF
|
0.70%
|
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 each Fund until October 31, 2023. 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, 2023, except with the approval of the Fund's Board of Trustees.
The Adviser pays all operating expenses of each 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 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.
SSGA ACTIVE
TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
December 31, 2022 (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, 2022 are disclosed in the Schedules of Investments.
5. Trustees’ Fees
The fees and expenses of the Independent Trustees and one
interested, non-management Trustee are paid directly by the Funds. The Independent Trustees and one interested, non-management Trustee 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, 2022, were as follows:
|
Purchases
|
|
Sales
|
SPDR Blackstone High Income
ETF
|
$
77,477,811 |
|
$
74,924,121 |
SPDR Blackstone Senior Loan
ETF
|
3,587,006,200
|
|
5,742,157,806
|
7. Shareholder
Transactions
Each Fund issues and redeems its shares, at
NAV, by each Fund only in aggregations of a specified number of shares or multiples thereof (“Creation Units”). Except when aggregated in Creation Units, shares of each Fund are not redeemable. Transactions in capital shares for each
Fund are disclosed in detail in the Statements of Changes in Net Assets.
The consideration for the purchase of Creation Units of a Fund
may consist of the in-kind deposit of a designated portfolio of securities and a specified amount of cash. Investors purchasing and redeeming Creation Units may pay a purchase transaction fee and a redemption transaction fee directly to the Trust
and/or custodian, to offset transfer and other transaction costs associated with the issuance and redemption of Creation Units, including Creation Units for cash. An additional variable fee may be charged for certain transactions. Such variable
charges, if any, are included in “Other Capital” on the Statements of Changes in Net Assets.
8. Income Tax Information
The SPDR Blackstone Senior Loan ETF has qualified and intends
to continue to qualify as aregulated investment company under Subchapter M of the Internal Revenue Code . The SPDR Blackstone High Income ETF intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue
Code.
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 December 31, 2022, SSGA FM has analyzed the Fund ’s tax positions taken on tax returns for all open years and does not believe there are any uncertain tax positions that
would require recognition of a tax liability.
Distributions to shareholders are recorded on ex-dividend
date. Income dividends and gain distributions are determined in accordance with income tax rules and regulations, which may differ from generally accepted accounting principles.
As of December 31, 2022, 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 High Income
ETF
|
$
127,369,049 |
|
$684,086
|
|
$
4,239,527 |
|
$
(3,555,441) |
SPDR Blackstone Senior Loan
ETF
|
6,209,771,349
|
|
—
|
|
211,148,991
|
|
(211,148,991)
|
SSGA ACTIVE
TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
December 31, 2022 (Unaudited)
9. Line of Credit
The Funds and other affiliated funds (each a
“Participant” and, collectively, the “Participants”) participate in a $1.275 billion ($1.1 billion prior to October 6,2022) revolving credit facility provided by a syndication of banks under which the Participants may borrow
to fund shareholder redemptions. The SPDR Blackstone Senior Loan ETF has exclusive access to $1.05 billion ($900 million prior to October 6, 2022) of the total credit facility. The SPDR Blackstone High Income ETF, along with other Participants, has
access to $200 million of the total credit facility. This agreement expires in October 2023 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. SPDR Blackstone Senior Loan ETF is allocated the commitment fee for its exclusive portion of
the credit line. Commitment fees are ordinary fund operating expenses paid by the Adviser. 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.
The Funds have no outstanding loans as of December 31,
2022.
The SPDR Blackstone Senior Loan ETF 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. The Adviser, on behalf of the Fund, paid an upfront fee to participate in this uncommitted line of credit.
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 they 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
The Funds 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 Funds have unsettled or open transactions defaults.
Market Risk
Market prices of investments held by a Fund will go up or
down, sometimes rapidly or unpredictably. A 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, inflation, changes in actual or perceived creditworthiness of issuers and general
market liquidity. Even if general economic conditions do not change, the value of an investment in a Fund could decline if the particular industries, sectors or companies in which the Fund invests do not perform well or are adversely affected by
events. Further, legal, political, regulatory and tax changes also may cause fluctuations in markets and securities prices. Local, regional or global events such as war, military conflicts, acts of terrorism, natural disasters, the spread of
infectious illness, such as COVID-19, or other public health issues, or other events could have a significant impact on a Fund and its investments.
SSGA ACTIVE
TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
December 31, 2022 (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 Funds through the date the financial statements were issued and has determined that there were no subsequent events requiring adjustment or disclosure in the financial statements.
SSGA ACTIVE
TRUST
OTHER INFORMATION
December 31, 2022 (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, 2022 to December 31, 2022.
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.
|
SPDR
Blackstone High Income ETF |
Annualized Expense
Ratio
|
0.70%
|
Actual:
|
|
Ending Account
Value
|
$1,032.50
|
Expenses Paid During
Period(a)
|
3.59
|
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. |
|
SPDR
Blackstone Senior Loan ETF |
Annualized Expense
Ratio
|
0.70%
|
Actual:
|
|
Ending Account
Value
|
$1,020.00
|
Expenses Paid During
Period(a)
|
3.56
|
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. |
SSGA ACTIVE
TRUST
OTHER INFORMATION (continued)
December 31, 2022 (Unaudited)
Premium/Discount Information
Information regarding how often the Shares of each Fund traded
on the exchange at a price above (i.e., at a premium) or below (i.e., at a discount) the NAV of the Fund during the past calendar year can be found at 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 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 Funds voted for the prior
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.
Shareholder Meeting Results
A Special Meeting of the Shareholders of SSGA Active Trust
(the “Shareholder Meeting”) was held on October 20, 2022. The purpose of the Shareholder Meeting was to ask shareholders to approve the election of Trustees. At the Shareholder Meeting, the shareholders of each Fund approved the election
of Trustees. The results of the voting are as follows:
Trustee
Nominee Name |
Shares
For |
Shares
Withheld |
Clare
S. Richer |
458,963,922.211
|
3,805,311.071
|
Sandra
G. Sponem |
458,912,867.553
|
3,856,365.729
|
Kristi
L. Rowsell |
459,030,936.405
|
3,738,296.877
|
Gunjan
Chauhan |
458,827,846.171
|
3,941,387.111
|
Carolyn
M. Clancy |
459,042,164.143
|
3,727,069.139
|
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).
Trustees
Gunjan Chauhan, Interested Trustee
Dwight D. Churchill
Carolyn M. Clancy
Clare S. Richer
James E. Ross, Interested Non-management Trustee
Kristi L. Rowsell
Sandra G. Sponem
Carl G. Verboncoeur, Chairman
Investment Manager and Administrator
SSGA Funds Management, Inc.
One Iron Street
Boston, MA
02210
Distributor
State Street Global Advisors Funds Distributors, LLC
One
Iron Street
Boston, MA 02210
Custodian, Sub-Administrator and Transfer Agent
State Street Bank and Trust Company
One Lincoln Street
Boston, MA 02111
Legal Counsel
Morgan, Lewis & Bockius LLP
1111 Pennsylvania Avenue,
NW
Washington, DC 20004
Independent Registered Public
Accounting Firm
Ernst & Young LLP
200 Clarendon
Street
Boston, MA 02116
The information contained in this report is
intended for the general information of shareholders of the Trust. This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current Trust prospectus which contains important information concerning
the Trust. You may obtain a current prospectus and SAI from the Distributor by calling 1-866-787-2257 or visiting https://www.ssga.com/spdrs. Please read the prospectus carefully before you invest.
For more complete information, please call 1.866.787.2257 or visit https://www.ssga.com/spdrs today.
State Street Global Advisors
One Iron Street
Boston,
MA 02210
ETFs trade like stocks, are subject to
investment risk, fluctuate in market value and may trade at prices above or below the ETF's net asset value. Brokerage commissions and ETF expenses will reduce returns.
Foreign investments involve greater risks than U.S.
investments, including political and economic risks and the risk of currency fluctuations, all of which may be magnified in emerging markets.
Bonds generally present less short-term risk and volatility
than stocks, but contain interest rate risk (as interest rates rise bond prices usually fall); issuer default risk; issuer credit risk; liquidity risk; and inflation risk. These effects are usually pronounced for longer-term securities. Any fixed
income security sold or redeemed prior to maturity may be subject to a substantial gain or loss.
Investing in commodities entail significant risk and is not
appropriate for all investors. Commodities investing entail significant risk as commodity prices can be extremely volatile due to wide range of factors. A few such factors include overall market movements, real or perceived inflationary trends,
commodity index volatility, international, economic and political changes, change in interest and currency exchange rates.
Past performance is no guarantee of future results. It is not
possible to invest directly in an index. Index performance does not reflect charges and expenses associated with the fund or brokerage commissions associated with buying and selling a fund. Index
performance is not meant to represent that of any particular fund.
Standard & Poor’s, S& P and SPDR are registered
trademarks of Standard & Poor’s Financial Services LLC (S&P); Dow Jones is a registered trademark of Dow Jones Trademark Holdings LLC (Dow Jones); and these trademarks have been licensed for use by S&P Dow Jones Indices LLC (SPDJI)
and sublicensed for certain purposes by State Street Corporation. State Street Corporation’s financial products are not sponsored, endorsed, sold or promoted by SPDJI, Dow Jones, S&P, their respective affiliates and third party licensors
and none of such parties make any representation regarding the advisability of investing in such product(s) nor do they have any liability in relation thereto, including for any errors, omissions, or interruptions of any index.
Distributor: State Street Global Advisors Funds Distributors,
LLC, member FINRA, SIPC, an indirect wholly owned subsidiary of State Street Corporation. References to State Street may include State Street Corporation and its affiliates. Certain State Street affiliates provide services and receive fees from the
SPDR ETFs.
SSGA Funds Management has retained Blackstone
Liquid Credit Strategies LLC as the Sub-Advisor. State Street Global Advisors Funds Distributors, LLC is not affiliated with Blackstone Liquid Credit Strategies LLC.
Before investing, consider a Fund’s investment objectives,
risks, charges and expenses. To obtain a prospectus or summary prospectus which contains this and other information, call 1.866.787.2257 or visit https://www.ssga.com/spdrs. Read it carefully.
Not FDIC Insured. No Bank Guarantee. May Lose Value.
The information contained in this report is
intended for the general information of shareholders of the Trust. This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current Trust prospectus which contains important information concerning
the Trust. You may obtain a current prospectus and SAI from the Distributor by calling 1-866-787-2257 or visiting https://www.ssga.com/spdrs. Please read the prospectus carefully before you invest.
© 2022 State Street Corporation - All Rights Reserved
SPDRGSOSAR
(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 registrants Board.
Item 11. Controls and Procedures.
(a) The
Trusts principal executive officer and principal financial officer have concluded that the Trusts disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of
1940, as amended (the 1940 Act)) are effective to provide reasonable assurance that information required to be disclosed by the Registrant on Form N-CSR is recorded, processed, summarized and
reported as of a date within 90 days of the filing date of this report, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended.
(b) There were no changes in the registrants internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrants internal control over financial
reporting.
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment
Companies.
(a) Not applicable to the registrant.
(b) Not applicable to the registrant.
Item 13.
Exhibits.
(a)(1) Not applicable to the registrant.
(a)(2) Separate certifications required by Rule 30a-2(a) under the 1940 Act for each principal
executive officer and principal financial officer of the registrant are attached.
(a)(3) Not applicable to the registrant.
(a)(4) Not applicable.
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 8, 2023
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 8, 2023
|
|
|
By: |
|
/s/ Bruce S. Rosenberg |
|
|
Bruce S. Rosenberg |
|
|
Treasurer and Principal Financial Officer |
Date: March 8, 2023