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NPORT-EX
3
NPORT_J9RG_72574698_0324.htm
Quarterly Report
March 31, 2024
SSGA Active Trust
SPDR SSGA Multi-Asset Real Return ETF
|
SPDR SSGA Income Allocation ETF
|
SPDR SSGA Global Allocation ETF
|
SPDR Blackstone High Income ETF
|
SPDR Blackstone Senior Loan ETF
|
SPDR SSGA Ultra Short Term Bond ETF
|
SPDR DoubleLine Total Return Tactical ETF
|
SPDR DoubleLine Emerging Markets Fixed Income ETF
|
SPDR DoubleLine Short Duration Total Return Tactical ETF
|
SPDR SSGA Fixed Income Sector Rotation ETF
|
SPDR SSGA US Sector Rotation ETF
|
SPDR Nuveen Municipal Bond ETF
|
SPDR Nuveen Municipal Bond ESG ETF
|
SPDR Loomis Sayles Opportunistic Bond ETF
|
The information contained in this
report is intended for the general information of shareholders of the Trust. This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current Trust prospectus which
contains important information concerning the Trust. You may obtain a current prospectus and SAI from the Distributor by calling 1-866-787-2257 or visiting https://www.ssga.com/spdrs. Please read the prospectus carefully before you invest.
The information contained in this report is intended
for the general information of shareholders of the Trust. This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current Trust prospectus which contains important
information concerning the Trust. You may obtain a current prospectus and SAI from the Distributor by calling 1-866-787-2257 or visiting https://www.ssga.com/spdrs. Please read the prospectus carefully before you invest.
SPDR SSGA MULTI-ASSET REAL RETURN ETF
SCHEDULE OF INVESTMENTS
March 31, 2024 (Unaudited)
Security Description
|
|
| Shares
|
| Value
|
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS — 100.0%
|
|
|
|
COMMODITIES — 17.0%
|
|
Invesco Optimum Yield Diversified Commodity Strategy No. K-1 ETF
|
|
| 6,620,588
|
| $91,827,554
|
DOMESTIC EQUITY — 6.7%
|
|
The Energy Select Sector SPDR Fund (a)(b)
|
|
| 383,592
|
| 36,214,921
|
DOMESTIC FIXED INCOME — 4.3%
|
|
SPDR Bloomberg 1-3 Month T-Bills ETF (a)
|
|
| 254,168
|
| 23,332,622
|
INFLATION LINKED — 8.0%
|
|
SPDR Bloomberg 1-10 Year TIPS ETF (a)
|
|
| 2,331,981
|
| 43,468,126
|
INTERNATIONAL EQUITY — 23.6%
|
|
SPDR S&P Global Infrastructure ETF (a)(b)
|
|
| 2,335,280
|
| 126,455,412
|
VanEck Agribusiness ETF (b)
|
|
| 18,099
|
| 1,359,778
|
|
|
|
|
| 127,815,190
|
INTERNATIONAL FIXED INCOME — 4.3%
|
|
SPDR FTSE International Government Inflation-Protected Bond ETF (a)
|
|
| 586,121
|
| 23,433,118
|
NATURAL RESOURCES — 35.1%
|
|
SPDR Gold MiniShares Trust (a)(c)
|
|
| 364,634
|
| 16,062,128
|
SPDR S&P Global Natural Resources ETF (a)(b)
|
|
| 2,724,475
|
| 157,828,837
|
SPDR S&P Metals & Mining ETF (a)(b)
|
|
| 272,735
|
| 16,440,466
|
|
|
|
|
| 190,331,431
|
REAL ESTATE — 1.0%
|
|
SPDR Dow Jones International Real Estate ETF (a)(b)
|
|
| 97,917
|
| 2,554,655
|
SPDR Dow Jones REIT ETF (a)(b)
|
|
| 27,486
|
| 2,590,556
|
|
|
|
|
| 5,145,211
|
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS
(Cost $550,544,189)
|
| 541,568,173
|
|
Security Description
|
|
| Shares
|
| Value
|
SHORT-TERM INVESTMENTS — 4.8%
|
|
|
|
State Street Institutional U.S. Government Money Market Fund, Class G Shares 5.30% (d)(e)
|
|
| 206,225
|
| $206,225
|
State Street Navigator Securities Lending Portfolio II (f)(g)
|
|
| 25,900,396
|
| 25,900,396
|
TOTAL SHORT-TERM INVESTMENTS
(Cost $26,106,621)
|
|
|
|
| $26,106,621
|
TOTAL INVESTMENTS — 104.8%
(Cost $576,650,810)
|
|
|
|
| 567,674,794
|
LIABILITIES IN EXCESS OF OTHER ASSETS — (4.8)%
|
|
|
|
| (25,942,745)
|
NET ASSETS — 100.0%
|
|
|
|
| $541,732,049
|
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 investments during the period ended March 31, 2024 are shown in the Affiliate Table below.
|
(b)
| All or a portion of the shares of the security are on loan at March 31, 2024.
|
(c)
| Non-income producing security.
|
(d)
| The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these investments during the period ended March 31, 2024 are shown in the
Affiliate Table below.
|
(e)
| The rate shown is the annualized seven-day yield at March 31, 2024.
|
(f)
| The Fund invested in an affiliated entity. Amounts related to these investments during the period ended March 31, 2024 are shown in the Affiliate Table below.
|
(g)
| Investment of cash collateral for securities loaned.
|
See accompanying notes to Schedule of
Investments.
1
SPDR SSGA MULTI-ASSET REAL RETURN ETF
SCHEDULE OF INVESTMENTS (continued)
March 31, 2024 (Unaudited)
The following table summarizes
the value of the Fund's investments according to the fair value hierarchy as of March 31, 2024.
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
|
| $541,568,173
|
| $—
|
| $—
|
| $541,568,173
|
Short-Term Investments
|
| 26,106,621
|
| —
|
| —
|
| 26,106,621
|
TOTAL INVESTMENTS
|
| $567,674,794
|
| $—
|
| $—
|
| $567,674,794
|
Affiliate Table
| Number of
Shares Held
at
6/30/23
|
| Value at
6/30/23
|
| Cost of
Purchases
|
| Proceeds
from
Shares Sold
|
| Realized
Gain (Loss)
|
| Change in
Unrealized
Appreciation/
Depreciation
|
| Number of
Shares Held
at
3/31/24
|
| Value at
3/31/24
|
| Dividend
Income
|
SPDR Bloomberg 1-10 Year TIPS ETF
| 2,108,232
|
| $38,917,963
|
| $21,917,438
|
| $17,841,924
|
| $(370,850)
|
| $845,499
|
| 2,331,981
|
| $43,468,126
|
| $728,094
|
SPDR Bloomberg 1-3 Month T-Bills ETF
| —
|
| —
|
| 26,791,786
|
| 3,527,098
|
| 1,088
|
| 66,846
|
| 254,168
|
| 23,332,622
|
| 103,837
|
SPDR Dow Jones International Real Estate ETF
| 106,095
|
| 2,627,973
|
| 994,360
|
| 1,241,850
|
| (42,488)
|
| 216,660
|
| 97,917
|
| 2,554,655
|
| 57,933
|
SPDR Dow Jones REIT ETF
| 118,899
|
| 10,753,226
|
| 1,137,434
|
| 9,436,234
|
| (526,578)
|
| 662,708
|
| 27,486
|
| 2,590,556
|
| 102,137
|
SPDR FTSE International Government Inflation-Protected Bond ETF
| 327,586
|
| 13,679,991
|
| 16,748,009
|
| 6,375,160
|
| 28,717
|
| (648,439)
|
| 586,121
|
| 23,433,118
|
| 659,685
|
SPDR Gold MiniShares Trust
| 276,756
|
| 10,541,636
|
| 10,070,456
|
| 6,755,088
|
| 442,965
|
| 1,762,159
|
| 364,634
|
| 16,062,128
|
| —
|
SPDR S&P Global Infrastructure ETF
| 2,501,429
|
| 133,501,265
|
| 52,847,647
|
| 62,195,879
|
| (581,488)
|
| 2,883,867
|
| 2,335,280
|
| 126,455,412
|
| 2,934,489
|
SPDR S&P Global Natural Resources ETF
| 2,741,886
|
| 147,815,074
|
| 62,228,298
|
| 64,120,130
|
| 162,723
|
| 11,742,872
|
| 2,724,475
|
| 157,828,837
|
| 2,588,120
|
SPDR S&P Metals & Mining ETF
| 332,119
|
| 16,878,288
|
| 5,742,545
|
| 9,104,915
|
| 1,117,780
|
| 1,806,768
|
| 272,735
|
| 16,440,466
|
| 107,578
|
State Street Institutional U.S. Government Money Market Fund, Class G Shares
| 21,584,135
|
| 21,584,135
|
| 22,603,887
|
| 43,981,797
|
| —
|
| —
|
| 206,225
|
| 206,225
|
| 945,385
|
State Street Navigator Securities Lending Portfolio II
| 32,724,798
|
| 32,724,798
|
| 638,429,704
|
| 645,254,106
|
| —
|
| —
|
| 25,900,396
|
| 25,900,396
|
| 168,296
|
The Energy Select Sector SPDR Fund
| 395,864
|
| 32,132,281
|
| 15,734,473
|
| 16,989,362
|
| 1,712,119
|
| 3,625,410
|
| 383,592
|
| 36,214,921
|
| 852,134
|
Total
|
|
| $461,156,630
|
| $875,246,037
|
| $886,823,543
|
| $1,943,988
|
| $22,964,350
|
|
|
| $474,487,462
|
| $9,247,688
|
See accompanying notes to Schedule of
Investments.
2
SPDR SSGA INCOME ALLOCATION ETF
SCHEDULE OF INVESTMENTS
March 31, 2024 (Unaudited)
Security Description
|
|
| Shares
|
| Value
|
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS — 100.5%
|
|
|
|
DOMESTIC EQUITY — 28.4%
|
|
iShares Mortgage Real Estate ETF (a)
|
|
| 64,884
|
| $1,507,905
|
Schwab U.S. Dividend Equity ETF
|
|
| 93,477
|
| 7,537,051
|
SPDR ICE Preferred Securities ETF (a)(b)
|
|
| 127,334
|
| 4,440,137
|
SPDR Portfolio S&P 500 High Dividend ETF (b)
|
|
| 187,038
|
| 7,614,317
|
|
|
|
|
| 21,099,410
|
DOMESTIC FIXED INCOME — 45.4%
|
|
SPDR Blackstone Senior Loan ETF (b)
|
|
| 104,859
|
| 4,415,612
|
SPDR Bloomberg 1-3 Month T-Bills ETF (b)
|
|
| 47,072
|
| 4,321,210
|
SPDR Bloomberg Convertible Securities ETF (a)(b)
|
|
| 40,801
|
| 2,980,105
|
SPDR Bloomberg High Yield Bond ETF (a)(b)
|
|
| 97,624
|
| 9,293,805
|
SPDR Portfolio Long Term Treasury ETF (b)
|
|
| 322,227
|
| 9,003,022
|
SPDR Portfolio Short Term Treasury ETF (b)
|
|
| 128,364
|
| 3,712,287
|
|
|
|
|
| 33,726,041
|
INFLATION LINKED — 3.0%
|
|
SPDR Bloomberg 1-10 Year TIPS ETF (b)
|
|
| 119,732
|
| 2,231,804
|
INTERNATIONAL EQUITY — 9.6%
|
|
SPDR S&P Global Infrastructure ETF (a)(b)
|
|
| 111,248
|
| 6,024,079
|
SPDR S&P International Dividend ETF (b)
|
|
| 31,742
|
| 1,115,731
|
|
|
|
|
| 7,139,810
|
INTERNATIONAL FIXED INCOME — 12.0%
|
|
SPDR Bloomberg Emerging Markets Local Bond ETF (a)(b)
|
|
| 216,384
|
| 4,435,872
|
Security Description
|
|
| Shares
|
| Value
|
SPDR Bloomberg Emerging Markets USD Bond ETF (a)
|
|
| 184,226
|
| $4,452,742
|
|
|
|
|
| 8,888,614
|
REAL ESTATE — 2.1%
|
|
SPDR Dow Jones REIT ETF (a)(b)
|
|
| 16,271
|
| 1,533,542
|
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS
(Cost $75,068,008)
|
| 74,619,221
|
|
SHORT-TERM INVESTMENT — 17.1%
|
|
|
|
State Street Navigator Securities Lending Portfolio II (c)(d)
(Cost $12,737,042)
|
|
| 12,737,042
|
| 12,737,042
|
TOTAL SHORT-TERM INVESTMENT
(Cost $12,737,042)
|
|
|
|
| $12,737,042
|
TOTAL INVESTMENTS — 117.6%
(Cost $87,805,050)
|
|
|
|
| 87,356,263
|
LIABILITIES IN EXCESS OF OTHER ASSETS — (17.6)%
|
|
|
|
| (13,097,493)
|
NET ASSETS — 100.0%
|
|
|
|
| $74,258,770
|
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 March 31, 2024.
|
(b)
| Affiliated fund managed by SSGA Funds Management, Inc. Amounts related to these investments during the period ended March 31, 2024 are shown in the Affiliate Table below.
|
(c)
| The Fund invested in an affiliated entity. Amounts related to these investments during the period ended March 31, 2024 are shown in the Affiliate Table below.
|
(d)
| 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 March 31, 2024.
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
|
| $74,619,221
|
| $—
|
| $—
|
| $74,619,221
|
Short-Term Investment
|
| 12,737,042
|
| —
|
| —
|
| 12,737,042
|
TOTAL INVESTMENTS
|
| $87,356,263
|
| $—
|
| $—
|
| $87,356,263
|
See accompanying notes to Schedule of
Investments.
3
SPDR SSGA INCOME ALLOCATION ETF
SCHEDULE OF INVESTMENTS (continued)
March 31, 2024 (Unaudited)
Affiliate Table
| Number of
Shares Held
at
6/30/23
|
| Value at
6/30/23
|
| Cost of
Purchases
|
| Proceeds
from
Shares Sold
|
| Realized
Gain (Loss)
|
| Change in
Unrealized
Appreciation/
Depreciation
|
| Number of
Shares Held
at
3/31/24
|
| Value at
3/31/24
|
| Dividend
Income
|
SPDR Blackstone Senior Loan ETF
| 173,309
|
| $7,256,448
|
| $1,390,038
|
| $4,260,088
|
| $(328,984)
|
| $358,198
|
| 104,859
|
| $4,415,612
|
| $443,017
|
SPDR Bloomberg 1-10 Year TIPS ETF
| —
|
| —
|
| 2,414,934
|
| 254,185
|
| 5,260
|
| 65,795
|
| 119,732
|
| 2,231,804
|
| 15,669
|
SPDR Bloomberg 1-3 Month T-Bills ETF
| —
|
| —
|
| 4,512,012
|
| 203,547
|
| 351
|
| 12,394
|
| 47,072
|
| 4,321,210
|
| 16,441
|
SPDR Bloomberg Convertible Securities ETF
| 52,305
|
| 3,658,735
|
| 600,953
|
| 1,431,133
|
| (79,463)
|
| 231,013
|
| 40,801
|
| 2,980,105
|
| 56,184
|
SPDR Bloomberg Emerging Markets Local Bond ETF
| 406,911
|
| 8,610,237
|
| 1,608,634
|
| 5,595,647
|
| (1,162,150)
|
| 974,798
|
| 216,384
|
| 4,435,872
|
| 309,049
|
SPDR Bloomberg Emerging Markets USD Bond ETF
| —
|
| —
|
| 4,844,448
|
| 431,472
|
| (975)
|
| 40,741
|
| 184,226
|
| 4,452,742
|
| 37,045
|
SPDR Bloomberg High Yield Bond ETF
| 93,779
|
| 8,630,481
|
| 7,075,776
|
| 6,553,564
|
| (155,751)
|
| 296,863
|
| 97,624
|
| 9,293,805
|
| 379,228
|
SPDR Bloomberg International Corporate Bond ETF
| 50,932
|
| 1,445,450
|
| 12,392
|
| 1,484,866
|
| 60,894
|
| (33,870)
|
| —
|
| —
|
| 2,463
|
SPDR Dow Jones REIT ETF
| 15,848
|
| 1,433,293
|
| 353,620
|
| 323,700
|
| 14,016
|
| 56,313
|
| 16,271
|
| 1,533,542
|
| 42,847
|
SPDR ICE Preferred Securities ETF
| 127,166
|
| 4,256,246
|
| 833,325
|
| 841,797
|
| (60,637)
|
| 253,000
|
| 127,334
|
| 4,440,137
|
| 211,597
|
SPDR Portfolio Long Term Treasury ETF
| 307,978
|
| 9,208,542
|
| 3,602,712
|
| 3,154,609
|
| (795,081)
|
| 141,458
|
| 322,227
|
| 9,003,022
|
| 246,333
|
SPDR Portfolio S&P 500 High Dividend ETF
| 134,956
|
| 5,004,168
|
| 6,140,924
|
| 4,309,177
|
| (131,839)
|
| 910,241
|
| 187,038
|
| 7,614,317
|
| 242,498
|
SPDR Portfolio Short Term Corporate Bond ETF
| —
|
| —
|
| 2,354,140
|
| 2,350,381
|
| (3,759)
|
| —
|
| —
|
| —
|
| 8,721
|
SPDR Portfolio Short Term Treasury ETF
| —
|
| —
|
| 4,076,028
|
| 347,670
|
| (348)
|
| (15,723)
|
| 128,364
|
| 3,712,287
|
| 25,486
|
SPDR S&P Global Infrastructure ETF
| 107,500
|
| 5,737,275
|
| 1,266,877
|
| 1,074,136
|
| (3,042)
|
| 97,105
|
| 111,248
|
| 6,024,079
|
| 138,663
|
SPDR S&P International Dividend ETF
| 163,925
|
| 5,637,381
|
| 512,593
|
| 5,120,926
|
| 120,396
|
| (33,713)
|
| 31,742
|
| 1,115,731
|
| 65,314
|
State Street Institutional U.S. Government Money Market Fund, Class G Shares
| 814,508
|
| 814,508
|
| 7,928,576
|
| 8,743,084
|
| —
|
| —
|
| —
|
| —
|
| 80,142
|
State Street Navigator Securities Lending Portfolio II
| 5,978,695
|
| 5,978,695
|
| 153,814,815
|
| 147,056,468
|
| —
|
| —
|
| 12,737,042
|
| 12,737,042
|
| 100,658
|
Total
|
|
| $67,671,459
|
| $203,342,797
|
| $193,536,450
|
| $(2,521,112)
|
| $3,354,613
|
|
|
| $78,311,307
|
| $2,421,355
|
See accompanying notes to Schedule of
Investments.
4
SPDR SSGA GLOBAL ALLOCATION ETF
SCHEDULE OF INVESTMENTS
March 31, 2024 (Unaudited)
Security Description
|
|
| Shares
|
| Value
|
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS — 94.3%
|
|
|
|
DOMESTIC EQUITY — 40.3%
|
|
SPDR Gold Shares (a)
|
|
| 23,760
|
| $4,887,907
|
SPDR Portfolio S&P 600 Small Cap ETF (a)
|
|
| 285,577
|
| 12,291,234
|
SPDR S&P 500 ETF Trust (a)
|
|
| 114,936
|
| 60,119,572
|
SPDR S&P MidCap 400 ETF Trust (a)
|
|
| 8,755
|
| 4,871,282
|
The Communication Services Select Sector SPDR Fund (a)
|
|
| 58,634
|
| 4,788,052
|
The Industrial Select Sector SPDR Fund (a)(b)
|
|
| 38,431
|
| 4,840,769
|
The Technology Select Sector SPDR Fund (a)
|
|
| 22,926
|
| 4,774,798
|
|
|
|
|
| 96,573,614
|
DOMESTIC FIXED INCOME — 18.0%
|
|
SPDR Blackstone Senior Loan ETF (a)
|
|
| 85,404
|
| 3,596,362
|
SPDR Bloomberg High Yield Bond ETF (a)(b)
|
|
| 163,489
|
| 15,564,153
|
SPDR Bloomberg International Treasury Bond ETF (a)(b)
|
|
| 214,641
|
| 4,773,616
|
SPDR Portfolio Aggregate Bond ETF (a)(b)
|
|
| 758,136
|
| 19,165,678
|
|
|
|
|
| 43,099,809
|
INFLATION LINKED — 4.0%
|
|
SPDR Bloomberg 1-10 Year TIPS ETF (a)
|
|
| 514,001
|
| 9,580,979
|
INTERNATIONAL EQUITY — 24.5%
|
|
SPDR Portfolio Developed World ex-U.S. ETF (a)
|
|
| 837,997
|
| 30,033,812
|
SPDR Portfolio Emerging Markets ETF (a)(b)
|
|
| 597,005
|
| 21,605,611
|
SPDR S&P International Small Cap ETF (a)(b)
|
|
| 222,562
|
| 7,228,814
|
|
|
|
|
| 58,868,237
|
INTERNATIONAL FIXED INCOME — 7.5%
|
|
SPDR Bloomberg Emerging Markets Local Bond ETF (a)(b)
|
|
| 348,563
|
| 7,145,542
|
SPDR Bloomberg Emerging Markets USD Bond ETF (a)
|
|
| 148,221
|
| 3,582,502
|
Security Description
|
|
| Shares
|
| Value
|
SPDR Bloomberg International Corporate Bond ETF (a)
|
|
| 246,252
|
| $7,168,396
|
|
|
|
|
| 17,896,440
|
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS
(Cost $199,310,818)
|
| 226,019,079
|
|
SHORT-TERM INVESTMENTS — 19.4%
|
|
|
|
State Street Institutional U.S. Government Money Market Fund, Class G Shares 5.30% (c)(d)
|
|
| 13,346,512
|
| $13,346,512
|
State Street Navigator Securities Lending Portfolio II (e)(f)
|
|
| 33,031,404
|
| 33,031,404
|
TOTAL SHORT-TERM INVESTMENTS
(Cost $46,377,916)
|
|
|
|
| $46,377,916
|
TOTAL INVESTMENTS — 113.7%
(Cost $245,688,734)
|
|
|
|
| 272,396,995
|
LIABILITIES IN EXCESS OF OTHER ASSETS — (13.7)%
|
|
|
|
| (32,776,528)
|
NET ASSETS — 100.0%
|
|
|
|
| $239,620,467
|
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 investments during the period ended March 31, 2024 are shown in the Affiliate Table below.
|
(b)
| All or a portion of the shares of the security are on loan at March 31, 2024.
|
(c)
| The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these investments during the period ended March 31, 2024 are shown in the
Affiliate Table below.
|
(d)
| The rate shown is the annualized seven-day yield at March 31, 2024.
|
(e)
| The Fund invested in an affiliated entity. Amounts related to these investments during the period ended March 31, 2024 are shown in the Affiliate Table below.
|
(f)
| Investment of cash collateral for securities loaned.
|
See accompanying notes to Schedule of
Investments.
5
SPDR SSGA GLOBAL ALLOCATION ETF
SCHEDULE OF INVESTMENTS (continued)
March 31, 2024 (Unaudited)
The following table summarizes
the value of the Fund's investments according to the fair value hierarchy as of March 31, 2024.
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
|
| $226,019,079
|
| $—
|
| $—
|
| $226,019,079
|
Short-Term Investments
|
| 46,377,916
|
| —
|
| —
|
| 46,377,916
|
TOTAL INVESTMENTS
|
| $272,396,995
|
| $—
|
| $—
|
| $272,396,995
|
Affiliate Table
| Number of
Shares Held
at
6/30/23
|
| Value at
6/30/23
|
| Cost of
Purchases
|
| Proceeds
from
Shares Sold
|
| Realized
Gain (Loss)
|
| Change in
Unrealized
Appreciation/
Depreciation
|
| Number of
Shares Held
at
3/31/24
|
| Value at
3/31/24
|
| Dividend
Income
|
SPDR Blackstone Senior Loan ETF
| 83,240
|
| $3,485,259
|
| $739,628
|
| $648,220
|
| $2,565
|
| $17,130
|
| 85,404
|
| $3,596,362
|
| $233,427
|
SPDR Bloomberg 1-10 Year TIPS ETF
| 740,764
|
| 13,674,503
|
| 2,555,374
|
| 6,742,720
|
| (520,218)
|
| 614,040
|
| 514,001
|
| 9,580,979
|
| 274,464
|
SPDR Bloomberg Emerging Markets Local Bond ETF
| 325,324
|
| 6,883,856
|
| 1,499,760
|
| 999,612
|
| (15,573)
|
| (222,889)
|
| 348,563
|
| 7,145,542
|
| 279,834
|
SPDR Bloomberg Emerging Markets USD Bond ETF
| —
|
| —
|
| 3,666,907
|
| 117,780
|
| 352
|
| 33,023
|
| 148,221
|
| 3,582,502
|
| 29,569
|
SPDR Bloomberg High Yield Bond ETF
| 50,020
|
| 4,603,341
|
| 16,159,774
|
| 5,207,739
|
| (147,321)
|
| 156,098
|
| 163,489
|
| 15,564,153
|
| 254,315
|
SPDR Bloomberg International Corporate Bond ETF
| 244,384
|
| 6,935,618
|
| 1,231,856
|
| 1,159,712
|
| 9,961
|
| 150,673
|
| 246,252
|
| 7,168,396
|
| 127,830
|
SPDR Bloomberg International Treasury Bond ETF
| 507,878
|
| 11,452,649
|
| 8,789,925
|
| 15,591,556
|
| 19,014
|
| 103,584
|
| 214,641
|
| 4,773,616
|
| 80,126
|
SPDR Gold Shares
| 37,649
|
| 6,711,687
|
| 3,263,672
|
| 5,733,616
|
| (134,736)
|
| 780,900
|
| 23,760
|
| 4,887,907
|
| —
|
SPDR Portfolio Aggregate Bond ETF
| 270,297
|
| 6,857,435
|
| 32,891,919
|
| 20,832,390
|
| (41,156)
|
| 289,870
|
| 758,136
|
| 19,165,678
|
| 325,478
|
SPDR Portfolio Developed World ex-U.S. ETF
| 1,116,902
|
| 36,343,991
|
| 7,929,131
|
| 17,564,085
|
| 1,561,405
|
| 1,763,370
|
| 837,997
|
| 30,033,812
|
| 380,320
|
SPDR Portfolio Emerging Markets ETF
| 462,602
|
| 15,904,257
|
| 7,822,412
|
| 3,190,415
|
| (51,109)
|
| 1,120,466
|
| 597,005
|
| 21,605,611
|
| 326,699
|
SPDR Portfolio Europe ETF
| 384,632
|
| 14,812,178
|
| 2,741,323
|
| 17,370,706
|
| 1,273,915
|
| (1,456,710)
|
| —
|
| —
|
| —
|
SPDR Portfolio Intermediate Term Treasury ETF
| —
|
| —
|
| 5,989,795
|
| 6,131,355
|
| 141,560
|
| —
|
| —
|
| —
|
| 50,916
|
SPDR Portfolio Long Term Treasury ETF
| 154,046
|
| 4,605,975
|
| 3,804,660
|
| 7,918,920
|
| (579,132)
|
| 87,417
|
| —
|
| —
|
| 51,819
|
SPDR Portfolio S&P 600 Small Cap ETF
| 148,000
|
| 5,748,320
|
| 9,990,889
|
| 4,252,639
|
| 74,862
|
| 729,802
|
| 285,577
|
| 12,291,234
|
| 149,890
|
SPDR S&P 500 ETF Trust
| 125,343
|
| 55,562,045
|
| 32,430,575
|
| 38,078,021
|
| 4,786,646
|
| 5,418,327
|
| 114,936
|
| 60,119,572
|
| 637,882
|
SPDR S&P International Small Cap ETF
| 220,444
|
| 6,725,747
|
| 1,191,845
|
| 1,125,526
|
| (10,741)
|
| 447,489
|
| 222,562
|
| 7,228,814
|
| 82,725
|
SPDR S&P MidCap 400 ETF Trust
| 9,792
|
| 4,689,487
|
| 622,520
|
| 1,152,919
|
| 281,626
|
| 430,568
|
| 8,755
|
| 4,871,282
|
| 42,511
|
State Street Institutional U.S. Government Money Market Fund, Class G Shares
| 10,331,839
|
| 10,331,839
|
| 24,588,736
|
| 21,574,063
|
| —
|
| —
|
| 13,346,512
|
| 13,346,512
|
| 530,276
|
State Street Navigator Securities Lending Portfolio II
| 41,508,999
|
| 41,508,999
|
| 1,416,475,464
|
| 1,424,953,059
|
| —
|
| —
|
| 33,031,404
|
| 33,031,404
|
| 205,228
|
The Communication Services Select Sector SPDR Fund
| —
|
| —
|
| 14,257,568
|
| 9,934,352
|
| 322,857
|
| 141,979
|
| 58,634
|
| 4,788,052
|
| 24,269
|
The Consumer Discretionary Select Sector SPDR Fund
| 28,532
|
| 4,845,019
|
| 2,543,790
|
| 7,177,879
|
| (21,964)
|
| (188,966)
|
| —
|
| —
|
| 8,266
|
The Consumer Staples Select Sector SPDR Fund
| —
|
| —
|
| 4,776,907
|
| 4,587,682
|
| (189,225)
|
| —
|
| —
|
| —
|
| —
|
The Energy Select Sector SPDR Fund
| —
|
| —
|
| 5,678,771
|
| 5,215,782
|
| (462,989)
|
| —
|
| —
|
| —
|
| 79,653
|
The Financial Select Sector SPDR Fund
| —
|
| —
|
| 6,971,254
|
| 7,390,259
|
| 419,005
|
| —
|
| —
|
| —
|
| 61
|
The Health Care Select Sector SPDR Fund
| 35,191
|
| 4,670,901
|
| —
|
| 4,583,236
|
| (8,069)
|
| (79,596)
|
| —
|
| —
|
| —
|
The Industrial Select Sector SPDR Fund
| 44,587
|
| 4,785,077
|
| 12,146,646
|
| 12,256,435
|
| 263,452
|
| (97,971)
|
| 38,431
|
| 4,840,769
|
| 33,670
|
The Materials Select Sector SPDR Fund
| —
|
| —
|
| 7,023,471
|
| 6,964,559
|
| (58,912)
|
| —
|
| —
|
| —
|
| —
|
The Technology Select Sector SPDR Fund
| —
|
| —
|
| 4,769,974
|
| 788,811
|
| 69,928
|
| 723,707
|
| 22,926
|
| 4,774,798
|
| 18,147
|
Total
|
|
| $271,138,183
|
| $1,642,554,546
|
| $1,659,244,048
|
| $6,986,003
|
| $10,962,311
|
|
|
| $272,396,995
|
| $4,227,375
|
See accompanying notes to Schedule of
Investments.
6
SPDR BLACKSTONE HIGH INCOME ETF
Schedule of Investments
March 31, 2024 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
SENIOR FLOATING RATE LOANS — 47.0%
|
|
ADVERTISING SERVICES — 0.4%
|
|
ABG Intermediate Holdings 2 LLC
2021 Term Loan B1 1 mo. USD Term SOFR + 3.50%, 8.93%, 12/21/2028 (a)
|
|
| $222,239
|
| $223,351
|
CMG Media Corp.
2021 Term Loan 3 mo. USD Term SOFR + 3.50%, 8.82%, 12/17/2026 (a)
|
|
| 61,713
|
| 53,972
|
Wood Mackenzie Ltd.
2024 Term Loan B 3 mo. USD Term SOFR + 3.50%, 8.81%, 1/31/2031 (a)
|
|
| 300,000
|
| 301,332
|
|
|
|
|
| 578,655
|
AEROSPACE & DEFENSE — 0.4%
|
|
Dynasty Acquisition Co., Inc.:
|
|
|
|
|
|
2024 Term Loan B1 (b)
|
|
| 230,872
|
| 231,471
|
2024 Term Loan B2 (b)
|
|
| 94,445
|
| 94,691
|
Kaman Corp.
2024 Term Loan (b)
|
|
| 260,000
|
| 260,569
|
|
|
|
|
| 586,731
|
AIR FREIGHT & LOGISTICS — 0.3%
|
|
Worldwide Express Operations LLC
2021 1st Lien Term Loan 3 mo. USD Term SOFR + 4.00%, 9.57%, 7/26/2028 (a)
|
|
| 469,353
|
| 467,727
|
AIRLINES — 0.2%
|
|
Kestrel Bidco, Inc.
Term Loan B 1 mo. USD Term SOFR + 3.00%, 8.43%, 12/11/2026 (a)
|
|
| 7,454
|
| 7,461
|
United Airlines, Inc.
2024 Term Loan B 3 mo. USD Term SOFR + 2.75%, 8.08%, 2/15/2031 (a)
|
|
| 285,000
|
| 285,801
|
|
|
|
|
| 293,262
|
AUTO COMPONENTS — 0.1%
|
|
BBB Industries LLC
2022 Term Loan 1 mo. USD Term SOFR + 5.25%, 10.68%, 7/25/2029 (a)
|
|
| 100,857
|
| 96,634
|
AUTO PARTS & EQUIPMENT — 0.5%
|
|
Clarios Global LP
2024 Term Loan B 1 mo. USD Term SOFR + 3.00%, 8.33%, 5/6/2030 (a)
|
|
| 174,375
|
| 175,029
|
First Brands Group LLC:
|
|
|
|
|
|
2021 Term Loan 3 mo. USD Term SOFR + 5.00%, 10.57%, 3/30/2027 (a)
|
|
| 14,389
|
| 14,429
|
Security Description
|
|
| Principal
Amount
|
| Value
|
2022 Incremental Term Loan 3 mo. USD Term SOFR + 5.00%, 10.57%, 3/30/2027 (a)
|
|
| $245,716
|
| $246,176
|
Tenneco, Inc.
2022 Term Loan B 3 mo. USD Term SOFR + 5.00%, 10.42%, 11/17/2028 (a)
|
|
| 328,359
|
| 309,841
|
|
|
|
|
| 745,475
|
BEVERAGES — 0.5%
|
|
Triton Water Holdings, Inc.
Term Loan 3 mo. USD Term SOFR + 3.25%, 8.86%, 3/31/2028 (a)
|
|
| 693,616
|
| 687,204
|
BUILDING MATERIALS — 0.5%
|
|
LHS Borrower LLC
2022 Term Loan B 1 mo. USD Term SOFR + 4.75%, 10.18%, 2/16/2029 (a)
|
|
| 186,836
|
| 178,895
|
MI Windows and Doors LLC
2024 Term Loan B2 (b)
|
|
| 325,000
|
| 326,930
|
Tamko Building Products LLC
2023 Term Loan 3 mo. USD Term SOFR + 3.50%, 8.83%, 9/20/2030 (a)
|
|
| 247,560
|
| 247,870
|
|
|
|
|
| 753,695
|
BUILDING PRODUCTS — 0.9%
|
|
ACProducts, Inc.
2021 Term Loan B 3 mo. USD Term SOFR + 4.25%, 9.86%, 5/17/2028 (a)
|
|
| 207,827
|
| 190,227
|
Chamberlain Group, Inc.
Term Loan B 1 mo. USD Term SOFR + 3.25%, 8.68%, 11/3/2028 (a)
|
|
| 364,117
|
| 364,050
|
Cornerstone Building Brands, Inc.
2021 Term Loan B 1 mo. USD Term SOFR + 3.25%, 8.68%, 4/12/2028 (a)
|
|
| 379,319
|
| 378,027
|
Oscar AcquisitionCo LLC
Term Loan B 3 mo. USD Term SOFR + 4.50%, 9.95%, 4/29/2029 (a)
|
|
| 378,439
|
| 379,860
|
|
|
|
|
| 1,312,164
|
CAPITAL MARKETS — 0.1%
|
|
AqGen Island Holdings, Inc.
Term Loan 1 mo. USD Term SOFR + 3.50%, 8.94%, 8/2/2028 (a)
|
|
| 207,591
|
| 207,098
|
CHEMICALS — 0.4%
|
|
Nouryon Finance BV
2023 USD Term Loan B 3 mo. USD Term SOFR + 4.00%, 9.31%, 4/3/2028 (a)
|
|
| 429,898
|
| 431,778
|
See accompanying notes to Schedule of
Investments.
7
SPDR BLACKSTONE HIGH INCOME ETF
Schedule of Investments (continued)
March 31, 2024 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
PMHC II, Inc.
2022 Term Loan B 3 mo. USD Term SOFR + 4.25%, 9.72%, 4/23/2029 (a)
|
|
| $194,342
|
| $192,660
|
|
|
|
|
| 624,438
|
COMMERCIAL SERVICES — 3.7%
|
|
AlixPartners LLP
2021 USD Term Loan B 1 mo. USD Term SOFR + 2.50%, 7.94%, 2/4/2028 (a)
|
|
| 101,142
|
| 101,382
|
Allied Universal Holdco LLC
2021 USD Incremental Term Loan B 1 mo. USD Term SOFR + 3.75%, 9.18%, 5/12/2028 (a)
|
|
| 488,963
|
| 488,917
|
Camelot U.S. Acquisition LLC
2024 Term Loan B 1 mo. USD Term SOFR + 2.75%, 8.08%, 1/31/2031 (a)
|
|
| 294,732
|
| 294,953
|
CoreLogic, Inc.
Term Loan 1 mo. USD Term SOFR + 3.50%, 8.94%, 6/2/2028 (a)
|
|
| 158,699
|
| 155,563
|
Fugue Finance BV
2024 USD Term Loan B 3 mo. USD Term SOFR + 3.75%, 9.07%, 2/26/2031 (a)
|
|
| 115,000
|
| 115,431
|
Groundworks LLC
2024 Term Loan (b)
|
|
| 126,684
|
| 126,864
|
GTCR W Merger Sub LLC
USD Term Loan B 1 mo. USD Term SOFR + 3.00%, 8.31%, 1/31/2031 (a)
|
|
| 273,005
|
| 274,314
|
Homeserve USA Holding Corp.
Term Loan 1 mo. USD Term SOFR + 3.00%, 8.33%, 10/21/2030 (a)
|
|
| 172,238
|
| 172,863
|
Mavis Tire Express Services Topco Corp.
2024 Term Loan B 1 mo. USD Term SOFR + 3.75%, 9.08%, 5/4/2028 (a)
|
|
| 619,533
|
| 621,292
|
Neptune Bidco U.S., Inc.
2022 USD Term Loan B 3 mo. USD Term SOFR + 5.00%, 10.42%, 4/11/2029 (a)
|
|
| 715,834
|
| 661,656
|
OMNIA Partners LLC
2024 Term Loan B 3 mo. USD Term SOFR + 3.75%, 9.07%, 7/25/2030 (a)
|
|
| 397,253
|
| 399,549
|
PG Investment Co. 59 SARL
Term Loan B (b)
|
|
| 430,000
|
| 431,344
|
Spring Education Group, Inc.
Term Loan 3 mo. USD Term SOFR + 4.50%, 9.81%, 10/4/2030 (a)
|
|
| 119,700
|
| 120,343
|
Security Description
|
|
| Principal
Amount
|
| Value
|
Thevelia (US) LLC
2024 USD Term Loan B 3 mo. USD Term SOFR + 3.75%, 9.06%, 6/18/2029 (a)
|
|
| $503,363
|
| $504,858
|
Verscend Holding Corp.
2021 Term Loan B 1 mo. USD Term SOFR + 4.00%, 9.44%, 8/27/2025 (a)
|
|
| 1,503
|
| 1,505
|
VT Topco, Inc.:
|
|
|
|
|
|
2023 Term Loan B 1 mo. USD Term SOFR + 4.25%, 9.58%, 8/9/2030 (a)
|
|
| 438
|
| 439
|
2024 Term Loan B (b)
|
|
| 324,562
|
| 325,838
|
Wand NewCo 3, Inc.
2024 Term Loan B 1 mo. USD Term SOFR + 3.75%, 9.08%, 1/30/2031 (a)
|
|
| 680,000
|
| 682,710
|
|
|
|
|
| 5,479,821
|
COMMERCIAL SERVICES & SUPPLIES — 2.4%
|
|
Asurion LLC:
|
|
|
|
|
|
2020 Term Loan B8 1 wk. USD Term SOFR + 3.25%, 8.69%, 12/23/2026 (a)
|
|
| 284,978
|
| 279,888
|
2021 Second Lien Term Loan B4 1 mo. USD Term SOFR + 5.25%, 10.69%, 1/20/2029 (a)
|
|
| 835,165
|
| 751,194
|
2021 Term Loan B9 1 mo. USD Term SOFR + 3.25%, 8.69%, 7/31/2027 (a)
|
|
| 554,224
|
| 533,936
|
2022 Term Loan B10 1 mo. USD Term SOFR + 4.00%, 9.43%, 8/19/2028 (a)
|
|
| 179,136
|
| 172,978
|
Garda World Security Corp.
2022 Term Loan B 3 mo. USD Term SOFR + 4.25%, 9.58%, 2/1/2029 (a)
|
|
| 777,020
|
| 779,452
|
McGraw-Hill Global Education Holdings LLC
2021 Term Loan 1 mo. USD Term SOFR + 4.75%, 10.19%, 7/28/2028 (a)
|
|
| 841,207
|
| 843,760
|
Packaging Coordinators Midco, Inc.
2020 1st Lien Term Loan 3 mo. USD Term SOFR + 3.50%, 9.07%, 11/30/2027 (a)
|
|
| 186,699
|
| 187,309
|
|
|
|
|
| 3,548,517
|
COMMUNICATIONS EQUIPMENT — 0.1%
|
|
Zayo Group Holdings, Inc.
USD Term Loan 1 mo. USD Term SOFR + 3.00%, 8.44%, 3/9/2027 (a)
|
|
| 201,711
|
| 177,563
|
See accompanying notes to Schedule of
Investments.
8
SPDR BLACKSTONE HIGH INCOME ETF
Schedule of Investments (continued)
March 31, 2024 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
COMPUTERS — 0.5%
|
|
Magenta Buyer LLC
2021 USD 1st Lien Term Loan 3 mo. USD Term SOFR + 5.00%, 10.57%, 7/27/2028 (a)
|
|
| $131,797
|
| $79,078
|
Vision Solutions, Inc.
2021 Incremental Term Loan 3 mo. USD Term SOFR + 4.00%, 9.59%, 4/24/2028 (a)
|
|
| 625,891
|
| 627,522
|
|
|
|
|
| 706,600
|
CONSTRUCTION & ENGINEERING — 0.7%
|
|
Artera Services LLC
2024 Term Loan 3 mo. USD Term SOFR + 4.50%, 9.81%, 2/15/2031 (a)
|
|
| 340,000
|
| 341,700
|
Brown Group Holding LLC:
|
|
|
|
|
|
2022 Incremental Term Loan B2 3 mo. USD Term SOFR + 3.00%, 8.38%, 7/2/2029 (a)
|
|
| 53,130
|
| 53,194
|
Term Loan B 1 mo. USD Term SOFR + 2.75%, 8.18%, 6/7/2028 (a)
|
|
| 166,090
|
| 166,165
|
KKR Apple Bidco LLC
2021 Term Loan 1 mo. USD Term SOFR + 2.75%, 8.19%, 9/22/2028 (a)
|
|
| 270,913
|
| 270,998
|
Radar Bidco SARL
2024 USD Term Loan B (b)
|
|
| 135,000
|
| 135,169
|
|
|
|
|
| 967,226
|
CONSUMER FINANCE — 0.2%
|
|
Amentum Government Services Holdings LLC
Term Loan B 1 mo. USD Term SOFR + 4.00%, 9.44%, 1/29/2027 (a)
|
|
| 348,651
|
| 349,959
|
CONTAINERS & PACKAGING — 1.3%
|
|
Berlin Packaging LLC
2021 Term Loan B5 1 mo. USD Term SOFR + 3.75%, 9.19%, 3/11/2028 (a)
|
|
| 125,312
|
| 125,610
|
Charter NEX US, Inc.
2024 Term Loan B 1 mo. USD Term SOFR + 3.50%, 8.83%, 12/1/2027 (a)
|
|
| 374,171
|
| 375,277
|
Clydesdale Acquisition Holdings, Inc.
Term Loan B 1 mo. USD Term SOFR + 3.68%, 9.11%, 4/13/2029 (a)
|
|
| 624,005
|
| 625,565
|
Graham Packaging Co., Inc.
2021 Term Loan 1 mo. USD Term SOFR + 3.00%, 8.44%, 8/4/2027 (a)
|
|
| 50,148
|
| 50,195
|
Proampac PG Borrower LLC
2023 Term Loan (b)
|
|
| 374,224
|
| 374,224
|
Security Description
|
|
| Principal
Amount
|
| Value
|
Supplyone, Inc.
2024 Term Loan B (b)
|
|
| $230,000
|
| $229,282
|
Trident TPI Holdings, Inc.
2021 Term Loan B3 3 mo. USD Term SOFR + 4.00%, 9.57%, 9/15/2028 (a)
|
|
| 78,500
|
| 78,626
|
|
|
|
|
| 1,858,779
|
COSMETICS & TOILETRIES — 0.1%
|
|
Solis IV BV
USD Term Loan B1 3 mo. USD Term SOFR + 3.50%, 8.82%, 2/26/2029 (a)
|
|
| 145,074
|
| 143,657
|
DISTRIBUTION/WHOLESALE — 0.7%
|
|
Fastlane Parent Co., Inc.
2023 Term Loan B 1 mo. USD Term SOFR + 4.50%, 9.83%, 9/29/2028 (a)
|
|
| 374,510
|
| 374,679
|
Windsor Holdings III LLC
2024 USD Term Loan B 1 mo. USD Term SOFR + 4.00%, 9.33%, 8/1/2030 (a)
|
|
| 603,201
|
| 606,313
|
|
|
|
|
| 980,992
|
DIVERSIFIED CONSUMER SERVICES — 0.3%
|
|
Ascend Learning LLC:
|
|
|
|
|
|
2021 2nd Lien Term Loan 1 mo. USD Term SOFR + 5.75%, 11.18%, 12/10/2029 (a)
|
|
| 144,286
|
| 142,889
|
2021 Term Loan (b)
|
|
| 349,107
|
| 347,625
|
|
|
|
|
| 490,514
|
DIVERSIFIED FINANCIAL SERVICES — 2.3%
|
|
Advisor Group, Inc.:
|
|
|
|
|
|
2023 Term Loan B 1 mo. USD Term SOFR + 4.50%, 9.83%, 8/17/2028 (a)
|
|
| 775,437
|
| 779,361
|
2024 Term Loan (b)
|
|
| 112,892
|
| 113,463
|
Apex Group Treasury LLC
USD Term Loan 3 mo. USD Term SOFR + 3.75%, 9.33%, 7/27/2028 (a)
|
|
| 90,273
|
| 90,329
|
Aretec Group, Inc.
2023 Incremental Term Loan 1 mo. USD Term SOFR + 4.50%, 9.93%, 8/9/2030 (a)
|
|
| 750,967
|
| 756,130
|
Citadel Securities LP
2024 Term Loan B 1 mo. USD Term SOFR + 2.25%, 7.58%, 7/29/2030 (a)
|
|
| 60,911
|
| 60,929
|
Deerfield Dakota Holding LLC
2020 USD Term Loan B 3 mo. USD Term SOFR + 3.75%, 9.06%, 4/9/2027 (a)
|
|
| 483,999
|
| 482,218
|
Edelman Financial Center LLC
2021 Term Loan B 1 mo. USD Term SOFR + 3.50%, 8.94%, 4/7/2028 (a)
|
|
| 499,161
|
| 499,832
|
See accompanying notes to Schedule of
Investments.
9
SPDR BLACKSTONE HIGH INCOME ETF
Schedule of Investments (continued)
March 31, 2024 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
Eisner Advisory Group LLC
2024 Term Loan B 1 mo. USD Term SOFR + 4.00%, 9.33%, 2/28/2031 (a)
|
|
| $290,000
|
| $291,541
|
Focus Financial Partners LLC
2021 Term Loan B4 1 mo. USD Term SOFR + 2.50%, 7.83%, 6/30/2028 (a)
|
|
| 155,863
|
| 155,455
|
Kestra Advisor Services Holdings A, Inc.
2024 Term Loan (b)
|
|
| 225,000
|
| 225,657
|
NFP Corp.
2020 Term Loan 1 mo. USD Term SOFR + 3.25%, 8.69%, 2/16/2027 (a)
|
|
| 34,331
|
| 34,413
|
|
|
|
|
| 3,489,328
|
DIVERSIFIED TELECOMMUNICATION SERVICES — 0.6%
|
|
Altice France SA
2023 USD Term Loan B14 3 mo. USD Term SOFR + 5.50%, 10.81%, 8/15/2028 (a)
|
|
| 272,399
|
| 218,005
|
CCI Buyer, Inc.
Term Loan 3 mo. USD Term SOFR + 4.00%, 9.32%, 12/17/2027 (a)
|
|
| 623,959
|
| 621,117
|
|
|
|
|
| 839,122
|
ELECTRICAL EQUIPMENT — 0.1%
|
|
MX Holdings U.S., Inc.
2023 USD Term Loan B1D 1 mo. USD Term SOFR + 2.75%, 8.19%, 7/31/2028 (a)
|
|
| 114,922
|
| 115,234
|
ELECTRONICS — 0.1%
|
|
Coherent Corp.
Term Loan B1 (b)
|
|
| 175,000
|
| 175,000
|
ENTERTAINMENT — 1.5%
|
|
AP Gaming I LLC
2022 Term Loan B 1 mo. USD Term SOFR + 3.75%, 9.08%, 2/15/2029 (a)
|
|
| 296,791
|
| 297,997
|
Bally's Corp.
2021 Term Loan B (b)
|
|
| 228,481
|
| 215,104
|
Caesars Entertainment, Inc.
2024 Term Loan B1 3 mo. USD Term SOFR + 2.75%, 8.04%, 2/6/2031 (a)
|
|
| 290,000
|
| 290,589
|
CE Intermediate I LLC
Term Loan B 3 mo. USD Term SOFR + 4.00%, 8.95%, 11/10/2028 (a)
|
|
| 188,374
|
| 187,786
|
Crown Finance US, Inc.
2023 Exit Term Loan 1 mo. USD Term SOFR + 7.00%, 7.00%, 7/31/2028 (a)
|
|
| 41,368
|
| 42,147
|
Security Description
|
|
| Principal
Amount
|
| Value
|
Fertitta Entertainment LLC
2022 Term Loan B 1 mo. USD Term SOFR + 3.75%, 9.08%, 1/27/2029 (a)
|
|
| $972,975
|
| $976,424
|
GVC Holdings Ltd.
2022 USD Term Loan B2 3 mo. USD Term SOFR + 3.50%, 3.50%, 10/31/2029 (a)
|
|
| 76,044
|
| 76,448
|
UFC Holdings LLC
2021 Term Loan B 3 mo. USD Term SOFR + 2.75%, 8.34%, 4/29/2026 (a)
|
|
| 120,305
|
| 120,623
|
|
|
|
|
| 2,207,118
|
FOOD PRODUCTS — 0.2%
|
|
Fiesta Purchaser, Inc.
2024 Term Loan B 3 mo. USD Term SOFR + 4.00%, 9.32%, 2/12/2031 (a)
|
|
| 150,000
|
| 150,427
|
Froneri International Ltd.
2020 USD Term Loan 1 mo. USD Term SOFR + 2.25%, 7.58%, 1/29/2027 (a)
|
|
| 251
|
| 251
|
Solina Bidco
2024 Term Loan B (b)
|
|
| 85,000
|
| 85,266
|
|
|
|
|
| 235,944
|
FOOD-MISC/DIVERSIFIED — 0.1%
|
|
Skopima Merger Sub, Inc.
Term Loan B 1 mo. USD Term SOFR + 4.00%, 9.44%, 5/12/2028 (a)
|
|
| 187,523
|
| 187,039
|
GROUND TRANSPORTATION — 0.1%
|
|
Genesee & Wyoming, Inc.
Term Loan 3 mo. USD Term SOFR + 2.00%, 7.45%, 12/30/2026 (a)
|
|
| 155,039
|
| 155,315
|
HEALTH CARE EQUIPMENT & SUPPLIES — 1.2%
|
|
Auris Luxembourg III SARL
2024 USD Term Loan B2 (b)
|
|
| 495,000
|
| 496,703
|
Bausch & Lomb Corp.
Term Loan 1 mo. USD Term SOFR + 3.25%, 8.68%, 5/10/2027 (a)
|
|
| 609,528
|
| 603,890
|
Gainwell Acquisition Corp.
Term Loan B 3 mo. USD Term SOFR + 4.00%, 9.41%, 10/1/2027 (a)
|
|
| 509,162
|
| 487,968
|
Medline Borrower LP
2024 Term Loan B (b)
|
|
| 141,241
|
| 141,756
|
|
|
|
|
| 1,730,317
|
HEALTH CARE PROVIDERS & SERVICES — 1.3%
|
|
GHX Ultimate Parent Corp.
2024 Term Loan B 3 mo. USD Term SOFR + 4.25%, 9.56%, 6/30/2027 (a)
|
|
| 169,339
|
| 170,609
|
See accompanying notes to Schedule of
Investments.
10
SPDR BLACKSTONE HIGH INCOME ETF
Schedule of Investments (continued)
March 31, 2024 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
Global Medical Response, Inc.
2020 Term Loan B 3 mo. USD Term SOFR + 4.25%, 9.84%, 10/2/2025 (a)
|
|
| $99,445
|
| $93,168
|
ICON Luxembourg SARL
LUX Term Loan (b)
|
|
| 160,109
|
| 160,682
|
LifePoint Health, Inc.:
|
|
|
|
|
|
2023 Term Loan B 3 mo. USD Term SOFR + 5.50%, 11.09%, 11/16/2028 (a)
|
|
| 423,857
|
| 425,484
|
2024 Term Loan B (b)
|
|
| 600,000
|
| 602,304
|
Medline Borrower LP
USD Term Loan B 1 mo. USD Term SOFR + 3.00%, 8.44%, 10/23/2028 (a)
|
|
| 21,764
|
| 21,835
|
Midwest Physician Administrative Services LLC
2021 Term Loan 3 mo. USD Term SOFR + 3.25%, 8.82%, 3/12/2028 (a)
|
|
| 110,853
|
| 92,602
|
PRA Health Sciences, Inc.
US Term Loan (b)
|
|
| 36,517
|
| 36,648
|
Radnet Management, Inc.
2021 Term Loan 3 mo. USD Term SOFR + 3.00%, 8.57%, 4/21/2028 (a)
|
|
| 136,385
|
| 136,660
|
Surgery Center Holdings, Inc.
2023 Term Loan 1 mo. USD Term SOFR + 3.50%, 8.83%, 12/19/2030 (a)
|
|
| 180,000
|
| 181,063
|
|
|
|
|
| 1,921,055
|
HOME FURNISHINGS — 0.4%
|
|
AI Aqua Merger Sub, Inc.
2021 1st Lien Term Loan B 1 mo. USD Term SOFR + 3.75%, 9.07%, 7/31/2028 (a)
|
|
| 621,873
|
| 623,689
|
HOOLDING COMPANIES & DIVERSIFIED — 0.4%
|
|
Belfor Holdings, Inc.
2023 USD Term Loan B 1 mo. USD Term SOFR + 3.75%, 9.08%, 11/1/2030 (a)
|
|
| 349,959
|
| 352,147
|
Forward Air Corp.
Term Loan B 1 mo. USD Term SOFR + 4.50%, 9.83%, 12/19/2030 (a)
|
|
| 177,123
|
| 174,886
|
|
|
|
|
| 527,033
|
HOTELS, RESTAURANTS & LEISURE — 0.7%
|
|
Alterra Mountain Co.:
|
|
|
|
|
|
2021 Series B-2 Consenting Term Loan 1 mo. USD Term SOFR + 3.50%, 8.94%, 8/17/2028 (a)
|
|
| 796
|
| 799
|
2024 Term Loan B2 (b)
|
|
| 310,631
|
| 312,315
|
Security Description
|
|
| Principal
Amount
|
| Value
|
Caesars Entertainment, Inc.
Term Loan B 3 mo. USD Term SOFR + 3.25%, 8.66%, 2/6/2030 (a)
|
|
| $316,929
|
| $318,228
|
Peraton Corp.
Term Loan B 1 mo. USD Term SOFR + 3.75%, 9.08%, 2/1/2028 (a)
|
|
| 415,913
|
| 416,337
|
|
|
|
|
| 1,047,679
|
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS — 0.2%
|
|
Kohler Energy Co. LLC
USD Term Loan B (b)
|
|
| 321,541
|
| 322,411
|
INSURANCE — 3.0%
|
|
Acrisure LLC:
|
|
|
|
|
|
2020 Term Loan B (b)
|
|
| 349,091
|
| 349,309
|
2021 First Lien Term Loan B 1 mo. USD Term SOFR + 4.25%, 9.69%, 2/15/2027 (a)
|
|
| 169,528
|
| 170,269
|
Alliant Holdings Intermediate LLC
2023 Term Loan B6 1 mo. USD Term SOFR + 3.50%, 8.83%, 11/6/2030 (a)
|
|
| 359,588
|
| 361,463
|
AmWINS Group, Inc.
2023 Incremental Term Loan B 1 mo. USD Term SOFR + 2.75%, 8.19%, 2/19/2028 (a)
|
|
| 128,375
|
| 128,767
|
AssuredPartners, Inc.
2020 Term Loan B 1 mo. USD Term SOFR + 3.50%, 8.94%, 2/12/2027 (a)
|
|
| 488,520
|
| 489,575
|
Broadstreet Partners, Inc.
2020 Term Loan B 1 mo. USD Term SOFR + 3.00%, 8.44%, 1/27/2027 (a)
|
|
| 155,200
|
| 155,771
|
Howden Group Holdings Ltd.
2024 USD Term Loan B 3 mo. USD Term SOFR + 3.50%, 8.81%, 2/15/2031 (a)
|
|
| 448,914
|
| 449,756
|
HUB International Ltd.
2024 Term Loan B 3 mo. USD Term SOFR + 3.25%, 8.57%, 6/20/2030 (a)
|
|
| 500,000
|
| 500,747
|
Sedgwick Claims Management Services, Inc.
2023 Term Loan B 1 mo. USD Term SOFR + 3.75%, 9.08%, 2/24/2028 (a)
|
|
| 689,067
|
| 691,103
|
Truist Insurance Holdings LLC:
|
|
|
|
|
|
1st Lien Term Loan (b)
|
|
| 680,000
|
| 679,714
|
2nd Lien Term Loan (b)
|
|
| 200,000
|
| 201,521
|
See accompanying notes to Schedule of
Investments.
11
SPDR BLACKSTONE HIGH INCOME ETF
Schedule of Investments (continued)
March 31, 2024 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
USI, Inc.:
|
|
|
|
|
|
2023 Acquisition Term Loan 3 mo. USD Term SOFR + 3.25%, 8.60%, 9/27/2030 (a)
|
|
| $99,750
|
| $99,945
|
2023 Term Loan B 3 mo. USD Term SOFR + 3.00%, 8.35%, 11/22/2029 (a)
|
|
| 183,041
|
| 183,346
|
|
|
|
|
| 4,461,286
|
INTERNET & CATALOG RETAIL — 0.0% (c)
|
|
ION Trading Finance Ltd.
2021 USD Term Loan 3 mo. USD Term SOFR + 4.75%, 10.20%, 4/1/2028 (a)
|
|
| 74,119
|
| 74,119
|
INTERNET & TELECOM — 0.3%
|
|
Adevinta ASA
USD Term Loan B 3 mo. USD Term SOFR + 2.75%, 8.07%, 6/26/2028 (a)
|
|
| 48,365
|
| 48,484
|
CNT Holdings I Corp.
2020 Term Loan 3 mo. USD Term SOFR + 3.50%, 8.82%, 11/8/2027 (a)
|
|
| 169,575
|
| 170,092
|
Go Daddy Operating Co. LLC
2021 Term Loan B4 1 mo. USD Term SOFR + 2.00%, 7.33%, 8/10/2027 (a)
|
|
| 821
|
| 822
|
PUG LLC
2024 Extended Term Loan B 3 mo. USD Term SOFR + 4.75%, 10.08%, 3/15/2030 (a)
|
|
| 270,000
|
| 270,730
|
|
|
|
|
| 490,128
|
INVESTMENT COMPANIES — 0.5%
|
|
AL GCX Holdings LLC
Term Loan B 1 mo. USD Term SOFR + 3.25%, 8.57%, 5/17/2029 (a)
|
|
| 131,706
|
| 132,282
|
Brookfield WEC Holdings, Inc.
2024 Term Loan 1 mo. USD Term SOFR + 2.75%, 8.08%, 1/27/2031 (a)
|
|
| 156,027
|
| 156,027
|
Cd&R Hydra Buyer, Inc.
2024 Term Loan B (b)
|
|
| 190,151
|
| 190,805
|
Mister Car Wash Holdings, Inc.
2024 Term Loan B (b)
|
|
| 328,000
|
| 329,163
|
|
|
|
|
| 808,277
|
IT SERVICES — 0.2%
|
|
Access CIG LLC
2023 Term Loan 1 mo. USD Term SOFR + 5.00%, 10.33%, 8/18/2028 (a)
|
|
| 247,883
|
| 248,464
|
Ahead DB Holdings LLC
2021 Term Loan B 3 mo. USD Term SOFR + 3.75%, 9.16%, 10/18/2027 (a)
|
|
| 52,258
|
| 52,365
|
Security Description
|
|
| Principal
Amount
|
| Value
|
Presidio Holdings, Inc.
2020 Term Loan B 3 mo. USD Term SOFR + 3.50%, 8.91%, 1/22/2027 (a)
|
|
| $22,526
|
| $22,625
|
|
|
|
|
| 323,454
|
LEISURE INDUSTRY — 0.1%
|
|
Carnival Corp.
2021 Incremental Term Loan B 1 mo. USD Term SOFR + 3.25%, 8.69%, 10/18/2028 (a)
|
|
| 148,041
|
| 148,426
|
LEISURE TIME — 0.2%
|
|
Amer Sports Co.
USD Term Loan 3 mo. USD Term SOFR + 3.25%, 8.58%, 2/17/2031 (a)
|
|
| 285,000
|
| 285,713
|
LEISURE&REC/GAMES — 0.3%
|
|
Scientific Games Holdings LP
2022 USD Term Loan B 3 mo. USD Term SOFR + 3.25%, 8.60%, 4/4/2029 (a)
|
|
| 471,375
|
| 471,830
|
LIFE SCIENCES TOOLS & SERVICES — 0.1%
|
|
Parexel International Corp.
2021 1st Lien Term Loan 1 mo. USD Term SOFR + 3.25%, 8.69%, 11/15/2028 (a)
|
|
| 169,308
|
| 169,885
|
MACHINERY — 1.0%
|
|
Chart Industries, Inc.
2023 Term Loan 1 mo. USD Term SOFR + 3.25%, 8.67%, 3/15/2030 (a)
|
|
| 156,668
|
| 157,321
|
Madison IAQ LLC
Term Loan 1 mo. USD Term SOFR + 3.25%, 8.69%, 6/21/2028 (a)
|
|
| 434,053
|
| 433,940
|
Pro Mach Group, Inc.
2021 Term Loan B 1 mo. USD Term SOFR + 3.75%, 9.08%, 8/31/2028 (a)
|
|
| 180,000
|
| 180,849
|
TK Elevator US Newco, Inc.
USD Term Loan B (b)
|
|
| 694,082
|
| 697,215
|
|
|
|
|
| 1,469,325
|
MEDIA — 2.6%
|
|
Cengage Learning, Inc.
2024 Term Loan B (b)
|
|
| 685,000
|
| 685,106
|
Cogeco Communications Finance (USA), LP
2023 Incremental Term Loan B 1 mo. USD Term SOFR + 2.50%, 7.94%, 9/1/2028 (a)
|
|
| 125,992
|
| 123,157
|
CSC Holdings LLC
2019 Term Loan B5 1 mo. USD Term SOFR + 2.50%, 7.94%, 4/15/2027 (a)
|
|
| 272,199
|
| 246,826
|
See accompanying notes to Schedule of
Investments.
12
SPDR BLACKSTONE HIGH INCOME ETF
Schedule of Investments (continued)
March 31, 2024 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
Directv Financing LLC
2024 Term Loan 6 mo. USD Term SOFR + 5.00%, 10.25%, 8/2/2029 (a)
|
|
| $759,958
|
| $760,608
|
Fleet Midco I Ltd.
2024 Term Loan B 3 mo. USD Term SOFR + 3.25%, 8.58%, 2/21/2031 (a)
|
|
| 150,000
|
| 150,375
|
Gray Television, Inc.
2021 Term Loan D 1 mo. USD Term SOFR + 3.00%, 8.44%, 12/1/2028 (a)
|
|
| 58,419
|
| 54,930
|
iHeartCommunications, Inc.
2020 Term Loan 1 mo. USD Term SOFR + 3.00%, 8.44%, 5/1/2026 (a)
|
|
| 265,837
|
| 233,510
|
MH Sub I LLC:
|
|
|
|
|
|
2021 2nd Lien Term Loan 1 mo. USD Term SOFR + 6.25%, 11.58%, 2/23/2029 (a)
|
|
| 116,242
|
| 112,371
|
2023 Term Loan 1 mo. USD Term SOFR + 4.25%, 9.58%, 5/3/2028 (a)
|
|
| 607,166
|
| 604,267
|
Radiate Holdco LLC
2021 Term Loan B 1 mo. USD Term SOFR + 3.25%, 8.69%, 9/25/2026 (a)
|
|
| 70,071
|
| 58,860
|
Univision Communications, Inc.
2022 Term Loan B 1 mo. USD Term SOFR + 3.25%, 8.69%, 1/31/2029 (a)
|
|
| 501,742
|
| 501,481
|
UPC Broadband Holding BV
2020 USD Term Loan AT 1 mo. USD Term SOFR + 2.25%, 7.69%, 4/30/2028 (a)
|
|
| 196,108
|
| 193,610
|
Virgin Media Bristol LLC
USD Term Loan N 1 mo. USD Term SOFR + 2.50%, 7.94%, 1/31/2028 (a)
|
|
| 164,749
|
| 162,505
|
|
|
|
|
| 3,887,606
|
MEDICAL LABS&TESTING SRV — 0.2%
|
|
Electron BidCo, Inc.
2021 Term Loan 1 mo. USD Term SOFR + 3.00%, 8.44%, 11/1/2028 (a)
|
|
| 60,471
|
| 60,664
|
U.S. Anesthesia Partners, Inc.
2021 Term Loan 1 mo. USD Term SOFR + 4.25%, 9.69%, 10/1/2028 (a)
|
|
| 260,992
|
| 250,154
|
|
|
|
|
| 310,818
|
METAL FABRICATE & HARDWARE — 0.1%
|
|
Crosby U.S. Acquisition Corp.
2024 Term Loan B 3 mo. USD Term SOFR + 4.00%, 9.32%, 8/16/2029 (a)
|
|
| 154,613
|
| 155,659
|
Security Description
|
|
| Principal
Amount
|
| Value
|
MISCELLANEOUS MANUFACTUR — 0.2%
|
|
Touchdown Acquirer, Inc.
USD Term Loan 3 mo. USD Term SOFR + 4.00%, 9.31%, 2/7/2031 (a)
|
|
| $369,162
|
| $370,777
|
OIL, GAS & CONSUMABLE FUELS — 0.0% (c)
|
|
Pacific Gas & Electric Co.
2020 Term Loan B1 1 mo. USD Term SOFR + 3.00%, 7.83%, 6/23/2027 (a)
|
|
| 45,000
|
| 45,113
|
PHARMACEUTICALS — 0.2%
|
|
Grifols Worldwide Operations USA, Inc.
2019 USD Term Loan B 3 mo. USD Term SOFR + 2.00%, 7.46%, 11/15/2027 (a)
|
|
| 330,520
|
| 320,749
|
Jazz Financing Lux SARL
2024 Term Loan B 1 mo. USD Term SOFR + 3.00%, 8.44%, 5/5/2028 (a)
|
|
| 49,935
|
| 50,247
|
|
|
|
|
| 370,996
|
PIPELINES — 1.0%
|
|
BIP PipeCo Holdings LLC
Term Loan B 3 mo. USD Term SOFR + 3.25%, 8.58%, 12/6/2030 (a)
|
|
| 160,000
|
| 160,450
|
Buckeye Partners LP
2024 Term Loan B3 1 mo. USD Term SOFR + 2.00%, 7.33%, 11/1/2026 (a)
|
|
| 50,000
|
| 50,143
|
CQP Holdco LP
2023 4th Amendment Term Loan 3 mo. USD Term SOFR + 3.00%, 8.32%, 12/31/2030 (a)
|
|
| 155,510
|
| 156,166
|
Freeport LNG Investments LLLP
Term Loan B 3 mo. USD Term SOFR + 3.50%, 9.08%, 12/21/2028 (a)
|
|
| 676,218
|
| 672,492
|
Oryx Midstream Services Permian Basin LLC
2024 Term Loan B 1 mo. USD Term SOFR + 3.00%, 8.44%, 10/5/2028 (a)
|
|
| 336,471
|
| 338,124
|
TransMontaigne Operating Co. LP
Term Loan B 1 mo. USD Term SOFR + 3.50%, 8.94%, 11/17/2028 (a)
|
|
| 150,994
|
| 151,224
|
|
|
|
|
| 1,528,599
|
PROFESSIONAL SERVICES — 0.4%
|
|
Anticimex International AB
2021 USD Term Loan B1 3 mo. USD Term SOFR + 3.15%, 8.46%, 11/16/2028 (a)
|
|
| 174,312
|
| 174,731
|
See accompanying notes to Schedule of
Investments.
13
SPDR BLACKSTONE HIGH INCOME ETF
Schedule of Investments (continued)
March 31, 2024 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
Proofpoint, Inc.
1st Lien Term Loan (b)
|
|
| $467,044
|
| $467,807
|
|
|
|
|
| 642,538
|
RETAIL — 1.1%
|
|
Fogo De Chao, Inc.
2023 Term Loan B 1 mo. USD Term SOFR + 4.75%, 10.08%, 9/30/2030 (a)
|
|
| 322,557
|
| 320,684
|
Foundation Building Materials Holding Co. LLC
2024 Term Loan B2 1 mo. USD Term SOFR + 4.00%, 9.31%, 1/29/2031 (a)
|
|
| 200,000
|
| 201,088
|
Harbor Freight Tools USA, Inc.
2021 Term Loan B 1 mo. USD Term SOFR + 2.75%, 8.19%, 10/19/2027 (a)
|
|
| 156,575
|
| 156,655
|
IRB Holding Corp.
2024 Term Loan B 1 mo. USD Term SOFR + 2.75%, 8.18%, 12/15/2027 (a)
|
|
| 155,612
|
| 155,832
|
Medical Solutions Holdings, Inc.
2021 1st Lien Term Loan 1 mo. USD Term SOFR + 3.25%, 8.68%, 11/1/2028 (a)
|
|
| 150,370
|
| 134,519
|
Tacala LLC
2024 Term Loan 1 mo. USD Term SOFR + 4.00%, 9.33%, 1/31/2031 (a)
|
|
| 600,000
|
| 601,314
|
|
|
|
|
| 1,570,092
|
RETAIL-BUILDING PRODUCTS — 0.7%
|
|
LBM Acquisition LLC
Term Loan B 1 mo. USD Term SOFR + 3.75%, 9.18%, 12/17/2027 (a)
|
|
| 743,521
|
| 743,060
|
Park River Holdings, Inc.
Term Loan 3 mo. USD Term SOFR + 3.25%, 8.84%, 12/28/2027 (a)
|
|
| 331,536
|
| 329,671
|
|
|
|
|
| 1,072,731
|
SHIPBUILDING — 0.2%
|
|
LSF11 Trinity Bidco, Inc.
2023 Term Loan 1 mo. USD Term SOFR + 4.00%, 9.33%, 6/14/2030 (a)
|
|
| 278,502
|
| 279,895
|
SOFTWARE — 7.8%
|
|
Applied Systems, Inc.
2024 1st Lien Term Loan 3 mo. USD Term SOFR + 3.50%, 8.81%, 2/24/2031 (a)
|
|
| 288,762
|
| 290,826
|
Apttus Corp.
2021 Term Loan 1 mo. USD Term SOFR + 4.00%, 9.44%, 5/8/2028 (a)
|
|
| 169,082
|
| 169,479
|
Security Description
|
|
| Principal
Amount
|
| Value
|
Athenahealth Group, Inc.
2022 Term Loan B 1 mo. USD Term SOFR + 3.25%, 8.58%, 2/15/2029 (a)
|
|
| $517,765
|
| $514,167
|
Banff Merger Sub, Inc.
2023 USD Term Loan 1 mo. USD Term SOFR + 4.25%, 9.58%, 12/29/2028 (a)
|
|
| 772,693
|
| 778,569
|
Central Parent, Inc.
2023 Term Loan B 3 mo. USD Term SOFR + 4.00%, 9.31%, 7/6/2029 (a)
|
|
| 775,451
|
| 778,639
|
Cloud Software Group, Inc.:
|
|
|
|
|
|
2022 USD Term Loan B 3 mo. USD Term SOFR + 4.50%, 9.91%, 3/30/2029 (a)
|
|
| 825,457
|
| 822,638
|
2024 Term Loan (b)
|
|
| 160,000
|
| 159,150
|
Cloudera, Inc.
2021 Term Loan 1 mo. USD Term SOFR + 3.75%, 9.08%, 10/8/2028 (a)
|
|
| 139,644
|
| 139,339
|
Cotiviti Corp.
2024 Term Loan (b)
|
|
| 400,000
|
| 399,500
|
DCert Buyer, Inc.
2019 Term loan B 1 mo. USD Term SOFR + 4.00%, 9.33%, 10/16/2026 (a)
|
|
| 196,879
|
| 196,203
|
Dun & Bradstreet Corp.
2024 Term Loan B 1 mo. USD Term SOFR + 2.75%, 8.08%, 1/18/2029 (a)
|
|
| 155,865
|
| 156,011
|
ECI Macola Max Holding LLC
2024 Extending Term Loans (b)
|
|
| 245,000
|
| 245,000
|
EP Purchaser LLC
2021 Term Loan B 3 mo. USD Term SOFR + 3.50%, 9.07%, 11/6/2028 (a)
|
|
| 144,282
|
| 143,470
|
Epicor Software Corp.
2020 Term Loan 1 mo. USD Term SOFR + 3.25%, 8.69%, 7/30/2027 (a)
|
|
| 86,598
|
| 87,002
|
EverCommerce, Inc.
Term Loan B 1 mo. USD Term SOFR + 3.00%, 8.44%, 7/6/2028 (a)
|
|
| 136,020
|
| 136,275
|
Flexera Software LLC
2021 Term Loan B 1 mo. USD Term SOFR + 3.75%, 9.08%, 3/3/2028 (a)
|
|
| 185,279
|
| 185,910
|
Fortra LLC
2021 Term Loan 1 mo. USD Term SOFR + 4.00%, 9.43%, 11/19/2026 (a)
|
|
| 86,449
|
| 83,824
|
Genesys Cloud Services Holdings II LLC
Term Loan B 1 mo. USD Term SOFR + 3.75%, 9.19%, 12/1/2027 (a)
|
|
| 285,000
|
| 286,426
|
See accompanying notes to Schedule of
Investments.
14
SPDR BLACKSTONE HIGH INCOME ETF
Schedule of Investments (continued)
March 31, 2024 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
I-Logic Technologies Bidco Ltd.
2021 USD Term Loan B 3 mo. USD Term SOFR + 4.00%, 9.50%, 2/16/2028 (a)
|
|
| $177,920
|
| $177,947
|
Informatica LLC
2021 USD Term Loan B 1 mo. USD Term SOFR + 2.75%, 8.19%, 10/27/2028 (a)
|
|
| 152,399
|
| 152,704
|
Ivanti Software, Inc.
2021 Term Loan B 3 mo. USD Term SOFR + 4.25%, 9.84%, 12/1/2027 (a)
|
|
| 205,008
|
| 192,451
|
McAfee LLC
2022 USD Term Loan B 1 mo. USD Term SOFR + 3.75%, 9.18%, 3/1/2029 (a)
|
|
| 622,035
|
| 622,340
|
MeridianLink, Inc.
2021 Term Loan B 3 mo. USD Term SOFR + 3.00%, 8.61%, 11/10/2028 (a)
|
|
| 114,124
|
| 114,323
|
Mitchell International, Inc.:
|
|
|
|
|
|
2021 2nd Lien Term Loan 1 mo. USD Term SOFR + 6.50%, 11.94%, 10/15/2029 (a)
|
|
| 77,379
|
| 77,427
|
2021 Term Loan B 1 mo. USD Term SOFR + 3.75%, 9.08%, 10/15/2028 (a)
|
|
| 584,120
|
| 585,019
|
Particle Investments SARL
2024 Term Loan B (b)
|
|
| 100,000
|
| 100,375
|
Polaris Newco LLC
USD Term Loan B 3 mo. USD Term SOFR + 4.00%, 9.57%, 6/2/2028 (a)
|
|
| 250,036
|
| 247,907
|
Project Alpha Intermediate Holding, Inc.
2023 1st Lien Term Loan B 3 mo. USD Term SOFR + 4.75%, 10.06%, 10/28/2030 (a)
|
|
| 693,100
|
| 697,672
|
Project Ruby Ultimate Parent Corp.:
|
|
|
|
|
|
2021 Term Loan 1 mo. USD Term SOFR + 3.25%, 8.69%, 3/10/2028 (a)
|
|
| 190,617
|
| 190,651
|
2024 Incremental Term Loan 1 mo. USD Term SOFR + 3.50%, 8.94%, 3/10/2028 (a)
|
|
| 420,000
|
| 421,050
|
Quartz Acquireco LLC
Term Loan B 3 mo. USD Term SOFR + 3.50%, 8.81%, 6/28/2030 (a)
|
|
| 199,000
|
| 199,933
|
Quest Software U.S. Holdings, Inc.
2022 Term Loan 3 mo. USD Term SOFR + 4.25%, 9.71%, 2/1/2029 (a)
|
|
| 118,788
|
| 90,814
|
Security Description
|
|
| Principal
Amount
|
| Value
|
RealPage, Inc.
1st Lien Term Loan 1 mo. USD Term SOFR + 3.00%, 8.44%, 4/24/2028 (a)
|
|
| $444,041
|
| $432,601
|
SolarWinds Holdings, Inc.
2024 Term Loan 1 mo. USD Term SOFR + 3.25%, 8.58%, 2/5/2027 (a)
|
|
| 477,600
|
| 479,391
|
Sovos Compliance LLC
2021 Term Loan 1 mo. USD Term SOFR + 4.50%, 9.94%, 8/11/2028 (a)
|
|
| 125,873
|
| 124,915
|
SS&C Technologies, Inc.:
|
|
|
|
|
|
2022 Term Loan B6 1 mo. USD Term SOFR + 2.25%, 7.68%, 3/21/2029 (a)
|
|
| 38,562
|
| 38,650
|
2022 Term Loan B7 1 mo. USD Term SOFR + 2.25%, 7.68%, 3/22/2029 (a)
|
|
| 74,952
|
| 75,122
|
Surf Holdings LLC
USD Term Loan 1 mo. USD Term SOFR + 3.50%, 8.94%, 3/5/2027 (a)
|
|
| 93,680
|
| 93,979
|
UKG, Inc.
2021 2nd Lien Term Loan 3 mo. USD Term SOFR + 5.25%, 10.68%, 5/3/2027 (a)
|
|
| 65,956
|
| 66,656
|
Waystar Technologies, Inc.
2024 Term Loan B 1 mo. USD Term SOFR + 4.00%, 9.33%, 10/22/2029 (a)
|
|
| 776,120
|
| 779,031
|
|
|
|
|
| 11,533,386
|
SPECIALTY RETAIL — 1.7%
|
|
K-Mac Holdings Corp.
2021 Term Loan (b)
|
|
| 349,101
|
| 349,073
|
Michaels Cos., Inc.
2021 Term Loan B 3 mo. USD Term SOFR + 4.25%, 9.57%, 4/15/2028 (a)
|
|
| 332,212
|
| 298,916
|
PetSmart, Inc.
2021 Term Loan B 1 mo. USD Term SOFR + 3.75%, 9.18%, 2/11/2028 (a)
|
|
| 94,654
|
| 94,555
|
SRS Distribution, Inc.
2021 Term Loan B 1 mo. USD Term SOFR + 3.50%, 8.94%, 6/2/2028 (a)
|
|
| 622,614
|
| 627,622
|
Staples, Inc.
7 Year Term Loan 1 mo. USD Term SOFR + 5.00%, 10.44%, 4/16/2026 (a)
|
|
| 674,200
|
| 668,837
|
Whatabrands LLC
2021 Term Loan B 1 mo. USD Term SOFR + 3.25%, 8.69%, 8/3/2028 (a)
|
|
| 466,801
|
| 467,621
|
|
|
|
|
| 2,506,624
|
See accompanying notes to Schedule of
Investments.
15
SPDR BLACKSTONE HIGH INCOME ETF
Schedule of Investments (continued)
March 31, 2024 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
STEEL-PRODUCERS — 0.5%
|
|
Arsenal AIC Parent LLC
2024 Term Loan B 1 mo. USD Term SOFR + 3.75%, 9.08%, 8/18/2030 (a)
|
|
| $577,218
|
| $579,888
|
Phoenix Services International LLC
2023 Exit PIK Term Loan 1 mo. USD Term SOFR + 6.10%, 5.33%, 6/30/2028 (a)
|
|
| 210,462
|
| 198,360
|
|
|
|
|
| 778,248
|
TELECOMMUNICATION EQUIP — 0.3%
|
|
Coral-U.S. Co-Borrower LLC
2021 Term Loan B6 1 mo. USD Term SOFR + 3.00%, 8.44%, 10/15/2029 (a)
|
|
| 261,333
|
| 260,779
|
Delta TopCo, Inc.
2020 Term Loan B 6 mo. USD Term SOFR + 3.75%, 9.12%, 12/1/2027 (a)
|
|
| 118,206
|
| 118,483
|
|
|
|
|
| 379,262
|
TRADING COMPANIES & DISTRIBUTORS — 0.3%
|
|
Foundation Building Materials Holding Co. LLC
2021 Term Loan 3 mo. USD Term SOFR + 3.25%, 8.82%, 1/31/2028 (a)
|
|
| 375,602
|
| 376,454
|
TRANSPORT-SERVICES — 0.5%
|
|
Endure Digital, Inc.
Term Loan 6 mo. USD Term SOFR + 3.50%, 9.42%, 2/10/2028 (a)
|
|
| 393,531
|
| 384,972
|
Kenan Advantage Group, Inc.
2024 Term Loan B3 1 mo. USD Term SOFR + 3.75%, 9.08%, 1/25/2029 (a)
|
|
| 311,174
|
| 311,855
|
|
|
|
|
| 696,827
|
TOTAL SENIOR FLOATING RATE LOANS
(Cost $69,211,525)
|
|
|
|
| 69,841,063
|
ASSET-BACKED SECURITIES — 8.5%
|
|
OTHER ABS — 8.5%
|
|
Apidos CLO XI Ltd.
Series 2012-11A, Class ER3, 3 mo. USD Term SOFR + 6.83%, 12.15%, 4/17/2034 (a) (d)
|
|
| 500,000
|
| 493,400
|
ARES LXII CLO Ltd.
Series 2021-62A, Class E, 3 mo. USD Term SOFR + 6.76%, 12.09%, 1/25/2034 (a) (d)
|
|
| 650,000
|
| 634,530
|
Security Description
|
|
| Principal
Amount
|
| Value
|
ARES LXVIII CLO Ltd.
Series 2023-68A, Class E, 3 mo. USD Term SOFR + 8.55%, 13.87%, 4/25/2035 (a) (d)
|
|
| $750,000
|
| $752,400
|
Balboa Bay Loan Funding Ltd.
Series 2021-2A, Class E, 3 mo. USD Term SOFR + 6.86%, 12.18%, 1/20/2035 (a) (d)
|
|
| 500,000
|
| 466,700
|
Ballyrock CLO Ltd.
Series 2020-2A, Class DR, 3 mo. USD Term SOFR + 6.41%, 11.73%, 10/20/2031 (a) (d)
|
|
| 750,000
|
| 741,150
|
Barings CLO Ltd.
Series 2019-3A, Class ER, 3 mo. USD Term SOFR + 6.96%, 12.28%, 4/20/2031 (a) (d)
|
|
| 750,000
|
| 741,968
|
Benefit Street Partners CLO X Ltd.
Series 2016-10A, Class DRR, 3 mo. USD Term SOFR + 7.01%, 12.33%, 4/20/2034 (a) (d)
|
|
| 500,000
|
| 494,500
|
Canyon CLO Ltd.
Series 2020-1A, Class ER, 3 mo. USD Term SOFR + 6.61%, 11.93%, 7/15/2034 (a) (d)
|
|
| 602,000
|
| 583,880
|
Carlyle U.S. CLO Ltd.:
|
|
|
|
|
|
Series 2020-1A, Class DR, 3 mo. USD Term SOFR + 6.51%, 11.83%, 7/20/2034 (a) (d)
|
|
| 500,000
|
| 490,600
|
Series 2021-9A, Class E, 3 mo. USD Term SOFR + 6.89%, 12.21%, 10/20/2034 (a) (d)
|
|
| 712,882
|
| 701,690
|
CarVal CLO IX-C Ltd.
Series 2024-1A, Class E, 3 mo. USD Term SOFR + 6.75%, 12.07%, 4/20/2037 (a) (d)
|
|
| 500,000
|
| 496,950
|
Galaxy XXIV CLO Ltd.
Series 2017-24A, Class DR, 3 mo. USD Term SOFR + 4.15%, 9.47%, 4/15/2037 (a) (d)
|
|
| 500,000
|
| 500,804
|
GoldenTree Loan Management U.S. CLO 12 Ltd.
Series 2022-12A, Class E, 3 mo. USD Term SOFR + 7.25%, 12.57%, 4/20/2034 (a) (d)
|
|
| 500,000
|
| 494,900
|
See accompanying notes to Schedule of
Investments.
16
SPDR BLACKSTONE HIGH INCOME ETF
Schedule of Investments (continued)
March 31, 2024 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
Magnetite XXXI Ltd.
Series 2021-31A, Class D, 3 mo. USD Term SOFR + 3.26%, 8.58%, 7/15/2034 (a) (d)
|
|
| $500,000
|
| $489,500
|
Palmer Square CLO Ltd.
Series 2019-1A, Class DR, 3 mo. USD Term SOFR + 6.76%, 12.07%, 11/14/2034 (a) (d)
|
|
| 500,000
|
| 493,000
|
Point Au Roche Park CLO Ltd.
Series 2021-1A, Class E, 3 mo. USD Term SOFR + 6.36%, 11.68%, 7/20/2034 (a) (d)
|
|
| 1,480,000
|
| 1,444,332
|
Rad CLO 10 Ltd.
Series 2021-10A, Class E, 3 mo. USD Term SOFR + 6.11%, 11.43%, 4/23/2034 (a) (d)
|
|
| 500,000
|
| 492,250
|
Rad CLO 15 Ltd.
Series 2021-15A, Class E, 3 mo. USD Term SOFR + 6.46%, 11.78%, 1/20/2034 (a) (d)
|
|
| 652,349
|
| 637,932
|
RR 20 Ltd.
Series 2022-20A, Class D, 3 mo. USD Term SOFR + 7.25%, 12.56%, 7/15/2037 (a) (d)
|
|
| 500,000
|
| 500,880
|
Vibrant CLO XVI Ltd.
Series 2023-16A, Class C, 3 mo. USD Term SOFR + 5.84%, 11.15%, 4/15/2036 (a) (d)
|
|
| 500,000
|
| 512,809
|
Voya CLO Ltd.
Series 2019-2A, Class E, 3 mo. USD Term SOFR + 6.86%, 12.18%, 7/20/2032 (a) (d)
|
|
| 500,000
|
| 481,550
|
|
|
|
|
| 12,645,725
|
TOTAL ASSET-BACKED SECURITIES
(Cost $12,111,318)
|
|
|
|
| 12,645,725
|
|
| Shares
|
|
COMMON STOCKS — 0.2%
|
AEROSPACE & DEFENSE — 0.2%
|
Flame Newco LLC (e) (f)
|
| 19,856
| 205,112
|
ENTERTAINMENT — 0.0% (c)
|
Cineworld Group PLC (e) (f)
|
| 1,834
| 33,012
|
TOTAL COMMON STOCKS
(Cost $242,709)
|
|
| 238,124
|
Security Description
|
|
| Shares
|
| Value
|
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS — 3.2%
|
|
DOMESTIC FIXED INCOME — 3.2%
|
|
SPDR Blackstone Senior Loan ETF (g)
(Cost $4,609,215)
|
|
| 110,911
|
| $4,670,462
|
|
| Principal
Amount
|
|
CORPORATE BONDS & NOTES — 39.1%
|
ADVERTISING — 0.7%
|
Advantage Sales & Marketing, Inc.
6.50%, 11/15/2028 (d)
|
| $335,000
| 315,479
|
Clear Channel Outdoor Holdings, Inc.:
|
|
|
|
7.50%, 6/1/2029 (d)
|
| 360,000
| 297,785
|
7.75%, 4/15/2028 (d)
|
| 280,000
| 245,059
|
7.88%, 4/1/2030 (d)
|
| 79,000
| 78,524
|
Outfront Media Capital LLC/Outfront Media Capital Corp.
4.25%, 1/15/2029 (d)
|
| 60,000
| 54,369
|
AEROSPACE & DEFENSE — 1.0%
|
AAR Escrow Issuer LLC
6.75%, 3/15/2029 (d)
|
| 50,000
| 50,390
|
Moog, Inc.
4.25%, 12/15/2027 (d)
|
| 100,000
| 94,187
|
Rolls-Royce PLC
5.75%, 10/15/2027 (d)
|
| 400,000
| 401,188
|
Spirit AeroSystems, Inc.
4.60%, 6/15/2028
|
| 56,000
| 52,549
|
TransDigm, Inc.:
|
|
|
|
4.63%, 1/15/2029
|
| 467,000
| 433,488
|
4.88%, 5/1/2029
|
| 420,000
| 390,373
|
AIRLINES — 0.1%
|
American Airlines, Inc.
7.25%, 2/15/2028 (d)
|
| 100,000
| 101,497
|
AUTO MANUFACTURERS — 0.5%
|
Allison Transmission, Inc.
3.75%, 1/30/2031 (d)
|
| 780,000
| 681,057
|
Wabash National Corp.
4.50%, 10/15/2028 (d)
|
| 10,000
| 9,169
|
AUTO PARTS & EQUIPMENT — 0.2%
|
Phinia, Inc.
6.75%, 4/15/2029 (d)
|
| 101,000
| 101,983
|
Titan International, Inc.
7.00%, 4/30/2028
|
| 150,000
| 148,059
|
BANKS — 0.4%
|
Intesa Sanpaolo SpA
5.71%, 1/15/2026 (d)
|
| 434,000
| 430,537
|
Popular, Inc.
7.25%, 3/13/2028
|
| 175,000
| 179,130
|
See accompanying notes to Schedule of
Investments.
17
SPDR BLACKSTONE HIGH INCOME ETF
Schedule of Investments (continued)
March 31, 2024 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
BEVERAGES — 0.1%
|
|
Primo Water Holdings, Inc.
4.38%, 4/30/2029 (d)
|
|
| $90,000
|
| $82,616
|
CHEMICALS — 0.5%
|
|
Ashland, Inc.
3.38%, 9/1/2031 (d)
|
|
| 380,000
|
| 321,568
|
Chemours Co.
5.75%, 11/15/2028 (d)
|
|
| 100,000
|
| 91,667
|
Methanex Corp.
5.25%, 12/15/2029
|
|
| 330,000
|
| 315,780
|
Nufarm Australia Ltd./Nufarm Americas, Inc.
5.00%, 1/27/2030 (d)
|
|
| 80,000
|
| 73,284
|
COAL — 0.1%
|
|
SunCoke Energy, Inc.
4.88%, 6/30/2029 (d)
|
|
| 220,000
|
| 199,353
|
COMMERCIAL SERVICES — 1.5%
|
|
Adtalem Global Education, Inc.
5.50%, 3/1/2028 (d)
|
|
| 180,000
|
| 172,409
|
Deluxe Corp.
8.00%, 6/1/2029 (d)
|
|
| 110,000
|
| 101,299
|
Sabre GLBL, Inc.
8.63%, 6/1/2027 (d)
|
|
| 220,000
|
| 193,057
|
Service Corp. International:
|
|
|
|
|
|
3.38%, 8/15/2030
|
|
| 253,000
|
| 219,359
|
4.00%, 5/15/2031
|
|
| 410,000
|
| 363,465
|
TriNet Group, Inc.
3.50%, 3/1/2029 (d)
|
|
| 170,000
|
| 152,481
|
United Rentals North America, Inc.
3.75%, 1/15/2032
|
|
| 320,000
|
| 278,886
|
Upbound Group, Inc.
6.38%, 2/15/2029 (d)
|
|
| 150,000
|
| 145,637
|
Valvoline, Inc.
3.63%, 6/15/2031 (d)
|
|
| 545,000
|
| 470,242
|
ZipRecruiter, Inc.
5.00%, 1/15/2030 (d)
|
|
| 150,000
|
| 132,216
|
COMPUTERS — 0.7%
|
|
KBR, Inc.
4.75%, 9/30/2028 (d)
|
|
| 90,000
|
| 83,057
|
NCR Voyix Corp.:
|
|
|
|
|
|
5.00%, 10/1/2028 (d)
|
|
| 50,000
|
| 46,638
|
5.13%, 4/15/2029 (d)
|
|
| 300,000
|
| 278,130
|
Science Applications International Corp.
4.88%, 4/1/2028 (d)
|
|
| 170,000
|
| 162,350
|
Seagate HDD Cayman:
|
|
|
|
|
|
4.09%, 6/1/2029
|
|
| 300,000
|
| 277,161
|
4.13%, 1/15/2031
|
|
| 292,000
|
| 256,633
|
CONSTRUCTION MATERIALS — 0.6%
|
|
Builders FirstSource, Inc.:
|
|
|
|
|
|
5.00%, 3/1/2030 (d)
|
|
| 120,000
|
| 114,446
|
6.38%, 3/1/2034 (d)
|
|
| 119,000
|
| 119,457
|
Griffon Corp.
5.75%, 3/1/2028
|
|
| 430,000
|
| 421,297
|
Security Description
|
|
| Principal
Amount
|
| Value
|
JELD-WEN, Inc.
4.88%, 12/15/2027 (d)
|
|
| $100,000
|
| $95,701
|
Louisiana-Pacific Corp.
3.63%, 3/15/2029 (d)
|
|
| 150,000
|
| 136,563
|
DIVERSIFIED FINANCIAL SERVICES — 4.1%
|
|
Ally Financial, Inc.
6.70%, 2/14/2033
|
|
| 420,000
|
| 424,511
|
Burford Capital Global Finance LLC:
|
|
|
|
|
|
6.88%, 4/15/2030 (d)
|
|
| 150,000
|
| 147,681
|
9.25%, 7/1/2031 (d)
|
|
| 230,000
|
| 243,485
|
Enova International, Inc.
11.25%, 12/15/2028 (d)
|
|
| 150,000
|
| 158,663
|
goeasy Ltd.:
|
|
|
|
|
|
7.63%, 7/1/2029 (d)
|
|
| 290,000
|
| 290,902
|
9.25%, 12/1/2028 (d)
|
|
| 308,000
|
| 327,903
|
Nationstar Mortgage Holdings, Inc.:
|
|
|
|
|
|
5.13%, 12/15/2030 (d)
|
|
| 160,000
|
| 145,208
|
5.50%, 8/15/2028 (d)
|
|
| 460,000
|
| 439,834
|
5.75%, 11/15/2031 (d)
|
|
| 153,000
|
| 141,208
|
7.13%, 2/1/2032 (d)
|
|
| 200,000
|
| 198,552
|
Navient Corp.:
|
|
|
|
|
|
4.88%, 3/15/2028
|
|
| 420,000
|
| 390,541
|
9.38%, 7/25/2030
|
|
| 57,000
|
| 60,958
|
11.50%, 3/15/2031
|
|
| 70,000
|
| 77,991
|
Series MTN, 5.63%, 8/1/2033
|
|
| 490,000
|
| 405,264
|
OneMain Finance Corp.:
|
|
|
|
|
|
3.50%, 1/15/2027
|
|
| 600,000
|
| 557,058
|
4.00%, 9/15/2030
|
|
| 90,000
|
| 77,048
|
5.38%, 11/15/2029
|
|
| 110,000
|
| 103,391
|
7.88%, 3/15/2030
|
|
| 159,000
|
| 164,342
|
PennyMac Financial Services, Inc.:
|
|
|
|
|
|
4.25%, 2/15/2029 (d)
|
|
| 220,000
|
| 200,548
|
5.75%, 9/15/2031 (d)
|
|
| 470,000
|
| 436,437
|
7.88%, 12/15/2029 (d)
|
|
| 287,000
|
| 294,964
|
PHH Mortgage Corp.
7.88%, 3/15/2026 (d)
|
|
| 50,000
|
| 48,396
|
PRA Group, Inc.:
|
|
|
|
|
|
5.00%, 10/1/2029 (d)
|
|
| 40,000
|
| 33,711
|
8.38%, 2/1/2028 (d)
|
|
| 50,000
|
| 49,692
|
StoneX Group, Inc.
7.88%, 3/1/2031 (d)
|
|
| 190,000
|
| 192,707
|
Synchrony Financial
7.25%, 2/2/2033
|
|
| 350,000
|
| 348,264
|
World Acceptance Corp.
7.00%, 11/1/2026 (d)
|
|
| 122,000
|
| 113,478
|
ELECTRIC — 1.1%
|
|
NRG Energy, Inc.:
|
|
|
|
|
|
3.38%, 2/15/2029 (d)
|
|
| 378,000
|
| 336,205
|
3.63%, 2/15/2031 (d)
|
|
| 220,000
|
| 189,935
|
3.88%, 2/15/2032 (d)
|
|
| 110,000
|
| 94,382
|
PG&E Corp.
5.25%, 7/1/2030
|
|
| 170,000
|
| 162,035
|
See accompanying notes to Schedule of
Investments.
18
SPDR BLACKSTONE HIGH INCOME ETF
Schedule of Investments (continued)
March 31, 2024 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
Vistra Operations Co. LLC:
|
|
|
|
|
|
4.38%, 5/1/2029 (d)
|
|
| $389,000
|
| $360,502
|
7.75%, 10/15/2031 (d)
|
|
| 464,000
|
| 485,646
|
ELECTRICAL COMPONENTS & EQUIPMENT — 0.2%
|
|
Energizer Holdings, Inc.:
|
|
|
|
|
|
4.38%, 3/31/2029 (d)
|
|
| 160,000
|
| 143,344
|
4.75%, 6/15/2028 (d)
|
|
| 240,000
|
| 222,578
|
ELECTRONICS — 0.1%
|
|
Coherent Corp.
5.00%, 12/15/2029 (d)
|
|
| 200,000
|
| 188,378
|
ENGINEERING & CONSTRUCTION — 0.3%
|
|
Great Lakes Dredge & Dock Corp.
5.25%, 6/1/2029 (d)
|
|
| 121,000
|
| 107,686
|
TopBuild Corp.:
|
|
|
|
|
|
3.63%, 3/15/2029 (d)
|
|
| 210,000
|
| 190,962
|
4.13%, 2/15/2032 (d)
|
|
| 210,000
|
| 185,919
|
ENTERTAINMENT — 0.6%
|
|
Churchill Downs, Inc.
4.75%, 1/15/2028 (d)
|
|
| 400,000
|
| 380,756
|
Cinemark USA, Inc.
5.25%, 7/15/2028 (d)
|
|
| 100,000
|
| 94,684
|
Light & Wonder International, Inc.
7.50%, 9/1/2031 (d)
|
|
| 47,000
|
| 48,904
|
Wynn Resorts Finance LLC/Wynn Resorts Capital Corp.:
|
|
|
|
|
|
5.13%, 10/1/2029 (d)
|
|
| 227,000
|
| 215,169
|
7.13%, 2/15/2031 (d)
|
|
| 190,000
|
| 196,686
|
ENVIRONMENTAL CONTROL — 0.1%
|
|
Stericycle, Inc.
3.88%, 1/15/2029 (d)
|
|
| 100,000
|
| 90,689
|
FOOD — 0.8%
|
|
Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC
3.50%, 3/15/2029 (d)
|
|
| 200,000
|
| 179,446
|
Lamb Weston Holdings, Inc.:
|
|
|
|
|
|
4.13%, 1/31/2030 (d)
|
|
| 140,000
|
| 127,732
|
4.88%, 5/15/2028 (d)
|
|
| 240,000
|
| 233,045
|
Post Holdings, Inc.:
|
|
|
|
|
|
4.50%, 9/15/2031 (d)
|
|
| 100,000
|
| 89,961
|
4.63%, 4/15/2030 (d)
|
|
| 120,000
|
| 110,147
|
5.50%, 12/15/2029 (d)
|
|
| 390,000
|
| 376,759
|
FOREST PRODUCTS & PAPER — 0.1%
|
|
Mercer International, Inc.
5.13%, 2/1/2029
|
|
| 127,000
|
| 111,831
|
HEALTH CARE PRODUCTS — 0.1%
|
|
Hologic, Inc.
3.25%, 2/15/2029 (d)
|
|
| 200,000
|
| 179,358
|
HEALTH CARE SERVICES — 1.5%
|
|
Acadia Healthcare Co., Inc.
5.00%, 4/15/2029 (d)
|
|
| 300,000
|
| 284,970
|
Security Description
|
|
| Principal
Amount
|
| Value
|
Charles River Laboratories International, Inc.
4.25%, 5/1/2028 (d)
|
|
| $100,000
|
| $94,389
|
CHS/Community Health Systems, Inc.:
|
|
|
|
|
|
4.75%, 2/15/2031 (d)
|
|
| 110,000
|
| 84,882
|
5.25%, 5/15/2030 (d)
|
|
| 100,000
|
| 81,575
|
6.13%, 4/1/2030 (d)
|
|
| 10,000
|
| 7,200
|
6.88%, 4/15/2029 (d)
|
|
| 155,000
|
| 116,169
|
10.88%, 1/15/2032 (d)
|
|
| 40,000
|
| 41,312
|
DaVita, Inc.:
|
|
|
|
|
|
3.75%, 2/15/2031 (d)
|
|
| 240,000
|
| 200,801
|
4.63%, 6/1/2030 (d)
|
|
| 460,000
|
| 411,746
|
Encompass Health Corp.:
|
|
|
|
|
|
4.50%, 2/1/2028
|
|
| 370,000
|
| 352,221
|
4.63%, 4/1/2031
|
|
| 385,000
|
| 349,884
|
ModivCare Escrow Issuer, Inc.
5.00%, 10/1/2029 (d)
|
|
| 40,000
|
| 28,996
|
Molina Healthcare, Inc.:
|
|
|
|
|
|
3.88%, 11/15/2030 (d)
|
|
| 10,000
|
| 8,894
|
3.88%, 5/15/2032 (d)
|
|
| 190,000
|
| 165,591
|
HOME BUILDERS — 1.7%
|
|
Beazer Homes USA, Inc.
7.25%, 10/15/2029
|
|
| 270,000
|
| 273,253
|
Century Communities, Inc.
3.88%, 8/15/2029 (d)
|
|
| 370,000
|
| 333,166
|
Dream Finders Homes, Inc.
8.25%, 8/15/2028 (d)
|
|
| 130,000
|
| 135,660
|
Forestar Group, Inc.
3.85%, 5/15/2026 (d)
|
|
| 83,000
|
| 79,272
|
KB Home
4.00%, 6/15/2031
|
|
| 353,000
|
| 312,963
|
LGI Homes, Inc.:
|
|
|
|
|
|
4.00%, 7/15/2029 (d)
|
|
| 150,000
|
| 131,069
|
8.75%, 12/15/2028 (d)
|
|
| 35,000
|
| 36,958
|
M/I Homes, Inc.:
|
|
|
|
|
|
3.95%, 2/15/2030
|
|
| 145,000
|
| 130,429
|
4.95%, 2/1/2028
|
|
| 160,000
|
| 152,470
|
Taylor Morrison Communities, Inc.:
|
|
|
|
|
|
5.13%, 8/1/2030 (d)
|
|
| 340,000
|
| 324,965
|
5.75%, 1/15/2028 (d)
|
|
| 225,000
|
| 223,718
|
Thor Industries, Inc.
4.00%, 10/15/2029 (d)
|
|
| 150,000
|
| 134,334
|
Tri Pointe Homes, Inc.
5.70%, 6/15/2028
|
|
| 290,000
|
| 285,247
|
HOME FURNISHINGS — 0.4%
|
|
Tempur Sealy International, Inc.:
|
|
|
|
|
|
3.88%, 10/15/2031 (d)
|
|
| 60,000
|
| 51,023
|
4.00%, 4/15/2029 (d)
|
|
| 680,000
|
| 617,746
|
HOUSEHOLD PRODUCTS — 0.1%
|
|
Edgewell Personal Care Co.
4.13%, 4/1/2029 (d)
|
|
| 160,000
|
| 146,866
|
See accompanying notes to Schedule of
Investments.
19
SPDR BLACKSTONE HIGH INCOME ETF
Schedule of Investments (continued)
March 31, 2024 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
HOUSEHOLD PRODUCTS & WARES — 0.3%
|
|
Central Garden & Pet Co.
4.13%, 10/15/2030
|
|
| $545,000
|
| $488,865
|
INTERNET — 1.3%
|
|
ANGI Group LLC
3.88%, 8/15/2028 (d)
|
|
| 220,000
|
| 190,945
|
Cogent Communications Group, Inc.
7.00%, 6/15/2027 (d)
|
|
| 400,000
|
| 398,212
|
Go Daddy Operating Co. LLC/GD Finance Co., Inc.
3.50%, 3/1/2029 (d)
|
|
| 500,000
|
| 451,015
|
Rakuten Group, Inc.
11.25%, 2/15/2027 (d)
|
|
| 820,000
|
| 868,503
|
INVESTMENT COMPANY SECURITY — 0.2%
|
|
Compass Group Diversified Holdings LLC
5.25%, 4/15/2029 (d)
|
|
| 300,000
|
| 284,949
|
IRON/STEEL — 0.3%
|
|
Commercial Metals Co.
4.38%, 3/15/2032
|
|
| 120,000
|
| 107,887
|
Mineral Resources Ltd.
8.00%, 11/1/2027 (d)
|
|
| 330,000
|
| 336,373
|
IT SERVICES — 0.1%
|
|
ASGN, Inc.
4.63%, 5/15/2028 (d)
|
|
| 80,000
|
| 75,675
|
Seagate HDD Cayman
9.63%, 12/1/2032
|
|
| 50,000
|
| 57,009
|
LEISURE TIME — 0.5%
|
|
Carnival Corp.
5.75%, 3/1/2027 (d)
|
|
| 170,000
|
| 168,278
|
NCL Corp. Ltd.
7.75%, 2/15/2029 (d)
|
|
| 330,000
|
| 343,141
|
Royal Caribbean Cruises Ltd.
3.70%, 3/15/2028
|
|
| 245,000
|
| 227,813
|
LODGING — 0.8%
|
|
Hilton Domestic Operating Co., Inc.:
|
|
|
|
|
|
3.63%, 2/15/2032 (d)
|
|
| 371,000
|
| 319,672
|
3.75%, 5/1/2029 (d)
|
|
| 590,000
|
| 540,959
|
Station Casinos LLC
4.63%, 12/1/2031 (d)
|
|
| 190,000
|
| 171,021
|
Travel & Leisure Co.
4.50%, 12/1/2029 (d)
|
|
| 40,000
|
| 36,720
|
Wyndham Hotels & Resorts, Inc.
4.38%, 8/15/2028 (d)
|
|
| 200,000
|
| 185,804
|
MACHINERY, CONSTRUCTION & MINING — 0.2%
|
|
BWX Technologies, Inc.:
|
|
|
|
|
|
4.13%, 6/30/2028 (d)
|
|
| 90,000
|
| 84,065
|
4.13%, 4/15/2029 (d)
|
|
| 250,000
|
| 230,592
|
MACHINERY-DIVERSIFIED — 0.1%
|
|
ATS Corp.
4.13%, 12/15/2028 (d)
|
|
| 148,000
|
| 135,529
|
Security Description
|
|
| Principal
Amount
|
| Value
|
Esab Corp.
6.25%, 4/15/2029 (d)
|
|
| $55,000
|
| $55,294
|
MEDIA — 1.5%
|
|
AMC Networks, Inc.
4.25%, 2/15/2029
|
|
| 210,000
|
| 148,886
|
CCO Holdings LLC/CCO Holdings Capital Corp.:
|
|
|
|
|
|
4.25%, 2/1/2031 (d)
|
|
| 60,000
|
| 48,836
|
4.25%, 1/15/2034 (d)
|
|
| 70,000
|
| 52,830
|
4.50%, 8/15/2030 (d)
|
|
| 100,000
|
| 84,001
|
4.75%, 3/1/2030 (d)
|
|
| 370,000
|
| 317,382
|
5.00%, 2/1/2028 (d)
|
|
| 60,000
|
| 55,871
|
CSC Holdings LLC:
|
|
|
|
|
|
6.50%, 2/1/2029 (d)
|
|
| 70,000
|
| 59,500
|
7.50%, 4/1/2028 (d)
|
|
| 40,000
|
| 26,904
|
11.25%, 5/15/2028 (d)
|
|
| 50,000
|
| 49,590
|
11.75%, 1/31/2029 (d)
|
|
| 200,000
|
| 200,054
|
Gray Television, Inc.:
|
|
|
|
|
|
4.75%, 10/15/2030 (d)
|
|
| 175,000
|
| 114,898
|
5.38%, 11/15/2031 (d)
|
|
| 192,000
|
| 126,033
|
News Corp.:
|
|
|
|
|
|
3.88%, 5/15/2029 (d)
|
|
| 300,000
|
| 274,884
|
5.13%, 2/15/2032 (d)
|
|
| 75,000
|
| 70,669
|
Nexstar Media, Inc.:
|
|
|
|
|
|
4.75%, 11/1/2028 (d)
|
|
| 290,000
|
| 264,364
|
5.63%, 7/15/2027 (d)
|
|
| 70,000
|
| 67,208
|
Scripps Escrow, Inc.
5.88%, 7/15/2027 (d)
|
|
| 65,000
|
| 54,310
|
Sinclair Television Group, Inc.:
|
|
|
|
|
|
4.13%, 12/1/2030 (d)
|
|
| 50,000
|
| 36,357
|
5.50%, 3/1/2030 (d)
|
|
| 90,000
|
| 64,845
|
Sirius XM Radio, Inc.
4.00%, 7/15/2028 (d)
|
|
| 100,000
|
| 91,500
|
METAL FABRICATE & HARDWARE — 0.0% (c)
|
|
Park-Ohio Industries, Inc.
6.63%, 4/15/2027
|
|
| 60,000
|
| 56,182
|
MINING — 0.9%
|
|
Eldorado Gold Corp.
6.25%, 9/1/2029 (d)
|
|
| 230,000
|
| 220,667
|
FMG Resources August 2006 Pty. Ltd.:
|
|
|
|
|
|
4.38%, 4/1/2031 (d)
|
|
| 160,000
|
| 143,008
|
4.50%, 9/15/2027 (d)
|
|
| 100,000
|
| 95,947
|
5.88%, 4/15/2030 (d)
|
|
| 300,000
|
| 294,942
|
6.13%, 4/15/2032 (d)
|
|
| 385,000
|
| 380,622
|
IAMGOLD Corp.
5.75%, 10/15/2028 (d)
|
|
| 155,000
|
| 142,188
|
Taseko Mines Ltd.
7.00%, 2/15/2026 (d)
|
|
| 90,000
|
| 90,382
|
MISCELLANEOUS MANUFACTURER — 0.2%
|
|
Hillenbrand, Inc.
3.75%, 3/1/2031
|
|
| 350,000
|
| 303,114
|
See accompanying notes to Schedule of
Investments.
20
SPDR BLACKSTONE HIGH INCOME ETF
Schedule of Investments (continued)
March 31, 2024 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
OFFICE & BUSINESS EQUIPMENT — 0.7%
|
|
Pitney Bowes, Inc.:
|
|
|
|
|
|
6.88%, 3/15/2027 (d)
|
|
| $90,000
|
| $82,255
|
7.25%, 3/15/2029 (d)
|
|
| 50,000
|
| 44,668
|
Xerox Holdings Corp.
5.50%, 8/15/2028 (d)
|
|
| 940,000
|
| 855,795
|
OFFICE FURNISHINGS — 0.1%
|
|
Steelcase, Inc.
5.13%, 1/18/2029
|
|
| 210,000
|
| 198,498
|
OIL & GAS — 2.7%
|
|
Baytex Energy Corp.
8.50%, 4/30/2030 (d)
|
|
| 50,000
|
| 52,166
|
Calumet Specialty Products Partners LP/Calumet Finance Corp.:
|
|
|
|
|
|
8.13%, 1/15/2027 (d)
|
|
| 10,000
|
| 9,753
|
9.75%, 7/15/2028 (d)
|
|
| 250,000
|
| 247,752
|
Civitas Resources, Inc.
8.75%, 7/1/2031 (d)
|
|
| 135,000
|
| 144,550
|
CNX Resources Corp.:
|
|
|
|
|
|
6.00%, 1/15/2029 (d)
|
|
| 388,000
|
| 380,256
|
7.25%, 3/1/2032 (d)
|
|
| 116,000
|
| 118,025
|
CVR Energy, Inc.
5.75%, 2/15/2028 (d)
|
|
| 374,000
|
| 351,545
|
EnQuest PLC
11.63%, 11/1/2027 (d)
|
|
| 76,000
|
| 75,146
|
Northern Oil & Gas, Inc.
8.75%, 6/15/2031 (d)
|
|
| 94,000
|
| 99,295
|
Parkland Corp.:
|
|
|
|
|
|
4.50%, 10/1/2029 (d)
|
|
| 480,000
|
| 443,957
|
4.63%, 5/1/2030 (d)
|
|
| 413,000
|
| 380,749
|
PBF Holding Co. LLC/PBF Finance Corp.
7.88%, 9/15/2030 (d)
|
|
| 216,000
|
| 223,826
|
Precision Drilling Corp.
6.88%, 1/15/2029 (d)
|
|
| 300,000
|
| 299,253
|
Sunoco LP/Sunoco Finance Corp.:
|
|
|
|
|
|
4.50%, 5/15/2029
|
|
| 820,000
|
| 763,518
|
4.50%, 4/30/2030
|
|
| 60,000
|
| 55,034
|
Transocean, Inc.
7.50%, 4/15/2031
|
|
| 136,000
|
| 126,379
|
Valaris Ltd.
8.38%, 4/30/2030 (d)
|
|
| 280,000
|
| 288,364
|
OIL & GAS SERVICES — 0.4%
|
|
Archrock Partners LP/Archrock Partners Finance Corp.
6.25%, 4/1/2028 (d)
|
|
| 300,000
|
| 296,169
|
Helix Energy Solutions Group, Inc.
9.75%, 3/1/2029 (d)
|
|
| 135,000
|
| 144,401
|
Oceaneering International, Inc.
6.00%, 2/1/2028
|
|
| 100,000
|
| 98,739
|
Security Description
|
|
| Principal
Amount
|
| Value
|
PACKAGING & CONTAINERS — 0.2%
|
|
Ardagh Metal Packaging Finance USA LLC/Ardagh Metal Packaging Finance PLC
4.00%, 9/1/2029 (d)
|
|
| $310,000
|
| $249,931
|
Ball Corp.
3.13%, 9/15/2031
|
|
| 30,000
|
| 25,564
|
Graphic Packaging International LLC
3.75%, 2/1/2030 (d)
|
|
| 20,000
|
| 17,816
|
PHARMACEUTICALS — 0.2%
|
|
AdaptHealth LLC
5.13%, 3/1/2030 (d)
|
|
| 150,000
|
| 130,827
|
Prestige Brands, Inc.
3.75%, 4/1/2031 (d)
|
|
| 150,000
|
| 130,632
|
PIPELINES — 1.6%
|
|
Antero Midstream Partners LP/Antero Midstream Finance Corp.:
|
|
|
|
|
|
5.38%, 6/15/2029 (d)
|
|
| 200,000
|
| 192,378
|
5.75%, 1/15/2028 (d)
|
|
| 100,000
|
| 98,421
|
6.63%, 2/1/2032 (d)
|
|
| 168,000
|
| 168,717
|
Delek Logistics Partners LP/Delek Logistics Finance Corp.:
|
|
|
|
|
|
7.13%, 6/1/2028 (d)
|
|
| 94,000
|
| 91,828
|
8.63%, 3/15/2029 (d)
|
|
| 127,000
|
| 129,703
|
EnLink Midstream Partners LP:
|
|
|
|
|
|
5.05%, 4/1/2045
|
|
| 120,000
|
| 99,162
|
5.45%, 6/1/2047
|
|
| 220,000
|
| 191,138
|
Global Partners LP/GLP Finance Corp.
6.88%, 1/15/2029
|
|
| 283,000
|
| 281,209
|
Hess Midstream Operations LP:
|
|
|
|
|
|
4.25%, 2/15/2030 (d)
|
|
| 200,000
|
| 183,846
|
5.13%, 6/15/2028 (d)
|
|
| 210,000
|
| 203,127
|
5.50%, 10/15/2030 (d)
|
|
| 400,000
|
| 387,708
|
NGL Energy Operating LLC/NGL Energy Finance Corp.:
|
|
|
|
|
|
8.13%, 2/15/2029 (d)
|
|
| 135,000
|
| 138,276
|
8.38%, 2/15/2032 (d)
|
|
| 90,000
|
| 92,287
|
NuStar Logistics LP
6.38%, 10/1/2030
|
|
| 100,000
|
| 100,914
|
REAL ESTATE — 0.8%
|
|
Howard Hughes Corp.:
|
|
|
|
|
|
4.13%, 2/1/2029 (d)
|
|
| 505,000
|
| 453,990
|
4.38%, 2/1/2031 (d)
|
|
| 210,000
|
| 182,265
|
Newmark Group, Inc.
7.50%, 1/12/2029 (d)
|
|
| 267,000
|
| 274,532
|
Realogy Group LLC/Realogy Co.-Issuer Corp.
5.75%, 1/15/2029 (d)
|
|
| 300,000
|
| 212,550
|
REAL ESTATE INVESTMENT TRUSTS — 2.3%
|
|
Apollo Commercial Real Estate Finance, Inc.
4.63%, 6/15/2029 (d)
|
|
| 220,000
|
| 185,425
|
See accompanying notes to Schedule of
Investments.
21
SPDR BLACKSTONE HIGH INCOME ETF
Schedule of Investments (continued)
March 31, 2024 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
Brandywine Operating Partnership LP
4.55%, 10/1/2029
|
|
| $180,000
|
| $157,088
|
Hudson Pacific Properties LP
4.65%, 4/1/2029
|
|
| 70,000
|
| 59,782
|
Iron Mountain, Inc.:
|
|
|
|
|
|
5.25%, 3/15/2028 (d)
|
|
| 300,000
|
| 290,313
|
5.25%, 7/15/2030 (d)
|
|
| 280,000
|
| 264,872
|
5.63%, 7/15/2032 (d)
|
|
| 60,000
|
| 56,663
|
7.00%, 2/15/2029 (d)
|
|
| 49,000
|
| 49,958
|
REIT, 4.50%, 2/15/2031 (d)
|
|
| 200,000
|
| 180,692
|
Rithm Capital Corp.
8.00%, 4/1/2029 (d)
|
|
| 232,000
|
| 225,158
|
Service Properties Trust:
|
|
|
|
|
|
3.95%, 1/15/2028
|
|
| 415,000
|
| 355,003
|
4.95%, 2/15/2027
|
|
| 270,000
|
| 249,834
|
4.95%, 10/1/2029
|
|
| 10,000
|
| 8,180
|
Starwood Property Trust, Inc.:
|
|
|
|
|
|
4.38%, 1/15/2027 (d)
|
|
| 620,000
|
| 583,221
|
7.25%, 4/1/2029 (d)
|
|
| 55,000
|
| 55,432
|
Uniti Group LP/Uniti Fiber Holdings, Inc./CSL Capital LLC
6.00%, 1/15/2030 (d)
|
|
| 110,000
|
| 82,119
|
Uniti Group LP/Uniti Group Finance, Inc./CSL Capital LLC:
|
|
|
|
|
|
6.50%, 2/15/2029 (d)
|
|
| 570,000
|
| 442,320
|
10.50%, 2/15/2028 (d)
|
|
| 40,000
|
| 41,494
|
Vornado Realty LP
3.40%, 6/1/2031
|
|
| 140,000
|
| 110,778
|
RETAIL — 4.0%
|
|
1011778 BC ULC/New Red Finance, Inc.
3.50%, 2/15/2029 (d)
|
|
| 400,000
|
| 365,308
|
Asbury Automotive Group, Inc.:
|
|
|
|
|
|
4.63%, 11/15/2029 (d)
|
|
| 120,000
|
| 111,024
|
5.00%, 2/15/2032 (d)
|
|
| 270,000
|
| 244,590
|
Bath & Body Works, Inc.:
|
|
|
|
|
|
6.75%, 7/1/2036
|
|
| 230,000
|
| 232,222
|
6.88%, 11/1/2035
|
|
| 230,000
|
| 234,956
|
Bloomin' Brands, Inc./OSI Restaurant Partners LLC
5.13%, 4/15/2029 (d)
|
|
| 131,000
|
| 121,619
|
BlueLinx Holdings, Inc.
6.00%, 11/15/2029 (d)
|
|
| 70,000
|
| 67,894
|
FirstCash, Inc.:
|
|
|
|
|
|
4.63%, 9/1/2028 (d)
|
|
| 110,000
|
| 103,552
|
5.63%, 1/1/2030 (d)
|
|
| 120,000
|
| 114,157
|
6.88%, 3/1/2032 (d)
|
|
| 278,000
|
| 278,189
|
Foot Locker, Inc.
4.00%, 10/1/2029 (d)
|
|
| 170,000
|
| 143,150
|
Gap, Inc.:
|
|
|
|
|
|
3.63%, 10/1/2029 (d)
|
|
| 613,000
|
| 537,006
|
3.88%, 10/1/2031 (d)
|
|
| 30,000
|
| 25,374
|
Security Description
|
|
| Principal
Amount
|
| Value
|
Group 1 Automotive, Inc.
4.00%, 8/15/2028 (d)
|
|
| $150,000
|
| $138,244
|
Lithia Motors, Inc.:
|
|
|
|
|
|
3.88%, 6/1/2029 (d)
|
|
| 120,000
|
| 108,266
|
4.38%, 1/15/2031 (d)
|
|
| 20,000
|
| 17,917
|
Macy's Retail Holdings LLC:
|
|
|
|
|
|
4.50%, 12/15/2034
|
|
| 150,000
|
| 132,402
|
6.13%, 3/15/2032 (d)
|
|
| 10,000
|
| 9,696
|
Murphy Oil USA, Inc.:
|
|
|
|
|
|
3.75%, 2/15/2031 (d)
|
|
| 600,000
|
| 524,064
|
4.75%, 9/15/2029
|
|
| 50,000
|
| 47,441
|
Nordstrom, Inc.
5.00%, 1/15/2044
|
|
| 409,000
|
| 315,818
|
Patrick Industries, Inc.
4.75%, 5/1/2029 (d)
|
|
| 300,000
|
| 280,083
|
Sally Holdings LLC/Sally Capital, Inc.
6.75%, 3/1/2032
|
|
| 80,000
|
| 79,382
|
Sonic Automotive, Inc.:
|
|
|
|
|
|
4.63%, 11/15/2029 (d)
|
|
| 190,000
|
| 170,605
|
4.88%, 11/15/2031 (d)
|
|
| 190,000
|
| 166,208
|
Suburban Propane Partners LP/Suburban Energy Finance Corp.
5.00%, 6/1/2031 (d)
|
|
| 450,000
|
| 409,990
|
Superior Plus LP/Superior General Partner, Inc.
4.50%, 3/15/2029 (d)
|
|
| 240,000
|
| 221,806
|
Victoria's Secret & Co.
4.63%, 7/15/2029 (d)
|
|
| 269,000
|
| 220,758
|
Yum! Brands, Inc.:
|
|
|
|
|
|
3.63%, 3/15/2031
|
|
| 130,000
|
| 115,041
|
4.63%, 1/31/2032
|
|
| 102,000
|
| 94,278
|
4.75%, 1/15/2030 (d)
|
|
| 280,000
|
| 265,639
|
SEMICONDUCTORS — 0.1%
|
|
ams-OSRAM AG
12.25%, 3/30/2029 (d)
|
|
| 20,000
|
| 20,093
|
Entegris, Inc.
3.63%, 5/1/2029 (d)
|
|
| 170,000
|
| 152,689
|
SOFTWARE — 0.8%
|
|
Fair Isaac Corp.
4.00%, 6/15/2028 (d)
|
|
| 593,000
|
| 554,176
|
MicroStrategy, Inc.
6.13%, 6/15/2028 (d)
|
|
| 220,000
|
| 212,516
|
Open Text Holdings, Inc.
4.13%, 2/15/2030 (d)
|
|
| 420,000
|
| 376,421
|
PTC, Inc.
4.00%, 2/15/2028 (d)
|
|
| 130,000
|
| 121,516
|
TELECOMMUNICATIONS — 1.1%
|
|
Ciena Corp.
4.00%, 1/31/2030 (d)
|
|
| 90,000
|
| 80,269
|
Consolidated Communications, Inc.
6.50%, 10/1/2028 (d)
|
|
| 185,000
|
| 162,360
|
See accompanying notes to Schedule of
Investments.
22
SPDR BLACKSTONE HIGH INCOME ETF
Schedule of Investments (continued)
March 31, 2024 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
Frontier Communications Holdings LLC:
|
|
|
|
|
|
5.88%, 11/1/2029
|
|
| $473,000
|
| $399,335
|
6.00%, 1/15/2030 (d)
|
|
| 110,000
|
| 93,260
|
6.75%, 5/1/2029 (d)
|
|
| 458,000
|
| 408,105
|
Telecom Italia Capital SA
7.72%, 6/4/2038
|
|
| 170,000
|
| 170,085
|
Viasat, Inc.
6.50%, 7/15/2028 (d)
|
|
| 210,000
|
| 162,133
|
Viavi Solutions, Inc.
3.75%, 10/1/2029 (d)
|
|
| 190,000
|
| 163,119
|
TRANSPORTATION — 0.1%
|
|
Danaos Corp.
8.50%, 3/1/2028 (d)
|
|
| 40,000
|
| 40,924
|
XPO, Inc.
7.13%, 2/1/2032 (d)
|
|
| 55,000
|
| 56,610
|
TOTAL CORPORATE BONDS & NOTES
(Cost $56,074,620)
|
|
|
|
| 58,122,651
|
|
| Shares
|
|
SHORT-TERM INVESTMENTS — 7.2%
|
State Street Institutional U.S. Government Money Market Fund, Class G Shares 5.30% (h) (i)
(Cost $10,750,670)
|
| 10,750,670
| 10,750,670
|
TOTAL INVESTMENTS — 105.2%
(Cost $153,000,057)
|
|
| 156,268,695
|
LIABILITIES IN EXCESS OF OTHER ASSETS — (5.2)%
|
|
| (7,781,014)
|
NET ASSETS — 100.0%
|
|
| $148,487,681
|
(a)
| Variable Rate Security - Interest rate shown is rate in effect at March 31, 2024. For securities based on a published reference rate and spread, the reference rate and spread are
indicated in the description above.
|
(b)
| Position is unsettled. Contract rate was not determined at March 31, 2024 and does not take effect until settlement date. Maturity date is not finalized until settlement date.
|
(c)
| Amount is less than 0.05% of net assets.
|
(d)
| Securities purchased pursuant to Rule 144A of the Securities Act of 1933, as amended. These securities, which represent 38.1% of net assets as of March 31, 2024, are considered liquid
and may be resold in transactions exempt from registration, normally to qualified institutional buyers.
|
(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 March 31, 2024, total aggregate fair value of the securities is $238,124, representing 0.20% of the Fund's net assets.
|
(f)
| Non-income producing security.
|
(g)
| Affiliated fund managed by SSGA Funds Management, Inc. Amounts related to these investments during the period ended March 31, 2024 are shown in the Affiliate Table below.
|
(h)
| The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these investments during the period ended March 31, 2024 are shown in the
Affiliate Table below.
|
(i)
| The rate shown is the annualized seven-day yield at March 31, 2024.
|
ABS
| Asset-Backed Security
|
CLO
| Collateralized Loan Obligation
|
CVR
| Contingent Value Rights
|
MTN
| Medium Term Note
|
PIK
| Payment in Kind
|
REIT
| Real Estate Investment Trust
|
SOFR
| Secured Overnight Financing Rate
|
At March 31, 2024, the
Fund had unfunded loan commitments of $104,154, which could be extended at the option of the borrowers, pursuant to the following loan agreements:
Borrower
|
| Unfunded Loan
Commitment ($)
|
| Value ($)
|
| Unrealized
Appreciation/(Depreciation) ($)
|
Touchdown Acquirer Inc
|
| 80,838
|
| 81,192
|
| 354
|
Groundworks, LLC
|
| 23,316
|
| 23,349
|
| 33
|
|
| $104,154
|
| $104,541
|
| $387
|
See accompanying notes to Schedule of
Investments.
23
SPDR BLACKSTONE HIGH INCOME ETF
Schedule of Investments (continued)
March 31, 2024 (Unaudited)
The following table summarizes
the value of the Fund's investments according to the fair value hierarchy as of March 31, 2024.
Description
|
| Level 1 –
Quoted Prices
|
| Level 2 –
Other Significant
Observable Inputs
|
| Level 3 –
Significant
Unobservable Inputs
|
| Total
|
ASSETS:
|
|
|
|
|
|
|
|
|
INVESTMENTS:
|
|
|
|
|
|
|
|
|
Corporate Bonds & Notes
|
| $—
|
| $58,122,651
|
| $—
|
| $58,122,651
|
Asset-Backed Securities
|
| —
|
| 12,645,725
|
| —
|
| 12,645,725
|
Common Stocks
|
| —
|
| —
|
| 238,124
|
| 238,124
|
Mutual Funds and Exchange Traded Products
|
| 4,670,462
|
| —
|
| —
|
| 4,670,462
|
Senior Floating Rate Loans
|
| —
|
| 69,841,063
|
| —
|
| 69,841,063
|
Short-Term Investments
|
| 10,750,670
|
| —
|
| —
|
| 10,750,670
|
TOTAL INVESTMENTS
|
| $15,421,132
|
| $140,609,439
|
| $238,124
|
| $156,268,695
|
OTHER FINANCIAL INSTRUMENTS:
|
|
|
|
|
|
|
|
|
Unfunded Loans - Unrealized Appreciation
|
| $—
|
| $387
|
| $—
|
| $387
|
TOTAL OTHER FINANCIAL INSTRUMENTS:
|
| $—
|
| $387
|
| $—
|
| $387
|
Affiliate Table
| Number of
Shares Held
at
6/30/23
|
| Value at
6/30/23
|
| Cost of
Purchases
|
| Proceeds
from
Shares Sold
|
| Realized
Gain (Loss)
|
| Change in
Unrealized
Appreciation/
Depreciation
|
| Number of
Shares Held
at
3/31/24
|
| Value at
3/31/24
|
| Dividend
Income
|
SPDR Blackstone Senior Loan ETF
| —
|
| $—
|
| $7,009,776
|
| $2,377,119
|
| $(23,442)
|
| $61,247
|
| 110,911
|
| $4,670,462
|
| $181,680
|
State Street Institutional U.S. Government Money Market Fund, Class G Shares
| 6,605,513
|
| 6,605,513
|
| 53,667,437
|
| 49,522,280
|
| —
|
| —
|
| 10,750,670
|
| 10,750,670
|
| 206,832
|
Total
|
|
| $6,605,513
|
| $60,677,213
|
| $51,899,399
|
| $(23,442)
|
| $61,247
|
|
|
| $15,421,132
|
| $388,512
|
See accompanying notes to Schedule of
Investments.
24
SPDR BLACKSTONE SENIOR LOAN ETF
SCHEDULE OF INVESTMENTS
March 31, 2024 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
SENIOR FLOATING RATE LOANS — 93.7%
|
|
ADVERTISING SERVICES — 0.6%
|
|
ABG Intermediate Holdings 2 LLC
2021 Term Loan B1 1 mo. USD Term SOFR + 3.50%, 8.93%, 12/21/2028 (a)
|
|
| $24,789,999
|
| $24,913,949
|
Wood Mackenzie Ltd.
2024 Term Loan B 1 mo. USD Term SOFR + 3.50%, 8.81%, 1/31/2031 (a)
|
|
| 6,661,358
|
| 6,690,935
|
|
|
|
|
| 31,604,884
|
AEROSPACE & DEFENSE — 1.7%
|
|
Dynasty Acquisition Co., Inc.:
|
|
|
|
|
|
2024 Term Loan B1 (b)
|
|
| 12,093,637
|
| 12,125,020
|
2024 Term Loan B2 (b)
|
|
| 4,991,849
|
| 5,004,803
|
Kaman Corp.
2024 Term Loan (b)
|
|
| 9,009,720
|
| 9,029,451
|
TransDigm, Inc.:
|
|
|
|
|
|
2023 Term Loan J 1 mo. USD Term SOFR + 3.25%, 8.60%, 2/14/2031 (a)
|
|
| 3,165,576
|
| 3,184,649
|
2024 Term Loan I 1 mo. USD Term SOFR + 2.75%, 8.06%, 8/24/2028 (a)
|
|
| 49,718,984
|
| 49,944,460
|
2024 Term Loan K 3 mo. USD Term SOFR + 2.75%, 8.07%, 2/22/2030 (a)
|
|
| 18,454,007
|
| 18,513,613
|
|
|
|
|
| 97,801,996
|
AIR FREIGHT & LOGISTICS — 0.2%
|
|
Worldwide Express Operations LLC
2021 1st Lien Term Loan 3 mo. USD Term SOFR + 4.00%, 9.57%, 7/26/2028 (a)
|
|
| 13,164,711
|
| 13,119,095
|
AIRLINES — 1.6%
|
|
Air Canada
2024 Term Loan B 3 mo. USD Term SOFR + 2.50%, 7.83%, 3/14/2031 (a)
|
|
| 4,024,916
|
| 4,037,514
|
American Airlines, Inc.
2021 Term Loan 3 mo. USD Term SOFR + 4.75%, 10.33%, 4/20/2028 (a)
|
|
| 30,839,440
|
| 32,079,494
|
Mileage Plus Holdings LLC
2020 Term Loan B 3 mo. USD Term SOFR + 5.25%, 10.73%, 6/21/2027 (a)
|
|
| 16,857,894
|
| 17,380,826
|
Security Description
|
|
| Principal
Amount
|
| Value
|
SkyMiles IP Ltd.
2020 Skymiles Term Loan B 3 mo. USD Term SOFR + 3.75%, 9.07%, 10/20/2027 (a)
|
|
| $4,229,295
|
| $4,367,191
|
United Airlines, Inc.
2024 Term Loan B 3 mo. USD Term SOFR + 2.75%, 8.08%, 2/15/2031 (a)
|
|
| 31,681,497
|
| 31,770,522
|
|
|
|
|
| 89,635,547
|
AUTO COMPONENTS — 0.1%
|
|
BBB Industries LLC
2022 Term Loan 1 mo. USD Term SOFR + 5.25%, 10.68%, 7/25/2029 (a)
|
|
| 2,976,137
|
| 2,851,511
|
AUTO PARTS & EQUIPMENT — 1.7%
|
|
Clarios Global LP
2024 Term Loan B 1 mo. USD Term SOFR + 3.00%, 8.33%, 5/6/2030 (a)
|
|
| 51,105,142
|
| 51,296,786
|
First Brands Group LLC:
|
|
|
|
|
|
2021 Term Loan 3 mo. USD Term SOFR + 5.00%, 10.57%, 3/30/2027 (a)
|
|
| 5,923,368
|
| 5,939,657
|
2022 Incremental Term Loan 3 mo. USD Term SOFR + 5.00%, 10.57%, 3/30/2027 (a)
|
|
| 15,031,608
|
| 15,059,792
|
Tenneco, Inc.
2022 Term Loan B 3 mo. USD Term SOFR + 5.00%, 10.45%, 11/17/2028 (a)
|
|
| 26,449,491
|
| 24,957,872
|
|
|
|
|
| 97,254,107
|
BEVERAGES — 1.0%
|
|
Triton Water Holdings, Inc.
Term Loan 3 mo. USD Term SOFR + 3.25%, 8.86%, 3/31/2028 (a)
|
|
| 53,910,689
|
| 53,412,284
|
BUILDING MATERIALS — 1.0%
|
|
LHS Borrower LLC
2022 Term Loan B 1 mo. USD Term SOFR + 4.75%, 10.18%, 2/16/2029 (a)
|
|
| 15,144,514
|
| 14,500,872
|
MI Windows and Doors LLC
2024 Term Loan B2 (b)
|
|
| 7,667,308
|
| 7,712,852
|
Quikrete Holdings, Inc.:
|
|
|
|
|
|
2023 Term Loan B 1 mo. USD Term SOFR + 2.75%, 8.08%, 3/19/2029 (a)
|
|
| 6,293
|
| 6,304
|
2024 Term Loan B (b)
|
|
| 26,069,594
|
| 26,113,130
|
Summit Materials LLC
2023 Incremental Term Loan B 3 mo. USD Term SOFR + 2.50%, 7.83%, 1/12/2029 (a)
|
|
| 1,449,095
|
| 1,457,970
|
See accompanying notes to Schedule of
Investments.
25
SPDR BLACKSTONE SENIOR LOAN ETF
SCHEDULE OF INVESTMENTS (continued)
March 31, 2024 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
Tamko Building Products LLC
2023 Term Loan 3 mo. USD Term SOFR + 3.50%, 8.83%, 9/20/2030 (a)
|
|
| $8,266,528
|
| $8,276,861
|
|
|
|
|
| 58,067,989
|
BUILDING PRODUCTS — 1.7%
|
|
ACProducts, Inc.
2021 Term Loan B 3 mo. USD Term SOFR + 4.25%, 9.86%, 5/17/2028 (a)
|
|
| 19,785,486
|
| 18,109,952
|
Chamberlain Group, Inc.
Term Loan B 1 mo. USD Term SOFR + 3.25%, 8.68%, 11/3/2028 (a)
|
|
| 12,867,935
|
| 12,865,555
|
Cornerstone Building Brands, Inc.
2021 Term Loan B 1 mo. USD Term SOFR + 3.25%, 8.68%, 4/12/2028 (a)
|
|
| 48,727,837
|
| 48,561,918
|
Oscar AcquisitionCo LLC
Term Loan B 3 mo. USD Term SOFR + 4.50%, 9.95%, 4/29/2029 (a)
|
|
| 17,864,955
|
| 17,932,038
|
|
|
|
|
| 97,469,463
|
CAPITAL MARKETS — 0.0% (c)
|
|
AqGen Island Holdings, Inc.
Term Loan 1 mo. USD Term SOFR + 3.50%, 8.94%, 8/2/2028 (a)
|
|
| 478,875
|
| 477,738
|
CHEMICALS — 0.9%
|
|
Axalta Coating Systems U.S. Holdings, Inc.
2024 Term Loan B6 3 mo. USD Term SOFR + 2.00%, 7.33%, 12/20/2029 (a)
|
|
| 4,272,276
|
| 4,283,705
|
Nouryon Finance BV
2023 USD Term Loan B 1 mo. USD Term SOFR + 4.00%, 9.31%, 4/3/2028 (a)
|
|
| 14,004,971
|
| 14,066,243
|
PMHC II, Inc.
2022 Term Loan B 3 mo. USD Term SOFR + 4.25%, 9.72%, 4/23/2029 (a)
|
|
| 28,460,559
|
| 28,214,233
|
Starfruit Finco BV
2023 Term Loan B 1 mo. USD Term SOFR + 4.00%, 9.42%, 4/3/2028 (a)
|
|
| 3,337,700
|
| 3,353,003
|
|
|
|
|
| 49,917,184
|
COMMERCIAL SERVICES — 7.3%
|
|
AlixPartners LLP
2021 USD Term Loan B 1 mo. USD Term SOFR + 2.50%, 7.94%, 2/4/2028 (a)
|
|
| 3,420,302
|
| 3,428,426
|
Security Description
|
|
| Principal
Amount
|
| Value
|
Allied Universal Holdco LLC
2021 USD Incremental Term Loan B 1 mo. USD Term SOFR + 3.75%, 9.18%, 5/12/2028 (a)
|
|
| $69,029,468
|
| $69,022,910
|
APX Group, Inc.
2021 Term Loan B 1 mo. USD Term SOFR + 3.25%, 3.25%, 7/10/2028 (a)
|
|
| 9,600,405
|
| 9,635,303
|
Belron Finance U.S. LLC:
|
|
|
|
|
|
2023 1st Lien Term Loan 3 mo. USD Term SOFR + 2.25%, 7.66%, 4/18/2029 (a)
|
|
| 6,204,072
|
| 6,217,007
|
2023 USD Term Loan 3 mo. USD Term SOFR + 2.00%, 7.58%, 4/13/2028 (a)
|
|
| 5,494,872
|
| 5,505,862
|
Camelot U.S. Acquisition LLC
2024 Term Loan B 1 mo. USD Term SOFR + 2.75%, 8.08%, 1/31/2031 (a)
|
|
| 12,777,542
|
| 12,787,125
|
CoreLogic, Inc.
Term Loan 1 mo. USD Term SOFR + 3.50%, 8.94%, 6/2/2028 (a)
|
|
| 45,852,737
|
| 44,946,457
|
Corp. Service Co.
Term Loan B 1 mo. USD Term SOFR + 2.75%, 8.08%, 11/2/2029 (a)
|
|
| 794,725
|
| 797,375
|
Fugue Finance BV
2024 USD Term Loan B (b)
|
|
| 4,147,500
|
| 4,163,053
|
Groundworks LLC:
|
|
|
|
|
|
2024 Delayed Draw Term Loan (b)
|
|
| 1,830,224
|
| 1,832,823
|
2024 Term Loan (b)
|
|
| 9,944,216
|
| 9,958,336
|
GTCR W Merger Sub LLC
USD Term Loan B 1 mo. USD Term SOFR + 3.00%, 8.31%, 1/31/2031 (a)
|
|
| 42,137,300
|
| 42,339,349
|
Homeserve USA Holding Corp.
Term Loan (b)
|
|
| 13,058,000
|
| 13,105,336
|
Mavis Tire Express Services Topco Corp.
2024 Term Loan B 1 mo. USD Term SOFR + 3.75%, 9.08%, 5/4/2028 (a)
|
|
| 33,880,960
|
| 33,977,181
|
Neptune Bidco U.S., Inc.
2022 USD Term Loan B 3 mo. USD Term SOFR + 5.00%, 10.42%, 4/11/2029 (a)
|
|
| 70,454,123
|
| 65,121,802
|
OMNIA Partners LLC
2024 Term Loan B (b)
|
|
| 11,343,398
|
| 11,408,963
|
PG Investment Co. 59 SARL
Term Loan B (b)
|
|
| 6,488,371
|
| 6,508,647
|
See accompanying notes to Schedule of
Investments.
26
SPDR BLACKSTONE SENIOR LOAN ETF
SCHEDULE OF INVESTMENTS (continued)
March 31, 2024 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
Prime Security Services Borrower LLC
2023 Term Loan B 3 mo. USD Term SOFR + 2.50%, 7.83%, 10/14/2030 (a)
|
|
| $10,056,277
|
| $10,073,976
|
Spring Education Group, Inc.
Term Loan 3 mo. USD Term SOFR + 4.50%, 9.81%, 10/4/2030 (a)
|
|
| 2,750,118
|
| 2,764,900
|
Thevelia (US) LLC
2024 USD Term Loan B 3 mo. USD Term SOFR + 3.75%, 9.06%, 6/18/2029 (a)
|
|
| 10,671,907
|
| 10,703,603
|
Trans Union LLC:
|
|
|
|
|
|
2019 Term Loan B5 1 mo. USD Term SOFR + 1.75%, 7.18%, 11/16/2026 (a)
|
|
| 1,475,844
|
| 1,476,936
|
2024 Term Loan B6 1 mo. USD Term SOFR + 2.00%, 7.33%, 12/1/2028 (a)
|
|
| 982,872
|
| 983,550
|
Vaco Holdings LLC
2022 Term Loan 3 mo. USD Term SOFR + 5.00%, 10.43%, 1/21/2029 (a)
|
|
| 3,330,303
|
| 3,299,914
|
VT Topco, Inc.
2024 Term Loan B (b)
|
|
| 13,163,814
|
| 13,215,548
|
Wand NewCo 3, Inc.
2024 Term Loan B 1 mo. USD Term SOFR + 3.75%, 9.08%, 1/30/2031 (a)
|
|
| 28,392,161
|
| 28,505,304
|
|
|
|
|
| 411,779,686
|
COMMERCIAL SERVICES & SUPPLIES — 3.1%
|
|
Aramark Services, Inc.
2024 Term Loan B8 (b)
|
|
| 1,201,836
|
| 1,203,717
|
Asurion LLC:
|
|
|
|
|
|
2020 Term Loan B8 1 mo. USD Term SOFR + 3.25%, 8.69%, 12/23/2026 (a)
|
|
| 43,914,273
|
| 43,129,964
|
2021 Second Lien Term Loan B4 1 mo. USD Term SOFR + 5.25%, 10.69%, 1/20/2029 (a)
|
|
| 62,994,926
|
| 56,661,102
|
2022 Term Loan B10 1 mo. USD Term SOFR + 4.00%, 9.43%, 8/19/2028 (a)
|
|
| 2,109,648
|
| 2,037,129
|
2023 Term Loan B11 1 mo. USD Term SOFR + 4.25%, 9.68%, 8/19/2028 (a)
|
|
| 6,392,648
|
| 6,184,887
|
Security Description
|
|
| Principal
Amount
|
| Value
|
Covanta Holding Corp.:
|
|
|
|
|
|
2021 Term Loan B 1 mo. USD Term SOFR + 2.50%, 7.83%, 11/30/2028 (a)
|
|
| $916,164
|
| $915,307
|
2021 Term Loan C 1 mo. USD Term SOFR + 2.50%, 7.83%, 11/30/2028 (a)
|
|
| 69,849
|
| 69,783
|
Garda World Security Corp.
2022 Term Loan B 3 mo. USD Term SOFR + 4.25%, 9.58%, 2/1/2029 (a)
|
|
| 24,311,652
|
| 24,387,747
|
McGraw-Hill Global Education Holdings LLC
2021 Term Loan 1 mo. USD Term SOFR + 4.75%, 10.19%, 7/28/2028 (a)
|
|
| 37,455,024
|
| 37,568,700
|
|
|
|
|
| 172,158,336
|
COMMUNICATIONS EQUIPMENT — 0.9%
|
|
Zayo Group Holdings, Inc.
USD Term Loan 1 mo. USD Term SOFR + 3.00%,, 3/9/2027 (a)
|
|
| 59,374,962
|
| 52,266,888
|
COMPUTERS — 1.9%
|
|
KBR, Inc.
2024 Term Loan B 1 mo. USD Term SOFR + 2.25%, 7.58%, 1/17/2031 (a)
|
|
| 11,983,260
|
| 12,022,205
|
Magenta Buyer LLC
2021 USD 1st Lien Term Loan 3 mo. USD Term SOFR + 5.00%, 10.57%, 7/27/2028 (a)
|
|
| 50,575,768
|
| 30,345,461
|
Tempo Acquisition LLC
2023 Term Loan B 1 mo. USD Term SOFR + 2.75%, 8.08%, 8/31/2028 (a)
|
|
| 11,325,164
|
| 11,373,806
|
Vision Solutions, Inc.
2021 Incremental Term Loan 3 mo. USD Term SOFR + 4.00%, 9.59%, 4/24/2028 (a)
|
|
| 52,011,652
|
| 52,147,142
|
|
|
|
|
| 105,888,614
|
CONSTRUCTION & ENGINEERING — 0.6%
|
|
Artera Services LLC
2024 Term Loan 3 mo. USD Term SOFR + 4.50%, 9.81%, 2/15/2031 (a)
|
|
| 7,060,135
|
| 7,095,436
|
Brown Group Holding LLC
Term Loan B 1 mo. USD Term SOFR + 2.75%, 8.18%, 6/7/2028 (a)
|
|
| 6,929,308
|
| 6,932,461
|
KKR Apple Bidco LLC:
|
|
|
|
|
|
2021 Term Loan 1 mo. USD Term SOFR + 2.75%, 8.19%, 9/22/2028 (a)
|
|
| 1,033,082
|
| 1,033,408
|
See accompanying notes to Schedule of
Investments.
27
SPDR BLACKSTONE SENIOR LOAN ETF
SCHEDULE OF INVESTMENTS (continued)
March 31, 2024 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
2022 Incremental Term Loan 1 mo. USD Term SOFR + 3.50%, 8.83%, 9/22/2028 (a)
|
|
| $12,570,048
|
| $12,618,065
|
Radar Bidco SARL
2024 USD Term Loan B (b)
|
|
| 6,545,000
|
| 6,553,181
|
|
|
|
|
| 34,232,551
|
CONTAINERS & PACKAGING — 1.6%
|
|
Berlin Packaging LLC
2021 Term Loan B5 3 mo. USD Term SOFR + 0.00%, 9.32%, 3/11/2028 (a)
|
|
| 8,651,848
|
| 8,672,483
|
Clydesdale Acquisition Holdings, Inc.
Term Loan B 1 mo. USD Term SOFR + 3.68%, 9.11%, 4/13/2029 (a)
|
|
| 53,771,726
|
| 53,906,155
|
Proampac PG Borrower LLC
2023 Term Loan (b)
|
|
| 17,817,606
|
| 17,817,607
|
Supplyone, Inc.
2024 Term Loan B (b)
|
|
| 9,125,191
|
| 9,096,720
|
|
|
|
|
| 89,492,965
|
COSMETICS & TOILETRIES — 0.5%
|
|
Solis IV BV
USD Term Loan B1 1 mo. USD Term SOFR + 3.50%, 8.82%, 2/26/2029 (a)
|
|
| 26,203,656
|
| 25,947,777
|
DISTRIBUTION/WHOLESALE — 1.1%
|
|
American Builders & Contractors Supply Co., Inc.
2024 Term Loan B 1 mo. USD Term SOFR + 2.00%, 7.33%, 1/31/2031 (a)
|
|
| 8,485,010
|
| 8,496,931
|
Fastlane Parent Co., Inc.
2023 Term Loan B 1 mo. USD Term SOFR + 4.50%, 9.83%, 9/29/2028 (a)
|
|
| 6,206,181
|
| 6,208,975
|
Windsor Holdings III LLC
2024 USD Term Loan B 1 mo. USD Term SOFR + 4.00%, 9.33%, 8/1/2030 (a)
|
|
| 47,232,550
|
| 47,476,270
|
|
|
|
|
| 62,182,176
|
DIVERSIFIED CONSUMER SERVICES — 0.2%
|
|
Ascend Learning LLC
2021 Term Loan 1 mo. USD Term SOFR + 3.50%, 8.93%, 12/11/2028 (a)
|
|
| 6,887,708
|
| 6,858,470
|
Bright Horizons Family Solutions LLC
2021 Term Loan B 1 mo. USD Term SOFR + 2.25%, 7.69%, 11/24/2028 (a)
|
|
| 2,146,563
|
| 2,148,581
|
|
|
|
|
| 9,007,051
|
Security Description
|
|
| Principal
Amount
|
| Value
|
DIVERSIFIED FINANCIAL SERVICES — 3.7%
|
|
Advisor Group, Inc.
2024 Term Loan (b)
|
|
| $30,355,952
|
| $30,509,552
|
Apex Group Treasury LLC
USD Term Loan 1 mo. USD Term SOFR + 3.75%, 9.33%, 7/27/2028 (a)
|
|
| 492,424
|
| 492,732
|
Aretec Group, Inc.
2023 Incremental Term Loan 1 mo. USD Term SOFR + 4.50%, 9.93%, 8/9/2030 (a)
|
|
| 47,166,574
|
| 47,490,844
|
Avolon TLB Borrower 1 U.S. LLC
2023 Term Loan B6 1 mo. USD Term SOFR + 2.00%, 7.33%, 6/22/2028 (a)
|
|
| 587,368
|
| 588,197
|
Citadel Securities LP
2024 Term Loan B 1 mo. USD Term SOFR + 2.25%, 7.58%, 7/29/2030 (a)
|
|
| 28,293,671
|
| 28,301,735
|
Deerfield Dakota Holding LLC
2020 USD Term Loan B 3 mo. USD Term SOFR + 3.75%, 9.06%, 4/9/2027 (a)
|
|
| 35,848,146
|
| 35,716,225
|
Edelman Financial Center LLC
2021 Term Loan B 1 mo. USD Term SOFR + 3.50%, 8.94%, 4/7/2028 (a)
|
|
| 12,679,581
|
| 12,696,635
|
Eisner Advisory Group LLC
2024 Term Loan B 1 mo. USD Term SOFR + 4.00%, 9.33%, 2/28/2031 (a)
|
|
| 10,141,221
|
| 10,195,122
|
Focus Financial Partners LLC
2024 Term Loan B7 1 mo. USD Term SOFR + 2.75%, 8.08%, 6/30/2028 (a)
|
|
| 26,979,697
|
| 26,924,928
|
Kestra Advisor Services Holdings A, Inc.
2024 Term Loan (b)
|
|
| 13,406,044
|
| 13,445,190
|
NFP Corp.
2020 Term Loan 1 mo. USD Term SOFR + 3.25%, 8.69%, 2/16/2027 (a)
|
|
| 1,706,129
|
| 1,710,181
|
|
|
|
|
| 208,071,341
|
DIVERSIFIED TELECOMMUNICATION SERVICES — 1.5%
|
|
Altice France SA
2023 USD Term Loan B14 1 mo. USD Term SOFR + 5.50%, 10.81%, 8/15/2028 (a)
|
|
| 60,543,421
|
| 48,453,808
|
CCI Buyer, Inc.
Term Loan 3 mo. USD Term SOFR + 4.00%, 9.32%, 12/17/2027 (a)
|
|
| 30,938,724
|
| 30,797,798
|
See accompanying notes to Schedule of
Investments.
28
SPDR BLACKSTONE SENIOR LOAN ETF
SCHEDULE OF INVESTMENTS (continued)
March 31, 2024 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
SBA Senior Finance II LLC
2024 Term Loan B 1 mo. USD Term SOFR + 2.00%, 7.34%, 1/25/2031 (a)
|
|
| $2,822,558
|
| $2,830,941
|
|
|
|
|
| 82,082,547
|
ELECTRICAL EQUIPMENT — 0.1%
|
|
Energizer Holdings, Inc.
2020 Term Loan 1 mo. USD Term SOFR + 2.25%, 7.69%, 12/22/2027 (a)
|
|
| 4,543,088
|
| 4,546,495
|
ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS — 0.2%
|
|
II-VI, Inc.
2022 Term Loan B 1 mo. USD Term SOFR + 2.75%, 8.08%, 7/2/2029 (a)
|
|
| 9,971,342
|
| 10,003,749
|
ELECTRONICS — 0.4%
|
|
Coherent Corp.
Term Loan B1 (b)
|
|
| 20,159,601
|
| 20,159,601
|
ENTERTAINMENT — 4.0%
|
|
AP Gaming I LLC
2022 Term Loan B 1 mo. USD Term SOFR + 3.75%, 9.08%, 2/15/2029 (a)
|
|
| 4,851,468
|
| 4,871,189
|
Bally's Corp.
2021 Term Loan B 3 mo. USD Term SOFR + 3.25%, 8.83%, 10/2/2028 (a)
|
|
| 18,490,214
|
| 17,407,704
|
Caesars Entertainment, Inc.
2024 Term Loan B1 3 mo. USD Term SOFR + 2.75%, 8.04%, 2/6/2031 (a)
|
|
| 23,162,617
|
| 23,209,637
|
Crown Finance US, Inc.
2023 Exit Term Loan 1 mo. USD Term SOFR + 1.50%, 6.94%, 7/31/2028 (a)
|
|
| 23,981,670
|
| 24,433,125
|
Delta 2 (LUX) SARL
2022 Term Loan B 1 mo. USD Term SOFR + 2.25%, 7.56%, 1/15/2030 (a)
|
|
| 500,000
|
| 501,125
|
Fertitta Entertainment LLC
2022 Term Loan B 1 mo. USD Term SOFR + 3.75%, 9.08%, 1/27/2029 (a)
|
|
| 63,422,148
|
| 63,646,980
|
Flutter Financing BV
Term Loan B 1 mo. USD Term SOFR + 2.25%, 7.66%, 11/25/2030 (a)
|
|
| 36,905,581
|
| 36,987,880
|
GVC Holdings Ltd.:
|
|
|
|
|
|
2021 USD Term Loan B4 (b)
|
|
| 569,063
|
| 570,545
|
2022 USD Term Loan B2 1 mo. USD Term SOFR + 3.50%, 3.50%, 10/31/2029 (a)
|
|
| 6,832,475
|
| 6,868,756
|
Security Description
|
|
| Principal
Amount
|
| Value
|
Light and Wonder International, Inc.
2024 Term Loan 1 mo. USD Term SOFR + 2.75%, 8.08%, 4/14/2029 (a)
|
|
| $5,204,782
|
| $5,222,479
|
NASCAR Holdings LLC
Term Loan B 1 mo. USD Term SOFR + 2.50%, 7.94%, 10/19/2026 (a)
|
|
| 491,461
|
| 494,142
|
UFC Holdings LLC
2021 Term Loan B 3 mo. USD Term SOFR + 2.75%, 8.34%, 4/29/2026 (a)
|
|
| 38,537,797
|
| 38,639,537
|
|
|
|
|
| 222,853,099
|
ENVIRONMENTAL CONTROL — 0.0% (c)
|
|
GFL Environmental, Inc.
2023 First Lien Term Loan 3 mo. USD Term SOFR + 2.50%, 7.82%, 5/31/2027 (a)
|
|
| 845,453
|
| 849,685
|
FOOD PRODUCTS — 0.4%
|
|
Fiesta Purchaser, Inc.
2024 Term Loan B 3 mo. USD Term SOFR + 4.00%, 9.32%, 2/12/2031 (a)
|
|
| 9,466,868
|
| 9,493,801
|
Froneri International Ltd.
2020 USD Term Loan 1 mo. USD Term SOFR + 2.25%, 7.58%, 1/29/2027 (a)
|
|
| 7,931,426
|
| 7,944,632
|
Solina Bidco
2024 Term Loan B (b)
|
|
| 2,892,258
|
| 2,901,311
|
|
|
|
|
| 20,339,744
|
FOOD-MISC/DIVERSIFIED — 0.0% (c)
|
|
Skopima Merger Sub, Inc.
Term Loan B 1 mo. USD Term SOFR + 4.00%, 9.44%, 5/12/2028 (a)
|
|
| 571,339
|
| 569,865
|
GAMING & ENTERTAINMENT — 0.0% (c)
|
|
PCI Gaming Authority
Term Loan 1 mo. USD Term SOFR + 2.50%, 7.94%, 5/29/2026 (a)
|
|
| 1,000,000
|
| 1,003,240
|
GROUND TRANSPORTATION — 0.0% (c)
|
|
Genesee & Wyoming, Inc.
Term Loan 3 mo. USD Term SOFR + 2.00%, 7.45%, 12/30/2026 (a)
|
|
| 1,973,612
|
| 1,977,125
|
HEALTH CARE EQUIPMENT & SUPPLIES — 3.6%
|
|
Auris Luxembourg III SARL
2024 USD Term Loan B2 (b)
|
|
| 15,864,194
|
| 15,918,767
|
Avantor Funding, Inc.
2024 Term Loan 1 mo. USD Term SOFR + 2.00%, 7.43%, 11/8/2027 (a)
|
|
| 573,461
|
| 573,461
|
See accompanying notes to Schedule of
Investments.
29
SPDR BLACKSTONE SENIOR LOAN ETF
SCHEDULE OF INVESTMENTS (continued)
March 31, 2024 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
Bausch & Lomb Corp.
Term Loan 1 mo. USD Term SOFR + 3.25%, 8.68%, 5/10/2027 (a)
|
|
| $43,261,242
|
| $42,861,076
|
Carestream Health, Inc.
2022 Term Loan 3 mo. USD Term SOFR + 7.50%, 12.91%, 9/30/2027 (a)
|
|
| 4,693,793
|
| 4,054,264
|
Gainwell Acquisition Corp.
Term Loan B 3 mo. USD Term SOFR + 4.00%, 9.41%, 10/1/2027 (a)
|
|
| 74,969,733
|
| 71,849,118
|
Medline Borrower LP
2024 Term Loan B (b)
|
|
| 69,590,782
|
| 69,844,440
|
|
|
|
|
| 205,101,126
|
HEALTH CARE PROVIDERS & SERVICES — 1.1%
|
|
DaVita, Inc.
2020 Term Loan B 1 mo. USD Term SOFR + 1.75%, 7.19%, 8/12/2026 (a)
|
|
| 1,289,760
|
| 1,291,198
|
GHX Ultimate Parent Corp.
2024 Term Loan B 3 mo. USD Term SOFR + 4.25%, 9.56%, 6/30/2027 (a)
|
|
| 5,381,836
|
| 5,422,200
|
Global Medical Response, Inc.
2020 Term Loan B 3 mo. USD Term SOFR + 4.25%, 9.84%, 10/2/2025 (a)
|
|
| 8,236,399
|
| 7,716,517
|
LifePoint Health, Inc.:
|
|
|
|
|
|
2023 Term Loan B 3 mo. USD Term SOFR + 5.50%, 11.09%, 11/16/2028 (a)
|
|
| 11,364,773
|
| 11,408,414
|
2024 Term Loan B (b)
|
|
| 15,513,793
|
| 15,573,366
|
Medline Borrower LP
USD Term Loan B 1 mo. USD Term SOFR + 3.00%, 8.33%, 10/23/2028 (a)
|
|
| 1,891,996
|
| 1,898,230
|
Midwest Physician Administrative Services LLC
2021 Term Loan 3 mo. USD Term SOFR + 3.25%, 8.82%, 3/12/2028 (a)
|
|
| 8,840,622
|
| 7,385,058
|
Sotera Health Holdings LLC
2021 Term Loan 1 mo. USD Term SOFR + 2.75%, 8.19%, 12/11/2026 (a)
|
|
| 5,694,013
|
| 5,684,504
|
Surgery Center Holdings, Inc.
2023 Term Loan 1 mo. USD Term SOFR + 3.50%, 8.83%, 12/19/2030 (a)
|
|
| 7,755,383
|
| 7,801,179
|
|
|
|
|
| 64,180,666
|
Security Description
|
|
| Principal
Amount
|
| Value
|
HOME FURNISHINGS — 1.1%
|
|
AI Aqua Merger Sub, Inc.:
|
|
|
|
|
|
2021 1st Lien Term Loan B 1 mo. USD Term SOFR + 3.75%, 9.07%, 7/31/2028 (a)
|
|
| $57,104,810
|
| $57,271,556
|
2023 Incremental Term Loan 1 mo. USD Term SOFR + 4.25%, 9.58%, 7/31/2028 (a)
|
|
| 6,000,000
|
| 5,415,200
|
|
|
|
|
| 62,686,756
|
HOOLDING COMPANIES & DIVERSIFIED — 0.4%
|
|
Belfor Holdings, Inc.
2023 USD Term Loan B 1 mo. USD Term SOFR + 3.75%, 9.08%, 11/1/2030 (a)
|
|
| 6,694,972
|
| 6,736,816
|
Forward Air Corp.
Term Loan B (b)
|
|
| 14,397,152
|
| 14,215,388
|
|
|
|
|
| 20,952,204
|
HOTELS, RESTAURANTS & LEISURE — 2.3%
|
|
Alterra Mountain Co.
2024 Term Loan B2 (b)
|
|
| 4,382,588
|
| 4,406,342
|
Caesars Entertainment, Inc.
Term Loan B 3 mo. USD Term SOFR + 3.25%, 8.66%, 2/6/2030 (a)
|
|
| 31,113,992
|
| 31,241,559
|
PENN Entertainment, Inc.
2022 Term Loan B 1 mo. USD Term SOFR + 2.75%, 8.18%, 5/3/2029 (a)
|
|
| 3,516
|
| 3,523
|
Peraton Corp.
Term Loan B 1 mo. USD Term SOFR + 3.75%, 9.08%, 2/1/2028 (a)
|
|
| 91,799,750
|
| 91,893,386
|
Wyndham Hotels & Resorts, Inc.
2023 Term Loan B 1 mo. USD Term SOFR + 2.25%, 7.68%, 5/24/2030 (a)
|
|
| 695,853
|
| 699,117
|
|
|
|
|
| 128,243,927
|
HOUSEHOLD PRODUCTS — 0.0% (c)
|
|
Reynolds Consumer Products LLC
Term Loan 1 mo. USD Term SOFR + 1.75%, 7.18%, 2/4/2027 (a)
|
|
| 25,209
|
| 25,282
|
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS — 0.7%
|
|
Calpine Corp.:
|
|
|
|
|
|
2024 Term Loan B5 1 mo. USD Term SOFR + 2.00%, 7.33%, 12/16/2027 (a)
|
|
| 1,228,102
|
| 1,228,347
|
See accompanying notes to Schedule of
Investments.
30
SPDR BLACKSTONE SENIOR LOAN ETF
SCHEDULE OF INVESTMENTS (continued)
March 31, 2024 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
Term Loan B9 1 mo. USD Term SOFR + 2.00%, 7.33%, 1/31/2031 (a)
|
|
| $1,740,316
|
| $1,732,519
|
Kohler Energy Co. LLC
USD Term Loan B (b)
|
|
| 26,029,768
|
| 26,100,179
|
Vistra Operations Co. LLC
1st Lien Term Loan B3 1 mo. USD Term SOFR + 2.00%, 7.33%, 12/20/2030 (a)
|
|
| 10,090,830
|
| 10,092,445
|
|
|
|
|
| 39,153,490
|
INSURANCE — 6.0%
|
|
Acrisure LLC:
|
|
|
|
|
|
2020 Term Loan B 1 mo. USD Term SOFR + 3.50%, 8.94%, 2/15/2027 (a)
|
|
| 45,250,160
|
| 45,278,441
|
2021 First Lien Term Loan B 1 mo. USD Term SOFR + 4.25%, 9.69%, 2/15/2027 (a)
|
|
| 1,371,174
|
| 1,377,173
|
2021 Incremental Term Loan B 1 mo. USD Term SOFR + 3.75%, 9.19%, 2/15/2027 (a)
|
|
| 982,368
|
| 984,514
|
Alliant Holdings Intermediate LLC
2023 Term Loan B6 1 mo. USD Term SOFR + 3.50%, 8.83%, 11/6/2030 (a)
|
|
| 19,255,169
|
| 19,355,584
|
AmWINS Group, Inc.:
|
|
|
|
|
|
2021 Term Loan B 1 mo. USD Term SOFR + 2.25%, 7.69%, 2/19/2028 (a)
|
|
| 31,152,146
|
| 31,191,086
|
2023 Incremental Term Loan B 1 mo. USD Term SOFR + 2.75%, 8.19%, 2/19/2028 (a)
|
|
| 153,992
|
| 154,463
|
AssuredPartners, Inc.:
|
|
|
|
|
|
2020 Term Loan B 1 mo. USD Term SOFR + 3.50%, 8.94%, 2/12/2027 (a)
|
|
| 3,445,483
|
| 3,452,925
|
2023 Term Loan B4 1 mo. USD Term SOFR + 3.75%, 9.08%, 2/12/2027 (a)
|
|
| 5,990,664
|
| 6,004,413
|
Broadstreet Partners, Inc.:
|
|
|
|
|
|
2020 Term Loan B 1 mo. USD Term SOFR + 3.00%, 8.44%, 1/27/2027 (a)
|
|
| 4,245,520
|
| 4,261,122
|
2023 Term Loan B3 1 mo. USD Term SOFR + 3.75%, 9.08%, 1/27/2029 (a)
|
|
| 13,553,010
|
| 13,608,916
|
Security Description
|
|
| Principal
Amount
|
| Value
|
Howden Group Holdings Ltd.
2024 USD Term Loan B 1 mo. USD Term SOFR + 3.50%, 8.81%, 2/15/2031 (a)
|
|
| $46,538,642
|
| $46,625,902
|
HUB International Ltd.
2024 Term Loan B 3 mo. USD Term SOFR + 3.25%, 8.57%, 6/20/2030 (a)
|
|
| 53,734,080
|
| 53,814,413
|
Ryan Specialty Group LLC
Term Loan 1 mo. USD Term SOFR + 2.75%, 8.08%, 9/1/2027 (a)
|
|
| 205,892
|
| 206,433
|
Sedgwick Claims Management Services, Inc.
2023 Term Loan B 1 mo. USD Term SOFR + 3.75%, 9.08%, 2/24/2028 (a)
|
|
| 49,802,395
|
| 49,949,561
|
Truist Insurance Holdings LLC:
|
|
|
|
|
|
1st Lien Term Loan (b)
|
|
| 36,960,000
|
| 36,944,477
|
2nd Lien Term Loan (b)
|
|
| 8,952,692
|
| 9,020,777
|
USI, Inc.:
|
|
|
|
|
|
2023 Acquisition Term Loan 3 mo. USD Term SOFR + 3.25%, 8.60%, 9/27/2030 (a)
|
|
| 4,598,644
|
| 4,607,611
|
2023 Term Loan B 3 mo. USD Term SOFR + 3.00%, 8.35%, 11/22/2029 (a)
|
|
| 12,842,657
|
| 12,864,040
|
|
|
|
|
| 339,701,851
|
INTERNET & CATALOG RETAIL — 0.2%
|
|
White Cap Buyer LLC
Term Loan B 1 mo. USD Term SOFR + 3.75%, 9.08%, 10/19/2027 (a)
|
|
| 10,643,924
|
| 10,687,937
|
INTERNET & TELECOM — 0.3%
|
|
CNT Holdings I Corp.
2020 Term Loan 3 mo. USD Term SOFR + 3.50%, 8.82%, 11/8/2027 (a)
|
|
| 8,099,000
|
| 8,123,661
|
Go Daddy Operating Co. LLC
2021 Term Loan B4 1 mo. USD Term SOFR + 2.00%, 7.33%, 8/10/2027 (a)
|
|
| 1,204,100
|
| 1,205,931
|
PUG LLC
2024 Extended Term Loan B 3 mo. USD Term SOFR + 4.75%, 10.08%, 3/15/2030 (a)
|
|
| 1,955,588
|
| 1,960,878
|
Uber Technologies, Inc.
2023 Term Loan B 3 mo. USD Term SOFR + 2.75%, 8.08%, 3/3/2030 (a)
|
|
| 4,931,581
|
| 4,958,482
|
|
|
|
|
| 16,248,952
|
See accompanying notes to Schedule of
Investments.
31
SPDR BLACKSTONE SENIOR LOAN ETF
SCHEDULE OF INVESTMENTS (continued)
March 31, 2024 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
INVESTMENT COMPANIES — 1.5%
|
|
AL GCX Holdings LLC
Term Loan B 1 mo. USD Term SOFR + 3.25%, 8.57%, 5/17/2029 (a)
|
|
| $2,960,339
|
| $2,973,290
|
Brookfield WEC Holdings, Inc.
2024 Term Loan 1 mo. USD Term SOFR + 2.75%, 8.08%, 1/27/2031 (a)
|
|
| 48,192,700
|
| 48,192,701
|
Cd&R Hydra Buyer, Inc.
2024 Term Loan B (b)
|
|
| 15,212,092
|
| 15,264,421
|
Energize HoldCo LLC
2021 1st Lien Term Loan 1 mo. USD Term SOFR + 3.75%, 9.19%, 12/8/2028 (a)
|
|
| 7,050,573
|
| 7,048,070
|
GIP Pilot Acquisition Partners LP
Term Loan 3 mo. USD Term SOFR + 3.00%, 8.33%, 10/4/2030 (a)
|
|
| 2,742,500
|
| 2,754,841
|
Mister Car Wash Holdings, Inc.
2024 Term Loan B (b)
|
|
| 5,578,875
|
| 5,598,652
|
|
|
|
|
| 81,831,975
|
IT SERVICES — 0.2%
|
|
Access CIG LLC
2023 Term Loan 1 mo. USD Term SOFR + 5.00%, 10.33%, 8/18/2028 (a)
|
|
| 12,624,744
|
| 12,654,348
|
Ahead DB Holdings LLC
2021 Term Loan B 3 mo. USD Term SOFR + 3.75%, 9.16%, 10/18/2027 (a)
|
|
| 174,397
|
| 174,755
|
|
|
|
|
| 12,829,103
|
LEISURE INDUSTRY — 0.2%
|
|
Carnival Corp.:
|
|
|
|
|
|
2021 Incremental Term Loan B 1 mo. USD Term SOFR + 3.25%, 8.69%, 10/18/2028 (a)
|
|
| 3,502,256
|
| 3,511,379
|
2023 Term Loan B 1 mo. USD Term SOFR + 3.00%, 8.32%, 8/8/2027 (a)
|
|
| 9,622,055
|
| 9,648,131
|
|
|
|
|
| 13,159,510
|
LEISURE TIME — 0.0% (c)
|
|
Amer Sports Co.
USD Term Loan 3 mo. USD Term SOFR + 3.25%, 8.58%, 2/17/2031 (a)
|
|
| 2,359,609
|
| 2,365,508
|
LEISURE&REC/GAMES — 0.3%
|
|
Scientific Games Holdings LP
2022 USD Term Loan B 3 mo. USD Term SOFR + 3.25%, 8.60%, 4/4/2029 (a)
|
|
| 19,388,524
|
| 19,407,234
|
Security Description
|
|
| Principal
Amount
|
| Value
|
LIFE SCIENCES TOOLS & SERVICES — 0.8%
|
|
Parexel International Corp.
2021 1st Lien Term Loan 1 mo. USD Term SOFR + 3.25%, 8.69%, 11/15/2028 (a)
|
|
| $45,087,648
|
| $45,241,396
|
LODGING — 0.2%
|
|
Hilton Domestic Operating Co., Inc.
2023 Term Loan B4 1 mo. USD Term SOFR + 2.00%, 7.43%, 11/8/2030 (a)
|
|
| 2,820,936
|
| 2,829,992
|
Hilton Grand Vacations Borrower LLC
2024 Incremental Term Loan B 1 mo. USD Term SOFR + 2.75%, 8.08%, 1/17/2031 (a)
|
|
| 8,496,006
|
| 8,521,238
|
|
|
|
|
| 11,351,230
|
MACHINERY — 2.0%
|
|
Chart Industries, Inc.
2023 Term Loan 1 mo. USD Term SOFR + 3.25%, 8.67%, 3/15/2030 (a)
|
|
| 5,139,471
|
| 5,160,877
|
Clark Equipment Co.
2022 Term Loan B 3 mo. USD Term SOFR + 2.50%, 7.81%, 4/20/2029 (a)
|
|
| 2,615,492
|
| 2,622,030
|
Madison IAQ LLC
Term Loan 1 mo. USD Term SOFR + 3.25%, 8.69%, 6/21/2028 (a)
|
|
| 38,510,729
|
| 38,500,717
|
Pro Mach Group, Inc.
2021 Term Loan B 1 mo. USD Term SOFR + 3.75%, 9.08%, 8/31/2028 (a)
|
|
| 1,799,718
|
| 1,808,204
|
SPX Flow, Inc.
2022 Term Loan 1 mo. USD Term SOFR + 4.50%, 9.93%, 4/5/2029 (a)
|
|
| 11,551,973
|
| 11,613,949
|
TK Elevator US Newco, Inc.
USD Term Loan B (b)
|
|
| 50,903,399
|
| 51,133,228
|
|
|
|
|
| 110,839,005
|
MEDIA — 4.7%
|
|
Cengage Learning, Inc.
2024 Term Loan B (b)
|
|
| 17,714,445
|
| 17,717,190
|
Charter Communications Operating LLC
2019 Term Loan B2 1 mo. USD Term SOFR + 1.75%, 7.08%, 2/1/2027 (a)
|
|
| 1,584,072
|
| 1,585,482
|
CSC Holdings LLC
2019 Term Loan B5 1 mo. USD Term SOFR + 2.50%, 7.94%, 4/15/2027 (a)
|
|
| 37,088,239
|
| 33,631,059
|
See accompanying notes to Schedule of
Investments.
32
SPDR BLACKSTONE SENIOR LOAN ETF
SCHEDULE OF INVESTMENTS (continued)
March 31, 2024 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
Directv Financing LLC
2024 Term Loan 2 mo. USD Term SOFR + 5.00%, 10.25%, 8/2/2029 (a)
|
|
| $56,717,918
|
| $56,766,412
|
DirecTV Financing LLC
Term Loan 1 mo. USD Term SOFR + 5.00%, 10.44%, 8/2/2027 (a)
|
|
| 2,291,096
|
| 2,296,823
|
Fleet Midco I Ltd.
2024 Term Loan B 3 mo. USD Term SOFR + 3.25%, 8.58%, 2/21/2031 (a)
|
|
| 2,359,635
|
| 2,365,535
|
iHeartCommunications, Inc.
2020 Term Loan 1 mo. USD Term SOFR + 3.00%, 8.44%, 5/1/2026 (a)
|
|
| 21,548,193
|
| 18,927,825
|
MH Sub I LLC:
|
|
|
|
|
|
2021 2nd Lien Term Loan 1 mo. USD Term SOFR + 6.25%, 11.58%, 2/23/2029 (a)
|
|
| 5,294,933
|
| 5,118,585
|
2023 Term Loan 1 mo. USD Term SOFR + 4.25%, 9.58%, 5/3/2028 (a)
|
|
| 68,778,171
|
| 68,449,755
|
Nexstar Broadcasting, Inc.
2019 Term Loan B4 1 mo. USD Term SOFR + 2.50%, 7.94%, 9/18/2026 (a)
|
|
| 238,038
|
| 238,369
|
Radiate Holdco LLC
2021 Term Loan B 1 mo. USD Term SOFR + 3.25%, 8.69%, 9/25/2026 (a)
|
|
| 27,470,379
|
| 23,075,119
|
Telenet Financing USD LLC
2020 USD Term Loan AR 1 mo. USD Term SOFR + 2.00%, 7.44%, 4/30/2028 (a)
|
|
| 8,690,000
|
| 8,469,100
|
UPC Financing Partnership
2021 USD Term Loan AX 1 mo. USD Term SOFR + 3.00%, 8.44%, 1/31/2029 (a)
|
|
| 1,000,000
|
| 997,445
|
Virgin Media Bristol LLC
USD Term Loan N 1 mo. USD Term SOFR + 2.50%, 7.94%, 1/31/2028 (a)
|
|
| 27,244,272
|
| 26,873,205
|
|
|
|
|
| 266,511,904
|
METAL FABRICATE & HARDWARE — 0.2%
|
|
Crosby U.S. Acquisition Corp.
2024 Term Loan B 3 mo. USD Term SOFR + 4.00%, 9.32%, 8/16/2029 (a)
|
|
| 4,892,623
|
| 4,925,746
|
Hillman Group, Inc.
2021 Term Loan B1 1 mo. USD Term SOFR + 2.25%, 7.83%, 7/14/2028 (a)
|
|
| 6,988,825
|
| 7,003,816
|
|
|
|
|
| 11,929,562
|
Security Description
|
|
| Principal
Amount
|
| Value
|
MISCELLANEOUS MANUFACTUR — 0.1%
|
|
Gates Global LLC
2021 Term Loan B3 1 mo. USD Term SOFR + 2.50%, 7.93%, 3/31/2027 (a)
|
|
| $1,506,055
|
| $1,510,467
|
Touchdown Acquirer, Inc.
USD Term Loan 3 mo. USD Term SOFR + 4.00%, 9.31%, 2/7/2031 (a)
|
|
| 6,557,366
|
| 6,586,055
|
|
|
|
|
| 8,096,522
|
OIL, GAS & CONSUMABLE FUELS — 0.0% (c)
|
|
Pacific Gas & Electric Co.
2020 Term Loan B1 1 mo. USD Term SOFR + 3.00%, 7.83%, 6/23/2027 (a)
|
|
| 971,875
|
| 974,606
|
PHARMACEUTICALS — 1.6%
|
|
Elanco Animal Health, Inc.
Term Loan B 1 mo. USD Term SOFR + 1.75%, 7.18%, 8/1/2027 (a)
|
|
| 22,144,006
|
| 22,090,417
|
Grifols Worldwide Operations USA, Inc.
2019 USD Term Loan B 3 mo. USD Term SOFR + 2.00%, 7.46%, 11/15/2027 (a)
|
|
| 26,793,093
|
| 26,000,956
|
Jazz Financing Lux SARL
2024 Term Loan B 1 mo. USD Term SOFR + 3.00%, 8.44%, 5/5/2028 (a)
|
|
| 30,800,359
|
| 30,992,861
|
Organon & Co.
USD Term Loan 1 mo. USD Term SOFR + 3.00%, 8.32%, 6/2/2028 (a)
|
|
| 8,084,477
|
| 8,123,242
|
|
|
|
|
| 87,207,476
|
PIPELINES — 1.3%
|
|
BIP PipeCo Holdings LLC
Term Loan B 3 mo. USD Term SOFR + 3.25%, 8.58%, 12/6/2030 (a)
|
|
| 6,774,546
|
| 6,793,616
|
Buckeye Partners LP:
|
|
|
|
|
|
2023 Term Loan B 1 mo. USD Term SOFR + 2.50%, 7.83%, 11/22/2030 (a)
|
|
| 4,750,892
|
| 4,761,700
|
2024 Term Loan B3 1 mo. USD Term SOFR + 2.00%, 7.33%, 11/1/2026 (a)
|
|
| 3,150,280
|
| 3,159,699
|
CQP Holdco LP
2023 4th Amendment Term Loan 3 mo. USD Term SOFR + 3.00%, 8.32%, 12/31/2030 (a)
|
|
| 22,809,321
|
| 22,905,462
|
See accompanying notes to Schedule of
Investments.
33
SPDR BLACKSTONE SENIOR LOAN ETF
SCHEDULE OF INVESTMENTS (continued)
March 31, 2024 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
Freeport LNG Investments LLLP
Term Loan B 3 mo. USD Term SOFR + 3.50%, 9.08%, 12/21/2028 (a)
|
|
| $14,413,378
|
| $14,333,961
|
Oryx Midstream Services Permian Basin LLC
2024 Term Loan B 1 mo. USD Term SOFR + 3.00%, 8.44%, 10/5/2028 (a)
|
|
| 10,468,690
|
| 10,520,144
|
TransMontaigne Operating Co. LP
Term Loan B 1 mo. USD Term SOFR + 3.50%, 8.94%, 11/17/2028 (a)
|
|
| 9,227,246
|
| 9,241,271
|
Whitewater Whistler Holdings LLC
2023 Term Loan B 3 mo. USD Term SOFR + 2.75%, 8.13%, 2/15/2030 (a)
|
|
| 4,129,540
|
| 4,139,864
|
|
|
|
|
| 75,855,717
|
PROFESSIONAL SERVICES — 0.3%
|
|
Proofpoint, Inc.
1st Lien Term Loan 1 mo. USD Term SOFR + 3.25%, 8.58%, 8/31/2028 (a)
|
|
| 16,534,987
|
| 16,562,022
|
REAL ESTATE INVESTMENT TRUSTS (REITs) — 0.1%
|
|
Iron Mountain, Inc.
2023 Term Loan B 1 mo. USD Term SOFR + 2.25%, 7.58%, 1/31/2031 (a)
|
|
| 5,755,385
|
| 5,721,802
|
RETAIL — 3.5%
|
|
1011778 BC Unlimited Liability Co.
2023 Term Loan B5 1 mo. USD Term SOFR + 2.25%, 7.58%, 9/20/2030 (a)
|
|
| 57,602,331
|
| 57,638,332
|
Fogo De Chao, Inc.
2023 Term Loan B (b)
|
|
| 15,706,431
|
| 15,615,255
|
Foundation Building Materials Holding Co. LLC
2024 Term Loan B2 1 mo. USD Term SOFR + 4.00%, 9.31%, 1/29/2031 (a)
|
|
| 16,190,492
|
| 16,278,568
|
Harbor Freight Tools USA, Inc.
2021 Term Loan B 1 mo. USD Term SOFR + 2.75%, 8.19%, 10/19/2027 (a)
|
|
| 26,258,441
|
| 26,271,833
|
IRB Holding Corp.
2024 Term Loan B 1 mo. USD Term SOFR + 2.75%, 8.18%, 12/15/2027 (a)
|
|
| 46,323,860
|
| 46,389,176
|
Security Description
|
|
| Principal
Amount
|
| Value
|
Medical Solutions Holdings, Inc.
2021 1st Lien Term Loan 1 mo. USD Term SOFR + 3.25%, 8.68%, 11/1/2028 (a)
|
|
| $13,781,886
|
| $12,329,069
|
Peer Holding III BV
2023 USD Term Loan B4 (b)
|
|
| 10,723,733
|
| 10,755,583
|
Tacala LLC
2024 Term Loan 1 mo. USD Term SOFR + 4.00%, 9.33%, 1/31/2031 (a)
|
|
| 12,392,357
|
| 12,419,497
|
|
|
|
|
| 197,697,313
|
RETAIL-BUILDING PRODUCTS — 1.7%
|
|
Kodiak Building Partners, Inc.
Term Loan B 3 mo. USD Term SOFR + 3.25%, 8.82%, 3/12/2028 (a)
|
|
| 6,199,986
|
| 6,205,163
|
LBM Acquisition LLC
Term Loan B 1 mo. USD Term SOFR + 3.75%, 9.18%, 12/17/2027 (a)
|
|
| 62,371,571
|
| 62,332,901
|
Park River Holdings, Inc.
Term Loan 3 mo. USD Term SOFR + 3.25%, 8.84%, 12/28/2027 (a)
|
|
| 26,257,451
|
| 26,109,752
|
|
|
|
|
| 94,647,816
|
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT — 0.5%
|
|
MKS Instruments, Inc.
2023 USD Term Loan B 1 mo. USD Term SOFR + 2.50%, 7.82%, 8/17/2029 (a)
|
|
| 26,454,267
|
| 26,506,647
|
SHIPBUILDING — 0.2%
|
|
LSF11 Trinity Bidco, Inc.
2023 Term Loan 1 mo. USD Term SOFR + 4.00%, 9.33%, 6/14/2030 (a)
|
|
| 9,975,648
|
| 10,025,526
|
SOFTWARE — 17.4%
|
|
Applied Systems, Inc.
2024 1st Lien Term Loan 3 mo. USD Term SOFR + 3.50%, 8.81%, 2/24/2031 (a)
|
|
| 9,915,168
|
| 9,986,012
|
Apttus Corp.
2021 Term Loan 1 mo. USD Term SOFR + 4.00%, 9.44%, 5/8/2028 (a)
|
|
| 4,138,599
|
| 4,148,304
|
Athenahealth Group, Inc.
2022 Term Loan B 1 mo. USD Term SOFR + 3.25%, 8.58%, 2/15/2029 (a)
|
|
| 84,381,250
|
| 83,794,801
|
See accompanying notes to Schedule of
Investments.
34
SPDR BLACKSTONE SENIOR LOAN ETF
SCHEDULE OF INVESTMENTS (continued)
March 31, 2024 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
Banff Merger Sub, Inc.
2023 USD Term Loan 1 mo. USD Term SOFR + 4.25%, 9.58%, 12/29/2028 (a)
|
|
| $76,118,980
|
| $76,697,865
|
Central Parent, Inc.
2023 Term Loan B 3 mo. USD Term SOFR + 4.00%, 9.31%, 7/6/2029 (a)
|
|
| 71,410,050
|
| 71,703,545
|
Cloud Software Group, Inc.:
|
|
|
|
|
|
2022 USD Term Loan B 3 mo. USD Term SOFR + 4.50%, 9.91%, 3/30/2029 (a)
|
|
| 100,575,370
|
| 100,231,905
|
2024 Term Loan (b)
|
|
| 12,767,727
|
| 12,699,931
|
Cloudera, Inc.:
|
|
|
|
|
|
2021 Second Lien Term Loan 1 mo. USD Term SOFR + 6.00%, 11.43%, 10/8/2029 (a)
|
|
| 5,883,443
|
| 5,846,671
|
2021 Term Loan 1 mo. USD Term SOFR + 3.75%, 9.08%, 10/8/2028 (a)
|
|
| 3,369,586
|
| 3,362,224
|
ConnectWise LLC
2021 Term Loan B 3 mo. USD Term SOFR + 3.50%, 9.11%, 9/29/2028 (a)
|
|
| 3,982,780
|
| 3,986,504
|
Cotiviti Corp.
2024 Term Loan (b)
|
|
| 66,745,636
|
| 66,662,204
|
DCert Buyer, Inc.
2021 2nd Lien Term Loan 1 mo. USD Term SOFR + 7.00%, 12.33%, 2/19/2029 (a)
|
|
| 7,467,875
|
| 6,782,324
|
Dun & Bradstreet Corp.
2024 Term Loan B 1 mo. USD Term SOFR + 2.75%, 8.08%, 1/18/2029 (a)
|
|
| 50,295,153
|
| 50,342,179
|
ECI Macola Max Holding LLC:
|
|
|
|
|
|
2020 Term Loan 3 mo. USD Term SOFR + 3.75%, 9.36%, 11/9/2027 (a)
|
|
| 405,025
|
| 406,402
|
2024 Extending Term Loans (b)
|
|
| 3,057,643
|
| 3,057,643
|
Fortra LLC
2021 Term Loan 1 mo. USD Term SOFR + 4.00%, 9.43%, 11/19/2026 (a)
|
|
| 4,808,718
|
| 4,662,653
|
Gen Digital, Inc.
2022 Term Loan B 1 mo. USD Term SOFR + 2.00%, 7.43%, 9/12/2029 (a)
|
|
| 7,377,976
|
| 7,383,915
|
Genesys Cloud Services Holdings II LLC:
|
|
|
|
|
|
First Lien Term Loan B (b)
|
|
| 873,633
|
| 876,914
|
Term Loan B 1 mo. USD Term SOFR + 3.75%, 9.19%, 12/1/2027 (a)
|
|
| 2,999,345
|
| 3,014,356
|
Security Description
|
|
| Principal
Amount
|
| Value
|
Greeneden U.S. Holdings II LLC
2020 USD Term Loan B4 (b)
|
|
| $10,000,000
|
| $10,041,050
|
Idera, Inc.
2021 Term Loan 3 mo. USD Term SOFR + 3.75%, 9.21%, 3/2/2028 (a)
|
|
| 510,323
|
| 509,183
|
I-Logic Technologies Bidco Ltd.
2021 USD Term Loan B 3 mo. USD Term SOFR + 4.00%, 9.50%, 2/16/2028 (a)
|
|
| 763,435
|
| 763,553
|
Informatica LLC
2021 USD Term Loan B 1 mo. USD Term SOFR + 2.75%, 8.19%, 10/27/2028 (a)
|
|
| 2,130,047
|
| 2,134,307
|
Ivanti Software, Inc.
2021 Term Loan B 3 mo. USD Term SOFR + 4.25%, 9.84%, 12/1/2027 (a)
|
|
| 17,453,720
|
| 16,384,680
|
McAfee LLC
2022 USD Term Loan B 1 mo. USD Term SOFR + 3.75%, 9.18%, 3/1/2029 (a)
|
|
| 97,412,056
|
| 97,459,788
|
MeridianLink, Inc.
2021 Term Loan B 3 mo. USD Term SOFR + 3.00%, 8.61%, 11/10/2028 (a)
|
|
| 6,016,397
|
| 6,026,926
|
Mitchell International, Inc.
2021 Term Loan B 1 mo. USD Term SOFR + 3.75%, 9.08%, 10/15/2028 (a)
|
|
| 48,784,766
|
| 48,859,895
|
Open Text Corp.
2023 Term Loan B 1 mo. USD Term SOFR + 2.75%, 8.18%, 1/31/2030 (a)
|
|
| 26,084,524
|
| 26,158,734
|
Particle Investments SARL
2024 Term Loan B (b)
|
|
| 4,865,416
|
| 4,883,661
|
Polaris Newco LLC
USD Term Loan B 3 mo. USD Term SOFR + 4.00%, 9.57%, 6/2/2028 (a)
|
|
| 67,593,491
|
| 67,017,932
|
Project Alpha Intermediate Holding, Inc.
2023 1st Lien Term Loan B 3 mo. USD Term SOFR + 4.75%, 10.06%, 10/28/2030 (a)
|
|
| 50,645,676
|
| 50,979,684
|
Project Ruby Ultimate Parent Corp.:
|
|
|
|
|
|
2021 Term Loan 1 mo. USD Term SOFR + 3.25%, 8.69%, 3/10/2028 (a)
|
|
| 3,700,171
|
| 3,700,836
|
2024 Incremental Term Loan 1 mo. USD Term SOFR + 3.50%, 8.94%, 3/10/2028 (a)
|
|
| 5,221,333
|
| 5,234,387
|
See accompanying notes to Schedule of
Investments.
35
SPDR BLACKSTONE SENIOR LOAN ETF
SCHEDULE OF INVESTMENTS (continued)
March 31, 2024 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
Quartz Acquireco LLC
Term Loan B 3 mo. USD Term SOFR + 3.50%, 8.81%, 6/28/2030 (a)
|
|
| $8,642,567
|
| $8,683,101
|
Quest Software U.S. Holdings, Inc.
2022 Term Loan 3 mo. USD Term SOFR + 4.25%, 9.71%, 2/1/2029 (a)
|
|
| 38,375,002
|
| 29,337,881
|
RealPage, Inc.
1st Lien Term Loan 1 mo. USD Term SOFR + 3.00%, 8.44%, 4/24/2028 (a)
|
|
| 57,562,180
|
| 56,079,090
|
Rocket Software, Inc.
2023 USD Term Loan B 1 mo. USD Term SOFR + 4.75%, 10.08%, 11/28/2028 (a)
|
|
| 1,313,184
|
| 1,305,226
|
SolarWinds Holdings, Inc.
2024 Term Loan 1 mo. USD Term SOFR + 3.25%, 8.58%, 2/5/2027 (a)
|
|
| 7,032,855
|
| 7,059,228
|
SS&C European Holdings SARL
2018 Term Loan B4 1 mo. USD Term SOFR + 1.75%, 7.19%, 4/16/2025 (a)
|
|
| 606,595
|
| 607,341
|
SS&C Technologies, Inc.:
|
|
|
|
|
|
2018 Term Loan B3 1 mo. USD Term SOFR + 1.75%, 7.19%, 4/16/2025 (a)
|
|
| 642,466
|
| 643,256
|
2022 Term Loan B6 (b)
|
|
| 509,569
|
| 510,726
|
2022 Term Loan B7 (b)
|
|
| 990,431
|
| 992,679
|
Vision Solutions, Inc.
2021 2nd Lien Term Loan 3 mo. USD Term SOFR + 7.25%, 12.84%, 4/23/2029 (a)
|
|
| 1,233,333
|
| 1,156,250
|
Waystar Technologies, Inc.
2024 Term Loan B 1 mo. USD Term SOFR + 4.00%, 9.33%, 10/22/2029 (a)
|
|
| 16,749,616
|
| 16,812,427
|
|
|
|
|
| 978,988,173
|
SPECIALTY RETAIL — 1.5%
|
|
Michaels Cos., Inc.
2021 Term Loan B 3 mo. USD Term SOFR + 4.25%, 9.57%, 4/15/2028 (a)
|
|
| 21,352,306
|
| 19,212,271
|
SRS Distribution, Inc.
2021 Term Loan B 1 mo. USD Term SOFR + 3.50%,, 6/2/2028 (a)
|
|
| 14,164,180
|
| 14,278,131
|
Staples, Inc.
7 Year Term Loan 1 mo. USD Term SOFR + 5.00%, 10.44%, 4/16/2026 (a)
|
|
| 26,244,990
|
| 26,036,211
|
Security Description
|
|
| Principal
Amount
|
| Value
|
Whatabrands LLC
2021 Term Loan B 1 mo. USD Term SOFR + 3.25%, 8.69%, 8/3/2028 (a)
|
|
| $23,042,946
|
| $23,083,387
|
|
|
|
|
| 82,610,000
|
STEEL-PRODUCERS — 0.3%
|
|
Arsenal AIC Parent LLC
2024 Term Loan B 1 mo. USD Term SOFR + 3.75%, 9.08%, 8/18/2030 (a)
|
|
| 16,571,920
|
| 16,648,565
|
Phoenix Services International LLC
2023 Exit PIK Term Loan (b)
|
|
| 2,431,015
|
| 2,291,232
|
|
|
|
|
| 18,939,797
|
TELECOMMUNICATION EQUIP — 0.2%
|
|
Delta TopCo, Inc.
2020 Term Loan B 6 mo. USD Term SOFR + 3.75%, 9.12%, 12/1/2027 (a)
|
|
| 11,743,301
|
| 11,770,839
|
TRADING COMPANIES & DISTRIBUTORS — 0.2%
|
|
Foundation Building Materials Holding Co. LLC
2021 Term Loan 1 mo. USD Term SOFR + 3.25%, 8.82%, 1/31/2028 (a)
|
|
| 11,768,492
|
| 11,795,206
|
TRANSPORT-SERVICES — 1.0%
|
|
Endure Digital, Inc.
Term Loan 6 mo. USD Term SOFR + 3.50%, 9.42%, 2/10/2028 (a)
|
|
| 51,675,124
|
| 50,551,191
|
Kenan Advantage Group, Inc.
2024 Term Loan B3 1 mo. USD Term SOFR + 3.75%, 9.08%, 1/25/2029 (a)
|
|
| 249,409
|
| 249,955
|
XPO Logistics, Inc.
2023 Term Loan B (b)
|
|
| 4,000,000
|
| 4,015,820
|
|
|
|
|
| 54,816,966
|
TOTAL SENIOR FLOATING RATE LOANS
(Cost $5,223,458,639)
|
|
|
|
| 5,271,689,379
|
|
| Shares
|
|
COMMON STOCKS — 0.4%
|
AEROSPACE & DEFENSE — 0.1%
|
Flame Newco LLC (d) (e)
|
| 230,071
| 2,376,633
|
ENTERTAINMENT — 0.3%
|
Cineworld Group PLC (d) (e)
|
| 1,063,146
| 19,136,628
|
HEALTH CARE EQUIPMENT & SUPPLIES — 0.0% (c)
|
Carestream Health, Inc. (d) (e)
|
| 396,286
| 118,886
|
See accompanying notes to Schedule of
Investments.
36
SPDR BLACKSTONE SENIOR LOAN ETF
SCHEDULE OF INVESTMENTS (continued)
March 31, 2024 (Unaudited)
Security Description
|
|
| Shares
|
| Value
|
HEALTH CARE PROVIDERS & SERVICES — 0.0% (c)
|
|
Envision Healthcare Corp. (d) (e)
|
|
| 154,531
|
| $1,352,146
|
TOTAL COMMON STOCKS
(Cost $36,324,118)
|
|
|
|
| 22,984,293
|
|
| Principal
Amount
|
|
CORPORATE BONDS & NOTES — 4.7%
|
ADVERTISING — 0.0% (c)
|
Advantage Sales & Marketing, Inc.
6.50%, 11/15/2028 (f)
|
| $2,254,000
| 2,122,659
|
Clear Channel Outdoor Holdings, Inc.
7.88%, 4/1/2030 (f)
|
| 410,000
| 407,528
|
AEROSPACE & DEFENSE — 0.1%
|
AAR Escrow Issuer LLC
6.75%, 3/15/2029 (f)
|
| 310,000
| 312,415
|
Moog, Inc.
4.25%, 12/15/2027 (f)
|
| 1,450,000
| 1,365,712
|
TransDigm, Inc.:
|
|
|
|
4.63%, 1/15/2029
|
| 3,200,000
| 2,970,368
|
4.88%, 5/1/2029
|
| 1,790,000
| 1,663,733
|
AIRLINES — 0.1%
|
Air Canada
3.88%, 8/15/2026 (f)
|
| 1,800,000
| 1,719,954
|
American Airlines, Inc.
7.25%, 2/15/2028 (f)
|
| 1,197,000
| 1,214,919
|
APPAREL — 0.0% (c)
|
Hanesbrands, Inc.
9.00%, 2/15/2031 (f)
|
| 336,000
| 345,132
|
AUTO MANUFACTURERS — 0.1%
|
Allison Transmission, Inc.:
|
|
|
|
3.75%, 1/30/2031 (f)
|
| 3,440,000
| 3,003,636
|
4.75%, 10/1/2027 (f)
|
| 1,560,000
| 1,503,076
|
Wabash National Corp.
4.50%, 10/15/2028 (f)
|
| 70,000
| 64,185
|
AUTO PARTS & EQUIPMENT — 0.0% (c)
|
Phinia, Inc.
6.75%, 4/15/2029 (f) (g)
|
| 509,000
| 513,953
|
BANKS — 0.1%
|
Intesa Sanpaolo SpA
5.71%, 1/15/2026 (f)
|
| 3,407,000
| 3,379,812
|
CHEMICALS — 0.0% (c)
|
Chemours Co.
5.75%, 11/15/2028 (f)
|
| 200,000
| 183,334
|
Minerals Technologies, Inc.
5.00%, 7/1/2028 (f)
|
| 10,000
| 9,585
|
Tronox, Inc.
4.63%, 3/15/2029 (f)
|
| 570,000
| 510,845
|
COAL — 0.0% (c)
|
SunCoke Energy, Inc.
4.88%, 6/30/2029 (f)
|
| 1,450,000
| 1,313,917
|
Security Description
|
|
| Principal
Amount
|
| Value
|
COMMERCIAL SERVICES — 0.1%
|
|
Adtalem Global Education, Inc.
5.50%, 3/1/2028 (f)
|
|
| $1,175,000
|
| $1,125,450
|
TriNet Group, Inc.
3.50%, 3/1/2029 (f)
|
|
| 600,000
|
| 538,170
|
Upbound Group, Inc.
6.38%, 2/15/2029 (f)
|
|
| 700,000
|
| 679,637
|
Valvoline, Inc.
3.63%, 6/15/2031 (f)
|
|
| 1,080,000
|
| 931,857
|
COMPUTERS — 0.1%
|
|
KBR, Inc.
4.75%, 9/30/2028 (f)
|
|
| 560,000
|
| 516,802
|
Science Applications International Corp.
4.88%, 4/1/2028 (f)
|
|
| 1,160,000
|
| 1,107,800
|
Seagate HDD Cayman:
|
|
|
|
|
|
4.09%, 6/1/2029
|
|
| 2,480,000
|
| 2,291,197
|
4.13%, 1/15/2031
|
|
| 550,000
|
| 483,384
|
5.75%, 12/1/2034
|
|
| 120,000
|
| 117,850
|
CONSTRUCTION MATERIALS — 0.0% (c)
|
|
Griffon Corp.
5.75%, 3/1/2028
|
|
| 1,008,000
|
| 987,598
|
Louisiana-Pacific Corp.
3.63%, 3/15/2029 (f)
|
|
| 1,420,000
|
| 1,292,796
|
DIVERSIFIED FINANCIAL SERVICES — 0.4%
|
|
Ally Financial, Inc.
6.70%, 2/14/2033
|
|
| 2,750,000
|
| 2,779,535
|
Burford Capital Global Finance LLC:
|
|
|
|
|
|
6.88%, 4/15/2030 (f)
|
|
| 510,000
|
| 502,115
|
9.25%, 7/1/2031 (f)
|
|
| 1,100,000
|
| 1,164,493
|
Enova International, Inc.:
|
|
|
|
|
|
8.50%, 9/15/2025 (f)
|
|
| 578,000
|
| 577,723
|
11.25%, 12/15/2028 (f)
|
|
| 80,000
|
| 84,620
|
goeasy Ltd.:
|
|
|
|
|
|
7.63%, 7/1/2029 (f)
|
|
| 1,100,000
|
| 1,103,421
|
9.25%, 12/1/2028 (f)
|
|
| 2,356,000
|
| 2,508,245
|
Nationstar Mortgage Holdings, Inc.:
|
|
|
|
|
|
5.13%, 12/15/2030 (f)
|
|
| 1,700,000
|
| 1,542,835
|
5.50%, 8/15/2028 (f)
|
|
| 80,000
|
| 76,493
|
5.75%, 11/15/2031 (f)
|
|
| 3,130,000
|
| 2,888,771
|
Navient Corp.:
|
|
|
|
|
|
4.88%, 3/15/2028
|
|
| 940,000
|
| 874,068
|
9.38%, 7/25/2030
|
|
| 457,000
|
| 488,730
|
11.50%, 3/15/2031
|
|
| 1,390,000
|
| 1,548,668
|
OneMain Finance Corp.
7.88%, 3/15/2030
|
|
| 1,858,000
|
| 1,920,429
|
PennyMac Financial Services, Inc.:
|
|
|
|
|
|
5.75%, 9/15/2031 (f)
|
|
| 1,170,000
|
| 1,086,450
|
7.88%, 12/15/2029 (f)
|
|
| 3,284,000
|
| 3,375,131
|
PHH Mortgage Corp.
7.88%, 3/15/2026 (f)
|
|
| 235,000
|
| 227,461
|
See accompanying notes to Schedule of
Investments.
37
SPDR BLACKSTONE SENIOR LOAN ETF
SCHEDULE OF INVESTMENTS (continued)
March 31, 2024 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
PRA Group, Inc.:
|
|
|
|
|
|
5.00%, 10/1/2029 (f)
|
|
| $70,000
|
| $58,995
|
8.38%, 2/1/2028 (f)
|
|
| 290,000
|
| 288,211
|
Synchrony Financial
7.25%, 2/2/2033
|
|
| 2,180,000
|
| 2,169,187
|
ELECTRIC — 0.1%
|
|
NRG Energy, Inc.:
|
|
|
|
|
|
3.38%, 2/15/2029 (f)
|
|
| 2,000,000
|
| 1,778,860
|
3.63%, 2/15/2031 (f)
|
|
| 550,000
|
| 474,837
|
5.25%, 6/15/2029 (f)
|
|
| 960,000
|
| 920,736
|
Vistra Operations Co. LLC:
|
|
|
|
|
|
4.38%, 5/1/2029 (f)
|
|
| 270,000
|
| 250,220
|
7.75%, 10/15/2031 (f)
|
|
| 4,015,000
|
| 4,202,300
|
ELECTRONICS — 0.0% (c)
|
|
Coherent Corp.
5.00%, 12/15/2029 (f)
|
|
| 1,630,000
|
| 1,535,281
|
ENGINEERING & CONSTRUCTION — 0.0% (c)
|
|
Brundage-Bone Concrete Pumping Holdings, Inc.
6.00%, 2/1/2026 (f)
|
|
| 840,000
|
| 829,517
|
TopBuild Corp.:
|
|
|
|
|
|
3.63%, 3/15/2029 (f)
|
|
| 260,000
|
| 236,428
|
4.13%, 2/15/2032 (f)
|
|
| 200,000
|
| 177,066
|
ENTERTAINMENT — 0.1%
|
|
Churchill Downs, Inc.
4.75%, 1/15/2028 (f)
|
|
| 1,550,000
|
| 1,475,430
|
Cinemark USA, Inc.
5.25%, 7/15/2028 (f)
|
|
| 900,000
|
| 852,156
|
Wynn Resorts Finance LLC/Wynn Resorts Capital Corp.
5.13%, 10/1/2029 (f)
|
|
| 472,000
|
| 447,399
|
ENVIRONMENTAL CONTROL — 0.0% (c)
|
|
Stericycle, Inc.
3.88%, 1/15/2029 (f)
|
|
| 540,000
|
| 489,721
|
FOOD — 0.1%
|
|
Post Holdings, Inc.:
|
|
|
|
|
|
4.63%, 4/15/2030 (f)
|
|
| 4,146,000
|
| 3,805,572
|
5.63%, 1/15/2028 (f)
|
|
| 660,000
|
| 648,014
|
FOREST PRODUCTS & PAPER — 0.0% (c)
|
|
Mercer International, Inc.
5.13%, 2/1/2029
|
|
| 130,000
|
| 114,473
|
HEALTH CARE SERVICES — 0.6%
|
|
CHS/Community Health Systems, Inc.:
|
|
|
|
|
|
5.63%, 3/15/2027 (f)
|
|
| 100,000
|
| 92,032
|
8.00%, 3/15/2026 (f)
|
|
| 800,000
|
| 798,528
|
10.88%, 1/15/2032 (f)
|
|
| 1,300,000
|
| 1,342,653
|
DaVita, Inc.:
|
|
|
|
|
|
3.75%, 2/15/2031 (f)
|
|
| 900,000
|
| 753,003
|
4.63%, 6/1/2030 (f)
|
|
| 4,400,000
|
| 3,938,440
|
Encompass Health Corp.:
|
|
|
|
|
|
4.50%, 2/1/2028
|
|
| 3,320,000
|
| 3,160,474
|
4.63%, 4/1/2031
|
|
| 30,000
|
| 27,264
|
Security Description
|
|
| Principal
Amount
|
| Value
|
RegionalCare Hospital Partners Holdings, Inc./LifePoint Health, Inc.
9.75%, 12/1/2026 (f)
|
|
| $21,385,000
|
| $21,424,776
|
HOME BUILDERS — 0.3%
|
|
Beazer Homes USA, Inc.
7.25%, 10/15/2029
|
|
| 2,190,000
|
| 2,216,390
|
Century Communities, Inc.
3.88%, 8/15/2029 (f)
|
|
| 1,435,000
|
| 1,292,146
|
Dream Finders Homes, Inc.
8.25%, 8/15/2028 (f)
|
|
| 870,000
|
| 907,880
|
Forestar Group, Inc.
3.85%, 5/15/2026 (f)
|
|
| 2,040,000
|
| 1,948,363
|
LGI Homes, Inc.:
|
|
|
|
|
|
4.00%, 7/15/2029 (f)
|
|
| 480,000
|
| 419,419
|
8.75%, 12/15/2028 (f)
|
|
| 1,480,000
|
| 1,562,776
|
M/I Homes, Inc.:
|
|
|
|
|
|
3.95%, 2/15/2030
|
|
| 1,543,000
|
| 1,387,944
|
4.95%, 2/1/2028
|
|
| 510,000
|
| 485,999
|
Taylor Morrison Communities, Inc.
5.75%, 1/15/2028 (f)
|
|
| 4,180,000
|
| 4,156,174
|
Thor Industries, Inc.
4.00%, 10/15/2029 (f)
|
|
| 330,000
|
| 295,535
|
Tri Pointe Homes, Inc.
5.70%, 6/15/2028
|
|
| 920,000
|
| 904,921
|
HOME FURNISHINGS — 0.1%
|
|
Tempur Sealy International, Inc.:
|
|
|
|
|
|
3.88%, 10/15/2031 (f)
|
|
| 2,240,000
|
| 1,904,874
|
4.00%, 4/15/2029 (f)
|
|
| 1,370,000
|
| 1,244,576
|
INTERNET — 0.3%
|
|
ANGI Group LLC
3.88%, 8/15/2028 (f)
|
|
| 935,000
|
| 811,515
|
Cogent Communications Group, Inc.:
|
|
|
|
|
|
3.50%, 5/1/2026 (f)
|
|
| 322,000
|
| 306,550
|
7.00%, 6/15/2027 (f)
|
|
| 1,910,000
|
| 1,901,462
|
Go Daddy Operating Co. LLC/GD Finance Co., Inc.
3.50%, 3/1/2029 (f)
|
|
| 1,900,000
|
| 1,713,857
|
Newfold Digital Holdings Group, Inc.
11.75%, 10/15/2028 (f)
|
|
| 7,273,000
|
| 7,869,895
|
Rakuten Group, Inc.
11.25%, 2/15/2027 (f)
|
|
| 3,300,000
|
| 3,495,195
|
INVESTMENT COMPANY SECURITY — 0.0% (c)
|
|
Compass Group Diversified Holdings LLC
5.25%, 4/15/2029 (f)
|
|
| 1,470,000
|
| 1,396,250
|
IRON/STEEL — 0.0% (c)
|
|
Mineral Resources Ltd.
8.13%, 5/1/2027 (f)
|
|
| 1,100,000
|
| 1,112,331
|
See accompanying notes to Schedule of
Investments.
38
SPDR BLACKSTONE SENIOR LOAN ETF
SCHEDULE OF INVESTMENTS (continued)
March 31, 2024 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
IT SERVICES — 0.0% (c)
|
|
ASGN, Inc.
4.63%, 5/15/2028 (f)
|
|
| $1,000,000
|
| $945,940
|
LODGING — 0.0% (c)
|
|
Hilton Domestic Operating Co., Inc.
3.63%, 2/15/2032 (f)
|
|
| 1,054,000
|
| 908,179
|
MACHINERY, CONSTRUCTION & MINING — 0.0% (c)
|
|
BWX Technologies, Inc.:
|
|
|
|
|
|
4.13%, 6/30/2028 (f)
|
|
| 2,240,000
|
| 2,092,272
|
4.13%, 4/15/2029 (f)
|
|
| 83,000
|
| 76,557
|
MACHINERY-DIVERSIFIED — 0.0% (c)
|
|
Esab Corp.
6.25%, 4/15/2029 (f) (g)
|
|
| 297,000
|
| 298,586
|
MEDIA — 0.1%
|
|
AMC Networks, Inc.
4.25%, 2/15/2029
|
|
| 860,000
|
| 609,723
|
CSC Holdings LLC
11.75%, 1/31/2029 (f)
|
|
| 500,000
|
| 500,135
|
Gray Television, Inc.
4.75%, 10/15/2030 (f)
|
|
| 428,000
|
| 281,008
|
News Corp.:
|
|
|
|
|
|
3.88%, 5/15/2029 (f)
|
|
| 1,000,000
|
| 916,280
|
5.13%, 2/15/2032 (f)
|
|
| 75,000
|
| 70,669
|
Nexstar Media, Inc.:
|
|
|
|
|
|
4.75%, 11/1/2028 (f)
|
|
| 400,000
|
| 364,640
|
5.63%, 7/15/2027 (f)
|
|
| 900,000
|
| 864,099
|
Sinclair Television Group, Inc.
5.50%, 3/1/2030 (f)
|
|
| 640,000
|
| 461,120
|
MINING — 0.1%
|
|
FMG Resources August 2006 Pty. Ltd.
5.88%, 4/15/2030 (f)
|
|
| 4,000,000
|
| 3,932,560
|
Taseko Mines Ltd.
7.00%, 2/15/2026 (f)
|
|
| 880,000
|
| 883,740
|
OFFICE & BUSINESS EQUIPMENT — 0.1%
|
|
Pitney Bowes, Inc.
7.25%, 3/15/2029 (f)
|
|
| 630,000
|
| 562,823
|
Xerox Holdings Corp.
5.50%, 8/15/2028 (f)
|
|
| 5,042,000
|
| 4,590,338
|
OFFICE FURNISHINGS — 0.0% (c)
|
|
Steelcase, Inc.
5.13%, 1/18/2029
|
|
| 1,300,000
|
| 1,228,799
|
OIL & GAS — 0.4%
|
|
Chord Energy Corp.
6.38%, 6/1/2026 (f)
|
|
| 1,160,000
|
| 1,164,014
|
CNX Resources Corp.:
|
|
|
|
|
|
6.00%, 1/15/2029 (f)
|
|
| 2,097,000
|
| 2,055,144
|
7.25%, 3/1/2032 (f)
|
|
| 1,122,000
|
| 1,141,590
|
CVR Energy, Inc.:
|
|
|
|
|
|
5.75%, 2/15/2028 (f)
|
|
| 1,024,000
|
| 962,519
|
8.50%, 1/15/2029 (f)
|
|
| 1,880,000
|
| 1,903,970
|
Parkland Corp.:
|
|
|
|
|
|
4.50%, 10/1/2029 (f)
|
|
| 2,059,000
|
| 1,904,390
|
Security Description
|
|
| Principal
Amount
|
| Value
|
4.63%, 5/1/2030 (f)
|
|
| $2,475,000
|
| $2,281,727
|
5.88%, 7/15/2027 (f)
|
|
| 200,000
|
| 198,268
|
PBF Holding Co. LLC/PBF Finance Corp.
7.88%, 9/15/2030 (f)
|
|
| 1,047,000
|
| 1,084,933
|
Precision Drilling Corp.
6.88%, 1/15/2029 (f)
|
|
| 1,700,000
|
| 1,695,767
|
SM Energy Co.:
|
|
|
|
|
|
6.63%, 1/15/2027
|
|
| 1,360,000
|
| 1,357,090
|
6.75%, 9/15/2026
|
|
| 600,000
|
| 601,032
|
Sunoco LP/Sunoco Finance Corp.
4.50%, 5/15/2029
|
|
| 4,830,000
|
| 4,497,309
|
Valaris Ltd.
8.38%, 4/30/2030 (f)
|
|
| 1,260,000
|
| 1,297,636
|
OIL & GAS SERVICES — 0.2%
|
|
Archrock Partners LP/Archrock Partners Finance Corp.:
|
|
|
|
|
|
6.25%, 4/1/2028 (f)
|
|
| 1,250,000
|
| 1,234,037
|
6.88%, 4/1/2027 (f)
|
|
| 2,500,000
|
| 2,507,000
|
CSI Compressco LP/CSI Compressco Finance, Inc.
7.50%, 4/1/2025 (f)
|
|
| 830,000
|
| 830,000
|
Enerflex Ltd.
9.00%, 10/15/2027 (f)
|
|
| 1,753,000
|
| 1,800,682
|
Helix Energy Solutions Group, Inc.
9.75%, 3/1/2029 (f)
|
|
| 864,000
|
| 924,169
|
Kodiak Gas Services LLC
7.25%, 2/15/2029 (f)
|
|
| 2,170,000
|
| 2,212,098
|
PACKAGING & CONTAINERS — 0.0% (c)
|
|
Ardagh Metal Packaging Finance USA LLC/Ardagh Metal Packaging Finance PLC
4.00%, 9/1/2029 (f)
|
|
| 1,445,000
|
| 1,165,002
|
PHARMACEUTICALS — 0.0% (c)
|
|
AdaptHealth LLC
5.13%, 3/1/2030 (f)
|
|
| 1,520,000
|
| 1,325,714
|
PIPELINES — 0.2%
|
|
Delek Logistics Partners LP/Delek Logistics Finance Corp.:
|
|
|
|
|
|
7.13%, 6/1/2028 (f)
|
|
| 1,906,000
|
| 1,861,952
|
8.63%, 3/15/2029 (f)
|
|
| 663,000
|
| 677,109
|
Global Partners LP/GLP Finance Corp.:
|
|
|
|
|
|
6.88%, 1/15/2029
|
|
| 950,000
|
| 943,987
|
7.00%, 8/1/2027
|
|
| 20,000
|
| 20,047
|
Hess Midstream Operations LP:
|
|
|
|
|
|
5.13%, 6/15/2028 (f)
|
|
| 3,950,000
|
| 3,820,716
|
5.63%, 2/15/2026 (f)
|
|
| 658,000
|
| 652,565
|
See accompanying notes to Schedule of
Investments.
39
SPDR BLACKSTONE SENIOR LOAN ETF
SCHEDULE OF INVESTMENTS (continued)
March 31, 2024 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
NGL Energy Operating LLC/NGL Energy Finance Corp.
8.38%, 2/15/2032 (f)
|
|
| $900,000
|
| $922,869
|
NuStar Logistics LP
6.38%, 10/1/2030
|
|
| 350,000
|
| 353,199
|
REAL ESTATE — 0.1%
|
|
Howard Hughes Corp.
4.13%, 2/1/2029 (f)
|
|
| 1,630,000
|
| 1,465,354
|
Newmark Group, Inc.
7.50%, 1/12/2029 (f)
|
|
| 1,741,000
|
| 1,790,113
|
REAL ESTATE INVESTMENT TRUSTS — 0.3%
|
|
Apollo Commercial Real Estate Finance, Inc.
4.63%, 6/15/2029 (f)
|
|
| 1,460,000
|
| 1,230,546
|
HAT Holdings I LLC/HAT Holdings II LLC
3.38%, 6/15/2026 (f)
|
|
| 1,980,000
|
| 1,864,051
|
Iron Mountain Information Management Services, Inc.
5.00%, 7/15/2032 (f)
|
|
| 1,820,000
|
| 1,661,241
|
Iron Mountain, Inc.:
|
|
|
|
|
|
4.88%, 9/15/2029 (f)
|
|
| 1,000,000
|
| 937,720
|
5.00%, 7/15/2028 (f)
|
|
| 70,000
|
| 66,909
|
5.63%, 7/15/2032 (f)
|
|
| 340,000
|
| 321,089
|
7.00%, 2/15/2029 (f)
|
|
| 5,000
|
| 5,098
|
REIT, 4.50%, 2/15/2031 (f)
|
|
| 340,000
|
| 307,176
|
MPT Operating Partnership LP/MPT Finance Corp.
5.00%, 10/15/2027
|
|
| 450,000
|
| 379,859
|
Rithm Capital Corp.:
|
|
|
|
|
|
6.25%, 10/15/2025 (f)
|
|
| 537,000
|
| 532,983
|
8.00%, 4/1/2029 (f)
|
|
| 1,092,000
|
| 1,059,797
|
Service Properties Trust:
|
|
|
|
|
|
3.95%, 1/15/2028
|
|
| 225,000
|
| 192,472
|
4.95%, 2/15/2027
|
|
| 2,180,000
|
| 2,017,176
|
4.95%, 10/1/2029
|
|
| 410,000
|
| 335,384
|
Starwood Property Trust, Inc.:
|
|
|
|
|
|
3.63%, 7/15/2026 (f)
|
|
| 330,000
|
| 309,434
|
4.38%, 1/15/2027 (f)
|
|
| 3,840,000
|
| 3,612,211
|
7.25%, 4/1/2029 (f)
|
|
| 288,000
|
| 290,261
|
Uniti Group LP/Uniti Group Finance, Inc./CSL Capital LLC
10.50%, 2/15/2028 (f)
|
|
| 1,740,000
|
| 1,804,989
|
Vornado Realty LP
3.40%, 6/1/2031
|
|
| 580,000
|
| 458,937
|
RETAIL — 0.4%
|
|
1011778 BC ULC/New Red Finance, Inc.
4.38%, 1/15/2028 (f)
|
|
| 2,000,000
|
| 1,890,600
|
Bath & Body Works, Inc.
6.88%, 11/1/2035
|
|
| 290,000
|
| 296,250
|
Security Description
|
|
| Principal
Amount
|
| Value
|
Bloomin' Brands, Inc./OSI Restaurant Partners LLC
5.13%, 4/15/2029 (f)
|
|
| $670,000
|
| $622,021
|
BlueLinx Holdings, Inc.
6.00%, 11/15/2029 (f)
|
|
| 700,000
|
| 678,944
|
FirstCash, Inc.:
|
|
|
|
|
|
4.63%, 9/1/2028 (f)
|
|
| 3,780,000
|
| 3,558,416
|
5.63%, 1/1/2030 (f)
|
|
| 650,000
|
| 618,351
|
6.88%, 3/1/2032 (f)
|
|
| 384,000
|
| 384,261
|
Foot Locker, Inc.
4.00%, 10/1/2029 (f)
|
|
| 1,160,000
|
| 976,790
|
Gap, Inc.:
|
|
|
|
|
|
3.63%, 10/1/2029 (f)
|
|
| 2,568,000
|
| 2,249,645
|
3.88%, 10/1/2031 (f)
|
|
| 1,930,000
|
| 1,632,394
|
Macy's Retail Holdings LLC
5.88%, 3/15/2030 (f)
|
|
| 580,000
|
| 564,073
|
Murphy Oil USA, Inc.:
|
|
|
|
|
|
3.75%, 2/15/2031 (f)
|
|
| 1,596,000
|
| 1,394,010
|
4.75%, 9/15/2029
|
|
| 660,000
|
| 626,215
|
Nordstrom, Inc.
5.00%, 1/15/2044
|
|
| 1,140,000
|
| 880,274
|
Patrick Industries, Inc.
4.75%, 5/1/2029 (f)
|
|
| 1,969,000
|
| 1,838,278
|
Suburban Propane Partners LP/Suburban Energy Finance Corp.
5.00%, 6/1/2031 (f)
|
|
| 3,020,000
|
| 2,751,492
|
Victoria's Secret & Co.
4.63%, 7/15/2029 (f)
|
|
| 1,750,000
|
| 1,436,155
|
SEMICONDUCTORS — 0.0% (c)
|
|
ams-OSRAM AG
12.25%, 3/30/2029 (f)
|
|
| 928,000
|
| 932,334
|
Entegris, Inc.
3.63%, 5/1/2029 (f)
|
|
| 630,000
|
| 565,847
|
SOFTWARE — 0.1%
|
|
Fair Isaac Corp.
4.00%, 6/15/2028 (f)
|
|
| 3,844,000
|
| 3,592,333
|
MicroStrategy, Inc.
6.13%, 6/15/2028 (f)
|
|
| 1,440,000
|
| 1,391,011
|
PTC, Inc.
4.00%, 2/15/2028 (f)
|
|
| 791,000
|
| 739,380
|
SS&C Technologies, Inc.
5.50%, 9/30/2027 (f)
|
|
| 1,500,000
|
| 1,465,635
|
TELECOMMUNICATIONS — 0.1%
|
|
Consolidated Communications, Inc.:
|
|
|
|
|
|
5.00%, 10/1/2028 (f)
|
|
| 110,000
|
| 91,692
|
6.50%, 10/1/2028 (f)
|
|
| 650,000
|
| 570,453
|
Frontier Communications Holdings LLC
8.63%, 3/15/2031 (f)
|
|
| 1,610,000
|
| 1,643,778
|
Telecom Italia Capital SA
7.72%, 6/4/2038
|
|
| 300,000
|
| 300,150
|
Viavi Solutions, Inc.
3.75%, 10/1/2029 (f)
|
|
| 1,100,000
|
| 944,372
|
See accompanying notes to Schedule of
Investments.
40
SPDR BLACKSTONE SENIOR LOAN ETF
SCHEDULE OF INVESTMENTS (continued)
March 31, 2024 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
TRANSPORTATION — 0.0% (c)
|
|
Danaos Corp.
8.50%, 3/1/2028 (f)
|
|
| $610,000
|
| $624,097
|
TOTAL CORPORATE BONDS & NOTES
(Cost $253,161,721)
|
|
|
|
| 263,938,171
|
REPURCHASE AGREEMENTS — 1.8%
|
|
Barclays Capital, Inc., dated 03/29/2024 (collateralized by U.S. Treasury Notes 3.000% due 08/15/2048, valued at $124,000,000); expected proceeds $101,159,167, 5.35%, 06/15/2024
(Cost $100,000,000)
|
|
| 100,000,000
|
| 100,000,000
|
|
| Shares
|
|
SHORT-TERM INVESTMENT — 7.8%
|
State Street Institutional U.S. Government Money Market Fund, Class G Shares 5.30% (h) (i)
(Cost $436,569,033)
|
| 436,569,033
| 436,569,033
|
TOTAL INVESTMENTS — 108.4%
(Cost $6,049,513,511)
|
|
| 6,095,180,876
|
LIABILITIES IN EXCESS OF OTHER ASSETS — (8.4)%
|
|
| (469,766,704)
|
NET ASSETS — 100.0%
|
|
| $5,625,414,172
|
(a)
| Variable Rate Security - Interest rate shown is rate in effect at March 31, 2024. For securities based on a published reference rate and spread, the reference rate and spread are
indicated in the description above.
|
(b)
| Position is unsettled. Contract rate was not determined at March 31, 2024 and does not take effect until settlement date. Maturity date is not finalized until settlement date.
|
(c)
| Amount is less than 0.05% of net assets.
|
(d)
| Fair valued as determined in good faith by the Trust's Oversight Committee in accordance with policy and procedures approved by the Board of Trustees. Security value is determined
based on Level 3 inputs. As of March 31, 2024, total aggregate fair value of the securities is $22,984,293, representing 0.40% of the Fund's net assets.
|
(e)
| Non-income producing security.
|
(f)
| Securities purchased pursuant to Rule 144A of the Securities Act of 1933, as amended. These securities, which represent 4.0% of net assets as of March 31, 2024, are considered liquid
and may be resold in transactions exempt from registration, normally to qualified institutional buyers.
|
(g)
| Security is currently in default and/or issuer is in bankruptcy.
|
(h)
| The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these investments during the period ended March 31, 2024 are shown in the
Affiliate Table below.
|
(i)
| The rate shown is the annualized seven-day yield at March 31, 2024.
|
PIK
| Payment in Kind
|
REIT
| Real Estate Investment Trust
|
SOFR
| Secured Overnight Financing Rate
|
At March 31, 2024, the
Fund had unfunded loan commitments of $2,051,575, which could be extended at the option of the borrowers, pursuant to the following loan agreements:
Borrower
|
| Unfunded Loan
Commitment ($)
|
| Value ($)
|
| Unrealized
Appreciation/(Depreciation) ($)
|
AI Aqua Merger Sub, Inc.
|
| 615,652
|
| 619,180
|
| 3,528
|
Touchdown Acquirer Inc
|
| 1,435,923
|
| 1,442,205
|
| 6,282
|
|
| $2,051,575
|
| $2,061,385
|
| $9,810
|
See accompanying notes to Schedule of
Investments.
41
SPDR BLACKSTONE SENIOR LOAN ETF
SCHEDULE OF INVESTMENTS (continued)
March 31, 2024 (Unaudited)
The following table summarizes
the value of the Fund's investments according to the fair value hierarchy as of March 31, 2024.
Description
|
| Level 1 –
Quoted Prices
|
| Level 2 –
Other Significant
Observable Inputs
|
| Level 3 –
Significant
Unobservable Inputs
|
| Total
|
ASSETS:
|
|
|
|
|
|
|
|
|
INVESTMENTS:
|
|
|
|
|
|
|
|
|
Corporate Bonds & Notes
|
| $—
|
| $263,938,171
|
| $—
|
| $263,938,171
|
Common Stocks
|
| —
|
| —
|
| 22,984,293
|
| 22,984,293
|
Repurchase Agreements
|
| —
|
| 100,000,000
|
| —
|
| 100,000,000
|
Senior Floating Rate Loans
|
| —
|
| 5,271,689,379
|
| —
|
| 5,271,689,379
|
Short-Term Investment
|
| 436,569,033
|
| —
|
| —
|
| 436,569,033
|
TOTAL INVESTMENTS
|
| $436,569,033
|
| $5,635,627,550
|
| $22,984,293
|
| $6,095,180,876
|
OTHER FINANCIAL INSTRUMENTS:
|
|
|
|
|
|
|
|
|
Unfunded Loans - Unrealized Appreciation
|
| $—
|
| $9,810
|
| $—
|
| $9,810
|
TOTAL OTHER FINANCIAL INSTRUMENTS:
|
| $—
|
| $9,810
|
| $—
|
| $9,810
|
Affiliate Table
| Number of
Shares Held
at
6/30/23
|
| Value at
6/30/23
|
| Cost of
Purchases
|
| Proceeds
from
Shares Sold
|
| Realized
Gain (Loss)
|
| Change in
Unrealized
Appreciation/
Depreciation
|
| Number of
Shares Held
at
3/31/24
|
| Value at
3/31/24
|
| Dividend
Income
|
State Street Institutional U.S. Government Money Market Fund, Class G Shares
| 302,552,338
|
| $302,552,338
|
| $3,216,882,831
|
| $3,082,866,136
|
| $—
|
| $—
|
| 436,569,033
|
| $436,569,033
|
| $11,564,271
|
See accompanying notes to Schedule of
Investments.
42
SPDR SSGA ULTRA SHORT TERM BOND ETF
SCHEDULE OF INVESTMENTS
March 31, 2024 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
CORPORATE BONDS & NOTES — 59.7%
|
|
|
|
|
|
AEROSPACE & DEFENSE — 2.1%
|
|
BAE Systems PLC
COR, 5.00%, 3/26/2027 (a)
|
|
| $2,500,000
|
| $2,495,075
|
Boeing Co.
4.88%, 5/1/2025
|
|
| 5,000,000
|
| 4,944,550
|
Howmet Aerospace, Inc.
5.13%, 10/1/2024
|
|
| 3,264,000
|
| 3,248,594
|
L3Harris Technologies, Inc.
5.40%, 1/15/2027
|
|
| 1,000,000
|
| 1,006,900
|
RTX Corp.
5.75%, 11/8/2026
|
|
| 750,000
|
| 761,850
|
|
|
|
|
| 12,456,969
|
AGRICULTURE — 1.1%
|
|
Imperial Brands Finance PLC
3.13%, 7/26/2024 (a)
|
|
| 408,000
|
| 404,210
|
Philip Morris International, Inc.:
|
|
|
|
|
|
4.75%, 2/12/2027
|
|
| 3,420,000
|
| 3,399,001
|
5.13%, 11/15/2024
|
|
| 2,500,000
|
| 2,493,700
|
|
|
|
|
| 6,296,911
|
APPAREL — 0.1%
|
|
Tapestry, Inc.
7.05%, 11/27/2025
|
|
| 625,000
|
| 637,994
|
AUTO MANUFACTURERS — 4.8%
|
|
American Honda Finance Corp.:
|
|
|
|
|
|
Series GMTN, 5.80%, 10/3/2025
|
|
| 3,000,000
|
| 3,029,550
|
SOFR + 0.92%, 6.27%, 1/12/2026 (b)
|
|
| 2,915,000
|
| 2,930,857
|
Daimler Truck Finance North America LLC:
|
|
|
|
|
|
COR, 5.00%, 1/15/2027 (a)
|
|
| 2,500,000
|
| 2,495,050
|
5.20%, 1/17/2025 (a)
|
|
| 1,500,000
|
| 1,495,020
|
SOFR + 0.75%, 6.11%, 12/13/2024 (a) (b)
|
|
| 1,000,000
|
| 1,002,100
|
Ford Motor Credit Co. LLC
2.30%, 2/10/2025
|
|
| 1,680,000
|
| 1,629,298
|
General Motors Financial Co., Inc.:
|
|
|
|
|
|
3.80%, 4/7/2025
|
|
| 2,000,000
|
| 1,963,320
|
5.40%, 4/6/2026
|
|
| 925,000
|
| 925,768
|
Mercedes-Benz Finance North America LLC:
|
|
|
|
|
|
5.50%, 11/27/2024 (a)
|
|
| 5,000,000
|
| 4,994,950
|
SOFR + 0.93%, 6.29%, 3/30/2025 (a) (b)
|
|
| 4,000,000
|
| 4,022,560
|
Nissan Motor Acceptance Co. LLC
6.95%, 9/15/2026 (a)
|
|
| 500,000
|
| 513,325
|
Toyota Motor Credit Corp.
SOFR + 0.56%, 5.91%, 1/10/2025 (b)
|
|
| 3,335,000
|
| 3,343,471
|
|
|
|
|
| 28,345,269
|
Security Description
|
|
| Principal
Amount
|
| Value
|
BANKS — 17.8%
|
|
Bank of America NA
SOFR + 0.78%, 6.14%, 8/18/2025 (b)
|
|
| $5,000,000
|
| $5,021,750
|
Barclays Bank PLC
3.75%, 5/15/2024
|
|
| 2,000,000
|
| 1,995,240
|
Canadian Imperial Bank of Commerce
5.93%, 10/2/2026
|
|
| 2,500,000
|
| 2,547,825
|
Citibank NA
5.86%, 9/29/2025
|
|
| 1,880,000
|
| 1,897,710
|
Citigroup, Inc.:
|
|
|
|
|
|
SOFR + 1.37%, 4.14%, 5/24/2025 (b)
|
|
| 1,500,000
|
| 1,495,545
|
SOFR + 0.69%, 6.04%, 10/30/2024 (b)
|
|
| 7,000,000
|
| 7,008,190
|
Discover Bank
2.45%, 9/12/2024
|
|
| 2,000,000
|
| 1,969,300
|
Goldman Sachs Group, Inc.:
|
|
|
|
|
|
3.85%, 1/26/2027
|
|
| 1,400,000
|
| 1,357,300
|
5.70%, 11/1/2024
|
|
| 5,000,000
|
| 5,001,400
|
SOFR + 0.49%, 5.84%, 10/21/2024 (b)
|
|
| 1,500,000
|
| 1,500,660
|
SOFR + 0.51%, 5.87%, 9/10/2024 (b)
|
|
| 5,000,000
|
| 5,003,400
|
HSBC Holdings PLC
SOFR + 1.43%, 6.79%, 3/10/2026 (b)
|
|
| 1,000,000
|
| 1,005,780
|
HSBC USA, Inc.
5.63%, 3/17/2025
|
|
| 3,000,000
|
| 3,005,490
|
Huntington Bancshares, Inc.
2.63%, 8/6/2024
|
|
| 7,333,000
|
| 7,249,404
|
JPMorgan Chase & Co.
3 mo. USD Term SOFR + 0.58%, 0.97%, 6/23/2025 (b)
|
|
| 5,000,000
|
| 4,941,950
|
KeyBank NA:
|
|
|
|
|
|
4.15%, 8/8/2025
|
|
| 770,000
|
| 748,640
|
SOFR + 0.32%, 5.68%, 6/14/2024 (b)
|
|
| 1,000,000
|
| 998,680
|
Macquarie Group Ltd.
SOFR + 0.71%, 6.06%, 10/14/2025 (a) (b)
|
|
| 1,000,000
|
| 997,920
|
Mitsubishi UFJ Financial Group, Inc.
1 yr. CMT + 1.70%, 4.79%, 7/18/2025 (b)
|
|
| 5,000,000
|
| 4,982,350
|
Morgan Stanley:
|
|
|
|
|
|
SOFR + 1.16%, 3.62%, 4/17/2025 (b)
|
|
| 5,000,000
|
| 4,995,000
|
Series F, 3.88%, 4/29/2024
|
|
| 4,000,000
|
| 3,994,320
|
Series GMTN, SOFR + 0.51%, 5.86%, 1/22/2025 (b)
|
|
| 1,500,000
|
| 1,500,735
|
Morgan Stanley Bank NA
5.88%, 10/30/2026
|
|
| 5,000,000
|
| 5,095,750
|
National Australia Bank Ltd.
1.39%, 1/12/2025 (a)
|
|
| 1,500,000
|
| 1,454,820
|
See accompanying notes to Schedule of
Investments.
43
SPDR SSGA ULTRA SHORT TERM BOND ETF
SCHEDULE OF INVESTMENTS (continued)
March 31, 2024 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
NatWest Markets PLC
SOFR + 0.53%, 5.88%, 8/12/2024 (a) (b)
|
|
| $2,125,000
|
| $2,125,510
|
Royal Bank of Canada
Series GMTN, SOFR + 0.53%, 5.88%, 1/20/2026 (b)
|
|
| 500,000
|
| 498,840
|
Sumitomo Mitsui Financial Group, Inc.:
|
|
|
|
|
|
4.44%, 4/2/2024 (a)
|
|
| 5,000,000
|
| 5,000,000
|
SOFR + 1.43%, 6.78%, 1/13/2026 (b)
|
|
| 2,000,000
|
| 2,027,420
|
Sumitomo Mitsui Trust Bank Ltd.:
|
|
|
|
|
|
0.80%, 9/16/2024 (a)
|
|
| 2,500,000
|
| 2,443,475
|
SOFR + 0.44%, 5.80%, 9/16/2024 (a) (b)
|
|
| 1,500,000
|
| 1,500,030
|
Toronto-Dominion Bank
Series MTN, SOFR + 0.35%, 5.71%, 9/10/2024 (b)
|
|
| 1,515,000
|
| 1,515,651
|
U.S. Bancorp
Series MTN, 3.60%, 9/11/2024
|
|
| 10,000,000
|
| 9,909,600
|
Wells Fargo & Co.
Series MTN, 3 mo. USD Term SOFR + 1.09%, 2.41%, 10/30/2025 (b)
|
|
| 4,500,000
|
| 4,414,590
|
|
|
|
|
| 105,204,275
|
BEVERAGES — 1.4%
|
|
Constellation Brands, Inc.
5.00%, 2/2/2026
|
|
| 1,000,000
|
| 993,920
|
PepsiCo, Inc.
SOFR + 0.40%, 5.75%, 11/12/2024 (b)
|
|
| 7,000,000
|
| 7,004,620
|
|
|
|
|
| 7,998,540
|
BIOTECHNOLOGY — 0.1%
|
|
Amgen, Inc.
5.51%, 3/2/2026
|
|
| 500,000
|
| 499,775
|
CHEMICALS — 0.8%
|
|
Chevron Phillips Chemical Co. LLC/Chevron Phillips Chemical Co. LP
COR, 3.40%, 12/1/2026 (a)
|
|
| 3,226,000
|
| 3,094,315
|
Nutrien Ltd.
5.90%, 11/7/2024
|
|
| 830,000
|
| 830,672
|
Sherwin-Williams Co.
4.05%, 8/8/2024
|
|
| 875,000
|
| 869,321
|
|
|
|
|
| 4,794,308
|
COMMERCIAL SERVICES — 0.1%
|
|
Cintas Corp. No. 2
3.45%, 5/1/2025
|
|
| 585,000
|
| 573,294
|
COSMETICS/PERSONAL CARE — 0.2%
|
|
Kenvue, Inc.
5.50%, 3/22/2025
|
|
| 1,040,000
|
| 1,042,049
|
Security Description
|
|
| Principal
Amount
|
| Value
|
DIVERSIFIED FINANCIAL SERVICES — 3.3%
|
|
AerCap Ireland Capital DAC/AerCap Global Aviation Trust
6.45%, 4/15/2027 (a)
|
|
| $915,000
|
| $939,558
|
Ally Financial, Inc.
5.13%, 9/30/2024
|
|
| 3,000,000
|
| 2,985,390
|
Charles Schwab Corp.
5.88%, 8/24/2026
|
|
| 7,000,000
|
| 7,115,990
|
Nasdaq, Inc.
5.65%, 6/28/2025
|
|
| 645,000
|
| 647,219
|
Stifel Financial Corp.
4.25%, 7/18/2024
|
|
| 1,000,000
|
| 994,170
|
Synchrony Financial
4.25%, 8/15/2024
|
|
| 6,597,000
|
| 6,553,328
|
|
|
|
|
| 19,235,655
|
ELECTRIC — 3.6%
|
|
CenterPoint Energy, Inc.
SOFR + 0.65%, 6.00%, 5/13/2024 (b)
|
|
| 750,000
|
| 749,978
|
DTE Energy Co.
4.22%, 11/1/2024 (c)
|
|
| 1,250,000
|
| 1,238,775
|
Eversource Energy
4.20%, 6/27/2024
|
|
| 3,080,000
|
| 3,067,618
|
Jersey Central Power & Light Co.
4.70%, 4/1/2024 (a)
|
|
| 1,888,000
|
| 1,888,000
|
National Rural Utilities Cooperative Finance Corp.
Series D, SOFR + 0.33%, 5.68%, 10/18/2024 (b)
|
|
| 2,500,000
|
| 2,500,675
|
NextEra Energy Capital Holdings, Inc.:
|
|
|
|
|
|
4.26%, 9/1/2024
|
|
| 1,250,000
|
| 1,242,100
|
5.75%, 9/1/2025
|
|
| 500,000
|
| 502,255
|
6.05%, 3/1/2025
|
|
| 875,000
|
| 878,378
|
Southern California Edison Co.
SOFR + 0.83%, 6.18%, 4/1/2024 (b)
|
|
| 640,000
|
| 640,000
|
Southwestern Public Service Co.
3.30%, 6/15/2024
|
|
| 6,982,000
|
| 6,938,642
|
Tampa Electric Co.
3.88%, 7/12/2024
|
|
| 1,670,000
|
| 1,660,130
|
|
|
|
|
| 21,306,551
|
ELECTRONICS — 0.4%
|
|
Arrow Electronics, Inc.
6.13%, 3/1/2026
|
|
| 2,500,000
|
| 2,497,250
|
ENTERTAINMENT — 0.3%
|
|
Warnermedia Holdings, Inc.:
|
|
|
|
|
|
3.64%, 3/15/2025
|
|
| 1,000,000
|
| 980,240
|
6.41%, 3/15/2026
|
|
| 1,000,000
|
| 1,000,030
|
|
|
|
|
| 1,980,270
|
FOOD — 0.1%
|
|
Campbell Soup Co.
5.30%, 3/20/2026
|
|
| 830,000
|
| 831,029
|
See accompanying notes to Schedule of
Investments.
44
SPDR SSGA ULTRA SHORT TERM BOND ETF
SCHEDULE OF INVESTMENTS (continued)
March 31, 2024 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
HAND & MACHINE TOOLS — 0.4%
|
|
Stanley Black & Decker, Inc.
6.27%, 3/6/2026
|
|
| $2,500,000
|
| $2,502,475
|
HEALTH CARE PRODUCTS — 0.4%
|
|
GE HealthCare Technologies, Inc.
5.55%, 11/15/2024
|
|
| 1,000,000
|
| 998,080
|
Revvity, Inc.
0.85%, 9/15/2024
|
|
| 1,000,000
|
| 977,090
|
Smith & Nephew PLC
5.15%, 3/20/2027
|
|
| 525,000
|
| 524,543
|
|
|
|
|
| 2,499,713
|
INSURANCE — 2.2%
|
|
Athene Global Funding:
|
|
|
|
|
|
2.75%, 6/25/2024 (a)
|
|
| 4,060,000
|
| 4,030,402
|
SOFR + 0.70%, 6.06%, 5/24/2024 (a) (b)
|
|
| 1,000,000
|
| 1,000,630
|
Corebridge Global Funding
5.75%, 7/2/2026 (a)
|
|
| 2,500,000
|
| 2,504,175
|
Pacific Life Global Funding II
SOFR + 0.62%, 5.98%, 6/4/2026 (a) (b)
|
|
| 4,168,000
|
| 4,160,748
|
Pricoa Global Funding I
2.40%, 9/23/2024 (a)
|
|
| 1,500,000
|
| 1,476,600
|
|
|
|
|
| 13,172,555
|
INVESTMENT COMPANY SECURITY — 0.2%
|
|
ARES Capital Corp.
7.00%, 1/15/2027
|
|
| 500,000
|
| 514,910
|
Blackstone Private Credit Fund
2.35%, 11/22/2024
|
|
| 1,000,000
|
| 976,300
|
|
|
|
|
| 1,491,210
|
IT SERVICES — 0.3%
|
|
Apple, Inc.
4.42%, 5/8/2026
|
|
| 1,785,000
|
| 1,777,789
|
LODGING — 0.8%
|
|
Las Vegas Sands Corp.
3.20%, 8/8/2024
|
|
| 2,635,000
|
| 2,604,829
|
Sands China Ltd.
5.13%, 8/8/2025
|
|
| 2,000,000
|
| 1,972,300
|
|
|
|
|
| 4,577,129
|
MACHINERY, CONSTRUCTION & MINING — 1.0%
|
|
Caterpillar Financial Services Corp.:
|
|
|
|
|
|
4.80%, 1/6/2026
|
|
| 2,500,000
|
| 2,497,125
|
5.15%, 8/11/2025
|
|
| 3,500,000
|
| 3,502,660
|
|
|
|
|
| 5,999,785
|
MACHINERY-DIVERSIFIED — 1.2%
|
|
John Deere Capital Corp.:
|
|
|
|
|
|
Series MTN, 3.40%, 6/6/2025
|
|
| 1,390,000
|
| 1,362,923
|
Series MTN, 4.05%, 9/8/2025
|
|
| 2,000,000
|
| 1,972,900
|
Series MTN, 4.80%, 1/9/2026
|
|
| 2,000,000
|
| 1,994,940
|
Security Description
|
|
| Principal
Amount
|
| Value
|
Series MTN, SOFR + 0.20%, 5.55%, 10/11/2024 (b)
|
|
| $1,500,000
|
| $1,500,015
|
|
|
|
|
| 6,830,778
|
MINING — 1.7%
|
|
BHP Billiton Finance USA Ltd.
4.88%, 2/27/2026
|
|
| 4,000,000
|
| 3,986,960
|
Glencore Funding LLC
4.00%, 4/16/2025 (a)
|
|
| 5,000,000
|
| 4,916,400
|
Newmont Corp./Newcrest Finance Pty. Ltd.
5.30%, 3/15/2026 (a)
|
|
| 1,390,000
|
| 1,393,850
|
|
|
|
|
| 10,297,210
|
MISCELLANEOUS MANUFACTURER — 3.2%
|
|
Parker-Hannifin Corp.
3.65%, 6/15/2024
|
|
| 11,000,000
|
| 10,951,270
|
Siemens Financieringsmaatschappij NV:
|
|
|
|
|
|
COR, 3.40%, 3/16/2027 (a)
|
|
| 5,000,000
|
| 4,808,900
|
6.13%, 8/17/2026 (a)
|
|
| 3,000,000
|
| 3,078,150
|
|
|
|
|
| 18,838,320
|
OIL & GAS — 0.7%
|
|
Chevron USA, Inc.
3.90%, 11/15/2024
|
|
| 1,000,000
|
| 990,960
|
Occidental Petroleum Corp.
6.95%, 7/1/2024
|
|
| 2,500,000
|
| 2,504,275
|
Pioneer Natural Resources Co.
5.10%, 3/29/2026
|
|
| 795,000
|
| 794,141
|
|
|
|
|
| 4,289,376
|
PACKAGING & CONTAINERS — 0.4%
|
|
Graphic Packaging International LLC
0.82%, 4/15/2024 (a)
|
|
| 1,000,000
|
| 997,640
|
Sonoco Products Co.
1.80%, 2/1/2025
|
|
| 1,470,000
|
| 1,422,725
|
|
|
|
|
| 2,420,365
|
PHARMACEUTICALS — 3.2%
|
|
AbbVie, Inc.
4.80%, 3/15/2027
|
|
| 3,245,000
|
| 3,246,752
|
Astrazeneca Finance LLC
0.70%, 5/28/2024
|
|
| 2,000,000
|
| 1,984,820
|
Bristol-Myers Squibb Co.
4.90%, 2/22/2027
|
|
| 835,000
|
| 837,856
|
Cigna Group
5.69%, 3/15/2026
|
|
| 5,000,000
|
| 5,000,200
|
Eli Lilly & Co.
5.00%, 2/27/2026
|
|
| 3,555,000
|
| 3,554,787
|
Pfizer Investment Enterprises Pte. Ltd.
4.65%, 5/19/2025
|
|
| 2,240,000
|
| 2,225,664
|
Viatris, Inc.
1.65%, 6/22/2025
|
|
| 2,500,000
|
| 2,377,800
|
|
|
|
|
| 19,227,879
|
See accompanying notes to Schedule of
Investments.
45
SPDR SSGA ULTRA SHORT TERM BOND ETF
SCHEDULE OF INVESTMENTS (continued)
March 31, 2024 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
PIPELINES — 1.3%
|
|
Energy Transfer LP:
|
|
|
|
|
|
5.75%, 4/1/2025
|
|
| $3,000,000
|
| $2,998,230
|
6.05%, 12/1/2026
|
|
| 1,500,000
|
| 1,531,095
|
Sabine Pass Liquefaction LLC
5.63%, 3/1/2025
|
|
| 1,000,000
|
| 999,260
|
Williams Cos., Inc.
4.55%, 6/24/2024
|
|
| 2,000,000
|
| 1,994,780
|
|
|
|
|
| 7,523,365
|
REAL ESTATE INVESTMENT TRUSTS — 2.8%
|
|
Kilroy Realty LP
3.45%, 12/15/2024
|
|
| 1,953,000
|
| 1,915,932
|
Kite Realty Group Trust
4.00%, 3/15/2025
|
|
| 3,000,000
|
| 2,943,720
|
Omega Healthcare Investors, Inc.
4.50%, 1/15/2025
|
|
| 1,500,000
|
| 1,483,500
|
Realty Income Corp.
5.05%, 1/13/2026
|
|
| 6,889,000
|
| 6,867,851
|
VICI Properties LP/VICI Note Co., Inc.
3.50%, 2/15/2025 (a)
|
|
| 3,243,000
|
| 3,173,308
|
|
|
|
|
| 16,384,311
|
RETAIL — 1.1%
|
|
Dollar General Corp.
4.25%, 9/20/2024
|
|
| 6,484,000
|
| 6,437,510
|
SEMICONDUCTORS — 0.9%
|
|
Intel Corp.
4.88%, 2/10/2026
|
|
| 5,565,000
|
| 5,550,030
|
SOFTWARE — 0.8%
|
|
Intuit, Inc.
5.25%, 9/15/2026
|
|
| 2,500,000
|
| 2,523,025
|
Microsoft Corp.
3.40%, 9/15/2026 (a)
|
|
| 2,250,000
|
| 2,179,215
|
|
|
|
|
| 4,702,240
|
TELECOMMUNICATIONS — 0.7%
|
|
AT&T, Inc.
5.54%, 2/20/2026
|
|
| 4,000,000
|
| 3,999,840
|
TRANSPORTATION — 0.2%
|
|
Canadian Pacific Railway Co.
1.35%, 12/2/2024
|
|
| 1,000,000
|
| 972,460
|
TOTAL CORPORATE BONDS & NOTES
(Cost $352,865,455)
|
|
|
|
| 353,194,479
|
ASSET-BACKED SECURITIES — 9.4%
|
|
|
|
|
|
AUTOMOBILE — 6.4%
|
|
|
|
|
|
Honda Auto Receivables Owner Trust
Series 2023-4, Class A2, 5.87%, 6/22/2026
|
|
| 6,000,000
|
| 6,018,821
|
Security Description
|
|
| Principal
Amount
|
| Value
|
Hyundai Auto Lease Securitization Trust
Series 2023-A, Class A3, 5.05%, 1/15/2026 (a)
|
|
| $10,000,000
|
| $9,968,922
|
Mercedes-Benz Auto Lease Trust
Series 2023-A, Class A3, 4.74%, 1/15/2027
|
|
| 10,000,000
|
| 9,932,728
|
Nissan Auto Lease Trust
Series 2024-A, Class A2A, 5.11%, 10/15/2026
|
|
| 5,607,000
|
| 5,590,926
|
Toyota Auto Receivables Owner Trust
Series 2023-D, Class A2A, 5.80%, 11/16/2026
|
|
| 6,500,000
|
| 6,515,200
|
|
|
|
|
| 38,026,597
|
CREDIT CARD — 3.0%
|
|
|
|
|
|
American Express Credit Account Master Trust
Series 2022-2, Class A, 3.39%, 5/15/2027
|
|
| 18,000,000
|
| 17,627,570
|
TOTAL ASSET-BACKED SECURITIES
(Cost $55,223,808)
|
|
|
|
| 55,654,167
|
U.S. TREASURY OBLIGATIONS — 18.6%
|
|
|
|
|
|
U.S. Treasury Bills:
|
|
|
|
|
|
5.03%, 4/16/2024
|
|
| 40,000,000
|
| 39,912,339
|
5.25%, 5/14/2024
|
|
| 40,000,000
|
| 39,748,499
|
U.S. Treasury Notes:
|
|
|
|
|
|
4.00%, 6/30/2028
|
|
| 6,746,000
|
| 6,671,689
|
4.75%, 7/31/2025
|
|
| 20,183,100
|
| 20,147,622
|
5.00%, 9/30/2025
|
|
| 3,738,000
|
| 3,747,199
|
TOTAL U.S. TREASURY OBLIGATIONS
(Cost $110,133,320)
|
|
|
|
| 110,227,348
|
MORTGAGE-BACKED SECURITIES — 1.7%
|
|
|
|
|
|
BHMS Mortgage Trust Series 2018-ATLS, Class A, 1 mo. USD Term SOFR + 1.55%, 6.87%, 7/15/2035 (a) (b)
|
|
| 2,870,000
|
| 2,860,408
|
CSMC Trust Capital Certificates Series 2019-ICE4, Class A, 1 mo. USD Term SOFR + 1.03%, 6.35%, 5/15/2036 (a) (b)
|
|
| 7,331,759
|
| 7,329,702
|
TOTAL MORTGAGE-BACKED SECURITIES
(Cost $10,169,381)
|
|
|
|
| 10,190,110
|
See accompanying notes to Schedule of
Investments.
46
SPDR SSGA ULTRA SHORT TERM BOND ETF
SCHEDULE OF INVESTMENTS (continued)
March 31, 2024 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
COMMERCIAL MORTGAGE BACKED SECURITIES — 2.1%
|
|
|
|
|
|
BPR Trust Series 2022-OANA, Class A, 1 mo. USD Term SOFR + 1.90%, 7.22%, 4/15/2037 (a) (b)
|
|
| $1,800,000
|
| $1,807,443
|
BX Mortgage Trust Series 2021-PAC, Class B, 1 mo. USD Term SOFR + 1.01%, 6.34%, 10/15/2036 (a) (b)
|
|
| 2,500,000
|
| 2,463,742
|
Cold Storage Trust:
|
|
|
|
|
|
Series 2020-ICE5, Class A, 1 mo. USD Term SOFR + 1.01%, 6.33%, 11/15/2037 (a) (b)
|
|
| 3,178,991
|
| 3,172,646
|
Series 2020-ICE5, Class B, 1 mo. USD Term SOFR + 1.41%, 6.73%, 11/15/2037 (a) (b)
|
|
| 4,914,953
|
| 4,902,768
|
TOTAL COMMERCIAL MORTGAGE BACKED SECURITIES
(Cost $12,335,087)
|
|
|
|
| 12,346,599
|
|
| Shares
|
|
SHORT-TERM INVESTMENT — 7.7%
|
|
State Street Institutional U.S. Government Money Market Fund, Class G Shares 5.30% (d) (e)
(Cost $45,412,893)
| 45,412,893
| 45,412,893
|
TOTAL INVESTMENTS — 99.2%
(Cost $586,139,944)
| 587,025,596
|
OTHER ASSETS IN EXCESS OF LIABILITIES — 0.8%
| 4,437,628
|
NET ASSETS — 100.0%
| $591,463,224
|
(a)
| Securities purchased pursuant to Rule 144A of the Securities Act of 1933, as amended. These securities, which represent 17.4% of net assets as of March 31, 2024, 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 March 31, 2024. 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 March 31, 2024. Maturity date shown is the final maturity.
|
(d)
| The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these investments during the period ended March 31, 2024 are shown in the
Affiliate Table below.
|
(e)
| The rate shown is the annualized seven-day yield at March 31, 2024.
|
CMT
| Constant Maturity Treasury
|
GMTN
| Global Medium Term Note
|
MTN
| Medium Term Note
|
SOFR
| Secured Overnight Financing Rate
|
See accompanying notes to
Schedule of Investments.
47
SPDR SSGA ULTRA SHORT TERM BOND ETF
SCHEDULE OF INVESTMENTS (continued)
March 31, 2024 (Unaudited)
At March 31, 2024, 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)
|
| (66)
|
| 06/28/2024
|
| $(13,500,141)
|
| $(13,495,969)
|
| $4,172
|
5 Yr. U.S. Treasury Note Futures (long)
|
| 180
|
| 06/28/2024
|
| 19,207,912
|
| 19,262,812
|
| 54,900
|
|
|
|
|
|
|
|
|
|
| $59,072
|
The following table summarizes the
value of the Fund's investments according to the fair value hierarchy as of March 31, 2024.
Description
|
| Level 1 –
Quoted Prices
|
| Level 2 –
Other Significant
Observable Inputs
|
| Level 3 –
Significant
Unobservable Inputs
|
| Total
|
ASSETS:
|
|
|
|
|
|
|
|
|
INVESTMENTS:
|
|
|
|
|
|
|
|
|
Corporate Bonds & Notes
|
| $—
|
| $353,194,479
|
| $—
|
| $353,194,479
|
Asset-Backed Securities
|
| —
|
| 55,654,167
|
| —
|
| 55,654,167
|
U.S. Treasury Obligations
|
| —
|
| 110,227,348
|
| —
|
| 110,227,348
|
Mortgage-Backed Securities
|
| —
|
| 10,190,110
|
| —
|
| 10,190,110
|
Commercial Mortgage Backed Securities
|
| —
|
| 12,346,599
|
| —
|
| 12,346,599
|
Short-Term Investment
|
| 45,412,893
|
| —
|
| —
|
| 45,412,893
|
TOTAL INVESTMENTS
|
| $45,412,893
|
| $541,612,703
|
| $—
|
| $587,025,596
|
OTHER FINANCIAL INSTRUMENTS:
|
|
|
|
|
|
|
|
|
Futures Contracts - Unrealized Appreciation
|
| $59,072
|
| $—
|
| $—
|
| $59,072
|
TOTAL OTHER FINANCIAL INSTRUMENTS:
|
| $59,072
|
| $—
|
| $—
|
| $59,072
|
Affiliate Table
| Number of
Shares Held
at
6/30/23
|
| Value at
6/30/23
|
| Cost of
Purchases
|
| Proceeds
from
Shares Sold
|
| Realized
Gain (Loss)
|
| Change in
Unrealized
Appreciation/
Depreciation
|
| Number of
Shares Held
at
3/31/24
|
| Value at
3/31/24
|
| Dividend
Income
|
State Street Institutional U.S. Government Money Market Fund, Class G Shares
| 49,808,408
|
| $49,808,408
|
| $461,514,536
|
| $465,910,051
|
| $—
|
| $—
|
| 45,412,893
|
| $45,412,893
|
| $2,624,658
|
See accompanying notes to Schedule of
Investments.
48
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS
March 31, 2024 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
CORPORATE BONDS & NOTES — 12.3%
|
|
|
|
|
|
AUSTRALIA — 0.3%
|
|
|
|
|
AngloGold Ashanti Holdings PLC
3.75%, 10/1/2030
|
|
| $200,000
|
| $174,262
|
BHP Billiton Finance USA Ltd.
5.25%, 9/8/2030
|
|
| 1,823,000
|
| 1,851,822
|
Glencore Funding LLC:
|
|
|
|
|
|
1.63%, 4/27/2026 (a)
|
|
| 1,183,000
|
| 1,096,700
|
5.37%, 4/4/2029 (a)
|
|
| 1,965,000
|
| 1,967,967
|
Macquarie Group Ltd. SOFR + 1.53%,
2.87%, 1/14/2033 (a) (b)
|
|
| 2,426,000
|
| 2,015,957
|
Westpac Banking Corp. 5 yr. CMT + 1.53%,
3.02%, 11/18/2036 (b)
|
|
| 2,263,000
|
| 1,860,254
|
|
|
|
|
| 8,966,962
|
BERMUDA — 0.1%
|
|
|
|
|
Triton Container International Ltd./TAL International Container Corp.
3.25%, 3/15/2032
|
|
| 2,198,000
|
| 1,781,809
|
BRAZIL — 0.4%
|
|
|
|
|
Banco do Brasil SA 10 yr. CMT + 4.40%,
6.25%, 10/15/2024 (b)
|
|
| 400,000
|
| 402,108
|
Banco do Estado do Rio Grande do Sul SA VRN, 5 yr. CMT + 4.93%,
5.38%, 1/28/2031 (b)
|
|
| 500,000
|
| 481,365
|
Braskem Netherlands Finance BV 5 yr. CMT + 8.22%,
8.50%, 1/23/2081 (b)
|
|
| 1,100,000
|
| 1,104,532
|
Cosan Overseas Ltd.
8.25%, 5/5/2024
|
|
| 900,000
|
| 921,375
|
CSN Resources SA
5.88%, 4/8/2032
|
|
| 1,400,000
|
| 1,224,860
|
Guara Norte SARL
5.20%, 6/15/2034
|
|
| 1,113,827
|
| 1,014,719
|
Itau Unibanco Holding SA VRN, 5 yr. CMT + 3.22%,
4.63%, 2/27/2025 (b)
|
|
| 661,000
|
| 620,097
|
MARB BondCo PLC
3.95%, 1/29/2031
|
|
| 1,300,000
|
| 1,072,097
|
MC Brazil Downstream Trading SARL
7.25%, 6/30/2031
|
|
| 190,150
|
| 172,892
|
Minerva Luxembourg SA:
|
|
|
|
|
|
4.38%, 3/18/2031
|
|
| 700,000
|
| 584,787
|
8.88%, 9/13/2033 (a)
|
|
| 1,000,000
|
| 1,051,330
|
MV24 Capital BV
6.75%, 6/1/2034
|
|
| 1,048,268
|
| 981,514
|
Nexa Resources SA
5.38%, 5/4/2027
|
|
| 500,000
|
| 487,640
|
Security Description
|
|
| Principal
Amount
|
| Value
|
Prumo Participacoes e Investimentos SA
7.50%, 12/31/2031
|
|
| $629,489
|
| $627,985
|
Simpar Europe SA
5.20%, 1/26/2031
|
|
| 600,000
|
| 524,478
|
Unigel Luxembourg SA
8.75%, 10/1/2026 (c)
|
|
| 400,000
|
| 129,724
|
|
|
|
|
| 11,401,503
|
CANADA — 0.3%
|
|
|
|
|
1375209 BC Ltd.
9.00%, 1/30/2028 (a)
|
|
| 79,000
|
| 77,434
|
Bank of Montreal 5 yr. CMT + 1.40%,
3.09%, 1/10/2037 (b)
|
|
| 2,254,000
|
| 1,846,229
|
Bombardier, Inc.
8.75%, 11/15/2030 (a)
|
|
| 470,000
|
| 502,312
|
Garda World Security Corp.:
|
|
|
|
|
|
4.63%, 2/15/2027 (a)
|
|
| 615,000
|
| 589,508
|
6.00%, 6/1/2029 (a)
|
|
| 350,000
|
| 313,436
|
Husky Injection Molding Systems Ltd./Titan Co.-Borrower LLC
9.00%, 2/15/2029 (a)
|
|
| 650,000
|
| 672,256
|
Kronos Acquisition Holdings, Inc./KIK Custom Products, Inc.
5.00%, 12/31/2026 (a)
|
|
| 380,000
|
| 373,228
|
Mattamy Group Corp.
4.63%, 3/1/2030 (a)
|
|
| 490,000
|
| 445,797
|
Ontario Gaming GTA LP/OTG Co.-Issuer, Inc.
8.00%, 8/1/2030 (a)
|
|
| 540,000
|
| 557,658
|
Parkland Corp.
4.63%, 5/1/2030 (a)
|
|
| 300,000
|
| 276,573
|
Primo Water Holdings, Inc.
4.38%, 4/30/2029 (a)
|
|
| 325,000
|
| 298,334
|
Royal Bank of Canada Series GMTN,
5.15%, 2/1/2034
|
|
| 459,000
|
| 459,353
|
Superior Plus LP/Superior General Partner, Inc.
4.50%, 3/15/2029 (a)
|
|
| 640,000
|
| 591,482
|
Telesat Canada/Telesat LLC:
|
|
|
|
|
|
4.88%, 6/1/2027 (a)
|
|
| 60,000
|
| 33,670
|
6.50%, 10/15/2027 (a)
|
|
| 75,000
|
| 32,054
|
Titan Acquisition Ltd./Titan Co.-Borrower LLC
7.75%, 4/15/2026 (a)
|
|
| 410,000
|
| 409,676
|
|
|
|
|
| 7,479,000
|
CAYMAN ISLANDS — 0.0% (d)
|
|
|
|
|
Global Aircraft Leasing Co. Ltd. PIK,
6.50%, 9/15/2024 (a)
|
|
| 776,346
|
| 736,589
|
CHILE — 0.1%
|
|
|
|
|
Agrosuper SA
4.60%, 1/20/2032
|
|
| 1,000,000
|
| 857,990
|
See accompanying notes to Schedule of
Investments.
49
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
March 31, 2024 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
CAP SA
3.90%, 4/27/2031 (a)
|
|
| $1,800,000
|
| $1,413,000
|
Chile Electricity PEC SpA
0.00%, 1/25/2028 (a)
|
|
| 900,000
|
| 705,249
|
Empresa Electrica Cochrane SpA
5.50%, 5/14/2027
|
|
| 419,440
|
| 407,280
|
GNL Quintero SA
4.63%, 7/31/2029
|
|
| 129,440
|
| 126,225
|
|
|
|
|
| 3,509,744
|
CHINA — 0.1%
|
|
|
|
|
NXP BV/NXP Funding LLC/NXP USA, Inc.
3.88%, 6/18/2026
|
|
| 1,415,000
|
| 1,373,654
|
COLOMBIA — 0.4%
|
|
|
|
|
AI Candelaria Spain SA:
|
|
|
|
|
|
5.75%, 6/15/2033 (a)
|
|
| 2,015,000
|
| 1,634,951
|
7.50%, 12/15/2028
|
|
| 412,499
|
| 402,962
|
Banco Davivienda SA VRN, 10 yr. CMT + 5.10%,
6.65%, 4/22/2031 (a) (b)
|
|
| 600,000
|
| 422,178
|
Banco GNB Sudameris SA 5 yr. CMT + 6.66%,
7.50%, 4/16/2031 (b)
|
|
| 150,000
|
| 128,408
|
Bancolombia SA VRN, 5 yr. CMT + 2.94%,
4.63%, 12/18/2029 (b)
|
|
| 2,100,000
|
| 2,047,962
|
Canacol Energy Ltd.
5.75%, 11/24/2028
|
|
| 1,000,000
|
| 444,450
|
Ecopetrol SA:
|
|
|
|
|
|
5.88%, 5/28/2045
|
|
| 200,000
|
| 149,164
|
5.88%, 11/2/2051
|
|
| 2,050,000
|
| 1,471,592
|
Empresas Publicas de Medellin ESP
4.25%, 7/18/2029
|
|
| 1,000,000
|
| 866,860
|
Fideicomiso PA Pacifico Tres
8.25%, 1/15/2035
|
|
| 343,720
|
| 327,386
|
Geopark Ltd.
5.50%, 1/17/2027
|
|
| 1,530,000
|
| 1,390,755
|
Gran Tierra Energy, Inc.
9.50%, 10/15/2029 (a)
|
|
| 400,000
|
| 374,076
|
Grupo Aval Ltd.
4.38%, 2/4/2030 (a)
|
|
| 300,000
|
| 252,333
|
|
|
|
|
| 9,913,077
|
FRANCE — 0.0% (d)
|
|
|
|
|
Altice France SA
5.50%, 10/15/2029 (a)
|
|
| 460,000
|
| 309,640
|
GERMANY — 0.0% (d)
|
|
|
|
|
TK Elevator U.S. Newco, Inc.
5.25%, 7/15/2027 (a)
|
|
| 325,000
|
| 314,035
|
GUATEMALA — 0.1%
|
|
|
|
|
Banco Industrial SA 5 yr. CMT + 4.44%,
4.88%, 1/29/2031 (b)
|
|
| 750,000
|
| 712,478
|
Security Description
|
|
| Principal
Amount
|
| Value
|
CT Trust
5.13%, 2/3/2032
|
|
| $1,000,000
|
| $885,970
|
Millicom International Cellular SA:
|
|
|
|
|
|
6.25%, 3/25/2029
|
|
| 360,000
|
| 350,503
|
6.63%, 10/15/2026
|
|
| 540,000
|
| 537,084
|
|
|
|
|
| 2,486,035
|
HONG KONG — 0.0% (d)
|
|
|
|
|
Seaspan Corp.
5.50%, 8/1/2029 (a)
|
|
| 325,000
|
| 283,358
|
INDIA — 0.3%
|
|
|
|
|
Adani Electricity Mumbai Ltd.
3.95%, 2/12/2030
|
|
| 349,000
|
| 296,755
|
Adani International Container Terminal Pvt Ltd.
3.00%, 2/16/2031
|
|
| 710,000
|
| 604,782
|
Adani Ports & Special Economic Zone Ltd.:
|
|
|
|
|
|
4.00%, 7/30/2027
|
|
| 200,000
|
| 183,327
|
4.20%, 8/4/2027
|
|
| 1,300,000
|
| 1,199,744
|
4.38%, 7/3/2029
|
|
| 400,000
|
| 356,036
|
Adani Transmission Step-One Ltd.:
|
|
|
|
|
|
4.00%, 8/3/2026
|
|
| 600,000
|
| 563,996
|
4.25%, 5/21/2036
|
|
| 549,500
|
| 465,846
|
JSW Hydro Energy Ltd.
4.13%, 5/18/2031 (a)
|
|
| 563,500
|
| 499,357
|
Network i2i Ltd. 5 yr. CMT + 4.27%,
5.65%, 1/15/2025 (b)
|
|
| 800,000
|
| 793,080
|
Reliance Industries Ltd.
3.67%, 11/30/2027
|
|
| 250,000
|
| 236,698
|
UPL Corp. Ltd.:
|
|
|
|
|
|
4.50%, 3/8/2028
|
|
| 1,300,000
|
| 1,111,301
|
4.63%, 6/16/2030
|
|
| 200,000
|
| 159,668
|
Vedanta Resources Finance II PLC
9.25%, 4/23/2026 (a)
|
|
| 1,400,000
|
| 1,138,998
|
|
|
|
|
| 7,609,588
|
INDONESIA — 0.2%
|
|
|
|
|
Adaro Indonesia PT
4.25%, 10/31/2024
|
|
| 250,000
|
| 246,447
|
Bank Negara Indonesia Persero Tbk. PT Series EMTN,
3.75%, 3/30/2026
|
|
| 200,000
|
| 190,793
|
Freeport Indonesia PT:
|
|
|
|
|
|
4.76%, 4/14/2027
|
|
| 200,000
|
| 195,202
|
5.32%, 4/14/2032 (a)
|
|
| 1,100,000
|
| 1,073,732
|
Indonesia Asahan Aluminium PT/Mineral Industri Indonesia Persero PT:
|
|
|
|
|
|
4.75%, 5/15/2025
|
|
| 400,000
|
| 395,132
|
5.45%, 5/15/2030
|
|
| 400,000
|
| 394,936
|
See accompanying notes to Schedule of
Investments.
50
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
March 31, 2024 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
LLPL Capital Pte. Ltd.
6.88%, 2/4/2039
|
|
| $1,548,400
|
| $1,538,041
|
Minejesa Capital BV
5.63%, 8/10/2037
|
|
| 2,400,000
|
| 2,166,720
|
|
|
|
|
| 6,201,003
|
IRELAND — 0.1%
|
|
|
|
|
Avolon Holdings Funding Ltd.
5.75%, 3/1/2029 (a)
|
|
| 1,859,000
|
| 1,852,995
|
GGAM Finance Ltd.
6.88%, 4/15/2029 (a)
|
|
| 400,000
|
| 402,912
|
|
|
|
|
| 2,255,907
|
JAMAICA — 0.0% (d)
|
|
|
|
|
Digicel Group Holdings Ltd.:
|
|
|
|
|
|
Series 2A, Zero Coupon, 12/31/2030 (a) (e)
|
|
| 113,321
|
| 104,603
|
Series 2B, Zero Coupon, 12/31/2030 (a) (e)
|
|
| 495,904
|
| 76,587
|
Series 4A14, Zero Coupon, 12/31/2030 (a) (e)
|
|
| 6,270
|
| 5,062
|
Series 4B14, Zero Coupon, 12/31/2030 (a) (e)
|
|
| 614,948
|
| 7,059
|
|
|
|
|
| 193,311
|
KUWAIT — 0.0% (d)
|
|
|
|
|
MEGlobal Canada ULC
5.00%, 5/18/2025
|
|
| 200,000
|
| 197,316
|
LUXEMBOURG — 0.0% (d)
|
|
|
|
|
Altice Financing SA
5.00%, 1/15/2028 (a)
|
|
| 240,000
|
| 197,350
|
Altice France Holding SA
6.00%, 2/15/2028 (a)
|
|
| 430,000
|
| 117,799
|
INEOS Finance PLC
7.50%, 4/15/2029 (a)
|
|
| 565,000
|
| 566,740
|
Intelsat Jackson Holdings SA
6.50%, 3/15/2030 (a)
|
|
| 240,000
|
| 223,591
|
|
|
|
|
| 1,105,480
|
MEXICO — 0.3%
|
|
|
|
|
Banco Mercantil del Norte SA:
|
|
|
|
|
|
10 yr. CMT + 5.03%, 6.63%, 1/24/2032 (b)
|
|
| 200,000
|
| 182,140
|
10 yr. CMT + 5.47%, 7.50%, 6/27/2029 (a) (b)
|
|
| 1,400,000
|
| 1,386,812
|
Banco Nacional de Comercio Exterior SNC 5 yr. CMT + 2.00%,
2.72%, 8/11/2031 (b)
|
|
| 600,000
|
| 534,240
|
Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand 5 yr. CMT + 3.00%,
7.53%, 10/1/2028 (b)
|
|
| 200,000
|
| 208,606
|
BBVA Bancomer SA:
|
|
|
|
|
|
5 yr. CMT + 2.65%, 5.13%, 1/18/2033 (b)
|
|
| 1,300,000
|
| 1,206,712
|
Security Description
|
|
| Principal
Amount
|
| Value
|
VRN, 5 yr. CMT + 4.31%, 5.88%, 9/13/2034 (b)
|
|
| $800,000
|
| $754,536
|
Braskem Idesa SAPI
6.99%, 2/20/2032
|
|
| 500,000
|
| 387,825
|
Buffalo Energy Mexico Holdings/Buffalo Energy Infrastructure/Buffalo Energy
7.88%, 2/15/2039 (a)
|
|
| 500,000
|
| 541,375
|
Cemex SAB de CV:
|
|
|
|
|
|
5 yr. CMT + 4.53%, 5.13%, 6/8/2026 (b)
|
|
| 1,600,000
|
| 1,543,520
|
5 yr. CMT + 5.16%, 9.13%, 3/14/2028 (a) (b)
|
|
| 200,000
|
| 216,946
|
Cometa Energia SA de CV
6.38%, 4/24/2035
|
|
| 160,400
|
| 160,573
|
Credito Real SAB de CV SOFOM ER 5 yr. CMT + 7.03%,
9.13%, 11/29/2027 (b) (c)
|
|
| 500,000
|
| 3,605
|
KUO SAB de CV
5.75%, 7/7/2027
|
|
| 500,000
|
| 472,335
|
Mexarrend SAPI de CV
10.25%, 7/24/2024 (a)
|
|
| 282,000
|
| 55,140
|
Mexico Generadora de Energia S de Real
5.50%, 12/6/2032
|
|
| 632,120
|
| 618,245
|
Petroleos Mexicanos
6.75%, 9/21/2047
|
|
| 700,000
|
| 466,088
|
Southern Copper Corp.
3.88%, 4/23/2025
|
|
| 50,000
|
| 49,016
|
Tierra Mojada Luxembourg II SARL
5.75%, 12/1/2040
|
|
| 180,934
|
| 165,603
|
Unifin Financiera SAB de CV 5 yr. CMT + 6.31%,
8.88%, 1/29/2025 (b) (c)
|
|
| 1,800,000
|
| 162
|
|
|
|
|
| 8,953,479
|
NETHERLANDS — 0.0% (d)
|
|
|
|
|
VZ Secured Financing BV
5.00%, 1/15/2032 (a)
|
|
| 575,000
|
| 493,661
|
PANAMA — 0.0% (d)
|
|
|
|
|
Empresa de Transmision Electrica SA
5.13%, 5/2/2049
|
|
| 200,000
|
| 144,426
|
UEP Penonome II SA
6.50%, 10/1/2038 (a)
|
|
| 660,319
|
| 516,389
|
|
|
|
|
| 660,815
|
PARAGUAY — 0.1%
|
|
|
|
|
Bioceanico Sovereign Certificate Ltd.
Zero Coupon, 6/5/2034
|
|
| 867,740
|
| 634,752
|
Frigorifico Concepcion SA
7.70%, 7/21/2028
|
|
| 400,000
|
| 348,780
|
Rutas 2 & 7 Finance Ltd.
Zero Coupon, 9/30/2036
|
|
| 1,343,333
|
| 914,675
|
|
|
|
|
| 1,898,207
|
See accompanying notes to Schedule of
Investments.
51
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
March 31, 2024 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
PERU — 0.3%
|
|
|
|
|
Banco de Credito del Peru SA:
|
|
|
|
|
|
5 yr. CMT + 2.45%, 3.25%, 9/30/2031 (b)
|
|
| $650,000
|
| $601,536
|
5 yr. CMT + 3.00%, 3.13%, 7/1/2030 (b)
|
|
| 1,000,000
|
| 958,780
|
Banco Internacional del Peru SAA Interbank VRN, 5 yr. CMT + 3.71%,
4.00%, 7/8/2030 (b)
|
|
| 1,700,000
|
| 1,631,983
|
Cia de Minas Buenaventura SAA
5.50%, 7/23/2026
|
|
| 1,100,000
|
| 1,058,178
|
Inkia Energy Ltd.
5.88%, 11/9/2027
|
|
| 1,131,000
|
| 1,103,234
|
InRetail Shopping Malls
5.75%, 4/3/2028
|
|
| 200,000
|
| 194,062
|
Lima Metro Line 2 Finance Ltd.
5.88%, 7/5/2034
|
|
| 305,730
|
| 302,798
|
Minsur SA
4.50%, 10/28/2031
|
|
| 600,000
|
| 524,814
|
Orazul Energy Peru SA
5.63%, 4/28/2027
|
|
| 400,000
|
| 379,276
|
Petroleos del Peru SA:
|
|
|
|
|
|
4.75%, 6/19/2032
|
|
| 700,000
|
| 548,989
|
5.63%, 6/19/2047
|
|
| 400,000
|
| 266,128
|
|
|
|
|
| 7,569,778
|
SINGAPORE — 0.1%
|
|
|
|
|
Avation Capital SA PIK,
8.25%, 10/31/2026 (a)
|
|
| 274,193
|
| 235,954
|
DBS Group Holdings Ltd. Series GMTN, VRN, 5 yr. CMT + 1.10%,
1.82%, 3/10/2031 (b)
|
|
| 400,000
|
| 372,169
|
Oversea-Chinese Banking Corp. Ltd. VRN, 5 yr. CMT + 1.58%,
1.83%, 9/10/2030 (b)
|
|
| 1,500,000
|
| 1,418,625
|
United Overseas Bank Ltd.:
|
|
|
|
|
|
5 yr. CMT + 1.23%, 2.00%, 10/14/2031 (b)
|
|
| 600,000
|
| 549,366
|
Series GMTN, VRN, 5 yr. CMT + 1.52%, 1.75%, 3/16/2031 (b)
|
|
| 1,200,000
|
| 1,113,390
|
|
|
|
|
| 3,689,504
|
SOUTH AFRICA — 0.1%
|
|
|
|
|
Gold Fields Orogen Holdings BVI Ltd.
5.13%, 5/15/2024
|
|
| 400,000
|
| 398,734
|
Sasol Financing USA LLC:
|
|
|
|
|
|
4.38%, 9/18/2026
|
|
| 200,000
|
| 188,276
|
5.50%, 3/18/2031
|
|
| 1,200,000
|
| 1,011,060
|
|
|
|
|
| 1,598,070
|
Security Description
|
|
| Principal
Amount
|
| Value
|
SPAIN — 0.0% (d)
|
|
|
|
|
Grifols SA
4.75%, 10/15/2028 (a)
|
|
| $420,000
|
| $347,563
|
UNITED KINGDOM — 0.1%
|
|
|
|
|
Ardonagh Finco Ltd.
7.75%, 2/15/2031 (a)
|
|
| 555,000
|
| 552,081
|
BAT Capital Corp.
4.54%, 8/15/2047
|
|
| 1,209,000
|
| 931,716
|
Macquarie Airfinance Holdings Ltd.:
|
|
|
|
|
|
6.40%, 3/26/2029 (a)
|
|
| 170,000
|
| 172,606
|
6.50%, 3/26/2031 (a)
|
|
| 205,000
|
| 208,686
|
Merlin Entertainments Group U.S. Holdings, Inc.
7.38%, 2/15/2031 (a)
|
|
| 900,000
|
| 907,416
|
|
|
|
|
| 2,772,505
|
UNITED STATES — 8.9%
|
|
|
|
|
AAR Escrow Issuer LLC
6.75%, 3/15/2029 (a)
|
|
| 335,000
|
| 337,610
|
AbbVie, Inc.:
|
|
|
|
|
|
3.85%, 6/15/2024
|
|
| 1,844,000
|
| 1,837,103
|
5.50%, 3/15/2064
|
|
| 976,000
|
| 1,003,474
|
Academy Ltd.
6.00%, 11/15/2027 (a)
|
|
| 500,000
|
| 492,605
|
Acuris Finance U.S., Inc./Acuris Finance SARL
5.00%, 5/1/2028 (a)
|
|
| 475,000
|
| 432,326
|
Acushnet Co.
7.38%, 10/15/2028 (a)
|
|
| 285,000
|
| 295,106
|
AdaptHealth LLC
5.13%, 3/1/2030 (a)
|
|
| 280,000
|
| 244,210
|
Advanced Drainage Systems, Inc.
6.38%, 6/15/2030 (a)
|
|
| 735,000
|
| 738,432
|
AEP Texas, Inc. Series H,
3.45%, 1/15/2050
|
|
| 2,179,956
|
| 1,374,092
|
Aethon United BR LP/Aethon United Finance Corp.
8.25%, 2/15/2026 (a)
|
|
| 305,000
|
| 308,684
|
AGCO Corp.
5.80%, 3/21/2034
|
|
| 325,000
|
| 329,076
|
Air Lease Corp.
3.25%, 3/1/2025
|
|
| 1,496,000
|
| 1,462,505
|
Alexandria Real Estate Equities, Inc.
5.25%, 5/15/2036
|
|
| 1,423,000
|
| 1,395,536
|
Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer
6.75%, 10/15/2027 (a)
|
|
| 420,000
|
| 413,204
|
Allied Universal Holdco LLC
7.88%, 2/15/2031 (a)
|
|
| 520,000
|
| 526,916
|
Allied Universal Holdco LLC/Allied Universal Finance Corp.:
|
|
|
|
|
|
6.63%, 7/15/2026 (a)
|
|
| 202,000
|
| 201,877
|
See accompanying notes to Schedule of
Investments.
52
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
March 31, 2024 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
9.75%, 7/15/2027 (a)
|
|
| $355,000
|
| $355,927
|
AMC Entertainment Holdings, Inc.
7.50%, 2/15/2029 (a)
|
|
| 110,000
|
| 74,261
|
American Airlines, Inc.:
|
|
|
|
|
|
7.25%, 2/15/2028 (a)
|
|
| 565,000
|
| 573,458
|
8.50%, 5/15/2029 (a)
|
|
| 585,000
|
| 617,795
|
American Axle & Manufacturing, Inc.
5.00%, 10/1/2029
|
|
| 155,000
|
| 139,202
|
American Express Co.
3.95%, 8/1/2025
|
|
| 1,773,000
|
| 1,742,859
|
American Homes 4 Rent LP
5.50%, 2/1/2034
|
|
| 1,492,000
|
| 1,485,689
|
American Tower Corp.
3.60%, 1/15/2028
|
|
| 1,160,000
|
| 1,096,154
|
Amgen, Inc.
5.75%, 3/2/2063
|
|
| 719,000
|
| 733,481
|
AmWINS Group, Inc.
4.88%, 6/30/2029 (a)
|
|
| 440,000
|
| 410,445
|
Antero Midstream Partners LP/Antero Midstream Finance Corp.
5.75%, 3/1/2027 (a)
|
|
| 580,000
|
| 572,228
|
Antero Resources Corp.
5.38%, 3/1/2030 (a)
|
|
| 330,000
|
| 317,015
|
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc.
5.25%, 8/15/2027 (a)
|
|
| 310,000
|
| 195,787
|
ARES Capital Corp.
3.25%, 7/15/2025
|
|
| 973,000
|
| 940,375
|
Arrow Electronics, Inc.
3.88%, 1/12/2028
|
|
| 1,551,000
|
| 1,471,434
|
Arsenal AIC Parent LLC
8.00%, 10/1/2030 (a)
|
|
| 170,000
|
| 178,452
|
Artera Services LLC
8.50%, 2/15/2031 (a)
|
|
| 250,000
|
| 256,245
|
Ashton Woods USA LLC/Ashton Woods Finance Co.
4.63%, 4/1/2030 (a)
|
|
| 335,000
|
| 305,624
|
ASP Unifrax Holdings, Inc.
5.25%, 9/30/2028 (a)
|
|
| 155,000
|
| 100,035
|
AssuredPartners, Inc.
5.63%, 1/15/2029 (a)
|
|
| 410,000
|
| 377,647
|
AT&T, Inc.
2.25%, 2/1/2032
|
|
| 2,291,000
|
| 1,862,446
|
AthenaHealth Group, Inc.
6.50%, 2/15/2030 (a)
|
|
| 445,000
|
| 407,460
|
Athene Holding Ltd.
6.25%, 4/1/2054
|
|
| 995,000
|
| 1,009,766
|
Bank of America Corp.:
|
|
|
|
|
|
5 yr. CMT + 1.20%, 2.48%, 9/21/2036 (b)
|
|
| 3,456,000
|
| 2,761,206
|
SOFR + 1.11%, 3.84%, 4/25/2025 (b)
|
|
| 357,000
|
| 356,529
|
Security Description
|
|
| Principal
Amount
|
| Value
|
SOFR + 1.65%, 5.47%, 1/23/2035 (b)
|
|
| $741,000
|
| $746,469
|
Series MTN, SOFR + 1.75%, 4.83%, 7/22/2026 (b)
|
|
| 553,000
|
| 548,051
|
Bausch & Lomb Corp.
8.38%, 10/1/2028 (a)
|
|
| 695,000
|
| 718,748
|
Bausch Health Americas, Inc.
8.50%, 1/31/2027 (a)
|
|
| 210,000
|
| 124,389
|
Bausch Health Cos., Inc.:
|
|
|
|
|
|
4.88%, 6/1/2028 (a)
|
|
| 470,000
|
| 256,108
|
5.25%, 1/30/2030 (a)
|
|
| 130,000
|
| 54,740
|
14.00%, 10/15/2030 (a)
|
|
| 28,000
|
| 16,446
|
BCPE Empire Holdings, Inc.
7.63%, 5/1/2027 (a)
|
|
| 545,000
|
| 532,083
|
Beacon Roofing Supply, Inc.
6.50%, 8/1/2030 (a)
|
|
| 540,000
|
| 548,251
|
BlackRock Funding, Inc.
5.25%, 3/14/2054
|
|
| 560,000
|
| 562,688
|
Blackstone Holdings Finance Co. LLC
2.00%, 1/30/2032 (a)
|
|
| 2,812,000
|
| 2,204,467
|
Blue Racer Midstream LLC/Blue Racer Finance Corp.
7.63%, 12/15/2025 (a)
|
|
| 235,000
|
| 236,908
|
Boost Newco Borrower LLC
7.50%, 1/15/2031 (a)
|
|
| 200,000
|
| 209,428
|
Boxer Parent Co., Inc.
7.13%, 10/2/2025 (a)
|
|
| 35,000
|
| 35,014
|
BP Capital Markets America, Inc.
4.89%, 9/11/2033
|
|
| 1,876,000
|
| 1,863,862
|
Brand Industrial Services, Inc.
10.38%, 8/1/2030 (a)
|
|
| 315,000
|
| 340,846
|
Brighthouse Financial Global Funding
1.00%, 4/12/2024 (a)
|
|
| 648,000
|
| 647,093
|
Bristol-Myers Squibb Co.:
|
|
|
|
|
|
5.50%, 2/22/2044
|
|
| 352,000
|
| 360,156
|
5.55%, 2/22/2054
|
|
| 1,420,000
|
| 1,461,663
|
Broadcom, Inc.
3.42%, 4/15/2033 (a)
|
|
| 2,158,000
|
| 1,868,202
|
Brown & Brown, Inc.
2.38%, 3/15/2031
|
|
| 1,567,000
|
| 1,300,140
|
Caesars Entertainment, Inc.
6.50%, 2/15/2032 (a)
|
|
| 285,000
|
| 287,796
|
Callon Petroleum Co.
7.50%, 6/15/2030 (a)
|
|
| 550,000
|
| 582,323
|
Calpine Corp.
4.50%, 2/15/2028 (a)
|
|
| 610,000
|
| 579,866
|
Campbell Soup Co.
5.40%, 3/21/2034
|
|
| 480,000
|
| 483,475
|
Carnival Corp.:
|
|
|
|
|
|
5.75%, 3/1/2027 (a)
|
|
| 345,000
|
| 341,505
|
7.00%, 8/15/2029 (a)
|
|
| 360,000
|
| 375,869
|
Carrier Global Corp.
6.20%, 3/15/2054
|
|
| 146,000
|
| 160,788
|
See accompanying notes to Schedule of
Investments.
53
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
March 31, 2024 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
Castle U.S. Holding Corp.
9.50%, 2/15/2028 (a)
|
|
| $85,000
|
| $42,246
|
Catalent Pharma Solutions, Inc.
3.50%, 4/1/2030 (a)
|
|
| 130,000
|
| 124,263
|
CCO Holdings LLC/CCO Holdings Capital Corp.:
|
|
|
|
|
|
4.50%, 8/15/2030 (a)
|
|
| 675,000
|
| 567,007
|
4.75%, 3/1/2030 (a)
|
|
| 755,000
|
| 647,631
|
4.75%, 2/1/2032 (a)
|
|
| 375,000
|
| 306,420
|
Cedar Fair LP
5.25%, 7/15/2029
|
|
| 300,000
|
| 284,046
|
Centene Corp.
3.00%, 10/15/2030
|
|
| 2,157,000
|
| 1,849,002
|
Central Parent LLC/CDK Global II LLC/CDK Financing Co., Inc.
8.00%, 6/15/2029 (a)
|
|
| 445,000
|
| 460,944
|
Cheniere Energy, Inc.
4.63%, 10/15/2028
|
|
| 1,909,000
|
| 1,851,157
|
Chesapeake Energy Corp.
5.88%, 2/1/2029 (a)
|
|
| 645,000
|
| 639,292
|
Chord Energy Corp.
6.38%, 6/1/2026 (a)
|
|
| 520,000
|
| 521,799
|
CHS/Community Health Systems, Inc.:
|
|
|
|
|
|
4.75%, 2/15/2031 (a)
|
|
| 310,000
|
| 239,212
|
6.00%, 1/15/2029 (a)
|
|
| 220,000
|
| 192,207
|
Citigroup, Inc. 3 mo. USD Term SOFR + 1.65%,
3.67%, 7/24/2028 (b)
|
|
| 3,864,000
|
| 3,674,162
|
Civitas Resources, Inc.
8.38%, 7/1/2028 (a)
|
|
| 340,000
|
| 357,660
|
Clarios Global LP/Clarios U.S. Finance Co.
6.75%, 5/15/2028 (a)
|
|
| 560,000
|
| 567,398
|
Clarivate Science Holdings Corp.
4.88%, 7/1/2029 (a)
|
|
| 205,000
|
| 189,643
|
Clean Harbors, Inc.
5.13%, 7/15/2029 (a)
|
|
| 145,000
|
| 139,626
|
Clear Channel Outdoor Holdings, Inc.:
|
|
|
|
|
|
7.50%, 6/1/2029 (a)
|
|
| 180,000
|
| 148,892
|
9.00%, 9/15/2028 (a)
|
|
| 185,000
|
| 192,703
|
Clearway Energy Operating LLC
4.75%, 3/15/2028 (a)
|
|
| 580,000
|
| 551,824
|
Cloud Software Group, Inc.:
|
|
|
|
|
|
6.50%, 3/31/2029 (a)
|
|
| 120,000
|
| 113,951
|
9.00%, 9/30/2029 (a)
|
|
| 120,000
|
| 115,140
|
Clydesdale Acquisition Holdings, Inc.
6.63%, 4/15/2029 (a)
|
|
| 205,000
|
| 204,727
|
CNH Industrial Capital LLC
5.10%, 4/20/2029
|
|
| 460,000
|
| 458,809
|
Security Description
|
|
| Principal
Amount
|
| Value
|
CNX Midstream Partners LP
4.75%, 4/15/2030 (a)
|
|
| $550,000
|
| $489,725
|
CNX Resources Corp.
6.00%, 1/15/2029 (a)
|
|
| 605,000
|
| 592,924
|
Coherent Corp.
5.00%, 12/15/2029 (a)
|
|
| 255,000
|
| 240,182
|
Comcast Corp.
2.94%, 11/1/2056
|
|
| 2,922,000
|
| 1,840,129
|
CommScope Technologies LLC
5.00%, 3/15/2027 (a)
|
|
| 220,000
|
| 83,961
|
CommScope, Inc.
4.75%, 9/1/2029 (a)
|
|
| 155,000
|
| 111,969
|
Consolidated Communications, Inc.
5.00%, 10/1/2028 (a)
|
|
| 290,000
|
| 241,735
|
Cornerstone Building Brands, Inc.
6.13%, 1/15/2029 (a)
|
|
| 335,000
|
| 298,910
|
Coty, Inc.
5.00%, 4/15/2026 (a)
|
|
| 540,000
|
| 531,787
|
Coty, Inc./HFC Prestige Products, Inc./HFC Prestige International U.S. LLC
6.63%, 7/15/2030 (a)
|
|
| 400,000
|
| 405,852
|
CQP Holdco LP/BIP-V Chinook Holdco LLC
5.50%, 6/15/2031 (a)
|
|
| 1,015,000
|
| 958,820
|
Crown Castle, Inc.
4.30%, 2/15/2029
|
|
| 1,933,000
|
| 1,853,728
|
CSC Holdings LLC:
|
|
|
|
|
|
5.75%, 1/15/2030 (a)
|
|
| 495,000
|
| 261,885
|
6.50%, 2/1/2029 (a)
|
|
| 445,000
|
| 378,250
|
CSI Compressco LP/CSI Compressco Finance, Inc.
7.50%, 4/1/2025 (a)
|
|
| 385,000
|
| 385,000
|
CSX Corp.
3.35%, 9/15/2049
|
|
| 2,572,000
|
| 1,855,055
|
Cummins, Inc.
5.45%, 2/20/2054
|
|
| 470,000
|
| 480,631
|
CVR Partners LP/CVR Nitrogen Finance Corp.
6.13%, 6/15/2028 (a)
|
|
| 280,000
|
| 269,220
|
CVS Health Corp.:
|
|
|
|
|
|
5.30%, 6/1/2033
|
|
| 912,000
|
| 913,277
|
5.88%, 6/1/2053
|
|
| 1,374,000
|
| 1,395,654
|
Dana, Inc.:
|
|
|
|
|
|
4.25%, 9/1/2030
|
|
| 95,000
|
| 83,939
|
5.38%, 11/15/2027
|
|
| 125,000
|
| 122,394
|
5.63%, 6/15/2028
|
|
| 650,000
|
| 634,244
|
Dealer Tire LLC/DT Issuer LLC
8.00%, 2/1/2028 (a)
|
|
| 270,000
|
| 269,295
|
Directv Financing LLC/Directv Financing Co.-Obligor, Inc.
5.88%, 8/15/2027 (a)
|
|
| 600,000
|
| 567,678
|
DISH DBS Corp.:
|
|
|
|
|
|
5.13%, 6/1/2029
|
|
| 290,000
|
| 121,519
|
5.75%, 12/1/2028 (a)
|
|
| 500,000
|
| 343,800
|
See accompanying notes to Schedule of
Investments.
54
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
March 31, 2024 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
Dollar General Corp.
4.25%, 9/20/2024
|
|
| $940,000
|
| $933,260
|
Dollar Tree, Inc.
4.00%, 5/15/2025
|
|
| 1,679,000
|
| 1,651,179
|
Dornoch Debt Merger Sub, Inc.
6.63%, 10/15/2029 (a)
|
|
| 400,000
|
| 358,912
|
DTE Energy Co.
5.10%, 3/1/2029
|
|
| 1,475,000
|
| 1,469,749
|
Duke Energy Corp.:
|
|
|
|
|
|
2.65%, 9/1/2026
|
|
| 2,940,000
|
| 2,775,360
|
5.00%, 8/15/2052
|
|
| 292,000
|
| 264,832
|
Dun & Bradstreet Corp.
5.00%, 12/15/2029 (a)
|
|
| 730,000
|
| 674,396
|
Elevance Health, Inc.
5.13%, 2/15/2053
|
|
| 1,948,000
|
| 1,865,424
|
Embarq Corp.
8.00%, 6/1/2036
|
|
| 225,000
|
| 122,326
|
EMRLD Borrower LP/Emerald Co.-Issuer, Inc.
6.63%, 12/15/2030 (a)
|
|
| 565,000
|
| 570,452
|
Encompass Health Corp.:
|
|
|
|
|
|
4.63%, 4/1/2031
|
|
| 310,000
|
| 281,725
|
4.75%, 2/1/2030
|
|
| 60,000
|
| 56,246
|
Energizer Holdings, Inc.
6.50%, 12/31/2027 (a)
|
|
| 235,000
|
| 233,729
|
Energy Transfer LP:
|
|
|
|
|
|
4.75%, 1/15/2026
|
|
| 944,000
|
| 934,409
|
5.00%, 5/15/2044
|
|
| 1,039,000
|
| 916,907
|
Entergy Louisiana LLC
4.75%, 9/15/2052
|
|
| 627,000
|
| 558,751
|
EQM Midstream Partners LP
4.75%, 1/15/2031 (a)
|
|
| 395,000
|
| 367,852
|
Equinix, Inc.:
|
|
|
|
|
|
2.95%, 9/15/2051
|
|
| 1,695,000
|
| 1,088,766
|
3.90%, 4/15/2032
|
|
| 1,030,000
|
| 931,161
|
Essential Utilities, Inc.
3.35%, 4/15/2050
|
|
| 2,628,000
|
| 1,838,207
|
Everi Holdings, Inc.
5.00%, 7/15/2029 (a)
|
|
| 340,000
|
| 336,488
|
Eversource Energy
5.50%, 1/1/2034
|
|
| 944,000
|
| 944,651
|
Expedia Group, Inc.:
|
|
|
|
|
|
3.80%, 2/15/2028
|
|
| 2,435,000
|
| 2,317,463
|
5.00%, 2/15/2026
|
|
| 1,379,000
|
| 1,371,126
|
Extra Space Storage LP
5.40%, 2/1/2034
|
|
| 951,000
|
| 945,532
|
Ferrellgas LP/Ferrellgas Finance Corp.
5.38%, 4/1/2026 (a)
|
|
| 430,000
|
| 420,678
|
Fertitta Entertainment LLC/Fertitta Entertainment Finance Co., Inc.
6.75%, 1/15/2030 (a)
|
|
| 405,000
|
| 363,524
|
Fiserv, Inc.
5.45%, 3/15/2034
|
|
| 913,000
|
| 924,951
|
Security Description
|
|
| Principal
Amount
|
| Value
|
Ford Motor Co.
3.25%, 2/12/2032
|
|
| $1,143,000
|
| $951,376
|
Fortrea Holdings, Inc.
7.50%, 7/1/2030 (a)
|
|
| 580,000
|
| 599,070
|
Fortress Transportation & Infrastructure Investors LLC
7.88%, 12/1/2030 (a)
|
|
| 700,000
|
| 735,819
|
Freeport-McMoRan, Inc.:
|
|
|
|
|
|
4.38%, 8/1/2028
|
|
| 400,000
|
| 385,272
|
4.63%, 8/1/2030
|
|
| 300,000
|
| 288,474
|
5.25%, 9/1/2029
|
|
| 300,000
|
| 301,272
|
Frontier Communications Holdings LLC:
|
|
|
|
|
|
5.00%, 5/1/2028 (a)
|
|
| 250,000
|
| 232,080
|
5.88%, 10/15/2027 (a)
|
|
| 125,000
|
| 120,990
|
5.88%, 11/1/2029
|
|
| 225,000
|
| 189,959
|
Full House Resorts, Inc.
8.25%, 2/15/2028 (a)
|
|
| 265,000
|
| 253,160
|
Gap, Inc.
3.88%, 10/1/2031 (a)
|
|
| 560,000
|
| 473,648
|
General Motors Financial Co., Inc.:
|
|
|
|
|
|
2.40%, 10/15/2028
|
|
| 1,066,000
|
| 944,156
|
3.10%, 1/12/2032
|
|
| 430,000
|
| 363,939
|
Georgia-Pacific LLC
3.60%, 3/1/2025 (a)
|
|
| 1,863,000
|
| 1,833,285
|
GFL Environmental, Inc.
6.75%, 1/15/2031 (a)
|
|
| 285,000
|
| 292,082
|
Goldman Sachs Group, Inc. 3 mo. USD Term SOFR + 1.43%,
6.74%, 5/15/2026 (b)
|
|
| 3,661,000
|
| 3,692,961
|
Goodyear Tire & Rubber Co.
5.25%, 7/15/2031
|
|
| 250,000
|
| 227,900
|
GrafTech Finance, Inc.
4.63%, 12/15/2028 (a)
|
|
| 210,000
|
| 135,083
|
Griffon Corp.
5.75%, 3/1/2028
|
|
| 430,000
|
| 421,297
|
Group 1 Automotive, Inc.
4.00%, 8/15/2028 (a)
|
|
| 665,000
|
| 612,884
|
Guardian Life Global Funding
1.25%, 5/13/2026 (a)
|
|
| 2,000,000
|
| 1,839,780
|
Gulfport Energy Corp.
8.00%, 5/17/2026 (a)
|
|
| 175,000
|
| 177,651
|
Halliburton Co.
4.85%, 11/15/2035
|
|
| 748,000
|
| 727,767
|
HCA, Inc.:
|
|
|
|
|
|
5.13%, 6/15/2039
|
|
| 974,000
|
| 919,203
|
5.25%, 6/15/2049
|
|
| 1,006,000
|
| 919,031
|
Helios Software Holdings, Inc./ION Corporate Solutions Finance SARL
4.63%, 5/1/2028 (a)
|
|
| 375,000
|
| 336,285
|
Hess Midstream Operations LP:
|
|
|
|
|
|
5.13%, 6/15/2028 (a)
|
|
| 365,000
|
| 353,054
|
5.50%, 10/15/2030 (a)
|
|
| 310,000
|
| 300,474
|
See accompanying notes to Schedule of
Investments.
55
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
March 31, 2024 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
Hewlett Packard Enterprise Co.
5.90%, 10/1/2024
|
|
| $740,000
|
| $740,740
|
H-Food Holdings LLC/Hearthside Finance Co., Inc.
8.50%, 6/1/2026 (a)
|
|
| 290,000
|
| 20,300
|
Hightower Holding LLC
6.75%, 4/15/2029 (a)
|
|
| 315,000
|
| 295,823
|
Hilcorp Energy I LP/Hilcorp Finance Co.:
|
|
|
|
|
|
6.25%, 11/1/2028 (a)
|
|
| 540,000
|
| 539,557
|
8.38%, 11/1/2033 (a)
|
|
| 115,000
|
| 124,470
|
Host Hotels & Resorts LP Series I,
3.50%, 9/15/2030
|
|
| 2,084,000
|
| 1,854,510
|
HUB International Ltd.
7.25%, 6/15/2030 (a)
|
|
| 450,000
|
| 462,830
|
Hyundai Capital America
5.30%, 1/8/2029 (a)
|
|
| 1,840,000
|
| 1,840,883
|
Icahn Enterprises LP/Icahn Enterprises Finance Corp.
5.25%, 5/15/2027
|
|
| 385,000
|
| 356,706
|
Illuminate Buyer LLC/Illuminate Holdings IV, Inc.
9.00%, 7/1/2028 (a)
|
|
| 410,000
|
| 406,892
|
Installed Building Products, Inc.
5.75%, 2/1/2028 (a)
|
|
| 435,000
|
| 424,382
|
IQVIA, Inc.
6.25%, 2/1/2029
|
|
| 622,000
|
| 645,953
|
Iron Mountain, Inc.:
|
|
|
|
|
|
7.00%, 2/15/2029 (a)
|
|
| 470,000
|
| 479,189
|
REIT, 4.50%, 2/15/2031 (a)
|
|
| 580,000
|
| 524,007
|
Jacobs Engineering Group, Inc.
5.90%, 3/1/2033
|
|
| 1,925,000
|
| 1,949,024
|
JELD-WEN, Inc.
4.88%, 12/15/2027 (a)
|
|
| 590,000
|
| 564,636
|
JPMorgan Chase & Co.:
|
|
|
|
|
|
3 mo. USD Term SOFR + 1.25%, 2.58%, 4/22/2032 (b)
|
|
| 2,196,000
|
| 1,853,907
|
SOFR + 1.26%, 2.96%, 1/25/2033 (b)
|
|
| 2,176,000
|
| 1,858,500
|
SOFR + 1.99%, 4.85%, 7/25/2028 (b)
|
|
| 943,000
|
| 935,286
|
Kinder Morgan, Inc.
5.20%, 6/1/2033
|
|
| 1,887,000
|
| 1,858,053
|
Kodiak Gas Services LLC
7.25%, 2/15/2029 (a)
|
|
| 560,000
|
| 570,864
|
Kyndryl Holdings, Inc.
6.35%, 2/20/2034
|
|
| 898,000
|
| 921,249
|
LBM Acquisition LLC
6.25%, 1/15/2029 (a)
|
|
| 165,000
|
| 154,732
|
Leeward Renewable Energy Operations LLC
4.25%, 7/1/2029 (a)
|
|
| 425,000
|
| 365,789
|
Legacy LifePoint Health LLC
4.38%, 2/15/2027 (a)
|
|
| 550,000
|
| 523,798
|
Security Description
|
|
| Principal
Amount
|
| Value
|
Legends Hospitality Holding Co. LLC/Legends Hospitality Co.-Issuer, Inc.
5.00%, 2/1/2026 (a)
|
|
| $340,000
|
| $337,338
|
Level 3 Financing, Inc.:
|
|
|
|
|
|
4.50%, 4/1/2030 (a)
|
|
| 165,000
|
| 103,679
|
10.50%, 5/15/2030 (a)
|
|
| 420,000
|
| 433,562
|
LFS Topco LLC
5.88%, 10/15/2026 (a)
|
|
| 345,000
|
| 320,298
|
LifePoint Health, Inc.
5.38%, 1/15/2029 (a)
|
|
| 145,000
|
| 119,162
|
Light & Wonder International, Inc.
7.25%, 11/15/2029 (a)
|
|
| 505,000
|
| 518,615
|
Lions Gate Capital Holdings LLC
5.50%, 4/15/2029 (a)
|
|
| 140,000
|
| 107,044
|
Live Nation Entertainment, Inc.
6.50%, 5/15/2027 (a)
|
|
| 290,000
|
| 293,205
|
Lockheed Martin Corp.
5.20%, 2/15/2064
|
|
| 1,021,000
|
| 1,010,555
|
Lowe's Cos., Inc.
4.40%, 9/8/2025
|
|
| 2,139,000
|
| 2,113,161
|
LSF9 Atlantis Holdings LLC/Victra Finance Corp.
7.75%, 2/15/2026 (a)
|
|
| 350,000
|
| 347,410
|
LYB International Finance III LLC
5.50%, 3/1/2034
|
|
| 909,000
|
| 910,345
|
M/I Homes, Inc.
4.95%, 2/1/2028
|
|
| 365,000
|
| 347,823
|
Macy's Retail Holdings LLC
5.88%, 4/1/2029 (a)
|
|
| 310,000
|
| 304,488
|
Madison IAQ LLC:
|
|
|
|
|
|
4.13%, 6/30/2028 (a)
|
|
| 570,000
|
| 527,301
|
5.88%, 6/30/2029 (a)
|
|
| 220,000
|
| 201,687
|
Marriott International, Inc. Series HH,
2.85%, 4/15/2031
|
|
| 2,154,000
|
| 1,856,726
|
Marvell Technology, Inc.
1.65%, 4/15/2026
|
|
| 1,479,000
|
| 1,376,417
|
Massachusetts Mutual Life Insurance Co.
3.38%, 4/15/2050 (a)
|
|
| 2,101,000
|
| 1,465,889
|
Matador Resources Co.
6.50%, 4/15/2032 (a)
|
|
| 400,000
|
| 400,700
|
Match Group Holdings II LLC
5.00%, 12/15/2027 (a)
|
|
| 775,000
|
| 744,108
|
Mativ Holdings, Inc.
6.88%, 10/1/2026 (a)
|
|
| 515,000
|
| 510,205
|
Mavis Tire Express Services Topco Corp.
6.50%, 5/15/2029 (a)
|
|
| 495,000
|
| 471,329
|
McAfee Corp.
7.38%, 2/15/2030 (a)
|
|
| 165,000
|
| 152,234
|
McDonald's Corp.
5.45%, 8/14/2053
|
|
| 936,000
|
| 947,503
|
See accompanying notes to Schedule of
Investments.
56
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
March 31, 2024 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
McGraw-Hill Education, Inc.
5.75%, 8/1/2028 (a)
|
|
| $565,000
|
| $531,349
|
Medline Borrower LP
5.25%, 10/1/2029 (a)
|
|
| 795,000
|
| 751,442
|
Merck & Co., Inc.
4.50%, 5/17/2033
|
|
| 645,000
|
| 630,868
|
Meta Platforms, Inc.
5.60%, 5/15/2053
|
|
| 1,737,000
|
| 1,836,391
|
MetLife, Inc.
5.25%, 1/15/2054
|
|
| 1,897,000
|
| 1,866,648
|
Michaels Cos., Inc.:
|
|
|
|
|
|
5.25%, 5/1/2028 (a)
|
|
| 360,000
|
| 305,784
|
7.88%, 5/1/2029 (a)
|
|
| 200,000
|
| 149,988
|
Microsoft Corp.
2.92%, 3/17/2052
|
|
| 1,296,000
|
| 916,402
|
Midwest Gaming Borrower LLC/Midwest Gaming Finance Corp.
4.88%, 5/1/2029 (a)
|
|
| 445,000
|
| 411,932
|
Miter Brands Acquisition Holdco, Inc./MIWD Borrower LLC
6.75%, 4/1/2032 (a)
|
|
| 100,000
|
| 100,421
|
ModivCare Escrow Issuer, Inc.
5.00%, 10/1/2029 (a)
|
|
| 350,000
|
| 253,712
|
Morgan Stanley SOFR + 1.36%,
2.48%, 9/16/2036 (b)
|
|
| 4,648,000
|
| 3,674,012
|
Motorola Solutions, Inc.
5.40%, 4/15/2034
|
|
| 920,000
|
| 918,243
|
MPLX LP
1.75%, 3/1/2026
|
|
| 797,000
|
| 745,370
|
Murphy Oil USA, Inc.
4.75%, 9/15/2029
|
|
| 285,000
|
| 270,411
|
Nabors Industries Ltd.
7.25%, 1/15/2026 (a)
|
|
| 180,000
|
| 178,699
|
Nabors Industries, Inc.
9.13%, 1/31/2030 (a)
|
|
| 375,000
|
| 389,989
|
Nationstar Mortgage Holdings, Inc.
5.75%, 11/15/2031 (a)
|
|
| 480,000
|
| 443,006
|
Navient Corp.
5.00%, 3/15/2027
|
|
| 285,000
|
| 272,939
|
NCL Corp. Ltd.:
|
|
|
|
|
|
5.88%, 3/15/2026 (a)
|
|
| 395,000
|
| 390,043
|
8.38%, 2/1/2028 (a)
|
|
| 275,000
|
| 290,155
|
NetApp, Inc.
1.88%, 6/22/2025
|
|
| 1,445,000
|
| 1,382,244
|
Netflix, Inc.
5.38%, 11/15/2029 (a)
|
|
| 916,000
|
| 935,172
|
News Corp.
5.13%, 2/15/2032 (a)
|
|
| 155,000
|
| 146,050
|
NextEra Energy Capital Holdings, Inc.:
|
|
|
|
|
|
4.26%, 9/1/2024
|
|
| 843,000
|
| 837,672
|
5.55%, 3/15/2054
|
|
| 560,000
|
| 556,198
|
Security Description
|
|
| Principal
Amount
|
| Value
|
NGL Energy Operating LLC/NGL Energy Finance Corp.
8.13%, 2/15/2029 (a)
|
|
| $450,000
|
| $460,922
|
NGL Energy Partners LP/NGL Energy Finance Corp.
7.50%, 4/15/2026
|
|
| 110,000
|
| 109,966
|
NiSource, Inc.
5.35%, 4/1/2034
|
|
| 920,000
|
| 914,094
|
Northrop Grumman Corp.
5.20%, 6/1/2054
|
|
| 1,885,000
|
| 1,835,330
|
NRG Energy, Inc.
3.63%, 2/15/2031 (a)
|
|
| 380,000
|
| 328,069
|
NuStar Logistics LP
6.00%, 6/1/2026
|
|
| 550,000
|
| 548,311
|
Occidental Petroleum Corp.
6.63%, 9/1/2030
|
|
| 886,000
|
| 938,549
|
Olympus Water U.S. Holding Corp.
6.25%, 10/1/2029 (a)
|
|
| 200,000
|
| 182,628
|
OneMain Finance Corp.:
|
|
|
|
|
|
5.38%, 11/15/2029
|
|
| 250,000
|
| 234,980
|
7.13%, 3/15/2026
|
|
| 324,000
|
| 329,790
|
ONEOK, Inc.
6.63%, 9/1/2053
|
|
| 860,000
|
| 948,167
|
Oracle Corp.:
|
|
|
|
|
|
3.80%, 11/15/2037
|
|
| 204,000
|
| 171,078
|
6.25%, 11/9/2032
|
|
| 165,000
|
| 176,626
|
O'Reilly Automotive, Inc.
5.75%, 11/20/2026
|
|
| 445,000
|
| 452,334
|
Organon & Co./Organon Foreign Debt Co.-Issuer BV
5.13%, 4/30/2031 (a)
|
|
| 385,000
|
| 340,960
|
Outfront Media Capital LLC/Outfront Media Capital Corp.
7.38%, 2/15/2031 (a)
|
|
| 415,000
|
| 435,385
|
Owens & Minor, Inc.
6.63%, 4/1/2030 (a)
|
|
| 530,000
|
| 525,908
|
Pacific Gas & Electric Co.:
|
|
|
|
|
|
2.50%, 2/1/2031
|
|
| 1,143,000
|
| 951,376
|
6.75%, 1/15/2053
|
|
| 861,000
|
| 939,403
|
Pactiv Evergreen Group Issuer, Inc./Pactiv Evergreen Group Issuer LLC
4.00%, 10/15/2027 (a)
|
|
| 550,000
|
| 513,793
|
Panther Escrow Issuer LLC
7.13%, 6/1/2031 (a)
|
|
| 405,000
|
| 412,225
|
Park Intermediate Holdings LLC/PK Domestic Property LLC/PK Finance Co.-Issuer
4.88%, 5/15/2029 (a)
|
|
| 850,000
|
| 791,350
|
PBF Holding Co. LLC/PBF Finance Corp.
6.00%, 2/15/2028
|
|
| 240,000
|
| 235,934
|
See accompanying notes to Schedule of
Investments.
57
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
March 31, 2024 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
PECF USS Intermediate Holding III Corp.
8.00%, 11/15/2029 (a)
|
|
| $90,000
|
| $47,892
|
Penn Entertainment, Inc.
4.13%, 7/1/2029 (a)
|
|
| 210,000
|
| 181,621
|
PennyMac Financial Services, Inc.:
|
|
|
|
|
|
4.25%, 2/15/2029 (a)
|
|
| 310,000
|
| 282,590
|
7.88%, 12/15/2029 (a)
|
|
| 340,000
|
| 349,435
|
Penske Truck Leasing Co. LP/PTL Finance Corp.
4.20%, 4/1/2027 (a)
|
|
| 970,000
|
| 940,696
|
Performance Food Group, Inc.
4.25%, 8/1/2029 (a)
|
|
| 380,000
|
| 348,509
|
Permian Resources Operating LLC
7.00%, 1/15/2032 (a)
|
|
| 560,000
|
| 580,535
|
PetSmart, Inc./PetSmart Finance Corp.
7.75%, 2/15/2029 (a)
|
|
| 1,000,000
|
| 973,800
|
Pfizer Investment Enterprises Pte. Ltd.
5.30%, 5/19/2053
|
|
| 921,000
|
| 916,100
|
Philip Morris International, Inc.
5.25%, 2/13/2034
|
|
| 953,000
|
| 944,128
|
Phillips 66 Co.
5.65%, 6/15/2054
|
|
| 2,088,000
|
| 2,118,380
|
Pike Corp.:
|
|
|
|
|
|
5.50%, 9/1/2028 (a)
|
|
| 560,000
|
| 535,528
|
8.63%, 1/31/2031 (a)
|
|
| 285,000
|
| 303,063
|
Post Holdings, Inc.
5.50%, 12/15/2029 (a)
|
|
| 140,000
|
| 135,247
|
Premier Entertainment Sub LLC/Premier Entertainment Finance Corp.
5.63%, 9/1/2029 (a)
|
|
| 160,000
|
| 122,458
|
Prime Security Services Borrower LLC/Prime Finance, Inc.
6.25%, 1/15/2028 (a)
|
|
| 220,000
|
| 215,547
|
Qorvo, Inc.:
|
|
|
|
|
|
1.75%, 12/15/2024
|
|
| 646,000
|
| 626,581
|
3.38%, 4/1/2031 (a)
|
|
| 525,000
|
| 449,510
|
Quanta Services, Inc.
2.35%, 1/15/2032
|
|
| 2,300,000
|
| 1,869,279
|
Radiate Holdco LLC/Radiate Finance, Inc.
4.50%, 9/15/2026 (a)
|
|
| 90,000
|
| 71,584
|
Radiology Partners, Inc.:
|
|
|
|
|
|
8.50%, 1/31/2029 (a)
|
|
| 143,426
|
| 132,861
|
9.78%, 2/15/2030 (a)
|
|
| 99,906
|
| 80,784
|
Realogy Group LLC/Realogy Co.-Issuer Corp.
5.25%, 4/15/2030 (a)
|
|
| 290,000
|
| 197,154
|
Realty Income Corp.
5.05%, 1/13/2026
|
|
| 938,000
|
| 935,120
|
Security Description
|
|
| Principal
Amount
|
| Value
|
RegionalCare Hospital Partners Holdings, Inc./LifePoint Health, Inc.
9.75%, 12/1/2026 (a)
|
|
| $195,000
|
| $195,363
|
Roller Bearing Co. of America, Inc.
4.38%, 10/15/2029 (a)
|
|
| 555,000
|
| 508,497
|
Royal Caribbean Cruises Ltd.:
|
|
|
|
|
|
5.50%, 8/31/2026 (a)
|
|
| 420,000
|
| 415,943
|
6.25%, 3/15/2032 (a)
|
|
| 335,000
|
| 337,596
|
7.25%, 1/15/2030 (a)
|
|
| 70,000
|
| 72,662
|
Sabine Pass Liquefaction LLC
5.00%, 3/15/2027
|
|
| 1,192,000
|
| 1,188,484
|
Scientific Games Holdings LP/Scientific Games U.S. FinCo, Inc.
6.63%, 3/1/2030 (a)
|
|
| 555,000
|
| 536,702
|
Sealed Air Corp./Sealed Air Corp. U.S.
7.25%, 2/15/2031 (a)
|
|
| 360,000
|
| 374,602
|
Select Medical Corp.
6.25%, 8/15/2026 (a)
|
|
| 490,000
|
| 491,445
|
Sirius XM Radio, Inc.
5.50%, 7/1/2029 (a)
|
|
| 1,025,000
|
| 975,923
|
Sitio Royalties Operating Partnership LP/Sitio Finance Corp.
7.88%, 11/1/2028 (a)
|
|
| 280,000
|
| 289,352
|
SK Invictus Intermediate II SARL
5.00%, 10/30/2029 (a)
|
|
| 135,000
|
| 120,428
|
Smithfield Foods, Inc.
4.25%, 2/1/2027 (a)
|
|
| 1,920,000
|
| 1,845,139
|
Sonic Automotive, Inc.
4.63%, 11/15/2029 (a)
|
|
| 515,000
|
| 462,429
|
Southern Co. Series 21-A, VRN, 5 yr. CMT + 2.92%,
3.75%, 9/15/2051 (b)
|
|
| 1,950,000
|
| 1,823,991
|
Southwestern Energy Co.
4.75%, 2/1/2032
|
|
| 310,000
|
| 285,398
|
Spectrum Brands, Inc.
5.00%, 10/1/2029 (a)
|
|
| 670,000
|
| 656,667
|
Spirit AeroSystems, Inc.
9.75%, 11/15/2030 (a)
|
|
| 355,000
|
| 397,160
|
SRS Distribution, Inc.
6.13%, 7/1/2029 (a)
|
|
| 180,000
|
| 183,605
|
Standard Industries, Inc.
4.38%, 7/15/2030 (a)
|
|
| 680,000
|
| 610,674
|
Staples, Inc.:
|
|
|
|
|
|
7.50%, 4/15/2026 (a)
|
|
| 195,000
|
| 190,301
|
10.75%, 4/15/2027 (a)
|
|
| 145,000
|
| 137,930
|
Starwood Property Trust, Inc.
7.25%, 4/1/2029 (a)
|
|
| 330,000
|
| 332,591
|
Station Casinos LLC:
|
|
|
|
|
|
4.63%, 12/1/2031 (a)
|
|
| 295,000
|
| 265,532
|
6.63%, 3/15/2032 (a)
|
|
| 515,000
|
| 520,253
|
See accompanying notes to Schedule of
Investments.
58
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
March 31, 2024 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
Suburban Propane Partners LP/Suburban Energy Finance Corp.
5.00%, 6/1/2031 (a)
|
|
| $630,000
|
| $573,987
|
Sun Communities Operating LP
2.70%, 7/15/2031
|
|
| 1,115,000
|
| 919,195
|
SunCoke Energy, Inc.
4.88%, 6/30/2029 (a)
|
|
| 510,000
|
| 462,137
|
Sunoco LP/Sunoco Finance Corp.:
|
|
|
|
|
|
4.50%, 5/15/2029
|
|
| 150,000
|
| 139,668
|
6.00%, 4/15/2027
|
|
| 170,000
|
| 169,255
|
SWF Escrow Issuer Corp.
6.50%, 10/1/2029 (a)
|
|
| 165,000
|
| 121,912
|
Sysco Corp.
3.25%, 7/15/2027
|
|
| 992,000
|
| 937,827
|
Take-Two Interactive Software, Inc.
4.95%, 3/28/2028
|
|
| 1,849,000
|
| 1,842,362
|
Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp.
7.38%, 2/15/2029 (a)
|
|
| 280,000
|
| 281,599
|
Tenet Healthcare Corp.:
|
|
|
|
|
|
6.13%, 10/1/2028
|
|
| 230,000
|
| 229,158
|
6.13%, 6/15/2030
|
|
| 565,000
|
| 564,373
|
6.25%, 2/1/2027
|
|
| 245,000
|
| 244,865
|
T-Mobile USA, Inc.
5.50%, 1/15/2055
|
|
| 2,771,000
|
| 2,767,536
|
TMS International Corp.
6.25%, 4/15/2029 (a)
|
|
| 180,000
|
| 164,794
|
Townsquare Media, Inc.
6.88%, 2/1/2026 (a)
|
|
| 445,000
|
| 434,142
|
TransDigm, Inc.:
|
|
|
|
|
|
5.50%, 11/15/2027
|
|
| 520,000
|
| 509,049
|
6.88%, 12/15/2030 (a)
|
|
| 565,000
|
| 576,334
|
Transocean Poseidon Ltd.
6.88%, 2/1/2027 (a)
|
|
| 317,250
|
| 317,812
|
Transocean, Inc.
8.00%, 2/1/2027 (a)
|
|
| 245,000
|
| 243,275
|
Trident TPI Holdings, Inc.
12.75%, 12/31/2028 (a)
|
|
| 475,000
|
| 507,001
|
Triton Water Holdings, Inc.
6.25%, 4/1/2029 (a)
|
|
| 330,000
|
| 300,524
|
U.S. Foods, Inc.
7.25%, 1/15/2032 (a)
|
|
| 540,000
|
| 560,822
|
UKG, Inc.
6.88%, 2/1/2031 (a)
|
|
| 280,000
|
| 285,323
|
United Airlines, Inc.
4.63%, 4/15/2029 (a)
|
|
| 745,000
|
| 693,066
|
United Natural Foods, Inc.
6.75%, 10/15/2028 (a)
|
|
| 325,000
|
| 270,199
|
Uniti Group LP/Uniti Group Finance, Inc./CSL Capital LLC
10.50%, 2/15/2028 (a)
|
|
| 280,000
|
| 290,458
|
Security Description
|
|
| Principal
Amount
|
| Value
|
Univision Communications, Inc.:
|
|
|
|
|
|
4.50%, 5/1/2029 (a)
|
|
| $325,000
|
| $290,232
|
7.38%, 6/30/2030 (a)
|
|
| 125,000
|
| 123,689
|
Upbound Group, Inc.
6.38%, 2/15/2029 (a)
|
|
| 160,000
|
| 155,346
|
Venture Global LNG, Inc.:
|
|
|
|
|
|
8.13%, 6/1/2028 (a)
|
|
| 375,000
|
| 382,590
|
8.38%, 6/1/2031 (a)
|
|
| 245,000
|
| 252,914
|
9.88%, 2/1/2032 (a)
|
|
| 290,000
|
| 312,637
|
Veralto Corp.
5.35%, 9/18/2028 (a)
|
|
| 925,000
|
| 940,050
|
Verizon Communications, Inc.
5.50%, 2/23/2054
|
|
| 1,825,000
|
| 1,843,560
|
Viatris, Inc.
1.65%, 6/22/2025
|
|
| 579,000
|
| 550,698
|
Viking Cruises Ltd.:
|
|
|
|
|
|
5.88%, 9/15/2027 (a)
|
|
| 875,000
|
| 858,900
|
9.13%, 7/15/2031 (a)
|
|
| 510,000
|
| 557,629
|
Vistra Operations Co. LLC
7.75%, 10/15/2031 (a)
|
|
| 325,000
|
| 340,161
|
Vital Energy, Inc.
7.88%, 4/15/2032 (a)
|
|
| 215,000
|
| 218,569
|
VT Topco, Inc.
8.50%, 8/15/2030 (a)
|
|
| 535,000
|
| 564,543
|
Wand NewCo 3, Inc.
7.63%, 1/30/2032 (a)
|
|
| 330,000
|
| 341,464
|
WASH Multifamily Acquisition, Inc.
5.75%, 4/15/2026 (a)
|
|
| 230,000
|
| 224,687
|
Weatherford International Ltd.:
|
|
|
|
|
|
6.50%, 9/15/2028 (a)
|
|
| 225,000
|
| 232,002
|
8.63%, 4/30/2030 (a)
|
|
| 510,000
|
| 532,425
|
Wells Fargo & Co.:
|
|
|
|
|
|
Series MTN, 3 mo. USD Term SOFR + 1.57%, 3.58%, 5/22/2028 (b)
|
|
| 1,936,000
|
| 1,839,955
|
Series MTN, SOFR + 1.98%, 4.81%, 7/25/2028 (b)
|
|
| 752,000
|
| 741,013
|
Welltower OP LLC
2.05%, 1/15/2029
|
|
| 2,121,000
|
| 1,849,491
|
Wheel Pros, Inc.
6.50%, 5/15/2029 (a)
|
|
| 75,000
|
| 23,250
|
Whirlpool Corp.
5.75%, 3/1/2034
|
|
| 547,000
|
| 549,024
|
Williams Cos., Inc.
5.15%, 3/15/2034
|
|
| 955,000
|
| 946,691
|
Workday, Inc.
3.70%, 4/1/2029
|
|
| 1,967,000
|
| 1,854,979
|
WR Grace Holdings LLC
5.63%, 8/15/2029 (a)
|
|
| 600,000
|
| 537,078
|
WRKCo, Inc.
3.75%, 3/15/2025
|
|
| 1,867,000
|
| 1,835,186
|
Wyndham Hotels & Resorts, Inc.
4.38%, 8/15/2028 (a)
|
|
| 585,000
|
| 543,477
|
See accompanying notes to Schedule of
Investments.
59
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
March 31, 2024 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
XHR LP:
|
|
|
|
|
|
4.88%, 6/1/2029 (a)
|
|
| $1,125,000
|
| $1,041,784
|
6.38%, 8/15/2025 (a)
|
|
| 265,000
|
| 265,148
|
XPO, Inc.
7.13%, 6/1/2031 (a)
|
|
| 680,000
|
| 698,095
|
|
|
|
|
| 252,085,173
|
VIETNAM — 0.0% (d)
|
|
|
|
|
Mong Duong Finance Holdings BV
5.13%, 5/7/2029
|
|
| 230,573
|
| 220,434
|
TOTAL CORPORATE BONDS & NOTES
(Cost $359,975,109)
|
|
|
|
| 346,407,200
|
ASSET-BACKED SECURITIES — 13.1%
|
|
|
|
|
|
ACE Securities Corp. Home Equity Loan Trust:
|
|
|
|
|
|
Series 2006-FM1, Class A2C, ABS, 1 mo. USD Term SOFR + 0.41%, 5.74%, 7/25/2036 (b)
|
|
| 8,367,491
|
| 2,030,153
|
Series 2007-WM2, Class A2C, ABS, 1 mo. USD Term SOFR + 0.39%, 5.72%, 2/25/2037 (b)
|
|
| 2,720,955
|
| 1,110,555
|
ACRE Commercial Mortgage Ltd. Series 2021-FL4, Class B, 1 mo. USD Term SOFR + 1.51%,
6.84%, 12/18/2037 (a) (b)
|
|
| 3,000,000
|
| 2,917,422
|
Affirm Asset Securitization Trust:
|
|
|
|
|
|
Series 2022-A, Class A, 4.30%, 5/17/2027 (a)
|
|
| 3,000,000
|
| 2,980,768
|
Series 2023-A, Class A, 6.61%, 1/18/2028 (a)
|
|
| 1,750,000
|
| 1,760,214
|
Series 2023-B, Class A, 6.82%, 9/15/2028 (a)
|
|
| 5,250,000
|
| 5,327,286
|
Aligned Data Centers Issuer LLC Series 2023-1A, Class A2,
6.00%, 8/17/2048 (a)
|
|
| 5,000,000
|
| 5,003,142
|
Allegro CLO II-S Ltd. Series 2014-1RA, Class A1, 3 mo. USD Term SOFR + 1.34%,
6.66%, 10/21/2028 (a) (b)
|
|
| 138,110
|
| 138,179
|
Ameriquest Mortgage Securities, Inc. Asset-Backed Pass-Through Certificates Series 2004-FR1, Class M5,
3.84%, 5/25/2034 (f)
|
|
| 4,804,032
|
| 3,432,127
|
Security Description
|
|
| Principal
Amount
|
| Value
|
AMSR Trust:
|
|
|
|
|
|
Series 2021-SFR2, Class E1, ABS, 2.48%, 8/17/2038 (a)
|
|
| $3,000,000
|
| $2,709,060
|
Series 2021-SFR2, Class F1, ABS, 3.28%, 8/17/2038 (a)
|
|
| 3,000,000
|
| 2,721,748
|
Series 2021-SFR2, Class F2, ABS, 3.67%, 8/17/2038 (a)
|
|
| 2,000,000
|
| 1,810,073
|
Series 2023-SFR1, Class B, 4.00%, 4/17/2040 (a)
|
|
| 12,000,000
|
| 11,307,275
|
Series 2023-SFR2, Class A, 3.95%, 6/17/2040 (a)
|
|
| 6,800,000
|
| 6,454,572
|
Anchorage Capital CLO 19 Ltd. Series 2021-19A, Class A, ABS, 3 mo. USD Term SOFR + 1.47%,
6.79%, 10/15/2034 (a) (b)
|
|
| 2,000,000
|
| 1,997,200
|
AREIT Trust Series 2021-CRE5, Class B, 1 mo. USD Term SOFR + 1.93%,
7.26%, 11/17/2038 (a) (b)
|
|
| 300,000
|
| 289,389
|
Argent Securities Trust Series 2006-M1, Class A2B, ABS, 1 mo. USD Term SOFR + 0.29%,
5.62%, 7/25/2036 (b)
|
|
| 17,373,180
|
| 4,491,880
|
Bain Capital Credit CLO Ltd.:
|
|
|
|
|
|
Series 2019-3A, Class DR, ABS, 3 mo. USD Term SOFR + 3.36%, 8.68%, 10/21/2034 (a) (b)
|
|
| 1,000,000
|
| 963,272
|
Series 2021-6A, Class A1, 3 mo. USD Term SOFR + 1.41%, 6.73%, 10/21/2034 (a) (b)
|
|
| 3,000,000
|
| 2,995,800
|
Series 2023-3A, Class C, 3 mo. USD Term SOFR + 3.25%, 8.57%, 7/24/2036 (a) (b)
|
|
| 2,000,000
|
| 2,003,694
|
Blackbird Capital II Aircraft Lease Ltd. Series 2021-1A, Class B, ABS,
3.45%, 7/15/2046 (a)
|
|
| 3,765,351
|
| 3,276,044
|
BNC Mortgage Loan Trust Series 2006-1, Class A1, ABS, 1 mo. USD Term SOFR + 0.47%,
4.48%, 10/25/2036 (b)
|
|
| 16,039,514
|
| 10,777,405
|
BSPRT Issuer Ltd. Series 2021-FL6, Class A, ABS, 1 mo. USD Term SOFR + 1.21%,
6.54%, 3/15/2036 (a) (b)
|
|
| 506,679
|
| 502,831
|
See accompanying notes to Schedule of
Investments.
60
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
March 31, 2024 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
Canyon Capital CLO Ltd.:
|
|
|
|
|
|
Series 2017-1A, Class DR, ABS, 3 mo. USD Term SOFR + 3.26%, 8.58%, 7/15/2030 (a) (b)
|
|
| $1,000,000
|
| $983,904
|
Series 2021-1A, Class D, ABS, 3 mo. USD Term SOFR + 3.36%, 8.68%, 4/15/2034 (a) (b)
|
|
| 2,000,000
|
| 1,949,658
|
Carlyle U.S. CLO Ltd.:
|
|
|
|
|
|
Series 2021-1A, Class D, ABS, 3 mo. USD Term SOFR + 6.26%, 11.58%, 4/15/2034 (a) (b)
|
|
| 1,000,000
|
| 983,750
|
Series 2022-2A, Class A2, 3 mo. USD Term SOFR + 2.00%, 7.32%, 4/20/2035 (a) (b)
|
|
| 2,000,000
|
| 2,008,262
|
Series 2023-3A, Class B, 3 mo. USD Term SOFR + 2.60%, 7.91%, 10/15/2036 (a) (b)
|
|
| 3,000,000
|
| 3,026,808
|
Series 2023-3A, Class C, 3 mo. USD Term SOFR + 3.00%, 8.31%, 10/15/2036 (a) (b)
|
|
| 2,000,000
|
| 2,000,722
|
Catamaran CLO Ltd. Series 2018-1A, Class C, 3 mo. USD Term SOFR + 2.76%,
8.09%, 10/25/2031 (a) (b)
|
|
| 1,000,000
|
| 999,672
|
Cathedral Lake VIII Ltd. Series 2021-8A, Class C, 3 mo. USD Term SOFR + 2.88%,
8.20%, 1/20/2035 (a) (b)
|
|
| 2,550,000
|
| 2,537,505
|
CIFC Funding Ltd.:
|
|
|
|
|
|
Series 2013-1A, Class CR, ABS, 3 mo. USD Term SOFR + 3.81%, 9.13%, 7/16/2030 (a) (b)
|
|
| 1,000,000
|
| 992,700
|
Series 2021-1A, Class E, ABS, 3 mo. USD Term SOFR + 6.26%, 11.59%, 4/25/2033 (a) (b)
|
|
| 500,000
|
| 486,541
|
Series 2021-6A, Class B, 3 mo. USD Term SOFR + 1.91%, 7.23%, 10/15/2034 (a) (b)
|
|
| 1,000,000
|
| 999,800
|
Series 2022-3A, Class B, 3 mo. USD Term SOFR + 2.00%, 7.32%, 4/21/2035 (a) (b)
|
|
| 2,000,000
|
| 1,995,200
|
Compass Datacenters Issuer II LLC Series 2024-1A, Class A2,
5.75%, 2/25/2049 (a)
|
|
| 4,000,000
|
| 3,950,328
|
CyrusOne Data Centers Issuer I LLC Series 2023-1A, Class A2,
4.30%, 4/20/2048 (a)
|
|
| 1,000,000
|
| 939,363
|
Security Description
|
|
| Principal
Amount
|
| Value
|
DataBank Issuer LLC Series 2023-1A, Class A2,
5.12%, 2/25/2053 (a)
|
|
| $4,000,000
|
| $3,804,677
|
Drive Auto Receivables Trust Series 2021-3, Class C,
1.47%, 1/15/2027
|
|
| 3,012,001
|
| 2,964,446
|
Dryden 37 Senior Loan Fund Series 2015-37A, Class BR, 3 mo. USD Term SOFR + 1.66%,
6.98%, 1/15/2031 (a) (b)
|
|
| 1,626,877
|
| 1,618,255
|
Dryden 68 CLO Ltd. Series 2019-68A, Class DR, ABS, 3 mo. USD Term SOFR + 3.61%,
8.93%, 7/15/2035 (a) (b)
|
|
| 1,500,000
|
| 1,442,957
|
Exeter Automobile Receivables Trust:
|
|
|
|
|
|
Series 2021-1A, Class D, ABS, 1.08%, 11/16/2026
|
|
| 814,882
|
| 795,173
|
Series 2021-1A, Class E, ABS, 2.21%, 2/15/2028 (a)
|
|
| 1,500,000
|
| 1,414,581
|
Fillmore Park CLO Ltd. Series 2018-1A, Class D, 3 mo. USD Term SOFR + 3.16%,
8.48%, 7/15/2030 (a) (b)
|
|
| 1,000,000
|
| 991,200
|
First Franklin Mortgage Loan Trust Series 2007-FF2, Class A1, ABS, 1 mo. USD Term SOFR + 0.39%,
5.72%, 3/25/2037 (b)
|
|
| 8,632,382
|
| 4,458,818
|
FirstKey Homes Trust:
|
|
|
|
|
|
Series 2020-SFR2, Class D, ABS, 1.97%, 10/19/2037 (a)
|
|
| 2,000,000
|
| 1,871,377
|
Series 2020-SFR2, Class E, 2.67%, 10/19/2037 (a)
|
|
| 2,000,000
|
| 1,889,046
|
FMC GMSR Issuer Trust:
|
|
|
|
|
|
Series 2020-GT1, Class A, CMO, VRN, 4.45%, 1/25/2026 (a) (b)
|
|
| 3,000,000
|
| 2,783,664
|
Series 2021-GT2, Class A, 3.85%, 10/25/2026 (a) (b)
|
|
| 2,650,000
|
| 2,342,655
|
FREED ABS Trust Series 2021-2, Class C, ABS,
1.94%, 6/19/2028 (a)
|
|
| 993,062
|
| 987,194
|
FS Rialto Issuer LLC Series 2021-FL2, Class A, ABS, 1 mo. USD Term SOFR + 1.33%,
6.66%, 5/16/2038 (a) (b)
|
|
| 1,776,102
|
| 1,756,793
|
GAIA Aviation Ltd. Series 2019-1, Class A,
3.97%, 12/15/2044 (a) (f)
|
|
| 1,025,004
|
| 955,863
|
See accompanying notes to Schedule of
Investments.
61
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
March 31, 2024 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
Galaxy XXII CLO Ltd. Series 2016-22A, Class CRR, 3 mo. USD Term SOFR + 2.41%,
7.73%, 4/16/2034 (a) (b)
|
|
| $500,000
|
| $497,150
|
Galaxy XXVIII CLO Ltd. Series 2018-28A, Class D, ABS, 3 mo. USD Term SOFR + 3.26%,
8.58%, 7/15/2031 (a) (b)
|
|
| 2,100,000
|
| 2,079,281
|
GLS Auto Receivables Issuer Trust Series 2021-2A, Class C,
1.08%, 6/15/2026 (a)
|
|
| 1,448,157
|
| 1,435,710
|
GoldenTree Loan Management U.S. CLO 15 Ltd. Series 2022-15A, Class DR, 3 mo. USD Term SOFR + 4.40%,
9.72%, 10/20/2036 (a) (b)
|
|
| 1,000,000
|
| 998,485
|
GoodLeap Sustainable Home Solutions Trust Series 2021-5CS, Class C,
3.50%, 10/20/2048 (a)
|
|
| 3,166,985
|
| 2,250,083
|
Greystone CRE Notes Ltd. Series 2021-FL3, Class B, ABS, 1 mo. USD Term SOFR + 1.76%,
7.09%, 7/15/2039 (a) (b)
|
|
| 2,925,000
|
| 2,832,067
|
GSAA Home Equity Trust:
|
|
|
|
|
|
Series 2007-10, Class A2A, 6.50%, 11/25/2037
|
|
| 2,120,176
|
| 839,281
|
Series 2007-4, Class A3A, ABS, 1 mo. USD Term SOFR + 0.71%, 6.04%, 3/25/2037 (b)
|
|
| 5,627,498
|
| 2,206,662
|
Hardee's Funding LLC Series 2018-1A, Class A23, ABS,
5.71%, 6/20/2048 (a)
|
|
| 1,606,500
|
| 1,527,632
|
Invesco U.S. CLO Ltd.:
|
|
|
|
|
|
Series 2023-3A, Class B, 3 mo. USD Term SOFR + 2.65%, 8.07%, 7/15/2036 (a) (b)
|
|
| 1,000,000
|
| 1,008,127
|
Series 2023-3A, Class C, 3 mo. USD Term SOFR + 3.15%, 8.57%, 7/15/2036 (a) (b)
|
|
| 1,000,000
|
| 999,777
|
JOL Air Ltd. Series 2019-1, Class A,
3.97%, 4/15/2044 (a)
|
|
| 1,918,715
|
| 1,755,970
|
Katayma CLO I Ltd. Series 2023-1A, Class D, 3 mo. USD Term SOFR + 5.25%,
10.57%, 10/20/2036 (a) (b)
|
|
| 5,000,000
|
| 5,072,025
|
LCCM Trust Series 2021-FL3, Class A, 1 mo. USD Term SOFR + 1.56%,
6.89%, 11/15/2038 (a) (b)
|
|
| 2,832,888
|
| 2,791,323
|
Security Description
|
|
| Principal
Amount
|
| Value
|
LCM XVIII LP Series 18A, Class CR, 3 mo. USD Term SOFR + 2.11%,
7.43%, 4/20/2031 (a) (b)
|
|
| $1,435,000
|
| $1,422,229
|
Lendbuzz Securitization Trust Series 2022-1A, Class A,
4.22%, 5/17/2027 (a)
|
|
| 1,846,824
|
| 1,810,952
|
LendingPoint Asset Securitization Trust Series 2021-A, Class C, ABS,
2.75%, 12/15/2028 (a)
|
|
| 1,425,104
|
| 1,405,472
|
Madison Park Funding XLVIII Ltd. Series 2021-48A, Class D, ABS, 3 mo. USD Term SOFR + 3.26%,
8.57%, 4/19/2033 (a) (b)
|
|
| 1,000,000
|
| 993,412
|
Madison Park Funding XVII Ltd. Series 2015-17A, Class DR, 3 mo. USD Term SOFR + 3.86%,
9.18%, 7/21/2030 (a) (b)
|
|
| 1,000,000
|
| 993,400
|
Magnetite XXIX Ltd. Series 2021-29A, Class E, ABS, 3 mo. USD Term SOFR + 6.01%,
11.33%, 1/15/2034 (a) (b)
|
|
| 500,000
|
| 496,815
|
Magnetite XXXI Ltd. Series 2021-31A, Class E, 3 mo. USD Term SOFR + 6.26%,
11.58%, 7/15/2034 (a) (b)
|
|
| 500,000
|
| 496,221
|
Marble Point CLO XI Ltd. Series 2017-2A, Class B, 3 mo. USD Term SOFR + 1.76%,
7.06%, 12/18/2030 (a) (b)
|
|
| 3,500,000
|
| 3,489,500
|
Merrill Lynch Mortgage Investors Trust:
|
|
|
|
|
|
Series 2006-HE4, Class A2B, 1 mo. USD Term SOFR + 0.31%, 5.64%, 7/25/2037 (b)
|
|
| 3,756,153
|
| 732,331
|
Series 2006-HE4, Class A2C, 1 mo. USD Term SOFR + 0.41%, 5.74%, 7/25/2037 (b)
|
|
| 5,198,727
|
| 1,016,015
|
Series 2006-WMC2, Class A1, 1 mo. USD Term SOFR + 0.59%, 4.61%, 3/25/2037 (b)
|
|
| 32,223,814
|
| 8,377,444
|
MetroNet Infrastructure Issuer LLC Series 2023-1A, Class A2,
6.56%, 4/20/2053 (a)
|
|
| 4,000,000
|
| 4,059,792
|
MF1 Ltd. Series 2021-FL7, Class A, ABS, 1 mo. USD Term SOFR + 1.19%,
6.52%, 10/16/2036 (a) (b)
|
|
| 1,536,775
|
| 1,527,029
|
See accompanying notes to Schedule of
Investments.
62
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
March 31, 2024 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
MKS CLO Ltd. Series 2017-1A, Class AR, 3 mo. USD Term SOFR + 1.26%,
6.58%, 7/20/2030 (a) (b)
|
|
| $275,427
|
| $275,069
|
Mosaic Solar Loan Trust Series 2018-1A, Class C, ABS, PO,
0.00%, 6/22/2043 (a)
|
|
| 114,259
|
| 105,953
|
MP CLO III Ltd. Series 2013-1A, Class CR, 3 mo. USD Term SOFR + 2.26%,
7.58%, 10/20/2030 (a) (b)
|
|
| 1,000,000
|
| 997,700
|
MVW LLC:
|
|
|
|
|
|
Series 2021-1WA, Class C, ABS, 1.94%, 1/22/2041 (a)
|
|
| 506,561
|
| 460,246
|
Series 2021-1WA, Class D, ABS, 3.17%, 1/22/2041 (a)
|
|
| 844,268
|
| 769,335
|
Neuberger Berman Loan Advisers CLO 40 Ltd. Series 2021-40A, Class D, ABS, 3 mo. USD Term SOFR + 3.01%,
8.33%, 4/16/2033 (a) (b)
|
|
| 1,500,000
|
| 1,472,328
|
Neuberger Berman Loan Advisers CLO 47 Ltd. Series 2022-47A, Class D, ABS, 3 mo. USD Term SOFR + 3.10%,
8.42%, 4/14/2035 (a) (b)
|
|
| 500,000
|
| 477,900
|
Ocean Trails CLO V Series 2014-5A, Class DRR, ABS, 3 mo. USD Term SOFR + 3.71%,
9.03%, 10/13/2031 (a) (b)
|
|
| 1,000,000
|
| 944,489
|
Octagon Investment Partners 27 Ltd. Series 2016-1A, Class DR, ABS, 3 mo. USD Term SOFR + 3.21%,
8.53%, 7/15/2030 (a) (b)
|
|
| 500,000
|
| 484,300
|
Octagon Investment Partners 30 Ltd. Series 2017-1A, Class CR, ABS, 3 mo. USD Term SOFR + 3.56%,
8.88%, 3/17/2030 (a) (b)
|
|
| 1,000,000
|
| 980,642
|
Octagon Investment Partners 40 Ltd. Series 2019-1A, Class DR, ABS, 3 mo. USD Term SOFR + 3.61%,
8.93%, 1/20/2035 (a) (b)
|
|
| 500,000
|
| 483,650
|
Octagon Investment Partners XXI Ltd. Series 2014-1A, Class A2R3, 3 mo. USD Term SOFR + 1.66%,
6.97%, 2/14/2031 (a) (b)
|
|
| 500,000
|
| 496,335
|
Pagaya AI Debt Trust:
|
|
|
|
|
|
Series 2022-1, Class A, 2.03%, 10/15/2029 (a)
|
|
| 1,741,123
|
| 1,721,929
|
Security Description
|
|
| Principal
Amount
|
| Value
|
Series 2022-1, Class B, ABS, 3.34%, 10/15/2029 (a)
|
|
| $4,499,405
|
| $4,380,263
|
Series 2022-2, Class A, 4.97%, 1/15/2030 (a)
|
|
| 733,213
|
| 729,625
|
Series 2023-1, Class A, 7.56%, 7/15/2030 (a)
|
|
| 889,530
|
| 893,624
|
Series 2023-3, Class A, 7.60%, 12/16/2030 (a)
|
|
| 3,374,090
|
| 3,398,034
|
Park Avenue Institutional Advisers CLO Ltd. Series 2018-1A, Class BR, 3 mo. USD Term SOFR + 2.36%,
7.68%, 10/20/2031 (a) (b)
|
|
| 4,000,000
|
| 3,987,200
|
PMT Issuer Trust - FMSR Series 2021-FT1, Class A, ABS, 1 mo. USD Term SOFR + 3.11%,
8.44%, 3/25/2026 (a) (b)
|
|
| 1,300,000
|
| 1,313,114
|
PPM CLO Ltd. Series 2018-1A, Class D, 3 mo. USD Term SOFR + 3.51%,
8.83%, 7/15/2031 (a) (b)
|
|
| 500,000
|
| 490,274
|
PRET LLC:
|
|
|
|
|
|
Series 2021-NPL5, Class A1, 2.49%, 10/25/2051 (a) (f)
|
|
| 3,520,474
|
| 3,445,291
|
Series 2022-RN1, Class A1, 3.72%, 7/25/2051 (a) (f)
|
|
| 11,660,919
|
| 11,345,082
|
Progress Residential Trust:
|
|
|
|
|
|
Series 2021-SFR6, Class A, 1.52%, 7/17/2038 (a)
|
|
| 7,965,491
|
| 7,303,301
|
Series 2022-SFR5, Class A, 4.45%, 6/17/2039 (a)
|
|
| 2,690,254
|
| 2,624,517
|
Series 2023-SFR2, Class A, 4.50%, 10/17/2028 (a)
|
|
| 9,400,000
|
| 9,118,003
|
Prosper Marketplace Issuance Trust Series 2023-1A, Class A,
7.06%, 7/16/2029 (a)
|
|
| 3,672,397
|
| 3,684,934
|
Race Point IX CLO Ltd. Series 2015-9A, Class BR, 3 mo. USD Term SOFR + 2.41%,
7.73%, 10/15/2030 (a) (b)
|
|
| 2,250,000
|
| 2,227,725
|
Regatta XXIII Funding Ltd. Series 2021-4A, Class A1, 3 mo. USD Term SOFR + 1.41%,
6.73%, 1/20/2035 (a) (b)
|
|
| 4,500,000
|
| 4,497,750
|
Renaissance Home Equity Loan Trust Series 2006-2, Class AF4, ABS,
6.12%, 8/25/2036 (f)
|
|
| 8,664,451
|
| 3,421,469
|
Sapphire Aviation Finance II Ltd. Series 2020-1A, Class A,
3.23%, 3/15/2040 (a)
|
|
| 977,134
|
| 889,222
|
See accompanying notes to Schedule of
Investments.
63
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
March 31, 2024 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
Securitized Asset-Backed Receivables LLC Trust:
|
|
|
|
|
|
Series 2007-BR4, Class A2A, ABS, 1 mo. USD Term SOFR + 0.20%, 5.53%, 5/25/2037 (b)
|
|
| $3,406,631
|
| $2,044,118
|
Series 2007-BR4, Class A2B, ABS, 1 mo. USD Term SOFR + 0.31%, 5.64%, 5/25/2037 (b)
|
|
| 23,672,143
|
| 14,219,063
|
Series 2007-BR5, Class A2B, 1 mo. USD Term SOFR + 0.29%, 5.62%, 5/25/2037 (b)
|
|
| 31,943,695
|
| 23,977,961
|
Shackleton CLO Ltd. Series 2013-3A, Class DR, 3 mo. USD Term SOFR + 3.28%,
8.60%, 7/15/2030 (a) (b)
|
|
| 1,080,000
|
| 1,075,572
|
Shenton Aircraft Investment I Ltd. Series 2015-1A, Class A, ABS,
4.75%, 10/15/2042 (a)
|
|
| 1,631,680
|
| 1,505,257
|
Sound Point CLO 36 Ltd.:
|
|
|
|
|
|
Series 2023-36A, Class B, 3 mo. USD Term SOFR + 2.85%, 8.17%, 7/26/2036 (a) (b)
|
|
| 1,000,000
|
| 1,010,600
|
Series 2023-36A, Class C, 3 mo. USD Term SOFR + 3.40%, 8.72%, 7/26/2036 (a) (b)
|
|
| 500,000
|
| 503,800
|
Sound Point CLO II Ltd. Series 2013-1A, Class A1R, 3 mo. USD Term SOFR + 1.33%,
6.66%, 1/26/2031 (a) (b)
|
|
| 386,951
|
| 387,411
|
Sound Point CLO XII Ltd. Series 2016-2A, Class DR, ABS, 3 mo. USD Term SOFR + 4.11%,
9.43%, 10/20/2028 (a) (b)
|
|
| 1,000,000
|
| 998,329
|
Sound Point CLO XX Ltd. Series 2018-2A, Class C, 3 mo. USD Term SOFR + 2.21%,
7.54%, 7/26/2031 (a) (b)
|
|
| 500,000
|
| 490,450
|
Sound Point CLO XXIII Ltd. Series 2019-2A, Class ER, 3 mo. USD Term SOFR + 6.73%,
12.05%, 7/15/2034 (a) (b)
|
|
| 1,000,000
|
| 859,365
|
Sound Point CLO XXVI Ltd. Series 2020-1A, Class DR, 3 mo. USD Term SOFR + 3.61%,
8.93%, 7/20/2034 (a) (b)
|
|
| 500,000
|
| 481,999
|
Security Description
|
|
| Principal
Amount
|
| Value
|
Sound Point CLO XXVIII Ltd. Series 2020-3A, Class D, ABS, 3 mo. USD Term SOFR + 3.91%,
9.24%, 1/25/2032 (a) (b)
|
|
| $4,000,000
|
| $3,915,000
|
Sound Point CLO XXXIII Ltd. Series 2022-1A, Class D, ABS, 3 mo. USD Term SOFR + 3.30%,
8.62%, 4/25/2035 (a) (b)
|
|
| 700,000
|
| 651,840
|
Start II Ltd. Series 2019-1, Class A,
4.09%, 3/15/2044 (a)
|
|
| 427,183
|
| 395,187
|
Structured Asset Securities Corp. Mortgage Loan Trust Series 2006-BC4, Class A4, 1 mo. USD Term SOFR + 0.45%,
5.78%, 12/25/2036 (b)
|
|
| 556,148
|
| 546,721
|
Sunnova Helios V Issuer LLC Series 2021-A, Class A, ABS,
1.80%, 2/20/2048 (a)
|
|
| 1,178,434
|
| 974,777
|
Sunrun Demeter Issuer LLC Series 2021-2A, Class A,
2.27%, 1/30/2057 (a)
|
|
| 2,427,887
|
| 1,985,231
|
Tesla Auto Lease Trust Series 2021-B, Class B,
0.91%, 9/22/2025 (a)
|
|
| 3,250,000
|
| 3,219,363
|
Theorem Funding Trust Series 2023-1A, Class A,
7.58%, 4/15/2029 (a)
|
|
| 2,616,069
|
| 2,638,951
|
THL Credit Wind River CLO Ltd. Series 2017-3A, Class AR, ABS, 3 mo. USD Term SOFR + 1.41%,
6.73%, 4/15/2035 (a) (b)
|
|
| 2,150,000
|
| 2,147,635
|
TIF Funding II LLC:
|
|
|
|
|
|
Series 2021-1A, Class A, ABS, 1.65%, 2/20/2046 (a)
|
|
| 3,743,750
|
| 3,250,842
|
Series 2021-1A, Class B, ABS, 2.54%, 2/20/2046 (a)
|
|
| 1,497,500
|
| 1,298,512
|
Tricon Residential Trust Series 2023-SFR1, Class A,
5.10%, 7/17/2040 (a)
|
|
| 9,990,776
|
| 9,939,527
|
Trimaran Cavu Ltd. Series 2021-3A, Class D, ABS, 3 mo. USD Term SOFR + 4.04%,
9.34%, 1/18/2035 (a) (b)
|
|
| 1,500,000
|
| 1,492,334
|
TRTX Issuer Ltd. Series 2021-FL4, Class A, ABS, 1 mo. USD Term SOFR + 1.31%,
6.64%, 3/15/2038 (a) (b)
|
|
| 934,967
|
| 923,689
|
See accompanying notes to Schedule of
Investments.
64
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
March 31, 2024 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
Upstart Pass-Through Trust Series 2021-ST3, Class A, ABS,
2.00%, 5/20/2027 (a)
|
|
| $743,283
|
| $721,393
|
Upstart Securitization Trust:
|
|
|
|
|
|
Series 2020-1, Class C, ABS, 4.90%, 4/22/2030 (a)
|
|
| 248,080
|
| 247,226
|
Series 2021-3, Class B, 1.66%, 7/20/2031 (a)
|
|
| 540,905
|
| 538,171
|
Series 2022-1, Class B, 4.48%, 3/20/2032 (a)
|
|
| 6,500,000
|
| 6,324,337
|
Series 2023-2, Class A, 6.77%, 6/20/2033 (a)
|
|
| 2,224,070
|
| 2,228,861
|
Valley Stream Park CLO Ltd. Series 2022-1A, Class DR, 3 mo. USD Term SOFR + 4.15%,
9.47%, 10/20/2034 (a) (b)
|
|
| 500,000
|
| 502,204
|
Vantage Data Centers Issuer LLC Series 2019-1A, Class A2,
3.19%, 7/15/2044 (a)
|
|
| 3,234,838
|
| 3,204,896
|
VOLT XCVI LLC Series 2021-NPL5, Class A1, CMO,
5.12%, 3/27/2051 (a) (f)
|
|
| 910,295
|
| 890,602
|
Voya CLO Ltd.:
|
|
|
|
|
|
Series 2013-1A, Class BR, 3 mo. USD Term SOFR + 2.16%, 7.48%, 10/15/2030 (a) (b)
|
|
| 1,000,000
|
| 987,900
|
Series 2014-2A, Class BRR, 3 mo. USD Term SOFR + 2.36%, 7.68%, 4/17/2030 (a) (b)
|
|
| 1,250,000
|
| 1,247,250
|
Series 2017-3A, Class A2AR, 3 mo. USD Term SOFR + 1.81%, 7.13%, 4/20/2034 (a) (b)
|
|
| 1,005,000
|
| 1,002,387
|
Series 2017-3A, Class CR, ABS, 3 mo. USD Term SOFR + 3.41%, 8.73%, 4/20/2034 (a) (b)
|
|
| 1,000,000
|
| 971,046
|
Washington Mutual Asset-Backed Certificates WMABS Trust Series 2007-HE2, Class 2A2, 1 mo. USD Term SOFR + 0.33%,
5.66%, 2/25/2037 (b)
|
|
| 12,840,848
|
| 3,793,672
|
Wellfleet CLO Ltd.:
|
|
|
|
|
|
Series 2017-3A, Class A2, 3 mo. USD Term SOFR + 1.76%, 7.08%, 1/17/2031 (a) (b)
|
|
| 1,700,000
|
| 1,682,553
|
Series 2020-2A, Class CR, 3 mo. USD Term SOFR + 2.56%, 7.88%, 7/15/2034 (a) (b)
|
|
| 1,550,000
|
| 1,523,018
|
Security Description
|
|
| Principal
Amount
|
| Value
|
Wellfleet CLO X Ltd. Series 2019-XA, Class A2R, 3 mo. USD Term SOFR + 2.01%,
7.33%, 7/20/2032 (a) (b)
|
|
| $3,500,000
|
| $3,469,956
|
Wind River CLO Ltd. Series 2016-2A, Class BR, 3 mo. USD Term SOFR + 2.06%,
7.37%, 11/1/2031 (a) (b)
|
|
| 3,000,000
|
| 2,992,200
|
TOTAL ASSET-BACKED SECURITIES
(Cost $390,105,589)
|
|
|
|
| 370,725,696
|
FOREIGN GOVERNMENT OBLIGATIONS — 0.2%
|
|
|
|
|
|
COLOMBIA — 0.1%
|
|
|
|
|
|
Colombia Government International Bonds
4.13%, 5/15/2051
|
|
| 1,700,000
|
| 1,058,466
|
MEXICO — 0.1%
|
|
|
|
|
|
Mexico Government International Bonds
6.34%, 5/4/2053
|
|
| 2,000,000
|
| 1,976,704
|
PANAMA — 0.0% (d)
|
|
|
|
|
|
Panama Government International Bonds:
|
|
|
|
|
|
2.25%, 9/29/2032
|
|
| 200,000
|
| 143,409
|
3.87%, 7/23/2060
|
|
| 1,000,000
|
| 574,840
|
4.30%, 4/29/2053
|
|
| 400,000
|
| 257,403
|
|
|
|
|
| 975,652
|
PERU — 0.0% (d)
|
|
|
|
|
|
Corp. Financiera de Desarrollo SA 3 mo. USD Term SOFR - 5.61%,
5.25%, 7/15/2029 (b)
|
|
| 1,000,000
|
| 997,039
|
SOUTH AFRICA — 0.0% (d)
|
|
|
|
|
|
Republic of South Africa Government International Bonds
4.30%, 10/12/2028
|
|
| 650,000
|
| 583,612
|
TOTAL FOREIGN GOVERNMENT OBLIGATIONS
(Cost $6,864,592)
|
|
|
|
| 5,591,473
|
|
| Shares
|
|
COMMON STOCKS — 0.0% (d)
|
|
|
UNITED STATES — 0.0% (d)
|
|
|
Bright Bidco BV
(e) (g)
|
| 710
| 71
|
Envision Healthcare Corp.
(e) (g)
|
| 2,187
| 19,136
|
See accompanying notes to Schedule of
Investments.
65
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
March 31, 2024 (Unaudited)
Security Description
|
|
| Shares
|
| Value
|
Phoenix Services International LLC (e) (g)
|
|
| $7,665
|
| $63,620
|
|
|
|
|
| 82,827
|
TOTAL COMMON STOCKS
(Cost $58,944)
|
|
|
|
| 82,827
|
|
| Principal
Amount
|
|
SENIOR FLOATING RATE LOANS — 1.9%
|
|
|
|
ADVERTISING SERVICES — 0.0% (d)
|
|
|
|
CMG Media Corp., 2021 Term Loan, 3 mo. USD Term SOFR + 3.50%, 8.82%, 12/17/2026 (b)
|
| $149,599
| 130,832
|
AEROSPACE & DEFENSE — 0.0% (d)
|
|
|
|
Dynasty Acquisition Co., Inc.:
|
|
|
|
2023 Term Loan B1, 1 mo. USD Term SOFR + 4.00%, 9.33%, 8/24/2028 (b)
|
| 285,678
| 286,420
|
2023 Term Loan B2, 1 mo. USD Term SOFR + 4.00%, 9.33%, 8/24/2028 (b)
|
| 122,434
| 122,751
|
2024 Term Loan B1 (h)
|
| 10,826
| 10,854
|
2024 Term Loan B2 (h)
|
| 4,174
| 4,185
|
TransDigm, Inc.:
|
|
|
|
2023 Term Loan J, 1 mo. USD Term SOFR + 3.25%, 8.60%, 2/14/2031 (b)
|
| 119,700
| 120,421
|
2024 Term Loan I, 3 mo. USD Term SOFR + 2.75%, 8.06%, 8/24/2028 (b)
|
| 407,000
| 408,846
|
|
|
| 953,477
|
AIR FREIGHT & LOGISTICS — 0.0% (d)
|
|
|
|
Worldwide Express Operations LLC, 2021 1st Lien Term Loan, 3 mo. USD Term SOFR + 4.00%, 9.57%, 7/26/2028 (b)
|
| 62,141
| 61,925
|
AIRLINES — 0.1%
|
|
|
|
Air Canada, 2024 Term Loan B, 3 mo. USD Term SOFR + 2.50%, 7.83%, 3/14/2031 (b)
|
| 105,000
| 105,329
|
American Airlines, Inc.:
|
|
|
|
2021 Term Loan, 3 mo. USD Term SOFR + 4.75%, 10.33%, 4/20/2028 (b)
|
| 263,500
| 274,095
|
2023 1st Lien Term Loan, 6 mo. USD Term SOFR + 3.50%, 8.77%, 6/4/2029 (b)
|
| 313,107
| 314,477
|
Security Description
|
|
| Principal
Amount
|
| Value
|
Kestrel Bidco, Inc., Term Loan B, 1 mo. USD Term SOFR + 3.00%, 8.33%, 12/11/2026 (b)
|
|
| $22,386
|
| $22,409
|
Mileage Plus Holdings LLC, 2020 Term Loan B, 3 mo. USD Term SOFR + 5.25%, 10.73%, 6/21/2027 (b)
|
|
| 328,250
|
| 338,432
|
SkyMiles IP Ltd., 2020 Skymiles Term Loan B, 3 mo. USD Term SOFR + 3.75%, 9.07%, 10/20/2027 (b)
|
|
| 161,250
|
| 166,508
|
United Airlines, Inc., 2024 Term Loan B, 3 mo. USD Term SOFR + 2.75%, 8.08%, 2/15/2031 (b)
|
|
| 290,000
|
| 290,815
|
WestJet Loyalty LP, Term Loan B, 3 mo. USD Term SOFR + 3.75%, 9.06%, 2/14/2031 (b)
|
|
| 350,000
|
| 350,437
|
|
|
|
|
| 1,862,502
|
AUTO COMPONENTS — 0.0% (d)
|
|
|
|
|
|
DexKo Global, Inc., 2021 USD Term Loan B, 3 mo. USD Term SOFR + 3.75%, 9.32%, 10/4/2028 (b)
|
|
| 109,258
|
| 108,370
|
AUTO PARTS & EQUIPMENT — 0.0% (d)
|
|
|
|
|
|
Clarios Global LP, 2024 Term Loan B, 1 mo. USD Term SOFR + 3.00%, 8.33%, 5/6/2030 (b)
|
|
| 408,975
|
| 410,509
|
BEVERAGES — 0.0% (d)
|
|
|
|
|
|
Triton Water Holdings, Inc., Term Loan, 3 mo. USD Term SOFR + 3.25%, 8.56%, 3/31/2028 (b)
|
|
| 397,861
|
| 394,182
|
BUILDING MATERIALS — 0.0% (d)
|
|
|
|
|
|
MI Windows and Doors LLC, 2024 Term Loan B2 (h)
|
|
| 50,000
|
| 50,297
|
Quikrete Holdings, Inc.:
|
|
|
|
|
|
2023 Term Loan B, 1 mo. USD Term SOFR + 2.75%, 8.19%, 3/19/2029 (b)
|
|
| 143,899
|
| 144,136
|
2024 Term Loan B (h)
|
|
| 40,000
|
| 40,067
|
Tamko Building Products LLC, 2023 Term Loan, 3 mo. USD Term SOFR + 3.50%, 8.83%, 9/20/2030 (b)
|
|
| 139,300
|
| 139,474
|
|
|
|
|
| 373,974
|
See accompanying notes to Schedule of
Investments.
66
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
March 31, 2024 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
BUILDING PRODUCTS — 0.0% (d)
|
|
|
|
|
|
Chamberlain Group, Inc., Term Loan B, 1 mo. USD Term SOFR + 3.25%, 8.68%, 11/3/2028 (b)
|
|
| $198,477
|
| $198,441
|
Cornerstone Building Brands, Inc., 2021 Term Loan B, 1 mo. USD Term SOFR + 3.25%, 8.68%, 4/12/2028 (b)
|
|
| 128,674
|
| 128,235
|
|
|
|
|
| 326,676
|
CHEMICALS — 0.1%
|
|
|
|
|
|
ECO Services Operations Corp., 2021 Term Loan B, 3 mo. USD Term SOFR + 2.50%, 7.91%, 6/9/2028 (b)
|
|
| 290,278
|
| 290,504
|
Hexion Holdings Corp., 2022 USD Term Loan, 3 mo. USD Term SOFR + 4.50%, 9.98%, 3/15/2029 (b)
|
|
| 253,686
|
| 250,154
|
INEOS Quattro Holdings UK Ltd., 2023 USD 1st Lien Term Loan B (h)
|
|
| 285,000
|
| 284,823
|
Ineos U.S. Finance LLC, 2023 USD Term Loan B, 1 mo. USD Term SOFR + 3.50%, 8.93%, 2/18/2030 (b)
|
|
| 312,625
|
| 313,016
|
Ineos US Finance LLC, 2024 USD Term Loan B, 1 mo. USD Term SOFR + 3.75%, 9.08%, 2/7/2031 (b)
|
|
| 75,000
|
| 75,187
|
Lummus Technology Holdings V LLC, 2024 Term Loan B, 3 mo. USD Term SOFR + 3.50%, 8.82%, 12/31/2029 (b)
|
|
| 362,787
|
| 363,658
|
Nouryon Finance BV, 2023 USD Term Loan B, 3 mo. USD Term SOFR + 4.00%, 9.42%, 4/3/2028 (b)
|
|
| 243,474
|
| 244,539
|
Olympus Water U.S. Holding Corp., 2021 USD Term Loan B, 3 mo. USD Term SOFR + 3.75%, 9.32%, 11/9/2028 (b)
|
|
| 251,095
|
| 251,550
|
PMHC II, Inc., 2022 Term Loan B, 3 mo. USD Term SOFR + 4.25%, 9.72%, 4/23/2029 (b)
|
|
| 95,966
|
| 95,136
|
Polar U.S. Borrower LLC, 2018 1st Lien Term Loan, 3 mo. USD Term SOFR + 4.75%, 10.16%, 10/15/2025 (b)
|
|
| 99,390
|
| 75,723
|
Security Description
|
|
| Principal
Amount
|
| Value
|
Vantage Specialty Chemicals, Inc., 2023 Term Loan B, 3 mo. USD Term SOFR + 4.75%, 10.07%, 10/26/2026 (b)
|
|
| $24,750
|
| $24,518
|
|
|
|
|
| 2,268,808
|
COMMERCIAL SERVICES — 0.1%
|
|
|
|
|
|
Allied Universal Holdco LLC, 2021 USD Incremental Term Loan B, 1 mo. USD Term SOFR + 3.75%, 9.18%, 5/12/2028 (b)
|
|
| 402,839
|
| 402,801
|
APX Group, Inc., 2021 Term Loan B, 1 mo. USD Term SOFR + 3.25%, 3.25%, 7/10/2028 (b)
|
|
| 275,079
|
| 276,079
|
Camelot U.S. Acquisition LLC, 2024 Term Loan B, 1 mo. USD Term SOFR + 2.75%, 8.08%, 1/31/2031 (b)
|
|
| 320,000
|
| 320,240
|
Conservice Midco LLC, 2024 Term Loan, 1 mo. USD Term SOFR + 4.00%, 9.33%, 5/13/2027 (b)
|
|
| 84,787
|
| 85,173
|
CoreLogic, Inc., Term Loan, 1 mo. USD Term SOFR + 3.50%, 8.94%, 6/2/2028 (b)
|
|
| 346,825
|
| 339,970
|
EAB Global, Inc., 2021 Term Loan, 1 mo. USD Term SOFR + 3.50%, 8.94%, 8/16/2028 (b)
|
|
| 248,793
|
| 249,228
|
GTCR W Merger Sub LLC, USD Term Loan B, 1 mo. USD Term SOFR + 3.00%, 8.31%, 1/31/2031 (b)
|
|
| 340,000
|
| 341,630
|
Homeserve USA Holding Corp., Term Loan, 1 mo. USD Term SOFR + 3.00%, 8.33%, 10/21/2030 (b)
|
|
| 245,000
|
| 245,888
|
Mavis Tire Express Services Topco Corp., 2024 Term Loan B, 1 mo. USD Term SOFR + 3.75%, 9.08%, 5/4/2028 (b)
|
|
| 244,226
|
| 244,920
|
OMNIA Partners LLC, 2024 Term Loan B (h)
|
|
| 145,000
|
| 145,838
|
PECF USS Intermediate Holding III Corp., Term Loan B, 3 mo. USD Term SOFR + 4.25%, 9.82%, 12/15/2028 (b)
|
|
| 149,177
|
| 114,308
|
Spin Holdco, Inc., 2021 Term Loan, 3 mo. USD Term SOFR + 4.00%, 9.59%, 3/4/2028 (b)
|
|
| 101,686
|
| 94,433
|
See accompanying notes to Schedule of
Investments.
67
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
March 31, 2024 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
Verscend Holding Corp., 2021 Term Loan B, 1 mo. USD Term SOFR + 4.00%, 9.44%, 8/27/2025 (b)
|
|
| $410,231
|
| $410,743
|
Vestis Corp., Term Loan, 3 mo. USD Term SOFR + 2.25%, 7.58%, 2/22/2031 (b)
|
|
| 100,000
|
| 100,125
|
Viad Corp., Initial Term Loan, 1 mo. USD Term SOFR + 5.00%, 10.44%, 7/30/2028 (b)
|
|
| 173,087
|
| 173,791
|
VT Topco, Inc., 2023 Term Loan B, 1 mo. USD Term SOFR + 4.25%, 9.58%, 8/9/2030 (b)
|
|
| 99,750
|
| 100,142
|
Wand NewCo 3, Inc., 2024 Term Loan B, 1 mo. USD Term SOFR + 3.75%, 9.08%, 1/30/2031 (b)
|
|
| 170,000
|
| 170,677
|
|
|
|
|
| 3,815,986
|
COMMERCIAL SERVICES & SUPPLIES — 0.1%
|
|
|
|
|
|
ADMI Corp., 2023 Term Loan B5, 1 mo. USD Term SOFR + 5.75%, 11.08%, 12/23/2027 (b)
|
|
| 199,500
|
| 199,937
|
Asurion LLC:
|
|
|
|
|
|
2021 2nd Lien Term Loan B3, 1 mo. USD Term SOFR + 5.25%, 10.58%, 1/31/2028 (b)
|
|
| 70,000
|
| 63,481
|
2021 Second Lien Term Loan B4, 1 mo. USD Term SOFR + 5.25%, 10.69%, 1/20/2029 (b)
|
|
| 105,000
|
| 94,443
|
2021 Term Loan B9, 1 mo. USD Term SOFR + 3.25%, 8.58%, 7/31/2027 (b)
|
|
| 378,056
|
| 364,218
|
2023 Term Loan B11, 1 mo. USD Term SOFR + 4.25%, 9.68%, 8/19/2028 (b)
|
|
| 24,875
|
| 24,066
|
Garda World Security Corp., 2022 Term Loan B, 3 mo. USD Term SOFR + 4.25%, 9.58%, 2/1/2029 (b)
|
|
| 322,675
|
| 323,685
|
Packaging Coordinators Midco, Inc., 2020 1st Lien Term Loan, 3 mo. USD Term SOFR + 3.50%, 9.07%, 11/30/2027 (b)
|
|
| 374,294
|
| 375,517
|
Packers Holdings LLC, 2021 Term Loan, 1 mo. USD Term SOFR + 3.25%, 8.68%, 3/9/2028 (b)
|
|
| 113,529
|
| 72,942
|
|
|
|
|
| 1,518,289
|
Security Description
|
|
| Principal
Amount
|
| Value
|
COMMUNICATIONS EQUIPMENT — 0.0% (d)
|
|
|
|
|
|
CommScope, Inc., 2019 Term Loan B, 1 mo. USD Term SOFR + 3.25%, 8.58%, 4/6/2026 (b)
|
|
| $59,247
|
| $53,915
|
Zayo Group Holdings, Inc., USD Term Loan, 1 mo. USD Term SOFR + 3.00%, 8.44%, 3/9/2027 (b)
|
|
| 325,000
|
| 286,092
|
|
|
|
|
| 340,007
|
CONSTRUCTION & ENGINEERING — 0.1%
|
|
|
|
|
|
Artera Services LLC, 2024 Term Loan, 3 mo. USD Term SOFR + 4.50%, 9.81%, 2/15/2031 (b)
|
|
| 240,000
|
| 241,200
|
Brand Industrial Services, Inc., 2023 Term Loan B, 3 mo. USD Term SOFR + 5.50%, 10.81%, 8/1/2030 (b)
|
|
| 179,212
|
| 180,204
|
Brown Group Holding LLC, Term Loan B, 1 mo. USD Term SOFR + 2.75%, 8.18%, 6/7/2028 (b)
|
|
| 274,453
|
| 274,578
|
DG Investment Intermediate Holdings 2, Inc.:
|
|
|
|
|
|
2021 2nd Lien Term Loan, 1 mo. USD Term SOFR + 6.75%, 12.19%, 3/30/2029 (b)
|
|
| 60,000
|
| 56,325
|
2021 Term Loan, 1 mo. USD Term SOFR + 3.75%, 9.19%, 3/31/2028 (b)
|
|
| 253,612
|
| 253,883
|
KKR Apple Bidco LLC, 2021 Term Loan, 1 mo. USD Term SOFR + 2.75%, 8.19%, 9/22/2028 (b)
|
|
| 185,725
|
| 185,784
|
Tecta America Corp., 2021 Term Loan, 1 mo. USD Term SOFR + 4.00%, 9.33%, 4/10/2028 (b)
|
|
| 190,125
|
| 190,853
|
|
|
|
|
| 1,382,827
|
CONSTRUCTION MATERIALS — 0.0% (d)
|
|
|
|
|
|
Traverse Midstream Partners LLC, 2017 Term Loan, 3 mo. USD Term SOFR + 3.50%, 8.82%, 2/16/2028 (b)
|
|
| 53,496
|
| 53,697
|
See accompanying notes to Schedule of
Investments.
68
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
March 31, 2024 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
CONSUMER STAPLES DISTRIBUTION & RETAIL — 0.0% (d)
|
|
|
|
|
|
Monogram Food Solutions LLC, Term Loan B, 1 mo. USD Term SOFR + 4.00%, 9.33%, 8/28/2028 (b)
|
|
| $254,150
|
| $254,785
|
CONTAINERS & PACKAGING — 0.1%
|
|
|
|
|
|
Charter NEX US, Inc., 2024 Term Loan B, 1 mo. USD Term SOFR + 3.50%, 8.83%, 12/1/2027 (b)
|
|
| 245,000
|
| 245,724
|
Clydesdale Acquisition Holdings, Inc., Term Loan B, 1 mo. USD Term SOFR + 3.68%, 9.11%, 4/13/2029 (b)
|
|
| 264,327
|
| 264,988
|
Graham Packaging Co., Inc., 2021 Term Loan, 1 mo. USD Term SOFR + 3.00%, 8.44%, 8/4/2027 (b)
|
|
| 299,142
|
| 299,424
|
Klockner-Pentaplast of America, Inc., 2021 Term Loan B, 6 mo. USD Term SOFR + 4.73%, 10.27%, 2/12/2026 (b)
|
|
| 94,271
|
| 88,968
|
Pregis TopCo Corp., 1st Lien Term Loan, 1 mo. USD Term SOFR + 3.75%, 9.08%, 7/31/2026 (b)
|
|
| 373,588
|
| 374,587
|
Pretium Packaging LLC:
|
|
|
|
|
|
First Out Term Loan A, 3 mo. USD Term SOFR + 5.00%, 10.31%, 10/2/2028 (b)
|
|
| 54,767
|
| 55,623
|
Second Out Term Loan A1, 3 mo. USD Term SOFR + 4.60%, 9.91%, 10/2/2028 (b)
|
|
| 142,412
|
| 127,993
|
Pretium PKG Holdings, Inc., 2021 2nd Lien Term Loan, 3 mo. USD Term SOFR + 6.75%, 12.33%, 10/1/2029 (b)
|
|
| 45,000
|
| 28,139
|
Reynolds Group Holdings Inc., 2021 Term Loan B, 1 mo. USD Term SOFR + 3.25%, 8.69%, 9/24/2028 (b)
|
|
| 184,056
|
| 184,907
|
TricorBraun Holdings, Inc., 2021 Term Loan, 1 mo. USD Term SOFR + 3.25%, 8.69%, 3/3/2028 (b)
|
|
| 192,241
|
| 190,327
|
Trident TPI Holdings, Inc., 2021 Term Loan B3, 3 mo. USD Term SOFR + 4.00%, 9.57%, 9/15/2028 (b)
|
|
| 241,544
|
| 241,929
|
|
|
|
|
| 2,102,609
|
Security Description
|
|
| Principal
Amount
|
| Value
|
COSMETICS & TOILETRIES — 0.0% (d)
|
|
|
|
|
|
Solis IV BV, USD Term Loan B1, 3 mo. USD Term SOFR + 3.50%, 8.82%, 2/26/2029 (b)
|
|
| $270,652
|
| $268,009
|
DISTRIBUTION/WHOLESALE — 0.0% (d)
|
|
|
|
|
|
BCPE Empire Holdings, Inc., 2024 Term Loan, 1 mo. USD Term SOFR + 4.00%, 9.33%, 12/11/2028 (b)
|
|
| 357,196
|
| 358,000
|
DISTRIBUTORS — 0.0% (d)
|
|
|
|
|
|
American Tire Distributors Holdings, Inc., 2021 Term Loan B, 3 mo. USD Term SOFR + 6.25%, 11.83%, 10/20/2028 (b)
|
|
| 57,138
|
| 49,853
|
DIVERSIFIED CONSUMER SERVICES — 0.0% (d)
|
|
|
|
|
|
Ascend Learning LLC:
|
|
|
|
|
|
2021 2nd Lien Term Loan, 1 mo. USD Term SOFR + 5.75%, 11.18%, 12/10/2029 (b)
|
|
| 74,708
|
| 73,985
|
2021 Term Loan, 1 mo. USD Term SOFR + 3.50%, 8.93%, 12/11/2028 (b)
|
|
| 265,423
|
| 264,296
|
|
|
|
|
| 338,281
|
DIVERSIFIED FINANCIAL SERVICES — 0.1%
|
|
|
|
|
|
AllSpring Buyer LLC, Term Loan B, 3 mo. USD Term SOFR + 3.25%, 8.56%, 11/1/2028 (b)
|
|
| 388,910
|
| 389,124
|
Astra Acquisition Corp.:
|
|
|
|
|
|
2021 1st Lien Term Loan, 3 mo. USD Term SOFR + 5.25%, 10.57%, 10/25/2028 (b)
|
|
| 139,181
|
| 58,978
|
2021 2nd Lien Term Loan, 3 mo. USD Term SOFR + 8.88%, 14.19%, 10/25/2029 (b)
|
|
| 159,962
|
| 49,488
|
Castlelake Aviation Ltd., Term Loan B, 3 mo. USD Term SOFR + 2.50%, 7.83%, 10/22/2026 (b)
|
|
| 335,925
|
| 336,365
|
Deerfield Dakota Holding LLC, 2020 USD Term Loan B, 3 mo. USD Term SOFR + 3.75%, 9.06%, 4/9/2027 (b)
|
|
| 336,061
|
| 334,824
|
Edelman Financial Center LLC:
|
|
|
|
|
|
2018 2nd Lien Term Loan, 1 mo. USD Term SOFR + 6.75%, 12.19%, 7/20/2026 (b)
|
|
| 91,670
|
| 92,272
|
See accompanying notes to Schedule of
Investments.
69
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
March 31, 2024 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
2021 Term Loan B, 1 mo. USD Term SOFR + 3.50%, 8.83%, 4/7/2028 (b)
|
|
| $491,154
|
| $491,815
|
Eisner Advisory Group LLC, 2024 Term Loan B, 1 mo. USD Term SOFR + 4.00%, 9.33%, 2/28/2031 (b)
|
|
| 200,000
|
| 201,063
|
Focus Financial Partners LLC:
|
|
|
|
|
|
2021 Term Loan B4, 1 mo. USD Term SOFR + 2.50%, 7.83%, 6/30/2028 (b)
|
|
| 446,556
|
| 445,386
|
2024 Term Loan B7, 1 mo. USD Term SOFR + 2.75%, 8.08%, 6/30/2028 (b)
|
|
| 49,750
|
| 49,649
|
Greystone Select Financial LLC, Term Loan B, 3 mo. USD Term SOFR + 5.00%, 10.57%, 6/16/2028 (b)
|
|
| 86,677
|
| 86,677
|
HighTower Holdings LLC, 2021 Term Loan B, 3 mo. USD Term SOFR + 4.00%, 9.59%, 4/21/2028 (b)
|
|
| 345,368
|
| 346,231
|
Minotaur Acquisition, Inc., Term Loan B, 1 mo. USD Term SOFR + 4.75%, 10.08%, 3/27/2026 (b)
|
|
| 316,488
|
| 317,201
|
Walker & Dunlop, Inc., 2021 Term Loan, 1 mo. USD Term SOFR + 2.25%, 7.68%, 12/16/2028 (b)
|
|
| 112,413
|
| 112,272
|
|
|
|
|
| 3,311,345
|
DIVERSIFIED TELECOMMUNICATION SERVICES — 0.0% (d)
|
|
|
|
|
|
Altice France SA, 2023 USD Term Loan B14, 3 mo. USD Term SOFR + 5.50%, 10.81%, 8/15/2028 (b)
|
|
| 228,725
|
| 183,052
|
Level 3 Financing, Inc., 2019 Term Loan B (h)
|
|
| 97,930
|
| 97,348
|
Telesat Canada, Term Loan B5, 3 mo. USD Term SOFR + 2.75%, 8.35%, 12/7/2026 (b)
|
|
| 47,573
|
| 28,946
|
|
|
|
|
| 309,346
|
ELECTRICAL EQUIPMENT — 0.0% (d)
|
|
|
|
|
|
Energizer Holdings, Inc., 2020 Term Loan, 1 mo. USD Term SOFR + 2.25%, 7.69%, 12/22/2027 (b)
|
|
| 125,149
|
| 125,243
|
Gates Global LLC, 2022 Term Loan B4, 1 mo. USD Term SOFR + 3.00%, 8.33%, 11/16/2029 (b)
|
|
| 59,100
|
| 59,364
|
|
|
|
|
| 184,607
|
Security Description
|
|
| Principal
Amount
|
| Value
|
ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS — 0.0% (d)
|
|
|
|
|
|
Compass Power Generation LLC, 2022 Term Loan B2, 1 mo. USD Term SOFR + 4.25%, 9.58%, 4/14/2029 (b)
|
|
| $195,586
|
| $197,025
|
Mirion Technologies, Inc., 2021 Term Loan, 3 mo. USD Term SOFR + 2.75%, 8.36%, 10/20/2028 (b)
|
|
| 205,040
|
| 205,809
|
|
|
|
|
| 402,834
|
ELECTRONICS — 0.0% (d)
|
|
|
|
|
|
Coherent Corp., Term Loan B1 (h)
|
|
| 40,000
|
| 40,000
|
ENERGY-ALTERNATE SOURCES — 0.0% (d)
|
|
|
|
|
|
Vistra Zero Operating Company LLC, Term Loan B (h)
|
|
| 95,000
|
| 95,119
|
ENTERTAINMENT — 0.1%
|
|
|
|
|
|
AMC Entertainment Holdings, Inc., 2019 Term Loan B, 1 mo. USD Term SOFR + 3.00%, 8.44%, 4/22/2026 (b)
|
|
| 48,675
|
| 40,948
|
Bally's Corp., 2021 Term Loan B, 3 mo. USD Term SOFR + 3.25%, 8.83%, 10/2/2028 (b)
|
|
| 268,629
|
| 252,903
|
Caesars Entertainment, Inc., 2024 Term Loan B1, 3 mo. USD Term SOFR + 2.75%, 8.04%, 2/6/2031 (b)
|
|
| 250,000
|
| 250,508
|
Fertitta Entertainment LLC, 2022 Term Loan B, 1 mo. USD Term SOFR + 3.75%, 9.08%, 1/27/2029 (b)
|
|
| 1,250,690
|
| 1,255,124
|
Flutter Financing BV, Term Loan B, 3 mo. USD Term SOFR + 2.25%, 7.66%, 11/25/2030 (b)
|
|
| 74,813
|
| 74,979
|
Motion Finco SARL, 2024 USD Term Loan B (h)
|
|
| 330,000
|
| 329,876
|
NASCAR Holdings LLC, Term Loan B, 1 mo. USD Term SOFR + 2.50%, 7.94%, 10/19/2026 (b)
|
|
| 98,068
|
| 98,603
|
Ontario Gaming GTA LP, Term Loan B, 3 mo. USD Term SOFR + 4.25%, 9.60%, 8/1/2030 (b)
|
|
| 340,532
|
| 342,113
|
See accompanying notes to Schedule of
Investments.
70
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
March 31, 2024 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
SMG U.S. Midco 2, Inc., 2020 Term Loan, 3 mo. USD Term SOFR + 2.50%, 7.82%, 1/23/2025 (b)
|
|
| $340,758
|
| $341,061
|
|
|
|
|
| 2,986,115
|
FOOD PRODUCTS — 0.0% (d)
|
|
|
|
|
|
CHG PPC Parent LLC, 2021 Term Loan, 1 mo. USD Term SOFR + 3.00%, 8.44%, 12/8/2028 (b)
|
|
| 307,615
|
| 308,384
|
FOOD-MISC/DIVERSIFIED — 0.0% (d)
|
|
|
|
|
|
H Food Holdings LLC, 2018 Term Loan B, 3 mo. USD Term SOFR + 3.69%, 9.29%, 5/23/2025 (b)
|
|
| 78,739
|
| 57,627
|
HEALTH CARE EQUIPMENT & SUPPLIES — 0.1%
|
|
|
|
|
|
ADMI Corp., 2021 Incremental Term Loan B3, 1 mo. USD Term SOFR + 3.75%, 9.19%, 12/23/2027 (b)
|
|
| 143,893
|
| 139,306
|
Bausch & Lomb Corp.:
|
|
|
|
|
|
2023 Incremental Term Loan, 1 mo. USD Term SOFR + 4.00%, 9.33%, 9/29/2028 (b)
|
|
| 144,275
|
| 144,456
|
Term Loan, 1 mo. USD Term SOFR + 3.25%, 8.68%, 5/10/2027 (b)
|
|
| 399,007
|
| 395,316
|
Gainwell Acquisition Corp., Term Loan B, 1 mo. USD Term SOFR + 4.00%, 9.41%, 10/1/2027 (b)
|
|
| 445,510
|
| 426,966
|
|
|
|
|
| 1,106,044
|
HEALTH CARE PROVIDERS & SERVICES — 0.1%
|
|
|
|
|
|
Air Methods Corp., 2023 Exit Term Loan (h)
|
|
| 3,579
|
| 3,642
|
Aveanna Healthcare LLC:
|
|
|
|
|
|
2021 2nd Lien Term Loan, 3 mo. USD Term SOFR + 7.00%, 12.49%, 12/10/2029 (b)
|
|
| 82,260
|
| 70,949
|
2021 Term Loan B, 3 mo. USD Term SOFR + 3.75%, 9.19%, 7/17/2028 (b)
|
|
| 200,030
|
| 192,850
|
CHG Healthcare Services, Inc., 2021 Term Loan, 1 mo. USD Term SOFR + 3.25%, 8.69%, 9/29/2028 (b)
|
|
| 330,601
|
| 331,255
|
Fortrea Holdings, Inc., Term Loan B, 1 mo. USD Term SOFR + 3.75%, 9.08%, 7/1/2030 (b)
|
|
| 44,662
|
| 44,849
|
Security Description
|
|
| Principal
Amount
|
| Value
|
LifePoint Health, Inc., 2023 Term Loan B, 3 mo. USD Term SOFR + 5.50%, 11.09%, 11/16/2028 (b)
|
|
| $395,000
|
| $396,517
|
Maravai Intermediate Holdings LLC, 2022 Term Loan B, 3 mo. USD Term SOFR + 3.00%, 8.31%, 10/19/2027 (b)
|
|
| 169,137
|
| 166,459
|
Medline Borrower LP, USD Term Loan B, 1 mo. USD Term SOFR + 3.00%, 8.44%, 10/23/2028 (b)
|
|
| 278,226
|
| 279,142
|
Pacific Dental Services LLC, 2024 Term Loan B (h)
|
|
| 205,000
|
| 205,299
|
Radiology Partners, Inc., 2024 Extended Term Loan B (h)
|
|
| 142,437
|
| 137,960
|
Team Health Holdings, Inc., 2022 Term Loan B, 3 mo. USD Term SOFR + 5.25%, 10.56%, 3/2/2027 (b)
|
|
| 84,277
|
| 75,007
|
|
|
|
|
| 1,903,929
|
HOME FURNISHINGS — 0.0% (d)
|
|
|
|
|
|
AI Aqua Merger Sub, Inc., 2021 1st Lien Term Loan B, 1 mo. USD Term SOFR + 3.75%, 9.07%, 7/31/2028 (b)
|
|
| 411,160
|
| 412,361
|
HOTELS, RESTAURANTS & LEISURE — 0.1%
|
|
|
|
|
|
Alterra Mountain Co.:
|
|
|
|
|
|
2021 Series B-2 Consenting Term Loan, 1 mo. USD Term SOFR + 3.50%, 8.94%, 8/17/2028 (b)
|
|
| 265,632
|
| 267,072
|
2023 Term Loan B, 1 mo. USD Term SOFR + 3.75%, 9.18%, 5/31/2030 (b)
|
|
| 124,237
|
| 125,013
|
Caesars Entertainment, Inc., Term Loan B, 3 mo. USD Term SOFR + 3.25%, 8.66%, 2/6/2030 (b)
|
|
| 64,350
|
| 64,614
|
Peraton Corp., Term Loan B, 1 mo. USD Term SOFR + 3.75%, 9.08%, 2/1/2028 (b)
|
|
| 211,762
|
| 211,978
|
Playa Resorts Holding BV, 2022 Term Loan B, 1 mo. USD Term SOFR + 3.25%, 8.58%, 1/5/2029 (b)
|
|
| 317,409
|
| 318,709
|
Travelport Finance SARL, 2020 Super Priority Term Loan, 1 mo. USD Term SOFR + 7.00%, 13.61%, 9/30/2028 (b)
|
|
| 150,562
|
| 140,983
|
|
|
|
|
| 1,128,369
|
See accompanying notes to Schedule of
Investments.
71
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
March 31, 2024 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
HOUSEHOLD DURABLES — 0.0% (d)
|
|
|
|
|
|
Springs Windows Fashions LLC, 2021 Term Loan B, 1 mo. USD Term SOFR + 4.00%, 9.44%, 10/6/2028 (b)
|
|
| $275,274
|
| $254,054
|
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS — 0.0% (d)
|
|
|
|
|
|
NRG Energy, Inc., 2024 Term Loan (h)
|
|
| 135,000
|
| 134,916
|
Vistra Operations Co. LLC, 1st Lien Term Loan B3, 1 mo. USD Term SOFR + 2.00%, 7.33%, 12/20/2030 (b)
|
|
| 69,825
|
| 69,836
|
|
|
|
|
| 204,752
|
INSURANCE — 0.1%
|
|
|
|
|
|
Acrisure LLC:
|
|
|
|
|
|
2020 Term Loan B, 1 mo. USD Term SOFR + 3.50%, 8.94%, 2/15/2027 (b)
|
|
| 240,493
|
| 240,643
|
2021 First Lien Term Loan B, 1 mo. USD Term SOFR + 4.25%, 9.69%, 2/15/2027 (b)
|
|
| 136,850
|
| 137,449
|
Alliant Holdings Intermediate LLC, 2023 Term Loan B6, 1 mo. USD Term SOFR + 3.50%, 8.83%, 11/6/2030 (b)
|
|
| 299,250
|
| 300,811
|
AssuredPartners, Inc.:
|
|
|
|
|
|
2020 Term Loan B, 1 mo. USD Term SOFR + 3.50%, 8.94%, 2/12/2027 (b)
|
|
| 253,324
|
| 253,872
|
2022 Term Loan, 1 mo. USD Term SOFR + 3.50%, 8.83%, 2/12/2027 (b)
|
|
| 103,163
|
| 103,372
|
2023 Term Loan B4, 1 mo. USD Term SOFR + 3.75%, 9.08%, 2/12/2027 (b)
|
|
| 19,943
|
| 19,988
|
2024 Incremental Term Loan B5, 1 mo. USD Term SOFR + 3.50%, 8.83%, 2/14/2031 (b)
|
|
| 20,000
|
| 20,050
|
Cross Financial Corp., 2024 Term Loan B2, 1 mo. USD Term SOFR + 3.50%, 8.83%, 9/15/2027 (b)
|
|
| 184,056
|
| 184,286
|
OneDigital Borrower LLC, 2021 Term Loan, 1 mo. USD Term SOFR + 4.25%, 9.68%, 11/16/2027 (b)
|
|
| 308,192
|
| 308,577
|
|
|
|
|
| 1,569,048
|
Security Description
|
|
| Principal
Amount
|
| Value
|
INTERNET & CATALOG RETAIL — 0.0% (d)
|
|
|
|
|
|
ION Trading Finance Ltd., 2021 USD Term Loan, 3 mo. USD Term SOFR + 4.75%, 10.20%, 4/1/2028 (b)
|
|
| $122,534
|
| $122,534
|
INTERNET & TELECOM — 0.0% (d)
|
|
|
|
|
|
CNT Holdings I Corp., 2020 Term Loan, 3 mo. USD Term SOFR + 3.50%, 8.82%, 11/8/2027 (b)
|
|
| 132,539
|
| 132,943
|
PUG LLC, 2024 Extended Term Loan B, 3 mo. USD Term SOFR + 4.75%, 10.08%, 3/15/2030 (b)
|
|
| 210,000
|
| 210,568
|
|
|
|
|
| 343,511
|
INVESTMENT COMPANIES — 0.0% (d)
|
|
|
|
|
|
Brookfield WEC Holdings, Inc., 2024 Term Loan, 1 mo. USD Term SOFR + 2.75%, 8.08%, 1/27/2031 (b)
|
|
| 320,000
|
| 320,000
|
GIP Pilot Acquisition Partners LP, Term Loan, 3 mo. USD Term SOFR + 3.00%, 8.33%, 10/4/2030 (b)
|
|
| 120,000
|
| 120,540
|
Mister Car Wash Holdings, Inc., 2024 Term Loan B (h)
|
|
| 50,000
|
| 50,177
|
|
|
|
|
| 490,717
|
IT SERVICES — 0.0% (d)
|
|
|
|
|
|
Access CIG LLC, 2023 Term Loan, 1 mo. USD Term SOFR + 5.00%, 10.33%, 8/18/2028 (b)
|
|
| 338,300
|
| 339,093
|
LEISURE INDUSTRY — 0.0% (d)
|
|
|
|
|
|
Carnival Corp.:
|
|
|
|
|
|
2021 Incremental Term Loan B, 1 mo. USD Term SOFR + 3.25%, 8.69%, 10/18/2028 (b)
|
|
| 339,930
|
| 340,816
|
2023 Term Loan B, 1 mo. USD Term SOFR + 3.00%, 8.32%, 8/8/2027 (b)
|
|
| 74,438
|
| 74,639
|
|
|
|
|
| 415,455
|
LEISURE TIME — 0.0% (d)
|
|
|
|
|
|
Alterra Mountain Co., 2024 Term Loan B3 (h)
|
|
| 30,000
|
| 30,000
|
ClubCorp Holdings, Inc., 2023 Term Loan B2, 3 mo. USD Term SOFR + 5.00%, 10.32%, 9/18/2026 (b)
|
|
| 217,173
|
| 217,872
|
|
|
|
|
| 247,872
|
See accompanying notes to Schedule of
Investments.
72
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
March 31, 2024 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
LEISURE&REC/GAMES — 0.0% (d)
|
|
|
|
|
|
Scientific Games Holdings LP, 2022 USD Term Loan B, 3 mo. USD Term SOFR + 3.25%, 8.58%, 4/4/2029 (b)
|
|
| $271,947
|
| $272,209
|
LIFE SCIENCES TOOLS & SERVICES — 0.0% (d)
|
|
|
|
|
|
Parexel International Corp., 2021 1st Lien Term Loan, 1 mo. USD Term SOFR + 3.25%, 8.58%, 11/15/2028 (b)
|
|
| 331,284
|
| 332,414
|
LODGING — 0.0% (d)
|
|
|
|
|
|
Hilton Grand Vacations Borrower LLC, 2024 Incremental Term Loan B, 1 mo. USD Term SOFR + 2.75%, 8.08%, 1/17/2031 (b)
|
|
| 155,000
|
| 155,461
|
Station Casinos LLC, 2024 Term Loan B (h)
|
|
| 85,000
|
| 84,990
|
|
|
|
|
| 240,451
|
MACHINERY — 0.1%
|
|
|
|
|
|
Columbus McKinnon Corp., 2024 Term Loan, 1 mo. USD Term SOFR + 2.50%, 7.81%, 5/14/2028 (b)
|
|
| 27,342
|
| 27,444
|
Eagle Parent Corp., 2022 Term Loan B, 3 mo. USD Term SOFR + 4.25%, 9.56%, 4/2/2029 (b)
|
|
| 264,427
|
| 262,528
|
Madison IAQ LLC, Term Loan, 1 mo. USD Term SOFR + 3.25%, 8.69%, 6/21/2028 (b)
|
|
| 373,334
|
| 373,237
|
Titan Acquisition Ltd.:
|
|
|
|
|
|
2018 Term Loan B, 1 mo. USD Term SOFR + 3.00%, 8.33%, 3/28/2025 (b)
|
|
| 394,731
|
| 394,895
|
2024 Term Loan B (h)
|
|
| 275,000
|
| 276,060
|
TK Elevator US Newco, Inc., USD Term Loan B (h)
|
|
| 369,075
|
| 370,741
|
|
|
|
|
| 1,704,905
|
MEDIA — 0.1%
|
|
|
|
|
|
Cengage Learning, Inc., 2024 Term Loan B, 3 mo. USD Term SOFR + 4.25%, 9.58%, 3/15/2031 (b)
|
|
| 130,000
|
| 130,020
|
Charter Communications Operating LLC, 2023 Term Loan B4, 3 mo. USD Term SOFR + 2.00%, 7.33%, 12/7/2030 (b)
|
|
| 380,000
|
| 376,646
|
Security Description
|
|
| Principal
Amount
|
| Value
|
CSC Holdings LLC, 2019 Term Loan B5, 1 mo. USD Term SOFR + 2.50%, 7.94%, 4/15/2027 (b)
|
|
| $253,679
|
| $230,032
|
DirecTV Financing LLC, Term Loan, 1 mo. USD Term SOFR + 5.00%, 10.44%, 8/2/2027 (b)
|
|
| 132,630
|
| 132,962
|
iHeartCommunications, Inc., 2020 Term Loan, 1 mo. USD Term SOFR + 3.00%, 8.44%, 5/1/2026 (b)
|
|
| 115,272
|
| 101,255
|
NEP Group, Inc., 2023 Term Loan B, 1 mo. USD Term SOFR + 3.25%, 1.50%, 8/19/2026 (b)
|
|
| 189,536
|
| 181,185
|
Simon & Schuster, Inc., Term Loan B, 3 mo. USD Term SOFR + 4.00%, 9.32%, 10/30/2030 (b)
|
|
| 105,000
|
| 105,512
|
Sinclair Television Group, Inc., Term Loan B2B, 1 mo. USD Term SOFR + 2.50%, 7.94%, 9/30/2026 (b)
|
|
| 109,382
|
| 104,473
|
Univision Communications, Inc., 2022 First Lien Term Loan B, 3 mo. USD Term SOFR + 4.25%, 9.56%, 6/24/2029 (b)
|
|
| 177,852
|
| 178,453
|
Virgin Media Bristol LLC, 2023 USD Term Loan Y, 6 mo. USD Term SOFR + 3.25%, 8.79%, 3/31/2031 (b)
|
|
| 385,000
|
| 379,812
|
Ziggo Financing Partnership, USD Term Loan I, 1 mo. USD Term SOFR + 2.50%, 7.94%, 4/30/2028 (b)
|
|
| 190,000
|
| 187,506
|
|
|
|
|
| 2,107,856
|
METAL FABRICATE & HARDWARE — 0.0% (d)
|
|
|
|
|
|
Crosby U.S. Acquisition Corp., 2024 Term Loan B, 3 mo. USD Term SOFR + 4.00%, 9.32%, 8/16/2029 (b)
|
|
| 80,000
|
| 80,542
|
METALS & MINING — 0.0% (d)
|
|
|
|
|
|
Tiger Acquisition LLC, 2021 Term Loan, 1 mo. USD Term SOFR + 3.25%, 8.68%, 6/1/2028 (b)
|
|
| 115,027
|
| 114,205
|
MORTGAGE REAL ESTATE INVESTMENT TRUSTS (REITs) — 0.0% (d)
|
|
|
|
|
|
Starwood Property Trust, Inc., 2021 Term Loan B3, 1 mo. USD Term SOFR + 3.25%, 8.68%, 7/26/2026 (b)
|
|
| 94,275
|
| 94,628
|
See accompanying notes to Schedule of
Investments.
73
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
March 31, 2024 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
OIL, GAS & CONSUMABLE FUELS — 0.0% (d)
|
|
|
|
|
|
Pacific Gas & Electric Co., 2020 Term Loan B1, 1 mo. USD Term SOFR + 3.00%, 7.83%, 6/23/2027 (b)
|
|
| $75,000
|
| $75,211
|
Par Petroleum LLC, 2023 Term Loan B, 3 mo. USD Term SOFR + 4.25%, 9.69%, 2/28/2030 (b)
|
|
| 49,625
|
| 49,764
|
Waterbridge Midstream Operating LLC, Term Loan B, 3 mo. USD Term SOFR + 5.75%, 11.34%, 6/22/2026 (b)
|
|
| 184,731
|
| 185,165
|
|
|
|
|
| 310,140
|
PERSONAL PRODUCTS — 0.0% (d)
|
|
|
|
|
|
Kronos Acquisition Holdings, Inc., 2021 Term Loan B, 3 mo. USD Term SOFR + 3.75%, 9.06%, 12/22/2026 (b)
|
|
| 253,607
|
| 254,226
|
PHARMACEUTICALS — 0.1%
|
|
|
|
|
|
Curium BidCo SARL, 2023 USD Term Loan B, 3 mo. USD Term SOFR + 4.50%, 9.81%, 7/31/2029 (b)
|
|
| 238,200
|
| 239,689
|
Grifols Worldwide Operations USA, Inc., 2019 USD Term Loan B, 3 mo. USD Term SOFR + 2.00%, 7.46%, 11/15/2027 (b)
|
|
| 194,782
|
| 189,023
|
Jazz Financing Lux SARL, 2024 Term Loan B, 1 mo. USD Term SOFR + 3.00%, 8.44%, 5/5/2028 (b)
|
|
| 503,542
|
| 506,690
|
Organon & Co., USD Term Loan, 1 mo. USD Term SOFR + 3.00%, 8.43%, 6/2/2028 (b)
|
|
| 243,101
|
| 244,267
|
Southern Veterinary Partners LLC, Term Loan, 1 mo. USD Term SOFR + 4.00%, 9.44%, 10/5/2027 (b)
|
|
| 445,099
|
| 446,100
|
|
|
|
|
| 1,625,769
|
PIPELINES — 0.1%
|
|
|
|
|
|
BCP Renaissance Parent LLC, 2023 Term Loan B, 3 mo. USD Term SOFR + 3.50%, 8.83%, 10/31/2028 (b)
|
|
| 196,272
|
| 197,070
|
Buckeye Partners LP, 2024 Term Loan B3, 1 mo. USD Term SOFR + 2.00%, 7.33%, 11/1/2026 (b)
|
|
| 145,000
|
| 145,433
|
Security Description
|
|
| Principal
Amount
|
| Value
|
CQP Holdco LP, 2023 4th Amendment Term Loan, 3 mo. USD Term SOFR + 3.00%, 8.32%, 12/31/2030 (b)
|
|
| $255,000
|
| $256,075
|
Freeport LNG Investments LLLP, Term Loan B, 3 mo. USD Term SOFR + 3.50%, 9.08%, 12/21/2028 (b)
|
|
| 164,283
|
| 163,378
|
GIP II Blue Holding LP, Term Loan B, 1 mo. USD Term SOFR + 4.39%, 9.94%, 9/29/2028 (b)
|
|
| 87,210
|
| 87,606
|
Oryx Midstream Services Permian Basin LLC, 2024 Term Loan B, 1 mo. USD Term SOFR + 3.00%, 8.44%, 10/5/2028 (b)
|
|
| 260,000
|
| 261,278
|
WhiteWater DBR HoldCo LLC, Term Loan B, 3 mo. USD Term SOFR + 2.75%, 8.07%, 3/3/2031 (b)
|
|
| 115,000
|
| 115,335
|
|
|
|
|
| 1,226,175
|
PROFESSIONAL SERVICES — 0.0% (d)
|
|
|
|
|
|
Proofpoint, Inc., 1st Lien Term Loan, 1 mo. USD Term SOFR + 3.25%, 8.58%, 8/31/2028 (b)
|
|
| 330,730
|
| 331,271
|
REAL ESTATE INVESTMENT TRUSTS (REITs) — 0.0% (d)
|
|
|
|
|
|
Iron Mountain, Inc., 2023 Term Loan B, 1 mo. USD Term SOFR + 2.25%, 7.58%, 1/31/2031 (b)
|
|
| 164,587
|
| 163,627
|
RETAIL — 0.0% (d)
|
|
|
|
|
|
EG Group Ltd., 2023 USD Tranche C Term Loan B (h)
|
|
| 185,691
|
| 185,227
|
RETAIL-BUILDING PRODUCTS — 0.0% (d)
|
|
|
|
|
|
LBM Acquisition LLC, Term Loan B, 1 mo. USD Term SOFR + 3.75%, 9.18%, 12/17/2027 (b)
|
|
| 248,740
|
| 248,586
|
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT — 0.0% (d)
|
|
|
|
|
|
Ultra Clean Holdings, Inc., 2021 Term Loan B, 1 mo. USD Term SOFR + 3.75%, 9.19%, 8/27/2025 (b)
|
|
| 125,974
|
| 126,290
|
See accompanying notes to Schedule of
Investments.
74
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
March 31, 2024 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
SOFTWARE — 0.2%
|
|
|
|
|
|
Applied Systems, Inc.:
|
|
|
|
|
|
2024 1st Lien Term Loan, 3 mo. USD Term SOFR + 3.50%, 8.81%, 2/24/2031 (b)
|
|
| $230,000
|
| $231,643
|
2024 2nd Lien Term Loan, 3 mo. USD Term SOFR + 5.25%, 10.56%, 2/23/2032 (b)
|
|
| 85,000
|
| 88,161
|
Athenahealth Group, Inc., 2022 Term Loan B, 1 mo. USD Term SOFR + 3.25%, 8.58%, 2/15/2029 (b)
|
|
| 332,234
|
| 329,925
|
Banff Merger Sub, Inc., 2023 USD Term Loan, 1 mo. USD Term SOFR + 4.25%, 9.58%, 12/29/2028 (b)
|
|
| 468,825
|
| 472,390
|
Castle U.S. Holding Corp., USD Term Loan B, 3 mo. USD Term SOFR + 3.75%, 9.35%, 1/29/2027 (b)
|
|
| 76,919
|
| 54,461
|
Central Parent, Inc., 2023 Term Loan B, 3 mo. USD Term SOFR + 4.00%, 9.31%, 7/6/2029 (b)
|
|
| 338,612
|
| 340,004
|
Constant Contact, Inc., Term Loan, 3 mo. USD Term SOFR + 4.00%, 9.59%, 2/10/2028 (b)
|
|
| 203,517
|
| 198,283
|
Cornerstone OnDemand, Inc., 2021 Term Loan, 1 mo. USD Term SOFR + 3.75%, 9.08%, 10/16/2028 (b)
|
|
| 165,693
|
| 162,863
|
Cotiviti Corp., 2024 Term Loan (h)
|
|
| 290,000
|
| 289,638
|
DCert Buyer, Inc.:
|
|
|
|
|
|
2019 Term loan B, 1 mo. USD Term SOFR + 4.00%, 9.33%, 10/16/2026 (b)
|
|
| 218,956
|
| 218,205
|
2021 2nd Lien Term Loan, 1 mo. USD Term SOFR + 7.00%, 12.33%, 2/19/2029 (b)
|
|
| 55,000
|
| 49,951
|
Dun & Bradstreet Corp., 2024 Term Loan B, 1 mo. USD Term SOFR + 2.75%, 8.08%, 1/18/2029 (b)
|
|
| 168,775
|
| 168,933
|
First Advantage Holdings LLC, 2021 Term Loan B, 1 mo. USD Term SOFR + 2.75%, 8.08%, 1/31/2027 (b)
|
|
| 275,666
|
| 275,753
|
Genesys Cloud Services Holdings II LLC, First Lien Term Loan B, 3 mo. USD Term SOFR + 3.50%, 8.83%, 12/1/2027 (b)
|
|
| 242,822
|
| 243,734
|
Security Description
|
|
| Principal
Amount
|
| Value
|
Greeneden U.S. Holdings II LLC, 2020 USD Term Loan B4 (h)
|
|
| $242,822
|
| $243,819
|
Helios Software Holdings, Inc., 2024 Term Loan, 3 mo. USD Term SOFR + 3.75%, 9.07%, 7/18/2030 (b)
|
|
| 194,151
|
| 192,817
|
I-Logic Technologies Bidco Ltd., 2021 USD Term Loan B, 3 mo. USD Term SOFR + 4.00%, 9.31%, 2/16/2028 (b)
|
|
| 272,500
|
| 272,542
|
Informatica LLC, 2021 USD Term Loan B, 1 mo. USD Term SOFR + 2.75%, 8.19%, 10/27/2028 (b)
|
|
| 323,400
|
| 324,047
|
Ivanti Software, Inc., 2021 Term Loan B, 3 mo. USD Term SOFR + 4.25%, 9.84%, 12/1/2027 (b)
|
|
| 71,769
|
| 67,374
|
McAfee LLC, 2022 USD Term Loan B, 1 mo. USD Term SOFR + 3.75%, 9.18%, 3/1/2029 (b)
|
|
| 271,011
|
| 271,144
|
MedAssets Software Intermediate Holdings, Inc., 2021 Term Loan, 3 mo. USD Term SOFR + 4.00%, 9.42%, 12/18/2028 (b)
|
|
| 110,954
|
| 93,653
|
Mitchell International, Inc.:
|
|
|
|
|
|
2021 2nd Lien Term Loan, 1 mo. USD Term SOFR + 6.50%, 11.83%, 10/15/2029 (b)
|
|
| 40,000
|
| 40,025
|
2021 Term Loan B, 1 mo. USD Term SOFR + 3.75%, 9.08%, 10/15/2028 (b)
|
|
| 240,202
|
| 240,572
|
PointClickCare Technologies, Inc., Term Loan B, 3 mo. USD Term SOFR + 3.00%, 8.57%, 12/29/2027 (b)
|
|
| 140,650
|
| 141,090
|
Polaris Newco LLC, USD Term Loan B, 3 mo. USD Term SOFR + 4.00%, 9.57%, 6/2/2028 (b)
|
|
| 201,353
|
| 199,638
|
RealPage, Inc., 1st Lien Term Loan, 1 mo. USD Term SOFR + 3.00%, 8.44%, 4/24/2028 (b)
|
|
| 664,256
|
| 647,141
|
Sophia LP, 2024 Term Loan B, 1 mo. USD Term SOFR + 3.50%, 8.93%, 10/9/2029 (b)
|
|
| 409,475
|
| 411,727
|
UKG, Inc.:
|
|
|
|
|
|
2021 2nd Lien Term Loan, 3 mo. USD Term SOFR + 5.25%, 10.68%, 5/3/2027 (b)
|
|
| 45,862
|
| 46,349
|
See accompanying notes to Schedule of
Investments.
75
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
March 31, 2024 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
2024 Term Loan B, 3 mo. USD Term SOFR + 3.50%, 8.81%, 2/10/2031 (b)
|
|
| $310,000
|
| $311,986
|
|
|
|
|
| 6,627,868
|
SPECIALTY RETAIL — 0.1%
|
|
|
|
|
|
Great Outdoors Group LLC, 2021 Term Loan B1, 1 mo. USD Term SOFR + 3.75%, 9.19%, 3/6/2028 (b)
|
|
| 342,395
|
| 343,013
|
K-Mac Holdings Corp., 2021 Term Loan, 1 mo. USD Term SOFR + 3.25%, 8.58%, 7/21/2028 (b)
|
|
| 219,728
|
| 219,710
|
Michaels Cos., Inc., 2021 Term Loan B, 3 mo. USD Term SOFR + 4.25%, 9.57%, 4/15/2028 (b)
|
|
| 227,561
|
| 204,754
|
PetSmart, Inc., 2021 Term Loan B, 1 mo. USD Term SOFR + 3.75%, 9.18%, 2/11/2028 (b)
|
|
| 341,992
|
| 341,637
|
Rent-A-Center, Inc., 2021 First Lien Term Loan B, 3 mo. USD Term SOFR + 3.25%, 9.12%, 2/17/2028 (b)
|
|
| 156,800
|
| 157,028
|
Restoration Hardware, Inc., Term Loan B, 1 mo. USD Term SOFR + 2.50%, 7.94%, 10/20/2028 (b)
|
|
| 125,160
|
| 122,314
|
SRS Distribution, Inc., 2021 Term Loan B, 1 mo. USD Term SOFR + 3.50%, 8.94%, 6/2/2028 (b)
|
|
| 331,434
|
| 334,100
|
Whatabrands LLC, 2021 Term Loan B, 1 mo. USD Term SOFR + 3.25%, 8.58%, 8/3/2028 (b)
|
|
| 314,100
|
| 314,651
|
|
|
|
|
| 2,037,207
|
STEEL-PRODUCERS — 0.0% (d)
|
|
|
|
|
|
Phoenix Services International LLC, 2023 Exit PIK Term Loan, 1 mo. USD Term SOFR + 6.10%, 11.43%, 6/30/2028 (b)
|
|
| 84,915
|
| 80,033
|
TELECOM SERVICES — 0.0% (d)
|
|
|
|
|
|
Connect Finco SARL, 2021 Term Loan B, 1 mo. USD Term SOFR + 3.50%, 8.83%, 12/11/2026 (b)
|
|
| 61,681
|
| 61,696
|
Security Description
|
|
| Principal
Amount
|
| Value
|
TELECOMMUNICATION EQUIP — 0.0% (d)
|
|
|
|
|
|
Cyxtera DC Holdings, Inc., Term Loan B, 12 mo. USD Term SOFR + 0.00%, 5/1/2024 (b) (c)
|
|
| $102,390
|
| $5,256
|
GOGO Intermediate Holdings LLC, Term Loan B, 1 mo. USD Term SOFR + 3.75%, 9.08%, 4/30/2028 (b)
|
|
| 143,189
|
| 143,150
|
|
|
|
|
| 148,406
|
TRANSPORT-SERVICES — 0.0% (d)
|
|
|
|
|
|
Echo Global Logistics, Inc., Term Loan, 1 mo. USD Term SOFR + 3.50%, 8.93%, 11/23/2028 (b)
|
|
| 121,708
|
| 120,274
|
Element Materials Technology Group U.S. Holdings, Inc.:
|
|
|
|
|
|
2022 USD Delayed Draw Term Loan, 3 mo. USD Term SOFR + 4.25%, 9.66%, 7/6/2029 (b)
|
|
| 40,539
|
| 40,624
|
2022 USD Term Loan, 3 mo. USD Term SOFR + 4.25%, 9.66%, 7/6/2029 (b)
|
|
| 87,836
|
| 88,019
|
Endure Digital, Inc., Term Loan, 6 mo. USD Term SOFR + 3.50%, 9.42%, 2/10/2028 (b)
|
|
| 259,646
|
| 253,998
|
Everi Holdings, Inc., 2021 Term Loan B, 1 mo. USD Term SOFR + 2.50%, 7.83%, 8/3/2028 (b)
|
|
| 111,263
|
| 111,632
|
Kenan Advantage Group, Inc., 2024 Term Loan B3, 1 mo. USD Term SOFR + 3.75%, 9.08%, 1/25/2029 (b)
|
|
| 215,000
|
| 215,471
|
LaserShip, Inc.:
|
|
|
|
|
|
2021 2nd Lien Term Loan, 2 mo. USD Term SOFR + 7.50%, 12.73%, 5/7/2029 (b)
|
|
| 40,000
|
| 33,120
|
2021 Term Loan, 3 mo. USD Term SOFR + 4.50%, 10.07%, 5/7/2028 (b)
|
|
| 151,385
|
| 141,432
|
|
|
|
|
| 1,004,570
|
TOTAL SENIOR FLOATING RATE LOANS
(Cost $53,233,449)
|
|
|
|
| 52,985,015
|
See accompanying notes
to Schedule of Investments.
76
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
March 31, 2024 (Unaudited)
Security Description
|
|
| Shares
|
| Value
|
WARRANTS — 0.0% (d)
|
|
|
|
|
|
SINGAPORE — 0.0% (d)
|
|
|
|
|
|
Avation PLC (expiring 10/31/26) (g)
(Cost $0)
|
|
| 4,550
|
| $862
|
|
| Principal
Amount
|
|
U.S. GOVERNMENT AGENCY OBLIGATIONS — 29.4%
|
|
|
|
Federal Home Loan Mortgage Corp.:
|
|
|
|
30 day USD SOFR Average - 2.15%, 2.14%, 12/1/2051 (b)
|
| $11,091,264
| 9,719,034
|
30 day USD SOFR Average + 2.14%, 2.22%, 7/1/2051 (b)
|
| 11,558,921
| 10,196,254
|
3.00%, 6/1/2042
|
| 9,979,122
| 8,901,578
|
3.00%, 11/1/2042
|
| 5,588,122
| 5,012,365
|
3.00%, 12/1/2042
|
| 4,726,563
| 4,170,698
|
3.00%, 1/1/2045
|
| 644,648
| 572,764
|
3.00%, 2/1/2045
|
| 446,763
| 394,921
|
3.00%, 3/1/2045
|
| 444,230
| 392,681
|
3.00%, 4/1/2045
|
| 12,641,295
| 11,216,310
|
3.00%, 8/1/2045
|
| 5,028,585
| 4,445,071
|
3.00%, 12/1/2046
|
| 15,336,646
| 13,556,957
|
3.00%, 7/1/2047
|
| 1,783,075
| 1,573,378
|
3.00%, 10/1/2051
|
| 14,734,459
| 12,848,484
|
3.00%, 3/1/2052
|
| 5,658,712
| 4,873,245
|
3.50%, 2/1/2045
|
| 696,046
| 639,602
|
3.50%, 4/1/2045
|
| 11,036,786
| 10,068,834
|
3.50%, 6/1/2045
|
| 5,609,900
| 5,107,698
|
3.50%, 10/1/2045
|
| 5,722,172
| 5,209,932
|
3.50%, 2/1/2046
|
| 2,907,056
| 2,657,062
|
4.00%, 4/1/2045
|
| 12,983,996
| 12,382,836
|
4.00%, 4/1/2047
|
| 7,646,147
| 7,209,210
|
4.00%, 7/1/2047
|
| 1,906,718
| 1,797,886
|
4.00%, 7/1/2052
|
| 12,978,241
| 12,025,044
|
4.19%, 7/1/2033
|
| 16,202,000
| 15,247,748
|
4.30%, 1/1/2033
|
| 10,000,000
| 9,517,668
|
4.50%, 6/1/2044
|
| 745,100
| 728,437
|
4.80%, 1/1/2030
|
| 17,395,000
| 17,262,480
|
Federal Home Loan Mortgage Corp. REMICS:
|
|
|
|
Series 3852, Class NS, CMO, IO, REMIC, 30 day USD SOFR Average - 5.89%, 0.57%, 5/15/2041 (b)
|
| 2,876,256
| 241,253
|
Series 3889, Class VZ, CMO, REMIC, 4.00%, 7/15/2041
|
| 1,917,195
| 1,807,284
|
Security Description
|
|
| Principal
Amount
|
| Value
|
Series 3935, Class SJ, CMO, IO, REMIC, 30 day USD SOFR Average - 6.54%, 1.22%, 5/15/2041 (b)
|
|
| $333,374
|
| $4,680
|
Series 4165, Class ZT, CMO, REMIC, 3.00%, 2/15/2043
|
|
| 4,514,652
|
| 3,666,856
|
Series 4364, Class ZX, CMO, REMIC, 4.00%, 7/15/2044
|
|
| 25,877,011
|
| 24,452,181
|
Series 4444, Class CZ, CMO, REMIC, 3.00%, 2/15/2045
|
|
| 14,440,767
|
| 12,356,963
|
Series 4471, Class BA, CMO, REMIC, 3.00%, 12/15/2041
|
|
| 474,136
|
| 460,728
|
Series 4471, Class GA, CMO, REMIC, 3.00%, 2/15/2044
|
|
| 3,078,762
|
| 2,848,922
|
Series 4483, Class CA, CMO, REMIC, 3.00%, 6/15/2044
|
|
| 2,903,919
|
| 2,703,380
|
Series 4484, Class CD, CMO, REMIC, 1.75%, 7/15/2030
|
|
| 2,077,905
|
| 1,942,290
|
Series 4492, Class GZ, CMO, REMIC, 3.50%, 7/15/2045
|
|
| 7,281,205
|
| 6,652,307
|
Series 4504, Class CA, CMO, REMIC, 3.00%, 4/15/2044
|
|
| 2,669,124
|
| 2,506,298
|
Series 4533, Class AB, CMO, REMIC, 3.00%, 6/15/2044
|
|
| 2,508,087
|
| 2,341,128
|
Series 4543, Class HG, CMO, REMIC, 2.70%, 4/15/2044
|
|
| 4,488,453
|
| 4,170,595
|
Series 4792, Class A, CMO, REMIC, 3.00%, 5/15/2048
|
|
| 2,700,125
|
| 2,381,472
|
Series 4998, Class KF, 30 day USD SOFR Average + 0.35%, 5.67%, 8/25/2050 (b)
|
|
| 6,832,361
|
| 6,522,221
|
Series 5130, Class SD, CMO, IO, 30 day USD SOFR Average - 2.60%, 0.00%, 8/25/2051 (b)
|
|
| 74,749,751
|
| 559,666
|
Series 5243, Class IB, 3.00%, 1/25/2051
|
|
| 16,527,543
|
| 2,811,832
|
See accompanying notes to Schedule of
Investments.
77
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
March 31, 2024 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
Federal Home Loan Mortgage Corp. STACR REMICS Trust:
|
|
|
|
|
|
Series 2021-HQA4, Class M2, CMO, 30 day USD SOFR Average + 2.35%, 7.67%, 12/25/2041 (a) (b)
|
|
| $5,000,000
|
| $5,014,531
|
Series 2022-DNA2, Class M2, 30 day USD SOFR Average + 3.75%, 9.07%, 2/25/2042 (a) (b)
|
|
| 9,500,000
|
| 9,985,686
|
Series 2022-DNA3, Class M1B, 30 day USD SOFR Average + 2.90%, 8.22%, 4/25/2042 (a) (b)
|
|
| 20,000,000
|
| 20,657,422
|
Federal Home Loan Mortgage Corp. STRIPS Series 326, Class 300, CMO, 3.00%, 3/15/2044
|
|
| 8,848,471
|
| 7,835,917
|
Federal National Mortgage Association:
|
|
|
|
|
|
1.91%, 12/1/2031
|
|
| 10,000,000
|
| 8,172,938
|
1.98%, 10/1/2033
|
|
| 19,374,861
|
| 15,579,264
|
2.50%, 9/1/2046
|
|
| 1,632,803
|
| 1,362,644
|
2.50%, 2/1/2047
|
|
| 4,367,094
|
| 3,725,129
|
2.50%, 6/1/2050
|
|
| 14,327,838
|
| 12,084,072
|
2.50%, 11/1/2050
|
|
| 7,031,179
|
| 5,919,186
|
2.50%, 3/1/2051
|
|
| 25,641,533
|
| 21,645,994
|
2.80%, 11/1/2039
|
|
| 10,034,000
|
| 7,584,989
|
3.00%, 10/1/2041
|
|
| 8,338,109
|
| 7,357,510
|
3.00%, 3/1/2043
|
|
| 2,037,215
|
| 1,817,487
|
3.00%, 7/1/2043
|
|
| 1,998,954
|
| 1,767,819
|
3.00%, 1/1/2045
|
|
| 67,088
|
| 58,738
|
3.00%, 3/1/2045
|
|
| 596,266
|
| 526,384
|
3.00%, 4/1/2045
|
|
| 1,214,641
|
| 1,056,768
|
3.00%, 7/1/2045
|
|
| 10,756,302
|
| 9,596,157
|
3.00%, 10/1/2046
|
|
| 2,137,407
|
| 1,886,038
|
3.00%, 2/1/2047
|
|
| 7,781,261
|
| 6,866,149
|
3.00%, 11/1/2048
|
|
| 4,738,839
|
| 4,181,530
|
3.00%, 10/1/2049
|
|
| 3,307,496
|
| 2,834,918
|
3.00%, 11/1/2051
|
|
| 23,418,692
|
| 20,361,372
|
3.00%, 4/1/2053
|
|
| 9,891,205
|
| 8,616,187
|
3.50%, 12/1/2034
|
|
| 619,581
|
| 589,313
|
3.50%, 2/1/2035
|
|
| 421,630
|
| 400,808
|
3.50%, 1/1/2045
|
|
| 4,764,643
|
| 4,329,061
|
3.50%, 2/1/2045
|
|
| 1,369,239
|
| 1,256,959
|
3.50%, 6/1/2045
|
|
| 5,546,512
|
| 5,043,118
|
3.50%, 11/1/2051
|
|
| 11,559,745
|
| 10,453,037
|
3.88%, 10/1/2030
|
|
| 11,319,009
|
| 10,817,537
|
4.00%, 6/1/2052
|
|
| 11,250,908
|
| 10,416,991
|
4.00%, 12/1/2052
|
|
| 22,627,571
|
| 21,048,808
|
4.10%, 8/1/2032
|
|
| 10,000,000
|
| 9,401,064
|
4.33%, 12/1/2032
|
|
| 10,400,000
|
| 9,930,462
|
4.50%, 3/1/2044
|
|
| 640,531
|
| 625,395
|
4.50%, 6/1/2044
|
|
| 211,001
|
| 206,009
|
Security Description
|
|
| Principal
Amount
|
| Value
|
4.50%, 7/1/2044
|
|
| $266,124
|
| $259,828
|
4.50%, 2/1/2045
|
|
| 428,396
|
| 418,272
|
30 day USD SOFR Average + 2.28%, 4.55%, 3/1/2053 (b)
|
|
| 18,968,247
|
| 18,350,482
|
5.00%, 9/1/2052
|
|
| 8,221,615
|
| 8,034,475
|
5.00%, 12/1/2052
|
|
| 11,145,207
|
| 10,882,867
|
5.13%, 11/1/2032
|
|
| 13,371,000
|
| 13,471,484
|
3.00%, 6/1/2051
|
|
| 14,373,935
|
| 12,489,498
|
Federal National Mortgage Association Connecticut Avenue Securities:
|
|
|
|
|
|
Series 2022-R02, Class 2M2, CMO, 30 day USD SOFR Average + 3.00%, 8.32%, 1/25/2042 (a) (b)
|
|
| 12,000,000
|
| 12,313,873
|
Series 2023-R02, Class 1M2, 30 day USD SOFR Average + 3.35%, 8.67%, 1/25/2043 (a) (b)
|
|
| 13,500,000
|
| 14,216,602
|
Federal National Mortgage Association REMICS:
|
|
|
|
|
|
Series 2010-109, Class N, CMO, REMIC, 3.00%, 10/25/2040
|
|
| 921,231
|
| 856,493
|
Series 2011-51, Class CI, CMO, IO, REMIC, 30 day USD SOFR Average - 5.89%, 0.57%, 6/25/2041 (b)
|
|
| 1,798,126
|
| 129,878
|
Series 2012-127, Class PA, CMO, REMIC, 2.75%, 11/25/2042
|
|
| 1,350,546
|
| 1,232,152
|
Series 2012-148, Class VZ, 3.00%, 1/25/2043
|
|
| 32,183,737
|
| 28,582,974
|
Series 2012-151, Class SB, CMO, REMIC, 30 day USD SOFR Average - 5.83%, 0.00%, 1/25/2043 (b)
|
|
| 20,907
|
| 11,086
|
Series 2013-114, Class HZ, CMO, REMIC, 3.00%, 11/25/2038
|
|
| 19,499,905
|
| 17,590,135
|
Series 2013-18, Class CD, CMO, REMIC, 1.50%, 10/25/2027
|
|
| 409,035
|
| 399,628
|
Series 2013-30, Class PS, CMO, REMIC, 30 day USD SOFR Average - 5.83%, 0.00%, 4/25/2043 (b)
|
|
| 611,451
|
| 386,840
|
Series 2014-21, Class GZ, CMO, REMIC, 3.00%, 4/25/2044
|
|
| 3,395,868
|
| 2,972,596
|
Series 2014-39, Class ZA, CMO, REMIC, 3.00%, 7/25/2044
|
|
| 4,086,646
|
| 3,598,882
|
See accompanying notes to Schedule of
Investments.
78
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
March 31, 2024 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
Series 2015-42, Class CA, CMO, REMIC, 3.00%, 3/25/2044
|
|
| $1,887,373
|
| $1,755,404
|
Series 2016-32, Class LA, CMO, REMIC, 3.00%, 10/25/2044
|
|
| 3,056,277
|
| 2,846,410
|
Series 2016-72, Class PA, CMO, REMIC, 3.00%, 7/25/2046
|
|
| 3,418,440
|
| 3,022,088
|
Series 2016-81, Class PA, CMO, REMIC, 3.00%, 2/25/2044
|
|
| 1,276,372
|
| 1,231,428
|
Series 2016-92, Class A, CMO, REMIC, 3.00%, 4/25/2042
|
|
| 2,968,736
|
| 2,858,005
|
Series 2017-87, Class BA, CMO, REMIC, 3.00%, 12/25/2042
|
|
| 252,852
|
| 251,018
|
Series 2020-1, Class LA, 4.00%, 2/25/2060
|
|
| 12,839,665
|
| 10,876,248
|
Series 2020-47, Class GL, CMO, 2.00%, 5/25/2046
|
|
| 8,121,853
|
| 6,961,022
|
Series 2021-29, Class BA, CMO, 1.25%, 5/25/2041
|
|
| 8,356,640
|
| 7,228,954
|
Federal National Mortgage Association-Aces Series 2020-M12, 1.28%, 7/25/2029 (b)
|
|
| 98,270,412
|
| 5,027,290
|
Government National Mortgage Association:
|
|
|
|
|
|
2.50%, 3/20/2051
|
|
| 8,363,989
|
| 7,051,858
|
3.00%, 2/20/2052
|
|
| 22,188,953
|
| 19,365,951
|
Series 2021-143, IO, VRN, 0.97%, 10/16/2063 (b)
|
|
| 82,449,873
|
| 5,190,582
|
Series 2021-40, IO, VRN, 0.82%, 2/16/2063 (b)
|
|
| 71,437,296
|
| 4,064,261
|
Series 2021-57, Class AI, 2.00%, 2/20/2051
|
|
| 8,314,392
|
| 930,000
|
Series 2021-60, IO, VRN, 0.83%, 5/16/2063 (b)
|
|
| 55,524,442
|
| 3,186,025
|
Series 2021-79, IO, 0.88%, 8/16/2063 (b)
|
|
| 79,971,719
|
| 4,884,251
|
Series 2021-80, IO, VRN, 0.90%, 12/16/2062 (b)
|
|
| 87,241,108
|
| 5,398,767
|
Series 2021-85, IO, VRN, 0.68%, 3/16/2063 (b)
|
|
| 99,058,876
|
| 5,257,404
|
Series 2021-99, IO, VRN, 0.59%, 5/16/2061 (b)
|
|
| 41,092,373
|
| 1,968,549
|
Series 2022-91, 0.43%, 7/16/2064 (b)
|
|
| 80,916,521
|
| 3,987,827
|
Government National Mortgage Association REMICS:
|
|
|
|
|
|
Series 2013-34, Class PL, CMO, REMIC, 3.00%, 3/20/2042
|
|
| 830,837
|
| 801,068
|
Security Description
|
|
| Principal
Amount
|
| Value
|
Series 2014-43, Class PS, CMO, IO, REMIC, 1 mo. USD Term SOFR - 6.07%, 0.74%, 7/20/2042 (b)
|
|
| $1,080,741
|
| $18,126
|
Series 2020-116, Class HS, CMO, IO, 1 mo. USD Term SOFR - 6.09%, 0.76%, 8/20/2050 (b)
|
|
| 6,719,791
|
| 798,250
|
Series 2020-173, Class SY, CMO, IO, 1 mo. USD Term SOFR - 6.19%, 0.86%, 11/20/2050 (b)
|
|
| 24,466,145
|
| 3,084,612
|
Series 2020-173, Class TI, CMO, IO, 2.00%, 11/20/2050
|
|
| 30,318,722
|
| 3,319,798
|
Series 2020-176, Class SL, CMO, IO, 1 mo. USD Term SOFR - 4.89%, 0.00%, 11/20/2050 (b)
|
|
| 8,317,017
|
| 573,770
|
Series 2020-185, Class SE, CMO, IO, 1 mo. USD Term SOFR - 6.19%, 0.86%, 12/20/2050 (b)
|
|
| 29,823,646
|
| 3,693,137
|
Series 2021-1, Class IH, 2.50%, 1/20/2051
|
|
| 36,850,817
|
| 5,112,266
|
Series 2021-118, Class EI, 2.50%, 7/20/2051
|
|
| 14,661,179
|
| 1,446,346
|
Series 2021-125, Class SN, CMO, IO, 1 mo. USD Term SOFR - 4.09%, 0.00%, 1/20/2051 (b)
|
|
| 7,612,763
|
| 238,951
|
Series 2021-137, Class IQ, 3.00%, 8/20/2051
|
|
| 20,383,121
|
| 3,282,902
|
Series 2021-196, Class IM, 3.00%, 11/20/2051
|
|
| 27,097,432
|
| 4,364,937
|
Series 2021-196, Class UI, IO, 3.00%, 11/20/2051
|
|
| 41,080,393
|
| 5,417,206
|
Series 2021-30, Class KI, 3.00%, 2/20/2051
|
|
| 8,285,364
|
| 1,213,448
|
Series 2021-44, Class IQ, 3.00%, 3/20/2051
|
|
| 15,283,511
|
| 2,473,021
|
Series 2021-8, Class KX, 3.00%, 1/20/2051
|
|
| 10,614,891
|
| 1,698,276
|
Series 2022-180, 2.50%, 6/20/2051
|
|
| 41,994,160
|
| 5,739,790
|
Series 2022-61, Class EI, 3.00%, 7/20/2051
|
|
| 3,540,170
|
| 571,079
|
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS
(Cost $909,691,941)
|
|
|
|
| 830,559,994
|
U.S. TREASURY OBLIGATIONS — 17.0%
|
|
|
|
|
|
U.S. Treasury Bonds:
|
|
|
|
|
|
4.25%, 2/15/2054
|
|
| 242,000,000
|
| 238,180,937
|
See accompanying notes to Schedule of
Investments.
79
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
March 31, 2024 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
4.75%, 11/15/2053
|
|
| $227,000,000
|
| $242,464,375
|
TOTAL U.S. TREASURY OBLIGATIONS
(Cost $470,278,227)
|
|
|
|
| 480,645,312
|
MORTGAGE-BACKED SECURITIES — 17.3%
|
|
|
|
|
|
American Home Mortgage Investment Trust Series 2007-1, Class GA1C, 1 mo. USD Term SOFR + 0.30%, 5.63%, 5/25/2047 (b)
|
|
| 5,063,400
|
| 2,703,618
|
Banc of America Funding Trust:
|
|
|
|
|
|
Series 2006-8T2, Class A4, CMO, 6.33%, 10/25/2036 (f)
|
|
| 1,565,302
|
| 1,339,572
|
Series 2007-5, Class CA1, CMO, 6.00%, 7/25/2037
|
|
| 2,966,144
|
| 2,385,774
|
BBCMS Mortgage Trust:
|
|
|
|
|
|
Series 2022-C18, Class XD, 2.15%, 12/15/2055 (a) (b)
|
|
| 12,094,000
|
| 1,737,856
|
Series 2023-C19, Class A5, 5.45%, 4/15/2056
|
|
| 1,700,000
|
| 1,748,107
|
BCAP LLC Trust Series 2010-RR4, Class 3212, CMO, 5.81%, 1/26/2037 (a) (b)
|
|
| 5,286,037
|
| 3,966,534
|
BRAVO Residential Funding Trust:
|
|
|
|
|
|
Series 2022-NQM3, Class A1, 5.11%, 7/25/2062 (a) (b)
|
|
| 3,269,890
|
| 3,314,507
|
Series 2023-NQM4, Class A1, 6.44%, 5/25/2063 (a) (f)
|
|
| 10,940,635
|
| 10,990,461
|
ChaseFlex Trust Series 2007-3, Class 1A2, CMO , IO, 1 mo. USD Term SOFR + 0.57%, 5.90%, 7/25/2037 (b)
|
|
| 7,701,525
|
| 2,045,490
|
CHL Mortgage Pass-Through Trust:
|
|
|
|
|
|
Series 2005-J2, Class 3A14, CMO, 5.50%, 8/25/2035
|
|
| 643,696
|
| 484,231
|
Series 2007-10, Class A4, 5.50%, 7/25/2037
|
|
| 3,443,591
|
| 1,542,166
|
Series 2007-12, Class A9, CMO, 5.75%, 8/25/2037
|
|
| 2,092,236
|
| 1,221,908
|
Series 2007-3, Class A1, 6.00%, 4/25/2037
|
|
| 2,897,713
|
| 1,471,826
|
Series 2007-HYB1, Class 2A1, CMO, 4.05%, 3/25/2037 (b)
|
|
| 924,813
|
| 790,003
|
CIM Trust Series 2023-R4, Class A1, 5.00%, 5/25/2062 (a) (b)
|
|
| 9,059,942
|
| 8,770,088
|
Security Description
|
|
| Principal
Amount
|
| Value
|
Citigroup Mortgage Loan Trust, Inc.:
|
|
|
|
|
|
Series 2007-10, Class 2A2A, CMO, 4.50%, 9/25/2037 (b)
|
|
| $1,885,477
|
| $1,531,576
|
Series 2007-AR4, Class 1A1A, CMO, 4.69%, 3/25/2037 (b)
|
|
| 1,130,444
|
| 939,136
|
Series 2007-AR5, Class 1A2A, CMO, 4.91%, 4/25/2037 (b)
|
|
| 465,197
|
| 404,283
|
Series 2021-JL1, Class A, 2.75%, 2/27/2062 (a) (b)
|
|
| 685,355
|
| 644,753
|
CitiMortgage Alternative Loan Trust:
|
|
|
|
|
|
Series 2007-A1, Class 1A7, CMO, 6.00%, 1/25/2037
|
|
| 3,323,582
|
| 2,753,180
|
Series 2007-A3, Class 1A4, 5.75%, 3/25/2037
|
|
| 2,657,506
|
| 2,124,025
|
COLT Mortgage Loan Trust:
|
|
|
|
|
|
Series 2022-2, Class A1, 2.99%, 2/25/2067 (a) (f)
|
|
| 15,218,526
|
| 13,735,153
|
Series 2022-3, Class M1, 4.22%, 2/25/2067 (a) (b)
|
|
| 10,023,000
|
| 7,750,436
|
Series 2023-1, Class A1, 6.05%, 4/25/2068 (a) (f)
|
|
| 8,310,848
|
| 8,272,826
|
COMM Mortgage Trust Series 2014-CR18, Class B, 4.46%, 7/15/2047 (b)
|
|
| 1,829,000
|
| 1,805,550
|
Countrywide Alternative Loan Trust:
|
|
|
|
|
|
Series 2005-21CB, Class A3, CMO, 5.25%, 6/25/2035
|
|
| 1,508,561
|
| 1,143,436
|
Series 2005-54CB, Class 1A1, 1 mo. USD Term SOFR + 0.76%, 5.50%, 11/25/2035 (b)
|
|
| 4,877,202
|
| 3,577,731
|
Series 2005-79CB, Class A4, CMO, 5.50%, 1/25/2036
|
|
| 2,952,099
|
| 1,724,476
|
Series 2006-24CB, Class A9, CMO, 6.00%, 8/25/2036
|
|
| 2,452,669
|
| 1,362,620
|
Series 2006-43CB, Class 1A12, CMO, 5.75%, 2/25/2037
|
|
| 2,231,126
|
| 1,158,983
|
Series 2006-OA2, Class A1, CMO, 1 mo. USD Term SOFR + 0.53%, 5.86%, 5/20/2046 (b)
|
|
| 1,611,027
|
| 1,374,194
|
Series 2007-16CB, Class 2A1, 1 mo. USD Term SOFR + 0.56%, 5.89%, 8/25/2037 (b)
|
|
| 6,476,508
|
| 2,252,530
|
CSMC Mortgage-Backed Trust Series 2006-7, Class 7A7, CMO, 6.00%, 8/25/2036
|
|
| 1,164,734
|
| 1,037,480
|
See accompanying notes to Schedule of
Investments.
80
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
March 31, 2024 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
CSMC Trust:
|
|
|
|
|
|
Series 2021-JR2, Class A1, 2.22%, 11/25/2061 (a) (b)
|
|
| $4,869,983
|
| $4,735,163
|
Series 2022-JR1, Class A1, 4.27%, 10/25/2066 (a) (f)
|
|
| 7,011,811
|
| 6,887,173
|
CSMC Trust Capital Certificates Series 2021-RPL9, Class A1, 2.44%, 2/25/2061 (a) (b)
|
|
| 4,689,274
|
| 4,529,201
|
Deephaven Residential Mortgage Trust Series 2022-2, Class A1, 4.30%, 3/25/2067 (a) (b)
|
|
| 4,287,819
|
| 4,088,578
|
Deutsche Alt-A Securities, Inc. Mortgage Loan Trust Series 2007-AR3, Class 1A4, 1 mo. USD Term SOFR + 0.75%, 6.08%, 6/25/2037 (b)
|
|
| 3,168,356
|
| 2,623,407
|
Ellington Financial Mortgage Trust Series 2022-3, Class A1, 5.00%, 8/25/2067 (a) (f)
|
|
| 5,374,937
|
| 5,279,205
|
Federal Home Loan Mortgage Corp. REMICS:
|
|
|
|
|
|
Series 4341, Class AZ, 3.00%, 5/15/2044
|
|
| 10,399,424
|
| 9,083,662
|
Series 4432, Class JZ, 3.00%, 1/15/2045
|
|
| 4,079,845
|
| 3,486,681
|
Series 4795, Class ZM, 3.50%, 6/15/2048
|
|
| 10,186,756
|
| 9,106,834
|
Series 5164, Class J, 2.50%, 5/25/2049
|
|
| 20,406,142
|
| 17,444,603
|
Series 5202, Class KA, 2.50%, 6/25/2049
|
|
| 9,256,047
|
| 8,043,299
|
Series 5202, Class NV, 3.00%, 1/25/2037
|
|
| 7,469,759
|
| 6,705,951
|
Series 5226, Class DL, 3.50%, 12/15/2045
|
|
| 10,784,002
|
| 9,201,526
|
Series 5319, 0.00%, 8/25/2050
|
|
| 11,056,018
|
| 8,021,435
|
Federal National Mortgage Association REMICS:
|
|
|
|
|
|
Series 2010-152, Class DE, 4.50%, 1/25/2041
|
|
| 15,826,900
|
| 15,385,252
|
Series 2013-110, Class CO, 0.00%, 12/25/2039
|
|
| 3,219,629
|
| 2,519,596
|
Series 2013-110, Class DO, 0.00%, 11/25/2043
|
|
| 2,683,514
|
| 2,031,437
|
Series 2017-90, Class WF, 30 day USD SOFR Average + 0.46%, 5.78%, 11/25/2047 (b)
|
|
| 7,218,179
|
| 7,003,114
|
Series 2018-91, Class PB, 4.00%, 12/25/2048
|
|
| 6,434,400
|
| 5,843,656
|
Series 2021-57, Class EA, 1.00%, 5/25/2046
|
|
| 6,550,915
|
| 5,165,002
|
Series 2021-86, Class MA, 2.50%, 11/25/2047
|
|
| 10,903,760
|
| 9,537,767
|
Security Description
|
|
| Principal
Amount
|
| Value
|
Series 2021-9, Class CA, 2.00%, 3/25/2051
|
|
| $11,566,134
|
| $9,473,547
|
Series 2023-36, 2.50%, 10/25/2052
|
|
| 37,360,285
|
| 5,311,113
|
Series 2023-43, Class HO, 0.00%, 8/25/2049
|
|
| 8,683,632
|
| 6,396,388
|
Federal National Mortgage Association-Aces Series 2022-M13, Class A1, 2.59%, 4/25/2032 (b)
|
|
| 21,202,846
|
| 19,405,506
|
First Horizon Alternative Mortgage Securities Trust:
|
|
|
|
|
|
Series 2007-FA4, Class 1A4, 6.25%, 8/25/2037
|
|
| 2,700,867
|
| 1,087,663
|
Series 2007-FA4, Class 1A7, 6.00%, 8/25/2037
|
|
| 1,890,919
|
| 735,075
|
Government National Mortgage Association REMICS:
|
|
|
|
|
|
Series 2010-158, Class FA, 1 mo. USD Term SOFR + 0.56%, 5.89%, 12/20/2040 (b)
|
|
| 3,162,415
|
| 3,107,995
|
Series 2016-99, Class LA, 2.00%, 11/20/2043
|
|
| 8,530,547
|
| 7,068,795
|
Series 2018-42, Class ML, 3.50%, 3/20/2048
|
|
| 7,615,943
|
| 6,919,409
|
Series 2018-91, Class FC, 1 mo. USD Term SOFR + 0.41%, 5.74%, 7/20/2048 (b)
|
|
| 2,931,161
|
| 2,834,230
|
Series 2019-6, Class LA, 3.50%, 12/20/2048
|
|
| 5,787,786
|
| 5,323,524
|
Series 2020-129, Class YI, 2.50%, 9/20/2050
|
|
| 10,339,874
|
| 1,298,113
|
Series 2020-181, Class QI, 3.00%, 12/20/2050
|
|
| 7,832,333
|
| 1,002,912
|
Series 2020-84, Class NT, 1.25%, 6/20/2050
|
|
| 4,371,584
|
| 3,279,657
|
Series 2021-139, Class IP, 3.00%, 8/20/2051
|
|
| 24,543,349
|
| 3,632,368
|
Series 2021-142, 3.00%, 8/20/2051
|
|
| 21,738,686
|
| 3,495,947
|
GS Mortgage Securities Trust Series 2015-GS1, Class AS, 4.04%, 11/10/2048 (b)
|
|
| 1,958,000
|
| 1,784,153
|
GSR Mortgage Loan Trust:
|
|
|
|
|
|
Series 2006-OA1, Class 1A1, CMO, 1 mo. USD Term SOFR + 0.55%, 5.88%, 8/25/2046 (b)
|
|
| 13,876,872
|
| 3,163,927
|
Series 2007-AR1, Class 2A1, 4.31%, 3/25/2047 (b)
|
|
| 4,122,655
|
| 2,583,779
|
HOMES Trust Series 2023-NQM1, Class A1, 6.18%, 1/25/2068 (a) (f)
|
|
| 6,164,333
|
| 6,153,185
|
See accompanying notes to Schedule of
Investments.
81
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
March 31, 2024 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
IndyMac IMJA Mortgage Loan Trust Series 2007-A4, Class A1, CMO, 6.25%, 2/25/2038
|
|
| $21,630,565
|
| $5,530,845
|
IndyMac INDX Mortgage Loan Trust Series 2006-AR3, Class 3A1B, CMO, 3.53%, 4/25/2036 (b)
|
|
| 1,088,291
|
| 1,018,881
|
Legacy Mortgage Asset Trust Series 2020-SL1, Class M, 3.25%, 1/25/2060 (a) (b)
|
|
| 8,630,932
|
| 8,421,533
|
Lehman XS Trust Series 2006-GP2, Class 1A4, 1 mo. USD Term SOFR + 0.77%, 6.10%, 6/25/2046 (b)
|
|
| 5,590,924
|
| 3,920,745
|
Luminent Mortgage Trust Series 2007-1, Class 1A1, CMO, 1 mo. USD Term SOFR + 0.43%, 5.76%, 11/25/2036 (b)
|
|
| 6,526,278
|
| 5,606,725
|
MFA Trust Series 2023-NQM3, Class A1, 6.62%, 7/25/2068 (a) (f)
|
|
| 295,093
|
| 296,205
|
Morgan Stanley Resecuritization Trust Series 2014-R7, Class B2, CMO, 4.17%, 1/26/2051 (a) (b)
|
|
| 15,003,103
|
| 13,842,529
|
Morgan Stanley Residential Mortgage Loan Trust Series 2020-RPL1, Class A1, CMO, VRN, 5.69%, 10/25/2060 (a) (b)
|
|
| 608,876
|
| 588,327
|
NRPL Trust Series 2019-3A, Class A1, CMO, 7.00%, 7/25/2059 (a) (f)
|
|
| 2,775,779
|
| 2,776,300
|
OBX Trust:
|
|
|
|
|
|
Series 2023-NQM3, Class A1, 5.95%, 2/25/2063 (a) (f)
|
|
| 56,585
|
| 56,346
|
Series 2023-NQM4, Class A1, 6.11%, 3/25/2063 (a) (f)
|
|
| 507,184
|
| 508,043
|
PMT Credit Risk Transfer Trust Series 2019-2R, Class A, 1 mo. USD Term SOFR + 3.86%, 9.20%, 5/30/2025 (a) (b)
|
|
| 1,110,079
|
| 1,110,625
|
PRPM LLC:
|
|
|
|
|
|
Series 2020-6, Class A1, CMO, 5.36%, 11/25/2025 (a) (f)
|
|
| 2,616,606
|
| 2,607,683
|
Series 2022-1, Class A1, 3.72%, 2/25/2027 (a) (f)
|
|
| 13,250,646
|
| 12,870,127
|
Series 2022-5, Class A1, 6.90%, 9/27/2027 (a) (f)
|
|
| 5,808,486
|
| 5,811,425
|
RBSGC Mortgage Loan Trust Series 2007-A, Class 2A2, 6.00%, 1/25/2037
|
|
| 2,500,131
|
| 2,159,638
|
Security Description
|
|
| Principal
Amount
|
| Value
|
Residential Accredit Loans, Inc. Trust:
|
|
|
|
|
|
Series 2005-QA7, Class A22, CMO, 5.09%, 7/25/2035 (b)
|
|
| $1,611,971
|
| $1,540,080
|
Series 2005-QS13, Class 2A4, 5.75%, 9/25/2035
|
|
| 2,973,391
|
| 2,493,389
|
Residential Asset Securitization Trust Series 2005-A16, Class A3, 6.00%, 2/25/2036
|
|
| 3,015,043
|
| 1,234,876
|
Seasoned Credit Risk Transfer Trust:
|
|
|
|
|
|
Series 2019-4, Class MV, 3.00%, 2/25/2059
|
|
| 15,195,622
|
| 12,859,247
|
Series 2020-2, Class MT, CMO, 2.00%, 11/25/2059
|
|
| 5,963,003
|
| 4,687,035
|
Series 2020-3, Class MT, CMO, 2.00%, 5/25/2060
|
|
| 9,720,013
|
| 7,651,914
|
Structured Adjustable Rate Mortgage Loan Trust Series 2006-8, Class 4A3, CMO, 3.25%, 9/25/2036 (b)
|
|
| 114,547
|
| 114,547
|
Structured Asset Mortgage Investments II Trust:
|
|
|
|
|
|
Series 2004-AR3, Class M, CMO, 1 mo. USD Term SOFR + 0.79%, 6.12%, 7/19/2034 (b)
|
|
| 822,313
|
| 809,249
|
Series 2007-AR3, Class 1A3, 1 mo. USD Term SOFR + 0.53%, 5.86%, 9/25/2047 (b)
|
|
| 6,642,204
|
| 4,653,688
|
TBW Mortgage-Backed Trust Series 2006-6, Class A2B, 6.16%, 1/25/2037 (f)
|
|
| 10,378,798
|
| 2,508,277
|
UBS Commercial Mortgage Trust Series 2018-C8, Class C, 4.68%, 2/15/2051 (b)
|
|
| 1,969,000
|
| 1,760,094
|
Verus Securitization Trust:
|
|
|
|
|
|
Series 2022-3, Class A1, 4.13%, 2/25/2067 (a) (f)
|
|
| 15,842,376
|
| 14,841,964
|
Series 2023-3, Class A1, 5.93%, 3/25/2068 (a) (f)
|
|
| 4,277,163
|
| 4,251,635
|
Series 2023-4, Class A1, 5.81%, 5/25/2068 (a) (f)
|
|
| 9,333,092
|
| 9,266,035
|
Series 2023-INV1, Class A1, 6.00%, 2/25/2068 (a) (f)
|
|
| 68,730
|
| 68,408
|
WaMu Mortgage Pass-Through Certificates Trust Series 2006-AR14, Class 1A5, 4.02%, 11/25/2036 (b)
|
|
| 3,085,783
|
| 2,710,553
|
Washington Mutual Mortgage Pass-Through Certificates WMALT Trust:
|
|
|
|
|
|
Series 2005-8, Class 2CB1, CMO, 5.50%, 10/25/2035
|
|
| 614,222
|
| 591,126
|
See accompanying notes to Schedule of
Investments.
82
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
March 31, 2024 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
Series 2006-1, Class 4CB, 6.50%, 2/25/2036
|
|
| $4,519,813
|
| $3,520,610
|
Series 2006-5, Class 3A2, CMO, 6.50%, 7/25/2036 (f)
|
|
| 2,475,538
|
| 544,266
|
Series 2006-AR9, Class 2A, 12 mo. MTA + 0.84%, 5.93%, 11/25/2046 (b)
|
|
| 2,712,337
|
| 2,054,137
|
Series 2007-2, Class 1A3, CMO, 6.00%, 4/25/2037
|
|
| 3,524,253
|
| 2,827,027
|
Series 2007-HY1, Class A3A, CMO, 1 mo. USD Term SOFR + 0.57%, 5.90%, 2/25/2037 (b)
|
|
| 3,851,505
|
| 2,806,030
|
Wells Fargo Mortgage-Backed Securities Trust Series 2007-AR4, Class A1, CMO, 5.79%, 8/25/2037 (b)
|
|
| 591,193
|
| 577,318
|
TOTAL MORTGAGE-BACKED SECURITIES
(Cost $522,195,640)
|
|
|
|
| 490,381,819
|
COMMERCIAL MORTGAGE BACKED SECURITIES — 3.4%
|
|
|
|
|
|
BAMLL Commercial Mortgage Securities Trust Series 2018-DSNY, Class A, 1 mo. USD Term SOFR + 1.15%, 6.47%, 9/15/2034 (a) (b)
|
|
| 720,000
|
| 719,899
|
Bank:
|
|
|
|
|
|
Series 2017-BNK4, Class XA, IO, 1.34%, 5/15/2050 (b)
|
|
| 24,265,209
|
| 765,187
|
Series 2017-BNK6, Class XA, IO, 0.77%, 7/15/2060 (b)
|
|
| 47,544,917
|
| 1,028,330
|
Series 2021-BN35, Class XA, IO, VRN, 1.04%, 6/15/2064 (b)
|
|
| 9,137,765
|
| 474,419
|
Benchmark Mortgage Trust:
|
|
|
|
|
|
Series 2018-B2, Class C, VRN, 4.29%, 2/15/2051 (b)
|
|
| 2,545,000
|
| 2,151,151
|
Series 2020-B19, Class XA, IO, VRN, 1.76%, 9/15/2053 (b)
|
|
| 19,765,315
|
| 1,228,849
|
Series 2021-B24, Class XA, IO, VRN, 1.15%, 3/15/2054 (b)
|
|
| 3,376,251
|
| 167,032
|
BX Commercial Mortgage Trust:
|
|
|
|
|
|
Series 2020-VKNG, Class A, 1 mo. USD Term SOFR + 1.04%, 6.37%, 10/15/2037 (a) (b)
|
|
| 1,473,360
|
| 1,470,014
|
Security Description
|
|
| Principal
Amount
|
| Value
|
Series 2021-VOLT, Class E, 1 mo. USD Term SOFR + 2.11%, 7.44%, 9/15/2036 (a) (b)
|
|
| $1,923,000
|
| $1,897,381
|
Series 2021-XL2, Class E, 1 mo. USD Term SOFR + 1.96%, 7.29%, 10/15/2038 (a) (b)
|
|
| 2,253,523
|
| 2,228,618
|
BX Trust Series 2019-OC11, Class E, 3.94%, 12/9/2041 (a) (b)
|
|
| 3,830,000
|
| 3,299,796
|
CD Mortgage Trust Series 2017-CD4, Class XA, IO, 1.22%, 5/10/2050 (b)
|
|
| 13,115,407
|
| 386,769
|
CFCRE Commercial Mortgage Trust Series 2016-C4, Class XA, IO, 1.60%, 5/10/2058 (b)
|
|
| 9,501,587
|
| 215,010
|
Citigroup Commercial Mortgage Trust:
|
|
|
|
|
|
Series 2015-GC27, Class C, VRN, 4.42%, 2/10/2048 (b)
|
|
| 2,541,000
|
| 2,395,895
|
Series 2015-GC27, Class D, 4.42%, 2/10/2048 (a) (b)
|
|
| 423,700
|
| 388,214
|
Series 2015-GC31, Class C, 4.03%, 6/10/2048 (b)
|
|
| 1,500,000
|
| 1,186,179
|
Series 2015-GC33, Class C, 4.57%, 9/10/2058 (b)
|
|
| 1,500,000
|
| 1,217,741
|
Series 2015-P1, Class A5, 3.72%, 9/15/2048
|
|
| 2,106,000
|
| 2,048,064
|
Series 2016-C1, Class A4, 3.21%, 5/10/2049
|
|
| 1,840,000
|
| 1,755,432
|
Series 2016-GC36, Class XA, IO, 1.21%, 2/10/2049 (b)
|
|
| 19,029,374
|
| 326,379
|
Series 2020-555, Class E, 3.50%, 12/10/2041 (a) (b)
|
|
| 2,047,000
|
| 1,688,750
|
COMM Mortgage Trust:
|
|
|
|
|
|
Series 2013-CR12, Class XA, IO, 0.56%, 10/10/2046 (b)
|
|
| 2,656,961
|
| 9,504
|
Series 2015-CR22, Class XA, IO, 0.81%, 3/10/2048 (b)
|
|
| 7,031,610
|
| 35,887
|
Series 2015-CR26, Class XA, IO, 0.89%, 10/10/2048 (b)
|
|
| 18,164,461
|
| 158,830
|
Series 2015-DC1, Class A5, 3.35%, 2/10/2048
|
|
| 1,767,000
|
| 1,730,829
|
Series 2015-DC1, Class XA, IO, 0.93%, 2/10/2048 (b)
|
|
| 5,358,727
|
| 31,010
|
Series 2016-DC2, Class XA, IO, 0.91%, 2/10/2049 (b)
|
|
| 13,866,147
|
| 168,472
|
Series 2017-PANW, Class E, 3.81%, 10/10/2029 (a) (b)
|
|
| 2,316,000
|
| 2,013,379
|
See accompanying notes to Schedule of
Investments.
83
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
March 31, 2024 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
CSAIL Commercial Mortgage Trust:
|
|
|
|
|
|
Series 2015-C2, Class AS, 3.85%, 6/15/2057 (b)
|
|
| $900,000
|
| $846,269
|
Series 2015-C4, Class XA, IO, 0.80%, 11/15/2048 (b)
|
|
| 30,399,251
|
| 262,493
|
Series 2017-CX10, Class XA, IO, 0.75%, 11/15/2050 (b)
|
|
| 54,564,697
|
| 1,020,275
|
Series 2019-C17, Class XA, IO, VRN, 1.32%, 9/15/2052 (b)
|
|
| 28,915,321
|
| 1,493,694
|
CSMC Trust:
|
|
|
|
|
|
Series 2017-TIME, Class A, 3.65%, 11/13/2039 (a)
|
|
| 2,977,000
|
| 2,487,805
|
Series 2020-NET, Class A, 2.26%, 8/15/2037 (a)
|
|
| 2,305,168
|
| 2,143,454
|
Series 2021-B33, Class A1, 3.05%, 10/10/2043 (a)
|
|
| 632,000
|
| 578,885
|
Series 2021-B33, Class A2, 3.17%, 10/10/2043 (a)
|
|
| 2,250,000
|
| 1,894,964
|
DOLP Trust Series 2021-NYC, Class E, VRN, 3.70%, 5/10/2041 (a) (b)
|
|
| 1,000,000
|
| 670,860
|
Grace Trust Series 2020-GRCE, Class D, VRN, 2.68%, 12/10/2040 (a) (b)
|
|
| 1,147,000
|
| 869,519
|
Great Wolf Trust:
|
|
|
|
|
|
Series 2019-WOLF, Class E, 1 mo. USD Term SOFR + 3.05%, 8.37%, 12/15/2036 (a) (b)
|
|
| 76,765
|
| 76,501
|
Series 2019-WOLF, Class F, 1 mo. USD Term SOFR + 3.45%, 8.77%, 12/15/2036 (a) (b)
|
|
| 76,765
|
| 75,257
|
GS Mortgage Securities Corp. Trust:
|
|
|
|
|
|
Series 2018-TWR, Class A, 1 mo. USD Term SOFR + 1.20%, 6.52%, 7/15/2031 (a) (b)
|
|
| 283,000
|
| 242,387
|
Series 2018-TWR, Class D, 1 mo. USD Term SOFR + 1.90%, 7.22%, 7/15/2031 (a) (b)
|
|
| 650,000
|
| 260,000
|
Series 2018-TWR, Class E, 1 mo. USD Term SOFR + 2.40%, 7.72%, 7/15/2031 (a) (b)
|
|
| 650,000
|
| 195,000
|
Series 2018-TWR, Class F, 1 mo. USD Term SOFR + 3.10%, 8.42%, 7/15/2031 (a) (b)
|
|
| 650,000
|
| 126,750
|
Series 2018-TWR, Class G, 1 mo. USD Term SOFR + 4.22%, 9.55%, 7/15/2031 (a) (b)
|
|
| 650,000
|
| 26,000
|
Security Description
|
|
| Principal
Amount
|
| Value
|
GS Mortgage Securities Trust:
|
|
|
|
|
|
Series 2014-GC24, Class XA, IO, 0.67%, 9/10/2047 (b)
|
|
| $22,024,152
|
| $36,593
|
Series 2014-GC26, Class A5, 3.63%, 11/10/2047
|
|
| 1,749,000
|
| 1,721,827
|
Series 2015-GC32, Class XA, IO, 0.68%, 7/10/2048 (b)
|
|
| 19,896,444
|
| 129,842
|
Series 2015-GC34, Class A4, 3.51%, 10/10/2048
|
|
| 1,880,000
|
| 1,796,761
|
Series 2015-GC34, Class XA, IO, 1.19%, 10/10/2048 (b)
|
|
| 14,065,915
|
| 199,087
|
Series 2015-GS1, Class XA, IO, 0.75%, 11/10/2048 (b)
|
|
| 24,571,882
|
| 234,620
|
Series 2016-GS3, Class XA, IO, 1.19%, 10/10/2049 (b)
|
|
| 23,141,402
|
| 504,941
|
Series 2017-GS7, Class XA, IO, 1.08%, 8/10/2050 (b)
|
|
| 38,347,071
|
| 995,751
|
IMT Trust Series 2017-APTS, Class AFX, 3.48%, 6/15/2034 (a)
|
|
| 2,046,000
|
| 2,029,085
|
JP Morgan Chase Commercial Mortgage Securities Trust:
|
|
|
|
|
|
Series 2014-C20, Class B, 4.40%, 7/15/2047 (b)
|
|
| 3,000,000
|
| 2,984,443
|
Series 2015-JP1, Class XA, IO, 0.88%, 1/15/2049 (b)
|
|
| 13,834,762
|
| 166,825
|
Series 2016-JP3, Class B, VRN, 3.40%, 8/15/2049 (b)
|
|
| 2,899,000
|
| 2,468,926
|
Series 2022-NLP, Class A, 1 mo. USD Term SOFR + 0.60%, 5.92%, 4/15/2037 (a) (b)
|
|
| 2,313,783
|
| 2,201,940
|
JPMBB Commercial Mortgage Securities Trust:
|
|
|
|
|
|
Series 2014-C21, Class B, VRN, 4.34%, 8/15/2047 (b)
|
|
| 1,055,000
|
| 1,007,544
|
Series 2014-C23, Class A4, 3.67%, 9/15/2047
|
|
| 1,409,113
|
| 1,397,991
|
Series 2014-C25, Class XA, IO, 0.79%, 11/15/2047 (b)
|
|
| 4,306,787
|
| 14,032
|
Series 2015-C28, Class XA, IO, 0.91%, 10/15/2048 (b)
|
|
| 7,533,160
|
| 38,324
|
Series 2015-C30, Class XA, IO, 0.42%, 7/15/2048 (b)
|
|
| 21,077,236
|
| 89,420
|
Series 2015-C31, Class A3, 3.80%, 8/15/2048
|
|
| 876,109
|
| 850,281
|
See accompanying notes to Schedule of
Investments.
84
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
March 31, 2024 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
JPMDB Commercial Mortgage Securities Trust Series 2016-C2, Class XA, IO, 1.48%, 6/15/2049 (b)
|
|
| $15,265,960
|
| $332,088
|
LSTAR Commercial Mortgage Trust Series 2017-5, Class X, IO, 0.83%, 3/10/2050 (a) (b)
|
|
| 32,689,330
|
| 488,075
|
Manhattan West Mortgage Trust:
|
|
|
|
|
|
Series 2020-1MW, Class C, VRN, 2.34%, 9/10/2039 (a) (b)
|
|
| 2,462,000
|
| 2,147,640
|
Series 2020-1MW, Class D, VRN, 2.34%, 9/10/2039 (a) (b)
|
|
| 2,462,000
|
| 2,118,576
|
Med Trust Series 2021-MDLN, Class G, 1 mo. USD Term SOFR + 5.36%, 10.69%, 11/15/2038 (a) (b)
|
|
| 2,850,321
|
| 2,845,115
|
Morgan Stanley Bank of America Merrill Lynch Trust:
|
|
|
|
|
|
Series 2015-C20, Class C, 4.45%, 2/15/2048 (b)
|
|
| 500,000
|
| 470,779
|
Series 2016-C28, Class XA, IO, 1.14%, 1/15/2049 (b)
|
|
| 17,638,371
|
| 276,303
|
Series 2016-C30, Class XA, IO, 1.28%, 9/15/2049 (b)
|
|
| 15,432,106
|
| 334,699
|
Series 2016-C31, Class C, 4.26%, 11/15/2049 (b)
|
|
| 3,358,000
|
| 2,707,088
|
Morgan Stanley Capital I Trust:
|
|
|
|
|
|
Series 2015-UBS8, Class XA, IO, 0.83%, 12/15/2048 (b)
|
|
| 21,288,215
|
| 241,359
|
Series 2016-UB12, Class XA, IO, 0.65%, 12/15/2049 (b)
|
|
| 46,293,269
|
| 611,732
|
Series 2016-UBS9, Class A4, 3.59%, 3/15/2049
|
|
| 913,000
|
| 874,648
|
Series 2019-L3, Class XA, IO, 0.61%, 11/15/2052 (b)
|
|
| 52,427,813
|
| 1,421,804
|
One New York Plaza Trust Series 2020-1NYP, Class C, 1 mo. USD Term SOFR + 2.31%, 7.64%, 1/15/2036 (a) (b)
|
|
| 1,599,000
|
| 1,471,863
|
SG Commercial Mortgage Securities Trust Series 2016-C5, Class B, 3.93%, 10/10/2048
|
|
| 450,000
|
| 405,020
|
SLG Office Trust:
|
|
|
|
|
|
Series 2021-OVA, Class E, 2.85%, 7/15/2041 (a)
|
|
| 1,989,000
|
| 1,508,777
|
Series 2021-OVA, Class F, 2.85%, 7/15/2041 (a)
|
|
| 1,989,000
|
| 1,436,063
|
Security Description
|
|
| Principal
Amount
|
| Value
|
SREIT Trust Series 2021-MFP, Class D, 1 mo. USD Term SOFR + 1.69%, 7.02%, 11/15/2038 (a) (b)
|
|
| $2,740,455
|
| $2,712,153
|
UBS Commercial Mortgage Trust:
|
|
|
|
|
|
Series 2017-C1, Class XA, IO, 1.52%, 6/15/2050 (b)
|
|
| 16,501,896
|
| 591,816
|
Series 2017-C4, Class XA, IO, 1.09%, 10/15/2050 (b)
|
|
| 19,908,127
|
| 584,118
|
Velocity Commercial Capital Loan Trust Series 2020-1, Class M3, VRN, 3.19%, 2/25/2050 (a) (b)
|
|
| 1,961,606
|
| 1,618,958
|
Waterfall Commercial Mortgage Trust Series 2015-SBC5, Class A, 4.10%, 9/14/2022 (a) (b)
|
|
| 546,698
|
| 527,571
|
Wells Fargo Commercial Mortgage Trust:
|
|
|
|
|
|
Series 2015-C26, Class XA, IO, 1.15%, 2/15/2048 (b)
|
|
| 6,050,955
|
| 41,113
|
Series 2015-C27, Class A5, 3.45%, 2/15/2048
|
|
| 3,836,000
|
| 3,741,854
|
Series 2015-C30, Class A4, 3.66%, 9/15/2058
|
|
| 574,375
|
| 557,642
|
Series 2015-LC20, Class XA, IO, 1.27%, 4/15/2050 (b)
|
|
| 6,042,416
|
| 48,631
|
Series 2015-NXS1, Class XA, IO, 1.06%, 5/15/2048 (b)
|
|
| 6,114,393
|
| 40,183
|
Series 2015-NXS2, Class XA, IO, 0.58%, 7/15/2058 (b)
|
|
| 20,375,880
|
| 114,382
|
Series 2015-P2, Class XA, IO, 0.92%, 12/15/2048 (b)
|
|
| 13,695,580
|
| 157,590
|
Series 2016-BNK1, Class XB, IO, VRN, 1.32%, 8/15/2049 (b)
|
|
| 19,849,000
|
| 502,819
|
Series 2016-C33, Class XA, IO, 1.56%, 3/15/2059 (b)
|
|
| 10,278,394
|
| 230,718
|
Series 2017-C38, Class XA, IO, 0.93%, 7/15/2050 (b)
|
|
| 33,078,742
|
| 761,081
|
Series 2017-RC1, Class XA, IO, 1.38%, 1/15/2060 (b)
|
|
| 15,391,281
|
| 499,315
|
WFRBS Commercial Mortgage Trust Series 2014-C21, Class XA, IO, 0.97%, 8/15/2047 (b)
|
|
| 11,088,575
|
| 17,612
|
TOTAL COMMERCIAL MORTGAGE BACKED SECURITIES
(Cost $154,292,897)
|
|
|
|
| 95,764,551
|
See accompanying notes
to Schedule of Investments.
85
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
March 31, 2024 (Unaudited)
Security Description
|
|
| Shares
|
| Value
|
SHORT-TERM INVESTMENT — 4.7%
|
|
|
|
|
|
State Street Institutional U.S. Government Money Market Fund, Class G Shares 5.30% (i) (j)
(Cost $133,835,506)
|
|
| 133,835,506
|
| $133,835,506
|
TOTAL INVESTMENTS — 99.3%
(Cost $3,000,529,982)
|
|
|
|
| 2,806,980,255
|
OTHER ASSETS IN EXCESS OF LIABILITIES — 0.7%
|
|
|
|
| 19,197,248
|
NET ASSETS — 100.0%
|
|
|
|
| $2,826,177,503
|
(a)
| Securities purchased pursuant to Rule 144A of the Securities Act of 1933, as amended. These securities, which represent 24.0% of net assets as of March 31, 2024, 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 March 31, 2024. 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)
| 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 March 31, 2024, total aggregate fair value of the securities is $276,138, representing less than 0.05% of the Fund's net assets.
|
(f)
| Step-up bond - Coupon rate increases in increments to maturity. Rate shown as of March 31, 2024. Maturity date shown is the final maturity.
|
(g)
| Non-income producing security.
|
(h)
| Position is unsettled. Contract rate was not determined at March 31, 2024 and does not take effect until settlement date. Maturity date is not finalized until settlement date.
|
(i)
| The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these investments during the period ended March 31, 2024 are shown in the
Affiliate Table below.
|
(j)
| The rate shown is the annualized seven-day yield at March 31, 2024.
|
ABS
| Asset-Backed Security
|
CLO
| Collateralized Loan Obligation
|
CMO
| Collateralized Mortgage Obligation
|
CMT
| Constant Maturity Treasury
|
EMTN
| Euro Medium Term Note
|
GMTN
| Global Medium Term Note
|
IO
| Interest Only
|
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
|
STRIPS
| Separate Trading of Registered Interest and Principal of Securities
|
VRN
| Variable Rate Note
|
The following table
summarizes the value of the Fund's investments according to the fair value hierarchy as of March 31, 2024.
Description
|
| Level 1 –
Quoted Prices
|
| Level 2 –
Other Significant
Observable Inputs
|
| Level 3 –
Significant
Unobservable Inputs
|
| Total
|
ASSETS:
|
|
|
|
|
|
|
|
|
INVESTMENTS:
|
|
|
|
|
|
|
|
|
Corporate Bonds & Notes
|
| $—
|
| $346,213,889
|
| $193,311
|
| $346,407,200
|
Asset-Backed Securities
|
| —
|
| 370,725,696
|
| —
|
| 370,725,696
|
Foreign Government Obligations
|
| —
|
| 5,591,473
|
| —
|
| 5,591,473
|
U.S. Government Agency Obligations
|
| —
|
| 830,559,994
|
| —
|
| 830,559,994
|
U.S. Treasury Obligations
|
| —
|
| 480,645,312
|
| —
|
| 480,645,312
|
Mortgage-Backed Securities
|
| —
|
| 490,381,819
|
| —
|
| 490,381,819
|
Commercial Mortgage Backed Securities
|
| —
|
| 95,764,551
|
| —
|
| 95,764,551
|
Common Stocks
|
| —
|
| —
|
| 82,827
|
| 82,827
|
Senior Floating Rate Loans
|
| —
|
| 52,985,015
|
| —
|
| 52,985,015
|
Warrants
|
| —
|
| 862
|
| —
|
| 862
|
Short-Term Investment
|
| 133,835,506
|
| —
|
| —
|
| 133,835,506
|
TOTAL INVESTMENTS
|
| $133,835,506
|
| $2,672,868,611
|
| $276,138
|
| $2,806,980,255
|
See accompanying notes to Schedule of
Investments.
86
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
March 31, 2024 (Unaudited)
Affiliate Table
| Number of
Shares Held
at
6/30/23
|
| Value at
6/30/23
|
| Cost of
Purchases
|
| Proceeds
from
Shares Sold
|
| Realized
Gain (Loss)
|
| Change in
Unrealized
Appreciation/
Depreciation
|
| Number of
Shares Held
at
3/31/24
|
| Value at
3/31/24
|
| Dividend
Income
|
State Street Institutional U.S. Government Money Market Fund, Class G Shares
| 30,238,919
|
| $30,238,919
|
| $924,092,920
|
| $820,496,333
|
| $—
|
| $—
|
| 133,835,506
|
| $133,835,506
|
| $1,924,351
|
See accompanying notes to Schedule of
Investments.
87
SPDR DOUBLELINE EMERGING MARKETS FIXED INCOME ETF
Schedule of Investments
March 31, 2024 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
CORPORATE BONDS & NOTES — 90.4%
|
|
|
|
AUSTRALIA — 0.2%
|
|
|
|
AngloGold Ashanti Holdings PLC 3.75%, 10/1/2030
|
|
| $200,000
|
| $174,262
|
BRAZIL — 11.6%
|
|
|
|
Banco do Brasil SA 10 yr. CMT + 4.40%, 6.25%, 10/15/2024 (a)
|
|
| 1,100,000
|
| 1,105,797
|
Braskem Netherlands Finance BV 7.25%, 2/13/2033
|
|
| 1,200,000
|
| 1,154,484
|
CSN Resources SA 5.88%, 4/8/2032
|
|
| 400,000
|
| 349,960
|
Guara Norte SARL 5.20%, 6/15/2034
|
|
| 2,321,901
|
| 2,115,298
|
Itau Unibanco Holding SA 5 yr. CMT + 3.22%, 4.63%, 2/27/2025 (a)
|
|
| 200,000
|
| 187,624
|
Minerva Luxembourg SA 8.88%, 9/13/2033
|
|
| 200,000
|
| 210,266
|
MV24 Capital BV 6.75%, 6/1/2034
|
|
| 322,544
|
| 302,004
|
Nexa Resources SA 5.38%, 5/4/2027
|
|
| 1,977,000
|
| 1,928,129
|
Prumo Participacoes e Investimentos SA 7.50%, 12/31/2031
|
|
| 629,489
|
| 627,985
|
Simpar Europe SA 5.20%, 1/26/2031
|
|
| 200,000
|
| 174,826
|
Suzano International Finance BV 4.00%, 1/14/2025
|
|
| 1,350,000
|
| 1,329,183
|
Unigel Luxembourg SA 8.75%, 10/1/2026 (b)
|
|
| 200,000
|
| 64,862
|
|
|
|
|
| 9,550,418
|
CHILE — 8.5%
|
|
|
|
Agrosuper SA 4.60%, 1/20/2032
|
|
| 1,350,000
|
| 1,158,286
|
CAP SA 3.90%, 4/27/2031 (c)
|
|
| 2,100,000
|
| 1,648,500
|
Chile Electricity PEC SpA Zero Coupon, 1/25/2028 (c)
|
|
| 2,475,705
|
| 1,939,987
|
Empresa Electrica Angamos SA 4.88%, 5/25/2029
|
|
| 95,600
|
| 86,104
|
Empresa Electrica Cochrane SpA 5.50%, 5/14/2027
|
|
| 943,740
|
| 916,381
|
GNL Quintero SA 4.63%, 7/31/2029
|
|
| 647,200
|
| 631,124
|
Mercury Chile Holdco LLC 6.50%, 1/24/2027 (c)
|
|
| 600,000
|
| 582,264
|
|
|
|
|
| 6,962,646
|
COLOMBIA — 9.3%
|
|
|
|
AI Candelaria Spain SA:
|
|
|
|
|
|
5.75%, 6/15/2033 (c)
|
|
| 1,975,000
|
| 1,602,495
|
7.50%, 12/15/2028
|
|
| 206,250
|
| 201,481
|
Banco Davivienda SA 10 yr. CMT + 5.10%, 6.65%, 4/22/2031 (a) (c)
|
|
| 400,000
|
| 281,452
|
Bancolombia SA 5 yr. CMT + 2.94%, 4.63%, 12/18/2029 (a)
|
|
| 400,000
|
| 390,088
|
Security Description
|
|
| Principal
Amount
|
| Value
|
Canacol Energy Ltd. 5.75%, 11/24/2028
|
|
| $1,100,000
|
| $488,895
|
Ecopetrol SA:
|
|
|
|
|
|
4.63%, 11/2/2031
|
|
| 1,500,000
|
| 1,247,970
|
5.88%, 5/28/2045
|
|
| 100,000
|
| 74,582
|
5.88%, 11/2/2051
|
|
| 250,000
|
| 179,463
|
Empresas Publicas de Medellin ESP:
|
|
|
|
|
|
4.25%, 7/18/2029
|
|
| 1,500,000
|
| 1,300,290
|
4.38%, 2/15/2031
|
|
| 500,000
|
| 413,530
|
Fideicomiso PA Pacifico Tres 8.25%, 1/15/2035
|
|
| 171,860
|
| 163,693
|
Geopark Ltd. 5.50%, 1/17/2027
|
|
| 500,000
|
| 454,495
|
Oleoducto Central SA 4.00%, 7/14/2027
|
|
| 950,000
|
| 883,956
|
|
|
|
|
| 7,682,390
|
GUATEMALA — 0.2%
|
|
|
|
Banco Industrial SA 5 yr. CMT + 4.44%, 4.88%, 1/29/2031 (a)
|
|
| 200,000
|
| 189,994
|
INDIA — 8.1%
|
|
|
|
Adani Electricity Mumbai Ltd. 3.95%, 2/12/2030
|
|
| 611,000
|
| 519,535
|
Adani International Container Terminal Pvt Ltd. 3.00%, 2/16/2031 (c)
|
|
| 1,242,500
|
| 1,058,037
|
Adani Ports & Special Economic Zone Ltd.:
|
|
|
|
|
|
3.10%, 2/2/2031
|
|
| 1,000,000
|
| 796,690
|
4.20%, 8/4/2027
|
|
| 200,000
|
| 184,576
|
4.38%, 7/3/2029
|
|
| 700,000
|
| 623,063
|
Adani Transmission Step-One Ltd.:
|
|
|
|
|
|
4.00%, 8/3/2026
|
|
| 1,200,000
|
| 1,127,991
|
4.25%, 5/21/2036
|
|
| 471,000
|
| 399,296
|
Reliance Industries Ltd.:
|
|
|
|
|
|
3.67%, 11/30/2027
|
|
| 500,000
|
| 473,395
|
4.13%, 1/28/2025
|
|
| 250,000
|
| 246,750
|
UPL Corp. Ltd.:
|
|
|
|
|
|
4.50%, 3/8/2028
|
|
| 200,000
|
| 170,969
|
4.63%, 6/16/2030
|
|
| 900,000
|
| 718,506
|
Vedanta Resources Ltd. 13.88%, 12/9/2028
|
|
| 376,000
|
| 329,162
|
|
|
|
|
| 6,647,970
|
INDONESIA — 10.1%
|
|
|
|
Adaro Indonesia PT 4.25%, 10/31/2024
|
|
| 750,000
|
| 739,343
|
Freeport Indonesia PT:
|
|
|
|
|
|
4.76%, 4/14/2027
|
|
| 900,000
|
| 878,409
|
5.32%, 4/14/2032 (c)
|
|
| 1,200,000
|
| 1,171,344
|
Indonesia Asahan Aluminium PT/Mineral Industri Indonesia Persero PT:
|
|
|
|
|
|
4.75%, 5/15/2025
|
|
| 1,400,000
|
| 1,382,962
|
5.45%, 5/15/2030
|
|
| 363,000
|
| 358,404
|
See accompanying notes to Schedule of
Investments.
88
SPDR DOUBLELINE EMERGING MARKETS FIXED INCOME ETF
Schedule of Investments (continued)
March 31, 2024 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
LLPL Capital Pte. Ltd. 6.88%, 2/4/2039 (c)
|
|
| 1,625,820
|
| $1,614,943
|
Minejesa Capital BV 5.63%, 8/10/2037
|
|
| $2,400,000
|
| 2,166,720
|
|
|
|
|
| 8,312,125
|
JAMAICA — 0.0% (d)
|
|
|
|
Digicel Group Holdings Ltd. Series 2A, Zero Coupon, 12/31/2030 (c)
|
|
| 100,384
|
| 13,381
|
KUWAIT — 1.2%
|
|
|
|
MEGlobal Canada ULC 5.00%, 5/18/2025
|
|
| 1,000,000
|
| 986,580
|
MEXICO — 11.2%
|
|
|
|
Banco Mercantil del Norte SA 10 yr. CMT + 5.47%, 7.50%, 6/27/2029 (a)
|
|
| 800,000
|
| 792,464
|
Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand 5 yr. CMT + 3.00%, 7.53%, 10/1/2028 (a)
|
|
| 500,000
|
| 521,515
|
BBVA Bancomer SA:
|
|
|
|
|
|
5 yr. CMT + 4.66%, 8.45%, 6/29/2038 (a)
|
|
| 202,000
|
| 212,983
|
5 yr. CMT + 4.31%, 5.88%, 9/13/2034 (a)
|
|
| 1,870,000
|
| 1,763,728
|
Braskem Idesa SAPI 6.99%, 2/20/2032
|
|
| 200,000
|
| 155,130
|
Buffalo Energy Mexico Holdings/Buffalo Energy Infrastructure/Buffalo Energy 7.88%, 2/15/2039 (c)
|
|
| 700,000
|
| 757,925
|
Cemex SAB de CV 5 yr. CMT + 4.53%, 5.13%, 6/8/2026 (a)
|
|
| 800,000
|
| 771,760
|
Cometa Energia SA de CV 6.38%, 4/24/2035
|
|
| 401,000
|
| 401,433
|
Comision Federal de Electricidad 3.35%, 2/9/2031
|
|
| 600,000
|
| 498,384
|
Fermaca Enterprises S de Real de CV 6.38%, 3/30/2038
|
|
| 375,738
|
| 364,158
|
Mexarrend SAPI de CV 10.25%, 7/24/2024 (c)
|
|
| 300,000
|
| 58,659
|
Mexico Generadora de Energia S de Real 5.50%, 12/6/2032
|
|
| 1,749,708
|
| 1,711,302
|
Petroleos Mexicanos 6.75%, 9/21/2047
|
|
| 650,000
|
| 432,796
|
Southern Copper Corp. 3.88%, 4/23/2025
|
|
| 100,000
|
| 98,032
|
Tierra Mojada Luxembourg II SARL 5.75%, 12/1/2040
|
|
| 723,736
|
| 662,413
|
Unifin Financiera SAB de CV 5 yr. CMT + 6.31%, 8.88%, 1/29/2025 (a) (b)
|
|
| 800,000
|
| 72
|
|
|
|
|
| 9,202,754
|
Security Description
|
|
| Principal
Amount
|
| Value
|
PANAMA — 1.8%
|
|
|
|
Empresa de Transmision Electrica SA 5.13%, 5/2/2049
|
|
| $246,000
|
| $177,644
|
Global Bank Corp. 3 mo. USD Term SOFR + 3.30%, 5.25%, 4/16/2029 (a)
|
|
| 800,000
|
| 737,024
|
UEP Penonome II SA 6.50%, 10/1/2038 (c)
|
|
| 695,536
|
| 543,930
|
|
|
|
|
| 1,458,598
|
PARAGUAY — 0.9%
|
|
|
|
Bioceanico Sovereign Certificate Ltd. Zero Coupon, 6/5/2034
|
|
| 390,483
|
| 285,639
|
Frigorifico Concepcion SA 7.70%, 7/21/2028
|
|
| 200,000
|
| 174,390
|
Rutas 2 & 7 Finance Ltd. Zero Coupon, 9/30/2036
|
|
| 416,666
|
| 283,708
|
|
|
|
|
| 743,737
|
PERU — 12.5%
|
|
|
|
Banco de Credito del Peru SA:
|
|
|
|
|
|
5.85%, 1/11/2029 (c)
|
|
| 200,000
|
| 202,174
|
5 yr. CMT + 2.45%, 3.25%, 9/30/2031 (a)
|
|
| 850,000
|
| 786,624
|
5 yr. CMT + 3.00%, 3.13%, 7/1/2030 (a)
|
|
| 1,300,000
|
| 1,246,414
|
Banco Internacional del Peru SAA Interbank 5 yr. CMT + 3.71%, 4.00%, 7/8/2030 (a)
|
|
| 1,900,000
|
| 1,823,981
|
Cia de Minas Buenaventura SAA 5.50%, 7/23/2026
|
|
| 400,000
|
| 384,792
|
Fenix Power Peru SA 4.32%, 9/20/2027
|
|
| 692,353
|
| 663,323
|
Inkia Energy Ltd. 5.88%, 11/9/2027
|
|
| 400,000
|
| 390,180
|
InRetail Consumer 3.25%, 3/22/2028
|
|
| 500,000
|
| 446,700
|
InRetail Shopping Malls 5.75%, 4/3/2028
|
|
| 250,000
|
| 242,577
|
Intercorp Financial Services, Inc. 4.13%, 10/19/2027
|
|
| 819,000
|
| 766,281
|
Kallpa Generacion SA 4.13%, 8/16/2027
|
|
| 500,000
|
| 474,480
|
Lima Metro Line 2 Finance Ltd. 5.88%, 7/5/2034
|
|
| 1,000,172
|
| 990,581
|
Minsur SA 4.50%, 10/28/2031
|
|
| 1,300,000
|
| 1,137,097
|
Orazul Energy Peru SA 5.63%, 4/28/2027
|
|
| 252,000
|
| 238,944
|
Petroleos del Peru SA:
|
|
|
|
|
|
4.75%, 6/19/2032
|
|
| 500,000
|
| 392,135
|
5.63%, 6/19/2047
|
|
| 200,000
|
| 133,064
|
|
|
|
|
| 10,319,347
|
SINGAPORE — 6.5%
|
|
|
|
DBS Group Holdings Ltd. Series GMTN, 5 yr. CMT + 1.10%, 1.82%, 3/10/2031 (a)
|
|
| 1,550,000
|
| 1,442,154
|
See accompanying notes to Schedule of
Investments.
89
SPDR DOUBLELINE EMERGING MARKETS FIXED INCOME ETF
Schedule of Investments (continued)
March 31, 2024 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
Oversea-Chinese Banking Corp. Ltd. 5 yr. CMT + 1.58%, 1.83%, 9/10/2030 (a),(a) (c)
|
|
| 2,100,000
|
| $1,986,075
|
United Overseas Bank Ltd.:
|
|
|
|
|
|
5 yr. CMT + 1.23%, 2.00%, 10/14/2031 (a)
|
|
| $1,200,000
|
| 1,098,732
|
Series GMTN, 5 yr. CMT + 1.52%, 1.75%, 3/16/2031 (a)
|
|
| 900,000
|
| 835,043
|
|
|
|
|
| 5,362,004
|
SOUTH AFRICA — 3.3%
|
|
|
|
Gold Fields Orogen Holdings BVI Ltd. 5.13%, 5/15/2024
|
|
| 1,650,000
|
| 1,644,779
|
Sasol Financing USA LLC 5.50%, 3/18/2031
|
|
| 1,300,000
|
| 1,095,315
|
|
|
|
|
| 2,740,094
|
SOUTH KOREA — 0.8%
|
|
|
|
KT Corp. 2.50%, 7/18/2026
|
|
| 400,000
|
| 375,904
|
Shinhan Financial Group Co. Ltd. 5 yr. CMT + 2.06%, 2.88%, 5/12/2026 (a) (c)
|
|
| 300,000
|
| 278,811
|
|
|
|
|
| 654,715
|
UNITED STATES — 4.2%
|
|
|
|
Freeport-McMoRan, Inc.:
|
|
|
|
|
|
4.38%, 8/1/2028
|
|
| 700,000
|
| 674,226
|
4.63%, 8/1/2030
|
|
| 1,300,000
|
| 1,250,054
|
JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc. 3.00%, 2/2/2029
|
|
| 1,700,000
|
| 1,504,993
|
|
|
|
|
| 3,429,273
|
TOTAL CORPORATE BONDS & NOTES
(Cost $77,459,267)
|
| 74,430,288
|
|
FOREIGN GOVERNMENT OBLIGATIONS — 8.1%
|
|
|
|
COLOMBIA — 1.3%
|
|
|
|
Colombia Government International Bonds:
|
|
|
|
|
|
4.13%, 5/15/2051
|
|
| 950,000
|
| 591,496
|
5.00%, 6/15/2045
|
|
| 700,000
|
| 508,563
|
|
|
|
|
| 1,100,059
|
MEXICO — 3.0%
|
|
|
|
Mexico Government International Bonds:
|
|
|
|
|
|
2.66%, 5/24/2031
|
|
| 1,000,000
|
| 834,906
|
4.40%, 2/12/2052
|
|
| 1,100,000
|
| 842,143
|
6.34%, 5/4/2053
|
|
| 800,000
|
| 790,682
|
|
|
|
|
| 2,467,731
|
PANAMA — 2.7%
|
|
|
|
Banco Latinoamericano de Comercio Exterior SA 2.38%, 9/14/2025
|
|
| 400,000
|
| 378,984
|
Security Description
|
|
| Principal
Amount
|
| Value
|
Panama Government International Bonds:
|
|
|
|
|
|
2.25%, 9/29/2032
|
|
| $300,000
|
| $215,114
|
3.87%, 7/23/2060
|
|
| 2,100,000
|
| 1,207,163
|
4.30%, 4/29/2053
|
|
| 600,000
|
| 386,104
|
|
|
|
|
| 2,187,365
|
SOUTH KOREA — 1.1%
|
|
|
|
Korea East-West Power Co. Ltd. 1.75%, 5/6/2025
|
|
| 900,000
|
| 865,332
|
TOTAL FOREIGN GOVERNMENT OBLIGATIONS
(Cost $8,861,567)
|
| 6,620,487
|
|
|
| Shares
|
|
SHORT-TERM INVESTMENT — 0.2%
|
|
State Street Institutional U.S. Government Money Market Fund, Class G Shares 5.30% (e) (f)
(Cost $155,554)
| 155,554
| 155,554
|
TOTAL INVESTMENTS — 98.7%
(Cost $86,476,388)
| 81,206,329
|
OTHER ASSETS IN EXCESS OF
LIABILITIES — 1.3%
| 1,100,431
|
NET ASSETS — 100.0%
| $82,306,760
|
(a)
| Variable Rate Security - Interest rate shown is rate in effect at March 31, 2024. For securities based on a published reference rate and spread, the reference rate and spread are
indicated in the description above.
|
(b)
| Security is currently in default and/or issuer is in bankruptcy.
|
(c)
| Securities purchased pursuant to Rule 144A of the Securities Act of 1933, as amended. These securities, which represent 8.5% of net assets as of March 31, 2024, are considered liquid
and may be resold in transactions exempt from registration, normally to qualified institutional buyers.
|
(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 investments during the period ended March 31, 2024 are shown in the
Affiliate Table below.
|
(f)
| The rate shown is the annualized seven-day yield at March 31, 2024.
|
CMT
| Constant Maturity Treasury
|
GMTN
| Global Medium Term Note
|
SOFR
| Secured Overnight Financing Rate
|
See accompanying notes to Schedule of
Investments.
90
SPDR DOUBLELINE EMERGING MARKETS FIXED INCOME ETF
Schedule of Investments (continued)
March 31, 2024 (Unaudited)
The following table summarizes
the value of the Fund's investments according to the fair value hierarchy as of March 31, 2024.
Description
|
| Level 1 –
Quoted Prices
|
| Level 2 –
Other Significant
Observable Inputs
|
| Level 3 –
Significant
Unobservable Inputs
|
| Total
|
ASSETS:
|
|
|
|
|
|
|
|
|
INVESTMENTS:
|
|
|
|
|
|
|
|
|
Corporate Bonds & Notes
|
| $—
|
| $74,416,907
|
| $13,381
|
| $74,430,288
|
Foreign Government Obligations
|
| —
|
| 6,620,487
|
| —
|
| 6,620,487
|
Short-Term Investment
|
| 155,554
|
| —
|
| —
|
| 155,554
|
TOTAL INVESTMENTS
|
| $155,554
|
| $81,037,394
|
| $13,381
|
| $81,206,329
|
See accompanying notes to
Schedule of Investments.
91
SPDR DOUBLELINE EMERGING MARKETS FIXED INCOME ETF
Schedule of Investments (continued)
March 31, 2024 (Unaudited)
Industry Breakdown as of March 31, 2024
|
|
|
|
| % of Net Assets
|
| Electric
| 20.7%
|
| Banks
| 19.3
|
| Mining
| 13.9
|
| Foreign Government Obligations
| 8.1
|
| Chemicals
| 5.3
|
| Oil & Gas
| 5.0
|
| Commercial Services
| 4.5
|
| Pipelines
| 4.5
|
| Food
| 3.5
|
| Oil & Gas Services
| 2.6
|
| Iron/Steel
| 2.4
|
| Transportation
| 1.8
|
| Forest Products & Paper
| 1.6
|
| Diversified Financial Services
| 1.0
|
| Construction Materials
| 0.9
|
| Coal
| 0.9
|
| Energy-Alternate Sources
| 0.7
|
| Retail
| 0.5
|
| Telecommunications
| 0.5
|
| Engineering & Construction
| 0.3
|
| Real Estate
| 0.3
|
| Agriculture
| 0.2
|
| Short-Term Investment
| 0.2
|
| Other Assets in Excess of Liabilities
| 1.3
|
| 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
6/30/23
|
| Value at
6/30/23
|
| Cost of
Purchases
|
| Proceeds
from
Shares Sold
|
| Realized
Gain (Loss)
|
| Change in
Unrealized
Appreciation/
Depreciation
|
| Number of
Shares Held
at
3/31/24
|
| Value at
3/31/24
|
| Dividend
Income
|
State Street Institutional U.S. Government Money Market Fund, Class G Shares
| 2,452,803
|
| $2,452,803
|
| $27,181,269
|
| $29,478,518
|
| $—
|
| $—
|
| 155,554
|
| $155,554
|
| $58,437
|
See accompanying notes to Schedule of
Investments.
92
SPDR DOUBLELINE SHORT DURATION TOTAL RETURN TACTICAL
ETF
Schedule of Investments
March 31, 2024 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
CORPORATE BONDS & NOTES — 16.0%
|
|
|
|
|
|
AEROSPACE & DEFENSE — 0.2%
|
|
Boeing Co.
4.88%, 5/1/2025
|
|
| $405,000
|
| $400,508
|
AUTO MANUFACTURERS — 0.5%
|
|
Ford Motor Co.
4.35%, 12/8/2026
|
|
| 405,000
|
| 394,478
|
General Motors Financial Co., Inc.
5.25%, 3/1/2026
|
|
| 395,000
|
| 394,001
|
|
|
|
|
| 788,479
|
BANKS — 3.8%
|
|
Banco Bilbao Vizcaya Argentaria Colombia SA
4.88%, 4/21/2025
|
|
| 200,000
|
| 196,438
|
Banco de Bogota SA
6.25%, 5/12/2026
|
|
| 200,000
|
| 199,348
|
Banco de Credito del Peru SA
5 yr. CMT + 3.00%, 3.13%, 7/1/2030 (a)
|
|
| 150,000
|
| 143,817
|
Banco Industrial SA
5 yr. CMT + 4.44%, 4.88%, 1/29/2031 (a)
|
|
| 150,000
|
| 142,496
|
Banco Internacional del Peru SAA Interbank
5 yr. CMT + 3.71%, 4.00%, 7/8/2030 (a)
|
|
| 150,000
|
| 143,998
|
Banco Nacional de Comercio Exterior SNC
5 yr. CMT + 2.00%, 2.72%, 8/11/2031 (a)
|
|
| 200,000
|
| 178,080
|
Bank of Montreal
Series MTN, 1.50%, 1/10/2025
|
|
| 425,000
|
| 412,437
|
Bank of Nova Scotia
4.75%, 2/2/2026
|
|
| 405,000
|
| 402,173
|
BBVA Bancomer SA
5 yr. CMT + 3.00%, 5.35%, 11/12/2029 (a)
|
|
| 200,000
|
| 197,756
|
Citigroup, Inc.:
|
|
|
|
|
|
SOFR + 1.53%, 3.29%, 3/17/2026 (a)
|
|
| 95,000
|
| 92,859
|
3 mo. USD Term SOFR + 1.16%, 3.35%, 4/24/2025 (a)
|
|
| 525,000
|
| 524,092
|
Commonwealth Bank of Australia
SOFR + 0.63%, 5.99%, 9/12/2025 (a) (b)
|
|
| 350,000
|
| 350,983
|
DBS Group Holdings Ltd.
Series GMTN, 5 yr. CMT + 1.10%, 1.82%, 3/10/2031 (a)
|
|
| 200,000
|
| 186,084
|
Global Bank Corp.
3 mo. USD Term SOFR + 3.30%, 5.25%, 4/16/2029 (a)
|
|
| 200,000
|
| 184,256
|
Security Description
|
|
| Principal
Amount
|
| Value
|
Goldman Sachs Bank USA
SOFR + 0.77%, 6.13%, 3/18/2027 (a)
|
|
| $260,000
|
| $259,914
|
JPMorgan Chase & Co.:
|
|
|
|
|
|
SOFR + 0.49%, 0.77%, 8/9/2025 (a)
|
|
| 185,000
|
| 181,557
|
3 mo. USD Term SOFR + 0.54%, 0.82%, 6/1/2025 (a)
|
|
| 40,000
|
| 39,648
|
3.90%, 7/15/2025
|
|
| 400,000
|
| 393,580
|
Morgan Stanley
Series GMTN, 3.88%, 1/27/2026
|
|
| 405,000
|
| 395,669
|
Multibank, Inc.
7.75%, 2/3/2028 (b)
|
|
| 200,000
|
| 201,294
|
Oversea-Chinese Banking Corp. Ltd.
5 yr. CMT + 1.58%, 1.83%, 9/10/2030 (a)
|
|
| 200,000
|
| 189,150
|
PNC Financial Services Group, Inc.
SOFR + 1.32%, 5.81%, 6/12/2026 (a)
|
|
| 190,000
|
| 190,688
|
Toronto-Dominion Bank
Series MTN, 0.70%, 9/10/2024
|
|
| 415,000
|
| 406,268
|
Truist Financial Corp.
Series MTN, SOFR + 1.46%, 4.26%, 7/28/2026 (a)
|
|
| 410,000
|
| 403,276
|
Wells Fargo & Co.
Series MTN, 3 mo. USD Term SOFR + 1.09%, 2.41%, 10/30/2025 (a)
|
|
| 405,000
|
| 397,313
|
|
|
|
|
| 6,413,174
|
BEVERAGES — 0.2%
|
|
Constellation Brands, Inc.
5.00%, 2/2/2026
|
|
| 405,000
|
| 402,538
|
BIOTECHNOLOGY — 0.5%
|
|
Amgen, Inc.
5.51%, 3/2/2026
|
|
| 395,000
|
| 394,822
|
Royalty Pharma PLC
1.75%, 9/2/2027
|
|
| 455,000
|
| 406,311
|
|
|
|
|
| 801,133
|
CHEMICALS — 0.3%
|
|
Braskem Netherlands Finance BV
5 yr. CMT + 8.22%, 8.50%, 1/23/2081 (a)
|
|
| 200,000
|
| 200,824
|
Sasol Financing USA LLC
4.38%, 9/18/2026
|
|
| 200,000
|
| 188,276
|
Sociedad Quimica y Minera de Chile SA
4.38%, 1/28/2025
|
|
| 200,000
|
| 197,372
|
|
|
|
|
| 586,472
|
See accompanying notes to Schedule of
Investments.
93
SPDR DOUBLELINE SHORT DURATION TOTAL RETURN TACTICAL
ETF
Schedule of Investments (continued)
March 31, 2024 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
COMMERCIAL SERVICES — 0.3%
|
|
Adani International Container Terminal Pvt Ltd.
3.00%, 2/16/2031
|
|
| $177,500
|
| $151,196
|
Adani Ports & Special Economic Zone Ltd.
4.00%, 7/30/2027
|
|
| 200,000
|
| 183,327
|
Prumo Participacoes e Investimentos SA
7.50%, 12/31/2031
|
|
| 157,372
|
| 156,996
|
|
|
|
|
| 491,519
|
CONSTRUCTION MATERIALS — 0.2%
|
|
Carrier Global Corp.
5.80%, 11/30/2025
|
|
| 275,000
|
| 276,826
|
DIVERSIFIED FINANCIAL SERVICES — 0.5%
|
|
American Express Co.
SOFR + 1.00%, 6.35%, 2/16/2028 (a)
|
|
| 400,000
|
| 401,248
|
Avolon Holdings Funding Ltd.
2.13%, 2/21/2026 (b)
|
|
| 440,000
|
| 410,296
|
|
|
|
|
| 811,544
|
ELECTRIC — 1.6%
|
|
Algonquin Power & Utilities Corp.
5.37%, 6/15/2026 (c)
|
|
| 65,000
|
| 64,657
|
American Electric Power Co., Inc.
5.20%, 1/15/2029
|
|
| 405,000
|
| 405,927
|
Chile Electricity PEC SpA
Zero Coupon, 1/25/2028
|
|
| 197,907
|
| 155,082
|
Empresa Electrica Angamos SA
4.88%, 5/25/2029
|
|
| 95,600
|
| 86,104
|
Entergy Louisiana LLC
0.95%, 10/1/2024
|
|
| 415,000
|
| 405,654
|
Exelon Corp.
5.15%, 3/15/2029
|
|
| 200,000
|
| 200,570
|
Fenix Power Peru SA
4.32%, 9/20/2027
|
|
| 251,765
|
| 241,208
|
LLPL Capital Pte. Ltd.
6.88%, 2/4/2039
|
|
| 154,840
|
| 153,804
|
Mexico Generadora de Energia S de Real
5.50%, 12/6/2032
|
|
| 126,424
|
| 123,649
|
Minejesa Capital BV
4.63%, 8/10/2030
|
|
| 185,960
|
| 176,166
|
Pacific Gas & Electric Co.:
|
|
|
|
|
|
2.10%, 8/1/2027
|
|
| 205,000
|
| 184,603
|
4.95%, 6/8/2025
|
|
| 225,000
|
| 223,074
|
TNB Global Ventures Capital Bhd.
Series EMTN, 3.24%, 10/19/2026
|
|
| 300,000
|
| 285,072
|
|
|
|
|
| 2,705,570
|
Security Description
|
|
| Principal
Amount
|
| Value
|
ENGINEERING & CONSTRUCTION — 0.1%
|
|
Bioceanico Sovereign Certificate Ltd.
Zero Coupon, 6/5/2034
|
|
| $130,161
|
| $95,213
|
ENVIRONMENTAL CONTROL — 0.5%
|
|
Republic Services, Inc.
2.50%, 8/15/2024
|
|
| 410,000
|
| 405,236
|
Veralto Corp.
5.50%, 9/18/2026 (b)
|
|
| 400,000
|
| 401,480
|
|
|
|
|
| 806,716
|
FOOD — 0.2%
|
|
BRF GmbH
4.35%, 9/29/2026
|
|
| 200,000
|
| 190,598
|
Campbell Soup Co.
5.20%, 3/19/2027
|
|
| 165,000
|
| 165,419
|
JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc.
3.00%, 2/2/2029
|
|
| 50,000
|
| 44,265
|
|
|
|
|
| 400,282
|
FOREST PRODUCTS & PAPER — 0.1%
|
|
Suzano International Finance BV
4.00%, 1/14/2025
|
|
| 100,000
|
| 98,458
|
HEALTH CARE PRODUCTS — 0.2%
|
|
Zimmer Biomet Holdings, Inc.
1.45%, 11/22/2024
|
|
| 410,000
|
| 399,041
|
HEALTH CARE SERVICES — 0.5%
|
|
Elevance Health, Inc.
3.50%, 8/15/2024
|
|
| 410,000
|
| 406,679
|
HCA, Inc.
5.38%, 2/1/2025
|
|
| 410,000
|
| 408,885
|
|
|
|
|
| 815,564
|
INSURANCE — 0.2%
|
|
Athene Global Funding:
|
|
|
|
|
|
1.72%, 1/7/2025 (b)
|
|
| 100,000
|
| 96,947
|
SOFR + 0.70%, 6.06%, 5/24/2024 (a) (b)
|
|
| 305,000
|
| 305,192
|
|
|
|
|
| 402,139
|
INTERNET — 0.2%
|
|
Expedia Group, Inc.
6.25%, 5/1/2025 (b)
|
|
| 395,000
|
| 396,860
|
LODGING — 0.2%
|
|
Marriott International, Inc.:
|
|
|
|
|
|
3.60%, 4/15/2024
|
|
| 295,000
|
| 294,740
|
5.00%, 10/15/2027
|
|
| 100,000
|
| 99,750
|
|
|
|
|
| 394,490
|
MACHINERY-DIVERSIFIED — 0.1%
|
|
AGCO Corp.
5.45%, 3/21/2027
|
|
| 100,000
|
| 100,465
|
MINING — 0.8%
|
|
AngloGold Ashanti Holdings PLC
3.38%, 11/1/2028
|
|
| 200,000
|
| 180,038
|
See accompanying notes to Schedule of
Investments.
94
SPDR DOUBLELINE SHORT DURATION TOTAL RETURN TACTICAL
ETF
Schedule of Investments (continued)
March 31, 2024 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
Freeport-McMoRan, Inc.
4.13%, 3/1/2028
|
|
| $50,000
|
| $47,823
|
Glencore Funding LLC:
|
|
|
|
|
|
1.63%, 9/1/2025 (b)
|
|
| 420,000
|
| 397,585
|
SOFR + 1.06%, 6.43%, 4/4/2027 (a) (b)
|
|
| 325,000
|
| 324,776
|
Gold Fields Orogen Holdings BVI Ltd.
5.13%, 5/15/2024
|
|
| 200,000
|
| 199,367
|
Industrias Penoles SAB de CV
4.15%, 9/12/2029
|
|
| 200,000
|
| 186,010
|
Southern Copper Corp.
3.88%, 4/23/2025
|
|
| 100,000
|
| 98,032
|
|
|
|
|
| 1,433,631
|
MISCELLANEOUS MANUFACTURER — 0.2%
|
|
Parker-Hannifin Corp.
3.65%, 6/15/2024
|
|
| 405,000
|
| 403,206
|
OIL & GAS — 0.4%
|
|
BP Capital Markets America, Inc.
4.70%, 4/10/2029
|
|
| 395,000
|
| 394,111
|
ONGC Videsh Ltd.
4.63%, 7/15/2024
|
|
| 200,000
|
| 199,148
|
Petrobras Global Finance BV
7.38%, 1/17/2027
|
|
| 70,000
|
| 72,770
|
|
|
|
|
| 666,029
|
OIL & GAS SERVICES — 0.1%
|
|
Guara Norte SARL
5.20%, 6/15/2034
|
|
| 171,358
|
| 156,111
|
PACKAGING & CONTAINERS — 0.1%
|
|
Packaging Corp. of America
3.65%, 9/15/2024
|
|
| 200,000
|
| 197,962
|
PHARMACEUTICALS — 0.1%
|
|
Bristol-Myers Squibb Co.
SOFR + 0.49%, 5.84%, 2/20/2026 (a)
|
|
| 220,000
|
| 220,561
|
PIPELINES — 0.9%
|
|
AI Candelaria Spain SA
7.50%, 12/15/2028
|
|
| 206,250
|
| 201,481
|
Enbridge, Inc.
5.90%, 11/15/2026
|
|
| 395,000
|
| 402,272
|
Energy Transfer LP
6.05%, 12/1/2026
|
|
| 385,000
|
| 392,981
|
GNL Quintero SA
4.63%, 7/31/2029
|
|
| 258,880
|
| 252,450
|
Transportadora de Gas del Peru SA
4.25%, 4/30/2028
|
|
| 200,000
|
| 194,200
|
|
|
|
|
| 1,443,384
|
REAL ESTATE INVESTMENT TRUSTS — 0.5%
|
|
VICI Properties LP/VICI Note Co., Inc.
4.25%, 12/1/2026 (b)
|
|
| 430,000
|
| 413,703
|
Security Description
|
|
| Principal
Amount
|
| Value
|
Welltower OP LLC
4.00%, 6/1/2025
|
|
| $420,000
|
| $412,902
|
|
|
|
|
| 826,605
|
RETAIL — 0.2%
|
|
Dollar Tree, Inc.
4.00%, 5/15/2025
|
|
| 410,000
|
| 403,206
|
SEMICONDUCTORS — 0.7%
|
|
Broadcom Corp./Broadcom Cayman Finance Ltd.
3.88%, 1/15/2027
|
|
| 35,000
|
| 33,911
|
Broadcom, Inc.
3.15%, 11/15/2025
|
|
| 420,000
|
| 406,401
|
Microchip Technology, Inc.:
|
|
|
|
|
|
0.98%, 9/1/2024
|
|
| 270,000
|
| 264,489
|
4.25%, 9/1/2025
|
|
| 140,000
|
| 137,805
|
NXP BV/NXP Funding LLC/NXP USA, Inc.
4.40%, 6/1/2027
|
|
| 420,000
|
| 411,999
|
|
|
|
|
| 1,254,605
|
SOFTWARE — 0.5%
|
|
Oracle Corp.
5.80%, 11/10/2025
|
|
| 390,000
|
| 393,143
|
Take-Two Interactive Software, Inc.
4.95%, 3/28/2028
|
|
| 405,000
|
| 403,546
|
|
|
|
|
| 796,689
|
TELECOMMUNICATIONS — 0.3%
|
|
KT Corp.
2.50%, 7/18/2026
|
|
| 200,000
|
| 187,952
|
Millicom International Cellular SA
5.13%, 1/15/2028
|
|
| 180,000
|
| 170,870
|
Telefonica Celular del Paraguay SA
5.88%, 4/15/2027
|
|
| 200,000
|
| 194,900
|
|
|
|
|
| 553,722
|
TRANSPORTATION — 0.6%
|
|
Canadian Pacific Railway Co.
1.35%, 12/2/2024
|
|
| 410,000
|
| 398,708
|
Lima Metro Line 2 Finance Ltd.
5.88%, 7/5/2034
|
|
| 87,351
|
| 86,514
|
MV24 Capital BV
6.75%, 6/1/2034
|
|
| 161,272
|
| 151,002
|
Ryder System, Inc.
Series MTN, 5.25%, 6/1/2028
|
|
| 400,000
|
| 401,860
|
|
|
|
|
| 1,038,084
|
TRUCKING & LEASING — 0.2%
|
|
Penske Truck Leasing Co. LP/PTL Finance Corp.
4.40%, 7/1/2027 (b)
|
|
| 415,000
|
| 404,214
|
TOTAL CORPORATE BONDS & NOTES
(Cost $27,446,147)
|
|
|
|
| 27,385,000
|
See accompanying notes to Schedule of
Investments.
95
SPDR DOUBLELINE SHORT DURATION TOTAL RETURN TACTICAL
ETF
Schedule of Investments (continued)
March 31, 2024 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
ASSET-BACKED SECURITIES — 24.3%
|
|
|
|
|
|
AUTOMOBILE — 2.3%
|
|
|
|
|
|
Carvana Auto Receivables Trust
Series 2023-P5, Class A2, 5.77%, 4/12/2027 (b)
|
|
| $600,000
|
| $600,091
|
Citizens Auto Receivables Trust
Series 2023-2, Class A2A, 6.09%, 10/15/2026 (b)
|
|
| 240,426
|
| 240,922
|
CPS Auto Receivables Trust
Series 2021-A, Class D, 1.16%, 12/15/2026 (b)
|
|
| 354,148
|
| 346,029
|
Exeter Automobile Receivables Trust
Series 2023-5A, Class A2, 6.20%, 4/15/2026
|
|
| 441,590
|
| 442,193
|
GLS Auto Receivables Issuer Trust:
|
|
|
|
|
|
Series 2021-2A, Class C, 1.08%, 6/15/2026 (b)
|
|
| 181,019
|
| 179,464
|
Series 2023-4A, Class A2, 6.40%, 12/15/2026 (b)
|
|
| 500,000
|
| 501,543
|
Hertz Vehicle Financing LLC
Series 2021-1A, Class B, 1.56%, 12/26/2025 (b)
|
|
| 350,000
|
| 341,656
|
Santander Drive Auto Receivables Trust
Series 2020-4, Class D, 1.48%, 1/15/2027
|
|
| 403,628
|
| 396,635
|
Westlake Automobile Receivables Trust:
|
|
|
|
|
|
Series 2023-2A, Class A3, 5.80%, 2/16/2027 (b)
|
|
| 400,000
|
| 400,368
|
Series 2023-4A, Class A2, 6.23%, 1/15/2027 (b)
|
|
| 500,000
|
| 501,528
|
|
|
|
|
| 3,950,429
|
COMMERCIAL MORTGAGE-BACKED SECURITIES — 4.4%
|
|
|
|
|
|
ACREC Ltd.
Series 2021-FL1, Class A, 1 mo. USD Term SOFR + 1.26%, 6.59%, 10/16/2036 (a) (b)
|
|
| 150,527
|
| 149,620
|
Arbor Realty Commercial Real Estate Notes Ltd.
Series 2022-FL1, Class A, 30 day USD SOFR Average + 1.45%, 6.77%, 1/15/2037 (a) (b)
|
|
| 250,000
|
| 248,559
|
BDS LLC
Series 2022-FL11, Class ATS, 1 mo. USD Term SOFR + 1.80%, 7.13%, 3/19/2039 (a) (b)
|
|
| 250,000
|
| 249,189
|
Security Description
|
|
| Principal
Amount
|
| Value
|
BDS Ltd.:
|
|
|
|
|
|
Series 2021-FL8, Class A, 1 mo. USD Term SOFR + 1.03%, 6.36%, 1/18/2036 (a) (b)
|
|
| $41,266
|
| $41,114
|
Series 2021-FL9, Class A, 1 mo. USD Term SOFR + 1.18%, 6.51%, 11/16/2038 (a) (b)
|
|
| 121,268
|
| 120,292
|
BRSP Ltd.
Series 2021-FL1, Class A, 1 mo. USD Term SOFR + 1.26%, 6.59%, 8/19/2038 (a) (b)
|
|
| 314,761
|
| 310,857
|
BSPRT Issuer Ltd.:
|
|
|
|
|
|
Series 2021-FL7, Class A, 1 mo. USD Term SOFR + 1.43%, 6.76%, 12/15/2038 (a) (b)
|
|
| 182,231
|
| 180,935
|
Series 2022-FL8, Class A, 30 day USD SOFR Average + 1.50%, 6.82%, 2/15/2037 (a) (b)
|
|
| 299,975
|
| 299,034
|
Series 2021-FL6, Class A, 1 mo. USD Term SOFR + 1.21%, 6.54%, 3/15/2036 (a) (b)
|
|
| 207,913
|
| 206,334
|
CHCP Ltd.
Series 2021-FL1, Class A, 1 mo. USD Term SOFR + 1.16%, 6.49%, 2/15/2038 (a) (b)
|
|
| 51,705
|
| 51,393
|
FS Rialto Issuer LLC:
|
|
|
|
|
|
Series 2021-FL3, Class A, 1 mo. USD Term SOFR + 1.36%, 6.69%, 11/16/2036 (a) (b)
|
|
| 276,382
|
| 274,934
|
Series 2022-FL4, Class AS, 30 day USD SOFR Average + 2.40%, 7.72%, 1/19/2039 (a) (b)
|
|
| 250,000
|
| 246,262
|
Series 2021-FL2, Class A, 1 mo. USD Term SOFR + 1.33%, 6.66%, 5/16/2038 (a) (b)
|
|
| 293,057
|
| 289,871
|
Greystone CRE Notes Ltd.
Series 2021-FL3, Class A, 1 mo. USD Term SOFR + 1.13%, 6.46%, 7/15/2039 (a) (b)
|
|
| 150,000
|
| 148,757
|
KREF Ltd.:
|
|
|
|
|
|
Series 2021-FL2, Class AS, 1 mo. USD Term SOFR + 1.41%, 6.74%, 2/15/2039 (a) (b)
|
|
| 250,000
|
| 240,790
|
Series 2022-FL3, Class A, 1 mo. USD Term SOFR + 1.45%, 6.78%, 2/17/2039 (a) (b)
|
|
| 200,000
|
| 198,763
|
See accompanying notes to Schedule of
Investments.
96
SPDR DOUBLELINE SHORT DURATION TOTAL RETURN TACTICAL
ETF
Schedule of Investments (continued)
March 31, 2024 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
Series 2021-FL2, Class A, 1 mo. USD Term SOFR + 1.18%, 6.51%, 2/15/2039 (a) (b)
|
|
| $200,000
|
| $196,285
|
LCCM Trust:
|
|
|
|
|
|
Series 2021-FL3, Class A, 1 mo. USD Term SOFR + 1.56%, 6.89%, 11/15/2038 (a) (b)
|
|
| 179,034
|
| 176,407
|
Series 2021-FL2, Class A, 1 mo. USD Term SOFR + 1.31%, 6.64%, 12/13/2038 (a) (b)
|
|
| 145,171
|
| 143,134
|
LFT CRE Ltd.
Series 2021-FL1, Class A, 1 mo. USD Term SOFR + 1.28%, 6.61%, 6/15/2039 (a) (b)
|
|
| 393,737
|
| 390,724
|
LoanCore Issuer Ltd.:
|
|
|
|
|
|
Series 2021-CRE6, Class A, 1 mo. USD Term SOFR + 1.41%, 6.74%, 11/15/2038 (a) (b)
|
|
| 328,126
|
| 325,361
|
Series 2022-CRE7, Class A, 30 day USD SOFR Average + 1.55%, 6.87%, 1/17/2037 (a) (b)
|
|
| 499,930
|
| 497,730
|
MF1 Ltd.:
|
|
|
|
|
|
Series 2022-FL8, Class A, 1 mo. USD Term SOFR + 1.35%, 6.68%, 2/19/2037 (a) (b)
|
|
| 337,217
|
| 335,118
|
Series 2021-FL7, Class A, 1 mo. USD Term SOFR + 1.19%, 6.52%, 10/16/2036 (a) (b)
|
|
| 284,728
|
| 282,922
|
Series 2021-FL6, Class A, 1 mo. USD Term SOFR + 1.21%, 6.54%, 7/16/2036 (a) (b)
|
|
| 217,757
|
| 216,429
|
PFP Ltd.
Series 2021-8, Class A, 1 mo. USD Term SOFR + 1.11%, 6.44%, 8/9/2037 (a) (b)
|
|
| 308,336
|
| 305,891
|
Ready Capital Mortgage Financing LLC
Series 2021-FL6, Class A, 1 mo. USD Term SOFR + 1.06%, 6.39%, 7/25/2036 (a) (b)
|
|
| 36,928
|
| 36,599
|
Retained Vantage Data Centers Issuer LLC
Series 2023-1A, Class A2A, 5.00%, 9/15/2048 (b)
|
|
| 250,000
|
| 241,294
|
Starwood Ltd.
Series 2022-FL3, Class A, 30 day USD SOFR Average + 1.35%, 6.67%, 11/15/2038 (a) (b)
|
|
| 220,000
|
| 217,454
|
Security Description
|
|
| Principal
Amount
|
| Value
|
TRTX Issuer Ltd.
Series 2022-FL5, Class A, 30 day USD SOFR Average + 1.65%, 6.97%, 2/15/2039 (a) (b)
|
|
| $320,000
|
| $317,293
|
VMC Finance LLC
Series 2022-FL5, Class A, 30 day USD SOFR Average + 1.90%, 7.22%, 2/18/2039 (a) (b)
|
|
| 635,821
|
| 624,521
|
|
|
|
|
| 7,563,866
|
HOME EQUITY ABS — 0.3%
|
|
|
|
|
|
Credit-Based Asset Servicing & Securitization LLC
Series 2004-CB7, Class M1, 1 mo. USD Term SOFR + 1.12%, 3.79%, 10/25/2034 (a)
|
|
| 486,514
|
| 432,026
|
Washington Mutual Asset-Backed Certificates WMABS Trust
Series 2006-HE5, Class 2A2, 1 mo. USD Term SOFR + 0.47%, 4.48%, 10/25/2036 (a)
|
|
| 265,367
|
| 95,482
|
|
|
|
|
| 527,508
|
OTHER ABS — 16.5%
|
|
|
|
|
|
ACHV ABS Trust
Series 2023-4CP, Class A, 6.81%, 11/25/2030 (b)
|
|
| 361,497
|
| 361,975
|
Affirm Asset Securitization Trust:
|
|
|
|
|
|
Series 2022-A, Class A, 4.30%, 5/17/2027 (b)
|
|
| 500,000
|
| 496,795
|
Series 2023-X1, Class A, 7.11%, 11/15/2028 (b)
|
|
| 563,405
|
| 565,974
|
Anchorage Capital CLO 19 Ltd.
Series 2021-19A, Class A, 3 mo. USD Term SOFR + 1.47%, 6.79%, 10/15/2034 (a) (b)
|
|
| 1,500,000
|
| 1,497,900
|
Carlyle U.S. CLO Ltd.
Series 2021-1A, Class A1, 3 mo. USD Term SOFR + 1.40%, 6.72%, 4/15/2034 (a) (b)
|
|
| 1,000,000
|
| 1,000,704
|
CarVal CLO IV Ltd.
Series 2021-1A, Class A1A, 3 mo. USD Term SOFR + 1.44%, 6.76%, 7/20/2034 (a) (b)
|
|
| 500,000
|
| 499,200
|
CarVal CLO IX-C Ltd.
Series 2024-1A, Class A, 3 mo. USD Term SOFR + 1.68%, 7.00%, 4/20/2037 (a) (b)
|
|
| 500,000
|
| 499,740
|
See accompanying notes to Schedule of
Investments.
97
SPDR DOUBLELINE SHORT DURATION TOTAL RETURN TACTICAL
ETF
Schedule of Investments (continued)
March 31, 2024 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
CQS U.S. CLO Ltd.
Series 2021-1A, Class A, 3 mo. USD Term SOFR + 1.48%, 6.80%, 1/20/2035 (a) (b)
|
|
| $1,500,000
|
| $1,497,450
|
Diamond Resorts Owner Trust
Series 2021-1A, Class A, 1.51%, 11/21/2033 (b)
|
|
| 314,622
|
| 299,279
|
Domino's Pizza Master Issuer LLC
Series 2017-1A, Class A23, 4.12%, 7/25/2047 (b)
|
|
| 846,000
|
| 809,746
|
HalseyPoint CLO 3 Ltd.
Series 2020-3A, Class A1A, 3 mo. USD Term SOFR + 1.71%, 7.03%, 11/30/2032 (a) (b)
|
|
| 1,150,000
|
| 1,150,115
|
Jamestown CLO XV Ltd.
Series 2020-15A, Class A, 3 mo. USD Term SOFR + 1.60%, 6.92%, 4/15/2033 (a) (b)
|
|
| 500,000
|
| 501,326
|
Katayma CLO II Ltd.
Series 2024-2A, Class A1, 3 mo. USD Term SOFR + 1.65%, 6.94%, 4/20/2037 (a) (b)
|
|
| 500,000
|
| 501,750
|
Loanpal Solar Loan Ltd.
Series 2021-1GS, Class A, 2.29%, 1/20/2048 (b)
|
|
| 305,860
|
| 245,413
|
Marble Point CLO XXI Ltd.
Series 2021-3A, Class A1, 3 mo. USD Term SOFR + 1.50%, 6.82%, 10/17/2034 (a) (b)
|
|
| 2,000,000
|
| 1,998,164
|
Marble Point CLO XXII Ltd.
Series 2021-2A, Class A, 3 mo. USD Term SOFR + 1.46%, 6.79%, 7/25/2034 (a) (b)
|
|
| 1,000,000
|
| 996,122
|
Marlette Funding Trust:
|
|
|
|
|
|
Series 2022-3A, Class B, 5.95%, 11/15/2032 (b)
|
|
| 500,000
|
| 498,998
|
Series 2021-1A, Class C, 1.41%, 6/16/2031 (b)
|
|
| 1,732
|
| 1,732
|
MP CLO VIII Ltd.
Series 2015-2A, Class ARR, 3 mo. USD Term SOFR + 1.46%, 6.78%, 4/28/2034 (a) (b)
|
|
| 1,300,000
|
| 1,297,400
|
Northwoods Capital XVI Ltd.
Series 2017-16A, Class A, 3 mo. USD Term SOFR + 1.53%, 6.84%, 11/15/2030 (a) (b)
|
|
| 823,364
|
| 822,706
|
Security Description
|
|
| Principal
Amount
|
| Value
|
Octagon Investment Partners 51 Ltd.
Series 2021-1A, Class A, 3 mo. USD Term SOFR + 1.41%, 6.73%, 7/20/2034 (a) (b)
|
|
| $1,000,000
|
| $1,000,090
|
Pagaya AI Debt Selection Trust:
|
|
|
|
|
|
Series 2021-3, Class B, 1.74%, 5/15/2029 (b)
|
|
| 363,534
|
| 361,685
|
Series 2021-5, Class B, 2.63%, 8/15/2029 (b)
|
|
| 855,048
|
| 844,814
|
Pagaya AI Debt Trust:
|
|
|
|
|
|
Series 2023-5, Class A, 7.18%, 4/15/2031 (b)
|
|
| 234,204
|
| 234,827
|
Series 2023-7, Class A, 7.23%, 7/15/2031 (b)
|
|
| 411,268
|
| 412,609
|
Series 2023-1, Class A, 7.56%, 7/15/2030 (b)
|
|
| 222,382
|
| 223,406
|
Peace Park CLO Ltd.
Series 2021-1A, Class A, 3 mo. USD Term SOFR + 1.39%, 6.71%, 10/20/2034 (a) (b)
|
|
| 1,000,000
|
| 1,002,525
|
Regatta VI Funding Ltd.
Series 2016-1A, Class AR2, 3 mo. USD Term SOFR + 1.42%, 6.74%, 4/20/2034 (a) (b)
|
|
| 1,000,000
|
| 998,700
|
Regatta XXIII Funding Ltd.
Series 2021-4A, Class A1, 3 mo. USD Term SOFR + 1.41%, 6.73%, 1/20/2035 (a) (b)
|
|
| 2,265,000
|
| 2,263,868
|
Rockford Tower CLO Ltd.
Series 2024-1A, Class A1, 3 mo. USD Term SOFR - 1.61%, 1.00%, 4/20/2037 (a) (b)
|
|
| 1,000,000
|
| 1,000,000
|
Sapphire Aviation Finance II Ltd.
Series 2020-1A, Class A, 3.23%, 3/15/2040 (b)
|
|
| 317,350
|
| 288,798
|
Shackleton CLO Ltd.
Series 2013-3A, Class AR, 3 mo. USD Term SOFR + 1.38%, 6.70%, 7/15/2030 (a) (b)
|
|
| 252,980
|
| 252,828
|
Sound Point CLO Ltd.
Series 2024-38A, Class A1, 3 mo. USD Term SOFR + 1.60%, 6.92%, 2/20/2037 (a) (b)
|
|
| 1,000,000
|
| 1,000,000
|
Sound Point CLO XXVI Ltd.
Series 2020-1A, Class AR, 3 mo. USD Term SOFR + 1.43%, 6.75%, 7/20/2034 (a) (b)
|
|
| 1,000,000
|
| 998,071
|
See accompanying notes to Schedule of
Investments.
98
SPDR DOUBLELINE SHORT DURATION TOTAL RETURN TACTICAL
ETF
Schedule of Investments (continued)
March 31, 2024 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
Vibrant CLO IV Ltd.
Series 2016-4A, Class A1RR, 3 mo. USD Term SOFR + 1.38%, 6.70%, 7/20/2032 (a) (b)
|
|
| $500,000
|
| $499,800
|
Vibrant CLO VIII Ltd.
Series 2018-8A, Class A1A, 3 mo. USD Term SOFR + 1.40%, 6.72%, 1/20/2031 (a) (b)
|
|
| 341,864
|
| 342,097
|
Wellfleet CLO Ltd.
Series 2020-2A, Class AR, 3 mo. USD Term SOFR + 1.48%, 6.80%, 7/15/2034 (a) (b)
|
|
| 1,000,000
|
| 998,600
|
|
|
|
|
| 28,265,207
|
STUDENT LOAN ABS — 0.1%
|
|
|
|
|
|
Commonbond Student Loan Trust
Series 2018-BGS, Class B, 3.99%, 9/25/2045 (b)
|
|
| 91,391
|
| 85,617
|
Laurel Road Prime Student Loan Trust
Series 2019-A, Class A1FX, 2.34%, 10/25/2048 (b)
|
|
| 14,777
|
| 14,602
|
|
|
|
|
| 100,219
|
WL COLLATERAL CMO — 0.7%
|
|
|
|
|
|
VOLT C LLC
Series 2021-NPL9, Class A1, 1.99%, 5/25/2051 (b) (c)
|
|
| 303,169
|
| 292,065
|
VOLT CI LLC
Series 2021-NP10, Class A1, 1.99%, 5/25/2051 (b) (c)
|
|
| 1,043,945
|
| 1,002,854
|
|
|
|
|
| 1,294,919
|
TOTAL ASSET-BACKED SECURITIES
(Cost $41,767,308)
|
|
|
|
| 41,702,148
|
FOREIGN GOVERNMENT OBLIGATIONS — 0.3%
|
|
|
|
|
|
COLOMBIA — 0.1%
|
|
|
|
|
|
Colombia Government International Bonds
4.50%, 1/28/2026
|
|
| 200,000
|
| 195,340
|
DOMINICAN REPUBLIC — 0.1%
|
|
|
|
|
|
Dominican Republic International Bonds
5.50%, 1/27/2025
|
|
| 100,000
|
| 99,254
|
Security Description
|
|
| Principal
Amount
|
| Value
|
SOUTH AFRICA — 0.1%
|
|
|
|
|
|
Republic of South Africa Government International Bonds
4.88%, 4/14/2026
|
|
| $200,000
|
| $194,538
|
TOTAL FOREIGN GOVERNMENT OBLIGATIONS
(Cost $509,052)
|
|
|
|
| 489,132
|
U.S. GOVERNMENT AGENCY OBLIGATIONS — 4.3%
|
|
|
|
|
|
Federal Home Loan Mortgage Corp. REMICS:
|
|
|
|
|
|
Series 4211, Class AP, 1.60%, 3/15/2043
|
|
| 614,797
|
| 563,854
|
Series 4461, Class BA, CMO, 2.00%, 12/15/2043
|
|
| 404,221
|
| 370,395
|
Series 5179, Class GD, CMO, 2.00%, 12/25/2047
|
|
| 837,824
|
| 707,679
|
Series 4030, Class AN, CMO, REMIC, 1.75%, 4/15/2027
|
|
| 140,645
|
| 136,851
|
Series 4484, Class CD, CMO, REMIC, 1.75%, 7/15/2030
|
|
| 47,581
|
| 44,475
|
Federal Home Loan Mortgage Corp. STACR REMICS Trust Series 2024-HQA1, Class M1, 30 day USD SOFR Average + 1.25%, 6.57%, 3/25/2044 (a) (b)
|
|
| 1,700,000
|
| 1,700,287
|
Federal National Mortgage Association:
|
|
|
|
|
|
3.00%, 11/1/2033
|
|
| 543,348
|
| 514,789
|
3.00%, 11/1/2036
|
|
| 140,921
|
| 130,260
|
5.00%, 8/1/2043
|
|
| 787,339
|
| 779,270
|
Federal National Mortgage Association REMICS:
|
|
|
|
|
|
Series 2008-9, Class FA, 30 day USD SOFR Average + 0.61%, 5.93%, 2/25/2038 (a)
|
|
| 857,470
|
| 846,984
|
Series 2010-141, Class FB, CMO, REMIC, 30 day USD SOFR Average + 0.58%, 5.90%, 12/25/2040 (a)
|
|
| 117,015
|
| 115,763
|
Series 2016-8, Class FA, CMO, REMIC, 30 day USD SOFR Average + 0.56%, 5.88%, 3/25/2046 (a)
|
|
| 201,964
|
| 197,435
|
Series 2018-27, Class FJ, CMO, REMIC, 30 day USD SOFR Average + 0.41%, 5.73%, 12/25/2047 (a)
|
|
| 142,814
|
| 138,360
|
Series 2018-45, Class FA, CMO, REMIC, 30 day USD SOFR Average + 0.41%, 5.73%, 6/25/2048 (a)
|
|
| 157,855
|
| 152,972
|
See accompanying notes to Schedule of
Investments.
99
SPDR DOUBLELINE SHORT DURATION TOTAL RETURN TACTICAL
ETF
Schedule of Investments (continued)
March 31, 2024 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
Federal National Mortgage Association-Aces Series 2020-M49, Class 1A1, VRN, 1.26%, 11/25/2030 (a)
|
|
| $1,005,823
|
| $890,966
|
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS
(Cost $7,706,814)
|
|
|
|
| 7,290,340
|
U.S. TREASURY OBLIGATIONS — 31.2%
|
|
|
|
|
|
U.S. Treasury Bills 5.16%, 5/2/2024
|
|
| 10,000,000
|
| 9,954,681
|
U.S. Treasury Notes:
|
|
|
|
|
|
4.00%, 1/15/2027
|
|
| 22,000,000
|
| 21,740,469
|
4.25%, 1/31/2026
|
|
| 22,000,000
|
| 21,828,984
|
TOTAL U.S. TREASURY OBLIGATIONS
(Cost $53,727,401)
|
|
|
|
| 53,524,134
|
MORTGAGE-BACKED SECURITIES — 12.1%
|
|
|
|
|
|
BLP Commercial Mortgage Trust Series 2024-IND2, Class A, 1 mo. USD Term SOFR + 1.34%, 6.67%, 3/15/2041 (a) (b)
|
|
| 250,000
|
| 249,808
|
BX Trust Series 2019-CALM, Class A, 1 mo. USD Term SOFR + 0.99%, 6.32%, 11/15/2032 (a) (b)
|
|
| 1,091,231
|
| 1,090,769
|
Citigroup Commercial Mortgage Trust Series 2016-P3, Class A4, 3.33%, 4/15/2049
|
|
| 270,000
|
| 257,863
|
Citigroup Mortgage Loan Trust, Inc. Series 2007-AR8, Class 2A1A, CMO, 4.47%, 7/25/2037 (a)
|
|
| 2,942,967
|
| 2,397,390
|
Compass Datacenters Issuer II LLC Series 2024-1A, Class A1, 5.25%, 2/25/2049 (b)
|
|
| 500,000
|
| 489,500
|
Countrywide Alternative Loan Trust:
|
|
|
|
|
|
Series 2006-J7, Class 1A3, 6.25%, 11/25/2036
|
|
| 414,763
|
| 203,295
|
Series 2006-41CB, Class 1A3, CMO, 6.00%, 1/25/2037
|
|
| 232,495
|
| 122,446
|
CSMC Trust Series 2020-RPL3, Class A1, CMO, 4.08%, 3/25/2060 (a) (b)
|
|
| 743,973
|
| 740,778
|
Federal Home Loan Mortgage Corp. REMICS Series 4981, Class GF, 30 day USD SOFR Average + 0.51%, 5.83%, 6/25/2050 (a)
|
|
| 887,976
|
| 866,190
|
Security Description
|
|
| Principal
Amount
|
| Value
|
Federal National Mortgage Association REMICS Series 2016-83, Class FK, 30 day USD SOFR Average + 0.61%, 5.93%, 11/25/2046 (a)
|
|
| $787,733
|
| $774,153
|
Great Wolf Trust Series 2024-WOLF, Class A, 1 mo. USD Term SOFR + 1.54%, 6.84%, 3/15/2039 (a) (b)
|
|
| 200,000
|
| 200,375
|
GS Mortgage Securities Trust Series 2013-GC13, Class AS, 3.84%, 7/10/2046 (a) (b)
|
|
| 243,995
|
| 230,448
|
Legacy Mortgage Asset Trust:
|
|
|
|
|
|
Series 2021-GS1, Class A1, 4.89%, 10/25/2066 (b) (c)
|
|
| 350,436
|
| 345,775
|
Series 2021-GS2, Class A1, 1.75%, 4/25/2061 (b) (c)
|
|
| 293,832
|
| 284,750
|
Luminent Mortgage Trust Series 2007-1, Class 1A1, CMO, 1 mo. USD Term SOFR + 0.43%, 5.76%, 11/25/2036 (a)
|
|
| 2,392,141
|
| 2,055,088
|
Med Trust Series 2021-MDLN, Class A, 1 mo. USD Term SOFR + 1.06%, 6.39%, 11/15/2038 (a) (b)
|
|
| 303,543
|
| 302,462
|
MFA Trust Series 2023-NQM3, Class A1, 6.62%, 7/25/2068 (b) (c)
|
|
| 627,376
|
| 629,740
|
Morgan Stanley Bank of America Merrill Lynch Trust Series 2015-C23, Class AS, 4.00%, 7/15/2050 (a)
|
|
| 259,000
|
| 252,201
|
OBX Trust Series 2023-NQM10, Class A1, 6.47%, 10/25/2063 (b) (c)
|
|
| 764,499
|
| 768,793
|
PRPM LLC Series 2022-1, Class A1, 3.72%, 2/25/2027 (b) (c)
|
|
| 1,472,294
|
| 1,430,014
|
Residential Asset Securitization Trust Series 2006-A6, Class 1A4, CMO, IO, 6.00%, 7/25/2036
|
|
| 2,582,020
|
| 627,829
|
Residential Mortgage Loan Trust Series 2020-1, Class A1, 2.38%, 1/26/2060 (a) (b)
|
|
| 683,043
|
| 655,832
|
Verus Securitization Trust:
|
|
|
|
|
|
Series 2022-3, Class A1, 4.13%, 2/25/2067 (b) (c)
|
|
| 712,907
|
| 667,888
|
Series 2023-5, Class A1, 6.48%, 6/25/2068 (b) (c)
|
|
| 1,066,049
|
| 1,068,277
|
Series 2023-INV2, Class A1, 6.44%, 8/25/2068 (b) (c)
|
|
| 1,186,808
|
| 1,190,080
|
Series 2024-1, Class A1, 5.71%, 1/25/2069 (b) (c)
|
|
| 785,923
|
| 780,868
|
WaMu Mortgage Pass-Through Certificates Trust Series 2006-AR16, Class 2A1, CMO, 4.36%, 12/25/2036 (a)
|
|
| 1,688,621
|
| 1,502,387
|
See accompanying notes to Schedule of
Investments.
100
SPDR DOUBLELINE SHORT DURATION TOTAL RETURN TACTICAL
ETF
Schedule of Investments (continued)
March 31, 2024 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
Washington Mutual Mortgage Pass-Through Certificates WMALT Trust Series 2005-8, Class 2CB3, CMO, 1 mo. USD Term SOFR + 0.52%, 5.50%, 10/25/2035 (a)
|
|
| $259,274
|
| $243,329
|
Wells Fargo Commercial Mortgage Trust Series 2015-C28, Class A4, 3.54%, 5/15/2048
|
|
| 270,000
|
| 262,884
|
TOTAL MORTGAGE-BACKED SECURITIES
(Cost $22,083,411)
|
|
|
|
| 20,691,212
|
COMMERCIAL MORTGAGE BACKED SECURITIES — 4.6%
|
|
|
|
|
|
Arbor Multifamily Mortgage Securities Trust Series 2021-MF2, Class A2, 2.02%, 6/15/2054 (b)
|
|
| 139,000
|
| 129,187
|
AREIT Trust Series 2022-CRE6, Class A, 30 day USD SOFR Average + 1.25%, 6.57%, 1/20/2037 (a) (b)
|
|
| 89,407
|
| 88,818
|
Bank:
|
|
|
|
|
|
Series 2017-BNK6, Class XA, IO, 0.77%, 7/15/2060 (a)
|
|
| 976,178
|
| 21,113
|
Series 2020-BN26, Class XA, IO, VRN, 1.21%, 3/15/2063 (a)
|
|
| 1,283,782
|
| 67,213
|
Benchmark Mortgage Trust:
|
|
|
|
|
|
Series 2018-B1, Class XA, IO, 0.52%, 1/15/2051 (a)
|
|
| 1,549,460
|
| 23,134
|
Series 2019-B15, Class XA, IO, VRN, 0.81%, 12/15/2072 (a)
|
|
| 4,029,829
|
| 135,300
|
BPR Trust:
|
|
|
|
|
|
Series 2021-TY, Class A, 1 mo. USD Term SOFR + 1.16%, 6.49%, 9/15/2038 (a) (b)
|
|
| 192,000
|
| 190,848
|
Series 2022-OANA, Class A, 1 mo. USD Term SOFR + 1.90%, 7.22%, 4/15/2037 (a) (b)
|
|
| 250,000
|
| 251,034
|
BX Commercial Mortgage Trust:
|
|
|
|
|
|
Series 2019-IMC, Class B, 1 mo. USD Term SOFR + 1.35%, 6.67%, 4/15/2034 (a) (b)
|
|
| 100,000
|
| 99,645
|
Series 2021-21M, Class A, 1 mo. USD Term SOFR + 0.84%, 6.17%, 10/15/2036 (a) (b)
|
|
| 122,160
|
| 121,130
|
Security Description
|
|
| Principal
Amount
|
| Value
|
Series 2021-CIP, Class A, 1 mo. USD Term SOFR + 1.04%, 6.36%, 12/15/2038 (a) (b)
|
|
| $250,000
|
| $247,437
|
BXMT Ltd. Series 2021-FL4, Class A, 1 mo. USD Term SOFR + 1.16%, 6.49%, 5/15/2038 (a) (b)
|
|
| 132,873
|
| 126,654
|
Citigroup Commercial Mortgage Trust:
|
|
|
|
|
|
Series 2016-P3, Class A3, 3.06%, 4/15/2049
|
|
| 317,000
|
| 305,557
|
Series 2016-GC37, Class XA, IO, 1.65%, 4/10/2049 (a)
|
|
| 370,737
|
| 8,575
|
CLNC Ltd. Series 2019-FL1, Class AS, ABS, 1 mo. USD Term SOFR + 1.66%, 6.99%, 8/20/2035 (a) (b)
|
|
| 130,465
|
| 128,613
|
Cold Storage Trust Series 2020-ICE5, Class A, 1 mo. USD Term SOFR + 1.01%, 6.33%, 11/15/2037 (a) (b)
|
|
| 221,173
|
| 220,731
|
COMM Mortgage Trust:
|
|
|
|
|
|
Series 2014-UBS5, Class A3, 3.57%, 9/10/2047
|
|
| 141,318
|
| 140,710
|
Series 2015-DC1, Class A5, 3.35%, 2/10/2048
|
|
| 200,000
|
| 195,906
|
Series 2018-HCLV, Class A, 1 mo. USD Term SOFR + 1.30%, 6.62%, 9/15/2033 (a) (b)
|
|
| 70,000
|
| 65,999
|
Series 2015-CR25, Class XA, IO, 0.79%, 8/10/2048 (a)
|
|
| 1,048,520
|
| 8,263
|
CSAIL Commercial Mortgage Trust:
|
|
|
|
|
|
Series 2017-C8, Class XA, IO, 1.07%, 6/15/2050 (a)
|
|
| 234,929
|
| 6,096
|
Series 2017-CX10, Class XA, IO, 0.75%, 11/15/2050 (a)
|
|
| 836,882
|
| 15,648
|
Series 2017-CX9, Class XA, IO, 0.61%, 9/15/2050 (a)
|
|
| 1,183,863
|
| 13,400
|
CSMC Trust Capital Certificates Series 2019-ICE4, Class B, 1 mo. USD Term SOFR + 1.28%, 6.60%, 5/15/2036 (a) (b)
|
|
| 224,442
|
| 224,275
|
DBJPM Mortgage Trust Series 2020-C9, Class A2, 1.90%, 8/15/2053
|
|
| 247,871
|
| 235,896
|
EQUS Mortgage Trust Series 2021-EQAZ, Class A, 1 mo. USD Term SOFR + 0.87%, 6.20%, 10/15/2038 (a) (b)
|
|
| 180,996
|
| 179,803
|
Extended Stay America Trust Series 2021-ESH, Class A, 1 mo. USD Term SOFR + 1.19%, 6.52%, 7/15/2038 (a) (b)
|
|
| 274,277
|
| 274,213
|
See accompanying notes to Schedule of
Investments.
101
SPDR DOUBLELINE SHORT DURATION TOTAL RETURN TACTICAL
ETF
Schedule of Investments (continued)
March 31, 2024 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
FS Rialto Issuer LLC Series 2019-FL1, Class A, 1 mo. USD Term SOFR + 1.31%, 6.64%, 12/16/2036 (a) (b)
|
|
| $41,580
|
| $41,329
|
GPMT Ltd. Series 2021-FL3, Class A, 1 mo. USD Term SOFR + 1.36%, 6.69%, 7/16/2035 (a) (b)
|
|
| 173,763
|
| 171,600
|
Great Wolf Trust Series 2019-WOLF, Class A, 1 mo. USD Term SOFR + 1.35%, 6.67%, 12/15/2036 (a) (b)
|
|
| 58,836
|
| 58,727
|
GS Mortgage Securities Corportation Trust Series 2021-IP, Class A, 1 mo. USD Term SOFR + 1.06%, 6.39%, 10/15/2036 (a) (b)
|
|
| 181,000
|
| 178,405
|
GS Mortgage Securities Trust:
|
|
|
|
|
|
Series 2015-GC34, Class A4, 3.51%, 10/10/2048
|
|
| 225,000
|
| 215,038
|
Series 2017-GS7, Class XA, IO, 1.08%, 8/10/2050 (a)
|
|
| 369,344
|
| 9,591
|
Series 2020-GC47, Class XA, IO, VRN, 1.13%, 5/12/2053 (a)
|
|
| 2,107,584
|
| 107,858
|
JP Morgan Chase Commercial Mortgage Securities Trust:
|
|
|
|
|
|
Series 2022-NLP, Class A, 1 mo. USD Term SOFR + 0.60%, 5.92%, 4/15/2037 (a) (b)
|
|
| 183,541
|
| 174,669
|
Series 2016-JP4, Class XA, IO, 0.57%, 12/15/2049 (a)
|
|
| 1,327,550
|
| 15,302
|
JPMBB Commercial Mortgage Securities Trust Series 2014-C25, Class B, VRN, 4.35%, 11/15/2047 (a)
|
|
| 150,000
|
| 137,937
|
JPMCC Commercial Mortgage Securities Trust Series 2019-COR5, Class XA, IO, VRN, 1.47%, 6/13/2052 (a)
|
|
| 1,063,239
|
| 55,575
|
MF1 Multifamily Housing Mortgage Loan Trust Series 2021-FL5, Class AS, 1 mo. USD Term SOFR + 1.31%, 6.64%, 7/15/2036 (a) (b)
|
|
| 138,000
|
| 135,780
|
MHP Trust Series 2022-MHIL, Class A, 1 mo. USD Term SOFR + 0.81%, 6.14%, 1/15/2027 (a) (b)
|
|
| 143,123
|
| 141,879
|
Morgan Stanley Bank of America Merrill Lynch Trust:
|
|
|
|
|
|
Series 2014-C16, Class AS, 4.09%, 6/15/2047
|
|
| 201,000
|
| 199,182
|
Series 2014-C19, Class LNCX, IO, 0.60%, 12/15/2046 (a) (b)
|
|
| 1,111,572
|
| 1,311
|
Security Description
|
|
| Principal
Amount
|
| Value
|
Morgan Stanley Capital I Trust:
|
|
|
|
|
|
Series 2019-PLND, Class B, 1 mo. USD Term SOFR + 1.41%, 6.74%, 5/15/2036 (a) (b)
|
|
| $163,000
|
| $145,310
|
Series 2019-PLND, Class D, 1 mo. USD Term SOFR + 1.86%, 7.19%, 5/15/2036 (a) (b)
|
|
| 127,000
|
| 95,630
|
Series 2021-L6, Class A2, 2.13%, 6/15/2054 (a)
|
|
| 151,000
|
| 140,304
|
Series 2016-UB12, Class XA, IO, 0.65%, 12/15/2049 (a)
|
|
| 1,308,254
|
| 17,288
|
MSC Trust Series 2021-ILP, Class A, 1 mo. USD Term SOFR + 0.89%, 6.22%, 11/15/2036 (a) (b)
|
|
| 180,403
|
| 178,957
|
Natixis Commercial Mortgage Securities Trust Series 2018-FL1, Class A, 8.50%, 6/15/2035 (a) (b)
|
|
| 14,487
|
| 13,396
|
Ready Capital Mortgage Financing LLC Series 2021-FL7, Class A, 1 mo. USD Term SOFR + 1.31%, 6.64%, 11/25/2036 (a) (b)
|
|
| 277,311
|
| 275,936
|
SREIT Trust Series 2021-MFP, Class A, 1 mo. USD Term SOFR + 0.85%, 6.17%, 11/15/2038 (a) (b)
|
|
| 173,192
|
| 172,316
|
Starwood Ltd. Series 2019-FL1, Class AS, 1 mo. USD Term SOFR + 1.51%, 6.84%, 7/15/2038 (a) (b)
|
|
| 100,000
|
| 98,606
|
UBS Commercial Mortgage Trust Series 2017-C1, Class XA, IO, 1.52%, 6/15/2050 (a)
|
|
| 577,689
|
| 20,718
|
Velocity Commercial Capital Loan Trust Series 2018-2, Class A, 4.05%, 10/26/2048 (a) (b)
|
|
| 214,841
|
| 202,373
|
Wells Fargo Commercial Mortgage Trust:
|
|
|
|
|
|
Series 2021-C60, Class A2, 2.04%, 8/15/2054
|
|
| 151,000
|
| 140,832
|
Series 2021-SAVE, Class A, 1 mo. USD Term SOFR + 1.26%, 6.59%, 2/15/2040 (a) (b)
|
|
| 57,265
|
| 56,814
|
Series 2021-SAVE, Class B, 1 mo. USD Term SOFR + 1.56%, 6.89%, 2/15/2040 (a) (b)
|
|
| 80,000
|
| 78,989
|
Series 2022-ONL, Class A, 3.86%, 12/15/2039 (b)
|
|
| 500,000
|
| 466,372
|
Series 2019-C51, Class XA, IO, VRN, 1.28%, 6/15/2052 (a)
|
|
| 876,827
|
| 46,520
|
See accompanying notes to Schedule of
Investments.
102
SPDR DOUBLELINE SHORT DURATION TOTAL RETURN TACTICAL
ETF
Schedule of Investments (continued)
March 31, 2024 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
Series 2019-C52, Class XA, IO, VRN, 1.59%, 8/15/2052 (a)
|
|
| $2,786,129
|
| $161,536
|
WFRBS Commercial Mortgage Trust:
|
|
|
|
|
|
Series 2014-C21, Class AS, 3.89%, 8/15/2047
|
|
| 250,000
|
| 239,475
|
Series 2014-C23, Class AS, VRN, 4.21%, 10/15/2057 (a)
|
|
| 235,000
|
| 224,114
|
TOTAL COMMERCIAL MORTGAGE BACKED SECURITIES
(Cost $9,071,977)
|
|
|
|
| 7,944,867
|
SENIOR FLOATING RATE LOANS — 5.2%
|
|
|
|
ADVERTISING SERVICES — 0.1%
|
|
|
|
|
Lamar Media Corp. 2020 Term Loan B, 1 mo. USD Term SOFR + 1.50%, 6.93%, 2/5/2027 (a)
|
| 175,000
|
| 175,000
|
AIRLINES — 0.1% (d)
|
|
|
|
|
Mileage Plus Holdings LLC 2020 Term Loan B, 3 mo. USD Term SOFR + 5.25%, 10.73%, 6/21/2027 (a)
|
| 69,333
|
| 71,484
|
BUILDING PRODUCTS — 0.1%
|
|
|
|
|
Ingersoll-Rand Services Co. 2020 USD Spinco Term Loan, 1 mo. USD Term SOFR + 1.75%, 7.08%, 3/1/2027 (a)
|
| 83,430
|
| 83,699
|
Installed Building Product, Inc. 2024 Term Loan B (e)
|
| 40,000
|
| 40,138
|
|
|
|
|
| 123,837
|
CHEMICALS — 0.4%
|
|
|
|
|
Axalta Coating Systems U.S. Holdings, Inc. 2024 Term Loan B6, 3 mo. USD Term SOFR + 2.00%, 7.33%, 12/20/2029 (a)
|
| 270,849
|
| 271,574
|
Element Solutions, Inc. 2023 Term Loan B, 1 mo. USD Term SOFR + 2.00%, 7.33%, 12/18/2030 (a)
|
| 279,300
|
| 279,882
|
H.B. Fuller Co. 2024 Term Loan B, 1 mo. USD Term SOFR + 2.00%, 7.33%, 2/15/2030 (a)
|
| 125,000
|
| 125,437
|
|
|
|
|
| 676,893
|
COMMERCIAL SERVICES — 0.2%
|
|
|
|
|
APi Group DE, Inc. 2023 Incremental Term Loan, 1 mo. USD Term SOFR + 2.50%, 7.94%, 1/3/2029 (a)
|
| 115,000
|
| 115,384
|
Security Description
|
|
| Principal
Amount
|
| Value
|
Trans Union LLC 2019 Term Loan B5, 1 mo. USD Term SOFR + 1.75%, 7.18%, 11/16/2026 (a)
|
| $184,371
|
| $184,507
|
Vestis Corp. Term Loan, 3 mo. USD Term SOFR + 2.25%, 7.58%, 2/22/2031 (a)
|
| 50,000
|
| 50,062
|
|
|
|
|
| 349,953
|
COMMERCIAL SERVICES & SUPPLIES — 0.1%
|
|
|
|
|
Aramark Services, Inc. 2023 Term Loan B6, 1 mo. USD Term SOFR + 2.00%, 7.33%, 6/22/2030 (a)
|
| 79,400
|
| 79,533
|
CONTAINERS & PACKAGING — 0.1%
|
|
|
|
|
Berry Global, Inc. 2023 Term Loan AA, 1 mo. USD Term SOFR + 1.75%, 7.18%, 7/1/2029 (a)
|
| 234,412
|
| 234,581
|
DISTRIBUTION/WHOLESALE — 0.3%
|
|
|
|
|
American Builders & Contractors Supply Co., Inc. 2024 Term Loan B, 1 mo. USD Term SOFR + 2.00%, 7.33%, 1/31/2031 (a)
|
| 270,000
|
| 270,379
|
Resideo Funding, Inc. 2021 Term Loan, 1 mo. USD Term SOFR + 2.25%, 7.68%, 2/11/2028 (a)
|
| 291,729
|
| 292,186
|
|
|
|
|
| 562,565
|
DIVERSIFIED FINANCIAL SERVICES — 0.2%
|
|
|
|
|
Focus Financial Partners LLC 2021 Term Loan B4 (e)
|
| 34,208
|
| 34,119
|
Setanta Aircraft Leasing Designated Activity Co. Term Loan B, 3 mo. USD Term SOFR + 2.00%, 7.56%, 11/5/2028 (a)
|
| 250,000
|
| 250,799
|
Walker & Dunlop, Inc. 2021 Term Loan, 1 mo. USD Term SOFR + 2.25%, 7.68%, 12/16/2028 (a)
|
| 39,100
|
| 39,051
|
|
|
|
|
| 323,969
|
ELECTRICAL EQUIPMENT — 0.1%
|
|
|
|
|
Energizer Holdings, Inc. 2020 Term Loan, 1 mo. USD Term SOFR + 2.25%, 7.69%, 12/22/2027 (a)
|
| 173,966
|
| 174,096
|
ENTERTAINMENT — 0.4%
|
|
|
|
|
Flutter Financing BV Term Loan B, 3 mo. USD Term SOFR + 2.25%, 7.66%, 11/25/2030 (a)
|
| 309,225
|
| 309,914
|
See accompanying notes to Schedule of
Investments.
103
SPDR DOUBLELINE SHORT DURATION TOTAL RETURN TACTICAL
ETF
Schedule of Investments (continued)
March 31, 2024 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
WMG Acquisition Corp. 2024 Term Loan I, 1 mo. USD Term SOFR + 2.00%, 7.33%, 1/24/2031 (a)
|
| $277,767
|
| $277,767
|
|
|
|
|
| 587,681
|
ENVIRONMENTAL CONTROL — 0.1%
|
|
|
|
|
Clean Harbors, Inc. 2023 Term Loan (e)
|
| 84,783
|
| 85,048
|
FORESTRY — 0.2%
|
|
|
|
|
Asplundh Tree Expert LLC 2021 Term Loan B, 1 mo. USD Term SOFR + 1.75%, 7.18%, 9/7/2027 (a)
|
| 413,224
|
| 413,799
|
HEALTH CARE EQUIPMENT & SUPPLIES — 0.5%
|
|
|
|
|
Avantor Funding, Inc. 2024 Term Loan, 1 mo. USD Term SOFR + 2.00%, 7.43%, 11/8/2027 (a)
|
| 180,000
|
| 180,000
|
Catalent Pharma Solutions, Inc. 2021 Term Loan B3, 1 mo. USD Term SOFR + 2.00%, 7.44%, 2/22/2028 (a)
|
| 173,037
|
| 173,145
|
ICON Luxembourg SARL 2024 LUX Term Loan B, 3 mo. USD Term SOFR + 2.00%, 7.31%, 7/3/2028 (a)
|
| 220,150
|
| 220,938
|
IQVIA, Inc. 2023 USD Term Loan B4, 3 mo. USD Term SOFR + 2.00%, 7.31%, 1/2/2031 (a)
|
| 249,375
|
| 250,867
|
PRA Health Sciences, Inc. 2024 US Term Loan B, 3 mo. USD Term SOFR + 2.00%, 7.33%, 7/3/2028 (a)
|
| 54,850
|
| 55,047
|
|
|
|
|
| 879,997
|
HOTELS, RESTAURANTS & LEISURE — 0.0% (d)
|
|
|
|
|
Wyndham Hotels & Resorts, Inc. 2023 Term Loan B, 1 mo. USD Term SOFR + 2.25%, 7.68%, 5/24/2030 (a)
|
| 34,825
|
| 34,988
|
HOUSEHOLD PRODUCTS — 0.2%
|
|
|
|
|
Reynolds Consumer Products LLC Term Loan, 1 mo. USD Term SOFR + 1.75%, 7.18%, 2/4/2027 (a)
|
| 356,979
|
| 358,013
|
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS — 0.4%
|
|
|
|
|
Calpine Corp. Term Loan B9, 1 mo. USD Term SOFR + 2.00%, 7.33%, 1/31/2031 (a)
|
| 85,000
|
| 84,619
|
Security Description
|
|
| Principal
Amount
|
| Value
|
Calpine Corp. 2024 Term Loan B10 (e)
|
| $15,000
|
| $14,926
|
NRG Energy, Inc. 2024 Term Loan (e)
|
| 230,000
|
| 229,858
|
Vistra Operations Co. LLC 1st Lien Term Loan B3, 1 mo. USD Term SOFR + 2.00%, 7.33%, 12/20/2030 (a)
|
| 364,415
|
| 364,473
|
|
|
|
|
| 693,876
|
IT SERVICES — 0.2%
|
|
|
|
|
Fleetcor Technologies Operating Co. LLC 2021 Term Loan B4, 1 mo. USD Term SOFR + 1.75%, 7.18%, 4/28/2028 (a)
|
| 413,323
|
| 413,466
|
LODGING — 0.2%
|
|
|
|
|
Hilton Domestic Operating Co., Inc. 2023 Term Loan B4, 1 mo. USD Term SOFR + 2.00%, 7.43%, 11/8/2030 (a)
|
| 75,000
|
| 75,241
|
Marriott Ownership Resorts, Inc. 2024 Term Loan B (e)
|
| 220,000
|
| 219,450
|
|
|
|
|
| 294,691
|
MACHINERY — 0.0% (d)
|
|
|
|
|
Ali Group North America Corp. 2021 Term Loan B, 1 mo. USD Term SOFR + 2.00%, 7.44%, 7/30/2029 (a)
|
| 67,056
|
| 67,150
|
PHARMACEUTICALS — 0.2%
|
|
|
|
|
Grifols Worldwide Operations USA, Inc. 2019 USD Term Loan B (e)
|
| 317,822
|
| 308,425
|
PIPELINES — 0.0% (d)
|
|
|
|
|
Buckeye Partners LP 2024 Term Loan B3, 1 mo. USD Term SOFR + 2.00%, 7.33%, 11/1/2026 (a)
|
| 40,000
|
| 40,120
|
REAL ESTATE INVESTMENT TRUSTS (REITs) — 0.2%
|
|
|
|
|
Iron Mountain, Inc. 2018 Term Loan B, 1 mo. USD Term SOFR + 1.75% 7.19%, 1/2/2026 (a)
|
| 412,920
|
| 413,091
|
RETAIL — 0.4%
|
|
|
|
|
1011778 BC Unlimited Liability Co. 2023 Term Loan B5, 1 mo. USD Term SOFR + 2.25%, 7.58%, 9/20/2030 (a)
|
| 259,350
|
| 259,512
|
Beacon Roofing Supply, Inc. 2024 Term Loan B (e)
|
| 130,000
|
| 130,281
|
KFC Holding Co. 2021 Term Loan B, 1 mo. USD Term SOFR + 1.75%, 7.19%, 3/15/2028 (a)
|
| 270,555
|
| 270,736
|
|
|
|
|
| 660,529
|
See accompanying notes to Schedule of
Investments.
104
SPDR DOUBLELINE SHORT DURATION TOTAL RETURN TACTICAL
ETF
Schedule of Investments (continued)
March 31, 2024 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
SOFTWARE — 0.5%
|
|
|
|
|
Gen Digital, Inc. 2022 Term Loan B, 1 mo. USD Term SOFR + 2.00%, 7.43%, 9/12/2029 (a)
|
| $176,979
|
| $177,121
|
Go Daddy Operating Co. LLC 2024 Term Loan B6, 1 mo. USD Term SOFR + 2.00%, 7.33%, 11/9/2029 (a)
|
| 314,212
|
| 314,378
|
SS&C Technologies, Inc. 2018 Term Loan B5, 1 mo. USD Term SOFR + 1.75%, 7.19%, 4/16/2025 (a)
|
| 299,609
|
| 299,980
|
|
|
|
|
| 791,479
|
TOTAL SENIOR FLOATING RATE LOANS
(Cost $8,790,832)
|
|
|
|
| 8,814,264
|
|
| Shares
|
|
SHORT-TERM INVESTMENT — 2.3%
|
|
State Street Institutional U.S. Government Money Market Fund, Class G Shares 5.30% (f) (g)
(Cost $4,062,272)
| 4,062,272
| 4,062,272
|
TOTAL INVESTMENTS — 100.3%
(Cost $175,165,214)
| 171,903,369
|
LIABILITIES IN EXCESS OF OTHER ASSETS — (0.3)%
| (597,974)
|
NET ASSETS — 100.0%
| $171,305,395
|
(a)
| Variable Rate Security - Interest rate shown is rate in effect at March 31, 2024. 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 36.1% of net assets as of March 31, 2024, 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 March 31, 2024. Maturity date shown is the final maturity.
|
(d)
| Amount is less than 0.05% of net assets.
|
(e)
| Position is unsettled. Contract rate was not determined at March 31, 2024 and does not take effect until settlement date. Maturity date is not finalized until settlement date.
|
(f)
| The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these investments during the period ended March 31, 2024 are shown in the
Affiliate Table below.
|
(g)
| The rate shown is the annualized seven-day yield at March 31, 2024.
|
ABS
| Asset-Backed Security
|
CLO
| Collateralized Loan Obligation
|
CMO
| Collateralized Mortgage Obligation
|
CMT
| Constant Maturity Treasury
|
EMTN
| Euro Medium Term Note
|
GMTN
| Global Medium Term Note
|
IO
| Interest Only
|
MTN
| Medium Term Note
|
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 March 31, 2024.
Description
|
| Level 1 –
Quoted Prices
|
| Level 2 –
Other Significant
Observable Inputs
|
| Level 3 –
Significant
Unobservable Inputs
|
| Total
|
ASSETS:
|
|
|
|
|
|
|
|
|
INVESTMENTS:
|
|
|
|
|
|
|
|
|
Corporate Bonds & Notes
|
| $—
|
| $27,385,000
|
| $—
|
| $27,385,000
|
Asset-Backed Securities
|
| —
|
| 41,702,148
|
| —
|
| 41,702,148
|
Foreign Government Obligations
|
| —
|
| 489,132
|
| —
|
| 489,132
|
U.S. Government Agency Obligations
|
| —
|
| 7,290,340
|
| —
|
| 7,290,340
|
U.S. Treasury Obligations
|
| —
|
| 53,524,134
|
| —
|
| 53,524,134
|
Mortgage-Backed Securities
|
| —
|
| 20,691,212
|
| —
|
| 20,691,212
|
Commercial Mortgage Backed Securities
|
| —
|
| 7,944,867
|
| —
|
| 7,944,867
|
Senior Floating Rate Loans
|
| —
|
| 8,814,264
|
| —
|
| 8,814,264
|
Short-Term Investment
|
| 4,062,272
|
| —
|
| —
|
| 4,062,272
|
TOTAL INVESTMENTS
|
| $4,062,272
|
| $167,841,097
|
| $—
|
| $171,903,369
|
See accompanying notes to Schedule of
Investments.
105
SPDR DOUBLELINE SHORT DURATION TOTAL RETURN TACTICAL
ETF
Schedule of Investments (continued)
March 31, 2024 (Unaudited)
Affiliate Table
| Number of
Shares Held
at
6/30/23
|
| Value at
6/30/23
|
| Cost of
Purchases
|
| Proceeds
from
Shares Sold
|
| Realized
Gain (Loss)
|
| Change in
Unrealized
Appreciation/
Depreciation
|
| Number of
Shares Held
at
3/31/24
|
| Value at
3/31/24
|
| Dividend
Income
|
State Street Institutional U.S. Government Money Market Fund, Class G Shares
| 3,869,754
|
| $3,869,754
|
| $50,839,104
|
| $50,646,586
|
| $—
|
| $—
|
| 4,062,272
|
| $4,062,272
|
| $163,909
|
See accompanying notes to Schedule of
Investments.
106
SPDR SSGA FIXED INCOME SECTOR ROTATION ETF
Schedule of Investments
March 31, 2024 (Unaudited)
Security Description
|
|
| Shares
|
| Value
|
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS — 100.0%
|
|
|
|
DOMESTIC FIXED INCOME — 100.0%
|
|
SPDR Bloomberg 1-3 Month T-Bills ETF (a)
|
|
| 235,776
|
| $21,644,237
|
SPDR Bloomberg High Yield Bond ETF (a)(b)
|
|
| 224,564
|
| 21,378,493
|
SPDR Bloomberg International Treasury Bond ETF (a)(b)
|
|
| 646,322
|
| 14,374,201
|
SPDR Portfolio Intermediate Term Corporate Bond ETF (a)(b)
|
|
| 37,479
|
| 1,225,189
|
SPDR Portfolio Intermediate Term Treasury ETF (a)(b)
|
|
| 2,496,170
|
| 70,342,071
|
SPDR Portfolio Long Term Corporate Bond ETF (a)(b)
|
|
| 470,952
|
| 10,944,924
|
SPDR Portfolio Long Term Treasury ETF (a)
|
|
| 527,594
|
| 14,740,976
|
SPDR Portfolio Mortgage-Backed Bond ETF (a)(b)
|
|
| 3,114,104
|
| 67,638,339
|
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS
(Cost $223,451,824)
|
| 222,288,430
|
|
SHORT-TERM INVESTMENTS — 23.8%
|
|
|
|
State Street Institutional U.S. Government Money Market Fund, Class G Shares 5.30% (c)(d)
|
|
| 50,594
|
| 50,594
|
State Street Navigator Securities Lending Portfolio II (e)(f)
|
|
| 52,949,185
|
| 52,949,185
|
TOTAL SHORT-TERM INVESTMENTS
(Cost $52,999,779)
|
|
|
|
| $52,999,779
|
TOTAL INVESTMENTS — 123.8%
(Cost $276,451,603)
|
|
|
|
| 275,288,209
|
LIABILITIES IN EXCESS OF OTHER ASSETS — (23.8)%
|
|
|
|
| (52,969,399)
|
NET ASSETS — 100.0%
|
|
|
|
| $222,318,810
|
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 investments during the period ended March 31, 2024 are shown in the Affiliate Table below.
|
(b)
| All or a portion of the shares of the security are on loan at March 31, 2024.
|
(c)
| The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these investments during the period ended March 31, 2024 are shown in the
Affiliate Table below.
|
(d)
| The rate shown is the annualized seven-day yield at March 31, 2024.
|
(e)
| The Fund invested in an affiliated entity. Amounts related to these investments during the period ended March 31, 2024 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 March 31, 2024.
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
|
| $222,288,430
|
| $—
|
| $—
|
| $222,288,430
|
Short-Term Investments
|
| 52,999,779
|
| —
|
| —
|
| 52,999,779
|
TOTAL INVESTMENTS
|
| $275,288,209
|
| $—
|
| $—
|
| $275,288,209
|
See accompanying notes to Schedule of
Investments.
107
SPDR SSGA FIXED INCOME SECTOR ROTATION ETF
Schedule of Investments (continued)
March 31, 2024 (Unaudited)
Affiliate Table
| Number of
Shares Held
at
6/30/23
|
| Value at
6/30/23
|
| Cost of
Purchases
|
| Proceeds
from
Shares Sold
|
| Realized
Gain (Loss)
|
| Change in
Unrealized
Appreciation/
Depreciation
|
| Number of
Shares Held
at
3/31/24
|
| Value at
3/31/24
|
| Dividend
Income
|
SPDR Bloomberg 1-3 Month T-Bills ETF
| 127,586
|
| $11,714,947
|
| $28,305,874
|
| $18,397,063
|
| $(2,181)
|
| $22,660
|
| 235,776
|
| $21,644,237
|
| $148,986
|
SPDR Bloomberg High Yield Bond ETF
| 98,180
|
| 9,035,505
|
| 23,031,760
|
| 10,856,481
|
| (124,455)
|
| 292,164
|
| 224,564
|
| 21,378,493
|
| 380,971
|
SPDR Bloomberg International Treasury Bond ETF
| 558,817
|
| 12,601,323
|
| 21,699,810
|
| 19,711,853
|
| (9,893)
|
| (205,186)
|
| 646,322
|
| 14,374,201
|
| 108,756
|
SPDR Portfolio Intermediate Term Corporate Bond ETF
| 434,649
|
| 13,956,579
|
| 23,020,968
|
| 35,986,308
|
| 145,997
|
| 87,953
|
| 37,479
|
| 1,225,189
|
| 545,115
|
SPDR Portfolio Intermediate Term Treasury ETF
| 1,951,784
|
| 55,215,969
|
| 61,995,959
|
| 46,701,429
|
| (732,013)
|
| 563,585
|
| 2,496,170
|
| 70,342,071
|
| 1,760,467
|
SPDR Portfolio Long Term Corporate Bond ETF
| 265,123
|
| 6,166,761
|
| 13,108,208
|
| 8,307,427
|
| (125,425)
|
| 102,807
|
| 470,952
|
| 10,944,924
|
| 211,379
|
SPDR Portfolio Long Term Treasury ETF
| 623,115
|
| 18,631,139
|
| 19,123,492
|
| 21,974,441
|
| (2,189,519)
|
| 1,150,305
|
| 527,594
|
| 14,740,976
|
| 370,383
|
SPDR Portfolio Mortgage Backed Bond ETF
| 2,371,611
|
| 51,961,997
|
| 40,875,738
|
| 24,533,698
|
| (1,472,895)
|
| 807,197
|
| 3,114,104
|
| 67,638,339
|
| 1,407,761
|
State Street Institutional U.S. Government Money Market Fund, Class G Shares
| 300,805
|
| 300,805
|
| 2,077,874
|
| 2,328,085
|
| —
|
| —
|
| 50,594
|
| 50,594
|
| 12,639
|
State Street Navigator Securities Lending Portfolio II
| 48,283,244
|
| 48,283,244
|
| 840,099,351
|
| 835,433,410
|
| —
|
| —
|
| 52,949,185
|
| 52,949,185
|
| 308,327
|
Total
|
|
| $227,868,269
|
| $1,073,339,034
|
| $1,024,230,195
|
| $(4,510,384)
|
| $2,821,485
|
|
|
| $275,288,209
|
| $5,254,784
|
See accompanying notes to Schedule of
Investments.
108
SPDR SSGA US SECTOR ROTATION ETF
Schedule of Investments
March 31, 2024 (Unaudited)
Security Description
|
|
| Shares
|
| Value
|
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS — 99.9%
|
|
|
|
DOMESTIC EQUITY — 99.9%
|
|
The Consumer Discretionary Select Sector SPDR Fund (a)(b)
|
|
| 288,982
|
| $53,140,900
|
The Communication Services Select Sector SPDR Fund (a)(b)
|
|
| 1,112,736
|
| 90,866,022
|
The Consumer Staples Select Sector SPDR Fund (a)(b)
|
|
| 116,962
|
| 8,931,218
|
The Energy Select Sector SPDR Fund (a)
|
|
| 165,360
|
| 15,611,638
|
The Financial Select Sector SPDR Fund (a)(b)
|
|
| 1,342,691
|
| 56,554,145
|
The Health Care Select Sector SPDR Fund (a)(b)
|
|
| 341,335
|
| 50,425,420
|
The Industrial Select Sector SPDR Fund (a)(b)
|
|
| 410,667
|
| 51,727,615
|
The Technology Select Sector SPDR Fund (a)(b)
|
|
| 787,620
|
| 164,037,617
|
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS
(Cost $418,286,654)
|
| 491,294,575
|
|
SHORT-TERM INVESTMENTS — 12.0%
|
|
|
|
State Street Institutional U.S. Government Money Market Fund, Class G Shares 5.30% (c)(d)
|
|
| 705,169
|
| 705,169
|
State Street Navigator Securities Lending Portfolio II (e)(f)
|
|
| 58,077,109
|
| 58,077,109
|
TOTAL SHORT-TERM INVESTMENTS
(Cost $58,782,278)
|
|
|
|
| $58,782,278
|
TOTAL INVESTMENTS — 111.9%
(Cost $477,068,932)
|
|
|
|
| 550,076,853
|
LIABILITIES IN EXCESS OF OTHER ASSETS — (11.9)%
|
|
|
|
| (58,280,683)
|
NET ASSETS — 100.0%
|
|
|
|
| $491,796,170
|
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 investments during the period ended March 31, 2024 are shown in the Affiliate Table below.
|
(b)
| All or a portion of the shares of the security are on loan at March 31, 2024.
|
(c)
| The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these investments during the period ended March 31, 2024 are shown in the
Affiliate Table below.
|
(d)
| The rate shown is the annualized seven-day yield at March 31, 2024.
|
(e)
| The Fund invested in an affiliated entity. Amounts related to these investments during the period ended March 31, 2024 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 March 31, 2024.
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
|
| $491,294,575
|
| $—
|
| $—
|
| $491,294,575
|
Short-Term Investments
|
| 58,782,278
|
| —
|
| —
|
| 58,782,278
|
TOTAL INVESTMENTS
|
| $550,076,853
|
| $—
|
| $—
|
| $550,076,853
|
See accompanying notes to Schedule of
Investments.
109
SPDR SSGA US SECTOR ROTATION ETF
Schedule of Investments (continued)
March 31, 2024 (Unaudited)
Affiliate Table
| Number of
Shares Held
at
6/30/23
|
| Value at
6/30/23
|
| Cost of
Purchases
|
| Proceeds
from
Shares Sold
|
| Realized
Gain (Loss)
|
| Change in
Unrealized
Appreciation/
Depreciation
|
| Number of
Shares Held
at
3/31/24
|
| Value at
3/31/24
|
| Dividend
Income
|
State Street Institutional U.S. Government Money Market Fund, Class G Shares
| 385,530
|
| $385,530
|
| $5,855,665
|
| $5,536,026
|
| $—
|
| $—
|
| 705,169
|
| $705,169
|
| $23,616
|
State Street Navigator Securities Lending Portfolio II
| 91,543,951
|
| 91,543,951
|
| 1,713,204,759
|
| 1,746,671,601
|
| —
|
| —
|
| 58,077,109
|
| 58,077,109
|
| 200,752
|
The Communication Services Select Sector SPDR Fund
| 96,107
|
| 6,254,643
|
| 110,417,395
|
| 35,765,467
|
| 2,333,084
|
| 7,626,367
|
| 1,112,736
|
| 90,866,022
|
| 435,602
|
The Consumer Discretionary Select Sector SPDR Fund
| 295,657
|
| 50,205,515
|
| 91,525,464
|
| 89,752,923
|
| 1,267,024
|
| (104,180)
|
| 288,982
|
| 53,140,900
|
| 303,612
|
The Consumer Staples Select Sector SPDR Fund
| 421,950
|
| 31,296,031
|
| 91,028,956
|
| 114,173,827
|
| 18,984
|
| 761,074
|
| 116,962
|
| 8,931,218
|
| 488,069
|
The Energy Select Sector SPDR Fund
| 167,682
|
| 13,610,748
|
| 27,431,736
|
| 27,003,351
|
| 246,714
|
| 1,325,791
|
| 165,360
|
| 15,611,638
|
| 418,574
|
The Financial Select Sector SPDR Fund
| —
|
| —
|
| 97,326,226
|
| 52,856,872
|
| 2,280,347
|
| 9,804,444
|
| 1,342,691
|
| 56,554,145
|
| 590,104
|
The Health Care Select Sector SPDR Fund
| 462,115
|
| 61,336,524
|
| 96,677,729
|
| 111,011,449
|
| 1,380,609
|
| 2,042,007
|
| 341,335
|
| 50,425,420
|
| 416,127
|
The Industrial Select Sector SPDR Fund
| 649,374
|
| 69,690,818
|
| 66,685,151
|
| 92,787,249
|
| 4,842,266
|
| 3,296,629
|
| 410,667
|
| 51,727,615
|
| 514,826
|
The Materials Select Sector SPDR Fund
| —
|
| —
|
| 41,177,550
|
| 40,394,490
|
| (783,060)
|
| —
|
| —
|
| —
|
| 50,090
|
The Technology Select Sector SPDR Fund
| 382,122
|
| 66,435,731
|
| 116,732,360
|
| 45,059,275
|
| 5,363,561
|
| 20,565,240
|
| 787,620
|
| 164,037,617
|
| 760,867
|
Total
|
|
| $390,759,491
|
| $2,458,062,991
|
| $2,361,012,530
|
| $16,949,529
|
| $45,317,372
|
|
|
| $550,076,853
|
| $4,202,239
|
See accompanying notes to Schedule of
Investments.
110
SPDR NUVEEN MUNICIPAL BOND ETF
Schedule of Investments
March 31, 2024 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
MUNICIPAL BONDS & NOTES — 99.7%
|
|
|
|
ALABAMA — 2.5%
|
|
|
|
|
Black Belt Energy Gas District Revenue, AL
Series B, 4.00%, 10/1/2052 (a)
|
| $500,000
|
| $502,622
|
County of Jefferson Sewer Revenue, AL
5.25%, 10/1/2040
|
| 200,000
|
| 222,850
|
Southeast Energy Authority A Cooperative District Revenue, AL
Series B, 4.00%, 12/1/2051 (a)
|
| 500,000
|
| 496,786
|
|
|
|
|
| 1,222,258
|
ARIZONA — 1.1%
|
|
|
|
|
Maricopa County Industrial Development Authority Revenue, AZ
AMT, 4.00%, 10/15/2047 (b)
|
| 100,000
|
| 89,964
|
Maricopa County Pollution Control Corp. Revenue, AZ
Series B, 0.88%, 6/1/2043 (a)
|
| 500,000
|
| 450,826
|
|
|
|
|
| 540,790
|
ARKANSAS — 1.1%
|
|
|
|
|
Arkansas Development Finance Authority Revenue, AR
AMT, 5.45%, 9/1/2052
|
| 525,000
|
| 535,780
|
CALIFORNIA — 7.9%
|
|
|
|
|
Anaheim Public Financing Authority Revenue, CA
Series C, AGM, Zero Coupon, 9/1/2036 (c)
|
| 320,000
|
| 215,649
|
California Community Choice Financing Authority Revenue, CA
Series E-1, 5.00%, 2/1/2054 (a)
|
| 500,000
|
| 535,091
|
California Housing Finance Agency Revenue, CA
Series 2021-1, 3.50%, 11/20/2035
|
| 171,644
|
| 160,891
|
City & County of San Francisco Special Tax District No., Special Tax Revenue, CA
Series B, 5.75%, 9/1/2053 (b)
|
| 350,000
|
| 359,286
|
City of Long Beach Marina System Revenue, CA
5.00%, 5/15/2040
|
| 750,000
|
| 752,587
|
Municipal Improvement Corp. of Los Angeles Revenue, CA
Series A, 1.45%, 11/1/2027
|
| 540,000
|
| 483,939
|
Norman Y Mineta San Jose International Airport SJC Revenue, CA
Series A, AMT, 5.00%, 3/1/2037
|
| 210,000
|
| 216,683
|
Orange County Community Facilities District, Special Tax Revenue, CA
Series A, 5.00%, 8/15/2037
|
| 250,000
|
| 265,144
|
Security Description
|
|
| Principal
Amount
|
| Value
|
Palomar Health, General Obligation, CA
Series A, AGC, Zero Coupon, 8/1/2027 (c)
|
| $100,000
|
| $89,645
|
San Francisco City & County Airport Comm-San Francisco International Airport Revenue, CA
Series H, AMT, 5.00%, 5/1/2028
|
| 175,000
|
| 185,299
|
University of California Revenue, CA
Series BI, 1.37%, 5/15/2028
|
| 595,000
|
| 525,783
|
|
|
|
|
| 3,789,997
|
COLORADO — 3.3%
|
|
|
|
|
City & County of Denver Airport System Revenue, CO
Series B2, AMT, 5.00%, 11/15/2031 (a)
|
| 400,000
|
| 406,502
|
Colorado Health Facilities Authority Revenue, CO
Series A-1, 4.00%, 8/1/2037
|
| 200,000
|
| 196,109
|
Denver Convention Center Hotel Authority Revenue, CO
5.00%, 12/1/2030
|
| 400,000
|
| 411,201
|
Park Creek Metropolitan District Revenue, CO
Series A, 5.00%, 12/1/2024
|
| 575,000
|
| 577,507
|
|
|
|
|
| 1,591,319
|
CONNECTICUT — 1.7%
|
|
|
|
|
South Central Connecticut Regional Water Authority Revenue, CT
Series B, 5.00%, 8/1/2037
|
| 125,000
|
| 129,710
|
State of Connecticut, General Obligation, CT
Series F, 5.00%, 11/15/2041
|
| 610,000
|
| 683,927
|
|
|
|
|
| 813,637
|
DISTRICT OF COLUMBIA — 0.7%
|
|
|
|
|
Metropolitan Washington Airports Authority Dulles Toll Road Revenue, DC
Series B, 4.00%, 10/1/2038
|
| 305,000
|
| 307,654
|
FLORIDA — 6.1%
|
|
|
|
|
County of Miami-Dade Aviation Revenue, FL
Series A, AMT, 5.00%, 10/1/2029
|
| 210,000
|
| 210,905
|
County of Miami-Dade Seaport Department Revenue, FL
Series A, AMT, 5.00%, 10/1/2038
|
| 375,000
|
| 404,641
|
County of Miami-Dade Water & Sewer System Revenue, FL
3.00%, 10/1/2036
|
| 530,000
|
| 487,231
|
Crosswinds East Community Development District, Special Assessment, FL
5.50%, 5/1/2044
|
| 135,000
|
| 136,671
|
Florida Development Finance Corp. Revenue, FL:
|
|
|
|
|
AMT, 6.13%, 7/1/2032 (a) (b)
|
| 300,000
|
| 306,062
|
See accompanying notes to Schedule of
Investments.
111
SPDR NUVEEN MUNICIPAL BOND ETF
Schedule of Investments (continued)
March 31, 2024 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
Series A, AMT, 8.00%, 7/1/2057 (a) (b)
|
| $540,000
|
| $572,400
|
Series C, 8.25%, 7/1/2057 (a) (b)
|
| 525,000
|
| 524,833
|
Preserve at South Branch Community Development District, Special Assessment, FL
4.00%, 11/1/2039
|
| 300,000
|
| 282,588
|
|
|
|
|
| 2,925,331
|
GEORGIA — 2.6%
|
|
|
|
|
Main Street Natural Gas, Inc. Revenue, GA
Series E-1, 5.00%, 12/1/2053 (a)
|
| 600,000
|
| 640,908
|
Municipal Electric Authority of Georgia Revenue, GA
Series B, 5.00%, 1/1/2048
|
| 605,000
|
| 613,897
|
|
|
|
|
| 1,254,805
|
GUAM — 0.7%
|
|
|
|
|
Territory of Guam Revenue, GU
Series A, 5.00%, 11/1/2035
|
| 300,000
|
| 319,049
|
HAWAII — 1.9%
|
|
|
|
|
State of Hawaii, General Obligation, HI
Series EY, 5.00%, 10/1/2027
|
| 905,000
|
| 926,382
|
IDAHO — 0.2%
|
|
|
|
|
Spring Valley Community Infrastructure District No. 1, Special Assessment, ID
6.25%, 9/1/2053 (b)
|
| 100,000
|
| 101,077
|
ILLINOIS — 7.5%
|
|
|
|
|
Chicago Board of Education, General Obligation, IL:
|
|
|
|
|
Series A, 5.00%, 12/1/2035
|
| 300,000
|
| 316,587
|
Series A, 5.00%, 12/1/2036
|
| 300,000
|
| 314,434
|
Chicago O'Hare International Airport Revenue, IL:
|
|
|
|
|
BAM, 5.00%, 1/1/2038
|
| 250,000
|
| 274,745
|
Series B, 5.00%, 1/1/2029
|
| 160,000
|
| 161,831
|
Illinois Finance Authority Revenue, IL
5.00%, 7/1/2039
|
| 230,000
|
| 249,696
|
Northern Illinois Municipal Power Agency Revenue, IL
Series A, 5.00%, 12/1/2029
|
| 360,000
|
| 375,643
|
Northern Illinois University Revenue, IL
Series B, BAM, 4.00%, 4/1/2037 (c)
|
| 345,000
|
| 346,360
|
State of Illinois Sales Tax Revenue, IL
Series C, 5.00%, 6/15/2026
|
| 565,000
|
| 586,561
|
State of Illinois, General Obligation, IL:
|
|
|
|
|
Series D, 3.25%, 11/1/2026
|
| 100,000
|
| 98,418
|
Series A, 4.00%, 3/1/2038
|
| 730,000
|
| 732,301
|
Series A, 5.00%, 12/1/2031
|
| 150,000
|
| 159,031
|
|
|
|
|
| 3,615,607
|
Security Description
|
|
| Principal
Amount
|
| Value
|
IOWA — 0.4%
|
|
|
|
|
Iowa Finance Authority Revenue, IA
4.00%, 12/1/2050 (a)
|
| $200,000
|
| $208,475
|
KANSAS — 0.6%
|
|
|
|
|
City of Olathe, General Obligation, KS
Series 234, 3.00%, 10/1/2031
|
| 300,000
|
| 286,357
|
KENTUCKY — 0.9%
|
|
|
|
|
Kentucky Economic Development Finance Authority Revenue, KY
Series A, 4.25%, 7/1/2035
|
| 450,000
|
| 448,605
|
LOUISIANA — 3.6%
|
|
|
|
|
Louisiana Local Government Environmental Facilities & Community Development Authority Revenue, LA
Series B, 5.00%, 8/15/2025
|
| 250,000
|
| 254,975
|
Louisiana Offshore Terminal Authority Revenue, LA
Series 2007A, 4.15%, 9/1/2027
|
| 250,000
|
| 251,997
|
Louisiana Public Facilities Authority Revenue, LA
Series A, 4.00%, 4/1/2039
|
| 320,000
|
| 322,840
|
Louisiana Stadium & Exposition District Revenue, LA
Series A, 5.00%, 7/1/2039
|
| 800,000
|
| 900,023
|
|
|
|
|
| 1,729,835
|
MARYLAND — 1.0%
|
|
|
|
|
State of Maryland Department of Transportation Revenue, MD:
|
|
|
|
|
Series B, AMT, 5.00%, 8/1/2030
|
| 200,000
|
| 219,253
|
Series B, AMT, 5.00%, 8/1/2031
|
| 250,000
|
| 277,399
|
|
|
|
|
| 496,652
|
MICHIGAN — 5.6%
|
|
|
|
|
Michigan Finance Authority Revenue, MI:
|
|
|
|
|
5.00%, 11/1/2034
|
| 110,000
|
| 118,434
|
5.50%, 12/1/2026
|
| 700,000
|
| 715,746
|
Michigan State Housing Development Authority Revenue, MI
Series A, 4.70%, 12/1/2043
|
| 750,000
|
| 758,799
|
Southfield Public Schools, General Obligation, MI
5.00%, 5/1/2046
|
| 1,000,000
|
| 1,095,827
|
|
|
|
|
| 2,688,806
|
MINNESOTA — 1.0%
|
|
|
|
|
Duluth Economic Development Authority Revenue, MN
Series A, 4.00%, 6/15/2037
|
| 380,000
|
| 376,986
|
State of Minnesota, General Obligation, MN
Series A, 5.00%, 8/1/2035
|
| 100,000
|
| 109,535
|
|
|
|
|
| 486,521
|
See accompanying notes to Schedule of
Investments.
112
SPDR NUVEEN MUNICIPAL BOND ETF
Schedule of Investments (continued)
March 31, 2024 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
MISSOURI — 3.5%
|
|
|
|
|
City of Kansas City Sanitary Sewer System Revenue, MO
Series A, 4.00%, 1/1/2036
|
| $600,000
|
| $600,415
|
City of St. Louis Airport Revenue, MO
Series C, 5.00%, 7/1/2029
|
| 100,000
|
| 110,497
|
Park Hill School District of Platte County, General Obligation, MO
3.00%, 3/1/2032
|
| 1,000,000
|
| 965,801
|
|
|
|
|
| 1,676,713
|
NEBRASKA — 0.6%
|
|
|
|
|
Central Plains Energy Project Revenue, NE
Series A, 5.00%, 5/1/2054 (a)
|
| 275,000
|
| 290,825
|
NEVADA — 1.1%
|
|
|
|
|
Las Vegas Valley Water District, General Obligation, NV
5.00%, 6/1/2039
|
| 500,000
|
| 502,875
|
NEW JERSEY — 3.7%
|
|
|
|
|
New Jersey Economic Development Authority Revenue, NJ
5.00%, 6/15/2031
|
| 1,000,000
|
| 1,106,632
|
New Jersey Transportation Trust Fund Authority Revenue, NJ:
|
|
|
|
|
Series A, 5.00%, 6/15/2025
|
| 245,000
|
| 249,399
|
Series BB, 5.00%, 6/15/2040
|
| 380,000
|
| 427,689
|
|
|
|
|
| 1,783,720
|
NEW MEXICO — 2.1%
|
|
|
|
|
New Mexico Hospital Equipment Loan Council Revenue, NM
Series A, 4.00%, 8/1/2039
|
| 1,000,000
|
| 994,580
|
NEW YORK — 5.2%
|
|
|
|
|
City of New York, General Obligation, NY
Series A-1, 4.00%, 8/1/2037
|
| 1,020,000
|
| 1,061,306
|
New York City Industrial Development Agency Revenue, NY
Series A, AGM, 3.00%, 3/1/2036 (c)
|
| 795,000
|
| 746,452
|
New York State Dormitory Authority Revenue, NY
Series B, 5.00%, 2/15/2034
|
| 300,000
|
| 303,308
|
New York Transportation Development Corp. Revenue, NY
AMT, 6.00%, 4/1/2035
|
| 250,000
|
| 283,509
|
Triborough Bridge & Tunnel Authority Revenue, NY
Series A, 5.00%, 11/1/2025
|
| 85,000
|
| 87,415
|
|
|
|
|
| 2,481,990
|
OHIO — 2.4%
|
|
|
|
|
State of Ohio Revenue, OH:
|
|
|
|
|
Series A, 3.25%, 1/1/2035
|
| 580,000
|
| 551,842
|
Security Description
|
|
| Principal
Amount
|
| Value
|
Series B, 3.90%, 1/15/2045 (a)
|
| $320,000
|
| $320,000
|
Series C, 3.90%, 1/15/2045 (a)
|
| 300,000
|
| 300,000
|
|
|
|
|
| 1,171,842
|
OKLAHOMA — 1.7%
|
|
|
|
|
Oklahoma County Finance Authority Revenue, OK
4.00%, 9/1/2038
|
| 500,000
|
| 513,853
|
Oklahoma Development Finance Authority Revenue, OK
Series B, 5.00%, 8/15/2038
|
| 300,000
|
| 306,437
|
|
|
|
|
| 820,290
|
OREGON — 5.7%
|
|
|
|
|
Medford Hospital Facilities Authority Revenue, OR
Series A, 5.00%, 8/15/2032
|
| 900,000
|
| 996,783
|
Port of Portland Airport Revenue, OR
AMT, 4.00%, 7/1/2026 (a)
|
| 1,000,000
|
| 1,000,000
|
Washington & Clackamas Counties School District No. 23J Tigard-Tualatin, General Obligation, OR
Series A, 5.00%, 6/15/2038
|
| 695,000
|
| 757,281
|
|
|
|
|
| 2,754,064
|
PENNSYLVANIA — 4.5%
|
|
|
|
|
City of Philadelphia Airport Revenue, PA
Series B, AMT, 5.00%, 7/1/2032
|
| 750,000
|
| 782,568
|
Commonwealth Financing Authority Revenue, PA
AGM, 4.00%, 6/1/2039 (c)
|
| 550,000
|
| 553,077
|
Pennsylvania Turnpike Commission Revenue, PA
Series B, 5.00%, 12/1/2031
|
| 800,000
|
| 821,386
|
|
|
|
|
| 2,157,031
|
TENNESSEE — 1.0%
|
|
|
|
|
New Memphis Arena Public Building Authority Revenue, TN
Zero Coupon, 4/1/2030 (d)
|
| 530,000
|
| 487,440
|
TEXAS — 6.7%
|
|
|
|
|
Austin Independent School District, General Obligation, TX
5.00%, 8/1/2036
|
| 500,000
|
| 581,556
|
Central Texas Turnpike System Revenue, TX
Series B, 5.00%, 8/15/2037
|
| 525,000
|
| 527,261
|
Forney Independent School District, General Obligation, TX
Series B, 5.00%, 8/15/2039 (c)
|
| 425,000
|
| 473,261
|
Harris County-Houston Sports Authority Revenue, TX
Series A, 5.00%, 11/15/2029
|
| 505,000
|
| 508,633
|
New Hope Cultural Education Facilities Finance Corp. Revenue, TX
Series A1, 5.50%, 1/1/2057
|
| 465,000
|
| 381,342
|
See accompanying notes to Schedule of
Investments.
113
SPDR NUVEEN MUNICIPAL BOND ETF
Schedule of Investments (continued)
March 31, 2024 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
Texas Municipal Power Agency Revenue, TX
AGM, 3.00%, 9/1/2039 (c)
|
| $250,000
|
| $220,251
|
Texas Private Activity Bond Surface Transportation Corp. Revenue, TX
AMT, 5.50%, 12/31/2058
|
| 500,000
|
| 546,194
|
|
|
|
|
| 3,238,498
|
UTAH — 3.9%
|
|
|
|
|
City of Salt Lake City Airport Revenue, UT
Series A, AMT, 5.25%, 7/1/2038
|
| 375,000
|
| 419,742
|
Utah Telecommunication Open Infrastructure Agency Revenue, UT
4.38%, 6/1/2040
|
| 750,000
|
| 771,947
|
Vineyard Redevelopment Agency, Special Obligation, UT:
|
|
|
|
|
AGM, 5.00%, 5/1/2024 (c)
|
| 350,000
|
| 350,289
|
AGM, 5.00%, 5/1/2027 (c)
|
| 325,000
|
| 342,641
|
|
|
|
|
| 1,884,619
|
VIRGINIA — 1.8%
|
|
|
|
|
Isle Wight County Industrial Development Authority Revenue, VA
AGM, 5.25%, 7/1/2048
|
| 345,000
|
| 377,170
|
Virginia Small Business Financing Authority Revenue, VA:
|
|
|
|
|
AMT, 5.00%, 6/30/2039
|
| 125,000
|
| 132,323
|
AMT, 5.00%, 12/31/2039
|
| 355,000
|
| 375,797
|
|
|
|
|
| 885,290
|
WASHINGTON — 3.0%
|
|
|
|
|
Energy Northwest Revenue, WA
Series A, 5.00%, 7/1/2039
|
| 300,000
|
| 342,859
|
Port of Seattle Revenue, WA
Series C, AMT, 5.00%, 4/1/2035
|
| 750,000
|
| 751,586
|
State of Washington, General Obligation, WA
Series 2017-A, 5.00%, 8/1/2029
|
| 150,000
|
| 156,061
|
Washington Health Care Facilities Authority Revenue, WA
5.00%, 8/15/2037
|
| 200,000
|
| 203,298
|
|
|
|
|
| 1,453,804
|
WISCONSIN — 2.4%
|
|
|
|
|
Public Finance Authority Revenue, WI
Series A, 6.00%, 6/15/2052
|
| 250,000
|
| 240,456
|
Wisconsin Health & Educational Facilities Authority Revenue, WI
Series A, 3.00%, 10/15/2037
|
| 425,000
|
| 369,497
|
Security Description
|
|
| Principal
Amount
|
| Value
|
Wisconsin Housing & Economic Development Authority Housing Revenue, WI
Series A, 2.05%, 11/1/2036
|
| $700,000
|
| $548,562
|
|
|
|
|
| 1,158,515
|
TOTAL MUNICIPAL BONDS & NOTES
(Cost $48,804,075)
|
| 48,031,033
|
|
|
| Shares
|
|
SHORT-TERM INVESTMENT — 0.2%
|
|
State Street Institutional U.S. Government Money Market Fund, Class G Shares 5.30% (e) (f)
(Cost $120,302)
| 120,302
| 120,302
|
TOTAL INVESTMENTS — 99.9%
(Cost $48,924,377)
| 48,151,335
|
OTHER ASSETS IN EXCESS OF LIABILITIES — 0.1%
| 40,320
|
NET ASSETS — 100.0%
| $48,191,655
|
(a)
| Variable Rate Security - Interest rate shown is rate in effect at March 31, 2024. 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 4.1% of net assets as of March 31, 2024, 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.
| 5.1%
|
Permanent School Fund Guaranteed
| 1.0%
|
Build America Mutual Assurance Company
| 0.7%
|
Assured Guaranty Corp.
| 0.2%
|
(d)
| Step-up bond - Coupon rate increases in increments to maturity. Rate shown as of March 31, 2024. Maturity date shown is the final maturity.
|
(e)
| The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these investments during the period ended March 31, 2024 are shown in the
Affiliate Table below.
|
(f)
| The rate shown is the annualized seven-day yield at March 31, 2024.
|
AMT
| Alternative Minimum Tax
|
See accompanying notes to Schedule of
Investments.
114
SPDR NUVEEN MUNICIPAL BOND ETF
Schedule of Investments (continued)
March 31, 2024 (Unaudited)
The following table summarizes
the value of the Fund's investments according to the fair value hierarchy as of March 31, 2024.
Description
|
| Level 1 –
Quoted Prices
|
| Level 2 –
Other Significant
Observable Inputs
|
| Level 3 –
Significant
Unobservable Inputs
|
| Total
|
ASSETS:
|
|
|
|
|
|
|
|
|
INVESTMENTS:
|
|
|
|
|
|
|
|
|
Municipal Bonds & Notes
|
| $—
|
| $48,031,033
|
| $—
|
| $48,031,033
|
Short-Term Investment
|
| 120,302
|
| —
|
| —
|
| 120,302
|
TOTAL INVESTMENTS
|
| $120,302
|
| $48,031,033
|
| $—
|
| $48,151,335
|
Affiliate Table
| Number of
Shares Held
at
6/30/23
|
| Value at
6/30/23
|
| Cost of
Purchases
|
| Proceeds
from
Shares Sold
|
| Realized
Gain (Loss)
|
| Change in
Unrealized
Appreciation/
Depreciation
|
| Number of
Shares Held
at
3/31/24
|
| Value at
3/31/24
|
| Dividend
Income
|
State Street Institutional U.S. Government Money Market Fund, Class G Shares
| 167,594
|
| $167,594
|
| $12,079,056
|
| $12,126,348
|
| $—
|
| $—
|
| 120,302
|
| $120,302
|
| $18,649
|
See accompanying notes to Schedule of
Investments.
115
SPDR NUVEEN MUNICIPAL BOND ESG ETF
Schedule of Investments
March 31, 2024 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
MUNICIPAL BONDS & NOTES — 98.9%
|
|
|
|
ALABAMA — 2.1%
|
|
|
|
|
Black Belt Energy Gas District Revenue, AL
Series C, 5.50%, 10/1/2054 (a)
|
| $600,000
|
| $656,898
|
County of Jefferson Sewer Revenue, AL
5.25%, 10/1/2040
|
| 180,000
|
| 200,565
|
|
|
|
|
| 857,463
|
ARIZONA — 0.6%
|
|
|
|
|
City of Phoenix Civic Improvement Corp. Revenue, AZ
Series D, 5.00%, 7/1/2030
|
| 215,000
|
| 228,668
|
CALIFORNIA — 4.9%
|
|
|
|
|
California Community Choice Financing Authority Revenue, CA
Series D, 5.50%, 5/1/2054 (a)
|
| 600,000
|
| 641,386
|
Compton Unified School District, General Obligation, CA
Series B, BAM, 4.00%, 6/1/2032 (b)
|
| 175,000
|
| 179,840
|
Folsom Ranch Financing Authority, Special Tax Revenue, CA
5.00%, 9/1/2029
|
| 145,000
|
| 153,504
|
Los Angeles Department of Water & Power Revenue, CA
Series E, 5.00%, 7/1/2039
|
| 600,000
|
| 601,947
|
Orange County Community Facilities District, Special Tax Revenue, CA
Series A, 5.00%, 8/15/2052
|
| 200,000
|
| 202,863
|
San Mateo Foster City Public Financing Authority Revenue, CA
4.00%, 8/1/2035
|
| 175,000
|
| 184,687
|
|
|
|
|
| 1,964,227
|
COLORADO — 1.3%
|
|
|
|
|
Regional Transportation District Revenue, CO
Series A, 5.00%, 7/15/2027
|
| 500,000
|
| 523,823
|
CONNECTICUT — 6.1%
|
|
|
|
|
Connecticut State Health & Educational Facilities Authority Revenue, CT
Series L, 5.00%, 7/1/2047
|
| 600,000
|
| 631,907
|
State of Connecticut Special Tax Revenue, CT
Series A, 4.00%, 5/1/2039
|
| 460,000
|
| 473,965
|
State of Connecticut, General Obligation, CT
Series F, 5.00%, 11/15/2041
|
| 610,000
|
| 683,927
|
Steel Point Infrastructure Improvement District, Special Obligation, CT
4.00%, 4/1/2031 (c)
|
| 300,000
|
| 282,891
|
Security Description
|
|
| Principal
Amount
|
| Value
|
University of Connecticut Revenue, CT
Series A, 5.00%, 4/15/2026
|
| $380,000
|
| $394,540
|
|
|
|
|
| 2,467,230
|
DELAWARE — 0.4%
|
|
|
|
|
Delaware Transportation Authority Revenue, DE
3.25%, 7/1/2025
|
| 180,000
|
| 179,256
|
DISTRICT OF COLUMBIA — 1.8%
|
|
|
|
|
District of Columbia Revenue, DC
Series A, AMT, 5.00%, 8/31/2026
|
| 700,000
|
| 721,359
|
FLORIDA — 8.2%
|
|
|
|
|
City of Gainesville Utilities System Revenue, FL
Series A, 5.00%, 10/1/2025
|
| 290,000
|
| 297,387
|
City of Pompano Beach Revenue, FL
3.50%, 9/1/2030
|
| 250,000
|
| 238,345
|
City of Tallahassee Utility System Revenue, FL
5.00%, 10/1/2037
|
| 560,000
|
| 562,933
|
Florida Development Finance Corp. Revenue, FL:
|
|
|
|
|
4.00%, 11/15/2034
|
| 385,000
|
| 403,772
|
Series A, 4.00%, 6/15/2042
|
| 500,000
|
| 453,816
|
Series A, AMT, 8.00%, 7/1/2057 (a) (c)
|
| 300,000
|
| 318,000
|
Series C, 8.25%, 7/1/2057 (a) (c)
|
| 290,000
|
| 289,908
|
Miami-Dade County Expressway Authority Revenue, FL
Series A, 5.00%, 7/1/2025
|
| 100,000
|
| 100,283
|
Orlando Utilities Commission Revenue, FL
Series A, 5.00%, 10/1/2027
|
| 150,000
|
| 160,799
|
Palm Beach County Health Facilities Authority Revenue, FL
5.00%, 11/15/2032
|
| 100,000
|
| 103,542
|
Somerset Community Development District, Special Assessment, FL:
|
|
|
|
|
4.00%, 5/1/2032
|
| 200,000
|
| 192,888
|
4.20%, 5/1/2037
|
| 200,000
|
| 187,880
|
|
|
|
|
| 3,309,553
|
IDAHO — 2.4%
|
|
|
|
|
Idaho Housing & Finance Association Revenue, ID
Series A, 4.00%, 8/15/2048
|
| 1,000,000
|
| 973,909
|
ILLINOIS — 7.9%
|
|
|
|
|
Chicago O'Hare International Airport Revenue, IL:
|
|
|
|
|
BAM, 5.00%, 1/1/2038 (b)
|
| 250,000
|
| 274,745
|
Series C, AMT, 5.00%, 1/1/2034
|
| 400,000
|
| 445,538
|
City of Chicago, General Obligation, IL
Series A, 5.50%, 1/1/2039
|
| 275,000
|
| 303,336
|
See accompanying notes to Schedule of
Investments.
116
SPDR NUVEEN MUNICIPAL BOND ESG ETF
Schedule of Investments (continued)
March 31, 2024 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
Cook County Community College District No. 508, General Obligation, IL
BAM, 5.00%, 12/1/2040 (b)
|
| $500,000
|
| $546,632
|
Illinois Finance Authority Revenue, IL:
|
|
|
|
|
5.00%, 7/1/2036
|
| 270,000
|
| 304,232
|
Series C, 5.00%, 8/15/2035
|
| 410,000
|
| 416,781
|
Illinois State Toll Highway Authority Revenue, IL:
|
|
|
|
|
Series B, 5.00%, 1/1/2036
|
| 600,000
|
| 600,000
|
Series B, 5.00%, 1/1/2027
|
| 140,000
|
| 147,367
|
State of Illinois, General Obligation, IL
5.50%, 1/1/2028
|
| 130,000
|
| 140,721
|
|
|
|
|
| 3,179,352
|
IOWA — 0.8%
|
|
|
|
|
Iowa Finance Authority Revenue, IA
4.00%, 12/1/2050 (a)
|
| 300,000
|
| 312,712
|
MARYLAND — 2.6%
|
|
|
|
|
Maryland Economic Development Corp. Revenue, MD
Series B, AMT, 5.00%, 12/31/2036
|
| 425,000
|
| 454,237
|
State of Maryland, General Obligation, MD
Series B, 5.00%, 8/1/2027
|
| 400,000
|
| 428,350
|
Washington Suburban Sanitary Commission Revenue, MD
5.00%, 6/1/2027
|
| 150,000
|
| 160,028
|
|
|
|
|
| 1,042,615
|
MASSACHUSETTS — 0.7%
|
|
|
|
|
Massachusetts Development Finance Agency Revenue, MA
Series A-2, 5.00%, 7/1/2027
|
| 250,000
|
| 266,252
|
MICHIGAN — 1.9%
|
|
|
|
|
Michigan State Housing Development Authority Revenue, MI
Series A, 4.70%, 12/1/2043
|
| 750,000
|
| 758,799
|
MINNESOTA — 1.9%
|
|
|
|
|
City of Minneapolis/St. Paul Housing & Redevelopment Authority Revenue, MN
Series A, 5.00%, 11/15/2026
|
| 435,000
|
| 449,779
|
Minneapolis-St. Paul Metropolitan Airports Commission Revenue, MN
Series B, AMT, 5.00%, 1/1/2034
|
| 300,000
|
| 334,154
|
|
|
|
|
| 783,933
|
MONTANA — 0.5%
|
|
|
|
|
Cascade County Elementary School District No. 1 Great Falls, General Obligation, MT
3.00%, 7/1/2029
|
| 205,000
|
| 204,795
|
Security Description
|
|
| Principal
Amount
|
| Value
|
NEVADA — 1.2%
|
|
|
|
|
Las Vegas Valley Water District, General Obligation, NV
5.00%, 6/1/2039
|
| $500,000
|
| $502,875
|
NEW JERSEY — 3.4%
|
|
|
|
|
Hudson County Improvement Authority Revenue, NJ
3.00%, 10/1/2034
|
| 160,000
|
| 154,166
|
New Jersey Economic Development Authority Revenue, NJ:
|
|
|
|
|
Series MMM, 5.00%, 6/15/2033
|
| 180,000
|
| 198,861
|
Series QQQ, 5.00%, 6/15/2033
|
| 275,000
|
| 309,276
|
New Jersey Transportation Trust Fund Authority Revenue, NJ
Series CC, 5.25%, 6/15/2036
|
| 300,000
|
| 348,677
|
State of New Jersey, General Obligation, NJ
Series A, 5.00%, 6/1/2027
|
| 330,000
|
| 350,004
|
|
|
|
|
| 1,360,984
|
NEW YORK — 10.1%
|
|
|
|
|
City of New York, General Obligation, NY:
|
|
|
|
|
Series E1, 5.00%, 4/1/2039
|
| 300,000
|
| 342,628
|
Series A, 5.00%, 8/1/2025
|
| 105,000
|
| 107,499
|
Hudson Yards Infrastructure Corp. Revenue, NY
Series A, 5.00%, 2/15/2030
|
| 300,000
|
| 317,133
|
Metropolitan Transportation Authority Revenue, NY:
|
|
|
|
|
Series E, 3.50%, 11/15/2032
|
| 110,000
|
| 109,901
|
Series A, 5.00%, 11/15/2037
|
| 575,000
|
| 655,397
|
New York City Health & Hospitals Corp. Revenue, NY
Series A, 5.00%, 2/15/2039
|
| 180,000
|
| 199,094
|
New York City Transitional Finance Authority Building Aid Revenue, NY
Series S1A, 5.00%, 7/15/2038
|
| 475,000
|
| 514,663
|
New York City Transitional Finance Authority Future Tax Secured Revenue, NY
Series A, 5.00%, 11/1/2026
|
| 880,000
|
| 924,828
|
New York Transportation Development Corp. Revenue, NY:
|
|
|
|
|
AMT, 5.00%, 12/1/2036
|
| 250,000
|
| 273,129
|
AMT, 5.00%, 12/1/2037
|
| 300,000
|
| 325,029
|
AMT, 6.00%, 4/1/2035
|
| 250,000
|
| 283,509
|
|
|
|
|
| 4,052,810
|
NORTH CAROLINA — 0.9%
|
|
|
|
|
County of Durham Revenue, NC
Series A, 5.00%, 6/1/2042
|
| 320,000
|
| 360,975
|
OKLAHOMA — 3.0%
|
|
|
|
|
Carter County Public Facilities Authority Revenue, OK
5.00%, 9/1/2028
|
| 200,000
|
| 209,209
|
See accompanying notes to Schedule of
Investments.
117
SPDR NUVEEN MUNICIPAL BOND ESG ETF
Schedule of Investments (continued)
March 31, 2024 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
Grand River Dam Authority Revenue, OK
Series A, 5.00%, 6/1/2039
|
| $700,000
|
| $700,284
|
Muskogee Industrial Trust Revenue, OK
4.00%, 9/1/2032
|
| 100,000
|
| 99,649
|
Norman Regional Hospital Authority Revenue, OK
4.00%, 9/1/2037
|
| 230,000
|
| 206,244
|
|
|
|
|
| 1,215,386
|
OREGON — 5.1%
|
|
|
|
|
Medford Hospital Facilities Authority Revenue, OR
Series A, 5.00%, 8/15/2037
|
| 745,000
|
| 808,745
|
Port of Portland Airport Revenue, OR
AMT, 4.00%, 7/1/2026 (a)
|
| 535,000
|
| 535,000
|
Warm Springs Reservation Confederated Tribe Revenue, OR
Series B, 5.00%, 11/1/2039 (c)
|
| 650,000
|
| 697,848
|
|
|
|
|
| 2,041,593
|
PENNSYLVANIA — 6.0%
|
|
|
|
|
Pennsylvania Economic Development Financing Authority Revenue, PA:
|
|
|
|
|
Series A-2, 4.00%, 5/15/2053
|
| 250,000
|
| 232,923
|
Series A-2, 4.60%, 10/1/2046 (a)
|
| 750,000
|
| 762,473
|
Pennsylvania Turnpike Commission Revenue, PA:
|
|
|
|
|
5.00%, 6/1/2027
|
| 500,000
|
| 513,709
|
Series E, 6.00%, 12/1/2030 (a)
|
| 820,000
|
| 908,712
|
|
|
|
|
| 2,417,817
|
TENNESSEE — 0.6%
|
|
|
|
|
Tennessee Housing Development Agency Revenue, TN
Series 2A, 4.15%, 7/1/2038
|
| 250,000
|
| 252,937
|
TEXAS — 8.6%
|
|
|
|
|
City of Dallas, General Obligation, TX
AGM, 3.13%, 2/15/2035 (b)
|
| 950,000
|
| 915,857
|
Love Field Airport Modernization Corp. Revenue, TX
AMT, 5.00%, 11/1/2034
|
| 105,000
|
| 107,866
|
Lower Colorado River Authority Revenue, TX
Series B, 5.00%, 5/15/2039 (a)
|
| 590,000
|
| 622,901
|
Tarrant County Cultural Education Facilities Finance Corp. Revenue, TX
Series A, 4.00%, 11/15/2035
|
| 600,000
|
| 604,048
|
Texas Private Activity Bond Surface Transportation Corp. Revenue, TX
AMT, 5.50%, 12/31/2058
|
| 500,000
|
| 546,194
|
Security Description
|
|
| Principal
Amount
|
| Value
|
Texas Woman's University Revenue, TX
Series A, 5.00%, 7/1/2037
|
| $585,000
|
| $658,627
|
|
|
|
|
| 3,455,493
|
UTAH — 1.0%
|
|
|
|
|
City of Salt Lake City Airport Revenue, UT
Series A, AMT, 5.25%, 7/1/2038
|
| 375,000
|
| 419,742
|
VIRGINIA — 2.5%
|
|
|
|
|
Isle Wight County Industrial Development Authority Revenue, VA
AGM, 5.25%, 7/1/2048 (b)
|
| 345,000
|
| 377,170
|
Virginia Beach Development Authority Revenue, VA
Series A, 7.00%, 9/1/2053
|
| 100,000
|
| 111,863
|
Virginia Small Business Financing Authority Revenue, VA
AMT, 5.00%, 1/1/2037
|
| 500,000
|
| 535,375
|
|
|
|
|
| 1,024,408
|
WASHINGTON — 5.7%
|
|
|
|
|
Central Puget Sound Regional Transit Authority Revenue, WA
Series S-1, 5.00%, 11/1/2045
|
| 105,000
|
| 107,901
|
King County Public Hospital District No. 1, General Obligation, WA
5.00%, 12/1/2036
|
| 590,000
|
| 623,345
|
Port of Seattle Revenue, WA:
|
|
|
|
|
Series B, 5.00%, 6/1/2034
|
| 200,000
|
| 225,056
|
Series C, AMT, 5.00%, 4/1/2035
|
| 750,000
|
| 751,586
|
State of Washington, General Obligation, WA
Series A, 5.00%, 8/1/2033
|
| 250,000
|
| 265,342
|
Washington Health Care Facilities Authority Revenue, WA
5.00%, 8/15/2037
|
| 300,000
|
| 304,948
|
|
|
|
|
| 2,278,178
|
WISCONSIN — 6.7%
|
|
|
|
|
Public Finance Authority Revenue, WI
Series A, 4.00%, 11/15/2037
|
| 600,000
|
| 598,729
|
Public Finance Authority, Special Obligation, WI
Series A, 5.00%, 6/1/2041 (c) (d)
|
| 100,000
|
| 97,199
|
State of Wisconsin, General Obligation, WI
Series 1, 5.00%, 5/1/2038
|
| 600,000
|
| 701,214
|
Wisconsin Health & Educational Facilities Authority Revenue, WI
Series A, 4.00%, 4/1/2039
|
| 800,000
|
| 777,723
|
See accompanying notes to Schedule of
Investments.
118
SPDR NUVEEN MUNICIPAL BOND ESG ETF
Schedule of Investments (continued)
March 31, 2024 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
Wisconsin Housing & Economic Development Authority Housing Revenue, WI
Series A, 2.05%, 11/1/2036
|
| $675,000
|
| $528,970
|
|
|
|
|
| 2,703,835
|
TOTAL MUNICIPAL BONDS & NOTES
(Cost $39,634,344)
|
| 39,860,979
|
|
|
| Shares
|
|
SHORT-TERM INVESTMENT — 0.8%
|
|
State Street Institutional U.S. Government Money Market Fund, Class G Shares 5.30% (e) (f)
(Cost $323,488)
| 323,488
| 323,488
|
TOTAL INVESTMENTS — 99.7%
(Cost $39,957,832)
| 40,184,467
|
OTHER ASSETS IN EXCESS OF LIABILITIES — 0.3%
| 139,590
|
NET ASSETS — 100.0%
| $40,324,057
|
(a)
| Variable Rate Security - Interest rate shown is rate in effect at March 31, 2024. For securities based on a published reference rate and spread, the reference rate and spread are
indicated in the description above.
|
(b)
| Bond is insured by the following:
|
| % of
Net Assets
|
Assured Guaranty Municipal Corp
| 3.2%
|
Build America Mutual Assurance Company
| 2.5%
|
(c)
| Securities purchased pursuant to Rule 144A of the Securities Act of 1933, as amended. These securities, which represent 4.2% of net assets as of March 31, 2024, are considered liquid
and may be resold in transactions exempt from registration, normally to qualified institutional buyers.
|
(d)
| When-issued security.
|
(e)
| The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these investments during the period ended March 31, 2024 are shown in the
Affiliate Table below.
|
(f)
| The rate shown is the annualized seven-day yield at March 31, 2024.
|
AMT
| Alternative Minimum Tax
|
The following table
summarizes the value of the Fund's investments according to the fair value hierarchy as of March 31, 2024.
Description
|
| Level 1 –
Quoted Prices
|
| Level 2 –
Other Significant
Observable Inputs
|
| Level 3 –
Significant
Unobservable Inputs
|
| Total
|
ASSETS:
|
|
|
|
|
|
|
|
|
INVESTMENTS:
|
|
|
|
|
|
|
|
|
Municipal Bonds & Notes
|
| $—
|
| $39,860,979
|
| $—
|
| $39,860,979
|
Short-Term Investment
|
| 323,488
|
| —
|
| —
|
| 323,488
|
TOTAL INVESTMENTS
|
| $323,488
|
| $39,860,979
|
| $—
|
| $40,184,467
|
Affiliate Table
| Number of
Shares Held
at
6/30/23
|
| Value at
6/30/23
|
| Cost of
Purchases
|
| Proceeds
from
Shares Sold
|
| Realized
Gain (Loss)
|
| Change in
Unrealized
Appreciation/
Depreciation
|
| Number of
Shares Held
at
3/31/24
|
| Value at
3/31/24
|
| Dividend
Income
|
State Street Institutional U.S. Government Money Market Fund, Class G Shares
| 263,694
|
| $263,694
|
| $9,369,685
|
| $9,309,891
|
| $—
|
| $—
|
| 323,488
|
| $323,488
|
| $13,403
|
See accompanying notes to Schedule of
Investments.
119
SPDR LOOMIS SAYLES OPPORTUNISTIC BOND ETF
Schedule of Investments
March 31, 2024 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
CORPORATE BONDS & NOTES — 61.0%
|
|
|
|
|
|
AUSTRALIA — 0.7%
|
|
|
|
|
FMG Resources August 2006 Pty. Ltd.:
|
|
|
|
|
|
5.88%, 4/15/2030 (a)
|
|
| $109,000
|
| $107,162
|
6.13%, 4/15/2032 (a)
|
|
| 8,000
|
| 7,909
|
Infrabuild Australia Pty. Ltd.
14.50%, 11/15/2028 (a)
|
|
| 23,000
|
| 23,850
|
Northern Star Resources Ltd.
6.13%, 4/11/2033 (a)
|
|
| 126,000
|
| 126,460
|
|
|
|
|
| 265,381
|
BRAZIL — 0.3%
|
|
|
|
|
Petrobras Global Finance BV
6.50%, 7/3/2033
|
|
| 105,000
|
| 106,719
|
CANADA — 1.8%
|
|
|
|
|
Bombardier, Inc.
7.25%, 7/1/2031 (a)
|
|
| 30,000
|
| 30,085
|
Brookfield Residential Properties, Inc./Brookfield Residential U.S. LLC
6.25%, 9/15/2027 (a)
|
|
| 7,000
|
| 6,849
|
Enbridge, Inc.
6.20%, 11/15/2030
|
|
| 140,000
|
| 148,418
|
Garda World Security Corp.
9.50%, 11/1/2027 (a)
|
|
| 33,000
|
| 33,099
|
goeasy Ltd.
7.63%, 7/1/2029 (a)
|
|
| 48,000
|
| 48,149
|
Magna International, Inc.
5.98%, 3/21/2026
|
|
| 183,000
|
| 183,031
|
TransCanada PipeLines Ltd.
6.20%, 3/9/2026
|
|
| 219,000
|
| 218,634
|
|
|
|
|
| 668,265
|
CHINA — 0.7%
|
|
|
|
|
Alibaba Group Holding Ltd.
3.15%, 2/9/2051
|
|
| 129,000
|
| 85,749
|
NXP BV/NXP Funding LLC/NXP USA, Inc.
5.00%, 1/15/2033
|
|
| 44,000
|
| 42,977
|
Prosus NV
4.19%, 1/19/2032 (a)
|
|
| 165,000
|
| 142,813
|
|
|
|
|
| 271,539
|
FRANCE — 0.9%
|
|
|
|
|
BNP Paribas SA 5 yr. CMT + 3.20%,
4.63%, 1/12/2027 (a) (b)
|
|
| 165,000
|
| 149,449
|
Societe Generale SA 1 yr. CMT + 2.95%,
7.13%, 1/19/2055 (a) (b)
|
|
| 200,000
|
| 198,966
|
|
|
|
|
| 348,415
|
GERMANY — 0.5%
|
|
|
|
|
Deutsche Bank AG:
|
|
|
|
|
|
SOFR + 1.72%, 3.04%, 5/28/2032 (b)
|
|
| 90,000
|
| 75,773
|
Security Description
|
|
| Principal
Amount
|
| Value
|
SOFR + 1.87%, 2.13%, 11/24/2026 (b)
|
|
| $125,000
|
| $117,937
|
|
|
|
|
| 193,710
|
HONG KONG — 0.1%
|
|
|
|
|
Seaspan Corp.
5.50%, 8/1/2029 (a)
|
|
| 50,000
|
| 43,593
|
IRELAND — 0.7%
|
|
|
|
|
AerCap Ireland Capital DAC/AerCap Global Aviation Trust
3.30%, 1/30/2032
|
|
| 90,000
|
| 77,081
|
Bank of Ireland Group PLC 1 yr. CMT + 2.65%,
6.25%, 9/16/2026 (a) (b)
|
|
| 165,000
|
| 166,008
|
|
|
|
|
| 243,089
|
ITALY — 2.2%
|
|
|
|
|
Intesa Sanpaolo SpA:
|
|
|
|
|
|
5.02%, 6/26/2024 (a)
|
|
| 165,000
|
| 164,388
|
1 yr. CMT + 4.40%, 8.25%, 11/21/2033 (a) (b)
|
|
| 200,000
|
| 223,468
|
Telecom Italia Capital SA
7.72%, 6/4/2038
|
|
| 34,000
|
| 34,017
|
UniCredit SpA 5 yr. USD ICE Swap + 4.91%,
7.30%, 4/2/2034 (a) (b)
|
|
| 406,000
|
| 417,222
|
|
|
|
|
| 839,095
|
JAPAN — 0.4%
|
|
|
|
|
NTT Finance Corp.
4.14%, 7/26/2024 (a)
|
|
| 165,000
|
| 164,198
|
NETHERLANDS — 0.5%
|
|
|
|
|
ING Groep NV SOFR + 1.56%,
6.92%, 9/11/2027 (b)
|
|
| 200,000
|
| 202,706
|
SPAIN — 1.6%
|
|
|
|
|
Banco Bilbao Vizcaya Argentaria SA:
|
|
|
|
|
|
1 yr. CMT + 1.95%, 6.03%, 3/13/2035 (b)
|
|
| 200,000
|
| 202,864
|
Series 9, 5 yr. CMT + 5.19%, 6.50%, 3/5/2025 (b)
|
|
| 200,000
|
| 198,266
|
CaixaBank SA SOFR + 2.26%,
6.04%, 6/15/2035 (a) (b)
|
|
| 200,000
|
| 201,520
|
|
|
|
|
| 602,650
|
SWITZERLAND — 1.8%
|
|
|
|
|
Credit Suisse AG
4.75%, 8/9/2024
|
|
| 410,000
|
| 408,405
|
UBS Group AG SOFR + 3.70%,
6.44%, 8/11/2028 (a) (b)
|
|
| 214,000
|
| 220,435
|
VistaJet Malta Finance PLC/Vista Management Holding, Inc.:
|
|
|
|
|
|
6.38%, 2/1/2030 (a)
|
|
| 11,000
|
| 8,116
|
9.50%, 6/1/2028 (a)
|
|
| 31,000
|
| 26,360
|
|
|
|
|
| 663,316
|
See accompanying notes to Schedule of
Investments.
120
SPDR LOOMIS SAYLES OPPORTUNISTIC BOND ETF
Schedule of Investments (continued)
March 31, 2024 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
UNITED KINGDOM — 1.5%
|
|
|
|
|
Barclays PLC 5 yr. CMT + 3.41%,
4.38%, 3/15/2028 (b)
|
|
| $284,000
|
| $232,900
|
British Telecommunications PLC
9.63%, 12/15/2030
|
|
| 95,000
|
| 116,515
|
Standard Chartered PLC 1 yr. CMT + 0.95%,
1.82%, 11/23/2025 (a) (b)
|
|
| 165,000
|
| 160,482
|
TechnipFMC PLC
6.50%, 2/1/2026 (a)
|
|
| 36,000
|
| 35,880
|
|
|
|
|
| 545,777
|
UNITED STATES — 47.3%
|
|
|
|
|
Adtalem Global Education, Inc.
5.50%, 3/1/2028 (a)
|
|
| 91,000
|
| 87,163
|
Advanced Drainage Systems, Inc.
6.38%, 6/15/2030 (a)
|
|
| 5,000
|
| 5,023
|
Advantage Sales & Marketing, Inc.
6.50%, 11/15/2028 (a)
|
|
| 55,000
|
| 51,795
|
Ahead DB Holdings LLC
6.63%, 5/1/2028 (a)
|
|
| 23,000
|
| 20,820
|
Alteryx, Inc.
8.75%, 3/15/2028 (a)
|
|
| 8,000
|
| 8,229
|
Amazon.com, Inc.
3.10%, 5/12/2051
|
|
| 85,000
|
| 60,870
|
AMC Networks, Inc.
4.25%, 2/15/2029
|
|
| 50,000
|
| 35,449
|
American Builders & Contractors Supply Co., Inc.
4.00%, 1/15/2028 (a)
|
|
| 34,000
|
| 31,827
|
American Express Co.
5.85%, 11/5/2027
|
|
| 35,000
|
| 36,048
|
American International Group, Inc. Series A-9, 3 mo. USD Term SOFR + 2.87%,
5.75%, 4/1/2048 (b)
|
|
| 17,000
|
| 16,672
|
American Tower Corp.
2.30%, 9/15/2031
|
|
| 145,000
|
| 118,184
|
Ameriprise Financial, Inc.
4.50%, 5/13/2032
|
|
| 44,000
|
| 42,625
|
AmeriTex HoldCo Intermediate LLC
10.25%, 10/15/2028 (a)
|
|
| 46,000
|
| 49,543
|
Amgen, Inc.
4.20%, 3/1/2033
|
|
| 90,000
|
| 84,137
|
Antero Midstream Partners LP/Antero Midstream Finance Corp.:
|
|
|
|
|
|
5.75%, 1/15/2028 (a)
|
|
| 65,000
|
| 63,974
|
6.63%, 2/1/2032 (a)
|
|
| 46,000
|
| 46,196
|
Aptim Corp.
7.75%, 6/15/2025 (a)
|
|
| 27,000
|
| 26,642
|
APX Group, Inc.
5.75%, 7/15/2029 (a)
|
|
| 55,000
|
| 52,875
|
Arches Buyer, Inc.
6.13%, 12/1/2028 (a)
|
|
| 38,000
|
| 31,883
|
Arcosa, Inc.
4.38%, 4/15/2029 (a)
|
|
| 24,000
|
| 22,153
|
Security Description
|
|
| Principal
Amount
|
| Value
|
Aretec Group, Inc.
7.50%, 4/1/2029 (a)
|
|
| $31,000
|
| $29,502
|
Armor Holdco, Inc.
8.50%, 11/15/2029 (a)
|
|
| 17,000
|
| 16,056
|
Arthur J Gallagher & Co.
6.50%, 2/15/2034
|
|
| 95,000
|
| 102,179
|
ASGN, Inc.
4.63%, 5/15/2028 (a)
|
|
| 71,000
|
| 67,162
|
Ashton Woods USA LLC/Ashton Woods Finance Co.
4.63%, 4/1/2030 (a)
|
|
| 48,000
|
| 43,791
|
AT&T, Inc.
3.80%, 12/1/2057
|
|
| 7,000
|
| 5,066
|
Avnet, Inc.
5.50%, 6/1/2032
|
|
| 42,000
|
| 40,697
|
Bain Capital Specialty Finance, Inc.
2.55%, 10/13/2026
|
|
| 153,000
|
| 140,241
|
Bank of America Corp.:
|
|
|
|
|
|
5 yr. CMT + 1.20%, 2.48%, 9/21/2036 (b)
|
|
| 95,000
|
| 75,901
|
SOFR + 1.99%, 6.20%, 11/10/2028 (b)
|
|
| 130,000
|
| 134,488
|
Series MTN, SOFR + 1.33%, 6.70%, 4/2/2026 (b)
|
|
| 295,000
|
| 297,227
|
BellRing Brands, Inc.
7.00%, 3/15/2030 (a)
|
|
| 29,000
|
| 29,876
|
BGC Group, Inc.
4.38%, 12/15/2025
|
|
| 127,000
|
| 123,497
|
BlackRock TCP Capital Corp.
2.85%, 2/9/2026
|
|
| 124,000
|
| 116,295
|
BlackRock, Inc.
2.10%, 2/25/2032
|
|
| 63,000
|
| 51,709
|
Blackstone Mortgage Trust, Inc.
3.75%, 1/15/2027 (a)
|
|
| 63,000
|
| 56,187
|
Blackstone Private Credit Fund:
|
|
|
|
|
|
2.35%, 11/22/2024
|
|
| 200,000
|
| 195,260
|
2.63%, 12/15/2026
|
|
| 131,000
|
| 119,654
|
Blackstone Secured Lending Fund:
|
|
|
|
|
|
2.75%, 9/16/2026
|
|
| 130,000
|
| 119,834
|
2.85%, 9/30/2028
|
|
| 46,000
|
| 40,554
|
Block, Inc.
0.13%, 3/1/2025
|
|
| 20,000
|
| 20,438
|
Blue Owl Capital Corp. II
8.45%, 11/15/2026 (a)
|
|
| 55,000
|
| 56,645
|
Blue Owl Credit Income Corp.
5.50%, 3/21/2025
|
|
| 100,000
|
| 99,250
|
BlueLinx Holdings, Inc.
6.00%, 11/15/2029 (a)
|
|
| 45,000
|
| 43,646
|
Boise Cascade Co.
4.88%, 7/1/2030 (a)
|
|
| 103,000
|
| 95,744
|
Booking Holdings, Inc.
0.75%, 5/1/2025
|
|
| 5,000
|
| 9,661
|
Brand Industrial Services, Inc.
10.38%, 8/1/2030 (a)
|
|
| 23,000
|
| 24,887
|
See accompanying notes to Schedule of
Investments.
121
SPDR LOOMIS SAYLES OPPORTUNISTIC BOND ETF
Schedule of Investments (continued)
March 31, 2024 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
Bristow Group, Inc.
6.88%, 3/1/2028 (a)
|
|
| $30,000
|
| $29,406
|
Broadcom, Inc.:
|
|
|
|
|
|
3.50%, 2/15/2041 (a)
|
|
| 204,000
|
| 158,402
|
4.15%, 4/15/2032 (a)
|
|
| 116,000
|
| 107,502
|
Brookfield Property REIT, Inc./BPR Cumulus LLC/BPR Nimbus LLC/GGSI Sellco LLC
4.50%, 4/1/2027 (a)
|
|
| 64,000
|
| 58,408
|
Builders FirstSource, Inc.
5.00%, 3/1/2030 (a)
|
|
| 17,000
|
| 16,213
|
Caterpillar Financial Services Corp. Series MTN,
3.65%, 8/12/2025
|
|
| 85,000
|
| 83,354
|
CCO Holdings LLC/CCO Holdings Capital Corp.:
|
|
|
|
|
|
4.50%, 8/15/2030 (a)
|
|
| 85,000
|
| 71,401
|
4.50%, 6/1/2033 (a)
|
|
| 11,000
|
| 8,585
|
CenterPoint Energy Houston Electric LLC
5.30%, 4/1/2053
|
|
| 16,000
|
| 15,948
|
Central Garden & Pet Co.
4.13%, 10/15/2030
|
|
| 84,000
|
| 75,348
|
Century Communities, Inc.
3.88%, 8/15/2029 (a)
|
|
| 68,000
|
| 61,231
|
Chobani LLC/Chobani Finance Corp., Inc.
7.63%, 7/1/2029 (a)
|
|
| 9,000
|
| 9,133
|
Chord Energy Corp.
6.38%, 6/1/2026 (a)
|
|
| 36,000
|
| 36,125
|
Clean Harbors, Inc.
5.13%, 7/15/2029 (a)
|
|
| 9,000
|
| 8,666
|
Cleveland-Cliffs, Inc.
7.00%, 3/15/2032 (a)
|
|
| 68,000
|
| 68,955
|
CNX Midstream Partners LP
4.75%, 4/15/2030 (a)
|
|
| 43,000
|
| 38,288
|
CNX Resources Corp.
6.00%, 1/15/2029 (a)
|
|
| 80,000
|
| 78,403
|
Coeur Mining, Inc.
5.13%, 2/15/2029 (a)
|
|
| 25,000
|
| 23,648
|
Coinbase Global, Inc.
3.38%, 10/1/2028 (a)
|
|
| 61,000
|
| 52,104
|
Comcast Corp.
2.99%, 11/1/2063
|
|
| 80,000
|
| 49,171
|
Comerica, Inc. SOFR + 2.16%,
5.98%, 1/30/2030 (b)
|
|
| 70,000
|
| 69,199
|
Consolidated Communications, Inc.
6.50%, 10/1/2028 (a)
|
|
| 53,000
|
| 46,514
|
Continental Resources, Inc.
2.27%, 11/15/2026 (a)
|
|
| 58,000
|
| 53,430
|
COPT Defense Properties LP
2.75%, 4/15/2031
|
|
| 17,000
|
| 14,007
|
Cornerstone Building Brands, Inc.
6.13%, 1/15/2029 (a)
|
|
| 28,000
|
| 24,984
|
Covanta Holding Corp.
4.88%, 12/1/2029 (a)
|
|
| 56,000
|
| 50,256
|
Security Description
|
|
| Principal
Amount
|
| Value
|
Crowdstrike Holdings, Inc.
3.00%, 2/15/2029
|
|
| $111,000
|
| $98,415
|
Crown Castle, Inc.
5.80%, 3/1/2034
|
|
| 50,000
|
| 51,188
|
CSI Compressco LP/CSI Compressco Finance, Inc.
7.50%, 4/1/2025 (a)
|
|
| 42,000
|
| 42,000
|
CVR Energy, Inc.
5.75%, 2/15/2028 (a)
|
|
| 55,000
|
| 51,698
|
CVS Health Corp.:
|
|
|
|
|
|
5.25%, 2/21/2033
|
|
| 89,000
|
| 89,041
|
5.30%, 6/1/2033
|
|
| 80,000
|
| 80,112
|
CyberArk Software Ltd.
Zero Coupon, 11/15/2024
|
|
| 11,000
|
| 18,715
|
Dave & Buster's, Inc.
7.63%, 11/1/2025 (a)
|
|
| 36,000
|
| 36,282
|
DaVita, Inc.:
|
|
|
|
|
|
3.75%, 2/15/2031 (a)
|
|
| 21,000
|
| 17,570
|
4.63%, 6/1/2030 (a)
|
|
| 50,000
|
| 44,755
|
Delek Logistics Partners LP/Delek Logistics Finance Corp.
7.13%, 6/1/2028 (a)
|
|
| 67,000
|
| 65,452
|
Diamondback Energy, Inc.
6.25%, 3/15/2033
|
|
| 85,000
|
| 90,637
|
Directv Financing LLC
8.88%, 2/1/2030 (a)
|
|
| 33,000
|
| 32,919
|
Directv Financing LLC/Directv Financing Co.-Obligor, Inc.
5.88%, 8/15/2027 (a)
|
|
| 95,000
|
| 89,882
|
Discover Financial Services SOFR + 3.37%,
7.96%, 11/2/2034 (b)
|
|
| 175,000
|
| 198,228
|
DISH DBS Corp.
5.88%, 11/15/2024
|
|
| 180,000
|
| 172,015
|
DraftKings Holdings, Inc.
Zero Coupon, 3/15/2028
|
|
| 35,000
|
| 30,330
|
Dream Finders Homes, Inc.
8.25%, 8/15/2028 (a)
|
|
| 49,000
|
| 51,133
|
Eco Material Technologies, Inc.
7.88%, 1/31/2027 (a)
|
|
| 39,000
|
| 39,611
|
Eli Lilly & Co.
4.70%, 2/27/2033
|
|
| 73,000
|
| 72,737
|
Encino Acquisition Partners Holdings LLC
8.50%, 5/1/2028 (a)
|
|
| 40,000
|
| 40,428
|
Energizer Holdings, Inc.
4.75%, 6/15/2028 (a)
|
|
| 54,000
|
| 50,080
|
Energy Transfer LP:
|
|
|
|
|
|
5.95%, 5/15/2054
|
|
| 125,000
|
| 124,736
|
6.40%, 12/1/2030
|
|
| 140,000
|
| 147,683
|
EnLink Midstream LLC
6.50%, 9/1/2030 (a)
|
|
| 10,000
|
| 10,285
|
Enstar Group Ltd.
3.10%, 9/1/2031
|
|
| 22,000
|
| 18,275
|
Entegris, Inc.
3.63%, 5/1/2029 (a)
|
|
| 37,000
|
| 33,232
|
See accompanying notes to Schedule of
Investments.
122
SPDR LOOMIS SAYLES OPPORTUNISTIC BOND ETF
Schedule of Investments (continued)
March 31, 2024 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
Enterprise Products Operating LLC
5.05%, 1/10/2026
|
|
| $65,000
|
| $64,968
|
Enviri Corp.
5.75%, 7/31/2027 (a)
|
|
| 36,000
|
| 33,885
|
EQM Midstream Partners LP
4.00%, 8/1/2024
|
|
| 82,000
|
| 81,452
|
Eversource Energy
4.75%, 5/15/2026
|
|
| 219,000
|
| 216,679
|
Fair Isaac Corp.:
|
|
|
|
|
|
4.00%, 6/15/2028 (a)
|
|
| 60,000
|
| 56,072
|
5.25%, 5/15/2026 (a)
|
|
| 45,000
|
| 44,478
|
Fidelity National Financial, Inc.
2.45%, 3/15/2031
|
|
| 34,000
|
| 28,015
|
Fiserv, Inc.
5.45%, 3/15/2034
|
|
| 145,000
|
| 146,898
|
Foot Locker, Inc.
4.00%, 10/1/2029 (a)
|
|
| 82,000
|
| 69,049
|
Forestar Group, Inc.:
|
|
|
|
|
|
3.85%, 5/15/2026 (a)
|
|
| 58,000
|
| 55,395
|
5.00%, 3/1/2028 (a)
|
|
| 37,000
|
| 35,608
|
Fortress Transportation & Infrastructure Investors LLC:
|
|
|
|
|
|
6.50%, 10/1/2025 (a)
|
|
| 72,000
|
| 71,867
|
9.75%, 8/1/2027 (a)
|
|
| 24,000
|
| 24,868
|
Freedom Mortgage Holdings LLC
9.25%, 2/1/2029 (a)
|
|
| 15,000
|
| 15,348
|
Frontier Communications Holdings LLC:
|
|
|
|
|
|
5.88%, 11/1/2029
|
|
| 18,048
|
| 15,237
|
6.75%, 5/1/2029 (a)
|
|
| 68,000
|
| 60,592
|
Full House Resorts, Inc.
8.25%, 2/15/2028 (a)
|
|
| 18,000
|
| 17,196
|
Gap, Inc.:
|
|
|
|
|
|
3.63%, 10/1/2029 (a)
|
|
| 39,000
|
| 34,165
|
3.88%, 10/1/2031 (a)
|
|
| 21,000
|
| 17,762
|
Gartner, Inc.
3.63%, 6/15/2029 (a)
|
|
| 29,000
|
| 26,271
|
General Motors Financial Co., Inc.:
|
|
|
|
|
|
2.90%, 2/26/2025
|
|
| 57,000
|
| 55,593
|
3.80%, 4/7/2025
|
|
| 215,000
|
| 211,057
|
5.00%, 4/9/2027
|
|
| 68,000
|
| 67,520
|
5.40%, 4/6/2026
|
|
| 125,000
|
| 125,104
|
G-III Apparel Group Ltd.
7.88%, 8/15/2025 (a)
|
|
| 41,000
|
| 41,131
|
Global Infrastructure Solutions, Inc.
5.63%, 6/1/2029 (a)
|
|
| 33,000
|
| 30,302
|
Global Partners LP/GLP Finance Corp.
8.25%, 1/15/2032 (a)
|
|
| 48,000
|
| 49,800
|
Global Payments, Inc.
5.40%, 8/15/2032
|
|
| 35,000
|
| 34,694
|
GPS Hospitality Holding Co. LLC/GPS Finco, Inc.
7.00%, 8/15/2028 (a)
|
|
| 28,000
|
| 22,807
|
Security Description
|
|
| Principal
Amount
|
| Value
|
Graham Packaging Co., Inc.
7.13%, 8/15/2028 (a)
|
|
| $30,000
|
| $27,215
|
Grand Canyon University
4.13%, 10/1/2024
|
|
| 60,000
|
| 58,619
|
Gray Television, Inc.
4.75%, 10/15/2030 (a)
|
|
| 54,000
|
| 35,454
|
Great Lakes Dredge & Dock Corp.
5.25%, 6/1/2029 (a)
|
|
| 26,000
|
| 23,139
|
Griffon Corp.
5.75%, 3/1/2028
|
|
| 55,000
|
| 53,887
|
GrubHub Holdings, Inc.
5.50%, 7/1/2027 (a)
|
|
| 56,000
|
| 50,813
|
Guidewire Software, Inc.
1.25%, 3/15/2025
|
|
| 10,000
|
| 11,530
|
GYP Holdings III Corp.
4.63%, 5/1/2029 (a)
|
|
| 32,000
|
| 29,787
|
Hawaiian Brand Intellectual Property Ltd./HawaiianMiles Loyalty Ltd.
5.75%, 1/20/2026 (a)
|
|
| 59,072
|
| 55,574
|
Helix Energy Solutions Group, Inc.
9.75%, 3/1/2029 (a)
|
|
| 78,000
|
| 83,432
|
Hilton Domestic Operating Co., Inc.
5.88%, 4/1/2029 (a)
|
|
| 135,000
|
| 135,204
|
HLF Financing SARL LLC/Herbalife International, Inc.
4.88%, 6/1/2029 (a)
|
|
| 41,000
|
| 28,513
|
HubSpot, Inc.
0.38%, 6/1/2025
|
|
| 5,000
|
| 11,215
|
Hudson Pacific Properties LP
4.65%, 4/1/2029
|
|
| 7,000
|
| 5,978
|
Interface, Inc.
5.50%, 12/1/2028 (a)
|
|
| 43,000
|
| 41,193
|
International Business Machines Corp.
4.40%, 7/27/2032
|
|
| 80,000
|
| 76,956
|
Iron Mountain, Inc.
4.88%, 9/15/2029 (a)
|
|
| 150,000
|
| 140,658
|
ITT Holdings LLC
6.50%, 8/1/2029 (a)
|
|
| 17,000
|
| 15,523
|
Jabil, Inc.
5.45%, 2/1/2029
|
|
| 11,000
|
| 11,064
|
Jackson Financial, Inc.
3.13%, 11/23/2031
|
|
| 165,000
|
| 137,443
|
JPMorgan Chase & Co.:
|
|
|
|
|
|
SOFR + 1.46%, 3.16%, 4/22/2042 (b)
|
|
| 80,000
|
| 60,765
|
SOFR + 2.08%, 4.91%, 7/25/2033 (b)
|
|
| 110,000
|
| 107,622
|
SOFR + 2.58%, 5.72%, 9/14/2033 (b)
|
|
| 60,000
|
| 61,188
|
Series HH, 3 mo. USD Term SOFR + 3.13%, 4.60%, 2/1/2025 (b)
|
|
| 90,000
|
| 88,700
|
See accompanying notes to Schedule of
Investments.
123
SPDR LOOMIS SAYLES OPPORTUNISTIC BOND ETF
Schedule of Investments (continued)
March 31, 2024 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
Series II, 3 mo. USD Term SOFR + 2.75%, 4.00%, 4/1/2025 (b)
|
|
| $130,000
|
| $126,461
|
KB Home:
|
|
|
|
|
|
4.00%, 6/15/2031
|
|
| 8,000
|
| 7,093
|
4.80%, 11/15/2029
|
|
| 89,000
|
| 84,884
|
Kinder Morgan, Inc.
4.80%, 2/1/2033
|
|
| 85,000
|
| 81,332
|
Kohl's Corp.
4.63%, 5/1/2031
|
|
| 57,000
|
| 47,987
|
Landsea Homes Corp.
8.88%, 4/1/2029 (a)
|
|
| 49,000
|
| 48,738
|
LCM Investments Holdings II LLC
4.88%, 5/1/2029 (a)
|
|
| 6,000
|
| 5,514
|
Liberty Mutual Group, Inc.
4.30%, 2/1/2061 (a)
|
|
| 100,000
|
| 63,974
|
Lions Gate Capital Holdings LLC
5.50%, 4/15/2029 (a)
|
|
| 35,000
|
| 26,761
|
Louisiana-Pacific Corp.
3.63%, 3/15/2029 (a)
|
|
| 86,000
|
| 78,296
|
Lowe's Cos., Inc.
2.80%, 9/15/2041
|
|
| 95,000
|
| 67,543
|
LSF9 Atlantis Holdings LLC/Victra Finance Corp.
7.75%, 2/15/2026 (a)
|
|
| 47,000
|
| 46,652
|
M/I Homes, Inc.
4.95%, 2/1/2028
|
|
| 90,000
|
| 85,765
|
Martin Midstream Partners LP/Martin Midstream Finance Corp.
11.50%, 2/15/2028 (a)
|
|
| 19,000
|
| 20,202
|
Maxim Crane Works Holdings Capital LLC
11.50%, 9/1/2028 (a)
|
|
| 22,000
|
| 23,853
|
McCormick & Co., Inc.
4.95%, 4/15/2033
|
|
| 73,000
|
| 72,255
|
Medtronic Global Holdings SCA
4.25%, 3/30/2028
|
|
| 47,000
|
| 46,162
|
Micron Technology, Inc.:
|
|
|
|
|
|
3.37%, 11/1/2041
|
|
| 58,000
|
| 43,086
|
5.30%, 1/15/2031
|
|
| 60,000
|
| 60,384
|
6.75%, 11/1/2029
|
|
| 80,000
|
| 85,859
|
MicroStrategy, Inc.
6.13%, 6/15/2028 (a)
|
|
| 13,000
|
| 12,558
|
Millennium Escrow Corp.
6.63%, 8/1/2026 (a)
|
|
| 28,000
|
| 16,582
|
MIWD Holdco II LLC/MIWD Finance Corp.
5.50%, 2/1/2030 (a)
|
|
| 34,000
|
| 31,303
|
ModivCare Escrow Issuer, Inc.
5.00%, 10/1/2029 (a)
|
|
| 35,000
|
| 25,371
|
Moody's Corp.
2.00%, 8/19/2031
|
|
| 56,000
|
| 45,619
|
Moog, Inc.
4.25%, 12/15/2027 (a)
|
|
| 90,000
|
| 84,768
|
Security Description
|
|
| Principal
Amount
|
| Value
|
Morgan Stanley:
|
|
|
|
|
|
SOFR + 1.36%, 2.48%, 9/16/2036 (b)
|
|
| $140,000
|
| $110,663
|
SOFR + 2.08%, 4.89%, 7/20/2033 (b)
|
|
| 90,000
|
| 87,297
|
Series MTN, SOFR + 1.59%, 5.16%, 4/20/2029 (b)
|
|
| 68,000
|
| 67,957
|
Series MTN, SOFR + 1.88%, 5.42%, 7/21/2034 (b)
|
|
| 50,000
|
| 50,157
|
MPLX LP
4.95%, 9/1/2032
|
|
| 60,000
|
| 58,337
|
MSCI, Inc.
3.63%, 11/1/2031 (a)
|
|
| 25,000
|
| 21,718
|
Murphy Oil USA, Inc.
4.75%, 9/15/2029
|
|
| 61,000
|
| 57,877
|
Nationstar Mortgage Holdings, Inc.:
|
|
|
|
|
|
5.00%, 2/1/2026 (a)
|
|
| 27,000
|
| 26,422
|
7.13%, 2/1/2032 (a)
|
|
| 42,000
|
| 41,696
|
NCL Corp. Ltd.:
|
|
|
|
|
|
3.63%, 12/15/2024 (a)
|
|
| 23,000
|
| 22,683
|
5.88%, 3/15/2026 (a)
|
|
| 36,000
|
| 35,548
|
Nestle Holdings, Inc.:
|
|
|
|
|
|
2.50%, 9/14/2041 (a)
|
|
| 95,000
|
| 68,410
|
4.13%, 10/1/2027 (a)
|
|
| 125,000
|
| 122,447
|
New Fortress Energy, Inc.
6.50%, 9/30/2026 (a)
|
|
| 72,000
|
| 69,343
|
Newfold Digital Holdings Group, Inc.
6.00%, 2/15/2029 (a)
|
|
| 37,000
|
| 28,866
|
Newmark Group, Inc.
7.50%, 1/12/2029 (a)
|
|
| 90,000
|
| 92,539
|
News Corp.
3.88%, 5/15/2029 (a)
|
|
| 69,000
|
| 63,223
|
NextEra Energy Capital Holdings, Inc.:
|
|
|
|
|
|
4.26%, 9/1/2024
|
|
| 50,000
|
| 49,684
|
6.05%, 3/1/2025
|
|
| 31,000
|
| 31,120
|
NFP Corp.
6.88%, 8/15/2028 (a)
|
|
| 40,000
|
| 40,508
|
NGL Energy Operating LLC/NGL Energy Finance Corp.
8.13%, 2/15/2029 (a)
|
|
| 18,000
|
| 18,437
|
NGL Energy Partners LP/NGL Energy Finance Corp.
7.50%, 4/15/2026
|
|
| 21,000
|
| 20,993
|
NMG Holding Co., Inc./Neiman Marcus Group LLC
7.13%, 4/1/2026 (a)
|
|
| 28,000
|
| 27,448
|
Noble Finance II LLC
8.00%, 4/15/2030 (a)
|
|
| 77,000
|
| 80,212
|
NRG Energy, Inc.:
|
|
|
|
|
|
2.75%, 6/1/2048
|
|
| 10,000
|
| 16,556
|
3.38%, 2/15/2029 (a)
|
|
| 80,000
|
| 71,154
|
3.63%, 2/15/2031 (a)
|
|
| 43,000
|
| 37,124
|
5.25%, 6/15/2029 (a)
|
|
| 12,000
|
| 11,509
|
See accompanying notes to Schedule of
Investments.
124
SPDR LOOMIS SAYLES OPPORTUNISTIC BOND ETF
Schedule of Investments (continued)
March 31, 2024 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
Oncor Electric Delivery Co. LLC
4.30%, 5/15/2028
|
|
| $94,000
|
| $91,983
|
Osaic Holdings, Inc.
10.75%, 8/1/2027 (a)
|
|
| 25,000
|
| 25,825
|
Oscar AcquisitionCo LLC/Oscar Finance, Inc.
9.50%, 4/15/2030 (a)
|
|
| 25,000
|
| 24,660
|
Pactiv Evergreen Group Issuer, Inc./Pactiv Evergreen Group Issuer LLC
4.00%, 10/15/2027 (a)
|
|
| 53,000
|
| 49,511
|
Panther Escrow Issuer LLC
7.13%, 6/1/2031 (a)
|
|
| 25,000
|
| 25,446
|
Park-Ohio Industries, Inc.
6.63%, 4/15/2027
|
|
| 24,000
|
| 22,473
|
Patrick Industries, Inc.
4.75%, 5/1/2029 (a)
|
|
| 42,000
|
| 39,212
|
PHH Mortgage Corp.
7.88%, 3/15/2026 (a)
|
|
| 40,000
|
| 38,717
|
Phinia, Inc.
6.75%, 4/15/2029 (a)
|
|
| 15,000
|
| 15,146
|
Pike Corp.
5.50%, 9/1/2028 (a)
|
|
| 24,000
|
| 22,951
|
Pitney Bowes, Inc.
7.25%, 3/15/2029 (a)
|
|
| 50,000
|
| 44,669
|
PM General Purchaser LLC
9.50%, 10/1/2028 (a)
|
|
| 19,000
|
| 19,418
|
Presidio Holdings, Inc.
8.25%, 2/1/2028 (a)
|
|
| 24,000
|
| 23,934
|
Prudential Financial, Inc. 5 yr. CMT + 3.23%,
6.00%, 9/1/2052 (b)
|
|
| 45,000
|
| 44,830
|
Public Service Enterprise Group, Inc.
5.45%, 4/1/2034
|
|
| 115,000
|
| 115,214
|
Public Storage Operating Co.
2.25%, 11/9/2031
|
|
| 44,000
|
| 36,514
|
QUALCOMM, Inc.
5.40%, 5/20/2033
|
|
| 130,000
|
| 136,386
|
QVC, Inc.:
|
|
|
|
|
|
4.75%, 2/15/2027
|
|
| 47,000
|
| 41,805
|
5.45%, 8/15/2034
|
|
| 13,000
|
| 8,635
|
Rain Carbon, Inc.
12.25%, 9/1/2029 (a)
|
|
| 45,000
|
| 46,746
|
Rand Parent LLC
8.50%, 2/15/2030 (a)
|
|
| 19,000
|
| 18,799
|
Rayonier AM Products, Inc.
7.63%, 1/15/2026 (a)
|
|
| 27,000
|
| 24,779
|
Republic Services, Inc.
5.00%, 4/1/2034
|
|
| 21,000
|
| 20,837
|
Resideo Funding, Inc.
4.00%, 9/1/2029 (a)
|
|
| 107,000
|
| 95,970
|
ROBLOX Corp.
3.88%, 5/1/2030 (a)
|
|
| 111,000
|
| 97,810
|
Rockies Express Pipeline LLC
4.95%, 7/15/2029 (a)
|
|
| 68,000
|
| 63,600
|
Security Description
|
|
| Principal
Amount
|
| Value
|
Royal Caribbean Cruises Ltd.:
|
|
|
|
|
|
5.38%, 7/15/2027 (a)
|
|
| $7,000
|
| $6,899
|
5.50%, 4/1/2028 (a)
|
|
| 10,000
|
| 9,878
|
7.50%, 10/15/2027
|
|
| 7,000
|
| 7,373
|
Sabre GLBL, Inc.:
|
|
|
|
|
|
8.63%, 6/1/2027 (a)
|
|
| 14,000
|
| 12,285
|
11.25%, 12/15/2027 (a)
|
|
| 32,000
|
| 30,042
|
Sammons Financial Group, Inc.
6.88%, 4/15/2034 (a)
|
|
| 95,000
|
| 95,718
|
Santander Holdings USA, Inc. SOFR + 1.25%,
2.49%, 1/6/2028 (b)
|
|
| 110,000
|
| 100,003
|
Scripps Escrow II, Inc.
5.38%, 1/15/2031 (a)
|
|
| 35,000
|
| 21,491
|
Seagate HDD Cayman:
|
|
|
|
|
|
8.50%, 7/15/2031 (a)
|
|
| 61,000
|
| 65,896
|
9.63%, 12/1/2032
|
|
| 47,000
|
| 53,588
|
Sempra
3.70%, 4/1/2029
|
|
| 22,000
|
| 20,577
|
Sinclair Television Group, Inc.
5.50%, 3/1/2030 (a)
|
|
| 46,000
|
| 33,143
|
SK Invictus Intermediate II SARL
5.00%, 10/30/2029 (a)
|
|
| 10,000
|
| 8,921
|
Smyrna Ready Mix Concrete LLC
6.00%, 11/1/2028 (a)
|
|
| 59,000
|
| 57,676
|
Southern Co.
5.15%, 10/6/2025
|
|
| 175,000
|
| 174,786
|
Specialty Building Products Holdings LLC/SBP Finance Corp.
6.38%, 9/30/2026 (a)
|
|
| 31,000
|
| 30,763
|
Spirit AeroSystems, Inc.
4.60%, 6/15/2028
|
|
| 49,000
|
| 45,980
|
Standard Industries, Inc.:
|
|
|
|
|
|
3.38%, 1/15/2031 (a)
|
|
| 18,000
|
| 15,093
|
4.38%, 7/15/2030 (a)
|
|
| 50,000
|
| 44,903
|
5.00%, 2/15/2027 (a)
|
|
| 13,000
|
| 12,612
|
Starwood Property Trust, Inc.
4.38%, 1/15/2027 (a)
|
|
| 145,000
|
| 136,399
|
Steelcase, Inc.
5.13%, 1/18/2029
|
|
| 101,000
|
| 95,468
|
Stem, Inc.
0.50%, 12/1/2028 (a)
|
|
| 176,000
|
| 85,216
|
StoneMor, Inc.
8.50%, 5/15/2029 (a)
|
|
| 22,000
|
| 15,219
|
SunCoke Energy, Inc.
4.88%, 6/30/2029 (a)
|
|
| 46,000
|
| 41,683
|
Sunoco LP/Sunoco Finance Corp.
4.50%, 5/15/2029
|
|
| 76,000
|
| 70,765
|
Synchrony Financial
7.25%, 2/2/2033
|
|
| 54,000
|
| 53,732
|
Talen Energy Supply LLC
8.63%, 6/1/2030 (a)
|
|
| 95,000
|
| 101,566
|
Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp.:
|
|
|
|
|
|
5.50%, 1/15/2028 (a)
|
|
| 82,000
|
| 79,055
|
See accompanying notes to Schedule of
Investments.
125
SPDR LOOMIS SAYLES OPPORTUNISTIC BOND ETF
Schedule of Investments (continued)
March 31, 2024 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
6.00%, 3/1/2027 (a)
|
|
| $5,000
|
| $4,922
|
Taylor Morrison Communities, Inc.
5.75%, 1/15/2028 (a)
|
|
| 74,000
|
| 73,578
|
Tempur Sealy International, Inc.:
|
|
|
|
|
|
3.88%, 10/15/2031 (a)
|
|
| 44,000
|
| 37,417
|
4.00%, 4/15/2029 (a)
|
|
| 54,000
|
| 49,056
|
Tenneco, Inc.
8.00%, 11/17/2028 (a)
|
|
| 26,000
|
| 23,720
|
Texas Instruments, Inc.
4.90%, 3/14/2033
|
|
| 94,000
|
| 94,998
|
Thor Industries, Inc.
4.00%, 10/15/2029 (a)
|
|
| 45,000
|
| 40,300
|
Titan International, Inc.
7.00%, 4/30/2028
|
|
| 39,000
|
| 38,495
|
T-Mobile USA, Inc.
4.80%, 7/15/2028
|
|
| 146,000
|
| 144,790
|
TMS International Corp.
6.25%, 4/15/2029 (a)
|
|
| 26,000
|
| 23,804
|
TopBuild Corp.
3.63%, 3/15/2029 (a)
|
|
| 63,000
|
| 57,288
|
TransDigm, Inc.:
|
|
|
|
|
|
6.88%, 12/15/2030 (a)
|
|
| 63,000
|
| 64,264
|
7.13%, 12/1/2031 (a)
|
|
| 35,000
|
| 36,103
|
Tri Pointe Homes, Inc.
5.70%, 6/15/2028
|
|
| 94,000
|
| 92,459
|
TriNet Group, Inc.
3.50%, 3/1/2029 (a)
|
|
| 68,000
|
| 60,993
|
TripAdvisor, Inc.
7.00%, 7/15/2025 (a)
|
|
| 25,000
|
| 25,042
|
Triumph Group, Inc.
9.00%, 3/15/2028 (a)
|
|
| 27,000
|
| 28,467
|
Tronox, Inc.
4.63%, 3/15/2029 (a)
|
|
| 56,000
|
| 50,188
|
Uber Technologies, Inc.:
|
|
|
|
|
|
7.50%, 9/15/2027 (a)
|
|
| 8,000
|
| 8,194
|
8.00%, 11/1/2026 (a)
|
|
| 41,000
|
| 41,471
|
Unisys Corp.
6.88%, 11/1/2027 (a)
|
|
| 49,000
|
| 43,691
|
United Airlines Pass-Through Trust:
|
|
|
|
|
|
Series 2020-1, Class A, 5.88%, 4/15/2029
|
|
| 24,558
|
| 24,511
|
Series 2020-1, Class B, 4.88%, 7/15/2027
|
|
| 85,623
|
| 84,102
|
United Parcel Service, Inc.
4.88%, 3/3/2033
|
|
| 104,000
|
| 104,168
|
UnitedHealth Group, Inc.
5.88%, 2/15/2053
|
|
| 85,000
|
| 92,016
|
Upbound Group, Inc.
6.38%, 2/15/2029 (a)
|
|
| 47,000
|
| 45,633
|
Urban One, Inc.
7.38%, 2/1/2028 (a)
|
|
| 37,000
|
| 31,502
|
USA Compression Partners LP/USA Compression Finance Corp.
7.13%, 3/15/2029 (a)
|
|
| 68,000
|
| 68,770
|
Security Description
|
|
| Principal
Amount
|
| Value
|
USI, Inc.
7.50%, 1/15/2032 (a)
|
|
| $24,000
|
| $24,026
|
Valaris Ltd.
8.38%, 4/30/2030 (a)
|
|
| 54,000
|
| 55,613
|
Veritas U.S., Inc./Veritas Bermuda Ltd.
7.50%, 9/1/2025 (a)
|
|
| 35,000
|
| 32,083
|
Verizon Communications, Inc.:
|
|
|
|
|
|
2.10%, 3/22/2028
|
|
| 136,000
|
| 122,488
|
2.85%, 9/3/2041
|
|
| 24,000
|
| 17,280
|
3.55%, 3/22/2051
|
|
| 61,000
|
| 45,245
|
Vertiv Group Corp.
4.13%, 11/15/2028 (a)
|
|
| 105,000
|
| 97,693
|
Viasat, Inc.
7.50%, 5/30/2031 (a)
|
|
| 37,000
|
| 26,854
|
Victoria's Secret & Co.
4.63%, 7/15/2029 (a)
|
|
| 51,000
|
| 41,854
|
Virtusa Corp.
7.13%, 12/15/2028 (a)
|
|
| 28,000
|
| 25,244
|
Vistra Operations Co. LLC:
|
|
|
|
|
|
4.38%, 5/1/2029 (a)
|
|
| 25,000
|
| 23,169
|
5.00%, 7/31/2027 (a)
|
|
| 97,000
|
| 93,990
|
5.63%, 2/15/2027 (a)
|
|
| 21,000
|
| 20,676
|
VMware LLC
4.50%, 5/15/2025
|
|
| 240,000
|
| 237,679
|
Vornado Realty LP
3.40%, 6/1/2031
|
|
| 11,000
|
| 8,704
|
Warnermedia Holdings, Inc.
6.41%, 3/15/2026
|
|
| 58,000
|
| 58,002
|
WASH Multifamily Acquisition, Inc.
5.75%, 4/15/2026 (a)
|
|
| 45,000
|
| 43,961
|
Waste Pro USA, Inc.
5.50%, 2/15/2026 (a)
|
|
| 24,000
|
| 23,646
|
Watco Cos. LLC/Watco Finance Corp.
6.50%, 6/15/2027 (a)
|
|
| 25,000
|
| 24,701
|
Weatherford International Ltd.
8.63%, 4/30/2030 (a)
|
|
| 26,000
|
| 27,143
|
Weekley Homes LLC/Weekley Finance Corp.
4.88%, 9/15/2028 (a)
|
|
| 37,000
|
| 34,225
|
Wells Fargo & Co.:
|
|
|
|
|
|
SOFR + 1.79%, 6.30%, 10/23/2029 (b)
|
|
| 150,000
|
| 156,268
|
SOFR + 2.02%, 5.39%, 4/24/2034 (b)
|
|
| 73,000
|
| 72,453
|
Werner FinCo LP/Werner FinCo, Inc.
11.50%, 6/15/2028 (a)
|
|
| 7,000
|
| 7,634
|
Western Midstream Operating LP
6.15%, 4/1/2033
|
|
| 11,000
|
| 11,277
|
White Cap Buyer LLC
6.88%, 10/15/2028 (a)
|
|
| 26,000
|
| 25,509
|
Windstream Escrow LLC/Windstream Escrow Finance Corp.
7.75%, 8/15/2028 (a)
|
|
| 17,000
|
| 15,753
|
See accompanying notes to Schedule of
Investments.
126
SPDR LOOMIS SAYLES OPPORTUNISTIC BOND ETF
Schedule of Investments (continued)
March 31, 2024 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
World Acceptance Corp.
7.00%, 11/1/2026 (a)
|
|
| $16,000
|
| $14,882
|
Xerox Holdings Corp.
5.50%, 8/15/2028 (a)
|
|
| 65,000
|
| 59,177
|
XPO CNW, Inc.
6.70%, 5/1/2034
|
|
| 11,000
|
| 11,459
|
XPO, Inc.
7.13%, 6/1/2031 (a)
|
|
| 101,000
|
| 103,688
|
Zillow Group, Inc.
0.75%, 9/1/2024
|
|
| 10,000
|
| 11,823
|
|
|
|
|
| 17,814,631
|
TOTAL CORPORATE BONDS & NOTES
(Cost $22,963,285)
|
|
|
|
| 22,973,084
|
ASSET-BACKED SECURITIES — 9.2%
|
|
|
|
|
|
AMMC CLO 15 Ltd. Series 2014-15A, Class BR3, 3 mo. USD Term SOFR + 1.91%,
7.23%, 1/15/2032 (a) (b)
|
|
| 250,000
|
| 249,400
|
Anchorage Capital CLO 9 Ltd. Series 2016-9A, Class AR2, 3 mo. USD Term SOFR + 1.40%,
6.72%, 7/15/2032 (a) (b)
|
|
| 250,000
|
| 250,000
|
CBAM Ltd. Series 2018-6A, Class B2R, ABS, 3 mo. USD Term SOFR + 2.36%,
7.68%, 1/15/2031 (a) (b)
|
|
| 255,000
|
| 254,665
|
Clover CLO LLC Series 2018-1A, Class BR, 3 mo. USD Term SOFR + 1.96%,
7.28%, 4/20/2032 (a) (b)
|
|
| 320,000
|
| 319,264
|
Elmwood CLO V Ltd. Series 2020-2A, Class AR, 3 mo. USD Term SOFR + 1.41%,
6.73%, 10/20/2034 (a) (b)
|
|
| 250,000
|
| 249,900
|
Generate CLO 2 Ltd. Series 2A, Class BR, 3 mo. USD Term SOFR + 1.71%,
7.03%, 1/22/2031 (a) (b)
|
|
| 250,000
|
| 249,300
|
Greywolf CLO VI Ltd. Series 2018-1A, Class A1, 3 mo. USD Term SOFR + 1.29%,
6.61%, 4/26/2031 (a) (b)
|
|
| 224,496
|
| 224,249
|
Hayfin U.S. XII Ltd. Series 2018-8A, Class B, ABS, 3 mo. USD Term SOFR + 1.74%,
7.06%, 4/20/2031 (a) (b)
|
|
| 250,000
|
| 249,075
|
KKR CLO 22 Ltd. Series 22A, Class B, 3 mo. USD Term SOFR + 1.86%,
7.18%, 7/20/2031 (a) (b)
|
|
| 250,000
|
| 249,300
|
OHA Credit Funding 6 Ltd. Series 2020-6A, Class AR, 3 mo. USD Term SOFR + 1.40%,
6.72%, 7/20/2034 (a) (b)
|
|
| 250,000
|
| 250,112
|
Security Description
|
|
| Principal
Amount
|
| Value
|
OneMain Direct Auto Receivables Trust Series 2021-1A, Class A, ABS,
0.87%, 7/14/2028 (a)
|
|
| $425,775
|
| $411,135
|
OZLM Funding IV Ltd. Series 2013-4A, Class A2R, 3 mo. USD Term SOFR + 1.96%,
7.28%, 10/22/2030 (a) (b)
|
|
| 250,000
|
| 249,425
|
Post CLO Ltd. Series 2023-1A, Class B1, 3 mo. USD Term SOFR + 2.50%,
7.82%, 4/20/2036 (a) (b)
|
|
| 250,000
|
| 252,363
|
TOTAL ASSET-BACKED SECURITIES
(Cost $3,420,496)
|
|
|
|
| 3,458,188
|
|
| Shares
|
|
CONVERTIBLE BONDS — 0.8%
|
|
|
UNITED STATES — 0.8%
|
|
|
Axon Enterprise, Inc.
0.50%, 12/15/2027
|
| 10,000
| 14,534
|
Cloudflare, Inc.
8/15/2026
|
| 36,000
| 33,745
|
Fluor Corp.
1.13%, 8/15/2029 (a)
|
| 15,000
| 16,903
|
Freshpet, Inc.
3.00%, 4/1/2028
|
| 9,000
| 16,177
|
Liberty Media Corp.
3.75%, 3/15/2028
|
| 15,000
| 18,425
|
Liberty Media Corp.-Liberty Formula One
2.25%, 8/15/2027
|
| 20,000
| 20,257
|
Liberty TripAdvisor Holdings, Inc.
0.50%, 6/30/2051 (a)
|
| 30,000
| 28,163
|
Nutanix, Inc.
0.25%, 10/1/2027
|
| 10,000
| 12,277
|
Parsons Corp.
2.63%, 3/1/2029 (a)
|
| 15,000
| 16,353
|
Royal Caribbean Cruises Ltd.
6.00%, 8/15/2025
|
| 5,000
| 14,210
|
Sarepta Therapeutics, Inc.
1.25%, 9/15/2027
|
| 10,000
| 11,695
|
Seagate HDD Cayman
3.50%, 6/1/2028 (a)
|
| 10,000
| 12,709
|
TransMedics Group, Inc.
1.50%, 6/1/2028 (a)
|
| 10,000
| 10,882
|
Uber Technologies, Inc.
0.88%, 12/1/2028 (a)
|
| 35,000
| 43,365
|
Welltower OP LLC
2.75%, 5/15/2028 (a)
|
| 15,000
| 16,723
|
Western Digital Corp.
3.00%, 11/15/2028 (a)
|
| 10,000
| 14,691
|
See accompanying notes to Schedule of
Investments.
127
SPDR LOOMIS SAYLES OPPORTUNISTIC BOND ETF
Schedule of Investments (continued)
March 31, 2024 (Unaudited)
Security Description
|
|
| Shares
|
| Value
|
Zscaler, Inc.
0.13%, 7/1/2025
|
|
| 10,000
|
| $13,644
|
|
|
|
|
| 314,753
|
TOTAL CONVERTIBLE BONDS
(Cost $299,947)
|
|
|
|
| 314,753
|
CONVERTIBLE FOREIGN BONDS — 0.1%
|
|
|
|
|
UNITED STATES — 0.1%
|
|
|
|
|
Carnival Corp.
5.75%, 12/1/2027
|
|
| 10,000
|
| 15,082
|
TOTAL CONVERTIBLE FOREIGN BONDS
(Cost $14,938)
|
|
|
|
| 15,082
|
|
| Principal
Amount
|
|
SENIOR FLOATING RATE LOANS — 20.1%
|
|
|
|
ADVERTISING SERVICES — 0.4%
|
|
|
|
Clear Channel Outdoor Holdings, Inc., 2024 Term Loan, 1 mo. USD Term SOFR + 4.00%, 9.44%, 8/23/2028 (b)
|
| $28,144
| 28,179
|
CMG Media Corp., 2021 Term Loan, 3 mo. USD Term SOFR + 3.50%, 8.82%, 12/17/2026 (b)
|
| 145,855
| 127,558
|
|
|
| 155,737
|
AEROSPACE & DEFENSE — 0.1%
|
|
|
|
TransDigm, Inc., 2023 Term Loan J, 1 mo. USD Term SOFR + 3.25%, 8.60%, 2/14/2031 (b)
|
| 39,900
| 40,141
|
AIR FREIGHT & LOGISTICS — 0.3%
|
|
|
|
Rand Parent LLC, 2023 Term Loan B, 3 mo. USD Term SOFR + 4.25%, 9.57%, 3/17/2030 (b)
|
| 95,040
| 95,322
|
AIRLINES — 0.8%
|
|
|
|
American Airlines, Inc.:
|
|
|
|
2021 Term Loan, 3 mo. USD Term SOFR + 4.75%, 10.33%, 4/20/2028 (b)
|
| 93,500
| 97,260
|
2023 1st Lien Term Loan, 6 mo. USD Term SOFR + 3.50%, 8.77%, 6/4/2029 (b)
|
| 115,000
| 115,503
|
SkyMiles IP Ltd., 2020 Skymiles Term Loan B, 3 mo. USD Term SOFR + 3.75%, 9.07%, 10/20/2027 (b)
|
| 81,000
| 83,641
|
|
|
| 296,404
|
Security Description
|
|
| Principal
Amount
|
| Value
|
AUTO PARTS & EQUIPMENT — 0.6%
|
|
|
|
|
|
First Brands Group LLC:
|
|
|
|
|
|
2021 Term Loan, 3 mo. USD Term SOFR + 5.00%, 10.57%, 3/30/2027 (b)
|
|
| $63,545
|
| $63,719
|
2022 Incremental Term Loan, 3 mo. USD Term SOFR + 5.00%, 10.57%, 3/30/2027 (b)
|
|
| 49,175
|
| 49,268
|
Wheel Pros LLC, 2023 FILO Term Loan, 3 mo. USD Term SOFR + 8.88%, 14.46%, 2/10/2028 (b)
|
|
| 94,000
|
| 101,990
|
|
|
|
|
| 214,977
|
BROADCAST SERV/PROGRAM — 0.8%
|
|
|
|
|
|
E.W. Scripps Co., 2019 Term Loan B2, 1 mo. USD Term SOFR + 2.56%, 8.00%, 5/1/2026 (b)
|
|
| 322,201
|
| 319,784
|
BUILDING MATERIALS — 0.2%
|
|
|
|
|
|
MI Windows and Doors LLC, 2024 Term Loan B2 (c)
|
|
| 58,000
|
| 58,345
|
BUILDING PRODUCTS — 0.6%
|
|
|
|
|
|
ACProducts, Inc., 2021 Term Loan B, 3 mo. USD Term SOFR + 4.25%, 9.86%, 5/17/2028 (b)
|
|
| 57
|
| 52
|
Emrld Borrower LP, Term Loan B, 3 mo. USD Term SOFR + 2.50%, 7.79%, 5/31/2030 (b)
|
|
| 190,326
|
| 190,468
|
Oscar AcquisitionCo LLC, Term Loan B, 3 mo. USD Term SOFR + 4.50%, 9.95%, 4/29/2029 (b)
|
|
| 30,612
|
| 30,728
|
|
|
|
|
| 221,248
|
CHEMICALS — 0.9%
|
|
|
|
|
|
Aruba Investments Holdings LLC, 2020 USD Term Loan, 1 mo. USD Term SOFR + 0.00%, 9.43%, 11/24/2027 (b)
|
|
| 128,354
|
| 128,354
|
Bakelite US Holdco, Inc., 2022 Term Loan, 3 mo. USD Term SOFR + 4.00%, 9.31%, 5/29/2029 (b)
|
|
| 53,863
|
| 53,998
|
LSF11 A5 Holdco LLC, Term Loan, 1 mo. USD Term SOFR + 3.50%, 8.94%, 10/15/2028 (b)
|
|
| 109,537
|
| 109,715
|
Olympus Water U.S. Holding Corp., 2021 USD Term Loan B, 3 mo. USD Term SOFR + 3.75%, 9.32%, 11/9/2028 (b)
|
|
| 54,361
|
| 54,460
|
|
|
|
|
| 346,527
|
COMMERCIAL SERVICES — 2.2%
|
|
|
|
|
|
Albion Financing 3 SARL, USD Term Loan, 3 mo. USD Term SOFR + 5.25%, 10.83%, 8/17/2026 (b)
|
|
| 103,570
|
| 104,217
|
See accompanying notes to Schedule of
Investments.
128
SPDR LOOMIS SAYLES OPPORTUNISTIC BOND ETF
Schedule of Investments (continued)
March 31, 2024 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
Camelot U.S. Acquisition LLC, 2024 Term Loan B, 1 mo. USD Term SOFR + 2.75%, 8.08%, 1/31/2031 (b)
|
|
| $111,798
|
| $111,882
|
CoreLogic, Inc., Term Loan, 1 mo. USD Term SOFR + 3.50%, 8.94%, 6/2/2028 (b)
|
|
| 23,371
|
| 22,909
|
GTCR W Merger Sub LLC, USD Term Loan B, 1 mo. USD Term SOFR + 3.00%, 8.31%, 1/31/2031 (b)
|
|
| 266,000
|
| 267,275
|
Kingpin Intermediate Holdings LLC, 2023 Term Loan B, 1 mo. USD Term SOFR + 3.50%, 8.83%, 2/8/2028 (b)
|
|
| 96,661
|
| 96,782
|
Mckissock Investment Holdings LLC, Incremental Term Loan, 3 mo. USD Term SOFR + 5.00%, 10.38%, 3/12/2029 (b)
|
|
| 93,765
|
| 94,196
|
Neptune Bidco U.S., Inc., 2022 USD Term Loan B, 3 mo. USD Term SOFR + 5.00%, 10.42%, 4/11/2029 (b)
|
|
| 129,348
|
| 119,559
|
Prime Security Services Borrower LLC, 2023 Term Loan B, 3 mo. USD Term SOFR + 2.50%, 7.83%, 10/14/2030 (b)
|
|
| 23,028
|
| 23,069
|
|
|
|
|
| 839,889
|
COMMERCIAL SERVICES & SUPPLIES — 0.4%
|
|
|
|
|
|
McGraw-Hill Global Education Holdings LLC, 2021 Term Loan, 1 mo. USD Term SOFR + 4.75%, 10.19%, 7/28/2028 (b)
|
|
| 156,607
|
| 157,082
|
COMMUNICATIONS EQUIPMENT — 0.2%
|
|
|
|
|
|
CommScope, Inc., 2019 Term Loan B, 1 mo. USD Term SOFR + 3.25%, 8.58%, 4/6/2026 (b)
|
|
| 102,887
|
| 93,627
|
COMPUTERS — 0.7%
|
|
|
|
|
|
Genuine Financial Holdings LLC, 2023 Term Loan B, 1 mo. USD Term SOFR + 4.00%, 9.32%, 9/27/2030 (b)
|
|
| 120,395
|
| 119,733
|
NCR Atleos LLC, Term Loan B, 3 mo. USD Term SOFR + 4.75%, 10.16%, 3/27/2029 (b)
|
|
| 139,000
|
| 139,869
|
|
|
|
|
| 259,602
|
CONSTRUCTION & ENGINEERING — 0.2%
|
|
|
|
|
|
VM Consolidated, Inc., 2024 Term Loan B, 1 mo. USD Term SOFR + 2.75%, 8.08%, 3/24/2028 (b)
|
|
| 78,102
|
| 78,512
|
Security Description
|
|
| Principal
Amount
|
| Value
|
CONTAINERS & PACKAGING — 0.3%
|
|
|
|
|
|
Graham Packaging Co., Inc., 2021 Term Loan, 1 mo. USD Term SOFR + 3.00%, 8.44%, 8/4/2027 (b)
|
|
| $116,146
|
| $116,256
|
DIVERSIFIED FINANCIAL SERVICES — 0.4%
|
|
|
|
|
|
Paysafe Holdings U.S. Corp., USD Term Loan B1, 1 mo. USD Term SOFR + 2.75%, 8.19%, 6/28/2028 (b)
|
|
| 156,006
|
| 155,095
|
DIVERSIFIED TELECOMMUNICATION SERVICES — 0.2%
|
|
|
|
|
|
Crown Subsea Communications Holding, Inc., 2024 Term Loan B, 3 mo. USD Term SOFR + 4.75%, 10.07%, 1/30/2031 (b)
|
|
| 72,727
|
| 73,242
|
ENERGY-ALTERNATE SOURCES — 0.2%
|
|
|
|
|
|
Array Technologies, Inc., Term Loan B, 1 mo. USD Term SOFR + 3.25%, 8.69%, 10/14/2027 (b)
|
|
| 86,784
|
| 86,802
|
HEALTH CARE EQUIPMENT & SUPPLIES — 0.3%
|
|
|
|
|
|
Bausch & Lomb Corp., 2023 Incremental Term Loan, 1 mo. USD Term SOFR + 4.00%, 9.33%, 9/29/2028 (b)
|
|
| 62,685
|
| 62,764
|
Medline Borrower LP, 2024 Term Loan B (c)
|
|
| 50,069
|
| 50,251
|
|
|
|
|
| 113,015
|
HEALTH CARE PROVIDERS & SERVICES — 1.9%
|
|
|
|
|
|
Agiliti Health, Inc., 2023 Term Loan, 3 mo. USD Term SOFR + 3.00%, 8.33%, 5/1/2030 (b)
|
|
| 156,132
|
| 155,693
|
Avantor Funding, Inc., 2021 Term Loan B5, 1 mo. USD Term SOFR + 2.25%, 7.68%, 11/8/2027 (b)
|
|
| 17,545
|
| 17,592
|
CHG Healthcare Services, Inc., 2021 Term Loan, 1 mo. USD Term SOFR + 3.25%, 8.69%, 9/29/2028 (b)
|
|
| 292,500
|
| 293,079
|
LifePoint Health, Inc.:
|
|
|
|
|
|
2023 Term Loan B, 3 mo. USD Term SOFR + 5.50%, 11.09%, 11/16/2028 (b)
|
|
| 120,000
|
| 120,461
|
2024 Term Loan B (c)
|
|
| 119,678
|
| 120,137
|
|
|
|
|
| 706,962
|
See accompanying notes to Schedule of
Investments.
129
SPDR LOOMIS SAYLES OPPORTUNISTIC BOND ETF
Schedule of Investments (continued)
March 31, 2024 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
HOTELS, RESTAURANTS & LEISURE — 0.5%
|
|
|
|
|
|
19th Holdings Golf LLC, 2022 Term Loan B, 1 mo. USD Term SOFR + 3.35%, 8.67%, 2/7/2029 (b)
|
|
| $154,040
|
| $150,671
|
Caesars Entertainment, Inc., Term Loan B, 3 mo. USD Term SOFR + 3.25%, 8.66%, 2/6/2030 (b)
|
|
| 44,550
|
| 44,733
|
|
|
|
|
| 195,404
|
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS — 0.6%
|
|
|
|
|
|
Kohler Energy Co. LLC, USD Term Loan B (c)
|
|
| 210,000
|
| 210,568
|
INSURANCE — 0.9%
|
|
|
|
|
|
Sedgwick Claims Management Services, Inc., 2023 Term Loan B, 1 mo. USD Term SOFR + 3.75%, 9.08%, 2/24/2028 (b)
|
|
| 218,390
|
| 219,035
|
USI, Inc.:
|
|
|
|
|
|
2023 Acquisition Term Loan, 3 mo. USD Term SOFR + 3.25%, 8.60%, 9/27/2030 (b)
|
|
| 21,945
|
| 21,988
|
2023 Term Loan B, 3 mo. USD Term SOFR + 3.00%, 8.35%, 11/22/2029 (b)
|
|
| 98,753
|
| 98,917
|
|
|
|
|
| 339,940
|
INTERNET & TELECOM — 0.3%
|
|
|
|
|
|
Arches Buyer, Inc., 2021 Term Loan B, 1 mo. USD Term SOFR + 3.25%, 8.68%, 12/6/2027 (b)
|
|
| 102,098
|
| 99,127
|
Uber Technologies, Inc., 2023 Term Loan B, 3 mo. USD Term SOFR + 2.75%, 8.08%, 3/3/2030 (b)
|
|
| 32,426
|
| 32,603
|
|
|
|
|
| 131,730
|
IT SERVICES — 0.0% (d)
|
|
|
|
|
|
Access CIG LLC, 2023 Term Loan, 1 mo. USD Term SOFR + 5.00%, 10.33%, 8/18/2028 (b)
|
|
| 6,982
|
| 6,999
|
LEISURE INDUSTRY — 0.4%
|
|
|
|
|
|
Carnival Corp., 2023 Term Loan B, 1 mo. USD Term SOFR + 3.00%, 8.32%, 8/8/2027 (b)
|
|
| 139,943
|
| 140,322
|
MEDIA — 0.7%
|
|
|
|
|
|
Cengage Learning, Inc., 2024 Term Loan B, 3 mo. USD Term SOFR + 4.25%, 9.58%, 3/15/2031 (b)
|
|
| 55,878
|
| 55,887
|
Directv Financing LLC, 2024 Term Loan, 2 mo. USD Term SOFR + 5.00%, 10.25%, 8/2/2029 (b)
|
|
| 110,181
|
| 110,276
|
Security Description
|
|
| Principal
Amount
|
| Value
|
MH Sub I LLC, 2023 Term Loan, 1 mo. USD Term SOFR + 4.25%, 9.58%, 5/3/2028 (b)
|
|
| $108,183
|
| $107,666
|
|
|
|
|
| 273,829
|
MISCELLANEOUS MANUFACTUR — 0.2%
|
|
|
|
|
|
Gates Global LLC, 2021 Term Loan B3, 1 mo. USD Term SOFR + 2.50%, 7.93%, 3/31/2027 (b)
|
|
| 70,066
|
| 70,271
|
PHARMACEUTICALS — 0.8%
|
|
|
|
|
|
IVC Acquisition Ltd., 2023 USD Term Loan B, 3 mo. USD Term SOFR + 5.50%, 10.82%, 12/12/2028 (b)
|
|
| 78,000
|
| 78,292
|
Jazz Financing Lux SARL, 2024 Term Loan B, 1 mo. USD Term SOFR + 3.00%, 8.44%, 5/5/2028 (b)
|
|
| 91,951
|
| 92,526
|
Organon & Co., USD Term Loan, 1 mo. USD Term SOFR + 3.00%, 8.43%, 6/2/2028 (b)
|
|
| 112,394
|
| 112,933
|
|
|
|
|
| 283,751
|
PROFESSIONAL SERVICES — 0.2%
|
|
|
|
|
|
Proofpoint, Inc., 1st Lien Term Loan, 1 mo. USD Term SOFR + 3.25%, 8.58%, 8/31/2028 (b)
|
|
| 73,707
|
| 73,828
|
RETAIL — 0.3%
|
|
|
|
|
|
CWGS Group LLC, 2021 Term Loan B, 1 mo. USD Term SOFR + 2.50%, 7.94%, 6/3/2028 (b)
|
|
| 119,692
|
| 116,909
|
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT — 0.3%
|
|
|
|
|
|
Altar Bidco, Inc., 2021 Term Loan, 12 mo. USD Term SOFR + 3.10%, 7.95%, 2/1/2029 (b)
|
|
| 130,674
|
| 130,707
|
SOFTWARE — 1.7%
|
|
|
|
|
|
Dun & Bradstreet Corp., 2024 Term Loan B, 1 mo. USD Term SOFR + 2.75%, 8.08%, 1/18/2029 (b)
|
|
| 125,017
|
| 125,133
|
Open Text Corp., 2023 Term Loan B, 1 mo. USD Term SOFR + 2.75%, 8.18%, 1/31/2030 (b)
|
|
| 164,630
|
| 165,099
|
Project Alpha Intermediate Holding, Inc., 2023 1st Lien Term Loan B, 3 mo. USD Term SOFR + 4.75%, 10.06%, 10/28/2030 (b)
|
|
| 143,125
|
| 144,069
|
Sabre Global, Inc.:
|
|
|
|
|
|
2021 Term Loan B1, 1 mo. USD Term SOFR + 3.50%, 8.94%, 12/17/2027 (b)
|
|
| 45,101
|
| 38,465
|
See accompanying notes to Schedule of
Investments.
130
SPDR LOOMIS SAYLES OPPORTUNISTIC BOND ETF
Schedule of Investments (continued)
March 31, 2024 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
2021 Term Loan B2, 1 mo. USD Term SOFR + 3.50%, 8.94%, 12/17/2027 (b)
|
|
| $70,658
|
| $60,261
|
UKG, Inc., 2024 Term Loan B (c)
|
|
| 100,126
|
| 100,767
|
|
|
|
|
| 633,794
|
SPECIALTY RETAIL — 0.9%
|
|
|
|
|
|
Michaels Cos., Inc., 2021 Term Loan B, 3 mo. USD Term SOFR + 4.25%, 9.57%, 4/15/2028 (b)
|
|
| 125,472
|
| 112,897
|
PetSmart, Inc., 2021 Term Loan B, 1 mo. USD Term SOFR + 3.75%, 9.18%, 2/11/2028 (b)
|
|
| 219,190
|
| 218,962
|
|
|
|
|
| 331,859
|
TRANSPORT-SERVICES — 0.6%
|
|
|
|
|
|
Endure Digital, Inc., Term Loan, 6 mo. USD Term SOFR + 3.50%, 9.42%, 2/10/2028 (b)
|
|
| 98,578
|
| 96,434
|
PODS LLC, 2021 Term Loan B (c)
|
|
| 118,696
|
| 116,922
|
|
|
|
|
| 213,356
|
TOTAL SENIOR FLOATING RATE LOANS
(Cost $7,594,743)
|
|
|
|
| 7,581,836
|
|
| Shares
|
|
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS — 4.5%
|
|
|
|
SPDR Blackstone Senior Loan ETF (e)
(Cost $ 1,687,776)
|
| 40,506
| $1,705,708
|
|
| Principal
Amount
|
|
COMMERCIAL MORTGAGE BACKED SECURITIES — 0.3%
|
|
|
|
COMM Mortgage Trust Series 2012-CR3, Class B, 3.92%, 10/15/2045 (a)
(Cost $96,054)
|
| $97,024
| 92,274
|
Security Description
|
|
| Shares
|
| Value
|
SHORT-TERM INVESTMENT — 3.3%
|
|
|
|
|
|
State Street Institutional U.S. Government Money Market Fund, Class G Shares 5.30% (f) (g)
(Cost $1,241,319)
|
|
| 1,241,319
|
| $1,241,319
|
TOTAL INVESTMENTS — 99.3%
(Cost $37,318,558)
|
|
|
|
| 37,382,244
|
OTHER ASSETS IN EXCESS OF LIABILITIES — 0.7%
|
|
|
|
| 281,672
|
NET ASSETS — 100.0%
|
|
|
|
| $37,663,916
|
(a)
| Securities purchased pursuant to Rule 144A of the Securities Act of 1933, as amended. These securities, which represent 39.7% of net assets as of March 31, 2024, 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 March 31, 2024. For securities based on a published reference rate and spread, the reference rate and spread are
indicated in the description above.
|
(c)
| Position is unsettled. Contract rate was not determined at March 31, 2024 and does not take effect until settlement date. Maturity date is not finalized until settlement date.
|
(d)
| Amount is less than 0.05% of net assets.
|
(e)
| Affiliated fund managed by SSGA Funds Management, Inc. Amounts related to these investments during the period ended March 31, 2024 are shown in the Affiliate Table below.
|
(f)
| The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these investments during the period ended March 31, 2024 are shown in the
Affiliate Table below.
|
(g)
| The rate shown is the annualized seven-day yield at March 31, 2024.
|
ABS
| Asset-Backed Security
|
CLO
| Collateralized Loan Obligation
|
CMT
| Constant Maturity Treasury
|
CVR
| Contingent Value Rights
|
MTN
| Medium Term Note
|
REIT
| Real Estate Investment Trust
|
SOFR
| Secured Overnight Financing Rate
|
See accompanying notes to
Schedule of Investments.
131
SPDR LOOMIS SAYLES OPPORTUNISTIC BOND ETF
Schedule of Investments (continued)
March 31, 2024 (Unaudited)
At March 31, 2024, 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 (long)
|
| 29
|
| 06/28/2024
|
| $5,933,898
|
| $5,930,046
|
| $(3,852)
|
Ultra U.S. Treasury Bond Futures (long)
|
| 9
|
| 06/18/2024
|
| 1,138,998
|
| 1,161,000
|
| 22,002
|
U.S. Treasury Bond Futures (long)
|
| 14
|
| 06/18/2024
|
| 1,664,883
|
| 1,686,125
|
| 21,242
|
10 Yr. U.S. Treasury Ultra Futures (long)
|
| 18
|
| 06/18/2024
|
| 2,040,469
|
| 2,062,969
|
| 22,500
|
5 Yr. U.S. Treasury Note Futures (long)
|
| 5
|
| 06/28/2024
|
| 533,320
|
| 535,078
|
| 1,758
|
|
|
|
|
|
|
|
|
|
| $63,650
|
The following table summarizes the
value of the Fund's investments according to the fair value hierarchy as of March 31, 2024.
Description
|
| Level 1 –
Quoted Prices
|
| Level 2 –
Other Significant
Observable Inputs
|
| Level 3 –
Significant
Unobservable Inputs
|
| Total
|
ASSETS:
|
|
|
|
|
|
|
|
|
INVESTMENTS:
|
|
|
|
|
|
|
|
|
Corporate Bonds & Notes
|
| $—
|
| $22,973,084
|
| $—
|
| $22,973,084
|
Asset-Backed Securities
|
| —
|
| 3,458,188
|
| —
|
| 3,458,188
|
Commercial Mortgage Backed Securities
|
| —
|
| 92,274
|
| —
|
| 92,274
|
Convertible Bonds
|
| —
|
| 314,753
|
| —
|
| 314,753
|
Convertible Foreign Bonds
|
| —
|
| 15,082
|
| —
|
| 15,082
|
Mutual Funds and Exchange Traded Products
|
| 1,705,708
|
| —
|
| —
|
| 1,705,708
|
Senior Floating Rate Loans
|
| —
|
| 7,581,836
|
| —
|
| 7,581,836
|
Short-Term Investment
|
| 1,241,319
|
| —
|
| —
|
| 1,241,319
|
TOTAL INVESTMENTS
|
| $2,947,027
|
| $34,435,217
|
| $—
|
| $37,382,244
|
OTHER FINANCIAL INSTRUMENTS:
|
|
|
|
|
|
|
|
|
Futures Contracts - Unrealized Appreciation
|
| $67,502
|
| $—
|
| $—
|
| $67,502
|
Futures Contracts - Unrealized Depreciation
|
| (3,852)
|
| —
|
| —
|
| (3,852)
|
TOTAL OTHER FINANCIAL INSTRUMENTS:
|
| $63,650
|
| $—
|
| $—
|
| $63,650
|
Affiliate Table
| Number of
Shares Held
at
6/30/23
|
| Value at
6/30/23
|
| Cost of
Purchases
|
| Proceeds
from
Shares Sold
|
| Realized
Gain (Loss)
|
| Change in
Unrealized
Appreciation/
Depreciation
|
| Number of
Shares Held
at
3/31/24
|
| Value at
3/31/24
|
| Dividend
Income
|
SPDR Blackstone Senior Loan ETF
| 23,140
|
| $968,872
|
| $727,005
|
| $—
|
| $—
|
| $9,831
|
| 40,506
|
| $1,705,708
|
| $98,196
|
State Street Institutional U.S. Government Money Market Fund, Class G Shares
| 585,448
|
| 585,448
|
| 12,607,123
|
| 11,951,252
|
| —
|
| —
|
| 1,241,319
|
| 1,241,319
|
| 64,113
|
Total
|
|
| $1,554,320
|
| $13,334,128
|
| $11,951,252
|
| $—
|
| $9,831
|
|
|
| $2,947,027
|
| $162,309
|
See accompanying notes to Schedule of
Investments.
132
SSGA ACTIVE TRUST
NOTES TO SCHEDULES OF INVESTMENTS
March 31, 2024 (Unaudited)
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 of Trustees of the Trust (the “Board”). The Committee provides oversight of the valuation of investments for the Funds. The Board
has responsibility for overseeing the determination of the fair value of investments.
Valuation techniques used to value
each Fund’s investments by major category are as follows:
• Equity investments (including preferred stocks and registered investment companies that are exchange-traded funds) traded on a recognized securities exchange for which market
quotations are readily available are valued at the last sale price or official closing price, as applicable, on the primary market or exchange on which they trade. Equity investments traded on a recognized exchange
for which there were no sales on that day are valued at the last published sale price or at fair value.
• Investments in registered investment companies (including money market funds) or other unitized pooled investment vehicles that are not traded on an exchange are valued at that
day’s published net asset value (“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.
SSGA ACTIVE TRUST
NOTES TO SCHEDULES OF INVESTMENTS (continued)
March 31, 2024 (Unaudited)
Fair value pricing could result in
a difference between the prices used to calculate a Portfolio's or Fund's NAV and the prices used by the Portfolios' or Funds' underlying benchmark. Various inputs are used in determining the value of the Portfolios'
or Funds' investments.
The Portfolios or 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 March 31, 2024, is disclosed in the Fund's respective Schedules of Investments.
Futures Contracts
The Funds may enter into futures
contracts to meet the Funds’ objectives. A futures contract is a standardized, exchange-traded agreement to buy or sell a financial instrument at a set price on a future date. Upon entering into a futures
contract, a Fund is required to deposit with the broker, cash or securities in an amount equal to the minimum initial margin requirements of the clearing house. Securities deposited, if any, are designated on the
Schedules of Investments and cash deposited, if any, is included in Net cash at broker on the Statements of Assets and Liabilities. Subsequent payments are made or received by a Fund equal to the daily change in the
contract value, accumulated, exchange rates, and or other transactional fees. The accumulation of those payments are recorded as variation margin receivable or payable with a corresponding offset to unrealized gains
or losses. A Fund 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 the movement of the assets underlying such contracts.
During the period ended March 31,
2024, the SPDR SSGA Ultra Short Term Bond ETF and SPDR Loomis Sayles Opportunistic Bond ETF entered into futures contracts to hedge interest rate risk and manage duration.
Loan Agreements
The Blackstone Senior Loan ETF,
SPDR DoubleLine Total Return Tactical ETF, SPDR DoubleLine Short Duration Total Return Tactical ETF, SPDR Loomis Sayles Opportunistic Bond ETF and SPDR Blackstone High Income ETF invest in Senior Loans. Senior Loans
consist generally of obligations of companies and other entities (collectively, “borrowers”) incurred for the purpose of reorganizing the assets and liabilities of a borrower; acquiring another company;
taking over control of a company (leveraged buyout); temporary refinancing; or financing internal growth or other general business purposes. Senior Loans are often obligations of borrowers who have incurred a
significant percentage of debt compared to their total assets and thus are highly leveraged. The Funds do not treat the banks originating or acting as agents for the lenders, or granting or acting as intermediary in
participation interests, in loans held by the Funds as the issuers of such loans.
SSGA ACTIVE TRUST
NOTES TO SCHEDULES OF INVESTMENTS (continued)
March 31, 2024 (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 March 31, 2024, are disclosed in the Funds' respective Schedules of Investments.