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 |
Schedules of Investments (Unaudited) | |
1 | |
3 | |
5 | |
7 | |
25 | |
43 | |
49 | |
88 | |
93 | |
107 | |
109 | |
111 | |
116 | |
120 | |
133 |
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 |
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 |
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 |
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 |
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 |
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 | $4,227,375 |
Borrower | Unfunded Loan Commitment ($) | Value ($) | Unrealized Appreciation/(Depreciation) ($) | |||
Touchdown Acquirer Inc | 80,838 | 81,192 | 354 | |||
Groundworks, LLC | 23,316 | 23,349 | 33 | |||
$104,154 | $104,541 | $387 |
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 |
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 | $388,512 |
Borrower | Unfunded Loan Commitment ($) | 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 |
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 |
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 |
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 |
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 |
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 |
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 |
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 |
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 |
% 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% |
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 |
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 |
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 |
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 |
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 |
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 |
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 |
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 |
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 |
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 |
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 |
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 |
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 |
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 |
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