SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: 811-08839
SPDR® SERIES TRUST
(Exact name of registrant as specified in charter)
One Iron Street, Boston, Massachusetts 02210
(Address of principal executive offices) (zip code)
Sean O’Malley, Esq.
Senior Vice President and General Counsel
c/o SSGA Funds Management, Inc.
One Iron Street
Boston, Massachusetts 02210
(Name and address of agent for service)
Copy to:
W. John McGuire, Esq.
Morgan, Lewis & Bockius LLP
1111 Pennsylvania Avenue, NW
Washington, DC 20004
Registrant’s telephone number, including area code: (617) 664-1465
Date of fiscal year end: December 31
Date of reporting period: December 31, 2022
Item 1. Reports to Shareholders.
(a) | The Report to Shareholders is attached herewith. |
SPDR Bloomberg Emerging Markets Local Bond ETF |
SPDR Bloomberg International Corporate Bond ETF |
SPDR Bloomberg International Treasury Bond ETF |
SPDR Bloomberg Short Term International Treasury Bond ETF |
SPDR FTSE International Government Inflation-Protected Bond ETF |
1 | |
Management’s Discussion of Fund Performance, Performance Summaries & Portfolio Statistics (Unaudited) | |
2 | |
5 | |
8 | |
11 | |
14 | |
Schedules of Investments | |
17 | |
28 | |
45 | |
64 | |
69 | |
74 | |
82 | |
87 | |
97 | |
99 |
Cumulative Total Return | Average Annual Total Return | ||||||
Net Asset Value | Market Value | Bloomberg EM Local Currency Government Diversified Index | Net Asset Value | Market Value | Bloomberg EM Local Currency Government Diversified Index | ||
ONE YEAR | (11.89)% | (11.75)% | (12.73)% | (11.89)% | (11.75)% | (12.73)% | |
FIVE YEARS | (14.19)% | (14.04)% | (12.85)% | (3.01)% | (2.98)% | (2.71)% | |
TEN YEARS | (16.98)% | (17.42)% | (12.27)% | (1.84)% | (1.90)% | (1.30)% |
(Based on Net Asset Value)
Description | % of Net Assets | ||
Brazil Letras do Tesouro Nacional Zero Coupon, 1/1/2024 | 1.5% | ||
Brazil Letras do Tesouro Nacional 10.00% 1/1/2025 | 1.4 | ||
Turkey Government Bond 16.90% 9/2/2026 | 0.9 | ||
Brazil Letras do Tesouro Nacional Zero Coupon, 1/1/2026 | 0.8 | ||
Bonos de la Tesoreria de la Republica en pesos 5.80% 6/1/2024 | 0.8 | ||
TOTAL | 5.4% |
% of Net Assets | |||
Foreign Government Obligations | 97.9% | ||
Corporate Bonds & Notes | 0.0 * | ||
Short-Term Investments | 2.0 | ||
Other Assets in Excess of Liabilities | 0.1 | ||
TOTAL | 100.0% |
* | Amount shown represents less than 0.05% of net assets. |
Description | % of Total Investments | ||
China | 12.4% | ||
South Korea | 12.4 | ||
Indonesia | 8.7 | ||
Malaysia | 7.2 | ||
Brazil | 6.6 | ||
Poland | 4.4 | ||
Thailand | 4.3 | ||
Czech Republic | 4.2 | ||
Israel | 4.2 | ||
Mexico | 4.2 | ||
TOTAL | 68.6% |
Cumulative Total Return | Average Annual Total Return | ||||||
Net Asset Value | Market Value | Bloomberg Global Aggregate ex-USD >$1B: Corporate Bond Index | Net Asset Value | Market Value | Bloomberg Global Aggregate ex-USD >$1B: Corporate Bond Index | ||
ONE YEAR | (19.86)% | (19.46)% | (19.59)% | (19.86)% | (19.46)% | (19.59)% | |
FIVE YEARS | (19.77)% | (19.28)% | (17.89)% | (4.31)% | (4.19)% | (3.87)% | |
TEN YEARS | (17.09)% | (16.93)% | (13.18)% | (1.86)% | (1.84)% | (1.40)% |
(Based on Net Asset Value)
Description | % of Net Assets | ||
Seven & i Holdings Co., Ltd. 0.19% 12/19/2025 | 0.5% | ||
NTT Finance Corp. 0.38% 9/20/2030 | 0.5 | ||
Orange SA 8.13% 1/28/2033 | 0.4 | ||
UniCredit SpA 2.20% 7/22/2027 | 0.3 | ||
Volkswagen International Finance NV 1.88% 3/30/2027 | 0.3 | ||
TOTAL | 2.0% |
% of Net Assets | |||
Corporate Bonds & Notes | 98.3% | ||
Short-Term Investments | 6.3 | ||
Liabilities in Excess of Other Assets | (4.6) | ||
TOTAL | 100.0% |
Cumulative Total Return | Average Annual Total Return | ||||||
Net Asset Value | Market Value | Bloomberg Global Treasury ex-US Capped Index | Net Asset Value | Market Value | Bloomberg Global Treasury ex-US Capped Index | ||
ONE YEAR | (19.66)% | (19.59)% | (19.44)% | (19.66)% | (21.50)% | (19.44)% | |
FIVE YEARS | (17.18)% | (16.74)% | (15.65)% | (3.70)% | (3.60)% | (3.35)% | |
TEN YEARS | (19.47)% | (19.16)% | (15.68)% | (2.14)% | (2.10)% | (1.69)% |
(Based on Net Asset Value)
Description | % of Net Assets | ||
China Government Bond 3.25% 11/22/2028 | 0.8% | ||
China Government Bond 4.08% 10/22/2048 | 0.7 | ||
Japan Government Five Year Bond 0.01% 6/20/2027 | 0.4 | ||
Korea Treasury Bond 2.00% 3/10/2049 | 0.4 | ||
Japan Government 10 Year Bond 0.10% 12/20/2031 | 0.4 | ||
TOTAL | 2.7% |
% of Net Assets | |||
Foreign Government Obligations | 99.3% | ||
Short-Term Investment | 0.0 * | ||
Other Assets in Excess of Liabilities | 0.7 | ||
TOTAL | 100.0% |
* | Amount shown represents less than 0.05% of net assets. |
Description | % of Total Investments | ||
Japan | 23.4% | ||
France | 5.0 | ||
United Kingdom | 5.0 | ||
South Korea | 4.6 | ||
China | 4.6 | ||
Italy | 4.6 | ||
Australia | 4.6 | ||
Canada | 4.6 | ||
Germany | 4.6 | ||
Spain | 4.6 | ||
TOTAL | 65.6% |
Cumulative Total Return | Average Annual Total Return | ||||||
Net Asset Value | Market Value | Bloomberg 1-3 Year Global Treasury ex-US Capped Index | Net Asset Value | Market Value | Bloomberg 1-3 Year Global Treasury ex-US Capped Index | ||
ONE YEAR | (11.07)% | (10.56)% | (10.70)% | (11.07)% | (10.56)% | (10.70)% | |
FIVE YEARS | (13.88)% | (13.33)% | (12.07)% | (2.94)% | (2.82)% | (2.54)% | |
TEN YEARS | (23.90)% | (23.48)% | (20.80)% | (2.69)% | (2.64)% | (2.30)% |
(Based on Net Asset Value)
Description | % of Net Assets | ||
Government of Japan 5 Year Bond 0.10% 9/20/2024 | 3.0% | ||
Government of Japan 5 Year Bond 0.10% 3/20/2024 | 2.9 | ||
Government of Japan 5 Year Bond 0.10% 6/20/2025 | 2.9 | ||
Government of Japan 5 Year Bond 0.10% 3/20/2025 | 2.7 | ||
Government of Japan 5 Year Bond 0.10% 12/20/2025 | 2.6 | ||
TOTAL | 14.1% |
% of Net Assets | |||
Foreign Government Obligations | 99.1% | ||
Other Assets in Excess of Liabilities | 0.9 | ||
TOTAL | 100.0% |
Description | % of Total Investments | ||
Japan | 23.4% | ||
Italy | 5.2 | ||
France | 5.1 | ||
South Korea | 4.7 | ||
China | 4.6 | ||
Australia | 4.6 | ||
Canada | 4.6 | ||
United Kingdom | 4.6 | ||
Germany | 4.6 | ||
Spain | 4.5 | ||
TOTAL | 65.9% |
Cumulative Total Return | Average Annual Total Return | ||||||
Net Asset Value | Market Value | FTSE International Inflation-Linked Securities Select Index | Net Asset Value | Market Value | FTSE International Inflation-Linked Securities Select Index | ||
ONE YEAR | (15.41)% | (15.44)% | (14.78)% | (15.41)% | (15.44)% | (14.78)% | |
FIVE YEARS(1) (2) | (10.14)% | (10.29)% | (7.44)% | (2.12)% | (2.15)% | (1.53)% | |
TEN YEARS(1) (2) | (10.41)% | (11.14)% | (5.19)% | (1.09)% | (1.17)% | (0.53)% |
(1) | Effective February 15, 2016, the Fund changed its benchmark index from the DB Global Government ex-US Inflation-Linked Securities Select Index. The Fund's performance in the tables is based on the Fund's prior investment strategy to track a different benchmark index for periods prior to February 15, 2016. |
(2) | The FTSE International Inflation-Linked Securities Select Index (formerly, Citi International Inflation-Linked Securities Select Index) inception date is January 15, 2016. Index returns in the line graph below represent the Fund’s prior benchmark index from December 31, 2009 through February 14, 2016 and the FTSE International Inflation-Linked Securities Select Index (formerly, Citi International Inflation-Linked Securities Select Index from February 15, 2016 through December 31, 2022. |
(Based on Net Asset Value)
Description | % of Net Assets | ||
Deutsche Bundesrepublik Inflation Linked Bond 0.50% 4/15/2030 | 1.6% | ||
United Kingdom Gilt Inflation Linked 0.13% 3/22/2024 | 1.5 | ||
United Kingdom Gilt Inflation Linked 0.13% 8/10/2041 | 1.4 | ||
Deutsche Bundesrepublik Inflation Linked Bond 0.10% 4/15/2026 | 1.4 | ||
Bonos de la Tesoreria de la Republica 3.00% 1/1/2044 | 1.3 | ||
TOTAL | 7.2% |
% of Net Assets | |||
Foreign Government Obligations | 99.4% | ||
Short-Term Investment | 0.1 | ||
Other Assets in Excess of Liabilities | 0.5 | ||
TOTAL | 100.0% |
Description | % of Total Investments | ||
United Kingdom | 20.5% | ||
France | 7.9 | ||
Brazil | 7.5 | ||
Chile | 4.9 | ||
Japan | 4.9 | ||
Turkey | 4.7 | ||
Mexico | 4.7 | ||
South Africa | 4.7 | ||
Spain | 4.7 | ||
Australia | 4.6 | ||
TOTAL | 69.1% |
Security Description | Principal Amount | Value | ||||
CORPORATE BONDS & NOTES — 0.0% (a) | ||||||
SUPRANATIONAL — 0.0% (a) | ||||||
International Bank for Reconstruction & Development Series GDIF, 4.00%, 5/30/2023 | PEN | 3,500,000 | $ 901,988 | |||
TOTAL CORPORATE BONDS & NOTES (Cost $1,061,970) | 901,988 | |||||
FOREIGN GOVERNMENT OBLIGATIONS — 97.9% | ||||||
BRAZIL — 6.6% | ||||||
Brazil Letras do Tesouro Nacional: | ||||||
Series LTN, Zero Coupon, 7/1/2023 | BRL | 2,900,000 | 515,386 | |||
Series LTN, Zero Coupon, 1/1/2024 | BRL | 189,000,000 | 31,590,949 | |||
Series LTN, Zero Coupon, 4/1/2024 | BRL | 41,300,000 | 6,712,546 | |||
Series LTN, Zero Coupon, 7/1/2024 | BRL | 102,200,000 | 16,129,278 | |||
Zero Coupon, 10/1/2024 | BRL | 25,000,000 | 3,832,447 | |||
Series LTN, Zero Coupon, 1/1/2025 | BRL | 28,400,000 | 4,234,721 | |||
Zero Coupon, 1/1/2026 | BRL | 137,000,000 | 18,084,259 | |||
Series NTNF, 10.00%, 1/1/2025 | BRL | 166,450,000 | 30,085,440 | |||
Series NTNF, 10.00%, 1/1/2027 | BRL | 74,075,000 | 12,905,365 | |||
Series NTNF, 10.00%, 1/1/2029 | BRL | 58,890,000 | 9,921,950 | |||
Series NTNF, 10.00%, 1/1/2031 | BRL | 40,000,000 | 6,574,112 | |||
Series NTNF, 10.00%, 1/1/2033 | BRL | 10,000,000 | 1,713,149 | |||
Brazilian Government International Bond: | ||||||
8.50%, 1/5/2024 | BRL | 350,000 | 63,229 | |||
10.25%, 1/10/2028 | BRL | 1,000,000 | 174,959 | |||
142,537,790 | ||||||
CHILE — 3.4% | ||||||
Bonos de la Tesoreria de la Republica en pesos: | ||||||
2.30%, 10/1/2028 (b) | CLP | 5,535,000,000 | 5,426,437 | |||
2.50%, 3/1/2025 | CLP | 490,000,000 | 518,287 | |||
2.80%, 10/1/2033 (b) | CLP | 1,000,000,000 | 949,317 | |||
4.00%, 3/1/2023 (b) | CLP | 2,135,000,000 | 2,479,947 | |||
4.50%, 3/1/2026 | CLP | 715,000,000 | 801,919 | |||
4.70%, 9/1/2030 (b) | CLP | 10,640,000,000 | 12,026,327 | |||
5.00%, 10/1/2028 (b) | CLP | 4,600,000,000 | 5,224,933 |
Security Description | Principal Amount | Value | ||||
5.00%, 3/1/2035 | CLP | 11,875,000,000 | $ 13,779,887 | |||
5.10%, 7/15/2050 | CLP | 2,470,000,000 | 2,887,017 | |||
5.80%, 6/1/2024 (b) | CLP | 14,770,000,000 | 16,946,512 | |||
Series 30YR, 6.00%, 1/1/2043 | CLP | 9,715,000,000 | 12,579,456 | |||
73,620,039 | ||||||
CHINA — 12.4% | ||||||
China Development Bank: | ||||||
Series 1903, 3.30%, 2/1/2024 | CNY | 21,000,000 | 3,054,556 | |||
Series 1908, 3.42%, 7/2/2024 | CNY | 6,300,000 | 919,868 | |||
Series 1518, 3.74%, 9/10/2025 | CNY | 2,000,000 | 296,229 | |||
Series 1605, 3.80%, 1/25/2036 | CNY | 6,500,000 | 987,749 | |||
Series 1510, 4.21%, 4/13/2025 | CNY | 9,000,000 | 1,342,556 | |||
Series 1708, 4.30%, 8/21/2024 | CNY | 10,000,000 | 1,481,178 | |||
Series 1805, 4.88%, 2/9/2028 | CNY | 3,000,000 | 472,592 | |||
China Government Bond: | ||||||
1.99%, 9/15/2024 | CNY | 23,000,000 | 3,290,512 | |||
Series INBK, 1.99%, 4/9/2025 | CNY | 43,000,000 | 6,123,373 | |||
2.18%, 6/25/2024 | CNY | 10,000,000 | 1,435,011 | |||
2.18%, 8/25/2025 | CNY | 48,000,000 | 6,858,882 | |||
2.24%, 5/25/2025 | CNY | 26,000,000 | 3,726,401 | |||
Series INBK, 2.26%, 2/24/2025 | CNY | 58,000,000 | 8,302,409 | |||
Series INBK, 2.28%, 3/17/2024 | CNY | 64,000,000 | 9,202,661 | |||
2.28%, 11/25/2025 | CNY | 10,000,000 | 1,434,851 | |||
Series INBK, 2.37%, 1/20/2027 | CNY | 28,500,000 | 4,054,813 | |||
2.44%, 10/15/2027 | CNY | 40,000,000 | 5,690,484 | |||
Series INBK, 2.47%, 9/2/2024 | CNY | 20,000,000 | 2,879,956 | |||
Series INBK, 2.48%, 4/15/2027 | CNY | 35,000,000 | 4,986,955 | |||
2.50%, 7/25/2027 | CNY | 19,000,000 | 2,707,513 | |||
2.60%, 9/1/2032 | CNY | 10,000,000 | 1,406,505 | |||
Series INBK, 2.62%, 9/25/2029 | CNY | 10,000,000 | 1,419,373 | |||
Series INBK, 2.68%, 5/21/2030 | CNY | 46,000,000 | 6,527,094 | |||
Series INBK, 2.69%, 8/12/2026 | CNY | 69,920,000 | 10,072,043 | |||
2.69%, 8/15/2032 | CNY | 30,000,000 | 4,248,774 | |||
2.75%, 6/15/2029 | CNY | 24,000,000 | 3,441,000 | |||
Series INBK, 2.75%, 2/17/2032 | CNY | 43,000,000 | 6,103,028 | |||
2.76%, 5/15/2032 | CNY | 15,000,000 | 2,137,455 |
Security Description | Principal Amount | Value | |||
Series INBK, 2.80%, 3/24/2029 | CNY | 20,000,000 | $ 2,878,433 | ||
Series INBK, 2.84%, 4/8/2024 | CNY | 55,000,000 | 7,961,865 | ||
Series INBK, 2.85%, 6/4/2027 | CNY | 30,000,000 | 4,345,681 | ||
Series INBK, 2.89%, 11/18/2031 | CNY | 30,500,000 | 4,381,480 | ||
Series 1610, 2.90%, 5/5/2026 | CNY | 10,000,000 | 1,453,710 | ||
Series INBK, 2.91%, 10/14/2028 | CNY | 30,000,000 | 4,351,254 | ||
Series 1913, 2.94%, 10/17/2024 | CNY | 21,000,000 | 3,049,235 | ||
Series INBK, 3.01%, 5/13/2028 | CNY | 38,000,000 | 5,537,720 | ||
Series INBK, 3.02%, 10/22/2025 | CNY | 34,000,000 | 4,963,218 | ||
Series INBK, 3.02%, 5/27/2031 | CNY | 46,000,000 | 6,691,030 | ||
Series INBK, 3.03%, 3/11/2026 | CNY | 37,000,000 | 5,403,180 | ||
Series 1916, 3.12%, 12/5/2026 | CNY | 42,600,000 | 6,258,034 | ||
Series 1915, 3.13%, 11/21/2029 | CNY | 53,000,000 | 7,782,856 | ||
Series 1904, 3.19%, 4/11/2024 | CNY | 27,000,000 | 3,927,632 | ||
Series 1828, 3.22%, 12/6/2025 | CNY | 7,790,000 | 1,144,427 | ||
Series 1907, 3.25%, 6/6/2026 | CNY | 29,800,000 | 4,385,227 | ||
Series 1827, 3.25%, 11/22/2028 | CNY | 10,000,000 | 1,478,854 | ||
Series INBK, 3.27%, 11/19/2030 | CNY | 37,000,000 | 5,494,354 | ||
Series 1619, 3.27%, 8/22/2046 | CNY | 15,000,000 | 2,141,525 | ||
Series INBK, 3.28%, 12/3/2027 | CNY | 35,400,000 | 5,230,205 | ||
Series 1906, 3.29%, 5/23/2029 | CNY | 34,600,000 | 5,145,429 | ||
Series INBK, 3.32%, 4/15/2052 | CNY | 10,000,000 | 1,468,346 | ||
Series INBK, 3.39%, 3/16/2050 | CNY | 29,000,000 | 4,249,901 | ||
3.40%, 7/15/2072 | CNY | 10,000,000 | 1,457,266 | ||
Series 1626, 3.48%, 11/21/2066 | CNY | 6,700,000 | 992,911 | ||
Series 1710, 3.52%, 5/4/2027 | CNY | 5,000,000 | 746,274 | ||
Series 1608, 3.52%, 4/25/2046 | CNY | 11,000,000 | 1,637,256 | ||
Series INBK, 3.53%, 10/18/2051 | CNY | 40,000,000 | 6,042,493 | ||
Series 1819, 3.54%, 8/16/2028 | CNY | 10,000,000 | 1,509,295 |
Security Description | Principal Amount | Value | ||||
Series INBK, 3.72%, 4/12/2051 | CNY | 20,000,000 | $ 3,120,129 | |||
Series INBK, 3.73%, 5/25/2070 | CNY | 35,000,000 | 5,487,413 | |||
Series 1521, 3.74%, 9/22/2035 | CNY | 17,800,000 | 2,752,436 | |||
Series 1525, 3.74%, 10/20/2045 | CNY | 13,000,000 | 2,064,282 | |||
Series INBK, 3.76%, 3/22/2071 | CNY | 21,000,000 | 3,329,247 | |||
Series 1705, 3.77%, 2/20/2047 | CNY | 13,000,000 | 2,029,192 | |||
Series INBK, 3.81%, 9/14/2050 | CNY | 29,000,000 | 4,579,795 | |||
Series 1910, 3.86%, 7/22/2049 | CNY | 26,500,000 | 4,209,077 | |||
Series 1023, 3.96%, 7/29/2040 | CNY | 18,000,000 | 2,919,670 | |||
Series 1817, 3.97%, 7/23/2048 | CNY | 10,000,000 | 1,617,517 | |||
Series 1908, 4.00%, 6/24/2069 | CNY | 9,000,000 | 1,486,215 | |||
Series 1715, 4.05%, 7/24/2047 | CNY | 15,000,000 | 2,436,354 | |||
Series 1003, 4.08%, 3/1/2040 | CNY | 5,000,000 | 821,226 | |||
Series 1824, 4.08%, 10/22/2048 | CNY | 25,300,000 | 4,164,694 | |||
Series 1508, 4.09%, 4/27/2035 | CNY | 1,000,000 | 159,947 | |||
Series 1806, 4.22%, 3/19/2048 | CNY | 8,000,000 | 1,334,302 | |||
Series 1722, 4.28%, 10/23/2047 | CNY | 3,250,000 | 548,063 | |||
Series 1116, 4.50%, 6/23/2041 | CNY | 21,000,000 | 3,655,303 | |||
Series 2417, 4.63%, 8/11/2034 | CNY | 17,000,000 | 2,862,796 | |||
Series 1319, 4.76%, 9/16/2043 | CNY | 2,000,000 | 360,813 | |||
266,651,383 | ||||||
COLOMBIA — 3.8% | ||||||
Colombia Government International Bond 9.85%, 6/28/2027 | COP | 115,000,000 | 20,885 | |||
Colombian TES: | ||||||
Series B, 5.75%, 11/3/2027 | COP | 27,750,000,000 | 4,328,749 | |||
Series B, 6.00%, 4/28/2028 | COP | 70,015,000,000 | 10,773,392 | |||
Series B, 6.25%, 11/26/2025 | COP | 68,875,000,000 | 12,151,336 | |||
Series B, 6.25%, 7/9/2036 | COP | 11,300,000,000 | 1,340,447 | |||
Series B, 7.00%, 3/26/2031 | COP | 81,850,000,000 | 11,907,243 |
Security Description | Principal Amount | Value | ||||
Series B, 7.00%, 6/30/2032 | COP | 62,464,000,000 | $ 8,750,257 | |||
Series B, 7.25%, 10/18/2034 | COP | 34,525,000,000 | 4,683,134 | |||
Series B, 7.25%, 10/26/2050 | COP | 30,600,000,000 | 3,577,387 | |||
Series B, 7.50%, 8/26/2026 | COP | 74,702,000,000 | 13,153,554 | |||
Series B, 7.75%, 9/18/2030 | COP | 21,800,000,000 | 3,376,568 | |||
Series B, 9.25%, 5/28/2042 | COP | 47,400,000,000 | 7,059,408 | |||
Series B, 10.00%, 7/24/2024 | COP | 5,530,000,000 | 1,110,572 | |||
82,232,932 | ||||||
CZECH REPUBLIC — 4.2% | ||||||
Czech Republic Government Bond: | ||||||
Series 130, 0.05%, 11/29/2029 | CZK | 61,550,000 | 1,923,030 | |||
Series 100, 0.25%, 2/10/2027 | CZK | 217,730,000 | 7,868,950 | |||
Series 94, 0.95%, 5/15/2030 | CZK | 269,280,000 | 8,862,658 | |||
Series 95, 1.00%, 6/26/2026 | CZK | 185,930,000 | 7,101,028 | |||
Series 121, 1.20%, 3/13/2031 | CZK | 182,570,000 | 5,961,436 | |||
Series 120, 1.25%, 2/14/2025 | CZK | 280,390,000 | 11,344,694 | |||
Series 125, 1.50%, 4/24/2040 | CZK | 29,460,000 | 777,113 | |||
Series 138, 1.75%, 6/23/2032 | CZK | 6,540,000 | 216,729 | |||
Series 142, 1.95%, 7/30/2037 | CZK | 60,000,000 | 1,839,873 | |||
Series 103, 2.00%, 10/13/2033 | CZK | 259,550,000 | 8,600,518 | |||
Series 89, 2.40%, 9/17/2025 | CZK | 182,700,000 | 7,474,458 | |||
Series 78, 2.50%, 8/25/2028 | CZK | 238,700,000 | 9,132,237 | |||
Series 105, 2.75%, 7/23/2029 | CZK | 97,250,000 | 3,708,322 | |||
Series 145, 3.50%, 5/30/2035 | CZK | 60,000,000 | 2,277,307 | |||
Series 49, 4.20%, 12/4/2036 | CZK | 128,380,000 | 5,219,266 | |||
Series 53, 4.85%, 11/26/2057 | CZK | 12,300,000 | 527,174 | |||
Series 8Y, 5.00%, 9/30/2030 | CZK | 41,000,000 | 1,788,351 | |||
Series 6Y, 5.50%, 12/12/2028 | CZK | 92,000,000 | 4,121,951 |
Security Description | Principal Amount | Value | ||||
Series 58, 5.70%, 5/25/2024 | CZK | 52,540,000 | $ 2,322,652 | |||
91,067,747 | ||||||
HUNGARY — 3.5% | ||||||
Hungary Government Bond: | ||||||
Series 26/E, 1.50%, 4/22/2026 (c) | HUF | 3,571,180,000 | 7,141,566 | |||
Series 26/F, 1.50%, 8/26/2026 (c) | HUF | 2,405,000,000 | 4,672,940 | |||
Series 29/A, 2.00%, 5/23/2029 (c) | HUF | 1,831,220,000 | 3,242,560 | |||
Series 33/A, 2.25%, 4/20/2033 (c) | HUF | 929,670,000 | 1,433,838 | |||
Series 34/A, 2.25%, 6/22/2034 | HUF | 2,237,500,000 | 3,294,083 | |||
Series 24/C, 2.50%, 10/24/2024 | HUF | 2,542,600,000 | 5,800,556 | |||
Series 26/D, 2.75%, 12/22/2026 (c) | HUF | 3,938,000,000 | 7,887,152 | |||
Series 24/B, 3.00%, 6/26/2024 | HUF | 979,170,000 | 2,296,980 | |||
Series 27/A, 3.00%, 10/27/2027 | HUF | 1,580,970,000 | 3,059,412 | |||
Series 30/A, 3.00%, 8/21/2030 | HUF | 4,357,500,000 | 7,783,459 | |||
Series 38/A, 3.00%, 10/27/2038 | HUF | 2,203,760,000 | 3,102,864 | |||
Series 41/A, 3.00%, 4/25/2041 | HUF | 868,900,000 | 1,131,697 | |||
Series 31/A, 3.25%, 10/22/2031 | HUF | 1,219,870,000 | 2,129,151 | |||
Series 28/B, 4.50%, 3/23/2028 | HUF | 2,380,000,000 | 4,907,155 | |||
Series 32/A, 4.75%, 11/24/2032 (c) | HUF | 1,470,000,000 | 2,832,523 | |||
Series 25/B, 5.50%, 6/24/2025 | HUF | 3,084,620,000 | 7,192,057 | |||
Series 23/A, 6.00%, 11/24/2023 (c) | HUF | 10,000 | 25 | |||
Series 28/A, 6.75%, 10/22/2028 (c) | HUF | 2,744,500,000 | 6,326,936 | |||
74,234,954 | ||||||
INDONESIA — 8.7% | ||||||
Indonesia Treasury Bond: | ||||||
Series FR90, 5.13%, 4/15/2027 | IDR | 44,000,000,000 | 2,717,896 | |||
Series FR86, 5.50%, 4/15/2026 | IDR | 110,900,000,000 | 6,977,777 | |||
Series FR64, 6.13%, 5/15/2028 | IDR | 113,750,000,000 | 7,145,445 | |||
Series FR88, 6.25%, 6/15/2036 | IDR | 20,000,000,000 | 1,202,691 | |||
Series FR91, 6.38%, 4/15/2032 | IDR | 135,000,000,000 | 8,339,952 |
Security Description | Principal Amount | Value | |||
Series FR93, 6.38%, 7/15/2037 | IDR | 35,000,000,000 | $ 2,162,457 | ||
Series FR62, 6.38%, 4/15/2042 | IDR | 1,700,000,000 | 97,938 | ||
Series FR81, 6.50%, 6/15/2025 | IDR | 112,000,000,000 | 7,255,439 | ||
Series FR87, 6.50%, 2/15/2031 | IDR | 151,700,000,000 | 9,457,193 | ||
Series FR65, 6.63%, 5/15/2033 | IDR | 60,000,000,000 | 3,747,522 | ||
Series FR89, 6.88%, 8/15/2051 | IDR | 36,000,000,000 | 2,205,441 | ||
Series FR59, 7.00%, 5/15/2027 | IDR | 118,000,000,000 | 7,760,472 | ||
Series FR82, 7.00%, 9/15/2030 | IDR | 132,600,000,000 | 8,598,833 | ||
Series FR96, 7.00%, 2/15/2033 | IDR | 65,000,000,000 | 4,181,628 | ||
Series FR92, 7.13%, 6/15/2042 | IDR | 95,000,000,000 | 6,110,756 | ||
Series FR97, 7.13%, 6/15/2043 | IDR | 11,000,000,000 | 706,600 | ||
Series FR76, 7.38%, 5/15/2048 | IDR | 56,700,000,000 | 3,668,791 | ||
Series FR74, 7.50%, 8/15/2032 | IDR | 51,300,000,000 | 3,409,156 | ||
Series FR80, 7.50%, 6/15/2035 | IDR | 70,600,000,000 | 4,671,226 | ||
Series FR75, 7.50%, 5/15/2038 | IDR | 56,910,000,000 | 3,762,016 | ||
Series FR83, 7.50%, 4/15/2040 | IDR | 98,500,000,000 | 6,499,697 | ||
Series FR85, 7.75%, 4/15/2031 | IDR | 11,000,000,000 | 739,104 | ||
Series FR77, 8.13%, 5/15/2024 | IDR | 70,100,000,000 | 4,643,964 | ||
Series FR78, 8.25%, 5/15/2029 | IDR | 98,150,000,000 | 6,787,483 | ||
Series FR58, 8.25%, 6/15/2032 | IDR | 3,710,000,000 | 258,242 | ||
Series FR72, 8.25%, 5/15/2036 | IDR | 55,090,000,000 | 3,858,149 | ||
Series FR70, 8.38%, 3/15/2024 | IDR | 105,600,000,000 | 7,004,482 | ||
Series FR56, 8.38%, 9/15/2026 | IDR | 94,300,000,000 | 6,470,276 | ||
Series FR68, 8.38%, 3/15/2034 | IDR | 97,700,000,000 | 6,867,018 | ||
Series FR79, 8.38%, 4/15/2039 | IDR | 81,000,000,000 | 5,754,950 | ||
Series FR73, 8.75%, 5/15/2031 | IDR | 69,050,000,000 | 4,942,303 | ||
Series FR67, 8.75%, 2/15/2044 | IDR | 47,050,000,000 | 3,423,007 | ||
Series FR71, 9.00%, 3/15/2029 | IDR | 86,000,000,000 | 6,147,971 |
Security Description | Principal Amount | Value | ||||
Series FR57, 9.50%, 5/15/2041 | IDR | 1,000,000,000 | $ 76,060 | |||
Series FR45, 9.75%, 5/15/2037 | IDR | 1,250,000,000 | 97,024 | |||
Perusahaan Penerbit SBSN Indonesia: | ||||||
Series PBS, 4.00%, 7/15/2024 | IDR | 30,000,000,000 | 1,863,120 | |||
Series PBS, 4.88%, 7/15/2026 | IDR | 82,000,000,000 | 5,019,006 | |||
Series PBS, 5.38%, 8/15/2025 | IDR | 10,000,000,000 | 628,853 | |||
5.88%, 7/15/2028 | IDR | 2,338,000,000 | 147,197 | |||
Series PBS, 6.13%, 10/15/2025 | IDR | 33,000,000,000 | 2,107,253 | |||
Series PBS, 6.38%, 3/15/2034 | IDR | 77,522,000,000 | 4,666,558 | |||
Series PBS, 6.50%, 6/15/2039 | IDR | 9,000,000,000 | 536,299 | |||
Series PBS, 6.63%, 10/15/2024 | IDR | 66,000,000,000 | 4,268,584 | |||
Series PBS, 6.75%, 6/15/2047 | IDR | 41,875,000,000 | 2,507,725 | |||
Series PBS, 7.75%, 10/15/2046 | IDR | 23,000,000,000 | 1,544,394 | |||
Series PBS, 8.88%, 11/15/2031 | IDR | 74,200,000,000 | 5,326,459 | |||
186,364,407 | ||||||
ISRAEL — 4.2% | ||||||
Israel Government Bond: | ||||||
Series 1024, 0.40%, 10/31/2024 | ILS | 24,600,000 | 6,542,600 | |||
Series 0425, 0.50%, 4/30/2025 | ILS | 25,700,000 | 6,767,364 | |||
Series 0226, 0.50%, 2/27/2026 | ILS | 34,000,000 | 8,732,675 | |||
Series 0330, 1.00%, 3/31/2030 | ILS | 29,200,000 | 6,888,446 | |||
Series 0537, 1.50%, 5/31/2037 | ILS | 39,600,000 | 8,472,690 | |||
Series 0825, 1.75%, 8/31/2025 | ILS | 22,980,000 | 6,191,272 | |||
Series 0327, 2.00%, 3/31/2027 | ILS | 38,850,000 | 10,280,758 | |||
Series 0928, 2.25%, 9/28/2028 | ILS | 36,495,000 | 9,575,895 | |||
Series 1152, 2.80%, 11/29/2052 | ILS | 5,000,000 | 1,192,714 | |||
Series 0324, 3.75%, 3/31/2024 | ILS | 26,950,000 | 7,604,391 | |||
Series 0347, 3.75%, 3/31/2047 | ILS | 37,125,000 | 10,527,248 | |||
Series 0142, 5.50%, 1/31/2042 | ILS | 17,710,000 | 6,406,025 |
Security Description | Principal Amount | Value | ||||
Series 1026, 6.25%, 10/30/2026 | ILS | 5,225,000 | $ 1,612,407 | |||
90,794,485 | ||||||
MALAYSIA — 7.2% | ||||||
Malaysia Government Bond: | ||||||
Series 0220, 2.63%, 4/15/2031 | MYR | 15,800,000 | 3,234,788 | |||
Series 0319, 3.48%, 6/14/2024 | MYR | 13,000,000 | 2,940,096 | |||
Series 0307, 3.50%, 5/31/2027 | MYR | 23,670,000 | 5,293,893 | |||
Series 0122, 3.58%, 7/15/2032 | MYR | 12,300,000 | 2,680,143 | |||
Series 0513, 3.73%, 6/15/2028 | MYR | 28,150,000 | 6,314,369 | |||
Series 0519, 3.76%, 5/22/2040 | MYR | 15,330,000 | 3,213,755 | |||
Series 0419, 3.83%, 7/5/2034 | MYR | 17,350,000 | 3,813,084 | |||
Series 0413, 3.84%, 4/15/2033 | MYR | 12,860,000 | 2,849,230 | |||
Series 0118, 3.88%, 3/14/2025 | MYR | 7,700,000 | 1,755,862 | |||
Series 0212, 3.89%, 3/15/2027 | MYR | 600,000 | 136,372 | |||
Series 0219, 3.89%, 8/15/2029 | MYR | 16,805,000 | 3,787,524 | |||
Series 0316, 3.90%, 11/30/2026 | MYR | 26,605,000 | 6,054,306 | |||
Series 0417, 3.90%, 11/16/2027 | MYR | 3,530,000 | 802,532 | |||
Series 0119, 3.91%, 7/15/2026 | MYR | 17,540,000 | 3,996,155 | |||
Series 0115, 3.96%, 9/15/2025 | MYR | 37,912,000 | 8,648,904 | |||
Series 0217, 4.06%, 9/30/2024 | MYR | 915,000 | 208,813 | |||
Series 0120, 4.07%, 6/15/2050 | MYR | 24,800,000 | 5,134,304 | |||
Series 0412, 4.13%, 4/15/2032 | MYR | 800,000 | 182,214 | |||
Series 0114, 4.18%, 7/15/2024 | MYR | 4,462,000 | 1,019,104 | |||
Series 0415, 4.25%, 5/31/2035 | MYR | 14,650,000 | 3,337,619 | |||
Series 0322, 4.50%, 4/30/2029 | MYR | 8,300,000 | 1,934,079 | |||
Series 0318, 4.64%, 11/7/2033 | MYR | 9,430,000 | 2,230,937 | |||
Series 0222, 4.70%, 10/15/2042 | MYR | 11,000,000 | 2,595,650 | |||
Series 0216, 4.74%, 3/15/2046 | MYR | 10,425,000 | 2,426,735 | |||
Series 0317, 4.76%, 4/7/2037 | MYR | 9,975,000 | 2,378,692 |
Security Description | Principal Amount | Value | |||
Series 3/05, 4.84%, 7/15/2025 | MYR | 170,000 | $ 39,585 | ||
Series 0418, 4.89%, 6/8/2038 | MYR | 5,750,000 | 1,388,525 | ||
Series 0518, 4.92%, 7/6/2048 | MYR | 8,500,000 | 2,011,090 | ||
Series 0713, 4.94%, 9/30/2043 | MYR | 9,550,000 | 2,302,167 | ||
Malaysia Government Investment Issue: | |||||
Series 0120, 3.42%, 9/30/2027 | MYR | 19,700,000 | 4,387,912 | ||
Series 0121, 3.45%, 7/15/2036 | MYR | 23,000,000 | 4,743,102 | ||
Series 0220, 3.47%, 10/15/2030 | MYR | 33,740,000 | 7,349,244 | ||
Series 0419, 3.66%, 10/15/2024 | MYR | 14,350,000 | 3,258,922 | ||
Series 0319, 3.73%, 3/31/2026 | MYR | 30,400,000 | 6,876,187 | ||
Series 0217, 4.05%, 8/15/2024 | MYR | 12,000,000 | 2,747,318 | ||
Series 0316, 4.07%, 9/30/2026 | MYR | 4,925,000 | 1,125,071 | ||
Series 0318, 4.09%, 11/30/2023 | MYR | 870,000 | 198,614 | ||
Series 0619, 4.12%, 11/30/2034 | MYR | 10,000,000 | 2,238,753 | ||
Series 0118, 4.13%, 8/15/2025 | MYR | 7,380,000 | 1,691,344 | ||
Series 0119, 4.13%, 7/9/2029 | MYR | 14,500,000 | 3,301,027 | ||
Series 0122, 4.19%, 10/7/2032 | MYR | 19,000,000 | 4,320,934 | ||
Series 0117, 4.26%, 7/26/2027 | MYR | 3,720,000 | 857,701 | ||
Series 0218, 4.37%, 10/31/2028 | MYR | 30,180,000 | 6,977,992 | ||
Series 0221, 4.42%, 9/30/2041 | MYR | 22,200,000 | 5,018,435 | ||
Series 0813, 4.44%, 5/22/2024 | MYR | 16,000,000 | 3,670,516 | ||
Series 0219, 4.47%, 9/15/2039 | MYR | 15,800,000 | 3,607,848 | ||
Series 0513, 4.58%, 8/30/2033 | MYR | 8,400,000 | 1,968,020 | ||
Series 0519, 4.64%, 11/15/2049 | MYR | 12,500,000 | 2,775,236 | ||
Series 0617, 4.72%, 6/15/2033 | MYR | 13,200,000 | 3,129,237 | ||
Series 0517, 4.76%, 8/4/2037 | MYR | 3,300,000 | 778,866 | ||
Series 0615, 4.79%, 10/31/2035 | MYR | 810,000 | 192,349 | ||
Series 0417, 4.90%, 5/8/2047 | MYR | 1,750,000 | 409,845 |
Security Description | Principal Amount | Value | ||||
Series 0222, 5.36%, 5/15/2052 | MYR | 5,000,000 | $ 1,243,854 | |||
155,578,854 | ||||||
MEXICO — 4.2% | ||||||
Mexican Bonos: | ||||||
Series M, 5.50%, 3/4/2027 | MXN | 148,829,300 | 6,660,994 | |||
Series M, 5.75%, 3/5/2026 | MXN | 244,157,200 | 11,332,548 | |||
Series M 20, 7.50%, 6/3/2027 | MXN | 111,220,700 | 5,379,413 | |||
Series M, 7.75%, 5/29/2031 | MXN | 148,396,800 | 7,046,606 | |||
Series M, 7.75%, 11/23/2034 | MXN | 110,268,100 | 5,110,790 | |||
Series M, 7.75%, 11/13/2042 | MXN | 110,089,600 | 4,929,309 | |||
Series M, 8.00%, 9/5/2024 | MXN | 279,640,200 | 13,873,919 | |||
Series M, 8.00%, 11/7/2047 | MXN | 166,950,800 | 7,637,985 | |||
Series M, 8.00%, 7/31/2053 | MXN | 30,000,000 | 1,365,777 | |||
Series M 20, 8.50%, 5/31/2029 | MXN | 226,486,300 | 11,300,460 | |||
Series M 30, 8.50%, 11/18/2038 | MXN | 184,050,000 | 8,935,854 | |||
Series M 20, 10.00%, 12/5/2024 | MXN | 98,495,500 | 5,065,627 | |||
Series M 30, 10.00%, 11/20/2036 | MXN | 28,100,000 | 1,543,094 | |||
90,182,376 | ||||||
PERU — 3.2% | ||||||
Peru Government Bond: | ||||||
5.35%, 8/12/2040 | PEN | 10,000,000 | 1,945,762 | |||
5.40%, 8/12/2034 | PEN | 25,800,000 | 5,406,837 | |||
5.70%, 8/12/2024 | PEN | 8,200,000 | 2,118,767 | |||
5.94%, 2/12/2029 | PEN | 41,225,000 | 9,900,741 | |||
6.15%, 8/12/2032 | PEN | 40,507,000 | 9,320,589 | |||
6.35%, 8/12/2028 | PEN | 66,900,000 | 16,661,907 | |||
6.71%, 2/12/2055 | PEN | 1,000,000 | 221,875 | |||
6.85%, 2/12/2042 | PEN | 16,000,000 | 3,689,662 | |||
6.90%, 8/12/2037 | PEN | 49,075,000 | 11,497,892 | |||
6.95%, 8/12/2031 | PEN | 22,420,000 | 5,534,324 | |||
8.20%, 8/12/2026 | PEN | 9,200,000 | 2,522,593 | |||
Peruvian Government International Bond Series REGS, 6.71%, 2/12/2055 | PEN | 475,000 | 105,391 | |||
68,926,340 | ||||||
PHILIPPINES — 4.2% | ||||||
Philippine Government Bond: | ||||||
Series 3-25, 2.38%, 9/10/2023 | PHP | 228,800,000 | 4,025,981 |
Security Description | Principal Amount | Value | |||
Series 1065, 2.88%, 7/9/2030 | PHP | 153,500,000 | $ 2,117,823 | ||
Series 5-77, 3.38%, 4/8/2026 | PHP | 570,000,000 | 9,385,229 | ||
Series R105, 3.50%, 9/20/2026 | PHP | 22,000,000 | 357,786 | ||
Series 1060, 3.63%, 9/9/2025 | PHP | 82,000,000 | 1,384,265 | ||
Series 7-64, 3.63%, 4/22/2028 | PHP | 70,000,000 | 1,091,598 | ||
Series 2020, 3.63%, 3/21/2033 | PHP | 43,150,000 | 579,361 | ||
Series 7-65, 3.75%, 8/12/2028 | PHP | 960,000,000 | 14,930,594 | ||
Series 1066, 4.00%, 7/22/2031 | PHP | 227,000,000 | 3,309,616 | ||
Series 1059, 4.13%, 8/20/2024 | PHP | 18,700,000 | 325,260 | ||
Series 5-76, 4.25%, 10/17/2024 | PHP | 50,000,000 | 868,490 | ||
Series 3-27, 4.25%, 4/7/2025 | PHP | 215,000,000 | 3,698,575 | ||
Series 7-59, 4.50%, 4/20/2024 | PHP | 68,200,000 | 1,200,132 | ||
Series 2511, 4.63%, 9/9/2040 | PHP | 156,500,000 | 2,041,027 | ||
Series 1061, 4.75%, 5/4/2027 | PHP | 276,950,000 | 4,633,549 | ||
Series 1067, 4.88%, 1/20/2032 | PHP | 880,000,000 | 13,563,718 | ||
Series 2024, 5.13%, 7/15/2041 | PHP | 20,000,000 | 275,652 | ||
Series 2021, 5.25%, 5/18/2037 | PHP | 48,800,000 | 716,812 | ||
Series 7-61, 5.75%, 4/12/2025 | PHP | 89,500,000 | 1,589,070 | ||
Series R251, 6.13%, 10/24/2037 | PHP | 67,000,000 | 1,081,279 | ||
Series 7-62, 6.25%, 2/14/2026 | PHP | 105,000,000 | 1,881,628 | ||
Series 1063, 6.25%, 3/22/2028 | PHP | 97,700,000 | 1,727,808 | ||
Series 3601, 6.25%, 1/14/2036 | PHP | 20,000,000 | 326,444 | ||
Series 1069, 6.75%, 9/15/2032 | PHP | 200,000,000 | 3,530,906 | ||
Series 2023, 6.75%, 1/24/2039 | PHP | 52,700,000 | 891,144 | ||
Series 1064, 6.88%, 1/10/2029 | PHP | 93,000,000 | 1,683,529 | ||
Series 2017, 8.00%, 7/19/2031 | PHP | 374,237,338 | 7,166,609 | ||
Series 2025-7, 8.00%, 9/30/2035 | PHP | 48,000,000 | 913,318 | ||
Series 25-8, 8.13%, 12/16/2035 | PHP | 198,800,000 | 3,806,348 |
Security Description | Principal Amount | Value | ||||
Series 4211, 8.13%, 11/24/2042 | PHP | 50,000,000 | $ 982,029 | |||
90,085,580 | ||||||
POLAND — 4.4% | ||||||
Poland Government Bond: | ||||||
Series 1026, 0.25%, 10/25/2026 | PLN | 72,193,000 | 12,844,881 | |||
Series 0425, 0.75%, 4/25/2025 | PLN | 25,200,000 | 5,004,667 | |||
Series 1030, 1.25%, 10/25/2030 | PLN | 1,590,000 | 243,271 | |||
Series 0424, 2.50%, 4/25/2024 | PLN | 14,790,000 | 3,203,980 | |||
Series 0726, 2.50%, 7/25/2026 | PLN | 52,000,000 | 10,209,724 | |||
Series 0727, 2.50%, 7/25/2027 | PLN | 22,000,000 | 4,176,050 | |||
Series 0428, 2.75%, 4/25/2028 | PLN | 71,250,000 | 13,307,039 | |||
Series 1029, 2.75%, 10/25/2029 | PLN | 12,000,000 | 2,121,493 | |||
Series 0725, 3.25%, 7/25/2025 | PLN | 44,000,000 | 9,201,756 | |||
Series 0447, 4.00%, 4/25/2047 | PLN | 400,000 | 60,188 | |||
Series 0429, 5.75%, 4/25/2029 | PLN | 450,000 | 97,217 | |||
Republic of Poland Government Bond: | ||||||
Series 0724, 0.01%, 7/25/2024 | PLN | 52,650,000 | 10,851,092 | |||
Series 0432, 1.75%, 4/25/2032 | PLN | 83,500,000 | 12,482,405 | |||
Series 0527, 3.75%, 5/25/2027 | PLN | 52,000,000 | 10,432,365 | |||
94,236,128 | ||||||
ROMANIA — 3.7% | ||||||
Romania Government Bond: | ||||||
Series 7Y, 2.50%, 10/25/2027 | RON | 35,100,000 | 6,008,106 | |||
Series 7Y, 3.25%, 4/29/2024 | RON | 7,500,000 | 1,550,490 | |||
Series 5Y, 3.25%, 6/24/2026 | RON | 30,000,000 | 5,629,396 | |||
3.50%, 11/25/2025 | RON | 12,000,000 | 2,336,183 | |||
Series 5Y, 3.65%, 7/28/2025 | RON | 22,600,000 | 4,469,356 | |||
Series 15Y, 3.65%, 9/24/2031 (c) | RON | 12,200,000 | 1,949,795 | |||
Series 4YR, 3.70%, 11/25/2024 (c) | RON | 21,800,000 | 4,447,159 | |||
Series 3Y, 4.00%, 10/25/2023 | RON | 90,000 | 18,983 |
Security Description | Principal Amount | Value | ||||
Series 8Y, 4.15%, 1/26/2028 | RON | 19,750,000 | $ 3,624,130 | |||
Series 10YR, 4.15%, 10/24/2030 | RON | 28,930,000 | 4,876,492 | |||
Series 5Y, 4.25%, 4/28/2036 | RON | 8,000,000 | 1,151,273 | |||
Series 5Y, 4.50%, 6/17/2024 (c) | RON | 48,200,000 | 10,080,720 | |||
Series 10Y, 4.75%, 2/24/2025 | RON | 17,025,000 | 3,509,551 | |||
Series 15Y, 4.75%, 10/11/2034 | RON | 46,400,000 | 7,232,957 | |||
Series 7Y, 4.85%, 4/22/2026 | RON | 28,725,000 | 5,712,471 | |||
Series 8Y, 4.85%, 7/25/2029 | RON | 10,000,000 | 1,806,106 | |||
Series 10Y, 5.00%, 2/12/2029 | RON | 35,185,000 | 6,523,651 | |||
Series 15YR, 5.80%, 7/26/2027 | RON | 25,410,000 | 5,077,780 | |||
6.70%, 2/25/2032 | RON | 13,500,000 | 2,644,264 | |||
78,648,863 | ||||||
SOUTH AFRICA — 4.2% | ||||||
South Africa Government Bond: | ||||||
Series R209, 6.25%, 3/31/2036 | ZAR | 6,241,000 | 241,094 | |||
Series R214, 6.50%, 2/28/2041 | ZAR | 23,430,000 | 860,362 | |||
Series R214, 6.50%, 2/28/2041 | ZAR | 9,900,000 | 363,533 | |||
Series R213, 7.00%, 2/28/2031 | ZAR | 23,352,000 | 1,107,007 | |||
Series R213, 7.00%, 2/28/2031 | ZAR | 161,415,000 | 7,651,915 | |||
Series 2030, 8.00%, 1/31/2030 | ZAR | 229,125,000 | 11,994,219 | |||
Series 2032, 8.25%, 3/31/2032 | ZAR | 115,877,000 | 5,800,320 | |||
Series 2037, 8.50%, 1/31/2037 | ZAR | 252,427,000 | 11,757,179 | |||
Series 2044, 8.75%, 1/31/2044 | ZAR | 228,256,000 | 10,447,592 | |||
Series 2048, 8.75%, 2/28/2048 | ZAR | 35,180,000 | 1,610,030 | |||
Series 2048, 8.75%, 2/28/2048 | ZAR | 110,705,000 | 5,066,470 | |||
Series 2035, 8.88%, 2/28/2035 | ZAR | 188,325,000 | 9,319,404 | |||
Series 2040, 9.00%, 1/31/2040 | ZAR | 213,590,000 | 10,146,623 | |||
Series R186, 10.50%, 12/21/2026 | ZAR | 220,980,000 | 13,664,006 | |||
90,029,754 |
Security Description | Principal Amount | Value | ||||
SOUTH KOREA — 12.4% | ||||||
Korea Treasury Bond: | ||||||
Series 2312, 0.88%, 12/10/2023 | KRW | 180,000,000 | $ 138,543 | |||
Series 2406, 1.13%, 6/10/2024 | KRW | 9,500,000,000 | 7,240,301 | |||
Series 2509, 1.13%, 9/10/2025 | KRW | 12,700,000,000 | 9,368,411 | |||
Series 3909, 1.13%, 9/10/2039 | KRW | 8,450,000,000 | 4,528,773 | |||
Series 2603, 1.25%, 3/10/2026 | KRW | 12,300,000,000 | 8,992,412 | |||
Series 2409, 1.38%, 9/10/2024 | KRW | 3,160,000,000 | 2,402,490 | |||
Series 2912, 1.38%, 12/10/2029 | KRW | 14,000,000,000 | 9,454,201 | |||
Series 3006, 1.38%, 6/10/2030 | KRW | 16,280,000,000 | 10,868,738 | |||
Series 2503, 1.50%, 3/10/2025 | KRW | 10,840,000,000 | 8,167,695 | |||
Series 2612, 1.50%, 12/10/2026 | KRW | 4,344,000,000 | 3,148,729 | |||
Series 3012, 1.50%, 12/10/2030 | KRW | 12,400,000,000 | 8,268,618 | |||
Series 3609, 1.50%, 9/10/2036 | KRW | 6,003,000,000 | 3,601,175 | |||
Series 4009, 1.50%, 9/10/2040 | KRW | 8,000,000,000 | 4,514,034 | |||
Series 5003, 1.50%, 3/10/2050 | KRW | 20,730,000,000 | 10,288,036 | |||
Series 7009, 1.63%, 9/10/2070 | KRW | 8,050,000,000 | 3,442,942 | |||
Series 2609, 1.75%, 9/10/2026 | KRW | 9,200,000,000 | 6,767,759 | |||
Series 2403, 1.88%, 3/10/2024 | KRW | 3,650,000,000 | 2,824,407 | |||
Series 2412, 1.88%, 12/10/2024 | KRW | 10,000,000,000 | 7,622,968 | |||
Series 2606, 1.88%, 6/10/2026 | KRW | 3,959,000,000 | 2,938,791 | |||
Series 2906, 1.88%, 6/10/2029 | KRW | 9,280,000,000 | 6,546,789 | |||
Series 4109, 1.88%, 9/10/2041 | KRW | 9,000,000,000 | 5,364,798 | |||
Series 5103, 1.88%, 3/10/2051 | KRW | 26,000,000,000 | 14,095,257 | |||
Series 3106, 2.00%, 6/10/2031 | KRW | 14,500,000,000 | 9,982,798 | |||
Series 4603, 2.00%, 3/10/2046 | KRW | 1,370,000,000 | 799,766 | |||
Series 4903, 2.00%, 3/10/2049 | KRW | 12,835,000,000 | 7,297,296 | |||
Series 2403, 2.13%, 3/10/2024 | KRW | 5,000,000,000 | 3,880,395 | |||
Series 2706, 2.13%, 6/10/2027 | KRW | 10,282,000,000 | 7,577,318 |
Security Description | Principal Amount | Value | ||||
Series 4703, 2.13%, 3/10/2047 | KRW | 5,812,000,000 | $ 3,453,593 | |||
Series 2506, 2.25%, 6/10/2025 | KRW | 30,000,000 | 22,888 | |||
Series 3709, 2.25%, 9/10/2037 | KRW | 3,570,000,000 | 2,344,656 | |||
Series 2703, 2.38%, 3/10/2027 | KRW | 11,400,000,000 | 8,521,291 | |||
Series 2712, 2.38%, 12/10/2027 | KRW | 5,600,000,000 | 4,144,207 | |||
Series 2812, 2.38%, 12/10/2028 | KRW | 1,839,000,000 | 1,347,318 | |||
Series 3112, 2.38%, 12/10/2031 | KRW | 15,500,000,000 | 10,937,308 | |||
Series 3809, 2.38%, 9/10/2038 | KRW | 8,409,000,000 | 5,572,522 | |||
Series 5203, 2.50%, 3/10/2052 | KRW | 11,000,000,000 | 6,880,660 | |||
Series 2806, 2.63%, 6/10/2028 | KRW | 2,000,000,000 | 1,491,707 | |||
Series 3509, 2.63%, 9/10/2035 | KRW | 870,000,000 | 608,050 | |||
Series 4803, 2.63%, 3/10/2048 | KRW | 6,754,000,000 | 4,417,633 | |||
Series 4412, 2.75%, 12/10/2044 | KRW | 5,000,000,000 | 3,396,297 | |||
2.88%, 6/10/2024 | KRW | 5,800,000,000 | 4,531,432 | |||
Series 4212, 3.00%, 12/10/2042 | KRW | 6,265,000,000 | 4,468,672 | |||
3.13%, 9/10/2024 | KRW | 5,000,000,000 | 3,913,300 | |||
Series 2506, 3.13%, 6/10/2025 | KRW | 10,000,000,000 | 7,788,661 | |||
3.13%, 9/10/2027 | KRW | 5,500,000,000 | 4,232,420 | |||
3.13%, 9/10/2052 | KRW | 4,500,000,000 | 3,186,377 | |||
Series 4209, 3.25%, 9/10/2042 | KRW | 5,000,000,000 | 3,688,928 | |||
Series 3206, 3.38%, 6/10/2032 | KRW | 9,500,000,000 | 7,256,403 | |||
Series 2403, 3.50%, 3/10/2024 | KRW | 2,640,000,000 | 2,081,791 | |||
Series 3112, 4.00%, 12/10/2031 | KRW | 395,000,000 | 316,860 | |||
Series 2512, 4.25%, 12/10/2025 | KRW | 600,000,000 | 480,912 | |||
Series 3212, 4.25%, 12/10/2032 | KRW | 500,000,000 | 410,699 | |||
265,618,025 | ||||||
THAILAND — 4.3% | ||||||
Thailand Government Bond: | ||||||
0.75%, 6/17/2024 | THB | 186,480,000 | 5,331,127 | |||
0.75%, 9/17/2024 | THB | 177,000,000 | 5,048,357 | |||
0.95%, 6/17/2025 | THB | 153,000,000 | 4,345,414 | |||
1.00%, 6/17/2027 | THB | 238,000,000 | 6,594,872 | |||
1.45%, 12/17/2024 | THB | 139,210,000 | 4,003,450 | |||
1.59%, 12/17/2035 | THB | 180,000,000 | 4,425,652 |
Security Description | Principal Amount | Value | ||||
1.60%, 12/17/2029 | THB | 176,400,000 | $ 4,869,732 | |||
1.60%, 6/17/2035 | THB | 36,700,000 | 908,425 | |||
1.88%, 6/17/2049 | THB | 59,000,000 | 1,163,541 | |||
2.00%, 12/17/2031 | THB | 85,000,000 | 2,361,145 | |||
2.00%, 6/17/2042 | THB | 93,000,000 | 2,162,435 | |||
2.13%, 12/17/2026 | THB | 74,380,000 | 2,176,102 | |||
2.50%, 6/17/2071 | THB | 59,000,000 | 1,053,370 | |||
2.75%, 6/17/2052 | THB | 30,000,000 | 705,697 | |||
2.88%, 12/17/2028 | THB | 77,510,000 | 2,336,423 | |||
2.88%, 6/17/2046 | THB | 123,955,000 | 3,161,286 | |||
3.30%, 6/17/2038 | THB | 182,160,000 | 5,333,768 | |||
3.35%, 6/17/2033 | THB | 70,000,000 | 2,143,935 | |||
3.39%, 6/17/2037 | THB | 40,000,000 | 1,202,720 | |||
3.40%, 6/17/2036 | THB | 131,940,000 | 3,946,281 | |||
3.58%, 12/17/2027 | THB | 4,650,000 | 144,359 | |||
3.60%, 6/17/2067 | THB | 62,200,000 | 1,549,187 | |||
3.65%, 6/20/2031 | THB | 86,575,000 | 2,722,787 | |||
3.78%, 6/25/2032 | THB | 166,120,000 | 5,255,062 | |||
3.80%, 6/14/2041 | THB | 12,750,000 | 393,878 | |||
3.85%, 12/12/2025 | THB | 18,882,000 | 577,990 | |||
3.85%, 12/12/2025 | THB | 120,000,000 | 3,673,279 | |||
4.00%, 6/17/2066 | THB | 124,080,000 | 3,426,501 | |||
4.68%, 6/29/2044 | THB | 78,400,000 | 2,694,862 | |||
4.75%, 12/20/2024 | THB | 14,000,000 | 428,283 | |||
4.85%, 6/17/2061 | THB | 53,195,000 | 1,735,566 | |||
4.88%, 6/22/2029 | THB | 37,564,000 | 1,260,286 | |||
4.88%, 6/22/2029 | THB | 166,340,000 | 5,580,767 | |||
5.67%, 3/13/2028 | THB | 10,000,000 | 341,017 | |||
93,057,556 | ||||||
TURKEY — 3.3% | ||||||
Turkey Government Bond: | ||||||
9.00%, 7/24/2024 | TRY | 29,650,000 | 1,568,071 | |||
10.40%, 3/20/2024 | TRY | 1,760,000 | 94,819 | |||
10.50%, 8/11/2027 | TRY | 40,380,000 | 2,295,164 | |||
10.60%, 2/11/2026 | TRY | 76,104,000 | 4,217,949 | |||
11.00%, 2/24/2027 | TRY | 13,298,000 | 784,972 | |||
11.70%, 11/13/2030 | TRY | 148,800,000 | 9,506,921 | |||
12.40%, 3/8/2028 | TRY | 8,050,000 | 498,838 | |||
12.60%, 10/1/2025 | TRY | 83,000,000 | 4,899,436 | |||
16.90%, 9/2/2026 | TRY | 290,000,000 | 19,938,032 | |||
20.20%, 6/9/2027 | TRY | 130,500,000 | 9,752,905 | |||
20.90%, 4/17/2024 | TRY | 74,000,000 | 4,513,449 | |||
21.50%, 4/28/2032 | TRY | 138,000,000 | 13,195,865 | |||
71,266,421 | ||||||
TOTAL FOREIGN GOVERNMENT OBLIGATIONS (Cost $2,292,329,032) | 2,105,133,634 |
Security Description | Shares | Value | ||||
SHORT-TERM INVESTMENTS — 2.0% | ||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 4.16% (d)(e) | 6,612,110 | $ 6,612,110 | ||||
State Street Navigator Securities Lending Portfolio II (f)(g) | 36,893,506 | 36,893,506 | ||||
TOTAL SHORT-TERM INVESTMENTS (Cost $43,505,616) | 43,505,616 | |||||
TOTAL INVESTMENTS — 99.9% (Cost $2,336,896,618) | 2,149,541,238 | |||||
OTHER ASSETS IN EXCESS OF LIABILITIES — 0.1% | 1,943,167 | |||||
NET ASSETS — 100.0% | $ 2,151,484,405 |
(a) | Amount is less than 0.05% of net assets. |
(b) | Securities purchased pursuant to Rule 144A of the Securities Act of 1933, as amended. These securities, which represent 2.0% of net assets as of December 31, 2022, are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
(c) | All or a portion of the shares of the security are on loan at December 31, 2022. |
(d) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2022 are shown in the Affiliate Table below. |
(e) | The rate shown is the annualized seven-day yield at December 31, 2022. |
(f) | The Fund invested in an affiliated entity. Amounts related to these transactions during the period ended December 31, 2022 are shown in the Affiliate Table below. |
(g) | Investment of cash collateral for securities loaned. |
GDIF | Global Debt Issuance Facility |
BRL | Brazilian Real |
CLP | Chilean Peso |
CNY | China Yuan Renminbi |
COP | Colombian Peso |
CZK | Czech Koruna |
HUF | Hungary Forint |
IDR | Indonesia Rupiah |
ILS | Israeli New Shekel |
KRW | South Korean Won |
MXN | Mexican Peso |
MYR | Malaysian Ringgit |
PEN | Peru Nuevo Sol |
PHP | Philippines Peso |
PLN | Polish Zloty |
RON | Romania New Leu |
THB | Thai Baht |
TRY | Turkish New Lira |
ZAR | South African Rand |
Counterparty | Amount Sold | Amount Bought | Settlement Date | Net Unrealized Appreciation/ (Depreciation) | ||||
Barclays Capital PLC | USD 7,579,586 | CNY 54,000,000 | 01/05/2023 | $ 195,648 | ||||
Barclays Capital PLC | CNY 64,000,000 | USD 8,945,544 | 01/05/2023 | (269,548) | ||||
Barclays Capital PLC | BRL 5,300,000 | USD 1,002,459 | 01/05/2023 | (1,184) | ||||
Barclays Capital PLC | USD 2,270,922 | ILS 8,000,000 | 02/07/2023 | (321) | ||||
Barclays Capital PLC | ILS 8,000,000 | USD 2,264,342 | 02/07/2023 | (6,259) | ||||
Barclays Capital PLC | USD 1,758,429 | ZAR 30,000,000 | 02/07/2023 | (379) | ||||
Goldman Sachs Bank USA | USD 1,392,207 | CNY 10,000,000 | 01/05/2023 | 47,651 | ||||
Standard Chartered Bank | KRW 11,500,000,000 | USD 8,723,356 | 01/05/2023 | (378,037) | ||||
UBS AG | USD 979,731 | BRL 5,300,000 | 01/05/2023 | 23,912 | ||||
UBS AG | USD 10,177,925 | KRW 13,500,000,000 | 01/05/2023 | 506,319 | ||||
UBS AG | USD 2,015,660 | KRW 2,600,000,000 | 01/05/2023 | 42,046 | ||||
UBS AG | KRW 2,000,000,000 | USD 1,538,935 | 01/05/2023 | (43,916) | ||||
UBS AG | KRW 2,600,000,000 | USD 2,049,665 | 01/05/2023 | (8,041) | ||||
UBS AG | USD 4,737,092 | KRW 6,000,000,000 | 02/07/2023 | 39,744 | ||||
UBS AG | KRW 6,000,000,000 | USD 4,733,167 | 02/07/2023 | (43,667) | ||||
Westpac Banking Corp. | ZAR 30,000,000 | USD 1,724,588 | 02/07/2023 | (33,463) | ||||
Total | $ 70,505 | |||||||
BRL | Brazilian Real |
CNY | China Yuan Renminbi |
ILS | Israeli New Shekel |
KRW | South Korean Won |
ZAR | South African Rand |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Corporate Bonds & Notes | $ — | $ 901,988 | $— | $ 901,988 | ||||
Foreign Government Obligations | — | 2,105,133,634 | — | 2,105,133,634 | ||||
Short-Term Investments | 43,505,616 | — | — | 43,505,616 | ||||
TOTAL INVESTMENTS | $43,505,616 | $2,106,035,622 | $— | $2,149,541,238 | ||||
OTHER FINANCIAL INSTRUMENTS: | ||||||||
Foreign Currency Exchange Contracts(a) | — | 855,320 | — | 855,320 | ||||
TOTAL OTHER FINANCIAL INSTRUMENTS: | $ — | $ 855,320 | $— | $ 855,320 | ||||
TOTAL INVESTMENTS AND OTHER FINANCIAL INSTRUMENTS | $43,505,616 | $2,106,890,942 | $— | $2,150,396,558 |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
LIABILITIES: | ||||||||
OTHER FINANCIAL INSTRUMENTS: | ||||||||
Foreign Currency Exchange Contracts(a) | $ — | $ (784,815) | $— | $ (784,815) | ||||
TOTAL OTHER FINANCIAL INSTRUMENTS: | $ — | $ (784,815) | $— | $ (784,815) |
(a) | Forward Foreign Currency Exchange Contracts are valued at unrealized appreciation (depreciation). |
Number of Shares Held at 12/31/21 | Value at 12/31/21 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 12/31/22 | Value at 12/31/22 | Dividend Income | |||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 312,671 | $ 312,671 | $360,022,349 | $353,722,910 | $— | $— | 6,612,110 | $ 6,612,110 | $ 99,376 | ||||||||
State Street Navigator Securities Lending Portfolio II | 7,188,000 | 7,188,000 | 220,866,769 | 191,161,263 | — | — | 36,893,506 | 36,893,506 | 113,699 | ||||||||
Total | $7,500,671 | $ 580,889,118 | $544,884,173 | $— | $— | $43,505,616 | $213,075 |
Security Description | Principal Amount | Value | ||||
CORPORATE BONDS & NOTES — 98.3% | ||||||
AUSTRALIA — 0.6% | ||||||
Australia & New Zealand Banking Group, Ltd.: | ||||||
0.75%, 9/29/2026 | EUR | 100,000 | $ 96,331 | |||
Series MTN, 4.05%, 5/12/2025 | AUD | 100,000 | 66,822 | |||
BHP Billiton Finance, Ltd. Series 12, 4.30%, 9/25/2042 | GBP | 100,000 | 104,696 | |||
National Australia Bank Ltd. 2.13%, 5/24/2028 | EUR | 100,000 | 99,152 | |||
National Australia Bank, Ltd.: | ||||||
Series GMTN, 1.25%, 5/18/2026 | EUR | 200,000 | 200,835 | |||
Series GMTN, 1.38%, 8/30/2028 | EUR | 100,000 | 94,831 | |||
Series MTN, 2.90%, 2/25/2027 | AUD | 100,000 | 62,529 | |||
Series MTN, 3.90%, 5/30/2025 | AUD | 220,000 | 146,484 | |||
871,680 | ||||||
AUSTRIA — 0.1% | ||||||
OMV AG Series EMTN, 1.00%, 12/14/2026 | EUR | 200,000 | 195,221 | |||
BELGIUM — 1.8% | ||||||
Anheuser-Busch InBev SA: | ||||||
Series EMTN, 1.13%, 7/1/2027 | EUR | 100,000 | 96,583 | |||
Series EMTN, 1.15%, 1/22/2027 | EUR | 200,000 | 194,685 | |||
Series EMTN, 1.50%, 4/18/2030 | EUR | 200,000 | 184,531 | |||
Series EMTN, 1.65%, 3/28/2031 (a) | EUR | 200,000 | 181,863 | |||
Series EMTN, 2.00%, 3/17/2028 | EUR | 380,000 | 375,579 | |||
Series EMTN, 2.13%, 12/2/2027 | EUR | 300,000 | 299,703 | |||
Series EMTN, 2.75%, 3/17/2036 | EUR | 400,000 | 369,205 | |||
Series EMTN, 2.88%, 4/2/2032 | EUR | 100,000 | 98,820 | |||
Series EMTN, 2.88%, 4/2/2032 | EUR | 200,000 | 197,640 | |||
Series EMTN, 3.70%, 4/2/2040 | EUR | 350,000 | 344,226 | |||
KBC Group NV Series EMTN, 1.13%, 1/25/2024 | EUR | 200,000 | 209,212 | |||
2,552,047 |
Security Description | Principal Amount | Value | ||||
CANADA — 1.2% | ||||||
Bank of Nova Scotia Series EMTN, 0.50%, 4/30/2024 | EUR | 200,000 | $ 205,290 | |||
Canadian Imperial Bank of Commerce Series EMTN, 0.38%, 5/3/2024 | EUR | 100,000 | 102,497 | |||
Royal Bank of Canada: | ||||||
0.13%, 7/23/2024 | EUR | 100,000 | 101,719 | |||
2.13%, 4/26/2029 | EUR | 200,000 | 190,550 | |||
Toronto-Dominion Bank: | ||||||
Series EMTN, 0.38%, 4/25/2024 | EUR | 200,000 | 205,425 | |||
Series EMTN, 0.50%, 1/18/2027 | EUR | 100,000 | 92,800 | |||
Series EMTN, 1.95%, 4/8/2030 | EUR | 500,000 | 460,299 | |||
2.88%, 4/5/2027 | GBP | 100,000 | 109,132 | |||
Series EMTN, 3.13%, 8/3/2032 | EUR | 200,000 | 194,841 | |||
1,662,553 | ||||||
CHINA — 0.1% | ||||||
Prosus NV Series REGS, 1.29%, 7/13/2029 | EUR | 100,000 | 80,733 | |||
DENMARK — 0.5% | ||||||
Carlsberg Breweries A/S Series EMTN, 2.50%, 5/28/2024 | EUR | 200,000 | 210,590 | |||
Danske Bank A/S: | ||||||
Series EMTN, 0.63%, 5/26/2025 | EUR | 200,000 | 198,283 | |||
1 year GBP Swap + 1.15%, 0.50%, 8/27/2025 (b) | EUR | 100,000 | 100,007 | |||
Series EMTN, UK 10 year Gilt + 1.65%, 2.25%, 1/14/2028 (b) | GBP | 200,000 | 205,346 | |||
714,226 | ||||||
FINLAND — 1.0% | ||||||
Nordea Bank Abp: | ||||||
Series EMTN, 0.50%, 5/14/2027 | EUR | 300,000 | 281,722 | |||
Series EMTN, 0.50%, 11/2/2028 | EUR | 200,000 | 175,578 | |||
Series EMTN, 1.13%, 2/12/2025 | EUR | 100,000 | 102,217 | |||
Series EMTN, 1.13%, 2/16/2027 | EUR | 100,000 | 96,597 | |||
Series EMTN, 1.13%, 9/27/2027 | EUR | 100,000 | 96,212 | |||
Series EMTN, 2.50%, 5/23/2029 | EUR | 100,000 | 97,938 |
Security Description | Principal Amount | Value | ||||
OP Corporate Bank PLC: | ||||||
Series EMTN, 0.10%, 11/16/2027 | EUR | 200,000 | $ 179,192 | |||
Series EMTN, 0.13%, 7/1/2024 | EUR | 200,000 | 203,562 | |||
Series EMTN, 0.50%, 8/12/2025 | EUR | 200,000 | 197,152 | |||
1,430,170 | ||||||
FRANCE — 19.1% | ||||||
Air Liquide Finance SA Series EMTN, 1.25%, 6/13/2028 | EUR | 100,000 | 95,568 | |||
Airbus SE: | ||||||
Series EMTN, 1.63%, 6/9/2030 | EUR | 200,000 | 186,301 | |||
Series EMTN, 2.38%, 4/7/2032 | EUR | 100,000 | 95,780 | |||
Series EMTN, 2.38%, 4/7/2032 | EUR | 200,000 | 191,561 | |||
Autoroutes du Sud de la France SA: | ||||||
Series EMTN, 1.25%, 1/18/2027 | EUR | 100,000 | 97,859 | |||
Series EMTN, 1.38%, 1/22/2030 (a) | EUR | 200,000 | 185,910 | |||
Series EMTN, 1.38%, 2/21/2031 | EUR | 100,000 | 90,486 | |||
Banque Federative du Credit Mutuel SA: | ||||||
Series EMTN, 0.01%, 3/7/2025 | EUR | 400,000 | 394,793 | |||
Series EMTN, 0.01%, 5/11/2026 | EUR | 400,000 | 377,029 | |||
Series EMTN, 0.13%, 2/5/2024 | EUR | 300,000 | 309,648 | |||
0.25%, 7/19/2028 | EUR | 200,000 | 171,870 | |||
Series EMTN, 0.63%, 2/21/2031 | EUR | 100,000 | 80,456 | |||
Series EMTN, 0.75%, 7/17/2025 | EUR | 300,000 | 298,378 | |||
Series EMTN, 0.75%, 6/8/2026 | EUR | 100,000 | 96,466 | |||
0.75%, 1/17/2030 | EUR | 200,000 | 168,056 | |||
Series EMTN, 1.13%, 1/19/2032 | EUR | 200,000 | 164,811 | |||
Series EMTN, 1.25%, 1/14/2025 | EUR | 100,000 | 101,790 | |||
Series EMTN, 1.25%, 5/26/2027 | EUR | 300,000 | 287,958 | |||
1.25%, 6/3/2030 | EUR | 300,000 | 259,967 | |||
Series EMTN, 1.38%, 7/16/2028 | EUR | 300,000 | 281,255 | |||
Series EMTN, 1.63%, 1/19/2026 | EUR | 200,000 | 200,244 | |||
Series EMTN, 1.75%, 3/15/2029 | EUR | 100,000 | 92,227 |
Security Description | Principal Amount | Value | |||
Series EMTN, 2.63%, 3/18/2024 | EUR | 200,000 | $ 211,934 | ||
Series EMTN, 2.63%, 11/6/2029 | EUR | 300,000 | 288,622 | ||
BNP Paribas SA: | |||||
Series EMTN, 0.13%, 9/4/2026 | EUR | 100,000 | 93,180 | ||
Series EMTN, 0.63%, 12/3/2032 | EUR | 400,000 | 299,773 | ||
Series EMTN, 1.13%, 6/11/2026 | EUR | 300,000 | 292,752 | ||
Series EMTN, 1.25%, 7/13/2031 | GBP | 200,000 | 170,167 | ||
Series EMTN, 1.38%, 5/28/2029 | EUR | 300,000 | 266,197 | ||
Series EMTN, 1.50%, 11/17/2025 | EUR | 200,000 | 201,330 | ||
Series EMTN, 1.50%, 5/23/2028 | EUR | 200,000 | 183,923 | ||
Series EMTN, 1.50%, 5/25/2028 | EUR | 300,000 | 287,702 | ||
Series EMTN, 1.63%, 2/23/2026 | EUR | 100,000 | 101,454 | ||
1.88%, 12/14/2027 | GBP | 100,000 | 100,745 | ||
Series EMTN, 2.10%, 4/7/2032 | EUR | 100,000 | 88,200 | ||
Series EMTN, 2.38%, 5/20/2024 | EUR | 100,000 | 105,488 | ||
Series EMTN, 3.38%, 1/23/2026 | GBP | 100,000 | 112,922 | ||
Series EMTN, 3 Month EURIBOR + 0.70%, 0.25%, 4/13/2027 (b) | EUR | 100,000 | 93,144 | ||
Series EMTN, 3 Month EURIBOR + 0.73%, 0.50%, 2/19/2028 (b) | EUR | 300,000 | 272,133 | ||
Series EMTN, 3 Month EURIBOR + 0.75%, 0.50%, 7/15/2025 (b) | EUR | 300,000 | 303,904 | ||
Series EMTN, 3 Month EURIBOR + 0.83%, 0.50%, 1/19/2030 (b) | EUR | 100,000 | 84,060 | ||
Series EMTN, 3 Month EURIBOR + 0.93%, 0.88%, 7/11/2030 (b) | EUR | 100,000 | 84,837 | ||
3 Month EURIBOR + 0.95%, 0.50%, 9/1/2028 (b) | EUR | 200,000 | 177,493 | ||
Series EMTN, 3 Month EURIBOR + 1.35%, 1.13%, 4/17/2029 (b) | EUR | 300,000 | 268,802 | ||
Series EMTN, 3 Month EURIBOR + 1.80%, 2.13%, 1/23/2027 (b) | EUR | 200,000 | 199,236 | ||
Bouygues SA: | |||||
1.13%, 7/24/2028 | EUR | 200,000 | 186,187 | ||
2.25%, 6/29/2029 | EUR | 200,000 | 192,258 | ||
3.25%, 6/30/2037 | EUR | 300,000 | 271,729 |
Security Description | Principal Amount | Value | |||
BPCE SA: | |||||
0.25%, 1/15/2026 | EUR | 300,000 | $ 289,192 | ||
0.25%, 1/14/2031 | EUR | 200,000 | 159,255 | ||
0.63%, 9/26/2024 | EUR | 200,000 | 203,047 | ||
0.63%, 4/28/2025 (a) | EUR | 300,000 | 298,912 | ||
Series EMTN, 0.75%, 3/3/2031 | EUR | 200,000 | 161,635 | ||
Series EMTN, 0.88%, 1/31/2024 | EUR | 300,000 | 311,699 | ||
1.00%, 7/15/2024 | EUR | 100,000 | 103,090 | ||
Series EMTN, 1.00%, 4/1/2025 | EUR | 200,000 | 200,921 | ||
Series EMTN, 1.00%, 10/5/2028 | EUR | 300,000 | 275,521 | ||
Series EMTN, 1.00%, 1/14/2032 | EUR | 200,000 | 161,449 | ||
Series DMTN, 3 Month EURIBOR + 1.00%, 0.50%, 9/15/2027 (a) | EUR | 200,000 | 184,850 | ||
Capgemini SE: | |||||
2.00%, 4/15/2029 | EUR | 100,000 | 96,695 | ||
2.38%, 4/15/2032 | EUR | 200,000 | 188,717 | ||
Carrefour SA Series EMTN, 2.63%, 12/15/2027 | EUR | 100,000 | 100,944 | ||
Cie de Saint-Gobain Series EMTN, 1.88%, 3/15/2031 | EUR | 100,000 | 91,222 | ||
Cie Generale des Etablissements Michelin SCA 1.75%, 9/3/2030 | EUR | 100,000 | 95,819 | ||
Credit Agricole SA: | |||||
Series EMTN, 0.13%, 12/9/2027 | EUR | 200,000 | 176,819 | ||
Series EMTN, 0.38%, 4/20/2028 | EUR | 200,000 | 175,094 | ||
Series EMTN, 0.88%, 1/14/2032 | EUR | 200,000 | 160,194 | ||
Series EMTN, 1.00%, 9/18/2025 | EUR | 300,000 | 301,033 | ||
Series EMTN, 1.00%, 7/3/2029 | EUR | 300,000 | 268,308 | ||
1.13%, 2/24/2029 | EUR | 200,000 | 182,325 | ||
Series EMTN, 1.13%, 7/12/2032 | EUR | 200,000 | 162,847 | ||
Series EMTN, 1.25%, 4/14/2026 | EUR | 300,000 | 296,802 | ||
Series EMTN, 1.38%, 3/13/2025 | EUR | 200,000 | 203,916 | ||
Series EMTN, 1.38%, 5/3/2027 | EUR | 200,000 | 193,388 | ||
Series EMTN, 1.75%, 3/5/2029 | EUR | 200,000 | 185,442 | ||
Series EMTN, 1.88%, 12/20/2026 | EUR | 200,000 | 196,755 | ||
Series EMTN, 2.38%, 5/20/2024 | EUR | 400,000 | 421,628 | ||
2.50%, 8/29/2029 | EUR | 400,000 | 390,792 |
Security Description | Principal Amount | Value | |||
Series EMTN, 3.13%, 2/5/2026 | EUR | 100,000 | $ 106,175 | ||
Series EMTN, 3 Month EURIBOR + 1.25%, 1.00%, 4/22/2026 (b) | EUR | 200,000 | 198,932 | ||
Credit Mutuel Arkea SA 3.38%, 9/19/2027 | EUR | 100,000 | 103,783 | ||
Danone SA: | |||||
Series EMTN, 0.71%, 11/3/2024 | EUR | 300,000 | 306,982 | ||
Series EMTN, 1.21%, 11/3/2028 | EUR | 200,000 | 188,618 | ||
Dassault Systemes SE 0.38%, 9/16/2029 | EUR | 200,000 | 174,833 | ||
Engie SA: | |||||
Series EMTN, 2.38%, 5/19/2026 | EUR | 100,000 | 102,467 | ||
Series EMTN, 5.00%, 10/1/2060 | GBP | 150,000 | 165,315 | ||
EssilorLuxottica SA: | |||||
Series EMTN, 0.13%, 5/27/2025 | EUR | 300,000 | 299,299 | ||
Series EMTN, 0.38%, 1/5/2026 | EUR | 100,000 | 98,414 | ||
Series EMTN, 0.38%, 11/27/2027 | EUR | 100,000 | 93,405 | ||
0.50%, 6/5/2028 | EUR | 100,000 | 92,612 | ||
0.75%, 11/27/2031 | EUR | 200,000 | 169,941 | ||
Holding d'Infrastructures de Transport SASU Series EMTN, 1.48%, 1/18/2031 | EUR | 200,000 | 166,166 | ||
HSBC Continental Europe SA Series EMTN, 0.25%, 5/17/2024 | EUR | 300,000 | 307,733 | ||
L'Oreal SA: | |||||
0.38%, 3/29/2024 | EUR | 100,000 | 103,686 | ||
0.88%, 6/29/2026 | EUR | 200,000 | 198,412 | ||
LVMH Moet Hennessy Louis Vuitton SE: | |||||
Series EMTN, 0.01%, 2/11/2024 | EUR | 200,000 | 207,394 | ||
0.13%, 2/11/2028 | EUR | 200,000 | 183,676 | ||
0.38%, 2/11/2031 | EUR | 300,000 | 255,656 | ||
Series EMTN, 0.75%, 5/26/2024 | EUR | 350,000 | 363,815 | ||
0.75%, 4/7/2025 | EUR | 200,000 | 203,398 | ||
Series EMTN, 1.13%, 2/11/2027 | GBP | 100,000 | 104,892 | ||
Orange SA: | |||||
Series EMTN, 0.50%, 9/4/2032 | EUR | 200,000 | 155,488 | ||
Series EMTN, 1.13%, 7/15/2024 | EUR | 200,000 | 207,204 | ||
Series EMTN, 1.38%, 3/20/2028 | EUR | 100,000 | 95,697 |
Security Description | Principal Amount | Value | |||
Series EMTN, 1.38%, 1/16/2030 | EUR | 100,000 | $ 91,450 | ||
Series EMTN, 2.00%, 1/15/2029 | EUR | 200,000 | 195,444 | ||
Series EMTN, 3.25%, 1/15/2032 | GBP | 100,000 | 103,915 | ||
Series EMTN, 8.13%, 1/28/2033 | EUR | 350,000 | 488,833 | ||
Pernod Ricard SA 1.13%, 4/7/2025 | EUR | 300,000 | 304,207 | ||
Sanofi: | |||||
Series EMTN, 0.50%, 1/13/2027 | EUR | 100,000 | 95,881 | ||
1.00%, 4/1/2025 | EUR | 300,000 | 306,209 | ||
Series 8FXD, 1.00%, 3/21/2026 | EUR | 100,000 | 99,678 | ||
Series 12FX, 1.38%, 3/21/2030 | EUR | 200,000 | 186,221 | ||
Series EMTN, 1.50%, 4/1/2030 | EUR | 200,000 | 189,961 | ||
Series EMTN, 1.75%, 9/10/2026 | EUR | 200,000 | 203,566 | ||
Series 20FX, 1.88%, 3/21/2038 (a) | EUR | 200,000 | 174,598 | ||
Societe Generale SA: | |||||
0.13%, 2/24/2026 | EUR | 300,000 | 285,721 | ||
Series EMTN, 0.13%, 2/18/2028 | EUR | 100,000 | 88,292 | ||
Series EMTN, 0.25%, 7/8/2027 | EUR | 400,000 | 363,885 | ||
0.75%, 1/25/2027 | EUR | 100,000 | 92,357 | ||
Series EMTN, 1.13%, 1/23/2025 | EUR | 300,000 | 303,120 | ||
Series EMTN, 1.25%, 2/15/2024 | EUR | 200,000 | 208,248 | ||
1.25%, 6/12/2030 | EUR | 400,000 | 338,313 | ||
Series EMTN, 1.75%, 3/22/2029 | EUR | 300,000 | 272,834 | ||
Series EMTN, 2.13%, 9/27/2028 | EUR | 100,000 | 94,049 | ||
2.63%, 5/30/2029 | EUR | 100,000 | 99,152 | ||
Series EMTN, 4.25%, 11/16/2032 | EUR | 100,000 | 106,478 | ||
Series EMTN, 3 Month EURIBOR + 0.60%, 1.50%, 5/30/2025 (b) | EUR | 200,000 | 206,805 | ||
3 Month EURIBOR + 0.80%, 0.63%, 12/2/2027 (b) | EUR | 100,000 | 91,756 | ||
3 Month EURIBOR + 0.95%, 0.50%, 6/12/2029 (b) | EUR | 100,000 | 85,618 | ||
Suez SACA Series EMTN, 2.88%, 5/24/2034 | EUR | 200,000 | 179,814 | ||
Total Capital International SA Series EMTN, 1.38%, 10/4/2029 | EUR | 100,000 | 92,703 |
Security Description | Principal Amount | Value | ||||
TotalEnergies Capital Canada, Ltd. Series EMTN, 2.13%, 9/18/2029 | EUR | 300,000 | $ 292,118 | |||
TotalEnergies Capital International SA: | ||||||
Series EMTN, 0.75%, 7/12/2028 | EUR | 100,000 | 92,153 | |||
Series EMTN, 1.49%, 4/8/2027 | EUR | 400,000 | 394,417 | |||
Series EMTN, 1.62%, 5/18/2040 | EUR | 200,000 | 149,352 | |||
Series EMTN, 1.99%, 4/8/2032 | EUR | 100,000 | 93,161 | |||
Unibail-Rodamco-Westfield SE: | ||||||
Series EMTN, 0.63%, 5/4/2027 | EUR | 200,000 | 181,351 | |||
Series EMTN, 1.38%, 12/4/2031 | EUR | 100,000 | 79,927 | |||
Vinci SA Series EMTN, 1.75%, 9/26/2030 | EUR | 100,000 | 94,760 | |||
26,785,236 | ||||||
GERMANY — 11.5% | ||||||
Allianz Finance II B.V. Series 62, 4.50%, 3/13/2043 | GBP | 100,000 | 113,444 | |||
Amprion GmbH 3.97%, 9/22/2032 | EUR | 200,000 | 210,330 | |||
Aroundtown SA: | ||||||
Series EMTN, 0.01%, 7/16/2026 | EUR | 100,000 | 75,778 | |||
Series EMTN, 0.01%, 7/16/2026 | EUR | 100,000 | 75,778 | |||
Series EMTN, 0.38%, 4/15/2027 | EUR | 100,000 | 70,326 | |||
BASF SE: | ||||||
Series EMTN, 0.25%, 6/5/2027 | EUR | 300,000 | 281,938 | |||
0.88%, 11/15/2027 | EUR | 100,000 | 96,837 | |||
1.50%, 3/17/2031 | EUR | 100,000 | 90,213 | |||
Bayer AG: | ||||||
0.05%, 1/12/2025 | EUR | 200,000 | 198,807 | |||
0.38%, 7/6/2024 | EUR | 200,000 | 204,011 | |||
0.75%, 1/6/2027 | EUR | 200,000 | 188,651 | |||
1.13%, 1/6/2030 | EUR | 100,000 | 87,942 | |||
1.38%, 7/6/2032 | EUR | 200,000 | 167,659 | |||
Bayer Capital Corp B.V. 2.13%, 12/15/2029 | EUR | 300,000 | 284,368 | |||
Bayer Capital Corp. B.V. 1.50%, 6/26/2026 | EUR | 400,000 | 396,030 | |||
BMW Finance NV: | ||||||
0.50%, 2/22/2025 | EUR | 300,000 | 301,999 | |||
Series EMTN, 1.00%, 11/14/2024 | EUR | 100,000 | 102,644 |
Security Description | Principal Amount | Value | |||
Series EMTN, 1.50%, 2/6/2029 | EUR | 200,000 | $ 189,121 | ||
Commerzbank AG: | |||||
Series EMTN, 0.63%, 8/28/2024 | EUR | 200,000 | 203,604 | ||
Series EMTN, 1.00%, 3/4/2026 | EUR | 200,000 | 195,871 | ||
Deutsche Bank AG: | |||||
Series EMTN, 1.63%, 1/20/2027 | EUR | 400,000 | 376,195 | ||
Series EMTN, 2.63%, 12/16/2024 | GBP | 100,000 | 111,691 | ||
Series EMTN, 3 Month EURIBOR + 1.20%, 0.75%, 2/17/2027 (b) | EUR | 200,000 | 186,071 | ||
3 Month EURIBOR + 1.38%, 1.88%, 2/23/2028 (b) | EUR | 300,000 | 279,937 | ||
Series EMTN, 3 Month EURIBOR + 1.60%, 1.00%, 11/19/2025 (b) | EUR | 200,000 | 199,193 | ||
Series EMTN, 3 Month EURIBOR + 2.05%, 1.75%, 11/19/2030 (b) | EUR | 400,000 | 335,079 | ||
Deutsche Telekom AG: | |||||
Series EMTN, 0.50%, 7/5/2027 | EUR | 100,000 | 94,658 | ||
Series EMTN, 1.75%, 3/25/2031 | EUR | 100,000 | 92,536 | ||
Deutsche Telekom International Finance B.V.: | |||||
Series EMTN, 0.88%, 1/30/2024 | EUR | 100,000 | 104,364 | ||
Series EMTN, 1.38%, 12/1/2025 | EUR | 300,000 | 304,230 | ||
Series EMTN, 1.50%, 4/3/2028 | EUR | 250,000 | 241,321 | ||
Series EMTN, 2.00%, 12/1/2029 | EUR | 200,000 | 192,672 | ||
E.ON International Finance B.V.: | |||||
Series EMTN, 1.50%, 7/31/2029 | EUR | 100,000 | 92,221 | ||
Series EMTN, 5.88%, 10/30/2037 | GBP | 100,000 | 120,301 | ||
Series EMTN, 6.13%, 7/6/2039 | GBP | 100,000 | 123,086 | ||
Series EMTN, 6.25%, 6/3/2030 | GBP | 150,000 | 187,523 | ||
Series EMTN, 6.38%, 6/7/2032 | GBP | 190,000 | 241,645 | ||
E.ON SE Series EMTN, 0.38%, 9/29/2027 | EUR | 200,000 | 186,555 | ||
Grand City Properties SA Series EMTN, 0.13%, 1/11/2028 | EUR | 100,000 | 71,394 |
Security Description | Principal Amount | Value | |||
HeidelbergCement AG Series EMTN, 1.50%, 2/7/2025 | EUR | 200,000 | $ 204,630 | ||
HeidelbergCement Finance Luxembourg SA Series EMTN, 1.63%, 4/7/2026 | EUR | 200,000 | 200,316 | ||
Mercedes-Benz Group AG: | |||||
Series EMTN, 0.75%, 9/10/2030 | EUR | 200,000 | 174,442 | ||
Series EMTN, 0.75%, 3/11/2033 | EUR | 100,000 | 79,854 | ||
Series EMTN, 1.00%, 11/15/2027 | EUR | 100,000 | 96,216 | ||
Series EMTN, 1.13%, 11/6/2031 | EUR | 125,000 | 107,847 | ||
Series EMTN, 1.38%, 5/11/2028 | EUR | 300,000 | 288,615 | ||
Series EMTN, 1.40%, 1/12/2024 | EUR | 50,000 | 52,731 | ||
Series EMTN, 1.50%, 7/3/2029 | EUR | 225,000 | 212,762 | ||
Series EMTN, 2.13%, 7/3/2037 | EUR | 150,000 | 131,349 | ||
Mercedes-Benz International Finance B.V.: | |||||
Series EMTN, 0.63%, 5/6/2027 | EUR | 300,000 | 285,492 | ||
Series EMTN, 0.88%, 4/9/2024 | EUR | 300,000 | 310,623 | ||
Series EMTN, 1.00%, 11/11/2025 | EUR | 100,000 | 100,322 | ||
Series EMTN, 1.50%, 3/9/2026 | EUR | 200,000 | 201,913 | ||
Series EMTN, 2.00%, 8/22/2026 | EUR | 100,000 | 102,076 | ||
Series EMTN, 2.63%, 4/7/2025 | EUR | 200,000 | 210,696 | ||
Mercedes-Benz International Finance BV Series EMTN, 0.85%, 2/28/2025 | EUR | 200,000 | 203,151 | ||
RWE AG: | |||||
2.13%, 5/24/2026 | EUR | 300,000 | 303,388 | ||
2.13%, 5/24/2026 | EUR | 100,000 | 101,129 | ||
2.75%, 5/24/2030 | EUR | 100,000 | 97,184 | ||
SAP SE: | |||||
1.25%, 3/10/2028 | EUR | 300,000 | 290,513 | ||
1.63%, 3/10/2031 | EUR | 100,000 | 93,039 | ||
Series EMTN, 1.75%, 2/22/2027 | EUR | 150,000 | 151,061 | ||
Siemens Financieringsmaatschappij NV: | |||||
Series EMTN, 0.01%, 2/20/2026 | EUR | 200,000 | 192,519 |
Security Description | Principal Amount | Value | |||
0.13%, 9/5/2029 | EUR | 200,000 | $ 175,662 | ||
0.25%, 2/20/2029 | EUR | 300,000 | 266,776 | ||
Series EMTN, 0.38%, 6/5/2026 | EUR | 200,000 | 193,041 | ||
Series EMTN, 0.50%, 9/5/2034 | EUR | 100,000 | 77,088 | ||
Series EMTN, 1.00%, 2/20/2025 | GBP | 100,000 | 111,708 | ||
Series EMTN, 1.38%, 9/6/2030 | EUR | 300,000 | 278,670 | ||
Series EMTN, 2.88%, 3/10/2028 | EUR | 100,000 | 104,646 | ||
Traton Finance Luxembourg SA: | |||||
Series EMTN, 0.13%, 3/24/2025 | EUR | 100,000 | 97,256 | ||
Series EMTN, 0.75%, 3/24/2029 | EUR | 200,000 | 170,825 | ||
Volkswagen Financial Services AG: | |||||
Series EMTN, 0.13%, 2/12/2027 | EUR | 100,000 | 89,123 | ||
Series EMTN, 0.25%, 1/31/2025 | EUR | 100,000 | 98,953 | ||
Series EMTN, 0.88%, 1/31/2028 | EUR | 200,000 | 176,947 | ||
Series EMTN, 1.50%, 10/1/2024 | EUR | 200,000 | 204,249 | ||
Volkswagen International Finance NV: | |||||
Series EMTN, 0.88%, 9/22/2028 | EUR | 200,000 | 173,251 | ||
Series EMTN, 1.63%, 1/16/2030 | EUR | 200,000 | 179,589 | ||
Series 10Y, 1.88%, 3/30/2027 | EUR | 500,000 | 480,273 | ||
3.25%, 11/18/2030 | EUR | 200,000 | 194,827 | ||
4.13%, 11/16/2038 (a) | EUR | 100,000 | 97,493 | ||
Volkswagen Leasing GmbH: | |||||
Series EMTN, 1.13%, 4/4/2024 | EUR | 200,000 | 206,244 | ||
Series EMTN, 1.38%, 1/20/2025 | EUR | 100,000 | 100,984 | ||
Series EMTN, 2.63%, 1/15/2024 | EUR | 235,000 | 249,114 | ||
Vonovia SE: | |||||
Series EMTN, 0.01%, 12/1/2025 | EUR | 200,000 | 186,855 | ||
Series EMTN, 0.25%, 9/1/2028 | EUR | 200,000 | 163,178 | ||
Series EMTN, 0.63%, 12/14/2029 | EUR | 200,000 | 156,711 | ||
Series EMTN, 0.75%, 9/1/2032 | EUR | 100,000 | 70,701 | ||
1.00%, 6/16/2033 | EUR | 300,000 | 211,573 |
Security Description | Principal Amount | Value | ||||
Wintershall Dea Finance B.V.: | ||||||
0.84%, 9/25/2025 | EUR | 100,000 | $ 96,029 | |||
1.33%, 9/25/2028 | EUR | 200,000 | 172,650 | |||
1.82%, 9/25/2031 | EUR | 100,000 | 78,674 | |||
16,130,981 | ||||||
IRELAND — 0.3% | ||||||
AIB Group PLC Series EMTN, 1 year GBP Swap + 1.30%, 2.25%, 4/4/2028 (b) | EUR | 100,000 | 95,219 | |||
Bank of Ireland Group PLC Series EMTN, 1 year GBP Swap + 1.10%, 1.88%, 6/5/2026 (b) | EUR | 100,000 | 99,056 | |||
Ryanair DAC Series EMTN, 0.88%, 5/25/2026 | EUR | 100,000 | 95,395 | |||
Smurfit Kappa Acquisitions ULC 2.88%, 1/15/2026 | EUR | 100,000 | 103,381 | |||
393,051 | ||||||
ITALY — 5.1% | ||||||
Assicurazioni Generali SpA Series EMTN, 5.13%, 9/16/2024 | EUR | 250,000 | 273,583 | |||
ASTM SpA: | ||||||
Series EMTN, 1.50%, 1/25/2030 | EUR | 100,000 | 82,327 | |||
Series EMTN, 2.38%, 11/25/2033 | EUR | 200,000 | 153,275 | |||
Autostrade per l'Italia SpA: | ||||||
2.00%, 12/4/2028 | EUR | 200,000 | 175,345 | |||
2.00%, 1/15/2030 | EUR | 100,000 | 84,363 | |||
Enel Finance International NV: | ||||||
Series EMTN, 0.01%, 6/17/2024 | EUR | 200,000 | 203,059 | |||
Series EMTN, 0.01%, 6/17/2027 | EUR | 100,000 | 90,224 | |||
Series EMTN, 0.01%, 6/17/2027 | EUR | 100,000 | 90,224 | |||
Series EMTN, 0.38%, 6/17/2027 | EUR | 300,000 | 275,956 | |||
0.50%, 6/17/2030 | EUR | 200,000 | 163,242 | |||
Series EMTN, 0.88%, 9/28/2034 | EUR | 400,000 | 286,268 | |||
Series EMTN, 0.88%, 6/17/2036 | EUR | 200,000 | 136,511 | |||
Series EMTN, 1.00%, 9/16/2024 | EUR | 200,000 | 205,402 | |||
Series EMTN, 1.13%, 9/16/2026 | EUR | 100,000 | 98,130 | |||
Series EMTN, 1.50%, 7/21/2025 | EUR | 200,000 | 203,518 | |||
2.88%, 4/11/2029 | GBP | 100,000 | 102,756 | |||
Series EMTN, 5.63%, 8/14/2024 | GBP | 50,000 | 60,622 |
Security Description | Principal Amount | Value | |||
Series EMTN, 5.75%, 9/14/2040 | GBP | 250,000 | $ 291,594 | ||
Eni SpA: | |||||
Series EMTN, 0.38%, 6/14/2028 | EUR | 100,000 | 88,078 | ||
Series EMTN, 0.63%, 1/23/2030 | EUR | 100,000 | 83,468 | ||
Series EMTN, 1.50%, 2/2/2026 | EUR | 300,000 | 299,882 | ||
Series EMTN, 3.63%, 1/29/2029 | EUR | 300,000 | 317,120 | ||
Series EMTN, 3.75%, 9/12/2025 | EUR | 150,000 | 162,421 | ||
Intesa Sanpaolo SpA: | |||||
Series EMTN, 0.75%, 3/16/2028 | EUR | 200,000 | 177,452 | ||
Series EMTN, 1.00%, 7/4/2024 | EUR | 200,000 | 205,170 | ||
Series EMTN, 1.38%, 1/18/2024 | EUR | 200,000 | 209,847 | ||
Series EMTN, 1.75%, 3/20/2028 | EUR | 400,000 | 372,233 | ||
Series EMTN, 1.75%, 7/4/2029 | EUR | 300,000 | 268,905 | ||
Series EMTN, 2.13%, 5/26/2025 | EUR | 100,000 | 102,195 | ||
Snam SpA Series EMTN, 0.88%, 10/25/2026 | EUR | 200,000 | 193,009 | ||
Terna SPA Series EMTN, 1.38%, 7/26/2027 | EUR | 100,000 | 96,370 | ||
UniCredit SpA: | |||||
Series EMTN, 0.33%, 1/19/2026 | EUR | 200,000 | 189,784 | ||
Series EMTN, 0.50%, 4/9/2025 | EUR | 100,000 | 98,730 | ||
Series EMTN, 0.85%, 1/19/2031 | EUR | 200,000 | 154,450 | ||
Series EMTN, 2.13%, 10/24/2026 | EUR | 100,000 | 100,746 | ||
Series EMTN, 3 Month EURIBOR + 0.90%, 0.80%, 7/5/2029 (b) | EUR | 100,000 | 85,795 | ||
Series EMTN, 3 Month EURIBOR + 1.55%, 1.25%, 6/25/2025 (b) | EUR | 300,000 | 306,416 | ||
Series EMTN, 3 Month EURIBOR + 1.60%, 1.25%, 6/16/2026 (b) | EUR | 200,000 | 196,931 | ||
Series EMTN, 3 Month EURIBOR + 2.55%, 2.20%, 7/22/2027 (b) | EUR | 500,000 | 483,068 | ||
7,168,469 |
Security Description | Principal Amount | Value | ||||
JAPAN — 2.6% | ||||||
Mitsubishi UFJ Financial Group, Inc.: | ||||||
3 Month EURIBOR + 0.94%, 2.26%, 6/14/2025 (b) | EUR | 200,000 | $ 207,727 | |||
Series EMTN, 3 Month EURIBOR + 1.03%, 3.27%, 9/19/2025 (b) | EUR | 200,000 | 210,073 | |||
Mizuho Financial Group, Inc. Series EMTN, 0.69%, 10/7/2030 | EUR | 200,000 | 164,459 | |||
NTT Finance Corp.: | ||||||
Series REGS, 0.01%, 3/3/2025 | EUR | 200,000 | 197,958 | |||
Series REGS, 0.34%, 3/3/2030 | EUR | 200,000 | 168,062 | |||
Series 18, 0.38%, 9/20/2030 | JPY | 100,000,000 | 730,161 | |||
Seven & i Holdings Co., Ltd. Series 14, 0.19%, 12/19/2025 | JPY | 100,000,000 | 754,323 | |||
Sumitomo Mitsui Financial Group, Inc.: | ||||||
Series EMTN, 0.63%, 10/23/2029 (a) | EUR | 100,000 | 84,612 | |||
1.55%, 6/15/2026 | EUR | 200,000 | 197,111 | |||
Takeda Pharmaceutical Co., Ltd.: | ||||||
1.38%, 7/9/2032 | EUR | 300,000 | 252,845 | |||
2.00%, 7/9/2040 | EUR | 200,000 | 151,409 | |||
Series REGS, 2.25%, 11/21/2026 | EUR | 200,000 | 202,724 | |||
Series REGS, 3.00%, 11/21/2030 | EUR | 250,000 | 250,323 | |||
3,571,787 | ||||||
LUXEMBOURG — 0.1% | ||||||
Logicor Financing Sarl Series EMTN, 1.63%, 7/15/2027 | EUR | 100,000 | 86,521 | |||
MEXICO — 0.1% | ||||||
America Movil SAB de CV 4.38%, 8/7/2041 | GBP | 100,000 | 101,366 | |||
NETHERLANDS — 5.8% | ||||||
ABN AMRO Bank NV: | ||||||
0.50%, 9/23/2029 | EUR | 400,000 | 338,123 | |||
0.60%, 1/15/2027 | EUR | 200,000 | 187,988 | |||
Series EMTN, 0.88%, 1/15/2024 | EUR | 100,000 | 104,616 | |||
Series EMTN, 1.00%, 4/16/2025 | EUR | 318,000 | 324,908 | |||
1.00%, 6/2/2033 | EUR | 400,000 | 313,723 | |||
Series EMTN, 1.25%, 5/28/2025 | EUR | 100,000 | 101,173 | |||
ASML Holding NV 1.38%, 7/7/2026 | EUR | 100,000 | 100,263 |
Security Description | Principal Amount | Value | |||
Cooperatieve Rabobank UA: | |||||
Series EMTN, 0.63%, 2/27/2024 | EUR | 300,000 | $ 310,943 | ||
Series GMTN, 1.13%, 5/7/2031 | EUR | 200,000 | 168,951 | ||
Series GMTN, 1.25%, 3/23/2026 | EUR | 300,000 | 300,615 | ||
Series GMTN, 1.38%, 2/3/2027 | EUR | 300,000 | 295,961 | ||
4.13%, 7/14/2025 | EUR | 250,000 | 273,135 | ||
Series GMTN, 3 Month EURIBOR + 0.52%, 0.38%, 12/1/2027 (b) | EUR | 100,000 | 92,213 | ||
Series GMTN, 3 Month EURIBOR + 1.18%, 0.88%, 5/5/2028 (b) | EUR | 200,000 | 185,195 | ||
Heineken NV Series EMTN, 1.00%, 5/4/2026 | EUR | 100,000 | 98,428 | ||
ING Groep NV: | |||||
Series EMTN, 1.38%, 1/11/2028 | EUR | 100,000 | 93,649 | ||
Series EMTN, 2.00%, 9/20/2028 | EUR | 200,000 | 190,694 | ||
Series EMTN, 2.13%, 1/10/2026 | EUR | 200,000 | 203,080 | ||
Series EMTN, 2.50%, 11/15/2030 | EUR | 300,000 | 289,970 | ||
Series EMTN, 3.00%, 2/18/2026 | GBP | 200,000 | 223,775 | ||
Series EMTN, 3 Month EURIBOR + 0.60%, 0.10%, 9/3/2025 (b) | EUR | 200,000 | 199,546 | ||
3 Month EURIBOR + 0.68%, 0.25%, 2/18/2029 (b) | EUR | 400,000 | 343,687 | ||
3 Month EURIBOR + 0.70%, 0.25%, 2/1/2030 (b) | EUR | 300,000 | 248,521 | ||
3 Month EURIBOR + 0.70%, 0.38%, 9/29/2028 (b) | EUR | 300,000 | 264,350 | ||
3 Month EURIBOR + 0.85%, 1.25%, 2/16/2027 (b) | EUR | 300,000 | 290,565 | ||
Series EMTN, 3 Month EURIBOR + 1.10%, 2.13%, 5/23/2026 (b) | EUR | 100,000 | 101,570 | ||
3 Month EURIBOR + 1.15%, 1.75%, 2/16/2031 (b) | EUR | 200,000 | 177,678 | ||
Series EMTN, SONIA + 0.90%, 1.13%, 12/7/2028 (b) | GBP | 100,000 | 96,237 | ||
Koninklijke KPN NV Series GMTN, 5.75%, 9/17/2029 | GBP | 100,000 | 120,168 |
Security Description | Principal Amount | Value | ||||
LeasePlan Corp. NV: | ||||||
Series EMTN, 0.25%, 2/23/2026 | EUR | 200,000 | $ 185,496 | |||
Series EMTN, 0.25%, 9/7/2026 | EUR | 100,000 | 91,343 | |||
Shell International Finance B.V.: | ||||||
Series EMTN, 0.13%, 11/8/2027 | EUR | 100,000 | 91,006 | |||
Series EMTN, 0.38%, 2/15/2025 | EUR | 100,000 | 100,447 | |||
Series EMTN, 0.50%, 5/11/2024 | EUR | 100,000 | 103,021 | |||
Series EMTN, 0.50%, 11/8/2031 | EUR | 100,000 | 81,490 | |||
Series EMTN, 0.75%, 8/15/2028 | EUR | 100,000 | 91,401 | |||
Series EMTN, 0.88%, 11/8/2039 | EUR | 200,000 | 131,805 | |||
Series EMTN, 1.13%, 4/7/2024 | EUR | 100,000 | 104,109 | |||
Series EMTN, 1.25%, 5/12/2028 | EUR | 200,000 | 189,347 | |||
Series EMTN, 1.25%, 11/11/2032 | EUR | 200,000 | 171,396 | |||
Series EMTN, 1.50%, 4/7/2028 | EUR | 100,000 | 96,502 | |||
Series EMTN, 1.50%, 4/7/2028 | EUR | 100,000 | 96,502 | |||
Series EMTN, 1.63%, 1/20/2027 | EUR | 300,000 | 297,645 | |||
Series EMTN, 1.88%, 9/15/2025 | EUR | 100,000 | 102,615 | |||
Series EMTN, 1.88%, 4/7/2032 | EUR | 100,000 | 91,928 | |||
Series EMTN, 2.50%, 3/24/2026 | EUR | 100,000 | 103,495 | |||
8,169,273 | ||||||
NORWAY — 0.5% | ||||||
DNB Bank ASA: | ||||||
3 Month EURIBOR + 0.32%, 0.38%, 1/18/2028 (b) | EUR | 100,000 | 92,963 | |||
Series EMTN, 3 Month EURIBOR + 0.53%, 0.25%, 2/23/2029 (b) | EUR | 300,000 | 263,185 | |||
Series EMTN, 3 Month EURIBOR + 0.77%, 3.13%, 9/21/2027 (b) | EUR | 100,000 | 104,312 | |||
UK 10 year Gilt + 1.35%, 2.63%, 6/10/2026 (b) | GBP | 100,000 | 113,242 | |||
UK 10 year Gilt + 2.15%, 4.00%, 8/17/2027 (b) | GBP | 100,000 | 113,647 | |||
687,349 |
Security Description | Principal Amount | Value | ||||
PORTUGAL — 0.1% | ||||||
EDP Finance BV Series EMTN, 1.88%, 9/21/2029 | EUR | 200,000 | $ 187,725 | |||
SPAIN — 6.2% | ||||||
Abertis Infraestructuras SA: | ||||||
Series EMTN, 2.38%, 9/27/2027 | EUR | 200,000 | 193,182 | |||
Series EMTN, 3.00%, 3/27/2031 | EUR | 100,000 | 92,604 | |||
Banco Bilbao Vizcaya Argentaria SA: | ||||||
Series EMTN, 0.38%, 10/2/2024 | EUR | 100,000 | 101,260 | |||
Series GMTN, 0.38%, 11/15/2026 | EUR | 100,000 | 93,559 | |||
Series GMTN, 0.50%, 1/14/2027 | EUR | 200,000 | 186,284 | |||
Series GMTN, 0.75%, 6/4/2025 | EUR | 300,000 | 300,743 | |||
1.00%, 6/21/2026 | EUR | 200,000 | 194,806 | |||
Series GMTN, 1.13%, 2/28/2024 | EUR | 200,000 | 208,076 | |||
Series GMTN, 1.38%, 5/14/2025 | EUR | 100,000 | 101,509 | |||
1.75%, 11/26/2025 | EUR | 200,000 | 202,146 | |||
3.38%, 9/20/2027 | EUR | 300,000 | 311,016 | |||
3 Month EURIBOR + 0.82%, 0.88%, 1/14/2029 (b) | EUR | 100,000 | 89,271 | |||
Banco de Sabadell SA Series EMTN, 0.88%, 7/22/2025 | EUR | 200,000 | 194,636 | |||
Banco Santander SA: | ||||||
Series EMTN, 0.20%, 2/11/2028 | EUR | 300,000 | 264,038 | |||
Series EMTN, 0.25%, 6/19/2024 (a) | EUR | 200,000 | 204,140 | |||
Series EMTN, 0.30%, 10/4/2026 | EUR | 100,000 | 93,900 | |||
Series EMTN, 1.00%, 11/4/2031 | EUR | 200,000 | 164,108 | |||
Series EMTN, 1.13%, 1/17/2025 | EUR | 300,000 | 304,400 | |||
Series EMTN, 1.38%, 7/31/2024 | GBP | 100,000 | 113,644 | |||
Series EMTN, 1.38%, 1/5/2026 | EUR | 100,000 | 98,959 | |||
Series EMTN, 1.38%, 1/5/2026 | EUR | 200,000 | 197,918 | |||
1 year GBP Swap + 0.35%, 0.10%, 1/26/2025 (b) | EUR | 200,000 | 205,801 | |||
Series EMTN, 1 year GBP Swap + 0.78%, 0.63%, 6/24/2029 (b) | EUR | 200,000 | 175,140 |
Security Description | Principal Amount | Value | |||
Series EMTN, 1 year GBP Swap + 1.05%, 3.63%, 9/27/2026 (b) | EUR | 200,000 | $ 211,219 | ||
CaixaBank SA: | |||||
Series EMTN, 0.38%, 2/3/2025 | EUR | 200,000 | 199,071 | ||
Series EMTN, 1.13%, 5/17/2024 | EUR | 200,000 | 206,665 | ||
Series EMTN, 1.13%, 3/27/2026 | EUR | 200,000 | 194,394 | ||
Series EMTN, 1.38%, 6/19/2026 | EUR | 200,000 | 193,307 | ||
Series EMTN, 2.38%, 2/1/2024 | EUR | 300,000 | 316,917 | ||
3 Month EURIBOR + 0.62%, 0.63%, 1/21/2028 (b) | EUR | 200,000 | 185,349 | ||
Series EMTN, 3 Month EURIBOR + 0.90%, 0.50%, 2/9/2029 (b) | EUR | 200,000 | 172,713 | ||
Series EMTN, 3 Month EURIBOR + 1.00%, 0.75%, 5/26/2028 (b) | EUR | 100,000 | 89,668 | ||
Series EMTN, 3 Month EURIBOR + 1.17%, 0.75%, 7/10/2026 (b) | EUR | 300,000 | 293,938 | ||
Iberdrola Finanzas SA: | |||||
Series EMTN, 1.00%, 3/7/2025 | EUR | 100,000 | 101,453 | ||
Series EMTN, 1.38%, 3/11/2032 | EUR | 100,000 | 88,230 | ||
Iberdrola International B.V. Series EMTN, 1.13%, 4/21/2026 | EUR | 200,000 | 199,722 | ||
Naturgy Finance B.V.: | |||||
Series EMTN, 1.25%, 1/15/2026 | EUR | 200,000 | 196,659 | ||
Series EMTN, 1.38%, 1/19/2027 | EUR | 100,000 | 96,301 | ||
Santander Consumer Finance SA: | |||||
Series EMTN, 0.38%, 6/27/2024 | EUR | 100,000 | 101,920 | ||
Series EMTN, 0.38%, 1/17/2025 (a) | EUR | 200,000 | 199,705 | ||
Series EMTN, 1.00%, 2/27/2024 | EUR | 100,000 | 103,758 | ||
Telefonica Emisiones SA: | |||||
Series EMTN, 0.66%, 2/3/2030 | EUR | 100,000 | 85,779 | ||
Series EMTN, 1.20%, 8/21/2027 | EUR | 200,000 | 190,439 | ||
Series EMTN, 1.45%, 1/22/2027 | EUR | 200,000 | 195,751 | ||
Series EMTN, 1.46%, 4/13/2026 | EUR | 200,000 | 199,123 | ||
Series EMTN, 1.53%, 1/17/2025 | EUR | 200,000 | 205,804 |
Security Description | Principal Amount | Value | ||||
Series EMTN, 1.72%, 1/12/2028 | EUR | 400,000 | $ 386,829 | |||
Series EMTN, 2.59%, 5/25/2031 | EUR | 100,000 | 96,472 | |||
8,602,326 | ||||||
SWEDEN — 2.0% | ||||||
Heimstaden Bostad Treasury BV Series EMTN, 0.25%, 10/13/2024 | EUR | 200,000 | 188,578 | |||
Skandinaviska Enskilda Banken AB: | ||||||
Series EMTN, 0.05%, 7/1/2024 | EUR | 100,000 | 101,691 | |||
Series EMTN, 0.38%, 2/11/2027 | EUR | 200,000 | 185,256 | |||
Series GMTN, 0.38%, 6/21/2028 | EUR | 200,000 | 175,887 | |||
Series EMTN, 0.63%, 11/12/2029 | EUR | 200,000 | 170,485 | |||
Series EMTN, 0.75%, 8/9/2027 | EUR | 200,000 | 185,705 | |||
1.75%, 11/11/2026 | EUR | 300,000 | 299,205 | |||
Svenska Handelsbanken AB: | ||||||
Series EMTN, 0.05%, 9/6/2028 | EUR | 100,000 | 86,910 | |||
Series EMTN, 0.13%, 11/3/2026 | EUR | 200,000 | 186,948 | |||
0.50%, 2/18/2030 | EUR | 300,000 | 249,725 | |||
0.50%, 2/18/2030 | EUR | 100,000 | 83,242 | |||
Series EMTN, 1.00%, 4/15/2025 | EUR | 200,000 | 202,455 | |||
Swedbank AB: | ||||||
Series GMTN, 0.25%, 11/2/2026 | EUR | 100,000 | 93,534 | |||
Series EMTN, 0.75%, 5/5/2025 | EUR | 200,000 | 199,398 | |||
2.10%, 5/25/2027 | EUR | 200,000 | 198,761 | |||
1 year GBP Swap + 0.57%, 0.30%, 5/20/2027 (b) | EUR | 200,000 | 186,538 | |||
2,794,318 | ||||||
SWITZERLAND — 4.3% | ||||||
Credit Suisse AG: | ||||||
Series EMTN, 0.25%, 1/5/2026 | EUR | 200,000 | 181,132 | |||
0.25%, 9/1/2028 | EUR | 200,000 | 153,978 | |||
Series EMTN, 1.13%, 12/15/2025 | GBP | 100,000 | 101,140 | |||
Series EMTN, 1.50%, 4/10/2026 | EUR | 200,000 | 184,836 | |||
Credit Suisse Group AG: | ||||||
Series EMTN, 0.63%, 1/18/2033 | EUR | 200,000 | 117,583 |
Security Description | Principal Amount | Value | |||
Series EMTN, 0.65%, 9/10/2029 | EUR | 500,000 | $ 355,526 | ||
Series EMTN, 1 year GBP Swap + 0.75%, 1.25%, 7/17/2025 (b) | EUR | 300,000 | 286,900 | ||
Series EMTN, 1 year GBP Swap + 1.05%, 1.00%, 6/24/2027 (b) | EUR | 400,000 | 334,867 | ||
1 year GBP Swap + 1.60%, 2.13%, 10/13/2026 (b) | EUR | 100,000 | 90,638 | ||
Series EMTN, 1 year GBP Swap + 3.50%, 3.25%, 4/2/2026 (b) | EUR | 300,000 | 287,078 | ||
Series EMTN, UK 10 year Gilt + 2.23%, 2.25%, 6/9/2028 (b) | GBP | 300,000 | 277,581 | ||
UK 10 year Gilt + 4.55%, 7.38%, 9/7/2033 (b) | GBP | 100,000 | 109,199 | ||
Series EMTN, 1 year GBP Swap + 0.77%, 0.65%, 1/14/2028 (b) | EUR | 300,000 | 238,752 | ||
Holcim Finance Luxembourg SA Series EMTN, 2.25%, 5/26/2028 | EUR | 300,000 | 291,664 | ||
Novartis Finance SA 0.01%, 9/23/2028 | EUR | 200,000 | 176,456 | ||
Richemont International Holding SA: | |||||
1.00%, 3/26/2026 | EUR | 200,000 | 199,094 | ||
1.50%, 3/26/2030 | EUR | 200,000 | 187,116 | ||
2.00%, 3/26/2038 | EUR | 100,000 | 84,065 | ||
Roche Finance Europe B.V. Series EMTN, 0.88%, 2/25/2025 | EUR | 100,000 | 103,061 | ||
UBS AG Series EMTN, 0.01%, 3/31/2026 | EUR | 200,000 | 188,796 | ||
UBS Group AG: | |||||
0.25%, 2/24/2028 | EUR | 200,000 | 173,920 | ||
0.63%, 2/24/2033 | EUR | 300,000 | 228,185 | ||
0.88%, 11/3/2031 | EUR | 200,000 | 160,300 | ||
Series EMTN, 1.25%, 9/1/2026 | EUR | 100,000 | 96,202 | ||
1.50%, 11/30/2024 | EUR | 100,000 | 103,804 | ||
1 year GBP Swap + 0.48%, 0.25%, 11/3/2026 (b) | EUR | 200,000 | 189,805 | ||
Series EMTN, 1 year GBP Swap + 0.55%, 0.25%, 1/29/2026 (b) | EUR | 200,000 | 195,738 | ||
Series EMTN, 1 year GBP Swap + 0.77%, 0.25%, 11/5/2028 (b) | EUR | 400,000 | 348,547 | ||
1 year GBP Swap + 1.15%, 2.75%, 6/15/2027 (b) | EUR | 200,000 | 201,886 |
Security Description | Principal Amount | Value | ||||
1 year GBP Swap + 0.75%, 1.25%, 4/17/2025 (b) | EUR | 400,000 | $ 410,211 | |||
6,058,060 | ||||||
UNITED KINGDOM — 9.2% | ||||||
Annington Funding PLC Series EMTN, 3.94%, 7/12/2047 | GBP | 100,000 | 86,077 | |||
Barclays PLC: | ||||||
Series EMTN, 3.13%, 1/17/2024 | GBP | 100,000 | 117,528 | |||
Series EMTN, 3.25%, 2/12/2027 | GBP | 200,000 | 215,590 | |||
Series EMTN, 3.25%, 1/17/2033 | GBP | 300,000 | 281,319 | |||
Series EMTN, 1 year GBP Swap + 0.78%, 1.38%, 1/24/2026 (b) | EUR | 200,000 | 199,792 | |||
1 year GBP Swap + 0.85%, 0.88%, 1/28/2028 (b) | EUR | 200,000 | 182,425 | |||
1 year GBP Swap + 1.26%, 0.58%, 8/9/2029 (b) | EUR | 200,000 | 168,519 | |||
1 year GBP Swap + 1.68%, 2.89%, 1/31/2027 (b) | EUR | 100,000 | 101,041 | |||
Series EMTN, 1 year GBP Swap + 3.70%, 3.38%, 4/2/2025 (b) | EUR | 100,000 | 105,641 | |||
Series EMTN, 1 year GBP Swap + 3.70%, 3.38%, 4/2/2025 (b) | EUR | 200,000 | 211,283 | |||
1 year GBP Swap + 1.00%, 1.11%, 5/12/2032 (b) | EUR | 400,000 | 314,121 | |||
BAT International Finance PLC Series EMTN, 2.25%, 1/16/2030 | EUR | 100,000 | 86,614 | |||
BG Energy Capital PLC: | ||||||
Series EMTN, 5.00%, 11/4/2036 | GBP | 100,000 | 115,990 | |||
Series EMTN, 5.13%, 12/1/2025 | GBP | 100,000 | 120,868 | |||
BP Capital Markets PLC: | ||||||
Series EMTN, 1.23%, 5/8/2031 | EUR | 200,000 | 171,925 | |||
Series EMTN, 1.57%, 2/16/2027 | EUR | 200,000 | 195,648 | |||
1.88%, 4/7/2024 | EUR | 100,000 | 104,759 | |||
Series EMTN, 2.52%, 4/7/2028 | EUR | 200,000 | 199,853 | |||
2.82%, 4/7/2032 | EUR | 100,000 | 97,028 | |||
Series EMTN, 2.97%, 2/27/2026 | EUR | 200,000 | 209,830 |
Security Description | Principal Amount | Value | |||
British Telecommunications PLC: | |||||
Series EMTN, 1.00%, 11/21/2024 | EUR | 100,000 | $ 101,263 | ||
Series EMTN, 1.50%, 6/23/2027 | EUR | 200,000 | 191,622 | ||
Series EMTN, 1.75%, 3/10/2026 | EUR | 100,000 | 100,058 | ||
Cadent Finance PLC: | |||||
Series EMTN, 2.13%, 9/22/2028 | GBP | 100,000 | 100,603 | ||
Series EMTN, 2.63%, 9/22/2038 | GBP | 100,000 | 81,225 | ||
Series EMTN, 2.75%, 9/22/2046 | GBP | 100,000 | 73,613 | ||
CCEP Finance Ireland DAC 0.88%, 5/6/2033 | EUR | 100,000 | 78,179 | ||
Centrica PLC Series EMTN, 7.00%, 9/19/2033 | GBP | 100,000 | 128,840 | ||
CK Hutchison Finance 16 II, Ltd. 0.88%, 10/3/2024 | EUR | 200,000 | 201,711 | ||
CK Hutchison Group Telecom Finance SA: | |||||
0.75%, 4/17/2026 | EUR | 100,000 | 95,709 | ||
1.13%, 10/17/2028 | EUR | 100,000 | 88,560 | ||
Connect Plus M25 Issuer PLC 2.61%, 3/31/2039 | GBP | 89,304 | 87,050 | ||
Diageo Finance PLC Series EMTN, 2.50%, 3/27/2032 | EUR | 100,000 | 98,242 | ||
easyJet FinCo B.V.: | |||||
Series EMTN, 1.88%, 3/3/2028 | EUR | 100,000 | 85,716 | ||
Series EMTN, 1.88%, 3/3/2028 | EUR | 100,000 | 85,716 | ||
GlaxoSmithKline Capital PLC: | |||||
Series EMTN, 1.25%, 5/21/2026 | EUR | 100,000 | 99,507 | ||
Series EMTN, 1.25%, 10/12/2028 | GBP | 200,000 | 199,545 | ||
Series EMTN, 1.38%, 12/2/2024 | EUR | 50,000 | 51,627 | ||
Series EMTN, 1.38%, 12/2/2024 | EUR | 100,000 | 103,253 | ||
Series EMTN, 6.38%, 3/9/2039 | GBP | 100,000 | 137,681 | ||
Heathrow Funding, Ltd.: | |||||
Series EMTN, 4.63%, 10/31/2046 | GBP | 100,000 | 98,417 | ||
Series REGS, 6.45%, 12/10/2031 | GBP | 200,000 | 246,916 | ||
Series EMTN, 6.75%, 12/3/2028 | GBP | 100,000 | 122,882 | ||
HSBC Holdings PLC: | |||||
0.88%, 9/6/2024 | EUR | 300,000 | 306,874 |
Security Description | Principal Amount | Value | |||
Series EMTN, 2.50%, 3/15/2027 | EUR | 300,000 | $ 299,109 | ||
2.63%, 8/16/2028 | GBP | 200,000 | 203,972 | ||
1 year GBP SONIA ICE Swap + 1.32%, 2.26%, 11/13/2026 (b) | GBP | 100,000 | 108,354 | ||
1 year GBP Swap + 1.65%, 3.00%, 7/22/2028 (b) | GBP | 200,000 | 209,232 | ||
3 Month EURIBOR + 1.03%, 0.77%, 11/13/2031 (b) | EUR | 300,000 | 243,352 | ||
3 Month EURIBOR + 1.45%, 3.02%, 6/15/2027 (b) | EUR | 200,000 | 203,256 | ||
SONIA + 1.31%, 1.75%, 7/24/2027 (b) | GBP | 100,000 | 103,392 | ||
Imperial Brands Finance Netherlands B.V. Series EMTN, 1.75%, 3/18/2033 | EUR | 100,000 | 75,047 | ||
Lloyds Bank Corporate Markets PLC Series EMTN, 2.38%, 4/9/2026 | EUR | 200,000 | 203,369 | ||
Lloyds Bank PLC Series EMTN, 6.50%, 9/17/2040 | GBP | 90,000 | 123,705 | ||
Lloyds Banking Group PLC: | |||||
Series EMTN, 1.50%, 9/12/2027 | EUR | 200,000 | 191,588 | ||
Series EMTN, 2.25%, 10/16/2024 | GBP | 200,000 | 228,234 | ||
3.13%, 8/24/2030 | EUR | 100,000 | 97,717 | ||
Series EMTN, 1 year GBP Swap + 0.85%, 0.50%, 11/12/2025 (b) | EUR | 100,000 | 99,701 | ||
Series EMTN, 1 year GBP Swap + 3.75%, 3.50%, 4/1/2026 (b) | EUR | 200,000 | 209,917 | ||
UK 10 year Gilt + 1.30%, 1.88%, 1/15/2026 (b) | GBP | 100,000 | 110,788 | ||
Logicor 2019-1 UK PLC 1.88%, 11/17/2026 | GBP | 100,000 | 104,601 | ||
Nationwide Building Society: | |||||
0.25%, 7/22/2025 | EUR | 100,000 | 98,217 | ||
3 Month EURIBOR + 0.93%, 1.50%, 3/8/2026 (b) | EUR | 100,000 | 99,720 | ||
Natwest Group PLC: | |||||
Series EMTN, 1 year GBP Swap + 1.49%, 2.88%, 9/19/2026 (b) | GBP | 100,000 | 110,384 | ||
Series EMTN, 3 Month EURIBOR + 0.95%, 0.78%, 2/26/2030 (b) | EUR | 200,000 | 167,451 |
Security Description | Principal Amount | Value | ||||
Series EMTN, 3 Month EURIBOR + 1.08%, 1.75%, 3/2/2026 (b) | EUR | 300,000 | $ 301,239 | |||
NatWest Group PLC Series EMTN, UK 10 year Gilt + 2.10%, 3.62%, 3/29/2029 (b) | GBP | 200,000 | 209,884 | |||
NatWest Markets PLC: | ||||||
Series EMTN, 0.13%, 11/12/2025 | EUR | 100,000 | 95,535 | |||
Series EMTN, 0.13%, 6/18/2026 | EUR | 300,000 | 279,247 | |||
1.38%, 3/2/2027 | EUR | 300,000 | 286,249 | |||
Series EMTN, 2.75%, 4/2/2025 | EUR | 200,000 | 207,806 | |||
Sky, Ltd. Series EMTN, 2.50%, 9/15/2026 | EUR | 200,000 | 205,042 | |||
THFC Funding No. 3 PLC Series EMTN, 5.20%, 10/11/2043 | GBP | 150,000 | 171,512 | |||
Unilever Finance Netherlands B.V.: | ||||||
Series EMTN, 1.25%, 3/25/2025 | EUR | 100,000 | 102,259 | |||
1.75%, 3/25/2030 | EUR | 200,000 | 192,341 | |||
University of Oxford 2.54%, 12/8/2117 | GBP | 150,000 | 101,230 | |||
Vodafone Group PLC: | ||||||
Series EMTN, 1.13%, 11/20/2025 | EUR | 200,000 | 199,177 | |||
Series EMTN, 1.60%, 7/29/2031 | EUR | 200,000 | 176,671 | |||
Series EMTN, 1.63%, 11/24/2030 | EUR | 200,000 | 179,994 | |||
Series EMTN, 1.88%, 9/11/2025 | EUR | 50,000 | 51,060 | |||
Series EMTN, 2.20%, 8/25/2026 | EUR | 128,000 | 130,013 | |||
Series EMTN, 3.00%, 8/12/2056 | GBP | 150,000 | 109,572 | |||
Series EMTN, 3.38%, 8/8/2049 | GBP | 100,000 | 82,064 | |||
Wellcome Trust Ltd 1.50%, 7/14/2071 | GBP | 100,000 | 52,129 | |||
Wellcome Trust, Ltd. 2.52%, 2/7/2118 | GBP | 100,000 | 67,052 | |||
Western Power Distribution West Midlands PLC Series EMTN, 5.75%, 4/16/2032 | GBP | 100,000 | 121,359 | |||
12,863,201 | ||||||
UNITED STATES — 26.1% | ||||||
Abbott Ireland Financing DAC 1.50%, 9/27/2026 | EUR | 150,000 | 149,998 | |||
AbbVie, Inc. 1.38%, 5/17/2024 | EUR | 114,000 | 118,407 |
Security Description | Principal Amount | Value | |||
Altria Group, Inc.: | |||||
2.20%, 6/15/2027 | EUR | 100,000 | $ 95,862 | ||
3.13%, 6/15/2031 | EUR | 200,000 | 176,774 | ||
American Honda Finance Corp.: | |||||
0.30%, 7/7/2028 | EUR | 100,000 | 88,280 | ||
1.95%, 10/18/2024 | EUR | 200,000 | 207,697 | ||
American International Group, Inc. 1.88%, 6/21/2027 | EUR | 100,000 | 96,189 | ||
American Medical Systems Europe B.V. 0.75%, 3/8/2025 | EUR | 100,000 | 100,137 | ||
Amgen, Inc. 4.00%, 9/13/2029 | GBP | 100,000 | 113,354 | ||
Apple, Inc.: | |||||
0.50%, 11/15/2031 | EUR | 100,000 | 84,741 | ||
0.88%, 5/24/2025 | EUR | 200,000 | 202,965 | ||
1.38%, 1/17/2024 | EUR | 100,000 | 105,808 | ||
1.38%, 5/24/2029 | EUR | 300,000 | 285,991 | ||
1.63%, 11/10/2026 | EUR | 340,000 | 344,337 | ||
3.05%, 7/31/2029 | GBP | 100,000 | 112,301 | ||
AT&T, Inc.: | |||||
0.80%, 3/4/2030 | EUR | 200,000 | 170,526 | ||
1.60%, 5/19/2028 | EUR | 300,000 | 284,050 | ||
1.80%, 9/5/2026 | EUR | 100,000 | 99,333 | ||
2.35%, 9/5/2029 | EUR | 200,000 | 192,927 | ||
2.40%, 3/15/2024 | EUR | 300,000 | 316,075 | ||
2.45%, 3/15/2035 | EUR | 100,000 | 86,433 | ||
2.90%, 12/4/2026 | GBP | 100,000 | 110,861 | ||
3.15%, 9/4/2036 | EUR | 203,000 | 187,001 | ||
3.50%, 12/17/2025 | EUR | 100,000 | 107,556 | ||
3.55%, 12/17/2032 | EUR | 300,000 | 302,838 | ||
4.25%, 6/1/2043 | GBP | 100,000 | 97,574 | ||
4.38%, 9/14/2029 | GBP | 50,000 | 56,569 | ||
4.88%, 6/1/2044 | GBP | 250,000 | 265,573 | ||
Series EMTN, 7.00%, 4/30/2040 | GBP | 100,000 | 134,736 | ||
Series EMTN, 7.00%, 4/30/2040 | GBP | 50,000 | 67,608 | ||
Bank of America Corp.: | |||||
Series EMTN, 2.30%, 7/25/2025 | GBP | 100,000 | 112,740 | ||
Series EMTN, 7.00%, 7/31/2028 | GBP | 250,000 | 322,460 | ||
Series EMTN, 3 Month EURIBOR + 0.73%, 0.58%, 8/8/2029 (b) | EUR | 100,000 | 86,546 | ||
Series EMTN, 3 Month EURIBOR + 0.75%, 0.81%, 5/9/2026 (b) | EUR | 400,000 | 394,921 | ||
Series EMTN, 3 Month EURIBOR + 0.76%, 0.58%, 8/24/2028 (b) | EUR | 300,000 | 269,351 | ||
Series EMTN, 3 Month EURIBOR + 0.79%, 0.69%, 3/22/2031 (b) | EUR | 100,000 | 82,556 |
Security Description | Principal Amount | Value | |||
Series EMTN, 3 Month EURIBOR + 0.89%, 1.66%, 4/25/2028 (b) | EUR | 300,000 | $ 286,709 | ||
Series EMTN, 3 Month EURIBOR + 0.91%, 1.38%, 5/9/2030 (b) | EUR | 200,000 | 177,571 | ||
Series EMTN, 3 Month EURIBOR + 0.91%, 1.95%, 10/27/2026 (b) | EUR | 100,000 | 100,153 | ||
Series EMTN, 3 Month EURIBOR + 0.94%, 0.65%, 10/26/2031 (b) | EUR | 200,000 | 160,759 | ||
Series EMTN, 3 Month EURIBOR + 0.95%, 1.10%, 5/24/2032 (b) | EUR | 100,000 | 81,840 | ||
Series EMTN, 3 Month EURIBOR + 1.03%, 1.38%, 2/7/2025 (b) | EUR | 200,000 | 207,692 | ||
Series EMTN, 3 Month EURIBOR + 1.20%, 1.78%, 5/4/2027 (b) | EUR | 100,000 | 98,357 | ||
Series EMTN, 3 Month EURIBOR + 1.20%, 2.82%, 4/27/2033 (b) | EUR | 100,000 | 93,222 | ||
Series EMTN, 3 Month EURIBOR + 3.67%, 3.65%, 3/31/2029 (b) | EUR | 400,000 | 411,978 | ||
Berkshire Hathaway Finance Corp.: | |||||
2.38%, 6/19/2039 | GBP | 200,000 | 170,201 | ||
2.63%, 6/19/2059 | GBP | 100,000 | 75,940 | ||
Berkshire Hathaway, Inc.: | |||||
0.01%, 3/12/2025 | EUR | 100,000 | 98,934 | ||
1.13%, 3/16/2027 | EUR | 300,000 | 287,778 | ||
1.30%, 3/15/2024 | EUR | 50,000 | 52,003 | ||
1.63%, 3/16/2035 | EUR | 200,000 | 163,735 | ||
Booking Holdings, Inc.: | |||||
1.80%, 3/3/2027 | EUR | 100,000 | 98,366 | ||
2.38%, 9/23/2024 | EUR | 200,000 | 209,250 | ||
4.50%, 11/15/2031 | EUR | 200,000 | 215,380 | ||
4.75%, 11/15/2034 | EUR | 100,000 | 108,191 | ||
BorgWarner, Inc. 1.00%, 5/19/2031 | EUR | 100,000 | 79,119 | ||
Celanese US Holdings LLC 4.78%, 7/19/2026 | EUR | 200,000 | 203,285 | ||
Citigroup, Inc.: | |||||
Series EMTN, 1.25%, 4/10/2029 | EUR | 200,000 | 178,634 | ||
Series EMTN, 1.50%, 10/26/2028 | EUR | 100,000 | 92,035 | ||
1.75%, 1/28/2025 | EUR | 150,000 | 154,851 | ||
Series EMTN, 2.38%, 5/22/2024 | EUR | 100,000 | 105,575 | ||
2.75%, 1/24/2024 | GBP | 100,000 | 117,666 | ||
4.11%, 9/22/2033 | EUR | 100,000 | 102,928 |
Security Description | Principal Amount | Value | |||
3 Month EURIBOR + 0.96%, 0.50%, 10/8/2027 (b) | EUR | 300,000 | $ 278,744 | ||
Series EMTN, 3 Month EURIBOR + 1.07%, 1.50%, 7/24/2026 (b) | EUR | 200,000 | 199,750 | ||
3 Month EURIBOR + 1.25%, 3.71%, 9/22/2028 (b) | EUR | 200,000 | 208,306 | ||
Series EMTN, 3 Month EURIBOR + 1.66%, 1.25%, 7/6/2026 (b) | EUR | 200,000 | 198,962 | ||
Coca-Cola Co.: | |||||
0.13%, 3/15/2029 | EUR | 200,000 | 174,909 | ||
1.13%, 3/9/2027 | EUR | 100,000 | 97,450 | ||
1.63%, 3/9/2035 | EUR | 200,000 | 171,866 | ||
Comcast Corp.: | |||||
0.01%, 9/14/2026 | EUR | 200,000 | 186,360 | ||
0.75%, 2/20/2032 | EUR | 100,000 | 81,134 | ||
1.88%, 2/20/2036 (a) | GBP | 125,000 | 105,987 | ||
DH Europe Finance II Sarl: | |||||
0.20%, 3/18/2026 | EUR | 200,000 | 192,536 | ||
0.75%, 9/18/2031 | EUR | 300,000 | 249,801 | ||
1.35%, 9/18/2039 | EUR | 200,000 | 145,067 | ||
Digital Euro Finco LLC: | |||||
2.50%, 1/16/2026 | EUR | 100,000 | 98,785 | ||
2.50%, 1/16/2026 | EUR | 100,000 | 98,785 | ||
Digital Intrepid Holding B.V. 0.63%, 7/15/2031 | EUR | 100,000 | 72,984 | ||
Dow Chemical Co. 0.50%, 3/15/2027 | EUR | 100,000 | 92,633 | ||
Eli Lilly & Co. 1.70%, 11/1/2049 | EUR | 100,000 | 72,241 | ||
Exxon Mobil Corp.: | |||||
0.14%, 6/26/2024 | EUR | 200,000 | 203,783 | ||
0.52%, 6/26/2028 | EUR | 100,000 | 90,410 | ||
0.84%, 6/26/2032 | EUR | 100,000 | 80,036 | ||
1.41%, 6/26/2039 | EUR | 200,000 | 139,451 | ||
FedEx Corp. 1.63%, 1/11/2027 | EUR | 100,000 | 98,347 | ||
Fidelity National Information Services, Inc.: | |||||
1.50%, 5/21/2027 | EUR | 200,000 | 191,550 | ||
2.00%, 5/21/2030 | EUR | 200,000 | 182,425 | ||
Goldman Sachs Group Inc: | |||||
Series EMTN, 0.25%, 1/26/2028 | EUR | 380,000 | 332,222 | ||
Series EMTN, 1.00%, 3/18/2033 | EUR | 300,000 | 229,569 | ||
Series EMTN, 2.00%, 11/1/2028 | EUR | 200,000 | 189,556 | ||
Series EMTN, UK 10 year Gilt + 1.95%, 3.63%, 10/29/2029 (b) | GBP | 100,000 | 107,524 |
Security Description | Principal Amount | Value | |||
Goldman Sachs Group, Inc.: | |||||
Series EMTN, 0.13%, 8/19/2024 | EUR | 200,000 | $ 202,743 | ||
0.88%, 5/9/2029 | EUR | 100,000 | 85,558 | ||
Series EMTN, 0.88%, 1/21/2030 | EUR | 200,000 | 168,593 | ||
Series EMTN, 1.25%, 5/1/2025 | EUR | 300,000 | 304,428 | ||
Series EMTN, 1.38%, 5/15/2024 | EUR | 296,000 | 308,975 | ||
Series EMTN, 1.50%, 12/7/2027 | GBP | 100,000 | 100,083 | ||
Series EMTN, 1.63%, 7/27/2026 | EUR | 200,000 | 198,994 | ||
Series EMTN, 2.13%, 9/30/2024 | EUR | 200,000 | 208,740 | ||
Series EMTN, 3.00%, 2/12/2031 | EUR | 150,000 | 144,593 | ||
Series EMTN, 3.13%, 7/25/2029 | GBP | 300,000 | 311,082 | ||
3.38%, 3/27/2025 | EUR | 200,000 | 212,192 | ||
Series EMTN, 4.25%, 1/29/2026 | GBP | 50,000 | 58,243 | ||
Honeywell International, Inc. 4.13%, 11/2/2034 | EUR | 200,000 | 210,701 | ||
International Business Machines Corp.: | |||||
0.30%, 2/11/2028 | EUR | 300,000 | 269,684 | ||
0.65%, 2/11/2032 | EUR | 300,000 | 241,015 | ||
Series EMTN, 0.88%, 1/31/2025 | EUR | 100,000 | 101,289 | ||
Series EMTN, 0.88%, 2/9/2030 | EUR | 200,000 | 175,123 | ||
0.95%, 5/23/2025 | EUR | 200,000 | 201,307 | ||
1.50%, 5/23/2029 | EUR | 100,000 | 93,298 | ||
1.75%, 1/31/2031 | EUR | 200,000 | 182,147 | ||
Series EMTN, 2.88%, 11/7/2025 | EUR | 100,000 | 106,798 | ||
Johnson & Johnson 1.65%, 5/20/2035 | EUR | 200,000 | 178,022 | ||
JPMorgan Chase & Co.: | |||||
Series EMTN, 0.63%, 1/25/2024 | EUR | 400,000 | 417,056 | ||
Series EMTN, 1.50%, 1/27/2025 | EUR | 100,000 | 103,206 | ||
Series EMTN, 1.50%, 10/29/2026 | EUR | 100,000 | 98,663 | ||
Series EMTN, 2.88%, 5/24/2028 | EUR | 100,000 | 100,161 | ||
Series EMTN, 3 Month EURIBOR + 0.65%, 0.39%, 2/24/2028 (b) | EUR | 150,000 | 137,000 | ||
Series EMTN, 3 Month EURIBOR + 0.65%, 0.60%, 2/17/2033 (b) | EUR | 500,000 | 385,038 |
Security Description | Principal Amount | Value | |||
Series EMTN, 3 Month EURIBOR + 0.76%, 1.09%, 3/11/2027 (b) | EUR | 300,000 | $ 291,139 | ||
Series EMTN, 3 Month EURIBOR + 0.84%, 1.64%, 5/18/2028 (b) | EUR | 400,000 | 383,622 | ||
Series EMTN, 3 Month EURIBOR + 0.85%, 1.00%, 7/25/2031 (b) | EUR | 300,000 | 253,021 | ||
Series EMTN, 3 Month EURIBOR + 0.87%, 1.05%, 11/4/2032 (b) | EUR | 200,000 | 162,595 | ||
Series EMTN, 3 Month EURIBOR + 0.95%, 1.81%, 6/12/2029 (b) | EUR | 100,000 | 94,083 | ||
Series EMTN, 3 Month EURIBOR + 1.13%, 1.96%, 3/23/2030 (b) | EUR | 200,000 | 186,166 | ||
SONIA + 0.68%, 0.99%, 4/28/2026 (b) | GBP | 200,000 | 217,283 | ||
Series EMTN, SONIA + 1.13%, 1.90%, 4/28/2033 (b) | GBP | 100,000 | 90,372 | ||
Kraft Heinz Foods Co. 2.25%, 5/25/2028 | EUR | 200,000 | 195,894 | ||
Medtronic Global Holdings SCA: | |||||
0.01%, 10/15/2025 | EUR | 100,000 | 96,980 | ||
0.25%, 7/2/2025 | EUR | 200,000 | 197,353 | ||
0.38%, 10/15/2028 | EUR | 100,000 | 89,046 | ||
1.00%, 7/2/2031 | EUR | 200,000 | 170,833 | ||
1.13%, 3/7/2027 | EUR | 300,000 | 290,607 | ||
1.38%, 10/15/2040 | EUR | 200,000 | 138,467 | ||
1.50%, 7/2/2039 | EUR | 300,000 | 218,692 | ||
1.63%, 3/7/2031 | EUR | 100,000 | 91,061 | ||
1.63%, 10/15/2050 | EUR | 100,000 | 63,518 | ||
1.75%, 7/2/2049 | EUR | 100,000 | 65,744 | ||
2.25%, 3/7/2039 | EUR | 100,000 | 82,718 | ||
3.13%, 10/15/2031 | EUR | 100,000 | 101,156 | ||
3.38%, 10/15/2034 | EUR | 200,000 | 200,533 | ||
Merck & Co., Inc. 1.88%, 10/15/2026 | EUR | 100,000 | 101,682 | ||
Metropolitan Life Global Funding I 0.38%, 4/9/2024 | EUR | 100,000 | 102,674 | ||
Microsoft Corp. 3.13%, 12/6/2028 | EUR | 200,000 | 219,042 | ||
Morgan Stanley: | |||||
Series GMTN, 1.38%, 10/27/2026 | EUR | 50,000 | 48,614 | ||
Series GMTN, 1.75%, 3/11/2024 | EUR | 300,000 | 314,345 | ||
Series GMTN, 1.75%, 1/30/2025 | EUR | 300,000 | 308,562 | ||
Series GMTN, 1.88%, 4/27/2027 | EUR | 300,000 | 291,554 |
Security Description | Principal Amount | Value | |||
Series GMTN, 2.63%, 3/9/2027 | GBP | 200,000 | $ 217,048 | ||
5.79%, 11/18/2033 | GBP | 200,000 | 241,056 | ||
3 Month EURIBOR + 0.70%, 0.41%, 10/29/2027 (b) | EUR | 400,000 | 368,452 | ||
3 Month EURIBOR + 0.72%, 0.50%, 2/7/2031 (b) | EUR | 200,000 | 161,903 | ||
3 Month EURIBOR + 0.83%, 1.10%, 4/29/2033 (b) | EUR | 400,000 | 315,328 | ||
Series EMTN, 3 Month EURIBOR + 0.83%, 1.34%, 10/23/2026 (b) | EUR | 100,000 | 98,557 | ||
3 Month EURIBOR + 0.87%, 0.50%, 10/26/2029 (b) | EUR | 200,000 | 171,095 | ||
3 Month EURIBOR + 0.90%, 2.10%, 5/8/2026 (b) | EUR | 100,000 | 101,716 | ||
3 Month EURIBOR + 1.24%, 2.95%, 5/7/2032 (b) | EUR | 400,000 | 378,252 | ||
Nestle Finance International, Ltd.: | |||||
Series EMTN, 0.01%, 6/14/2026 | EUR | 200,000 | 192,095 | ||
0.38%, 5/12/2032 | EUR | 100,000 | 80,730 | ||
Series EMTN, 1.13%, 4/1/2026 | EUR | 100,000 | 101,117 | ||
Series EMTN, 1.50%, 4/1/2030 | EUR | 200,000 | 188,662 | ||
PepsiCo, Inc.: | |||||
0.25%, 5/6/2024 | EUR | 100,000 | 102,896 | ||
Series EMTN, 0.50%, 5/6/2028 | EUR | 200,000 | 183,872 | ||
0.75%, 10/14/2033 | EUR | 100,000 | 80,282 | ||
Pfizer, Inc. Series REGS, 2.74%, 6/15/2043 | GBP | 200,000 | 174,857 | ||
Philip Morris International, Inc. Series EMTN, 2.88%, 3/3/2026 | EUR | 100,000 | 103,141 | ||
Procter & Gamble Co. 4.88%, 5/11/2027 | EUR | 200,000 | 228,723 | ||
Schlumberger Finance B.V.: | |||||
1.38%, 10/28/2026 | EUR | 100,000 | 98,457 | ||
2.00%, 5/6/2032 | EUR | 200,000 | 182,400 | ||
Schneider Electric SE Series EMTN, 0.25%, 9/9/2024 | EUR | 100,000 | 101,411 | ||
Stellantis NV: | |||||
Series EMTN, 0.63%, 3/30/2027 | EUR | 200,000 | 184,186 | ||
Series EMTN, 1.25%, 6/20/2033 | EUR | 200,000 | 149,748 |
Security Description | Principal Amount | Value | |||
2.75%, 5/15/2026 | EUR | 100,000 | $ 102,157 | ||
Series EMTN, 2.75%, 4/1/2032 | EUR | 100,000 | 90,425 | ||
Series GMTN, 3.75%, 3/29/2024 | EUR | 200,000 | 213,124 | ||
3.88%, 1/5/2026 | EUR | 200,000 | 212,168 | ||
4.50%, 7/7/2028 | EUR | 200,000 | 213,592 | ||
Thermo Fisher Scientific Finance I B.V.: | |||||
0.80%, 10/18/2030 | EUR | 200,000 | 172,963 | ||
1.13%, 10/18/2033 | EUR | 200,000 | 162,120 | ||
1.63%, 10/18/2041 | EUR | 300,000 | 214,618 | ||
Thermo Fisher Scientific, Inc.: | |||||
0.75%, 9/12/2024 | EUR | 148,000 | 151,137 | ||
Series EMTN, 1.88%, 10/1/2049 | EUR | 100,000 | 67,973 | ||
Toyota Motor Credit Corp. Series EMTN, 0.25%, 7/16/2026 | EUR | 200,000 | 191,494 | ||
Upjohn Finance B.V. 1.91%, 6/23/2032 | EUR | 300,000 | 244,132 | ||
US Bancorp Series EMTN, 0.85%, 6/7/2024 | EUR | 100,000 | 103,046 | ||
Utah Acquisition Sub, Inc. Series ., 2.25%, 11/22/2024 | EUR | 100,000 | 102,984 | ||
Verizon Communications, Inc.: | |||||
0.88%, 4/2/2025 | EUR | 200,000 | 201,046 | ||
0.88%, 4/8/2027 | EUR | 400,000 | 377,887 | ||
1.25%, 4/8/2030 | EUR | 200,000 | 176,333 | ||
1.30%, 5/18/2033 | EUR | 300,000 | 242,972 | ||
1.38%, 10/27/2026 | EUR | 300,000 | 293,687 | ||
1.38%, 11/2/2028 | EUR | 200,000 | 185,227 | ||
2.63%, 12/1/2031 | EUR | 100,000 | 95,807 | ||
Series 20Y, 2.88%, 1/15/2038 | EUR | 200,000 | 179,063 | ||
Series EMTN, 3.25%, 2/17/2026 | EUR | 250,000 | 263,145 | ||
3.38%, 10/27/2036 | GBP | 200,000 | 194,922 | ||
Visa, Inc. 1.50%, 6/15/2026 | EUR | 300,000 | 300,484 | ||
Walmart, Inc.: | |||||
4.88%, 9/21/2029 | EUR | 121,000 | 140,385 | ||
5.25%, 9/28/2035 | GBP | 68,000 | 86,330 | ||
5.63%, 3/27/2034 | GBP | 100,000 | 131,401 | ||
Wells Fargo & Co.: | |||||
Series EMTN, 0.50%, 4/26/2024 | EUR | 100,000 | 102,722 | ||
Series EMTN, 0.63%, 3/25/2030 | EUR | 100,000 | 81,792 | ||
0.63%, 8/14/2030 | EUR | 100,000 | 80,627 | ||
Series EMTN, 1.00%, 2/2/2027 | EUR | 200,000 | 187,275 | ||
Series EMTN, 1.38%, 10/26/2026 | EUR | 100,000 | 95,882 |
Security Description | Principal Amount | Value | |||
Series EMTN, 1.50%, 5/24/2027 | EUR | 400,000 | $ 379,722 | ||
Series EMTN, 2.00%, 7/28/2025 | GBP | 200,000 | 221,884 | ||
Series EMTN, 2.00%, 4/27/2026 | EUR | 400,000 | 397,511 | ||
Series EMTN, 2.13%, 6/4/2024 | EUR | 100,000 | 104,509 | ||
4.63%, 11/2/2035 | GBP | 50,000 | 55,107 | ||
Series EMTN, 3 Month EURIBOR + 1.67%, 1.34%, 5/4/2025 (b) | EUR | 300,000 | 308,890 | ||
Series EMTN, 3 Month EURIBOR + 1.85%, 1.74%, 5/4/2030 (b) | EUR | 200,000 | 180,756 | ||
36,619,771 | |||||
TOTAL CORPORATE BONDS & NOTES (Cost $164,813,136) | 137,726,064 |
Shares | |||
SHORT-TERM INVESTMENTS — 6.3% | |||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 4.16% (c)(d) | 126,467 | 126,467 | |
State Street Navigator Securities Lending Portfolio II (e)(f) | 8,734,973 | 8,734,973 | |
TOTAL SHORT-TERM INVESTMENTS (Cost $8,861,440) | 8,861,440 | ||
TOTAL INVESTMENTS — 104.6% (Cost $173,674,576) | 146,587,504 | ||
LIABILITIES IN EXCESS OF OTHER ASSETS — (4.6)% | (6,482,152) | ||
NET ASSETS — 100.0% | $ 140,105,352 |
(a) | All or a portion of the shares of the security are on loan at December 31, 2022. |
(b) | Variable Rate Security - Interest rate shown is rate in effect at December 31, 2022. For securities based on a published reference rate and spread, the reference rate and spread are indicated in the description above. |
(c) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2022 are shown in the Affiliate Table below. |
(d) | The rate shown is the annualized seven-day yield at December 31, 2022. |
(e) | The Fund invested in an affiliated entity. Amounts related to these transactions during the period ended December 31, 2022 are shown in the Affiliate Table below. |
(f) | Investment of cash collateral for securities loaned. |
DMTN | Domestic Medium - Term Note |
EMTN | Euro Medium Term Note |
GMTN | Global Medium Term Note |
MTN | Medium Term Note |
SONIA | Sterling Overnight Index Average |
AUD | Australian Dollar |
EUR | Euro |
GBP | British Pound |
JPY | Japanese Yen |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Corporate Bonds & Notes | $ — | $137,726,064 | $— | $137,726,064 | ||||
Short-Term Investments | 8,861,440 | — | — | 8,861,440 | ||||
TOTAL INVESTMENTS | $8,861,440 | $137,726,064 | $— | $146,587,504 |
% of Total Investments | ||
Financial | 50.7% | |
Consumer, Non-cyclical | 12.8 | |
Communications | 8.5 | |
Consumer, Cyclical | 6.9 | |
Energy | 4.4 | |
Utilities | 4.1 | |
Industrial | 3.0 | |
Technology | 2.9 | |
Basic Materials | 0.7 | |
Short-Term Investments | 6.0 | |
TOTAL | 100.0% |
Number of Shares Held at 12/31/21 | Value at 12/31/21 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 12/31/22 | Value at 12/31/22 | Dividend Income | |||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 11,467 | $ 11,467 | $17,495,689 | $17,380,689 | $— | $— | 126,467 | $ 126,467 | $ 4,740 | ||||||||
State Street Navigator Securities Lending Portfolio II | 2,853,956 | 2,853,956 | 36,325,794 | 30,444,777 | — | — | 8,734,973 | 8,734,973 | 14,843 | ||||||||
Total | $2,865,423 | $53,821,483 | $47,825,466 | $— | $— | $8,861,440 | $19,583 |
Security Description | Principal Amount | Value | ||||
FOREIGN GOVERNMENT OBLIGATIONS — 99.3% | ||||||
AUSTRALIA — 4.6% | ||||||
Australia Government Bond: | ||||||
Series 159, 0.25%, 11/21/2024 | AUD | 4,409,000 | $ 2,819,416 | |||
Series 161, 0.25%, 11/21/2025 | AUD | 5,105,000 | 3,155,607 | |||
Series 164, 0.50%, 9/21/2026 | AUD | 4,898,000 | 2,966,303 | |||
Series 160, 1.00%, 12/21/2030 | AUD | 4,246,000 | 2,298,990 | |||
Series 163, 1.00%, 11/21/2031 | AUD | 4,025,000 | 2,117,888 | |||
Series 158, 1.25%, 5/21/2032 | AUD | 3,980,000 | 2,116,720 | |||
Series 157, 1.50%, 6/21/2031 | AUD | 5,039,000 | 2,809,039 | |||
Series 165, 1.75%, 11/21/2032 | AUD | 2,823,000 | 1,558,393 | |||
Series 162, 1.75%, 6/21/2051 | AUD | 1,971,000 | 774,593 | |||
Series 149, 2.25%, 5/21/2028 | AUD | 3,673,000 | 2,311,828 | |||
Series 155, 2.50%, 5/21/2030 | AUD | 3,785,000 | 2,334,554 | |||
Series 137, 2.75%, 4/21/2024 | AUD | 3,571,000 | 2,403,511 | |||
Series 148, 2.75%, 11/21/2027 | AUD | 1,950,000 | 1,267,103 | |||
Series 148, 2.75%, 11/21/2027 | AUD | 1,228,000 | 797,950 | |||
Series 152, 2.75%, 11/21/2028 | AUD | 3,130,000 | 2,007,415 | |||
Series 154, 2.75%, 11/21/2029 | AUD | 3,354,000 | 2,120,326 | |||
Series 145, 2.75%, 6/21/2035 | AUD | 852,000 | 497,241 | |||
Series 156, 2.75%, 5/21/2041 | AUD | 1,272,000 | 686,911 | |||
3.00%, 11/21/2033 | AUD | 4,553,000 | 2,794,911 | |||
Series 150, 3.00%, 3/21/2047 | AUD | 1,657,000 | 892,348 | |||
Series 139, 3.25%, 4/21/2025 | AUD | 3,777,000 | 2,549,309 | |||
Series 138, 3.25%, 4/21/2029 | AUD | 3,402,000 | 2,233,402 | |||
Series 147, 3.25%, 6/21/2039 | AUD | 940,000 | 556,529 | |||
Series 144, 3.75%, 4/21/2037 | AUD | 1,223,000 | 782,791 | |||
Series 142, 4.25%, 4/21/2026 | AUD | 3,506,000 | 2,428,641 | |||
Series 140, 4.50%, 4/21/2033 | AUD | 2,080,000 | 1,463,476 |
Security Description | Principal Amount | Value | ||||
Series 136, 4.75%, 4/21/2027 | AUD | 3,271,000 | $ 2,314,833 | |||
51,060,028 | ||||||
AUSTRIA — 2.6% | ||||||
Austria Government Bond: | ||||||
0.01%, 7/15/2024 (a) | EUR | 1,211,000 | 1,238,291 | |||
0.01%, 4/20/2025 (a) | EUR | 944,000 | 944,494 | |||
0.01%, 10/20/2028 (a) | EUR | 384,000 | 345,809 | |||
0.01%, 2/20/2030 (a) | EUR | 1,491,000 | 1,283,190 | |||
0.01%, 2/20/2031 (a) | EUR | 1,864,000 | 1,554,540 | |||
0.01%, 10/20/2040 (a) | EUR | 514,000 | 312,667 | |||
0.25%, 10/20/2036 (a) | EUR | 413,000 | 299,197 | |||
0.50%, 4/20/2027 (a) | EUR | 1,629,000 | 1,574,691 | |||
0.50%, 2/20/2029 (a) | EUR | 1,487,000 | 1,367,569 | |||
0.70%, 4/20/2071 (a) | EUR | 580,000 | 273,780 | |||
0.75%, 10/20/2026 (a) | EUR | 2,619,000 | 2,599,775 | |||
0.75%, 2/20/2028 (a) | EUR | 1,176,000 | 1,128,322 | |||
0.75%, 3/20/2051 (a) | EUR | 764,000 | 467,329 | |||
0.85%, 6/30/2120 (a) | EUR | 700,000 | 307,869 | |||
0.90%, 2/20/2032 (a) | EUR | 1,954,000 | 1,721,077 | |||
1.20%, 10/20/2025 (a) | EUR | 1,585,000 | 1,624,969 | |||
1.50%, 2/20/2047 (a) | EUR | 1,002,000 | 786,859 | |||
1.50%, 11/2/2086 (a) | EUR | 222,000 | 140,834 | |||
Series 1, 1.65%, 10/21/2024 (a) | EUR | 1,298,000 | 1,356,836 | |||
1.85%, 5/23/2049 (a) | EUR | 500,000 | 413,920 | |||
2.00%, 7/15/2026 | EUR | 295,000 | 306,102 | |||
2.10%, 9/20/2117 (a) | EUR | 625,000 | 487,113 | |||
2.40%, 5/23/2034 (a) | EUR | 1,107,000 | 1,100,339 | |||
3.15%, 6/20/2044 (a) | EUR | 1,356,000 | 1,437,842 | |||
3.80%, 1/26/2062 (a) | EUR | 612,000 | 746,851 | |||
4.15%, 3/15/2037 (a) | EUR | 1,667,000 | 1,972,060 | |||
4.85%, 3/15/2026 (a) | EUR | 1,396,000 | 1,583,671 | |||
6.25%, 7/15/2027 | EUR | 1,447,000 | 1,770,922 | |||
29,146,918 | ||||||
BELGIUM — 4.1% | ||||||
Belgium Government Bond: | ||||||
Series 91, 0.01%, 10/22/2027 (a) | EUR | 1,671,000 | 1,558,651 | |||
Series 92, 0.01%, 10/22/2031 (a) | EUR | 1,813,000 | 1,481,764 | |||
Series 89, 0.10%, 6/22/2030 (a) | EUR | 1,425,200 | 1,234,312 | |||
Series 94, 0.35%, 6/22/2032 (a) | EUR | 2,892,000 | 2,390,102 | |||
Series 90, 0.40%, 6/22/2040 (a) | EUR | 1,127,000 | 733,380 |
Security Description | Principal Amount | Value | ||||
Series 82, 0.50%, 10/22/2024 (a) | EUR | 1,951,000 | $ 2,002,105 | |||
Series 93, 0.65%, 6/22/2071 (a) | EUR | 680,000 | 302,948 | |||
Series 74, 0.80%, 6/22/2025 (a) | EUR | 2,900,000 | 2,958,069 | |||
Series 81, 0.80%, 6/22/2027 (a) | EUR | 2,134,000 | 2,089,024 | |||
Series 85, 0.80%, 6/22/2028 (a) | EUR | 1,935,000 | 1,863,150 | |||
Series 87, 0.90%, 6/22/2029 (a) | EUR | 2,601,000 | 2,457,430 | |||
Series 77, 1.00%, 6/22/2026 (a) | EUR | 2,069,000 | 2,086,237 | |||
Series 75, 1.00%, 6/22/2031 (a) | EUR | 1,767,000 | 1,605,037 | |||
Series 86, 1.25%, 4/22/2033 (a) | EUR | 1,230,000 | 1,098,400 | |||
Series 95, 1.40%, 6/22/2053 (a) | EUR | 1,817,000 | 1,227,691 | |||
Series 84, 1.45%, 6/22/2037 (a) | EUR | 810,000 | 679,475 | |||
Series 78, 1.60%, 6/22/2047 (a) | EUR | 1,329,000 | 1,010,927 | |||
Series 88, 1.70%, 6/22/2050 (a) | EUR | 1,635,000 | 1,231,382 | |||
Series 76, 1.90%, 6/22/2038 (a) | EUR | 796,000 | 702,439 | |||
Series 80, 2.15%, 6/22/2066 (a) | EUR | 849,000 | 703,168 | |||
Series 83, 2.25%, 6/22/2057 (a) | EUR | 594,000 | 506,972 | |||
Series 72, 2.60%, 6/22/2024 (a) | EUR | 1,815,000 | 1,932,409 | |||
Series 96, 2.75%, 4/22/2039 (a) | EUR | 1,100,000 | 1,078,944 | |||
Series 73, 3.00%, 6/22/2034 (a) | EUR | 1,132,000 | 1,178,950 | |||
Series 71, 3.75%, 6/22/2045 | EUR | 1,243,000 | 1,406,577 | |||
Series 66, 4.00%, 3/28/2032 | EUR | 932,000 | 1,062,374 | |||
Series 60, 4.25%, 3/28/2041 (a) | EUR | 1,982,000 | 2,351,600 | |||
Series 64, 4.50%, 3/28/2026 (a) | EUR | 1,463,000 | 1,649,948 | |||
Series 44, 5.00%, 3/28/2035 (a) | EUR | 2,368,000 | 2,955,984 | |||
Series 31, 5.50%, 3/28/2028 | EUR | 2,112,000 | 2,553,610 | |||
46,093,059 | ||||||
CANADA — 4.6% | ||||||
Canadian Government Bond: | ||||||
0.25%, 4/1/2024 | CAD | 2,915,000 | 2,047,813 | |||
0.25%, 3/1/2026 | CAD | 2,575,000 | 1,706,013 | |||
0.50%, 9/1/2025 | CAD | 3,432,000 | 2,321,774 |
Security Description | Principal Amount | Value | ||||
0.50%, 12/1/2030 | CAD | 2,350,000 | $ 1,398,780 | |||
0.75%, 2/1/2024 | CAD | 1,125,000 | 798,662 | |||
0.75%, 10/1/2024 | CAD | 894,000 | 623,576 | |||
1.00%, 9/1/2026 | CAD | 1,500,000 | 1,009,513 | |||
1.00%, 6/1/2027 | CAD | 1,364,000 | 910,951 | |||
1.25%, 3/1/2025 | CAD | 1,470,000 | 1,025,434 | |||
1.25%, 3/1/2027 | CAD | 1,050,000 | 708,377 | |||
1.25%, 6/1/2030 | CAD | 3,895,000 | 2,491,644 | |||
1.50%, 5/1/2024 | CAD | 1,700,000 | 1,210,255 | |||
1.50%, 9/1/2024 | CAD | 1,139,000 | 806,323 | |||
1.50%, 4/1/2025 | CAD | 2,575,000 | 1,801,938 | |||
1.50%, 6/1/2026 | CAD | 1,403,000 | 966,995 | |||
1.50%, 6/1/2031 | CAD | 3,590,000 | 2,298,096 | |||
1.50%, 12/1/2031 | CAD | 2,490,000 | 1,581,853 | |||
1.75%, 12/1/2053 | CAD | 3,410,000 | 1,772,294 | |||
2.00%, 6/1/2028 | CAD | 1,350,000 | 933,557 | |||
2.00%, 6/1/2032 | CAD | 2,150,000 | 1,420,763 | |||
2.00%, 12/1/2051 | CAD | 5,035,000 | 2,822,985 | |||
2.25%, 3/1/2024 | CAD | 1,523,000 | 1,097,678 | |||
2.25%, 6/1/2025 | CAD | 910,000 | 648,075 | |||
2.25%, 6/1/2029 | CAD | 1,545,000 | 1,073,409 | |||
2.25%, 12/1/2029 | CAD | 750,000 | 519,310 | |||
2.50%, 6/1/2024 | CAD | 1,180,000 | 851,042 | |||
2.50%, 12/1/2032 | CAD | 3,150,000 | 2,168,419 | |||
2.75%, 8/1/2024 | CAD | 1,905,000 | 1,375,732 | |||
2.75%, 9/1/2027 | CAD | 2,425,000 | 1,738,680 | |||
2.75%, 12/1/2048 | CAD | 1,117,000 | 744,591 | |||
2.75%, 12/1/2064 | CAD | 685,000 | 445,112 | |||
3.00%, 11/1/2024 | CAD | 1,875,000 | 1,358,248 | |||
3.00%, 10/1/2025 | CAD | 1,525,000 | 1,101,936 | |||
3.50%, 3/1/2028 | CAD | 1,000,000 | 741,833 | |||
3.50%, 12/1/2045 | CAD | 1,532,000 | 1,159,139 | |||
3.75%, 2/1/2025 | CAD | 900,000 | 660,808 | |||
4.00%, 6/1/2041 | CAD | 1,108,000 | 887,451 | |||
5.00%, 6/1/2037 | CAD | 1,020,000 | 892,338 | |||
Series WL43, 5.75%, 6/1/2029 | CAD | 1,220,000 | 1,027,047 | |||
5.75%, 6/1/2033 | CAD | 1,370,000 | 1,222,846 | |||
Series VW17, 8.00%, 6/1/2027 | CAD | 370,000 | 324,523 | |||
Series A-76, 9.00%, 6/1/2025 | CAD | 330,000 | 272,374 | |||
50,968,187 | ||||||
CHILE — 0.3% | ||||||
Bonos de la Tesoreria de la Republica en pesos: | ||||||
2.30%, 10/1/2028 (a) | CLP | 170,000,000 | 166,666 | |||
2.50%, 3/1/2025 | CLP | 645,000,000 | 682,235 | |||
4.50%, 3/1/2026 | CLP | 410,000,000 | 459,842 | |||
4.70%, 9/1/2030 (a) | CLP | 420,000,000 | 474,723 | |||
5.00%, 10/1/2028 (a) | CLP | 250,000,000 | 283,964 | |||
5.00%, 3/1/2035 | CLP | 655,000,000 | 760,069 | |||
5.10%, 7/15/2050 | CLP | 295,000,000 | 344,806 |
Security Description | Principal Amount | Value | ||||
Series 30YR, 6.00%, 1/1/2043 | CLP | 330,000,000 | $ 427,300 | |||
7.00%, 5/1/2034 | CLP | 195,000,000 | 265,678 | |||
3,865,283 | ||||||
CHINA — 4.6% | ||||||
China Government Bond: | ||||||
1.99%, 9/15/2024 | CNY | 8,950,000 | 1,280,438 | |||
2.18%, 6/25/2024 | CNY | 20,600,000 | 2,956,122 | |||
2.18%, 8/25/2025 | CNY | 18,000,000 | 2,572,081 | |||
2.24%, 5/25/2025 | CNY | 5,550,000 | 795,443 | |||
Series INBK, 2.26%, 2/24/2025 | CNY | 11,800,000 | 1,689,111 | |||
2.44%, 10/15/2027 | CNY | 13,050,000 | 1,856,520 | |||
Series INBK, 2.47%, 9/2/2024 | CNY | 16,850,000 | 2,426,363 | |||
Series INBK, 2.48%, 4/15/2027 | CNY | 5,000,000 | 712,422 | |||
2.60%, 9/1/2032 | CNY | 7,500,000 | 1,054,879 | |||
2.69%, 8/15/2032 | CNY | 8,000,000 | 1,133,006 | |||
2.75%, 6/15/2029 | CNY | 2,550,000 | 365,606 | |||
Series INBK, 2.75%, 2/17/2032 | CNY | 13,650,000 | 1,937,357 | |||
2.76%, 5/15/2032 | CNY | 2,650,000 | 377,617 | |||
Series INBK, 2.85%, 6/4/2027 | CNY | 9,700,000 | 1,405,104 | |||
Series INBK, 2.89%, 11/18/2031 | CNY | 6,400,000 | 919,393 | |||
3.12%, 10/25/2052 | CNY | 3,000,000 | 425,551 | |||
Series 1904, 3.19%, 4/11/2024 | CNY | 15,800,000 | 2,298,392 | |||
Series 1907, 3.25%, 6/6/2026 | CNY | 20,150,000 | 2,965,178 | |||
Series 1827, 3.25%, 11/22/2028 | CNY | 63,850,000 | 9,442,483 | |||
Series INBK, 3.27%, 11/19/2030 | CNY | 13,600,000 | 2,019,546 | |||
Series INBK, 3.32%, 4/15/2052 | CNY | 14,250,000 | 2,092,393 | |||
Series INBK, 3.39%, 3/16/2050 | CNY | 7,550,000 | 1,106,440 | |||
Series INBK, 3.76%, 3/22/2071 | CNY | 4,000,000 | 634,142 | |||
Series INBK, 3.81%, 9/14/2050 | CNY | 2,500,000 | 394,810 | |||
Series 1824, 4.08%, 10/22/2048 | CNY | 45,380,000 | 7,470,111 | |||
Series 2417, 4.63%, 8/11/2034 | CNY | 5,000,000 | 841,999 | |||
51,172,507 | ||||||
COLOMBIA — 0.5% | ||||||
Colombian TES: | ||||||
Series B, 5.75%, 11/3/2027 | COP | 1,875,000,000 | 292,483 |
Security Description | Principal Amount | Value | ||||
Series B, 6.00%, 4/28/2028 | COP | 6,475,000,000 | $ 996,325 | |||
Series B, 6.25%, 11/26/2025 | COP | 695,000,000 | 122,616 | |||
Series B, 7.00%, 3/26/2031 | COP | 1,100,000,000 | 160,024 | |||
Series B, 7.00%, 6/30/2032 | COP | 7,790,000,000 | 1,091,261 | |||
Series B, 7.25%, 10/26/2050 | COP | 4,757,000,000 | 556,132 | |||
Series B, 7.50%, 8/26/2026 | COP | 7,658,000,000 | 1,348,423 | |||
Series B, 9.25%, 5/28/2042 | COP | 6,185,000,000 | 921,148 | |||
5,488,412 | ||||||
CYPRUS — 0.1% | ||||||
Cyprus Government International Bond: | ||||||
Series EMTN, 0.63%, 1/21/2030 | EUR | 150,000 | 125,356 | |||
Series EMTN, 0.95%, 1/20/2032 | EUR | 325,000 | 258,533 | |||
Series EMTN, 1.25%, 1/21/2040 | EUR | 100,000 | 69,810 | |||
Series EMTN, 1.50%, 4/16/2027 | EUR | 150,000 | 145,429 | |||
Series EMTN, 2.38%, 9/25/2028 | EUR | 250,000 | 244,868 | |||
Series EMTN, 2.75%, 6/27/2024 | EUR | 98,000 | 103,731 | |||
Series EMTN, 2.75%, 2/26/2034 | EUR | 100,000 | 91,356 | |||
Series EMTN, 2.75%, 5/3/2049 | EUR | 250,000 | 212,711 | |||
Series EMTN, 4.25%, 11/4/2025 | EUR | 100,000 | 108,154 | |||
Series EMTN, 4.25%, 11/4/2025 | EUR | 70,000 | 75,708 | |||
1,435,656 | ||||||
CZECH REPUBLIC — 0.9% | ||||||
Czech Republic Government Bond: | ||||||
Series 135, 0.01%, 12/12/2024 | CZK | 6,100,000 | 242,712 | |||
Series 130, 0.05%, 11/29/2029 | CZK | 10,750,000 | 335,866 | |||
Series 100, 0.25%, 2/10/2027 | CZK | 15,960,000 | 576,808 | |||
Series 94, 0.95%, 5/15/2030 | CZK | 14,680,000 | 483,154 | |||
Series 95, 1.00%, 6/26/2026 | CZK | 14,090,000 | 538,124 | |||
Series 121, 1.20%, 3/13/2031 | CZK | 21,130,000 | 689,955 | |||
Series 120, 1.25%, 2/14/2025 | CZK | 16,100,000 | 651,413 |
Security Description | Principal Amount | Value | ||||
Series 125, 1.50%, 4/24/2040 | CZK | 9,600,000 | $ 253,234 | |||
Series 138, 1.75%, 6/23/2032 | CZK | 11,300,000 | 374,470 | |||
Series 142, 1.95%, 7/30/2037 | CZK | 3,500,000 | 107,326 | |||
Series 103, 2.00%, 10/13/2033 | CZK | 20,200,000 | 669,353 | |||
Series 89, 2.40%, 9/17/2025 | CZK | 17,190,000 | 703,262 | |||
Series 78, 2.50%, 8/25/2028 | CZK | 18,700,000 | 715,429 | |||
Series 105, 2.75%, 7/23/2029 | CZK | 21,430,000 | 817,166 | |||
Series 145, 3.50%, 5/30/2035 | CZK | 9,400,000 | 329,781 | |||
Series 49, 4.20%, 12/4/2036 | CZK | 7,560,000 | 307,350 | |||
Series 53, 4.85%, 11/26/2057 | CZK | 1,750,000 | 75,004 | |||
Series 8Y, 5.00%, 9/30/2030 | CZK | 11,950,000 | 521,239 | |||
Series 6Y, 5.50%, 12/12/2028 | CZK | 4,100,000 | 183,696 | |||
Series 58, 5.70%, 5/25/2024 | CZK | 6,990,000 | 309,009 | |||
6.00%, 2/26/2026 | CZK | 15,050,000 | 679,285 | |||
9,563,636 | ||||||
DENMARK — 0.8% | ||||||
Denmark Government Bond: | ||||||
0.01%, 11/15/2024 | DKK | 4,275,000 | 582,616 | |||
Series 10Y, 0.01%, 11/15/2031 | DKK | 10,932,000 | 1,234,572 | |||
Series G, 0.01%, 11/15/2031 | DKK | 875,000 | 99,237 | |||
Series 30Y, 0.25%, 11/15/2052 | DKK | 7,167,000 | 551,527 | |||
Series 10Y, 0.50%, 11/15/2027 | DKK | 7,522,000 | 972,209 | |||
Series 10YR, 0.50%, 11/15/2029 | DKK | 14,471,000 | 1,793,774 | |||
1.75%, 11/15/2025 | DKK | 5,418,000 | 756,776 | |||
4.50%, 11/15/2039 | DKK | 13,049,000 | 2,333,902 | |||
7.00%, 11/10/2024 | DKK | 1,002,000 | 154,488 | |||
8,479,101 | ||||||
ESTONIA — 0.0% (b) | ||||||
Egypt Government International Bond 4.00%, 10/12/2032 | EUR | 175,000 | 190,800 | |||
Estonia Government International Bond 0.13%, 6/10/2030 | EUR | 100,000 | 83,560 | |||
274,360 |
Security Description | Principal Amount | Value | ||||
FINLAND — 1.1% | ||||||
Finland Government Bond: | ||||||
0.01%, 9/15/2024 (a) | EUR | 591,000 | $ 602,384 | |||
0.01%, 9/15/2026 (a) | EUR | 768,000 | 738,576 | |||
0.01%, 9/15/2030 (a) | EUR | 575,000 | 487,729 | |||
0.13%, 9/15/2031 (a) | EUR | 992,000 | 827,499 | |||
0.13%, 4/15/2036 (a) | EUR | 471,000 | 340,546 | |||
0.13%, 4/15/2052 (a) | EUR | 450,000 | 225,243 | |||
0.25%, 9/15/2040 (a) | EUR | 685,000 | 444,642 | |||
0.50%, 4/15/2026 (a) | EUR | 814,000 | 809,877 | |||
0.50%, 9/15/2027 (a) | EUR | 1,273,000 | 1,218,797 | |||
0.50%, 9/15/2028 (a) | EUR | 454,000 | 424,223 | |||
0.50%, 9/15/2029 (a) | EUR | 748,000 | 680,537 | |||
0.50%, 4/15/2043 (a) | EUR | 467,000 | 306,619 | |||
0.75%, 4/15/2031 (a) | EUR | 737,000 | 657,551 | |||
0.88%, 9/15/2025 (a) | EUR | 502,000 | 510,037 | |||
1.13%, 4/15/2034 (a) | EUR | 716,000 | 622,313 | |||
1.38%, 4/15/2027 (a) | EUR | 258,000 | 258,188 | |||
Series 30Y, 1.38%, 4/15/2047 (a) | EUR | 626,000 | 490,985 | |||
1.50%, 9/15/2032 (a) | EUR | 430,000 | 398,931 | |||
2.00%, 4/15/2024 (a) | EUR | 514,000 | 543,146 | |||
2.63%, 7/4/2042 (a) | EUR | 548,000 | 544,615 | |||
2.75%, 7/4/2028 (a) | EUR | 804,000 | 852,919 | |||
4.00%, 7/4/2025 (a) | EUR | 699,000 | 768,946 | |||
12,754,303 | ||||||
FRANCE — 5.0% | ||||||
France Government Bond OAT: | ||||||
0.01%, 3/25/2024 | EUR | 1,260,000 | 1,298,790 | |||
0.01%, 3/25/2025 | EUR | 636,000 | 637,979 | |||
0.01%, 2/25/2026 | EUR | 1,706,000 | 1,670,183 | |||
0.01%, 11/25/2029 | EUR | 1,278,000 | 1,124,832 | |||
0.01%, 11/25/2030 | EUR | 1,673,000 | 1,425,068 | |||
0.01%, 11/25/2031 | EUR | 1,278,000 | 1,053,391 | |||
0.25%, 11/25/2026 | EUR | 1,430,000 | 1,386,094 | |||
0.50%, 5/25/2025 | EUR | 1,559,000 | 1,576,743 | |||
0.50%, 5/25/2026 | EUR | 1,853,000 | 1,833,683 | |||
0.50%, 5/25/2029 | EUR | 1,176,000 | 1,085,172 | |||
0.50%, 5/25/2040 (a) | EUR | 567,000 | 383,797 | |||
0.50%, 5/25/2072 (a) | EUR | 417,000 | 166,673 | |||
0.75%, 5/25/2028 | EUR | 1,666,000 | 1,595,643 | |||
0.75%, 11/25/2028 | EUR | 1,815,000 | 1,723,257 | |||
0.75%, 5/25/2052 | EUR | 1,439,000 | 823,997 | |||
1.00%, 11/25/2025 | EUR | 1,680,000 | 1,707,074 | |||
1.00%, 5/25/2027 | EUR | 1,347,000 | 1,332,052 | |||
1.25%, 5/25/2034 | EUR | 1,227,000 | 1,070,529 | |||
1.25%, 5/25/2036 (a) | EUR | 1,770,000 | 1,480,207 | |||
1.50%, 5/25/2031 | EUR | 1,693,000 | 1,626,280 | |||
1.50%, 5/25/2050 (a) | EUR | 1,042,000 | 761,188 | |||
1.75%, 11/25/2024 | EUR | 1,227,000 | 1,283,777 | |||
1.75%, 6/25/2039 (a) | EUR | 1,015,000 | 883,464 | |||
1.75%, 5/25/2066 (a) | EUR | 485,000 | 353,149 | |||
2.00%, 5/25/2048 (a) | EUR | 1,198,000 | 998,966 |
Security Description | Principal Amount | Value | ||||
2.25%, 5/25/2024 | EUR | 871,000 | $ 922,669 | |||
2.50%, 5/25/2030 | EUR | 1,764,000 | 1,841,199 | |||
2.75%, 10/25/2027 | EUR | 1,792,000 | 1,910,641 | |||
3.25%, 5/25/2045 | EUR | 1,007,000 | 1,068,723 | |||
3.50%, 4/25/2026 | EUR | 1,586,000 | 1,730,113 | |||
4.00%, 10/25/2038 | EUR | 956,000 | 1,108,831 | |||
4.00%, 4/25/2055 (a) | EUR | 806,000 | 979,093 | |||
4.00%, 4/25/2060 | EUR | 552,000 | 684,777 | |||
4.50%, 4/25/2041 | EUR | 1,330,000 | 1,654,331 | |||
4.75%, 4/25/2035 | EUR | 966,000 | 1,187,900 | |||
5.50%, 4/25/2029 | EUR | 1,431,000 | 1,759,932 | |||
5.75%, 10/25/2032 | EUR | 875,000 | 1,146,659 | |||
6.00%, 10/25/2025 | EUR | 1,051,000 | 1,217,287 | |||
French Republic Government Bond OAT: | ||||||
0.01%, 2/25/2024 | EUR | 1,200,000 | 1,239,986 | |||
0.01%, 2/25/2025 | EUR | 903,000 | 907,260 | |||
0.01%, 2/25/2027 | EUR | 1,505,000 | 1,434,227 | |||
0.01%, 5/25/2032 | EUR | 1,550,000 | 1,251,794 | |||
0.50%, 6/25/2044 (a) | EUR | 500,000 | 310,700 | |||
0.75%, 2/25/2028 | EUR | 1,950,000 | 1,877,156 | |||
0.75%, 5/25/2053 (a) | EUR | 700,000 | 389,913 | |||
2.00%, 11/25/2032 | EUR | 1,800,000 | 1,752,362 | |||
55,657,541 | ||||||
GERMANY — 4.6% | ||||||
Bundesobligation 1.30%, 10/15/2027 | EUR | 1,451,000 | 1,464,847 | |||
Bundesrepublik Deutschland: | ||||||
0.01%, 8/15/2026 | EUR | 1,361,000 | 1,329,811 | |||
0.01%, 8/15/2029 | EUR | 1,029,000 | 935,064 | |||
0.01%, 8/15/2030 | EUR | 1,566,000 | 1,390,970 | |||
Series G, 0.01%, 8/15/2030 | EUR | 780,000 | 692,794 | |||
0.01%, 2/15/2031 | EUR | 1,239,000 | 1,085,420 | |||
0.01%, 8/15/2050 | EUR | 1,287,000 | 717,686 | |||
0.25%, 2/15/2027 | EUR | 1,897,000 | 1,850,990 | |||
0.25%, 8/15/2028 | EUR | 1,230,000 | 1,162,196 | |||
0.50%, 8/15/2027 | EUR | 1,263,000 | 1,233,483 | |||
0.50%, 2/15/2028 | EUR | 1,238,000 | 1,197,229 | |||
1.25%, 8/15/2048 | EUR | 1,286,000 | 1,067,517 | |||
Series 98, 4.75%, 7/4/2028 | EUR | 630,000 | 748,841 | |||
Series 08, 4.75%, 7/4/2040 | EUR | 100,000 | 138,796 | |||
Series 94, 6.25%, 1/4/2024 | EUR | 265,000 | 293,826 | |||
Bundesrepublik Deutschland Bundesanleihe: | ||||||
0.01%, 11/15/2028 | EUR | 890,000 | 824,080 | |||
0.01%, 8/15/2031 | EUR | 1,761,000 | 1,524,459 | |||
Series G, 0.01%, 8/15/2031 | EUR | 708,000 | 613,097 |
Security Description | Principal Amount | Value | ||||
0.01%, 2/15/2032 | EUR | 1,582,000 | $ 1,350,434 | |||
Series G, 0.01%, 8/15/2050 | EUR | 482,000 | 269,116 | |||
0.01%, 8/15/2052 | EUR | 825,000 | 439,848 | |||
1.00%, 5/15/2038 | EUR | 450,000 | 383,907 | |||
1.70%, 8/15/2032 | EUR | 1,300,000 | 1,293,357 | |||
1.80%, 8/15/2053 | EUR | 200,000 | 183,938 | |||
Bundesschatzanweisungen: | ||||||
0.01%, 3/15/2024 | EUR | 1,041,000 | 1,078,017 | |||
0.20%, 6/14/2024 | EUR | 684,000 | 705,485 | |||
Federal Republic of Germany: | ||||||
Series 179, 0.01%, 4/5/2024 | EUR | 899,000 | 930,443 | |||
Series 180, 0.01%, 10/18/2024 | EUR | 1,201,000 | 1,224,664 | |||
Series 181, 0.01%, 4/11/2025 | EUR | 904,000 | 911,315 | |||
Series 182, 0.01%, 10/10/2025 | EUR | 1,241,000 | 1,236,645 | |||
Series 183, 0.01%, 4/10/2026 | EUR | 1,446,000 | 1,424,073 | |||
0.01%, 2/15/2030 | EUR | 982,000 | 882,455 | |||
0.25%, 2/15/2029 | EUR | 1,066,000 | 997,165 | |||
0.50%, 2/15/2025 | EUR | 1,316,000 | 1,345,849 | |||
0.50%, 2/15/2026 | EUR | 1,561,000 | 1,567,434 | |||
1.00%, 8/15/2024 | EUR | 1,040,000 | 1,083,177 | |||
1.00%, 8/15/2025 | EUR | 945,000 | 969,843 | |||
1.50%, 5/15/2024 | EUR | 909,000 | 957,144 | |||
1.75%, 2/15/2024 | EUR | 1,012,000 | 1,071,198 | |||
2.50%, 7/4/2044 | EUR | 1,282,000 | 1,366,843 | |||
2.50%, 8/15/2046 | EUR | 1,160,000 | 1,245,695 | |||
3.25%, 7/4/2042 | EUR | 972,000 | 1,150,730 | |||
Series 05, 4.00%, 1/4/2037 | EUR | 1,179,000 | 1,467,010 | |||
Series 2007, 4.25%, 7/4/2039 | EUR | 778,000 | 1,014,397 | |||
Series 03, 4.75%, 7/4/2034 | EUR | 932,000 | 1,213,291 | |||
Series 08, 4.75%, 7/4/2040 | EUR | 644,000 | 893,849 | |||
Series 00, 5.50%, 1/4/2031 | EUR | 904,000 | 1,169,264 | |||
Series 98, 5.63%, 1/4/2028 | EUR | 875,000 | 1,069,159 | |||
Series 00, 6.25%, 1/4/2030 | EUR | 506,000 | 669,024 | |||
Series 97, 6.50%, 7/4/2027 | EUR | 869,000 | 1,082,070 | |||
50,917,945 | ||||||
HONG KONG — 0.1% | ||||||
Hong Kong Government Bond Programme: | ||||||
0.36%, 4/15/2024 | HKD | 650,000 | 79,270 | |||
1.25%, 6/29/2027 | HKD | 1,000,000 | 115,224 | |||
1.59%, 3/4/2036 | HKD | 200,000 | 19,578 |
Security Description | Principal Amount | Value | ||||
1.68%, 1/21/2026 | HKD | 1,350,000 | $ 161,942 | |||
1.79%, 4/14/2025 | HKD | 1,100,000 | 134,033 | |||
1.89%, 3/2/2032 | HKD | 800,000 | 88,642 | |||
1.97%, 1/17/2029 | HKD | 600,000 | 69,800 | |||
2.02%, 3/7/2034 | HKD | 300,000 | 31,916 | |||
2.13%, 7/16/2030 | HKD | 500,000 | 57,414 | |||
2.22%, 8/7/2024 | HKD | 1,600,000 | 198,765 | |||
956,584 | ||||||
HUNGARY — 0.4% | ||||||
Hungary Government Bond: | ||||||
Series 25/C, 1.00%, 11/26/2025 | HUF | 140,930,000 | 287,136 | |||
Series 26/E, 1.50%, 4/22/2026 | HUF | 262,000,000 | 523,942 | |||
Series 26/F, 1.50%, 8/26/2026 | HUF | 65,000,000 | 126,296 | |||
Series 29/A, 2.00%, 5/23/2029 | HUF | 105,000,000 | 185,924 | |||
Series 33/A, 2.25%, 4/20/2033 | HUF | 141,720,000 | 218,576 | |||
Series 34/A, 2.25%, 6/22/2034 | HUF | 40,000,000 | 58,889 | |||
Series 24/C, 2.50%, 10/24/2024 | HUF | 74,830,000 | 170,713 | |||
Series 26/D, 2.75%, 12/22/2026 | HUF | 132,080,000 | 264,534 | |||
Series 24/B, 3.00%, 6/26/2024 | HUF | 118,130,000 | 277,115 | |||
Series 27/A, 3.00%, 10/27/2027 | HUF | 156,260,000 | 302,386 | |||
Series 30/A, 3.00%, 8/21/2030 | HUF | 129,210,000 | 230,798 | |||
Series 38/A, 3.00%, 10/27/2038 | HUF | 103,500,000 | 145,727 | |||
Series 41/A, 3.00%, 4/25/2041 | HUF | 45,000,000 | 58,610 | |||
Series 31/A, 3.25%, 10/22/2031 | HUF | 135,000,000 | 235,628 | |||
Series 28/B, 4.50%, 3/23/2028 | HUF | 151,000,000 | 311,336 | |||
Series 32/A, 4.75%, 11/24/2032 | HUF | 155,000,000 | 298,667 | |||
Series 25/B, 5.50%, 6/24/2025 | HUF | 111,840,000 | 260,765 | |||
Series 28/A, 6.75%, 10/22/2028 | HUF | 92,270,000 | 212,711 | |||
4,169,753 | ||||||
INDONESIA — 2.9% | ||||||
Indonesia Treasury Bond: | ||||||
Series FR90, 5.13%, 4/15/2027 | IDR | 10,006,000,000 | 618,074 | |||
Series FR86, 5.50%, 4/15/2026 | IDR | 22,730,000,000 | 1,430,161 |
Security Description | Principal Amount | Value | ||||
Series FR64, 6.13%, 5/15/2028 | IDR | 70,718,000,000 | $ 4,442,300 | |||
Series FR88, 6.25%, 6/15/2036 | IDR | 34,763,000,000 | 2,090,458 | |||
Series FR95, 6.38%, 8/15/2028 | IDR | 21,375,000,000 | 1,357,949 | |||
Series FR91, 6.38%, 4/15/2032 | IDR | 14,280,000,000 | 882,182 | |||
Series FR93, 6.38%, 7/15/2037 | IDR | 14,885,000,000 | 919,662 | |||
Series FR81, 6.50%, 6/15/2025 | IDR | 26,839,000,000 | 1,738,649 | |||
Series FR65, 6.63%, 5/15/2033 | IDR | 71,300,000,000 | 4,453,305 | |||
Series FR89, 6.88%, 8/15/2051 | IDR | 9,515,000,000 | 582,910 | |||
Series FR59, 7.00%, 5/15/2027 | IDR | 44,850,000,000 | 2,949,637 | |||
Series FR96, 7.00%, 2/15/2033 | IDR | 18,475,000,000 | 1,188,547 | |||
Series FR92, 7.13%, 6/15/2042 | IDR | 18,730,000,000 | 1,204,784 | |||
Series FR76, 7.38%, 5/15/2048 | IDR | 10,875,000,000 | 703,670 | |||
Series FR75, 7.50%, 5/15/2038 | IDR | 59,566,000,000 | 3,937,590 | |||
Series FR70, 8.38%, 3/15/2024 | IDR | 46,510,000,000 | 3,085,024 | |||
Perusahaan Penerbit SBSN Indonesia: | ||||||
Series PBS, 4.88%, 7/15/2026 | IDR | 6,200,000,000 | 379,486 | |||
Series PBS, 6.75%, 6/15/2047 | IDR | 7,500,000,000 | 449,145 | |||
32,413,533 | ||||||
IRELAND — 1.4% | ||||||
Ireland Government Bond: | ||||||
0.01%, 10/18/2031 | EUR | 1,301,000 | 1,070,163 | |||
0.20%, 5/15/2027 | EUR | 1,451,000 | 1,383,423 | |||
0.20%, 10/18/2030 | EUR | 997,000 | 862,409 | |||
0.35%, 10/18/2032 | EUR | 602,000 | 498,462 | |||
0.40%, 5/15/2035 | EUR | 740,900 | 566,634 | |||
0.55%, 4/22/2041 | EUR | 694,000 | 465,216 | |||
0.90%, 5/15/2028 | EUR | 953,000 | 920,636 | |||
1.00%, 5/15/2026 | EUR | 1,610,000 | 1,628,437 | |||
1.10%, 5/15/2029 | EUR | 1,280,000 | 1,225,127 | |||
1.30%, 5/15/2033 | EUR | 584,000 | 524,096 | |||
1.35%, 3/18/2031 | EUR | 937,000 | 889,181 | |||
1.50%, 5/15/2050 | EUR | 1,102,000 | 813,089 | |||
1.70%, 5/15/2037 | EUR | 669,000 | 588,956 | |||
2.00%, 2/18/2045 | EUR | 1,160,000 | 991,101 | |||
2.40%, 5/15/2030 | EUR | 1,143,000 | 1,180,306 | |||
3.40%, 3/18/2024 | EUR | 792,000 | 852,024 | |||
5.40%, 3/13/2025 | EUR | 1,131,000 | 1,273,093 | |||
15,732,353 |
Security Description | Principal Amount | Value | ||||
ISRAEL — 0.8% | ||||||
Israel Government Bond: | ||||||
Series 1024, 0.40%, 10/31/2024 | ILS | 2,015,000 | $ 535,908 | |||
Series 0425, 0.50%, 4/30/2025 | ILS | 3,020,000 | 795,231 | |||
Series 0226, 0.50%, 2/27/2026 | ILS | 2,350,000 | 603,582 | |||
Series 0330, 1.00%, 3/31/2030 | ILS | 4,575,000 | 1,079,268 | |||
Series 0432, 1.30%, 4/30/2032 | ILS | 1,950,000 | 459,246 | |||
Series 0537, 1.50%, 5/31/2037 | ILS | 1,600,000 | 342,331 | |||
Series 0825, 1.75%, 8/31/2025 | ILS | 1,904,000 | 512,976 | |||
Series 0327, 2.00%, 3/31/2027 | ILS | 1,590,000 | 420,757 | |||
Series 0928, 2.25%, 9/28/2028 | ILS | 2,725,000 | 715,011 | |||
Series 1152, 2.80%, 11/29/2052 | ILS | 400,000 | 95,417 | |||
Series 0324, 3.75%, 3/31/2024 | ILS | 2,317,000 | 653,780 | |||
Series 0347, 3.75%, 3/31/2047 | ILS | 2,585,000 | 733,008 | |||
Series 0142, 5.50%, 1/31/2042 | ILS | 3,111,000 | 1,125,305 | |||
Series 1026, 6.25%, 10/30/2026 | ILS | 1,490,000 | 459,806 | |||
8,531,626 | ||||||
ITALY — 4.6% | ||||||
Italy Buoni Poliennali Del Tesoro: | ||||||
Zero Coupon, 8/1/2026 | EUR | 1,270,000 | 1,189,875 | |||
0.01%, 1/15/2024 | EUR | 521,000 | 538,894 | |||
0.01%, 1/30/2024 | EUR | 549,000 | 567,106 | |||
0.01%, 4/15/2024 | EUR | 575,000 | 589,947 | |||
0.01%, 8/15/2024 | EUR | 200,000 | 202,830 | |||
0.01%, 12/15/2024 | EUR | 500,000 | 501,714 | |||
0.01%, 4/1/2026 | EUR | 1,345,000 | 1,275,484 | |||
0.25%, 3/15/2028 | EUR | 875,000 | 771,523 | |||
0.35%, 2/1/2025 | EUR | 1,367,000 | 1,371,680 | |||
0.50%, 2/1/2026 | EUR | 1,059,000 | 1,027,842 | |||
0.60%, 8/1/2031 (a) | EUR | 1,296,000 | 1,013,190 | |||
0.90%, 4/1/2031 | EUR | 973,000 | 792,593 | |||
0.95%, 8/1/2030 | EUR | 954,000 | 798,589 | |||
0.95%, 12/1/2031 (a) | EUR | 1,190,000 | 947,567 | |||
0.95%, 6/1/2032 | EUR | 650,000 | 508,987 | |||
0.95%, 3/1/2037 (a) | EUR | 464,000 | 309,002 | |||
1.20%, 8/15/2025 | EUR | 614,000 | 617,575 | |||
1.25%, 12/1/2026 | EUR | 688,000 | 670,113 | |||
1.35%, 4/1/2030 | EUR | 897,000 | 786,169 | |||
1.45%, 11/15/2024 | EUR | 334,000 | 345,179 |
Security Description | Principal Amount | Value | |||
1.45%, 5/15/2025 | EUR | 600,000 | $ 612,815 | ||
1.45%, 3/1/2036 (a) | EUR | 518,000 | 380,074 | ||
1.50%, 4/30/2045 (a) | EUR | 500,000 | 301,727 | ||
1.60%, 6/1/2026 | EUR | 898,000 | 896,076 | ||
1.65%, 12/1/2030 (a) | EUR | 919,000 | 805,651 | ||
1.70%, 9/1/2051 (a) | EUR | 600,000 | 355,662 | ||
1.75%, 5/30/2024 | EUR | 446,000 | 466,075 | ||
1.75%, 7/1/2024 | EUR | 400,000 | 417,775 | ||
1.80%, 3/1/2041 (a) | EUR | 500,000 | 345,727 | ||
1.85%, 5/15/2024 | EUR | 355,000 | 372,228 | ||
2.00%, 2/1/2028 | EUR | 826,000 | 805,664 | ||
2.05%, 8/1/2027 | EUR | 1,153,000 | 1,141,743 | ||
2.15%, 9/1/2052 (a) | EUR | 450,000 | 290,954 | ||
2.15%, 3/1/2072 (a) | EUR | 550,000 | 328,433 | ||
2.20%, 6/1/2027 | EUR | 750,000 | 751,676 | ||
2.25%, 9/1/2036 (a) | EUR | 295,000 | 239,274 | ||
2.45%, 9/1/2033 (a) | EUR | 870,000 | 756,538 | ||
2.50%, 11/15/2025 | EUR | 843,000 | 876,426 | ||
2.65%, 12/1/2027 | EUR | 894,000 | 900,909 | ||
2.80%, 12/1/2028 | EUR | 906,000 | 906,128 | ||
2.80%, 6/15/2029 | EUR | 750,000 | 737,961 | ||
2.80%, 3/1/2067 (a) | EUR | 245,000 | 175,996 | ||
2.95%, 9/1/2038 (a) | EUR | 658,000 | 566,084 | ||
3.00%, 8/1/2029 | EUR | 602,000 | 601,204 | ||
3.10%, 3/1/2040 (a) | EUR | 473,000 | 406,931 | ||
3.25%, 3/1/2038 (a) | EUR | 300,000 | 267,530 | ||
3.45%, 3/1/2048 (a) | EUR | 691,000 | 606,549 | ||
3.85%, 9/1/2049 (a) | EUR | 530,000 | 494,808 | ||
7.25%, 11/1/2026 | EUR | 703,000 | 847,587 | ||
Republic of Italy: | |||||
1.50%, 6/1/2025 | EUR | 405,000 | 413,414 | ||
1.65%, 3/1/2032 (a) | EUR | 1,277,000 | 1,081,171 | ||
1.85%, 7/1/2025 (a) | EUR | 444,000 | 455,447 | ||
2.00%, 12/1/2025 | EUR | 899,000 | 919,374 | ||
2.10%, 7/15/2026 | EUR | 727,000 | 735,844 | ||
Series CAC, 2.45%, 9/1/2050 (a) | EUR | 400,000 | 284,092 | ||
2.50%, 12/1/2024 | EUR | 542,000 | 571,101 | ||
2.70%, 3/1/2047 (a) | EUR | 335,000 | 258,819 | ||
3.25%, 9/1/2046 (a) | EUR | 631,000 | 539,651 | ||
3.35%, 3/1/2035 (a) | EUR | 998,000 | 923,105 | ||
3.50%, 3/1/2030 (a) | EUR | 866,000 | 886,256 | ||
3.75%, 9/1/2024 | EUR | 430,000 | 462,733 | ||
4.00%, 2/1/2037 (a) | EUR | 969,000 | 965,869 | ||
4.50%, 3/1/2024 | EUR | 665,000 | 720,693 | ||
4.50%, 3/1/2026 (a) | EUR | 1,157,000 | 1,267,061 | ||
4.75%, 9/1/2028 (a) | EUR | 887,000 | 982,254 | ||
4.75%, 9/1/2044 (a) | EUR | 781,000 | 831,938 | ||
5.00%, 3/1/2025 (a) | EUR | 550,000 | 606,834 | ||
5.00%, 8/1/2034 (a) | EUR | 906,000 | 985,512 | ||
5.00%, 8/1/2039 (a) | EUR | 579,000 | 632,966 | ||
5.00%, 9/1/2040 (a) | EUR | 808,000 | 886,422 | ||
5.25%, 11/1/2029 | EUR | 1,119,000 | 1,277,829 | ||
5.75%, 2/1/2033 | EUR | 567,000 | 658,892 | ||
6.00%, 5/1/2031 | EUR | 945,000 | 1,129,093 |
Security Description | Principal Amount | Value | ||||
6.50%, 11/1/2027 | EUR | 946,000 | $ 1,130,045 | |||
51,088,479 | ||||||
JAPAN — 23.2% | ||||||
Government of Japan 10 Year Bond: | ||||||
Series 342, 0.10%, 3/20/2026 | JPY | 273,450,000 | 2,074,257 | |||
Series 343, 0.10%, 6/20/2026 | JPY | 240,000,000 | 1,819,158 | |||
Series 344, 0.10%, 9/20/2026 | JPY | 314,550,000 | 2,381,516 | |||
Series 345, 0.10%, 12/20/2026 | JPY | 311,250,000 | 2,353,394 | |||
Series 346, 0.10%, 3/20/2027 | JPY | 280,000,000 | 2,113,714 | |||
Series 347, 0.10%, 6/20/2027 | JPY | 240,000,000 | 1,809,172 | |||
Series 348, 0.10%, 9/20/2027 | JPY | 314,000,000 | 2,364,858 | |||
Series 349, 0.10%, 12/20/2027 | JPY | 277,550,000 | 2,086,868 | |||
Series 350, 0.10%, 3/20/2028 | JPY | 302,550,000 | 2,270,805 | |||
Series 351, 0.10%, 6/20/2028 | JPY | 197,500,000 | 1,479,817 | |||
Series 352, 0.10%, 9/20/2028 | JPY | 242,400,000 | 1,813,577 | |||
Series 353, 0.10%, 12/20/2028 | JPY | 229,300,000 | 1,712,473 | |||
Series 354, 0.10%, 3/20/2029 | JPY | 306,200,000 | 2,282,651 | |||
Series 355, 0.10%, 6/20/2029 | JPY | 210,600,000 | 1,566,751 | |||
Series 356, 0.10%, 9/20/2029 | JPY | 302,000,000 | 2,241,911 | |||
Series 357, 0.10%, 12/20/2029 | JPY | 365,000,000 | 2,703,703 | |||
Series 358, 0.10%, 3/20/2030 | JPY | 427,500,000 | 3,157,496 | |||
Series 359, 0.10%, 6/20/2030 | JPY | 479,450,000 | 3,533,239 | |||
Series 361, 0.10%, 12/20/2030 | JPY | 512,950,000 | 3,765,340 | |||
Series 337, 0.30%, 12/20/2024 | JPY | 163,300,000 | 1,243,813 | |||
Series 341, 0.30%, 12/20/2025 | JPY | 284,500,000 | 2,170,993 | |||
Series 338, 0.40%, 3/20/2025 | JPY | 287,650,000 | 2,196,796 | |||
Series 339, 0.40%, 6/20/2025 | JPY | 346,700,000 | 2,649,682 | |||
Series 340, 0.40%, 9/20/2025 | JPY | 297,150,000 | 2,272,749 | |||
Series 335, 0.50%, 9/20/2024 | JPY | 355,100,000 | 2,712,561 | |||
Series 336, 0.50%, 12/20/2024 | JPY | 119,700,000 | 915,279 |
Security Description | Principal Amount | Value | |||
Series 333, 0.60%, 3/20/2024 | JPY | 317,250,000 | $ 2,421,362 | ||
Series 334, 0.60%, 6/20/2024 | JPY | 298,300,000 | 2,279,578 | ||
Government of Japan 20 Year Bond: | |||||
Series 157, 0.20%, 6/20/2036 | JPY | 124,650,000 | 860,264 | ||
Series 169, 0.30%, 6/20/2039 | JPY | 125,000,000 | 826,992 | ||
Series 170, 0.30%, 9/20/2039 | JPY | 47,750,000 | 314,587 | ||
Series 171, 0.30%, 12/20/2039 | JPY | 65,400,000 | 428,925 | ||
Series 156, 0.40%, 3/20/2036 | JPY | 113,900,000 | 810,754 | ||
Series 168, 0.40%, 3/20/2039 | JPY | 181,000,000 | 1,223,549 | ||
Series 172, 0.40%, 3/20/2040 | JPY | 169,150,000 | 1,124,316 | ||
Series 173, 0.40%, 6/20/2040 | JPY | 258,850,000 | 1,713,477 | ||
Series 174, 0.40%, 9/20/2040 | JPY | 183,000,000 | 1,205,502 | ||
Series 158, 0.50%, 9/20/2036 | JPY | 134,050,000 | 960,137 | ||
Series 164, 0.50%, 3/20/2038 | JPY | 139,800,000 | 977,472 | ||
Series 165, 0.50%, 6/20/2038 | JPY | 140,000,000 | 974,488 | ||
Series 167, 0.50%, 12/20/2038 | JPY | 101,000,000 | 696,777 | ||
Series 175, 0.50%, 12/20/2040 | JPY | 222,450,000 | 1,486,720 | ||
Series 159, 0.60%, 12/20/2036 | JPY | 90,050,000 | 651,749 | ||
Series 161, 0.60%, 6/20/2037 | JPY | 126,150,000 | 906,507 | ||
Series 162, 0.60%, 9/20/2037 | JPY | 105,850,000 | 757,480 | ||
Series 163, 0.60%, 12/20/2037 | JPY | 96,000,000 | 684,089 | ||
Series 160, 0.70%, 3/20/2037 | JPY | 101,450,000 | 741,839 | ||
Series 166, 0.70%, 9/20/2038 | JPY | 95,000,000 | 678,777 | ||
Series 155, 1.00%, 12/20/2035 | JPY | 159,900,000 | 1,231,355 | ||
Series 151, 1.20%, 12/20/2034 | JPY | 155,000,000 | 1,231,389 | ||
Series 152, 1.20%, 3/20/2035 | JPY | 145,000,000 | 1,149,989 | ||
Series 154, 1.20%, 9/20/2035 | JPY | 104,950,000 | 829,331 | ||
Series 153, 1.30%, 6/20/2035 | JPY | 110,000,000 | 880,692 |
Security Description | Principal Amount | Value | |||
Series 150, 1.40%, 9/20/2034 | JPY | 362,150,000 | $ 2,944,958 | ||
Series 144, 1.50%, 3/20/2033 | JPY | 86,200,000 | 713,197 | ||
Series 148, 1.50%, 3/20/2034 | JPY | 157,950,000 | 1,301,320 | ||
Series 149, 1.50%, 6/20/2034 | JPY | 100,000,000 | 822,631 | ||
Series 136, 1.60%, 3/20/2032 | JPY | 110,600,000 | 920,257 | ||
Series 143, 1.60%, 3/20/2033 | JPY | 79,850,000 | 666,511 | ||
Series 147, 1.60%, 12/20/2033 | JPY | 176,000,000 | 1,465,757 | ||
Series 140, 1.70%, 9/20/2032 | JPY | 134,000,000 | 1,129,045 | ||
Series 141, 1.70%, 12/20/2032 | JPY | 150,000,000 | 1,264,209 | ||
Series 145, 1.70%, 6/20/2033 | JPY | 166,400,000 | 1,400,941 | ||
Series 146, 1.70%, 9/20/2033 | JPY | 177,650,000 | 1,494,511 | ||
Series 122, 1.80%, 9/20/2030 | JPY | 95,050,000 | 791,945 | ||
Series 130, 1.80%, 9/20/2031 | JPY | 152,100,000 | 1,278,461 | ||
Series 133, 1.80%, 12/20/2031 | JPY | 186,550,000 | 1,572,791 | ||
Series 142, 1.80%, 12/20/2032 | JPY | 166,650,000 | 1,416,497 | ||
Series 108, 1.90%, 12/20/2028 | JPY | 51,350,000 | 424,733 | ||
Series 109, 1.90%, 3/20/2029 | JPY | 54,300,000 | 450,195 | ||
Series 121, 1.90%, 9/20/2030 | JPY | 74,600,000 | 625,770 | ||
Series 73, 2.00%, 12/20/2024 | JPY | 35,000,000 | 275,414 | ||
Series 77, 2.00%, 3/20/2025 | JPY | 34,000,000 | 268,738 | ||
Series 93, 2.00%, 3/20/2027 | JPY | 30,000,000 | 244,581 | ||
Series 72, 2.10%, 9/20/2024 | JPY | 70,000,000 | 549,225 | ||
Series 82, 2.10%, 9/20/2025 | JPY | 45,000,000 | 359,867 | ||
Series 92, 2.10%, 12/20/2026 | JPY | 83,800,000 | 683,833 | ||
Series 94, 2.10%, 3/20/2027 | JPY | 99,000,000 | 810,150 | ||
Series 96, 2.10%, 6/20/2027 | JPY | 43,000,000 | 353,066 | ||
Series 99, 2.10%, 12/20/2027 | JPY | 90,000,000 | 743,744 | ||
Series 105, 2.10%, 9/20/2028 | JPY | 78,200,000 | 651,867 |
Security Description | Principal Amount | Value | |||
Series 107, 2.10%, 12/20/2028 | JPY | 50,000,000 | $ 417,996 | ||
Series 113, 2.10%, 9/20/2029 | JPY | 120,250,000 | 1,013,128 | ||
Series 117, 2.10%, 3/20/2030 | JPY | 156,450,000 | 1,323,739 | ||
Series 90, 2.20%, 9/20/2026 | JPY | 78,550,000 | 641,027 | ||
Series 97, 2.20%, 9/20/2027 | JPY | 136,800,000 | 1,132,243 | ||
Series 100, 2.20%, 3/20/2028 | JPY | 83,000,000 | 691,238 | ||
Series 106, 2.20%, 9/20/2028 | JPY | 50,000,000 | 418,921 | ||
Series 115, 2.20%, 12/20/2029 | JPY | 75,000,000 | 637,339 | ||
Series 125, 2.20%, 3/20/2031 | JPY | 53,650,000 | 461,855 | ||
Series 95, 2.30%, 6/20/2027 | JPY | 70,000,000 | 579,476 | ||
Series 102, 2.40%, 6/20/2028 | JPY | 105,800,000 | 892,234 | ||
Government of Japan 30 Year Bond: | |||||
Series 51, 0.30%, 6/20/2046 | JPY | 89,000,000 | 524,597 | ||
Series 64, 0.40%, 9/20/2049 | JPY | 60,000,000 | 342,988 | ||
Series 65, 0.40%, 12/20/2049 | JPY | 64,850,000 | 373,436 | ||
Series 66, 0.40%, 3/20/2050 | JPY | 120,000,000 | 689,269 | ||
Series 52, 0.50%, 9/20/2046 | JPY | 85,500,000 | 527,373 | ||
Series 62, 0.50%, 3/20/2049 | JPY | 52,050,000 | 308,324 | ||
Series 53, 0.60%, 12/20/2046 | JPY | 83,650,000 | 526,631 | ||
Series 67, 0.60%, 6/20/2050 | JPY | 95,000,000 | 568,430 | ||
Series 68, 0.60%, 9/20/2050 | JPY | 90,000,000 | 536,815 | ||
Series 59, 0.70%, 6/20/2048 | JPY | 57,000,000 | 360,226 | ||
Series 61, 0.70%, 12/20/2048 | JPY | 75,000,000 | 470,185 | ||
Series 69, 0.70%, 12/20/2050 | JPY | 107,900,000 | 659,527 | ||
Series 50, 0.80%, 3/20/2046 | JPY | 99,650,000 | 664,225 | ||
Series 54, 0.80%, 3/20/2047 | JPY | 80,750,000 | 531,293 | ||
Series 55, 0.80%, 6/20/2047 | JPY | 90,500,000 | 593,598 | ||
Series 56, 0.80%, 9/20/2047 | JPY | 178,850,000 | 1,170,072 |
Security Description | Principal Amount | Value | |||
Series 57, 0.80%, 12/20/2047 | JPY | 88,250,000 | $ 575,650 | ||
Series 58, 0.80%, 3/20/2048 | JPY | 77,150,000 | 501,047 | ||
Series 60, 0.90%, 9/20/2048 | JPY | 146,650,000 | 970,061 | ||
Series 48, 1.40%, 9/20/2045 | JPY | 84,350,000 | 639,825 | ||
Series 49, 1.40%, 12/20/2045 | JPY | 91,550,000 | 693,239 | ||
Series 45, 1.50%, 12/20/2044 | JPY | 65,950,000 | 512,520 | ||
Series 46, 1.50%, 3/20/2045 | JPY | 69,650,000 | 540,466 | ||
Series 47, 1.60%, 6/20/2045 | JPY | 102,850,000 | 811,661 | ||
Series 11, 1.70%, 6/20/2033 | JPY | 46,550,000 | 391,871 | ||
Series 41, 1.70%, 12/20/2043 | JPY | 104,850,000 | 848,670 | ||
Series 42, 1.70%, 3/20/2044 | JPY | 50,750,000 | 410,404 | ||
Series 43, 1.70%, 6/20/2044 | JPY | 100,550,000 | 812,097 | ||
Series 44, 1.70%, 9/20/2044 | JPY | 67,000,000 | 540,519 | ||
Series 38, 1.80%, 3/20/2043 | JPY | 64,000,000 | 527,992 | ||
Series 40, 1.80%, 9/20/2043 | JPY | 70,000,000 | 576,998 | ||
Series 37, 1.90%, 9/20/2042 | JPY | 87,300,000 | 731,839 | ||
Series 39, 1.90%, 6/20/2043 | JPY | 63,500,000 | 531,957 | ||
Series 13, 2.00%, 12/20/2033 | JPY | 87,900,000 | 760,132 | ||
Series 33, 2.00%, 9/20/2040 | JPY | 110,200,000 | 938,118 | ||
Series 35, 2.00%, 9/20/2041 | JPY | 118,250,000 | 1,006,198 | ||
Series 36, 2.00%, 3/20/2042 | JPY | 171,750,000 | 1,463,048 | ||
Series 34, 2.20%, 3/20/2041 | JPY | 92,400,000 | 808,417 | ||
Series 21, 2.30%, 12/20/2035 | JPY | 39,000,000 | 347,348 | ||
Series 25, 2.30%, 12/20/2036 | JPY | 43,400,000 | 387,131 | ||
Series 30, 2.30%, 3/20/2039 | JPY | 99,350,000 | 882,694 | ||
Series 32, 2.30%, 3/20/2040 | JPY | 63,650,000 | 565,076 | ||
Series 26, 2.40%, 3/20/2037 | JPY | 69,300,000 | 624,911 | ||
Series 29, 2.40%, 9/20/2038 | JPY | 50,000,000 | 450,051 |
Security Description | Principal Amount | Value | |||
Series 16, 2.50%, 9/20/2034 | JPY | 20,000,000 | $ 181,301 | ||
Series 20, 2.50%, 9/20/2035 | JPY | 30,000,000 | 272,554 | ||
Series 22, 2.50%, 3/20/2036 | JPY | 41,750,000 | 379,890 | ||
Series 24, 2.50%, 9/20/2036 | JPY | 30,000,000 | 273,328 | ||
Series 27, 2.50%, 9/20/2037 | JPY | 67,550,000 | 615,791 | ||
Government of Japan 40 Year Bond: | |||||
Series 9, 0.40%, 3/20/2056 | JPY | 150,250,000 | 784,245 | ||
Series 12, 0.50%, 3/20/2059 | JPY | 92,000,000 | 483,871 | ||
Series 13, 0.50%, 3/20/2060 | JPY | 155,000,000 | 808,133 | ||
Series 11, 0.80%, 3/20/2058 | JPY | 79,450,000 | 470,203 | ||
Series 10, 0.90%, 3/20/2057 | JPY | 136,750,000 | 841,695 | ||
Series 8, 1.40%, 3/20/2055 | JPY | 72,750,000 | 522,149 | ||
Series 7, 1.70%, 3/20/2054 | JPY | 103,900,000 | 806,175 | ||
Series 6, 1.90%, 3/20/2053 | JPY | 58,350,000 | 474,212 | ||
Series 5, 2.00%, 3/20/2052 | JPY | 60,700,000 | 505,409 | ||
Series 2, 2.20%, 3/20/2049 | JPY | 76,750,000 | 667,811 | ||
Series 3, 2.20%, 3/20/2050 | JPY | 31,250,000 | 274,435 | ||
Series 4, 2.20%, 3/20/2051 | JPY | 62,500,000 | 542,134 | ||
Series 1, 2.40%, 3/20/2048 | JPY | 42,950,000 | 387,889 | ||
Government of Japan 5 Year Bond: | |||||
Series 139, 0.10%, 3/20/2024 | JPY | 312,300,000 | 2,369,333 | ||
Series 140, 0.10%, 6/20/2024 | JPY | 329,100,000 | 2,496,815 | ||
Series 141, 0.10%, 9/20/2024 | JPY | 171,550,000 | 1,301,606 | ||
Series 142, 0.10%, 12/20/2024 | JPY | 255,000,000 | 1,934,749 | ||
Series 143, 0.10%, 3/20/2025 | JPY | 361,500,000 | 2,742,764 | ||
Series 144, 0.10%, 6/20/2025 | JPY | 383,000,000 | 2,905,802 | ||
Series 145, 0.10%, 9/20/2025 | JPY | 300,000,000 | 2,276,153 | ||
Series 146, 0.10%, 12/20/2025 | JPY | 260,200,000 | 1,974,026 |
Security Description | Principal Amount | Value | |||
Japan Government 10 Year Bond: | |||||
Series 360, 0.10%, 9/20/2030 | JPY | 324,050,000 | $ 2,383,350 | ||
Series 362, 0.10%, 3/20/2031 | JPY | 450,000,000 | 3,298,272 | ||
Series 363, 0.10%, 6/20/2031 | JPY | 385,650,000 | 2,824,018 | ||
Series 364, 0.10%, 9/20/2031 | JPY | 357,500,000 | 2,616,121 | ||
Series 365, 0.10%, 12/20/2031 | JPY | 645,000,000 | 4,724,297 | ||
Japan Government 20 Year Bond: | |||||
Series 177, 0.40%, 6/20/2041 | JPY | 229,000,000 | 1,491,273 | ||
Series 176, 0.50%, 3/20/2041 | JPY | 160,000,000 | 1,065,256 | ||
Series 179, 0.50%, 12/20/2041 | JPY | 295,000,000 | 1,949,175 | ||
Japan Government 30 Year Bond: | |||||
Series 70, 0.70%, 3/20/2051 | JPY | 90,000,000 | 548,601 | ||
Series 71, 0.70%, 6/20/2051 | JPY | 90,500,000 | 550,325 | ||
Japan Government 5 Year Bond: | |||||
Series 148, 0.01%, 6/20/2026 | JPY | 415,000,000 | 3,135,657 | ||
Series 149, 0.01%, 9/20/2026 | JPY | 388,100,000 | 2,928,288 | ||
Series 150, 0.01%, 12/20/2026 | JPY | 455,000,000 | 3,427,682 | ||
Series 152, 0.10%, 3/20/2027 | JPY | 250,000,000 | 1,887,567 | ||
Series 154, 0.10%, 9/20/2027 | JPY | 375,000,000 | 2,823,961 | ||
Japan Government Five Year Bond: | |||||
Series 147, 0.01%, 3/20/2026 | JPY | 348,800,000 | 2,638,054 | ||
Series 151, 0.01%, 3/20/2027 | JPY | 334,000,000 | 2,512,069 | ||
0.01%, 6/20/2027 | JPY | 655,500,000 | 4,921,578 | ||
Japan Government Forty Year Bond: | |||||
Series 14, 0.70%, 3/20/2061 | JPY | 135,550,000 | 755,585 | ||
1.00%, 3/20/2062 | JPY | 200,650,000 | 1,217,556 | ||
Japan Government Ten Year Bond: | |||||
Series 366, 0.20%, 3/20/2032 | JPY | 475,000,000 | 3,527,877 | ||
0.20%, 6/20/2032 | JPY | 600,000,000 | 4,450,627 | ||
Series 368, 0.20%, 9/20/2032 | JPY | 500,000,000 | 3,709,690 |
Security Description | Principal Amount | Value | ||||
Japan Government Thirty Year Bond: | ||||||
Series 72, 0.70%, 9/20/2051 | JPY | 100,000,000 | $ 606,571 | |||
Series 73, 0.70%, 12/20/2051 | JPY | 120,000,000 | 727,676 | |||
Series 74, 1.00%, 3/20/2052 | JPY | 170,000,000 | 1,115,330 | |||
1.30%, 6/20/2052 | JPY | 150,000,000 | 1,065,762 | |||
Series 76, 1.40%, 9/20/2052 | JPY | 145,000,000 | 1,050,435 | |||
Japan Government Twenty Year Bond: | ||||||
Series 178, 0.50%, 9/20/2041 | JPY | 245,000,000 | 1,622,762 | |||
Series 180, 0.80%, 3/20/2042 | JPY | 235,000,000 | 1,639,131 | |||
0.90%, 6/20/2042 | JPY | 183,250,000 | 1,300,131 | |||
Series 182, 1.10%, 9/20/2042 | JPY | 275,000,000 | 2,015,611 | |||
Japan Government Two Year Bond: | ||||||
Series 434, 0.01%, 3/1/2024 | JPY | 113,650,000 | 861,309 | |||
Series 435, 0.01%, 4/1/2024 | JPY | 165,000,000 | 1,250,446 | |||
0.01%, 5/1/2024 | JPY | 227,000,000 | 1,720,121 | |||
0.01%, 6/1/2024 | JPY | 148,000,000 | 1,121,433 | |||
Series 438, 0.01%, 7/1/2024 | JPY | 140,000,000 | 1,060,613 | |||
Series 439, 0.01%, 8/1/2024 | JPY | 150,000,000 | 1,136,269 | |||
Series 440, 0.01%, 9/1/2024 | JPY | 212,000,000 | 1,605,895 | |||
Series 441, 0.01%, 10/1/2024 | JPY | 280,000,000 | 2,121,099 | |||
Series 442, 0.01%, 11/1/2024 | JPY | 350,000,000 | 2,651,321 | |||
258,622,276 | ||||||
LATVIA — 0.1% | ||||||
Republic of Latvia: | ||||||
0.38%, 10/7/2026 | EUR | 200,000 | 189,902 | |||
Series GMTN, 1.38%, 9/23/2025 | EUR | 100,000 | 101,202 | |||
1.38%, 5/16/2036 | EUR | 350,000 | 281,118 | |||
Series 7, 2.25%, 2/15/2047 | EUR | 100,000 | 83,192 | |||
Series EMTN, 2.88%, 4/30/2024 | EUR | 100,000 | 105,916 | |||
761,330 | ||||||
LITHUANIA — 0.1% | ||||||
Lithuania Government International Bond: | ||||||
Series EMTN, 0.75%, 5/6/2030 | EUR | 250,000 | 216,915 |
Security Description | Principal Amount | Value | ||||
Series EMTN, 0.95%, 5/26/2027 | EUR | 70,000 | $ 66,821 | |||
Series EMTN, 1.25%, 10/22/2025 | EUR | 150,000 | 151,159 | |||
Series EMTN, 2.10%, 5/26/2047 | EUR | 255,000 | 207,034 | |||
Series EMTN, 2.13%, 10/29/2026 | EUR | 100,000 | 102,603 | |||
Series EMTN, 2.13%, 10/22/2035 | EUR | 272,000 | 242,930 | |||
Series EMTN, 3.38%, 1/22/2024 | EUR | 270,000 | 288,878 | |||
1,276,340 | ||||||
LUXEMBOURG — 0.1% | ||||||
Luxembourg Government Bond: | ||||||
0.01%, 11/13/2026 | EUR | 154,000 | 146,618 | |||
0.63%, 2/1/2027 | EUR | 488,000 | 473,158 | |||
2.25%, 3/19/2028 | EUR | 80,000 | 82,251 | |||
702,027 | ||||||
MALAYSIA — 2.4% | ||||||
Malaysia Government Bond: | ||||||
Series 0220, 2.63%, 4/15/2031 | MYR | 1,750,000 | 358,284 | |||
Series 0319, 3.48%, 6/14/2024 | MYR | 2,950,000 | 667,176 | |||
Series 0513, 3.73%, 6/15/2028 | MYR | 5,050,000 | 1,132,773 | |||
Series 0519, 3.76%, 5/22/2040 | MYR | 1,650,000 | 345,903 | |||
Series 0413, 3.84%, 4/15/2033 | MYR | 3,875,000 | 858,536 | |||
Series 0219, 3.89%, 8/15/2029 | MYR | 4,250,000 | 957,868 | |||
Series 0316, 3.90%, 11/30/2026 | MYR | 2,000,000 | 455,125 | |||
Series 0417, 3.90%, 11/16/2027 | MYR | 2,820,000 | 641,116 | |||
Series 0115, 3.96%, 9/15/2025 | MYR | 4,350,000 | 992,370 | |||
Series 0217, 4.06%, 9/30/2024 | MYR | 1,725,000 | 393,663 | |||
Series 0120, 4.07%, 6/15/2050 | MYR | 5,425,000 | 1,123,129 | |||
Series 0114, 4.18%, 7/15/2024 | MYR | 1,295,000 | 295,773 | |||
Series 0411, 4.23%, 6/30/2031 | MYR | 1,720,000 | 395,612 | |||
Series 0415, 4.25%, 5/31/2035 | MYR | 1,350,000 | 307,562 | |||
Series 0311, 4.39%, 4/15/2026 | MYR | 2,300,000 | 532,356 | |||
Series 0322, 4.50%, 4/30/2029 | MYR | 9,225,000 | 2,149,624 |
Security Description | Principal Amount | Value | ||||
Series 0222, 4.70%, 10/15/2042 | MYR | 3,250,000 | $ 766,897 | |||
Series 0216, 4.74%, 3/15/2046 | MYR | 2,670,000 | 621,523 | |||
Series 0317, 4.76%, 4/7/2037 | MYR | 3,870,000 | 922,861 | |||
Series 0713, 4.94%, 9/30/2043 | MYR | 1,910,000 | 460,433 | |||
Malaysia Government Investment Issue: | ||||||
Series 0220, 3.47%, 10/15/2030 | MYR | 6,360,000 | 1,385,335 | |||
Series 0419, 3.66%, 10/15/2024 | MYR | 3,115,000 | 707,425 | |||
Series 0319, 3.73%, 3/31/2026 | MYR | 4,525,000 | 1,023,512 | |||
Series 0113, 3.87%, 8/8/2028 | MYR | 1,250,000 | 281,938 | |||
Series 0415, 3.99%, 10/15/2025 | MYR | 1,250,000 | 285,612 | |||
Series 0217, 4.05%, 8/15/2024 | MYR | 1,850,000 | 423,545 | |||
Series 0316, 4.07%, 9/30/2026 | MYR | 1,300,000 | 296,973 | |||
Series 0619, 4.12%, 11/30/2034 | MYR | 1,500,000 | 335,813 | |||
Series 0122, 4.19%, 10/7/2032 | MYR | 6,850,000 | 1,557,811 | |||
Series 0315, 4.25%, 9/30/2030 | MYR | 1,000,000 | 229,538 | |||
Series 0117, 4.26%, 7/26/2027 | MYR | 4,220,000 | 972,983 | |||
Series 0813, 4.44%, 5/22/2024 | MYR | 2,230,000 | 511,578 | |||
Series 0219, 4.47%, 9/15/2039 | MYR | 2,950,000 | 673,617 | |||
Series 0513, 4.58%, 8/30/2033 | MYR | 2,978,000 | 697,710 | |||
Series 0617, 4.72%, 6/15/2033 | MYR | 1,600,000 | 379,301 | |||
Series 0517, 4.76%, 8/4/2037 | MYR | 2,100,000 | 495,642 | |||
Series 0615, 4.79%, 10/31/2035 | MYR | 2,520,000 | 598,420 | |||
Series 0417, 4.90%, 5/8/2047 | MYR | 4,080,000 | 955,524 | |||
Series 0913, 4.94%, 12/6/2028 | MYR | 725,000 | 172,598 | |||
Series 0222, 5.36%, 5/15/2052 | MYR | 1,000,000 | 248,771 | |||
26,612,230 | ||||||
MEXICO — 1.8% | ||||||
Mexican Bonos: | ||||||
Series M, 5.50%, 3/4/2027 | MXN | 37,800,000 | 1,691,774 | |||
Series M, 5.75%, 3/5/2026 | MXN | 48,065,000 | 2,230,935 |
Security Description | Principal Amount | Value | ||||
Series M 20, 7.50%, 6/3/2027 | MXN | 27,785,000 | $ 1,343,877 | |||
Series M, 7.75%, 5/29/2031 | MXN | 42,205,000 | 2,004,100 | |||
Series M, 7.75%, 11/23/2034 | MXN | 21,965,000 | 1,018,051 | |||
Series M, 7.75%, 11/13/2042 | MXN | 28,060,000 | 1,256,399 | |||
Series M, 8.00%, 9/5/2024 | MXN | 60,635,000 | 3,008,313 | |||
Series M, 8.00%, 11/7/2047 | MXN | 41,158,000 | 1,882,975 | |||
Series M, 8.00%, 7/31/2053 | MXN | 3,500,000 | 159,341 | |||
Series M 20, 8.50%, 5/31/2029 | MXN | 30,610,000 | 1,527,276 | |||
Series M 30, 8.50%, 11/18/2038 | MXN | 35,514,000 | 1,724,248 | |||
Series M 20, 10.00%, 12/5/2024 | MXN | 42,078,000 | 2,164,073 | |||
Series M 30, 10.00%, 11/20/2036 | MXN | 6,200,000 | 340,469 | |||
20,351,831 | ||||||
NETHERLANDS — 3.5% | ||||||
Kingdom of Netherlands: | ||||||
0.01%, 1/15/2024 (a) | EUR | 1,185,000 | 1,230,815 | |||
0.01%, 1/15/2027 (a) | EUR | 2,292,900 | 2,197,737 | |||
0.01%, 7/15/2030 (a) | EUR | 1,744,000 | 1,514,694 | |||
0.01%, 7/15/2031 (a) | EUR | 2,208,000 | 1,863,906 | |||
0.01%, 1/15/2052 (a) | EUR | 1,825,000 | 942,955 | |||
0.25%, 7/15/2025 (a) | EUR | 2,441,000 | 2,453,380 | |||
0.25%, 7/15/2029 (a) | EUR | 1,917,000 | 1,746,477 | |||
0.50%, 7/15/2026 (a) | EUR | 2,850,000 | 2,823,300 | |||
0.50%, 1/15/2040 (a) | EUR | 1,822,000 | 1,340,363 | |||
0.75%, 7/15/2027 (a) | EUR | 2,354,000 | 2,310,597 | |||
0.75%, 7/15/2028 (a) | EUR | 2,062,000 | 1,987,014 | |||
2.00%, 7/15/2024 (a) | EUR | 1,395,000 | 1,472,993 | |||
2.50%, 1/15/2033 (a) | EUR | 1,672,000 | 1,729,757 | |||
2.75%, 1/15/2047 (a) | EUR | 2,583,000 | 2,783,721 | |||
3.75%, 1/15/2042 (a) | EUR | 2,207,000 | 2,670,883 | |||
4.00%, 1/15/2037 (a) | EUR | 2,091,000 | 2,511,598 | |||
5.50%, 1/15/2028 (a) | EUR | 1,635,000 | 1,972,111 | |||
Netherlands Government Bond: | ||||||
0.01%, 1/15/2026 | EUR | 1,715,000 | 1,685,881 | |||
0.01%, 1/15/2029 | EUR | 1,479,000 | 1,341,677 | |||
0.01%, 1/15/2038 (a) | EUR | 1,417,000 | 990,491 | |||
0.50%, 7/15/2032 | EUR | 1,661,000 | 1,432,573 | |||
2.00%, 1/15/2054 (a) | EUR | 596,000 | 550,070 | |||
39,552,993 |
Security Description | Principal Amount | Value | ||||
NEW ZEALAND — 0.8% | ||||||
New Zealand Government Bond: | ||||||
Series 0528, 0.25%, 5/15/2028 | NZD | 550,000 | $ 278,351 | |||
Series 0524, 0.50%, 5/15/2024 | NZD | 1,477,000 | 877,838 | |||
Series 0526, 0.50%, 5/15/2026 | NZD | 1,025,000 | 564,635 | |||
Series 0531, 1.50%, 5/15/2031 | NZD | 1,800,000 | 905,833 | |||
Series 0541, 1.75%, 5/15/2041 | NZD | 886,000 | 359,655 | |||
Series 0532, 2.00%, 5/15/2032 | NZD | 1,875,000 | 963,854 | |||
Series 0425, 2.75%, 4/15/2025 | NZD | 1,515,000 | 913,550 | |||
Series 0437, 2.75%, 4/15/2037 | NZD | 801,000 | 407,548 | |||
Series 0551, 2.75%, 5/15/2051 | NZD | 430,000 | 194,906 | |||
Series 0429, 3.00%, 4/20/2029 | NZD | 2,943,000 | 1,710,721 | |||
Series 0433, 3.50%, 4/14/2033 | NZD | 780,000 | 453,703 | |||
Series 0427, 4.50%, 4/15/2027 | NZD | 1,560,000 | 983,751 | |||
8,614,345 | ||||||
NORWAY — 0.5% | ||||||
Norway Government Bond: | ||||||
Series 483, 1.25%, 9/17/2031 (a) | NOK | 4,425,000 | 384,051 | |||
Series 482, 1.38%, 8/19/2030 (a) | NOK | 12,688,000 | 1,131,523 | |||
Series 478, 1.50%, 2/19/2026 (a) | NOK | 5,163,000 | 499,696 | |||
Series 477, 1.75%, 3/13/2025 (a) | NOK | 5,760,000 | 568,024 | |||
Series 479, 1.75%, 2/17/2027 (a) | NOK | 4,655,000 | 448,873 | |||
Series 481, 1.75%, 9/6/2029 (a) | NOK | 4,965,000 | 462,322 | |||
Series 480, 2.00%, 4/26/2028 (a) | NOK | 6,134,000 | 589,489 | |||
2.13%, 5/18/2032 (a) | NOK | 4,600,000 | 427,416 | |||
Series 476, 3.00%, 3/14/2024 (a) | NOK | 5,687,000 | 576,263 | |||
Series 485, 3.50%, 10/6/2042 (a) | NOK | 3,325,000 | 346,394 | |||
5,434,051 | ||||||
PERU — 0.3% | ||||||
Peru Government Bond: | ||||||
5.35%, 8/12/2040 | PEN | 800,000 | 155,661 | |||
5.40%, 8/12/2034 | PEN | 1,725,000 | 361,504 | |||
5.94%, 2/12/2029 | PEN | 3,425,000 | 822,560 |
Security Description | Principal Amount | Value | ||||
6.15%, 8/12/2032 | PEN | 2,065,000 | $ 475,153 | |||
6.35%, 8/12/2028 | PEN | 2,125,000 | 529,246 | |||
6.90%, 8/12/2037 | PEN | 3,950,000 | 925,454 | |||
8.20%, 8/12/2026 | PEN | 1,650,000 | 452,421 | |||
3,721,999 | ||||||
POLAND — 1.0% | ||||||
Poland Government Bond: | ||||||
Series 1026, 0.25%, 10/25/2026 | PLN | 3,950,000 | 702,801 | |||
Series 0425, 0.75%, 4/25/2025 | PLN | 3,475,000 | 690,128 | |||
Series 1030, 1.25%, 10/25/2030 | PLN | 5,424,000 | 829,877 | |||
Series 1024, 2.25%, 10/25/2024 | PLN | 5,000,000 | 1,054,887 | |||
Series 0424, 2.50%, 4/25/2024 | PLN | 3,502,000 | 758,644 | |||
Series 0726, 2.50%, 7/25/2026 | PLN | 7,005,000 | 1,375,367 | |||
Series 0727, 2.50%, 7/25/2027 | PLN | 3,075,000 | 583,698 | |||
Series 0428, 2.75%, 4/25/2028 | PLN | 4,370,000 | 816,165 | |||
Series 1029, 2.75%, 10/25/2029 | PLN | 6,550,000 | 1,157,982 | |||
Series 0725, 3.25%, 7/25/2025 | PLN | 5,090,000 | 1,064,476 | |||
Series 0447, 4.00%, 4/25/2047 | PLN | 315,000 | 47,398 | |||
Series 0429, 5.75%, 4/25/2029 | PLN | 885,000 | 191,194 | |||
Republic of Poland Government Bond: | ||||||
Series 0724, 0.01%, 7/25/2024 | PLN | 1,300,000 | 267,928 | |||
Series 0432, 1.75%, 4/25/2032 | PLN | 3,450,000 | 515,740 | |||
Series 0527, 3.75%, 5/25/2027 | PLN | 4,925,000 | 988,065 | |||
11,044,350 | ||||||
PORTUGAL — 1.6% | ||||||
Portugal Obrigacoes do Tesouro OT: | ||||||
0.30%, 10/17/2031 (a) | EUR | 849,000 | 694,703 | |||
0.48%, 10/18/2030 (a) | EUR | 1,509,000 | 1,302,408 | |||
0.70%, 10/15/2027 (a) | EUR | 1,179,000 | 1,134,817 | |||
0.90%, 10/12/2035 (a) | EUR | 922,000 | 710,822 | |||
1.00%, 4/12/2052 (a) | EUR | 453,000 | 240,678 | |||
1.65%, 7/16/2032 (a) | EUR | 850,000 | 771,737 | |||
1.95%, 6/15/2029 (a) | EUR | 1,671,400 | 1,664,613 |
Security Description | Principal Amount | Value | ||||
2.13%, 10/17/2028 (a) | EUR | 1,836,000 | $ 1,868,593 | |||
Series 15Y, 2.25%, 4/18/2034 (a) | EUR | 851,000 | 797,992 | |||
2.88%, 10/15/2025 (a) | EUR | 1,532,000 | 1,635,026 | |||
2.88%, 7/21/2026 (a) | EUR | 1,451,000 | 1,548,861 | |||
3.88%, 2/15/2030 (a) | EUR | 1,125,000 | 1,252,572 | |||
4.10%, 4/15/2037 (a) | EUR | 1,184,000 | 1,304,858 | |||
4.10%, 2/15/2045 (a) | EUR | 695,000 | 772,820 | |||
4.13%, 4/14/2027 (a) | EUR | 1,358,000 | 1,518,675 | |||
5.65%, 2/15/2024 (a) | EUR | 1,100,000 | 1,210,550 | |||
18,429,725 | ||||||
ROMANIA — 0.4% | ||||||
Romania Government Bond: | ||||||
Series 7Y, 2.50%, 10/25/2027 | RON | 1,200,000 | 205,405 | |||
Series 7Y, 3.25%, 4/29/2024 | RON | 2,175,000 | 449,642 | |||
Series 5Y, 3.25%, 6/24/2026 | RON | 1,625,000 | 304,926 | |||
Series 5Y, 3.65%, 7/28/2025 | RON | 2,275,000 | 449,902 | |||
Series 15Y, 3.65%, 9/24/2031 | RON | 1,600,000 | 255,711 | |||
Series 4YR, 3.70%, 11/25/2024 | RON | 1,825,000 | 372,297 | |||
Series 8Y, 4.15%, 1/26/2028 | RON | 3,050,000 | 559,676 | |||
Series 10YR, 4.15%, 10/24/2030 | RON | 2,000,000 | 337,124 | |||
Series 5Y, 4.50%, 6/17/2024 | RON | 950,000 | 198,686 | |||
Series 15Y, 4.75%, 10/11/2034 | RON | 900,000 | 140,294 | |||
Series 7Y, 4.85%, 4/22/2026 | RON | 1,600,000 | 318,188 | |||
Series 10Y, 5.00%, 2/12/2029 | RON | 4,330,000 | 802,825 | |||
6.70%, 2/25/2032 | RON | 2,250,000 | 440,711 | |||
4,835,387 | ||||||
SINGAPORE — 1.2% | ||||||
Singapore Government Bond: | ||||||
0.50%, 11/1/2025 | SGD | 719,000 | 501,349 | |||
1.25%, 11/1/2026 | SGD | 630,000 | 443,752 | |||
1.63%, 7/1/2031 | SGD | 970,000 | 643,677 | |||
1.88%, 3/1/2050 | SGD | 750,000 | 486,505 | |||
1.88%, 10/1/2051 | SGD | 1,070,000 | 703,534 | |||
2.00%, 2/1/2024 | SGD | 1,274,000 | 937,270 | |||
2.13%, 6/1/2026 | SGD | 1,300,000 | 946,406 | |||
2.25%, 8/1/2036 | SGD | 1,467,000 | 993,659 | |||
2.38%, 6/1/2025 | SGD | 1,030,000 | 757,601 | |||
2.38%, 7/1/2039 | SGD | 615,000 | 424,154 |
Security Description | Principal Amount | Value | ||||
2.63%, 5/1/2028 | SGD | 715,000 | $ 523,349 | |||
2.63%, 8/1/2032 | SGD | 600,000 | 430,222 | |||
2.75%, 4/1/2042 | SGD | 560,000 | 426,326 | |||
2.75%, 3/1/2046 | SGD | 985,000 | 763,794 | |||
2.88%, 9/1/2027 | SGD | 805,000 | 601,577 | |||
2.88%, 7/1/2029 | SGD | 1,340,000 | 988,615 | |||
2.88%, 9/1/2030 | SGD | 850,000 | 623,621 | |||
3.00%, 9/1/2024 | SGD | 850,000 | 632,626 | |||
3.38%, 9/1/2033 | SGD | 690,000 | 526,297 | |||
3.50%, 3/1/2027 | SGD | 730,000 | 558,440 | |||
12,912,774 | ||||||
SLOVAKIA — 0.5% | ||||||
Slovakia Government Bond: | ||||||
Series 231, 0.63%, 5/22/2026 | EUR | 536,000 | 522,758 | |||
Series 234, 1.00%, 6/12/2028 | EUR | 909,000 | 851,483 | |||
Series 237, 1.00%, 10/9/2030 | EUR | 375,000 | 328,445 | |||
Series 239, 1.00%, 5/14/2032 | EUR | 150,000 | 127,696 | |||
Series 228, 1.38%, 1/21/2027 | EUR | 341,000 | 337,562 | |||
Series 229, 1.63%, 1/21/2031 | EUR | 964,000 | 889,443 | |||
Series 232, 1.88%, 3/9/2037 | EUR | 384,000 | 314,323 | |||
Series 233, 2.00%, 10/17/2047 | EUR | 380,000 | 286,554 | |||
Series 235, 2.25%, 6/12/2068 | EUR | 71,000 | 52,373 | |||
Series 223, 3.38%, 11/15/2024 | EUR | 495,000 | 529,769 | |||
Series 227, 3.63%, 1/16/2029 | EUR | 763,000 | 821,070 | |||
4.00%, 10/19/2032 | EUR | 225,000 | 245,559 | |||
Series 216, 4.35%, 10/14/2025 | EUR | 413,000 | 452,939 | |||
5,759,974 | ||||||
SLOVENIA — 0.3% | ||||||
Slovenia Government Bond: | ||||||
Series RS80, 1.00%, 3/6/2028 | EUR | 297,000 | 282,287 | |||
Series RS81, 1.19%, 3/14/2029 | EUR | 270,000 | 252,267 | |||
Series RS79, 1.25%, 3/22/2027 | EUR | 362,000 | 357,696 | |||
Series RS74, 1.50%, 3/25/2035 | EUR | 433,000 | 351,915 | |||
Series RS78, 1.75%, 11/3/2040 | EUR | 285,000 | 212,800 | |||
Series RS75, 2.13%, 7/28/2025 | EUR | 666,000 | 706,145 |
Security Description | Principal Amount | Value | ||||
Series RS77, 2.25%, 3/3/2032 | EUR | 564,000 | $ 533,137 | |||
Series RS76, 3.13%, 8/7/2045 | EUR | 498,000 | 461,450 | |||
Series RS66, 4.63%, 9/9/2024 | EUR | 210,000 | 232,721 | |||
Series RS70, 5.13%, 3/30/2026 | EUR | 375,000 | 429,511 | |||
3,819,929 | ||||||
SOUTH KOREA — 4.6% | ||||||
Korea Treasury Bond: | ||||||
Series 2406, 1.13%, 6/10/2024 | KRW | 2,956,000,000 | 2,252,877 | |||
Series 3006, 1.38%, 6/10/2030 | KRW | 1,610,000,000 | 1,074,857 | |||
Series 2503, 1.50%, 3/10/2025 | KRW | 3,715,000,000 | 2,799,169 | |||
Series 2612, 1.50%, 12/10/2026 | KRW | 1,139,150,000 | 825,708 | |||
Series 3609, 1.50%, 9/10/2036 | KRW | 685,690,000 | 411,343 | |||
Series 4009, 1.50%, 9/10/2040 | KRW | 1,050,000,000 | 592,467 | |||
Series 5003, 1.50%, 3/10/2050 | KRW | 3,050,000,000 | 1,513,676 | |||
Series 7009, 1.63%, 9/10/2070 | KRW | 2,050,000,000 | 876,774 | |||
Series 2412, 1.88%, 12/10/2024 | KRW | 1,315,000,000 | 1,002,420 | |||
Series 2606, 1.88%, 6/10/2026 | KRW | 866,000,000 | 642,837 | |||
Series 5103, 1.88%, 3/10/2051 | KRW | 3,555,000,000 | 1,927,255 | |||
Series 3106, 2.00%, 6/10/2031 | KRW | 6,670,000,000 | 4,592,087 | |||
Series 4603, 2.00%, 3/10/2046 | KRW | 975,000,000 | 569,177 | |||
Series 4903, 2.00%, 3/10/2049 | KRW | 8,439,000,000 | 4,797,965 | |||
Series 2706, 2.13%, 6/10/2027 | KRW | 3,219,870,000 | 2,372,883 | |||
Series 4703, 2.13%, 3/10/2047 | KRW | 1,770,330,000 | 1,051,961 | |||
Series 2506, 2.25%, 6/10/2025 | KRW | 1,049,940,000 | 801,021 | |||
Series 2506, 2.25%, 6/10/2025 | KRW | 1,250,000,000 | 953,651 | |||
Series 2512, 2.25%, 12/10/2025 | KRW | 921,000,000 | 698,058 | |||
Series 3709, 2.25%, 9/10/2037 | KRW | 500,000,000 | 328,383 | |||
Series 2703, 2.38%, 3/10/2027 | KRW | 2,110,000,000 | 1,577,187 | |||
Series 5203, 2.50%, 3/10/2052 | KRW | 1,100,000,000 | 688,066 | |||
Series 3509, 2.63%, 9/10/2035 | KRW | 939,210,000 | 656,421 |
Security Description | Principal Amount | Value | ||||
Series 4803, 2.63%, 3/10/2048 | KRW | 590,000,000 | $ 385,905 | |||
Series 4412, 2.75%, 12/10/2044 | KRW | 1,248,000,000 | 847,716 | |||
Series 2409, 3.00%, 9/10/2024 | KRW | 1,644,000,000 | 1,284,065 | |||
Series 4212, 3.00%, 12/10/2042 | KRW | 2,971,780,000 | 2,119,698 | |||
Series 2506, 3.13%, 6/10/2025 | KRW | 1,507,000,000 | 1,173,751 | |||
Series 3206, 3.38%, 6/10/2032 | KRW | 1,950,000,000 | 1,489,472 | |||
Series 2403, 3.50%, 3/10/2024 | KRW | 1,985,830,000 | 1,565,940 | |||
Series 3312, 3.75%, 12/10/2033 | KRW | 1,936,250,000 | 1,523,132 | |||
Series 3112, 4.00%, 12/10/2031 | KRW | 1,622,640,000 | 1,301,645 | |||
Series 3012, 4.75%, 12/10/2030 | KRW | 3,095,050,000 | 2,604,153 | |||
Series 2803, 5.50%, 3/10/2028 | KRW | 4,937,000,000 | 4,213,504 | |||
51,515,224 | ||||||
SPAIN — 4.6% | ||||||
Kingdom of Spain: | ||||||
0.01%, 1/31/2025 | EUR | 836,000 | 840,249 | |||
Series 5YR, 0.25%, 7/30/2024 (a) | EUR | 901,000 | 923,244 | |||
0.50%, 4/30/2030 (a) | EUR | 1,042,000 | 912,595 | |||
0.60%, 10/31/2029 (a) | EUR | 1,130,000 | 1,014,254 | |||
1.00%, 10/31/2050 (a) | EUR | 1,110,000 | 617,059 | |||
1.20%, 10/31/2040 (a) | EUR | 635,000 | 443,478 | |||
1.25%, 10/31/2030 (a) | EUR | 1,150,000 | 1,053,480 | |||
1.30%, 10/31/2026 (a) | EUR | 1,700,000 | 1,704,411 | |||
1.40%, 4/30/2028 (a) | EUR | 1,326,000 | 1,294,280 | |||
1.40%, 7/30/2028 (a) | EUR | 1,333,000 | 1,296,221 | |||
1.45%, 10/31/2027 (a) | EUR | 1,533,000 | 1,515,995 | |||
1.45%, 4/30/2029 (a) | EUR | 1,473,000 | 1,416,742 | |||
1.50%, 4/30/2027 (a) | EUR | 1,554,000 | 1,556,275 | |||
1.60%, 4/30/2025 (a) | EUR | 1,274,000 | 1,320,387 | |||
1.85%, 7/30/2035 (a) | EUR | 850,000 | 738,403 | |||
1.95%, 4/30/2026 (a) | EUR | 1,326,000 | 1,368,616 | |||
1.95%, 7/30/2030 (a) | EUR | 969,000 | 940,459 | |||
2.15%, 10/31/2025 (a) | EUR | 1,201,000 | 1,256,167 | |||
2.35%, 7/30/2033 (a) | EUR | 1,010,000 | 961,179 | |||
Series 30Y, 2.70%, 10/31/2048 (a) | EUR | 1,216,000 | 1,058,417 | |||
2.75%, 10/31/2024 (a) | EUR | 933,000 | 992,611 |
Security Description | Principal Amount | Value | ||||
2.90%, 10/31/2046 (a) | EUR | 1,206,000 | $ 1,107,125 | |||
3.45%, 7/30/2066 (a) | EUR | 803,000 | 763,931 | |||
3.80%, 4/30/2024 (a) | EUR | 1,024,000 | 1,106,063 | |||
4.20%, 1/31/2037 (a) | EUR | 1,053,000 | 1,177,489 | |||
4.65%, 7/30/2025 (a) | EUR | 1,228,000 | 1,365,863 | |||
4.70%, 7/30/2041 (a) | EUR | 1,060,000 | 1,262,362 | |||
4.80%, 1/31/2024 (a) | EUR | 579,000 | 631,479 | |||
4.90%, 7/30/2040 (a) | EUR | 886,000 | 1,082,277 | |||
5.15%, 10/31/2028 (a) | EUR | 1,016,000 | 1,193,832 | |||
5.15%, 10/31/2044 (a) | EUR | 838,000 | 1,064,431 | |||
5.75%, 7/30/2032 | EUR | 1,219,000 | 1,546,133 | |||
5.90%, 7/30/2026 (a) | EUR | 1,478,000 | 1,731,093 | |||
6.00%, 1/31/2029 | EUR | 1,310,000 | 1,614,528 | |||
Spain Government Bond: | ||||||
0.01%, 5/31/2024 | EUR | 683,000 | 700,152 | |||
0.01%, 5/31/2025 | EUR | 1,197,000 | 1,189,432 | |||
0.01%, 1/31/2026 | EUR | 1,463,000 | 1,423,819 | |||
0.01%, 1/31/2027 | EUR | 1,202,000 | 1,132,314 | |||
0.01%, 1/31/2028 | EUR | 1,520,000 | 1,385,051 | |||
0.10%, 4/30/2031 (a) | EUR | 1,920,000 | 1,567,166 | |||
0.50%, 10/31/2031 (a) | EUR | 1,358,000 | 1,128,038 | |||
0.70%, 4/30/2032 (a) | EUR | 1,341,000 | 1,114,735 | |||
0.80%, 7/30/2029 | EUR | 500,000 | 456,249 | |||
1.00%, 7/30/2042 (a) | EUR | 747,000 | 486,393 | |||
1.90%, 10/31/2052 (a) | EUR | 596,000 | 407,359 | |||
2.55%, 10/31/2032 (a) | EUR | 950,000 | 927,956 | |||
50,789,792 | ||||||
SWEDEN — 0.5% | ||||||
Kingdom of Sweden: | ||||||
Series 1062, 0.13%, 5/12/2031 (a) | SEK | 10,315,000 | 821,236 | |||
Series 1063, 0.50%, 11/24/2045 (a) | SEK | 2,075,000 | 137,419 | |||
Series 1060, 0.75%, 5/12/2028 (a) | SEK | 9,860,000 | 863,683 | |||
Series 1061, 0.75%, 11/12/2029 (a) | SEK | 8,325,000 | 714,852 | |||
Series 1059, 1.00%, 11/12/2026 (a) | SEK | 8,645,000 | 780,255 | |||
Series 1064, 1.38%, 6/23/2071 (a) | SEK | 1,455,000 | 82,202 | |||
Series 1065, 1.75%, 11/11/2033 | SEK | 1,025,000 | 92,565 | |||
Series 1056, 2.25%, 6/1/2032 (a) | SEK | 7,215,000 | 686,019 | |||
Series 1058, 2.50%, 5/12/2025 (a) | SEK | 8,905,000 | 848,976 | |||
Series 1053, 3.50%, 3/30/2039 (a) | SEK | 4,490,000 | 503,012 |
Security Description | Principal Amount | Value | ||||
Sweden Government International Bond Series REGS, 0.13%, 9/9/2030 | SEK | 2,000,000 | $ 161,524 | |||
5,691,743 | ||||||
SWITZERLAND — 0.8% | ||||||
Swiss Confederation Government Bond: | ||||||
0.01%, 6/26/2034 | CHF | 300,000 | 269,597 | |||
0.25%, 6/23/2035 | CHF | 499,000 | 455,788 | |||
1.50%, 10/26/2038 | CHF | 200,000 | 212,278 | |||
Switzerland Government Bond: | ||||||
0.01%, 6/22/2029 | CHF | 718,000 | 704,970 | |||
0.01%, 7/24/2039 | CHF | 375,000 | 310,297 | |||
0.50%, 5/27/2030 | CHF | 418,000 | 419,309 | |||
0.50%, 6/27/2032 | CHF | 320,000 | 313,279 | |||
0.50%, 6/28/2045 | CHF | 595,000 | 511,409 | |||
0.50%, 5/24/2055 | CHF | 130,000 | 104,849 | |||
0.50%, 5/30/2058 | CHF | 184,000 | 144,765 | |||
1.25%, 6/11/2024 | CHF | 320,000 | 345,937 | |||
1.25%, 5/28/2026 | CHF | 810,000 | 871,984 | |||
1.25%, 6/27/2037 | CHF | 340,000 | 349,143 | |||
1.50%, 7/24/2025 | CHF | 435,000 | 472,378 | |||
1.50%, 4/30/2042 | CHF | 385,000 | 408,728 | |||
2.00%, 6/25/2064 | CHF | 554,000 | 696,435 | |||
2.25%, 6/22/2031 | CHF | 364,000 | 415,032 | |||
2.50%, 3/8/2036 | CHF | 495,000 | 588,800 | |||
3.25%, 6/27/2027 | CHF | 270,000 | 314,825 | |||
3.50%, 4/8/2033 | CHF | 300,000 | 382,134 | |||
4.00%, 4/8/2028 | CHF | 576,000 | 701,946 | |||
4.00%, 1/6/2049 | CHF | 275,000 | 451,021 | |||
9,444,904 | ||||||
THAILAND — 2.0% | ||||||
Thailand Government Bond: | ||||||
0.75%, 9/17/2024 | THB | 6,000,000 | 171,131 | |||
0.95%, 6/17/2025 | THB | 35,125,000 | 997,599 | |||
1.00%, 6/17/2027 | THB | 66,350,000 | 1,838,528 | |||
1.45%, 12/17/2024 | THB | 58,750,000 | 1,689,553 | |||
1.59%, 12/17/2035 | THB | 33,500,000 | 823,663 | |||
1.88%, 6/17/2049 | THB | 4,500,000 | 88,745 | |||
2.00%, 12/17/2031 | THB | 19,500,000 | 541,674 | |||
2.00%, 6/17/2042 | THB | 41,600,000 | 967,283 | |||
2.13%, 12/17/2026 | THB | 37,825,000 | 1,106,629 | |||
2.35%, 6/17/2026 | THB | 36,400,000 | 1,073,547 | |||
2.65%, 6/17/2028 | THB | 17,500,000 | 521,563 | |||
2.88%, 6/17/2046 | THB | 25,850,000 | 659,265 | |||
3.30%, 6/17/2038 | THB | 39,300,000 | 1,150,731 | |||
3.35%, 6/17/2033 | THB | 11,500,000 | 352,218 | |||
3.40%, 6/17/2036 | THB | 17,710,000 | 529,700 | |||
3.58%, 12/17/2027 | THB | 16,000,000 | 496,721 | |||
3.60%, 6/17/2067 | THB | 16,750,000 | 417,185 | |||
3.78%, 6/25/2032 | THB | 64,250,000 | 2,032,493 |
Security Description | Principal Amount | Value | ||||
3.85%, 12/12/2025 | THB | 35,350,000 | $ 1,082,087 | |||
4.00%, 6/17/2066 | THB | 36,920,000 | 1,019,555 | |||
4.26%, 12/12/2037 | THB | 56,550,000 | 1,800,132 | |||
4.68%, 6/29/2044 | THB | 18,340,000 | 630,405 | |||
4.75%, 12/20/2024 | THB | 5,000,000 | 152,958 | |||
4.85%, 6/17/2061 | THB | 19,010,000 | 620,230 | |||
4.88%, 6/22/2029 | THB | 41,255,000 | 1,384,120 | |||
22,147,715 | ||||||
UNITED KINGDOM — 5.0% | ||||||
United Kingdom Treasury Bond: | ||||||
0.13%, 1/31/2024 | GBP | 1,080,000 | 1,249,635 | |||
0.13%, 1/30/2026 | GBP | 1,613,000 | 1,749,186 | |||
0.13%, 1/31/2028 | GBP | 1,410,000 | 1,422,205 | |||
0.25%, 1/31/2025 | GBP | 1,300,000 | 1,451,393 | |||
0.25%, 7/31/2031 | GBP | 1,098,000 | 989,470 | |||
0.38%, 10/22/2026 | GBP | 1,357,000 | 1,444,193 | |||
0.38%, 10/22/2030 | GBP | 1,368,000 | 1,285,518 | |||
0.50%, 1/31/2029 | GBP | 750,000 | 745,719 | |||
0.50%, 10/22/2061 | GBP | 800,000 | 342,490 | |||
0.63%, 6/7/2025 | GBP | 1,549,000 | 1,739,197 | |||
0.63%, 7/31/2035 | GBP | 450,000 | 364,458 | |||
0.63%, 10/22/2050 | GBP | 875,000 | 468,779 | |||
0.88%, 10/22/2029 | GBP | 1,381,000 | 1,389,266 | |||
0.88%, 7/31/2033 | GBP | 300,000 | 269,357 | |||
0.88%, 1/31/2046 | GBP | 1,275,000 | 811,541 | |||
1.00%, 4/22/2024 | GBP | 1,200,000 | 1,395,081 | |||
1.00%, 1/31/2032 | GBP | 1,775,000 | 1,690,165 | |||
1.13%, 10/22/2073 | GBP | 550,000 | 288,819 | |||
1.25%, 7/22/2027 | GBP | 920,000 | 996,931 | |||
1.25%, 10/22/2041 | GBP | 1,684,000 | 1,284,159 | |||
1.25%, 7/31/2051 | GBP | 1,679,000 | 1,090,824 | |||
1.50%, 7/22/2026 | GBP | 920,000 | 1,028,427 | |||
1.50%, 7/22/2047 | GBP | 1,083,000 | 794,385 | |||
1.50%, 7/31/2053 | GBP | 250,000 | 172,022 | |||
1.63%, 10/22/2028 | GBP | 1,236,000 | 1,335,222 | |||
1.63%, 10/22/2054 | GBP | 520,000 | 368,987 | |||
1.63%, 10/22/2071 | GBP | 906,000 | 604,547 | |||
1.75%, 9/7/2037 | GBP | 1,886,000 | 1,706,562 | |||
1.75%, 1/22/2049 | GBP | 653,000 | 502,532 | |||
1.75%, 7/22/2057 | GBP | 944,000 | 693,076 | |||
Series REGS, 2.00%, 9/7/2025 | GBP | 1,325,000 | 1,529,382 | |||
2.50%, 7/22/2065 | GBP | 563,000 | 506,502 | |||
2.75%, 9/7/2024 | GBP | 800,000 | 947,550 | |||
3.25%, 1/22/2044 | GBP | 740,000 | 788,522 | |||
3.50%, 1/22/2045 | GBP | 896,000 | 990,137 | |||
3.50%, 7/22/2068 | GBP | 510,000 | 587,038 | |||
3.75%, 1/29/2038 | GBP | 500,000 | 580,580 | |||
3.75%, 7/22/2052 | GBP | 1,034,000 | 1,197,979 | |||
4.00%, 1/22/2060 | GBP | 795,000 | 1,000,774 | |||
4.13%, 1/29/2027 | GBP | 1,075,000 | 1,307,728 | |||
4.25%, 12/7/2027 | GBP | 970,000 | 1,197,441 | |||
4.25%, 6/7/2032 | GBP | 1,095,000 | 1,378,061 | |||
4.25%, 3/7/2036 | GBP | 715,000 | 889,144 |
Security Description | Principal Amount | Value | |||
4.25%, 9/7/2039 | GBP | 597,000 | $ 735,904 | ||
4.25%, 12/7/2040 | GBP | 842,000 | 1,035,641 | ||
4.25%, 12/7/2046 | GBP | 638,000 | 790,716 | ||
4.25%, 12/7/2049 | GBP | 715,000 | 891,451 | ||
4.25%, 12/7/2055 | GBP | 789,000 | 1,013,294 | ||
4.50%, 9/7/2034 | GBP | 2,099,000 | 2,675,990 | ||
4.50%, 12/7/2042 | GBP | 782,000 | 998,425 | ||
4.75%, 12/7/2030 | GBP | 1,377,000 | 1,785,721 | ||
4.75%, 12/7/2038 | GBP | 784,000 | 1,025,748 | ||
5.00%, 3/7/2025 | GBP | 978,000 | 1,209,107 | ||
6.00%, 12/7/2028 | GBP | 445,000 | 599,888 | ||
55,336,869 | |||||
TOTAL FOREIGN GOVERNMENT OBLIGATIONS (Cost $1,294,255,248) | 1,107,147,072 |
Shares | |||
SHORT-TERM INVESTMENT — 0.0% (b) | |||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 4.16% (c)(d) (Cost $311,474) | 311,474 | 311,474 | |
TOTAL INVESTMENTS — 99.3% (Cost $1,294,566,722) | 1,107,458,546 | ||
OTHER ASSETS IN EXCESS OF LIABILITIES — 0.7% | 7,907,548 | ||
NET ASSETS — 100.0% | $ 1,115,366,094 |
(a) | Securities purchased pursuant to Rule 144A of the Securities Act of 1933, as amended. These securities, which represent 19.2% of net assets as of December 31, 2022, are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
(b) | Amount is less than 0.05% of net assets. |
(c) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2022 are shown in the Affiliate Table below. |
(d) | The rate shown is the annualized seven-day yield at December 31, 2022. |
EMTN | Euro Medium Term Note |
GMTN | Global Medium Term Note |
AUD | Australian Dollar |
CAD | Canadian Dollar |
CHF | Swiss Franc |
CLP | Chilean Peso |
CNY | China Yuan Renminbi |
COP | Colombian Peso |
CZK | Czech Koruna |
DKK | Danish Krone |
EUR | Euro |
GBP | British Pound |
HKD | Hong Kong Dollar |
HUF | Hungary Forint |
IDR | Indonesia Rupiah |
ILS | Israeli New Shekel |
JPY | Japanese Yen |
KRW | South Korean Won |
MXN | Mexican Peso |
MYR | Malaysian Ringgit |
NOK | Norwegian Krone |
NZD | New Zealand Dollar |
PEN | Peru Nuevo Sol |
PLN | Polish Zloty |
RON | Romania New Leu |
SEK | Swedish Krona |
SGD | Singapore Dollar |
THB | Thai Baht |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Foreign Government Obligations | $ — | $1,107,147,072 | $— | $1,107,147,072 | ||||
Short-Term Investment | 311,474 | — | — | 311,474 | ||||
TOTAL INVESTMENTS | $311,474 | $1,107,147,072 | $— | $1,107,458,546 |
Number of Shares Held at 12/31/21 | Value at 12/31/21 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 12/31/22 | Value at 12/31/22 | Dividend Income | |||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 2,329,850 | $2,329,850 | $96,111,721 | $98,130,097 | $— | $— | 311,474 | $311,474 | $15,738 |
Security Description | Principal Amount | Value | ||||
FOREIGN GOVERNMENT OBLIGATIONS — 99.1% | ||||||
AUSTRALIA — 4.6% | ||||||
Australia Government Bond: | ||||||
Series 159, 0.25%, 11/21/2024 | AUD | 3,090,000 | $ 1,975,957 | |||
Series 161, 0.25%, 11/21/2025 | AUD | 1,850,000 | 1,143,560 | |||
Series 137, 2.75%, 4/21/2024 | AUD | 1,855,000 | 1,248,534 | |||
Series 139, 3.25%, 4/21/2025 | AUD | 3,375,000 | 2,277,976 | |||
6,646,027 | ||||||
AUSTRIA — 2.6% | ||||||
Austria Government Bond: | ||||||
0.01%, 7/15/2024 (a) | EUR | 965,000 | 986,747 | |||
0.01%, 4/20/2025 (a) | EUR | 915,000 | 915,479 | |||
1.20%, 10/20/2025 (a) | EUR | 750,000 | 768,913 | |||
Series 1, 1.65%, 10/21/2024 (a) | EUR | 1,100,000 | 1,149,861 | |||
3,821,000 | ||||||
BELGIUM — 3.1% | ||||||
Belgium Government Bond: | ||||||
Series 82, 0.50%, 10/22/2024 (a) | EUR | 835,000 | 856,873 | |||
Series 74, 0.80%, 6/22/2025 (a) | EUR | 1,950,000 | 1,989,046 | |||
Series 72, 2.60%, 6/22/2024 (a) | EUR | 1,500,000 | 1,597,032 | |||
4,442,951 | ||||||
CANADA — 4.6% | ||||||
Canadian Government Bond: | ||||||
0.25%, 4/1/2024 | CAD | 1,450,000 | 1,018,637 | |||
0.50%, 9/1/2025 | CAD | 1,665,000 | 1,126,385 | |||
0.75%, 10/1/2024 | CAD | 1,975,000 | 1,377,588 | |||
1.50%, 9/1/2024 | CAD | 950,000 | 672,526 | |||
2.25%, 6/1/2025 | CAD | 550,000 | 391,694 | |||
2.50%, 6/1/2024 | CAD | 2,200,000 | 1,586,689 | |||
3.00%, 10/1/2025 | CAD | 650,000 | 469,678 | |||
6,643,197 | ||||||
CHILE — 0.4% | ||||||
Bonos de la Tesoreria de la Republica en pesos: | ||||||
2.50%, 3/1/2025 | CLP | 450,000,000 | 475,978 | |||
5.80%, 6/1/2024 (a) | CLP | 85,000,000 | 97,525 | |||
573,503 |
Security Description | Principal Amount | Value | ||||
CHINA — 4.6% | ||||||
China Government Bond: | ||||||
Series INBK, 1.99%, 4/9/2025 | CNY | 1,000,000 | $ 142,404 | |||
2.18%, 6/25/2024 | CNY | 9,900,000 | 1,420,660 | |||
Series INBK, 2.47%, 9/2/2024 | CNY | 11,200,000 | 1,612,776 | |||
Series INBK, 2.84%, 4/8/2024 | CNY | 1,500,000 | 217,142 | |||
Series 1913, 2.94%, 10/17/2024 | CNY | 4,450,000 | 646,148 | |||
Series INBK, 3.02%, 10/22/2025 | CNY | 6,250,000 | 912,356 | |||
Series 1713, 3.57%, 6/22/2024 | CNY | 600,000 | 88,049 | |||
3.61%, 6/7/2025 | CNY | 10,850,000 | 1,608,759 | |||
6,648,294 | ||||||
COLOMBIA — 0.5% | ||||||
Colombian TES: | ||||||
Series B, 6.25%, 11/26/2025 | COP | 1,645,000,000 | 290,220 | |||
Series B, 10.00%, 7/24/2024 | COP | 2,005,000,000 | 402,658 | |||
692,878 | ||||||
CYPRUS — 0.2% | ||||||
Cyprus Government International Bond: | ||||||
Series EMTN, 2.75%, 6/27/2024 | EUR | 100,000 | 105,848 | |||
Series EMTN, 4.25%, 11/4/2025 | EUR | 150,000 | 162,231 | |||
268,079 | ||||||
CZECH REPUBLIC — 0.9% | ||||||
Czech Republic Government Bond: | ||||||
Series 120, 1.25%, 2/14/2025 | CZK | 10,330,000 | 417,956 | |||
Series 89, 2.40%, 9/17/2025 | CZK | 10,000,000 | 409,111 | |||
Series 58, 5.70%, 5/25/2024 | CZK | 10,000,000 | 442,073 | |||
1,269,140 | ||||||
DENMARK — 0.9% | ||||||
Denmark Government Bond: | ||||||
0.01%, 11/15/2024 | DKK | 5,030,000 | 685,511 | |||
1.75%, 11/15/2025 | DKK | 4,000,000 | 558,713 | |||
7.00%, 11/10/2024 | DKK | 250,000 | 38,545 | |||
1,282,769 | ||||||
FINLAND — 1.3% | ||||||
Finland Government Bond: | ||||||
0.01%, 9/15/2024 (a) | EUR | 360,000 | 366,934 |
Security Description | Principal Amount | Value | ||||
2.00%, 4/15/2024 (a) | EUR | 750,000 | $ 792,528 | |||
4.00%, 7/4/2025 (a) | EUR | 600,000 | 660,039 | |||
1,819,501 | ||||||
FRANCE — 5.1% | ||||||
France Government Bond OAT: | ||||||
0.01%, 3/25/2024 | EUR | 1,465,000 | 1,510,101 | |||
0.01%, 3/25/2025 | EUR | 1,600,000 | 1,604,979 | |||
0.50%, 5/25/2025 | EUR | 1,425,000 | 1,441,218 | |||
1.00%, 11/25/2025 | EUR | 750,000 | 762,087 | |||
1.75%, 11/25/2024 | EUR | 900,000 | 941,646 | |||
2.25%, 5/25/2024 | EUR | 1,075,000 | 1,138,771 | |||
7,398,802 | ||||||
GERMANY — 4.5% | ||||||
Federal Republic of Germany: | ||||||
Series 179, 0.01%, 4/5/2024 | EUR | 115,000 | 119,022 | |||
Series 180, 0.01%, 10/18/2024 | EUR | 645,000 | 657,709 | |||
Series 181, 0.01%, 4/11/2025 | EUR | 535,000 | 539,329 | |||
Series 182, 0.01%, 10/10/2025 | EUR | 550,000 | 548,070 | |||
Series G, 0.01%, 10/10/2025 | EUR | 150,000 | 149,951 | |||
0.50%, 2/15/2025 | EUR | 1,075,000 | 1,099,382 | |||
1.00%, 8/15/2024 | EUR | 825,000 | 859,251 | |||
1.00%, 8/15/2025 | EUR | 385,000 | 395,121 | |||
1.50%, 5/15/2024 | EUR | 900,000 | 947,667 | |||
1.75%, 2/15/2024 | EUR | 1,205,000 | 1,275,488 | |||
6,590,990 | ||||||
HONG KONG — 0.2% | ||||||
Hong Kong Government Bond Programme: | ||||||
0.36%, 4/15/2024 | HKD | 850,000 | 103,661 | |||
2.22%, 8/7/2024 | HKD | 900,000 | 111,806 | |||
215,467 | ||||||
HUNGARY — 0.6% | ||||||
Hungary Government Bond: | ||||||
Series 25/C, 1.00%, 11/26/2025 | HUF | 140,000,000 | 285,241 | |||
Series 24/C, 2.50%, 10/24/2024 | HUF | 57,000,000 | 130,037 | |||
Series 24/B, 3.00%, 6/26/2024 | HUF | 75,500,000 | 177,111 | |||
Series 25/B, 5.50%, 6/24/2025 | HUF | 95,000,000 | 221,501 | |||
813,890 |
Security Description | Principal Amount | Value | ||||
INDONESIA — 2.2% | ||||||
Indonesia Treasury Bond: | ||||||
Series FR81, 6.50%, 6/15/2025 | IDR | 12,500,000,000 | $ 809,759 | |||
Series FR70, 8.38%, 3/15/2024 | IDR | 20,240,000,000 | 1,342,525 | |||
Perusahaan Penerbit SBSN Indonesia: | ||||||
Series PBS, 6.13%, 10/15/2025 | IDR | 5,340,000,000 | 340,992 | |||
Series PBS, 6.63%, 10/15/2024 | IDR | 10,965,000,000 | 709,167 | |||
3,202,443 | ||||||
IRELAND — 1.3% | ||||||
Ireland Government Bond: | ||||||
3.40%, 3/18/2024 | EUR | 600,000 | 645,472 | |||
5.40%, 3/13/2025 | EUR | 1,090,000 | 1,226,942 | |||
1,872,414 | ||||||
ISRAEL — 1.2% | ||||||
Israel Government Bond: | ||||||
Series 1024, 0.40%, 10/31/2024 | ILS | 1,175,000 | 312,502 | |||
Series 0425, 0.50%, 4/30/2025 | ILS | 1,965,000 | 517,427 | |||
Series 0825, 1.75%, 8/31/2025 | ILS | 1,350,000 | 363,717 | |||
Series 0324, 3.75%, 3/31/2024 | ILS | 2,000,000 | 564,333 | |||
1,757,979 | ||||||
ITALY — 5.1% | ||||||
Italy Buoni Poliennali Del Tesoro: | ||||||
0.01%, 4/15/2024 | EUR | 100,000 | 102,600 | |||
0.01%, 8/15/2024 | EUR | 125,000 | 126,768 | |||
0.35%, 2/1/2025 | EUR | 325,000 | 326,113 | |||
1.20%, 8/15/2025 | EUR | 1,050,000 | 1,056,114 | |||
1.45%, 11/15/2024 | EUR | 200,000 | 206,694 | |||
1.45%, 5/15/2025 | EUR | 775,000 | 791,552 | |||
1.75%, 7/1/2024 | EUR | 850,000 | 887,772 | |||
Republic of Italy: | ||||||
1.85%, 7/1/2025 (a) | EUR | 225,000 | 230,801 | |||
2.00%, 12/1/2025 | EUR | 250,000 | 255,666 | |||
2.50%, 12/1/2024 | EUR | 735,000 | 774,463 | |||
3.75%, 9/1/2024 | EUR | 1,000,000 | 1,076,123 | |||
4.50%, 3/1/2024 | EUR | 800,000 | 866,999 | |||
5.00%, 3/1/2025 (a) | EUR | 700,000 | 772,335 | |||
7,474,000 | ||||||
JAPAN — 23.2% | ||||||
Government of Japan 10 Year Bond: | ||||||
Series 340, 0.40%, 9/20/2025 | JPY | 190,000,000 | 1,453,213 |
Security Description | Principal Amount | Value | ||||
Series 333, 0.60%, 3/20/2024 | JPY | 456,000,000 | $ 3,480,350 | |||
Government of Japan 5 Year Bond: | ||||||
Series 139, 0.10%, 3/20/2024 | JPY | 563,000,000 | 4,271,324 | |||
Series 140, 0.10%, 6/20/2024 | JPY | 250,000,000 | 1,896,699 | |||
Series 141, 0.10%, 9/20/2024 | JPY | 570,000,000 | 4,324,777 | |||
Series 142, 0.10%, 12/20/2024 | JPY | 154,350,000 | 1,171,092 | |||
Series 143, 0.10%, 3/20/2025 | JPY | 525,000,000 | 3,983,268 | |||
Series 144, 0.10%, 6/20/2025 | JPY | 550,000,000 | 4,172,822 | |||
Series 145, 0.10%, 9/20/2025 | JPY | 365,000,000 | 2,769,320 | |||
Series 146, 0.10%, 12/20/2025 | JPY | 500,000,000 | 3,793,285 | |||
Japan Government Two Year Bond Series 434, 0.01%, 3/1/2024 | JPY | 319,500,000 | 2,421,367 | |||
33,737,517 | ||||||
MALAYSIA — 2.3% | ||||||
Malaysia Government Bond: | ||||||
Series 0319, 3.48%, 6/14/2024 | MYR | 600,000 | 135,697 | |||
Series 0115, 3.96%, 9/15/2025 | MYR | 2,000,000 | 456,262 | |||
Series 0217, 4.06%, 9/30/2024 | MYR | 1,250,000 | 285,263 | |||
Malaysia Government Investment Issue: | ||||||
Series 0419, 3.66%, 10/15/2024 | MYR | 4,090,000 | 928,849 | |||
Series 0415, 3.99%, 10/15/2025 | MYR | 2,410,000 | 550,661 | |||
Series 0217, 4.05%, 8/15/2024 | MYR | 3,150,000 | 721,171 | |||
Series 0813, 4.44%, 5/22/2024 | MYR | 925,000 | 212,202 | |||
3,290,105 | ||||||
MEXICO — 2.0% | ||||||
Mexican Bonos: | ||||||
Series M, 5.00%, 3/6/2025 | MXN | 8,300,000 | 386,134 | |||
Series M, 8.00%, 9/5/2024 | MXN | 28,065,000 | 1,392,402 | |||
Series M 20, 10.00%, 12/5/2024 | MXN | 21,725,000 | 1,117,318 | |||
2,895,854 |
Security Description | Principal Amount | Value | ||||
NETHERLANDS — 3.1% | ||||||
Kingdom of Netherlands: | ||||||
0.01%, 1/15/2024 (a) | EUR | 767,000 | $ 796,654 | |||
0.25%, 7/15/2025 (a) | EUR | 1,750,000 | 1,758,875 | |||
2.00%, 7/15/2024 (a) | EUR | 1,860,000 | 1,963,990 | |||
4,519,519 | ||||||
NEW ZEALAND — 0.9% | ||||||
New Zealand Government Bond: | ||||||
Series 0524, 0.50%, 5/15/2024 | NZD | 1,010,000 | 600,282 | |||
Series 0425, 2.75%, 4/15/2025 | NZD | 1,275,000 | 768,829 | |||
1,369,111 | ||||||
NORWAY — 0.7% | ||||||
Norway Government Bond: | ||||||
Series 477, 1.75%, 3/13/2025 (a) | NOK | 3,990,000 | 393,475 | |||
Series 476, 3.00%, 3/14/2024 (a) | NOK | 6,555,000 | 664,217 | |||
1,057,692 | ||||||
PERU — 0.1% | ||||||
Peru Government Bond 5.70%, 8/12/2024 | PEN | 550,000 | 142,113 | |||
POLAND — 1.9% | ||||||
Poland Government Bond: | ||||||
Series 0425, 0.75%, 4/25/2025 | PLN | 1,775,000 | 352,511 | |||
Series 1024, 2.25%, 10/25/2024 | PLN | 3,750,000 | 791,166 | |||
Series 0424, 2.50%, 4/25/2024 | PLN | 2,880,000 | 623,899 | |||
Series 0725, 3.25%, 7/25/2025 | PLN | 3,750,000 | 784,240 | |||
Republic of Poland Government Bond Series 0724, 0.01%, 7/25/2024 | PLN | 750,000 | 154,574 | |||
2,706,390 | ||||||
PORTUGAL — 1.4% | ||||||
Portugal Obrigacoes do Tesouro OT: | ||||||
2.88%, 10/15/2025 (a) | EUR | 975,000 | 1,040,568 | |||
5.65%, 2/15/2024 (a) | EUR | 950,000 | 1,045,475 | |||
2,086,043 | ||||||
ROMANIA — 0.8% | ||||||
Romania Government Bond: | ||||||
3.50%, 11/25/2025 | RON | 750,000 | 146,011 | |||
Series 5Y, 3.65%, 7/28/2025 | RON | 1,200,000 | 237,311 |
Security Description | Principal Amount | Value | ||||
Series 4YR, 3.70%, 11/25/2024 | RON | 1,670,000 | $ 340,677 | |||
Series 5Y, 4.50%, 6/17/2024 | RON | 840,000 | 175,681 | |||
Series 10Y, 4.75%, 2/24/2025 | RON | 1,135,000 | 233,970 | |||
1,133,650 | ||||||
SINGAPORE — 1.5% | ||||||
Singapore Government Bond: | ||||||
0.50%, 11/1/2025 | SGD | 500,000 | 348,643 | |||
2.00%, 2/1/2024 | SGD | 415,000 | 305,311 | |||
2.38%, 6/1/2025 | SGD | 900,000 | 661,982 | |||
3.00%, 9/1/2024 | SGD | 1,100,000 | 818,693 | |||
2,134,629 | ||||||
SLOVAKIA — 0.6% | ||||||
Slovakia Government Bond: | ||||||
Series 240, 0.01%, 6/17/2024 | EUR | 200,000 | 203,855 | |||
Series 238, 0.25%, 5/14/2025 | EUR | 250,000 | 248,637 | |||
Series 223, 3.38%, 11/15/2024 | EUR | 300,000 | 321,072 | |||
Series 216, 4.35%, 10/14/2025 | EUR | 150,000 | 164,506 | |||
938,070 | ||||||
SLOVENIA — 0.2% | ||||||
Slovenia Government Bond: | ||||||
Series RS75, 2.13%, 7/28/2025 | EUR | 150,000 | 159,042 | |||
Series RS66, 4.63%, 9/9/2024 | EUR | 150,000 | 166,229 | |||
325,271 | ||||||
SOUTH KOREA — 4.6% | ||||||
Korea Treasury Bond: | ||||||
Series 2406, 1.13%, 6/10/2024 | KRW | 1,608,000,000 | 1,225,516 | |||
Series 2409, 1.38%, 9/10/2024 | KRW | 2,600,000,000 | 1,976,732 | |||
Series 2503, 1.50%, 3/10/2025 | KRW | 900,000,000 | 678,130 | |||
Series 2403, 1.88%, 3/10/2024 | KRW | 440,000,000 | 340,476 | |||
Series 2506, 2.25%, 6/10/2025 | KRW | 1,790,000,000 | 1,365,628 | |||
Series 2512, 2.25%, 12/10/2025 | KRW | 1,500,000,000 | 1,136,902 | |||
6,723,384 | ||||||
SPAIN — 4.5% | ||||||
Kingdom of Spain: | ||||||
0.01%, 1/31/2025 | EUR | 895,000 | 899,549 |
Security Description | Principal Amount | Value | ||||
Series 5YR, 0.25%, 7/30/2024 (a) | EUR | 525,000 | $ 537,961 | |||
1.60%, 4/30/2025 (a) | EUR | 525,000 | 544,115 | |||
2.15%, 10/31/2025 (a) | EUR | 800,000 | 836,748 | |||
2.75%, 10/31/2024 (a) | EUR | 925,000 | 984,100 | |||
3.80%, 4/30/2024 (a) | EUR | 900,000 | 972,126 | |||
4.65%, 7/30/2025 (a) | EUR | 775,000 | 862,006 | |||
4.80%, 1/31/2024 (a) | EUR | 473,000 | 515,872 | |||
Spain Government Bond: | ||||||
0.01%, 5/31/2024 | EUR | 100,000 | 102,511 | |||
0.01%, 5/31/2025 | EUR | 250,000 | 248,419 | |||
6,503,407 | ||||||
SWEDEN — 0.4% | ||||||
Kingdom of Sweden Series 1058, 2.50%, 5/12/2025 (a) | SEK | 6,395,000 | 609,680 | |||
SWITZERLAND — 0.4% | ||||||
Switzerland Government Bond: | ||||||
1.25%, 6/11/2024 | CHF | 275,000 | 297,290 | |||
1.50%, 7/24/2025 | CHF | 285,000 | 309,489 | |||
606,779 | ||||||
THAILAND — 2.1% | ||||||
Thailand Government Bond: | ||||||
0.75%, 6/17/2024 | THB | 31,175,000 | 891,237 | |||
0.95%, 6/17/2025 | THB | 12,000,000 | 340,817 | |||
1.45%, 12/17/2024 | THB | 44,200,000 | 1,271,119 | |||
3.85%, 12/12/2025 | THB | 18,800,000 | 575,480 | |||
3,078,653 | ||||||
UNITED KINGDOM — 4.5% | ||||||
United Kingdom Treasury Bond: | ||||||
0.25%, 1/31/2025 | GBP | 400,000 | 446,582 | |||
0.63%, 6/7/2025 | GBP | 975,000 | 1,094,718 | |||
1.00%, 4/22/2024 | GBP | 1,500,000 | 1,743,851 | |||
Series REGS, 2.00%, 9/7/2025 | GBP | 1,050,000 | 1,211,963 | |||
2.75%, 9/7/2024 | GBP | 935,000 | 1,107,450 | |||
5.00%, 3/7/2025 | GBP | 800,000 | 989,044 | |||
6,593,608 | ||||||
TOTAL FOREIGN GOVERNMENT OBLIGATIONS (Cost $155,076,153) | 143,884,799 | |||||
TOTAL INVESTMENTS — 99.1% (Cost $155,076,153) | 143,884,799 | |||||
OTHER ASSETS IN EXCESS OF LIABILITIES — 0.9% | 1,351,423 | |||||
NET ASSETS — 100.0% | $ 145,236,222 |
(a) | Securities purchased pursuant to Rule 144A of the Securities Act of 1933, as amended. These securities, which represent 17.0% of net assets as of December 31, 2022, are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
EMTN | Euro Medium Term Note |
AUD | Australian Dollar |
CAD | Canadian Dollar |
CHF | Swiss Franc |
CLP | Chilean Peso |
CNY | China Yuan Renminbi |
COP | Colombian Peso |
CZK | Czech Koruna |
DKK | Danish Krone |
EUR | Euro |
GBP | British Pound |
HKD | Hong Kong Dollar |
HUF | Hungary Forint |
IDR | Indonesia Rupiah |
ILS | Israeli New Shekel |
JPY | Japanese Yen |
KRW | South Korean Won |
MXN | Mexican Peso |
MYR | Malaysian Ringgit |
NOK | Norwegian Krone |
NZD | New Zealand Dollar |
PEN | Peru Nuevo Sol |
PLN | Polish Zloty |
RON | Romania New Leu |
SEK | Swedish Krona |
SGD | Singapore Dollar |
THB | Thai Baht |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Foreign Government Obligations | $— | $143,884,799 | $— | $143,884,799 |
Number of Shares Held at 12/31/21 | Value at 12/31/21 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 12/31/22 | Value at 12/31/22 | Dividend Income | |||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 412,399 | $412,399 | $7,889,731 | $8,302,130 | $— | $— | — | $— | $1,307 |
Security Description | Principal Amount | Value | ||||
FOREIGN GOVERNMENT OBLIGATIONS — 99.4% | ||||||
AUSTRALIA — 4.6% | ||||||
Australia Government Bond: | ||||||
Series 32CI, 0.25%, 11/21/2032 | AUD | 3,412,080 | $ 2,029,771 | |||
Series 27CI, 0.75%, 11/21/2027 | AUD | 5,635,066 | 3,771,097 | |||
Series 50CI, 1.00%, 2/21/2050 | AUD | 3,683,225 | 2,029,182 | |||
Series 40CI, 1.25%, 8/21/2040 | AUD | 3,819,942 | 2,356,924 | |||
Series 35CI, 2.00%, 8/21/2035 | AUD | 3,856,370 | 2,700,825 | |||
Series 30CI, 2.50%, 9/20/2030 | AUD | 6,902,467 | 5,058,446 | |||
Series 25CI, 3.00%, 9/20/2025 | AUD | 8,284,536 | 6,022,565 | |||
23,968,810 | ||||||
BRAZIL — 7.5% | ||||||
Brazil Letras do Tesouro Nacional: | ||||||
Series NTNB, 6.00%, 8/15/2024 | BRL | 32,194,091 | 6,041,879 | |||
Series NTNB, 6.00%, 5/15/2025 | BRL | 20,566,633 | 3,878,760 | |||
Series NTNB, 6.00%, 8/15/2026 | BRL | 19,668,090 | 3,700,419 | |||
Series NTNB, 6.00%, 5/15/2027 | BRL | 12,779,267 | 2,408,676 | |||
Series NTNB, 6.00%, 8/15/2028 | BRL | 11,281,697 | 2,122,121 | |||
Series NTNB, 6.00%, 8/15/2030 | BRL | 16,333,500 | 3,088,680 | |||
6.00%, 8/15/2032 | BRL | 4,991,901 | 941,133 | |||
Series NTNB, 6.00%, 5/15/2035 | BRL | 17,371,814 | 3,270,693 | |||
Series NTNB, 6.00%, 8/15/2040 | BRL | 13,657,777 | 2,549,058 | |||
Series NTNB, 6.00%, 5/15/2045 | BRL | 15,734,472 | 2,919,675 | |||
Series NTNB, 6.00%, 8/15/2050 | BRL | 22,363,717 | 4,131,359 | |||
Series NTNB, 6.00%, 5/15/2055 | BRL | 14,935,768 | 2,761,423 | |||
6.00%, 8/15/2060 | BRL | 5,790,605 | 1,070,950 | |||
38,884,826 | ||||||
CANADA — 4.6% | ||||||
Canadian Government Real Return Bond: | ||||||
0.25%, 12/1/2054 | CAD | 2,064,206 | 1,186,163 | |||
Series CPI, 0.50%, 12/1/2050 | CAD | 4,359,760 | 2,728,410 | |||
Series CPI, 1.25%, 12/1/2047 | CAD | 3,305,001 | 2,469,719 |
Security Description | Principal Amount | Value | ||||
Series CPI, 1.50%, 12/1/2044 | CAD | 4,256,448 | $ 3,310,508 | |||
Series CPI, 2.00%, 12/1/2041 | CAD | 4,562,384 | 3,796,347 | |||
Series CPI, 3.00%, 12/1/2036 | CAD | 3,866,818 | 3,485,002 | |||
Series CPI, 4.00%, 12/1/2031 | CAD | 4,307,585 | 3,872,805 | |||
Series CPI, 4.25%, 12/1/2026 | CAD | 3,597,874 | 2,928,989 | |||
23,777,943 | ||||||
CHILE — 4.9% | ||||||
Bonos de la Tesoreria de la Republica: | ||||||
Zero Coupon, 3/1/2025 | CLP | 1,018,218,420 | 1,124,069 | |||
0.01%, 10/1/2028 | CLP | 933,014,599 | 973,840 | |||
0.01%, 10/1/2033 | CLP | 1,369,328,220 | 1,297,499 | |||
1.50%, 3/1/2026 | CLP | 5,020,870,140 | 5,767,791 | |||
1.90%, 9/1/2030 | CLP | 2,843,989,380 | 3,390,849 | |||
2.00%, 3/1/2035 | CLP | 3,860,488,730 | 4,675,169 | |||
2.10%, 7/15/2050 | CLP | 1,263,995,280 | 1,603,559 | |||
Series 30YR, 3.00%, 1/1/2044 | CLP | 4,581,982,890 | 6,577,409 | |||
25,410,185 | ||||||
COLOMBIA — 4.5% | ||||||
Colombian TES: | ||||||
Series UVR, 2.25%, 4/18/2029 | COP | 12,675,159,200 | 2,155,774 | |||
Series UVR, 3.00%, 3/25/2033 | COP | 13,786,715,250 | 2,203,102 | |||
Series UVR, 3.30%, 3/17/2027 | COP | 21,345,079,140 | 4,043,755 | |||
Series UVR, 3.50%, 5/7/2025 | COP | 17,225,284,230 | 3,473,153 | |||
Series UVR, 3.75%, 2/25/2037 | COP | 26,502,932,610 | 4,173,570 | |||
Series UVR, 3.75%, 6/16/2049 | COP | 17,290,162,890 | 2,403,444 | |||
Series UVR, 4.75%, 4/4/2035 | COP | 27,995,141,790 | 4,967,792 | |||
23,420,590 | ||||||
FRANCE — 7.9% | ||||||
French Republic Government Bond OAT: | ||||||
Series OATI, 0.10%, 3/1/2025 | EUR | 2,187,935 | 2,352,586 | |||
Series OATE, 0.10%, 3/1/2026 (a) | EUR | 2,883,658 | 3,044,652 | |||
Series OATI, 0.10%, 3/1/2028 | EUR | 3,096,048 | 3,304,586 | |||
Series OATE, 0.10%, 3/1/2029 | EUR | 1,707,181 | 1,766,782 |
Security Description | Principal Amount | Value | ||||
Series OATE, 0.10%, 7/25/2031 (a) | EUR | 1,566,559 | $ 1,599,014 | |||
Series OATI, 0.10%, 3/1/2032 | EUR | 706,400 | 742,371 | |||
Series OATI, 0.10%, 3/1/2036 (a) | EUR | 1,197,433 | 1,208,822 | |||
Series OATE, 0.10%, 7/25/2036 (a) | EUR | 3,061,346 | 2,925,142 | |||
0.10%, 7/25/2038 (a) | EUR | 1,129,320 | 1,076,423 | |||
Series OATE, 0.10%, 7/25/2047 (a) | EUR | 2,339,135 | 2,116,482 | |||
Series OATE, 0.10%, 7/25/2053 (a) | EUR | 932,818 | 829,492 | |||
Series OATE, 0.25%, 7/25/2024 | EUR | 3,527,799 | 3,789,891 | |||
Series OATE, 0.70%, 7/25/2030 (a) | EUR | 3,262,545 | 3,502,493 | |||
Series OATE, 1.80%, 7/25/2040 (a) | EUR | 2,415,070 | 2,979,828 | |||
Series OATE, 1.85%, 7/25/2027 | EUR | 4,177,438 | 4,743,704 | |||
Series OATE, 3.15%, 7/25/2032 | EUR | 1,780,323 | 2,321,290 | |||
Series OATI, 3.40%, 7/25/2029 | EUR | 2,049,835 | 2,678,164 | |||
40,981,722 | ||||||
GERMANY — 4.5% | ||||||
Deutsche Bundesrepublik Inflation Linked Bond: | ||||||
Series I/L, 0.10%, 4/15/2026 | EUR | 6,796,859 | 7,184,089 | |||
Series I/L, 0.10%, 4/15/2033 | EUR | 2,465,355 | 2,575,605 | |||
Series I/L, 0.10%, 4/15/2046 | EUR | 4,858,519 | 5,089,221 | |||
Series I/L, 0.50%, 4/15/2030 | EUR | 8,008,253 | 8,646,631 | |||
23,495,546 | ||||||
ISRAEL — 4.4% | ||||||
Israel Government Bond - CPI Linked: | ||||||
Series 0726, 0.10%, 7/31/2026 | ILS | 6,259,081 | 1,725,376 | |||
Series 1131, 0.10%, 11/30/2031 | ILS | 7,230,317 | 1,921,827 | |||
Series 0529, 0.50%, 5/31/2029 | ILS | 8,956,960 | 2,481,334 | |||
Series 1151, 0.50%, 11/30/2051 | ILS | 4,420,107 | 1,063,980 | |||
Series 1025, 0.75%, 10/31/2025 | ILS | 8,666,923 | 2,447,922 | |||
Series 0527, 0.75%, 5/31/2027 | ILS | 8,910,287 | 2,509,731 | |||
Series 0545, 1.00%, 5/31/2045 | ILS | 8,701,871 | 2,421,385 |
Security Description | Principal Amount | Value | ||||
Series 0923, 1.75%, 9/29/2023 | ILS | 3,017,632 | $ 862,688 | |||
Series 0841, 2.75%, 8/30/2041 | ILS | 7,505,956 | 2,747,182 | |||
Series 0536, 4.00%, 5/30/2036 | ILS | 7,726,920 | 3,031,205 | |||
Israel Government Bond - Galil Series 5904, 4.00%, 7/31/2024 | ILS | 5,994,875 | 1,790,505 | |||
23,003,135 | ||||||
ITALY — 4.6% | ||||||
Italy Buoni Poliennali Del Tesoro: | ||||||
Series CPI, 0.10%, 5/15/2033 (a) | EUR | 1,983,768 | 1,650,275 | |||
Series CPI, 0.15%, 5/15/2051 (a) | EUR | 1,431,566 | 873,434 | |||
Series CPI, 0.40%, 5/15/2030 (a) | EUR | 2,298,600 | 2,144,766 | |||
Series CPI, 0.65%, 5/15/2026 | EUR | 1,609,132 | 1,661,016 | |||
Series CPI, 1.25%, 9/15/2032 (a) | EUR | 2,559,045 | 2,467,858 | |||
Series CPI, 1.30%, 5/15/2028 (a) | EUR | 2,870,085 | 2,958,094 | |||
Series CPI, 2.35%, 9/15/2024 (a) | EUR | 2,936,602 | 3,226,982 | |||
Series CPI, 2.35%, 9/15/2035 (a) | EUR | 3,053,860 | 3,211,809 | |||
Series CPI, 2.55%, 9/15/2041 (a) | EUR | 2,724,466 | 2,945,194 | |||
Series CPI, 3.10%, 9/15/2026 (a) | EUR | 2,459,960 | 2,785,120 | |||
23,924,548 | ||||||
JAPAN — 4.8% | ||||||
Japanese Government CPI Linked Bond: | ||||||
Series 26, 0.01%, 3/10/2031 | JPY | 260,935,000 | 2,056,629 | |||
0.01%, 3/10/2032 | JPY | 269,453,790 | 2,140,049 | |||
Series 18, 0.10%, 3/10/2024 | JPY | 155,518,800 | 1,204,866 | |||
Series 19, 0.10%, 9/10/2024 | JPY | 358,651,800 | 2,789,680 | |||
Series 20, 0.10%, 3/10/2025 | JPY | 582,571,000 | 4,534,689 | |||
Series 21, 0.10%, 3/10/2026 | JPY | 419,384,628 | 3,301,202 | |||
Series 22, 0.10%, 3/10/2027 | JPY | 275,646,949 | 2,191,784 | |||
Series 23, 0.10%, 3/10/2028 | JPY | 369,377,700 | 2,908,214 | |||
Series 24, 0.10%, 3/10/2029 | JPY | 428,227,475 | 3,374,508 |
Security Description | Principal Amount | Value | ||||
Series 25, 0.20%, 3/10/2030 | JPY | 96,022,500 | $ 785,304 | |||
25,286,925 | ||||||
MEXICO — 4.7% | ||||||
Mexican Udibonos: | ||||||
Series S, 2.75%, 11/27/2031 | MXN | 51,221,132 | 2,347,936 | |||
Series S, 3.00%, 12/3/2026 | MXN | 28,286,297 | 1,367,107 | |||
Series S, 4.00%, 11/30/2028 | MXN | 81,800,911 | 4,138,350 | |||
Series S, 4.00%, 11/15/2040 | MXN | 75,310,349 | 3,767,054 | |||
Series S, 4.00%, 11/8/2046 | MXN | 64,982,033 | 3,237,889 | |||
Series S, 4.00%, 11/3/2050 | MXN | 73,391,469 | 3,621,471 | |||
Series S, 4.50%, 12/4/2025 | MXN | 54,202,660 | 2,765,060 | |||
Series S, 4.50%, 11/22/2035 | MXN | 60,700,863 | 3,204,112 | |||
24,448,979 | ||||||
NEW ZEALAND — 2.9% | ||||||
New Zealand Government Bond: | ||||||
Series 0925, 2.00%, 9/20/2025 | NZD | 3,791,308 | 2,426,964 | |||
Series 0935, 2.50%, 9/20/2035 | NZD | 9,078,170 | 5,855,506 | |||
Series 0940, 2.50%, 9/20/2040 | NZD | 5,418,688 | 3,481,727 | |||
Series 0930, 3.00%, 9/20/2030 | NZD | 4,998,343 | 3,371,755 | |||
15,135,952 | ||||||
SOUTH AFRICA — 4.7% | ||||||
South Africa Government Bond - CPI Linked: | ||||||
Series 2029, 1.88%, 3/31/2029 | ZAR | 31,767,410 | 1,635,359 | |||
Series 2033, 1.88%, 2/28/2033 | ZAR | 47,681,790 | 2,225,574 | |||
Series 2025, 2.00%, 1/31/2025 | ZAR | 62,509,750 | 3,575,184 | |||
Series 2038, 2.25%, 1/31/2038 | ZAR | 68,917,741 | 3,063,556 | |||
Series 2046, 2.50%, 3/31/2046 | ZAR | 70,875,515 | 2,976,841 | |||
Series 2050, 2.50%, 12/31/2050 | ZAR | 83,524,067 | 3,360,736 | |||
Series R210, 2.60%, 3/31/2028 | ZAR | 33,814,657 | 1,873,924 | |||
Series R202, 3.45%, 12/7/2033 | ZAR | 50,135,999 | 2,696,003 |
Security Description | Principal Amount | Value | ||||
Series R197, 5.50%, 12/7/2023 | ZAR | 49,927,687 | $ 2,979,632 | |||
24,386,809 | ||||||
SOUTH KOREA — 0.8% | ||||||
Inflation Linked Korea Treasury Bond: | ||||||
Series 2606, 1.00%, 6/10/2026 | KRW | 1,606,636,200 | 1,271,517 | |||
Series 3006, 1.13%, 6/10/2030 | KRW | 2,090,605,500 | 1,636,743 | |||
Series 2806, 1.75%, 6/10/2028 | KRW | 1,716,844,400 | 1,398,278 | |||
4,306,538 | ||||||
SPAIN — 4.6% | ||||||
Spain Government Inflation Linked Bond: | ||||||
0.15%, 11/30/2023 | EUR | 1,940,694 | 2,085,724 | |||
0.65%, 11/30/2027 (a) | EUR | 4,927,711 | 5,193,464 | |||
0.70%, 11/30/2033 (a) | EUR | 5,642,213 | 5,628,796 | |||
1.00%, 11/30/2030 (a) | EUR | 5,822,817 | 6,158,842 | |||
1.80%, 11/30/2024 (a) | EUR | 4,526,031 | 4,964,594 | |||
24,031,420 | ||||||
SWEDEN — 4.3% | ||||||
Sweden Inflation Linked Bond: | ||||||
Series 3112, 0.13%, 6/1/2026 (a) | SEK | 44,527,071 | 4,311,099 | |||
Series 3113, 0.13%, 12/1/2027 (a) | SEK | 35,437,542 | 3,394,289 | |||
Series 3114, 0.13%, 6/1/2030 (a) | SEK | 27,519,971 | 2,598,556 | |||
Series 3111, 0.13%, 6/1/2032 (a) | SEK | 28,366,864 | 2,680,643 | |||
Series 3109, 1.00%, 6/1/2025 (a) | SEK | 46,070,480 | 4,565,379 | |||
Series 3104, 3.50%, 12/1/2028 (a) | SEK | 44,104,461 | 5,047,242 | |||
22,597,208 | ||||||
TURKEY — 4.7% | ||||||
Turkey Government Bond: | ||||||
Series CPI, 0.01%, 2/11/2032 | TRY | 21,838,694 | 1,680,319 | |||
Series CPI, 0.01%, 8/4/2032 | TRY | 11,331,437 | 892,249 | |||
1.50%, 6/18/2025 | TRY | 52,763,558 | 3,925,084 | |||
Series CPI, 2.00%, 9/18/2024 | TRY | 19,926,566 | 1,412,972 | |||
Series CPI, 2.00%, 4/16/2025 | TRY | 12,025,385 | 826,821 | |||
2.36%, 1/29/2025 | TRY | 13,111,442 | 947,571 | |||
Series CPI, 2.40%, 5/8/2024 | TRY | 11,458,560 | 767,511 |
Security Description | Principal Amount | Value | ||||
Series CPI, 2.70%, 1/14/2026 | TRY | 30,103,280 | $ 2,378,299 | |||
Series CPI, 2.90%, 7/7/2027 | TRY | 22,701,641 | 1,887,288 | |||
Series CPI, 2.90%, 1/12/2028 | TRY | 33,592,494 | 2,829,462 | |||
Series CPI, 3.00%, 5/28/2031 | TRY | 25,377,839 | 2,328,256 | |||
3.20%, 11/6/2024 | TRY | 7,651,957 | 564,186 | |||
Series CPI, 3.30%, 6/28/2028 | TRY | 28,203,430 | 2,279,964 | |||
4.10%, 6/5/2024 | TRY | 9,751,114 | 663,609 | |||
Series CPI, 4.20%, 1/10/2024 | TRY | 16,576,215 | 1,072,384 | |||
24,455,975 | ||||||
UNITED KINGDOM — 20.4% | ||||||
United Kingdom Gilt Inflation Linked: | ||||||
Series 3MO, 0.13%, 3/22/2024 | GBP | 6,508,575 | 7,978,790 | |||
Series 3MO, 0.13%, 3/22/2026 | GBP | 3,107,966 | 3,762,134 | |||
Series 3MO, 0.13%, 8/10/2028 | GBP | 4,983,842 | 5,996,064 | |||
Series 3MO, 0.13%, 3/22/2029 | GBP | 2,323,652 | 2,785,373 | |||
Series 3MO, 0.13%, 8/10/2031 | GBP | 5,030,879 | 6,084,931 | |||
Series 3MO, 0.13%, 11/22/2036 | GBP | 2,190,141 | 2,543,455 | |||
Series 3MO, 0.13%, 3/22/2039 | GBP | 3,958,350 | 4,516,760 | |||
Series 3MO, 0.13%, 8/10/2041 | GBP | 6,386,272 | 7,223,956 | |||
Series 3MO, 0.13%, 3/22/2044 | GBP | 2,606,037 | 2,881,255 | |||
Series 3MO, 0.13%, 3/22/2046 | GBP | 2,968,440 | 3,234,723 | |||
Series 3MO, 0.13%, 8/10/2048 | GBP | 2,577,528 | 2,774,690 | |||
Series 3MO, 0.13%, 3/22/2051 | GBP | 1,633,730 | 1,751,595 | |||
Series 3MO, 0.13%, 11/22/2056 | GBP | 1,632,596 | 1,751,526 | |||
Series 3MO, 0.13%, 3/22/2058 | GBP | 2,288,096 | 2,459,003 | |||
Series 3MO, 0.13%, 11/22/2065 | GBP | 1,844,987 | 2,036,296 | |||
Series 3MO, 0.13%, 3/22/2068 | GBP | 2,779,532 | 3,037,408 | |||
Series 3MO, 0.25%, 3/22/2052 | GBP | 2,573,288 | 2,866,213 | |||
Series 3MO, 0.38%, 3/22/2062 | GBP | 3,056,211 | 3,617,659 | |||
Series 3MO, 0.50%, 3/22/2050 | GBP | 3,085,559 | 3,666,211 |
Security Description | Principal Amount | Value | |||
Series 3MO, 0.63%, 3/22/2040 | GBP | 2,630,096 | $ 3,249,717 | ||
Series 3MO, 0.63%, 11/22/2042 | GBP | 1,641,737 | 2,033,545 | ||
Series 3MO, 0.75%, 3/22/2034 | GBP | 3,853,058 | 4,868,238 | ||
Series 3MO, 0.75%, 11/22/2047 | GBP | 2,252,740 | 2,824,727 | ||
Series 3MO, 1.13%, 11/22/2037 | GBP | 2,411,102 | 3,186,071 | ||
Series 3MO, 1.25%, 11/22/2027 | GBP | 3,759,735 | 4,778,021 | ||
Series 3MO, 1.25%, 11/22/2032 | GBP | 3,176,607 | 4,233,354 | ||
Series 3MO, 1.25%, 11/22/2055 | GBP | 2,555,530 | 3,786,509 | ||
Series 8MO, 2.00%, 1/26/2035 | GBP | 1,244,707 | 1,863,388 | ||
Series 8MO, 2.50%, 7/17/2024 | GBP | 1,466,884 | 1,944,060 | ||
Series 8MO, 4.13%, 7/22/2030 | GBP | 748,557 | 1,220,748 | ||
United Kingdom Inflation-Linked Gilt Series 3MO, 0.13%, 3/22/2073 | GBP | 1,154,390 | 1,327,239 | ||
106,283,659 | |||||
TOTAL FOREIGN GOVERNMENT OBLIGATIONS (Cost $603,745,086) | 517,800,770 |
Shares | |||
SHORT-TERM INVESTMENT — 0.1% | |||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 4.16% (b)(c) (Cost $367,253) | 367,253 | 367,253 | |
TOTAL INVESTMENTS — 99.5% (Cost $604,112,339) | 518,168,023 | ||
OTHER ASSETS IN EXCESS OF LIABILITIES — 0.5% | 2,606,733 | ||
NET ASSETS — 100.0% | $ 520,774,756 |
(a) | Securities purchased pursuant to Rule 144A of the Securities Act of 1933, as amended. These securities, which represent 16.5% of net assets as of December 31, 2022, are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
(b) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2022 are shown in the Affiliate Table below. |
(c) | The rate shown is the annualized seven-day yield at December 31, 2022. |
AUD | Australian Dollar |
BRL | Brazilian Real |
CAD | Canadian Dollar |
CLP | Chilean Peso |
COP | Colombian Peso |
EUR | Euro |
GBP | British Pound |
ILS | Israeli New Shekel |
JPY | Japanese Yen |
KRW | South Korean Won |
MXN | Mexican Peso |
NZD | New Zealand Dollar |
SEK | Swedish Krona |
TRY | Turkish New Lira |
ZAR | South African Rand |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Foreign Government Obligations | $ — | $517,800,770 | $— | $517,800,770 | ||||
Short-Term Investment | 367,253 | — | — | 367,253 | ||||
TOTAL INVESTMENTS | $367,253 | $517,800,770 | $— | $518,168,023 |
Number of Shares Held at 12/31/21 | Value at 12/31/21 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 12/31/22 | Value at 12/31/22 | Dividend Income | |||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 636,650 | $636,650 | $141,545,932 | $141,815,329 | $— | $— | 367,253 | $367,253 | $14,998 |
SPDR Bloomberg Emerging Markets Local Bond ETF | SPDR Bloomberg International Corporate Bond ETF | ||
ASSETS | |||
Investments in unaffiliated issuers, at value* | $2,106,035,622 | $137,726,064 | |
Investments in affiliated issuers, at value | 43,505,616 | 8,861,440 | |
Total Investments | 2,149,541,238 | 146,587,504 | |
Foreign currency, at value | 14,083,223 | 912,876 | |
Net cash at broker | 260,000 | — | |
Cash | — | — | |
Receivable for investments sold | 3,917,480 | 262,675 | |
Unrealized appreciation on forward foreign currency exchange contracts | 855,320 | — | |
Dividends receivable — affiliated issuers | 12,759 | 1,617 | |
Interest receivable — unaffiliated issuers | 32,163,789 | 1,330,473 | |
Securities lending income receivable — unaffiliated issuers | 790 | — | |
Securities lending income receivable — affiliated issuers | 19,563 | 3,211 | |
Receivable for foreign taxes recoverable | 381,620 | 1,722 | |
TOTAL ASSETS | 2,201,235,782 | 149,100,078 | |
LIABILITIES | |||
Due to custodian | 479,632 | — | |
Payable upon return of securities loaned | 36,893,506 | 8,734,973 | |
Payable for investments purchased | 10,871,501 | 201,399 | |
Unrealized depreciation on forward foreign currency exchange contracts | 784,815 | — | |
Deferred foreign taxes payable | 177,677 | — | |
Advisory fee payable | 544,246 | 58,354 | |
TOTAL LIABILITIES | 49,751,377 | 8,994,726 | |
NET ASSETS | $2,151,484,405 | $140,105,352 | |
NET ASSETS CONSIST OF: | |||
Paid-in Capital | $2,451,234,357 | $168,066,990 | |
Total distributable earnings (loss)** | (299,749,952) | (27,961,638) | |
NET ASSETS | $2,151,484,405 | $140,105,352 | |
NET ASSET VALUE PER SHARE | |||
Net asset value per share | $ 20.49 | $ 27.47 | |
Shares outstanding (unlimited amount authorized, $0.01 par value) | 105,000,000 | 5,100,000 | |
COST OF INVESTMENTS: | |||
Investments in unaffiliated issuers | $2,293,391,002 | $164,813,136 | |
Investments in affiliated issuers | 43,505,616 | 8,861,440 | |
Total cost of investments | $2,336,896,618 | $173,674,576 | |
Foreign currency, at cost | $ 14,153,354 | $ 898,153 | |
* Includes investments in securities on loan, at value | $ 35,830,780 | $ 8,535,613 | |
** Includes deferred foreign taxes | $ 177,678 | $ — |
SPDR Bloomberg International Treasury Bond ETF | SPDR Bloomberg Short Term International Treasury Bond ETF | SPDR FTSE International Government Inflation-Protected Bond ETF | ||
$1,107,147,072 | $143,884,799 | $ 517,800,770 | ||
311,474 | — | 367,253 | ||
1,107,458,546 | 143,884,799 | 518,168,023 | ||
834,026 | 321,272 | — | ||
— | — | — | ||
1,278,691 | 23,013 | 808 | ||
7,575,881 | 5,804,930 | 449,631 | ||
— | — | — | ||
2,867 | 397 | 4,358 | ||
7,900,308 | 900,407 | 2,808,235 | ||
— | — | — | ||
— | — | — | ||
463,632 | 142,865 | — | ||
1,125,513,951 | 151,077,683 | 521,431,055 | ||
— | — | 431,393 | ||
— | — | — | ||
9,738,062 | 5,798,618 | — | ||
— | — | — | ||
84,855 | — | 1,927 | ||
324,941 | 42,843 | 222,979 | ||
10,147,858 | 5,841,461 | 656,299 | ||
$ 1,115,366,093 | $145,236,222 | $ 520,774,756 | ||
$1,313,736,330 | $159,135,226 | $ 631,967,919 | ||
(198,370,237) | (13,899,004) | (111,193,163) | ||
$ 1,115,366,093 | $145,236,222 | $ 520,774,756 | ||
$ 22.35 | $ 26.90 | $ 41.33 | ||
49,900,038 | 5,400,000 | 12,600,483 | ||
$1,294,255,248 | $155,076,153 | $ 603,745,086 | ||
311,474 | — | 367,253 | ||
$1,294,566,722 | $155,076,153 | $ 604,112,339 | ||
$ 826,519 | $ 327,353 | $ — | ||
$ — | $ — | $ — | ||
$ 84,855 | $ — | $ — |
SPDR Bloomberg Emerging Markets Local Bond ETF | SPDR Bloomberg International Corporate Bond ETF | ||
INVESTMENT INCOME | |||
Interest income — unaffiliated issuers | $ 106,510,272 | $ 1,504,127 | |
Dividend income — affiliated issuers | 99,376 | 4,740 | |
Unaffiliated securities lending income | 788 | — | |
Affiliated securities lending income | 113,699 | 14,843 | |
Foreign taxes withheld | (2,440,027) | — | |
TOTAL INVESTMENT INCOME (LOSS) | 104,284,108 | 1,523,710 | |
EXPENSES | |||
Advisory fee | 5,432,080 | 592,501 | |
Trustees’ fees and expenses | 18,181 | 1,336 | |
Miscellaneous expenses | 74,078 | 5,097 | |
TOTAL EXPENSES | 5,524,339 | 598,934 | |
NET INVESTMENT INCOME (LOSS) | $ 98,759,769 | $ 924,776 | |
REALIZED AND UNREALIZED GAIN (LOSS) | |||
Net realized gain (loss) on: | |||
Investments — unaffiliated issuers* | (172,613,258) | (2,882,086) | |
In-kind redemptions — unaffiliated issuers | (11,048,273) | (1,281,874) | |
Forward foreign currency exchange contracts | 1,592,412 | — | |
Foreign currency transactions | (15,815,725) | (421,426) | |
Net realized gain (loss) | (197,884,844) | (4,585,386) | |
Net change in unrealized appreciation/depreciation on: | |||
Investments — unaffiliated issuers** | (76,779,322) | (23,281,127) | |
Forward foreign currency exchange contracts | 64,389 | — | |
Foreign currency translations | 681,715 | 87,606 | |
Net change in unrealized appreciation/depreciation | (76,033,218) | (23,193,521) | |
NET REALIZED AND UNREALIZED GAIN (LOSS) | (273,918,062) | (27,778,907) | |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $(175,158,293) | $(26,854,131) | |
* Includes foreign capital gain taxes | $ (34,749) | $ — | |
** Includes foreign deferred taxes | $ (177,678) | $ — |
SPDR Bloomberg International Treasury Bond ETF | SPDR Bloomberg Short Term International Treasury Bond ETF | SPDR FTSE International Government Inflation-Protected Bond ETF | ||
$ 15,784,311 | $ 1,322,664 | $ 54,306,260 | ||
15,738 | 1,307 | 14,998 | ||
— | — | — | ||
— | — | — | ||
(294,122) | (39,431) | (73,885) | ||
15,505,927 | 1,284,540 | 54,247,373 | ||
3,043,048 | 559,681 | 2,425,513 | ||
9,316 | 1,371 | 5,152 | ||
36,079 | 7,143 | 20,781 | ||
3,088,443 | 568,195 | 2,451,446 | ||
$ 12,417,484 | $ 716,345 | $ 51,795,927 | ||
(23,903,159) | (12,219,291) | (40,685,824) | ||
(6,344,133) | (2,664,311) | 1,322,058 | ||
— | — | — | ||
(2,864,438) | (368,924) | (1,811,492) | ||
(33,111,730) | (15,252,526) | (41,175,258) | ||
(155,328,025) | (6,751,562) | (97,495,988) | ||
— | — | — | ||
293,954 | 34,926 | 59,806 | ||
(155,034,071) | (6,716,636) | (97,436,182) | ||
(188,145,801) | (21,969,162) | (138,611,440) | ||
$(175,728,317) | $(21,252,817) | $ (86,815,513) | ||
$ (15,995) | $ — | $ 71 | ||
$ (84,855) | $ — | $ — |
SPDR Bloomberg Emerging Markets Local Bond ETF | |||
Year Ended 12/31/22 | Year Ended 12/31/21 | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $ 98,759,769 | $ 48,111,753 | |
Net realized gain (loss) | (197,884,844) | (19,437,230) | |
Net change in unrealized appreciation/depreciation | (76,033,218) | (153,701,691) | |
Net increase (decrease) in net assets resulting from operations | (175,158,293) | (125,027,168) | |
Distributions to shareholders | (3,714,999) | (39,014,812) | |
Return of capital | (86,940,908) | (6,269,073) | |
Total Distributions to shareholders | (90,655,907) | (45,283,885) | |
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||
Proceeds from shares sold | 1,604,488,801 | 434,698,879 | |
Cost of shares redeemed | (370,867,980) | (99,044,429) | |
Other Capital | 3,574,214 | 782,719 | |
Net increase (decrease) in net assets from beneficial interest transactions | 1,237,195,035 | 336,437,169 | |
Contribution from Affiliate (Note 4) | 534,103 | — | |
Net increase (decrease) in net assets during the period | 971,914,938 | 166,126,116 | |
Net assets at beginning of period | 1,179,569,467 | 1,013,443,351 | |
NET ASSETS AT END OF PERIOD | $2,151,484,405 | $1,179,569,467 | |
SHARES OF BENEFICIAL INTEREST: | |||
Shares sold | 74,600,000 | 16,200,000 | |
Shares redeemed | (18,000,000) | (4,000,000) | |
Net increase (decrease) from share transactions | 56,600,000 | 12,200,000 |
SPDR Bloomberg International Corporate Bond ETF | SPDR Bloomberg International Treasury Bond ETF | |||||
Year Ended 12/31/22 | Year Ended 12/31/21 | Year Ended 12/31/22 | Year Ended 12/31/21 | |||
$ 924,776 | $ 684,532 | $ 12,417,484 | $ 9,467,164 | |||
(4,585,386) | 4,249,086 | (33,111,730) | (4,314,448) | |||
(23,193,521) | (23,496,804) | (155,034,071) | (102,758,112) | |||
(26,854,131) | (18,563,186) | (175,728,317) | (97,605,396) | |||
(628,666) | (716,688) | (10,363,828) | (8,885,986) | |||
— | — | — | — | |||
(628,666) | (716,688) | (10,363,828) | (8,885,986) | |||
35,563,928 | 11,048,448 | 471,484,457 | 198,759,981 | |||
(19,639,302) | (100,711,744) | (121,779,953) | (152,553,253) | |||
22,126 | 38,452 | 175,444 | 316,263 | |||
15,946,752 | (89,624,844) | 349,879,948 | 46,522,991 | |||
— | — | — | — | |||
(11,536,045) | (108,904,718) | 163,787,803 | (59,968,391) | |||
151,641,397 | 260,546,115 | 951,578,290 | 1,011,546,681 | |||
$140,105,352 | $ 151,641,397 | $1,115,366,093 | $ 951,578,290 | |||
1,300,000 | 300,000 | 20,600,000 | 6,600,000 | |||
(600,000) | (2,800,000) | (4,500,000) | (5,200,000) | |||
700,000 | (2,500,000) | 16,100,000 | 1,400,000 |
SPDR Bloomberg Short Term International Treasury Bond ETF | |||
Year Ended 12/31/22 | Year Ended 12/31/21 | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $ 716,345 | $ (185,511) | |
Net realized gain (loss) | (15,252,526) | 2,521,922 | |
Net change in unrealized appreciation/depreciation | (6,716,636) | (18,112,708) | |
Net increase (decrease) in net assets resulting from operations | (21,252,817) | (15,776,297) | |
Distributions to shareholders | (665,086) | (1,221,564) | |
Return of capital | — | — | |
Total Distributions to shareholders | (665,086) | (1,221,564) | |
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||
Proceeds from shares sold | 18,163,682 | 45,229,410 | |
Cost of shares redeemed | (21,099,179) | (71,606,306) | |
Other Capital | (46,964) | 79,744 | |
Net increase (decrease) in net assets from beneficial interest transactions | (2,982,461) | (26,297,152) | |
Contribution from Affiliate (Note 4) | 2,298 | — | |
Net increase (decrease) in net assets during the period | (24,898,066) | (43,295,013) | |
Net assets at beginning of period | 170,134,288 | 213,429,301 | |
NET ASSETS AT END OF PERIOD | $145,236,222 | $170,134,288 | |
SHARES OF BENEFICIAL INTEREST: | |||
Shares sold | 600,000 | 1,400,000 | |
Shares redeemed | (800,000) | (2,300,000) | |
Net increase (decrease) from share transactions | (200,000) | (900,000) |
SPDR FTSE International Government Inflation-Protected Bond ETF | ||
Year Ended 12/31/22 | Year Ended 12/31/21 | |
$ 51,795,927 | $ 19,310,847 | |
(41,175,258) | 66,637 | |
(97,436,182) | (35,046,104) | |
(86,815,513) | (15,668,620) | |
(37,295,303) | (19,115,383) | |
(11,096,490) | — | |
(48,391,793) | (19,115,383) | |
237,160,404 | 129,824,774 | |
(34,725,536) | (22,699,668) | |
267,829 | 168,959 | |
202,702,697 | 107,294,065 | |
51,944 | — | |
67,547,335 | 72,510,062 | |
453,227,421 | 380,717,359 | |
$520,774,756 | $453,227,421 | |
4,900,000 | 2,300,000 | |
(700,000) | (400,000) | |
4,200,000 | 1,900,000 |
SPDR Bloomberg Emerging Markets Local Bond ETF | |||||||||||
Year Ended 12/31/22 | Year Ended 12/31/21 | Year Ended 12/31/20 | Six-month Period Ended 12/31/19(a) | Year Ended 6/30/19 | Year Ended 6/30/18 | ||||||
Net asset value, beginning of period | $ 24.37 | $ 28.00 | $ 27.83 | $ 27.76 | $ 27.08 | $ 28.99 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (b) | 1.13 | 1.01 | 1.13 | 0.65 | 1.51 | 1.41 | |||||
Net realized and unrealized gain (loss) (c) | (4.08) | (3.72) | 0.05 | 0.15 | 0.45 | (2.28) | |||||
Total from investment operations | (2.95) | (2.71) | 1.18 | 0.80 | 1.96 | (0.87) | |||||
Contribution from Affiliate (Note 4) | 0.01 | — | — | — | 0.01 | — | |||||
Other capital (b) | 0.04 | 0.02 | 0.02 | 0.01 | 0.02 | 0.06 | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (0.04) | (0.81) | (0.22) | (0.07) | (0.79) | (0.67) | |||||
Return of Capital | (0.94) | (0.13) | (0.81) | (0.67) | (0.52) | (0.43) | |||||
Total distributions | (0.98) | (0.94) | (1.03) | (0.74) | (1.31) | (1.10) | |||||
Net asset value, end of period | $ 20.49 | $ 24.37 | $ 28.00 | $ 27.83 | $ 27.76 | $ 27.08 | |||||
Total return (d) | (11.89)%(e) | (9.74)% | 4.59% | 2.94% | 7.70%(f) | (3.03)% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $2,151,484 | $1,179,569 | $1,013,443 | $1,015,629 | $810,738 | $519,933 | |||||
Ratios to average net assets: | |||||||||||
Total expenses | 0.31% | 0.30% | 0.30% | 0.30%(g) | 0.39% | 0.41% | |||||
Net expenses | 0.31% | 0.30% | 0.30% | 0.30%(g) | 0.38% | 0.41% | |||||
Net investment income (loss) | 5.45% | 3.86% | 4.26% | 4.69%(g) | 5.68% | 4.81% | |||||
Portfolio turnover rate (h) | 39% | 22% | 50% | 18%(i) | 43% | 83% |
(a) | Effective November 12, 2019, the Board of Trustees approved a change in fiscal year end for the Fund from June 30 to December 31. |
(b) | Per share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the year. |
(c) | Amounts shown in this caption for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period because of the timing of sales and repurchases of Fund shares in relation to fluctuating market values for the Fund. |
(d) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates of each distribution. Total returns for periods of less than one year are not annualized. Broker commission charges are not included in this calculation. |
(e) | If an Affiliate had not made a contribution during the year ended December 31, 2022, the total return would have been (11.93)%. |
(f) | If an Affiliate had not made a contribution during the year ended June 30, 2019, the total return would have been 7.66%. |
(g) | Annualized. |
(h) | Portfolio turnover rate excludes securities received or delivered from in-kind processing of creations or redemptions. |
(i) | Not annualized. |
SPDR Bloomberg International Corporate Bond ETF | |||||||||||
Year Ended 12/31/22 | Year Ended 12/31/21 | Year Ended 12/31/20 | Six-month Period Ended 12/31/19(a) | Year Ended 6/30/19 | Year Ended 6/30/18 | ||||||
Net asset value, beginning of period | $ 34.46 | $ 37.76 | $ 33.98 | $ 34.15 | $ 33.87 | $ 33.17 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (b) | 0.23 | 0.12 | 0.18 | 0.14 | 0.29 | 0.25 | |||||
Net realized and unrealized gain (loss) (c) | (7.08) | (3.30) | 3.74 | (0.20) | 0.23 | 0.63 | |||||
Total from investment operations | (6.85) | (3.18) | 3.92 | (0.06) | 0.52 | 0.88 | |||||
Other capital (b) | 0.01 | 0.01 | 0.02 | 0.02 | 0.00(d) | 0.04 | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (0.15) | (0.13) | (0.04) | (0.10) | — | (0.22) | |||||
Return of Capital | — | — | (0.12) | (0.03) | (0.24) | — | |||||
Total distributions | (0.15) | (0.13) | (0.16) | (0.13) | (0.24) | (0.22) | |||||
Net asset value, end of period | $ 27.47 | $ 34.46 | $ 37.76 | $ 33.98 | $ 34.15 | $ 33.87 | |||||
Total return (e) | (19.86)% | (8.41)% | 11.69% | (0.15)% | 1.59% | 2.71% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $140,105 | $151,641 | $260,546 | $190,273 | $167,358 | $230,286 | |||||
Ratios to average net assets: | |||||||||||
Total expenses | 0.51% | 0.50% | 0.50% | 0.50%(f) | 0.51% | 0.50% | |||||
Net investment income (loss) | 0.78% | 0.32% | 0.54% | 0.81%(f) | 0.88% | 0.72% | |||||
Portfolio turnover rate (g) | 14% | 14% | 23% | 5%(h) | 16% | 23% |
(a) | Effective November 12, 2019, the Board of Trustees approved a change in fiscal year end for the Fund from June 30 to December 31. |
(b) | Per share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the year. |
(c) | Amounts shown in this caption for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period because of the timing of sales and repurchases of Fund shares in relation to fluctuating market values for the Fund. |
(d) | Amount is less than $0.005 per share. |
(e) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates of each distribution. Total returns for periods of less than one year are not annualized. Broker commission charges are not included in this calculation. |
(f) | Annualized. |
(g) | Portfolio turnover rate excludes securities received or delivered from in-kind processing of creations or redemptions. |
(h) | Not annualized. |
SPDR Bloomberg International Treasury Bond ETF | |||||||||||
Year Ended 12/31/22 | Year Ended 12/31/21 | Year Ended 12/31/20 | Six-month Period Ended 12/31/19(a) | Year Ended 6/30/19 | Year Ended 6/30/18 | ||||||
Net asset value, beginning of period | $ 28.15 | $ 31.22 | $ 28.74 | $ 28.87 | $ 27.88 | $ 27.56 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (b) | 0.34 | 0.28 | 0.35 | 0.19 | 0.39 | 0.31 | |||||
Net realized and unrealized gain (loss) (c) | (5.87) | (3.10) | 2.42 | (0.13) | 0.92 | 0.24 | |||||
Total from investment operations | (5.53) | (2.82) | 2.77 | 0.06 | 1.31 | 0.55 | |||||
Contribution from Affiliate | — | — | 0.00(d) | — | — | — | |||||
Other capital (b) | 0.00(d) | 0.01 | 0.01 | 0.00(d) | 0.01 | 0.01 | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (0.27) | (0.26) | (0.30) | (0.19) | (0.33) | (0.24) | |||||
Net asset value, end of period | $ 22.35 | $ 28.15 | $ 31.22 | $ 28.74 | $ 28.87 | $ 27.88 | |||||
Total return (e) | (19.66)% | (9.01)% | 9.73%(f) | 0.20% | 4.78% | 2.02% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $1,115,366 | $951,578 | $1,011,547 | $1,028,855 | $1,122,866 | $1,519,631 | |||||
Ratios to average net assets: | |||||||||||
Total expenses | 0.36% | 0.35% | 0.35% | 0.35%(g) | 0.38% | 0.50% | |||||
Net investment income (loss) | 1.43% | 0.95% | 1.19% | 1.31%(g) | 1.42% | 1.09% | |||||
Portfolio turnover rate (h) | 14% | 15% | 16% | 7%(i) | 18% | 29% |
(a) | Effective November 12, 2019, the Board of Trustees approved a change in fiscal year end for the Fund from June 30 to December 31. |
(b) | Per share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the year. |
(c) | Amounts shown in this caption for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period because of the timing of sales and repurchases of Fund shares in relation to fluctuating market values for the Fund. |
(d) | Amount is less than $0.005 per share. |
(e) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates of each distribution. Total returns for periods of less than one year are not annualized. Broker commission charges are not included in this calculation. |
(f) | If an affiliate had not made a contribution during the year ended December 31, 2020, the total return would have remained 9.73%. |
(g) | Annualized. |
(h) | Portfolio turnover rate excludes securities received or delivered from in-kind processing of creations or redemptions. |
(i) | Not annualized. |
SPDR Bloomberg Short Term International Treasury Bond ETF | |||||||||||
Year Ended 12/31/22 | Year Ended 12/31/21 | Year Ended 12/31/20 | Six-month Period Ended 12/31/19(a) | Year Ended 6/30/19 | Year Ended 6/30/18 | ||||||
Net asset value, beginning of period | $ 30.38 | $ 32.84 | $ 30.88 | $ 31.05 | $ 31.38 | $ 31.23 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (b) | 0.12 | (0.03) | 0.05 | 0.07 | 0.16 | 0.00(c) | |||||
Net realized and unrealized gain (loss) (d) | (3.47) | (2.26) | 1.94 | (0.17) | (0.10) | 0.28 | |||||
Total from investment operations | (3.35) | (2.29) | 1.99 | (0.10) | 0.06 | 0.28 | |||||
Contribution from Affiliate (Note 4) | 0.00(c) | — | 0.00(c) | — | — | — | |||||
Other capital (b) | (0.01) | 0.01 | 0.01 | 0.00(c) | 0.00(c) | 0.01 | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (0.12) | (0.18) | (0.04) | — | (0.33) | (0.14) | |||||
Return of Capital | — | — | — | (0.07) | (0.06) | — | |||||
Total distributions | (0.12) | (0.18) | (0.04) | (0.07) | (0.39) | (0.14) | |||||
Net asset value, end of period | $ 26.90 | $ 30.38 | $ 32.84 | $ 30.88 | $ 31.05 | $ 31.38 | |||||
Total return (e) | (11.07)%(f) | (6.91)% | 6.49%(g) | (0.36)% | 0.21% | 0.90% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $145,236 | $170,134 | $213,429 | $299,496 | $298,118 | $332,582 | |||||
Ratios to average net assets: | |||||||||||
Total expenses | 0.36% | 0.35% | 0.35% | 0.35%(h) | 0.36% | 0.35% | |||||
Net investment income (loss) | 0.45% | (0.09)% | 0.16% | 0.43%(h) | 0.51% | 0.01% | |||||
Portfolio turnover rate (i) | 56% | 64% | 67% | 31%(j) | 66% | 63% |
(a) | Effective November 12, 2019, the Board of Trustees approved a change in fiscal year end for the Fund from June 30 to December 31. |
(b) | Per share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the year. |
(c) | Amount is less than $0.005 per share. |
(d) | Amounts shown in this caption for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period because of the timing of sales and repurchases of Fund shares in relation to fluctuating market values for the Fund. |
(e) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates of each distribution. Total returns for periods of less than one year are not annualized. Broker commission charges are not included in this calculation. |
(f) | If an affiliate had not made a contribution during the year ended ended December 31, 2022, the total return would have remained (11.07)% |
(g) | If an affiliate had not made a contribution during the year ended ended December 31, 2020, the total return would have remained 6.49%. |
(h) | Annualized. |
(i) | Portfolio turnover rate excludes securities received or delivered from in-kind processing of creations or redemptions. |
(j) | Not annualized. |
SPDR FTSE International Government Inflation-Protected Bond ETF | |||||||||||
Year Ended 12/31/22 | Year Ended 12/31/21 | Year Ended 12/31/20 | Six-month Period Ended 12/31/19(a) | Year Ended 6/30/19 | Year Ended 6/30/18 | ||||||
Net asset value, beginning of period | $ 53.95 | $ 58.57 | $ 55.28 | $ 55.31 | $ 54.63 | $ 55.75 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (b) | 4.91 | 2.56 | 1.02 | 0.66 | 1.92 | 1.73 | |||||
Net realized and unrealized gain (loss) (c) | (12.97) | (4.71) | 3.17 | 0.19 | 0.57 | (1.11) | |||||
Total from investment operations | (8.06) | (2.15) | 4.19 | 0.85 | 2.49 | 0.62 | |||||
Contribution from Affiliate (Note 4) | 0.00 | — | — | — | — | 0.00(d) | |||||
Other capital (b) | 0.03 | 0.02 | 0.03 | 0.01 | 0.03 | 0.11 | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (3.53) | (2.49) | (0.93) | (0.87) | — | (1.18) | |||||
Net realized gains | — | — | — | — | — | (0.47) | |||||
Return of Capital | (1.06) | — | — | (0.02) | (1.84) | (0.20) | |||||
Total distributions | (4.59) | (2.49) | (0.93) | (0.89) | (1.84) | (1.85) | |||||
Net asset value, end of period | $ 41.33 | $ 53.95 | $ 58.57 | $ 55.28 | $ 55.31 | $ 54.63 | |||||
Total return (e) | (15.41)%(f) | (3.68)% | 7.76% | 1.58% | 4.78% | 1.21% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $520,775 | $453,227 | $380,717 | $431,216 | $475,714 | $568,158 | |||||
Ratios to average net assets: | |||||||||||
Total expenses | 0.51% | 0.50% | 0.50% | 0.50%(g) | 0.50% | 0.50% | |||||
Net investment income (loss) | 10.68% | 4.57% | 1.90% | 2.39%(g) | 3.60% | 3.02% | |||||
Portfolio turnover rate (h) | 37% | 20% | 28% | 8%(i) | 37% | 32% |
(a) | Effective November 12, 2019, the Board of Trustees approved a change in fiscal year end for the Fund from June 30 to December 31. |
(b) | Per share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the year. |
(c) | Amounts shown in this caption for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period because of the timing of sales and repurchases of Fund shares in relation to fluctuating market values for the Fund. |
(d) | Amount is less than $0.005 per share. |
(e) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates of each distribution. Total returns for periods of less than one year are not annualized. Broker commission charges are not included in this calculation. |
(f) | If an Affiliate had not made a contribution during the year ended December 31 2022, the total return would have remained (15.41)%. |
(g) | Annualized. |
(h) | Portfolio turnover rate excludes securities received or delivered from in-kind processing of creations or redemptions. |
(i) | Not annualized. |
SPDR Bloomberg Emerging Markets Local Bond ETF |
SPDR Bloomberg International Corporate Bond ETF |
SPDR Bloomberg International Treasury Bond ETF |
SPDR Bloomberg Short Term International Treasury Bond ETF |
SPDR FTSE International Government Inflation-Protected Bond ETF |
Asset Derivatives | |||||||||||
Interest Rate Risk | Foreign Exchange Risk | Credit Risk | Equity Risk | Commodity Risk | Total | ||||||
SPDR Bloomberg Emerging Markets Local Bond ETF | |||||||||||
Forward Foreign Currency Exchange Contracts | $— | $855,320 | $— | $— | $— | $855,320 |
Liability Derivatives | |||||||||||
Interest Rate Risk | Foreign Exchange Risk | Credit Risk | Equity Risk | Commodity Risk | Total | ||||||
SPDR Bloomberg Emerging Markets Local Bond ETF | |||||||||||
Forward Foreign Currency Exchange Contracts | $— | $784,815 | $— | $— | $— | $784,815 |
Net Realized Gain (Loss) | |||||||||||
Interest Rate Risk | Foreign Exchange Risk | Credit Risk | Equity Risk | Commodity Risk | Total | ||||||
SPDR Bloomberg Emerging Markets Local Bond ETF | |||||||||||
Forward Foreign Currency Exchange Contracts | $— | $1,592,412 | $— | $— | $— | $1,592,412 |
Net Change in Unrealized Appreciation (Depreciation) | |||||||||||
Interest Rate Risk | Foreign Exchange Risk | Credit Risk | Equity Risk | Commodity Risk | Total | ||||||
SPDR Bloomberg Emerging Markets Local Bond ETF | |||||||||||
Forward Foreign Currency Exchange Contracts | $— | $64,389 | $— | $— | $— | $64,389 |
Offsetting of Financial Assets and Derivative Assets | ||||||||
Forward Foreign Currency Exchange Contracts | ||||||||
Counterparty | Gross Amounts of Assets | Amount Eligible to Offset | Collateral (Received) Pledged | Net Amount | ||||
Barclays Capital | $195,648 | $(195,648) | $— | $ — | ||||
Goldman Sachs Capital Markets L.P. | 47,651 | — | — | 47,651 | ||||
UBS AG | 612,021 | (95,624) | — | 516,397 | ||||
$855,320 | $(291,272) | $— | $564,048 |
Offsetting of Financial Liabilities and Derivative Liabilities | ||||||||
Forward Foreign Currency Exchange Contracts | ||||||||
Counterparty | Gross Amounts of Liabilities | Amount Eligible to Offset | Collateral (Received) Pledged | Net Amount | ||||
Barclays Capital | $(277,691) | $195,648 | $— | $ (82,043) | ||||
Standard Chartered Bank | (378,037) | — | — | (378,037) | ||||
UBS AG | (95,624) | 95,624 | — | — | ||||
Westpac Banking Corp. | (33,463) | — | — | (33,463) | ||||
$(784,815) | $291,272 | $— | $(493,543) |
Annual Rate | |
SPDR Bloomberg Emerging Markets Local Bond ETF | 0.30% |
SPDR Bloomberg International Corporate Bond ETF | 0.50 |
SPDR Bloomberg International Treasury Bond ETF | 0.35 |
SPDR Bloomberg Short Term International Treasury Bond ETF | 0.35 |
SPDR FTSE International Government Inflation-Protected Bond ETF | 0.50 |
Purchases | Sales | ||
SPDR Bloomberg Emerging Markets Local Bond ETF | $1,901,557,667 | $704,891,129 | |
SPDR Bloomberg International Corporate Bond ETF | 24,926,394 | 16,991,888 | |
SPDR Bloomberg International Treasury Bond ETF | 210,250,345 | 123,961,748 | |
SPDR Bloomberg Short Term International Treasury Bond ETF | 89,348,808 | 88,139,519 | |
SPDR FTSE International Government Inflation-Protected Bond ETF | 189,600,420 | 179,568,936 |
In-kind Contributions | In-kind Redemptions | In-kind Net Realized Gains/(Losses) | |||
SPDR Bloomberg Emerging Markets Local Bond ETF | $135,820,601 | $136,160,292 | $(11,048,273) | ||
SPDR Bloomberg International Corporate Bond ETF | 28,140,371 | 19,028,316 | (1,281,874) | ||
SPDR Bloomberg International Treasury Bond ETF | 366,096,330 | 99,670,677 | (6,344,133) | ||
SPDR Bloomberg Short Term International Treasury Bond ETF | 14,342,200 | 17,650,715 | (2,664,311) | ||
SPDR FTSE International Government Inflation-Protected Bond ETF | 168,138,057 | 17,511,824 | 1,322,058 |
Ordinary Income | Long-Term Capital Gains | Tax Return of Capital | Total | ||||
SPDR Bloomberg Emerging Markets Local Bond ETF | $ 3,714,999 | $ — | $86,940,908 | $90,655,907 | |||
SPDR Bloomberg International Corporate Bond ETF | 628,666 | — | — | 628,666 | |||
SPDR Bloomberg International Treasury Bond ETF | 10,363,828 | — | — | 10,363,828 | |||
SPDR Bloomberg Short Term International Treasury Bond ETF | 526,121 | 138,965 | — | 665,086 | |||
SPDR FTSE International Government Inflation-Protected Bond ETF | 37,295,303 | — | 11,096,490 | 48,391,793 |
Ordinary Income | Long-Term Capital Gains | Tax Return of Capital | Total | ||||
SPDR Bloomberg Emerging Markets Local Bond ETF | $ 39,014,812 | $ — | $ 6,269,073 | $ 45,283,885 | |||
SPDR Bloomberg International Corporate Bond ETF | 716,688 | — | — | 716,688 | |||
SPDR Bloomberg International Treasury Bond ETF | 8,885,986 | — | — | 8,885,986 | |||
SPDR Bloomberg Short Term International Treasury Bond ETF | 1,221,564 | — | — | 1,221,564 | |||
SPDR FTSE International Government Inflation-Protected Bond ETF | 17,883,899 | 1,231,484 | — | 19,115,383 |
Undistributed Ordinary Income | Capital Loss Carryforwards | Undistributed Long-Term Capital Gains | Net Unrealized Gains (Losses) | Total | |||||
SPDR Bloomberg Emerging Markets Local Bond ETF | $— | $(102,997,164) | $— | $(196,752,788) | $(299,749,952) | ||||
SPDR Bloomberg International Corporate Bond ETF | — | (826,338) | — | (27,135,300) | (27,961,638) | ||||
SPDR Bloomberg International Treasury Bond ETF | — | (9,590,138) | — | (188,780,099) | (198,370,237) | ||||
SPDR Bloomberg Short Term International Treasury Bond ETF | — | (2,461,219) | — | (11,437,785) | (13,899,004) | ||||
SPDR FTSE International Government Inflation-Protected Bond ETF | — | (8,576,000) | — | (102,617,163) | (111,193,163) |
Non-Expiring Short Term | Non-Expiring Long Term | ||
SPDR Bloomberg Emerging Markets Local Bond ETF | $39,775,120 | $63,222,044 | |
SPDR Bloomberg International Corporate Bond ETF | 214,332 | 612,006 | |
SPDR Bloomberg International Treasury Bond ETF | 2,425,494 | 7,164,644 | |
SPDR Bloomberg Short Term International Treasury Bond ETF | 1,097,731 | 1,363,488 | |
SPDR FTSE International Government Inflation-Protected Bond ETF | 5,592,148 | 2,983,852 |
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | ||||
SPDR Bloomberg Emerging Markets Local Bond ETF | $2,346,402,571 | $22,101,409 | $218,962,742 | $(196,861,333) | |||
SPDR Bloomberg International Corporate Bond ETF | 173,772,421 | 524,823 | 27,709,740 | (27,184,917) | |||
SPDR Bloomberg International Treasury Bond ETF | 1,296,340,754 | 5,518,844 | 194,401,052 | (188,882,208) | |||
SPDR Bloomberg Short Term International Treasury Bond ETF | 155,326,332 | 1,315,894 | 12,757,427 | (11,441,533) | |||
SPDR FTSE International Government Inflation-Protected Bond ETF | 620,751,560 | 1,499,504 | 104,083,041 | (102,583,537) |
Fund | Market Value of Securities on Loan | Cash Collateral Received | Total Collateral Received | |||
SPDR Bloomberg Emerging Markets Local Bond ETF | $ 35,830,780 | $ 36,893,506 | $ 36,893,506 | |||
SPDR Bloomberg International Corporate Bond ETF | 8,535,613 | 8,734,973 | 8,734,973 |
Remaining Contractual Maturity of the Agreements as of December 31, 2022 | ||||||||||||||
Fund | Securities Lending Transactions | Overnight and Continuous | <30 Days | Between 30 & 90 Days | >90 Days | Total Borrowings | Gross Amount of Recognized Liabilities for Securities Lending Transactions | |||||||
SPDR Bloomberg Emerging Markets Local Bond ETF | Foreign Government Obligations | $36,893,506 | $— | $— | $— | $36,893,506 | $36,893,506 | |||||||
SPDR Bloomberg International Corporate Bond ETF | Corporate Bonds & Notes | 8,734,973 | — | — | — | 8,734,973 | 8,734,973 |
Individual series constituting SPDR Series Trust | Statement of operations | Statements of changes in net assets | Financial highlights |
SPDR Bloomberg Emerging Markets Local Bond ETF (formerly, SPDR Bloomberg Barclays Emerging Markets Local Bond ETF) SPDR Bloomberg International Corporate Bond ETF (formerly, SPDR Bloomberg Barclays International Corporate Bond ETF) SPDR Bloomberg International Treasury Bond ETF (formerly, SPDR Bloomberg Barclays International Treasury Bond ETF) SPDR Bloomberg Short Term International Treasury Bond ETF (formerly, SPDR Bloomberg Barclays Short Term International Treasury Bond ETF) SPDR FTSE International Government Inflation-Protected Bond | For the year ended December 31, 2022 | For the each of the two years in the period ended December 31, 2022 | For each of the two years in the period ended December 31, 2022, the period from July 1, 2019 to December 31, 2019 and each of the two years in the period ended June 30, 2019 |
February 24, 2023
Actual | Hypothetical (assuming a 5% return before expenses) | ||||||||
Annualized Expense Ratio | Ending Account Value | Expenses Paid During Period(a) | Ending Account Value | Expenses Paid During Period(a) | |||||
SPDR Bloomberg Emerging Markets Local Bond ETF | 0.31% | $1,035.50 | $1.59 | $1,023.60 | $1.58 | ||||
SPDR Bloomberg International Corporate Bond ETF | 0.51 | 988.20 | 2.56 | 1,022.60 | 2.60 | ||||
SPDR Bloomberg International Treasury Bond ETF | 0.36 | 977.10 | 1.79 | 1,023.40 | 1.84 | ||||
SPDR Bloomberg Short Term International Treasury Bond ETF | 0.36 | 1,003.60 | 1.82 | 1,023.40 | 1.84 | ||||
SPDR FTSE International Government Inflation-Protected Bond ETF | 0.51 | 972.20 | 2.54 | 1,022.60 | 2.60 |
(a) | Expenses are equal to the Fund's annualized net expense ratio multiplied by the average account value of the period, multiplied by 184, then divided by 365. |
Amount | |
SPDR Bloomberg Short Term International Treasury Bond ETF | $138,965 |
Amount | |
SPDR Bloomberg Emerging Markets Local Bond ETF | $2,362,958 |
Amount | |
SPDR Bloomberg Emerging Markets Local Bond ETF | $92,616,511 |
Trustee Nominee Name | Shares For | Shares Withheld |
Clare S. Richer | 458,963,922.211 | 3,805,311.071 |
Sandra G. Sponem | 458,912,867.553 | 3,856,365.729 |
Kristi L. Rowsell | 459,030,936.405 | 3,738,296.877 |
Gunjan Chauhan | 458,827,846.171 | 3,941,387.111 |
Carolyn M. Clancy | 459,042,164.143 | 3,727,069.139 |
Name, Address and Year of Birth | Position(s) with Funds | Term of Office and Length of Time Served | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During the Past 5 Years | |||||
Trustees | ||||||||||
Independent Trustees | ||||||||||
CARL G. VERBONCOEUR c/o SPDR Series Trust One Iron Street Boston, MA 02210 1952 | Independent Trustee, Chairman, Trustee Committee Chair | Term: Unlimited Served: since April 2010 | Self-employed consultant since 2009. | 125 | The Motley Fool Funds Trust (Trustee). | |||||
DWIGHT D. CHURCHILL c/o SPDR Series Trust One Iron Street Boston, MA 02210 1953 | Independent Trustee, Audit Committee Chair | Term: Unlimited Served: since April 2010 | Self-employed consultant since 2010; CEO and President, CFA Institute (June 2014 - January 2015). | 125 | Affiliated Managers Group, Inc. (Chairman, Director and Audit Committee Chair). | |||||
CLARE S. RICHER c/o SPDR Series Trust One Iron Street Boston, MA 02210 1958 | Independent Trustee | Term: Unlimited Served: since July 2018 | Retired. Chief Financial Officer, Putnam Investments LLC (December 2008 - May 2017). | 125 | Principal Financial Group (Director and Financial Committee Chair); Bain Capital Specialty Finance (Director); University of Notre Dame (Trustee); Putnam Acquisition Financing Inc. (Director); Putnam Acquisition Financing LLC (Director); Putnam GP Inc. (Director); Putnam Investor Services, Inc. (Director); Putnam Investments Limited (Director). | |||||
SANDRA G. SPONEM c/o SPDR Series Trust One Iron Street Boston, MA 02210 1958 | Independent Trustee | Term: Unlimited Served: since July 2018 | Retired. Chief Financial Officer, M.A. Mortenson Companies, Inc.(construction and real estate company) (February 2007 - April 2017). | 125 | Rydex Series Funds Rydex Dynamic Funds Rydex Variable Trust Guggenheim Funds Trust; Guggenheim Variable Funds Trust; Guggenheim Strategy Funds Trust; Transparent Value Trust; Fiduciary/ Claymore Energy Infrastructure Fund; Guggenheim Taxable Municipal Bond & Investment Grade Debt Trust; Guggenheim Strategic Opportunities Fund; Guggenheim Enhanced Equity Income Fund; Guggenheim Credit Allocation Fund; Guggenheim Energy & Income Fund; Guggenheim Active Allocation Fund (Trustee and Audit Committee Chair). |
Name, Address and Year of Birth | Position(s) with Funds | Term of Office and Length of Time Served | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During the Past 5 Years | |||||
CAROLYN M. CLANCY c/o SPDR Index Shares Funds One Iron Street Boston, MA 02210 1960 | Independent Trustee | Term: Unlimited Served: since October 2022 | Retired. Executive Vice President, Head of Strategy, Analytics and Market Readiness, Fidelity Investments (April 2020 – June 2021); Executive Vice President, Head of Broker Dealer Business, Fidelity Investments (July 2017 – March 2020). | 125 | Assumption University (Trustee); Big Sister Association of Greater Boston (Director). | |||||
KRISTI L. ROWSELL c/o SPDR Index Shares Funds One Iron Street Boston, MA 02210 1966 | Independent Trustee | Term: Unlimited Served: since October 2022 | Partner and President, Harris Associates (2010 – 2021). | 125 | Oakmark Funds (Trustee); Board of Governors, Investment Company Institute (Member); Habitat for Humanity Chicago (Director). | |||||
Interested Trustee | ||||||||||
JAMES E. ROSS* c/o SPDR Series Trust One Iron Street Boston, MA 02210 1965 | Interested Trustee | Term: Unlimited Served as Trustee: since April 2010 | President, Winnisquam Capital LLC (December 2022 – present); Non-Executive Chairman, Fusion Acquisition Corp II. (February 2020 - Present); Non-Executive Chairman, Fusion Acquisition Corp. (June 2020 - September 2021); Retired Chairman and Director, SSGA Funds Management, Inc. (2005 - March 2020); Retired Executive Vice President, State Street Global Advisors (2012 - March 2020); Retired Chief Executive Officer and Manager, State Street Global Advisors Funds Distributors, LLC (May 2017 - March 2020); Director, State Street Global Markets, LLC (2013 - April 2017); President, SSGA Funds Management, Inc. (2005 - 2012); Principal, State Street Global Advisors (2000 - 2005). | 136 | Investment Managers Series Trust (December 2022 – present); The Select Sector SPDR Trust (November 2005 - Present); SSGA SPDR ETFs Europe I PLC (Director) (November 2016 - March 2020); SSGA SPDR ETFs Europe II PLC (Director) (November 2016 - March 2020); State Street Navigator Securities Lending Trust (July 2016 - March 2020); SSGA Funds (January 2014 - March 2020); State Street Institutional Investment Trust (February 2007 - March 2020); State Street Master Funds (February 2007 - March 2020); Elfun Funds (July 2016 - December 2018). | |||||
GUNJAN CHAUHAN** c/o SPDR Index Shares Funds One Iron Street Boston, MA 02210 1982 | Interested Trustee | Term: Unlimited Served: Since October 2022 | Senior Managing Director, State Street Global Advisors (April 2018 – Present); Managing Director, State Street Global Advisors (June 2015– March 2018). | 125 | State Street ICAV (Director). | |||||
† For the purpose of determining the number of portfolios overseen by the Trustees, “Fund Complex” comprises registered investment companies for which SSGA Funds Management, Inc. serves as investment adviser, which includes series of SPDR Series Trust, SPDR Index Shares Funds and SSGA Active Trust. | ||||||||||
* Mr. Ross is an Interested Trustee because of his ownership interest in an affiliate of the Adviser. Mr. Ross previously served as an Interested Trustee from November 2005 to December 2009. | ||||||||||
** Ms. Chauhan is an Interested Trustee because of her position with an affiliate of the Adviser. |
Name, Address and Year of Birth | Position(s) with Funds | Term of Office and Length of Time Served | Principal Occupation(s) During the Past 5 Years | |||
Officers | ||||||
ELLEN M. NEEDHAM SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1967 | President | Term: Unlimited Served: since October 2012 | Chairman, SSGA Funds Management Inc. (March 2020 - present); President and Director, SSGA Funds Management, Inc. (2001 - present)*; Senior Managing Director, State Street Global Advisors (1992 - present)*; Manager, State Street Global Advisors Funds Distributors, LLC (May 2017 - present). | |||
BRUCE S. ROSENBERG SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1961 | Treasurer | Term: Unlimited Served: since February 2016 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (July 2015 - present); Director, Credit Suisse (April 2008 - July 2015). | |||
ANN M. CARPENTER SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1966 | Vice President; Deputy Treasurer | Term: Unlimited Served: since August 2012 (with respect to Vice President); Unlimited Served: since February 2016 (with respect to Deputy Treasurer) | Chief Operating Officer, SSGA Funds Management, Inc. (April 2005 - Present)*; Managing Director, State Street Global Advisors (April 2005 - present).* | |||
MICHAEL P. RILEY SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1969 | Vice President | Term: Unlimited Served: since February 2005 | Managing Director, State Street Global Advisors (2005 - present).* | |||
CHAD C. HALLETT SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1969 | Deputy Treasurer | Term: Unlimited Served: since February 2016 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (November 2014 - present). | |||
DARLENE ANDERSON-VASQUEZ SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1968 | Deputy Treasurer | Term: Unlimited Served: since November 2016 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (May 2016 - present); Senior Vice President, John Hancock Investments (September 2007 - May 2016). | |||
ARTHUR A. JENSEN SSGA Funds Management, Inc. 1600 Summer Street Stamford, CT 06905 1966 | Deputy Treasurer | Term: Unlimited Served: Since August 2017 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (July 2016 - present); Mutual Funds Controller of GE Asset Management Incorporated (April 2011 - July 2016). | |||
DAVID LANCASTER SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1971 | Assistant Treasurer | Term: Unlimited Served: since November 2020 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (July 2017 - present); Assistant Vice President, State Street Bank and Trust Company (November 2011 - July 2017).* | |||
RYAN HILL SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1982 | Assistant Treasurer | Term: Unlimited Served: since May 2022 | Vice President, State Street Global Advisors and SSGA Funds Management Inc. (May 2017 - present); Assistant Vice President, State Street Bank and Trust Co. (May 2014 - May 2017). |
Name, Address and Year of Birth | Position(s) with Funds | Term of Office and Length of Time Served | Principal Occupation(s) During the Past 5 Years | |||
JOHN BETTENCOURT SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1976 | Assistant Treasurer | Term: Unlimited Served: since May 2022 | Vice President, State Street Global Advisors and SSGA Funds Management Inc. (March 2020 - present); Assistant Vice President, State Street Global Advisors (June 2007 - March 2020). | |||
BRIAN HARRIS SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1973 | Chief Compliance Officer; Anti-Money Laundering Officer; Code of Ethics Compliance Officer | Term: Unlimited Served: since November 2013 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (June 2013 - present).* | |||
SEAN O'MALLEY SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1969 | Chief Legal Officer | Term: Unlimited Served:since August 2019 | Senior Vice President and Deputy General Counsel, State Street Global Advisors (November 2013 - present). | |||
DAVID BARR SSGA Funds Management, Inc One Iron Street Boston, MA 02210 1974 | Assistant Secretary | Term:Unlimited Served:since November 2020 | Vice President and Senior Counsel, State Street Global Advisors (October 2019 - present); Vice President at Eaton Vance Corp. (October 2010 - October 2019). | |||
DAVID URMAN SSGA Funds Management, Inc One Iron Street Boston, MA 02210 1985 | Secretary | Term:Unlimited Served:since August 2019 | Vice President and Senior Counsel, State Street Global Advisors (April 2019 - present); Vice President and Counsel, State Street Global Advisors (August 2015 - April 2019); Associate, Ropes & Gray LLP (November 2012 - August 2015). | |||
* Served in various capacities and/or with various affiliated entities during noted time period. | ||||||
The Statement of Additional Information (SAI) includes additional information about the Funds' trustees and is available, without charge, upon request and by calling 1-866-787-2257. |
One Iron Street
Boston, MA 02210
One Iron Street
Boston, MA 02210
and Transfer Agent
One Lincoln Street
Boston, MA 02111
1111 Pennsylvania Avenue, NW
Washington, DC 20004
200 Clarendon Street
Boston, MA 02116
One Iron Street
Boston, MA 02210
(b) Not applicable.
Item 2. Code of Ethics.
As of the end of the period covered by this report, the registrant has adopted a code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party (the “Code of Ethics”). During the period covered by this report, no substantive amendments were made to the Code of Ethics. During the period covered by this report, the registrant did not grant any waivers, including any implicit waivers, from any provision of the Code of Ethics.
The Code of Ethics is attached hereto as Exhibit 13(a)(1).
Item 3. Audit Committee Financial Expert.
(a)(1) The Board of Trustees of the registrant has determined that the registrant has four Board members serving on the Audit Committee that possess the attributes identified in Instructions 2(b) of Item 3 to Form N-CSR to qualify as an “audit committee financial expert.”
(2) Dwight Churchill, Clare Richer, Kristi Rowsell, Sandra Sponem and Carl Verboncoeur are the registrant’s audit committee financial experts. The Board also determined that each of the foregoing persons are not “interested person(s)” of the registrant as that term is defined in Section 2(a)(19) of the Investment Company Act of 1940, as amended (the “1940 Act”).
Item 4. Principal Accountant Fees and Services.
(a) Audit Fees.
For the fiscal year ending December 31, 2022 and December 31, 2021, the aggregate audit fees billed for professional services rendered by the principal accountant were $123,675 and $89,700, respectively. Audit fees include the performance of the annual audits, security counts performed during the course of the period for each series of the registrant and routine regulatory filings (one for each SEC registrant).
(b) Audit-Related Fees.
For the fiscal year ending December 31, 2022 and December 31, 2021, the principal accountant did not bill the registrant any fees for assurances and related services that are reasonably related to the performance of the audit of the registrant’s financial statements and are not reported under paragraph (a) of this Item.
(c) Tax Fees.
For the fiscal year ending December 31, 2022 and December 31, 2021, the aggregate tax fees billed for professional services rendered by the principal accountant were $13,890 and $34,725, respectively. Tax services related to the review of year-end distribution requirements for the fiscal year ended December 31, 2022 and the review of year-end distribution requirements as well as tax compliance, tax advice, and tax planning in the form of preparation of excise filings and income tax returns for the fiscal year ended December 31, 2021.
(d) All Other Fees.
For the fiscal year ending December 31, 2022 and December 31, 2021, there were no fees billed for professional services rendered by E&Y for products and services provided by E&Y to the Trust, other than the services reported in paragraphs (a) through (c).
For the fiscal year ended December 31, 2022 and calendar year ended December 31, 2021, the aggregate fees for professional services rendered by E&Y for products and services provided by E&Y to the Adviser and any entity controlling, controlled by, or under common control with the Adviser that provides ongoing services to the Trust that (i) relate directly to the operations and financial reporting of the Trust and (ii) were pre-approved by the Audit Committee were approximately $9,327,125 and $8,904,469, respectively.
(e)(1) Audit Committee Pre-Approval Policies and Procedures.
The registrant’s Audit Committee Charter states the following with respect to pre-approval procedures:
Before the independent auditors are engaged by the Trust to render audit or non-audit services, either:
a. | The Audit Committee shall pre-approve all audit, audit-related and permissible non-audit services provided to the Trust. The Audit Committee may delegate to one or more of its members the authority to grant pre-approvals. Any decision of any member to whom authority is delegated under this section shall be presented to the full Audit Committee at its next regularly scheduled meeting; |
or
b. | The engagement to render the audit, audit-related or permissible non-audit service is entered into pursuant to pre-approval policies and procedures established by the Audit Committee. Any such policies and procedures must (1) be detailed as to the particular service and (2) not involve any delegation of the Audit Committee’s responsibilities to the investment adviser. The Audit Committee must be informed of each service entered into pursuant to the policies and procedures. A copy of any such policies and procedures shall be attached as an exhibit to the Audit Committee Charter. |
c. | Pre-Approval for a service provided to the Trust other than audit or audit-related services is not required if: (1) the aggregate amount of all such permissible non-audit services provided to the Trust constitutes not more than five percent (5%) of the total amount of revenues paid by the Trust to the independent auditors during the fiscal year in which the permissible non-audit services are provided; (2) such services were not recognized by the Trust at the time of the engagement to be permissible non-audit services; and (3) such services are promptly brought to the attention of the Audit Committee and are approved by the Audit Committee or by one or more members of the Audit Committee to whom authority to grant such approvals has been delegated by the Audit Committee prior to the completion of the audit. |
d. | The Audit Committee shall pre-approve any permissible non-audit services proposed to be provided by the independent auditors to (a) the investment adviser and (b) any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the Trust, if the independent auditors’ engagement with the investment adviser or any such control persons relates directly to the operations and financial reporting of the Trust. It shall be the responsibility of the independent auditors to notify the Audit Committee of any permissible non-audit services that need to be pre-approved. |
Notwithstanding the above, Pre-Approval for any permissible non-audit services under this Sub-section is not required if: (1) the aggregate amount of all such permissible non-audit services constitutes not more than five percent (5%) of the total amount of revenues paid to the independent auditors by the Trust and any other entity that has its services approved under this Section (i.e., the investment adviser or any control person) during the fiscal year in which the permissible non-audit services are provided; (2) such services were not recognized by the Trust at the time of the engagement to be permissible non-audit services; and (3) such services are promptly brought to the attention of the Audit Committee and are approved by the Audit Committee or by one or more members of the Audit Committee to whom authority to grant such approvals has been delegated by the Audit Committee prior to the completion of the audit.
(e)(2) Percentage of Services.
One hundred percent of the services described in each of paragraphs (b) through (d) of this Item were approved by the registrant’s Audit Committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.
(f) Not applicable.
(g) The aggregate non-audit fees billed for by the registrant’s accountant for services rendered to the registrant, and rendered to the registrant’s investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser were as follows:
FY 2022 (in millions) | FY 2021 (in millions) | |||||||
Non audit services billed to: | ||||||||
Registrant: | See Item 4 | (c) | See Item 4 | (c) | ||||
Investment Adviser: | — | — | ||||||
Other entities in the Investment Company Complex(1): | ||||||||
Audit Related Fees | $ | 18.1 | $ | 18.1 | ||||
Tax Fees | $ | 5.4 | $ | 5.4 | ||||
All Other Fees | $ | 14.5 | $ | 14.5 |
(1) | Services under the caption Audit-Related Fees consisted principally of reports on the processing of transactions by servicing organizations, audits of employee benefit plan, non-statutory audits and due diligence procedures. Services under the caption Tax Fees consisted principally of expatriate, compliance and corporate tax advisory services. Services under the caption All Other Fees primarily related to statutory and financial statement audits and the requirement to opine on the design and operating effectiveness of internal control over financial reporting. |
(h) The registrant’s principal accountant notified the registrant’s Audit Committee of all non-audit services that were rendered by the principal accountant to the Adviser and any entity controlling, controlled by, or under common control with the Adviser that provides services to the registrant, which services were not required to be pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X, allowing the registrant’s Audit Committee to consider whether such services were compatible with maintaining the principal accountant’s independence.
Item 5. Audit Committees of Listed Registrants.
The registrant has an audit committee which was established by the Board of Trustees of the registrant in accordance with Section 3(a)(58)(A) of the Securities Exchange Act of 1934, as amended. The members of the registrant’s Audit committee are Dwight Churchill, Clare Richer, Sandra Sponem and Carl Verboncoeur.
Item 6. Investments.
(a) | A Schedule of Investments for each applicable series of the registrant is included as a part of the report to shareholders filed under Item 1 of this Form N-CSR. |
(b) | Not applicable to the registrant. |
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable to the registrant.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable to the registrant.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable to the registrant.
Item 10. Submission of Matters to a Vote of Security Holders.
The registrant has not adopted any material changes to the procedures by which shareholders may recommend nominees to the registrant’s Board.
Item 11. Controls and Procedures.
(a) The Trust’s principal executive officer and principal financial officer have concluded that the Trust’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective to provide reasonable assurance that information required to be disclosed by the Registrant on Form N-CSR is recorded, processed, summarized and reported as of a date within 90 days of the filing date of this report, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended.
(b) There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
(a) Not applicable to the registrant.
(b) Not applicable to the registrant.
Item 13. Exhibits.
(a)(1) |
(a)(2) |
(a)(3) | Not applicable to the registrant. |
(a)(4) | Not applicable. |
(b) |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934, as amended, and the Investment Company Act of 1940, as amended, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
SPDR® Series Trust
By: | /s/ Ellen M. Needham | |
Ellen M. Needham | ||
President and Principal Executive Officer |
Date: March 8, 2023
Pursuant to the requirements of the Securities Exchange Act of 1934, as amended, and the Investment Company Act of 1940, as amended, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By: | /s/ Ellen M. Needham | |
Ellen M. Needham | ||
President and Principal Executive Officer |
Date: March 8, 2023
By: | /s/ Bruce S. Rosenberg | |
Bruce S. Rosenberg | ||
Treasurer and Principal Financial Officer |
Date: March 8, 2023