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UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-21864
WisdomTree Trust
(Exact name of registrant as specified in charter)
250 West 34th Street, 3rd Floor
New York, NY 10119
(Address of principal executive offices) (Zip code)
The Corporation Trust Company
1209 Orange Street
Wilmington, DE 19801
(Name and address of agent for service)
Registrant’s telephone number, including area code: (866) 909-9473
Date of fiscal year end: August 31
Date of reporting period: February 28, 2022
Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 100 F Street, NE, Washington, DC 20549. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.
Table of Contents
Item 1. | Reports to Stockholders. |
(a) | The Reports to Shareholders are attached herewith. |
(b) | Not Applicable. |
Table of Contents
WisdomTree Trust
Semi-Annual Report
February 28, 2022
Currency Strategy Funds:
WisdomTree Bloomberg U.S. Dollar Bullish Fund (USDU)
WisdomTree Chinese Yuan Strategy Fund (CYB)
WisdomTree Emerging Currency Strategy Fund (CEW)
Fixed Income Funds:
WisdomTree Emerging Markets Corporate Bond Fund (EMCB)
WisdomTree Emerging Markets Local Debt Fund (ELD)
WisdomTree Floating Rate Treasury Fund (USFR)
WisdomTree Interest Rate Hedged High Yield Bond Fund (HYZD)
WisdomTree Interest Rate Hedged U.S. Aggregate Bond Fund (AGZD)
WisdomTree Mortgage Plus Bond Fund (MTGP)
WisdomTree Yield Enhanced U.S. Aggregate Bond Fund (AGGY)
WisdomTree Yield Enhanced U.S. Short-Term Aggregate Bond Fund (SHAG)
Alternative Funds:
WisdomTree Alternative Income Fund (HYIN)
WisdomTree CBOE S&P 500 PutWrite Strategy Fund (PUTW)
WisdomTree Efficient Gold Plus Gold Miners Strategy Fund (GDMN)
WisdomTree Enhanced Commodity Strategy Fund (GCC)
WisdomTree Managed Futures Strategy Fund (WTMF)
WisdomTree Target Range Fund (GTR)
Table of Contents
Information about Performance and Shareholder Expense Examples (unaudited) | �� | 1 | ||
2 | ||||
19 | ||||
Schedules of Investments (unaudited) | ||||
24 | ||||
27 | ||||
29 | ||||
31 | ||||
37 | ||||
41 | ||||
42 | ||||
51 | ||||
78 | ||||
81 | ||||
WisdomTree Yield Enhanced U.S. Short-Term Aggregate Bond Fund | 111 | |||
118 | ||||
119 | ||||
WisdomTree Efficient Gold Plus Gold Miners Strategy Fund (consolidated) | 120 | |||
122 | ||||
124 | ||||
126 | ||||
128 | ||||
132 | ||||
136 | ||||
142 | ||||
151 | ||||
Approval of Investment Advisory and Sub-Advisory Agreements (unaudited) | 169 | |||
174 |
“WisdomTree” is a registered mark of WisdomTree Investments, Inc. and is licensed for use by the WisdomTree Trust.
Table of Contents
Information about Performance and Shareholder Expense Examples (unaudited)
Performance
The performance tables on the following pages are provided for comparative purposes and represent the period noted. Each Fund’s per share net asset value (“NAV”) is the value of one share of the Fund and is calculated by dividing the value of total assets less total liabilities by the number of shares outstanding. The NAV return is based on the NAV of the Fund and the market price return is based on the market price per share of the Fund. The price used to calculate market price returns is the midpoint of the bid and ask price for Fund shares as of the close of trading on the exchange where Fund shares are listed. NAV and market price returns assume that dividends and capital gain distributions have been reinvested in the Fund at NAV and market price, respectively. As with other exchange traded funds (“ETFs”), NAV returns and market price returns may differ because of factors such as the supply and demand for Fund shares and investors’ assessments of the underlying value of a Fund’s portfolio securities.
Fund shares are bought and sold at market price (not NAV) and are not individually redeemed from a Fund. Fund NAV returns are calculated using a Fund’s daily 4:00 p.m. eastern time NAV. Market price returns reflect the midpoint of the bid and ask price as of the close of trading on the exchange where Fund shares are listed. Market price returns do not represent the returns you would receive if you traded shares at other times. The returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. Total returns for a period of less than one year are cumulative.
Performance is historical and does not guarantee future results. Current performance may be lower or higher than quoted. Investment returns and the principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. For the most recent month-end performance information visit www.wisdomtree.com.
An index is a statistical measure of a specified financial market or sector. An index does not actually hold a portfolio of securities, incur expenses or pay any transaction costs. Therefore, index returns do not reflect deductions for fees or expenses and an index is not available for direct investment. In comparison, the Funds’ performance is negatively impacted by these deductions. Fund returns do not reflect brokerage commissions or taxes on transactions in Fund shares or taxes that a shareholder would pay on Fund distributions. Past performance is no guarantee of future results.
Shareholder Expense Examples
Each Fund’s performance table is accompanied by a shareholder expense example. As a shareholder of a WisdomTree Fund, you incur two types of cost: (1) transaction costs, including brokerage commissions on purchases and sales of your Fund shares and (2) ongoing costs, including management fees and other Fund expenses. The examples are intended to help you understand your ongoing costs (in dollars and cents) of investing in a Fund and to compare these costs with the ongoing costs of investing in other funds.
The examples are based on an investment of $1,000 invested at the beginning of the period and held for the entire period from September 1, 2021 to February 28, 2022. Except where noted, expenses are calculated using each Fund’s annualized expense ratio (after the effect of contractual or voluntary fee waivers, if any), multiplied by the average account value for the period, multiplied by 181/365 (to reflect the one-half year period). The annualized expense ratio does not include acquired fund fees and expenses (“AFFEs”), which are fees and expenses incurred indirectly by a Fund through its investments in certain underlying investment companies.
Actual expenses
The first line in the shareholder expense example table shown on the following pages provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line for your Fund under the heading entitled “Expenses Paid During the Period” to estimate the expenses you paid on your account during the period.
Hypothetical example for comparison purposes
The second line in the shareholder expense example table shown on the following pages provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in your Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as brokerage commissions paid on purchases and sales of Fund shares. Therefore, the second line in the table is useful in comparing ongoing Fund costs only and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
WisdomTree Trust | 1 |
Table of Contents
as of February 28, 2022 (unaudited)
WisdomTree Bloomberg U.S. Dollar Bullish Fund (USDU)
Investment Breakdown†
Investment Type | % of Net Assets | |||
U.S. Government Obligations | 95.6% | |||
Exchange-Traded Funds | 4.3% | |||
Other Assets less Liabilities‡ | 0.1% | |||
Total | 100.0% |
† | The Fund’s investment breakdown may change over time. It does not include derivatives (if any). |
‡ | Other assets less liabilities may include investment of cash collateral for securities on loan and/or receivables/payables on derivatives (if any). |
Top Holdings*
Description | % of Net Assets | |||
U.S. Treasury Bill, | 24.3 | % | ||
U.S. Treasury Bill, | 24.3 | % | ||
U.S. Treasury Bill, | 24.2 | % | ||
U.S. Treasury Bill, | 22.8 | % | ||
WisdomTree Floating Rate Treasury Fund (USFR)^ | 4.3 | % |
* | The largest holdings are subject to change, and there are no guarantees the Fund will remain invested in any particular security. Excludes derivatives and investment of cash collateral for securities on loan (if any). |
^ | For a full list of holdings information for the underlying WisdomTree fund, please see page 41 of this report. |
The WisdomTree Bloomberg U.S. Dollar Bullish Fund (the “Fund”) seeks to provide total returns, before fees and expenses, that exceed the performance of the Bloomberg Dollar Total Return Index (the “Index”). The Fund seeks to achieve its investment objective by investing in short-term securities and instruments designed to potentially benefit as the U.S. dollar appreciates in value relative to a basket of global currencies. Although the Fund invests in short-term, investment grade instruments, the Fund is not a “money market” fund and it is not the objective of the Fund to maintain a constant share price.
Shareholder Expense Example (for the six-month period ended February 28, 2022)
Beginning Account Value | Ending Account Value | Annualized Net Expense Ratio | Expenses Paid During the Period | |||||||||||||
Actual | $ | 1,000.00 | $ | 1,025.00 | 0.50 | %1 | $ | 2.51 | ||||||||
Hypothetical (5% return before expenses) | $ | 1,000.00 | $ | 1,022.32 | 0.50 | %1 | $ | 2.51 |
1 | WisdomTree Asset Management, Inc. voluntarily waives a portion of its advisory fee, that it would otherwise charge, in an amount equal to the acquired fund fees and expenses (“AFFEs”) attributable to the Fund’s investment in the underlying WisdomTree fund. The “Annualized Net Expense Ratio” does not include the impact of AFFEs. |
Performance
Average Annual Total Return | ||||||||||||||||||||
6-Month* | 1 Year | 3 Year | 5 Year | Since Inception1 | ||||||||||||||||
Fund NAV Returns | 2.50 | % | 3.15 | % | 0.14 | % | -0.04 | % | 2.05 | % | ||||||||||
Fund Market Price Returns | 2.62 | % | 3.19 | % | 0.18 | % | -0.02 | % | 2.07 | % | ||||||||||
Bloomberg Dollar Total Return Index | 2.81 | % | 3.72 | % | 0.29 | % | -0.09 | % | 2.22 | % | ||||||||||
Bloomberg Dollar Spot Index | 2.94 | % | 3.98 | % | -0.26 | % | -0.97 | % | 1.79 | % |
* | Returns of less than one year are cumulative. |
1 | Total returns are calculated based on the commencement of Fund trading on the NYSE Arca, Inc. on December 18, 2013. |
Performance is historical and does not guarantee future results. The returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares.
2 | WisdomTree Trust |
Table of Contents
Performance Summary
as of February 28, 2022 (unaudited)
WisdomTree Chinese Yuan Strategy Fund (CYB)
Investment Breakdown†
Investment Type | % of Net Assets | |||
U.S. Government Obligations | 61.8 | % | ||
Repurchase Agreement | 31.9 | % | ||
Exchange-Traded Funds | 4.8 | % | ||
Other Assets less Liabilities‡ | 1.5 | % | ||
Total | 100.0 | % |
† | The Fund’s investment breakdown may change over time. It does not include derivatives (if any). |
‡ | Other assets less liabilities may include investment of cash collateral for securities on loan and/or receivables/payables on derivatives (if any). |
Top Holdings*
Description | % of Net Assets | |||
Citigroup, Inc., tri-party repurchase agreement, | 31.9% | |||
U.S. Treasury Bill, | 31.6% | |||
U.S. Treasury Bill, | 30.2% | |||
WisdomTree Floating Rate Treasury Fund (USFR)^ | 4.8% |
* | The largest holdings are subject to change, and there are no guarantees the Fund will remain invested in any particular security. Excludes derivatives and investment of cash collateral for securities on loan (if any). |
†† | Fully collateralized by U.S. Government agency securities. |
^ | For a full list of holdings information for the underlying WisdomTree fund, please see page 41 of this report. |
The WisdomTree Chinese Yuan Strategy Fund (the “Fund”) seeks to achieve total returns reflective of both money market rates in China available to foreign investors and changes in value of the Chinese yuan relative to the U.S. dollar. The Fund seeks to achieve its investment objective by investing in short-term securities and instruments designed to provide exposure to Chinese currency and money market rates. The Chinese yuan is a developing market currency, which can experience periods of significant volatility. Although the Fund invests in short-term, investment grade instruments, the Fund is not a “money market” fund and it is not the objective of the Fund to maintain a constant share price.
Shareholder Expense Example (for the six-month period ended February 28, 2022)
Beginning Account Value | Ending Account Value | Annualized Net Expense Ratio | Expenses Paid During the Period | |||||||||||||
Actual | $ | 1,000.00 | $ | 1,036.10 | 0.45 | %1 | $ | 2.27 | ||||||||
Hypothetical (5% return before expenses) | $ | 1,000.00 | $ | 1,022.56 | 0.45 | %1 | $ | 2.26 |
1 | WisdomTree Asset Management, Inc. voluntarily waives a portion of its advisory fee, that it would otherwise charge, in an amount equal to the acquired fund fees and expenses (“AFFEs”) attributable to the Fund’s investment in the underlying WisdomTree fund. The “Annualized Net Expense Ratio” does not include the impact of AFFEs. |
Performance
Average Annual Total Return | ||||||||||||||||||||
6-Month* | 1 Year | 3 Year | 5 Year | 10 Year | ||||||||||||||||
Fund NAV Returns | 3.61 | % | 5.05 | % | 4.11 | % | 4.35 | % | 2.14 | % | ||||||||||
Fund Market Price Returns | 3.55 | % | 4.64 | % | 4.21 | % | 4.33 | % | 2.15 | % | ||||||||||
JP Morgan Emerging Local Markets Index Plus (ELMI+) China | 3.89 | % | 5.64 | % | 5.17 | % | 5.29 | % | 3.11 | % | ||||||||||
Chinese yuan | 2.32 | % | 2.59 | % | 1.89 | % | 1.70 | % | -0.03 | % |
* | Returns of less than one year are cumulative. |
Performance is historical and does not guarantee future results. The returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares.
WisdomTree Trust | 3 |
Table of Contents
Performance Summary
as of February 28, 2022 (unaudited)
WisdomTree Emerging Currency Strategy Fund (CEW)
Investment Breakdown†
Investment Type | % of Net Assets | |||
U.S. Government Obligations | 68.0% | |||
Repurchase Agreement | 28.7% | |||
Exchange-Traded Funds | 4.2% | |||
Other Assets less Liabilities‡ | -0.9% | |||
Total | 100.0% |
† | The Fund’s investment breakdown may change over time. It does not include derivatives (if any). |
‡ | Other assets less liabilities may include investment of cash collateral for securities on loan and/or receivables/payables on derivatives (if any). |
Top Holdings*
Description | % of Net Assets | |||
U.S. Treasury Bill, | 40.3% | |||
Citigroup, Inc., tri-party repurchase agreement, | 28.7% | |||
U.S. Treasury Bill, | 27.7% | |||
WisdomTree Floating Rate Treasury Fund (USFR)^ | 4.2% |
* | The largest holdings are subject to change, and there are no guarantees the Fund will remain invested in any particular security. Excludes derivatives and investment of cash collateral for securities on loan (if any). |
†† | Fully collateralized by U.S. Government agency securities. |
^ | For a full list of holdings information for the underlying WisdomTree fund, please see page 41 of this report. |
The WisdomTree Emerging Currency Strategy Fund (the “Fund”) seeks to achieve total returns reflective of both money market rates in selected emerging market countries available to foreign investors and changes to the value of these currencies relative to the U.S. dollar. The Fund seeks to achieve its investment objective by investing in short-term securities and instruments designed to provide exposure to the currencies and money market rates of selected emerging market countries. Emerging market currencies can experience periods of significant volatility. Although the Fund invests in short-term, investment grade instruments, the Fund is not a “money market” fund and it is not the objective of the Fund to maintain a constant share price.
Shareholder Expense Example (for the six-month period ended February 28, 2022)
Beginning Account Value | Ending Account Value | Annualized Net Expense Ratio | Expenses Paid During the Period | |||||||||||||
Actual | $ | 1,000.00 | $ | 939.50 | 0.55 | %1 | $ | 2.64 | ||||||||
Hypothetical (5% return before expenses) | $ | 1,000.00 | $ | 1,022.07 | 0.55 | %1 | $ | 2.76 |
1 | WisdomTree Asset Management, Inc. voluntarily waives a portion of its advisory fee, that it would otherwise charge, in an amount equal to the acquired fund fees and expenses (“AFFEs”) attributable to the Fund’s investment in the underlying WisdomTree fund. The “Annualized Net Expense Ratio” does not include the impact of AFFEs. |
Performance
Average Annual Total Return | ||||||||||||||||||||
6-Month* | 1 Year | 3 Year | 5 Year | 10 Year | ||||||||||||||||
Fund NAV Returns | -6.05 | % | -5.84 | % | -1.98 | % | -0.33 | % | -1.75 | % | ||||||||||
Fund Market Price Returns | -6.54 | % | -6.03 | % | -2.10 | % | -0.36 | % | -1.76 | % | ||||||||||
JP Morgan Emerging Local Markets Index Plus (ELMI+) | -4.41 | % | -3.66 | % | -0.10 | % | 1.20 | % | -0.37 | % | ||||||||||
Equal-Weighted Emerging Currency Composite | -5.42 | % | -4.72 | % | -0.97 | % | 0.65 | % | -0.88 | % |
* | Returns of less than one year are cumulative. |
Performance is historical and does not guarantee future results. The returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares.
4 | WisdomTree Trust |
Table of Contents
Performance Summary
as of February 28, 2022 (unaudited)
WisdomTree Emerging Markets Corporate Bond Fund (EMCB)
Country Breakdown†
Country | % of Net Assets | |||
Brazil | 7.5% | |||
Colombia | 7.0% | |||
Mexico | 6.5% | |||
India | 6.2% | |||
Chile | 5.6% | |||
Israel | 4.8% | |||
Kuwait | 3.7% | |||
Peru | 3.7% | |||
United Arab Emirates | 3.6% | |||
South Africa | 3.4% | |||
Turkey | 3.3% | |||
South Korea | 3.2% | |||
Indonesia | 2.8% | |||
Saudi Arabia | 2.8% | |||
Luxembourg | 2.8% | |||
China | 2.6% | |||
Thailand | 2.6% | |||
Russia | 2.4% | |||
Argentina | 2.3% | |||
Kazakhstan | 2.2% | |||
Panama | 2.2% | |||
Oman | 2.1% | |||
Malaysia | 1.7% | |||
Guatemala | 1.6% | |||
Hong Kong | 1.6% | |||
Singapore | 1.5% | |||
Qatar | 1.4% | |||
Poland | 1.2% | |||
Ireland | 1.0% | |||
Ghana | 1.0% | |||
Others^ | 3.8% | |||
Other Assets less Liabilities‡ | 1.9% | |||
Total | 100.0% |
† | The Fund’s country breakdown may change over time. It does not include derivatives (if any). |
^ | Includes countries that represent less than 1% of net assets. |
‡ | Other assets less liabilities may include investment of cash collateral for securities on loan and/or receivables/payables on derivatives (if any). |
Top Ten Holdings*
Description | % of Net Assets | |||
Ecopetrol SA, | 1.6% | |||
Altice Financing SA, | 1.4% | |||
Canpack SA / Canpack U.S. LLC, | 1.2% | |||
Tengizchevroil Finance Co. International Ltd., | 1.2% | |||
NBK Tier 1 Financing 2 Ltd., | 1.2% | |||
Saudi Arabian Oil Co., | 1.1% | |||
C&W Senior Financing DAC, | 1.0% | |||
Bancolombia SA, | 1.0% | |||
AES Panama Generation Holdings SRL, | 1.0% | |||
Teva Pharmaceutical Finance Netherlands III BV, | 1.0% |
* | The ten largest holdings are subject to change, and there are no guarantees the Fund will remain invested in any particular company. Excludes derivatives and investment of cash collateral for securities on loan (if any). |
The WisdomTree Emerging Markets Corporate Bond Fund (the “Fund”) seeks a high level of total return consisting of both income and capital appreciation. The Fund attempts to achieve its objective through investments in U.S. dollar denominated debt securities issued by corporate entities that are domiciled in, or economically tied to, emerging market countries.
Shareholder Expense Example (for the six-month period ended February 28, 2022)
Beginning Account Value | Ending Account Value | Annualized Expense Ratio | Expenses Paid During the Period | |||||||||||||
Actual | $ | 1,000.00 | $ | 893.00 | 0.60 | % | $ | 2.82 | ||||||||
Hypothetical (5% return before expenses) | $ | 1,000.00 | $ | 1,021.82 | 0.60 | % | $ | 3.01 |
Performance
Average Annual Total Return | ||||||||||||||||||||
6-Month* | 1 Year | 3 Year | 5 Year | Since Inception1 | ||||||||||||||||
Fund NAV Returns | -10.70 | % | -9.11 | % | 2.09 | % | 2.66 | % | 3.18 | % | ||||||||||
Fund Market Price Returns | -8.78 | % | -7.60 | % | 2.74 | % | 2.99 | % | 3.36 | % | ||||||||||
JP Morgan CEMBI Diversified Index | -7.91 | % | -5.82 | % | 3.23 | % | 3.39 | % | 4.30 | % |
* | Returns of less than one year are cumulative. |
1 | Total returns are calculated based on the commencement of Fund trading on the NASDAQ on March 8, 2012. |
Performance is historical and does not guarantee future results. The returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares.
WisdomTree Trust | 5 |
Table of Contents
Performance Summary
as of February 28, 2022 (unaudited)
WisdomTree Emerging Markets Local Debt Fund (ELD)
Country Breakdown†
Country | % of Net Assets | |||
Indonesia | 11.6% | |||
Supranational Bonds | 9.6% | |||
South Africa | 9.6% | |||
Brazil | 7.9% | |||
China | 7.1% | |||
Colombia | 7.0% | |||
Malaysia | 6.8% | |||
Mexico | 5.0% | |||
Thailand | 3.8% | |||
Chile | 3.8% | |||
Russia | 3.7% | |||
Peru | 3.7% | |||
Poland | 3.6% | |||
India | 3.5% | |||
Turkey | 2.1% | |||
Czech Republic | 2.0% | |||
Philippines | 2.0% | |||
Romania | 2.0% | |||
Hungary | 1.9% | |||
United States | 1.8% | |||
Egypt | 0.0% | ^ | ||
Other Assets less Liabilities‡ | 1.5% | |||
Total | 100.0% |
† | The Fund’s country breakdown may change over time. It does not include derivatives (if any). |
‡ | Other assets less liabilities may include investment of cash collateral for securities on loan and/or receivables/payables on derivatives (if any). |
^ | Represents less than 0.05%. |
Top Ten Holdings*
Description | % of Net Assets | |||
Citigroup, Inc., tri-party repurchase agreement, | 1.8% | |||
European Investment Bank, | 1.6% | |||
Brazil Letras do Tesouro Nacional, | 1.5% | |||
International Finance Corp., | 1.5% | |||
Brazil Letras do Tesouro Nacional, | 1.4% | |||
Republic of South Africa Government Bond, | 1.4% | |||
International Finance Corp., | 1.3% | |||
Philippine Government International Bond, | 1.3% | |||
Brazil Notas do Tesouro Nacional, | 1.3% | |||
Indonesia Treasury Bond, | 1.2% |
* | The ten largest holdings are subject to change, and there are no guarantees the Fund will remain invested in any particular security. Excludes derivatives and investment of cash collateral for securities on loan (if any). |
†† | Fully collateralized by U.S. Government agency securities. |
The WisdomTree Emerging Markets Local Debt Fund (the “Fund”) seeks a high level of total return consisting of both income and capital appreciation. The Fund attempts to achieve its objective through investments in fixed income instruments denominated in the local currencies of emerging market countries.
Shareholder Expense Example (for the six-month period ended February 28, 2022)
Beginning Account Value | Ending Account Value | Annualized Expense Ratio | Expenses Paid During the Period | |||||||||||||
Actual | $ | 1,000.00 | $ | 911.20 | 0.55 | % | $ | 2.61 | ||||||||
Hypothetical (5% return before expenses) | $ | 1,000.00 | $ | 1,022.07 | 0.55 | % | $ | 2.76 |
Performance
Average Annual Total Return | ||||||||||||||||||||
6-Month* | 1 Year | 3 Year | 5 Year | 10 Year | ||||||||||||||||
Fund NAV Returns | -8.88 | % | -8.45 | % | -1.07 | % | 0.12 | % | -1.28 | % | ||||||||||
Fund Market Price Returns | -11.05 | % | -10.54 | % | -1.96 | % | -0.39 | % | -1.53 | % | ||||||||||
JP Morgan Government Bond Index-Emerging Markets (GBI-EM) Global Diversified Index | -10.59 | % | -9.96 | % | -1.06 | % | 0.95 | % | -0.77 | % |
* | Returns of less than one year are cumulative. |
Performance is historical and does not guarantee future results. The returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares.
6 | WisdomTree Trust |
Table of Contents
Performance Summary
as of February 28, 2022 (unaudited)
WisdomTree Floating Rate Treasury Fund (USFR)
Investment Breakdown†
Investment Type | % of Net Assets | |||
U.S. Government Obligations | 100.0% | |||
Other Assets less Liabilities‡ | 0.0% | ^ | ||
Total | 100.0% |
† | The Fund’s investment breakdown may change over time. It does not include derivatives (if any). |
‡ | Other assets less liabilities may include investment of cash collateral for securities on loan and/or receivables/payables on derivatives (if any). |
^ | Represents less than 0.05%. |
Top Holdings*
Description | % of Net Assets | |||
U.S. Treasury Floating Rate Note, | 28.2% | |||
U.S. Treasury Floating Rate Note, | 28.2% | |||
U.S. Treasury Floating Rate Note, | 26.8% | |||
U.S. Treasury Floating Rate Note, | 16.8% |
* | The holdings are subject to change, and there are no guarantees the Fund will remain invested in any particular security. Excludes derivatives and investment of cash collateral for securities on loan (if any). |
The WisdomTree Floating Rate Treasury Fund (the “Fund”) seeks to track the price and yield performance, before fees and expenses, of the Bloomberg U.S. Treasury Floating Rate Bond Index (the “Index”). In seeking to track the Index, the Fund invests in floating rate public obligations of the U.S. Treasury. The Fund generally uses a representative sampling strategy to achieve its investment objective, meaning it generally will invest in a sample of the securities in the Index whose risk, return and other characteristics resemble the risk, return and other characteristics of the Index as a whole.
Shareholder Expense Example (for the six-month period ended February 28, 2022)
Beginning Account Value | Ending Account Value | Annualized Expense Ratio | Expenses Paid During the Period | |||||||||||||
Actual | $ | 1,000.00 | $ | 1,000.90 | 0.15 | % | $ | 0.74 | ||||||||
Hypothetical (5% return before expenses) | $ | 1,000.00 | $ | 1,024.05 | 0.15 | % | $ | 0.75 |
Performance
Average Annual Total Return | ||||||||||||||||||||
6-Month* | 1 Year | 3 Year | 5 Year | Since Inception1 | ||||||||||||||||
Fund NAV Returns | 0.09 | % | 0.09 | % | 0.78 | % | 1.09 | % | 0.75 | % | ||||||||||
Fund Market Price Returns | 0.13 | % | 0.09 | % | 0.78 | % | 1.15 | % | 0.74 | % | ||||||||||
Bloomberg U.S. Treasury Floating Rate Bond Index | 0.18 | % | 0.25 | % | 0.96 | % | 1.27 | % | 0.91 | % |
* | Returns of less than one year are cumulative. |
1 | Total returns are calculated based on the commencement of Fund trading on the NYSE Arca, Inc. on February 4, 2014. |
Performance is historical and does not guarantee future results. The returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares.
WisdomTree Trust | 7 |
Table of Contents
Performance Summary
as of February 28, 2022 (unaudited)
WisdomTree Interest Rate Hedged High Yield Bond Fund (HYZD)
Investment Breakdown†
Investment Type | % of Net Assets | |||
U.S. Corporate Bonds | 95.4% | |||
Foreign Corporate Bonds | 0.6% | |||
Other Assets less Liabilities‡ | 4.0% | |||
Total | 100.0% |
† | The Fund’s investment breakdown may change over time. It does not include derivatives (if any). |
‡ | Other assets less liabilities may include investment of cash collateral for securities on loan and/or receivables/payables on derivatives (if any). |
Top Ten Holdings*
Description | % of Net Assets | |||
Caesars Entertainment, Inc., | 0.9% | |||
NRG Energy, Inc., | 0.9% | |||
CSC Holdings LLC, | 0.8% | |||
Sirius XM Radio, Inc., | 0.8% | |||
DISH DBS Corp., | 0.8% | |||
MGM Resorts International, | 0.7% | |||
Gray Television, Inc., | 0.7% | |||
Tenet Healthcare Corp., | 0.7% | |||
DaVita, Inc., | 0.7% | |||
CHS / Community Health Systems, Inc., | 0.6% |
* | The ten largest holdings are subject to change, and there are no guarantees the Fund will remain invested in any particular company. Excludes derivatives and investment of cash collateral for securities on loan (if any). |
The WisdomTree Interest Rate Hedged High Yield Bond Fund (the “Fund”) seeks to track the price and yield performance, before fees and expenses, of the WisdomTree U.S. High Yield Corporate Bond, Zero Duration Index (the “Index”). In seeking to track the Index, the Fund invests mainly in U.S. non-investment-grade corporate fixed income securities that are deemed to have favorable fundamental and income characteristics and obtains short exposure to U.S. Treasuries such that the Fund’s total portfolio duration approximates zero years. The Fund generally uses a representative sampling strategy to achieve its investment objective, meaning it generally will invest in a sample of the securities in the Index whose risk, return and other characteristics resemble the risk, return and other characteristics of the Index as a whole.
Shareholder Expense Example (for the six-month period ended February 28, 2022)
Beginning Account Value | Ending Account Value | Annualized Expense Ratio | Expenses Paid During the Period | |||||||||||||
Actual | $ | 1,000.00 | $ | 993.30 | 0.43 | % | $ | 2.13 | ||||||||
Hypothetical (5% return before expenses) | $ | 1,000.00 | $ | 1,022.66 | 0.43 | % | $ | 2.16 |
Performance
Average Annual Total Return | ||||||||||||||||||||
6-Month* | 1 Year | 3 Year | 5 Year | Since Inception1 | ||||||||||||||||
Fund NAV Returns | -0.67 | % | 2.29 | % | 2.00 | % | 2.93 | % | 3.00 | % | ||||||||||
Fund Market Price Returns | -0.85 | % | 1.00 | % | 2.14 | % | 2.89 | % | 2.99 | % | ||||||||||
ICE BofA Merrill Lynch 0-5 Year U.S. High Yield Constrained, Zero Duration Index/WisdomTree U.S. High Yield Corporate Bond, Zero Duration Spliced Index2 | -0.39 | % | 3.28 | % | 2.97 | % | 3.73 | % | 3.75 | % |
* | Returns of less than one year are cumulative. |
1 | Total returns are calculated based on the commencement of Fund trading on the NASDAQ on December 18, 2013. |
2 | ICE BofA Merrill Lynch 0-5 Year U.S. High Yield Constrained, Zero Duration Index through May 31, 2020; WisdomTree U.S. High Yield Corporate Bond, Zero Duration Index thereafter. |
Performance is historical and does not guarantee future results. The returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares.
8 | WisdomTree Trust |
Table of Contents
Performance Summary
as of February 28, 2022 (unaudited)
WisdomTree Interest Rate Hedged U.S. Aggregate Bond Fund (AGZD)
Investment Breakdown†
Investment Type | % of Net Assets | |||
U.S. Government Obligations | 41.0% | |||
U.S. Government Agencies | 28.7% | |||
U.S. Corporate Bonds | 21.5% | |||
Repurchase Agreement | 7.2% | |||
Foreign Corporate Bonds | 3.2% | |||
Commercial Mortgage-Backed Securities | 2.0% | |||
Supranational Bonds | 1.5% | |||
Foreign Government Obligations | 1.1% | |||
Foreign Government Agencies | 0.7% | |||
Municipal Bonds | 0.4% | |||
Asset-Backed Securities | 0.3% | |||
Other Assets less Liabilities‡ | -7.6% | |||
Total | 100.0% |
† | The Fund’s investment breakdown may change over time. It does not include derivatives (if any). |
‡ | Other assets less liabilities may include investment of cash collateral for securities on loan and/or receivables/payables on derivatives (if any). |
Top Ten Holdings*
Description | % of Net Assets | |||
Citigroup, Inc., tri-party repurchase agreement, | 7.2% | |||
Uniform Mortgage-Backed Security, | 2.1% | |||
Uniform Mortgage-Backed Security, | 1.0% | |||
Government National Mortgage Association, | 0.8% | |||
Uniform Mortgage-Backed Security, | 0.6% | |||
Government National Mortgage Association, | 0.6% | |||
U.S. Treasury Note, | 0.5% | |||
U.S. Treasury Note, | 0.5% | |||
U.S. Treasury Note, | 0.5% | |||
U.S. Treasury Note, | 0.5% |
* | The ten largest holdings are subject to change, and there are no guarantees the Fund will remain invested in any particular security. Excludes derivatives and investment of cash collateral for securities on loan (if any). |
†† | Fully collateralized by U.S. Government agency securities. |
The WisdomTree Interest Rate Hedged U.S. Aggregate Bond Fund (the “Fund”) seeks to track the price and yield performance, before fees and expenses, of the Bloomberg Rate Hedged U.S. Aggregate Bond Index, Zero Duration (the “Index”). In seeking to track the Index, the Fund invests mainly in U.S. investment grade fixed income securities and obtains short exposure to U.S. Treasuries such that the Fund’s total portfolio duration approximates zero years. The Fund generally uses a representative sampling strategy to achieve its investment objective, meaning it generally will invest in a sample of the securities in the Index whose risk, return and other characteristics resemble the risk, return and other characteristics of the Index as a whole.
Shareholder Expense Example (for the six-month period ended February 28, 2022)
Beginning Account Value | Ending Account Value | Annualized Expense Ratio | Expenses Paid During the Period | |||||||||||||
Actual | $ | 1,000.00 | $ | 995.70 | 0.23 | % | $ | 1.14 | ||||||||
Hypothetical (5% return before expenses) | $ | 1,000.00 | $ | 1,023.65 | 0.23 | % | $ | 1.15 |
Performance
Average Annual Total Return | ||||||||||||||||||||
6-Month* | 1 Year | 3 Year | 5 Year | Since Inception1 | ||||||||||||||||
Fund NAV Returns | -0.43 | % | -0.67 | % | 1.22 | % | 1.55 | % | 1.15 | % | ||||||||||
Fund Market Price Returns | -0.43 | % | -0.48 | % | 1.19 | % | 1.55 | % | 1.17 | % | ||||||||||
Bloomberg Rate Hedged U.S. Aggregate Bond Index, Zero Duration | -0.69 | % | -0.33 | % | 1.17 | % | 1.57 | % | 1.40 | % |
* | Returns of less than one year are cumulative. |
1 | Total returns are calculated based on the commencement of Fund trading on the NASDAQ on December 18, 2013. |
Performance is historical and does not guarantee future results. The returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares.
WisdomTree Trust | 9 |
Table of Contents
Performance Summary
as of February 28, 2022 (unaudited)
WisdomTree Mortgage Plus Bond Fund (MTGP)
Investment Breakdown†
Investment Type | % of Net Assets | |||
Collateralized Mortgage Obligations | 46.6% | |||
U.S. Government Agencies | 41.2% | |||
Commercial Mortgage-Backed Securities | 4.8% | |||
Collateralized Loan Obligations | 4.8% | |||
Asset-Backed Securities | 0.8% | |||
Other Assets less Liabilities‡ | 1.8% | |||
Total | 100.0% |
† | The Fund’s investment breakdown may change over time. It does not include derivatives (if any). |
‡ | Other assets less liabilities may include investment of cash collateral for securities on loan and/or receivables/payables on derivatives (if any). |
Top Ten Holdings*
Description | % of Net Assets | |||
Government National Mortgage Association, | 9.4% | |||
Uniform Mortgage-Backed Security, | 8.0% | |||
Government National Mortgage Association, | 6.3% | |||
Uniform Mortgage-Backed Security, | 3.9% | |||
Federal National Mortgage Association, | 2.5% | |||
Federal Home Loan Mortgage Corp., | 2.4% | |||
Federal Home Loan Mortgage Corp. REMIC, | 2.2% | |||
Government National Mortgage Association, | 1.8% | |||
Seasoned Credit Risk Transfer Trust, | 1.6% | |||
Government National Mortgage Association, | 1.4% |
* | The ten largest holdings are subject to change, and there are no guarantees the Fund will remain invested in any particular company. Excludes derivatives and investment of cash collateral for securities on loan (if any). |
The WisdomTree Mortgage Plus Bond Fund (the “Fund”) seeks income and capital appreciation. The Fund attempts to achieve its objective through investments in mortgage-related debt and other securitized debt.
Shareholder Expense Example (for the six-month period ended February 28, 2022)
Beginning Account Value | Ending Account Value | Annualized Expense Ratio | Expenses Paid During the Period | |||||||||||||
Actual | $ | 1,000.00 | $ | 972.90 | 0.45 | % | $ | 2.20 | ||||||||
Hypothetical (5% return before expenses) | $ | 1,000.00 | $ | 1,022.56 | 0.45 | % | $ | 2.26 |
Performance
Average Annual Total Return | ||||||||||||
6-Month* | 1 Year | Since Inception1 | ||||||||||
Fund NAV Returns | -2.71 | % | -1.99 | % | 1.14 | % | ||||||
Fund Market Price Returns | -3.00 | % | -2.06 | % | 1.05 | % | ||||||
Bloomberg U.S. Securitized Mortgage Backed Securities/Asset Backed Securities/Commercial Mortgage Backed Securities (MBS/ABS/CMBS) Index | -3.21 | % | -2.85 | % | 0.40 | % |
* | Returns of less than one year are cumulative. |
1 | Total returns are calculated based on the commencement of Fund trading on the NYSE Arca, Inc. on November 14, 2019. |
Performance is historical and does not guarantee future results. The returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares.
10 | WisdomTree Trust |
Table of Contents
Performance Summary
as of February 28, 2022 (unaudited)
WisdomTree Yield Enhanced U.S. Aggregate Bond Fund (AGGY)
Investment Breakdown†
Investment Type | % of Net Assets | |||
U.S. Government Agencies | 48.0% | |||
U.S. Corporate Bonds | 25.5% | |||
U.S. Government Obligations | 19.5% | |||
Repurchase Agreement | 18.6% | |||
Foreign Corporate Bonds | 4.5% | |||
Foreign Government Obligations | 2.1% | |||
Municipal Bonds | 0.6% | |||
Foreign Government Agencies | 0.3% | |||
Supranational Bonds | 0.1% | |||
Commercial Mortgage-Backed Securities | 0.1% | |||
Asset-Backed Securities | 0.0% | ^ | ||
U.S. Government Agencies Sold Short | -1.1% | |||
Other Assets less Liabilities‡ | -18.2% | |||
Total | 100.0% |
† | The Fund’s investment breakdown may change over time. It does not include derivatives (if any). |
‡ | Other assets less liabilities may include investment of cash collateral for securities on loan and/or receivables/payables on derivatives (if any). |
^ | Represents less than 0.05%. |
Top Ten Holdings*
Description | % of Net Assets | |||
Citigroup, Inc., tri-party repurchase agreement, | 18.6% | |||
Uniform Mortgage-Backed Security, | 6.0% | |||
Uniform Mortgage-Backed Security, | 3.8% | |||
Government National Mortgage Association, | 2.3% | |||
Government National Mortgage Association, | 2.2% | |||
Federal Home Loan Mortgage Corp., | 1.8% | |||
Government National Mortgage Association, | 1.8% | |||
Tennessee Valley Authority, | 1.1% | |||
Federal Home Loan Bank, | 0.9% | |||
Government National Mortgage Association, | 0.8% |
* | The ten largest holdings are subject to change, and there are no guarantees the Fund will remain invested in any particular security. Excludes derivatives and investment of cash collateral for securities on loan (if any). |
†† | Fully collateralized by U.S. Government agency securities. |
The WisdomTree Yield Enhanced U.S. Aggregate Bond Fund (the “Fund”) seeks to track the price and yield performance, before fees and expenses, of the Bloomberg U.S. Aggregate Enhanced Yield Index (the “Index”). In seeking to track the Index, the Fund invests mainly in U.S. investment grade fixed income securities. The Fund generally uses a representative sampling strategy to achieve its investment objective, meaning it generally will invest in a sample of the securities in the Index whose risk, return and other characteristics resemble the risk, return and other characteristics of the Index as a whole.
Shareholder Expense Example (for the six-month period ended February 28, 2022)
Beginning Account Value | Ending Account Value | Annualized Expense Ratio | Expenses Paid During the Period | |||||||||||||
Actual | $ | 1,000.00 | $ | 950.10 | 0.12 | % | $ | 0.58 | ||||||||
Hypothetical (5% return before expenses) | $ | 1,000.00 | $ | 1,024.20 | 0.12 | % | $ | 0.60 |
Performance
Average Annual Total Return | ||||||||||||||||||||
6-Month* | 1 Year | 3 Year | 5 Year | Since Inception1 | ||||||||||||||||
Fund NAV Returns | -4.99 | % | -3.24 | % | 3.20 | % | 2.71 | % | 2.81 | % | ||||||||||
Fund Market Price Returns | -5.16 | % | -3.08 | % | 3.08 | % | 2.64 | % | 2.78 | % | ||||||||||
Bloomberg U.S. Aggregate Enhanced Yield Index | -4.88 | % | -3.02 | % | 3.33 | % | 2.91 | % | 3.00 | % | ||||||||||
Bloomberg U.S. Aggregate Bond Index | -4.07 | % | -2.64 | % | 3.30 | % | 2.71 | % | 2.64 | % |
* | Returns of less than one year are cumulative. |
1 | Total returns are calculated based on the commencement of Fund trading on the NYSE Arca, Inc. on July 9, 2015. |
Performance is historical and does not guarantee future results. The returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares.
WisdomTree Trust | 11 |
Table of Contents
Performance Summary
as of February 28, 2022 (unaudited)
WisdomTree Yield Enhanced U.S. Short-Term Aggregate Bond Fund (SHAG)
Investment Breakdown†
Investment Type | % of Net Assets | |||
U.S. Government Obligations | 51.9% | |||
U.S. Corporate Bonds | 25.0% | |||
U.S. Government Agencies | 11.5% | |||
Commercial Mortgage-Backed Securities | 9.6% | |||
Foreign Corporate Bonds | 6.3% | |||
Supranational Bonds | 0.7% | |||
Foreign Government Agencies | 0.5% | |||
Asset-Backed Securities | 0.4% | |||
Foreign Government Obligations | 0.3% | |||
Other Assets less Liabilities‡ | -6.2% | |||
Total | 100.0% |
† | The Fund’s investment breakdown may change over time. It does not include derivatives (if any). |
‡ | Other assets less liabilities may include investment of cash collateral for securities on loan and/or receivables/payables on derivatives (if any). |
Top Ten Holdings*
Description | % of Net Assets | |||
U.S. Treasury Note, | 14.8% | |||
U.S. Treasury Bill, | 6.4% | |||
U.S. Treasury Note, | 6.0% | |||
Uniform Mortgage-Backed Security, | 5.0% | |||
U.S. Treasury Note, | 4.0% | |||
U.S. Treasury Note, | 3.4% | |||
U.S. Treasury Note, | 2.7% | |||
U.S. Treasury Note, | 2.7% | |||
Federal Home Loan Mortgage Corp., | 2.4% | |||
U.S. Treasury Note, | 2.0% |
* | The ten largest holdings are subject to change, and there are no guarantees the Fund will remain invested in any particular company. Excludes derivatives and investment of cash collateral for securities on loan (if any). |
The WisdomTree Yield Enhanced U.S. Short-Term Aggregate Bond Fund (the “Fund”) seeks to track the price and yield performance, before fees and expenses, of the Bloomberg U.S. Short Aggregate Enhanced Yield Index (the “Index”). In seeking to track the Index, the Fund invests mainly in short-term U.S. investment-grade fixed income securities having effective maturities generally shorter than five years. The Fund generally uses a representative sampling strategy to achieve its investment objective, meaning it generally will invest in a sample of the securities in the Index whose risk, return and other characteristics resemble the risk, return and other characteristics of the Index as a whole.
Shareholder Expense Example (for the six-month period ended February 28, 2022)
Beginning Account Value | Ending Account Value | Annualized Expense Ratio | Expenses Paid During the Period | |||||||||||||
Actual | $ | 1,000.00 | $ | 972.40 | 0.12 | % | $ | 0.59 | ||||||||
Hypothetical (5% return before expenses) | $ | 1,000.00 | $ | 1,024.20 | 0.12 | % | $ | 0.60 |
Performance
Average Annual Total Return | ||||||||||||||||
6-Month* | 1 Year | 3 Year | Since Inception1 | |||||||||||||
Fund NAV Returns | -2.76 | % | -2.21 | % | 2.17 | % | 1.88 | % | ||||||||
Fund Market Price Returns | -2.77 | % | -2.21 | % | 2.11 | % | 1.88 | % | ||||||||
Bloomberg U.S. Short Aggregate Enhanced Yield Index | -3.06 | % | -2.55 | % | 1.94 | % | 1.81 | % | ||||||||
Bloomberg U.S. Short Aggregate Composite Index | -2.57 | % | -2.22 | % | 2.11 | % | 1.78 | % |
* | Returns of less than one year are cumulative. |
1 | Total returns are calculated based on the commencement of Fund trading on the Cboe BZX Exchange, Inc. on May 18, 2017. |
Performance is historical and does not guarantee future results. The returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares.
12 | WisdomTree Trust |
Table of Contents
Performance Summary
as of February 28, 2022 (unaudited)
WisdomTree Alternative Income Fund (HYIN)
Investment Breakdown†
Investment Type | % of Net Assets | |||
Common Stocks | 71.7% | |||
Closed-End Mutual Funds | 27.9% | |||
Other Assets less Liabilities‡ | 0.4% | |||
Total | 100.0% |
† | The Fund’s investment breakdown may change over time. It does not include derivatives (if any). |
‡ | Other assets less liabilities may include investment of cash collateral for securities on loan and/or receivables/payables on derivatives (if any). |
Top Ten Holdings*
Description | % of Net Assets | |||
Hercules Capital, Inc. | 3.2% | |||
Ares Capital Corp. | 3.2% | |||
FS KKR Capital Corp. | 3.2% | |||
Owl Rock Capital Corp. | 3.1% | |||
Arbor Realty Trust, Inc. | 3.1% | |||
Blackstone Mortgage Trust, Inc., Class A | 3.1% | |||
Golub Capital BDC, Inc. | 3.1% | |||
Starwood Property Trust, Inc. | 3.0% | |||
Main Street Capital Corp. | 3.0% | |||
Goldman Sachs BDC, Inc. | 3.0% |
* | The ten largest holdings are subject to change, and there are no guarantees the Fund will remain invested in any particular company. Excludes derivatives and investment of cash collateral for securities on loan (if any). |
The WisdomTree Alternative Income Fund (the “Fund”) seeks to track the price and yield performance, before fees and expenses, of the Gapstow Liquid Alternative Credit Index (the “Index”), which is designed to provide diversified exposure to alternative credit sectors. Alternative credit is an asset class that includes debt and debt-based investments that have a higher expected risk, return, and yield than traditional investment-grade fixed income instruments. In seeking to track the Index, the Fund invests mainly in registered closed-end investment companies (“CEFs”), including CEFs that have elected to be regulated as “business development companies” under the Investment Company Act of 1940, as amended, and real estate investment trusts that are listed and publicly traded on a major U.S. stock exchange. The Fund generally uses a representative sampling strategy to achieve its investment objective, meaning it generally will invest in a sample of the securities in the Index whose risk, return and other characteristics resemble the risk, return and other characteristics of the Index as a whole.
Shareholder Expense Example (for the six-month period ended February 28, 2022)
Beginning Account Value | Ending Account Value | Annualized Expense Ratio | Expenses Paid During the Period | |||||||||||||
Actual | $ | 1,000.00 | $ | 942.00 | 0.50 | % | $ | 2.41 | ||||||||
Hypothetical (5% return before expenses) | $ | 1,000.00 | $ | 1,022.32 | 0.50 | % | $ | 2.51 |
Performance
Cumulative Total Return | ||||||||
6-Month | Since Inception1 | |||||||
Fund NAV Returns | -5.80 | % | -2.66 | % | ||||
Fund Market Price Returns | -6.00 | % | -2.91 | % | ||||
Gapstow Liquid Alternative Credit Index | -5.50 | % | -2.21 | % | ||||
ICE BofA Merrill Lynch U.S. High Yield Index | -2.96 | % | -0.60 | % | ||||
S&P 500® Index | -2.62 | % | 6.20 | % |
1 | Total returns are calculated based on the commencement of Fund trading on the Cboe BZX Exchange, Inc. on May 6, 2021. |
Performance is historical and does not guarantee future results. The returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares.
WisdomTree Trust | 13 |
Table of Contents
Performance Summary
as of February 28, 2022 (unaudited)
WisdomTree CBOE S&P 500 PutWrite Strategy Fund (PUTW)
Investment Breakdown†
Investment Type | % of Net Assets | |||
U.S. Government Obligations | 82.2% | |||
Exchange-Traded Funds | 4.4% | |||
Other Assets less Liabilities‡ | 13.4% | |||
Total | 100.0% |
† | The Fund’s investment breakdown may change over time. It does not include derivatives (if any). |
‡ | Other assets less liabilities may include investment of cash collateral for securities on loan and/or receivables/payables on derivatives (if any). |
Top Holdings*
Description | % of Net Assets | |||
U.S. Treasury Bill, | 60.7% | |||
U.S. Treasury Bill, | 21.5% | |||
WisdomTree Floating Rate Treasury Fund (USFR)^ | 4.4% |
* | The holdings are subject to change, and there are no guarantees the Fund will remain invested in any particular security. Excludes derivatives and investment of cash collateral for securities on loan (if any). |
^ | For a full list of holdings information for the underlying WisdomTree fund, please see page 41 of this report. |
The WisdomTree CBOE S&P 500 PutWrite Strategy Fund (the “Fund”) seeks to track the price and yield performance, before fees and expenses, of the CBOE S&P 500 PutWrite Index (the “Index”), utilizing a strategy of writing put options on the S&P 500 Index. The strategy is designed to receive a premium from the option buyer by selling (i.e., writing) a sequence of one-month, at-the-money, S&P 500 Index put options. The Fund generally uses a representative sampling strategy to achieve its investment objective, meaning it generally will invest in a sample of the securities in the Index whose risk, return and other characteristics resemble the risk, return and other characteristics of the Index as a whole.
Shareholder Expense Example (for the six-month period ended February 28, 2022)
Beginning Account Value | Ending Account Value | Annualized Net Expense Ratio | Expenses Paid During the Period | |||||||||||||
Actual | $ | 1,000.00 | $ | 1,030.50 | 0.44 | %1 | $ | 2.22 | ||||||||
Hypothetical (5% return before expenses) | $ | 1,000.00 | $ | 1,022.61 | 0.44 | %1 | $ | 2.21 |
1 | WisdomTree Asset Management, Inc. voluntarily waives a portion of its advisory fee, that it would otherwise charge, in an amount equal to the acquired fund fees and expenses (“AFFEs”) attributable to the Fund’s investment in the underlying WisdomTree fund. The “Annualized Net Expense Ratio” does not include the impact of AFFEs. |
Performance
Average Annual Total Return | ||||||||||||||||||||
6-Month* | 1 Year | 3 Year | 5 Year | Since Inception1 | ||||||||||||||||
Fund NAV Returns | 3.05 | % | 16.56 | % | 9.31 | % | 6.33 | % | 7.64 | % | ||||||||||
Fund Market Price Returns | 2.56 | % | 16.23 | % | 9.21 | % | 6.21 | % | 7.55 | % | ||||||||||
CBOE S&P 500® PutWrite Index | 3.34 | % | 17.20 | % | 9.84 | % | 6.90 | % | 8.21 | % | ||||||||||
S&P 500® Index | -2.62 | % | 16.39 | % | 18.24 | % | 15.17 | % | 16.74 | % |
* | Returns of less than one year are cumulative. |
1 | Total returns are calculated based on the commencement of Fund trading on the NYSE Arca, Inc. on February 24, 2016. |
Performance is historical and does not guarantee future results. The returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares.
14 | WisdomTree Trust |
Table of Contents
Performance Summary
as of February 28, 2022 (unaudited)
WisdomTree Efficient Gold Plus Gold Miners Strategy Fund (GDMN) (consolidated)
Country Breakdown†
Country | % of Net Assets | |||
Canada | 41.4% | |||
United States | 17.1% | |||
Australia | 11.9% | |||
South Africa | 7.9% | |||
Brazil | 3.6% | |||
United Kingdom | 2.7% | |||
China | 1.7% | |||
Others^ | 2.0% | |||
Other Assets less Liabilities‡ | 11.7% | |||
Total | 100.0% |
† | The Fund’s country breakdown may change over time. It does not include derivatives (if any). |
‡ | Other assets less liabilities may include investment of cash collateral for securities on loan and/or receivables/payables on derivatives (if any). |
^ | Includes countries that represent less than 1% of net assets. |
Top Ten Holdings*
Description | % of Net Assets | |||
Newmont Corp. | 13.8% | |||
Barrick Gold Corp. | 11.9% | |||
Franco-Nevada Corp. | 8.4% | |||
Agnico Eagle Mines Ltd. | 5.9% | |||
Gold Fields Ltd., ADR | 3.9% | |||
Newcrest Mining Ltd. | 3.6% | |||
Wheaton Precious Metals Corp. | 3.6% | |||
AngloGold Ashanti Ltd., ADR | 3.2% | |||
Northern Star Resources Ltd. | 3.0% | |||
Royal Gold, Inc. | 2.7% |
* | The ten largest holdings are subject to change, and there are no guarantees the Fund will remain invested in any particular security. Excludes derivatives and investment of cash collateral for securities on loan (if any). |
The WisdomTree Efficient Gold Plus Gold Miners Strategy Fund (the “Fund”) is actively managed using a models-based approach seeking total return. The Fund seeks to achieve its investment objective by investing, either directly or through a wholly-owned subsidiary, in a portfolio comprised of (i) U.S.-listed gold futures contracts and (ii) global equity securities issued by companies that derive at least 50% of their revenue from the gold mining business (“Gold Miners”). The Fund uses U.S.-listed gold futures contracts to enhance the capital efficiency of the Fund.
The Fund had less than six months of operating history at the end of the reporting period and therefore no comparative performance information is shown in this shareholder report. Comparative performance information for the most recent month-end is available at www.wisdomtree.com.
Shareholder Expense Example (for the period1 ended February 28, 2022)
Beginning | Ending Account Value | Annualized Expense Ratio | Expenses Paid During the Period | |||||||||||||
Actual1 | $ | 1,000.00 | $ | 1,202.90 | 0.45 | % | $ | 1.02 | ||||||||
Hypothetical (5% return before expenses) | $ | 1,000.00 | $ | 1,022.56 | 0.45 | % | $ | 2.26 |
1 | Fund commenced operations on December 16, 2021. Actual expenses are calculated using the Fund’s annualized expense ratio, multiplied by the average account value for the period, multiplied by 75/365 (to reflect the period since commencement of operations). |
Performance is historical and does not guarantee future results. The returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares.
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Table of Contents
Performance Summary
as of February 28, 2022 (unaudited)
WisdomTree Enhanced Commodity Strategy Fund (GCC) (consolidated)
Investment Breakdown†
Investment Type | % of Net Assets | |||
U.S. Government Obligations | 75.9% | |||
Exchange-Traded Funds | 4.5% | |||
Other Assets less Liabilities‡ | 19.6% | |||
Total | 100.0% |
† | The Fund’s investment breakdown may change over time. It does not include derivatives (if any). |
‡ | Other assets less liabilities may include investment of cash collateral for securities on loan and/or receivables/payables on derivatives (if any). |
Top Holdings*
Description | % of Net Assets | |||
U.S. Treasury Bill, | 68.0% | |||
U.S. Treasury Bill, | 7.7% | |||
WisdomTree Floating Rate Treasury Fund (USFR)^ | 4.5% | |||
U.S. Treasury Bill, | 0.2% |
* | The largest holdings are subject to change, and there are no guarantees the Fund will remain invested in any particular security. Excludes derivatives and investment of cash collateral for securities on loan (if any). |
^ | For a full list of holdings information for the underlying WisdomTree fund, please see page 41 of this report. |
The WisdomTree Enhanced Commodity Strategy Fund (the “Successor Fund” and also herein, the “Fund”) seeks to achieve positive total returns in rising and falling markets that are not directly correlated to broad market equity or fixed income returns. The Successor Fund is actively managed and intends to provide broad-based exposure to the following four commodity sectors: Energy, Agriculture, Industrial Metals, and Precious Metals primarily through investments in futures contracts. The Successor Fund acquired all of the assets and all of the stated liabilities of the WisdomTree Continuous Commodity Index Fund (the “Predecessor Fund”) after the close of business on December 18, 2020 (the “Reorganization”). The Predecessor Fund was not registered as an investment company under the Investment Company Act of 1940, as amended, and was not required to register under the Act. Prior to the Reorganization, the Predecessor Fund’s investment objective sought to provide investors with exposure to the daily change in the price of a portfolio of commodities (the “Index Commodities”) comprising the Thomson Reuters Continuous Commodity Index, also known as the Continuous Commodity Total Return Index or Refinitiv Equal Weight Continuous Commodity Total Return Index (the “Index”), before expenses. The Index Commodities consisted of corn, soybeans, wheat, live cattle, lean hogs, gold, silver, copper, cocoa, coffee, sugar, cotton, soybean oil, platinum, crude oil, NY Harbor ULSD (formerly known as heating oil), and natural gas.
Prior to December 19, 2020, the ticker symbol GCC was used for the Predecessor Fund.
Shareholder Expense Example (for the six-month period ended February 28, 2022)
Beginning Account Value | Ending Account Value | Annualized Net Expense Ratio | Expenses Paid During the Period | |||||||||||||
Actual | $ | 1,000.00 | $ | 1,160.80 | 0.55 | %1 | $ | 2.95 | ||||||||
Hypothetical (5% return before expenses) | $ | 1,000.00 | $ | 1,022.07 | 0.55 | %1 | $ | 2.76 |
1 | WisdomTree Asset Management, Inc. voluntarily waives a portion of its advisory fee, that it would otherwise charge, in an amount equal to the acquired fund fees and expenses (“AFFEs”) attributable to the Fund’s investment in the underlying WisdomTree fund. The “Annualized Net Expense Ratio” does not include the impact of AFFEs. |
Performance
Average Annual Total Return | ||||||||||||
6-Month* | 1 Year | Since Inception1 | ||||||||||
Fund NAV Returns | 16.08 | % | 25.87 | % | 30.25 | % | ||||||
Fund Market Price Returns | 16.32 | % | 25.88 | % | 30.47 | % | ||||||
S&P GSCI Index | 30.70 | % | 46.86 | % | 56.56 | % | ||||||
Bloomberg Commodity Index Total Return | 19.41 | % | 34.43 | % | 38.96 | % |
* | Returns of less than one year are cumulative. |
1 | For the period December 19, 2020 (post-reorganization) through February 28, 2022. |
Performance is historical and does not guarantee future results. The returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares.
16 | WisdomTree Trust |
Table of Contents
Performance Summary
as of February 28, 2022 (unaudited)
WisdomTree Managed Futures Strategy Fund (WTMF) (consolidated)
Investment Breakdown†
Investment Type | % of Net Assets | |||
U.S. Government Obligations | 81.2 | % | ||
Exchange-Traded Funds | 4.2 | % | ||
Other Assets less Liabilities‡ | 14.6 | % | ||
Total | 100.0 | % |
† | The Fund’s investment breakdown may change over time. It does not include derivatives (if any). |
‡ | Other assets less liabilities may include investment of cash collateral for securities on loan and/or receivables/payables on derivatives (if any). |
Top Holdings*
Description | % of Net Assets | |||
U.S. Treasury Bill, | 77.3% | |||
WisdomTree Floating Rate Treasury Fund (USFR)^ | 4.2% | |||
U.S. Treasury Bill, | 3.9% |
* | The largest holdings are subject to change, and there are no guarantees the Fund will remain invested in any particular security. Excludes derivatives and investment of cash collateral for securities on loan (if any). |
^ | For a full list of holdings information for the underlying WisdomTree fund, please see page 41 of this report. |
The WisdomTree Managed Futures Strategy Fund (the “Fund”) seeks to provide investors with positive total returns in rising or falling markets that are not directly correlated to broad market equity or fixed income returns. The Fund is managed using a quantitative, rules-based strategy and invests in a combination of diversified futures contracts for commodities, equities, currencies and interest rates.
Shareholder Expense Example (for the six-month period ended February 28, 2022)
Beginning Account Value | Ending Account Value | Annualized Net Expense Ratio | Expenses Paid During the Period | |||||||||||||
Actual | $ | 1,000.00 | $ | 977.20 | 0.65 | %1 | $ | 3.19 | ||||||||
Hypothetical (5% return before expenses) | $ | 1,000.00 | $ | 1,021.57 | 0.65 | %1 | $ | 3.26 |
1 | WisdomTree Asset Management, Inc. voluntarily waives a portion of its advisory fee, that it would otherwise charge, in an amount equal to the acquired fund fees and expenses (“AFFEs”) attributable to the Fund’s investment in the underlying WisdomTree fund. The “Annualized Net Expense Ratio” does not include the impact of AFFEs. |
Performance
Average Annual Total Return | ||||||||||||||||||||
6-Month* | 1 Year | 3 Year | 5 Year | 10 Year | ||||||||||||||||
Fund NAV Returns | -2.28 | % | 2.60 | % | 2.09 | % | 1.11 | % | -0.17 | % | ||||||||||
Fund Market Price Returns | -3.36 | % | 1.88 | % | 1.86 | % | 0.98 | % | -0.24 | % | ||||||||||
SG Trend Index | 7.68 | % | 13.59 | % | 11.61 | % | 4.61 | % | 3.29 | % | ||||||||||
S&P GSCI Index | 30.70 | % | 46.86 | % | 10.56 | % | 7.12 | % | -4.42 | % |
* | Returns of less than one year are cumulative. |
Performance is historical and does not guarantee future results. The returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares.
WisdomTree Trust | 17 |
Table of Contents
Performance Summary
as of February 28, 2022 (unaudited)
WisdomTree Target Range Fund (GTR)
Investment Breakdown†
Investment Type | % of Net Assets | |||
U.S. Government Obligations | 64.9% | |||
Purchased Options (Exchange-Traded) | 15.0% | |||
Other Assets less Liabilities‡ | 20.1% | |||
Total | 100.0% |
† | The Fund’s investment breakdown may change over time. It does not include derivatives (if any). |
‡ | Other assets less liabilities may include investment of cash collateral for securities on loan and/or receivables/payables on derivatives (if any). |
Top Holdings*
Description | % of Net Assets | |||
U.S. Treasury Bill, | 64.9% | |||
SPDR S&P 500 ETF Trust, Purchased Call Option @ $390 strike expiring 1/20/23 | 7.7% | |||
iShares Russell 2000 ETF, Purchased Call Option @ $180 strike expiring 1/20/23 | 3.4% | |||
iShares MSCI EAFE ETF, Purchased Call Option @ $67 strike expiring 1/20/23 | 2.4% | |||
iShares MSCI Emerging Markets ETF, Purchased Call Option @ $42 strike expiring 1/20/23 | 1.5% |
* | The largest holdings are subject to change, and there are no guarantees the Fund will remain invested in any particular company. Excludes written options and investment of cash collateral for securities on loan (if any). |
The WisdomTree Target Range Fund (the “Fund”) is actively managed seeking capital appreciation, with a secondary objective of hedging risk. In general, the Fund is expected to provide similar exposures to the TOPS® Global Equity Target Range Index (the “Index”), a long call spread option strategy that buys call options that are 15% in-the-money and sells call options that are 15% out-the-money, but will not match the Index’s returns due to the amount and timing of assets that flow in and out of the Fund.
The Fund had less than six months of operating history at the end of the reporting period and therefore no comparative performance information is shown in this shareholder report. Comparative performance information for the most recent month-end is available at www.wisdomtree.com.
Shareholder Expense Example (for the period1 ended February 28, 2022)
Beginning Account Value | Ending Account Value | Annualized Expense Ratio | Expenses Paid During the Period | |||||||||||||
Actual1 | $ | 1,000.00 | $ | 967.60 | 0.70 | % | $ | 2.74 | ||||||||
Hypothetical (5% return before expenses) | $ | 1,000.00 | $ | 1,021.32 | 0.70 | % | $ | 3.51 |
1 | Fund commenced operations on October 7, 2021. Actual expenses are calculated using the Fund’s annualized expense ratio, multiplied by the average account value for the period, multiplied by 145/365 (to reflect the period since commencement of operations). |
Performance is historical and does not guarantee future results. The returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares.
18 | WisdomTree Trust |
Table of Contents
Description of Terms and Indexes (unaudited)
Below are descriptions of certain terms and of each index referenced in this report.
Bloomberg Commodity Index Total Return:
Bloomberg Commodity Index Total Return is composed of futures contracts and reflects the returns on a fully collateralized investment in the Bloomberg Commodity Index (“BCOM”). This combines the returns of the BCOM with the returns on cash collateral invested in 13-week U.S. Treasury Bills.
Bloomberg Dollar Spot Index:
The Bloomberg Dollar Spot Index tracks the performance of a basket of 10 leading global currencies versus the U.S. dollar. Each currency in the basket and its weight is determined annually based on its share of international trade and foreign exchange (FX) liquidity.
Bloomberg Dollar Total Return Index:
The Bloomberg Dollar Total Return Index is total return version of the Bloomberg Dollar Spot Index (BBDXY). It is generated by adding the daily forward implied yield of each currency, and U.S. funding rate, to BBDXY returns.
Bloomberg Rate Hedged U.S. Aggregate Bond Index, Zero Duration:
The Bloomberg Rate Hedged U.S. Aggregate Bond Index, Zero Duration combines long
positions in the Bloomberg U.S. Aggregate Bond Index with short positions in U.S. Treasury Bonds to provide a duration exposure of 0 years. Market values of long and short positions are rebalanced at month-end.
Bloomberg U.S. Aggregate Bond Index:
The Bloomberg U.S. Aggregate Bond Index measures the performance of the U.S. investment-grade bond market.
Bloomberg U.S. Aggregate Enhanced Yield Index:
The Bloomberg U.S. Aggregate Enhanced Yield Index uses a rules-based approach to reallocate across subcomponents in the Bloomberg U.S. Aggregate Bond Index seeking to enhance yield while maintaining a similar risk profile.
Bloomberg U.S. Securitized MBS/ABS/CMBS Index:
The Bloomberg U.S. Securitized MBS/ABS/CMBS Index is a market capitalization index that is designed to measure the performance of residential mortgage backed securities issued by Government Sponsored Enterprises, commercial mortgage backed securities, and asset backed securities.
Bloomberg U.S. Short Aggregate Composite Index:
The Bloomberg U.S. Short Aggregate Composite Index measures the performance of the short-term U.S. investment-grade bond market.
Bloomberg U.S. Short Aggregate Enhanced Yield Index:
The Bloomberg U.S. Short Aggregate Enhanced Yield Index uses a rules-based approach to reallocate across subcomponents in the Bloomberg U.S. Aggregate Bond Index that generally have effective maturities shorter than 5 years and seeks to enhance yield while maintaining a similar risk profile.
Bloomberg U.S. Treasury Floating Rate Bond Index:
The Bloomberg U.S. Treasury Floating Rate Bond Index is a rules-based, market-value weighted index engineered to measure the performance and characteristics of floating rate coupon U.S. Treasuries which have a maturity greater than 12 months.
WisdomTree Trust | 19 |
Table of Contents
Description of Terms and Indexes (unaudited) (continued)
CBOE® S&P 500 PutWrite Index:
The CBOE® S&P 500 PutWrite Index tracks the value of a cash-secured (i.e., collateralized) put option sales strategy, which consists of selling (or “writing”) S&P 500® Index put options and investing the sale proceeds in one- and three-month Treasury bills.
Collateralized loan obligation (CLO):
A collateralized loan obligation is a form of securitization where payments from multiple middle sized and large business loans are pooled together and passed on to different classes of owners.
Commercial mortgage backed securities (CMBS):
A type of mortgage backed security that is backed by commercial and multifamily mortgages rather than residential real estate.
Duration:
Duration is a measure of a bond’s sensitivity to changes in interest rates. The weighted average accounts for the various durations of the bonds purchased as well as the proportion of the total government bond portfolio that they make up.
Equal-Weighted Emerging Currency Composite:
A composite incorporating equal-weighted exposure to the currencies within the Emerging Currency Strategy Fund was constructed as an additional gauge of Emerging Currency Strategy Fund performance. The composite tracks the returns for the currencies using the total returns of the country subindices of the JP Morgan Emerging Local Markets Index Plus (ELMI+). Each subindex uses a weighted basket of one-month, two-month and three-month currency forwards (deliverable or nondeliverable) collateralized with U.S. money market rates to proxy the total returns of an investment in local-currency money market instruments. Currency exposures are rebalanced back to equal-weighting at the end of the month in which the Emerging Currency Strategy Fund intends to rebalance, and currency changes are reflected in the composite at the end of the month they are reflected in the Fund.
Gapstow Liquid Alternative Credit Index:
The Gapstow Liquid Alternative Credit Index (GLACI) is an equal-weighted index that tracks the performance of 35 Publicly Traded Alternative Credit Vehicles (“PACs”) using an objective, rules-based methodology. PACs are a subset of business development companies, real estate investment trusts, and closed-end funds, and selected because of their exposure to a range of U.S. alternative credit sectors (tradeable high yield, structured, and private credit) and borrower segments (households, corporations, and commercial real estate sponsors). GLACI is the first index constructed to provide diversified exposure to these alternative credit sectors and segments.
ICE BofA Merrill Lynch 0-5 Year U.S. High Yield Constrained, Zero Duration Index:
The ICE BofA Merrill Lynch 0-5 Year U.S. High Yield Constrained, Zero Duration Index tracks the performance of the combination of a long position in short maturity U.S. high yield bonds and a short position in on-the-run U.S. Treasuries where the net interest rate exposure of the index is adjusted to a zero year duration. Market values of long and short positions are rebalanced at month-end.
ICE BofA Merrill Lynch U.S. High Yield Index:
The ICE BofA Merrill Lynch U.S. High Yield Index tracks the performance of U.S. dollar denominated below investment grade corporate bond debt securities issued in the U.S.
20 | WisdomTree Trust |
Table of Contents
Description of Terms and Indexes (unaudited) (continued)
JP Morgan CEMBI Diversified Index:
The JP Morgan CEMBI Diversified Index is an alternatively weighted version of the JP Morgan CEMBI Index (a comprehensive U.S. dollar-denominated emerging market corporate bond index) which limits the weights of those index countries with larger corporate debt stocks by only including a specified portion of these countries’ eligible current face amounts of debt outstanding.
JP Morgan Emerging Local Markets Index Plus (ELMI+):
The JP Morgan Emerging Local Markets Index Plus (ELMI+) and its underlying country
and regional subindices track the total returns for local-currency denominated money market instruments in emerging market countries.
JP Morgan Emerging Local Markets Index Plus (ELMI+) China:
The China subindex uses a weighted basket of one-month, two-month and three-month currency forwards collateralized with U.S. money market rates to proxy the total returns of an investment in Chinese yuan money market instruments. The returns are reported in U.S. dollar terms.
JP Morgan Government Bond Index-Emerging Markets (GBI-EM) Global Diversified Index:
The JP Morgan Government Bond Index-Emerging Markets (GBI-EM) Global Diversified Index tracks the performance of local currency debt issued by emerging market governments, whose debt is accessible by most of the international investor base. The index incorporates a constrained market capitalization methodology in which individual issuer exposures are capped at 10% (with the excess distributed to smaller issuers) for greater diversification among issuing governments. The returns are reported in U.S. dollar terms.
Long Call Spread:
A long call spread is an options trading strategy designed to benefit from a stock’s limited increase in price. The strategy uses two call options - buying a lower strike call and selling a higher strike call - to create a range consisting of a lower strike price and an upper strike price. The long call spread helps to limit losses of owning stock but it also limits the gains.
Mortgage-backed security (MBS):
A mortgage backed security is a type of asset-backed security which is secured by a mortgage or collection of mortgages.
S&P 500® Index:
The S&P 500® Index is a capitalization-weighted index of 500 stocks selected by Standard & Poor’s Index Committee designed to represent the performance of the leading industries in the United States economy.
S&P GSCI Index:
The S&P GSCI Index comprises the principal physical commodities that are the subject to active, liquid futures markets.
SG Trend Index:
The SG Trend Index (f.k.a. SG Trend-Sub Index) is an equal-weighted index that is designed to track the 10 largest (by AUM) trend following commodity trading advisors and be representative of the trend followers in the managed futures space.
Spot Rate and Non-Deliverable Forward (“NDF”) Rate Returns:
A “spot” rate is the foreign exchange rate on foreign currency contracts settled generally within two business days from the trade date. The NDF rate is the foreign exchange rate
WisdomTree Trust | 21 |
Table of Contents
Description of Terms and Indexes (unaudited) (continued)
on non-deliverable forward currency contracts settled on a future date that is generally greater than two business days from the trade date. The Chinese yuan NDF return rate relative to the U.S. dollar calculated by WisdomTree is the rate of return percentage difference between the end of period NDF rate and the beginning of period NDF rate using WM/Reuters Singapore closing rates.
Thomson Reuters Continuous Commodity Index:
The Thomson Reuters Continuous Commodity Index, also known as the Continuous Commodity Total Return Index or Refinitiv Equal Weight Continuous Commodity Total Return Index (the “Index”), is composed of notional amounts of each of the following commodities (“Index Commodities”): corn, soybean, wheat, live cattle, lean hogs, gold, silver, copper, cocoa, coffee, sugar, cotton, soybean oil, platinum, crude oil, NY Harbor ULSD (formerly known as heating oil), and natural gas. The notional amounts of each Index Commodity included in the Index are in equal weight proportion to the Index Commodities or 1/17 weighting per index commodity rebalanced daily.
TOPS® Global Equity Target Range Index:
The TOPS® Global Equity Target Range Index tracks the performance of a systematic collateralized conditional call / call spread strategy.
WisdomTree U.S. High Yield Corporate Bond, Zero Duration Index:
The WisdomTree U.S. High Yield Corporate Bond, Zero Duration Index is a rules-based
alternatively weighted index that is designed to provide exposure to U.S. high yield corporate bonds with a short position in U.S. Treasuries where the net interest rate exposure of the index is adjusted to a zero year duration.
* * * * * *
Bloomberg® and the Bloomberg Indices are service marks of Bloomberg Finance L.P. and its affiliates, including Bloomberg Index Services Limited (“BISL”), the administrator of the index (collectively, “Bloomberg”) and have been licensed for use for certain purposes by WisdomTree. Bloomberg is not affiliated with WisdomTree, and Bloomberg does not approve, endorse, review, or recommend each of AGGY, SHAG or AGZD. Bloomberg does not guarantee the timeliness, accurateness, or completeness of any data or information relating to each of AGGY, SHAG or AGZD.
Merrill Lynch, Pierce, Fenner & Smith Incorporated and its affiliates (“ICE BofA Merrill Lynch”) indices and related information, the name “ICE BofA Merrill Lynch”, and related trademarks, are intellectual property licensed from ICE BofA Merrill Lynch, and may not be copied, used, or distributed without ICE BofA Merrill Lynch’s prior written approval. The licensee’s products have not been passed on as to their legality or suitability, and are not regulated, issued, endorsed, sold, guaranteed, or promoted by ICE BofA Merrill Lynch. ICE BofA MERRILL LYNCH MAKES NO WARRANTIES AND BEARS NO LIABILITY WITH RESPECT TO THE INDICES, ANY RELATED INFORMATION, ITS TRADEMARKS, OR THE PRODUCT(S) (INCLUDING WITHOUT LIMITATION, THEIR QUALITY, ACCURACY, SUITABILITY AND/OR COMPLETENESS).
The CBOE S&P 500 PutWrite Index is a product of S&P Dow Jones Indices LLC or its affiliates (“SPDJI”) and CBOE® and has been licensed for use by WisdomTree. Standard & Poor’s® and S&P® are registered trademarks of Standard & Poor’s Financial Services LLC (“S&P”); Dow Jones® is registered trademark of Dow Jones Trademarks Holdings LLC (“Dow Jones”); and these trademarks have been licensed for use by SPDJI and sublicensed for certain purposes by WisdomTree. CBOE® is a trademark of the Chicago Board Options Exchange, Incorporated, and has been licensed for use by SPDJI and WisdomTree. The WisdomTree CBOE S&P 500 PutWrite Strategy Fund is not sponsored, endorsed, sold or promoted by SPDJI, Dow Jones, S&P, their respective affiliates or the Chicago Board Options Exchange, Incorporated, and none of such parties make any
22 | WisdomTree Trust |
Table of Contents
Description of Terms and Indexes (unaudited) (concluded)
representation regarding the advisability of investing in such product(s), nor do they have any liability for any errors, omissions or interruptions of the CBOE S&P 500 PutWrite Index.
The Gapstow Liquid Alternative Credit Index is a registered service mark of Gapstow Capital Partners L.P. and has been licensed for use by WisdomTree Asset Management and WisdomTree Trust as the issuer of the WisdomTree Alternative Income Fund. The WisdomTree Alternative Income Fund is not sponsored, endorsed, sold, or promoted by Gapstow Capital Partners L.P., and it makes no representation regarding the advisability of investing in the Fund. GAPSTOW CAPITAL PARTNERS L.P. AND ITS AFFILIATES MAKE NO WARRANTIES AND BEAR NO LIABILITY WITH RESPECT TO THE WISDOMTREE ALTERNATIVE INCOME FUND. Gapstow Capital Partners L.P. contracts with a calculation agent to independently calculate and publish the Gapstow Liquid Alternative Credit Index, and Gapstow Capital Partners L.P. cannot assure its accuracy. The publication of the Gapstow Liquid Alternative Credit Index does not constitute a recommendation by Gapstow Capital Partners L.P. to invest in the WisdomTree Alternative Income Fund. Gapstow Capital Partners L.P. offers no guarantee or assurance with regard to the results of using the Gapstow Liquid Alternative Credit Index.
WisdomTree Investments, Inc. and WisdomTree Asset Management, Inc. (together, “WisdomTree”) and the Funds make no representation or warranty, express or implied, to the owners of shares of the Funds or any member of the public regarding the advisability of investing in securities generally or in the Funds particularly or the ability of the underlying Indexes to track the performance of their underlying securities. WisdomTree Investments is the licensor of certain trademarks, service marks and trade names of the Funds. WisdomTree Investments has no obligation to take the needs of the Funds or the owners of shares of the Funds into consideration in determining, composing, or calculating the underlying WisdomTree Indexes of the applicable Funds. WisdomTree Investments is not responsible for, and has not participated in, the determination of the timing of, prices of, or quantities of shares of the Funds to be issued or in the determination or calculation of the equation by which the shares of the Funds are redeemable. WisdomTree and the Funds do not guarantee the accuracy, completeness, or performance of the underlying Indexes or the data included therein and shall have no liability in connection with the underlying Indexes or their calculation.
Index returns do not reflect expenses paid by the Funds. Index returns assume reinvestment of distributions. It is not possible to invest directly in an index.
* * * * * *
Abbreviations used in the schedules of investments and related tables included in this report are as follows:
CURRENCY ABBREVIATIONS: | ||||||||||
AUD | Australian dollar | EGP | Egyptian pound | PEN | Peruvian nuevo sol | |||||
BRL | Brazilian real | GBP | British pound | PHP | Philippine peso | |||||
CAD | Canadian dollar | HKD | Hong Kong dollar | PLN | Polish zloty | |||||
CHF | Swiss franc | HUF | Hungary forint | RON | Romanian leu | |||||
CLP | Chilean peso | IDR | Indonesian rupiah | RUB | Russian ruble | |||||
CNH | Offshore Chinese renminbi | INR | Indian rupee | THB | Thai baht | |||||
CNY | Chinese yuan | JPY | Japanese yen | TRY | Turkish new lira | |||||
COP | Colombian peso | KRW | South Korean won | USD | U.S. dollar | |||||
CZK | Czech koruna | MXN | Mexican peso | ZAR | South African rand | |||||
EUR | Euro | MYR | Malaysian ringgit | |||||||
OTHER ABBREVIATIONS: | ||||||||||
ADR | American Depositary Receipt | |||||||||
HEMC | Home Equity Conversion Mortgage | |||||||||
HRW | Hard Red Winter | |||||||||
RBOB | Reformulated Blendstock for Oxygenate Blending | |||||||||
REMIC | Real Estate Mortgage Investment Conduit | |||||||||
STACR | Structured Agency Credit Risk | |||||||||
STRIPS | Separate Trading of Registered Interest and Principal of Securities | |||||||||
ULSD | Ultra-Low-Sulfur Diesel | |||||||||
WTI | West Texas Intermediate |
WisdomTree Trust | 23 |
Table of Contents
Schedule of Investments (unaudited)
WisdomTree Bloomberg U.S. Dollar Bullish Fund (USDU)
February 28, 2022
Investments | Principal Amount | Value | ||||||
U.S. GOVERNMENT OBLIGATIONS – 95.6% |
| |||||||
U.S. Treasury Bills – 95.6% |
| |||||||
0.05%, 4/7/22* | $ | 26,075,000 | $ | 26,072,655 | ||||
0.09%, 5/12/22* | 26,043,000 | 26,028,807 | ||||||
0.48%, 6/9/22* | 24,500,000 | 24,475,075 | ||||||
0.50%, 7/7/22* | 26,150,000 | 26,103,162 | ||||||
TOTAL U.S. GOVERNMENT OBLIGATIONS (Cost: $102,683,902) |
| 102,679,699 | ||||||
EXCHANGE-TRADED FUND – 4.3% |
| |||||||
United States – 4.3% |
| |||||||
WisdomTree Floating Rate Treasury Fund(a) | ||||||||
(Cost: $4,645,341) | 185,000 | $ | 4,649,050 | |||||
TOTAL INVESTMENTS IN SECURITIES – 99.9% (Cost: $107,329,243) |
| 107,328,749 | ||||||
Other Assets less Liabilities – 0.1% |
| 116,097 | ||||||
|
| |||||||
NET ASSETS – 100.0% |
| $ | 107,444,846 |
* | Interest rate shown reflects the yield to maturity at the time of purchase. |
(a) | Affiliated holding. See “Investment in Affiliates” supplementary table included in this Schedule of Investments for additional information. |
INVESTMENT IN AFFILIATES |
Affiliated holdings are investments in entities in which the Fund owns 5% or more of the outstanding voting securities or are investments in entities which are under common ownership or control. Investments in affiliates during the six-month fiscal period ended February 28, 2022 were as follows:
Affiliate | Value at 8/31/2021 | Purchases/ Additions | Sales/ Reductions | Realized Gain/(Loss) | Change in Unrealized Appreciation/ Depreciation | Value at 2/28/2022 | Dividend Income | Capital Gain Distributions | ||||||||||||||||||||||||
WisdomTree Floating Rate Treasury Fund | $ | 5,898,500 | $ | 502,250 | $ | 1,757,556 | $ | (921 | ) | $ | 6,777 | $ | 4,649,050 | $ | — | $ | 489 |
FINANCIAL DERIVATIVE INSTRUMENTS | ||||||||||||||||||||||||||||
FOREIGN CURRENCY CONTRACTS (OTC – OVER THE COUNTER) | ||||||||||||||||||||||||||||
Counterparty | Settlement Date | Amount and Description of Currency to be Purchased | Amount and Description of Currency to be Sold | Unrealized Appreciation | Unrealized Depreciation | |||||||||||||||||||||||
Barclays Bank PLC | 3/3/2022 | 7,974,000 | AUD | 5,791,883 | USD | $ | — | $ | (321 | ) | ||||||||||||||||||
Barclays Bank PLC | 3/3/2022 | 31,591,000 | EUR | 35,425,073 | USD | — | (2,357 | ) | ||||||||||||||||||||
Barclays Bank PLC | 3/3/2022 | 6,085,234 | USD | 5,635,000 | CHF | — | (59,375 | ) | ||||||||||||||||||||
Barclays Bank PLC | 3/3/2022 | 14,615,423 | USD | 10,870,000 | GBP | 33,211 | — | |||||||||||||||||||||
Barclays Bank PLC | 3/7/2022 | 241,353,000 | INR | 3,203,517 | USD | — | (1,654 | ) | ||||||||||||||||||||
Barclays Bank PLC | 3/7/2022 | 3,775,611 | USD | 282,680,000 | INR | 25,491 | — | |||||||||||||||||||||
Barclays Bank PLC | 4/7/2022 | 5,548,553 | USD | 7,635,000 | AUD | 55 | — | |||||||||||||||||||||
Barclays Bank PLC | 4/7/2022 | 35,090,813 | USD | 31,250,000 | EUR | 152 | — | |||||||||||||||||||||
Barclays Bank PLC | 4/7/2022 | 3,186,436 | USD | 241,175,000 | INR | — | (2,096 | ) | ||||||||||||||||||||
Citibank NA | 3/3/2022 | 272,390 | USD | 385,000 | AUD | — | (7,237 | ) | ||||||||||||||||||||
Citibank NA | 3/3/2022 | 627,138 | USD | 800,000 | CAD | — | (4,030 | ) | ||||||||||||||||||||
Citibank NA | 3/3/2022 | 254,182 | USD | 235,000 | CHF | — | (2,071 | ) | ||||||||||||||||||||
Citibank NA | 3/3/2022 | 157,666 | USD | 1,005,000 | CNH | — | (1,425 | ) | ||||||||||||||||||||
Citibank NA | 3/3/2022 | 1,753,239 | USD | 1,530,000 | EUR | 37,663 | — | |||||||||||||||||||||
Citibank NA | 3/3/2022 | 608,668 | USD | 450,000 | GBP | 4,988 | — | |||||||||||||||||||||
Citibank NA | 3/3/2022 | 18,589,246 | USD | 2,138,795,000 | JPY | — | (14,945 | ) | ||||||||||||||||||||
Citibank NA | 3/3/2022 | 768,306 | USD | 88,495,000 | JPY | — | (1,463 | ) | ||||||||||||||||||||
Citibank NA | 3/3/2022 | 522,277 | USD | 10,840,000 | MXN | — | (6,908 | ) | ||||||||||||||||||||
Citibank NA | 3/7/2022 | 4,240,664 | USD | 5,110,000,000 | KRW | — | (8,781 | ) | ||||||||||||||||||||
Goldman Sachs | 3/3/2022 | 41,675,229 | USD | 37,075,000 | EUR | 103,350 | — | |||||||||||||||||||||
HSBC Holdings PLC | 3/3/2022 | 1,826,443,000 | JPY | 15,887,460 | USD | — | (245 | ) | ||||||||||||||||||||
HSBC Holdings PLC | 3/3/2022 | 225,891,000 | MXN | 11,027,845 | USD | — | (346 | ) | ||||||||||||||||||||
HSBC Holdings PLC | 4/7/2022 | 15,790,094 | USD | 1,813,955,000 | JPY | — | (1,145 | ) | ||||||||||||||||||||
HSBC Holdings PLC | 4/7/2022 | 10,692,868 | USD | 220,350,000 | MXN | — | (390 | ) | ||||||||||||||||||||
JP Morgan Chase Bank NA | 3/3/2022 | 1,555,000 | AUD | 1,110,340 | USD | 19,065 | — | |||||||||||||||||||||
JP Morgan Chase Bank NA | 3/3/2022 | 292,000 | AUD | 209,215 | USD | 2,867 | — | |||||||||||||||||||||
JP Morgan Chase Bank NA | 3/3/2022 | 3,221,000 | CAD | 2,542,627 | USD | — | (1,388 | ) | ||||||||||||||||||||
JP Morgan Chase Bank NA | 3/3/2022 | 605,000 | CAD | 475,533 | USD | 1,787 | — | |||||||||||||||||||||
JP Morgan Chase Bank NA | 3/3/2022 | 938,000 | CHF | 1,021,274 | USD | 1,556 | — | |||||||||||||||||||||
JP Morgan Chase Bank NA | 3/3/2022 | 176,000 | CHF | 190,014 | USD | 1,903 | — |
See Notes to Financial Statements.
24 | WisdomTree Trust |
Table of Contents
Schedule of Investments (unaudited) (continued)
WisdomTree Bloomberg U.S. Dollar Bullish Fund (USDU)
February 28, 2022
FINANCIAL DERIVATIVE INSTRUMENTS | ||||||||||||||||||||||||||||
FOREIGN CURRENCY CONTRACTS (OTC – OVER THE COUNTER) | ||||||||||||||||||||||||||||
Counterparty | Settlement Date | Amount and Description of Currency to be Purchased | Amount and Description of Currency to be Sold | Unrealized Appreciation | Unrealized Depreciation | |||||||||||||||||||||||
JP Morgan Chase Bank NA | 3/3/2022 | 4,814,000 | CHF | 5,249,493 | USD | $ | — | $ | (132 | ) | ||||||||||||||||||
JP Morgan Chase Bank NA | 3/3/2022 | 4,042,000 | CNH | 634,763 | USD | 5,084 | — | |||||||||||||||||||||
JP Morgan Chase Bank NA | 3/3/2022 | 759,000 | CNH | 119,158 | USD | 991 | — | |||||||||||||||||||||
JP Morgan Chase Bank NA | 3/3/2022 | 20,734,000 | CNH | 3,282,308 | USD | — | (120 | ) | ||||||||||||||||||||
JP Morgan Chase Bank NA | 3/3/2022 | 6,158,000 | EUR | 6,965,104 | USD | — | (60,192 | ) | ||||||||||||||||||||
JP Morgan Chase Bank NA | 3/3/2022 | 1,156,000 | EUR | 1,322,048 | USD | — | (25,835 | ) | ||||||||||||||||||||
JP Morgan Chase Bank NA | 3/3/2022 | 1,809,000 | GBP | 2,454,429 | USD | — | (27,638 | ) | ||||||||||||||||||||
JP Morgan Chase Bank NA | 3/3/2022 | 340,000 | GBP | 460,837 | USD | — | (4,723 | ) | ||||||||||||||||||||
JP Morgan Chase Bank NA | 3/3/2022 | 356,035,000 | JPY | 3,111,365 | USD | — | (14,414 | ) | ||||||||||||||||||||
JP Morgan Chase Bank NA | 3/3/2022 | 66,824,000 | JPY | 575,977 | USD | 5,288 | — | |||||||||||||||||||||
JP Morgan Chase Bank NA | 3/3/2022 | 44,054,000 | MXN | 2,133,144 | USD | 17,475 | — | |||||||||||||||||||||
JP Morgan Chase Bank NA | 3/3/2022 | 8,265,000 | MXN | 400,876 | USD | 2,603 | — | |||||||||||||||||||||
JP Morgan Chase Bank NA | 3/3/2022 | 68,430 | USD | 96,000 | AUD | — | (1,295 | ) | ||||||||||||||||||||
JP Morgan Chase Bank NA | 3/3/2022 | 156,873 | USD | 199,000 | CAD | — | (130 | ) | ||||||||||||||||||||
JP Morgan Chase Bank NA | 3/3/2022 | 63,015 | USD | 58,000 | CHF | — | (230 | ) | ||||||||||||||||||||
JP Morgan Chase Bank NA | 3/3/2022 | 3,804,024 | USD | 24,280,000 | CNH | — | (39,494 | ) | ||||||||||||||||||||
JP Morgan Chase Bank NA | 3/3/2022 | 39,175 | USD | 250,000 | CNH | — | (400 | ) | ||||||||||||||||||||
JP Morgan Chase Bank NA | 3/3/2022 | 338,253 | USD | 300,000 | EUR | 1,866 | — | |||||||||||||||||||||
JP Morgan Chase Bank NA | 3/3/2022 | 151,421 | USD | 112,000 | GBP | 1,172 | — | |||||||||||||||||||||
JP Morgan Chase Bank NA | 3/3/2022 | 191,957 | USD | 22,012,000 | JPY | 487 | — | |||||||||||||||||||||
JP Morgan Chase Bank NA | 3/3/2022 | 12,779,042 | USD | 264,870,000 | MXN | — | (151,326 | ) | ||||||||||||||||||||
JP Morgan Chase Bank NA | 3/3/2022 | 121,080 | USD | 2,500,000 | MXN | — | (965 | ) | ||||||||||||||||||||
JP Morgan Chase Bank NA | 3/7/2022 | 165,204,000 | KRW | 137,613 | USD | — | (230 | ) | ||||||||||||||||||||
JP Morgan Chase Bank NA | 3/7/2022 | 38,766 | USD | 2,909,000 | INR | 174 | — | |||||||||||||||||||||
JP Morgan Chase Bank NA | 3/7/2022 | 155,645 | USD | 11,650,000 | INR | 1,092 | — | |||||||||||||||||||||
JP Morgan Chase Bank NA | 3/7/2022 | 43,659 | USD | 52,590,000 | KRW | — | (74 | ) | ||||||||||||||||||||
JP Morgan Chase Bank NA | 3/7/2022 | 181,745 | USD | 218,000,000 | KRW | 458 | — | |||||||||||||||||||||
JP Morgan Chase Bank NA | 4/7/2022 | 5,149,449 | USD | 4,715,000 | CHF | — | (163 | ) | ||||||||||||||||||||
JP Morgan Chase Bank NA | 4/7/2022 | 3,227,611 | USD | 20,440,000 | CNH | — | (188 | ) | ||||||||||||||||||||
Standard Chartered Bank | 3/7/2022 | 4,515,386,000 | KRW | 3,754,687 | USD | 281 | — | |||||||||||||||||||||
Standard Chartered Bank | 4/7/2022 | 3,692,501 | USD | 4,442,965,000 | KRW | — | (414 | ) | ||||||||||||||||||||
UBS AG | 3/3/2022 | 16,523,000 | CAD | 13,036,124 | USD | — | (141 | ) | ||||||||||||||||||||
UBS AG | 3/3/2022 | 9,283,000 | GBP | 12,453,451 | USD | — | (215 | ) | ||||||||||||||||||||
UBS AG | 3/3/2022 | 6,604,454 | USD | 9,340,000 | AUD | — | (179,242 | ) | ||||||||||||||||||||
UBS AG | 3/3/2022 | 15,221,981 | USD | 19,350,000 | CAD | — | (44,391 | ) | ||||||||||||||||||||
UBS AG | 3/7/2022 | 47,056,000 | INR | 626,995 | USD | — | (2,736 | ) | ||||||||||||||||||||
UBS AG | 3/7/2022 | 8,830,000 | INR | 116,977 | USD | 165 | — | |||||||||||||||||||||
UBS AG | 3/7/2022 | 700,000,000 | KRW | 582,920 | USD | — | (805 | ) | ||||||||||||||||||||
UBS AG | 4/7/2022 | 12,866,352 | USD | 16,305,000 | CAD | 550 | — | |||||||||||||||||||||
UBS AG | 4/7/2022 | 12,365,268 | USD | 9,215,000 | GBP | — | (318 | ) | ||||||||||||||||||||
$ | 269,774 | $ | (671,988 | ) |
See Notes to Financial Statements.
WisdomTree Trust | 25 |
Table of Contents
Schedule of Investments (unaudited) (concluded)
WisdomTree Bloomberg U.S. Dollar Bullish Fund (USDU)
February 28, 2022
FAIR VALUATION SUMMARY |
The following is a summary of the fair valuations according to the inputs used as of February 28, 2022 in valuing the Fund’s investments (See Note 2 — Fair Value Measurement):
Quoted Prices in Active Markets (Level 1) | Other Significant Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | |||||||||||||
Assets: |
| |||||||||||||||
Investments in Securities | ||||||||||||||||
U.S. Government Obligations | $ | — | $ | 102,679,699 | $ | — | $ | 102,679,699 | ||||||||
Exchange-Traded Fund | 4,649,050 | — | — | 4,649,050 | ||||||||||||
Total Investments in Securities | $ | 4,649,050 | $ | 102,679,699 | $ | — | $ | 107,328,749 | ||||||||
Financial Derivative Instruments | ||||||||||||||||
Foreign Currency Contracts1 | $ | — | $ | 269,774 | $ | — | $ | 269,774 | ||||||||
Liabilities: | ||||||||||||||||
Financial Derivative Instruments | ||||||||||||||||
Foreign Currency Contracts1 | $ | — | $ | (671,988 | ) | $ | — | $ | (671,988 | ) | ||||||
Total – Net | $ | 4,649,050 | $ | 102,277,485 | $ | — | $ | 106,926,535 |
1 | Amount shown represents the unrealized appreciation (depreciation) on the financial instrument. |
See Notes to Financial Statements.
26 | WisdomTree Trust |
Table of Contents
Schedule of Investments (unaudited)
WisdomTree Chinese Yuan Strategy Fund (CYB)
February 28, 2022
Investments | Principal Amount | Value | ||||||
U.S. GOVERNMENT OBLIGATIONS – 61.8% |
| |||||||
U.S. Treasury Bills – 61.8% |
| |||||||
0.05%, 4/7/22* | $ | 10,719,000 | $ | 10,718,036 | ||||
0.34%, 6/9/22* | 10,225,000 | 10,214,598 | ||||||
TOTAL U.S. GOVERNMENT OBLIGATIONS (Cost: $20,934,054) |
| 20,932,634 | ||||||
Shares | ||||||||
EXCHANGE-TRADED FUND – 4.8% |
| |||||||
United States – 4.8% |
| |||||||
WisdomTree Floating Rate Treasury Fund(a) | ||||||||
(Cost: $1,621,671) | 64,600 | 1,623,398 | ||||||
REPURCHASE AGREEMENT – 31.9% |
| |||||||
United States – 31.9% |
| |||||||
Citigroup, Inc., tri-party repurchase agreement dated 2/28/22 (tri-party custodian: The Bank of New York Mellon Corp.), 0.06% due 3/1/22; Proceeds at maturity – $10,790,018 (fully collateralized by Ginnie Mae II Single Family, 2.00% – 4.00% due 1/20/52, Ginnie Mae II Single Family Platinum, 3.50% due 1/20/52; Market value including accrued interest – $11,330,561) | ||||||||
(Cost: $10,790,000) | $ | 10,790,000 | $ | 10,790,000 | ||||
TOTAL INVESTMENTS IN SECURITIES – 98.5% (Cost: $33,345,725) |
| 33,346,032 | ||||||
Other Assets less Liabilities – 1.5% |
| 511,097 | ||||||
|
| |||||||
NET ASSETS – 100.0% |
| $ | 33,857,129 |
* | Interest rate shown reflects the yield to maturity at the time of purchase. |
(a) | Affiliated holding. See “Investment in Affiliates” supplementary table included in this Schedule of Investments for additional information. |
INVESTMENT IN AFFILIATES |
Affiliated holdings are investments in entities in which the Fund owns 5% or more of the outstanding voting securities or are investments in entities which are under common ownership or control. Investments in affiliates during the six-month fiscal period ended February 28, 2022 were as follows:
Affiliate | Value at 8/31/2021 | Purchases/ Additions | Sales/ Reductions | Realized Gain/(Loss) | Change in Unrealized Appreciation/ Depreciation | Value at 2/28/2022 | Dividend Income | Capital Gain Distributions | ||||||||||||||||||||||||
WisdomTree Floating Rate Treasury Fund | $ | 1,822,260 | $ | — | $ | 200,700 | $ | (201 | ) | $ | 2,039 | $ | 1,623,398 | $ | — | $ | 152 |
FINANCIAL DERIVATIVE INSTRUMENTS | ||||||||||||||||||||||||||||
FOREIGN CURRENCY CONTRACTS (OTC – OVER THE COUNTER) | ||||||||||||||||||||||||||||
Counterparty | Settlement Date | Amount and Description of Currency to be Purchased | Amount and Description of Currency to be Sold | Unrealized Appreciation | Unrealized Depreciation | |||||||||||||||||||||||
Citibank NA | 3/14/2022 | 385,184 | USD | 2,467,000 | CNY | $ | — | $ | (5,226 | ) | ||||||||||||||||||
Citibank NA | 3/14/2022 | 394,072 | USD | 2,513,000 | CNY | — | (3,617 | ) | ||||||||||||||||||||
Citibank NA | 4/15/2022 | 889,640 | USD | 5,684,000 | CNY | — | (7,619 | ) | ||||||||||||||||||||
Goldman Sachs | 3/14/2022 | 37,770,000 | CNY | 5,864,907 | USD | 112,305 | — | |||||||||||||||||||||
HSBC Holdings PLC | 3/14/2022 | 197,496 | USD | 1,262,000 | CNY | — | (2,219 | ) | ||||||||||||||||||||
JP Morgan Chase Bank NA | 5/18/2022 | 79,500,000 | CNY | 12,401,529 | USD | 118,015 | — | |||||||||||||||||||||
Morgan Stanley & Co. International | 3/14/2022 | 4,980,727 | USD | 31,528,000 | CNY | — | (8,670 | ) | ||||||||||||||||||||
Morgan Stanley & Co. International | 4/14/2022 | 34,700,000 | CNH | 5,410,080 | USD | 69,340 | — | |||||||||||||||||||||
Morgan Stanley & Co. International | 4/15/2022 | 77,000,000 | CNY | 11,988,167 | USD | 166,826 | — | |||||||||||||||||||||
Morgan Stanley & Co. International | 6/14/2022 | 31,745,000 | CNY | 4,987,431 | USD | 3,494 | — | |||||||||||||||||||||
UBS AG | 4/14/2022 | 401,078 | USD | 2,561,000 | CNH | — | (3,325 | ) | ||||||||||||||||||||
$ | 469,980 | $ | (30,676 | ) |
See Notes to Financial Statements.
WisdomTree Trust | 27 |
Table of Contents
Schedule of Investments (unaudited) (concluded)
WisdomTree Chinese Yuan Strategy Fund (CYB)
February 28, 2022
FAIR VALUATION SUMMARY |
The following is a summary of the fair valuations according to the inputs used as of February 28, 2022 in valuing the Fund’s investments (See Note 2 — Fair Value Measurement):
Quoted Prices in Active Markets (Level 1) | Other Significant Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | |||||||||||||
Assets: |
| |||||||||||||||
Investments in Securities | ||||||||||||||||
U.S. Government Obligations | $ | — | $ | 20,932,634 | $ | — | $ | 20,932,634 | ||||||||
Exchange-Traded Fund | 1,623,398 | — | — | 1,623,398 | ||||||||||||
Repurchase Agreement | — | 10,790,000 | — | 10,790,000 | ||||||||||||
Total Investments in Securities | $ | 1,623,398 | $ | 31,722,634 | $ | — | $ | 33,346,032 | ||||||||
Financial Derivative Instruments | ||||||||||||||||
Foreign Currency Contracts1 | $ | — | $ | 469,980 | $ | — | $ | 469,980 | ||||||||
Liabilities: | ||||||||||||||||
Financial Derivative Instruments | ||||||||||||||||
Foreign Currency Contracts1 | $ | — | $ | (30,676 | ) | $ | — | $ | (30,676 | ) | ||||||
Total – Net | $ | 1,623,398 | $ | 32,161,938 | $ | — | $ | 33,785,336 |
1 | Amount shown represents the unrealized appreciation (depreciation) on the financial instrument. |
See Notes to Financial Statements.
28 | WisdomTree Trust |
Table of Contents
Schedule of Investments (unaudited)
WisdomTree Emerging Currency Strategy Fund (CEW)
February 28, 2022
Investments | Principal Amount | Value | ||||||
U.S. GOVERNMENT OBLIGATIONS – 68.0% |
| |||||||
U.S. Treasury Bills – 68.0% |
| |||||||
0.05%, 4/7/22* | $ | 5,508,000 | $ | 5,507,505 | ||||
0.34%, 6/9/22* | 3,790,000 | 3,786,144 | ||||||
TOTAL U.S. GOVERNMENT OBLIGATIONS (Cost: $9,294,241) |
| 9,293,649 | ||||||
Shares | ||||||||
EXCHANGE-TRADED FUND – 4.2% |
| |||||||
United States – 4.2% |
| |||||||
WisdomTree Floating Rate Treasury Fund(a) | ||||||||
(Cost: $567,357) | 22,600 | 567,938 | ||||||
REPURCHASE AGREEMENT – 28.7% |
| |||||||
United States – 28.7% |
| |||||||
Citigroup, Inc., tri-party repurchase agreement dated 2/28/22 (tri-party custodian: The Bank of New York Mellon Corp.), 0.06% due 3/1/22; Proceeds at maturity – $3,930,007 (fully collateralized by U.S. Treasury Inflation Indexed Bond, 0.13% due 1/15/23; Market value including accrued interest – $4,008,673) | ||||||||
(Cost: $3,930,000) | $ | 3,930,000 | $ | 3,930,000 | ||||
TOTAL INVESTMENTS IN SECURITIES – 100.9% (Cost: $13,791,598) |
| 13,791,587 | ||||||
Other Assets less Liabilities – (0.9)% |
| (116,460 | ) | |||||
|
| |||||||
NET ASSETS – 100.0% |
| $ | 13,675,127 |
* | Interest rate shown reflects the yield to maturity at the time of purchase. |
(a) | Affiliated holding. See “Investment in Affiliates” supplementary table included in this Schedule of Investments for additional information. |
INVESTMENT IN AFFILIATES |
Affiliated holdings are investments in entities in which the Fund owns 5% or more of the outstanding voting securities or are investments in entities which are under common ownership or control. Investments in affiliates during the six-month fiscal period ended February 28, 2022 were as follows:
Affiliate | Value at 8/31/2021 | Purchases/ Additions | Sales/ Reductions | Realized Gain/(Loss) | Change in Unrealized Appreciation/ Depreciation | Value at 2/28/2022 | Dividend Income | Capital Gain Distributions | ||||||||||||||||||||||||
WisdomTree Floating Rate Treasury Fund | $ | 567,260 | $ | 125,563 | $ | 125,474 | $ | (88 | ) | $ | 677 | $ | 567,938 | $ | — | $ | 47 |
FINANCIAL DERIVATIVE INSTRUMENTS | ||||||||||||||||||||||||||||
FOREIGN CURRENCY CONTRACTS (OTC – OVER THE COUNTER) | ||||||||||||||||||||||||||||
Counterparty | Settlement Date | Amount and Description of Currency to be Purchased | Amount and Description of Currency to be Sold | Unrealized Appreciation | Unrealized Depreciation | |||||||||||||||||||||||
BNP Paribas SA | 5/10/2022 | 14,465,000 | ZAR | 911,188 | USD | $ | 16,751 | $ | — | |||||||||||||||||||
Bank of America NA | 5/10/2022 | 13,515,000 | TRY | 941,532 | USD | — | (53,138 | ) | ||||||||||||||||||||
Barclays Bank PLC | 5/10/2022 | 1,117,700,000 | KRW | 921,967 | USD | 4,969 | — | |||||||||||||||||||||
Citibank NA | 5/10/2022 | 757,315,000 | CLP | 917,113 | USD | 27,034 | — | |||||||||||||||||||||
Goldman Sachs | 5/10/2022 | 3,820,000 | PLN | 921,060 | USD | — | (12,645 | ) | ||||||||||||||||||||
Goldman Sachs | 5/11/2022 | 73,820,000 | RUB | 923,812 | USD | — | (276,845 | ) | ||||||||||||||||||||
HSBC Holdings PLC | 5/10/2022 | 70,495,000 | INR | 927,127 | USD | — | (1,449 | ) | ||||||||||||||||||||
JP Morgan Chase Bank NA | 5/10/2022 | 13,431,825,000 | IDR | 925,376 | USD | 4,059 | — | |||||||||||||||||||||
Morgan Stanley & Co. International | 5/10/2022 | 5,140,000 | BRL | 928,888 | USD | 50,561 | — | |||||||||||||||||||||
Morgan Stanley & Co. International | 5/10/2022 | 5,945,000 | CNH | 928,520 | USD | 8,588 | — | |||||||||||||||||||||
Morgan Stanley & Co. International | 5/10/2022 | 3,905,000 | MYR | 928,634 | USD | — | (1,130 | ) | ||||||||||||||||||||
Royal Bank of Canada | 5/10/2022 | 19,560,000 | MXN | 921,686 | USD | 23,928 | — | |||||||||||||||||||||
Standard Chartered Bank | 5/10/2022 | 30,795,000 | THB | 921,650 | USD | 19,494 | — | |||||||||||||||||||||
UBS AG | 5/10/2022 | 3,700,000,000 | COP | 918,798 | USD | 22,131 | — | |||||||||||||||||||||
UBS AG | 5/10/2022 | 47,825,000 | PHP | 914,523 | USD | 11,008 | — | |||||||||||||||||||||
$ | 188,523 | $ | (345,207 | ) |
See Notes to Financial Statements.
WisdomTree Trust | 29 |
Table of Contents
Schedule of Investments (unaudited) (concluded)
WisdomTree Emerging Currency Strategy Fund (CEW)
February 28, 2022
FAIR VALUATION SUMMARY |
The following is a summary of the fair valuations according to the inputs used as of February 28, 2022 in valuing the Fund’s investments (See Note 2 — Fair Value Measurement):
Quoted Prices in Active Markets (Level 1) | Other Significant Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | |||||||||||||
Assets: |
| |||||||||||||||
Investments in Securities | ||||||||||||||||
U.S. Government Obligations | $ | — | $ | 9,293,649 | $ | — | $ | 9,293,649 | ||||||||
Exchange-Traded Fund | 567,938 | — | — | 567,938 | ||||||||||||
Repurchase Agreement | — | 3,930,000 | — | 3,930,000 | ||||||||||||
Total Investments in Securities | $ | 567,938 | $ | 13,223,649 | $ | — | $ | 13,791,587 | ||||||||
Financial Derivative Instruments | ||||||||||||||||
Foreign Currency Contracts1 | $ | — | $ | 188,523 | $ | — | $ | 188,523 | ||||||||
Liabilities: | ||||||||||||||||
Financial Derivative Instruments | ||||||||||||||||
Foreign Currency Contracts1 | $ | — | $ | (345,207 | ) | $ | — | $ | (345,207 | ) | ||||||
Total – Net | $ | 567,938 | $ | 13,066,965 | $ | — | $ | 13,634,903 |
1 | Amount shown represents the unrealized appreciation (depreciation) on the financial instrument. |
See Notes to Financial Statements.
30 | WisdomTree Trust |
Table of Contents
Schedule of Investments (unaudited)
WisdomTree Emerging Markets Corporate Bond Fund (EMCB)
February 28, 2022
Investments | Principal Amount | Value | ||||||
FOREIGN CORPORATE BONDS – 96.7% |
| |||||||
Argentina – 2.3% |
| |||||||
Arcor SAIC | $ | 500,000 | $ | 487,571 | ||||
MercadoLibre, Inc. | 200,000 | 187,590 | ||||||
3.13%, 1/14/31 | 400,000 | 350,652 | ||||||
YPF SA | 200,000 | 159,880 | ||||||
8.50%, 6/27/29(b) | 263,000 | 193,372 | ||||||
|
| |||||||
Total Argentina |
| 1,379,065 | ||||||
Austria – 0.4% |
| |||||||
Suzano Austria GmbH | 226,000 | 258,488 | ||||||
Brazil – 7.5% |
| |||||||
Arcos Dorados Holdings, Inc. | 200,000 | 204,050 | ||||||
Braskem Netherlands Finance BV | 400,000 | 396,000 | ||||||
Centrais Eletricas Brasileiras SA | 200,000 | 190,220 | ||||||
CSN Resources SA | 325,000 | 295,555 | ||||||
Fibria Overseas Finance Ltd. | 306,000 | 329,256 | ||||||
Hidrovias International Finance Sarl | 325,000 | 279,485 | ||||||
Itau Unibanco Holding SA | ||||||||
4.63%, 2/27/25, (4.625% fixed rate until 2/27/25; 5-year Constant Maturity Treasury Rate + 3.222% thereafter)(b)(c)(d)(e) | 300,000 | 276,015 | ||||||
3.88%, 4/15/31, (3.875% fixed rate until 1/15/26; 5-year Constant Maturity Treasury Rate + 3.446% thereafter)(b)(c) | 275,000 | 258,005 | ||||||
Klabin Finance SA | 300,000 | 306,900 | ||||||
Minerva Luxembourg SA | 200,000 | 211,551 | ||||||
4.38%, 3/18/31(b) | 275,000 | 250,586 | ||||||
Natura Cosmeticos SA | 400,000 | 378,568 | ||||||
4.13%, 5/3/28(a) | 200,000 | 189,284 | ||||||
Petrobras Global Finance BV | 200,000 | 224,250 | ||||||
5.60%, 1/3/31 | 200,000 | 199,944 | ||||||
St Marys Cement, Inc. | 300,000 | 326,140 | ||||||
5.75%, 1/28/27(b) | 200,000 | 217,427 | ||||||
|
| |||||||
Total Brazil |
| 4,533,236 | ||||||
Chile – 5.6% |
| |||||||
Alfa Desarrollo SpA | 635,000 | 546,100 | ||||||
ATP Tower Holdings LLC / Andean Tower Partners Colombia SAS / Andean Telecom Partners | 300,000 | 279,173 | ||||||
Celulosa Arauco y Constitucion SA | 200,000 | 207,412 | ||||||
5.50%, 11/2/47 | 325,000 | 337,015 | ||||||
Cia Cervecerias Unidas SA | 230,000 | 223,537 | ||||||
Colbun SA | 200,000 | 204,257 | ||||||
Empresa Nacional del Petroleo | 200,000 | 183,710 | ||||||
Falabella SA | 400,000 | 374,000 | ||||||
Inversiones CMPC SA | 325,000 | 297,619 | ||||||
VTR Comunicaciones SpA | 461,000 | 454,949 | ||||||
4.38%, 4/15/29(b) | 275,000 | 263,313 | ||||||
|
| |||||||
Total Chile |
| 3,371,085 | ||||||
China – 2.6% |
| |||||||
Alibaba Group Holding Ltd. | 500,000 | 508,000 | ||||||
Bank of China Ltd. | 350,000 | 373,801 | ||||||
CNAC HK Finbridge Co. Ltd. | 200,000 | 219,312 | ||||||
ENN Clean Energy International Investment Ltd. | 300,000 | 293,249 | ||||||
Tencent Holdings Ltd. | 200,000 | 195,529 | ||||||
|
| |||||||
Total China |
| 1,589,891 | ||||||
Colombia – 7.0% |
| |||||||
Banco Bilbao Vizcaya Argentaria Colombia SA | 200,000 | 200,663 | ||||||
Bancolombia SA | ||||||||
4.63%, 12/18/29, (4.625% fixed rate until 12/18/24; 5-year Constant Maturity Treasury Rate + 2.944% thereafter)(c) | 635,000 | 609,441 | ||||||
Canacol Energy Ltd. | 275,000 | 258,328 | ||||||
Ecopetrol SA | 900,000 | 942,300 | ||||||
5.88%, 5/28/45(e) | 70,000 | 60,734 | ||||||
Geopark Ltd. | 375,000 | 358,594 | ||||||
Millicom International Cellular SA | 500,000 | 467,375 | ||||||
Oleoducto Central SA | 250,000 | 237,381 | ||||||
4.00%, 7/14/27(a) | 200,000 | 189,905 | ||||||
Promigas SA ESP / Gases del Pacifico SAC | 200,000 | 179,771 | ||||||
SierraCol Energy Andina LLC | 300,000 | 273,865 | ||||||
Transportadora de Gas Internacional SA ESP | 400,000 | 416,600 | ||||||
|
| |||||||
Total Colombia |
| 4,194,957 |
See Notes to Financial Statements.
WisdomTree Trust | 31 |
Table of Contents
Schedule of Investments (unaudited) (continued)
WisdomTree Emerging Markets Corporate Bond Fund (EMCB)
February 28, 2022
Investments | Principal Amount | Value | ||||||
Ghana – 0.8% |
| |||||||
Tullow Oil PLC | $ | 465,000 | $ | 453,375 | ||||
Guatemala – 1.6% |
| |||||||
Central American Bottling Corp. / CBC Bottling Holdco SL / Beliv Holdco SL | 460,000 | 467,613 | ||||||
CT Trust | 500,000 | 502,500 | ||||||
|
| |||||||
Total Guatemala |
| 970,113 | ||||||
Hong Kong – 1.6% |
| |||||||
Melco Resorts Finance Ltd. | 200,000 | 190,400 | ||||||
5.75%, 7/21/28(b) | 275,000 | 248,684 | ||||||
5.75%, 7/21/28(a) | 325,000 | 293,899 | ||||||
5.38%, 12/4/29(a) | 250,000 | 217,400 | ||||||
|
| |||||||
Total Hong Kong |
| 950,383 | ||||||
India – 5.9% |
| |||||||
Adani Ports & Special Economic Zone Ltd. | 200,000 | 195,405 | ||||||
Bharti Airtel International Netherlands BV | 323,000 | 341,258 | ||||||
Bharti Airtel Ltd. | 200,000 | 207,869 | ||||||
3.25%, 6/3/31(a)(e) | 200,000 | 189,542 | ||||||
JSW Steel Ltd. | 600,000 | 556,500 | ||||||
Network i2i Ltd. | ||||||||
3.98%, 3/3/26, (3.975% fixed rate until 3/3/26; 5-year Constant Maturity Treasury Rate + 3.39% thereafter)(b)(c)(d)(e) | 300,000 | 286,742 | ||||||
Reliance Industries Ltd. | 400,000 | 415,333 | ||||||
2.88%, 1/12/32(b) | 335,000 | 312,805 | ||||||
Summit Digitel Infrastructure Pvt. Ltd. | 350,000 | 318,530 | ||||||
Vedanta Resources Finance II PLC | 275,000 | 280,500 | ||||||
8.95%, 3/11/25(b)(e) | 450,000 | 421,875 | ||||||
|
| |||||||
Total India |
| 3,526,359 | ||||||
Indonesia – 2.8% |
| |||||||
Medco Bell Pte Ltd. | 478,000 | 464,138 | ||||||
Medco Oak Tree Pte Ltd. | 200,000 | 202,500 | ||||||
Pertamina Persero PT | 250,000 | 240,388 | ||||||
6.45%, 5/30/44(a) | 200,000 | 235,815 | ||||||
Perusahaan Perseroan Persero PT Perusahaan Listrik Negara | 541,000 | 553,876 | ||||||
|
| |||||||
Total Indonesia |
| 1,696,717 | ||||||
Ireland – 1.0% |
| |||||||
C&W Senior Financing DAC | 600,000 | 622,488 | ||||||
Israel – 4.8% |
| |||||||
Bank Hapoalim BM | ||||||||
3.26%, 1/21/32, (3.255% fixed rate until 1/21/32; 5-year Constant Maturity Treasury Rate + 2.155% thereafter)(a)(b)(c) | 475,000 | 457,781 | ||||||
Bank Leumi Le-Israel BM | ||||||||
3.28%, 1/29/31, (3.275% fixed rate until 1/29/26; 5-year Constant Maturity Treasury Rate + 1.631% thereafter)(a)(b)(c) | 500,000 | 474,688 | ||||||
Israel Electric Corp. Ltd. | 300,000 | 315,090 | ||||||
Mizrahi Tefahot Bank Ltd. | ||||||||
3.08%, 4/7/31, (3.077% fixed rate until 4/7/26; 5-year Constant Maturity Treasury Rate + 2.25% thereafter)(a)(b)(c) | 350,000 | 336,875 | ||||||
Teva Pharmaceutical Finance Netherlands III BV | 650,000 | 586,625 | ||||||
4.75%, 5/9/27 | 200,000 | 191,875 | ||||||
5.13%, 5/9/29 | 525,000 | 503,993 | ||||||
|
| |||||||
Total Israel |
| 2,866,927 | ||||||
Jamaica – 0.1% |
| |||||||
Digicel International Finance Ltd. / Digicel International Holdings Ltd. | 81,000 | 81,846 | ||||||
Kazakhstan – 2.2% |
| |||||||
KazMunayGas National Co. JSC | 380,000 | 345,800 | ||||||
Tengizchevroil Finance Co. International Ltd. 3.25%, 8/15/30(b) | 798,000 | 726,180 | ||||||
3.25%, 8/15/30(a) | 250,000 | 227,500 | ||||||
|
| |||||||
Total Kazakhstan |
| 1,299,480 | ||||||
Kuwait – 3.7% |
| |||||||
Equate Petrochemical BV | 400,000 | 413,606 | ||||||
2.63%, 4/28/28(b) | 350,000 | 332,377 | ||||||
2.63%, 4/28/28(a) | 200,000 | 189,930 | ||||||
NBK Tier 1 Financing 2 Ltd. | ||||||||
4.50%, 8/27/25, (4.50% fixed rate until 8/27/25; 6-year U.S. dollar Swap Rate + 2.832% thereafter)(b)(c)(d) | 700,000 | 694,750 | ||||||
4.50%, 8/27/25, (4.50% fixed rate until 8/27/25; 6-year U.S. dollar Swap Rate + 2.832% thereafter)(a)(c)(d) | 400,000 | 397,000 | ||||||
NBK Tier 1 Ltd. | ||||||||
3.63%, 8/24/26, (3.625% fixed rate until 8/24/26; 6-year U.S. dollar Swap Rate + 2.875% thereafter)(a)(c)(d) | 200,000 | 192,625 | ||||||
|
| |||||||
Total Kuwait |
| 2,220,288 |
See Notes to Financial Statements.
32 | WisdomTree Trust |
Table of Contents
Schedule of Investments (unaudited) (continued)
WisdomTree Emerging Markets Corporate Bond Fund (EMCB)
February 28, 2022
Investments | Principal Amount | Value | ||||||
Luxembourg – 2.8% |
| |||||||
Altice Financing SA | $ | 900,000 | $ | 824,625 | ||||
EIG Pearl Holdings Sarl | 325,000 | 318,435 | ||||||
JBS Finance Luxembourg Sarl | 568,000 | 516,988 | ||||||
|
| |||||||
Total Luxembourg |
| 1,660,048 | ||||||
Malaysia – 1.7% |
| |||||||
CIMB Bank Bhd | 500,000 | 491,355 | ||||||
Genm Capital Labuan Ltd. | 375,000 | 343,841 | ||||||
Gohl Capital Ltd. | 200,000 | 196,464 | ||||||
|
| |||||||
Total Malaysia |
| 1,031,660 | ||||||
Mexico – 6.5% |
| |||||||
Alpek SAB de CV | 400,000 | 398,950 | ||||||
4.25%, 9/18/29(a) | 200,000 | 199,475 | ||||||
Banco Mercantil del Norte SA | ||||||||
7.50%, 6/27/29, (7.50% fixed rate until 6/27/29; 10-year Constant Maturity Treasury Rate + 5.47% thereafter)(b)(c)(d) | 400,000 | 392,200 | ||||||
Braskem Idesa SAPI | 500,000 | 480,000 | ||||||
Cemex SAB de CV | ||||||||
5.13%, 6/8/26, (5.125% fixed rate until 6/8/26; 5-year Constant Maturity Treasury Rate + 4.534% thereafter)(b)(c)(d) | 200,000 | 192,000 | ||||||
7.38%, 6/5/27(b) | 200,000 | 214,260 | ||||||
5.20%, 9/17/30(b) | 200,000 | 195,250 | ||||||
5.20%, 9/17/30(a) | 300,000 | 292,875 | ||||||
Credito Real SAB de CV SOFOM ER | 500,000 | 97,500 | ||||||
GCC SAB de CV Co. | 400,000 | 384,000 | ||||||
Grupo Bimbo SAB de CV | ||||||||
5.95%, 4/17/23, (5.95% fixed rate until 4/17/23; 5-year Constant Maturity Treasury Rate + 3.28% thereafter)(b)(c)(d) | 400,000 | 405,600 | ||||||
Industrias Penoles SAB de CV | 335,000 | 316,192 | ||||||
Orbia Advance Corp. SAB de CV | 400,000 | 361,500 | ||||||
|
| |||||||
Total Mexico |
| 3,929,802 | ||||||
Morocco – 0.3% |
| |||||||
OCP SA | 200,000 | 203,208 | ||||||
Netherlands – 0.9% |
| |||||||
Sigma Finance Netherlands BV | 200,000 | 207,940 | ||||||
VEON Holdings BV | 550,000 | 261,250 | ||||||
3.38%, 11/25/27(a) | 200,000 | 96,000 | ||||||
|
| |||||||
Total Netherlands |
| 565,190 | ||||||
Oman – 2.1% |
| |||||||
OQ SAOC | 250,000 | 249,061 | ||||||
5.13%, 5/6/28(b) | 500,000 | 498,121 | ||||||
Oryx Funding Ltd. | 250,000 | 254,063 | ||||||
Oztel Holdings SPC Ltd. | 250,000 | 255,862 | ||||||
|
| |||||||
Total Oman |
| 1,257,107 | ||||||
Panama – 1.9% |
| |||||||
Aeropuerto Internacional de Tocumen SA | 325,000 | 299,132 | ||||||
AES Panama Generation Holdings SRL | 625,000 | 605,922 | ||||||
Banco General SA | 200,000 | 205,500 | ||||||
|
| |||||||
Total Panama |
| 1,110,554 | ||||||
Peru – 3.7% |
| |||||||
Credicorp Ltd. | 225,000 | 220,897 | ||||||
2.75%, 6/17/25(a)(e) | 200,000 | 196,352 | ||||||
Inkia Energy Ltd. | 200,000 | 195,655 | ||||||
InRetail Consumer | 375,000 | 353,625 | ||||||
Petroleos del Peru SA | 200,000 | 192,600 | ||||||
Southern Copper Corp. | 200,000 | 231,225 | ||||||
5.88%, 4/23/45(e) | 400,000 | 498,220 | ||||||
Volcan Cia Minera SAA | 325,000 | 310,537 | ||||||
|
| |||||||
Total Peru |
| 2,199,111 | ||||||
Poland – 1.2% |
| |||||||
Canpack SA / Canpack U.S. LLC | 759,000 | 746,903 | ||||||
Qatar – 1.4% |
| |||||||
Ooredoo International Finance Ltd. | 375,000 | 359,531 | ||||||
Qatar Energy | 200,000 | 189,000 | ||||||
3.30%, 7/12/51(b) | 325,000 | 307,938 | ||||||
|
| |||||||
Total Qatar |
| 856,469 | ||||||
Russia – 2.4% |
| |||||||
Alfa Bank AO Via Alfa Bond Issuance PLC | ||||||||
5.95%, 4/15/30, (5.95% fixed rate until 4/15/25; 5-year Constant Maturity Treasury Rate + 4.546% thereafter)(b)(c) | 350,000 | 87,500 | ||||||
Credit Bank of Moscow Via CBOM Finance PLC | 500,000 | 125,000 | ||||||
Evraz PLC | 500,000 | 187,500 | ||||||
Gazprom PJSC Via Gaz Capital SA 4.95%, 3/23/27(a) | 335,000 | 150,750 | ||||||
8.63%, 4/28/34(a) | 322,000 | 128,800 |
See Notes to Financial Statements.
WisdomTree Trust | 33 |
Table of Contents
Schedule of Investments (unaudited) (continued)
WisdomTree Emerging Markets Corporate Bond Fund (EMCB)
February 28, 2022
Investments | Principal Amount | Value | ||||||
Gazprom PJSC Via Gaz Finance PLC | ||||||||
4.60%, 10/26/25, (4.599% fixed rate until 10/26/25; 5-year Constant Maturity Treasury Rate + 4.264% thereafter)(b)(c)(d) | $ | 225,000 | $ | 67,500 | ||||
Lukoil Capital DAC | 350,000 | 115,500 | ||||||
Lukoil Securities BV | 633,000 | 253,200 | ||||||
Phosagro OAO Via Phosagro Bond Funding DAC | 250,000 | 93,750 | ||||||
Severstal OAO Via Steel Capital SA | 200,000 | 75,000 | ||||||
3.15%, 9/16/24(a) | 200,000 | 75,000 | ||||||
Sovcombank Via SovCom Capital DAC | ||||||||
7.75%, 5/6/25, (7.75% fixed rate until 5/6/25; 5-year Constant Maturity Treasury Rate + 6.38% thereafter)(b)(c)(d) | 300,000 | 75,000 | ||||||
|
| |||||||
Total Russia |
| 1,434,500 | ||||||
Saudi Arabia – 2.8% |
| |||||||
Arabian Centres Sukuk II Ltd. | 200,000 | 196,000 | ||||||
SA Global Sukuk Ltd. | 200,000 | 193,925 | ||||||
2.69%, 6/17/31(a) | 200,000 | 193,925 | ||||||
Saudi Arabian Oil Co. | 200,000 | 206,076 | ||||||
2.25%, 11/24/30(b) | 700,000 | 652,750 | ||||||
Saudi Electricity Global Sukuk Co. 2 | 200,000 | 223,771 | ||||||
|
| |||||||
Total Saudi Arabia |
| 1,666,447 | ||||||
Singapore – 1.5% |
| |||||||
Oversea-Chinese Banking Corp. Ltd. | ||||||||
1.83%, 9/10/30, (1.832% fixed rate until 9/10/25; 5-year Constant Maturity Treasury Rate + 1.58% thereafter)(b)(c) | 425,000 | 412,076 | ||||||
1.83%, 9/10/30, (1.832% fixed rate until 9/10/25; 5-year Constant Maturity Treasury Rate + 1.58% thereafter)(a)(c) | 498,000 | 482,856 | ||||||
|
| |||||||
Total Singapore |
| 894,932 | ||||||
South Africa – 3.4% |
| |||||||
AngloGold Ashanti Holdings PLC | 350,000 | 328,475 | ||||||
6.50%, 4/15/40 | 256,000 | 291,684 | ||||||
Bidvest Group UK PLC | 425,000 | 408,000 | ||||||
Gold Fields Orogen Holdings BVI Ltd. | 425,000 | 439,689 | ||||||
Sasol Financing USA LLC | 575,000 | 559,906 | ||||||
|
| |||||||
Total South Africa |
| 2,027,754 | ||||||
South Korea – 3.2% |
| |||||||
Kookmin Bank | 475,000 | 445,540 | ||||||
2.50%, 11/4/30(a)(e) | 300,000 | 281,394 | ||||||
Shinhan Financial Group Co. Ltd. | ||||||||
2.88%, 5/12/26, (2.875% fixed rate until 5/12/26; 5-year Constant Maturity Treasury Rate + 2.064% thereafter)(b)(c)(d) | 525,000 | 497,437 | ||||||
SK Hynix, Inc. | 300,000 | 274,880 | ||||||
Woori Bank | 400,000 | 420,111 | ||||||
|
| |||||||
Total South Korea |
| 1,919,362 | ||||||
Spain – 0.6% |
| |||||||
EnfraGen Energia Sur SA | 400,000 | 330,504 | ||||||
Thailand – 2.6% |
| |||||||
Bangkok Bank PCL | ||||||||
5.00%, 9/23/25, (5.00% fixed rate until 9/23/25; 5-year Constant Maturity Treasury Rate + 4.729% thereafter)(b)(c)(d) | 450,000 | 448,875 | ||||||
4.45%, 9/19/28(b) | 300,000 | 331,409 | ||||||
GC Treasury Center Co. Ltd. | 200,000 | 193,407 | ||||||
PTTEP Treasury Center Co. Ltd. | 600,000 | 584,892 | ||||||
|
| |||||||
Total Thailand |
| 1,558,583 | ||||||
Turkey – 3.3% |
| |||||||
Akbank T.A.S. | 600,000 | 585,000 | ||||||
Turk Telekomunikasyon AS | 200,000 | 198,466 | ||||||
Turkiye Is Bankasi AS | 200,000 | 199,976 | ||||||
Turkiye Sise ve Cam Fabrikalari AS | 500,000 | 494,687 | ||||||
Turkiye Vakiflar Bankasi TAO | 200,000 | 191,000 | ||||||
Yapi ve Kredi Bankasi AS | ||||||||
7.88%, 1/22/31, (7.875% fixed rate until 1/22/26; 5-year Constant Maturity Treasury Rate + 7.415% thereafter)(b)(c) | 300,000 | 297,000 | ||||||
|
| |||||||
Total Turkey |
| 1,966,129 | ||||||
United Arab Emirates – 3.6% |
| |||||||
Abu Dhabi National Energy Co. PJSC | 200,000 | 190,250 | ||||||
4.88%, 4/23/30(a) | 200,000 | 227,689 | ||||||
DP World Ltd. | 370,000 | 455,059 | ||||||
Galaxy Pipeline Assets Bidco Ltd. | 300,000 | 279,375 | ||||||
2.94%, 9/30/40(b) | 225,000 | 207,000 | ||||||
2.94%, 9/30/40(a) | 200,000 | 184,000 | ||||||
MAF Global Securities Ltd. | 200,000 | 207,000 | ||||||
MHP Lux SA | 275,000 | 110,000 |
See Notes to Financial Statements.
34 | WisdomTree Trust |
Table of Contents
Schedule of Investments (unaudited) (continued)
WisdomTree Emerging Markets Corporate Bond Fund (EMCB)
February 28, 2022
Investments | Principal Amount | Value | ||||||
Sweihan PV Power Co. PJSC | $ | 325,000 | $ | 312,406 | ||||
|
| |||||||
Total United Arab Emirates |
| 2,172,779 | ||||||
United Kingdom – 0.6% |
| |||||||
CK Hutchison International 21 Ltd. | 350,000 | 337,778 | ||||||
Zambia – 0.3% |
| |||||||
First Quantum Minerals Ltd. | 200,000 | 206,231 | ||||||
TOTAL FOREIGN CORPORATE BONDS (Cost: $64,985,147) |
| 58,089,749 | ||||||
FOREIGN GOVERNMENT AGENCIES – 0.3% |
| |||||||
India – 0.3% |
| |||||||
Export-Import Bank of India (Cost: $202,880) | 200,000 | 192,518 | ||||||
FOREIGN GOVERNMENT OBLIGATIONS – 1.1% |
| |||||||
Egypt – 0.3% |
| |||||||
Egypt Government International Bond | 200,000 | 180,500 | ||||||
Ghana – 0.2% |
| |||||||
Ghana Government International Bond | 200,000 | 139,000 | ||||||
Nigeria – 0.3% |
| |||||||
Nigeria Government International Bond | 200,000 | 191,000 | ||||||
Panama – 0.3% |
| |||||||
Panama Government International Bond | 200,000 | 177,231 | ||||||
TOTAL FOREIGN GOVERNMENT OBLIGATIONS (Cost: $790,148) |
| 687,731 | ||||||
Investments | Shares | Value | ||||||
INVESTMENT OF CASH COLLATERAL FOR SECURITIES LOANED – 4.4% |
| |||||||
United States – 4.4% |
| |||||||
State Street Navigator Securities Lending Government Money Market Portfolio, 0.06%(f) | ||||||||
(Cost: $2,640,998) | 2,640,998 | 2,640,998 | ||||||
TOTAL INVESTMENTS IN SECURITIES – 102.5% (Cost: $68,619,173) |
| 61,610,996 | ||||||
Other Assets less Liabilities – (2.5)% |
| (1,529,211 | ) | |||||
|
| |||||||
NET ASSETS – 100.0% |
| $ | 60,081,785 |
(a) | This security is exempt from registration under Regulation S of the Securities Act of 1933, which exempts from registration securities offered and sold outside the United States. This security may not be offered or sold in the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933. |
(b) | This security is exempt from registration under rule 144A of the Securities Act of 1933. This security may be sold in transactions that are exempt from registration, normally to qualified institutional buyers. |
(c) | Rate shown reflects the accrual rate as of February 28, 2022 on securities with variable or step rates. |
(d) | The security has a perpetual maturity; the date displayed is the next call date. |
(e) | Security, or portion thereof, was on loan at February 28, 2022 (See Note 2). At February 28, 2022, the total market value of the Fund’s securities on loan identified in the Schedule of Investments was $4,588,634 and the total market value of the collateral held by the Fund was $4,773,875. The total market value of the collateral includes non-cash U.S. Government securities collateral having a value of $2,132,877. |
(f) | Rate shown represents annualized 7-day yield as of February 28, 2022. |
FINANCIAL DERIVATIVE INSTRUMENTS |
FUTURES CONTRACTS (EXCHANGE-TRADED) |
Short Exposure | Contracts | Expiration Date | Notional Value | Unrealized Appreciation/ (Depreciation) | ||||||||||||
10 Year U.S. Treasury Note | 57 | 6/21/22 | $ | (7,263,938 | ) | $ | (69,023 | ) | ||||||||
U.S. Treasury Ultra Long Term Bond | 4 | 6/21/22 | (743,750 | ) | (10,402 | ) | ||||||||||
Ultra 10 Year U.S. Treasury Note | 27 | 6/21/22 | (3,815,859 | ) | (48,616 | ) | ||||||||||
$ | (11,823,547 | ) | $ | (128,041 | ) | |||||||||||
Long Exposure | ||||||||||||||||
2 Year U.S. Treasury Note | 44 | 6/30/22 | $ | 9,469,969 | $ | 32,273 | ||||||||||
5 Year U.S. Treasury Note | 11 | 6/30/22 | 1,301,094 | 9,281 | ||||||||||||
U.S. Treasury Long Bond | 6 | 6/21/22 | 940,125 | 14,431 | ||||||||||||
$ | 11,711,188 | $ | 55,985 | |||||||||||||
Total – Net |
| $ | (112,359 | ) | $ | (72,056 | ) |
See Notes to Financial Statements.
WisdomTree Trust | 35 |
Table of Contents
Schedule of Investments (unaudited) (concluded)
WisdomTree Emerging Markets Corporate Bond Fund (EMCB)
February 28, 2022
FAIR VALUATION SUMMARY |
The following is a summary of the fair valuations according to the inputs used as of February 28, 2022 in valuing the Fund’s investments (See Note 2 — Fair Value Measurement):
Quoted Prices in Active Markets (Level 1) | Other Significant Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | |||||||||||||
Assets: |
| |||||||||||||||
Investments in Securities | ||||||||||||||||
Foreign Corporate Bonds | $ | — | $ | 58,089,749 | $ | — | $ | 58,089,749 | ||||||||
Foreign Government Agencies | — | 192,518 | — | 192,518 | ||||||||||||
Foreign Government Obligations | — | 687,731 | — | 687,731 | ||||||||||||
Investment of Cash Collateral for Securities Loaned | — | 2,640,998 | — | 2,640,998 | ||||||||||||
Total Investments in Securities | $ | — | $ | 61,610,996 | $ | — | $ | 61,610,996 | ||||||||
Financial Derivative Instruments | ||||||||||||||||
Futures Contracts1 | $ | 55,985 | $ | — | $ | — | $ | 55,985 | ||||||||
Liabilities: | ||||||||||||||||
Financial Derivative Instruments | ||||||||||||||||
Futures Contracts1 | $ | (128,041 | ) | $ | — | $ | — | $ | (128,041 | ) | ||||||
Total – Net | $ | (72,056 | ) | $ | 61,610,996 | $ | — | $ | 61,538,940 |
1 | Amount shown represents the unrealized appreciation (depreciation) on the financial instrument. |
See Notes to Financial Statements.
36 | WisdomTree Trust |
Table of Contents
Schedule of Investments (unaudited)
WisdomTree Emerging Markets Local Debt Fund (ELD)
February 28, 2022
Investments | Principal Amount† | Value | ||||||||||
FOREIGN GOVERNMENT OBLIGATIONS – 87.1% |
| |||||||||||
Brazil – 7.9% |
| |||||||||||
Brazil Letras do Tesouro Nacional |
| |||||||||||
6.38%, 7/1/23, Series LTN(a) | 10,130,000 | BRL | $ | 1,681,691 | ||||||||
6.30%, 1/1/24, Series LTN(a) | 10,290,000 | BRL | 1,623,131 | |||||||||
9.41%, 7/1/24, Series LTN(a) | 7,255,000 | BRL | 1,087,787 | |||||||||
Brazil Notas do Tesouro Nacional |
| |||||||||||
10.00%, 1/1/23, Series F | 7,835,000 | BRL | 1,492,607 | |||||||||
10.00%, 1/1/25, Series F | 6,249,000 | BRL | 1,175,055 | |||||||||
10.00%, 1/1/27, Series F | 3,780,000 | BRL | 701,676 | |||||||||
10.00%, 1/1/29, Series F | 5,560,000 | BRL | 1,007,017 | |||||||||
10.00%, 1/1/31, Series F | 500,000 | BRL | 89,308 | |||||||||
|
| |||||||||||
Total Brazil |
| 8,858,272 | ||||||||||
Chile – 3.8% |
| |||||||||||
Bonos de la Tesoreria de la Republica en pesos |
| |||||||||||
4.00%, 3/1/23(b)(c) | 200,000,000 | CLP | 243,906 | |||||||||
2.50%, 3/1/25 | 800,000,000 | CLP | 904,515 | |||||||||
4.50%, 3/1/26 | 680,000,000 | CLP | 807,561 | |||||||||
2.30%, 10/1/28(b)(c) | 105,000,000 | CLP | 106,349 | |||||||||
5.00%, 10/1/28(b)(c) | 480,000,000 | CLP | 577,431 | |||||||||
4.70%, 9/1/30(b)(c) | 175,000,000 | CLP | 205,160 | |||||||||
5.00%, 3/1/35 | 790,000,000 | CLP | 923,696 | |||||||||
6.00%, 1/1/43, Series 30YR | 380,000,000 | CLP | 485,644 | |||||||||
|
| |||||||||||
Total Chile |
| 4,254,262 | ||||||||||
China – 7.1% |
| |||||||||||
China Development Bank |
| |||||||||||
2.98%, 1/8/24, Series 2102 | 5,000,000 | CNY | 800,380 | |||||||||
3.41%, 6/7/31, Series 2110 | 4,000,000 | CNY | 646,691 | |||||||||
China Government Bond |
| |||||||||||
3.25%, 6/6/26, Series 1907 | 3,550,000 | CNY | 578,435 | |||||||||
3.12%, 12/5/26, Series 1916 | 2,250,000 | CNY | 364,706 | |||||||||
2.85%, 6/4/27, Series INBK | 1,700,000 | CNY | 271,905 | |||||||||
3.25%, 11/22/28, Series 1827 | 8,000,000 | CNY | 1,307,050 | |||||||||
3.29%, 5/23/29, Series 1906 | 5,000,000 | CNY | 817,666 | |||||||||
3.13%, 11/21/29, Series 1915 | 4,000,000 | CNY | 647,359 | |||||||||
2.68%, 5/21/30, Series INBK | 2,970,000 | CNY | 463,490 | |||||||||
3.81%, 9/14/50, Series INBK | 3,000,000 | CNY | 510,404 | |||||||||
Export-Import Bank of China |
| |||||||||||
3.28%, 2/11/24, Series 1905 | 5,000,000 | CNY | 804,196 | |||||||||
3.14%, 4/2/24, Series 2103 | 5,000,000 | CNY | 803,213 | |||||||||
|
| |||||||||||
Total China |
| 8,015,495 | ||||||||||
Colombia – 7.0% |
| |||||||||||
Colombian TES |
| |||||||||||
10.00%, 7/24/24, Series B | 4,958,700,000 | COP | 1,311,652 | |||||||||
6.25%, 11/26/25, Series B | 1,502,400,000 | COP | 353,015 | |||||||||
7.50%, 8/26/26, Series B | 5,104,300,000 | COP | 1,235,104 | |||||||||
5.75%, 11/3/27, Series B | 5,079,700,000 | COP | 1,108,618 | |||||||||
6.00%, 4/28/28, Series B | 2,422,600,000 | COP | 528,582 | |||||||||
7.75%, 9/18/30, Series B | 1,762,200,000 | COP | 410,268 | |||||||||
7.00%, 3/26/31, Series B | 3,300,000,000 | COP | 724,814 | |||||||||
7.00%, 6/30/32, Series B | 3,041,800,000 | COP | 655,739 | |||||||||
7.25%, 10/18/34, Series B | 2,210,400,000 | COP | 473,286 | |||||||||
6.25%, 7/9/36, Series B | 5,000,000,000 | COP | 951,372 | |||||||||
7.25%, 10/26/50, Series B | 850,000,000 | COP | 164,520 | |||||||||
|
| |||||||||||
Total Colombia |
| 7,916,970 | ||||||||||
Czech Republic – 2.0% |
| |||||||||||
Czech Republic Government Bond |
| |||||||||||
0.45%, 10/25/23, Series 97(b) | 10,000,000 | CZK | 420,941 | |||||||||
3.62%, 12/12/24, Series 135(a) | 2,000,000 | CZK | 80,670 | |||||||||
1.25%, 2/14/25, Series 120 | 10,000,000 | CZK | 416,643 | |||||||||
0.25%, 2/10/27, Series 100 | 6,300,000 | CZK | 243,491 | |||||||||
0.05%, 11/29/29, Series 130 | 15,000,000 | CZK | 530,812 | |||||||||
1.20%, 3/13/31, Series 121 | 15,000,000 | CZK | 571,746 | |||||||||
|
| |||||||||||
Total Czech Republic |
| 2,264,303 | ||||||||||
Egypt – 0.0% |
| |||||||||||
Egypt Government Bond | 700,000 | EGP | 45,307 | |||||||||
Hungary – 1.9% |
| |||||||||||
Hungary Government Bond |
| |||||||||||
1.75%, 10/26/22, Series 22/B | 66,770,000 | HUF | 198,106 | |||||||||
6.00%, 11/24/23, Series 23/A | 17,600,000 | HUF | 54,028 | |||||||||
3.00%, 6/26/24, Series 24/B | 168,940,000 | HUF | 488,309 | |||||||||
1.00%, 11/26/25, Series 25/C | 30,000,000 | HUF | 78,363 | |||||||||
3.00%, 10/27/27, Series 27/A | 266,740,000 | HUF | 721,068 | |||||||||
3.00%, 8/21/30, Series 30/A | 55,660,000 | HUF | 143,373 | |||||||||
3.25%, 10/22/31, Series 31/A | 72,870,000 | HUF | 191,421 | |||||||||
2.25%, 4/20/33, Series 33/A | 95,360,000 | HUF | 219,074 | |||||||||
3.00%, 10/27/38, Series 38/A | 27,000,000 | HUF | 60,658 | |||||||||
|
| |||||||||||
Total Hungary |
| 2,154,400 | ||||||||||
India – 3.5% |
| |||||||||||
India Government Bond |
| |||||||||||
5.15%, 11/9/25 | 50,000,000 | INR | 649,856 | |||||||||
5.63%, 4/12/26 | 50,000,000 | INR | 656,923 | |||||||||
7.26%, 1/14/29 | 50,000,000 | INR | 686,552 | |||||||||
5.79%, 5/11/30 | 50,000,000 | INR | 626,099 | |||||||||
6.10%, 7/12/31 | 50,000,000 | INR | 632,934 | |||||||||
7.16%, 9/20/50 | 50,000,000 | INR | 668,038 | |||||||||
|
| |||||||||||
Total India |
| 3,920,402 | ||||||||||
Indonesia – 11.6% |
| |||||||||||
Indonesia Treasury Bond |
| |||||||||||
8.38%, 3/15/24, Series FR70 | 8,465,000,000 | IDR | 636,808 | |||||||||
8.13%, 5/15/24, Series FR77 | 8,178,000,000 | IDR | 615,225 | |||||||||
6.50%, 6/15/25, Series FR81 | 13,200,000,000 | IDR | 963,801 | |||||||||
5.50%, 4/15/26, Series FR86 | 4,697,000,000 | IDR | 329,601 | |||||||||
8.38%, 9/15/26, Series FR56 | 16,931,000,000 | IDR | 1,315,614 | |||||||||
6.13%, 5/15/28, Series FR64 | 12,300,000,000 | IDR | 862,214 | |||||||||
9.00%, 3/15/29, Series FR71 | 9,875,000,000 | IDR | 790,790 | |||||||||
8.25%, 5/15/29, Series FR78 | 3,520,000,000 | IDR | 271,536 | |||||||||
7.00%, 9/15/30, Series FR82 | 13,000,000,000 | IDR | 933,417 | |||||||||
8.75%, 5/15/31, Series FR73 | 8,601,000,000 | IDR | 688,018 | |||||||||
8.25%, 6/15/32, Series FR58 | 11,549,000,000 | IDR | 894,412 | |||||||||
8.38%, 3/15/34, Series FR68 | 16,000,000,000 | IDR | 1,255,889 | |||||||||
7.50%, 6/15/35, Series FR80 | 11,063,000,000 | IDR | 812,364 | |||||||||
8.25%, 5/15/36, Series FR72 | 11,563,000,000 | IDR | 899,373 | |||||||||
7.50%, 5/15/38, Series FR75 | 3,300,000,000 | IDR | 240,276 | |||||||||
8.38%, 4/15/39, Series FR79 | 10,000,000,000 | IDR | 792,134 | |||||||||
7.50%, 4/15/40, Series FR83 | 4,000,000,000 | IDR | 293,319 | |||||||||
8.75%, 2/15/44, Series FR67 | 1,390,000,000 | IDR | 112,670 | |||||||||
Perusahaan Penerbit SBSN Indonesia | 5,000,000,000 | IDR | 366,333 | |||||||||
|
| |||||||||||
Total Indonesia |
| 13,073,794 |
See Notes to Financial Statements.
WisdomTree Trust | 37 |
Table of Contents
Schedule of Investments (unaudited) (continued)
WisdomTree Emerging Markets Local Debt Fund (ELD)
February 28, 2022
Investments | Principal Amount† | Value | ||||||||||
Malaysia – 6.8% |
| |||||||||||
Malaysia Government Bond |
| |||||||||||
3.48%, 6/14/24, Series 0319 | 1,000,000 | MYR | $ | 242,259 | ||||||||
4.18%, 7/15/24, Series 0114 | 1,560,000 | MYR | 383,512 | |||||||||
3.96%, 9/15/25, Series 0115 | 2,890,000 | MYR | 709,299 | |||||||||
3.91%, 7/15/26, Series 0119 | 465,000 | MYR | 113,644 | |||||||||
3.90%, 11/16/27, Series 0417 | 4,410,000 | MYR | 1,074,576 | |||||||||
3.89%, 8/15/29, Series 0219 | 3,190,000 | MYR | 770,360 | |||||||||
2.63%, 4/15/31, Series 0220 | 2,000,000 | MYR | 437,269 | |||||||||
3.83%, 7/5/34, Series 0419 | 1,485,000 | MYR | 347,463 | |||||||||
4.76%, 4/7/37, Series 0317 | 1,832,000 | MYR | 466,884 | |||||||||
3.76%, 5/22/40, Series 0519 | 1,500,000 | MYR | 336,365 | |||||||||
4.07%, 6/15/50, Series 0120 | 1,315,000 | MYR | 296,305 | |||||||||
Malaysia Government Investment Issue |
| |||||||||||
4.13%, 8/15/25, Series 0118 | 4,000,000 | MYR | 985,229 | |||||||||
3.73%, 3/31/26, Series 0319 | 2,900,000 | MYR | 702,119 | |||||||||
3.42%, 9/30/27, Series 0120 | 500,000 | MYR | 119,100 | |||||||||
3.47%, 10/15/30, Series 0220 | 1,980,000 | MYR | 462,442 | |||||||||
3.45%, 7/15/36, Series 0121 | 1,125,000 | MYR | 250,469 | |||||||||
|
| |||||||||||
Total Malaysia |
| 7,697,295 | ||||||||||
Mexico – 5.0% |
| |||||||||||
Mexican Bonos |
| |||||||||||
10.00%, 12/5/24, Series M 20 | 8,410,000 | MXN | 433,888 | |||||||||
5.75%, 3/5/26, Series M | 3,700,000 | MXN | 168,357 | |||||||||
8.50%, 5/31/29, Series M 20 | 21,945,000 | MXN | 1,112,975 | |||||||||
7.75%, 5/29/31, Series M | 15,133,000 | MXN | 733,813 | |||||||||
7.75%, 11/23/34, Series M | 5,319,000 | MXN | 255,783 | |||||||||
10.00%, 11/20/36, Series M 30 | 4,237,000 | MXN | 242,266 | |||||||||
8.50%, 11/18/38, Series M 30 | 19,854,000 | MXN | 1,008,815 | |||||||||
7.75%, 11/13/42, Series M | 15,142,000 | MXN | 709,957 | |||||||||
8.00%, 11/7/47, Series M | 20,000,000 | MXN | 959,431 | |||||||||
|
| |||||||||||
Total Mexico |
| 5,625,285 | ||||||||||
Peru – 3.7% |
| |||||||||||
Peru Government Bond |
| |||||||||||
8.20%, 8/12/26 | 125,000 | PEN | 37,022 | |||||||||
6.35%, 8/12/28 | 2,750,000 | PEN | 748,295 | |||||||||
5.94%, 2/12/29 | 4,785,000 | PEN | 1,267,599 | |||||||||
6.15%, 8/12/32 | 3,451,000 | PEN | 899,703 | |||||||||
5.40%, 8/12/34 | 2,830,000 | PEN | 667,750 | |||||||||
6.90%, 8/12/37 | 500,000 | PEN | 131,414 | |||||||||
5.35%, 8/12/40 | 2,000,000 | PEN | 439,344 | |||||||||
|
| |||||||||||
Total Peru |
| 4,191,127 | ||||||||||
Philippines – 2.0% |
| |||||||||||
Philippine Government International Bond |
| |||||||||||
3.90%, 11/26/22 | 39,000,000 | PHP | 758,767 | |||||||||
6.25%, 1/14/36 | 70,000,000 | PHP | 1,503,717 | |||||||||
|
| |||||||||||
Total Philippines |
| 2,262,484 | ||||||||||
Poland – 3.6% |
| |||||||||||
Republic of Poland Government Bond |
| |||||||||||
2.50%, 1/25/23, Series 0123 | 2,500,000 | PLN | 592,573 | |||||||||
4.00%, 10/25/23, Series 1023 | 2,300,000 | PLN | 550,191 | |||||||||
2.50%, 4/25/24, Series 0424 | 1,200,000 | PLN | 278,133 | |||||||||
0.75%, 4/25/25, Series 0425 | 1,630,000 | PLN | 352,020 | |||||||||
2.50%, 7/25/26, Series 0726 | 4,095,000 | PLN | 914,813 | |||||||||
2.50%, 7/25/27, Series 0727 | 3,505,000 | PLN | 772,349 | |||||||||
2.75%, 10/25/29, Series 1029 | 585,000 | PLN | 127,760 | |||||||||
1.25%, 10/25/30, Series 1030 | 2,215,000 | PLN | 423,809 | |||||||||
|
| |||||||||||
Total Poland |
| 4,011,648 | ||||||||||
Romania – 2.0% |
| |||||||||||
Romania Government Bond |
| |||||||||||
3.50%, 12/19/22, Series 7Y | 1,110,000 | RON | 250,404 | |||||||||
5.85%, 4/26/23, Series 10Y | 1,470,000 | RON | 338,283 | |||||||||
4.00%, 10/25/23, Series 3Y | 565,000 | RON | 126,974 | |||||||||
3.25%, 4/29/24, Series 7Y | 950,000 | RON | 208,608 | |||||||||
4.75%, 2/24/25, Series 10Y | 1,410,000 | RON | 317,175 | |||||||||
4.85%, 4/22/26, Series 7Y | 1,000,000 | RON | 222,502 | |||||||||
5.80%, 7/26/27, Series 15Y | 1,080,000 | RON | 247,165 | |||||||||
4.15%, 1/26/28, Series 8Y | 940,000 | RON | 197,118 | |||||||||
5.00%, 2/12/29, Series 10Y | 500,000 | RON | 108,470 | |||||||||
3.65%, 9/24/31, Series 15Y | 500,000 | RON | 94,834 | |||||||||
4.75%, 10/11/34, Series 15Y | 560,000 | RON | 113,157 | |||||||||
|
| |||||||||||
Total Romania |
| 2,224,690 | ||||||||||
Russia – 3.7% |
| |||||||||||
Russian Federal Bond – OFZ |
| |||||||||||
7.00%, 1/25/23, Series 6211 | 18,349,000 | RUB | 148,149 | |||||||||
7.00%, 8/16/23, Series 6215 | 14,505,000 | RUB | 115,490 | |||||||||
6.50%, 2/28/24, Series 6223 | 23,910,000 | RUB | 179,563 | |||||||||
7.40%, 7/17/24, Series 6227 | 34,500,000 | RUB | 261,346 | |||||||||
7.10%, 10/16/24, Series 6222 | 67,486,000 | RUB | 498,529 | |||||||||
4.50%, 7/16/25, Series 6234 | 32,046,000 | RUB | 212,212 | |||||||||
7.15%, 11/12/25, Series 6229 | 33,668,000 | RUB | 244,125 | |||||||||
7.75%, 9/16/26, Series 6219 | 33,000,000 | RUB | 240,777 | |||||||||
7.95%, 10/7/26, Series 6226 | 24,063,000 | RUB | 177,125 | |||||||||
8.15%, 2/3/27, Series 6207 | 43,606,000 | RUB | 274,603 | |||||||||
7.05%, 1/19/28, Series 6212 | 29,885,000 | RUB | 149,164 | |||||||||
5.70%, 5/17/28, Series 6236 | 25,000,000 | RUB | 157,704 | |||||||||
6.90%, 5/23/29, Series 6224 | 30,000,000 | RUB | 195,923 | |||||||||
7.65%, 4/10/30, Series 6228 | 24,000,000 | RUB | 161,275 | |||||||||
6.90%, 7/23/31, Series 6239 | 21,500,000 | RUB | 133,232 | |||||||||
8.50%, 9/17/31, Series 6218 | 27,440,000 | RUB | 190,910 | |||||||||
7.70%, 3/23/33, Series 6221 | 31,865,000 | RUB | 205,030 | |||||||||
7.25%, 5/10/34, Series 6225 | 55,860,000 | RUB | 340,500 | |||||||||
6.10%, 7/18/35, Series 6233 | 10,500,000 | RUB | 57,795 | |||||||||
7.70%, 3/16/39, Series 6230 | 38,765,000 | RUB | 252,046 | |||||||||
|
| |||||||||||
Total Russia |
| 4,195,498 | ||||||||||
South Africa – 9.6% |
| |||||||||||
Republic of South Africa Government Bond |
| |||||||||||
10.50%, 12/21/26, Series R186 | 10,000,000 | ZAR | 719,417 | |||||||||
8.00%, 1/31/30, Series 2030 | 25,655,000 | ZAR | 1,529,601 | |||||||||
7.00%, 2/28/31, Series R213 | 10,267,000 | ZAR | 558,149 | |||||||||
8.25%, 3/31/32, Series 2032 | 19,895,000 | ZAR | 1,158,464 | |||||||||
8.88%, 2/28/35, Series 2035 | 18,810,000 | ZAR | 1,094,477 | |||||||||
6.25%, 3/31/36, Series R209 | 12,301,600 | ZAR | 559,617 | |||||||||
8.50%, 1/31/37, Series 2037 | 21,000,000 | ZAR | 1,157,264 | |||||||||
9.00%, 1/31/40, Series 2040 | 19,300,000 | ZAR | 1,089,434 | |||||||||
6.50%, 2/28/41, Series R214 | 4,005,000 | ZAR | 173,017 | |||||||||
8.75%, 1/31/44, Series 2044 | 22,665,000 | ZAR | 1,231,119 | |||||||||
8.75%, 2/28/48, Series 2048 | 28,120,000 | ZAR | 1,520,145 | |||||||||
|
| |||||||||||
Total South Africa |
| 10,790,704 | ||||||||||
Thailand – 3.8% |
| |||||||||||
Thailand Government Bond |
| |||||||||||
2.00%, 12/17/22 | 6,000,000 | THB | 185,810 | |||||||||
0.75%, 6/17/24 | 3,025,000 | THB | 92,433 | |||||||||
1.45%, 12/17/24 | 31,565,000 | THB | 979,508 | |||||||||
0.95%, 6/17/25 | 7,000,000 | THB | 213,976 | |||||||||
3.85%, 12/12/25 | 5,480,000 | THB | 184,654 | |||||||||
2.13%, 12/17/26 | 4,000,000 | THB | 126,916 | |||||||||
2.88%, 12/17/28 | 3,615,000 | THB | 118,479 |
See Notes to Financial Statements.
38 | WisdomTree Trust |
Table of Contents
Schedule of Investments (unaudited) (continued)
WisdomTree Emerging Markets Local Debt Fund (ELD)
February 28, 2022
Investments | Principal Amount† | Value | ||||||||||
4.88%, 6/22/29 | 5,067,000 | THB | $ | 186,359 | ||||||||
1.60%, 12/17/29 | 25,000,000 | THB | 744,794 | |||||||||
3.65%, 6/20/31 | 9,000,000 | THB | 311,353 | |||||||||
1.60%, 6/17/35 | 6,130,000 | THB | 168,656 | |||||||||
3.40%, 6/17/36 | 11,285,000 | THB | 376,239 | |||||||||
3.30%, 6/17/38 | 12,000,000 | THB | 392,187 | |||||||||
2.88%, 6/17/46 | 6,985,000 | THB | 209,703 | |||||||||
|
| |||||||||||
Total Thailand |
| 4,291,067 | ||||||||||
Turkey – 2.1% |
| |||||||||||
Turkey Government Bond |
| |||||||||||
11.00%, 3/2/22 | 5,620,000 | TRY | 406,203 | |||||||||
12.20%, 1/18/23 | 8,000,000 | TRY | 542,149 | |||||||||
16.20%, 6/14/23 | 4,830,000 | TRY | 330,895 | |||||||||
9.00%, 7/24/24 | 733,000 | TRY | 39,560 | |||||||||
8.00%, 3/12/25 | 4,657,000 | TRY | 226,472 | |||||||||
12.60%, 10/1/25 | 3,815,000 | TRY | 203,554 | |||||||||
10.60%, 2/11/26 | 2,290,000 | TRY | 111,859 | |||||||||
11.00%, 2/24/27 | 6,586,000 | TRY | 301,272 | |||||||||
10.50%, 8/11/27 | 3,410,000 | TRY | 149,960 | |||||||||
11.70%, 11/13/30 | 1,905,000 | TRY | 79,996 | |||||||||
|
| |||||||||||
Total Turkey |
| 2,391,920 | ||||||||||
TOTAL FOREIGN GOVERNMENT OBLIGATIONS (Cost: $118,812,423) |
| 98,184,923 | ||||||||||
SUPRANATIONAL BONDS – 9.6% |
| |||||||||||
European Bank for Reconstruction & Development | 7,910,000,000 | IDR | 560,780 | |||||||||
European Investment Bank |
| |||||||||||
5.50%, 1/23/23 | 7,000,000 | MXN | 334,164 | |||||||||
7.50%, 7/30/23 | 38,000,000 | MXN | 1,842,300 | |||||||||
7.75%, 1/30/25 | 10,000,000 | MXN | 484,243 | |||||||||
8.13%, 12/21/26 | 9,740,000 | ZAR | 659,897 | |||||||||
8.00%, 5/5/27(b) | 18,500,000 | ZAR | 1,247,920 | |||||||||
Inter-American Development Bank | 8,000,000 | MXN | 384,681 | |||||||||
International Bank for Reconstruction & Development | 6,675,000 | ZAR | 450,747 | |||||||||
International Finance Corp. |
| |||||||||||
5.75%, 3/2/23 | 22,000,000 | MXN | 1,052,194 | |||||||||
7.00%, 7/20/27 | 35,000,000 | MXN | 1,662,425 | |||||||||
7.50%, 1/18/28 | 31,000,000 | MXN | 1,505,584 | |||||||||
5.50%, 2/28/28 | 34,850,000 | RUB | 200,923 | |||||||||
7.75%, 1/18/30 | 10,000,000 | MXN | 490,934 | |||||||||
TOTAL SUPRANATIONAL BONDS (Cost: $11,337,012) |
| 10,876,792 | ||||||||||
REPURCHASE AGREEMENT—1.8% |
| |||||||||||
United States – 1.8% |
| |||||||||||
Citigroup, Inc., tri-party repurchase agreement dated 2/28/22 (tri-party custodian: The Bank of New York Mellon Corp.), 0.06% due 3/1/22; Proceeds at maturity – $2,030,003 (fully collateralized by Ginnie Mae II Single Family, 2.00% – 4.00% due 1/20/52, Ginnie Mae II Single Family Platinum, 3.50% due 1/20/52; Market value including accrued interest – $2,132,305) | ||||||||||||
(Cost: $2,030,000) | 2,030,000 | 2,030,000 | ||||||||||
TOTAL INVESTMENTS IN SECURITIES – 98.5% (Cost: $132,179,435) |
| 111,091,715 | ||||||||||
Other Assets less Liabilities—1.5% |
| 1,670,988 | ||||||||||
|
| |||||||||||
NET ASSETS – 100.0% |
| $ | 112,762,703 |
† | Principal amount is reported in U.S. dollars unless otherwise noted. |
(a) | Represents a zero coupon bond. Rate shown reflects the effective yield as of February 28, 2022. |
(b) | This security is exempt from registration under Regulation S of the Securities Act of 1933, which exempts from registration securities offered and sold outside the United States. This security may not be offered or sold in the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933. |
(c) | This security is exempt from registration under rule 144A of the Securities Act of 1933. This security may be sold in transactions that are exempt from registration, normally to qualified institutional buyers. |
FINANCIAL DERIVATIVE INSTRUMENTS | ||||||||||||||||||||||||||||
FOREIGN CURRENCY CONTRACTS (OTC – OVER THE COUNTER) | ||||||||||||||||||||||||||||
Counterparty | Settlement Date | Amount and Description of Currency to be Purchased | Amount and | Unrealized Appreciation | Unrealized Depreciation | |||||||||||||||||||||||
Bank of America NA | 3/15/2022 | 8,000,000 | MXN | 362,159 | USD | $ | 28,528 | $ | — | |||||||||||||||||||
Barclays Bank PLC | 3/15/2022 | 1,480,175 | USD | 113,078,000 | INR | — | (15,190 | ) | ||||||||||||||||||||
Citibank NA | 3/3/2022 | 777,805 | BRL | 150,679 | USD | 301 | — | |||||||||||||||||||||
Citibank NA | 3/3/2022 | 546,913 | USD | 2,823,164 | BRL | — | (1,093 | ) | ||||||||||||||||||||
Goldman Sachs | 3/15/2022 | 113,078,000 | INR | 1,499,708 | USD | — | (4,343 | ) | ||||||||||||||||||||
Goldman Sachs | 3/15/2022 | 439,223 | USD | 9,000,000 | MXN | — | (300 | ) | ||||||||||||||||||||
Morgan Stanley & Co. International | 3/15/2022 | 2,500,000 | CNY | 389,105 | USD | 6,496 | — | |||||||||||||||||||||
Morgan Stanley & Co. International | 3/15/2022 | 2,462,000 | MYR | 580,797 | USD | 4,841 | — | |||||||||||||||||||||
Standard Chartered Bank | 3/1/2022 | 531,814 | EGP | 33,787 | USD | 65 | — | |||||||||||||||||||||
State Street Bank and Trust | 3/1/2022 | 399,872 | USD | 1,500,000 | PEN | 5,052 | — | |||||||||||||||||||||
State Street Bank and Trust | 3/1/2022 | 36,915 | USD | 568,750 | ZAR | 109 | — | |||||||||||||||||||||
UBS AG | 3/15/2022 | 4,000,000 | MXN | 182,518 | USD | 12,826 | — | |||||||||||||||||||||
$ | 58,218 | $ | (20,926 | ) |
See Notes to Financial Statements.
WisdomTree Trust | 39 |
Table of Contents
Schedule of Investments (unaudited) (concluded)
WisdomTree Emerging Markets Local Debt Fund (ELD)
February 28, 2022
FAIR VALUATION SUMMARY |
The following is a summary of the fair valuations according to the inputs used as of February 28, 2022 in valuing the Fund’s investments (See Note 2 — Fair Value Measurement):
Quoted Prices in Active Markets (Level 1) | Other Significant Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | |||||||||||||
Assets: | ||||||||||||||||
Investments in Securities | ||||||||||||||||
Foreign Government Obligations | $ | — | �� | $ | 98,184,923 | $ | — | $ | 98,184,923 | |||||||
Supranational Bonds | — | 10,876,792 | — | 10,876,792 | ||||||||||||
Repurchase Agreement | — | 2,030,000 | — | 2,030,000 | ||||||||||||
Total Investments in Securities | $ | — | $ | 111,091,715 | $ | — | $ | 111,091,715 | ||||||||
Financial Derivative Instruments | ||||||||||||||||
Foreign Currency Contracts1 | $ | — | $ | 58,218 | $ | — | $ | 58,218 | ||||||||
Liabilities: | ||||||||||||||||
Financial Derivative Instruments | ||||||||||||||||
Foreign Currency Contracts1 | $ | — | $ | (20,926 | ) | $ | — | $ | (20,926 | ) | ||||||
Total – Net | $ | — | $ | 111,129,007 | $ | — | $ | 111,129,007 |
1 | Amount shown represents the unrealized appreciation (depreciation) on the financial instrument. |
See Notes to Financial Statements.
40 | WisdomTree Trust |
Table of Contents
Schedule of Investments (unaudited)
WisdomTree Floating Rate Treasury Fund (USFR)
February 28, 2022
Investments | Principal Amount | Value | ||||||
U.S. GOVERNMENT OBLIGATIONS – 100.0% |
| |||||||
U.S. Treasury Notes – 100.0% |
| |||||||
U.S. Treasury Floating Rate Notes | ||||||||
0.39%, 4/30/23, (3-month U.S. Treasury Bill Money Market Yield + 0.034%)* | $ | 670,560,000 | $ | 671,482,000 | ||||
0.39%, 7/31/23, (3-month U.S. Treasury Bill Money Market Yield + 0.029%)* | 670,539,000 | 671,592,886 | ||||||
0.40%, 10/31/23, (3-month U.S. Treasury Bill Money Market Yield + 0.035%)* | 636,955,000 | 638,128,997 | ||||||
0.35%, 1/31/24, (3-month U.S. Treasury Bill Money Market Yield - 0.015%)* | 400,038,000 | 400,383,061 | ||||||
TOTAL INVESTMENTS IN SECURITIES – 100.0% (Cost: $2,379,319,444) |
| 2,381,586,944 | ||||||
Other Assets less Liabilities – 0.0% |
| 434,275 | ||||||
|
| |||||||
NET ASSETS – 100.0% |
| $ | 2,382,021,219 |
* | Floating rate note. Coupon shown is in effect at February 28, 2022. Date represents the ultimate maturity date. |
FAIR VALUATION SUMMARY |
The following is a summary of the fair valuations according to the inputs used as of February 28, 2022 in valuing the Fund’s investments (See Note 2 — Fair Value Measurement):
Quoted Prices in Active Markets (Level 1) | Other Significant Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | |||||||||||||
Assets: | ||||||||||||||||
Investments in Securities | ||||||||||||||||
U.S. Government Obligations | $ | — | $ | 2,381,586,944 | $ | — | $ | 2,381,586,944 | ||||||||
Total Investments in Securities | $ | — | $ | 2,381,586,944 | $ | — | $ | 2,381,586,944 |
See Notes to Financial Statements.
WisdomTree Trust | 41 |
Table of Contents
Schedule of Investments (unaudited)
WisdomTree Interest Rate Hedged High Yield Bond Fund (HYZD)
February 28, 2022
Investments | Principal Amount | Value | ||||||
U.S. CORPORATE BONDS – 95.4% |
| |||||||
United States – 95.4% |
| |||||||
ACCO Brands Corp. | $ | 255,000 | $ | 239,073 | ||||
AdaptHealth LLC | 484,000 | 437,265 | ||||||
ADT Security Corp. | 734,000 | 689,725 | ||||||
Adtalem Global Education, Inc. | 460,000 | 411,677 | ||||||
AECOM | 251,000 | 257,571 | ||||||
Albertsons Cos., Inc. / Safeway, Inc. / New Albertsons LP / Albertsons LLC | 20,000 | 20,084 | ||||||
3.25%, 3/15/26(a) | 60,000 | 57,840 | ||||||
7.50%, 3/15/26(a) | 30,000 | 31,826 | ||||||
4.63%, 1/15/27(a) | 80,000 | 80,494 | ||||||
5.88%, 2/15/28(a) | 180,000 | 187,285 | ||||||
3.50%, 3/15/29(a) | 440,000 | 409,803 | ||||||
4.88%, 2/15/30(a) | 220,000 | 220,807 | ||||||
Allison Transmission, Inc. | 482,000 | 506,972 | ||||||
AMC Networks, Inc. | 245,000 | 245,213 | ||||||
4.75%, 8/1/25(b) | 468,000 | 467,836 | ||||||
American Axle & Manufacturing, Inc. | 320,000 | 303,606 | ||||||
American Finance Trust, Inc. / American Finance Operating Partner LP | 230,000 | 214,749 | ||||||
AmeriGas Partners LP / AmeriGas Finance Corp. | 221,000 | 226,178 | ||||||
5.50%, 5/20/25 | 573,000 | 583,320 | ||||||
5.75%, 5/20/27 | 17,000 | 17,177 | ||||||
Amkor Technology, Inc. | 195,000 | 204,298 | ||||||
AMN Healthcare, Inc. | 40,000 | 39,923 | ||||||
ANGI Group LLC | 230,000 | 206,202 | ||||||
Antero Midstream Partners LP / Antero Midstream Finance Corp. | 150,000 | 152,945 | ||||||
5.75%, 1/15/28(a) | 767,000 | 779,149 | ||||||
5.38%, 6/15/29(a) | 117,000 | 117,823 | ||||||
Antero Resources Corp. | 100,000 | 101,250 | ||||||
7.63%, 2/1/29(a) | 413,000 | 448,473 | ||||||
Apache Corp. | 400,000 | 400,848 | ||||||
4.75%, 4/15/43(b) | 16,000 | 15,281 | ||||||
Apollo Commercial Real Estate Finance, Inc. | 351,000 | 318,792 | ||||||
APX Group, Inc. | 245,000 | 251,779 | ||||||
5.75%, 7/15/29(a)(b) | 506,000 | 455,157 | ||||||
Aramark Services, Inc. | 489,000 | 506,648 | ||||||
5.00%, 2/1/28(a)(b) | 497,000 | 498,566 | ||||||
Archrock Partners LP / Archrock Partners Finance Corp. | 173,000 | 177,818 | ||||||
6.25%, 4/1/28(a) | 675,000 | 677,410 | ||||||
Asbury Automotive Group, Inc. | 90,000 | 87,860 | ||||||
5.00%, 2/15/32(a) | 501,000 | 489,131 | ||||||
ASGN, Inc. | 225,000 | 222,822 | ||||||
Audacy Capital Corp. | 376,000 | 356,824 | ||||||
Avantor Funding, Inc. | 536,000 | 544,378 | ||||||
Avient Corp. | 150,000 | 153,888 | ||||||
Axalta Coating Systems LLC | 248,000 | 227,818 | ||||||
B&G Foods, Inc. | 351,000 | 353,706 | ||||||
5.25%, 9/15/27 | 224,000 | 223,660 | ||||||
Ball Corp. | 175,000 | 179,981 | ||||||
5.25%, 7/1/25 | 70,000 | 74,565 | ||||||
2.88%, 8/15/30 | 588,000 | 538,702 | ||||||
Bath & Body Works, Inc. | 420,000 | 437,808 | ||||||
7.50%, 6/15/29(b) | 65,000 | 71,280 | ||||||
6.63%, 10/1/30(a) | 420,000 | 453,919 | ||||||
6.75%, 7/1/36 | 835,000 | 911,127 | ||||||
Bausch Health Americas, Inc. | 947,000 | 980,969 | ||||||
Berry Global, Inc. | 20,000 | 19,058 | ||||||
4.88%, 7/15/26(a) | 327,000 | 331,159 | ||||||
Big River Steel LLC / BRS Finance Corp. | 250,000 | 262,783 | ||||||
Black Knight InfoServ LLC | 261,000 | 247,637 | ||||||
Block, Inc. | 205,000 | 192,749 | ||||||
Booz Allen Hamilton, Inc. | 220,000 | 214,975 | ||||||
Boyd Gaming Corp. | 1,032,000 | 1,037,397 | ||||||
Brink’s Co. | 44,000 | 42,955 | ||||||
Brookfield Property REIT, Inc. / BPR Cumulus LLC / BPR Nimbus LLC / GGSI Sellco LLC | 573,000 | 567,534 | ||||||
Builders FirstSource, Inc. | 426,000 | 437,106 | ||||||
Cable One, Inc. | 213,000 | 197,998 | ||||||
Caesars Entertainment, Inc. | 1,810,000 | 1,877,712 | ||||||
8.13%, 7/1/27(a) | 120,000 | 129,466 | ||||||
4.63%, 10/15/29(a) | 520,000 | 493,756 |
See Notes to Financial Statements.
42 | WisdomTree Trust |
Table of Contents
Schedule of Investments (unaudited) (continued)
WisdomTree Interest Rate Hedged High Yield Bond Fund (HYZD)
February 28, 2022
Investments | Principal Amount | Value | ||||||
Caesars Resort Collection LLC / CRC Finco, Inc. | $ | 120,000 | $ | 123,188 | ||||
California Resources Corp. | 310,000 | 322,549 | ||||||
Calumet Specialty Products Partners LP / Calumet Finance Corp. | 539,000 | 570,607 | ||||||
Catalent Pharma Solutions, Inc. | 453,000 | 423,147 | ||||||
CCO Holdings LLC / CCO Holdings Capital Corp. | 557,000 | 564,603 | ||||||
4.75%, 3/1/30(a) | 920,000 | 904,829 | ||||||
4.50%, 8/15/30(a) | 1,247,000 | 1,203,068 | ||||||
4.25%, 1/15/34(a) | 132,000 | 121,447 | ||||||
CDK Global, Inc. | 10,000 | 10,487 | ||||||
5.25%, 5/15/29(a) | 48,000 | 49,492 | ||||||
CDW LLC / CDW Finance Corp. | 77,000 | 80,710 | ||||||
4.13%, 5/1/25 | 162,000 | 164,458 | ||||||
4.25%, 4/1/28 | 61,000 | 60,544 | ||||||
Cedar Fair LP / Canada’s Wonderland Co. / Magnum Management Corp. / Millennium Operations LLC | 513,000 | 529,185 | ||||||
Centene Corp. | 867,000 | 894,068 | ||||||
3.38%, 2/15/30 | 122,000 | 117,379 | ||||||
3.00%, 10/15/30 | 531,000 | 507,487 | ||||||
Central Garden & Pet Co. | 150,000 | 142,608 | ||||||
CF Industries, Inc. | 240,000 | 244,445 | ||||||
5.38%, 3/15/44 | 94,000 | 106,337 | ||||||
Change Healthcare Holdings LLC / Change Healthcare Finance, Inc. | 737,000 | 734,693 | ||||||
Charles River Laboratories International, Inc. | 360,000 | 345,280 | ||||||
Charter Communications Operating LLC / Charter Communications Operating Capital 3.70%, 4/1/51 | 980,000 | 825,758 | ||||||
3.85%, 4/1/61 | 902,000 | 746,892 | ||||||
Chemours Co. | 440,000 | 442,240 | ||||||
5.75%, 11/15/28(a) | 585,000 | 575,476 | ||||||
Chesapeake Energy Corp. | 70,000 | 74,001 | ||||||
CHS / Community Health Systems, Inc. | 492,000 | 513,436 | ||||||
5.63%, 3/15/27(a) | 250,000 | 252,170 | ||||||
8.00%, 12/15/27(a) | 360,000 | 380,275 | ||||||
6.88%, 4/15/29(a) | 891,000 | 863,290 | ||||||
6.13%, 4/1/30(a)(b) | 250,000 | 232,878 | ||||||
4.75%, 2/15/31(a) | 1,475,000 | 1,395,542 | ||||||
Churchill Downs, Inc. | 272,000 | 275,949 | ||||||
Cinemark USA, Inc. | 534,000 | 510,055 | ||||||
Clarivate Science Holdings Corp. | 60,000 | 56,736 | ||||||
4.88%, 7/1/29(a) | 703,000 | 662,500 | ||||||
Clean Harbors, Inc. | 30,000 | 30,203 | ||||||
Clear Channel Outdoor Holdings, Inc. | 1,023,000 | 1,068,943 | ||||||
7.50%, 6/1/29(a) | 700,000 | 727,251 | ||||||
Clearway Energy Operating LLC | 42,000 | 42,297 | ||||||
3.75%, 2/15/31(a) | 147,000 | 136,973 | ||||||
Cleveland-Cliffs, Inc. | 30,000 | 33,455 | ||||||
6.75%, 3/15/26(a) | 130,000 | 137,064 | ||||||
5.88%, 6/1/27(b) | 160,000 | 164,946 | ||||||
4.63%, 3/1/29(a)(b) | 500,000 | 484,140 | ||||||
4.88%, 3/1/31(a)(b) | 390,000 | 380,855 | ||||||
CNX Resources Corp. | 481,000 | 508,884 | ||||||
Cogent Communications Group, Inc. | 70,000 | 67,667 | ||||||
CommScope Technologies LLC | 934,000 | 916,039 | ||||||
5.00%, 3/15/27(a)(b) | 556,000 | 496,119 | ||||||
CommScope, Inc. | 854,000 | 875,324 | ||||||
8.25%, 3/1/27(a)(b) | 1,032,000 | 1,028,491 | ||||||
4.75%, 9/1/29(a) | 330,000 | 311,279 | ||||||
Compass Minerals International, Inc. | 358,000 | 372,231 | ||||||
Comstock Resources, Inc. | 353,000 | 359,756 | ||||||
5.88%, 1/15/30(a) | 670,000 | 649,136 | ||||||
Conduent Business Services LLC / Conduent State & Local Solutions, Inc. | 300,000 | 286,113 | ||||||
Consolidated Communications, Inc. | 489,000 | 488,809 | ||||||
Continental Resources, Inc. | 420,000 | 429,442 | ||||||
4.90%, 6/1/44 | 6,000 | 6,056 | ||||||
CoreCivic, Inc. | 422,000 | 430,187 | ||||||
Cornerstone Building Brands, Inc. | 321,000 | 307,569 | ||||||
Coty, Inc. | 371,000 | 378,498 | ||||||
CQP Holdco LP / BIP-V Chinook Holdco LLC | 560,000 | 557,917 | ||||||
Crestwood Midstream Partners LP / Crestwood Midstream Finance Corp. | 474,000 | 473,208 | ||||||
6.00%, 2/1/29(a) | 200,000 | 201,702 | ||||||
Crowdstrike Holdings, Inc. | 70,000 | 65,671 |
See Notes to Financial Statements.
WisdomTree Trust | 43 |
Table of Contents
Schedule of Investments (unaudited) (continued)
WisdomTree Interest Rate Hedged High Yield Bond Fund (HYZD)
February 28, 2022
Investments | Principal Amount | Value | ||||||
Crown Americas LLC / | $ | 50,000 | $ | 50,887 | ||||
CSC Holdings LLC | 1,760,000 | 1,784,006 | ||||||
5.50%, 4/15/27(a) | 260,000 | 260,803 | ||||||
7.50%, 4/1/28(a) | 570,000 | 569,869 | ||||||
6.50%, 2/1/29(a) | 400,000 | 405,440 | ||||||
5.75%, 1/15/30(a) | 1,010,000 | 894,880 | ||||||
4.63%, 12/1/30(a) | 350,000 | 292,145 | ||||||
3.38%, 2/15/31(a) | 210,000 | 178,859 | ||||||
Curo Group Holdings Corp. | 430,000 | 382,158 | ||||||
CyrusOne LP / CyrusOne Finance Corp. | 10,000 | 10,635 | ||||||
Darling Ingredients, Inc. | 50,000 | 51,014 | ||||||
DaVita, Inc. | 452,000 | 433,721 | ||||||
3.75%, 2/15/31(a) | 1,553,000 | 1,423,946 | ||||||
Del Monte Foods, Inc. | 187,000 | 206,764 | ||||||
Deluxe Corp. | 290,000 | 299,802 | ||||||
Diamond Sports Group LLC / Diamond Sports Finance Co. | 1,876,000 | 774,563 | ||||||
6.63%, 8/15/27(a) | 916,000 | 217,541 | ||||||
DISH DBS Corp. | 1,076,000 | 1,087,599 | ||||||
5.00%, 3/15/23 | 513,000 | 519,069 | ||||||
5.88%, 11/15/24 | 1,279,000 | 1,284,014 | ||||||
7.75%, 7/1/26 | 1,631,000 | 1,650,311 | ||||||
Diversified Healthcare Trust | 308,000 | 279,649 | ||||||
4.38%, 3/1/31 | 811,000 | 702,772 | ||||||
Dycom Industries, Inc. | 212,000 | 204,256 | ||||||
Edgewell Personal Care Co. | 407,000 | 411,062 | ||||||
4.13%, 4/1/29(a) | 70,000 | 65,936 | ||||||
Elanco Animal Health, Inc. | 10,000 | 10,339 | ||||||
6.40%, 8/28/28 | 260,000 | 282,139 | ||||||
Element Solutions, Inc. | 299,000 | 284,451 | ||||||
Enact Holdings, Inc. | 279,000 | 289,728 | ||||||
Encompass Health Corp. | 250,000 | 243,665 | ||||||
4.75%, 2/1/30 | 404,000 | 386,365 | ||||||
Energizer Holdings, Inc. | 557,000 | 502,570 | ||||||
EnLink Midstream LLC | 110,000 | 112,061 | ||||||
EnLink Midstream Partners LP | 321,000 | 327,455 | ||||||
4.15%, 6/1/25 | 208,000 | 209,398 | ||||||
5.45%, 6/1/47 | 28,000 | 23,874 | ||||||
EQM Midstream Partners LP | 250,000 | 255,305 | ||||||
6.50%, 7/1/27(a) | 500,000 | 523,690 | ||||||
5.50%, 7/15/28 | 180,000 | 176,787 | ||||||
4.50%, 1/15/29(a) | 250,000 | 233,753 | ||||||
4.75%, 1/15/31(a) | 500,000 | 471,490 | ||||||
6.50%, 7/15/48 | 500,000 | 488,120 | ||||||
First-Citizens Bank & Trust Co. | ||||||||
3.93%, 6/19/24, (3.929% fixed rate until 6/19/23; Secured Overnight Financing Rate + 3.827% thereafter)(c) | 10,000 | 10,201 | ||||||
FirstCash, Inc. | 150,000 | 141,719 | ||||||
Fluor Corp. | 214,000 | 209,769 | ||||||
Ford Holdings LLC | 250,000 | 326,375 | ||||||
Ford Motor Co. | 658,000 | 899,315 | ||||||
3.25%, 2/12/32 | 400,000 | 378,096 | ||||||
4.75%, 1/15/43 | 260,000 | 251,846 | ||||||
5.29%, 12/8/46 | 870,000 | 893,716 | ||||||
Ford Motor Credit Co. LLC | 220,000 | 221,379 | ||||||
4.14%, 2/15/23 | 660,000 | 666,824 | ||||||
3.66%, 9/8/24 | 20,000 | 20,063 | ||||||
4.39%, 1/8/26 | 10,000 | 10,214 | ||||||
4.54%, 8/1/26 | 180,000 | 184,901 | ||||||
4.00%, 11/13/30 | 250,000 | 248,215 | ||||||
Fortress Transportation & Infrastructure Investors LLC | 33,000 | 33,647 | ||||||
Freeport-McMoRan, Inc. | 825,000 | 839,966 | ||||||
4.55%, 11/14/24 | 439,000 | 459,471 | ||||||
5.00%, 9/1/27 | 289,000 | 298,419 | ||||||
5.45%, 3/15/43 | 8,000 | 9,204 | ||||||
Gap, Inc. | 170,000 | 154,316 | ||||||
3.88%, 10/1/31(a) | 220,000 | 197,591 | ||||||
Gartner, Inc. | 201,000 | 195,641 | ||||||
Gates Global LLC / Gates Corp. | 407,000 | 416,691 | ||||||
Genesis Energy LP / Genesis Energy Finance Corp. | 250,000 | 253,298 | ||||||
7.75%, 2/1/28 | 998,000 | 985,685 | ||||||
Glatfelter Corp. | 180,000 | 171,709 | ||||||
Global Atlantic Fin Co. | ||||||||
4.70%, 10/15/51, (4.70% fixed rate until 7/15/26; 5-year Constant Maturity Treasury Rate + 3.796% thereafter)(a)(c) | 321,000 | 307,049 | ||||||
Global Net Lease, Inc. / Global Net Lease Operating Partnership LP | 210,000 | 197,045 |
See Notes to Financial Statements.
44 | WisdomTree Trust |
Table of Contents
Schedule of Investments (unaudited) (continued)
WisdomTree Interest Rate Hedged High Yield Bond Fund (HYZD)
February 28, 2022
Investments | Principal Amount | Value | ||||||
GLP Capital LP / GLP Financing II, Inc. | $ | 380,000 | $ | 385,312 | ||||
Go Daddy Operating Co. LLC / GD Finance Co., Inc. | 337,000 | 319,870 | ||||||
Goodyear Tire & Rubber Co. | 646,000 | 649,986 | ||||||
4.88%, 3/15/27 | 69,000 | 69,132 | ||||||
5.25%, 7/15/31(a)(b) | 989,000 | 964,443 | ||||||
GrafTech Finance, Inc. | 203,000 | 197,923 | ||||||
Graham Packaging Co., Inc. | 410,000 | 395,142 | ||||||
Gray Television, Inc. | 498,000 | 509,504 | ||||||
7.00%, 5/15/27(a) | 1,425,000 | 1,499,228 | ||||||
Greif, Inc. | 288,000 | 297,360 | ||||||
Griffon Corp. | 423,000 | 421,460 | ||||||
Group 1 Automotive, Inc. | 351,000 | 338,694 | ||||||
Hanesbrands, Inc. | 189,000 | 191,705 | ||||||
4.88%, 5/15/26(a) | 211,000 | 215,030 | ||||||
HAT Holdings I LLC / HAT Holdings II LLC | 250,000 | 239,175 | ||||||
HCA, Inc. | 9,000 | 9,368 | ||||||
5.38%, 2/1/25 | 341,000 | 361,750 | ||||||
3.50%, 9/1/30 | 567,000 | 561,954 | ||||||
HealthEquity, Inc. | 315,000 | 300,227 | ||||||
Hilton Domestic Operating Co., Inc. | 827,000 | 849,767 | ||||||
3.63%, 2/15/32(a) | 514,000 | 489,056 | ||||||
Hilton Grand Vacations Borrower Escrow LLC / Hilton Grand Vacations Borrower Escrow, Inc. | 459,000 | 453,464 | ||||||
4.88%, 7/1/31(a) | 260,000 | 248,680 | ||||||
HLF Financing Sarl LLC / Herbalife International, Inc. | 312,000 | 286,613 | ||||||
Holly Energy Partners LP / Holly Energy Finance Corp. | 292,000 | 280,530 | ||||||
Hologic, Inc. | 186,000 | 177,178 | ||||||
Horizon Therapeutics USA, Inc. | 110,000 | 112,594 | ||||||
Hughes Satellite Systems Corp. | 257,000 | 264,319 | ||||||
6.63%, 8/1/26 | 256,000 | 266,900 | ||||||
Huntsman International LLC | 50,000 | 53,087 | ||||||
IAA, Inc. | 30,000 | 30,572 | ||||||
iHeartCommunications, Inc. | 620,989 | 647,586 | ||||||
5.25%, 8/15/27(a) | 450,000 | 448,776 | ||||||
4.75%, 1/15/28(a) | 575,000 | 556,796 | ||||||
Ingevity Corp. | 309,000 | 291,322 | ||||||
IQVIA, Inc. | 250,000 | 255,968 | ||||||
Iron Mountain, Inc. | 425,000 | 426,479 | ||||||
5.25%, 3/15/28(a) | 293,000 | 293,592 | ||||||
5.25%, 7/15/30(a) | 561,000 | 557,561 | ||||||
4.50%, 2/15/31(a) | 1,216,000 | 1,138,492 | ||||||
JBS USA LUX SA / JBS USA Food Co. / JBS USA Finance, Inc. | 15,000 | 15,994 | ||||||
Kaiser Aluminum Corp. | 288,000 | 272,632 | ||||||
4.50%, 6/1/31(a) | 293,000 | 265,200 | ||||||
KAR Auction Services, Inc. | 470,000 | 476,627 | ||||||
Kennedy-Wilson, Inc. | 607,000 | 590,320 | ||||||
Koppers, Inc. | 285,000 | 285,915 | ||||||
Kraft Heinz Foods Co. | 206,000 | 211,850 | ||||||
5.00%, 7/15/35 | 152,000 | 171,283 | ||||||
4.63%, 10/1/39 | 384,000 | 411,510 | ||||||
5.20%, 7/15/45 | 582,000 | 658,585 | ||||||
4.38%, 6/1/46 | 5,000 | 5,130 | ||||||
4.88%, 10/1/49 | 49,000 | 54,335 | ||||||
5.50%, 6/1/50 | 87,000 | 104,486 | ||||||
Ladder Capital Finance Holdings LLLP / Ladder Capital Finance Corp. | 693,000 | 680,990 | ||||||
Lamar Media Corp. | 413,000 | 387,976 | ||||||
Lamb Weston Holdings, Inc. | 60,000 | 61,702 | ||||||
4.13%, 1/31/30(a) | 186,000 | 180,003 | ||||||
4.38%, 1/31/32(a) | 410,000 | 399,623 | ||||||
Level 3 Financing, Inc. | 1,076,000 | 944,556 | ||||||
3.75%, 7/15/29(a) | 402,000 | 359,074 | ||||||
Lions Gate Capital Holdings LLC | 620,000 | 590,060 | ||||||
Lithia Motors, Inc. | 30,000 | 29,579 | ||||||
4.38%, 1/15/31(a) | 30,000 | 30,405 | ||||||
Live Nation Entertainment, Inc. | 30,000 | 30,335 | ||||||
6.50%, 5/15/27(a) | 40,000 | 42,921 | ||||||
4.75%, 10/15/27(a) | 590,000 | 580,967 | ||||||
3.75%, 1/15/28(a) | 625,000 | 601,563 | ||||||
LPL Holdings, Inc. | 190,000 | 184,712 |
See Notes to Financial Statements.
WisdomTree Trust | 45 |
Table of Contents
Schedule of Investments (unaudited) (continued)
WisdomTree Interest Rate Hedged High Yield Bond Fund (HYZD)
February 28, 2022
Investments | Principal Amount | Value | ||||||
Lumen Technologies, Inc. | $ | 1,157,000 | $ | 1,158,226 | ||||
7.50%, 4/1/24, Series Y | 54,000 | 56,831 | ||||||
5.63%, 4/1/25 | 521,000 | 518,749 | ||||||
5.13%, 12/15/26(a) | 619,000 | 576,599 | ||||||
4.00%, 2/15/27(a) | 557,000 | 530,336 | ||||||
Macy’s Retail Holdings LLC | 233,000 | 238,492 | ||||||
Marriott Ownership Resorts, Inc. | 43,000 | 44,550 | ||||||
Masonite International Corp. | 70,000 | 71,710 | ||||||
MasTec, Inc. | 220,000 | 222,838 | ||||||
Match Group Holdings II LLC | 50,000 | 50,255 | ||||||
4.13%, 8/1/30(a) | 60,000 | 58,113 | ||||||
3.63%, 10/1/31(a)(b) | 90,000 | 84,233 | ||||||
Mattel, Inc. | 119,000 | 118,221 | ||||||
3.75%, 4/1/29(a) | 3,000 | 3,008 | ||||||
Maxar Space Robotics LLC | 423,000 | 452,018 | ||||||
MGIC Investment Corp. | 150,000 | 152,009 | ||||||
MGM Growth Properties Operating Partnership LP / MGP Finance Co-Issuer, Inc. | 478,000 | 497,957 | ||||||
5.75%, 2/1/27 | 588,000 | 637,745 | ||||||
MGM Resorts International | 1,575,000 | 1,579,772 | ||||||
6.00%, 3/15/23 | 24,000 | 24,741 | ||||||
6.75%, 5/1/25 | 9,000 | 9,347 | ||||||
Michaels Cos., Inc. | 1,108,000 | 965,345 | ||||||
MicroStrategy, Inc. | 335,000 | 320,652 | ||||||
Midwest Gaming Borrower LLC / Midwest Gaming Finance Corp. | 460,000 | 449,011 | ||||||
ModivCare Escrow Issuer, Inc. | 300,000 | 282,822 | ||||||
ModivCare, Inc. | 50,000 | 50,206 | ||||||
Molina Healthcare, Inc. | 493,000 | 486,803 | ||||||
Moog, Inc. | 127,000 | 124,965 | ||||||
MPH Acquisition Holdings LLC | 1,277,000 | 1,154,255 | ||||||
MPT Operating Partnership LP / MPT Finance Corp. | 755,000 | 773,324 | ||||||
MSCI, Inc. | 379,000 | 381,630 | ||||||
Murphy Oil USA, Inc. | 60,000 | 60,214 | ||||||
3.75%, 2/15/31(a) | 90,000 | 84,118 | ||||||
Nationstar Mortgage Holdings, Inc. | 984,000 | 1,001,161 | ||||||
5.13%, 12/15/30(a) | 782,000 | 737,622 | ||||||
Navient Corp. | 319,000 | 325,839 | ||||||
7.25%, 9/25/23 | 609,000 | 639,688 | ||||||
6.13%, 3/25/24 | 408,000 | 421,558 | ||||||
5.88%, 10/25/24 | 57,000 | 59,017 | ||||||
4.88%, 3/15/28 | 497,000 | 467,429 | ||||||
NCR Corp. | 446,000 | 441,255 | ||||||
6.13%, 9/1/29(a) | 756,000 | 785,718 | ||||||
Newell Brands, Inc. | 247,000 | 251,550 | ||||||
4.70%, 4/1/26 | 38,000 | 39,389 | ||||||
6.00%, 4/1/46 | 269,000 | 302,660 | ||||||
Newmark Group, Inc. | 23,000 | 24,010 | ||||||
News Corp. | 261,000 | 250,717 | ||||||
Nexstar Media, Inc. | 553,000 | 565,979 | ||||||
4.75%, 11/1/28(a) | 294,000 | 286,083 | ||||||
NextEra Energy Operating Partners LP | 314,000 | 320,751 | ||||||
4.25%, 9/15/24(a) | 106,000 | 107,748 | ||||||
Nielsen Finance LLC / Nielsen Finance Co. 5.63%, 10/1/28(a) | 996,000 | 964,546 | ||||||
5.88%, 10/1/30(a) | 795,000 | 771,389 | ||||||
Nordstrom, Inc. | 702,000 | 617,542 | ||||||
NortonLifeLock, Inc. | 20,000 | 20,042 | ||||||
NRG Energy, Inc. | 1,811,000 | 1,848,777 | ||||||
3.63%, 2/15/31(a) | 289,000 | 266,261 | ||||||
NuStar Logistics LP | 360,000 | 365,879 | ||||||
5.63%, 4/28/27 | 344,000 | 345,008 | ||||||
6.38%, 10/1/30 | 348,000 | 353,759 | ||||||
Occidental Petroleum Corp. | 376,000 | 377,861 | ||||||
3.50%, 6/15/25 | 252,000 | 257,693 | ||||||
3.40%, 4/15/26 | 123,000 | 123,299 | ||||||
6.63%, 9/1/30 | 400,000 | 466,048 | ||||||
7.50%, 5/1/31 | 440,000 | 534,050 | ||||||
6.45%, 9/15/36 | 323,000 | 380,152 | ||||||
6.60%, 3/15/46 | 350,000 | 418,023 | ||||||
4.10%, 2/15/47 | 379,000 | 352,235 | ||||||
4.40%, 8/15/49 | 1,434,000 | 1,365,039 | ||||||
Olin Corp. | 172,000 | 175,345 | ||||||
5.00%, 2/1/30 | 264,000 | 267,780 | ||||||
ON Semiconductor Corp. | 70,000 | 69,511 | ||||||
OneMain Finance Corp. | 455,000 | 469,929 |
See Notes to Financial Statements.
46 | WisdomTree Trust |
Table of Contents
Schedule of Investments (unaudited) (continued)
WisdomTree Interest Rate Hedged High Yield Bond Fund (HYZD)
February 28, 2022
Investments | Principal Amount | Value | ||||||
8.88%, 6/1/25 | $ | 436,000 | $ | 461,755 | ||||
7.13%, 3/15/26 | 1,176,000 | 1,276,877 | ||||||
5.38%, 11/15/29 | 490,000 | 493,709 | ||||||
4.00%, 9/15/30(b) | 810,000 | 739,708 | ||||||
Option Care Health, Inc. | 190,000 | 183,044 | ||||||
Outfront Media Capital LLC / Outfront Media Capital Corp. | 300,000 | 286,179 | ||||||
4.63%, 3/15/30(a) | 343,000 | 326,810 | ||||||
Owens & Minor, Inc. | 201,000 | 189,863 | ||||||
Owens-Brockway Glass Container, Inc. | 747,000 | 766,235 | ||||||
Pactiv Evergreen Group Issuer LLC / Pactiv Evergreen Group Issuer, Inc. | 340,000 | 314,371 | ||||||
Pactiv Evergreen Group Issuer, Inc. / Pactiv Evergreen Group Issuer LLC / Reynolds Group | 514,000 | 476,884 | ||||||
Par Pharmaceutical, Inc. | 1,249,000 | 1,252,497 | ||||||
Park Intermediate Holdings LLC / PK Domestic Property LLC / PK Finance Co-Issuer, Inc. | 666,000 | 678,801 | ||||||
4.88%, 5/15/29(a) | 60,000 | 57,900 | ||||||
Party City Holdings, Inc. | 541,000 | 542,390 | ||||||
Patterson-UTI Energy, Inc. | 199,000 | 193,285 | ||||||
PBF Holding Co. LLC / PBF Finance Corp. 9.25%, 5/15/25(a)(b) | 607,000 | 618,302 | ||||||
7.25%, 6/15/25 | 452,000 | 380,313 | ||||||
6.00%, 2/15/28 | 570,000 | 417,810 | ||||||
PBF Logistics LP / PBF Logistics Finance Corp. 6.88%, 5/15/23(b) | 420,000 | 418,433 | ||||||
PDC Energy, Inc. | 330,000 | 336,085 | ||||||
Penske Automotive Group, Inc. | 20,000 | 19,813 | ||||||
3.75%, 6/15/29(b) | 70,000 | 65,461 | ||||||
Performance Food Group, Inc. | 60,000 | 61,353 | ||||||
4.25%, 8/1/29(a) | 500,000 | 479,510 | ||||||
PGT Innovations, Inc. | 290,000 | 272,945 | ||||||
Pilgrim’s Pride Corp. | 240,000 | 246,991 | ||||||
4.25%, 4/15/31(a) | 76,000 | 73,516 | ||||||
Plains All American Pipeline LP / PAA Finance Corp. | 10,000 | 9,721 | ||||||
Plantronics, Inc. | 335,000 | 298,267 | ||||||
Post Holdings, Inc. | 752,000 | 760,881 | ||||||
5.63%, 1/15/28(a) | 590,000 | 595,251 | ||||||
4.63%, 4/15/30(a) | 1,382,000 | 1,304,069 | ||||||
4.50%, 9/15/31(a) | 740,000 | 685,810 | ||||||
Premier Entertainment Sub LLC / Premier Entertainment Finance Corp. | 483,000 | 439,549 | ||||||
5.88%, 9/1/31(a) | 394,000 | 358,071 | ||||||
Prestige Brands, Inc. | 284,000 | 262,112 | ||||||
Prime Security Services Borrower LLC / Prime Finance, Inc. | 654,000 | 669,094 | ||||||
5.75%, 4/15/26(a) | 751,000 | 772,779 | ||||||
6.25%, 1/15/28(a) | 724,000 | 699,565 | ||||||
PROG Holdings, Inc. | 320,000 | 307,539 | ||||||
PTC, Inc. | 168,000 | 164,492 | ||||||
Qorvo, Inc. | 40,000 | 40,870 | ||||||
QVC, Inc. | 40,000 | 40,733 | ||||||
4.85%, 4/1/24 | 256,000 | 261,043 | ||||||
4.75%, 2/15/27 | 35,000 | 32,985 | ||||||
Rackspace Technology Global, Inc. | 567,000 | 515,261 | ||||||
Radian Group, Inc. | 199,000 | 213,676 | ||||||
Rattler Midstream LP | 30,000 | 30,540 | ||||||
Realogy Group LLC / Realogy Co-Issuer Corp. | 265,000 | 262,215 | ||||||
Renewable Energy Group, Inc. | 70,000 | 75,692 | ||||||
RHP Hotel Properties LP / RHP Finance Corp. | 431,000 | 408,118 | ||||||
Rite Aid Corp. | 454,000 | 436,026 | ||||||
8.00%, 11/15/26(a) | 540,000 | 514,906 | ||||||
RLJ Lodging Trust LP | 60,000 | 58,528 | ||||||
4.00%, 9/15/29(a) | 240,000 | 225,912 | ||||||
Roller Bearing Co. of America, Inc. | 260,000 | 251,430 | ||||||
Sabra Health Care LP | 30,000 | 31,880 | ||||||
3.20%, 12/1/31 | 190,000 | 176,567 | ||||||
Sabre GLBL, Inc. | 584,000 | 659,365 | ||||||
Sally Holdings LLC / Sally Capital, Inc. | 166,000 | 168,717 | ||||||
SBA Communications Corp. | 250,000 | 232,358 | ||||||
Scientific Games International, Inc. | 866,000 | 904,944 | ||||||
7.00%, 5/15/28(a) | 165,000 | 171,394 | ||||||
7.25%, 11/15/29(a) | 185,000 | 196,751 |
See Notes to Financial Statements.
WisdomTree Trust | 47 |
Table of Contents
Schedule of Investments (unaudited) (continued)
WisdomTree Interest Rate Hedged High Yield Bond Fund (HYZD)
February 28, 2022
Investments | Principal Amount | Value | ||||||
Scotts Miracle-Gro Co. | $ | 207,000 | $ | 190,332 | ||||
Scripps Escrow II, Inc. | 389,000 | 370,215 | ||||||
Scripps Escrow, Inc. | 413,000 | 413,392 | ||||||
SeaWorld Parks & Entertainment, Inc. | 320,000 | 311,696 | ||||||
Select Medical Corp. | 487,000 | 490,039 | ||||||
Sensata Technologies, Inc. | 250,000 | 234,240 | ||||||
Service Corp. International | 442,000 | 449,465 | ||||||
3.38%, 8/15/30 | 316,000 | 292,385 | ||||||
Service Properties Trust | 813,000 | 858,861 | ||||||
Silgan Holdings, Inc. | 184,000 | 180,646 | ||||||
Sinclair Television Group, Inc. | 415,000 | 367,777 | ||||||
4.13%, 12/1/30(a) | 346,000 | 311,663 | ||||||
Sirius XM Radio, Inc. | 1,239,000 | 1,268,315 | ||||||
4.13%, 7/1/30(a) | 1,754,000 | 1,659,266 | ||||||
Six Flags Entertainment Corp. | 435,000 | 434,778 | ||||||
Six Flags Theme Parks, Inc. | 309,000 | 323,060 | ||||||
Skyworks Solutions, Inc. | 20,000 | 19,123 | ||||||
3.00%, 6/1/31 | 40,000 | 37,358 | ||||||
Sonic Automotive, Inc. | 140,000 | 132,916 | ||||||
4.88%, 11/15/31(a) | 373,000 | 352,716 | ||||||
Spectrum Brands, Inc. | 152,000 | 155,297 | ||||||
3.88%, 3/15/31(a) | 159,000 | 145,806 | ||||||
Spirit AeroSystems, Inc. | 312,000 | 324,439 | ||||||
4.60%, 6/15/28(b) | 504,000 | 481,451 | ||||||
Sprint Corp. | 396,000 | 425,997 | ||||||
7.13%, 6/15/24 | 188,000 | 203,801 | ||||||
7.63%, 2/15/25 | 172,000 | 190,748 | ||||||
7.63%, 3/1/26 | 143,000 | 163,197 | ||||||
SS&C Technologies, Inc. | 481,000 | 495,175 | ||||||
Station Casinos LLC | 309,000 | 297,502 | ||||||
Stericycle, Inc. | 498,000 | 509,917 | ||||||
Summit Materials LLC / Summit Materials Finance Corp. | 248,000 | 249,773 | ||||||
Summit Midstream Holdings LLC / Summit Midstream Finance Corp. | 390,000 | 386,806 | ||||||
SunCoke Energy, Inc. | 240,000 | 230,777 | ||||||
Sunoco LP / Sunoco Finance Corp. | 286,000 | 274,800 | ||||||
4.50%, 4/30/30(a) | 70,000 | 67,086 | ||||||
Syneos Health, Inc. | 158,000 | 149,302 | ||||||
T-Mobile USA, Inc. | 561,000 | 561,252 | ||||||
2.88%, 2/15/31 | 20,000 | 18,808 | ||||||
Taylor Morrison Communities, Inc. | 321,000 | 320,721 | ||||||
TEGNA, Inc. | 547,000 | 546,825 | ||||||
5.00%, 9/15/29 | 556,000 | 556,528 | ||||||
Teleflex, Inc. | 40,000 | 40,715 | ||||||
4.25%, 6/1/28(a) | 50,000 | 49,541 | ||||||
Tempur Sealy International, Inc. | 378,000 | 356,617 | ||||||
Tenet Healthcare Corp. | 587,000 | 612,570 | ||||||
4.63%, 7/15/24 | 195,000 | 195,821 | ||||||
4.63%, 9/1/24(a) | 975,000 | 989,937 | ||||||
4.88%, 1/1/26(a) | 777,000 | 782,742 | ||||||
6.25%, 2/1/27(a) | 457,000 | 470,194 | ||||||
6.13%, 10/1/28(a) | 1,454,000 | 1,473,309 | ||||||
Terex Corp. | 317,000 | 314,185 | ||||||
TerraForm Power Operating LLC | 468,000 | 469,722 | ||||||
4.75%, 1/15/30(a) | 596,000 | 586,392 | ||||||
Thor Industries, Inc. | 229,000 | 208,683 | ||||||
Time Warner Cable LLC | 60,000 | 56,934 | ||||||
TopBuild Corp. | 170,000 | 161,738 | ||||||
Townsquare Media, Inc. | 413,000 | 424,647 | ||||||
TransDigm, Inc. | 256,000 | 267,497 | ||||||
6.25%, 3/15/26(a) | 719,000 | 740,901 | ||||||
6.38%, 6/15/26 | 397,000 | 404,888 | ||||||
7.50%, 3/15/27 | 628,000 | 652,680 | ||||||
5.50%, 11/15/27 | 9,000 | 8,972 | ||||||
4.88%, 5/1/29 | 1,413,000 | 1,353,951 | ||||||
Transocean, Inc. | 1,059,000 | 1,060,493 | ||||||
Travel & Leisure Co. | 215,000 | 230,340 | ||||||
TreeHouse Foods, Inc. | 321,000 | 294,379 | ||||||
TriNet Group, Inc. | 148,000 | 139,327 | ||||||
TripAdvisor, Inc. | 120,000 | 125,108 |
See Notes to Financial Statements.
48 | WisdomTree Trust |
Table of Contents
Schedule of Investments (unaudited) (continued)
WisdomTree Interest Rate Hedged High Yield Bond Fund (HYZD)
February 28, 2022
Investments | Principal Amount | Value | ||||||
Tronox, Inc. | $ | 613,000 | $ | 579,567 | ||||
TTM Technologies, Inc. | 70,000 | 65,099 | ||||||
Tutor Perini Corp. | 398,000 | 390,040 | ||||||
Twitter, Inc. | 152,000 | 149,690 | ||||||
U.S. Foods, Inc. | 300,000 | 310,377 | ||||||
4.75%, 2/15/29(a) | 351,000 | 347,420 | ||||||
Under Armour, Inc. | 20,000 | 20,001 | ||||||
United Natural Foods, Inc. | 323,000 | 334,470 | ||||||
United Rentals North America, Inc. | 413,000 | 426,852 | ||||||
3.88%, 11/15/27 | 442,000 | 448,917 | ||||||
5.25%, 1/15/30 | 376,000 | 391,713 | ||||||
3.88%, 2/15/31(b) | 90,000 | 87,199 | ||||||
United States Steel Corp. | 410,000 | 421,837 | ||||||
Uniti Group LP / Uniti Fiber Holdings, Inc. / CSL Capital LLC | 1,064,000 | 1,109,550 | ||||||
4.75%, 4/15/28(a) | 235,000 | 224,089 | ||||||
6.50%, 2/15/29(a) | 1,047,000 | 977,144 | ||||||
6.00%, 1/15/30(a) | 350,000 | 313,331 | ||||||
Univar Solutions USA, Inc. | 50,000 | 50,937 | ||||||
Urban One, Inc. | 427,000 | 429,925 | ||||||
USA Compression Partners LP / USA Compression Finance Corp. | 902,000 | 906,889 | ||||||
Vail Resorts, Inc. | 20,000 | 20,779 | ||||||
Valvoline, Inc. | 393,000 | 354,038 | ||||||
Vector Group Ltd. | 932,000 | 871,550 | ||||||
VeriSign, Inc. | 1,000 | 1,076 | ||||||
4.75%, 7/15/27 | 38,000 | 39,314 | ||||||
Vertiv Group Corp. | 270,000 | 248,084 | ||||||
VICI Properties LP / VICI Note Co., Inc. | 233,000 | 231,884 | ||||||
Victors Merger Corp. | 373,000 | 323,548 | ||||||
Vista Outdoor, Inc. | 284,000 | 267,451 | ||||||
Vistra Operations Co. LLC | 771,000 | 789,728 | ||||||
5.00%, 7/31/27(a) | 577,000 | 581,956 | ||||||
4.38%, 5/1/29(a) | 695,000 | 676,701 | ||||||
Vontier Corp. | 30,000 | 28,132 | ||||||
2.40%, 4/1/28 | 105,000 | 97,257 | ||||||
2.95%, 4/1/31 | 90,000 | 82,067 | ||||||
W&T Offshore, Inc. | 441,000 | 434,985 | ||||||
WESCO Distribution, Inc. | 939,000 | 1,009,322 | ||||||
Western Digital Corp. | 251,000 | 260,982 | ||||||
Western Midstream Operating LP | 55,000 | 56,532 | ||||||
5.30%, 3/1/48 | 679,000 | 700,103 | ||||||
5.75%, 2/1/50 | 135,000 | 137,207 | ||||||
Westinghouse Air Brake Technologies Corp. 4.40%, 3/15/24 | 20,000 | 20,737 | ||||||
3.20%, 6/15/25 | 20,000 | 20,224 | ||||||
3.45%, 11/15/26 | 30,000 | 30,470 | ||||||
4.95%, 9/15/28 | 40,000 | 43,496 | ||||||
William Carter Co. | 242,000 | 246,738 | ||||||
Williams Scotsman International, Inc. | 259,000 | 255,641 | ||||||
Wolverine World Wide, Inc. | 238,000 | 219,067 | ||||||
WW International, Inc. | 119,000 | 100,734 | ||||||
Wyndham Hotels & Resorts, Inc. | 229,000 | 226,376 | ||||||
Xerox Corp. | 58,000 | 58,652 | ||||||
Xerox Holdings Corp. | 691,000 | 690,585 | ||||||
XHR LP | 250,000 | 243,895 | ||||||
XPO Logistics, Inc. | 359,000 | 372,498 | ||||||
Yum! Brands, Inc. | 209,000 | 217,977 | ||||||
3.63%, 3/15/31 | 90,000 | 84,323 | ||||||
Ziff Davis, Inc. | 283,000 | 272,693 | ||||||
ZoomInfo Technologies LLC | 190,000 | 180,373 | ||||||
TOTAL U.S. CORPORATE BONDS (Cost: $213,752,570) |
| 206,029,948 | ||||||
FOREIGN CORPORATE BONDS – 0.6% |
| |||||||
Canada – 0.4% |
| |||||||
Open Text Holdings, Inc. | 409,000 | 392,100 | ||||||
Primo Water Holdings, Inc. | 386,000 | 360,122 | ||||||
|
| |||||||
Total Canada |
| 752,222 |
See Notes to Financial Statements.
WisdomTree Trust | 49 |
Table of Contents
Schedule of Investments (unaudited) (concluded)
WisdomTree Interest Rate Hedged High Yield Bond Fund (HYZD)
February 28, 2022
Investments | Principal Amount | Value | ||||||
Germany – 0.2% |
| |||||||
Deutsche Bank AG | ||||||||
4.88%, 12/1/32, (4.875% fixed rate until 12/1/27; 5-year U.S. dollar ICE Swap Rate + 2.553% thereafter)(c) | $ | 470,000 | $ | 474,131 | ||||
TOTAL FOREIGN CORPORATE BONDS (Cost: $1,285,267) |
| 1,226,353 | ||||||
Shares | ||||||||
INVESTMENT OF CASH COLLATERAL FOR SECURITIES LOANED – 6.0% |
| |||||||
United States – 6.0% |
| |||||||
State Street Navigator Securities Lending |
| |||||||
(Cost: $12,988,548) | 12,988,548 | 12,988,548 | ||||||
TOTAL INVESTMENTS IN SECURITIES – 102.0% (Cost: $228,026,385) |
| 220,244,849 | ||||||
Other Assets less Liabilities – (2.0)% |
| (4,282,283 | ) | |||||
|
| |||||||
NET ASSETS – 100.0% |
| $ | 215,962,566 |
(a) | This security is exempt from registration under rule 144A of the Securities Act of 1933. This security may be sold in transactions that are exempt from registration, normally to qualified institutional buyers. |
(b) | Security, or portion thereof, was on loan at February 28, 2022 (See Note 2). At February 28, 2022, the total market value of the Fund’s securities on loan identified in the Schedule of Investments was $12,664,710 and the total market value of the collateral held by the Fund was $13,359,135. The total market value of the collateral includes non-cash U.S. Government securities collateral having a value of $370,587. |
(c) | Rate shown reflects the accrual rate as of February 28, 2022 on securities with variable or step rates. |
(d) | Rate shown represents annualized 7-day yield as of February 28, 2022. |
FINANCIAL DERIVATIVE INSTRUMENTS | ||||||||||||||||
FUTURES CONTRACTS (EXCHANGE-TRADED) | ||||||||||||||||
Short Exposure | Contracts | Expiration Date | Notional Value | Unrealized Appreciation/ (Depreciation) | ||||||||||||
2 Year U.S. Treasury Note | 154 | 6/30/22 | $ | (33,144,891 | ) | $ | (113,003 | ) | ||||||||
5 Year U.S. Treasury Note | 928 | 6/30/22 | (109,765,000 | ) | (785,393 | ) | ||||||||||
10 Year U.S. Treasury Note | 129 | 6/21/22 | (16,439,437 | ) | (156,211 | ) | ||||||||||
U.S. Treasury Ultra Long Term Bond | 7 | 6/21/22 | (1,301,562 | ) | (18,203 | ) | ||||||||||
Ultra 10 Year U.S. Treasury Note | 125 | 6/21/22 | (17,666,016 | ) | (225,073 | ) | ||||||||||
$ | (178,316,906 | ) | $ | (1,297,883 | ) | |||||||||||
Long Exposure | ||||||||||||||||
U.S. Treasury Long Bond | 3 | 6/21/22 | $ | 470,062 | $ | 7,215 | ||||||||||
$ | 470,062 | $ | 7,215 | |||||||||||||
Total – Net | $ | (177,846,844 | ) | $ | (1,290,668 | ) |
FAIR VALUATION SUMMARY |
The following is a summary of the fair valuations according to the inputs used as of February 28, 2022 in valuing the Fund’s investments (See Note 2 — Fair Value Measurement):
Quoted Prices in Active Markets (Level 1) | Other Significant Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | |||||||||||||
Assets: |
| |||||||||||||||
Investments in Securities | ||||||||||||||||
U.S. Corporate Bonds | $ | — | $ | 206,029,948 | $ | — | $ | 206,029,948 | ||||||||
Foreign Corporate Bonds | — | 1,226,353 | — | 1,226,353 | ||||||||||||
Investment of Cash Collateral for Securities Loaned | — | 12,988,548 | — | 12,988,548 | ||||||||||||
Total Investments in Securities | $ | — | $ | 220,244,849 | $ | — | $ | 220,244,849 | ||||||||
Financial Derivative Instruments | ||||||||||||||||
Futures Contracts1 | $ | 7,215 | $ | — | $ | — | $ | 7,215 | ||||||||
Liabilities: |
| |||||||||||||||
Financial Derivative Instruments | ||||||||||||||||
Futures Contracts1 | $ | (1,297,883 | ) | $ | — | $ | — | $ | (1,297,883 | ) | ||||||
Total – Net | $ | (1,290,668 | ) | $ | 220,244,849 | $ | — | $ | 218,954,181 | |||||||
1 Amount shown represents the unrealized appreciation (depreciation) on the financial instrument. |
|
See Notes to Financial Statements.
50 | WisdomTree Trust |
Table of Contents
Schedule of Investments (unaudited)
WisdomTree Interest Rate Hedged U.S. Aggregate Bond Fund (AGZD)
February 28, 2022
Investments | Principal Amount | Value | ||||||
U.S. GOVERNMENT AGENCIES – 28.7% |
| |||||||
Federal Home Loan Bank – 0.1% |
| |||||||
3.38%, 9/8/23 | $ | 70,000 | $ | 72,153 | ||||
3.38%, 12/8/23 | 65,000 | 67,211 | ||||||
1.50%, 8/15/24 | 85,000 | 84,919 | ||||||
3.25%, 11/16/28 | 65,000 | 70,357 | ||||||
5.50%, 7/15/36 | 15,000 | 20,748 | ||||||
|
| |||||||
Total Federal Home Loan Bank |
| 315,388 | ||||||
Federal Home Loan Mortgage Corporation – 7.0% |
| |||||||
3.00%, 4/1/27 | 20,673 | 21,210 | ||||||
3.00%, 7/1/27 | 34,573 | 35,472 | ||||||
2.50%, 3/1/28 | 19,148 | 19,474 | ||||||
2.50%, 4/1/28 | 49,754 | 50,575 | ||||||
3.50%, 1/1/29 | 18,934 | 19,583 | ||||||
2.50%, 6/1/29 | 33,155 | 33,719 | ||||||
3.00%, 8/1/29 | 18,795 | 19,340 | ||||||
2.50%, 1/1/30 | 19,701 | 20,036 | ||||||
2.50%, 2/1/30 | 28,128 | 28,609 | ||||||
3.00%, 4/1/30 | 30,219 | 31,104 | ||||||
2.50%, 5/1/30 | 114,926 | 116,825 | ||||||
3.00%, 3/1/31 | 85,130 | 87,671 | ||||||
3.00%, 4/1/31 | 125,643 | 129,393 | ||||||
2.50%, 12/1/31 | 31,061 | 31,599 | ||||||
3.00%, 12/1/31 | 28,783 | 29,659 | ||||||
3.00%, 7/1/32 | 184,278 | 189,943 | ||||||
6.25%, 7/15/32 | 690,000 | 954,822 | ||||||
3.50%, 9/1/32 | 80,902 | 83,866 | ||||||
2.50%, 11/1/32 | 14,970 | 15,234 | ||||||
3.00%, 11/1/32 | 44,254 | 45,589 | ||||||
3.00%, 1/1/33 | 13,877 | 14,303 | ||||||
3.00%, 9/1/33 | 26,518 | 27,434 | ||||||
4.00%, 11/1/33 | 10,024 | 10,412 | ||||||
4.00%, 5/1/34 | 28,107 | 29,817 | ||||||
3.50%, 8/1/34 | 14,713 | 15,370 | ||||||
3.00%, 3/1/35 | 36,474 | 37,432 | ||||||
2.50%, 5/1/35 | 146,449 | 148,307 | ||||||
3.00%, 5/1/35 | 21,226 | 21,763 | ||||||
3.50%, 6/1/35 | 18,964 | 19,794 | ||||||
2.50%, 8/1/35 | 78,625 | 79,622 | ||||||
1.50%, 9/1/35 | 130,196 | 126,901 | ||||||
2.00%, 9/1/35 | 64,716 | 64,348 | ||||||
2.50%, 9/1/35 | 28,959 | 29,327 | ||||||
2.00%, 10/1/35 | 300,962 | 299,252 | ||||||
2.50%, 10/1/35 | 59,632 | 60,388 | ||||||
2.50%, 1/1/36 | 39,703 | 40,350 | ||||||
1.50%, 2/1/36 | 598,925 | 583,765 | ||||||
1.50%, 5/1/36 | 23,072 | 22,480 | ||||||
1.00%, 8/1/36 | 47,442 | 44,569 | ||||||
1.50%, 8/1/36 | 46,540 | 45,331 | ||||||
2.50%, 8/1/36 | 72,059 | 72,981 | ||||||
2.00%, 10/1/36 | 193,783 | 192,573 | ||||||
1.50%, 1/1/37 | 90,810 | 88,451 | ||||||
1.50%, 2/1/37 | 173,827 | 169,312 | ||||||
4.00%, 10/1/37 | 34,343 | 36,362 | ||||||
5.50%, 4/1/38 | 23,828 | 26,673 | ||||||
2.00%, 11/1/40 | 40,255 | 39,213 | ||||||
4.50%, 12/1/40 | 32,512 | 35,185 | ||||||
1.50%, 1/1/41 | 96,071 | 90,645 | ||||||
2.00%, 1/1/41 | 21,168 | 20,620 | ||||||
2.00%, 2/1/41 | 43,514 | 42,387 | ||||||
4.00%, 2/1/41 | 148,944 | 158,764 | ||||||
2.00%, 3/1/41 | 66,505 | 64,764 | ||||||
2.00%, 4/1/41 | 158,810 | 154,653 | ||||||
2.00%, 8/1/41 | 214,529 | 208,913 | ||||||
2.00%, 11/1/41 | 49,060 | 47,776 | ||||||
1.50%, 12/1/41 | 24,626 | 23,239 | ||||||
1.50%, 1/1/42 | 49,585 | 46,793 | ||||||
2.00%, 1/1/42 | 99,159 | 96,563 | ||||||
2.50%, 1/1/42 | 74,325 | 74,604 | ||||||
2.50%, 2/1/42 | 49,879 | 50,065 | ||||||
3.50%, 3/1/42 | 28,705 | 30,075 | ||||||
3.50%, 6/1/42 | 351,905 | 368,519 | ||||||
3.00%, 6/1/43 | 37,507 | 38,600 | ||||||
3.00%, 7/1/43 | 56,913 | 58,644 | ||||||
3.00%, 8/1/43 | 57,695 | 59,376 | ||||||
4.00%, 12/1/43 | 10,422 | 11,109 | ||||||
3.00%, 1/1/44 | 58,116 | 59,843 | ||||||
3.50%, 9/1/44 | 47,708 | 49,938 | ||||||
4.00%, 9/1/44 | 30,115 | 31,970 | ||||||
3.50%, 1/1/45 | 17,487 | 18,306 | ||||||
4.00%, 4/1/45 | 106,278 | 112,383 | ||||||
4.50%, 7/1/45 | 17,794 | 19,257 | ||||||
3.50%, 8/1/45 | 29,509 | 30,777 | ||||||
4.00%, 8/1/45 | 18,274 | 19,335 | ||||||
3.50%, 9/1/45 | 36,258 | 37,800 | ||||||
4.00%, 11/1/45 | 19,705 | 20,849 | ||||||
3.00%, 1/1/46 | 228,906 | 234,400 | ||||||
4.00%, 2/1/46 | 44,570 | 47,131 | ||||||
3.50%, 3/1/46 | 19,892 | 20,734 | ||||||
3.00%, 4/1/46 | 6,366 | 6,516 | ||||||
3.50%, 4/1/46 | 33,573 | 34,983 | ||||||
3.00%, 5/1/46 | 83,969 | 85,999 | ||||||
3.50%, 5/1/46 | 8,745 | 9,112 | ||||||
3.00%, 9/1/46 | 183,905 | 188,343 | ||||||
4.50%, 9/1/46 | 44,771 | 48,512 | ||||||
3.00%, 10/1/46 | 38,373 | 39,301 | ||||||
3.00%, 11/1/46 | 137,187 | 140,416 | ||||||
4.00%, 11/1/46 | 12,293 | 12,957 | ||||||
3.50%, 12/1/46 | 45,719 | 47,658 | ||||||
3.00%, 2/1/47 | 276,149 | 282,649 | ||||||
3.50%, 2/1/47 | 81,841 | 85,278 | ||||||
4.00%, 2/1/47 | 9,623 | 10,143 | ||||||
4.50%, 4/1/47 | 9,357 | 9,932 | ||||||
3.50%, 5/1/47 | 8,718 | 9,041 | ||||||
4.50%, 5/1/47 | 15,189 | 16,123 | ||||||
4.00%, 7/1/47 | 54,113 | 56,872 | ||||||
3.50%, 8/1/47 | 49,526 | 51,362 | ||||||
4.00%, 8/1/47 | 23,311 | 24,508 | ||||||
3.00%, 10/1/47 | 28,883 | 29,531 | ||||||
3.50%, 10/1/47 | 68,486 | 71,025 | ||||||
3.50%, 11/1/47 | 174,229 | 181,263 | ||||||
3.50%, 12/1/47 | 53,477 | 55,425 | ||||||
4.00%, 2/1/48 | 20,016 | 21,042 | ||||||
3.50%, 7/1/48 | 43,278 | 44,881 | ||||||
4.00%, 7/1/48 | 88,578 | 93,951 | ||||||
4.00%, 8/1/48 | 58,332 | 61,473 | ||||||
3.00%, 11/1/48 | 225,745 | 231,059 |
See Notes to Financial Statements.
WisdomTree Trust | 51 |
Table of Contents
Schedule of Investments (unaudited) (continued)
WisdomTree Interest Rate Hedged U.S. Aggregate Bond Fund (AGZD)
February 28, 2022
Investments | Principal Amount | Value | ||||||
5.00%, 3/1/49 | $ | 38,241 | $ | 41,238 | ||||
3.50%, 7/1/49 | 268,590 | 278,478 | ||||||
3.50%, 8/1/49 | 228,720 | 236,953 | ||||||
3.50%, 10/1/49 | 85,623 | 88,775 | ||||||
5.00%, 10/1/49 | 15,383 | 16,589 | ||||||
3.00%, 12/1/49 | 317,809 | 322,849 | ||||||
3.00%, 1/1/50 | 79,056 | 80,310 | ||||||
3.00%, 2/1/50 | 64,296 | 65,250 | ||||||
3.00%, 4/1/50 | 101,527 | 103,463 | ||||||
3.50%, 4/1/50 | 131,198 | 136,282 | ||||||
2.50%, 5/1/50 | 126,721 | 125,590 | ||||||
4.00%, 5/1/50 | 88,276 | 93,211 | ||||||
2.50%, 6/1/50 | 203,724 | 201,885 | ||||||
3.00%, 6/1/50 | 584,228 | 593,760 | ||||||
2.50%, 7/1/50 | 283,991 | 281,362 | ||||||
2.00%, 8/1/50 | 557,308 | 537,232 | ||||||
2.50%, 8/1/50 | 100,655 | 99,819 | ||||||
2.00%, 9/1/50 | 63,294 | 61,014 | ||||||
2.50%, 9/1/50 | 297,067 | 294,237 | ||||||
2.00%, 10/1/50 | 30,153 | 29,066 | ||||||
2.50%, 10/1/50 | 278,381 | 275,725 | ||||||
1.50%, 12/1/50 | 69,582 | 64,687 | ||||||
1.50%, 1/1/51 | 45,565 | 42,359 | ||||||
2.00%, 1/1/51 | 179,591 | 173,121 | ||||||
2.50%, 1/1/51 | 75,594 | 74,826 | ||||||
3.00%, 1/1/51 | 102,137 | 103,228 | ||||||
4.50%, 1/1/51 | 62,832 | 66,734 | ||||||
1.50%, 2/1/51 | 91,819 | 85,360 | ||||||
2.00%, 2/1/51 | 868,920 | 837,618 | ||||||
2.00%, 3/1/51 | 138,674 | 133,678 | ||||||
2.50%, 3/1/51 | 119,867 | 118,631 | ||||||
1.50%, 4/1/51 | 281,702 | 261,694 | ||||||
2.00%, 4/1/51 | 299,306 | 287,367 | ||||||
2.00%, 5/1/51 | 531,585 | 510,665 | ||||||
2.50%, 5/1/51 | 548,165 | 542,001 | ||||||
1.50%, 6/1/51 | 479,057 | 444,934 | ||||||
3.00%, 7/1/51 | 301,430 | 306,525 | ||||||
2.00%, 8/1/51 | 288,502 | 277,213 | ||||||
2.00%, 9/1/51 | 1,000,317 | 960,367 | ||||||
2.50%, 9/1/51 | 500,574 | 494,598 | ||||||
2.00%, 10/1/51 | 587,424 | 564,616 | ||||||
2.50%, 10/1/51 | 197,049 | 194,846 | ||||||
1.50%, 11/1/51 | 98,448 | 91,385 | ||||||
2.00%, 11/1/51 | 467,351 | 448,846 | ||||||
2.00%, 12/1/51 | 719,175 | 690,860 | ||||||
2.00%, 2/1/52 | 174,464 | 167,475 | ||||||
2.50%, 2/1/52 | 597,226 | 590,140 | ||||||
3.50%, 2/1/52 | 448,254 | 462,493 | ||||||
|
| |||||||
Total Federal Home Loan Mortgage Corporation |
| 21,602,980 | ||||||
Federal National Mortgage Association – 10.8% |
| |||||||
4.00%, 9/1/25 | 10,438 | 10,826 | ||||||
5.50%, 10/1/25 | 19,324 | 20,372 | ||||||
4.00%, 7/1/26 | 2,647 | 2,745 | ||||||
1.88%, 9/24/26 | 1,139,000 | 1,144,148 | ||||||
3.50%, 10/1/26 | 24,291 | 25,125 | ||||||
3.00%, 11/1/26 | 16,596 | 17,027 | ||||||
3.50%, 12/1/26 | 4,765 | 4,928 | ||||||
3.00%, 2/1/27 | 47,439 | 48,716 | ||||||
3.00%, 6/1/27 | 39,635 | 40,702 | ||||||
3.00%, 9/1/27 | 18,691 | 19,194 | ||||||
2.50%, 8/1/28 | 15,979 | 16,242 | ||||||
3.00%, 9/1/28 | 33,721 | 34,642 | ||||||
3.00%, 11/1/28 | 8,525 | 8,758 | ||||||
3.00%, 7/1/29 | 32,940 | 33,875 | ||||||
7.25%, 5/15/30 | 100,000 | 139,366 | ||||||
0.88%, 8/5/30 | 35,000 | 31,770 | ||||||
3.00%, 9/1/30 | 16,692 | 17,170 | ||||||
3.50%, 4/1/31 | 19,794 | 20,494 | ||||||
2.50%, 6/1/31 | 13,907 | 14,140 | ||||||
2.50%, 7/1/31 | 14,176 | 14,414 | ||||||
2.50%, 10/1/31 | 356,196 | 362,174 | ||||||
3.50%, 11/1/31 | 38,305 | 39,596 | ||||||
2.50%, 4/1/32 | 18,701 | 19,015 | ||||||
3.50%, 4/1/32 | 29,313 | 30,713 | ||||||
2.50%, 9/1/32 | 51,058 | 51,930 | ||||||
3.00%, 9/1/32 | 22,749 | 23,401 | ||||||
3.00%, 10/1/32 | 51,715 | 53,275 | ||||||
3.50%, 11/1/32 | 44,616 | 46,250 | ||||||
2.50%, 12/1/32 | 7,589 | 7,719 | ||||||
2.50%, 1/1/33 | 47,480 | 48,292 | ||||||
3.50%, 1/1/33 | 15,492 | 16,059 | ||||||
3.50%, 2/1/33 | 34,517 | 35,843 | ||||||
3.00%, 4/1/33 | 25,396 | 26,049 | ||||||
3.00%, 6/1/33 | 79,182 | 81,677 | ||||||
5.00%, 10/1/33 | 103,721 | 113,162 | ||||||
6.00%, 2/1/34 | 34,782 | 39,131 | ||||||
4.00%, 3/1/34 | 33,267 | 34,524 | ||||||
2.50%, 5/1/34 | 21,658 | 21,971 | ||||||
3.00%, 6/1/34 | 9,448 | 9,696 | ||||||
4.00%, 8/1/34 | 9,722 | 10,306 | ||||||
3.00%, 12/1/34 | 27,373 | 28,229 | ||||||
3.00%, 1/1/35 | 10,851 | 11,136 | ||||||
2.50%, 5/1/35 | 22,140 | 22,421 | ||||||
2.00%, 7/1/35 | 60,141 | 59,799 | ||||||
2.50%, 7/1/35 | 55,972 | 56,684 | ||||||
2.50%, 8/1/35 | 54,324 | 55,149 | ||||||
2.00%, 9/1/35 | 15,515 | 15,427 | ||||||
2.50%, 9/1/35 | 30,112 | 30,495 | ||||||
3.50%, 9/1/35 | 27,547 | 28,744 | ||||||
1.50%, 10/1/35 | 44,187 | 43,068 | ||||||
2.00%, 10/1/35 | 107,033 | 106,417 | ||||||
1.50%, 11/1/35 | 18,964 | 18,484 | ||||||
1.50%, 12/1/35 | 169,813 | 165,515 | ||||||
2.00%, 12/1/35 | 342,107 | 340,144 | ||||||
3.50%, 1/1/36 | 9,529 | 9,943 | ||||||
2.50%, 2/1/36 | 18,088 | 18,318 | ||||||
1.50%, 3/1/36 | 21,346 | 20,792 | ||||||
2.00%, 3/1/36 | 83,424 | 82,910 | ||||||
1.50%, 4/1/36 | 236,211 | 230,112 | ||||||
3.00%, 4/1/36 | 20,976 | 21,569 | ||||||
1.50%, 5/1/36 | 201,479 | 196,243 | ||||||
2.00%, 5/1/36 | 43,174 | 42,901 | ||||||
3.00%, 6/1/36 | 48,850 | 50,215 | ||||||
3.50%, 7/1/36 | 23,321 | 24,393 | ||||||
3.00%, 9/1/36 | 101,445 | 104,279 | ||||||
1.50%, 10/1/36 | 242,789 | 236,570 | ||||||
2.00%, 10/1/36 | 119,530 | 118,782 |
See Notes to Financial Statements.
52 | WisdomTree Trust |
Table of Contents
Schedule of Investments (unaudited) (continued)
WisdomTree Interest Rate Hedged U.S. Aggregate Bond Fund (AGZD)
February 28, 2022
Investments | Principal Amount | Value | ||||||
1.50%, 11/1/36 | $ | 97,893 | $ | 95,349 | ||||
2.00%, 11/1/36 | 48,281 | 47,979 | ||||||
3.00%, 11/1/36 | 57,320 | 59,215 | ||||||
2.00%, 12/1/36 | 123,428 | 122,722 | ||||||
2.00%, 1/1/37 | 98,831 | 98,246 | ||||||
2.00%, 2/1/37 | 149,058 | 148,125 | ||||||
3.00%, 2/1/37 | 39,234 | 40,330 | ||||||
3.50%, 7/1/37 | 22,018 | 23,003 | ||||||
5.50%, 8/1/37 | 207,262 | 230,403 | ||||||
3.50%, 4/1/38 | 11,898 | 12,414 | ||||||
4.50%, 9/1/39 | 11,218 | 12,135 | ||||||
2.50%, 3/1/40 | 25,053 | 25,141 | ||||||
3.00%, 4/1/40 | 111,552 | 114,361 | ||||||
2.50%, 5/1/40 | 20,488 | 20,561 | ||||||
3.00%, 6/1/40 | 15,713 | 16,108 | ||||||
4.50%, 8/1/40 | 21,772 | 23,547 | ||||||
2.00%, 9/1/40 | 17,877 | 17,415 | ||||||
2.50%, 9/1/40 | 63,516 | 63,741 | ||||||
5.50%, 9/1/40 | 40,969 | 45,977 | ||||||
2.00%, 11/1/40 | 39,777 | 38,748 | ||||||
2.00%, 12/1/40 | 122,772 | 119,595 | ||||||
2.50%, 12/1/40 | 36,650 | 36,778 | ||||||
3.50%, 12/1/40 | 77,901 | 81,592 | ||||||
2.00%, 1/1/41 | 88,962 | 86,662 | ||||||
3.50%, 2/1/41 | 149,274 | 156,346 | ||||||
1.50%, 3/1/41 | 67,574 | 63,767 | ||||||
2.00%, 3/1/41 | 22,322 | 21,735 | ||||||
2.50%, 3/1/41 | 46,278 | 46,568 | ||||||
2.00%, 4/1/41 | 22,804 | 22,207 | ||||||
1.50%, 5/1/41 | 69,916 | 65,977 | ||||||
2.50%, 5/1/41 | 78,187 | 78,481 | ||||||
1.50%, 6/1/41 | 46,962 | 44,317 | ||||||
2.00%, 6/1/41 | 69,966 | 68,134 | ||||||
1.50%, 7/1/41 | 84,747 | 79,973 | ||||||
1.50%, 10/1/41 | 97,619 | 92,033 | ||||||
2.50%, 10/1/41 | 48,437 | 48,617 | ||||||
2.00%, 11/1/41 | 196,502 | 191,319 | ||||||
2.00%, 2/1/42 | 99,623 | 97,015 | ||||||
2.50%, 2/1/42 | 49,829 | 50,017 | ||||||
3.50%, 6/1/42 | 7,427 | 7,778 | ||||||
4.00%, 7/1/42 | 54,644 | 58,166 | ||||||
4.00%, 9/1/42 | 157,806 | 168,010 | ||||||
3.50%, 12/1/42 | 36,880 | 38,620 | ||||||
3.00%, 1/1/43 | 62,825 | 64,622 | ||||||
3.00%, 4/1/43 | 45,556 | 46,881 | ||||||
3.00%, 5/1/43 | 139,303 | 143,354 | ||||||
3.50%, 5/1/43 | 13,596 | 14,224 | ||||||
3.00%, 6/1/43 | 73,722 | 75,918 | ||||||
4.00%, 6/1/43 | 4,659 | 4,959 | ||||||
3.00%, 8/1/43 | 199,485 | 205,285 | ||||||
3.50%, 8/1/43 | 108,085 | 113,079 | ||||||
3.00%, 9/1/43 | 52,795 | 54,330 | ||||||
4.00%, 11/1/43 | 8,303 | 8,846 | ||||||
3.00%, 2/1/44 | 41,496 | 42,684 | ||||||
4.00%, 2/1/44 | 60,670 | 64,636 | ||||||
4.50%, 2/1/44 | 90,830 | 98,830 | ||||||
4.50%, 4/1/44 | 98,799 | 106,627 | ||||||
4.50%, 5/1/44 | 7,207 | 7,763 | ||||||
4.00%, 9/1/44 | 44,667 | 47,392 | ||||||
4.00%, 10/1/44 | 65,871 | 69,890 | ||||||
3.50%, 2/1/45 | 69,181 | 72,444 | ||||||
5.00%, 2/1/45 | 38,093 | 42,328 | ||||||
3.50%, 3/1/45 | 40,202 | 41,900 | ||||||
3.50%, 4/1/45 | 44,635 | 46,520 | ||||||
3.50%, 6/1/45 | 77,329 | 80,595 | ||||||
4.00%, 6/1/45 | 145,301 | 154,798 | ||||||
3.50%, 8/1/45 | 40,894 | 42,621 | ||||||
3.50%, 12/1/45 | 108,457 | 113,037 | ||||||
3.00%, 1/1/46 | 59,377 | 60,804 | ||||||
3.50%, 1/1/46 | 89,468 | 93,247 | ||||||
3.50%, 2/1/46 | 21,441 | 22,346 | ||||||
3.50%, 4/1/46 | 7,566 | 7,882 | ||||||
3.00%, 5/1/46 | 47,778 | 48,903 | ||||||
3.50%, 5/1/46 | 16,057 | 16,728 | ||||||
4.50%, 5/1/46 | 43,805 | 46,791 | ||||||
3.50%, 6/1/46 | 91,334 | 95,154 | ||||||
4.00%, 7/1/46 | 12,273 | 12,929 | ||||||
3.00%, 9/1/46 | 39,100 | 40,020 | ||||||
3.50%, 9/1/46 | 192,453 | 201,421 | ||||||
3.00%, 10/1/46 | 13,204 | 13,515 | ||||||
4.00%, 10/1/46 | 13,740 | 14,474 | ||||||
2.50%, 11/1/46 | 9,423 | 9,423 | ||||||
3.00%, 11/1/46 | 382,133 | 391,718 | ||||||
3.50%, 11/1/46 | 14,153 | 14,750 | ||||||
4.50%, 11/1/46 | 20,101 | 21,651 | ||||||
3.50%, 12/1/46 | 98,605 | 102,729 | ||||||
3.00%, 1/1/47 | 31,625 | 32,370 | ||||||
4.00%, 1/1/47 | 96,613 | 101,776 | ||||||
3.00%, 2/1/47 | 17,487 | 17,899 | ||||||
4.00%, 2/1/47 | 11,124 | 11,719 | ||||||
4.00%, 3/1/47 | 10,175 | 10,693 | ||||||
4.00%, 5/1/47 | 26,702 | 28,058 | ||||||
4.50%, 5/1/47 | 89,758 | 96,681 | ||||||
4.00%, 8/1/47 | 178,537 | 188,263 | ||||||
3.50%, 9/1/47 | 87,103 | 90,781 | ||||||
3.50%, 11/1/47 | 228,378 | 236,702 | ||||||
4.50%, 11/1/47 | 65,358 | 69,323 | ||||||
3.00%, 12/1/47 | 61,918 | 63,376 | ||||||
3.50%, 12/1/47 | 40,519 | 41,996 | ||||||
3.50%, 1/1/48 | 107,126 | 111,723 | ||||||
4.00%, 1/1/48 | 62,905 | 66,102 | ||||||
3.00%, 4/1/48 | 56,975 | 58,631 | ||||||
4.00%, 4/1/48 | 233,528 | 246,088 | ||||||
4.50%, 5/1/48 | 21,294 | 22,580 | ||||||
4.50%, 6/1/48 | 235,236 | 249,445 | ||||||
4.50%, 7/1/48 | 144,200 | 152,936 | ||||||
4.00%, 8/1/48 | 22,004 | 23,055 | ||||||
4.00%, 9/1/48 | 335,889 | 353,956 | ||||||
4.50%, 9/1/48 | 14,473 | 15,347 | ||||||
4.00%, 11/1/48 | 649,602 | 682,826 | ||||||
3.00%, 12/1/48 | 57,146 | 58,491 | ||||||
4.00%, 1/1/49 | 127,049 | 133,254 | ||||||
5.00%, 5/1/49 | 51,327 | 55,538 | ||||||
4.00%, 6/1/49 | 91,194 | 96,099 | ||||||
4.50%, 7/1/49 | 16,726 | 17,872 | ||||||
3.50%, 8/1/49 | 299,409 | 310,159 | ||||||
3.00%, 9/1/49 | 129,606 | 131,941 | ||||||
4.00%, 9/1/49 | 119,866 | 125,554 |
See Notes to Financial Statements.
WisdomTree Trust | 53 |
Table of Contents
Schedule of Investments (unaudited) (continued)
WisdomTree Interest Rate Hedged U.S. Aggregate Bond Fund (AGZD)
February 28, 2022
Investments | Principal Amount | Value | ||||||
3.00%, 10/1/49 | $ | 82,706 | $ | 83,933 | ||||
4.00%, 10/1/49 | 171,150 | 178,679 | ||||||
2.50%, 11/1/49 | 299,825 | 298,049 | ||||||
2.50%, 1/1/50 | 64,737 | 64,353 | ||||||
3.00%, 1/1/50 | 43,317 | 43,921 | ||||||
3.50%, 1/1/50 | 100,837 | 104,457 | ||||||
4.50%, 1/1/50 | 92,295 | 98,018 | ||||||
3.00%, 3/1/50 | 55,532 | 56,533 | ||||||
4.00%, 3/1/50 | 75,017 | 78,989 | ||||||
4.50%, 3/1/50 | 91,024 | 96,725 | ||||||
5.00%, 3/1/50 | 180,315 | 194,325 | ||||||
2.50%, 4/1/50 | 299,626 | 296,907 | ||||||
3.00%, 4/1/50 | 101,224 | 102,308 | ||||||
3.50%, 4/1/50 | 566,976 | 587,577 | ||||||
3.50%, 5/1/50 | 144,142 | 149,169 | ||||||
4.50%, 5/1/50 | 175,949 | 186,352 | ||||||
2.50%, 6/1/50 | 598,085 | 592,711 | ||||||
4.00%, 6/1/50 | 171,932 | 180,842 | ||||||
2.50%, 7/1/50 | 305,124 | 302,318 | ||||||
3.00%, 7/1/50 | 159,404 | 161,157 | ||||||
2.50%, 8/1/50 | 128,470 | 127,264 | ||||||
3.00%, 8/1/50 | 32,993 | 33,773 | ||||||
2.00%, 9/1/50 | 407,523 | 392,844 | ||||||
2.50%, 9/1/50 | 612,616 | 608,375 | ||||||
2.00%, 10/1/50 | 359,095 | 346,161 | ||||||
1.50%, 11/1/50 | 269,424 | 250,471 | ||||||
2.00%, 11/1/50 | 81,890 | 78,941 | ||||||
2.50%, 11/1/50 | 185,250 | 183,623 | ||||||
1.50%, 12/1/50 | 141,997 | 132,009 | ||||||
2.00%, 12/1/50 | 990,745 | 955,058 | ||||||
2.50%, 12/1/50 | 1,101,657 | 1,090,867 | ||||||
3.00%, 12/1/50 | 68,366 | 69,098 | ||||||
1.50%, 1/1/51 | 91,511 | 85,073 | ||||||
2.00%, 1/1/51 | 92,094 | 88,777 | ||||||
2.50%, 1/1/51 | 452,892 | 448,468 | ||||||
2.00%, 2/1/51 | 991,910 | 956,181 | ||||||
2.50%, 2/1/51 | 465,924 | 460,907 | ||||||
3.00%, 2/1/51 | 379,754 | 384,673 | ||||||
1.50%, 3/1/51 | 334,552 | 310,843 | ||||||
2.00%, 3/1/51 | 654,156 | 630,038 | ||||||
1.50%, 4/1/51 | 103,339 | 95,997 | ||||||
2.00%, 4/1/51 | 1,581,598 | 1,520,708 | ||||||
2.00%, 5/1/51 | 704,759 | 677,686 | ||||||
2.50%, 5/1/51 | 279,587 | 276,108 | ||||||
3.00%, 5/1/51 | 127,362 | 128,745 | ||||||
1.50%, 6/1/51 | 481,539 | 447,647 | ||||||
2.00%, 6/1/51 | 236,870 | 227,764 | ||||||
2.50%, 7/1/51 | 297,803 | 294,252 | ||||||
3.00%, 7/1/51 | 216,695 | 219,136 | ||||||
2.00%, 9/1/51 | 48,694 | 46,751 | ||||||
3.50%, 9/1/51 | 66,740 | 68,808 | ||||||
3.00%, 11/1/51 | 123,239 | 124,675 | ||||||
2.50%, 12/1/51 | 1,707,186 | 1,686,924 | ||||||
3.00%, 2/1/52 | 850,000 | 862,720 | ||||||
|
| |||||||
Total Federal National Mortgage Association |
| 32,901,373 | ||||||
Government National Mortgage Association – 5.9% |
| |||||||
2.50%, 7/20/28 | 47,737 | 48,339 | ||||||
3.00%, 4/20/33 | 26,140 | 26,802 | ||||||
2.00%, 5/20/36 | 45,241 | 44,945 | ||||||
4.00%, 11/20/40 | 101,257 | 108,802 | ||||||
3.00%, 11/20/42 | 156,913 | 162,745 | ||||||
3.50%, 2/20/43 | 149,441 | 158,548 | ||||||
5.00%, 2/20/43 | 25,278 | 28,678 | ||||||
3.50%, 3/20/43 | 113,878 | 121,184 | ||||||
4.00%, 5/20/43 | 22,890 | 24,548 | ||||||
4.00%, 6/20/43 | 47,031 | 50,437 | ||||||
3.00%, 8/20/43 | 104,677 | 108,431 | ||||||
5.00%, 4/20/44 | 50,563 | 57,357 | ||||||
3.50%, 7/20/44 | 58,983 | 62,097 | ||||||
4.00%, 7/20/44 | 12,902 | 13,766 | ||||||
5.00%, 7/20/44 | 9,395 | 10,658 | ||||||
3.50%, 8/20/44 | 75,245 | 79,218 | ||||||
5.00%, 8/20/44 | 8,181 | 9,283 | ||||||
3.00%, 9/20/44 | 34,367 | 35,439 | ||||||
4.50%, 9/20/44 | 31,421 | 34,189 | ||||||
3.50%, 10/20/44 | 148,270 | 156,098 | ||||||
3.00%, 1/20/45 | 13,023 | 13,430 | ||||||
4.00%, 4/20/45 | 78,590 | 83,856 | ||||||
3.00%, 7/20/45 | 96,142 | 99,116 | ||||||
3.50%, 11/20/45 | 58,616 | 61,389 | ||||||
3.00%, 12/20/45 | 73,134 | 75,396 | ||||||
3.50%, 12/20/45 | 105,742 | 110,745 | ||||||
4.50%, 12/20/45 | 29,802 | 32,427 | ||||||
3.50%, 1/20/46 | 198,315 | 207,697 | ||||||
3.00%, 5/20/46 | 11,829 | 12,143 | ||||||
4.00%, 7/20/46 | 89,038 | 94,274 | ||||||
3.00%, 9/20/46 | 112,375 | 115,360 | ||||||
3.50%, 9/20/46 | 62,473 | 65,326 | ||||||
2.50%, 10/20/46 | 68,038 | 68,668 | ||||||
3.00%, 10/20/46 | 17,036 | 17,489 | ||||||
3.00%, 12/20/46 | 8,396 | 8,619 | ||||||
4.00%, 12/20/46 | 20,170 | 21,357 | ||||||
4.00%, 1/20/47 | 17,797 | 18,844 | ||||||
4.50%, 1/20/47 | 23,838 | 25,876 | ||||||
3.00%, 2/20/47 | 569,972 | 585,116 | ||||||
3.50%, 2/20/47 | 65,198 | 68,174 | ||||||
3.50%, 3/20/47 | 60,244 | 62,662 | ||||||
3.50%, 4/20/47 | 32,315 | 33,612 | ||||||
4.00%, 4/20/47 | 99,521 | 104,471 | ||||||
3.00%, 5/20/47 | 37,139 | 38,050 | ||||||
4.00%, 7/20/47 | 21,858 | 22,946 | ||||||
4.00%, 8/20/47 | 18,847 | 19,785 | ||||||
3.50%, 9/20/47 | 52,119 | 54,211 | ||||||
4.50%, 10/20/47 | 8,708 | 9,273 | ||||||
3.50%, 11/20/47 | 98,981 | 102,954 | ||||||
3.50%, 1/20/48 | 125,115 | 130,574 | ||||||
4.00%, 1/20/48 | 9,402 | 9,870 | ||||||
3.00%, 2/20/48 | 52,228 | 53,508 | ||||||
3.50%, 3/20/48 | 18,146 | 18,874 | ||||||
3.50%, 4/20/48 | 32,005 | 33,289 | ||||||
4.50%, 5/20/48 | 44,636 | 47,533 | ||||||
4.50%, 6/20/48 | 39,637 | 41,610 | ||||||
3.50%, 7/20/48 | 33,252 | 34,531 | ||||||
4.00%, 9/20/48 | 29,035 | 30,392 | ||||||
4.50%, 9/20/48 | 17,309 | 18,170 | ||||||
3.50%, 10/20/48 | 223,322 | 231,912 | ||||||
4.50%, 1/20/49 | 17,767 | 18,651 |
See Notes to Financial Statements.
54 | WisdomTree Trust |
Table of Contents
Schedule of Investments (unaudited) (continued)
WisdomTree Interest Rate Hedged U.S. Aggregate Bond Fund (AGZD)
February 28, 2022
Investments | Principal Amount | Value | ||||||
3.50%, 3/20/49 | $ | 8,399 | $ | 8,722 | ||||
4.00%, 3/20/49 | 30,782 | 32,220 | ||||||
4.50%, 3/20/49 | 8,431 | 8,851 | ||||||
5.00%, 3/20/49 | 15,619 | 16,645 | ||||||
4.00%, 4/20/49 | 13,091 | 13,617 | ||||||
4.50%, 6/20/49 | 54,172 | 56,868 | ||||||
3.50%, 7/20/49 | 46,928 | 48,671 | ||||||
3.00%, 8/20/49 | 16,297 | 16,631 | ||||||
3.00%, 9/20/49 | 286,216 | 292,008 | ||||||
4.00%, 10/20/49 | 36,056 | 37,503 | ||||||
3.00%, 11/15/49 | 10,587 | 10,837 | ||||||
3.00%, 1/20/50 | 7,920 | 8,071 | ||||||
3.50%, 1/20/50 | 6,107 | 6,321 | ||||||
4.50%, 1/20/50 | 13,016 | 13,664 | ||||||
3.00%, 2/20/50 | 30,436 | 31,009 | ||||||
4.00%, 2/20/50 | 199,196 | 207,187 | ||||||
3.00%, 5/20/50 | 123,071 | 125,268 | ||||||
3.00%, 6/20/50 | 56,389 | 57,399 | ||||||
3.50%, 7/20/50 | 152,841 | 157,972 | ||||||
5.00%, 7/20/50 | 62,153 | 66,876 | ||||||
2.00%, 8/20/50 | 152,461 | 149,498 | ||||||
2.50%, 8/20/50 | 77,138 | 77,333 | ||||||
3.00%, 8/20/50 | 285,243 | 290,381 | ||||||
3.50%, 8/20/50 | 114,110 | 117,829 | ||||||
4.00%, 8/20/50 | 44,701 | 46,494 | ||||||
2.50%, 9/20/50 | 66,376 | 66,544 | ||||||
4.00%, 9/20/50 | 49,134 | 51,105 | ||||||
4.50%, 9/20/50 | 68,832 | 72,258 | ||||||
3.50%, 10/20/50 | 28,541 | 29,551 | ||||||
4.50%, 10/20/50 | 48,328 | 50,733 | ||||||
2.50%, 11/20/50 | 146,301 | 146,670 | ||||||
3.00%, 11/20/50 | 92,769 | 94,446 | ||||||
2.00%, 12/20/50 | 212,554 | 208,422 | ||||||
2.50%, 12/20/50 | 180,704 | 181,160 | ||||||
3.50%, 12/20/50 | 230,097 | 237,630 | ||||||
2.00%, 3/20/51 | 469,999 | 459,989 | ||||||
2.50%, 3/20/51 | 523,796 | 523,998 | ||||||
2.00%, 4/20/51 | 91,311 | 89,366 | ||||||
2.50%, 4/20/51 | 222,975 | 223,061 | ||||||
3.00%, 5/20/51 | 41,630 | 42,366 | ||||||
2.00%, 6/20/51 | 95,000 | 92,976 | ||||||
2.00%, 7/20/51 | 481,350 | 471,097 | ||||||
2.50%, 7/20/51 | 262,694 | 262,796 | ||||||
3.00%, 7/20/51 | 137,568 | 140,000 | ||||||
2.50%, 8/20/51 | 602,295 | 602,527 | ||||||
1.50%, 9/20/51 | 49,001 | 45,937 | ||||||
2.50%, 9/20/51 | 414,011 | 414,171 | ||||||
3.00%, 9/20/51 | 166,691 | 169,638 | ||||||
3.50%, 9/20/51 | 241,222 | 249,342 | ||||||
2.00%, 10/20/51 | 246,298 | 241,052 | ||||||
2.00%, 11/20/51 | 173,237 | 169,547 | ||||||
2.00%, 12/20/51 | 149,134 | 145,958 | ||||||
2.50%, 1/20/52 | 124,633 | 124,681 | ||||||
2.00%, 3/1/52(a) | 2,550,000 | 2,492,580 | ||||||
2.50%, 3/1/52(a) | 1,850,000 | 1,848,400 | ||||||
3.00%, 3/1/52(a) | 875,000 | 889,486 | ||||||
3.50%, 3/1/52(a) | 75,000 | 77,373 | ||||||
4.00%, 3/1/52(a) | 175,000 | 181,877 | ||||||
2.50%, 4/1/52(a) | 200,000 | 199,463 | ||||||
3.00%, 4/1/52(a) | 100,000 | 101,434 | ||||||
4.00%, 4/1/52(a) | 100,000 | 103,705 | ||||||
2.00%, 4/21/52(a) | 125,000 | 121,970 | ||||||
4.50%, 4/21/52(a) | 200,000 | 209,297 | ||||||
|
| |||||||
Total Government National Mortgage Association |
| 17,974,225 | ||||||
Tennessee Valley Authority – 0.1% |
| |||||||
5.25%, 9/15/39 | 180,000 | 242,102 | ||||||
Uniform Mortgage-Backed Securities – 4.8% |
| |||||||
1.50%, 3/1/37(a) | 275,000 | 267,598 | ||||||
2.00%, 3/1/37(a) | 1,900,000 | 1,885,932 | ||||||
2.50%, 3/1/37(a) | 550,000 | 556,579 | ||||||
3.00%, 3/1/37(a) | 75,000 | 76,859 | ||||||
3.50%, 3/1/37(a) | 50,000 | 51,598 | ||||||
1.50%, 4/1/37(a) | 75,000 | 72,875 | ||||||
2.00%, 4/1/37(a) | 100,000 | 99,090 | ||||||
2.50%, 4/18/37(a) | 25,000 | 25,235 | ||||||
3.00%, 4/18/37(a) | 25,000 | 25,558 | ||||||
2.00%, 3/1/52(a) | 6,650,000 | 6,377,333 | ||||||
2.50%, 3/1/52(a) | 3,000,000 | 2,959,482 | ||||||
3.00%, 3/1/52(a) | 625,000 | 631,225 | ||||||
4.50%, 3/1/52(a) | 100,000 | 105,585 | ||||||
5.00%, 3/1/52(a) | 100,000 | 107,829 | ||||||
2.00%, 4/1/52(a) | 450,000 | 430,852 | ||||||
2.50%, 4/1/52(a) | 700,000 | 689,093 | ||||||
3.00%, 4/1/52(a) | 225,000 | 226,649 | ||||||
3.50%, 4/1/52(a) | 50,000 | 51,343 | ||||||
4.50%, 4/1/52(a) | 50,000 | 52,748 | ||||||
|
| |||||||
Total Uniform Mortgage-Backed Securities |
| 14,693,463 | ||||||
TOTAL U.S. GOVERNMENT AGENCIES (Cost: $89,110,431) |
| 87,729,531 | ||||||
U.S. GOVERNMENT OBLIGATIONS – 41.0% |
| |||||||
U.S. Treasury Bonds – 8.2% |
| |||||||
6.88%, 8/15/25 | 277,000 | 325,529 | ||||||
5.25%, 2/15/29 | 259,000 | 317,235 | ||||||
6.13%, 8/15/29 | 75,000 | 97,699 | ||||||
6.25%, 5/15/30 | 244,000 | 326,712 | ||||||
0.63%, 8/15/30 | 1,215,000 | 1,101,948 | ||||||
5.38%, 2/15/31 | 128,500 | 166,528 | ||||||
4.50%, 2/15/36 | 322,000 | 426,247 | ||||||
4.75%, 2/15/37 | 100,000 | 136,633 | ||||||
5.00%, 5/15/37 | 128,000 | 179,310 | ||||||
4.38%, 2/15/38 | 200,000 | 265,375 | ||||||
4.50%, 5/15/38 | 54,000 | 72,651 | ||||||
3.50%, 2/15/39 | 122,000 | 146,867 | ||||||
4.25%, 5/15/39 | 110,000 | 144,719 | ||||||
4.50%, 8/15/39 | 92,000 | 124,667 | ||||||
4.38%, 11/15/39 | 106,000 | 141,560 | ||||||
4.63%, 2/15/40 | 57,000 | 78,295 | ||||||
4.38%, 5/15/40 | 25,000 | 33,436 | ||||||
1.13%, 8/15/40 | 600,000 | 497,437 | ||||||
1.38%, 11/15/40 | 1,070,000 | 925,801 | ||||||
4.25%, 11/15/40 | 5,000 | 6,572 | ||||||
1.88%, 2/15/41 | 950,000 | 893,891 | ||||||
2.25%, 5/15/41 | 700,000 | 698,469 | ||||||
1.75%, 8/15/41 | 1,200,000 | 1,101,562 | ||||||
3.75%, 8/15/41 | 150,000 | 185,953 |
See Notes to Financial Statements.
WisdomTree Trust | 55 |
Table of Contents
Schedule of Investments (unaudited) (continued)
WisdomTree Interest Rate Hedged U.S. Aggregate Bond Fund (AGZD)
February 28, 2022
Investments | Principal Amount | Value | ||||||
2.00%, 11/15/41 | $ | 915,000 | $ | 876,756 | ||||
3.13%, 11/15/41 | 450,000 | 512,648 | ||||||
3.13%, 2/15/42 | 200,000 | 228,359 | ||||||
3.00%, 5/15/42 | 100,000 | 112,086 | ||||||
2.75%, 8/15/42 | 150,000 | 161,602 | ||||||
2.75%, 11/15/42 | 250,000 | 269,219 | ||||||
3.13%, 2/15/43 | 200,000 | 227,844 | ||||||
2.88%, 5/15/43 | 471,000 | 516,591 | ||||||
3.63%, 8/15/43 | 152,500 | 187,027 | ||||||
3.75%, 11/15/43 | 346,000 | 432,500 | ||||||
3.63%, 2/15/44 | 134,000 | 164,663 | ||||||
3.38%, 5/15/44 | 118,000 | 140,097 | ||||||
3.13%, 8/15/44 | 182,000 | 208,134 | ||||||
3.00%, 11/15/44 | 137,000 | 153,804 | ||||||
2.50%, 2/15/45 | 271,000 | 279,892 | ||||||
3.00%, 5/15/45 | 94,000 | 105,684 | ||||||
2.88%, 8/15/45 | 94,000 | 103,716 | ||||||
3.00%, 11/15/45 | 141,000 | 159,044 | ||||||
2.50%, 2/15/46 | 641,000 | 663,936 | ||||||
2.50%, 5/15/46 | 205,000 | 212,399 | ||||||
2.25%, 8/15/46 | 428,000 | 423,586 | ||||||
2.88%, 11/15/46 | 94,000 | 104,325 | ||||||
3.00%, 2/15/47 | 240,000 | 272,644 | ||||||
3.00%, 5/15/47 | 221,000 | 251,698 | ||||||
2.75%, 8/15/47 | 719,000 | 787,698 | ||||||
2.75%, 11/15/47 | 269,000 | 294,870 | ||||||
3.00%, 2/15/48 | 291,000 | 334,900 | ||||||
3.13%, 5/15/48 | 334,000 | 393,676 | ||||||
3.00%, 8/15/48 | 541,000 | 624,221 | ||||||
3.38%, 11/15/48 | 395,000 | 487,887 | ||||||
3.00%, 2/15/49 | 577,000 | 669,951 | ||||||
2.25%, 8/15/49 | 450,000 | 453,656 | ||||||
2.00%, 2/15/50 | 777,000 | 744,160 | ||||||
1.38%, 8/15/50 | 750,000 | 617,871 | ||||||
1.63%, 11/15/50 | 925,000 | 810,748 | ||||||
1.88%, 2/15/51 | 1,175,000 | 1,094,127 | ||||||
2.38%, 5/15/51 | 990,000 | 1,033,158 | ||||||
2.00%, 8/15/51 | 750,000 | 720,176 | ||||||
1.88%, 11/15/51 | 755,000 | 704,922 | ||||||
|
| |||||||
Total U.S. Treasury Bonds |
| 24,935,371 | ||||||
U.S. Treasury Notes – 32.8% |
| |||||||
0.13%, 2/28/23 | 700,000 | 693,492 | ||||||
0.50%, 3/15/23 | 500,000 | 497,002 | ||||||
0.13%, 3/31/23 | 800,000 | 791,359 | ||||||
1.50%, 3/31/23 | 212,000 | 212,849 | ||||||
2.50%, 3/31/23 | 115,000 | 116,682 | ||||||
0.25%, 4/15/23 | 700,000 | 692,973 | ||||||
0.13%, 4/30/23 | 750,000 | 740,830 | ||||||
1.63%, 4/30/23 | 300,000 | 301,553 | ||||||
2.75%, 4/30/23 | 188,000 | 191,400 | ||||||
0.13%, 5/15/23 | 450,000 | 444,410 | ||||||
1.75%, 5/15/23 | 406,000 | 408,736 | ||||||
1.63%, 5/31/23 | 500,000 | 502,647 | ||||||
2.75%, 5/31/23 | 188,000 | 191,606 | ||||||
0.25%, 6/15/23 | 400,000 | 395,070 | ||||||
0.13%, 6/30/23 | 500,000 | 492,627 | ||||||
1.38%, 6/30/23 | 377,000 | 377,677 | ||||||
2.63%, 6/30/23 | 250,000 | 254,521 | ||||||
0.13%, 7/15/23 | 400,000 | 393,867 | ||||||
0.13%, 7/31/23 | 985,000 | 968,840 | ||||||
1.25%, 7/31/23 | 354,000 | 353,945 | ||||||
2.75%, 7/31/23 | 250,000 | 255,220 | ||||||
0.13%, 8/15/23 | 400,000 | 393,234 | ||||||
2.50%, 8/15/23 | 738,000 | 751,016 | ||||||
0.13%, 8/31/23 | 800,000 | 786,000 | ||||||
1.38%, 8/31/23 | 340,000 | 340,259 | ||||||
2.75%, 8/31/23 | 250,000 | 255,283 | ||||||
0.13%, 9/15/23 | 400,000 | 392,742 | ||||||
0.25%, 9/30/23 | 1,000,000 | 982,969 | ||||||
1.38%, 9/30/23 | 338,000 | 338,191 | ||||||
2.88%, 9/30/23 | 250,000 | 256,001 | ||||||
0.13%, 10/15/23 | 525,000 | 514,582 | ||||||
1.63%, 10/31/23 | 344,000 | 345,404 | ||||||
2.88%, 10/31/23 | 250,000 | 256,104 | ||||||
0.25%, 11/15/23 | 450,000 | 441,404 | ||||||
2.75%, 11/15/23 | 550,000 | 562,622 | ||||||
0.50%, 11/30/23 | 1,000,000 | 984,355 | ||||||
2.13%, 11/30/23 | 250,000 | 253,115 | ||||||
2.88%, 11/30/23 | 250,000 | 256,362 | ||||||
0.13%, 12/15/23 | 671,600 | 656,423 | ||||||
2.25%, 12/31/23 | 411,000 | 417,117 | ||||||
2.63%, 12/31/23 | 250,000 | 255,474 | ||||||
0.13%, 1/15/24 | 870,000 | 848,913 | ||||||
0.88%, 1/31/24 | 535,000 | 529,326 | ||||||
2.25%, 1/31/24 | 354,000 | 359,386 | ||||||
2.50%, 1/31/24 | 250,000 | 254,946 | ||||||
0.13%, 2/15/24 | 770,000 | 750,269 | ||||||
2.75%, 2/15/24 | 382,000 | 391,595 | ||||||
1.50%, 2/29/24 | 610,000 | 610,608 | ||||||
2.13%, 2/29/24 | 329,000 | 333,286 | ||||||
2.38%, 2/29/24 | 250,000 | 254,473 | ||||||
0.25%, 3/15/24 | 950,000 | 926,398 | ||||||
2.13%, 3/31/24 | 612,000 | 620,009 | ||||||
0.38%, 4/15/24 | 1,000,000 | 976,328 | ||||||
2.00%, 4/30/24 | 341,000 | 344,570 | ||||||
2.25%, 4/30/24 | 300,000 | 304,746 | ||||||
0.25%, 5/15/24 | 700,000 | 680,641 | ||||||
2.50%, 5/15/24 | 282,000 | 287,948 | ||||||
2.00%, 5/31/24 | 235,000 | 237,479 | ||||||
0.25%, 6/15/24 | 750,000 | 728,291 | ||||||
1.75%, 6/30/24 | 300,000 | 301,477 | ||||||
2.00%, 6/30/24 | 500,000 | 505,293 | ||||||
0.38%, 7/15/24 | 500,000 | 486,367 | ||||||
1.75%, 7/31/24 | 1,000,000 | 1,004,727 | ||||||
0.38%, 8/15/24 | 500,000 | 485,625 | ||||||
2.38%, 8/15/24 | 629,000 | 641,064 | ||||||
1.25%, 8/31/24 | 400,000 | 396,797 | ||||||
0.38%, 9/15/24 | 700,000 | 678,891 | ||||||
1.50%, 9/30/24 | 1,150,000 | 1,147,170 | ||||||
2.13%, 9/30/24 | 250,000 | 253,340 | ||||||
0.63%, 10/15/24 | 1,500,000 | 1,462,734 | ||||||
1.50%, 10/31/24 | 300,000 | 299,191 | ||||||
2.25%, 10/31/24 | 250,000 | 254,248 | ||||||
0.75%, 11/15/24 | 800,000 | 781,750 | ||||||
2.25%, 11/15/24 | 719,000 | 731,302 | ||||||
1.50%, 11/30/24 | 500,000 | 498,535 |
See Notes to Financial Statements.
56 | WisdomTree Trust |
Table of Contents
Schedule of Investments (unaudited) (continued)
WisdomTree Interest Rate Hedged U.S. Aggregate Bond Fund (AGZD)
February 28, 2022
Investments | Principal Amount | Value | ||||||
2.13%, 11/30/24 | $ | 601,000 | $ | 609,146 | ||||
1.00%, 12/15/24 | 550,000 | 540,848 | ||||||
1.75%, 12/31/24 | 270,000 | 271,002 | ||||||
2.25%, 12/31/24 | 349,000 | 355,148 | ||||||
1.13%, 1/15/25 | 1,265,000 | 1,247,310 | ||||||
1.38%, 1/31/25 | 1,250,000 | 1,241,016 | ||||||
2.50%, 1/31/25 | 99,000 | 101,452 | ||||||
2.00%, 2/15/25 | 485,000 | 490,058 | ||||||
1.13%, 2/28/25 | 500,000 | 492,520 | ||||||
2.75%, 2/28/25 | 699,000 | 721,417 | ||||||
0.50%, 3/31/25 | 470,000 | 453,789 | ||||||
2.63%, 3/31/25 | 275,000 | 283,057 | ||||||
0.38%, 4/30/25 | 500,000 | 480,156 | ||||||
2.88%, 4/30/25 | 188,000 | 194,999 | ||||||
2.13%, 5/15/25 | 782,000 | 793,058 | ||||||
0.25%, 5/31/25 | 500,000 | 477,480 | ||||||
2.88%, 5/31/25 | 410,000 | 425,391 | ||||||
0.25%, 6/30/25 | 500,000 | 476,699 | ||||||
2.75%, 6/30/25 | 350,000 | 362,031 | ||||||
0.25%, 7/31/25 | 580,000 | 552,314 | ||||||
2.00%, 8/15/25 | 454,000 | 458,505 | ||||||
0.25%, 8/31/25 | 300,000 | 285,199 | ||||||
0.25%, 9/30/25 | 1,250,000 | 1,186,816 | ||||||
3.00%, 9/30/25 | 500,000 | 522,461 | ||||||
0.25%, 10/31/25 | 460,000 | 436,173 | ||||||
2.25%, 11/15/25 | 507,000 | 516,764 | ||||||
0.38%, 11/30/25 | 500,000 | 475,664 | ||||||
0.38%, 12/31/25 | 400,000 | 380,188 | ||||||
0.38%, 1/31/26 | 1,350,000 | 1,280,813 | ||||||
2.63%, 1/31/26 | 500,000 | 516,895 | ||||||
1.63%, 2/15/26 | 800,000 | 796,656 | ||||||
0.50%, 2/28/26 | 650,000 | 619,150 | ||||||
2.50%, 2/28/26 | 500,000 | 514,707 | ||||||
0.75%, 3/31/26 | 800,000 | 768,938 | ||||||
2.25%, 3/31/26 | 150,000 | 153,000 | ||||||
0.75%, 4/30/26 | 500,000 | 480,195 | ||||||
1.63%, 5/15/26 | 623,000 | 619,958 | ||||||
0.75%, 5/31/26 | 500,000 | 479,727 | ||||||
2.13%, 5/31/26 | 200,000 | 203,086 | ||||||
0.88%, 6/30/26 | 900,000 | 867,410 | ||||||
1.88%, 6/30/26 | 750,000 | 754,219 | ||||||
0.63%, 7/31/26 | 200,000 | 190,508 | ||||||
1.88%, 7/31/26 | 450,000 | 452,461 | ||||||
1.50%, 8/15/26 | 550,000 | 544,285 | ||||||
1.38%, 8/31/26 | 350,000 | 344,408 | ||||||
0.88%, 9/30/26 | 600,000 | 577,031 | ||||||
1.63%, 9/30/26 | 450,000 | 447,645 | ||||||
1.13%, 10/31/26 | 500,000 | 486,035 | ||||||
1.63%, 10/31/26 | 250,000 | 248,682 | ||||||
2.00%, 11/15/26 | 500,000 | 505,645 | ||||||
1.25%, 11/30/26 | 500,000 | 488,926 | ||||||
1.63%, 11/30/26 | 500,000 | 497,344 | ||||||
1.25%, 12/31/26 | 1,350,000 | 1,319,361 | ||||||
1.75%, 12/31/26 | 300,000 | 300,117 | ||||||
1.50%, 1/31/27 | 1,650,000 | 1,631,373 | ||||||
2.25%, 2/15/27 | 500,000 | 511,934 | ||||||
1.13%, 2/28/27 | 450,000 | 436,693 | ||||||
0.63%, 3/31/27 | 900,000 | 851,063 | ||||||
0.50%, 4/30/27 | 685,000 | 642,856 | ||||||
2.38%, 5/15/27 | 675,000 | 695,540 | ||||||
0.50%, 5/31/27 | 850,000 | 796,410 | ||||||
0.50%, 6/30/27 | 500,000 | 467,949 | ||||||
0.38%, 7/31/27 | 700,000 | 649,988 | ||||||
2.25%, 8/15/27 | 507,000 | 519,754 | ||||||
0.50%, 8/31/27 | 850,000 | 793,488 | ||||||
0.38%, 9/30/27 | 695,000 | 643,364 | ||||||
0.50%, 10/31/27 | 500,000 | 465,527 | ||||||
2.25%, 11/15/27 | 388,000 | 397,594 | ||||||
0.63%, 11/30/27 | 800,000 | 749,313 | ||||||
0.63%, 12/31/27 | 800,000 | 748,531 | ||||||
0.75%, 1/31/28 | 800,000 | 753,188 | ||||||
2.75%, 2/15/28 | 693,000 | 730,574 | ||||||
1.13%, 2/29/28 | 800,000 | 770,094 | ||||||
1.25%, 3/31/28 | 1,200,000 | 1,162,406 | ||||||
1.25%, 4/30/28 | 1,000,000 | 968,086 | ||||||
2.88%, 5/15/28 | 218,000 | 231,599 | ||||||
1.25%, 5/31/28 | 500,000 | 483,574 | ||||||
1.00%, 7/31/28 | 500,000 | 475,273 | ||||||
2.88%, 8/15/28 | 337,000 | 358,721 | ||||||
1.13%, 8/31/28 | 500,000 | 478,750 | ||||||
1.25%, 9/30/28 | 500,000 | 482,266 | ||||||
1.38%, 10/31/28 | 750,000 | 728,906 | ||||||
3.13%, 11/15/28 | 151,000 | 163,399 | ||||||
1.50%, 11/30/28 | 300,000 | 293,859 | ||||||
1.75%, 1/31/29 | 525,000 | 522,621 | ||||||
2.63%, 2/15/29 | 400,000 | 421,156 | ||||||
1.88%, 2/28/29 | 585,000 | 587,331 | ||||||
2.38%, 5/15/29 | 375,000 | 389,209 | ||||||
1.63%, 8/15/29 | 541,000 | 534,618 | ||||||
1.75%, 11/15/29 | 400,000 | 399,031 | ||||||
1.50%, 2/15/30 | 365,000 | 356,816 | ||||||
0.63%, 5/15/30 | 1,280,000 | 1,164,400 | ||||||
0.88%, 11/15/30 | 1,150,000 | 1,063,121 | ||||||
1.13%, 2/15/31 | 1,450,000 | 1,367,418 | ||||||
1.63%, 5/15/31 | 1,075,000 | 1,057,027 | ||||||
1.25%, 8/15/31 | 1,500,000 | 1,425,234 | ||||||
1.38%, 11/15/31 | 1,450,000 | 1,390,867 | ||||||
1.88%, 2/15/32 | 435,000 | 436,869 | ||||||
1.13%, 5/15/40 | 725,000 | 603,336 | ||||||
2.88%, 5/15/49 | 710,000 | 806,904 | ||||||
2.38%, 11/15/49 | 700,000 | 725,813 | ||||||
1.25%, 5/15/50 | 740,000 | 590,959 | ||||||
|
| |||||||
Total U.S. Treasury Notes |
| 100,296,351 | ||||||
TOTAL U.S. GOVERNMENT OBLIGATIONS (Cost: $126,545,903) |
| 125,231,722 | ||||||
U.S. CORPORATE BONDS – 21.5% |
| |||||||
United States – 21.5% |
| |||||||
3M Co. | 230,000 | 230,140 | ||||||
2.88%, 10/15/27(b) | 65,000 | 66,786 | ||||||
3.38%, 3/1/29 | 35,000 | 36,575 | ||||||
3.05%, 4/15/30 | 25,000 | 25,616 | ||||||
3.13%, 9/19/46 | 23,000 | 21,660 | ||||||
3.63%, 10/15/47 | 38,000 | 38,334 | ||||||
Abbott Laboratories | 14,000 | 14,402 |
See Notes to Financial Statements.
WisdomTree Trust | 57 |
Table of Contents
Schedule of Investments (unaudited) (continued)
WisdomTree Interest Rate Hedged U.S. Aggregate Bond Fund (AGZD)
February 28, 2022
Investments | Principal Amount | Value | ||||||
6.15%, 11/30/37(b) | $ | 53,000 | $ | 72,581 | ||||
4.75%, 4/15/43 | 10,000 | 11,892 | ||||||
AbbVie, Inc. | 59,000 | 60,984 | ||||||
2.95%, 11/21/26 | 515,000 | 523,719 | ||||||
4.55%, 3/15/35 | 10,000 | 11,126 | ||||||
4.50%, 5/14/35 | 125,000 | 138,777 | ||||||
4.40%, 11/6/42 | 15,000 | 16,217 | ||||||
4.75%, 3/15/45 | 8,000 | 8,926 | ||||||
4.70%, 5/14/45 | 48,000 | 53,436 | ||||||
4.25%, 11/21/49 | 14,000 | 14,893 | ||||||
Activision Blizzard, Inc. | 82,000 | 85,921 | ||||||
2.50%, 9/15/50 | 10,000 | 8,409 | ||||||
Adobe, Inc. | 25,000 | 24,397 | ||||||
Advance Auto Parts, Inc. | 25,000 | 25,942 | ||||||
Aetna, Inc. | 60,000 | 67,186 | ||||||
3.88%, 8/15/47 | 43,000 | 43,433 | ||||||
Aflac, Inc. | 75,000 | 77,666 | ||||||
Air Lease Corp. | 5,000 | 5,106 | ||||||
4.25%, 9/15/24 | 5,000 | 5,184 | ||||||
3.25%, 3/1/25 | 25,000 | 25,242 | ||||||
3.63%, 4/1/27 | 23,000 | 23,474 | ||||||
3.63%, 12/1/27(b) | 319,000 | 324,197 | ||||||
Air Products and Chemicals, Inc. | 50,000 | 45,991 | ||||||
Aircastle Ltd. | 5,000 | 5,150 | ||||||
Alabama Power Co. | 20,000 | 21,706 | ||||||
3.45%, 10/1/49 | 9,000 | 8,599 | ||||||
Alexandria Real Estate Equities, Inc. | 18,000 | 18,640 | ||||||
4.90%, 12/15/30 | 51,000 | 58,582 | ||||||
Allstate Corp. | 30,000 | 26,950 | ||||||
Ally Financial, Inc. | 100,000 | 98,838 | ||||||
8.00%, 11/1/31 | 513,000 | 674,147 | ||||||
Alphabet, Inc. | 25,000 | 20,068 | ||||||
Altria Group, Inc. | 25,000 | 27,082 | ||||||
2.45%, 2/4/32 | 65,000 | 58,102 | ||||||
3.40%, 2/4/41 | 31,000 | 25,675 | ||||||
5.38%, 1/31/44 | 373,000 | 391,113 | ||||||
Amazon.com, Inc. | 19,000 | 20,954 | ||||||
1.50%, 6/3/30(b) | 60,000 | 55,684 | ||||||
3.88%, 8/22/37 | 15,000 | 16,501 | ||||||
4.95%, 12/5/44 | 52,000 | 64,746 | ||||||
4.05%, 8/22/47 | 66,000 | 74,248 | ||||||
4.25%, 8/22/57 | 27,000 | 31,292 | ||||||
2.70%, 6/3/60 | 40,000 | 34,234 | ||||||
Ameren Illinois Co. | 48,000 | 51,264 | ||||||
1.55%, 11/15/30 | 50,000 | 45,152 | ||||||
American Express Co. | 10,000 | 10,270 | ||||||
3.00%, 10/30/24 | 95,000 | 97,211 | ||||||
3.63%, 12/5/24(b) | 44,000 | 45,581 | ||||||
3.30%, 5/3/27(c) | 10,000 | 10,323 | ||||||
4.05%, 12/3/42 | 18,000 | 19,796 | ||||||
American Financial Group, Inc. | 25,000 | 26,954 | ||||||
American Homes 4 Rent LP | 10,000 | 10,564 | ||||||
American Honda Finance Corp. | 40,000 | 40,207 | ||||||
2.90%, 2/16/24 | 5,000 | 5,096 | ||||||
1.00%, 9/10/25 | 15,000 | 14,376 | ||||||
2.30%, 9/9/26 | 5,000 | 5,004 | ||||||
American International Group, Inc. | 45,000 | 46,856 | ||||||
4.70%, 7/10/35 | 5,000 | 5,646 | ||||||
4.75%, 4/1/48 | 28,000 | 32,549 | ||||||
American Tower Corp. | 20,000 | 19,478 | ||||||
2.95%, 1/15/25 | 50,000 | 50,564 | ||||||
4.00%, 6/1/25 | 45,000 | 46,869 | ||||||
3.60%, 1/15/28 | 58,000 | 59,556 | ||||||
3.80%, 8/15/29 | 25,000 | 25,849 | ||||||
3.10%, 6/15/50 | 20,000 | 16,818 | ||||||
American Water Capital Corp. | 164,000 | 167,344 | ||||||
3.75%, 9/1/47 | 15,000 | 14,966 | ||||||
AmerisourceBergen Corp. | 18,000 | 18,470 | ||||||
3.45%, 12/15/27 | 25,000 | 26,009 | ||||||
4.30%, 12/15/47 | 50,000 | 52,558 | ||||||
Amgen, Inc. | 5,000 | 5,043 | ||||||
3.63%, 5/22/24 | 16,000 | 16,535 | ||||||
2.30%, 2/25/31(b) | 105,000 | 99,319 | ||||||
4.66%, 6/15/51 | 282,000 | 316,607 | ||||||
Anthem, Inc. | 180,000 | 185,216 | ||||||
3.65%, 12/1/27 | 25,000 | 26,247 | ||||||
6.38%, 6/15/37 | 18,000 | 23,840 | ||||||
4.63%, 5/15/42 | 85,000 | 95,476 | ||||||
4.65%, 1/15/43 | 40,000 | 44,985 | ||||||
4.65%, 8/15/44 | 15,000 | 16,907 | ||||||
3.13%, 5/15/50 | 352,000 | 321,503 | ||||||
Aon Corp. | 15,000 | 14,782 | ||||||
Apple, Inc. | 25,000 | 24,840 | ||||||
3.00%, 2/9/24 | 18,000 | 18,453 | ||||||
2.85%, 5/11/24 | 48,000 | 49,074 | ||||||
1.13%, 5/11/25 | 10,000 | 9,767 | ||||||
3.25%, 2/23/26 | 75,000 | 78,305 |
See Notes to Financial Statements.
58 | WisdomTree Trust |
Table of Contents
Schedule of Investments (unaudited) (continued)
WisdomTree Interest Rate Hedged U.S. Aggregate Bond Fund (AGZD)
February 28, 2022
Investments | Principal Amount | Value | ||||||
3.00%, 6/20/27 | $ | 23,000 | $ | 23,943 | ||||
2.20%, 9/11/29 | 75,000 | 73,648 | ||||||
1.65%, 5/11/30 | 55,000 | 51,482 | ||||||
4.45%, 5/6/44 | 18,000 | 21,081 | ||||||
4.38%, 5/13/45 | 18,000 | 20,918 | ||||||
3.85%, 8/4/46 | 36,000 | 39,090 | ||||||
3.75%, 11/13/47 | 48,000 | 51,478 | ||||||
2.65%, 5/11/50 | 60,000 | 53,451 | ||||||
2.55%, 8/20/60 | 270,000 | 225,418 | ||||||
Applied Materials, Inc. | 25,000 | 33,367 | ||||||
Ares Capital Corp. | 43,000 | 44,020 | ||||||
Arizona Public Service Co. | 300,000 | 291,762 | ||||||
Ascension Health | 49,000 | 63,526 | ||||||
Assurant, Inc. | 18,000 | 18,605 | ||||||
AT&T, Inc. | 25,000 | 25,853 | ||||||
3.80%, 2/15/27(b) | 64,000 | 67,644 | ||||||
4.25%, 3/1/27(b) | 25,000 | 26,958 | ||||||
4.30%, 2/15/30 | 300,000 | 326,850 | ||||||
2.75%, 6/1/31 | 100,000 | 97,334 | ||||||
2.25%, 2/1/32 | 26,000 | 24,021 | ||||||
4.30%, 12/15/42 | 175,000 | 182,199 | ||||||
4.35%, 6/15/45 | 321,000 | 333,397 | ||||||
4.75%, 5/15/46 | 10,000 | 11,142 | ||||||
5.45%, 3/1/47 | 10,000 | 12,183 | ||||||
3.65%, 6/1/51 | 12,000 | 11,366 | ||||||
3.50%, 9/15/53 | 100,000 | 91,705 | ||||||
3.55%, 9/15/55 | 55,000 | 49,938 | ||||||
3.80%, 12/1/57 | 75,000 | 70,630 | ||||||
3.50%, 2/1/61 | 10,000 | 8,843 | ||||||
Atmos Energy Corp. | 45,000 | 39,897 | ||||||
AutoNation, Inc. | 18,000 | 18,521 | ||||||
4.50%, 10/1/25 | 18,000 | 19,014 | ||||||
AutoZone, Inc. | 18,000 | 18,455 | ||||||
3.63%, 4/15/25 | 100,000 | 103,527 | ||||||
4.00%, 4/15/30 | 50,000 | 53,085 | ||||||
AvalonBay Communities, Inc. | 755,000 | 731,172 | ||||||
Avangrid, Inc. | 25,000 | 26,148 | ||||||
Avnet, Inc. | 475,000 | 452,618 | ||||||
AXIS Specialty Finance LLC | 50,000 | 52,448 | ||||||
Baker Hughes Holdings LLC / Baker Hughes Co-Obligor, Inc. | 48,000 | 49,512 | ||||||
Bank of America Corp. | 25,000 | 25,844 | ||||||
4.13%, 1/22/24 | 48,000 | 49,928 | ||||||
3.55%, 3/5/24, (3.55% fixed rate until 3/5/23; 3-month U.S. dollar London Interbank Offered Rate + 0.78% thereafter)(d) | 60,000 | 60,962 | ||||||
4.00%, 4/1/24 | 50,000 | 51,898 | ||||||
1.49%, 5/19/24, (1.486% fixed rate until 5/19/23; Secured Overnight Financing Rate + 1.46% thereafter)(d) | 40,000 | 39,761 | ||||||
3.86%, 7/23/24, (3.864% fixed rate until 7/23/23; 3-month U.S. dollar London Interbank Offered Rate + 0.94% thereafter)(d) | 305,000 | 312,238 | ||||||
4.20%, 8/26/24 | 48,000 | 49,987 | ||||||
0.81%, 10/24/24, (0.81% fixed rate until 10/24/23; Secured Overnight Financing Rate + 0.74% thereafter)(d) | 105,000 | 102,569 | ||||||
3.46%, 3/15/25, (3.458% fixed rate until 3/15/24; 3-month U.S. dollar London Interbank Offered Rate + 0.97% thereafter)(d) | 105,000 | 107,089 | ||||||
3.95%, 4/21/25, Series L | 29,000 | 30,071 | ||||||
2.46%, 10/22/25, (2.456% fixed rate until 10/22/24; 3-month U.S. dollar London Interbank Offered Rate + 0.87% thereafter)(d) | 50,000 | 49,910 | ||||||
3.50%, 4/19/26 | 71,000 | 73,663 | ||||||
1.32%, 6/19/26, (1.319% fixed rate until 6/19/25; Secured Overnight Financing Rate + 1.15% thereafter)(d) | 13,000 | 12,432 | ||||||
1.20%, 10/24/26, (1.197% fixed rate until 10/24/25; Secured Overnight Financing Rate + 1.01% thereafter)(d) | 210,000 | 198,679 | ||||||
1.66%, 3/11/27, Series N, (1.658% fixed rate until 3/11/26; Secured Overnight Financing Rate + 0.91% thereafter)(d) | 45,000 | 43,075 | ||||||
3.42%, 12/20/28, (3.419% fixed rate until 12/20/27; 3-month U.S. dollar London Interbank Offered Rate + 1.04% thereafter)(d) | 244,000 | 249,856 | ||||||
4.27%, 7/23/29, (4.271% fixed rate until 7/23/28; 3-month U.S. dollar London Interbank Offered Rate + 1.31% thereafter)(d) | 45,000 | 48,027 | ||||||
2.88%, 10/22/30, (2.884% fixed rate until 10/22/29; 3-month U.S. dollar London Interbank Offered Rate + 1.19% thereafter)(d) | 10,000 | 9,811 | ||||||
1.92%, 10/24/31, (1.922% fixed rate until 10/24/30; Secured Overnight Financing Rate + 1.37% thereafter)(d) | 310,000 | 280,748 | ||||||
4.24%, 4/24/38, (4.244% fixed rate until 4/24/37; 3-month U.S. dollar London Interbank Offered Rate + 1.814% thereafter)(d) | 10,000 | 10,940 | ||||||
2.68%, 6/19/41, (2.676% fixed rate until 6/19/40; Secured Overnight Financing Rate + 1.93% thereafter)(d) | 25,000 | 21,982 | ||||||
5.88%, 2/7/42 | 10,000 | 12,987 |
See Notes to Financial Statements.
WisdomTree Trust | 59 |
Table of Contents
Schedule of Investments (unaudited) (continued)
WisdomTree Interest Rate Hedged U.S. Aggregate Bond Fund (AGZD)
February 28, 2022
Investments | Principal Amount | Value | ||||||
5.00%, 1/21/44 | $ | 145,000 | $ | 170,797 | ||||
4.75%, 4/21/45, Series L | 10,000 | 11,330 | ||||||
4.44%, 1/20/48, (4.443% fixed rate until 1/20/47; 3-month U.S. dollar London Interbank Offered Rate + 1.99% thereafter)(d) | 10,000 | 11,214 | ||||||
3.95%, 1/23/49, (3.946% fixed rate until 1/23/48; 3-month U.S. dollar London Interbank Offered Rate + 1.19% thereafter)(d) | 18,000 | 18,836 | ||||||
2.83%, 10/24/51, (2.831% fixed rate until 10/24/50; Secured Overnight Financing Rate + 1.88% thereafter)(d) | 5,000 | 4,383 | ||||||
BankUnited, Inc. | 18,000 | 19,309 | ||||||
Baxalta, Inc. | 15,000 | 15,683 | ||||||
Baylor Scott & White Holdings | 24,000 | 26,823 | ||||||
Becton Dickinson and Co. | 37,000 | 36,488 | ||||||
4.69%, 12/15/44 | 25,000 | 27,991 | ||||||
Berkshire Hathaway Energy Co. | 95,000 | 100,427 | ||||||
3.25%, 4/15/28 | 23,000 | 23,854 | ||||||
3.70%, 7/15/30 | 50,000 | 52,945 | ||||||
6.13%, 4/1/36 | 25,000 | 31,923 | ||||||
5.15%, 11/15/43 | 25,000 | 29,143 | ||||||
3.80%, 7/15/48 | 36,000 | 36,159 | ||||||
Berkshire Hathaway Finance Corp. | 425,000 | 403,316 | ||||||
1.45%, 10/15/30(b) | 50,000 | 45,767 | ||||||
4.20%, 8/15/48 | 20,000 | 22,132 | ||||||
4.25%, 1/15/49 | 38,000 | 42,346 | ||||||
2.85%, 10/15/50 | 5,000 | 4,398 | ||||||
BGC Partners, Inc. | 10,000 | 10,192 | ||||||
Black Hills Corp. | 25,000 | 26,708 | ||||||
BlackRock, Inc. | 18,000 | 18,643 | ||||||
Boardwalk Pipelines LP | 5,000 | 5,286 | ||||||
4.45%, 7/15/27 | 18,000 | 19,018 | ||||||
3.40%, 2/15/31 | 15,000 | 14,727 | ||||||
Boeing Co. | 85,000 | 90,420 | ||||||
2.25%, 6/15/26 | 5,000 | 4,889 | ||||||
5.15%, 5/1/30 | 595,000 | 656,981 | ||||||
5.88%, 2/15/40 | 10,000 | 11,768 | ||||||
3.90%, 5/1/49 | 10,000 | 9,337 | ||||||
5.81%, 5/1/50 | 25,000 | 29,751 | ||||||
3.83%, 3/1/59 | 400,000 | 350,216 | ||||||
5.93%, 5/1/60 | 30,000 | 35,698 | ||||||
Booking Holdings, Inc. | 15,000 | 15,170 | ||||||
BorgWarner, Inc. | 12,000 | 11,982 | ||||||
Boston Properties LP | 19,000 | 19,308 | ||||||
3.65%, 2/1/26 | 5,000 | 5,182 | ||||||
2.75%, 10/1/26 | 24,000 | 24,081 | ||||||
2.90%, 3/15/30 | 25,000 | 24,408 | ||||||
BP Capital Markets America, Inc. | 478,000 | 483,860 | ||||||
3.41%, 2/11/26 | 25,000 | 25,913 | ||||||
3.12%, 5/4/26 | 5,000 | 5,141 | ||||||
3.59%, 4/14/27 | 15,000 | 15,699 | ||||||
4.23%, 11/6/28 | 10,000 | 10,823 | ||||||
3.38%, 2/8/61 | 220,000 | 194,172 | ||||||
Bristol-Myers Squibb Co. | 14,000 | 14,242 | ||||||
3.20%, 6/15/26 | 10,000 | 10,421 | ||||||
3.45%, 11/15/27 | 28,000 | 29,559 | ||||||
3.40%, 7/26/29 | 350,000 | 368,658 | ||||||
1.45%, 11/13/30 | 5,000 | 4,531 | ||||||
4.13%, 6/15/39 | 60,000 | 65,892 | ||||||
4.25%, 10/26/49 | 50,000 | 56,276 | ||||||
2.55%, 11/13/50 | 5,000 | 4,246 | ||||||
Brixmor Operating Partnership LP | 5,000 | 5,153 | ||||||
3.90%, 3/15/27 | 50,000 | 52,152 | ||||||
Broadcom Corp. / Broadcom Cayman Finance Ltd. | 81,000 | 83,124 | ||||||
3.88%, 1/15/27 | 23,000 | 23,970 | ||||||
3.50%, 1/15/28 | 5,000 | 5,109 | ||||||
Broadcom, Inc. | 70,000 | 73,457 | ||||||
2.45%, 2/15/31(c) | 70,000 | 64,698 | ||||||
Bunge Ltd. Finance Corp. | 15,000 | 14,567 | ||||||
Burlington Northern Santa Fe LLC | 18,000 | 18,418 | ||||||
7.00%, 12/15/25 | 22,000 | 25,696 | ||||||
6.15%, 5/1/37 | 10,000 | 13,313 | ||||||
5.15%, 9/1/43 | 48,000 | 59,258 | ||||||
3.90%, 8/1/46 | 5,000 | 5,313 | ||||||
Burlington Resources LLC | 14,000 | 19,487 | ||||||
Camden Property Trust | 25,000 | 25,540 | ||||||
2.80%, 5/15/30 | 25,000 | 24,791 | ||||||
Campbell Soup Co. | 20,000 | 21,374 | ||||||
Capital One Financial Corp. | 95,000 | 95,922 | ||||||
3.50%, 6/15/23 | 48,000 | 49,048 | ||||||
4.20%, 10/29/25 | 25,000 | 26,265 | ||||||
3.75%, 3/9/27 | 20,000 | 20,910 | ||||||
Cardinal Health, Inc. | 25,000 | 25,388 | ||||||
4.90%, 9/15/45 | 50,000 | 54,444 | ||||||
Carlisle Cos., Inc. | 18,000 | 18,811 |
See Notes to Financial Statements.
60 | WisdomTree Trust |
Table of Contents
Schedule of Investments (unaudited) (continued)
WisdomTree Interest Rate Hedged U.S. Aggregate Bond Fund (AGZD)
February 28, 2022
Investments | Principal Amount | Value | ||||||
Carrier Global Corp. | $ | 25,000 | $ | 24,317 | ||||
Caterpillar Financial Services Corp. | 33,000 | 34,250 | ||||||
Caterpillar, Inc. | 35,000 | 36,154 | ||||||
3.80%, 8/15/42 | 25,000 | 26,689 | ||||||
3.25%, 9/19/49 | 40,000 | 39,498 | ||||||
Cboe Global Markets, Inc. | 5,000 | 5,253 | ||||||
1.63%, 12/15/30(b) | 50,000 | 45,158 | ||||||
CBRE Services, Inc. | 30,000 | 32,624 | ||||||
CC Holdings GS V LLC / Crown Castle GS III Corp. | 30,000 | 30,731 | ||||||
CenterPoint Energy Resources Corp. | 5,000 | 5,221 | ||||||
Charles Schwab Corp. | 25,000 | 25,770 | ||||||
1.65%, 3/11/31 | 70,000 | 63,609 | ||||||
Charter Communications Operating LLC / Charter Communications Operating Capital | 18,000 | 18,739 | ||||||
5.05%, 3/30/29 | 375,000 | 409,462 | ||||||
2.30%, 2/1/32 | 505,000 | 449,086 | ||||||
6.38%, 10/23/35 | 5,000 | 5,987 | ||||||
6.48%, 10/23/45 | 15,000 | 17,908 | ||||||
5.13%, 7/1/49 | 20,000 | 20,384 | ||||||
3.70%, 4/1/51 | 24,000 | 20,223 | ||||||
6.83%, 10/23/55 | 73,000 | 90,768 | ||||||
3.85%, 4/1/61 | 14,000 | 11,593 | ||||||
Cheniere Corpus Christi Holdings LLC | 25,000 | 27,301 | ||||||
Chevron Corp. | 100,000 | 101,256 | ||||||
Chevron USA, Inc. | 100,000 | 98,561 | ||||||
3.90%, 11/15/24 | 5,000 | 5,247 | ||||||
0.69%, 8/12/25(b) | 15,000 | 14,332 | ||||||
3.25%, 10/15/29 | 26,000 | 27,154 | ||||||
Children’s Hospital Corp. | 25,000 | 28,506 | ||||||
Chubb INA Holdings, Inc. | 118,000 | 119,435 | ||||||
3.15%, 3/15/25 | 18,000 | 18,643 | ||||||
Church & Dwight Co., Inc. | 5,000 | 5,051 | ||||||
Cigna Corp. | 15,000 | 15,230 | ||||||
3.75%, 7/15/23 | 8,000 | 8,213 | ||||||
0.61%, 3/15/24 | 100,000 | 97,602 | ||||||
3.40%, 3/1/27 | 10,000 | 10,368 | ||||||
3.05%, 10/15/27 | 350,000 | 356,650 | ||||||
6.13%, 11/15/41 | 14,000 | 18,183 | ||||||
3.88%, 10/15/47 | 5,000 | 4,905 | ||||||
4.90%, 12/15/48 | 30,000 | 34,102 | ||||||
Cintas Corp. No. 2 | 5,000 | 5,009 | ||||||
3.25%, 6/1/22 | 28,000 | 28,079 | ||||||
3.70%, 4/1/27 | 23,000 | 24,311 | ||||||
Cisco Systems, Inc. | 36,000 | 36,377 | ||||||
3.63%, 3/4/24 | 35,000 | 36,333 | ||||||
5.90%, 2/15/39 | 40,000 | 53,222 | ||||||
Citigroup, Inc. | 9,000 | 9,223 | ||||||
5.50%, 9/13/25 | 10,000 | 10,917 | ||||||
3.70%, 1/12/26 | 9,000 | 9,410 | ||||||
3.40%, 5/1/26 | 10,000 | 10,311 | ||||||
3.20%, 10/21/26 | 130,000 | 132,593 | ||||||
1.12%, 1/28/27, (1.122% fixed rate until 1/28/26; Secured Overnight Financing Rate + 0.765% thereafter)(d) | 10,000 | 9,424 | ||||||
4.45%, 9/29/27 | 214,000 | 228,727 | ||||||
3.52%, 10/27/28, (3.52% fixed rate until 10/27/27; 3-month U.S. dollar London Interbank Offered Rate + 1.151% thereafter)(d) | 74,000 | 76,100 | ||||||
4.08%, 4/23/29, (4.075% fixed rate until 4/23/28; 3-month U.S. dollar London Interbank Offered Rate + 1.192% thereafter)(d) | 10,000 | 10,554 | ||||||
3.98%, 3/20/30, (3.98% fixed rate until 3/20/29; 3-month U.S. dollar London Interbank Offered Rate + 1.338% thereafter)(d) | 550,000 | 579,579 | ||||||
4.41%, 3/31/31, (4.412% fixed rate until 3/31/30; Secured Overnight Financing Rate + 3.914% thereafter)(d) | 20,000 | 21,720 | ||||||
2.57%, 6/3/31, (2.572% fixed rate until 6/3/30; Secured Overnight Financing Rate + 2.107% thereafter)(d) | 8,000 | 7,634 | ||||||
6.63%, 6/15/32 | 455,000 | 571,635 | ||||||
8.13%, 7/15/39 | 10,000 | 15,669 | ||||||
6.68%, 9/13/43 | 19,000 | 26,318 | ||||||
4.28%, 4/24/48, (4.281% fixed rate until 4/24/47; 3-month U.S. dollar London Interbank Offered Rate + 1.839% thereafter)(d) | 10,000 | 11,065 | ||||||
4.65%, 7/23/48 | 110,000 | 128,639 | ||||||
Citizens Financial Group, Inc. | 25,000 | 25,295 | ||||||
Citrix Systems, Inc. | 30,000 | 30,159 | ||||||
Cleco Corporate Holdings LLC | 23,000 | 23,955 | ||||||
Clorox Co. | 40,000 | 41,511 | ||||||
CME Group, Inc. | 105,000 | 107,847 | ||||||
5.30%, 9/15/43 | 5,000 | 6,406 | ||||||
4.15%, 6/15/48 | 5,000 | 5,749 | ||||||
CNH Industrial Capital LLC | 5,000 | 5,016 |
See Notes to Financial Statements.
WisdomTree Trust | 61 |
Table of Contents
Schedule of Investments (unaudited) (continued)
WisdomTree Interest Rate Hedged U.S. Aggregate Bond Fund (AGZD)
February 28, 2022
Investments | Principal Amount | Value | ||||||
Coca-Cola Co. | $ | 248,000 | $ | 242,132 | ||||
2.60%, 6/1/50 | 5,000 | 4,393 | ||||||
2.50%, 3/15/51 | 5,000 | 4,295 | ||||||
2.75%, 6/1/60 | 50,000 | 43,861 | ||||||
Comcast Corp. | 23,000 | 23,854 | ||||||
2.35%, 1/15/27 | 20,000 | 19,962 | �� | |||||
3.30%, 2/1/27 | 28,000 | 29,097 | ||||||
3.55%, 5/1/28 | 99,000 | 103,831 | ||||||
6.45%, 3/15/37 | 27,000 | 36,335 | ||||||
4.60%, 10/15/38(b) | 15,000 | 16,865 | ||||||
3.40%, 7/15/46 | 10,000 | 9,604 | ||||||
4.00%, 8/15/47 | 40,000 | 41,737 | ||||||
3.97%, 11/1/47 | 328,000 | 339,792 | ||||||
4.70%, 10/15/48 | 17,000 | 19,598 | ||||||
4.00%, 11/1/49 | 100,000 | 104,013 | ||||||
4.05%, 11/1/52 | 278,000 | 294,193 | ||||||
4.95%, 10/15/58(b) | 28,000 | 34,170 | ||||||
CommonSpirit Health | 27,000 | 27,363 | ||||||
4.35%, 11/1/42 | 10,000 | 10,473 | ||||||
Commonwealth Edison Co. | 15,000 | 17,369 | ||||||
Conagra Brands, Inc. | 25,000 | 22,995 | ||||||
7.00%, 10/1/28 | 19,000 | 23,410 | ||||||
Connecticut Light & Power Co. | 15,000 | 16,606 | ||||||
ConocoPhillips | 25,000 | 27,408 | ||||||
6.50%, 2/1/39 | 54,000 | 75,002 | ||||||
Consolidated Edison Co. of New York, Inc. | 20,000 | 19,985 | ||||||
4.00%, 11/15/57, Series C | 43,000 | 43,329 | ||||||
Constellation Brands, Inc. | 75,000 | 75,109 | ||||||
5.25%, 11/15/48 | 19,000 | 22,153 | ||||||
Consumers Energy Co. | 50,000 | 53,019 | ||||||
Corning, Inc. | 50,000 | 52,739 | ||||||
5.85%, 11/15/68 | 18,000 | 23,287 | ||||||
5.45%, 11/15/79 | 10,000 | 11,598 | ||||||
Costco Wholesale Corp. | 5,000 | 5,188 | ||||||
1.60%, 4/20/30 | 40,000 | 37,105 | ||||||
1.75%, 4/20/32 | 30,000 | 27,677 | ||||||
Crown Castle International Corp. | 18,000 | 18,322 | ||||||
4.30%, 2/15/29 | 55,000 | 58,552 | ||||||
3.30%, 7/1/30 | 25,000 | 24,825 | ||||||
4.75%, 5/15/47 | 50,000 | 55,098 | ||||||
3.25%, 1/15/51 | 15,000 | 13,008 | ||||||
CSX Corp. | 50,000 | 48,599 | ||||||
4.30%, 3/1/48 | 45,000 | 49,575 | ||||||
4.50%, 8/1/54 | 18,000 | 20,629 | ||||||
CVS Health Corp. | 48,000 | 56,160 | ||||||
3.25%, 8/15/29 | 25,000 | 25,446 | ||||||
1.88%, 2/28/31 | 105,000 | 95,525 | ||||||
4.88%, 7/20/35 | 48,000 | 55,235 | ||||||
4.78%, 3/25/38 | 25,000 | 28,001 | ||||||
5.30%, 12/5/43 | 48,000 | 57,176 | ||||||
5.05%, 3/25/48 | 60,000 | 70,133 | ||||||
CyrusOne LP / CyrusOne Finance Corp. | 25,000 | 26,588 | ||||||
D.R. Horton, Inc. | 18,000 | 18,172 | ||||||
Danaher Corp. | 5,000 | 4,277 | ||||||
Darden Restaurants, Inc. | 68,000 | 71,645 | ||||||
Dell International LLC / EMC Corp. | 43,000 | 44,764 | ||||||
6.02%, 6/15/26 | 15,000 | 16,780 | ||||||
4.90%, 10/1/26 | 25,000 | 27,112 | ||||||
8.35%, 7/15/46 | 12,000 | 18,276 | ||||||
Devon Energy Corp. | 15,000 | 17,549 | ||||||
Digital Realty Trust LP | 50,000 | 51,547 | ||||||
Dignity Health | 25,000 | 31,282 | ||||||
Discover Financial Services | 35,000 | 36,729 | ||||||
Discovery Communications LLC | 10,000 | 10,880 | ||||||
4.00%, 9/15/55 | 47,000 | 42,817 | ||||||
Dollar General Corp. | 50,000 | 51,279 | ||||||
Dollar Tree, Inc. | 50,000 | 53,458 | ||||||
Dominion Energy South Carolina, Inc. | 34,000 | 42,563 | ||||||
Dominion Energy, Inc. | 5,000 | 5,226 | ||||||
5.95%, 6/15/35, Series B | 5,000 | 6,137 | ||||||
4.60%, 3/15/49, Series A | 25,000 | 27,838 | ||||||
Dover Corp. | 23,000 | 23,744 | ||||||
Dow Chemical Co. | 3,000 | 3,892 | ||||||
4.25%, 10/1/34 | 17,000 | 18,406 | ||||||
9.40%, 5/15/39 | 15,000 | 25,287 | ||||||
4.38%, 11/15/42 | 5,000 | 5,362 | ||||||
DTE Electric Co. | 65,000 | 62,653 | ||||||
3.75%, 8/15/47 | 50,000 | 51,695 | ||||||
Duke Energy Carolinas LLC | 48,000 | 48,471 | ||||||
Duke Energy Corp. | 170,000 | 173,730 |
See Notes to Financial Statements.
62 | WisdomTree Trust |
Table of Contents
Schedule of Investments (unaudited) (continued)
WisdomTree Interest Rate Hedged U.S. Aggregate Bond Fund (AGZD)
February 28, 2022
Investments | Principal Amount | Value | ||||||
Duke Energy Florida LLC | $ | 43,500 | $ | 58,332 | ||||
Duke Energy Indiana LLC | 415,000 | 354,783 | ||||||
Duke Energy Ohio, Inc. | 18,000 | 18,456 | ||||||
Duke Realty LP | 46,000 | 40,791 | ||||||
Eastman Chemical Co. | 48,000 | 52,788 | ||||||
Eaton Vance Corp. | 18,000 | 18,702 | ||||||
eBay, Inc. | 15,000 | 15,150 | ||||||
Ecolab, Inc. | 5,000 | 5,095 | ||||||
3.25%, 12/1/27 | 25,000 | 26,218 | ||||||
Emerson Electric Co. | 35,000 | 33,756 | ||||||
Enbridge Energy Partners LP | 5,000 | 5,539 | ||||||
Energy Transfer LP | 25,000 | 25,491 | ||||||
4.20%, 9/15/23, Series 5Y | 5,000 | 5,147 | ||||||
5.88%, 1/15/24 | 40,000 | 42,262 | ||||||
4.25%, 4/1/24 | 20,000 | 20,672 | ||||||
4.50%, 4/15/24 | 30,000 | 31,255 | ||||||
3.90%, 5/15/24 | 48,000 | 49,333 | ||||||
3.90%, 7/15/26 | 5,000 | 5,176 | ||||||
4.20%, 4/15/27 | 20,000 | 20,852 | ||||||
4.90%, 3/15/35 | 38,000 | 40,038 | ||||||
6.63%, 10/15/36 | 94,000 | 111,429 | ||||||
Entergy Louisiana LLC | 15,000 | 15,384 | ||||||
4.00%, 3/15/33 | 85,000 | 91,772 | ||||||
4.20%, 9/1/48 | 40,000 | 43,259 | ||||||
Entergy Texas, Inc. | 200,000 | 180,594 | ||||||
3.55%, 9/30/49 | 25,000 | 23,943 | ||||||
Enterprise Products Operating LLC | 82,000 | 83,129 | ||||||
6.88%, 3/1/33, Series D | 44,000 | 56,731 | ||||||
4.45%, 2/15/43 | 65,000 | 67,240 | ||||||
4.25%, 2/15/48 | 344,000 | 350,137 | ||||||
Equinix, Inc. | 30,000 | 24,710 | ||||||
Equitable Holdings, Inc. | 339,000 | 363,201 | ||||||
ERP Operating LP | 19,000 | 19,245 | ||||||
3.00%, 7/1/29 | 50,000 | 50,617 | ||||||
Essex Portfolio LP | 25,000 | 22,189 | ||||||
2.65%, 9/1/50 | 30,000 | 24,256 | ||||||
Estee Lauder Cos., Inc. | 25,000 | 25,130 | ||||||
1.95%, 3/15/31(b) | 40,000 | 37,696 | ||||||
Eversource Energy | 15,000 | 16,152 | ||||||
Exelon Corp. | 33,000 | 38,429 | ||||||
4.70%, 4/15/50 | 25,000 | 28,383 | ||||||
Expedia Group, Inc. | 5,000 | 5,145 | ||||||
Exxon Mobil Corp. | 25,000 | 25,302 | ||||||
1.57%, 4/15/23(b) | 25,000 | 25,072 | ||||||
2.02%, 8/16/24 | 10,000 | 10,059 | ||||||
3.04%, 3/1/26 | 23,000 | 23,813 | ||||||
2.28%, 8/16/26(b) | 50,000 | 50,280 | ||||||
2.44%, 8/16/29(b) | 15,000 | 14,776 | ||||||
2.61%, 10/15/30 | 60,000 | 59,534 | ||||||
4.33%, 3/19/50 | 350,000 | 397,243 | ||||||
FedEx Corp. | 18,000 | 19,701 | ||||||
3.90%, 2/1/35 | 19,000 | 19,933 | ||||||
3.88%, 8/1/42 | 5,000 | 5,002 | ||||||
4.75%, 11/15/45 | 5,000 | 5,575 | ||||||
4.40%, 1/15/47 | 63,000 | 67,135 | ||||||
Fifth Third Bancorp | 20,000 | 19,969 | ||||||
3.95%, 3/14/28 | 25,000 | 26,571 | ||||||
8.25%, 3/1/38 | 20,000 | 30,450 | ||||||
Fiserv, Inc. | 55,000 | 56,213 | ||||||
4.20%, 10/1/28 | 15,000 | 16,006 | ||||||
Florida Power & Light Co. | 5,000 | 5,185 | ||||||
4.13%, 6/1/48 | 53,000 | 59,329 | ||||||
Fortune Brands Home & Security, Inc. | 25,000 | 25,723 | ||||||
3.25%, 9/15/29 | 15,000 | 15,256 | ||||||
Fox Corp. | 25,000 | 29,205 | ||||||
Franklin Resources, Inc. | 25,000 | 25,519 | ||||||
GE Capital International Funding Co. Unlimited Co. | 100,000 | 112,766 | ||||||
General Dynamics Corp. | 23,000 | 24,493 | ||||||
4.25%, 4/1/40 | 35,000 | 39,225 | ||||||
General Electric Co. | 378,000 | 488,467 | ||||||
5.88%, 1/14/38 | 24,000 | 30,171 | ||||||
General Mills, Inc. | 15,000 | 15,438 | ||||||
3.00%, 2/1/51 | 28,000 | 25,483 | ||||||
General Motors Co. | 71,000 | 74,923 | ||||||
General Motors Financial Co., Inc. | 101,000 | 104,576 | ||||||
4.35%, 4/9/25 | 490,000 | 512,912 | ||||||
4.30%, 7/13/25 | 30,000 | 31,337 |
See Notes to Financial Statements.
WisdomTree Trust | 63 |
Table of Contents
Schedule of Investments (unaudited) (continued)
WisdomTree Interest Rate Hedged U.S. Aggregate Bond Fund (AGZD)
February 28, 2022
Investments | Principal Amount | Value | ||||||
4.35%, 1/17/27 | $ | 30,000 | $ | 31,636 | ||||
2.35%, 1/8/31 | 100,000 | 90,768 | ||||||
George Washington University | 26,000 | 29,314 | ||||||
Georgia Power Co. | 172,000 | 172,863 | ||||||
3.25%, 4/1/26 | 25,000 | 25,728 | ||||||
4.30%, 3/15/43 | 289,000 | 299,190 | ||||||
Georgia-Pacific LLC | 350,000 | 389,784 | ||||||
7.75%, 11/15/29 | 5,000 | 6,669 | ||||||
Gilead Sciences, Inc. | 5,000 | 5,174 | ||||||
3.65%, 3/1/26 | 69,000 | 72,047 | ||||||
1.20%, 10/1/27 | 50,000 | 46,539 | ||||||
5.65%, 12/1/41 | 38,000 | 47,645 | ||||||
4.80%, 4/1/44 | 25,000 | 28,416 | ||||||
4.50%, 2/1/45 | 488,000 | 535,468 | ||||||
Global Payments, Inc. | 23,000 | 23,427 | ||||||
GLP Capital LP / GLP Financing II, Inc. | 18,000 | 18,773 | ||||||
5.25%, 6/1/25 | 15,000 | 15,881 | ||||||
5.75%, 6/1/28 | 23,000 | 25,466 | ||||||
Goldman Sachs Capital I | 19,000 | 23,828 | ||||||
Goldman Sachs Group, Inc. | 15,000 | 15,542 | ||||||
3.50%, 1/23/25 | 25,000 | 25,731 | ||||||
3.27%, 9/29/25, (3.272% fixed rate until 9/29/24; 3-month U.S. dollar London Interbank Offered Rate + 1.201% thereafter)(d) | 25,000 | 25,461 | ||||||
3.75%, 2/25/26(b) | 50,000 | 52,103 | ||||||
5.95%, 1/15/27 | 23,000 | 25,996 | ||||||
3.85%, 1/26/27 | 15,000 | 15,631 | ||||||
3.69%, 6/5/28, (3.691% fixed rate until 6/5/27; 3-month U.S. dollar London Interbank Offered Rate + 1.51% thereafter)(d) | 23,000 | 23,827 | ||||||
3.81%, 4/23/29, (3.814% fixed rate until 4/23/28; 3-month U.S. dollar London Interbank Offered Rate + 1.158% thereafter)(d) | 21,000 | 21,825 | ||||||
4.22%, 5/1/29, (4.223% fixed rate until 5/1/28; 3-month U.S. dollar London Interbank Offered Rate + 1.301% thereafter)(d) | 100,000 | 106,132 | ||||||
3.80%, 3/15/30 | 10,000 | 10,429 | ||||||
6.13%, 2/15/33 | 9,000 | 11,168 | ||||||
6.45%, 5/1/36 | 22,000 | 28,118 | ||||||
6.75%, 10/1/37 | 25,000 | 32,861 | ||||||
4.02%, 10/31/38, (4.017% fixed rate until 10/31/37; 3-month U.S. dollar London Interbank Offered Rate + 1.373% thereafter)(d) | 10,000 | 10,567 | ||||||
4.41%, 4/23/39, (4.411% fixed rate until 4/23/38; 3-month U.S. dollar London Interbank Offered Rate + 1.43% thereafter)(d) | 5,000 | 5,425 | ||||||
6.25%, 2/1/41 | 10,000 | 13,160 | ||||||
5.15%, 5/22/45 | 53,000 | 62,369 | ||||||
Hackensack Meridian Health, Inc. | 40,000 | 35,964 | ||||||
Halliburton Co. | 18,000 | 23,288 | ||||||
4.50%, 11/15/41 | 290,000 | 301,121 | ||||||
Hasbro, Inc. | 20,000 | 20,672 | ||||||
3.50%, 9/15/27 | 15,000 | 15,441 | ||||||
HCA, Inc. | 36,000 | 37,089 | ||||||
4.13%, 6/15/29 | 50,000 | 52,500 | ||||||
Healthcare Trust of America Holdings LP | 5,000 | 5,267 | ||||||
Healthpeak Properties, Inc. | 40,000 | 56,037 | ||||||
Hershey Co. | 93,000 | 93,774 | ||||||
Hess Corp. | 30,000 | 31,754 | ||||||
7.88%, 10/1/29 | 200,000 | 258,668 | ||||||
7.13%, 3/15/33 | 25,000 | 31,898 | ||||||
6.00%, 1/15/40 | 48,000 | 57,254 | ||||||
Hewlett Packard Enterprise Co. | 23,000 | 27,563 | ||||||
Home Depot, Inc. | 23,000 | 23,566 | ||||||
0.90%, 3/15/28(b) | 100,000 | 91,982 | ||||||
1.38%, 3/15/31(b) | 100,000 | 89,587 | ||||||
5.88%, 12/16/36 | 15,000 | 19,833 | ||||||
4.20%, 4/1/43 | 25,000 | 27,805 | ||||||
4.88%, 2/15/44 | 11,000 | 13,234 | ||||||
Honeywell International, Inc. | 10,000 | 10,140 | ||||||
2.70%, 8/15/29(b) | 510,000 | 514,493 | ||||||
Hormel Foods Corp. | 30,000 | 28,047 | ||||||
HP, Inc. | 25,000 | 25,225 | ||||||
Hubbell, Inc. | 48,000 | 49,196 | ||||||
Hudson Pacific Properties LP | 5,000 | 5,205 | ||||||
Humana, Inc. | 23,000 | 26,506 | ||||||
Huntington Bancshares, Inc. | 25,000 | 26,149 | ||||||
Huntington Ingalls Industries, Inc. | 15,000 | 15,529 | ||||||
Hyatt Hotels Corp. | 48,000 | 48,614 |
See Notes to Financial Statements.
64 | WisdomTree Trust |
Table of Contents
Schedule of Investments (unaudited) (continued)
WisdomTree Interest Rate Hedged U.S. Aggregate Bond Fund (AGZD)
February 28, 2022
Investments | Principal Amount | Value | ||||||
Illinois Tool Works, Inc. | $ | 65,000 | $ | 66,498 | ||||
Intel Corp. | 25,000 | 26,178 | ||||||
3.75%, 3/25/27 | 50,000 | 53,211 | ||||||
3.90%, 3/25/30(b) | 25,000 | 26,968 | ||||||
4.10%, 5/19/46 | 45,000 | 48,186 | ||||||
4.10%, 5/11/47 | 18,000 | 19,292 | ||||||
3.25%, 11/15/49 | 20,000 | 18,713 | ||||||
4.75%, 3/25/50 | 45,000 | 52,880 | ||||||
Intercontinental Exchange, Inc. | 5,000 | 5,250 | ||||||
3.10%, 9/15/27 | 5,000 | 5,137 | ||||||
International Business Machines Corp. | 100,000 | 104,357 | ||||||
6.22%, 8/1/27 | 49,000 | 58,273 | ||||||
5.88%, 11/29/32 | 24,000 | 30,103 | ||||||
4.00%, 6/20/42 | 300,000 | 316,194 | ||||||
4.25%, 5/15/49(b) | 20,000 | 22,004 | ||||||
International Flavors & Fragrances, Inc. | 5,000 | 5,713 | ||||||
International Paper Co. | 25,000 | 35,279 | ||||||
4.80%, 6/15/44 | 4,000 | 4,539 | ||||||
4.35%, 8/15/48 | 19,000 | 20,693 | ||||||
Invesco Finance PLC | 18,000 | 18,602 | ||||||
ITC Holdings Corp. | 15,000 | 18,288 | ||||||
Jabil, Inc. | 50,000 | 52,304 | ||||||
Janus Henderson US Holdings, Inc. | 18,000 | 19,236 | ||||||
Jefferies Group LLC | 25,000 | 29,330 | ||||||
John Deere Capital Corp. | 24,000 | 24,335 | ||||||
3.45%, 6/7/23 | 5,000 | 5,124 | ||||||
3.45%, 3/13/25(b) | 25,000 | 26,043 | ||||||
2.80%, 9/8/27 | 37,000 | 37,966 | ||||||
2.45%, 1/9/30 | 35,000 | 34,634 | ||||||
Johnson & Johnson | 48,000 | 49,043 | ||||||
2.95%, 3/3/27 | 21,000 | 21,806 | ||||||
3.55%, 3/1/36 | 14,000 | 15,095 | ||||||
3.40%, 1/15/38 | 25,000 | 25,989 | ||||||
4.50%, 9/1/40 | 19,000 | 22,268 | ||||||
3.70%, 3/1/46 | 22,000 | 23,672 | ||||||
Johnson Controls International PLC | 18,000 | 23,177 | ||||||
JPMorgan Chase & Co. | 50,000 | 51,880 | ||||||
3.56%, 4/23/24, (3.559% fixed rate until 4/23/23; 3-month U.S. dollar London Interbank Offered Rate + 0.73% thereafter)(d) | 5,000 | 5,092 | ||||||
3.80%, 7/23/24, (3.797% fixed rate until 7/23/23; 3-month U.S. dollar London Interbank Offered Rate + 0.89% thereafter)(d) | 10,000 | 10,241 | ||||||
0.56%, 2/16/25, (0.563% fixed rate until 2/16/24; Secured Overnight Financing Rate + 0.42% thereafter)(d) | 100,000 | 97,101 | ||||||
3.22%, 3/1/25, (3.22% fixed rate until 3/1/24; 3-month U.S. dollar London Interbank Offered Rate + 1.155% thereafter)(d) | 40,000 | 40,712 | ||||||
2.01%, 3/13/26, (2.005% fixed rate until 3/13/25; Secured Overnight Financing Rate + 1.585% thereafter)(d) | 375,000 | 369,034 | ||||||
3.30%, 4/1/26 | 10,000 | 10,317 | ||||||
1.05%, 11/19/26, (1.045% fixed rate until 11/19/25; Secured Overnight Financing Rate + 0.80% thereafter)(d) | 50,000 | 47,041 | ||||||
3.54%, 5/1/28, (3.54% fixed rate until 5/1/27; 3-month U.S. dollar London Interbank Offered Rate + 1.38% thereafter)(d) | 50,000 | 51,689 | ||||||
3.51%, 1/23/29, (3.509% fixed rate until 1/23/28; 3-month U.S. dollar London Interbank Offered Rate + 0.945% thereafter)(d) | 23,000 | 23,650 | ||||||
4.20%, 7/23/29, (4.203% fixed rate until 7/23/28; 3-month U.S. dollar London Interbank Offered Rate + 1.26% thereafter)(d) | 45,000 | 47,965 | ||||||
4.45%, 12/5/29, (4.452% fixed rate until 12/5/28; 3-month U.S. dollar London Interbank Offered Rate + 1.33% thereafter)(d) | 18,000 | 19,473 | ||||||
3.70%, 5/6/30, (3.702% fixed rate until 5/6/29; 3-month U.S. dollar London Interbank Offered Rate + 1.16% thereafter)(d) | 15,000 | 15,586 | ||||||
4.49%, 3/24/31, (4.493% fixed rate until 3/24/30; Secured Overnight Financing Rate + 3.79% thereafter)(d) | 15,000 | 16,473 | ||||||
2.52%, 4/22/31, (2.522% fixed rate until 4/22/30; Secured Overnight Financing Rate + 2.04% thereafter)(d) | 15,000 | 14,427 | ||||||
1.76%, 11/19/31, (1.764% fixed rate until 11/19/30; Secured Overnight Financing Rate + 1.105% thereafter)(d) | 155,000 | 139,568 | ||||||
6.40%, 5/15/38 | 10,000 | 13,454 | ||||||
2.53%, 11/19/41, (2.525% fixed rate until 11/19/40; Secured Overnight Financing Rate + 1.51% thereafter)(d) | 65,000 | 56,360 | ||||||
5.63%, 8/16/43 | 318,000 | 401,628 | ||||||
4.85%, 2/1/44 | 25,000 | 29,761 | ||||||
3.90%, 1/23/49, (3.897% fixed rate until 1/23/48; 3-month U.S. dollar London Interbank Offered Rate + 1.22% thereafter)(d) | 48,000 | 50,132 | ||||||
3.11%, 4/22/51, (3.109% fixed rate until 4/22/50; Secured Overnight Financing Rate + 2.44% thereafter)(d) | 80,000 | 74,303 |
See Notes to Financial Statements.
WisdomTree Trust | 65 |
Table of Contents
Schedule of Investments (unaudited) (continued)
WisdomTree Interest Rate Hedged U.S. Aggregate Bond Fund (AGZD)
February 28, 2022
Investments | Principal Amount | Value | ||||||
Kaiser Foundation Hospitals | $ | 24,000 | $ | 24,899 | ||||
4.15%, 5/1/47 | 9,000 | 10,140 | ||||||
3.00%, 6/1/51, Series 2021 | 10,000 | 9,295 | ||||||
Kansas City Southern | 430,000 | 504,454 | ||||||
Kellogg Co. | 100,000 | 103,720 | ||||||
Keurig Dr. Pepper, Inc. | 25,000 | 25,515 | ||||||
2.55%, 9/15/26 | 8,000 | 8,012 | ||||||
4.42%, 12/15/46 | 48,000 | 51,383 | ||||||
KeyCorp | 244,000 | 259,121 | ||||||
2.55%, 10/1/29 | 13,000 | 12,647 | ||||||
Keysight Technologies, Inc. | 25,000 | 27,304 | ||||||
Kimberly-Clark Corp. | 35,000 | 32,878 | ||||||
3.90%, 5/4/47 | 50,000 | 54,292 | ||||||
Kimco Realty Corp. | 18,000 | 18,486 | ||||||
2.80%, 10/1/26 | 5,000 | 5,029 | ||||||
3.70%, 10/1/49 | 300,000 | 292,473 | ||||||
Kinder Morgan Energy Partners LP | 5,000 | 5,055 | ||||||
3.50%, 9/1/23 | 5,000 | 5,099 | ||||||
4.30%, 5/1/24 | 10,000 | 10,378 | ||||||
5.50%, 3/1/44 | 18,000 | 20,253 | ||||||
5.40%, 9/1/44 | 19,000 | 21,230 | ||||||
Kinder Morgan, Inc. | 35,000 | 37,321 | ||||||
7.75%, 1/15/32 | 5,000 | 6,625 | ||||||
5.30%, 12/1/34 | 600,000 | 676,980 | ||||||
5.55%, 6/1/45 | 15,000 | 17,208 | ||||||
KLA Corp. | 15,000 | 15,884 | ||||||
3.30%, 3/1/50 | 25,000 | 23,713 | ||||||
Kroger Co. | 64,000 | 67,479 | ||||||
5.15%, 8/1/43 | 18,000 | 21,050 | ||||||
5.40%, 1/15/49 | 19,000 | 23,655 | ||||||
Laboratory Corp. of America Holdings | 411,000 | 411,197 | ||||||
Lam Research Corp. | 19,000 | 20,615 | ||||||
Legg Mason, Inc. | 5,000 | 6,261 | ||||||
Linde, Inc. | 25,000 | 25,970 | ||||||
2.00%, 8/10/50 | 15,000 | 11,925 | ||||||
Lockheed Martin Corp. | 39,000 | 51,669 | ||||||
4.09%, 9/15/52 | 24,000 | 26,633 | ||||||
Lowe’s Cos., Inc. | 5,000 | 5,010 | ||||||
2.50%, 4/15/26 | 30,000 | 30,332 | ||||||
2.63%, 4/1/31(b) | 10,000 | 9,672 | ||||||
4.05%, 5/3/47 | 15,000 | 15,434 | ||||||
Lubrizol Corp. | 39,000 | 53,384 | ||||||
LYB International Finance BV | 5,000 | 5,513 | ||||||
LYB International Finance III LLC | 5,000 | 4,544 | ||||||
LyondellBasell Industries NV | 20,000 | 21,198 | ||||||
Magellan Midstream Partners LP | 13,000 | 12,889 | ||||||
Main Street Capital Corp. | 25,000 | 25,823 | ||||||
Marathon Oil Corp. | 5,000 | 6,162 | ||||||
Marathon Petroleum Corp. | 25,000 | 31,881 | ||||||
5.00%, 9/15/54 | 50,000 | 54,027 | ||||||
Marriott International, Inc. | 320,000 | 319,469 | ||||||
Marsh & McLennan Cos., Inc. | 18,000 | 18,284 | ||||||
3.75%, 3/14/26 | 40,000 | 42,252 | ||||||
4.20%, 3/1/48 | 5,000 | 5,416 | ||||||
4.90%, 3/15/49 | 20,000 | 23,999 | ||||||
Martin Marietta Materials, Inc. | 35,000 | 36,570 | ||||||
3.50%, 12/15/27 | 5,000 | 5,260 | ||||||
Marvell Technology, Inc. | 5,000 | 5,143 | ||||||
4.88%, 6/22/28 | 15,000 | 16,405 | ||||||
Mass General Brigham, Inc. | 300,000 | 291,444 | ||||||
3.34%, 7/1/60, Series 2020 | 25,000 | 23,626 | ||||||
Massachusetts Institute of Technology | 19,000 | 20,366 | ||||||
Mastercard, Inc. | 20,000 | 21,190 | ||||||
McCormick & Co., Inc. | 50,000 | 55,399 | ||||||
McDonald’s Corp. | 5,000 | 5,185 | ||||||
6.30%, 10/15/37 | 19,000 | 25,223 | ||||||
3.70%, 2/15/42 | 159,000 | 158,610 | ||||||
4.45%, 3/1/47 | 15,000 | 16,475 | ||||||
3.63%, 9/1/49 | 40,000 | 39,420 | ||||||
4.20%, 4/1/50 | 285,000 | 305,420 | ||||||
Medtronic, Inc. | 10,000 | 11,482 | ||||||
Merck & Co., Inc. | 25,000 | 25,436 | ||||||
6.50%, 12/1/33 | 50,000 | 67,615 | ||||||
2.35%, 6/24/40 | 5,000 | 4,410 | ||||||
2.45%, 6/24/50(b) | 5,000 | 4,273 | ||||||
MetLife, Inc. | 69,000 | 72,242 |
See Notes to Financial Statements.
66 | WisdomTree Trust |
Table of Contents
Schedule of Investments (unaudited) (continued)
WisdomTree Interest Rate Hedged U.S. Aggregate Bond Fund (AGZD)
February 28, 2022
Investments | Principal Amount | Value | ||||||
Microsoft Corp. | $ | 69,000 | $ | 70,154 | ||||
3.30%, 2/6/27 | 92,000 | 97,305 | ||||||
4.10%, 2/6/37 | 48,000 | 54,996 | ||||||
4.50%, 10/1/40 | 75,000 | 90,211 | ||||||
3.70%, 8/8/46 | 12,000 | 12,995 | ||||||
4.25%, 2/6/47(b) | 18,000 | 21,281 | ||||||
2.53%, 6/1/50 | 415,000 | 369,134 | ||||||
2.92%, 3/17/52 | 50,000 | 47,882 | ||||||
4.50%, 2/6/57(b) | 18,000 | 22,590 | ||||||
MidAmerican Energy Co. | 15,000 | 17,515 | ||||||
3.15%, 4/15/50 | 9,000 | 8,513 | ||||||
Molson Coors Beverage Co. | 30,000 | 32,956 | ||||||
Mondelez International, Inc. | 50,000 | 48,734 | ||||||
Moody’s Corp. | 18,000 | 18,682 | ||||||
2.55%, 8/18/60 | 10,000 | 7,590 | ||||||
Morgan Stanley | 50,000 | 51,325 | ||||||
3.74%, 4/24/24, (3.737% fixed rate until 4/24/23; 3-month U.S. dollar London Interbank Offered Rate + 0.847% thereafter)(d) | 30,000 | 30,584 | ||||||
3.88%, 4/29/24, Series F | 15,000 | 15,509 | ||||||
3.70%, 10/23/24 | 67,000 | 69,326 | ||||||
2.72%, 7/22/25, (2.72% fixed rate until 7/22/24; Secured Overnight Financing Rate + 1.152% thereafter)(d) | 325,000 | 326,950 | ||||||
4.00%, 7/23/25 | 9,000 | 9,440 | ||||||
3.88%, 1/27/26 | 11,000 | 11,490 | ||||||
3.13%, 7/27/26 | 9,000 | 9,173 | ||||||
4.35%, 9/8/26 | 515,000 | 547,373 | ||||||
3.59%, 7/22/28, (3.591% fixed rate until 7/22/27; 3-month U.S. dollar London Interbank Offered Rate + 1.34% thereafter)(d) | 172,000 | 177,826 | ||||||
3.77%, 1/24/29, (3.772% fixed rate until 1/24/28; 3-month U.S. dollar London Interbank Offered Rate + 1.14% thereafter)(d) | 264,000 | 274,404 | ||||||
4.43%, 1/23/30, (4.431% fixed rate until 1/23/29; 3-month U.S. dollar London Interbank Offered Rate + 1.628% thereafter)(d) | 45,000 | 48,603 | ||||||
2.70%, 1/22/31, (2.699% fixed rate until 1/22/30; Secured Overnight Financing Rate + 1.143% thereafter)(d) | 15,000 | 14,560 | ||||||
3.62%, 4/1/31, (3.622% fixed rate until 4/1/30; Secured Overnight Financing Rate + 3.12% thereafter)(d) | 15,000 | 15,506 | ||||||
3.97%, 7/22/38, (3.971% fixed rate until 7/22/37; 3-month U.S. dollar London Interbank Offered Rate + 1.455% thereafter)(d) | 19,000 | 20,039 | ||||||
4.38%, 1/22/47 | 14,000 | 15,603 | ||||||
5.60%, 3/24/51, (5.597% fixed rate until 3/24/50; Secured Overnight Financing Rate + 4.84% thereafter)(d) | 8,000 | 10,689 | ||||||
2.80%, 1/25/52, (2.802% fixed rate until 1/25/51; Secured Overnight Financing Rate + 1.43% thereafter)(d) | 10,000 | 8,744 | ||||||
Mosaic Co. | 10,000 | 10,999 | ||||||
5.63%, 11/15/43 | 25,000 | 30,869 | ||||||
Motorola Solutions, Inc. | 25,000 | 22,992 | ||||||
Mount Sinai Hospitals Group, Inc. | 5,000 | 5,415 | ||||||
3.74%, 7/1/49, Series 2019 | 25,000 | 25,390 | ||||||
MPLX LP | 100,000 | 105,476 | ||||||
4.00%, 3/15/28 | 18,000 | 18,796 | ||||||
4.70%, 4/15/48 | 50,000 | 51,998 | ||||||
National Rural Utilities Cooperative Finance Corp. | 10,000 | 10,310 | ||||||
3.40%, 2/7/28 | 5,000 | 5,173 | ||||||
3.90%, 11/1/28 | 18,000 | 19,228 | ||||||
4.02%, 11/1/32 | 18,000 | 19,465 | ||||||
NBCUniversal Media LLC | 5,000 | 6,591 | ||||||
4.45%, 1/15/43 | 50,000 | 54,610 | ||||||
NetApp, Inc. | 45,000 | 46,081 | ||||||
New York and Presbyterian Hospital | 25,000 | 21,040 | ||||||
Newmont Corp. | 45,000 | 51,914 | ||||||
NextEra Energy Capital Holdings, Inc. | 255,000 | 252,700 | ||||||
3.50%, 4/1/29 | 20,000 | 20,611 | ||||||
NIKE, Inc. | 550,000 | 558,085 | ||||||
2.85%, 3/27/30 | 17,000 | 17,298 | ||||||
3.88%, 11/1/45 | 5,000 | 5,421 | ||||||
3.38%, 11/1/46 | 20,000 | 19,998 | ||||||
NiSource, Inc. | 10,000 | 10,341 | ||||||
5.25%, 2/15/43 | 20,000 | 22,789 | ||||||
5.65%, 2/1/45 | 5,000 | 5,945 | ||||||
4.38%, 5/15/47 | 25,000 | 26,229 | ||||||
3.95%, 3/30/48 | 18,000 | 17,701 | ||||||
Norfolk Southern Corp. | 23,000 | 23,725 | ||||||
4.05%, 8/15/52 | 5,000 | 5,368 | ||||||
Northrop Grumman Corp. | 48,000 | 49,066 | ||||||
3.20%, 2/1/27 | 53,000 | 54,549 | ||||||
Nucor Corp. | 25,000 | 24,612 | ||||||
NVIDIA Corp. | 10,000 | 10,132 | ||||||
3.70%, 4/1/60 | 20,000 | 20,950 |
See Notes to Financial Statements.
WisdomTree Trust | 67 |
Table of Contents
Schedule of Investments (unaudited) (continued)
WisdomTree Interest Rate Hedged U.S. Aggregate Bond Fund (AGZD)
February 28, 2022
Investments | Principal Amount | Value | ||||||
NY Society for Relief of Ruptured & Crippled Maintaining Hospital Special Surgery | $ | 460,000 | $ | 402,426 | ||||
NYU Langone Hospitals | 25,000 | 23,401 | ||||||
O’Reilly Automotive, Inc. | 25,000 | 26,017 | ||||||
3.90%, 6/1/29 | 13,000 | 13,684 | ||||||
Office Properties Income Trust | 25,000 | 25,525 | ||||||
Omega Healthcare Investors, Inc. | 18,000 | 19,011 | ||||||
4.75%, 1/15/28 | 23,000 | 24,232 | ||||||
3.63%, 10/1/29 | 49,000 | 48,365 | ||||||
Oncor Electric Delivery Co. LLC | 25,000 | 23,492 | ||||||
5.75%, 3/15/29 | 34,000 | 40,115 | ||||||
ONEOK, Inc. | 18,000 | 18,109 | ||||||
4.00%, 7/13/27 | 18,000 | 18,758 | ||||||
4.55%, 7/15/28 | 78,000 | 83,298 | ||||||
Oracle Corp. | 23,000 | 23,591 | ||||||
2.40%, 9/15/23 | 50,000 | 50,368 | ||||||
2.50%, 4/1/25 | 50,000 | 49,850 | ||||||
2.65%, 7/15/26 | 311,000 | 309,134 | ||||||
3.25%, 11/15/27 | 17,000 | 17,220 | ||||||
2.30%, 3/25/28 | 225,000 | 214,243 | ||||||
2.95%, 4/1/30 | 96,000 | 92,856 | ||||||
5.38%, 7/15/40 | 10,000 | 10,988 | ||||||
4.50%, 7/8/44 | 40,000 | 39,835 | ||||||
4.00%, 11/15/47 | 278,000 | 254,829 | ||||||
4.38%, 5/15/55 | 75,000 | 71,525 | ||||||
Orlando Health Obligated Group | 228,000 | 224,445 | ||||||
Owens Corning | 23,000 | 24,131 | ||||||
Pacific Gas and Electric Co. | 145,000 | 146,127 | ||||||
2.95%, 3/1/26 | 20,000 | 19,685 | ||||||
2.10%, 8/1/27 | 20,000 | 18,585 | ||||||
2.50%, 2/1/31 | 475,000 | 423,377 | ||||||
4.50%, 7/1/40 | 25,000 | 23,839 | ||||||
3.50%, 8/1/50 | 80,000 | 65,960 | ||||||
PacifiCorp | 50,000 | 52,649 | ||||||
Packaging Corp. of America | 25,000 | 26,064 | ||||||
Paramount Global | 5,000 | 5,110 | ||||||
6.88%, 4/30/36 | 5,000 | 6,396 | ||||||
4.90%, 8/15/44 | 5,000 | 5,340 | ||||||
4.60%, 1/15/45 | 50,000 | 51,102 | ||||||
4.95%, 5/19/50 | 20,000 | 21,906 | ||||||
Parker-Hannifin Corp. | 18,000 | 18,440 | ||||||
3.25%, 6/14/29 | 13,000 | 13,270 | ||||||
6.25%, 5/15/38 | 15,000 | 19,756 | ||||||
PayPal Holdings, Inc. | 100,000 | 98,034 | ||||||
PeaceHealth Obligated Group | 400,000 | 491,544 | ||||||
PECO Energy Co. | 20,000 | 21,301 | ||||||
2.80%, 6/15/50 | 350,000 | 309,904 | ||||||
PepsiCo, Inc. | 40,000 | 41,363 | ||||||
2.63%, 3/19/27 | 25,000 | 25,594 | ||||||
3.00%, 10/15/27 | 53,000 | 55,142 | ||||||
2.75%, 3/19/30 | 30,000 | 30,443 | ||||||
3.38%, 7/29/49 | 20,000 | 20,274 | ||||||
Pfizer, Inc. | 18,000 | 18,428 | ||||||
3.00%, 12/15/26(b) | 10,000 | 10,409 | ||||||
7.20%, 3/15/39 | 89,000 | 133,421 | ||||||
4.30%, 6/15/43 | 5,000 | 5,665 | ||||||
Philip Morris International, Inc. | 21,000 | 21,688 | ||||||
2.10%, 5/1/30 | 275,000 | 258,731 | ||||||
1.75%, 11/1/30 | 100,000 | 90,755 | ||||||
4.88%, 11/15/43 | 32,000 | 35,354 | ||||||
Phillips 66 | 11,000 | 11,536 | ||||||
5.88%, 5/1/42 | 40,000 | 50,890 | ||||||
Piedmont Natural Gas Co., Inc. | 25,000 | 23,712 | ||||||
Plains All American Pipeline LP / PAA Finance Corp. | 39,500 | 39,500 | ||||||
4.50%, 12/15/26 | 15,000 | 16,001 | ||||||
6.65%, 1/15/37 | 48,000 | 56,949 | ||||||
PNC Financial Services Group, Inc. | 78,000 | 81,039 | ||||||
3.45%, 4/23/29 | 50,000 | 52,503 | ||||||
2.55%, 1/22/30 | 10,000 | 9,843 | ||||||
Procter & Gamble Co. | 105,000 | 108,264 | ||||||
3.00%, 3/25/30 | 50,000 | 52,199 | ||||||
Progressive Corp. | 25,000 | 26,869 | ||||||
Prologis LP | 25,000 | 24,032 | ||||||
1.25%, 10/15/30(b) | 60,000 | 52,976 | ||||||
4.38%, 9/15/48 | 5,000 | 5,727 | ||||||
Prudential Financial, Inc. | 5,000 | 6,362 | ||||||
6.63%, 12/1/37 | 19,000 | 25,840 | ||||||
4.60%, 5/15/44 | 5,000 | 5,701 | ||||||
5.38%, 5/15/45, (5.375% fixed rate until 5/15/25; 3-month U.S. dollar London Interbank Offered Rate + 3.031% thereafter)(d) | 5,000 | 5,103 | ||||||
5.70%, 9/15/48, (5.70% fixed rate until 9/15/28; 3-month U.S. dollar London Interbank Offered Rate + 2.665% thereafter)(b)(d) | 5,000 | 5,238 |
See Notes to Financial Statements.
68 | WisdomTree Trust |
Table of Contents
Schedule of Investments (unaudited) (continued)
WisdomTree Interest Rate Hedged U.S. Aggregate Bond Fund (AGZD)
February 28, 2022
Investments | Principal Amount | Value | ||||||
3.94%, 12/7/49 | $ | 20,000 | $ | 21,028 | ||||
4.35%, 2/25/50 | 20,000 | 22,585 | ||||||
Public Service Co. of Colorado | 215,000 | 217,421 | ||||||
4.30%, 3/15/44 | 29,000 | 31,778 | ||||||
Public Service Electric & Gas Co. | 43,000 | 43,341 | ||||||
3.00%, 5/15/27 | 19,000 | 19,539 | ||||||
3.95%, 5/1/42 | 30,000 | 32,308 | ||||||
3.60%, 12/1/47 | 175,000 | 177,392 | ||||||
Public Service Enterprise Group, Inc. | 25,000 | 25,360 | ||||||
PVH Corp. | 25,000 | 26,425 | ||||||
QUALCOMM, Inc. | 22,000 | 22,483 | ||||||
1.65%, 5/20/32 | 30,000 | 27,066 | ||||||
3.25%, 5/20/50 | 40,000 | 39,276 | ||||||
Raymond James Financial, Inc. | 25,000 | 27,547 | ||||||
Raytheon Technologies Corp. | 25,000 | 26,365 | ||||||
3.50%, 3/15/27 | 50,000 | 52,283 | ||||||
4.50%, 6/1/42 | 100,000 | 111,894 | ||||||
4.80%, 12/15/43 | 10,000 | 11,550 | ||||||
3.75%, 11/1/46 | 48,000 | 48,554 | ||||||
4.35%, 4/15/47 | 30,000 | 33,105 | ||||||
Realty Income Corp. | 18,000 | 18,761 | ||||||
3.00%, 1/15/27 | 5,000 | 5,086 | ||||||
3.95%, 8/15/27 | 5,000 | 5,320 | ||||||
Regeneron Pharmaceuticals, Inc. | 80,000 | 66,350 | ||||||
Reliance Steel & Aluminum Co. | 25,000 | 24,082 | ||||||
Rockwell Automation, Inc. | 35,000 | 39,347 | ||||||
Roper Technologies, Inc. | 15,000 | 15,069 | ||||||
3.80%, 12/15/26 | 30,000 | 31,588 | ||||||
1.40%, 9/15/27 | 25,000 | 23,367 | ||||||
RWJ Barnabas Health, Inc. | 24,000 | 25,898 | ||||||
Ryder System, Inc. | 23,000 | 23,517 | ||||||
Sabine Pass Liquefaction LLC | 25,000 | 27,814 | ||||||
5.00%, 3/15/27 | 25,000 | 27,217 | ||||||
4.20%, 3/15/28 | 25,000 | 26,342 | ||||||
Sabra Health Care LP | 18,000 | 19,128 | ||||||
salesforce.com, Inc. | 25,000 | 26,697 | ||||||
San Diego Gas & Electric Co. | 125,000 | 113,649 | ||||||
Santander Holdings USA, Inc. | 88,000 | 92,604 | ||||||
Sempra Energy | 46,000 | 47,033 | ||||||
Sherwin-Williams Co. | 10,000 | 10,040 | ||||||
4.00%, 12/15/42 | 55,000 | 56,751 | ||||||
4.50%, 6/1/47 | 5,000 | 5,486 | ||||||
3.80%, 8/15/49 | 20,000 | 19,968 | ||||||
Shire Acquisitions Investments Ireland DAC | 15,000 | 15,205 | ||||||
3.20%, 9/23/26 | 110,000 | 113,024 | ||||||
Simon Property Group LP | 5,000 | 5,155 | ||||||
3.38%, 10/1/24 | 250,000 | 257,382 | ||||||
3.30%, 1/15/26 | 5,000 | 5,129 | ||||||
3.25%, 11/30/26 | 23,000 | 23,686 | ||||||
3.38%, 6/15/27(b) | 100,000 | 103,463 | ||||||
2.45%, 9/13/29 | 25,000 | 24,182 | ||||||
SITE Centers Corp. | 68,000 | 72,784 | ||||||
Southern California Edison Co. | 200,000 | 187,572 | ||||||
4.65%, 10/1/43 | 299,000 | 320,752 | ||||||
4.88%, 3/1/49, Series B | 8,000 | 8,785 | ||||||
3.65%, 2/1/50 | 20,000 | 18,959 | ||||||
Southern California Gas Co. | 5,000 | 5,362 | ||||||
Southern Co. | 10,000 | 10,130 | ||||||
3.25%, 7/1/26 | 67,000 | 68,574 | ||||||
Southern Co. Gas Capital Corp. | 21,000 | 21,930 | ||||||
Southern Power Co. | 19,000 | 21,218 | ||||||
Southwest Airlines Co. | 45,000 | 46,524 | ||||||
5.13%, 6/15/27 | 50,000 | 55,518 | ||||||
Southwest Gas Corp. | 50,000 | 50,144 | ||||||
Spectra Energy Partners LP | 18,000 | 18,832 | ||||||
3.50%, 3/15/25 | 5,000 | 5,141 | ||||||
Stanford Health Care | 18,000 | 19,338 | ||||||
Starbucks Corp. | 5,000 | 5,078 | ||||||
2.45%, 6/15/26 | 5,000 | 5,026 | ||||||
2.00%, 3/12/27 | 70,000 | 68,314 | ||||||
4.00%, 11/15/28 | 5,000 | 5,359 | ||||||
4.30%, 6/15/45 | 25,000 | 26,250 | ||||||
3.50%, 11/15/50 | 75,000 | 70,498 | ||||||
State Street Corp. | 48,000 | 48,858 | ||||||
2.35%, 11/1/25, (2.354% fixed rate until 11/1/24; Secured Overnight Financing Rate + 0.94% thereafter)(d) | 50,000 | 50,342 | ||||||
4.14%, 12/3/29, (4.141% fixed rate until 12/3/28; 3-month U.S. dollar London Interbank Offered Rate + 1.03% thereafter)(b)(d) | 50,000 | 54,301 | ||||||
2.40%, 1/24/30(b) | 62,000 | 60,819 |
See Notes to Financial Statements.
WisdomTree Trust | 69 |
Table of Contents
Schedule of Investments (unaudited) (continued)
WisdomTree Interest Rate Hedged U.S. Aggregate Bond Fund (AGZD)
February 28, 2022
Investments | Principal Amount | Value | ||||||
Steel Dynamics, Inc. | $ | 90,000 | $ | 91,642 | ||||
Stryker Corp. | 5,000 | 5,125 | ||||||
Sutter Health | 95,000 | 90,015 | ||||||
Synchrony Financial | 5,000 | 5,102 | ||||||
5.15%, 3/19/29 | 600,000 | 656,898 | ||||||
Sysco Corp. | 73,000 | 75,304 | ||||||
T-Mobile USA, Inc. | 90,000 | 92,527 | ||||||
3.75%, 4/15/27 | 20,000 | 20,781 | ||||||
4.50%, 4/15/50 | 20,000 | 20,894 | ||||||
Tampa Electric Co. | 18,000 | 20,037 | ||||||
Tapestry, Inc. | 14,000 | 14,657 | ||||||
Target Corp. | 310,000 | 317,263 | ||||||
4.00%, 7/1/42(b) | 60,000 | 66,658 | ||||||
TC PipeLines LP | 44,000 | 46,291 | ||||||
TD Ameritrade Holding Corp. | 10,000 | 10,019 | ||||||
Teledyne FLIR LLC | 25,000 | 23,678 | ||||||
Texas Instruments, Inc. | 27,000 | 28,021 | ||||||
4.15%, 5/15/48 | 14,000 | 15,935 | ||||||
Time Warner Cable LLC | 80,500 | 97,485 | ||||||
5.50%, 9/1/41 | 7,000 | 7,471 | ||||||
4.50%, 9/15/42 | 10,000 | 9,489 | ||||||
TJX Cos., Inc. | 25,000 | 26,861 | ||||||
Toyota Motor Credit Corp. | 40,000 | 39,880 | ||||||
0.45%, 1/11/24 | 32,000 | 31,263 | ||||||
2.90%, 4/17/24 | 5,000 | 5,104 | ||||||
3.05%, 1/11/28(b) | 15,000 | 15,475 | ||||||
2.15%, 2/13/30(b) | 50,000 | 48,138 | ||||||
1.65%, 1/10/31 | 30,000 | 27,503 | ||||||
Trane Technologies Global Holding Co. Ltd. | 45,000 | 47,008 | ||||||
Trane Technologies Luxembourg Finance SA | 50,000 | 51,660 | ||||||
Transcontinental Gas Pipe Line Co. LLC | 15,000 | 15,969 | ||||||
Travelers Cos., Inc. | 30,000 | 40,325 | ||||||
3.75%, 5/15/46 | 25,000 | 25,948 | ||||||
4.00%, 5/30/47 | 48,000 | 51,685 | ||||||
2.55%, 4/27/50 | 20,000 | 17,125 | ||||||
Trimble, Inc. | 5,000 | 5,132 | ||||||
Trinity Health Corp. | 40,000 | 36,263 | ||||||
Truist Bank | 25,000 | 26,592 | ||||||
Truist Financial Corp. | 269,000 | 274,332 | ||||||
1.13%, 8/3/27 | 15,000 | 13,930 | ||||||
TWDC Enterprises 18 Corp. | 15,000 | 15,435 | ||||||
2.95%, 6/15/27(b) | 23,000 | 23,561 | ||||||
3.70%, 12/1/42 | 5,000 | 5,113 | ||||||
3.00%, 7/30/46 | 48,000 | 44,123 | ||||||
Tyson Foods, Inc. | 50,000 | 57,321 | ||||||
U.S. Bancorp | 25,000 | 25,954 | ||||||
1.45%, 5/12/25 | 25,000 | 24,455 | ||||||
2.38%, 7/22/26, Series V(b) | 350,000 | 352,474 | ||||||
3.90%, 4/26/28 | 103,000 | 110,280 | ||||||
1.38%, 7/22/30(b) | 11,000 | 9,849 | ||||||
UDR, Inc. | 25,000 | 22,680 | ||||||
Union Electric Co. | 18,000 | 18,408 | ||||||
Union Pacific Corp. | 252,000 | 257,708 | ||||||
3.75%, 7/15/25 | 5,000 | 5,241 | ||||||
3.25%, 8/15/25 | 5,000 | 5,159 | ||||||
2.75%, 3/1/26 | 5,000 | 5,078 | ||||||
4.00%, 4/15/47 | 19,000 | 20,417 | ||||||
3.84%, 3/20/60 | 308,000 | 318,306 | ||||||
3.75%, 2/5/70 | 25,000 | 25,005 | ||||||
3.80%, 4/6/71 | 5,000 | 5,050 | ||||||
United Airlines Pass Through Trust | 15,701 | 16,318 | ||||||
United Parcel Service, Inc. | 5,000 | 5,050 | ||||||
3.05%, 11/15/27 | 53,000 | 55,334 | ||||||
6.20%, 1/15/38 | 15,000 | 20,416 | ||||||
3.40%, 11/15/46 | 5,000 | 5,114 | ||||||
UnitedHealth Group, Inc. | 90,000 | 94,891 | ||||||
3.10%, 3/15/26 | 34,000 | 35,209 | ||||||
3.88%, 12/15/28 | 18,000 | 19,413 | ||||||
5.80%, 3/15/36 | 25,000 | 32,103 | ||||||
5.95%, 2/15/41 | 350,000 | 466,441 | ||||||
3.95%, 10/15/42 | 5,000 | 5,339 | ||||||
4.75%, 7/15/45 | 100,000 | 117,924 | ||||||
3.75%, 10/15/47 | 15,000 | 15,608 | ||||||
University of Southern California | 24,000 | 23,635 | ||||||
3.84%, 10/1/47, Series 2017 | 320,000 | 356,941 | ||||||
Utah Acquisition Sub, Inc. | 40,000 | 41,316 | ||||||
Ventas Realty LP | 14,000 | 15,663 | ||||||
4.38%, 2/1/45 | 24,000 | 25,432 |
See Notes to Financial Statements.
70 | WisdomTree Trust |
Table of Contents
Schedule of Investments (unaudited) (continued)
WisdomTree Interest Rate Hedged U.S. Aggregate Bond Fund (AGZD)
February 28, 2022
Investments | Principal Amount | Value | ||||||
Verisk Analytics, Inc. | $ | 347,000 | $ | 370,318 | ||||
Verizon Communications, Inc. | 20,000 | 19,583 | ||||||
3.38%, 2/15/25 | 10,000 | 10,349 | ||||||
0.85%, 11/20/25(b) | 10,000 | 9,507 | ||||||
4.33%, 9/21/28 | 25,000 | 27,262 | ||||||
4.02%, 12/3/29 | 20,000 | 21,461 | ||||||
1.68%, 10/30/30 | 76,000 | 68,352 | ||||||
2.65%, 11/20/40 | 70,000 | 60,831 | ||||||
3.40%, 3/22/41 | 150,000 | 144,532 | ||||||
6.55%, 9/15/43 | 8,000 | 11,429 | ||||||
4.86%, 8/21/46 | 50,000 | 60,265 | ||||||
2.88%, 11/20/50 | 85,000 | 72,815 | ||||||
2.99%, 10/30/56 | 11,000 | 9,400 | ||||||
3.00%, 11/20/60 | 15,000 | 12,497 | ||||||
3.70%, 3/22/61 | 107,000 | 102,278 | ||||||
Viatris, Inc. | 10,000 | 9,342 | ||||||
3.85%, 6/22/40 | 30,000 | 28,185 | ||||||
4.00%, 6/22/50 | 60,000 | 53,250 | ||||||
Virginia Electric & Power Co. | 15,000 | 24,741 | ||||||
Visa, Inc. | 34,000 | 33,526 | ||||||
2.75%, 9/15/27 | 22,000 | 22,583 | ||||||
3.65%, 9/15/47 | 65,000 | 68,974 | ||||||
VMware, Inc. | 25,000 | 26,477 | ||||||
Vulcan Materials Co. | 18,000 | 19,090 | ||||||
Wachovia Corp. | 5,000 | 5,923 | ||||||
Walgreens Boots Alliance, Inc. | 178,000 | 184,568 | ||||||
Walmart, Inc. | 69,000 | 72,600 | ||||||
3.70%, 6/26/28(b) | 15,000 | 16,182 | ||||||
5.25%, 9/1/35 | 50,000 | 63,878 | ||||||
4.05%, 6/29/48(b) | 65,000 | 74,535 | ||||||
Walt Disney Co. | 50,000 | 51,790 | ||||||
2.20%, 1/13/28(b) | 75,000 | 73,526 | ||||||
2.65%, 1/13/31(b) | 10,000 | 9,909 | ||||||
6.40%, 12/15/35 | 4,000 | 5,352 | ||||||
6.65%, 11/15/37 | 20,000 | 27,225 | ||||||
3.50%, 5/13/40 | 60,000 | 60,025 | ||||||
4.95%, 10/15/45 | 5,000 | 5,976 | ||||||
3.80%, 5/13/60 | 15,000 | 15,555 | ||||||
Wells Fargo & Co. | 69,000 | 71,165 | ||||||
3.00%, 4/22/26 | 400,000 | 405,684 | ||||||
3.58%, 5/22/28, (3.584% fixed rate until 5/22/27; 3-month U.S. dollar London Interbank Offered Rate + 1.31% thereafter)(d) | 289,000 | 298,728 | ||||||
2.39%, 6/2/28, (2.393% fixed rate until 6/2/27; Secured Overnight Financing Rate + 2.10% thereafter)(d) | 165,000 | 161,390 | ||||||
4.15%, 1/24/29 | 10,000 | 10,665 | ||||||
4.48%, 4/4/31, (4.478% fixed rate until 4/4/30; Secured Overnight Financing Rate + 4.032% thereafter)(b)(d) | 50,000 | 54,684 | ||||||
3.07%, 4/30/41, (3.068% fixed rate until 4/30/40; Secured Overnight Financing Rate + 2.53% thereafter)(d) | 15,000 | 14,006 | ||||||
5.38%, 11/2/43 | 47,000 | 56,321 | ||||||
4.75%, 12/7/46 | 96,000 | 108,036 | ||||||
5.01%, 4/4/51, (5.013% fixed rate until 4/4/50; Secured Overnight Financing Rate + 4.502% thereafter)(d) | 255,000 | 314,647 | ||||||
Welltower, Inc. | 23,000 | 24,504 | ||||||
4.25%, 4/15/28 | 15,000 | 16,133 | ||||||
Western Union Co. | 55,000 | 56,413 | ||||||
2.75%, 3/15/31(b) | 700,000 | 667,723 | ||||||
Westinghouse Air Brake Technologies Corp. | 50,000 | 50,783 | ||||||
Westlake Corp. | 10,000 | 11,394 | ||||||
WestRock MWV LLC | 14,000 | 18,847 | ||||||
Whirlpool Corp. | 30,000 | 32,255 | ||||||
Williams Cos., Inc. | 10,000 | 10,433 | ||||||
7.50%, 1/15/31, Series A | 50,000 | 64,522 | ||||||
6.30%, 4/15/40 | 10,000 | 12,382 | ||||||
5.75%, 6/24/44 | 50,000 | 59,036 | ||||||
Wisconsin Public Service Corp. | 38,000 | 38,508 | ||||||
WRKCo, Inc. | 45,000 | 46,778 | ||||||
4.65%, 3/15/26 | 25,000 | 27,010 | ||||||
WW Grainger, Inc. | 85,000 | 88,549 | ||||||
Wyeth LLC | 10,000 | 13,147 | ||||||
Xilinx, Inc. | 73,000 | 74,345 | ||||||
Xylem, Inc. | 5,000 | 5,143 | ||||||
Zimmer Biomet Holdings, Inc. | 5,000 | 5,003 | ||||||
Zoetis, Inc. | 25,000 | 28,897 | ||||||
TOTAL U.S. CORPORATE BONDS (Cost: $67,107,504) |
| 65,454,733 | ||||||
FOREIGN CORPORATE BONDS – 3.2% |
| |||||||
Australia – 0.0% |
| |||||||
BHP Billiton Finance USA Ltd. | 23,000 | 27,770 |
See Notes to Financial Statements.
WisdomTree Trust | 71 |
Table of Contents
Schedule of Investments (unaudited) (continued)
WisdomTree Interest Rate Hedged U.S. Aggregate Bond Fund (AGZD)
February 28, 2022
Investments | Principal Amount | Value | ||||||
Westpac Banking Corp. | $ | 23,000 | $ | 24,075 | ||||
4.32%, 11/23/31, (4.322% fixed rate until 11/23/26; 5-year U.S. dollar ICE Swap Rate + 2.236% thereafter)(d) | 10,000 | 10,436 | ||||||
2.67%, 11/15/35, (2.668% fixed rate until 11/15/30; 5-year Constant Maturity Treasury Rate + 1.75% thereafter)(d) | 30,000 | 27,191 | ||||||
4.42%, 7/24/39 | 25,000 | 27,071 | ||||||
|
| |||||||
Total Australia |
| 116,543 | ||||||
Belgium – 0.4% |
| |||||||
Anheuser-Busch Cos. LLC / Anheuser-Busch InBev Worldwide, Inc. | 179,000 | 187,152 | ||||||
4.70%, 2/1/36 | 25,000 | 27,922 | ||||||
Anheuser-Busch InBev Finance, Inc. | 253,000 | 258,920 | ||||||
Anheuser-Busch InBev Worldwide, Inc. | 365,000 | 419,710 | ||||||
4.60%, 4/15/48 | 244,000 | 268,176 | ||||||
4.44%, 10/6/48 | 19,000 | 20,389 | ||||||
|
| |||||||
Total Belgium |
| 1,182,269 | ||||||
Bermuda – 0.0% |
| |||||||
Aspen Insurance Holdings Ltd. | 18,000 | 18,709 | ||||||
Brazil – 0.0% |
| |||||||
Vale Overseas Ltd. | 48,000 | 54,294 | ||||||
6.88%, 11/21/36 | 10,000 | 12,279 | ||||||
|
| |||||||
Total Brazil |
| 66,573 | ||||||
Canada – 0.7% |
| |||||||
Bank of Montreal | 40,000 | 41,007 | ||||||
3.80%, 12/15/32, (3.803% fixed rate until 12/15/27; 5-year U.S. dollar Swap Rate + 1.432% thereafter)(d) | 49,000 | 50,250 | ||||||
Bank of Nova Scotia | 40,000 | 40,011 | ||||||
Brookfield Finance, Inc. | 18,000 | 18,923 | ||||||
4.85%, 3/29/29 | 25,000 | 27,570 | ||||||
4.70%, 9/20/47 | 50,000 | 54,927 | ||||||
Canadian Imperial Bank of Commerce | 40,000 | 39,596 | ||||||
Canadian National Railway Co. | 25,000 | 25,497 | ||||||
2.75%, 3/1/26 | 100,000 | 102,035 | ||||||
Canadian Natural Resources Ltd. | 50,000 | 51,439 | ||||||
3.85%, 6/1/27 | 25,000 | 26,120 | ||||||
CNOOC Petroleum North America ULC | 215,000 | 252,902 | ||||||
6.40%, 5/15/37 | 25,000 | 31,310 | ||||||
7.50%, 7/30/39 | 63,000 | 89,204 | ||||||
Enbridge, Inc. | 25,000 | 26,673 | ||||||
Kinross Gold Corp. | 55,000 | 59,242 | ||||||
Magna International, Inc. | 5,000 | 5,143 | ||||||
Nutrien Ltd. | 90,000 | 90,228 | ||||||
5.63%, 12/1/40 | 5,000 | 6,283 | ||||||
5.25%, 1/15/45 | 18,000 | 21,909 | ||||||
3.95%, 5/13/50 | 50,000 | 52,499 | ||||||
Rogers Communications, Inc. | 23,000 | 23,231 | ||||||
4.50%, 3/15/43 | 25,000 | 26,143 | ||||||
5.00%, 3/15/44 | 25,000 | 27,046 | ||||||
Royal Bank of Canada | 50,000 | 50,198 | ||||||
3.70%, 10/5/23 | 25,000 | 25,770 | ||||||
2.25%, 11/1/24 | 25,000 | 25,026 | ||||||
TELUS Corp. | 50,000 | 50,670 | ||||||
4.60%, 11/16/48 | 5,000 | 5,641 | ||||||
Toronto-Dominion Bank | 10,000 | 9,897 | ||||||
0.45%, 9/11/23 | 413,000 | 405,091 | ||||||
0.75%, 9/11/25 | 25,000 | 23,645 | ||||||
TransCanada PipeLines Ltd. | 114,000 | 121,697 | ||||||
4.63%, 3/1/34 | 28,000 | 30,672 | ||||||
5.85%, 3/15/36 | 29,000 | 35,356 | ||||||
|
| |||||||
Total Canada |
| 1,972,851 | ||||||
China – 0.1% |
| |||||||
Alibaba Group Holding Ltd. | 25,000 | 25,379 | ||||||
Baidu, Inc. | 200,000 | 192,032 | ||||||
Tencent Music Entertainment Group | 100,000 | 89,806 | ||||||
|
| |||||||
Total China |
| 307,217 | ||||||
France – 0.0% |
| |||||||
Sanofi | 5,000 | 5,405 | ||||||
TotalEnergies Capital International SA | 20,000 | 19,511 | ||||||
|
| |||||||
Total France |
| 24,916 | ||||||
Germany – 0.0% |
| |||||||
Deutsche Bank AG | 25,000 | 25,674 | ||||||
Deutsche Telekom International Finance BV | 15,000 | 20,801 | ||||||
9.25%, 6/1/32(b) | 50,000 | 75,239 | ||||||
|
| |||||||
Total Germany |
| 121,714 | ||||||
Japan – 0.3% |
| |||||||
Mitsubishi UFJ Financial Group, Inc. | 25,000 | 25,455 |
See Notes to Financial Statements.
72 | WisdomTree Trust |
Table of Contents
Schedule of Investments (unaudited) (continued)
WisdomTree Interest Rate Hedged U.S. Aggregate Bond Fund (AGZD)
February 28, 2022
Investments | Principal Amount | Value | ||||||
3.76%, 7/26/23 | $ | 79,000 | $ | 81,186 | ||||
3.41%, 3/7/24 | 25,000 | 25,638 | ||||||
3.78%, 3/2/25(b) | 5,000 | 5,198 | ||||||
3.96%, 3/2/28 | 45,000 | 47,622 | ||||||
3.74%, 3/7/29 | 40,000 | 41,886 | ||||||
4.15%, 3/7/39 | 25,000 | 27,450 | ||||||
Mizuho Financial Group, Inc. | ||||||||
2.17%, 5/22/32, (2.172% fixed rate until 5/22/31; 1-year Constant Maturity Treasury Rate + 0.87% thereafter)(d) | 160,000 | 146,971 | ||||||
Sumitomo Mitsui Financial Group, Inc. | 25,000 | 25,861 | ||||||
3.35%, 10/18/27 | 23,000 | 23,750 | ||||||
3.20%, 9/17/29(b) | 50,000 | 50,025 | ||||||
2.14%, 9/23/30 | 355,000 | 324,307 | ||||||
Takeda Pharmaceutical Co. Ltd. | 25,000 | 22,701 | ||||||
Toyota Motor Corp. | 25,000 | 26,654 | ||||||
|
| |||||||
Total Japan |
| 874,704 | ||||||
Netherlands – 0.3% |
| |||||||
Cooperatieve Rabobank UA | 359,000 | 465,095 | ||||||
Shell International Finance BV | 300,000 | 311,214 | ||||||
2.38%, 11/7/29 | 150,000 | 146,420 | ||||||
5.50%, 3/25/40 | 27,000 | 34,130 | ||||||
|
| |||||||
Total Netherlands |
| 956,859 | ||||||
Norway – 0.3% |
| |||||||
Equinor ASA | 5,000 | 5,082 | ||||||
3.70%, 3/1/24 | 412,000 | 426,465 | ||||||
3.00%, 4/6/27 | 25,000 | 25,685 | ||||||
3.63%, 9/10/28 | 274,000 | 289,886 | ||||||
5.10%, 8/17/40 | 19,000 | 23,117 | ||||||
4.80%, 11/8/43 | 25,000 | 29,647 | ||||||
|
| |||||||
Total Norway |
| 799,882 | ||||||
Peru – 0.0% |
| |||||||
Southern Copper Corp. | 100,000 | 132,688 | ||||||
6.75%, 4/16/40 | 5,000 | 6,508 | ||||||
|
| |||||||
Total Peru |
| 139,196 | ||||||
Spain – 0.2% |
| |||||||
Telefonica Emisiones SA | 9,000 | 11,686 | ||||||
Telefonica Europe BV | 397,000 | 533,266 | ||||||
|
| |||||||
Total Spain |
| 544,952 | ||||||
Switzerland – 0.1% |
| |||||||
Credit Suisse Group AG | 192,000 | 202,864 | ||||||
Novartis Capital Corp. | 60,000 | 62,263 | ||||||
3.70%, 9/21/42 | 15,000 | 15,934 | ||||||
Syngenta Finance NV | 19,000 | 19,009 | ||||||
|
| |||||||
Total Switzerland |
| 300,070 | ||||||
United Kingdom – 0.8% |
| |||||||
AstraZeneca PLC | 15,000 | 15,626 | ||||||
4.00%, 1/17/29 | 25,000 | 27,107 | ||||||
4.38%, 11/16/45 | 50,000 | 57,456 | ||||||
Barclays PLC | ||||||||
4.34%, 5/16/24, (4.338% fixed rate until 5/16/23; 3-month U.S. dollar London Interbank Offered Rate + 1.356% thereafter)(d) | 200,000 | 205,566 | ||||||
BAT Capital Corp. | 150,000 | 152,424 | ||||||
3.22%, 9/6/26 | 25,000 | 25,040 | ||||||
4.39%, 8/15/37 | 50,000 | 48,051 | ||||||
BP Capital Markets PLC | 195,000 | 201,917 | ||||||
3.28%, 9/19/27(b) | 24,000 | 24,729 | ||||||
3.72%, 11/28/28 | 45,000 | 47,197 | ||||||
British Telecommunications PLC | 224,000 | 314,212 | ||||||
CNH Industrial NV | 20,000 | 20,671 | ||||||
Diageo Capital PLC | 30,000 | 28,304 | ||||||
GlaxoSmithKline Capital, Inc. | 100,000 | 101,415 | ||||||
3.38%, 5/15/23 | 19,000 | 19,424 | ||||||
5.38%, 4/15/34 | 20,000 | 25,137 | ||||||
HSBC Holdings PLC | 25,000 | 26,022 | ||||||
4.95%, 3/31/30 | 175,000 | 194,231 | ||||||
7.63%, 5/17/32 | 64,000 | 83,728 | ||||||
6.80%, 6/1/38 | 100,000 | 130,932 | ||||||
Lloyds Banking Group PLC | ||||||||
1.63%, 5/11/27, (1.627% fixed rate until 5/11/26; 1-year Constant Maturity Treasury Rate + 0.85% thereafter)(d) | 200,000 | 189,850 | ||||||
3.57%, 11/7/28, (3.574% fixed rate until 11/7/27; 3-month U.S. dollar London Interbank Offered Rate + 1.205% thereafter)(d) | 50,000 | 51,294 | ||||||
Reynolds American, Inc. | 23,000 | 28,608 | ||||||
5.85%, 8/15/45 | 10,000 | 10,865 | ||||||
Santander UK Group Holdings PLC | ||||||||
1.09%, 3/15/25, (1.089% fixed rate until 3/15/24; Secured Overnight Financing Rate + 0.787% thereafter)(d) | 250,000 | 242,742 | ||||||
Unilever Capital Corp. | 5,000 | 6,380 | ||||||
Vodafone Group PLC | 50,000 | 52,597 | ||||||
4.38%, 2/19/43 | 34,000 | 35,276 |
See Notes to Financial Statements.
WisdomTree Trust | 73 |
Table of Contents
Schedule of Investments (unaudited) (continued)
WisdomTree Interest Rate Hedged U.S. Aggregate Bond Fund (AGZD)
February 28, 2022
Investments | Principal Amount | Value | ||||||
5.25%, 5/30/48 | $ | 30,000 | $ | 34,952 | ||||
|
| |||||||
Total United Kingdom |
| 2,401,753 | ||||||
TOTAL FOREIGN CORPORATE BONDS (Cost: $10,047,093) |
| 9,828,208 | ||||||
FOREIGN GOVERNMENT AGENCIES – 0.7% |
| |||||||
Canada – 0.2% |
| |||||||
Export Development Canada | 30,000 | 30,484 | ||||||
Province of Alberta Canada | 95,000 | 101,203 | ||||||
1.30%, 7/22/30 | 75,000 | 69,681 | ||||||
Province of British Columbia Canada | 25,000 | 25,335 | ||||||
Province of New Brunswick Canada | 20,000 | 21,769 | ||||||
Province of Ontario Canada | 110,000 | 113,709 | ||||||
Province of Quebec Canada | 55,000 | 56,656 | ||||||
1.50%, 2/11/25, Series QX | 20,000 | 19,852 | ||||||
2.50%, 4/20/26 | 50,000 | 51,064 | ||||||
7.50%, 9/15/29, Series PD | 31,000 | 42,170 | ||||||
|
| |||||||
Total Canada |
| 531,923 | ||||||
Germany – 0.5% |
| |||||||
Kreditanstalt fuer Wiederaufbau | 575,000 | 587,903 | ||||||
2.50%, 11/20/24(b) | 33,000 | 33,758 | ||||||
0.63%, 1/22/26 | 550,000 | 525,437 | ||||||
2.88%, 4/3/28 | 40,000 | 42,271 | ||||||
Landwirtschaftliche Rentenbank | 90,000 | 89,866 | ||||||
2.50%, 11/15/27, Series 37 | 125,000 | 129,045 | ||||||
0.88%, 9/3/30 | 130,000 | 119,360 | ||||||
|
| |||||||
Total Germany |
| 1,527,640 | ||||||
TOTAL FOREIGN GOVERNMENT AGENCIES (Cost: $2,088,852) |
| 2,059,563 | ||||||
FOREIGN GOVERNMENT OBLIGATIONS – 1.1% |
| |||||||
Hungary – 0.0% |
| |||||||
Hungary Government International Bond | 18,000 | 19,091 | ||||||
Indonesia – 0.1% |
| |||||||
Indonesia Government International Bond | 165,000 | 155,242 | ||||||
Italy – 0.2% |
| |||||||
Republic of Italy Government International Bond | 536,000 | 634,308 | ||||||
Mexico – 0.2% |
| |||||||
Mexico Government International Bond | 25,000 | 30,906 | ||||||
5.75%, 10/12/2110 | 468,000 | 477,940 | ||||||
|
| |||||||
Total Mexico |
| 508,846 | ||||||
Panama – 0.1% |
| |||||||
Panama Government International Bond | 283,000 | 367,447 | ||||||
6.70%, 1/26/36 | 50,000 | 61,702 | ||||||
|
| |||||||
Total Panama |
| 429,149 | ||||||
Peru – 0.2% |
| |||||||
Peruvian Government International Bond | 369,000 | 388,823 | ||||||
2.78%, 1/23/31 | 50,000 | 47,483 | ||||||
8.75%, 11/21/33 | 25,000 | 36,618 | ||||||
5.63%, 11/18/50 | 50,000 | 62,769 | ||||||
|
| |||||||
Total Peru |
| 535,693 | ||||||
Philippines – 0.1% |
| |||||||
Philippine Government International Bond | 100,000 | 134,778 | ||||||
3.95%, 1/20/40 | 200,000 | 199,612 | ||||||
|
| |||||||
Total Philippines |
| 334,390 | ||||||
Poland – 0.1% |
| |||||||
Republic of Poland Government International Bond | 424,000 | 428,592 | ||||||
3.25%, 4/6/26 | 72,000 | 74,499 | ||||||
|
| |||||||
Total Poland |
| 503,091 | ||||||
Uruguay – 0.1% |
| |||||||
Uruguay Government International Bond | 53,000 | 63,416 | ||||||
4.98%, 4/20/55 | 224,000 | 265,857 | ||||||
|
| |||||||
Total Uruguay |
| 329,273 | ||||||
TOTAL FOREIGN GOVERNMENT OBLIGATIONS (Cost: $3,584,024) |
| 3,449,083 | ||||||
SUPRANATIONAL BONDS – 1.5% |
| |||||||
Asian Development Bank | 9,000 | 9,150 | ||||||
1.50%, 10/18/24 | 500,000 | 498,690 | ||||||
2.00%, 1/22/25 | 5,000 | 5,049 | ||||||
0.63%, 4/29/25 | 175,000 | 169,116 | ||||||
0.50%, 2/4/26 | 325,000 | 308,740 | ||||||
2.50%, 11/2/27 | 20,000 | 20,651 | ||||||
Asian Infrastructure Investment Bank | 500,000 | 507,525 | ||||||
European Investment Bank | 14,000 | 14,011 | ||||||
2.50%, 3/15/23 | 291,000 | 295,123 | ||||||
0.25%, 9/15/23 | 375,000 | 368,696 | ||||||
3.25%, 1/29/24 | 14,000 | 14,467 | ||||||
0.38%, 12/15/25 | 15,000 | 14,220 | ||||||
2.13%, 4/13/26 | 25,000 | 25,320 | ||||||
2.38%, 5/24/27 | 169,000 | 173,626 | ||||||
4.88%, 2/15/36 | 25,000 | 33,351 | ||||||
Inter-American Development Bank | 140,000 | 140,276 | ||||||
0.63%, 7/15/25 | 275,000 | 264,808 | ||||||
3.88%, 10/28/41 | 280,000 | 341,765 | ||||||
3.20%, 8/7/42 | 25,000 | 27,794 |
See Notes to Financial Statements.
74 | WisdomTree Trust |
Table of Contents
Schedule of Investments (unaudited) (continued)
WisdomTree Interest Rate Hedged U.S. Aggregate Bond Fund (AGZD)
February 28, 2022
Investments | Principal Amount | Value | ||||||
International Bank for Reconstruction & Development | $ | 114,000 | $ | 116,692 | ||||
2.13%, 3/3/25, Series GDIF(b) | 50,000 | 50,667 | ||||||
0.63%, 4/22/25 | 325,000 | 314,233 | ||||||
2.50%, 7/29/25, Series GDIF | 584,000 | 598,378 | ||||||
0.50%, 10/28/25 | 10,000 | 9,547 | ||||||
2.50%, 11/22/27, Series GDIF | 154,000 | 159,181 | ||||||
0.88%, 5/14/30 | 26,000 | 23,935 | ||||||
International Finance Corp. | 85,000 | 84,538 | ||||||
TOTAL SUPRANATIONAL BONDS (Cost: $4,665,799) |
| 4,589,549 | ||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES – 2.0% |
| |||||||
United States – 2.0% |
| |||||||
Banc of America Commercial Mortgage Trust | ||||||||
3.17%, 7/15/49, Series 2016-UB10, Class A4 | 100,000 | 101,929 | ||||||
Bank | ||||||||
2.85%, 10/17/52, Series 2019-BN21, Class A5 | 75,000 | 75,058 | ||||||
3.44%, 9/15/60, Series 2017-BNK7, Class A5 | 105,000 | 109,117 | ||||||
2.40%, 1/15/63, Series 2020-BN25, Class A4 | 150,000 | 145,008 | ||||||
2.14%, 3/15/63, Series 2020-BN28, Class AS | 100,000 | 92,656 | ||||||
Barclays Commercial Mortgage Trust | ||||||||
2.99%, 11/15/52, Series 2019-C5, Class ASB | 200,000 | 203,433 | ||||||
Benchmark Mortgage Trust | ||||||||
2.91%, 9/15/43, Series 2020-IG1, Class AS^(d) | 60,000 | 58,569 | ||||||
3.96%, 1/15/52, Series 2018-B8, Class A4 | 200,000 | 209,971 | ||||||
4.02%, 3/15/52, Series 2019-B9, Class A5 | 60,000 | 64,478 | ||||||
1.98%, 8/15/54, Series 2021-B28, Class ASB | 150,000 | 143,675 | ||||||
Citigroup Commercial Mortgage Trust | ||||||||
3.35%, 2/10/49, Series 2016-GC36, Class A4 | 500,000 | 508,002 | ||||||
Commercial Mortgage Trust | ||||||||
3.60%, 5/10/47, Series 2014-CR17, Class ASB | 23,684 | 24,099 | ||||||
3.98%, 5/10/47, Series 2014-CR17, Class A5 | 200,000 | 206,168 | ||||||
3.21%, 3/10/48, Series 2015-CR22, Class A3 | 43,539 | 43,524 | ||||||
3.63%, 10/10/48, Series 2015-CR26, Class A4 | 250,000 | 257,872 | ||||||
CSAIL Commercial Mortgage Trust | ||||||||
4.10%, 4/15/51, Series 2018-CX11, Class A3 | 100,000 | 102,679 | ||||||
Federal Home Loan Mortgage Corp. | ||||||||
2.67%, 3/25/26, Series K055, Class A2 | 80,000 | 81,927 | ||||||
3.25%, 11/25/27, Series K072, Class A1 | 315,986 | 328,056 | ||||||
Federal Home Loan Mortgage Corp. Multifamily Structured Pass Through Certificates | 6,321 | 6,388 | ||||||
3.75%, 8/25/25, Series K733, Class A2 | 100,000 | 104,933 | ||||||
3.00%, 12/25/25, Series K053, Class A2 | 200,000 | 206,876 | ||||||
2.62%, 8/25/26, Series K057, Class AM | 100,000 | 102,160 | ||||||
3.43%, 1/25/27, Series K063, Class A2^(d) | 70,000 | 74,174 | ||||||
3.69%, 1/25/29, Series K088, Class A2 | 115,000 | 126,009 | ||||||
2.52%, 10/25/29, Series K101, Class A2 | 50,000 | 51,212 | ||||||
2.13%, 11/25/31, Series K136, Class A2 | 100,000 | 98,379 | ||||||
3.99%, 8/25/33, Series K157, Class A3^(d) | 70,000 | 78,635 | ||||||
1.24%, 1/25/35, Series K-1516, Class A1 | 292,540 | 267,928 | ||||||
Federal National Mortgage Association Alternative Credit Enhancement Securities | ||||||||
3.09%, 7/25/23, Series 2014-M1, Class A2^(d) | 54,621 | 55,368 | ||||||
2.49%, 5/25/26, Series 2016-M6, Class A2 | 57,210 | 58,165 | ||||||
2.47%, 12/25/26, Series 2017-M3, Class A2^(d) | 38,111 | 38,950 | ||||||
3.06%, 3/25/28, Series 2018-M4, Class A2^(d) | 23,158 | 24,425 | ||||||
3.55%, 9/25/28, Series 2019-M1, Class A2^(d) | 100,000 | 108,836 | ||||||
2.44%, 10/25/29, Series 2020-M1, Class A2 | 200,000 | 203,800 | ||||||
2.98%, 2/25/30, Series 2018-M3, Class A1^(d) | 5,059 | 5,158 | ||||||
1.78%, 5/25/30, Series 2020-M14, Class A2 | 125,000 | 121,010 | ||||||
3.61%, 2/25/31, Series 2019-M4, Class A2 | 250,000 | 273,484 | ||||||
GS Mortgage Securities Trust | ||||||||
3.00%, 9/1/52, Series 2019-GC42, Class A4 | 50,000 | 50,620 | ||||||
2.66%, 2/13/53, Series 2020-GC45, Class A4 | 100,000 | 98,466 | ||||||
JPMBB Commercial Mortgage Securities Trust | ||||||||
4.08%, 2/15/47, Series 2014-C18, Class A5 | 50,000 | 51,461 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust | ||||||||
3.10%, 5/15/46, Series 2013-C9, Class A4 | 105,000 | 105,723 | ||||||
3.60%, 5/15/50, Series 2017-C33, Class A5 | 250,000 | 260,214 | ||||||
Morgan Stanley Capital I Trust | ||||||||
3.52%, 7/15/52, Series 2019-H7, Class AS | 100,000 | 101,566 | ||||||
2.44%, 6/15/54, Series 2021-L6, Class A4^(d) | 100,000 | 95,638 | ||||||
UBS Commercial Mortgage Trust | ||||||||
4.30%, 8/15/51, Series 2018-C12, Class A5 | 50,000 | 53,924 | ||||||
4.08%, 12/15/51, Series 2018-C15, Class A3 | 50,000 | 52,188 |
See Notes to Financial Statements.
WisdomTree Trust | 75 |
Table of Contents
Schedule of Investments (unaudited) (continued)
WisdomTree Interest Rate Hedged U.S. Aggregate Bond Fund (AGZD)
February 28, 2022
Investments | Principal Amount | Value | ||||||
Wells Fargo Commercial Mortgage Trust | ||||||||
3.79%, 9/15/48, Series 2015-SG1, Class A4 | $ | 98,674 | $ | 101,530 | ||||
3.64%, 3/15/50, Series 2017-RB1, Class A5 | 68,000 | 70,778 | ||||||
2.40%, 7/15/53, Series 2020-C58, Class AS | 100,000 | 93,963 | ||||||
WFRBS Commercial Mortgage Trust | ||||||||
4.02%, 12/15/46, Series 2013-C17, Class A4 | 100,000 | 102,843 | ||||||
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES (Cost: $6,175,191) |
| 6,001,025 | ||||||
MUNICIPAL BONDS – 0.4% |
| |||||||
United States – 0.4% |
| |||||||
Bay Area Toll Authority | 25,000 | 40,850 | ||||||
Chicago Transit Authority Sales & Transfer Tax Receipts Revenue | 50,000 | 67,121 | ||||||
City of Houston, TX | 100,000 | 111,483 | ||||||
New Jersey Transportation Trust Fund Authority | 45,000 | 51,495 | ||||||
New York City Water & Sewer System | 100,000 | 135,600 | ||||||
Port Authority of New York & New Jersey | 100,000 | 129,660 | ||||||
4.81%, 10/15/65, Series 192 | 25,000 | 31,475 | ||||||
Port of Morrow, OR | 20,000 | 18,245 | ||||||
Sales Tax Securitization Corp. | 150,000 | 154,720 | ||||||
State of California | 190,000 | 299,177 | ||||||
State of Mississippi | 75,000 | 90,061 | ||||||
Texas Transportation Commission | 20,000 | 18,217 | ||||||
Texas Transportation Commission State Highway Fund | 50,000 | 58,131 | ||||||
4.00%, 10/1/33 | 20,000 | 22,601 | ||||||
University of California | 10,000 | 10,606 | ||||||
TOTAL MUNICIPAL BONDS (Cost: $1,268,407) |
| 1,239,442 | ||||||
ASSET-BACKED SECURITIES – 0.3% |
| |||||||
United States – 0.3% |
| |||||||
CarMax Auto Owner Trust | ||||||||
2.64%, 6/15/23, Series 2018-1, Class A4 | 7,979 | 7,985 | ||||||
Ford Credit Auto Owner Trust | ||||||||
1.04%, 8/15/24, Series 2020-A, Class A3 | 40,054 | 40,010 | ||||||
GM Financial Consumer Automobile Receivables Trust | ||||||||
2.65%, 2/16/24, Series 2019-2, Class A3 | 3,831 | 3,848 | ||||||
1.49%, 12/16/24, Series 2020-2, Class A3 | 36,505 | 36,550 | ||||||
Honda Auto Receivables Owner Trust | ||||||||
1.83%, 1/18/24, Series 2019-4, Class A3 | 28,115 | 28,226 | ||||||
0.82%, 7/15/24, Series 2020-2, Class A3 | 21,345 | 21,299 | ||||||
Santander Drive Auto Receivables Trust | ||||||||
0.48%, 7/15/24, Series 2020-4, Class A3 | 24,452 | 24,448 | ||||||
Volkswagen Auto Loan Enhanced Valet | ||||||||
1.26%, 10/20/28, Series 2021-1, Class A4 | 100,000 | 97,707 | ||||||
World Omni Auto Receivables Trust | ||||||||
0.82%, 1/15/26, Series 2020-B, Class A4 | 500,000 | 492,728 | ||||||
TOTAL ASSET-BACKED SECURITIES (Cost: $767,069) |
| 752,801 | ||||||
REPURCHASE AGREEMENT – 7.2% |
| |||||||
United States – 7.2% |
| |||||||
Citigroup, Inc., tri-party repurchase agreement dated 2/28/22 (tri-party custodian: The Bank of New York Mellon Corp.), 0.06% due 3/1/22; Proceeds at maturity – $22,060,037 (fully collateralized by Ginnie Mae II Single Family, 2.00% – 4.00% due 1/20/52, Ginnie Mae II Single Family Platinum, 3.50% due 1/20/52; Market value including accrued interest – $23,164,000) | ||||||||
(Cost: $22,060,000) | 22,060,000 | 22,060,000 | ||||||
Shares | ||||||||
INVESTMENT OF CASH COLLATERAL FOR SECURITIES LOANED – 0.5% |
| |||||||
United States – 0.5% |
| |||||||
State Street Navigator Securities Lending Government Money Market Portfolio, 0.06%(e) | ||||||||
(Cost: $1,605,325) | 1,605,325 | 1,605,325 | ||||||
TOTAL INVESTMENTS IN SECURITIES – 108.1% (Cost: $335,025,598) |
| 330,000,982 | ||||||
Other Assets less Liabilities – (8.1)% |
| (24,797,101 | ) | |||||
|
| |||||||
NET ASSETS – 100.0% |
| $ | 305,203,881 |
^ | Variable coupon rate based on weighted average interest rate of underlying mortgage. |
(a) | To-be-announced (“TBA”) security (See Note 2). TBA securities are non-income producing. |
(b) | Security, or portion thereof, was on loan at February 28, 2022 (See Note 2). At February 28, 2022, the total market value of the Fund’s securities on loan identified in the Schedule of Investments was $3,987,587. The Fund also had securities on loan having a total market value of $22,280 that were sold and pending settlement. The total market value of the collateral held by the Fund was $4,102,101. The total market value of the collateral includes non-cash U.S. Government securities collateral having a value of $2,496,776. |
(c) | This security is exempt from registration under rule 144A of the Securities Act of 1933. This security may be sold in transactions that are exempt from registration, normally to qualified institutional buyers. |
(d) | Rate shown reflects the accrual rate as of February 28, 2022 on securities with variable or step rates. |
(e) | Rate shown represents annualized 7-day yield as of February 28, 2022. |
See Notes to Financial Statements.
76 | WisdomTree Trust |
Table of Contents
Schedule of Investments (unaudited) (concluded)
WisdomTree Interest Rate Hedged U.S. Aggregate Bond Fund (AGZD)
February 28, 2022
FINANCIAL DERIVATIVE INSTRUMENTS | ||||||||||||||||
FUTURES CONTRACTS (EXCHANGE-TRADED) | ||||||||||||||||
Short Exposure | Contracts | Expiration Date | Notional Value | Unrealized Appreciation/ (Depreciation) | ||||||||||||
2 Year U.S. Treasury Note | 334 | 6/30/22 | $ | (71,885,672 | ) | $ | (259,594 | ) | ||||||||
5 Year U.S. Treasury Note | 1,374 | 6/30/22 | (162,518,437 | ) | (1,239,618 | ) | ||||||||||
U.S. Treasury Ultra Long Term Bond | 196 | 6/21/22 | (36,443,750 | ) | (595,992 | ) | ||||||||||
Ultra 10 Year U.S. Treasury Note | 338 | 6/21/22 | (47,768,906 | ) | (677,344 | ) | ||||||||||
$ | (318,616,765 | ) | $ | (2,772,548 | ) |
FAIR VALUATION SUMMARY |
The following is a summary of the fair valuations according to the inputs used as of February 28, 2022 in valuing the Fund’s investments (See Note 2 — Fair Value Measurement):
Quoted Prices in Active Markets (Level 1) | Other Significant Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | |||||||||||||
Assets: |
| |||||||||||||||
Investments in Securities | ||||||||||||||||
U.S. Government Agencies | $ | — | $ | 87,729,531 | $ | — | $ | 87,729,531 | ||||||||
U.S. Government Obligations | — | 125,231,722 | — | 125,231,722 | ||||||||||||
U.S. Corporate Bonds | — | 65,454,733 | — | 65,454,733 | ||||||||||||
Foreign Corporate Bonds | — | 9,828,208 | — | 9,828,208 | ||||||||||||
Foreign Government Agencies | — | 2,059,563 | — | 2,059,563 | ||||||||||||
Foreign Government Obligations | — | 3,449,083 | — | 3,449,083 | ||||||||||||
Supranational Bonds | — | 4,589,549 | — | 4,589,549 | ||||||||||||
Commercial Mortgage-Backed Securities | — | 6,001,025 | — | 6,001,025 | ||||||||||||
Municipal Bonds | — | 1,239,442 | — | 1,239,442 | ||||||||||||
Asset-Backed Securities | — | 752,801 | — | 752,801 | ||||||||||||
Repurchase Agreement | — | 22,060,000 | — | 22,060,000 | ||||||||||||
Investment of Cash Collateral for Securities Loaned | — | 1,605,325 | — | 1,605,325 | ||||||||||||
Total Investments in Securities | $ | — | $ | 330,000,982 | $ | — | $ | 330,000,982 | ||||||||
Liabilities: |
| |||||||||||||||
Financial Derivative Instruments | ||||||||||||||||
Futures Contracts1 | $ | (2,772,548 | ) | $ | — | $ | — | $ | (2,772,548 | ) | ||||||
Total – Net | $ | (2,772,548 | ) | $ | 330,000,982 | $ | — | $ | 327,228,434 |
1 | Amount shown represents the unrealized appreciation (depreciation) on the financial instrument. |
See Notes to Financial Statements.
WisdomTree Trust | 77 |
Table of Contents
Schedule of Investments (unaudited)
WisdomTree Mortgage Plus Bond Fund (MTGP)
February 28, 2022
Investments | Principal Amount | Value | ||||||
ASSET-BACKED SECURITIES – 0.8% |
| |||||||
United States – 0.8% |
| |||||||
Navient Private Education Refi Loan Trust | $ | 284,000 | $ | 283,788 | ||||
Sofi Consumer Loan Program Trust | 30,700 | 30,781 | ||||||
4.02%, 8/25/27, Series 2018-3, Class B(a) | 3,316 | 3,323 | ||||||
TOTAL ASSET-BACKED SECURITIES (Cost: $328,181) |
| 317,892 | ||||||
COLLATERALIZED LOAN OBLIGATIONS – 4.8% |
| |||||||
Cayman Islands – 4.2% |
| |||||||
Apidos XXXVI | ||||||||
2.13%, 7/20/34, Series 2021-36A, Class C (3-month U.S. dollar London Interbank Offered Rate + 2.00%)(a)(b) | 350,000 | 346,145 | ||||||
Ares XLVII Ltd. | ||||||||
1.99%, 4/15/30, Series 2018-47A, Class C, (3-month U.S. dollar London Interbank Offered Rate + 1.75%)(a)(b) | 400,000 | 395,416 | ||||||
LCM 28 Ltd. | ||||||||
2.40%, 10/20/30, Series 28A, Class C, (3-month U.S. dollar London Interbank Offered Rate + 2.15%)(a)(b) | 400,000 | 396,785 | ||||||
Neuberger Berman Loan Advisers Ltd. | ||||||||
1.95%, 1/20/32, Series 2019-32A, Class CR, (3-month U.S. dollar London Interbank Offered Rate + 1.70%)(a)(b) | 500,000 | 497,031 | ||||||
|
| |||||||
Total Cayman Islands |
| 1,635,377 | ||||||
Morocco – 0.6% |
| |||||||
OCP SA | ||||||||
1.35%, 4/26/31, Series 2014-5A, Class A1R, (3-month U.S. dollar London Interbank Offered Rate + 1.08%)(a)(b) | 250,000 | 248,701 | ||||||
TOTAL COLLATERALIZED LOAN OBLIGATIONS (Cost: $1,862,611) |
| 1,884,078 | ||||||
COLLATERALIZED MORTGAGE OBLIGATIONS – 46.6% |
| |||||||
Federal Home Loan Mortgage Corp. REMIC 7.40%, 5/15/23, Series 1517, Class J | 4,925 | 5,029 | ||||||
4.50%, 7/15/25, Series 3000, Class BC | 21,187 | 21,774 | ||||||
4.00%, 5/15/28, Series 4669, Class EV | 184,013 | 187,533 | ||||||
6.00%, 7/15/29, Series 2175, Class TH | 43,699 | 47,461 | ||||||
6.00%, 5/15/32, Series 2448, Class ZQ | 56,906 | 62,138 | ||||||
3.00%, 8/15/32, Series 4092, Class AY | 200,000 | 208,898 | ||||||
6.00%, 8/15/32, Series 2485, Class WG | 19,869 | 22,116 | ||||||
5.00%, 11/15/32, Series 2519, Class NU | 810,958 | 864,585 | ||||||
5.50%, 11/15/32, Series 2519, Class ZD | 7,668 | 8,393 | ||||||
5.50%, 11/15/32, Series 2520, Class PH | 140,512 | 155,697 | ||||||
2.50%, 1/15/33, Series 4332, Class CU | 74,705 | 74,834 | ||||||
0.64%, 6/15/34, Series 2812, Class MF^(b) | 175,177 | 176,727 | ||||||
5.50%, 9/15/34, Series 2861, Class Z | 9,915 | 11,175 | ||||||
5.00%, 11/15/34, Series 2893, Class PE | 41,107 | 44,882 | ||||||
6.00%, 11/15/36, Series 3244, Class LZ | 256 | 284 | ||||||
0.50%, 3/15/37, Series 3284, Class LF^(b) | 504,590 | 507,218 | ||||||
5.00%, 1/15/40, Series 3626, Class ME | 416,311 | 455,343 | ||||||
5.00%, 4/15/40, Series 3658, Class CZ | 379,003 | 435,236 | ||||||
4.50%, 9/15/40, Series 3726, Class QZ | 324,310 | 350,047 | ||||||
4.00%, 1/15/41, Series 4179, Class AZ | 510,133 | 542,578 | ||||||
3.50%, 5/15/41, Series 4229, Class MA | 67,817 | 70,041 | ||||||
3.00%, 12/15/41, Series 4273, Class GM | 72,409 | 73,314 | ||||||
2.00%, 1/15/42, Series 4112, Class CP | 19,867 | 19,777 | ||||||
4.50%, 9/15/42, Series 4671, Class JM | 76,310 | 78,543 | ||||||
3.50%, 3/15/43, Series 4402, Class PE | 5,331 | 5,373 | ||||||
3.00%, 5/15/43, Series 4322, Class DJ | 82,152 | 82,821 | ||||||
3.00%, 6/15/44, Series 4483, Class CA | 212,328 | 214,691 | ||||||
2.25%, 8/15/44, Series 4406, Class AC | 79,335 | 78,285 | ||||||
3.50%, 9/15/46, Series 4774, Class LP | 93,825 | 96,094 | ||||||
3.00%, 4/25/49, Series 4908, Class BD | 323,476 | 327,299 | ||||||
Federal Home Loan Mortgage Corp. STACR Debt Notes | ||||||||
2.49%, 9/25/30, Series 2018-HQA1, Class M2^(b) | 151,783 | 153,228 | ||||||
Federal Home Loan Mortgage Corp. STRIPS | 361,559 | 373,866 | ||||||
Federal National Mortgage Association REMIC 6.68%, 1/25/23, Series G93-1, Class K | 1,470 | 1,488 | ||||||
6.00%, 8/25/23, Series 1996-8, Class C | 3,064 | 3,111 | ||||||
6.50%, 9/25/23, Series 1993-169, Class L | 7,988 | 8,255 | ||||||
3.50%, 8/25/26, Series 2011-80, Class HE | 213,084 | 218,828 | ||||||
2.00%, 11/25/30, Series 2015-93, Class AD | 170,274 | 171,627 | ||||||
6.50%, 10/25/31, Series 2001-52, Class YZ | 1,152 | 1,303 | ||||||
3.00%, 6/25/33, Series 2014-36, Class QA | 56,170 | 56,986 | ||||||
4.00%, 8/25/33, Series 2014-58, Class VM | 100,000 | 103,290 | ||||||
4.50%, 10/25/34, Series 2004-75, Class ZG | 6,929 | 7,461 | ||||||
0.44%, 5/25/35, Series 2005-40, Class FB^(b) | 91,622 | 91,317 | ||||||
4.75%, 8/25/35, Series 2005-80, Class SZ | 109,314 | 119,025 | ||||||
6.00%, 7/25/36, Series 2006-62, Class PZ | 135,362 | 191,235 | ||||||
4.50%, 10/25/36, Series 2009-19, Class PW | 36,572 | 39,435 | ||||||
0.44%, 12/25/36, Series 2006-120, Class PF^(b) | 81,985 | 81,624 | ||||||
5.50%, 2/25/37, Series 2007-6, Class PA | 15,606 | 16,402 | ||||||
4.25%, 4/25/37, Series 2007-30, Class ZM | 257,964 | 295,913 | ||||||
5.00%, 4/25/37, Series 2007-26, Class JZ | 229,989 | 250,345 | ||||||
5.00%, 3/25/38, Series 2008-16, Class EA | 6,794 | 7,443 | ||||||
6.00%, 8/25/39, Series 2009-62, Class Z | 273,735 | 314,982 | ||||||
5.00%, 11/25/39, Series 2009-89, Class PH | 118,000 | 130,606 | ||||||
5.00%, 7/25/40, Series 2010-80, Class PZ | 268,475 | 300,782 | ||||||
5.00%, 9/25/40, Series 2010-102, Class PN | 165,658 | 179,421 | ||||||
1.75%, 11/25/40, Series 2012-51, Class GU | 400,000 | 400,073 | ||||||
3.00%, 2/25/41, Series 2011-134, Class NJ | 75,842 | 76,667 | ||||||
2.50%, 5/25/41, Series 2012-131, Class DZ | 16,407 | 16,369 | ||||||
5.00%, 6/25/41, Series 2011-52, Class GB | 164,298 | 180,776 | ||||||
2.50%, 9/25/41, Series 2011-127, Class JC | 27,890 | 27,751 | ||||||
5.25%, 9/25/41, Series 2011-84, Class PZ | 346,667 | 387,416 | ||||||
3.00%, 3/25/42, Series 2016-21, Class BA | 55,962 | 56,231 | ||||||
1.75%, 6/25/42, Series 2013-37, Class JA | 176,322 | 175,744 | ||||||
2.50%, 11/25/42, Series 2012-152, Class TB | 231,000 | 229,425 | ||||||
3.00%, 2/25/43, Series 2013-1, Class JZ | 79,149 | 77,995 | ||||||
3.00%, 3/25/44, Series 2015-42, Class CA | 223,810 | 225,635 | ||||||
3.00%, 4/25/45, Series 2015-23, Class HZ | 492,112 | 505,777 |
See Notes to Financial Statements.
78 | WisdomTree Trust |
Table of Contents
Schedule of Investments (unaudited) (continued)
WisdomTree Mortgage Plus Bond Fund (MTGP)
February 28, 2022
Investments | Principal Amount | Value | ||||||
3.00%, 3/25/46, Series 2016-9, Class D | $ | 174,431 | $ | 177,730 | ||||
3.00%, 4/25/46, Series 2018-3, Class PA | 189,672 | 193,933 | ||||||
2.50%, 9/25/46, Series 2016-63, Class CA | 52,245 | 51,659 | ||||||
Government National Mortgage Association 5.00%, 7/16/33, Series 2003-60, Class ZG | 124,551 | 132,914 | ||||||
5.00%, 4/20/34, Series 2004-31, Class ZB | 210,548 | 224,730 | ||||||
5.00%, 6/20/35, Series 2005-46, Class YX | 154,880 | 172,127 | ||||||
5.50%, 4/20/37, Series 2007-24, Class PC | 62,151 | 64,647 | ||||||
5.50%, 5/20/38, Series 2008-42, Class QB | 66,450 | 72,192 | ||||||
2.00%, 8/20/39, Series 2011-52, Class KY | 68,240 | 68,074 | ||||||
5.50%, 9/16/39, Series 2009-76, Class XA, REMIC | 425,664 | 496,740 | ||||||
4.50%, 9/16/40, Series 2010-125, Class BZ, REMIC | 256,142 | 271,033 | ||||||
3.00%, 7/16/41, Series 2011-135, Class WH | 131,648 | 130,700 | ||||||
3.00%, 3/16/42, Series 2012-39, Class GC, REMIC | 145,000 | 148,414 | ||||||
4.00%, 3/20/44, Series 2014-43, Class Z | 615,269 | 694,148 | ||||||
3.75%, 4/16/44, Series 2014-60, Class AL | 250,000 | 272,367 | ||||||
3.00%, 11/20/45, Series 2015-165, Class ZE | 120,595 | 125,817 | ||||||
JP Morgan Mortgage Trust | ||||||||
3.60%, 5/25/45, Series 2015-3, Class B3^(a)(b) | 133,749 | 132,727 | ||||||
3.91%, 12/25/48, Series 2018-6, Class B2^(a)(b) | 272,281 | 267,678 | ||||||
3.45%, 5/25/50, Series 2019-9, Class B2A^(a)(b) | 287,462 | 282,356 | ||||||
4.42%, 5/25/50, Series 2019-INV3, Class B3^(a)(b) | 222,231 | 221,376 | ||||||
3.70%, 11/25/50, Series 2020-4, Class B2^(a)(b) | 289,719 | 285,016 | ||||||
3.61%, 12/25/50, Series 2020-5, Class B1^(a)(b) | 483,647 | 479,899 | ||||||
Provident Funding Mortgage Trust | ||||||||
3.27%, 2/25/50, Series 2020-1, Class B1^(a)(b) | 382,319 | 376,395 | ||||||
RCKT Mortgage Trust | ||||||||
3.00%, 2/25/50, Series 2020-1, Class A13^(a)(b) | 164,217 | 163,163 | ||||||
Seasoned Credit Risk Transfer Trust | ||||||||
3.75%, 9/25/55, Series 2016-1, Class M2^(a)(b) | 626,457 | 625,520 | ||||||
4.75%, 5/25/57, Series 2018-1, Class M^(b) | 300,000 | 302,440 | ||||||
2.50%, 5/25/60, Series 2020-3, Class M5TU | 174,487 | 174,506 | ||||||
Seasoned Loans Structured Transaction Trust 3.50%, 6/25/28, Series 2018-1, Class A1 | 193,912 | 198,582 | ||||||
2.75%, 9/25/29, Series 2019-2, Class A2C | 495,000 | 507,240 | ||||||
Sequoia Mortgage Trust | ||||||||
4.00%, 3/25/48, Series 2018-CH1, Class A1^(a)(b) | 29,484 | 29,670 | ||||||
Verus Securitization Trust | ||||||||
2.99%, 5/25/60, Series 2020-2, Class A2^(a)(b) | 300,000 | 296,166 | ||||||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost: $18,922,568) |
| 18,345,977 | ||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES – 4.8% |
| |||||||
United States – 4.8% |
| |||||||
Bank | ||||||||
1.35%, 11/15/53, Series 2020-BN29, Class XA^(b)(c) | 4,457,745 | 420,417 | ||||||
2.90%, 6/15/64, Series 2021-BN35, Class C^(b) | 350,000 | 326,154 | ||||||
Benchmark Mortgage Trust | ||||||||
2.50%, 12/15/62, Series 2019-B14, Class D(a) | 380,000 | 313,163 | ||||||
Cantor Commercial Real Estate Lending | ||||||||
2.50%, 1/15/53, Series 2019-CF3, Class D^(a)(b) | 250,000 | 205,627 | ||||||
Federal Home Loan Mortgage Corp. Multiclass Certificates | ||||||||
1.84%, 9/25/45, Series 2021-P011, Class X1^(b)(c) | 437,082 | 67,036 | ||||||
Washington State Housing Finance Commission | ||||||||
0.73%, 12/20/35, Series 2021-1, Class X^(b)(c) | 6,240,820 | 360,907 | ||||||
WFRBS Commercial Mortgage Trust | ||||||||
4.23%, 8/15/47, Series 2014-C21, Class C^(b) | 200,000 | 197,439 | ||||||
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES (Cost: $1,959,152) |
| 1,890,743 | ||||||
U.S. GOVERNMENT AGENCIES – 41.2% |
| |||||||
Federal Home Loan Mortgage Corporation – 5.8% |
| |||||||
4.00%, 1/1/42 | 265,297 | 284,761 | ||||||
3.00%, 11/15/42 | 395,811 | 405,749 | ||||||
3.50%, 8/1/46 | 270,327 | 283,707 | ||||||
3.50%, 9/1/47 | 338,964 | 353,716 | ||||||
2.00%, 1/1/52 | 997,573 | 959,409 | ||||||
|
| |||||||
Total Federal Home Loan Mortgage Corporation |
| 2,287,342 | ||||||
Federal National Mortgage Association – 6.2% |
| |||||||
4.00%, 11/1/43 | 309,877 | 332,508 | ||||||
4.00%, 5/1/47 | 251,162 | 266,997 | ||||||
4.00%, 12/1/47 | 256,117 | 272,274 | ||||||
4.00%, 10/1/48 | 930,543 | 997,247 | ||||||
4.00%, 4/1/55 | 443,974 | 484,893 | ||||||
4.50%, 6/1/56 | 82,632 | 90,262 | ||||||
|
| |||||||
Total Federal National Mortgage Association |
| 2,444,181 | ||||||
Government National Mortgage Association – 17.3% |
| |||||||
3.50%, 7/20/47 | 519,131 | 545,860 | ||||||
4.50%, 5/20/49 | 82,652 | 86,782 | ||||||
2.50%, 3/1/52(d) | 3,690,000 | 3,687,261 | ||||||
3.00%, 4/1/52(d) | 2,450,000 | 2,485,123 | ||||||
|
| |||||||
Total Government National Mortgage Association |
| 6,805,026 | ||||||
Uniform Mortgage-Backed Securities – 11.9% |
| |||||||
2.00%, 3/1/52(d) | 1,588,000 | 1,523,364 | ||||||
2.50%, 3/1/52(d) | 3,199,000 | 3,156,388 | ||||||
|
| |||||||
Total Uniform Mortgage-Backed Securities |
| 4,679,752 | ||||||
TOTAL U.S. GOVERNMENT AGENCIES (Cost: $16,216,224) |
| 16,216,301 | ||||||
TOTAL INVESTMENTS IN SECURITIES – 98.2% (Cost: $39,288,736) |
| 38,654,991 | ||||||
Other Assets less Liabilities – 1.8% |
| 711,788 | ||||||
|
| |||||||
NET ASSETS – 100.0% |
| $ | 39,366,779 |
See Notes to Financial Statements.
WisdomTree Trust | 79 |
Table of Contents
Schedule of Investments (unaudited) (concluded)
WisdomTree Mortgage Plus Bond Fund (MTGP)
February 28, 2022
^ | Variable coupon rate based on weighted average interest rate of underlying mortgage. |
(a) | This security is exempt from registration under rule 144A of the Securities Act of 1933. This security may be sold in transactions that are exempt from registration, normally to qualified institutional buyers. |
(b) | Rate shown reflects the accrual rate as of February 28, 2022 on securities with variable or step rates. |
(c) | Interest-only security. The principal amount shown is a notional amount representing the outstanding principal of the underlying debt obligation(s). Holders of interest-only securities do not receive principal payments on the underlying debt obligation(s). |
(d) | To-be-announced (“TBA”) security (See Note 2). TBA securities are non-income producing. |
FINANCIAL DERIVATIVE INSTRUMENTS | ||||||||||||||||
FUTURES CONTRACTS (EXCHANGE-TRADED) | ||||||||||||||||
Short Exposure | Contracts | Expiration Date | Notional Value | Unrealized Appreciation/ (Depreciation) | ||||||||||||
10 Year U.S. Treasury Note | 4 | 6/21/22 | $ | (509,750 | ) | $ | (4,844 | ) | ||||||||
Long Exposure |
| |||||||||||||||
U.S. Treasury Long Bond | 6 | 6/21/22 | $ | 940,125 | $ | 14,430 | ||||||||||
U.S. Treasury Ultra Long Term Bond | 2 | 6/21/22 | 371,875 | 5,196 | ||||||||||||
$ | 1,312,000 | $ | 19,626 | |||||||||||||
Total – Net |
| $ | 802,250 | $ | 14,782 |
FAIR VALUATION SUMMARY |
The following is a summary of the fair valuations according to the inputs used as of February 28, 2022 in valuing the Fund’s investments (See Note 2 — Fair Value Measurement):
Quoted Prices in Active Markets (Level 1) | Other Significant Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | |||||||||||||
Assets: | ||||||||||||||||
Investments in Securities | ||||||||||||||||
Asset-Backed Securities | $ | — | $ | 317,892 | $ | — | $ | 317,892 | ||||||||
Collateralized Loan Obligations | — | 1,884,078 | — | 1,884,078 | ||||||||||||
Collateralized Mortgage Obligations | — | 18,345,977 | — | 18,345,977 | ||||||||||||
Commercial Mortgage-Backed Securities | — | 1,890,743 | — | 1,890,743 | ||||||||||||
U.S. Government Agencies | — | 16,216,301 | — | 16,216,301 | ||||||||||||
Total Investments in Securities | $ | — | $ | 38,654,991 | $ | — | $ | 38,654,991 | ||||||||
Financial Derivative Instruments | ||||||||||||||||
Futures Contracts1 | $ | 19,626 | $ | — | $ | — | $ | 19,626 | ||||||||
Liabilities: | ||||||||||||||||
Financial Derivative Instruments | ||||||||||||||||
Futures Contracts1 | $ | (4,844 | ) | $ | — | $ | — | $ | (4,844 | ) | ||||||
Total – Net | $ | 14,782 | $ | 38,654,991 | $ | — | $ | 38,669,773 |
1 | Amount shown represents the unrealized appreciation (depreciation) on the financial instrument. |
See Notes to Financial Statements.
80 | WisdomTree Trust |
Table of Contents
Schedule of Investments (unaudited)
WisdomTree Yield Enhanced U.S. Aggregate Bond Fund (AGGY)
February 28, 2022
Investments in Long Securities | Principal Amount | Value | ||||||
U.S. GOVERNMENT AGENCIES – 48.0% | ||||||||
Federal Farm Credit Bank – 0.5% | ||||||||
2.02%, 4/1/31 | $ | 2,000,000 | $ | 1,920,300 | ||||
1.79%, 6/22/35 | 500,000 | 455,620 | ||||||
1.65%, 7/23/35 | 1,500,000 | 1,330,980 | ||||||
1.95%, 8/13/40 | 1,500,000 | 1,302,495 | ||||||
|
| |||||||
Total Federal Farm Credit Bank |
| 5,009,395 | ||||||
Federal Home Loan Bank – 1.0% |
| |||||||
3.25%, 11/16/28 | 1,200,000 | 1,298,892 | ||||||
5.50%, 7/15/36 | 6,500,000 | 8,990,930 | ||||||
|
| |||||||
Total Federal Home Loan Bank |
| 10,289,822 | ||||||
Federal Home Loan Mortgage Corporation – 7.9% |
| |||||||
6.75%, 9/15/29, Series GDIF | 280,000 | 376,748 | ||||||
2.50%, 4/1/30 | 1,815,492 | 1,845,502 | ||||||
3.00%, 5/1/30 | 542,445 | 557,065 | ||||||
6.75%, 3/15/31 | 5,500,000 | 7,594,620 | ||||||
6.25%, 7/15/32 | 13,659,000 | 18,901,324 | ||||||
3.00%, 1/1/33 | 1,387,688 | 1,429,556 | ||||||
3.00%, 5/1/33 | 1,905,078 | 1,954,373 | ||||||
4.00%, 11/1/33 | 37,049 | 38,409 | ||||||
5.50%, 12/1/33 | 266,818 | 296,072 | ||||||
6.50%, 3/1/36 | 176,946 | 198,482 | ||||||
5.00%, 6/1/37 | 1,545 | 1,703 | ||||||
6.00%, 9/1/37 | 141,838 | 159,230 | ||||||
2.28%, 11/15/38, Series 1(a) | 200,000 | 131,434 | ||||||
5.50%, 2/1/40 | 5,855 | 6,573 | ||||||
4.50%, 8/1/40 | 108,082 | 116,966 | ||||||
4.00%, 11/1/40 | 8,397 | 8,943 | ||||||
5.00%, 3/1/41 | 173,748 | 191,505 | ||||||
5.50%, 6/1/41 | 174,370 | 195,442 | ||||||
5.00%, 7/1/41 | 5,012 | 5,533 | ||||||
3.50%, 10/1/41 | 129,594 | 135,802 | ||||||
3.50%, 2/1/42 | 117,942 | 123,590 | ||||||
5.00%, 2/1/42 | 227,025 | 250,445 | ||||||
4.00%, 4/1/42 | 403,837 | 430,167 | ||||||
4.50%, 5/1/42 | 177,158 | 191,643 | ||||||
3.50%, 6/1/42 | 30,066 | 31,486 | ||||||
3.50%, 7/1/42 | 144,547 | 151,371 | ||||||
3.50%, 8/1/42 | 135,751 | 142,160 | ||||||
3.50%, 9/1/42 | 167,726 | 175,733 | ||||||
3.00%, 3/1/43 | 247,624 | 254,836 | ||||||
3.00%, 4/1/43 | 155,346 | 159,870 | ||||||
3.00%, 7/1/43 | 670,012 | 690,397 | ||||||
3.50%, 7/1/43 | 194,869 | 203,982 | ||||||
3.00%, 8/1/43 | 47,468 | 48,850 | ||||||
4.00%, 8/1/43 | 16,047 | 17,099 | ||||||
3.50%, 1/1/44 | 1,029,228 | 1,078,186 | ||||||
3.00%, 2/1/44 | 114,989 | 118,406 | ||||||
3.50%, 2/1/44 | 80,217 | 83,968 | ||||||
4.00%, 3/1/44 | 29,783 | 31,604 | ||||||
4.00%, 4/1/44 | 309,084 | 329,257 | ||||||
3.50%, 5/1/44 | 118,846 | 124,428 | ||||||
4.00%, 5/1/44 | 108,866 | 115,522 | ||||||
4.50%, 5/1/44 | 6,558 | 7,068 | ||||||
4.50%, 7/1/44 | 93,772 | 101,073 | ||||||
4.00%, 8/1/44 | 394,766 | 422,990 | ||||||
3.50%, 10/1/44 | 12,257 | 12,837 | ||||||
4.50%, 11/1/44 | 92,784 | 100,005 | ||||||
3.50%, 12/1/44 | 157,100 | 164,538 | ||||||
3.50%, 1/1/45 | 32,001 | 33,500 | ||||||
4.00%, 2/1/45 | 53,985 | 57,119 | ||||||
4.00%, 3/1/45 | 7,443 | 7,876 | ||||||
3.00%, 4/1/45 | 10,768 | 11,027 | ||||||
4.00%, 4/1/45 | 34,126 | 36,086 | ||||||
3.00%, 5/1/45 | 44,426 | 45,521 | ||||||
3.50%, 5/1/45 | 69,733 | 72,727 | ||||||
3.50%, 6/1/45 | 34,727 | 36,197 | ||||||
4.00%, 6/1/45 | 100,905 | 106,763 | ||||||
3.00%, 7/1/45 | 11,610 | 11,889 | ||||||
3.00%, 8/1/45 | 49,530 | 50,751 | ||||||
3.50%, 8/1/45 | 485,484 | 506,333 | ||||||
4.00%, 9/1/45 | 55,622 | 58,817 | ||||||
3.50%, 10/1/45 | 68,578 | 71,523 | ||||||
4.00%, 10/1/45 | 59,246 | 62,686 | ||||||
3.50%, 11/1/45 | 33,689 | 35,136 | ||||||
4.00%, 11/1/45 | 47,957 | 50,741 | ||||||
4.50%, 11/1/45 | 392,848 | 423,254 | ||||||
3.00%, 12/1/45 | 45,385 | 46,504 | ||||||
4.50%, 12/1/45 | 134,945 | 145,447 | ||||||
4.00%, 1/1/46 | 16,182 | 17,172 | ||||||
4.00%, 2/1/46 | 77,217 | 81,689 | ||||||
4.00%, 3/1/46 | 60,539 | 63,810 | ||||||
3.00%, 4/1/46 | 211,775 | 216,760 | ||||||
3.50%, 4/1/46 | 315,194 | 328,430 | ||||||
4.50%, 4/1/46 | 370,335 | 400,032 | ||||||
3.50%, 5/1/46 | 63,394 | 66,083 | ||||||
3.00%, 6/1/46 | 48,468 | 49,640 | ||||||
3.00%, 9/1/46 | 1,093,859 | 1,121,819 | ||||||
3.50%, 9/1/46 | 86,040 | 89,690 | ||||||
2.50%, 10/1/46 | 51,697 | 51,729 | ||||||
3.00%, 10/1/46 | 62,621 | 64,156 | ||||||
3.50%, 10/1/46 | 34,147 | 35,595 | ||||||
3.00%, 11/1/46 | 454,258 | 464,950 | ||||||
3.50%, 11/1/46 | 12,244 | 12,763 | ||||||
4.00%, 11/1/46 | 24,586 | 25,915 | ||||||
4.50%, 11/1/46 | 251,547 | 271,124 | ||||||
3.00%, 12/1/46 | 198,266 | 202,933 | ||||||
3.00%, 1/1/47 | 355,638 | 364,094 | ||||||
4.00%, 1/1/47 | 105,672 | 111,382 | ||||||
4.50%, 1/1/47 | 348,239 | 375,192 | ||||||
3.00%, 2/1/47 | 311,587 | 318,985 | ||||||
3.00%, 4/1/47 | 437,159 | 447,515 | ||||||
3.50%, 4/1/47 | 138,408 | 143,450 | ||||||
4.00%, 4/1/47 | 75,358 | 79,238 | ||||||
4.00%, 5/1/47 | 60,353 | 63,461 | ||||||
4.50%, 5/1/47 | 15,189 | 16,123 | ||||||
4.00%, 6/1/47 | 91,178 | 95,873 | ||||||
3.50%, 7/1/47 | 93,209 | 96,665 | ||||||
4.00%, 7/1/47 | 162,339 | 170,616 | ||||||
3.50%, 8/1/47 | 94,769 | 98,282 | ||||||
4.00%, 8/1/47 | 343,632 | 361,153 | ||||||
4.50%, 8/1/47 | 83,033 | 88,133 | ||||||
3.50%, 9/1/47 | 227,568 | 236,001 | ||||||
4.50%, 9/1/47 | 112,689 | 119,611 | ||||||
4.00%, 10/1/47 | 276,508 | 290,607 |
See Notes to Financial Statements.
WisdomTree Trust | 81 |
Table of Contents
Schedule of Investments (unaudited) (continued)
WisdomTree Yield Enhanced U.S. Aggregate Bond Fund (AGGY)
February 28, 2022
Investments in Long Securities | Principal Amount | Value | ||||||
4.50%, 10/1/47 | $ | 44,185 | $ | 46,900 | ||||
3.50%, 11/1/47 | 314,339 | 325,878 | ||||||
3.50%, 1/1/48 | 83,972 | 87,031 | ||||||
4.50%, 2/1/48 | 64,247 | 68,193 | ||||||
3.00%, 9/1/48 | 140,387 | 143,692 | ||||||
4.00%, 9/1/48 | 61,966 | 64,966 | ||||||
4.00%, 10/1/48 | 364,644 | 383,784 | ||||||
4.50%, 10/1/48 | 158,407 | 168,097 | ||||||
3.00%, 12/1/48 | 65,664 | 67,091 | ||||||
4.50%, 2/1/49 | 656,250 | 697,452 | ||||||
4.50%, 3/1/49 | 27,132 | 28,791 | ||||||
5.00%, 3/1/49 | 16,645 | 17,958 | ||||||
4.50%, 5/1/49 | 104,197 | 110,469 | ||||||
4.00%, 7/1/49 | 583,960 | 619,042 | ||||||
4.50%, 7/1/49 | 113,785 | 120,633 | ||||||
5.50%, 7/1/49 | 95,721 | 103,451 | ||||||
3.50%, 8/1/49 | 378,401 | 392,023 | ||||||
3.00%, 10/1/49 | 637,129 | 647,230 | ||||||
5.00%, 10/1/49 | 945,163 | 1,019,123 | ||||||
5.50%, 10/1/49 | 230,001 | 252,412 | ||||||
3.00%, 12/1/49 | 617,215 | 626,836 | ||||||
3.00%, 2/1/50 | 460,357 | 467,192 | ||||||
3.00%, 3/1/50 | 347,615 | 352,838 | ||||||
3.00%, 4/1/50 | 1,934,226 | 1,959,718 | ||||||
2.50%, 5/1/50 | 610,923 | 605,603 | ||||||
3.00%, 5/1/50 | 69,883 | 70,631 | ||||||
2.50%, 6/1/50 | 1,006,315 | 997,217 | ||||||
4.00%, 6/1/50 | 646,908 | 675,376 | ||||||
2.50%, 7/1/50 | 288,197 | 285,514 | ||||||
3.50%, 7/1/50 | 28,086 | 28,936 | ||||||
2.50%, 8/1/50 | 1,194,447 | 1,183,420 | ||||||
2.50%, 9/1/50 | 2,815,420 | 2,788,785 | ||||||
2.00%, 1/1/51 | 897,953 | 865,605 | ||||||
1.50%, 2/1/51 | 1,496,650 | 1,391,368 | ||||||
2.50%, 2/1/51 | 768,306 | 760,387 | ||||||
2.00%, 3/1/51 | 274,999 | 264,409 | ||||||
2.00%, 4/1/51 | 1,596,300 | 1,532,624 | ||||||
2.00%, 5/1/51 | 1,961,045 | 1,883,389 | ||||||
2.50%, 5/1/51 | 453,522 | 448,418 | ||||||
1.50%, 6/1/51 | 2,250,059 | 2,089,788 | ||||||
2.00%, 9/1/51 | 967,831 | 929,225 | ||||||
2.50%, 9/1/51 | 1,869,140 | 1,846,884 | ||||||
1.50%, 10/1/51 | 1,374,980 | 1,276,477 | ||||||
2.00%, 10/1/51 | 2,546,081 | 2,447,463 | ||||||
1.50%, 11/1/51 | 984,478 | 913,849 | ||||||
2.00%, 11/1/51 | 983,897 | 944,939 | ||||||
3.00%, 12/1/51 | 589,811 | 596,597 | ||||||
3.50%, 12/1/51 | 666,609 | 687,578 | ||||||
|
| |||||||
Total Federal Home Loan Mortgage Corporation |
| 82,902,643 | ||||||
Federal National Mortgage Association – 13.4% |
| |||||||
4.00%, 9/1/25 | 626,264 | 649,568 | ||||||
1.88%, 9/24/26 | 60,000 | 60,271 | ||||||
0.75%, 10/8/27 | 60,000 | 56,425 | ||||||
2.50%, 11/1/30 | 287,211 | 291,967 | ||||||
6.63%, 11/15/30 | 1,945,000 | 2,638,217 | ||||||
2.50%, 1/1/32 | 660,545 | 671,483 | ||||||
2.50%, 2/1/32 | 112,301 | 114,186 | ||||||
3.00%, 5/1/32 | 186,243 | 191,859 | ||||||
2.50%, 6/1/32 | 801,606 | 815,060 | ||||||
6.00%, 9/1/32 | 138,024 | 154,326 | ||||||
3.00%, 11/1/32 | 182,509 | 188,013 | ||||||
6.00%, 12/1/32 | 267,598 | 291,733 | ||||||
2.50%, 1/1/33 | 283,489 | 288,166 | ||||||
5.00%, 8/1/33 | 214,783 | 234,332 | ||||||
5.50%, 10/1/35 | 27,841 | 31,030 | ||||||
5.50%, 4/1/37 | 259,705 | 288,736 | ||||||
5.63%, 7/15/37 | 3,545,000 | 4,972,891 | ||||||
5.00%, 5/1/38 | 8,904 | 9,817 | ||||||
6.00%, 5/1/38 | 24,759 | 28,091 | ||||||
5.50%, 6/1/38 | 72,779 | 81,455 | ||||||
5.50%, 11/1/38 | 1,834 | 2,060 | ||||||
4.00%, 8/1/39 | 49,449 | 52,646 | ||||||
4.50%, 9/1/39 | 272,827 | 295,130 | ||||||
5.00%, 9/1/39 | 148,352 | 163,633 | ||||||
4.50%, 11/1/39 | 77,462 | 83,795 | ||||||
5.50%, 4/1/40 | 10,827 | 12,070 | ||||||
4.50%, 8/1/40 | 165,847 | 179,370 | ||||||
4.50%, 9/1/40 | 107,542 | 116,311 | ||||||
4.00%, 10/1/40 | 89,590 | 95,366 | ||||||
4.00%, 12/1/40 | 19,973 | 21,307 | ||||||
3.50%, 1/1/41 | 152,662 | 159,895 | ||||||
4.00%, 1/1/41 | 15,133 | 16,109 | ||||||
4.00%, 2/1/41 | 455,147 | 484,488 | ||||||
4.50%, 2/1/41 | 48,426 | 52,375 | ||||||
4.00%, 3/1/41 | 366,310 | 389,918 | ||||||
6.00%, 7/1/41 | 378,729 | 429,028 | ||||||
4.50%, 8/1/41 | 132,408 | 143,152 | ||||||
4.00%, 9/1/41 | 42,302 | 45,029 | ||||||
4.50%, 9/1/41 | 161,877 | 175,077 | ||||||
5.50%, 9/1/41 | 39,397 | 44,189 | ||||||
4.00%, 10/1/41 | 605,025 | 650,366 | ||||||
4.00%, 11/1/41 | 78,068 | 83,099 | ||||||
4.00%, 12/1/41 | 72,593 | 77,638 | ||||||
4.00%, 1/1/42 | 131,241 | 139,699 | ||||||
4.50%, 1/1/42 | 118,888 | 128,582 | ||||||
6.00%, 1/1/42 | 229,707 | 260,720 | ||||||
4.00%, 3/1/42 | 183,130 | 194,931 | ||||||
4.00%, 5/1/42 | 19,883 | 21,165 | ||||||
3.50%, 6/1/42 | 235,196 | 246,288 | ||||||
4.00%, 6/1/42 | 295,901 | 314,971 | ||||||
4.00%, 9/1/42 | 217,703 | 234,793 | ||||||
3.00%, 10/1/42 | 271,112 | 278,868 | ||||||
4.00%, 12/1/42 | 71,019 | 75,596 | ||||||
2.50%, 2/1/43 | 162,799 | 163,578 | ||||||
4.00%, 2/1/43 | 111,345 | 118,523 | ||||||
2.50%, 3/1/43 | 13,998 | 14,065 | ||||||
3.00%, 4/1/43 | 436,158 | 448,839 | ||||||
2.50%, 5/1/43 | 52,457 | 52,696 | ||||||
3.00%, 5/1/43 | 108,891 | 112,057 | ||||||
3.50%, 5/1/43 | 27,191 | 28,448 | ||||||
3.00%, 6/1/43 | 274,954 | 283,148 | ||||||
3.00%, 7/1/43 | 406,186 | 419,181 | ||||||
3.50%, 7/1/43 | 990,556 | 1,042,088 | ||||||
3.00%, 8/1/43 | 1,531,983 | 1,579,216 | ||||||
3.50%, 8/1/43 | 605,680 | 633,668 | ||||||
4.00%, 8/1/43 | 31,359 | 33,409 |
See Notes to Financial Statements.
82 | WisdomTree Trust |
Table of Contents
Schedule of Investments (unaudited) (continued)
WisdomTree Yield Enhanced U.S. Aggregate Bond Fund (AGGY)
February 28, 2022
Investments in Long Securities | Principal Amount | Value | ||||||
3.00%, 9/1/43 | $ | 2,061,960 | $ | 2,121,912 | ||||
4.00%, 9/1/43 | 207,811 | 221,504 | ||||||
4.50%, 9/1/43 | 17,354 | 18,769 | ||||||
3.50%, 10/1/43 | 129,340 | 135,317 | ||||||
3.50%, 11/1/43 | 208,660 | 218,501 | ||||||
4.00%, 11/1/43 | 259,847 | 277,902 | ||||||
3.50%, 12/1/43 | 283,478 | 296,848 | ||||||
4.00%, 1/1/44 | 405,814 | 434,080 | ||||||
4.00%, 2/1/44 | 113,038 | 120,427 | ||||||
4.00%, 3/1/44 | 86,935 | 92,239 | ||||||
4.50%, 5/1/44 | 78,578 | 84,706 | ||||||
3.50%, 6/1/44 | 116,108 | 121,590 | ||||||
4.00%, 6/1/44 | 39,530 | 42,053 | ||||||
4.00%, 7/1/44 | 476,951 | 506,657 | ||||||
3.50%, 8/1/44 | 22,386 | 23,425 | ||||||
4.00%, 8/1/44 | 31,846 | 33,788 | ||||||
4.00%, 9/1/44 | 109,809 | 116,508 | ||||||
3.00%, 10/1/44 | 361,726 | 372,244 | ||||||
4.00%, 11/1/44 | 184,558 | 196,320 | ||||||
5.00%, 11/1/44 | 142,063 | 156,658 | ||||||
4.00%, 12/1/44 | 74,438 | 79,044 | ||||||
3.00%, 1/1/45 | 4,006 | 4,111 | ||||||
3.50%, 2/1/45 | 765,591 | 801,698 | ||||||
4.00%, 2/1/45 | 400,270 | 425,961 | ||||||
4.50%, 2/1/45 | 435,060 | 470,288 | ||||||
3.00%, 4/1/45 | 94,885 | 97,164 | ||||||
3.00%, 5/1/45 | 354,577 | 364,886 | ||||||
3.00%, 6/1/45 | 102,310 | 104,768 | ||||||
3.50%, 6/1/45 | 93,014 | 96,943 | ||||||
4.00%, 6/1/45 | 496,929 | 527,783 | ||||||
3.50%, 7/1/45 | 650,657 | 678,136 | ||||||
3.50%, 8/1/45 | 410,853 | 431,050 | ||||||
3.50%, 9/1/45 | 962,192 | 1,002,828 | ||||||
4.00%, 9/1/45 | 123,619 | 130,721 | ||||||
3.00%, 10/1/45 | 42,661 | 43,686 | ||||||
3.50%, 10/1/45 | 60,629 | 63,189 | ||||||
4.00%, 10/1/45 | 184,086 | 194,661 | ||||||
4.50%, 10/1/45 | 120,382 | 130,150 | ||||||
3.00%, 11/1/45 | 37,983 | 38,896 | ||||||
4.00%, 11/1/45 | 52,720 | 55,748 | ||||||
3.00%, 12/1/45 | 711,470 | 731,187 | ||||||
3.50%, 12/1/45 | 70,973 | 73,971 | ||||||
3.50%, 1/1/46 | 1,369,470 | 1,427,308 | ||||||
4.00%, 1/1/46 | 90,178 | 95,826 | ||||||
3.00%, 2/1/46 | 99,500 | 101,891 | ||||||
3.50%, 2/1/46 | 305,188 | 317,967 | ||||||
3.50%, 3/1/46 | 1,531,359 | 1,602,312 | ||||||
4.00%, 3/1/46 | 28,532 | 30,171 | ||||||
3.00%, 4/1/46 | 462,215 | 473,319 | ||||||
3.50%, 4/1/46 | 594,264 | 619,121 | ||||||
3.50%, 5/1/46 | 148,293 | 154,495 | ||||||
4.50%, 5/1/46 | 38,899 | 41,899 | ||||||
3.00%, 6/1/46 | 619,649 | 635,765 | ||||||
3.50%, 6/1/46 | 56,321 | 58,677 | ||||||
3.50%, 7/1/46 | 253,620 | 264,228 | ||||||
4.00%, 7/1/46 | 39,917 | 42,050 | ||||||
2.50%, 8/1/46 | 14,673 | 14,672 | ||||||
3.00%, 8/1/46 | 96,700 | 98,977 | ||||||
2.50%, 9/1/46 | 19,084 | 19,083 | ||||||
3.00%, 9/1/46 | 477,022 | 488,256 | ||||||
4.00%, 9/1/46 | 533,812 | 568,539 | ||||||
2.50%, 10/1/46 | 23,722 | 23,721 | ||||||
3.00%, 10/1/46 | 1,055,032 | 1,079,876 | ||||||
4.00%, 10/1/46 | 82,441 | 86,847 | ||||||
2.50%, 11/1/46 | 18,846 | 18,846 | ||||||
3.00%, 11/1/46 | 1,439,852 | 1,473,806 | ||||||
2.50%, 12/1/46 | 43,270 | 43,269 | ||||||
3.00%, 12/1/46 | 930,490 | 952,401 | ||||||
3.50%, 12/1/46 | 947,954 | 990,067 | ||||||
2.50%, 1/1/47 | 52,786 | 52,784 | ||||||
3.00%, 1/1/47 | 180,199 | 184,442 | ||||||
3.50%, 1/1/47 | 322,412 | 335,897 | ||||||
4.00%, 1/1/47 | 91,635 | 96,532 | ||||||
4.50%, 1/1/47 | 79,301 | 84,707 | ||||||
5.50%, 1/1/47 | 288,164 | 321,374 | ||||||
3.00%, 2/1/47 | 597,246 | 611,310 | ||||||
3.50%, 2/1/47 | 2,898,424 | 3,027,223 | ||||||
4.00%, 2/1/47 | 513,742 | 545,083 | ||||||
4.50%, 3/1/47 | 50,359 | 53,413 | ||||||
3.00%, 4/1/47 | 1,051,514 | 1,076,275 | ||||||
4.00%, 4/1/47 | 111,359 | 117,017 | ||||||
4.50%, 4/1/47 | 133,485 | 141,582 | ||||||
3.00%, 5/1/47 | 601,347 | 617,089 | ||||||
3.50%, 5/1/47 | 229,017 | 238,597 | ||||||
4.00%, 5/1/47 | 387,098 | 407,367 | ||||||
4.50%, 5/1/47 | 835,450 | 899,705 | ||||||
4.00%, 6/1/47 | 329,160 | 346,758 | ||||||
3.50%, 7/1/47 | 1,230,128 | 1,289,249 | ||||||
4.00%, 7/1/47 | 265,904 | 280,326 | ||||||
4.50%, 7/1/47 | 221,654 | 235,099 | ||||||
5.00%, 7/1/47 | 224,573 | 247,610 | ||||||
3.50%, 8/1/47 | 170,163 | 176,781 | ||||||
4.00%, 8/1/47 | 925,692 | 974,910 | ||||||
3.00%, 9/1/47 | 677,753 | 693,610 | ||||||
3.50%, 9/1/47 | 279,013 | 289,183 | ||||||
4.00%, 9/1/47 | 137,915 | 144,924 | ||||||
4.50%, 9/1/47 | 136,673 | 144,962 | ||||||
3.50%, 10/1/47 | 64,421 | 66,769 | ||||||
4.00%, 10/1/47 | 166,954 | 175,437 | ||||||
4.50%, 10/1/47 | 151,752 | 160,956 | ||||||
3.50%, 11/1/47 | 159,490 | 165,304 | ||||||
4.00%, 11/1/47 | 536,214 | 563,463 | ||||||
4.50%, 11/1/47 | 197,943 | 209,948 | ||||||
3.00%, 12/1/47 | 238,728 | 243,949 | ||||||
3.50%, 12/1/47 | 108,750 | 113,299 | ||||||
4.00%, 12/1/47 | 197,508 | 207,545 | ||||||
3.00%, 1/1/48 | 860,693 | 879,515 | ||||||
3.50%, 1/1/48 | 941,779 | 976,108 | ||||||
3.00%, 2/1/48 | 103,090 | 105,344 | ||||||
3.50%, 2/1/48 | 527,143 | 546,358 | ||||||
4.50%, 4/1/48 | 15,864 | 16,823 | ||||||
4.00%, 5/1/48 | 250,867 | 264,498 | ||||||
5.00%, 5/1/48 | 114,901 | 123,914 | ||||||
4.00%, 6/1/48 | 76,987 | 80,664 | ||||||
4.50%, 6/1/48 | 24,328 | 25,797 | ||||||
5.00%, 6/1/48 | 26,076 | 28,108 | ||||||
3.50%, 7/1/48 | 164,622 | 171,575 |
See Notes to Financial Statements.
WisdomTree Trust | 83 |
Table of Contents
Schedule of Investments (unaudited) (continued)
WisdomTree Yield Enhanced U.S. Aggregate Bond Fund (AGGY)
February 28, 2022
Investments in Long Securities | Principal Amount | Value | ||||||
4.00%, 7/1/48 | $ | 299,337 | $ | 313,635 | ||||
4.50%, 7/1/48 | 109,541 | 116,184 | ||||||
3.00%, 8/1/48 | 789,175 | 809,835 | ||||||
3.50%, 8/1/48 | 228,373 | 239,024 | ||||||
4.50%, 8/1/48 | 211,585 | 224,781 | ||||||
5.00%, 8/1/48 | 109,545 | 118,082 | ||||||
3.00%, 9/1/48 | 216,912 | 222,020 | ||||||
4.00%, 9/1/48 | 837,282 | 879,000 | ||||||
4.00%, 10/1/48 | 1,657,050 | 1,755,463 | ||||||
3.00%, 11/1/48 | 1,266,751 | 1,296,757 | ||||||
3.50%, 11/1/48 | 1,180,646 | 1,223,681 | ||||||
4.00%, 11/1/48 | 171,507 | 181,210 | ||||||
4.50%, 11/1/48 | 270,096 | 287,648 | ||||||
5.00%, 11/1/48 | 126,780 | 136,660 | ||||||
4.50%, 12/1/48 | 347,118 | 368,085 | ||||||
3.50%, 1/1/49 | 138,268 | 143,408 | ||||||
4.00%, 1/1/49 | 216,743 | 227,757 | ||||||
4.50%, 1/1/49 | 324,745 | 344,441 | ||||||
5.00%, 2/1/49 | 179,129 | 193,088 | ||||||
4.00%, 3/1/49 | 50,461 | 52,681 | ||||||
4.50%, 3/1/49 | 236,896 | 251,161 | ||||||
5.00%, 3/1/49 | 13,801 | 14,876 | ||||||
4.00%, 4/1/49 | 280,380 | 292,714 | ||||||
4.50%, 4/1/49 | 112,670 | 119,439 | ||||||
3.50%, 5/1/49 | 52,924 | 54,751 | ||||||
4.00%, 5/1/49 | 749,736 | 790,201 | ||||||
4.50%, 5/1/49 | 175,176 | 185,701 | ||||||
3.50%, 6/1/49 | 528,009 | 547,820 | ||||||
4.00%, 7/1/49 | 162,202 | 169,337 | ||||||
3.50%, 8/1/49 | 1,004,577 | 1,040,821 | ||||||
4.00%, 8/1/49 | 311,590 | 325,297 | ||||||
3.00%, 9/1/49 | 1,044,451 | 1,061,137 | ||||||
3.00%, 10/1/49 | 526,901 | 534,256 | ||||||
4.00%, 10/1/49 | 171,389 | 178,929 | ||||||
4.50%, 10/1/49 | 162,315 | 172,066 | ||||||
2.50%, 11/1/49 | 1,598,332 | 1,588,863 | ||||||
3.00%, 12/1/49 | 818,022 | 829,442 | ||||||
3.00%, 1/1/50 | 1,128,747 | 1,145,023 | ||||||
3.00%, 2/1/50 | 897,296 | 911,510 | ||||||
4.50%, 2/1/50 | 147,420 | 156,277 | ||||||
3.00%, 3/1/50 | 1,942,236 | 1,964,978 | ||||||
3.50%, 3/1/50 | 277,335 | 287,518 | ||||||
4.00%, 3/1/50 | 186,742 | 195,661 | ||||||
5.00%, 3/1/50 | 605,681 | 655,222 | ||||||
2.50%, 4/1/50 | 1,498,131 | 1,484,534 | ||||||
3.50%, 4/1/50 | 303,685 | 314,462 | ||||||
5.50%, 4/1/50 | 166,794 | 186,526 | ||||||
2.50%, 5/1/50 | 2,235,180 | 2,215,892 | ||||||
3.50%, 5/1/50 | 720,709 | 745,843 | ||||||
2.50%, 6/1/50 | 3,106,836 | 3,078,655 | ||||||
2.50%, 7/1/50 | 344,584 | 341,403 | ||||||
3.00%, 7/1/50 | 558,009 | 563,981 | ||||||
3.50%, 7/1/50 | 203,898 | 211,861 | ||||||
2.50%, 8/1/50 | 2,722,082 | 2,696,954 | ||||||
3.00%, 8/1/50 | 769,583 | 777,820 | ||||||
2.00%, 9/1/50 | 1,540,825 | 1,485,324 | ||||||
2.50%, 9/1/50 | 1,092,137 | 1,083,346 | ||||||
2.00%, 10/1/50 | 7,433,295 | 7,165,545 | ||||||
3.00%, 10/1/50 | 504,306 | 509,704 | ||||||
1.50%, 11/1/50 | 1,023,812 | 951,789 | ||||||
2.50%, 11/1/50 | 322,054 | 318,958 | ||||||
3.50%, 11/1/50 | 250,623 | 258,210 | ||||||
1.50%, 12/1/50 | 2,590,222 | 2,408,006 | ||||||
2.00%, 12/1/50 | 4,259,686 | 4,106,251 | ||||||
2.50%, 12/1/50 | 1,496,194 | 1,481,463 | ||||||
2.00%, 1/1/51 | 920,940 | 887,768 | ||||||
2.00%, 2/1/51 | 4,579,335 | 4,412,231 | ||||||
2.50%, 2/1/51 | 742,153 | 734,077 | ||||||
3.00%, 4/1/51 | 353,006 | 356,838 | ||||||
2.00%, 5/1/51 | 701,039 | 673,932 | ||||||
2.50%, 5/1/51 | 1,856,277 | 1,833,174 | ||||||
1.50%, 6/1/51 | 1,106,844 | 1,028,818 | ||||||
2.00%, 6/1/51 | 699,909 | 672,882 | ||||||
2.00%, 7/1/51 | 570,323 | 548,762 | ||||||
2.50%, 7/1/51 | 1,979,083 | 1,955,699 | ||||||
2.00%, 8/1/51 | 587,197 | 564,751 | ||||||
2.50%, 8/1/51 | 672,226 | 664,485 | ||||||
3.00%, 8/1/51 | 951,881 | 965,500 | ||||||
2.00%, 9/1/51 | 2,045,132 | 1,963,546 | ||||||
2.00%, 10/1/51 | 986,101 | 947,947 | ||||||
2.50%, 10/1/51 | 588,519 | 581,557 | ||||||
3.00%, 11/1/51 | 197,399 | 199,638 | ||||||
2.00%, 12/1/51 | 962,066 | 924,276 | ||||||
2.50%, 12/1/51 | 322,063 | 318,304 | ||||||
3.00%, 1/1/52 | 249,168 | 252,781 | ||||||
3.00%, 2/1/52 | 199,160 | 201,511 | ||||||
|
| |||||||
Total Federal National Mortgage Association |
| 140,956,539 | ||||||
Government National Mortgage Association – 9.8% |
| |||||||
4.00%, 11/20/40 | 1,498,610 | 1,610,275 | ||||||
3.50%, 12/20/42 | 1,380,426 | 1,464,550 | ||||||
2.50%, 3/20/43 | 105,822 | 106,852 | ||||||
3.50%, 4/20/45 | 72,658 | 76,096 | ||||||
3.50%, 12/20/45 | 665,296 | 696,770 | ||||||
3.50%, 1/20/46 | 262,640 | 275,065 | ||||||
3.00%, 9/20/46 | 297,793 | 305,705 | ||||||
4.00%, 10/20/46 | 2,232,398 | 2,363,685 | ||||||
3.00%, 1/20/47 | 292,403 | 300,172 | ||||||
2.50%, 2/20/47 | 66,350 | 66,965 | ||||||
3.00%, 2/20/47 | 350,144 | 359,448 | ||||||
4.00%, 7/20/47 | 856,848 | 899,465 | ||||||
4.50%, 8/20/47 | 396,751 | 423,164 | ||||||
3.00%, 9/20/47 | 77,779 | 79,686 | ||||||
3.50%, 10/20/47 | 76,050 | 79,103 | ||||||
3.00%, 12/20/47 | 92,662 | 94,934 | ||||||
3.50%, 1/20/48 | 252,522 | 262,658 | ||||||
4.00%, 1/20/48 | 343,274 | 360,348 | ||||||
3.00%, 3/20/48 | 119,198 | 122,120 | ||||||
3.50%, 3/20/48 | 435,504 | 452,985 | ||||||
3.50%, 4/20/48 | 184,561 | 191,969 | ||||||
4.50%, 5/20/48 | 1,032,047 | 1,099,015 | ||||||
4.50%, 6/20/48 | 979,696 | 1,028,457 | ||||||
4.00%, 8/20/48 | 688,756 | 720,934 | ||||||
3.50%, 9/20/48 | 88,664 | 92,223 | ||||||
3.50%, 1/20/49 | 19,768 | 20,562 | ||||||
4.00%, 2/20/49 | 90,965 | 95,215 | ||||||
4.50%, 2/20/49 | 161,564 | 169,605 |
See Notes to Financial Statements.
84 | WisdomTree Trust |
Table of Contents
Schedule of Investments (unaudited) (continued)
WisdomTree Yield Enhanced U.S. Aggregate Bond Fund (AGGY)
February 28, 2022
Investments in Long Securities | Principal Amount | Value | ||||||
3.50%, 3/20/49 | $ | 164,621 | $ | 170,954 | ||||
4.00%, 3/20/49 | 860,388 | 900,584 | ||||||
4.50%, 3/20/49 | 38,478 | 40,393 | ||||||
5.00%, 9/20/49 | 31,339 | 33,533 | ||||||
4.50%, 10/20/49 | 140,898 | 147,911 | ||||||
3.00%, 1/20/50 | 49,104 | 50,040 | ||||||
3.50%, 1/20/50 | 68,400 | 70,791 | ||||||
5.00%, 1/20/50 | 25,032 | 26,785 | ||||||
3.50%, 2/20/50 | 26,248 | 27,166 | ||||||
3.50%, 4/20/50 | 9,568 | 9,893 | ||||||
4.00%, 4/20/50 | 35,904 | 37,345 | ||||||
2.50%, 5/15/50 | 117,177 | 117,092 | ||||||
5.00%, 5/20/50 | 8,449 | 9,046 | ||||||
3.00%, 6/20/50 | 315,779 | 321,434 | ||||||
3.50%, 6/20/50 | 173,180 | 178,824 | ||||||
4.00%, 6/20/50 | 131,628 | 136,908 | ||||||
2.50%, 7/15/50 | 70,749 | 70,698 | ||||||
3.00%, 7/20/50 | 96,503 | 98,236 | ||||||
3.00%, 8/20/50 | 129,658 | 131,994 | ||||||
4.50%, 8/20/50 | 90,298 | 94,793 | ||||||
3.50%, 12/20/50 | 155,390 | 160,477 | ||||||
2.00%, 3/20/51 | 693,809 | 679,032 | ||||||
4.00%, 3/20/51 | 378,660 | 393,852 | ||||||
2.50%, 4/20/51 | 813,204 | 813,518 | ||||||
2.50%, 5/20/51 | 44,820 | 44,837 | ||||||
2.00%, 7/20/51 | 1,925,398 | 1,884,390 | ||||||
2.50%, 7/20/51 | 955,251 | 955,620 | ||||||
3.00%, 7/20/51 | 550,270 | 559,999 | ||||||
3.50%, 7/20/51 | 1,460,343 | 1,508,797 | ||||||
2.50%, 8/20/51 | 963,672 | 964,044 | ||||||
2.00%, 10/20/51 | 394,077 | 385,684 | ||||||
3.50%, 10/20/51 | 1,467,958 | 1,517,373 | ||||||
2.00%, 12/20/51 | 223,701 | 218,937 | ||||||
2.50%, 1/20/52 | 149,560 | 149,617 | ||||||
2.00%, 3/1/52(b) | 23,675,000 | 23,141,894 | ||||||
2.50%, 3/1/52(b) | 24,300,000 | 24,278,987 | ||||||
3.00%, 3/1/52(b) | 18,100,000 | 18,399,649 | ||||||
3.50%, 3/1/52(b) | 8,125,000 | 8,382,114 | ||||||
4.50%, 3/1/52(b) | 550,000 | 576,162 | ||||||
5.00%, 3/1/52(b) | 800,000 | 846,630 | ||||||
2.00%, 4/21/52(b) | 700,000 | 683,030 | ||||||
|
| |||||||
Total Government National Mortgage Association |
| 103,037,089 | ||||||
Tennessee Valley Authority – 4.8% |
| |||||||
4.70%, 7/15/33, Series B | 3,450,000 | 4,257,680 | ||||||
4.65%, 6/15/35 | 2,250,000 | 2,799,585 | ||||||
5.88%, 4/1/36 | 4,350,000 | 6,107,792 | ||||||
6.15%, 1/15/38 | 100,000 | 146,512 | ||||||
5.50%, 6/15/38 | 2,000,000 | 2,735,200 | ||||||
5.25%, 9/15/39 | 8,326,000 | 11,198,553 | ||||||
3.50%, 12/15/42 | 5,519,000 | 6,147,007 | ||||||
4.88%, 1/15/48 | 1,995,000 | 2,734,686 | ||||||
5.38%, 4/1/56 | 3,790,000 | 5,881,246 | ||||||
4.63%, 9/15/60 | 2,700,000 | 3,798,495 | ||||||
4.25%, 9/15/65 | 3,350,000 | 4,459,721 | ||||||
|
| |||||||
Total Tennessee Valley Authority |
| 50,266,477 | ||||||
Uniform Mortgage-Backed Securities – 10.6% |
| |||||||
1.50%, 3/1/52(b) | 2,700,000 | 2,502,552 | ||||||
2.00%, 3/1/52(b) | 65,725,000 | 63,030,112 | ||||||
2.50%, 3/1/52(b) | 40,725,000 | 40,174,964 | ||||||
3.00%, 3/1/52(b) | 1,500,000 | 1,514,941 | ||||||
2.00%, 4/1/52(b) | 1,200,000 | 1,148,938 | ||||||
2.50%, 4/1/52(b) | 2,400,000 | 2,362,605 | ||||||
3.00%, 4/1/52(b) | 325,000 | 327,382 | ||||||
|
| |||||||
Total Uniform Mortgage-Backed Securities |
| 111,061,494 | ||||||
TOTAL U.S. GOVERNMENT AGENCIES (Cost: $516,659,619) |
| 503,523,459 | ||||||
U.S. GOVERNMENT OBLIGATIONS – 19.5% |
| |||||||
U.S. Treasury Bonds – 3.8% |
| |||||||
7.13%, 2/15/23 | 55,000 | 58,178 | ||||||
6.25%, 8/15/23 | 175,000 | 187,578 | ||||||
7.50%, 11/15/24 | 175,000 | 202,651 | ||||||
6.25%, 5/15/30 | 150,000 | 200,848 | ||||||
0.63%, 8/15/30 | 3,200,000 | 2,902,250 | ||||||
5.38%, 2/15/31 | 475,000 | 615,570 | ||||||
4.50%, 2/15/36 | 710,000 | 939,863 | ||||||
4.38%, 2/15/38 | 290,000 | 384,794 | ||||||
4.50%, 5/15/38 | 580,000 | 780,327 | ||||||
3.50%, 2/15/39 | 85,000 | 102,325 | ||||||
4.25%, 5/15/39 | 480,000 | 631,500 | ||||||
4.50%, 8/15/39 | 476,000 | 645,017 | ||||||
4.38%, 11/15/39 | 525,000 | 701,121 | ||||||
4.63%, 2/15/40 | 245,000 | 336,530 | ||||||
4.38%, 5/15/40 | 625,000 | 835,889 | ||||||
1.13%, 8/15/40 | 750,000 | 621,797 | ||||||
3.88%, 8/15/40 | 178,000 | 223,613 | ||||||
1.38%, 11/15/40 | 860,000 | 744,102 | ||||||
4.25%, 11/15/40 | 150,000 | 197,156 | ||||||
1.88%, 2/15/41 | 1,300,000 | 1,223,219 | ||||||
4.75%, 2/15/41 | 175,000 | 244,357 | ||||||
2.25%, 5/15/41 | 775,000 | 773,305 | ||||||
4.38%, 5/15/41 | 165,000 | 220,842 | ||||||
1.75%, 8/15/41 | 1,450,000 | 1,331,055 | ||||||
3.75%, 8/15/41 | 99,000 | 122,729 | ||||||
2.00%, 11/15/41 | 1,500,000 | 1,437,305 | ||||||
3.13%, 11/15/41 | 600,000 | 683,531 | ||||||
3.13%, 2/15/42 | 515,000 | 588,025 | ||||||
3.00%, 5/15/42 | 200,000 | 224,172 | ||||||
2.75%, 8/15/42 | 153,000 | 164,834 | ||||||
2.75%, 11/15/42 | 750,000 | 807,656 | ||||||
3.13%, 2/15/43 | 100,000 | 113,922 | ||||||
2.88%, 5/15/43 | 414,000 | 454,074 | ||||||
3.63%, 8/15/43 | 249,000 | 305,375 | ||||||
3.75%, 11/15/43 | 185,000 | 231,250 | ||||||
3.63%, 2/15/44 | 240,000 | 294,919 | ||||||
3.38%, 5/15/44 | 1,040,000 | 1,234,756 | ||||||
3.13%, 8/15/44 | 300,000 | 343,078 | ||||||
3.00%, 11/15/44 | 500,000 | 561,328 | ||||||
2.50%, 2/15/45 | 500,000 | 516,406 | ||||||
3.00%, 5/15/45 | 470,000 | 528,420 | ||||||
2.88%, 8/15/45 | 305,000 | 336,525 | ||||||
3.00%, 11/15/45 | 500,000 | 563,984 | ||||||
2.50%, 2/15/46 | 565,000 | 585,216 | ||||||
2.50%, 5/15/46 | 560,000 | 580,213 | ||||||
2.25%, 8/15/46 | 525,000 | 519,586 | ||||||
2.88%, 11/15/46 | 440,000 | 488,331 |
See Notes to Financial Statements.
WisdomTree Trust | 85 |
Table of Contents
Schedule of Investments (unaudited) (continued)
WisdomTree Yield Enhanced U.S. Aggregate Bond Fund (AGGY)
February 28, 2022
Investments in Long Securities | Principal Amount | Value | ||||||
3.00%, 2/15/47 | $ | 390,000 | $ | 443,046 | ||||
3.00%, 5/15/47 | 100,000 | 113,891 | ||||||
2.75%, 8/15/47 | 350,000 | 383,441 | ||||||
2.75%, 11/15/47 | 410,000 | 449,430 | ||||||
3.00%, 2/15/48 | 405,000 | 466,098 | ||||||
3.13%, 5/15/48 | 625,000 | 736,670 | ||||||
3.00%, 8/15/48 | 295,000 | 340,379 | ||||||
3.38%, 11/15/48 | 515,000 | 636,105 | ||||||
3.00%, 2/15/49 | 480,000 | 557,325 | ||||||
2.25%, 8/15/49 | 510,000 | 514,144 | ||||||
2.00%, 2/15/50 | 455,000 | 435,769 | ||||||
1.38%, 8/15/50 | 680,000 | 560,203 | ||||||
1.63%, 11/15/50 | 1,550,000 | 1,358,551 | ||||||
1.88%, 2/15/51 | 1,550,000 | 1,443,316 | ||||||
2.38%, 5/15/51 | 1,750,000 | 1,826,289 | ||||||
2.00%, 8/15/51 | 1,200,000 | 1,152,281 | ||||||
1.88%, 11/15/51 | 1,750,000 | 1,633,926 | ||||||
|
| |||||||
Total U.S. Treasury Bonds |
| 39,840,386 | ||||||
U.S. Treasury Notes – 15.7% |
| |||||||
1.63%, 11/15/22 | 200,000 | 201,105 | ||||||
0.13%, 11/30/22 | 100,000 | 99,436 | ||||||
1.38%, 2/15/23 | 470,000 | 471,460 | ||||||
2.00%, 2/15/23 | 345,000 | 348,079 | ||||||
0.13%, 2/28/23 | 500,000 | 495,352 | ||||||
1.50%, 2/28/23 | 720,000 | 722,953 | ||||||
2.63%, 2/28/23 | 250,000 | 253,828 | ||||||
0.50%, 3/15/23 | 405,000 | 402,572 | ||||||
0.13%, 3/31/23 | 1,100,000 | 1,088,119 | ||||||
1.50%, 3/31/23 | 300,000 | 301,201 | ||||||
0.25%, 4/15/23 | 365,000 | 361,336 | ||||||
1.63%, 4/30/23 | 770,000 | 773,985 | ||||||
2.75%, 4/30/23 | 600,000 | 610,852 | ||||||
0.13%, 5/15/23 | 1,140,000 | 1,125,839 | ||||||
1.75%, 5/15/23 | 1,515,000 | 1,525,208 | ||||||
1.63%, 5/31/23 | 435,000 | 437,302 | ||||||
2.75%, 5/31/23 | 230,000 | 234,411 | ||||||
0.25%, 6/15/23 | 850,000 | 839,524 | ||||||
0.13%, 6/30/23 | 1,000,000 | 985,254 | ||||||
1.38%, 6/30/23 | 480,000 | 480,863 | ||||||
2.63%, 6/30/23 | 215,000 | 218,888 | ||||||
0.13%, 7/15/23 | 1,350,000 | 1,329,302 | ||||||
0.13%, 7/31/23 | 1,600,000 | 1,573,750 | ||||||
1.25%, 7/31/23 | 820,000 | 819,872 | ||||||
0.13%, 8/15/23 | 350,000 | 344,080 | ||||||
2.50%, 8/15/23 | 50,000 | 50,882 | ||||||
0.13%, 8/31/23 | 1,000,000 | 982,500 | ||||||
1.38%, 8/31/23 | 680,000 | 680,518 | ||||||
2.75%, 8/31/23 | 625,000 | 638,208 | ||||||
0.13%, 9/15/23 | 250,000 | 245,464 | ||||||
0.25%, 9/30/23 | 500,000 | 491,484 | ||||||
1.38%, 9/30/23 | 500,000 | 500,283 | ||||||
2.88%, 9/30/23 | 710,000 | 727,043 | ||||||
0.13%, 10/15/23 | 1,000,000 | 980,156 | ||||||
0.38%, 10/31/23 | 925,000 | 909,481 | ||||||
1.63%, 10/31/23 | 675,000 | 677,755 | ||||||
2.88%, 10/31/23 | 245,000 | 250,981 | ||||||
0.25%, 11/15/23 | 850,000 | 833,764 | ||||||
2.75%, 11/15/23 | 450,000 | 460,327 | ||||||
0.50%, 11/30/23 | 1,000,000 | 984,355 | ||||||
2.13%, 11/30/23 | 580,000 | 587,227 | ||||||
2.88%, 11/30/23 | 745,000 | 763,960 | ||||||
0.13%, 12/15/23 | 750,000 | 733,052 | ||||||
0.75%, 12/31/23 | 2,000,000 | 1,975,430 | ||||||
2.25%, 12/31/23 | 415,000 | 421,176 | ||||||
2.63%, 12/31/23 | 340,000 | 347,444 | ||||||
0.13%, 1/15/24 | 1,500,000 | 1,463,643 | ||||||
0.88%, 1/31/24 | 1,000,000 | 989,395 | ||||||
2.25%, 1/31/24 | 750,000 | 761,411 | ||||||
2.50%, 1/31/24 | 660,000 | 673,058 | ||||||
0.13%, 2/15/24 | 1,590,000 | 1,549,256 | ||||||
2.75%, 2/15/24 | 1,135,000 | 1,163,508 | ||||||
2.38%, 2/29/24 | 1,000,000 | 1,017,891 | ||||||
0.25%, 3/15/24 | 1,500,000 | 1,462,734 | ||||||
2.13%, 3/31/24 | 1,923,000 | 1,948,164 | ||||||
0.38%, 4/15/24 | 1,000,000 | 976,328 | ||||||
2.00%, 4/30/24 | 170,000 | 171,780 | ||||||
2.25%, 4/30/24 | 1,000,000 | 1,015,820 | ||||||
0.25%, 5/15/24 | 1,000,000 | 972,344 | ||||||
2.50%, 5/15/24 | 1,900,000 | 1,940,078 | ||||||
2.00%, 5/31/24 | 1,780,000 | 1,798,773 | ||||||
0.25%, 6/15/24 | 700,000 | 679,738 | ||||||
1.75%, 6/30/24 | 1,000,000 | 1,004,922 | ||||||
2.00%, 6/30/24 | 964,000 | 974,205 | ||||||
0.38%, 7/15/24 | 1,000,000 | 972,734 | ||||||
1.75%, 7/31/24 | 1,000,000 | 1,004,727 | ||||||
2.13%, 7/31/24 | 576,000 | 583,762 | ||||||
0.38%, 8/15/24 | 1,200,000 | 1,165,500 | ||||||
2.38%, 8/15/24 | 2,250,000 | 2,293,154 | ||||||
1.25%, 8/31/24 | 1,605,000 | 1,592,147 | ||||||
1.88%, 8/31/24 | 1,100,000 | 1,108,293 | ||||||
0.38%, 9/15/24 | 800,000 | 775,875 | ||||||
1.50%, 9/30/24 | 1,615,000 | 1,611,026 | ||||||
2.13%, 9/30/24 | 894,000 | 905,943 | ||||||
0.63%, 10/15/24 | 1,280,000 | 1,248,200 | ||||||
1.50%, 10/31/24 | 1,000,000 | 997,305 | ||||||
2.25%, 10/31/24 | 1,310,000 | 1,332,260 | ||||||
0.75%, 11/15/24 | 800,000 | 781,750 | ||||||
2.25%, 11/15/24 | 1,150,000 | 1,169,676 | ||||||
1.50%, 11/30/24 | 975,000 | 972,144 | ||||||
1.00%, 12/15/24 | 1,000,000 | 983,359 | ||||||
1.75%, 12/31/24 | 525,000 | 526,948 | ||||||
2.25%, 12/31/24 | 972,000 | 989,124 | ||||||
1.38%, 1/31/25 | 1,104,000 | 1,096,065 | ||||||
2.50%, 1/31/25 | 750,000 | 768,574 | ||||||
2.00%, 2/15/25 | 1,000,000 | 1,010,430 | ||||||
7.63%, 2/15/25 | 500,000 | 587,090 | ||||||
1.13%, 2/28/25 | 250,000 | 246,260 | ||||||
2.75%, 2/28/25 | 622,000 | 641,948 | ||||||
0.50%, 3/31/25 | 175,000 | 168,964 | ||||||
2.63%, 3/31/25 | 702,000 | 722,566 | ||||||
0.38%, 4/30/25 | 458,000 | 439,823 | ||||||
2.13%, 5/15/25 | 375,000 | 380,303 | ||||||
0.25%, 5/31/25 | 670,000 | 639,824 | ||||||
2.88%, 5/31/25 | 565,000 | 586,210 | ||||||
0.25%, 6/30/25 | 250,000 | 238,350 | ||||||
2.75%, 6/30/25 | 311,000 | 321,691 | ||||||
0.25%, 7/31/25 | 400,000 | 380,906 |
See Notes to Financial Statements.
86 | WisdomTree Trust |
Table of Contents
Schedule of Investments (unaudited) (continued)
WisdomTree Yield Enhanced U.S. Aggregate Bond Fund (AGGY)
February 28, 2022
Investments in Long Securities | Principal Amount | Value | ||||||
2.00%, 8/15/25 | $ | 500,000 | $ | 504,961 | ||||
0.25%, 8/31/25 | 250,000 | 237,666 | ||||||
0.25%, 9/30/25 | 972,000 | 922,868 | ||||||
0.25%, 10/31/25 | 1,000,000 | 948,203 | ||||||
2.25%, 11/15/25 | 835,000 | 851,080 | ||||||
0.38%, 11/30/25 | 1,425,000 | 1,355,643 | ||||||
0.38%, 12/31/25 | 1,400,000 | 1,330,656 | ||||||
0.38%, 1/31/26 | 1,610,000 | 1,527,487 | ||||||
1.63%, 2/15/26 | 700,000 | 697,074 | ||||||
0.50%, 2/28/26 | 2,000,000 | 1,905,078 | ||||||
0.75%, 3/31/26 | 1,120,000 | 1,076,513 | ||||||
2.25%, 3/31/26 | 1,000,000 | 1,020,000 | ||||||
0.75%, 4/30/26 | 1,400,000 | 1,344,547 | ||||||
1.63%, 5/15/26 | 1,170,000 | 1,164,287 | ||||||
0.75%, 5/31/26 | 1,500,000 | 1,439,180 | ||||||
2.13%, 5/31/26 | 1,000,000 | 1,015,430 | ||||||
0.88%, 6/30/26 | 1,500,000 | 1,445,684 | ||||||
1.88%, 6/30/26 | 850,000 | 854,781 | ||||||
0.63%, 7/31/26 | 1,000,000 | 952,539 | ||||||
1.88%, 7/31/26 | 570,000 | 573,117 | ||||||
1.50%, 8/15/26 | 1,624,000 | 1,607,126 | ||||||
0.75%, 8/31/26 | 500,000 | 478,594 | ||||||
1.38%, 8/31/26 | 335,000 | 329,648 | ||||||
0.88%, 9/30/26 | 2,000,000 | 1,923,437 | ||||||
1.63%, 9/30/26 | 100,000 | 99,477 | ||||||
1.13%, 10/31/26 | 1,000,000 | 972,070 | ||||||
2.00%, 11/15/26 | 500,000 | 505,645 | ||||||
1.25%, 11/30/26 | 1,585,000 | 1,549,895 | ||||||
1.75%, 12/31/26 | 620,000 | 620,242 | ||||||
2.25%, 2/15/27 | 500,000 | 511,934 | ||||||
1.13%, 2/28/27 | 500,000 | 485,215 | ||||||
0.63%, 3/31/27 | 1,090,000 | 1,030,731 | ||||||
0.50%, 4/30/27 | 1,600,000 | 1,501,562 | ||||||
2.38%, 5/15/27 | 2,000,000 | 2,060,859 | ||||||
0.50%, 5/31/27 | 1,360,000 | 1,274,256 | ||||||
0.50%, 6/30/27 | 750,000 | 701,924 | ||||||
0.38%, 7/31/27 | 1,595,000 | 1,481,045 | ||||||
2.25%, 8/15/27 | 1,095,000 | 1,122,546 | ||||||
0.50%, 8/31/27 | 500,000 | 466,758 | ||||||
0.38%, 9/30/27 | 500,000 | 462,852 | ||||||
0.50%, 10/31/27 | 1,500,000 | 1,396,582 | ||||||
2.25%, 11/15/27 | 1,140,000 | 1,168,188 | ||||||
0.63%, 11/30/27 | 1,345,000 | 1,259,782 | ||||||
0.63%, 12/31/27 | 500,000 | 467,832 | ||||||
0.75%, 1/31/28 | 1,520,000 | 1,431,056 | ||||||
2.75%, 2/15/28 | 1,000,000 | 1,054,219 | ||||||
1.13%, 2/29/28 | 1,000,000 | 962,617 | ||||||
1.25%, 3/31/28 | 1,400,000 | 1,356,141 | ||||||
1.25%, 4/30/28 | 400,000 | 387,234 | ||||||
2.88%, 5/15/28 | 1,000,000 | 1,062,383 | ||||||
1.25%, 5/31/28 | 1,000,000 | 967,148 | ||||||
1.25%, 6/30/28 | 1,500,000 | 1,449,668 | ||||||
1.00%, 7/31/28 | 300,000 | 285,164 | ||||||
2.88%, 8/15/28 | 1,000,000 | 1,064,453 | ||||||
1.13%, 8/31/28 | 1,500,000 | 1,436,250 | ||||||
1.25%, 9/30/28 | 1,500,000 | 1,446,797 | ||||||
1.38%, 10/31/28 | 500,000 | 485,938 | ||||||
3.13%, 11/15/28 | 1,300,000 | 1,406,742 | ||||||
1.50%, 11/30/28 | 500,000 | 489,766 | ||||||
2.63%, 2/15/29 | 1,300,000 | 1,368,758 | ||||||
2.38%, 5/15/29 | 1,000,000 | 1,037,891 | ||||||
1.63%, 8/15/29 | 1,250,000 | 1,235,254 | ||||||
1.75%, 11/15/29 | 750,000 | 748,184 | ||||||
1.50%, 2/15/30 | 2,000,000 | 1,955,156 | ||||||
0.63%, 5/15/30 | 2,495,000 | 2,269,670 | ||||||
0.88%, 11/15/30 | 3,460,000 | 3,198,608 | ||||||
1.13%, 2/15/31 | 2,445,000 | 2,305,750 | ||||||
1.63%, 5/15/31 | 2,250,000 | 2,212,383 | ||||||
1.25%, 8/15/31 | 3,370,000 | 3,202,027 | ||||||
1.38%, 11/15/31 | 2,250,000 | 2,158,242 | ||||||
1.13%, 5/15/40 | 800,000 | 665,750 | ||||||
2.38%, 2/15/42 | 500,000 | 510,549 | ||||||
2.88%, 5/15/49 | 500,000 | 568,242 | ||||||
2.38%, 11/15/49 | 500,000 | 518,437 | ||||||
1.25%, 5/15/50 | 1,208,000 | 964,701 | ||||||
|
| |||||||
Total U.S. Treasury Notes |
| 164,942,212 | ||||||
TOTAL U.S. GOVERNMENT OBLIGATIONS (Cost: $210,263,019) |
| 204,782,598 | ||||||
U.S. CORPORATE BONDS – 25.5% |
| |||||||
United States – 25.5% |
| |||||||
3M Co. | 250,000 | 268,917 | ||||||
Abbott Laboratories | 250,000 | 309,792 | ||||||
AbbVie, Inc. |
| |||||||
4.25%, 11/14/28 | 100,000 | 108,126 | ||||||
3.20%, 11/21/29 | 614,000 | 622,872 | ||||||
4.55%, 3/15/35 | 715,000 | 795,480 | ||||||
4.50%, 5/14/35 | 234,000 | 259,791 | ||||||
4.30%, 5/14/36 | 71,000 | 77,517 | ||||||
4.05%, 11/21/39 | 455,000 | 478,146 | ||||||
4.63%, 10/1/42 | 250,000 | 275,045 | ||||||
4.85%, 6/15/44 | 25,000 | 28,344 | ||||||
4.75%, 3/15/45 | 208,000 | 232,082 | ||||||
4.70%, 5/14/45 | 275,000 | 306,146 | ||||||
4.45%, 5/14/46 | 200,000 | 216,326 | ||||||
4.88%, 11/14/48 | 29,000 | 33,433 | ||||||
4.25%, 11/21/49 | 800,000 | 851,056 | ||||||
Activision Blizzard, Inc. |
| |||||||
3.40%, 9/15/26 | 189,000 | 197,955 | ||||||
1.35%, 9/15/30 | 350,000 | 311,916 | ||||||
Adobe, Inc. | 59,000 | 57,577 | ||||||
Adventist Health System | 50,000 | 50,445 | ||||||
AEP Texas, Inc. |
| |||||||
3.95%, 6/1/28 | 100,000 | 105,521 | ||||||
3.80%, 10/1/47 | 100,000 | 96,878 | ||||||
3.45%, 5/15/51 | 200,000 | 184,692 | ||||||
AES Corp. | 382,000 | 353,770 | ||||||
Aetna, Inc. |
| |||||||
6.63%, 6/15/36 | 225,000 | 300,427 | ||||||
4.75%, 3/15/44 | 100,000 | 111,976 | ||||||
3.88%, 8/15/47 | 103,000 | 104,038 |
See Notes to Financial Statements.
WisdomTree Trust | 87 |
Table of Contents
Schedule of Investments (unaudited) (continued)
WisdomTree Yield Enhanced U.S. Aggregate Bond Fund (AGGY)
February 28, 2022
Investments in Long Securities | Principal Amount | Value | ||||||
Agilent Technologies, Inc. |
| |||||||
2.75%, 9/15/29 | $ | 33,000 | $ | 32,521 | ||||
2.30%, 3/12/31 | 250,000 | 233,910 | ||||||
Air Lease Corp. |
| |||||||
3.63%, 4/1/27 | 101,000 | 103,083 | ||||||
3.63%, 12/1/27 | 20,000 | 20,326 | ||||||
4.63%, 10/1/28 | 286,000 | 303,088 | ||||||
Alexandria Real Estate Equities, Inc. |
| |||||||
3.95%, 1/15/28 | 95,000 | 100,976 | ||||||
3.38%, 8/15/31 | 675,000 | 691,038 | ||||||
3.00%, 5/18/51 | 150,000 | 131,898 | ||||||
Allstate Corp. |
| |||||||
3.28%, 12/15/26 | 108,000 | 112,663 | ||||||
4.50%, 6/15/43 | 100,000 | 112,942 | ||||||
Ally Financial, Inc. | 806,000 | 1,060,771 | ||||||
Altria Group, Inc. |
| |||||||
4.80%, 2/14/29 | 273,000 | 295,735 | ||||||
3.40%, 5/6/30 | 200,000 | 197,700 | ||||||
5.80%, 2/14/39 | 175,000 | 192,320 | ||||||
3.40%, 2/4/41 | 250,000 | 207,052 | ||||||
4.50%, 5/2/43 | 50,000 | 46,955 | ||||||
5.38%, 1/31/44 | 257,000 | 269,480 | ||||||
3.88%, 9/16/46 | 132,000 | 113,667 | ||||||
5.95%, 2/14/49 | 191,000 | 213,761 | ||||||
4.45%, 5/6/50 | 250,000 | 230,562 | ||||||
3.70%, 2/4/51 | 230,000 | 188,101 | ||||||
4.00%, 2/4/61 | 103,000 | 85,883 | ||||||
Amcor Flexibles North America, Inc. | 350,000 | 337,627 | ||||||
Ameren Illinois Co. | 250,000 | 225,757 | ||||||
American Airlines Pass Through Trust Class AA | 222,893 | 217,044 | ||||||
American Campus Communities Operating Partnership LP | ||||||||
3.63%, 11/15/27 | 61,000 | 63,233 | ||||||
2.85%, 2/1/30 | 244,000 | 237,022 | ||||||
American Electric Power Co., Inc. |
| |||||||
4.30%, 12/1/28, Series J | 75,000 | 80,585 | ||||||
3.25%, 3/1/50 | 40,000 | 35,404 | ||||||
American Equity Investment Life Holding Co. 5.00%, 6/15/27 | 75,000 | 81,521 | ||||||
American Homes 4 Rent LP | 337,000 | 356,003 | ||||||
American Honda Finance Corp. | 250,000 | 230,835 | ||||||
American International Group, Inc. |
| |||||||
4.20%, 4/1/28 | 518,000 | 560,921 | ||||||
3.88%, 1/15/35 | 708,000 | 742,501 | ||||||
4.50%, 7/16/44 | 250,000 | 277,917 | ||||||
4.38%, 6/30/50 | 250,000 | 278,915 | ||||||
American Tower Corp. | 140,000 | 144,063 | ||||||
1.50%, 1/31/28 | 72,000 | 66,045 | ||||||
3.80%, 8/15/29 | 554,000 | 572,803 | ||||||
2.90%, 1/15/30 | 415,000 | 400,944 | ||||||
3.10%, 6/15/50 | 200,000 | 168,176 | ||||||
2.95%, 1/15/51 | 100,000 | 82,074 | ||||||
American Water Capital Corp. | 132,000 | 134,691 | ||||||
3.75%, 9/1/28 | 324,000 | 341,875 | ||||||
4.00%, 12/1/46 | 13,000 | 13,554 | ||||||
3.75%, 9/1/47 | 170,000 | 169,618 | ||||||
4.20%, 9/1/48 | 80,000 | 84,988 | ||||||
3.45%, 5/1/50 | 250,000 | 240,052 | ||||||
AmerisourceBergen Corp. | 75,000 | 78,026 | ||||||
2.70%, 3/15/31 | 380,000 | 366,586 | ||||||
Amgen, Inc. | 100,000 | 98,608 | ||||||
3.20%, 11/2/27 | 301,000 | 310,822 | ||||||
2.45%, 2/21/30 | 421,000 | 407,115 | ||||||
2.00%, 1/15/32 | 250,000 | 228,792 | ||||||
3.15%, 2/21/40 | 500,000 | 465,750 | ||||||
2.80%, 8/15/41 | 250,000 | 220,062 | ||||||
4.40%, 5/1/45 | 269,000 | 288,207 | ||||||
4.56%, 6/15/48 | 200,000 | 219,556 | ||||||
3.38%, 2/21/50 | 250,000 | 229,600 | ||||||
4.66%, 6/15/51 | 250,000 | 280,680 | ||||||
3.00%, 1/15/52 | 275,000 | 236,098 | ||||||
2.77%, 9/1/53 | 100,000 | 81,498 | ||||||
Amphenol Corp. | 230,000 | 226,465 | ||||||
Analog Devices, Inc. | 83,000 | 87,633 | ||||||
Anthem, Inc. | 292,000 | 306,565 | ||||||
2.25%, 5/15/30 | 500,000 | 474,195 | ||||||
2.55%, 3/15/31 | 400,000 | 386,016 | ||||||
4.63%, 5/15/42 | 30,000 | 33,698 | ||||||
5.10%, 1/15/44 | 242,000 | 288,457 | ||||||
4.65%, 8/15/44 | 26,000 | 29,306 | ||||||
4.38%, 12/1/47 | 279,000 | 307,787 | ||||||
4.55%, 3/1/48 | 30,000 | 33,908 | ||||||
3.13%, 5/15/50 | 202,000 | 184,499 | ||||||
3.60%, 3/15/51 | 462,000 | 454,959 | ||||||
Aon Corp. | 499,000 | 545,691 | ||||||
Aon Corp. / Aon Global Holdings PLC | 150,000 | 128,981 | ||||||
Aon PLC | 200,000 | 223,046 | ||||||
Appalachian Power Co. | 100,000 | 103,743 | ||||||
Aptiv PLC | 75,000 | 80,823 | ||||||
5.40%, 3/15/49 | 125,000 | 146,919 | ||||||
Arch Capital Finance LLC | 150,000 | 174,951 | ||||||
Arch Capital Group Ltd. | 197,000 | 189,051 | ||||||
Arch Capital Group US, Inc. | 50,000 | 59,401 | ||||||
Archer-Daniels-Midland Co. | 150,000 | 135,249 |
See Notes to Financial Statements.
88 | WisdomTree Trust |
Table of Contents
Schedule of Investments (unaudited) (continued)
WisdomTree Yield Enhanced U.S. Aggregate Bond Fund (AGGY)
February 28, 2022
Investments in Long Securities | Principal Amount | Value | ||||||
Ares Capital Corp. | $ | 465,000 | $ | 431,060 | ||||
Arrow Electronics, Inc. | 212,000 | 220,758 | ||||||
Arthur J Gallagher & Co. | 250,000 | 234,952 | ||||||
Assurant, Inc. | 25,000 | 27,428 | ||||||
AT&T, Inc. | 209,000 | 225,369 | ||||||
2.30%, 6/1/27 | 150,000 | 148,049 | ||||||
4.10%, 2/15/28 | 259,000 | 278,042 | ||||||
4.35%, 3/1/29 | 535,000 | 583,471 | ||||||
4.30%, 2/15/30 | 505,000 | 550,197 | ||||||
2.75%, 6/1/31 | 350,000 | 340,669 | ||||||
2.25%, 2/1/32 | 290,000 | 267,928 | ||||||
2.55%, 12/1/33 | 450,000 | 417,618 | ||||||
4.50%, 5/15/35 | 314,000 | 345,309 | ||||||
5.25%, 3/1/37 | 173,000 | 203,688 | ||||||
4.85%, 3/1/39 | 130,000 | 145,269 | ||||||
5.35%, 9/1/40 | 50,000 | 59,579 | ||||||
6.25%, 3/29/41 | 190,000 | 248,256 | ||||||
3.50%, 6/1/41 | 350,000 | 333,123 | ||||||
5.15%, 3/15/42 | 200,000 | 231,978 | ||||||
4.90%, 6/15/42 | 479,000 | 541,083 | ||||||
4.30%, 12/15/42 | 350,000 | 364,399 | ||||||
3.10%, 2/1/43 | 300,000 | 268,821 | ||||||
4.85%, 7/15/45 | 50,000 | 55,937 | ||||||
5.15%, 11/15/46 | 70,000 | 82,301 | ||||||
5.65%, 2/15/47 | 100,000 | 125,052 | ||||||
4.55%, 3/9/49 | 29,000 | 31,515 | ||||||
5.15%, 2/15/50 | 70,000 | 82,671 | ||||||
3.65%, 6/1/51 | 425,000 | 402,530 | ||||||
3.30%, 2/1/52 | 228,000 | 202,580 | ||||||
3.50%, 9/15/53 | 500,000 | 458,525 | ||||||
3.55%, 9/15/55 | 778,000 | 706,401 | ||||||
3.80%, 12/1/57 | 922,000 | 868,284 | ||||||
3.65%, 9/15/59 | 609,000 | 553,264 | ||||||
3.85%, 6/1/60 | 150,000 | 140,724 | ||||||
3.50%, 2/1/61 | 225,000 | 198,965 | ||||||
Athene Holding Ltd. | 403,000 | 423,497 | ||||||
Autodesk, Inc. | 165,000 | 171,940 | ||||||
AutoNation, Inc. | 115,000 | 119,290 | ||||||
AutoZone, Inc. | 113,000 | 119,204 | ||||||
3.75%, 4/18/29 | 175,000 | 183,090 | ||||||
1.65%, 1/15/31 | 250,000 | 221,917 | ||||||
AvalonBay Communities, Inc. | 75,000 | 77,255 | ||||||
3.30%, 6/1/29 | 120,000 | 124,526 | ||||||
Avangrid, Inc. | 150,000 | 156,885 | ||||||
Avery Dennison Corp. | 31,000 | 34,583 | ||||||
AXIS Specialty Finance LLC | 225,000 | 236,016 | ||||||
AXIS Specialty Finance PLC | 25,000 | 26,272 | ||||||
Baker Hughes Holdings LLC / Baker Hughes Co-Obligor, Inc. | 50,000 | 51,576 | ||||||
3.14%, 11/7/29 | 75,000 | 75,820 | ||||||
Baltimore Gas & Electric Co. | 675,000 | 641,965 | ||||||
Bank of America Corp. | 109,000 | 114,600 | ||||||
3.42%, 12/20/28, (3.419% fixed rate until 12/20/27; 3-month U.S. dollar London Interbank Offered Rate + 1.04% thereafter)(d) | 500,000 | 512,000 | ||||||
2.09%, 6/14/29, (2.087% fixed rate until 6/14/28; Secured Overnight Financing Rate + 1.06% thereafter)(d) | 250,000 | 236,777 | ||||||
2.50%, 2/13/31, (2.496% fixed rate until 2/13/30; 3-month U.S. dollar London Interbank Offered Rate + 0.99% thereafter)(d) | 152,000 | 144,927 | ||||||
2.65%, 3/11/32, Series N, (2.651% fixed rate until 3/11/31; Secured Overnight Financing Rate + 1.22% thereafter)(d) | 175,000 | 167,466 | ||||||
2.69%, 4/22/32, (2.687% fixed rate until 4/22/31; Secured Overnight Financing Rate + 1.32% thereafter)(d) | 425,000 | 408,799 | ||||||
2.97%, 2/4/33, (2.972% fixed rate until 2/4/32; Secured Overnight Financing Rate + 1.33% thereafter)(d) | 400,000 | 392,268 | ||||||
2.48%, 9/21/36, (2.482% fixed rate until 9/21/31; 5-year Constant Maturity Treasury Rate + 1.20% thereafter)(d) | 250,000 | 227,075 | ||||||
4.24%, 4/24/38, (4.244% fixed rate until 4/24/37; 3-month U.S. dollar London Interbank Offered Rate + 1.814% thereafter)(d) | 33,000 | 36,102 | ||||||
7.75%, 5/14/38 | 250,000 | 363,505 | ||||||
2.68%, 6/19/41, (2.676% fixed rate until 6/19/40; Secured Overnight Financing Rate + 1.93% thereafter)(d) | 400,000 | 351,704 | ||||||
4.75%, 4/21/45, Series L | 150,000 | 169,953 | ||||||
4.08%, 3/20/51, (4.083% fixed rate until 3/20/50; 3-month U.S. dollar London Interbank Offered Rate + 3.15% thereafter)(d) | 400,000 | 430,564 | ||||||
BankUnited, Inc. | 50,000 | 53,656 | ||||||
Baxalta, Inc. | 60,000 | 71,770 | ||||||
Baxter International, Inc. | 400,000 | 430,856 | ||||||
1.73%, 4/1/31 | 250,000 | 226,157 |
See Notes to Financial Statements.
WisdomTree Trust | 89 |
Table of Contents
Schedule of Investments (unaudited) (continued)
WisdomTree Yield Enhanced U.S. Aggregate Bond Fund (AGGY)
February 28, 2022
Investments in Long Securities | Principal Amount | Value | ||||||
Becton Dickinson and Co. | $ | 175,000 | $ | 183,689 | ||||
1.96%, 2/11/31 | 250,000 | 227,860 | ||||||
4.69%, 12/15/44 | 87,000 | 97,409 | ||||||
4.67%, 6/6/47 | 124,000 | 139,454 | ||||||
3.79%, 5/20/50 | 250,000 | 250,437 | ||||||
Berkshire Hathaway Energy Co. | 248,000 | 257,208 | ||||||
4.50%, 2/1/45 | 150,000 | 164,483 | ||||||
2.85%, 5/15/51 | 50,000 | 42,611 | ||||||
Biogen, Inc. | 125,000 | 114,476 | ||||||
3.15%, 5/1/50 | 300,000 | 248,382 | ||||||
3.25%, 2/15/51(e) | 52,000 | 43,807 | ||||||
Black Hills Corp. | 50,000 | 47,148 | ||||||
4.35%, 5/1/33 | 180,000 | 192,299 | ||||||
3.88%, 10/15/49 | 40,000 | 39,036 | ||||||
Block Financial LLC | 205,000 | 208,100 | ||||||
Boardwalk Pipelines LP | 100,000 | 105,653 | ||||||
3.40%, 2/15/31 | 200,000 | 196,354 | ||||||
Boeing Co. | 285,000 | 281,637 | ||||||
5.15%, 5/1/30 | 725,000 | 800,523 | ||||||
3.63%, 2/1/31 | 400,000 | 403,668 | ||||||
3.60%, 5/1/34 | 275,000 | 267,520 | ||||||
6.63%, 2/15/38 | 100,000 | 124,843 | ||||||
3.55%, 3/1/38 | 50,000 | 46,497 | ||||||
5.88%, 2/15/40 | 80,000 | 94,147 | ||||||
5.71%, 5/1/40 | 400,000 | 466,368 | ||||||
3.38%, 6/15/46 | 50,000 | 42,798 | ||||||
3.85%, 11/1/48 | 50,000 | 45,736 | ||||||
5.81%, 5/1/50 | 400,000 | 476,008 | ||||||
5.93%, 5/1/60 | 842,000 | 1,001,921 | ||||||
Booking Holdings, Inc. | 150,000 | 168,089 | ||||||
BorgWarner, Inc. | 111,000 | 115,544 | ||||||
Boston Properties LP | 450,000 | 491,445 | ||||||
2.90%, 3/15/30 | 77,000 | 75,177 | ||||||
2.45%, 10/1/33 | 450,000 | 409,878 | ||||||
Boston Scientific Corp. | 290,000 | 308,708 | ||||||
6.75%, 11/15/35 | 165,000 | 220,739 | ||||||
7.38%, 1/15/40 | 2,000 | 2,971 | ||||||
4.70%, 3/1/49 | 47,000 | 53,749 | ||||||
BP Capital Markets America, Inc. | 142,000 | 144,645 | ||||||
4.23%, 11/6/28 | 50,000 | 54,115 | ||||||
2.72%, 1/12/32 | 250,000 | 239,985 | ||||||
3.06%, 6/17/41 | 50,000 | 44,951 | ||||||
3.00%, 3/17/52 | 50,000 | 42,597 | ||||||
3.38%, 2/8/61 | 150,000 | 132,390 | ||||||
Brandywine Operating Partnership LP | 290,000 | 311,857 | ||||||
Brighthouse Financial, Inc. | 250,000 | 285,417 | ||||||
Bristol-Myers Squibb Co. | 110,000 | 99,671 | ||||||
5.00%, 8/15/45 | 100,000 | 124,128 | ||||||
4.25%, 10/26/49 | 250,000 | 281,382 | ||||||
Brixmor Operating Partnership LP | 520,000 | 544,326 | ||||||
Broadcom Corp. / Broadcom Cayman Finance Ltd. | 130,000 | 135,485 | ||||||
3.50%, 1/15/28 | 37,000 | 37,808 | ||||||
Broadcom, Inc. | 250,000 | 236,102 | ||||||
4.11%, 9/15/28 | 40,000 | 42,058 | ||||||
4.75%, 4/15/29 | 500,000 | 543,630 | ||||||
5.00%, 4/15/30 | 250,000 | 276,420 | ||||||
4.15%, 11/15/30 | 815,000 | 855,253 | ||||||
2.60%, 2/15/33(e) | 400,000 | 364,768 | ||||||
3.42%, 4/15/33(e) | 500,000 | 488,460 | ||||||
3.47%, 4/15/34(e) | 250,000 | 242,800 | ||||||
3.50%, 2/15/41(e) | 600,000 | 554,928 | ||||||
3.75%, 2/15/51(e) | 350,000 | 327,348 | ||||||
Broadridge Financial Solutions, Inc. | 275,000 | 271,243 | ||||||
Broadstone Net Lease LLC | 50,000 | 46,270 | ||||||
Brown & Brown, Inc. | 320,000 | 297,798 | ||||||
Brunswick Corp. | 50,000 | 45,757 | ||||||
Bunge Ltd. Finance Corp. | 164,000 | 171,498 | ||||||
2.75%, 5/14/31 | 75,000 | 71,448 | ||||||
Burlington Northern Santa Fe LLC | 250,000 | 283,757 | ||||||
Campbell Soup Co. | 250,000 | 238,152 | ||||||
4.80%, 3/15/48 | 143,000 | 163,036 | ||||||
Capital One Financial Corp. | 257,000 | 268,699 | ||||||
3.80%, 1/31/28 | 349,000 | 364,059 | ||||||
Cardinal Health, Inc. | 184,000 | 190,815 | ||||||
4.50%, 11/15/44 | 52,000 | 53,797 | ||||||
4.90%, 9/15/45 | 100,000 | 108,888 | ||||||
4.37%, 6/15/47 | 105,000 | 107,952 | ||||||
Carlisle Cos., Inc. | 41,000 | 42,848 | ||||||
Carrier Global Corp. | 535,000 | 518,244 | ||||||
3.38%, 4/5/40 | 100,000 | 94,160 | ||||||
3.58%, 4/5/50 | 250,000 | 237,930 | ||||||
Caterpillar, Inc. | 150,000 | 160,134 | ||||||
3.25%, 4/9/50(c) | 50,000 | 49,288 | ||||||
CDW LLC / CDW Finance Corp. | 250,000 | 243,702 |
See Notes to Financial Statements.
90 | WisdomTree Trust |
Table of Contents
Schedule of Investments (unaudited) (continued)
WisdomTree Yield Enhanced U.S. Aggregate Bond Fund (AGGY)
February 28, 2022
Investments in Long Securities | Principal Amount | Value | ||||||
CenterPoint Energy Houston Electric LLC | $ | 100,000 | $ | 102,571 | ||||
CenterPoint Energy Resources Corp. | 40,000 | 42,211 | ||||||
CenterPoint Energy, Inc. | 270,000 | 289,443 | ||||||
CF Industries, Inc. | 100,000 | 108,096 | ||||||
Charles Schwab Corp. | 250,000 | 231,467 | ||||||
Charter Communications Operating LLC / Charter Communications Operating Capital | 150,000 | 157,031 | ||||||
5.05%, 3/30/29 | 100,000 | 109,190 | ||||||
2.80%, 4/1/31 | 570,000 | 533,132 | ||||||
6.38%, 10/23/35 | 505,000 | 604,667 | ||||||
3.50%, 6/1/41 | 250,000 | 215,750 | ||||||
3.50%, 3/1/42 | 100,000 | 85,756 | ||||||
6.48%, 10/23/45 | 278,000 | 331,899 | ||||||
5.38%, 5/1/47 | 374,000 | 395,352 | ||||||
5.75%, 4/1/48 | 113,000 | 124,768 | ||||||
5.13%, 7/1/49 | 97,000 | 98,864 | ||||||
4.80%, 3/1/50 | 300,000 | 293,454 | ||||||
3.70%, 4/1/51 | 328,000 | 276,376 | ||||||
3.90%, 6/1/52 | 150,000 | 130,707 | ||||||
3.85%, 4/1/61 | 275,000 | 227,711 | ||||||
3.95%, 6/30/62 | 450,000 | 377,140 | ||||||
Cheniere Corpus Christi Holdings LLC | 400,000 | 436,808 | ||||||
3.70%, 11/15/29 | 75,000 | 76,637 | ||||||
Chubb INA Holdings, Inc. | 250,000 | 224,967 | ||||||
Church & Dwight Co., Inc. | 90,000 | 92,647 | ||||||
Cigna Corp. | 120,000 | 124,414 | ||||||
3.05%, 10/15/27 | 155,000 | 157,945 | ||||||
4.38%, 10/15/28 | 941,000 | 1,020,260 | ||||||
4.80%, 8/15/38 | 152,000 | 169,694 | ||||||
3.20%, 3/15/40 | 135,000 | 124,959 | ||||||
6.13%, 11/15/41 | 21,000 | 27,275 | ||||||
4.80%, 7/15/46 | 125,000 | 139,868 | ||||||
3.88%, 10/15/47 | 146,000 | 143,229 | ||||||
4.90%, 12/15/48 | 350,000 | 397,855 | ||||||
3.40%, 3/15/50 | 250,000 | 228,882 | ||||||
3.40%, 3/15/51 | 150,000 | 137,009 | ||||||
Cintas Corp. No. 2 | 85,000 | 89,845 | ||||||
Cisco Systems, Inc. | 250,000 | 322,160 | ||||||
Citigroup, Inc. | 495,000 | 529,066 | ||||||
3.67%, 7/24/28, (3.668% fixed rate until 7/24/27; 3-month U.S. dollar London Interbank Offered Rate + 1.39% thereafter)(d) | 250,000 | 258,942 | ||||||
4.13%, 7/25/28 | 354,000 | 372,104 | ||||||
2.98%, 11/5/30, (2.976% fixed rate until 11/5/29; Secured Overnight Financing Rate + 1.422% thereafter)(d) | 215,000 | 212,431 | ||||||
2.67%, 1/29/31, (2.666% fixed rate until 1/29/30; Secured Overnight Financing Rate + 1.146% thereafter)(d) | 132,000 | 127,380 | ||||||
2.56%, 5/1/32, (2.561% fixed rate until 5/1/31; Secured Overnight Financing Rate + 1.167% thereafter)(d) | 250,000 | 237,470 | ||||||
6.63%, 6/15/32 | 500,000 | 628,170 | ||||||
3.06%, 1/25/33, (3.057% fixed rate until 1/25/32; Secured Overnight Financing Rate + 1.351% thereafter)(d) | 250,000 | 246,752 | ||||||
6.00%, 10/31/33 | 50,000 | 61,052 | ||||||
6.68%, 9/13/43 | 158,000 | 218,857 | ||||||
5.30%, 5/6/44 | 50,000 | 59,057 | ||||||
4.75%, 5/18/46 | 275,000 | 307,673 | ||||||
4.65%, 7/23/48 | 250,000 | 292,362 | ||||||
Citizens Financial Group, Inc. | 359,000 | 362,899 | ||||||
Citrix Systems, Inc. | 25,000 | 25,876 | ||||||
Clorox Co. | 125,000 | 128,968 | ||||||
CMS Energy Corp. | 157,000 | 163,338 | ||||||
4.75%, 6/1/50, (4.75% fixed rate until 3/1/30; 5-year Constant Maturity Treasury Rate + 4.116% thereafter)(d) | 72,000 | 72,789 | ||||||
CNA Financial Corp. | 250,000 | 231,797 | ||||||
Coca-Cola Co. | 250,000 | 237,037 | ||||||
1.38%, 3/15/31 | 50,000 | 44,944 | ||||||
2.75%, 6/1/60 | 50,000 | 43,861 | ||||||
Comcast Corp. | 56,000 | 55,287 | ||||||
1.95%, 1/15/31 | 250,000 | 232,872 | ||||||
1.50%, 2/15/31 | 250,000 | 224,122 | ||||||
4.75%, 3/1/44 | 500,000 | 579,405 | ||||||
2.94%, 11/1/56(e) | 100,000 | 84,855 | ||||||
2.65%, 8/15/62 | 150,000 | 119,427 | ||||||
2.99%, 11/1/63(e) | 200,000 | 166,872 | ||||||
CommonSpirit Health | 320,000 | 335,149 | ||||||
3.91%, 10/1/50 | 100,000 | 101,305 | ||||||
Commonwealth Edison Co. | 50,000 | 43,493 | ||||||
Conagra Brands, Inc. | 23,000 | 28,338 | ||||||
4.85%, 11/1/28 | 237,000 | 260,598 | ||||||
8.25%, 9/15/30 | 335,000 | 456,863 | ||||||
5.40%, 11/1/48 | 50,000 | 60,752 | ||||||
Connecticut Light & Power Co. | 100,000 | 103,278 | ||||||
ConocoPhillips | 100,000 | 128,023 | ||||||
2.40%, 2/15/31(c)(e) | 150,000 | 146,831 |
See Notes to Financial Statements.
WisdomTree Trust | 91 |
Table of Contents
Schedule of Investments (unaudited) (continued)
WisdomTree Yield Enhanced U.S. Aggregate Bond Fund (AGGY)
February 28, 2022
Investments in Long Securities | Principal Amount | Value | ||||||
Consolidated Edison Co. of New York, Inc. | $ | 250,000 | $ | 238,422 | ||||
4.45%, 3/15/44 | 50,000 | 53,976 | ||||||
4.30%, 12/1/56, Series C | 100,000 | 106,566 | ||||||
3.00%, 12/1/60, Series C | 50,000 | 41,542 | ||||||
Constellation Brands, Inc. | 340,000 | 355,688 | ||||||
3.50%, 5/9/27 | 162,000 | 168,119 | ||||||
2.88%, 5/1/30 | 250,000 | 244,185 | ||||||
4.50%, 5/9/47 | 100,000 | 105,569 | ||||||
4.10%, 2/15/48 | 65,000 | 65,172 | ||||||
Consumers Energy Co. | 100,000 | 107,039 | ||||||
4.35%, 4/15/49 | 150,000 | 170,430 | ||||||
Continental Airlines Pass Through Trust Class A | 9,939 | 10,123 | ||||||
Corning, Inc. | 250,000 | 289,375 | ||||||
5.45%, 11/15/79 | 250,000 | 289,957 | ||||||
Costco Wholesale Corp. | 100,000 | 92,762 | ||||||
Crown Castle International Corp. | 220,000 | 231,172 | ||||||
3.65%, 9/1/27 | 144,000 | 149,160 | ||||||
3.80%, 2/15/28 | 75,000 | 78,001 | ||||||
4.30%, 2/15/29 | 205,000 | 218,239 | ||||||
3.10%, 11/15/29 | 102,000 | 100,503 | ||||||
2.25%, 1/15/31 | 375,000 | 341,546 | ||||||
4.75%, 5/15/47 | 95,000 | 104,686 | ||||||
5.20%, 2/15/49 | 50,000 | 57,745 | ||||||
3.25%, 1/15/51 | 250,000 | 216,800 | ||||||
CSX Corp. | 99,000 | 102,504 | ||||||
3.80%, 3/1/28 | 212,000 | 224,489 | ||||||
2.40%, 2/15/30(c) | 250,000 | 242,995 | ||||||
6.00%, 10/1/36 | 250,000 | 321,750 | ||||||
3.80%, 11/1/46 | 87,000 | 88,486 | ||||||
4.30%, 3/1/48 | 155,000 | 170,759 | ||||||
4.75%, 11/15/48 | 100,000 | 116,747 | ||||||
4.50%, 3/15/49 | 250,000 | 283,495 | ||||||
3.80%, 4/15/50 | 250,000 | 257,550 | ||||||
3.95%, 5/1/50 | 15,000 | 15,831 | ||||||
4.65%, 3/1/68 | 50,000 | 57,563 | ||||||
CubeSmart LP | 35,000 | 35,768 | ||||||
4.38%, 2/15/29 | 25,000 | 27,118 | ||||||
2.50%, 2/15/32 | 250,000 | 234,382 | ||||||
CVS Health Corp. | 75,000 | 87,751 | ||||||
4.30%, 3/25/28 | 1,297,000 | 1,402,290 | ||||||
3.25%, 8/15/29 | 572,000 | 582,199 | ||||||
4.88%, 7/20/35 | 653,000 | 751,420 | ||||||
4.78%, 3/25/38 | 136,000 | 152,327 | ||||||
4.13%, 4/1/40 | 250,000 | 260,352 | ||||||
2.70%, 8/21/40 | 455,000 | 397,702 | ||||||
5.13%, 7/20/45 | 250,000 | 290,395 | ||||||
5.05%, 3/25/48 | 550,000 | 642,889 | ||||||
4.25%, 4/1/50 | 400,000 | 429,560 | ||||||
Danaher Corp. | 150,000 | 128,315 | ||||||
Dayton Power & Light Co. | 100,000 | 104,788 | ||||||
Dell International LLC / EMC Corp. | 100,000 | 108,449 | ||||||
6.10%, 7/15/27 | 122,000 | 140,675 | ||||||
5.30%, 10/1/29 | 265,000 | 296,670 | ||||||
8.10%, 7/15/36 | 288,000 | 399,010 | ||||||
3.45%, 12/15/51(e) | 100,000 | 84,610 | ||||||
Delmarva Power & Light Co. | 50,000 | 53,226 | ||||||
Devon Energy Corp. | 75,000 | 102,056 | ||||||
4.75%, 5/15/42 | 200,000 | 214,856 | ||||||
5.00%, 6/15/45 | 206,000 | 229,838 | ||||||
DH Europe Finance II Sarl | 340,000 | 333,826 | ||||||
3.40%, 11/15/49 | 50,000 | 49,139 | ||||||
Diamondback Energy, Inc. | 500,000 | 505,690 | ||||||
3.13%, 3/24/31 | 160,000 | 156,278 | ||||||
Digital Realty Trust LP | 288,000 | 301,818 | ||||||
4.45%, 7/15/28 | 177,000 | 191,142 | ||||||
3.60%, 7/1/29 | 100,000 | 103,094 | ||||||
Dignity Health | 10,000 | 12,513 | ||||||
Discover Bank | 250,000 | 257,402 | ||||||
4.65%, 9/13/28 | 358,000 | 388,924 | ||||||
Discovery Communications LLC | 85,000 | 87,787 | ||||||
4.13%, 5/15/29 | 350,000 | 366,271 | ||||||
5.00%, 9/20/37 | 250,000 | 272,112 | ||||||
4.00%, 9/15/55 | 456,000 | 415,421 | ||||||
Dollar General Corp. | 112,000 | 118,380 | ||||||
3.50%, 4/3/30 | 268,000 | 274,855 | ||||||
Dollar Tree, Inc. | 350,000 | 332,860 | ||||||
Dominion Energy, Inc. | 75,000 | 80,444 | ||||||
3.38%, 4/1/30, Series C | 665,000 | 675,028 | ||||||
5.25%, 8/1/33, Series F | 45,000 | 52,231 | ||||||
7.00%, 6/15/38 | 25,000 | 34,313 | ||||||
3.30%, 4/15/41, Series B | 140,000 | 131,181 | ||||||
4.60%, 3/15/49, Series A | 72,000 | 80,173 | ||||||
Dow Chemical Co. | 157,000 | 175,622 | ||||||
7.38%, 11/1/29 | 205,000 | 265,936 | ||||||
4.25%, 10/1/34 | 120,000 | 129,924 | ||||||
5.25%, 11/15/41 | 55,000 | 65,294 | ||||||
4.38%, 11/15/42 | 250,000 | 268,112 | ||||||
5.55%, 11/30/48 | 250,000 | 315,982 |
See Notes to Financial Statements.
92 | WisdomTree Trust |
Table of Contents
Schedule of Investments (unaudited) (continued)
WisdomTree Yield Enhanced U.S. Aggregate Bond Fund (AGGY)
February 28, 2022
Investments in Long Securities | Principal Amount | Value | ||||||
DTE Electric Co. | $ | 250,000 | $ | 246,755 | ||||
Duke Energy Carolinas LLC | 20,000 | 20,672 | ||||||
3.95%, 11/15/28 | 204,000 | 219,647 | ||||||
3.45%, 4/15/51 | 50,000 | 49,230 | ||||||
Duke Energy Corp. | 37,000 | 37,812 | ||||||
3.40%, 6/15/29 | 42,000 | 42,799 | ||||||
2.45%, 6/1/30 | 250,000 | 236,902 | ||||||
2.55%, 6/15/31 | 250,000 | 234,545 | ||||||
3.30%, 6/15/41 | 150,000 | 138,372 | ||||||
4.80%, 12/15/45 | 35,000 | 38,787 | ||||||
3.75%, 9/1/46 | 250,000 | 239,385 | ||||||
3.95%, 8/15/47 | 250,000 | 246,542 | ||||||
Duke Energy Florida LLC | 55,000 | 56,923 | ||||||
Duke Energy Progress LLC | 50,000 | 52,855 | ||||||
3.45%, 3/15/29 | 54,000 | 56,094 | ||||||
4.10%, 5/15/42 | 200,000 | 211,508 | ||||||
Duke Realty LP | 41,000 | 42,171 | ||||||
4.00%, 9/15/28 | 60,000 | 64,397 | ||||||
1.75%, 2/1/31 | 250,000 | 225,850 | ||||||
DuPont de Nemours, Inc. | 542,000 | 600,812 | ||||||
5.32%, 11/15/38 | 250,000 | 298,390 | ||||||
5.42%, 11/15/48 | 152,000 | 191,643 | ||||||
Eastman Chemical Co. | 40,000 | 43,412 | ||||||
4.65%, 10/15/44 | 40,000 | 43,404 | ||||||
Eaton Corp. | 226,000 | 233,340 | ||||||
4.15%, 11/2/42 | 100,000 | 107,596 | ||||||
eBay, Inc. | 250,000 | 238,362 | ||||||
4.00%, 7/15/42 | 300,000 | 302,991 | ||||||
Ecolab, Inc. | 25,000 | 26,218 | ||||||
4.80%, 3/24/30 | 186,000 | 213,733 | ||||||
Edison International | 145,000 | 149,367 | ||||||
El Paso Electric Co. | 30,000 | 33,768 | ||||||
Electronic Arts, Inc. | 50,000 | 45,732 | ||||||
Eli Lilly & Co. | 187,000 | 197,450 | ||||||
Energy Transfer LP | 35,000 | 36,890 | ||||||
5.50%, 6/1/27 | 100,000 | 110,452 | ||||||
4.00%, 10/1/27 | 711,000 | 735,124 | ||||||
4.95%, 5/15/28 | 170,000 | 183,423 | ||||||
5.25%, 4/15/29 | 175,000 | 192,469 | ||||||
4.15%, 9/15/29 | 100,000 | 103,245 | ||||||
3.75%, 5/15/30 | 150,000 | 152,105 | ||||||
6.63%, 10/15/36 | 50,000 | 59,271 | ||||||
5.80%, 6/15/38, Series 20Y | 250,000 | 280,287 | ||||||
7.50%, 7/1/38 | 50,000 | 63,957 | ||||||
6.10%, 2/15/42 | 50,000 | 56,548 | ||||||
4.95%, 1/15/43 | 254,000 | 252,006 | ||||||
5.00%, 5/15/44 | 60,000 | 60,017 | ||||||
5.35%, 5/15/45 | 275,000 | 289,987 | ||||||
6.13%, 12/15/45 | 50,000 | 56,825 | ||||||
5.30%, 4/15/47 | 25,000 | 26,265 | ||||||
5.40%, 10/1/47 | 60,000 | 63,947 | ||||||
6.25%, 4/15/49 | 300,000 | 351,171 | ||||||
5.00%, 5/15/50 | 400,000 | 417,156 | ||||||
Enstar Group Ltd. | 196,000 | 209,906 | ||||||
Entergy Arkansas LLC | 150,000 | 126,369 | ||||||
Entergy Corp. | 309,000 | 313,032 | ||||||
2.80%, 6/15/30 | 315,000 | 305,329 | ||||||
Enterprise Products Operating LLC | 371,000 | 398,918 | ||||||
3.13%, 7/31/29 | 152,000 | 153,628 | ||||||
6.65%, 10/15/34, Series H | 290,000 | 367,526 | ||||||
7.55%, 4/15/38 | 50,000 | 68,880 | ||||||
5.95%, 2/1/41 | 225,000 | 275,866 | ||||||
4.85%, 8/15/42 | 100,000 | 109,204 | ||||||
4.45%, 2/15/43 | 200,000 | 206,892 | ||||||
4.85%, 3/15/44 | 250,000 | 272,795 | ||||||
5.10%, 2/15/45 | 100,000 | 111,906 | ||||||
4.25%, 2/15/48 | 216,000 | 219,853 | ||||||
4.95%, 10/15/54 | 175,000 | 196,173 | ||||||
3.95%, 1/31/60 | 250,000 | 235,087 | ||||||
5.25%, 8/16/77, Series E, (5.25% fixed rate until 8/16/27; 3-month U.S. dollar London Interbank Offered Rate + 3.033% thereafter)(d) | 118,000 | 112,531 | ||||||
Equinix, Inc. | 48,000 | 45,391 | ||||||
3.20%, 11/18/29 | 500,000 | 493,680 | ||||||
2.15%, 7/15/30 | 50,000 | 45,669 | ||||||
3.00%, 7/15/50 | 204,000 | 170,493 | ||||||
2.95%, 9/15/51 | 225,000 | 185,326 | ||||||
Equitable Holdings, Inc. | 529,000 | 566,765 | ||||||
5.00%, 4/20/48 | 95,000 | 106,609 | ||||||
ERP Operating LP | 112,000 | 118,027 | ||||||
4.15%, 12/1/28 | 153,000 | 165,947 | ||||||
Essential Utilities, Inc. | 362,000 | 375,206 | ||||||
Essex Portfolio LP | 100,000 | 106,622 | ||||||
3.00%, 1/15/30 | 175,000 | 174,421 | ||||||
1.65%, 1/15/31(c) | 250,000 | 221,885 | ||||||
Estee Lauder Cos., Inc. | 250,000 | 235,600 | ||||||
Everest Reinsurance Holdings, Inc. | 50,000 | 58,005 | ||||||
3.50%, 10/15/50 | 250,000 | 235,120 |
See Notes to Financial Statements.
WisdomTree Trust | 93 |
Table of Contents
Schedule of Investments (unaudited) (continued)
WisdomTree Yield Enhanced U.S. Aggregate Bond Fund (AGGY)
February 28, 2022
Investments in Long Securities | Principal Amount | Value | ||||||
Evergy Metro, Inc. | $ | 200,000 | $ | 219,632 | ||||
Evergy, Inc. | 150,000 | 148,263 | ||||||
Eversource Energy | 290,000 | 257,804 | ||||||
Exelon Corp. | 51,000 | 57,334 | ||||||
4.45%, 4/15/46 | 150,000 | 163,091 | ||||||
Exelon Generation Co. LLC | 120,000 | 139,932 | ||||||
5.60%, 6/15/42 | 97,000 | 107,071 | ||||||
Expedia Group, Inc. | 200,000 | 214,252 | ||||||
3.25%, 2/15/30 | 100,000 | 98,843 | ||||||
2.95%, 3/15/31 | 400,000 | 383,876 | ||||||
Extra Space Storage LP | 50,000 | 47,234 | ||||||
Federal Realty Investment Trust | 71,000 | 72,241 | ||||||
4.50%, 12/1/44 | 100,000 | 109,801 | ||||||
FedEx Corp. | 90,000 | 93,824 | ||||||
3.10%, 8/5/29 | 277,000 | 281,249 | ||||||
4.25%, 5/15/30 | 240,000 | 261,336 | ||||||
4.90%, 1/15/34 | 25,000 | 28,721 | ||||||
3.25%, 5/15/41 | 250,000 | 234,145 | ||||||
4.75%, 11/15/45 | 250,000 | 278,727 | ||||||
4.40%, 1/15/47 | 170,000 | 181,159 | ||||||
4.05%, 2/15/48 | 100,000 | 101,771 | ||||||
5.25%, 5/15/50 | 235,000 | 282,837 | ||||||
Fidelity National Financial, Inc. | 220,000 | 236,027 | ||||||
Fidelity National Information Services, Inc. | 500,000 | 463,645 | ||||||
Fifth Third Bancorp | 250,000 | 380,630 | ||||||
First Republic Bank | 75,000 | 84,833 | ||||||
Fiserv, Inc. | 309,000 | 329,731 | ||||||
2.65%, 6/1/30 | 423,000 | 403,876 | ||||||
4.40%, 7/1/49 | 326,000 | 348,103 | ||||||
Flex Ltd. | 100,000 | 108,343 | ||||||
Flowers Foods, Inc. | 8,000 | 8,351 | ||||||
FMC Corp. | 110,000 | 111,137 | ||||||
4.50%, 10/1/49 | 272,000 | 292,800 | ||||||
Ford Foundation | 75,000 | 66,101 | ||||||
Fox Corp. | 333,000 | 364,242 | ||||||
3.50%, 4/8/30 | 50,000 | 51,120 | ||||||
5.48%, 1/25/39 | 185,000 | 216,117 | ||||||
5.58%, 1/25/49 | 50,000 | 60,243 | ||||||
GATX Corp. | 160,000 | 168,290 | ||||||
3.50%, 3/15/28 | 100,000 | 103,692 | ||||||
4.55%, 11/7/28 | 65,000 | 71,635 | ||||||
4.70%, 4/1/29 | 65,000 | 71,573 | ||||||
GE Capital International Funding Co. Unlimited Co. | 1,170,000 | 1,319,362 | ||||||
General Dynamics Corp. | 114,000 | 113,855 | ||||||
2.63%, 11/15/27(c) | 62,000 | 62,957 | ||||||
General Electric Co. | 353,000 | 456,161 | ||||||
5.88%, 1/14/38 | 157,000 | 197,368 | ||||||
6.88%, 1/10/39 | 85,000 | 117,532 | ||||||
General Mills, Inc. | 53,000 | 54,570 | ||||||
4.20%, 4/17/28(c) | 385,000 | 415,092 | ||||||
2.25%, 10/14/31 | 250,000 | 235,405 | ||||||
3.00%, 2/1/51 | 145,000 | 131,963 | ||||||
General Motors Co. | 112,000 | 118,188 | ||||||
6.80%, 10/1/27 | 50,000 | 58,939 | ||||||
5.00%, 4/1/35 | 90,000 | 97,502 | ||||||
6.60%, 4/1/36 | 660,000 | 817,179 | ||||||
5.15%, 4/1/38 | 450,000 | 488,722 | ||||||
6.25%, 10/2/43 | 250,000 | 303,670 | ||||||
5.95%, 4/1/49 | 250,000 | 299,057 | ||||||
General Motors Financial Co., Inc. | 206,000 | 212,479 | ||||||
Georgia Power Co. | 110,000 | 112,488 | ||||||
3.70%, 1/30/50, Series B | 100,000 | 95,433 | ||||||
3.25%, 3/15/51, Series A | 150,000 | 134,513 | ||||||
Gilead Sciences, Inc. | 62,000 | 63,269 | ||||||
1.65%, 10/1/30 | 450,000 | 409,072 | ||||||
2.60%, 10/1/40 | 200,000 | 172,936 | ||||||
4.80%, 4/1/44 | 600,000 | 681,984 | ||||||
2.80%, 10/1/50 | 450,000 | 381,280 | ||||||
Global Payments, Inc. | 85,000 | 91,078 | ||||||
3.20%, 8/15/29 | 449,000 | 444,303 | ||||||
Globe Life, Inc. | 175,000 | 191,382 | ||||||
2.15%, 8/15/30 | 100,000 | 93,864 | ||||||
GLP Capital LP / GLP Financing II, Inc. | 192,000 | 212,586 | ||||||
4.00%, 1/15/30 | 250,000 | 252,562 | ||||||
Goldman Sachs Group, Inc. | ||||||||
4.22%, 5/1/29, (4.223% fixed rate until 5/1/28; 3-month U.S. dollar London Interbank Offered Rate + 1.301% thereafter)(d) | 250,000 | 265,540 | ||||||
3.80%, 3/15/30 | 250,000 | 261,015 | ||||||
2.62%, 4/22/32, (2.615% fixed rate until 4/22/31; Secured Overnight Financing Rate + 1.281% thereafter)(d) | 350,000 | 331,331 |
See Notes to Financial Statements.
94 | WisdomTree Trust |
Table of Contents
Schedule of Investments (unaudited) (continued)
WisdomTree Yield Enhanced U.S. Aggregate Bond Fund (AGGY)
February 28, 2022
Investments in Long Securities | Principal Amount | Value | ||||||
3.10%, 2/24/33, (3.102% fixed rate until 2/24/32; Secured Overnight Financing Rate + 1.41% thereafter)(d) | $ | 250,000 | $ | 246,720 | ||||
6.75%, 10/1/37 | 446,000 | 586,236 | ||||||
4.02%, 10/31/38, (4.017% fixed rate until 10/31/37; 3-month U.S. dollar London Interbank Offered Rate + 1.373% thereafter)(d) | 136,000 | 143,704 | ||||||
2.91%, 7/21/42, (2.908% fixed rate until 7/21/41; Secured Overnight Financing Rate + 1.472% thereafter)(d) | 200,000 | 178,952 | ||||||
5.15%, 5/22/45 | 580,000 | 682,527 | ||||||
Golub Capital BDC, Inc. | 200,000 | 183,468 | ||||||
Halliburton Co. | 150,000 | 147,803 | ||||||
4.85%, 11/15/35 | 55,000 | 61,557 | ||||||
6.70%, 9/15/38 | 56,000 | 72,451 | ||||||
7.45%, 9/15/39 | 78,000 | 107,817 | ||||||
4.50%, 11/15/41 | 2,000 | 2,077 | ||||||
4.75%, 8/1/43 | 200,000 | 213,656 | ||||||
5.00%, 11/15/45 | 207,000 | 231,260 | ||||||
Harley-Davidson, Inc. | 40,000 | 39,359 | ||||||
Hartford Financial Services Group, Inc. | 115,000 | 121,429 | ||||||
4.40%, 3/15/48 | 120,000 | 134,099 | ||||||
Hasbro, Inc. | 174,000 | 179,114 | ||||||
6.35%, 3/15/40(c) | 91,000 | 116,367 | ||||||
HCA, Inc. | 152,000 | 161,067 | ||||||
4.13%, 6/15/29 | 300,000 | 315,000 | ||||||
2.38%, 7/15/31 | 400,000 | 369,520 | ||||||
5.13%, 6/15/39 | 60,000 | 67,132 | ||||||
5.50%, 6/15/47 | 113,000 | 132,498 | ||||||
5.25%, 6/15/49 | 233,000 | 265,480 | ||||||
3.50%, 7/15/51 | 150,000 | 133,499 | ||||||
Healthcare Realty Trust, Inc. | 25,000 | 25,714 | ||||||
Healthcare Trust of America Holdings LP | 325,000 | 321,467 | ||||||
2.00%, 3/15/31(c) | 250,000 | 226,115 | ||||||
Healthpeak Properties, Inc. | 168,000 | 173,924 | ||||||
2.88%, 1/15/31 | 250,000 | 246,320 | ||||||
6.75%, 2/1/41 | 32,000 | 44,830 | ||||||
Hershey Co. | 50,000 | 46,710 | ||||||
Hess Corp. | 100,000 | 105,848 | ||||||
7.13%, 3/15/33 | 100,000 | 127,593 | ||||||
6.00%, 1/15/40 | 250,000 | 298,197 | ||||||
5.60%, 2/15/41 | 250,000 | 288,575 | ||||||
Hewlett Packard Enterprise Co. | 100,000 | 119,837 | ||||||
6.35%, 10/15/45 | 150,000 | 179,187 | ||||||
Highwoods Realty LP | 25,000 | 26,704 | ||||||
4.20%, 4/15/29 | 75,000 | 79,349 | ||||||
3.05%, 2/15/30 | 115,000 | 113,757 | ||||||
HollyFrontier Corp. | 50,000 | 50,565 | ||||||
Home Depot, Inc. | 145,000 | 148,270 | ||||||
1.38%, 3/15/31 | 250,000 | 223,967 | ||||||
4.20%, 4/1/43 | 250,000 | 278,052 | ||||||
2.38%, 3/15/51 | 250,000 | 206,477 | ||||||
Hormel Foods Corp. | 150,000 | 140,234 | ||||||
Host Hotels & Resorts LP | 250,000 | 244,852 | ||||||
HP, Inc. | 325,000 | 328,107 | ||||||
2.65%, 6/17/31 | 111,000 | 104,310 | ||||||
6.00%, 9/15/41 | 185,000 | 222,261 | ||||||
Hubbell, Inc. | 8,000 | 8,199 | ||||||
3.50%, 2/15/28 | 96,000 | 99,777 | ||||||
Hudson Pacific Properties LP | 185,000 | 201,382 | ||||||
3.25%, 1/15/30 | 200,000 | 199,698 | ||||||
Humana, Inc. | 71,000 | 75,120 | ||||||
2.15%, 2/3/32 | 500,000 | 459,735 | ||||||
4.95%, 10/1/44 | 117,000 | 136,628 | ||||||
Huntington Ingalls Industries, Inc. | 25,000 | 25,661 | ||||||
4.20%, 5/1/30 | 250,000 | 268,045 | ||||||
Huntsman International LLC | 379,000 | 402,396 | ||||||
Indiana Michigan Power Co. | 92,000 | 97,158 | ||||||
Ingredion, Inc. | 109,000 | 112,048 | ||||||
Intel Corp. | 55,000 | 53,884 | ||||||
3.90%, 3/25/30 | 365,000 | 393,729 | ||||||
2.00%, 8/12/31 | 150,000 | 139,908 | ||||||
2.80%, 8/12/41 | 50,000 | 45,098 | ||||||
3.25%, 11/15/49 | 50,000 | 46,783 | ||||||
3.20%, 8/12/61 | 250,000 | 223,987 | ||||||
Intercontinental Exchange, Inc. | 50,000 | 44,426 | ||||||
3.00%, 6/15/50 | 150,000 | 133,884 | ||||||
3.00%, 9/15/60 | 100,000 | 86,050 | ||||||
International Business Machines Corp. | 450,000 | 471,582 | ||||||
4.15%, 5/15/39 | 250,000 | 267,952 | ||||||
International Flavors & Fragrances, Inc. | 27,000 | 28,395 | ||||||
5.00%, 9/26/48 | 200,000 | 228,524 | ||||||
International Paper Co. | 250,000 | 283,692 | ||||||
4.35%, 8/15/48 | 134,000 | 145,943 |
See Notes to Financial Statements.
WisdomTree Trust | 95 |
Table of Contents
Schedule of Investments (unaudited) (continued)
WisdomTree Yield Enhanced U.S. Aggregate Bond Fund (AGGY)
February 28, 2022
Investments in Long Securities | Principal Amount | Value | ||||||
Interpublic Group of Cos., Inc. | $ | 125,000 | $ | 156,265 | ||||
Interstate Power & Light Co. | 250,000 | 268,105 | ||||||
6.25%, 7/15/39 | 10,000 | 13,342 | ||||||
3.70%, 9/15/46 | 100,000 | 103,937 | ||||||
J.M. Smucker Co. | 222,000 | 240,366 | ||||||
2.75%, 9/15/41 | 200,000 | 173,942 | ||||||
4.38%, 3/15/45 | 5,000 | 5,424 | ||||||
Jabil, Inc. | 209,000 | 218,631 | ||||||
Janus Henderson US Holdings, Inc. | 2,000 | 2,137 | ||||||
Jefferies Group LLC | 268,000 | 331,736 | ||||||
6.50%, 1/20/43 | 61,000 | 77,056 | ||||||
Jefferies Group LLC / Jefferies Group Capital Finance, Inc. | 19,000 | 20,718 | ||||||
4.15%, 1/23/30 | 503,000 | 529,096 | ||||||
JetBlue Pass Through Trust Class AA | 92,380 | 89,133 | ||||||
John Deere Capital Corp. | 25,000 | 25,917 | ||||||
3.45%, 3/7/29 | 50,000 | 52,905 | ||||||
2.80%, 7/18/29(c) | 175,000 | 177,898 | ||||||
2.45%, 1/9/30 | 45,000 | 44,529 | ||||||
Johnson & Johnson | 30,000 | 34,938 | ||||||
3.40%, 1/15/38 | 50,000 | 51,977 | ||||||
3.70%, 3/1/46 | 103,000 | 110,829 | ||||||
Johnson Controls International PLC | 400,000 | 515,052 | ||||||
5.13%, 9/14/45 | 11,000 | 13,342 | ||||||
4.50%, 2/15/47 | 120,000 | 131,642 | ||||||
JPMorgan Chase & Co. | 1,000 | 1,246 | ||||||
3.54%, 5/1/28, (3.54% fixed rate until 5/1/27; 3-month U.S. dollar London Interbank Offered Rate + 1.38% thereafter)(d) | 350,000 | 362,047 | ||||||
4.20%, 7/23/29, (4.203% fixed rate until 7/23/28; 3-month U.S. dollar London Interbank Offered Rate + 1.26% thereafter)(d) | 500,000 | 533,875 | ||||||
2.96%, 5/13/31, (2.956% fixed rate until 5/13/30; Secured Overnight Financing Rate + 2.515% thereafter)(d) | 50,000 | 48,581 | ||||||
1.95%, 2/4/32, (1.953% fixed rate until 2/4/31; Secured Overnight Financing Rate + 1.065% thereafter)(d) | 500,000 | 456,145 | ||||||
2.58%, 4/22/32, (2.58% fixed rate until 4/22/31; Secured Overnight Financing Rate + 1.25% thereafter)(d) | 500,000 | 479,880 | ||||||
2.96%, 1/25/33, (2.963% fixed rate until 1/25/32; Secured Overnight Financing Rate + 1.26% thereafter)(d) | 350,000 | 346,626 | ||||||
3.16%, 4/22/42, (3.157% fixed rate until 4/22/41; Secured Overnight Financing Rate + 1.46% thereafter)(d) | 100,000 | 94,864 | ||||||
5.63%, 8/16/43 | 200,000 | 252,596 | ||||||
3.96%, 11/15/48, (3.964% fixed rate until 11/15/47; 3-month U.S. dollar London Interbank Offered Rate + 1.38% thereafter)(d) | 100,000 | 106,289 | ||||||
Juniper Networks, Inc. | 50,000 | 44,808 | ||||||
5.95%, 3/15/41 | 100,000 | 120,684 | ||||||
Kansas City Southern | 200,000 | 198,836 | ||||||
4.70%, 5/1/48 | 125,000 | 143,434 | ||||||
4.20%, 11/15/69 | 50,000 | 52,443 | ||||||
Kellogg Co. | 155,000 | 160,766 | ||||||
7.45%, 4/1/31, Series B | 150,000 | 200,647 | ||||||
Kennametal, Inc. | 240,000 | 258,336 | ||||||
Keurig Dr. Pepper, Inc. | 90,000 | 93,331 | ||||||
4.60%, 5/25/28 | 86,000 | 94,113 | ||||||
3.20%, 5/1/30 | 525,000 | 531,814 | ||||||
5.09%, 5/25/48 | 125,000 | 146,903 | ||||||
KeyBank NA | 75,000 | 79,117 | ||||||
KeyCorp | 290,000 | 311,544 | ||||||
2.55%, 10/1/29 | 90,000 | 87,555 | ||||||
Kilroy Realty LP | 150,000 | 159,758 | ||||||
3.05%, 2/15/30 | 120,000 | 118,207 | ||||||
Kimberly-Clark Corp. | 117,000 | 121,433 | ||||||
Kimco Realty Corp. | 50,000 | 48,651 | ||||||
4.45%, 9/1/47 | 100,000 | 109,959 | ||||||
3.70%, 10/1/49 | 250,000 | 243,727 | ||||||
Kinder Morgan Energy Partners LP | 1,000 | 1,288 | ||||||
5.80%, 3/15/35 | 50,000 | 59,045 | ||||||
6.95%, 1/15/38 | 90,000 | 115,086 | ||||||
6.38%, 3/1/41 | 8,000 | 9,668 | ||||||
5.00%, 8/15/42 | 200,000 | 210,984 | ||||||
5.00%, 3/1/43 | 370,000 | 392,862 | ||||||
5.40%, 9/1/44 | 75,000 | 83,803 | ||||||
Kinder Morgan, Inc. | 192,000 | 204,730 | ||||||
2.00%, 2/15/31(c) | 400,000 | 359,536 | ||||||
7.75%, 1/15/32 | 337,000 | 446,555 | ||||||
5.30%, 12/1/34 | 168,000 | 189,554 | ||||||
5.55%, 6/1/45 | 148,000 | 169,784 | ||||||
5.05%, 2/15/46 | 80,000 | 86,856 |
See Notes to Financial Statements.
96 | WisdomTree Trust |
Table of Contents
Schedule of Investments (unaudited) (continued)
WisdomTree Yield Enhanced U.S. Aggregate Bond Fund (AGGY)
February 28, 2022
Investments in Long Securities | Principal Amount | Value | ||||||
5.20%, 3/1/48 | $ | 100,000 | $ | 111,592 | ||||
3.25%, 8/1/50 | 150,000 | 126,500 | ||||||
Kirby Corp. | 80,000 | 82,742 | ||||||
KLA Corp. | 250,000 | 237,127 | ||||||
Kohl’s Corp. | 177,000 | 181,236 | ||||||
Kroger Co. | 295,000 | 311,036 | ||||||
5.40%, 7/15/40 | 50,000 | 60,061 | ||||||
5.00%, 4/15/42 | 66,000 | 76,478 | ||||||
5.15%, 8/1/43 | 25,000 | 29,237 | ||||||
4.45%, 2/1/47 | 51,000 | 55,556 | ||||||
4.65%, 1/15/48 | 69,000 | 77,461 | ||||||
5.40%, 1/15/49 | 250,000 | 311,252 | ||||||
L3Harris Technologies, Inc. | 406,000 | 439,594 | ||||||
1.80%, 1/15/31 | 250,000 | 226,205 | ||||||
4.85%, 4/27/35 | 105,000 | 120,395 | ||||||
Laboratory Corp. of America Holdings | 225,000 | 235,600 | ||||||
4.70%, 2/1/45 | 75,000 | 82,869 | ||||||
Lam Research Corp. | 217,000 | 235,447 | ||||||
Las Vegas Sands Corp. | 137,000 | 131,212 | ||||||
Lear Corp. | 298,000 | 316,020 | ||||||
Leggett & Platt, Inc. | 25,000 | 25,900 | ||||||
3.50%, 11/15/51 | 250,000 | 232,660 | ||||||
Leidos, Inc. | 350,000 | 319,497 | ||||||
LifeStorage LP | 60,000 | 62,475 | ||||||
3.88%, 12/15/27 | 25,000 | 26,558 | ||||||
Lincoln National Corp. | 13,000 | 13,702 | ||||||
3.05%, 1/15/30 | 200,000 | 199,052 | ||||||
4.35%, 3/1/48 | 153,000 | 167,474 | ||||||
Lockheed Martin Corp. | 100,000 | 90,278 | ||||||
Lowe’s Cos., Inc. | 60,000 | 61,843 | ||||||
3.65%, 4/5/29 | 500,000 | 524,630 | ||||||
4.50%, 4/15/30 | 350,000 | 386,158 | ||||||
5.00%, 4/15/40 | 350,000 | 402,801 | ||||||
2.80%, 9/15/41 | 250,000 | 221,630 | ||||||
5.13%, 4/15/50 | 250,000 | 301,742 | ||||||
3.00%, 10/15/50 | 350,000 | 305,382 | ||||||
LYB International Finance BV | 100,000 | 115,918 | ||||||
4.88%, 3/15/44 | 195,000 | 215,025 | ||||||
LYB International Finance III LLC | 300,000 | 304,650 | ||||||
3.80%, 10/1/60 | 310,000 | 281,725 | ||||||
Magellan Midstream Partners LP | 250,000 | 250,260 | ||||||
5.15%, 10/15/43 | 72,000 | 79,623 | ||||||
4.20%, 10/3/47 | 160,000 | 158,634 | ||||||
Marathon Oil Corp. | 165,000 | 175,294 | ||||||
6.60%, 10/1/37 | 79,000 | 99,549 | ||||||
Marathon Petroleum Corp. | 240,000 | 306,058 | ||||||
4.75%, 9/15/44 | 51,000 | 54,035 | ||||||
4.50%, 4/1/48 | 75,000 | 77,774 | ||||||
5.00%, 9/15/54 | 40,000 | 43,222 | ||||||
Markel Corp. | 100,000 | 104,110 | ||||||
5.00%, 4/5/46 | 250,000 | 291,617 | ||||||
Marriott International, Inc. | 250,000 | 270,537 | ||||||
2.85%, 4/15/31, Series HH | 376,000 | 358,659 | ||||||
3.50%, 10/15/32, Series GG | 100,000 | 99,834 | ||||||
Marsh & McLennan Cos., Inc. | 171,000 | 186,698 | ||||||
Martin Marietta Materials, Inc. | 25,000 | 26,052 | ||||||
4.25%, 12/15/47 | 180,000 | 189,220 | ||||||
3.20%, 7/15/51 | 250,000 | 224,267 | ||||||
Marvell Technology, Inc. | 300,000 | 289,950 | ||||||
Masco Corp. | 500,000 | 460,360 | ||||||
Massachusetts Institute of Technology | 60,000 | 92,909 | ||||||
Mastercard, Inc. | 52,000 | 55,402 | ||||||
2.95%, 6/1/29 | 145,000 | 149,160 | ||||||
1.90%, 3/15/31 | 50,000 | 47,609 | ||||||
McCormick & Co., Inc. | 60,000 | 62,468 | ||||||
1.85%, 2/15/31 | 235,000 | 213,777 | ||||||
McDonald’s Corp. | 28,000 | 29,779 | ||||||
2.63%, 9/1/29(c) | 100,000 | 98,537 | ||||||
2.13%, 3/1/30 | 150,000 | 142,385 | ||||||
3.60%, 7/1/30 | 250,000 | 262,697 | ||||||
4.70%, 12/9/35 | 331,000 | 376,178 | ||||||
6.30%, 3/1/38 | 18,000 | 23,653 | ||||||
4.88%, 7/15/40 | 150,000 | 173,469 | ||||||
3.70%, 2/15/42 | 150,000 | 149,633 | ||||||
4.60%, 5/26/45 | 92,000 | 101,996 | ||||||
4.88%, 12/9/45 | 88,000 | 101,134 | ||||||
4.45%, 3/1/47 | 69,000 | 75,784 | ||||||
4.45%, 9/1/48 | 40,000 | 44,097 | ||||||
3.63%, 9/1/49 | 250,000 | 246,372 | ||||||
4.20%, 4/1/50 | 250,000 | 267,912 | ||||||
MDC Holdings, Inc. | 50,000 | 50,120 | ||||||
3.97%, 8/6/61 | 150,000 | 123,159 |
See Notes to Financial Statements.
WisdomTree Trust | 97 |
Table of Contents
Schedule of Investments (unaudited) (continued)
WisdomTree Yield Enhanced U.S. Aggregate Bond Fund (AGGY)
February 28, 2022
Investments in Long Securities | Principal Amount | Value | ||||||
Medtronic Global Holdings SCA | $ | 43,000 | $ | 44,856 | ||||
Merck & Co., Inc. | 250,000 | 228,742 | ||||||
2.15%, 12/10/31 | 200,000 | 191,178 | ||||||
4.00%, 3/7/49 | 100,000 | 110,623 | ||||||
Mercury General Corp. | 160,000 | 170,282 | ||||||
MetLife, Inc. | 250,000 | 272,302 | ||||||
6.40%, 12/15/66 | 140,000 | 158,577 | ||||||
Micron Technology, Inc. | 337,000 | 376,820 | ||||||
Microsoft Corp. | 50,000 | 60,141 | ||||||
3.95%, 3/15/29 | 340,000 | 364,024 | ||||||
1.70%, 2/15/31 | 100,000 | 90,307 | ||||||
MidAmerican Energy Co. | 50,000 | 65,887 | ||||||
3.65%, 8/1/48 | 50,000 | 50,925 | ||||||
Molson Coors Beverage Co. | 167,000 | 170,028 | ||||||
5.00%, 5/1/42 | 60,000 | 65,911 | ||||||
4.20%, 7/15/46 | 315,000 | 315,104 | ||||||
Mondelez International, Inc. | 50,000 | 49,337 | ||||||
1.50%, 2/4/31(c) | 500,000 | 442,730 | ||||||
1.88%, 10/15/32(c) | 25,000 | 22,519 | ||||||
2.63%, 9/4/50 | 150,000 | 126,585 | ||||||
Moody’s Corp. | 33,000 | 34,250 | ||||||
5.25%, 7/15/44 | 250,000 | 302,585 | ||||||
Morgan Stanley | 350,000 | 367,633 | ||||||
4.43%, 1/23/30, (4.431% fixed rate until 1/23/29; 3-month U.S. dollar London Interbank Offered Rate + 1.628% thereafter)(d) | 350,000 | 378,042 | ||||||
1.79%, 2/13/32, (1.794% fixed rate until 2/13/31; Secured Overnight Financing Rate + 1.034% thereafter)(d) | 250,000 | 223,485 | ||||||
7.25%, 4/1/32 | 100,000 | 134,326 | ||||||
1.93%, 4/28/32, (1.928% fixed rate until 4/28/31; Secured Overnight Financing Rate + 1.02% thereafter)(d) | 275,000 | 248,022 | ||||||
2.24%, 7/21/32, (2.239% fixed rate until 7/21/31; Secured Overnight Financing Rate + 1.178% thereafter)(d) | 250,000 | 231,732 | ||||||
3.22%, 4/22/42, (3.217% fixed rate until 4/22/41; Secured Overnight Financing Rate + 1.485% thereafter)(d) | 100,000 | 95,482 | ||||||
2.80%, 1/25/52, (2.802% fixed rate until 1/25/51; Secured Overnight Financing Rate + 1.43% thereafter)(d) | 200,000 | 174,878 | ||||||
Morgan Stanley Domestic Holdings, Inc. | 100,000 | 104,756 | ||||||
Mosaic Co. | 223,000 | 235,847 | ||||||
5.63%, 11/15/43 | 38,000 | 46,921 | ||||||
Motorola Solutions, Inc. | 50,000 | 54,023 | ||||||
4.60%, 5/23/29 | 75,000 | 80,965 | ||||||
2.30%, 11/15/30 | 75,000 | 68,977 | ||||||
2.75%, 5/24/31 | 244,000 | 230,731 | ||||||
5.50%, 9/1/44 | 50,000 | 58,288 | ||||||
MPLX LP | 50,000 | 53,038 | ||||||
4.00%, 3/15/28 | 280,000 | 292,384 | ||||||
4.80%, 2/15/29 | 60,000 | 65,764 | ||||||
2.65%, 8/15/30 | 200,000 | 188,624 | ||||||
5.20%, 3/1/47 | 35,000 | 38,670 | ||||||
5.20%, 12/1/47 | 275,000 | 300,319 | ||||||
4.70%, 4/15/48 | 500,000 | 519,985 | ||||||
Mylan, Inc. | 166,000 | 176,946 | ||||||
5.20%, 4/15/48 | 150,000 | 163,299 | ||||||
Nasdaq, Inc. | 650,000 | 574,028 | ||||||
National Fuel Gas Co. | 150,000 | 153,758 | ||||||
4.75%, 9/1/28 | 105,000 | 110,973 | ||||||
National Health Investors, Inc. | 350,000 | 323,186 | ||||||
National Retail Properties, Inc. | 15,000 | 15,688 | ||||||
2.50%, 4/15/30 | 200,000 | 192,122 | ||||||
3.50%, 4/15/51 | 150,000 | 139,041 | ||||||
National Rural Utilities Cooperative Finance Corp. | 100,000 | 103,455 | ||||||
3.70%, 3/15/29 | 167,000 | 175,918 | ||||||
NewMarket Corp. | 274,000 | 263,983 | ||||||
Newmont Corp. | 110,000 | 107,694 | ||||||
2.60%, 7/15/32 | 250,000 | 237,860 | ||||||
6.25%, 10/1/39 | 93,000 | 120,728 | ||||||
5.45%, 6/9/44 | 250,000 | 306,260 | ||||||
NextEra Energy Capital Holdings, Inc. | 327,000 | 336,987 | ||||||
2.75%, 11/1/29 | 500,000 | 491,490 | ||||||
3.00%, 1/15/52 | 250,000 | 216,472 | ||||||
4.80%, 12/1/77, (4.80% fixed rate until 12/1/27; 3-month U.S. dollar London Interbank Offered Rate + 2.409% thereafter)(d) | 33,000 | 32,839 | ||||||
NIKE, Inc. | 220,000 | 223,859 | ||||||
NiSource, Inc. | 515,000 | 527,159 | ||||||
5.95%, 6/15/41 | 2,000 | 2,474 | ||||||
4.80%, 2/15/44 | 40,000 | 43,657 | ||||||
5.65%, 2/1/45 | 224,000 | 266,340 |
See Notes to Financial Statements.
98 | WisdomTree Trust |
Table of Contents
Schedule of Investments (unaudited) (continued)
WisdomTree Yield Enhanced U.S. Aggregate Bond Fund (AGGY)
February 28, 2022
Investments in Long Securities | Principal Amount | Value | ||||||
4.38%, 5/15/47 | $ | 81,000 | $ | 84,982 | ||||
3.95%, 3/30/48 | 75,000 | 73,754 | ||||||
Norfolk Southern Corp. | 100,000 | 103,152 | ||||||
3.80%, 8/1/28(c) | 149,000 | 157,885 | ||||||
4.84%, 10/1/41 | 120,000 | 140,768 | ||||||
3.95%, 10/1/42 | 250,000 | 263,330 | ||||||
3.94%, 11/1/47 | 71,000 | 74,544 | ||||||
3.05%, 5/15/50 | 250,000 | 228,370 | ||||||
2.90%, 8/25/51 | 100,000 | 88,260 | ||||||
4.10%, 5/15/2121 | 100,000 | 97,034 | ||||||
Northern States Power Co. | 200,000 | 194,376 | ||||||
Northrop Grumman Corp. | 100,000 | 102,923 | ||||||
3.25%, 1/15/28 | 100,000 | 102,679 | ||||||
7.75%, 2/15/31(e) | 170,000 | 229,916 | ||||||
5.15%, 5/1/40 | 250,000 | 297,615 | ||||||
5.05%, 11/15/40 | 26,000 | 30,861 | ||||||
4.75%, 6/1/43 | 60,000 | 69,546 | ||||||
5.25%, 5/1/50 | 372,000 | 470,450 | ||||||
NOV, Inc. | 105,000 | 96,074 | ||||||
NSTAR Electric Co. | 150,000 | 155,001 | ||||||
Nucor Corp. | 200,000 | 247,594 | ||||||
2.98%, 12/15/55 | 27,000 | 23,684 | ||||||
NVIDIA Corp. | 250,000 | 253,302 | ||||||
O’Reilly Automotive, Inc. | 100,000 | 104,627 | ||||||
4.20%, 4/1/30 | 250,000 | 268,422 | ||||||
1.75%, 3/15/31 | 250,000 | 224,370 | ||||||
Oglethorpe Power Corp. | 50,000 | 61,966 | ||||||
5.25%, 9/1/50 | 255,000 | 297,863 | ||||||
Ohio Power Co. | 150,000 | 128,718 | ||||||
Oklahoma Gas & Electric Co. | 135,000 | 142,482 | ||||||
Omega Healthcare Investors, Inc. | 90,000 | 95,054 | ||||||
4.75%, 1/15/28 | 60,000 | 63,214 | ||||||
3.63%, 10/1/29 | 100,000 | 98,704 | ||||||
Omnicom Group, Inc. | 525,000 | 504,394 | ||||||
ONEOK Partners LP | 100,000 | 115,897 | ||||||
6.20%, 9/15/43 | 25,000 | 28,951 | ||||||
ONEOK, Inc. | 430,000 | 448,112 | ||||||
4.55%, 7/15/28 | 357,000 | 381,247 | ||||||
4.45%, 9/1/49 | 150,000 | 148,499 | ||||||
4.50%, 3/15/50 | 100,000 | 99,132 | ||||||
7.15%, 1/15/51 | 150,000 | 199,461 | ||||||
Oracle Corp. | 125,000 | 124,250 | ||||||
2.80%, 4/1/27 | 310,000 | 308,286 | ||||||
3.25%, 11/15/27 | 414,000 | 419,361 | ||||||
2.30%, 3/25/28 | 275,000 | 261,852 | ||||||
2.95%, 4/1/30 | 600,000 | 580,350 | ||||||
2.88%, 3/25/31 | 733,000 | 700,081 | ||||||
4.30%, 7/8/34 | 100,000 | 103,373 | ||||||
3.80%, 11/15/37 | 400,000 | 381,020 | ||||||
6.50%, 4/15/38 | 250,000 | 309,680 | ||||||
3.60%, 4/1/40 | 100,000 | 90,608 | ||||||
5.38%, 7/15/40 | 350,000 | 384,566 | ||||||
3.65%, 3/25/41 | 200,000 | 181,388 | ||||||
4.13%, 5/15/45 | 250,000 | 233,817 | ||||||
4.00%, 7/15/46 | 250,000 | 230,045 | ||||||
4.00%, 11/15/47 | 500,000 | 458,325 | ||||||
3.60%, 4/1/50 | 300,000 | 260,754 | ||||||
3.95%, 3/25/51 | 500,000 | 459,100 | ||||||
4.38%, 5/15/55 | 150,000 | 143,051 | ||||||
3.85%, 4/1/60 | 300,000 | 258,999 | ||||||
4.10%, 3/25/61 | 188,000 | 169,990 | ||||||
Oshkosh Corp. | 32,000 | 34,473 | ||||||
Otis Worldwide Corp. | 503,000 | 488,212 | ||||||
Ovintiv, Inc. | 248,000 | 305,903 | ||||||
Owens Corning | 260,000 | 267,901 | ||||||
7.00%, 12/1/36 | 32,000 | 42,176 | ||||||
4.40%, 1/30/48 | 150,000 | 159,594 | ||||||
Owl Rock Capital Corp. | 375,000 | 340,361 | ||||||
Owl Rock Capital Corp. III | 200,000 | 185,518 | ||||||
Pacific Gas and Electric Co. | 150,000 | 149,408 | ||||||
2.10%, 8/1/27 | 50,000 | 46,463 | ||||||
4.55%, 7/1/30 | 250,000 | 257,150 | ||||||
2.50%, 2/1/31 | 775,000 | 690,773 | ||||||
4.50%, 7/1/40 | 432,000 | 411,938 | ||||||
4.20%, 6/1/41 | 75,000 | 69,071 | ||||||
3.75%, 8/15/42 | 100,000 | 85,865 | ||||||
4.60%, 6/15/43 | 340,000 | 325,887 | ||||||
4.00%, 12/1/46 | 100,000 | 87,227 | ||||||
4.95%, 7/1/50 | 350,000 | 348,166 | ||||||
3.50%, 8/1/50 | 300,000 | 247,350 | ||||||
Packaging Corp. of America | 242,000 | 242,087 | ||||||
Paramount Global | 92,000 | 92,342 | ||||||
3.70%, 6/1/28 | 34,000 | 35,291 | ||||||
7.88%, 7/30/30 | 397,000 | 518,839 | ||||||
4.95%, 1/15/31 | 436,000 | 482,434 | ||||||
4.20%, 5/19/32 | 100,000 | 104,466 | ||||||
4.38%, 3/15/43 | 150,000 | 150,551 | ||||||
5.85%, 9/1/43 | 141,000 | 169,481 |
See Notes to Financial Statements.
WisdomTree Trust | 99 |
Table of Contents
Schedule of Investments (unaudited) (continued)
WisdomTree Yield Enhanced U.S. Aggregate Bond Fund (AGGY)
February 28, 2022
Investments in Long Securities | Principal Amount | Value | ||||||
5.25%, 4/1/44 | $ | 30,000 | $ | 33,207 | ||||
4.95%, 5/19/50 | 185,000 | 202,629 | ||||||
Parker-Hannifin Corp. | 100,000 | 103,612 | ||||||
3.25%, 6/14/29 | 422,000 | 430,765 | ||||||
4.00%, 6/14/49 | 150,000 | 158,634 | ||||||
PayPal Holdings, Inc. | 100,000 | 95,382 | ||||||
Pentair Finance Sarl | 233,000 | 252,239 | ||||||
PepsiCo, Inc. | 28,000 | 29,132 | ||||||
4.45%, 4/14/46 | 250,000 | 297,235 | ||||||
PerkinElmer, Inc. | 200,000 | 190,860 | ||||||
Pfizer, Inc. | 94,000 | 100,784 | ||||||
3.45%, 3/15/29 | 93,000 | 98,247 | ||||||
2.63%, 4/1/30 | 100,000 | 100,301 | ||||||
1.70%, 5/28/30 | 100,000 | 93,310 | ||||||
1.75%, 8/18/31 | 250,000 | 232,032 | ||||||
4.00%, 3/15/49 | 150,000 | 167,322 | ||||||
Philip Morris International, Inc. | 250,000 | 226,887 | ||||||
4.25%, 11/10/44 | 50,000 | 51,730 | ||||||
Phillips 66 | 322,000 | 359,877 | ||||||
5.88%, 5/1/42 | 300,000 | 381,678 | ||||||
Phillips 66 Partners LP | 245,000 | 252,365 | ||||||
4.90%, 10/1/46 | 100,000 | 111,543 | ||||||
Physicians Realty LP | 25,000 | 26,289 | ||||||
Piedmont Natural Gas Co., Inc. | 578,000 | 594,976 | ||||||
Pioneer Natural Resources Co. | 468,000 | 426,222 | ||||||
Plains All American Pipeline LP / PAA Finance Corp. | 171,000 | 182,414 | ||||||
3.55%, 12/15/29 | 250,000 | 247,712 | ||||||
6.65%, 1/15/37 | 250,000 | 296,607 | ||||||
4.70%, 6/15/44 | 47,000 | 44,770 | ||||||
PNC Financial Services Group, Inc. | 175,000 | 172,251 | ||||||
PPL Capital Funding, Inc. | 99,000 | 100,950 | ||||||
4.13%, 4/15/30 | 100,000 | 108,569 | ||||||
President & Fellows of Harvard College | 125,000 | 112,754 | ||||||
Principal Financial Group, Inc. | 21,000 | 22,410 | ||||||
Progressive Corp. | 25,000 | 25,302 | ||||||
6.63%, 3/1/29 | 160,000 | 198,598 | ||||||
Prologis LP | 60,000 | 66,320 | ||||||
Prudential Financial, Inc. | 100,000 | 114,012 | ||||||
4.50%, 9/15/47, (4.50% fixed rate until 9/15/27; 3-month U.S. dollar London Interbank Offered Rate + 2.38% thereafter)(c)(d) | 283,000 | 274,136 | ||||||
5.70%, 9/15/48, (5.70% fixed rate until 9/15/28; 3-month U.S. dollar London Interbank Offered Rate + 2.665% thereafter)(c)(d) | 150,000 | 157,131 | ||||||
3.70%, 3/13/51 | 50,000 | 50,866 | ||||||
Public Service Co. of Colorado | 126,000 | 133,563 | ||||||
Public Service Co. of New Hampshire | 50,000 | 50,882 | ||||||
Public Service Electric & Gas Co. | 35,000 | 35,993 | ||||||
3.20%, 5/15/29 | 170,000 | 175,068 | ||||||
Public Storage | 90,000 | 93,402 | ||||||
Puget Sound Energy, Inc. | 250,000 | 270,475 | ||||||
PulteGroup, Inc. | 350,000 | 421,715 | ||||||
QUALCOMM, Inc. | 62,000 | 64,657 | ||||||
1.30%, 5/20/28 | 88,000 | 81,873 | ||||||
Quanta Services, Inc. | 250,000 | 218,167 | ||||||
Quest Diagnostics, Inc. | 405,000 | 400,581 | ||||||
Raymond James Financial, Inc. | 305,000 | 352,132 | ||||||
Raytheon Technologies Corp. | 190,000 | 198,677 | ||||||
7.20%, 8/15/27 | 21,000 | 25,953 | ||||||
4.13%, 11/16/28 | 613,000 | 663,100 | ||||||
2.25%, 7/1/30 | 425,000 | 404,383 | ||||||
4.45%, 11/16/38 | 152,000 | 170,055 | ||||||
4.88%, 10/15/40 | 250,000 | 289,660 | ||||||
4.70%, 12/15/41 | 50,000 | 56,851 | ||||||
4.50%, 6/1/42 | 261,000 | 292,043 | ||||||
4.15%, 5/15/45 | 119,000 | 128,093 | ||||||
3.75%, 11/1/46 | 106,000 | 107,224 | ||||||
4.35%, 4/15/47 | 82,000 | 90,487 | ||||||
4.05%, 5/4/47 | 145,000 | 153,947 | ||||||
4.63%, 11/16/48 | 45,000 | 52,081 | ||||||
3.13%, 7/1/50 | 250,000 | 230,807 | ||||||
3.03%, 3/15/52 | 200,000 | 180,042 | ||||||
Realty Income Corp. | 95,000 | 101,011 | ||||||
3.00%, 1/15/27 | 46,000 | 46,787 | ||||||
3.65%, 1/15/28 | 136,000 | 142,142 | ||||||
Regency Centers LP | 40,000 | 42,844 | ||||||
2.95%, 9/15/29 | 272,000 | 269,128 | ||||||
4.40%, 2/1/47 | 13,000 | 13,909 | ||||||
4.65%, 3/15/49 | 150,000 | 169,721 |
See Notes to Financial Statements.
100 | WisdomTree Trust |
Table of Contents
Schedule of Investments (unaudited) (continued)
WisdomTree Yield Enhanced U.S. Aggregate Bond Fund (AGGY)
February 28, 2022
Investments in Long Securities | Principal Amount | Value | ||||||
Regeneron Pharmaceuticals, Inc. | $ | 125,000 | $ | 111,813 | ||||
2.80%, 9/15/50 | 150,000 | 124,406 | ||||||
Regions Financial Corp. | 50,000 | 70,246 | ||||||
Reinsurance Group of America, Inc. | 250,000 | 249,132 | ||||||
Republic Services, Inc. | 90,000 | 95,789 | ||||||
1.45%, 2/15/31 | 250,000 | 221,250 | ||||||
1.75%, 2/15/32 | 450,000 | 401,521 | ||||||
Rockwell Automation, Inc. | 68,000 | 72,008 | ||||||
Roper Technologies, Inc. | 90,000 | 94,765 | ||||||
1.40%, 9/15/27 | 99,000 | 92,532 | ||||||
2.00%, 6/30/30 | 400,000 | 366,044 | ||||||
Ross Stores, Inc. | 250,000 | 226,485 | ||||||
Royalty Pharma PLC | 315,000 | 286,445 | ||||||
3.30%, 9/2/40 | 250,000 | 221,620 | ||||||
3.55%, 9/2/50 | 125,000 | 108,570 | ||||||
RPM International, Inc. | 73,000 | 76,893 | ||||||
4.55%, 3/1/29 | 100,000 | 108,702 | ||||||
S&P Global, Inc. | 5,000 | 5,141 | ||||||
Sabine Pass Liquefaction LLC | 50,000 | 54,435 | ||||||
4.20%, 3/15/28 | 302,000 | 318,208 | ||||||
4.50%, 5/15/30 | 232,000 | 249,894 | ||||||
Sabra Health Care LP | 50,000 | 53,134 | ||||||
3.90%, 10/15/29 | 265,000 | 264,918 | ||||||
salesforce.com, Inc. | 200,000 | 182,798 | ||||||
Santander Holdings USA, Inc. | 102,000 | 107,337 | ||||||
Sempra Energy | 40,000 | 40,898 | ||||||
3.40%, 2/1/28 | 246,000 | 253,552 | ||||||
3.80%, 2/1/38 | 150,000 | 152,873 | ||||||
6.00%, 10/15/39 | 100,000 | 127,393 | ||||||
ServiceNow, Inc. | 250,000 | 220,837 | ||||||
Sherwin-Williams Co. | 116,000 | 120,754 | ||||||
2.95%, 8/15/29 | 110,000 | 110,440 | ||||||
2.30%, 5/15/30 | 290,000 | 275,668 | ||||||
4.55%, 8/1/45 | 12,000 | 13,183 | ||||||
4.50%, 6/1/47 | 200,000 | 219,450 | ||||||
Shire Acquisitions Investments Ireland DAC | 78,000 | 80,144 | ||||||
Simon Property Group LP | 175,000 | 181,060 | ||||||
2.45%, 9/13/29 | 142,000 | 137,351 | ||||||
SITE Centers Corp. | 30,000 | 32,111 | ||||||
Skyworks Solutions, Inc. | 50,000 | 46,698 | ||||||
Snap-on, Inc. | 150,000 | 157,037 | ||||||
Sonoco Products Co. | 350,000 | 339,906 | ||||||
Southern California Edison Co. | 70,000 | 72,891 | ||||||
4.20%, 3/1/29, Series A | 100,000 | 106,598 | ||||||
6.65%, 4/1/29 | 233,000 | 275,737 | ||||||
3.65%, 2/1/50 | 200,000 | 189,590 | ||||||
Southern Co. | 64,000 | 65,503 | ||||||
3.70%, 4/30/30, Series A | 100,000 | 103,161 | ||||||
4.25%, 7/1/36 | 257,000 | 270,128 | ||||||
4.40%, 7/1/46 | 255,000 | 267,418 | ||||||
Southern Co. Gas Capital Corp. | 150,000 | 188,882 | ||||||
4.40%, 6/1/43 | 100,000 | 104,429 | ||||||
4.40%, 5/30/47 | 3,000 | 3,167 | ||||||
Southern Power Co. | 150,000 | 167,508 | ||||||
5.25%, 7/15/43 | 15,000 | 16,998 | ||||||
4.95%, 12/15/46, Series F | 160,000 | 176,642 | ||||||
Southwest Airlines Co. | 225,000 | 249,833 | ||||||
3.45%, 11/16/27(c) | 100,000 | 103,078 | ||||||
Southwest Gas Corp. | 300,000 | 311,412 | ||||||
Southwestern Electric Power Co. | 229,000 | 242,939 | ||||||
3.85%, 2/1/48, Series L | 250,000 | 243,077 | ||||||
Spectra Energy Partners LP | 250,000 | 315,560 | ||||||
Spirit Airlines Pass Through Trust | 115,466 | 117,015 | ||||||
Spirit Realty LP | 150,000 | 149,993 | ||||||
Stanley Black & Decker, Inc. | 125,000 | 136,728 | ||||||
2.30%, 3/15/30 | 25,000 | 24,082 | ||||||
Starbucks Corp. | 383,000 | 410,492 | ||||||
3.55%, 8/15/29 | 379,000 | 394,626 | ||||||
4.30%, 6/15/45 | 150,000 | 157,500 | ||||||
4.50%, 11/15/48 | 50,000 | 54,458 | ||||||
4.45%, 8/15/49 | 150,000 | 161,745 | ||||||
3.35%, 3/12/50 | 50,000 | 45,533 | ||||||
3.50%, 11/15/50 | 150,000 | 140,996 | ||||||
State Street Corp. | ||||||||
3.03%, 11/1/34, (3.031% fixed rate until 11/1/29; Secured Overnight Financing Rate + 1.49% thereafter)(d) | 110,000 | 109,348 | ||||||
Steel Dynamics, Inc. | 24,000 | 24,438 | ||||||
3.25%, 1/15/31 | 50,000 | 50,018 |
See Notes to Financial Statements.
WisdomTree Trust | 101 |
Table of Contents
Schedule of Investments (unaudited) (continued)
WisdomTree Yield Enhanced U.S. Aggregate Bond Fund (AGGY)
February 28, 2022
Investments in Long Securities | Principal Amount | Value | ||||||
Steelcase, Inc. | $ | 95,000 | $ | 103,791 | ||||
STERIS Irish FinCo Unlimited Co. | 200,000 | 190,084 | ||||||
Stifel Financial Corp. | 200,000 | 210,752 | ||||||
STORE Capital Corp. | 30,000 | 32,085 | ||||||
4.63%, 3/15/29 | 25,000 | 26,871 | ||||||
Stryker Corp. | 375,000 | 429,727 | ||||||
Synchrony Financial | 99,000 | 101,028 | ||||||
3.95%, 12/1/27 | 223,000 | 230,305 | ||||||
5.15%, 3/19/29 | 50,000 | 54,742 | ||||||
Sysco Corp. | 170,000 | 175,365 | ||||||
3.25%, 7/15/27 | 210,000 | 216,474 | ||||||
5.95%, 4/1/30 | 160,000 | 191,261 | ||||||
5.38%, 9/21/35 | 72,000 | 86,285 | ||||||
6.60%, 4/1/50 | 227,000 | 316,406 | ||||||
T-Mobile USA, Inc. | 787,000 | 817,732 | ||||||
2.05%, 2/15/28 | 250,000 | 238,102 | ||||||
3.88%, 4/15/30 | 1,000,000 | 1,034,350 | ||||||
2.55%, 2/15/31 | 153,000 | 143,210 | ||||||
2.25%, 11/15/31 | 150,000 | 136,176 | ||||||
2.70%, 3/15/32(e) | 300,000 | 282,189 | ||||||
4.38%, 4/15/40 | 200,000 | 208,560 | ||||||
3.00%, 2/15/41 | 130,000 | 113,455 | ||||||
4.50%, 4/15/50 | 300,000 | 313,413 | ||||||
3.30%, 2/15/51 | 250,000 | 218,172 | ||||||
3.40%, 10/15/52(e) | 250,000 | 221,330 | ||||||
3.60%, 11/15/60 | 250,000 | 219,647 | ||||||
Target Corp. | 130,000 | 137,873 | ||||||
TC PipeLines LP | 217,000 | 230,389 | ||||||
Teledyne FLIR LLC | 200,000 | 189,424 | ||||||
Teledyne Technologies, Inc. | 78,000 | 75,867 | ||||||
2.75%, 4/1/31 | 50,000 | 48,204 | ||||||
Texas Instruments, Inc. | 100,000 | 98,696 | ||||||
Textron, Inc. | 450,000 | 460,165 | ||||||
Thermo Fisher Scientific, Inc. | 200,000 | 185,798 | ||||||
2.80%, 10/15/41 | 275,000 | 253,476 | ||||||
4.10%, 8/15/47 | 40,000 | 44,580 | ||||||
Time Warner Cable LLC | 401,000 | 481,894 | ||||||
7.30%, 7/1/38 | 50,000 | 62,972 | ||||||
6.75%, 6/15/39 | 77,000 | 93,246 | ||||||
4.50%, 9/15/42 | 500,000 | 474,450 | ||||||
Timken Co. | 256,000 | 276,250 | ||||||
TJX Cos., Inc. | 65,000 | 58,937 | ||||||
Toyota Motor Credit Corp. | 100,000 | 96,275 | ||||||
Trane Technologies Global Holding Co. Ltd. | 83,000 | 86,703 | ||||||
5.75%, 6/15/43 | 50,000 | 64,016 | ||||||
Trane Technologies Luxembourg Finance SA | 180,000 | 189,239 | ||||||
4.50%, 3/21/49 | 150,000 | 167,243 | ||||||
Transatlantic Holdings, Inc. | 30,000 | 44,571 | ||||||
Transcontinental Gas Pipe Line Co. LLC | 295,000 | 311,783 | ||||||
4.60%, 3/15/48 | 200,000 | 218,708 | ||||||
3.95%, 5/15/50 | 250,000 | 249,752 | ||||||
Travelers Cos., Inc. | 250,000 | 282,550 | ||||||
Trimble, Inc. | 120,000 | 129,325 | ||||||
Truist Bank | 40,000 | 41,421 | ||||||
Trustees of Princeton University | 90,000 | 121,902 | ||||||
Tyson Foods, Inc. | 385,000 | 417,617 | ||||||
4.88%, 8/15/34 | 126,000 | 144,450 | ||||||
5.15%, 8/15/44 | 100,000 | 119,676 | ||||||
4.55%, 6/2/47 | 50,000 | 55,754 | ||||||
5.10%, 9/28/48 | 54,000 | 64,846 | ||||||
U.S. Bancorp | ||||||||
2.49%, 11/3/36, (2.491% fixed rate until 11/3/31; 5-year Constant Maturity Treasury Rate + 0.95% thereafter)(d) | 250,000 | 234,642 | ||||||
UDR, Inc. | 40,000 | 40,624 | ||||||
3.50%, 1/15/28 | 25,000 | 25,853 | ||||||
4.40%, 1/26/29 | 79,000 | 85,454 | ||||||
3.20%, 1/15/30 | 210,000 | 211,014 | ||||||
3.00%, 8/15/31 | 73,000 | 72,131 | ||||||
Union Pacific Corp. | 100,000 | 97,117 | ||||||
4.05%, 3/1/46 | 99,000 | 107,179 | ||||||
4.00%, 4/15/47 | 65,000 | 69,847 | ||||||
4.50%, 9/10/48 | 59,000 | 67,743 | ||||||
3.25%, 2/5/50 | 50,000 | 48,098 | ||||||
3.80%, 10/1/51 | 35,000 | 36,626 | ||||||
3.88%, 2/1/55 | 30,000 | 31,279 | ||||||
3.80%, 4/6/71 | 55,000 | 55,546 | ||||||
United Airlines Pass Through Trust Class A | 279,475 | 290,461 | ||||||
4.00%, 10/11/27, Series A | 43,048 | 44,439 | ||||||
3.75%, 3/3/28, Series A | 11,269 | 11,537 | ||||||
3.45%, 1/7/30, Series A | 22,877 | 22,339 |
See Notes to Financial Statements.
102 | WisdomTree Trust |
Table of Contents
Schedule of Investments (unaudited) (continued)
WisdomTree Yield Enhanced U.S. Aggregate Bond Fund (AGGY)
February 28, 2022
Investments in Long Securities | Principal Amount | Value | ||||||
United Parcel Service, Inc. | $ | 49,000 | $ | 51,158 | ||||
3.40%, 3/15/29 | 150,000 | 158,447 | ||||||
UnitedHealth Group, Inc. | 103,000 | 108,404 | ||||||
3.38%, 4/15/27 | 95,000 | 99,841 | ||||||
3.85%, 6/15/28 | 95,000 | 102,027 | ||||||
3.88%, 12/15/28 | 190,000 | 204,917 | ||||||
3.05%, 5/15/41 | 100,000 | 96,168 | ||||||
3.25%, 5/15/51 | 100,000 | 97,233 | ||||||
Universal Health Services, Inc. | 300,000 | 278,232 | ||||||
University of Notre Dame du Lac | 12,000 | 12,626 | ||||||
Unum Group | 122,000 | 136,536 | ||||||
4.50%, 12/15/49 | 125,000 | 120,771 | ||||||
Utah Acquisition Sub, Inc. | 50,000 | 53,122 | ||||||
Valero Energy Corp. | 183,000 | 195,349 | ||||||
4.00%, 4/1/29 | 175,000 | 183,155 | ||||||
6.63%, 6/15/37 | 100,000 | 128,661 | ||||||
4.90%, 3/15/45 | 223,000 | 241,244 | ||||||
Valero Energy Partners LP | 50,000 | 53,452 | ||||||
Valmont Industries, Inc. | 105,000 | 118,622 | ||||||
Ventas Realty LP | 115,000 | 122,301 | ||||||
4.40%, 1/15/29 | 60,000 | 65,097 | ||||||
3.00%, 1/15/30 | 200,000 | 198,054 | ||||||
2.50%, 9/1/31(c) | 350,000 | 330,403 | ||||||
Verisk Analytics, Inc. | 25,000 | 31,190 | ||||||
Verizon Communications, Inc. | 213,000 | 228,353 | ||||||
4.33%, 9/21/28 | 568,000 | 619,393 | ||||||
3.88%, 2/8/29 | 305,000 | 324,676 | ||||||
4.02%, 12/3/29 | 773,000 | 829,460 | ||||||
1.68%, 10/30/30 | 209,000 | 187,968 | ||||||
1.75%, 1/20/31 | 680,000 | 612,551 | ||||||
2.55%, 3/21/31 | 1,150,000 | 1,104,069 | ||||||
2.36%, 3/15/32(e) | 250,000 | 233,662 | ||||||
4.50%, 8/10/33 | 376,000 | 418,428 | ||||||
4.40%, 11/1/34 | 466,000 | 514,380 | ||||||
4.81%, 3/15/39 | 560,000 | 653,223 | ||||||
2.65%, 11/20/40 | 380,000 | 330,228 | ||||||
3.40%, 3/22/41 | 500,000 | 481,775 | ||||||
2.85%, 9/3/41 | 100,000 | 89,594 | ||||||
6.55%, 9/15/43 | 25,000 | 35,716 | ||||||
4.13%, 8/15/46 | 288,000 | 304,868 | ||||||
4.86%, 8/21/46 | 215,000 | 259,142 | ||||||
4.00%, 3/22/50 | 630,000 | 651,905 | ||||||
2.88%, 11/20/50 | 700,000 | 599,655 | ||||||
3.55%, 3/22/51 | 250,000 | 242,160 | ||||||
2.99%, 10/30/56 | 400,000 | 341,836 | ||||||
3.00%, 11/20/60 | 145,000 | 120,808 | ||||||
3.70%, 3/22/61 | 200,000 | 191,174 | ||||||
VF Corp. | 110,000 | 111,472 | ||||||
2.95%, 4/23/30 | 125,000 | 123,846 | ||||||
Viatris, Inc. | 250,000 | 233,540 | ||||||
3.85%, 6/22/40 | 150,000 | 140,924 | ||||||
4.00%, 6/22/50 | 250,000 | 221,875 | ||||||
Virginia Electric & Power Co. | 107,000 | 112,283 | ||||||
4.20%, 5/15/45, Series B | 250,000 | 271,012 | ||||||
VMware, Inc. | 214,000 | 223,885 | ||||||
2.20%, 8/15/31 | 500,000 | 458,010 | ||||||
Vontier Corp. | 50,000 | 45,593 | ||||||
Vulcan Materials Co. | 20,000 | 21,092 | ||||||
4.50%, 6/15/47 | 80,000 | 88,167 | ||||||
4.70%, 3/1/48 | 30,000 | 34,046 | ||||||
W.R. Berkley Corp. | 8,000 | 9,114 | ||||||
4.00%, 5/12/50 | 250,000 | 254,835 | ||||||
Walgreens Boots Alliance, Inc. | 250,000 | 252,805 | ||||||
4.80%, 11/18/44 | 52,000 | 57,057 | ||||||
4.10%, 4/15/50 | 150,000 | 150,935 | ||||||
Walt Disney Co. | 50,000 | 53,706 | ||||||
3.50%, 5/13/40 | 250,000 | 250,105 | ||||||
4.75%, 9/15/44 | 200,000 | 231,478 | ||||||
3.80%, 5/13/60 | 50,000 | 51,849 | ||||||
Waste Connections, Inc. | 75,000 | 77,712 | ||||||
2.20%, 1/15/32 | 400,000 | 371,600 | ||||||
Waste Management, Inc. | 175,000 | 180,145 | ||||||
1.15%, 3/15/28 | 80,000 | 73,161 | ||||||
1.50%, 3/15/31 | 300,000 | 268,650 | ||||||
4.15%, 7/15/49 | 50,000 | 56,084 | ||||||
2.50%, 11/15/50 | 40,000 | 33,558 | ||||||
WEC Energy Group, Inc. | 110,000 | 102,271 | ||||||
Wells Fargo & Co. | ||||||||
4.48%, 4/4/31, (4.478% fixed rate until 4/4/30; Secured Overnight Financing Rate + 4.032% thereafter)(d) | 450,000 | 492,160 | ||||||
3.35%, 3/2/33, (3.35% fixed rate until 3/2/32; Secured Overnight Financing Rate + 1.50% thereafter)(d) | 500,000 | 507,090 | ||||||
3.07%, 4/30/41, (3.068% fixed rate until 4/30/40; Secured Overnight Financing Rate + 2.53% thereafter)(d) | 100,000 | 93,374 | ||||||
4.90%, 11/17/45 | 200,000 | 227,084 | ||||||
5.01%, 4/4/51, (5.013% fixed rate until 4/4/50; Secured Overnight Financing Rate + 4.502% thereafter)(d) | 50,000 | 61,696 |
See Notes to Financial Statements.
WisdomTree Trust | 103 |
Table of Contents
Schedule of Investments (unaudited) (continued)
WisdomTree Yield Enhanced U.S. Aggregate Bond Fund (AGGY)
February 28, 2022
Investments in Long Securities | Principal Amount | Value | ||||||
Wells Fargo Bank NA | $ | 100,000 | $ | 124,734 | ||||
Welltower, Inc. | 75,000 | 80,666 | ||||||
4.13%, 3/15/29 | 150,000 | 160,805 | ||||||
3.10%, 1/15/30 | 364,000 | 364,524 | ||||||
2.80%, 6/1/31 | 150,000 | 145,272 | ||||||
Westinghouse Air Brake Technologies Corp. | 293,000 | 318,605 | ||||||
Westlake Corp. | 108,000 | 112,429 | ||||||
5.00%, 8/15/46 | 55,000 | 62,666 | ||||||
4.38%, 11/15/47 | 85,000 | 90,136 | ||||||
3.13%, 8/15/51 | 150,000 | 128,733 | ||||||
WestRock MWV LLC | 36,000 | 47,601 | ||||||
Weyerhaeuser Co. | 75,000 | 90,628 | ||||||
4.00%, 11/15/29 | 70,000 | 74,717 | ||||||
7.38%, 3/15/32 | 215,000 | 290,370 | ||||||
Whirlpool Corp. | 100,000 | 95,206 | ||||||
4.60%, 5/15/50 | 150,000 | 164,282 | ||||||
Williams Cos., Inc. | 214,000 | 223,266 | ||||||
2.60%, 3/15/31 | 350,000 | 331,303 | ||||||
8.75%, 3/15/32 | 45,000 | 63,481 | ||||||
6.30%, 4/15/40 | 55,000 | 68,103 | ||||||
5.75%, 6/24/44 | 102,000 | 120,433 | ||||||
5.10%, 9/15/45 | 300,000 | 332,262 | ||||||
Willis North America, Inc. | 150,000 | 160,622 | ||||||
2.95%, 9/15/29 | 250,000 | 245,127 | ||||||
WRKCo, Inc. | 245,000 | 263,537 | ||||||
4.90%, 3/15/29 | 162,000 | 179,950 | ||||||
3.00%, 6/15/33 | 250,000 | 241,805 | ||||||
Xcel Energy, Inc. | 150,000 | 154,721 | ||||||
6.50%, 7/1/36 | 250,000 | 330,970 | ||||||
Xylem, Inc. | 200,000 | 191,602 | ||||||
Zimmer Biomet Holdings, Inc. | 200,000 | 249,172 | ||||||
Zoetis, Inc. | 236,000 | 240,701 | ||||||
3.90%, 8/20/28 | 111,000 | 117,559 | ||||||
4.70%, 2/1/43 | 25,000 | 28,897 | ||||||
3.95%, 9/12/47 | 25,000 | 26,989 | ||||||
4.45%, 8/20/48 | 100,000 | 114,954 | ||||||
TOTAL U.S. CORPORATE BONDS (Cost: $281,541,123) |
| 267,683,196 | ||||||
FOREIGN CORPORATE BONDS – 4.5% |
| |||||||
Australia – 0.1% |
| |||||||
Rio Tinto Finance USA Ltd. | 148,000 | 185,371 | ||||||
Westpac Banking Corp. | ||||||||
4.11%, 7/24/34, (4.11% fixed rate until 7/24/29; 5-year Constant Maturity Treasury Rate + 2.00% thereafter)(d) | 265,000 | 273,382 | ||||||
2.67%, 11/15/35, (2.668% fixed rate until 11/15/30; 5-year Constant Maturity Treasury Rate + 1.75% thereafter)(d) | 250,000 | 226,595 | ||||||
2.96%, 11/16/40 | 300,000 | 264,861 | ||||||
|
| |||||||
Total Australia |
| 950,209 | ||||||
Austria – 0.1% |
| |||||||
Suzano Austria GmbH | 250,000 | 275,083 | ||||||
5.00%, 1/15/30 | 425,000 | 437,265 | ||||||
3.75%, 1/15/31 | 250,000 | 236,220 | ||||||
|
| |||||||
Total Austria |
| 948,568 | ||||||
Belgium – 0.6% |
| |||||||
Anheuser-Busch Cos. LLC / Anheuser-Busch InBev Worldwide, Inc. | 300,000 | 335,067 | ||||||
4.90%, 2/1/46 | 690,000 | 784,406 | ||||||
Anheuser-Busch InBev Finance, Inc. | 50,000 | 55,903 | ||||||
Anheuser-Busch InBev Worldwide, Inc. | 662,000 | 737,250 | ||||||
4.90%, 1/23/31 | 410,000 | 471,455 | ||||||
4.38%, 4/15/38 | 80,000 | 85,936 | ||||||
8.20%, 1/15/39 | 150,000 | 228,993 | ||||||
5.45%, 1/23/39 | 510,000 | 608,404 | ||||||
8.00%, 11/15/39 | 346,000 | 520,588 | ||||||
4.35%, 6/1/40 | 100,000 | 106,749 | ||||||
4.95%, 1/15/42 | 100,000 | 114,316 | ||||||
4.60%, 4/15/48 | 275,000 | 302,247 | ||||||
4.44%, 10/6/48 | 36,000 | 38,632 | ||||||
5.55%, 1/23/49 | 490,000 | 607,120 | ||||||
4.50%, 6/1/50 | 550,000 | 606,589 | ||||||
5.80%, 1/23/59 | 250,000 | 321,742 | ||||||
4.60%, 6/1/60 | 540,000 | 591,338 | ||||||
|
| |||||||
Total Belgium |
| 6,516,735 | ||||||
Bermuda – 0.0% |
| |||||||
RenaissanceRe Holdings Ltd. | 125,000 | 130,079 | ||||||
XLIT Ltd. | 53,000 | 65,972 | ||||||
|
| |||||||
Total Bermuda |
| 196,051 | ||||||
Brazil – 0.1% |
| |||||||
Vale Overseas Ltd. | 50,000 | 56,557 | ||||||
3.75%, 7/8/30 | 300,000 | 296,679 |
See Notes to Financial Statements.
104 | WisdomTree Trust |
Table of Contents
Schedule of Investments (unaudited) (continued)
WisdomTree Yield Enhanced U.S. Aggregate Bond Fund (AGGY)
February 28, 2022
Investments in Long Securities | Principal Amount | Value | ||||||
6.88%, 11/21/36 | $ | 400,000 | $ | 491,164 | ||||
6.88%, 11/10/39 | 139,000 | 172,204 | ||||||
|
| |||||||
Total Brazil |
| 1,016,604 | ||||||
Canada – 0.9% |
| |||||||
Bank of Montreal | ||||||||
3.80%, 12/15/32, (3.803% fixed rate until 12/15/27; 5-year U.S. dollar Swap Rate + 1.432% thereafter)(d) | 279,000 | 286,117 | ||||||
Barrick Gold Corp. | 100,000 | 118,744 | ||||||
Barrick North America Finance LLC | 82,000 | 102,373 | ||||||
Barrick PD Australia Finance Pty Ltd. | 50,000 | 62,938 | ||||||
Bell Canada | 150,000 | 161,530 | ||||||
3.20%, 2/15/52, Series US-6 | 250,000 | 224,895 | ||||||
Canadian National Railway Co. | 140,000 | 173,933 | ||||||
Canadian Natural Resources Ltd. | 106,000 | 110,750 | ||||||
2.95%, 7/15/30 | 30,000 | 29,358 | ||||||
7.20%, 1/15/32 | 409,000 | 526,780 | ||||||
6.50%, 2/15/37 | 104,000 | 131,028 | ||||||
4.95%, 6/1/47 | 150,000 | 169,614 | ||||||
Canadian Pacific Railway Co. | 46,000 | 49,266 | ||||||
7.13%, 10/15/31 | 313,000 | 413,949 | ||||||
4.80%, 9/15/35 | 95,000 | 110,324 | ||||||
6.13%, 9/15/2115 | 150,000 | 198,544 | ||||||
Cenovus Energy, Inc. | 600,000 | 668,586 | ||||||
3.75%, 2/15/52 | 250,000 | 226,142 | ||||||
CI Financial Corp. | 275,000 | 261,841 | ||||||
Emera U.S. Finance LP | 250,000 | 267,407 | ||||||
Enbridge, Inc. | 15,000 | 16,004 | ||||||
3.70%, 7/15/27 | 150,000 | 156,622 | ||||||
3.13%, 11/15/29 | 107,000 | 107,602 | ||||||
5.50%, 12/1/46 | 250,000 | 307,765 | ||||||
4.00%, 11/15/49 | 150,000 | 151,326 | ||||||
Fairfax Financial Holdings Ltd. | 157,000 | 168,400 | ||||||
Manulife Financial Corp. | ||||||||
4.06%, 2/24/32, (4.061% fixed rate until 2/24/27; 5-year U.S. dollar ICE Swap Rate + 1.647% thereafter)(d) | 25,000 | 25,806 | ||||||
Nutrien Ltd. | 182,000 | 197,390 | ||||||
4.13%, 3/15/35 | 55,000 | 59,483 | ||||||
5.88%, 12/1/36 | 60,000 | 76,225 | ||||||
5.25%, 1/15/45 | 334,000 | 406,525 | ||||||
Rogers Communications, Inc. | 50,000 | 52,286 | ||||||
5.00%, 3/15/44 | 113,000 | 122,249 | ||||||
4.30%, 2/15/48 | 100,000 | 99,428 | ||||||
4.35%, 5/1/49 | 300,000 | 300,720 | ||||||
Suncor Energy, Inc. | 122,000 | 156,356 | ||||||
5.95%, 12/1/34 | 191,000 | 227,932 | ||||||
5.95%, 5/15/35 | 36,000 | 43,640 | ||||||
6.80%, 5/15/38 | 18,000 | 23,485 | ||||||
6.50%, 6/15/38 | 250,000 | 316,720 | ||||||
Teck Resources Ltd. | 215,000 | 260,995 | ||||||
TELUS Corp. | 120,000 | 126,450 | ||||||
4.60%, 11/16/48 | 200,000 | 225,648 | ||||||
Thomson Reuters Corp. | 90,000 | 115,692 | ||||||
TransCanada PipeLines Ltd. | 152,000 | 162,263 | ||||||
4.63%, 3/1/34 | 640,000 | 701,069 | ||||||
4.75%, 5/15/38 | 210,000 | 230,412 | ||||||
6.10%, 6/1/40 | 50,000 | 63,350 | ||||||
4.88%, 5/15/48 | 250,000 | 283,715 | ||||||
5.10%, 3/15/49 | 97,000 | 114,106 | ||||||
|
| |||||||
Total Canada |
| 9,593,783 | ||||||
Chile – 0.0% |
| |||||||
Celulosa Arauco y Constitucion SA | 200,000 | 208,044 | ||||||
Enel Chile SA | 250,000 | 267,205 | ||||||
|
| |||||||
Total Chile |
| 475,249 | ||||||
China – 0.2% |
| |||||||
Alibaba Group Holding Ltd. | 93,000 | 94,411 | ||||||
2.13%, 2/9/31 | 250,000 | 225,348 | ||||||
CNOOC Finance 2015 USA LLC | 540,000 | 590,560 | ||||||
JD.com, Inc. | 250,000 | 250,478 | ||||||
NXP BV / NXP Funding LLC / NXP USA, Inc. | 275,000 | 293,859 | ||||||
3.40%, 5/1/30(e) | 350,000 | 353,419 | ||||||
2.50%, 5/11/31(e) | 130,000 | 121,066 | ||||||
3.25%, 5/11/41(e) | 100,000 | 91,630 | ||||||
Tencent Music Entertainment Group | 200,000 | 179,612 | ||||||
|
| |||||||
Total China |
| 2,200,383 | ||||||
France – 0.1% |
| |||||||
AXA SA | 200,000 | 270,334 | ||||||
Orange SA | 234,000 | 335,561 | ||||||
5.38%, 1/13/42 | 50,000 | 60,718 | ||||||
5.50%, 2/6/44 | 250,000 | 315,537 | ||||||
TotalEnergies Capital International SA | 150,000 | 150,657 | ||||||
3.39%, 6/29/60 | 150,000 | 140,412 |
See Notes to Financial Statements.
WisdomTree Trust | 105 |
Table of Contents
Schedule of Investments (unaudited) (continued)
WisdomTree Yield Enhanced U.S. Aggregate Bond Fund (AGGY)
February 28, 2022
Investments in Long Securities | Principal Amount | Value | ||||||
Veolia Environnement SA | $ | 33,000 | $ | 45,957 | ||||
|
| |||||||
Total France |
| 1,319,176 | ||||||
Germany – 0.2% |
| |||||||
Daimler Finance North America LLC | 50,000 | 71,075 | ||||||
Deutsche Bank AG | 75,000 | 78,334 | ||||||
3.55%, 9/18/31, (3.547% fixed rate until 9/18/30; Secured Overnight Financing Rate + 3.043% thereafter)(d) | 647,000 | 639,760 | ||||||
Deutsche Telekom International Finance BV | 546,000 | 757,149 | ||||||
9.25%, 6/1/32 | 98,000 | 147,469 | ||||||
|
| |||||||
Total Germany |
| 1,693,787 | ||||||
Ireland – 0.2% |
| |||||||
AerCap Ireland Capital DAC / AerCap Global Aviation Trust | 200,000 | 203,610 | ||||||
3.00%, 10/29/28 | 250,000 | 240,833 | ||||||
3.30%, 1/30/32 | 500,000 | 474,540 | ||||||
3.40%, 10/29/33 | 500,000 | 472,150 | ||||||
3.85%, 10/29/41 | 200,000 | 184,060 | ||||||
|
| |||||||
Total Ireland |
| 1,575,193 | ||||||
Japan – 0.3% |
| |||||||
Mitsubishi UFJ Financial Group, Inc. | 225,000 | 226,928 | ||||||
2.31%, 7/20/32, (2.309% fixed rate until 7/20/31; 1-year Constant Maturity Treasury Rate + 0.95% thereafter)(d) | 200,000 | 186,236 | ||||||
Mizuho Financial Group, Inc. | 200,000 | 212,052 | ||||||
1.98%, 9/8/31, (1.979% fixed rate until 9/8/30; Secured Overnight Financing Rate + 1.532% thereafter)(d) | 200,000 | 182,328 | ||||||
Nomura Holdings, Inc. | 390,000 | 383,834 | ||||||
ORIX Corp. | 80,000 | 83,972 | ||||||
Sumitomo Mitsui Financial Group, Inc. | 200,000 | 208,000 | ||||||
3.04%, 7/16/29 | 200,000 | 200,016 | ||||||
2.14%, 9/23/30 | 432,000 | 394,649 | ||||||
Takeda Pharmaceutical Co. Ltd. | 366,000 | 413,485 | ||||||
2.05%, 3/31/30 | 350,000 | 324,681 | ||||||
3.18%, 7/9/50 | 250,000 | 224,348 | ||||||
|
| |||||||
Total Japan |
| 3,040,529 | ||||||
Luxembourg – 0.0% |
| |||||||
ArcelorMittal SA | 100,000 | 122,288 | ||||||
Macau – 0.0% |
| |||||||
Sands China Ltd. | 450,000 | 446,018 | ||||||
Mexico – 0.1% |
| |||||||
America Movil SAB de CV | 215,000 | 222,080 | ||||||
6.38%, 3/1/35 | 40,000 | 51,907 | ||||||
Fomento Economico Mexicano SAB de CV | 250,000 | 235,242 | ||||||
Grupo Televisa SAB | 100,000 | 126,176 | ||||||
5.00%, 5/13/45 | 200,000 | 217,548 | ||||||
5.25%, 5/24/49(c) | 250,000 | 288,090 | ||||||
|
| |||||||
Total Mexico |
| 1,141,043 | ||||||
Netherlands – 0.1% |
| |||||||
Cooperatieve Rabobank UA | 325,000 | 335,835 | ||||||
5.25%, 8/4/45 | 250,000 | 300,298 | ||||||
Koninklijke Ahold Delhaize NV | 40,000 | 51,888 | ||||||
|
| |||||||
Total Netherlands |
| 688,021 | ||||||
Norway – 0.1% |
| |||||||
Equinor ASA | 579,000 | 553,952 | ||||||
3.70%, 4/6/50 | 190,000 | 198,100 | ||||||
|
| |||||||
Total Norway |
| 752,052 | ||||||
Peru – 0.1% |
| |||||||
Southern Copper Corp. | 235,000 | 305,897 | ||||||
5.25%, 11/8/42 | 100,000 | 116,572 | ||||||
5.88%, 4/23/45(c) | 100,000 | 125,116 | ||||||
|
| |||||||
Total Peru |
| 547,585 | ||||||
Spain – 0.2% |
| |||||||
Banco Santander SA | 400,000 | 363,256 | ||||||
Telefonica Emisiones SA | 500,000 | 528,660 | ||||||
7.05%, 6/20/36 | 195,000 | 253,196 | ||||||
4.67%, 3/6/38 | 450,000 | 467,842 | ||||||
5.52%, 3/1/49 | 400,000 | 452,640 | ||||||
|
| |||||||
Total Spain |
| 2,065,594 | ||||||
Switzerland – 0.0% |
| |||||||
Credit Suisse Group AG | 100,000 | 105,658 | ||||||
4.88%, 5/15/45 | 250,000 | 276,175 | ||||||
|
| |||||||
Total Switzerland |
| 381,833 | ||||||
United Kingdom – 1.1% |
| |||||||
AstraZeneca PLC | 100,000 | 137,286 | ||||||
4.00%, 9/18/42 | 55,000 | 59,859 | ||||||
4.38%, 11/16/45 | 50,000 | 57,457 | ||||||
4.38%, 8/17/48 | 20,000 | 23,200 |
See Notes to Financial Statements.
106 | WisdomTree Trust |
Table of Contents
Schedule of Investments (unaudited) (continued)
WisdomTree Yield Enhanced U.S. Aggregate Bond Fund (AGGY)
February 28, 2022
Investments in Long Securities | Principal Amount | Value | ||||||
Barclays PLC | $ | 240,000 | $ | 254,321 | ||||
4.97%, 5/16/29, (4.972% fixed rate until 5/16/28; 3-month U.S. dollar London Interbank Offered Rate + 1.902% thereafter)(d) | 575,000 | 625,721 | ||||||
5.09%, 6/20/30, (5.088% fixed rate until 6/20/29; 3-month U.S. dollar London Interbank Offered Rate + 3.054% thereafter)(d) | 300,000 | 321,657 | ||||||
2.65%, 6/24/31, (2.645% fixed rate until 6/24/30; 1-year Constant Maturity Treasury Rate + 1.90% thereafter)(d) | 250,000 | 236,123 | ||||||
3.81%, 3/10/42, (1-year Constant Maturity Treasury Rate + 1.700%)(d) | 250,000 | 233,755 | ||||||
5.25%, 8/17/45 | 100,000 | 117,479 | ||||||
4.95%, 1/10/47 | 330,000 | 373,167 | ||||||
BAT Capital Corp. | 95,000 | 100,933 | ||||||
3.56%, 8/15/27 | 705,000 | 711,838 | ||||||
4.39%, 8/15/37 | 500,000 | 480,510 | ||||||
3.73%, 9/25/40 | 100,000 | 86,753 | ||||||
4.76%, 9/6/49 | 100,000 | 95,402 | ||||||
3.98%, 9/25/50 | 250,000 | 215,540 | ||||||
BP Capital Markets PLC | 125,000 | 131,104 | ||||||
British Telecommunications PLC | 365,000 | 395,667 | ||||||
9.63%, 12/15/30 | 281,000 | 394,167 | ||||||
CNH Industrial NV | 25,000 | 26,216 | ||||||
GlaxoSmithKline Capital, Inc. | 61,000 | 65,451 | ||||||
HSBC Holdings PLC | ||||||||
4.58%, 6/19/29, (4.583% fixed rate until 6/19/28; 3-month U.S. dollar London Interbank Offered Rate + 1.535% thereafter)(d) | 400,000 | 427,248 | ||||||
4.95%, 3/31/30 | 350,000 | 388,461 | ||||||
2.80%, 5/24/32, (2.804% fixed rate until 5/24/31; Secured Overnight Financing Rate + 1.187% thereafter)(d) | 200,000 | 189,456 | ||||||
6.50%, 9/15/37 | 500,000 | 639,035 | ||||||
6.80%, 6/1/38 | 250,000 | 327,330 | ||||||
Lloyds Banking Group PLC | 264,000 | 270,587 | ||||||
Natwest Group PLC | ||||||||
4.89%, 5/18/29, (4.892% fixed rate until 5/18/28; 3-month U.S. dollar London Interbank Offered Rate + 1.754% thereafter)(d) | 257,000 | 280,158 | ||||||
5.08%, 1/27/30, (5.076% fixed rate until 1/27/29; 3-month U.S. dollar London Interbank Offered Rate + 1.905% thereafter)(d) | 365,000 | 402,741 | ||||||
3.03%, 11/28/35, (3.032% fixed rate until 8/28/30; 5-year Constant Maturity Treasury Rate + 2.35% thereafter)(d) | 250,000 | 231,723 | ||||||
nVent Finance Sarl | 84,000 | 90,369 | ||||||
RELX Capital, Inc. | 71,000 | 75,713 | ||||||
3.00%, 5/22/30 | 250,000 | 250,345 | ||||||
Reynolds American, Inc. | 125,000 | 137,620 | ||||||
7.25%, 6/15/37 | 250,000 | 310,960 | ||||||
6.15%, 9/15/43 | 220,000 | 246,673 | ||||||
5.85%, 8/15/45 | 134,000 | 145,588 | ||||||
Santander UK Group Holdings PLC | ||||||||
3.82%, 11/3/28, (3.823% fixed rate until 11/3/27; 3-month U.S. dollar London Interbank Offered Rate + 1.40% thereafter)(d) | 200,000 | 205,626 | ||||||
Unilever Capital Corp. | 120,000 | 122,749 | ||||||
Vodafone Group PLC | 402,000 | 435,060 | ||||||
7.88%, 2/15/30 | 149,000 | 197,832 | ||||||
5.00%, 5/30/38 | 332,000 | 377,361 | ||||||
5.25%, 5/30/48 | 355,000 | 413,600 | ||||||
4.88%, 6/19/49 | 373,000 | 417,465 | ||||||
4.25%, 9/17/50 | 55,000 | 56,461 | ||||||
|
| |||||||
Total United Kingdom |
| 11,783,767 | ||||||
TOTAL FOREIGN CORPORATE BONDS (Cost: $50,050,624) |
| 47,454,468 | ||||||
FOREIGN GOVERNMENT AGENCIES – 0.3% |
| |||||||
Canada – 0.1% |
| |||||||
Hydro-Quebec | 10,000 | 15,134 | ||||||
Province of New Brunswick Canada | 229,000 | 249,260 | ||||||
|
| |||||||
Total Canada |
| 264,394 | ||||||
Germany – 0.0% |
| |||||||
Kreditanstalt fuer Wiederaufbau | 177,000 | 128,190 | ||||||
Japan – 0.2% |
| |||||||
Japan Bank for International Cooperation | 250,000 | 249,690 | ||||||
2.88%, 6/1/27 | 770,000 | 801,793 | ||||||
2.88%, 7/21/27 | 250,000 | 260,507 | ||||||
3.50%, 10/31/28 | 200,000 | 218,322 | ||||||
1.88%, 4/15/31 | 400,000 | 393,288 | ||||||
Japan International Cooperation Agency | 250,000 | 252,133 | ||||||
|
| |||||||
Total Japan |
| 2,175,733 | ||||||
Panama – 0.0% |
| |||||||
Republic of Panama | 250,000 | 236,290 | ||||||
TOTAL FOREIGN GOVERNMENT AGENCIES (Cost: $2,803,957) |
| 2,804,607 |
See Notes to Financial Statements.
WisdomTree Trust | 107 |
Table of Contents
Schedule of Investments (unaudited) (continued)
WisdomTree Yield Enhanced U.S. Aggregate Bond Fund (AGGY)
February 28, 2022
Investments in Long Securities | Principal Amount | Value | ||||||
FOREIGN GOVERNMENT OBLIGATIONS – 2.1% |
| |||||||
Chile – 0.1% |
| |||||||
Chile Government International Bond | $ | 318,000 | $ | 323,377 | ||||
2.45%, 1/31/31 | 200,000 | 188,704 | ||||||
|
| |||||||
Total Chile |
| 512,081 | ||||||
Hungary – 0.0% |
| |||||||
Hungary Government International Bond | 200,000 | 293,588 | ||||||
Indonesia – 0.2% |
| |||||||
Indonesia Government International Bond |
| |||||||
3.50%, 1/11/28 | 200,000 | 207,530 | ||||||
4.10%, 4/24/28 | 460,000 | 494,343 | ||||||
2.85%, 2/14/30 | 240,000 | 239,465 | ||||||
3.85%, 10/15/30 | 300,000 | 321,354 | ||||||
4.35%, 1/11/48 | 450,000 | 466,272 | ||||||
5.35%, 2/11/49 | 200,000 | 236,704 | ||||||
4.45%, 4/15/70 | 400,000 | 416,932 | ||||||
|
| |||||||
Total Indonesia |
| 2,382,600 | ||||||
Italy – 0.1% |
| |||||||
Republic of Italy Government International Bond |
| |||||||
2.88%, 10/17/29 | 350,000 | 345,439 | ||||||
5.38%, 6/15/33 | 233,000 | 275,735 | ||||||
4.00%, 10/17/49 | 350,000 | 355,628 | ||||||
|
| |||||||
Total Italy |
| 976,802 | ||||||
Mexico – 0.6% |
| |||||||
Mexico Government International Bond |
| |||||||
4.15%, 3/28/27 | 457,000 | 486,509 | ||||||
3.75%, 1/11/28 | 250,000 | 258,150 | ||||||
4.50%, 4/22/29 | 370,000 | 393,040 | ||||||
3.25%, 4/16/30 | 450,000 | 437,247 | ||||||
2.66%, 5/24/31 | 850,000 | 782,051 | ||||||
4.75%, 4/27/32 | 455,000 | 486,941 | ||||||
7.50%, 4/8/33, Series MTNA | 105,000 | 138,915 | ||||||
6.75%, 9/27/34, Series MTNA | 380,000 | 469,767 | ||||||
6.05%, 1/11/40 | 126,000 | 144,005 | ||||||
4.28%, 8/14/41 | 700,000 | 658,448 | ||||||
4.75%, 3/8/44 | 214,000 | 212,431 | ||||||
5.55%, 1/21/45 | 200,000 | 218,880 | ||||||
4.35%, 1/15/47 | 305,000 | 284,028 | ||||||
4.60%, 2/10/48 | 200,000 | 191,212 | ||||||
4.50%, 1/31/50 | 500,000 | 472,650 | ||||||
3.77%, 5/24/61 | 750,000 | 607,568 | ||||||
5.75%, 10/12/2110 | 510,000 | 520,833 | ||||||
|
| |||||||
Total Mexico |
| 6,762,675 | ||||||
Panama – 0.2% |
| |||||||
Panama Government International Bond |
| |||||||
8.88%, 9/30/27 | 356,000 | 462,231 | ||||||
3.88%, 3/17/28 | 200,000 | 206,520 | ||||||
9.38%, 4/1/29 | 305,000 | 416,831 | ||||||
6.70%, 1/26/36 | 185,000 | 228,298 | ||||||
4.50%, 5/15/47 | 200,000 | 196,996 | ||||||
4.50%, 4/16/50 | 200,000 | 195,146 | ||||||
4.30%, 4/29/53 | 240,000 | 225,710 | ||||||
4.50%, 4/1/56 | 550,000 | 529,936 | ||||||
|
| |||||||
Total Panama |
| 2,461,668 | ||||||
Peru – 0.3% |
| |||||||
Peruvian Government International Bond |
| |||||||
4.13%, 8/25/27 | 504,000 | 531,075 | ||||||
2.84%, 6/20/30 | 520,000 | 500,510 | ||||||
8.75%, 11/21/33 | 261,000 | 382,295 | ||||||
6.55%, 3/14/37 | 80,000 | 101,754 | ||||||
3.30%, 3/11/41 | 250,000 | 224,853 | ||||||
5.63%, 11/18/50 | 200,000 | 251,076 | ||||||
2.78%, 12/1/60 | 250,000 | 191,275 | ||||||
3.60%, 1/15/72 | 250,000 | 210,315 | ||||||
3.23%, 7/28/2121 | 360,000 | 268,322 | ||||||
|
| |||||||
Total Peru |
| 2,661,475 | ||||||
Philippines – 0.3% |
| |||||||
Philippine Government International Bond |
| |||||||
3.00%, 2/1/28 | 550,000 | 558,668 | ||||||
3.75%, 1/14/29 | 300,000 | 315,369 | ||||||
9.50%, 2/2/30 | 282,000 | 407,307 | ||||||
7.75%, 1/14/31 | 125,000 | 168,473 | ||||||
6.38%, 1/15/32 | 285,000 | 359,154 | ||||||
3.95%, 1/20/40 | 600,000 | 598,836 | ||||||
3.70%, 3/1/41 | 200,000 | 193,096 | ||||||
3.70%, 2/2/42 | 830,000 | 801,921 | ||||||
|
| |||||||
Total Philippines |
| 3,402,824 | ||||||
Uruguay – 0.3% |
| |||||||
Uruguay Government International Bond |
| |||||||
4.38%, 10/27/27 | 135,000 | 146,256 | ||||||
4.38%, 1/23/31 | 455,000 | 501,210 | ||||||
7.63%, 3/21/36 | 530,000 | 757,678 | ||||||
4.13%, 11/20/45 | 60,000 | 65,611 | ||||||
5.10%, 6/18/50 | 350,000 | 418,789 | ||||||
4.98%, 4/20/55 | 590,000 | 700,247 | ||||||
|
| |||||||
Total Uruguay |
| 2,589,791 | ||||||
TOTAL FOREIGN GOVERNMENT OBLIGATIONS (Cost: $23,422,530) |
| 22,043,504 | ||||||
SUPRANATIONAL BONDS – 0.1% |
| |||||||
European Investment Bank | 150,000 | 200,104 | ||||||
Inter-American Development Bank |
| |||||||
3.88%, 10/28/41 | 100,000 | 122,059 | ||||||
3.20%, 8/7/42 | 372,000 | 413,575 | ||||||
4.38%, 1/24/44 | 100,000 | 131,931 | ||||||
TOTAL SUPRANATIONAL BONDS (Cost: $941,290) |
| 867,669 | ||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES – 0.1% |
| |||||||
United States – 0.1% |
| |||||||
CSAIL Commercial Mortgage Trust | ||||||||
3.49%, 11/15/48, Series 2016-C5, Class A4 | 198,567 | 202,391 | ||||||
Federal National Mortgage Association Alternative Credit Enhancement Securities | ||||||||
2.94%, 7/25/39, Series 2016-M11, Class AL | 271,601 | 274,272 |
See Notes to Financial Statements.
108 | WisdomTree Trust |
Table of Contents
Schedule of Investments (unaudited) (continued)
WisdomTree Yield Enhanced U.S. Aggregate Bond Fund (AGGY)
February 28, 2022
Investments in Long Securities | Principal Amount | Value | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust | ||||||||
3.08%, 3/15/48, Series 2015-C21, Class A3 | $ | 112,434 | $ | 113,458 | ||||
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES (Cost: $598,253) |
| 590,121 | ||||||
MUNICIPAL BONDS – 0.6% |
| |||||||
United States – 0.6% |
| |||||||
Alameda County Joint Powers Authority | 150,000 | 233,692 | ||||||
Commonwealth of Massachusetts | 150,000 | 143,542 | ||||||
Dallas Area Rapid Transit | 175,000 | 247,449 | ||||||
5.02%, 12/1/48 | 130,000 | 169,536 | ||||||
Grand Parkway Transportation Corp. | 250,000 | 316,046 | ||||||
Los Angeles County Public Works Financing Authority | 100,000 | 155,138 | ||||||
Los Angeles Department of Water & Power Power System Revenue | 70,000 | 108,089 | ||||||
Metropolitan Government Nashville & Davidson County Health & Educational Facilities Board | 100,000 | 107,297 | ||||||
Metropolitan Transportation Authority | 275,000 | 422,206 | ||||||
Municipal Electric Authority of Georgia | 216,000 | 310,351 | ||||||
New Jersey Transportation Trust Fund Authority | 595,000 | 680,873 | ||||||
Port Authority of New York & New Jersey | 130,000 | 168,559 | ||||||
4.46%, 10/1/62 | 200,000 | 240,282 | ||||||
Regional Transportation District Sales Tax Revenue | 205,000 | 295,397 | ||||||
Sales Tax Securitization Corp. | 95,000 | 110,270 | ||||||
3.82%, 1/1/48 | 255,000 | 263,023 | ||||||
San Jose Redevelopment Agency Successor Agency | 60,000 | 62,068 | ||||||
State of Illinois | 157,818 | 162,068 | ||||||
5.10%, 6/1/33 | 595,000 | 656,827 | ||||||
6.63%, 2/1/35 | 100,000 | 116,624 | ||||||
Texas Private Activity Bond Surface Transportation Corp. | 500,000 | 504,046 | ||||||
University of California | 230,000 | 301,163 | ||||||
4.86%, 5/15/2112, Series AD | 56,000 | 74,506 | ||||||
University of Pittsburgh of the Commonwealth System of Higher Education | 120,000 | 122,688 | ||||||
University of Virginia | 150,000 | 143,704 | ||||||
TOTAL MUNICIPAL BONDS (Cost: $6,096,316) |
| 6,115,444 | ||||||
ASSET-BACKED SECURITIES – 0.0% |
| |||||||
United States – 0.0% |
| |||||||
GM Financial Consumer Automobile Receivables Trust | ||||||||
3.32%, 6/17/24, Series 2018-4, Class A4 | 74,000 | 74,810 | ||||||
Synchrony Card Funding LLC | ||||||||
2.95%, 3/15/25, Series 2019-A1, Class A | 140,000 | 140,120 | ||||||
2.34%, 6/15/25, Series 2019-A2, Class A | 125,000 | 125,546 | ||||||
World Omni Auto Receivables Trust | ||||||||
3.33%, 4/15/24, Series 2018-D, Class A3 | 53,893 | 54,214 | ||||||
3.04%, 5/15/24, Series 2019-A, Class A3 | 26,581 | 26,739 | ||||||
TOTAL ASSET-BACKED SECURITIES (Cost: $423,210) |
| 421,429 | ||||||
REPURCHASE AGREEMENT – 18.6% |
| |||||||
United States – 18.6% |
| |||||||
Citigroup, Inc., tri-party repurchase agreement dated 2/28/22 (tri-party custodian: The Bank of New York Mellon Corp.), 0.06% due 3/1/22; Proceeds at maturity – $195,430,326 (fully collateralized by Fannie Mae Interest STRIPS, zero coupon – 5.00% due 3/1/34 – 12/1/45, Freddie Mac Gold STRIPS, zero coupon – 6.00% due 12/1/32 – 10/15/47, Ginnie Mae I Construction Loan, 2.40% – 3.15% due 4/15/61 – 2/15/64, Ginnie Mae I MultiFamily Loan, 2.85% – 3.10% due 6/15/52 – 6/15/60, Ginnie Mae I Non-Level Payment, 2.12% – 3.39% due 11/15/56 – 12/15/61, Ginnie Mae II HECM, 2.82% – 4.81% due 4/20/61 – 11/20/71, Ginnie Mae II Single Family, 2.00% – 4.00% due 1/20/52, Ginnie Mae II Single Family Platinum, 3.50% due 1/20/52, Ginnie Mae Pool, 3.50% due 2/20/52, U.S. Treasury Inflation Indexed Bond, 0.13% – 0.38% due 7/15/22 – 1/15/27, U.S. Treasury Note, 1.25% due 7/31/23; Market value including accrued interest – $203,567,151) | ||||||||
(Cost: $195,430,000) | 195,430,000 | 195,430,000 |
See Notes to Financial Statements.
WisdomTree Trust | 109 |
Table of Contents
Schedule of Investments (unaudited) (concluded)
WisdomTree Yield Enhanced U.S. Aggregate Bond Fund (AGGY)
February 28, 2022
Investments in Long Securities | Shares | Value | ||||||
INVESTMENT OF CASH COLLATERAL FOR SECURITIES LOANED – 0.6% |
| |||||||
United States – 0.6% |
| |||||||
State Street Navigator Securities Lending |
| |||||||
(Cost: $6,802,218) | 6,802,218 | $ | 6,802,218 | |||||
TOTAL INVESTMENTS IN LONG SECURITIES BEFORE SECURITIES SOLD SHORT – 119.9% (Cost: $1,295,032,159) |
| 1,258,518,713 | ||||||
Securities Sold Short | Principal Amount | |||||||
U.S. GOVERNMENT AGENCIES SOLD SHORT – (1.1)% |
| |||||||
Uniform Mortgage-Backed Securities – (1.1)% |
| |||||||
2.50%, 3/1/37(b) | $ | (3,925,000 | ) | (3,971,948 | ) | |||
3.00%, 3/1/37(b) | (4,175,000 | ) | (4,278,497 | ) | ||||
4.00%, 3/1/37(b) | (625,000 | ) | (647,948 | ) | ||||
3.50%, 3/1/52(b) | (700,000 | ) | (720,946 | ) | ||||
4.00%, 3/1/52(b) | (600,000 | ) | (626,409 | ) | ||||
4.50%, 3/1/52(b) | (300,000 | ) | (316,756 | ) | ||||
4.00%, 4/1/52(b) | (825,000 | ) | (860,643 | ) | ||||
4.50%, 4/1/52(b) | (450,000 | ) | (474,732 | ) | ||||
TOTAL INVESTMENTS IN SECURITIES SOLD SHORT |
| |||||||
(Proceeds: $11,904,908) |
| (11,897,879 | ) | |||||
Other Assets less Liabilities – (18.8)% |
| (197,425,335 | ) | |||||
|
| |||||||
NET ASSETS – 100.0% |
| $ | 1,049,195,499 |
(a) | Represents a zero coupon bond. Rate shown reflects the effective yield as of February 28, 2022. |
(b) | To-be-announced (“TBA”) security (See Note 2). TBA securities are non-income producing. |
(c) | Security, or portion thereof, was on loan at February 28, 2022 (See Note 2). At February 28, 2022, the total market value of the Fund’s securities on loan identified in the Schedule of Investments was $6,564,062. The Fund also had securities on loan having a total market value of $440,721 that were sold and pending settlement. The total market value of the collateral held by the Fund was $7,196,430. The total market value of the collateral includes non-cash U.S. Government securities collateral having a value of $394,212. |
(d) | Rate shown reflects the accrual rate as of February 28, 2022 on securities with variable or step rates. |
(e) | This security is exempt from registration under rule 144A of the Securities Act of 1933. This security may be sold in transactions that are exempt from registration, normally to qualified institutional buyers. |
(f) | Rate shown represents annualized 7-day yield as of February 28, 2022. |
FAIR VALUATION SUMMARY |
The following is a summary of the fair valuations according to the inputs used as of February 28, 2022 in valuing the Fund’s investments (See Note 2 — Fair Value Measurement):
Quoted Prices in Active Markets (Level 1) | Other Inputs | Significant Unobservable Inputs (Level 3) | Total | |||||||||||||
Assets: |
| |||||||||||||||
Investments in Securities |
| |||||||||||||||
U.S. Government Agencies | $ | — | $ | 503,523,459 | $ | — | $ | 503,523,459 | ||||||||
U.S. Government Obligations | — | 204,782,598 | — | 204,782,598 | ||||||||||||
U.S. Corporate Bonds | — | 267,683,196 | — | 267,683,196 | ||||||||||||
Foreign Corporate Bonds | — | 47,454,468 | — | 47,454,468 | ||||||||||||
Foreign Government Agencies | — | 2,804,607 | — | 2,804,607 | ||||||||||||
Foreign Government Obligations | — | 22,043,504 | — | 22,043,504 | ||||||||||||
Supranational Bonds | — | 867,669 | — | 867,669 | ||||||||||||
Commercial Mortgage-Backed Securities | — | 590,121 | — | 590,121 | ||||||||||||
Municipal Bonds | — | 6,115,444 | — | 6,115,444 | ||||||||||||
Asset-Backed Securities | — | 421,429 | — | 421,429 | ||||||||||||
Repurchase Agreement | — | 195,430,000 | — | 195,430,000 | ||||||||||||
Investment of Cash Collateral for Securities Loaned | — | 6,802,218 | — | 6,802,218 | ||||||||||||
Total Investments in Securities | $ | — | $ | 1,258,518,713 | $ | — | $ | 1,258,518,713 | ||||||||
Liabilities: |
| |||||||||||||||
Investments in Securities Sold Short | ||||||||||||||||
U.S. Government Agencies | $ | — | $ | (11,897,879 | ) | $ | — | $ | (11,897,879 | ) | ||||||
Total – Net | $ | — | $ | 1,246,620,834 | $ | — | $ | 1,246,620,834 |
See Notes to Financial Statements.
110 | WisdomTree Trust |
Table of Contents
Schedule of Investments (unaudited)
WisdomTree Yield Enhanced U.S. Short-Term Aggregate Bond Fund (SHAG)
February 28, 2022
Investments | Principal Amount | Value | ||||||
U.S. GOVERNMENT AGENCIES – 11.5% |
| |||||||
Federal Home Loan Bank – 0.8% |
| |||||||
0.24%, 5/2/22 | $ | 1,000,000 | $ | 999,000 | ||||
0.38%, 9/4/25 | 200,000 | 190,714 | ||||||
|
| |||||||
Total Federal Home Loan Bank |
| 1,189,714 | ||||||
Federal Home Loan Mortgage Corporation – 2.6% |
| |||||||
0.38%, 4/20/23 | 3,500,000 | 3,469,235 | ||||||
0.38%, 7/21/25 | 200,000 | 191,262 | ||||||
|
| |||||||
Total Federal Home Loan Mortgage Corporation |
| 3,660,497 | ||||||
Federal National Mortgage Association – 1.4% |
| |||||||
2.63%, 9/6/24 | 1,850,000 | 1,897,471 | ||||||
1.63%, 1/7/25 | 175,000 | 174,851 | ||||||
|
| |||||||
Total Federal National Mortgage Association |
| 2,072,322 | ||||||
Tennessee Valley Authority – 0.1% |
| |||||||
0.75%, 5/15/25 | 86,000 | 83,391 | ||||||
Uniform Mortgage-Backed Securities – 6.6% |
| |||||||
2.00%, 3/1/37(a) | 7,172,000 | 7,118,897 | ||||||
2.50%, 4/18/37(a) | 2,380,000 | 2,402,363 | ||||||
|
| |||||||
Total Uniform Mortgage-Backed Securities |
| 9,521,260 | ||||||
TOTAL U.S. GOVERNMENT AGENCIES (Cost: $16,704,517) |
| 16,527,184 | ||||||
U.S. GOVERNMENT OBLIGATIONS – 51.9% |
| |||||||
U.S. Treasury Bills – 7.1% |
| |||||||
0.03%, 3/10/22* | 850,000 | 849,994 | ||||||
0.08%, 3/24/22* | 9,250,000 | 9,249,626 | ||||||
|
| |||||||
Total U.S. Treasury Bills |
| 10,099,620 | ||||||
U.S. Treasury Notes – 44.8% |
| |||||||
1.63%, 11/15/22 | 243,000 | 244,343 | ||||||
1.63%, 12/15/22 | 840,000 | 844,709 | ||||||
2.63%, 6/30/23 | 232,800 | 237,010 | ||||||
0.13%, 8/31/23 | 5,040,000 | 4,951,800 | ||||||
2.75%, 8/31/23 | 638,200 | 651,687 | ||||||
0.38%, 10/31/23 | 2,000,000 | 1,966,445 | ||||||
2.13%, 3/31/24 | 735,000 | 744,618 | ||||||
2.00%, 5/31/24 | 1,000,000 | 1,010,547 | ||||||
1.50%, 10/31/24 | 1,535,000 | 1,530,863 | ||||||
1.50%, 11/30/24 | 400,000 | 398,828 | ||||||
1.75%, 12/31/24 | 1,300,000 | 1,304,824 | ||||||
1.13%, 2/28/25 | 238,000 | 234,439 | ||||||
0.50%, 3/31/25 | 22,000,000 | 21,241,172 | ||||||
0.50%, 2/28/26 | 2,000,000 | 1,905,078 | ||||||
0.75%, 3/31/26 | 2,200,000 | 2,114,578 | ||||||
0.75%, 4/30/26 | 3,000,000 | 2,881,172 | ||||||
0.75%, 5/31/26 | 6,000,000 | 5,756,719 | ||||||
0.63%, 7/31/26 | 9,000,000 | 8,572,852 | ||||||
1.13%, 10/31/26 | 4,000,000 | 3,888,281 | ||||||
1.25%, 12/31/26 | 4,000,000 | 3,909,219 | ||||||
|
| |||||||
Total U.S. Treasury Notes |
| 64,389,184 | ||||||
TOTAL U.S. GOVERNMENT OBLIGATIONS (Cost: $75,978,039) |
| 74,488,804 | ||||||
U.S. CORPORATE BONDS – 25.0% |
| |||||||
United States – 25.0% |
| |||||||
3M Co. | 50,000 | 50,777 | ||||||
Abbott Laboratories | 1,109,000 | 1,172,235 | ||||||
Adobe, Inc. | 222,000 | 222,149 | ||||||
3.25%, 2/1/25 | 67,000 | 69,221 | ||||||
Aetna, Inc. | 27,000 | 27,803 | ||||||
Aflac, Inc. | 30,000 | 31,067 | ||||||
Air Lease Corp. | 50,000 | 50,566 | ||||||
Air Products and Chemicals, Inc. | 144,000 | 141,036 | ||||||
Ally Financial, Inc. | 270,000 | 266,863 | ||||||
Amazon.com, Inc. | 50,000 | 48,265 | ||||||
American Express Co. | 76,000 | 77,769 | ||||||
3.63%, 12/5/24 | 226,000 | 234,122 | ||||||
American Honda Finance Corp. | 50,000 | 50,514 | ||||||
2.15%, 9/10/24 | 150,000 | 150,301 | ||||||
1.20%, 7/8/25 | 80,000 | 77,348 | ||||||
American International Group, Inc. | 42,000 | 43,772 | ||||||
Ameriprise Financial, Inc. | 50,000 | 50,941 | ||||||
Amgen, Inc. | 149,000 | 153,983 | ||||||
Amphenol Corp. | 50,000 | 51,049 | ||||||
Ares Capital Corp. | 90,000 | 91,012 | ||||||
3.88%, 1/15/26 | 30,000 | 30,417 | ||||||
Assurant, Inc. | 64,000 | 66,152 | ||||||
AT&T, Inc. | 216,000 | 225,772 | ||||||
AutoZone, Inc. | 80,000 | 82,822 | ||||||
AvalonBay Communities, Inc. | 101,000 | 104,270 | ||||||
Bank of America Corp. | 72,000 | 74,892 | ||||||
4.00%, 4/1/24 | 117,000 | 121,442 | ||||||
3.88%, 8/1/25 | 343,000 | 359,594 | ||||||
0.98%, 9/25/25, (0.981% fixed rate until 9/25/24; Secured Overnight Financing Rate + 0.91% thereafter)(b) | 50,000 | 48,124 | ||||||
3.09%, 10/1/25, (3.093% fixed rate until 10/1/24; 3-month U.S. dollar London Interbank Offered Rate + 1.09% thereafter)(b) | 207,000 | 209,954 | ||||||
3.37%, 1/23/26, (3.366% fixed rate until 1/23/25; 3-month U.S. dollar London Interbank Offered Rate + 0.81% thereafter)(b) | 100,000 | 102,004 |
See Notes to Financial Statements.
WisdomTree Trust | 111 |
Table of Contents
Schedule of Investments (unaudited) (continued)
WisdomTree Yield Enhanced U.S. Short-Term Aggregate Bond Fund (SHAG)
February 28, 2022
Investments | Principal Amount | Value | ||||||
2.02%, 2/13/26, (2.015% fixed rate until 2/13/25; 3-month U.S. dollar London Interbank Offered Rate + 0.64% thereafter)(b) | $ | 771,000 | $ | 758,417 | ||||
Bank of New York Mellon Corp. | 111,000 | 112,424 | ||||||
3.00%, 2/24/25, Series G | 50,000 | 51,353 | ||||||
1.60%, 4/24/25 | 50,000 | 49,256 | ||||||
Berkshire Hathaway Energy Co. | 130,000 | 134,703 | ||||||
4.05%, 4/15/25 | 117,000 | 123,684 | ||||||
Berry Global, Inc. | 120,000 | 114,349 | ||||||
BGC Partners, Inc. | 231,000 | 239,672 | ||||||
Black Hills Corp. | 121,000 | 125,201 | ||||||
BlackRock, Inc. | 34,000 | 35,215 | ||||||
Blackstone Secured Lending Fund | 120,000 | 121,933 | ||||||
Boeing Co. | 407,000 | 407,334 | ||||||
BP Capital Markets America, Inc. | 209,000 | 214,179 | ||||||
Bristol-Myers Squibb Co. | 675,000 | 691,254 | ||||||
Broadcom, Inc. | 37,000 | 37,710 | ||||||
4.25%, 4/15/26 | 75,000 | 79,257 | ||||||
3.46%, 9/15/26 | 80,000 | 82,414 | ||||||
Brown-Forman Corp. | 296,000 | 307,843 | ||||||
Campbell Soup Co. | 35,000 | 35,659 | ||||||
Capital One Financial Corp. | 498,000 | 508,871 | ||||||
Caterpillar Financial Services Corp. | 74,000 | 74,384 | ||||||
1.70%, 1/8/27 | 100,000 | 97,684 | ||||||
Caterpillar, Inc. | 81,000 | 83,670 | ||||||
Charles Schwab Corp. | 111,000 | 113,712 | ||||||
4.20%, 3/24/25 | 402,000 | 426,783 | ||||||
Charter Communications Operating LLC / Charter Communications Operating Capital | 36,000 | 37,479 | ||||||
Chubb INA Holdings, Inc. | 97,000 | 100,464 | ||||||
Cigna Corp. | 62,000 | 63,650 | ||||||
4.13%, 11/15/25 | 55,000 | 57,966 | ||||||
1.25%, 3/15/26 | 37,000 | 35,407 | ||||||
Cisco Systems, Inc. | 211,000 | 219,037 | ||||||
3.50%, 6/15/25 | 200,000 | 209,400 | ||||||
Citigroup, Inc. | 110,000 | 113,616 | ||||||
3.75%, 6/16/24 | 50,000 | 51,784 | ||||||
3.35%, 4/24/25, (3.352% fixed rate until 4/24/24; 3-month U.S. dollar London Interbank Offered Rate + 0.897% thereafter)(b) | 95,000 | 96,995 | ||||||
2.01%, 1/25/26, (2.014% fixed rate until 1/25/25; Secured Overnight Financing Rate + 0.694% thereafter)(b) | 300,000 | 295,662 | ||||||
3.11%, 4/8/26, (3.106% fixed rate until 4/8/25; Secured Overnight Financing Rate + 2.842% thereafter)(b) | 257,000 | 260,567 | ||||||
1.12%, 1/28/27, (1.122% fixed rate until 1/28/26; Secured Overnight Financing Rate + 0.765% thereafter)(b) | 251,000 | 236,535 | ||||||
Cleveland Electric Illuminating Co. | 180,000 | 194,053 | ||||||
Coca-Cola Co. | 100,000 | 100,064 | ||||||
Columbia Pipeline Group, Inc. | 230,000 | 244,251 | ||||||
Comcast Corp. | 30,000 | 31,031 | ||||||
3.38%, 8/15/25 | 158,000 | 163,604 | ||||||
3.95%, 10/15/25 | 62,000 | 65,473 | ||||||
Comerica, Inc. | 83,000 | 84,992 | ||||||
Costco Wholesale Corp. | 42,000 | 42,905 | ||||||
Crown Castle International Corp. | 48,000 | 48,994 | ||||||
Cummins, Inc. | 180,000 | 171,538 | ||||||
CVS Health Corp. | 100,000 | 104,968 | ||||||
3.88%, 7/20/25 | 50,000 | 52,279 | ||||||
Discover Financial Services | 50,000 | 50,914 | ||||||
Discovery Communications LLC | 50,000 | 50,575 | ||||||
Dominion Energy, Inc. | 40,000 | 41,809 | ||||||
Duke Energy Corp. | 100,000 | 94,983 | ||||||
DuPont de Nemours, Inc. | 30,000 | 31,998 | ||||||
Eli Lilly & Co. | 157,000 | 160,332 | ||||||
Energy Transfer LP | 100,000 | 100,606 | ||||||
Entergy Gulf States Louisiana LLC | 107,000 | 115,489 | ||||||
Enterprise Products Operating LLC | 50,000 | 50,689 | ||||||
Equinix, Inc. | 189,000 | 190,264 | ||||||
1.25%, 7/15/25 | 44,000 | 42,002 | ||||||
ERP Operating LP | 12,000 | 12,461 |
See Notes to Financial Statements.
112 | WisdomTree Trust |
Table of Contents
Schedule of Investments (unaudited) (continued)
WisdomTree Yield Enhanced U.S. Short-Term Aggregate Bond Fund (SHAG)
February 28, 2022
Investments | Principal Amount | Value | ||||||
Evergy Metro, Inc. | $ | 180,000 | $ | 187,189 | ||||
Exelon Corp. | 21,000 | 21,688 | ||||||
Fidelity National Information Services, Inc. | 23,000 | 21,739 | ||||||
Fifth Third Bancorp | 100,000 | 100,214 | ||||||
Franklin Resources, Inc. | 140,000 | 142,908 | ||||||
FS KKR Capital Corp. | 130,000 | 128,264 | ||||||
General Dynamics Corp. | 150,000 | 154,816 | ||||||
3.50%, 5/15/25 | 189,000 | 196,397 | ||||||
General Mills, Inc. | 84,000 | 86,454 | ||||||
General Motors Co. | 99,000 | 109,517 | ||||||
Georgia Power Co. | 235,000 | 234,871 | ||||||
Georgia-Pacific LLC | 66,000 | 73,502 | ||||||
Gilead Sciences, Inc. | 118,000 | 121,848 | ||||||
Global Payments, Inc. | 20,000 | 21,471 | ||||||
Goldman Sachs Group, Inc. | 307,000 | 318,095 | ||||||
3.85%, 7/8/24 | 50,000 | 51,673 | ||||||
3.50%, 1/23/25 | 164,000 | 168,797 | ||||||
1.76%, 1/24/25, (1.757% fixed rate until 1/24/24; Secured Overnight Financing Rate + 0.73% thereafter)(b) | 100,000 | 98,952 | ||||||
3.50%, 4/1/25 | 209,000 | 214,938 | ||||||
3.75%, 5/22/25 | 250,000 | 258,732 | ||||||
1.09%, 12/9/26, (1.093% fixed rate until 12/9/25; Secured Overnight Financing Rate + 0.789% thereafter)(b) | 680,000 | 640,356 | ||||||
Hasbro, Inc. | 124,000 | 125,907 | ||||||
HCA, Inc. | 185,000 | 198,718 | ||||||
Hershey Co. | 244,000 | 235,050 | ||||||
Hess Corp. | 135,000 | 138,513 | ||||||
HP, Inc. | 142,000 | 141,130 | ||||||
Intel Corp. | 65,000 | 67,348 | ||||||
3.70%, 7/29/25 | 100,000 | 104,713 | ||||||
Intercontinental Exchange, Inc. | 32,000 | 31,643 | ||||||
International Business Machines Corp. | 487,000 | 498,552 | ||||||
Intuit, Inc. | 221,000 | 211,968 | ||||||
Invesco Finance PLC | 118,000 | 121,944 | ||||||
John Deere Capital Corp. | 200,000 | 200,488 | ||||||
3.45%, 3/13/25 | 139,000 | 144,800 | ||||||
JPMorgan Chase & Co. | 169,000 | 174,685 | ||||||
3.80%, 7/23/24, (3.797% fixed rate until 7/23/23; 3-month U.S. dollar London Interbank Offered Rate + 0.89% thereafter)(b) | 100,000 | 102,405 | ||||||
3.88%, 9/10/24 | 889,000 | 923,058 | ||||||
4.02%, 12/5/24, (4.023% fixed rate until 12/5/23; 3-month U.S. dollar London Interbank Offered Rate + 1.00% thereafter)(b) | 170,000 | 175,489 | ||||||
3.13%, 1/23/25 | 180,000 | 184,070 | ||||||
3.22%, 3/1/25, (3.22% fixed rate until 3/1/24; 3-month U.S. dollar London Interbank Offered Rate + 1.155% thereafter)(b) | 29,000 | 29,516 | ||||||
2.08%, 4/22/26, (2.083% fixed rate until 4/22/25; Secured Overnight Financing Rate + 1.85% thereafter)(b) | 444,000 | 437,229 | ||||||
3.96%, 1/29/27, (3.96% fixed rate until 1/29/26; 3-month U.S. dollar London Interbank Offered Rate + 1.245% thereafter)(b) | 89,000 | 93,216 | ||||||
Juniper Networks, Inc. | 45,000 | 43,033 | ||||||
KeyBank NA | 250,000 | 258,505 | ||||||
Kilroy Realty LP | 199,000 | 204,084 | ||||||
Kinder Morgan Energy Partners LP | 47,000 | 48,520 | ||||||
Lam Research Corp. | 49,000 | 51,315 | ||||||
3.75%, 3/15/26 | 7,000 | 7,405 | ||||||
Lennox International, Inc. | 100,000 | 96,396 | ||||||
Lockheed Martin Corp. | 100,000 | 102,413 | ||||||
M&T Bank Corp. | 150,000 | 153,508 | ||||||
Mastercard, Inc. | 50,000 | 50,147 | ||||||
Merck & Co., Inc. | 300,000 | 292,392 | ||||||
MetLife, Inc. | 124,000 | 127,757 | ||||||
Microsoft Corp. | 138,000 | 143,185 | ||||||
Morgan Stanley | 370,000 | 379,805 | ||||||
3.88%, 4/29/24, Series F | 141,000 | 145,780 | ||||||
4.00%, 7/23/25 | 284,000 | 297,879 | ||||||
3.88%, 1/27/26 | 30,000 | 31,338 |
See Notes to Financial Statements.
WisdomTree Trust | 113 |
Table of Contents
Schedule of Investments (unaudited) (continued)
WisdomTree Yield Enhanced U.S. Short-Term Aggregate Bond Fund (SHAG)
February 28, 2022
Investments | Principal Amount | Value | ||||||
2.19%, 4/28/26, (2.188% fixed rate until 4/28/25; Secured Overnight Financing Rate + 1.99% thereafter)(b) | $ | 306,000 | $ | 302,068 | ||||
MPLX LP | 100,000 | 96,210 | ||||||
National Rural Utilities Cooperative Finance Corp. | 50,000 | 50,970 | ||||||
NetApp, Inc. | 80,000 | 78,449 | ||||||
NiSource, Inc. | 190,000 | 179,711 | ||||||
Northrop Grumman Corp. | 78,000 | 79,732 | ||||||
Omega Healthcare Investors, Inc. | 27,000 | 27,695 | ||||||
Oncor Electric Delivery Co. LLC | 379,000 | 356,139 | ||||||
ONEOK, Inc. | 158,000 | 176,001 | ||||||
Oracle Corp. | 664,000 | 662,008 | ||||||
Pacific Gas and Electric Co. | 170,000 | 173,573 | ||||||
Paramount Global | 105,000 | 109,207 | ||||||
PECO Energy Co. | 35,000 | 36,049 | ||||||
PepsiCo, Inc. | 40,000 | 40,418 | ||||||
3.50%, 7/17/25 | 40,000 | 41,813 | ||||||
Pfizer, Inc. | 167,000 | 170,966 | ||||||
3.40%, 5/15/24 | 33,000 | 34,188 | ||||||
0.80%, 5/28/25 | 126,000 | 121,596 | ||||||
Philip Morris International, Inc. | 50,000 | 51,021 | ||||||
1.50%, 5/1/25 | 30,000 | 29,276 | ||||||
3.38%, 8/11/25 | 30,000 | 30,980 | ||||||
Pinnacle West Capital Corp. | 143,000 | 137,547 | ||||||
Plains All American Pipeline LP / PAA Finance Corp. | 83,000 | 85,006 | ||||||
PNC Financial Services Group, Inc. | 100,000 | 103,896 | ||||||
PPG Industries, Inc. | 64,000 | 64,540 | ||||||
Private Export Funding Corp. | 50,000 | 50,719 | ||||||
1.75%, 11/15/24 | 100,000 | 99,671 | ||||||
Public Service Electric & Gas Co. | 517,000 | 493,931 | ||||||
Public Storage | 100,000 | 97,042 | ||||||
QUALCOMM, Inc. | 61,000 | 62,338 | ||||||
3.45%, 5/20/25 | 200,000 | 207,758 | ||||||
Ralph Lauren Corp. | 129,000 | 135,106 | ||||||
Realty Income Corp. | 88,000 | 91,326 | ||||||
Ryder System, Inc. | 100,000 | 96,383 | ||||||
Santander Holdings USA, Inc. | 244,000 | 248,182 | ||||||
Schlumberger Finance Canada Ltd. | 15,000 | 14,572 | ||||||
Simon Property Group LP | 290,000 | 289,159 | ||||||
Southern California Edison Co. | 49,000 | 50,097 | ||||||
Southwest Airlines Co. | 34,000 | 36,685 | ||||||
Southwestern Electric Power Co. | 100,000 | 96,838 | ||||||
Starbucks Corp. | 8,000 | 8,383 | ||||||
State Street Corp. | 218,000 | 227,725 | ||||||
2.35%, 11/1/25, (2.354% fixed rate until 11/1/24; Secured Overnight Financing Rate + 0.94% thereafter)(b) | 336,000 | 338,302 | ||||||
1.75%, 2/6/26 | 50,000 | 49,446 | ||||||
Stryker Corp. | 10,000 | 10,399 | ||||||
Sysco Corp. | 100,000 | 104,400 | ||||||
Target Corp. | 300,000 | 297,681 | ||||||
Timken Co. | 100,000 | 103,125 | ||||||
Toyota Motor Credit Corp. | 50,000 | 51,241 | ||||||
0.80%, 10/16/25 | 250,000 | 237,872 | ||||||
Truist Bank | ||||||||
3.69%, 8/2/24, (3.689% fixed rate until 8/2/23; 3-month U.S. dollar London Interbank Offered Rate + 0.735% thereafter)(b) | 15,000 | 15,396 | ||||||
1.50%, 3/10/25 | 250,000 | 246,017 | ||||||
Truist Financial Corp. | 113,000 | 116,626 | ||||||
2.50%, 8/1/24 | 600,000 | 607,224 | ||||||
4.00%, 5/1/25 | 355,000 | 372,771 | ||||||
Tucson Electric Power Co. | 50,000 | 51,031 | ||||||
TWDC Enterprises 18 Corp. | 523,000 | 538,266 | ||||||
U.S. Bancorp | 50,000 | 50,590 | ||||||
1.45%, 5/12/25 | 100,000 | 97,821 | ||||||
United Parcel Service, Inc. | 250,000 | 252,290 | ||||||
UnitedHealth Group, Inc. | 100,000 | 101,262 |
See Notes to Financial Statements.
114 | WisdomTree Trust |
Table of Contents
Schedule of Investments (unaudited) (continued)
WisdomTree Yield Enhanced U.S. Short-Term Aggregate Bond Fund (SHAG)
February 28, 2022
Investments | Principal Amount | Value | ||||||
UPMC | $ | 300,000 | $ | 309,198 | ||||
Verizon Communications, Inc. | 242,000 | 250,448 | ||||||
0.85%, 11/20/25 | 177,000 | 168,276 | ||||||
Walt Disney Co. | 409,000 | 427,867 | ||||||
Wells Fargo & Co. | 33,000 | 34,495 | ||||||
3.00%, 2/19/25 | 774,000 | 788,497 | ||||||
2.41%, 10/30/25, (2.406% fixed rate until 10/30/24; Secured Overnight Financing Rate + 1.087% thereafter)(b) | 416,000 | 414,898 | ||||||
2.16%, 2/11/26, (2.164% fixed rate until 2/11/25; 3-month U.S. dollar London Interbank Offered Rate + 0.75% thereafter)(b) | 322,000 | 318,245 | ||||||
Willis North America, Inc. | 155,000 | 159,152 | ||||||
WW Grainger, Inc. | 100,000 | 99,258 | ||||||
Xilinx, Inc. | 84,000 | 85,547 | ||||||
Zoetis, Inc. | 50,000 | 53,431 | ||||||
TOTAL U.S. CORPORATE BONDS (Cost: $37,003,314) |
| 35,960,404 | ||||||
FOREIGN CORPORATE BONDS – 6.3% |
| |||||||
Canada – 1.5% |
| |||||||
Bank of Montreal | 150,000 | 153,775 | ||||||
1.85%, 5/1/25 | 1,000 | 989 | ||||||
4.34%, 10/5/28, (4.338% fixed rate until 10/5/23; 5-year U.S. dollar Swap Rate + 1.28% thereafter)(b) | 90,000 | 92,758 | ||||||
Bank of Nova Scotia | 206,000 | 205,442 | ||||||
4.50%, 12/16/25 | 58,000 | 61,704 | ||||||
1.05%, 3/2/26 | 40,000 | 37,904 | ||||||
Brookfield Finance, Inc. | 150,000 | 155,173 | ||||||
Canadian Imperial Bank of Commerce | 220,000 | 224,433 | ||||||
Cenovus Energy, Inc. | 19,000 | 20,586 | ||||||
Enbridge, Inc. | 42,000 | 42,116 | ||||||
Magna International, Inc. | 25,000 | 26,469 | ||||||
Royal Bank of Canada | 120,000 | 120,122 | ||||||
1.15%, 6/10/25 | 477,000 | 459,380 | ||||||
Toronto-Dominion Bank | 343,000 | 330,673 | ||||||
1.95%, 1/12/27, Series FXD | 200,000 | 195,434 | ||||||
|
| |||||||
Total Canada |
| 2,126,958 | ||||||
China – 0.6% |
| |||||||
Alibaba Group Holding Ltd. | 378,000 | 388,652 | ||||||
Baidu, Inc. | 200,000 | 202,632 | ||||||
4.13%, 6/30/25 | 90,000 | 94,174 | ||||||
Tencent Music Entertainment Group | 110,000 | 104,553 | ||||||
|
| |||||||
Total China |
| 790,011 | ||||||
Colombia – 0.2% |
| |||||||
Ecopetrol SA | 276,000 | 287,678 | ||||||
France – 0.1% |
| |||||||
BPCE SA | 170,000 | 176,210 | ||||||
Germany – 0.1% |
| |||||||
Deutsche Bank AG | ||||||||
2.22%, 9/18/24, (2.222% fixed rate until 9/18/23; Secured Overnight Financing Rate + 2.159% thereafter)(b) | 140,000 | 139,765 | ||||||
Ireland – 0.2% |
| |||||||
AerCap Ireland Capital DAC / AerCap Global Aviation Trust | 130,000 | 134,198 | ||||||
6.50%, 7/15/25 | 150,000 | 165,445 | ||||||
|
| |||||||
Total Ireland |
| 299,643 | ||||||
Japan – 0.7% |
| |||||||
Mitsubishi UFJ Financial Group, Inc. | 536,000 | 532,162 | ||||||
1.41%, 7/17/25 | 50,000 | 48,240 | ||||||
ORIX Corp. | 80,000 | 82,011 | ||||||
Sumitomo Mitsui Financial Group, Inc. | 315,000 | 318,093 | ||||||
Toyota Motor Corp. | 73,000 | 70,505 | ||||||
|
| |||||||
Total Japan |
| 1,051,011 | ||||||
Netherlands – 0.2% |
| |||||||
Cooperatieve Rabobank UA | 100,000 | 104,300 | ||||||
ING Groep NV | 140,000 | 143,683 | ||||||
|
| |||||||
Total Netherlands |
| 247,983 | ||||||
Spain – 0.1% |
| |||||||
Banco Santander SA | 200,000 | 201,858 | ||||||
Switzerland – 0.4% |
| |||||||
Credit Suisse Group AG | 250,000 | 255,658 | ||||||
3.75%, 3/26/25 | 250,000 | 256,847 | ||||||
|
| |||||||
Total Switzerland |
| 512,505 |
See Notes to Financial Statements.
WisdomTree Trust | 115 |
Table of Contents
Schedule of Investments (unaudited) (continued)
WisdomTree Yield Enhanced U.S. Short-Term Aggregate Bond Fund (SHAG)
February 28, 2022
Investments | Principal Amount | Value | ||||||
United Kingdom – 2.2% |
| |||||||
Barclays PLC | ||||||||
1.01%, 12/10/24, (1.007% fixed rate until 12/10/23; 1-year Constant Maturity Treasury Rate + 0.80% thereafter)(b) | $ | 360,000 | $ | 351,148 | ||||
BAT Capital Corp. | 55,000 | 55,889 | ||||||
BAT International Finance PLC | 100,000 | 95,184 | ||||||
BP Capital Markets PLC | 90,000 | 93,123 | ||||||
Diageo Capital PLC | 200,000 | 194,200 | ||||||
HSBC Holdings PLC | 524,000 | 541,711 | ||||||
1.65%, 4/18/26, (1.645% fixed rate until 4/18/25; Secured Overnight Financing Rate + 1.538% thereafter)(b) | 50,000 | 48,241 | ||||||
2.10%, 6/4/26, (2.099% fixed rate until 6/4/25; Secured Overnight Financing Rate + 1.929% thereafter)(b) | 500,000 | 488,030 | ||||||
Lloyds Bank PLC | 200,000 | 205,768 | ||||||
Lloyds Banking Group PLC | ||||||||
2.91%, 11/7/23, (2.907% fixed rate until 11/7/22; 3-month U.S. dollar London Interbank Offered Rate + 0.81% thereafter)(b) | 63,000 | 63,467 | ||||||
3.90%, 3/12/24 | 50,000 | 51,837 | ||||||
Natwest Group PLC | 550,000 | 563,359 | ||||||
Santander UK Group Holdings PLC | ||||||||
4.80%, 11/15/24, (4.796% fixed rate until 11/15/23; 3-month U.S. dollar London Interbank Offered Rate + 1.57% thereafter)(b) | 220,000 | 228,741 | ||||||
1.09%, 3/15/25, (1.089% fixed rate until 3/15/24; Secured Overnight Financing Rate + 0.787% thereafter)(b) | 41,000 | 39,810 | ||||||
Unilever Capital Corp. | 125,000 | 128,039 | ||||||
|
| |||||||
Total United Kingdom |
| 3,148,547 | ||||||
TOTAL FOREIGN CORPORATE BONDS (Cost: $9,260,622) |
| 8,982,169 | ||||||
FOREIGN GOVERNMENT AGENCIES – 0.5% |
| |||||||
Canada – 0.1% |
| |||||||
Province of Manitoba Canada | 184,000 | 189,415 | ||||||
Japan – 0.4% |
| |||||||
Japan Bank for International Cooperation | 430,000 | 430,163 | ||||||
2.13%, 2/10/25, Series DTC | 140,000 | 141,263 | ||||||
|
| |||||||
Total Japan |
| 571,426 | ||||||
TOTAL FOREIGN GOVERNMENT AGENCIES (Cost: $782,938) |
| 760,841 | ||||||
FOREIGN GOVERNMENT OBLIGATIONS – 0.3% |
| |||||||
Chile – 0.1% |
| |||||||
Chile Government International Bond | 110,000 | 113,397 | ||||||
Colombia – 0.1% |
| |||||||
Colombia Government International Bond 2.63%, 3/15/23 | 100,000 | 100,189 | ||||||
4.00%, 2/26/24 | 78,000 | 79,244 | ||||||
|
| |||||||
Total Colombia |
| 179,433 | ||||||
Indonesia – 0.1% |
| |||||||
Indonesia Government International Bond | 150,000 | 151,747 | ||||||
TOTAL FOREIGN GOVERNMENT OBLIGATIONS (Cost: $451,749) |
| 444,577 | ||||||
SUPRANATIONAL BONDS – 0.7% |
| |||||||
Corporacion Andina de Fomento | 96,000 | 99,167 | ||||||
1.63%, 9/23/25 | 200,000 | 195,570 | ||||||
European Investment Bank | 750,000 | 722,325 | ||||||
TOTAL SUPRANATIONAL BONDS (Cost: $1,054,640) |
| 1,017,062 | ||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES – 9.6% |
| |||||||
United States – 9.6% |
| |||||||
Benchmark Mortgage Trust | ||||||||
3.75%, 3/15/52, Series 2019-B9, Class A4 | 850,000 | 894,853 | ||||||
2.03%, 10/15/53, Series 2020-B20, Class A5 | 1,128,000 | 1,061,545 | ||||||
2.58%, 4/15/54, Series 2021-B25, Class A5 | 2,200,000 | 2,145,887 | ||||||
Commercial Mortgage Trust | ||||||||
3.42%, 8/10/47, Series 2014-UBS4, Class A4 | 900,000 | 916,419 | ||||||
4.56%, 10/10/47, Series 2014-LC17, Class C^(b) | 313,000 | 322,821 | ||||||
3.89%, 2/10/49, Series 2016-CR28, Class D^(b) | 757,000 | 736,063 | ||||||
CSAIL Commercial Mortgage Trust | ||||||||
3.77%, 4/15/51, Series 2018-CX11, Class A4 | 2,000,000 | 2,084,030 | ||||||
Deutsche Bank Commercial Mortgage Trust | ||||||||
1.89%, 8/10/49, Series 2016-C3, Class A2 | 28,438 | 28,524 | ||||||
GS Mortgage Securities Trust | ||||||||
5.31%, 11/10/46, Series 2013-GC16, Class C^(b) | 200,000 | 201,309 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust | ||||||||
4.17%, 12/15/46, Series 2013-C16, Class A4 | 965,000 | 994,331 | ||||||
JPMBB Commercial Mortgage Securities Trust | ||||||||
3.61%, 5/15/48, Series 2015-C29, Class A4 | 2,100,000 | 2,162,074 |
See Notes to Financial Statements.
116 | WisdomTree Trust |
Table of Contents
Schedule of Investments (unaudited) (concluded)
WisdomTree Yield Enhanced U.S. Short-Term Aggregate Bond Fund (SHAG)
February 28, 2022
Investments | Principal Amount | Value | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust | ||||||||
3.18%, 8/15/45, Series 2012-C5, Class A4 | $ | 421,773 | $ | 421,736 | ||||
2.74%, 4/15/48, Series 2015-C22, Class A2 | 315,868 | 315,868 | ||||||
Morgan Stanley Capital I | ||||||||
4.22%, 12/15/50, Series 2017-HR2, Class C^(b) | 160,000 | 163,740 | ||||||
Wells Fargo Commercial Mortgage Trust | ||||||||
2.60%, 6/15/49, Series 2016-C34, Class A2 | 49,032 | 48,982 | ||||||
2.63%, 4/15/54, Series 2021-C59, Class A5 | 376,000 | 368,221 | ||||||
WFRBS Commercial Mortgage Trust | ||||||||
3.50%, 8/15/47, Series 2014-C21, Class D(c) | 627,000 | 575,660 | ||||||
3.98%, 11/15/47, Series 2014-C25, Class AS | 395,000 | 407,187 | ||||||
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES (Cost: $14,458,617) |
| 13,849,250 | ||||||
ASSET-BACKED SECURITIES – 0.4% |
| |||||||
United States – 0.4% |
| |||||||
Capital One Prime Auto Receivables Trust Class A4 | 450,000 | 450,061 | ||||||
CarMax Auto Owner Trust Class A4 | 118,000 | 119,077 | ||||||
TOTAL ASSET-BACKED SECURITIES (Cost: $569,166) |
| 569,138 | ||||||
TOTAL INVESTMENTS IN SECURITIES – 106.2% (Cost: $156,263,602) |
| 152,599,429 | ||||||
Other Assets less Liabilities – (6.2)% |
| (8,941,478 | ) | |||||
|
| |||||||
NET ASSETS – 100.0% |
| $ | 143,657,951 |
* | Interest rate shown reflects the yield to maturity at the time of purchase. |
^ | Variable coupon rate based on weighted average interest rate of underlying mortgage. |
(a) | To-be-announced (“TBA”) security (See Note 2). TBA securities are non-income producing. |
(b) | Rate shown reflects the accrual rate as of February 28, 2022 on securities with variable or step rates. |
(c) | This security is exempt from registration under rule 144A of the Securities Act of 1933. This security may be sold in transactions that are exempt from registration, normally to qualified institutional buyers. |
FAIR VALUATION SUMMARY |
The following is a summary of the fair valuations according to the inputs used as of February 28, 2022 in valuing the Fund’s investments (See Note 2 — Fair Value Measurement):
Quoted Prices in Active Markets (Level 1) | Other Significant Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | |||||||||||||
Assets: |
| |||||||||||||||
Investments in Securities | ||||||||||||||||
U.S. Government Agencies | $ | — | $ | 16,527,184 | $ | — | $ | 16,527,184 | ||||||||
U.S. Government Obligations | — | 74,488,804 | — | 74,488,804 | ||||||||||||
U.S. Corporate Bonds | — | 35,960,404 | — | 35,960,404 | ||||||||||||
Foreign Corporate Bonds | — | 8,982,169 | — | 8,982,169 | ||||||||||||
Foreign Government Agencies | — | 760,841 | — | 760,841 | ||||||||||||
Foreign Government Obligations | — | 444,577 | — | 444,577 | ||||||||||||
Supranational Bonds | — | 1,017,062 | — | 1,017,062 | ||||||||||||
Commercial Mortgage-Backed Securities | — | 13,849,250 | — | 13,849,250 | ||||||||||||
Asset-Backed Securities | — | 569,138 | — | 569,138 | ||||||||||||
Total Investments in Securities | $ | — | $ | 152,599,429 | $ | — | $ | 152,599,429 |
See Notes to Financial Statements.
WisdomTree Trust | 117 |
Table of Contents
Schedule of Investments (unaudited)
WisdomTree Alternative Income Fund (HYIN)
February 28, 2022
Investments | Shares | Value | ||||||
COMMON STOCKS – 71.7% |
| |||||||
United States – 71.7% |
| |||||||
Capital Markets – 24.7% |
| |||||||
Ares Capital Corp. | 10,989 | $ | 240,000 | |||||
FS KKR Capital Corp. | 10,857 | 235,597 | ||||||
Goldman Sachs BDC, Inc. | 11,388 | 225,027 | ||||||
Golub Capital BDC, Inc. | 14,553 | 229,355 | ||||||
Hercules Capital, Inc. | 13,383 | 240,492 | ||||||
Main Street Capital Corp. | 5,160 | 225,182 | ||||||
Owl Rock Capital Corp. | 15,581 | 234,494 | ||||||
Prospect Capital Corp. | 26,677 | 215,017 | ||||||
|
| |||||||
Total Capital Markets |
| 1,845,164 | ||||||
Mortgage Real Estate Investment Trusts (REITs) – 47.0% |
| |||||||
AGNC Investment Corp. | 14,652 | 189,157 | ||||||
Annaly Capital Management, Inc. | 27,762 | 193,223 | ||||||
Apollo Commercial Real Estate Finance, Inc. | 17,096 | 223,103 | ||||||
Arbor Realty Trust, Inc. | 12,950 | 233,100 | ||||||
Blackstone Mortgage Trust, Inc., Class A | 7,277 | 231,263 | ||||||
BrightSpire Capital, Inc. | 23,380 | 207,147 | ||||||
Broadmark Realty Capital, Inc. | 23,897 | 206,948 | ||||||
Chimera Investment Corp. | 14,925 | 181,637 | ||||||
Great Ajax Corp. | 17,294 | 196,979 | ||||||
Ladder Capital Corp., Class A | 19,292 | 221,086 | ||||||
MFA Financial, Inc. | 49,039 | 199,098 | ||||||
New Residential Investment Corp. | 20,636 | 214,202 | ||||||
New York Mortgage Trust, Inc. | 59,907 | 210,274 | ||||||
Redwood Trust, Inc. | 17,619 | 183,061 | ||||||
Starwood Property Trust, Inc. | 9,514 | 226,814 | ||||||
Two Harbors Investment Corp. | 38,345 | 194,026 | ||||||
Western Asset Mortgage Capital Corp. | 107,061 | 198,063 | ||||||
|
| |||||||
Total Mortgage Real Estate Investment Trusts (REITs) |
| 3,509,181 | ||||||
TOTAL COMMON STOCKS (Cost: $5,845,912) |
| 5,354,345 | ||||||
CLOSED-END MUTUAL FUNDS – 27.9% |
| |||||||
United States – 27.9% |
| |||||||
BlackRock Corporate High Yield Fund, Inc. | 18,773 | 202,936 | ||||||
BlackRock Ltd. Duration Income Trust | 13,214 | 190,810 | ||||||
Blackstone Strategic Credit Fund | 16,000 | 211,520 | ||||||
Eaton Vance Limited Duration Income Fund | 16,823 | 197,166 | ||||||
Guggenheim Strategic Opportunities Fund(a) | 12,089 | 224,735 | ||||||
Invesco Senior Income Trust | 49,488 | 215,768 | ||||||
Nuveen Credit Strategies Income Fund | 34,769 | 213,482 | ||||||
Oxford Lane Capital Corp. | 29,424 | 217,443 | ||||||
PIMCO Corporate & Income Opportunity Fund | 13,325 | 200,141 | ||||||
PIMCO Dynamic Income Fund | 8,692 | 210,346 | ||||||
TOTAL CLOSED-END MUTUAL FUNDS (Cost: $2,282,650) |
| 2,084,347 | ||||||
INVESTMENT OF CASH COLLATERAL FOR SECURITIES LOANED – 0.1% |
| |||||||
United States – 0.1% |
| |||||||
State Street Navigator Securities Lending Government Money Market Portfolio, 0.06% (Cost: $3,800) | 3,800 | 3,800 | ||||||
TOTAL INVESTMENTS IN SECURITIES – 99.7% (Cost: $8,132,362) |
| 7,442,492 | ||||||
Other Assets less Liabilities – 0.3% |
| 21,893 | ||||||
|
| |||||||
NET ASSETS – 100.0% |
| $ | 7,464,385 |
(a) | Security, or portion thereof, was on loan at February 28, 2022 (See Note 2). At February 28, 2022, the total market value of the Fund’s securities on loan identified in the Schedule of Investments was $3,718 and the total market value of the collateral held by the Fund was $3,800. |
FAIR VALUATION SUMMARY |
The following is a summary of the fair valuations according to the inputs used as of February 28, 2022 in valuing the Fund’s investments (See Note 2 — Fair Value Measurement):
Quoted Prices in Active Markets (Level 1) | Other Significant Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | |||||||||||||
Assets: | ||||||||||||||||
Investments in Securities | ||||||||||||||||
Common Stocks | $ | 5,354,345 | $ | — | $ | — | $ | 5,354,345 | ||||||||
Closed-End Mutual Funds | 2,084,347 | — | — | 2,084,347 | ||||||||||||
Investment of Cash Collateral for Securities Loaned | — | 3,800 | — | 3,800 | ||||||||||||
Total Investments in Securities | $ | 7,438,692 | $ | 3,800 | $ | — | $ | 7,442,492 |
See Notes to Financial Statements.
118 | WisdomTree Trust |
Table of Contents
Schedule of Investments (unaudited)
WisdomTree CBOE S&P 500 PutWrite Strategy Fund (PUTW)
February 28, 2022
Investments | Principal Amount | Value | ||||||
U.S. GOVERNMENT OBLIGATIONS – 82.2% |
| |||||||
U.S. Treasury Bills – 82.2% |
| |||||||
0.35%, 5/19/22* | $ | 56,466,000 | $ | 56,428,910 | ||||
0.40%, 5/26/22* | 20,000,000 | 19,985,308 | ||||||
TOTAL U.S. GOVERNMENT OBLIGATIONS (Cost: $76,404,398) |
| 76,414,218 | ||||||
EXCHANGE-TRADED FUND – 4.4% |
| |||||||
United States – 4.4% |
| |||||||
WisdomTree Floating Rate Treasury Fund(a) (Cost: $4,046,520) | 161,377 | 4,055,404 | ||||||
TOTAL INVESTMENTS IN SECURITIES – 86.6% (Cost: $80,450,918) |
| 80,469,622 | ||||||
Other Assets less Liabilities – 13.4% |
| 12,456,949 | ||||||
|
| |||||||
NET ASSETS – 100.0% |
| $ | 92,926,571 |
* | Interest rate shown reflects the yield to maturity at the time of purchase. |
(a) | Affiliated holding. See “Investment in Affiliates” supplementary table included in this Schedule of Investments for additional information. |
INVESTMENT IN AFFILIATES |
Affiliated holdings are investments in entities in which the Fund owns 5% or more of the outstanding voting securities or are investments in entities which are under common ownership or control. Investments in affiliates during the six-month fiscal period ended February 28, 2022 were as follows:
Affiliate | Value at 8/31/2021 | Purchases/ Additions | Sales/ Reductions | Realized Gain/(Loss) | Change in Unrealized Appreciation/ Depreciation | Value at 2/28/2022 | Dividend Income | Capital Gain Distributions | ||||||||||||||||||||||||
WisdomTree Floating Rate Treasury Fund | $ | 2,870,813 | $ | 1,181,420 | $ | — | $ | — | $ | 3,171 | $ | 4,055,404 | $ | — | $ | 259 |
FINANCIAL DERIVATIVE INSTRUMENTS | ||||||||||||||||||||||||||||
WRITTEN OPTION CONTRACTS (EXCHANGE-TRADED) | ||||||||||||||||||||||||||||
Description | Number of Contracts | Notional Amount1 | Strike Price | Expiration Date | Premiums Paid/ (Received) | Unrealized Appreciation | Value | |||||||||||||||||||||
S&P 500 Index | (218 | ) | $ | (95,048,000 | ) | $ | 4,360 | 3/18/2022 | $ | (2,682,380 | ) | $ | 569,960 | $ | (2,112,420 | ) |
1 | Notional amount is derived by multiplying the number of contracts, the contract size (typically 100), and the contract strike price. |
FAIR VALUATION SUMMARY |
The following is a summary of the fair valuations according to the inputs used as of February 28, 2022 in valuing the Fund’s investments (See Note 2 — Fair Value Measurement):
Quoted Prices in Active Markets (Level 1) | Other Significant Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | |||||||||||||
Assets: | ||||||||||||||||
Investments in Securities | ||||||||||||||||
U.S. Government Obligations | $ | — | $ | 76,414,218 | $ | — | $ | 76,414,218 | ||||||||
Exchange-Traded Fund | 4,055,404 | — | — | 4,055,404 | ||||||||||||
Total Investments in Securities | $ | 4,055,404 | $ | 76,414,218 | $ | — | $ | 80,469,622 | ||||||||
Liabilities: | ||||||||||||||||
Financial Derivative Instruments | ||||||||||||||||
Written Options1 | $ | — | $ | (2,112,420 | ) | $ | — | $ | (2,112,420 | ) | ||||||
Total – Net | $ | 4,055,404 | $ | 74,301,798 | $ | — | $ | 78,357,202 |
1 | Amount shown represents the market value of the financial instrument. |
See Notes to Financial Statements.
WisdomTree Trust | 119 |
Table of Contents
Schedule of Investments (unaudited)
WisdomTree Efficient Gold Plus Gold Miners Strategy Fund (GDMN) (consolidated)
February 28, 2022
Investments | Shares | Value | ||||||
COMMON STOCKS – 88.3% |
| |||||||
Australia – 11.9% |
| |||||||
De Grey Mining Ltd.* | 16,452 | $ | 13,490 | |||||
Evolution Mining Ltd. | 27,168 | 84,181 | ||||||
Gold Road Resources Ltd. | 12,945 | 14,419 | ||||||
Newcrest Mining Ltd. | 8,652 | 161,165 | ||||||
Northern Star Resources Ltd. | 17,462 | 130,641 | ||||||
OceanaGold Corp.* | 9,516 | 17,931 | ||||||
Perseus Mining Ltd. | 18,759 | 24,843 | ||||||
Ramelius Resources Ltd. | 12,189 | 13,444 | ||||||
Regis Resources Ltd. | 11,507 | 16,324 | ||||||
Silver Lake Resources Ltd.* | 12,930 | 17,358 | ||||||
St. Barbara Ltd. | 10,869 | 10,490 | ||||||
West African Resources Ltd.* | 13,215 | 10,453 | ||||||
Westgold Resources Ltd. | 6,489 | 10,642 | ||||||
|
| |||||||
Total Australia |
| 525,381 | ||||||
Brazil – 3.6% |
| |||||||
Wheaton Precious Metals Corp. | 3,660 | 160,271 | ||||||
Canada – 41.4% |
| |||||||
Agnico Eagle Mines Ltd. | 5,130 | 259,014 | ||||||
Alamos Gold, Inc., Class A | 5,736 | 42,217 | ||||||
B2Gold Corp. | 15,438 | 62,215 | ||||||
Barrick Gold Corp. | 23,357 | 527,167 | ||||||
Centerra Gold, Inc. | 3,096 | 30,170 | ||||||
Dundee Precious Metals, Inc. | 2,781 | 16,445 | ||||||
Equinox Gold Corp.* | 4,049 | 28,667 | ||||||
Franco-Nevada Corp. | 2,510 | 369,391 | ||||||
GoGold Resources, Inc.* | 4,157 | 9,832 | ||||||
IAMGOLD Corp.* | 6,977 | 20,303 | ||||||
K92 Mining, Inc.* | 3,303 | 20,078 | ||||||
Kinross Gold Corp. | 18,335 | 91,858 | ||||||
Lundin Gold, Inc.* | 1,179 | 9,500 | ||||||
New Gold, Inc.* | 9,965 | 17,239 | ||||||
Osisko Gold Royalties Ltd. | 2,283 | 28,218 | ||||||
Pan American Silver Corp. | 3,077 | 72,710 | ||||||
Pretium Resources, Inc.* | 2,347 | 34,196 | ||||||
Sandstorm Gold Ltd. | 2,793 | 19,914 | ||||||
SSR Mining, Inc. | 3,096 | 61,208 | ||||||
Torex Gold Resources, Inc.* | 1,260 | 15,974 | ||||||
Wesdome Gold Mines Ltd.* | 2,021 | 22,738 | ||||||
Yamana Gold, Inc. | 14,075 | 68,968 | ||||||
|
| |||||||
Total Canada |
| 1,828,022 | ||||||
China – 1.7% |
| |||||||
Shandong Gold Mining Co. Ltd., Class A | 4,200 | 13,818 | ||||||
Zhaojin Mining Industry Co. Ltd., Class H | 19,500 | 17,344 | ||||||
Zijin Mining Group Co. Ltd., Class A | 24,300 | 43,209 | ||||||
|
| |||||||
Total China |
| 74,371 | ||||||
Peru – 0.7% |
| |||||||
Cia de Minas Buenaventura SAA, ADR* | 3,351 | 33,175 | ||||||
Russia – 0.6% |
| |||||||
Petropavlovsk PLC* | 40,769 | 4,376 | ||||||
Polymetal International PLC | 4,821 | 22,718 | ||||||
|
| |||||||
Total Russia |
| 27,094 | ||||||
South Africa – 7.9% |
| |||||||
AngloGold Ashanti Ltd., ADR | 6,108 | 141,950 | ||||||
Gold Fields Ltd., ADR | 12,383 | 173,609 | ||||||
Harmony Gold Mining Co. Ltd., ADR | 7,863 | 33,418 | ||||||
|
| |||||||
Total South Africa |
| 348,977 | ||||||
Turkey – 0.7% |
| |||||||
Eldorado Gold Corp.* | 2,670 | 29,237 | ||||||
United Kingdom – 2.7% |
| |||||||
Centamin PLC | 16,493 | 21,952 | ||||||
Endeavour Mining PLC | 2,693 | 71,086 | ||||||
Fresnillo PLC | 2,720 | 26,226 | ||||||
|
| |||||||
Total United Kingdom |
| 119,264 | ||||||
United States – 17.1% |
| |||||||
Argonaut Gold, Inc.* | 4,572 | 8,327 | ||||||
Coeur Mining, Inc.* | 3,810 | 16,383 | ||||||
Newmont Corp. | 9,228 | 610,893 | ||||||
Royal Gold, Inc. | 984 | 119,320 | ||||||
|
| |||||||
Total United States |
| 754,923 | ||||||
TOTAL INVESTMENTS IN SECURITIES – 88.3% (Cost: $3,627,681) |
| 3,900,715 | ||||||
Other Assets less Liabilities – 11.7% |
| 518,871 | ||||||
|
| |||||||
NET ASSETS – 100.0% |
| $ | 4,419,586 |
* | Non-income producing security. |
FINANCIAL DERIVATIVE INSTRUMENTS | ||||||||||||||||||||||||||||
FOREIGN CURRENCY CONTRACTS (OTC – OVER THE COUNTER) | ||||||||||||||||||||||||||||
Counterparty | Settlement Date | Amount and | Amount and | Unrealized Appreciation | Unrealized Depreciation | |||||||||||||||||||||||
Bank of America NA | 3/2/2022 | 6,528 | CAD | 7,100 | AUD | $ | — | $ | (5 | ) | ||||||||||||||||||
Bank of America NA | 3/2/2022 | 13,100 | CAD | 10,332 | USD | — | (4 | ) | ||||||||||||||||||||
Bank of America NA | 3/2/2022 | 3,900 | GBP | 5,232 | USD | 1 | — | |||||||||||||||||||||
JP Morgan Chase Bank NA | 3/1/2022 | 117,759 | CNH | 18,664 | USD | — | (2 | ) | ||||||||||||||||||||
JP Morgan Chase Bank NA | 3/1/2022 | 27,500 | CNH | 4,355 | USD | 3 | — | |||||||||||||||||||||
Morgan Stanley & Co. International | 3/2/2022 | 10,000 | HKD | 1,280 | USD | 0 | ^ | — | ||||||||||||||||||||
$ | 4 | $ | (11 | ) |
^ | Amount represents less than $1. |
See Notes to Financial Statements.
120 | WisdomTree Trust |
Table of Contents
Schedule of Investments (unaudited) (concluded)
WisdomTree Efficient Gold Plus Gold Miners Strategy Fund (GDMN) (consolidated)
February 28, 2022
FUTURES CONTRACTS (EXCHANGE-TRADED) | ||||||||||||||||
Long Exposure | Contracts | Expiration Date | Notional Value | Unrealized Appreciation | ||||||||||||
Gold 100 Ounce | 21 | 4/27/22 | $ | 3,991,470 | $ | 97,557 |
FAIR VALUATION SUMMARY |
The following is a summary of the fair valuations according to the inputs used as of February 28, 2022 in valuing the Fund’s investments (See Note 2 — Fair Value Measurement):
Quoted Prices in Active Markets (Level 1) | Other Significant Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | |||||||||||||
Assets: |
| |||||||||||||||
Investments in Securities | ||||||||||||||||
Common Stocks | $ | 3,900,715 | $ | — | $ | — | $ | 3,900,715 | ||||||||
Total Investments in Securities | $ | 3,900,715 | $ | — | $ | — | $ | 3,900,715 | ||||||||
Financial Derivative Instruments | ||||||||||||||||
Foreign Currency Contracts1 | $ | — | $ | 4 | $ | — | $ | 4 | ||||||||
Futures Contracts1 | 97,557 | — | — | 97,557 | ||||||||||||
Liabilities: | ||||||||||||||||
Financial Derivative Instruments | ||||||||||||||||
Foreign Currency Contracts1 | $ | — | $ | (11 | ) | $ | — | $ | (11 | ) | ||||||
Total – Net | $ | 3,998,272 | $ | (7 | ) | $ | — | $ | 3,998,265 |
1 | Amount shown represents the unrealized appreciation (depreciation) on the financial instrument. |
See Notes to Financial Statements.
WisdomTree Trust | 121 |
Table of Contents
Schedule of Investments (unaudited)
WisdomTree Enhanced Commodity Strategy Fund (GCC) (consolidated)
February 28, 2022
Investments | Principal Amount | Value | ||||||
U.S. GOVERNMENT OBLIGATIONS – 75.9% |
| |||||||
U.S. Treasury Bills – 75.9% |
| |||||||
0.04%, 3/17/22* | $ | 190,000,000 | $ | 189,998,206 | ||||
0.02%, 4/21/22*(a) | 513,000 | 512,873 | ||||||
0.10%, 5/19/22*(a) | 21,651,000 | 21,636,778 | ||||||
TOTAL U.S. GOVERNMENT OBLIGATIONS (Cost: $212,155,999) |
| 212,147,857 | ||||||
Investments | Shares | Value | ||||||
EXCHANGE-TRADED FUND – 4.5% |
| |||||||
United States – 4.5% |
| |||||||
WisdomTree Floating Rate Treasury Fund(b) | ||||||||
(Cost: $12,531,362) | 498,854 | $ | 12,536,201 | |||||
TOTAL INVESTMENTS IN SECURITIES – 80.4% (Cost: $224,687,361) | 224,684,058 | |||||||
Other Assets less Liabilities – 19.6% |
| 54,904,613 | ||||||
|
| |||||||
NET ASSETS – 100.0% |
| $ | 279,588,671 |
* | Interest rate shown reflects the yield to maturity at the time of purchase. |
(a) | All or a portion of this security is held by the broker as collateral for open futures contracts. The securities collateral posted was comprised entirely of U.S. Treasury securities having a market value of $22,149,651 as of February 28, 2022. |
(b) | Affiliated holding. See “Investment in Affiliates” supplementary table included in this Schedule of Investments for additional information. |
INVESTMENT IN AFFILIATES |
Affiliated holdings are investments in entities in which the Fund owns 5% or more of the outstanding voting securities or are investments in entities which are under common ownership or control. Investments in affiliates during the six-month fiscal period ended February 28, 2022 were as follows:
Affiliate | Value at 8/31/2021 | Purchases/ Additions | Sales/ Reductions | Realized Gain/(Loss) | Change in Unrealized Appreciation/ Depreciation | Value at 2/28/2022 | Dividend Income | Capital Gain Distributions | ||||||||||||||||||||||||
WisdomTree Floating Rate Treasury Fund | $ | 8,141,762 | $ | 5,790,136 | $ | 1,403,549 | $ | (1,686 | ) | $ | 9,538 | $ | 12,536,201 | $ | — | $ | 725 |
FINANCIAL DERIVATIVE INSTRUMENTS | ||||||||||||||||
FUTURES CONTRACTS (EXCHANGE-TRADED) | ||||||||||||||||
Short Exposure | Contracts | Expiration Date | Notional Value | Unrealized Appreciation/ (Depreciation) | ||||||||||||
Aluminum | 14 | 12/19/22 | $ | (1,161,825 | ) | $ | (207,812 | ) | ||||||||
Aluminum | 219 | 6/13/22 | (18,426,112 | ) | (1,833,694 | ) | ||||||||||
Copper | 98 | 12/19/22 | (24,043,075 | ) | (951,918 | ) | ||||||||||
Nickel | 55 | 3/14/22 | (8,118,330 | ) | (1,716,660 | ) | ||||||||||
Nickel | 66 | 5/16/22 | (9,644,184 | ) | (1,449,360 | ) | ||||||||||
Nickel | 70 | 6/13/22 | (10,159,380 | ) | (418,464 | ) | ||||||||||
Zinc | 101 | 3/14/22 | (9,293,894 | ) | (343,400 | ) | ||||||||||
Zinc | 2 | 12/19/22 | (178,750 | ) | (4,075 | ) | ||||||||||
$ | (81,025,550 | ) | $ | (6,925,383 | ) | |||||||||||
Long Exposure | ||||||||||||||||
Aluminum | 219 | 6/13/22 | $ | 18,426,113 | $ | 4,950,074 | ||||||||||
Aluminum | 254 | 12/19/22 | 21,078,825 | 2,326,202 | ||||||||||||
Bitcoin | 41 | 3/25/22 | 8,610,000 | 419,685 | ||||||||||||
Brent Crude | 279 | 5/31/22 | 25,919,100 | 3,629,190 | ||||||||||||
Cattle Feeder | 14 | 8/25/22 | 1,260,525 | (31,275 | ) | |||||||||||
Cocoa | 146 | 7/14/22 | 3,730,300 | (229,890 | ) | |||||||||||
Coffee “C” | 85 | 12/19/22 | 7,264,312 | (310,256 | ) | |||||||||||
Copper | 186 | 12/19/22 | 45,632,775 | 524,912 | ||||||||||||
Corn | 512 | 9/14/22 | 15,929,600 | 1,711,394 | ||||||||||||
Cotton No. 2 | 54 | 12/07/22 | 2,709,720 | (108,745 | ) | |||||||||||
Gasoline RBOB | 87 | 11/30/22 | 8,733,060 | 1,544,453 | ||||||||||||
Gold 100 Ounce | 131 | 8/29/22 | 24,986,940 | 1,075,580 | ||||||||||||
HRW Wheat | 101 | 7/14/22 | 4,750,788 | 946,525 | ||||||||||||
Lean Hogs | 122 | 4/14/22 | 5,050,800 | 714,050 | ||||||||||||
Live Cattle | 98 | 6/30/22 | 5,397,840 | 63,470 | ||||||||||||
Low Sulphur Gasoil | 95 | 5/12/22 | 7,885,000 | 1,212,253 | ||||||||||||
Nickel | 66 | 5/16/22 | 9,644,184 | 1,716,120 |
See Notes to Financial Statements.
122 | WisdomTree Trust |
Table of Contents
Schedule of Investments (unaudited) (concluded)
WisdomTree Enhanced Commodity Strategy Fund (GCC) (consolidated)
February 28, 2022
FINANCIAL DERIVATIVE INSTRUMENTS | ||||||||||||||||
FUTURES CONTRACTS (EXCHANGE-TRADED) | ||||||||||||||||
Long Exposure | Contracts | Expiration Date | Notional Value | Unrealized Appreciation/ (Depreciation) | ||||||||||||
Nickel | 55 | 3/14/22 | $ | 8,118,330 | $ | 1,533,921 | ||||||||||
Nickel | 73 | 4/14/22 | 10,716,108 | 426,630 | ||||||||||||
Nickel | 70 | 6/13/22 | 10,159,380 | 1,439,304 | ||||||||||||
NY Harbor ULSD | 109 | 3/31/22 | 13,419,491 | 2,237,722 | ||||||||||||
Platinum | 81 | 4/27/22 | 4,206,735 | 322,245 | ||||||||||||
Silver | 108 | 5/26/22 | 13,157,640 | 184,370 | ||||||||||||
Soybean Oil | 159 | 12/14/22 | 6,149,484 | 239,556 | ||||||||||||
Soybeans | 194 | 11/14/22 | 13,926,775 | 1,889,662 | ||||||||||||
Sugar No.11 | 281 | 4/29/22 | 5,570,544 | (1,232 | ) | |||||||||||
Wheat | 303 | 7/14/22 | 13,892,550 | 2,513,388 | ||||||||||||
WTI Crude Oil | 261 | 3/22/22 | 24,982,920 | 1,556,760 | ||||||||||||
Zinc | 101 | 3/14/22 | 9,293,894 | 1,098,083 | ||||||||||||
Zinc | 118 | 12/19/22 | 10,546,250 | 489,825 | ||||||||||||
$ | 361,149,983 | $ | 34,083,976 | |||||||||||||
Total – Net |
| $ | 280,124,433 | $ | 27,158,593 |
FAIR VALUATION SUMMARY |
The following is a summary of the fair valuations according to the inputs used as of February 28, 2022 in valuing the Fund’s investments (See Note 2 — Fair Value Measurement):
Quoted Markets | Other Significant Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | |||||||||||||
Assets: |
| |||||||||||||||
Investments in Securities | ||||||||||||||||
U.S. Government Obligations | $ | — | $ | 212,147,857 | $ | — | $ | 212,147,857 | ||||||||
Exchange-Traded Fund | 12,536,201 | — | — | 12,536,201 | ||||||||||||
Total Investments in Securities | $ | 12,536,201 | $ | 212,147,857 | $ | — | $ | 224,684,058 | ||||||||
Financial Derivative Instruments | ||||||||||||||||
Futures Contracts1 | $ | 34,765,374 | $ | — | $ | — | $ | 34,765,374 | ||||||||
Liabilities: |
| |||||||||||||||
Financial Derivative Instruments | ||||||||||||||||
Futures Contracts1 | $ | (7,606,781 | ) | $ | — | $ | — | $ | (7,606,781 | ) | ||||||
Total – Net | $ | 39,694,794 | $ | 212,147,857 | $ | — | $ | 251,842,651 |
1 | Amount shown represents the unrealized appreciation (depreciation) on the financial instrument. |
See Notes to Financial Statements.
WisdomTree Trust | 123 |
Table of Contents
Schedule of Investments (unaudited)
WisdomTree Managed Futures Strategy Fund (WTMF) (consolidated)
February 28, 2022
Investments | Principal Amount | Value | ||||||
U.S. GOVERNMENT OBLIGATIONS – 81.2% |
| |||||||
U.S. Treasury Bills – 81.2% |
| |||||||
0.05%, 3/17/22* | $ | 112,000,000 | $ | 111,998,942 | ||||
0.10%, 5/19/22*(a) | 5,615,000 | 5,611,312 | ||||||
TOTAL U.S. GOVERNMENT OBLIGATIONS (Cost: $117,611,678) |
| 117,610,254 | ||||||
Investments | Shares | Value | ||||||
EXCHANGE-TRADED FUND – 4.2% |
| |||||||
United States – 4.2% |
| |||||||
WisdomTree Floating Rate Treasury Fund(b) | ||||||||
(Cost: $6,047,350) | 241,176 | $ | 6,060,753 | |||||
TOTAL INVESTMENTS IN SECURITIES – 85.4% (Cost: $123,659,028) |
| 123,671,007 | ||||||
Other Assets less Liabilities – 14.6% |
| 21,114,479 | ||||||
|
| |||||||
NET ASSETS – 100.0% |
| $ | 144,785,486 |
* | Interest rate shown reflects the yield to maturity at the time of purchase. |
(a) | All or a portion of this security is held by the broker as collateral for open futures contracts. The securities collateral posted was comprised entirely of U.S. Treasury securities having a market value of $5,611,312 as of February 28, 2022. |
(b) | Affiliated holding. See “Investment in Affiliates” supplementary table included in this Schedule of Investments for additional information. |
INVESTMENT IN AFFILIATES |
Affiliated holdings are investments in entities in which the Fund owns 5% or more of the outstanding voting securities or are investments in entities which are under common ownership or control. Investments in affiliates during the six-month fiscal period ended February 28, 2022 were as follows:
Affiliate | Value at 8/31/2021 | Purchases/ Additions | Sales/ Reductions | Realized Gain/(Loss) | Change in Unrealized Appreciation/ Depreciation | Value at 2/28/2022 | Dividend Income | Capital Gain Distributions | ||||||||||||||||||||||||
WisdomTree Floating Rate Treasury Fund | $ | 5,997,796 | $ | 507,926 | $ | 451,751 | $ | (422 | ) | $ | 7,204 | $ | 6,060,753 | $ | — | $ | 506 |
FINANCIAL DERIVATIVE INSTRUMENTS | ||||||||||||||||
FUTURES CONTRACTS (EXCHANGE-TRADED) | ||||||||||||||||
Short Exposure | Contracts | Expiration Date | Notional Value | Unrealized Appreciation/ (Depreciation) | ||||||||||||
Aluminum | 1 | 3/14/22 | $ | (84,350 | ) | $ | (1,444 | ) | ||||||||
Cattle Feeder | 30 | 3/31/22 | (2,365,875 | ) | 135,000 | |||||||||||
Gold 100 Ounce | 14 | 4/27/22 | (2,660,980 | ) | (135,240 | ) | ||||||||||
Lead | 1 | 3/14/22 | (59,806 | ) | (1,106 | ) | ||||||||||
Sugar No. 11 | 127 | 4/29/22 | (2,517,648 | ) | 11 | |||||||||||
Zinc | 1 | 3/14/22 | (92,019 | ) | (1,575 | ) | ||||||||||
$ | (7,780,678 | ) | $ | (4,354 | ) | |||||||||||
Long Exposure | ||||||||||||||||
10 Year U.S. Treasury Note | 56 | 6/21/22 | $ | 7,136,500 | $ | (6,250 | ) | |||||||||
Aluminum | 34 | 3/14/22 | 2,867,900 | 270,300 | ||||||||||||
Brent Crude | 28 | 3/31/22 | 2,743,160 | 231,840 | ||||||||||||
Copper | 11 | 3/14/22 | 2,727,725 | 16,087 | ||||||||||||
Corn | 81 | 5/13/22 | 2,797,537 | 297,675 | ||||||||||||
E-Mini Russell 2000 Index | 57 | 3/18/22 | 5,826,825 | (450,370 | ) | |||||||||||
Euro Stoxx 50 | 119 | 3/18/22 | 5,248,862 | (511,921 | ) | |||||||||||
Gasoline RBOB | 22 | 3/31/22 | 2,709,630 | 180,919 | ||||||||||||
HRW Wheat | 64 | 5/13/22 | 3,049,600 | 576,800 | ||||||||||||
Lead | 46 | 3/14/22 | 2,751,088 | 224,244 | ||||||||||||
Lean Hogs | 63 | 4/14/22 | 2,608,200 | 128,120 | ||||||||||||
Live Cattle | 43 | 4/29/22 | 2,432,510 | (17,630 | ) | |||||||||||
Low Sulphur Gasoil | 32 | 4/12/22 | 2,735,200 | 243,200 | ||||||||||||
Natural Gas | 51 | 3/29/22 | 2,245,020 | (162,180 | ) | |||||||||||
Nickel | 19 | 3/14/22 | 2,804,514 | 177,954 | ||||||||||||
Nikkei 225 | 23 | 6/09/22 | 5,252,008 | (137,703 | ) | |||||||||||
NY Harbor ULSD | 22 | 3/31/22 | 2,708,521 | 194,872 | ||||||||||||
S&P 500 E-Mini Index | 25 | 3/18/22 | 5,460,000 | (271,825 | ) |
See Notes to Financial Statements.
124 | WisdomTree Trust |
Table of Contents
Schedule of Investments (unaudited) (concluded)
WisdomTree Managed Futures Strategy Fund (WTMF) (consolidated)
February 28, 2022
FINANCIAL DERIVATIVE INSTRUMENTS | ||||||||||||||||
FUTURES CONTRACTS (EXCHANGE-TRADED) | ||||||||||||||||
Long Exposure | Contracts | Expiration Date | Notional Value | Unrealized Appreciation/ (Depreciation) | ||||||||||||
S&P/TSX 60 Index | 28 | 3/17/22 | $ | 5,631,127 | $ | 4,920 | ||||||||||
Tin | 12 | 3/14/22 | 2,728,140 | 144,120 | ||||||||||||
U.S. Dollar Index | 148 | 3/14/22 | 14,310,712 | 60,457 | ||||||||||||
U.S. Treasury Long Bond | 45 | 6/21/22 | 7,050,937 | 875 | ||||||||||||
Wheat | 65 | 5/13/22 | 3,035,500 | 571,187 | ||||||||||||
WTI Crude Oil | 29 | 3/22/22 | 2,775,880 | 210,830 | ||||||||||||
Zinc | 28 | 3/14/22 | 2,576,525 | 50,050 | ||||||||||||
$ | 102,213,621 | $ | 2,026,571 | |||||||||||||
Total – Net |
| $ | 94,432,943 | $ | 2,022,217 |
FAIR VALUATION SUMMARY |
The following is a summary of the fair valuations according to the inputs used as of February 28, 2022 in valuing the Fund’s investments (See Note 2 — Fair Value Measurement):
Quoted Prices in Active Markets (Level 1) | Other Significant Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | |||||||||||||
Assets: |
| |||||||||||||||
Investments in Securities | ||||||||||||||||
U.S. Government Obligations | $ | — | $ | 117,610,254 | $ | — | $ | 117,610,254 | ||||||||
Exchange-Traded Fund | 6,060,753 | — | — | 6,060,753 | ||||||||||||
Total Investments in Securities | $ | 6,060,753 | $ | 117,610,254 | $ | — | $ | 123,671,007 | ||||||||
Financial Derivative Instruments | ||||||||||||||||
Futures Contracts1 | $ | 3,719,461 | $ | — | $ | — | $ | 3,719,461 | ||||||||
Liabilities: |
| |||||||||||||||
Financial Derivative Instruments | ||||||||||||||||
Futures Contracts1 | $ | (1,697,244 | ) | $ | — | $ | — | $ | (1,697,244 | ) | ||||||
Total – Net | $ | 8,082,970 | $ | 117,610,254 | $ | — | $ | 125,693,224 |
1 | Amount shown represents the unrealized appreciation (depreciation) on the financial instrument. |
See Notes to Financial Statements.
WisdomTree Trust | 125 |
Table of Contents
Schedule of Investments (unaudited)
WisdomTree Target Range Fund (GTR)
February 28, 2022
Investments | Principal Amount | Value | ||||||
U.S. GOVERNMENT OBLIGATIONS – 64.9% |
| |||||||
U.S. Treasury Bill – 64.9% |
| |||||||
0.03%, 3/17/22* | ||||||||
(Cost: $16,868,774) | $ | 16,869,000 | $ | 16,868,841 |
PURCHASED OPTIONS (EXCHANGE-TRADED) – 15.0% | ||||||||||||||||||||||||||||
Call Options | Number of Contracts | Notional Amount(a) | Strike Price | Expiration Date | Premiums Paid | Unrealized Depreciation | ||||||||||||||||||||||
iShares MSCI EAFE ETF | 689 | $ | 4,616,300 | $ | 67 | 1/20/23 | $ | 850,629 | $ | (230,529 | ) | 620,100 | ||||||||||||||||
iShares MSCI Emerging Markets ETF | 542 | 2,276,400 | 42 | 1/20/23 | 503,359 | (123,959 | ) | 379,400 | ||||||||||||||||||||
iShares Russell 2000 ETF | 261 | 4,698,000 | 180 | 1/20/23 | 895,740 | (5,991 | ) | 889,749 | ||||||||||||||||||||
SPDR S&P 500 ETF Trust | 299 | 11,661,000 | 390 | 1/20/23 | 2,335,035 | (339,210 | ) | 1,995,825 | ||||||||||||||||||||
TOTAL PURCHASED OPTIONS (EXCHANGE-TRADED) (Cost: $4,584,763) |
| 3,885,074 | ||||||||||||||||||||||||||
TOTAL INVESTMENTS IN SECURITIES – 79.9% (Cost: $21,453,537) |
| 20,753,915 | ||||||||||||||||||||||||||
Other Assets less Liabilities – 20.1% |
| 5,237,181 | ||||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||
NET ASSETS – 100.0% |
| $ | 25,991,096 |
* | Interest rate shown reflects the yield to maturity at the time of purchase. |
(a) | Notional amount is derived by multiplying the number of contracts, the contract size (typically 100), and the contract strike price. |
FINANCIAL DERIVATIVE INSTRUMENTS | ||||||||||||||||||||||||||||
WRITTEN OPTION CONTRACTS (EXCHANGE-TRADED) | ||||||||||||||||||||||||||||
Call Options | Number of Contracts | Notional Amount1 | Strike Price | Expiration Date | Premiums Received | Unrealized Appreciation | Value | |||||||||||||||||||||
iShares MSCI EAFE ETF | (689 | ) | $ | (6,201,000 | ) | $ | 90 | 1/20/2023 | $ | (48,707 | ) | $ | 30,104 | $ | (18,603 | ) | ||||||||||||
iShares MSCI Emerging Markets ETF | (542 | ) | (3,089,400 | ) | 57 | 1/20/2023 | (75,142 | ) | 32,866 | (42,276 | ) | |||||||||||||||||
iShares Russell 2000 ETF | (261 | ) | (6,264,000 | ) | 240 | 1/20/2023 | (147,828 | ) | 7,932 | (139,896 | ) | |||||||||||||||||
SPDR S&P 500 ETF Trust | (299 | ) | (15,697,500 | ) | 525 | 1/20/2023 | (172,702 | ) | 72,537 | (100,165 | ) | |||||||||||||||||
$ | (444,379 | ) | $ | 143,439 | $ | (300,940 | ) |
1 | Notional amount is derived by multiplying the number of contracts, the contract size (typically 100), and the contract strike price. |
See Notes to Financial Statements.
126 | WisdomTree Trust |
Table of Contents
Schedule of Investments (unaudited) (concluded)
WisdomTree Target Range Fund (GTR)
February 28, 2022
FAIR VALUATION SUMMARY |
The following is a summary of the fair valuations according to the inputs used as of February 28, 2022 in valuing the Fund’s investments (See Note 2 — Fair Value Measurement):
Quoted Prices in Active Markets (Level 1) | Other Significant Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | |||||||||||||
Assets: |
| |||||||||||||||
Investments in Securities | ||||||||||||||||
U.S. Government Obligations | $ | — | $ | 16,868,841 | $ | — | $ | 16,868,841 | ||||||||
Purchased Options | — | 3,885,074 | — | 3,885,074 | ||||||||||||
Total Investments in Securities | $ | — | $ | 20,753,915 | $ | — | $ | 20,753,915 | ||||||||
Liabilities: |
| |||||||||||||||
Financial Derivative Instruments | ||||||||||||||||
Written Options1 | $ | — | $ | (300,940 | ) | $ | — | $ | (300,940 | ) | ||||||
Total – Net | $ | — | $ | 20,452,975 | $ | — | $ | 20,452,975 |
1 | Amount shown represents the market value of the financial instrument. |
See Notes to Financial Statements.
WisdomTree Trust | 127 |
Table of Contents
Statements of Assets and Liabilities (unaudited)
WisdomTree Trust
February 28, 2022
WisdomTree Bloomberg U.S. Dollar Bullish Fund | WisdomTree Chinese Yuan Strategy Fund | WisdomTree Emerging Currency Strategy Fund | WisdomTree Emerging Markets Corporate Bond Fund | WisdomTree Emerging Markets Local Debt Fund | ||||||||||||||||
ASSETS: | ||||||||||||||||||||
Investments, at cost | $ | 102,683,902 | $ | 20,934,054 | $ | 9,294,241 | $ | 68,619,173 | $ | 130,149,435 | ||||||||||
Investment in affiliates, at cost (Note 3) | 4,645,341 | 1,621,671 | 567,357 | — | — | |||||||||||||||
Repurchase agreements, at cost | — | 10,790,000 | 3,930,000 | — | 2,030,000 | |||||||||||||||
Foreign currency, at cost | — | 112 | — | — | 538,513 | |||||||||||||||
Investments in securities, at value1,2 (Note 2) | 102,679,699 | 20,932,634 | 9,293,649 | 61,610,996 | 109,061,715 | |||||||||||||||
Investment in affiliates, at value (Note 3) | 4,649,050 | 1,623,398 | 567,938 | — | — | |||||||||||||||
Repurchase agreements, at value (Note 2) | — | 10,790,000 | 3,930,000 | — | 2,030,000 | |||||||||||||||
Cash | 580,104 | 83,885 | 50,663 | 258,010 | 359,117 | |||||||||||||||
Deposits at broker for futures contracts | — | — | — | 166,270 | — | |||||||||||||||
Foreign currency, at value | — | 112 | — | — | 522,134 | |||||||||||||||
Unrealized appreciation on foreign currency contracts | 269,774 | 469,980 | 188,523 | — | 58,218 | |||||||||||||||
Receivables: | ||||||||||||||||||||
Investment securities sold | 26,084,609 | 10,214,890 | 3,781,957 | — | 956,849 | |||||||||||||||
Dividends | — | — | — | — | 173 | |||||||||||||||
Securities lending income | — | — | — | 556 | — | |||||||||||||||
Interest | — | 18 | 7 | 788,831 | 2,015,768 | |||||||||||||||
Foreign tax reclaims | — | — | — | — | 151,138 | |||||||||||||||
Total Assets | 134,263,236 | 44,114,917 | 17,812,737 | 62,824,663 | 115,155,112 | |||||||||||||||
LIABILITIES: | ||||||||||||||||||||
Unrealized depreciation on foreign currency contracts | 671,988 | 30,676 | 345,207 | — | 20,926 | |||||||||||||||
Payables: | ||||||||||||||||||||
Cash collateral received for securities loaned (Note 2) | — | — | — | 2,640,998 | — | |||||||||||||||
Investment securities purchased | 26,104,566 | 10,215,566 | 3,786,503 | — | 2,256,573 | |||||||||||||||
Advisory fees (Note 3) | 41,465 | 11,432 | 5,853 | 29,361 | 49,465 | |||||||||||||||
Service fees (Note 2) | 371 | 114 | 47 | 215 | 396 | |||||||||||||||
Net variation margin on futures contracts | — | — | — | 72,304 | — | |||||||||||||||
Foreign capital gains tax | — | — | — | — | 65,049 | |||||||||||||||
Total Liabilities | 26,818,390 | 10,257,788 | 4,137,610 | 2,742,878 | 2,392,409 | |||||||||||||||
NET ASSETS | $ | 107,444,846 | $ | 33,857,129 | $ | 13,675,127 | $ | 60,081,785 | $ | 112,762,703 | ||||||||||
NET ASSETS: | ||||||||||||||||||||
Paid-in capital | $ | 118,522,199 | $ | 33,057,857 | $ | 61,970,251 | $ | 75,554,005 | $ | 158,762,947 | ||||||||||
Total distributable earnings (loss) | (11,077,353 | ) | 799,272 | (48,295,124 | ) | (15,472,220 | ) | (46,000,244 | ) | |||||||||||
NET ASSETS | $ | 107,444,846 | $ | 33,857,129 | $ | 13,675,127 | $ | 60,081,785 | $ | 112,762,703 | ||||||||||
Outstanding beneficial interest shares of $0.001 par value (unlimited number of shares authorized) | 4,100,000 | 1,250,000 | 800,000 | 900,000 | 3,900,000 | |||||||||||||||
Net asset value per share | $ | 26.21 | $ | 27.09 | $ | 17.09 | $ | 66.76 | $ | 28.91 | ||||||||||
1 Includes market value of securities out on loan of: | — | — | — | $ | 4,588,634 | — | ||||||||||||||
2 Investments in securities include investment of cash collateral for securities loaned (see Schedule of Investments for additional information). |
|
See Notes to Financial Statements.
128 | WisdomTree Trust |
Table of Contents
Statements of Assets and Liabilities (unaudited) (continued)
WisdomTree Trust
February 28, 2022
WisdomTree Floating Rate Treasury Fund | WisdomTree Interest Rate Hedged High Yield Bond Fund | WisdomTree Interest Rate Hedged U.S. Aggregate Bond Fund | WisdomTree Mortgage Plus Bond Fund | WisdomTree Yield Enhanced U.S. Aggregate Bond Fund | ||||||||||||||||
ASSETS: | ||||||||||||||||||||
Investments, at cost | $ | 2,379,319,444 | $ | 228,026,385 | $ | 312,965,598 | $ | 39,288,736 | $ | 1,099,602,159 | ||||||||||
Repurchase agreements, at cost | — | — | 22,060,000 | — | 195,430,000 | |||||||||||||||
Investments in securities, at value1,2 (Note 2) | 2,381,586,944 | 220,244,849 | 307,940,982 | 38,654,991 | 1,063,088,713 | |||||||||||||||
Repurchase agreements, at value (Note 2) | — | — | 22,060,000 | — | 195,430,000 | |||||||||||||||
Cash | 90,084 | 4,988,430 | 627,953 | 11,462,351 | 1,731,989 | |||||||||||||||
Deposits at broker for futures contracts | — | 1,665,825 | 5,803,308 | 29,840 | — | |||||||||||||||
Deposits at broker for securities sold short | — | — | — | — | 477,000 | |||||||||||||||
Receivables: | ||||||||||||||||||||
Investment securities sold3 | 163,648,549 | — | 6,003,099 | 3,826,466 | 33,033,359 | |||||||||||||||
Due from broker for securities sold short (Note 2) | — | — | — | — | 11,919,961 | |||||||||||||||
Capital shares sold | 35,188,192 | — | — | — | 1,025 | |||||||||||||||
Securities lending income | — | 3,610 | 584 | — | 834 | |||||||||||||||
Interest | 690,278 | 3,154,661 | 1,410,471 | 87,718 | 6,159,418 | |||||||||||||||
Net variation margin on futures contracts | — | — | — | 18,250 | — | |||||||||||||||
Total Assets | 2,581,204,047 | 230,057,375 | 343,846,397 | 54,079,616 | 1,311,842,299 | |||||||||||||||
LIABILITIES: | ||||||||||||||||||||
Securities sold short, at value4 | — | — | — | — | 11,897,879 | |||||||||||||||
Payables: | ||||||||||||||||||||
Cash collateral received for securities loaned (Note 2) | — | 12,988,548 | 1,605,325 | — | 6,802,218 | |||||||||||||||
Investment securities purchased | 198,925,902 | — | 34,217,000 | 14,699,120 | 243,830,996 | |||||||||||||||
Advisory fees (Note 3) | 249,604 | 71,750 | 50,200 | 13,584 | 97,094 | |||||||||||||||
Service fees (Note 2) | 7,322 | 734 | 960 | 133 | 3,560 | |||||||||||||||
Net variation margin on futures contracts | — | 1,033,777 | 2,769,031 | — | — | |||||||||||||||
Interest on securities sold short | — | — | — | — | 15,053 | |||||||||||||||
Total Liabilities | 199,182,828 | 14,094,809 | 38,642,516 | 14,712,837 | 262,646,800 | |||||||||||||||
NET ASSETS | $ | 2,382,021,219 | $ | 215,962,566 | $ | 305,203,881 | $ | 39,366,779 | $ | 1,049,195,499 | ||||||||||
NET ASSETS: | ||||||||||||||||||||
Paid-in capital | $ | 2,379,361,236 | $ | 247,629,661 | $ | 314,900,478 | $ | 40,587,416 | $ | 1,096,189,750 | ||||||||||
Total distributable earnings (loss) | 2,659,983 | (31,667,095 | ) | (9,696,597 | ) | (1,220,637 | ) | (46,994,251 | ) | |||||||||||
NET ASSETS | $ | 2,382,021,219 | $ | 215,962,566 | $ | 305,203,881 | $ | 39,366,779 | $ | 1,049,195,499 | ||||||||||
Outstanding beneficial interest shares of $0.001 par value (unlimited number of shares authorized) | 47,387,500 | * | 10,000,000 | 6,600,000 | 800,000 | 21,200,000 | ||||||||||||||
Net asset value per share | $ | 50.27 | * | $ | 21.60 | $ | 46.24 | $ | 49.21 | $ | 49.49 | |||||||||
* Shares outstanding and net asset value per share were adjusted to reflect a 1:2 reverse stock split effective March 24, 2022 (Note 7). |
| |||||||||||||||||||
1 Includes market value of securities out on loan of: | — | $ | 12,664,710 | $ | 3,987,587 | — | $ | 6,564,062 | ||||||||||||
2 Investments in securities include investment of cash collateral for securities loaned (see Schedule of Investments for additional information). |
| |||||||||||||||||||
3 Includes market value of securities out on loan, which were sold and pending settlement, of: | — | — | $ | 22,280 | — | $ | 440,721 | |||||||||||||
4 Securities sold short, proceeds: | — | — | — | — | $ | 11,904,908 |
See Notes to Financial Statements.
WisdomTree Trust | 129 |
Table of Contents
Statements of Assets and Liabilities (unaudited) (continued)
WisdomTree Trust
February 28, 2022
WisdomTree Yield Enhanced U.S. Short-Term Aggregate Bond Fund | WisdomTree Alternative Income Fund | WisdomTree CBOE S&P 500 PutWrite Strategy Fund | WisdomTree Efficient Gold Plus Gold Miners Strategy Fund (consolidated) | WisdomTree Enhanced Commodity Strategy Fund (consolidated) | ||||||||||||||||
ASSETS: | ||||||||||||||||||||
Investments, at cost | $ | 156,263,602 | $ | 8,132,362 | $ | 76,404,398 | $ | 3,627,681 | $ | 212,155,999 | ||||||||||
Investment in affiliates, at cost (Note 3) | — | — | 4,046,520 | — | 12,531,362 | |||||||||||||||
Foreign currency, at cost | — | — | — | 405 | — | |||||||||||||||
Investments in securities, at value1,2 (Note 2) | 152,599,429 | 7,442,492 | 76,414,218 | 3,900,715 | 212,147,857 | |||||||||||||||
Investment in affiliates, at value (Note 3) | — | — | 4,055,404 | — | 12,536,201 | |||||||||||||||
Cash | 168,974 | 19,013 | 14,597,584 | 281,300 | 47,795,658 | |||||||||||||||
Deposits at broker for futures contracts | — | — | — | 102,001 | 7,182,689 | |||||||||||||||
Foreign currency, at value | — | — | — | 441 | — | |||||||||||||||
Unrealized appreciation on foreign currency contracts | — | — | — | 4 | — | |||||||||||||||
Receivables: | ||||||||||||||||||||
Investment securities sold | 10,728,550 | — | — | 122,765 | — | |||||||||||||||
Capital shares sold | — | — | 1,065 | 1,473,224 | — | |||||||||||||||
Dividends | — | 9,629 | — | 2,663 | — | |||||||||||||||
Interest | 577,023 | — | — | — | — | |||||||||||||||
Net variation margin on futures contracts | — | — | — | — | 1,040,314 | |||||||||||||||
Total Assets | 164,073,976 | 7,471,134 | 95,068,271 | 5,883,113 | 280,702,719 | |||||||||||||||
LIABILITIES: | ||||||||||||||||||||
Unrealized depreciation on foreign currency contracts | — | — | — | 11 | — | |||||||||||||||
Written options, at value3 | — | — | 2,112,420 | — | — | |||||||||||||||
Payables: | ||||||||||||||||||||
Cash collateral received for securities loaned (Note 2) | — | 3,800 | — | — | — | |||||||||||||||
Investment securities purchased | 20,402,314 | — | — | 1,417,769 | 1,004,763 | |||||||||||||||
Advisory fees (Note 3) | 13,226 | 2,923 | 28,986 | 881 | 108,492 | |||||||||||||||
Service fees (Note 2) | 485 | 26 | 294 | — | 793 | |||||||||||||||
Net variation margin on futures contracts | — | — | — | 44,866 | — | |||||||||||||||
Total Liabilities | 20,416,025 | 6,749 | 2,141,700 | 1,463,527 | 1,114,048 | |||||||||||||||
NET ASSETS | $ | 143,657,951 | $ | 7,464,385 | $ | 92,926,571 | $ | 4,419,586 | $ | 279,588,671 | ||||||||||
NET ASSETS: | ||||||||||||||||||||
Paid-in capital | $ | 147,833,071 | $ | 8,453,786 | $ | 101,853,476 | $ | 3,999,097 | $ | 250,613,383 | ||||||||||
Total distributable earnings (loss) | (4,175,120 | ) | (989,401 | ) | (8,926,905 | ) | 420,489 | 28,975,288 | ||||||||||||
NET ASSETS | $ | 143,657,951 | $ | 7,464,385 | $ | 92,926,571 | $ | 4,419,586 | $ | 279,588,671 | ||||||||||
Outstanding beneficial interest shares of $0.001 par value (unlimited number of shares authorized) | 2,900,000 | 320,000 | 2,750,000 | 150,000 | 11,950,000 | |||||||||||||||
Net asset value per share | $ | 49.54 | $ | 23.33 | $ | 33.79 | $ | 29.46 | $ | 23.40 | ||||||||||
1 Includes market value of securities out on loan of: | — | $ | 3,718 | — | — | — | ||||||||||||||
2 Investments in securities include investment of cash collateral for securities loaned (see Schedule of Investments for additional information). |
| |||||||||||||||||||
3 Premiums received on written options: | — | — | $ | 2,682,380 | — | — |
See Notes to Financial Statements.
130 | WisdomTree Trust |
Table of Contents
Statements of Assets and Liabilities (unaudited) (concluded)
WisdomTree Trust
February 28, 2022
WisdomTree Futures | WisdomTree Target Range Fund | |||||||
ASSETS: | ||||||||
Investments, at cost | $ | 117,611,678 | $ | 21,453,537 | ||||
Investment in affiliates, at cost (Note 3) | 6,047,350 | — | ||||||
Investments in securities, at value | 117,610,254 | 20,753,915 | ||||||
Investment in affiliates, at value (Note 3) | 6,060,753 | — | ||||||
Cash | 19,548,142 | 5,550,955 | ||||||
Deposits at broker for futures contracts | 788,479 | — | ||||||
Foreign currency, at value | 3,296 | — | ||||||
Receivables: | ||||||||
Net variation margin on futures contracts | 846,977 | — | ||||||
Total Assets | 144,857,901 | 26,304,870 | ||||||
LIABILITIES: | ||||||||
Written options, at value1 | — | 300,940 | ||||||
Payables: | ||||||||
Advisory fees (Note 3) | 71,923 | 12,754 | ||||||
Service fees (Note 2) | 492 | 80 | ||||||
Total Liabilities | 72,415 | 313,774 | ||||||
NET ASSETS | $ | 144,785,486 | $ | 25,991,096 | ||||
NET ASSETS: | ||||||||
Paid-in capital | $ | 182,879,311 | $ | 27,130,844 | ||||
Total distributable earnings (loss) | (38,093,825 | ) | (1,139,748 | ) | ||||
NET ASSETS | $ | 144,785,486 | $ | 25,991,096 | ||||
Outstanding beneficial interest shares of $0.001 par value (unlimited number of shares authorized) | 4,100,000 | 1,075,000 | ||||||
Net asset value per share | $ | 35.31 | $ | 24.18 | ||||
1 Premiums received on written options: | — | $ | 444,379 |
See Notes to Financial Statements.
WisdomTree Trust | 131 |
Table of Contents
Statements of Operations (unaudited)
WisdomTree Trust
For the Six Months Ended February 28, 2022
WisdomTree Bloomberg U.S. Dollar Bullish Fund | WisdomTree Chinese Yuan Strategy Fund | WisdomTree Emerging Currency Strategy Fund | WisdomTree Emerging Markets Corporate Bond Fund | WisdomTree Emerging Markets Local Debt Fund | ||||||||||||||||
INVESTMENT INCOME: | ||||||||||||||||||||
Interest | $ | 37,636 | $ | 9,660 | $ | 3,613 | $ | 1,245,297 | $ | 3,748,296 | ||||||||||
Securities lending income, net (Note 2) | — | — | — | 4,690 | 11 | |||||||||||||||
Less: Foreign withholding taxes | — | — | — | (1,193 | ) | (77,980 | ) | |||||||||||||
Total investment income | 37,636 | 9,660 | 3,613 | 1,248,794 | 3,670,327 | |||||||||||||||
EXPENSES: | ||||||||||||||||||||
Advisory fees (Note 3) | 336,665 | 86,596 | 38,596 | 178,078 | 333,716 | |||||||||||||||
Service fees (Note 2) | 2,963 | 847 | 309 | 1,306 | 2,670 | |||||||||||||||
Total expenses | 339,628 | 87,443 | 38,905 | 179,384 | 336,386 | |||||||||||||||
Expense waivers (Note 3) | (4,329 | ) | (1,288 | ) | (452 | ) | — | — | ||||||||||||
Net expenses | 335,299 | 86,155 | 38,453 | 179,384 | 336,386 | |||||||||||||||
Net investment income (loss) | (297,663 | ) | (76,495 | ) | (34,840 | ) | 1,069,410 | 3,333,941 | ||||||||||||
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS: | ||||||||||||||||||||
Net realized gain (loss) from: | ||||||||||||||||||||
Investment transactions1 | (4,115 | ) | (429 | ) | (74 | ) | (146,488 | ) | (3,197,496 | ) | ||||||||||
Investment transactions in affiliates (Note 3) | (921 | ) | (201 | ) | (88 | ) | — | — | ||||||||||||
In-kind redemptions | — | — | — | — | (334,294 | ) | ||||||||||||||
Capital gain distributions from affiliates (Note 3) | 489 | 152 | 47 | — | — | |||||||||||||||
Futures contracts | — | — | — | 219,165 | — | |||||||||||||||
Foreign currency contracts | 5,076,874 | 1,100,823 | (553,153 | ) | — | (303,629 | ) | |||||||||||||
Foreign currency related transactions | — | 1 | — | — | (184,556 | ) | ||||||||||||||
Net realized gain (loss) | 5,072,327 | 1,100,346 | (553,268 | ) | 72,677 | (4,019,975 | ) | |||||||||||||
Net increase (decrease) in unrealized appreciation/depreciation: | ||||||||||||||||||||
Investment transactions2 | (4,786 | ) | (1,547 | ) | (628 | ) | (8,155,913 | ) | (10,926,068 | ) | ||||||||||
Investment transactions in affiliates (Note 3) | 6,777 | 2,039 | 677 | — | — | |||||||||||||||
Futures contracts | — | — | — | (51,203 | ) | — | ||||||||||||||
Foreign currency contracts | (1,118,991 | ) | 371,593 | (259,710 | ) | — | 245,292 | |||||||||||||
Translation of assets and liabilities denominated in foreign currencies | — | — | — | — | (127,321 | ) | ||||||||||||||
Net increase/(decrease) in unrealized appreciation/depreciation | (1,117,000 | ) | 372,085 | (259,661 | ) | (8,207,116 | ) | (10,808,097 | ) | |||||||||||
Net realized and unrealized gain (loss) on investments | 3,955,327 | 1,472,431 | (812,929 | ) | (8,134,439 | ) | (14,828,072 | ) | ||||||||||||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | 3,657,664 | $ | 1,395,936 | $ | (847,769 | ) | $ | (7,065,029 | ) | $ | (11,494,131 | ) | |||||||
1 Net of foreign capital gains tax of: | — | — | — | — | $ | 42,248 | ||||||||||||||
2 Includes net increase (decrease) in accrued foreign capital gain taxes of: | — | — | — | — | $ | (61,318 | ) |
See Notes to Financial Statements.
132 | WisdomTree Trust |
Table of Contents
Statements of Operations (unaudited) (continued)
WisdomTree Trust
For the Six Months Ended February 28, 2022
WisdomTree Floating Rate Treasury Fund | WisdomTree Interest Rate Hedged High Yield Bond Fund | WisdomTree Interest Rate Hedged U.S. Aggregate Bond Fund | WisdomTree Mortgage Plus Bond Fund | WisdomTree Yield Enhanced U.S. Aggregate Bond Fund | ||||||||||||||||
INVESTMENT INCOME: | ||||||||||||||||||||
Interest | $ | 1,244,380 | $ | 4,388,809 | $ | 1,832,156 | $ | 256,136 | $ | 9,271,753 | ||||||||||
Securities lending income, net (Note 2) | — | 17,235 | 1,885 | — | 5,544 | |||||||||||||||
Total investment income | 1,244,380 | 4,406,044 | 1,834,041 | 256,136 | 9,277,297 | |||||||||||||||
EXPENSES: | ||||||||||||||||||||
Advisory fees (Note 3) | 1,228,624 | 415,674 | 272,520 | 89,679 | 649,140 | |||||||||||||||
Service fees (Note 2) | 36,040 | 4,253 | 5,213 | 877 | 23,802 | |||||||||||||||
Total expenses | 1,264,664 | 419,927 | 277,733 | 90,556 | 672,942 | |||||||||||||||
Net investment income (loss) | (20,284 | ) | 3,986,117 | 1,556,308 | 165,580 | 8,604,355 | ||||||||||||||
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS: | ||||||||||||||||||||
Net realized gain (loss) from: | ||||||||||||||||||||
Investment transactions | 393,984 | 45,753 | (683,449 | ) | (402,475 | ) | (8,677,997 | ) | ||||||||||||
In-kind redemptions | 19,149 | 1,370,395 | — | — | (108,997 | ) | ||||||||||||||
Futures contracts | — | 6,177,250 | 11,063,892 | 13,995 | — | |||||||||||||||
Securities sold short | — | — | — | — | 34,316 | |||||||||||||||
Net realized gain (loss) | 413,133 | 7,593,398 | 10,380,443 | (388,480 | ) | (8,752,678 | ) | |||||||||||||
Net increase (decrease) in unrealized appreciation/depreciation: | ||||||||||||||||||||
Investment transactions | 1,976,879 | (12,367,523 | ) | (10,933,208 | ) | (899,974 | ) | (55,466,054 | ) | |||||||||||
Futures contracts | — | (984,701 | ) | (2,356,507 | ) | 20,903 | — | |||||||||||||
Securities sold short | — | — | — | — | 17,449 | |||||||||||||||
Net increase (decrease) in unrealized appreciation/depreciation | 1,976,879 | (13,352,224 | ) | (13,289,715 | ) | (879,071 | ) | (55,448,605 | ) | |||||||||||
Net realized and unrealized gain (loss) on investments | 2,390,012 | (5,758,826 | ) | (2,909,272 | ) | (1,267,551 | ) | (64,201,283 | ) | |||||||||||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | 2,369,728 | $ | (1,772,709 | ) | $ | (1,352,964 | ) | $ | (1,101,971 | ) | $ | (55,596,928 | ) |
See Notes to Financial Statements.
WisdomTree Trust | 133 |
Table of Contents
Statements of Operations (unaudited) (continued)
WisdomTree Trust
For the Six Months or Period Ended February 28, 2022
WisdomTree Yield Enhanced U.S. Short-Term Aggregate Bond Fund | WisdomTree Alternative Income Fund | WisdomTree CBOE S&P 500 PutWrite Strategy Fund | WisdomTree Efficient Gold Plus Gold Miners Strategy Fund1 (consolidated) | WisdomTree Enhanced Commodity Strategy Fund (consolidated) | ||||||||||||||||
INVESTMENT INCOME: | ||||||||||||||||||||
Dividends | $ | — | $ | 340,363 | $ | — | $ | 3,394 | $ | — | ||||||||||
Interest | 807,193 | — | 21,320 | — | 34,238 | |||||||||||||||
Less: Foreign withholding taxes | — | — | — | (293 | ) | — | ||||||||||||||
Total investment income | 807,193 | 340,363 | 21,320 | 3,101 | 34,238 | |||||||||||||||
EXPENSES: | ||||||||||||||||||||
Advisory fees (Note 3) | 98,584 | 27,884 | 158,989 | 1,660 | 582,398 | |||||||||||||||
Service fees (Note 2) | 3,615 | 245 | 1,590 | 16 | 4,659 | |||||||||||||||
Total expenses | 102,199 | 28,129 | 160,579 | 1,676 | 587,057 | |||||||||||||||
Expense waivers (Note 3) | — | — | (2,380 | ) | — | (6,884 | ) | |||||||||||||
Net expenses | 102,199 | 28,129 | 158,199 | 1,676 | 580,173 | |||||||||||||||
Net investment income (loss) | 704,994 | 312,234 | (136,879 | ) | 1,425 | (545,935 | ) | |||||||||||||
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS: | ||||||||||||||||||||
Net realized gain (loss) from: | ||||||||||||||||||||
Investment transactions | (615,978 | ) | (88,943 | ) | (2,731 | ) | 8,135 | (1,254 | ) | |||||||||||
Investment transactions in affiliates (Note 3) | — | — | — | — | (1,686 | ) | ||||||||||||||
In-kind redemptions | 22,127 | (135,838 | ) | — | — | — | ||||||||||||||
Capital gain distributions from affiliates (Note 3) | — | — | 259 | — | 725 | |||||||||||||||
Futures contracts | 31,290 | — | — | 40,283 | 18,802,603 | |||||||||||||||
Written options | — | — | 2,278,846 | — | — | |||||||||||||||
Foreign currency contracts | — | — | — | 2,824 | — | |||||||||||||||
Foreign currency related transactions | — | — | — | (2,798 | ) | — | ||||||||||||||
Net realized gain (loss) | (562,561 | ) | (224,781 | ) | 2,276,374 | 48,444 | 18,800,388 | |||||||||||||
Net increase (decrease) in unrealized appreciation/depreciation: | ||||||||||||||||||||
Investment transactions | (4,633,665 | ) | (741,439 | ) | 9,672 | 273,034 | (9,080 | ) | ||||||||||||
Investment transactions in affiliates (Note 3) | — | — | 3,171 | — | 9,538 | |||||||||||||||
Futures contracts | — | — | — | 97,557 | 16,909,817 | |||||||||||||||
Written options | — | — | (135,510 | ) | — | — | ||||||||||||||
Foreign currency contracts | — | — | — | (7 | ) | — | ||||||||||||||
Translation of assets and liabilities denominated in foreign currencies | — | — | — | 36 | — | |||||||||||||||
Net increase (decrease) in unrealized appreciation/depreciation | (4,633,665 | ) | (741,439 | ) | (122,667 | ) | 370,620 | 16,910,275 | ||||||||||||
Net realized and unrealized gain (loss) on investments | (5,196,226 | ) | (966,220 | ) | 2,153,707 | 419,064 | 35,710,663 | |||||||||||||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | (4,491,232 | ) | $ | (653,986 | ) | $ | 2,016,828 | $ | 420,489 | $ | 35,164,728 | ||||||||
1 For the period December 16, 2021 (commencement of operations) through February 28, 2022. |
|
See Notes to Financial Statements.
134 | WisdomTree Trust |
Table of Contents
Statements of Operations (unaudited) (concluded)
WisdomTree Trust
For the Six Months or Period Ended February 28, 2022
WisdomTree Managed Futures Strategy Fund (consolidated) | WisdomTree Target Range Fund1 | |||||||
INVESTMENT INCOME: | ||||||||
Interest | $ | 22,699 | $ | 799 | ||||
Total investment income | 22,699 | 799 | ||||||
EXPENSES: | ||||||||
Advisory fees (Note 3) | 475,228 | 26,827 | ||||||
Service fees (Note 2) | 3,216 | 169 | ||||||
Total expenses | 478,444 | 26,996 | ||||||
Expense waivers (Note 3) | (4,494 | ) | — | |||||
Net expenses | 473,950 | 26,996 | ||||||
Net investment loss | (451,251 | ) | (26,197 | ) | ||||
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS: | ||||||||
Net realized loss from: | ||||||||
Investment transactions | (2,117 | ) | (16,100 | ) | ||||
Investment transactions in affiliates (Note 3) | (422 | ) | — | |||||
Capital gain distributions from affiliates (Note 3) | 506 | — | ||||||
Purchased options | — | (550,863 | ) | |||||
Futures contracts | (4,084,360 | ) | — | |||||
Written options | — | 9,595 | ||||||
Foreign currency related transactions | (2,602 | ) | — | |||||
Net realized loss | (4,088,995 | ) | (557,368 | ) | ||||
Net increase (decrease) in unrealized appreciation/depreciation: | ||||||||
Investment transactions | (1,031 | ) | (699,622 | ) | ||||
Investment transactions in affiliates (Note 3) | 7,204 | — | ||||||
Futures contracts | 457,631 | — | ||||||
Written options | — | 143,439 | ||||||
Translation of assets and liabilities denominated in foreign currencies | 2,539 | — | ||||||
Net increase (decrease) in unrealized appreciation/depreciation | 466,343 | (556,183 | ) | |||||
Net realized and unrealized loss on investments | (3,622,652 | ) | (1,113,551 | ) | ||||
NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | (4,073,903 | ) | $ | (1,139,748 | ) | ||
1 For the period October 7, 2021 (commencement of operations) through February 28, 2022. |
See Notes to Financial Statements.
WisdomTree Trust | 135 |
Table of Contents
Statements of Changes in Net Assets
WisdomTree Trust
WisdomTree Bloomberg U.S. Dollar Bullish Fund | WisdomTree Chinese Yuan Strategy Fund | WisdomTree Emerging Currency Strategy Fund | ||||||||||||||||||||||
For the (unaudited) | For the Year Ended August 31, 2021 | For the (unaudited) | For the Year Ended August 31, 2021 | For the (unaudited) | For the Year Ended August 31, 2021 | |||||||||||||||||||
INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS: |
| |||||||||||||||||||||||
Net investment loss | $ | (297,663 | ) | $ | (443,952 | ) | $ | (76,495 | ) | $ | (172,964 | ) | $ | (34,840 | ) | $ | (75,889 | ) | ||||||
Net realized gain (loss) on investments and foreign currency contracts | 5,072,327 | (2,825,698 | ) | 1,100,346 | 3,481,168 | (553,268 | ) | 511,564 | ||||||||||||||||
Net increase (decrease) in unrealized appreciation/depreciation on investments and foreign currency contracts | (1,117,000 | ) | 1,984,623 | 372,085 | (767,212 | ) | (259,661 | ) | 74,129 | |||||||||||||||
Net increase (decrease) in net assets resulting from operations | 3,657,664 | (1,285,027 | ) | 1,395,936 | 2,540,992 | (847,769 | ) | 509,804 | ||||||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||||||||||
Distributable earnings | — | (526,430 | ) | (2,437,806 | ) | (150,971 | ) | — | (106,263 | ) | ||||||||||||||
CAPITAL SHARE TRANSACTIONS: | ||||||||||||||||||||||||
Net proceeds from sale of shares | 36,575,521 | 153,829,112 | — | 30,039,799 | 3,566,400 | 9,013,146 | ||||||||||||||||||
Cost of shares redeemed | (75,956,418 | ) | (92,800,455 | ) | (8,266,699 | ) | (13,771,152 | ) | (1,775,536 | ) | (7,216,742 | ) | ||||||||||||
Net increase (decrease) in net assets resulting from capital share transactions | (39,380,897 | ) | 61,028,657 | (8,266,699 | ) | 16,268,647 | 1,790,864 | 1,796,404 | ||||||||||||||||
Net Increase (Decrease) in Net Assets | (35,723,233 | ) | 59,217,200 | (9,308,569 | ) | 18,658,668 | 943,095 | 2,199,945 | ||||||||||||||||
NET ASSETS: | ||||||||||||||||||||||||
Beginning of period | $ | 143,168,079 | $ | 83,950,879 | $ | 43,165,698 | $ | 24,507,030 | $ | 12,732,032 | $ | 10,532,087 | ||||||||||||
End of period | $ | 107,444,846 | $ | 143,168,079 | $ | 33,857,129 | $ | 43,165,698 | $ | 13,675,127 | $ | 12,732,032 | ||||||||||||
SHARES CREATED AND REDEEMED: | ||||||||||||||||||||||||
Shares outstanding, beginning of period | 5,600,000 | 3,200,000 | 1,550,000 | 950,000 | 700,000 | 600,000 | ||||||||||||||||||
Shares created | 1,400,000 | 6,050,000 | — | 1,100,000 | 200,000 | 500,000 | ||||||||||||||||||
Shares redeemed | (2,900,000 | ) | (3,650,000 | ) | (300,000 | ) | (500,000 | ) | (100,000 | ) | (400,000 | ) | ||||||||||||
Shares outstanding, end of period | 4,100,000 | 5,600,000 | 1,250,000 | 1,550,000 | 800,000 | 700,000 |
See Notes to Financial Statements.
136 | WisdomTree Trust |
Table of Contents
Statements of Changes in Net Assets (continued)
WisdomTree Trust
WisdomTree Emerging Markets Corporate Bond Fund | WisdomTree Emerging Markets Local Debt Fund | WisdomTree Floating Rate Treasury Fund | ||||||||||||||||||||||
For the (unaudited) | For the Year Ended August 31, 2021 | For the (unaudited) | For the Year Ended August 31, 2021 | For the (unaudited) | For the Year Ended August 31, 2021 | |||||||||||||||||||
INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS: |
| |||||||||||||||||||||||
Net investment income (loss) | $ | 1,069,410 | $ | 1,620,791 | $ | 3,333,941 | $ | 6,618,940 | $ | (20,284 | ) | $ | (234,781 | ) | ||||||||||
Net realized gain (loss) on investments, futures contracts, foreign currency contracts and foreign currency related transactions | 72,677 | 969,599 | (4,019,975 | ) | (5,109,700 | ) | 413,133 | 1,696,997 | ||||||||||||||||
Net increase (decrease) in unrealized appreciation/depreciation on investments, futures contracts, foreign currency contracts and translation of assets and liabilities denominated in foreign currencies | (8,207,116 | ) | (449,926 | ) | (10,808,097 | ) | 3,202,750 | 1,976,879 | (1,459,432 | ) | ||||||||||||||
Net increase (decrease) in net assets resulting from operations | (7,065,029 | ) | 2,140,464 | (11,494,131 | ) | 4,711,990 | 2,369,728 | 2,784 | ||||||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||||||||||
Distributable earnings | (1,088,750 | ) | (1,598,500 | ) | (2,848,500 | ) | (2,002,000 | ) | (154,560 | ) | �� | (570,446 | ) | |||||||||||
Tax return of capital | — | — | — | (4,188,000 | ) | — | — | |||||||||||||||||
Total distributions to shareholders | (1,088,750 | ) | (1,598,500 | ) | (2,848,500 | ) | (6,190,000 | ) | (154,560 | ) | (570,446 | ) | ||||||||||||
CAPITAL SHARE TRANSACTIONS: | ||||||||||||||||||||||||
Net proceeds from sale of shares | 14,956,637 | 30,620,672 | — | 25,096,209 | 1,435,166,619 | 367,233,859 | ||||||||||||||||||
Cost of shares redeemed | — | (7,539,093 | ) | (7,678,205 | ) | (16,353,201 | ) | (141,815,681 | ) | (772,150,883 | ) | |||||||||||||
Net increase (decrease) in net assets resulting from capital share transactions | 14,956,637 | 23,081,579 | (7,678,205 | ) | 8,743,008 | 1,293,350,938 | (404,917,024 | ) | ||||||||||||||||
Net Increase (Decrease) in Net Assets | 6,802,858 | 23,623,543 | (22,020,836 | ) | 7,264,998 | 1,295,566,106 | (405,484,686 | ) | ||||||||||||||||
NET ASSETS: | ||||||||||||||||||||||||
Beginning of period | $ | 53,278,927 | $ | 29,655,384 | $ | 134,783,539 | $ | 127,518,541 | $ | 1,086,455,113 | $ | 1,491,939,799 | ||||||||||||
End of period | $ | 60,081,785 | $ | 53,278,927 | $ | 112,762,703 | $ | 134,783,539 | $ | 2,382,021,219 | $ | 1,086,455,113 | ||||||||||||
SHARES CREATED AND REDEEMED: | ||||||||||||||||||||||||
Shares outstanding, beginning of period | 700,000 | 400,000 | 4,150,000 | 3,900,000 | 21,637,500 | 1 | 29,700,000 | 1 | ||||||||||||||||
Shares created | 200,000 | 400,000 | — | 750,000 | 28,575,000 | 1 | 7,312,500 | 1 | ||||||||||||||||
Shares redeemed | — | (100,000 | ) | (250,000 | ) | (500,000 | ) | (2,825,000 | )1 | (15,375,000 | )1 | |||||||||||||
Shares outstanding, end of period | 900,000 | 700,000 | 3,900,000 | 4,150,000 | 47,387,500 | 1 | 21,637,500 | 1 | ||||||||||||||||
1 Shares were adjusted to reflect a 1:2 reverse stock split effective March 24, 2022 (Note 7). |
|
See Notes to Financial Statements.
WisdomTree Trust | 137 |
Table of Contents
Statements of Changes in Net Assets (continued)
WisdomTree Trust
WisdomTree Interest Rate Hedged High Yield Bond Fund | WisdomTree Interest Rate Hedged U.S. Aggregate Bond Fund | WisdomTree Mortgage Plus Bond Fund | ||||||||||||||||||||||
For the (unaudited) | For the Year Ended August 31, 2021 | For the (unaudited) | For the Year Ended August 31, 2021 | For the (unaudited) | For the Year Ended August 31, 2021 | |||||||||||||||||||
INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS: |
| |||||||||||||||||||||||
Net investment income | $ | 3,986,117 | $ | 5,944,241 | $ | 1,556,308 | $ | 1,997,868 | $ | 165,580 | $ | 308,414 | ||||||||||||
Net realized gain (loss) on investments and futures contracts | 7,593,398 | 4,366,387 | 10,380,443 | 840,702 | (388,480 | ) | 204,462 | |||||||||||||||||
Net increase (decrease) in unrealized appreciation/depreciation on investments and futures contracts | (13,352,224 | ) | 229,901 | (13,289,715 | ) | (1,479,089 | ) | (879,071 | ) | (182,614 | ) | |||||||||||||
Net increase from payment by affiliate | — | 53,005 | — | — | — | — | ||||||||||||||||||
Net increase (decrease) in net assets resulting from operations | (1,772,709 | ) | 10,593,534 | (1,352,964 | ) | 1,359,481 | (1,101,971 | ) | 330,262 | |||||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||||||||||
Distributable earnings | (3,988,500 | ) | (5,948,000 | ) | (1,947,875 | ) | (2,402,000 | ) | (284,800 | ) | (825,209 | ) | ||||||||||||
Tax return of capital | — | — | — | — | — | (3,401 | ) | |||||||||||||||||
Total distributions to shareholders | (3,988,500 | ) | (5,948,000 | ) | (1,947,875 | ) | (2,402,000 | ) | (284,800 | ) | (828,610 | ) | ||||||||||||
CAPITAL SHARE TRANSACTIONS: | ||||||||||||||||||||||||
Net proceeds from sale of shares | 85,935,679 | 94,738,737 | 93,175,127 | 145,849,677 | — | 10,265,975 | ||||||||||||||||||
Cost of shares redeemed | (30,659,065 | ) | (61,314,239 | ) | — | (23,565,595 | ) | — | (102 | ) | ||||||||||||||
Net increase in net assets resulting from capital share transactions | 55,276,614 | 33,424,498 | 93,175,127 | 122,284,082 | — | 10,265,873 | ||||||||||||||||||
Net Increase (Decrease) in Net Assets | 49,515,405 | 38,070,032 | 89,874,288 | 121,241,563 | (1,386,771 | ) | 9,767,525 | |||||||||||||||||
NET ASSETS: | ||||||||||||||||||||||||
Beginning of period | $ | 166,447,161 | $ | 128,377,129 | $ | 215,329,593 | $ | 94,088,030 | $ | 40,753,550 | $ | 30,986,025 | ||||||||||||
End of period | $ | 215,962,566 | $ | 166,447,161 | $ | 305,203,881 | $ | 215,329,593 | $ | 39,366,779 | $ | 40,753,550 | ||||||||||||
SHARES CREATED AND REDEEMED: | ||||||||||||||||||||||||
Shares outstanding, beginning of period | 7,500,000 | 6,000,000 | 4,600,000 | 2,000,000 | 800,000 | 600,002 | ||||||||||||||||||
Shares created | 3,900,000 | 4,300,000 | 2,000,000 | 3,100,000 | — | 200,000 | ||||||||||||||||||
Shares redeemed | (1,400,000 | ) | (2,800,000 | ) | — | (500,000 | ) | — | (2 | ) | ||||||||||||||
Shares outstanding, end of period | 10,000,000 | 7,500,000 | 6,600,000 | 4,600,000 | 800,000 | 800,000 |
See Notes to Financial Statements.
138 | WisdomTree Trust |
Table of Contents
Statements of Changes in Net Assets (continued)
WisdomTree Trust
WisdomTree Yield Enhanced U.S. Aggregate Bond Fund | WisdomTree Yield Enhanced U.S. Short-Term Aggregate Bond Fund | WisdomTree Alternative Income Fund | ||||||||||||||||||||||
For the Six Months Ended February 28, 2022 (unaudited) | For the Year Ended August 31, 2021 | For the Six Months Ended February 28, 2022 (unaudited) | For the Year Ended August 31, 2021 | For the Six Months Ended February 28, 2022 (unaudited) | For the Period May 6, 2021* through August 31, 2021 | |||||||||||||||||||
INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS: |
| |||||||||||||||||||||||
Net investment income | $ | 8,604,355 | $ | 18,777,402 | $ | 704,994 | $ | 1,559,946 | $ | 312,234 | $ | 63,655 | ||||||||||||
Net realized gain (loss) on investments, futures contracts and securities sold short | (8,752,678 | ) | 12,938,699 | (562,561 | ) | 1,660,355 | (224,781 | ) | 17,301 | |||||||||||||||
Net increase (decrease) in unrealized appreciation/depreciation on investments and securities sold short | (55,448,605 | ) | (32,422,665 | ) | (4,633,665 | ) | (2,118,880 | ) | (741,439 | ) | 51,569 | |||||||||||||
Net increase (decrease) in net assets resulting from operations | (55,596,928 | ) | (706,564 | ) | (4,491,232 | ) | 1,101,421 | (653,986 | ) | 132,525 | ||||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||||||||||
Distributable earnings | (10,808,754 | ) | (31,052,127 | ) | (882,066 | ) | (2,117,289 | ) | (454,690 | ) | — | |||||||||||||
CAPITAL SHARE TRANSACTIONS: | ||||||||||||||||||||||||
Net proceeds from sale of shares | 61,949,393 | 132,305,854 | — | 128,299,583 | 3,581,347 | 10,694,617 | ||||||||||||||||||
Cost of shares redeemed | (35,423,281 | ) | (327,328,491 | ) | (50,770,736 | ) | (41,010,874 | ) | (5,323,334 | ) | (512,194 | ) | ||||||||||||
Net increase (decrease) in net assets resulting from capital share transactions | 26,526,112 | (195,022,637 | ) | (50,770,736 | ) | 87,288,709 | (1,741,987 | ) | 10,182,423 | |||||||||||||||
Net Increase (Decrease) in Net Assets | (39,879,570 | ) | (226,781,328 | ) | (56,144,034 | ) | 86,272,841 | (2,850,663 | ) | 10,314,948 | ||||||||||||||
NET ASSETS: | ||||||||||||||||||||||||
Beginning of period | $ | 1,089,075,069 | $ | 1,315,856,397 | $ | 199,801,985 | $ | 113,529,144 | $ | 10,315,048 | $ | 100 | ||||||||||||
End of period | $ | 1,049,195,499 | $ | 1,089,075,069 | $ | 143,657,951 | $ | 199,801,985 | $ | 7,464,385 | $ | 10,315,048 | ||||||||||||
SHARES CREATED AND REDEEMED: | ||||||||||||||||||||||||
Shares outstanding, beginning of period | 20,700,000 | 24,400,000 | 3,900,000 | 2,200,000 | 400,000 | 4 | ||||||||||||||||||
Shares created | 1,200,000 | 2,500,000 | — | 2,500,000 | 140,000 | 420,000 | ||||||||||||||||||
Shares redeemed | (700,000 | ) | (6,200,000 | ) | (1,000,000 | ) | (800,000 | ) | (220,000 | ) | (20,004 | ) | ||||||||||||
Shares outstanding, end of period | 21,200,000 | 20,700,000 | 2,900,000 | 3,900,000 | 320,000 | 400,000 |
* | Commencement of operations. The commencement of operations date is considered to be the date that the Fund began trading in the secondary market. |
See Notes to Financial Statements.
WisdomTree Trust | 139 |
Table of Contents
Statements of Changes in Net Assets (continued)
WisdomTree Trust
WisdomTree CBOE S&P 500 PutWrite Strategy Fund | WisdomTree Efficient Gold Plus Gold Miners Strategy Fund (consolidated) | WisdomTree Enhanced Commodity Strategy Fund | ||||||||||||||||||||||
For the Six Months Ended February 28, 2022 (unaudited) | For the August 31, 2021 | For the Period February 28, 2022 (unaudited) | For the Six Months Ended February 28, 2022 (unaudited) | For the Period December 19, 2020 through August 31, 2021 | For the Period January 1, 2020 through December 18, 2020 | |||||||||||||||||||
INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS: |
| |||||||||||||||||||||||
Net investment income (loss) | $ | (136,879 | ) | $ | (375,344 | ) | $ | 1,425 | $ | (545,935 | ) | $ | (574,509 | ) | $ | (149,249 | ) | |||||||
Net realized gain on investments, futures contracts, written options, foreign currency contracts and foreign currency related transactions | 2,276,374 | 22,765,113 | 48,444 | 18,800,388 | 11,589,238 | 1,656,944 | ||||||||||||||||||
Net increase (decrease) in unrealized appreciation/depreciation on investments, futures contracts, written options, foreign currency contracts and translation of assets and liabilities denominated in foreign currencies | (122,667 | ) | (527,977 | ) | 370,620 | 16,910,275 | 10,245,015 | (6,172,459 | ) | |||||||||||||||
Net increase from payment by affiliate | — | — | — | — | 6,934 | 13,626 | ||||||||||||||||||
Net increase in net assets resulting from operations | 2,016,828 | 21,861,792 | 420,489 | 35,164,728 | 21,266,678 | (4,651,138 | ) | |||||||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||||||||||
Distributable earnings | — | (1,532,213 | ) | — | (18,086,292 | ) | — | — | ||||||||||||||||
CAPITAL SHARE TRANSACTIONS: | ||||||||||||||||||||||||
Net proceeds from sale of shares | 32,047,730 | 7,868,162 | 3,999,095 | 99,753,650 | 95,736,950 | 29,910,736 | ||||||||||||||||||
Cost of shares redeemed | (5,078,068 | ) | (81,482,203 | ) | (98 | ) | (30,795,078 | ) | (22,784,541 | ) | (53,762,865 | ) | ||||||||||||
Net increase (decrease) in net assets resulting from capital share transactions | 26,969,662 | (73,614,041 | ) | 3,998,997 | 68,958,572 | 72,952,409 | (23,852,129 | ) | ||||||||||||||||
Net Increase (Decrease) in Net Assets | 28,986,490 | (53,284,462 | ) | 4,419,486 | 86,037,008 | 94,219,087 | (28,503,267 | ) | ||||||||||||||||
NET ASSETS: | ||||||||||||||||||||||||
Beginning of period | $ | 63,940,081 | $ | 117,224,543 | $ | 100 | $ | 193,551,663 | $ | 99,332,576 | $ | 127,835,843 | ||||||||||||
End of period | $ | 92,926,571 | $ | 63,940,081 | $ | 4,419,586 | $ | 279,588,671 | $ | 193,551,663 | $ | 99,332,576 | ||||||||||||
SHARES CREATED AND REDEEMED: | ||||||||||||||||||||||||
Shares outstanding, beginning of period | 1,950,000 | 4,400,000 | 4 | 8,750,000 | 5,300,050 | 6,800,050 | ||||||||||||||||||
Shares created | 950,000 | 250,000 | 150,000 | 4,650,000 | 4,500,000 | 1,600,000 | ||||||||||||||||||
Shares redeemed | (150,000 | ) | (2,700,000 | ) | (4 | ) | (1,450,000 | ) | (1,050,050 | ) | (3,100,000 | ) | ||||||||||||
Shares outstanding, end of period | 2,750,000 | 1,950,000 | 150,000 | 11,950,000 | 8,750,000 | 5,300,050 |
* | Commencement of operations. The commencement of operations date is considered to be the date that the Fund began trading in the secondary market. |
1 | After the close of business on December 18, 2020, the WisdomTree Continuous Commodity Index Fund (the “Predecessor Fund”), a commodity pool that was not registered under the Investment Company Act of 1940, as amended (“1940 Act”), was reorganized into the WisdomTree Enhanced Commodity Strategy Fund (the “Successor Fund”), an investment company registered under the 1940 Act. The Successor Fund adopted the financial information for the Predecessor Fund. Accordingly, information presented prior to the close of business on December 18, 2020 is that of the Predecessor Fund prior to the reorganization into a regulated investment company under the 1940 Act. |
See Notes to Financial Statements.
140 | WisdomTree Trust |
Table of Contents
Statements of Changes in Net Assets (concluded)
WisdomTree Trust
WisdomTree Managed Futures Strategy Fund (consolidated) | WisdomTree Target Range Fund | |||||||||||
For the Six Months Ended February 28, 2022 (unaudited) | For the Year Ended August 31, 2021 | For the Period October 7, 2021* through February 28, 2022 (unaudited) | ||||||||||
INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS: |
| |||||||||||
Net investment loss | $ | (451,251 | ) | $ | (749,432 | ) | $ | (26,197 | ) | |||
Net realized gain (loss) on investments, purchased options, futures contracts, written options and foreign currency related transactions | (4,088,995 | ) | 19,281,571 | (557,368 | ) | |||||||
Net increase (decrease) in unrealized appreciation/depreciation on investments, futures contracts, written options and translation of assets and liabilities denominated in foreign currencies | 466,343 | 1,246,537 | (556,183 | ) | ||||||||
Net increase from payment by affiliate | — | 1,478 | — | |||||||||
Net increase (decrease) in net assets resulting from operations | (4,073,903 | ) | 19,780,154 | (1,139,748 | ) | |||||||
DISTRIBUTIONS TO SHAREHOLDERS: |
| |||||||||||
Distributable earnings | (18,766,008 | ) | (535,804 | ) | — | |||||||
CAPITAL SHARE TRANSACTIONS: |
| |||||||||||
Net proceeds from sale of shares | 50,276,265 | 55,450,686 | 27,130,844 | |||||||||
Cost of shares redeemed | (29,651,375 | ) | (40,687,188 | ) | (100 | ) | ||||||
Net increase in net assets resulting from capital share transactions | 20,624,890 | 14,763,498 | 27,130,744 | |||||||||
Net Increase (Decrease) in Net Assets | (2,215,021 | ) | 34,007,848 | 25,990,996 | ||||||||
NET ASSETS: |
| |||||||||||
Beginning of period | $ | 147,000,507 | $ | 112,992,659 | $ | 100 | ||||||
End of period | $ | 144,785,486 | $ | 147,000,507 | $ | 25,991,096 | ||||||
SHARES CREATED AND REDEEMED: |
| |||||||||||
Shares outstanding, beginning of period | 3,550,000 | 3,200,000 | 4 | |||||||||
Shares created | 1,400,000 | 1,400,000 | 1,075,000 | |||||||||
Shares redeemed | (850,000 | ) | (1,050,000 | ) | (4 | ) | ||||||
Shares outstanding, end of period | 4,100,000 | 3,550,000 | 1,075,000 |
* | Commencement of operations. The commencement of operations date is considered to be the date that the Fund began trading in the secondary market. |
See Notes to Financial Statements.
WisdomTree Trust | 141 |
Table of Contents
WisdomTree Trust
Selected data for a share of beneficial interest outstanding throughout the period is presented below:
WisdomTree Bloomberg U.S. Dollar Bullish Fund | For the Six Months Ended February 28, 2022 (unaudited) | For the Year Ended August 31, 2021 | For the Year Ended August 31, 2020 | For the Year Ended August 31, 2019 | For the Year Ended August 31, 2018 | For the Year Ended August 31, 2017 | ||||||||||||||||||
Net asset value, beginning of period | $ | 25.57 | $ | 26.23 | $ | 28.11 | $ | 26.73 | $ | 25.64 | $ | 26.34 | ||||||||||||
Investment operations: | ||||||||||||||||||||||||
Net investment income (loss)1 | (0.06 | ) | (0.12 | ) | 0.05 | 0.47 | 0.21 | 0.00 | 2 | |||||||||||||||
Net realized and unrealized gain (loss) | 0.70 | (0.37 | ) | (1.11 | ) | 1.15 | 0.88 | 3 | (0.70 | ) | ||||||||||||||
Total from investment operations | 0.64 | (0.49 | ) | (1.06 | ) | 1.62 | 1.09 | (0.70 | ) | |||||||||||||||
Dividends to shareholders: | ||||||||||||||||||||||||
Net investment income | — | (0.17 | ) | (0.82 | ) | (0.24 | ) | — | — | |||||||||||||||
Net asset value, end of period | $ | 26.21 | $ | 25.57 | $ | 26.23 | $ | 28.11 | $ | 26.73 | $ | 25.64 | ||||||||||||
TOTAL RETURN4 | 2.50 | % | (1.85 | )% | (3.87 | )% | 6.09 | % | 4.25 | %5 | (2.66 | )% | ||||||||||||
RATIOS/SUPPLEMENTAL DATA: | ||||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $ | 107,445 | $ | 143,168 | $ | 83,951 | $ | 44,974 | $ | 90,884 | $ | 138,462 | ||||||||||||
Ratios to average net assets of: | ||||||||||||||||||||||||
Expenses | 0.50 | %6,7,8 | 0.50 | %7,8 | 0.50 | %7,8 | 0.50 | %7,8 | 0.50 | %7,8 | 0.50 | % | ||||||||||||
Net investment income (loss) | (0.44 | )%6,8 | (0.45 | )%8 | 0.19 | %8 | 1.71 | %8 | 0.83 | %8 | 0.00 | %9 | ||||||||||||
Portfolio turnover rate10 | 9 | %11 | 55 | %11 | 266 | %11 | 23 | %11 | 0 | % | 0 | % | ||||||||||||
WisdomTree Chinese Yuan Strategy Fund | For the Six Months Ended February 28, 2022 (unaudited) | For the Year Ended August 31, 2021 | For the Year Ended August 31, 2020 | For the Year Ended August 31, 2019 | For the Year Ended August 31, 2018 | For the Year Ended August 31, 2017 | ||||||||||||||||||
Net asset value, beginning of period | $ | 27.85 | $ | 25.80 | $ | 24.80 | $ | 25.49 | $ | 25.54 | $ | 24.42 | ||||||||||||
Investment operations: | ||||||||||||||||||||||||
Net investment income (loss)1 | (0.05 | ) | (0.11 | ) | 0.15 | 0.47 | 0.24 | 0.02 | ||||||||||||||||
Net realized and unrealized gain (loss) | 1.03 | 2.27 | 1.36 | (0.87 | ) | (0.29 | ) | 1.10 | ||||||||||||||||
Total from investment operations | 0.98 | 2.16 | 1.51 | (0.40 | ) | (0.05 | ) | 1.12 | ||||||||||||||||
Dividends and distributions to shareholders: | ||||||||||||||||||||||||
Net investment income | — | (0.11 | ) | (0.51 | ) | (0.29 | ) | — | — | |||||||||||||||
Capital gains | (1.74 | ) | — | — | — | — | — | |||||||||||||||||
Total dividends and distributions to shareholders | (1.74 | ) | (0.11 | ) | (0.51 | ) | (0.29 | ) | — | — | ||||||||||||||
Net asset value, end of period | $ | 27.09 | $ | 27.85 | $ | 25.80 | $ | 24.80 | $ | 25.49 | $ | 25.54 | ||||||||||||
TOTAL RETURN4 | 3.61 | % | 8.39 | % | 6.16 | % | (1.59 | )% | (0.20 | )% | 4.59 | % | ||||||||||||
RATIOS/SUPPLEMENTAL DATA: | ||||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $ | 33,857 | $ | 43,166 | $ | 24,507 | $ | 26,044 | $ | 31,861 | $ | 38,312 | ||||||||||||
Ratios to average net assets of: | ||||||||||||||||||||||||
Expenses | 0.45 | %6,7,8 | 0.45 | %7,8 | 0.45 | %7,8 | 0.45 | %7,8 | 0.45 | %7,8 | 0.45 | % | ||||||||||||
Net investment income (loss) | (0.40 | )%6,8 | (0.41 | )%8 | 0.60 | %8 | 1.82 | %8 | 0.92 | %8 | 0.09 | % | ||||||||||||
Portfolio turnover rate10 | 0 | % | 25 | %11 | 0 | % | 0 | % | 0 | % | 0 | % |
1 | Based on average shares outstanding. |
2 | Amount represents less than $0.005. |
3 | Includes a voluntary reimbursement from the sub-advisor of less than $0.01 per share for investment losses on certain foreign currency transactions during the fiscal year ended August 31, 2018. |
4 | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period and redemption on the last day of the period. Total return calculated for a period of less than one year is not annualized. For the periods in which the investment advisor waived advisory fees, the total return would have been lower if certain expenses had not been waived (Notes 2 and 3). |
5 | Includes a voluntary reimbursement from the sub-advisor for investment losses on certain foreign currency contract transactions during the period. Excluding this voluntary reimbursement, total return would have been unchanged. |
6 | Annualized. |
7 | The expense ratio includes investment advisory fee waivers. Without these investment advisory fee waivers, the expense ratio would have been unchanged. |
8 | The ratios to average net assets do not include net investment income (loss) or expenses of other funds in which the Fund invests. |
9 | Amount represents less than 0.005%. |
10 | Portfolio turnover rate is not annualized for fiscal periods less than one year and excludes the value of the portfolio securities received or delivered as a result of in-kind creations or redemptions of the Fund’s capital shares. Short-term securities with maturities less than or equal to 365 days are excluded from the portfolio turnover calculation. |
11 | During the periods noted, the Fund invested in the WisdomTree Floating Rate Treasury Fund which is considered a long term security for purposes of computing the portfolio turnover rate. During the periods noted, the WisdomTree Floating Rate Fund was the only long-term security held or transacted in the portfolio, as a result, the variability in the portfolio turnover was primarily driven by the transaction activity during the fiscal period for this security only (see the “Investment in Affiliates” supplementary table included in the Schedule of Investments for transaction activity related to this security for the current fiscal period). |
See Notes to Financial Statements.
142 | WisdomTree Trust |
Table of Contents
Financial Highlights (continued)
WisdomTree Trust
Selected data for a share of beneficial interest outstanding throughout the period is presented below:
WisdomTree Emerging Currency Strategy Fund | For the Six Months Ended February 28, 2022 (unaudited) | For the Year Ended August 31, 2021 | For the Year Ended August 31, 2020 | For the Year Ended August 31, 2019 | For the Year Ended August 31, 2018 | For the Year Ended August 31, 2017 | ||||||||||||||||||
Net asset value, beginning of period | $ | 18.19 | $ | 17.55 | $ | 18.19 | $ | 17.97 | $ | 19.14 | $ | 17.97 | ||||||||||||
Investment operations: | ||||||||||||||||||||||||
Net investment income (loss)1 | (0.04 | ) | (0.09 | ) | 0.12 | 0.31 | 0.16 | 0.00 | 2 | |||||||||||||||
Net realized and unrealized gain (loss) | (1.06 | ) | 0.85 | (0.41 | ) | 0.25 | (1.33 | ) | 1.17 | |||||||||||||||
Total from investment operations | (1.10 | ) | 0.76 | (0.29 | ) | 0.56 | (1.17 | ) | 1.17 | |||||||||||||||
Dividends to shareholders: | ||||||||||||||||||||||||
Net investment income | — | (0.12 | ) | (0.35 | ) | (0.34 | ) | — | — | |||||||||||||||
Net asset value, end of period | $ | 17.09 | $ | 18.19 | $ | 17.55 | $ | 18.19 | $ | 17.97 | $ | 19.14 | ||||||||||||
TOTAL RETURN3 | (6.05 | )% | 4.31 | % | (1.68 | )% | 3.12 | % | (6.11 | )% | 6.51 | % | ||||||||||||
RATIOS/SUPPLEMENTAL DATA: | ||||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $ | 13,675 | $ | 12,732 | $ | 10,532 | $ | 20,009 | $ | 28,746 | $ | 49,755 | ||||||||||||
Ratios to average net assets of: | ||||||||||||||||||||||||
Expenses | 0.55 | %4,5,6 | 0.55 | %5,6 | 0.55 | %5,6 | 0.55 | %5,6 | 0.55 | %5,6 | 0.55 | % | ||||||||||||
Net investment income (loss) | (0.50 | )%4,6 | (0.51 | )%6 | 0.65 | %6 | 1.68 | %6 | 0.82 | %6 | 0.01 | % | ||||||||||||
Portfolio turnover rate7 | 21 | %8 | 26 | %8 | 0 | % | 0 | % | 0 | % | 0 | % | ||||||||||||
WisdomTree Emerging Markets Corporate Bond Fund | For the Six Months Ended February 28, 2022 (unaudited) | For the Year Ended August 31, 2021 | For the Year Ended August 31, 2020 | For the Year Ended August 31, 2019 | For the Year Ended August 31, 2018 | For the Year Ended August 31, 2017 | ||||||||||||||||||
Net asset value, beginning of period | $ | 76.11 | $ | 74.14 | $ | 72.72 | $ | 68.58 | $ | 72.91 | $ | 71.93 | ||||||||||||
Investment operations: | ||||||||||||||||||||||||
Net investment income1 | 1.32 | 2.63 | 2.99 | 3.00 | 2.84 | 2.87 | ||||||||||||||||||
Net realized and unrealized gain (loss) | (9.35 | ) | 1.94 | 1.47 | 9 | 4.17 | (4.30 | ) | 0.98 | |||||||||||||||
Total from investment operations | (8.03 | ) | 4.57 | 4.46 | 7.17 | (1.46 | ) | 3.85 | ||||||||||||||||
Dividends to shareholders: | ||||||||||||||||||||||||
Net investment income | (1.32 | ) | (2.60 | ) | (3.04 | ) | (3.03 | ) | (2.87 | ) | (2.87 | ) | ||||||||||||
Net asset value, end of period | $ | 66.76 | $ | 76.11 | $ | 74.14 | $ | 72.72 | $ | 68.58 | $ | 72.91 | ||||||||||||
TOTAL RETURN3 | (10.70 | )% | 6.26 | % | 6.37 | % | 10.69 | % | (2.08 | )% | 5.51 | % | ||||||||||||
RATIOS/SUPPLEMENTAL DATA: | ||||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $ | 60,082 | $ | 53,279 | $ | 29,655 | $ | 36,362 | $ | 41,150 | $ | 51,035 | ||||||||||||
Ratios to average net assets of: | ||||||||||||||||||||||||
Expenses | 0.60 | %4 | 0.60 | % | 0.60 | % | 0.60 | % | 0.60 | % | 0.60 | % | ||||||||||||
Net investment income | 3.60 | %4 | 3.48 | % | 4.13 | % | 4.26 | % | 3.96 | % | 4.03 | % | ||||||||||||
Portfolio turnover rate7 | 16 | % | 56 | % | 43 | % | 54 | % | 132 | % | 36 | % |
1 | Based on average shares outstanding. |
2 | Amount represents less than $0.005. |
3 | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period and redemption on the last day of the period. Total return calculated for a period of less than one year is not annualized. For the periods in which the investment advisor waived advisory fees, the total return would have been lower if certain expenses had not been waived (Notes 2 and 3). |
4 | Annualized. |
5 | The expense ratio includes investment advisory fee waivers. Without these investment advisory fee waivers, the expense ratio would have been unchanged. |
6 | The ratios to average net assets do not include net investment income (loss) or expenses of other funds in which the Fund invests. |
7 | Portfolio turnover rate is not annualized for fiscal periods less than one year and excludes the value of the portfolio securities received or delivered as a result of in-kind creations or redemptions of the Fund’s capital shares. Short-term securities with maturities less than or equal to 365 days are excluded from the portfolio turnover calculation. |
8 | During the periods noted, the Fund invested in the WisdomTree Floating Rate Treasury Fund which is considered a long term security for purposes of computing the portfolio turnover rate. During the periods noted, the WisdomTree Floating Rate Fund was the only long-term security held or transacted in the portfolio, as a result, the variability in the portfolio turnover was primarily driven by the transaction activity during the fiscal period for this security only (see the “Investment in Affiliates” supplementary table included in the Schedule of Investments for transaction activity related to this security for the current fiscal period). |
9 | The amount of net realized and unrealized gain per share does not correspond with the amounts reported within the Statements of Changes due to the timing of capital share transactions of Fund shares and fluctuating market values during the fiscal year. |
See Notes to Financial Statements.
WisdomTree Trust | 143 |
Table of Contents
Financial Highlights (continued)
WisdomTree Trust
Selected data for a share of beneficial interest outstanding throughout the period is presented below:
WisdomTree Emerging Markets Local Debt Fund | For the Six Months Ended February 28, 2022 (unaudited) | For the Year Ended August 31, 2021 | For the Year Ended August 31, 2020 | For the Year Ended August 31, 2019 | For the Year Ended August 31, 2018 | For the Year Ended August 31, 2017 | ||||||||||||||||||
Net asset value, beginning of period | $ | 32.48 | $ | 32.70 | $ | 34.35 | $ | 32.47 | $ | 38.92 | $ | 37.59 | ||||||||||||
Investment operations: | ||||||||||||||||||||||||
Net investment income1 | 0.84 | 1.64 | 1.83 | 1.96 | 2.15 | 2.07 | ||||||||||||||||||
Net realized and unrealized gain (loss) | (3.69 | ) | (0.33 | ) | (1.76 | )2 | 1.72 | (6.48 | ) | 1.00 | ||||||||||||||
Total from investment operations | (2.85 | ) | 1.31 | 0.07 | 3.68 | (4.33 | ) | 3.07 | ||||||||||||||||
Dividends and distributions to shareholders: | ||||||||||||||||||||||||
Net investment income | (0.72 | ) | (0.52 | ) | (0.60 | ) | (0.82 | ) | (2.06 | ) | (0.82 | ) | ||||||||||||
Tax return of capital | — | (1.01 | ) | (1.12 | ) | (0.98 | ) | (0.06 | ) | (0.92 | ) | |||||||||||||
Total dividends and distributions to shareholders | (0.72 | ) | (1.53 | ) | (1.72 | ) | (1.80 | ) | (2.12 | ) | (1.74 | ) | ||||||||||||
Net asset value, end of period | $ | 28.91 | $ | 32.48 | $ | 32.70 | $ | 34.35 | $ | 32.47 | $ | 38.92 | ||||||||||||
TOTAL RETURN3 | (8.88 | )% | 4.06 | % | 0.20 | % | 11.54 | % | (11.66 | )% | 8.46 | % | ||||||||||||
RATIOS/SUPPLEMENTAL DATA: | ||||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $ | 112,763 | $ | 134,784 | $ | 127,519 | $ | 195,783 | $ | 172,083 | $ | 256,851 | ||||||||||||
Ratios to average net assets of: | ||||||||||||||||||||||||
Expenses | 0.55 | %4 | 0.55 | % | 0.55 | % | 0.55 | % | 0.55 | % | 0.55 | % | ||||||||||||
Net investment income | 5.49 | %4 | 4.97 | % | 5.42 | % | 5.77 | % | 5.71 | % | 5.51 | % | ||||||||||||
Portfolio turnover rate5 | 22 | % | 31 | % | 29 | % | 27 | % | 44 | % | 39 | % | ||||||||||||
WisdomTree Floating Rate Treasury Fund | For the Six Months Ended February 28, 2022* (unaudited) | For the Year Ended August 31, 2021* | For the Year Ended August 31, 2020* | For the Year Ended August 31, 2019* | For the Year Ended August 31, 2018* | For the Year Ended August 31, 2017* | ||||||||||||||||||
Net asset value, beginning of period | $ | 50.21 | $ | 50.23 | $ | 50.11 | $ | 50.15 | $ | 50.14 | $ | 50.05 | ||||||||||||
Investment operations: | ||||||||||||||||||||||||
Net investment income (loss)1 | (0.00 | )6 | (0.01 | ) | 0.48 | 1.12 | 0.91 | 0.34 | ||||||||||||||||
Net realized and unrealized gain (loss) | 0.06 | 0.01 | 0.13 | (0.10 | ) | (0.14 | ) | 0.09 | ||||||||||||||||
Total from investment operations | 0.06 | 0.006 | 0.61 | 1.02 | 0.77 | 0.43 | ||||||||||||||||||
Dividends and distributions to shareholders: | ||||||||||||||||||||||||
Net investment income | — | (0.01 | ) | (0.49 | ) | (1.06 | ) | (0.70 | ) | (0.34 | ) | |||||||||||||
Capital gains | (0.00 | )6 | (0.01 | ) | — | — | (0.06 | ) | — | |||||||||||||||
Total dividends and distributions to shareholders | (0.00 | )6 | (0.02 | ) | (0.49 | ) | (1.06 | ) | (0.76 | ) | (0.34 | ) | ||||||||||||
Net asset value, end of period | $ | 50.27 | $ | 50.21 | $ | 50.23 | $ | 50.11 | $ | 50.15 | $ | 50.14 | ||||||||||||
TOTAL RETURN3 | 0.09 | % | 0.00 | %7 | 1.26 | % | 2.06 | % | 1.53 | % | 0.85 | % | ||||||||||||
RATIOS/SUPPLEMENTAL DATA: | ||||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $ | 2,382,021 | $ | 1,086,455 | $ | 1,491,940 | $ | 1,652,361 | $ | 272,044 | $ | 1,254 | ||||||||||||
Ratios to average net assets of: | ||||||||||||||||||||||||
Expenses, net of expense waivers | 0.15 | %4 | 0.15 | % | 0.15 | % | 0.15 | % | 0.15 | % | 0.15 | % | ||||||||||||
Expenses, prior to expense waivers | 0.15 | %4 | 0.15 | % | 0.15 | % | 0.15 | % | 0.17 | % | 0.20 | % | ||||||||||||
Net investment income (loss) | (0.00 | )%4,7 | (0.02 | )% | 0.95 | % | 2.22 | % | 1.83 | % | 0.68 | % | ||||||||||||
Portfolio turnover rate5 | 90 | % | 147 | % | 163 | % | 170 | % | 170 | % | 160 | % |
* | Per share amounts were adjusted to reflect a 1:2 reverse stock split effective March 24, 2022 (Note 7). |
1 | Based on average shares outstanding. |
2 | The amount of net realized and unrealized loss per share does not correspond with the amounts reported within the Statements of Changes due to the timing of capital share transactions of Fund shares and fluctuating market values during the fiscal year. |
3 | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period and redemption on the last day of the period. Total return calculated for a period of less than one year is not annualized. For the periods in which the investment advisor waived advisory fees for the WisdomTree Floating Rate Treasury Fund, the total return would have been lower if certain expenses had not been waived (Notes 2 and 3). |
4 | Annualized. |
5 | Portfolio turnover rate is not annualized for fiscal periods less than one year and excludes the value of the portfolio securities received or delivered as a result of in-kind creations or redemptions of the Fund’s capital shares. Short-term securities with maturities less than or equal to 365 days are excluded from the portfolio turnover calculation. |
6 | Amount represents less than $0.005. |
7 | Amount represents less than 0.005%. |
See Notes to Financial Statements.
144 | WisdomTree Trust |
Table of Contents
Financial Highlights (continued)
WisdomTree Trust
Selected data for a share of beneficial interest outstanding throughout the period is presented below:
WisdomTree Interest Rate Hedged High Yield Bond Fund | For the Six Months Ended February 28, 2022 (unaudited) | For the Year Ended August 31, 2021 | For the Year Ended August 31, 2020 | For the Year Ended August 31, 2019 | For the Year Ended August 31, 2018 | For the Year Ended August 31, 2017 | ||||||||||||||||||
Net asset value, beginning of period | $ | 22.19 | $ | 21.40 | $ | 23.13 | $ | 24.07 | $ | 23.91 | $ | 23.39 | ||||||||||||
Investment operations: | ||||||||||||||||||||||||
Net investment income1 | 0.45 | 0.96 | 1.20 | 1.30 | 1.23 | 1.24 | ||||||||||||||||||
Net realized and unrealized gain (loss) | (0.59 | ) | 0.78 | (1.73 | ) | (0.91 | ) | 0.10 | 0.53 | |||||||||||||||
Net increase from payment by affiliate | — | 0.01 | — | — | — | — | ||||||||||||||||||
Total from investment operations | (0.14 | ) | 1.75 | (0.53 | ) | 0.39 | 1.33 | 1.77 | ||||||||||||||||
Dividends and distributions to shareholders: | ||||||||||||||||||||||||
Net investment income | (0.45 | ) | (0.96 | ) | (1.20 | ) | (1.30 | ) | (1.17 | ) | (1.25 | ) | ||||||||||||
Capital gains | — | — | — | (0.03 | ) | — | — | |||||||||||||||||
Total dividends and distributions to shareholders | (0.45 | ) | (0.96 | ) | (1.20 | ) | (1.33 | ) | (1.17 | ) | (1.25 | ) | ||||||||||||
Net asset value, end of period | $ | 21.60 | $ | 22.19 | $ | 21.40 | $ | 23.13 | $ | 24.07 | $ | 23.91 | ||||||||||||
TOTAL RETURN2 | (0.67 | )% | 8.33 | %3 | (2.26 | )% | 1.68 | % | 5.68 | % | 7.73 | % | ||||||||||||
RATIOS/SUPPLEMENTAL DATA: | ||||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $ | 215,963 | $ | 166,447 | $ | 128,377 | $ | 247,466 | $ | 262,332 | $ | 54,997 | ||||||||||||
Ratios to average net assets of: | ||||||||||||||||||||||||
Expenses | 0.43 | %4 | 0.43 | % | 0.43 | % | 0.43 | % | 0.43 | % | 0.43 | % | ||||||||||||
Net investment income | 4.12 | %4 | 4.40 | % | 5.43 | % | 5.52 | % | 5.14 | % | 5.19 | % | ||||||||||||
Portfolio turnover rate5 | 8 | % | 40 | % | 101 | %6,7 | 61 | % | 60 | % | 57 | % | ||||||||||||
WisdomTree Interest Rate Hedged U.S. Aggregate Bond Fund | For the Six Months Ended February 28, 2022 (unaudited) | For the Year Ended August 31, 2021 | For the Year Ended August 31, 2020 | For the Year Ended August 31, 2019 | For the Year Ended August 31, 2018 | For the Year Ended August 31, 2017 | ||||||||||||||||||
Net asset value, beginning of period | $ | 46.81 | $ | 47.04 | $ | 47.71 | $ | 47.82 | $ | 47.89 | $ | 48.01 | ||||||||||||
Investment operations: | ||||||||||||||||||||||||
Net investment income1 | 0.30 | 0.69 | 1.11 | 1.36 | 1.18 | 0.95 | ||||||||||||||||||
Net realized and unrealized loss | (0.50 | ) | (0.06 | ) | (0.60 | ) | (0.10 | ) | (0.07 | ) | (0.03 | ) | ||||||||||||
Total from investment operations | (0.20 | ) | 0.63 | 0.51 | 1.26 | 1.11 | 0.92 | |||||||||||||||||
Dividends to shareholders: | ||||||||||||||||||||||||
Net investment income | (0.37 | ) | (0.86 | ) | (1.18 | ) | (1.37 | ) | (1.18 | ) | (1.04 | ) | ||||||||||||
Net asset value, end of period | $ | 46.24 | $ | 46.81 | $ | 47.04 | $ | 47.71 | $ | 47.82 | $ | 47.89 | ||||||||||||
TOTAL RETURN2 | (0.43 | )% | 1.34 | % | 1.08 | % | 2.69 | % | 2.35 | % | 1.93 | % | ||||||||||||
RATIOS/SUPPLEMENTAL DATA: | ||||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $ | 305,204 | $ | 215,330 | $ | 94,088 | $ | 76,337 | $ | 52,606 | $ | 23,945 | ||||||||||||
Ratios to average net assets of: | ||||||||||||||||||||||||
Expenses | 0.23 | %4 | 0.23 | % | 0.23 | % | 0.23 | % | 0.23 | % | 0.23 | % | ||||||||||||
Net investment income | 1.31 | %4 | 1.47 | % | 2.36 | % | 2.86 | % | 2.46 | % | 1.99 | % | ||||||||||||
Portfolio turnover rate5 | 60 | % | 81 | % | 70 | % | 39 | % | 81 | % | 187 | % | ||||||||||||
Portfolio turnover rate excluding TBA roll transactions5 | 9 | % | 23 | % | 33 | % | 12 | % | 28 | % | 45 | % |
1 | Based on average shares outstanding. |
2 | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period and redemption on the last day of the period. Total return calculated for a period of less than one year is not annualized. |
3 | Includes a voluntary reimbursement from the sub-advisor for an operational error that resulted in investment transaction losses. Excluding the voluntary reimbursement, total return would have been 0.05% lower. |
4 | Annualized. |
5 | Portfolio turnover rate is not annualized for fiscal periods less than one year and excludes the value of the portfolio securities received or delivered as a result of in-kind creations or redemptions of the Fund’s capital shares. Short-term securities with maturities less than or equal to 365 days are excluded from the portfolio turnover calculation. |
6 | The increase in the portfolio turnover rate was primarily a result of the change in investment objective and strategy on June 1, 2020. |
7 | On June 4, 2020, Voya Investment Management Co., LLC replaced Mellon Investments Corporation as sub-advisor to the Fund. |
See Notes to Financial Statements.
WisdomTree Trust | 145 |
Table of Contents
Financial Highlights (continued)
WisdomTree Trust
Selected data for a share of beneficial interest outstanding throughout the period is presented below:
WisdomTree Mortgage Plus Bond Fund | For the Six Months Ended February 28, 2022 (unaudited) | For the Year Ended August 31, 2021 | For the Period November 14, 2019* through August 31, 2020 | |||||||||||||||||||||
Net asset value, beginning of period | $ | 50.94 | $ | 51.64 | $ | 50.26 | ||||||||||||||||||
Investment operations: | ||||||||||||||||||||||||
Net investment income1 | 0.21 | 0.45 | 0.66 | |||||||||||||||||||||
Net realized and unrealized gain (loss) | (1.58 | ) | 0.06 | 1.55 | ||||||||||||||||||||
Total from investment operations | (1.37 | ) | 0.51 | 2.21 | ||||||||||||||||||||
Dividends and distributions to shareholders: | ||||||||||||||||||||||||
Net investment income | (0.36 | ) | (0.88 | ) | (0.83 | ) | ||||||||||||||||||
Capital gains | — | (0.32 | ) | — | ||||||||||||||||||||
Tax return of capital | — | (0.01 | ) | — | ||||||||||||||||||||
Total dividends and distributions to shareholders | (0.36 | ) | (1.21 | ) | (0.83 | ) | ||||||||||||||||||
Net asset value, end of period | $ | 49.21 | $ | 50.94 | $ | 51.64 | ||||||||||||||||||
TOTAL RETURN2 | (2.71 | )% | 0.99 | % | 4.45 | % | ||||||||||||||||||
RATIOS/SUPPLEMENTAL DATA: | ||||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $ | 39,367 | $ | 40,754 | $ | 30,986 | ||||||||||||||||||
Ratios to average net assets of: | ||||||||||||||||||||||||
Expenses | 0.45 | %3 | 0.45 | % | 0.45 | %3 | ||||||||||||||||||
Net investment income | 0.83 | %3 | 0.88 | % | 1.64 | %3 | ||||||||||||||||||
Portfolio turnover rate4 | 186 | % | 430 | % | 278 | % | ||||||||||||||||||
Portfolio turnover rate excluding TBA roll transactions4 | 12 | % | 47 | % | 70 | % | ||||||||||||||||||
WisdomTree Yield Enhanced U.S. Aggregate Bond Fund | For the Six Months Ended February 28, 2022 (unaudited) | For the Year Ended August 31, 2021 | For the Year Ended August 31, 2020 | For the Year Ended August 31, 2019 | For the Year Ended August 31, 2018 | For the Year Ended August 31, 2017 | ||||||||||||||||||
Net asset value, beginning of period | $ | 52.61 | $ | 53.93 | $ | 52.71 | $ | 48.68 | $ | 50.94 | $ | 52.04 | ||||||||||||
Investment operations: | ||||||||||||||||||||||||
Net investment income1 | 0.41 | 0.85 | 1.28 | 1.61 | 1.53 | 1.35 | ||||||||||||||||||
Net realized and unrealized gain (loss) | (3.02 | ) | (0.76 | ) | 1.38 | 4.05 | (2.26 | ) | (0.85 | ) | ||||||||||||||
Total from investment operations | (2.61 | ) | 0.09 | 5 | 2.66 | 5.66 | (0.73 | ) | 0.50 | |||||||||||||||
Dividends and distributions to shareholders: | ||||||||||||||||||||||||
Net investment income | (0.49 | ) | (1.14 | ) | (1.44 | ) | (1.63 | ) | (1.53 | ) | (1.38 | ) | ||||||||||||
Capital gains | (0.02 | ) | (0.27 | ) | — | — | — | (0.22 | ) | |||||||||||||||
Total dividends and distributions to shareholders | (0.51 | ) | (1.41 | ) | (1.44 | ) | (1.63 | ) | (1.53 | ) | (1.60 | ) | ||||||||||||
Net asset value, end of period | $ | 49.49 | $ | 52.61 | $ | 53.93 | $ | 52.71 | $ | 48.68 | $ | 50.94 | ||||||||||||
TOTAL RETURN2 | (4.99 | )% | 0.18 | % | 5.14 | % | 11.92 | % | (1.44 | )% | 1.05 | % | ||||||||||||
RATIOS/SUPPLEMENTAL DATA: | ||||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $ | 1,049,195 | $ | 1,089,075 | $ | 1,315,856 | $ | 880,193 | $ | 418,662 | $ | 168,105 | ||||||||||||
Ratios to average net assets of: | ||||||||||||||||||||||||
Expenses, net of expense waivers | 0.12 | %3 | 0.12 | %6 | 0.12 | % | 0.12 | % | 0.12 | % | 0.12 | % | ||||||||||||
Expenses, prior to expense waivers | 0.12 | %3 | 0.15 | % | 0.20 | % | 0.20 | % | 0.20 | % | 0.20 | % | ||||||||||||
Net investment income | 1.59 | %3 | 1.61 | % | 2.43 | % | 3.25 | % | 3.10 | % | 2.69 | % | ||||||||||||
Portfolio turnover rate4 | 157 | % | 148 | % | 88 | % | 54 | % | 82 | % | 134 | % | ||||||||||||
Portfolio turnover rate excluding TBA roll transactions4 | 20 | % | 41 | % | 65 | % | 44 | % | 38 | % | 59 | % |
* | Commencement of operations. The commencement of operations date is considered to be the date that the Fund began trading in the secondary market. |
1 | Based on average shares outstanding. |
2 | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period and redemption on the last day of the period. Total return calculated for a period of less than one year is not annualized. For the periods in which the investment advisor waived advisory fees for the WisdomTree Yield Enhanced U.S. Aggregate Bond Fund, the total return would have been lower if certain expenses had not been waived (Notes 2 and 3). |
3 | Annualized. |
4 | Portfolio turnover rate is not annualized for fiscal periods less than one year and excludes the value of the portfolio securities received or delivered as a result of in-kind creations or redemptions of the Fund’s capital shares. Short-term securities with maturities less than or equal to 365 days are excluded from the portfolio turnover calculation. |
5 | The total from investment operations per share does not correspond with the amount reported within the Statements of Changes due to the timing of capital share transactions of Fund shares and fluctuating market values during the fiscal year. |
6 | The investment advisor had contractually agreed to limit the advisory fee to 0.12 through December 31, 2020. On December 31, 2020, the contractual waiver expired and the advisory fee was permanently reduced to 0.12%. |
See Notes to Financial Statements.
146 | WisdomTree Trust |
Table of Contents
Financial Highlights (continued)
WisdomTree Trust
Selected data for a share of beneficial interest outstanding throughout the period is presented below:
WisdomTree Yield Enhanced U.S. Short-Term Aggregate Bond Fund | For the Six Months Ended February 28, 2022 (unaudited) | For the Year Ended August 31, 2021 | For the Year Ended August 31, 2020 | For the Year Ended August 31, 2019 | For the Year Ended August 31, 2018 | For the Period May 18, 2017* through August 31, 2017 | ||||||||||||||||||
Net asset value, beginning of period | $ | 51.23 | $ | 51.60 | $ | 50.58 | $ | 48.88 | $ | 50.25 | $ | 50.06 | ||||||||||||
Investment operations: |
| |||||||||||||||||||||||
Net investment income1 | 0.22 | 0.50 | 1.19 | 1.40 | 1.17 | 0.26 | ||||||||||||||||||
Net realized and unrealized gain (loss) | (1.63 | ) | (0.14 | ) | 1.05 | 1.69 | (1.41 | ) | 0.17 | |||||||||||||||
Total from investment operations | (1.41 | ) | 0.36 | 2.24 | 3.09 | (0.24 | ) | 0.43 | ||||||||||||||||
Dividends and distributions to shareholders: |
| |||||||||||||||||||||||
Net investment income | (0.22 | ) | (0.51 | ) | (1.22 | ) | (1.39 | ) | (1.07 | ) | (0.24 | ) | ||||||||||||
Capital gains | (0.06 | ) | (0.22 | ) | — | — | (0.06 | ) | — | |||||||||||||||
Total dividends and distributions to shareholders | (0.28 | ) | (0.73 | ) | (1.22 | ) | (1.39 | ) | (1.13 | ) | (0.24 | ) | ||||||||||||
Net asset value, end of period | $ | 49.54 | $ | 51.23 | $ | 51.60 | $ | 50.58 | $ | 48.88 | $ | 50.25 | ||||||||||||
TOTAL RETURN2 | (2.76 | )% | 0.69 | % | 4.51 | % | 6.43 | % | (0.47 | )% | 0.86 | % | ||||||||||||
RATIOS/SUPPLEMENTAL DATA: |
| |||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $ | 143,658 | $ | 199,802 | $ | 113,529 | $ | 91,052 | $ | 39,104 | $ | 5,025 | ||||||||||||
Ratios to average net assets of: |
| |||||||||||||||||||||||
Expenses, net of expense waivers | 0.12 | %3 | 0.12 | %4 | 0.12 | % | 0.12 | % | 0.12 | % | 0.12 | %3 | ||||||||||||
Expenses, prior to expense waivers | 0.12 | %3 | 0.15 | % | 0.20 | % | 0.20 | % | 0.20 | % | 0.20 | %3 | ||||||||||||
Net investment income | 0.86 | %3 | 0.97 | % | 2.34 | % | 2.83 | % | 2.40 | % | 1.76 | %3 | ||||||||||||
Portfolio turnover rate5 | 124 | % | 224 | % | 106 | % | 49 | % | 177 | % | 44 | % | ||||||||||||
Portfolio turnover rate excluding TBA roll transactions5 | 5 | % | 49 | % | 46 | % | 24 | % | 120 | % | 22 | % | ||||||||||||
WisdomTree Alternative Income Fund | For the Six Months Ended February 28, 2022 (unaudited) | For the Period May 6, 2021* through August 31, 2021 | ||||||||||||||||||||||
Net asset value, beginning of period | $ | 25.79 | $ | 24.96 | ||||||||||||||||||||
Investment operations: | ||||||||||||||||||||||||
Net investment income1 | 0.69 | 0.43 | ||||||||||||||||||||||
Net realized and unrealized gain (loss) | (2.13 | ) | 0.40 | |||||||||||||||||||||
Total from investment operations | (1.44 | ) | 0.83 | |||||||||||||||||||||
Dividends and distributions to shareholders: | ||||||||||||||||||||||||
Net investment income | (1.01 | ) | — | |||||||||||||||||||||
Capital gains | (0.01 | ) | — | |||||||||||||||||||||
Total dividends and distributions to shareholders | (1.02 | ) | — | |||||||||||||||||||||
Net asset value, end of period | $ | 23.33 | $ | 25.79 | ||||||||||||||||||||
TOTAL RETURN2 | (5.80 | )% | 3.33 | % | ||||||||||||||||||||
RATIOS/SUPPLEMENTAL DATA: | ||||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $ | 7,464 | $ | 10,315 | ||||||||||||||||||||
Ratios to average net assets6 of: | ||||||||||||||||||||||||
Expenses | 0.50 | %3 | 0.50 | %3 | ||||||||||||||||||||
Net investment income | 5.60 | %3 | 5.39 | %3 | ||||||||||||||||||||
Portfolio turnover rate5 | 34 | % | 2 | % |
* | Commencement of operations. The commencement of operations date is considered to be the date that the Fund began trading in the secondary market. |
1 | Based on average shares outstanding. |
2 | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period and redemption on the last day of the period. Total return calculated for a period of less than one year is not annualized. For the periods in which the investment advisor waived advisory fees for the WisdomTree Yield Enhanced U.S. Short-Term Aggregate Bond Fund, the total return would have been lower if certain expenses had not been waived (Notes 2 and 3). |
3 | Annualized. |
4 | The investment advisor had contractually agreed to limit the advisory fee to 0.12 through December 31, 2020. On December 31, 2020, the contractual waiver expired and the advisory fee was permanently reduced to 0.12%. |
5 | Portfolio turnover rate is not annualized for fiscal periods less than one year and excludes the value of the portfolio securities received or delivered as a result of in-kind creations or redemptions of the Fund’s capital shares. Short-term securities with maturities less than or equal to 365 days are excluded from the portfolio turnover calculation. |
6 | The ratios to average net assets do not include net investment income (loss) or expenses of other funds in which the Fund invests. |
See Notes to Financial Statements.
WisdomTree Trust | 147 |
Table of Contents
Financial Highlights (continued)
WisdomTree Trust
Selected data for a share of beneficial interest outstanding throughout the period is presented below:
WisdomTree CBOE S&P 500 PutWrite Strategy Fund | For the Six Months Ended February 28, 2022 (unaudited) | For the Year Ended August 31, 2021 | For the Year Ended August 31, 2020 | For the Year Ended August 31, 2019 | For the Year Ended August 31, 2018 | For the Year Ended August 31, 2017 | ||||||||||||||||||
Net asset value, beginning of period | $ | 32.79 | $ | 26.64 | $ | 27.45 | $ | 30.57 | $ | 29.23 | $ | 27.05 | ||||||||||||
Investment operations: | ||||||||||||||||||||||||
Net investment income (loss)1 | (0.06 | ) | (0.11 | ) | 0.24 | 0.49 | 0.22 | 0.06 | ||||||||||||||||
Net realized and unrealized gain (loss) | 1.06 | 6.67 | (0.63 | )2 | (1.96 | ) | 2.15 | 2.74 | ||||||||||||||||
Total from investment operations | 1.00 | 6.56 | (0.39 | ) | (1.47 | ) | 2.37 | 2.80 | ||||||||||||||||
Dividends and distributions to shareholders: | ||||||||||||||||||||||||
Net investment income | — | (0.41 | ) | (0.42 | ) | (0.25 | ) | (0.06 | ) | — | ||||||||||||||
Capital gains | — | — | — | (1.40 | ) | (0.97 | ) | (0.62 | ) | |||||||||||||||
Total dividends and distributions to shareholders | — | (0.41 | ) | (0.42 | ) | (1.65 | ) | (1.03 | ) | (0.62 | ) | |||||||||||||
Net asset value, end of period | $ | 33.79 | $ | 32.79 | $ | 26.64 | $ | 27.45 | $ | 30.57 | $ | 29.23 | ||||||||||||
TOTAL RETURN3 | 3.05 | % | 24.87 | % | (1.52 | )% | (4.72 | )% | 8.28 | % | 10.52 | % | ||||||||||||
RATIOS/SUPPLEMENTAL DATA: | ||||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $ | 92,927 | $ | 63,940 | $ | 117,225 | $ | 211,350 | $ | 238,434 | $ | 204,635 | ||||||||||||
Ratios to average net assets of: | ||||||||||||||||||||||||
Expenses, net of expense waivers | 0.44 | %4,5 | 0.44 | %5 | 0.41 | %5 | 0.38 | % | 0.38 | % | 0.38 | % | ||||||||||||
Expenses, prior to expense waivers | 0.44 | %4,5 | 0.44 | %5 | 0.44 | %5 | 0.44 | % | 0.44 | % | 0.44 | % | ||||||||||||
Net investment income (loss) | (0.38 | )%4,5 | (0.38 | )%5 | 0.90 | %5 | 1.78 | % | 0.76 | % | 0.21 | % | ||||||||||||
Portfolio turnover rate6 | 0 | % | 18 | %7 | 72 | %7 | 0 | % | 0 | % | 0 | % | ||||||||||||
WisdomTree Efficient Gold Plus Gold Miners Strategy Fund (consolidated) | For the Period December 16, 2021* through February 28, 2022 (unaudited) | |||||||||||||||||||||||
Net asset value, beginning of period | $ | 24.49 | ||||||||||||||||||||||
Investment operations: | ||||||||||||||||||||||||
Net investment income1 | 0.02 | |||||||||||||||||||||||
Net realized and unrealized gain | 4.95 | |||||||||||||||||||||||
Total from investment operations | 4.97 | |||||||||||||||||||||||
Net asset value, end of period | $ | 29.46 | ||||||||||||||||||||||
TOTAL RETURN3 | 20.29 | % | ||||||||||||||||||||||
RATIOS/SUPPLEMENTAL DATA: | ||||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $ | 4,420 | ||||||||||||||||||||||
Ratios to average net assets of: | ||||||||||||||||||||||||
Expenses | 0.45 | %4 | ||||||||||||||||||||||
Net investment income | 0.39 | %4 | ||||||||||||||||||||||
Portfolio turnover rate6 | 6 | % |
* | Commencement of operations. The commencement of operations date is considered to be the date that the Fund began trading in the secondary market. |
1 | Based on average shares outstanding. |
2 | The amount of net realized and unrealized loss per share does not correspond with the amounts reported within the Statements of Changes due to the timing of capital share transactions of Fund shares and fluctuating market values during the fiscal year. |
3 | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period and redemption on the last day of the period. Total return calculated for a period of less than one year is not annualized. For the periods in which the investment advisor waived advisory fees for the WisdomTree CBOE S&P 500 PutWrite Strategy Fund, the total return would have been lower if certain expenses had not been waived (Notes 2 and 3). |
4 | Annualized. |
5 | The ratios to average net assets do not include net investment income (loss) or expenses of other funds in which the Fund invests. |
6 | Portfolio turnover rate is not annualized for fiscal periods less than one year and excludes the value of the portfolio securities received or delivered as a result of in-kind creations or redemptions of the Fund’s capital shares. Short-term securities with maturities less than or equal to 365 days are excluded from the portfolio turnover calculation. |
7 | During the periods noted, the Fund invested in the WisdomTree Floating Rate Treasury Fund which is considered a long term security for purposes of computing the portfolio turnover rate. During the periods noted, the WisdomTree Floating Rate Fund was the only long-term security held or transacted in the portfolio, as a result, the variability in the portfolio turnover was primarily driven by the transaction activity during the fiscal year for this security only (see the “Investment in Affiliates” supplementary table included in the Schedule of Investments for transaction activity related to this security for the current fiscal period). |
See Notes to Financial Statements.
148 | WisdomTree Trust |
Table of Contents
Financial Highlights (continued)
WisdomTree Trust
Selected data for a share of beneficial interest outstanding throughout the period is presented below:
Post-Reorganization | Pre-Reorganization | |||||||||||||||||||||||||||||||
WisdomTree Enhanced Commodity Strategy Fund (consolidated)^ | For the (unaudited) | For the Period December 19, 2020 through August 31, 2021 | For the Period January 1, 2020 through December 18, 2020 | For the Year Ended December 31, 2019 | For the Year Ended December 31, 2018 | For the Year Ended December 31, 2017 | For the Year Ended December 31, 2016 | |||||||||||||||||||||||||
Net asset value, beginning of period | $ | 22.12 | $ | 18.74 | $ | 18.80 | $ | 17.50 | $ | 19.25 | $ | 19.35 | $ | 18.56 | ||||||||||||||||||
Investment operations: | ||||||||||||||||||||||||||||||||
Net investment loss1 | (0.05 | ) | (0.08 | ) | (0.03 | ) | 0.23 | 0.18 | 0.00 | 2 | (0.16 | ) | ||||||||||||||||||||
Net realized and unrealized gain (loss) | 3.36 | 3.46 | (0.03 | ) | 1.07 | (1.93 | ) | (0.10 | ) | 0.95 | ||||||||||||||||||||||
Net increase from payment by affiliate | — | 0.00 | 2 | 0.00 | 2 | — | — | — | — | |||||||||||||||||||||||
Total from investment operations | 3.31 | 3.38 | (0.06 | ) | 1.30 | (1.75 | ) | (0.10 | ) | 0.79 | ||||||||||||||||||||||
Dividends and distributions to shareholders: | ||||||||||||||||||||||||||||||||
Net investment income | (2.03 | ) | — | — | — | — | — | — | ||||||||||||||||||||||||
Capital gains | (0.00 | )2 | — | — | — | — | — | — | ||||||||||||||||||||||||
Total dividends and distributions to shareholders | (2.03 | ) | — | — | — | — | — | — | ||||||||||||||||||||||||
Net asset value, end of period | $ | 23.40 | $ | 22.12 | $ | 18.74 | $ | 18.80 | $ | 17.50 | $ | 19.25 | $ | 19.35 | ||||||||||||||||||
TOTAL RETURN3 | 16.08 | % | 18.04 | %4 | (0.32 | )%4 | 7.43 | % | (9.09 | )% | (0.52 | )% | 4.26 | % | ||||||||||||||||||
RATIOS/SUPPLEMENTAL DATA: | ||||||||||||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $ | 279,589 | $ | 193,552 | $ | 99,333 | $ | 127,836 | $ | 154,855 | $ | 154,956 | $ | 219,661 | ||||||||||||||||||
Ratios to average net assets of: | ||||||||||||||||||||||||||||||||
Expenses, net of expense waivers | 0.55 | %5,6 | 0.55 | %5,6 | 0.75 | %5 | 0.75 | % | 0.75 | % | 0.75 | % | 1.05 | % | ||||||||||||||||||
Expenses, prior to expense waivers | 0.55 | %5,6 | 0.55 | %5,6 | 0.85 | %5 | 0.85 | % | 0.85 | % | 0.85 | % | 1.05 | % | ||||||||||||||||||
Net investment income (loss) | (0.52 | )%5,6 | (0.52 | )%5,6 | (0.18 | )%5 | 1.30 | % | 0.94 | % | 0.01 | % | (0.83 | )% | ||||||||||||||||||
Portfolio turnover rate7 | 15 | %8 | 22 | %8 | 0 | % | 0 | % | 0 | % | 0 | % | 0 | % |
^ | After the close of business on December 18, 2020, the WisdomTree Continuous Commodity Index Fund (the “Predecessor Fund”), a commodity pool that was not registered under the Investment Company Act of 1940, as amended (“1940 Act”), was reorganized into the WisdomTree Enhanced Commodity Strategy Fund (the “Successor Fund”), an investment company registered under the 1940 Act. The Successor Fund adopted the financial information for the Predecessor Fund. Accordingly, information presented prior to the close of business on December 18, 2020 is that of the Predecessor Fund prior to the reorganization into a regulated investment company under the 1940 Act. |
1 | Based on average shares outstanding. |
2 | Amount represents less than $0.005. |
3 | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period and redemption on the last day of the period. Total return calculated for a period of less than one year is not annualized. For the periods in which the investment advisor (or the Managing Owner, with respect to the Predecessor Fund) waived advisory fees, the total return would have been lower if certain expenses had not been waived (Notes 2 and 3). |
4 | Includes a voluntary reimbursement from the advisor for brokerage commissions incurred in connection with the Reorganization. Excluding this reimbursement, total return would have been unchanged. |
5 | Annualized. |
6 | The ratios to average net assets do not include net investment income (loss) or expenses of other funds in which the Fund invests. |
7 | Portfolio turnover rate is not annualized for fiscal periods less than one year and excludes the value of the portfolio securities received or delivered as a result of in-kind creations or redemptions of the Fund’s capital shares. Short-term securities with maturities less than or equal to 365 days are excluded from the portfolio turnover calculation. |
8 | During the periods noted, the Fund invested in the WisdomTree Floating Rate Treasury Fund which is considered a long term security for purposes of computing the portfolio turnover rate. During the periods noted, the WisdomTree Floating Rate Fund was the only long-term security held or transacted in the portfolio, as a result, the variability in the portfolio turnover was primarily driven by the transaction activity during the fiscal period for this security only (see the “Investment in Affiliates” supplementary table included in the Schedule of Investments for transaction activity related to this security for the current fiscal period). |
See Notes to Financial Statements.
WisdomTree Trust | 149 |
Table of Contents
Financial Highlights (concluded)
WisdomTree Trust
Selected data for a share of beneficial interest outstanding throughout the period is presented below:
WisdomTree Managed Futures Strategy Fund (consolidated) | For the Six Months Ended February 28, 2022 (unaudited) | For the Year Ended August 31, 2021 | For the Year Ended August 31, 2020 | For the Year Ended August 31, 2019 | For the Year Ended August 31, 2018 | For the Year Ended August 31, 2017 | ||||||||||||||||||
Net asset value, beginning of period | $ | 41.41 | $ | 35.31 | $ | 39.08 | $ | 40.57 | $ | 38.84 | $ | 41.12 | ||||||||||||
Investment operations: | ||||||||||||||||||||||||
Net investment income (loss)1 | (0.11 | ) | (0.23 | ) | 0.17 | 0.55 | 0.26 | (0.07 | ) | |||||||||||||||
Net realized and unrealized gain (loss) | (0.78 | ) | 6.50 | (3.34 | ) | (0.65 | ) | 1.47 | (2.21 | ) | ||||||||||||||
Net increase from payment by affiliate | — | 0.00 | 2 | — | — | — | — | |||||||||||||||||
Total from investment operations | (0.89 | ) | 6.27 | (3.17 | ) | (0.10 | ) | 1.73 | (2.28 | ) | ||||||||||||||
Dividends to shareholders: | ||||||||||||||||||||||||
Net investment income | (5.21 | ) | (0.17 | ) | (0.60 | ) | (1.39 | ) | — | — | ||||||||||||||
Net asset value, end of period | $ | 35.31 | $ | 41.41 | $ | 35.31 | $ | 39.08 | $ | 40.57 | $ | 38.84 | ||||||||||||
TOTAL RETURN3 | (2.28 | )% | 17.83 | %4 | (8.17 | )% | (0.22 | )%4 | 4.45 | % | (5.54 | )%5 | ||||||||||||
RATIOS/SUPPLEMENTAL DATA: | ||||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $ | 144,785 | $ | 147,001 | $ | 112,993 | $ | 216,875 | $ | 160,250 | $ | 170,879 | ||||||||||||
Ratios to average net assets of: | ||||||||||||||||||||||||
Expenses, net of expense waivers | 0.65 | %6,7 | 0.65 | %7,8 | 0.65 | %7 | 0.65 | % | 0.65 | % | 0.65 | % | ||||||||||||
Expenses, prior to expense waivers | 0.65 | %6,7 | 0.68 | %7 | 0.75 | %7 | 0.75 | % | 0.75 | % | 0.75 | % | ||||||||||||
Net investment income (loss) | (0.62 | )%6,7 | (0.60 | )%7 | 0.46 | %7 | 1.40 | % | 0.66 | % | (0.18 | )% | ||||||||||||
Portfolio turnover rate9 | 7 | %10 | 25 | %10 | 97 | %10 | 0 | % | 0 | % | 0 | % | ||||||||||||
WisdomTree Target Range Fund | For the Period October 7, 2021* through February 28, 2022 (unaudited) | |||||||||||||||||||||||
Net asset value, beginning of period | $ | 24.99 | ||||||||||||||||||||||
Investment operations: | ||||||||||||||||||||||||
Net investment loss1 | (0.07 | ) | ||||||||||||||||||||||
Net realized and unrealized loss | (0.74 | ) | ||||||||||||||||||||||
Total from investment operations | (0.81 | ) | ||||||||||||||||||||||
Net asset value, end of period | $ | 24.18 | ||||||||||||||||||||||
TOTAL RETURN3 | (3.24 | )% | ||||||||||||||||||||||
RATIOS/SUPPLEMENTAL DATA: | ||||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $ | 25,991 | ||||||||||||||||||||||
Ratios to average net assets of: | ||||||||||||||||||||||||
Expenses | 0.70 | %6 | ||||||||||||||||||||||
Net investment loss | (0.68 | )%6 | ||||||||||||||||||||||
Portfolio turnover rate9 | 0 | % |
* | Commencement of operations. The commencement of operations date is considered to be the date that the Fund began trading in the secondary market. |
1 | Based on average shares outstanding. |
2 | Amount represents less than $0.005. |
3 | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period and redemption on the last day of the period. Total return calculated for a period of less than one year is not annualized. For the periods in which the investment advisor waived advisory fees for the WisdomTree Managed Futures Strategy Fund, the total return would have been lower if certain expenses had not been waived (Notes 2 and 3). |
4 | Includes a voluntary reimbursement from the sub-advisor for investment losses on certain futures contract transactions during the period. Excluding this voluntary reimbursement, total return would have been unchanged. |
5 | Includes a voluntary reimbursement from the sub-advisor for investment losses on certain futures contract transactions during the period. Excluding this voluntary reimbursement, total return would have been 0.08% lower. |
6 | Annualized. |
7 | The ratios to average net assets do not include net investment income (loss) or expenses of other funds in which the Fund invests. |
8 | The investment advisor had contractually agreed to limit the advisory fee to 0.65 through December 31, 2020. On December 31, 2020, the contractual waiver expired and the advisory fee was permanently reduced to 0.65% |
9 | Portfolio turnover rate is not annualized for fiscal periods less than one year and excludes the value of the portfolio securities received or delivered as a result of in-kind creations or redemptions of the Fund’s capital shares. Short-term securities with maturities less than or equal to 365 days are excluded from the portfolio turnover calculation. |
10 | During the periods noted, the Fund invested in the WisdomTree Floating Rate Treasury Fund which is considered a long term security for purposes of computing the portfolio turnover rate. During the periods noted, the WisdomTree Floating Rate Fund was the only long-term security held or transacted in the portfolio, as a result, the variability in the portfolio turnover was primarily driven by the transaction activity during the fiscal period for this security only (see the “Investment in Affiliates” supplementary table included in the Schedule of Investments for transaction activity related to this security for the current fiscal period). |
See Notes to Financial Statements.
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Notes to Financial Statements (unaudited)
1. ORGANIZATION
WisdomTree Trust (the “Trust”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Trust was established as a Delaware statutory trust on December 15, 2005 and is authorized to have multiple series of portfolios (each a “Fund”, collectively, the “Funds”). These notes relate only to the Funds listed below. In accordance with Accounting Standards Codification Topic 946, Financial Services-Investment Companies, each Fund listed below qualifies as an investment company and is applying the accounting and reporting guidance for investment companies.
Fund | Commencement of Operations | |||
WisdomTree Bloomberg U.S. Dollar Bullish Fund (“U.S. Dollar Bullish Fund’’ and also referred to herein as ‘‘Currency Strategy Funds’’) | December 18, 2013 | |||
WisdomTree Chinese Yuan Strategy Fund (“Chinese Yuan Strategy Fund’’ and also referred to herein as ‘‘Currency Strategy Funds’’) | May 14, 2008 | |||
WisdomTree Emerging Currency Strategy Fund (“Emerging Currency Strategy Fund’’ and also referred to herein as ‘‘Currency Strategy Funds’’) | May 6, 2009 | |||
WisdomTree Emerging Markets Corporate Bond Fund (“Emerging Markets Corporate Bond Fund’’) | March 8, 2012 | |||
WisdomTree Emerging Markets Local Debt Fund (“Emerging Markets Local Debt Fund’’) | August 9, 2010 | |||
WisdomTree Floating Rate Treasury Fund (“Floating Rate Treasury Fund’’) | February 4, 2014 | |||
WisdomTree Interest Rate Hedged High Yield Bond Fund (“Interest Rate Hedged High Yield Bond Fund’’ and also referred to herein as ‘‘Duration Funds’’) | December 18, 2013 | |||
WisdomTree Interest Rate Hedged U.S. Aggregate Bond Fund (“Interest Rate Hedged U.S. Aggregate Bond Fund’’ and also referred to herein as ‘‘Duration Funds’’) | December 18, 2013 | |||
WisdomTree Mortgage Plus Bond Fund (“Mortgage Plus Bond Fund’’) | November 14, 2019 | |||
WisdomTree Yield Enhanced U.S. Aggregate Bond Fund (“Yield Enhanced U.S. Aggregate Bond Fund’’) | July 9, 2015 | |||
WisdomTree Yield Enhanced U.S. Short-Term Aggregate Bond Fund (“Yield Enhanced U.S. Short-Term Aggregate Bond Fund’’) | May 18, 2017 | |||
WisdomTree Alternative Income Fund (“Alternative Income Fund’’) | May 6, 2021 | |||
WisdomTree CBOE S&P 500 PutWrite Strategy Fund (“CBOE S&P 500 PutWrite Strategy Fund’’) | February 24, 2016 | |||
WisdomTree Efficient Gold Plus Gold Miners Strategy Fund (“Efficient Gold Plus Gold Miners Strategy Fund’’) (consolidated) | December 16, 2021 | |||
WisdomTree Enhanced Commodity Strategy Fund (“Enhanced Commodity Strategy Fund’’) (consolidated) | January 23, 2008 | * | ||
WisdomTree Managed Futures Strategy Fund (“Managed Futures Strategy Fund’’) (consolidated) | January 5, 2011 | |||
WisdomTree Target Range Fund (“Target Range Fund’’) | October 7, 2021 |
* | Commencement of operations date shown is that of the predecessor fund. After the close of business December 18, 2020, the predecessor fund was reorganized into the Enhanced Commodity Strategy Fund. |
Each Fund, except for the U.S. Dollar Bullish Fund, Chinese Yuan Strategy Fund, Emerging Currency Strategy Fund, Emerging Markets Corporate Bond Fund, Emerging Markets Local Debt Fund, Mortgage Plus Bond Fund, Enhanced Commodity Strategy Fund, Efficient Gold Plus Gold Miners Strategy Fund, Managed Futures Strategy Fund and Target Range Fund, seeks to track the price and yield performance, before fees and expenses, of a particular index (“Index”) developed by WisdomTree Investments, Inc. (“WisdomTree Investments’’) or an Index developed by a third party. The U.S. Dollar Bullish Fund, Chinese Yuan Strategy Fund, Emerging Currency Strategy Fund, Emerging Markets Corporate Bond Fund, Emerging Markets Local Debt Fund, Mortgage Plus Bond Fund, Enhanced Commodity Strategy Fund, Efficient Gold Plus Gold Miners Strategy Fund, Managed Futures Strategy Fund and Target Range Fund are each actively managed. WisdomTree Investments is the parent company of WisdomTree Asset Management, Inc. (‘‘WTAM’’), the investment adviser to each Fund and the Trust. “WisdomTree” is a registered trademark of WisdomTree Investments and has been licensed for use by the Trust. Each Fund described herein is considered to be non-diversified as defined under the 1940 Act.
In the normal course of business, the Funds may enter into contracts that contain a variety of representations or that provide indemnification for certain liabilities. The Funds’ maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Funds that have not yet occurred. However, the Funds have not had prior claims or losses pursuant to these contracts and believes such exposure to be remote.
2. SIGNIFICANT ACCOUNTING POLICIES
The Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (the “Codification”) is the exclusive reference of authoritative U.S. generally accepted accounting principles (“GAAP”) recognized by the FASB to be applied by nongovernmental entities. Rules and interpretive releases of the Securities and Exchange Commission (“SEC”) under authority of federal laws are also sources of authoritative GAAP for SEC registrants.
The following is a summary of significant accounting policies followed by the Funds:
Basis of Consolidation — The financial statements of the Efficient Gold Plus Gold Miners Strategy Fund, Enhanced Commodity Strategy Fund and Managed Futures Strategy Fund (each a “Parent Fund”), include the accounts of WisdomTree Efficient Gold Plus
WisdomTree Trust | 151 |
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Notes to Financial Statements (unaudited) (continued)
Gold Miners Strategy Portfolio I, WisdomTree Enhanced Commodity Strategy Portfolio I and WisdomTree Managed Futures Portfolio I, respectively, each a wholly-owned and controlled Cayman Islands subsidiary (each a “Subsidiary”). For each Parent Fund, the accompanying financial statements reflect the financial position and results of operations on a consolidated basis with its Subsidiary. All intercompany accounts and transactions have been eliminated in consolidation. Each Parent Fund seeks to gain exposure to commodity markets, in whole or in part, through investments in its Subsidiary. Each Parent Fund’s investment in its Subsidiary may not exceed 25% of the respective Parent Fund’s total assets at the end of each fiscal quarter in order to meet the requirements for qualification as a regulated investment company under the Internal Revenue Code of 1986, as amended (the “Code”).
Use of Estimates — The preparation of financial statements in conformity with GAAP, requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in the net assets from operations during the reporting period. Actual results could differ from those estimates.
Investment Valuation — The net asset value (“NAV”) of each Fund’s shares is calculated each day a Fund is open for business as of the regularly scheduled close of regular trading on the New York Stock Exchange, normally 4:00 p.m. Eastern time (the “NAV Calculation Time”). NAV per share is calculated by dividing a Fund’s net assets by the number of Fund shares outstanding. Each Fund issues and redeems shares at NAV only in large blocks of shares known as creation units, which only certain institutions (e.g., broker-dealers) may purchase or redeem. Shares of each Fund are listed on a national securities exchange and trade at market prices. Most investors will buy and sell shares in the secondary market through brokers. Because Fund shares trade at market prices rather than NAV, shares may trade at a price greater than NAV or less than NAV. In calculating each Fund’s NAV, investments are valued under policies approved by the Board of Trustees of the Trust (the “Board of Trustees”). Fixed income securities (including short-term debt securities with remaining maturities of 60 days or less and to-be-announced (‘‘TBA’’) securities) generally are valued at current market quotations or mean prices obtained from broker-dealers or independent pricing service providers. Broker-dealers or independent pricing service providers, in determining the value of securities, may consider such factors as recent transactions, indications from yields and quoted prices from broker-dealers on similar securities, and market sentiment for the type of security. U.S. fixed income securities may be valued as of the announced closing time for such securities on any day that the Securities Industry and Financial Markets Association announces an early closing time. Repurchase agreements are valued at par which represents their fair value. Except for U.S. Dollar Bullish Fund, foreign currency contracts that settle within two business days after the trade date (‘‘Spot Contracts’’) and foreign currency contracts having a settlement period greater than two business days after the trade date (‘‘Forward Contracts’’) are valued daily using WM/Reuters closing spot and forward rates, respectively, as of 4:00 p.m. London time for all Funds except for Forward Contracts in certain Asian currencies (Chinese renminbi, Chinese yuan, Hong Kong dollar, Indian rupee, Indonesian rupiah, Malaysian ringgit, Philippine peso, Singapore dollar, South Korean won, New Taiwan dollar, and the Thai baht) which are valued daily using WM/Reuters closing forward rates as of 2:00 pm Singapore time. U.S. Dollar Bullish Fund uses WM/Reuters closing spot and forward rates as of 4:00 p.m. Eastern time to value foreign currency contracts daily. Futures contracts generally are valued at the settlement price, the price at which a futures contract settles once a given trading day has ended, on the primary exchange on which they trade. Option contracts generally are valued at the mean of the closing bid/ask price on the primary exchange on which they trade. Equity securities (including preferred stock) traded on any recognized U.S. or non-U.S. exchange are valued at the last sale price or official closing price on the exchange on which they are principally traded. Unlisted equity securities (including preferred stock) are valued at the last sale price or, if no sale price is available, at the mean between the highest bid and lowest ask price. Each Fund may invest in money market funds which are valued at their NAV per share and exchange-traded funds (“ETFs” or “ETF”), or exchange-traded notes (“ETNs” or “ETN”) or closed-end mutual funds (“CEF” or “CEFs”) which are valued at their last sale or official closing price on the exchange on which they are principally traded or at their NAV per share in instances where the ETF, ETN or CEF has not traded on its principal exchange.
In certain instances, such as when reliable market valuations are not readily available, a Fund’s investments, which include derivatives, will be fair valued in accordance with the Fund’s pricing policy. The Board of Trustees has established a pricing committee (the “Pricing Committee”) which is comprised of senior representatives of WTAM and which reports to the Board of Trustees on a quarterly basis. In the event that a financial instrument cannot be valued based upon a price from the exchange or system on which it is principally traded, independent pricing service provider or broker-dealer quotation, or such prices are deemed to not reflect current market value, the Pricing Committee may value the financial instrument in good faith under the policies and procedures approved by the Board of Trustees based on current facts and circumstances. Securities that may be valued using “fair value” pricing may include, but are not limited to, securities for which there are no current market quotations, securities whose issuer is in default or bankruptcy, securities subject to corporate actions (such as mergers or reorganizations), securities subject to non-U.S. investment limits or currency controls, and securities affected by “significant events.” An example of a significant event is an event occurring after the close of the market in which a security trades but before a Fund’s next NAV Calculation Time that may materially affect the value of a Fund’s investment (e.g., government action, natural disaster, or significant market fluctuation). When fair value pricing is employed, the prices of securities used by a Fund to calculate its NAV may differ from quoted or published prices for the same securities.
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Notes to Financial Statements (unaudited) (continued)
Fair Value Measurement — In accordance with Codification Topic 820 (“ASC 820”), Fair Value Measurements and Disclosures, fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. The Pricing Committee will perform other procedures (consistent with GAAP) to value an investment when a market quote is not available. ASC 820 established a three-tier hierarchy of inputs to be used when determining fair value measurements for disclosure purposes. Inputs refer broadly to the assumptions that market participants would use in pricing the asset or liability, including assumptions about risk — for example, the risk inherent in a particular valuation technique used to measure fair value (such as a pricing model) and/or the risk inherent in the inputs to the valuation technique. Inputs may be observable or unobservable. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability. Observable inputs are based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability. Unobservable inputs are based on the best information available in the circumstances. The three-tier hierarchy of inputs is summarized in the three broad levels listed below:
Level 1 – quoted prices in active markets for identical securities
Level 2 – other significant observable inputs (including quoted prices for similar securities, interest rates,
prepayment speeds, credit risk, etc.)
Level 3 – significant unobservable inputs (including each Fund’s assumptions in determining the fair value of
investments)
The inputs or methodology used for valuation are not necessarily an indication of the risk associated with investing in those investments.
Investments that use Level 2 or Level 3 inputs may include, but are not limited to: (i) an unlisted security related to corporate actions; (ii) a restricted security (e.g., one that may not be publicly sold without registration under the Securities Act of 1933, as amended); (iii) a security whose trading has been suspended (either due to events affecting the issuer of the security specifically or events affecting the primary trading exchange more broadly) or which has been de-listed from its primary trading exchange; (iv) a security that is thinly traded; (v) a security in default or bankruptcy proceedings for which there is no current market quotation or market activity; (vi) a security affected by currency controls or restrictions; and (vii) a security affected by a significant event (e.g., an event that occurs after the close of the markets in which the security is traded but before the time as of which a Fund’s NAV is computed and that may materially affect the value of the Fund’s investments).
The valuation techniques and significant inputs used in determining the fair market value measurements for Level 2 and Level 3 positions are as follows:
Financial instruments, such as fixed income securities, are generally valued by independent pricing service providers that use broker-dealer quotations, reported trades or valuation estimates from their internal pricing models. Depending on the type of financial instrument, the independent pricing service providers’ internal pricing models may use inputs that are observable such as issuer details (e.g., credit rating, debt ranking, coupon date, maturity date, etc.), interest rates, yield curves, prepayment speeds, credit risks/spreads, default rates and quoted prices for similar assets. Financial instruments that use similar valuation techniques and observable inputs as described above and have an appropriate level of market activity are categorized as Level 2 of the fair value hierarchy, otherwise a Level 3 fair value classification is appropriate. Over-the-counter financial derivative instruments derive their value from underlying asset prices, indices, reference rates, and other inputs or a combination of these factors. These instruments are normally valued on the basis of broker-dealer quotations or prices obtained from independent pricing service providers. Depending on the product and the terms of the transaction, the value of the financial derivative instruments can be estimated by an independent pricing service provider using a series of techniques including simulation pricing models. The pricing models may use inputs that are observed from actively quoted markets such as issuer details, indices, credit risks/spreads, interest rates, yield curves, default and exchange rates. Derivative contracts that use similar valuation techniques and observable inputs as described above and have an appropriate level of market activity are categorized as Level 2 of the fair value hierarchy, otherwise a Level 3 fair value classification is appropriate.
Determination of a fair value by the Pricing Committee may include significant unobservable inputs and therefore such financial instruments would be reflected as a Level 3 of the fair value hierarchy. The Pricing Committee may employ a market-based valuation approach which may use, among other potential considerations, related or comparable securities, recent transactions, market multiples, and other relevant information to determine fair value. The Pricing Committee may also use an income-based valuation approach in which anticipated future cash flows of the financial instrument are discounted to calculate fair value.
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Notes to Financial Statements (unaudited) (continued)
The summary of fair valuations according to the inputs used in valuing each Fund’s assets as of the measurement date is included in a “Fair Valuation Summary” supplementary table in each applicable Fund’s Schedule of Investments.
During the six months or period ended February 28, 2022, there were no significant transfers into or out of Level 3 of the fair value hierarchy.
Derivatives and Hedging Disclosure — Codification Topic 815 (“ASC 815”), Derivatives and Hedging, requires qualitative disclosures about objectives and strategies for using derivatives, quantitative disclosures about fair value amounts as well as gains and losses on derivative instruments, and disclosures about credit-risk-related contingent features in derivative agreements. The Funds have invested in derivatives, specifically foreign currency contracts, foreign currency futures contracts, commodity futures contracts, interest rate futures contracts, equity futures contracts and equity options contracts during the fiscal period ended February 28, 2022 and open positions in such derivatives as of February 28, 2022 are detailed in each Fund’s Schedule of Investments. All of the derivative instruments disclosed and described herein are subject to credit risk. Credit risk is where the financial condition of an issuer of a security or instrument may cause it to default or become unable to pay interest or principal due on the security or where the counterparty to a derivative contract might default on its obligations. The Funds’ derivative agreements may also contain credit-risk related contingent features which include, but are not limited to, a percentage decline in the Funds’ NAV over a specified time period. If an event occurred at February 28, 2022 that triggered a contingent feature, the counterparty to the agreement may require the Funds to post additional collateral or terminate the derivative positions and demand payment. Any collateral posted with respect to the derivative positions would be used to offset or reduce the payment. The maximum exposure to derivatives agreements with credit-risk related contingent features would be the total value of derivatives in net liability positions for each Fund, as disclosed in the table included in Note 2 — Master Netting Arrangements. Information with respect to the amounts and types of collateral received and/or posted for derivative instruments as of February 28, 2022, if any, is reflected as a footnote within each Fund’s Schedule of Investments.
As of February 28, 2022, the effects of such derivative instruments on each Fund’s financial position as reflected in the Statements of Assets and Liabilities are presented in the summary below:
Asset Derivatives | Liability Derivatives | |||||||||||
Fund | Balance Sheet Location | Value | Balance Sheet Location | Value | ||||||||
U.S. Dollar Bullish Fund | ||||||||||||
Foreign currency risk | Unrealized appreciation on foreign currency contracts | $ | 269,774 | Unrealized depreciation on foreign currency contracts | $ | 671,988 | ||||||
Chinese Yuan Strategy Fund | ||||||||||||
Foreign currency risk | Unrealized appreciation on foreign currency contracts | 469,980 | Unrealized depreciation on foreign currency contracts | 30,676 | ||||||||
Emerging Currency Strategy Fund | ||||||||||||
Foreign currency risk | Unrealized appreciation on foreign currency contracts | 188,523 | Unrealized depreciation on foreign currency contracts | 345,207 | ||||||||
Emerging Markets Corporate Bond Fund | ||||||||||||
Interest rate risk | Unrealized appreciation on futures contracts* | 55,985 | Unrealized depreciation on futures contracts* | 128,041 | ||||||||
Emerging Markets Local Debt Fund | ||||||||||||
Foreign currency risk | Unrealized appreciation on foreign currency contracts | 58,218 | Unrealized depreciation on foreign currency contracts | 20,926 | ||||||||
Interest Rate Hedged High Yield Bond Fund | ||||||||||||
Interest rate risk | Unrealized appreciation on futures contracts* | 7,215 | Unrealized depreciation on futures contracts* | 1,297,883 | ||||||||
Interest Rate Hedged U.S. Aggregate Bond Fund | ||||||||||||
Interest rate risk | Unrealized appreciation on futures contracts* | — | Unrealized depreciation on futures contracts* | 2,772,548 | ||||||||
Mortgage Plus Bond Fund | ||||||||||||
Interest rate risk | Unrealized appreciation on futures contracts* | 19,626 | Unrealized depreciation on futures contracts* | 4,844 | ||||||||
CBOE S&P 500 PutWrite Strategy Fund | ||||||||||||
Equity risk | Written options, at value | 2,112,420 | ||||||||||
Efficient Gold Plus Gold Miners Strategy Fund (consolidated) |
| |||||||||||
Commodity risk | Unrealized appreciation on futures contracts* | 97,557 | Unrealized depreciation on futures contracts* | — | ||||||||
Foreign currency risk | Unrealized appreciation on foreign currency contracts | 4 | Unrealized depreciation on foreign currency contracts | 11 |
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Notes to Financial Statements (unaudited) (continued)
Asset Derivatives | Liability Derivatives | |||||||||||
Fund | Balance Sheet Location | Value | Balance Sheet Location | Value | ||||||||
Enhanced Commodity Strategy Fund (consolidated) | ||||||||||||
Commodity risk | Unrealized appreciation on futures contracts* | $ | 34,345,689 | Unrealized depreciation on futures contracts* | $ | 7,606,781 | ||||||
Digital assets risk | Unrealized appreciation on futures contracts* | 419,685 | Unrealized depreciation on futures contracts* | — | ||||||||
Managed Futures Strategy Fund (consolidated) | ||||||||||||
Commodity risk | Unrealized appreciation on futures contracts* | 3,653,209 | Unrealized depreciation on futures contracts* | 319,175 | ||||||||
Equity risk | Unrealized appreciation on futures contracts* | 4,920 | Unrealized depreciation on futures contracts* | 1,371,819 | ||||||||
Foreign currency risk | Unrealized appreciation on futures contracts* | 60,457 | Unrealized depreciation on futures contracts* | — | ||||||||
Interest rate risk | Unrealized appreciation on futures contracts* | 875 | Unrealized depreciation on futures contracts* | 6,250 | ||||||||
Target Range Fund | ||||||||||||
Equity risk | Purchased options, at value** | 3,885,074 | Written options, at value | 300,940 |
* | Includes cumulative appreciation (depreciation) of futures contracts as reported in each Fund’s Schedule of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities. Please see Note 2 (Futures Contracts) on page 159 for additional information regarding balance sheet location of balances associated with futures contracts |
** | Purchased options, at value are reported in the Fund’s Investment in securities, at value within the Statements of Assets and Liabilities. |
For the six months or period ended February 28, 2022, the effects of derivative instruments on each applicable Fund’s financial performance as reflected in the Statements of Operations are presented in the summary below:
Fund | Amount of Realized Gain or (Loss) on Derivatives Recognized1 | Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized2 | ||||||
U.S. Dollar Bullish Fund |
| |||||||
Foreign currency risk | $ | 5,076,874 | $ | (1,118,991 | ) | |||
Chinese Yuan Strategy Fund |
| |||||||
Foreign currency risk | 1,100,823 | 371,593 | ||||||
Emerging Currency Strategy Fund |
| |||||||
Foreign currency risk | (553,153 | ) | (259,710 | ) | ||||
Emerging Markets Corporate Bond Fund |
| |||||||
Interest rate risk | 219,165 | (51,203 | ) | |||||
Emerging Markets Local Debt Fund |
| |||||||
Foreign currency risk | (303,629 | ) | 245,292 | |||||
Interest Rate Hedged High Yield Bond Fund |
| |||||||
Interest rate risk | 6,177,250 | (984,701 | ) | |||||
Interest Rate Hedged U.S. Aggregate Bond Fund |
| |||||||
Interest rate risk | 11,063,892 | (2,356,507 | ) | |||||
Mortgage Plus Bond Fund |
| |||||||
Interest rate risk | 13,995 | 20,903 | ||||||
Yield Enhanced U.S. Short-Term Aggregate Bond Fund |
| |||||||
Interest rate risk | 31,290 | — | ||||||
CBOE S&P 500 PutWrite Strategy Fund |
| |||||||
Equity risk | 2,278,846 | (135,510 | ) | |||||
Efficient Gold Plus Gold Miners Strategy Fund (consolidated)3 |
| |||||||
Commodity risk | 40,283 | 97,557 | ||||||
Foreign currency risk | 2,824 | (7 | ) | |||||
Enhanced Commodity Strategy Fund (consolidated) |
| |||||||
Commodity risk | 21,577,635 | 16,490,132 | ||||||
Digital assets risk | (2,775,032 | ) | 419,685 |
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Notes to Financial Statements (unaudited) (continued)
Fund | Amount of Realized Gain or (Loss) on Derivatives Recognized1 | Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized2 | ||||||
Managed Futures Strategy Fund (consolidated) |
| |||||||
Commodity risk | $ | (1,496,552 | ) | $ | 3,107,872 | |||
Equity risk | (1,483,156 | ) | (2,818,110 | ) | ||||
Foreign currency risk | (372,366 | ) | 62,697 | |||||
Interest rate risk | (732,286 | ) | 105,172 | |||||
Target Range Fund4 |
| |||||||
Equity risk | (541,268 | ) | (556,250 | ) |
1 | Realized gains (losses) on derivatives are located on the Statements of Operations as follows: |
Commodity risk | Net realized gain (loss) from futures contracts | |
Digital assets risk | Net realized gain (loss) from futures contracts | |
Equity risk | Net realized gain (loss) from purchased options Net realized gain (loss) from written options Net realized gain (loss) from futures contracts | |
Foreign currency risk | Net realized gain (loss) from foreign currency contracts Net realized gain (loss) from futures contracts | |
Interest rate risk | Net realized gain (loss) from futures contracts |
2 | Change in unrealized appreciation (depreciation) is located on the Statements of Operations as follows: |
Commodity risk | Net increase (decrease) in unrealized appreciation/depreciation from futures contracts | |
Digital assets risk | Net increase (decrease) in unrealized appreciation/depreciation from futures contracts | |
Equity risk | Net increase (decrease) in unrealized appreciation/depreciation from written options Net increase (decrease) in unrealized appreciation/depreciation from futures contracts | |
Foreign currency risk | Net increase (decrease) in unrealized appreciation/depreciation from futures contracts Net increase (decrease) in unrealized appreciation/depreciation from foreign currency contracts | |
Interest rate risk | Net increase (decrease) in unrealized appreciation/depreciation from futures contracts |
3 | For the period December 16, 2021 (commencement of operations) through February 28, 2022. |
4 | For the period October 7, 2021 (commencement of operations) through February 28, 2022. |
During the six months or period ended February 28, 2022, the volume of derivative activity (based on the average of month-end balances) for each Fund was as follows:
Average Notional | ||||||||||||||||||||||||
Fund | Foreign currency contracts (to deliver USD) | Foreign currency contracts (to receive USD) | Futures contracts | Futures contracts | Purchased options | Written options | ||||||||||||||||||
U.S. Dollar Bullish Fund |
| |||||||||||||||||||||||
Foreign currency risk | $ | 142,603,109 | $ | 277,323,407 | $ | — | $ | — | $ | — | $ | — | ||||||||||||
Chinese Yuan Strategy Fund |
| |||||||||||||||||||||||
Foreign currency risk | 56,318,370 | 18,306,122 | — | — | — | — | ||||||||||||||||||
Emerging Currency Strategy Fund |
| |||||||||||||||||||||||
Foreign currency risk | 19,804,718 | 5,789,396 | — | — | — | — | ||||||||||||||||||
Emerging Markets Corporate Bond Fund |
| |||||||||||||||||||||||
Interest rate risk | — | — | 10,931,820 | 10,790,042 | — | — | ||||||||||||||||||
Emerging Markets Local Debt Fund |
| |||||||||||||||||||||||
Foreign currency risk | 3,265,970 | 2,374,432 | — | — | — | — | ||||||||||||||||||
Interest Rate Hedged High Yield Bond Fund |
| |||||||||||||||||||||||
Interest rate risk | — | — | 271,366 | 158,964,485 | — | — | ||||||||||||||||||
Interest Rate Hedged U.S. Aggregate Bond Fund |
| |||||||||||||||||||||||
Interest rate risk | — | — | — | 260,247,926 | — | — | ||||||||||||||||||
Mortgage Plus Bond Fund |
| |||||||||||||||||||||||
Interest rate risk | — | — | 1,181,006 | 1,244,616 | — | — | ||||||||||||||||||
Yield Enhanced U.S. Short-Term Aggregate Bond Fund |
| |||||||||||||||||||||||
Interest rate risk | — | — | — | 318,069 | — | — | ||||||||||||||||||
CBOE S&P 500 PutWrite Strategy Fund |
| |||||||||||||||||||||||
Equity risk | — | — | — | — | — | 74,427,571 |
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Notes to Financial Statements (unaudited) (continued)
Average Notional | ||||||||||||||||||||||||
Fund | Foreign currency contracts (to deliver USD) | Foreign currency contracts (to receive USD) | Futures contracts | Futures contracts | Purchased options | Written options | ||||||||||||||||||
Efficient Gold Plus Gold Miners Strategy Fund (consolidated)1 |
| |||||||||||||||||||||||
Commodity risk | $ | — | $ | — | $ | 1,587,333 | $ | — | $ | — | $ | — | ||||||||||||
Foreign currency risk | 11,253 | — | — | — | — | — | ||||||||||||||||||
Enhanced Commodity Strategy Fund (consolidated) |
| |||||||||||||||||||||||
Commodity risk | — | — | 281,865,288 | 67,935,355 | — | — | ||||||||||||||||||
Digital assets risk | — | — | 4,142,339 | — | — | — | ||||||||||||||||||
Managed Futures Strategy Fund (consolidated) |
| |||||||||||||||||||||||
Commodity risk | — | — | 37,027,704 | 9,511,544 | — | — | ||||||||||||||||||
Equity risk | — | — | 46,336,217 | — | — | — | ||||||||||||||||||
Foreign currency risk | — | — | 15,007,840 | — | — | — | ||||||||||||||||||
Interest rate risk | — | — | 10,711,904 | 3,431,353 | — | — | ||||||||||||||||||
Target Range Fund2 |
| |||||||||||||||||||||||
Equity risk | — | — | — | — | 10,906,333 | 14,688,120 |
1 | For the period December 16, 2021 (commencement of operations) through February 28, 2022. |
2 | For the period October 7, 2021 (commencement of operations) through February 28, 2022. |
Investment Transactions and Investment Income — Investment transactions are recorded as of the date that the securities are purchased or sold (trade date). Realized gains and losses on sales of portfolio securities are calculated using the identified-cost method. Interest income (including amortization of premiums and accretion of discounts), less any foreign taxes withheld, is accrued daily. Generally, amortization of premiums and accretion of discounts are recognized daily using the effective interest method (also known as scientific amortization method). Payment-in-kind (‘‘PIK’’) interest income is accrued daily and the increase in a security’s principal amount related to such PIK interest income is recorded on the coupon payment date. Dividend income is recognized on the ex-dividend date. On each measurement date, the Funds evaluate the collectability of receivable balances. Generally, the Funds will write-off interest receivable balances in default by the issuer as of the date any applicable interest payment grace period or forbearance period expires or as of the date any interest payment cancellation notification was publicly made available or when it becomes probable that interest will not be collected and the amount of uncollectable interest can be reasonably estimated.
Foreign Currency Translation — The accounting records of the Funds are maintained in U.S. dollars. Foreign currencies, as well as investment securities and other assets and liabilities denominated in foreign currencies, are translated into U.S. dollars using exchange rates prevailing on the respective dates of such transactions that are deemed appropriate by WTAM. Realized and unrealized foreign exchange gains and losses on investments are included as a component of “net realized gain (loss) from investment transactions” and “net increase (decrease) in unrealized appreciation/depreciation from investment transactions”, respectively, on the Statements of Operations. Realized and unrealized foreign exchange gains or losses from foreign currency contracts are included in “net realized gain (loss) from foreign currency contracts” and “net increase (decrease) in unrealized appreciation/depreciation from foreign currency contracts”, respectively, on the Statements of Operations. Realized and unrealized foreign exchange gains or losses arising from sales of foreign currencies, currency gains or losses recognized between the trade and settlement dates on investment transactions, and the difference between the amounts of dividends/interest and foreign withholding taxes recorded on the Funds’ books and the U.S. dollar equivalent of the amounts actually received or paid are included in “net realized gain (loss) from foreign currency related transactions” and/or “net increase (decrease) in unrealized appreciation/depreciation from translation of assets and liabilities denominated in foreign currencies” in the Statements of Operations. Certain foreign exchange gains and losses included in realized and unrealized gains or losses are included in, or are a reduction of, ordinary income in accordance with U.S. Federal income tax regulations.
Expenses — Under the investment advisory agreement for each Fund, except for Funds that commenced operations on or after March 26, 2013, WTAM has agreed to pay all expenses of the Trust, except for: (i) brokerage expenses and other expenses (such as stamp taxes) connected with the execution of portfolio transactions or in connection with creation and redemption transactions; (ii) legal fees or expenses in connection with any arbitration, litigation or pending or threatened arbitration or litigation, including any settlements in connection therewith; (iii) compensation and expenses of trustees who are not interested persons of the Funds (“Independent Trustees”); (iv) compensation and expenses of counsel to the Independent Trustees; (v) compensation and expenses of the Trust’s Chief Compliance Officer (‘‘CCO’’); (vi) extraordinary expenses; (vii) distribution fees and expenses paid by the Trust under any distribution plan adopted pursuant to Rule 12b-1 under the 1940 Act; and (viii) the advisory fee payable to WTAM.
Under the investment advisory agreement for Funds that commenced operations on or after March 26, 2013, WTAM has agreed to pay all expenses of the Trust, except for: (i) brokerage expenses and other fees, charges, taxes, levies or expenses (such as stamp
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taxes) incurred in connection with the execution of portfolio transactions or in connection with creation and redemption transactions (including without limitation any fees, charges, taxes, levies or expenses related to the purchase or sale of an amount of any currency, or the patriation or repatriation of any security or other asset, related to the execution of portfolio transactions or any creation or redemption transactions); (ii) legal fees or expenses in connection with any arbitration, litigation or pending or threatened arbitration or litigation, including any settlements in connection therewith; (iii) compensation and expenses of each Independent Trustee; (iv) compensation and expenses of counsel to the Independent Trustees; (v) compensation and expenses of the Trust’s CCO; (vi) extraordinary expenses (in each case as determined by a majority of the Independent Trustees); (vii) distribution fees and expenses paid by the Trust under any distribution plan adopted pursuant to Rule 12b-1 under the 1940 Act; (viii) interest and taxes of any kind or nature (including, but not limited to, income, excise, transfer and withholding taxes); (ix) fees and expenses related to the provision of securities lending services; and (x) the advisory fee payable to WTAM.
Acquired fund fees and expenses (“AFFEs”) (which are fees and expenses incurred indirectly by a Fund through its investments in certain underlying investment companies) are not operating expenses of the Funds and are not paid by WTAM.
Pursuant to a separate contractual arrangement, WTAM arranges for the provision of CCO services with respect to each Fund, and is liable and responsible for, and administers, payments to the CCO, the Independent Trustees and counsel to the Independent Trustees. WTAM receives a fee, as shown on the Statements of Operations under “Service fees”, of up to 0.0044% per annum of each Fund’s average daily net assets for providing such services and paying such expenses. WTAM provides CCO services to the Trust.
Repurchase Agreements — Each Fund may enter into repurchase agreements with counterparties that are deemed to present acceptable credit risks. A repurchase agreement is a transaction in which a Fund acquires securities or other obligations as collateral from a commercial bank or securities broker-dealer and simultaneously commits to resell them to the counterparty at an agreed upon date or upon demand and at a price reflecting a market rate of interest unrelated to the coupon rate or maturity of the acquired obligations. This is designed to result in a fixed rate of return for the Fund insulated from market fluctuations during the holding period. Each Fund maintains custody of the acquired collateral prior to their repurchase, either through its regular custodian or through a special “tri-party” custodian or sub-custodian that maintains separate accounts for both the Fund and the counterparty. Because repurchase agreements are collateralized by securities, they are subject to market and credit risk on the acquired collateral in addition to counterparty credit risk. The acquired collateral is valued on a daily basis at fair value to ensure that the value, including accrued interest, is at least equal to the repurchase price. If the acquired collateral declines in value and becomes less than the repurchase price, plus any agreed-upon additional amount, the counterparty must provide additional collateral so that at all times the collateral value is at least equal to the repurchase price plus any agreed-upon additional amount. In the event of default of the obligation to repurchase, a Fund has the right to liquidate the collateral and apply the proceeds in satisfaction of the obligations. Under certain circumstances, in the event of default or bankruptcy by the other party to the agreement, realization and/or retention of the collateral may be subject to legal proceedings.
Foreign Currency Contracts — The Currency Strategy Funds, except the U.S. Dollar Bullish Fund, utilized foreign currency contracts to obtain net long exposure to foreign currencies consistent with each Currency Strategy Fund’s investment strategy. The U.S. Dollar Bullish Fund utilized foreign currency contracts to obtain net short exposure to foreign currencies consistent with its investment strategy. The Emerging Markets Local Debt Fund utilized foreign currency contracts to obtain long and short exposures to foreign currencies consistent with its investment objective. The Efficient Gold Plus Gold Miners Strategy Fund utilized foreign currency contracts primarily to facilitate foreign security settlements. A foreign currency contract involves an obligation to purchase or sell a specific currency at a future date, which may be any fixed number of days from the date of the contract agreed upon by the parties, at a price set at the time of the contract. These contracts are principally traded in the inter-bank market conducted directly between currency traders (usually large, commercial banks) and their customers. A foreign currency contract generally does not require an initial margin deposit and no commissions are charged at any stage for trades. However, if a Fund is in an unrealized loss position on a foreign currency contract, it may be required to pledge collateral (or additional collateral) to the counterparty. If a Fund is in an unrealized gain position on a foreign currency contract, it may receive collateral from the counterparty. In the event of a default or inability of counterparties to meet the terms of their contracts, the non-defaulting party generally has the right to liquidate the collateral and apply the proceeds in satisfaction of the contract terms.
Risks may arise upon entering into foreign currency contracts from the potential inability of counterparties to meet the terms of their contracts and from unanticipated movements in the value of foreign currencies relative to the U.S. dollar or each other.
Fluctuations in the value of open foreign currency contracts are recorded for book purposes as unrealized gains or losses on foreign currency contracts by the Funds and are included in “net increase (decrease) in unrealized appreciation/depreciation from foreign currency contracts” on the Statements of Operations. Realized gains and losses on foreign currency contracts include net gains or losses recognized by the Funds on contracts which have settled are included in “net realized gain (loss) from foreign currency contracts” on the Statements of Operations.
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Futures Contracts — The Duration Funds and the Yield Enhanced U.S. Short-Term Aggregate Bond Fund utilized futures contracts to obtain net short exposure to U.S. Treasury bonds to hedge against a rise in interest rates. The Emerging Markets Corporate Bond Fund and the Mortgage Plus Bond Fund each utilized futures contracts on U.S. Treasury bonds to manage interest rate risk. The Efficient Gold Plus Gold Miners Strategy Fund utilized futures contracts to obtain long exposure to commodities consistent with its investment objective. The Enhanced Commodity Strategy Fund utilized futures contracts to obtain long and short exposures to commodities consistent with its investment objective. The Managed Futures Strategy Fund utilized futures contracts to obtain long and short exposures to currencies, commodities, interest rates and equity indexes consistent with its investment objective. When a Fund purchases a listed futures contract, it agrees to purchase a specified reference asset (e.g., commodity, currency, equity or U.S. Treasury security) at a specified future date. When a Fund sells a listed futures contract, it agrees to sell a specified reference asset (e.g., commodity, currency, equity or U.S. Treasury security) at a specified future date. The price at which the purchase and sale will take place is fixed when the Fund enters into the contract. The exchange clearing corporation is the ultimate counterparty for all exchange-listed contracts, so credit risk is limited to the creditworthiness of the exchange clearing corporation.
Upon entering into a futures contract, a Fund is required to deliver to a broker an amount of cash and/or U.S. government securities equal to a certain percentage of the contract amount. This amount is known as the “initial margin”. Cash deposited as initial margin is shown as “Deposits at broker for futures contracts” in the Statement of Assets and Liabilities, and U.S. government securities deposited are designated in the Schedule of Investments. Subsequent payments, known as “variation margin”, generally are made or received by the Fund each day or at other agreed-upon time periods depending on the fluctuations in the value of the underlying futures contracts, except that in the case of certain futures contracts, variation margin payments may be made or received when the futures contract expires. Variation margin is recorded for financial statement purposes on a daily basis as an unrealized gain or loss on futures until the financial futures contract is closed, at which time the net gain or loss is reclassified to realized gain or loss on futures. The current one-day variation margin on open futures contracts is shown on the Statements of Assets and Liabilities as either a receivable or a payable for ‘‘Net variation margin on futures contracts’’. The variation margins received or paid by the Funds on both open and closed futures contracts are shown in the Statements of Assets and Liabilities, in whole or in part, as a component of, or an offset to, ‘‘Deposits at broker for futures contracts’’. Deposits at broker utilized for futures contract margin requirements generally are restricted from withdrawal. When a Fund purchases or sells a futures contract, the Fund is required to “cover” its position in order to limit the risk associated with the use of leverage and other related risks. To cover its position, a Fund will segregate assets consisting of, or take other measures with respect to, cash or liquid securities that, when added to any amounts deposited with a futures commission merchant as margin, will “cover” its position in a manner consistent with the 1940 Act or the rules and SEC interpretations thereunder. This will function as a practical limit on the amount of leverage which a Fund may undertake and on the potential increase in the speculative character of a Fund’s outstanding portfolio securities.
Options Contracts — The CBOE S&P 500 PutWrite Strategy Fund utilized option contracts by writing put options on the S&P 500 Index consistent with its investment objective. The Target Range Fund utilized option contracts by purchasing long call options and writing short call options on a portfolio of four exchanged traded funds (“ETFs”) that track the performance of large- and mid-capitalization companies in the United States, developed market countries and emerging market countries, respectively, consisting of the SPDR® S&P 500 ETF Trust, iShares Russell 2000 ETF, iShares MSCI EAFE ETF, and iShares MSCI Emerging Markets ETF consistent with its investment objective. A put option gives the purchaser of the option the right to sell, and the writer of the option the obligation to buy, the underlying security or financial instrument. A call option gives the purchaser of the option the right to buy, and the writer of the option the obligation to sell, the underlying security or financial instrument. A premium is paid to the writer of an option as consideration for undertaking the obligation in the contract. The CBOE S&P 500 PutWrite Strategy Fund and Target Range Fund may purchase and write options on an exchange or over the counter (“OTC”). OTC options differ from exchange-traded options in several respects. They are transacted directly with dealers and not with a clearing corporation, and therefore entail the risk of nonperformance by the dealer. OTC options are available for a greater variety of securities and for a wider range of expiration dates and exercise prices than are available for exchange-traded options. Because OTC options are not traded on an exchange, pricing is done normally by reference to information from a market maker.
When an option is purchased, an amount equal to the premium paid is recorded as an asset, the value of which is marked-to-market to reflect the current market value of the option purchased. If the purchased option expires, a loss equal to the amount of premium paid is realized. When a security or financial instrument is purchased or sold through the exercise of an option, the related premium paid is added to the basis of the security or financial instrument acquired or deducted from the proceeds of the security or financial instrument sold.
When an option is written, an amount equal to the premium received is recorded as a liability, the value of which is marked-to-market daily to reflect the current market value of the option written. If the option expires, the premium received is recorded as a realized gain. When a written call option is exercised, the difference between the premium received plus the option exercise price and the basis in the underlying security (in the case of a covered written call option), or the cost to purchase the underlying security (in the case of an uncovered written call option), including brokerage commission, is recognized as a realized
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gain or loss. When a written put option is exercised, the amount of the premium received is subtracted from the cost of the security purchased from the exercise of the written put option to form the basis in the underlying security purchased.
The purchaser or writer of an option may close the position before the exercise of the option by entering into a closing transaction. In the case of a written option, the cost of a closing transaction is deducted from the original premium received resulting in a realized gain or loss. With respect to a purchased option, the original premium paid is deducted from the proceeds received from a closing transaction resulting in a realized gain or loss.
The maximum payout for written put options is limited to the number of contracts written and the associated strike prices. At February 28, 2022, the maximum payout for written put options for the CBOE S&P 500 PutWrite Strategy Fund was $95,048,000. The maximum payout for written call options is potentially unlimited to the extent that the written call option is uncovered.
The risk associated with purchasing put and call options is limited to the premiums paid. The risk in writing a covered call option is that the writer of the option may forego the opportunity of profit if the market price of the underlying security increases and the option is exercised. The risk in writing an uncovered call option is that the writer of the option is exposed to the risk of loss if the market price of the underlying security increases. The risk in writing a put option is that the writer of the option may incur a loss if the market price of the underlying security decreases and the option is exercised. In addition, there is the risk that the purchaser or writer of an option may not be able to enter into a closing transaction because of an illiquid secondary market.
Other significant risks associated with the use of options contracts may include the following: (1) the success of a strategy may depend on the investment adviser’s ability to predict movements in the prices of individual commodities, currencies or securities, fluctuations in markets and movements in interest rates; (2) there may be an imperfect or no correlation between the changes in market value of the commodities, currencies or securities and the price of options; (3) although the CBOE S&P 500 PutWrite Strategy Fund and Target Range Fund intend to enter into options contracts only if there is an active market for such contracts, there is no assurance that an active market will exist for the contracts at any particular time; (4) trading restrictions or limitations may be imposed by an exchange; and (5) government regulations may restrict trading in options contracts.
Securities Lending — Each Fund may lend portfolio securities to certain creditworthy borrowers, including the Funds’ securities lending agent. It is the Funds’ policy that, at origination, all loans are secured by collateral of at least 102% of the value of U.S. securities loaned and 105% of the value of foreign securities loaned. Collateral in the form of cash and/or securities issued or guaranteed by the U.S. government or its agencies, equivalent to at least 100% of the market value of securities, is maintained at all times. The cash collateral can be invested in certain money market mutual funds which also have exposure to the fluctuations of the market. The values of the investments of cash collateral for securities on loan along with the obligations to return such collateral are included on the Statements of Assets and Liabilities. The total value of securities received as collateral for securities on loan is included in a footnote following each Schedule of Investments, but is not included within the Statements of Assets and Liabilities because the receiving Fund does not have the right to sell or repledge the securities received as collateral. As compensation for lending its securities, each Fund retains all or a portion of the interest received on investment of cash collateral or receives a fee from the borrower (net of any fee rebates paid to the borrower). The lending agent receives a portion of the income earned by the Funds in connection with the lending program. The net securities lending income earned by the Funds is disclosed on the Statements of Operations. The dividend and interest income earned on the securities loaned is accounted for in the same manner as other dividend and interest income. The borrower pays to the Funds an amount equal to any dividends or interest received on loaned securities. Dividends received while a security is out on loan are not considered Qualified Dividend Income (“QDI”) under the specific criteria issued by the Internal Revenue Service and are subject to taxation at the shareholder’s ordinary income tax rate instead of the lower long-term capital gains tax rate. Lending portfolio securities could result in a loss or delay in recovering each Fund’s securities if the borrower defaults. In the event of a borrower default with respect to the failure to return to each Fund some or all of the securities loaned, the securities lending agent shall indemnify each Fund against the failure of the borrower if the value of the collateral received is insufficient to cover the market value of the securities loaned.
Master Netting Arrangements — Codification Topic 210 (“ASC 210”), Balance Sheet, requires disclosures generally intended to (i) help investors and other financial statement users to better assess the effect or potential effect of offsetting arrangements on a company’s financial position, (ii) improve transparency in the reporting of how companies mitigate credit risk, and (iii) facilitate comparisons between those entities that prepare their financial statements on the basis of GAAP and those entities that prepare their financial statements on the basis of international financial reporting standards. ASC 210 requires entities to disclose (i) gross and net information about both instruments and transactions eligible for offset in the financial statements, and (ii) instruments and transactions subject to an agreement similar to a master netting agreement. ASC 210 is limited in scope to the following financial instruments, to the extent they are offset in the financial statements or subject to an enforceable master netting arrangement or similar agreement: (i) recognized derivative instruments accounted for under ASC 815 (Derivatives and Hedging); (ii) repurchase agreements and reverse repurchase agreements; and (iii) securities borrowing and securities lending transactions.
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In order to better define its contractual rights and to secure rights that will help a Fund mitigate its counterparty risk, a Fund enters into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) with its counterparties. An ISDA Master Agreement is a bilateral agreement between a Fund and a counterparty that governs over-the-counter derivatives (“OTC”), such as foreign currency contracts, and typically contains, among other things, collateral posting terms, netting and rights of set-off provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, a Fund may, under certain circumstances, offset with the counterparty certain derivative financial instruments’ payables and receivables to create a single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of a default (close-out netting) or similar event, including the bankruptcy or insolvency of the counterparty.
Collateral requirements generally differ by type of derivative. Collateral terms are contract-specific for OTC derivatives (e.g., foreign currency contracts, options and certain swaps). Generally, for transactions traded under an ISDA Master Agreement, the collateral requirements are calculated by netting the marked to market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by a Fund and the counterparty. Generally, the amount of collateral due from or to a counterparty must exceed a minimum transfer amount threshold before a transfer is required to be made. To the extent amounts due to a Fund from its derivatives counterparties are not fully collateralized, contractually or otherwise, the Fund bears the risk of loss from a counterparty’s non-performance.
Repurchase agreements are subject to the terms and conditions of a Master Repurchase Agreement (“Master Repurchase Agreement”) between a Fund and a counterparty. In the event of a default or failure by a party to perform an obligation with respect to a repurchase transaction, the Master Repurchase Agreement gives the non-defaulting party the right to set-off claims and to apply collateral held by it in connection with a repurchase transaction against obligations owed to the non-defaulting party.
The Funds’ securities lending activities are governed by a Securities Lending Authorization Agreement (“Lending Agreement”) between the Funds and the lending agent. The Lending Agreement authorizes the lending agent to lend qualifying U.S. and foreign securities held by a Fund to approved borrowers (each a “Borrower”). To mitigate borrower risk, a Fund typically receives from a Borrower collateral in the form of U.S. dollar cash and/or securities issued or guaranteed by the U.S. government or its agencies in excess of the market value of the securities loaned. Under the provisions of the Lending Agreement, a Fund shall have, as to the collateral, all of the rights and remedies of a secured party under applicable law. A Fund is exposed to risk of loss if a Borrower defaults on its obligation to return borrowed securities and the value of the collateral a Fund received is insufficient to cover the market value of the securities loaned. Also, the lending agent is permitted to invest the cash collateral it receives from a Borrower into a money market fund which is subject to market fluctuation. Therefore, a Fund is exposed to risk of loss if the value of invested cash collateral is insufficient to satisfy the Fund’s obligation to return the full amount owed to such Borrower.
The Funds’ futures contracts and option contracts are all exchange traded and are not subject to master netting arrangements. Therefore, all futures contracts and option contracts are excluded from the netting table.
For financial reporting purposes, the Funds elect to not offset assets and liabilities subject to an ISDA Master Agreement, Master Repurchase Agreement or Lending Agreement, if any, in the Statements of Assets and Liabilities. Therefore, all qualifying transactions are presented on a gross basis in the Statements of Assets and Liabilities. As of February 28, 2022, the impact of netting of assets and liabilities and the offsetting of collateral pledged or received based on contractual netting/set-off provisions in the ISDA Master Agreement, Master Repurchase Agreement and the Lending Agreement are detailed in the following table:
Assets | Liabilities | |||||||||||||||||||||||||||||||||||
Gross Amounts Assets and | Gross Amounts Not Offset in the Statements of Assets��and Liabilities | Gross Amounts Statements of Assets and | Gross Amounts Not Offset in the Statements of Assets and Liabilities | |||||||||||||||||||||||||||||||||
Fund | Financial Instruments | Collateral Received | Net Amount | Financial Instruments | Collateral Posted | Net Amount | ||||||||||||||||||||||||||||||
U.S. Dollar Bullish Fund |
| |||||||||||||||||||||||||||||||||||
Foreign Currency Contracts | $ | 269,774 | $ | (166,424 | ) | $ | — | $ | 103,350 | $ | 671,988 | $ | (166,424 | ) | $ | — | $ | 505,564 | ||||||||||||||||||
Chinese Yuan Strategy Fund |
| |||||||||||||||||||||||||||||||||||
Repurchase Agreements | 10,790,000 | — | (10,790,000 | )1 | — | — | — | — | — | |||||||||||||||||||||||||||
Foreign Currency Contracts | 469,980 | (8,670 | ) | — | 461,310 | 30,676 | (8,670 | ) | — | 22,006 | ||||||||||||||||||||||||||
Emerging Currency Strategy Fund |
| |||||||||||||||||||||||||||||||||||
Repurchase Agreements | 3,930,000 | — | (3,930,000 | )1 | — | — | — | — | — | |||||||||||||||||||||||||||
Foreign Currency Contracts | 188,523 | (1,130 | ) | — | 187,393 | 345,207 | (1,130 | ) | — | 344,077 | ||||||||||||||||||||||||||
Emerging Markets Corporate Bond Fund |
| |||||||||||||||||||||||||||||||||||
Securities Lending | 4,588,634 | — | (4,588,634 | )1 | — | — | — | — | — |
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Assets | Liabilities | |||||||||||||||||||||||||||||||||||
Gross Amounts Assets and | Gross Amounts Not Offset in the Statements of Assets and Liabilities | Gross Amounts Statements of Assets and | Gross Amounts Not Offset in the Statements of Assets and Liabilities | |||||||||||||||||||||||||||||||||
Fund | Financial Instruments | Collateral Received | Net Amount | Financial Instruments | Collateral Posted | Net Amount | ||||||||||||||||||||||||||||||
Emerging Markets Local Debt Fund |
| |||||||||||||||||||||||||||||||||||
Repurchase Agreements | $ | 2,030,000 | $ | — | $ | (2,030,000 | )1 | $ | — | $ | — | $ | — | $ | — | $ | — | |||||||||||||||||||
Foreign Currency Contracts | 58,218 | (301 | ) | — | 57,917 | 20,926 | (301 | ) | — | 20,625 | ||||||||||||||||||||||||||
Interest Rate Hedged High Yield Bond Fund |
| |||||||||||||||||||||||||||||||||||
Securities Lending | 12,664,710 | — | (12,664,710 | )1 | — | — | — | — | — | |||||||||||||||||||||||||||
Interest Rate Hedged U.S. Aggregate Bond Fund |
| |||||||||||||||||||||||||||||||||||
Securities Lending | 4,009,867 | — | (4,009,867 | )1 | — | — | — | — | — | |||||||||||||||||||||||||||
Repurchase Agreements | 22,060,000 | — | (22,060,000 | )1 | — | — | — | — | — | |||||||||||||||||||||||||||
Yield Enhanced U.S. Aggregate Bond Fund |
| |||||||||||||||||||||||||||||||||||
Securities Lending | 7,004,783 | — | (7,004,783 | )1 | — | — | — | — | — | |||||||||||||||||||||||||||
Repurchase Agreements | 195,430,000 | — | (195,430,000 | )1 | — | — | — | — | — | |||||||||||||||||||||||||||
Alternative Income Fund |
| |||||||||||||||||||||||||||||||||||
Securities Lending | 3,718 | — | (3,718 | )1 | — | — | — | — | — | |||||||||||||||||||||||||||
Efficient Gold Plus Gold Miners Strategy Fund (consolidated) |
| |||||||||||||||||||||||||||||||||||
Foreign Currency Contracts | 4 | (3 | ) | — | 1 | 11 | (3 | ) | — | 8 |
1 | The amount of collateral presented has been limited such that the net amount by counterparty cannot be less than zero. |
Short-Term Investments — Each Fund may invest a portion of its assets in high-quality money market instruments on an ongoing basis to provide liquidity or for other reasons. The instruments include short-term obligations issued by the U.S. government, its agencies, non-U.S. government agencies, negotiable certificates of deposit (“CDs”), fixed time deposits and bankers’ acceptances of U.S. and foreign banks and similar institutions, commercial papers, repurchase agreements and money market funds. CDs are short-term negotiable obligations of commercial banks. Time deposits are non-negotiable deposits maintained in banking institutions for specified periods of time at stated interest rates. Banker’s acceptances are time drafts drawn on commercial banks by borrowers, usually in connection with international transactions.
Interest-Only and Principal-Only Securities — The Funds may invest in interest-only (“IO”) and principal-only (“PO”) securities which are typically created by splitting a traditional mortgage-backed security or pool of loans into an IO and a PO security. In general, the IO security is entitled to receive the interest payments on the underlying debt obligation(s) and the PO security is entitled to receive the principal payments of the underlying debt obligation(s). Both IO and PO securities are subject to prepayments and therefore prepayment risk. IO securities are at risk for faster than anticipated prepayments and PO securities are at risk for slower than anticipated prepayments. Assumptions regarding the rates of prepayment play a significant role in the value of these securities. If the underlying debt obligation experiences greater than anticipated prepayments of principal, a Fund may not fully recoup its initial investment in the IO security.
Collateralized Loan Obligations — The Funds may invest in the debt tranche of collateralized loan obligations (“CLOs”). CLOs bear many of the same risks as other forms of asset-backed securities, including interest rate risk, credit risk and default risk. As CLOs are backed by pools of loans, they also bear similar risks to investing in loans directly. CLOs issue classes or “tranches” that vary in risk profile and yield. CLOs may experience substantial losses attributable to loan defaults. Losses caused by defaults on underlying assets are borne first by the holders of subordinate tranches. The value of an investment in a CLO may decline as a result of, but not limited to, underlying loan defaults and/or market anticipation of defaults, credit impairment on the underlying loans or the disappearance of one of more subordinate tranches resulting from changes in the credit profile of the underlying loans.
To-be-announced Transactions — Interest Rate Hedged U.S. Aggregate Bond Fund, Mortgage Plus Bond Fund, Yield Enhanced U.S. Aggregate Bond Fund and the Yield Enhanced U.S. Short-Term Aggregate Bond Fund invest in U.S. agency mortgage-backed pass-through securities which are securities issued by entities such as Government National Mortgage Association and Federal National Mortgage Association that are backed by pools of mortgages. Most transactions in mortgage-backed pass-through securities occur for future delivery in which the exact mortgage pools to be delivered are not specified until a few days prior to settlement, referred to as a “to-be-announced transaction” or “TBA Transaction.” In a TBA Transaction, the buyer and seller agree upon general trade parameters such as agency, settlement date, par amount and price. The actual pools delivered generally are determined a few days prior to the settlement date; however, it is not anticipated that the Interest Rate Hedged U.S. Aggregate Bond Fund, Mortgage Plus Bond Fund, Yield Enhanced U.S. Aggregate Bond Fund and the Yield Enhanced U.S. Short-Term Aggregate Bond Fund will take delivery of pools, but instead will participate in rolling TBA Transactions whereby instead of receiving pools on the purchase settlement date, the position is offset by a current sale of the TBA security with a simultaneous forward purchase of a substantially similar TBA security (i.e., same type, coupon, maturity) to settle on a specified future date.
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Short Sale Transactions — Each Fund may enter into “short sale” transactions in which a Fund sells a security that it does not own in anticipation of a decline in the market price of that security. When a Fund enters into a short sale transaction, the Fund will borrow the security and deliver it to the counterparty to which the Fund sold the security short. An amount equal to the proceeds and accrued interest to be received by the Fund is reflected as an asset in ‘‘Receivables: Due from broker for securities sold short’’ and an equivalent liability in ‘‘Securities sold short, at value’’ on the Statement of Assets and Liabilities. The amount of the liability is subsequently marked-to-market to reflect the current market value of the securities sold short. Any interest or dividends that accrue on the securities borrowed are shown as an interest expense or dividend expense in the Statement of Operations of the Fund. A realized gain, limited to the proceeds received at which the Fund sold the security short, or a realized loss, unlimited as to the dollar amount, will be recognized upon the termination of a short sale if the cost to close out the short sale transaction is either less than (in the case of a gain) or greater than (in the case of a loss) the proceeds received. The risk of loss on a short sale transaction is potentially unlimited unlike the risk of loss on a long position, which is limited to the amount paid for the investment plus transaction costs. Funds entering into short sale transactions are exposed to the risk that they may be unable to close out a short sale position at any particular time or at an acceptable price.
Digital Assets Risk — The WisdomTree Enhanced Commodity Strategy Fund (“GCC”) invests up to 5% of its net assets in bitcoin futures contracts. GCC only invests in cash-settled bitcoin futures traded on the Chicago Mercantile Exchange, which is a futures exchange registered with the Commodity Futures Trading Commission. Bitcoin is a digital asset (i.e., a cryptocurrency) whose ownership and behavior are determined by participants in an online, peer-to-peer network that connects computers that run publicly accessible, or “open source,” software that follows the rules and procedures governing the Bitcoin network. GCC does not invest in bitcoin directly. Bitcoin and bitcoin futures are a relatively new asset class. They are subject to unique and substantial risks, and historically, have been subject to significant price volatility. The market for bitcoin futures is also relatively new and commenced trading on the Chicago Mercantile Exchange in 2017. As a result, the market for bitcoin futures may be less developed, and potentially less liquid and more volatile, than more established futures markets. While the bitcoin futures market has grown substantially since bitcoin futures commenced trading, there can be no assurances that this growth will continue. The price of bitcoin could drop precipitously (including to zero), which would be expected to have a similar impact on the bitcoin futures price. Each of these factors and events could have a significant negative impact on GCC.
Tax Information and Dividends and Distributions to Shareholders — It is each Fund’s policy to comply with all requirements of the Internal Revenue Code of 1986, as amended (the “Code”). A portion of the Code, known as subchapter M (“Subchapter M”), addresses the ways by which investment companies and investment trusts may pass income through to shareholders in order to avoid double taxation. Each Fund intends to qualify for and to elect treatment as a separate Regulated Investment Company (“RIC”) under Subchapter M of the Code so that it will not be subject to federal income tax on income and gains that are timely distributed to Fund shareholders. Accordingly, no provision for U.S. federal income taxes is required. In order to qualify for the special tax treatment accorded to RICs and their shareholders, each Fund must, among other things, distribute with respect to each taxable year an amount equal to or greater than the sum of 90% of its investment company taxable income and 90% of its net tax-exempt interest income. There can be no guarantee that a Fund will pay dividends. Taxable net realized gains from investment transactions, reduced by capital loss carryforwards, if any, are declared and distributed to shareholders at least annually. The capital loss carryforward amount, if any, is available to offset future net capital gains. The Funds may occasionally be required to make supplemental distributions at some other time during the year. The Trust reserves the right to declare special distributions if, in its reasonable discretion, such action is necessary or advisable to preserve the status of each Fund as a RIC or to avoid imposition of income or excise taxes on undistributed income. Dividends and distributions to shareholders are recorded on the ex-dividend date. The amount of dividends and distributions from net investment income and net realized capital gains is determined in accordance with the requirements of the Code and the U.S. Treasury regulations. These book/tax differences are either considered temporary or permanent in nature. To the extent these differences are permanent in nature, such amounts are reclassified within the components of net assets based on their Federal tax basis treatment; temporary differences do not require reclassification. Dividends and distributions that exceed earnings and profit for tax purposes are reported for tax purposes as a return of capital.
3. ADVISORY FEES AND OTHER TRANSACTIONS WITH AFFILIATES
WTAM has overall responsibility for the general management and administration of the Trust. WTAM provides an investment program for each Fund. WTAM has arranged for Mellon Investments Corporation (‘‘Mellon’’) to provide sub-advisory services to the Funds, except for Emerging Markets Corporate Bond Fund, Interest Rate Hedged High Yield Bond Fund, Mortgage Plus Bond Fund and Yield Enhanced U.S. Short-Term Aggregate Bond Fund which are sub-advised by Voya Investment Management Co., LLC (‘‘Voya IM’’) and CBOE S&P 500 PutWrite Strategy Fund, Enhanced Commodity Strategy Fund, Managed Futures Strategy Fund and Target Range Fund which are sub-advised by Newton Investment Management North America, LLC (‘‘Newton’’). Mellon, Voya IM and Newton are compensated by WTAM at no additional cost to the Funds. WTAM also arranges for transfer agency, custody, fund accounting, fund administration, securities lending and all other non-distribution related services necessary for the Funds to operate, which are generally under separate agreements entered into between the Trust on behalf of the Funds and the applicable service provider. Under the investment advisory agreement for each Fund, WTAM agrees to pay all expenses of the Funds, except for certain expenses described in Note 2.
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Pursuant to a separate contractual arrangement, as also described in Note 2, WTAM arranges for the provision of CCO services with respect to each Fund, and is liable and responsible for, and administers, payments to the CCO, the Independent Trustees and counsel to the Independent Trustees in exchange for a fee, accrued daily and paid monthly in arrears, of up to 0.0044% per annum of each Fund’s average daily net assets.
WTAM expects to receive annual advisory fees from each Fund, based on a percentage of the Fund’s average daily net assets, as shown in the following table:
Fund | Advisory Fee Rate | |
U.S. Dollar Bullish Fund | 0.50% | |
Chinese Yuan Strategy Fund | 0.45% | |
Emerging Currency Strategy Fund | 0.55% | |
Emerging Markets Corporate Bond Fund | 0.60% | |
Emerging Markets Local Debt Fund | 0.55% | |
Floating Rate Treasury Fund | 0.15% | |
Interest Rate Hedged High Yield Bond Fund | 0.43% | |
Interest Rate Hedged U.S. Aggregate Bond Fund | 0.23% | |
Mortgage Plus Bond Fund | 0.45% | |
Yield Enhanced U.S. Aggregate Bond Fund | 0.12% | |
Yield Enhanced U.S. Short-Term Aggregate Bond Fund | 0.12% | |
Alternative Income Fund | 0.50% | |
CBOE S&P 500 PutWrite Strategy Fund | 0.44% | |
Efficient Gold Plus Gold Miners Strategy Fund (consolidated) | 0.45% | |
Enhanced Commodity Strategy Fund (consolidated) | 0.55% | |
Managed Futures Strategy Fund (consolidated) | 0.65% | |
Target Range Fund | 0.70% |
Affiliated holdings are investments in entities in which the Fund owns 5% or more of the outstanding voting securities or are investments in entities which are under common ownership or control. Transactions in shares of affiliated ETFs for the fiscal period ended February 28, 2022, as applicable, are included in an ‘‘Investment in Affiliates’’ supplementary table in each applicable Fund’s Schedule of Investments. For these transactions, WTAM voluntarily waives a portion of the advisory fees, that it would otherwise charge, in an amount equal to the indirect AFFE (which are fees and expenses incurred indirectly by a Fund through its investments in certain underlying investment companies) attributable to each Fund’s investment in affiliated ETFs. The dollar amount of advisory fees waived during the period for the Funds, if any, are included in the Statement of Operations in “Expense waivers”.
WTAM and/or WisdomTree Investments (collectively herein, “WT”) may from time to time own shares of a Fund. As of and for the six months ended February 28, 2022, WT held shares of and received distributions from the following Funds, which were purchased through an unaffiliated broker in ordinary brokerage transactions in the secondary market in which the Funds’ shares trade:
At February 28, 2022 | For the Six Months Ended | |||||||||||||||
Fund | Fund Shares held by WT | Market Value of Fund Shares held by WT | Dividends and Distributions paid to WT on Fund Shares held by WT | |||||||||||||
Emerging Markets Local Debt Fund | 176 | $ | 4,972 | $ | 143 | |||||||||||
Floating Rate Treasury Fund | 37,025 | 930,438 | 78 | |||||||||||||
Interest Rate Hedged High Yield Bond Fund | 309 | 6,668 | 138 | |||||||||||||
Interest Rate Hedged U.S. Aggregate Bond Fund | 21,356 | 986,007 | 7,955 | |||||||||||||
Mortgage Plus Bond Fund | 79,089 | 3,886,449 | 46,921 | |||||||||||||
Yield Enhanced U.S. Aggregate Bond Fund | 62,754 | 3,100,675 | 31,940 | |||||||||||||
Yield Enhanced U.S. Short-Term Aggregate Bond Fund | 58,139 | 2,878,462 | 16,154 | |||||||||||||
CBOE S&P 500 PutWrite Strategy Fund | 174 | 5,866 | — | |||||||||||||
Enhanced Commodity Strategy Fund (consolidated) | 138 | 3,243 | 274 | |||||||||||||
Managed Futures Strategy Fund (consolidated) | 209 | 7,311 | — |
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During the fiscal period ended February 28, 2022, in connection with the organization of the Efficient Gold Plus Gold Miners Strategy Fund and the Target Range Fund, newly launched Funds, WTAM contributed $100 to both Funds in exchange for 4 shares of each Fund. Prior to February 28, 2022, WTAM redeemed the aforementioned shares as follows: 4 shares of the Efficient Gold Plus Gold Miners Strategy Fund for proceeds of $98 and 4 shares of the Target Range Fund for proceeds of $100.
4. CAPITAL SHARE TRANSACTIONS
As of February 28, 2022, there were an unlimited number of $0.001 par value shares of beneficial interest authorized by the Trust. Shares are issued and redeemed by each Fund only in creation units or multiples thereof. Except when aggregated in creation units, shares of each Fund are not redeemable. Transactions in shares for each Fund are disclosed in detail in the Statements of Changes in Net Assets. Generally, Funds issue and redeem shares on a cash basis, however, shares may also be issued or redeemed in kind. Investors purchasing and redeeming creation units may be charged a purchase transaction fee and a redemption transaction fee to offset transfer and other transaction costs associated with the issuance and redemption of creation units.
5. INVESTMENT PORTFOLIO TRANSACTIONS
Purchases and sales of investments (excluding purchases and sales resulting from in-kind capital share transactions and short-term investments) and the cost of purchases and the proceeds from sales resulting from in-kind capital share transactions (excluding short-term investments) for the six months or period ended February 28, 2022 are shown in the following table. Realized gains and losses on sales resulting from in-kind capital share redemptions, as shown on the Statements of Operations, are not recognized by the Funds for tax purposes.
Non-U.S. Government Securities | U.S. Government Securities | In-kind Capital Share Transactions | ||||||||||||||||||||||
Fund | Purchases | Sales | Purchases | Sales | Purchases | Sales | ||||||||||||||||||
U.S. Dollar Bullish Fund | $ | 502,250 | $ | 1,757,556 | $ | — | $ | — | $ | — | $ | — | ||||||||||||
Chinese Yuan Strategy Fund | — | 200,700 | — | — | — | — | ||||||||||||||||||
Emerging Currency Strategy Fund | 125,563 | 125,474 | — | — | — | — | ||||||||||||||||||
Emerging Markets Corporate Bond Fund | 10,362,684 | 9,316,489 | — | — | 14,442,891 | — | ||||||||||||||||||
Emerging Markets Local Debt Fund | 29,382,568 | 25,953,312 | — | — | — | 3,703,785 | ||||||||||||||||||
Floating Rate Treasury Fund | — | — | 1,613,839,353 | 1,527,347,065 | 1,187,102,144 | 70,320,676 | ||||||||||||||||||
Interest Rate Hedged High Yield Bond Fund | 18,996,310 | 15,525,385 | — | — | 82,434,980 | 28,555,237 | ||||||||||||||||||
Interest Rate Hedged U.S. Aggregate Bond Fund | 1,483,988 | 4,832,589 | 184,693,839 | 140,798,851 | 65,962,629 | — | ||||||||||||||||||
Mortgage Plus Bond Fund | 243,262 | 876,059 | 73,732,168 | 73,416,785 | — | — | ||||||||||||||||||
Yield Enhanced U.S. Aggregate Bond Fund | 54,834,329 | 82,086,145 | 1,666,243,306 | 1,626,512,400 | 40,697,145 | 22,445,895 | ||||||||||||||||||
Yield Enhanced U.S. Short-Term Aggregate Bond Fund | 1,515,549 | 6,059,237 | 193,633,227 | 204,916,730 | — | 24,665,956 | ||||||||||||||||||
Alternative Income Fund | 3,543,771 | 3,586,181 | — | — | 3,572,743 | 5,301,032 | ||||||||||||||||||
CBOE S&P 500 PutWrite Strategy Fund | 1,181,420 | — | — | — | — | — | ||||||||||||||||||
Efficient Gold Plus Gold Miners Strategy Fund (consolidated)1 | 1,362,226 | 122,765 | — | — | 2,380,108 | — | ||||||||||||||||||
Enhanced Commodity Strategy Fund (consolidated) | 5,790,136 | 1,403,549 | — | — | — | — | ||||||||||||||||||
Managed Futures Strategy Fund (consolidated) | 507,926 | 451,751 | — | — | — | — | ||||||||||||||||||
Target Range Fund2 | 3,143,128 | — | — | — | — | — |
1 | For the period December 16, 2021 (commencement of operations) through February 28, 2022. |
2 | For the period October 7, 2021 (commencement of operations) through February 28, 2022. |
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6. FEDERAL INCOME TAXES
At February 28, 2022, the cost of investments (including securities on loan, derivatives and securities sold short) for Federal income tax purposes was as follows:
Investments in Long Securities | Investments in Securities Sold Short and Financial Derivatives1 | |||||||||||||||||||||||||||||||||||
Fund | Tax Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation/ (Depreciation) | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation/ (Depreciation) | Total Net (Depreciation) | ||||||||||||||||||||||||||||
U.S. Dollar Bullish Fund | $ | 107,332,073 | $ | 11,258 | $ | (14,582 | ) | $ | (3,324 | ) | $ | — | $ | — | $ | — | $ | (3,324 | ) | |||||||||||||||||
Chinese Yuan Strategy Fund | 33,345,725 | 1,738 | (1,431 | ) | 307 | — | — | — | 307 | |||||||||||||||||||||||||||
Emerging Currency Strategy Fund | 13,791,598 | 581 | (592 | ) | (11 | ) | 34,561 | (1,130 | ) | 33,431 | 33,420 | |||||||||||||||||||||||||
Emerging Markets Corporate Bond Fund | 68,619,173 | 215,206 | (7,223,383 | ) | (7,008,177 | ) | — | — | — | (7,008,177 | ) | |||||||||||||||||||||||||
Emerging Markets Local Debt Fund | 132,249,757 | 1,341,297 | (22,499,339 | ) | (21,158,042 | ) | 10,067 | — | 10,067 | (21,147,975 | ) | |||||||||||||||||||||||||
Floating Rate Treasury Fund | 2,379,319,808 | 2,267,500 | (364 | ) | 2,267,136 | — | — | — | 2,267,136 | |||||||||||||||||||||||||||
Interest Rate Hedged High Yield Bond Fund | 228,033,303 | 826,080 | (8,614,534 | ) | (7,788,454 | ) | — | — | — | (7,788,454 | ) | |||||||||||||||||||||||||
Interest Rate Hedged U.S. Aggregate Bond Fund | 335,027,589 | 1,763,139 | (6,789,746 | ) | (5,026,607 | ) | — | — | — | (5,026,607 | ) | |||||||||||||||||||||||||
Mortgage Plus Bond Fund | 39,288,736 | 127,982 | (761,727 | ) | (633,745 | ) | — | — | — | (633,745 | ) | |||||||||||||||||||||||||
Yield Enhanced U.S. Aggregate Bond Fund | 1,295,223,345 | 5,758,251 | (42,462,883 | ) | (36,704,632 | ) | — | (7,029 | ) | (7,029 | ) | (36,711,661 | ) | |||||||||||||||||||||||
Yield Enhanced U.S. Short-Term Aggregate Bond Fund | 156,263,832 | 192,332 | (3,856,735 | ) | (3,664,403 | ) | — | — | — | (3,664,403 | ) | |||||||||||||||||||||||||
Alternative Income Fund | 8,132,492 | 53,843 | (743,843 | ) | (690,000 | ) | — | — | — | (690,000 | ) | |||||||||||||||||||||||||
CBOE S&P 500 PutWrite Strategy Fund | 80,450,918 | 20,545 | (1,841 | ) | 18,704 | — | — | — | 18,704 | |||||||||||||||||||||||||||
Efficient Gold Plus Gold Miners Strategy Fund (consolidated)2 | 3,627,681 | 312,901 | (39,867 | ) | 273,034 | 4 | (11 | ) | (7 | ) | 273,027 | |||||||||||||||||||||||||
Enhanced Commodity Strategy Fund (consolidated)2 | 240,145,247 | 6,772 | (15,467,961 | ) | (15,461,189 | ) | — | — | — | (15,461,189 | ) | |||||||||||||||||||||||||
Managed Futures Strategy Fund (consolidated)2 | 189,807,023 | 14,755 | (66,150,771 | ) | (66,136,016 | ) | — | — | — | (66,136,016 | ) | |||||||||||||||||||||||||
Target Range Fund | 21,453,537 | 67 | (699,689 | ) | (699,622 | ) | — | — | — | (699,622 | ) |
1 | Certain financial derivatives may be considered section 1256 contracts under the Code. Each section 1256 contract held at the close of a taxable year shall be treated as sold for its fair market value on the last business day of such taxable year (and any realized gain and loss shall be taken into account for the taxable year). As such, the unrealized appreciation/(depreciation) for financial derivatives on a tax basis may not correspond to the unrealized appreciation/(depreciation) on a GAAP basis. The unrealized appreciation/(depreciation) for financial derivatives on a GAAP basis is located in the respective financial derivatives tables in each Fund’s Schedule of Investments. |
2 | “Tax Cost” under “Investments in Long Securities” is presented on a non-consolidated basis and includes the Parent Fund’s investment in the Subsidiary. “Gross Unrealized Depreciation” under “Investments in Long Securities” is presented on a non-consolidated basis and includes the tax-basis unrealized depreciation associated with the Parent Fund’s investment in the Subsidiary. |
GAAP provides guidance on tax provisions that prescribe a minimum threshold for financial statement recognition of the benefit of a tax position taken or expected to be taken in a tax return. Foreign withholding taxes, as applicable, are accrued based on each Fund’s understanding of the tax rules and rates that exist in the foreign markets in which it invests. Foreign withholding taxes are accrued and applied to foreign income, net realized capital gains and net unrealized appreciation, as applicable, as the foreign income is earned or capital gains and unrealized appreciation are recorded. The dollar amount of applicable foreign withholding taxes on foreign income is included in the Statements of Operations in “Less: Foreign withholding taxes”, the foreign capital gains tax applicable on the disposal of securities is included in the Statements of Operations in “Net realized gain (loss) from investment transactions” and the dollar amount of deferred foreign capital gains tax applicable on the unrealized appreciation on securities held is included in the Statements of Operations in “Net increase (decrease) in unrealized appreciation/depreciation from investment transactions”. The Funds record a foreign tax reclaim receivable on the ex-dividend date if the tax reclaim is “more likely than not” to be sustained assuming examination by tax authorities. This determination is based on, among other things, a jurisdiction’s legal obligation to pay
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reclaims as well as payment history and market convention. Foreign tax reclaims that have been recorded but not yet received are shown on the Statements of Liabilities in “Receivables: Foreign tax reclaims”.
7. SUBSEQUENT EVENT
The Board authorized a one-for-two reverse stock split for the WisdomTree Floating Rate Treasury Fund, effective on March 24, 2022. The reverse stock split reduced the number of shares outstanding and increased the net asset value per share by a factor of two. Therefore, the reverse stock split did not impact the total dollar value of an investor’s investment. The shares outstanding, NAV per share and other per share information have been updated in the accompanying financial statements and financial highlights to reflect the effect of the reverse stock split.
8. ADDITIONAL INFORMATION
The respiratory disease caused by a novel coronavirus (“COVID-19”) has spread globally for over a year, resulting in a global pandemic and major disruption to global markets and economies. In an organized attempt to contain and mitigate the effects of COVID-19, governments and businesses world-wide took aggressive measures, including businesses canceling dividends to preserve cash, governments closing borders, restricting international and domestic travel, and the imposition of prolonged quarantines of large populations. COVID-19 has resulted in the disruption of and delays in the delivery of healthcare services and processes, the cancellation of organized events and educational institutions, the disruption of production and supply chains, a decline in consumer demand for certain goods and services, and general concern and uncertainty, all of which have contributed to increased volatility in global markets. In recent months, however, the rapid COVID-19 vaccination rollout in the United States and certain other developed countries, coupled with the passage of stimulus programs in the U.S. and abroad, have resulted in a reversal of many of these trends including the re-opening of businesses, a reduction in quarantine requirements, increased consumer demand, and the resumption of certain in-person schooling, travel and events. Despite these positive trends, the prevalence of new COVID-19 variants, a failure to achieve herd immunity, or other unforeseen circumstances may result in the continued spread of the virus throughout unvaccinated populations or a resurgence in infections among vaccinated populations. As a result, it remains unclear if recent positive trends will continue in developed markets and whether such trends will spread world-wide to countries with limited access to vaccines that are still experiencing rising COVID-19 cases, hospitalizations and deaths.
The effects of COVID-19 have affected and are likely to continue to affect certain sectors and industries more dramatically than others, and the effects borne by some will negatively affect the value of the issuers in those sectors and industries, which may adversely affect the value of a Fund’s investments in those sectors or industries. It is also true that the speed at which global economies recover, or fail to recover, from the COVID-19 pandemic will affect certain sectors, industries, and issuers more dramatically than others, which in turn may adversely affect certain Fund investments.
COVID-19, and other epidemics and pandemics that may arise in the future, could adversely affect the economies of many nations, the global economy, individual companies and capital markets in ways that cannot be foreseen at the present time. In addition, the impact of infectious diseases in developing or emerging market countries may be greater due to limited health care resources, including access to COVID-19 vaccinations and treatments. Political, economic and social stresses caused by COVID-19 also may exacerbate other pre-existing political, social and economic risks in certain countries. The duration of COVID-19 and its effects cannot be determined fully at this time, but the effects could be present for an extended period of time. It is impossible to predict the effects on the Funds of these or similar events and market conditions in the future. However, it is possible that these or similar events and market conditions could have a significant and adverse effect on the NAV and/or risk profile of a Fund.
* * * * * *
Russia’s military invasion of Ukraine initiated in February 2022 and the economic and diplomatic responses by the United States and other countries have led to increased volatility and uncertainty in the financial markets and could continue to adversely affect regional and global economies for the foreseeable future. In response to Russia’s actions, the governments of the United States, the European Union, the United Kingdom, and many other countries collectively imposed heavy and broad-ranging economic sanctions on certain Russian individuals, corporate and banking entities, and other industries and businesses. The sanctions restrict companies from doing business with Russia and Russian companies, prohibit transactions with the Russian central bank and other key Russian financial institutions and entities, ban Russian airlines and ships from using many other countries’ airspace and ports, respectively, and place a freeze on certain Russian assets. The sanctions also removed some Russian banks from the Society for Worldwide Interbank Financial Telecommunications (SWIFT), the electronic network that connects banks globally to facilitate cross-border payments. In addition, the United States has banned oil and other energy imports from Russia, and the United Kingdom made a commitment to phase out oil imports from Russia by the end of 2022.
These sanctions, as well as other economic consequences related to the invasion, such as additional sanctions, boycotts or changes in consumer or purchaser preferences or cyberattacks on governments, companies or individuals, may further decrease the value and liquidity of certain Russian securities and securities of issuers in other countries that are subject to economic sanctions related to the
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invasion or otherwise adversely affected by the sanctions. To the extent a Fund has exposure to Russian investments or investments in countries affected by the invasion or the sanctions, the Fund’s ability to price, buy, sell, receive or deliver such investments may be impaired. In certain circumstances, such as when there is no market for a security or other means of valuing or disposing of a security, a Fund may determine to value the affected security at zero. In addition, any exposure a Fund may have to counterparties in Russia or in countries affected by the invasion could negatively affect the Fund’s portfolio. The extent and duration of Russia’s military actions and the repercussions of such actions are impossible to predict, but could result in continued significant market disruptions, including in the oil and natural gas markets, and may negatively affect global supply chains, inflation and global growth. Further, an escalation of the military conflict beyond Ukraine’s borders could result in significant, long-lasting damage to the economies of Eastern and Western Europe as well as the global economy. These and any related events could significantly and adversely affect a Fund’s performance and the value of an investment in the Fund, even in the absence of direct exposure to Russian issuers or issuers in other countries affected by the invasion.
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Approval of Investment Advisory and Sub-Advisory Agreements (unaudited)
Consideration of the Approval and Renewal of Investment Advisory (all applicable Funds except the WisdomTree Target Range Fund, WisdomTree Alternative Income Fund, and WisdomTree Efficient Gold Plus Gold Miners Strategy Fund) and Sub-Advisory Agreements (all applicable Funds except the WisdomTree Managed Futures Strategy Fund, WisdomTree CBOE S&P 500 PutWrite Strategy Fund, WisdomTree Enhanced Commodity Strategy Fund, WisdomTree Alternative Income Fund, WisdomTree Target Range Fund, and WisdomTree Efficient Gold Plus Gold Miners Strategy Fund)
At a meeting of the Board of Trustees (the “Board” or the “Trustees”) of the WisdomTree Trust (the “Trust”) held on September 27-28, 2021 (the “Meeting”), the Trustees, including those Trustees who are not “interested persons” (as defined in the Investment Company Act of 1940, as amended) of the Trust (the “Independent Trustees”), considered the renewal of (i) the Investment Advisory Agreements between WisdomTree Asset Management, Inc. (“WTAM”) and the Trust, on behalf of its applicable series (each, a “Fund,” and, collectively, the “Funds”), pursuant to which WTAM provides the Funds with investment advisory services (the “Advisory Agreements”), (ii) the Sub-Advisory Agreement (the “Mellon Sub-Advisory Agreement”), pursuant to which Mellon Investments Corporation (“Mellon”) coordinates the investment and reinvestment of the assets of the applicable Funds, and (iii) the Sub-Advisory Agreement (together with the Mellon Sub-Advisory Agreement, the “Sub-Advisory Agreements,” and, collectively with the Advisory Agreements and the Mellon Sub-Advisory Agreement, the “Agreements”), pursuant to which Voya Investment Management Co., LLC (“Voya,” and, together with Mellon, the “Sub-Advisers”) coordinates the investment and reinvestment of the assets of the applicable Funds.
The Trustees requested, and WTAM provided, such information as the Trustees, with advice from counsel to the Trust and independent legal counsel, deemed reasonably necessary to evaluate the Agreements. At a meeting of a committee of Independent Trustees (the “Contracts Review Committee”) held on August 9, 2021, representatives from WTAM presented detailed information to the Trustees relating to the continuance of the Agreements, and the Trustees, including the Independent Trustees, reviewed and discussed such information. Further information was presented at the Board’s request at the Meeting.
The Independent Trustees were assisted in their review by independent legal counsel and met with counsel in executive session separate from WTAM representatives and the Sub-Advisers. In considering the approval and renewal of the Agreements, the Board considered all factors that it believed to be relevant, including those discussed below. The Board did not identify any one factor as dispositive, and each Trustee may have attributed different weights to the factors considered. Each Fund was considered separately.
Analysis of Nature, Extent, and Quality of Services Provided to the Funds. The Board considered information provided to them at the Meeting and in previous presentations throughout the year from WTAM representatives regarding the nature, extent, and quality of the services provided to the Funds, recognizing WTAM’s and the Sub-Advisers’ operational capabilities and resources. The Board also noted the extensive responsibilities that WTAM has as investment adviser to the Funds, including: the selection of, and supervisory responsibilities and activities over, the Sub-Advisers, including oversight of the Sub-Advisers’ adherence to each Fund’s investment strategy and restrictions, monitoring of the Sub-Advisers’ buying and selling of securities and derivatives transactions, review of Sub-Adviser performance, review of proxies voted by the Sub-Advisers and oversight of, and the provision of consultation to, the Sub-Advisers with respect to the creation of custom creation or redemption baskets for authorized participants; oversight of the daily valuation of the Funds’ portfolio holdings; oversight of general Fund compliance with federal and state laws; and implementation of Board directives as they relate to the Funds. The Board also considered research support available to, and management capabilities of, the Funds’ management personnel and that WTAM provides oversight of day-to-day Fund operations, including fund accounting, tax matters, administration and legal assistance in meeting disclosure and regulatory requirements. Based on management’s representations, the Board expected that there would be no reduction in the scope of services required by or provided by WTAM and the Sub-Advisers under the relevant Agreements. The Board noted that WTAM has continued to commit significant resources toward the fund complex and has made substantial investments to improve the services offered by WTAM, which benefit Fund shareholders.
Based on review of this information and the other factors considered at the Meeting, the Board concluded that the nature, extent and quality of services provided by WTAM and the Sub-Advisers under the Advisory Agreements and Sub-Advisory Agreements, respectively, are adequate and appropriate and supported the Board’s approval of the approval and renewal of the Agreements.
Comparative Analysis of the Funds’ Performance and Management Fee and Expense Ratio. The Board reviewed reports prepared by Broadridge Financial Solutions, Inc. (“Broadridge”), an independent provider of investment company data, which included information (1) measuring each index Fund’s performance by how well it tracked the relevant benchmark index, (2) comparing, with respect to the actively-managed Funds, each Fund’s performance with the performance of a group of comparable funds (the “Performance Group”) for various periods ended May 31, 2021, and (3) comparing each Fund’s actual management fees and total expenses with those of a group of comparable funds (the “Expense Group”) and, with respect to total expenses, with a broader group of funds (the “Expense Universe”), the information for which was derived in part from fund financial statements available to Broadridge as of the date of its analysis. The Contracts Review Committee and the Independent Trustees previously had reviewed and discussed the methodology Broadridge used to select the Performance Groups, Expense Groups and Expense Universes. The Board noted that the Performance Groups, Expense Groups and Expense Universes included only pure-index and index-based exchange traded funds (“ETFs”) as comparison funds, except that the Performance Groups, Expense Groups and Expense Universes
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Approval of Investment Advisory and Sub-Advisory Agreements (unaudited) (continued)
for the actively-managed Funds included only actively-managed ETFs as comparison funds. The Board also noted that due to the special characteristics of certain Funds, there are limitations in providing comparable funds in the Performance Groups, Expense Groups and Expense Universes, and the information in the Broadridge reports may or may not provide meaningful direct comparisons to the Funds.
The Board discussed the index Funds’ performance. During the prior year, the Board received periodic reports on the Funds’ performance in comparison to their relevant benchmark indexes. The Board also discussed the performance of the actively-managed Funds and noted that total return performance of the Funds was variously above, at and below the relevant Performance Group medians for the time periods measured. In response to questions from the Independent Trustees, WTAM representatives discussed the relative performance of the Funds and the factors affecting such performance. On that basis, the Board determined to continue to monitor carefully disparities in performance — both positive and negative — but did not believe that the disparities in the past reflected any characteristics requiring immediate action by WTAM or a Sub-Adviser.
The Board also reviewed the range of actual management fees and total expenses of the Expense Group funds and, with respect to total expenses, Expense Universe funds, and discussed the results of the comparisons. With respect to comparisons of actual management fees, the Board noted the Funds’ unitary fee structure and that the Expense Groups and Expense Universes generally included both ETFs with and without a unitary fee structure. The Board also noted that certain comparison funds in certain Expense Groups and Expense Universes benefited from waivers of all or a portion of their management fees and reimbursement of certain operating expenses. The Board noted that the total expenses of many of the Funds were within five basis points of the median or average total expenses of the funds in the Funds’ respective Expense Groups. In those specific instances where a Fund’s total expenses departed more significantly from comparative funds, the Independent Trustees sought explanations from WTAM, which generally attributed the disparities to the limitations within peer data and/or the unique attributes of a Fund.
The Board considered the fees to the Sub-Advisers in relation to the fees paid to WTAM by the Funds and the respective services provided by the Sub-Advisers and WTAM. The Board also noted that the Sub-Advisers’ fees are paid by WTAM (out of its fee paid by the relevant Funds) and not the Funds. The Board considered the meaningful differences in the services that WTAM provides to the Funds as compared to the Sub-Advisers, including that the role of a Sub-Adviser in making investment recommendations with respect to a Fund tracking an index is a rules-based function, with oversight by WTAM in seeking to ensure compliance with such rules. The Board also considered that the role of the Sub-Adviser in making investment recommendations with respect to actively managed Funds is model-based, with oversight by WTAM in seeking to ensure consistency with such quantitative models. The Board also considered the entrepreneurial and expense risk borne by WTAM that is associated with Funds’ unitary fee structure, which frequently includes minimum fees (such as those to a Sub-Adviser), regardless of whether the asset size of a Fund has grown to a sufficient size.
Based on this review and the other factors considered at the Meeting, the Board concluded that, with respect to each Fund, the Fund’s performance, the fees paid to WTAM and the relevant Sub-Adviser and the Fund’s total expenses supported the Board’s approval and renewal of the relevant Agreements.
Analysis of Profitability and Economies of Scale. WTAM representatives reviewed the expenses allocated and profit received by WTAM and the resulting profitability percentage for managing each Fund and the aggregate profitability percentage to WTAM for managing the WisdomTree fund complex, and the method used to determine the expenses and profit.
The Board considered the profitability analysis (1) as part of its evaluation of whether the fees under the Agreements bear a reasonable relationship to the mix of services provided by WTAM and the Sub-Advisers, including the nature, extent and quality of such services, and (2) in light of the relevant circumstances for each Fund and the extent to which economies of scale would be realized if the Fund grows and whether fee levels reflect these economies of scale for the benefit of Fund shareholders. WTAM representatives noted that a discussion of economies of scale is predicated on a Fund having achieved a substantial size and that, if a Fund’s assets had been decreasing, the possibility that WTAM may have realized material economies of scale would be less. WTAM representatives also noted that, as a result of shared and allocated costs among the WisdomTree funds, the extent of economies of scale could depend substantially on the level of assets in the fund complex as a whole and the relative size and asset size changes among the Funds. The Board noted that, in the past, certain Funds had grown rapidly over a relatively short period of time after longer periods of slow or no growth, during which there were years of losses for WTAM in managing such Funds that had only recently turned profitable and years of substantial cumulative losses to WTAM in managing the fund complex as a whole. WTAM representatives stated that there has been significant volatility in the assets of individual Funds and in the fund complex as a whole over time (including volatility in profitability) and that it was not clear that current asset levels will be maintained. WTAM representatives noted that assets in certain Funds have diminished at times at a rapid rate (including during the last year) and could continue to do so. WTAM representatives also noted that economies of scale currently are shared with the Funds by way of the unitary fee structure of the Trust, as well as through additional investment in the WisdomTree business. The Board noted that the Contracts Review Committee had focused on the issue of economies of scale during its meetings. The Board also noted that it would continue to monitor the sharing of economies of scale, focusing in particular on Funds that have experienced significant asset
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Approval of Investment Advisory and Sub-Advisory Agreements (unaudited) (continued)
growth, to determine the appropriateness of adding breakpoints in the future. The Board also considered potential benefits to WTAM and the Sub-Advisers from acting as investment adviser and sub-advisers, respectively, and noted that there were no soft dollar arrangements in effect for trading the Funds’ investments. Based on this review, the Board concluded that the profitability results were consistent with the services rendered and service levels provided by WTAM and the entrepreneurial risk WTAM has undertaken over time.
* * * * * *
At the conclusion of these discussions, the Board agreed that it had been furnished with sufficient information to make an informed business decision with respect to the approval to renew the Agreements. In evaluating the Agreements, the Board considered the conclusions and determinations discussed above and also relied on its previous knowledge, gained through meetings and other interactions with WTAM and the Sub-Advisers, of the Funds and the services provided to the Funds by WTAM and the Sub-Advisers. The Board also relied on information received on a routine and regular basis throughout the year relating to the operations of the Funds and the investment advisory and other services provided under the Agreements. In light of the foregoing, the Board, including a majority of the Independent Trustees, determined to approve the renewal of the Agreements.
Consideration of the Approval of Investment Advisory and Sub-Advisory Agreements
WisdomTree Efficient Gold Plus Gold Miners Strategy Fund (the “Fund”)
At a meeting of the Board of Trustees (the “Board”) of the WisdomTree Trust (the “Trust”) held on September 27-28, 2021, the Trustees (the “Trustees”), including those Trustees who are not “interested persons” (as defined in the Investment Company Act of 1940, as amended) of the Trust (the “Independent Trustees”), considered the approval of the Investment Advisory Agreement (the “Advisory Agreement”), pursuant to which WisdomTree Asset Management, Inc. (“WTAM”) will provide the Fund with investment advisory services, and the Sub-Advisory Agreement (together with the Advisory Agreement, the “Agreements”), pursuant to which Mellon Investments Corporation (the “Sub-Adviser”) will coordinate the investment and reinvestment of the assets of the Fund.
In considering whether to approve the Agreements, the Trustees considered and discussed information and analysis provided by WTAM and Broadridge Financial Solutions, Inc. (“Broadridge”), an independent provider of investment company data. The Trustees noted that representatives from WTAM presented preliminary information to the Trustees regarding each Fund’s proposed investment objective and principal investment strategies and risks at a meeting of the Trust’s Investment Committee, a committee of Independent Trustees, on June 22, 2021. The Independent Trustees were assisted in their review by independent legal counsel and met with counsel in executive session separate from WTAM representatives and the Sub-Adviser. In considering the approval of the Agreements, the Board considered all factors that it believed to be relevant, including those discussed below. The Board did not identify any one factor as dispositive, and each Trustee may have attributed different weights to the factors considered.
Analysis of Nature, Extent, and Quality of Services to be Provided to the Fund. The Board considered information provided to them at the meeting and in previous presentations throughout the year from WTAM representatives regarding the nature, extent, and quality of the services provided to the WisdomTree funds, recognizing WTAM’s and the Sub-Adviser’s operational capabilities and resources. It was noted that the Fund would be actively managed. The Board noted WTAM’s belief that shareholders will invest in the Fund on the strength of WTAM’s industry standing and reputation and with the expectation that WTAM will have a continuing role in providing advisory services to the Fund. The Board also noted the extensive responsibilities that WTAM will have as investment adviser to the Fund, including: the selection of, and supervisory responsibilities and activities over, the Sub-Adviser, including oversight of the Sub-Adviser’s adherence to the Fund’s investment strategy and restrictions, monitoring of the Sub-Adviser’s buying and selling of securities and derivatives transactions, review of Sub-Adviser performance, review of proxies voted by the Sub-Adviser and oversight of, and the provision of consultation to, the Sub-Adviser with respect to the creation of custom creation or redemption baskets for authorized participants; oversight of the daily valuation of the Fund’s portfolio holdings; oversight of general Fund compliance with federal and state laws; and implementation of Board directives as they relate to the Fund. The Board also considered research support available to, and management capabilities of, the Fund’s management personnel and that WTAM will provide oversight of day-to-day Fund operations, including fund accounting, tax matters, administration, compliance and legal assistance in meeting disclosure and regulatory requirements.
Based on review of this information and the other factors considered at the meeting, the Board concluded that the nature, extent and quality of services to be provided by WTAM and the Sub-Adviser under the Advisory Agreement and Sub-Advisory Agreement, respectively, are adequate and appropriate and supported the Board’s approval of the Agreements.
Comparative Analysis of the Fund’s Performance, Advisory Fees and Fund Expenses. As the Fund had not yet commenced operations, the Board was not able to review the Fund’s performance. The Board discussed with WTAM representatives the portfolio management team and the investment strategies to be employed in the management of the Fund’s assets. The Board noted the reputation and experience of WTAM and the Sub-Adviser.
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Approval of Investment Advisory and Sub-Advisory Agreements (unaudited) (continued)
The Board considered the fees to be paid to WTAM by the Fund. The Board examined the fee to be paid by the Fund in light of fees paid to other investment advisers by comparable funds and the method of computing the Fund’s fee. The Board also considered the fee to be paid to the Sub-Adviser in relation to the fee to be paid to WTAM by the Fund and the respective services to be provided by the Sub-Adviser and WTAM. The Board also noted the Sub-Adviser’s fee will be paid by WTAM (out of its fee paid by each Fund) and not by the Fund. The Board also considered the entrepreneurial and expense risk to be borne by WTAM that is associated with the Fund’s unitary fee structure, which includes minimum fees (such as those to the Sub-Adviser), regardless of whether the asset size of the Fund grows to a sufficient size. Based on this review, the Board concluded that the fees to be paid to WTAM and the Sub-Adviser supported the Board’s approval of the Agreements.
Analysis of Profitability and Economies of Scale. As the Fund had not yet commenced operations, WTAM representatives were not able to review the dollar amount of expenses allocated and profit received by WTAM, or any economies of scale. The Board considered potential benefits to WTAM and the Sub-Adviser from acting as investment adviser and sub-adviser, respectively. The Board also considered the uncertainty of the estimated asset levels and the renewal requirements for advisory agreements and their ability to review the advisory fees annually after the initial term of the Agreements. The Board determined that because the Fund had not yet commenced operations, economies of scale were not a factor, but, to the extent in the future it were determined that material economies of scale had not been shared with the Fund, the Board would seek to have those economies of scale shared with the Fund in connection with future renewals.
* * * * * *
In evaluating the Agreements, the Board considered the conclusions and determinations discussed above and also relied on its knowledge, gained through meetings and other interactions with WTAM and the Sub-Adviser, of other funds advised by WTAM and the Sub-Adviser. In light of the foregoing, the Board, including a majority of the Independent Trustees, determined to approve the Agreements.
Consideration of the Approval of Investment Advisory and Sub-Advisory Agreements
WisdomTree Target Range Fund (the “Fund”)
At a meeting of the Board of Trustees (the “Board”) of the WisdomTree Trust (the “Trust”) held on September 29-30, 2020, and at a subsequent meeting held on September 27-28, 2021, the Trustees (the “Trustees”), including those Trustees who are not “interested persons” (as defined in the Investment Company Act of 1940, as amended) of the Trust (the “Independent Trustees”), considered the approval of the Investment Advisory Agreement (the “Advisory Agreement”), pursuant to which WisdomTree Asset Management, Inc. (“WTAM”) will provide each Fund with investment advisory services, and the Sub-Advisory Agreement (together with the Advisory Agreement, the “Agreements”), pursuant to which Newton Investment Management North America, LLC (the “Sub-Adviser”) will coordinate the investment and reinvestment of the assets of the Fund.
In considering whether to approve the Agreements, the Trustees considered and discussed information and analysis provided by WTAM and Broadridge Financial Solutions, Inc., an independent provider of investment company data. The Trustees noted that representatives from WTAM presented preliminary information to the Trustees regarding the Fund’s proposed investment objective and principal investment strategies and risks at meetings of the Trust’s Investment Committee, a committee of Independent Trustees, held on September 22, 2020 and September 23, 2021. The Independent Trustees were assisted in their review by independent legal counsel and met with counsel in executive session separate from WTAM representatives and the Sub-Adviser. In considering the approval of the Agreements, the Board considered all factors that it believed to be relevant, including those discussed below. The Board did not identify any one factor as dispositive, and each Trustee may have attributed different weights to the factors considered.
Analysis of Nature, Extent, and Quality of Services to be Provided to the Fund. The Board considered information provided to them at the meetings and in previous presentations throughout the year from WTAM representatives regarding the nature, extent, and quality of the services provided to the WisdomTree funds, recognizing WTAM’s and the Sub-Adviser’s operational capabilities and resources. It was noted that the Fund would be actively managed. The Board noted WTAM’s belief that shareholders will invest in the Fund on the strength of WTAM’s industry standing and reputation and with the expectation that WTAM will have a continuing role in providing advisory services to the Fund. The Board also noted the extensive responsibilities that WTAM will have as investment adviser to the Fund, including: the selection of, and supervisory responsibilities and activities over, the Sub-Adviser, including oversight of the Sub-Adviser’s adherence to the Fund’s investment strategy and restrictions, monitoring of the Sub-Adviser’s buying and selling of securities and derivatives transactions, review of Sub-Adviser performance, review of proxies voted by the Sub-Adviser and oversight of, and the provision of consultation to, the Sub-Adviser with respect to the creation of custom creation or redemption baskets for authorized participants; oversight of the daily valuation of the Fund’s portfolio holdings; oversight of general Fund compliance with federal and state laws; and implementation of Board directives as they relate to the Fund. The Board also considered research support available to, and management capabilities of, the Fund’s management personnel and that WTAM will
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Approval of Investment Advisory and Sub-Advisory Agreements (unaudited) (concluded)
provide oversight of day-to-day Fund operations, including fund accounting, tax matters, administration, compliance and legal assistance in meeting disclosure and regulatory requirements.
Based on review of this information and the other factors considered at the meetings, the Board concluded that the nature, extent and quality of services to be provided by WTAM and the Sub-Adviser under the Advisory Agreement and Sub-Advisory Agreement, respectively, are adequate and appropriate and supported the Board’s approval of the Agreements.
Comparative Analysis of the Fund’s Performance, Advisory Fees and Fund Expenses. As the Fund had not yet commenced operations, the Board was not able to review the Fund’s performance. The Board discussed with WTAM representatives the portfolio management team and the investment strategies to be employed in the management of the Fund’s assets. The Board noted the reputation and experience of WTAM and the Sub-Adviser.
The Board considered the fees to be paid to WTAM by the Fund. The Board examined the fee to be paid by the Fund in light of fees paid to other investment advisers by comparable funds and the method of computing the Fund’s fee. The Board also considered the fee to be paid to the Sub-Adviser in relation to the fee to be paid to WTAM by the Fund and the respective services to be provided by the Sub-Adviser and WTAM. The Board also noted the Sub-Adviser’s fee will be paid by WTAM (out of its fee paid by each Fund) and not by the Fund. The Board considered the meaningful differences in the services that WTAM will provide to the Fund as compared to the Sub-Adviser. The Board also considered the entrepreneurial and expense risk to be borne by WTAM that is associated with the Fund’s unitary fee structure, which includes minimum fees (such as those to the Sub-Adviser), regardless of whether the asset size of the Fund grows to a sufficient size. Based on this review, the Board concluded that the fees to be paid to WTAM and the Sub-Adviser supported the Board’s approval of the Agreements.
Analysis of Profitability and Economies of Scale. As the Fund had not yet commenced operations, WTAM representatives were not able to review the dollar amount of expenses allocated and profit received by WTAM, or any economies of scale. The Board considered potential benefits to WTAM and the Sub-Adviser from acting as investment adviser and sub-adviser, respectively. The Board also considered the uncertainty of the estimated asset levels and the renewal requirements for advisory agreements and their ability to review the advisory fees annually after the initial term of the Agreements. The Board determined that because the Fund had not yet commenced operations, economies of scale were not a factor, but, to the extent in the future it were determined that material economies of scale had not been shared with the Fund, the Board would seek to have those economies of scale shared with the Fund in connection with future renewals.
* * * * * *
In evaluating the Agreements, the Board considered the conclusions and determinations discussed above and also relied on its knowledge, gained through meetings and other interactions with WTAM and the Sub-Adviser, of other funds advised by WTAM and the Sub-Adviser. In light of the foregoing, the Board, including a majority of the Independent Trustees, determined to approve the Agreements.
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General Information (unaudited)
Proxy Voting Policies, Procedures and Record
A complete copy of the Proxy Voting Policy may be obtained upon request, at no charge, by calling 1-866-909-WISE (9473) or writing to: WisdomTree Trust, c/o Foreside Fund Services, LLC, Three Canal Plaza Suite 100, Portland, ME, 04101.
The Trust is required to disclose annually the Funds’ complete proxy voting record on Form N-PX covering the most recent
12-month period ended June 30 and to file Form N-PX with the SEC no later than August 31 of each year. The current Form N-PX for the Funds is available at no charge upon request by calling 1-866-909-WISE (9473) or through the Trust’s website at www.wisdomtree.com. The Funds’ Form N-PX is also available on the SEC’s website at www.sec.gov.
Shareholder Reports and Quarterly Portfolio Disclosure
The Funds file their complete schedule of portfolio holdings with the SEC for their first and third fiscal quarters as an exhibit to their reports on Form N-PORT. Copies of the filings are available, without charge, on the SEC’s website at www.sec.gov and are also available by calling the Trust at 1-866-909-WISE (9473). Copies of the filings may also be obtained, after paying a duplicating fee, by electronic request at the following E-mail address: publicinfo@sec.gov.
Information about each Fund’s portfolio holdings is available daily, without charge, at www.wisdomtree.com.
The Statement of Additional Information (“SAI”) has additional information about the Funds’ Trustees and Officers and is available without charge upon request. Contact your financial representative for a free prospectus or SAI.
Frequency Distribution of Discounts & Premiums
Information about differences between the per share net asset value of each Fund and the market trading price of shares of each Fund are available, without charge, at www.wisdomtree.com.
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The WisdomTree Funds are exchange traded funds (“ETFs”) registered with the United States Securities and Exchange Commission as separate series (“Funds”) of WisdomTree Trust (“Trust”). WisdomTree Asset Management, Inc., a wholly owned subsidiary of WisdomTree Investments, Inc., serves as the investment adviser to the Trust. None of the WisdomTree entities are affiliated with Foreside Fund Services, LLC, the Funds’ distributor. WisdomTree Investments, its affiliates and their independent providers are not liable for any informational errors, incompleteness, delays, or for any actions taken in reliance on information contained herein.
There are risks associated with investing including possible loss of principal. Foreign investing involves special risks, such as risk of loss from currency fluctuation or political or economic uncertainty. Investments in real estate involve additional special risks, such as credit risk, interest rate fluctuations and the effect of varied economic conditions. Funds that focus their investments in one country or region may be significantly impacted by events and developments associated with the region which can adversely affect performance. Funds focusing on a single sector and/or smaller companies generally experience greater price volatility. Investments in emerging, offshore or frontier markets are generally less liquid and less efficient than investments in developed markets and are subject to additional risks, such as risks of adverse governmental regulation and intervention or political developments. Investments in currency involve additional special risks, such as credit risk and interest rate fluctuations. Derivative investments can be volatile and these investments may be less liquid than other securities, and more sensitive to the effect of varied economic conditions. As these Funds can have a high concentration in some issuers the Funds can be adversely impacted by changes affecting such issuers.
Fixed income investments are subject to interest rate risk; their value will normally decline as interest rates rise. In addition, when interest rates fall, income may decline. Fixed income investments are also subject to credit risk, the risk that the issuer of a bond will fail to pay interest and principal in a timely manner, or that negative perceptions of the issuer’s ability to make such payments will cause the price of that bond to decline. High-yield or “junk” bonds have lower credit ratings and involve a greater risk to principal. One of the risks associated with the Efficient Gold Plus Gold Miners Strategy Fund (GDMN), the Enhanced Commodity Strategy Fund (GCC) and the Managed Futures Strategy Fund (WTMF) is the complexity of the different factors which contribute to the Funds’ performance, as well as their correlation (or non-correlation) to other asset classes. These factors include use of long and short positions in commodity futures contracts, foreign currency contracts, swaps and other derivatives. An investment in GDMN, GCC and WTMF is speculative and involves a substantial degree of risk. GDMN, GCC and WTMF should not be used as a proxy for taking long only (or short only) positions in commodities or currencies. In markets without sustained price trends or markets that quickly reverse or “whipsaw” GDMN, GCC and WTMF may suffer significant losses. Unlike typical exchange-traded funds, there are no indexes that the actively managed Currency Strategy Funds, actively managed Fixed Income Funds or GDMN, GCC and WTMF attempt to track or replicate. Thus, the ability of these Funds to achieve their objectives will depend on the effectiveness of the portfolio manager. Due to the investment strategy of certain Funds they may make higher capital gain distributions than other ETFs. Please read the Fund’s prospectus for specific details regarding the Fund’s risk profile.
Commodities and futures are generally volatile and are not suitable for all investors. Investments in commodities may be affected by overall market movements, changes in interest rates and other factors such as weather, disease, embargoes and international economic and political developments.
Indexes are unmanaged and you cannot invest directly in an index.
Transactions in Fund shares will result in brokerage commissions and will generate tax consequences. Shares may be sold through brokerage accounts, but may be redeemed from the Funds by Authorized Participants in large creation unit sizes of shares.
This report is intended for the Funds’ shareholders. It may not be distributed to prospective investors unless it is preceded or accompanied by the current prospectus.
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WisdomTree Fund shares are distributed by Foreside Fund Services, LLC, in the U.S. only.
WTGM-6213
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Item 2. | Code of Ethics. |
Not applicable.
Item 3. | Audit Committee Financial Expert. |
Not applicable.
Item 4. | Principal Accountant Fees and Services. |
Not applicable.
Item 5. | Audit Committee of Listed Registrants. |
Not applicable.
Item 6. | Investments. |
(a) | Schedule of Investments in securities of unaffiliated issuers as of the close of the reporting period is included as part of the report to shareholders filed under Item 1 of this form. |
(b) | Not applicable. |
Item 7. | Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies. |
Not applicable.
Item 8. | Portfolio Managers of Closed-End Management Investment Companies. |
Not applicable.
Item 9. | Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers. |
Not applicable.
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Item 10. | Submission of Matters to a Vote of Security Holders. |
There have been no material changes to the procedures by which the shareholders may recommend nominees to the registrant’s board of trustees, where those changes were implemented after the registrant last provided disclosure in response to the requirements of Item 407(c)(2)(iv) of Regulation S-K (17 CFR 229.407) (as required by Item 22(b)(15) of Schedule 14A (17 CFR 240.14a-101)), or this Item.
Item 11. | Controls and Procedures. |
(a) | The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR 270.30a-3(c))) are effective, as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15(b)). |
(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 (17 CFR 270.30a-3(d)) that occurred during the period covered by this report that has materially affected, or is 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 |
Not applicable.
Item 13. Exhibits.
(a)(1) | Not applicable. | |
(a)(2) | Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto. | |
(a)(3) | Not applicable. | |
(a)(4) | Not applicable. | |
(b) | Certifications pursuant to Rule 30a-2(b) under the 1940 Act and Section 906 of the Sarbanes-Oxley Act of 2002 are attached hereto. |
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SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) | WisdomTree Trust | |
By (Signature and Title) | /s/ Jonathan L. Steinberg | |
Jonathan L. Steinberg, President | ||
(principal executive officer) |
Date: May 6, 2022
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, 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 (Signature and Title) | /s/ Jonathan L. Steinberg | |
Jonathan L. Steinberg, President | ||
(principal executive officer) | ||
Date: May 6, 2022 | ||
By (Signature and Title) | /s/ David Castano | |
David Castano, Treasurer | ||
(principal financial officer) |
Date: May 6, 2022