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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)
245 Park Avenue, 35th Floor
New York, NY 10167
(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 29, 2020
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.
Item 1. Reports to Stockholders.
The Reports to Shareholders are attached herewith.
Table of Contents
WisdomTree Trust
Semi-Annual Report
February 29, 2020
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 Negative Duration High Yield Bond Fund (HYND)
WisdomTree Negative Duration U.S. Aggregate Bond Fund (AGND)
WisdomTree Yield Enhanced Global Aggregate Bond Fund (GLBY)
WisdomTree Yield Enhanced U.S. Aggregate Bond Fund (AGGY)
WisdomTree Yield Enhanced U.S. Short-Term Aggregate Bond Fund (SHAG)
Alternative Funds:
WisdomTree CBOE S&P 500 PutWrite Strategy Fund (PUTW)
WisdomTree Managed Futures Strategy Fund (WTMF)
IMPORTANT NOTE: Beginning on January 1, 2021, as permitted by regulations adopted by the SEC, paper copies of the WisdomTree Funds’ annual and semi-annual shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports. Instead, annual and semi-annual shareholder reports will be available on the WisdomTree Funds’ website (www.wisdomtree.com), and you will be notified by mail each time a report is posted and provided with a website link to access the report.
If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from a Fund electronically anytime by contacting your financial intermediary (such as a broker-dealer or bank).
You may elect to receive all future reports in paper free of charge. Please contact your financial intermediary to request to continue receiving paper copies of your shareholder reports. Your election to receive reports in paper will apply to all funds held in your account.
Table of Contents
Information about Performance and Shareholder Expense Examples (unaudited) | 1 | |||
2 | ||||
18 | ||||
Schedules of Investments (unaudited) |
| |||
24 | ||||
28 | ||||
29 | ||||
31 | ||||
35 | ||||
38 | ||||
39 | ||||
50 | ||||
66 | ||||
68 | ||||
76 | ||||
85 | ||||
89 | ||||
WisdomTree Yield Enhanced U.S. Short-Term Aggregate Bond Fund | 126 | |||
133 | ||||
134 | ||||
136 | ||||
140 | ||||
144 | ||||
150 | ||||
158 | ||||
Approval of Investment Advisory and Sub-Advisory Agreements (unaudited) | 178 | |||
182 |
“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 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 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.
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. For the most recent month-end performance information visit www.wisdomtree.com.
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, 2019 to February 29, 2020. 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 182/366 (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 29, 2020 (unaudited)
WisdomTree Bloomberg U.S. Dollar Bullish Fund (USDU)
Investment Breakdown†
Investment Type | % of Net Assets | |||
U.S. Government Obligations | 96.9% | |||
Exchange-Traded Funds | 2.6% | |||
Other Assets less Liabilities‡ | 0.5% | |||
Total | 100.0% |
† | The Fund’s investment breakdown may change over time. It does not include derivatives (if any). |
‡ | Other assets includes investment of cash collateral for securities on loan (if any). |
Top Holdings*
Description | % of Net Assets | |||
U.S. Treasury Bill, | 29.5% | |||
U.S. Treasury Bill, | 47.2% | |||
U.S. Treasury Bill, | 20.2% | |||
WisdomTree Floating Rate Treasury Fund (USFR) | 2.6% |
* | 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 38 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 29, 2020)
Beginning Account Value | Ending Account Value | Annualized Net Expense Ratio | Expenses Paid During the Period | |||||||||||||
Actual | $ | 1,000.00 | $ | 1,005.30 | 0.50 | % | $ | 2.49 | ||||||||
Hypothetical (5% return before expenses) | $ | 1,000.00 | $ | 1,022.38 | 0.50 | % | $ | 2.51 |
Performance
Average Annual Total Return | ||||||||||||||||||||
6-Month* | 1 Year | 3 Year | 5 Year | Since Inception1 | ||||||||||||||||
Fund NAV Returns | 0.53 | % | 4.39 | % | 1.23 | % | 1.68 | % | 3.36 | % | ||||||||||
Fund Market Price Returns | 0.57 | % | 4.95 | % | 1.42 | % | 1.79 | % | 3.46 | % | ||||||||||
Bloomberg Dollar Total Return Index | 0.25 | % | 3.82 | % | 0.81 | % | 1.56 | % | 3.43 | % | ||||||||||
Bloomberg Dollar Spot Index | -0.58 | % | 1.65 | % | -0.81 | % | 0.63 | % | 2.77 | % |
* | 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 29, 2020 (unaudited)
WisdomTree Chinese Yuan Strategy Fund (CYB)
Investment Breakdown†
Investment Type | % of Net Assets | |||
U.S. Government Obligations | 63.8% | |||
Repurchase Agreement | 30.9% | |||
Exchange-Traded Funds | 4.7% | |||
Other Assets less Liabilities‡ | 0.6% | |||
Total | 100.0% |
† | The Fund’s investment breakdown may change over time. It does not include derivatives (if any). |
‡ | Other assets includes investment of cash collateral for securities on loan (if any). |
Top Holdings*
Description | % of Net Assets | |||
U.S. Treasury Bill, | 32.5% | |||
U.S. Treasury Bill, | 31.3% | |||
Citigroup, Inc., tri-party repurchase agreement, | 30.9% | |||
WisdomTree Floating Rate Treasury Fund (USFR) | 4.7% |
* | 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 38 of this report. |
†† | Fully collateralized by U.S. Government and U.S. Government agency securities. |
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 29, 2020)
Beginning Account Value | Ending Account Value | Annualized Net Expense Ratio | Expenses Paid During the Period | |||||||||||||
Actual | $ | 1,000.00 | $ | 1,036.50 | 0.45 | % | $ | 2.28 | ||||||||
Hypothetical (5% return before expenses) | $ | 1,000.00 | $ | 1,022.63 | 0.45 | % | $ | 2.26 |
Performance
Average Annual Total Return | ||||||||||||||||||||
6-Month* | 1 Year | 3 Year | 5 Year | 10 Year | ||||||||||||||||
Fund NAV Returns | 3.65 | % | -2.16 | % | 2.37 | % | 0.60 | % | 1.08 | % | ||||||||||
Fund Market Price Returns | 3.03 | % | -2.29 | % | 2.19 | % | 0.54 | % | 1.01 | % | ||||||||||
JP Morgan Emerging Local Markets Index Plus (ELMI+) China | 4.95 | % | -0.76 | % | 3.35 | % | 2.14 | % | 2.06 | % | ||||||||||
Chinese yuan | 1.52 | % | -4.64 | % | -0.64 | % | -2.58 | % | -0.26 | % |
* | 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 29, 2020 (unaudited)
WisdomTree Emerging Currency Strategy Fund (CEW)
Investment Breakdown†
Investment Type | % of Net Assets | |||
U.S. Government Obligations | 71.0% | |||
Repurchase Agreement | 27.4% | |||
Exchange-Traded Funds | 4.5% | |||
Other Assets less Liabilities‡ | -2.9% | |||
Total | 100.0% |
† | The Fund’s investment breakdown may change over time. It does not include derivatives (if any). |
‡ | Other assets includes investment of cash collateral for securities on loan (if any). |
Top Holdings*
Description | % of Net Assets | |||
U.S. Treasury Bill, 1.58%, 4/16/20 | 35.7% | |||
U.S. Treasury Bill, 1.54%, 3/12/20 | 35.3% | |||
Citigroup, Inc., tri-party repurchase agreement, 1.61%, 3/2/20†† | 27.4% | |||
WisdomTree Floating Rate Treasury Fund (USFR) | 4.5% |
* | 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 38 of this report. |
†† | Fully collateralized by U.S. Government and U.S. Government agency securities. |
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 29, 2020)
Beginning Account Value | Ending Account Value | Annualized Net Expense Ratio | Expenses Paid During the Period | |||||||||||||
Actual | $ | 1,000.00 | $ | 993.90 | 0.55 | % | $ | 2.73 | ||||||||
Hypothetical (5% return before expenses) | $ | 1,000.00 | $ | 1,022.13 | 0.55 | % | $ | 2.77 |
Performance
Average Annual Total Return | ||||||||||||||||||||
6-Month* | 1 Year | 3 Year | 5 Year | 10 Year | ||||||||||||||||
Fund NAV Returns | -0.61 | % | -3.02 | % | 0.43 | % | -0.03 | % | -0.78 | % | ||||||||||
Fund Market Price Returns | -0.40 | % | -2.76 | % | 0.60 | % | 0.05 | % | -0.78 | % | ||||||||||
JP Morgan Emerging Local Markets Index Plus (ELMI+) | 1.27 | % | -0.65 | % | 1.88 | % | 1.30 | % | 0.30 | % | ||||||||||
Equal-Weighted Emerging Currency Composite | 0.07 | % | -1.59 | % | 1.53 | % | 0.98 | % | 0.11 | % |
* | 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 29, 2020 (unaudited)
WisdomTree Emerging Markets Corporate Bond Fund (EMCB)
Country Breakdown†
Country | % of Net Assets | |||
Brazil | 10.2% | |||
Russia | 7.3% | |||
India | 6.9% | |||
China | 6.6% | |||
Colombia | 6.0% | |||
Mexico | 5.8% | |||
United Arab Emirates | 5.8% | |||
Indonesia | 4.8% | |||
Turkey | 4.5% | |||
Chile | 4.4% | |||
Peru | 4.2% | |||
Israel | 3.1% | |||
South Korea | 2.5% | |||
Luxembourg | 2.2% | |||
Kuwait | 2.2% | |||
Thailand | 1.9% | |||
South Africa | 1.9% | |||
Netherlands | 1.9% | |||
Kazakhstan | 1.8% | |||
Saudi Arabia | 1.7% | |||
Morocco | 1.6% | |||
Singapore | 1.6% | |||
Philippines | 1.3% | |||
Malaysia | 1.2% | |||
Egypt | 1.2% | |||
Ireland | 1.0% | |||
Others* | 4.1% | |||
Other Assets less Liabilities‡ | 2.3% | |||
Total | 100.0% |
† | The Fund’s country breakdown may change over time. It does not include derivatives (if any). |
‡ | Other assets includes investment of cash collateral for securities on loan (if any). |
* | Includes countries that are less than 1% of assets. |
Top Ten Holdings*
Description | % of Net Assets | |||
Abu Dhabi National Energy Co. PJSC, | 3.0% | |||
Woori Bank, | 1.9% | |||
KazMunayGas National Co. JSC, | 1.8% | |||
Reliance Industries Ltd., | 1.8% | |||
Bank of China Ltd., | 1.8% | |||
Bharti Airtel Ltd., | 1.8% | |||
Cemex S.A.B. de C.V., | 1.7% | |||
China Construction Bank Corp., | 1.6% | |||
Oversea-Chinese Banking Corp., Ltd., | 1.5% | |||
NBK Tier 1 Financing 2 Ltd., | 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 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 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 29, 2020)
Beginning Account Value | Ending Account Value | Annualized Expense Ratio | Expenses Paid During the Period | |||||||||||||
Actual | $ | 1,000.00 | $ | 1,038.40 | 0.60 | % | $ | 3.04 | ||||||||
Hypothetical (5% return before expenses) | $ | 1,000.00 | $ | 1,021.88 | 0.60 | % | $ | 3.02 |
Performance
Average Annual Total Return | ||||||||||||||||||||
6-Month* | 1 Year | 3 Year | 5 Year | Since Inception1 | ||||||||||||||||
Fund NAV Returns | 3.84 | % | 9.47 | % | 5.46 | % | 4.85 | % | 4.36 | % | ||||||||||
Fund Market Price Returns | 2.90 | % | 8.62 | % | 5.08 | % | 4.81 | % | 4.24 | % | ||||||||||
JP Morgan CEMBI Diversified Index | 4.12 | % | 10.73 | % | 5.94 | % | 6.15 | % | 5.49 | % | ||||||||||
JP Morgan CEMBI Broad Index2 | 4.32 | % | 11.21 | % | 6.18 | % | 6.29 | % | 5.58 | % |
* | 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. |
2 | Prior to January 1, 2018, the Fund’s comparative broad-based index was the JP Morgan CEMBI Broad Index. Effective January 1, 2018, the Fund’s comparative broad-based index was changed to the JP Morgan CEMBI Diversified Index, which WisdomTree Asset Management, Inc., the Fund’s adviser, believes is a more appropriate performance comparison. |
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 29, 2020 (unaudited)
WisdomTree Emerging Markets Local Debt Fund (ELD)
Country Breakdown†
Country | % of Net Assets | |||
Brazil | 11.1% | |||
Russia | 10.7% | |||
Colombia | 7.6% | |||
United States | 7.4% | |||
Indonesia | 7.0% | |||
Mexico | 5.7% | |||
Supranational Bonds | 5.3% | |||
Thailand | 5.1% | |||
Poland | 5.1% | |||
South Africa | 4.5% | |||
India | 3.9% | |||
China | 3.9% | |||
Malaysia | 3.8% | |||
Peru | 3.7% | |||
Turkey | 3.4% | |||
Philippines | 2.0% | |||
Romania | 2.0% | |||
Hungary | 1.9% | |||
Chile | 1.9% | |||
Other Assets less Liabilities‡ | 4.0% | |||
Total | 100.0% |
† | The Fund’s country breakdown may change over time. It does not include derivatives (if any). |
‡ | Other assets includes investment of cash collateral for securities on loan (if any). |
Top Ten Holdings*
Description | % of Net Assets | |||
Citigroup, Inc., tri-party repurchase agreement, | 7.4% | |||
Brazil Notas do Tesouro Nacional, | 1.9% | |||
Brazil Notas do Tesouro Nacional, | 1.9% | |||
Colombian TES, | 1.8% | |||
Brazil Notas do Tesouro Nacional, | 1.8% | |||
Brazil Letras do Tesouro Nacional, | 1.5% | |||
Republic of Poland Government Bond, | 1.4% | |||
Thailand Government Bond, | 1.4% | |||
Republic of Poland Government Bond, | 1.3% | |||
Peruvian Government International | 1.3% |
* | 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 29, 2020)
Beginning Account Value | Ending Account Value | Annualized Expense Ratio | Expenses Paid During the Period | |||||||||||||
Actual | $ | 1,000.00 | $ | 1,015.40 | 0.55 | % | $ | 2.76 | ||||||||
Hypothetical (5% return before expenses) | $ | 1,000.00 | $ | 1,022.13 | 0.55 | % | $ | 2.76 |
Performance
Average Annual Total Return | ||||||||||||||||||||
6-Month* | 1 Year | 3 Year | 5 Year | Since Inception1 | ||||||||||||||||
Fund NAV Returns | 1.54 | % | 3.46 | % | 2.44 | % | 1.39 | % | 0.55 | % | ||||||||||
Fund Market Price Returns | 2.09 | % | 3.57 | % | 2.52 | % | 1.36 | % | 0.49 | % | ||||||||||
JP Morgan Government Bond Index-Emerging Markets (GBI-EM) Global Diversified Index | 1.27 | % | 3.73 | % | 3.95 | % | 2.01 | % | 1.22 | % |
* | 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 August 9, 2010. |
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 29, 2020 (unaudited)
WisdomTree Floating Rate Treasury Fund (USFR)
Investment Breakdown†
Investment Type | % of Net Assets | |||
U.S. Government Obligations | 99.9% | |||
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 includes investment of cash collateral for securities on loan (if any). |
Top Holdings*
Description | % of Net Assets | |||
U.S. Treasury Floating Rate Note, | 27.3% | |||
U.S. Treasury Floating Rate Note, | 27.1% | |||
U.S. Treasury Floating Rate Note, | 26.9% | |||
U.S. Treasury Floating Rate Note, | 18.6% |
* | 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 29, 2020)
Beginning Account Value | Ending Account Value | Annualized Expense Ratio | Expenses Paid During the Period | |||||||||||||
Actual | $ | 1,000.00 | $ | 1,010.80 | 0.15 | % | $ | 0.75 | ||||||||
Hypothetical (5% return before expenses) | $ | 1,000.00 | $ | 1,024.12 | 0.15 | % | $ | 0.75 |
Performance
Average Annual Total Return | ||||||||||||||||||||
6-Month* | 1 Year | 3 Year | 5 Year | Since Inception1 | ||||||||||||||||
Fund NAV Returns | 1.08 | % | 2.09 | % | 1.73 | % | 1.17 | % | 0.95 | % | ||||||||||
Fund Market Price Returns | 1.04 | % | 2.05 | % | 1.83 | % | 1.22 | % | 0.93 | % | ||||||||||
Bloomberg U.S. Treasury Floating Rate Bond Index | 1.11 | % | 2.22 | % | 1.90 | % | 1.33 | % | 1.10 | % |
* | 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 29, 2020 (unaudited)
WisdomTree Interest Rate Hedged High Yield Bond Fund (HYZD)
Investment Breakdown†
Investment Type | % of Net Assets | |||
U.S. Corporate Bonds | 81.7% | |||
Foreign Corporate Bonds | 14.3% | |||
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 includes investment of cash collateral for securities on loan (if any). |
Top Ten Holdings*
Description | % of Net Assets | |||
Sprint Corp., | 0.8% | |||
Community Health Systems, Inc., | 0.7% | |||
EMC Corp., | 0.6% | |||
Tenet Healthcare Corp., | 0.6% | |||
T-Mobile USA, Inc., | 0.6% | |||
Freeport-McMoRan, Inc., | 0.5% | |||
Tenet Healthcare Corp., | 0.5% | |||
DISH DBS Corp., | 0.5% | |||
Intelsat Jackson Holdings S.A., | 0.5% | |||
Telecom Italia SpA, | 0.5% |
* | 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 ICE BofA Merrill Lynch 0-5 Year U.S. High Yield Constrained, Zero Duration Index (the “Index”). In seeking to track the Index, the Fund invests mainly in short-term non-investment grade U.S. corporate fixed income securities having effective maturities generally shorter than five years 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 29, 2020)
Beginning Account Value | Ending Account Value | Annualized Expense Ratio | Expenses Paid During the Period | |||||||||||||
Actual | $ | 1,000.00 | $ | 1,000.90 | 0.43 | % | $ | 2.14 | ||||||||
Hypothetical (5% return before expenses) | $ | 1,000.00 | $ | 1,022.73 | 0.43 | % | $ | 2.16 |
Performance
Average Annual Total Return | ||||||||||||||||||||
6-Month* | 1 Year | 3 Year | 5 Year | Since Inception1 | ||||||||||||||||
Fund NAV Returns | 0.09 | % | 1.00 | % | 3.22 | % | 3.66 | % | 3.15 | % | ||||||||||
Fund Market Price Returns | -0.04 | % | 1.26 | % | 3.09 | % | 3.73 | % | 3.11 | % | ||||||||||
ICE BofA Merrill Lynch 0-5 Year U.S. High Yield Constrained, Zero Duration Index | -0.12 | % | 0.54 | % | 3.41 | % | 4.06 | % | 3.60 | % |
* | 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.
8 | WisdomTree Trust |
Table of Contents
Performance Summary
as of February 29, 2020 (unaudited)
WisdomTree Interest Rate Hedged U.S. Aggregate Bond Fund (AGZD)
Investment Breakdown†
Investment Type | % of Net Assets | |||
U.S. Government Obligations | 41.2% | |||
U.S. Government Agencies | 27.1% | |||
U.S. Corporate Bonds | 21.7% | |||
Foreign Corporate Bonds | 3.6% | |||
Repurchase Agreement | 2.0% | |||
Commercial Mortgage-Backed Securities | 1.9% | |||
Foreign Government Agencies | 1.3% | |||
Foreign Government Obligations | 1.0% | |||
Supranational Bonds | 0.9% | |||
Municipal Bonds | 0.5% | |||
Asset-Backed Securities | 0.3% | |||
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 includes investment of cash collateral for securities on loan (if any). |
Top Ten Holdings*
Description | % of Net Assets | |||
Citigroup, Inc., tri-party repurchase agreement, | 2.0% | |||
U.S. Treasury Note, | 1.1% | |||
U.S. Treasury Bond, | 1.0% | |||
U.S. Treasury Bond, | 0.9% | |||
U.S. Treasury Note, | 0.8% | |||
U.S. Treasury Note, | 0.8% | |||
U.S. Treasury Note, | 0.7% | |||
Uniform Mortgage-Backed Security, | 0.7% | |||
U.S. Treasury Note, | 0.7% | |||
U.S. Treasury Note, | 0.7% |
* | 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). |
†† | 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 Barclays 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 29, 2020)
Beginning Account Value | Ending Account Value | Annualized Expense Ratio | Expenses Paid During the Period | |||||||||||||
Actual | $ | 1,000.00 | $ | 1,011.90 | 0.23 | % | $ | 1.15 | ||||||||
Hypothetical (5% return before expenses) | $ | 1,000.00 | $ | 1,023.72 | 0.23 | % | $ | 1.16 |
Performance
Average Annual Total Return | ||||||||||||||||||||
6-Month* | 1 Year | 3 Year | 5 Year | Since Inception1 | ||||||||||||||||
Fund NAV Returns | 1.19 | % | 2.88 | % | 2.33 | % | 1.62 | % | 1.39 | % | ||||||||||
Fund Market Price Returns | 1.45 | % | 3.01 | % | 2.39 | % | 1.69 | % | 1.46 | % | ||||||||||
Bloomberg Barclays Rate Hedged U.S. Aggregate Bond Index, Zero Duration | 0.99 | % | 2.34 | % | 2.23 | % | 1.77 | % | 1.66 | % |
* | 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 29, 2020 (unaudited)
WisdomTree Mortgage Plus Bond Fund (MTGP)
Investment Breakdown†
Investment Type | % of Net Assets | |||
U.S. Government Agencies | 54.1% | |||
Collateralized Mortgage Obligations | 28.9% | |||
Collateralized Loan Obligations | 6.1% | |||
Commercial Mortgage-Backed Securities | 5.7% | |||
Asset-Backed Securities | 4.8% | |||
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 includes investment of cash collateral for securities on loan (if any). |
Top Ten Holdings*
Description | % of Net Assets | |||
Federal National Mortgage Association, | 9.9% | |||
Federal National Mortgage Association, | 9.7% | |||
Government National Mortgage Association, | 5.5% | |||
Federal National Mortgage Association, | 5.0% | |||
Federal National Mortgage Association, | 4.8% | |||
Government National Mortgage Association, | 4.5% | |||
Federal Home Loan Mortgage Corp., | 3.7% | |||
Federal Home Loan Mortgage Corporation REMIC, | 3.6% | |||
Federal National Mortgage Association, | 3.5% | |||
Federal National Mortgage Association, | 3.1% |
* | 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 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 six-month period ended February 29, 2020)
Beginning Account Value | Ending Account Value | Annualized Expense Ratio | Expenses Paid During the Period | |||||||||||||
Actual1 | $ | 1,000.00 | $ | 1,026.80 | 0.45 | % | $ | 1.35 | ||||||||
Hypothetical (5% return before expenses) | $ | 1,000.00 | $ | 1,022.63 | 0.45 | % | $ | 2.26 |
1 | Fund commenced operations on November 14, 2019. Actual expenses are calculated using the Fund’s annualized expense ratio, multiplied by the average account value for the period, multiplied by 108/366 (to reflect the period since commencement of operations). |
10 | WisdomTree Trust |
Table of Contents
Performance Summary
as of February 29, 2020 (unaudited)
WisdomTree Negative Duration High Yield Bond Fund (HYND)
Investment Breakdown†
Investment Type | % of Net Assets | |||
U.S. Corporate Bonds | 87.0% | |||
Foreign Corporate Bonds | 11.2% | |||
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 includes investment of cash collateral for securities on loan (if any). |
Top Ten Holdings*
Description | % of Net Assets | |||
Community Health Systems, Inc., | 1.1% | |||
EMC Corp., | 1.0% | |||
DISH DBS Corp., | 0.9% | |||
T-Mobile USA, Inc., | 0.8% | |||
Jaguar Land Rover Automotive PLC, | 0.8% | |||
Tenet Healthcare Corp., | 0.8% | |||
Sprint Corp., | 0.7% | |||
Freeport-McMoRan, Inc., | 0.7% | |||
Nielsen Finance LLC, | 0.7% | |||
Solera LLC, | 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 Negative Duration High Yield Bond Fund (the “Fund”) seeks to track the price and yield performance, before fees and expenses, of the ICE BofA Merrill Lynch 0-5 Year U.S. High Yield Constrained, Negative Seven Duration Index (the “Index”). In seeking to track the Index, the Fund invests mainly in short-term non-investment grade U.S. corporate fixed income securities having effective maturities generally shorter than five years and obtains short exposure to U.S. Treasuries such that the Fund’s total portfolio duration approximates negative seven 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 29, 2020)
Beginning Account Value | Ending Account Value | Annualized Expense Ratio | Expenses Paid During the Period | |||||||||||||
Actual | $ | 1,000.00 | $ | 965.90 | 0.48 | % | $ | 2.35 | ||||||||
Hypothetical (5% return before expenses) | $ | 1,000.00 | $ | 1,022.48 | 0.48 | % | $ | 2.41 |
Performance
Average Annual Total Return | ||||||||||||||||||||
6-Month* | 1 Year | 3 Year | 5 Year | Since Inception1 | ||||||||||||||||
Fund NAV Returns | -3.41 | % | -11.25 | % | -1.44 | % | 0.59 | % | -1.27 | % | ||||||||||
Fund Market Price Returns | -2.84 | % | -11.32 | % | -1.88 | % | 0.45 | % | -1.37 | % | ||||||||||
ICE BofA Merrill Lynch 0-5 Year U.S. High Yield Constrained, Negative Seven Duration Index | -2.71 | % | -10.53 | % | -0.55 | % | 1.72 | % | -0.05 | % |
* | 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 | 11 |
Table of Contents
Performance Summary
as of February 29, 2020 (unaudited)
WisdomTree Negative Duration U.S. Aggregate Bond Fund (AGND)
Investment Breakdown†
Investment Type | % of Net Assets | |||
U.S. Government Obligations | 35.6% | |||
U.S. Government Agencies | 28.7% | |||
U.S. Corporate Bonds | 23.0% | |||
Foreign Corporate Bonds | 3.4% | |||
Repurchase Agreement | 2.7% | |||
Commercial Mortgage-Backed Securities | 2.4% | |||
Supranational Bonds | 1.5% | |||
Foreign Government Obligations | 1.0% | |||
Foreign Government Agencies | 0.7% | |||
Asset-Backed Securities | 0.7% | |||
Municipal Bonds | 0.4% | |||
U.S. Government Agencies Sold Short | -1.3% | |||
Other Assets less Liabilities‡ | 1.2% | |||
Total | 100.0% |
† | The Fund’s investment breakdown may change over time. It does not include derivatives (if any). |
‡ | Other assets includes investment of cash collateral for securities on loan (if any). |
Top Ten Holdings*
Description | % of Net Assets | |||
Citigroup, Inc., tri-party repurchase agreement, | 2.7% | |||
U.S. Treasury Note, | 1.4% | |||
U.S. Treasury Note, | 1.3% | |||
U.S. Treasury Note, | 1.0% | |||
U.S. Treasury Note, | 1.0% | |||
Federal National Mortgage Association, | 1.0% | |||
U.S. Treasury Note, | 1.0% | |||
Federal Home Loan Mortgage Corp., | 0.8% | |||
U.S. Treasury Note, | 0.8% | |||
U.S. Treasury Note, | 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 Negative Duration U.S. Aggregate Bond Fund (the “Fund”) seeks to track the price and yield performance, before fees and expenses, of the Bloomberg Barclays Rate Hedged U.S. Aggregate Bond Index, Negative Five 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 negative five years. The Fund generally uses a representative sampling strategy to achieve its investment objective, meaning it generally will invest in a sample of 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 29, 2020)
Beginning Account Value | Ending Account Value | Annualized Expense Ratio | Expenses Paid During the Period | |||||||||||||
Actual | $ | 1,000.00 | $ | 994.00 | 0.28 | % | $ | 1.39 | ||||||||
Hypothetical (5% return before expenses) | $ | 1,000.00 | $ | 1,023.47 | 0.28 | % | $ | 1.41 |
Performance
Average Annual Total Return | ||||||||||||||||||||
6-Month* | 1 Year | 3 Year | 5 Year | Since Inception1 | ||||||||||||||||
Fund NAV Returns | -0.60 | % | -5.35 | % | -0.72 | % | -0.24 | % | -1.60 | % | ||||||||||
Fund Market Price Returns | -0.55 | % | -5.05 | % | -0.73 | % | -0.21 | % | -1.52 | % | ||||||||||
Bloomberg Barclays Rate Hedged U.S. Aggregate Bond Index, Negative Five Duration | -0.86 | % | -5.96 | % | -0.63 | % | 0.18 | % | -1.11 | % |
* | 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.
12 | WisdomTree Trust |
Table of Contents
Performance Summary
as of February 29, 2020 (unaudited)
WisdomTree Yield Enhanced Global Aggregate Bond Fund (GLBY)
Country Breakdown†
Country | % of Net Assets | |||
United States | 44.9% | |||
Italy | 12.2% | |||
Germany | 10.4% | |||
United Kingdom | 8.5% | |||
France | 6.2% | |||
Spain | 3.6% | |||
Supranational Bonds | 2.6% | |||
Austria | 2.4% | |||
Japan | 2.4% | |||
Netherlands | 2.3% | |||
Belgium | 2.0% | |||
Ireland | 1.2% | |||
Luxembourg | 0.6% | |||
Sweden | 0.4% | |||
Portugal | 0.3% | |||
Poland | 0.2% | |||
Other Assets less Liabilities‡ | -0.2% | |||
Total | 100.0% |
† | The Fund’s country breakdown may change over time. It does not include derivatives (if any). |
‡ | Other assets includes investment of cash collateral for securities on loan (if any). |
Top Ten Holdings*
Description | % of Net Assets | |||
WisdomTree Yield Enhanced U.S. Aggregate Bond Fund (AGGY) | 43.4% | |||
Spain Government Bond, | 1.2% | |||
French Republic Government Bond OAT, | 1.0% | |||
BMW Finance N.V., | 1.0% | |||
United Kingdom Gilt, | 0.9% | |||
Italy Buoni Poliennali Del Tesoro, | 0.8% | |||
United Kingdom Gilt, | 0.8% | |||
Italy Buoni Poliennali Del Tesoro, | 0.8% | |||
United Kingdom Gilt, | 0.7% | |||
United Kingdom Gilt, | 0.7% |
* | 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). For a full list of holdings information for the underlying WisdomTree Fund, please see pages 89-125 of this report. |
The WisdomTree Yield Enhanced Global Aggregate Bond Fund (the “Fund”) seeks to track the price and yield performance, before fees and expenses, of the Bloomberg Barclays Global Aggregate Enhanced Yield Index (USD Hedged) (the “Index”). In seeking to track the Index, the Fund mainly invests in global investment grade fixed income securities while attempting to neutralize the exposure to the fluctuation in the value of foreign currencies relative to the U.S. dollar. 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. The Fund may invest in exchange-traded funds (each, an “Underlying Fund”) that invests in component securities of the Index or securities that have economic characteristics that are substantially identical to the economic characteristics of such component securities.
Shareholder Expense Example (for the six-month period ended February 29, 2020)
Beginning Account Value | Ending Account Value | Annualized Net Expense Ratio | Expenses Paid During the Period | |||||||||||||
Actual | $ | 1,000.00 | $ | 1,021.50 | 0.15 | %1 | $ | 0.75 | ||||||||
Hypothetical (5% return before expenses) | $ | 1,000.00 | $ | 1,024.12 | 0.15 | %1 | $ | 0.75 |
1 | WisdomTree Asset Management, Inc. has contractually agreed to waive a portion of its management fee in an amount equal to the acquired fund fees and expenses (“AFFEs”) attributable to the Fund’s investments in each Underlying Fund through December 31, 2021, unless earlier terminated by the Board of Trustees of the WisdomTree Trust for any reason. The “Annualized Net Expense Ratio” does not include the impact of AFFEs. If the impact of AFFEs had been included (as shown in the net expense ratio in the Fund’s prospectus) the “Annualized Net Expense Ratio” would have been higher. |
Performance
Average Annual Total Return | ||||||||||||
6-Month* | 1 Year | Since Inception1 | ||||||||||
Fund NAV Returns | 2.15 | % | 12.82 | % | 12.74 | % | ||||||
Fund Market Price Returns | 2.28 | % | 12.67 | % | 12.17 | % | ||||||
Bloomberg Barclays Global Aggregate Enhanced Yield Index (USD Hedged) | 2.43 | % | 13.41 | % | 13.28 | % | ||||||
Bloomberg Barclays Global Aggregate Bond Index (USD Hedged) | 2.07 | % | 10.22 | % | 10.10 | % |
* | 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 13, 2018. |
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 29, 2020 (unaudited)
WisdomTree Yield Enhanced U.S. Aggregate Bond Fund (AGGY)
Investment Breakdown†
Investment Type | % of Net Assets | |||
U.S. Corporate Bonds | 34.2% | |||
U.S. Government Agencies | 24.9% | |||
U.S. Government Obligations | 17.8% | |||
Foreign Corporate Bonds | 7.4% | |||
Commercial Mortgage-Backed Securities | 6.8% | |||
Repurchase Agreement | 3.0% | |||
Foreign Government Obligations | 2.3% | |||
Municipal Bonds | 1.7% | |||
Asset-Backed Securities | 1.4% | |||
Foreign Government Agencies | 0.4% | |||
Supranational Bonds | 0.1% | |||
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 includes investment of cash collateral for securities on loan (if any). |
Top Ten Holdings*
Description | % of Net Assets | |||
Citigroup, Inc., tri-party repurchase agreement, | 3.0% | |||
Federal National Mortgage Association, | 0.5% | |||
Federal National Mortgage Association, | 0.5% | |||
Federal National Mortgage Association, | 0.4% | |||
Federal National Mortgage Association, | 0.4% | |||
Federal National Mortgage Association, | 0.3% | |||
Federal National Mortgage Association, | 0.3% | |||
U.S. Treasury Note, | 0.3% | |||
U.S. Treasury Bond, | 0.3% | |||
Federal National Mortgage Association, | 0.3% |
* | 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 and 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 Barclays 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 29, 2020)
Beginning Account Value | Ending Account Value | Annualized Net Expense Ratio | Expenses Paid During the Period | |||||||||||||
Actual | $ | 1,000.00 | $ | 1,037.00 | 0.12 | %1 | $ | 0.61 | ||||||||
Hypothetical (5% return before expenses) | $ | 1,000.00 | $ | 1,024.27 | 0.12 | %1 | $ | 0.60 |
1 | WisdomTree Asset Management, Inc. has contractually agreed to limit the management fee to 0.12% through December 31, 2020, unless earlier terminated by the Board of Trustees of the WisdomTree Trust for any reason. |
Performance
Average Annual Total Return | ||||||||||||||||
6-Month* | 1 Year | 3 Year | Since Inception1 | |||||||||||||
Fund NAV Returns | 3.70 | % | 13.88 | % | 5.80 | % | 4.84 | % | ||||||||
Fund Market Price Returns | 3.56 | % | 13.60 | % | 5.72 | % | 4.82 | % | ||||||||
Bloomberg Barclays U.S. Aggregate Enhanced Yield Index | 3.91 | % | 14.12 | % | 6.08 | % | 5.08 | % | ||||||||
Bloomberg Barclays U.S. Aggregate Index | 3.39 | % | 11.68 | % | 5.01 | % | 4.09 | % |
* | 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.
14 | WisdomTree Trust |
Table of Contents
Performance Summary
as of February 29, 2020 (unaudited)
WisdomTree Yield Enhanced U.S. Short-Term Aggregate Bond Fund (SHAG)
Investment Breakdown†
Investment Type | % of Net Assets | |||
U.S. Corporate Bonds | 48.0% | |||
U.S. Government Obligations | 26.9% | |||
Commercial Mortgage-Backed Securities | 10.7% | |||
Foreign Corporate Bonds | 8.4% | |||
Foreign Government Obligations | 2.7% | |||
Asset-Backed Securities | 2.4% | |||
U.S. Government Agencies | 2.0% | |||
Foreign Government Agencies | 0.1% | |||
Supranational Bond | 0.0% | * | ||
Other Assets less Liabilities‡ | -1.2% | |||
Total | 100.0% |
† | The Fund’s investment breakdown may change over time. It does not include derivatives (if any). |
‡ | Other assets includes investment of cash collateral for securities on loan (if any). |
* | Represents less than 0.1%. |
Top Ten Holdings*
Description | % of Net Assets | |||
U.S. Treasury Note, | 2.6% | |||
U.S. Treasury Note, | 2.5% | |||
U.S. Treasury Note, | 2.5% | |||
U.S. Treasury Note, | 2.3% | |||
U.S. Treasury Note, | 2.1% | |||
U.S. Treasury Bill, | 2.0% | |||
JP Morgan Chase Commercial Mortgage Securities Trust, | 1.9% | |||
Uniform Mortgage-Backed Security, | 1.9% | |||
U.S. Treasury Note, | 1.9% | |||
U.S. Treasury Bond, | 1.8% |
* | 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 Barclays 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 29, 2020)
Beginning Account Value | Ending Account Value | Annualized Net Expense Ratio | Expenses Paid During the Period | |||||||||||||
Actual | $ | 1,000.00 | $ | 1,024.40 | 0.12 | %1 | $ | 0.60 | ||||||||
Hypothetical (5% return before expenses) | $ | 1,000.00 | $ | 1,024.27 | 0.12 | %1 | $ | 0.60 |
1 | WisdomTree Asset Management, Inc. has contractually agreed to limit the management fee to 0.12% through December 31, 2020, unless earlier terminated by the Board of Trustees of the WisdomTree Trust for any reason. |
Performance
Average Annual Total Return | ||||||||||||
6-Month* | 1 Year | Since Inception1 | ||||||||||
Fund NAV Returns | 2.44 | % | 6.79 | % | 3.30 | % | ||||||
Fund Market Price Returns | 2.52 | % | 6.68 | % | 3.32 | % | ||||||
Bloomberg Barclays U.S. Short Aggregate Enhanced Yield Index | 2.32 | % | 6.37 | % | 3.05 | % | ||||||
Bloomberg Barclays U.S. Short Aggregate Composite Index | 2.65 | % | 7.25 | % | 3.60 | % |
* | 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.
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Table of Contents
Performance Summary
as of February 29, 2020 (unaudited)
WisdomTree CBOE S&P 500 PutWrite Strategy Fund (PUTW)
Investment Breakdown†
Investment Type | % of Net Assets | |||
U.S. Government Obligations | 104.6% | |||
Exchange-Traded Funds | 4.5% | |||
Other Assets less Liabilities‡ | -9.1% | |||
Total | 100.0% |
† | The Fund’s investment breakdown may change over time. It does not include derivatives (if any). |
‡ | Other assets includes investment of cash collateral for securities on loan (if any). |
Top Holdings*
Description | % of Net Assets | |||
U.S. Treasury Bill, | 68.7% | |||
U.S. Treasury Bill, | 35.9% | |||
WisdomTree Floating Rate Treasury Fund (USFR) | 4.5% |
* | 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 38 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.
Shareholder Expense Example (for the six-month period ended February 29, 2020)
Beginning Account Value | Ending Account Value | Annualized Net Expense Ratio | Expenses Paid During the Period | |||||||||||||
Actual | $ | 1,000.00 | $ | 965.20 | 0.40 | %1 | $ | 1.95 | ||||||||
Hypothetical (5% return before expenses) | $ | 1,000.00 | $ | 1,022.87 | 0.40 | %1 | $ | 2.01 |
1 | WisdomTree Asset Management, Inc. had contractually agreed to limit the management fee to 0.38% through December 31, 2019. On December 31, 2019, the contractual waiver expired. |
Performance
Average Annual Total Return | ||||||||||||||||
6-Month* | 1 Year | 3 Year | Since Inception1 | |||||||||||||
Fund NAV Returns | -3.48 | % | -0.51 | % | 1.17 | % | 4.34 | % | ||||||||
Fund Market Price Returns | -4.27 | % | -1.24 | % | 0.82 | % | 4.08 | % | ||||||||
CBOE S&P 500 PutWrite Index | -3.45 | % | -0.22 | % | 1.67 | % | 4.87 | % | ||||||||
S&P 500® Index | 1.92 | % | 8.19 | % | 9.87 | % | 13.45 | % |
* | 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.
16 | WisdomTree Trust |
Table of Contents
Performance Summary
as of February 29, 2020 (unaudited)
WisdomTree Managed Futures Strategy Fund (WTMF) (consolidated)
Investment Breakdown†
Investment Type | % of Net Assets | |||
U.S. Government Obligations | 86.6% | |||
Exchange-Traded Funds | 4.7% | |||
Other Assets less Liabilities‡ | 8.7% | |||
Total | 100.0% |
† | The Fund’s investment breakdown may change over time. It does not include derivatives (if any). |
‡ | Other assets includes investment of cash collateral for securities on loan (if any). |
Top Holdings*
Description | % of Net Assets | |||
U.S. Treasury Bill, | 84.1% | |||
WisdomTree Floating Rate Treasury Fund (USFR) | 4.7% | |||
U.S. Treasury Bill, | 2.5% |
* | 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 38 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, currencies and interest rates.
Shareholder Expense Example (for the six-month period ended February 29, 2020)
Beginning Account Value | Ending Account Value | Annualized Net Expense Ratio | Expenses Paid During the Period | |||||||||||||
Actual | $ | 1,000.00 | $ | 928.40 | 0.65 | %1 | $ | 3.12 | ||||||||
Hypothetical (5% return before expenses) | $ | 1,000.00 | $ | 1,021.63 | 0.65 | %1 | $ | 3.27 |
1 | WisdomTree Asset Management, Inc. has contractually agreed to limit the management fee to 0.65% through December 31, 2020, unless earlier terminated by the Board of Trustees of the WisdomTree Trust for any reason. |
Performance
Average Annual Total Return | ||||||||||||||||||||
6-Month* | 1 Year | 3 Year | 5 Year | Since Inception1 | ||||||||||||||||
Fund NAV Returns | -7.16 | % | -6.58 | % | -2.46 | % | -2.82 | % | -2.93 | % | ||||||||||
Fund Market Price Returns | -7.14 | % | -6.50 | % | -2.43 | % | -2.85 | % | -2.95 | % | ||||||||||
Diversified Trends Indicator/WisdomTree Managed Futures Spliced Index2 | -6.74 | % | -5.77 | % | -1.49 | % | -1.86 | % | -1.89 | % | ||||||||||
S&P Diversified Trends Indicator Index | -7.10 | % | -3.69 | % | -1.78 | % | -1.61 | % | -1.67 | % |
* | 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 January 5, 2011. |
2 | Diversified Trends Indicator Index through June 30, 2016; WisdomTree Managed Futures 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.
WisdomTree Trust | 17 |
Table of Contents
Description of Terms and Indexes (unaudited)
Below are descriptions of certain terms and of each index referenced in this report.
Bloomberg Barclays Global Aggregate Bond Index (Hedged):
The Bloomberg Barclays Global Aggregate Bond Index (Hedged) represents the Bloomberg Barclays Global Aggregate Index hedged into USD.
Bloomberg Barclays Global Aggregate Enhanced Yield Index:
The Bloomberg Barclays Global Aggregate Enhanced Yield Index uses a rules-based approach to reallocate across subcomponents in the Bloomberg Barclays Global Aggregate Bond Index seeking to enhance yield while maintaining a similar risk profile.
Bloomberg Barclays Rate Hedged U.S. Aggregate Bond Index, Negative Five Duration:
The Bloomberg Barclays Rate Hedged U.S. Aggregate Bond Index, Negative Five Duration combines long positions in the Bloomberg Barclays U.S. Aggregate Bond Index with short positions in U.S. Treasury Bonds to provide a duration exposure of -5 years. Market values of long and short positions are rebalanced at month-end.
Bloomberg Barclays Rate Hedged U.S. Aggregate Bond Index, Zero Duration:
The Bloomberg Barclays Rate Hedged U.S. Aggregate Bond Index, Zero Duration combines long positions in the Bloomberg Barclays 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 Barclays U.S. Aggregate Enhanced Yield Index:
The Bloomberg Barclays U.S. Aggregate Enhanced Yield Index uses a rules-based approach to reallocate across subcomponents in the Bloomberg Barclays U.S. Aggregate Bond Index seeking to enhance yield while maintaining a similar risk profile.
Bloomberg Barclays U.S. Short Aggregate Composite Index:
The Bloomberg Barclays U.S. Short Aggregate Composite Index measures the performance of the short-term U.S. investment-grade bond market.
Bloomberg Barclays U.S. Short Aggregate Enhanced Yield Index:
The Bloomberg Barclays U.S. Short Aggregate Enhanced Yield Index uses a rules-based approach to reallocate across subcomponents in the Bloomberg Barclays 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 Barclays U.S. Aggregate Index:
The Bloomberg Barclays U.S. Aggregate Index represents the investment-grade, U.S. dollar-denominated, fixed-rate taxable bond market, including Treasuries, government-related and corporate securities, as well as mortgage- and asset-backed securities.
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.
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Table of Contents
Description of Terms and Indexes (unaudited) (continued)
Bloomberg Dollar Total Return Index:
The Bloomberg Dollar Total Return Index is the 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 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.
Bond Spread:
A bond spread is the difference between the yields of two bonds with differing credit ratings. Most often, a corporate bond with a certain amount of risk is compared to a standard risk-free Treasury Bond. The bond spread will show the additional yield that could be earned from a bond which has a higher risk. Generally, bond spreads are often a good barometer of economic health - widening (bad) and narrowing (good).
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.
Consumer Price Index:
The Consumer Price Index (CPI) is a measure of the average change over time in the prices paid by urban consumers for a market basket of consumer goods and services.
Diversified Trends Indicator Index:
The Diversified Trends Indicator (“DTI”) Index is a long/short rules-based index that consists of ten commodity sectors and eight financial sectors. Each month the DTI Index sector exposure is rebalanced back to the fixed weights, 50% physical commodities and 50% financials (when energy is long) and approximately 40% commodities and 60% financials (when energy is flat). Each sector (other than the energy sector) is positioned either long or short depending on the current market environment (the energy sector is positioned as either “long” or “flat” (i.e., no exposure)). The DTI Index individual market components, sectors and related weightings, as well as other aspects of the calculation of the DTI Index, are subject to change at any time.
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.
Gross Domestic Product:
Gross Domestic Product (GDP) is the total monetary or market value of all the finished goods and services produced within a country’s borders in a specific time period. As a
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Table of Contents
Description of Terms and Indexes (unaudited) (continued)
broad measure of overall domestic production, it functions as a comprehensive scorecard of a country’s economic health.
ICE BofA Merrill Lynch 0-5 Year U.S. High Yield Constrained, Negative Seven Duration Index:
The ICE BofA Merrill Lynch 0-5 Year U.S. High Yield Constrained, Negative Seven 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 negative seven year duration. Market values of long and short positions are rebalanced at month-end.
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. Corporate Master Option-Adjusted Spread and the ICE BofA Merrill Lynch U.S. High Yield Option-Adjusted Spread:
The ICE BofA Merrill Lynch Option-Adjusted Spreads (“OAS”) are the calculated spreads between a computed OAS index of all bonds in a given rating category and a spot Treasury curve. An OAS index is constructed using each constituent bond weighted by market capitalization. The ICE BofA Merrill Lynch U.S. Corporate Master OAS uses an index of bonds that are considered investment grade (those rated BBB or better) and the ICE BofA Merrill Lynch U.S. High Yield Master OAS uses an index of bonds that are below investment grade (those rated BB or below).
JP Morgan CEMBI Broad Index:
The JP Morgan CEMBI Broad Index is a market capitalization-weighted index consisting
of U.S. dollar-denominated emerging market corporate bonds. The index serves as a global corporate benchmark representing Asia, Latin America, Europe and Middle East/Africa. U.S. dollar-denominated corporate issues from index-eligible countries are narrowed further by only including issues with more than $300 million current face outstanding and at least five years to maturity (at the time of inclusion into the index).
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
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Table of Contents
Description of Terms and Indexes (unaudited) (continued)
of an investment in Chinese yuan money market instruments. The returns are reported inU.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.
MSCI Emerging Markets Index:
The MSCI Emerging Markets Index is a free float-adjusted market capitalization index that is designed to measure emerging markets equity performance.
Purchasing Managers’ Index:
The Purchasing Managers’ Index (PMI) is an index of the prevailing direction of economic trends in the manufacturing and service sectors. It consists of a diffusion index that summarizes whether market conditions, as viewed by purchasing managers, are expanding, staying the same, or contracting.
Risk-on and Risk-off:
Investors’ appetites for risk rise and fall over time. During periods when risk is perceived as low, the risk-on risk-off theory states that investors tend to engage in higher-risk investments (i.e. “Risk-on”). When risk is perceived to be high, investors have the tendency to gravitate toward lower-risk investments (i.e. “Risk-off”).
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 Diversified Trends Indicator Index:
The S&P Diversified Trends Indicator Index is a diversified composite of global commodity and financial futures that are highly liquid.
Spot Rate and NDF Rate Returns:
A “spot” rate is the foreign exchange rate on foreign exchange contracts settled generally within two business days from the trade date. The NDF rate is the foreign exchange rate on non-deliverable forward currency contracts settled on a future date that is generally greater than two business days from the trade date. The Brazilian real spot return rate relative to the U.S. dollar calculated by WisdomTree is the rate of return percentage difference between the end of period spot and the beginning of period spot rate using WM/Reuters London closing rates. 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.
WisdomTree Managed Futures Index:
The WisdomTree Managed Futures Index is a long/short, rules-based index designed to provide exposure to a portfolio consisting of diversified futures contracts for
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Table of Contents
Description of Terms and Indexes (unaudited) (continued)
commodities, currencies and interest rates. On a monthly basis, assets with lower realized volatility will be selected, and a determination to go long or short the futures contracts of the selected assets under a proprietary composite momentum framework will be made. The composite momentum framework incorporates multiple momentum signals to decide the direction and weight in the index.
* * * * * *
BLOOMBERG is a trademark and service mark of Bloomberg Finance L.P. BARCLAYS is a trademark and service mark of Barclays Bank Plc, used under license. Bloomberg Finance L.P. and its affiliates (collectively “Bloomberg”) or Bloomberg licensors own all proprietary rights in the BLOOMBERG BARCLAYS INDICES. Neither Bloomberg nor Barclays Bank Plc or Barclays Capital Inc. or their affiliates (collectively “Barclays”) guarantee the timeliness, accuracy or completeness of any data or information relating to BLOOMBERG BARCLAYS INDICES or make any warranty, express or implied, as to the BLOOMBERG BARCLAYS INDICES or any data or values relating thereto or results to be obtained therefrom, and expressly disclaims all warranties of merchantability and fitness for a particular purpose with respect thereto. It is not possible to invest directly in an index. Back-tested performance is not actual performance. Past performance is not an indication of future results. To the maximum extent allowed by law, Bloomberg and its licensors, and their respective employees, contractors, agents, suppliers and vendors shall have no liability or responsibility whatsoever for any injury or damages — whether direct, indirect, consequential, incidental, punitive or otherwise — arising in connection with BLOOMBERG BARCLAYS INDICES or any data or values relating thereto — whether arising from their negligence or otherwise. This documentconstitutes the provision of factual information, rather than financial product advice. Nothing in the BLOOMBERG BARCLAYS INDICES shall constitute or be construed as an offering of financial instruments or as investment advice or investment recommendations (i.e., recommendations as to whether or not to “buy,” “sell,” “hold” or enter into any other transaction involving a specific interest) by Bloomberg or its affiliates or licensors or a recommendation as to an investment or other strategy. Data and other information available via the BLOOMBERG BARCLAYS INDICES should not be considered as information sufficient upon which to base an investment decision. All information provided by the BLOOMBERG BARCLAYS INDICES is impersonal and not tailored to the needs of any specific person, entity or group of persons. Bloomberg and its affiliates express no opinion on the future or expected value of any security or other interest and do not explicitly or implicitly recommend or suggest an investment strategy of any kind. In addition, Barclays is not the issuer or producer of the BLOOMBERG BARCLAYS INDICES and has no responsibilities, obligations or duties to investors in these indices. While Bloomberg may for itself execute transactions with Barclays in or relating to the BLOOMBERG BARCLAYS INDICES, investors in the BLOOMBERG BARCLAYS INDICES do not enter into any relationship with Barclays and Barclays does not sponsor, endorse, sell or promote, and Barclays makes no representation regarding the advisability or use of, the BLOOMBERG BARCLAYS INDICES or any data included therein. Investors should consider obtaining independent advice before making any financial decisions.
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
22 | WisdomTree Trust |
Table of Contents
Description of Terms and Indexes (unaudited) (concluded)
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 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.
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 | GBP | British pound | PHP | Philippine peso | |||||
BRL | Brazilian real | HUF | Hungary forint | PLN | Polish zloty | |||||
CAD | Canadian dollar | IDR | Indonesian rupiah | RON | Romanian leu | |||||
CHF | Swiss franc | INR | Indian rupee | RUB | Russian ruble | |||||
CLP | Chilean peso | JPY | Japanese yen | THB | Thai baht | |||||
CNH | Offshore Chinese renminbi | KRW | South Korean won | TRY | Turkish new lira | |||||
CNY | Chinese yuan | MXN | Mexican peso | USD | U.S. dollar | |||||
COP | Colombian peso | MYR | Malaysian ringgit | ZAR | South African rand | |||||
EUR | Euro | PEN | Peruvian nuevo sol |
Other abbreviations: | ||
IO | Interest Only | |
PIK | Payment In Kind | |
Reg S | Regulation S. 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. | |
REMIC | Real Estate Mortgage Investment Conduit | |
STRIPS | Separate Trading of Registered Interest and Principal of Securities |
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Table of Contents
Schedule of Investments (unaudited)
WisdomTree Bloomberg U.S. Dollar Bullish Fund (USDU)
February 29, 2020
Investments | Principal Amount | Value | ||||||
U.S. GOVERNMENT OBLIGATIONS – 96.9% |
| |||||||
U.S. Treasury Bills – 96.9% |
| |||||||
1.57%, 3/12/20* | $ | 25,905,000 | $ | 25,894,429 | ||||
1.58%, 4/16/20* | 16,204,000 | 16,176,499 | ||||||
1.56%, 5/21/20* | 11,100,000 | 11,068,766 | ||||||
TOTAL U.S. GOVERNMENT OBLIGATIONS (Cost: $53,126,750) |
| 53,139,694 | ||||||
Investments | Shares | Value | ||||||
EXCHANGE-TRADED FUND – 2.6% |
| |||||||
United States – 2.6% |
| |||||||
WisdomTree Floating Rate Treasury Fund(a) | ||||||||
(Cost: $1,455,768) | 58,000 | $ | 1,455,220 | |||||
TOTAL INVESTMENTS IN SECURITIES – 99.5% (Cost: $54,582,518) |
| 54,594,914 | ||||||
Other Assets less Liabilities – 0.5% |
| 259,391 | ||||||
|
| |||||||
NET ASSETS – 100.0% |
| $ | 54,854,305 |
* | Interest rate shown reflects the yield to maturity at the time of purchase. |
(a) | Affiliated holding. See below table for additional information on investments in affiliates during the fiscal period. |
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 29, 2020 were as follows:
Investment In Affiliates | Value at 8/31/2019 | Purchases/ Additions | Sales/ Reductions | Realized Gain/(Loss) | Change in Unrealized Appreciation/ Depreciation | Value at 2/29/2020 | Dividend Income | |||||||||||||||||||||
WisdomTree Floating Rate Treasury Fund | $ | 1,854,440 | $ | — | $ | 400,902 | $ | (778 | ) | $ | 2,460 | $ | 1,455,220 | $ | 14,484 |
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 | |||||||||||||||||||||||
Bank of America N.A. | 3/4/2020 | 104,000 | AUD | 69,466 | USD | $ | — | $ | (1,713 | ) | ||||||||||||||||||
Bank of America N.A. | 3/4/2020 | 873,810 | AUD | 569,244 | USD | 15 | — | |||||||||||||||||||||
Bank of America N.A. | 3/4/2020 | 214,000 | CAD | 161,783 | USD | — | (2,348 | ) | ||||||||||||||||||||
Bank of America N.A. | 3/4/2020 | 1,794,660 | CAD | 1,337,014 | USD | 46 | — | |||||||||||||||||||||
Bank of America N.A. | 3/4/2020 | 62,000 | CHF | 63,082 | USD | 1,185 | — | |||||||||||||||||||||
Bank of America N.A. | 3/4/2020 | 522,480 | CHF | 541,571 | USD | 10 | — | |||||||||||||||||||||
Bank of America N.A. | 3/4/2020 | 284,000 | CNH | 40,482 | USD | 215 | — | |||||||||||||||||||||
Bank of America N.A. | 3/4/2020 | 2,382,660 | CNH | 341,425 | USD | 8 | — | |||||||||||||||||||||
Bank of America N.A. | 3/4/2020 | 398,000 | EUR | 430,548 | USD | 8,852 | — | |||||||||||||||||||||
Bank of America N.A. | 3/4/2020 | 3,339,420 | EUR | 3,686,676 | USD | 115 | — | |||||||||||||||||||||
Bank of America N.A. | 3/4/2020 | 118,000 | GBP | 152,559 | USD | — | (1,261 | ) | ||||||||||||||||||||
Bank of America N.A. | 3/4/2020 | 990,570 | GBP | 1,270,061 | USD | 35 | — | |||||||||||||||||||||
Bank of America N.A. | 3/4/2020 | 2,865,000 | INR | 39,975 | USD | — | (280 | ) | ||||||||||||||||||||
Bank of America N.A. | 3/4/2020 | 24,040,800 | INR | 332,975 | USD | 114 | — | |||||||||||||||||||||
Bank of America N.A. | 3/4/2020 | 21,486,000 | JPY | 193,262 | USD | 5,952 | — | |||||||||||||||||||||
Bank of America N.A. | 3/4/2020 | 180,271,140 | JPY | 1,671,403 | USD | 33 | — | |||||||||||||||||||||
Bank of America N.A. | 3/4/2020 | 55,370,000 | KRW | 46,424 | USD | — | (833 | ) | ||||||||||||||||||||
Bank of America N.A. | 3/4/2020 | 481,777,800 | KRW | 401,314 | USD | — | (4,621 | ) | ||||||||||||||||||||
Bank of America N.A. | 3/4/2020 | 2,556,000 | MXN | 137,405 | USD | — | (7,566 | ) | ||||||||||||||||||||
Bank of America N.A. | 3/4/2020 | 22,181,040 | MXN | 1,126,706 | USD | 37 | — | |||||||||||||||||||||
Bank of America N.A. | 3/4/2020 | 366,373 | USD | 547,050 | AUD | 9,987 | — | |||||||||||||||||||||
Bank of America N.A. | 3/4/2020 | 1,110,474 | USD | 1,660,000 | AUD | 29,036 | — | |||||||||||||||||||||
Bank of America N.A. | 3/4/2020 | 850,475 | USD | 1,125,600 | CAD | 11,880 | — | |||||||||||||||||||||
Bank of America N.A. | 3/4/2020 | 2,564,511 | USD | 3,400,000 | CAD | 31,440 | — | |||||||||||||||||||||
Bank of America N.A. | 3/4/2020 | 342,976 | USD | 329,700 | CHF | 1,222 | — | |||||||||||||||||||||
Bank of America N.A. | 3/4/2020 | 997,914 | USD | 980,000 | CHF | — | (17,915 | ) | ||||||||||||||||||||
Bank of America N.A. | 3/4/2020 | 213,972 | USD | 1,499,400 | CNH | — | (891 | ) | ||||||||||||||||||||
Bank of America N.A. | 3/4/2020 | 640,556 | USD | 4,490,000 | CNH | — | (2,858 | ) | ||||||||||||||||||||
Bank of America N.A. | 3/4/2020 | 2,340,059 | USD | 2,106,300 | EUR | 14,659 | — | |||||||||||||||||||||
Bank of America N.A. | 3/4/2020 | 6,773,970 | USD | 6,270,000 | EUR | — | (148,245 | ) | ||||||||||||||||||||
Bank of America N.A. | 3/4/2020 | 825,598 | USD | 624,750 | GBP | 24,551 | — | |||||||||||||||||||||
Bank of America N.A. | 3/4/2020 | 2,418,783 | USD | 1,860,000 | GBP | 33,915 | — | |||||||||||||||||||||
Bank of America N.A. | 3/4/2020 | 211,371 | USD | 15,135,750 | INR | 1,663 | — |
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 29, 2020
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 | |||||||||||||||||||||||
Bank of America N.A. | 3/4/2020 | 630,589 | USD | 45,270,000 | INR | $ | 3,367 | $ | — | |||||||||||||||||||
Bank of America N.A. | 3/4/2020 | 1,046,938 | USD | 113,270,850 | JPY | — | (3,285 | ) | ||||||||||||||||||||
Bank of America N.A. | 3/4/2020 | 3,101,886 | USD | 340,535,000 | JPY | — | (55,482 | ) | ||||||||||||||||||||
Bank of America N.A. | 3/4/2020 | 243,154 | USD | 289,705,500 | KRW | 4,611 | — | |||||||||||||||||||||
Bank of America N.A. | 3/4/2020 | 744,504 | USD | 888,000,000 | KRW | 13,329 | — | |||||||||||||||||||||
Bank of America N.A. | 3/4/2020 | 67,448 | USD | 82,000,000 | KRW | — | (70 | ) | ||||||||||||||||||||
Bank of America N.A. | 3/4/2020 | 706,255 | USD | 13,401,150 | MXN | 25,509 | — | |||||||||||||||||||||
Bank of America N.A. | 3/4/2020 | 2,193,291 | USD | 40,855,000 | MXN | 117,957 | — | |||||||||||||||||||||
Bank of America N.A. | 4/8/2020 | 601,727 | USD | 922,950 | AUD | — | (19 | ) | ||||||||||||||||||||
Bank of America N.A. | 4/8/2020 | 1,379,911 | USD | 1,852,200 | CAD | — | (46 | ) | ||||||||||||||||||||
Bank of America N.A. | 4/8/2020 | 554,252 | USD | 533,400 | CHF | — | (24 | ) | ||||||||||||||||||||
Bank of America N.A. | 4/8/2020 | 347,354 | USD | 2,426,550 | CNH | — | (34 | ) | ||||||||||||||||||||
Bank of America N.A. | 4/8/2020 | 3,792,971 | USD | 3,428,250 | EUR | — | (8 | ) | ||||||||||||||||||||
Bank of America N.A. | 4/8/2020 | 1,332,738 | USD | 1,038,450 | GBP | — | (34 | ) | ||||||||||||||||||||
Bank of America N.A. | 4/8/2020 | 341,938 | USD | 24,790,500 | INR | — | (284 | ) | ||||||||||||||||||||
Bank of America N.A. | 4/8/2020 | 1,692,117 | USD | 182,163,450 | JPY | — | (69 | ) | ||||||||||||||||||||
Bank of America N.A. | 4/8/2020 | 401,006 | USD | 481,287,450 | KRW | 4,524 | — | |||||||||||||||||||||
Bank of America N.A. | 4/8/2020 | 1,156,955 | USD | 22,903,650 | MXN | — | (85 | ) | ||||||||||||||||||||
Citibank N.A. | 3/4/2020 | 873,810 | AUD | 569,270 | USD | — | (10 | ) | ||||||||||||||||||||
Citibank N.A. | 3/4/2020 | 1,794,660 | CAD | 1,337,053 | USD | 6 | — | |||||||||||||||||||||
Citibank N.A. | 3/4/2020 | 522,480 | CHF | 541,582 | USD | 0 | — | |||||||||||||||||||||
Citibank N.A. | 3/4/2020 | 2,382,660 | CNH | 341,441 | USD | — | (8 | ) | ||||||||||||||||||||
Citibank N.A. | 3/4/2020 | 3,339,420 | EUR | 3,686,810 | USD | — | (18 | ) | ||||||||||||||||||||
Citibank N.A. | 3/4/2020 | 990,570 | GBP | 1,270,099 | USD | — | (3 | ) | ||||||||||||||||||||
Citibank N.A. | 3/4/2020 | 24,040,800 | INR | 332,662 | USD | 427 | — | |||||||||||||||||||||
Citibank N.A. | 3/4/2020 | 180,271,140 | JPY | 1,671,468 | USD | — | (32 | ) | ||||||||||||||||||||
Citibank N.A. | 3/4/2020 | 481,777,800 | KRW | 401,548 | USD | — | (4,855 | ) | ||||||||||||||||||||
Citibank N.A. | 3/4/2020 | 22,181,040 | MXN | 1,126,762 | USD | — | (19 | ) | ||||||||||||||||||||
Citibank N.A. | 3/4/2020 | 366,383 | USD | 547,050 | AUD | 9,997 | — | |||||||||||||||||||||
Citibank N.A. | 3/4/2020 | 850,490 | USD | 1,125,600 | CAD | 11,894 | — | |||||||||||||||||||||
Citibank N.A. | 3/4/2020 | 342,983 | USD | 329,700 | CHF | 1,229 | — | |||||||||||||||||||||
Citibank N.A. | 3/4/2020 | 213,972 | USD | 1,499,400 | CNH | — | (891 | ) | ||||||||||||||||||||
Citibank N.A. | 3/4/2020 | 2,340,093 | USD | 2,106,300 | EUR | 14,692 | — | |||||||||||||||||||||
Citibank N.A. | 3/4/2020 | 825,618 | USD | 624,750 | GBP | 24,571 | — | |||||||||||||||||||||
Citibank N.A. | 3/4/2020 | 210,896 | USD | 15,135,750 | INR | 1,188 | — | |||||||||||||||||||||
Citibank N.A. | 3/4/2020 | 1,046,957 | USD | 113,270,850 | JPY | — | (3,266 | ) | ||||||||||||||||||||
Citibank N.A. | 3/4/2020 | 242,431 | USD | 289,705,500 | KRW | 3,889 | — | |||||||||||||||||||||
Citibank N.A. | 3/4/2020 | 706,253 | USD | 13,401,150 | MXN | 25,507 | — | |||||||||||||||||||||
Citibank N.A. | 4/8/2020 | 601,722 | USD | 922,950 | AUD | — | (25 | ) | ||||||||||||||||||||
Citibank N.A. | 4/8/2020 | 1,379,928 | USD | 1,852,200 | CAD | — | (30 | ) | ||||||||||||||||||||
Citibank N.A. | 4/8/2020 | 554,262 | USD | 533,400 | CHF | — | (13 | ) | ||||||||||||||||||||
Citibank N.A. | 4/8/2020 | 347,382 | USD | 2,426,550 | CNH | — | (6 | ) | ||||||||||||||||||||
Citibank N.A. | 4/8/2020 | 3,792,707 | USD | 3,428,250 | EUR | — | (272 | ) | ||||||||||||||||||||
Citibank N.A. | 4/8/2020 | 1,332,736 | USD | 1,038,450 | GBP | — | (36 | ) | ||||||||||||||||||||
Citibank N.A. | 4/8/2020 | 340,538 | USD | 24,790,500 | INR | — | (1,684 | ) | ||||||||||||||||||||
Citibank N.A. | 4/8/2020 | 1,692,120 | USD | 182,163,450 | JPY | — | (66 | ) | ||||||||||||||||||||
Citibank N.A. | 4/8/2020 | 401,126 | USD | 481,287,450 | KRW | 4,644 | — | |||||||||||||||||||||
Citibank N.A. | 4/8/2020 | 1,156,943 | USD | 22,903,650 | MXN | — | (98 | ) | ||||||||||||||||||||
HSBC Holdings PLC | 3/4/2020 | 873,810 | AUD | 569,259 | USD | 1 | — | |||||||||||||||||||||
HSBC Holdings PLC | 3/4/2020 | 1,794,660 | CAD | 1,337,056 | USD | 3 | — | |||||||||||||||||||||
HSBC Holdings PLC | 3/4/2020 | 522,480 | CHF | 541,584 | USD | — | (2 | ) | ||||||||||||||||||||
HSBC Holdings PLC | 3/4/2020 | 2,382,660 | CNH | 341,412 | USD | 22 | — | |||||||||||||||||||||
HSBC Holdings PLC | 3/4/2020 | 3,339,420 | EUR | 3,686,790 | USD | 2 | — | |||||||||||||||||||||
HSBC Holdings PLC | 3/4/2020 | 990,570 | GBP | 1,270,101 | USD | — | (5 | ) | ||||||||||||||||||||
HSBC Holdings PLC | 3/4/2020 | 24,040,800 | INR | 332,823 | USD | 266 | — |
See Notes to Financial Statements.
WisdomTree Trust | 25 |
Table of Contents
Schedule of Investments (unaudited) (continued)
WisdomTree Bloomberg U.S. Dollar Bullish Fund (USDU)
February 29, 2020
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 | |||||||||||||||||||||||
HSBC Holdings PLC | 3/4/2020 | 180,271,140 | JPY | 1,671,452 | USD | $ | — | $ | (17 | ) | ||||||||||||||||||
HSBC Holdings PLC | 3/4/2020 | 481,777,800 | KRW | 401,428 | USD | — | (4,734 | ) | ||||||||||||||||||||
HSBC Holdings PLC | 3/4/2020 | 22,181,040 | MXN | 1,126,760 | USD | — | (17 | ) | ||||||||||||||||||||
HSBC Holdings PLC | 3/4/2020 | 366,384 | USD | 547,050 | AUD | 9,998 | — | |||||||||||||||||||||
HSBC Holdings PLC | 3/4/2020 | 850,497 | USD | 1,125,600 | CAD | 11,902 | — | |||||||||||||||||||||
HSBC Holdings PLC | 3/4/2020 | 342,987 | USD | 329,700 | CHF | 1,233 | — | |||||||||||||||||||||
HSBC Holdings PLC | 3/4/2020 | 213,969 | USD | 1,499,400 | CNH | — | (894 | ) | ||||||||||||||||||||
HSBC Holdings PLC | 3/4/2020 | 2,340,129 | USD | 2,106,300 | EUR | 14,728 | — | |||||||||||||||||||||
HSBC Holdings PLC | 3/4/2020 | 825,617 | USD | 624,750 | GBP | 24,570 | — | |||||||||||||||||||||
HSBC Holdings PLC | 3/4/2020 | 210,707 | USD | 15,135,750 | INR | 999 | — | |||||||||||||||||||||
HSBC Holdings PLC | 3/4/2020 | 1,046,956 | USD | 113,270,850 | JPY | — | (3,268 | ) | ||||||||||||||||||||
HSBC Holdings PLC | 3/4/2020 | 241,911 | USD | 289,705,500 | KRW | 3,369 | — | |||||||||||||||||||||
HSBC Holdings PLC | 3/4/2020 | 706,276 | USD | 13,401,150 | MXN | 25,530 | — | |||||||||||||||||||||
HSBC Holdings PLC | 4/8/2020 | 601,743 | USD | 922,950 | AUD | — | (3 | ) | ||||||||||||||||||||
HSBC Holdings PLC | 4/8/2020 | 1,379,921 | USD | 1,852,200 | CAD | — | (37 | ) | ||||||||||||||||||||
HSBC Holdings PLC | 4/8/2020 | 554,263 | USD | 533,400 | CHF | — | (13 | ) | ||||||||||||||||||||
HSBC Holdings PLC | 4/8/2020 | 347,370 | USD | 2,426,550 | CNH | — | (18 | ) | ||||||||||||||||||||
HSBC Holdings PLC | 4/8/2020 | 3,792,995 | USD | 3,428,250 | EUR | 16 | — | |||||||||||||||||||||
HSBC Holdings PLC | 4/8/2020 | 1,332,766 | USD | 1,038,450 | GBP | — | (6 | ) | ||||||||||||||||||||
HSBC Holdings PLC | 4/8/2020 | 340,964 | USD | 24,790,500 | INR | — | (1,258 | ) | ||||||||||||||||||||
HSBC Holdings PLC | 4/8/2020 | 1,692,189 | USD | 182,163,450 | JPY | 4 | — | |||||||||||||||||||||
HSBC Holdings PLC | 4/8/2020 | 400,996 | USD | 481,287,450 | KRW | 4,514 | — | |||||||||||||||||||||
HSBC Holdings PLC | 4/8/2020 | 1,157,030 | USD | 22,903,650 | MXN | — | (11 | ) | ||||||||||||||||||||
JP Morgan Chase Bank N.A. | 3/4/2020 | 873,810 | AUD | 569,253 | USD | 7 | — | |||||||||||||||||||||
JP Morgan Chase Bank N.A. | 3/4/2020 | 1,794,660 | CAD | 1,337,030 | USD | 30 | — | |||||||||||||||||||||
JP Morgan Chase Bank N.A. | 3/4/2020 | 522,480 | CHF | 541,575 | USD | 7 | — | |||||||||||||||||||||
JP Morgan Chase Bank N.A. | 3/4/2020 | 2,382,660 | CNH | 341,434 | USD | — | (1 | ) | ||||||||||||||||||||
JP Morgan Chase Bank N.A. | 3/4/2020 | 3,339,420 | EUR | 3,686,716 | USD | 75 | — | |||||||||||||||||||||
JP Morgan Chase Bank N.A. | 3/4/2020 | 990,570 | GBP | 1,270,074 | USD | 22 | — | |||||||||||||||||||||
JP Morgan Chase Bank N.A. | 3/4/2020 | 24,040,800 | INR | 332,708 | USD | 381 | — | |||||||||||||||||||||
JP Morgan Chase Bank N.A. | 3/4/2020 | 180,271,140 | JPY | 1,671,410 | USD | 25 | — | |||||||||||||||||||||
JP Morgan Chase Bank N.A. | 3/4/2020 | 481,777,800 | KRW | 401,542 | USD | — | (4,848 | ) | ||||||||||||||||||||
JP Morgan Chase Bank N.A. | 3/4/2020 | 22,181,040 | MXN | 1,126,729 | USD | 14 | — | |||||||||||||||||||||
JP Morgan Chase Bank N.A. | 3/4/2020 | 279,134 | USD | 416,800 | AUD | 7,602 | — | |||||||||||||||||||||
JP Morgan Chase Bank N.A. | 3/4/2020 | 647,971 | USD | 857,600 | CAD | 9,041 | — | |||||||||||||||||||||
JP Morgan Chase Bank N.A. | 3/4/2020 | 261,309 | USD | 251,200 | CHF | 926 | — | |||||||||||||||||||||
JP Morgan Chase Bank N.A. | 3/4/2020 | 163,014 | USD | 1,142,400 | CNH | — | (691 | ) | ||||||||||||||||||||
JP Morgan Chase Bank N.A. | 3/4/2020 | 1,782,873 | USD | 1,604,800 | EUR | 11,140 | — | |||||||||||||||||||||
JP Morgan Chase Bank N.A. | 3/4/2020 | 629,028 | USD | 476,000 | GBP | 18,707 | — | |||||||||||||||||||||
JP Morgan Chase Bank N.A. | 3/4/2020 | 160,523 | USD | 11,532,000 | INR | 746 | — | |||||||||||||||||||||
JP Morgan Chase Bank N.A. | 3/4/2020 | 797,642 | USD | 86,301,600 | JPY | — | (2,528 | ) | ||||||||||||||||||||
JP Morgan Chase Bank N.A. | 3/4/2020 | 184,594 | USD | 220,728,000 | KRW | 2,847 | — | |||||||||||||||||||||
JP Morgan Chase Bank N.A. | 3/4/2020 | 538,061 | USD | 10,210,400 | MXN | 19,397 | — | |||||||||||||||||||||
JP Morgan Chase Bank N.A. | 3/4/2020 | 183,617 | USD | 3,510,000 | MXN | 5,317 | — | |||||||||||||||||||||
JP Morgan Chase Bank N.A. | 4/8/2020 | 601,684 | USD | 922,950 | AUD | — | (62 | ) | ||||||||||||||||||||
JP Morgan Chase Bank N.A. | 4/8/2020 | 1,379,854 | USD | 1,852,200 | CAD | — | (104 | ) | ||||||||||||||||||||
JP Morgan Chase Bank N.A. | 4/8/2020 | 554,244 | USD | 533,400 | CHF | — | (32 | ) | ||||||||||||||||||||
JP Morgan Chase Bank N.A. | 4/8/2020 | 347,347 | USD | 2,426,550 | CNH | — | (41 | ) | ||||||||||||||||||||
JP Morgan Chase Bank N.A. | 4/8/2020 | 3,792,975 | USD | 3,428,250 | EUR | — | (5 | ) | ||||||||||||||||||||
JP Morgan Chase Bank N.A. | 4/8/2020 | 1,332,701 | USD | 1,038,450 | GBP | — | (72 | ) | ||||||||||||||||||||
JP Morgan Chase Bank N.A. | 4/8/2020 | 340,665 | USD | 24,790,500 | INR | — | (1,557 | ) | ||||||||||||||||||||
JP Morgan Chase Bank N.A. | 4/8/2020 | 1,692,087 | USD | 182,163,450 | JPY | — | (99 | ) | ||||||||||||||||||||
JP Morgan Chase Bank N.A. | 4/8/2020 | 401,217 | USD | 481,287,450 | KRW | 4,735 | — | |||||||||||||||||||||
JP Morgan Chase Bank N.A. | 4/8/2020 | 1,156,916 | USD | 22,903,650 | MXN | — | (125 | ) | ||||||||||||||||||||
Morgan Stanley & Co. International | 3/4/2020 | 665,760 | AUD | 433,715 | USD | 7 | — |
See Notes to Financial Statements.
26 | WisdomTree Trust |
Table of Contents
Schedule of Investments (unaudited) (concluded)
WisdomTree Bloomberg U.S. Dollar Bullish Fund (USDU)
February 29, 2020
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 | |||||||||||||||||||||||
Morgan Stanley & Co. International | 3/4/2020 | 1,367,360 | CAD | 1,018,723 | USD | $ | — | $ | (11 | ) | ||||||||||||||||||
Morgan Stanley & Co. International | 3/4/2020 | 398,080 | CHF | 412,599 | USD | 34 | — | |||||||||||||||||||||
Morgan Stanley & Co. International | 3/4/2020 | 1,815,360 | CNH | 260,135 | USD | 4 | — | |||||||||||||||||||||
Morgan Stanley & Co. International | 3/4/2020 | 2,544,320 | EUR | 2,808,599 | USD | 386 | — | |||||||||||||||||||||
Morgan Stanley & Co. International | 3/4/2020 | 754,720 | GBP | 967,574 | USD | 119 | — | |||||||||||||||||||||
Morgan Stanley & Co. International | 3/4/2020 | 18,316,800 | INR | 253,292 | USD | 490 | — | |||||||||||||||||||||
Morgan Stanley & Co. International | 3/4/2020 | 137,349,440 | JPY | 1,273,369 | USD | 105 | — | |||||||||||||||||||||
Morgan Stanley & Co. International | 3/4/2020 | 367,068,800 | KRW | 305,752 | USD | — | (3,509 | ) | ||||||||||||||||||||
Morgan Stanley & Co. International | 3/4/2020 | 16,899,840 | MXN | 858,854 | USD | — | (383 | ) | ||||||||||||||||||||
Morgan Stanley & Co. International | 3/4/2020 | 366,400 | USD | 547,050 | AUD | 10,014 | — | |||||||||||||||||||||
Morgan Stanley & Co. International | 3/4/2020 | 851,022 | USD | 1,125,600 | CAD | 12,427 | — | |||||||||||||||||||||
Morgan Stanley & Co. International | 3/4/2020 | 342,531 | USD | 329,700 | CHF | 777 | — | |||||||||||||||||||||
Morgan Stanley & Co. International | 3/4/2020 | 213,951 | USD | 1,499,400 | CNH | — | (912 | ) | ||||||||||||||||||||
Morgan Stanley & Co. International | 3/4/2020 | 2,338,284 | USD | 2,106,300 | EUR | 12,883 | — | |||||||||||||||||||||
Morgan Stanley & Co. International | 3/4/2020 | 824,159 | USD | 624,750 | GBP | 23,113 | — | |||||||||||||||||||||
Morgan Stanley & Co. International | 3/4/2020 | 210,611 | USD | 15,135,750 | INR | 903 | — | |||||||||||||||||||||
Morgan Stanley & Co. International | 3/4/2020 | 1,046,648 | USD | 113,270,850 | JPY | — | (3,575 | ) | ||||||||||||||||||||
Morgan Stanley & Co. International | 3/4/2020 | 242,221 | USD | 289,705,500 | KRW | 3,679 | — | |||||||||||||||||||||
Morgan Stanley & Co. International | 3/4/2020 | 705,416 | USD | 13,401,150 | MXN | 24,670 | — | |||||||||||||||||||||
Morgan Stanley & Co. International | 4/8/2020 | 458,430 | USD | 703,200 | AUD | — | (43 | ) | ||||||||||||||||||||
Morgan Stanley & Co. International | 4/8/2020 | 1,051,416 | USD | 1,411,200 | CAD | 20 | — | |||||||||||||||||||||
Morgan Stanley & Co. International | 4/8/2020 | 422,238 | USD | 406,400 | CHF | — | (67 | ) | ||||||||||||||||||||
Morgan Stanley & Co. International | 4/8/2020 | 264,660 | USD | 1,848,800 | CNH | — | (16 | ) | ||||||||||||||||||||
Morgan Stanley & Co. International | 4/8/2020 | 2,889,473 | USD | 2,612,000 | EUR | — | (416 | ) | ||||||||||||||||||||
Morgan Stanley & Co. International | 4/8/2020 | 1,015,252 | USD | 791,200 | GBP | — | (194 | ) | ||||||||||||||||||||
Morgan Stanley & Co. International | 4/8/2020 | 259,525 | USD | 18,888,000 | INR | — | (1,215 | ) | ||||||||||||||||||||
Morgan Stanley & Co. International | 4/8/2020 | 1,289,138 | USD | 138,791,200 | JPY | — | (146 | ) | ||||||||||||||||||||
Morgan Stanley & Co. International | 4/8/2020 | 305,469 | USD | 366,695,200 | KRW | 3,387 | — | |||||||||||||||||||||
Morgan Stanley & Co. International | 4/8/2020 | 881,837 | USD | 17,450,400 | MXN | 282 | — | |||||||||||||||||||||
$ | 713,787 | $ | (290,238 | ) |
See Notes to Financial Statements.
WisdomTree Trust | 27 |
Table of Contents
Schedule of Investments (unaudited)
WisdomTree Chinese Yuan Strategy Fund (CYB)
February 29, 2020
Investments | Principal Amount | Value | ||||||
U.S. GOVERNMENT OBLIGATIONS – 63.8% |
| |||||||
U.S. Treasury Bills – 63.8% |
| |||||||
1.54%, 3/12/20* | $ | 8,181,000 | $ | 8,177,662 | ||||
1.58%, 4/16/20* | 7,909,000 | 7,895,577 | ||||||
TOTAL U.S. GOVERNMENT OBLIGATIONS (Cost: $16,070,592) | 16,073,239 | |||||||
Shares | ||||||||
EXCHANGE-TRADED FUND – 4.7% |
| |||||||
United States – 4.7% |
| |||||||
WisdomTree Floating Rate Treasury Fund(a) | ||||||||
(Cost: $1,169,777) | 46,600 | 1,169,194 | ||||||
Investments | Principal Amount | Value | ||||||
REPURCHASE AGREEMENT – 30.9% |
| |||||||
United States – 30.9% |
| |||||||
Citigroup, Inc., tri-party repurchase agreement dated 02/28/20 (tri-party custodian: The Bank of New York Mellon Corp.), 1.61% due 3/2/20; Proceeds at maturity – $7,791,045 (fully collateralized by Fannie Mae Interest STRIPS, 4.50% due 11/1/41, Fannie Mae Pool, 2.50% – 4.50% due 11/1/27 – 9/1/49, Federal Home Loan Bank, 3.50% due 9/8/28, Freddie Mac Gold Pool, 4.00% – 4.50% due 3/1/44 – 1/1/49, Freddie Mac Pool, 3.50% – 4.50% due 11/1/48 – 1/1/50, Ginnie Mae I Single Family, 3.50% – 4.50% due 2/15/26 – 12/15/41, U.S. Treasury Bond, 3.00% due 11/15/44, U.S. Treasury Bond Coupon STRIPS, zero coupon due 5/15/26 – 5/15/40 and U.S. Treasury Bond Principal STRIPS, zero coupon due 11/15/27 – 2/15/43; Market value including accrued interest – $8,114,690) | ||||||||
(Cost: $7,790,000) | $ | 7,790,000 | $ | 7,790,000 | ||||
TOTAL INVESTMENTS IN SECURITIES – 99.4% (Cost: $25,030,369) |
| 25,032,433 | ||||||
Other Assets less Liabilities – 0.6% | 159,558 | |||||||
|
| |||||||
NET ASSETS – 100.0% | $ | 25,191,991 |
* | Interest rate shown reflects the yield to maturity at the time of purchase. |
(a) | Affiliated holding. See below table for additional information on investments in affiliates during the fiscal period. |
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 29, 2020 were as follows:
Investment In Affiliates | Value at 8/31/2019 | Purchases/ Additions | Sales/ Reductions | Realized Gain/(Loss) | Change in Unrealized Appreciation/ Depreciation | Value at 2/29/2020 | Dividend Income | |||||||||||||||||||||
WisdomTree Floating Rate Treasury Fund | $ | 1,167,796 | $ | — | $ | — | $ | — | $ | 1,398 | $ | 1,169,194 | $ | 10,224 |
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 N.A. | 3/12/2020 | 126,706 | USD | 890,000 | CNH | $ | — | $ | (587 | ) | ||||||||||||||||||
HSBC Holdings PLC | 3/12/2020 | 44,500,000 | CNH | 6,316,621 | USD | 47,993 | — | |||||||||||||||||||||
HSBC Holdings PLC | 3/12/2020 | 294,983 | USD | 2,075,000 | CNH | — | (1,794 | ) | ||||||||||||||||||||
HSBC Holdings PLC | 3/12/2020 | 5,923,544 | USD | 41,535,000 | CNH | — | (17,001 | ) | ||||||||||||||||||||
HSBC Holdings PLC | 4/15/2020 | 11,690,000 | CNH | 1,670,960 | USD | �� | — | (602 | ) | |||||||||||||||||||
HSBC Holdings PLC | 4/15/2020 | 39,649,820 | CNY | 5,665,879 | USD | 2,616 | — | |||||||||||||||||||||
HSBC Holdings PLC | 4/15/2020 | 78,969 | USD | 556,000 | CNH | — | (476 | ) | ||||||||||||||||||||
HSBC Holdings PLC | 4/15/2020 | 547,336 | USD | 3,851,000 | CNY | — | (3,218 | ) | ||||||||||||||||||||
HSBC Holdings PLC | 5/18/2020 | 24,699,300 | CNY | 3,514,414 | USD | 14,590 | — | |||||||||||||||||||||
HSBC Holdings PLC | 5/18/2020 | 327,252 | USD | 2,305,000 | CNY | — | (2,083 | ) | ||||||||||||||||||||
HSBC Holdings PLC | 6/11/2020 | 42,000,000 | CNH | 5,975,202 | USD | 17,093 | — | |||||||||||||||||||||
Morgan Stanley & Co. International | 4/15/2020 | 41,268,180 | CNY | 5,896,718 | USD | 3,144 | — | |||||||||||||||||||||
Morgan Stanley & Co. International | 5/18/2020 | 23,730,700 | CNY | 3,377,074 | USD | 13,538 | — | |||||||||||||||||||||
$ | 98,974 | $ | (25,761 | ) |
See Notes to Financial Statements.
28 | WisdomTree Trust |
Table of Contents
Schedule of Investments (unaudited)
WisdomTree Emerging Currency Strategy Fund (CEW)
February 29, 2020
Investments | Principal Amount | Value | ||||||
U.S. GOVERNMENT OBLIGATIONS – 71.0% |
| |||||||
U.S. Treasury Bills – 71.0% |
| |||||||
1.54%, 3/12/20* | $ | 6,268,000 | $ | 6,265,442 | ||||
1.58%, 4/16/20* | 6,352,000 | 6,341,220 | ||||||
TOTAL U.S. GOVERNMENT OBLIGATIONS (Cost: $12,604,554) |
| 12,606,662 | ||||||
Shares | ||||||||
EXCHANGE-TRADED FUND - 4.5% |
| |||||||
United States - 4.5% |
| |||||||
WisdomTree Floating Rate Treasury Fund(a) | ||||||||
(Cost: $793,239) | 31,600 | 792,844 | ||||||
Investments | Principal Amount | Value | ||||||
REPURCHASE AGREEMENT – 27.4% |
| |||||||
United States – 27.4% |
| |||||||
Citigroup, Inc., tri-party repurchase agreement dated 2/28/20 (tri-party custodian: The Bank of New York Mellon Corp.), 1.61% due 3/2/20; Proceeds at maturity – $4,860,652 (fully collateralized by Fannie Mae Interest STRIPS, 3.50% due 2/1/47, Fannie Mae Pool, 3.00% – 6.00% due 11/1/28 – 9/1/49, Federal Home Loan Bank, 3.50% due 9/8/28, Freddie Mac Gold Pool, 4.50% – 5.00% due 6/1/20 – 1/1/49, Freddie Mac Gold STRIPS, 5.50% due 12/1/32, Freddie Mac Participation Certificate, 6.20% due 10/20/27, Freddie Mac Pool, 4.00% due 10/1/38, Ginnie Mae I Single Family, 5.50% – 7.00% due 3/15/28 – 7/15/37, Ginnie Mae I Single Family Platinum, 6.00% due 2/15/24, Resolution Funding Corporation Bond, 8.62% due 1/15/21, Sallie Mae, zero coupon due 10/3/22, U.S. Treasury Bond, 3.00% due 11/15/44, U.S. Treasury Bond Coupon STRIPS zero coupon due 11/15/25 – 5/15/49, U.S. Treasury Bond Principal STRIPS, zero coupon due 11/15/27 – 11/15/28, U.S. Treasury Inflation Indexed Bond, 0.63% due 7/15/21 and U.S. Treasury Notes, 1.38% – 2.50% due 1/31/21 – 1/31/25; Market value including accrued interest – $4,943,484) | ||||||||
(Cost: $4,860,000) | $ | 4,860,000 | $ | 4,860,000 | ||||
TOTAL INVESTMENTS IN SECURITIES – 102.9% (Cost: $18,257,793) |
| 18,259,506 | ||||||
Other Assets less Liabilities – (2.9)% |
| (520,282 | ) | |||||
|
| |||||||
NET ASSETS – 100.0% |
| $ | 17,739,224 |
* | Interest rate shown reflects the yield to maturity at the time of purchase. |
(a) | Affiliated holding. See below table for additional information on investments in affiliates during the fiscal period. |
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 29, 2020 were as follows:
Investment In Affiliates | Value at 8/31/2019 | Purchases/ Additions | Sales/ Reductions | Realized Gain/(Loss) | Change in Unrealized Appreciation/ Depreciation | Value at 2/29/2020 | Dividend Income | |||||||||||||||||||||
WisdomTree Floating Rate Treasury Fund | $ | 791,896 | $ | — | $ | — | $ | — | $ | 948 | $ | 792,844 | $ | 6,933 |
See Notes to Financial Statements.
WisdomTree Trust | 29 |
Table of Contents
Schedule of Investments (unaudited) (concluded)
WisdomTree Emerging Currency Strategy Fund (CEW)
February 29, 2020
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 | |||||||||||||||||||||||
Bank of America N.A. | 5/12/2020 | 4,215,345,000 | COP | 1,230,363 | USD | $ | — | $ | (46,267 | ) | ||||||||||||||||||
Bank of America N.A. | 5/12/2020 | 23,355,000 | MXN | 1,228,823 | USD | — | (61,772 | ) | ||||||||||||||||||||
Citibank N.A. | 5/12/2020 | 5,215,000 | BRL | 1,223,949 | USD | — | (72,259 | ) | ||||||||||||||||||||
Citibank N.A. | 5/12/2020 | 974,825,000 | CLP | 1,222,811 | USD | — | (34,048 | ) | ||||||||||||||||||||
HSBC Holdings PLC | 5/12/2020 | 38,115,000 | THB | 1,215,537 | USD | — | (6,086 | ) | ||||||||||||||||||||
JP Morgan Chase Bank N.A. | 5/12/2020 | 8,610,000 | CNH | 1,227,664 | USD | 1,665 | — | |||||||||||||||||||||
JP Morgan Chase Bank N.A. | 5/12/2020 | 7,500,000 | TRY | 1,226,055 | USD | — | (63,948 | ) | ||||||||||||||||||||
JP Morgan Chase Bank N.A. | 5/12/2020 | 18,230,000 | ZAR | 1,220,866 | USD | — | (73,775 | ) | ||||||||||||||||||||
Morgan Stanley & Co. International | 5/12/2020 | 5,040,000 | MYR | 1,232,575 | USD | — | (38,638 | ) | ||||||||||||||||||||
Royal Bank of Canada | 5/12/2020 | 16,939,395,000 | IDR | 1,228,204 | USD | — | (54,945 | ) | ||||||||||||||||||||
Royal Bank of Canada | 5/12/2020 | 88,805,000 | INR | 1,228,285 | USD | — | (7,060 | ) | ||||||||||||||||||||
Royal Bank of Canada | 5/12/2020 | 1,446,830,000 | KRW | 1,223,711 | USD | — | (31,128 | ) | ||||||||||||||||||||
Royal Bank of Canada | 5/12/2020 | 62,835,000 | PHP | 1,228,326 | USD | — | (568 | ) | ||||||||||||||||||||
UBS AG | 5/12/2020 | 4,795,000 | PLN | 1,233,377 | USD | — | (17,173 | ) | ||||||||||||||||||||
UBS AG | 5/12/2020 | 78,095,000 | RUB | 1,220,340 | USD | — | (68,661 | ) | ||||||||||||||||||||
$ | 1,665 | $ | (576,328 | ) |
See Notes to Financial Statements.
30 | WisdomTree Trust |
Table of Contents
Schedule of Investments (unaudited)
WisdomTree Emerging Markets Corporate Bond Fund (EMCB)
February 29, 2020
Investments | Principal Amount | Value | ||||||
U.S. GOVERNMENT OBLIGATIONS – 0.1% |
| |||||||
U.S. Treasury Bond – 0.1% |
| |||||||
3.50%, 2/15/39 | ||||||||
(Cost: $21,246) | $ | 20,000 | $ | 26,780 | ||||
FOREIGN CORPORATE BONDS – 94.7% |
| |||||||
Argentina – 0.9% |
| |||||||
YPF S.A. | 400,000 | 332,000 | ||||||
Brazil – 10.2% |
| |||||||
Banco BTG Pactual S.A. | 325,000 | 332,719 | ||||||
Banco do Brasil S.A. | 350,000 | 371,328 | ||||||
Banco Votorantim S.A. | 200,000 | 210,844 | ||||||
Braskem Finance Ltd. | 300,000 | 329,459 | ||||||
Braskem Netherlands Finance B.V. | 200,000 | 196,810 | ||||||
Centrais Eletricas Brasileiras S.A. | 370,000 | 375,088 | ||||||
Fibria Overseas Finance Ltd. | 200,000 | 219,156 | ||||||
Itau Unibanco Holding S.A. | 300,000 | 286,500 | ||||||
Klabin Finance S.A. | 300,000 | 316,125 | ||||||
Minerva Luxembourg S.A. | 400,000 | 405,812 | ||||||
Petrobras Global Finance B.V. | 335,000 | 380,493 | ||||||
St Marys Cement, Inc. | 300,000 | 339,000 | ||||||
|
| |||||||
Total Brazil |
| 3,763,334 | ||||||
Chile – 4.4% |
| |||||||
Celulosa Arauco y Constitucion S.A. | 200,000 | 205,937 | ||||||
5.50%, 11/2/47(b) | 325,000 | 352,472 | ||||||
Colbun S.A. | 325,000 | 346,176 | ||||||
Inversiones CMPC S.A. | 250,000 | 268,555 | ||||||
SACI Falabella | 250,000 | 259,844 | ||||||
Telefonica Chile S.A. | 200,000 | 207,450 | ||||||
|
| |||||||
Total Chile |
| 1,640,434 | ||||||
China – 6.6% |
| |||||||
Bank of China Ltd. | 600,000 | 665,344 | ||||||
China Construction Bank Corp. | 600,000 | 602,437 | ||||||
China Evergrande Group | 200,000 | 166,830 | ||||||
CNAC HK Finbridge Co., Ltd. | 300,000 | 336,609 | ||||||
5.13%, 3/14/28, Reg S | 200,000 | 233,531 | ||||||
CNOOC Finance 2013 Ltd. | 200,000 | 207,594 | ||||||
Tencent Holdings Ltd. | 200,000 | 216,152 | ||||||
|
| |||||||
Total China |
| 2,428,497 | ||||||
Colombia – 6.0% |
| |||||||
Banco Bilbao Vizcaya Argentaria Colombia S.A. 4.88%, 4/21/25, Reg S | 200,000 | 215,844 | ||||||
Banco de Bogota S.A. | 400,000 | 428,250 | ||||||
Bancolombia S.A. | 300,000 | 307,641 | ||||||
Ecopetrol S.A. |
| |||||||
5.38%, 6/26/26 | 410,000 | 461,250 | ||||||
5.88%, 5/28/45 | 149,000 | 178,893 | ||||||
Grupo Aval Ltd. | 400,000 | 398,500 | ||||||
Transportadora de Gas Internacional S.A. ESP | 200,000 | 236,026 | ||||||
|
| |||||||
Total Colombia |
| 2,226,404 | ||||||
Ghana – 0.4% |
| |||||||
Tullow Oil PLC | 200,000 | 147,000 | ||||||
India – 6.9% |
| |||||||
Adani Ports & Special Economic Zone Ltd. | 400,000 | 424,578 | ||||||
Bharti Airtel Ltd. | 625,000 | 660,547 | ||||||
ICICI Bank Ltd. | 200,000 | 205,562 | ||||||
Reliance Industries Ltd. | 617,000 | 666,456 | ||||||
Vedanta Resources Ltd. | 500,000 | 465,234 | ||||||
7.13%, 5/31/23, Reg S | 150,000 | 138,831 | ||||||
|
| |||||||
Total India |
| 2,561,208 | ||||||
Indonesia – 4.1% |
| |||||||
Medco Bell Pte Ltd. | 400,000 | 364,236 | ||||||
Pertamina Persero PT | 500,000 | 496,700 |
See Notes to Financial Statements.
WisdomTree Trust | 31 |
Table of Contents
Schedule of Investments (unaudited) (continued)
WisdomTree Emerging Markets Corporate Bond Fund (EMCB)
February 29, 2020
Investments | Principal Amount | Value | ||||||
Perusahaan Listrik Negara PT | $ | 380,000 | $ | 408,797 | ||||
4.13%, 5/15/27, Reg S | 220,000 | 236,672 | ||||||
|
| |||||||
Total Indonesia |
| 1,506,405 | ||||||
Ireland – 1.0% |
| |||||||
C&W Senior Financing DAC | 350,000 | 369,250 | ||||||
Israel – 3.1% |
| |||||||
Bank Leumi Le-Israel BM | 300,000 | 300,810 | ||||||
Israel Electric Corp., Ltd. | 200,000 | 228,969 | ||||||
Teva Pharmaceutical Finance Netherlands III B.V. 2.80%, 7/21/23 | 250,000 | 234,336 | ||||||
3.15%, 10/1/26 | 450,000 | 392,539 | ||||||
|
| |||||||
Total Israel |
| 1,156,654 | ||||||
Jamaica – 0.5% |
| |||||||
Digicel Ltd. | 250,000 | 199,414 | ||||||
Kazakhstan – 1.8% |
| |||||||
KazMunayGas National Co. JSC | 600,000 | 666,739 | ||||||
Kuwait – 2.2% |
| |||||||
Equate Petrochemical B.V. | 280,000 | 282,975 | ||||||
NBK Tier 1 Financing 2 Ltd. | 500,000 | 511,406 | ||||||
|
| |||||||
Total Kuwait |
| 794,381 | ||||||
Luxembourg – 2.2% |
| |||||||
Altice Financing S.A. | 250,000 | 264,687 | ||||||
Millicom International Cellular S.A. | 330,000 | 339,333 | ||||||
5.13%, 1/15/28(a) | 216,000 | 223,425 | ||||||
|
| |||||||
Total Luxembourg |
| 827,445 | ||||||
Malaysia – 1.2% |
| |||||||
Petronas Capital Ltd. | 400,000 | 430,813 | ||||||
Mexico – 5.8% |
| |||||||
Alpek S.A.B. de C.V. | 400,000 | 417,688 | ||||||
Banco Mercantil del Norte S.A. | 200,000 | 228,344 | ||||||
BBVA Bancomer S.A. | 250,000 | 271,695 | ||||||
Cemex S.A.B. de C.V. | 600,000 | 636,450 | ||||||
Grupo Bimbo S.A.B. de C.V. | 250,000 | 265,078 | ||||||
Orbia Advance Corp. S.A.B. de C.V. | 320,000 | 336,850 | ||||||
|
| |||||||
Total Mexico |
| 2,156,105 | ||||||
Morocco – 1.6% |
| |||||||
OCP S.A. | 300,000 | 333,750 | ||||||
6.88%, 4/25/44, Reg S | 200,000 | 264,813 | ||||||
|
| |||||||
Total Morocco |
| 598,563 | ||||||
Netherlands – 1.9% |
| |||||||
Sigma Finance Netherlands B.V. | 300,000 | 329,250 | ||||||
VEON Holdings B.V. | 350,000 | 361,375 | ||||||
|
| |||||||
Total Netherlands |
| 690,625 | ||||||
Oman – 0.7% |
| |||||||
Oztel Holdings SPC Ltd. | 250,000 | 263,398 | ||||||
Peru – 4.2% |
| |||||||
Banco de Credito del Peru | 450,000 | 480,727 | ||||||
Banco Internacional del Peru S.A.A. Interbank | 200,000 | 203,134 | ||||||
Inkia Energy Ltd. | 200,000 | 209,875 | ||||||
Inretail Pharma S.A. | 100,000 | 105,453 | ||||||
Kallpa Generacion S.A. | 250,000 | 263,789 | ||||||
Southern Copper Corp. | 260,000 | 304,281 | ||||||
|
| |||||||
Total Peru |
| 1,567,259 | ||||||
Philippines – 1.3% |
| |||||||
Power Sector Assets & Liabilities Management Corp. | 400,000 | 495,250 | ||||||
Russia – 7.3% |
| |||||||
Alfa Bank AO via Alfa Bond Issuance PLC | 250,000 | 255,469 | ||||||
5.95%, 4/15/30, (5.95% fixed rate until 4/15/25; 5-year Constant Maturity Treasury Rate + 4.546% thereafter)(a)(c) | 350,000 | 357,492 | ||||||
ALROSA Finance S.A. | 200,000 | 212,348 |
See Notes to Financial Statements.
32 | WisdomTree Trust |
Table of Contents
Schedule of Investments (unaudited) (continued)
WisdomTree Emerging Markets Corporate Bond Fund (EMCB)
February 29, 2020
Investments | Principal Amount | Value | ||||||
Evraz PLC | $ | 275,000 | $ | 296,184 | ||||
Gazprom Neft OAO via GPN Capital S.A. | 325,000 | 362,273 | ||||||
Gazprom PJSC via Gaz Capital S.A. | 335,000 | 371,588 | ||||||
Novolipetsk Steel via Steel Funding DAC | 250,000 | 262,852 | ||||||
Severstal OAO Via Steel Capital S.A. | 200,000 | 200,500 | ||||||
VTB Bank OJSC via VTB Capital S.A. | 353,000 | 378,592 | ||||||
|
| |||||||
Total Russia |
| 2,697,298 | ||||||
Saudi Arabia – 1.7% |
| |||||||
SABIC Capital II B.V. | 350,000 | 397,141 | ||||||
Saudi Electricity Global Sukuk Co. 2 | 200,000 | 233,500 | ||||||
|
| |||||||
Total Saudi Arabia |
| 630,641 | ||||||
Singapore – 1.6% |
| |||||||
Oversea-Chinese Banking Corp., Ltd. | 525,000 | 573,070 | ||||||
South Africa – 1.9% |
| |||||||
AngloGold Ashanti Holdings PLC | 200,000 | 212,500 | ||||||
6.50%, 4/15/40(b) | 162,000 | 192,021 | ||||||
Gold Fields Orogen Holdings BVI Ltd. | 275,000 | 301,039 | ||||||
|
| |||||||
Total South Africa |
| 705,560 | ||||||
South Korea – 2.5% |
| |||||||
Kookmin Bank | 200,000 | 206,969 | ||||||
Woori Bank | 650,000 | 714,390 | ||||||
|
| |||||||
Total South Korea |
| 921,359 | ||||||
Thailand – 1.9% |
| |||||||
Bangkok Bank PCL | 300,000 | 347,250 | ||||||
PTTEP Treasury Center Co., Ltd. | 325,000 | 370,703 | ||||||
|
| |||||||
Total Thailand |
| 717,953 | ||||||
Turkey – 4.5% |
| |||||||
QNB Finansbank AS | 200,000 | 207,084 | ||||||
Turk Telekomunikasyon AS | 200,000 | 211,156 | ||||||
Turkiye Garanti Bankasi AS | 350,000 | 352,188 | ||||||
Turkiye Is Bankasi AS | 200,000 | 197,031 | ||||||
Turkiye Sinai Kalkinma Bankasi A/S | 200,000 | 194,750 | ||||||
Turkiye Sise ve Cam Fabrikalari AS | 300,000 | 315,609 | ||||||
Turkiye Vakiflar Bankasi TAO | 200,000 | 185,500 | ||||||
|
| |||||||
Total Turkey |
| 1,663,318 | ||||||
United Arab Emirates – 5.8% |
| |||||||
Abu Dhabi National Energy Co. PJSC | 1,000,000 | 1,117,812 | ||||||
DP World Crescent Ltd. | 200,000 | 207,115 | ||||||
DP World PLC | 100,000 | 126,594 | ||||||
First Abu Dhabi Bank PJSC | 200,000 | 200,750 | ||||||
MAF Global Securities Ltd. | 200,000 | 214,125 | ||||||
MHP Lux S.A. | 275,000 | 273,625 | ||||||
|
| |||||||
Total United Arab Emirates |
| 2,140,021 | ||||||
Zambia – 0.5% |
| |||||||
First Quantum Minerals Ltd. | 200,000 | 191,719 | ||||||
TOTAL FOREIGN CORPORATE BONDS (Cost: $33,479,694) |
| 35,062,117 | ||||||
FOREIGN GOVERNMENT OBLIGATIONS – 2.9% |
| |||||||
Egypt – 1.2% |
| |||||||
Egypt Government International Bond | 400,000 | 430,312 | ||||||
Ghana – 0.5% |
| |||||||
Ghana Government International Bond | 200,000 | 198,250 | ||||||
Indonesia – 0.7% |
| |||||||
Indonesia Government International Bond | 210,000 | 243,232 | ||||||
Nigeria – 0.5% |
| |||||||
Nigeria Government International Bond | 200,000 | 199,938 | ||||||
TOTAL FOREIGN GOVERNMENT OBLIGATIONS (Cost: $1,009,471) |
| 1,071,732 | ||||||
Shares | ||||||||
INVESTMENT OF CASH COLLATERAL FOR SECURITIES LOANED – 11.5% |
| |||||||
United States – 11.5% |
| |||||||
State Street Navigator Securities Lending Government Money Market Portfolio, 1.61%(e) | ||||||||
(Cost: $4,252,403)(f) | 4,252,403 | 4,252,403 | ||||||
TOTAL INVESTMENTS IN SECURITIES – 109.2% (Cost: $38,762,814) |
| 40,413,032 | ||||||
Other Assets less Liabilities – (9.2)% |
| (3,418,213 | ) | |||||
|
| |||||||
NET ASSETS – 100.0% |
| $ | 36,994,819 |
See Notes to Financial Statements.
WisdomTree Trust | 33 |
Table of Contents
Schedule of Investments (unaudited) (concluded)
WisdomTree Emerging Markets Corporate Bond Fund (EMCB)
February 29, 2020
(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 29, 2020 (See Note 2). |
(c) | Rate shown reflects the accrual rate as of February 29, 2020 on securities with variable or step rates. |
(d) | The security has a perpetual maturity; the date displayed is the next call date. |
(e) | Rate shown represents annualized 7-day yield as of February 29, 2020. |
(f) | At February 29, 2020, the total market value of the Fund’s securities on loan identified in the Schedule of Investments was $4,778,883 and the total market value of the collateral held by the Fund was $4,920,219. The total market value of the collateral includes non-cash U.S. Government securities collateral having a value of $667,816. |
FINANCIAL DERIVATIVE INSTRUMENTS | ||||||||||||||||
FUTURES CONTRACTS† (EXCHANGE-TRADED) | ||||||||||||||||
Short Exposure | Contracts | Expiration Date | Notional Value | Unrealized Appreciation/ (Depreciation) | ||||||||||||
10 Year U.S. Treasury Note | 29 | 6/19/20 | $ | (3,907,750 | ) | $ | (63,870 | ) | ||||||||
U.S. Treasury Long Bond | 1 | 6/19/20 | (170,250 | ) | (4,524 | ) | ||||||||||
Ultra 10 Year U.S. Treasury Note | 13 | 6/19/20 | (1,952,844 | ) | (39,203 | ) | ||||||||||
$ | (6,030,844 | ) | $ | (107,597 | ) | |||||||||||
Long Exposure | ||||||||||||||||
2 Year U.S. Treasury Note | 18 | 6/30/20 | $ | 3,929,907 | $ | 24,188 | ||||||||||
5 Year U.S. Treasury Note | 12 | 6/30/20 | 1,473,000 | 18,000 | ||||||||||||
U.S. Treasury Ultra Long Term Bond | 4 | 6/19/20 | 830,000 | 24,875 | ||||||||||||
$ | 6,232,907 | $ | 67,063 | |||||||||||||
Total – Net |
| $ | 202,063 | $ | (40,534 | ) |
† | As of February 29, 2020, deposits at broker for futures contracts of $38,286 included cash collateral of $51,758 and previously settled variation margin losses on open futures contracts of $13,472. |
See Notes to Financial Statements.
34 | WisdomTree Trust |
Table of Contents
Schedule of Investments (unaudited)
WisdomTree Emerging Markets Local Debt Fund (ELD)
February 29, 2020
Investments | Principal Amount† | Value | ||||||||||
FOREIGN GOVERNMENT OBLIGATIONS – 83.3% |
| |||||||||||
Brazil – 11.1% |
| |||||||||||
Brazil Letras do Tesouro Nacional |
| |||||||||||
10.26%, 7/1/21, Series LTN(a) | 5,000,000 | BRL | $ | 1,046,300 | ||||||||
8.51%, 1/1/22, Series LTN(a) | 12,785,000 | BRL | 2,604,020 | |||||||||
6.26%, 7/1/22, Series LTN(a) | 11,000,000 | BRL | 2,173,496 | |||||||||
6.65%, 7/1/23, Series LTN(a) | 8,030,000 | BRL | 1,482,857 | |||||||||
Brazil Notas do Tesouro Nacional | ||||||||||||
10.00%, 1/1/21, Series F | 7,593,000 | BRL | 1,762,787 | |||||||||
10.00%, 1/1/23, Series F | 13,435,000 | BRL | 3,337,733 | |||||||||
10.00%, 1/1/25, Series F | 12,249,000 | BRL | 3,151,033 | |||||||||
10.00%, 1/1/27, Series F | 12,840,000 | BRL | 3,386,149 | |||||||||
10.00%, 1/1/29, Series F | 2,460,000 | BRL | 661,297 | |||||||||
|
| |||||||||||
Total Brazil |
| 19,605,672 | ||||||||||
Chile – 1.9% |
| |||||||||||
Bonos de la Tesoreria de la Republica en pesos | ||||||||||||
4.00%, 3/1/23, Reg S(b) | 350,000,000 | CLP | 447,075 | |||||||||
4.50%, 3/1/26 | 790,000,000 | CLP | 1,037,525 | |||||||||
4.70%, 9/1/30, Reg S(b) | 275,000,000 | CLP | 368,422 | |||||||||
5.00%, 3/1/35 | 665,000,000 | CLP | 922,411 | |||||||||
6.00%, 1/1/43, Series 30YR | 415,000,000 | CLP | 653,547 | |||||||||
|
| |||||||||||
Total Chile |
| 3,428,980 | ||||||||||
China – 3.9% |
| |||||||||||
China Government Bond |
| |||||||||||
3.25%, 7/4/21 | 4,000,000 | CNY | 578,375 | |||||||||
2.36%, 8/18/21, Reg S | 2,500,000 | CNY | 357,184 | |||||||||
3.10%, 6/29/22 | 4,000,000 | CNY | 580,578 | |||||||||
3.16%, 6/27/23 | 3,000,000 | CNY | 438,548 | |||||||||
3.29%, 10/18/23, Series 1823 | 3,000,000 | CNY | 441,368 | |||||||||
3.19%, 4/11/24, Series 1904 | 5,100,000 | CNY | 748,766 | |||||||||
2.94%, 10/17/24, Series 1913 | 2,000,000 | CNY | 291,539 | |||||||||
3.22%, 12/6/25, Series 1828 | 5,000,000 | CNY | 734,735 | |||||||||
3.25%, 6/6/26, Series 1907 | 6,000,000 | CNY | 882,931 | |||||||||
3.12%, 12/5/26, Series 1916 | 2,000,000 | CNY | 292,551 | |||||||||
3.25%, 11/22/28, Series 1827 | 4,000,000 | CNY | 591,760 | |||||||||
3.29%, 5/23/29, Series 1906 | 4,000,000 | CNY | 596,546 | |||||||||
3.13%, 11/21/29, Series 1915 | 2,000,000 | CNY | 295,797 | |||||||||
|
| |||||||||||
Total China |
| 6,830,678 | ||||||||||
Colombia – 7.6% |
| |||||||||||
Colombia Government International Bond | 749,000,000 | COP | 217,147 | |||||||||
Colombian TES |
| |||||||||||
7.00%, 5/4/22, Series B | 5,691,700,000 | COP | 1,682,372 | |||||||||
10.00%, 7/24/24, Series B | 9,452,700,000 | COP | 3,171,843 | |||||||||
6.25%, 11/26/25, Series B | 2,397,300,000 | COP | 703,298 | |||||||||
7.50%, 8/26/26, Series B | 6,409,200,000 | COP | 1,996,250 | |||||||||
6.00%, 4/28/28, Series B | 7,093,200,000 | COP | 2,023,957 | |||||||||
7.75%, 9/18/30, Series B | 5,362,200,000 | COP | 1,740,894 | |||||||||
7.00%, 6/30/32, Series B | 5,237,500,000 | COP | 1,590,449 | |||||||||
7.25%, 10/18/34, Series B | 1,000,000,000 | COP | 304,881 | |||||||||
|
| |||||||||||
Total Colombia |
| 13,431,091 | ||||||||||
Hungary – 1.9% |
| |||||||||||
Hungary Government Bond | ||||||||||||
7.50%, 11/12/20, Series 20/A | 35,880,000 | HUF | 122,412 | |||||||||
7.00%, 6/24/22, Series 22/A | 119,950,000 | HUF | 447,613 | |||||||||
1.75%, 10/26/22, Series 22/B | 188,360,000 | HUF | 626,753 | |||||||||
3.00%, 6/26/24, Series 24/B | 318,610,000 | HUF | 1,116,543 | |||||||||
3.00%, 10/27/27, Series 27/A | 322,740,000 | HUF | 1,129,427 | |||||||||
|
| |||||||||||
Total Hungary |
| 3,442,748 | ||||||||||
India – 3.9% |
| |||||||||||
India Government Bond | ||||||||||||
7.68%, 12/15/23 | 30,000,000 | INR | 441,051 | |||||||||
8.40%, 7/28/24 | 134,000,000 | INR | 2,026,712 | |||||||||
7.59%, 3/20/29 | 100,000,000 | INR | 1,476,669 | |||||||||
7.88%, 3/19/30 | 100,000,000 | INR | 1,505,179 | |||||||||
9.20%, 9/30/30 | 90,920,000 | INR | 1,488,630 | |||||||||
|
| |||||||||||
Total India |
| 6,938,241 | ||||||||||
Indonesia – 7.0% |
| |||||||||||
Indonesia Treasury Bond | ||||||||||||
8.25%, 7/15/21, Series FR53 | 6,636,000,000 | IDR | 483,449 | |||||||||
7.00%, 5/15/22, Series FR61 | 10,109,000,000 | IDR | 730,124 | |||||||||
8.38%, 3/15/24, Series FR70 | 24,665,000,000 | IDR | 1,872,116 | |||||||||
8.38%, 9/15/26, Series FR56 | 23,181,000,000 | IDR | 1,771,595 | |||||||||
9.00%, 3/15/29, Series FR71 | 23,875,000,000 | IDR | 1,851,675 | |||||||||
8.75%, 5/15/31, Series FR73 | 24,189,000,000 | IDR | 1,859,590 | |||||||||
8.25%, 6/15/32, Series FR58 | 15,549,000,000 | IDR | 1,163,333 | |||||||||
8.38%, 3/15/34, Series FR68 | 16,000,000,000 | IDR | 1,202,161 | |||||||||
8.25%, 5/15/36, Series FR72 | 14,563,000,000 | IDR | 1,068,309 | |||||||||
7.50%, 5/15/38, Series FR75 | 300,000,000 | IDR | 20,700 | |||||||||
8.75%, 2/15/44, Series FR67 | 4,390,000,000 | IDR | 330,455 | |||||||||
|
| |||||||||||
Total Indonesia |
| 12,353,507 | ||||||||||
Malaysia – 3.8% |
| |||||||||||
Malaysia Government Bond |
| |||||||||||
4.16%, 7/15/21, Series 0111 | 1,088,000 | MYR | 263,602 | |||||||||
3.42%, 8/15/22, Series 0112 | 1,743,000 | MYR | 421,014 | |||||||||
4.18%, 7/15/24, Series 0114 | 3,385,000 | MYR | 852,315 | |||||||||
3.96%, 9/15/25, Series 0115 | 5,000,000 | MYR | 1,260,642 | |||||||||
3.90%, 11/16/27, Series 0417 | 4,410,000 | MYR | 1,125,762 | |||||||||
3.89%, 8/15/29, Series 0219 | 3,500,000 | MYR | 902,955 | |||||||||
4.76%, 4/7/37, Series 0317 | 1,700,000 | MYR | 483,127 | |||||||||
Malaysia Government Investment Issue | ||||||||||||
3.95%, 4/14/22, Series 0317 | 895,000 | MYR | 218,078 | |||||||||
4.09%, 11/30/23, Series 0318 | 5,000,000 | MYR | 1,246,087 | |||||||||
|
| |||||||||||
Total Malaysia |
| 6,773,582 | ||||||||||
Mexico – 5.7% |
| |||||||||||
Mexican Bonos |
| |||||||||||
6.50%, 6/9/22, Series M | 9,987,000 | MXN | 503,368 | |||||||||
10.00%, 12/5/24, Series M 20 | 32,353,000 | MXN | 1,860,120 | |||||||||
7.50%, 6/3/27, Series M 20 | 22,000,000 | MXN | 1,162,305 | |||||||||
8.50%, 5/31/29, Series M 20 | 7,455,000 | MXN | 421,583 | |||||||||
7.75%, 5/29/31, Series M | 25,133,000 | MXN | 1,359,771 | |||||||||
7.75%, 11/23/34, Series M | 11,319,000 | MXN | 616,389 | |||||||||
10.00%, 11/20/36, Series M 30 | 9,237,000 | MXN | 606,554 | |||||||||
8.50%, 11/18/38, Series M 30 | 24,854,000 | MXN | 1,440,192 | |||||||||
7.75%, 11/13/42, Series M | 19,142,000 | MXN | 1,035,398 |
See Notes to Financial Statements.
WisdomTree Trust | 35 |
Table of Contents
Schedule of Investments (unaudited) (continued)
WisdomTree Emerging Markets Local Debt Fund (ELD)
February 29, 2020
Investments | Principal Amount† | Value | ||||||||||
8.00%, 11/7/47, Series M | 20,000,000 | MXN | $ | 1,115,829 | ||||||||
|
| |||||||||||
Total Mexico |
| 10,121,509 | ||||||||||
Peru – 3.7% |
| |||||||||||
Peru Government Bond | 101,000 | PEN | 33,614 | |||||||||
Peruvian Government International Bond | ||||||||||||
5.70%, 8/12/24, Reg S | 2,935,000 | PEN | 954,064 | |||||||||
8.20%, 8/12/26, Reg S | 3,868,000 | PEN | 1,422,791 | |||||||||
6.95%, 8/12/31, Reg S | 6,421,000 | PEN | 2,269,871 | |||||||||
6.90%, 8/12/37, Reg S | 5,405,000 | PEN | 1,908,068 | |||||||||
|
| |||||||||||
Total Peru |
| 6,588,408 | ||||||||||
Philippines – 2.0% |
| |||||||||||
Philippine Government International Bond | ||||||||||||
4.95%, 1/15/21 | 44,000,000 | PHP | 872,963 | |||||||||
3.90%, 11/26/22 | 39,000,000 | PHP | 766,564 | |||||||||
6.25%, 1/14/36 | 80,000,000 | PHP | 1,971,039 | |||||||||
|
| |||||||||||
Total Philippines |
| 3,610,566 | ||||||||||
Poland – 5.1% |
| |||||||||||
Republic of Poland Government Bond |
| |||||||||||
4.00%, 10/25/23, Series 1023 | 7,301,000 | PLN | 2,017,557 | |||||||||
3.25%, 7/25/25, Series 0725 | 5,565,000 | PLN | 1,530,991 | |||||||||
2.50%, 7/25/26, Series 0726 | 9,495,000 | PLN | 2,528,966 | |||||||||
2.50%, 7/25/27, Series 0727 | 8,905,000 | PLN | 2,381,671 | |||||||||
2.75%, 10/25/29, Series 1029 | 1,750,000 | PLN | 481,275 | |||||||||
|
| |||||||||||
Total Poland |
| 8,940,460 | ||||||||||
Romania – 2.0% |
| |||||||||||
Romania Government Bond |
| |||||||||||
3.25%, 3/22/21, Series 5Y | 1,700,000 | RON | 388,545 | |||||||||
5.95%, 6/11/21, Series 10Y | 2,560,000 | RON | 604,377 | |||||||||
4.00%, 10/27/21, Series 3Y | 400,000 | RON | 92,445 | |||||||||
5.85%, 4/26/23, Series 10Y | 3,470,000 | RON | 850,000 | |||||||||
4.75%, 2/24/25, Series 10Y | 3,010,000 | RON | 722,532 | |||||||||
5.80%, 7/26/27, Series 15Y | 2,880,000 | RON | 736,003 | |||||||||
5.00%, 2/12/29, Series 10Y | 500,000 | RON | 121,984 | |||||||||
|
| |||||||||||
Total Romania |
| 3,515,886 | ||||||||||
Russia – 10.7% |
| |||||||||||
Russian Federal Bond – OFZ |
| |||||||||||
7.00%, 12/15/21, Series 5083 | 76,235,000 | RUB | 1,160,995 | |||||||||
7.00%, 1/25/23, Series 6211 | 124,349,000 | RUB | 1,909,830 | |||||||||
7.00%, 8/16/23, Series 6215 | 95,305,000 | RUB | 1,469,952 | |||||||||
6.50%, 2/28/24, Series 6223 | 119,910,000 | RUB | 1,820,937 | |||||||||
7.40%, 7/17/24, Series 6227 | 120,000,000 | RUB | 1,882,598 | |||||||||
7.10%, 10/16/24, Series 6222 | 100,000,000 | RUB | 1,542,850 | |||||||||
7.75%, 9/16/26, Series 6219 | 128,000,000 | RUB | 2,066,324 | |||||||||
7.05%, 1/19/28, Series 6212 | 119,885,000 | RUB | 1,874,550 | |||||||||
6.90%, 5/23/29, Series 6224 | 55,000,000 | RUB | 851,362 | |||||||||
7.65%, 4/10/30, Series 6228 | 11,000,000 | RUB | 179,305 | |||||||||
8.50%, 9/17/31, Series 6218 | 76,040,000 | RUB | 1,321,280 | |||||||||
7.70%, 3/23/33, Series 6221 | 83,865,000 | RUB | 1,378,937 | |||||||||
7.25%, 5/10/34, Series 6225 | 90,000,000 | RUB | 1,422,964 | |||||||||
|
| |||||||||||
Total Russia |
| 18,881,884 | ||||||||||
South Africa – 4.5% |
| |||||||||||
Republic of South Africa Government Bond | ||||||||||||
8.00%, 1/31/30, Series 2030 | 1,955,000 | ZAR | 115,431 | |||||||||
7.00%, 2/28/31, Series R213 | 30,067,000 | ZAR | 1,608,708 | |||||||||
8.25%, 3/31/32, Series 2032 | 8,000,000 | ZAR | 462,100 | |||||||||
6.25%, 3/31/36, Series R209 | 17,301,600 | ZAR | 777,648 | |||||||||
8.50%, 1/31/37, Series 2037 | 8,000,000 | ZAR | 444,287 | |||||||||
9.00%, 1/31/40, Series 2040 | 30,000,000 | ZAR | 1,713,782 | |||||||||
8.75%, 1/31/44, Series 2044 | 19,155,000 | ZAR | 1,056,449 | |||||||||
8.75%, 2/28/48, Series 2048 | 31,120,000 | ZAR | 1,706,195 | |||||||||
|
| |||||||||||
Total South Africa |
| 7,884,600 | ||||||||||
Thailand – 5.1% |
| |||||||||||
Thailand Government Bond |
| |||||||||||
3.85%, 12/12/25 | 5,480,000 | THB | 202,346 | |||||||||
2.13%, 12/17/26 | 36,000,000 | THB | 1,230,005 | |||||||||
2.88%, 12/17/28 | 12,615,000 | THB | 461,657 | |||||||||
4.88%, 6/22/29 | 37,602,000 | THB | 1,588,992 | |||||||||
3.65%, 6/20/31 | 55,000,000 | THB | 2,198,790 | |||||||||
3.40%, 6/17/36 | 58,800,000 | THB | 2,414,622 | |||||||||
2.88%, 6/17/46 | 22,985,000 | THB | 913,817 | |||||||||
|
| |||||||||||
Total Thailand |
| 9,010,229 | ||||||||||
Turkey – 3.4% |
| |||||||||||
Turkey Government Bond |
| |||||||||||
9.40%, 7/8/20 | 10,335,000 | TRY | 1,644,421 | |||||||||
11.00%, 3/2/22 | 8,420,000 | TRY | 1,316,372 | |||||||||
8.00%, 3/12/25 | 10,557,000 | TRY | 1,397,070 | |||||||||
11.00%, 2/24/27 | 5,955,000 | TRY | 873,823 | |||||||||
10.50%, 8/11/27 | 4,910,000 | TRY | 702,804 | |||||||||
|
| |||||||||||
Total Turkey |
| 5,934,490 | ||||||||||
TOTAL FOREIGN GOVERNMENT OBLIGATIONS (Cost: $160,063,838) |
| 147,292,531 | ||||||||||
SUPRANATIONAL BONDS – 5.3% |
| |||||||||||
European Bank for Reconstruction & Development | 12,910,000,000 | IDR | 911,799 | |||||||||
European Investment Bank |
| |||||||||||
7.63%, 1/12/22 | 18,000,000 | MXN | 926,618 | |||||||||
8.13%, 12/21/26 | 24,740,000 | ZAR | 1,697,981 | |||||||||
8.00%, 5/5/27, Reg S | 28,200,000 | ZAR | 1,895,144 | |||||||||
International Bank for Reconstruction & Development | 14,000,000 | ZAR | 952,096 | |||||||||
International Finance Corp. |
| |||||||||||
7.50%, 1/18/28 | 37,000,000 | MXN | 1,930,975 | |||||||||
5.50%, 2/28/28 | 75,850,000 | RUB | 1,149,201 | |||||||||
TOTAL SUPRANATIONAL BONDS (Cost: $9,580,503) |
| 9,463,814 |
See Notes to Financial Statements.
36 | WisdomTree Trust |
Table of Contents
Schedule of Investments (unaudited) (concluded)
WisdomTree Emerging Markets Local Debt Fund (ELD)
February 29, 2020
Investments | Principal Amount† | Value | ||||||
REPURCHASE AGREEMENT – 7.4% |
| |||||||
United States – 7.4% |
| |||||||
Citigroup, Inc., tri-party repurchase agreement dated 28/2/20 (tri-party custodian: The Bank of New York Mellon Corp.), 1.61% due 3/2/20; Proceeds at maturity – $13,121,760 (fully collateralized by Fannie Mae Interest STRIPS, zero coupon – 6.50% due 5/1/24 – 2/1/48, Fannie Mae Pool, 3.00% – 8.00% due 9/1/25 – 2/1/50, Freddie Mac Gold Pool, 2.00% – 8.50% due 5/1/20 – 5/1/49, Freddie Mac Gold STRIPS, zero coupon – 6.50% due 12/15/27 – 12/15/40 and Freddie Mac Pool, 2.50% – 8.50% due 8/1/20 – 2/1/50; Market value including accrued interest – $13,619,559) | ||||||||
(Cost: $13,120,000) | $ | 13,120,000 | $ | 13,120,000 | ||||
TOTAL INVESTMENTS IN SECURITIES – 96.0% (Cost: $182,764,341) |
| 169,876,345 | ||||||
Other Assets less Liabilities – 4.0% |
| 7,014,864 | ||||||
|
| |||||||
NET ASSETS – 100.0% |
| $ | 176,891,209 |
† | 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 29, 2020. |
(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. |
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 | |||||||||||||||||||||||
Bank of America N.A. | 3/18/2020 | 7,644,000 | RUB | 118,779 | USD | $ | — | $ | (5,260 | ) | ||||||||||||||||||
Citibank N.A. | 3/18/2020 | 7,644,000 | RUB | 118,862 | USD | — | (5,343 | ) | ||||||||||||||||||||
Citibank N.A. | 3/18/2020 | 1,050,181 | USD | 19,950,000 | MXN | 44,796 | — | |||||||||||||||||||||
Goldman Sachs | 3/18/2020 | 7,644,000 | RUB | 118,876 | USD | — | (5,357 | ) | ||||||||||||||||||||
JP Morgan Chase Bank N.A. | 3/18/2020 | 5,824,000 | RUB | 90,528 | USD | — | (4,038 | ) | ||||||||||||||||||||
JP Morgan Chase Bank N.A. | 3/18/2020 | 111,387 | USD | 8,000,000 | INR | 707 | — | |||||||||||||||||||||
JP Morgan Chase Bank N.A. | 3/18/2020 | 75,768 | USD | 5,500,000 | INR | — | (324 | ) | ||||||||||||||||||||
JP Morgan Chase Bank N.A. | 3/18/2020 | 258,526 | USD | 7,800,000 | THB | 11,272 | — | |||||||||||||||||||||
JP Morgan Chase Bank N.A. | 3/18/2020 | 598,613 | USD | 18,120,000 | THB | 24,222 | — | |||||||||||||||||||||
Morgan Stanley & Co. International | 3/18/2020 | 17,890,000 | PLN | 4,684,956 | USD | — | (147,372 | ) | ||||||||||||||||||||
Royal Bank of Canada | 3/18/2020 | 108,463,000 | MXN | 5,561,247 | USD | — | (95,225 | ) | ||||||||||||||||||||
Societe Generale | 3/18/2020 | 157,945,000 | THB | 5,213,157 | USD | — | (206,421 | ) | ||||||||||||||||||||
State Street Bank and Trust | 3/2/2020 | 154,436 | USD | 2,413,845 | ZAR | 995 | — | |||||||||||||||||||||
UBS AG | 3/3/2020 | 3,544,984 | USD | 70,000,000 | MXN | 9,006 | — | |||||||||||||||||||||
UBS AG | 3/18/2020 | 70,000,000 | MXN | 3,536,750 | USD | — | (9,081 | ) | ||||||||||||||||||||
UBS AG | 3/18/2020 | 7,644,000 | RUB | 118,678 | USD | — | (5,159 | ) | ||||||||||||||||||||
$ | 90,998 | $ | (483,580 | ) |
See Notes to Financial Statements.
WisdomTree Trust | 37 |
Table of Contents
Schedule of Investments (unaudited)
WisdomTree Floating Rate Treasury Fund (USFR)
February 29, 2020
Investments | Principal Amount | Value | ||||||
U.S. GOVERNMENT OBLIGATIONS – 99.9% |
| |||||||
U.S. Treasury Notes – 99.9% |
| |||||||
U.S. Treasury Floating Rate Notes |
| |||||||
1.65%, 4/30/21, (3-month U.S. Treasury Bill Money Market Yield + 0.139%)* | $ | 465,449,000 | $ | 465,658,857 | ||||
1.73%, 7/31/21, (3-month U.S. Treasury Bill Money Market Yield + 0.22%)* | 461,939,000 | 462,923,521 | ||||||
1.81%, 10/31/21, (3-month U.S. Treasury Bill Money Market Yield + 0.30%)* | 457,823,000 | 459,618,033 | ||||||
1.67%, 1/31/22, (3-month U.S. Treasury Bill Money Market Yield + 0.154%)* | 317,329,000 | 317,321,965 | ||||||
TOTAL INVESTMENTS IN SECURITIES – 99.9% (Cost: $1,703,167,391) |
| 1,705,522,376 | ||||||
Other Assets less Liabilities – 0.1% |
| 2,304,574 | ||||||
|
| |||||||
NET ASSETS – 100.0% |
| $ | 1,707,826,950 |
* | Floating rate note. Coupon shown is in effect at February 29, 2020. Date represents the ultimate maturity date. |
See Notes to Financial Statements.
38 | WisdomTree Trust |
Table of Contents
Schedule of Investments (unaudited)
WisdomTree Interest Rate Hedged High Yield Bond Fund (HYZD)
February 29, 2020
Investments | Principal Amount | Value | ||||||
U.S. CORPORATE BONDS – 81.7% |
| |||||||
United States – 81.7% |
| |||||||
Acadia Healthcare Co., Inc. | $ | 27,000 | $ | 27,076 | ||||
5.63%, 2/15/23 | 685,000 | 691,566 | ||||||
ACE Cash Express, Inc. | 50,000 | 40,625 | ||||||
Acrisure LLC | 411,000 | 439,123 | ||||||
ADT Security Corp. (The) | 360,000 | 376,034 | ||||||
3.50%, 7/15/22 | 403,000 | 403,118 | ||||||
4.13%, 6/15/23 | 410,000 | 418,030 | ||||||
Advanced Micro Devices, Inc. | 258,000 | 289,847 | ||||||
AECOM | 100,000 | 109,959 | ||||||
AES Corp. | 560,000 | 555,999 | ||||||
Ahern Rentals, Inc. | 221,000 | 171,625 | ||||||
Air Medical Group Holdings, Inc. | 131,000 | 125,487 | ||||||
AK Steel Corp. | 159,000 | 159,151 | ||||||
7.50%, 7/15/23 | 150,000 | 155,563 | ||||||
Albertsons Cos. LLC | 542,000 | 558,255 | ||||||
Aleris International, Inc. | 252,000 | 260,646 | ||||||
Allegheny Technologies, Inc. | 480,000 | 510,137 | ||||||
Ally Financial, Inc. | 268,000 | 276,482 | ||||||
AMC Networks, Inc. | 274,000 | 276,543 | ||||||
5.00%, 4/1/24 | 503,000 | 506,773 | ||||||
American Airlines Group, Inc. | 244,000 | 244,000 | ||||||
5.00%, 6/1/22(a)(b) | 544,000 | 546,323 | ||||||
American Axle & Manufacturing, Inc. | 175,000 | 176,258 | ||||||
American Energy- Permian Basin LLC | 244,000 | 171,410 | ||||||
American Midstream Partners L.P. | 229,000 | 227,374 | ||||||
AmeriGas Partners L.P. | 248,000 | 258,463 | ||||||
AMN Healthcare, Inc. | 236,000 | 242,588 | ||||||
Anixter, Inc. | 79,000 | 82,114 | ||||||
5.50%, 3/1/23 | 340,000 | 360,541 | ||||||
Antero Midstream Partners L.P. | 294,000 | 224,175 | ||||||
Antero Resources Corp. | 395,000 | 331,081 | ||||||
5.13%, 12/1/22(b) | 348,000 | 216,379 | ||||||
5.63%, 6/1/23 | 343,000 | 186,078 | ||||||
Apex Tool Group LLC | 169,000 | 146,537 | ||||||
APX Group, Inc. | 176,000 | 176,378 | ||||||
7.88%, 12/1/22 | 434,000 | 441,592 | ||||||
7.63%, 9/1/23(b) | 159,000 | 151,513 | ||||||
Archrock Partners L.P. | 68,000 | 68,121 | ||||||
Arconic, Inc. | 512,000 | 519,946 | ||||||
5.40%, 4/15/21 | 747,000 | 755,605 | ||||||
5.87%, 2/23/22 | 183,000 | 192,664 | ||||||
5.13%, 10/1/24 | 412,000 | 442,362 | ||||||
Ascent Resources Utica Holdings LLC | 472,000 | 403,425 | ||||||
Ashland LLC | 73,000 | 76,103 | ||||||
Avantor, Inc. | 579,000 | 608,914 | ||||||
Ball Corp. | 286,000 | 298,664 | ||||||
4.00%, 11/15/23(b) | 679,000 | 699,397 | ||||||
Bausch Health Cos., Inc. | 648,000 | 657,688 | ||||||
5.50%, 3/1/23(a) | 59,000 | 59,098 | ||||||
5.88%, 5/15/23(a) | 77,000 | 77,337 | ||||||
7.00%, 3/15/24(a) | 843,000 | 869,694 | ||||||
BCD Acquisition, Inc. | 447,000 | 463,758 | ||||||
Berry Global, Inc. | 244,000 | 245,828 | ||||||
6.00%, 10/15/22 | 106,000 | 107,989 | ||||||
5.13%, 7/15/23 | 429,000 | 430,278 | ||||||
Blue Cube Spinco LLC | 259,000 | 273,323 | ||||||
Blue Racer Midstream LLC | 411,000 | 376,484 | ||||||
BMC East LLC | 80,000 | 82,633 | ||||||
Brinker International, Inc. | 134,000 | 134,335 | ||||||
Bruin E&P Partners LLC | 229,000 | 122,038 | ||||||
Buckeye Partners L.P. | 258,000 | 260,554 | ||||||
4.35%, 10/15/24 | 172,000 | 172,430 | ||||||
6.38%, 1/22/78, (6.375% fixed rate until 1/22/23; 3-month U.S. dollar London Interbank Offered Rate + 4.02% thereafter)(b)(c) | 295,000 | 237,013 | ||||||
C&S Group Enterprises LLC | 190,000 | 193,344 |
See Notes to Financial Statements.
WisdomTree Trust | 39 |
Table of Contents
Schedule of Investments (unaudited) (continued)
WisdomTree Interest Rate Hedged High Yield Bond Fund (HYZD)
February 29, 2020
Investments | Principal Amount | Value | ||||||
Cablevision Systems Corp. | $ | 283,000 | $ | 297,696 | ||||
California Resources Corp. | 865,000 | 196,788 | ||||||
Callon Petroleum Co. | 247,000 | 209,335 | ||||||
6.13%, 10/1/24 | 342,000 | 272,813 | ||||||
Calpine Corp. | 533,000 | 525,010 | ||||||
5.75%, 1/15/25 | 350,000 | 351,925 | ||||||
Calumet Specialty Products Partners L.P. |
| 244,000 |
|
| 242,094 |
| ||
7.75%, 4/15/23 | 94,000 | 90,514 | ||||||
Capitol Investment Merger Sub 2 LLC | 255,000 | 256,381 | ||||||
Carlson Travel, Inc. | 200,000 | 200,583 | ||||||
Carpenter Technology Corp. | 184,000 | 191,477 | ||||||
4.45%, 3/1/23 | 101,000 | 107,280 | ||||||
Carvana Co. | 249,000 | 258,340 | ||||||
CCO Holdings LLC | 517,000 | 523,581 | ||||||
5.13%, 2/15/23 | 391,000 | 394,906 | ||||||
4.00%, 3/1/23(a)(b) | 199,000 | 201,486 | ||||||
5.13%, 5/1/23(a) | 520,000 | 527,168 | ||||||
5.75%, 9/1/23 | 194,000 | 196,207 | ||||||
5.88%, 4/1/24(a) | 761,000 | 783,286 | ||||||
CDK Global, Inc. | 100,000 | 108,669 | ||||||
CDW LLC | 250,000 | 275,521 | ||||||
CEC Entertainment, Inc. | 79,000 | 76,852 | ||||||
Cengage Learning, Inc. | 252,000 | 220,133 | ||||||
Centene Corp. | 652,000 | 661,115 | ||||||
6.13%, 2/15/24 | 392,000 | 404,230 | ||||||
4.75%, 1/15/25(a) | 500,000 | 513,482 | ||||||
Century Aluminum Co. | 143,000 | 142,342 | ||||||
CenturyLink, Inc. | 362,000 | 363,110 | ||||||
6.45%, 6/15/21, Series S | 459,000 | 477,108 | ||||||
5.80%, 3/15/22, Series T | 689,000 | 719,785 | ||||||
6.75%, 12/1/23, Series W | 263,000 | 289,772 | ||||||
7.50%, 4/1/24, Series Y(b) | 411,000 | 460,149 | ||||||
CF Industries, Inc. | 424,000 | 430,364 | ||||||
CGG Holding U.S., Inc. | 200,000 | 206,400 | ||||||
Chemours Co. (The) | 368,000 | 356,697 | ||||||
Chesapeake Energy Corp. | 1,000,000 | 572,500 | ||||||
Cincinnati Bell, Inc. | 298,000 | 314,015 | ||||||
Cinemark USA, Inc. | 425,000 | 423,411 | ||||||
CIT Group, Inc. | 577,000 | 604,703 | ||||||
5.00%, 8/1/23 | 288,000 | 306,960 | ||||||
4.75%, 2/16/24(b) | 392,000 | 416,990 | ||||||
CITGO Petroleum Corp. | 292,000 | 292,728 | ||||||
Clear Channel Worldwide Holdings, Inc. | 844,000 | 899,210 | ||||||
Clearwater Paper Corp. | 60,000 | 60,450 | ||||||
Cleaver-Brooks, Inc. | 134,000 | 132,381 | ||||||
Cloud Crane LLC | 87,000 | 92,184 | ||||||
CNG Holdings, Inc. | 126,000 | 119,437 | ||||||
CNX Resources Corp. | 551,000 | 509,014 | ||||||
Cogent Communications Group, Inc. | 244,000 | 250,786 | ||||||
Colfax Corp. | 417,000 | 433,115 | ||||||
Commercial Metals Co. | 114,000 | 118,119 | ||||||
CommScope, Inc. | 466,000 | 475,173 | ||||||
5.50%, 6/15/24(a) | 577,000 | 549,644 | ||||||
Community Health Systems, Inc. | 1,492,000 | 1,484,540 | ||||||
9.88%, 6/30/23(a)(c) | 616,000 | 585,517 | ||||||
8.63%, 1/15/24(a) | 244,000 | 254,221 | ||||||
8.13%, 6/30/24(a) | 526,000 | 482,600 | ||||||
Consolidated Communications, Inc. | 216,000 | 208,440 | ||||||
CoreCivic, Inc. | 168,000 | 173,092 | ||||||
4.63%, 5/1/23(b) | 290,000 | 291,363 | ||||||
Cornerstone Chemical Co. | 278,000 | 249,390 | ||||||
Covanta Holding Corp. | 250,000 | 253,541 | ||||||
CPG Merger Sub LLC | 223,000 | 224,204 | ||||||
Credit Acceptance Corp. | 234,000 | 238,399 | ||||||
5.13%, 12/31/24(a) | 152,000 | 156,940 | ||||||
Crestwood Midstream Partners L.P. | 523,000 | 498,045 | ||||||
Crown Americas LLC | 411,000 | 417,777 |
See Notes to Financial Statements.
40 | WisdomTree Trust |
Table of Contents
Schedule of Investments (unaudited) (continued)
WisdomTree Interest Rate Hedged High Yield Bond Fund (HYZD)
February 29, 2020
Investments | Principal Amount | Value | ||||||
CSC Holdings LLC | $ | 513,000 | $ | 543,919 | ||||
5.38%, 7/15/23(a) | 455,000 | 467,051 | ||||||
5.25%, 6/1/24(b) | 398,000 | 430,670 | ||||||
CSI Compressco L.P. | 94,000 | 84,806 | ||||||
CVR Partners L.P. | 397,000 | 405,768 | ||||||
DaVita, Inc. | 956,000 | 969,943 | ||||||
DCP Midstream L.P. | 197,000 | 179,614 | ||||||
DCP Midstream Operating L.P. | 168,000 | 168,213 | ||||||
4.75%, 9/30/21(a) | 223,000 | 222,208 | ||||||
4.95%, 4/1/22 | 131,000 | 133,661 | ||||||
3.88%, 3/15/23 | 184,000 | 184,918 | ||||||
5.85%, 5/21/43, (5.85% fixed rate until 5/21/23; 3-month U.S. dollar London Interbank Offered Rate + 3.85% thereafter)(a)(b)(c) | 206,000 | 186,108 | ||||||
Dell International LLC | 100,000 | 100,720 | ||||||
7.13%, 6/15/24(a) | 600,000 | 628,500 | ||||||
Dell, Inc. | 289,000 | 292,800 | ||||||
Denbury Resources, Inc. | 325,000 | 285,106 | ||||||
9.25%, 3/31/22(a) | 386,000 | 309,885 | ||||||
7.75%, 2/15/24(a) | 171,000 | 95,848 | ||||||
Diamond Offshore Drilling, Inc. | 79,000 | 56,004 | ||||||
Diamond Resorts International, Inc. | 204,000 | 204,508 | ||||||
10.75%, 9/1/24(a)(b) | 222,000 | 229,862 | ||||||
Diebold Nixdorf, Inc. | 40,000 | 36,117 | ||||||
DISH DBS Corp. | 527,000 | 529,071 | ||||||
6.75%, 6/1/21 | 925,000 | 959,530 | ||||||
5.88%, 7/15/22 | 982,000 | 1,026,416 | ||||||
5.00%, 3/15/23 | 639,000 | 644,649 | ||||||
5.88%, 11/15/24 | 500,000 | 513,907 | ||||||
Diversified Healthcare Trust | 289,000 | 309,021 | ||||||
Downstream Development Authority of the Quapaw Tribe of Oklahoma | 104,000 | 105,343 | ||||||
DriveTime Automotive Group, Inc. | 78,000 | 77,951 | ||||||
Edgewell Personal Care Co. | 442,000 | 448,188 | ||||||
4.70%, 5/24/22 | 268,000 | 275,068 | ||||||
EIG Investors Corp. | 221,000 | 231,450 | ||||||
Elanco Animal Health, Inc. | 235,000 | 246,498 | ||||||
5.02%, 8/28/23 | 481,000 | 515,529 | ||||||
EMC Corp. | 193,000 | 192,604 | ||||||
3.38%, 6/1/23 | 1,238,000 | 1,243,868 | ||||||
Encompass Health Corp. | 235,000 | 236,273 | ||||||
Endo Finance LLC | 749,000 | 589,905 | ||||||
Energy Transfer Operating L.P. | ||||||||
6.25%, 2/15/23, Series A, (6.25% fixed rate until 2/15/23; 3-month U.S. dollar London Interbank Offered Rate + 4.028% thereafter)(b)(c)(d) | 410,000 | 366,235 | ||||||
Energy Ventures Gom LLC | 243,000 | 241,278 | ||||||
Enerpac Tool Group Corp. | 306,000 | 308,390 | ||||||
EnerSys | 199,000 | 208,867 | ||||||
EnLink Midstream Partners L.P. | ||||||||
6.00%, 12/15/22, Series C, (6.00% fixed rate until 12/15/22; 3-month U.S. dollar London Interbank Offered Rate + 4.11% thereafter)(c)(d) | 157,000 | 104,159 | ||||||
4.40%, 4/1/24 | 293,000 | 268,159 | ||||||
Enova International, Inc. | 222,000 | 209,698 | ||||||
Enterprise Development Authority (The) | 294,000 | 337,487 | ||||||
Exela Intermediate LLC | 408,000 | 137,700 | ||||||
Ferrellgas L.P. | 139,000 | 119,943 | ||||||
6.75%, 1/15/22 | 181,000 | 152,549 | ||||||
6.75%, 6/15/23 | 250,000 | 209,271 | ||||||
Ferroglobe PLC | 160,000 | 112,450 | ||||||
Flex Acquisition Co., Inc. | 350,000 | 343,879 | ||||||
Foresight Energy LLC | 193,000 | 7,238 | ||||||
Forestar Group, Inc. | 214,000 | 232,546 | ||||||
Fortress Transportation & Infrastructure Investors LLC | 248,000 | 248,942 | ||||||
Forum Energy Technologies, Inc. | 184,000 | 155,094 | ||||||
Freedom Mortgage Corp. | 87,000 | 89,458 | ||||||
8.13%, 11/15/24(a) | 240,000 | 231,700 |
See Notes to Financial Statements.
WisdomTree Trust | 41 |
Table of Contents
Schedule of Investments (unaudited) (continued)
WisdomTree Interest Rate Hedged High Yield Bond Fund (HYZD)
February 29, 2020
Investments | Principal Amount | Value | ||||||
Freeport-McMoRan, Inc. | $ | 1,099,000 | $ | 1,110,737 | ||||
3.88%, 3/15/23 | 693,000 | 698,118 | ||||||
4.55%, 11/14/24 | 226,000 | 229,296 | ||||||
Fresh Market, Inc. (The) | 226,000 | 106,909 | ||||||
Frontier Communications Corp. | 159,000 | 75,177 | ||||||
10.50%, 9/15/22 | 812,000 | 370,728 | ||||||
7.13%, 1/15/23 | 330,000 | 153,450 | ||||||
FS Energy & Power Fund | 340,000 | 351,334 | ||||||
FTS International, Inc. | 281,000 | 187,480 | ||||||
GameStop Corp. | 107,000 | 101,415 | ||||||
Gap, Inc. (The) | 100,000 | 101,886 | ||||||
Genesis Energy L.P. | 234,000 | 222,982 | ||||||
Genworth Holdings, Inc. | 78,000 | 79,006 | ||||||
7.63%, 9/24/21(b) | 242,000 | 249,035 | ||||||
4.90%, 8/15/23(b) | 262,000 | 254,795 | ||||||
4.80%, 2/15/24(b) | 358,000 | 348,155 | ||||||
GEO Group, Inc. (The) | 74,000 | 70,130 | ||||||
Gogo Intermediate Holdings LLC | 440,000 | 448,485 | ||||||
Goodyear Tire & Rubber Co. (The) | 368,000 | 366,046 | ||||||
Graphic Packaging International LLC | 204,000 | 207,645 | ||||||
4.88%, 11/15/22 | 285,000 | 297,914 | ||||||
Great Lakes Dredge & Dock Corp. | 226,000 | 237,054 | ||||||
Great Western Petroleum LLC | 83,000 | 74,941 | ||||||
Grinding Media, Inc. | 368,000 | 364,206 | ||||||
Group 1 Automotive, Inc. | 150,000 | 149,814 | ||||||
GTT Communications, Inc. | 200,000 | 153,500 | ||||||
Guitar Center, Inc. | 453,000 | 434,631 | ||||||
Gulfport Energy Corp. | 341,000 | 179,131 | ||||||
6.00%, 10/15/24 | 78,000 | 26,130 | ||||||
Hanesbrands, Inc. | 703,000 | 736,101 | ||||||
HAT Holdings I LLC | 197,000 | 206,276 | ||||||
HCA Healthcare, Inc. | 444,000 | 461,505 | ||||||
HCA, Inc. | 764,000 | 845,733 | ||||||
5.88%, 5/1/23 | 595,000 | 651,278 | ||||||
Hecla Mining Co. | 401,000 | 402,784 | ||||||
Hertz Corp. (The) | 209,000 | 211,090 | ||||||
6.25%, 10/15/22 | 195,000 | 191,122 | ||||||
5.50%, 10/15/24(a)(b) | 122,000 | 117,049 | ||||||
HighPoint Operating Corp. | 104,000 | 90,772 | ||||||
Hillman Group, Inc. (The) | 244,000 | 219,524 | ||||||
Hilton Domestic Operating Co., Inc. | 516,000 | 519,222 | ||||||
Hornbeck Offshore Services, Inc. | 197,000 | 71,166 | ||||||
Hughes Satellite Systems Corp. | 413,000 | 435,665 | ||||||
Icahn Enterprises L.P. | 566,000 | 576,697 | ||||||
6.75%, 2/1/24 | 236,000 | 244,948 | ||||||
4.75%, 9/15/24(a) | 132,000 | 134,805 | ||||||
Immucor, Inc. | 234,000 | 232,318 | ||||||
Infor U.S., Inc. | 791,000 | 793,547 | ||||||
Ingles Markets, Inc. | 133,000 | 134,331 | ||||||
Ingram Micro, Inc. | 25,000 | 25,470 | ||||||
5.45%, 12/15/24 | 300,000 | 312,741 | ||||||
International Game Technology PLC | 712,000 | 734,763 | ||||||
Iron Mountain, Inc. | 248,000 | 247,695 | ||||||
6.00%, 8/15/23 | 298,000 | 303,836 | ||||||
5.75%, 8/15/24 | 250,000 | 252,498 | ||||||
iStar, Inc. | 279,000 | 285,377 | ||||||
Jaguar Holding Co. II | 472,000 | 487,047 | ||||||
JC Penney Corp., Inc. | 189,000 | 156,777 | ||||||
Joseph T Ryerson & Son, Inc. | 211,000 | 219,441 | ||||||
KB Home | 394,000 | 419,275 | ||||||
7.50%, 9/15/22 | 134,000 | 150,792 | ||||||
7.63%, 5/15/23 | 78,000 | 87,782 | ||||||
Kenan Advantage Group, Inc. (The) | 178,000 | 175,849 | ||||||
Kennedy-Wilson, Inc. | 537,000 | 547,074 | ||||||
KFC Holding Co. | 328,000 | 331,269 |
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 29, 2020
Investments | Principal Amount | Value | ||||||
KGA Escrow LLC | $ | 231,000 | $ | 239,758 | ||||
L Brands, Inc. | 245,000 | 257,098 | ||||||
5.63%, 10/15/23 | 513,000 | 553,827 | ||||||
Ladder Capital Finance Holdings LLLP | 497,000 | 508,179 | ||||||
Lamar Media Corp. | 345,000 | 348,447 | ||||||
Lee Enterprises, Inc. | 236,000 | 236,590 | ||||||
Lennar Corp. | 184,000 | 185,451 | ||||||
8.38%, 1/15/21 | 232,000 | 242,788 | ||||||
4.75%, 4/1/21 | 306,000 | 311,529 | ||||||
6.25%, 12/15/21 | 220,000 | 230,813 | ||||||
4.13%, 1/15/22(b) | 272,000 | 278,316 | ||||||
4.75%, 11/15/22 | 214,000 | 224,319 | ||||||
4.88%, 12/15/23 | 144,000 | 154,020 | ||||||
4.50%, 4/30/24 | 328,000 | 349,046 | ||||||
5.88%, 11/15/24(b) | 136,000 | 148,868 | ||||||
Level 3 Financing, Inc. | 435,000 | 436,994 | ||||||
5.38%, 1/15/24 | 385,000 | 385,167 | ||||||
Lexmark International, Inc. | 148,000 | 147,772 | ||||||
Lions Gate Capital Holdings LLC | 324,000 | 318,327 | ||||||
5.88%, 11/1/24(a) | 314,000 | 304,616 | ||||||
Lonestar Resources America, Inc. | 78,000 | 51,285 | ||||||
Louisiana-Pacific Corp. | 372,000 | 380,524 | ||||||
LSB Industries, Inc. | 155,000 | 156,486 | ||||||
LTF Merger Sub, Inc. | 412,000 | 417,578 | ||||||
Mack-Cali Realty L.P. | 334,000 | 336,730 | ||||||
Mallinckrodt International Finance S.A. | 252,000 | 236,424 | ||||||
5.75%, 8/1/22(a) | 276,000 | 210,450 | ||||||
5.63%, 10/15/23(a) | 310,000 | 179,154 | ||||||
Martin Midstream Partners L.P. | 412,000 | 382,295 | ||||||
MasTec, Inc. | 184,000 | 184,678 | ||||||
Match Group, Inc. | 100,000 | 103,679 | ||||||
Mattel, Inc. | 344,000 | 339,843 | ||||||
Mauser Packaging Solutions Holding Co. | 664,000 | 662,964 | ||||||
McGraw-Hill Global Education Holdings LLC | 258,000 | 220,052 | ||||||
MDC Holdings, Inc. | 411,000 | 447,133 | ||||||
MDC Partners, Inc. | 582,000 | 532,530 | ||||||
MEDNAX, Inc. | 445,000 | 436,472 | ||||||
Meritage Homes Corp. | 253,000 | 274,584 | ||||||
Meritor, Inc. | 218,000 | 223,845 | ||||||
MGIC Investment Corp. | 355,000 | 388,872 | ||||||
MGM Growth Properties Operating Partnership L.P. | 500,000 | 542,292 | ||||||
MGM Resorts International | 511,000 | 559,177 | ||||||
6.00%, 3/15/23 | 458,000 | 493,877 | ||||||
Midas Intermediate Holdco II LLC | 166,000 | 159,931 | ||||||
Mohegan Gaming & Entertainment | 232,000 | 230,164 | ||||||
Molina Healthcare, Inc. | 354,000 | 369,045 | ||||||
Montage Resources Corp. | 245,000 | 179,387 | ||||||
MPH Acquisition Holdings LLC | 711,000 | 663,157 | ||||||
MSCI, Inc. | 100,000 | 102,949 | ||||||
Murray Energy Corp. | 84,000 | 106 | ||||||
Nabors Industries, Inc. | 89,000 | 89,479 | ||||||
4.63%, 9/15/21 | 29,000 | 28,920 | ||||||
Nationstar Mortgage Holdings, Inc. | 422,000 | 439,633 | ||||||
Navient Corp. | 212,000 | 213,106 | ||||||
5.00%, 10/26/20 | 268,000 | 270,908 | ||||||
5.88%, 3/25/21 | 411,000 | 420,145 | ||||||
6.63%, 7/26/21 | 245,000 | 252,784 | ||||||
7.25%, 1/25/22 | 278,000 | 293,090 | ||||||
6.50%, 6/15/22 | 421,000 | 439,945 | ||||||
5.50%, 1/25/23 | 305,000 | 312,625 | ||||||
7.25%, 9/25/23 | 375,000 | 404,059 | ||||||
6.13%, 3/25/24(b) | 328,000 | 339,477 | ||||||
Navios Maritime Acquisition Corp. | 245,000 | 164,089 | ||||||
Navios Maritime Holdings, Inc. | 134,000 | 67,670 | ||||||
NCL Corp. Ltd. | 100,000 | 92,891 | ||||||
NCR Corp. | 401,000 | 403,506 | ||||||
6.38%, 12/15/23 | 249,000 | 254,342 |
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 29, 2020
Investments | Principal Amount | Value | ||||||
Netflix, Inc. | $ | 244,000 | $ | 249,429 | ||||
5.50%, 2/15/22 | 382,000 | 401,463 | ||||||
5.75%, 3/1/24(b) | 338,000 | 373,630 | ||||||
New Home Co., Inc. (The) | 346,000 | 352,163 | ||||||
Newell Brands, Inc. | 80,000 | 83,281 | ||||||
3.85%, 4/1/23 | 700,000 | 727,451 | ||||||
Newmark Group, Inc. | 139,000 | 152,869 | ||||||
NextEra Energy Operating Partners L.P. | 516,000 | 520,533 | ||||||
NGL Energy Partners L.P. | 319,000 | 295,869 | ||||||
Nielsen Co. Luxembourg SARL (The) | 386,000 | 387,351 | ||||||
Nielsen Finance LLC | 975,000 | 973,557 | ||||||
Noble Holding International Ltd. | 214,000 | 87,116 | ||||||
Northern Oil and Gas, Inc. | 291,000 | 293,183 | ||||||
Northwest Acquisitions ULC | 104,000 | 79,225 | ||||||
Northwest Hardwoods, Inc. | 79,000 | 41,574 | ||||||
NortonLifeLock, Inc. | 414,000 | 415,899 | ||||||
3.95%, 6/15/22 | 78,000 | 79,718 | ||||||
NuStar Logistics L.P. | 330,000 | 333,015 | ||||||
6.75%, 2/1/21 | 108,000 | 110,484 | ||||||
4.75%, 2/1/22 | 79,000 | 80,802 | ||||||
Oasis Petroleum, Inc. | 304,000 | 239,400 | ||||||
6.88%, 1/15/23(b) | 137,000 | 106,518 | ||||||
Ocwen Loan Servicing LLC | 154,000 | 136,723 | ||||||
OI European Group B.V. | 103,000 | 104,459 | ||||||
Omnimax International, Inc. | 113,000 | 112,196 | ||||||
Ortho-Clinical Diagnostics, Inc. | 668,000 | 664,455 | ||||||
Outfront Media Capital LLC | 201,000 | 205,188 | ||||||
Owens-Brockway Glass Container, Inc. | 232,000 | 239,373 | ||||||
5.88%, 8/15/23(a)(b) | 481,000 | 509,718 | ||||||
Party City Holdings, Inc. | 126,000 | 101,745 | ||||||
Pattern Energy Group, Inc. | 327,000 | 334,493 | ||||||
PBF Logistics L.P. | 403,000 | 413,796 | ||||||
PDC Energy, Inc. | 222,000 | 208,195 | ||||||
Peabody Energy Corp. | 244,000 | 209,108 | ||||||
Penske Automotive Group, Inc. | 255,000 | 258,186 | ||||||
Performance Food Group, Inc. | 222,000 | 224,867 | ||||||
PetSmart, Inc. | 786,000 | 768,079 | ||||||
Pioneer Energy Services Corp. | 84,000 | 18,690 | ||||||
Pitney Bowes, Inc. | 48,000 | 49,095 | ||||||
5.20%, 4/1/23 | 87,000 | 87,254 | ||||||
4.63%, 3/15/24(b) | 31,000 | 29,282 | ||||||
Plains All American Pipeline L.P. | 480,000 | 425,162 | ||||||
Plantronics, Inc. | 275,000 | 250,940 | ||||||
Polaris Intermediate Corp. | 512,000 | 436,528 | ||||||
PolyOne Corp. | 331,000 | 353,339 | ||||||
Popular, Inc. | 181,000 | 190,351 | ||||||
PQ Corp. | 344,000 | 352,168 | ||||||
Prestige Brands, Inc. | 242,000 | 249,965 | ||||||
Prime Security Services Borrower LLC | 497,000 | 515,431 | ||||||
Pyxus International, Inc. | 68,000 | 65,790 | ||||||
9.88%, 7/15/21 | 223,000 | 82,510 | ||||||
QEP Resources, Inc. | 219,000 | 200,317 | ||||||
5.25%, 5/1/23 | 290,000 | 255,635 | ||||||
Quorum Health Corp. | 154,000 | 132,119 | ||||||
QVC, Inc. | 408,000 | 433,360 | ||||||
4.38%, 3/15/23 | 444,000 | 459,977 | ||||||
4.85%, 4/1/24 | 60,000 | 62,988 | ||||||
Qwest Corp. | 413,000 | 436,876 | ||||||
Rackspace Hosting, Inc. | 446,000 | 428,160 | ||||||
Radiate Holdco LLC | 85,000 | 85,661 | ||||||
Range Resources Corp. | 81,000 | 69,230 |
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 29, 2020
Investments | Principal Amount | Value | ||||||
5.00%, 8/15/22(b) | $ | 177,000 | $ | 145,583 | ||||
5.00%, 3/15/23(b) | 246,000 | 178,889 | ||||||
Realogy Group LLC | 394,000 | 396,857 | ||||||
4.88%, 6/1/23(a) | 337,000 | 335,947 | ||||||
Resolute Forest Products, Inc. | 244,000 | 241,051 | ||||||
Revlon Consumer Products Corp. | 187,000 | 164,981 | ||||||
Reynolds Group Issuer, Inc. | 809,000 | 818,777 | ||||||
7.00%, 7/15/24(a) | 100,000 | 101,126 | ||||||
RHP Hotel Properties L.P. | 375,000 | 381,249 | ||||||
Rite Aid Corp. | 465,000 | 427,219 | ||||||
7.50%, 7/1/25(a) | 269,000 | 269,000 | ||||||
Riverbed Technology, Inc. | 219,000 | 149,468 | ||||||
RR Donnelley & Sons Co. | 263,000 | 267,054 | ||||||
Ruby Pipeline LLC | 167,546 | 169,625 | ||||||
Sabre GLBL, Inc. | 217,000 | 217,452 | ||||||
5.25%, 11/15/23(a) | 399,000 | 399,076 | ||||||
Sanchez Energy Corp. | 193,000 | 110,010 | ||||||
SBA Communications Corp. | 489,320 | 495,932 | ||||||
4.88%, 9/1/24 | 350,000 | 360,428 | ||||||
Scientific Games International, Inc. | 98,000 | 98,162 | ||||||
Sealed Air Corp. | 69,000 | 71,782 | ||||||
5.25%, 4/1/23(a) | 326,000 | 344,473 | ||||||
Sensata Technologies B.V. | 219,000 | 231,590 | ||||||
5.63%, 11/1/24(a) | 155,000 | 167,503 | ||||||
SESI LLC | 298,000 | 245,105 | ||||||
Sirius XM Radio, Inc. | 596,000 | 596,073 | ||||||
4.63%, 5/15/23(a)(b) | 301,000 | 303,885 | ||||||
4.63%, 7/15/24(a) | 410,000 | 423,544 | ||||||
SM Energy Co. | 224,000 | 201,110 | ||||||
5.00%, 1/15/24 | 197,000 | 154,130 | ||||||
Solera LLC | 820,000 | 868,655 | ||||||
Sophia L.P. | 214,000 | 220,241 | ||||||
Southwestern Energy Co. | 310,000 | 230,172 | ||||||
Spirit AeroSystems, Inc. | 350,000 | 351,459 | ||||||
Springleaf Finance Corp. | 268,000 | 278,988 | ||||||
7.75%, 10/1/21 | 404,000 | 431,205 | ||||||
6.13%, 5/15/22 | 489,000 | 516,687 | ||||||
5.63%, 3/15/23 | 527,000 | 544,465 | ||||||
6.13%, 3/15/24 | 403,000 | 425,701 | ||||||
Sprint Communications, Inc. | 245,000 | 245,000 | ||||||
7.00%, 8/15/20 | 391,000 | 399,270 | ||||||
11.50%, 11/15/21(b) | 244,000 | 279,214 | ||||||
6.00%, 11/15/22 | 614,000 | 659,669 | ||||||
Sprint Corp. | 821,000 | 872,863 | ||||||
7.88%, 9/15/23 | 1,350,000 | 1,545,190 | ||||||
7.13%, 6/15/24 | 410,000 | 466,033 | ||||||
SPX FLOW, Inc. | 247,000 | 255,903 | ||||||
Standard Industries, Inc. | 515,000 | 522,771 | ||||||
Starwood Property Trust, Inc. | 474,000 | 469,743 | ||||||
Stericycle, Inc. | 232,000 | 244,412 | ||||||
Suburban Propane Partners L.P. | 365,000 | 362,084 | ||||||
Summit Materials LLC | 311,000 | 313,721 | ||||||
Summit Midstream Holdings LLC | 124,000 | 106,524 | ||||||
Sunoco L.P. | 510,000 | 509,967 | ||||||
Synovus Financial Corp. | ||||||||
5.75%, 12/15/25, (5.75% fixed rate until 12/15/20; 3-month U.S. dollar London Interbank Offered Rate + 4.182% thereafter)(c) | 184,000 | 189,596 | ||||||
5.90%, 2/7/29, (5.90% fixed rate until 2/7/24; 5-year U.S. dollar Swap Rate + 3.379% thereafter)(c) | 302,000 | 325,413 | ||||||
T-Mobile USA, Inc. | 1,149,000 | 1,182,026 | ||||||
6.00%, 4/15/24 | 403,000 | 412,446 | ||||||
Tallgrass Energy Partners L.P. | 214,000 | 205,977 | ||||||
5.50%, 9/15/24(a) | 284,000 | 264,146 | ||||||
Tapstone Energy LLC | 79,000 | 672 | ||||||
Targa Resources Partners L.P. | 375,000 | 374,882 | ||||||
4.25%, 11/15/23 | 239,000 | 235,842 | ||||||
Taylor Morrison Communities, Inc. | 393,000 | 421,656 | ||||||
6.00%, 9/1/23(a) | 452,000 | 468,295 | ||||||
Teekay Corp. | 97,000 | 101,638 | ||||||
Teekay Offshore Partners L.P. | 465,000 | 456,530 |
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 29, 2020
Investments | Principal Amount | Value | ||||||
TEGNA, Inc. | $ | 80,000 | $ | 80,218 | ||||
Tempur Sealy International, Inc. | 189,000 | 192,896 | ||||||
Tenet Healthcare Corp. | 1,093,000 | 1,186,156 | ||||||
6.75%, 6/15/23 | 975,000 | 1,049,768 | ||||||
4.63%, 7/15/24 | 606,000 | 607,276 | ||||||
4.63%, 9/1/24(a) | 516,000 | 525,030 | ||||||
TerraForm Power Operating LLC | 97,000 | 98,820 | ||||||
TIBCO Software, Inc. | 405,000 | 416,958 | ||||||
Titan International, Inc. | 164,000 | 125,118 | ||||||
TMX Finance LLC | 175,000 | 162,240 | ||||||
Toll Brothers Finance Corp. | 195,000 | 204,750 | ||||||
4.38%, 4/15/23 | 245,000 | 257,658 | ||||||
5.63%, 1/15/24(b) | 196,000 | 215,681 | ||||||
TPC Group, Inc. | 369,000 | 375,304 | ||||||
TransDigm, Inc. | 528,000 | 540,981 | ||||||
Transocean Guardian Ltd. | 135,270 | 134,268 | ||||||
Transocean Sentry Ltd. | 278,000 | 269,657 | ||||||
TreeHouse Foods, Inc. | 235,000 | 235,073 | ||||||
6.00%, 2/15/24(a) | 350,000 | 362,105 | ||||||
TRI Pointe Group, Inc. | 278,000 | 302,093 | ||||||
Trinity Industries, Inc. | 225,000 | 235,824 | ||||||
Triumph Group, Inc. | 223,000 | 218,470 | ||||||
6.25%, 9/15/24(a)(b) | 200,000 | 208,167 | ||||||
Truck Hero, Inc. | 333,000 | 343,684 | ||||||
U.S. Concrete, Inc. | 294,000 | 299,787 | ||||||
Unit Corp. | 271,000 | 106,300 | ||||||
United Airlines Holdings, Inc. | 229,000 | 233,242 | ||||||
4.25%, 10/1/22 | 183,000 | 183,229 | ||||||
5.00%, 2/1/24(b) | 226,000 | 229,390 | ||||||
Uniti Group L.P. | 273,000 | 267,540 | ||||||
8.25%, 10/15/23 | 473,000 | 441,073 | ||||||
Univision Communications, Inc. | 958,000 | 926,386 | ||||||
Urban One, Inc. | 113,000 | 112,470 | ||||||
Vericast Corp. | 402,000 | 403,005 | ||||||
8.38%, 8/15/22(a) | 402,000 | 334,790 | ||||||
VeriSign, Inc. | 234,000 | 236,414 | ||||||
Veritas US, Inc. | 590,000 | 506,170 | ||||||
ViacomCBS, Inc. | 585,800 | 598,614 | ||||||
Vine Oil & Gas L.P. | 245,000 | 106,575 | ||||||
9.75%, 4/15/23(a) | 164,000 | 71,340 | ||||||
Vista Outdoor, Inc. | 244,000 | 236,781 | ||||||
Vistra Energy Corp. | 412,000 | 416,886 | ||||||
Voyager Aviation Holdings LLC | 250,000 | 252,600 | ||||||
W&T Offshore, Inc. | 241,000 | 214,488 | ||||||
Warrior Met Coal, Inc. | 200,000 | 205,605 | ||||||
Washington Prime Group L.P. | 500,000 | 412,918 | ||||||
Watco Cos. LLC | 222,000 | 224,312 | ||||||
Weatherford International Ltd. | 800,000 | 767,120 | ||||||
WESCO Distribution, Inc. | 182,000 | 183,014 | ||||||
WEX, Inc. | 251,000 | 252,673 | ||||||
Whiting Petroleum Corp. | 275,000 | 158,744 | ||||||
6.25%, 4/1/23 | 100,000 | 45,250 | ||||||
Williams Scotsman International, Inc. | 209,000 | 217,948 | ||||||
6.88%, 8/15/23(a) | 84,000 | 86,765 | ||||||
WMG Acquisition Corp. | 318,000 | 324,492 | ||||||
Wolverine Escrow LLC | 450,000 | 439,778 | ||||||
WPX Energy, Inc. | 593,080 | 663,013 | ||||||
5.25%, 9/15/24 | 78,000 | 78,028 | ||||||
WR Grace & Co-Conn | 382,000 | 392,887 | ||||||
Wyndham Destinations, Inc. | 121,000 | 124,065 | ||||||
4.25%, 3/1/22 | 226,000 | 223,738 | ||||||
3.90%, 3/1/23 | 305,000 | 305,114 | ||||||
5.40%, 4/1/24 | 214,000 | 230,139 | ||||||
Wynn Las Vegas LLC | 196,000 | 199,428 |
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 29, 2020
Investments | Principal Amount | Value | ||||||
Xerox Corp. | $ | 338,000 | $ | 338,646 | ||||
4.50%, 5/15/21 | 647,000 | 659,565 | ||||||
4.13%, 3/15/23 | 517,000 | 528,472 | ||||||
3.80%, 5/15/24 | 229,000 | 232,519 | ||||||
XPO Logistics, Inc. | 413,000 | 413,487 | ||||||
6.13%, 9/1/23(a) | 219,000 | 224,428 | ||||||
6.75%, 8/15/24(a) | 676,000 | 714,589 | ||||||
Yum! Brands, Inc. | 79,000 | 79,623 | ||||||
3.75%, 11/1/21 | 204,000 | 204,908 | ||||||
3.88%, 11/1/23 | 417,000 | 429,045 | ||||||
TOTAL U.S. CORPORATE BONDS (Cost: $169,595,966) |
| 165,567,569 | ||||||
FOREIGN CORPORATE BONDS – 14.3% |
| |||||||
Australia – 0.6% |
| |||||||
FMG Resources August 2006 Pty Ltd. | 490,000 | 499,540 | ||||||
5.13%, 5/15/24(a)(b) | 497,000 | 515,223 | ||||||
Virgin Australia Holdings Ltd. | 132,000 | 122,813 | ||||||
|
| |||||||
Total Australia |
| 1,137,576 | ||||||
Belgium – 0.1% |
| |||||||
LBC Tank Terminals Holding Netherlands B.V. | 254,000 | 257,285 | ||||||
Canada – 5.2% |
| |||||||
1011778 BC ULC | 682,000 | 684,070 | ||||||
Air Canada | 201,000 | 210,125 | ||||||
Athabasca Oil Corp. | 254,000 | 208,042 | ||||||
Bombardier, Inc. | 830,000 | 880,439 | ||||||
5.75%, 3/15/22(a) | 224,000 | 228,879 | ||||||
6.00%, 10/15/22(a)(b) | 467,000 | 458,827 | ||||||
6.13%, 1/15/23(a) | 488,000 | 490,091 | ||||||
7.50%, 12/1/24(a) | 250,000 | 252,396 | ||||||
Brookfield Residential Properties, Inc. | 252,000 | 255,440 | ||||||
Cooke Omega Investments, Inc. | 149,000 | 153,144 | ||||||
Ensign Drilling, Inc. | 386,000 | 347,886 | ||||||
Fairstone Financial, Inc. | 319,000 | 347,045 | ||||||
Gateway Casinos & Entertainment Ltd. | 274,000 | 282,334 | ||||||
GFL Environmental, Inc. | 127,000 | 128,945 | ||||||
5.38%, 3/1/23(a) | 266,000 | 273,647 | ||||||
Hudbay Minerals, Inc. | 205,000 | 206,623 | ||||||
7.63%, 1/15/25(a)(b) | 200,000 | 193,667 | ||||||
Kissner Holdings L.P. | 259,000 | 271,497 | ||||||
Kronos Acquisition Holdings, Inc. | 352,000 | 340,706 | ||||||
MEG Energy Corp. | 234,000 | 222,203 | ||||||
Mountain Province Diamonds, Inc. | 120,000 | 117,414 | ||||||
New Gold, Inc. | 244,000 | 246,438 | ||||||
Norbord, Inc. | 139,000 | 148,961 | ||||||
NOVA Chemicals Corp. | 192,000 | 192,478 | ||||||
4.88%, 6/1/24(a)(b) | 496,000 | 480,086 | ||||||
Open Text Corp. | 459,000 | 465,036 | ||||||
Quebecor Media, Inc. | 610,000 | 648,177 | ||||||
Rockpoint Gas Storage Canada Ltd. | 345,000 | 325,306 | ||||||
Seven Generations Energy Ltd. | 214,000 | 211,994 | ||||||
6.88%, 6/30/23(a) | 336,000 | 338,659 | ||||||
Taseko Mines Ltd. | 150,000 | 135,422 | ||||||
Teine Energy Ltd. | 119,000 | 118,740 | ||||||
Tervita Corp. | 183,000 | 185,242 | ||||||
Videotron Ltd. | 339,000 | 350,866 | ||||||
Xplornet Communications, Inc. | 87,675 | 89,894 | ||||||
|
| |||||||
Total Canada |
| 10,490,719 | ||||||
Cayman Islands – 0.5% |
| |||||||
Global Aircraft Leasing Co., Ltd. | 783,000 | 773,212 | ||||||
Vantage Drilling International | 244,000 | 217,059 | ||||||
|
| |||||||
Total Cayman Islands |
| 990,271 | ||||||
Denmark – 0.3% |
| |||||||
DKT Finance ApS | 306,000 | 325,875 | ||||||
Welltec A/S | 200,000 | 202,562 | ||||||
|
| |||||||
Total Denmark |
| 528,437 | ||||||
Finland – 0.1% |
| |||||||
Nokia Oyj | 200,000 | 201,003 |
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 29, 2020
Investments | Principal Amount | Value | ||||||
Germany – 0.6% |
| |||||||
Atotech Alpha 2 B.V. | $ | 200,000 | $ | 201,083 | ||||
Deutsche Bank AG | 650,000 | 628,131 | ||||||
Mercer International, Inc. | 303,000 | 311,079 | ||||||
7.38%, 1/15/25 | 150,000 | 151,469 | ||||||
|
| |||||||
Total Germany |
| 1,291,762 | ||||||
Ireland – 0.6% |
| |||||||
AerCap Holdings N.V. | 400,000 | 406,710 | ||||||
Ardagh Packaging Finance PLC | 558,000 | 557,449 | ||||||
Fly Leasing Ltd. | 210,000 | 213,019 | ||||||
|
| |||||||
Total Ireland |
| 1,177,178 | ||||||
Italy – 0.8% |
| |||||||
Intesa Sanpaolo SpA | 663,000 | 696,764 | ||||||
Telecom Italia SpA | 939,000 | 1,004,720 | ||||||
|
| |||||||
Total Italy |
| 1,701,484 | ||||||
Jersey – 0.1% |
| |||||||
Aston Martin Capital Holdings Ltd. | 250,000 | 231,250 | ||||||
Liberia – 0.0% |
| |||||||
Eletson Holdings, Inc. | 42,264 | 13,419 | ||||||
Luxembourg – 1.7% |
| |||||||
INEOS Group Holdings S.A. | 300,000 | 301,872 | ||||||
Intelsat Connect Finance S.A. | 1,060,000 | 628,050 | ||||||
Intelsat Jackson Holdings S.A. | 196,000 | 222,521 | ||||||
5.50%, 8/1/23(b) | 781,000 | 673,289 | ||||||
8.00%, 2/15/24(a) | 410,000 | 421,105 | ||||||
8.50%, 10/15/24(a)(b) | 1,179,000 | 1,020,324 | ||||||
Intelsat Luxembourg S.A. | 308,000 | 131,670 | ||||||
|
| |||||||
Total Luxembourg |
| 3,398,831 | ||||||
Netherlands – 0.7% |
| |||||||
InterGen N.V. | 300,000 | 295,500 | ||||||
Koninklijke KPN N.V. | 450,000 | 482,285 | ||||||
OCI N.V. | 360,000 | 374,220 | ||||||
5.25%, 11/1/24(a) | 250,000 | 256,250 | ||||||
|
| |||||||
Total Netherlands |
| 1,408,255 | ||||||
New Zealand – 0.1% |
| |||||||
Trilogy International Partners LLC | 294,000 | 272,593 | ||||||
Norway – 0.2% |
| |||||||
Aker BP ASA | 359,000 | 369,134 | ||||||
Spain – 0.1% |
| |||||||
Cirsa Finance International SARL | 229,000 | 239,852 | ||||||
Sweden – 0.4% |
| |||||||
Stena AB | 250,000 | 250,729 | ||||||
Telefonaktiebolaget LM Ericsson | 483,000 | 498,453 | ||||||
|
| |||||||
Total Sweden |
| 749,182 | ||||||
United Kingdom – 2.2% |
| |||||||
Algeco Global Finance PLC | 200,000 | 197,998 | ||||||
Ardonagh Midco 3 PLC | 400,000 | 404,834 | ||||||
Avon International Capital PLC | 100,000 | 102,911 | ||||||
Avon International Operations, Inc. | 193,000 | 196,878 | ||||||
Avon Products, Inc. | 389,000 | 424,015 | ||||||
Fiat Chrysler Automobiles N.V. | 665,000 | 667,025 | ||||||
5.25%, 4/15/23 | 600,000 | 628,500 | ||||||
Global Ship Lease, Inc. | 200,000 | 206,662 | ||||||
Ithaca Energy North Sea PLC | 225,000 | 230,060 | ||||||
Jaguar Land Rover Automotive PLC | 749,000 | 727,271 | ||||||
KCA Deutag UK Finance PLC | 218,000 | 135,773 | ||||||
Valaris PLC | 368,000 | 240,235 | ||||||
8.00%, 1/31/24 | 450,000 | 217,312 | ||||||
|
| |||||||
Total United Kingdom |
| 4,379,474 | ||||||
TOTAL FOREIGN CORPORATE BONDS (Cost: $29,766,075) |
| 28,837,705 |
See Notes to Financial Statements.
48 | WisdomTree Trust |
Table of Contents
Schedule of Investments (unaudited) (concluded)
WisdomTree Interest Rate Hedged High Yield Bond Fund (HYZD)
February 29, 2020
Investments | Shares | Value | ||||||
INVESTMENT OF CASH COLLATERAL FOR SECURITIES LOANED – 13.5% |
| |||||||
United States – 13.5% |
| |||||||
State Street Navigator Securities Lending Government Money Market Portfolio, 1.61%(f) | ||||||||
(Cost: $27,377,523)(g) | 27,377,523 | $ | 27,377,523 | |||||
TOTAL INVESTMENTS IN SECURITIES – 109.5% (Cost: $226,739,564) |
| 221,782,797 | ||||||
Other Assets less Liabilities – (9.5)% |
| (19,212,118 | ) | |||||
|
| |||||||
NET ASSETS – 100.0% |
| $ | 202,570,679 |
(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 29, 2020 (See Note 2). |
(c) | Rate shown reflects the accrual rate as of February 29, 2020 on securities with variable or step rates. |
(d) | The security has a perpetual maturity; the date displayed is the next call date. |
(e) | Security in default on interest payments. |
(f) | Rate shown represents annualized 7-day yield as of February 29, 2020. |
(g) | At February 29, 2020, the total market value of the Fund’s securities on loan identified in the Schedule of Investments was $27,276,020 and the total market value of the collateral held by the Fund was $28,297,258. The total market value of the collateral includes non-cash U.S. Government securities collateral having a value of $919,735. |
FINANCIAL DERIVATIVE INSTRUMENTS | ||||||||||||||||
FUTURES CONTRACTS† (EXCHANGE-TRADED) | ||||||||||||||||
Short Exposure | Contracts | Expiration Date | Notional Value | Unrealized Appreciation/ (Depreciation) | ||||||||||||
2 Year U.S. Treasury Note | 503 | 6/30/20 | $ | (109,819,047 | ) | $ | (616,861 | ) | ||||||||
5 Year U.S. Treasury Note | 289 | 6/30/20 | (35,474,750 | ) | (404,099 | ) | ||||||||||
$ | (145,293,797 | ) | $ | (1,020,960 | ) |
† | As of February 29, 2020, deposits at broker for futures contracts of $437,777 included cash collateral of $827,672 and previously settled variation margin losses on open futures contracts of $389,895. |
See Notes to Financial Statements.
WisdomTree Trust | 49 |
Table of Contents
Schedule of Investments (unaudited)
WisdomTree Interest Rate Hedged U.S. Aggregate Bond Fund (AGZD)
February 29, 2020
Investments | Principal Amount | Value | ||||||
U.S. GOVERNMENT AGENCIES – 27.1% |
| |||||||
Federal Home Loan Bank – 0.8% |
| |||||||
1.13%, 7/14/21 | $ | 40,000 | $ | 40,086 | ||||
3.00%, 9/10/21 | 70,000 | 72,166 | ||||||
3.00%, 10/12/21 | 75,000 | 77,469 | ||||||
3.38%, 9/8/23 | 70,000 | 75,808 | ||||||
3.38%, 12/8/23 | 65,000 | 70,751 | ||||||
1.50%, 8/15/24 | 85,000 | 87,015 | ||||||
3.25%, 11/16/28 | 65,000 | 75,244 | ||||||
5.50%, 7/15/36 | 140,000 | 213,563 | ||||||
|
| |||||||
Total Federal Home Loan Bank |
| 712,102 | ||||||
Federal Home Loan Mortgage Corporation – 6.4% |
| |||||||
2.38%, 1/13/22 | 155,000 | 159,039 | ||||||
2.50%, 3/1/28 | 38,166 | 39,390 | ||||||
3.50%, 1/1/29 | 37,637 | 39,570 | ||||||
2.50%, 6/1/29 | 71,147 | 73,425 | ||||||
3.00%, 8/1/29 | 34,566 | 36,266 | ||||||
2.50%, 1/1/30 | 40,628 | 41,930 | ||||||
2.50%, 2/1/30 | 60,340 | 62,274 | ||||||
3.00%, 4/1/30 | 61,191 | 63,624 | ||||||
3.00%, 5/1/30 | 31,464 | 32,715 | ||||||
2.50%, 12/1/31 | 60,167 | 62,100 | ||||||
3.00%, 12/1/31 | 57,799 | 60,101 | ||||||
6.25%, 7/15/32 | 94,000 | 144,541 | ||||||
2.50%, 11/1/32 | 36,050 | 37,208 | ||||||
3.00%, 1/1/33 | 35,433 | 36,843 | ||||||
4.00%, 11/1/33 | 33,067 | 34,768 | ||||||
4.00%, 5/1/34 | 53,891 | 58,136 | ||||||
3.50%, 8/1/34 | 32,634 | 34,488 | ||||||
3.00%, 5/1/37 | 35,191 | 36,707 | ||||||
3.00%, 2/1/38 | 63,002 | 65,567 | ||||||
5.50%, 4/1/38 | 41,355 | 47,657 | ||||||
4.50%, 12/1/40 | 60,129 | 66,658 | ||||||
4.00%, 2/1/41 | 245,507 | 267,776 | ||||||
3.50%, 3/1/42 | 72,736 | 77,450 | ||||||
3.00%, 6/1/43 | 77,130 | 80,666 | ||||||
3.00%, 7/1/43 | 85,327 | 90,242 | ||||||
3.00%, 8/1/43 | 116,669 | 122,109 | ||||||
4.00%, 12/1/43 | 26,942 | 29,198 | ||||||
3.00%, 1/1/44 | 113,908 | 119,268 | ||||||
3.50%, 9/1/44 | 110,956 | 118,121 | ||||||
4.00%, 9/1/44 | 81,797 | 88,615 | ||||||
3.50%, 1/1/45 | 51,345 | 54,569 | ||||||
3.00%, 4/1/45 | 181,205 | 189,455 | ||||||
4.50%, 7/1/45 | 38,492 | 42,442 | ||||||
3.50%, 8/1/45 | 86,801 | 91,855 | ||||||
4.00%, 8/1/45 | 47,377 | 51,136 | ||||||
3.50%, 9/1/45 | 116,860 | 123,621 | ||||||
4.00%, 11/1/45 | 53,417 | 57,596 | ||||||
3.50%, 3/1/46 | 62,760 | 66,389 | ||||||
3.00%, 4/1/46 | 19,330 | 20,236 | ||||||
3.50%, 4/1/46 | 104,883 | 110,881 | ||||||
3.00%, 5/1/46 | 160,759 | 168,922 | ||||||
3.50%, 5/1/46 | 27,785 | 29,365 | ||||||
3.00%, 9/1/46 | 43,546 | 45,581 | ||||||
4.50%, 9/1/46 | 99,024 | 109,775 | ||||||
3.00%, 10/1/46 | 106,235 | 111,061 | ||||||
3.00%, 11/1/46 | 91,237 | 95,319 | ||||||
4.00%, 11/1/46 | 28,267 | 30,269 | ||||||
3.50%, 12/1/46 | 126,482 | 133,467 | ||||||
3.00%, 2/1/47 | 19,117 | 19,966 | ||||||
4.00%, 2/1/47 | 28,749 | 30,743 | ||||||
4.50%, 4/1/47 | 29,864 | 32,331 | ||||||
3.50%, 5/1/47 | 33,836 | 35,672 | ||||||
4.50%, 5/1/47 | 52,730 | 57,129 | ||||||
3.50%, 8/1/47 | 177,264 | 186,874 | ||||||
4.00%, 8/1/47 | 75,449 | 80,542 | ||||||
4.50%, 9/1/47 | 28,184 | 30,515 | ||||||
3.00%, 10/1/47 | 100,850 | 104,739 | ||||||
3.50%, 10/1/47 | 211,069 | 222,522 | ||||||
4.00%, 2/1/48 | 43,047 | 45,847 | ||||||
4.50%, 2/1/48 | 108,361 | 117,379 | ||||||
3.50%, 6/1/48 | 151,655 | 158,847 | ||||||
4.00%, 7/1/48 | 203,562 | 221,902 | ||||||
4.00%, 9/1/48 | 78,602 | 83,162 | ||||||
4.00%, 10/1/48 | 138,237 | 146,110 | ||||||
5.00%, 3/1/49 | 147,896 | 160,151 | ||||||
|
| |||||||
Total Federal Home Loan Mortgage Corporation |
| 5,492,822 | ||||||
Federal National Mortgage Association – 10.9% |
| |||||||
5.50%, 10/1/25 | 42,132 | 45,871 | ||||||
4.00%, 7/1/26 | 7,794 | 8,189 | ||||||
1.88%, 9/24/26 | 94,000 | 98,353 | ||||||
3.50%, 10/1/26 | 50,094 | 52,501 | ||||||
3.50%, 12/1/26 | 11,045 | 11,577 | ||||||
3.00%, 6/1/27 | 44,883 | 46,690 | ||||||
2.50%, 8/1/28 | 31,948 | 32,960 | ||||||
3.00%, 11/1/28 | 15,076 | 15,732 | ||||||
3.00%, 7/1/29 | 63,915 | 66,331 | ||||||
7.25%, 5/15/30 | 100,000 | 155,582 | ||||||
3.00%, 9/1/30 | 35,931 | 37,345 | ||||||
3.50%, 4/1/31 | 34,580 | 36,360 | ||||||
2.50%, 6/1/31 | 30,016 | 30,969 | ||||||
2.50%, 7/1/31 | 30,185 | 31,143 | ||||||
2.50%, 10/1/31 | 106,115 | 109,518 | ||||||
2.50%, 4/1/32 | 30,655 | 31,877 | ||||||
2.50%, 9/1/32 | 84,594 | 88,085 | ||||||
3.00%, 10/1/32 | 57,326 | 59,796 | ||||||
2.50%, 12/1/32 | 18,591 | 19,181 | ||||||
3.50%, 1/1/33 | 38,426 | 40,405 | ||||||
3.00%, 3/1/33 | 44,146 | 45,879 | ||||||
3.00%, 4/1/33 | 73,476 | 76,354 | ||||||
6.00%, 2/1/34 | 54,287 | 62,305 | ||||||
3.00%, 6/1/34 | 40,733 | 42,204 | ||||||
2.50%, 7/1/34 | 89,480 | 91,931 | ||||||
4.00%, 8/1/34 | 18,402 | 19,787 | ||||||
3.50%, 1/1/36 | 21,116 | 22,327 | ||||||
3.50%, 7/1/36 | 58,151 | 61,166 | ||||||
3.00%, 11/1/36 | 86,362 | 91,127 | ||||||
3.00%, 2/1/37 | 89,993 | 93,846 | ||||||
3.50%, 4/1/38 | 39,137 | 41,177 | ||||||
4.50%, 9/1/39 | 25,287 | 27,883 | ||||||
4.50%, 8/1/40 | 49,977 | 55,084 | ||||||
5.50%, 9/1/40 | 70,796 | 81,618 | ||||||
3.50%, 6/1/42 | 18,819 | 20,031 | ||||||
4.00%, 7/1/42 | 102,097 | 111,205 | ||||||
4.00%, 9/1/42 | 319,779 | 346,773 |
See Notes to Financial Statements.
50 | WisdomTree Trust |
Table of Contents
Schedule of Investments (unaudited) (continued)
WisdomTree Interest Rate Hedged U.S. Aggregate Bond Fund (AGZD)
February 29, 2020
Investments | Principal Amount | Value | ||||||
3.00%, 1/1/43 | $ | 94,427 | $ | 99,587 | ||||
3.00%, 4/1/43 | 104,601 | 109,478 | ||||||
3.50%, 5/1/43 | 27,115 | 28,860 | ||||||
3.00%, 6/1/43 | 109,537 | 115,794 | ||||||
4.00%, 6/1/43 | 11,152 | 12,116 | ||||||
3.00%, 8/1/43 | 203,574 | 214,462 | ||||||
3.50%, 8/1/43 | 230,211 | 245,075 | ||||||
4.00%, 11/1/43 | 22,438 | 24,299 | ||||||
3.00%, 2/1/44 | 82,663 | 86,512 | ||||||
4.00%, 2/1/44 | 138,532 | 150,298 | ||||||
4.50%, 2/1/44 | 161,478 | 182,033 | ||||||
4.50%, 5/1/44 | 17,684 | 19,314 | ||||||
4.00%, 9/1/44 | 88,035 | 95,378 | ||||||
4.00%, 10/1/44 | 148,096 | 160,448 | ||||||
3.50%, 2/1/45 | 154,471 | 164,339 | ||||||
5.00%, 2/1/45 | 76,454 | 84,764 | ||||||
3.50%, 3/1/45 | 96,944 | 102,575 | ||||||
3.50%, 4/1/45 | 99,746 | 106,320 | ||||||
3.50%, 6/1/45 | 155,963 | 166,585 | ||||||
4.00%, 8/1/45 | 164,351 | 177,458 | ||||||
3.50%, 12/1/45 | 331,234 | 350,474 | ||||||
3.00%, 1/1/46 | 159,139 | 166,552 | ||||||
3.50%, 1/1/46 | 116,330 | 123,040 | ||||||
3.50%, 2/1/46 | 62,712 | 66,352 | ||||||
3.50%, 4/1/46 | 26,046 | 27,542 | ||||||
4.00%, 4/1/46 | 22,725 | 24,427 | ||||||
3.00%, 5/1/46 | 129,326 | 135,325 | ||||||
3.50%, 5/1/46 | 202,246 | 213,298 | ||||||
4.50%, 5/1/46 | 111,132 | 121,364 | ||||||
4.00%, 7/1/46 | 65,729 | 70,525 | ||||||
3.00%, 9/1/46 | 107,163 | 111,972 | ||||||
3.00%, 10/1/46 | 72,574 | 75,843 | ||||||
4.00%, 10/1/46 | 31,977 | 34,265 | ||||||
2.50%, 11/1/46 | 20,259 | 20,805 | ||||||
3.00%, 11/1/46 | 209,319 | 219,062 | ||||||
3.50%, 11/1/46 | 35,542 | 37,606 | ||||||
3.00%, 1/1/47 | 77,380 | 80,771 | ||||||
3.00%, 2/1/47 | 39,729 | 41,491 | ||||||
4.00%, 2/1/47 | 32,119 | 34,331 | ||||||
3.50%, 3/1/47 | 17,020 | 17,932 | ||||||
4.00%, 3/1/47 | 35,260 | 37,668 | ||||||
4.00%, 5/1/47 | 100,538 | 107,351 | ||||||
4.00%, 8/1/47 | 104,021 | 111,863 | ||||||
3.50%, 11/1/47 | 304,737 | 320,361 | ||||||
4.50%, 11/1/47 | 61,143 | 66,512 | ||||||
3.00%, 12/1/47 | 169,692 | 177,273 | ||||||
3.50%, 12/1/47 | 115,760 | 122,059 | ||||||
3.00%, 1/1/48 | 41,507 | 42,977 | ||||||
3.50%, 1/1/48 | 131,248 | 138,205 | ||||||
4.00%, 7/1/48 | 36,795 | 38,948 | ||||||
4.50%, 7/1/48 | 126,511 | 135,641 | ||||||
4.00%, 8/1/48 | 200,597 | 211,972 | ||||||
4.50%, 9/1/48 | 59,415 | 63,568 | ||||||
4.00%, 3/1/49 | 153,282 | 161,484 | ||||||
5.50%, 4/1/49 | 60,575 | 66,154 | ||||||
4.00%, 6/1/49 | 120,591 | 127,177 | ||||||
3.00%, 8/1/49 | 108,015 | 111,364 | ||||||
3.50%, 9/1/49 | 507,407 | 528,504 | ||||||
2.50%, 1/1/50 | 173,905 | 177,521 | ||||||
|
| |||||||
Total Federal National Mortgage Association |
| 9,374,436 | ||||||
Government National Mortgage Association – 7.5% |
| |||||||
3.00%, 4/20/33 | 74,061 | 77,118 | ||||||
5.00%, 2/20/43 | 43,127 | 48,216 | ||||||
3.50%, 3/20/43 | 223,257 | 236,216 | ||||||
4.00%, 5/20/43 | 44,282 | 47,507 | ||||||
4.00%, 6/20/43 | 82,057 | 88,059 | ||||||
3.00%, 8/20/43 | 112,122 | 116,971 | ||||||
5.00%, 4/20/44 | 93,880 | 104,807 | ||||||
3.50%, 7/20/44 | �� | 143,572 | 151,332 | |||||
4.00%, 7/20/44 | 28,013 | 30,055 | ||||||
5.00%, 7/20/44 | 16,853 | 18,722 | ||||||
3.50%, 8/20/44 | 180,470 | 190,226 | ||||||
5.00%, 8/20/44 | 16,196 | 18,094 | ||||||
3.00%, 9/20/44 | 81,419 | 85,178 | ||||||
4.50%, 9/20/44 | 62,624 | 67,824 | ||||||
3.00%, 1/20/45 | 34,518 | 36,036 | ||||||
4.00%, 4/20/45 | 166,568 | 178,709 | ||||||
3.00%, 7/20/45 | 251,686 | 263,795 | ||||||
3.50%, 11/20/45 | 152,254 | 160,486 | ||||||
3.00%, 12/20/45 | 193,444 | 201,983 | ||||||
3.50%, 12/20/45 | 268,942 | 283,482 | ||||||
4.50%, 12/20/45 | 64,680 | 70,046 | ||||||
3.00%, 5/20/46 | 33,976 | 35,508 | ||||||
3.50%, 9/20/46 | 166,953 | 175,875 | ||||||
3.00%, 10/20/46 | 48,082 | 50,158 | ||||||
4.00%, 10/20/46 | 109,053 | 115,268 | ||||||
3.00%, 12/20/46 | 23,148 | 24,125 | ||||||
4.00%, 12/20/46 | 50,314 | 53,086 | ||||||
4.00%, 1/20/47 | 48,701 | 51,254 | ||||||
4.50%, 1/20/47 | 54,272 | 58,657 | ||||||
3.50%, 2/20/47 | 67,307 | 70,379 | ||||||
4.00%, 2/20/47 | 48,273 | 50,794 | ||||||
3.50%, 3/20/47 | 138,121 | 144,776 | ||||||
3.50%, 4/20/47 | 100,290 | 105,060 | ||||||
3.00%, 5/20/47 | 100,224 | 104,493 | ||||||
4.00%, 7/20/47 | 71,462 | 76,080 | ||||||
3.00%, 8/20/47 | 92,472 | 96,411 | ||||||
4.00%, 8/20/47 | 58,726 | 62,283 | ||||||
3.50%, 9/20/47 | 138,454 | 145,795 | ||||||
4.50%, 10/20/47 | 27,035 | 28,802 | ||||||
3.00%, 11/20/47 | 114,696 | 119,324 | ||||||
3.00%, 12/20/47 | 96,704 | 100,561 | ||||||
3.50%, 1/20/48 | 308,273 | 324,815 | ||||||
4.00%, 1/20/48 | 32,054 | 33,937 | ||||||
3.00%, 2/20/48 | 167,006 | 173,605 | ||||||
4.50%, 6/20/48 | 75,976 | 80,690 | ||||||
3.50%, 7/20/48 | 109,231 | 113,957 | ||||||
4.00%, 9/20/48 | 110,014 | 116,026 | ||||||
4.50%, 9/20/48 | 69,067 | 73,170 | ||||||
5.50%, 10/20/48 | 77,615 | 83,218 | ||||||
4.50%, 1/20/49 | 81,646 | 86,092 | ||||||
5.00%, 3/20/49 | 73,812 | 78,713 | ||||||
4.00%, 4/20/49 | 123,449 | 129,286 | ||||||
4.50%, 6/20/49 | 200,000 | 210,573 | ||||||
3.50%, 8/20/49 | 220,089 | 228,214 | ||||||
4.00%, 10/20/49 | 349,644 | 366,634 |
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 29, 2020
Investments | Principal Amount | Value | ||||||
2.50%, 3/1/50(a) | $ | 25,000 | $ | 25,669 | ||||
3.00%, 3/1/50(a) | 25,000 | 25,837 | ||||||
3.50%, 3/1/50(a) | 25,000 | 25,910 | ||||||
4.00%, 3/1/50(a) | 75,000 | 78,126 | ||||||
|
| |||||||
Total Government National Mortgage Association |
| 6,398,023 | ||||||
Uniform Mortgage-Backed Securities – 1.5% |
| |||||||
2.00%, 3/1/35(a) | 50,000 | 50,742 | ||||||
2.50%, 3/1/35(a) | 100,000 | 102,711 | ||||||
3.00%, 3/1/35(a) | 50,000 | 51,796 | ||||||
3.50%, 3/1/35(a) | 100,000 | 104,750 | ||||||
4.00%, 3/1/35(a) | 25,000 | 26,249 | ||||||
2.50%, 3/1/50(a) | 50,000 | 51,020 | ||||||
3.00%, 3/1/50(a) | 600,000 | 618,094 | ||||||
4.50%, 3/1/50(a) | 200,000 | 213,535 | ||||||
5.00%, 3/1/50(a) | 50,000 | 54,141 | ||||||
|
| |||||||
Total Uniform Mortgage-Backed Securities |
| 1,273,038 | ||||||
TOTAL U.S. GOVERNMENT AGENCIES (Cost: $22,213,626) |
| 23,250,421 | ||||||
U.S. GOVERNMENT OBLIGATIONS – 41.2% |
| |||||||
U.S. Treasury Bonds – 10.1% |
| |||||||
7.63%, 11/15/22 | 188,000 | 221,924 | ||||||
6.88%, 8/15/25 | 377,000 | 496,307 | ||||||
5.25%, 2/15/29 | 259,000 | 351,031 | ||||||
1.63%, 8/15/29 | 750,000 | 783,765 | ||||||
6.13%, 8/15/29 | 75,000 | 108,876 | ||||||
6.25%, 5/15/30 | 94,000 | 140,466 | ||||||
5.38%, 2/15/31 | 23,500 | 33,700 | ||||||
5.00%, 5/15/37 | 24,000 | 37,433 | ||||||
4.38%, 2/15/38 | 75,000 | 110,666 | ||||||
4.50%, 5/15/38 | 24,000 | 35,966 | ||||||
3.50%, 2/15/39 | 122,000 | 163,728 | ||||||
4.25%, 5/15/39 | 66,000 | 97,051 | ||||||
4.50%, 8/15/39 | 118,000 | 178,936 | ||||||
4.38%, 11/15/39 | 106,000 | 158,652 | ||||||
4.63%, 2/15/40 | 82,000 | 126,722 | ||||||
4.38%, 5/15/40 | 50,000 | 75,151 | ||||||
3.88%, 8/15/40 | 34,000 | 48,118 | ||||||
3.00%, 5/15/42 | 94,000 | 118,644 | ||||||
2.88%, 5/15/43 | 71,000 | 87,976 | ||||||
3.63%, 8/15/43 | 263,500 | 365,982 | ||||||
3.75%, 11/15/43 | 146,000 | 206,707 | ||||||
3.63%, 2/15/44 | 141,000 | 196,315 | ||||||
3.38%, 5/15/44 | 118,000 | 158,510 | ||||||
3.13%, 8/15/44 | 282,000 | 364,816 | ||||||
3.00%, 11/15/44 | 145,000 | 184,028 | ||||||
2.50%, 2/15/45 | 71,000 | 82,879 | ||||||
3.00%, 5/15/45 | 94,000 | 119,606 | ||||||
2.88%, 8/15/45 | 94,000 | 117,302 | ||||||
3.00%, 11/15/45 | 141,000 | 179,957 | ||||||
2.50%, 2/15/46 | 141,000 | 165,179 | ||||||
2.50%, 5/15/46 | 715,000 | 838,840 | ||||||
2.25%, 8/15/46 | 28,000 | 31,390 | ||||||
2.88%, 11/15/46 | 94,000 | 118,335 | ||||||
3.00%, 2/15/47 | 240,000 | 309,436 | ||||||
3.00%, 5/15/47 | 221,000 | 285,099 | ||||||
2.75%, 8/15/47 | 94,000 | 116,209 | ||||||
2.75%, 11/15/47 | 169,000 | 209,240 | ||||||
3.00%, 2/15/48 | 141,000 | 182,802 | ||||||
3.13%, 5/15/48 | 84,000 | 111,549 | ||||||
3.00%, 8/15/48 | 141,000 | 183,655 | ||||||
3.38%, 11/15/48 | 160,000 | 222,791 | ||||||
3.00%, 2/15/49 | 50,000 | 65,402 | ||||||
2.25%, 8/15/49 | 425,000 | 482,690 | ||||||
|
| |||||||
Total U.S. Treasury Bonds |
| 8,673,831 | ||||||
U.S. Treasury Notes – 31.1% |
| |||||||
1.25%, 3/31/21 | 200,000 | 200,422 | ||||||
2.25%, 3/31/21 | 200,000 | 202,566 | ||||||
2.38%, 4/15/21 | 200,000 | 202,937 | ||||||
1.38%, 4/30/21 | 376,000 | 377,307 | ||||||
2.25%, 4/30/21 | 506,000 | 513,125 | ||||||
2.63%, 5/15/21 | 393,000 | 400,430 | ||||||
1.38%, 5/31/21 | 188,000 | 188,808 | ||||||
2.00%, 5/31/21 | 282,000 | 285,371 | ||||||
2.13%, 5/31/21 | 200,000 | 202,727 | ||||||
2.63%, 6/15/21 | 282,000 | 287,805 | ||||||
1.13%, 6/30/21 | 452,000 | 452,644 | ||||||
1.63%, 6/30/21 | 200,000 | 201,648 | ||||||
2.13%, 6/30/21 | 200,000 | 203,000 | ||||||
1.13%, 7/31/21 | 188,000 | 188,382 | ||||||
2.25%, 7/31/21 | 200,000 | 203,574 | ||||||
2.13%, 8/15/21 | 94,100 | 95,666 | ||||||
1.13%, 8/31/21 | 254,000 | 254,585 | ||||||
1.13%, 9/30/21 | 71,000 | 71,186 | ||||||
2.13%, 9/30/21 | 282,000 | 287,210 | ||||||
1.25%, 10/31/21 | 99,000 | 99,518 | ||||||
2.00%, 10/31/21 | 89,000 | 90,559 | ||||||
2.00%, 11/15/21 | 113,000 | 115,053 | ||||||
1.38%, 1/31/22 | 200,000 | 201,836 | ||||||
1.50%, 1/31/22 | 188,000 | 190,141 | ||||||
1.88%, 1/31/22 | 188,000 | 191,466 | ||||||
2.00%, 2/15/22 | 200,000 | 204,289 | ||||||
2.50%, 2/15/22 | 200,000 | 206,184 | ||||||
1.75%, 2/28/22 | 200,000 | 203,375 | ||||||
1.88%, 2/28/22 | 200,000 | 203,844 | ||||||
2.38%, 3/15/22 | 200,000 | 206,012 | ||||||
1.75%, 4/30/22 | 250,000 | 254,614 | ||||||
1.88%, 4/30/22 | 250,000 | 255,273 | ||||||
1.75%, 5/15/22 | 278,000 | 283,305 | ||||||
1.75%, 6/30/22 | 500,000 | 510,039 | ||||||
1.88%, 7/31/22 | 500,000 | 511,855 | ||||||
1.63%, 8/15/22 | 184,000 | 187,364 | ||||||
1.63%, 8/31/22 | 188,000 | 191,474 | ||||||
1.88%, 8/31/22 | 188,000 | 192,616 | ||||||
1.75%, 9/30/22 | 188,000 | 192,208 | ||||||
1.88%, 9/30/22 | 188,000 | 192,817 | ||||||
1.38%, 10/15/22 | 150,000 | 151,934 | ||||||
1.63%, 11/15/22 | 491,000 | 500,753 | ||||||
1.50%, 1/15/23 | 500,000 | 508,818 | ||||||
1.75%, 1/31/23 | 282,000 | 289,105 | ||||||
2.38%, 1/31/23 | 282,000 | 294,123 | ||||||
1.38%, 2/15/23 | 200,000 | 202,941 | ||||||
1.50%, 3/31/23 | 212,000 | 216,016 | ||||||
2.50%, 3/31/23 | 565,000 | 592,897 | ||||||
2.75%, 4/30/23 | 188,000 | 198,939 | ||||||
1.75%, 5/15/23 | 706,000 | 725,263 |
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 29, 2020
Investments | Principal Amount | Value | ||||||
2.75%, 5/31/23 | $ | 188,000 | $ | 199,203 | ||||
1.38%, 6/30/23 | 127,000 | 129,041 | ||||||
1.25%, 7/31/23 | 94,000 | 95,155 | ||||||
2.50%, 8/15/23 | 188,000 | 198,292 | ||||||
1.38%, 9/30/23 | 188,000 | 191,158 | ||||||
1.63%, 10/31/23 | 94,000 | 96,490 | ||||||
2.25%, 12/31/23 | 376,000 | 395,130 | ||||||
2.25%, 1/31/24 | 104,000 | 109,389 | ||||||
2.75%, 2/15/24 | 132,000 | 141,475 | ||||||
2.13%, 2/29/24 | 329,000 | 344,717 | ||||||
2.13%, 3/31/24 | 612,000 | 641,907 | ||||||
2.00%, 4/30/24 | 541,000 | 565,081 | ||||||
2.50%, 5/15/24 | 282,000 | 300,490 | ||||||
2.00%, 5/31/24 | 235,000 | 245,644 | ||||||
2.38%, 8/15/24 | 329,000 | 349,980 | ||||||
1.25%, 8/31/24 | 900,000 | 913,254 | ||||||
1.50%, 9/30/24 | 150,000 | 153,937 | ||||||
1.50%, 10/31/24 | 300,000 | 307,998 | ||||||
2.25%, 10/31/24 | 250,000 | 265,171 | ||||||
2.25%, 11/15/24 | 419,000 | 444,590 | ||||||
2.13%, 11/30/24 | 321,000 | 338,912 | ||||||
2.25%, 12/31/24 | 349,000 | 370,833 | ||||||
2.50%, 1/31/25 | 99,000 | 106,504 | ||||||
2.00%, 2/15/25 | 485,000 | 510,188 | ||||||
2.75%, 2/28/25 | 99,000 | 107,794 | ||||||
2.63%, 3/31/25 | 250,000 | 270,928 | ||||||
2.88%, 4/30/25 | 188,000 | 206,301 | ||||||
2.13%, 5/15/25 | 282,000 | 298,925 | ||||||
2.88%, 5/31/25 | 400,000 | 439,453 | ||||||
2.75%, 6/30/25 | 350,000 | 382,573 | ||||||
2.00%, 8/15/25 | 254,000 | 267,985 | ||||||
2.25%, 11/15/25 | 282,000 | 301,900 | ||||||
1.63%, 2/15/26 | 300,000 | 310,934 | ||||||
1.50%, 8/15/26 | 682,000 | 702,274 | ||||||
2.25%, 2/15/27 | 94,000 | 101,654 | ||||||
2.38%, 5/15/27 | 235,000 | 256,760 | ||||||
2.25%, 8/15/27 | 207,000 | 224,842 | ||||||
2.25%, 11/15/27 | 58,000 | 63,117 | ||||||
2.75%, 2/15/28 | 183,000 | 206,561 | ||||||
2.88%, 5/15/28 | 235,000 | 268,203 | ||||||
2.88%, 8/15/28 | 337,000 | 385,668 | ||||||
3.13%, 11/15/28 | 191,000 | 223,116 | ||||||
2.63%, 2/15/29 | 400,000 | 451,742 | ||||||
2.38%, 5/15/29 | 50,000 | 55,499 | ||||||
1.75%, 11/15/29 | 150,000 | 158,520 | ||||||
2.88%, 5/15/49 | 200,000 | 256,152 | ||||||
2.38%, 11/15/49 | 100,000 | 116,643 | ||||||
|
| |||||||
Total U.S. Treasury Notes |
| 26,656,107 | ||||||
TOTAL U.S. GOVERNMENT OBLIGATIONS (Cost: $32,613,148) |
| 35,329,938 | ||||||
U.S. CORPORATE BONDS – 21.7% |
| |||||||
United States – 21.7% |
| |||||||
3M Co. | ||||||||
2.25%, 9/19/26(b) | 5,000 | 5,149 | ||||||
3.13%, 9/19/46 | 23,000 | 23,425 | ||||||
3.63%, 10/15/47 | 18,000 | 20,002 | ||||||
Abbott Laboratories | ||||||||
3.40%, 11/30/23 | 14,000 | 14,973 | ||||||
6.15%, 11/30/37 | 28,000 | 41,775 | ||||||
4.75%, 4/15/43 | 10,000 | 13,313 | ||||||
AbbVie, Inc. | ||||||||
3.60%, 5/14/25 | 57,000 | 61,525 | ||||||
4.70%, 5/14/45 | 48,000 | 56,885 | ||||||
Activision Blizzard, Inc. | ||||||||
2.30%, 9/15/21 | 5,000 | 5,053 | ||||||
2.60%, 6/15/22 | 23,000 | 23,574 | ||||||
Aetna, Inc. | ||||||||
4.75%, 3/15/44(b) | 18,000 | 21,093 | ||||||
3.88%, 8/15/47(b) | 43,000 | 45,531 | ||||||
Air Lease Corp. | ||||||||
3.38%, 6/1/21 | 34,000 | 34,724 | ||||||
2.63%, 7/1/22 | 5,000 | 5,068 | ||||||
3.88%, 7/3/23 | 5,000 | 5,282 | ||||||
4.25%, 9/15/24 | 5,000 | 5,375 | ||||||
3.63%, 4/1/27(b) | 23,000 | 24,414 | ||||||
3.63%, 12/1/27 | 94,000 | 100,284 | ||||||
Aircastle Ltd. | 5,000 | 5,445 | ||||||
Alexandria Real Estate Equities, Inc. | ||||||||
3.90%, 6/15/23 | 94,000 | 100,232 | ||||||
4.00%, 1/15/24(b) | 5,000 | 5,460 | ||||||
3.45%, 4/30/25 | 18,000 | 19,501 | ||||||
Allergan Funding SCS | ||||||||
3.45%, 3/15/22 | 23,000 | 23,836 | ||||||
4.55%, 3/15/35 | 10,000 | 11,977 | ||||||
4.75%, 3/15/45 | 5,000 | 6,094 | ||||||
Allstate Corp. (The) | 18,000 | 19,587 | ||||||
Altria Group, Inc. | ||||||||
2.85%, 8/9/22 | 71,000 | 72,995 | ||||||
4.80%, 2/14/29 | 25,000 | 28,590 | ||||||
5.38%, 1/31/44 | 48,000 | 56,672 | ||||||
Amazon.com, Inc. | ||||||||
4.05%, 8/22/47 | 23,000 | 29,635 | ||||||
4.25%, 8/22/57 | 117,000 | 157,339 | ||||||
Ameren Illinois Co. | 48,000 | 55,231 | ||||||
American Express Co. | ||||||||
3.63%, 12/5/24(b) | 94,000 | 102,410 | ||||||
4.05%, 12/3/42 | 18,000 | 22,776 | ||||||
American Express Credit Corp. | ||||||||
2.70%, 3/3/22 | 94,000 | 96,318 | ||||||
3.30%, 5/3/27(b) | 10,000 | 10,986 | ||||||
American Honda Finance Corp. | ||||||||
1.70%, 9/9/21 | 23,000 | 23,127 | ||||||
3.38%, 12/10/21 | 18,000 | 18,670 | ||||||
2.90%, 2/16/24 | 5,000 | 5,258 | ||||||
2.30%, 9/9/26 | 5,000 | 5,198 | ||||||
American International Group, Inc. | ||||||||
4.88%, 6/1/22(b) | 5,000 | 5,331 | ||||||
4.70%, 7/10/35 | 5,000 | 6,163 | ||||||
4.75%, 4/1/48(b) | 28,000 | 35,919 | ||||||
American Tower Corp. | 33,000 | 35,681 |
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 29, 2020
Investments | Principal Amount | Value | ||||||
American Water Capital Corp. | ||||||||
2.95%, 9/1/27(b) | $ | 29,000 | $ | 30,815 | ||||
3.75%, 9/1/47 | 5,000 | 5,704 | ||||||
AmerisourceBergen Corp. | 18,000 | 19,150 | ||||||
Amgen, Inc. | ||||||||
2.25%, 8/19/23(b) | 5,000 | 5,104 | ||||||
4.66%, 6/15/51 | 82,000 | 101,682 | ||||||
Anthem, Inc. | ||||||||
3.50%, 8/15/24 | 5,000 | 5,346 | ||||||
6.38%, 6/15/37(b) | 18,000 | 24,912 | ||||||
4.65%, 1/15/43 | 65,000 | 76,307 | ||||||
Apple, Inc. | ||||||||
2.40%, 5/3/23 | 18,000 | 18,595 | ||||||
3.00%, 2/9/24 | 18,000 | 19,094 | ||||||
2.85%, 5/11/24 | 48,000 | 50,706 | ||||||
3.00%, 6/20/27 | 23,000 | 24,929 | ||||||
2.20%, 9/11/29 | 75,000 | 76,779 | ||||||
4.45%, 5/6/44(b) | 18,000 | 23,238 | ||||||
4.38%, 5/13/45 | 18,000 | 23,023 | ||||||
3.75%, 11/13/47 | 23,000 | 27,259 | ||||||
Aptiv Corp. | 5,000 | 5,457 | ||||||
Archer-Daniels-Midland Co. | ||||||||
3.38%, 3/15/22 | 94,000 | 97,842 | ||||||
4.02%, 4/16/43 | 24,000 | 29,478 | ||||||
Ares Capital Corp. | 18,000 | 19,306 | ||||||
Ascension Health | 24,000 | 34,432 | ||||||
Assurant, Inc. | ||||||||
4.00%, 3/15/23 | 18,000 | 19,163 | ||||||
4.20%, 9/27/23(b) | 18,000 | 19,385 | ||||||
AT&T, Inc. | ||||||||
4.45%, 5/15/21(b) | 23,000 | 23,761 | ||||||
3.00%, 2/15/22 | 23,000 | 23,634 | ||||||
3.20%, 3/1/22 | 48,000 | 49,525 | ||||||
3.55%, 6/1/24 | 19,000 | 20,282 | ||||||
3.80%, 2/15/27 | 74,000 | 81,196 | ||||||
4.30%, 2/15/30 | 50,000 | 57,277 | ||||||
5.38%, 10/15/41 | 5,000 | 6,199 | ||||||
4.30%, 12/15/42(b) | 50,000 | 56,191 | ||||||
5.35%, 12/15/43(b) | 24,000 | 29,747 | ||||||
4.35%, 6/15/45 | 96,000 | 108,366 | ||||||
4.75%, 5/15/46 | 10,000 | 11,747 | ||||||
5.45%, 3/1/47 | 10,000 | 13,012 | ||||||
AutoNation, Inc. | ||||||||
3.50%, 11/15/24 | 18,000 | 19,072 | ||||||
4.50%, 10/1/25(b) | 18,000 | 20,150 | ||||||
AutoZone, Inc. | 18,000 | 19,360 | ||||||
AXIS Specialty Finance LLC | 50,000 | 55,572 | ||||||
Baker Hughes a GE Co. LLC | 48,000 | 50,470 | ||||||
Bank of America Corp. | ||||||||
3.50%, 5/17/22, (3.499% fixed rate until 5/17/21; 3-month U.S. dollar London Interbank Offered Rate + 0.63% thereafter)(c) | 10,000 | 10,229 | ||||||
3.00%, 12/20/23, (3.004% fixed rate until 12/20/22; 3-month U.S. dollar London Interbank Offered Rate + 0.79% thereafter)(c) | 155,000 | 160,687 | ||||||
4.13%, 1/22/24 | 48,000 | 52,021 | ||||||
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)(c) | 10,000 | 10,529 | ||||||
4.20%, 8/26/24 | 48,000 | 52,514 | ||||||
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)(c) | 94,000 | 101,664 | ||||||
7.75%, 5/14/38 | 100,000 | 162,024 | ||||||
5.88%, 2/7/42 | 10,000 | 14,728 | ||||||
5.00%, 1/21/44 | 10,000 | 13,568 | ||||||
4.75%, 4/21/45, Series L | 10,000 | 12,914 | ||||||
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)(c) | 18,000 | 21,780 | ||||||
BankUnited, Inc. | 18,000 | 20,579 | ||||||
Baylor Scott & White Holdings | 24,000 | 29,993 | ||||||
Becton Dickinson and Co. | 19,000 | 19,489 | ||||||
Bemis Co., Inc. | 5,000 | 5,191 | ||||||
Berkshire Hathaway Energy Co. | ||||||||
3.25%, 4/15/28(b) | 23,000 | 25,174 | ||||||
3.80%, 7/15/48 | 25,000 | 28,724 | ||||||
Berkshire Hathaway Finance Corp. | 20,000 | 24,473 | ||||||
Berkshire Hathaway, Inc. | 5,000 | 5,178 | ||||||
BlackRock, Inc. | 18,000 | 19,441 | ||||||
Boardwalk Pipelines L.P. | ||||||||
4.95%, 12/15/24 | 5,000 | 5,475 | ||||||
4.45%, 7/15/27 | 18,000 | 18,903 | ||||||
Boeing Co. (The) | ||||||||
2.25%, 6/15/26 | 5,000 | 5,026 | ||||||
5.88%, 2/15/40 | 10,000 | 13,437 | ||||||
Boston Properties L.P. | ||||||||
3.85%, 2/1/23 | 5,000 | 5,314 | ||||||
3.13%, 9/1/23 | 19,000 | 20,028 | ||||||
3.65%, 2/1/26 | 5,000 | 5,488 | ||||||
2.75%, 10/1/26 | 24,000 | 25,419 | ||||||
BP Capital Markets America, Inc. | ||||||||
2.75%, 5/10/23 | 28,000 | 29,095 | ||||||
3.12%, 5/4/26 | 5,000 | 5,344 | ||||||
Bristol-Myers Squibb Co. | ||||||||
4.00%, 8/15/23(d) | 18,000 | 19,532 | ||||||
3.45%, 11/15/27(d) | 28,000 | 31,196 | ||||||
3.40%, 7/26/29(d) | 50,000 | 56,133 | ||||||
4.25%, 10/26/49(d) | 50,000 | 64,268 |
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 29, 2020
Investments | Principal Amount | Value | ||||||
Brixmor Operating Partnership L.P. | $ | 5,000 | $ | 5,378 | ||||
Broadcom Corp. | ||||||||
3.63%, 1/15/24 | 109,000 | 114,484 | ||||||
3.13%, 1/15/25 | 5,000 | 5,171 | ||||||
3.88%, 1/15/27 | 23,000 | 24,057 | ||||||
3.50%, 1/15/28 | 5,000 | 5,149 | ||||||
Burlington Northern Santa Fe LLC | ||||||||
3.00%, 4/1/25 | 18,000 | 19,279 | ||||||
7.00%, 12/15/25(b) | 47,000 | 60,597 | ||||||
6.15%, 5/1/37 | 10,000 | 14,537 | ||||||
5.15%, 9/1/43 | 48,000 | 65,007 | ||||||
3.90%, 8/1/46 | 5,000 | 5,884 | ||||||
Burlington Resources LLC | 14,000 | 20,239 | ||||||
Capital One Financial Corp. | ||||||||
3.45%, 4/30/21 | 23,000 | 23,449 | ||||||
4.75%, 7/15/21 | 5,000 | 5,213 | ||||||
3.50%, 6/15/23 | 28,000 | 29,677 | ||||||
Carlisle Cos., Inc. | 18,000 | 19,859 | ||||||
Caterpillar Financial Services Corp. | ||||||||
3.15%, 9/7/21(b) | 5,000 | 5,139 | ||||||
2.85%, 6/1/22 | 5,000 | 5,156 | ||||||
2.40%, 6/6/22(b) | 5,000 | 5,111 | ||||||
3.75%, 11/24/23 | 33,000 | 35,877 | ||||||
Cboe Global Markets, Inc. | 5,000 | 5,555 | ||||||
CBRE Services, Inc. | 5,000 | 5,750 | ||||||
Celanese U.S. Holdings LLC | 5,000 | 5,262 | ||||||
Celgene Corp. | 3,000 | 3,221 | ||||||
CenterPoint Energy Resources Corp. | ||||||||
3.55%, 4/1/23 | 9,000 | 9,515 | ||||||
4.10%, 9/1/47(b) | 5,000 | 5,881 | ||||||
CenterPoint Energy, Inc. | 18,000 | 19,492 | ||||||
Charter Communications Operating LLC | ||||||||
4.50%, 2/1/24 | 18,000 | 19,663 | ||||||
5.05%, 3/30/29 | 50,000 | 57,997 | ||||||
6.38%, 10/23/35 | 5,000 | 6,611 | ||||||
6.83%, 10/23/55(b) | 23,000 | 31,159 | ||||||
Chubb INA Holdings, Inc. | ||||||||
2.70%, 3/13/23 | 68,000 | 70,720 | ||||||
3.15%, 3/15/25(b) | 18,000 | 19,459 | ||||||
Church & Dwight Co., Inc. | 5,000 | 5,180 | ||||||
Cigna Corp. | ||||||||
4.75%, 11/15/21(d) | 5,000 | 5,260 | ||||||
3.40%, 3/1/27(d) | 10,000 | 10,708 | ||||||
6.13%, 11/15/41(d) | 94,000 | 128,472 | ||||||
3.88%, 10/15/47(d) | 5,000 | 5,303 | ||||||
Cintas Corp. No. 2 | ||||||||
2.90%, 4/1/22 | 5,000 | 5,127 | ||||||
3.25%, 6/1/22 | 28,000 | 28,924 | ||||||
3.70%, 4/1/27 | 23,000 | 25,959 | ||||||
Cisco Systems, Inc. | ||||||||
1.85%, 9/20/21 | 10,000 | 10,074 | ||||||
3.00%, 6/15/22 | 5,000 | 5,212 | ||||||
2.60%, 2/28/23(b) | 5,000 | 5,194 | ||||||
5.90%, 2/15/39 | 15,000 | 22,341 | ||||||
Citigroup, Inc. | ||||||||
2.70%, 3/30/21 | 94,000 | 95,003 | ||||||
3.30%, 4/27/25(b) | 9,000 | 9,637 | ||||||
5.50%, 9/13/25 | 75,000 | 88,017 | ||||||
3.70%, 1/12/26 | 9,000 | 9,871 | ||||||
4.45%, 9/29/27(b) | 89,000 | 100,587 | ||||||
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)(c) | 74,000 | 80,646 | ||||||
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)(b)(c) | 50,000 | 56,650 | ||||||
6.63%, 6/15/32 | 5,000 | 7,014 | ||||||
6.68%, 9/13/43(b) | 19,000 | 29,395 | ||||||
Cleco Corporate Holdings LLC | 23,000 | 24,861 | ||||||
CME Group, Inc. | ||||||||
3.00%, 3/15/25 | 5,000 | 5,328 | ||||||
5.30%, 9/15/43 | 5,000 | 7,191 | ||||||
4.15%, 6/15/48(b) | 5,000 | 6,495 | ||||||
CNH Industrial Capital LLC | 5,000 | 5,253 | ||||||
Comcast Cable Communications Holdings, Inc. | 5,000 | 6,074 | ||||||
Comcast Corp. | ||||||||
3.13%, 7/15/22 | 5,000 | 5,213 | ||||||
3.70%, 4/15/24 | 23,000 | 24,998 | ||||||
3.30%, 2/1/27 | 23,000 | 25,029 | ||||||
3.55%, 5/1/28 | 236,000 | 262,705 | ||||||
6.45%, 3/15/37 | 27,000 | 39,821 | ||||||
3.40%, 7/15/46 | 10,000 | 10,774 | ||||||
3.97%, 11/1/47 | 28,000 | 32,993 | ||||||
4.05%, 11/1/52 | 28,000 | 33,406 | ||||||
4.95%, 10/15/58(b) | 28,000 | 38,471 | ||||||
CommonSpirit Health | 27,000 | 28,704 | ||||||
Commonwealth Edison Co. | 15,000 | 19,304 | ||||||
Conagra Brands, Inc. | 19,000 | 24,651 | ||||||
Concho Resources, Inc. | 23,000 | 23,927 | ||||||
Connecticut Light & Power Co. (The) | 15,000 | 19,167 | ||||||
ConocoPhillips | 18,000 | 26,678 | ||||||
Consolidated Edison Co. of New York, Inc. | 18,000 | 21,072 | ||||||
Constellation Brands, Inc. | ||||||||
3.15%, 8/1/29(b) | 50,000 | 52,571 | ||||||
5.25%, 11/15/48 | 94,000 | 122,781 |
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 29, 2020
Investments | Principal Amount | Value | ||||||
Continental Resources, Inc. | $ | 5,000 | $ | 5,241 | ||||
Corning, Inc. | 18,000 | 22,118 | ||||||
Costco Wholesale Corp. | ||||||||
2.30%, 5/18/22 | 5,000 | 5,124 | ||||||
3.00%, 5/18/27(b) | 5,000 | 5,443 | ||||||
Crown Castle International Corp. | ||||||||
5.25%, 1/15/23 | 101,000 | 110,877 | ||||||
3.15%, 7/15/23 | 18,000 | 18,779 | ||||||
CSX Corp. | 18,000 | 22,361 | ||||||
CVS Health Corp. | ||||||||
4.00%, 12/5/23 | 48,000 | 51,576 | ||||||
6.25%, 6/1/27 | 48,000 | 59,150 | ||||||
3.25%, 8/15/29(b) | 25,000 | 26,374 | ||||||
4.88%, 7/20/35 | 48,000 | 58,095 | ||||||
5.30%, 12/5/43(b) | 48,000 | 59,442 | ||||||
5.05%, 3/25/48 | 10,000 | 12,314 | ||||||
Darden Restaurants, Inc. | 18,000 | 19,745 | ||||||
Dell International LLC | ||||||||
4.42%, 6/15/21(d) | 15,000 | 15,458 | ||||||
8.35%, 7/15/46(d) | 23,000 | 31,381 | ||||||
Digital Realty Trust L.P. | 19,000 | 19,944 | ||||||
Discovery Communications LLC | ||||||||
4.38%, 6/15/21 | 5,000 | 5,171 | ||||||
4.88%, 4/1/43(b) | 23,000 | 26,021 | ||||||
5.20%, 9/20/47 | 10,000 | 11,807 | ||||||
Dominion Energy South Carolina, Inc. | 34,000 | 49,054 | ||||||
Dominion Energy, Inc. | ||||||||
3.90%, 10/1/25 | 5,000 | 5,525 | ||||||
5.95%, 6/15/35, Series B(b) | 5,000 | 6,756 | ||||||
4.60%, 3/15/49, Series A | 50,000 | 62,540 | ||||||
Dover Corp. | 23,000 | 24,866 | ||||||
Dow Chemical Co. (The) | ||||||||
3.00%, 11/15/22(b) | 5,000 | 5,219 | ||||||
7.38%, 11/1/29 | 5,000 | 6,875 | ||||||
4.25%, 10/1/34 | 23,000 | 25,665 | ||||||
9.40%, 5/15/39(b) | 5,000 | 8,540 | ||||||
4.38%, 11/15/42 | 5,000 | 5,538 | ||||||
DR Horton, Inc. | 18,000 | 19,104 | ||||||
Duke Energy Carolinas LLC | 48,000 | 55,032 | ||||||
Duke Energy Corp. | 23,000 | 24,691 | ||||||
Duke Energy Florida LLC | 43,500 | 65,670 | ||||||
Duke Energy Ohio, Inc. | 18,000 | 19,252 | ||||||
DXC Technology Co. | 10,000 | 11,006 | ||||||
Eagle Materials, Inc. | 15,000 | 15,388 | ||||||
Eastman Chemical Co. | ||||||||
3.50%, 12/1/21 | 18,000 | 18,628 | ||||||
4.80%, 9/1/42 | 23,000 | 27,177 | ||||||
Eaton Vance Corp. | 18,000 | 19,593 | ||||||
Ecolab, Inc. | ||||||||
3.25%, 1/14/23 | 18,000 | 18,934 | ||||||
2.70%, 11/1/26 | 5,000 | 5,356 | ||||||
Emerson Electric Co. | 5,000 | 5,182 | ||||||
Enable Midstream Partners L.P. | 23,000 | 23,470 | ||||||
Enbridge Energy Partners L.P. | 5,000 | 5,989 | ||||||
Energy Transfer Operating L.P. | ||||||||
4.65%, 6/1/21 | 94,000 | 96,980 | ||||||
4.20%, 9/15/23, Series 5Y | 5,000 | 5,363 | ||||||
4.90%, 3/15/35 | 88,000 | 96,373 | ||||||
6.63%, 10/15/36(b) | 19,000 | 22,874 | ||||||
Entergy Louisiana LLC | 5,000 | 6,051 | ||||||
Enterprise Products Operating LLC | ||||||||
3.35%, 3/15/23 | 82,000 | 85,646 | ||||||
6.88%, 3/1/33, Series D | 19,000 | 26,946 | ||||||
4.25%, 2/15/48 | 94,000 | 100,778 | ||||||
Equitable Holdings, Inc. | 48,000 | 54,047 | ||||||
ERP Operating L.P. | 50,000 | 54,011 | ||||||
Exelon Corp. | 33,000 | 42,733 | ||||||
Expedia Group, Inc. | 5,000 | 5,145 | ||||||
Exxon Mobil Corp. | ||||||||
3.04%, 3/1/26 | 23,000 | 24,692 | ||||||
3.57%, 3/6/45 | 23,000 | 25,552 | ||||||
FedEx Corp. | ||||||||
4.00%, 1/15/24 | 5,000 | 5,413 | ||||||
3.20%, 2/1/25 | 18,000 | 19,157 | ||||||
4.20%, 10/17/28(b) | 18,000 | 20,128 | ||||||
3.90%, 2/1/35 | 94,000 | 102,369 | ||||||
3.88%, 8/1/42 | 5,000 | 5,062 | ||||||
4.75%, 11/15/45 | 5,000 | 5,654 | ||||||
4.40%, 1/15/47 | 18,000 | 19,143 | ||||||
Fidelity National Information Services, Inc. | 23,000 | 24,360 | ||||||
Fifth Third Bancorp | 20,000 | 33,371 | ||||||
FirstEnergy Corp. | ||||||||
3.90%, 7/15/27, Series B | 18,000 | 19,960 | ||||||
7.38%, 11/15/31, Series C | 5,000 | 7,310 | ||||||
Flex Ltd. | 5,000 | 5,434 | ||||||
Florida Power & Light Co. | ||||||||
3.70%, 12/1/47 | 5,000 | 5,816 | ||||||
4.13%, 6/1/48(b) | 28,000 | 35,759 |
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 29, 2020
Investments | Principal Amount | Value | ||||||
Ford Motor Co. | ||||||||
6.63%, 10/1/28(b) | $ | 5,000 | $ | 5,766 | ||||
7.45%, 7/16/31 | 50,000 | 56,788 | ||||||
4.75%, 1/15/43 | 25,000 | 21,544 | ||||||
General Dynamics Corp. | ||||||||
2.13%, 8/15/26 | 18,000 | 18,530 | ||||||
3.75%, 5/15/28 | 23,000 | 26,137 | ||||||
General Electric Co. | ||||||||
4.65%, 10/17/21 | 51,000 | 53,203 | ||||||
6.75%, 3/15/32, Series A | 28,000 | 38,126 | ||||||
6.15%, 8/7/37 | 24,000 | 31,554 | ||||||
5.88%, 1/14/38 | 74,000 | 96,341 | ||||||
General Mills, Inc. | 28,000 | 33,692 | ||||||
General Motors Co. | 71,000 | 74,598 | ||||||
General Motors Financial Co., Inc. | ||||||||
3.55%, 4/9/21(b) | 5,000 | 5,082 | ||||||
3.45%, 4/10/22 | 5,000 | 5,129 | ||||||
3.15%, 6/30/22 | 5,000 | 5,119 | ||||||
4.00%, 1/15/25 | 76,000 | 80,640 | ||||||
4.30%, 7/13/25 | 5,000 | 5,316 | ||||||
4.35%, 1/17/27(b) | 5,000 | 5,377 | ||||||
George Washington University (The) | 26,000 | 33,360 | ||||||
Georgia Power Co. | 47,000 | 56,149 | ||||||
Georgia-Pacific LLC | 5,000 | 7,450 | ||||||
Gilead Sciences, Inc. | ||||||||
3.50%, 2/1/25 | 5,000 | 5,421 | ||||||
3.65%, 3/1/26 | 94,000 | 103,452 | ||||||
5.65%, 12/1/41 | 38,000 | 54,054 | ||||||
4.50%, 2/1/45 | 18,000 | 22,146 | ||||||
Global Payments, Inc. | 23,000 | 24,376 | ||||||
GLP Capital L.P. | ||||||||
5.38%, 11/1/23 | 18,000 | 19,682 | ||||||
5.75%, 6/1/28 | 18,000 | 21,143 | ||||||
Goldman Sachs Capital I | 19,000 | 26,480 | ||||||
Goldman Sachs Group, Inc. (The) | ||||||||
5.25%, 7/27/21 | 28,000 | 29,390 | ||||||
3.00%, 4/26/22(b) | 10,000 | 10,166 | ||||||
3.63%, 1/22/23 | 28,000 | 29,549 | ||||||
3.20%, 2/23/23 | 28,000 | 29,264 | ||||||
3.75%, 2/25/26 | 5,000 | 5,471 | ||||||
5.95%, 1/15/27 | 23,000 | 28,210 | ||||||
3.85%, 1/26/27 | 23,000 | 25,282 | ||||||
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)(b)(c) | 23,000 | 25,175 | ||||||
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)(c) | 71,000 | 78,370 | ||||||
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)(b)(c) | 50,000 | 56,755 | ||||||
6.13%, 2/15/33 | 9,000 | 12,472 | ||||||
5.15%, 5/22/45 | 18,000 | 23,203 | ||||||
Halliburton Co. | 18,000 | 24,831 | ||||||
HCA, Inc. | 50,000 | 54,927 | ||||||
Healthcare Trust of America Holdings L.P. | 5,000 | 5,527 | ||||||
Healthpeak Properties, Inc. | ||||||||
3.15%, 8/1/22 | 28,000 | 28,969 | ||||||
3.88%, 8/15/24(b) | 5,000 | 5,446 | ||||||
Hershey Co. (The) | 23,000 | 24,155 | ||||||
Hess Corp. | 23,000 | 25,721 | ||||||
Hewlett Packard Enterprise Co. | ||||||||
4.40%, 10/15/22 | 48,000 | 51,194 | ||||||
6.20%, 10/15/35 | 23,000 | 28,806 | ||||||
Home Depot, Inc. (The) | ||||||||
3.25%, 3/1/22 | 94,000 | 97,589 | ||||||
2.80%, 9/14/27 | 23,000 | 24,527 | ||||||
5.88%, 12/16/36 | 15,000 | 21,684 | ||||||
Honeywell International, Inc. | 10,000 | 10,645 | ||||||
HP, Inc. | 76,000 | 78,152 | ||||||
Hubbell, Inc. | 23,000 | 24,390 | ||||||
Hudson Pacific Properties L.P. | 5,000 | 5,541 | ||||||
Humana, Inc. | 23,000 | 28,121 | ||||||
Hyatt Hotels Corp. | 48,000 | 50,511 | ||||||
Illinois Tool Works, Inc. | 5,000 | 5,384 | ||||||
Intel Corp. | ||||||||
3.30%, 10/1/21(b) | 10,000 | 10,319 | ||||||
4.10%, 5/11/47 | 18,000 | 22,008 | ||||||
Intercontinental Exchange, Inc. | ||||||||
3.75%, 12/1/25 | 5,000 | 5,522 | ||||||
3.10%, 9/15/27(b) | 5,000 | 5,423 | ||||||
International Business Machines Corp. | ||||||||
6.22%, 8/1/27(b) | 34,000 | 43,960 | ||||||
5.88%, 11/29/32 | 24,000 | 33,245 | ||||||
4.00%, 6/20/42(b) | 50,000 | 59,477 | ||||||
International Flavors & Fragrances, Inc. | 5,000 | 5,893 | ||||||
International Lease Finance Corp. | 76,000 | 82,957 | ||||||
International Paper Co. | ||||||||
3.80%, 1/15/26 | 5,000 | 5,554 | ||||||
7.30%, 11/15/39(b) | 5,000 | 7,408 | ||||||
4.80%, 6/15/44 | 5,000 | 5,751 | ||||||
4.35%, 8/15/48 | 10,000 | 11,383 |
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 29, 2020
Investments | Principal Amount | Value | ||||||
Invesco Finance PLC | $ | 18,000 | $ | 19,702 | ||||
ITC Holdings Corp. | 15,000 | 20,346 | ||||||
Jabil, Inc. | 5,000 | 5,362 | ||||||
Jefferies Group LLC | 25,000 | 30,217 | ||||||
John Deere Capital Corp. | ||||||||
2.80%, 3/6/23(b) | 24,000 | 25,099 | ||||||
3.45%, 6/7/23(b) | 5,000 | 5,336 | ||||||
2.80%, 9/8/27(b) | 69,000 | 74,452 | ||||||
Johnson & Johnson | ||||||||
2.63%, 1/15/25 | 48,000 | 50,814 | ||||||
4.50%, 9/1/40 | 19,000 | 25,188 | ||||||
Johnson Controls International PLC | 18,000 | 23,821 | ||||||
JPMorgan Chase & Co. | ||||||||
4.63%, 5/10/21 | 10,000 | 10,373 | ||||||
4.50%, 1/24/22 | 104,000 | 109,643 | ||||||
3.20%, 1/25/23 | 142,000 | 148,941 | ||||||
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)(c) | 5,000 | 5,290 | ||||||
3.30%, 4/1/26 | 10,000 | 10,893 | ||||||
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)(c) | 50,000 | 54,738 | ||||||
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)(c) | 23,000 | 25,140 | ||||||
5.50%, 10/15/40 | 35,000 | 48,605 | ||||||
5.63%, 8/16/43(b) | 68,000 | 95,786 | ||||||
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)(c) | 48,000 | 57,257 | ||||||
Kaiser Foundation Hospitals | ||||||||
3.15%, 5/1/27(b) | 24,000 | 26,216 | ||||||
4.15%, 5/1/47 | 9,000 | 11,383 | ||||||
Keurig Dr. Pepper, Inc. | ||||||||
2.55%, 9/15/26(b) | 23,000 | 23,524 | ||||||
4.42%, 12/15/46 | 23,000 | 26,927 | ||||||
KeyCorp | 19,000 | 21,371 | ||||||
Kimco Realty Corp. | ||||||||
3.30%, 2/1/25(b) | 18,000 | 19,308 | ||||||
2.80%, 10/1/26(b) | 5,000 | 5,251 | ||||||
Kinder Morgan Energy Partners L.P. | ||||||||
3.45%, 2/15/23 | 5,000 | 5,219 | ||||||
3.50%, 9/1/23 | 5,000 | 5,227 | ||||||
5.50%, 3/1/44 | 93,000 | 111,177 | ||||||
5.40%, 9/1/44 | 69,000 | 80,105 | ||||||
Kinder Morgan, Inc. | 5,000 | 7,293 | ||||||
KLA Corp. | 5,000 | 5,200 | ||||||
Kroger Co. (The) | ||||||||
3.70%, 8/1/27(b) | 18,000 | 20,047 | ||||||
5.15%, 8/1/43 | 18,000 | 22,586 | ||||||
Laboratory Corp. of America Holdings | 71,000 | 73,019 | ||||||
Lam Research Corp. | 5,000 | 5,082 | ||||||
Legg Mason, Inc. | 5,000 | 6,874 | ||||||
Lincoln National Corp. | 5,000 | 5,608 | ||||||
Lockheed Martin Corp. | ||||||||
6.15%, 9/1/36, Series B(b) | 39,000 | 56,593 | ||||||
4.09%, 9/15/52 | 24,000 | 30,898 | ||||||
Loews Corp. | 18,000 | 20,088 | ||||||
Lowe’s Cos., Inc. | ||||||||
3.80%, 11/15/21 | 5,000 | 5,183 | ||||||
3.12%, 4/15/22 | 5,000 | 5,147 | ||||||
2.50%, 4/15/26 | 5,000 | 5,176 | ||||||
4.05%, 5/3/47(b) | 15,000 | 16,912 | ||||||
Lubrizol Corp. (The) | 14,000 | 21,216 | ||||||
LYB International Finance B.V. | 5,000 | 5,863 | ||||||
LYB International Finance II B.V. | 23,000 | 24,988 | ||||||
LyondellBasell Industries N.V. | 20,000 | 22,386 | ||||||
Macy’s Retail Holdings, Inc. | 5,000 | 5,078 | ||||||
Marathon Oil Corp. | ||||||||
2.80%, 11/1/22 | 24,000 | 24,418 | ||||||
3.85%, 6/1/25 | 5,000 | 5,288 | ||||||
6.80%, 3/15/32 | 5,000 | 6,274 | ||||||
Marathon Petroleum Corp. | 18,000 | 18,186 | ||||||
Marriott International, Inc. | 5,000 | 5,104 | ||||||
Marsh & McLennan Cos., Inc. | ||||||||
3.30%, 3/14/23 | 18,000 | 18,878 | ||||||
4.20%, 3/1/48(b) | 5,000 | 6,002 | ||||||
Martin Marietta Materials, Inc. | 5,000 | 5,490 | ||||||
Marvell Technology Group Ltd. | 5,000 | 5,355 | ||||||
Massachusetts Institute of Technology | 19,000 | 25,528 | ||||||
McCormick & Co., Inc. | 5,000 | 5,143 | ||||||
McDonald’s Corp. | ||||||||
3.38%, 5/26/25(b) | 5,000 | 5,403 | ||||||
6.30%, 10/15/37 | 19,000 | 27,640 | ||||||
3.70%, 2/15/42 | 19,000 | 20,739 | ||||||
3.63%, 9/1/49 | 25,000 | 27,295 | ||||||
McKesson Corp. | 5,000 | 5,536 |
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 29, 2020
Investments | Principal Amount | Value | ||||||
Merck & Co., Inc. | ||||||||
2.35%, 2/10/22(b) | $ | 51,000 | $ | 51,834 | ||||
2.40%, 9/15/22 | 5,000 | 5,105 | ||||||
MetLife, Inc. | 94,000 | 103,685 | ||||||
Microsoft Corp. | ||||||||
3.30%, 2/6/27 | 142,000 | 157,419 | ||||||
4.10%, 2/6/37(b) | 48,000 | 59,603 | ||||||
3.50%, 11/15/42 | 23,000 | 26,873 | ||||||
4.25%, 2/6/47 | 18,000 | 23,643 | ||||||
4.50%, 2/6/57(b) | 18,000 | 25,047 | ||||||
MidAmerican Energy Co. | 15,000 | 20,217 | ||||||
Molson Coors Beverage Co. | 5,000 | 5,672 | ||||||
Moody’s Corp. | ||||||||
3.25%, 6/7/21 | 5,000 | 5,113 | ||||||
2.75%, 12/15/21 | 5,000 | 5,123 | ||||||
3.25%, 1/15/28(b) | 18,000 | 19,625 | ||||||
Morgan Stanley | ||||||||
5.50%, 7/28/21 | 109,000 | 114,883 | ||||||
4.88%, 11/1/22 | 94,000 | 101,465 | ||||||
3.75%, 2/25/23 | 28,000 | 29,755 | ||||||
3.70%, 10/23/24 | 105,000 | 113,912 | ||||||
4.00%, 7/23/25 | 9,000 | 9,982 | ||||||
3.88%, 1/27/26 | 9,000 | 9,955 | ||||||
3.13%, 7/27/26 | 9,000 | 9,601 | ||||||
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)(c) | 32,000 | 35,030 | ||||||
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)(c) | 24,000 | 26,688 | ||||||
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)(b)(c) | 19,000 | 22,020 | ||||||
4.38%, 1/22/47 | 34,000 | 42,992 | ||||||
Mosaic Co. (The) | ||||||||
4.88%, 11/15/41 | 10,000 | 10,819 | ||||||
5.63%, 11/15/43 | 5,000 | 5,978 | ||||||
Motorola Solutions, Inc. | 5,000 | 5,215 | ||||||
Mount Sinai Hospitals Group, Inc. | 5,000 | 5,877 | ||||||
MPLX L.P. | 18,000 | 18,972 | ||||||
Mylan N.V. | 10,000 | 10,883 | ||||||
National Rural Utilities Cooperative Finance Corp. | ||||||||
3.40%, 2/7/28(b) | 5,000 | 5,618 | ||||||
3.90%, 11/1/28 | 18,000 | 20,967 | ||||||
4.02%, 11/1/32(b) | 18,000 | 22,190 | ||||||
NBCUniversal Media LLC | 5,000 | 7,276 | ||||||
NIKE, Inc. | ||||||||
3.88%, 11/1/45(b) | 5,000 | 6,166 | ||||||
3.38%, 11/1/46 | 5,000 | 5,757 | ||||||
NiSource, Inc. | ||||||||
3.65%, 6/15/23 | 5,000 | 5,285 | ||||||
5.25%, 2/15/43 | 5,000 | 6,487 | ||||||
5.65%, 2/1/45 | 5,000 | 6,826 | ||||||
3.95%, 3/30/48 | 18,000 | 20,377 | ||||||
Noble Energy, Inc. | 5,000 | 5,323 | ||||||
Nordstrom, Inc. | 5,000 | 6,189 | ||||||
Norfolk Southern Corp. | ||||||||
3.25%, 12/1/21 | 5,000 | 5,138 | ||||||
2.90%, 2/15/23 | 10,000 | 10,382 | ||||||
3.15%, 6/1/27(b) | 23,000 | 24,911 | ||||||
4.05%, 8/15/52 | 5,000 | 5,959 | ||||||
5.10%, 8/1/2118(b) | 25,000 | 32,833 | ||||||
Northrop Grumman Corp. | ||||||||
3.50%, 3/15/21 | 5,000 | 5,102 | ||||||
3.25%, 8/1/23 | 48,000 | 50,921 | ||||||
3.20%, 2/1/27 | 23,000 | 24,696 | ||||||
NVIDIA Corp. | 5,000 | 5,062 | ||||||
NVR, Inc. | 5,000 | 5,290 | ||||||
Occidental Petroleum Corp. | ||||||||
3.50%, 6/15/25 | 43,000 | 44,400 | ||||||
5.55%, 3/15/26 | 25,000 | 28,363 | ||||||
3.40%, 4/15/26 | 5,000 | 5,120 | ||||||
Omega Healthcare Investors, Inc. | ||||||||
4.50%, 4/1/27(b) | 18,000 | 20,072 | ||||||
4.75%, 1/15/28(b) | 23,000 | 25,884 | ||||||
Oncor Electric Delivery Co. LLC | ||||||||
5.75%, 3/15/29 | 109,000 | 142,208 | ||||||
5.30%, 6/1/42(b) | 48,000 | 68,460 | ||||||
ONEOK, Inc. | ||||||||
4.00%, 7/13/27 | 18,000 | 19,603 | ||||||
4.55%, 7/15/28 | 78,000 | 87,426 | ||||||
Oracle Corp. | ||||||||
3.63%, 7/15/23 | 23,000 | 24,704 | ||||||
2.65%, 7/15/26(b) | 71,000 | 75,033 | ||||||
4.50%, 7/8/44(b) | 23,000 | 29,248 | ||||||
4.00%, 11/15/47(b) | 18,000 | 21,821 | ||||||
Owens Corning | 23,000 | 25,625 | ||||||
Packaging Corp. of America | 18,000 | 19,755 | ||||||
Parker-Hannifin Corp. | ||||||||
3.50%, 9/15/22(b) | 5,000 | 5,243 | ||||||
3.30%, 11/21/24 | 18,000 | 19,302 | ||||||
6.25%, 5/15/38 | 15,000 | 21,389 | ||||||
People’s United Financial, Inc. | 5,000 | 5,227 | ||||||
PepsiCo, Inc. | ||||||||
3.00%, 10/15/27 | 28,000 | 30,546 | ||||||
4.25%, 10/22/44 | 23,000 | 28,849 | ||||||
Pfizer, Inc. | ||||||||
3.00%, 12/15/26(b) | 10,000 | 10,898 | ||||||
7.20%, 3/15/39 | 89,000 | 151,053 | ||||||
4.30%, 6/15/43(b) | 5,000 | 6,443 |
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 29, 2020
Investments | Principal Amount | Value | ||||||
Philip Morris International, Inc. | ||||||||
2.50%, 8/22/22(b) | $ | 23,000 | $ | 23,663 | ||||
4.88%, 11/15/43(b) | 32,000 | 40,032 | ||||||
Plains All American Pipeline L.P. | ||||||||
3.65%, 6/1/22 | 114,500 | 117,756 | ||||||
6.65%, 1/15/37(b) | 23,000 | 27,834 | ||||||
PNC Financial Services Group, Inc. (The) | ||||||||
3.90%, 4/29/24 | 28,000 | 30,299 | ||||||
3.45%, 4/23/29 | 50,000 | 55,238 | ||||||
Procter & Gamble Co. (The) | 28,000 | 28,738 | ||||||
Prologis L.P. | 5,000 | 6,632 | ||||||
Prudential Financial, Inc. | ||||||||
5.70%, 12/14/36(b) | 5,000 | 7,166 | ||||||
6.63%, 12/1/37 | 19,000 | 28,885 | ||||||
5.88%, 9/15/42, (5.875% fixed rate until 9/15/22; 3-month U.S. dollar London Interbank Offered Rate + 4.175% thereafter)(c) | 5,000 | 5,318 | ||||||
4.60%, 5/15/44 | 5,000 | 6,306 | ||||||
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)(c) | 5,000 | 5,468 | ||||||
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)(c) | 5,000 | 5,662 | ||||||
PSEG Power LLC | 5,000 | 5,323 | ||||||
Public Service Co. of Colorado | 29,000 | 36,588 | ||||||
Public Service Electric & Gas Co. | ||||||||
2.38%, 5/15/23 | 118,000 | 121,458 | ||||||
3.00%, 5/15/27 | 19,000 | 20,556 | ||||||
QUALCOMM, Inc. | ||||||||
3.00%, 5/20/22(b) | 10,000 | 10,363 | ||||||
2.60%, 1/30/23(b) | 10,000 | 10,315 | ||||||
2.90%, 5/20/24 | 122,000 | 128,489 | ||||||
Quest Diagnostics, Inc. | 5,000 | 5,162 | ||||||
Realty Income Corp. | ||||||||
3.25%, 10/15/22 | 28,000 | 29,302 | ||||||
3.00%, 1/15/27 | 5,000 | 5,368 | ||||||
Republic Services, Inc. | 5,000 | 5,331 | ||||||
Rockwell Collins, Inc. | ||||||||
2.80%, 3/15/22 | 18,000 | 18,515 | ||||||
4.80%, 12/15/43 | 10,000 | 13,167 | ||||||
Roper Technologies, Inc. | ||||||||
2.80%, 12/15/21 | 18,000 | 18,440 | ||||||
3.80%, 12/15/26 | 5,000 | 5,562 | ||||||
Royal Caribbean Cruises Ltd. | 9,000 | 11,674 | ||||||
RWJ Barnabas Health, Inc. | 24,000 | 28,479 | ||||||
Ryder System, Inc. | 48,000 | 51,210 | ||||||
Sabra Health Care L.P. | 18,000 | 20,033 | ||||||
Santander Holdings USA, Inc. | 23,000 | 25,242 | ||||||
Seagate HDD Cayman | 17,000 | 17,363 | ||||||
Sempra Energy | ||||||||
2.88%, 10/1/22 | 5,000 | 5,156 | ||||||
4.05%, 12/1/23 | 5,000 | 5,415 | ||||||
3.25%, 6/15/27(b) | 23,000 | 24,601 | ||||||
Service Properties Trust | 5,000 | 5,306 | ||||||
Sherwin-Williams Co. (The) | ||||||||
2.75%, 6/1/22(b) | 3,000 | 3,089 | ||||||
4.50%, 6/1/47(b) | 5,000 | 6,079 | ||||||
3.80%, 8/15/49 | 20,000 | 21,985 | ||||||
Shire Acquisitions Investments Ireland DAC | 10,000 | 10,136 | ||||||
Simon Property Group L.P. | ||||||||
2.35%, 1/30/22 | 5,000 | 5,070 | ||||||
2.75%, 2/1/23 | 5,000 | 5,153 | ||||||
3.75%, 2/1/24(b) | 5,000 | 5,384 | ||||||
3.30%, 1/15/26 | 5,000 | 5,432 | ||||||
3.25%, 11/30/26 | 23,000 | 25,115 | ||||||
SITE Centers Corp. | 28,000 | 31,516 | ||||||
Southern California Edison Co. | 74,000 | 91,104 | ||||||
Southern California Gas Co. | 5,000 | 6,113 | ||||||
Southern Co. (The) | 5,000 | 5,367 | ||||||
Southern Co. Gas Capital Corp. | 5,000 | 5,875 | ||||||
Southern Power Co. | 19,000 | 23,735 | ||||||
Spectra Energy Partners L.P. | 5,000 | 5,346 | ||||||
Spirit AeroSystems, Inc. | ||||||||
3.95%, 6/15/23 | 5,000 | 5,021 | ||||||
4.60%, 6/15/28 | 18,000 | 17,893 | ||||||
Starbucks Corp. | ||||||||
3.10%, 3/1/23(b) | 5,000 | 5,244 | ||||||
2.45%, 6/15/26(b) | 5,000 | 5,218 | ||||||
4.00%, 11/15/28 | 5,000 | 5,723 | ||||||
State Street Corp. | ||||||||
2.65%, 5/15/23, (2.653% fixed rate until 5/15/22; 3-month U.S. dollar London Interbank Offered Rate + 0.635% thereafter)(c) | 5,000 | 5,113 | ||||||
3.10%, 5/15/23 | 48,000 | 50,337 | ||||||
Stryker Corp. | 5,000 | 5,327 | ||||||
Sunoco Logistics Partners Operations L.P. | 5,000 | 5,291 | ||||||
Synchrony Financial | 5,000 | 5,265 |
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 29, 2020
Investments | Principal Amount | Value | ||||||
Synovus Financial Corp. | $ | 5,000 | $ | 5,133 | ||||
Sysco Corp. | 5,000 | 5,442 | ||||||
Tampa Electric Co. | 18,000 | 22,971 | ||||||
Tapestry, Inc. | 5,000 | 5,278 | ||||||
Target Corp. | ||||||||
2.90%, 1/15/22 | 23,000 | 23,708 | ||||||
2.50%, 4/15/26(b) | 5,000 | 5,308 | ||||||
TC PipeLines L.P. | 19,000 | 20,519 | ||||||
TD Ameritrade Holding Corp. | 10,000 | 10,258 | ||||||
Texas Instruments, Inc. | ||||||||
2.90%, 11/3/27 | 28,000 | 29,963 | ||||||
4.15%, 5/15/48 | 89,000 | 113,154 | ||||||
Time Warner Cable LLC | ||||||||
6.75%, 6/15/39 | 45,500 | 59,012 | ||||||
5.50%, 9/1/41(b) | 5,000 | 5,853 | ||||||
4.50%, 9/15/42 | 10,000 | 10,420 | ||||||
Toyota Motor Credit Corp. | ||||||||
2.90%, 4/17/24(b) | 5,000 | 5,294 | ||||||
2.15%, 2/13/30 | 50,000 | 50,694 | ||||||
Travelers Cos., Inc. (The) | ||||||||
6.25%, 6/15/37 | 10,000 | 14,904 | ||||||
4.00%, 5/30/47 | 23,000 | 28,553 | ||||||
Trimble, Inc. | 5,000 | 5,318 | ||||||
Truist Financial Corp. | ||||||||
2.05%, 5/10/21 | 5,000 | 5,036 | ||||||
3.20%, 9/3/21(b) | 5,000 | 5,134 | ||||||
2.85%, 10/26/24 | 94,000 | 98,563 | ||||||
TWDC Enterprises 18 Corp. | ||||||||
2.95%, 6/15/27(b) | 23,000 | 25,176 | ||||||
3.70%, 12/1/42 | 5,000 | 5,812 | ||||||
3.00%, 7/30/46(b) | 48,000 | 51,061 | ||||||
Tyson Foods, Inc. | 5,000 | 5,040 | ||||||
U.S. Bancorp | ||||||||
2.63%, 1/24/22, Series V(b) | 5,000 | 5,121 | ||||||
3.90%, 4/26/28(b) | 28,000 | 32,808 | ||||||
Union Electric Co. | 18,000 | 19,341 | ||||||
Union Pacific Corp. | ||||||||
3.50%, 6/8/23 | 52,000 | 55,299 | ||||||
3.75%, 7/15/25 | 5,000 | 5,526 | ||||||
3.25%, 8/15/25(b) | 5,000 | 5,431 | ||||||
2.75%, 3/1/26(b) | 5,000 | 5,254 | ||||||
4.00%, 4/15/47 | 19,000 | 21,733 | ||||||
3.84%, 3/20/60(d) | 24,000 | 26,501 | ||||||
4.38%, 11/15/65 | 5,000 | 5,984 | ||||||
United Parcel Service, Inc. | ||||||||
2.45%, 10/1/22(b) | 5,000 | 5,130 | ||||||
2.40%, 11/15/26(b) | 5,000 | 5,206 | ||||||
3.05%, 11/15/27 | 23,000 | 24,921 | ||||||
3.40%, 11/15/46 | 5,000 | 5,203 | ||||||
United Technologies Corp. | ||||||||
1.95%, 11/1/21(b) | 23,000 | 23,238 | ||||||
3.75%, 11/1/46 | 48,000 | 55,282 | ||||||
UnitedHealth Group, Inc. | ||||||||
2.13%, 3/15/21(b) | 10,000 | 10,046 | ||||||
3.15%, 6/15/21 | 5,000 | 5,113 | ||||||
2.88%, 3/15/22(b) | 5,000 | 5,133 | ||||||
2.75%, 2/15/23 | 5,000 | 5,177 | ||||||
3.70%, 12/15/25 | 15,000 | 16,666 | ||||||
3.10%, 3/15/26(b) | 94,000 | 101,227 | ||||||
3.88%, 12/15/28 | 18,000 | 20,568 | ||||||
5.80%, 3/15/36 | 5,000 | 6,876 | ||||||
3.95%, 10/15/42(b) | 5,000 | 5,766 | ||||||
3.75%, 10/15/47(b) | 15,000 | 16,984 | ||||||
University of Southern California | 24,000 | 26,754 | ||||||
Valero Energy Partners L.P. | 18,000 | 20,112 | ||||||
Ventas Realty L.P. | 24,000 | 28,445 | ||||||
VEREIT Operating Partnership L.P. | ||||||||
4.60%, 2/6/24 | 18,000 | 19,816 | ||||||
3.95%, 8/15/27 | 5,000 | 5,521 | ||||||
Verizon Communications, Inc. | ||||||||
5.15%, 9/15/23(b) | 120,000 | 135,054 | ||||||
3.50%, 11/1/24 | 23,000 | 24,916 | ||||||
5.25%, 3/16/37(b) | 10,000 | 13,373 | ||||||
6.55%, 9/15/43 | 18,000 | 28,331 | ||||||
5.01%, 4/15/49 | 23,000 | 31,793 | ||||||
ViacomCBS, Inc. | ||||||||
3.38%, 3/1/22 | 5,000 | 5,149 | ||||||
3.38%, 2/15/28 | 5,000 | 5,331 | ||||||
6.88%, 4/30/36 | 5,000 | 6,847 | ||||||
4.90%, 8/15/44 | 5,000 | 5,685 | ||||||
Visa, Inc. | 28,000 | 33,329 | ||||||
Vulcan Materials Co. | 18,000 | 20,170 | ||||||
Wachovia Corp. | 5,000 | 6,638 | ||||||
Walgreens Boots Alliance, Inc. | 28,000 | 29,898 | ||||||
Walmart, Inc. | ||||||||
3.55%, 6/26/25 | 94,000 | 103,581 | ||||||
6.50%, 8/15/37 | 48,000 | 74,962 | ||||||
4.05%, 6/29/48 | 10,000 | 12,614 | ||||||
Walt Disney Co. (The) | ||||||||
6.40%, 12/15/35 | 4,000 | 5,977 | ||||||
6.65%, 11/15/37(b) | 20,000 | 30,839 | ||||||
4.95%, 10/15/45 | 5,000 | 6,879 | ||||||
Wells Fargo & Co. | ||||||||
2.10%, 7/26/21 | 9,000 | 9,084 | ||||||
2.63%, 7/22/22 | 94,000 | 96,399 | ||||||
4.13%, 8/15/23(b) | 94,000 | 101,401 | ||||||
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)(c) | 64,000 | 69,629 |
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 29, 2020
Investments | Principal Amount | Value | ||||||
5.38%, 2/7/35 | $ | 5,000 | $ | 6,805 | ||||
5.38%, 11/2/43 | 47,000 | 61,962 | ||||||
4.75%, 12/7/46 | 71,000 | 89,684 | ||||||
Welltower, Inc. | 23,000 | 25,895 | ||||||
Western Midstream Operating L.P. | 94,000 | 85,239 | ||||||
Western Union Co. (The) | ||||||||
3.60%, 3/15/22 | 5,000 | 5,207 | ||||||
4.25%, 6/9/23(b) | 5,000 | 5,381 | ||||||
Westlake Chemical Corp. | 5,000 | 5,916 | ||||||
WestRock MWV LLC | 14,000 | 19,961 | ||||||
Whirlpool Corp. | 5,000 | 5,561 | ||||||
Williams Cos., Inc. (The) | ||||||||
3.75%, 6/15/27 | 10,000 | 10,502 | ||||||
7.50%, 1/15/31, Series A | 50,000 | 67,295 | ||||||
6.30%, 4/15/40 | 10,000 | 12,346 | ||||||
Wisconsin Public Service Corp. | 38,000 | 43,510 | ||||||
WW Grainger, Inc. | 23,000 | 26,525 | ||||||
Xilinx, Inc. | ||||||||
3.00%, 3/15/21 | 5,000 | 5,080 | ||||||
2.95%, 6/1/24 | 48,000 | 50,374 | ||||||
Xylem, Inc. | ||||||||
4.88%, 10/1/21 | 5,000 | 5,268 | ||||||
3.25%, 11/1/26 | 5,000 | 5,441 | ||||||
Zimmer Biomet Holdings, Inc. | 5,000 | 5,150 | ||||||
TOTAL U.S. CORPORATE BONDS (Cost: $16,736,545) |
| 18,608,623 | ||||||
FOREIGN CORPORATE BONDS – 3.6% |
| |||||||
Australia – 0.1% |
| |||||||
BHP Billiton Finance USA Ltd. | 23,000 | 31,012 | ||||||
Westpac Banking Corp. | ||||||||
3.35%, 3/8/27 | 23,000 | 25,343 | ||||||
4.32%, 11/23/31, (4.322% fixed rate until 11/23/26; 5-year U.S. dollar ICE Swap Rate + 2.236% thereafter)(c) | 10,000 | 10,978 | ||||||
|
| |||||||
Total Australia |
| 67,333 | ||||||
Belgium – 0.5% |
| |||||||
Anheuser-Busch Cos. LLC | 329,000 | 360,073 | ||||||
Anheuser-Busch InBev Worldwide, Inc. | ||||||||
4.90%, 1/23/31 | 25,000 | 30,479 | ||||||
4.60%, 4/15/48 | 19,000 | 22,842 | ||||||
4.44%, 10/6/48 | 19,000 | 22,232 | ||||||
|
| |||||||
Total Belgium |
| 435,626 | ||||||
Bermuda – 0.0% |
| |||||||
Aspen Insurance Holdings Ltd. | 18,000 | 19,896 | ||||||
Brazil – 0.0% |
| |||||||
Vale Overseas Ltd. | 10,000 | 13,207 | ||||||
Canada – 0.7% |
| |||||||
Bank of Montreal | ||||||||
2.35%, 9/11/22(b) | 94,000 | 96,124 | ||||||
3.80%, 12/15/32, (3.803% fixed rate until 12/15/27; 5-year U.S. dollar Swap Rate + 1.432% thereafter)(b)(c) | 49,000 | 52,852 | ||||||
Bank of Nova Scotia (The) | ||||||||
3.13%, 4/20/21 | 5,000 | 5,094 | ||||||
2.45%, 9/19/22 | 48,000 | 49,258 | ||||||
Brookfield Finance, Inc. | ||||||||
3.90%, 1/25/28(b) | 18,000 | 20,013 | ||||||
4.70%, 9/20/47 | 5,000 | 6,190 | ||||||
Canadian Natural Resources Ltd. | 18,000 | 18,506 | ||||||
Cenovus Energy, Inc. | ||||||||
5.25%, 6/15/37 | 28,000 | 29,934 | ||||||
6.75%, 11/15/39 | 18,000 | 22,297 | ||||||
Kinross Gold Corp. | 5,000 | 5,447 | ||||||
Magna International, Inc. | 5,000 | 5,438 | ||||||
Methanex Corp. | 23,000 | 24,516 | ||||||
Nexen, Inc. | 25,000 | 36,773 | ||||||
Nutrien Ltd. | ||||||||
3.15%, 10/1/22 | 18,000 | 18,688 | ||||||
5.63%, 12/1/40 | 5,000 | 6,425 | ||||||
5.25%, 1/15/45 | 18,000 | 22,606 | ||||||
Rogers Communications, Inc. | 48,000 | 50,154 | ||||||
TELUS Corp. | 5,000 | 6,444 | ||||||
TransCanada PipeLines Ltd. | ||||||||
4.25%, 5/15/28(b) | 19,000 | 21,302 | ||||||
4.63%, 3/1/34 | 28,000 | 32,853 | ||||||
5.85%, 3/15/36 | 29,000 | 37,699 | ||||||
|
| |||||||
Total Canada |
| 568,613 | ||||||
Colombia – 0.1% |
| |||||||
Ecopetrol S.A. | 94,000 | 104,261 | ||||||
France – 0.0% |
| |||||||
Sanofi | 5,000 | 5,754 | ||||||
Total Capital International S.A. | 20,000 | 21,847 | ||||||
|
| |||||||
Total France |
| 27,601 | ||||||
Japan – 0.2% |
| |||||||
Mitsubishi UFJ Financial Group, Inc. | ||||||||
3.00%, 2/22/22 | 5,000 | 5,142 | ||||||
3.76%, 7/26/23 | 54,000 | 57,834 | ||||||
3.78%, 3/2/25(b) | 5,000 | 5,483 | ||||||
3.68%, 2/22/27 | 18,000 | 19,890 |
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 29, 2020
Investments | Principal Amount | Value | ||||||
Sumitomo Mitsui Financial Group, Inc. | ||||||||
2.93%, 3/9/21(b) | $ | 10,000 | $ | 10,114 | ||||
2.63%, 7/14/26(b) | 10,000 | 10,451 | ||||||
3.35%, 10/18/27(b) | 23,000 | 25,233 | ||||||
3.20%, 9/17/29 | 50,000 | 53,083 | ||||||
|
| |||||||
Total Japan |
| 187,230 | ||||||
Mexico – 0.2% |
| |||||||
Petroleos Mexicanos | ||||||||
5.50%, 1/21/21 | 10,000 | 10,190 | ||||||
6.50%, 3/13/27 | 10,000 | 10,518 | ||||||
6.63%, 6/15/35(b) | 10,000 | 10,039 | ||||||
6.38%, 1/23/45(b) | 10,000 | 9,397 | ||||||
6.75%, 9/21/47 | 20,000 | 19,154 | ||||||
6.35%, 2/12/48 | 20,000 | 18,657 | ||||||
7.69%, 1/23/50(d) | 30,000 | 31,355 | ||||||
6.95%, 1/28/60(d) | 25,000 | 24,094 | ||||||
|
| |||||||
Total Mexico |
| 133,404 | ||||||
Netherlands – 0.2% |
| |||||||
Cooperatieve Rabobank UA | ||||||||
3.88%, 2/8/22 | 9,000 | 9,427 | ||||||
5.25%, 5/24/41(b) | 24,000 | 34,544 | ||||||
Shell International Finance B.V. | ||||||||
3.40%, 8/12/23 | 47,000 | 50,132 | ||||||
5.50%, 3/25/40 | 27,000 | 37,499 | ||||||
|
| |||||||
Total Netherlands |
| 131,602 | ||||||
Norway – 0.2% |
| |||||||
Equinor ASA | ||||||||
3.15%, 1/23/22 | 19,000 | 19,653 | ||||||
2.45%, 1/17/23 | 56,000 | 57,702 | ||||||
2.65%, 1/15/24(b) | 5,000 | 5,228 | ||||||
3.70%, 3/1/24 | 5,000 | 5,425 | ||||||
3.63%, 9/10/28(b) | 24,000 | 27,120 | ||||||
5.10%, 8/17/40(b) | 19,000 | 25,398 | ||||||
|
| |||||||
Total Norway |
| 140,526 | ||||||
Peru – 0.0% |
| |||||||
Southern Copper Corp. | 5,000 | 6,884 | ||||||
Spain – 0.1% |
| |||||||
Telefonica Emisiones S.A. | 9,000 | 12,989 | ||||||
Telefonica Europe B.V. | 47,000 | 69,525 | ||||||
|
| |||||||
Total Spain |
| 82,514 | ||||||
Switzerland – 0.0% |
| |||||||
Novartis Capital Corp. | ||||||||
2.40%, 5/17/22 | 5,000 | 5,127 | ||||||
3.70%, 9/21/42 | 15,000 | 17,855 | ||||||
Syngenta Finance N.V. | 19,000 | 19,380 | ||||||
|
| |||||||
Total Switzerland |
| 42,362 | ||||||
United Kingdom – 1.3% |
| |||||||
Barclays PLC | 200,000 | 213,073 | ||||||
BP Capital Markets PLC | ||||||||
3.54%, 11/4/24 | 5,000 | 5,427 | ||||||
3.28%, 9/19/27 | 24,000 | 25,819 | ||||||
British Telecommunications PLC | 9,000 | 14,269 | ||||||
CNH Industrial N.V. | 95,000 | 103,490 | ||||||
HSBC Holdings PLC | ||||||||
5.10%, 4/5/21 | 95,000 | 98,409 | ||||||
4.00%, 3/30/22 | 71,000 | 74,165 | ||||||
4.38%, 11/23/26 | 200,000 | 217,502 | ||||||
7.63%, 5/17/32 | 24,000 | 33,510 | ||||||
Janus Capital Group, Inc. | 18,000 | 20,141 | ||||||
Reynolds American, Inc. | ||||||||
7.25%, 6/15/37 | 23,000 | 30,463 | ||||||
5.85%, 8/15/45 | 10,000 | 11,972 | ||||||
Royal Bank of Scotland Group PLC | ||||||||
6.13%, 12/15/22 | 23,000 | 25,110 | ||||||
6.00%, 12/19/23 | 23,000 | 25,769 | ||||||
5.13%, 5/28/24 | 100,000 | 109,541 | ||||||
Unilever Capital Corp. | 5,000 | 7,059 | ||||||
Vodafone Group PLC | ||||||||
4.38%, 2/19/43 | 84,000 | 96,881 | ||||||
5.25%, 5/30/48(b) | 30,000 | 37,875 | ||||||
|
| |||||||
Total United Kingdom |
| 1,150,475 | ||||||
TOTAL FOREIGN CORPORATE BONDS (Cost: $2,859,843) |
| 3,111,534 | ||||||
FOREIGN GOVERNMENT AGENCIES – 1.3% |
| |||||||
Austria – 0.0% |
| |||||||
Oesterreichische Kontrollbank AG | 9,000 | 9,185 | ||||||
Canada – 0.6% |
| |||||||
Export Development Canada | ||||||||
1.75%, 7/21/20 | 10,000 | 10,022 | ||||||
2.50%, 1/24/23 | 10,000 | 10,439 | ||||||
Province of Alberta Canada | 95,000 | 108,857 | ||||||
Province of British Columbia Canada | 10,000 | 10,271 | ||||||
Province of New Brunswick Canada | 20,000 | 23,250 | ||||||
Province of Ontario Canada | ||||||||
2.50%, 9/10/21 | 10,000 | 10,210 | ||||||
2.25%, 5/18/22 | 10,000 | 10,255 | ||||||
3.20%, 5/16/24 | 10,000 | 10,850 | ||||||
2.50%, 4/27/26 | 80,000 | 86,070 | ||||||
Province of Quebec Canada | ||||||||
3.50%, 7/29/20 | 9,000 | 9,075 |
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 29, 2020
Investments | Principal Amount | Value | ||||||
2.63%, 2/13/23 | $ | 9,000 | $ | 9,420 | ||||
2.88%, 10/16/24, Series QO | 105,000 | 113,471 | ||||||
7.50%, 9/15/29, Series PD | 56,000 | 85,271 | ||||||
|
| |||||||
Total Canada |
| 497,461 | ||||||
Germany – 0.4% |
| |||||||
Kreditanstalt fuer Wiederaufbau | ||||||||
2.75%, 7/15/20 | 28,000 | 28,151 | ||||||
1.50%, 6/15/21 | 188,000 | 189,122 | ||||||
2.38%, 8/25/21 | 9,000 | 9,186 | ||||||
2.13%, 6/15/22(b) | 9,000 | 9,230 | ||||||
2.13%, 1/17/23 | 33,000 | 34,055 | ||||||
2.50%, 11/20/24 | 33,000 | 35,258 | ||||||
Landwirtschaftliche Rentenbank | 9,000 | 9,177 | ||||||
|
| |||||||
Total Germany |
| 314,179 | ||||||
Japan – 0.3% |
| |||||||
Japan International Cooperation Agency | 250,000 | 260,853 | ||||||
TOTAL FOREIGN GOVERNMENT AGENCIES (Cost: $991,029) |
| 1,081,678 | ||||||
FOREIGN GOVERNMENT OBLIGATIONS – 1.0% |
| |||||||
Hungary – 0.1% |
| |||||||
Hungary Government International Bond | ||||||||
6.38%, 3/29/21 | 24,000 | 25,165 | ||||||
5.38%, 3/25/24 | 18,000 | 20,446 | ||||||
|
| |||||||
Total Hungary |
| 45,611 | ||||||
Italy – 0.1% |
| |||||||
Republic of Italy Government International Bond 5.38%, 6/15/33 | 81,000 | 100,657 | ||||||
Mexico – 0.2% |
| |||||||
Mexico Government International Bond | ||||||||
4.00%, 10/2/23 | 107,000 | 114,535 | ||||||
5.75%, 10/12/2110 | 18,000 | 22,742 | ||||||
|
| |||||||
Total Mexico |
| 137,277 | ||||||
Panama – 0.0% |
| |||||||
Panama Government International Bond | 19,000 | 27,391 | ||||||
Peru – 0.0% |
| |||||||
Peruvian Government International Bond | 19,000 | 21,762 | ||||||
Philippines – 0.3% |
| |||||||
Philippine Government International Bond | 200,000 | 243,045 | ||||||
Poland – 0.2% |
| |||||||
Republic of Poland Government International Bond | ||||||||
5.13%, 4/21/21 | 74,000 | 76,978 | ||||||
3.00%, 3/17/23 | 24,000 | 25,002 | ||||||
3.25%, 4/6/26 | 47,000 | 50,911 | ||||||
|
| |||||||
Total Poland |
| 152,891 | ||||||
Uruguay – 0.1% |
| |||||||
Uruguay Government International Bond | ||||||||
5.10%, 6/18/50 | 78,000 | 98,451 | ||||||
4.98%, 4/20/55 | 24,000 | 29,843 | ||||||
|
| |||||||
Total Uruguay |
| 128,294 | ||||||
TOTAL FOREIGN GOVERNMENT OBLIGATIONS (Cost: $760,985) |
| 856,928 | ||||||
SUPRANATIONAL BONDS – 0.9% |
| |||||||
Asian Development Bank | ||||||||
2.25%, 1/20/21 | 42,000 | 42,399 | ||||||
2.75%, 3/17/23 | 9,000 | 9,486 | ||||||
2.00%, 1/22/25 | 5,000 | 5,230 | ||||||
Corporacion Andina de Fomento | 5,000 | 5,326 | ||||||
Council of Europe Development Bank | 25,000 | 25,123 | ||||||
European Investment Bank | ||||||||
1.38%, 6/15/20 | 71,000 | 70,993 | ||||||
2.25%, 3/15/22 | 14,000 | 14,359 | ||||||
2.25%, 8/15/22 | 9,000 | 9,283 | ||||||
2.50%, 3/15/23(b) | 141,000 | 147,406 | ||||||
3.25%, 1/29/24 | 14,000 | 15,225 | ||||||
2.38%, 5/24/27 | 94,000 | 102,386 | ||||||
Inter-American Development Bank | ||||||||
1.75%, 9/14/22 | 141,000 | 143,896 | ||||||
2.50%, 1/18/23 | 9,000 | 9,389 | ||||||
International Bank for Reconstruction & Development | ||||||||
2.13%, 2/13/23 | 5,000 | 5,170 | ||||||
2.50%, 11/25/24, Series GDIF | 14,000 | 14,960 | ||||||
2.13%, 3/3/25, Series GDIF | 50,000 | 52,610 | ||||||
2.50%, 7/29/25, Series GDIF | 14,000 | 15,071 | ||||||
2.50%, 11/22/27, Series GDIF | 39,000 | 42,937 | ||||||
TOTAL SUPRANATIONAL BONDS (Cost: $693,334) |
| 731,249 | ||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES – 1.9% |
| |||||||
United States – 1.9% |
| |||||||
Bank | 105,000 | 117,071 | ||||||
Benchmark Mortgage Trust | 60,000 | 69,880 | ||||||
CFCRE Commercial Mortgage Trust | 82,887 | 85,112 | ||||||
Commercial Mortgage Trust |
| |||||||
3.60%, 5/10/47, Series 2014-CR17, Class ASB | 46,901 | 48,801 | ||||||
2.87%, 2/10/48, Series 2015-DC1, Class A2 | 11,203 | 11,199 | ||||||
CSAIL Commercial Mortgage Trust | 100,000 | 110,339 | ||||||
Federal Home Loan Mortgage Corp. Multifamily Structured Pass Through Certificates | ||||||||
2.87%, 12/25/21, Series K017, Class A2 | 91,081 | 93,008 | ||||||
2.48%, 3/25/25, Series K049, Class A1 | 13,484 | 13,922 | ||||||
3.43%, 1/25/27, Series K063, Class A2^(c) | 70,000 | 78,334 | ||||||
3.69%, 1/25/29, Series K088, Class A2 | 115,000 | 133,599 | ||||||
3.99%, 8/25/33, Series K157, Class A3^(c) | 70,000 | 86,024 |
See Notes to Financial Statements.
64 | WisdomTree Trust |
Table of Contents
Schedule of Investments (unaudited) (concluded)
WisdomTree Interest Rate Hedged U.S. Aggregate Bond Fund (AGZD)
February 29, 2020
Investments | Principal Amount | Value | ||||||
Federal National Mortgage Association Alternative Credit Enhancement Securities | ||||||||
3.21%, 7/25/23, Series 2014-M1, Class A2^(c) | $ | 98,486 | $ | 103,577 | ||||
2.49%, 5/25/26, Series 2016-M6, Class A2 | 57,210 | 60,074 | ||||||
2.48%, 12/25/26, Series 2017-M3, Class A2^(c) | 45,000 | 48,050 | ||||||
3.05%, 3/25/28, Series 2018-M4, Class A2^(c) | 25,000 | 27,651 | ||||||
3.05%, 3/25/28, Series 2018-M7, Class A2^(c) | 145,000 | 160,857 | ||||||
2.99%, 2/25/30, Series 2018-M3, Class A1^(c) | 24,356 | 26,281 | ||||||
JPMBB Commercial Mortgage Securities Trust | 50,000 | 54,632 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust | ||||||||
3.10%, 5/15/46, Series 2013-C9, Class A4 | 105,000 | 109,838 | ||||||
3.46%, 12/15/49, Series 2016-C32, Class A3 | 100,000 | 110,265 | ||||||
WFRBS Commercial Mortgage Trust | 100,000 | 108,388 | ||||||
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES (Cost: $1,535,103) |
| 1,656,902 | ||||||
MUNICIPAL BONDS – 0.5% |
| |||||||
United States – 0.5% |
| |||||||
Bay Area Toll Authority | 25,000 | 46,202 | ||||||
New Jersey Transportation Trust Fund Authority | 45,000 | 53,956 | ||||||
Port Authority of New York & New Jersey | 25,000 | 37,022 | ||||||
State of California | 115,000 | 197,729 | ||||||
Texas Transportation Commission State Highway Fund | 50,000 | 63,646 | ||||||
TOTAL MUNICIPAL BONDS (Cost: $341,728) |
| 398,555 | ||||||
ASSET-BACKED SECURITIES – 0.3% |
| |||||||
United States – 0.3% |
| |||||||
Americredit Automobile Receivables Trust | 25,671 | 25,866 | ||||||
BMW Vehicle Owner Trust | 10,000 | 10,184 | ||||||
CarMax Auto Owner Trust | 29,000 | 29,681 | ||||||
Discover Card Execution Note Trust | 30,000 | 30,767 | ||||||
Ford Credit Auto Lease Trust | 20,000 | 20,241 | ||||||
GM Financial Consumer Automobile Receivables Trust | ||||||||
2.46%, 7/17/23, Series 2018-1, Class A4 | 20,000 | 20,358 | ||||||
2.65%, 2/16/24, Series 2019-2, Class A3 | 20,000 | 20,341 | ||||||
Mercedes-Benz Auto Lease Trust | 20,000 | 20,049 | ||||||
World Financial Network Credit Card Master Trust 3.07%, 12/16/24, Series 2018-A, Class A | 67,000 | 68,083 | ||||||
TOTAL ASSET-BACKED SECURITIES (Cost: $240,749) |
| 245,570 | ||||||
REPURCHASE AGREEMENT – 2.0% |
| |||||||
United States – 2.0% |
| |||||||
Citigroup, Inc., tri-party repurchase agreement dated 2/28/20 (tri-party custodian: The Bank of New York Mellon Corp.), 1.61% due 3/2/20; Proceeds at maturity – $1,698,728 (fully collateralized by Fannie Mae Pool, 3.00% – 5.00% due 9/1/25 – 11/1/49, and Freddie Mac Pool, 3.00% due 2/1/50; Market value including accrued interest – $1,783,425) | ||||||||
(Cost: $1,698,500) | 1,698,500 | 1,698,500 | ||||||
Shares | ||||||||
INVESTMENT OF CASH COLLATERAL FOR SECURITIES LOANED – 4.6% |
| |||||||
United States – 4.6% |
| |||||||
State Street Navigator Securities Lending | ||||||||
(Cost: $3,982,803)(f) | 3,982,803 | 3,982,803 | ||||||
TOTAL INVESTMENTS IN SECURITIES – 106.1% (Cost: $84,667,393) |
| 90,952,701 | ||||||
Other Assets less Liabilities – (6.1)% |
| (5,233,969 | ) | |||||
|
| |||||||
NET ASSETS – 100.0% |
| $ | 85,718,732 |
^ | 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 29, 2020 (See Note 2). |
(c) | Rate shown reflects the accrual rate as of February 29, 2020 on securities with variable or step rates. |
(d) | 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. |
(e) | Rate shown represents annualized 7-day yield as of February 29, 2020. |
(f) | At February 29, 2020, the total market value of the Fund’s securities on loan identified in the Schedule of Investments was $3,906,215 and the total market value of the collateral held by the Fund was $4,023,445. The total market value of the collateral includes non-cash U.S. Government securities collateral having a value of $40,642. |
FINANCIAL DERIVATIVE INSTRUMENTS | ||||||||||||||||
FUTURES CONTRACTS† (EXCHANGE-TRADED) | ||||||||||||||||
Short Exposure | Contracts | Expiration Date | Notional Value | Unrealized Appreciation/ (Depreciation) | ||||||||||||
2 Year U.S. Treasury Note | 199 | 6/30/20 | $ | (43,447,297 | ) | $ | (172,883 | ) | ||||||||
5 Year U.S. Treasury Note | 273 | 6/30/20 | (33,510,750 | ) | (392,152 | ) | ||||||||||
U.S. Treasury Ultra Long Term Bond | 42 | 6/19/20 | (8,715,000 | ) | (236,235 | ) | ||||||||||
Ultra 10 Year U.S. Treasury Note | 69 | 6/19/20 | (10,365,094 | ) | (199,553 | ) | ||||||||||
$ | (96,038,141 | ) | $ | (1,000,823 | ) |
† | As of February 29, 2020, deposits at broker for futures contracts of $618,476 included cash collateral of $894,154 and previously settled variation margin losses on open futures contracts of $275,678. |
See Notes to Financial Statements.
WisdomTree Trust | 65 |
Table of Contents
Schedule of Investments (unaudited)
WisdomTree Mortgage Plus Bond Fund (MTGP)
February 29, 2020
Investments | Principal Amount | Value | ||||||
ASSET-BACKED SECURITIES – 4.8% |
| |||||||
United States – 4.8% |
| |||||||
Sofi Consumer Loan Program Trust |
| |||||||
4.73%, 1/26/26, Series 2017-1, Class B(a) | $ | 230,000 | $ | 237,296 | ||||
3.65%, 2/25/27, Series 2018-1, Class B(a) | 250,000 | 257,845 | ||||||
3.79%, 4/26/27, Series 2018-2, Class B(a) | 375,000 | 386,922 | ||||||
4.02%, 8/25/27, Series 2018-3, Class B(a) | 100,000 | 103,986 | ||||||
TOTAL ASSET-BACKED SECURITIES (Cost: $975,832) |
| 986,049 | ||||||
COLLATERALIZED LOAN OBLIGATIONS – 6.1% |
| |||||||
Cayman Islands – 6.1% |
| |||||||
BDS Ltd. | 300,000 | 300,800 | ||||||
LCM 28 Ltd. | 400,000 | 400,713 | ||||||
Magnetite XXIII Ltd. | 250,000 | 251,306 | ||||||
Neuberger Berman Loan Advisers Ltd. | 300,000 | 301,138 | ||||||
TOTAL COLLATERALIZED LOAN OBLIGATIONS (Cost: $1,238,468) |
| 1,253,957 | ||||||
COLLATERALIZED MORTGAGE OBLIGATIONS – 28.9% |
| |||||||
CSMC Trust | 263,249 | 278,940 | ||||||
Federal Home Loan Mortgage Corp. REMIC | 343,008 | 424,895 | ||||||
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes | 200,000 | 202,078 | ||||||
Federal Home Loan Mortgage Corporation REMIC | ||||||||
4.00%, 1/15/41, Series 4179, Class AZ | 659,060 | 747,543 | ||||||
3.00%, 5/15/43, Series 4322, Class DJ | 253,463 | 266,699 | ||||||
Federal National Mortgage Association REMIC | ||||||||
4.00%, 8/25/33, Series 2014-58, Class VM | 100,000 | 110,753 | ||||||
6.00%, 7/25/36, Series 2006-62, Class PZ | 120,091 | 181,683 | ||||||
5.00%, 4/25/37, Series 2007-26, Class JZ | 384,537 | 434,338 | ||||||
5.00%, 11/25/39, Series 2009-89, Class PH | 118,000 | 141,496 | ||||||
5.00%, 6/25/41, Series 2011-52, Class GB | 286,272 | 327,030 | ||||||
4.50%, 9/15/42, Series 4671, Class JM | 404,138 | 427,861 | ||||||
3.00%, 2/25/43, Series 2013-1, Class JZ | 430,177 | 446,525 | ||||||
Government National Mortgage Association | ||||||||
5.50%, 4/20/37, Series 2007-24, Class PC | 129,060 | 141,927 | ||||||
2.16%, 7/20/64, Series 2014-H16, Class FL, (1-month U.S. dollar London Interbank Offered Rate + 0.47%)(b) | 1,137,338 | 1,137,170 | ||||||
JP Morgan Mortgage Trust | ||||||||
3.66%, 5/25/45, Series 2015-3, Class B3^(a)(b) | 226,343 | 236,277 | ||||||
4.56%, 5/25/50, Series 2019-INV3, Class B3^(a)(b) | 230,695 | 253,239 | ||||||
Sequoia Mortgage Trust | 169,591 | 174,797 | ||||||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost: $5,768,721) |
| 5,933,251 | ||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES – 5.7% |
| |||||||
United States – 5.7% |
| |||||||
Benchmark Mortgage Trust | 380,000 | 338,830 | ||||||
Cantor Commercial Real Estate Lending | 250,000 | 219,997 | ||||||
Federal Home Loan Mortgage Corp. Multifamily Structured Pass Through Certificates | 480,879 | 535,134 | ||||||
Wells Fargo Commercial Mortgage Trust | 1,099,546 | 77,241 | ||||||
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES (Cost: $1,134,125) |
| 1,171,202 | ||||||
U.S. GOVERNMENT AGENCIES – 54.1% |
| |||||||
Federal Home Loan Mortgage Corporation – 9.1% |
| |||||||
4.00%, 1/1/42 | 467,650 | 507,686 | ||||||
3.50%, 8/1/46 | 555,905 | 593,782 | ||||||
3.50%, 9/1/47 | 710,857 | 759,180 | ||||||
|
| |||||||
Total Federal Home Loan Mortgage Corporation |
| 1,860,648 | ||||||
Federal National Mortgage Association – 40.6% |
| |||||||
4.00%, 11/1/43 | 664,922 | 724,672 | ||||||
4.00%, 5/1/47 | 575,846 | 629,010 | ||||||
4.00%, 12/1/47 | 494,400 | 539,284 | ||||||
4.00%, 10/1/48 | 1,871,968 | 2,026,710 | ||||||
3.50%, 9/1/49 | 365,302 | 379,447 | ||||||
3.00%, 11/1/49 | 1,937,589 | 1,997,676 | ||||||
3.00%, 3/1/50 | 1,000,000 | 1,032,109 | ||||||
3.50%, 3/1/50 | 950,000 | 991,915 | ||||||
|
| |||||||
Total Federal National Mortgage Association |
| 8,320,823 | ||||||
Government National Mortgage Association – 4.4% |
| |||||||
3.50%, 7/20/47 | 852,912 | 914,775 | ||||||
TOTAL U.S. GOVERNMENT AGENCIES (Cost: $10,914,921) |
| 11,096,246 | ||||||
TOTAL INVESTMENTS IN SECURITIES – 99.6% (Cost: $20,032,067) |
| 20,440,705 | ||||||
Other Assets less Liabilities – 0.4% |
| 73,461 | ||||||
|
| |||||||
NET ASSETS – 100.0% |
| $ | 20,514,166 |
See Notes to Financial Statements.
66 | WisdomTree Trust |
Table of Contents
Schedule of Investments (unaudited) (concluded)
WisdomTree Mortgage Plus Bond Fund (MTGP)
February 29, 2020
^ | 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 29, 2020 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). |
FINANCIAL DERIVATIVE INSTRUMENTS | ||||||||||||||||
FUTURES CONTRACTS† (EXCHANGE-TRADED) | ||||||||||||||||
Short Exposure | Contracts | Expiration Date | Notional Value | Unrealized Appreciation/ (Depreciation) | ||||||||||||
10 Year U.S. Treasury Note | 2 | 6/19/20 | $ | (269,500 | ) | $ | (4,405 | ) | ||||||||
U.S. Treasury Long Bond | 1 | 6/19/20 | (170,250 | ) | — | |||||||||||
$ | (439,750 | ) | $ | (4,405 | ) | |||||||||||
Long Exposure | ||||||||||||||||
5 Year U.S. Treasury Note | 2 | 6/30/20 | $ | 245,500 | $ | 3,000 | ||||||||||
$ | 245,500 | $ | 3,000 | |||||||||||||
Total – Net |
| $ | (194,250 | ) | $ | (1,405 | ) |
† | As of February 29, 2020, deposits at broker for futures contracts of $1,317 included cash collateral of $1,782 and previously settled variation margin losses on open futures contracts of $465. |
See Notes to Financial Statements.
WisdomTree Trust | 67 |
Table of Contents
Schedule of Investments (unaudited)
WisdomTree Negative Duration High Yield Bond Fund (HYND)
February 29, 2020
Investments | Principal Amount | Value | ||||||
U.S. CORPORATE BONDS – 87.0% | ||||||||
United States – 87.0% | ||||||||
Acadia Healthcare Co., Inc. | $ | 16,000 | $ | 16,045 | ||||
5.63%, 2/15/23 | 50,000 | 50,479 | ||||||
Acrisure LLC | 42,000 | 44,874 | ||||||
ADT Security Corp. (The) | 50,000 | 52,227 | ||||||
3.50%, 7/15/22 | 51,000 | 51,015 | ||||||
4.13%, 6/15/23 | 42,000 | 42,823 | ||||||
Advanced Micro Devices, Inc. | 40,000 | 44,938 | ||||||
AECOM | 75,000 | 82,469 | ||||||
AES Corp. | 40,000 | 40,131 | ||||||
4.50%, 3/15/23 | 16,000 | 15,954 | ||||||
4.88%, 5/15/23 | 45,000 | 44,678 | ||||||
Ahern Rentals, Inc. | 13,000 | 10,096 | ||||||
Air Medical Group Holdings, Inc. | 23,000 | 22,032 | ||||||
AK Steel Corp. | 11,000 | 11,408 | ||||||
Albertsons Cos. LLC | 76,000 | 78,279 | ||||||
Aleris International, Inc. | 11,000 | 11,377 | ||||||
Allegheny Technologies, Inc. | 13,000 | 13,816 | ||||||
Ally Financial, Inc. | 23,000 | 23,728 | ||||||
AMC Networks, Inc. | 66,000 | 66,495 | ||||||
American Airlines Group, Inc. | 76,000 | 76,325 | ||||||
American Midstream Partners L.P. | 41,000 | 40,709 | ||||||
AmeriGas Partners L.P. | 59,000 | 61,489 | ||||||
AMN Healthcare, Inc. | 50,000 | 51,396 | ||||||
Anixter, Inc. | 71,000 | 73,799 | ||||||
5.50%, 3/1/23 | 16,000 | 16,967 | ||||||
Antero Midstream Partners L.P. | 110,000 | 83,875 | ||||||
Antero Resources Corp. | 41,000 | 34,365 | ||||||
5.13%, 12/1/22(b) | 39,000 | 24,249 | ||||||
5.63%, 6/1/23 | 28,000 | 15,190 | ||||||
Apex Tool Group LLC | 16,000 | 13,873 | ||||||
APX Group, Inc. | 26,000 | 26,056 | ||||||
7.88%, 12/1/22 | 67,000 | 68,172 | ||||||
7.63%, 9/1/23(b) | 35,000 | 33,352 | ||||||
Archrock Partners L.P. | 11,000 | 11,020 | ||||||
Arconic, Inc. | ||||||||
5.40%, 4/15/21 | 39,000 | 39,449 | ||||||
5.13%, 10/1/24 | 100,000 | 107,369 | ||||||
Ascent Resources Utica Holdings LLC | 67,000 | 57,266 | ||||||
Ashland LLC | 12,000 | 12,510 | ||||||
Avantor, Inc. | 60,000 | 63,100 | ||||||
Ball Corp. | 77,000 | 79,313 | ||||||
Bausch Health Cos., Inc. | ||||||||
6.50%, 3/15/22(a) | 42,000 | 42,628 | ||||||
5.50%, 3/1/23(a) | 23,000 | 23,038 | ||||||
7.00%, 3/15/24(a) | 99,000 | 102,135 | ||||||
BCD Acquisition, Inc. | 39,000 | 40,462 | ||||||
Berry Global, Inc. | 18,000 | 18,135 | ||||||
5.13%, 7/15/23 | 61,000 | 61,182 | ||||||
Blue Cube Spinco LLC | 35,000 | 36,935 | ||||||
Blue Racer Midstream LLC | 37,000 | 33,893 | ||||||
Brinker International, Inc. | 16,000 | 16,040 | ||||||
Bruin E&P Partners LLC | 23,000 | 12,257 | ||||||
Buckeye Partners L.P. | 16,000 | 12,855 | ||||||
C&S Group Enterprises LLC | 14,000 | 14,246 | ||||||
Cablevision Systems Corp. | 53,000 | 55,752 | ||||||
California Resources Corp. | 115,000 | 26,162 | ||||||
Callon Petroleum Co. | 42,000 | 35,595 | ||||||
6.13%, 10/1/24 | 25,000 | 19,943 | ||||||
Calpine Corp. | 64,000 | 63,041 | ||||||
Calumet Specialty Products Partners L.P. | 43,000 | 42,664 | ||||||
7.75%, 4/15/23 | 15,000 | 14,444 | ||||||
Carpenter Technology Corp. | 33,000 | 35,052 | ||||||
Carvana Co. | 16,000 | 16,600 |
See Notes to Financial Statements.
68 | WisdomTree Trust |
Table of Contents
Schedule of Investments (unaudited) (continued)
WisdomTree Negative Duration High Yield Bond Fund (HYND)
February 29, 2020
Investments | Principal Amount | Value | ||||||
CBL & Associates L.P. | $ | 25,000 | $ | 10,698 | ||||
CCO Holdings LLC | 68,000 | 68,849 | ||||||
5.13%, 5/1/23(a) | 86,000 | 87,186 | ||||||
5.88%, 4/1/24(a) | 100,000 | 102,928 | ||||||
CDK Global, Inc. | 25,000 | 27,167 | ||||||
CEC Entertainment, Inc. | 45,000 | 43,777 | ||||||
Centene Corp. | 75,000 | 77,022 | ||||||
Century Aluminum Co. | 16,000 | 15,926 | ||||||
CenturyLink, Inc. | 41,000 | 41,126 | ||||||
6.45%, 6/15/21, Series S | 51,000 | 53,012 | ||||||
5.80%, 3/15/22, Series T | 56,000 | 58,502 | ||||||
6.75%, 12/1/23, Series W | 62,000 | 68,311 | ||||||
7.50%, 4/1/24, Series Y | 66,000 | 73,893 | ||||||
CF Industries, Inc. | 71,000 | 72,066 | ||||||
Chemours Co. (The) | 85,000 | 82,389 | ||||||
Chesapeake Energy Corp. | 100,000 | 57,250 | ||||||
Cincinnati Bell, Inc. | 25,000 | 26,343 | ||||||
CIT Group, Inc. | 33,000 | 33,390 | ||||||
5.00%, 8/15/22 | 39,000 | 40,873 | ||||||
5.00%, 8/1/23 | 43,000 | 45,831 | ||||||
4.75%, 2/16/24(b) | 50,000 | 53,187 | ||||||
CITGO Petroleum Corp. | 38,000 | 38,095 | ||||||
Clear Channel Worldwide Holdings, Inc. | 104,000 | 110,803 | ||||||
Clearwater Paper Corp. | 6,000 | 6,045 | ||||||
Cleaver-Brooks, Inc. | 13,000 | 12,843 | ||||||
Cleveland-Cliffs, Inc. | 14,000 | 13,866 | ||||||
CNX Resources Corp. | 74,000 | 68,361 | ||||||
Cogent Communications Group, Inc. | 12,000 | 12,334 | ||||||
Colfax Corp. | 59,000 | 61,280 | ||||||
Commercial Metals Co. | 16,000 | 16,578 | ||||||
CommScope, Inc. | 2,000 | 2,006 | ||||||
5.50%, 3/1/24(a) | 64,000 | 65,260 | ||||||
Community Health Systems, Inc. | 216,000 | 214,920 | ||||||
9.88%, 6/30/23(a)(c) | 74,000 | 70,338 | ||||||
8.63%, 1/15/24(a) | 34,000 | 35,424 | ||||||
Consolidated Communications, Inc. | 13,000 | 12,545 | ||||||
CoreCivic, Inc. | 33,000 | 33,155 | ||||||
CPG Merger Sub LLC | 21,000 | 21,113 | ||||||
Crestwood Midstream Partners L.P. | 68,000 | 64,755 | ||||||
Crown Americas LLC | 41,000 | 41,676 | ||||||
CSC Holdings LLC | 75,000 | 81,156 | ||||||
CSI Compressco L.P. | 16,000 | 14,435 | ||||||
CVR Partners L.P. | 39,000 | 39,861 | ||||||
DaVita, Inc. | 76,000 | 77,108 | ||||||
DCP Midstream Operating L.P. | 38,000 | 38,048 | ||||||
4.95%, 4/1/22 | 11,000 | 11,223 | ||||||
3.88%, 3/15/23 | 18,000 | 18,090 | ||||||
5.85%, 5/21/43, (5.85% fixed rate until 5/21/23; 3-month U.S. dollar London Interbank Offered Rate + 3.85% thereafter)(a)(b)(c) | 28,000 | 25,296 | ||||||
Dell, Inc. | 16,000 | 16,210 | ||||||
Denbury Resources, Inc. | 32,000 | 28,072 | ||||||
9.25%, 3/31/22(a) | 33,000 | 26,493 | ||||||
7.75%, 2/15/24(a) | 40,000 | 22,421 | ||||||
Diamond Offshore Drilling, Inc. | 36,000 | 25,521 | ||||||
Diamond Resorts International, Inc. | 63,000 | 63,157 | ||||||
DISH DBS Corp. | 61,000 | 61,240 | ||||||
6.75%, 6/1/21 | 164,000 | 170,122 | ||||||
5.88%, 7/15/22 | 90,000 | 94,071 | ||||||
5.00%, 3/15/23 | 17,000 | 17,150 | ||||||
Diversified Healthcare Trust | 38,000 | 40,632 | ||||||
Downstream Development Authority of the Quapaw Tribe of Oklahoma | 11,000 | 11,142 | ||||||
DriveTime Automotive Group, Inc. | 11,000 | 10,993 | ||||||
Edgewell Personal Care Co. | 50,000 | 50,700 | ||||||
4.70%, 5/24/22 | 50,000 | 51,319 | ||||||
EIG Investors Corp. | 24,000 | 25,135 |
See Notes to Financial Statements.
WisdomTree Trust | 69 |
Table of Contents
Schedule of Investments (unaudited) (continued)
WisdomTree Negative Duration High Yield Bond Fund (HYND)
February 29, 2020
Investments | Principal Amount | Value | ||||||
Elanco Animal Health, Inc. | $ | 33,000 | $ | 34,615 | ||||
5.02%, 8/28/23 | 62,000 | 66,451 | ||||||
EMC Corp. | 28,000 | 27,943 | ||||||
3.38%, 6/1/23 | 183,000 | 183,867 | ||||||
Encompass Health Corp. | 13,000 | 13,070 | ||||||
Energy Transfer Operating L.P. | 50,000 | 44,663 | ||||||
Energy Ventures Gom LLC | 16,000 | 15,887 | ||||||
Enerpac Tool Group Corp. | 16,000 | 16,125 | ||||||
EnerSys | 26,000 | 27,289 | ||||||
EnLink Midstream Partners L.P. | 54,000 | 49,422 | ||||||
Enova International, Inc. | 25,000 | 23,615 | ||||||
Enterprise Development Authority (The) | 35,000 | 40,177 | ||||||
Exela Intermediate LLC | 41,000 | 13,838 | ||||||
Extraction Oil & Gas, Inc. | 17,000 | 5,900 | ||||||
Ferrellgas L.P. | 16,000 | 13,806 | ||||||
6.75%, 1/15/22 | 11,000 | 9,271 | ||||||
6.75%, 6/15/23 | 11,000 | 9,208 | ||||||
Foresight Energy LLC | 28,000 | 1,050 | ||||||
Forestar Group, Inc. | 17,000 | 18,473 | ||||||
Fortress Transportation & Infrastructure Investors LLC | 42,000 | 42,160 | ||||||
Forum Energy Technologies, Inc. | 11,000 | 9,272 | ||||||
Freeport-McMoRan, Inc. | 97,000 | 98,036 | ||||||
3.88%, 3/15/23 | 125,000 | 125,923 | ||||||
Fresh Market, Inc. (The) | 35,000 | 16,557 | ||||||
Frontier Communications Corp. | 33,000 | 15,603 | ||||||
10.50%, 9/15/22 | 92,000 | 42,004 | ||||||
7.13%, 1/15/23 | 12,000 | 5,580 | ||||||
FS Energy & Power Fund | 35,000 | 36,167 | ||||||
FTS International, Inc. | 26,000 | 17,347 | ||||||
GameStop Corp. | 16,000 | 15,165 | ||||||
Genesis Energy L.P. | 16,000 | 15,247 | ||||||
Genworth Holdings, Inc. | 24,000 | 24,310 | ||||||
7.63%, 9/24/21(b) | 41,000 | 42,192 | ||||||
4.80%, 2/15/24(b) | 21,000 | 20,423 | ||||||
GEO Group, Inc. (The) | 16,000 | 15,163 | ||||||
Gogo Intermediate Holdings LLC | 71,000 | 72,369 | ||||||
Graphic Packaging International LLC | 66,000 | 68,991 | ||||||
Great Lakes Dredge & Dock Corp. | 33,000 | 34,614 | ||||||
Grinding Media, Inc. | 64,000 | 63,340 | ||||||
Guitar Center, Inc. | 40,000 | 38,378 | ||||||
Gulfport Energy Corp. | 25,000 | 8,375 | ||||||
Hanesbrands, Inc. | 44,000 | 46,072 | ||||||
HCA Healthcare, Inc. | 45,000 | 46,774 | ||||||
HCA, Inc. | 84,000 | 92,986 | ||||||
5.88%, 5/1/23 | 54,000 | 59,108 | ||||||
Hecla Mining Co. | 23,000 | 23,102 | ||||||
Hertz Corp. (The) | 13,000 | 13,130 | ||||||
5.50%, 10/15/24(a) | 50,000 | 47,971 | ||||||
HighPoint Operating Corp. | 11,000 | 9,601 | ||||||
Hillman Group, Inc. (The) | 13,000 | 11,696 | ||||||
Hilton Domestic Operating Co., Inc. | 75,000 | 75,468 | ||||||
Hughes Satellite Systems Corp. | 49,000 | 51,689 | ||||||
Icahn Enterprises L.P. | 100,000 | 102,125 | ||||||
Immucor, Inc. | 13,000 | 12,907 | ||||||
Ingram Micro, Inc. | 16,000 | 16,301 | ||||||
Iron Mountain, Inc. | 37,000 | 36,954 | ||||||
iStar, Inc. | 16,000 | 16,325 | ||||||
Joseph T Ryerson & Son, Inc. | 35,000 | 36,400 | ||||||
K Hovnanian Enterprises, Inc. | 51,000 | 37,357 | ||||||
KB Home | 37,000 | 41,637 | ||||||
7.63%, 5/15/23 | 16,000 | 18,007 |
See Notes to Financial Statements.
70 | WisdomTree Trust |
Table of Contents
Schedule of Investments (unaudited) (continued)
WisdomTree Negative Duration High Yield Bond Fund (HYND)
February 29, 2020
Investments | Principal Amount | Value | ||||||
Kenan Advantage Group, Inc. (The) | $ | 40,000 | $ | 39,517 | ||||
Kennedy-Wilson, Inc. | 66,000 | 67,238 | ||||||
KGA Escrow LLC | 12,000 | 12,455 | ||||||
L Brands, Inc. | 31,000 | 32,531 | ||||||
5.63%, 10/15/23 | 15,000 | 16,194 | ||||||
Ladder Capital Finance Holdings LLLP | 12,000 | 12,140 | ||||||
5.25%, 3/15/22(a) | 31,000 | 31,697 | ||||||
Lamb Weston Holdings, Inc. | 50,000 | 52,105 | ||||||
Lee Enterprises, Inc. | 13,000 | 13,033 | ||||||
Lennar Corp. | 33,000 | 33,260 | ||||||
8.38%, 1/15/21 | 20,000 | 20,930 | ||||||
4.75%, 4/1/21 | 11,000 | 11,199 | ||||||
6.25%, 12/15/21 | 25,000 | 26,229 | ||||||
4.13%, 1/15/22(b) | 38,000 | 38,882 | ||||||
4.75%, 11/15/22 | 33,000 | 34,591 | ||||||
4.88%, 12/15/23 | 43,000 | 45,992 | ||||||
4.50%, 4/30/24 | 30,000 | 31,925 | ||||||
Level 3 Financing, Inc. | 50,000 | 50,312 | ||||||
5.13%, 5/1/23 | 33,000 | 33,151 | ||||||
Lexmark International, Inc. | 16,000 | 15,975 | ||||||
Lions Gate Capital Holdings LLC | 27,000 | 26,527 | ||||||
5.88%, 11/1/24(a) | 50,000 | 48,506 | ||||||
Lonestar Resources America, Inc. | 16,000 | 10,520 | ||||||
Louisiana-Pacific Corp. | 35,000 | 35,802 | ||||||
LSB Industries, Inc. | 42,000 | 42,403 | ||||||
LSC Communications, Inc. | 13,000 | 7,177 | ||||||
LTF Merger Sub, Inc. | 16,000 | 16,217 | ||||||
Mack-Cali Realty L.P. | 11,000 | 11,090 | ||||||
Mallinckrodt International Finance S.A. | 37,000 | 34,713 | ||||||
4.75%, 4/15/23 | 40,000 | 19,200 | ||||||
Martin Midstream Partners L.P. | 13,000 | 12,063 | ||||||
MasTec, Inc. | 11,000 | 11,041 | ||||||
Mattel, Inc. | 11,000 | 10,867 | ||||||
Mauser Packaging Solutions Holding Co. | 89,000 | 88,861 | ||||||
McGraw-Hill Global Education Holdings LLC | 17,000 | 14,500 | ||||||
MDC Holdings, Inc. | 40,000 | 43,517 | ||||||
MDC Partners, Inc. | 67,000 | 61,305 | ||||||
MEDNAX, Inc. | 60,000 | 58,850 | ||||||
Meritage Homes Corp. | 40,000 | 43,412 | ||||||
Meritor, Inc. | 54,000 | 55,448 | ||||||
MGIC Investment Corp. | 28,000 | 30,672 | ||||||
MGM Growth Properties Operating Partnership L.P. | 54,000 | 58,568 | ||||||
MGM Resorts International | 55,000 | 60,185 | ||||||
6.00%, 3/15/23 | 90,000 | 97,050 | ||||||
Midas Intermediate Holdco II LLC | 39,000 | 37,574 | ||||||
Molina Healthcare, Inc. | 37,000 | 38,572 | ||||||
Montage Resources Corp. | 40,000 | 29,288 | ||||||
MPT Operating Partnership L.P. | 42,000 | 42,787 | ||||||
Nabors Industries, Inc. | 5,000 | 5,027 | ||||||
4.63%, 9/15/21 | 3,000 | 2,992 | ||||||
Nationstar Mortgage Holdings, Inc. | 61,000 | 63,549 | ||||||
Navient Corp. | 23,000 | 23,120 | ||||||
5.00%, 10/26/20 | 37,000 | 37,401 | ||||||
5.88%, 3/25/21 | 39,000 | 39,868 | ||||||
6.63%, 7/26/21 | 28,000 | 28,890 | ||||||
7.25%, 1/25/22 | 56,000 | 59,040 | ||||||
6.50%, 6/15/22 | 40,000 | 41,800 | ||||||
5.50%, 1/25/23 | 39,000 | 39,975 | ||||||
7.25%, 9/25/23 | 23,000 | 24,782 | ||||||
6.13%, 3/25/24(b) | 39,000 | 40,365 | ||||||
Netflix, Inc. | 38,000 | 38,845 | ||||||
5.75%, 3/1/24(b) | 83,000 | 91,749 | ||||||
New Home Co., Inc. (The) | 33,000 | 33,588 | ||||||
Newell Brands, Inc. | 100,000 | 103,922 | ||||||
Newmark Group, Inc. | 17,000 | 18,696 | ||||||
NextEra Energy Operating Partners L.P. | 75,000 | 75,659 | ||||||
NGL Energy Partners L.P. | 51,000 | 47,302 |
See Notes to Financial Statements.
WisdomTree Trust | 71 |
Table of Contents
Schedule of Investments (unaudited) (continued)
WisdomTree Negative Duration High Yield Bond Fund (HYND)
February 29, 2020
Investments | Principal Amount | Value | ||||||
Nielsen Finance LLC | $ | 16,000 | $ | 16,040 | ||||
5.00%, 4/15/22(a) | 126,000 | 125,814 | ||||||
Northwest Hardwoods, Inc. | 16,000 | 8,420 | ||||||
NortonLifeLock, Inc. | 41,000 | 41,188 | ||||||
3.95%, 6/15/22(b) | 42,000 | 42,925 | ||||||
NuStar Logistics L.P. | 64,000 | 64,585 | ||||||
6.75%, 2/1/21 | 16,000 | 16,368 | ||||||
4.75%, 2/1/22(b) | 10,000 | 10,228 | ||||||
Oasis Petroleum, Inc. | 42,000 | 33,075 | ||||||
6.88%, 1/15/23(b) | 33,000 | 25,658 | ||||||
Ocwen Loan Servicing LLC | 36,000 | 31,961 | ||||||
OI European Group B.V. | 16,000 | 16,227 | ||||||
Omnimax International, Inc. | 15,000 | 14,893 | ||||||
Ortho-Clinical Diagnostics, Inc. | 52,000 | 51,724 | ||||||
Owens-Brockway Glass Container, Inc. | 16,000 | 16,508 | ||||||
5.88%, 8/15/23(a)(b) | 40,000 | 42,388 | ||||||
Oxford Finance LLC | 16,000 | 16,465 | ||||||
Pacific Drilling S.A. | 35,000 | 27,737 | ||||||
Party City Holdings, Inc. | 39,000 | 31,492 | ||||||
Pattern Energy Group, Inc. | 24,000 | 24,550 | ||||||
PBF Logistics L.P. | 39,000 | 40,045 | ||||||
PDC Energy, Inc. | 60,000 | 56,269 | ||||||
Peabody Energy Corp. | 17,000 | 14,569 | ||||||
Penske Automotive Group, Inc. | 39,000 | 39,210 | ||||||
Performance Food Group, Inc. | 50,000 | 50,646 | ||||||
PetSmart, Inc. | 86,000 | 84,039 | ||||||
Pitney Bowes, Inc. | 34,000 | 34,099 | ||||||
Plains All American Pipeline L.P. | 40,000 | 35,430 | ||||||
Plantronics, Inc. | 16,000 | 14,600 | ||||||
Polaris Intermediate Corp. | 61,000 | 52,008 | ||||||
PolyOne Corp. | 16,000 | 17,080 | ||||||
Popular, Inc. | 16,000 | 16,827 | ||||||
PQ Corp. | 42,000 | 42,997 | ||||||
Prime Security Services Borrower LLC | 50,000 | 51,854 | ||||||
Pyxus International, Inc. | 13,000 | 12,578 | ||||||
QEP Resources, Inc. | 13,000 | 12,778 | ||||||
5.38%, 10/1/22(b) | 16,000 | 14,635 | ||||||
5.25%, 5/1/23 | 24,000 | 21,156 | ||||||
Quorum Health Corp. | 36,000 | 30,885 | ||||||
QVC, Inc. | 65,000 | 69,040 | ||||||
4.38%, 3/15/23 | 37,000 | 38,331 | ||||||
4.85%, 4/1/24 | 33,000 | 34,644 | ||||||
Qwest Corp. | 16,000 | 16,925 | ||||||
Radiate Holdco LLC | 13,000 | 13,101 | ||||||
Range Resources Corp. | 10,000 | 8,547 | ||||||
5.00%, 8/15/22(b) | 17,000 | 13,983 | ||||||
5.00%, 3/15/23(b) | 56,000 | 40,723 | ||||||
Realogy Group LLC | 74,000 | 74,536 | ||||||
4.88%, 6/1/23(a) | 25,000 | 24,922 | ||||||
Revlon Consumer Products Corp. | 16,000 | 14,116 | ||||||
Reynolds Group Issuer, Inc. | 74,000 | 74,894 | ||||||
RHP Hotel Properties L.P. | 29,000 | 29,483 | ||||||
Rite Aid Corp. | 44,000 | 40,425 | ||||||
7.50%, 7/1/25(a) | 25,000 | 25,000 | ||||||
Riverbed Technology, Inc. | 16,000 | 10,920 | ||||||
RR Donnelley & Sons Co. | 12,000 | 12,035 | ||||||
Ruby Pipeline LLC | 24,985 | 25,295 | ||||||
Sabre GLBL, Inc. | 17,000 | 17,003 | ||||||
Sanchez Energy Corp. | 16,000 | 9,120 | ||||||
SBA Communications Corp. | 40,000 | 40,541 | ||||||
4.88%, 9/1/24 | 75,000 | 77,235 |
See Notes to Financial Statements.
72 | WisdomTree Trust |
Table of Contents
Schedule of Investments (unaudited) (continued)
WisdomTree Negative Duration High Yield Bond Fund (HYND)
February 29, 2020
Investments | Principal Amount | Value | ||||||
Scientific Games International, Inc. | $ | 16,000 | $ | 16,026 | ||||
Sealed Air Corp. | 57,000 | 59,298 | ||||||
5.25%, 4/1/23(a) | 39,000 | 41,210 | ||||||
Sensata Technologies B.V. | 18,000 | 19,035 | ||||||
SESI LLC | 28,000 | 23,030 | ||||||
Simmons Foods, Inc. | 50,000 | 49,854 | ||||||
Sirius XM Radio, Inc. | 41,000 | 41,005 | ||||||
4.63%, 7/15/24(a) | 100,000 | 103,303 | ||||||
SM Energy Co. | 11,000 | 9,876 | ||||||
Solera LLC | 112,000 | 118,646 | ||||||
Sophia L.P. | 18,000 | 18,525 | ||||||
Springleaf Finance Corp. | 40,000 | 42,694 | ||||||
6.13%, 5/15/22(b) | 61,000 | 64,454 | ||||||
5.63%, 3/15/23 | 37,000 | 38,226 | ||||||
8.25%, 10/1/23 | 28,000 | 32,002 | ||||||
6.13%, 3/15/24 | 51,000 | 53,873 | ||||||
Sprint Communications, Inc. | 42,000 | 42,000 | ||||||
7.00%, 8/15/20 | 61,000 | 62,290 | ||||||
11.50%, 11/15/21(b) | 42,000 | 48,061 | ||||||
6.00%, 11/15/22 | 99,000 | 106,364 | ||||||
Sprint Corp. | 25,000 | 26,579 | ||||||
7.88%, 9/15/23 | 120,000 | 137,350 | ||||||
Standard Industries, Inc. | 75,000 | 76,132 | ||||||
Starwood Property Trust, Inc. | 14,000 | 13,918 | ||||||
5.00%, 12/15/21 | 32,000 | 31,713 | ||||||
Stericycle, Inc. | 50,000 | 52,675 | ||||||
Suburban Propane Partners L.P. | 30,000 | 29,760 | ||||||
Synovus Financial Corp. | ||||||||
5.75%, 12/15/25, (5.75% fixed rate until 12/15/20; 3-month U.S. dollar London Interbank Offered Rate + 4.182% thereafter)(c) | 16,000 | 16,487 | ||||||
5.90%, 2/7/29, (5.90% fixed rate until 2/7/24; 5-year U.S. dollar Swap Rate + 3.379% thereafter)(c) | 39,000 | 42,023 | ||||||
T-Mobile USA, Inc. | 145,000 | 149,168 | ||||||
Tallgrass Energy Partners L.P. | 100,000 | 96,251 | ||||||
Tapstone Energy LLC | 16,000 | 136 | ||||||
Targa Resources Partners L.P. | 30,000 | 29,991 | ||||||
4.25%, 11/15/23 | 39,000 | 38,485 | ||||||
Taylor Morrison Communities, Inc. | 39,000 | 40,406 | ||||||
5.63%, 3/1/24(a) | 39,000 | 42,331 | ||||||
Teekay Offshore Partners L.P. | 33,000 | 32,399 | ||||||
Tenet Healthcare Corp. | 132,000 | 143,250 | ||||||
6.75%, 6/15/23 | 100,000 | 107,668 | ||||||
4.63%, 7/15/24 | 17,000 | 17,036 | ||||||
4.63%, 9/1/24(a) | 50,000 | 50,875 | ||||||
TerraForm Power Operating LLC | 16,000 | 16,300 | ||||||
Titan International, Inc. | 59,000 | 45,012 | ||||||
TMX Finance LLC | 15,000 | 13,906 | ||||||
Toll Brothers Finance Corp. | 11,000 | 11,550 | ||||||
4.38%, 4/15/23 | 29,000 | 30,498 | ||||||
5.63%, 1/15/24(b) | 14,000 | 15,406 | ||||||
Townsquare Media, Inc. | 11,000 | 11,142 | ||||||
TPC Group, Inc. | 50,000 | 50,854 | ||||||
TransDigm, Inc. | 101,000 | 103,483 | ||||||
Transocean Guardian Ltd. | 27,555 | 27,351 | ||||||
Transocean Sentry Ltd. | 27,000 | 26,190 | ||||||
TRI Pointe Group, Inc. | 16,000 | 16,406 | ||||||
5.88%, 6/15/24 | 59,000 | 64,113 | ||||||
Triumph Group, Inc. | 38,000 | 37,228 | ||||||
6.25%, 9/15/24(a)(b) | 25,000 | 26,021 | ||||||
Truck Hero, Inc. | 12,000 | 12,385 | ||||||
Unit Corp. | 38,000 | 14,906 | ||||||
United Airlines Holdings, Inc. | 27,000 | 27,500 | ||||||
5.00%, 2/1/24(b) | 40,000 | 40,600 | ||||||
Uniti Group L.P. | 80,000 | 78,400 | ||||||
8.25%, 10/15/23 | 46,000 | 42,895 | ||||||
Univision Communications, Inc. | 91,000 | 87,997 | ||||||
Urban One, Inc. | 11,000 | 10,948 | ||||||
Vericast Corp. | 38,000 | 38,095 | ||||||
8.38%, 8/15/22(a) | 33,000 | 27,483 |
See Notes to Financial Statements.
WisdomTree Trust | 73 |
Table of Contents
Schedule of Investments (unaudited) (continued)
WisdomTree Negative Duration High Yield Bond Fund (HYND)
February 29, 2020
Investments | Principal Amount | Value | ||||||
ViacomCBS, Inc. | ||||||||
5.88%, 2/28/57, (5.875% fixed rate until 2/28/22; 3-month U.S. dollar London Interbank Offered Rate + 3.895% thereafter)(c) | $ | 36,000 | $ | 36,787 | ||||
Vine Oil & Gas L.P. | 13,000 | 5,655 | ||||||
9.75%, 4/15/23(a) | 14,000 | 6,090 | ||||||
Vista Outdoor, Inc. | 20,000 | 19,408 | ||||||
Voyager Aviation Holdings LLC | 20,000 | 20,208 | ||||||
W&T Offshore, Inc. | 25,000 | 22,250 | ||||||
Warrior Met Coal, Inc. | 15,000 | 15,420 | ||||||
Washington Prime Group L.P. | 50,000 | 41,292 | ||||||
Watco Cos. LLC | 41,000 | 41,427 | ||||||
Weatherford International Ltd. | 100,000 | 95,890 | ||||||
WEX, Inc. | 16,000 | 16,107 | ||||||
Whiting Petroleum Corp. | 79,000 | 45,603 | ||||||
Williams Scotsman International, Inc. | 11,000 | 11,362 | ||||||
WMG Acquisition Corp. | 16,000 | 16,327 | ||||||
Wolverine Escrow LLC | 35,000 | 34,205 | ||||||
WPX Energy, Inc. | 83,000 | 92,787 | ||||||
5.25%, 9/15/24 | 15,000 | 15,005 | ||||||
WR Grace & Co-Conn | 39,000 | 40,111 | ||||||
Wyndham Destinations, Inc. | 81,000 | 80,189 | ||||||
3.90%, 3/1/23 | 35,000 | 35,013 | ||||||
Wynn Las Vegas LLC | 33,000 | 33,577 | ||||||
Xerox Corp. | 99,000 | 100,923 | ||||||
4.13%, 3/15/23 | 65,000 | 66,442 | ||||||
XPO Logistics, Inc. | 49,000 | 49,058 | ||||||
6.13%, 9/1/23(a) | 23,000 | 23,570 | ||||||
6.75%, 8/15/24(a) | 75,000 | 79,281 | ||||||
Yum! Brands, Inc. | 16,000 | 16,126 | ||||||
3.75%, 11/1/21 | 33,000 | 33,147 | ||||||
3.88%, 11/1/23 | 42,000 | 43,213 | ||||||
TOTAL U.S. CORPORATE BONDS (Cost: $16,946,215) |
| 16,480,087 | ||||||
FOREIGN CORPORATE BONDS – 11.2% |
| |||||||
Australia – 1.0% |
| |||||||
FMG Resources August 2006 Pty Ltd. | 51,000 | 51,993 | ||||||
5.13%, 3/15/23(a)(b) | 33,000 | 33,996 | ||||||
5.13%, 5/15/24(a)(b) | 50,000 | 51,833 | ||||||
Virgin Australia Holdings Ltd. | 52,000 | 48,381 | ||||||
|
| |||||||
Total Australia |
| 186,203 | ||||||
Canada – 5.8% |
| |||||||
1011778 BC ULC | 76,000 | 76,231 | ||||||
Air Canada | 16,000 | 16,726 | ||||||
Athabasca Oil Corp. | 38,000 | 31,124 | ||||||
Baytex Energy Corp. | 25,000 | 22,573 | ||||||
Bombardier, Inc. | 51,000 | 54,099 | ||||||
5.75%, 3/15/22(a) | 23,000 | 23,501 | ||||||
6.00%, 10/15/22(a)(b) | 72,000 | 70,740 | ||||||
6.13%, 1/15/23(a)(b) | 68,000 | 68,291 | ||||||
7.50%, 12/1/24(a) | 25,000 | 25,240 | ||||||
Brookfield Residential Properties, Inc. | 53,000 | 53,723 | ||||||
Cooke Omega Investments, Inc. | 16,000 | 16,445 | ||||||
Ensign Drilling, Inc. | 55,000 | 49,569 | ||||||
Fairstone Financial, Inc. | 25,000 | 27,198 | ||||||
GFL Environmental, Inc. | 33,000 | 33,505 | ||||||
5.38%, 3/1/23(a) | 11,000 | 11,316 | ||||||
Hudbay Minerals, Inc. | 50,000 | 48,417 | ||||||
Kissner Holdings L.P. | 13,000 | 13,627 | ||||||
Kronos Acquisition Holdings, Inc. | 40,000 | 38,717 | ||||||
MEG Energy Corp. | 31,000 | 29,437 | ||||||
Mountain Province Diamonds, Inc. | 28,000 | 27,397 | ||||||
New Gold, Inc. | 13,000 | 13,130 | ||||||
Norbord, Inc. | 15,000 | 16,075 | ||||||
NOVA Chemicals Corp. | 40,000 | 40,100 | ||||||
4.88%, 6/1/24(a)(b) | 28,000 | 27,102 | ||||||
Quebecor Media, Inc. | 86,000 | 91,382 | ||||||
Reliance Intermediate Holdings L.P. | 11,000 | 11,225 |
See Notes to Financial Statements.
74 | WisdomTree Trust |
Table of Contents
Schedule of Investments (unaudited) (concluded)
WisdomTree Negative Duration High Yield Bond Fund (HYND)
February 29, 2020
Investments | Principal Amount | Value | ||||||
Seven Generations Energy Ltd. | $ | 50,000 | $ | 49,531 | ||||
6.88%, 6/30/23(a) | 13,000 | 13,103 | ||||||
Taseko Mines Ltd. | 21,000 | 18,959 | ||||||
Teine Energy Ltd. | 27,000 | 26,941 | ||||||
Tervita Corp. | 11,000 | 11,135 | ||||||
Videotron Ltd. | 33,000 | 34,155 | ||||||
Xplornet Communications, Inc. | 12,348 | 12,661 | ||||||
|
| |||||||
Total Canada |
| 1,103,375 | ||||||
Cayman Islands – 0.5% |
| |||||||
Global Aircraft Leasing Co., Ltd. | 100,000 | 98,750 | ||||||
Finland – 0.2% |
| |||||||
Nokia Oyj | 41,000 | 41,205 | ||||||
Germany – 0.2% |
| |||||||
Mercer International, Inc. | 35,000 | 35,933 | ||||||
Luxembourg – 1.6% |
| |||||||
Intelsat Connect Finance S.A. | 105,000 | 62,212 | ||||||
Intelsat Jackson Holdings S.A. | 26,000 | 29,518 | ||||||
5.50%, 8/1/23(b) | 89,000 | 76,726 | ||||||
8.50%, 10/15/24(a)(b) | 125,000 | 108,177 | ||||||
Intelsat Luxembourg S.A. | 83,000 | 35,483 | ||||||
|
| |||||||
Total Luxembourg |
| 312,116 | ||||||
New Zealand – 0.2% |
| |||||||
Trilogy International Partners LLC | 37,000 | 34,306 | ||||||
Sweden – 0.4% |
| |||||||
Telefonaktiebolaget LM Ericsson | 74,000 | 76,367 | ||||||
United Kingdom – 1.3% |
| |||||||
Avon International Operations, Inc. | 23,000 | 23,462 | ||||||
Avon Products, Inc. | 29,000 | 31,610 | ||||||
Jaguar Land Rover Automotive PLC | 150,000 | 145,649 | ||||||
Valaris PLC | 55,000 | 35,905 | ||||||
|
| |||||||
Total United Kingdom |
| 236,626 | ||||||
TOTAL FOREIGN CORPORATE BONDS (Cost: $2,262,710) |
| 2,124,881 | ||||||
Investments | Shares | Value | ||||||
INVESTMENT OF CASH COLLATERAL FOR SECURITIES LOANED – 16.6% |
| |||||||
United States – 16.6% |
| |||||||
State Street Navigator Securities Lending | ||||||||
(Cost: $3,142,280)(g) | 3,142,280 | 3,142,280 | ||||||
TOTAL INVESTMENTS IN SECURITIES – 114.8% (Cost: $22,351,205) |
| 21,747,248 | ||||||
Other Assets less Liabilities – (14.8)% |
| (2,802,409 | ) | |||||
|
| |||||||
NET ASSETS – 100.0% |
| $ | 18,944,839 |
(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 29, 2020 (See Note 2). |
(c) | Rate shown reflects the accrual rate as of February 29, 2020 on securities with variable or step rates. |
(d) | The security has a perpetual maturity; the date displayed is the next call date. |
(e) | Security in default on interest payments. |
(f) | Rate shown represents annualized 7-day yield as of February 29, 2020. |
(g) | At February 29, 2020, the total market value of the Fund’s securities on loan identified in the Schedule of Investments was $3,043,788 and the total market value of the collateral held by the Fund was $3,155,228. The total market value of the collateral includes non-cash U.S. Government securities collateral having a value of $12,948. |
FINANCIAL DERIVATIVE INSTRUMENTS | ||||||||||||||||
FUTURES CONTRACTS† (EXCHANGE-TRADED) | ||||||||||||||||
Short Exposure | Contracts | Expiration Date | Notional Value | Unrealized Appreciation/ (Depreciation) | ||||||||||||
2 Year U.S. Treasury Note | 12 | 6/30/20 | $ | (2,619,938 | ) | $ | (16,031 | ) | ||||||||
5 Year U.S. Treasury Note | 26 | 6/30/20 | (3,191,500 | ) | (37,348 | ) | ||||||||||
U.S. Treasury Ultra Long Term Bond | 11 | 6/19/20 | (2,282,500 | ) | (61,871 | ) | ||||||||||
Ultra 10 Year U.S. Treasury Note | 83 | 6/19/20 | (12,468,156 | ) | (243,504 | ) | ||||||||||
$ | (20,562,094 | ) | $ | (358,754 | ) |
† | As of February 29, 2020, deposits at broker for futures contracts of $237,470 included cash collateral of $338,857 and previously settled variation margin losses on open futures contracts of $101,387. |
See Notes to Financial Statements.
WisdomTree Trust | 75 |
Table of Contents
Schedule of Investments (unaudited)
WisdomTree Negative Duration U.S. Aggregate Bond Fund (AGND)
February 29, 2020
Investments in Long Securities | Principal Amount | Value | ||||||
U.S. GOVERNMENT AGENCIES – 28.7% |
| |||||||
Federal Home Loan Bank – 0.2% |
| |||||||
5.50%, 7/15/36 | $ | 20,000 | $ | 30,509 | ||||
Federal Home Loan Mortgage Corporation – 7.6% |
| |||||||
4.00%, 3/1/24 | 23,534 | 24,715 | ||||||
3.00%, 8/1/29 | 34,566 | 36,266 | ||||||
2.50%, 9/1/29 | 26,271 | 27,113 | ||||||
6.75%, 9/15/29, Series GDIF | 13,000 | 19,239 | ||||||
2.50%, 2/1/30 | 23,893 | 24,659 | ||||||
2.50%, 4/1/30 | 18,009 | 18,654 | ||||||
3.00%, 6/1/30 | 18,349 | 19,078 | ||||||
3.00%, 12/1/30 | 34,017 | 35,369 | ||||||
2.50%, 11/1/31 | 31,415 | 32,424 | ||||||
3.00%, 1/1/33 | 17,716 | 18,422 | ||||||
3.50%, 9/1/33 | 20,829 | 21,870 | ||||||
5.00%, 9/1/35 | 72,572 | 82,195 | ||||||
3.00%, 9/1/36 | 16,899 | 17,630 | ||||||
3.50%, 4/1/37 | 21,222 | 22,320 | ||||||
5.50%, 12/1/38 | 19,839 | 22,861 | ||||||
4.00%, 2/1/41 | 149,154 | 162,152 | ||||||
4.50%, 5/1/41 | 71,081 | 79,140 | ||||||
3.00%, 4/1/43 | 77,060 | 80,690 | ||||||
3.50%, 7/1/43 | 36,939 | 39,335 | ||||||
3.00%, 8/1/43 | 34,470 | 36,078 | ||||||
4.00%, 12/1/43 | 26,942 | 29,198 | ||||||
3.50%, 1/1/44 | 67,298 | 71,428 | ||||||
4.50%, 4/1/44 | 24,998 | 27,294 | ||||||
3.50%, 9/1/45 | 43,669 | 46,186 | ||||||
3.50%, 12/1/45 | 44,758 | 47,400 | ||||||
3.50%, 5/1/46 | 27,785 | 29,365 | ||||||
3.50%, 8/1/46 | 32,769 | 35,296 | ||||||
4.00%, 9/1/46 | 28,259 | 30,293 | ||||||
3.00%, 10/1/46 | 50,422 | 52,692 | ||||||
3.00%, 11/1/46 | 38,939 | 40,682 | ||||||
3.00%, 3/1/47 | 39,194 | 40,900 | ||||||
4.50%, 3/1/47 | 14,576 | 15,841 | ||||||
4.50%, 8/1/47 | 14,204 | 15,408 | ||||||
3.50%, 9/1/47 | 73,429 | 77,457 | ||||||
4.00%, 1/1/48 | 35,332 | 37,823 | ||||||
4.00%, 9/1/48 | 84,850 | 89,680 | ||||||
|
| |||||||
Total Federal Home Loan Mortgage Corporation |
| 1,507,153 | ||||||
Federal National Mortgage Association – 13.3% |
| |||||||
2.63%, 9/6/24 | 43,000 | 46,127 | ||||||
2.13%, 4/24/26 | 54,000 | 57,352 | ||||||
4.00%, 7/1/26 | 7,794 | 8,189 | ||||||
3.50%, 12/1/26 | 11,045 | 11,576 | ||||||
3.50%, 1/1/27 | 15,667 | 16,423 | ||||||
3.00%, 11/1/28 | 15,076 | 15,732 | ||||||
2.50%, 4/1/30 | 23,917 | 24,675 | ||||||
2.50%, 5/1/31 | 39,025 | 40,263 | ||||||
2.50%, 9/1/31 | 27,674 | 28,638 | ||||||
4.00%, 11/1/31 | 27,197 | 29,330 | ||||||
2.50%, 12/1/31 | 39,188 | 40,498 | ||||||
3.00%, 6/1/32 | 19,850 | 20,814 | ||||||
3.00%, 12/1/32 | 20,873 | 21,693 | ||||||
2.50%, 1/1/33 | 22,588 | 23,304 | ||||||
6.00%, 4/1/33 | 29,564 | 34,241 | ||||||
2.50%, 7/1/34 | 22,370 | 22,983 | ||||||
4.00%, 8/1/34 | 9,284 | 9,982 | ||||||
6.00%, 8/1/34 | 20,470 | 23,912 | ||||||
4.00%, 10/1/35 | 37,388 | 40,318 | ||||||
3.50%, 1/1/36 | 21,607 | 22,846 | ||||||
3.00%, 11/1/36 | 34,545 | 36,451 | ||||||
3.00%, 3/1/38 | 32,793 | 34,193 | ||||||
4.50%, 11/1/39 | 33,193 | 36,613 | ||||||
4.50%, 2/1/41 | 28,508 | 31,463 | ||||||
4.00%, 2/1/42 | 36,005 | 39,665 | ||||||
3.50%, 6/1/42 | 91,090 | 97,720 | ||||||
3.00%, 1/1/43 | 47,214 | 49,794 | ||||||
3.00%, 4/1/43 | 55,835 | 58,886 | ||||||
4.00%, 6/1/43 | 11,152 | 12,116 | ||||||
3.50%, 7/1/43 | 106,972 | 116,669 | ||||||
3.00%, 9/1/43 | 99,561 | 105,087 | ||||||
4.00%, 9/1/43 | 20,593 | 22,461 | ||||||
4.00%, 11/1/43 | 22,438 | 24,299 | ||||||
4.50%, 5/1/44 | 17,684 | 19,314 | ||||||
5.00%, 6/1/44 | 47,698 | 53,023 | ||||||
4.00%, 9/1/44 | 22,325 | 24,187 | ||||||
4.00%, 10/1/44 | 25,262 | 27,369 | ||||||
4.00%, 1/1/45 | 43,733 | 47,381 | ||||||
3.50%, 3/1/46 | 49,522 | 52,353 | ||||||
3.50%, 4/1/46 | 26,046 | 27,541 | ||||||
3.50%, 5/1/46 | 29,307 | 30,884 | ||||||
3.00%, 9/1/46 | 36,075 | 37,659 | ||||||
3.00%, 10/1/46 | 109,732 | 114,764 | ||||||
4.00%, 10/1/46 | 31,977 | 34,265 | ||||||
2.50%, 11/1/46 | 20,259 | 20,805 | ||||||
3.00%, 11/1/46 | 37,109 | 38,837 | ||||||
3.50%, 11/1/46 | 71,083 | 75,213 | ||||||
4.00%, 2/1/47 | 84,660 | 91,874 | ||||||
4.00%, 3/1/47 | 38,465 | 41,092 | ||||||
4.00%, 4/1/47 | 52,893 | 56,484 | ||||||
3.50%, 9/1/47 | 18,760 | 19,782 | ||||||
3.50%, 10/1/47 | 30,450 | 32,079 | ||||||
3.50%, 11/1/47 | 24,290 | 25,594 | ||||||
4.50%, 11/1/47 | 15,286 | 16,628 | ||||||
3.50%, 12/1/47 | 181,573 | 191,380 | ||||||
5.00%, 8/1/48 | 36,852 | 39,939 | ||||||
4.50%, 12/1/48 | 63,107 | 67,356 | ||||||
3.00%, 7/1/49 | 136,946 | 141,193 | ||||||
3.00%, 9/1/49 | 97,766 | 100,915 | ||||||
|
| |||||||
Total Federal National Mortgage Association |
| 2,632,224 | ||||||
Government National Mortgage Association – 7.0% |
| |||||||
3.00%, 5/20/42 | 63,809 | 66,548 | ||||||
3.50%, 6/20/42 | 76,844 | 81,706 | ||||||
3.00%, 12/20/42 | 70,470 | 73,604 | ||||||
3.50%, 3/20/43 | 56,609 | 60,402 | ||||||
3.50%, 4/20/43 | 57,832 | 61,492 | ||||||
4.50%, 6/20/43 | 29,894 | 32,522 | ||||||
3.00%, 4/20/44 | 20,962 | 21,869 | ||||||
5.00%, 8/20/44 | 34,209 | 38,219 | ||||||
4.00%, 12/20/44 | 57,602 | 61,804 | ||||||
4.50%, 12/20/44 | 47,630 | 51,579 | ||||||
3.50%, 7/20/45 | 30,684 | 32,343 | ||||||
3.50%, 9/20/45 | 28,847 | 30,451 |
See Notes to Financial Statements.
76 | WisdomTree Trust |
Table of Contents
Schedule of Investments (unaudited) (continued)
WisdomTree Negative Duration U.S. Aggregate Bond Fund (AGND)
February 29, 2020
Investments in Long Securities | Principal Amount | Value | ||||||
3.00%, 12/20/45 | $ | 50,939 | $ | 53,188 | ||||
4.00%, 12/20/45 | 22,797 | 24,455 | ||||||
3.00%, 4/20/46 | 18,391 | 19,231 | ||||||
3.00%, 5/20/46 | 16,988 | 17,754 | ||||||
4.00%, 8/20/46 | 14,684 | 15,581 | ||||||
4.00%, 12/20/46 | 15,881 | 16,756 | ||||||
4.00%, 1/20/47 | 24,350 | 25,627 | ||||||
3.50%, 2/20/47 | 74,650 | 78,056 | ||||||
3.00%, 6/20/47 | 91,177 | 94,756 | ||||||
3.50%, 8/20/47 | 52,372 | 54,945 | ||||||
4.00%, 1/20/48 | 46,194 | 48,908 | ||||||
4.00%, 6/20/48 | 62,895 | 66,061 | ||||||
5.00%, 6/20/48 | 25,059 | 27,003 | ||||||
4.50%, 7/20/48 | 54,491 | 58,007 | ||||||
3.50%, 8/20/48 | 116,638 | 122,099 | ||||||
4.00%, 5/20/49 | 58,592 | 61,215 | ||||||
|
| |||||||
Total Government National Mortgage Association |
| 1,396,181 | ||||||
Tennessee Valley Authority – 0.1% |
| |||||||
5.25%, 9/15/39 | 15,000 | 22,540 | ||||||
Uniform Mortgage-Backed Securities – 0.5% |
| |||||||
3.50%, 3/18/35(a) | 25,000 | 26,188 | ||||||
2.50%, 3/12/50(a) | 50,000 | 51,020 | ||||||
3.50%, 3/23/50(a) | 25,000 | 26,160 | ||||||
|
| |||||||
Total Uniform Mortgage-Backed Securities |
| 103,368 | ||||||
TOTAL U.S. GOVERNMENT AGENCIES (Cost: $5,447,454) |
| 5,691,975 | ||||||
U.S. GOVERNMENT OBLIGATIONS – 35.6% |
| |||||||
U.S. Treasury Bonds – 10.1% |
| |||||||
6.88%, 8/15/25 | 54,000 | 71,089 | ||||||
6.75%, 8/15/26 | 48,000 | 65,371 | ||||||
6.50%, 11/15/26 | 50,000 | 67,917 | ||||||
5.25%, 11/15/28 | 44,000 | 59,268 | ||||||
5.25%, 2/15/29 | 13,000 | 17,619 | ||||||
1.63%, 8/15/29 | 25,000 | 26,126 | ||||||
6.13%, 8/15/29 | 50,000 | 72,584 | ||||||
6.25%, 5/15/30 | 27,000 | 40,347 | ||||||
5.38%, 2/15/31 | 71,400 | 102,389 | ||||||
4.63%, 2/15/40 | 95,000 | 146,812 | ||||||
4.38%, 5/15/40 | 25,000 | 37,576 | ||||||
4.75%, 2/15/41 | 19,000 | 30,010 | ||||||
4.38%, 5/15/41 | 22,000 | 33,281 | ||||||
3.13%, 2/15/43 | 13,000 | 16,729 | ||||||
3.63%, 8/15/43 | 41,800 | 58,057 | ||||||
3.75%, 11/15/43 | 13,000 | 18,405 | ||||||
3.63%, 2/15/44 | 54,000 | 75,184 | ||||||
3.13%, 8/15/44 | 43,000 | 55,628 | ||||||
2.50%, 2/15/45 | 69,000 | 80,544 | ||||||
3.00%, 5/15/45 | 38,000 | 48,351 | ||||||
2.88%, 8/15/45 | 63,000 | 78,617 | ||||||
3.00%, 11/15/45 | 71,000 | 90,617 | ||||||
2.50%, 2/15/46 | 88,000 | 103,091 | ||||||
2.50%, 5/15/46 | 93,000 | 109,108 | ||||||
2.25%, 8/15/46 | 12,000 | 13,453 | ||||||
2.75%, 8/15/47 | 37,000 | 45,742 | ||||||
2.75%, 11/15/47 | 27,000 | 33,429 | ||||||
3.13%, 5/15/48 | 58,000 | 77,022 | ||||||
3.00%, 8/15/48 | 59,000 | 76,849 | ||||||
3.38%, 11/15/48 | 85,000 | 118,358 | ||||||
3.00%, 2/15/49 | 20,000 | 26,161 | ||||||
2.25%, 8/15/49 | 100,000 | 113,574 | ||||||
|
| |||||||
Total U.S. Treasury Bonds |
| 2,009,308 | ||||||
U.S. Treasury Notes – 25.5% |
| |||||||
1.25%, 3/31/21 | 198,000 | 198,418 | ||||||
1.25%, 10/31/21 | 112,000 | 112,586 | ||||||
2.00%, 11/15/21 | 83,000 | 84,508 | ||||||
2.00%, 12/31/21 | 112,000 | 114,190 | ||||||
1.88%, 1/31/22 | 56,000 | 57,032 | ||||||
1.88%, 3/31/22 | 75,000 | 76,516 | ||||||
1.88%, 4/30/22 | 112,000 | 114,362 | ||||||
1.75%, 5/15/22 | 69,000 | 70,317 | ||||||
1.75%, 5/31/22 | 132,000 | 134,542 | ||||||
1.88%, 10/31/22 | 69,000 | 70,809 | ||||||
2.00%, 10/31/22 | 75,000 | 77,218 | ||||||
1.63%, 11/15/22 | 113,000 | 115,245 | ||||||
2.00%, 11/30/22 | 125,000 | 128,791 | ||||||
2.13%, 12/31/22 | 88,000 | 91,070 | ||||||
1.50%, 2/28/23 | 27,000 | 27,499 | ||||||
1.50%, 3/31/23 | 83,000 | 84,572 | ||||||
1.75%, 5/15/23 | 83,000 | 85,265 | ||||||
1.38%, 6/30/23 | 43,000 | 43,691 | ||||||
2.50%, 8/15/23 | 56,000 | 59,066 | ||||||
1.38%, 8/31/23 | 25,000 | 25,413 | ||||||
1.38%, 9/30/23 | 194,000 | 197,259 | ||||||
1.63%, 10/31/23 | 266,000 | 273,045 | ||||||
2.75%, 11/15/23 | 43,000 | 45,903 | ||||||
2.13%, 11/30/23 | 139,000 | 145,279 | ||||||
2.13%, 2/29/24 | 154,000 | 161,357 | ||||||
2.13%, 3/31/24 | 56,000 | 58,737 | ||||||
2.50%, 5/15/24 | 13,000 | 13,852 | ||||||
2.00%, 5/31/24 | 56,000 | 58,536 | ||||||
2.00%, 6/30/24 | 56,000 | 58,594 | ||||||
2.38%, 8/15/24 | 58,000 | 61,699 | ||||||
1.88%, 8/31/24 | 56,000 | 58,361 | ||||||
1.50%, 9/30/24 | 50,000 | 51,313 | ||||||
2.13%, 9/30/24 | 83,000 | 87,487 | ||||||
1.50%, 10/31/24 | 100,000 | 102,666 | ||||||
2.25%, 10/31/24 | 27,000 | 28,638 | ||||||
2.25%, 11/15/24 | 146,000 | 154,917 | ||||||
2.13%, 11/30/24 | 50,000 | 52,790 | ||||||
2.50%, 1/31/25 | 100,000 | 107,580 | ||||||
2.00%, 2/15/25 | 239,000 | 251,412 | ||||||
2.13%, 5/15/25 | 56,000 | 59,361 | ||||||
2.00%, 8/15/25 | 56,000 | 59,083 | ||||||
2.25%, 11/15/25 | 104,000 | 111,339 | ||||||
1.50%, 8/15/26 | 69,000 | 71,051 | ||||||
2.00%, 11/15/26 | 75,000 | 79,695 | ||||||
2.25%, 2/15/27 | 56,000 | 60,560 | ||||||
2.38%, 5/15/27 | 79,000 | 86,315 | ||||||
2.25%, 8/15/27 | 56,000 | 60,827 | ||||||
2.25%, 11/15/27 | 56,000 | 60,940 | ||||||
2.75%, 2/15/28 | 19,000 | 21,446 | ||||||
2.88%, 5/15/28 | 167,000 | 190,595 | ||||||
2.88%, 8/15/28 | 113,000 | 129,319 | ||||||
2.63%, 2/15/29 | 100,000 | 112,936 |
See Notes to Financial Statements.
WisdomTree Trust | 77 |
Table of Contents
Schedule of Investments (unaudited) (continued)
WisdomTree Negative Duration U.S. Aggregate Bond Fund (AGND)
February 29, 2020
Investments in Long Securities | Principal Amount | Value | ||||||
2.38%, 5/15/29 | $ | 100,000 | $ | 110,998 | ||||
1.75%, 11/15/29 | 25,000 | 26,420 | ||||||
2.88%, 5/15/49 | 42,000 | 53,792 | ||||||
2.38%, 11/15/49 | 8,000 | 9,331 | ||||||
|
| |||||||
Total U.S. Treasury Notes |
| 5,044,543 | ||||||
TOTAL U.S. GOVERNMENT OBLIGATIONS (Cost: $6,493,761) |
| 7,053,851 | ||||||
U.S. CORPORATE BONDS – 23.0% |
| |||||||
United States – 23.0% |
| |||||||
3M Co. | 24,000 | 25,429 | ||||||
Abbott Laboratories |
| |||||||
3.88%, 9/15/25 | 12,000 | 13,361 | ||||||
4.75%, 11/30/36 | 15,000 | 19,692 | ||||||
AbbVie, Inc. |
| |||||||
3.60%, 5/14/25 | 12,000 | 12,953 | ||||||
4.88%, 11/14/48 | 20,000 | 24,645 | ||||||
AEP Texas, Inc. | 27,000 | 30,928 | ||||||
Air Lease Corp. | 12,000 | 12,738 | ||||||
Allergan Funding SCS |
| |||||||
3.80%, 3/15/25 | 5,000 | 5,468 | ||||||
4.85%, 6/15/44 | 4,000 | 4,868 | ||||||
Allstate Corp. (The) | 15,000 | 19,240 | ||||||
Altria Group, Inc. | 16,000 | 16,450 | ||||||
Amazon.com, Inc. |
| |||||||
2.50%, 11/29/22 | 12,000 | 12,370 | ||||||
4.05%, 8/22/47 | 7,000 | 9,019 | ||||||
American Express Co. | 5,000 | 5,105 | ||||||
American Express Credit Corp. | 12,000 | 12,296 | ||||||
American International Group, Inc. |
| |||||||
4.88%, 6/1/22(b) | 16,000 | 17,058 | ||||||
3.75%, 7/10/25 | 12,000 | 13,097 | ||||||
4.50%, 7/16/44 | 15,000 | 18,411 | ||||||
American Tower Corp. | 24,000 | 25,977 | ||||||
American Water Capital Corp. |
| |||||||
3.40%, 3/1/25 | 25,000 | 27,221 | ||||||
4.00%, 12/1/46 | 13,000 | 15,245 | ||||||
Amgen, Inc. | 25,000 | 31,001 | ||||||
Anthem, Inc. |
| |||||||
3.50%, 8/15/24 | 4,000 | 4,277 | ||||||
5.85%, 1/15/36 | 12,000 | 15,597 | ||||||
Apache Corp. | 4,000 | 3,564 | ||||||
Apple, Inc. |
| |||||||
3.45%, 5/6/24(b) | 24,000 | 26,000 | ||||||
4.65%, 2/23/46 | 12,000 | 16,009 | ||||||
AT&T, Inc. | 7,000 | 7,193 | ||||||
3.00%, 6/30/22 | 5,000 | 5,162 | ||||||
4.30%, 2/15/30 | 12,000 | 13,747 | ||||||
4.50%, 5/15/35 | 5,000 | 5,830 | ||||||
4.80%, 6/15/44 | 5,000 | 5,924 | ||||||
4.35%, 6/15/45 | 12,000 | 13,546 | ||||||
5.45%, 3/1/47 | 27,000 | 35,134 | ||||||
5.70%, 3/1/57 | 16,000 | 22,109 | ||||||
Bank of America Corp. | ||||||||
5.70%, 1/24/22(b) | 7,000 | 7,573 | ||||||
3.00%, 12/20/23, (3.004% fixed rate until 12/20/22; 3-month U.S. dollar London Interbank Offered Rate + 0.79% thereafter)(c) | 21,000 | 21,771 | ||||||
3.88%, 8/1/25(b) | 4,000 | 4,432 | ||||||
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)(c) | 26,000 | 27,331 | ||||||
4.45%, 3/3/26 | 15,000 | 16,933 | ||||||
3.71%, 4/24/28, (3.705% fixed rate until 4/24/27; 3-month U.S. dollar London Interbank Offered Rate + 1.512% thereafter)(c) | 12,000 | 13,113 | ||||||
3.59%, 7/21/28, (3.593% fixed rate until 7/21/27; 3-month U.S. dollar London Interbank Offered Rate + 1.37% thereafter)(c) | 5,000 | 5,466 | ||||||
4.88%, 4/1/44 | 12,000 | 15,861 | ||||||
Berkshire Hathaway, Inc. |
| |||||||
2.75%, 3/15/23 | 7,000 | 7,279 | ||||||
3.13%, 3/15/26(b) | 26,000 | 28,182 | ||||||
Biogen, Inc. | 15,000 | 19,452 | ||||||
Boeing Co. (The) | 4,000 | 5,375 | ||||||
BorgWarner, Inc. | 4,000 | 4,406 | ||||||
Boston Properties L.P. | 25,000 | 26,572 | ||||||
BP Capital Markets America, Inc. | 23,000 | 24,584 | ||||||
Bristol-Myers Squibb Co. |
| |||||||
3.88%, 8/15/25(d) | 5,000 | 5,549 | ||||||
4.55%, 2/20/48(d) | 12,000 | 15,852 | ||||||
Broadcom Corp. | 26,000 | 26,510 | ||||||
Burlington Northern Santa Fe LLC | 16,000 | 19,886 | ||||||
Capital One Financial Corp. | 19,000 | 20,723 | ||||||
Cardinal Health, Inc. | 12,000 | 12,793 | ||||||
Caterpillar Financial Services Corp. | 6,000 | 6,017 | ||||||
Caterpillar, Inc. | 4,000 | 4,773 | ||||||
Charter Communications Operating LLC |
| |||||||
4.46%, 7/23/22 | 12,000 | 12,725 | ||||||
6.38%, 10/23/35 | 26,000 | 34,377 | ||||||
6.48%, 10/23/45 | 12,000 | 15,443 | ||||||
Chevron Corp. | 43,000 | 43,908 |
See Notes to Financial Statements.
78 | WisdomTree Trust |
Table of Contents
Schedule of Investments (unaudited) (continued)
WisdomTree Negative Duration U.S. Aggregate Bond Fund (AGND)
February 29, 2020
Investments in Long Securities | Principal Amount | Value | ||||||
Cigna Corp. | $ | 27,000 | $ | 28,714 | ||||
4.80%, 7/15/46(d) | 16,000 | 19,278 | ||||||
Citigroup, Inc. | 33,000 | 36,810 | ||||||
4.45%, 9/29/27(b) | 19,000 | 21,474 | ||||||
5.30%, 5/6/44 | 12,000 | 15,938 | ||||||
Clorox Co. (The) | 43,000 | 46,866 | ||||||
CME Group, Inc. | 27,000 | 28,176 | ||||||
Coca-Cola Co. (The) | 12,000 | 12,794 | ||||||
Comcast Corp. |
| |||||||
3.15%, 3/1/26 | 4,000 | 4,318 | ||||||
2.35%, 1/15/27(b) | 7,000 | 7,240 | ||||||
7.05%, 3/15/33 | 6,000 | 9,055 | ||||||
3.90%, 3/1/38 | 12,000 | 13,988 | ||||||
4.05%, 11/1/52 | 12,000 | 14,317 | ||||||
Concho Resources, Inc. | 16,000 | 16,645 | ||||||
ConocoPhillips | 16,000 | 23,714 | ||||||
Consolidated Edison Co. of New York, Inc. | 12,000 | 16,076 | ||||||
Costco Wholesale Corp. |
| |||||||
2.30%, 5/18/22 | 24,000 | 24,595 | ||||||
3.00%, 5/18/27(b) | 15,000 | 16,329 | ||||||
Crown Castle International Corp. | 12,000 | 12,742 | ||||||
CSX Corp. |
| |||||||
3.25%, 6/1/27 | 19,000 | 20,438 | ||||||
4.50%, 8/1/54 | 7,000 | 8,696 | ||||||
CVS Health Corp. |
| |||||||
3.38%, 8/12/24 | 28,000 | 29,723 | ||||||
5.05%, 3/25/48 | 14,000 | 17,240 | ||||||
Dell International LLC | 26,000 | 30,494 | ||||||
Discovery Communications LLC | 24,000 | 25,724 | ||||||
Dominion Energy, Inc. | 12,000 | 12,944 | ||||||
Dow Chemical Co. (The) | 7,000 | 7,753 | ||||||
Duke Energy Corp. | 26,000 | 27,911 | ||||||
Duke Energy Florida LLC | 14,500 | 21,890 | ||||||
Duke Energy Indiana LLC | 12,000 | 18,725 | ||||||
DuPont de Nemours, Inc. | 15,000 | 18,919 | ||||||
DXC Technology Co. | 7,000 | 7,704 | ||||||
Eaton Corp. | 24,000 | 24,877 | ||||||
eBay, Inc. | 24,000 | 24,974 | ||||||
Ecolab, Inc. | 4,000 | 5,685 | ||||||
Eli Lilly & Co. | 4,000 | 4,092 | ||||||
Energy Transfer Partners L.P. | 16,000 | 17,225 | ||||||
Enterprise Products Operating LLC |
| |||||||
3.35%, 3/15/23 | 16,000 | 16,711 | ||||||
4.45%, 2/15/43 | 12,000 | 13,278 | ||||||
Exelon Corp. | 38,000 | 46,061 | ||||||
Exelon Generation Co. LLC | 6,000 | 7,506 | ||||||
Exxon Mobil Corp. | 20,000 | 20,851 | ||||||
FedEx Corp. |
| |||||||
4.10%, 4/15/43 | 15,000 | 15,605 | ||||||
4.55%, 4/1/46 | 7,000 | 7,692 | ||||||
Fiserv, Inc. | 15,000 | 16,448 | ||||||
Florida Power & Light Co. | 12,000 | 18,098 | ||||||
Ford Motor Co. | 6,000 | 5,171 | ||||||
General Electric Co. | 12,000 | 12,453 | ||||||
General Motors Co. | 15,000 | 15,313 | ||||||
General Motors Financial Co., Inc. |
| |||||||
3.45%, 1/14/22 | 26,000 | 26,571 | ||||||
4.30%, 7/13/25 | 14,000 | 14,885 | ||||||
George Washington University (The) | 12,000 | 15,397 | ||||||
Gilead Sciences, Inc. |
| |||||||
4.50%, 4/1/21 | 7,000 | 7,263 | ||||||
3.65%, 3/1/26 | 12,000 | 13,207 | ||||||
5.65%, 12/1/41 | 16,000 | 22,760 | ||||||
Goldman Sachs Group, Inc. (The) |
| |||||||
2.35%, 11/15/21 | 5,000 | 5,028 | ||||||
3.00%, 4/26/22(b) | 12,000 | 12,200 | ||||||
4.00%, 3/3/24 | 5,000 | 5,440 | ||||||
3.50%, 1/23/25 | 5,000 | 5,339 | ||||||
4.25%, 10/21/25 | 15,000 | 16,395 | ||||||
3.85%, 1/26/27 | 5,000 | 5,496 | ||||||
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)(b)(c) | 24,000 | 27,242 | ||||||
6.13%, 2/15/33 | 2,000 | 2,771 | ||||||
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)(c) | 5,000 | 5,682 |
See Notes to Financial Statements.
WisdomTree Trust | 79 |
Table of Contents
Schedule of Investments (unaudited) (continued)
WisdomTree Negative Duration U.S. Aggregate Bond Fund (AGND)
February 29, 2020
Investments in Long Securities | Principal Amount | Value | ||||||
Halliburton Co. | $ | 15,000 | $ | 16,357 | ||||
Hewlett Packard Enterprise Co. | 15,000 | 18,787 | ||||||
Home Depot, Inc. (The) |
| |||||||
2.63%, 6/1/22 | 24,000 | 24,677 | ||||||
5.88%, 12/16/36 | 15,000 | 21,684 | ||||||
3.90%, 6/15/47(b) | 4,000 | 4,889 | ||||||
Honeywell International, Inc. | 12,000 | 12,335 | ||||||
Humana, Inc. | 12,000 | 14,804 | ||||||
Intel Corp. | 15,000 | 16,350 | ||||||
International Lease Finance Corp. | 15,000 | 16,373 | ||||||
International Paper Co. |
| |||||||
3.00%, 2/15/27(b) | 12,000 | 12,892 | ||||||
4.35%, 8/15/48 | 15,000 | 17,074 | ||||||
Invesco Finance PLC | 4,000 | 5,355 | ||||||
Johnson & Johnson | 7,000 | 7,557 | ||||||
Johnson Controls International PLC |
| |||||||
3.63%, 7/2/24(c) | 12,000 | 12,872 | ||||||
6.00%, 1/15/36 | 13,000 | 17,204 | ||||||
JPMorgan Chase & Co. |
| |||||||
2.30%, 8/15/21 | 18,000 | 18,044 | ||||||
4.50%, 1/24/22 | 19,000 | 20,031 | ||||||
3.25%, 9/23/22 | 7,000 | 7,301 | ||||||
3.88%, 9/10/24 | 12,000 | 13,001 | ||||||
3.90%, 7/15/25 | 26,000 | 28,702 | ||||||
3.30%, 4/1/26 | 7,000 | 7,625 | ||||||
3.88%, 7/24/38, (3.882% fixed rate until 7/24/37; 3-month U.S. dollar London Interbank Offered Rate + 1.36% thereafter)(c) | 5,000 | 5,721 | ||||||
5.63%, 8/16/43(b) | 12,000 | 16,903 | ||||||
4.03%, 7/24/48, (4.032% fixed rate until 7/24/47; 3-month U.S. dollar London Interbank Offered Rate + 1.46% thereafter)(c) | 12,000 | 14,581 | ||||||
KeyCorp | 75,000 | 77,659 | ||||||
Kinder Morgan Energy Partners L.P. | 13,000 | 15,541 | ||||||
Kinder Morgan, Inc. | 18,000 | 18,669 | ||||||
Kroger Co. (The) |
| |||||||
2.65%, 10/15/26(b) | 15,000 | 15,564 | ||||||
4.45%, 2/1/47 | 4,000 | 4,536 | ||||||
Laboratory Corp. of America Holdings | 12,000 | 12,341 | ||||||
Lockheed Martin Corp. | 6,000 | 7,724 | ||||||
Lowe’s Cos., Inc. | 4,000 | 4,510 | ||||||
LYB International Finance B.V. | 4,000 | 4,691 | ||||||
Macy’s Retail Holdings, Inc. | 5,000 | 5,006 | ||||||
Magellan Midstream Partners L.P. | 4,000 | 4,505 | ||||||
Marathon Oil Corp. | 6,000 | 7,407 | ||||||
Marathon Petroleum Corp. |
| |||||||
5.13%, 3/1/21 | 16,000 | 16,548 | ||||||
4.75%, 9/15/44(b) | 4,000 | 4,591 | ||||||
Marsh & McLennan Cos., Inc. | 26,000 | 26,622 | ||||||
Medtronic, Inc. | 26,000 | 33,134 | ||||||
Merck & Co., Inc. | 7,000 | 7,379 | ||||||
MetLife, Inc. | 19,000 | 24,745 | ||||||
Microsoft Corp. |
| |||||||
2.00%, 8/8/23 | 4,000 | 4,099 | ||||||
3.50%, 2/12/35 | 16,000 | 18,636 | ||||||
4.00%, 2/12/55 | 15,000 | 19,012 | ||||||
4.50%, 2/6/57(b) | 24,000 | 33,396 | ||||||
MidAmerican Energy Co. | 19,000 | 20,551 | ||||||
Molson Coors Beverage Co. | 15,000 | 15,121 | ||||||
Morgan Stanley |
| |||||||
5.50%, 7/28/21 | 12,000 | 12,648 | ||||||
7.25%, 4/1/32(b) | 13,000 | 19,314 | ||||||
4.38%, 1/22/47 | 25,000 | 31,612 | ||||||
Mosaic Co. (The) | 4,000 | 4,328 | ||||||
NIKE, Inc. | 12,000 | 12,641 | ||||||
NiSource, Inc. | 13,000 | 15,791 | ||||||
Noble Energy, Inc. | 4,000 | 4,107 | ||||||
Norfolk Southern Corp. | 12,000 | 12,997 | ||||||
Northrop Grumman Corp. |
| |||||||
2.55%, 10/15/22 | 16,000 | 16,486 | ||||||
3.25%, 8/1/23 | 27,000 | 28,643 | ||||||
3.25%, 1/15/28(b) | 15,000 | 16,198 | ||||||
NVIDIA Corp. | 7,000 | 7,086 | ||||||
Occidental Petroleum Corp. |
| |||||||
3.40%, 4/15/26 | 27,000 | 27,647 | ||||||
4.63%, 6/15/45(b) | 7,000 | 6,819 | ||||||
Oncor Electric Delivery Co. LLC | 12,000 | 15,656 | ||||||
Oracle Corp. |
| |||||||
3.63%, 7/15/23 | 12,000 | 12,889 | ||||||
3.25%, 11/15/27 | 12,000 | 13,197 | ||||||
3.80%, 11/15/37 | 26,000 | 30,089 | ||||||
4.00%, 7/15/46 | 12,000 | 14,306 |
See Notes to Financial Statements.
80 | WisdomTree Trust |
Table of Contents
Schedule of Investments (unaudited) (continued)
WisdomTree Negative Duration U.S. Aggregate Bond Fund (AGND)
February 29, 2020
Investments in Long Securities | Principal Amount | Value | ||||||
Owens Corning | $ | 7,000 | $ | 7,799 | ||||
PepsiCo, Inc. | 54,000 | 54,469 | ||||||
2.38%, 10/6/26(b) | 7,000 | 7,323 | ||||||
3.45%, 10/6/46 | 12,000 | 13,743 | ||||||
Pfizer, Inc. | 15,000 | 18,284 | ||||||
7.20%, 3/15/39 | 14,000 | 23,761 | ||||||
Philip Morris International, Inc. | 25,000 | 31,275 | ||||||
Phillips 66 | 4,000 | 4,817 | ||||||
Plains All American Pipeline L.P. | 16,500 | 16,969 | ||||||
PNC Financial Services Group, Inc. (The) | 27,000 | 29,217 | ||||||
Procter & Gamble Co. (The) |
| |||||||
1.70%, 11/3/21 | 26,000 | 26,305 | ||||||
3.10%, 8/15/23(b) | 7,000 | 7,469 | ||||||
2.45%, 11/3/26(b) | 7,000 | 7,567 | ||||||
3.50%, 10/25/47 | 12,000 | 14,866 | ||||||
Prudential Financial, Inc. | 12,000 | 13,593 | ||||||
QUALCOMM, Inc. | 15,000 | 15,472 | ||||||
Realty Income Corp. | 15,000 | 15,697 | ||||||
Rockwell Collins, Inc. |
| |||||||
3.20%, 3/15/24 | 12,000 | 12,772 | ||||||
4.80%, 12/15/43 | 4,000 | 5,267 | ||||||
Royal Caribbean Cruises Ltd. | 19,000 | 24,646 | ||||||
Sabine Pass Liquefaction LLC | 5,000 | 5,689 | ||||||
Santander Holdings USA, Inc. | 36,000 | 39,509 | ||||||
Schlumberger Investment S.A. | 7,000 | 7,474 | ||||||
Seagate HDD Cayman | 7,000 | 7,149 | ||||||
Sempra Energy | 12,000 | 16,788 | ||||||
Sherwin-Williams Co. (The) |
| |||||||
2.75%, 6/1/22(b) | 7,000 | 7,207 | ||||||
3.45%, 6/1/27 | 5,000 | 5,455 | ||||||
Shire Acquisitions Investments Ireland DAC | 16,000 | 16,217 | ||||||
Simon Property Group L.P. | 24,000 | 26,396 | ||||||
SITE Centers Corp. | 16,000 | 18,009 | ||||||
Southern California Edison Co. | 13,000 | 16,005 | ||||||
Southern Co. (The) | 26,000 | 27,910 | ||||||
Starbucks Corp. | 24,000 | 25,849 | ||||||
State Street Corp. | 24,000 | 25,298 | ||||||
Sunoco Logistics Partners Operations L.P. | 24,000 | 25,156 | ||||||
Synchrony Financial |
| |||||||
4.25%, 8/15/24 | 4,000 | 4,304 | ||||||
4.50%, 7/23/25 | 12,000 | 13,200 | ||||||
Target Corp. | 7,000 | 8,450 | ||||||
TD Ameritrade Holding Corp. | 12,000 | 13,018 | ||||||
Texas Instruments, Inc. | 15,000 | 15,173 | ||||||
Thermo Fisher Scientific, Inc. | 7,000 | 7,479 | ||||||
Time Warner Cable LLC |
| |||||||
7.30%, 7/1/38(b) | 7,000 | 9,599 | ||||||
6.75%, 6/15/39 | 4,500 | 5,836 | ||||||
4.50%, 9/15/42 | 7,000 | 7,294 | ||||||
TJX Cos., Inc. (The) | 7,000 | 7,211 | ||||||
Toyota Motor Credit Corp. | 24,000 | 24,632 | ||||||
Transcontinental Gas Pipe Line Co. LLC | 12,000 | 15,519 | ||||||
Truist Financial Corp. |
| |||||||
2.05%, 5/10/21 | 31,000 | 31,226 | ||||||
2.70%, 1/27/22 | 15,000 | 15,340 | ||||||
2.85%, 10/26/24 | 12,000 | 12,583 | ||||||
TWDC Enterprises 18 Corp. |
| |||||||
2.45%, 3/4/22 | 26,000 | 26,678 | ||||||
3.00%, 2/13/26(b) | 15,000 | 16,312 | ||||||
Tyson Foods, Inc. |
| |||||||
2.25%, 8/23/21(b) | 26,000 | 26,208 | ||||||
3.95%, 8/15/24 | 16,000 | 17,477 | ||||||
U.S. Bancorp | 23,000 | 24,909 | ||||||
Union Pacific Corp. | 10,000 | 11,548 | ||||||
United Technologies Corp. |
| |||||||
2.80%, 5/4/24 | 7,000 | 7,443 | ||||||
2.65%, 11/1/26(b) | 26,000 | 28,051 | ||||||
4.50%, 6/1/42(b) | 15,000 | 19,273 | ||||||
UnitedHealth Group, Inc. |
| |||||||
2.75%, 2/15/23 | 16,000 | 16,567 | ||||||
3.85%, 6/15/28 | 24,000 | 27,222 | ||||||
4.25%, 3/15/43 | 4,000 | 4,782 | ||||||
Ventas Realty L.P. | 23,000 | 27,259 | ||||||
VEREIT Operating Partnership L.P. | 27,000 | 29,815 | ||||||
Verizon Communications, Inc. |
| |||||||
4.02%, 12/3/29 | 22,000 | 25,575 | ||||||
5.25%, 3/16/37(b) | 15,000 | 20,060 |
See Notes to Financial Statements.
WisdomTree Trust | 81 |
Table of Contents
Schedule of Investments (unaudited) (continued)
WisdomTree Negative Duration U.S. Aggregate Bond Fund (AGND)
February 29, 2020
Investments in Long Securities | Principal Amount | Value | ||||||
4.81%, 3/15/39 | $ | 5,000 | $ | 6,421 | ||||
4.67%, 3/15/55 | 5,000 | 6,672 | ||||||
ViacomCBS, Inc. | ||||||||
7.88%, 7/30/30 | 19,000 | 27,474 | ||||||
4.38%, 3/15/43 | 4,000 | 4,303 | ||||||
Virginia Electric & Power Co. | 7,000 | 7,727 | ||||||
Visa, Inc. | 19,000 | 23,593 | ||||||
Walgreens Boots Alliance, Inc. | 15,000 | 16,017 | ||||||
Walmart, Inc. | ||||||||
5.88%, 4/5/27 | 20,000 | 25,473 | ||||||
3.63%, 12/15/47 | 15,000 | 17,976 | ||||||
Walt Disney Co. (The) | 11,000 | 16,962 | ||||||
Waste Management, Inc. | ||||||||
3.90%, 3/1/35 | 12,000 | 13,897 | ||||||
4.10%, 3/1/45(b) | 7,000 | 8,599 | ||||||
Wells Fargo & Co. | ||||||||
3.50%, 3/8/22 | 6,000 | 6,231 | ||||||
3.07%, 1/24/23 | 56,000 | 57,462 | ||||||
4.13%, 8/15/23 | 1,000 | 1,079 | ||||||
3.00%, 2/19/25 | 2,000 | 2,115 | ||||||
4.30%, 7/22/27(b) | 2,000 | 2,245 | ||||||
4.90%, 11/17/45 | 12,000 | 15,248 | ||||||
Weyerhaeuser Co. | 8,000 | 11,626 | ||||||
Williams Cos., Inc. (The) | 7,000 | 7,505 | ||||||
Zoetis, Inc. | 7,000 | 7,530 | ||||||
TOTAL U.S. CORPORATE BONDS (Cost: $4,151,698) |
| 4,551,676 | ||||||
FOREIGN CORPORATE BONDS – 3.4% |
| |||||||
Belgium – 0.1% |
| |||||||
Anheuser-Busch Cos. LLC | 23,000 | 28,398 | ||||||
Canada – 0.9% |
| |||||||
Bank of Montreal | 16,000 | 16,123 | ||||||
Bank of Nova Scotia (The) | 27,000 | 27,707 | ||||||
Barrick Gold Corp. | 7,000 | 9,282 | ||||||
Cenovus Energy, Inc. | 15,000 | 18,581 | ||||||
Manulife Financial Corp. | 27,000 | 30,709 | ||||||
Nexen, Inc. | 5,000 | 7,354 | ||||||
Royal Bank of Canada | 18,000 | 20,834 | ||||||
Suncor Energy, Inc. | 16,000 | 23,524 | ||||||
TELUS Corp. | 4,000 | 4,453 | ||||||
Toronto-Dominion Bank (The) | 26,000 | 26,147 | ||||||
|
| |||||||
Total Canada |
| 184,714 | ||||||
Germany – 0.2% |
| |||||||
Daimler Finance North America LLC | 12,000 | 18,537 | ||||||
Deutsche Bank AG | 13,000 | 13,517 | ||||||
|
| |||||||
Total Germany |
| 32,054 | ||||||
Japan – 0.3% |
| |||||||
Mitsubishi UFJ Financial Group, Inc. | 12,000 | 12,991 | ||||||
Sumitomo Mitsui Financial Group, Inc. | ||||||||
2.93%, 3/9/21(b) | 27,000 | 27,307 | ||||||
3.78%, 3/9/26 | 19,000 | 21,005 | ||||||
|
| |||||||
Total Japan |
| 61,303 | ||||||
Mexico – 0.3% |
| |||||||
Petroleos Mexicanos |
| |||||||
6.50%, 3/13/27 | 20,000 | 21,037 | ||||||
6.63%, 6/15/35(b) | 10,000 | 10,039 | ||||||
6.75%, 9/21/47 | 25,000 | 23,943 | ||||||
|
| |||||||
Total Mexico |
| 55,019 | ||||||
Netherlands – 0.3% |
| |||||||
Cooperatieve Rabobank UA | 12,000 | 17,272 | ||||||
Shell International Finance B.V. | ||||||||
3.25%, 5/11/25 | 12,000 | 12,925 | ||||||
2.88%, 5/10/26(b) | 27,000 | 28,769 | ||||||
|
| |||||||
Total Netherlands |
| 58,966 | ||||||
Norway – 0.3% |
| |||||||
Equinor ASA | ||||||||
2.45%, 1/17/23(b) | 33,000 | 34,003 | ||||||
3.95%, 5/15/43(b) | 19,000 | 22,131 | ||||||
|
| |||||||
Total Norway |
| 56,134 | ||||||
Switzerland – 0.2% |
| |||||||
Novartis Capital Corp. | ||||||||
2.40%, 5/17/22 | 26,000 | 26,659 | ||||||
3.10%, 5/17/27 | 15,000 | 16,351 | ||||||
|
| |||||||
Total Switzerland |
| 43,010 | ||||||
United Kingdom – 0.8% |
| |||||||
AstraZeneca PLC | ||||||||
3.38%, 11/16/25 | 16,000 | 17,540 | ||||||
4.38%, 11/16/45 | 7,000 | 9,089 | ||||||
BAT Capital Corp. | ||||||||
3.22%, 8/15/24(b) | 5,000 | 5,255 | ||||||
3.56%, 8/15/27 | 7,000 | 7,348 | ||||||
4.39%, 8/15/37 | 19,000 | 20,154 | ||||||
BP Capital Markets PLC | 27,000 | 30,096 | ||||||
Diageo Capital PLC | 6,000 | 6,216 |
See Notes to Financial Statements.
82 | WisdomTree Trust |
Table of Contents
Schedule of Investments (unaudited) (continued)
WisdomTree Negative Duration U.S. Aggregate Bond Fund (AGND)
February 29, 2020
Investments in Long Securities | Principal Amount | Value | ||||||
HSBC Holdings PLC | ||||||||
5.10%, 4/5/21 | $ | 40,000 | $ | 41,436 | ||||
7.63%, 5/17/32 | 13,000 | 18,151 | ||||||
Vodafone Group PLC | 6,000 | 6,920 | ||||||
|
| |||||||
Total United Kingdom |
| 162,205 | ||||||
TOTAL FOREIGN CORPORATE BONDS (Cost: $636,972) |
| 681,803 | ||||||
FOREIGN GOVERNMENT AGENCIES – 0.7% |
| |||||||
Canada – 0.4% |
| |||||||
Export Development Canada | 25,000 | 26,575 | ||||||
Province of Alberta Canada | 10,000 | 10,266 | ||||||
Province of Ontario Canada | ||||||||
2.25%, 5/18/22 | 10,000 | 10,255 | ||||||
2.50%, 4/27/26 | 16,000 | 17,214 | ||||||
Province of Quebec Canada | ||||||||
2.38%, 1/31/22 | 10,000 | 10,250 | ||||||
2.75%, 4/12/27 | 10,000 | 11,018 | ||||||
|
| |||||||
Total Canada |
| 85,578 | ||||||
Germany – 0.3% |
| |||||||
Kreditanstalt fuer Wiederaufbau | 56,000 | 57,336 | ||||||
TOTAL FOREIGN GOVERNMENT AGENCIES (Cost: $137,000) |
| 142,914 | ||||||
FOREIGN GOVERNMENT OBLIGATIONS – 1.0% |
| |||||||
Colombia – 0.2% |
| |||||||
Colombia Government International Bond | 37,000 | 45,856 | ||||||
Hungary – 0.2% |
| |||||||
Hungary Government International Bond |
| |||||||
5.75%, 11/22/23 | 16,000 | 18,186 | ||||||
7.63%, 3/29/41 | 16,000 | 27,420 | ||||||
|
| |||||||
Total Hungary |
| 45,606 | ||||||
Italy – 0.1% |
| |||||||
Republic of Italy Government International Bond | 10,000 | 12,427 | ||||||
Mexico – 0.2% |
| |||||||
Mexico Government International Bond |
| |||||||
4.00%, 10/2/23 | 15,000 | 16,057 | ||||||
4.75%, 3/8/44 | 12,000 | 13,931 | ||||||
5.55%, 1/21/45 | 12,000 | 15,551 | ||||||
|
| |||||||
Total Mexico |
| 45,539 | ||||||
Philippines – 0.2% |
| |||||||
Philippine Government International Bond | 16,000 | 26,237 | ||||||
Uruguay – 0.1% |
| |||||||
Uruguay Government International Bond | 13,000 | 16,408 | ||||||
TOTAL FOREIGN GOVERNMENT OBLIGATIONS (Cost: $176,303) |
| 192,073 | ||||||
SUPRANATIONAL BONDS – 1.5% |
| |||||||
African Development Bank | 25,000 | 26,784 | ||||||
Asian Development Bank | 56,000 | 56,464 | ||||||
Corporacion Andina de Fomento | 13,000 | 13,848 | ||||||
European Investment Bank | ||||||||
2.63%, 5/20/22 | 50,000 | 51,852 | ||||||
2.38%, 5/24/27 | 27,000 | 29,409 | ||||||
Inter-American Development Bank | ||||||||
1.75%, 9/14/22 | 12,000 | 12,246 | ||||||
2.00%, 7/23/26 | 25,000 | 26,381 | ||||||
2.38%, 7/7/27 | 2,000 | 2,177 | ||||||
3.13%, 9/18/28 | 2,000 | 2,314 | ||||||
International Bank for Reconstruction & Development | ||||||||
1.75%, 4/19/23 | 23,000 | 23,574 | ||||||
2.50%, 11/22/27, Series GDIF | 50,000 | 55,047 | ||||||
TOTAL SUPRANATIONAL BONDS (Cost: $289,801) |
| 300,096 | ||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES – 2.4% |
| |||||||
United States – 2.4% |
| |||||||
Citigroup Commercial Mortgage Trust | 50,000 | 56,271 | ||||||
Commercial Mortgage Trust | 50,000 | 52,957 | ||||||
Commercial Mortgage Trust | 29,846 | 31,055 | ||||||
Federal Home Loan Mortgage Corp. Multifamily Structured Pass Through Certificates | ||||||||
2.84%, 10/25/22, Series K029, Class A1 | 17,393 | 17,647 | ||||||
3.75%, 4/25/33, Series K155, Class A3 | 50,000 | 59,897 | ||||||
Federal National Mortgage Association Alternative Credit Enhancement Securities | ||||||||
3.21%, 7/25/23, Series 2014-M1, Class A2^(c) | 29,921 | 31,468 | ||||||
2.90%, 1/25/25, Series 2015-M8, Class A2^(c) | 22,000 | 23,345 | ||||||
2.58%, 3/25/26, Series 2016-M4, Class A2 | 30,000 | 31,769 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust | 25,000 | 27,127 | ||||||
Morgan Stanley Capital I Trust | 50,000 | 58,338 | ||||||
Wells Fargo Commercial Mortgage Trust | 30,000 | 32,287 | ||||||
WFRBS Commercial Mortgage Trust | 45,000 | 48,775 | ||||||
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES (Cost: $432,356) |
| 470,936 | ||||||
MUNICIPAL BONDS – 0.4% |
| |||||||
United States – 0.4% |
| |||||||
New Jersey Turnpike Authority | 12,000 | 20,293 | ||||||
State of California | 20,000 | 34,387 |
See Notes to Financial Statements.
WisdomTree Trust | 83 |
Table of Contents
Schedule of Investments (unaudited) (concluded)
WisdomTree Negative Duration U.S. Aggregate Bond Fund (AGND)
February 29, 2020
Investments in Long Securities | Principal Amount | Value | ||||||
University of California | $ | 13,000 | $ | 19,945 | ||||
TOTAL MUNICIPAL BONDS (Cost: $61,527) |
| 74,625 | ||||||
ASSET-BACKED SECURITIES – 0.7% |
| |||||||
United States – 0.7% |
| |||||||
Ally Auto Receivables Trust | 20,000 | 20,034 | ||||||
American Express Credit Account Master Trust | 100,000 | 102,142 | ||||||
World Financial Network Credit Card Master Trust | 17,000 | 17,127 | ||||||
TOTAL ASSET-BACKED SECURITIES (Cost: $136,467) |
| 139,303 | ||||||
REPURCHASE AGREEMENT – 2.7% |
| |||||||
United States – 2.7% |
| |||||||
Citigroup, Inc., tri-party repurchase agreement dated 28/2/20 (tri-party custodian: The Bank of New York Mellon Corp.), 1.61% due 3/2/20; Proceeds at maturity – $533,072 (fully collateralized by Fannie Mae Pool, 3.00% – 3.50% due 5/1/31 – 9/1/32 and Ginnie Mae II Single Family, 4.50% due 2/20/49; Market value including accrued interest – $560,217) | ||||||||
(Cost: $533,000) | 533,000 | 533,000 | ||||||
Shares | ||||||||
INVESTMENT OF CASH COLLATERAL FOR SECURITIES LOANED – 5.8% |
| |||||||
United States – 5.8% |
| |||||||
State Street Navigator Securities Lending Government Money Market Portfolio, 1.61%(e) | ||||||||
(Cost: $1,159,060)(f) | 1,159,060 | 1,159,060 | ||||||
TOTAL INVESTMENTS IN LONG SECURITIES BEFORE SECURITIES SOLD SHORT – 105.9% (Cost: $19,655,399) |
| 20,991,312 | ||||||
Securities Sold Short | Principal Amount | |||||||
U.S. GOVERNMENT AGENCIES SOLD SHORT – (1.3)% |
| |||||||
Uniform Mortgage-Backed Securities – (1.3)% |
| |||||||
2.50%, 3/18/35(a) | $ | (100,000 | ) | (102,711 | ) | |||
3.00%, 3/12/50(a) | (75,000 | ) | (77,262 | ) | ||||
5.00%, 3/12/50(a) | (75,000 | ) | (81,211 | ) | ||||
TOTAL INVESTMENTS IN SECURITIES SOLD SHORT (Proceeds: $258,266) |
| (261,184 | ) | |||||
Other Assets less Liabilities – (4.6)% |
| (914,658 | ) | |||||
|
| |||||||
NET ASSETS – 100.0% |
| $ | 19,815,470 |
^ | 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 29, 2020 (See Note 2). |
(c) | Rate shown reflects the accrual rate as of February 29, 2020 on securities with variable or step rates. |
(d) | 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. |
(e) | Rate shown represents annualized 7-day yield as of February 29, 2020. |
(f) | At February 29, 2020, the total market value of the Fund’s securities on loan identified in the Schedule of Investments was $1,160,369. The Fund also had security on loan having a total market value of $10,326 that was sold and pending settlement. The total market value of the collateral held by the Fund was $1,205,209. The total market value of the collateral includes non-cash U.S. Government securities collateral having a value of $46,149. |
FINANCIAL DERIVATIVE INSTRUMENTS | ||||||||||||||||
FUTURES CONTRACTS† (EXCHANGE-TRADED) | ||||||||||||||||
Short Exposure | Contracts | Expiration Date | Notional Value | Unrealized Appreciation/ (Depreciation) | ||||||||||||
5 Year U.S. Treasury Note | 65 | 6/30/20 | $ | (7,978,750 | ) | $ | (86,305 | ) | ||||||||
U.S. Treasury Ultra Long Term Bond | 19 | 6/19/20 | (3,942,500 | ) | (106,868 | ) | ||||||||||
Ultra 10 Year U.S. Treasury Note | 82 | 6/19/20 | (12,317,938 | ) | (240,570 | ) | ||||||||||
$ | (24,239,188 | ) | $ | (433,743 | ) |
† | As of February 29, 2020, deposits at broker for futures contracts of $290,258 included cash collateral of $409,652 and previously settled variation margin losses on open futures contracts of $119,394. |
See Notes to Financial Statements.
84 | WisdomTree Trust |
Table of Contents
Schedule of Investments (unaudited)
WisdomTree Yield Enhanced Global Aggregate Bond Fund (GLBY)
February 29, 2020
Investments | Principal Amount† | Value | ||||||||||
U.S. CORPORATE BONDS – 1.5% |
| |||||||||||
United States – 1.5% |
| |||||||||||
General Electric Co. |
| |||||||||||
4.13%, 9/19/35, Reg S | 10,000 | EUR | $ | 14,589 | ||||||||
4.88%, 9/18/37, Reg S | 10,000 | GBP | 15,317 | |||||||||
Goldman Sachs Group, Inc. (The) |
| |||||||||||
4.75%, 10/12/21 | 10,000 | EUR | 11,796 | |||||||||
1.38%, 5/15/24, Reg S | 15,000 | EUR | 17,014 | |||||||||
Morgan Stanley | 20,000 | EUR | 22,562 | |||||||||
TOTAL U.S. CORPORATE BONDS (Cost: $79,270) |
| 81,278 | ||||||||||
FOREIGN CORPORATE BONDS – 21.1% |
| |||||||||||
Austria – 2.0% |
| |||||||||||
KAF Kaerntner Ausgleichszahlungs-Fonds | 15,000 | EUR | 16,467 | |||||||||
OMV AG |
| |||||||||||
0.01%, 7/3/25, Reg S | 15,000 | EUR | 16,524 | |||||||||
1.00%, 12/14/26, Reg S | 25,000 | EUR | 29,266 | |||||||||
Telekom Finanzmanagement GmbH | 25,000 | EUR | 29,070 | |||||||||
Vienna Insurance Group AG Wiener Versicherung Gruppe | 15,000 | EUR | 18,564 | |||||||||
|
| |||||||||||
Total Austria |
| 109,891 | ||||||||||
Belgium – 2.0% |
| |||||||||||
Anheuser-Busch InBev S.A. |
| |||||||||||
0.88%, 3/17/22, Reg S | 25,000 | EUR | 27,987 | |||||||||
1.75%, 3/7/25, Reg S | 10,000 | GBP | 13,075 | |||||||||
2.25%, 5/24/29, Reg S | 10,000 | GBP | 13,307 | |||||||||
1.50%, 4/18/30, Reg S | 25,000 | EUR | 29,443 | |||||||||
2.75%, 3/17/36, Reg S | 20,000 | EUR | 26,439 | |||||||||
|
| |||||||||||
Total Belgium |
| 110,251 | ||||||||||
France – 3.0% |
| |||||||||||
Caisse de Refinancement de l’Habitat S.A. | 10,000 | EUR | 12,502 | |||||||||
Credit Mutuel Home Loan SFH S.A. | 20,000 | EUR | 23,599 | |||||||||
Electricite de France S.A. | 10,000 | EUR | 17,483 | |||||||||
Engie Alliance GIE | 10,000 | EUR | 13,169 | |||||||||
LVMH Moet Hennessy Louis Vuitton SE | 25,000 | EUR | 27,791 | |||||||||
mFinance France S.A. | 20,000 | EUR | 22,681 | |||||||||
Peugeot S.A. | 25,000 | EUR | 29,071 | |||||||||
RCI Banque S.A. | 15,000 | EUR | 16,634 | |||||||||
|
| |||||||||||
Total France |
| 162,930 | ||||||||||
Germany – 8.4% |
| |||||||||||
BASF Finance Europe N.V. | 10,000 | EUR | 11,615 | |||||||||
Bayerische Landesbank | 5,000 | EUR | 5,886 | |||||||||
Berlin Hyp AG | 15,000 | EUR | 16,887 | |||||||||
Commerzbank AG |
| |||||||||||
1.13%, 5/24/24, Reg S | 20,000 | EUR | 22,654 | |||||||||
1.25%, 1/9/34 | 14,000 | EUR | 18,077 | |||||||||
Daimler AG | 10,000 | EUR | 11,533 | |||||||||
Deutsche Bahn Finance GMBH | 10,000 | EUR | 12,754 | |||||||||
Deutsche Pfandbriefbank AG | 15,000 | EUR | 19,484 | |||||||||
Deutsche Post AG | 5,000 | EUR | 6,270 | |||||||||
Deutsche Telekom AG |
| |||||||||||
1.75%, 3/25/31, Reg S | 10,000 | EUR | 12,222 | |||||||||
3.13%, 2/6/34, Reg S | 10,000 | GBP | 14,252 | |||||||||
Deutsche Telekom International Finance B.V. |
| |||||||||||
0.63%, 4/3/23, Reg S | 25,000 | EUR | 28,068 | |||||||||
0.88%, 1/30/24, Reg S | 25,000 | EUR | 28,469 | |||||||||
1.50%, 4/3/28, Reg S | 15,000 | EUR | 17,989 | |||||||||
2.25%, 4/13/29, Reg S | 5,000 | GBP | 6,643 | |||||||||
DZ HYP AG | 10,000 | EUR | 11,498 | |||||||||
E.ON International Finance B.V. | 10,000 | GBP | 18,708 | |||||||||
E.ON SE | 12,000 | EUR | 14,552 | |||||||||
Merck KGaA | 6,000 | EUR | 6,745 | |||||||||
Muenchener Hypothekenbank eG | 15,000 | EUR | 17,696 | |||||||||
NRW Bank |
| |||||||||||
0.88%, 11/10/25, Reg S | 5,000 | EUR | 5,903 | |||||||||
0.63%, 2/2/29, Reg S | 10,000 | EUR | 11,880 | |||||||||
Siemens Financieringsmaatschappij N.V. | 25,000 | EUR | 28,034 | |||||||||
UniCredit Bank AG |
| |||||||||||
0.50%, 5/4/26, Reg S | 10,000 | EUR | 11,561 | |||||||||
0.85%, 5/22/34, Reg S | 15,000 | EUR | 18,447 | |||||||||
Volkswagen Bank GmbH | 20,000 | EUR | 22,735 | |||||||||
Volkswagen Financial Services AG | 25,000 | EUR | 28,380 | |||||||||
Volkswagen Leasing GmbH | 25,000 | EUR | 28,106 | |||||||||
|
| |||||||||||
Total Germany |
| 457,048 |
See Notes to Financial Statements.
WisdomTree Trust | 85 |
Table of Contents
Schedule of Investments (unaudited) (continued)
WisdomTree Yield Enhanced Global Aggregate Bond Fund (GLBY)
February 29, 2020
Investments | Principal Amount† | Value | ||||||||||
Ireland – 0.9% |
| |||||||||||
Fresenius Finance Ireland PLC | 15,000 | EUR | $ | 16,721 | ||||||||
GE Capital European Funding Unlimited Co. |
| |||||||||||
2.63%, 3/15/23, Reg S | 5,000 | EUR | 5,902 | |||||||||
6.03%, 3/1/38 | 10,000 | EUR | 17,712 | |||||||||
GE Capital UK Funding Unlimited Co. | 5,000 | GBP | 8,649 | |||||||||
|
| |||||||||||
Total Ireland |
| 48,984 | ||||||||||
Luxembourg – 0.6% |
| |||||||||||
HeidelbergCement Finance Luxembourg S.A. | 30,000 | EUR | 34,925 | |||||||||
Netherlands – 2.1% |
| |||||||||||
ABN AMRO Bank N.V. | 15,000 | EUR | 17,299 | |||||||||
BMW Finance N.V. |
| |||||||||||
1.00%, 1/21/25, Reg S | 10,000 | EUR | 11,483 | |||||||||
0.38%, 9/24/27, Reg S | 50,000 | EUR | 54,915 | |||||||||
Evonik Finance B.V. | 25,000 | EUR | 27,934 | |||||||||
|
| |||||||||||
Total Netherlands |
| 111,631 | ||||||||||
Spain – 0.2% |
| |||||||||||
Telefonica Europe B.V. | 5,000 | EUR | 8,721 | |||||||||
Sweden – 0.4% |
| |||||||||||
Vattenfall AB | 15,000 | EUR | 20,226 | |||||||||
United Kingdom – 1.5% |
| |||||||||||
Barclays Bank PLC | 10,000 | GBP | 15,708 | |||||||||
Broadgate Financing PLC | 10,000 | GBP | 17,761 | |||||||||
Hammerson PLC | 1,000 | GBP | 1,678 | |||||||||
Legal & General Finance PLC | 10,000 | GBP | 18,709 | |||||||||
Lloyds Bank PLC | 5,000 | GBP | 11,001 | |||||||||
Northumbrian Water Finance PLC | 10,000 | GBP | 18,616 | |||||||||
|
| |||||||||||
Total United Kingdom |
| 83,473 | ||||||||||
TOTAL FOREIGN CORPORATE BONDS (Cost: $1,132,661) |
| 1,148,080 | ||||||||||
FOREIGN GOVERNMENT AGENCIES – 2.7% |
| |||||||||||
France – 0.2% |
| |||||||||||
Caisse d’Amortissement de la Dette Sociale | 10,000 | EUR | 11,967 | |||||||||
Germany – 2.0% |
| |||||||||||
Kreditanstalt fuer Wiederaufbau |
| |||||||||||
0.13%, 10/4/24 | 15,000 | EUR | 16,963 | |||||||||
0.63%, 2/22/27 | 10,000 | EUR | 11,782 | |||||||||
0.63%, 1/7/28 | 10,000 | EUR | 11,851 | |||||||||
Land Berlin | 10,000 | EUR | 13,529 | |||||||||
Landwirtschaftliche Rentenbank | 10,000 | EUR | 11,376 | |||||||||
State of Hesse | 10,000 | EUR | 11,690 | |||||||||
State of Lower Saxony | 10,000 | EUR | 11,537 | |||||||||
State of North Rhine-Westphalia Germany |
| |||||||||||
0.50%, 4/16/26, Series 1409, Reg S | 10,000 | EUR | 11,605 | |||||||||
1.55%, 6/16/48, Series 1439, Reg S | 5,000 | EUR | 7,403 | |||||||||
|
| |||||||||||
Total Germany |
| 107,736 | ||||||||||
Netherlands – 0.2% |
| |||||||||||
BNG Bank N.V. | 10,000 | EUR | 11,778 | |||||||||
Spain – 0.3% |
| |||||||||||
Autonomous Community of Madrid Spain | 10,000 | EUR | 12,749 | |||||||||
TOTAL FOREIGN GOVERNMENT AGENCIES (Cost: $142,496) |
| 144,230 | ||||||||||
FOREIGN GOVERNMENT OBLIGATIONS – 28.9% |
| |||||||||||
Austria – 0.4% |
| |||||||||||
Austria Government Bond | 13,000 | EUR | 24,626 | |||||||||
France – 3.0% |
| |||||||||||
French Republic Government Bond OAT |
| |||||||||||
2.50%, 5/25/30, Reg S | 40,000 | EUR | 56,638 | |||||||||
1.50%, 5/25/31, Reg S | 10,000 | EUR | 13,142 | |||||||||
1.25%, 5/25/34, Reg S | 5,000 | EUR | 6,530 | |||||||||
1.75%, 6/25/39, Reg S(b) | 10,000 | EUR | 14,387 | |||||||||
4.50%, 4/25/41, Reg S | 5,000 | EUR | 10,431 | |||||||||
3.25%, 5/25/45, Reg S | 15,000 | EUR | 28,286 | |||||||||
4.00%, 4/25/55, Reg S | 10,000 | EUR | 23,525 | |||||||||
1.75%, 5/25/66, Reg S(b) | 5,000 | EUR | 8,139 | |||||||||
|
| |||||||||||
Total France |
| 161,078 | ||||||||||
Ireland – 0.3% |
| |||||||||||
Ireland Government Bond | 10,000 | EUR | 15,156 | |||||||||
Italy – 12.2% |
| |||||||||||
Italy Buoni Poliennali Del Tesoro |
| |||||||||||
0.05%, 4/15/21 | 23,000 | EUR | 25,312 | |||||||||
0.45%, 6/1/21, Reg S | 10,000 | EUR | 11,060 | |||||||||
2.30%, 10/15/21, Reg S | 40,000 | EUR | 45,601 | |||||||||
1.00%, 7/15/22, Reg S | 20,000 | EUR | 22,450 | |||||||||
0.90%, 8/1/22, Reg S | 23,000 | EUR | 25,761 | |||||||||
0.05%, 1/15/23, Reg S(b) | 25,000 | EUR | 27,360 | |||||||||
0.95%, 3/1/23 | 25,000 | EUR | 28,072 | |||||||||
0.65%, 10/15/23 | 24,000 | EUR | 26,721 | |||||||||
1.85%, 5/15/24 | 10,000 | EUR | 11,651 | |||||||||
0.35%, 2/1/25, Reg S | 35,000 | EUR | 38,133 | |||||||||
5.00%, 3/1/25, Reg S(b) | 10,000 | EUR | 13,405 | |||||||||
1.45%, 5/15/25, Reg S | 10,000 | EUR | 11,494 | |||||||||
1.50%, 6/1/25 | 25,000 | EUR | 28,779 | |||||||||
2.50%, 11/15/25, Reg S | 10,000 | EUR | 12,133 |
See Notes to Financial Statements.
86 | WisdomTree Trust |
Table of Contents
Schedule of Investments (unaudited) (continued)
WisdomTree Yield Enhanced Global Aggregate Bond Fund (GLBY)
February 29, 2020
Investments | Principal Amount† | Value | ||||||||||
2.00%, 12/1/25 | 25,000 | EUR | $ | 29,591 | ||||||||
2.20%, 6/1/27 | 20,000 | EUR | 24,077 | |||||||||
2.00%, 2/1/28, Reg S | 20,000 | EUR | 23,838 | |||||||||
4.75%, 9/1/28, Reg S(b) | 9,000 | EUR | 12,934 | |||||||||
2.80%, 12/1/28, Reg S | 20,000 | EUR | 25,293 | |||||||||
3.00%, 8/1/29, Reg S | 15,000 | EUR | 19,336 | |||||||||
3.50%, 3/1/30, Reg S(b) | 10,000 | EUR | 13,436 | |||||||||
1.35%, 4/1/30, Reg S | 20,000 | EUR | 22,431 | |||||||||
1.65%, 3/1/32, Reg S(b) | 10,000 | EUR | 11,427 | |||||||||
5.75%, 2/1/33 | 25,000 | EUR | 41,566 | |||||||||
3.35%, 3/1/35, Reg S(b) | 20,000 | EUR | 27,233 | |||||||||
2.95%, 9/1/38, Reg S(b) | 25,000 | EUR | 32,639 | |||||||||
3.10%, 3/1/40, Reg S(b) | 12,000 | EUR | 15,952 | |||||||||
3.25%, 9/1/46, Reg S(b) | 10,000 | EUR | 13,721 | |||||||||
3.45%, 3/1/48, Reg S(b) | 3,000 | EUR | 4,266 | |||||||||
2.80%, 3/1/67, Reg S(b) | 15,000 | EUR | 18,772 | |||||||||
|
| |||||||||||
Total Italy |
| 664,444 | ||||||||||
Japan – 2.4% |
| |||||||||||
Japan Government Five Year Bond |
| |||||||||||
0.10%, 3/20/21, Series 127 | 900,000 | JPY | 8,372 | |||||||||
0.10%, 6/20/22, Series 132 | 300,000 | JPY | 2,805 | |||||||||
0.10%, 12/20/22, Series 134 | 1,200,000 | JPY | 11,241 | |||||||||
0.10%, 3/20/23, Series 135 | 300,000 | JPY | 2,813 | |||||||||
Japan Government Forty Year Bond |
| |||||||||||
0.40%, 3/20/56, Series 9 | 350,000 | JPY | 3,347 | |||||||||
0.80%, 3/20/58, Series 11 | 700,000 | JPY | 7,623 | |||||||||
Japan Government Ten Year Bond |
| |||||||||||
0.60%, 9/20/23, Series 331 | 1,500,000 | JPY | 14,337 | |||||||||
0.40%, 3/20/25, Series 338 | 500,000 | JPY | 4,793 | |||||||||
0.30%, 12/20/25, Series 341 | 700,000 | JPY | 6,707 | |||||||||
0.10%, 12/20/26, Series 345 | 400,000 | JPY | 3,806 | |||||||||
0.10%, 6/20/28, Series 351 | 2,100,000 | JPY | 20,028 | |||||||||
Japan Government Twenty Year Bond |
| |||||||||||
2.10%, 12/20/30, Series 123 | 1,100,000 | JPY | 12,656 | |||||||||
1.80%, 9/20/31, Series 130 | 400,000 | JPY | 4,520 | |||||||||
1.20%, 9/20/35, Series 154 | 500,000 | JPY | 5,455 | |||||||||
0.50%, 6/20/38, Series 165 | 1,300,000 | JPY | 12,876 | |||||||||
0.30%, 9/20/39, Series 170 | 950,000 | JPY | 9,058 | |||||||||
|
| |||||||||||
Total Japan |
| 130,437 | ||||||||||
Poland – 0.2% |
| |||||||||||
Republic of Poland Government International Bond | 10,000 | EUR | 12,053 | |||||||||
Portugal – 0.3% |
| |||||||||||
Portugal Obrigacoes do Tesouro OT | 10,000 | EUR | 16,887 | |||||||||
Spain – 3.1% |
| |||||||||||
Spain Government Bond |
| |||||||||||
1.40%, 7/30/28, Reg S(b) | 20,000 | EUR | 24,244 | |||||||||
1.45%, 4/30/29, Reg S(b) | 25,000 | EUR | 30,540 | |||||||||
0.60%, 10/31/29, Reg S(b) | 5,000 | EUR | 5,679 | |||||||||
1.95%, 7/30/30, Reg S(b) | 10,000 | EUR | 12,846 | |||||||||
4.20%, 1/31/37, Reg S(b) | 38,000 | EUR | 65,499 | |||||||||
2.90%, 10/31/46, Reg S(b) | 10,000 | EUR | 15,806 | |||||||||
3.45%, 7/30/66, Reg S(b) | 7,000 | EUR | 13,356 | |||||||||
|
| |||||||||||
Total Spain |
| 167,970 | ||||||||||
United Kingdom – 7.0% |
| |||||||||||
United Kingdom Gilt |
| |||||||||||
1.50%, 1/22/21, Reg S | 10,000 | GBP | 12,890 | |||||||||
3.75%, 9/7/21, Reg S | 30,000 | GBP | 40,279 | |||||||||
1.00%, 4/22/24, Reg S | 15,000 | GBP | 19,705 | |||||||||
0.63%, 6/7/25, Reg S | 5,000 | GBP | 6,487 | |||||||||
2.00%, 9/7/25, Reg S | 20,000 | GBP | 27,988 | |||||||||
1.50%, 7/22/26, Reg S | 15,000 | GBP | 20,637 | |||||||||
0.88%, 10/22/29, Reg S | 22,000 | GBP | 29,316 | |||||||||
1.75%, 9/7/37, Reg S | 30,000 | GBP | 44,184 | |||||||||
4.75%, 12/7/38, Reg S | 10,000 | GBP | 21,560 | |||||||||
4.25%, 9/7/39, Reg S | 25,000 | GBP | 51,532 | |||||||||
1.50%, 7/22/47, Reg S | 12,000 | GBP | 17,429 | |||||||||
3.75%, 7/22/52, Reg S | 10,000 | GBP | 23,010 | |||||||||
4.25%, 12/7/55, Reg S | 10,000 | GBP | 26,034 | |||||||||
1.63%, 10/22/71, Reg S | 22,500 | GBP | 38,865 | |||||||||
|
| |||||||||||
Total United Kingdom |
| 379,916 | ||||||||||
TOTAL FOREIGN GOVERNMENT OBLIGATIONS (Cost: $1,518,806) |
| 1,572,567 | ||||||||||
SUPRANATIONAL BONDS – 2.6% |
| |||||||||||
Council of Europe Development Bank | 8,000 | EUR | 9,032 | |||||||||
European Financial Stability Facility |
| |||||||||||
0.38%, 10/11/24, Reg S | 10,000 | EUR | 11,423 | |||||||||
1.25%, 5/24/33, Reg S | 10,000 | EUR | 13,005 | |||||||||
1.45%, 9/5/40, Reg S | 10,000 | EUR | 13,977 | |||||||||
European Investment Bank |
| |||||||||||
2.13%, 1/15/24 | 5,000 | EUR | 6,069 | |||||||||
0.50%, 1/15/27 | 20,000 | EUR | 23,416 | |||||||||
0.88%, 1/14/28, Reg S | 10,000 | EUR | 12,100 | |||||||||
1.50%, 11/15/47 | 10,000 | EUR | 15,189 | |||||||||
European Stability Mechanism | 15,000 | EUR | 17,723 | |||||||||
European Union | 10,000 | EUR | 13,466 | |||||||||
International Bank for Reconstruction & Development | 5,000 | EUR | 5,580 | |||||||||
TOTAL SUPRANATIONAL BONDS (Cost: $138,922) |
| 140,980 | ||||||||||
Shares | ||||||||||||
EXCHANGE-TRADED FUND – 43.4% |
| |||||||||||
United States – 43.4% |
| |||||||||||
WisdomTree Yield Enhanced U.S. Aggregate Bond Fund(c) | ||||||||||||
(Cost: $2,203,182) | 43,895 | 2,361,112 | ||||||||||
TOTAL INVESTMENTS IN SECURITIES – 100.2% (Cost: $5,215,337) |
| 5,448,247 | ||||||||||
Other Assets less Liabilities – (0.2)% |
| (11,207 | ) | |||||||||
|
| |||||||||||
NET ASSETS – 100.0% |
| $ | 5,437,040 |
† | Principal amount is reported in U.S. dollars unless otherwise noted. |
(a) | Rate shown reflects the accrual rate as of February 29, 2020 on securities with variable or step rates. |
See Notes to Financial Statements.
WisdomTree Trust | 87 |
Table of Contents
Schedule of Investments (unaudited) (concluded)
WisdomTree Yield Enhanced Global Aggregate Bond Fund (GLBY)
February 29, 2020
(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) | Affiliated holding. See below table for additional information on investments in affiliates during the fiscal period. |
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 29, 2020 were as follows:
Investment In Affiliates | Value at 8/31/2019 | Purchases/ Additions | Sales/ Reductions | Realized Gain/(Loss) | Change in Unrealized Appreciation/ Depreciation | Value at 2/29/2020 | Dividend Income | |||||||||||||||||||||
WisdomTree Yield Enhanced U.S. Aggregate Bond Fund | $ | 1,190,982 | $ | 1,517,451 | $ | 405,594 | $ | 9,666 | $ | 48,607 | $ | 2,361,112 | $ | 23,787 |
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 | |||||||||||||||||||||||
Bank of America N.A. | 3/4/2020 | 470,941 | USD | 424,200 | EUR | $ | 4,949 | $ | — | |||||||||||||||||||
Bank of America N.A. | 3/4/2020 | 118,574 | USD | 89,880 | GBP | 3,767 | — | |||||||||||||||||||||
Bank of America N.A. | 3/4/2020 | 27,178 | USD | 2,941,050 | JPY | — | (89 | ) | ||||||||||||||||||||
Goldman Sachs | 3/4/2020 | 175,000 | EUR | 192,236 | USD | — | (8 | ) | ||||||||||||||||||||
Goldman Sachs | 3/4/2020 | 2,020,000 | EUR | 2,218,956 | USD | 51 | — | |||||||||||||||||||||
Goldman Sachs | 3/4/2020 | 428,000 | GBP | 546,687 | USD | 13 | — | |||||||||||||||||||||
Goldman Sachs | 3/4/2020 | 3,812 | GBP | 4,869 | USD | — | (0 | )* | ||||||||||||||||||||
Goldman Sachs | 3/4/2020 | 14,005,000 | JPY | 129,843 | USD | 3 | — | |||||||||||||||||||||
Goldman Sachs | 3/4/2020 | 649 | USD | 871 | CAD | — | (0 | )* | ||||||||||||||||||||
Goldman Sachs | 3/4/2020 | 470,916 | USD | 424,200 | EUR | 4,925 | — | |||||||||||||||||||||
Goldman Sachs | 3/4/2020 | 118,574 | USD | 89,880 | GBP | 3,767 | — | |||||||||||||||||||||
Goldman Sachs | 3/4/2020 | 27,177 | USD | 2,941,050 | JPY | — | (91 | ) | ||||||||||||||||||||
Goldman Sachs | 3/4/2020 | 501 | USD | 53,994 | JPY | 0 | * | — | ||||||||||||||||||||
Goldman Sachs | 4/3/2020 | 2,404,603 | USD | 2,185,000 | EUR | — | (98 | ) | ||||||||||||||||||||
Goldman Sachs | 4/3/2020 | 556,086 | USD | 435,000 | GBP | — | (27 | ) | ||||||||||||||||||||
Goldman Sachs | 4/3/2020 | 130,149 | USD | 14,015,000 | JPY | — | (4 | ) | ||||||||||||||||||||
HSBC Holdings PLC | 3/4/2020 | 470,904 | USD | 424,200 | EUR | 4,913 | — | |||||||||||||||||||||
HSBC Holdings PLC | 3/4/2020 | 118,568 | USD | 89,880 | GBP | 3,761 | — | |||||||||||||||||||||
HSBC Holdings PLC | 3/4/2020 | 27,177 | USD | 2,941,050 | JPY | — | (91 | ) | ||||||||||||||||||||
Morgan Stanley & Co. International | 3/4/2020 | 829,678 | USD | 747,400 | EUR | 8,646 | — | |||||||||||||||||||||
Morgan Stanley & Co. International | 3/4/2020 | 208,915 | USD | 158,360 | GBP | 6,636 | — | |||||||||||||||||||||
Morgan Stanley & Co. International | 3/4/2020 | 47,879 | USD | 5,181,850 | JPY | — | (163 | ) | ||||||||||||||||||||
$ | 41,431 | $ | (571 | ) |
* | Amount represents less than $1. |
See Notes to Financial Statements.
88 | WisdomTree Trust |
Table of Contents
Schedule of Investments (unaudited)
WisdomTree Yield Enhanced U.S. Aggregate Bond Fund (AGGY)
February 29, 2020
Investments | Principal Amount | Value | ||||||
U.S. GOVERNMENT AGENCIES – 24.9% | ||||||||
Federal Home Loan Mortgage Corporation – 4.6% |
| |||||||
5.50%, 12/1/33 | $ | 444,354 | $ | 502,026 | ||||
6.50%, 3/1/36 | 300,609 | 337,595 | ||||||
5.00%, 6/1/37 | 2,650 | 3,012 | ||||||
6.00%, 9/1/37 | 235,485 | 272,865 | ||||||
5.50%, 2/1/40 | 10,095 | 11,619 | ||||||
4.50%, 8/1/40 | 217,798 | 240,173 | ||||||
4.00%, 11/1/40 | 20,160 | 21,887 | ||||||
5.00%, 3/1/41 | 326,247 | 370,123 | ||||||
5.50%, 6/1/41 | 298,808 | 344,544 | ||||||
5.00%, 7/1/41 | 9,027 | 10,221 | ||||||
3.50%, 10/1/41 | 743,631 | 791,407 | ||||||
3.50%, 2/1/42 | 297,332 | 316,549 | ||||||
5.00%, 2/1/42 | 460,599 | 518,055 | ||||||
4.00%, 4/1/42 | 841,497 | 916,287 | ||||||
3.50%, 6/1/42 | 71,979 | 76,646 | ||||||
3.00%, 7/1/42 | 339,418 | 355,404 | ||||||
3.50%, 8/1/42 | 340,239 | 362,315 | ||||||
3.50%, 9/1/42 | 343,401 | 365,684 | ||||||
3.00%, 3/1/43 | 497,494 | 520,929 | ||||||
3.00%, 7/1/43 | 1,004,518 | 1,062,383 | ||||||
3.50%, 7/1/43 | 420,777 | 448,069 | ||||||
3.00%, 8/1/43 | 95,987 | 100,462 | ||||||
3.50%, 1/1/44 | 1,029,536 | 1,097,529 | ||||||
3.00%, 2/1/44 | 228,973 | 239,747 | ||||||
3.50%, 2/1/44 | 216,106 | 229,307 | ||||||
4.00%, 4/1/44 | 623,817 | 676,608 | ||||||
3.50%, 5/1/44 | 92,076 | 97,374 | ||||||
4.50%, 5/1/44 | 16,314 | 17,811 | ||||||
3.50%, 7/1/44 | 94,786 | 100,328 | ||||||
4.50%, 7/1/44 | 183,939 | 200,917 | ||||||
4.00%, 8/1/44 | 694,146 | 765,415 | ||||||
3.50%, 10/1/44 | 31,618 | 33,455 | ||||||
4.50%, 11/1/44 | 196,672 | 214,786 | ||||||
3.50%, 12/1/44 | 462,420 | 489,323 | ||||||
3.50%, 1/1/45 | 93,959 | 99,860 | ||||||
4.00%, 2/1/45 | 177,049 | 190,317 | ||||||
4.00%, 3/1/45 | 16,976 | 18,400 | ||||||
3.00%, 4/1/45 | 29,321 | 30,656 | ||||||
3.00%, 5/1/45 | 119,085 | 124,690 | ||||||
3.50%, 5/1/45 | 197,768 | 208,945 | ||||||
3.50%, 6/1/45 | 97,402 | 103,060 | ||||||
4.00%, 6/1/45 | 255,028 | 275,790 | ||||||
3.00%, 7/1/45 | 30,685 | 32,157 | ||||||
3.00%, 8/1/45 | 124,037 | 129,865 | ||||||
3.50%, 8/1/45 | 1,112,848 | 1,186,173 | ||||||
3.50%, 9/1/45 | 578,790 | 612,576 | ||||||
4.00%, 9/1/45 | 159,026 | 171,459 | ||||||
3.50%, 10/1/45 | 215,370 | 227,919 | ||||||
4.00%, 10/1/45 | 172,948 | 186,478 | ||||||
3.50%, 11/1/45 | 103,436 | 109,535 | ||||||
4.00%, 11/1/45 | 130,004 | 140,176 | ||||||
4.50%, 11/1/45 | 893,936 | 978,413 | ||||||
3.00%, 12/1/45 | 125,445 | 131,338 | ||||||
4.50%, 12/1/45 | 284,389 | 310,628 | ||||||
4.00%, 2/1/46 | 201,625 | 217,124 | ||||||
3.50%, 3/1/46 | 247,580 | 262,021 | ||||||
4.00%, 3/1/46 | 1,087,758 | 1,176,638 | ||||||
3.00%, 4/1/46 | 643,031 | 673,171 | ||||||
3.50%, 4/1/46 | 984,673 | 1,040,981 | ||||||
4.50%, 4/1/46 | 633,037 | 698,303 | ||||||
3.50%, 5/1/46 | 334,756 | 353,694 | ||||||
3.00%, 6/1/46 | 137,326 | 143,764 | ||||||
3.50%, 6/1/46 | 327,928 | 347,452 | ||||||
3.00%, 9/1/46 | 978,909 | 1,024,951 | ||||||
3.50%, 9/1/46 | 250,467 | 265,457 | ||||||
2.50%, 10/1/46 | 122,532 | 125,896 | ||||||
3.00%, 10/1/46 | 106,217 | 112,069 | ||||||
3.50%, 10/1/46 | 93,426 | 98,820 | ||||||
3.00%, 11/1/46 | 1,344,286 | 1,404,445 | ||||||
3.50%, 11/1/46 | 32,934 | 34,823 | ||||||
4.00%, 11/1/46 | 56,533 | 60,538 | ||||||
4.50%, 11/1/46 | 609,571 | 665,484 | ||||||
3.00%, 12/1/46 | 493,512 | 515,181 | ||||||
3.00%, 1/1/47 | 877,466 | 916,847 | ||||||
4.00%, 1/1/47 | 255,125 | 272,926 | ||||||
3.00%, 2/1/47 | 764,106 | 798,333 | ||||||
3.00%, 4/1/47 | 1,089,497 | 1,137,797 | ||||||
3.50%, 4/1/47 | 716,296 | 754,978 | ||||||
4.00%, 4/1/47 | 248,729 | 265,813 | ||||||
3.50%, 5/1/47 | 355,281 | 374,559 | ||||||
4.00%, 5/1/47 | 210,552 | 224,373 | ||||||
4.50%, 5/1/47 | 52,730 | 57,129 | ||||||
4.00%, 6/1/47 | 333,996 | 356,339 | ||||||
3.00%, 7/1/47 | 233,620 | 243,120 | ||||||
3.50%, 7/1/47 | 372,374 | 393,038 | ||||||
4.00%, 7/1/47 | 571,851 | 611,923 | ||||||
3.50%, 8/1/47 | 379,864 | 400,496 | ||||||
4.00%, 8/1/47 | 1,114,965 | 1,190,169 | ||||||
4.50%, 8/1/47 | 247,154 | 268,104 | ||||||
3.50%, 9/1/47 | 842,447 | 888,459 | ||||||
4.50%, 9/1/47 | 295,932 | 320,407 | ||||||
4.50%, 10/1/47 | 132,868 | 144,061 | ||||||
3.50%, 11/1/47 | 1,018,661 | 1,075,899 | ||||||
3.50%, 12/1/47 | 532,588 | 562,039 | ||||||
3.50%, 1/1/48 | 309,046 | 327,098 | ||||||
4.50%, 2/1/48 | 199,511 | 216,115 | ||||||
3.50%, 5/1/48 | 531,158 | 557,544 | ||||||
3.50%, 7/1/48 | 1,307,137 | 1,364,495 | ||||||
4.00%, 8/1/48 | 882,111 | 930,775 | ||||||
5.00%, 8/1/48 | 164,531 | 178,438 | ||||||
3.00%, 9/1/48 | 801,308 | 837,216 | ||||||
4.00%, 9/1/48 | 2,121,862 | 2,243,267 | ||||||
4.50%, 10/1/48 | 589,689 | 631,217 | ||||||
5.00%, 11/1/48 | 306,925 | 332,636 | ||||||
3.00%, 12/1/48 | 1,412,709 | 1,463,170 | ||||||
4.00%, 12/1/48 | 327,974 | 346,332 | ||||||
4.50%, 12/1/48 | 156,503 | 167,178 | ||||||
5.00%, 12/1/48 | 116,540 | 126,234 | ||||||
4.00%, 1/1/49 | 140,843 | 148,600 | ||||||
3.50%, 2/1/49 | 261,597 | 272,240 | ||||||
4.50%, 3/1/49 | 118,057 | 126,315 | ||||||
5.00%, 3/1/49 | 707,699 | 766,374 | ||||||
4.00%, 5/1/49 | 1,942,982 | 2,051,318 | ||||||
4.50%, 5/1/49 | 404,669 | 432,167 | ||||||
4.00%, 6/1/49 | 399,985 | 427,307 | ||||||
4.50%, 7/1/49 | 421,730 | 450,698 |
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 29, 2020
Investments | Principal Amount | Value | ||||||
2.50%, 8/1/49 | $ | 289,141 | $ | 295,153 | ||||
3.00%, 8/1/49 | 2,224,753 | 2,295,076 | ||||||
5.00%, 10/1/49 | 1,836,512 | 1,987,744 | ||||||
5.50%, 10/1/49 | 1,644,184 | 1,797,878 | ||||||
3.00%, 12/1/49 | 1,482,507 | 1,528,482 | ||||||
|
| |||||||
Total Federal Home Loan Mortgage Corporation |
| 60,157,978 | ||||||
Federal National Mortgage Association – 19.4% |
| |||||||
6.00%, 9/1/32 | 221,043 | 256,006 | ||||||
6.00%, 12/1/32 | 460,227 | 517,971 | ||||||
5.00%, 8/1/33 | 374,489 | 419,958 | ||||||
5.50%, 10/1/35 | 45,885 | 52,435 | ||||||
5.50%, 4/1/37 | 415,365 | 470,627 | ||||||
5.00%, 5/1/38 | 15,220 | 17,197 | ||||||
6.00%, 5/1/38 | 40,282 | 47,393 | ||||||
5.50%, 6/1/38 | 123,271 | 142,144 | ||||||
5.50%, 11/1/38 | 3,088 | 3,560 | ||||||
4.50%, 9/1/39 | 655,833 | 723,414 | ||||||
5.00%, 9/1/39 | 279,089 | 314,219 | ||||||
5.50%, 10/1/39 | 129,248 | 148,982 | ||||||
4.50%, 11/1/39 | 138,759 | 153,055 | ||||||
5.50%, 4/1/40 | 17,673 | 20,315 | ||||||
4.50%, 8/1/40 | 335,793 | 371,716 | ||||||
4.50%, 9/1/40 | 197,492 | 217,933 | ||||||
4.00%, 10/1/40 | 214,909 | 233,484 | ||||||
3.50%, 1/1/41 | 419,923 | 446,941 | ||||||
4.50%, 2/1/41 | 95,421 | 105,312 | ||||||
6.00%, 7/1/41 | 619,158 | 726,616 | ||||||
4.50%, 8/1/41 | 255,492 | 281,946 | ||||||
4.00%, 9/1/41 | 91,083 | 98,981 | ||||||
5.50%, 9/1/41 | 67,174 | 77,444 | ||||||
4.00%, 10/1/41 | 966,800 | 1,069,390 | ||||||
4.00%, 11/1/41 | 123,447 | 134,147 | ||||||
4.00%, 1/1/42 | 237,148 | 258,371 | ||||||
4.50%, 1/1/42 | 215,205 | 237,864 | ||||||
6.00%, 1/1/42 | 348,007 | 408,424 | ||||||
3.00%, 3/1/42 | 337,063 | 352,765 | ||||||
3.50%, 6/1/42 | 595,939 | 634,305 | ||||||
4.00%, 6/1/42 | 548,733 | 596,158 | ||||||
4.00%, 9/1/42 | 322,180 | 358,259 | ||||||
3.00%, 10/1/42 | 454,539 | 479,374 | ||||||
4.00%, 12/1/42 | 167,556 | 182,040 | ||||||
4.00%, 2/1/43 | 246,704 | 267,826 | ||||||
2.50%, 3/1/43 | 25,288 | 25,969 | ||||||
3.00%, 4/1/43 | 965,236 | 1,010,239 | ||||||
2.50%, 5/1/43 | 92,658 | 95,156 | ||||||
3.00%, 5/1/43 | 236,765 | 247,803 | ||||||
3.50%, 5/1/43 | 54,230 | 57,721 | ||||||
3.00%, 6/1/43 | 678,255 | 714,121 | ||||||
3.00%, 7/1/43 | 652,787 | 689,165 | ||||||
3.50%, 7/1/43 | 1,507,420 | 1,634,819 | ||||||
3.00%, 8/1/43 | 2,123,996 | 2,243,143 | ||||||
3.50%, 8/1/43 | 1,083,251 | 1,157,176 | ||||||
4.00%, 8/1/43 | 82,437 | 89,303 | ||||||
3.00%, 9/1/43 | 2,985,852 | 3,119,635 | ||||||
4.00%, 9/1/43 | 451,537 | 490,949 | ||||||
4.50%, 9/1/43 | 36,296 | 40,054 | ||||||
3.50%, 10/1/43 | 324,976 | 345,726 | ||||||
3.50%, 11/1/43 | 486,441 | 517,602 | ||||||
4.00%, 11/1/43 | 425,719 | 467,465 | ||||||
3.50%, 12/1/43 | 681,176 | 724,925 | ||||||
4.00%, 1/1/44 | 757,773 | 828,585 | ||||||
4.00%, 2/1/44 | 201,018 | 219,264 | ||||||
4.00%, 3/1/44 | 194,838 | 211,387 | ||||||
4.00%, 5/1/44 | 16,834 | 18,228 | ||||||
4.50%, 5/1/44 | 195,067 | 213,325 | ||||||
3.50%, 6/1/44 | 285,535 | 303,772 | ||||||
4.00%, 6/1/44 | 84,442 | 91,952 | ||||||
4.00%, 7/1/44 | 486,835 | 530,880 | ||||||
3.00%, 8/1/44 | 980,393 | 1,010,796 | ||||||
3.50%, 8/1/44 | 35,905 | 38,726 | ||||||
4.00%, 8/1/44 | 98,167 | 106,354 | ||||||
4.00%, 9/1/44 | 337,449 | 365,593 | ||||||
3.00%, 10/1/44 | 711,004 | 744,115 | ||||||
4.00%, 10/1/44 | 318,548 | 345,116 | ||||||
4.00%, 11/1/44 | 348,683 | 380,751 | ||||||
5.00%, 11/1/44 | 292,785 | 329,151 | ||||||
4.00%, 12/1/44 | 113,338 | 122,791 | ||||||
3.00%, 1/1/45 | 11,624 | 12,164 | ||||||
3.50%, 2/1/45 | 1,771,052 | 1,884,189 | ||||||
4.00%, 2/1/45 | 83,785 | 90,774 | ||||||
3.00%, 4/1/45 | 289,621 | 303,112 | ||||||
3.00%, 5/1/45 | 705,462 | 740,558 | ||||||
3.50%, 5/1/45 | 149,022 | 157,677 | ||||||
3.00%, 6/1/45 | 241,500 | 252,749 | ||||||
3.50%, 6/1/45 | 333,588 | 353,084 | ||||||
4.00%, 6/1/45 | 1,239,827 | 1,342,403 | ||||||
3.50%, 7/1/45 | 288,319 | 305,065 | ||||||
3.50%, 8/1/45 | 852,578 | 913,266 | ||||||
3.50%, 9/1/45 | 6,672,764 | 7,060,354 | ||||||
4.00%, 9/1/45 | 596,832 | 644,680 | ||||||
3.00%, 10/1/45 | 120,324 | 125,926 | ||||||
3.50%, 10/1/45 | 190,979 | 203,116 | ||||||
4.00%, 10/1/45 | 566,549 | 611,385 | ||||||
4.50%, 10/1/45 | 247,930 | 273,452 | ||||||
3.00%, 11/1/45 | 115,491 | 120,865 | ||||||
3.50%, 11/1/45 | 337,554 | 357,391 | ||||||
4.00%, 11/1/45 | 227,732 | 243,301 | ||||||
3.00%, 12/1/45 | 1,954,983 | 2,053,222 | ||||||
3.50%, 12/1/45 | 523,468 | 553,875 | ||||||
3.00%, 1/1/46 | 272,915 | 285,618 | ||||||
3.50%, 1/1/46 | 162,321 | 171,684 | ||||||
3.00%, 2/1/46 | 269,234 | 281,758 | ||||||
3.50%, 2/1/46 | 1,025,747 | 1,088,399 | ||||||
3.50%, 3/1/46 | 189,055 | 199,863 | ||||||
3.50%, 4/1/46 | 2,510,020 | 2,655,007 | ||||||
4.00%, 4/1/46 | 136,350 | 146,563 | ||||||
3.50%, 5/1/46 | 415,584 | 439,036 | ||||||
4.50%, 5/1/46 | 88,780 | 96,952 | ||||||
3.00%, 6/1/46 | 114,728 | 120,002 | ||||||
3.50%, 6/1/46 | 217,131 | 229,311 | ||||||
4.50%, 6/1/46 | 185,614 | 202,703 | ||||||
3.50%, 7/1/46 | 747,235 | 789,019 | ||||||
4.00%, 7/1/46 | 114,573 | 122,963 | ||||||
2.50%, 8/1/46 | 19,449 | 19,974 | ||||||
2.50%, 9/1/46 | 46,917 | 48,182 | ||||||
3.00%, 9/1/46 | 1,240,913 | 1,297,314 | ||||||
4.00%, 9/1/46 | 279,280 | 302,916 |
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 29, 2020
Investments | Principal Amount | Value | ||||||
2.50%, 10/1/46 | $ | 58,769 | $ | 60,354 | ||||
3.00%, 10/1/46 | 6,422,823 | 6,712,667 | ||||||
4.00%, 10/1/46 | 191,862 | 205,588 | ||||||
2.50%, 11/1/46 | 40,517 | 41,610 | ||||||
3.00%, 11/1/46 | 3,659,167 | 3,830,564 | ||||||
2.50%, 12/1/46 | 86,220 | 88,546 | ||||||
3.00%, 12/1/46 | 2,113,908 | 2,209,239 | ||||||
3.50%, 12/1/46 | 1,023,507 | 1,088,504 | ||||||
4.00%, 12/1/46 | 187,909 | 199,794 | ||||||
2.50%, 1/1/47 | 117,421 | 120,580 | ||||||
3.00%, 1/1/47 | 819,231 | 857,599 | ||||||
3.50%, 1/1/47 | 913,690 | 965,192 | ||||||
4.50%, 1/1/47 | 213,454 | 232,884 | ||||||
5.50%, 1/1/47 | 476,564 | 545,002 | ||||||
3.00%, 2/1/47 | 1,378,382 | 1,439,018 | ||||||
3.50%, 2/1/47 | 3,812,785 | 4,056,449 | ||||||
4.00%, 2/1/47 | 1,015,919 | 1,102,491 | ||||||
3.50%, 3/1/47 | 527,616 | 555,881 | ||||||
4.00%, 3/1/47 | 222,084 | 237,255 | ||||||
4.50%, 3/1/47 | 134,612 | 146,597 | ||||||
3.00%, 4/1/47 | 2,487,891 | 2,598,556 | ||||||
3.50%, 4/1/47 | 1,423,860 | 1,500,251 | ||||||
4.00%, 4/1/47 | 413,226 | 441,280 | ||||||
4.50%, 4/1/47 | 365,500 | 398,558 | ||||||
3.50%, 5/1/47 | 3,821,196 | 4,049,582 | ||||||
4.00%, 5/1/47 | 5,520,026 | 5,902,420 | ||||||
4.50%, 5/1/47 | 812,691 | 891,813 | ||||||
3.50%, 6/1/47 | 311,931 | 328,668 | ||||||
4.00%, 6/1/47 | 1,107,348 | 1,182,876 | ||||||
3.50%, 7/1/47 | 1,349,560 | 1,442,069 | ||||||
4.00%, 7/1/47 | 836,054 | 893,556 | ||||||
4.50%, 7/1/47 | 774,420 | 839,527 | ||||||
5.00%, 7/1/47 | 415,603 | 469,841 | ||||||
3.50%, 8/1/47 | 2,039,563 | 2,153,468 | ||||||
4.00%, 8/1/47 | 3,953,388 | 4,231,442 | ||||||
3.00%, 9/1/47 | 184,505 | 191,813 | ||||||
4.00%, 9/1/47 | 935,896 | 997,199 | ||||||
4.50%, 9/1/47 | 419,809 | 456,885 | ||||||
3.00%, 10/1/47 | 819,538 | 850,733 | ||||||
3.50%, 10/1/47 | 257,775 | 271,941 | ||||||
4.00%, 10/1/47 | 1,350,615 | 1,439,199 | ||||||
4.50%, 10/1/47 | 437,996 | 476,474 | ||||||
3.50%, 11/1/47 | 571,438 | 601,947 | ||||||
4.50%, 11/1/47 | 583,307 | 634,528 | ||||||
3.00%, 12/1/47 | 706,690 | 733,106 | ||||||
3.50%, 12/1/47 | 2,010,116 | 2,119,153 | ||||||
4.00%, 12/1/47 | 748,242 | 791,861 | ||||||
3.00%, 1/1/48 | 2,247,257 | 2,326,990 | ||||||
3.50%, 1/1/48 | 584,824 | 617,113 | ||||||
3.50%, 2/1/48 | 81,720 | 86,095 | ||||||
4.00%, 4/1/48 | 1,133,497 | 1,202,981 | ||||||
3.50%, 5/1/48 | 753,114 | 791,239 | ||||||
4.00%, 5/1/48 | 712,341 | 759,577 | ||||||
4.50%, 5/1/48 | 438,877 | 472,109 | ||||||
5.00%, 5/1/48 | 346,485 | 376,210 | ||||||
3.50%, 6/1/48 | 301,328 | 315,905 | ||||||
4.00%, 6/1/48 | 369,468 | 392,256 | ||||||
4.50%, 6/1/48 | 728,471 | 781,914 | ||||||
5.00%, 6/1/48 | 91,085 | 98,725 | ||||||
3.50%, 7/1/48 | 1,956,189 | 2,066,771 | ||||||
4.00%, 7/1/48 | 2,319,502 | 2,450,570 | ||||||
4.50%, 7/1/48 | 601,945 | 646,985 | ||||||
3.50%, 8/1/48 | 1,805,591 | 1,889,523 | ||||||
4.00%, 8/1/48 | 872,956 | 924,088 | ||||||
4.50%, 8/1/48 | 545,607 | 585,101 | ||||||
5.00%, 8/1/48 | 560,176 | 608,062 | ||||||
3.00%, 9/1/48 | 526,395 | 552,108 | ||||||
3.50%, 9/1/48 | 882,577 | 921,953 | ||||||
4.00%, 9/1/48 | 6,250,546 | 6,611,897 | ||||||
4.00%, 10/1/48 | 1,660,177 | 1,755,267 | ||||||
4.50%, 10/1/48 | 310,258 | 332,412 | ||||||
3.00%, 11/1/48 | 4,180,125 | 4,360,576 | ||||||
3.50%, 11/1/48 | 7,337,019 | 7,704,390 | ||||||
4.50%, 11/1/48 | 1,958,058 | 2,107,293 | ||||||
5.00%, 11/1/48 | 452,406 | 490,278 | ||||||
3.50%, 12/1/48 | 1,019,109 | 1,061,078 | ||||||
4.00%, 12/1/48 | 3,880,785 | 4,093,728 | ||||||
4.50%, 12/1/48 | 2,099,605 | 2,243,468 | ||||||
5.00%, 12/1/48 | 116,600 | 126,255 | ||||||
4.00%, 1/1/49 | 3,343,790 | 3,524,994 | ||||||
4.50%, 1/1/49 | 1,316,170 | 1,413,192 | ||||||
3.00%, 2/1/49 | 952,026 | 992,960 | ||||||
3.50%, 2/1/49 | 928,626 | 964,962 | ||||||
4.00%, 2/1/49 | 1,796,950 | 1,893,093 | ||||||
4.50%, 2/1/49 | 506,215 | 539,985 | ||||||
5.00%, 2/1/49 | 626,427 | 678,329 | ||||||
3.50%, 3/1/49 | 1,029,819 | 1,070,058 | ||||||
4.00%, 3/1/49 | 1,795,069 | 1,893,469 | ||||||
4.50%, 3/1/49 | 1,791,170 | 1,914,124 | ||||||
5.00%, 3/1/49 | 47,903 | 51,925 | ||||||
3.00%, 4/1/49 | 336,825 | 347,270 | ||||||
3.50%, 4/1/49 | 2,162,898 | 2,251,112 | ||||||
4.00%, 4/1/49 | 1,272,507 | 1,341,466 | ||||||
4.50%, 4/1/49 | 434,142 | 463,904 | ||||||
3.00%, 5/1/49 | 413,139 | 426,043 | ||||||
3.50%, 5/1/49 | 4,730,239 | 4,914,715 | ||||||
4.00%, 5/1/49 | 947,084 | 999,118 | ||||||
4.50%, 5/1/49 | 4,020,588 | 4,310,026 | ||||||
5.00%, 5/1/49 | 355,677 | 385,673 | ||||||
3.00%, 6/1/49 | 2,201,539 | 2,269,811 | ||||||
3.50%, 6/1/49 | 7,930,563 | 8,248,435 | ||||||
4.00%, 6/1/49 | 947,930 | 999,701 | ||||||
4.50%, 6/1/49 | 1,188,737 | 1,272,092 | ||||||
3.50%, 7/1/49 | 5,167,888 | 5,377,803 | ||||||
3.00%, 8/1/49 | 4,522,051 | 4,662,644 | ||||||
4.00%, 8/1/49 | 1,018,327 | 1,075,638 | ||||||
2.50%, 9/1/49 | 2,074,416 | 2,117,548 | ||||||
3.00%, 9/1/49 | 10,130,895 | 10,470,806 | ||||||
3.50%, 9/1/49 | 1,392,267 | 1,452,653 | ||||||
3.00%, 10/1/49 | 4,110,740 | 4,243,051 | ||||||
4.00%, 10/1/49 | 956,168 | 1,008,024 | ||||||
2.50%, 11/1/49 | 2,257,253 | 2,304,187 | ||||||
2.50%, 12/1/49 | 1,561,414 | 1,593,879 | ||||||
3.00%, 12/1/49 | 3,004,646 | 3,098,101 | ||||||
3.00%, 2/1/50 | 1,920,267 | 1,989,177 | ||||||
2.50%, 3/1/50 | 200,000 | 204,159 | ||||||
|
| |||||||
Total Federal National Mortgage Association |
| 251,559,805 |
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 29, 2020
Investments | Principal Amount | Value | ||||||
Uniform Mortgage-Backed Securities – 0.9% |
| |||||||
2.50%, 3/12/50(a) | $ | 700,000 | $ | 714,288 | ||||
3.00%, 3/12/50(a) | 3,400,000 | 3,502,531 | ||||||
3.50%, 3/12/50(a) | 1,600,000 | 1,661,860 | ||||||
4.00%, 3/12/50(a) | 400,000 | 421,422 | ||||||
5.00%, 3/12/50(a) | 500,000 | 541,406 | ||||||
5.50%, 3/12/50(a) | 500,000 | 544,794 | ||||||
2.50%, 4/15/50(a) | 1,000,000 | 1,019,197 | ||||||
3.00%, 4/15/50(a) | 1,700,000 | 1,749,066 | ||||||
3.50%, 4/15/50(a) | 1,000,000 | 1,038,163 | ||||||
|
| |||||||
Total Uniform Mortgage-Backed Securities |
| 11,192,727 | ||||||
TOTAL U.S. GOVERNMENT AGENCIES (Cost: $315,411,492) |
| 322,910,510 | ||||||
U.S. GOVERNMENT OBLIGATIONS – 17.8% |
| |||||||
U.S. Treasury Bonds – 3.8% |
| |||||||
8.13%, 5/15/21 | 750,000 | 813,318 | ||||||
8.13%, 8/15/21 | 500,000 | 551,288 | ||||||
8.00%, 11/15/21 | 750,000 | 839,458 | ||||||
7.25%, 8/15/22 | 700,000 | 808,213 | ||||||
7.13%, 2/15/23 | 55,000 | 65,054 | ||||||
6.25%, 8/15/23 | 175,000 | 206,910 | ||||||
7.50%, 11/15/24 | 175,000 | 228,023 | ||||||
6.25%, 5/15/30 | 2,760,000 | 4,124,313 | ||||||
5.38%, 2/15/31 | 2,477,000 | 3,552,076 | ||||||
4.50%, 2/15/36 | 1,589,000 | 2,313,640 | ||||||
4.75%, 2/15/37 | 493,000 | 747,290 | ||||||
4.50%, 5/15/38 | 180,000 | 269,747 | ||||||
3.50%, 2/15/39 | 285,000 | 382,479 | ||||||
4.50%, 8/15/39 | 876,000 | 1,328,372 | ||||||
4.38%, 11/15/39 | 725,000 | 1,085,121 | ||||||
4.63%, 2/15/40 | 375,000 | 579,521 | ||||||
4.38%, 5/15/40 | 475,000 | 713,938 | ||||||
3.88%, 8/15/40 | 678,000 | 959,529 | ||||||
4.25%, 11/15/40 | 250,000 | 371,094 | ||||||
4.75%, 2/15/41 | 1,000,000 | 1,579,492 | ||||||
4.38%, 5/15/41 | 825,000 | 1,248,054 | ||||||
3.75%, 8/15/41 | 239,000 | 334,269 | ||||||
3.13%, 11/15/41 | 750,000 | 963,310 | ||||||
3.13%, 2/15/42 | 330,000 | 424,475 | ||||||
3.00%, 5/15/42 | 250,000 | 315,542 | ||||||
2.75%, 8/15/42 | 350,000 | 424,840 | ||||||
2.75%, 11/15/42 | 700,000 | 849,885 | ||||||
3.13%, 2/15/43 | 1,000,000 | 1,286,875 | ||||||
2.88%, 5/15/43 | 535,000 | 662,919 | ||||||
3.63%, 8/15/43 | 184,000 | 255,562 | ||||||
3.63%, 2/15/44 | 1,500,000 | 2,088,457 | ||||||
3.38%, 5/15/44 | 500,000 | 671,650 | ||||||
3.00%, 11/15/45 | 500,000 | 638,144 | ||||||
2.50%, 5/15/46 | 1,500,000 | 1,759,805 | ||||||
2.25%, 8/15/46 | 1,575,000 | 1,765,692 | ||||||
2.88%, 11/15/46 | 1,850,000 | 2,328,940 | ||||||
3.00%, 2/15/47 | 1,400,000 | 1,805,043 | ||||||
3.00%, 5/15/47 | 1,075,000 | 1,386,792 | ||||||
2.75%, 8/15/47 | 475,000 | 587,228 | ||||||
2.75%, 11/15/47 | 840,000 | 1,040,009 | ||||||
3.00%, 2/15/48 | 1,625,000 | 2,106,755 | ||||||
3.13%, 5/15/48 | 1,325,000 | 1,759,559 | ||||||
3.00%, 8/15/48 | 625,000 | 814,075 | ||||||
3.38%, 11/15/48 | 700,000 | 974,709 | ||||||
3.00%, 2/15/49 | 400,000 | 523,219 | ||||||
2.25%, 8/15/49 | 160,000 | 181,719 | ||||||
2.00%, 2/15/50 | 250,000 | 269,707 | ||||||
|
| |||||||
Total U.S. Treasury Bonds |
| 48,986,110 | ||||||
U.S. Treasury Notes – 14.0% |
| |||||||
1.38%, 4/30/21 | 1,000,000 | 1,003,477 | ||||||
2.25%, 4/30/21 | 1,345,000 | 1,363,940 | ||||||
1.38%, 5/31/21 | 1,000,000 | 1,004,297 | ||||||
2.00%, 5/31/21 | 1,365,000 | 1,381,316 | ||||||
2.63%, 6/15/21 | 1,700,000 | 1,734,996 | ||||||
1.13%, 6/30/21 | 1,250,000 | 1,251,782 | ||||||
1.63%, 6/30/21 | 1,000,000 | 1,008,242 | ||||||
2.13%, 6/30/21 | 1,000,000 | 1,015,000 | ||||||
2.63%, 7/15/21 | 1,500,000 | 1,533,135 | ||||||
1.13%, 7/31/21 | 2,300,000 | 2,304,672 | ||||||
2.13%, 8/15/21 | 1,260,000 | 1,280,967 | ||||||
2.75%, 8/15/21 | 1,000,000 | 1,025,645 | ||||||
1.13%, 8/31/21 | 2,700,000 | 2,706,223 | ||||||
1.50%, 8/31/21 | 3,500,000 | 3,527,754 | ||||||
2.00%, 8/31/21 | 1,000,000 | 1,015,391 | ||||||
2.75%, 9/15/21 | 1,500,000 | 1,540,928 | ||||||
1.13%, 9/30/21 | 3,400,000 | 3,408,900 | ||||||
1.50%, 9/30/21 | 2,000,000 | 2,017,187 | ||||||
2.13%, 9/30/21 | 1,000,000 | 1,018,477 | ||||||
1.25%, 10/31/21 | 1,800,000 | 1,809,422 | ||||||
1.50%, 10/31/21 | 1,210,000 | 1,221,296 | ||||||
2.00%, 10/31/21 | 2,200,000 | 2,238,543 | ||||||
2.00%, 11/15/21 | 2,000,000 | 2,036,328 | ||||||
1.75%, 11/30/21 | 1,600,000 | 1,623,000 | ||||||
1.88%, 11/30/21 | 1,500,000 | 1,524,902 | ||||||
2.63%, 12/15/21 | 750,000 | 772,559 | ||||||
2.00%, 12/31/21 | 3,200,000 | 3,262,562 | ||||||
2.13%, 12/31/21 | 1,800,000 | 1,839,445 | ||||||
1.50%, 1/31/22 | 1,760,000 | 1,780,041 | ||||||
1.88%, 1/31/22 | 2,400,000 | 2,444,250 | ||||||
2.00%, 2/15/22 | 1,225,000 | 1,251,271 | ||||||
1.75%, 2/28/22 | 1,300,000 | 1,321,937 | ||||||
1.88%, 2/28/22 | 2,150,000 | 2,191,320 | ||||||
1.75%, 3/31/22 | 1,500,000 | 1,526,748 | ||||||
1.88%, 3/31/22 | 2,000,000 | 2,040,430 | ||||||
2.25%, 4/15/22 | 1,500,000 | 1,542,656 | ||||||
1.75%, 4/30/22 | 1,280,000 | 1,303,625 | ||||||
1.88%, 4/30/22 | 1,000,000 | 1,021,094 | ||||||
1.75%, 5/15/22 | 1,000,000 | 1,019,082 | ||||||
1.75%, 5/31/22 | 2,500,000 | 2,548,145 | ||||||
1.88%, 5/31/22 | 3,500,000 | 3,577,383 | ||||||
1.75%, 6/15/22 | 3,701,000 | 3,774,586 | ||||||
1.75%, 6/30/22 | 2,250,000 | 2,295,176 | ||||||
1.75%, 7/15/22 | 2,800,000 | 2,856,820 | ||||||
1.88%, 7/31/22 | 1,998,000 | 2,045,374 | ||||||
2.00%, 7/31/22 | 1,710,000 | 1,755,923 | ||||||
1.50%, 8/15/22 | 1,900,000 | 1,929,057 | ||||||
1.63%, 8/15/22 | 1,000,000 | 1,018,281 | ||||||
1.63%, 8/31/22 | 1,000,000 | 1,018,477 | ||||||
1.50%, 9/15/22 | 1,500,000 | 1,523,672 | ||||||
1.75%, 9/30/22 | 2,000,000 | 2,044,766 |
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 29, 2020
Investments | Principal Amount | Value | ||||||
1.88%, 9/30/22 | $ | 880,000 | $ | 902,550 | ||||
1.38%, 10/15/22 | 2,000,000 | 2,025,781 | ||||||
1.88%, 10/31/22 | 3,325,000 | 3,412,151 | ||||||
2.00%, 10/31/22 | 300,000 | 308,871 | ||||||
1.63%, 11/15/22 | 2,785,000 | 2,840,319 | ||||||
2.00%, 11/30/22 | 2,785,000 | 2,869,475 | ||||||
1.63%, 12/15/22 | 1,800,000 | 1,837,160 | ||||||
2.13%, 12/31/22 | 2,840,000 | 2,939,067 | ||||||
1.50%, 1/15/23 | 2,000,000 | 2,035,273 | ||||||
1.75%, 1/31/23 | 800,000 | 820,156 | ||||||
2.38%, 1/31/23 | 400,000 | 417,195 | ||||||
2.00%, 2/15/23 | 780,000 | 805,700 | ||||||
1.50%, 2/28/23 | 750,000 | 763,857 | ||||||
1.50%, 3/31/23 | 750,000 | 764,209 | ||||||
1.63%, 4/30/23 | 700,000 | 716,270 | ||||||
2.75%, 4/30/23 | 600,000 | 634,910 | ||||||
1.75%, 5/15/23 | 900,000 | 924,557 | ||||||
1.63%, 5/31/23 | 750,000 | 767,681 | ||||||
2.75%, 5/31/23 | 1,230,000 | 1,303,295 | ||||||
1.38%, 6/30/23 | 480,000 | 487,716 | ||||||
2.63%, 6/30/23 | 1,215,000 | 1,284,340 | ||||||
1.25%, 7/31/23 | 680,000 | 688,354 | ||||||
2.50%, 8/15/23 | 750,000 | 791,060 | ||||||
1.38%, 8/31/23 | 380,000 | 386,279 | ||||||
2.75%, 8/31/23 | 625,000 | 664,905 | ||||||
1.38%, 9/30/23 | 500,000 | 508,399 | ||||||
2.88%, 9/30/23 | 3,210,000 | 3,433,822 | ||||||
1.63%, 10/31/23 | 375,000 | 384,932 | ||||||
2.88%, 10/31/23 | 1,745,000 | 1,869,025 | ||||||
2.75%, 11/15/23 | 750,000 | 800,625 | ||||||
2.13%, 11/30/23 | 580,000 | 606,202 | ||||||
2.88%, 11/30/23 | 1,745,000 | 1,871,649 | ||||||
2.25%, 12/31/23 | 810,000 | 851,212 | ||||||
2.63%, 12/31/23 | 750,000 | 798,574 | ||||||
2.25%, 1/31/24 | 750,000 | 788,862 | ||||||
2.50%, 1/31/24 | 250,000 | 265,332 | ||||||
2.75%, 2/15/24 | 635,000 | 680,579 | ||||||
2.38%, 2/29/24 | 3,500,000 | 3,701,797 | ||||||
2.13%, 3/31/24 | 1,750,000 | 1,835,518 | ||||||
2.00%, 4/30/24 | 170,000 | 177,567 | ||||||
2.25%, 4/30/24 | 1,000,000 | 1,054,688 | ||||||
2.50%, 5/15/24 | 500,000 | 532,783 | ||||||
2.00%, 5/31/24 | 1,750,000 | 1,829,263 | ||||||
2.00%, 6/30/24 | 800,000 | 837,063 | ||||||
1.75%, 7/31/24 | 1,000,000 | 1,036,230 | ||||||
2.13%, 7/31/24 | 500,000 | 526,250 | ||||||
2.38%, 8/15/24 | 2,500,000 | 2,659,424 | ||||||
1.25%, 8/31/24 | 2,500,000 | 2,536,816 | ||||||
1.88%, 8/31/24 | 1,100,000 | 1,146,385 | ||||||
1.50%, 9/30/24 | 1,615,000 | 1,657,394 | ||||||
2.13%, 9/30/24 | 1,800,000 | 1,897,312 | ||||||
1.50%, 10/31/24 | 2,000,000 | 2,053,320 | ||||||
2.25%, 10/31/24 | 1,500,000 | 1,591,025 | ||||||
2.25%, 11/15/24 | 2,900,000 | 3,077,115 | ||||||
1.50%, 11/30/24 | 2,000,000 | 2,054,609 | ||||||
2.13%, 11/30/24 | 2,000,000 | 2,111,602 | ||||||
1.75%, 12/31/24 | 2,525,000 | 2,624,175 | ||||||
2.25%, 12/31/24 | 1,500,000 | 1,593,838 | ||||||
1.38%, 1/31/25 | 1,974,000 | 2,017,605 | ||||||
2.50%, 1/31/25 | 2,700,000 | 2,904,662 | ||||||
2.00%, 2/15/25 | 4,000,000 | 4,207,734 | ||||||
2.88%, 5/15/49 | 350,000 | 448,267 | ||||||
2.38%, 11/15/49 | 325,000 | 379,088 | ||||||
|
| |||||||
Total U.S. Treasury Notes |
| 182,042,374 | ||||||
TOTAL U.S. GOVERNMENT OBLIGATIONS (Cost: $220,960,178) |
| 231,028,484 | ||||||
U.S. CORPORATE BONDS – 34.2% |
| |||||||
United States – 34.2% |
| |||||||
3M Co. | ||||||||
2.25%, 9/19/26 | 180,000 | 185,361 | ||||||
2.88%, 10/15/27 | 250,000 | 264,882 | ||||||
ABB Finance USA, Inc. | 17,000 | 19,400 | ||||||
Abbott Laboratories | 394,000 | 444,830 | ||||||
AbbVie, Inc. |
| |||||||
2.90%, 11/6/22 | 397,000 | 409,865 | ||||||
3.20%, 11/6/22 | 50,000 | 51,772 | ||||||
2.85%, 5/14/23(b) | 385,000 | 397,854 | ||||||
2.60%, 11/21/24(c) | 500,000 | 516,994 | ||||||
3.60%, 5/14/25 | 825,000 | 890,488 | ||||||
3.20%, 5/14/26 | 447,000 | 472,322 | ||||||
3.20%, 11/21/29(c) | 1,833,000 | 1,937,355 | ||||||
4.50%, 5/14/35 | 850,000 | 1,001,691 | ||||||
4.30%, 5/14/36 | 71,000 | 81,203 | ||||||
4.05%, 11/21/39(c) | 250,000 | 277,406 | ||||||
4.40%, 11/6/42 | 790,000 | 912,426 | ||||||
4.70%, 5/14/45 | 505,000 | 598,477 | ||||||
4.45%, 5/14/46 | 200,000 | 231,111 | ||||||
4.25%, 11/21/49(c) | 460,000 | 522,364 | ||||||
Activision Blizzard, Inc. |
| |||||||
2.30%, 9/15/21 | 5,000 | 5,053 | ||||||
3.40%, 9/15/26 | 189,000 | 203,463 | ||||||
4.50%, 6/15/47 | 205,000 | 258,311 | ||||||
Adventist Health System/West | 50,000 | 52,602 | ||||||
Advocate Health & Hospitals Corp. | 500,000 | 649,183 | ||||||
AEP Texas, Inc. | 150,000 | 171,452 | ||||||
AEP Transmission Co. LLC | 250,000 | 274,052 | ||||||
Aetna, Inc. |
| |||||||
3.50%, 11/15/24 | 170,000 | 182,139 | ||||||
6.63%, 6/15/36 | 75,000 | 104,201 | ||||||
6.75%, 12/15/37 | 250,000 | 357,677 | ||||||
4.50%, 5/15/42 | 55,000 | 62,110 | ||||||
4.13%, 11/15/42 | 125,000 | 135,902 | ||||||
4.75%, 3/15/44 | 315,000 | 369,120 | ||||||
3.88%, 8/15/47 | 139,000 | 147,182 | ||||||
Aflac, Inc. | 250,000 | 268,855 | ||||||
Agilent Technologies, Inc. |
| |||||||
3.88%, 7/15/23 | 52,000 | 55,359 | ||||||
2.75%, 9/15/29 | 33,000 | 34,478 |
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 29, 2020
Investments | Principal Amount | Value | ||||||
Air Lease Corp. |
| |||||||
2.75%, 1/15/23 | $ | 25,000 | $ | 25,444 | ||||
3.00%, 9/15/23 | 45,000 | 46,428 | ||||||
4.25%, 2/1/24 | 354,000 | 382,107 | ||||||
4.25%, 9/15/24 | 193,000 | 207,488 | ||||||
3.25%, 3/1/25 | 110,000 | 114,140 | ||||||
3.75%, 6/1/26 | 150,000 | 160,734 | ||||||
3.63%, 4/1/27 | 250,000 | 265,365 | ||||||
3.63%, 12/1/27 | 120,000 | 128,022 | ||||||
4.63%, 10/1/28 | 75,000 | 84,748 | ||||||
Aircastle Ltd. |
| |||||||
5.50%, 2/15/22 | 60,000 | 64,149 | ||||||
4.40%, 9/25/23 | 107,000 | 114,273 | ||||||
4.13%, 5/1/24 | 165,000 | 174,700 | ||||||
Alexandria Real Estate Equities, Inc. |
| |||||||
3.95%, 1/15/28 | 100,000 | 112,446 | ||||||
3.38%, 8/15/31 | 325,000 | 361,614 | ||||||
4.00%, 2/1/50 | 300,000 | 364,595 | ||||||
Allergan Finance LLC | 20,000 | 20,851 | ||||||
Allergan Funding SCS |
| |||||||
3.45%, 3/15/22 | 145,000 | 150,273 | ||||||
3.85%, 6/15/24 | 72,000 | 78,104 | ||||||
3.80%, 3/15/25 | 346,000 | 378,352 | ||||||
4.55%, 3/15/35 | 875,000 | 1,047,960 | ||||||
4.85%, 6/15/44(b) | 25,000 | 30,425 | ||||||
4.75%, 3/15/45 | 140,000 | 170,618 | ||||||
Allergan, Inc. | 170,000 | 175,458 | ||||||
Allstate Corp. (The) | 108,000 | 117,520 | ||||||
Altria Group, Inc. |
| |||||||
3.49%, 2/14/22 | 100,000 | 103,497 | ||||||
4.00%, 1/31/24 | 377,000 | 407,401 | ||||||
4.40%, 2/14/26 | 500,000 | 559,855 | ||||||
2.63%, 9/16/26 | 225,000 | 230,128 | ||||||
4.80%, 2/14/29 | 352,000 | 402,551 | ||||||
5.80%, 2/14/39 | 170,000 | 208,787 | ||||||
4.25%, 8/9/42 | 100,000 | 102,429 | ||||||
5.38%, 1/31/44 | 607,000 | 716,661 | ||||||
3.88%, 9/16/46 | 282,000 | 276,279 | ||||||
5.95%, 2/14/49 | 272,000 | 346,274 | ||||||
6.20%, 2/14/59 | 350,000 | 458,680 | ||||||
Amazon.com, Inc. |
| |||||||
5.20%, 12/3/25 | 114,000 | 135,540 | ||||||
3.15%, 8/22/27 | 366,000 | 401,649 | ||||||
Ameren Corp. | 50,000 | 54,317 | ||||||
American Airlines Pass Through Trust |
| |||||||
3.38%, 11/1/28, Series 2015-1, Class A | 78,662 | 84,633 | ||||||
3.35%, 4/15/31, Series AA | 22,970 | 24,889 | ||||||
American Campus Communities Operating Partnership L.P. |
| |||||||
3.63%, 11/15/27 | 61,000 | 67,748 | ||||||
2.85%, 2/1/30 | 200,000 | 208,712 | ||||||
American Electric Power Co., Inc. | 50,000 | 58,203 | ||||||
American Express Co. | 68,000 | 73,934 | ||||||
American Express Credit Corp. | 325,000 | 357,057 | ||||||
American Homes 4 Rent L.P. | 230,000 | 253,935 | ||||||
American Honda Finance Corp. | 365,000 | 408,241 | ||||||
American International Group, Inc. |
| |||||||
4.88%, 6/1/22 | 75,000 | 79,958 | ||||||
4.13%, 2/15/24 | 64,000 | 69,701 | ||||||
3.75%, 7/10/25 | 80,000 | 87,317 | ||||||
3.90%, 4/1/26 | 447,000 | 495,301 | ||||||
4.20%, 4/1/28 | 468,000 | 524,147 | ||||||
3.88%, 1/15/35 | 543,000 | 620,856 | ||||||
4.50%, 7/16/44 | 120,000 | 147,285 | ||||||
4.80%, 7/10/45 | 507,000 | 647,406 | ||||||
4.75%, 4/1/48 | 55,000 | 70,555 | ||||||
American Tower Corp. |
| |||||||
3.50%, 1/31/23 | 60,000 | 63,279 | ||||||
3.00%, 6/15/23 | 16,000 | 16,670 | ||||||
5.00%, 2/15/24 | 43,000 | 48,276 | ||||||
4.40%, 2/15/26 | 385,000 | 432,676 | ||||||
3.38%, 10/15/26 | 150,000 | 161,490 | ||||||
3.13%, 1/15/27 | 445,000 | 468,459 | ||||||
3.55%, 7/15/27 | 50,000 | 54,120 | ||||||
3.80%, 8/15/29 | 200,000 | 220,756 | ||||||
2.90%, 1/15/30 | 500,000 | 514,603 | ||||||
American Water Capital Corp. |
| |||||||
3.85%, 3/1/24 | 463,000 | 504,345 | ||||||
3.40%, 3/1/25 | 40,000 | 43,554 | ||||||
2.95%, 9/1/27 | 185,000 | 196,581 | ||||||
3.75%, 9/1/28 | 118,000 | 132,259 | ||||||
4.30%, 9/1/45(b) | 430,000 | 527,105 | ||||||
4.00%, 12/1/46 | 13,000 | 15,245 | ||||||
3.75%, 9/1/47 | 25,000 | 28,520 | ||||||
4.20%, 9/1/48 | 30,000 | 36,028 | ||||||
Ameriprise Financial, Inc. | 170,000 | 180,265 | ||||||
AmerisourceBergen Corp. | 75,000 | 81,274 | ||||||
Amgen, Inc. |
| |||||||
1.85%, 8/19/21 | 10,000 | 10,068 | ||||||
3.88%, 11/15/21 | 139,000 | 144,082 | ||||||
2.65%, 5/11/22 | 275,000 | 281,356 | ||||||
3.63%, 5/15/22 | 150,000 | 155,495 | ||||||
2.25%, 8/19/23(b) | 135,000 | 137,807 | ||||||
3.63%, 5/22/24 | 59,000 | 63,767 | ||||||
3.13%, 5/1/25 | 145,000 | 155,481 | ||||||
3.20%, 11/2/27(b) | 200,000 | 218,787 | ||||||
4.95%, 10/1/41 | 50,000 | 63,620 | ||||||
5.15%, 11/15/41 | 220,000 | 286,681 | ||||||
4.40%, 5/1/45 | 569,000 | 660,100 | ||||||
4.56%, 6/15/48 | 102,000 | 121,620 | ||||||
4.66%, 6/15/51 | 1,065,000 | 1,320,624 | ||||||
Amphenol Corp. |
| |||||||
3.20%, 4/1/24 | 550,000 | 584,616 | ||||||
2.80%, 2/15/30 | 30,000 | 30,767 | ||||||
Analog Devices, Inc. |
| |||||||
2.88%, 6/1/23 | 28,000 | 29,134 |
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 29, 2020
Investments | Principal Amount | Value | ||||||
3.13%, 12/5/23 | $ | 91,000 | $ | 96,176 | ||||
3.50%, 12/5/26 | 685,000 | 751,295 | ||||||
Anthem, Inc. |
| |||||||
3.13%, 5/15/22 | 80,000 | 82,638 | ||||||
3.50%, 8/15/24 | 40,000 | 42,770 | ||||||
3.35%, 12/1/24 | 250,000 | 266,373 | ||||||
3.65%, 12/1/27 | 707,000 | 774,071 | ||||||
4.63%, 5/15/42 | 160,000 | 185,884 | ||||||
4.65%, 1/15/43 | 125,000 | 146,745 | ||||||
5.10%, 1/15/44 | 190,000 | 235,233 | ||||||
4.65%, 8/15/44 | 200,000 | 234,080 | ||||||
4.55%, 3/1/48 | 377,000 | 444,219 | ||||||
Aon Corp. | 265,000 | 309,139 | ||||||
Aon PLC |
| |||||||
3.50%, 6/14/24 | 10,000 | 10,714 | ||||||
3.88%, 12/15/25 | 175,000 | 194,618 | ||||||
4.60%, 6/14/44 | 115,000 | 145,532 | ||||||
4.75%, 5/15/45 | 75,000 | 98,801 | ||||||
Apache Corp. |
| |||||||
5.10%, 9/1/40 | 100,000 | 101,917 | ||||||
5.25%, 2/1/42 | 190,000 | 196,414 | ||||||
4.75%, 4/15/43 | 435,000 | 411,530 | ||||||
4.25%, 1/15/44 | 50,000 | 44,544 | ||||||
5.35%, 7/1/49(b) | 250,000 | 259,601 | ||||||
Apollo Investment Corp. | 15,000 | 15,828 | ||||||
Appalachian Power Co. | 100,000 | 108,210 | ||||||
Apple, Inc. |
| |||||||
4.50%, 2/23/36 | 500,000 | 637,411 | ||||||
3.85%, 5/4/43 | 1,250,000 | 1,497,895 | ||||||
4.45%, 5/6/44 | 250,000 | 322,751 | ||||||
3.45%, 2/9/45 | 490,000 | 553,311 | ||||||
4.38%, 5/13/45 | 490,000 | 626,746 | ||||||
4.65%, 2/23/46 | 1,250,000 | 1,667,634 | ||||||
3.85%, 8/4/46 | 500,000 | 597,463 | ||||||
4.25%, 2/9/47 | 300,000 | 381,497 | ||||||
3.75%, 9/12/47 | 533,000 | 630,337 | ||||||
3.75%, 11/13/47 | 555,000 | 657,771 | ||||||
2.95%, 9/11/49 | 827,000 | 870,468 | ||||||
Aptiv Corp. | 25,000 | 27,283 | ||||||
Aptiv PLC |
| |||||||
4.35%, 3/15/29 | 75,000 | 86,548 | ||||||
4.40%, 10/1/46 | 20,000 | 21,951 | ||||||
5.40%, 3/15/49 | 125,000 | 151,419 | ||||||
Arch Capital Finance LLC | 290,000 | 334,513 | ||||||
Arch Capital Group US, Inc. | 50,000 | 69,583 | ||||||
Archer-Daniels-Midland Co. | 185,000 | 192,856 | ||||||
Ares Capital Corp. |
| |||||||
3.63%, 1/19/22 | 25,000 | 25,653 | ||||||
3.50%, 2/10/23 | 516,000 | 533,346 | ||||||
Arrow Electronics, Inc. | 412,000 | 444,186 | ||||||
Ascension Health | 626,000 | 898,109 | ||||||
Assurant, Inc. |
| |||||||
4.00%, 3/15/23 | 25,000 | 26,616 | ||||||
4.90%, 3/27/28 | 25,000 | 29,011 | ||||||
AT&T, Inc. |
| |||||||
4.00%, 1/15/22 | 166,000 | 173,723 | ||||||
3.20%, 3/1/22 | 20,000 | 20,635 | ||||||
2.63%, 12/1/22(b) | 10,000 | 10,290 | ||||||
3.60%, 2/17/23 | 350,000 | 369,606 | ||||||
3.80%, 3/1/24 | 270,000 | 291,539 | ||||||
4.45%, 4/1/24 | 350,000 | 385,997 | ||||||
3.55%, 6/1/24 | 631,000 | 673,587 | ||||||
3.95%, 1/15/25 | 70,000 | 76,555 | ||||||
3.40%, 5/15/25 | 770,000 | 820,768 | ||||||
3.60%, 7/15/25 | 210,000 | 226,525 | ||||||
3.88%, 1/15/26 | 200,000 | 219,684 | ||||||
4.13%, 2/17/26 | 70,000 | 77,865 | ||||||
3.80%, 2/15/27 | 315,000 | 345,631 | ||||||
4.25%, 3/1/27 | 709,000 | 799,636 | ||||||
4.10%, 2/15/28 | 515,000 | 577,816 | ||||||
4.30%, 2/15/30 | 430,000 | 492,583 | ||||||
4.50%, 5/15/35 | 464,000 | 541,047 | ||||||
5.25%, 3/1/37 | 331,000 | 410,063 | ||||||
4.85%, 3/1/39 | 530,000 | 636,629 | ||||||
6.10%, 7/15/40 | 50,000 | 67,261 | ||||||
6.00%, 8/15/40 | 206,000 | 277,846 | ||||||
6.38%, 3/1/41 | 175,000 | 238,629 | ||||||
5.55%, 8/15/41 | 115,000 | 149,045 | ||||||
5.15%, 3/15/42 | 579,000 | 707,315 | ||||||
4.90%, 6/15/42 | 479,000 | 566,027 | ||||||
4.30%, 12/15/42 | 442,000 | 496,729 | ||||||
5.35%, 12/15/43 | 103,000 | 127,662 | ||||||
4.80%, 6/15/44 | 259,000 | 306,853 | ||||||
4.35%, 6/15/45 | 408,000 | 460,554 | ||||||
4.85%, 7/15/45 | 150,000 | 175,736 | ||||||
4.75%, 5/15/46 | 630,000 | 740,081 | ||||||
5.15%, 11/15/46 | 720,000 | 892,319 | ||||||
5.65%, 2/15/47 | 85,000 | 113,591 | ||||||
5.45%, 3/1/47 | 305,000 | 396,880 | ||||||
4.50%, 3/9/48 | 545,000 | 625,768 | ||||||
4.55%, 3/9/49 | 329,000 | 381,701 | ||||||
5.15%, 2/15/50 | 370,000 | 459,987 | ||||||
5.70%, 3/1/57 | 491,000 | 678,477 | ||||||
Athene Holding Ltd. | 390,000 | 415,675 | ||||||
Autodesk, Inc. |
| |||||||
4.38%, 6/15/25 | 25,000 | 28,259 | ||||||
3.50%, 6/15/27 | 165,000 | 181,528 | ||||||
AutoNation, Inc. | 115,000 | 123,436 | ||||||
AutoZone, Inc. |
| |||||||
2.88%, 1/15/23 | 33,000 | 34,248 | ||||||
3.13%, 7/15/23 | 50,000 | 52,508 | ||||||
3.25%, 4/15/25 | 73,000 | 78,515 | ||||||
3.75%, 6/1/27 | 313,000 | 348,733 | ||||||
3.75%, 4/18/29 | 175,000 | 194,781 |
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 29, 2020
Investments | Principal Amount | Value | ||||||
AvalonBay Communities, Inc. |
| |||||||
3.45%, 6/1/25 | $ | 203,000 | $ | 222,091 | ||||
2.90%, 10/15/26 | 50,000 | 53,512 | ||||||
3.35%, 5/15/27 | 269,000 | 296,963 | ||||||
3.20%, 1/15/28 | 75,000 | 82,400 | ||||||
3.30%, 6/1/29 | 220,000 | 244,415 | ||||||
Avangrid, Inc. |
| |||||||
3.15%, 12/1/24 | 50,000 | 53,062 | ||||||
3.80%, 6/1/29 | 150,000 | 166,829 | ||||||
Avery Dennison Corp. | 56,000 | 67,093 | ||||||
AXIS Specialty Finance LLC | 200,000 | 222,287 | ||||||
AXIS Specialty Finance PLC | 25,000 | 27,989 | ||||||
Baker Hughes a GE Co. LLC |
| |||||||
3.34%, 12/15/27 | 50,000 | 52,572 | ||||||
3.14%, 11/7/29 | 75,000 | 77,023 | ||||||
Baltimore Gas & Electric Co. | 290,000 | 299,404 | ||||||
Bank of America Corp. |
| |||||||
4.20%, 8/26/24 | 199,000 | 217,713 | ||||||
3.95%, 4/21/25, Series L | 148,000 | 161,613 | ||||||
3.88%, 8/1/25 | 48,000 | 53,184 | ||||||
4.45%, 3/3/26 | 50,000 | 56,443 | ||||||
4.25%, 10/22/26 | 50,000 | 55,877 | ||||||
3.56%, 4/23/27, (3.559% fixed rate until 4/23/26; 3-month U.S. dollar London Interbank Offered Rate + 1.06% thereafter)(d) | 300,000 | 325,832 | ||||||
3.25%, 10/21/27 | 420,000 | 451,154 | ||||||
4.18%, 11/25/27, Series L | 799,000 | 889,766 | ||||||
3.82%, 1/20/28, (3.824% fixed rate until 1/20/27; 3-month U.S. dollar London Interbank Offered Rate + 1.575% thereafter)(d) | 100,000 | 110,320 | ||||||
3.71%, 4/24/28, (3.705% fixed rate until 4/24/27; 3-month U.S. dollar London Interbank Offered Rate + 1.512% thereafter)(d) | 350,000 | 382,466 | ||||||
3.59%, 7/21/28, (3.593% fixed rate until 7/21/27; 3-month U.S. dollar London Interbank Offered Rate + 1.37% thereafter)(d) | 602,000 | 658,110 | ||||||
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) | 635,000 | 686,771 | ||||||
3.97%, 3/5/29, (3.97% fixed rate until 3/5/28; 3-month U.S. dollar London Interbank Offered Rate + 1.07% thereafter)(d) | 225,000 | 252,248 | ||||||
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) | 396,000 | 455,902 | ||||||
3.97%, 2/7/30, (3.974% fixed rate until 2/7/29; 3-month U.S. dollar London Interbank Offered Rate + 1.21% thereafter)(d) | 400,000 | 454,378 | ||||||
2.50%, 2/13/31, (2.496% fixed rate until 2/13/30; 3-month U.S. dollar London Interbank Offered Rate + 0.990% thereafter)(d) | 335,000 | 340,144 | ||||||
6.11%, 1/29/37 | 952,000 | 1,311,382 | ||||||
7.75%, 5/14/38 | 127,000 | 205,770 | ||||||
BankUnited, Inc. | 10,000 | 11,433 | ||||||
Baxalta, Inc. |
| |||||||
4.00%, 6/23/25 | 458,000 | 506,935 | ||||||
5.25%, 6/23/45 | 60,000 | 84,841 | ||||||
Baxter International, Inc. | 49,000 | 51,335 | ||||||
BBVA USA | 250,000 | 256,359 | ||||||
Becton Dickinson and Co. |
| |||||||
3.36%, 6/6/24 | 448,000 | 475,264 | ||||||
3.73%, 12/15/24 | 70,000 | 75,860 | ||||||
3.70%, 6/6/27 | 225,000 | 248,490 | ||||||
4.69%, 12/15/44 | 48,000 | 59,923 | ||||||
4.67%, 6/6/47 | 325,000 | 412,055 | ||||||
Berkshire Hathaway Energy Co. | 170,000 | 186,071 | ||||||
Berkshire Hathaway Finance Corp. |
| |||||||
5.75%, 1/15/40 | 81,000 | 117,362 | ||||||
4.40%, 5/15/42 | 252,000 | 314,499 | ||||||
4.30%, 5/15/43 | 15,000 | 18,567 | ||||||
4.20%, 8/15/48 | 734,000 | 898,177 | ||||||
4.25%, 1/15/49 | 534,000 | 665,599 | ||||||
Berkshire Hathaway, Inc. | 292,000 | 373,605 | ||||||
Best Buy Co., Inc. | 60,000 | 69,047 | ||||||
BGC Partners, Inc. | 150,000 | 164,267 | ||||||
Biogen, Inc. | 547,000 | 709,356 | ||||||
Black Hills Corp. |
| |||||||
4.25%, 11/30/23 | 26,000 | 28,264 | ||||||
4.35%, 5/1/33 | 180,000 | 217,033 | ||||||
4.20%, 9/15/46 | 165,000 | 195,100 | ||||||
BlackRock, Inc. | 295,000 | 307,931 | ||||||
Block Financial LLC | 22,000 | 24,937 | ||||||
Boardwalk Pipelines L.P. |
| |||||||
3.38%, 2/1/23 | 100,000 | 103,536 | ||||||
4.95%, 12/15/24 | 139,000 | 152,215 | ||||||
4.45%, 7/15/27 | 100,000 | 105,016 | ||||||
Boeing Co. (The) |
| |||||||
2.60%, 10/30/25 | 175,000 | 179,152 | ||||||
2.25%, 6/15/26 | 50,000 | 50,256 | ||||||
2.80%, 3/1/27 | 275,000 | 284,181 |
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 29, 2020
Investments | Principal Amount | Value | ||||||
Booking Holdings, Inc. |
| |||||||
3.60%, 6/1/26(b) | $ | 340,000 | $ | 372,595 | ||||
3.55%, 3/15/28 | 90,000 | 98,550 | ||||||
BorgWarner, Inc. | 96,000 | 105,753 | ||||||
Boston Properties L.P. |
| |||||||
3.13%, 9/1/23 | 23,000 | 24,244 | ||||||
3.80%, 2/1/24 | 50,000 | 53,996 | ||||||
3.20%, 1/15/25 | 8,000 | 8,592 | ||||||
3.65%, 2/1/26 | 280,000 | 307,320 | ||||||
2.75%, 10/1/26 | 65,000 | 68,843 | ||||||
4.50%, 12/1/28 | 450,000 | 531,988 | ||||||
2.90%, 3/15/30 | 300,000 | 317,337 | ||||||
Boston Scientific Corp. |
| |||||||
3.45%, 3/1/24 | 225,000 | 239,927 | ||||||
3.85%, 5/15/25 | 153,000 | 168,698 | ||||||
3.75%, 3/1/26 | 170,000 | 187,099 | ||||||
7.00%, 11/15/35 | 165,000 | 243,030 | ||||||
7.38%, 1/15/40 | 2,000 | 3,206 | ||||||
4.70%, 3/1/49 | 200,000 | 261,136 | ||||||
BP Capital Markets America, Inc. |
| |||||||
3.12%, 5/4/26 | 224,000 | 239,431 | ||||||
3.02%, 1/16/27 | 135,000 | 143,596 | ||||||
3.59%, 4/14/27 | 192,000 | 210,994 | ||||||
4.23%, 11/6/28 | 100,000 | 116,073 | ||||||
Brighthouse Financial, Inc. |
| |||||||
3.70%, 6/22/27(b) | 210,000 | 217,451 | ||||||
4.70%, 6/22/47 | 593,000 | 600,448 | ||||||
Bristol-Myers Squibb Co. |
| |||||||
3.88%, 8/15/25(c) | 444,000 | 492,744 | ||||||
3.90%, 2/20/28(c) | 447,000 | 508,337 | ||||||
3.40%, 7/26/29(c) | 363,000 | 407,528 | ||||||
Brixmor Operating Partnership L.P. |
| |||||||
3.25%, 9/15/23 | 190,000 | 199,958 | ||||||
3.65%, 6/15/24 | 150,000 | 161,352 | ||||||
4.13%, 6/15/26 | 30,000 | 33,294 | ||||||
Broadcom Corp. |
| |||||||
3.00%, 1/15/22 | 653,000 | 665,817 | ||||||
3.63%, 1/15/24 | 389,000 | 408,570 | ||||||
3.88%, 1/15/27 | 1,430,000 | 1,495,723 | ||||||
3.50%, 1/15/28 | 717,000 | 738,326 | ||||||
Broadridge Financial Solutions, Inc. |
| |||||||
3.40%, 6/27/26 | 151,000 | 163,306 | ||||||
2.90%, 12/1/29 | 150,000 | 155,476 | ||||||
Brown & Brown, Inc. | 20,000 | 21,759 | ||||||
Bunge Ltd. Finance Corp. |
| |||||||
3.25%, 8/15/26 | 641,000 | 663,797 | ||||||
3.75%, 9/25/27 | 67,000 | 70,806 | ||||||
Burlington Northern Santa Fe LLC |
| |||||||
3.00%, 4/1/25 | 71,000 | 76,045 | ||||||
3.65%, 9/1/25 | 120,000 | 132,091 | ||||||
3.25%, 6/15/27 | 40,000 | 44,237 | ||||||
CA, Inc. |
| |||||||
3.60%, 8/15/22 | 139,000 | 143,487 | ||||||
4.70%, 3/15/27 | 55,000 | 60,530 | ||||||
California Institute of Technology | 350,000 | 418,342 | ||||||
Campbell Soup Co. |
| |||||||
3.30%, 3/19/25 | 20,000 | 21,147 | ||||||
4.80%, 3/15/48 | 543,000 | 663,386 | ||||||
Capital One Financial Corp. |
| |||||||
3.05%, 3/9/22 | 25,000 | 25,676 | ||||||
3.20%, 1/30/23 | 530,000 | 551,123 | ||||||
3.50%, 6/15/23 | 32,000 | 33,917 | ||||||
3.30%, 10/30/24 | 70,000 | 74,553 | ||||||
3.20%, 2/5/25 | 20,000 | 21,110 | ||||||
4.20%, 10/29/25 | 359,000 | 389,352 | ||||||
3.75%, 3/9/27 | 322,000 | 351,205 | ||||||
3.80%, 1/31/28 | 342,000 | 373,692 | ||||||
Cardinal Health, Inc. |
| |||||||
3.08%, 6/15/24 | 250,000 | 260,914 | ||||||
3.50%, 11/15/24 | 344,000 | 366,306 | ||||||
3.41%, 6/15/27 | 184,000 | 196,163 | ||||||
4.50%, 11/15/44 | 98,000 | 105,068 | ||||||
4.90%, 9/15/45 | 100,000 | 113,269 | ||||||
4.37%, 6/15/47 | 155,000 | 168,243 | ||||||
Carlisle Cos., Inc. |
| |||||||
3.50%, 12/1/24 | 100,000 | 107,993 | ||||||
3.75%, 12/1/27 | 25,000 | 27,582 | ||||||
Caterpillar Financial Services Corp. | 190,000 | 198,634 | ||||||
CBRE Services, Inc. | 153,000 | 175,946 | ||||||
Celanese U.S. Holdings LLC | 350,000 | 371,828 | ||||||
CenterPoint Energy Houston Electric LLC |
| |||||||
2.40%, 9/1/26, Series Z | 90,000 | 93,590 | ||||||
3.00%, 2/1/27, Series AA | 200,000 | 216,707 | ||||||
CenterPoint Energy Resources Corp. |
| |||||||
3.55%, 4/1/23 | 15,000 | 15,859 | ||||||
4.00%, 4/1/28 | 220,000 | 246,952 | ||||||
CenterPoint Energy, Inc. | 190,000 | 219,664 | ||||||
Charles Schwab Corp. (The) |
| |||||||
3.20%, 1/25/28 | 250,000 | 272,931 | ||||||
3.25%, 5/22/29 | 200,000 | 220,450 | ||||||
Charter Communications Operating LLC |
| |||||||
4.46%, 7/23/22 | 480,000 | 509,001 | ||||||
4.91%, 7/23/25 | 1,216,000 | 1,369,268 | ||||||
4.20%, 3/15/28 | 150,000 | 163,713 | ||||||
6.38%, 10/23/35 | 550,000 | 727,212 | ||||||
5.38%, 4/1/38 | 100,000 | 116,159 | ||||||
6.48%, 10/23/45 | 330,000 | 424,690 | ||||||
5.38%, 5/1/47 | 674,000 | 772,282 | ||||||
5.75%, 4/1/48 | 412,000 | 491,333 | ||||||
5.13%, 7/1/49 | 705,000 | 793,678 | ||||||
Cheniere Corpus Christi Holdings LLC |
| |||||||
5.13%, 6/30/27 | 500,000 | 558,507 | ||||||
3.70%, 11/15/29(c) | 25,000 | 25,091 | ||||||
Chubb INA Holdings, Inc. |
| |||||||
3.15%, 3/15/25 | 241,000 | 260,529 | ||||||
3.35%, 5/3/26 | 180,000 | 198,846 | ||||||
Church & Dwight Co., Inc. |
| |||||||
2.45%, 8/1/22 | 100,000 | 102,072 | ||||||
3.15%, 8/1/27 | 390,000 | 424,993 |
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 29, 2020
Investments | Principal Amount | Value | ||||||
Cigna Corp. |
| |||||||
4.75%, 11/15/21(c) | $ | 116,000 | $ | 122,023 | ||||
3.05%, 11/30/22(c) | 85,000 | 87,870 | ||||||
3.00%, 7/15/23(c) | 80,000 | 83,237 | ||||||
4.13%, 11/15/25 | 140,000 | 156,077 | ||||||
4.50%, 2/25/26(c) | 110,000 | 124,569 | ||||||
3.40%, 3/1/27(c) | 120,000 | 128,492 | ||||||
3.05%, 10/15/27(c) | 518,000 | 543,316 | ||||||
4.38%, 10/15/28 | 862,000 | 982,277 | ||||||
4.80%, 8/15/38 | 592,000 | 712,772 | ||||||
6.13%, 11/15/41(c) | 21,000 | 28,701 | ||||||
4.80%, 7/15/46(c) | 375,000 | 451,819 | ||||||
3.88%, 10/15/47(c) | 296,000 | 313,950 | ||||||
4.90%, 12/15/48 | 420,000 | 521,472 | ||||||
Cimarex Energy Co. |
| |||||||
4.38%, 6/1/24 | 63,000 | 66,885 | ||||||
3.90%, 5/15/27 | 474,000 | 491,991 | ||||||
Cintas Corp. No. 2 | 335,000 | 378,100 | ||||||
Cisco Systems, Inc. |
| |||||||
2.95%, 2/28/26 | 275,000 | 296,731 | ||||||
2.50%, 9/20/26 | 40,000 | 42,286 | ||||||
Citigroup, Inc. |
| |||||||
4.05%, 7/30/22 | 202,000 | 213,239 | ||||||
3.50%, 5/15/23 | 303,000 | 318,446 | ||||||
4.00%, 8/5/24 | 25,000 | 27,143 | ||||||
3.88%, 3/26/25 | 167,000 | 181,014 | ||||||
3.30%, 4/27/25 | 40,000 | 42,832 | ||||||
4.40%, 6/10/25 | 77,000 | 85,889 | ||||||
5.50%, 9/13/25 | 200,000 | 234,712 | ||||||
4.60%, 3/9/26 | 25,000 | 28,362 | ||||||
3.40%, 5/1/26 | 100,000 | 108,401 | ||||||
3.20%, 10/21/26 | 244,000 | 260,025 | ||||||
4.45%, 9/29/27 | 690,000 | 779,833 | ||||||
3.89%, 1/10/28, (3.887% fixed rate until 1/10/27; 3-month U.S. dollar London Interbank Offered Rate + 1.563% thereafter)(d) | 20,000 | 22,187 | ||||||
6.63%, 1/15/28 | 150,000 | 195,976 | ||||||
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) | 206,000 | 226,420 | ||||||
4.13%, 7/25/28 | 354,000 | 394,242 | ||||||
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) | 185,000 | 201,616 | ||||||
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) | 295,000 | 335,691 | ||||||
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) | 329,000 | 372,758 | ||||||
2.98%, 11/5/30, (2.976% fixed rate until 11/5/29; Secured Overnight Financing Rate + 1.422% thereafter)(d) | 250,000 | 263,026 | ||||||
2.67%, 1/29/31, (2.666% fixed rate until 1/29/30; Secured Overnight Financing Rate + 1.146% thereafter)(d) | 300,000 | 307,458 | ||||||
6.00%, 10/31/33 | 50,000 | 68,239 | ||||||
6.68%, 9/13/43 | 238,000 | 368,210 | ||||||
5.30%, 5/6/44 | 75,000 | 99,616 | ||||||
4.75%, 5/18/46 | 471,000 | 592,050 | ||||||
Citrix Systems, Inc. | 25,000 | 27,711 | ||||||
Cleco Corporate Holdings LLC | 64,000 | 69,178 | ||||||
Cleveland Clinic Foundation (The) | 500,000 | 742,652 | ||||||
Clorox Co. (The) | 265,000 | 288,824 | ||||||
CME Group, Inc. | 56,000 | 80,536 | ||||||
CMS Energy Corp. |
| |||||||
3.00%, 5/15/26 | 250,000 | 265,583 | ||||||
3.45%, 8/15/27(b) | 350,000 | 385,864 | ||||||
CNA Financial Corp. | 2,000 | 2,127 | ||||||
CNOOC Finance 2015 USA LLC | 340,000 | 392,055 | ||||||
Coca-Cola Co. (The) |
| |||||||
2.25%, 9/1/26 | 42,000 | 44,347 | ||||||
2.90%, 5/25/27 | 150,000 | 164,181 | ||||||
2.13%, 9/6/29 | 145,000 | 148,322 | ||||||
Colgate-Palmolive Co. | 700,000 | 883,489 | ||||||
Columbia Pipeline Group, Inc. | 48,000 | 53,542 | ||||||
Columbia Property Trust Operating Partnership L.P. | 150,000 | 162,675 | ||||||
Comcast Corp. |
| |||||||
3.38%, 8/15/25 | 261,000 | 283,889 | ||||||
3.95%, 10/15/25 | 364,000 | 407,918 | ||||||
3.15%, 3/1/26 | 51,000 | 55,060 | ||||||
2.35%, 1/15/27 | 650,000 | 672,254 | ||||||
3.30%, 2/1/27 | 150,000 | 163,231 | ||||||
3.15%, 2/15/28 | 230,000 | 250,024 | ||||||
CommonSpirit Health |
| |||||||
4.35%, 11/1/42 | 115,000 | 129,973 | ||||||
4.19%, 10/1/49 | 300,000 | 329,575 | ||||||
Conagra Brands, Inc. |
| |||||||
7.00%, 10/1/28 | 23,000 | 29,840 | ||||||
4.85%, 11/1/28 | 1,197,000 | 1,394,359 | ||||||
5.40%, 11/1/48 | 225,000 | 284,874 | ||||||
Concho Resources, Inc. |
| |||||||
4.38%, 1/15/25 | 337,000 | 348,850 | ||||||
3.75%, 10/1/27 | 100,000 | 104,030 | ||||||
4.30%, 8/15/28 | 132,000 | 143,705 | ||||||
4.88%, 10/1/47 | 440,000 | 519,136 | ||||||
4.85%, 8/15/48 | 40,000 | 44,077 | ||||||
Connecticut Light & Power Co. (The) | 100,000 | 109,023 |
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 29, 2020
Investments | Principal Amount | Value | ||||||
ConocoPhillips Co. | $ | 277,000 | $ | 324,099 | ||||
ConocoPhillips Holding Co. | 50,000 | 68,268 | ||||||
Constellation Brands, Inc. |
| |||||||
4.75%, 11/15/24 | 95,000 | 108,064 | ||||||
4.40%, 11/15/25 | 142,000 | 161,380 | ||||||
3.70%, 12/6/26 | 427,000 | 469,190 | ||||||
3.50%, 5/9/27 | 162,000 | 175,054 | ||||||
4.50%, 5/9/47 | 530,000 | 632,369 | ||||||
4.10%, 2/15/48 | 315,000 | 355,390 | ||||||
Continental Airlines Pass Through Trust | 11,563 | 12,519 | ||||||
Continental Resources, Inc. |
| |||||||
4.50%, 4/15/23 | 114,000 | 119,493 | ||||||
4.90%, 6/1/44(b) | 70,000 | 61,935 | ||||||
Corning, Inc. |
| |||||||
2.90%, 5/15/22 | 9,000 | 9,264 | ||||||
5.75%, 8/15/40 | 100,000 | 128,454 | ||||||
4.75%, 3/15/42 | 235,000 | 272,465 | ||||||
5.45%, 11/15/79 | 100,000 | 112,125 | ||||||
Costco Wholesale Corp. | 80,000 | 87,089 | ||||||
Crown Castle International Corp. |
| |||||||
4.88%, 4/15/22 | 166,000 | 176,264 | ||||||
3.20%, 9/1/24 | 20,000 | 21,169 | ||||||
4.45%, 2/15/26 | 100,000 | 112,693 | ||||||
3.70%, 6/15/26 | 80,000 | 86,943 | ||||||
4.00%, 3/1/27 | 295,000 | 326,852 | ||||||
3.65%, 9/1/27 | 644,000 | 702,421 | ||||||
4.30%, 2/15/29 | 250,000 | 286,128 | ||||||
3.10%, 11/15/29 | 102,000 | 107,722 | ||||||
4.75%, 5/15/47 | 95,000 | 117,623 | ||||||
5.20%, 2/15/49 | 50,000 | 64,929 | ||||||
CSX Corp. |
| |||||||
4.25%, 6/1/21 | 38,000 | 39,014 | ||||||
3.40%, 8/1/24 | 25,000 | 26,771 | ||||||
3.35%, 11/1/25(b) | 44,000 | 47,756 | ||||||
3.25%, 6/1/27 | 591,000 | 635,718 | ||||||
3.80%, 3/1/28 | 705,000 | 786,482 | ||||||
6.15%, 5/1/37 | 150,000 | 209,230 | ||||||
5.50%, 4/15/41 | 25,000 | 33,571 | ||||||
4.75%, 5/30/42 | 117,000 | 146,711 | ||||||
4.10%, 3/15/44 | 310,000 | 356,962 | ||||||
3.80%, 11/1/46 | 380,000 | 426,156 | ||||||
4.30%, 3/1/48 | 360,000 | 436,346 | ||||||
3.95%, 5/1/50 | 15,000 | 17,414 | ||||||
4.50%, 8/1/54 | 102,000 | 126,710 | ||||||
4.25%, 11/1/66 | 20,000 | 22,918 | ||||||
4.65%, 3/1/68 | 60,000 | 73,875 | ||||||
CubeSmart L.P. |
| |||||||
3.13%, 9/1/26 | 35,000 | 37,357 | ||||||
4.38%, 2/15/29 | 25,000 | 29,029 | ||||||
CVS Health Corp. |
| |||||||
2.13%, 6/1/21 | 373,000 | 375,246 | ||||||
3.50%, 7/20/22 | 126,000 | 130,913 | ||||||
4.75%, 12/1/22 | 418,000 | 448,578 | ||||||
4.00%, 12/5/23 | 179,000 | 192,337 | ||||||
4.10%, 3/25/25 | 250,000 | 274,244 | ||||||
3.88%, 7/20/25 | 1,002,000 | 1,095,518 | ||||||
2.88%, 6/1/26 | 150,000 | 155,711 | ||||||
4.30%, 3/25/28 | 1,797,000 | 2,014,778 | ||||||
3.25%, 8/15/29(b) | 472,000 | 497,943 | ||||||
4.88%, 7/20/35 | 453,000 | 548,269 | ||||||
4.78%, 3/25/38 | 630,000 | 741,986 | ||||||
5.13%, 7/20/45 | 675,000 | 826,349 | ||||||
5.05%, 3/25/48 | 1,228,000 | 1,512,180 | ||||||
Dell International LLC |
| |||||||
4.42%, 6/15/21(c) | 50,000 | 51,525 | ||||||
5.45%, 6/15/23(c) | 283,000 | 312,188 | ||||||
4.00%, 7/15/24(c) | 35,000 | 37,600 | ||||||
6.02%, 6/15/26(c) | 340,000 | 398,765 | ||||||
5.30%, 10/1/29(b)(c) | 370,000 | 425,845 | ||||||
8.10%, 7/15/36(c) | 1,180,000 | 1,621,034 | ||||||
8.35%, 7/15/46(c) | 455,000 | 620,804 | ||||||
Delta Air Lines, Inc. | 45,000 | 47,709 | ||||||
Devon Energy Corp. |
| |||||||
5.60%, 7/15/41 | 155,000 | 176,502 | ||||||
4.75%, 5/15/42 | 140,000 | 143,653 | ||||||
5.00%, 6/15/45 | 61,000 | 65,662 | ||||||
DH Europe Finance II Sarl | 450,000 | 498,699 | ||||||
Digital Realty Trust L.P. |
| |||||||
2.75%, 2/1/23 | 25,000 | 25,754 | ||||||
3.70%, 8/15/27 | 288,000 | 316,775 | ||||||
4.45%, 7/15/28 | 152,000 | 174,819 | ||||||
Dignity Health | 10,000 | 13,310 | ||||||
Discover Bank |
| |||||||
4.68%, 8/9/28, (4.682% fixed rate until 8/9/23; 5-year U.S. dollar Swap Rate + 1.73% thereafter)(d) | 200,000 | 212,703 | ||||||
4.65%, 9/13/28 | 250,000 | 293,676 | ||||||
Discover Financial Services |
| |||||||
3.95%, 11/6/24 | 71,000 | 76,911 | ||||||
3.75%, 3/4/25 | 210,000 | 225,827 | ||||||
Discovery Communications LLC |
| |||||||
4.90%, 3/11/26 | 388,000 | 442,339 | ||||||
3.95%, 3/20/28 | 85,000 | 92,991 | ||||||
5.00%, 9/20/37 | 938,000 | 1,077,703 | ||||||
6.35%, 6/1/40 | 50,000 | 66,263 | ||||||
4.95%, 5/15/42 | 90,000 | 102,214 | ||||||
4.88%, 4/1/43 | 46,000 | 52,043 | ||||||
5.20%, 9/20/47 | 90,000 | 106,259 | ||||||
5.30%, 5/15/49 | 350,000 | 424,303 | ||||||
Dollar General Corp. | 362,000 | 403,712 | ||||||
Dollar Tree, Inc. |
| |||||||
3.70%, 5/15/23 | 250,000 | 265,376 | ||||||
4.00%, 5/15/25 | 41,000 | 45,114 | ||||||
Dominion Energy Gas Holdings LLC |
| |||||||
3.60%, 12/15/24 | 120,000 | 129,116 | ||||||
3.00%, 11/15/29, Series B | 250,000 | 262,104 | ||||||
4.60%, 12/15/44 | 50,000 | 59,303 |
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 29, 2020
Investments | Principal Amount | Value | ||||||
Dominion Energy, Inc. |
| |||||||
2.00%, 8/15/21, Series C | $ | 25,000 | $ | 25,255 | ||||
3.07%, 8/15/24(d) | 468,000 | 491,642 | ||||||
3.90%, 10/1/25 | 295,000 | 325,988 | ||||||
4.25%, 6/1/28 | 75,000 | 85,648 | ||||||
5.25%, 8/1/33, Series F | 45,000 | 56,594 | ||||||
7.00%, 6/15/38 | 25,000 | 36,515 | ||||||
4.90%, 8/1/41, Series C | 70,000 | 86,766 | ||||||
4.70%, 12/1/44(b) | 100,000 | 124,306 | ||||||
4.60%, 3/15/49, Series A | 56,000 | 70,045 | ||||||
5.75%, 10/1/54, (5.75% fixed rate until 10/1/24; 3-month U.S. dollar London Interbank Offered Rate + 3.057% thereafter)(d) | 6,000 | 6,472 | ||||||
Dow Chemical Co. (The) |
| |||||||
3.00%, 11/15/22 | 40,000 | 41,754 | ||||||
3.50%, 10/1/24 | 238,000 | 257,044 | ||||||
4.80%, 11/30/28 | 257,000 | 301,862 | ||||||
7.38%, 11/1/29 | 386,000 | 530,754 | ||||||
4.25%, 10/1/34 | 70,000 | 78,111 | ||||||
5.25%, 11/15/41 | 30,000 | 36,571 | ||||||
4.38%, 11/15/42 | 390,000 | 431,965 | ||||||
4.63%, 10/1/44 | 80,000 | 93,635 | ||||||
4.80%, 5/15/49 | 543,000 | 643,033 | ||||||
DTE Energy Co. |
| |||||||
3.70%, 8/1/23, Series D | 305,000 | 323,739 | ||||||
3.50%, 6/1/24, Series C | 376,000 | 400,981 | ||||||
2.53%, 10/1/24, Series C | 272,000 | 279,669 | ||||||
Duke Energy Carolinas LLC |
| |||||||
2.95%, 12/1/26 | 120,000 | 128,715 | ||||||
3.95%, 11/15/28 | 200,000 | 231,138 | ||||||
Duke Energy Corp. |
| |||||||
3.05%, 8/15/22 | 130,000 | 133,937 | ||||||
3.95%, 10/15/23 | 125,000 | 134,258 | ||||||
3.75%, 4/15/24 | 350,000 | 376,353 | ||||||
2.65%, 9/1/26 | 137,000 | 142,847 | ||||||
3.15%, 8/15/27 | 175,000 | 187,862 | ||||||
3.40%, 6/15/29 | 42,000 | 46,240 | ||||||
4.80%, 12/15/45 | 35,000 | 44,099 | ||||||
3.75%, 9/1/46 | 209,000 | 232,096 | ||||||
3.95%, 8/15/47(b) | 250,000 | 283,121 | ||||||
Duke Energy Florida LLC | 55,000 | 59,860 | ||||||
Duke Energy Progress LLC |
| |||||||
3.25%, 8/15/25 | 40,000 | 43,338 | ||||||
3.70%, 9/1/28 | 50,000 | 56,764 | ||||||
3.45%, 3/15/29 | 54,000 | 60,377 | ||||||
Duke Realty L.P. |
| |||||||
3.75%, 12/1/24 | 230,000 | 250,624 | ||||||
3.25%, 6/30/26 | 265,000 | 286,568 | ||||||
4.00%, 9/15/28 | 60,000 | 69,126 | ||||||
Duke University Health System, Inc. | 200,000 | 253,564 | ||||||
DuPont de Nemours, Inc. |
| |||||||
4.21%, 11/15/23 | 25,000 | 27,282 | ||||||
4.49%, 11/15/25 | 1,079,000 | 1,223,083 | ||||||
4.73%, 11/15/28 | 562,000 | 653,912 | ||||||
5.42%, 11/15/48 | 300,000 | 378,377 | ||||||
DXC Technology Co. |
| |||||||
4.25%, 4/15/24 | 323,000 | 346,778 | ||||||
4.75%, 4/15/27 | 387,000 | 425,929 | ||||||
Eagle Materials, Inc. | 300,000 | 307,759 | ||||||
Eastman Chemical Co. |
| |||||||
3.60%, 8/15/22 | 50,000 | 52,227 | ||||||
3.80%, 3/15/25 | 388,000 | 423,217 | ||||||
4.50%, 12/1/28 | 40,000 | 46,744 | ||||||
4.65%, 10/15/44 | 100,000 | 116,918 | ||||||
Eaton Corp. | 400,000 | 436,806 | ||||||
Eaton Vance Corp. | 118,000 | 128,440 | ||||||
eBay, Inc. |
| |||||||
3.80%, 3/9/22 | 327,000 | 340,270 | ||||||
2.75%, 1/30/23 | 30,000 | 30,879 | ||||||
3.45%, 8/1/24 | 37,000 | 39,292 | ||||||
3.60%, 6/5/27 | 165,000 | 180,159 | ||||||
4.00%, 7/15/42 | 160,000 | 161,266 | ||||||
Ecolab, Inc. |
| |||||||
2.70%, 11/1/26 | 440,000 | 471,287 | ||||||
3.25%, 12/1/27 | 25,000 | 27,701 | ||||||
Edison International | 45,000 | 49,148 | ||||||
Eli Lilly & Co. | 387,000 | 434,890 | ||||||
Enable Midstream Partners L.P. |
| |||||||
3.90%, 5/15/24 | 78,000 | 79,592 | ||||||
4.40%, 3/15/27 | 35,000 | 34,986 | ||||||
4.95%, 5/15/28 | 170,000 | 169,565 | ||||||
4.15%, 9/15/29 | 250,000 | 237,161 | ||||||
Enbridge Energy Partners L.P. |
| |||||||
5.88%, 10/15/25 | 25,000 | 29,944 | ||||||
7.38%, 10/15/45 | 50,000 | 79,254 | ||||||
Energy Transfer Operating L.P. |
| |||||||
4.65%, 6/1/21 | 10,000 | 10,317 | ||||||
4.75%, 1/15/26 | 424,000 | 467,807 | ||||||
5.50%, 6/1/27 | 100,000 | 113,452 | ||||||
5.25%, 4/15/29 | 100,000 | 112,598 | ||||||
3.75%, 5/15/30 | 400,000 | 406,440 | ||||||
6.63%, 10/15/36 | 100,000 | 120,391 | ||||||
5.80%, 6/15/38, Series 20Y | 146,000 | 166,843 | ||||||
7.50%, 7/1/38 | 40,000 | 52,593 | ||||||
6.05%, 6/1/41 | 42,000 | 46,790 | ||||||
6.50%, 2/1/42 | 408,000 | 492,392 | ||||||
5.95%, 10/1/43 | 71,000 | 79,203 | ||||||
5.15%, 3/15/45 | 255,000 | 266,636 | ||||||
6.13%, 12/15/45 | 305,000 | 344,611 | ||||||
5.30%, 4/15/47 | 25,000 | 26,004 | ||||||
5.00%, 5/15/50 | 200,000 | 202,746 | ||||||
Energy Transfer Partners L.P. | 175,000 | 187,171 | ||||||
Entergy Corp. | 519,000 | 547,247 | ||||||
Entergy Texas, Inc. | 200,000 | 249,859 |
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 29, 2020
Investments | Principal Amount | Value | ||||||
Enterprise Products Operating LLC |
| |||||||
3.35%, 3/15/23 | $ | 300,000 | $ | 313,340 | ||||
3.90%, 2/15/24 | 115,000 | 123,851 | ||||||
3.75%, 2/15/25 | 218,000 | 237,560 | ||||||
4.15%, 10/16/28 | 443,000 | 498,363 | ||||||
3.13%, 7/31/29 | 262,000 | 274,377 | ||||||
6.13%, 10/15/39 | 250,000 | 343,671 | ||||||
5.95%, 2/1/41 | 700,000 | 908,320 | ||||||
4.85%, 8/15/42 | 541,000 | 630,300 | ||||||
4.45%, 2/15/43 | 97,000 | 107,333 | ||||||
5.10%, 2/15/45 | 315,000 | 374,774 | ||||||
4.90%, 5/15/46 | 411,000 | 480,911 | ||||||
4.25%, 2/15/48 | 35,000 | 37,524 | ||||||
4.20%, 1/31/50 | 150,000 | 158,510 | ||||||
4.95%, 10/15/54 | 150,000 | 173,023 | ||||||
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) | 518,000 | 526,674 | ||||||
EOG Resources, Inc. | 100,000 | 112,301 | ||||||
EPR Properties |
| |||||||
4.75%, 12/15/26 | 250,000 | 281,496 | ||||||
4.50%, 6/1/27 | 250,000 | 279,239 | ||||||
Equifax, Inc. | 80,000 | 80,916 | ||||||
Equitable Holdings, Inc. |
| |||||||
4.35%, 4/20/28 | 513,000 | 577,627 | ||||||
5.00%, 4/20/48 | 95,000 | 107,784 | ||||||
ERP Operating L.P. |
| |||||||
3.25%, 8/1/27 | 308,000 | 332,449 | ||||||
3.50%, 3/1/28 | 312,000 | 343,429 | ||||||
4.15%, 12/1/28 | 253,000 | 293,998 | ||||||
Essential Utilities, Inc. | 562,000 | 624,821 | ||||||
Essex Portfolio L.P. |
| |||||||
3.25%, 5/1/23 | 185,000 | 194,397 | ||||||
3.50%, 4/1/25 | 80,000 | 86,774 | ||||||
4.00%, 3/1/29 | 100,000 | 114,002 | ||||||
3.00%, 1/15/30 | 175,000 | 185,840 | ||||||
Estee Lauder Cos., Inc. (The) | 60,000 | 66,317 | ||||||
Eversource Energy |
| |||||||
2.75%, 3/15/22, Series K | 282,000 | 289,125 | ||||||
2.90%, 10/1/24, Series L | 326,000 | 341,969 | ||||||
Exelon Corp. |
| |||||||
3.50%, 6/1/22 | 100,000 | 103,784 | ||||||
3.95%, 6/15/25 | 565,000 | 623,703 | ||||||
3.40%, 4/15/26 | 75,000 | 81,083 | ||||||
4.95%, 6/15/35 | 20,000 | 24,529 | ||||||
5.10%, 6/15/45 | 100,000 | 129,494 | ||||||
4.45%, 4/15/46 | 65,000 | 78,788 | ||||||
Exelon Generation Co. LLC |
| |||||||
6.25%, 10/1/39 | 75,000 | 93,830 | ||||||
5.60%, 6/15/42 | 97,000 | 115,808 | ||||||
Expedia Group, Inc. |
| |||||||
4.50%, 8/15/24 | 30,000 | 32,742 | ||||||
5.00%, 2/15/26 | 350,000 | 394,615 | ||||||
3.25%, 2/15/30(c) | 150,000 | 146,805 | ||||||
Exxon Mobil Corp. |
| |||||||
3.57%, 3/6/45 | 577,000 | 641,026 | ||||||
4.11%, 3/1/46 | 800,000 | 968,159 | ||||||
3.10%, 8/16/49 | 327,000 | 337,975 | ||||||
Federal Realty Investment Trust | 321,000 | 349,857 | ||||||
FedEx Corp. |
| |||||||
2.63%, 8/1/22 | 155,000 | 159,125 | ||||||
4.00%, 1/15/24 | 20,000 | 21,654 | ||||||
3.25%, 4/1/26 | 106,000 | 113,794 | ||||||
3.30%, 3/15/27 | 79,000 | 84,413 | ||||||
3.10%, 8/5/29 | 277,000 | 290,116 | ||||||
3.88%, 8/1/42 | 70,000 | 70,868 | ||||||
4.10%, 4/15/43 | 206,000 | 214,312 | ||||||
5.10%, 1/15/44 | 77,000 | 90,374 | ||||||
4.75%, 11/15/45 | 855,000 | 966,773 | ||||||
4.55%, 4/1/46 | 145,000 | 159,332 | ||||||
4.40%, 1/15/47 | 370,000 | 393,501 | ||||||
4.05%, 2/15/48 | 200,000 | 203,457 | ||||||
Fidelity National Financial, Inc. | 220,000 | 253,290 | ||||||
Fidelity National Information Services, Inc. |
| |||||||
3.00%, 8/15/26 | 70,000 | 74,866 | ||||||
4.25%, 5/15/28, Series 10Y | 72,000 | 83,241 | ||||||
3.75%, 5/21/29 | 141,000 | 159,139 | ||||||
Fifth Third Bancorp |
| |||||||
4.30%, 1/16/24 | 225,000 | 244,193 | ||||||
8.25%, 3/1/38 | 100,000 | 166,856 | ||||||
First Republic Bank | 300,000 | 384,989 | ||||||
FirstEnergy Corp. |
| |||||||
3.90%, 7/15/27, Series B | 100,000 | 110,887 | ||||||
7.38%, 11/15/31, Series C | 424,000 | 619,857 | ||||||
4.85%, 7/15/47, Series C | 75,000 | 92,460 | ||||||
Fiserv, Inc. |
| |||||||
4.20%, 10/1/28 | 637,000 | 730,403 | ||||||
4.40%, 7/1/49 | 746,000 | 896,512 | ||||||
Flex Ltd. | 100,000 | 110,771 | ||||||
Florida Power & Light Co. |
| |||||||
5.63%, 4/1/34 | 300,000 | 432,601 | ||||||
4.13%, 2/1/42 | 527,000 | 649,034 | ||||||
4.05%, 6/1/42 | 310,000 | 384,120 | ||||||
3.80%, 12/15/42 | 25,000 | 29,887 | ||||||
3.70%, 12/1/47 | 95,000 | 110,502 | ||||||
3.95%, 3/1/48 | 415,000 | 513,734 | ||||||
4.13%, 6/1/48 | 125,000 | 159,638 | ||||||
3.99%, 3/1/49 | 188,000 | 234,556 | ||||||
3.15%, 10/1/49 | 350,000 | 389,414 | ||||||
Flowers Foods, Inc. | 8,000 | 8,665 | ||||||
Fluor Corp. |
| |||||||
3.50%, 12/15/24 | 200,000 | 193,862 | ||||||
4.25%, 9/15/28(b) | 270,000 | 253,177 | ||||||
FMC Corp. |
| |||||||
3.45%, 10/1/29 | 60,000 | 65,857 | ||||||
4.50%, 10/1/49 | 271,000 | 330,704 |
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 29, 2020
Investments | Principal Amount | Value | ||||||
Ford Motor Co. |
| |||||||
4.35%, 12/8/26 | $ | 135,000 | $ | 136,096 | ||||
6.63%, 10/1/28(b) | 40,000 | 46,126 | ||||||
7.45%, 7/16/31 | 630,000 | 715,532 | ||||||
4.75%, 1/15/43 | 175,000 | 150,807 | ||||||
7.40%, 11/1/46 | 25,000 | 27,749 | ||||||
5.29%, 12/8/46 | 322,000 | 295,549 | ||||||
Ford Motor Credit Co. LLC |
| |||||||
4.14%, 2/15/23 | 250,000 | 257,433 | ||||||
3.81%, 1/9/24 | 500,000 | 506,043 | ||||||
4.69%, 6/9/25 | 237,000 | 246,056 | ||||||
4.13%, 8/4/25 | 207,000 | 210,238 | ||||||
3.82%, 11/2/27(b) | 550,000 | 524,421 | ||||||
5.11%, 5/3/29 | 500,000 | 504,203 | ||||||
Fortive Corp. | 200,000 | 211,460 | ||||||
Fox Corp. |
| |||||||
3.67%, 1/25/22(c) | 100,000 | 104,174 | ||||||
4.03%, 1/25/24(c) | 545,000 | 590,474 | ||||||
4.71%, 1/25/29(c) | 33,000 | 38,866 | ||||||
5.48%, 1/25/39(c) | 112,000 | 143,689 | ||||||
5.58%, 1/25/49(c) | 365,000 | 490,889 | ||||||
Franklin Resources, Inc. | 145,000 | 154,914 | ||||||
GATX Corp. |
| |||||||
3.25%, 3/30/25 | 170,000 | 180,782 | ||||||
3.85%, 3/30/27 | 360,000 | 391,123 | ||||||
3.50%, 3/15/28 | 300,000 | 321,486 | ||||||
4.55%, 11/7/28 | 90,000 | 103,341 | ||||||
4.70%, 4/1/29 | 70,000 | 82,138 | ||||||
GE Capital International Funding Co. Unlimited Co. |
| |||||||
3.37%, 11/15/25 | 300,000 | 320,072 | ||||||
4.42%, 11/15/35 | 920,000 | 1,053,068 | ||||||
General Dynamics Corp. |
| |||||||
3.50%, 5/15/25 | 65,000 | 71,443 | ||||||
2.13%, 8/15/26 | 54,000 | 55,589 | ||||||
2.63%, 11/15/27 | 62,000 | 65,794 | ||||||
3.75%, 5/15/28 | 100,000 | 113,638 | ||||||
General Electric Co. |
| |||||||
4.65%, 10/17/21 | 248,000 | 258,713 | ||||||
2.70%, 10/9/22 | 198,000 | 202,404 | ||||||
6.75%, 3/15/32, Series A | 710,000 | 966,773 | ||||||
6.15%, 8/7/37 | 60,000 | 78,884 | ||||||
5.88%, 1/14/38 | 857,000 | 1,115,730 | ||||||
6.88%, 1/10/39 | 385,000 | 537,049 | ||||||
4.13%, 10/9/42 | 4,000 | 4,295 | ||||||
4.50%, 3/11/44 | 50,000 | 58,491 | ||||||
General Mills, Inc. |
| |||||||
3.65%, 2/15/24 | 2,000 | 2,145 | ||||||
3.20%, 2/10/27(b) | 378,000 | 409,813 | ||||||
4.20%, 4/17/28 | 309,000 | 355,887 | ||||||
4.55%, 4/17/38 | 206,000 | 247,877 | ||||||
5.40%, 6/15/40 | 39,000 | 51,760 | ||||||
4.15%, 2/15/43 | 135,000 | 153,589 | ||||||
4.70%, 4/17/48 | 45,000 | 56,326 | ||||||
General Motors Co. |
| |||||||
4.00%, 4/1/25 | 39,000 | 41,190 | ||||||
4.20%, 10/1/27 | 100,000 | 105,068 | ||||||
5.00%, 4/1/35 | 90,000 | 93,987 | ||||||
6.60%, 4/1/36 | 380,000 | 460,422 | ||||||
5.15%, 4/1/38 | 1,050,000 | 1,071,928 | ||||||
6.25%, 10/2/43 | 280,000 | 315,635 | ||||||
5.20%, 4/1/45 | 75,000 | 74,979 | ||||||
6.75%, 4/1/46 | 175,000 | 205,495 | ||||||
General Motors Financial Co., Inc. |
| |||||||
3.20%, 7/6/21 | 30,000 | 30,362 | ||||||
4.38%, 9/25/21 | 297,000 | 307,121 | ||||||
3.45%, 1/14/22 | 170,000 | 173,731 | ||||||
3.45%, 4/10/22 | 84,000 | 86,161 | ||||||
3.15%, 6/30/22 | 330,000 | 337,826 | ||||||
4.00%, 1/15/25 | 283,000 | 300,278 | ||||||
4.35%, 4/9/25 | 75,000 | 80,340 | ||||||
4.30%, 7/13/25 | 111,000 | 118,019 | ||||||
5.25%, 3/1/26 | 60,000 | 66,477 | ||||||
4.00%, 10/6/26 | 100,000 | 103,226 | ||||||
4.35%, 1/17/27 | 410,000 | 440,873 | ||||||
3.85%, 1/5/28 | 111,000 | 113,208 | ||||||
Genpact Luxembourg SARL | 130,000 | 135,318 | ||||||
Georgia Power Co. |
| |||||||
3.25%, 3/30/27 | 425,000 | 458,930 | ||||||
2.65%, 9/15/29, Series B | 10,000 | 10,341 | ||||||
Gilead Sciences, Inc. | 449,000 | 479,528 | ||||||
Global Payments, Inc. |
| |||||||
3.75%, 6/1/23 | 35,000 | 37,094 | ||||||
4.80%, 4/1/26 | 125,000 | 143,478 | ||||||
4.45%, 6/1/28 | 160,000 | 183,981 | ||||||
3.20%, 8/15/29 | 299,000 | 318,150 | ||||||
Globe Life, Inc. | 450,000 | 525,304 | ||||||
GLP Capital L.P. |
| |||||||
5.25%, 6/1/25 | 250,000 | 280,410 | ||||||
5.38%, 4/15/26 | 105,000 | 118,716 | ||||||
5.75%, 6/1/28 | 169,000 | 198,510 | ||||||
Goldman Sachs Group, Inc. (The) |
| |||||||
3.75%, 5/22/25 | 147,000 | 159,223 | ||||||
4.25%, 10/21/25 | 276,000 | 301,662 | ||||||
3.75%, 2/25/26 | 125,000 | 136,767 | ||||||
3.50%, 11/16/26 | 100,000 | 107,481 | ||||||
5.95%, 1/15/27 | 150,000 | 183,981 | ||||||
3.85%, 1/26/27 | 70,000 | 76,945 | ||||||
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) | 721,000 | 789,187 | ||||||
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) | 900,000 | 993,421 | ||||||
6.75%, 10/1/37 | 1,072,000 | 1,522,825 | ||||||
5.15%, 5/22/45 | 575,000 | 741,210 | ||||||
Halliburton Co. |
| |||||||
3.50%, 8/1/23 | 50,000 | 52,679 | ||||||
3.80%, 11/15/25 | 324,000 | 355,647 | ||||||
4.85%, 11/15/35 | 55,000 | 63,632 |
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 29, 2020
Investments | Principal Amount | Value | ||||||
6.70%, 9/15/38 | $ | 183,000 | $ | 252,446 | ||||
7.45%, 9/15/39 | 78,000 | 115,862 | ||||||
4.50%, 11/15/41 | 2,000 | 2,194 | ||||||
5.00%, 11/15/45 | 550,000 | 597,763 | ||||||
Hartford Financial Services Group, Inc. (The) |
| |||||||
4.30%, 4/15/43 | 65,000 | 79,297 | ||||||
4.40%, 3/15/48 | 320,000 | 399,772 | ||||||
Hasbro, Inc. |
| |||||||
3.50%, 9/15/27 | 205,000 | 214,540 | ||||||
6.35%, 3/15/40 | 356,000 | 447,686 | ||||||
HCA, Inc. |
| |||||||
4.75%, 5/1/23 | 25,000 | 27,073 | ||||||
5.25%, 4/15/25 | 325,000 | 369,581 | ||||||
5.13%, 6/15/39 | 710,000 | 826,954 | ||||||
5.50%, 6/15/47 | 300,000 | 356,849 | ||||||
5.25%, 6/15/49 | 350,000 | 408,650 | ||||||
Healthcare Realty Trust, Inc. | 25,000 | 27,270 | ||||||
Healthcare Trust of America Holdings L.P. | 300,000 | 314,122 | ||||||
Healthpeak Properties, Inc. |
| |||||||
4.25%, 11/15/23 | 20,000 | 21,781 | ||||||
4.20%, 3/1/24 | 15,000 | 16,372 | ||||||
3.88%, 8/15/24 | 55,000 | 59,902 | ||||||
3.40%, 2/1/25 | 59,000 | 63,422 | ||||||
4.00%, 6/1/25 | 120,000 | 133,297 | ||||||
3.25%, 7/15/26 | 361,000 | 389,840 | ||||||
6.75%, 2/1/41 | 32,000 | 49,260 | ||||||
Hershey Co. (The) | 85,000 | 89,269 | ||||||
Hess Corp. |
| |||||||
4.30%, 4/1/27 | 100,000 | 105,954 | ||||||
7.13%, 3/15/33 | 100,000 | 126,950 | ||||||
6.00%, 1/15/40 | 225,000 | 251,621 | ||||||
5.60%, 2/15/41 | 100,000 | 108,056 | ||||||
5.80%, 4/1/47 | 350,000 | 387,866 | ||||||
Hewlett Packard Enterprise Co. |
| |||||||
4.90%, 10/15/25 | 584,000 | 664,107 | ||||||
6.20%, 10/15/35 | 50,000 | 62,622 | ||||||
6.35%, 10/15/45 | 340,000 | 425,694 | ||||||
Hexcel Corp. |
| |||||||
4.70%, 8/15/25 | 133,000 | 148,880 | ||||||
3.95%, 2/15/27 | 150,000 | 163,327 | ||||||
Highwoods Realty L.P. |
| |||||||
4.13%, 3/15/28 | 25,000 | 28,286 | ||||||
4.20%, 4/15/29 | 100,000 | 114,565 | ||||||
3.05%, 2/15/30(b) | 250,000 | 262,468 | ||||||
Home Depot, Inc. (The) |
| |||||||
3.35%, 9/15/25 | 255,000 | 279,508 | ||||||
3.00%, 4/1/26 | 155,000 | 167,488 | ||||||
2.80%, 9/14/27 | 105,000 | 111,973 | ||||||
2.95%, 6/15/29 | 145,000 | 156,725 | ||||||
Honeywell International, Inc. | 301,000 | 320,411 | ||||||
Host Hotels & Resorts L.P. |
| |||||||
4.75%, 3/1/23, Series C | 40,000 | 43,340 | ||||||
4.00%, 6/15/25, Series E | 21,000 | 22,971 | ||||||
HP, Inc. | 350,000 | 401,865 | ||||||
Hubbell, Inc. |
| |||||||
3.63%, 11/15/22 | 25,000 | 26,374 | ||||||
3.15%, 8/15/27 | 8,000 | 8,484 | ||||||
3.50%, 2/15/28 | 96,000 | 104,672 | ||||||
Hudson Pacific Properties L.P. |
| |||||||
3.95%, 11/1/27 | 175,000 | 193,948 | ||||||
4.65%, 4/1/29 | 185,000 | 216,031 | ||||||
Humana, Inc. |
| |||||||
3.15%, 12/1/22 | 15,000 | 15,589 | ||||||
3.95%, 3/15/27 | 315,000 | 349,018 | ||||||
4.95%, 10/1/44 | 377,000 | 465,093 | ||||||
Huntington Bancshares, Inc. |
| |||||||
2.63%, 8/6/24 | 111,000 | 115,318 | ||||||
4.00%, 5/15/25 | 437,000 | 487,374 | ||||||
Huntington Ingalls Industries, Inc. | 25,000 | 27,082 | ||||||
Huntsman International LLC | 529,000 | 583,231 | ||||||
Illinois Tool Works, Inc. | 99,000 | 106,601 | ||||||
Ingersoll-Rand Global Holding Co., Ltd. |
| |||||||
2.90%, 2/21/21 | 75,000 | 75,900 | ||||||
4.25%, 6/15/23 | 218,000 | 238,383 | ||||||
5.75%, 6/15/43 | 130,000 | 185,528 | ||||||
Ingersoll-Rand Luxembourg Finance S.A. |
| |||||||
3.55%, 11/1/24 | 98,000 | 105,928 | ||||||
3.80%, 3/21/29(b) | 150,000 | 168,895 | ||||||
Ingredion, Inc. | 109,000 | 116,382 | ||||||
Intel Corp. |
| |||||||
3.70%, 7/29/25 | 193,000 | 213,211 | ||||||
2.60%, 5/19/26(b) | 100,000 | 104,781 | ||||||
3.15%, 5/11/27(b) | 441,000 | 480,677 | ||||||
Intercontinental Exchange, Inc. |
| |||||||
3.75%, 12/1/25 | 136,000 | 150,189 | ||||||
3.10%, 9/15/27 | 90,000 | 97,613 | ||||||
3.75%, 9/21/28 | 408,000 | 458,255 | ||||||
International Business Machines Corp. |
| |||||||
7.00%, 10/30/25 | 129,000 | 164,461 | ||||||
3.45%, 2/19/26 | 160,000 | 175,221 | ||||||
3.30%, 5/15/26 | 300,000 | 328,183 | ||||||
3.30%, 1/27/27 | 150,000 | 164,525 | ||||||
3.50%, 5/15/29 | 550,000 | 617,478 | ||||||
International Flavors & Fragrances, Inc. |
| |||||||
4.38%, 6/1/47 | 177,000 | 189,569 | ||||||
5.00%, 9/26/48 | 50,000 | 58,927 | ||||||
International Lease Finance Corp. | 30,000 | 33,487 | ||||||
International Paper Co. |
| |||||||
3.65%, 6/15/24 | 163,000 | 176,076 | ||||||
3.80%, 1/15/26 | 155,000 | 172,187 | ||||||
3.00%, 2/15/27(b) | 748,000 | 803,579 | ||||||
7.30%, 11/15/39 | 100,000 | 148,165 | ||||||
6.00%, 11/15/41 | 75,000 | 100,103 | ||||||
4.80%, 6/15/44 | 55,000 | 63,260 |
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 29, 2020
Investments | Principal Amount | Value | ||||||
4.40%, 8/15/47 | $ | 85,000 | $ | 95,805 | ||||
4.35%, 8/15/48 | 100,000 | 113,828 | ||||||
Interpublic Group of Cos., Inc. (The) |
| |||||||
4.20%, 4/15/24 | 176,000 | 194,063 | ||||||
5.40%, 10/1/48(b) | 135,000 | 180,864 | ||||||
Interstate Power & Light Co. |
| |||||||
6.25%, 7/15/39 | 10,000 | 14,283 | ||||||
3.70%, 9/15/46 | 700,000 | 791,307 | ||||||
ITC Holdings Corp. |
| |||||||
3.25%, 6/30/26 | 75,000 | 79,271 | ||||||
5.30%, 7/1/43 | 67,000 | 90,879 | ||||||
Jabil, Inc. | 134,000 | 146,019 | ||||||
Jefferies Group LLC |
| |||||||
4.85%, 1/15/27 | 153,000 | 169,643 | ||||||
4.15%, 1/23/30 | 603,000 | 656,875 | ||||||
6.25%, 1/15/36(b) | 121,000 | 148,800 | ||||||
6.50%, 1/20/43 | 125,000 | 155,323 | ||||||
JetBlue Pass Through Trust | 301,000 | 318,534 | ||||||
JM Smucker Co. (The) |
| |||||||
4.25%, 3/15/35 | 418,000 | 488,689 | ||||||
4.38%, 3/15/45 | 5,000 | 5,731 | ||||||
John Deere Capital Corp. |
| |||||||
3.45%, 3/13/25 | 149,000 | 162,320 | ||||||
3.05%, 1/6/28 | 25,000 | 27,436 | ||||||
2.80%, 7/18/29 | 300,000 | 322,588 | ||||||
Johns Hopkins Health System Corp. (The) | 98,000 | 120,954 | ||||||
Johnson & Johnson |
| |||||||
3.55%, 3/1/36 | 72,000 | 84,364 | ||||||
3.63%, 3/3/37 | 400,000 | 460,996 | ||||||
3.40%, 1/15/38 | 725,000 | 826,987 | ||||||
4.50%, 12/5/43 | 500,000 | 650,183 | ||||||
3.70%, 3/1/46 | 350,000 | 425,801 | ||||||
3.75%, 3/3/47 | 807,000 | 993,263 | ||||||
3.50%, 1/15/48 | 309,000 | 369,225 | ||||||
Johnson Controls International PLC |
| |||||||
3.90%, 2/14/26 | 10,000 | 11,160 | ||||||
4.63%, 7/2/44 | 180,000 | 221,713 | ||||||
5.13%, 9/14/45 | 11,000 | 14,429 | ||||||
4.50%, 2/15/47 | 25,000 | 31,012 | ||||||
JPMorgan Chase & Co. |
| |||||||
3.90%, 7/15/25 | 50,000 | 55,197 | ||||||
3.30%, 4/1/26 | 59,000 | 64,269 | ||||||
3.20%, 6/15/26 | 284,000 | 305,429 | ||||||
2.95%, 10/1/26 | 53,000 | 56,247 | ||||||
7.63%, 10/15/26 | 517,000 | 686,021 | ||||||
4.13%, 12/15/26 | 62,000 | 69,900 | ||||||
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)(d) | 250,000 | 278,237 | ||||||
8.00%, 4/29/27 | 1,000 | 1,372 | ||||||
4.25%, 10/1/27 | 144,000 | 162,943 | ||||||
3.63%, 12/1/27 | 35,000 | 37,783 | ||||||
3.78%, 2/1/28, (3.782% fixed rate until 2/1/27; 3-month U.S. dollar London Interbank Offered Rate + 1.337% thereafter)(d) | 289,000 | 319,928 | ||||||
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) | 240,000 | 262,744 | ||||||
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) | 285,000 | 311,513 | ||||||
4.01%, 4/23/29, (4.005% fixed rate until 4/23/28; 3-month U.S. dollar London Interbank Offered Rate + 1.12% thereafter)(d) | 282,000 | 318,069 | ||||||
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) | 305,000 | 351,754 | ||||||
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) | 411,000 | 479,838 | ||||||
Juniper Networks, Inc. | 25,000 | 27,614 | ||||||
5.95%, 3/15/41 | 161,000 | 198,834 | ||||||
Kaiser Foundation Hospitals | 165,000 | 224,924 | ||||||
4.15%, 5/1/47 | 750,000 | 948,608 | ||||||
3.27%, 11/1/49, Series 2019 | 40,000 | 44,410 | ||||||
Kansas City Southern | 19,000 | 23,068 | ||||||
4.70%, 5/1/48 | 125,000 | 163,222 | ||||||
Kellogg Co. | 16,000 | 16,677 | ||||||
3.25%, 4/1/26 | 145,000 | 157,620 | ||||||
3.40%, 11/15/27 | 155,000 | 168,697 | ||||||
7.45%, 4/1/31, Series B | 50,000 | 73,071 | ||||||
4.50%, 4/1/46 | 112,000 | 133,332 | ||||||
Kemper Corp. | 125,000 | 137,467 | ||||||
Kennametal, Inc. | 240,000 | 269,227 | ||||||
Keurig Dr. Pepper, Inc. | 421,000 | 453,346 | ||||||
4.42%, 5/25/25 | 65,000 | 72,938 | ||||||
2.55%, 9/15/26 | 25,000 | 25,569 | ||||||
3.43%, 6/15/27 | 140,000 | 149,650 | ||||||
4.60%, 5/25/28 | 170,000 | 196,583 | ||||||
4.99%, 5/25/38 | 115,000 | 141,169 | ||||||
4.50%, 11/15/45 | 100,000 | 116,614 | ||||||
5.09%, 5/25/48 | 125,000 | 159,761 | ||||||
KeyCorp | 253,000 | 284,571 | ||||||
4.10%, 4/30/28 | 290,000 | 331,501 | ||||||
2.55%, 10/1/29 | 90,000 | 92,164 |
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 29, 2020
Investments | Principal Amount | Value | ||||||
Kilroy Realty L.P. | $ | 87,000 | $ | 93,352 | ||||
4.38%, 10/1/25 | 160,000 | 179,980 | ||||||
4.25%, 8/15/29 | 50,000 | 57,587 | ||||||
3.05%, 2/15/30 | 120,000 | 125,454 | ||||||
Kimberly-Clark Corp. | 517,000 | 575,470 | ||||||
Kimco Realty Corp. | 142,000 | 152,318 | ||||||
2.80%, 10/1/26 | 197,000 | 206,900 | ||||||
4.25%, 4/1/45 | 94,000 | 109,756 | ||||||
4.45%, 9/1/47 | 105,000 | 124,367 | ||||||
3.70%, 10/1/49 | 150,000 | 161,029 | ||||||
Kinder Morgan Energy Partners L.P. | 30,000 | 30,358 | ||||||
3.50%, 9/1/23 | 25,000 | 26,137 | ||||||
7.30%, 8/15/33 | 1,000 | 1,378 | ||||||
6.95%, 1/15/38 | 90,000 | 120,748 | ||||||
6.50%, 9/1/39 | 123,000 | 156,964 | ||||||
6.55%, 9/15/40 | 250,000 | 323,805 | ||||||
6.38%, 3/1/41 | 8,000 | 10,024 | ||||||
5.63%, 9/1/41 | 313,000 | 360,025 | ||||||
5.00%, 8/15/42 | 25,000 | 27,162 | ||||||
5.00%, 3/1/43 | 328,000 | 358,230 | ||||||
5.40%, 9/1/44 | 75,000 | 87,071 | ||||||
Kinder Morgan, Inc. | 286,000 | 315,615 | ||||||
4.30%, 3/1/28 | 500,000 | 558,265 | ||||||
7.75%, 1/15/32 | 150,000 | 218,800 | ||||||
5.30%, 12/1/34 | 543,000 | 647,310 | ||||||
5.55%, 6/1/45 | 291,000 | 346,347 | ||||||
5.05%, 2/15/46 | 80,000 | 90,990 | ||||||
5.20%, 3/1/48(b) | 100,000 | 118,598 | ||||||
Kirby Corp. | 30,000 | 33,129 | ||||||
KLA Corp. | 425,000 | 480,046 | ||||||
Kohl’s Corp. | 85,000 | 91,958 | ||||||
5.55%, 7/17/45 | 377,000 | 404,231 | ||||||
Kraft Heinz Foods Co. | 456,000 | 455,741 | ||||||
Kroger Co. (The) | 519,000 | 537,693 | ||||||
2.65%, 10/15/26(b) | 425,000 | 440,985 | ||||||
3.70%, 8/1/27 | 245,000 | 272,864 | ||||||
5.40%, 7/15/40 | 60,000 | 75,454 | ||||||
5.00%, 4/15/42 | 66,000 | 79,216 | ||||||
5.15%, 8/1/43 | 50,000 | 62,738 | ||||||
4.45%, 2/1/47 | 280,000 | 317,542 | ||||||
4.65%, 1/15/48(b) | 199,000 | 226,393 | ||||||
3.95%, 1/15/50 | 200,000 | 208,117 | ||||||
L3Harris Technologies, Inc. | 5,000 | 5,449 | ||||||
3.83%, 4/27/25 | 300,000 | 330,715 | ||||||
4.40%, 6/15/28 | 55,000 | 63,871 | ||||||
4.40%, 6/15/28(c) | 276,000 | 320,518 | ||||||
4.85%, 4/27/35 | 67,000 | 83,278 | ||||||
5.05%, 4/27/45 | 50,000 | 65,571 | ||||||
Laboratory Corp. of America Holdings | 100,000 | 106,134 | ||||||
3.60%, 2/1/25 | 456,000 | 492,053 | ||||||
3.60%, 9/1/27 | 225,000 | 247,041 | ||||||
4.70%, 2/1/45 | 75,000 | 90,535 | ||||||
Lam Research Corp. | 88,000 | 96,903 | ||||||
3.75%, 3/15/26(b) | 50,000 | 55,282 | ||||||
4.00%, 3/15/29 | 632,000 | 717,732 | ||||||
Las Vegas Sands Corp. | 150,000 | 156,886 | ||||||
Lear Corp. | 250,000 | 270,036 | ||||||
Legg Mason, Inc. | 285,000 | 391,815 | ||||||
Leggett & Platt, Inc. | 25,000 | 27,063 | ||||||
Leland Stanford Junior University (The) | 300,000 | 384,345 | ||||||
LifeStorage L.P. | 60,000 | 64,636 | ||||||
3.88%, 12/15/27 | 25,000 | 27,809 | ||||||
Lincoln National Corp. | 492,000 | 531,972 | ||||||
4.35%, 3/1/48 | 53,000 | 62,490 | ||||||
Lockheed Martin Corp. | 245,000 | 271,775 | ||||||
Loews Corp. | 5,000 | 5,580 | ||||||
Lowe’s Cos., Inc. | 303,000 | 311,934 | ||||||
3.38%, 9/15/25 | 355,000 | 386,343 | ||||||
2.50%, 4/15/26 | 25,000 | 25,882 | ||||||
4.65%, 4/15/42 | 275,000 | 336,623 | ||||||
4.25%, 9/15/44 | 172,000 | 195,380 | ||||||
4.38%, 9/15/45 | 78,000 | 91,338 | ||||||
3.70%, 4/15/46 | 817,000 | 874,140 | ||||||
4.05%, 5/3/47 | 670,000 | 755,393 | ||||||
LYB International Finance B.V. | 45,000 | 48,551 | ||||||
5.25%, 7/15/43 | 700,000 | 857,300 | ||||||
4.88%, 3/15/44(b) | 390,000 | 457,348 | ||||||
LYB International Finance II B.V. | 20,000 | 21,729 | ||||||
LyondellBasell Industries N.V. | 200,000 | 229,496 | ||||||
Macy’s Retail Holdings, Inc. | 30,000 | 30,035 | ||||||
3.63%, 6/1/24(b) | 87,000 | 88,354 | ||||||
4.50%, 12/15/34 | 23,000 | 21,316 | ||||||
Magellan Midstream Partners L.P. | 72,000 | 88,294 | ||||||
4.20%, 10/3/47 | 160,000 | 180,207 | ||||||
4.85%, 2/1/49 | 185,000 | 222,739 |
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 29, 2020
Investments | Principal Amount | Value | ||||||
Marathon Oil Corp. | $ | 30,000 | $ | 30,523 | ||||
3.85%, 6/1/25 | 30,000 | 31,725 | ||||||
4.40%, 7/15/27 | 165,000 | 180,567 | ||||||
6.60%, 10/1/37 | 669,000 | 825,846 | ||||||
Marathon Petroleum Corp. | 100,000 | 135,017 | ||||||
4.75%, 9/15/44 | 51,000 | 58,540 | ||||||
4.50%, 4/1/48 | 25,000 | 28,553 | ||||||
5.00%, 9/15/54 | 195,000 | 218,260 | ||||||
Markel Corp. | 100,000 | 109,235 | ||||||
5.00%, 4/5/46 | 165,000 | 202,218 | ||||||
4.30%, 11/1/47 | 85,000 | 95,304 | ||||||
5.00%, 5/20/49 | 250,000 | 314,987 | ||||||
Marriott International, Inc. | 10,000 | 10,133 | ||||||
3.25%, 9/15/22 | 29,000 | 30,078 | ||||||
4.15%, 12/1/23, Series Z | 29,000 | 31,550 | ||||||
3.13%, 6/15/26, Series R | 100,000 | 105,041 | ||||||
Marsh & McLennan Cos., Inc. | 35,000 | 37,681 | ||||||
3.75%, 3/14/26 | 246,000 | 270,923 | ||||||
4.38%, 3/15/29 | 71,000 | 82,854 | ||||||
Martin Marietta Materials, Inc. | 25,000 | 26,917 | ||||||
4.25%, 12/15/47 | 180,000 | 202,879 | ||||||
Massachusetts Institute of Technology | 200,000 | 223,181 | ||||||
5.60%, 7/1/2111 | 250,000 | 459,478 | ||||||
4.68%, 7/1/2114 | 350,000 | 552,505 | ||||||
3.89%, 7/1/2116 | 300,000 | 403,072 | ||||||
Mastercard, Inc. | 100,000 | 108,198 | ||||||
3.50%, 2/26/28 | 52,000 | 58,121 | ||||||
2.95%, 6/1/29 | 145,000 | 157,307 | ||||||
McCormick & Co., Inc. | 110,000 | 120,156 | ||||||
McDonald’s Corp. | 35,000 | 36,988 | ||||||
3.38%, 5/26/25 | 192,000 | 207,491 | ||||||
3.70%, 1/30/26 | 604,000 | 663,909 | ||||||
3.80%, 4/1/28(b) | 968,000 | 1,084,334 | ||||||
4.70%, 12/9/35 | 81,000 | 101,687 | ||||||
6.30%, 3/1/38 | 18,000 | 26,083 | ||||||
4.88%, 7/15/40 | 310,000 | 386,025 | ||||||
4.60%, 5/26/45 | 92,000 | 114,880 | ||||||
4.88%, 12/9/45 | 110,000 | 142,558 | ||||||
4.45%, 3/1/47 | 35,000 | 42,608 | ||||||
4.45%, 9/1/48 | 467,000 | 572,132 | ||||||
McKesson Corp. | 40,000 | 43,045 | ||||||
4.75%, 5/30/29 | 95,000 | 111,585 | ||||||
4.88%, 3/15/44 | 100,000 | 119,475 | ||||||
Medtronic Global Holdings SCA | 185,000 | 204,909 | ||||||
Medtronic, Inc. | 172,000 | 188,785 | ||||||
Memorial Sloan-Kettering Cancer Center | 500,000 | 633,808 | ||||||
4.20%, 7/1/55, Series 2015 | 385,000 | 498,518 | ||||||
Merck & Co., Inc. | 263,000 | 294,164 | ||||||
Mercury General Corp. | 160,000 | 175,073 | ||||||
MetLife, Inc. | 100,000 | 123,656 | ||||||
Micron Technology, Inc. | 312,000 | 358,721 | ||||||
Microsoft Corp. | 750,000 | 873,567 | ||||||
4.20%, 11/3/35 | 50,000 | 62,518 | ||||||
3.45%, 8/8/36 | 260,000 | 300,516 | ||||||
4.10%, 2/6/37 | 1,100,000 | 1,365,913 | ||||||
5.20%, 6/1/39 | 750,000 | 1,070,895 | ||||||
4.50%, 10/1/40 | 350,000 | 457,758 | ||||||
5.30%, 2/8/41 | 245,000 | 353,980 | ||||||
3.50%, 11/15/42 | 525,000 | 613,414 | ||||||
3.75%, 5/1/43 | 250,000 | 299,173 | ||||||
4.88%, 12/15/43 | 275,000 | 381,187 | ||||||
3.75%, 2/12/45 | 757,000 | 921,250 | ||||||
4.45%, 11/3/45 | 765,000 | 1,024,266 | ||||||
3.70%, 8/8/46 | 925,000 | 1,124,907 | ||||||
4.25%, 2/6/47 | 815,000 | 1,070,506 | ||||||
4.00%, 2/12/55 | 707,000 | 896,096 | ||||||
4.75%, 11/3/55 | 525,000 | 750,929 | ||||||
3.95%, 8/8/56 | 1,025,000 | 1,305,428 | ||||||
4.50%, 2/6/57 | 850,000 | 1,182,787 | ||||||
Mid-America Apartments L.P. | 37,000 | 40,078 | ||||||
3.60%, 6/1/27 | 125,000 | 136,549 | ||||||
3.95%, 3/15/29 | 340,000 | 389,657 | ||||||
MidAmerican Energy Co. | 200,000 | 216,325 | ||||||
Molson Coors Beverage Co. | 157,000 | 164,288 | ||||||
5.00%, 5/1/42 | 100,000 | 113,435 | ||||||
4.20%, 7/15/46 | 630,000 | 654,924 | ||||||
Mondelez International, Inc. | 90,000 | 97,882 | ||||||
3.63%, 2/13/26 | 100,000 | 111,567 | ||||||
4.63%, 5/7/48 | 165,000 | 214,803 | ||||||
Moody’s Corp. | 442,000 | 492,910 | ||||||
Morgan Stanley | 440,000 | 474,944 | ||||||
4.00%, 7/23/25 | 64,000 | 70,980 | ||||||
5.00%, 11/24/25 | 306,000 | 353,360 | ||||||
3.88%, 1/27/26 | 416,000 | 460,155 | ||||||
4.35%, 9/8/26 | 250,000 | 279,921 | ||||||
3.63%, 1/20/27 | 277,000 | 303,255 | ||||||
3.95%, 4/23/27 | 440,000 | 482,830 | ||||||
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) | 630,000 | 689,650 |
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 29, 2020
Investments | Principal Amount | Value | ||||||
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) | $ | 442,000 | $ | 491,502 | ||||
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) | 525,000 | 611,065 | ||||||
2.70%, 1/22/31, (2.699% fixed rate until 1/22/30; Secured Overnight Financing Rate + 1.143% thereafter)(d) | 250,000 | 258,318 | ||||||
Mosaic Co. (The) | 100,000 | 107,711 | ||||||
4.05%, 11/15/27 | 289,000 | 306,021 | ||||||
4.88%, 11/15/41 | 68,000 | 73,571 | ||||||
5.63%, 11/15/43 | 38,000 | 45,435 | ||||||
Motorola Solutions, Inc. | 262,000 | 284,162 | ||||||
4.60%, 2/23/28 | 50,000 | 56,539 | ||||||
4.60%, 5/23/29 | 50,000 | 57,405 | ||||||
5.50%, 9/1/44 | 100,000 | 118,681 | ||||||
MPLX L.P. | 60,000 | 64,750 | ||||||
4.88%, 12/1/24 | 257,000 | 285,281 | ||||||
5.25%, 1/15/25(c) | 381,000 | 402,716 | ||||||
4.00%, 2/15/25 | 157,000 | 167,844 | ||||||
4.88%, 6/1/25 | 106,000 | 118,101 | ||||||
4.13%, 3/1/27 | 419,000 | 449,830 | ||||||
4.25%, 12/1/27(c) | 50,000 | 54,521 | ||||||
4.00%, 3/15/28 | 190,000 | 200,257 | ||||||
5.20%, 3/1/47 | 235,000 | 255,150 | ||||||
5.20%, 12/1/47(c) | 25,000 | 26,289 | ||||||
4.70%, 4/15/48 | 459,000 | 465,756 | ||||||
5.50%, 2/15/49 | 295,000 | 335,659 | ||||||
4.90%, 4/15/58 | 30,000 | 30,022 | ||||||
MUFG Americas Holdings Corp. | 17,000 | 18,035 | ||||||
Mylan N.V. | 554,000 | 602,918 | ||||||
5.25%, 6/15/46 | 90,000 | 108,252 | ||||||
Mylan, Inc. | 175,000 | 197,557 | ||||||
5.40%, 11/29/43 | 445,000 | 537,410 | ||||||
Nasdaq, Inc. | 154,000 | 168,877 | ||||||
National Fuel Gas Co. | 150,000 | 158,298 | ||||||
4.75%, 9/1/28 | 65,000 | 71,221 | ||||||
National Grid USA | 145,000 | 187,081 | ||||||
National Oilwell Varco, Inc. | 105,000 | 100,363 | ||||||
National Retail Properties, Inc. | 8,000 | 8,480 | ||||||
3.30%, 4/15/23 | 25,000 | 26,178 | ||||||
3.50%, 10/15/27 | 15,000 | 16,430 | ||||||
National Rural Utilities Cooperative Finance Corp. | 100,000 | 112,368 | ||||||
3.70%, 3/15/29 | 167,000 | 191,563 | ||||||
NetApp, Inc. | 25,000 | 26,653 | ||||||
Newmont Corp. | 112,000 | 114,733 | ||||||
3.70%, 3/15/23 | 244,000 | 259,335 | ||||||
2.80%, 10/1/29 | 85,000 | 88,626 | ||||||
6.25%, 10/1/39 | 362,000 | 517,615 | ||||||
4.88%, 3/15/42 | 292,000 | 367,564 | ||||||
5.45%, 6/9/44 | 25,000 | 33,654 | ||||||
NextEra Energy Capital Holdings, Inc. | 250,000 | 265,140 | ||||||
3.25%, 4/1/26 | 175,000 | 187,181 | ||||||
3.55%, 5/1/27 | 200,000 | 217,635 | ||||||
3.50%, 4/1/29 | 527,000 | 578,730 | ||||||
2.75%, 11/1/29 | 500,000 | 523,489 | ||||||
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 | 35,368 | ||||||
NIKE, Inc. | 424,000 | �� | 446,662 | |||||
NiSource, Inc. | 200,000 | 218,071 | ||||||
5.95%, 6/15/41 | 2,000 | 2,764 | ||||||
5.25%, 2/15/43 | 203,000 | 263,361 | ||||||
4.80%, 2/15/44 | 206,000 | 250,229 | ||||||
5.65%, 2/1/45 | 394,000 | 537,885 | ||||||
4.38%, 5/15/47 | 25,000 | 29,376 | ||||||
3.95%, 3/30/48 | 75,000 | 84,904 | ||||||
Noble Energy, Inc. | 271,000 | 288,500 | ||||||
3.85%, 1/15/28 | 163,000 | 168,944 | ||||||
6.00%, 3/1/41 | 410,000 | 470,492 | ||||||
5.05%, 11/15/44 | 135,000 | 138,602 | ||||||
4.95%, 8/15/47 | 69,000 | 72,724 | ||||||
Nordstrom, Inc. | 20,000 | 21,342 | ||||||
6.95%, 3/15/28 | 30,000 | 37,133 | ||||||
5.00%, 1/15/44 | 327,000 | 331,314 | ||||||
Norfolk Southern Corp. | 410,000 | 421,302 | ||||||
2.90%, 6/15/26 | 23,000 | 24,631 | ||||||
3.15%, 6/1/27 | 100,000 | 108,310 | ||||||
3.80%, 8/1/28 | 448,000 | 512,906 | ||||||
3.94%, 11/1/47 | 271,000 | 316,373 | ||||||
4.05%, 8/15/52 | 387,000 | 461,240 | ||||||
5.10%, 8/1/2118 | 200,000 | 262,662 | ||||||
Northern Trust Corp. | 256,000 | 281,492 | ||||||
3.38%, 5/8/32, (3.375% fixed rate until 5/8/27; 3-month U.S. dollar London Interbank Offered Rate + 1.131% thereafter)(d) | 30,000 | 32,440 |
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 29, 2020
Investments | Principal Amount | Value | ||||||
Northrop Grumman Corp. | $ | 117,000 | $ | 119,381 | ||||
2.55%, 10/15/22 | 25,000 | 25,760 | ||||||
3.25%, 8/1/23 | 11,000 | 11,669 | ||||||
2.93%, 1/15/25 | 250,000 | 265,126 | ||||||
3.20%, 2/1/27 | 100,000 | 107,373 | ||||||
3.25%, 1/15/28 | 100,000 | 107,984 | ||||||
5.05%, 11/15/40 | 26,000 | 33,970 | ||||||
4.75%, 6/1/43 | 60,000 | 77,937 | ||||||
3.85%, 4/15/45 | 315,000 | 358,961 | ||||||
4.03%, 10/15/47 | 300,000 | 359,803 | ||||||
Northrop Grumman Systems Corp. | 170,000 | 252,827 | ||||||
Northwestern University | 500,000 | 694,834 | ||||||
NSTAR Electric Co. | 250,000 | 271,893 | ||||||
Nucor Corp. | 21,000 | 22,618 | ||||||
6.40%, 12/1/37 | 27,000 | 39,522 | ||||||
O’Reilly Automotive, Inc. | 35,000 | 40,412 | ||||||
Occidental Petroleum Corp. | 72,000 | 84,827 | ||||||
3.50%, 6/15/25 | 350,000 | 361,392 | ||||||
5.55%, 3/15/26 | 235,000 | 266,611 | ||||||
3.40%, 4/15/26 | 90,000 | 92,158 | ||||||
3.00%, 2/15/27 | 200,000 | 198,600 | ||||||
3.50%, 8/15/29(b) | 527,000 | 530,632 | ||||||
7.88%, 9/15/31 | 69,000 | 90,077 | ||||||
6.45%, 9/15/36 | 295,000 | 349,385 | ||||||
7.95%, 6/15/39 | 100,000 | 134,701 | ||||||
6.60%, 3/15/46 | 552,000 | 671,506 | ||||||
4.40%, 4/15/46 | 25,000 | 22,708 | ||||||
4.10%, 2/15/47 | 100,000 | 91,412 | ||||||
4.40%, 8/15/49(b) | 771,000 | 734,105 | ||||||
Office Properties Income Trust | 50,000 | 52,813 | ||||||
Oglethorpe Power Corp. | 52,000 | 68,171 | ||||||
5.25%, 9/1/50 | 195,000 | 247,601 | ||||||
Oklahoma Gas & Electric Co. | 135,000 | 153,307 | ||||||
Old Republic International Corp. | 110,000 | 121,729 | ||||||
Omega Healthcare Investors, Inc. | 300,000 | 333,441 | ||||||
4.50%, 4/1/27 | 80,000 | 89,210 | ||||||
4.75%, 1/15/28 | 60,000 | 67,523 | ||||||
3.63%, 10/1/29 | 100,000 | 105,318 | ||||||
Oncor Electric Delivery Co. LLC | 169,000 | 181,253 | ||||||
ONEOK Partners L.P. | 150,000 | 164,935 | ||||||
6.20%, 9/15/43 | 50,000 | 62,832 | ||||||
ONEOK, Inc. | 630,000 | 686,112 | ||||||
4.55%, 7/15/28 | 357,000 | 400,143 | ||||||
4.95%, 7/13/47 | 190,000 | 209,024 | ||||||
Oracle Corp. | 200,000 | 211,362 | ||||||
3.25%, 11/15/27 | 582,000 | 640,066 | ||||||
Oshkosh Corp. | 32,000 | 36,282 | ||||||
Owens Corning | 25,000 | 27,248 | ||||||
3.40%, 8/15/26 | 200,000 | 209,615 | ||||||
7.00%, 12/1/36 | 32,000 | 43,509 | ||||||
Packaging Corp. of America | 42,000 | 45,579 | ||||||
Parker-Hannifin Corp. | 100,000 | 108,416 | ||||||
3.25%, 6/14/29 | 1,197,000 | 1,302,720 | ||||||
PayPal Holdings, Inc. | 350,000 | 359,435 | ||||||
2.85%, 10/1/29 | 250,000 | 262,786 | ||||||
Pentair Finance Sarl | 583,000 | 656,863 | ||||||
PepsiCo, Inc. | 145,000 | 153,726 | ||||||
3.00%, 10/15/27 | 452,000 | 493,094 | ||||||
Perrigo Finance Unlimited Co. | 390,000 | 420,390 | ||||||
Pfizer, Inc. | 100,000 | 106,793 | ||||||
3.00%, 12/15/26 | 175,000 | 190,716 | ||||||
3.45%, 3/15/29 | 484,000 | 542,810 | ||||||
Philip Morris International, Inc. | 260,000 | 282,717 | ||||||
2.75%, 2/25/26 | 44,000 | 45,858 | ||||||
3.13%, 8/17/27 | 35,000 | 37,485 | ||||||
3.13%, 3/2/28 | 73,000 | 77,888 | ||||||
Phillips 66 | 147,000 | 177,180 | ||||||
5.88%, 5/1/42 | 125,000 | 170,096 | ||||||
4.88%, 11/15/44 | 315,000 | 379,338 | ||||||
Phillips 66 Partners L.P. | 245,000 | 264,380 | ||||||
4.90%, 10/1/46 | 100,000 | 113,838 | ||||||
Physicians Realty L.P. | 25,000 | 27,601 | ||||||
Piedmont Natural Gas Co., Inc. | 78,000 | 87,180 | ||||||
Pioneer Natural Resources Co. | 100,000 | 104,677 | ||||||
4.45%, 1/15/26 | 50,000 | 55,910 | ||||||
Plains All American Pipeline L.P. | 40,000 | 41,138 | ||||||
3.60%, 11/1/24(b) | 542,000 | 561,050 | ||||||
4.65%, 10/15/25 | 240,000 | 261,504 | ||||||
4.50%, 12/15/26 | 320,000 | 348,681 | ||||||
4.70%, 6/15/44 | 47,000 | 43,568 | ||||||
4.90%, 2/15/45 | 105,000 | 104,214 |
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 29, 2020
Investments | Principal Amount | Value | ||||||
Plains All American Pipeline L.P. / PAA Finance Corp. | $ | 50,000 | $ | 49,256 | ||||
PNC Bank NA | 458,000 | 492,335 | ||||||
3.25%, 1/22/28 | 625,000 | 678,333 | ||||||
PNC Financial Services Group, Inc. (The) | 328,000 | 362,359 | ||||||
PPG Industries, Inc. | 82,000 | 86,085 | ||||||
PPL Capital Funding, Inc. | 280,000 | 337,595 | ||||||
5.00%, 3/15/44 | 70,000 | 86,745 | ||||||
Praxair, Inc. | 200,000 | 216,715 | ||||||
President & Fellows of Harvard College | 316,000 | 364,337 | ||||||
Princeton University | 215,000 | 323,881 | ||||||
Principal Financial Group, Inc. | 25,000 | 27,122 | ||||||
3.10%, 11/15/26 | 25,000 | 26,943 | ||||||
3.70%, 5/15/29 | 21,000 | 23,925 | ||||||
Procter & Gamble Co. (The) | 201,000 | 286,739 | ||||||
3.50%, 10/25/47 | 250,000 | 309,716 | ||||||
Progress Energy, Inc. | 200,000 | 286,085 | ||||||
Progressive Corp. (The) | 25,000 | 26,319 | ||||||
6.63%, 3/1/29 | 75,000 | 104,125 | ||||||
Prologis L.P. | 170,000 | 188,802 | ||||||
4.38%, 2/1/29 | 60,000 | 71,087 | ||||||
Prudential Financial, Inc. | ||||||||
5.20%, 3/15/44, (5.20% fixed rate until 3/15/24; 3-month U.S. dollar London Interbank Offered Rate + 3.04% thereafter)(d) | 30,000 | 32,074 | ||||||
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) | 88,000 | 96,239 | ||||||
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)(d) | 108,000 | 114,331 | ||||||
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)(d) | 200,000 | 226,499 | ||||||
PSEG Power LLC | 100,000 | 142,866 | ||||||
Public Service Co. of Colorado | 110,000 | 126,481 | ||||||
Public Service Electric & Gas Co. | 139,000 | 143,929 | ||||||
3.00%, 5/15/27 | 35,000 | 37,867 | ||||||
3.20%, 5/15/29 | 270,000 | 299,525 | ||||||
Public Service Enterprise Group, Inc. | 200,000 | 205,581 | ||||||
Public Storage | 90,000 | 97,445 | ||||||
Puget Energy, Inc. | 265,000 | 284,821 | ||||||
QUALCOMM, Inc. | 160,000 | 174,062 | ||||||
3.25%, 5/20/27 | 421,000 | 454,134 | ||||||
Quest Diagnostics, Inc. | 355,000 | 367,788 | ||||||
QVC, Inc. | 48,000 | 49,727 | ||||||
4.85%, 4/1/24 | 116,000 | 121,778 | ||||||
4.45%, 2/15/25 | 188,000 | 192,876 | ||||||
4.75%, 2/15/27 | 250,000 | 246,956 | ||||||
Raymond James Financial, Inc. | 20,000 | 22,061 | ||||||
4.95%, 7/15/46 | 55,000 | 70,498 | ||||||
Raytheon Co. | 30,000 | 40,497 | ||||||
Realty Income Corp. | 95,000 | 108,910 | ||||||
3.00%, 1/15/27 | 146,000 | 156,731 | ||||||
3.65%, 1/15/28 | 25,000 | 28,074 | ||||||
Regency Centers L.P. | 135,000 | 147,922 | ||||||
2.95%, 9/15/29 | 272,000 | 287,896 | ||||||
4.40%, 2/1/47 | 13,000 | 16,208 | ||||||
Regions Financial Corp. | 25,000 | 26,927 | ||||||
7.38%, 12/10/37 | 50,000 | 73,552 | ||||||
RenaissanceRe Finance, Inc. | 25,000 | 27,468 | ||||||
Republic Services, Inc. | 125,000 | 134,287 | ||||||
3.95%, 5/15/28 | 60,000 | 68,894 | ||||||
Rockwell Automation, Inc. | 218,000 | 248,959 | ||||||
Rockwell Collins, Inc. | 8,000 | 8,583 | ||||||
3.20%, 3/15/24 | 60,000 | 63,860 | ||||||
3.50%, 3/15/27 | 180,000 | 200,463 | ||||||
4.80%, 12/15/43 | 82,000 | 107,973 | ||||||
4.35%, 4/15/47 | 605,000 | 778,149 | ||||||
Rohm & Haas Co. | 116,000 | 158,005 | ||||||
Roper Technologies, Inc. | 90,000 | 100,117 | ||||||
Royal Caribbean Cruises Ltd. | 125,000 | 134,514 | ||||||
7.50%, 10/15/27 | 50,000 | 64,857 | ||||||
3.70%, 3/15/28(b) | 115,000 | 118,218 | ||||||
RPM International, Inc. | 73,000 | 79,502 | ||||||
4.55%, 3/1/29 | 100,000 | 115,687 | ||||||
4.25%, 1/15/48 | 355,000 | 391,857 |
See Notes to Financial Statements.
WisdomTree Trust | 109 |
Table of Contents
Schedule of Investments (unaudited) (continued)
WisdomTree Yield Enhanced U.S. Aggregate Bond Fund (AGGY)
February 29, 2020
Investments | Principal Amount | Value | ||||||
Ryder System, Inc. | $ | 144,000 | $ | 154,888 | ||||
S&P Global, Inc. | 164,000 | 184,536 | ||||||
2.95%, 1/22/27 | 5,000 | 5,358 | ||||||
Sabine Pass Liquefaction LLC | 150,000 | 168,822 | ||||||
5.63%, 3/1/25 | 475,000 | 540,501 | ||||||
5.88%, 6/30/26 | 200,000 | 232,305 | ||||||
5.00%, 3/15/27 | 150,000 | 165,945 | ||||||
4.20%, 3/15/28 | 584,000 | 620,217 | ||||||
Sabra Health Care L.P. | 250,000 | 265,887 | ||||||
Santander Holdings USA, Inc. | 1,042,000 | 1,143,573 | ||||||
Seagate HDD Cayman | 31,000 | 32,757 | ||||||
4.75%, 1/1/25 | 350,000 | 370,304 | ||||||
4.88%, 6/1/27 | 309,000 | 329,870 | ||||||
Sempra Energy | 59,000 | 60,838 | ||||||
4.05%, 12/1/23 | 106,000 | 114,805 | ||||||
3.25%, 6/15/27(b) | 70,000 | 74,873 | ||||||
3.40%, 2/1/28(b) | 452,000 | 486,667 | ||||||
3.80%, 2/1/38 | 450,000 | 504,586 | ||||||
6.00%, 10/15/39 | 227,000 | 317,568 | ||||||
Service Properties Trust | 112,000 | 118,467 | ||||||
3.95%, 1/15/28 | 15,000 | 15,340 | ||||||
4.38%, 2/15/30 | 185,000 | 187,792 | ||||||
Sherwin-Williams Co. (The) | 7,000 | 7,207 | ||||||
3.45%, 8/1/25 | 25,000 | 26,936 | ||||||
3.45%, 6/1/27 | 432,000 | 471,282 | ||||||
2.95%, 8/15/29 | 110,000 | 115,459 | ||||||
4.55%, 8/1/45 | 12,000 | 14,446 | ||||||
4.50%, 6/1/47 | 126,000 | 153,200 | ||||||
Shire Acquisitions Investments Ireland DAC | 145,000 | 146,969 | ||||||
2.88%, 9/23/23 | 96,000 | 99,721 | ||||||
3.20%, 9/23/26 | 478,000 | 513,776 | ||||||
Simon Property Group L.P. | 145,000 | 157,607 | ||||||
3.30%, 1/15/26 | 115,000 | 124,929 | ||||||
3.38%, 6/15/27 | 175,000 | 191,934 | ||||||
2.45%, 9/13/29 | 542,000 | 553,282 | ||||||
SITE Centers Corp. | 100,000 | 106,260 | ||||||
4.70%, 6/1/27 | 30,000 | 33,767 | ||||||
Snap-on, Inc. | 150,000 | 163,468 | ||||||
Sonoco Products Co. | 14,000 | 18,844 | ||||||
Southern California Edison Co. | 100,000 | 111,800 | ||||||
4.20%, 3/1/29, Series A | 200,000 | 231,400 | ||||||
6.65%, 4/1/29 | 108,000 | 136,568 | ||||||
Southern California Gas Co. | 100,000 | 105,709 | ||||||
4.30%, 1/15/49, Series VV | 135,000 | 173,217 | ||||||
3.95%, 2/15/50, Series WW | 200,000 | 247,952 | ||||||
Southern Co. (The) | 50,000 | 52,116 | ||||||
3.25%, 7/1/26 | 160,000 | 171,751 | ||||||
4.25%, 7/1/36 | 460,000 | 544,952 | ||||||
4.40%, 7/1/46 | 434,000 | 508,284 | ||||||
Southern Co. Gas Capital Corp. | 25,000 | 25,717 | ||||||
5.88%, 3/15/41 | 162,000 | 227,954 | ||||||
4.40%, 6/1/43 | 29,000 | 34,076 | ||||||
4.40%, 5/30/47 | 3,000 | 3,666 | ||||||
Southern Natural Gas Co. LLC | 5,000 | 5,144 | ||||||
Southern Power Co. | 15,000 | 18,742 | ||||||
4.95%, 12/15/46, Series F | 160,000 | 198,935 | ||||||
Southwest Airlines Co. | 100,000 | 108,842 | ||||||
Southwestern Electric Power Co. | 5,000 | 5,261 | ||||||
4.10%, 9/15/28, Series M | 229,000 | 262,561 | ||||||
6.20%, 3/15/40 | 40,000 | 57,391 | ||||||
3.90%, 4/1/45, Series J | 120,000 | 134,387 | ||||||
Spectra Energy Partners L.P. | 40,000 | 43,014 | ||||||
5.95%, 9/25/43 | 500,000 | 648,545 | ||||||
4.50%, 3/15/45 | 334,000 | 386,042 | ||||||
Spirit Airlines Pass Through Trust | 172,160 | 187,999 | ||||||
Spirit Realty L.P. | 120,000 | 134,681 | ||||||
3.40%, 1/15/30 | 250,000 | 266,721 | ||||||
Stanford Health Care | 350,000 | 433,087 | ||||||
Stanley Black & Decker, Inc. | 165,000 | 180,512 | ||||||
4.25%, 11/15/28 | 225,000 | 263,712 | ||||||
Starbucks Corp. | 27,000 | 29,081 | ||||||
3.80%, 8/15/25 | 147,000 | 162,246 | ||||||
2.45%, 6/15/26 | 116,000 | 121,060 | ||||||
4.00%, 11/15/28 | 476,000 | 544,796 | ||||||
3.55%, 8/15/29 | 391,000 | 438,832 | ||||||
3.75%, 12/1/47 | 45,000 | 49,600 | ||||||
4.50%, 11/15/48 | 135,000 | 160,768 | ||||||
4.45%, 8/15/49 | 200,000 | 243,163 | ||||||
State Street Corp. | 80,000 | 88,187 | ||||||
2.65%, 5/19/26 | 55,000 | 57,974 | ||||||
3.03%, 11/1/34, (3.031% fixed rate until 11/1/29; Secured Overnight Financing Rate + 1.490% thereafter)(d) | 160,000 | 171,211 | ||||||
Steel Dynamics, Inc. |
| |||||||
2.80%, 12/15/24 | 250,000 | 259,227 | ||||||
3.45%, 4/15/30 | 24,000 | 25,334 |
See Notes to Financial Statements.
110 | WisdomTree Trust |
Table of Contents
Schedule of Investments (unaudited) (continued)
WisdomTree Yield Enhanced U.S. Aggregate Bond Fund (AGGY)
February 29, 2020
Investments | Principal Amount | Value | ||||||
Steelcase, Inc. | $ | 170,000 | $ | 202,996 | ||||
Stifel Financial Corp. | 25,000 | 27,494 | ||||||
STORE Capital Corp. |
| |||||||
4.50%, 3/15/28 | 30,000 | 33,781 | ||||||
4.63%, 3/15/29 | 25,000 | 28,490 | ||||||
Stryker Corp. |
| |||||||
3.50%, 3/15/26 | 40,000 | 43,818 | ||||||
4.10%, 4/1/43 | 202,000 | 238,193 | ||||||
4.63%, 3/15/46 | 30,000 | 38,871 | ||||||
Sunoco Logistics Partners Operations L.P. |
| |||||||
4.00%, 10/1/27 | 820,000 | 859,489 | ||||||
4.95%, 1/15/43 | 4,000 | 3,988 | ||||||
5.30%, 4/1/44 | 73,000 | 76,637 | ||||||
5.35%, 5/15/45 | 866,000 | 930,651 | ||||||
5.40%, 10/1/47 | 335,000 | 354,574 | ||||||
SVB Financial Group | 220,000 | 238,450 | ||||||
Synchrony Bank | 500,000 | 512,814 | ||||||
Synchrony Financial |
| |||||||
4.25%, 8/15/24 | 224,000 | 240,999 | ||||||
4.50%, 7/23/25 | 43,000 | 47,298 | ||||||
3.70%, 8/4/26 | 99,000 | 104,252 | ||||||
3.95%, 12/1/27 | 423,000 | 454,523 | ||||||
Synovus Financial Corp. | 25,000 | 25,666 | ||||||
Sysco Corp. |
| |||||||
3.30%, 7/15/26 | 160,000 | 174,128 | ||||||
3.25%, 7/15/27 | 550,000 | 600,436 | ||||||
5.38%, 9/21/35 | 22,000 | 30,101 | ||||||
4.85%, 10/1/45 | 400,000 | 515,667 | ||||||
Tanger Properties L.P. | 90,000 | 92,693 | ||||||
Tapestry, Inc. |
| |||||||
4.25%, 4/1/25 | 36,000 | 38,175 | ||||||
4.13%, 7/15/27 | 59,000 | 62,276 | ||||||
Target Corp. | 480,000 | 534,657 | ||||||
TC PipeLines L.P. | 317,000 | 338,425 | ||||||
TD Ameritrade Holding Corp. | 385,000 | 417,666 | ||||||
Tech Data Corp. | 184,000 | 193,991 | ||||||
Texas Instruments, Inc. |
| |||||||
2.90%, 11/3/27 | 65,000 | 69,558 | ||||||
2.25%, 9/4/29 | 100,000 | 102,402 | ||||||
Textron, Inc. |
| |||||||
3.88%, 3/1/25 | 8,000 | 8,686 | ||||||
3.38%, 3/1/28 | 450,000 | 477,213 | ||||||
Thermo Fisher Scientific, Inc. |
| |||||||
4.15%, 2/1/24 | 80,000 | 87,308 | ||||||
3.20%, 8/15/27 | 630,000 | 682,700 | ||||||
2.60%, 10/1/29 | 110,000 | 115,085 | ||||||
4.10%, 8/15/47 | 190,000 | 238,556 | ||||||
Time Warner Cable LLC |
| |||||||
6.55%, 5/1/37 | 101,000 | 131,646 | ||||||
7.30%, 7/1/38 | 329,000 | 451,139 | ||||||
6.75%, 6/15/39 | 477,000 | 618,652 | ||||||
4.50%, 9/15/42 | 125,000 | 130,247 | ||||||
Time Warner Entertainment Co. L.P. |
| |||||||
8.38%, 3/15/23 | 400,000 | 476,456 | ||||||
8.38%, 7/15/33 | 250,000 | 368,043 | ||||||
Timken Co. (The) |
| |||||||
3.88%, 9/1/24 | 101,000 | 109,494 | ||||||
4.50%, 12/15/28 | 256,000 | 292,617 | ||||||
TJX Cos., Inc. (The) | 80,000 | 82,415 | ||||||
Transatlantic Holdings, Inc. | 8,000 | 13,344 | ||||||
Transcontinental Gas Pipe Line Co. LLC | 45,000 | 49,033 | ||||||
Trimble, Inc. | 50,000 | 57,525 | ||||||
Truist Bank |
| |||||||
3.63%, 9/16/25 | 250,000 | 273,965 | ||||||
3.30%, 5/15/26 | 40,000 | 43,269 | ||||||
Trustees of the University of Pennsylvania (The) | 150,000 | 185,827 | ||||||
Tucson Electric Power Co. | 176,000 | 188,208 | ||||||
TWDC Enterprises 18 Corp. |
| |||||||
3.00%, 2/13/26 | 100,000 | 108,750 | ||||||
1.85%, 7/30/26 | 81,000 | 82,770 | ||||||
2.95%, 6/15/27(b) | 212,000 | 232,060 | ||||||
Tyson Foods, Inc. |
| |||||||
3.95%, 8/15/24 | 200,000 | 218,457 | ||||||
4.00%, 3/1/26 | 378,000 | 422,395 | ||||||
4.35%, 3/1/29(b) | 518,000 | 609,025 | ||||||
4.88%, 8/15/34 | 141,000 | 174,297 | ||||||
5.15%, 8/15/44 | 205,000 | 261,768 | ||||||
4.55%, 6/2/47 | 50,000 | 60,167 | ||||||
5.10%, 9/28/48 | 221,000 | 288,346 | ||||||
U.S. Bancorp |
| |||||||
3.10%, 4/27/26 | 25,000 | 26,974 | ||||||
3.15%, 4/27/27, Series X | 532,000 | 582,705 | ||||||
3.00%, 7/30/29 | 120,000 | 128,222 | ||||||
UDR, Inc. |
| |||||||
2.95%, 9/1/26 | 90,000 | 96,069 | ||||||
3.50%, 1/15/28 | 25,000 | 26,959 | ||||||
4.40%, 1/26/29 | 79,000 | 91,010 | ||||||
3.20%, 1/15/30 | 215,000 | 227,425 | ||||||
3.00%, 8/15/31 | 70,000 | 73,261 | ||||||
Union Pacific Corp. |
| |||||||
3.50%, 6/8/23 | 350,000 | 372,202 | ||||||
3.75%, 7/15/25 | 81,000 | 89,515 | ||||||
3.25%, 8/15/25(b) | 180,000 | 195,504 | ||||||
2.75%, 3/1/26 | 334,000 | 350,942 | ||||||
3.00%, 4/15/27 | 280,000 | 299,902 | ||||||
3.60%, 9/15/37 | 487,000 | 539,773 | ||||||
4.38%, 9/10/38 | 367,000 | 438,706 | ||||||
4.30%, 6/15/42 | 10,000 | 11,847 |
See Notes to Financial Statements.
WisdomTree Trust | 111 |
Table of Contents
Schedule of Investments (unaudited) (continued)
WisdomTree Yield Enhanced U.S. Aggregate Bond Fund (AGGY)
February 29, 2020
Investments | Principal Amount | Value | ||||||
4.05%, 11/15/45 | $ | 30,000 | $ | 34,530 | ||||
4.05%, 3/1/46 | 99,000 | 112,740 | ||||||
4.00%, 4/15/47 | 265,000 | 303,112 | ||||||
4.50%, 9/10/48 | 29,000 | 35,521 | ||||||
3.80%, 10/1/51 | 435,000 | 490,364 | ||||||
3.88%, 2/1/55 | 30,000 | 33,065 | ||||||
3.84%, 3/20/60(c) | 500,000 | 552,110 | ||||||
4.38%, 11/15/65 | 275,000 | 329,128 | ||||||
4.10%, 9/15/67 | 30,000 | 34,645 | ||||||
United Airlines Pass Through Trust |
| |||||||
4.30%, 2/15/27, Series A | 149,184 | 163,940 | ||||||
4.00%, 10/11/27, Series A | 125,416 | 137,758 | ||||||
3.75%, 3/3/28, Series A | 13,151 | 14,399 | ||||||
3.45%, 1/7/30, Series A | 43,404 | 46,841 | ||||||
United Parcel Service, Inc. |
| |||||||
3.05%, 11/15/27 | 49,000 | 53,092 | ||||||
3.40%, 3/15/29 | 350,000 | 386,083 | ||||||
United Technologies Corp. |
| |||||||
2.80%, 5/4/24 | 202,000 | 214,791 | ||||||
3.95%, 8/16/25 | 45,000 | 50,388 | ||||||
3.13%, 5/4/27 | 75,000 | 81,618 | ||||||
4.13%, 11/16/28 | 903,000 | 1,058,715 | ||||||
6.13%, 7/15/38 | 323,000 | 481,265 | ||||||
4.45%, 11/16/38 | 172,000 | 215,578 | ||||||
5.70%, 4/15/40 | 15,000 | 21,930 | ||||||
4.50%, 6/1/42 | 445,000 | 571,764 | ||||||
4.15%, 5/15/45 | 299,000 | 362,600 | ||||||
3.75%, 11/1/46 | 711,000 | 818,866 | ||||||
4.05%, 5/4/47 | 60,000 | 73,727 | ||||||
4.63%, 11/16/48 | 605,000 | 812,821 | ||||||
UnitedHealth Group, Inc. |
| |||||||
3.75%, 7/15/25 | 135,000 | 149,722 | ||||||
3.10%, 3/15/26 | 652,000 | 702,127 | ||||||
3.45%, 1/15/27 | 103,000 | 112,725 | ||||||
3.38%, 4/15/27 | 195,000 | 212,486 | ||||||
2.95%, 10/15/27 | 100,000 | 106,726 | ||||||
3.85%, 6/15/28 | 495,000 | 561,450 | ||||||
3.88%, 12/15/28 | 190,000 | 217,111 | ||||||
University of Chicago (The) | 75,000 | 97,765 | ||||||
University of Notre Dame du Lac | 12,000 | 14,297 | ||||||
University of Southern California | 524,000 | 584,129 | ||||||
Unum Group | 122,000 | 146,865 | ||||||
Valero Energy Corp. |
| |||||||
3.65%, 3/15/25 | 105,000 | 113,319 | ||||||
3.40%, 9/15/26 | 60,000 | 64,119 | ||||||
4.35%, 6/1/28 | 563,000 | 633,925 | ||||||
4.00%, 4/1/29 | 150,000 | 162,344 | ||||||
6.63%, 6/15/37 | 120,000 | 163,155 | ||||||
4.90%, 3/15/45 | 213,000 | 244,298 | ||||||
Valero Energy Partners L.P. |
| |||||||
4.38%, 12/15/26 | 285,000 | 318,437 | ||||||
4.50%, 3/15/28 | 50,000 | 56,176 | ||||||
Valmont Industries, Inc. | 105,000 | 120,961 | ||||||
Ventas Realty L.P. |
| |||||||
3.50%, 4/15/24 | 41,000 | 43,877 | ||||||
2.65%, 1/15/25 | 395,000 | 409,769 | ||||||
3.50%, 2/1/25 | 140,000 | 149,453 | ||||||
3.25%, 10/15/26 | 85,000 | 91,287 | ||||||
4.00%, 3/1/28 | 55,000 | 61,158 | ||||||
4.40%, 1/15/29 | 60,000 | 68,701 | ||||||
3.00%, 1/15/30 | 200,000 | 208,057 | ||||||
4.38%, 2/1/45 | 112,000 | 132,742 | ||||||
VEREIT Operating Partnership L.P. |
| |||||||
4.88%, 6/1/26 | 45,000 | 51,486 | ||||||
3.95%, 8/15/27 | 195,000 | 215,333 | ||||||
Verisk Analytics, Inc. |
| |||||||
5.80%, 5/1/21 | 25,000 | 26,221 | ||||||
4.00%, 6/15/25 | 150,000 | 166,580 | ||||||
5.50%, 6/15/45 | 25,000 | 33,619 | ||||||
Verizon Communications, Inc. |
| |||||||
2.95%, 3/15/22 | 35,000 | 36,069 | ||||||
3.13%, 3/16/22 | 162,000 | 167,990 | ||||||
2.45%, 11/1/22 | 76,000 | 78,049 | ||||||
3.50%, 11/1/24 | 332,000 | 359,662 | ||||||
3.38%, 2/15/25 | 406,000 | 439,844 | ||||||
2.63%, 8/15/26 | 663,000 | 696,384 | ||||||
4.13%, 3/16/27 | 646,000 | 735,453 | ||||||
4.33%, 9/21/28 | 1,230,000 | 1,447,195 | ||||||
3.88%, 2/8/29 | 250,000 | 286,408 | ||||||
4.02%, 12/3/29 | 473,000 | 549,869 | ||||||
4.50%, 8/10/33 | 611,000 | 749,693 | ||||||
4.40%, 11/1/34 | 941,000 | 1,150,851 | ||||||
5.25%, 3/16/37 | 200,000 | 267,466 | ||||||
4.81%, 3/15/39 | 500,000 | 642,114 | ||||||
3.85%, 11/1/42 | 100,000 | 113,488 | ||||||
4.13%, 8/15/46 | 238,000 | 288,083 | ||||||
4.86%, 8/21/46 | 315,000 | 416,432 | ||||||
5.50%, 3/16/47 | 200,000 | 292,975 | ||||||
4.52%, 9/15/48 | 1,000,000 | 1,295,249 | ||||||
5.01%, 4/15/49 | 452,000 | 624,798 | ||||||
5.01%, 8/21/54 | 50,000 | 70,264 | ||||||
4.67%, 3/15/55 | 105,000 | 140,120 | ||||||
ViacomCBS, Inc. |
| |||||||
2.50%, 2/15/23 | 532,000 | 545,579 | ||||||
4.25%, 9/1/23 | 154,000 | 166,644 | ||||||
3.88%, 4/1/24 | 101,000 | 108,691 | ||||||
3.70%, 8/15/24 | 88,000 | 94,538 | ||||||
3.50%, 1/15/25 | 35,000 | 37,428 | ||||||
2.90%, 1/15/27(b) | 92,000 | 94,420 | ||||||
3.38%, 2/15/28 | 160,000 | 170,605 | ||||||
3.70%, 6/1/28 | 134,000 | 144,961 | ||||||
7.88%, 7/30/30 | 47,000 | 67,962 | ||||||
6.88%, 4/30/36 | 472,000 | 646,373 | ||||||
4.85%, 7/1/42 | 135,000 | 153,212 | ||||||
4.38%, 3/15/43 | 250,000 | 268,911 | ||||||
5.85%, 9/1/43 | 141,000 | 178,396 | ||||||
5.25%, 4/1/44 | 30,000 | 35,360 | ||||||
4.90%, 8/15/44 | 275,000 | 312,691 | ||||||
4.60%, 1/15/45 | 90,000 | 98,881 | ||||||
Virginia Electric & Power Co. |
| |||||||
2.95%, 11/15/26, Series B | 185,000 | 197,412 | ||||||
3.50%, 3/15/27, Series A | 397,000 | 438,212 |
See Notes to Financial Statements.
112 | WisdomTree Trust |
Table of Contents
Schedule of Investments (unaudited) (continued)
WisdomTree Yield Enhanced U.S. Aggregate Bond Fund (AGGY)
February 29, 2020
Investments | Principal Amount | Value | ||||||
Visa, Inc. |
| |||||||
4.15%, 12/14/35 | $ | 680,000 | $ | 844,380 | ||||
4.30%, 12/14/45 | 865,000 | 1,129,556 | ||||||
3.65%, 9/15/47 | 580,000 | 690,389 | ||||||
VMware, Inc. | 180,000 | 193,869 | ||||||
Vulcan Materials Co. |
| |||||||
3.90%, 4/1/27 | 25,000 | 27,688 | ||||||
4.50%, 6/15/47 | 80,000 | 94,377 | ||||||
4.70%, 3/1/48 | 30,000 | 37,144 | ||||||
Walgreen Co. | 42,000 | 43,287 | ||||||
Walgreens Boots Alliance, Inc. |
| |||||||
3.30%, 11/18/21 | 225,000 | 230,922 | ||||||
3.80%, 11/18/24 | 100,000 | 106,779 | ||||||
3.45%, 6/1/26 | 175,000 | 184,189 | ||||||
4.50%, 11/18/34(b) | 35,000 | 37,944 | ||||||
4.80%, 11/18/44 | 552,000 | 576,726 | ||||||
4.65%, 6/1/46 | 65,000 | 68,075 | ||||||
Walmart, Inc. | 279,000 | 392,768 | ||||||
Walmart, Inc. |
| |||||||
6.50%, 8/15/37 | 238,000 | 371,687 | ||||||
6.20%, 4/15/38 | 100,000 | 154,271 | ||||||
3.95%, 6/28/38 | 533,000 | 649,787 | ||||||
5.00%, 10/25/40(b) | 62,000 | 85,895 | ||||||
5.63%, 4/15/41 | 225,000 | 337,854 | ||||||
4.00%, 4/11/43 | 66,000 | 81,051 | ||||||
3.63%, 12/15/47 | 976,000 | 1,169,619 | ||||||
4.05%, 6/29/48 | 685,000 | 864,046 | ||||||
2.95%, 9/24/49 | 627,000 | 674,157 | ||||||
Walt Disney Co. (The) |
| |||||||
3.70%, 10/15/25 | 470,000 | 524,019 | ||||||
3.38%, 11/15/26 | 65,000 | 72,003 | ||||||
Waste Connections, Inc. | 75,000 | 83,299 | ||||||
Waste Management, Inc. |
| |||||||
2.90%, 9/15/22 | 47,000 | 48,655 | ||||||
3.13%, 3/1/25(b) | 125,000 | 133,320 | ||||||
3.15%, 11/15/27 | 25,000 | 26,952 | ||||||
3.45%, 6/15/29 | 434,000 | 480,593 | ||||||
3.90%, 3/1/35 | 172,000 | 199,190 | ||||||
4.00%, 7/15/39 | 195,000 | 234,840 | ||||||
4.10%, 3/1/45 | 40,000 | 49,138 | ||||||
4.15%, 7/15/49 | 375,000 | 468,285 | ||||||
Wells Fargo & Co. |
| |||||||
3.55%, 9/29/25 | 83,000 | 90,318 | ||||||
3.00%, 4/22/26 | 201,000 | 213,166 | ||||||
4.10%, 6/3/26 | 479,000 | 529,118 | ||||||
3.00%, 10/23/26 | 826,000 | 875,671 | ||||||
4.30%, 7/22/27 | 279,000 | 313,131 | ||||||
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) | 538,000 | 585,316 | ||||||
4.15%, 1/24/29(b) | 610,000 | 703,873 | ||||||
Wells Fargo Capital X | 213,000 | 278,299 | ||||||
Welltower, Inc. |
| |||||||
4.00%, 6/1/25 | 420,000 | 464,014 | ||||||
4.25%, 4/1/26 | 120,000 | 135,105 | ||||||
4.25%, 4/15/28 | 75,000 | 85,751 | ||||||
4.13%, 3/15/29 | 99,000 | 113,465 | ||||||
3.10%, 1/15/30 | 364,000 | 390,278 | ||||||
6.50%, 3/15/41 | 241,000 | 357,477 | ||||||
4.95%, 9/1/48 | 35,000 | 45,459 | ||||||
Western Midstream Operating L.P. |
| |||||||
5.38%, 6/1/21 | 73,000 | 75,306 | ||||||
3.95%, 6/1/25 | 100,000 | 101,446 | ||||||
4.65%, 7/1/26 | 80,000 | 84,054 | ||||||
4.05%, 2/1/30 | 250,000 | 245,609 | ||||||
5.45%, 4/1/44 | 75,000 | 70,783 | ||||||
5.50%, 8/15/48 | 56,000 | 52,226 | ||||||
Western Union Co. (The) | 165,000 | 177,569 | ||||||
Westinghouse Air Brake Technologies Corp. |
| |||||||
3.45%, 11/15/26 | 70,000 | 73,246 | ||||||
4.95%, 9/15/28 | 418,000 | 479,858 | ||||||
Westlake Chemical Corp. |
| |||||||
3.60%, 8/15/26 | 90,000 | 96,329 | ||||||
5.00%, 8/15/46 | 55,000 | 65,079 | ||||||
4.38%, 11/15/47(b) | 435,000 | 473,194 | ||||||
WestRock MWV LLC | 36,000 | 50,798 | ||||||
WestRock RKT LLC | 74,000 | 78,680 | ||||||
Weyerhaeuser Co. |
| |||||||
3.25%, 3/15/23 | 38,000 | 39,636 | ||||||
6.95%, 10/1/27 | 75,000 | 98,565 | ||||||
4.00%, 11/15/29 | 100,000 | 114,284 | ||||||
7.38%, 3/15/32 | 150,000 | 217,980 | ||||||
Williams Cos., Inc. (The) |
| |||||||
3.60%, 3/15/22 | 868,000 | 895,356 | ||||||
4.30%, 3/4/24 | 561,000 | 606,567 | ||||||
4.55%, 6/24/24 | 125,000 | 136,543 | ||||||
3.90%, 1/15/25 | 100,000 | 107,322 | ||||||
4.00%, 9/15/25 | 68,000 | 73,672 | ||||||
3.75%, 6/15/27 | 214,000 | 224,752 | ||||||
8.75%, 3/15/32 | 45,000 | 68,481 | ||||||
6.30%, 4/15/40 | 265,000 | 327,173 | ||||||
5.75%, 6/24/44 | 102,000 | 120,985 | ||||||
4.90%, 1/15/45 | 210,000 | 225,138 | ||||||
5.10%, 9/15/45 | 50,000 | 54,844 | ||||||
Willis North America, Inc. |
| |||||||
3.60%, 5/15/24 | 505,000 | 544,260 | ||||||
4.50%, 9/15/28 | 50,000 | 57,777 | ||||||
WR Berkley Corp. | 8,000 | 10,100 | ||||||
WRKCo, Inc. |
| |||||||
3.75%, 3/15/25 | 250,000 | 270,730 | ||||||
4.65%, 3/15/26 | 100,000 | 115,244 | ||||||
4.00%, 3/15/28 | 85,000 | 93,994 | ||||||
4.90%, 3/15/29 | 162,000 | 190,181 | ||||||
Xcel Energy, Inc. | 209,000 | 210,832 |
See Notes to Financial Statements.
WisdomTree Trust | 113 |
Table of Contents
Schedule of Investments (unaudited) (continued)
WisdomTree Yield Enhanced U.S. Aggregate Bond Fund (AGGY)
February 29, 2020
Investments | Principal Amount | Value | ||||||
Zimmer Biomet Holdings, Inc. |
| |||||||
3.38%, 11/30/21 | $ | 6,000 | $ | 6,163 | ||||
3.70%, 3/19/23 | 350,000 | 370,522 | ||||||
3.55%, 4/1/25 | 150,000 | 161,149 | ||||||
Zoetis, Inc. |
| |||||||
3.25%, 2/1/23 | 88,000 | 92,273 | ||||||
3.00%, 9/12/27 | 247,000 | 265,688 | ||||||
4.70%, 2/1/43 | 25,000 | 32,302 | ||||||
3.95%, 9/12/47 | 25,000 | 29,497 | ||||||
4.45%, 8/20/48 | 200,000 | 257,936 | ||||||
TOTAL U.S. CORPORATE BONDS (Cost: $413,295,050) |
| 443,572,473 | ||||||
FOREIGN CORPORATE BONDS – 7.4% |
| |||||||
Australia – 0.1% |
| |||||||
Rio Tinto Finance USA Ltd. |
| |||||||
3.75%, 6/15/25 | 154,000 | 170,553 | ||||||
7.13%, 7/15/28 | 548,000 | 762,222 | ||||||
Westpac Banking Corp. |
| |||||||
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) | 272,000 | 298,612 | ||||||
4.42%, 7/24/39(b) | 330,000 | 386,285 | ||||||
|
| |||||||
Total Australia |
| 1,617,672 | ||||||
Belgium – 0.8% |
| |||||||
Anheuser-Busch Cos. LLC |
| |||||||
3.65%, 2/1/26 | 628,000 | 687,313 | ||||||
4.70%, 2/1/36 | 200,000 | 239,841 | ||||||
4.90%, 2/1/46 | 1,315,000 | 1,623,605 | ||||||
Anheuser-Busch InBev Finance, Inc. |
| |||||||
3.65%, 2/1/26 | 264,000 | 288,520 | ||||||
4.63%, 2/1/44 | 190,000 | 228,509 | ||||||
Anheuser-Busch InBev Worldwide, Inc. |
| |||||||
4.15%, 1/23/25 | 89,000 | 99,252 | ||||||
4.00%, 4/13/28 | 350,000 | 395,437 | ||||||
4.75%, 1/23/29 | 792,000 | 939,322 | ||||||
4.90%, 1/23/31 | 350,000 | 426,704 | ||||||
4.38%, 4/15/38 | 230,000 | 266,617 | ||||||
8.20%, 1/15/39 | 150,000 | 248,014 | ||||||
8.00%, 11/15/39 | 96,000 | 156,078 | ||||||
4.95%, 1/15/42 | 533,000 | 669,736 | ||||||
3.75%, 7/15/42 | 350,000 | 376,623 | ||||||
4.60%, 4/15/48 | 150,000 | 180,334 | ||||||
4.44%, 10/6/48 | 586,000 | 685,676 | ||||||
5.55%, 1/23/49 | 740,000 | 1,006,999 | ||||||
4.75%, 4/15/58 | 445,000 | 540,879 | ||||||
5.80%, 1/23/59 | 572,000 | 813,659 | ||||||
|
| |||||||
Total Belgium |
| 9,873,118 | ||||||
Bermuda – 0.1% |
| |||||||
Enstar Group Ltd. | 196,000 | 222,236 | ||||||
RenaissanceRe Holdings Ltd. | 125,000 | 140,877 | ||||||
XLIT Ltd. |
| |||||||
4.45%, 3/31/25 | 10,000 | 11,200 | ||||||
5.50%, 3/31/45(b) | 435,000 | 622,659 | ||||||
|
| |||||||
Total Bermuda |
| 996,972 | ||||||
Brazil – 0.1% |
| |||||||
Embraer Netherlands Finance B.V. |
| |||||||
5.05%, 6/15/25 | 282,000 | 308,202 | ||||||
5.40%, 2/1/27 | 100,000 | 112,786 | ||||||
Fibria Overseas Finance Ltd. | 200,000 | 215,787 | ||||||
Vale Overseas Ltd. | 200,000 | 264,145 | ||||||
Vale S.A. | 415,000 | 486,975 | ||||||
|
| |||||||
Total Brazil |
| 1,387,895 | ||||||
Canada – 1.3% |
| |||||||
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) | 504,000 | 543,622 | ||||||
Barrick Gold Corp. | 206,000 | 273,151 | ||||||
Barrick North America Finance LLC |
| |||||||
5.70%, 5/30/41 | 130,000 | 176,727 | ||||||
5.75%, 5/1/43 | 82,000 | 115,823 | ||||||
Bell Canada, Inc. | 450,000 | 545,982 | ||||||
Brookfield Asset Management, Inc. | 110,000 | 121,375 | ||||||
Brookfield Finance, Inc. | 50,000 | 55,593 | ||||||
Canadian National Railway Co. | 325,000 | 448,300 | ||||||
Canadian Natural Resources Ltd. |
| |||||||
3.45%, 11/15/21 | 15,000 | 15,422 | ||||||
2.95%, 1/15/23 | 125,000 | 129,091 | ||||||
3.85%, 6/1/27 | 556,000 | 591,262 | ||||||
7.20%, 1/15/32 | 30,000 | 41,503 | ||||||
6.50%, 2/15/37 | 4,000 | 5,352 | ||||||
6.25%, 3/15/38 | 605,000 | 789,827 | ||||||
6.75%, 2/1/39 | 15,000 | 21,039 | ||||||
4.95%, 6/1/47 | 35,000 | 41,674 | ||||||
Canadian Pacific Railway Co. |
| |||||||
4.00%, 6/1/28 | 46,000 | 53,139 | ||||||
4.80%, 9/15/35 | 45,000 | 57,858 | ||||||
4.80%, 8/1/45 | 175,000 | 236,427 | ||||||
Cenovus Energy, Inc. |
| |||||||
4.25%, 4/15/27(b) | 250,000 | 268,328 | ||||||
5.25%, 6/15/37 | 90,000 | 96,216 | ||||||
6.75%, 11/15/39 | 371,000 | 459,574 | ||||||
5.40%, 6/15/47(b) | 195,000 | 214,078 | ||||||
Emera U.S. Finance L.P. |
| |||||||
3.55%, 6/15/26 | 446,000 | 484,742 | ||||||
4.75%, 6/15/46 | 410,000 | 504,757 | ||||||
Enbridge, Inc. |
| |||||||
4.00%, 10/1/23 | 50,000 | 53,493 | ||||||
4.25%, 12/1/26 | 15,000 | 16,781 | ||||||
3.70%, 7/15/27 | 250,000 | 272,259 | ||||||
4.50%, 6/10/44 | 388,000 | 448,038 | ||||||
Fairfax Financial Holdings Ltd. | 150,000 | 169,413 |
See Notes to Financial Statements.
114 | WisdomTree Trust |
Table of Contents
Schedule of Investments (unaudited) (continued)
WisdomTree Yield Enhanced U.S. Aggregate Bond Fund (AGGY)
February 29, 2020
Investments | Principal Amount | Value | ||||||
Fortis, Inc. | $ | 206,000 | $ | 218,804 | ||||
Magna International, Inc. | 114,000 | 127,964 | ||||||
Manulife Financial Corp. |
| |||||||
4.15%, 3/4/26 | 255,000 | 290,027 | ||||||
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 | 26,912 | ||||||
Methanex Corp. |
| |||||||
4.25%, 12/1/24 | 6,000 | 6,395 | ||||||
5.25%, 12/15/29 | 85,000 | 90,569 | ||||||
Nutrien Ltd. |
| |||||||
3.15%, 10/1/22 | 15,000 | 15,573 | ||||||
3.50%, 6/1/23 | 200,000 | 211,018 | ||||||
3.63%, 3/15/24 | 24,000 | 25,811 | ||||||
4.20%, 4/1/29 | 182,000 | 207,162 | ||||||
4.13%, 3/15/35 | 55,000 | 61,242 | ||||||
5.88%, 12/1/36 | 50,000 | 64,633 | ||||||
5.63%, 12/1/40 | 30,000 | 38,548 | ||||||
6.13%, 1/15/41 | 226,000 | 301,419 | ||||||
4.90%, 6/1/43 | 82,000 | 95,184 | ||||||
5.25%, 1/15/45 | 30,000 | 37,677 | ||||||
Ovintiv, Inc. |
| |||||||
3.90%, 11/15/21 | 55,000 | 56,750 | ||||||
8.13%, 9/15/30 | 35,000 | 44,134 | ||||||
7.38%, 11/1/31 | 35,000 | 42,617 | ||||||
6.50%, 8/15/34 | 120,000 | 129,422 | ||||||
6.63%, 8/15/37 | 65,000 | 71,967 | ||||||
6.50%, 2/1/38 | 212,000 | 234,368 | ||||||
Rogers Communications, Inc. |
| |||||||
4.10%, 10/1/23 | 552,000 | 600,614 | ||||||
4.50%, 3/15/43 | 340,000 | 403,257 | ||||||
5.45%, 10/1/43 | 107,000 | 143,549 | ||||||
5.00%, 3/15/44 | 343,000 | 442,933 | ||||||
4.30%, 2/15/48 | 100,000 | 118,307 | ||||||
Royal Bank of Canada | 177,000 | 204,866 | ||||||
Suncor Energy, Inc. |
| |||||||
3.60%, 12/1/24 | 344,000 | 372,125 | ||||||
7.15%, 2/1/32 | 122,000 | 179,877 | ||||||
5.95%, 12/1/34 | 141,000 | 195,204 | ||||||
5.95%, 5/15/35 | 36,000 | 49,746 | ||||||
6.80%, 5/15/38 | 318,000 | 464,243 | ||||||
6.50%, 6/15/38 | 70,000 | 99,763 | ||||||
6.85%, 6/1/39 | 100,000 | 147,023 | ||||||
4.00%, 11/15/47 | 350,000 | 384,690 | ||||||
Teck Resources Ltd. |
| |||||||
6.13%, 10/1/35 | 130,000 | 154,806 | ||||||
6.00%, 8/15/40 | 200,000 | 226,809 | ||||||
5.40%, 2/1/43 | 230,000 | 236,162 | ||||||
TELUS Corp. | 120,000 | 133,592 | ||||||
Thomson Reuters Corp. |
| |||||||
5.85%, 4/15/40 | 110,000 | 145,435 | ||||||
5.65%, 11/23/43 | 90,000 | 120,769 | ||||||
Toronto-Dominion Bank (The) | ||||||||
3.63%, 9/15/31, (3.625% fixed rate until 9/15/26; 5-year U.S. dollar Swap Rate + 2.205% thereafter)(b)(d) | 180,000 | 196,178 | ||||||
TransCanada PipeLines Ltd. |
| |||||||
3.75%, 10/16/23 | 25,000 | 26,663 | ||||||
4.25%, 5/15/28(b) | 435,000 | 487,690 | ||||||
4.63%, 3/1/34 | 760,000 | 891,712 | ||||||
6.20%, 10/15/37 | 65,000 | 88,209 | ||||||
7.25%, 8/15/38 | 100,000 | 151,443 | ||||||
7.63%, 1/15/39 | 65,000 | 101,711 | ||||||
6.10%, 6/1/40 | 538,000 | 752,282 | ||||||
5.10%, 3/15/49 | 50,000 | 62,362 | ||||||
|
| |||||||
Total Canada |
| 17,231,062 | ||||||
China – 0.1% |
| |||||||
Alibaba Group Holding Ltd. | 230,000 | 247,925 | ||||||
Baidu, Inc. | 400,000 | 432,403 | ||||||
CNOOC Finance 2013 Ltd. | 250,000 | 261,342 | ||||||
|
| |||||||
Total China |
| 941,670 | ||||||
Colombia – 0.1% |
| |||||||
Ecopetrol S.A. |
| |||||||
5.88%, 9/18/23 | 205,000 | 227,379 | ||||||
4.13%, 1/16/25 | 212,000 | 223,960 | ||||||
5.38%, 6/26/26 | 200,000 | 224,430 | ||||||
7.38%, 9/18/43 | 208,000 | 284,741 | ||||||
5.88%, 5/28/45 | 400,000 | 479,374 | ||||||
|
| |||||||
Total Colombia |
| 1,439,884 | ||||||
France – 0.1% |
| |||||||
Orange S.A. |
| |||||||
9.00%, 3/1/31 | 384,000 | 615,657 | ||||||
5.38%, 1/13/42 | 25,000 | 34,872 | ||||||
Veolia Environnement S.A. | 33,000 | 49,567 | ||||||
|
| |||||||
Total France |
| 700,096 | ||||||
Germany – 0.1% |
| |||||||
Deutsche Bank AG |
| |||||||
3.70%, 5/30/24 | 205,000 | 213,147 | ||||||
4.10%, 1/13/26 | 75,000 | 78,968 | ||||||
Deutsche Telekom International Finance B.V. |
| |||||||
8.75%, 6/15/30 | 831,000 | 1,259,576 | ||||||
9.25%, 6/1/32 | 48,000 | 79,443 | ||||||
|
| |||||||
Total Germany |
| 1,631,134 | ||||||
Ireland – 0.1% |
| |||||||
AerCap Ireland Capital DAC |
| |||||||
5.00%, 10/1/21 | 175,000 | 183,404 | ||||||
3.95%, 2/1/22 | 150,000 | 155,496 | ||||||
4.88%, 1/16/24 | 276,000 | 300,681 | ||||||
3.65%, 7/21/27 | 200,000 | 206,430 | ||||||
|
| |||||||
Total Ireland |
| 846,011 |
See Notes to Financial Statements.
WisdomTree Trust | 115 |
Table of Contents
Schedule of Investments (unaudited) (continued)
WisdomTree Yield Enhanced U.S. Aggregate Bond Fund (AGGY)
February 29, 2020
Investments | Principal Amount | Value | ||||||
Japan – 0.3% |
| |||||||
Beam Suntory, Inc. | $ | 35,000 | $ | 36,181 | ||||
Mitsubishi UFJ Financial Group, Inc. |
| |||||||
3.29%, 7/25/27 | 375,000 | 405,960 | ||||||
3.96%, 3/2/28 | 215,000 | 242,827 | ||||||
4.05%, 9/11/28 | 10,000 | 11,353 | ||||||
3.74%, 3/7/29 | 606,000 | 680,423 | ||||||
Mizuho Financial Group, Inc. |
| |||||||
3.17%, 9/11/27 | 325,000 | 350,638 | ||||||
4.02%, 3/5/28 | 425,000 | 485,260 | ||||||
ORIX Corp. | 80,000 | 88,109 | ||||||
Sumitomo Mitsui Financial Group, Inc. |
| |||||||
2.63%, 7/14/26 | 180,000 | 188,121 | ||||||
3.45%, 1/11/27 | 153,000 | 167,176 | ||||||
3.36%, 7/12/27 | 8,000 | 8,762 | ||||||
3.54%, 1/17/28 | 300,000 | 331,856 | ||||||
3.94%, 7/19/28 | 329,000 | 374,114 | ||||||
4.31%, 10/16/28 | 636,000 | 744,328 | ||||||
3.04%, 7/16/29 | 250,000 | 265,984 | ||||||
Takeda Pharmaceutical Co., Ltd. | 245,000 | 299,471 | ||||||
|
| |||||||
Total Japan |
| 4,680,563 | ||||||
Luxembourg – 0.1% |
| |||||||
ArcelorMittal S.A. |
| |||||||
6.13%, 6/1/25 | 318,000 | 368,352 | ||||||
4.55%, 3/11/26 | 327,000 | 354,798 | ||||||
7.00%, 10/15/39 | 96,000 | 121,326 | ||||||
|
| |||||||
Total Luxembourg |
| 844,476 | ||||||
Macau – 0.0% |
| |||||||
Sands China Ltd. | 200,000 | 227,030 | ||||||
Mexico – 0.7% |
| |||||||
America Movil S.A.B. de C.V. | 415,000 | 460,962 | ||||||
Grupo Televisa S.A.B. | ||||||||
6.63%, 3/18/25 | 300,000 | 361,928 | ||||||
6.63%, 1/15/40 | 50,000 | 68,703 | ||||||
5.00%, 5/13/45 | 200,000 | 234,445 | ||||||
Petroleos Mexicanos | ||||||||
4.63%, 9/21/23(b) | 35,000 | 36,319 | ||||||
4.50%, 1/23/26 | 100,000 | 98,035 | ||||||
6.88%, 8/4/26 | 998,000 | 1,082,683 | ||||||
6.50%, 3/13/27 | 1,255,000 | 1,320,069 | ||||||
6.84%, 1/23/30(c) | 203,000 | 212,287 | ||||||
5.95%, 1/28/31(c) | 500,000 | 487,750 | ||||||
6.63%, 6/15/35 | 950,000 | 953,738 | ||||||
6.63%, 6/15/38 | 50,000 | 49,022 | ||||||
6.50%, 6/2/41 | 250,000 | 241,641 | ||||||
5.50%, 6/27/44 | 809,000 | 714,214 | ||||||
6.38%, 1/23/45 | 470,000 | 441,652 | ||||||
6.75%, 9/21/47 | 754,000 | 722,117 | ||||||
6.35%, 2/12/48 | 240,000 | 223,880 | ||||||
7.69%, 1/23/50(c) | 1,051,000 | 1,098,458 | ||||||
6.95%, 1/28/60(c) | 500,000 | 481,875 | ||||||
|
| |||||||
Total Mexico |
| 9,289,778 | ||||||
Netherlands – 0.8% |
| |||||||
Cooperatieve Rabobank UA |
| |||||||
4.63%, 12/1/23 | 250,000 | 271,946 | ||||||
3.75%, 7/21/26 | 775,000 | 840,883 | ||||||
5.25%, 5/24/41 | 665,000 | 957,169 | ||||||
5.75%, 12/1/43 | 275,000 | 385,037 | ||||||
ING Groep N.V. |
| |||||||
3.95%, 3/29/27 | 500,000 | 560,754 | ||||||
4.55%, 10/2/28 | 250,000 | 295,731 | ||||||
4.05%, 4/9/29(b) | 250,000 | 284,904 | ||||||
Koninklijke Ahold Delhaize N.V. | 340,000 | 460,934 | ||||||
Koninklijke Philips N.V. | 302,000 | 407,016 | ||||||
NXP B.V. | 102,000 | 117,469 | ||||||
Shell International Finance B.V. |
| |||||||
4.13%, 5/11/35 | 984,000 | 1,186,233 | ||||||
6.38%, 12/15/38 | 450,000 | 678,866 | ||||||
3.63%, 8/21/42 | 200,000 | 215,809 | ||||||
4.55%, 8/12/43 | 78,000 | 97,540 | ||||||
4.38%, 5/11/45 | 1,023,000 | 1,262,554 | ||||||
4.00%, 5/10/46 | 550,000 | 644,673 | ||||||
3.75%, 9/12/46 | 700,000 | 800,601 | ||||||
3.13%, 11/7/49 | 805,000 | 832,700 | ||||||
|
| |||||||
Total Netherlands |
| 10,300,819 | ||||||
Norway – 0.1% |
| |||||||
Equinor ASA |
| |||||||
5.10%, 8/17/40 | 500,000 | 668,365 | ||||||
4.25%, 11/23/41 | 360,000 | 438,193 | ||||||
3.25%, 11/18/49 | 803,000 | 857,364 | ||||||
|
| |||||||
Total Norway |
| 1,963,922 | ||||||
Peru – 0.1% |
| |||||||
Southern Copper Corp. |
| |||||||
3.88%, 4/23/25 | 65,000 | 69,547 | ||||||
6.75%, 4/16/40 | 35,000 | 48,189 | ||||||
5.25%, 11/8/42 | 339,000 | 395,422 | ||||||
5.88%, 4/23/45 | 611,000 | 785,122 | ||||||
|
| |||||||
Total Peru |
| 1,298,280 | ||||||
Spain – 0.2% |
| |||||||
Banco Santander S.A. |
| |||||||
4.25%, 4/11/27 | 200,000 | 222,833 | ||||||
3.80%, 2/23/28 | 600,000 | 649,302 | ||||||
Telefonica Emisiones S.A. |
| |||||||
7.05%, 6/20/36 | 195,000 | 281,416 | ||||||
4.67%, 3/6/38 | 250,000 | 290,108 | ||||||
5.21%, 3/8/47 | 275,000 | 338,391 | ||||||
4.90%, 3/6/48 | 250,000 | 304,572 | ||||||
5.52%, 3/1/49 | 350,000 | 455,972 | ||||||
Telefonica Europe B.V. | 345,000 | 510,344 | ||||||
|
| |||||||
Total Spain |
| 3,052,938 | ||||||
Switzerland – 0.4% |
| |||||||
Credit Suisse Group Funding Guernsey Ltd. |
| |||||||
3.75%, 3/26/25 | 300,000 | 318,981 | ||||||
4.88%, 5/15/45 | 555,000 | 725,644 |
See Notes to Financial Statements.
116 | WisdomTree Trust |
Table of Contents
Schedule of Investments (unaudited) (continued)
WisdomTree Yield Enhanced U.S. Aggregate Bond Fund (AGGY)
February 29, 2020
Investments | Principal Amount | Value | ||||||
Novartis Capital Corp. |
| |||||||
2.20%, 8/14/30 | $ | 500,000 | $ | 517,172 | ||||
3.70%, 9/21/42 | 450,000 | 535,658 | ||||||
4.40%, 5/6/44 | 755,000 | 970,380 | ||||||
4.00%, 11/20/45 | 275,000 | 343,797 | ||||||
2.75%, 8/14/50 | 500,000 | 519,842 | ||||||
Syngenta Finance N.V. | 614,000 | 626,282 | ||||||
Tyco Electronics Group S.A. | 120,000 | 130,547 | ||||||
|
| |||||||
Total Switzerland |
| 4,688,303 | ||||||
United Kingdom – 1.8% |
| |||||||
AstraZeneca PLC |
| |||||||
2.38%, 6/12/22 | 250,000 | 255,550 | ||||||
3.38%, 11/16/25 | 394,000 | 431,921 | ||||||
3.13%, 6/12/27 | 307,000 | 333,331 | ||||||
6.45%, 9/15/37 | 490,000 | 726,223 | ||||||
4.00%, 9/18/42 | 125,000 | 149,686 | ||||||
4.38%, 11/16/45 | 340,000 | 441,462 | ||||||
4.38%, 8/17/48(b) | 30,000 | 38,341 | ||||||
Barclays PLC | ||||||||
4.61%, 2/15/23, (4.61% fixed rate until 2/15/22; 3-month U.S. dollar London Interbank Offered Rate + 1.40% thereafter)(d) | 340,000 | 357,497 | ||||||
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) | 245,000 | 261,014 | ||||||
3.93%, 5/7/25, (3.932% fixed rate until 5/7/24; 3-month U.S. dollar London Interbank Offered Rate + 1.61% thereafter)(d) | 200,000 | 213,200 | ||||||
4.38%, 1/12/26 | 200,000 | 221,161 | ||||||
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 | 665,114 | ||||||
5.25%, 8/17/45 | 200,000 | 255,248 | ||||||
4.95%, 1/10/47 | 250,000 | 312,335 | ||||||
BAT Capital Corp. | ||||||||
3.22%, 8/15/24 | 300,000 | 315,272 | ||||||
3.56%, 8/15/27 | 1,133,000 | 1,189,405 | ||||||
4.39%, 8/15/37 | 250,000 | 265,189 | ||||||
4.54%, 8/15/47 | 217,000 | 226,268 | ||||||
BP Capital Markets PLC | ||||||||
3.51%, 3/17/25 | 133,000 | 144,707 | ||||||
3.28%, 9/19/27 | 656,000 | 705,713 | ||||||
3.72%, 11/28/28(b) | 493,000 | 549,528 | ||||||
British Telecommunications PLC | ||||||||
5.13%, 12/4/28 | 250,000 | 300,839 | ||||||
9.63%, 12/15/30 | 302,000 | 478,819 | ||||||
CNH Industrial N.V. | 25,000 | 26,678 | ||||||
GlaxoSmithKline Capital, Inc. | ||||||||
3.63%, 5/15/25 | 149,000 | 164,351 | ||||||
3.88%, 5/15/28 | 949,000 | 1,089,272 | ||||||
HSBC Holdings PLC | ||||||||
4.25%, 8/18/25 | 358,000 | 388,014 | ||||||
4.38%, 11/23/26 | 250,000 | 271,877 | ||||||
4.04%, 3/13/28, (4.041% fixed rate until 3/13/27; 3-month U.S. dollar London Interbank Offered Rate + 1.546% thereafter)(d) | 506,000 | 555,023 | ||||||
3.97%, 5/22/30, (3.973% fixed rate until 5/22/29; 3-month U.S. dollar London Interbank Offered Rate + 1.61% thereafter)(d) | 765,000 | 838,209 | ||||||
Janus Capital Group, Inc. | 2,000 | 2,238 | ||||||
Lloyds Banking Group PLC | ||||||||
4.45%, 5/8/25 | 205,000 | 228,950 | ||||||
4.58%, 12/10/25 | 250,000 | 273,315 | ||||||
4.65%, 3/24/26 | 320,000 | 350,707 | ||||||
4.55%, 8/16/28 | 550,000 | 632,934 | ||||||
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) | 450,000 | 477,282 | ||||||
5.30%, 12/1/45 | 245,000 | 316,705 | ||||||
Reynolds American, Inc. | ||||||||
4.45%, 6/12/25 | 190,000 | 209,527 | ||||||
5.70%, 8/15/35 | 125,000 | 149,131 | ||||||
6.15%, 9/15/43 | 570,000 | 688,131 | ||||||
5.85%, 8/15/45 | 534,000 | 639,292 | ||||||
Royal Bank of Scotland Group PLC | ||||||||
3.50%, 5/15/23, (3.498% fixed rate until 5/15/22; 3-month U.S. dollar London Interbank Offered Rate + 1.48% thereafter)(d) | 200,000 | 206,932 | ||||||
3.88%, 9/12/23 | 205,000 | 217,902 | ||||||
6.00%, 12/19/23 | 433,000 | 485,133 | ||||||
5.13%, 5/28/24 | 475,000 | 520,321 | ||||||
4.52%, 6/25/24, (4.519% fixed rate until 6/25/23; 3-month U.S. dollar London Interbank Offered Rate + 1.55% thereafter)(d) | 225,000 | 241,937 | ||||||
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) | 230,000 | 268,820 | ||||||
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) | 200,000 | 237,010 | ||||||
Santander UK Group Holdings PLC | ||||||||
3.57%, 1/10/23 | 400,000 | 412,432 | ||||||
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) | 600,000 | 652,921 | ||||||
Unilever Capital Corp. | ||||||||
2.90%, 5/5/27 | 295,000 | 318,942 | ||||||
3.50%, 3/22/28 | 320,000 | 357,797 |
See Notes to Financial Statements.
WisdomTree Trust | 117 |
Table of Contents
Schedule of Investments (unaudited) (continued)
WisdomTree Yield Enhanced U.S. Aggregate Bond Fund (AGGY)
February 29, 2020
Investments | Principal Amount | Value | ||||||
Vodafone Group PLC | ||||||||
3.75%, 1/16/24 | $ | 328,000 | $ | 352,875 | ||||
4.13%, 5/30/25 | 95,000 | 106,161 | ||||||
4.38%, 5/30/28 | 852,000 | 979,620 | ||||||
7.88%, 2/15/30 | 174,000 | 250,899 | ||||||
6.25%, 11/30/32 | 265,000 | 359,868 | ||||||
6.15%, 2/27/37 | 405,000 | 562,407 | ||||||
5.00%, 5/30/38 | 82,000 | 100,543 | ||||||
4.38%, 2/19/43 | 125,000 | 144,168 | ||||||
5.25%, 5/30/48 | 100,000 | 126,251 | ||||||
4.25%, 9/17/50 | 180,000 | 198,978 | ||||||
5.13%, 6/19/59 | 110,000 | 134,811 | ||||||
WPP Finance 2010 | ||||||||
3.63%, 9/7/22 | 6,000 | 6,304 | ||||||
3.75%, 9/19/24 | 380,000 | 413,784 | ||||||
|
| |||||||
Total United Kingdom |
| 23,796,275 | ||||||
TOTAL FOREIGN CORPORATE BONDS (Cost: $90,194,775) |
| 96,807,898 | ||||||
FOREIGN GOVERNMENT AGENCIES – 0.4% |
| |||||||
Canada – 0.1% |
| |||||||
Hydro-Quebec | 10,000 | 16,796 | ||||||
Province of New Brunswick Canada | 1,279,000 | 1,486,818 | ||||||
|
| |||||||
Total Canada |
| 1,503,614 | ||||||
Germany – 0.0% |
| |||||||
Kreditanstalt fuer Wiederaufbau | 377,000 | 282,641 | ||||||
Japan – 0.3% |
| |||||||
Japan Bank for International Cooperation | ||||||||
2.13%, 2/10/25, Series DTC | 200,000 | 208,380 | ||||||
1.88%, 7/21/26 | 250,000 | 258,614 | ||||||
2.88%, 6/1/27 | 570,000 | 630,193 | ||||||
2.88%, 7/21/27 | 1,150,000 | 1,274,178 | ||||||
3.50%, 10/31/28 | 500,000 | 584,972 | ||||||
|
| |||||||
Total Japan |
| 2,956,337 | ||||||
TOTAL FOREIGN GOVERNMENT AGENCIES (Cost: $4,374,254) |
| 4,742,592 | ||||||
FOREIGN GOVERNMENT OBLIGATIONS – 2.3% |
| |||||||
Chile – 0.1% |
| |||||||
Chile Government International Bond | ||||||||
3.13%, 1/21/26 | 360,000 | 381,739 | ||||||
3.24%, 2/6/28 | 518,000 | 557,826 | ||||||
|
| |||||||
Total Chile |
| 939,565 | ||||||
Colombia – 0.3% |
| |||||||
Colombia Government International Bond | ||||||||
4.50%, 1/28/26 | 550,000 | 609,936 | ||||||
3.88%, 4/25/27 | 770,000 | 829,557 | ||||||
7.38%, 9/18/37 | 662,000 | 976,076 | ||||||
6.13%, 1/18/41 | 280,000 | 379,074 | ||||||
5.63%, 2/26/44 | 200,000 | 257,689 | ||||||
5.00%, 6/15/45 | 450,000 | 545,371 | ||||||
5.20%, 5/15/49 | 200,000 | 252,187 | ||||||
|
| |||||||
Total Colombia |
| 3,849,890 | ||||||
Hungary – 0.1% |
| |||||||
Hungary Government International Bond | ||||||||
5.38%, 2/21/23 | 36,000 | 39,549 | ||||||
5.75%, 11/22/23 | 576,000 | 654,699 | ||||||
5.38%, 3/25/24 | 200,000 | 227,180 | ||||||
7.63%, 3/29/41 | 200,000 | 342,753 | ||||||
|
| |||||||
Total Hungary |
| 1,264,181 | ||||||
Indonesia – 0.1% |
| |||||||
Indonesia Government International Bond | ||||||||
4.45%, 2/11/24 | 205,000 | 222,707 | ||||||
3.50%, 1/11/28 | 200,000 | 211,820 | ||||||
4.10%, 4/24/28 | 460,000 | 506,416 | ||||||
4.35%, 1/11/48 | 250,000 | 283,137 | ||||||
5.35%, 2/11/49 | 200,000 | 263,346 | ||||||
|
| |||||||
Total Indonesia |
| 1,487,426 | ||||||
Israel – 0.0% |
| |||||||
Israel Government International Bond | 400,000 | 423,784 | ||||||
Italy – 0.1% |
| |||||||
Republic of Italy Government International Bond |
| |||||||
6.88%, 9/27/23 | 300,000 | 350,433 | ||||||
2.38%, 10/17/24 | 300,000 | 302,676 | ||||||
2.88%, 10/17/29 | 350,000 | 350,929 | ||||||
5.38%, 6/15/33 | 443,000 | 550,509 | ||||||
|
| |||||||
Total Italy |
| 1,554,547 | ||||||
Mexico – 0.6% |
| |||||||
Mexico Government International Bond | ||||||||
3.63%, 3/15/22 | 872,000 | 905,145 | ||||||
4.00%, 10/2/23 | 182,000 | 194,817 | ||||||
3.60%, 1/30/25 | 225,000 | 241,337 | ||||||
4.13%, 1/21/26 | 600,000 | 657,606 | ||||||
4.15%, 3/28/27 | 957,000 | 1,052,949 | ||||||
4.50%, 4/22/29 | 370,000 | 418,840 | ||||||
7.50%, 4/8/33, Series MTNA | 105,000 | 155,437 | ||||||
6.75%, 9/27/34, Series MTNA | 140,000 | 203,225 | ||||||
6.05%, 1/11/40 | 326,000 | 438,371 | ||||||
4.75%, 3/8/44 | 814,000 | 945,001 | ||||||
5.55%, 1/21/45 | 209,000 | 270,850 | ||||||
4.35%, 1/15/47 | 705,000 | 777,922 | ||||||
4.60%, 2/10/48 | 200,000 | 229,189 | ||||||
5.75%, 10/12/2110 | 960,000 | 1,212,898 | ||||||
|
| |||||||
Total Mexico |
| 7,703,587 | ||||||
Panama – 0.2% |
| |||||||
Panama Government International Bond | ||||||||
3.75%, 3/16/25 | 650,000 | 699,026 | ||||||
8.88%, 9/30/27 | 256,000 | 369,051 | ||||||
3.88%, 3/17/28 | 200,000 | 221,877 | ||||||
9.38%, 4/1/29 | 171,000 | 264,256 | ||||||
6.70%, 1/26/36 | 250,000 | 363,049 | ||||||
4.50%, 5/15/47 | 200,000 | 249,939 | ||||||
4.50%, 4/16/50 | 350,000 | 436,956 | ||||||
4.30%, 4/29/53 | 285,000 | 351,176 | ||||||
|
| |||||||
Total Panama |
| 2,955,330 |
See Notes to Financial Statements.
118 | WisdomTree Trust |
Table of Contents
Schedule of Investments (unaudited) (continued)
WisdomTree Yield Enhanced U.S. Aggregate Bond Fund (AGGY)
February 29, 2020
Investments | Principal Amount | Value | ||||||
Peru – 0.2% |
| |||||||
Peruvian Government International Bond | ||||||||
7.35%, 7/21/25 | $ | 110,000 | $ | 140,296 | ||||
4.13%, 8/25/27 | 154,000 | 176,385 | ||||||
2.84%, 6/20/30 | 300,000 | 320,300 | ||||||
8.75%, 11/21/33 | 261,000 | 441,745 | ||||||
6.55%, 3/14/37 | 80,000 | 121,676 | ||||||
5.63%, 11/18/50 | 708,000 | 1,093,814 | ||||||
|
| |||||||
Total Peru |
| 2,294,216 | ||||||
Philippines – 0.3% |
| |||||||
Philippine Government International Bond | ||||||||
5.50%, 3/30/26 | 600,000 | 719,235 | ||||||
3.00%, 2/1/28 | 450,000 | 481,255 | ||||||
9.50%, 2/2/30 | 557,000 | 913,374 | ||||||
7.75%, 1/14/31 | 125,000 | 190,020 | ||||||
6.38%, 1/15/32 | 285,000 | 401,165 | ||||||
3.95%, 1/20/40 | 200,000 | 243,045 | ||||||
3.70%, 3/1/41 | 300,000 | 357,854 | ||||||
3.70%, 2/2/42 | 700,000 | 835,480 | ||||||
|
| |||||||
Total Philippines |
| 4,141,428 | ||||||
Poland – 0.1% |
| |||||||
Republic of Poland Government International Bond | 568,000 | 615,260 | ||||||
Uruguay – 0.2% |
| |||||||
Uruguay Government International Bond | ||||||||
4.50%, 8/14/24 | 300,000 | 327,878 | ||||||
4.38%, 10/27/27 | 135,000 | 151,923 | ||||||
4.38%, 1/23/31 | 250,000 | 287,815 | ||||||
7.63%, 3/21/36 | 30,000 | 46,341 | ||||||
4.13%, 11/20/45 | 313,000 | 354,768 | ||||||
5.10%, 6/18/50 | 400,000 | 504,878 | ||||||
4.98%, 4/20/55 | 440,000 | 547,116 | ||||||
|
| |||||||
Total Uruguay |
| 2,220,719 | ||||||
TOTAL FOREIGN GOVERNMENT OBLIGATIONS (Cost: $26,938,919) |
| 29,449,933 | ||||||
SUPRANATIONAL BONDS – 0.1% |
| |||||||
Deutsche Bank AG | 290,000 | 302,079 | ||||||
European Investment Bank | 260,000 | 378,152 | ||||||
Inter-American Development Bank | 427,000 | 539,599 | ||||||
International Bank for Reconstruction & Development | 255,000 | 364,426 | ||||||
TOTAL SUPRANATIONAL BONDS (Cost: $1,457,899) |
| 1,584,256 | ||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES – 6.8% |
| |||||||
United States – 6.8% |
| |||||||
Banc of America Commercial Mortgage Trust | ||||||||
3.17%, 7/15/49, Series 2016-UB10, Class A4 | 255,000 | 274,414 | ||||||
3.12%, 2/15/50, Series 2017-BNK3, Class A2 | 200,000 | 205,441 | ||||||
3.37%, 2/15/50, Series 2017-BNK3, Class ASB | 500,000 | 537,078 | ||||||
3.57%, 2/15/50, Series 2017-BNK3, Class A4 | 100,000 | 111,460 | ||||||
Bank | ||||||||
4.01%, 2/15/52, Series 2019-BN16, Class A4 | 350,000 | 408,919 | ||||||
2.85%, 10/17/52, Series 2019-BN21, Class A5 | 500,000 | 540,805 | ||||||
3.02%, 6/15/60, Series 2017-BNK5, Class A3 | 500,000 | 528,483 | ||||||
3.39%, 6/15/60, Series 2017-BNK5, Class A5 | 190,000 | 210,018 | ||||||
4.23%, 9/15/60, Series 2018-BN14, Class A4^(d) | 1,577,767 | 1,858,984 | ||||||
3.43%, 2/15/61, Series 2018-BN10, Class A4 | 10,000 | 11,158 | ||||||
4.26%, 5/15/61, Series 2018-BN12, Class A4^(d) | 210,000 | 246,647 | ||||||
3.33%, 5/15/62, Series 2019-BN18, Class A3 | 300,000 | 334,942 | ||||||
2.76%, 9/15/62, Series 2019-BN20, Class A2 | 500,000 | 537,193 | ||||||
Barclays Commercial Mortgage Trust | ||||||||
3.67%, 2/15/50, Series 2017-C1, Class A4 | 400,000 | 448,603 | ||||||
2.92%, 8/15/52, Series 2019-C4, Class A5 | 750,000 | 808,844 | ||||||
Benchmark Mortgage Trust | ||||||||
3.62%, 2/15/51, Series 2018-B2, Class A4 | 350,000 | 392,869 | ||||||
3.88%, 2/15/51, Series 2018-B2, Class A5^(d) | 230,000 | 263,209 | ||||||
3.76%, 4/10/51, Series 2018-B3, Class A4 | 350,000 | 397,355 | ||||||
3.96%, 1/15/52, Series 2018-B8, Class A4 | 400,000 | 461,522 | ||||||
3.75%, 3/15/52, Series 2019-B9, Class A4 | 118,000 | 134,867 | ||||||
4.02%, 3/15/52, Series 2019-B9, Class A5 | 500,000 | 582,332 | ||||||
2.95%, 8/15/57, Series 2019-B13, Class A4 | 750,000 | 815,100 | ||||||
CD Mortgage Trust | ||||||||
2.46%, 8/10/49, Series 2016-CD1, Class A3 | 340,000 | 353,963 | ||||||
3.33%, 11/13/50, Series 2017-CD6, Class ASB | 104,000 | 112,567 | ||||||
4.21%, 8/15/51, Series 2018-CD7, Class ASB | 300,000 | 342,692 | ||||||
4.28%, 8/15/51, Series 2018-CD7, Class A4 | 250,000 | 294,449 | ||||||
CFCRE Commercial Mortgage Trust |
| |||||||
3.87%, 1/10/48, Series 2016-C3, Class A3 | 200,000 | 221,705 | ||||||
3.69%, 5/10/58, Series 2016-C4, Class AM | 500,000 | 542,614 | ||||||
Citigroup Commercial Mortgage Trust |
| |||||||
2.94%, 4/10/48, Series 2015-GC29, Class A3 | 65,000 | 68,989 |
See Notes to Financial Statements.
WisdomTree Trust | 119 |
Table of Contents
Schedule of Investments (unaudited) (continued)
WisdomTree Yield Enhanced U.S. Aggregate Bond Fund (AGGY)
February 29, 2020
Investments | Principal Amount | Value | ||||||
3.76%, 6/10/48, Series 2015-GC31, Class A4 | $ | 340,116 | $ | 375,658 | ||||
3.62%, 2/10/49, Series 2016-GC36, Class A5 | 500,000 | 552,768 | ||||||
3.46%, 12/10/49, Series 2016-P6, Class A4 | 500,000 | 553,583 | ||||||
3.72%, 12/10/49, Series 2016-P6, Class A5^(d) | 100,000 | 112,331 | ||||||
3.47%, 9/15/50, Series 2017-P8, Class A4 | 300,000 | 333,692 | ||||||
3.74%, 3/10/51, Series 2018-B2, Class A3 | 200,000 | 226,531 | ||||||
4.41%, 11/10/51, Series 2018-C6, Class A4 | 500,000 | 597,256 | ||||||
3.04%, 11/10/52, Series 2019-GC43, Class A4 | 380,000 | 414,910 | ||||||
3.52%, 9/10/58, Series 2015-GC33, Class AAB | 300,000 | 317,747 | ||||||
Commercial Mortgage Trust |
| |||||||
3.91%, 5/15/45, Series 2012-CR1, Class AM | 245,000 | 255,892 | ||||||
3.92%, 8/10/46, Series 2013-CR10, Class A3 | 99,733 | 107,335 | ||||||
4.21%, 8/10/46, Series 2013-CR10, Class A4^(d) | 195,000 | 212,097 | ||||||
4.05%, 10/10/46, Series 2013-CR12, Class A4 | 500,000 | 542,510 | ||||||
4.19%, 11/10/46, Series 2013-CR13, Class A4^(d) | 500,000 | 545,895 | ||||||
3.78%, 4/10/47, Series 2014-CR16, Class A3 | 400,000 | 433,516 | ||||||
3.50%, 8/10/47, Series 2014-CR19, Class ASB | 272,574 | 284,814 | ||||||
3.59%, 11/10/47, Series 2014-CR20, Class A4 | 500,000 | 542,784 | ||||||
3.08%, 2/10/48, Series 2015-DC1, Class A4 | 400,000 | 423,658 | ||||||
3.50%, 5/10/48, Series 2015-CR23, Class A4 | 50,000 | 54,505 | ||||||
3.51%, 8/10/48, Series 2015-CR25, Class A3 | 570,857 | 619,856 | ||||||
3.76%, 8/10/48, Series 2015-CR25, Class A4 | 300,000 | 332,483 | ||||||
3.63%, 10/10/48, Series 2015-CR26, Class A4 | 218,000 | 239,927 | ||||||
3.53%, 2/10/49, Series 2016-CR28, Class ASB | 400,000 | 423,873 | ||||||
4.26%, 8/10/50, Series 2013-CR11, Class A4 | 600,000 | 655,157 | ||||||
3.96%, 5/10/51, Series 2018-COR3, Class A2 | 400,000 | 456,293 | ||||||
4.23%, 5/10/51, Series 2018-COR3, Class A3 | 500,000 | 582,974 | ||||||
4.05%, 3/15/52, Series 2019-C15, Class A4 | 300,000 | 349,356 | ||||||
CSAIL Commercial Mortgage Trust |
| |||||||
3.49%, 11/15/48, Series 2016-C5, Class A4 | 350,000 | 369,411 | ||||||
3.81%, 11/15/48, Series 2015-C4, Class A4 | 750,000 | 832,808 | ||||||
3.31%, 11/15/49, Series 2016-C7, Class ASB | 210,000 | 220,683 | ||||||
3.79%, 4/15/50, Series 2015-C1, Class AS^(d) | 82,000 | 89,289 | ||||||
3.46%, 11/15/50, Series 2017-CX10, Class A5^(d) | 500,000 | 555,277 | ||||||
3.02%, 9/15/52, Series 2019-C17, Class A5 | 343,000 | 372,767 | ||||||
Federal Home Loan Mortgage Corp. Multifamily Structured Pass Through Certificates | ||||||||
2.57%, 9/25/20, Series K504, Class A2^(d) | 74,724 | 74,759 | ||||||
3.03%, 10/25/20, Series K714, Class A2^(d) | 180,007 | 180,555 | ||||||
4.33%, 10/25/20, Series K010, Class A2^(d) | 146,992 | 148,484 | ||||||
3.97%, 1/25/21, Series K013, Class A2^(d) | 200,000 | 203,502 | ||||||
2.87%, 12/25/21, Series K017, Class A2 | 45,540 | 46,504 | ||||||
2.27%, 3/25/22, Series K019, Class A2 | 495,875 | 503,506 | ||||||
2.79%, 6/25/22, Series KS03, Class A2 | 550,000 | 566,798 | ||||||
2.51%, 11/25/22, Series K026, Class A2 | 250,000 | 257,324 | ||||||
2.62%, 3/25/23, Series K035, Class A1 | 94,311 | 95,717 | ||||||
3.30%, 4/25/23, Series K031, Class A2^(d) | 370,000 | 391,917 | ||||||
3.31%, 5/25/23, Series K032, Class A2^(d) | 1,000,000 | 1,061,443 | ||||||
3.46%, 8/25/23, Series K035, Class A2^(d) | 775,000 | 828,127 | ||||||
3.06%, 11/25/23, Series K724, Class A2^(d) | 400,000 | 421,848 | ||||||
3.00%, 1/25/24, Series K725, Class A2 | 1,000,000 | 1,057,735 | ||||||
3.06%, 8/25/24, Series K728, Class A2^(d) | 500,000 | 533,404 | ||||||
2.49%, 11/25/24, Series K045, Class A1 | 189,365 | 194,164 | ||||||
2.67%, 12/25/24, Series K042, Class A2 | 160,000 | 169,320 | ||||||
3.06%, 12/25/24, Series K043, Class A2 | 199,000 | 214,116 | ||||||
3.02%, 1/25/25, Series K045, Class A2 | 55,000 | 59,188 | ||||||
3.16%, 5/25/25, Series KS03, Class A4^(d) | 565,000 | 606,664 | ||||||
3.33%, 5/25/25, Series K047, Class A2^(d) | 200,000 | 218,823 | ||||||
3.28%, 6/25/25, Series K048, Class A2^(d) | 600,000 | 655,393 | ||||||
3.01%, 7/25/25, Series K049, Class A2 | 360,000 | 388,905 | ||||||
3.75%, 8/25/25, Series K733, Class A2 | 750,000 | 829,951 | ||||||
3.15%, 11/25/25, Series K052, Class A2 | 125,000 | 136,275 | ||||||
2.34%, 7/25/26, Series K058, Class A1 | 532,113 | 552,016 | ||||||
2.86%, 10/25/26, Series K065, Class A1 | 307,267 | 324,757 | ||||||
3.22%, 3/25/27, Series K064, Class A2 | 1,500,000 | 1,660,140 | ||||||
3.33%, 5/25/27, Series K065, Class AM | 59,000 | 65,613 | ||||||
3.36%, 11/25/27, Series K071, Class AM^(d) | 200,000 | 223,202 | ||||||
3.44%, 12/25/27, Series K072, Class A2 | 420,000 | 473,866 | ||||||
3.35%, 1/25/28, Series K073, Class A2 | 300,000 | 336,672 | ||||||
3.93%, 6/25/28, Series K079, Class A2 | 400,000 | 468,902 | ||||||
3.86%, 11/25/28, Series K086, Class A2^(d) | 400,000 | 469,335 | ||||||
3.77%, 12/25/28, Series K087, Class A2 | 1,050,000 | 1,225,260 | ||||||
3.56%, 1/25/29, Series K089, Class A2 | 1,040,000 | 1,198,015 | ||||||
3.63%, 1/25/29, Series K089, Class AM^(d) | 750,000 | 863,699 | ||||||
3.29%, 3/25/29, Series K153, Class A2^(d) | 615,000 | 695,777 | ||||||
3.51%, 3/25/29, Series K091, Class A2 | 1,000,000 | 1,148,440 | ||||||
3.30%, 4/25/29, Series K092, Class A2 | 1,000,000 | 1,133,563 | ||||||
2.65%, 11/25/29, Series K103, Class A2 | 700,000 | 762,824 | ||||||
3.75%, 11/25/29, Series K155, Class A1 | 1,494,463 | 1,665,827 | ||||||
3.95%, 12/25/29, Series K159, Class A1 | 199,956 | 228,506 | ||||||
Federal National Mortgage Association Alternative Credit Enhancement Securities | ||||||||
2.73%, 10/25/21, Series 2012-M1, Class A2 | 354,633 | 361,245 |
See Notes to Financial Statements.
120 | WisdomTree Trust |
Table of Contents
Schedule of Investments (unaudited) (continued)
WisdomTree Yield Enhanced U.S. Aggregate Bond Fund (AGGY)
February 29, 2020
Investments | Principal Amount | Value | ||||||
2.72%, 2/25/22, Series 2012-M2, Class A2 | $ | 339,655 | $ | 345,887 | ||||
2.38%, 5/25/22, Series 2012-M13, Class A2 | 68,458 | 70,045 | ||||||
2.30%, 9/25/22, Series 2012-M14, Class A2^(d) | 37,933 | 38,744 | ||||||
2.62%, 4/25/23, Series 2013-M14, Class APT^(d) | 35,391 | 36,415 | ||||||
2.16%, 10/25/23, Series 2016-M7, Class AV2 | 499,947 | 511,291 | ||||||
3.33%, 10/25/23, Series 2013-M14, Class A2^(d) | 83,726 | 89,085 | ||||||
3.48%, 1/25/24, Series 2014-M3, Class A2^(d) | 84,899 | 91,304 | ||||||
3.10%, 7/25/24, Series 2014-M9, Class A2^(d) | 584,345 | 622,072 | ||||||
2.30%, 10/25/24, Series 2015-M3, Class A1 | 22,935 | 22,936 | ||||||
2.58%, 3/25/26, Series 2016-M4, Class A2 | 268,000 | 283,805 | ||||||
2.14%, 5/25/26, Series 2016-M6, Class A1 | 162,461 | 166,594 | ||||||
2.00%, 6/25/26, Series 2016-M9, Class A1 | 402,671 | 411,090 | ||||||
2.50%, 9/25/26, Series 2016-M7, Class A2 | 190,000 | 200,416 | ||||||
2.42%, 10/25/26, Series 2017-M1, Class A2^(d) | 500,000 | 530,180 | ||||||
2.80%, 2/25/27, Series 2017-M2, Class A2^(d) | 1,000,000 | 1,085,710 | ||||||
2.63%, 4/25/27, Series 2015-M10, Class A1 | 631,882 | 655,911 | ||||||
3.14%, 11/25/27, Series 2017-M15, Class ATS2^(d) | 500,000 | 544,316 | ||||||
3.05%, 3/25/28, Series 2018-M7, Class A2^(d) | 615,000 | 682,257 | ||||||
3.33%, 6/25/28, Series 2018-M8, Class A2^(d) | 80,000 | 90,395 | ||||||
3.30%, 8/1/28, Series 2019-M6, Class A1 | 983,447 | 1,066,121 | ||||||
3.45%, 1/1/29, Series 2019-M6, Class A2 | 210,000 | 238,698 | ||||||
3.27%, 1/25/29, Series 2019 -M5, Class A2 | 750,000 | 845,454 | ||||||
3.18%, 4/25/29, Series 2017-M5, Class A2^(d) | 64,000 | 71,818 | ||||||
2.99%, 2/25/30, Series 2018-M3, Class A1^(d) | 971,663 | 1,048,426 | ||||||
3.70%, 9/25/30, Series 2018-M13, Class A2^(d) | 300,000 | 353,554 | ||||||
2.94%, 7/25/39, Series 2016-M11, Class AL | 850,036 | 873,941 | ||||||
GS Mortgage Securities Trust |
| |||||||
4.24%, 8/10/46, Series 2013-GC14, Class A5 | 85,000 | 92,191 | ||||||
4.00%, 4/10/47, Series 2014-GC20, Class A5 | 250,000 | 272,166 | ||||||
3.86%, 6/10/47, Series 2014-GC22, Class A5 | 70,000 | 76,263 | ||||||
3.67%, 9/10/47, Series 2014-GC24, Class A4 | 300,000 | 325,091 | ||||||
3.93%, 9/10/47, Series 2014-GC24, Class A5 | 500,000 | 547,303 | ||||||
3.47%, 11/10/48, Series 2015-GS1, Class A2 | 850,000 | 929,696 | ||||||
2.85%, 10/10/49, Series 2016-GS3, Class A4 | 235,000 | 249,916 | ||||||
3.44%, 11/10/49, Series 2016-GS4, Class A4^(d) | 265,000 | 291,269 | ||||||
3.43%, 5/10/50, Series 2017-GS6, Class A3 | 400,000 | 440,899 | ||||||
3.43%, 8/10/50, Series 2017-GS7, Class A4 | 520,000 | 577,900 | ||||||
3.99%, 3/10/51, Series 2018-GS9, Class A4^(d) | 500,000 | 573,763 | ||||||
3.70%, 2/10/52, Series 2019-GC38, Class A3 | 300,000 | 342,645 | ||||||
3.97%, 2/10/52, Series 2019-GC38, Class A4 | 300,000 | 348,990 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust | ||||||||
4.08%, 1/15/46, Series 2013-C13, Class AS^(d) | 425,000 | 457,470 | ||||||
3.81%, 7/15/47, Series 2014-C20, Class A5 | 500,000 | 543,692 | ||||||
2.82%, 8/15/49, Series 2016-JP2, Class A4 | 200,000 | 212,950 | ||||||
2.87%, 8/15/49, Series 2016-JP3, Class A5 | 375,000 | 400,633 | ||||||
JPMBB Commercial Mortgage Securities Trust | ||||||||
3.66%, 7/15/45, Series 2013-C12, Class A5 | 100,000 | 106,622 | ||||||
4.13%, 8/15/46, Series 2013-C14, Class A4^(d) | 95,000 | 102,836 | ||||||
3.93%, 1/15/47, Series 2013-C17, Class A3 | 91,925 | 99,062 | ||||||
4.00%, 4/15/47, Series 2014-C19, Class A4 | 200,000 | 218,299 | ||||||
3.37%, 11/15/47, Series 2014-C24, Class A4A1 | 800,000 | 858,945 | ||||||
3.29%, 1/15/48, Series 2014-C26, Class ASB | 140,977 | 146,620 | ||||||
3.34%, 5/15/48, Series 2015-C29, Class A3A1 | 250,000 | 267,964 | ||||||
3.60%, 11/15/48, Series 2015-C32, Class A5 | 500,000 | 549,826 | ||||||
JPMCC Commercial Mortgage Securities Trust | ||||||||
3.46%, 3/15/50, Series 2017-JP5, Class A4 | 400,000 | 443,972 | ||||||
3.39%, 6/13/52, Series 2019-COR5, Class A4 | 500,000 | 556,534 | ||||||
JPMDB Commercial Mortgage Securities Trust 3.41%, 3/15/50, Series 2017-C5, Class A4 | 550,000 | 604,245 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust | ||||||||
3.48%, 11/15/45, Series 2012-C6, Class AS | 100,000 | 104,234 |
See Notes to Financial Statements.
WisdomTree Trust | 121 |
Table of Contents
Schedule of Investments (unaudited) (continued)
WisdomTree Yield Enhanced U.S. Aggregate Bond Fund (AGGY)
February 29, 2020
Investments | Principal Amount | Value | ||||||
2.92%, 2/15/46, Series 2013-C7, Class A4 | $ | 2,035,000 | $ | 2,108,146 | ||||
3.89%, 6/15/47, Series 2014-C16, Class A5 | 70,000 | 76,226 | ||||||
3.53%, 12/15/47, Series 2014-C19, Class A4 | 365,167 | 396,231 | ||||||
3.07%, 2/15/48, Series 2015-C20, Class ASB | 246,408 | 255,252 | ||||||
3.25%, 2/15/48, Series 2015-C20, Class A4 | 200,000 | 214,784 | ||||||
3.08%, 3/15/48, Series 2015-C21, Class A3 | 622,012 | 660,862 | ||||||
3.04%, 4/15/48, Series 2015-C22, Class ASB | 200,000 | 207,185 | ||||||
3.31%, 4/15/48, Series 2015-C22, Class A4 | 95,000 | 102,594 | ||||||
3.73%, 5/15/48, Series 2015-C24, Class A4 | 250,000 | 275,317 | ||||||
3.10%, 11/15/49, Series 2016-C31, Class A5 | 500,000 | 541,053 | ||||||
3.72%, 7/15/50, Series 2015-C23, Class A4 | 175,000 | 193,033 | ||||||
Morgan Stanley Capital I Trust | ||||||||
3.77%, 3/15/45, Series 2012-C4, Class AS | 280,000 | 290,539 | ||||||
2.86%, 11/15/49, Series 2016-BNK2, Class ASB | 300,000 | 315,442 | ||||||
3.26%, 6/15/50, Series 2017-H1, Class A4 | 500,000 | 545,513 | ||||||
3.81%, 3/15/52, Series 2019-L2, Class A3 | 275,000 | 314,951 | ||||||
3.01%, 7/15/52, Series 2019-H7, Class A3 | 400,000 | 434,907 | ||||||
SG Commercial Mortgage Securities Trust | 300,000 | 320,797 | ||||||
UBS Commercial Mortgage Trust | ||||||||
3.47%, 11/15/50 | 300,000 | 333,940 | ||||||
3.78%, 11/15/50, Series 2017-C5, Class AS^(d) | 400,000 | 446,472 | ||||||
3.68%, 12/15/50, Series 2017-C7, Class A4 | 250,000 | 281,861 | ||||||
4.45%, 12/15/51, Series 2018-C14, Class A4 | 1,000,000 | 1,194,705 | ||||||
UBS-Citigroup Commercial Mortgage Trust | 163,235 | 166,651 | ||||||
Wells Fargo Commercial Mortgage Trust | ||||||||
2.92%, 10/15/45, Series 2012-LC5, Class A3 | 176,445 | 182,023 | ||||||
2.91%, 2/15/48, Series 2015-C26, Class A3 | 453,940 | 480,055 | ||||||
3.17%, 2/15/48, Series 2015-C26, Class A4 | 200,000 | 213,921 | ||||||
3.64%, 6/15/48, Series 2015-C29, Class A4 | 250,000 | 274,223 | ||||||
3.70%, 11/15/48, Series 2015-C31, Class A4 | 100,000 | 110,487 | ||||||
2.65%, 8/15/49, Series 2016-BNK1, Class A3 | 500,000 | 525,675 | ||||||
2.40%, 11/15/49, Series 2016-NXS6, Class A2 | 350,000 | 353,847 | ||||||
2.92%, 11/15/49, Series 2016-NXS6, Class A4 | 265,000 | 283,278 | ||||||
3.45%, 7/15/50, Series 2017-C38, Class A5 | 200,000 | 222,081 | ||||||
3.82%, 8/15/50, Series 2014-LC16, Class A5 | 256,000 | 278,514 | ||||||
3.58%, 10/15/50, Series 2017-C40, Class A4 | 200,000 | 223,456 | ||||||
3.47%, 11/15/50, Series 2017-C41, Class A4 | 250,000 | 277,480 | ||||||
4.21%, 5/15/51, Series 2018-C44, Class A5 | 400,000 | 465,792 | ||||||
4.15%, 6/15/51, Series 2018-C45, Class ASB | 395,000 | 446,105 | ||||||
3.73%, 5/15/52, Series 2019-C50, Class A5 | 500,000 | 572,081 | ||||||
4.02%, 5/15/52, Series 2019-C50, Class ASB | 500,000 | 571,923 | ||||||
3.66%, 9/15/58, Series 2015-C30, Class A4 | 500,000 | 550,355 | ||||||
3.64%, 1/15/59, Series 2016-NXS5, Class A6 | 320,000 | 353,479 | ||||||
3.12%, 1/15/60, Series 2017-RC1, Class A2 | 120,000 | 123,328 | ||||||
WFRBS Commercial Mortgage Trust | ||||||||
2.88%, 12/15/45, Series 2012-C10, Class A3 | 500,000 | 516,696 | ||||||
4.15%, 8/15/46, Series 2013-C15, Class A4^(d) | 200,000 | 216,806 | ||||||
4.42%, 9/15/46, Series 2013-C16, Class A5 | 100,000 | 109,225 | ||||||
3.03%, 12/15/46, Series 2013-C18, Class A2 | 156 | 157 | ||||||
4.02%, 12/15/46, Series 2013-C17, Class A4 | 60,000 | 65,033 | ||||||
4.10%, 3/15/47, Series 2014-C19, Class A5 | 775,000 | 848,687 | ||||||
3.41%, 8/15/47, Series 2014-C21, Class A4 | 225,000 | 239,962 | ||||||
3.43%, 11/15/47, Series 2014-C25, Class A3 | 40,000 | 41,204 | ||||||
3.63%, 11/15/47, Series 2014-C25, Class A5 | 100,000 | 108,884 | ||||||
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES (Cost: $84,794,309) |
| 88,786,618 | ||||||
MUNICIPAL BONDS – 1.7% |
| |||||||
Denmark – 0.0% |
| |||||||
Univ. of California | ||||||||
(Cost: $362,871) | 265,000 | 392,854 | ||||||
United States – 1.7% |
| |||||||
Alameda County Joint Powers Authority | 150,000 | 259,806 |
See Notes to Financial Statements.
122 | WisdomTree Trust |
Table of Contents
Schedule of Investments (unaudited) (continued)
WisdomTree Yield Enhanced U.S. Aggregate Bond Fund (AGGY)
February 29, 2020
Investments | Principal Amount | Value | ||||||
Bay Area Toll Authority |
| |||||||
2.57%, 4/1/31 | $ | 1,225,000 | $ | 1,297,348 | ||||
6.26%, 4/1/49 | 680,000 | 1,171,511 | ||||||
City of Houston TX | 750,000 | 950,475 | ||||||
Commonwealth of Massachusetts | 150,000 | 159,233 | ||||||
Dallas Area Rapid Transit | ||||||||
6.00%, 12/1/44 | 175,000 | 275,938 | ||||||
5.02%, 12/1/48 | 130,000 | 194,099 | ||||||
Los Angeles County Public Works Financing Authority | 100,000 | 169,324 | ||||||
Los Angeles Department of Water & Power Power System Rev. | 70,000 | 120,837 | ||||||
Metropolitan Government Nashville & Davidson County Health & Educational Facs Bd | 100,000 | 113,098 | ||||||
Metropolitan Transportation Authority | 275,000 | 471,017 | ||||||
Municipal Electric Authority of Georgia | 725,000 | 1,093,554 | ||||||
New Jersey Transportation Trust Fund Authority |
| |||||||
5.75%, 12/15/28, Series C | 245,000 | 293,760 | ||||||
6.10%, 12/15/28, Series C | 85,000 | 88,260 | ||||||
New York City Water & Sewer System |
| |||||||
5.75%, 6/15/41 | 320,000 | 507,690 | ||||||
6.01%, 6/15/42 | 225,000 | 368,460 | ||||||
5.44%, 6/15/43 | 500,000 | 781,900 | ||||||
Ohio State University (The) | 380,000 | 534,983 | ||||||
Port Authority of New York & New Jersey |
| |||||||
5.65%, 11/1/40 | 525,000 | 782,990 | ||||||
4.93%, 10/1/51 | 700,000 | 1,046,031 | ||||||
4.46%, 10/1/62 | 200,000 | 273,896 | ||||||
Sales Tax Securitization Corp. |
| |||||||
4.64%, 1/1/40, Series A | 100,000 | 125,748 | ||||||
3.82%, 1/1/48 | 680,000 | 793,601 | ||||||
San Jose Redevelopment Agency Successor Agency | 510,000 | 555,018 | ||||||
State of California |
| |||||||
4.50%, 4/1/33 | 1,650,000 | 1,972,212 | ||||||
7.55%, 4/1/39 | 635,000 | 1,091,806 | ||||||
7.60%, 11/1/40 | 275,000 | 486,667 | ||||||
State of Illinois |
| |||||||
4.95%, 6/1/23 | 270,545 | 286,275 | ||||||
5.10%, 6/1/33 | 1,395,000 | 1,633,405 | ||||||
6.63%, 2/1/35 | 100,000 | 125,831 | ||||||
State of Oregon Department of Transportation 5.83%, 11/15/34 | 515,000 | 744,041 | ||||||
Texas Private Activity Bond Surface Transportation Corp. | 500,000 | 578,780 | ||||||
Texas Transportation Commission State Highway Fund | 820,000 | 1,043,794 | ||||||
University of California |
| |||||||
4.60%, 5/15/31, Series AJ | 350,000 | 423,857 | ||||||
5.77%, 5/15/43 | 230,000 | 339,538 | ||||||
4.86%, 5/15/2112, Series AD | 250,000 | 383,550 | ||||||
University of Virginia |
| |||||||
4.18%, 9/1/2117, Series C | 400,000 | 589,520 | ||||||
3.23%, 9/1/2119, Series A | 150,000 | 174,911 | ||||||
TOTAL MUNICIPAL BONDS (Cost: $20,596,066) |
| 22,695,618 | ||||||
ASSET-BACKED SECURITIES – 1.4% |
| |||||||
United States – 1.4% |
| |||||||
Ally Auto Receivables Trust | ||||||||
3.09%, 6/15/23, Series 2018-2, Class A4 | 485,000 | 498,586 | ||||||
2.91%, 9/15/23, Series 2019-1, Class A3 | 107,000 | 109,178 | ||||||
American Express Credit Account Master Trust | ||||||||
3.06%, 2/15/24, Series 2018-6, Class A | 1,250,000 | 1,280,969 | ||||||
3.18%, 4/15/24, Series 2018-8, Class A | 100,000 | 103,075 | ||||||
2.87%, 10/15/24, Series 2019-1, Class A | 400,000 | 413,884 | ||||||
2.67%, 11/15/24, Series 2019-2, Class A | 505,000 | 520,614 | ||||||
Americredit Automobile Receivables Trust | 200,000 | 203,929 | ||||||
Barclays Dryrock Issuance Trust | 200,000 | 203,650 | ||||||
BMW Vehicle Owner Trust | 50,000 | 50,922 | ||||||
Capital One Multi-Asset Execution Trust | ||||||||
2.84%, 12/15/24, Series 2019-A1, Class A1 | 854,000 | 880,336 | ||||||
2.29%, 7/15/25, Series 2017-A6, Class A6 | 1,200,000 | 1,236,477 | ||||||
Capital One Prime Auto Receivables Trust | 555,000 | 562,765 | ||||||
CarMax Auto Owner Trust | ||||||||
3.05%, 3/15/24, Series 2019-1, Class A3 | 525,000 | 539,784 | ||||||
3.27%, 3/15/24, Series 2018-3, Class A4 | 500,000 | 522,121 | ||||||
3.26%, 8/15/24, Series 2019-1, Class A4 | 256,000 | 269,457 | ||||||
Citibank Credit Card Issuance Trust | ||||||||
2.49%, 1/20/23, Series 2018-A1, Class A1 | 1,650,000 | 1,665,827 | ||||||
3.21%, 12/7/24, Series 2018-A6, Class A6 | 350,000 | 369,714 | ||||||
Discover Card Execution Note Trust | ||||||||
3.11%, 1/16/24, Series 2018-A4, Class A4 | 160,000 | 164,095 |
See Notes to Financial Statements.
WisdomTree Trust | 123 |
Table of Contents
Schedule of Investments (unaudited) (continued)
WisdomTree Yield Enhanced U.S. Aggregate Bond Fund (AGGY)
February 29, 2020
Investments | Principal Amount | Value | ||||||
3.32%, 3/15/24, Series 2018-A5, Class A5 | $ | 500,000 | $ | 515,768 | ||||
3.04%, 7/15/24, Series 2019-A1, Class A1 | 385,000 | 398,202 | ||||||
Drive Auto Receivables Trust | 300,000 | 310,931 | ||||||
Ford Credit Auto Lease Trust | 500,000 | 506,644 | ||||||
Ford Credit Auto Owner Trust | 150,000 | 153,103 | ||||||
GM Financial Automobile Leasing Trust | 200,000 | 202,480 | ||||||
GM Financial Consumer Automobile Receivables Trust | ||||||||
3.02%, 5/16/23, Series 2018-3, Class A3 | 140,000 | 142,009 | ||||||
2.97%, 11/16/23, Series 2019-1, Class A3 | 55,000 | 56,107 | ||||||
2.65%, 2/16/24, Series 2019-2, Class A3 | 495,000 | 503,427 | ||||||
3.32%, 6/17/24, Series 2018-4, Class A4 | 74,000 | 77,683 | ||||||
Honda Auto Receivables Owner Trust | ||||||||
2.83%, 3/20/23, Series 2019-1, Class A3 | 425,000 | 433,412 | ||||||
2.21%, 3/21/24, Series 2017-4, Class A4 | 60,000 | 60,574 | ||||||
3.16%, 8/19/24, Series 2018-2, Class A4 | 640,000 | 659,790 | ||||||
Hyundai Auto Receivables Trust | 155,000 | 156,224 | ||||||
Nissan Auto Lease Trust | ||||||||
2.76%, 3/15/22, Series 2019-A, Class A3 | 25,000 | 25,359 | ||||||
2.27%, 7/15/22, Series 2019-B, Class A3 | 100,000 | 101,197 | ||||||
Nissan Auto Receivables Owner Trust | ||||||||
1.95%, 10/16/23, Series 2017-B, Class A4 | 485,000 | 488,670 | ||||||
2.90%, 10/16/23, Series 2019-A, Class A3 | 250,000 | 255,935 | ||||||
Santander Drive Auto Receivables Trust | 200,000 | 203,924 | ||||||
Synchrony Card Funding LLC | ||||||||
2.95%, 3/15/25, Series 2019-A1, Class A | 140,000 | 145,004 | ||||||
2.34%, 6/15/25, Series 2019-A2, Class A | 125,000 | 128,306 | ||||||
Toyota Auto Receivables Owner Trust | 895,000 | 936,373 | ||||||
Volkswagen Auto Lease Trust | 500,000 | 503,610 | ||||||
World Financial Network Credit Card Master Trust | 500,000 | 508,084 | ||||||
World Omni Auto Receivables Trust | ||||||||
2.24%, 6/15/23, Series 2017-A, Class A4 | 75,000 | 75,782 | ||||||
3.33%, 4/15/24, Series 2018-D, Class A3 | 566,000 | 582,110 | ||||||
3.04%, 5/15/24, Series 2019-A, Class A3 | 109,000 | 111,941 | ||||||
World Omni Automobile Lease Securitization Trust | 300,000 | 304,723 | ||||||
TOTAL ASSET-BACKED SECURITIES (Cost: $17,904,515) |
| 18,142,755 | ||||||
REPURCHASE AGREEMENT – 3.0% |
| |||||||
United States – 3.0% |
| |||||||
Citigroup, Inc., tri-party repurchase agreement dated 28/2/20 (tri-party custodian: The Bank of New York Mellon Corp.), 1.61% due 3/2/20; Proceeds at maturity – $38,525,168 (fully collateralized by Fannie Mae Interest STRIPS, zero coupon – 5.50% due 5/15/30 – 2/1/47, Fannie Mae Pool, 4.00% – 8.00% due 2/1/21 – 1/1/50, Freddie Mac Gold Pool, 8.00% due 7/1/26, Freddie Mac Gold STRIPS, zero coupon – 4.50% due 12/1/32 – 8/15/48, Freddie Mac Pool, 4.00% – 5.00% due 8/1/38 – 1/1/50, Ginnie Mae I Non-level Payment, 3.50% due 8/15/59, Ginnie Mae I Single Family Platinum, 5.50% due 4/15/21, Ginnie Mae I Single Family, 6.00% due 3/15/33, Ginnie Mae II Single Family, 3.50% due 9/20/21, Resolution Funding Interest STRIPS, zero coupon due 1/15/23 – 1/15/28, U.S. Treasury Bond Coupon STRIPS, zero coupon due 5/15/24 – 11/15/33 and U.S. Treasury Bond Principal STRIPS, zero coupon due 11/15/45; Market value including accrued interest – $39,603,128) | ||||||||
(Cost: $38,520,000) | 38,520,000 | 38,520,000 |
See Notes to Financial Statements.
124 | WisdomTree Trust |
Table of Contents
Schedule of Investments (unaudited) (concluded)
WisdomTree Yield Enhanced U.S. Aggregate Bond Fund (AGGY)
February 29, 2020
Investments | Shares | Value | ||||||
INVESTMENT OF CASH COLLATERAL FOR SECURITIES LOANED – 1.0% |
| |||||||
United States – 1.0% |
| |||||||
State Street Navigator Securities Lending Government Money Market Portfolio, 1.61%(f) | ||||||||
(Cost: $13,023,825)(g) | 13,023,825 | $ | 13,023,825 | |||||
TOTAL INVESTMENTS IN SECURITIES – 101.0% (Cost: $1,247,471,282) |
| 1,311,264,962 | ||||||
Other Assets less Liabilities – (1.0)% |
| (13,351,291 | ) | |||||
|
| |||||||
NET ASSETS – 100.0% |
| $ | 1,297,913,671 |
^ | 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 29, 2020 (See Note 2). |
(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 29, 2020 on securities with variable or step rates. |
(e) | Represents a zero coupon bond. Rate shown reflects the effective yield as of February 29, 2020. |
(f) | Rate shown represents annualized 7-day yield as of February 29, 2020. |
(g) | At February 29, 2020, the total market value of the Fund’s securities on loan identified in the Schedule of Investments was $13,861,817 and the total market value of the collateral held by the Fund was $14,256,456. The total market value of the collateral includes non-cash U.S. Government securities collateral having a value of $1,232,631. |
See Notes to Financial Statements.
WisdomTree Trust | 125 |
Table of Contents
Schedule of Investments (unaudited)
WisdomTree Yield Enhanced U.S. Short-Term Aggregate Bond Fund (SHAG)
February 29, 2020
Investments | Principal Amount | Value | ||||||
U.S. GOVERNMENT AGENCIES – 2.0% |
| |||||||
Federal Home Loan Bank – 0.1% |
| |||||||
3.63%, 6/11/21 | $ | 100,000 | $ | 103,329 | ||||
Uniform Mortgage-Backed Security – 1.9% |
| |||||||
2.50%, 4/1/35(a) | 1,500,000 | 1,539,448 | ||||||
TOTAL U.S. GOVERNMENT AGENCIES (Cost: $1,629,973) |
| 1,642,777 | ||||||
U.S. GOVERNMENT OBLIGATIONS – 26.9% |
| |||||||
U.S. Treasury Bills – 3.6% |
| |||||||
1.56%, 3/31/20* | 1,865,000 | 1,862,874 | ||||||
1.57%, 5/14/20* | 1,120,000 | 1,117,081 | ||||||
|
| |||||||
Total U.S. Treasury Bills |
| 2,979,955 | ||||||
U.S. Treasury Bond – 1.8% |
| |||||||
7.63%, 11/15/22 | 1,222,000 | 1,442,509 | ||||||
U.S. Treasury Notes – 21.5% |
| |||||||
1.50%, 4/15/20 | 2,000 | 2,000 | ||||||
1.38%, 5/31/20 | 1,000 | 1,000 | ||||||
1.13%, 6/30/21 | 1,165,000 | 1,166,661 | ||||||
1.63%, 6/30/21 | 1,100,000 | 1,109,066 | ||||||
2.63%, 7/15/21 | 1,059,300 | 1,082,700 | ||||||
2.00%, 11/15/21 | 53,000 | 53,963 | ||||||
1.88%, 1/31/22 | 596,000 | 606,989 | ||||||
1.75%, 6/30/22 | 1,000 | 1,020 | ||||||
2.13%, 12/31/22 | 461,000 | 477,081 | ||||||
2.63%, 6/30/23 | 332,800 | 351,793 | ||||||
2.50%, 8/15/23 | 1,801,000 | 1,899,598 | ||||||
2.75%, 8/31/23 | 1,309,200 | 1,392,789 | ||||||
2.88%, 9/30/23 | 1,614,000 | 1,726,538 | ||||||
2.13%, 3/31/24 | 1,935,000 | 2,029,558 | ||||||
2.00%, 5/31/24 | 2,000,000 | 2,090,586 | ||||||
1.50%, 10/31/24 | 1,475,000 | 1,514,324 | ||||||
1.50%, 11/30/24 | 2,000,000 | 2,054,609 | ||||||
|
| |||||||
Total U.S. Treasury Notes |
| 17,560,275 | ||||||
TOTAL U.S. GOVERNMENT OBLIGATIONS (Cost: $21,206,654) |
| 21,982,739 | ||||||
U.S. CORPORATE BONDS – 48.0% |
| |||||||
United States – 48.0% |
| |||||||
3M Co. | 113,000 | 115,947 | ||||||
ABB Finance USA, Inc. | 746,000 | 770,491 | ||||||
AbbVie, Inc. | 449,000 | 463,550 | ||||||
2.85%, 5/14/23 | 165,000 | 170,509 | ||||||
2.60%, 11/21/24(b) | 4,000 | 4,136 | ||||||
Aetna, Inc. | 45,000 | 48,213 | ||||||
Affiliated Managers Group, Inc. | 25,000 | 27,181 | ||||||
Air Lease Corp. | 111,000 | 113,719 | ||||||
2.25%, 1/15/23 | 200,000 | 201,169 | ||||||
Aircastle Ltd. | 247,000 | 261,521 | ||||||
Allergan Finance LLC | 142,000 | 148,039 | ||||||
Allergan Funding SCS | 71,000 | 73,582 | ||||||
3.85%, 6/15/24 | 5,000 | 5,424 | ||||||
Altria Group, Inc. | 118,000 | 127,515 | ||||||
American Electric Power Co., Inc. | 2,000 | 2,009 | ||||||
American Express Co. | 124,000 | 128,064 | ||||||
3.00%, 10/30/24 | 31,000 | 32,815 | ||||||
American Honda Finance Corp. | 75,000 | 79,994 | ||||||
2.15%, 9/10/24 | 400,000 | 409,060 | ||||||
American Tower Corp. | 25,000 | 25,742 | ||||||
2.25%, 1/15/22 | 86,000 | 87,136 | ||||||
3.50%, 1/31/23 | 358,000 | 377,566 | ||||||
3.00%, 6/15/23 | 5,000 | 5,209 | ||||||
Amgen, Inc. | 164,000 | 170,007 | ||||||
2.25%, 8/19/23 | 24,000 | 24,499 | ||||||
3.63%, 5/22/24 | 95,000 | 102,676 | ||||||
Amphenol Corp. | 50,000 | 53,147 | ||||||
Anthem, Inc. | 169,000 | 176,838 | ||||||
2.38%, 1/15/25 | 150,000 | 154,124 | ||||||
Apple, Inc. | 150,000 | 154,956 | ||||||
Ares Capital Corp. | 75,000 | 76,959 | ||||||
4.20%, 6/10/24 | 144,000 | 153,045 | ||||||
Arrow Electronics, Inc. | 65,000 | 67,275 | ||||||
3.25%, 9/8/24 | 251,000 | 259,603 | ||||||
Associated Bank N.A. | 264,000 | 270,811 | ||||||
Assurant, Inc. | 64,000 | 68,923 | ||||||
AT&T, Inc. | 17,000 | 17,791 | ||||||
3.00%, 2/15/22 | 200,000 | 205,510 | ||||||
3.20%, 3/1/22 | 16,000 | 16,508 | ||||||
4.45%, 4/1/24 | 216,000 | 238,215 | ||||||
3.55%, 6/1/24 | 247,000 | 263,670 | ||||||
Bank of America Corp. | 135,000 | 146,050 | ||||||
3.12%, 1/20/23, (3.124% fixed rate until 1/20/22; 3-month U.S. dollar London Interbank Offered Rate + 1.16% thereafter)(c) | 30,000 | 30,801 | ||||||
2.88%, 4/24/23, (2.881% fixed rate until 4/24/22; 3-month U.S. dollar London Interbank Offered Rate + 1.021% thereafter)(c) | 140,000 | 143,847 |
See Notes to Financial Statements.
126 | WisdomTree Trust |
Table of Contents
Schedule of Investments (unaudited) (continued)
WisdomTree Yield Enhanced U.S. Short-Term Aggregate Bond Fund (SHAG)
February 29, 2020
Investments | Principal Amount | Value | ||||||
2.82%, 7/21/23, (2.816% fixed rate until 7/21/22; 3-month U.S. dollar London Interbank Offered Rate + 0.93% thereafter)(c) | $ | 175,000 | $ | 179,913 | ||||
3.00%, 12/20/23, (3.004% fixed rate until 12/20/22; 3-month U.S. dollar London Interbank Offered Rate + 0.79% thereafter)(c) | 150,000 | 155,504 | ||||||
4.00%, 4/1/24 | 117,000 | 127,436 | ||||||
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)(c) | 207,000 | 217,599 | ||||||
Bank of New York Mellon Corp. (The) | 111,000 | 115,338 | ||||||
Becton Dickinson and Co. | 82,000 | 84,111 | ||||||
BGC Partners, Inc. | 231,000 | 252,971 | ||||||
Black Hills Corp. | 121,000 | 131,535 | ||||||
BlackRock, Inc. | 34,000 | 36,722 | ||||||
Block Financial LLC | 43,000 | 46,577 | ||||||
Boardwalk Pipelines L.P. | 67,000 | 73,370 | ||||||
Boeing Co. (The) | 243,000 | 266,796 | ||||||
2.80%, 3/1/23 | 250,000 | 257,531 | ||||||
BP Capital Markets America, Inc. | 87,000 | 90,363 | ||||||
2.75%, 5/10/23 | 452,000 | 469,676 | ||||||
Bristol-Myers Squibb Co. | 209,000 | 218,611 | ||||||
3.25%, 11/1/23 | 3,000 | 3,195 | ||||||
Broadcom Corp. | 352,000 | 358,909 | ||||||
3.63%, 1/15/24 | 295,000 | 309,841 | ||||||
Broadcom, Inc. | 145,000 | 149,950 | ||||||
CA, Inc. | 100,000 | 103,228 | ||||||
Campbell Soup Co. | 35,000 | 37,014 | ||||||
Capital One Financial Corp. | 126,000 | 131,375 | ||||||
3.50%, 6/15/23 | 48,000 | 50,875 | ||||||
Cardinal Health, Inc. | 136,000 | 139,232 | ||||||
Caterpillar Financial Services Corp. | 191,000 | 197,235 | ||||||
2.15%, 11/8/24 | 74,000 | 75,929 | ||||||
Caterpillar, Inc. | 81,000 | 87,010 | ||||||
CC Holdings GS V LLC | 247,000 | 262,397 | ||||||
Celanese U.S. Holdings LLC | 174,000 | 183,133 | ||||||
3.50%, 5/8/24 | 141,000 | 149,794 | ||||||
Charter Communications Operating LLC | 203,000 | 215,265 | ||||||
Cigna Corp. | 233,000 | 236,286 | ||||||
4.75%, 11/15/21(b) | 222,000 | 233,526 | ||||||
3.75%, 7/15/23 | 171,000 | 182,426 | ||||||
3.50%, 6/15/24(b) | 249,000 | 265,917 | ||||||
Cimarex Energy Co. | 52,000 | 55,206 | ||||||
Citibank N.A. | 350,000 | 357,946 | ||||||
Citigroup, Inc. | 80,000 | 84,225 | ||||||
2.70%, 10/27/22 | 8,000 | 8,240 | ||||||
3.88%, 10/25/23 | 487,000 | 526,018 | ||||||
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)(c) | 95,000 | 100,611 | ||||||
CNH Industrial Capital LLC | 191,000 | 194,517 | ||||||
4.88%, 4/1/21 | 81,000 | 83,760 | ||||||
4.38%, 4/5/22 | 50,000 | 52,529 | ||||||
Comcast Corp. | 50,000 | 54,016 | ||||||
Comerica, Inc. | 83,000 | 89,198 | ||||||
CommonSpirit Health | 278,000 | 286,240 | ||||||
Constellation Brands, Inc. | 372,000 | 402,122 | ||||||
4.75%, 11/15/24 | 132,000 | 150,152 | ||||||
Crown Castle International Corp. | 153,000 | 154,193 | ||||||
5.25%, 1/15/23 | 81,000 | 88,921 | ||||||
3.15%, 7/15/23 | 178,000 | 185,703 | ||||||
3.20%, 9/1/24 | 48,000 | 50,805 | ||||||
CVS Health Corp. | 3,000 | 3,050 | ||||||
3.70%, 3/9/23 | 235,000 | 248,358 | ||||||
Dell International LLC | 140,000 | 150,401 | ||||||
Delta Air Lines, Inc. | 58,000 | 58,460 | ||||||
Discover Bank | 250,000 | 255,814 | ||||||
Dollar General Corp. | 290,000 | 304,571 | ||||||
Dominion Energy, Inc. | 33,000 | 33,337 | ||||||
3.07%, 8/15/24(c) | 188,000 | 197,497 | ||||||
Dow Chemical Co. (The) | 163,000 | 170,148 | ||||||
DTE Energy Co. | 150,000 | 153,054 | ||||||
Duke Energy Carolinas LLC | 385,000 | 403,551 |
See Notes to Financial Statements.
WisdomTree Trust | 127 |
Table of Contents
Schedule of Investments (unaudited) (continued)
WisdomTree Yield Enhanced U.S. Short-Term Aggregate Bond Fund (SHAG)
February 29, 2020
Investments | Principal Amount | Value | ||||||
Eastman Chemical Co. | $ | 115,000 | $ | 119,011 | ||||
Eaton Corp. | 191,000 | 197,980 | ||||||
Energy Transfer Operating L.P. | 120,000 | 123,804 | ||||||
5.20%, 2/1/22 | 79,000 | 83,304 | ||||||
Energy Transfer Partners L.P. | 137,000 | 147,493 | ||||||
Enterprise Products Operating LLC | 2,000 | 2,105 | ||||||
3.90%, 2/15/24 | 186,000 | 200,315 | ||||||
Exelon Generation Co. LLC | 11,000 | 11,345 | ||||||
4.25%, 6/15/22 | 163,000 | 171,699 | ||||||
FedEx Corp. | 10,000 | 10,266 | ||||||
Fifth Third Bancorp | 200,000 | 207,930 | ||||||
Fiserv, Inc. | 150,000 | 156,528 | ||||||
Ford Motor Credit Co. LLC | 195,000 | 197,131 | ||||||
3.81%, 10/12/21 | 90,000 | 91,860 | ||||||
3.35%, 11/1/22 | 350,000 | 353,279 | ||||||
Fox Corp. | 250,000 | 260,436 | ||||||
4.03%, 1/25/24(b) | 29,000 | 31,420 | ||||||
General Dynamics Corp. | 23,000 | 24,405 | ||||||
General Electric Co. | 575,000 | 587,790 | ||||||
3.10%, 1/9/23 | 289,000 | 299,906 | ||||||
General Mills, Inc. | 200,000 | 206,064 | ||||||
3.70%, 10/17/23 | 84,000 | 90,411 | ||||||
General Motors Co. | 83,000 | 90,289 | ||||||
General Motors Financial Co., Inc. | 198,000 | 201,241 | ||||||
3.45%, 1/14/22 | 155,000 | 158,402 | ||||||
3.45%, 4/10/22 | 80,000 | 82,058 | ||||||
3.15%, 6/30/22 | 161,000 | 164,818 | ||||||
3.25%, 1/5/23 | 60,000 | 61,748 | ||||||
3.70%, 5/9/23 | 148,000 | 153,804 | ||||||
5.10%, 1/17/24 | 18,000 | 19,734 | ||||||
Georgia Power Co. | 250,000 | 256,059 | ||||||
Gilead Sciences, Inc. | 111,000 | 115,891 | ||||||
3.70%, 4/1/24 | 118,000 | 126,767 | ||||||
Global Payments, Inc. | 28,000 | 28,633 | ||||||
Goldman Sachs Group, Inc. (The) | 316,000 | 340,405 | ||||||
2.91%, 7/24/23, (2.905% fixed rate until 7/24/22; 3-month U.S. dollar London Interbank Offered Rate + 0.99% thereafter)(c) | 175,000 | 179,881 | ||||||
4.00%, 3/3/24 | 165,000 | 179,510 | ||||||
Hershey Co. (The) | 7,000 | 7,478 | ||||||
Hess Corp. | 135,000 | 140,298 | ||||||
Hewlett Packard Enterprise Co. | 213,000 | 214,833 | ||||||
Host Hotels & Resorts L.P. | 105,000 | 113,767 | ||||||
HP, Inc. | 17,000 | 17,201 | ||||||
4.65%, 12/9/21 | 223,000 | 233,750 | ||||||
Huntington Bancshares, Inc. | 80,000 | 81,060 | ||||||
Ingersoll-Rand Global Holding Co., Ltd. | 100,000 | 101,201 | ||||||
International Flavors & Fragrances, Inc. | 109,000 | 113,285 | ||||||
International Lease Finance Corp. | 16,000 | 16,771 | ||||||
Invesco Finance PLC | 68,000 | 74,430 | ||||||
Jabil, Inc. | 110,000 | 117,959 | ||||||
Jefferies Financial Group, Inc. | 80,000 | 87,419 | ||||||
Jefferies Group LLC | 5,000 | 5,279 | ||||||
5.13%, 1/20/23 | 5,000 | 5,462 | ||||||
John Deere Capital Corp. | 1,000 | 1,039 | ||||||
3.65%, 10/12/23 | 82,000 | 88,945 | ||||||
2.65%, 6/24/24 | 24,000 | 25,279 | ||||||
JPMorgan Chase & Co. | 36,000 | 37,343 | ||||||
2.30%, 8/15/21 | 36,000 | 36,088 | ||||||
4.35%, 8/15/21 | 56,000 | 58,254 | ||||||
4.50%, 1/24/22 | 310,000 | 326,821 | ||||||
2.78%, 4/25/23, (2.776% fixed rate until 4/25/22; 3-month U.S. dollar London Interbank Offered Rate + 0.935% thereafter)(c) | 156,000 | 159,912 | ||||||
3.63%, 5/13/24 | 119,000 | 129,135 | ||||||
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)(c) | 100,000 | 107,054 | ||||||
3.88%, 9/10/24 | 189,000 | 204,770 | ||||||
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)(c) | 170,000 | 184,400 | ||||||
Kellogg Co. | 5,000 | 5,091 | ||||||
Keurig Dr. Pepper, Inc. | 75,000 | 76,864 |
See Notes to Financial Statements.
128 | WisdomTree Trust |
Table of Contents
Schedule of Investments (unaudited) (continued)
WisdomTree Yield Enhanced U.S. Short-Term Aggregate Bond Fund (SHAG)
February 29, 2020
Investments | Principal Amount | Value | ||||||
Kilroy Realty L.P. | $ | 249,000 | $ | 267,179 | ||||
Kinder Morgan Energy Partners L.P. | 291,000 | 304,915 | ||||||
4.15%, 2/1/24 | 47,000 | 50,644 | ||||||
KLA Corp. | 100,000 | 103,993 | ||||||
4.65%, 11/1/24 | 24,000 | 27,109 | ||||||
Kroger Co. (The) | 130,000 | 130,963 | ||||||
2.80%, 8/1/22 | 400,000 | 414,407 | ||||||
L3Harris Technologies, Inc. | 217,000 | 232,460 | ||||||
Lockheed Martin Corp. | 75,000 | 78,484 | ||||||
M&T Bank Corp. | 150,000 | 160,746 | ||||||
McCormick & Co., Inc. | 17,000 | 18,130 | ||||||
Micron Technology, Inc. | 465,000 | 509,396 | ||||||
Microsoft Corp. | 138,000 | 149,429 | ||||||
Molson Coors Beverage Co. | 172,000 | 173,386 | ||||||
Moody’s Corp. | 2,000 | 2,049 | ||||||
Morgan Stanley | 80,000 | 84,318 | ||||||
2.75%, 5/19/22 | 126,000 | 129,576 | ||||||
4.88%, 11/1/22 | 258,000 | 278,490 | ||||||
3.75%, 2/25/23 | 103,000 | 109,457 | ||||||
3.88%, 4/29/24, Series F | 141,000 | 153,184 | ||||||
3.70%, 10/23/24 | 15,000 | 16,273 | ||||||
Motorola Solutions, Inc. | 169,000 | 175,765 | ||||||
MPLX L.P. | 57,000 | 61,513 | ||||||
Newfield Exploration Co. | 22,000 | 23,598 | ||||||
Newmont Corp. | 73,000 | 74,782 | ||||||
Northrop Grumman Corp. | 514,000 | 545,275 | ||||||
Nucor Corp. | 125,000 | 134,630 | ||||||
Occidental Petroleum Corp. | 255,000 | 259,489 | ||||||
Office Properties Income Trust | 5,000 | 5,188 | ||||||
Omnicom Group, Inc. | 25,000 | 26,148 | ||||||
ONEOK, Inc. | 82,000 | 85,376 | ||||||
Oracle Corp. | 95,000 | 100,920 | ||||||
Philip Morris International, Inc. | 85,000 | 87,044 | ||||||
Plains All American Pipeline L.P. | 150,000 | 155,272 | ||||||
PNM Resources, Inc. | 13,000 | 13,185 | ||||||
Primerica, Inc. | 120,000 | 129,491 | ||||||
Private Export Funding Corp. | 41,000 | 42,506 | ||||||
Regions Financial Corp. | 150,000 | 161,560 | ||||||
Rockwell Collins, Inc. | 25,000 | 25,715 | ||||||
Roper Technologies, Inc. | 5,000 | 5,122 | ||||||
3.13%, 11/15/22 | 4,000 | 4,168 | ||||||
3.65%, 9/15/23 | 309,000 | 331,012 | ||||||
2.35%, 9/15/24 | 258,000 | 266,380 | ||||||
Royal Caribbean Cruises Ltd. | 135,000 | 135,280 | ||||||
Ryder System, Inc. | 269,000 | 276,072 | ||||||
Sabine Pass Liquefaction LLC | 385,000 | 414,363 | ||||||
Santander Holdings USA, Inc. | 369,000 | 384,602 | ||||||
Sempra Energy | 56,000 | 60,652 | ||||||
Sherwin-Williams Co. (The) | 86,000 | 88,541 | ||||||
Simon Property Group L.P. | 150,000 | 152,400 | ||||||
Southern California Edison Co. | 38,857 | 38,707 | ||||||
Southwest Airlines Co. | 11,000 | 11,330 | ||||||
Stanley Black & Decker, Inc. | 2,000 | 2,062 | ||||||
Synchrony Financial | 150,000 | 153,494 | ||||||
Synovus Financial Corp. | 4,000 | 4,107 | ||||||
Tapestry, Inc. | 115,000 | 118,387 | ||||||
Tech Data Corp. | 40,000 | 40,847 | ||||||
Time Warner Cable LLC | 176,000 | 180,944 | ||||||
Timken Co. (The) | 100,000 | 108,410 | ||||||
Toyota Motor Credit Corp. | 15,000 | 16,134 | ||||||
Trimble, Inc. | 48,000 | 53,574 | ||||||
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)(c) | 83,000 | 88,454 |
See Notes to Financial Statements.
WisdomTree Trust | 129 |
Table of Contents
Schedule of Investments (unaudited) (continued)
WisdomTree Yield Enhanced U.S. Short-Term Aggregate Bond Fund (SHAG)
February 29, 2020
Investments | Principal Amount | Value | ||||||
Truist Financial Corp. | $ | 81,000 | $ | 81,922 | ||||
3.75%, 12/6/23 | 113,000 | 121,754 | ||||||
2.50%, 8/1/24 | 150,000 | 154,995 | ||||||
2.85%, 10/26/24 | 50,000 | 52,427 | ||||||
Tyson Foods, Inc. | 161,000 | 170,323 | ||||||
3.90%, 9/28/23 | 171,000 | 184,148 | ||||||
United Technologies Corp. | 150,000 | 154,208 | ||||||
3.10%, 6/1/22 | 579,000 | 598,087 | ||||||
2.80%, 5/4/24 | 121,000 | 128,662 | ||||||
UnitedHealth Group, Inc. | 20,000 | 21,404 | ||||||
2.38%, 8/15/24 | 200,000 | 206,543 | ||||||
Ventas Realty L.P. | 124,000 | 132,702 | ||||||
Verizon Communications, Inc. | 140,000 | 145,176 | ||||||
2.45%, 11/1/22 | 44,000 | 45,187 | ||||||
ViacomCBS, Inc. | 172,000 | 177,138 | ||||||
4.25%, 9/1/23 | 117,000 | 126,606 | ||||||
Walgreen Co. | 167,000 | 172,118 | ||||||
Walmart, Inc. | 300,000 | 320,679 | ||||||
Waste Management, Inc. | 2,000 | 2,021 | ||||||
2.40%, 5/15/23 | 87,000 | 89,447 | ||||||
Wells Fargo & Co. | 84,000 | 84,663 | ||||||
3.50%, 3/8/22 | 244,000 | 253,390 | ||||||
2.63%, 7/22/22 | 266,000 | 272,790 | ||||||
2.41%, 10/30/25, (2.406% fixed rate until 10/30/24; 3-month U.S. dollar London Interbank Offered Rate + 0.825% thereafter)(c) | 4,000 | 4,097 | ||||||
Welltower, Inc. | 250,000 | 269,358 | ||||||
Western Midstream Operating L.P. | 29,000 | 29,916 | ||||||
WestRock RKT LLC | 17,000 | 18,096 | ||||||
4.00%, 3/1/23 | 159,000 | 169,055 | ||||||
Williams Cos., Inc. (The) | 225,000 | 232,091 | ||||||
Willis North America, Inc. | 155,000 | 167,050 | ||||||
Willis Towers Watson PLC | 46,000 | 47,895 | ||||||
WRKCo, Inc. | 190,000 | 199,686 | ||||||
TOTAL U.S. CORPORATE BONDS (Cost: $37,831,329) | 39,248,710 | |||||||
FOREIGN CORPORATE BONDS – 8.4% | ||||||||
Australia – 0.3% | ||||||||
Westpac Banking Corp. | 250,000 | 265,444 | ||||||
Canada – 0.4% | ||||||||
Canadian Natural Resources Ltd. | 3,000 | 3,084 | ||||||
Emera U.S. Finance L.P. | 111,000 | 112,757 | ||||||
Enbridge, Inc. | 18,000 | 19,258 | ||||||
Kinross Gold Corp. | 25,000 | 25,900 | ||||||
Rogers Communications, Inc. | 24,000 | 25,077 | ||||||
TransCanada PipeLines Ltd. | 126,000 | 128,833 | ||||||
|
| |||||||
Total Canada | 314,909 | |||||||
France – 0.2% |
| |||||||
Total Capital Canada Ltd. | 169,000 | 176,090 | ||||||
Germany – 0.6% |
| |||||||
Deutsche Bank AG | 483,000 | 498,636 | ||||||
Ireland – 0.2% |
| |||||||
AerCap Ireland Capital DAC | 98,000 | 106,764 | ||||||
Japan – 2.3% |
| |||||||
Mitsubishi UFJ Financial Group, Inc. | 391,000 | 402,132 | ||||||
3.22%, 3/7/22 | 109,000 | 112,596 | ||||||
2.67%, 7/25/22 | 389,000 | 399,323 | ||||||
Mizuho Financial Group, Inc. | 190,000 | 195,506 | ||||||
3.92%, 9/11/24, (3.922% fixed rate until 9/11/23; 3-month U.S. dollar London Interbank Offered Rate + 1.00% thereafter)(c) | 172,000 | 183,444 | ||||||
Sumitomo Mitsui Financial Group, Inc. | 175,000 | 176,991 | ||||||
2.06%, 7/14/21 | 102,000 | 102,759 | ||||||
2.44%, 10/19/21 | 290,000 | 294,409 | ||||||
2.85%, 1/11/22 | 23,000 | 23,580 | ||||||
|
| |||||||
Total Japan |
| 1,890,740 | ||||||
Luxembourg – 0.0% |
| |||||||
ArcelorMittal S.A. | 8,000 | 8,591 | ||||||
Netherlands – 0.7% |
| |||||||
Cooperatieve Rabobank UA | 308,000 | 322,620 | ||||||
NXP B.V. | 141,000 | 155,510 | ||||||
Shell International Finance B.V. | 96,000 | 98,401 | ||||||
|
| |||||||
Total Netherlands |
| 576,531 |
See Notes to Financial Statements.
130 | WisdomTree Trust |
Table of Contents
Schedule of Investments (unaudited) (continued)
WisdomTree Yield Enhanced U.S. Short-Term Aggregate Bond Fund (SHAG)
February 29, 2020
Investments | Principal Amount | Value | ||||||
Peru – 0.3% |
| |||||||
Southern Copper Corp. | $ | 208,000 | $ | 215,398 | ||||
Spain – 0.5% |
| |||||||
Banco Santander S.A. | 400,000 | 415,503 | ||||||
United Kingdom – 2.9% |
| |||||||
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)(c) | 150,000 | 159,805 | ||||||
BAT Capital Corp. | 392,000 | 402,703 | ||||||
GlaxoSmithKline Capital, Inc. | 127,000 | 132,250 | ||||||
HSBC Holdings PLC | 18,000 | 18,802 | ||||||
Reynolds American, Inc. | 121,000 | 127,437 | ||||||
4.85%, 9/15/23 | 50,000 | 55,480 | ||||||
Royal Bank of Scotland Group PLC | 341,000 | 362,461 | ||||||
4.52%, 6/25/24, (4.519% fixed rate until 6/25/23; 3-month U.S. dollar London Interbank Offered Rate + 1.55% thereafter)(c) | 327,000 | 351,615 | ||||||
Santander UK Group Holdings PLC | 84,000 | 85,105 | ||||||
Santander UK PLC | 200,000 | 208,860 | ||||||
Unilever Capital Corp. | 125,000 | 133,718 | ||||||
Vodafone Group PLC | 249,000 | 258,698 | ||||||
WPP Finance 2010 | 70,000 | 73,547 | ||||||
|
| |||||||
Total United Kingdom |
| 2,370,481 | ||||||
TOTAL FOREIGN CORPORATE BONDS (Cost: $6,553,108) |
| 6,839,087 | ||||||
FOREIGN GOVERNMENT AGENCIES – 0.1% |
| |||||||
Canada – 0.0% |
| |||||||
Province of Quebec Canada | 26,000 | 27,213 | ||||||
Germany – 0.1% |
| |||||||
Kreditanstalt fuer Wiederaufbau | 41,000 | 42,242 | ||||||
TOTAL FOREIGN GOVERNMENT AGENCIES (Cost: $66,707) |
| 69,455 | ||||||
FOREIGN GOVERNMENT OBLIGATIONS – 2.7% |
| |||||||
Colombia – 0.5% |
| |||||||
Colombia Government International Bond | 30,000 | 30,952 | ||||||
4.00%, 2/26/24 | 337,000 | 358,679 | ||||||
8.13%, 5/21/24 | 16,000 | 19,830 | ||||||
|
| |||||||
Total Colombia |
| 409,461 | ||||||
Hungary – 0.1% |
| |||||||
Hungary Government International Bond | 72,000 | 75,494 | ||||||
Italy – 0.8% |
| |||||||
Republic of Italy Government International Bond | 624,000 | 629,565 | ||||||
Mexico – 0.4% |
| |||||||
Mexico Government International Bond | 284,000 | 294,795 | ||||||
4.00%, 10/2/23 | 78,000 | 83,493 | ||||||
|
| |||||||
Total Mexico |
| 378,288 | ||||||
Panama – 0.3% |
| |||||||
Panama Government International Bond | 250,000 | 270,752 | ||||||
Poland – 0.5% |
| |||||||
Republic of Poland Government International Bond | 26,000 | 27,046 | ||||||
3.00%, 3/17/23 | 365,000 | 380,239 | ||||||
|
| |||||||
Total Poland |
| 407,285 | ||||||
Uruguay – 0.1% |
| |||||||
Uruguay Government International Bond | 55,000 | 61,161 | ||||||
TOTAL FOREIGN GOVERNMENT OBLIGATIONS (Cost: $2,170,807) |
| 2,232,006 | ||||||
SUPRANATIONAL BOND – 0.0% |
| |||||||
European Investment Bank (Cost: $1,007) | 1,000 | 1,066 | ||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES – 10.7% |
| |||||||
United States – 10.7% |
| |||||||
Citigroup Commercial Mortgage Trust | ||||||||
2.95%, 9/10/58, Series 2015-GC33, Class A2 | 246,243 | 247,126 | ||||||
Commercial Mortgage Trust | ||||||||
3.29%, 12/10/44, Series 2012-LC4, Class A4 | 457,851 | 469,894 | ||||||
3.80%, 8/10/46, Series 2013-CR10, Class ASB | 58,165 | 60,532 | ||||||
2.85%, 5/10/48, Series 2015-CR23, Class A2 | 42,209 | 42,194 | ||||||
3.04%, 11/10/49, Series 2016-CD2, Class A2 | 1,061,000 | 1,082,110 | ||||||
CSAIL Commercial Mortgage Trust | ||||||||
2.99%, 6/15/50, Series 2017-C8, Class A2 | 344,000 | 353,604 | ||||||
Deutsche Bank Commercial Mortgage Trust | 318,000 | 318,603 | ||||||
Federal Home Loan Mortgage Corp. Multifamily Structured Pass Through Certificates | 144,281 | 146,740 | ||||||
2.79%, 1/25/22, Series K718, Class A2 | 300,000 | 306,742 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust | ||||||||
4.17%, 12/15/46, Series 2013-C16, Class A4 | 1,432,000 | 1,561,453 | ||||||
JPMBB Commercial Mortgage Securities Trust | ||||||||
4.00%, 4/15/47, Series 2014-C19, Class A4 | 550,000 | 600,321 | ||||||
3.01%, 8/15/48, Series 2015-C31, Class A2 | 13,502 | 13,527 | ||||||
JPMCC Commercial Mortgage Securities Trust | 680,000 | 697,807 |
See Notes to Financial Statements.
WisdomTree Trust | 131 |
Table of Contents
Schedule of Investments (unaudited) (concluded)
WisdomTree Yield Enhanced U.S. Short-Term Aggregate Bond Fund (SHAG)
February 29, 2020
Investments | Principal Amount | Value | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust | $ | 505,700 | $ | 523,060 | ||||
4.05%, 4/15/47, Series 2014-C15, Class A4 | 250,000 | 273,396 | ||||||
3.44%, 8/15/47, Series 2014-C17, Class A4 | 270,643 | 289,504 | ||||||
3.53%, 8/15/47, Series 2014-C17, Class A3 | 205,000 | 209,634 | ||||||
2.74%, 4/15/48, Series 2015-C22, Class A2 | 619,556 | 619,280 | ||||||
2.70%, 12/15/48, Series 2013-C8, Class ASB | 31,326 | 31,685 | ||||||
UBS-Barclays Commercial Mortgage Trust | 320,600 | 331,250 | ||||||
Wells Fargo Commercial Mortgage Trust | ||||||||
2.53%, 10/15/45, Series 2012-LC5, Class ASB | 23,522 | 23,777 | ||||||
2.60%, 6/15/49, Series 2016-C34, Class A2 | 75,000 | 75,714 | ||||||
3.12%, 1/15/60, Series 2017-RC1, Class A2 | 471,000 | 484,063 | ||||||
WFRBS Commercial Mortgage Trust | ||||||||
2.45%, 12/15/45, Series 2012-C10, Class ASB | 29,721 | 30,120 | ||||||
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES (Cost: $8,609,005) |
| 8,792,136 | ||||||
ASSET-BACKED SECURITIES – 2.4% |
| |||||||
United States – 2.4% |
| |||||||
Americredit Automobile Receivables Trust | 400,000 | 402,225 | ||||||
Carmax Auto Owner Trust | 100,000 | 103,354 | ||||||
Ford Credit Auto Owner Trust | 100,000 | 104,597 | ||||||
Honda Auto Receivables Owner Trust | 200,000 | 207,600 | ||||||
Synchrony Card Funding LLC | 100,000 | 103,574 | ||||||
World Omni Auto Receivables Trust | ||||||||
3.17%, 1/15/25, Series 2018-B, Class B, ABS | 1,000,000 | 1,035,097 | ||||||
TOTAL ASSET-BACKED SECURITIES (Cost: $1,926,580) |
| 1,956,447 | ||||||
TOTAL INVESTMENTS IN SECURITIES – 101.2% (Cost: $79,995,170) |
| 82,764,423 | ||||||
Other Assets less Liabilities – (1.2)% |
| (1,004,855 | ) | |||||
|
| |||||||
NET ASSETS – 100.0% |
| $ | 81,759,568 |
* | 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) | 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 29, 2020 on securities with variable or step rates. |
See Notes to Financial Statements.
132 | WisdomTree Trust |
Table of Contents
Schedule of Investments (unaudited)
WisdomTree CBOE S&P 500 PutWrite Strategy Fund (PUTW)
February 29, 2020
Investments | Principal Amount | Value | ||||||
U.S. GOVERNMENT OBLIGATIONS – 104.6% |
| |||||||
U.S. Treasury Bills – 104.6% |
| |||||||
1.55%, 5/14/20* | $ | 134,000,000 | $ | 133,650,769 | ||||
1.58%, 5/21/20* | 70,000,000 | 69,803,028 | ||||||
TOTAL U.S. GOVERNMENT OBLIGATIONS (Cost: $203,338,791) |
| 203,453,797 | ||||||
Shares | ||||||||
EXCHANGE-TRADED FUND – 4.5% |
| |||||||
United States – 4.5% |
| |||||||
WisdomTree Floating Rate Treasury Fund(a) | ||||||||
(Cost: $8,803,368) | 351,502 | 8,819,185 | ||||||
TOTAL INVESTMENTS IN SECURITIES – 109.1% (Cost: $212,142,159) |
| 212,272,982 | ||||||
Other Assets less Liabilities – (9.1)% |
| (17,725,207 | ) | |||||
|
| |||||||
NET ASSETS – 100.0% |
| $ | 194,547,775 |
* | Interest rate shown reflects the yield to maturity at the time of purchase. |
(a) | Affiliated holdings. See below table for additional information on investments in affiliates during the fiscal period. |
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 29, 2020 were as follows:
Investment In Affiliates | Value at 8/31/2019 | Purchases/ Additions | Sales/ Reductions | Realized Gain/(Loss) | Change in Unrealized Appreciation/ Depreciation | Value at 2/29/2020 | Dividend Income | |||||||||||||||||||||
WisdomTree Floating Rate Treasury Fund | $ | — | $ | 9,617,280 | $ | 814,831 | $ | 919 | $ | 15,817 | $ | 8,819,185 | $ | 48,279 |
FINANCIAL DERIVATIVE INSTRUMENTS | ||||||||||||||||||||||||||||
WRITTEN PUT OPTION CONTRACTS (EXCHANGE-TRADED) | ||||||||||||||||||||||||||||
Description | Number of Contracts | Notional Amount1 | Strike Price | Expiration Date | Premiums Paid/ (Received) | Unrealized Depreciation | Value | |||||||||||||||||||||
S&P 500 Index | (659 | ) | $ | (220,106,000 | ) | $ | 3,340 | 3/20/2020 | $ | (3,749,070 | ) | $ | (21,688,330 | ) | $ | (25,437,400 | ) |
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.
WisdomTree Trust | 133 |
Table of Contents
Schedule of Investments (unaudited)
WisdomTree Managed Futures Strategy Fund (WTMF) (consolidated)
February 29, 2020
Investments | Principal Amount | Value | ||||||
U.S. GOVERNMENT OBLIGATIONS – 86.6% | ||||||||
U.S. Treasury Bills – 86.6% | ||||||||
1.55%, 3/12/20*(a) | $ | 3,448,000 | $ | 3,446,594 | ||||
1.56%, 3/19/20* | 115,640,000 | 115,562,443 | ||||||
TOTAL U.S. GOVERNMENT OBLIGATIONS (Cost: $118,998,118) |
| 119,009,037 | ||||||
Shares | ||||||||
EXCHANGE-TRADED FUND – 4.7% |
| |||||||
United States – 4.7% |
| |||||||
WisdomTree Floating Rate Treasury Fund(b) | ||||||||
(Cost: $6,395,376) | 255,254 | 6,404,323 | ||||||
TOTAL INVESTMENTS IN SECURITIES – 91.3% (Cost: $125,393,494) |
| 125,413,360 | ||||||
Other Assets less Liabilities – 8.7% |
| 12,021,906 | ||||||
|
| |||||||
NET ASSETS – 100.0% |
| $ | 137,435,266 |
* | 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 $3,446,594 as of February 29, 2020. |
(b) | Affiliated holdings. See below table for additional information on investments in affiliates during the fiscal period. |
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 29, 2020 were as follows:
Investment In Affiliates | Value at 8/31/2019 | Purchases/ Additions | Sales/ Reductions | Realized Gain/(Loss) | Change in Unrealized Appreciation/ Depreciation | Value at 2/29/2020 | Dividend Income | |||||||||||||||||||||
WisdomTree Floating Rate Treasury Fund | $ | — | $ | 8,963,588 | $ | 2,568,340 | $ | 128 | $ | 8,947 | $ | 6,404,323 | $ | 37,876 |
FINANCIAL DERIVATIVE INSTRUMENTS | ||||||||||||||||||||||||||||
FOREIGN CURRENCY CONTRACTS (OTC – OVER THE COUNTER) | ||||||||||||||||||||||||||||
Counterparty | Settlement Date | Amount and Description of Purchased | Amount and Description of be Sold | Unrealized Appreciation | Unrealized Depreciation | |||||||||||||||||||||||
Bank of Montreal | 3/18/2020 | 5,853,000 | JPY | 54,267 | USD | $ | 40 | $ | — | |||||||||||||||||||
Bank of Montreal | 3/18/2020 | 13,823,000 | JPY | 127,737 | USD | 519 | — | |||||||||||||||||||||
Bank of Montreal | 3/18/2020 | 2,488,958 | USD | 269,369,000 | JPY | — | (10,371 | ) | ||||||||||||||||||||
Canadian Imperial Bank of Commerce | 3/18/2020 | 88,268,000 | JPY | 817,738 | USD | 1,253 | — | |||||||||||||||||||||
Canadian Imperial Bank of Commerce | 3/18/2020 | 6,924,000 | JPY | 64,083 | USD | 161 | — | |||||||||||||||||||||
Canadian Imperial Bank of Commerce | 3/18/2020 | 20,512,000 | JPY | 188,419 | USD | 1,900 | — | |||||||||||||||||||||
Canadian Imperial Bank of Commerce | 3/18/2020 | 19,885,000 | JPY | 183,890 | USD | 612 | — | |||||||||||||||||||||
Canadian Imperial Bank of Commerce | 3/18/2020 | 15,435,000 | JPY | 140,832 | USD | 2,381 | — | |||||||||||||||||||||
Canadian Imperial Bank of Commerce | 3/18/2020 | 10,842,000 | JPY | 97,307 | USD | 3,290 | — | |||||||||||||||||||||
Canadian Imperial Bank of Commerce | 3/18/2020 | 19,920,000 | JPY | 181,345 | USD | 3,482 | — | |||||||||||||||||||||
Canadian Imperial Bank of Commerce | 3/18/2020 | 879,644,000 | JPY | 8,158,676 | USD | 3,066 | — | |||||||||||||||||||||
Canadian Imperial Bank of Commerce | 3/18/2020 | 6,364,106 | USD | 692,164,000 | JPY | — | (58,110 | ) | ||||||||||||||||||||
Canadian Imperial Bank of Commerce | 3/18/2020 | 981,731 | USD | 106,133,000 | JPY | — | (3,020 | ) | ||||||||||||||||||||
Canadian Imperial Bank of Commerce | 6/17/2020 | 8,194,245 | USD | 879,644,000 | JPY | — | (4,161 | ) | ||||||||||||||||||||
Canadian Imperial Bank of Commerce | 6/17/2020 | 77,560 | USD | 8,326,000 | JPY | — | (39 | ) | ||||||||||||||||||||
Goldman Sachs | 3/18/2020 | 7,541,000 | JPY | 69,297 | USD | 671 | — | |||||||||||||||||||||
Goldman Sachs | 3/18/2020 | 189,648 | USD | 20,981,000 | JPY | — | (5,023 | ) | ||||||||||||||||||||
$ | 17,375 | $ | (80,724 | ) |
See Notes to Financial Statements.
134 | WisdomTree Trust |
Table of Contents
Schedule of Investments (unaudited) (concluded)
WisdomTree Managed Futures Strategy Fund (WTMF) (consolidated)
February 29, 2020
FUTURES CONTRACTS (EXCHANGE-TRADED) | ||||||||||||||||
Short Exposure | Contracts | Expiration Date | Notional Value | Unrealized Appreciation/ (Depreciation) | ||||||||||||
Australian Dollar Currency | 123 | 6/15/20 | $ | (8,036,820 | ) | $ | (504 | ) | ||||||||
British Pound Currency | 67 | 6/15/20 | (5,369,631 | ) | (364 | ) | ||||||||||
Canadian Dollar Currency | 109 | 6/16/20 | (8,131,945 | ) | 342 | |||||||||||
Copper | 85 | 5/27/20 | (5,397,500 | ) | (33,100 | ) | ||||||||||
Corn | 436 | 7/14/20 | (8,120,500 | ) | 381,112 | |||||||||||
Cotton No. 2 | 171 | 7/09/20 | (5,324,085 | ) | (752 | ) | ||||||||||
Euro Currency | 59 | 6/15/20 | (8,181,825 | ) | (214 | ) | ||||||||||
Live Cattle | 130 | 6/30/20 | (5,262,400 | ) | 494,950 | |||||||||||
Soybean | 179 | 7/14/20 | (8,068,425 | ) | (10,105 | ) | ||||||||||
Swiss Franc Currency | 42 | 6/15/20 | (5,474,175 | ) | 10 | |||||||||||
$ | (67,367,306 | ) | $ | 831,375 | ||||||||||||
Long Exposure | ||||||||||||||||
10 Year U.S. Treasury Note | 61 | 6/19/20 | $ | 8,219,750 | $ | 195,622 | ||||||||||
Gold 100 Ounce | 49 | 6/26/20 | 7,701,820 | (89,250 | ) | |||||||||||
Silver | 61 | 7/29/20 | 5,040,125 | (488,050 | ) | |||||||||||
Sugar | 510 | 4/30/20 | 8,076,768 | (121,330 | ) | |||||||||||
U.S. Treasury Long Bond | 48 | 6/19/20 | 8,172,000 | 364,679 | ||||||||||||
Wheat | 307 | 7/14/20 | 8,077,937 | (379,575 | ) | |||||||||||
$ | 45,288,400 | $ | (517,904 | ) | ||||||||||||
Total – Net |
| $ | (22,078,906 | ) | $ | 313,471 |
See Notes to Financial Statements.
WisdomTree Trust | 135 |
Table of Contents
Statements of Assets and Liabilities (unaudited)
WisdomTree Trust
February 29, 2020
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 | $ | 53,126,750 | $ | 16,070,592 | $ | 12,604,554 | $ | 38,762,814 | $ | 169,644,341 | ||||||||||
Investment in affiliates, at cost (Note 3) | 1,455,768 | 1,169,777 | 793,239 | — | — | |||||||||||||||
Repurchase agreements, at cost | — | 7,790,000 | 4,860,000 | — | 13,120,000 | |||||||||||||||
Foreign currency, at cost | — | 61 | — | — | 313,030 | |||||||||||||||
Investments in securities, at value1,2 (Note 2) | 53,139,694 | 16,073,239 | 12,606,662 | 40,413,032 | 156,756,345 | |||||||||||||||
Investment in affiliates, at value (Note 3) | 1,455,220 | 1,169,194 | 792,844 | — | — | |||||||||||||||
Repurchase agreements, at value (Note 2) | — | 7,790,000 | 4,860,000 | — | 13,120,000 | |||||||||||||||
Cash | 350,851 | 94,822 | 61,839 | 360,480 | 901,405 | |||||||||||||||
Deposits at broker for futures contracts | — | — | — | 38,286 | — | |||||||||||||||
Foreign currency, at value | — | 60 | — | — | 316,448 | |||||||||||||||
Unrealized appreciation on foreign currency contracts | 713,787 | 98,974 | 1,665 | — | 90,998 | |||||||||||||||
Receivables: | ||||||||||||||||||||
Investment securities sold | — | — | — | — | 3,490,867 | |||||||||||||||
Dividends | — | — | — | — | 4,142 | |||||||||||||||
Securities lending income | — | — | — | 440 | 101 | |||||||||||||||
Interest | — | 697 | 435 | 480,004 | 2,800,950 | |||||||||||||||
Foreign tax reclaims | — | — | — | — | 81,756 | |||||||||||||||
Total Assets | 55,659,552 | 25,226,986 | 18,323,445 | 41,292,242 | 177,563,012 | |||||||||||||||
LIABILITIES: | ||||||||||||||||||||
Unrealized depreciation on foreign currency contracts | 290,238 | 25,761 | 576,328 | — | 483,580 | |||||||||||||||
Payables: | ||||||||||||||||||||
Cash collateral received for securities loaned (Note 2) | — | — | — | 4,252,403 | — | |||||||||||||||
Investment securities purchased | 498,660 | — | — | — | — | |||||||||||||||
Advisory fees (Note 3) | 16,204 | 9,143 | 7,829 | 17,828 | 80,154 | |||||||||||||||
Service fees (Note 2) | 145 | 91 | 64 | 130 | 641 | |||||||||||||||
Net variation margin on futures contracts | — | — | — | 27,062 | — | |||||||||||||||
Foreign capital gains tax | — | — | — | — | 107,428 | |||||||||||||||
Total Liabilities | 805,247 | 34,995 | 584,221 | 4,297,423 | 671,803 | |||||||||||||||
NET ASSETS | $ | 54,854,305 | $ | 25,191,991 | $ | 17,739,224 | $ | 36,994,819 | $ | 176,891,209 | ||||||||||
NET ASSETS: | ||||||||||||||||||||
Paid-in capital | $ | 63,189,002 | $ | 26,323,853 | $ | 65,363,524 | $ | 44,504,586 | $ | 223,537,248 | ||||||||||
Total distributable earnings (loss) | (8,334,697 | ) | (1,131,862 | ) | (47,624,300 | ) | (7,509,767 | ) | (46,646,039 | ) | ||||||||||
NET ASSETS | $ | 54,854,305 | $ | 25,191,991 | $ | 17,739,224 | $ | 36,994,819 | $ | 176,891,209 | ||||||||||
Outstanding beneficial interest shares of $0.001 par value (unlimited number of shares authorized) | 2,000,000 | 1,000,000 | 1,000,000 | 500,000 | 5,200,000 | |||||||||||||||
Net asset value per share | $ | 27.43 | $ | 25.19 | $ | 17.74 | $ | 73.99 | $ | 34.02 | ||||||||||
1 Includes market value of securities out on loan of: | — | — | — | $ | 4,778,883 | — | ||||||||||||||
2 Investments in securities include investment of cash collateral for securities loaned (see Schedule of Investments for additional information). |
|
See Notes to Financial Statements.
136 | WisdomTree Trust |
Table of Contents
Statements of Assets and Liabilities (unaudited) (continued)
WisdomTree Trust
February 29, 2020
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 Negative Duration High Yield Bond Fund | ||||||||||||||||
ASSETS: | ||||||||||||||||||||
Investments, at cost | $ | 1,703,167,391 | $ | 226,739,564 | $ | 82,968,893 | $ | 20,032,067 | $ | 22,351,205 | ||||||||||
Repurchase agreements, at cost | — | — | 1,698,500 | — | — | |||||||||||||||
Investments in securities, at value1,2 (Note 2) | 1,705,522,376 | 221,782,797 | 89,254,201 | 20,440,705 | 21,747,248 | |||||||||||||||
Repurchase agreements, at value (Note 2) | — | — | 1,698,500 | — | — | |||||||||||||||
Cash | 19,327 | 4,001,537 | 196,805 | 20,610 | — | |||||||||||||||
Deposits at broker for futures contracts | — | 437,777 | 618,476 | 1,317 | 237,470 | |||||||||||||||
Receivables: | ||||||||||||||||||||
Investment securities sold | 133,897,164 | 962,354 | 5,374,842 | — | 99,188 | |||||||||||||||
Capital shares sold | 12,549,117 | — | — | — | — | |||||||||||||||
Securities lending income | — | 11,508 | 407 | — | 1,089 | |||||||||||||||
Interest | 2,486,319 | 3,452,701 | 472,031 | 59,357 | 345,939 | |||||||||||||||
Foreign tax reclaims | — | 897 | — | — | 134 | |||||||||||||||
Total Assets | 1,854,474,303 | 230,649,571 | 97,615,262 | 20,521,989 | 22,431,068 | |||||||||||||||
LIABILITIES: | ||||||||||||||||||||
Due to custodian | — | — | — | — | 78,881 | |||||||||||||||
Payables: | ||||||||||||||||||||
Cash collateral received for securities loaned (Note 2) | — | 27,377,523 | 3,982,803 | — | 3,142,280 | |||||||||||||||
Investment securities purchased | 146,439,756 | — | 7,172,550 | — | — | |||||||||||||||
Advisory fees (Note 3) | 201,682 | 69,592 | 15,731 | 6,816 | 7,631 | |||||||||||||||
Service fees (Note 2) | 5,915 | 712 | 301 | 67 | 70 | |||||||||||||||
Net variation margin on futures contracts | — | 631,065 | 725,145 | 940 | 257,367 | |||||||||||||||
Total Liabilities | 146,647,353 | 28,078,892 | 11,896,530 | 7,823 | 3,486,229 | |||||||||||||||
NET ASSETS | $ | 1,707,826,950 | $ | 202,570,679 | $ | 85,718,732 | $ | 20,514,166 | $ | 18,944,839 | ||||||||||
NET ASSETS: | ||||||||||||||||||||
Paid-in capital | $ | 1,706,778,210 | $ | 221,364,812 | $ | 88,976,448 | $ | 20,109,190 | $ | 27,796,840 | ||||||||||
Total distributable earnings (loss) | 1,048,740 | (18,794,133 | ) | (3,257,716 | ) | 404,976 | (8,852,001 | ) | ||||||||||||
NET ASSETS | $ | 1,707,826,950 | $ | 202,570,679 | $ | 85,718,732 | $ | 20,514,166 | $ | 18,944,839 | ||||||||||
Outstanding beneficial interest shares of $0.001 par value (unlimited number of shares authorized) | 68,050,000 | 9,000,000 | 1,800,000 | 400,002 | 1,100,000 | |||||||||||||||
Net asset value per share | $ | 25.10 | $ | 22.51 | $ | 47.62 | $ | 51.29 | $ | 17.22 | ||||||||||
1 Includes market value of securities out on loan of: | — | $ | 27,276,020 | $ | 3,906,215 | — | $ | 3,043,788 | ||||||||||||
2 Investments in securities include investment of cash collateral for securities loaned (see Schedule of Investments for additional information). |
|
See Notes to Financial Statements.
WisdomTree Trust | 137 |
Table of Contents
Statements of Assets and Liabilities (unaudited) (continued)
WisdomTree Trust
February 29, 2020
WisdomTree Negative Duration U.S. Aggregate Bond Fund | WisdomTree Yield Enhanced Global Aggregate Bond Fund | WisdomTree Yield Enhanced U.S. Aggregate Bond Fund | WisdomTree Yield Enhanced U.S. Short-Term Aggregate Bond Fund | WisdomTree CBOE S&P 500 PutWrite Strategy Fund | ||||||||||||||||
ASSETS: | ||||||||||||||||||||
Investments, at cost | $ | 19,122,399 | $ | 3,012,155 | $ | 1,208,951,282 | $ | 79,995,170 | $ | 203,338,791 | ||||||||||
Investment in affiliates, at cost (Note 3) | — | 2,203,182 | — | — | 8,803,368 | |||||||||||||||
Repurchase agreements, at cost | 533,000 | — | 38,520,000 | — | — | |||||||||||||||
Foreign currency, at cost | — | 9,244 | — | — | — | |||||||||||||||
Investments in securities, at value1,2 (Note 2) | 20,458,312 | 3,087,135 | 1,272,744,962 | 82,764,423 | 203,453,797 | |||||||||||||||
Investment in affiliates, at value (Note 3) | — | 2,361,112 | — | — | 8,819,185 | |||||||||||||||
Repurchase agreements, at value (Note 2) | 533,000 | — | 38,520,000 | — | — | |||||||||||||||
Cash | 40,569 | 7,780 | 6,476,031 | — | 7,782,846 | |||||||||||||||
Deposits at broker for futures contracts | 290,258 | — | — | — | — | |||||||||||||||
Foreign currency, at value | — | 9,196 | — | — | — | |||||||||||||||
Unrealized appreciation on foreign currency contracts | — | 41,431 | — | — | — | |||||||||||||||
Receivables: | ||||||||||||||||||||
Investment securities sold | 342,026 | 189,747 | 24,817,922 | 1,529,385 | — | |||||||||||||||
Capital shares sold | — | — | 5,355,345 | — | — | |||||||||||||||
Securities lending income | 126 | — | 1,339 | — | — | |||||||||||||||
Interest | 108,956 | 24,247 | 8,366,036 | 584,210 | — | |||||||||||||||
Foreign tax reclaims | — | 99 | — | — | — | |||||||||||||||
Total Assets | 21,773,247 | 5,720,747 | 1,356,281,635 | 84,878,018 | 220,055,828 | |||||||||||||||
LIABILITIES: | ||||||||||||||||||||
Due to custodian | — | — | — | 60,809 | — | |||||||||||||||
Unrealized depreciation on foreign currency contracts | — | 571 | — | — | — | |||||||||||||||
Securities sold short, at value3 | 261,184 | — | — | — | — | |||||||||||||||
Written options, at value4 | — | — | — | — | 25,437,400 | |||||||||||||||
Payables: | ||||||||||||||||||||
Cash collateral received for securities loaned (Note 2) | 1,159,060 | — | 13,023,825 | — | — | |||||||||||||||
Investment securities purchased | 218,303 | 282,497 | 45,223,643 | 3,049,688 | — | |||||||||||||||
Advisory fees (Note 3) | 4,509 | 620 | 116,234 | 7,672 | 69,943 | |||||||||||||||
Service fees (Note 2) | 71 | 19 | 4,262 | 281 | 710 | |||||||||||||||
Net variation margin on futures contracts | 314,349 | — | — | — | — | |||||||||||||||
Interest on securities sold short | 301 | — | — | — | — | |||||||||||||||
Total Liabilities | 1,957,777 | 283,707 | 58,367,964 | 3,118,450 | 25,508,053 | |||||||||||||||
NET ASSETS | $ | 19,815,470 | $ | 5,437,040 | $ | 1,297,913,671 | $ | 81,759,568 | $ | 194,547,775 | ||||||||||
NET ASSETS: | ||||||||||||||||||||
Paid-in capital | $ | 25,565,334 | $ | 5,149,153 | $ | 1,229,863,871 | $ | 78,732,580 | $ | 218,152,802 | ||||||||||
Total distributable earnings (loss) | (5,749,864 | ) | 287,887 | 68,049,800 | 3,026,988 | (23,605,027 | ) | |||||||||||||
NET ASSETS | $ | 19,815,470 | $ | 5,437,040 | $ | 1,297,913,671 | $ | 81,759,568 | $ | 194,547,775 | ||||||||||
Outstanding beneficial interest shares of $0.001 par value (unlimited number of shares authorized) | 500,000 | 200,000 | 24,100,000 | 1,600,000 | 7,450,000 | |||||||||||||||
Net asset value per share | $ | 39.63 | $ | 27.19 | $ | 53.86 | $ | 51.10 | $ | 26.11 | ||||||||||
1 Includes market value of securities out on loan of: | $ | 1,160,369 | — | $ | 13,861,817 | — | — | |||||||||||||
2 Investments in securities include investment of cash collateral for securities loaned (see Schedule of Investments for additional information). |
| |||||||||||||||||||
3 Proceeds received on securities sold short: | $ | 258,266 | — | — | — | — | ||||||||||||||
4 Premiums received on written options: | — | — | — | — | $ | 3,749,070 |
See Notes to Financial Statements.
138 | WisdomTree Trust |
Table of Contents
Statements of Assets and Liabilities (unaudited) (concluded)
WisdomTree Trust
February 29, 2020
WisdomTree Managed Futures Strategy Fund (consolidated) | ||||
ASSETS: | ||||
Investments, at cost | $ | 118,998,118 | ||
Investment in affiliates, at cost (Note 3) | 6,395,376 | |||
Investments in securities, at value | 119,009,037 | |||
Investment in affiliates, at value (Note 3) | 6,404,323 | |||
Cash | 14,335,442 | |||
Unrealized appreciation on foreign currency contracts | 17,375 | |||
Total Assets | 139,766,177 | |||
LIABILITIES: | ||||
Unrealized depreciation on foreign currency contracts | 80,724 | |||
Payables: | ||||
Capital shares redeemed | 1,791,765 | |||
Advisory fees (Note 3) | 71,466 | |||
Service fees (Note 2) | 489 | |||
Net variation margin on futures contracts | 386,467 | |||
Total Liabilities | 2,330,911 | |||
NET ASSETS | $ | 137,435,266 | ||
NET ASSETS: | ||||
Paid-in capital | $ | 159,546,666 | ||
Total distributable earnings (loss) | (22,111,400 | ) | ||
NET ASSETS | $ | 137,435,266 | ||
Outstanding beneficial interest shares of $0.001 par value (unlimited number of shares authorized) | 3,850,000 | |||
Net asset value per share | $ | 35.70 |
See Notes to Financial Statements.
WisdomTree Trust | 139 |
Table of Contents
Statements of Operations (unaudited)
WisdomTree Trust
For the Six Months Ended February 29, 2020
WisdomTree Bloomberg U.S. Dollar Bullish Fund | WisdomTree Chinese Yuan Strategy Fund | WisdomTree Emerging Currency Strategy Fund | WisdomTree Emerging Markets Corporate Bond Fund | WisdomTree Markets Local | ||||||||||||||||
INVESTMENT INCOME: | ||||||||||||||||||||
Dividends from affiliates (Note 3) | $ | 14,484 | $ | 10,224 | $ | 6,933 | $ | — | $ | — | ||||||||||
Interest1 | 334,090 | 215,808 | �� | 162,623 | 846,571 | 5,601,765 | ||||||||||||||
Securities lending income (Note 2) | — | — | — | 3,282 | 101 | |||||||||||||||
Total investment income | 348,574 | 226,032 | 169,556 | 849,853 | 5,601,866 | |||||||||||||||
EXPENSES: | ||||||||||||||||||||
Advisory fees (Note 3) | 100,821 | 59,131 | 53,428 | 110,067 | 524,402 | |||||||||||||||
Service fees (Note 2) | 887 | 579 | 428 | 807 | 4,196 | |||||||||||||||
Total expenses | 101,708 | 59,710 | 53,856 | 110,874 | 528,598 | |||||||||||||||
Expense waivers (Note 3) | (1,231 | ) | (872 | ) | (591 | ) | — | — | ||||||||||||
Net expenses | 100,477 | 58,838 | 53,265 | 110,874 | 528,598 | |||||||||||||||
Net investment income | 248,097 | 167,194 | 116,291 | 738,979 | 5,073,268 | |||||||||||||||
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS: | ||||||||||||||||||||
Net realized gain (loss) from: | ||||||||||||||||||||
Investment transactions2 | 670 | (6 | ) | (3 | ) | 367,453 | (10,780,001 | ) | ||||||||||||
Investment transactions in affiliates (Note 3) | (778 | ) | — | — | — | — | ||||||||||||||
In-kind redemptions | — | — | — | — | (1,150,160 | ) | ||||||||||||||
Futures contracts | — | — | — | (6,577 | ) | — | ||||||||||||||
Foreign currency contracts | (304,660 | ) | (255,184 | ) | (272,559 | ) | — | 464,801 | ||||||||||||
Foreign currency related transactions | 1 | — | — | — | (248,802 | ) | ||||||||||||||
Net realized gain (loss) | (304,767 | ) | (255,190 | ) | (272,562 | ) | 360,876 | (11,714,162 | ) | |||||||||||
Net increase (decrease) in unrealized appreciation/depreciation: | ||||||||||||||||||||
Investment transactions3 | 6,221 | (209 | ) | (193 | ) | 337,064 | 10,415,086 | |||||||||||||
Investment transactions in affiliates (Note 3) | 2,460 | 1,398 | 948 | — | — | |||||||||||||||
Futures contracts | — | — | — | (49,964 | ) | — | ||||||||||||||
Foreign currency contracts | 144,163 | 1,021,680 | 110,187 | — | (364,234 | ) | ||||||||||||||
Translation of assets and liabilities denominated in foreign currencies | — | 1 | — | — | 162,319 | |||||||||||||||
Net increase in unrealized appreciation/depreciation | 152,844 | 1,022,870 | 110,942 | 287,100 | 10,213,171 | |||||||||||||||
Net realized and unrealized gain (loss) on investments | (151,923 | ) | 767,680 | (161,620 | ) | 647,976 | (1,500,991 | ) | ||||||||||||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | 96,174 | $ | 934,874 | $ | (45,329 | ) | $ | 1,386,955 | $ | 3,572,277 | |||||||||
1 Net of foreign withholding tax of: | — | — | — | $ | 93 | $ | 131,571 | |||||||||||||
2 Net of foreign capital gains tax of: | — | — | — | — | $ | 5,897 | ||||||||||||||
3 Includes net increase (decrease) in accrued foreign capital gain taxes of: | — | — | — | — | $ | 18,767 |
See Notes to Financial Statements.
140 | WisdomTree Trust |
Table of Contents
Statements of Operations (unaudited) (continued)
WisdomTree Trust
For the Six Months or Period Ended February 29, 2020
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 Fund1 | WisdomTree Negative Duration High Yield Bond Fund | ||||||||||||||||
INVESTMENT INCOME: | ||||||||||||||||||||
Interest | $ | 15,585,586 | $ | 6,655,622 | $ | 1,190,652 | $ | 105,287 | $ | 685,046 | ||||||||||
Securities lending income (Note 2) | — | 78,487 | 2,713 | — | 9,775 | |||||||||||||||
Total investment income | 15,585,586 | 6,734,109 | 1,193,365 | 105,287 | 694,821 | |||||||||||||||
EXPENSES: | ||||||||||||||||||||
Advisory fees (Note 3) | 1,284,540 | 486,359 | 95,563 | 17,965 | 58,496 | |||||||||||||||
Service fees (Note 2) | 37,680 | 4,977 | 1,828 | 176 | 536 | |||||||||||||||
Total expenses | 1,322,220 | 491,336 | 97,391 | 18,141 | 59,032 | |||||||||||||||
Net investment income | 14,263,366 | 6,242,773 | 1,095,974 | 87,146 | 635,789 | |||||||||||||||
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS: | ||||||||||||||||||||
Net realized gain (loss) from: | ||||||||||||||||||||
Investment transactions | (109,059 | ) | (655,932 | ) | 202,050 | 2,241 | (81,069 | ) | ||||||||||||
In-kind redemptions | 148,464 | 121,104 | — | — | (10,863 | ) | ||||||||||||||
Futures contracts | — | (82,284 | ) | (782,630 | ) | 2,057 | 29,055 | |||||||||||||
Net realized gain (loss) | 39,405 | (617,112 | ) | (580,580 | ) | 4,298 | (62,877 | ) | ||||||||||||
Net increase (decrease) in unrealized appreciation/depreciation: | ||||||||||||||||||||
Investment transactions | 3,613,088 | (3,774,494 | ) | 1,522,822 | 408,638 | (469,213 | ) | |||||||||||||
Futures contracts | — | (946,567 | ) | (1,066,145 | ) | (1,405 | ) | (407,146 | ) | |||||||||||
Net increase (decrease) in unrealized appreciation/depreciation | 3,613,088 | (4,721,061 | ) | 456,677 | 407,233 | (876,359 | ) | |||||||||||||
Net realized and unrealized gain (loss) on investments | 3,652,493 | (5,338,173 | ) | (123,903 | ) | 411,531 | (939,236 | ) | ||||||||||||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | 17,915,859 | $ | 904,600 | $ | 972,071 | $ | 498,677 | $ | (303,447 | ) | |||||||||
1 For the period November 14, 2019 (commencement of operations) through February 29, 2020. |
|
See Notes to Financial Statements.
WisdomTree Trust | 141 |
Table of Contents
Statements of Operations (unaudited) (continued)
WisdomTree Trust
For the Six Months Ended February 29, 2020
WisdomTree Negative Duration U.S. Aggregate Bond Fund | WisdomTree Yield Enhanced Global Aggregate Bond Fund | WisdomTree Yield Enhanced U.S. Aggregate Bond Fund | WisdomTree Yield Enhanced U.S. Short-Term Aggregate Bond Fund | WisdomTree CBOE S&P 500 PutWrite Strategy Fund | ||||||||||||||||
INVESTMENT INCOME: | ||||||||||||||||||||
Dividends from affiliates (Note 3) | $ | — | $ | 23,787 | $ | — | $ | — | $ | 48,279 | ||||||||||
Interest | 304,704 | 9,728 | 15,052,896 | 1,176,729 | 1,674,954 | |||||||||||||||
Securities lending income (Note 2) | 796 | — | 17,628 | — | — | |||||||||||||||
Total investment income | 305,500 | 33,515 | 15,070,524 | 1,176,729 | 1,723,233 | |||||||||||||||
EXPENSES: | ||||||||||||||||||||
Advisory fees (Note 3) | 30,422 | 3,431 | 1,026,665 | 83,052 | 457,828 | |||||||||||||||
Service fees (Note 2) | 478 | 76 | 22,586 | 1,827 | 4,578 | |||||||||||||||
Total expenses | 30,900 | 3,507 | 1,049,251 | 84,879 | 462,406 | |||||||||||||||
Expense waivers (Note 3) | — | (923 | ) | (410,666 | ) | (33,221 | ) | (46,931 | ) | |||||||||||
Net expenses | 30,900 | 2,584 | 638,585 | 51,658 | 415,475 | |||||||||||||||
Net investment income | 274,600 | 30,931 | 14,431,939 | 1,125,071 | 1,307,758 | |||||||||||||||
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS: | ||||||||||||||||||||
Net realized gain (loss) from: | ||||||||||||||||||||
Investment transactions | 169,542 | 30,565 | 6,421,153 | 118,613 | (9,066 | ) | ||||||||||||||
Investment transactions in affiliates (Note 3) | — | 9,666 | — | — | 919 | |||||||||||||||
In-kind redemptions | 317,528 | — | 1,233,107 | 179,998 | — | |||||||||||||||
Futures contracts | (119,571 | ) | — | — | — | — | ||||||||||||||
Written options | — | — | — | — | 15,864,284 | |||||||||||||||
Securities sold short | (1,466 | ) | — | — | — | — | ||||||||||||||
Foreign currency contracts | — | (291 | ) | — | — | — | ||||||||||||||
Foreign currency related transactions | — | 1 | — | — | — | |||||||||||||||
Net realized gain | 366,033 | 39,941 | 7,654,260 | 298,611 | 15,856,137 | |||||||||||||||
Net increase (decrease) in unrealized appreciation/depreciation: | ||||||||||||||||||||
Investment transactions | (165,181 | ) | (12,283 | ) | 20,868,912 | 489,884 | 106,924 | |||||||||||||
Investment transactions in affiliates (Note 3) | — | 48,607 | — | — | 15,817 | |||||||||||||||
Futures contracts | (495,397 | ) | — | — | — | — | ||||||||||||||
Written options | — | — | — | — | (23,698,389 | ) | ||||||||||||||
Securities sold short | (1,292 | ) | — | — | — | — | ||||||||||||||
Foreign currency contracts | — | 25,321 | — | — | — | |||||||||||||||
Translation of assets and liabilities denominated in foreign currencies | — | (21 | ) | — | — | — | ||||||||||||||
Net increase (decrease) in unrealized appreciation/depreciation | (661,870 | ) | 61,624 | 20,868,912 | 489,884 | (23,575,648 | ) | |||||||||||||
Net realized and unrealized gain (loss) on investments | (295,837 | ) | 101,565 | 28,523,172 | 788,495 | (7,719,511 | ) | |||||||||||||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | (21,237 | ) | $ | 132,496 | $ | 42,955,111 | $ | 1,913,566 | $ | (6,411,753 | ) |
See Notes to Financial Statements.
142 | WisdomTree Trust |
Table of Contents
Statements of Operations (unaudited) (concluded)
WisdomTree Trust
For the Six Months Ended February 29, 2020
WisdomTree Managed Futures Strategy Fund (consolidated) | ||||
INVESTMENT INCOME: |
| |||
Dividends from affiliates (Note 3) | $ | 37,876 | ||
Interest | 1,424,378 | |||
Total investment income | 1,462,254 | |||
EXPENSES: |
| |||
Advisory fees (Note 3) | 659,994 | |||
Service fees (Note 2) | 3,872 | |||
Total expenses | 663,866 | |||
Expense waivers (Note 3) | (91,667 | ) | ||
Net expenses | 572,199 | |||
Net investment income | 890,055 | |||
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS: |
| |||
Net realized gain (loss) from: |
| |||
Investment transactions | 16,093 | |||
Investment transactions in affiliates (Note 3) | 128 | |||
Futures contracts | (6,505,744 | ) | ||
Foreign currency contracts | (628,229 | ) | ||
Foreign currency related transactions | 1 | |||
Net realized loss | (7,117,751 | ) | ||
Net increase (decrease) in unrealized appreciation/depreciation: |
| |||
Investment transactions | (31,362 | ) | ||
Investment transactions in affiliates (Note 3) | 8,947 | |||
Futures contracts | (7,153,519 | ) | ||
Foreign currency contracts | 179,312 | |||
Net decrease in unrealized appreciation/depreciation | (6,996,622 | ) | ||
Net realized and unrealized loss on investments | (14,114,373 | ) | ||
NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | (13,224,318 | ) |
See Notes to Financial Statements.
WisdomTree Trust | 143 |
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 Six Months Ended February 29, 2020 (unaudited) | For the Year Ended August 31, 2019 | For the Six Months Ended February 29, 2020 (unaudited) | For the Year Ended August 31, 2019 | For the Six Months Ended February 29, 2020 (unaudited) | For the Year Ended August 31, 2019 | |||||||||||||||||||
INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS: |
| |||||||||||||||||||||||
Net investment income | $ | 248,097 | $ | 1,101,680 | $ | 167,194 | $ | 535,885 | $ | 116,291 | $ | 352,935 | ||||||||||||
Net realized gain (loss) on investments, foreign currency contracts and foreign currency related transactions | (304,767 | ) | 2,710,118 | (255,190 | ) | (973,508 | ) | (272,562 | ) | (423,264 | ) | |||||||||||||
Net increase (decrease) in unrealized appreciation/depreciation on investments, foreign currency contracts and translation of assets and liabilities denominated in foreign currencies | 152,844 | (413,060 | ) | 1,022,870 | 121,377 | 110,942 | 680,877 | |||||||||||||||||
Net increase (decrease) in net assets resulting from operations | 96,174 | 3,398,738 | 934,874 | (316,246 | ) | (45,329 | ) | 610,548 | ||||||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS: |
| |||||||||||||||||||||||
Distributable earnings | (1,101,951 | ) | (740,869 | ) | (535,878 | ) | (348,348 | ) | (352,930 | ) | (371,701 | ) | ||||||||||||
CAPITAL SHARE TRANSACTIONS: |
| |||||||||||||||||||||||
Net proceeds from sale of shares | 23,285,813 | 17,885,528 | — | — | — | 3,756,468 | ||||||||||||||||||
Cost of shares redeemed | (12,399,511 | ) | (66,454,058 | ) | (1,251,076 | ) | (5,152,775 | ) | (1,871,545 | ) | (12,732,023 | ) | ||||||||||||
Net increase (decrease) in net assets resulting from capital share transactions | 10,886,302 | (48,568,530 | ) | (1,251,076 | ) | (5,152,775 | ) | (1,871,545 | ) | (8,975,555 | ) | |||||||||||||
Net Increase (Decrease) in Net Assets | 9,880,525 | (45,910,661 | ) | (852,080 | ) | (5,817,369 | ) | (2,269,804 | ) | (8,736,708 | ) | |||||||||||||
NET ASSETS: |
| |||||||||||||||||||||||
Beginning of period | $ | 44,973,780 | $ | 90,884,441 | $ | 26,044,071 | $ | 31,861,440 | $ | 20,009,028 | $ | 28,745,736 | ||||||||||||
End of period | $ | 54,854,305 | $ | 44,973,780 | $ | 25,191,991 | $ | 26,044,071 | $ | 17,739,224 | $ | 20,009,028 | ||||||||||||
SHARES CREATED AND REDEEMED: |
| |||||||||||||||||||||||
Shares outstanding, beginning of period | 1,600,000 | 3,400,000 | 1,050,000 | 1,250,000 | 1,100,000 | 1,600,000 | ||||||||||||||||||
Shares created | 850,000 | 650,000 | — | — | — | 200,000 | ||||||||||||||||||
Shares redeemed | (450,000 | ) | (2,450,000 | ) | (50,000 | ) | (200,000 | ) | (100,000 | ) | (700,000 | ) | ||||||||||||
Shares outstanding, end of period | 2,000,000 | 1,600,000 | 1,000,000 | 1,050,000 | 1,000,000 | 1,100,000 |
See Notes to Financial Statements.
144 | 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 Six Months Ended February 29, 2020 (unaudited) | For the Year Ended August 31, 2019 | For the Six Months Ended February 29, 2020 (unaudited) | For the Year Ended August 31, 2019 | For the Six Months Ended February 29, 2020 (unaudited) | For the Year Ended August 31, 2019 | |||||||||||||||||||
INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS: |
| |||||||||||||||||||||||
Net investment income | $ | 738,979 | $ | 1,664,290 | $ | 5,073,268 | $ | 10,784,666 | $ | 14,263,366 | $ | 38,502,995 | ||||||||||||
Net realized gain (loss) on investments, futures contracts, foreign currency contracts and foreign currency related transactions | 360,876 | (604,838 | ) | (11,714,162 | ) | (17,462,838 | ) | 39,405 | (1,663,637 | ) | ||||||||||||||
Net increase (decrease) in unrealized appreciation/depreciation on investments, futures contracts, foreign currency contracts and translation of assets and liabilities denominated in foreign currencies | 287,100 | 2,927,807 | 10,213,171 | 26,516,506 | 3,613,088 | (1,293,067 | ) | |||||||||||||||||
Net increase in net assets resulting from operations | 1,386,955 | 3,987,259 | 3,572,277 | 19,838,334 | 17,915,859 | 35,546,291 | ||||||||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS: |
| |||||||||||||||||||||||
Distributable earnings | (754,000 | ) | (1,662,000 | ) | (4,756,000 | ) | (4,473,616 | ) | (15,030,362 | ) | (37,766,900 | ) | ||||||||||||
Tax return of capital | — | — | — | (5,422,384 | ) | — | — | |||||||||||||||||
Total distributions to shareholders | (754,000 | ) | (1,662,000 | ) | (4,756,000 | ) | (9,896,000 | ) | (15,030,362 | ) | (37,766,900 | ) | ||||||||||||
CAPITAL SHARE TRANSACTIONS: |
| |||||||||||||||||||||||
Net proceeds from sale of shares | — | — | — | 53,828,320 | 238,144,057 | 2,556,559,282 | ||||||||||||||||||
Cost of shares redeemed | — | (7,113,818 | ) | (17,708,017 | ) | (40,070,641 | ) | (185,563,982 | ) | (1,174,021,291 | ) | |||||||||||||
Net increase (decrease) in net assets resulting from capital share transactions | — | (7,113,818 | ) | (17,708,017 | ) | 13,757,679 | 52,580,075 | 1,382,537,991 | ||||||||||||||||
Net Increase (Decrease) in Net Assets | 632,955 | (4,788,559 | ) | (18,891,740 | ) | 23,700,013 | 55,465,572 | 1,380,317,382 | ||||||||||||||||
NET ASSETS: |
| |||||||||||||||||||||||
Beginning of period | $ | 36,361,864 | $ | 41,150,423 | $ | 195,782,949 | $ | 172,082,936 | $ | 1,652,361,378 | $ | 272,043,996 | ||||||||||||
End of period | $ | 36,994,819 | $ | 36,361,864 | $ | 176,891,209 | $ | 195,782,949 | $ | 1,707,826,950 | $ | 1,652,361,378 | ||||||||||||
SHARES CREATED AND REDEEMED: |
| |||||||||||||||||||||||
Shares outstanding, beginning of period | 500,000 | 600,000 | 5,700,000 | 5,300,000 | 65,950,000 | 10,850,000 | ||||||||||||||||||
Shares created | — | — | — | 1,600,000 | 9,500,000 | 101,900,000 | ||||||||||||||||||
Shares redeemed | — | (100,000 | ) | (500,000 | ) | (1,200,000 | ) | (7,400,000 | ) | (46,800,000 | ) | |||||||||||||
Shares outstanding, end of period | 500,000 | 500,000 | 5,200,000 | 5,700,000 | 68,050,000 | 65,950,000 |
See Notes to Financial Statements.
WisdomTree Trust | 145 |
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 Six Months Ended February 29, 2020 (unaudited) | For the Year Ended August 31, 2019 | For the Six Months Ended February 29, 2020 (unaudited) | For the Year Ended August 31, 2019 | For the Period November 14, 2019* through February 29, 2020 (unaudited) | ||||||||||||||||
INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS: |
| |||||||||||||||||||
Net investment income | $ | 6,242,773 | $ | 14,605,553 | $ | 1,095,974 | $ | 2,120,745 | $ | 87,146 | ||||||||||
Net realized gain (loss) on investments and futures contracts | (617,112 | ) | (12,391,990 | ) | (580,580 | ) | (5,366,610 | ) | 4,298 | |||||||||||
Net increase (decrease) in unrealized appreciation/depreciation on investments and futures contracts | (4,721,061 | ) | (475,899 | ) | 456,677 | 5,398,184 | 407,233 | |||||||||||||
Net increase in net assets resulting from operations | 904,600 | 1,737,664 | 972,071 | 2,152,319 | 498,677 | |||||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS: |
| |||||||||||||||||||
Distributable earnings | (6,327,350 | ) | (15,068,128 | ) | (1,163,240 | ) | (2,155,448 | ) | (93,701 | ) | ||||||||||
CAPITAL SHARE TRANSACTIONS: |
| |||||||||||||||||||
Net proceeds from sale of shares | 6,894,337 | 82,954,300 | 9,572,787 | 28,501,336 | 20,109,090 | |||||||||||||||
Cost of shares redeemed | (46,366,411 | ) | (84,490,516 | ) | — | (4,767,532 | ) | — | ||||||||||||
Net increase (decrease) in net assets resulting from capital share transactions | (39,472,074 | ) | (1,536,216 | ) | 9,572,787 | 23,733,804 | 20,109,090 | |||||||||||||
Net Increase (Decrease) in Net Assets | (44,894,824 | ) | (14,866,680 | ) | 9,381,618 | 23,730,675 | 20,514,066 | |||||||||||||
NET ASSETS: |
| |||||||||||||||||||
Beginning of period | $ | 247,465,503 | $ | 262,332,183 | $ | 76,337,114 | $ | 52,606,439 | $ | 100 | ||||||||||
End of period | $ | 202,570,679 | $ | 247,465,503 | $ | 85,718,732 | $ | 76,337,114 | $ | 20,514,166 | ||||||||||
SHARES CREATED AND REDEEMED: |
| |||||||||||||||||||
Shares outstanding, beginning of period | 10,700,000 | 10,900,000 | 1,600,000 | 1,100,000 | 2 | |||||||||||||||
Shares created | 300,000 | 3,500,000 | 200,000 | 600,000 | 400,000 | |||||||||||||||
Shares redeemed | (2,000,000 | ) | (3,700,000 | ) | — | (100,000 | ) | — | ||||||||||||
Shares outstanding, end of period | 9,000,000 | 10,700,000 | 1,800,000 | 1,600,000 | 400,002 |
* | Commencement of operations. |
See Notes to Financial Statements.
146 | WisdomTree Trust |
Table of Contents
Statements of Changes in Net Assets (continued)
WisdomTree Trust
WisdomTree Negative Duration High Yield Bond Fund | WisdomTree Negative Duration U.S. Aggregate Bond Fund | WisdomTree Yield Enhanced Global Aggregate Bond Fund | ||||||||||||||||||||||
For the Six Months Ended February 29, 2020 (unaudited) | For the Year Ended August 31, 2019 | For the Six Months Ended | For the Year Ended August 31, 2019 | For the Six Months Ended February 29, 2020 (unaudited) | For the Period December 13, 2018* through August 31, 2019 | |||||||||||||||||||
INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS: |
| |||||||||||||||||||||||
Net investment income | $ | 635,789 | $ | 2,731,181 | $ | 274,600 | $ | 852,119 | $ | 30,931 | $ | 43,397 | ||||||||||||
Net realized gain (loss) on investments, futures contracts, securities sold short, foreign currency contracts and foreign currency related transactions | (62,877 | ) | (6,542,863 | ) | 366,033 | (4,201,704 | ) | 39,941 | 68,808 | |||||||||||||||
Net increase (decrease) in unrealized appreciation/depreciation on investments, futures contracts, securities sold short, foreign currency contracts and translation of assets and liabilities denominated in foreign currencies | (876,359 | ) | 56,853 | (661,870 | ) | 1,987,817 | 61,624 | 211,869 | ||||||||||||||||
Net increase (decrease) in net assets resulting from operations | (303,447 | ) | (3,754,829 | ) | (21,237 | ) | (1,361,768 | ) | 132,496 | 324,074 | ||||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS: |
| |||||||||||||||||||||||
Distributable earnings | (645,500 | ) | (2,758,596 | ) | (295,400 | ) | (902,450 | ) | (125,322 | ) | (43,361 | ) | ||||||||||||
CAPITAL SHARE TRANSACTIONS: |
| |||||||||||||||||||||||
Net proceeds from sale of shares | — | 18,775,214 | 4,114,296 | 13,207,707 | 2,649,158 | 2,500,000 | ||||||||||||||||||
Cost of shares redeemed | (13,096,941 | ) | (36,293,179 | ) | (8,229,361 | ) | (17,063,055 | ) | — | (105 | ) | |||||||||||||
Net increase (decrease) in net assets resulting from capital share transactions | (13,096,941 | ) | (17,517,965 | ) | (4,115,065 | ) | (3,855,348 | ) | 2,649,158 | 2,499,895 | ||||||||||||||
Net Increase (Decrease) in Net Assets | (14,045,888 | ) | (24,031,390 | ) | (4,431,702 | ) | (6,119,566 | ) | 2,656,332 | 2,780,608 | ||||||||||||||
NET ASSETS: |
| |||||||||||||||||||||||
Beginning of period | $ | 32,990,727 | $ | 57,022,117 | $ | 24,247,172 | $ | 30,366,738 | $ | 2,780,708 | $ | 100 | ||||||||||||
End of period | $ | 18,944,839 | $ | 32,990,727 | $ | 19,815,470 | $ | 24,247,172 | $ | 5,437,040 | $ | 2,780,708 | ||||||||||||
SHARES CREATED AND REDEEMED: |
| |||||||||||||||||||||||
Shares outstanding, beginning of period | 1,800,000 | 2,700,000 | 600,000 | 700,000 | 100,000 | 4 | ||||||||||||||||||
Shares created | — | 900,000 | 100,000 | 300,000 | 100,000 | 100,000 | ||||||||||||||||||
Shares redeemed | (700,000 | ) | (1,800,000 | ) | (200,000 | ) | (400,000 | ) | — | (4 | ) | |||||||||||||
Shares outstanding, end of period | 1,100,000 | 1,800,000 | 500,000 | 600,000 | 200,000 | 100,000 |
* | Commencement of operations. |
See Notes to Financial Statements.
WisdomTree Trust | 147 |
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 CBOE S&P 500 PutWrite Strategy Fund | ||||||||||||||||||||||
For the Six Months Ended February 29, 2020 (unaudited) | For the Year Ended August 31, 2019 | For the Six Months Ended February 29, 2020 (unaudited) | For the Year Ended August 31, 2019 | For the Six Months Ended February 29, 2020 (unaudited) | For the Year Ended August 31, 2019 | |||||||||||||||||||
INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS: |
| |||||||||||||||||||||||
Net investment income | $ | 14,431,939 | $ | 17,117,128 | $ | 1,125,071 | $ | 1,707,559 | $ | 1,307,758 | $ | 4,151,819 | ||||||||||||
Net realized gain (loss) on investments and written options | 7,654,260 | (134,829 | ) | 298,611 | (108,977 | ) | 15,856,137 | (17,495,534 | ) | |||||||||||||||
Net increase (decrease) in unrealized appreciation/depreciation on investments and written options | 20,868,912 | 52,480,153 | 489,884 | 2,647,541 | (23,575,648 | ) | 273,411 | |||||||||||||||||
Net increase (decrease) in net assets resulting from operations | 42,955,111 | 69,462,452 | 1,913,566 | 4,246,123 | (6,411,753 | ) | (13,070,304 | ) | ||||||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS: |
| |||||||||||||||||||||||
Distributable earnings | (15,454,200 | ) | (17,594,752 | ) | (1,149,100 | ) | (1,700,000 | ) | (3,011,616 | ) | (13,395,542 | ) | ||||||||||||
CAPITAL SHARE TRANSACTIONS: |
| |||||||||||||||||||||||
Net proceeds from sale of shares | 447,698,503 | 463,132,846 | 5,075,318 | 64,023,477 | 15,316,409 | 79,579,882 | ||||||||||||||||||
Cost of shares redeemed | (57,478,714 | ) | (53,469,693 | ) | (15,131,980 | ) | (14,621,599 | ) | (22,695,461 | ) | (80,198,284 | ) | ||||||||||||
Net increase (decrease) in net assets resulting from capital share transactions | 390,219,789 | 409,663,153 | (10,056,662 | ) | 49,401,878 | (7,379,052 | ) | (618,402 | ) | |||||||||||||||
Net Increase (Decrease) in Net Assets | 417,720,700 | 461,530,853 | (9,292,196 | ) | 51,948,001 | (16,802,421 | ) | (27,084,248 | ) | |||||||||||||||
NET ASSETS: |
| |||||||||||||||||||||||
Beginning of period | $ | 880,192,971 | $ | 418,662,118 | $ | 91,051,764 | $ | 39,103,763 | $ | 211,350,196 | $ | 238,434,444 | ||||||||||||
End of period | $ | 1,297,913,671 | $ | 880,192,971 | $ | 81,759,568 | $ | 91,051,764 | $ | 194,547,775 | $ | 211,350,196 | ||||||||||||
SHARES CREATED AND REDEEMED: |
| |||||||||||||||||||||||
Shares outstanding, beginning of period | 16,700,000 | 8,600,000 | 1,800,000 | 800,000 | 7,700,000 | 7,800,000 | ||||||||||||||||||
Shares created | 8,500,000 | 9,200,000 | 100,000 | 1,300,000 | 550,000 | 2,900,000 | ||||||||||||||||||
Shares redeemed | (1,100,000 | ) | (1,100,000 | ) | (300,000 | ) | (300,000 | ) | (800,000 | ) | (3,000,000 | ) | ||||||||||||
Shares outstanding, end of period | 24,100,000 | 16,700,000 | 1,600,000 | 1,800,000 | 7,450,000 | 7,700,000 |
See Notes to Financial Statements.
148 | WisdomTree Trust |
Table of Contents
Statements of Changes in Net Assets (concluded)
WisdomTree Trust
WisdomTree (consolidated) | ||||||||
For the Six Months Ended February 29, 2020 (unaudited) | For the Year Ended August 31, 2019 | |||||||
INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS: |
| |||||||
Net investment income | $ | 890,055 | $ | 3,051,135 | ||||
Net realized loss on investments, futures contracts and foreign currency contracts | (7,117,751 | ) | (9,017,131 | ) | ||||
Net increase (decrease) in unrealized appreciation/depreciation on investments, futures contracts and foreign currency contracts | (6,996,622 | ) | 5,254,038 | |||||
Net decrease in net assets resulting from operations | (13,224,318 | ) | (711,958 | ) | ||||
DISTRIBUTIONS TO SHAREHOLDERS: |
| |||||||
Distributable earnings | (2,475,949 | ) | (9,119,434 | ) | ||||
CAPITAL SHARE TRANSACTIONS: |
| |||||||
Net proceeds from sale of shares | 1,804,584 | 147,370,468 | ||||||
Cost of shares redeemed | (65,543,621 | ) | (80,914,698 | ) | ||||
Net increase (decrease) in net assets resulting from capital share transactions | (63,739,037 | ) | 66,455,770 | |||||
Net Increase (Decrease) in Net Assets | (79,439,304 | ) | 56,624,378 | |||||
NET ASSETS: |
| |||||||
Beginning of period | $ | 216,874,570 | $ | 160,250,192 | ||||
End of period | $ | 137,435,266 | $ | 216,874,570 | ||||
SHARES CREATED AND REDEEMED: |
| |||||||
Shares outstanding, beginning of period | 5,550,000 | 3,950,000 | ||||||
Shares created | 50,000 | 3,700,000 | ||||||
Shares redeemed | (1,750,000 | ) | (2,100,000 | ) | ||||
Shares outstanding, end of period | 3,850,000 | 5,550,000 |
See Notes to Financial Statements.
WisdomTree Trust | 149 |
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 29, 2020 (unaudited) | For the Year Ended August 31, 2019 | For the Year Ended August 31, 2018 | For the Year Ended August 31, 2017 | For the Year Ended August 31, 2016 | For the Year Ended August 31, 2015 | ||||||||||||||||||
Net asset value, beginning of period | $ | 28.11 | $ | 26.73 | $ | 25.64 | $ | 26.34 | $ | 28.63 | $ | 25.11 | ||||||||||||
Investment operations: |
| |||||||||||||||||||||||
Net investment income (loss)1 | 0.17 | 0.47 | 0.21 | 0.00 | 2 | (0.10 | ) | (0.13 | ) | |||||||||||||||
Net realized and unrealized gain (loss) | (0.03 | ) | 1.15 | 0.88 | 3 | (0.70 | ) | (0.42 | )3 | 4.08 | ||||||||||||||
Total from investment operations | 0.14 | 1.62 | 1.09 | (0.70 | ) | (0.52 | ) | 3.95 | ||||||||||||||||
Dividends and distributions to shareholders: |
| |||||||||||||||||||||||
Net investment income | (0.82 | ) | (0.24 | ) | — | — | — | — | ||||||||||||||||
Capital gains | — | — | — | — | (1.77 | ) | (0.43 | ) | ||||||||||||||||
Total dividends and distributions to shareholders | (0.82 | ) | (0.24 | ) | — | — | (1.77 | ) | (0.43 | ) | ||||||||||||||
Net asset value, end of period | $ | 27.43 | $ | 28.11 | $ | 26.73 | $ | 25.64 | $ | 26.34 | $ | 28.63 | ||||||||||||
TOTAL RETURN4 | 0.53 | % | 6.09 | % | 4.25 | %5 | (2.66 | )% | (2.05 | )%6 | 15.83 | % | ||||||||||||
RATIOS/SUPPLEMENTAL DATA: |
| |||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $ | 54,854 | $ | 44,974 | $ | 90,884 | $ | 138,462 | $ | 237,059 | $ | 340,684 | ||||||||||||
Ratios to average net assets of: |
| |||||||||||||||||||||||
Expenses | 0.50 | %7,8,9 | 0.50 | %8,9 | 0.50 | %8,9 | 0.50 | % | 0.50 | % | 0.50 | % | ||||||||||||
Net investment income (loss) | 1.23 | %7,9 | 1.71 | %9 | 0.83 | %9 | 0.00 | %10 | (0.35 | )% | (0.48 | )% | ||||||||||||
Portfolio turnover rate11 | 0 | % | 23 | % | 0 | % | 0 | % | 0 | % | 0 | % |
WisdomTree Chinese Yuan Strategy Fund | For the Six Months Ended February 29, 2020 (unaudited) | For the Year Ended August 31, 2019 | For the Year Ended August 31, 2018 | For the Year Ended August 31, 2017 | For the Year Ended August 31, 2016 | For the Year Ended August 31, 2015 | ||||||||||||||||||
Net asset value, beginning of period | $ | 24.80 | $ | 25.49 | $ | 25.54 | $ | 24.42 | $ | 24.67 | $ | 25.35 | ||||||||||||
Investment operations: |
| |||||||||||||||||||||||
Net investment income1 | 0.16 | 0.47 | 0.24 | 0.02 | 0.06 | 0.06 | ||||||||||||||||||
Net realized and unrealized gain (loss) | 0.74 | (0.87 | ) | (0.29 | ) | 1.10 | (0.31 | ) | (0.64 | ) | ||||||||||||||
Total from investment operations | 0.90 | (0.40 | ) | (0.05 | ) | 1.12 | (0.25 | ) | (0.58 | ) | ||||||||||||||
Dividends and distributions to shareholders: |
| |||||||||||||||||||||||
Net investment income | (0.51 | ) | (0.29 | ) | — | — | — | — | ||||||||||||||||
Capital gains | — | — | — | — | — | (0.10 | ) | |||||||||||||||||
Total dividends and distributions to shareholders | (0.51 | ) | (0.29 | ) | — | — | — | (0.10 | ) | |||||||||||||||
Net asset value, end of period | $ | 25.19 | $ | 24.80 | $ | 25.49 | $ | 25.54 | $ | 24.42 | $ | 24.67 | ||||||||||||
TOTAL RETURN4 | 3.65 | % | (1.59 | )% | (0.20 | )% | 4.59 | % | (1.01 | )% | (2.30 | )% | ||||||||||||
RATIOS/SUPPLEMENTAL DATA: |
| |||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $ | 25,192 | $ | 26,044 | $ | 31,861 | $ | 38,312 | $ | 48,843 | $ | 88,827 | ||||||||||||
Ratios to average net assets of: |
| |||||||||||||||||||||||
Expenses | 0.45 | %7,8,9 | 0.45 | %8,9 | 0.45 | %8,9 | 0.45 | % | 0.45 | % | 0.45 | % | ||||||||||||
Net investment income | 1.27 | %7,9 | 1.82 | %9 | 0.92 | %9 | 0.09 | % | 0.26 | % | 0.24 | % | ||||||||||||
Portfolio turnover rate11 | 0 | % | 0 | % | 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 and $0.01 per share for investment losses on certain foreign exchange transactions during the fiscal years ended August 31, 2018 and 2016, respectively. |
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 exchange transactions during the period. Excluding this voluntary reimbursement, total return would have been unchanged. |
6 | Includes a voluntary reimbursement from the sub-advisor for investment losses on certain foreign exchange transactions during the period. Excluding this voluntary reimbursement, total return would have been 0.04% lower. |
7 | Annualized. |
8 | The expense ratio includes investment advisory fee waivers. Without these investment advisory fee waivers, the expense ratio would have been unchanged. |
9 | The ratios to average net assets do not include net investment income (loss) or expenses of other funds in which the Fund invests. |
10 | Amount represents less than 0.005%. |
11 | Portfolio turnover rate is not annualized. Short-term securities with maturities less than or equal to 365 days are excluded from the portfolio turnover calculation. |
See Notes to Financial Statements.
150 | 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 29, 2020 (unaudited) | For the Year Ended August 31, 2019 | For the Year Ended August 31, 2018 | For the Year Ended August 31, 2017 | For the Year Ended August 31, 2016 | For the Year Ended August 31, 2015 | ||||||||||||||||||
Net asset value, beginning of period | $ | 18.19 | $ | 17.97 | $ | 19.14 | $ | 17.97 | $ | 17.01 | $ | 20.43 | ||||||||||||
Investment operations: | ||||||||||||||||||||||||
Net investment income (loss)1 | 0.11 | 0.31 | 0.16 | 0.00 | 2 | (0.07 | ) | (0.10 | ) | |||||||||||||||
Net realized and unrealized gain (loss) | (0.21 | ) | 0.25 | (1.33 | ) | 1.17 | 1.03 | (3.32 | ) | |||||||||||||||
Total from investment operations | (0.10 | ) | 0.56 | (1.17 | ) | 1.17 | 0.96 | (3.42 | ) | |||||||||||||||
Dividends to shareholders: | ||||||||||||||||||||||||
Net investment income | (0.35 | ) | (0.34 | ) | — | — | — | — | ||||||||||||||||
Net asset value, end of period | $ | 17.74 | $ | 18.19 | $ | 17.97 | $ | 19.14 | $ | 17.97 | $ | 17.01 | ||||||||||||
TOTAL RETURN3 | (0.61 | )% | 3.12 | % | (6.11 | )% | 6.51 | % | 5.64 | % | (16.74 | )% | ||||||||||||
RATIOS/SUPPLEMENTAL DATA: | ||||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $ | 17,739 | $ | 20,009 | $ | 28,746 | $ | 49,755 | $ | 43,130 | $ | 52,719 | ||||||||||||
Ratios to average net assets of: | ||||||||||||||||||||||||
Expenses | 0.55 | %4,5,6 | 0.55 | %5,6 | 0.55 | %5,6 | 0.55 | % | 0.55 | % | 0.55 | % | ||||||||||||
Net investment income (loss) | 1.20 | %4,6 | 1.68 | %6 | 0.82 | %6 | 0.01 | % | (0.41 | )% | (0.52 | )% | ||||||||||||
Portfolio turnover rate7 | 0 | % | 0 | % | 0 | % | 0 | % | 0 | % | 0 | % |
WisdomTree Emerging Markets Corporate Bond Fund | For the Six Months Ended February 29, 2020 (unaudited) | For the Year Ended August 31, 2019 | For the Year Ended August 31, 2018 | For the Year Ended August 31, 2017 | For the Year Ended August 31, 2016 | For the Year Ended August 31, 2015 | ||||||||||||||||||
Net asset value, beginning of period | $ | 72.72 | $ | 68.58 | $ | 72.91 | $ | 71.93 | $ | 69.13 | $ | 77.82 | ||||||||||||
Investment operations: |
| |||||||||||||||||||||||
Net investment income1 | 1.48 | 3.00 | 2.84 | 2.87 | 2.97 | 3.51 | ||||||||||||||||||
Net realized and unrealized gain (loss) | 1.30 | 4.17 | (4.30 | ) | 0.98 | 2.82 | (8.61 | ) | ||||||||||||||||
Total from investment operations | 2.78 | 7.17 | (1.46 | ) | 3.85 | 5.79 | (5.10 | ) | ||||||||||||||||
Dividends and distributions to shareholders: |
| |||||||||||||||||||||||
Net investment income | (1.51 | ) | (3.03 | ) | (2.87 | ) | (2.87 | ) | (2.99 | ) | (3.56 | ) | ||||||||||||
Tax return of capital | — | — | — | — | — | (0.03 | ) | |||||||||||||||||
Total dividends and distributions to shareholders | (1.51 | ) | (3.03 | ) | (2.87 | ) | (2.87 | ) | (2.99 | ) | (3.59 | ) | ||||||||||||
Net asset value, end of period | $ | 73.99 | $ | 72.72 | $ | 68.58 | $ | 72.91 | $ | 71.93 | $ | 69.13 | ||||||||||||
TOTAL RETURN3 | 3.84 | % | 10.69 | % | (2.08 | )% | 5.51 | % | 8.71 | % | (6.69 | )% | ||||||||||||
RATIOS/SUPPLEMENTAL DATA: |
| |||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $ | 36,995 | $ | 36,362 | $ | 41,150 | $ | 51,035 | $ | 57,543 | $ | 82,956 | ||||||||||||
Ratios to average net assets of: |
| |||||||||||||||||||||||
Expenses | 0.60 | %4 | 0.60 | % | 0.60 | % | 0.60 | % | 0.60 | % | 0.60 | % | ||||||||||||
Net investment income | 4.03 | %4 | 4.26 | % | 3.96 | % | 4.03 | % | 4.35 | % | 4.79 | % | ||||||||||||
Portfolio turnover rate7 | 24 | % | 54 | % | 132 | % | 36 | % | 21 | % | 25 | % |
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 Emerging Currency Strategy Fund, 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. Short-term securities with maturities less than or equal to 365 days are excluded from the portfolio turnover calculation. |
See Notes to Financial Statements.
WisdomTree Trust | 151 |
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 29, 2020 (unaudited) | For the Year Ended August 31, 2019 | For the Year Ended August 31, 2018 | For the Year Ended August 31, 2017 | For the Year Ended August 31, 2016 | For the Year Ended August 31, 2015 | ||||||||||||||||||
Net asset value, beginning of period | $ | 34.35 | $ | 32.47 | $ | 38.92 | $ | 37.59 | $ | 35.77 | $ | 47.13 | ||||||||||||
Investment operations: |
| |||||||||||||||||||||||
Net investment income1 | 0.93 | 1.96 | 2.15 | 2.07 | 2.00 | 2.17 | ||||||||||||||||||
Net realized and unrealized gain (loss) | (0.38 | ) | 1.72 | (6.48 | ) | 1.00 | 1.57 | (11.46 | ) | |||||||||||||||
Total from investment operations | 0.55 | 3.68 | (4.33 | ) | 3.07 | 3.57 | (9.29 | ) | ||||||||||||||||
Dividends and distributions to shareholders: |
| |||||||||||||||||||||||
Net investment income | (0.88 | ) | (0.82 | ) | (2.06 | ) | (0.82 | ) | (0.59 | ) | (1.95 | ) | ||||||||||||
Tax return of capital | — | (0.98 | ) | (0.06 | ) | (0.92 | ) | (1.16 | ) | (0.12 | ) | |||||||||||||
Total dividends and distributions to shareholders | (0.88 | ) | (1.80 | ) | (2.12 | ) | (1.74 | ) | (1.75 | ) | (2.07 | ) | ||||||||||||
Net asset value, end of period | $ | 34.02 | $ | 34.35 | $ | 32.47 | $ | 38.92 | $ | 37.59 | $ | 35.77 | ||||||||||||
TOTAL RETURN2 | 1.54 | % | 11.54 | % | (11.66 | )% | 8.46 | % | 10.34 | % | (20.19 | )% | ||||||||||||
RATIOS/SUPPLEMENTAL DATA: |
| |||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $ | 176,891 | $ | 195,783 | $ | 172,083 | $ | 256,851 | $ | 327,034 | $ | 479,267 | ||||||||||||
Ratios to average net assets of: |
| |||||||||||||||||||||||
Expenses | 0.55 | %3 | 0.55 | % | 0.55 | % | 0.55 | % | 0.55 | % | 0.55 | % | ||||||||||||
Net investment income | 5.32 | %3 | 5.77 | % | 5.71 | % | 5.51 | % | 5.59 | % | 5.22 | % | ||||||||||||
Portfolio turnover rate4 | 16 | % | 27 | % | 44 | % | 39 | % | 46 | % | 22 | % |
WisdomTree Floating Rate Treasury Fund | For the Six Months Ended February 29, 2020 (unaudited) | For the Year Ended August 31, 2019 | For the Year Ended August 31, 2018 | For the Year Ended August 31, 2017 | �� | For the Year Ended August 31, 2016 | For the Year Ended August 31, 2015 | |||||||||||||||||
Net asset value, beginning of period | $ | 25.05 | $ | 25.07 | $ | 25.07 | $ | 25.03 | $ | 24.99 | $ | 24.99 | ||||||||||||
Investment operations: |
| |||||||||||||||||||||||
Net investment income (loss)1 | 0.21 | 0.56 | 0.45 | 0.17 | 0.05 | (0.01 | ) | |||||||||||||||||
Net realized and unrealized gain (loss) | 0.06 | (0.05 | ) | (0.07 | ) | 0.04 | 0.02 | 0.01 | ||||||||||||||||
Total from investment operations | 0.27 | 0.51 | 0.38 | 0.21 | 0.07 | (0.00 | )5 | |||||||||||||||||
Dividends and distributions to shareholders: |
| |||||||||||||||||||||||
Net investment income | (0.22 | ) | (0.53 | ) | (0.35 | ) | (0.17 | ) | (0.03 | ) | — | |||||||||||||
Capital gains | — | — | (0.03 | ) | — | — | — | |||||||||||||||||
Total dividends and distributions to shareholders | (0.22 | ) | (0.53 | ) | (0.38 | ) | (0.17 | ) | (0.03 | ) | — | |||||||||||||
Net asset value, end of period | $ | 25.10 | $ | 25.05 | $ | 25.07 | $ | 25.07 | $ | 25.03 | $ | 24.99 | ||||||||||||
TOTAL RETURN2 | 1.08 | % | 2.06 | % | 1.53 | % | 0.85 | % | 0.28 | % | 0.00 | % | ||||||||||||
RATIOS/SUPPLEMENTAL DATA: |
| |||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $ | 1,707,827 | $ | 1,652,361 | $ | 272,044 | $ | 1,254 | $ | 1,251 | $ | 1,250 | ||||||||||||
Ratios to average net assets of: |
| |||||||||||||||||||||||
Expenses, net of expense waivers | 0.15 | %3 | 0.15 | % | 0.15 | % | 0.15 | % | 0.15 | % | 0.15 | % | ||||||||||||
Expenses, prior to expense waivers | 0.15 | %3 | 0.15 | % | 0.17 | % | 0.20 | % | 0.20 | % | 0.20 | % | ||||||||||||
Net investment income (loss) | 1.67 | %3 | 2.22 | % | 1.83 | % | 0.68 | % | 0.20 | % | (0.06 | )% | ||||||||||||
Portfolio turnover rate4 | 80 | % | 170 | % | 170 | % | 160 | % | 157 | % | 118 | % |
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 Floating Rate Treasury 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 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 | Amount represents less than $0.005. |
See Notes to Financial Statements.
152 | 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 29, 2020 (unaudited) | For the Year Ended August 31, 2019 | For the Year Ended August 31, 2018 | For the Year Ended August 31, 2017 | For the Year Ended August 31, 2016 | For the Year Ended August 31, 2015 | ||||||||||||||||||
Net asset value, beginning of period | $ | 23.13 | $ | 24.07 | $ | 23.91 | $ | 23.39 | $ | 23.18 | $ | 24.86 | ||||||||||||
Investment operations: |
| |||||||||||||||||||||||
Net investment income1 | 0.64 | 1.30 | 1.23 | 1.24 | 1.10 | 0.90 | ||||||||||||||||||
Net realized and unrealized gain (loss) | (0.61 | ) | (0.91 | ) | 0.10 | 0.53 | 0.20 | (1.67 | ) | |||||||||||||||
Total from investment operations | 0.03 | 0.39 | 1.33 | 1.77 | 1.30 | (0.77 | ) | |||||||||||||||||
Dividends and distributions to shareholders: |
| |||||||||||||||||||||||
Net investment income | (0.65 | ) | (1.30 | ) | (1.17 | ) | (1.25 | ) | (1.09 | ) | (0.91 | ) | ||||||||||||
Capital gains | — | (0.03 | ) | — | — | — | — | |||||||||||||||||
Total dividends and distributions to shareholders | (0.65 | ) | (1.33 | ) | (1.17 | ) | (1.25 | ) | (1.09 | ) | (0.91 | ) | ||||||||||||
Net asset value, end of period | $ | 22.51 | $ | 23.13 | $ | 24.07 | $ | 23.91 | $ | 23.39 | $ | 23.18 | ||||||||||||
TOTAL RETURN2 | 0.09 | % | 1.68 | % | 5.68 | % | 7.73 | % | 5.92 | % | (3.15 | )% | ||||||||||||
RATIOS/SUPPLEMENTAL DATA: |
| |||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $ | 202,571 | $ | 247,466 | $ | 262,332 | $ | 54,997 | $ | 14,037 | $ | 20,859 | ||||||||||||
Ratios to average net assets of: |
| |||||||||||||||||||||||
Expenses | 0.43 | %3 | 0.43 | % | 0.43 | % | 0.43 | % | 0.43 | % | 0.43 | % | ||||||||||||
Net investment income | 5.52 | %3 | 5.52 | % | 5.14 | % | 5.19 | % | 4.90 | % | 3.75 | % | ||||||||||||
Portfolio turnover rate4 | 26 | % | 61 | % | 60 | % | 57 | % | 44 | % | 55 | % |
WisdomTree Interest Rate Hedged U.S. Aggregate Bond Fund | For the Six Months Ended February 29, 2020 (unaudited) | For the Year Ended August 31, 2019 | For the Year Ended August 31, 2018 | For the Year Ended August 31, 2017 | For the Year Ended August 31, 2016 | For the Year Ended August 31, 2015 | ||||||||||||||||||
Net asset value, beginning of period | $ | 47.71 | $ | 47.82 | $ | 47.89 | $ | 48.01 | $ | 48.21 | $ | 49.78 | ||||||||||||
Investment operations: |
| |||||||||||||||||||||||
Net investment income1 | 0.63 | 1.36 | 1.18 | 0.95 | 0.77 | 0.68 | ||||||||||||||||||
Net realized and unrealized loss | (0.06 | ) | (0.10 | ) | (0.07 | ) | (0.03 | ) | (0.13 | ) | (1.50 | ) | ||||||||||||
Total from investment operations | 0.57 | 1.26 | 1.11 | 0.92 | 0.64 | (0.82 | ) | |||||||||||||||||
Dividends and distributions to shareholders: |
| |||||||||||||||||||||||
Net investment income | (0.66 | ) | (1.37 | ) | (1.18 | ) | (1.04 | ) | (0.84 | ) | (0.75 | ) | ||||||||||||
Tax return of capital | — | — | — | — | — | (0.00 | )5 | |||||||||||||||||
Total dividends and distributions to shareholders | (0.66 | ) | (1.37 | ) | (1.18 | ) | (1.04 | ) | (0.84 | ) | (0.75 | ) | ||||||||||||
Net asset value, end of period | $ | 47.62 | $ | 47.71 | $ | 47.82 | $ | 47.89 | $ | 48.01 | $ | 48.21 | ||||||||||||
TOTAL RETURN2 | 1.19 | % | 2.69 | % | 2.35 | % | 1.93 | % | 1.35 | % | (1.66 | )% | ||||||||||||
RATIOS/SUPPLEMENTAL DATA: |
| |||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $ | 85,719 | $ | 76,337 | $ | 52,606 | $ | 23,945 | $ | 24,005 | $ | 28,923 | ||||||||||||
Ratios to average net assets of: |
| |||||||||||||||||||||||
Expenses | 0.23 | %3 | 0.23 | % | 0.23 | % | 0.23 | % | 0.23 | % | 0.23 | % | ||||||||||||
Net investment income | 2.64 | %3 | 2.86 | % | 2.46 | % | 1.99 | % | 1.60 | % | 1.39 | % | ||||||||||||
Portfolio turnover rate4,6 | 24 | % | 39 | % | 81 | % | 187 | % | 226 | % | 359 | % |
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 | Annualized. |
4 | Portfolio turnover rate is not annualized 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 | Amount represents less than $0.005. |
6 | The portfolio turnover rates excluding TBA roll transactions for the periods ended February 29, 2020, August 31, 2019, August 31, 2018, August 31, 2017, August 31, 2016 and August 31, 2015 were 16%, 12%, 28%, 45%, 33% and 95%, respectively. |
See Notes to Financial Statements.
WisdomTree Trust | 153 |
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 Period November 14, 2019* through February 29, 2020 (unaudited) | |||||||||||||||||||||||
Net asset value, beginning of period | $ | 50.26 | ||||||||||||||||||||||
Investment operations: | ||||||||||||||||||||||||
Net investment income1 | 0.32 | |||||||||||||||||||||||
Net realized and unrealized gain | 1.02 | |||||||||||||||||||||||
Total from investment operations | 1.34 | |||||||||||||||||||||||
Dividends to shareholders: | ||||||||||||||||||||||||
Net investment income | (0.31 | ) | ||||||||||||||||||||||
Net asset value, end of period | $ | 51.29 | ||||||||||||||||||||||
TOTAL RETURN2 | 2.68 | % | ||||||||||||||||||||||
RATIOS/SUPPLEMENTAL DATA: | ||||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $ | 20,514 | ||||||||||||||||||||||
Ratios to average net assets of: | ||||||||||||||||||||||||
Expenses | 0.45 | %3 | ||||||||||||||||||||||
Net investment income | 2.18 | %3 | ||||||||||||||||||||||
Portfolio turnover rate4 | 5 | % |
WisdomTree Negative Duration High Yield Bond Fund | For the Six Months Ended February 29, 2020 (unaudited) | For the Year Ended August 31, 2019 | For the Year Ended August 31, 2018 | For the Year Ended August 31, 2017 | For the Year Ended August 31, 2016 | For the Year Ended August 31, 2015 | ||||||||||||||||||
Net asset value, beginning of period | $ | 18.33 | $ | 21.12 | $ | 20.40 | $ | 19.42 | $ | 20.83 | $ | 22.99 | ||||||||||||
Investment operations: | ||||||||||||||||||||||||
Net investment income1 | 0.48 | 1.11 | 1.07 | 1.04 | 0.93 | 0.83 | ||||||||||||||||||
Net realized and unrealized gain (loss) | (1.07 | ) | (2.77 | ) | 0.68 | 0.97 | (1.41 | ) | (2.17 | ) | ||||||||||||||
Total from investment operations | (0.59 | ) | (1.66 | ) | 1.75 | 2.01 | (0.48 | ) | (1.34 | ) | ||||||||||||||
Dividends to shareholders: | ||||||||||||||||||||||||
Net investment income | (0.52 | ) | (1.13 | ) | (1.03 | ) | (1.03 | ) | (0.93 | ) | (0.82 | ) | ||||||||||||
Net asset value, end of period | $ | 17.22 | $ | 18.33 | $ | 21.12 | $ | 20.40 | $ | 19.42 | $ | 20.83 | ||||||||||||
TOTAL RETURN2 | (3.41 | )% | (8.18 | )% | 8.72 | % | 10.44 | % | (2.22 | )% | (5.91 | )% | ||||||||||||
RATIOS/SUPPLEMENTAL DATA: | ||||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $ | 18,945 | $ | 32,991 | $ | 57,022 | $ | 16,319 | $ | 9,712 | $ | 12,499 | ||||||||||||
Ratios to average net assets of: | ||||||||||||||||||||||||
Expenses | 0.48 | %3 | 0.48 | % | 0.48 | % | 0.48 | % | 0.48 | % | 0.48 | % | ||||||||||||
Net investment income | 5.22 | %3 | 5.45 | % | 5.09 | % | 5.03 | % | 4.78 | % | 3.82 | % | ||||||||||||
Portfolio turnover rate4 | 26 | % | 66 | % | 98 | % | 71 | % | 43 | % | 34 | % |
* | Commencement of operations. |
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 | Annualized. |
4 | Portfolio turnover rate is not annualized 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. |
See Notes to Financial Statements.
154 | 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 Negative Duration U.S. Aggregate Bond Fund | For the Six Months Ended February 29, 2020 (unaudited) | For the Year Ended August 31, 2019 | For the Year Ended August 31, 2018 | For the Year Ended August 31, 2017 | For the Year Ended August 31, 2016 | For the Year Ended August 31, 2015 | ||||||||||||||||||
Net asset value, beginning of period | $ | 40.41 | $ | 43.38 | $ | 42.88 | $ | 42.26 | $ | 44.42 | $ | 46.65 | ||||||||||||
Investment operations: |
| |||||||||||||||||||||||
Net investment income1 | 0.52 | 1.21 | 1.06 | 0.83 | 0.70 | 0.62 | ||||||||||||||||||
Net realized and unrealized gain (loss) | (0.75 | ) | (2.89 | ) | 0.47 | 0.67 | (2.07 | ) | (2.18 | ) | ||||||||||||||
Total from investment operations | (0.23 | ) | (1.68 | ) | 1.53 | 1.50 | (1.37 | ) | (1.56 | ) | ||||||||||||||
Dividends and distributions to shareholders: |
| |||||||||||||||||||||||
Net investment income | (0.55 | ) | (1.29 | ) | (1.03 | ) | (0.88 | ) | (0.79 | ) | (0.67 | ) | ||||||||||||
Tax return of capital | — | — | — | (0.00 | )2 | — | — | |||||||||||||||||
Total dividends and distributions to shareholders | (0.55 | ) | (1.29 | ) | (1.03 | ) | (0.88 | ) | (0.79 | ) | (0.67 | ) | ||||||||||||
Net asset value, end of period | $ | 39.63 | $ | 40.41 | $ | 43.38 | $ | 42.88 | $ | 42.26 | $ | 44.42 | ||||||||||||
TOTAL RETURN3 | (0.60 | )% | (3.98 | )% | 3.58 | % | 3.55 | % | (3.11 | )% | (3.36 | )% | ||||||||||||
RATIOS/SUPPLEMENTAL DATA: |
| |||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $ | 19,815 | $ | 24,247 | $ | 30,367 | $ | 17,152 | $ | 12,679 | $ | 17,767 | ||||||||||||
Ratios to average net assets of: |
| |||||||||||||||||||||||
Expenses | 0.28 | %4 | 0.28 | % | 0.28 | % | 0.28 | % | 0.28 | % | 0.28 | % | ||||||||||||
Net investment income | 2.53 | %4 | 2.83 | % | 2.44 | % | 1.91 | % | 1.61 | % | 1.38 | % | ||||||||||||
Portfolio turnover rate5,6 | 30 | % | 88 | % | 169 | % | 209 | % | 226 | % | 424 | % |
WisdomTree Yield Enhanced Global Aggregate Bond Fund | For the Six Months Ended February 29, 2020 (unaudited) | For the Period December 13, 2018* through August 31, 2019 | ||||||
Net asset value, beginning of period | $ | 27.81 | $ | 24.97 | ||||
Investment operations: | ||||||||
Net investment income1 | 0.24 | 0.43 | ||||||
Net realized and unrealized gain | 0.32 | 2.84 | ||||||
Total from investment operations | 0.56 | 3.27 | ||||||
Dividends and distributions to shareholders: | ||||||||
Net investment income | (0.76 | ) | (0.43 | ) | ||||
Capital gains | (0.42 | ) | — | |||||
Total dividends and distributions to shareholders | (1.18 | ) | (0.43 | ) | ||||
Net asset value, end of period | $ | 27.19 | $ | 27.81 | ||||
TOTAL RETURN3 | 2.15 | % | 13.24 | % | ||||
RATIOS/SUPPLEMENTAL DATA: | ||||||||
Net assets, end of period (000’s omitted) | $ | 5,437 | $ | 2,781 | ||||
Ratios to average net assets7 of: | ||||||||
Expenses, net of expense waivers | 0.15 | %4 | 0.14 | %4 | ||||
Expenses, prior to expense waivers | 0.20 | %4 | 0.20 | %4 | ||||
Net investment income | 1.80 | %4 | 2.31 | %4 | ||||
Portfolio turnover rate5 | 34 | % | 31 | % |
* | Commencement of operations. |
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 Yield Enhanced Global Aggregate Bond 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 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 portfolio turnover rates excluding TBA roll transactions for the periods ended February 29, 2020, August 31, 2019, August 31, 2018, August 31, 2017, August 31, 2016 and August 31, 2015 were 17%, 52%, 117%, 94%, 56% and 163%, respectively. |
7 | 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 | 155 |
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. Aggregate Bond Fund | For the Six Months Ended February 29, 2020 (unaudited) | For the Year Ended August 31, 2019 | For the Year Ended August 31, 2018 | For the Year Ended August 31, 2017 | For the Year Ended August 31, 2016 | For the Period July 9, 2015* through August 31, 2015 | ||||||||||||||||||
Net asset value, beginning of period | $ | 52.71 | $ | 48.68 | $ | 50.94 | $ | 52.04 | $ | 49.64 | $ | 49.78 | ||||||||||||
Investment operations: | ||||||||||||||||||||||||
Net investment income1 | 0.73 | 1.61 | 1.53 | 1.35 | 1.31 | 0.16 | ||||||||||||||||||
Net realized and unrealized gain (loss) | 1.20 | 4.05 | (2.26 | ) | (0.85 | ) | 2.50 | (0.18 | ) | |||||||||||||||
Total from investment operations | 1.93 | 5.66 | (0.73 | ) | 0.50 | 3.81 | (0.02 | ) | ||||||||||||||||
Dividends and distributions to shareholders: | ||||||||||||||||||||||||
Net investment income | (0.78 | ) | (1.63 | ) | (1.53 | ) | (1.38 | ) | (1.41 | ) | (0.12 | ) | ||||||||||||
Capital gains | — | — | — | (0.22 | ) | — | — | |||||||||||||||||
Total dividends and distributions to shareholders | (0.78 | ) | (1.63 | ) | (1.53 | ) | (1.60 | ) | (1.41 | ) | (0.12 | ) | ||||||||||||
Net asset value, end of period | $ | 53.86 | $ | 52.71 | $ | 48.68 | $ | 50.94 | $ | 52.04 | $ | 49.64 | ||||||||||||
TOTAL RETURN2 | 3.70 | % | 11.92 | % | (1.44 | )% | 1.05 | % | 7.81 | % | (0.04 | )% | ||||||||||||
RATIOS/SUPPLEMENTAL DATA: | ||||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $ | 1,297,914 | $ | 880,193 | $ | 418,662 | $ | 168,105 | $ | 109,285 | $ | 4,964 | ||||||||||||
Ratios to average net assets of: | ||||||||||||||||||||||||
Expenses, net of expense waivers | 0.12 | %3 | 0.12 | % | 0.12 | % | 0.12 | % | 0.12 | % | 0.12 | %3 | ||||||||||||
Expenses, prior to expense waivers | 0.20 | %3 | 0.20 | % | 0.20 | % | 0.20 | % | 0.20 | % | 0.20 | %3 | ||||||||||||
Net investment income | 2.81 | %3 | 3.25 | % | 3.10 | % | 2.69 | % | 2.59 | % | 2.21 | %3 | ||||||||||||
Portfolio turnover rate4,5 | 24 | % | 54 | % | 82 | % | 134 | % | 141 | % | 51 | % |
WisdomTree Yield Enhanced U.S. Short-Term Aggregate Bond Fund | For the Six Months Ended February 29, 2020 (unaudited) | 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 | $ | 50.58 | $ | 48.88 | $ | 50.25 | $ | 50.06 | ||||||||
Investment operations: | ||||||||||||||||
Net investment income1 | 0.68 | 1.40 | 1.17 | 0.26 | ||||||||||||
Net realized and unrealized gain (loss) | 0.54 | 1.69 | (1.41 | ) | 0.17 | |||||||||||
Total from investment operations | 1.22 | 3.09 | (0.24 | ) | 0.43 | |||||||||||
Dividends and distributions to shareholders: | ||||||||||||||||
Net investment income | (0.70 | ) | (1.39 | ) | (1.07 | ) | (0.24 | ) | ||||||||
Capital gains | — | — | (0.06 | ) | — | |||||||||||
Total dividends and distributions to shareholders | (0.70 | ) | (1.39 | ) | (1.13 | ) | (0.24 | ) | ||||||||
Net asset value, end of period | $ | 51.10 | $ | 50.58 | $ | 48.88 | $ | 50.25 | ||||||||
TOTAL RETURN2 | 2.44 | % | 6.43 | % | (0.47 | )% | 0.86 | % | ||||||||
RATIOS/SUPPLEMENTAL DATA: | ||||||||||||||||
Net assets, end of period (000’s omitted) | $ | 81,760 | $ | 91,052 | $ | 39,104 | $ | 5,025 | ||||||||
Ratios to average net assets of: | ||||||||||||||||
Expenses, net of expense waivers | 0.12 | %3 | 0.12 | % | 0.12 | % | 0.12 | %3 | ||||||||
Expenses, prior to expense waivers | 0.20 | %3 | 0.20 | % | 0.20 | % | 0.20 | %3 | ||||||||
Net investment income | 2.71 | %3 | 2.83 | % | 2.40 | % | 1.76 | %3 | ||||||||
Portfolio turnover rate4,6 | 29 | % | 49 | % | 177 | % | 44 | % |
* | Commencement of operations. |
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, 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 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 portfolio turnover rate excluding TBA roll transactions for the periods ended February 29, 2020, August 31, 2019, August 31, 2018, August 31, 2017, August 31, 2016 and August 31, 2015, were 22%, 44%, 38%, 59%, 51% and 6%, respectively. |
6 | The portfolio turnover rate excluding TBA roll transactions for the periods ended February 29, 2020, August 31, 2019, August 31, 2018 and August 31, 2017 were 16%, 24%, 120% and 22%, respectively. |
See Notes to Financial Statements.
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Financial Highlights (concluded)
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 29, 2020 (unaudited) | For the Year Ended August 31, 2019 | For the Year Ended August 31, 2018 | For the Year Ended August 31, 2017 | For the Period February 24, 2016* through August 31, 2016 | |||||||||||||||||||
Net asset value, beginning of period | $ | 27.45 | $ | 30.57 | $ | 29.23 | $ | 27.05 | $ | 25.10 | ||||||||||||||
Investment operations: | ||||||||||||||||||||||||
Net investment income (loss)1 | 0.18 | 0.49 | 0.22 | 0.06 | (0.02 | ) | ||||||||||||||||||
Net realized and unrealized gain (loss) | (1.10 | ) | (1.96 | ) | 2.15 | 2.74 | 1.97 | |||||||||||||||||
Total from investment operations | (0.92 | ) | (1.47 | ) | 2.37 | 2.80 | 1.95 | |||||||||||||||||
Dividends and distributions to shareholders: | ||||||||||||||||||||||||
Net investment income | (0.42 | ) | (0.25 | ) | (0.06 | ) | — | — | ||||||||||||||||
Capital gains | — | (1.40 | ) | (0.97 | ) | (0.62 | ) | — | ||||||||||||||||
Total dividends and distributions to shareholders | (0.42 | ) | (1.65 | ) | (1.03 | ) | (0.62 | ) | — | |||||||||||||||
Net asset value, end of period | $ | 26.11 | $ | 27.45 | $ | 30.57 | $ | 29.23 | $ | 27.05 | ||||||||||||||
TOTAL RETURN2 | (3.48 | )% | (4.72 | )% | 8.28 | % | 10.52 | % | 7.77 | % | ||||||||||||||
RATIOS/SUPPLEMENTAL DATA: | ||||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $ | 194,548 | $ | 211,350 | $ | 238,434 | $ | 204,635 | $ | 16,229 | ||||||||||||||
Ratios to average net assets of: | ||||||||||||||||||||||||
Expenses, net of expense waivers | 0.40 | %3,4 | 0.38 | % | 0.38 | % | 0.38 | % | 0.38 | %3 | ||||||||||||||
Expenses, prior to expense waivers | 0.44 | %3,4 | 0.44 | % | 0.44 | % | 0.44 | % | 0.44 | %3 | ||||||||||||||
Net investment income (loss) | 1.26 | %3,4 | 1.78 | % | 0.76 | % | 0.21 | % | (0.18 | )%3 | ||||||||||||||
Portfolio turnover rate5 | 12 | % | 0 | % | 0 | % | 0 | % | 0 | % |
WisdomTree Managed Futures Strategy Fund (consolidated) | For the Six Months Ended February 29, 2020 (unaudited) | For the Year Ended August 31, 2019 | For the Year Ended August 31, 2018 | For the Year Ended August 31, 2017 | For the Year Ended August 31, 2016 | For the Year Ended August 31, 2015 | ||||||||||||||||||
Net asset value, beginning of period | $ | 39.08 | $ | 40.57 | $ | 38.84 | $ | 41.12 | $ | 41.17 | $ | 42.15 | ||||||||||||
Investment operations: | ||||||||||||||||||||||||
Net investment income (loss)1 | 0.19 | 0.55 | 0.26 | (0.07 | ) | (0.33 | ) | (0.40 | ) | |||||||||||||||
Net realized and unrealized gain (loss) | (2.97 | ) | (0.65 | ) | 1.47 | (2.21 | ) | 0.28 | (0.58 | ) | ||||||||||||||
Total from investment operations | (2.78 | ) | (0.10 | ) | 1.73 | (2.28 | ) | (0.05 | ) | (0.98 | ) | |||||||||||||
Dividends to shareholders: | ||||||||||||||||||||||||
Net investment income | (0.60 | ) | (1.39 | ) | — | — | — | — | ||||||||||||||||
Net asset value, end of period | $ | 35.70 | $ | 39.08 | $ | 40.57 | $ | 38.84 | $ | 41.12 | $ | 41.17 | ||||||||||||
TOTAL RETURN2 | (7.16 | )% | (0.22 | )%6 | 4.45 | % | (5.54 | )%7 | (0.12 | )% | (2.33 | )% | ||||||||||||
RATIOS/SUPPLEMENTAL DATA: | ||||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $ | 137,435 | $ | 216,875 | $ | 160,250 | $ | 170,879 | $ | 180,941 | $ | 214,083 | ||||||||||||
Ratios to average net assets of: | ||||||||||||||||||||||||
Expenses, net of expense waivers | 0.65 | %3,4 | 0.65 | % | 0.65 | % | 0.65 | % | 0.91 | % | 0.95 | % | ||||||||||||
Expenses, prior to expense waivers | 0.75 | %3,4 | 0.75 | % | 0.75 | % | 0.75 | % | 0.92 | % | 0.95 | % | ||||||||||||
Net investment income (loss) | 1.01 | %3,4 | 1.40 | % | 0.66 | % | (0.18 | )% | (0.80 | )% | (0.93 | )% | ||||||||||||
Portfolio turnover rate5 | 48 | % | 0 | % | 0 | % | 0 | % | 0 | % | 0 | % |
* | Commencement of operations. |
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, the total return would have been lower if certain expenses had not been waived (Notes 2 and 3). |
3 | Annualized. |
4 | The ratios to average net assets do not include net investment income (loss) or expenses of other funds in which the Fund invests. |
5 | Portfolio turnover rate is not annualized 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 | 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. |
7 | 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. |
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 Update (“ASU”) 2013-08, 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 Negative Duration High Yield Bond Fund (“Negative Duration High Yield Bond Fund’’ and also referred to herein as ‘‘Duration Funds’’) | December 18, 2013 | |||
WisdomTree Negative Duration U.S. Aggregate Bond Fund (“Negative Duration U.S. Aggregate Bond Fund’’ and also referred to herein as ‘‘Duration Funds’’) | December 18, 2013 | |||
WisdomTree Yield Enhanced Global Aggregate Bond Fund (“Yield Enhanced Global Aggregate Bond Fund’’) | December 13, 2018 | |||
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 CBOE S&P 500 PutWrite Strategy Fund (“CBOE S&P 500 PutWrite Strategy Fund’’) | February 24, 2016 | |||
WisdomTree Managed Futures Strategy Fund (“Managed Futures Strategy Fund’’) (consolidated) | January 5, 2011 |
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 Managed Futures Strategy Fund (the “Parent Fund”), include the accounts of WisdomTree Managed Futures Portfolio I, a wholly-owned and controlled Cayman Islands subsidiary (the “Subsidiary”). For the 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. The Parent Fund seeks to gain exposure to commodity markets, in whole or in part, through investments in its Subsidiary. The Parent Fund’s investment in its Subsidiary may not exceed 25% of the 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
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Notes to Financial Statements (unaudited) (continued)
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 broker-dealers yields and quoted prices 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 are valued daily using WM/Reuters closing spot and forward rates as of 4:00 p.m. London 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. For the Chinese Yuan Strategy Fund, Emerging Currency Strategy Fund, Emerging Markets Corporate Bond Fund and the Emerging Markets Local Debt Fund, WM/Reuters closing spot and forward rates as of 2:00 p.m. Singapore time are used to value forward foreign currency contracts in the following Asian currencies: Chinese renminbi, Chinese yuan, Hong Kong dollar, Indian rupee, Indonesian rupiah, Malaysian ringgit, Philippine peso, Singapore dollar, South Korean won, Taiwan dollar, and the Thai baht. 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 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 or system on which they are principally traded. Unlisted equity securities (including preferred stock) are valued at the last quoted 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”) 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 or ETN has not traded on its principal exchange.
In certain instances, such as when reliable market valuations are not readily available or are not deemed to reflect current market values, 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 WisdomTree Asset Management, Inc. (‘‘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 a national securities exchange, 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.
Fair Value Measurement — In accordance with Codification Topic 820 (“ASC 820”), Fair Value Measurements and Disclosures, fair value is defined as the price that each Fund would receive upon selling an investment in an orderly transaction to an independent buyer in the principal or most advantageous market of the investment. 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)
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Notes to Financial Statements (unaudited) (continued)
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 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 on 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 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, 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.
The following is a summary of the fair valuations according to the inputs used as of February 29, 2020 in valuing each Fund’s assets:
Bloomberg U.S. Dollar Bullish Fund | Level 1 | Level 2 | Level 3 | |||||||||
U.S. Government Obligations | $ | — | $ | 53,139,694 | $ | — | ||||||
Exchange-Traded Fund | 1,455,220 | — | — | |||||||||
Total | $ | 1,455,220 | $ | 53,139,694 | $ | — | ||||||
Unrealized Appreciation on Foreign Currency Contracts | — | 713,787 | — | |||||||||
Unrealized Depreciation on Foreign Currency Contracts | — | (290,238 | ) | — | ||||||||
Total - Net | $ | 1,455,220 | $ | 53,563,243 | $ | — | ||||||
Chinese Yuan Strategy Fund | Level 1 | Level 2 | Level 3 | |||||||||
U.S. Government Obligations | $ | — | $ | 16,073,239 | $ | — | ||||||
Exchange-Traded Fund | 1,169,194 | — | — | |||||||||
Repurchase Agreement | — | 7,790,000 | — | |||||||||
Total | $ | 1,169,194 | $ | 23,863,239 | $ | — | ||||||
Unrealized Appreciation on Foreign Currency Contracts | — | 98,974 | — | |||||||||
Unrealized Depreciation on Foreign Currency Contracts | — | (25,761 | ) | — | ||||||||
Total - Net | $ | 1,169,194 | $ | 23,936,452 | $ | — |
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Emerging Currency Strategy Fund | Level 1 | Level 2 | Level 3 | |||||||||
U.S. Government Obligations | $ | — | $ | 12,606,662 | $ | — | ||||||
Exchange-Traded Fund | 792,844 | — | — | |||||||||
Repurchase Agreement | — | 4,860,000 | — | |||||||||
Total | $ | 792,844 | $ | 17,466,662 | $ | — | ||||||
Unrealized Appreciation on Foreign Currency Contracts | — | 1,665 | — | |||||||||
Unrealized Depreciation on Foreign Currency Contracts | — | (576,328 | ) | — | ||||||||
Total - Net | $ | 792,844 | $ | 16,891,999 | $ | — | ||||||
Emerging Markets Corporate Bond Fund | Level 1 | Level 2 | Level 3 | |||||||||
U.S. Government Obligations | $ | — | $ | 26,780 | $ | — | ||||||
Foreign Corporate Bonds | — | 35,062,117 | — | |||||||||
Foreign Government Obligations | — | 1,071,732 | — | |||||||||
Investment of Cash Collateral for Securities Loaned | — | 4,252,403 | — | |||||||||
Total | $ | — | $ | 40,413,032 | $ | — | ||||||
Unrealized Appreciation on Futures Contracts | 67,063 | — | — | |||||||||
Unrealized Depreciation on Futures Contracts | (107,597 | ) | — | — | ||||||||
Total - Net | $ | (40,534 | ) | $ | 40,413,032 | $ | — | |||||
Emerging Markets Local Debt Fund | Level 1 | Level 2 | Level 3 | |||||||||
Foreign Government Obligations | $ | — | $ | 147,292,531 | $ | — | ||||||
Supranational Bonds | — | 9,463,814 | — | |||||||||
Repurchase Agreement | — | 13,120,000 | — | |||||||||
Total | $ | — | $ | 169,876,345 | $ | — | ||||||
Unrealized Appreciation on Foreign Currency Contracts | — | 90,998 | — | |||||||||
Unrealized Depreciation on Foreign Currency Contracts | — | (483,580 | ) | — | ||||||||
Total - Net | $ | — | $ | 169,483,763 | $ | — | ||||||
Floating Rate Treasury Fund | Level 1 | Level 2 | Level 3 | |||||||||
U.S. Government Obligations | $ | — | $ | 1,705,522,376 | $ | — | ||||||
Total | $ | — | $ | 1,705,522,376 | $ | — | ||||||
Interest Rate Hedged High Yield Bond Fund | Level 1 | Level 2 | Level 3 | |||||||||
U.S. Corporate Bonds | $ | — | $ | 165,567,569 | $ | — | ||||||
Foreign Corporate Bonds | — | 28,837,705 | — | |||||||||
Investment of Cash Collateral for Securities Loaned | — | 27,377,523 | — | |||||||||
Total | $ | — | $ | 221,782,797 | $ | — | ||||||
Unrealized Depreciation on Futures Contracts | (1,020,960 | ) | — | — | ||||||||
Total - Net | $ | (1,020,960 | ) | $ | 221,782,797 | $ | — | |||||
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Interest Rate Hedged U.S. Aggregate Bond Fund | Level 1 | Level 2 | Level 3 | |||||||||
U.S. Government Agencies | $ | — | $ | 23,250,421 | $ | — | ||||||
U.S. Government Obligations | — | 35,329,938 | — | |||||||||
U.S. Corporate Bonds | — | 18,608,623 | — | |||||||||
Foreign Corporate Bonds | — | 3,111,534 | — | |||||||||
Foreign Government Agencies | — | 1,081,678 | — | |||||||||
Foreign Government Obligations | — | 856,928 | — | |||||||||
Supranational Bonds | — | 731,249 | — | |||||||||
Commercial Mortgage-Backed Securities | — | 1,656,902 | — | |||||||||
Municipal Bonds | — | 398,555 | — | |||||||||
Asset-Backed Securities | — | 245,570 | — | |||||||||
Repurchase Agreement | — | 1,698,500 | — | |||||||||
Investment of Cash Collateral for Securities Loaned | — | 3,982,803 | — | |||||||||
Total | $ | — | $ | 90,952,701 | $ | — | ||||||
Unrealized Depreciation on Futures Contracts | (1,000,823 | ) | — | — | ||||||||
Total - Net | $ | (1,000,823 | ) | $ | 90,952,701 | $ | — | |||||
Mortgage Plus Bond Fund | Level 1 | Level 2 | Level 3 | |||||||||
Asset-Backed Securities | $ | — | $ | 986,049 | $ | — | ||||||
Collateralized Loan Obligations | — | 1,253,957 | — | |||||||||
Collateralized Mortgage Obligations | — | 5,933,251 | — | |||||||||
Commercial Mortgage-Backed Securities | — | 1,171,202 | — | |||||||||
U.S. Government Agencies | — | 11,096,246 | — | |||||||||
Total | $ | — | $ | 20,440,705 | $ | — | ||||||
Unrealized Appreciation on Futures Contracts | 3,000 | — | — | |||||||||
Unrealized Depreciation on Futures Contracts | (4,405 | ) | — | — | ||||||||
Total - Net | $ | (1,405 | ) | $ | 20,440,705 | $ | — | |||||
Negative Duration High Yield Bond Fund | Level 1 | Level 2 | Level 3 | |||||||||
U.S. Corporate Bonds | $ | — | $ | 16,480,087 | $ | — | ||||||
Foreign Corporate Bonds | — | 2,124,881 | — | |||||||||
Investment of Cash Collateral for Securities Loaned | — | 3,142,280 | — | |||||||||
Total | $ | — | $ | 21,747,248 | $ | — | ||||||
Unrealized Depreciation on Futures Contracts | (358,754 | ) | — | — | ||||||||
Total - Net | $ | (358,754 | ) | $ | 21,747,248 | $ | — | |||||
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Negative Duration U.S. Aggregate Bond Fund | Level 1 | Level 2 | Level 3 | |||||||||
U.S. Government Agencies | $ | — | $ | 5,691,975 | $ | — | ||||||
U.S. Government Obligations | — | 7,053,851 | — | |||||||||
U.S. Corporate Bonds | — | 4,551,676 | — | |||||||||
Foreign Corporate Bonds | — | 681,803 | — | |||||||||
Foreign Government Agencies | — | 142,914 | — | |||||||||
Foreign Government Obligations | — | 192,073 | — | |||||||||
Supranational Bonds | — | 300,096 | — | |||||||||
Commercial Mortgage-Backed Securities | — | 470,936 | — | |||||||||
Municipal Bonds | — | 74,625 | — | |||||||||
Asset-Backed Securities | — | 139,303 | — | |||||||||
Repurchase Agreement | — | 533,000 | — | |||||||||
Investment of Cash Collateral for Securities Loaned | — | 1,159,060 | — | |||||||||
Total | $ | — | $ | 20,991,312 | $ | — | ||||||
Unrealized Depreciation on Futures Contracts | (433,743 | ) | — | — | ||||||||
U.S. Government Agencies Sold Short | — | (261,184 | ) | — | ||||||||
Total - Net | $ | (433,743 | ) | $ | 20,730,128 | $ | — | |||||
Yield Enhanced Global Aggregate Bond Fund | Level 1 | Level 2 | Level 3 | |||||||||
U.S. Corporate Bonds | $ | — | $ | 81,278 | $ | — | ||||||
Foreign Corporate Bonds | — | 1,148,080 | — | |||||||||
Foreign Government Agencies | — | 144,230 | — | |||||||||
Foreign Government Obligations | — | 1,572,567 | — | |||||||||
Supranational Bonds | — | 140,980 | — | |||||||||
Exchange-Traded Fund | 2,361,112 | — | — | |||||||||
Total | $ | 2,361,112 | $ | 3,087,135 | $ | — | ||||||
Unrealized Appreciation on Foreign Currency Contracts | — | 41,431 | — | |||||||||
Unrealized Depreciation on Foreign Currency Contracts | — | (571 | ) | — | ||||||||
Total - Net | $ | 2,361,112 | $ | 3,127,995 | $ | — | ||||||
Yield Enhanced U.S. Aggregate Bond Fund | Level 1 | Level 2 | Level 3 | |||||||||
U.S. Government Agencies | $ | — | $ | 322,910,510 | $ | — | ||||||
U.S. Government Obligations | — | 231,028,484 | — | |||||||||
U.S. Corporate Bonds | — | 443,572,473 | — | |||||||||
Foreign Corporate Bonds | — | 96,807,898 | — | |||||||||
Foreign Government Agencies | — | 4,742,592 | — | |||||||||
Foreign Government Obligations | — | 29,449,933 | — | |||||||||
Supranational Bonds | — | 1,584,256 | — | |||||||||
Commercial Mortgage-Backed Securities | — | 88,786,618 | — | |||||||||
Municipal Bonds | — | 22,695,618 | — | |||||||||
Asset-Backed Securities | — | 18,142,755 | — | |||||||||
Repurchase Agreement | — | 38,520,000 | — | |||||||||
Investment of Cash Collateral for Securities Loaned | — | 13,023,825 | — | |||||||||
Total | $ | — | $ | 1,311,264,962 | $ | — | ||||||
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Notes to Financial Statements (unaudited) (continued)
Yield Enhanced U.S. Short-Term Aggregate Bond Fund | Level 1 | Level 2 | Level 3 | |||||||||
U.S. Government Agencies | $ | — | $ | 1,642,777 | $ | — | ||||||
U.S. Government Obligations | — | 21,982,739 | — | |||||||||
U.S. Corporate Bonds | — | 39,248,710 | — | |||||||||
Foreign Corporate Bonds | — | 6,839,087 | — | |||||||||
Foreign Government Agencies | — | 69,455 | — | |||||||||
Foreign Government Obligations | — | 2,232,006 | — | |||||||||
Supranational Bond | — | 1,066 | — | |||||||||
Commercial Mortgage-Backed Securities | — | 8,792,136 | — | |||||||||
Asset-Backed Securities | — | 1,956,447 | — | |||||||||
Total | $ | — | $ | 82,764,423 | $ | — | ||||||
CBOE S&P 500 PutWrite Strategy Fund | Level 1 | Level 2 | Level 3 | |||||||||
U.S. Government Obligations | $ | — | $ | 203,453,797 | $ | — | ||||||
Exchange-Traded Fund | 8,819,185 | — | — | |||||||||
Total | $ | 8,819,185 | $ | 203,453,797 | $ | — | ||||||
Written Options | (25,437,400 | ) | — | — | ||||||||
Total - Net | $ | (16,618,215 | ) | $ | 203,453,797 | $ | — | |||||
Managed Futures Strategy Fund (consolidated) | Level 1 | Level 2 | Level 3 | |||||||||
U.S. Government Obligations | $ | — | $ | 119,009,037 | $ | — | ||||||
Exchange-Traded Fund | 6,404,323 | — | — | |||||||||
Total | $ | 6,404,323 | $ | 119,009,037 | $ | — | ||||||
Unrealized Appreciation on Foreign Currency Contracts | — | 17,375 | — | |||||||||
Unrealized Depreciation on Foreign Currency Contracts | — | (80,724 | ) | — | ||||||||
Unrealized Appreciation on Futures Contracts | 1,436,715 | — | — | |||||||||
Unrealized Depreciation on Futures Contracts | (1,123,244 | ) | — | — | ||||||||
Total - Net | $ | 6,717,794 | $ | 118,945,688 | $ | — |
During the six months or period ended February 29, 2020, 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 of 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, futures contracts and options contracts during the period ended February 29, 2020 and open positions in such derivatives as of February 29, 2020 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 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 29, 2020 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 on pages 171 and 172. Information with respect to the amounts and types of collateral received and/or posted for derivative instruments as of February 29, 2020, if any, is reflected as a footnote below the respective derivatives tables on each Fund’s Schedule of Investments.
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Notes to Financial Statements (unaudited) (continued)
As of February 29, 2020, 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 exchange contracts | Unrealized appreciation on foreign currency contracts | $ | 713,787 | Unrealized depreciation on foreign currency contracts | $ | 290,238 | ||||||
Chinese Yuan Strategy Fund |
| |||||||||||
Foreign exchange contracts | Unrealized appreciation on foreign currency contracts | 98,974 | Unrealized depreciation on foreign currency contracts | 25,761 | ||||||||
Emerging Currency Strategy Fund |
| |||||||||||
Foreign exchange contracts | Unrealized appreciation on foreign currency contracts | 1,665 | Unrealized depreciation on foreign currency contracts | 576,328 | ||||||||
Emerging Markets Corporate Bond Fund |
| |||||||||||
Interest rate contracts | Unrealized appreciation on futures contracts* | 67,063 | Unrealized depreciation on futures contracts* | 107,597 | ||||||||
Emerging Markets Local Debt Fund |
| |||||||||||
Foreign exchange contracts | Unrealized appreciation on foreign currency contracts | 90,998 | Unrealized depreciation on foreign currency contracts | 483,580 | ||||||||
Interest Rate Hedged High Yield Bond Fund |
| |||||||||||
Interest rate contracts | Unrealized appreciation on futures contracts* | — | Unrealized depreciation on futures contracts* | 1,020,960 | ||||||||
Interest Rate Hedged U.S. Aggregate Bond Fund |
| |||||||||||
Interest rate contracts | Unrealized appreciation on futures contracts* | — | Unrealized depreciation on futures contracts* | 1,000,823 | ||||||||
Mortgage Plus Bond Fund |
| |||||||||||
Interest rate contracts | Unrealized appreciation on futures contracts* | 3,000 | Unrealized depreciation on futures contracts* | 4,405 | ||||||||
Negative Duration High Yield Bond Fund |
| |||||||||||
Interest rate contracts | Unrealized appreciation on futures contracts* | — | Unrealized depreciation on futures contracts* | 358,754 | ||||||||
Negative Duration U.S. Aggregate Bond Fund |
| |||||||||||
Interest rate contracts | Unrealized appreciation on futures contracts* | — | Unrealized depreciation on futures contracts* | 433,743 | ||||||||
Yield Enhanced Global Aggregate Bond Fund |
| |||||||||||
Foreign exchange contracts | Unrealized appreciation on foreign currency contracts | 41,431 | Unrealized depreciation on foreign currency contracts | 571 | ||||||||
CBOE S&P 500 PutWrite Strategy Fund |
| |||||||||||
Equity contracts | Written options, at value | 25,437,400 | ||||||||||
Managed Futures Strategy Fund (consolidated) |
| |||||||||||
Foreign exchange contracts | Unrealized appreciation on foreign currency contracts | 17,375 | Unrealized depreciation on foreign currency contracts | 80,724 | ||||||||
Unrealized appreciation on futures contracts* | 352 | Unrealized depreciation on futures contracts* | 1,082 | |||||||||
Commodity contracts | Unrealized appreciation on futures contracts* | 876,062 | Unrealized depreciation on futures contracts* | 1,122,162 | ||||||||
Interest rate contracts | Unrealized appreciation on futures contracts* | 560,301 | Unrealized depreciation on futures contracts* | — |
* | 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 169 for additional information regarding balance sheet location of balances associated with futures contracts. |
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Notes to Financial Statements (unaudited) (continued)
For the six months or period ended February 29, 2020, the effects of derivative instruments on each 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 exchange contracts | $ | (304,660 | ) | $ | 144,163 | |||
Chinese Yuan Strategy Fund |
| |||||||
Foreign exchange contracts | (255,184 | ) | 1,021,680 | |||||
Emerging Currency Strategy Fund |
| |||||||
Foreign exchange contracts | (272,559 | ) | 110,187 | |||||
Emerging Markets Corporate Bond Fund |
| |||||||
Interest rate contracts | (6,577 | ) | (49,964 | ) | ||||
Emerging Markets Local Debt Fund |
| |||||||
Foreign exchange contracts | 464,801 | (364,234 | ) | |||||
Interest Rate Hedged High Yield Bond Fund |
| |||||||
Interest rate contracts | (82,284 | ) | (946,567 | ) | ||||
Interest Rate Hedged U.S. Aggregate Bond Fund |
| |||||||
Interest rate contracts | (782,630 | ) | (1,066,145 | ) | ||||
Mortgage Plus Bond Fund3 |
| |||||||
Interest rate contracts | 2,057 | (1,405 | ) | |||||
Negative Duration High Yield Bond Fund |
| |||||||
Interest rate contracts | 29,055 | (407,146 | ) | |||||
Negative Duration U.S. Aggregate Bond Fund |
| |||||||
Interest rate contracts | (119,571 | ) | (495,397 | ) | ||||
Yield Enhanced Global Aggregate Bond Fund |
| |||||||
Foreign exchange contracts | (291 | ) | 25,321 | |||||
CBOE S&P 500 PutWrite Strategy Fund |
| |||||||
Equity contracts | 15,864,284 | (23,698,389 | ) | |||||
Managed Futures Strategy Fund (consolidated) |
| |||||||
Foreign exchange contracts | (1,601,282 | ) | 179,919 | |||||
Commodity contracts | (6,306,959 | ) | (6,535,726 | ) | ||||
Interest rate contracts | 774,268 | (618,400 | ) |
1 | Realized gains (losses) on derivatives are located on the Statements of Operations as follows: |
Equity contracts | Net realized gain (loss) from written options | |
Foreign exchange contracts | Net realized gain (loss) from foreign currency contracts and futures contracts | |
Commodity contracts | Net realized gain (loss) from futures contracts | |
Interest rate contracts | Net realized gain (loss) from futures contracts |
2 | Change in unrealized appreciation (depreciation) is located on the Statements of Operations as follows: |
Equity contracts | Net increase (decrease) in unrealized appreciation/depreciation from written options | |
Foreign exchange contracts | Net increase (decrease) in unrealized appreciation/depreciation from futures contracts and foreign currency contracts | |
Commodity contracts | Net increase (decrease) in unrealized appreciation/depreciation from futures contracts | |
Interest rate contracts | Net increase (decrease) in unrealized appreciation/depreciation from futures contracts |
3 | For the period November 14, 2019 (commencement of operations) through February 29, 2020. |
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Notes to Financial Statements (unaudited) (continued)
During the six months or period ended February 29, 2020, 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 (long) | Futures contracts (short) | Written options | |||||||||||||||
U.S. Dollar Bullish Fund |
| |||||||||||||||||||
Foreign exchange contracts | $ | 45,111,760 | $ | 87,571,509 | $ | — | $ | — | $ | — | ||||||||||
Chinese Yuan Strategy Fund |
| |||||||||||||||||||
Foreign exchange contracts | 34,062,855 | 7,882,342 | — | — | — | |||||||||||||||
Emerging Currency Strategy Fund |
| |||||||||||||||||||
Foreign exchange contracts | 25,964,852 | 6,203,818 | — | — | — | |||||||||||||||
Emerging Markets Corporate Bond Fund |
| |||||||||||||||||||
Interest rate contracts | — | — | 5,402,328 | 5,198,134 | — | |||||||||||||||
Emerging Markets Local Debt Fund |
| |||||||||||||||||||
Foreign exchange contracts | 14,889,647 | 1,618,134 | — | — | — | |||||||||||||||
Interest Rate Hedged High Yield Bond Fund |
| |||||||||||||||||||
Interest rate contracts | — | — | — | 161,979,683 | — | |||||||||||||||
Interest Rate Hedged U.S. Aggregate Bond Fund |
| |||||||||||||||||||
Interest rate contracts | — | — | — | 88,336,210 | — | |||||||||||||||
Mortgage Plus Bond Fund1 |
| |||||||||||||||||||
Interest rate contracts | — | — | 61,375 | 175,766 | — | |||||||||||||||
Negative Duration High Yield Bond Fund |
| |||||||||||||||||||
Interest rate contracts | — | — | — | 26,447,176 | — | |||||||||||||||
Negative Duration U.S. Aggregate Bond Fund |
| |||||||||||||||||||
Interest rate contracts | — | — | — | 25,892,587 | — | |||||||||||||||
Yield Enhanced Global Aggregate Bond Fund |
| |||||||||||||||||||
Foreign exchange contracts | 2,006,493 | 3,917,626 | — | — | — | |||||||||||||||
CBOE S&P 500 PutWrite Strategy Fund |
| |||||||||||||||||||
Equity contracts | — | — | — | — | 214,192,143 | |||||||||||||||
Managed Futures Strategy Fund (consolidated) |
| |||||||||||||||||||
Commodity contracts | — | — | 44,891,608 | 41,219,145 | — | |||||||||||||||
Foreign exchange contracts | 11,570,738 | 11,626,974 | 7,546,806 | 34,845,298 | — | |||||||||||||||
Interest rate contracts | — | — | 18,481,098 | — | — |
1 | For the period November 14, 2019 (commencement of operations) through February 29, 2020. |
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), net of 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.
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 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.
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Table of Contents
Notes to Financial Statements (unaudited) (continued)
Expenses/Reimbursements — 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 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 partition 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.
Forward Foreign Currency Contracts — The Currency Strategy Funds, except the U.S. Dollar Bullish Fund, utilized forward foreign currency contracts (‘‘Forward Contract’’) to obtain net long exposure to foreign currencies consistent with each Currency Strategy Fund’s investment strategy. The U.S. Dollar Bullish Fund utilized Forward Contracts to obtain net short exposure to foreign currencies consistent with its investment strategy. The Emerging Markets Local Debt Fund utilized Forward Contracts to obtain long and short exposures to foreign currencies consistent with its investment objective. The Yield Enhanced Global Aggregate Bond Fund utilized Forward Contracts to offset applicable foreign currency exposure on its international bonds. The Managed Futures Strategy Fund utilized Forward Contracts to obtain long and short exposures to the Japanese Yen consistent with its investment objective. A Forward 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 Forward 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 Forward 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 Forward Contract, it may receive collateral from the counterparty.
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Notes to Financial Statements (unaudited) (continued)
Risks may arise upon entering into Forward 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 Forward Contracts are recorded for book purposes as unrealized gains or losses on Forward Contracts by the Funds and included in net increase (decrease) in unrealized appreciation (depreciation) from foreign currency contracts on the Statements of Operations. Realized gains and losses on Forward 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.
Futures Contracts — The Duration Funds utilized futures contracts to obtain 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 Managed Futures Strategy Fund utilized futures contracts to obtain long and short exposures to currencies, commodities and interest rates 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 or 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 or 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’s clearing corporation.
Upon entering into a futures contract, a Fund is required to deliver to a broker an amount of cash and/or government securities equal to a certain percentage of the contract amount. This amount is known as the “initial margin”. 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’’. 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 (the “Fund”) utilized option contracts by writing put options on the S&P 500 Index 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 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 the Fund purchases an option, an amount equal to the premium paid by the Fund 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, the Fund realizes a loss equal to the amount of premium paid. 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 the Fund writes an option, an amount equal to the premium received by the Fund 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 Fund’s 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 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 by the Fund from the exercise of the written put option to form the Fund’s basis in the underlying security purchased.
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Notes to Financial Statements (unaudited) (continued)
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 to the Fund. 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 to the Fund.
Written options may constitute a fair value guarantee on a financial asset under the provisions of FASB Codification Topic 460 — Guarantees. The Fund’s maximum payout for written put options is limited to the number of contracts written and the associated strike prices. At February 29, 2020, the maximum payout for written put options for the CBOE S&P 500 PutWrite Strategy Fund was $220,106,000. The maximum payout for written call options is potentially unlimited to the extent that the written call option is uncovered.
The Fund’s 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 Fund 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 Fund 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 Fund 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 Fund may not be able to enter into a closing transaction because of an illiquid secondary market.
Other significant risks associated with the Fund’s use of options contracts may include the following: (1) the success of a strategy may depend on the Fund 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 Fund intends 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 high-grade debt obligations, 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. Each Fund receives compensation for lending its securities from interest or dividends earned on the cash or U.S. government securities held as collateral, net of fee rebates paid to the borrower plus reasonable administrative and custody fees, all of which are included in the securities lending income earned by the Funds and 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.
Master Netting Arrangements — ASU No. 2011-11 “Disclosures about Offsetting Assets and Liabilities” (“ASU 2011-11”) is 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. ASU 2011-11 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. ASU 2011-11 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.
In order to better define its contractual rights and to secure rights that will help a Fund mitigate its counterparty risk, a Fund may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar
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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 Forward 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 exchange 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’ security 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 below.
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 29, 2020, 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 in the Statements of Assets and Liabilities | Gross Amounts Not Offset in the Statements of Assets and Liabilities | Net Amount | Gross Amounts in the Statements of Assets and Liabilities | Gross Amounts Not Offset in the Statements of Assets and Liabilities | Net Amount | |||||||||||||||||||||||||||
Fund | Financial Instruments | Collateral Received | Financial Instruments | Collateral Posted | ||||||||||||||||||||||||||||
U.S. Dollar Bullish Fund |
| |||||||||||||||||||||||||||||||
Foreign Currency Contracts | $ | 713,787 | $ | (290,238 | ) | $ | — | $ | 423,549 | $ | 290,238 | $ | (290,238 | ) | $ | — | $ | — | ||||||||||||||
Chinese Yuan Strategy Fund |
| |||||||||||||||||||||||||||||||
Repurchase Agreements | 7,790,000 | — | (7,790,000 | )1 | — | — | — | — | — | |||||||||||||||||||||||
Foreign Currency Contracts | 98,974 | (25,174 | ) | — | 73,800 | 25,761 | (25,174 | ) | — | 587 | ||||||||||||||||||||||
Emerging Currency Strategy Fund |
| |||||||||||||||||||||||||||||||
Repurchase Agreements | 4,860,000 | — | (4,860,000 | )1 | — | — | — | — | — | |||||||||||||||||||||||
Foreign Currency Contracts | 1,665 | (1,665 | ) | — | — | 576,328 | (1,665 | ) | — | 574,663 | ||||||||||||||||||||||
Emerging Markets Corporate Bond Fund |
| |||||||||||||||||||||||||||||||
Securities Lending | 4,778,883 | — | (4,778,883 | )1 | — | — | — | — | — | |||||||||||||||||||||||
Emerging Markets Local Debt Fund |
| |||||||||||||||||||||||||||||||
Repurchase Agreements | 13,120,000 | — | (13,120,000 | )1 | — | — | — | — | — | |||||||||||||||||||||||
Foreign Currency Contracts | 90,998 | (18,711 | ) | — | 72,287 | 483,580 | (18,711 | ) | — | 464,869 |
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Assets | Liabilities | |||||||||||||||||||||||||||||||
Gross Amounts in the Statements of Assets and Liabilities | Gross Amounts Not Offset in the Statements of Assets and Liabilities | Net Amount | Gross Amounts in the Statements of Assets and Liabilities | Gross Amounts Not Offset in the Statements of Assets and Liabilities | Net Amount | |||||||||||||||||||||||||||
Fund | Financial Instruments | Collateral Received | Financial Instruments | Collateral Posted | ||||||||||||||||||||||||||||
Interest Rate Hedged High Yield Bond Fund |
| |||||||||||||||||||||||||||||||
Securities Lending | $ | 27,276,020 | $ | — | $ | (27,276,020 | )1 | $ | — | $ | — | $ | — | $ | — | $ | — | |||||||||||||||
Interest Rate Hedged U.S. Aggregate Bond Fund |
| |||||||||||||||||||||||||||||||
Securities Lending | 3,906,215 | — | (3,906,215 | )1 | — | — | — | — | — | |||||||||||||||||||||||
Repurchase Agreements | 1,698,500 | — | (1,698,500 | )1 | — | — | — | — | — | |||||||||||||||||||||||
Negative Duration High Yield Bond Fund |
| |||||||||||||||||||||||||||||||
Securities Lending | 3,043,788 | — | (3,043,788 | )1 | — | — | — | — | — | |||||||||||||||||||||||
Negative Duration U.S. Aggregate Bond Fund |
| |||||||||||||||||||||||||||||||
Securities Lending | 1,160,369 | — | (1,160,369 | )1 | — | — | — | — | — | |||||||||||||||||||||||
Repurchase Agreements | 533,000 | — | (533,000 | )1 | — | — | — | — | — | |||||||||||||||||||||||
Yield Enhanced Global Aggregate Bond Fund |
| |||||||||||||||||||||||||||||||
Foreign Currency Contracts | 41,431 | (571 | ) | — | 40,860 | 571 | (571 | ) | — | — | ||||||||||||||||||||||
Yield Enhanced U.S. Aggregate Bond Fund |
| |||||||||||||||||||||||||||||||
Securities Lending | 13,861,817 | — | (13,861,817 | )1 | — | — | — | — | — | |||||||||||||||||||||||
Repurchase Agreements | 38,520,000 | — | (38,520,000 | )1 | — | — | — | — | — | |||||||||||||||||||||||
Managed Futures Strategy Fund (consolidated) |
| |||||||||||||||||||||||||||||||
Foreign Currency Contracts | 17,375 | (17,375 | ) | — | — | 80,724 | (17,375 | ) | — | 63,349 |
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 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, Negative Duration U.S. Aggregate 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, Negative Duration U.S. Aggregate 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
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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.
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 received by the Fund is reflected as an asset in ‘‘Receivables for investment securities sold’’ 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.
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”). Each Fund intends to qualify for and to elect treatment as a separate Regulated Investment Company (“RIC”) under Subchapter M of the Code. In order to qualify for the special tax treatment accorded 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 are 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 Yield Enhanced U.S. Short-Term Aggregate Bond Fund, Emerging Markets Corporate Bond Fund and Mortgage Plus Bond Fund which are sub-advised by Voya Investment Management Co., LLC (‘‘Voya IM’’). Mellon and Voya IM 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.
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 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 (before fee waiver) | Advisory Fee Waiver1 | Advisory Fee Expiration Date | |||||||||
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 | % | — | — |
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Fund | Advisory Fee Rate (before fee waiver) | Advisory Fee Waiver1 | Advisory Fee Expiration Date | |||||||||
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 | % | — | — | ||||||||
Negative Duration High Yield Bond Fund | 0.48 | % | — | — | ||||||||
Negative Duration U.S. Aggregate Bond Fund | 0.28 | % | — | — | ||||||||
Yield Enhanced Global Aggregate Bond Fund | 0.20 | % | (0.06 | )% | December 31, 2021 | |||||||
Yield Enhanced U.S. Aggregate Bond Fund | 0.20 | % | (0.08 | )% | December 31, 2020 | |||||||
Yield Enhanced U.S. Short-Term Aggregate Bond Fund | 0.20 | % | (0.08 | )% | December 31, 2020 | |||||||
CBOE S&P 500 PutWrite Strategy Fund | 0.44 | % | (0.06 | )%2 | December 31, 2020 | |||||||
Managed Futures Strategy Fund (consolidated) | 0.75 | % | (0.10 | )% | December 31, 2020 |
1 | WTAM has contractually agreed to waive a portion of its advisory fee by the waiver amount listed per annum based on the average daily net assets through the expiration date listed, unless earlier terminated by the Board of Trustees of the Trust for any reason. The dollar amount of contractual fee waivers are included in “Expense waivers” on the Statements of Operations. |
2 | WTAM had contractually agreed to limit the management fee to 0.38% through December 31, 2019. On December 31, 2019, the contractual waiver expired. |
Each Fund may purchase shares of affiliated ETFs in secondary market transactions to reduce cash balances and/or to implement its investment strategy. For these transactions, WTAM waives its advisory fees for each Fund’s investment in affiliated funds. The dollar amount of advisory fees waived during the period for the Funds, if any, are shown in the Statements of Operations in “Expense waivers”.
Related Party Transactions — WTAM or its affiliates may from time to time own shares of a Fund. As of and for the six months ended February 29, 2020, WTAM 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:
Fund | Fund Shares held by WTAM | Market Value of Fund Shares held by WTAM | Dividends and Distributions paid to WTAM on Fund Shares held by WTAM | |||||||||
Emerging Markets Corporate Bond Fund | — | $ | — | $ | 6 | |||||||
Emerging Markets Local Debt Fund | 67 | 2,284 | 64 | |||||||||
Floating Rate Treasury Fund | 445,654 | 11,181,459 | 99,918 | |||||||||
Interest Rate Hedged U.S. Aggregate Bond Fund | 23 | 1,098 | 12 | |||||||||
Mortgage Plus Bond Fund | 200,416 | 10,274,346 | 31,484 | 1 | ||||||||
Yield Enhanced Global Aggregate Bond Fund | — | — | 43,474 | |||||||||
Yield Enhanced U.S. Aggregate Bond Fund | 1,961 | 105,482 | 1,381 | |||||||||
Yield Enhanced U.S. Short-Term Aggregate Bond Fund | 263 | 13,443 | 224 | |||||||||
CBOE S&P 500 PutWrite Strategy Fund | 231 | 5,985 | 108 | |||||||||
Managed Futures Strategy Fund | — | — | 119 |
1 | For the period November 14, 2019 (commencement of operations) through February 29, 2020. |
4. CAPITAL SHARE TRANSACTIONS
As of February 29, 2020, 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 29, 2020 are shown in the following table. Realized gains and
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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 | $ | — | $ | 400,902 | $ | — | $ | — | $ | — | $ | — | ||||||||||||
Chinese Yuan Strategy Fund | — | — | — | — | — | — | ||||||||||||||||||
Emerging Currency Strategy Fund | — | — | — | — | — | — | ||||||||||||||||||
Emerging Markets Corporate Bond Fund | 8,732,754 | 7,424,264 | 138,631 | 1,163,709 | — | — | ||||||||||||||||||
Emerging Markets Local Debt Fund | 27,495,659 | 37,436,147 | — | — | — | 8,114,356 | ||||||||||||||||||
Floating Rate Treasury Fund | — | — | 1,401,110,790 | 1,374,320,735 | 181,289,500 | 155,688,102 | ||||||||||||||||||
Interest Rate Hedged High Yield Bond Fund | 56,270,461 | 60,239,771 | — | — | — | 37,419,354 | ||||||||||||||||||
Interest Rate Hedged U.S. Aggregate Bond Fund | 3,541,692 | 3,896,812 | 24,149,007 | 15,731,348 | — | — | ||||||||||||||||||
Mortgage Plus Bond Fund1 | 3,781,982 | 26,140 | 16,959,056 | 669,250 | — | — | ||||||||||||||||||
Negative Duration High Yield Bond Fund | 6,046,630 | 12,054,318 | — | — | — | 6,497,603 | ||||||||||||||||||
Negative Duration U.S. Aggregate Bond Fund | 255,744 | 1,098,555 | 5,907,349 | 6,850,747 | 2,442,274 | 4,937,375 | ||||||||||||||||||
Yield Enhanced Global Aggregate Bond Fund | 2,494,780 | 1,178,593 | — | — | 1,338,910 | — | ||||||||||||||||||
Yield Enhanced U.S. Aggregate Bond Fund | 85,247,420 | 71,180,937 | 370,345,988 | 174,878,444 | 196,571,623 | 45,026,655 | ||||||||||||||||||
Yield Enhanced U.S. Short-Term Aggregate Bond Fund | 2,877,947 | 3,991,521 | 20,604,117 | 20,221,497 | 3,967,212 | 13,404,880 | ||||||||||||||||||
CBOE S&P 500 PutWrite Strategy Fund | 9,617,280 | 814,831 | — | — | — | — | ||||||||||||||||||
Managed Futures Strategy Fund (consolidated) | 8,963,589 | 2,568,340 | — | — | — | — |
1 | For the period November 14, 2019 (commencement of operations) through February 29, 2020. |
6. FEDERAL INCOME TAXES
At February 29, 2020, 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 (Depreciation) | Total Net (Depreciation) | ||||||||||||||||||||||||||||
U.S. Dollar Bullish Fund | $ | 54,582,898 | $ | 13,011 | $ | (995 | ) | $ | 12,016 | $ | — | $ | — | $ | — | $ | 12,016 | |||||||||||||||||||
Chinese Yuan Strategy Fund | 25,030,369 | 2,646 | (582 | ) | 2,064 | — | — | — | 2,064 | |||||||||||||||||||||||||||
Emerging Currency Strategy Fund | 18,257,793 | 2,108 | (395 | ) | 1,713 | — | (100,237 | ) | (100,237 | ) | (98,524 | ) | ||||||||||||||||||||||||
Emerging Markets Corporate Bond Fund | 38,762,814 | 1,996,893 | (346,675 | ) | 1,650,218 | — | — | — | 1,650,218 | |||||||||||||||||||||||||||
Emerging Markets Local Debt Fund | 184,735,910 | 3,830,326 | (18,689,891 | ) | (14,859,565 | ) | 35,494 | (206,421 | ) | (170,927 | ) | (15,030,492 | ) | |||||||||||||||||||||||
Floating Rate Treasury Fund | 1,703,283,795 | 2,428,492 | (189,911 | ) | 2,238,581 | — | — | — | 2,238,581 | |||||||||||||||||||||||||||
Interest Rate Hedged High Yield Bond Fund | 227,185,884 | 2,970,365 | (8,373,452 | ) | (5,403,087 | ) | — | — | — | (5,403,087 | ) | |||||||||||||||||||||||||
Interest Rate Hedged U.S. Aggregate Bond Fund | 84,668,773 | 6,293,802 | (9,874 | ) | 6,283,928 | — | — | — | 6,283,928 | |||||||||||||||||||||||||||
Mortgage Plus Bond Fund | 20,032,067 | 410,521 | (1,883 | ) | 408,638 | — | — | — | 408,638 | |||||||||||||||||||||||||||
Negative Duration High Yield Bond Fund | 22,365,853 | 280,715 | (899,320 | ) | (618,605 | ) | — | — | — | (618,605 | ) | |||||||||||||||||||||||||
Negative Duration U.S. Aggregate Bond Fund | 19,663,710 | 1,339,565 | (11,963 | ) | 1,327,602 | 1,327,602 | ||||||||||||||||||||||||||||||
Yield Enhanced Global Aggregate Bond Fund | 5,215,337 | 246,726 | (13,816 | ) | 232,910 | — | — | — | 232,910 | |||||||||||||||||||||||||||
Yield Enhanced U.S. Aggregate Bond Fund | 1,247,510,805 | 64,399,188 | (645,031 | ) | 63,754,157 | — | — | — | 63,754,157 |
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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 (Depreciation) | Total Net (Depreciation) | ||||||||||||||||||||||||||||
Yield Enhanced U.S. Short-Term Aggregate Bond Fund | 79,998,353 | 2,773,615 | (7,545 | ) | 2,766,070 | — | — | — | 2,766,070 | |||||||||||||||||||||||||||
CBOE S&P 500 PutWrite Strategy Fund | 212,142,159 | 130,823 | — | 130,823 | — | — | — | 130,823 | ||||||||||||||||||||||||||||
Managed Futures Strategy Fund (consolidated)2 | 206,180,966 | 17,546 | (79,735,462 | ) | (79,717,916 | ) | — | — | — | (79,717,916 | ) |
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. |
7. SUBSEQUENT EVENT
At the recommendation of WTAM, the investment adviser of the WisdomTree Negative Duration U.S. Aggregate Bond Fund, WisdomTree Negative Duration High Yield Bond Fund and WisdomTree Yield Enhanced Global Aggregate Bond Fund (the “Affected Funds”), after continued review of the product lineup and anticipated limited future prospect of investor demand for the Affected Funds, among other considerations, the Board of Trustees determined to close and liquidate the Affected Funds.
After the close of business on May 27, 2020, the Affected Funds will no longer accept creation orders. The last day of secondary market trading of the Affected Funds’ shares will also be May 27, 2020. Shareholders are able to sell Affected Fund shares through a broker in the standard manner through this date. Customary brokerage charges may apply to such transactions. When the Affected Funds commence liquidation of their portfolios, which is anticipated to occur on or around May 28, 2020, but may occur before May 28, 2020, and at different times for each Affected Fund, the liquidation process will result in each Affected Fund increasing its cash holdings and deviating from the investment objective and strategies stated in its prospectus.
It is anticipated that shareholders remaining in the Affected Funds after the last day of trading will have their shares redeemed automatically on or around June 9, 2020 and will receive cash through their broker or other applicable financial intermediary thereafter in an amount equal to the net asset value of their shares as calculated on or about June 8, 2020. This amount is expected to include any accrued capital gains and dividends. Shareholders remaining in an Affected Fund and that receive cash will not be charged any transaction fees by the Affected Fund. Whether shareholders sell their shares or are automatically redeemed as described above, shareholders will generally recognize a capital gain (or loss) equal to the amount received for their shares above (or below) the adjusted cost basis in such shares.
* * * * * *
At the recommendation of WTAM, the investment adviser of the WisdomTree Interest Rate Hedged High Yield Bond Fund (the “Fund”), the Board of Trustees of the Trust, with respect to the Fund, has approved changing the Fund’s index, investment objective, investment strategies, and sub-adviser. These changes to the index, investment objective and investment strategies are now scheduled to go into effect on or about June 1, 2020. In connection with the Fund’s index change, the Fund’s portfolio will transition to the new index over the course of a few days. The change to the Fund’s sub-adviser is expected to go into effect on or about June 4, 2020. These changes will not affect the management fee or expense ratio of the Fund. Please see the Fund’s current prospectus dated January 1, 2020, as supplemented April 17, 2020, for additional information on these changes.
8. ADDITIONAL INFORMATION
A recent outbreak of a respiratory disease caused by a novel coronavirus first detected in China in December 2019 has spread globally in a short period of time. In an organized attempt to contain and mitigate the effects of the spread of the coronavirus known as COVID-19, governments and businesses world-wide have taken aggressive measures, including 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
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general concern and uncertainty, all of which have contributed to increased volatility in global markets. The effects of COVID-19 likely will 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 each Fund’s investments in those sectors or industries. 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. 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 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 the Funds.
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Approval of Investment Advisory and Sub-Advisory Agreements (unaudited)
Consideration of the Renewal of Investment Advisory and Sub-Advisory Agreements
(all applicable Funds except the WisdomTree Mortgage Plus Bond Fund)
At a meeting of the Board of Trustees (the “Board” or the “Trustees”) of the WisdomTree Trust (the “Trust”) held on September 12-13, 2019 (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 Investment Sub-Advisory Agreement (the “Voya Sub-Advisory Agreement”, collectively with the Mellon Sub-Advisory Agreement, the “Sub-Advisory 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 5, 2019, representatives from WTAM presented preliminary 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 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.
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 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, 2019, 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. 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 also reviewed reports prepared by WTAM presenting performance data for Funds with ten years of performance history and for WisdomTree indexes with at least three years of performance history that are tracked by an index Fund.
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Approval of Investment Advisory and Sub-Advisory Agreements (unaudited) (continued)
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 monitor carefully in the coming year 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, as well as the advisory fees and total expenses of certain funds not included in the Broadridge reports that WTAM considers to be significant competitors of the 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 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 of the 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 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 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.
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Approval of Investment Advisory and Sub-Advisory Agreements (unaudited) (continued)
* * * * * *
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 renewal of 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 Mortgage Plus Bond Fund (the “Fund”)
At a meeting of the Board of Trustees (the “Board”) of the WisdomTree Trust (the “Trust”) held on March 28-29, 2019, 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 Voya Investment Management Co. 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 a meeting of the Trust’s Investment Committee, a committee of Independent Trustees, held on March 21, 2019. 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 will 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 each 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 Funds’ 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.
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 the Fund) and not the Fund. The Board considered the meaningful differences in the services that WTAM will provide to the Fund as compared to
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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
Previously, the Funds were required to file their complete schedule of portfolio holdings with the SEC for their first and third fiscal quarters on Form N-Q. Beginning in April 2019, the Funds ceased filing Form N-Q and commenced filing Form N-PORT. Part F of each Fund’s Form N-PORT filings for the first and third fiscal quarters contain the complete schedule of portfolio holdings in the same manner as previously filed on Form N-Q. 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.
Investors should consider the investment objectives, risks, charges and expenses of the Funds carefully before investing. A prospectus, containing this and other information, is available at www.wisdomtree.com, or by calling 1-866-909-WISE (9473). Investors should read the prospectus carefully before investing. There are risks associated with investing, including possible loss of principal. Past performance does not guarantee future results. Indexes are unmanaged and you cannot invest directly in an index.
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 Managed Futures Strategy Fund (WTMF) is the complexity of the different factors which contribute to the Fund’s 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, currency forward contracts, swaps and other derivatives. An investment in WTMF is speculative and involves a substantial degree of risk. 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” 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 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.
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.
Table of Contents
WisdomTree Trust
245 Park Avenue, 35th Floor
New York, NY 10167
WisdomTree Fund shares are distributed by Foreside Fund Services, LLC, in the U.S. only.
WTGM-3274
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.
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)(3) Not applicable.
(a)(4) Not applicable.
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 4, 2020 |
|
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 4, 2020 |
|
By (Signature and Title) | /s/ David Castano |
| David Castano, Treasurer |
| (principal financial officer) |
Date: May 4, 2020 |
|