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UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORMN-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number:811-22542
SSGA ACTIVE TRUST
(Exact name of registrant as specified in charter)
One Iron Street, Boston, Massachusetts 02210
(Address of principal executive offices) (zip code)
Sean O’Malley, Esq.
Senior Vice President and Deputy General Counsel
c/o SSGA Funds Management, Inc.
One Iron Street
Boston, Massachusetts 02210
(Name and address of agent for service)
Copy to:
W. John McGuire, Esq.
Morgan, Lewis & Bockius LLP
1111 Pennsylvania Avenue, NW
Washington, DC 20004
Registrant’s telephone number, including area code: (617)664-1465
Date of fiscal year end: June 30
Date of reporting period: June 30, 2019
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Item 1. Reports to Shareholders.
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State Street Defensive Global Equity Portfolio |
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Cumulative Total Return | Average Annual Total Return | ||||||||
Net Asset Value | Market Value | MSCI World Index | Net Asset Value | Market Value | MSCI World Index | ||||
ONE YEAR | 8.38% | N/A | 6.33% | 8.38% | N/A | 6.33% | |||
SINCE INCEPTION(1) | 43.82% | N/A | 51.05% | 11.40% | N/A | 13.05% | |||
(1) | For the period February 18, 2016 to June 30, 2019. |
(Based on Net Asset Value)
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Description | Market Value | % of Net Assets | ||
Waste Management, Inc. | 35,649 | 1.6% | ||
McDonald's Corp. | 34,679 | 1.5 | ||
DTE Energy Co. | 34,144 | 1.5 | ||
Merck & Co., Inc. | 34,127 | 1.5 | ||
Baxter International, Inc. | 33,661 | 1.5 | ||
TOTAL | 172,260 | 7.6% |
% of Net Assets | |||
Insurance | 11.8% | ||
Pharmaceuticals | 11.8 | ||
Electric Utilities | 7.1 | ||
Diversified Telecommunication Services | 6.3 | ||
Multi-Utilities | 4.9 | ||
Banks | 4.9 | ||
Food & Staples Retailing | 4.9 | ||
Equity Real Estate Investment Trusts (REITs) | 3.8 | ||
Specialty Retail | 3.7 | ||
Food Products | 3.1 | ||
Health Care Providers & Services | 3.0 | ||
Hotels, Restaurants & Leisure | 2.8 | ||
Health Care Equipment & Supplies | 2.7 | ||
Household Products | 2.5 | ||
Trading Companies & Distributors | 2.4 | ||
Beverages | 2.2 | ||
Automobiles | 2.2 | ||
Communications Equipment | 2.0 | ||
Aerospace & Defense | 2.0 | ||
Commercial Services & Supplies | 2.0 | ||
Oil, Gas & Consumable Fuels | 2.0 | ||
Tobacco | 1.9 | ||
Consumer Finance | 1.4 | ||
Airlines | 1.3 | ||
Gas Utilities | 1.2 | ||
Metals & Mining | 1.2 | ||
Multiline Retail | 1.2 | ||
Construction & Engineering | 1.1 | ||
Technology Hardware, Storage & Peripherals | 0.9 | ||
Chemicals | 0.5 | ||
Mortgage Real Estate Investment Trust (REITs) | 0.3 | ||
Short-Term Investment | 0.5 | ||
Other Assets in Excess of Liabilities | 0.4 | ||
TOTAL | 100.0% |
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Security Description | Shares | Value | |||
COMMON STOCKS — 99.1% | |||||
AUSTRALIA — 3.8% | |||||
BHP Group, Ltd. | 634 | $18,313 | |||
Mirvac Group REIT | 3,259 | 7,158 | |||
Qantas Airways, Ltd. | 1,986 | 7,526 | |||
Scentre Group REIT | 4,249 | 11,450 | |||
Sonic Healthcare, Ltd. | 517 | 9,832 | |||
Wesfarmers, Ltd. | 858 | 21,772 | |||
Woodside Petroleum, Ltd. | 400 | 10,206 | |||
86,257 | |||||
BELGIUM — 0.5% | |||||
Ageas | 237 | 12,337 | |||
CANADA — 3.5% | |||||
Loblaw Cos., Ltd. | 85 | 4,361 | |||
Royal Bank of Canada | 141 | 11,229 | |||
Sun Life Financial, Inc. | 341 | 14,152 | |||
TELUS Corp. | 610 | 22,598 | |||
Toronto-Dominion Bank | 465 | 27,229 | |||
79,569 | |||||
DENMARK — 1.3% | |||||
Novo Nordisk A/S Class B | 601 | 30,674 | |||
FRANCE — 1.6% | |||||
Peugeot SA | 764 | 18,854 | |||
Sanofi | 209 | 18,067 | |||
36,921 | |||||
GERMANY — 4.3% | |||||
Allianz SE | 120 | 28,971 | |||
Deutsche Telekom AG | 1,636 | 28,341 | |||
Merck KGaA | 130 | 13,614 | |||
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen | 109 | 27,396 | |||
98,322 | |||||
HONG KONG — 3.6% | |||||
CLP Holdings, Ltd. | 2,500 | 27,584 | |||
Hang Seng Bank, Ltd. | 500 | 12,448 | |||
HKT Trust & HKT, Ltd. | 7,000 | 11,110 | |||
Link REIT | 2,500 | 30,720 | |||
81,862 | |||||
ITALY — 1.3% | |||||
Eni SpA | 1,470 | 24,451 | |||
Snam SpA | 1,138 | 5,665 | |||
30,116 | |||||
JAPAN — 11.5% | |||||
Astellas Pharma, Inc. | 1,800 | 25,645 | |||
FUJIFILM Holdings Corp. | 300 | 15,212 | |||
ITOCHU Corp. | 900 | 17,212 | |||
Japan Airlines Co., Ltd. | 700 | 22,370 | |||
Japan Post Holdings Co., Ltd. | 2,400 | 27,176 | |||
Mitsubishi Corp. | 700 | 18,452 | |||
Mitsui & Co., Ltd. | 1,200 | 19,536 |
Security Description | Shares | Value | |||
Mitsui Chemicals, Inc. | 500 | $12,377 | |||
Mizuho Financial Group, Inc. | 7,800 | 11,301 | |||
Nippon Telegraph & Telephone Corp. | 500 | 23,283 | |||
Sumitomo Mitsui Trust Holdings, Inc. | 300 | 10,876 | |||
Taisei Corp. | 300 | 10,901 | |||
Tokio Marine Holdings, Inc. | 200 | 10,022 | |||
Tokyo Gas Co., Ltd. | 300 | 7,066 | |||
Toyota Motor Corp. | 500 | 31,038 | |||
262,467 | |||||
NETHERLANDS — 1.1% | |||||
Koninklijke Ahold Delhaize NV | 1,099 | 24,753 | |||
NEW ZEALAND — 0.6% | |||||
Spark New Zealand, Ltd. | 4,835 | 12,990 | |||
NORWAY — 0.4% | |||||
DNB ASA | 501 | 9,325 | |||
SINGAPORE — 0.4% | |||||
DBS Group Holdings, Ltd. | 500 | 9,594 | |||
SPAIN — 0.8% | |||||
ACS Actividades de Construccion y Servicios SA | 325 | 12,995 | |||
Enagas SA | 193 | 5,158 | |||
18,153 | |||||
SWEDEN — 1.0% | |||||
Swedish Match AB | 554 | 23,406 | |||
SWITZERLAND — 8.2% | |||||
Nestle SA | 299 | 30,992 | |||
Novartis AG | 342 | 31,288 | |||
Roche Holding AG | 111 | 31,268 | |||
Swiss Life Holding AG | 39 | 19,352 | |||
Swiss Re AG | 286 | 29,110 | |||
Swisscom AG | 39 | 19,604 | |||
Zurich Insurance Group AG | 76 | 26,495 | |||
188,109 | |||||
UNITED KINGDOM — 0.6% | |||||
Direct Line Insurance Group PLC | 3,228 | 13,631 | |||
UNITED STATES — 54.6% | |||||
Aflac, Inc. | 539 | 29,543 | |||
AGNC Investment Corp. REIT | 369 | 6,207 | |||
Allstate Corp. | 320 | 32,541 | |||
Ameren Corp. | 435 | 32,673 | |||
American Electric Power Co., Inc. | 187 | 16,458 | |||
American Express Co. | 254 | 31,354 | |||
Anthem, Inc. | 68 | 19,190 | |||
AutoZone, Inc. (a) | 29 | 31,885 | |||
Baxter International, Inc. | 411 | 33,661 | |||
Bristol-Myers Squibb Co. | 6 | 272 | |||
CenterPoint Energy, Inc. | 706 | 20,213 | |||
Cisco Systems, Inc. | 275 | 15,051 | |||
Coca-Cola Co. | 386 | 19,655 | |||
DTE Energy Co. | 267 | 34,144 | |||
Duke Energy Corp. | 121 | 10,677 | |||
Eli Lilly & Co. | 266 | 29,470 |
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Security Description | Shares | Value | |||
Entergy Corp. | 283 | $29,129 | |||
Eversource Energy | 244 | 18,485 | |||
Exelon Corp. | 658 | 31,544 | |||
HCA Healthcare, Inc. | 209 | 28,250 | |||
Hershey Co. | 135 | 18,094 | |||
Home Depot, Inc. | 105 | 21,837 | |||
HP, Inc. | 232 | 4,823 | |||
Johnson & Johnson | 199 | 27,717 | |||
JPMorgan Chase & Co. | 156 | 17,441 | |||
Kellogg Co. | 232 | 12,428 | |||
Kimberly-Clark Corp. | 199 | 26,523 | |||
Lockheed Martin Corp. | 71 | 25,811 | |||
McDonald's Corp. | 167 | 34,679 | |||
Medtronic PLC | 289 | 28,146 | |||
Merck & Co., Inc. | 407 | 34,127 | |||
Mondelez International, Inc. Class A | 215 | 11,588 | |||
Motorola Solutions, Inc. | 180 | 30,011 | |||
Newmont Goldcorp Corp. | 244 | 9,387 | |||
PepsiCo, Inc. | 235 | 30,816 | |||
Pfizer, Inc. | 656 | 28,418 | |||
Philip Morris International, Inc. | 277 | 21,753 | |||
Pinnacle West Capital Corp. | 286 | 26,910 | |||
Procter & Gamble Co. | 271 | 29,715 | |||
Public Service Enterprise Group, Inc. | 438 | 25,763 | |||
Raytheon Co. | 125 | 21,735 | |||
Republic Services, Inc. | 107 | 9,270 | |||
Simon Property Group, Inc. REIT | 157 | 25,082 | |||
Starbucks Corp. | 358 | 30,011 | |||
Sysco Corp. | 415 | 29,349 | |||
Target Corp. | 324 | 28,062 | |||
TJX Cos., Inc. | 561 | 29,666 | |||
UGI Corp. | 372 | 19,868 | |||
UnitedHealth Group, Inc. | 52 | 12,688 | |||
Ventas, Inc. REIT | 139 | 9,501 | |||
VEREIT, Inc. | 608 | 5,478 |
Security Description | Shares | Value | |||
Verizon Communications, Inc. | 491 | $28,051 | |||
Walmart, Inc. | 275 | 30,385 | |||
Waste Management, Inc. | 309 | 35,649 | |||
1,251,184 | |||||
TOTAL COMMON STOCKS (Cost $2,016,826) | 2,269,670 |
RIGHTS — 0.0% (b) | |||
SPAIN — 0.0% (b) | |||
ACS Actividades de Construccion y Servicios SA (expiring 07/11/19) (a) (Cost: $534) | 325 | 511 | |
SHORT-TERM INVESTMENT — 0.5% | |||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 2.35% (c) (d) (Cost $10,308) | 10,308 | 10,308 | |
TOTAL INVESTMENTS — 99.6% (Cost $2,027,668) | 2,280,489 | ||
OTHER ASSETS IN EXCESS OF LIABILITIES — 0.4% | 9,385 | ||
NET ASSETS — 100.0% | $2,289,874 |
(a) | Non-income producing security. |
(b) | Amount is less than 0.05% of net assets. |
(c) | The Portfolio invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2019 are shown in the Affiliate Table below. |
(d) | The rate shown is the annualized seven-day yield at June 30, 2019. |
REIT | = Real Estate Investment Trust |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Common Stocks | $2,269,670 | $— | $— | $2,269,670 | ||||
Rights | 511 | — | — | 511 | ||||
Short-Term Investment | 10,308 | — | — | 10,308 | ||||
TOTAL INVESTMENTS | $2,280,489 | $— | $— | $2,280,489 |
Number of Shares Held at 6/30/18 | Value at 6/30/18 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 6/30/19 | Value at 6/30/19 | Dividend Income | |||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 33,569 | $33,569 | $912,324 | $935,585 | $— | $— | 10,308 | $10,308 | $778 |
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ASSETS | |
Investments in unaffiliated issuers, at value | $2,270,181 |
Investments in affiliated issuers, at value | 10,308 |
Total Investments | 2,280,489 |
Foreign currency, at value | 6,485 |
Dividends receivable — unaffiliated issuers | 2,820 |
Dividends receivable — affiliated issuers | 61 |
Receivable from Adviser | 472 |
Receivable for foreign taxes recoverable | 4,529 |
TOTAL ASSETS | 2,294,856 |
LIABILITIES | |
Payable for fund shares repurchased | 4,503 |
Advisory fee payable | 472 |
Trustees’ fees and expenses payable | 7 |
TOTAL LIABILITIES | 4,982 |
NET ASSETS | $2,289,874 |
NET ASSETS CONSIST OF: | |
Paid-in Capital | $1,905,167 |
Total distributable earnings (loss) | 384,707 |
NET ASSETS | $2,289,874 |
NET ASSET VALUE PER SHARE | |
Net asset value per share | $11.00 |
Shares outstanding (unlimited amount authorized, no par value) | 208,245 |
COST OF INVESTMENTS: | |
Investments in unaffiliated issuers | $2,017,360 |
Investments in affiliated issuers | 10,308 |
Total cost of investments | $2,027,668 |
Foreign currency, at cost | $6,458 |
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INVESTMENT INCOME | |
Dividend income — unaffiliated issuers | $105,980 |
Dividend income — affiliated issuers | 778 |
Foreign taxes withheld | (5,288) |
TOTAL INVESTMENT INCOME (LOSS) | 101,470 |
EXPENSES | |
Advisory fee | 9,302 |
Trustees’ fees and expenses | 79 |
Miscellaneous expenses | 700 |
TOTAL EXPENSES | 10,081 |
Expenses waived/reimbursed by the Adviser | (10,081) |
NET EXPENSES | — |
NET INVESTMENT INCOME (LOSS) | $101,470 |
REALIZED AND UNREALIZED GAIN (LOSS) | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 85,100 |
Foreign currency transactions | (1,558) |
Net realized gain (loss) | 83,542 |
Net change in unrealized appreciation/depreciation on: | |
Investments — unaffiliated issuers | (205,040) |
Foreign currency translations | 337 |
Net change in unrealized appreciation/depreciation | (204,703) |
NET REALIZED AND UNREALIZED GAIN (LOSS) | (121,161) |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $(19,691) |
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Year Ended 6/30/19 | Year Ended 6/30/18 | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $101,470 | $168,284 | |
Net realized gain (loss) | 83,542 | 222,062 | |
Net change in unrealized appreciation/depreciation | (204,703) | (82,662) | |
Net increase (decrease) in net assets resulting from operations | (19,691) | 307,684 | |
Distributions to shareholders (Note 9) | (351,241) | (211,763) | |
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||
Proceeds from sale of shares sold | 631,379 | 348,917 | |
Reinvestment of distributions | 351,241 | 211,763 | |
Cost of shares redeemed | (3,326,507) | (282,814) | |
Net increase (decrease) in net assets from beneficial interest transactions | (2,343,887) | 277,866 | |
Net increase (decrease) in net assets during the period | (2,714,819) | 373,787 | |
Net assets at beginning of period | 5,004,693 | 4,630,906 | |
NET ASSETS AT END OF PERIOD | $2,289,874 | $5,004,693 | |
SHARES OF BENEFICIAL INTEREST: | |||
Shares sold | 51,951 | 27,995 | |
Reinvestment of distributions | 36,856 | 17,050 | |
Shares redeemed | (288,025) | (22,549) | |
Net increase (decrease) from share transactions | (199,218) | 22,496 |
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State Street Defensive Global Equity Portfolio | |||||||
Year Ended 6/30/19 | Year Ended 6/30/18 | Year Ended 6/30/17 | For the Period 2/19/16* - 6/30/16 | ||||
Net asset value, beginning of period | $12.28 | $12.03 | $10.89 | $10.00 | |||
Net investment income (loss) (a) | 0.33 | 0.42 | 0.31 | 0.15 | |||
Net realized and unrealized gain (loss) | 0.39 | 0.36 | 1.21 | 0.74 | |||
Total from investment operations | 0.72 | 0.78 | 1.52 | 0.89 | |||
Distributions to shareholders from: | |||||||
Net investment income | (0.74) | (0.38) | (0.28) | — | |||
Net realized gains | (1.26) | (0.15) | (0.10) | — | |||
Total distributions | (2.00) | (0.53) | (0.38) | — | |||
Net asset value, end of period | $11.00 | $12.28 | $12.03 | $10.89 | |||
Total return (b) | 8.38% | 6.48% | 14.43% | 8.90%(c) | |||
Ratios and Supplemental Data: | |||||||
Net assets, end of period (in 000s) | $2,290 | $5,005 | $4,631 | $3,270 | |||
Ratios to average net assets: | |||||||
Total expenses | 0.27% | 0.30% | 0.33% | 0.27%(d) | |||
Net expenses | —%(e) | —%(e) | —%(e) | —%(d)(e) | |||
Net investment income (loss) | 2.73% | 3.37% | 2.75% | 4.00%(d) | |||
Portfolio turnover rate | 72% | 47% | 30% | 21%(c) |
* | Commencement of operations. |
(a) | Per share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the year. |
(b) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates. Total return for periods of less than one year is not annualized. Results represent past performance and are not indicative of future results. |
(c) | Not annualized. |
(d) | Annualized. |
(e) | Amount is less than 0.005%. |
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Portfolio | Commencement of Operations | Diversification Classification |
State Street Defensive Global Equity Portfolio | February 19, 2016 | Diversified |
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Purchases | Sales | ||
State Street Defensive Global Equity Portfolio | $2,613,446 | $5,111,777 |
Ordinary Income | Long-Term Capital Gains | Total | |||
State Street Defensive Global Equity Portfolio | $165,202 | $186,039 | $351,241 |
Ordinary Income | Long-Term Capital Gains | Total | |||
State Street Defensive Global Equity Portfolio | $ 186,089 | $ 25,674 | $ 211,763 |
Undistributed Ordinary Income | Capital Loss Carryforwards | Undistributed Long-Term Capital Gains | Net Unrealized Gains (Losses) | Qualified Late-Year Losses | Total | ||||||
State Street Defensive Global Equity Portfolio | $56,472 | $— | $88,690 | $239,545 | $— | $384,707 |
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | ||||
State Street Defensive Global Equity Portfolio | $2,041,022 | $273,004 | $33,537 | $239,467 |
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Net Investment Income | Net Realized Capital Gains | Total Distributions | Undistributed Net Investment Income (Loss) | ||||
State Street Defensive Global Equity Portfolio | $151,316 | $60,447 | $211,763 | $77,508 |
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Actual | Hypothetical (assuming a 5% return before expenses) | ||||||||
Annualized Expense Ratio | Ending Account Value | Expenses Paid During Period(a) | Ending Account Value | Expenses Paid During Period(a) | |||||
State Street Defensive Global Equity Portfolio | 0.00% | $1,129.40 | $0.00 | $1,024.80 | $0.00 |
(a) | Expenses are equal to the Portfolio's annualized net expense ratio multiplied by the average account value of the period, multiplied by 181, then divided by 365. |
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Name, Address and Year of Birth | Position(s) with Funds | Term of Office and Length of Time Served | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During the Past 5 Years | |||||
Trustees | ||||||||||
Independent Trustees | ||||||||||
FRANK NESVET c/o SSGA Active Trust One Iron Street Boston, MA 02210 1943 | Independent Trustee, Chairman, Trustee Committee Chair | Term: Unlimited Served: since March 2011 | Retired. | 128 | None. | |||||
BONNY EUGENIA BOATMAN c/o SSGA Active Trust One Iron Street Boston, MA 02210 1950 | Independent Trustee | Term: Unlimited Served: since March 2011 | Retired. | 128 | None. | |||||
DWIGHT D. CHURCHILL c/o SSGA Active Trust One Iron Street Boston, MA 02210 1953 | Independent Trustee | Term: Unlimited Served: since March 2011 | Self-employed consultant since 2010; CEO and President, CFA Institute (June 2014-January 2015). | 128 | Affiliated Managers Group, Inc. (Director). | |||||
CARL G. VERBONCOEUR c/o SSGA Active Trust One Iron Street Boston, MA 02210 1952 | Independent Trustee, Audit Committee Chair | Term: Unlimited Served: since March 2011 | Self-employed consultant since 2009. | 128 | The Motley Fool Funds Trust (Trustee). | |||||
CLARE S. RICHER c/o SSGA Active Trust One Iron Street Boston, MA 02210 1958 | Independent Trustee | Term: Unlimited Served: since July 2018 | Chief Financial Officer, Putnam Investments LLC (December 2008 – May 2017). | 128 | Putnam Acquisition Financing Inc. (Director); Putnam Acquisition Financing LLC (Director); Putnam GP Inc. (Director); Putnam Investor Services, Inc.(Director); Putnam Investments Limited (Director); University of Notre Dame (Trustee). | |||||
SANDRA G. SPONEM c/o SSGA Active Trust One Iron Street Boston, MA 02210 1958 | Independent Trustee | Term: Unlimited Served: since July 2018 | Chief Financial Officer, M.A. Mortenson Companies, Inc. (February 2007 – April 2017). | 128 | Guggenheim/Rydex Funds (Trustee). |
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Name, Address and Year of Birth | Position(s) with Funds | Term of Office and Length of Time Served | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During the Past 5 Years | |||||
Interested Trustee | ||||||||||
JAMES E. ROSS* SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1965 | Interested Trustee | Term: Unlimited Served as Trustee: since March 2011 | Chairman and Director, SSGA Funds Management, Inc. (2005-present); Executive Vice President and Principal, State Street Global Advisors (2006-present); Chief Executive Officer and Director, State Street Global Advisors Funds Distributors, LLC (May 2017- present); Director, State Street Global Markets, LLC (2013-April 2017); President, SSGA Funds Management, Inc. (2005-2012). | 189 | None. | |||||
† For the purpose of determining the number of portfolios overseen by the Trustees, “Fund Complex” comprises registered investment companies for which SSGA Funds Management, Inc. serves as investment adviser. | ||||||||||
* Mr. Ross is an Interested Trustee because of his employment with the Adviser and ownership interest in an affiliate of the Adviser. Mr. Ross previously served as an Interested Trustee from November 2005 to December 2009. |
Name, Address and Year of Birth | Position(s) with Funds | Term of Office and Length of Time Served | Principal Occupation(s) During the Past 5 Years | |||
Officers | ||||||
ELLEN M. NEEDHAM SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1967 | President | Term: Unlimited Served: since October 2012 | President and Director, SSGA Funds Management, Inc. (2001 - present)*; Senior Managing Director, State Street Global Advisors (1992 - present)*; Director, State Street Global Advisors Funds Distributors, LLC (May 2017 - present). | |||
BRUCE S. ROSENBERG SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1961 | Treasurer | Term: Unlimited Served: since February 2016 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (July 2015 - present); Director, Credit Suisse (April 2008 - July 2015). | |||
ANN M. CARPENTER SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1966 | Vice President; Deputy Treasurer | Term: Unlimited Served: since August 2012 | Chief Operating Officer, SSGA Funds Management, Inc. (2005 - Present)*; Managing Director, State Street Global Advisors (2005 - present).* |
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Name, Address and Year of Birth | Position(s) with Funds | Term of Office and Length of Time Served | Principal Occupation(s) During the Past 5 Years | |||
MICHAEL P. RILEY SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1969 | Vice President | Term: Unlimited Served: since March 2011 | Managing Director, State Street Global Advisors (2005 - present).* | |||
SEAN O’MALLEY SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1969 | Chief Legal Officer | Term: Unlimited Served: since August 2019 | Senior Vice President and Deputy General Counsel, State Street Global Advisors (November 2013 -present). | |||
ANDREW DELORME SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1975 | Secretary | Term: Unlimited Served: since August 2019 | Vice President and Senior Counsel, State Street Global Advisors (April 2016 - present); Vice President and Counsel, State Street Global Advisors (August 2014 - March 2016). | |||
JAMES GOUNDREY SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1977 | Assistant Secretary | Term: Unlimited Served: since August 2019 | Vice President and Senior Counsel, State Street Global Advisors (April 2019 - present); Vice President and Counsel, State Street Global Advisors (August 2015 - April 2019); Attorney, MFS Investment Management (March 2012 - August 2015). | |||
KEVIN MORRIS SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1982 | Assistant Secretary | Term: Unlimited Served: since August 2019 | Vice President and Senior Counsel, State Street Global Advisors (April 2019 - present); Vice President and Counsel, State Street Global Advisors (January 2016 -April 2019); Director, Asset Management Compliance, Fidelity Investments (June 2015 - January 2016); Senior Compliance Advisor, Asset Management Compliance, Fidelity Investments (June 2012 - June 2015). | |||
DAVID URMAN SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1985 | Assistant Secretary | Term: Unlimited Served: since August 2019 | Vice President and Senior Counsel, State Street Global Advisors (April 2019 - present); Vice President and Counsel, State Street Global Advisors (August 2015 - April 2019); Associate, Ropes & Gray LLP (November 2012 - August 2015). | |||
CHAD C. HALLETT SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1969 | Deputy Treasurer | Term: Unlimited Served: since February 2016 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (November 2014 - present); Vice President, State Street Bank and Trust Company (2001 - November 2014).* | |||
DARLENE ANDERSON-VASQUEZ SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1968 | Deputy Treasurer | Term: Unlimited Served: since November 2016 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (May 2016 - present); Senior Vice President, John Hancock Investments (September 2007 - May 2016). | |||
ARTHUR A. JENSEN SSGA Funds Management, Inc. 1600 Summer Street Stamford, CT 06905 1966 | Deputy Treasurer | Term: Unlimited Served: Since August 2017 | Vice President at State Street Global Advisors (July 2016 – present); Mutual Funds Controller of GE Asset Management Incorporated (April 2011 - July 2016). | |||
SUJATA UPRETI SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1974 | Assistant Treasurer | Term: Unlimited Served: since February 2016 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (May 2015 - present); Assistant Director, Cambridge Associates, LLC (July 2014 - January 2015); Vice President, Bank of New York Mellon (July 2012 - August 2013); Manager, PricewaterhouseCoopers, LLP (September 2003 - July 2012). |
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Name, Address and Year of Birth | Position(s) with Funds | Term of Office and Length of Time Served | Principal Occupation(s) During the Past 5 Years | |||
DANIEL FOLEY SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1972 | Assistant Treasurer | Term: Unlimited Served: since February 2016 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (April 2007 - present).* | |||
DANIEL G. PLOURDE SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1980 | Assistant Treasurer | Term: Unlimited Served: since May 2017 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (May 2015 - present); Officer, State Street Bank and Trust Company (March 2009 - May 2015). | |||
BRIAN HARRIS SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1973 | Chief Compliance Officer; Anti-Money Laundering Officer; Code of Ethics Compliance Officer | Term: Unlimited Served: since November 2013 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (June 2013 - present)*; Senior Vice President and Global Head of Investment Compliance, BofA Global Capital Management (2010 - 2013); Director of Compliance, AARP Financial Inc. (2008 - 2010). | |||
* Served in various capacities and/or with various affiliated entities during noted time period. | ||||||
The Statement of Additional Information (SAI) includes additional information about the Funds' directors and is available, without charge, upon request and by calling 1-866-787-2257. |
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One Iron Street
Boston, MA 02210
One Iron Street
Boston, MA 02210
One Lincoln Street
Boston, MA 02111
1111 Pennsylvania Avenue, NW
Washington, DC 20004
200 Clarendon Street
Boston, MA 02116
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SPDR SSGA Multi-Asset Real Return ETF |
SPDR SSGA Income Allocation ETF |
SPDR SSGA Global Allocation ETF |
SPDR SSGA Ultra Short Term Bond ETF |
SPDR MFS Systematic Core Equity ETF |
SPDR MFS Systematic Growth Equity ETF |
SPDR MFS Systematic Value Equity ETF |
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1 | |
Management’s Discussion of Fund Performance, Performance Summaries & Portfolio Statistics (Unaudited) | |
2 | |
5 | |
8 | |
11 | |
14 | |
18 | |
22 | |
Schedules of Investments | |
26 | |
28 | |
30 | |
32 | |
38 | |
40 | |
42 | |
44 | |
51 | |
58 | |
67 | |
68 |
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Cumulative Total Return | Average Annual Total Return | |||||||||||||
Net Asset Value | Market Value | Bloomberg Barclays U.S. Government Inflation-linked Bond Index | DBIQ Optimum Yield Diversified Commodity Index Excess Return | Net Asset Value | Market Value | Bloomberg Barclays U.S. Government Inflation-linked Bond Index | DBIQ Optimum Yield Diversified Commodity Index Excess Return | |||||||
ONE YEAR | –2.71% | –2.49% | 4.88% | –11.00% | –2.71% | –2.49% | 4.88% | –11.00% | ||||||
FIVE YEARS | –9.63% | –9.60% | 9.55% | –38.67% | –2.00% | –2.00% | 1.84% | –9.32% | ||||||
SINCE INCEPTION(1) | –2.30% | –2.17% | 10.59% | –41.02% | –0.32% | –0.30% | 1.41% | –7.09% | ||||||
(1) | For the period April 25, 2012 to June 30, 2019. |
(Based on Net Asset Value)
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Description | % of Net Assets | ||
SPDR S&P Global Natural Resources ETF | 21.2% | ||
Invesco Optimum Yield Diversified Commodity Strategy No. K-1 ETF | 19.3 | ||
SPDR Bloomberg Barclays TIPS ETF | 14.8 | ||
SPDR S&P Global Infrastructure ETF | 10.0 | ||
SPDR Dow Jones International Real Estate ETF | 8.8 | ||
TOTAL | 74.1% |
% of Net Assets | |||
Natural Resources | 29.3% | ||
Commodities | 20.3 | ||
Real Estate | 17.5 | ||
Inflation Linked | 14.8 | ||
International Equity | 12.0 | ||
International Fixed Income | 5.9 | ||
Short Term Investments | 7.5 | ||
Liabilities in Excess of Other Assets | (7.3) | ||
TOTAL | 100.0% |
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Cumulative Total Return | Average Annual Total Return | |||||||||||||
Net Asset Value | Market Value | MSCI World Index | Bloomberg Barclays US Long Government /Credit Bond Index | Net Asset Value | Market Value | MSCI World Index | Bloomberg Barclays US Long Government /Credit Bond Index | |||||||
ONE YEAR | 7.93% | 7.96% | 6.33% | 13.82% | 7.93% | 7.96% | 6.33% | 13.82% | ||||||
FIVE YEARS | 21.63% | 21.60% | 37.67% | 31.79% | 3.99% | 3.99% | 6.60% | 5.68% | ||||||
SINCE INCEPTION(1) | 45.21% | 45.19% | 95.88% | 45.63% | 5.33% | 5.33% | 9.81% | 5.37% | ||||||
(1) | For the period April 25, 2012 to June 30, 2019. |
(Based on Net Asset Value)
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Description | % of Net Assets | ||
SPDR Bloomberg Barclays High Yield Bond ETF | 14.0% | ||
SPDR Portfolio S&P 500 High Dividend ETF | 13.1 | ||
SPDR Portfolio Long Term Treasury ETF | 10.1 | ||
SPDR Bloomberg Barclays Emerging Markets Local Bond ETF | 10.1 | ||
SPDR Blackstone / GSO Senior Loan ETF | 9.8 | ||
TOTAL | 57.1% |
% of Net Assets | |||
Domestic Fixed Income | 45.1% | ||
Domestic Equity | 30.0 | ||
International Equity | 12.1 | ||
�� | International Fixed Income | 10.1 | |
Inflation Linked | 2.5 | ||
Short Term Investments | 4.5 | ||
Liabilities in Excess of Other Assets | (4.3) | ||
TOTAL | 100.0% |
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Cumulative Total Return | Average Annual Total Return | |||||||||||||
Net Asset Value | Market Value | MSCI ACWI IMI Index | Bloomberg Barclays U.S. Aggregate Bond Index | Net Asset Value | Market Value | MSCI ACWI IMI Index | Bloomberg Barclays U.S. Aggregate Bond Index | |||||||
ONE YEAR | 4.37% | 4.24% | 4.56% | 7.87% | 4.37% | 4.24% | 4.56% | 7.87% | ||||||
FIVE YEARS | 23.57% | 23.53% | 34.03% | 15.64% | 4.32% | 4.32% | 6.03% | 2.95% | ||||||
SINCE INCEPTION(1) | 55.75% | 55.73% | 86.17% | 21.29% | 6.36% | 6.36% | 9.04% | 2.72% | ||||||
(1) | For the period April 25, 2012 to June 30, 2019. |
(Based on Net Asset Value)
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Description | % of Net Assets | ||
SPDR S&P 500 ETF Trust | 20.2% | ||
SPDR Portfolio Developed World ex-US ETF | 16.0 | ||
SPDR Bloomberg Barclays High Yield Bond ETF | 14.1 | ||
SPDR Dow Jones REIT ETF | 6.8 | ||
SPDR Portfolio Emerging Markets ETF | 5.1 | ||
TOTAL | 62.2% |
% of Net Assets | |||
Domestic Equity | 30.3% | ||
International Equity | 25.0 | ||
Domestic Fixed Income | 23.2 | ||
Real Estate | 9.8 | ||
Inflation Linked | 5.1 | ||
International Fixed Income | 3.1 | ||
Commodities | 2.1 | ||
Short Term Investments | 5.0 | ||
Liabilities in Excess of Other Assets | (3.6) | ||
TOTAL | 100.0% |
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Cumulative Total Return | Average Annual Total Return | ||||||||
Net Asset Value | Market Value | Bloomberg Barclays US Treasury Bellwether 3 Month Index | Net Asset Value | Market Value | Bloomberg Barclays US Treasury Bellwether 3 Month Index | ||||
ONE YEAR | 2.79% | 2.76% | 2.33% | 2.79% | 2.76% | 2.33% | |||
FIVE YEARS | 6.94% | 7.04% | 4.51% | 1.35% | 1.37% | 0.89% | |||
SINCE INCEPTION(1) | 7.43% | 7.45% | 4.57% | 1.26% | 1.26% | 0.78% | |||
(1) | For the period October 9, 2013 to June 30, 2019. |
(Based on Net Asset Value)
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Description | % of Net Assets | ||
Treasury Notes 1.00% 9/30/2019 | 4.0% | ||
Nissan Master Owner Trust Receivables 2.71% 10/17/2022 | 2.1 | ||
AT&T, Inc. 3.27% 6/1/2021 | 2.1 | ||
General Motors Financial Co., Inc. 3.64% 6/30/2022 | 2.1 | ||
Ford Motor Credit Co. LLC 3.59% 1/9/2020 | 1.7 | ||
TOTAL | 12.0% |
% of Net Assets | |||
Corporate Bonds & Notes | 63.2% | ||
Asset-Backed Securities | 27.1 | ||
U.S. Treasury Obligations | 4.9 | ||
Mortgage-Backed Securities | 1.9 | ||
Foreign Government Obligations | 0.2 | ||
Short-Term Investment | 1.4 | ||
Certificate of Deposit | 0.4 | ||
Other Assets in Excess of Liabilities | 0.9 | ||
TOTAL | 100.0% |
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Cumulative Total Return | Average Annual Total Return | ||||||||
Net Asset Value | Market Value | S&P 500 Index | Net Asset Value | Market Value | S&P 500 Index | ||||
ONE YEAR | 10.11% | 10.05% | 10.42% | 10.11% | 10.05% | 10.42% | |||
FIVE YEARS | 72.40% | 72.37% | 66.33% | 11.51% | 11.50% | 10.71% | |||
SINCE INCEPTION(1) | 85.86% | 85.80% | 79.16% | 11.98% | 11.98% | 11.24% | |||
(1) | For the period January 8, 2014 to June 30, 2019. |
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Description | % of Net Assets | ||
Microsoft Corp. | 7.1% | ||
Amazon.com, Inc. | 4.6 | ||
Johnson & Johnson | 4.2 | ||
Apple, Inc. | 4.1 | ||
Citigroup, Inc. | 4.0 | ||
TOTAL | 24.0% |
% of Net Assets | |||
Software | 11.0% | ||
Pharmaceuticals | 9.9 | ||
Semiconductors & Semiconductor Equipment | 6.5 | ||
Banks | 6.1 | ||
Insurance | 6.0 | ||
Equity Real Estate Investment Trusts (REITs) | 5.7 | ||
Machinery | 5.5 | ||
Health Care Providers & Services | 5.4 | ||
Internet & Direct Marketing Retail | 4.6 | ||
Independent Power and Renewable Electricity Producers | 4.2 | ||
Technology Hardware, Storage & Peripherals | 4.1 | ||
Oil, Gas & Consumable Fuels | 4.0 | ||
Hotels, Restaurants & Leisure | 3.8 | ||
Interactive Media & Services | 3.3 | ||
Food Products | 3.1 | ||
Food & Staples Retailing | 2.7 | ||
Media | 2.7 | ||
Electric Utilities | 2.6 | ||
Tobacco | 2.2 | ||
Consumer Finance | 1.7 | ||
Beverages | 1.3 | ||
IT Services | 1.2 | ||
Household Products | 0.7 | ||
Chemicals | 0.5 | ||
Road & Rail | 0.5 | ||
Short Term Investments | 0.6 | ||
Other Assets in Excess of Liabilities | 0.1 | ||
TOTAL | 100.0% |
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Cumulative Total Return | Average Annual Total Return | ||||||||
Net Asset Value | Market Value | Russell 1000 Growth Index | Net Asset Value | Market Value | Russell 1000 Growth Index | ||||
ONE YEAR | 6.47% | 6.85% | 11.56% | 6.47% | 6.85% | 11.56% | |||
FIVE YEARS | 76.34% | 76.43% | 87.46% | 12.01% | 12.02% | 13.39% | |||
SINCE INCEPTION(1) | 89.89% | 89.88% | 100.64% | 12.42% | 12.42% | 13.56% | |||
(1) | For the period January 8, 2014 to June 30, 2019. |
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Description | % of Net Assets | ||
Amazon.com, Inc. | 8.6% | ||
Microsoft Corp. | 6.1 | ||
Apple, Inc. | 5.9 | ||
Starbucks Corp. | 3.7 | ||
ServiceNow, Inc. | 3.3 | ||
TOTAL | 27.6% |
% of Net Assets | |||
Software | 14.5% | ||
Health Care Providers & Services | 11.1 | ||
Internet & Direct Marketing Retail | 8.6 | ||
IT Services | 7.5 | ||
Semiconductors & Semiconductor Equipment | 6.1 | ||
Technology Hardware, Storage & Peripherals | 5.9 | ||
Machinery | 4.9 | ||
Pharmaceuticals | 4.9 | ||
Interactive Media & Services | 4.0 | ||
Hotels, Restaurants & Leisure | 3.7 | ||
Biotechnology | 3.6 | ||
Tobacco | 3.4 | ||
Consumer Finance | 3.2 | ||
Insurance | 3.0 | ||
Independent Power & Renewable Electricity Producers | 2.4 | ||
Media | 2.1 | ||
Capital Markets | 1.9 | ||
Specialty Retail | 1.7 | ||
Chemicals | 1.4 | ||
Equity Real Estate Investment Trusts (REITs) | 1.0 | ||
Road & Rail | 0.9 | ||
Food Products | 0.6 | ||
Electrical Equipment | 0.6 | ||
Aerospace & Defense | 0.5 | ||
Banks | 0.4 | ||
Health Care Technology | 0.4 | ||
Auto Components | 0.3 | ||
Short-Term Investment | 1.3 | ||
Other Assets in Excess of Liabilities | 0.1 | ||
TOTAL | 100.0% |
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Cumulative Total Return | Average Annual Total Return | ||||||||
Net Asset Value | Market Value | Russell 1000 Value Index | Net Asset Value | Market Value | Russell 1000 Value Index | ||||
ONE YEAR | 3.69% | 3.42% | 8.46% | 3.69% | 3.42% | 8.46% | |||
FIVE YEARS | 56.23% | 56.22% | 43.31% | 9.33% | 9.33% | 7.46% | |||
SINCE INCEPTION(1) | 65.66% | 65.62% | 55.59% | 9.65% | 9.65% | 8.41% | |||
(1) | For the period January 8, 2014 to June 30, 2019. |
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Description | % of Net Assets | ||
Citigroup, Inc. | 4.3% | ||
Johnson & Johnson | 4.0 | ||
Intel Corp. | 3.6 | ||
Exelon Corp. | 3.5 | ||
STORE Capital Corp. REIT | 3.1 | ||
TOTAL | 18.5% |
% of Net Assets | |||
Pharmaceuticals | 10.4% | ||
Banks | 9.4 | ||
Oil, Gas & Consumable Fuels | 9.2 | ||
Equity Real Estate Investment Trusts (REITs) | 7.2 | ||
Health Care Providers & Services | 5.6 | ||
Insurance | 5.4 | ||
Electrical Equipment | 4.8 | ||
Independent Power and Renewable Electricity Producers | 4.5 | ||
Electric Utilities | 4.0 | ||
Machinery | 3.7 | ||
Semiconductors & Semiconductor Equipment | 3.6 | ||
Tobacco | 2.9 | ||
Food Products | 2.9 | ||
Communications Equipment | 2.7 | ||
Software | 2.7 | ||
Media | 2.7 | ||
Household Durables | 2.6 | ||
Chemicals | 2.1 | ||
Food & Staples Retailing | 1.8 | ||
Road & Rail | 1.6 | ||
Consumer Finance | 1.5 | ||
Beverages | 1.5 | ||
Capital Markets | 1.3 | ||
Health Care Equipment & Supplies | 1.2 | ||
Hotels, Restaurants & Leisure | 1.2 | ||
Diversified Telecommunication Services | 1.1 | ||
Multiline Retail | 1.1 | ||
Biotechnology | 0.4 | ||
Short Term Investments | 0.8 | ||
Other Assets in Excess of Liabilities | 0.1 | ||
TOTAL | 100.0% |
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Security Description | Shares | Value | ||||
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS — 99.8% | ||||||
COMMODITIES — 20.3% | ||||||
Invesco DB Gold Fund | 26,797 | $1,156,291 | ||||
Invesco Optimum Yield Diversified Commodity Strategy No. K-1 ETF (a) | 1,326,812 | 21,719,912 | ||||
22,876,203 | ||||||
INFLATION LINKED — 14.8% | ||||||
SPDR Bloomberg Barclays TIPS ETF (b) | 295,379 | 16,715,498 | ||||
INTERNATIONAL EQUITY — 12.0% | ||||||
SPDR S&P Global Infrastructure ETF (b) | 212,055 | 11,266,482 | ||||
VanEck Vectors Agribusiness ETF (a) | 34,681 | 2,316,691 | ||||
13,583,173 | ||||||
INTERNATIONAL FIXED INCOME — 5.9% | ||||||
SPDR FTSE International Government Inflation-Protected Bond ETF (b) | 120,728 | 6,710,062 | ||||
NATURAL RESOURCES — 29.3% | ||||||
SPDR S&P Global Natural Resources ETF (b) | 520,207 | 23,861,895 | ||||
SPDR S&P Metals & Mining ETF (a)(b) | 122,057 | 3,463,978 | ||||
The Energy Select Sector SPDR Fund (a)(b) | 89,126 | 5,678,217 | ||||
33,004,090 | ||||||
REAL ESTATE — 17.5% | ||||||
SPDR Dow Jones International Real Estate ETF (a)(b) | 254,986 | 9,880,708 | ||||
SPDR Dow Jones REIT ETF (a)(b) | 99,368 | 9,817,558 | ||||
19,698,266 | ||||||
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS (Cost $114,989,185) | 112,587,292 |
Security Description | Shares | Value | ||||
SHORT-TERM INVESTMENTS — 7.5% | ||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 2.35% (c)(d) | 200,382 | $200,382 | ||||
State Street Navigator Securities Lending Portfolio III (e)(f) | 8,210,284 | 8,210,284 | ||||
TOTAL SHORT-TERM INVESTMENTS (Cost $8,410,666) | $8,410,666 | |||||
TOTAL INVESTMENTS—107.3% (Cost $123,399,851) | 120,997,958 | |||||
LIABILITIES IN EXCESS OF OTHER ASSETS—(7.3)% | (8,206,116) | |||||
NET ASSETS—100.0% | $112,791,842 |
(a) | All or a portion of the shares of the security are on loan at June 30, 2019. |
(b) | Affiliated fund managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2019 are shown in the Affiliate Table below. |
(c) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2019 are shown in the Affiliate Table below. |
(d) | The rate shown is the annualized seven-day yield at June 30, 2019. |
(e) | The Fund invested in an affiliated entity. Amounts related to these transactions during the period ended June 30, 2019 are shown in the Affiliate Table below. |
(f) | Investment of cash collateral for securities loaned. |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Mutual Funds and Exchange Traded Products | $112,587,292 | $— | $— | $112,587,292 | ||||
Short-Term Investments | 8,410,666 | — | — | 8,410,666 | ||||
TOTAL INVESTMENTS | $120,997,958 | $— | $— | $120,997,958 |
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Number of Shares Held at 6/30/18 | Value at 6/30/18 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 6/30/19 | Value at 6/30/19 | Dividend Income | |||||||||
SPDR Bloomberg Barclays TIPS ETF | 381,395 | $21,178,864 | $6,190,208 | $10,912,419 | $(78,847) | $337,692 | 295,379 | $16,715,498 | $530,686 | ||||||||
SPDR Dow Jones International Real Estate ETF | 219,619 | 8,595,887 | 6,025,735 | 4,724,987 | 30,796 | (46,723) | 254,986 | 9,880,708 | 465,074 | ||||||||
SPDR Dow Jones REIT ETF | 55,830 | 5,245,787 | 9,328,529 | 5,210,306 | 441,755 | 11,793 | 99,368 | 9,817,558 | 323,390 | ||||||||
SPDR FTSE International Government Inflation-Protected Bond ETF | 160,079 | 8,682,685 | 2,203,518 | 4,310,398 | (140,725) | 274,982 | 120,728 | 6,710,062 | 278,660 | ||||||||
SPDR S&P Global Infrastructure ETF | 214,010 | 10,552,534 | 7,336,548 | 7,481,913 | 160,434 | 698,879 | 212,055 | 11,266,482 | 421,071 | ||||||||
SPDR S&P Global Natural Resources ETF | 748,533 | 37,486,532 | 11,966,882 | 22,282,696 | (246,736) | (3,062,087) | 520,207 | 23,861,895 | 938,576 | ||||||||
SPDR S&P Metals & Mining ETF | 153,827 | 5,456,244 | 2,607,347 | 3,372,861 | (112,056) | (1,114,696) | 122,057 | 3,463,978 | 99,461 | ||||||||
SPDR S&P Oil & Gas Equipment & Services ETF | 172,636 | 2,927,906 | 1,349,980 | 3,075,234 | (1,302,309) | 99,657 | — | — | 11,089 | ||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 12,678 | 12,678 | 6,527,861 | 6,340,157 | — | — | 200,382 | 200,382 | 24,856 | ||||||||
State Street Navigator Securities Lending Government Money Market Portfolio | 7,809,131 | 7,809,131 | 167,344,329 | 175,153,460 | — | — | — | — | 116,286 | ||||||||
State Street Navigator Securities Lending Portfolio III | — | — | 76,867,043 | 68,656,759 | — | — | 8,210,284 | 8,210,284 | 31,028 | ||||||||
The Energy Select Sector SPDR Fund | 95,071 | 7,219,692 | 2,457,104 | 2,811,315 | (18,968) | (1,168,296) | 89,126 | 5,678,217 | 207,397 | ||||||||
Total | $115,167,940 | $300,205,084 | $314,332,505 | $(1,266,656) | $(3,968,799) | $95,805,064 | $3,447,574 |
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Security Description | Shares | Value | ||||
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS — 99.8% | ||||||
DOMESTIC EQUITY — 30.0% | ||||||
Invesco KBW Premium Yield Equity REIT ETF | 241,124 | $7,250,599 | ||||
iShares Mortgage Real Estate ETF | 122,693 | 5,175,191 | ||||
SPDR Portfolio S&P 500 High Dividend ETF (a)(b) | 361,461 | 13,749,976 | ||||
SPDR Wells Fargo Preferred Stock ETF (a)(b) | 120,314 | 5,198,768 | ||||
31,374,534 | ||||||
DOMESTIC FIXED INCOME — 45.1% | ||||||
SPDR Blackstone / GSO Senior Loan ETF (a) | 221,297 | 10,228,347 | ||||
SPDR Bloomberg Barclays Convertible Securities ETF (a)(b) | 98,095 | 5,186,283 | ||||
SPDR Bloomberg Barclays High Yield Bond ETF (a) | 134,592 | 14,662,453 | ||||
SPDR Portfolio Intermediate Term Corporate Bond ETF (a) | 30,296 | 1,058,239 | ||||
SPDR Portfolio Long Term Corporate Bond ETF (a) | 188,290 | 5,413,338 | ||||
SPDR Portfolio Long Term Treasury ETF (a) | 278,234 | 10,617,409 | ||||
47,166,069 | ||||||
INFLATION LINKED — 2.5% | ||||||
SPDR Bloomberg Barclays TIPS ETF (a) | 46,570 | 2,635,396 | ||||
INTERNATIONAL EQUITY — 12.1% | ||||||
SPDR S&P Global Infrastructure ETF (a) | 99,667 | 5,295,308 | ||||
SPDR S&P International Dividend ETF (a)(b) | 106,418 | 4,188,613 | ||||
SPDR STOXX Europe 50 ETF (a) | 91,861 | 3,138,890 | ||||
12,622,811 |
Security Description | Shares | Value | ||||
INTERNATIONAL FIXED INCOME — 10.1% | ||||||
SPDR Bloomberg Barclays Emerging Markets Local Bond ETF (a)(b) | 379,704 | $10,563,365 | ||||
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS (Cost $102,907,849) | 104,362,175 | |||||
SHORT-TERM INVESTMENTS — 4.5% | ||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 2.35% (c)(d) | 241,663 | 241,663 | ||||
State Street Navigator Securities Lending Portfolio III (e)(f) | 4,478,400 | 4,478,400 | ||||
TOTAL SHORT-TERM INVESTMENTS (Cost $4,720,063) | $4,720,063 | |||||
TOTAL INVESTMENTS—104.3% (Cost $107,627,912) | 109,082,238 | |||||
LIABILITIES IN EXCESS OF OTHER ASSETS—(4.3)% | (4,469,443) | |||||
NET ASSETS—100.0% | $104,612,795 |
(a) | Affiliated fund managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2019 are shown in the Affiliate Table below. |
(b) | All or a portion of the shares of the security are on loan at June 30, 2019. |
(c) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2019 are shown in the Affiliate Table below. |
(d) | The rate shown is the annualized seven-day yield at June 30, 2019. |
(e) | The Fund invested in an affiliated entity. Amounts related to these transactions during the period ended June 30, 2019 are shown in the Affiliate Table below. |
(f) | Investment of cash collateral for securities loaned. |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Mutual Funds and Exchange Traded Products | $104,362,175 | $— | $— | $104,362,175 | ||||
Short-Term Investments | 4,720,063 | — | — | 4,720,063 | ||||
TOTAL INVESTMENTS | $109,082,238 | $— | $— | $109,082,238 |
Table of Contents
Number of Shares Held at 6/30/18 | Value at 6/30/18 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 6/30/19 | Value at 6/30/19 | Dividend Income | |||||||||
SPDR Blackstone / GSO Senior Loan ETF | — | $— | $11,736,327 | $1,335,261 | $12,174 | $(184,893) | 221,297 | $10,228,347 | $405,393 | ||||||||
SPDR Bloomberg Barclays Convertible Securities ETF | 87,008 | 4,613,164 | 1,233,433 | 673,785 | 43,509 | (30,038) | 98,095 | 5,186,283 | 276,877 | ||||||||
SPDR Bloomberg Barclays Emerging Markets Local Bond ETF | 169,930 | 4,581,313 | 7,471,931 | 2,073,812 | (48,437) | 632,370 | 379,704 | 10,563,365 | 424,380 | ||||||||
SPDR Bloomberg Barclays High Yield Bond ETF | 233,882 | 8,298,133 | 8,415,111 | 2,355,324 | (3,484) | 308,017 | 134,592 | 14,662,453 | 622,235 | ||||||||
SPDR Bloomberg Barclays TIPS ETF | 85,518 | 4,748,815 | 1,024,106 | 3,167,971 | (83,931) | 114,377 | 46,570 | 2,635,396 | 103,953 | ||||||||
SPDR Dow Jones International Real Estate ETF | 87,581 | 3,427,920 | 68,648 | 3,453,599 | (109,328) | 66,359 | — | — | — | ||||||||
SPDR Dow Jones REIT ETF | 27,950 | 2,626,182 | — | 2,694,036 | 540,341 | (472,487) | — | — | — | ||||||||
SPDR MSCI Emerging Markets StrategicFactors ETF | 89,470 | 5,308,255 | — | 5,191,851 | 464,242 | (580,646) | — | — | — | ||||||||
SPDR Portfolio Intermediate Term Corporate Bond ETF | 85,069 | 2,831,947 | 4,015,856 | 5,861,441 | (5,664) | 77,541 | 30,296 | 1,058,239 | 54,827 | ||||||||
SPDR Portfolio Long Term Corporate Bond ETF | 359,992 | 9,402,991 | 1,123,842 | 5,663,544 | (163,826) | 713,875 | 188,290 | 5,413,338 | 269,922 | ||||||||
SPDR Portfolio Long Term Treasury ETF | 191,485 | 6,707,624 | 7,338,866 | 4,446,356 | 36,961 | 980,314 | 278,234 | 10,617,409 | 285,266 | ||||||||
SPDR Portfolio S&P 500 High Dividend ETF | — | — | 20,200,996 | 6,178,764 | (199,973) | (72,283) | 361,461 | 13,749,976 | 696,311 | ||||||||
SPDR S&P Dividend ETF | 150,116 | 13,915,753 | 575,108 | 15,425,618 | 3,000,015 | (2,065,258) | — | — | — | ||||||||
SPDR S&P Global Infrastructure ETF | 98,391 | 4,851,522 | 1,189,245 | 1,166,439 | 33,837 | 387,143 | 99,667 | 5,295,308 | 175,049 | ||||||||
SPDR S&P International Dividend ETF | 214,263 | 8,208,416 | 2,290,563 | 6,620,679 | 115,843 | 194,470 | 106,418 | 4,188,613 | 203,257 | ||||||||
SPDR STOXX Europe 50 ETF | 81,394 | 2,720,993 | 4,341,712 | 4,085,643 | (86,305) | 248,133 | 91,861 | 3,138,890 | 79,012 | ||||||||
SPDR Wells Fargo Preferred Stock ETF | 108,376 | 4,711,105 | 1,288,309 | 820,450 | 13,825 | 5,979 | 120,314 | 5,198,768 | 299,209 | ||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | — | — | 5,691,600 | 5,449,937 | — | — | 241,663 | 241,663 | 15,995 | ||||||||
State Street Navigator Securities Lending Government Money Market Portfolio | 12,183,127 | 12,183,127 | 195,751,386 | 207,934,513 | — | — | — | — | 126,823 | ||||||||
State Street Navigator Securities Lending Portfolio III | — | — | 56,576,887 | 52,098,487 | — | — | 4,478,400 | 4,478,400 | 50,557 | ||||||||
The Energy Select Sector SPDR Fund | 24,486 | 1,859,467 | — | 1,832,828 | (51,046) | 24,407 | — | — | — | ||||||||
The Industrial Select Sector SPDR Fund | 24,633 | 1,764,462 | 63,414 | 1,995,009 | 110,507 | 56,626 | — | — | — | ||||||||
The Technology Select Sector SPDR Fund | 26,269 | 1,824,907 | — | 1,943,353 | 704,034 | (585,588) | — | — | — | ||||||||
Total | $104,586,096 | $330,397,340 | $342,468,700 | $4,323,294 | $(181,582) | $96,656,448 | $4,089,066 |
Table of Contents
Security Description | Shares | Value | ||||
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS — 98.6% | ||||||
COMMODITIES — 2.1% | ||||||
Invesco DB Gold Fund | 125,175 | $5,401,301 | ||||
DOMESTIC EQUITY — 30.3% | ||||||
SPDR Portfolio Small Cap ETF (a)(b) | 170,359 | 5,219,800 | ||||
SPDR S&P 500 ETF Trust (a)(b) | 176,029 | 51,576,497 | ||||
SPDR S&P MidCap 400 ETF Trust (a)(b) | 14,440 | 5,120,280 | ||||
The Consumer Staples Select Sector SPDR Fund (a) | 86,816 | 5,041,405 | ||||
The Health Care Select Sector SPDR Fund (a)(b) | 56,856 | 5,267,140 | ||||
The Industrial Select Sector SPDR Fund (a) | 66,672 | 5,161,746 | ||||
77,386,868 | ||||||
DOMESTIC FIXED INCOME — 23.2% | ||||||
SPDR Bloomberg Barclays High Yield Bond ETF (a) | 330,621 | 36,017,852 | ||||
SPDR Bloomberg Barclays Intermediate Term Treasury ETF (a) | 84,943 | 5,249,478 | ||||
SPDR Bloomberg Barclays International Treasury Bond ETF (a)(b) | 268,338 | 7,760,335 | ||||
SPDR Portfolio Aggregate Bond ETF (a)(b) | 176,602 | 5,151,480 | ||||
SPDR Portfolio Intermediate Term Corporate Bond ETF (a) | 149,799 | 5,232,479 | ||||
59,411,624 | ||||||
INFLATION LINKED — 5.1% | ||||||
SPDR Bloomberg Barclays TIPS ETF (a) | 228,037 | 12,904,614 | ||||
INTERNATIONAL EQUITY — 25.0% | ||||||
SPDR Portfolio Developed World ex-US ETF (a)(b) | 1,382,195 | 40,899,150 | ||||
SPDR Portfolio Emerging Markets ETF (a) | 364,020 | 13,028,276 | ||||
SPDR S&P Emerging Markets SmallCap ETF (a) | 56,408 | 2,521,438 | ||||
SPDR S&P International Small Cap ETF (a) | 250,396 | 7,499,360 | ||||
63,948,224 | ||||||
INTERNATIONAL FIXED INCOME — 3.1% | ||||||
SPDR Bloomberg Barclays Emerging Markets Local Bond ETF (a) | 94,356 | 2,624,984 |
Security Description | Shares | Value | ||||
SPDR Bloomberg Barclays International Corporate Bond ETF (a) | 153,181 | $5,237,549 | ||||
7,862,533 | ||||||
REAL ESTATE — 9.8% | ||||||
SPDR Dow Jones International Real Estate ETF (a)(b) | 196,691 | 7,621,776 | ||||
SPDR Dow Jones REIT ETF (a)(b) | 177,621 | 17,548,955 | ||||
25,170,731 | ||||||
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS (Cost $233,938,862) | 252,085,895 | |||||
SHORT-TERM INVESTMENTS — 5.0% | ||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 2.35% (c)(d) | 2,263,193 | 2,263,193 | ||||
State Street Navigator Securities Lending Portfolio III (e)(f) | 10,451,625 | 10,451,625 | ||||
TOTAL SHORT-TERM INVESTMENTS (Cost $12,714,818) | $12,714,818 | |||||
TOTAL INVESTMENTS—103.6% (Cost $246,653,680) | 264,800,713 | |||||
LIABILITIES IN EXCESS OF OTHER ASSETS—(3.6)% | (9,113,480) | |||||
NET ASSETS—100.0% | $255,687,233 |
(a) | Affiliated fund managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2019 are shown in the Affiliate Table below. |
(b) | All or a portion of the shares of the security are on loan at June 30, 2019. |
(c) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2019 are shown in the Affiliate Table below. |
(d) | The rate shown is the annualized seven-day yield at June 30, 2019. |
(e) | The Fund invested in an affiliated entity. Amounts related to these transactions during the period ended June 30, 2019 are shown in the Affiliate Table below. |
(f) | Investment of cash collateral for securities loaned. |
Table of Contents
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Mutual Funds and Exchange Traded Products | $252,085,895 | $— | $— | $252,085,895 | ||||
Short-Term Investments | 12,714,818 | — | — | 12,714,818 | ||||
TOTAL INVESTMENTS | $264,800,713 | $— | $— | $264,800,713 |
Number of Shares Held at 6/30/18 | Value at 6/30/18 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 6/30/19 | Value at 6/30/19 | Dividend Income | |||||||||
SPDR Bloomberg Barclays Emerging Markets Local Bond ETF | 92,904 | $2,504,692 | $825,125 | $797,520 | $(7,214) | $99,901 | 94,356 | $2,624,984 | $124,017 | ||||||||
SPDR Bloomberg Barclays High Yield Bond ETF | 143,202 | 5,080,807 | 35,168,166 | 4,749,420 | 19,137 | 499,162 | 330,621 | 36,017,852 | 1,003,005 | ||||||||
SPDR Bloomberg Barclays Intermediate Term Treasury ETF | 87,887 | 5,158,088 | 1,549,507 | 1,726,958 | 11,534 | 257,307 | 84,943 | 5,249,478 | 117,268 | ||||||||
SPDR Bloomberg Barclays International Corporate Bond ETF | 151,066 | 5,109,052 | 1,541,963 | 1,481,437 | (12,619) | 80,590 | 153,181 | 5,237,549 | 37,142 | ||||||||
SPDR Bloomberg Barclays International Treasury Bond ETF | — | — | 8,214,665 | 772,163 | 5,805 | 312,028 | 268,338 | 7,760,335 | 35,372 | ||||||||
SPDR Bloomberg Barclays Short Term High Yield Bond ETF | 186,886 | 5,100,119 | 1,188,540 | 6,180,460 | (150,915) | 42,716 | — | — | 169,038 | ||||||||
SPDR Bloomberg Barclays TIPS ETF | 232,855 | 12,930,438 | 3,777,131 | 4,044,383 | (21,294) | 262,722 | 228,037 | 12,904,614 | 351,587 | ||||||||
SPDR Dow Jones International Real Estate ETF | 63,705 | 2,493,414 | 6,971,720 | 1,973,619 | 13,242 | 117,019 | 196,691 | 7,621,776 | 314,029 | ||||||||
SPDR Dow Jones REIT ETF | — | — | 19,983,349 | 2,681,771 | 50,620 | 196,757 | 177,621 | 17,548,955 | 322,542 | ||||||||
SPDR Portfolio Aggregate Bond ETF | — | — | 12,173,632 | 7,498,880 | 214,474 | 262,254 | 176,602 | 5,151,480 | 160,227 | ||||||||
SPDR Portfolio Developed World ex-US ETF | 1,519,455 | 46,191,432 | 26,264,428 | 30,906,028 | 1,547,732 | (2,198,414) | 1,382,195 | 40,899,150 | 1,216,385 | ||||||||
SPDR Portfolio Emerging Markets ETF | 545,940 | 19,293,520 | 18,265,667 | 24,469,966 | 171,384 | (232,329) | 364,020 | 13,028,276 | 292,657 | ||||||||
SPDR Portfolio Intermediate Term Corporate Bond ETF | 154,667 | 5,148,865 | 1,465,052 | 1,631,935 | 780 | 249,717 | 149,799 | 5,232,479 | 169,035 | ||||||||
SPDR Portfolio Long Term Treasury ETF | 149,332 | 5,231,025 | 8,198,832 | 13,529,859 | 239,482 | (139,480) | — | — | 196,455 | ||||||||
SPDR Portfolio Small Cap ETF | 233,351 | 7,532,570 | 14,116,985 | 15,503,933 | 193,342 | (1,119,164) | 170,359 | 5,219,800 | 135,731 | ||||||||
SPDR S&P 500 ETF Trust | 230,121 | 62,427,225 | 17,551,655 | 32,167,995 | 3,140,109 | 625,503 | 176,029 | 51,576,497 | 1,123,198 | ||||||||
SPDR S&P Emerging Markets SmallCap ETF | — | — | 2,771,777 | 378,707 | 9,920 | 118,448 | 56,408 | 2,521,438 | 964 | ||||||||
SPDR S&P International Small Cap ETF | 212,042 | 7,277,281 | 2,993,943 | 1,743,510 | 38,501 | (1,066,855) | 250,396 | 7,499,360 | 319,373 | ||||||||
SPDR S&P MidCap 400 ETF Trust | 14,060 | 4,991,581 | 1,674,572 | 1,566,836 | 183,687 | (162,724) | 14,440 | 5,120,280 | 69,412 | ||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 19,809,280 | 19,809,280 | 26,026,968 | 43,573,055 | — | — | 2,263,193 | 2,263,193 | 361,735 | ||||||||
State Street Navigator Securities Lending Government Money Market Portfolio | 8,492,442 | 8,492,442 | 422,384,431 | 430,876,873 | — | — | — | — | 331,343 | ||||||||
State Street Navigator Securities Lending Portfolio III | — | — | 102,460,374 | 92,008,749 | — | — | 10,451,625 | 10,451,625 | 36,620 | ||||||||
The Communication Services Select Sector SPDR Fund | — | — | 5,275,403 | 5,340,961 | 65,558 | — | — | — | 9,248 | ||||||||
The Consumer Discretionary Select Sector SPDR Fund | — | — | 6,689,025 | 6,525,638 | (163,387) | — | — | — | 37,053 | ||||||||
The Consumer Staples Select Sector SPDR Fund | — | — | 5,139,036 | 28,782 | (412) | (68,437) | 86,816 | 5,041,405 | 39,160 | ||||||||
The Energy Select Sector SPDR Fund | 66,339 | 5,037,784 | 6,140,196 | 10,622,172 | (620,864) | 65,056 | — | — | 48,126 | ||||||||
The Health Care Select Sector SPDR Fund | — | — | 5,352,920 | 201,623 | 3,732 | 112,111 | 56,856 | 5,267,140 | 41,867 | ||||||||
The Industrial Select Sector SPDR Fund | 66,988 | 4,798,351 | 5,342,568 | 5,222,168 | (108,161) | 351,156 | 66,672 | 5,161,746 | 76,689 | ||||||||
The Real Estate Sector SPDR Fund | — | — | 5,496,489 | 5,968,391 | 471,902 | — | — | — | — | ||||||||
The Technology Select Sector SPDR Fund | 71,494 | 4,966,688 | 6,557,112 | 11,914,208 | 1,954,544 | (1,564,136) | — | — | 40,587 | ||||||||
Total | $239,574,654 | $781,561,231 | $766,088,000 | $7,250,619 | $(2,899,092) | $259,399,412 | $7,179,865 |
Table of Contents
Security Description | Principal Amount | Value | |||
CORPORATE BONDS & NOTES — 63.2% | |||||
AEROSPACE & DEFENSE — 1.6% | |||||
United Technologies Corp.: | |||||
3 Month USD LIBOR + 0.35%, 2.93%, 11/1/2019 (a) | $250,000 | $250,267 | |||
3 Month USD LIBOR + 0.65%, 3.17%, 8/16/2021 (a) | 2,384,000 | 2,386,289 | |||
2,636,556 | |||||
AGRICULTURE — 1.8% | |||||
Philip Morris International, Inc.: | |||||
2.00%, 2/21/2020 | 2,000,000 | 1,995,380 | |||
3 Month USD LIBOR + 0.42%, 2.94%, 2/21/2020 (a) | 1,000,000 | 1,001,830 | |||
2,997,210 | |||||
AUTO MANUFACTURERS — 12.3% | |||||
American Honda Finance Corp.: | |||||
Series GMTN, 3 Month USD LIBOR + 0.21%, 2.75%, 2/12/2021 (a) | 300,000 | 299,886 | |||
Series MTN, 3 Month USD LIBOR + 0.27%, 2.86%, 7/20/2020 (a) | 400,000 | 400,624 | |||
Daimler Finance North America LLC: | |||||
3 Month USD LIBOR + 0.39%, 2.96%, 5/4/2020 (a) (b) | 500,000 | 500,280 | |||
3 Month USD LIBOR + 0.45%, 2.97%, 2/22/2021 (a) (b) | 1,515,000 | 1,513,621 | |||
3 Month USD LIBOR + 0.88%, 3.40%, 2/22/2022 (a) (b) | 2,000,000 | 2,011,740 | |||
Ford Motor Credit Co. LLC: | |||||
3 Month USD LIBOR + 0.83%, 3.37%, 8/12/2019 (a) | 700,000 | 700,336 | |||
3 Month USD LIBOR + 1.00%, 3.59%, 1/9/2020 (a) | 2,812,000 | 2,816,415 | |||
General Motors Financial Co., Inc.: | |||||
3 Month USD LIBOR + 0.93%, 3.53%, 4/13/2020 (a) | 2,542,000 | 2,549,651 | |||
3 Month USD LIBOR + 1.27%, 3.87%, 10/4/2019 (a) | 1,045,000 | 1,046,954 | |||
3 Month USD LIBOR + 1.31%, 3.64%, 6/30/2022 (a) | 3,500,000 | 3,495,310 | |||
Hyundai Capital America 3 Month USD LIBOR + 0.94%, 3.53%, 7/8/2021 (a) (b) | 1,480,000 | 1,481,288 | |||
Nissan Motor Acceptance Corp.: | |||||
3 Month USD LIBOR + 0.39%, 2.99%, 7/13/2020 (a) (b) | 600,000 | 598,002 | |||
3 Month USD LIBOR + 0.63%, 3.02%, 9/21/2021 (a) (b) | 1,500,000 | 1,499,655 | |||
Toyota Motor Credit Corp. 3 Month USD LIBOR + 0.10%, 2.68%, 1/10/2020 (a) | 450,000 | 450,068 |
Security Description | Principal Amount | Value | |||
Volkswagen Group of America Finance LLC 3 Month USD LIBOR + 0.94%, 3.48%, 11/12/2021 (a) (b) | $1,250,000 | $1,256,425 | |||
20,620,255 | |||||
BANKS — 18.7% | |||||
Bank of America Corp.: | |||||
3 Month USD LIBOR + 0.38%, 2.97%, 1/23/2022 (a) | 625,000 | 623,925 | |||
Series MTN, 3 Month USD LIBOR + 0.65%, 2.97%, 10/1/2021 (a) | 1,400,000 | 1,403,738 | |||
Series MTN, 3 Month USD LIBOR + 1.18%, 3.77%, 10/21/2022 (a) | 1,814,000 | 1,836,312 | |||
Citigroup, Inc. 3 Month USD LIBOR + 0.96%, 3.54%, 4/25/2022 (a) | 1,250,000 | 1,260,950 | |||
Commonwealth Bank of Australia 3 Month USD LIBOR + 0.45%, 2.90%, 3/10/2020 (a) (b) | 450,000 | 451,238 | |||
Cooperatieve Rabobank UA 3 Month USD LIBOR + 0.48%, 3.06%, 1/10/2023 (a) | 250,000 | 248,755 | |||
Goldman Sachs Group, Inc.: | |||||
3 Month USD LIBOR + 1.02%, 3.61%, 10/23/2019 (a) | 659,000 | 660,799 | |||
3 Month USD LIBOR + 1.36%, 3.94%, 4/23/2021 (a) | 750,000 | 761,242 | |||
Series FRN, 3 Month USD LIBOR + 1.77%, 4.29%, 2/25/2021 (a) | 250,000 | 255,588 | |||
HSBC Holdings PLC: | |||||
3 Month USD LIBOR + 0.60%, 3.12%, 5/18/2021 (a) | 2,000,000 | 2,001,440 | |||
3 Month USD LIBOR + 1.66%, 4.18%, 5/25/2021 (a) | 730,000 | 745,746 | |||
JPMorgan Chase & Co. 3 Month USD LIBOR + 1.10%, 3.57%, 6/7/2021 (a) | 1,750,000 | 1,773,117 | |||
KeyBank NA Series BKNT, 3 Month USD LIBOR + 0.66%, 3.24%, 2/1/2022 (a) | 1,000,000 | 1,002,990 | |||
Mitsubishi UFJ Financial Group, Inc.: | |||||
3 Month USD LIBOR + 0.65%, 3.24%, 7/26/2021 (a) | 436,000 | 437,046 | |||
3 Month USD LIBOR + 0.79%, 3.37%, 7/25/2022 (a) | 1,500,000 | 1,504,935 | |||
3 Month USD LIBOR + 1.06%, 3.51%, 9/13/2021 (a) | 300,000 | 303,204 | |||
Morgan Stanley: | |||||
Series GMTN, 3 Month USD LIBOR + 0.55%, 3.10%, 2/10/2021 (a) | 500,000 | 500,600 |
Table of Contents
Security Description | Principal Amount | Value | |||
Series GMTN, 3 Month USD LIBOR + 1.40%, 3.99%, 4/21/2021 (a) | $1,000,000 | $1,017,500 | |||
National Australia Bank, Ltd.: | |||||
3 Month USD LIBOR + 0.58%, 2.97%, 9/20/2021 (a) (b) | 750,000 | 753,112 | |||
3 Month USD LIBOR + 0.71%, 3.28%, 11/4/2021 (a) (b) | 500,000 | 503,390 | |||
National Bank of Canada Series MTN, 3 Month USD LIBOR + 0.60%, 3.19%, 1/17/2020 (a) | 665,000 | 666,809 | |||
PNC Bank NA Series BKNT, 3 Month USD LIBOR + 0.36%, 2.88%, 5/19/2020 (a) | 600,000 | 601,572 | |||
Santander UK PLC: | |||||
3 Month USD LIBOR + 0.30%, 2.88%, 11/3/2020 (a) | 600,000 | 598,254 | |||
3 Month USD LIBOR + 0.62%, 3.14%, 6/1/2021 (a) | 300,000 | 300,504 | |||
Skandinaviska Enskilda Banken AB 3 Month USD LIBOR + 0.43%, 2.96%, 5/17/2021 (a) (b) | 1,500,000 | 1,504,680 | |||
Sumitomo Mitsui Banking Corp. 3 Month USD LIBOR + 0.37%, 2.97%, 10/16/2020 (a) | 1,000,000 | 1,001,450 | |||
Sumitomo Mitsui Financial Group, Inc. 3 Month USD LIBOR + 1.14%, 3.73%, 10/19/2021 (a) | 1,237,000 | 1,253,341 | |||
Sumitomo Mitsui Trust Bank, Ltd. 3 Month USD LIBOR + 0.91%, 3.51%, 10/18/2019 (a) (b) | 150,000 | 150,269 | |||
SunTrust Bank Series BKNT, 3 Month USD LIBOR + 0.50%, 3.09%, 10/26/2021 (a) | 1,000,000 | 999,800 | |||
Svenska Handelsbanken AB Series BKNT, 3 Month USD LIBOR + 0.49%, 2.96%, 9/6/2019 (a) | 320,000 | 320,346 | |||
Toronto-Dominion Bank: | |||||
3 Month USD LIBOR + 0.90%, 3.50%, 7/13/2021 (a) | 400,000 | 405,088 | |||
Series BKNT, 3 Month USD LIBOR + 0.44%, 3.04%, 7/2/2019 (a) | 250,000 | 250,000 | |||
Series MTN, 3 Month USD LIBOR + 0.56%, 3.13%, 11/5/2019 (a) | 253,000 | 253,498 | |||
UBS AG: | |||||
3 Month USD LIBOR + 0.48%, 3.00%, 12/1/2020 (a) (b) | 550,000 | 551,887 | |||
3 Month USD LIBOR + 0.58%, 3.03%, 6/8/2020 (a) (b) | 1,000,000 | 1,004,250 | |||
US Bank NA: |
Security Description | Principal Amount | Value | |||
Series BKNT, 3 Month USD LIBOR + 0.32%, 2.91%, 4/26/2021 (a) | $1,000,000 | $1,001,400 | |||
Series BKNT, 3 Month USD LIBOR + 0.48%, 3.06%, 10/28/2019 (a) | 100,000 | 100,111 | |||
Wells Fargo & Co. 3 Month USD LIBOR + 0.93%, 3.47%, 2/11/2022 (a) | 1,000,000 | 1,005,600 | |||
Westpac Banking Corp.: | |||||
3 Month USD LIBOR + 0.34%, 2.93%, 1/25/2021 (a) | 1,000,000 | 1,001,340 | |||
3 Month USD LIBOR + 0.56%, 3.08%, 8/19/2019 (a) | 275,000 | 275,239 | |||
31,291,065 | |||||
BEVERAGES — 0.7% | |||||
Constellation Brands, Inc. 3 Month USD LIBOR + 0.70%, 3.22%, 11/15/2021 (a) | 1,200,000 | 1,200,036 | |||
BIOTECHNOLOGY — 1.4% | |||||
Amgen, Inc. 3 Month USD LIBOR + 0.45%, 2.99%, 5/11/2020 (a) | 1,407,000 | 1,410,081 | |||
Gilead Sciences, Inc. 2.35%, 2/1/2020 | 1,000,000 | 999,370 | |||
2,409,451 | |||||
BUILDING MATERIALS — 0.8% | |||||
Martin Marietta Materials, Inc. 3 Month USD LIBOR + 0.50%, 2.89%, 12/20/2019 (a) | 1,325,000 | 1,325,119 | |||
COMPUTERS — 1.8% | |||||
Apple, Inc.: | |||||
3 Month USD LIBOR + 0.07%, 2.61%, 5/11/2020 (a) | 680,000 | 680,333 | |||
3 Month USD LIBOR + 0.25%, 2.81%, 2/7/2020 (a) | 790,000 | 791,051 | |||
3 Month USD LIBOR + 0.50%, 3.06%, 2/9/2022 (a) | 750,000 | 756,368 | |||
IBM Credit LLC 3 Month USD LIBOR + 0.16%, 2.73%, 2/5/2021 (a) | 725,000 | 723,992 | |||
2,951,744 | |||||
DIVERSIFIED FINANCIAL SERVICES — 1.5% | |||||
American Express Credit Corp. Series MTN, 3 Month USD LIBOR + 0.70%, 3.22%, 3/3/2022 (a) | 619,000 | 622,398 | |||
Capital One Financial Corp. 3 Month USD LIBOR + 0.76%, 3.30%, 5/12/2020 (a) | 1,946,000 | 1,953,979 | |||
2,576,377 |
Table of Contents
Security Description | Principal Amount | Value | |||
ELECTRIC — 1.9% | |||||
Duke Energy Corp.: | |||||
3 Month USD LIBOR + 0.50%, 3.03%, 5/14/2021 (a) (b) | $1,000,000 | $1,002,350 | |||
3 Month USD LIBOR + 0.65%, 3.10%, 3/11/2022 (a) | 2,200,000 | 2,211,374 | |||
3,213,724 | |||||
FOOD — 0.7% | |||||
Conagra Brands, Inc. 3 Month USD LIBOR + 0.50%, 3.09%, 10/9/2020 (a) | 602,000 | 600,056 | |||
Tyson Foods, Inc. 3 Month USD LIBOR + 0.45%, 2.97%, 8/21/2020 (a) | 550,000 | 549,785 | |||
1,149,841 | |||||
HEALTH CARE SERVICES — 1.1% | |||||
Cigna Corp. 3 Month USD LIBOR + 0.35%, 2.76%, 3/17/2020 (a) (b) | 1,000,000 | 1,000,780 | |||
Roche Holdings, Inc. 3 Month USD LIBOR + 0.34%, 2.67%, 9/30/2019 (a) (b) | 250,000 | 249,993 | |||
UnitedHealth Group, Inc. 3 Month USD LIBOR + 0.26%, 2.67%, 6/15/2021 (a) | 600,000 | 600,486 | |||
1,851,259 | |||||
INSURANCE — 0.6% | |||||
Metropolitan Life Global Funding I 3 Month USD LIBOR + 0.57%, 2.99%, 9/7/2020 (a) (b) | 1,000,000 | 1,002,610 | |||
LODGING — 1.5% | |||||
Marriott International, Inc. 3 Month USD LIBOR + 0.65%, 3.10%, 3/8/2021 (a) | 2,500,000 | 2,506,275 | |||
MACHINERY, CONSTRUCTION & MINING — 1.5% | |||||
Caterpillar Financial Services Corp.: | |||||
Series MTN, 3 Month USD LIBOR + 0.28%, 2.75%, 9/7/2021 (a) | 500,000 | 500,035 | |||
Series MTN, 3 Month USD LIBOR + 0.59%, 3.06%, 6/6/2022 (a) | 2,000,000 | 2,009,620 | |||
2,509,655 | |||||
MACHINERY-DIVERSIFIED — 0.8% | |||||
John Deere Capital Corp. Series MTN, 3 Month USD LIBOR + 0.48%, 2.93%, 9/8/2022 (a) | 1,395,000 | 1,398,404 |
Security Description | Principal Amount | Value | |||
MEDIA — 0.8% | |||||
Comcast Corp. 3 Month USD LIBOR + 0.33%, 2.65%, 10/1/2020 (a) | $1,000,000 | $1,001,650 | |||
NBCUniversal Enterprise, Inc. 3 Month USD LIBOR + 0.40%, 2.72%, 4/1/2021 (a) (b) | 400,000 | 400,916 | |||
1,402,566 | |||||
MISCELLANEOUS MANUFACTURER — 1.6% | |||||
General Electric Co. Series GMTN, 3 Month USD LIBOR + 0.62%, 3.21%, 1/9/2020 (a) | 2,090,000 | 2,092,320 | |||
Siemens Financieringsmaatschappij NV: | |||||
3 Month USD LIBOR + 0.32%, 2.77%, 9/13/2019 (a) (b) | 200,000 | 200,126 | |||
3 Month USD LIBOR + 0.34%, 2.75%, 3/16/2020 (a) (b) | 450,000 | 450,495 | |||
2,742,941 | |||||
OIL & GAS — 3.3% | |||||
BP Capital Markets America, Inc. 3 Month USD LIBOR + 0.65%, 3.07%, 9/19/2022 (a) | 250,000 | 250,305 | |||
BP Capital Markets PLC 3 Month USD LIBOR + 0.87%, 3.28%, 9/16/2021 (a) | 1,250,000 | 1,266,000 | |||
Chevron Corp. 3 Month USD LIBOR + 0.48%, 3.00%, 3/3/2022 (a) | 1,500,000 | 1,507,635 | |||
ConocoPhillips Co. 3 Month USD LIBOR + 0.90%, 3.42%, 5/15/2022 (a) | 2,100,000 | 2,125,305 | |||
Shell International Finance B.V. 3 Month USD LIBOR + 0.35%, 2.79%, 9/12/2019 (a) | 300,000 | 300,240 | |||
5,449,485 | |||||
PHARMACEUTICALS — 2.0% | |||||
Allergan Funding SCS 3 Month USD LIBOR + 1.26%, 3.69%, 3/12/2020 (a) | 438,000 | 440,816 | |||
AstraZeneca PLC 3 Month USD LIBOR + 0.62%, 3.07%, 6/10/2022 (a) | 690,000 | 689,282 | |||
CVS Health Corp. 3 Month USD LIBOR + 0.72%, 3.17%, 3/9/2021 (a) | 2,250,000 | 2,258,708 | |||
3,388,806 | |||||
RETAIL — 1.6% | |||||
Alimentation Couche-Tard, Inc. 3 Month USD LIBOR + 0.50%, 2.95%, 12/13/2019 (a) (b) | 139,000 | 139,003 |
Table of Contents
Security Description | Principal Amount | Value | |||
Dollar Tree, Inc. 3 Month USD LIBOR + 0.70%, 3.29%, 4/17/2020 (a) | $1,700,000 | $1,700,187 | |||
Home Depot, Inc.: | |||||
3 Month USD LIBOR + 0.15%, 2.63%, 6/5/2020 (a) | 350,000 | 350,413 | |||
3 Month USD LIBOR + 0.31%, 2.83%, 3/1/2022 (a) | 500,000 | 500,760 | |||
2,690,363 | |||||
SOFTWARE — 0.5% | |||||
Oracle Corp. 3 Month USD LIBOR + 0.51%, 3.10%, 10/8/2019 (a) | 895,000 | 896,199 | |||
TELECOMMUNICATIONS — 4.6% | |||||
AT&T, Inc.: | |||||
3 Month USD LIBOR + 0.65%, 3.25%, 1/15/2020 (a) | 800,000 | 801,976 | |||
3 Month USD LIBOR + 0.75%, 3.27%, 6/1/2021 (a) | 3,500,000 | 3,514,490 | |||
3 Month USD LIBOR + 0.93%, 3.26%, 6/30/2020 (a) | 1,300,000 | 1,308,397 | |||
Cisco Systems, Inc. 3 Month USD LIBOR + 0.34%, 2.73%, 9/20/2019 (a) | 560,000 | 560,420 | |||
Verizon Communications, Inc. 3 Month USD LIBOR + 1.00%, 3.41%, 3/16/2022 (a) | 1,450,000 | 1,471,750 | |||
7,657,033 | |||||
TRANSPORTATION — 0.1% | |||||
United Parcel Service, Inc. 3 Month USD LIBOR + 0.45%, 2.77%, 4/1/2023 (a) | 200,000 | 200,540 | |||
TOTAL CORPORATE BONDS & NOTES (Cost $105,920,155) | 106,067,514 | ||||
ASSET-BACKED SECURITIES — 27.1% | |||||
AUTOMOBILE — 19.4% | |||||
Ally Auto Receivables Trust Series 2016-3, Class A4, 1.72%, 4/15/2021 | 974,594 | 972,906 | |||
BMW Floorplan Master Owner Trust Series 2018-1, Class A2, 1 Month USD LIBOR + 0.32%, 2.71%, 5/15/2023 (a) (b) | 500,000 | 500,192 | |||
CarMax Auto Owner Trust Series 2016-2, Class A3, 1.52%, 2/16/2021 | 312,792 | 312,177 | |||
Chrysler Capital Auto Receivables Trust Series 2016-AA, Class D, 4.22%, 2/15/2023 (b) | 1,500,000 | 1,520,695 | |||
Enterprise Fleet Financing LLC: |
Security Description | Principal Amount | Value | |||
Series 2017-1, Class A3, 2.60%, 7/20/2022 (b) | $2,670,000 | $2,672,527 | |||
Series 2019-1, Class A2, 2.98%, 10/22/2024 (b) | 2,400,000 | 2,428,310 | |||
Series 2018-3, Class A2, 3.38%, 5/20/2024 (b) | 2,357,000 | 2,387,222 | |||
Ford Credit Auto Lease Trust Series 2017-B, Class A4, 2.17%, 2/15/2021 | 2,000,000 | 1,997,702 | |||
Ford Credit Auto Owner Trust Series 2015-1, Class A, 2.12%, 7/15/2026 (b) | 1,000,000 | 998,393 | |||
Ford Credit Floorplan Master Owner Trust A Series 2016-3, Class A1, 1.55%, 7/15/2021 | 1,000,000 | 999,682 | |||
GM Financial Automobile Leasing Trust: | |||||
Series 2018-2, Class A3, 3.06%, 6/21/2021 | 1,750,000 | 1,759,669 | |||
Series 2017-1, Class A4, 2.26%, 8/20/2020 | 2,395,000 | 2,393,011 | |||
GMF Floorplan Owner Revolving Trust: | |||||
Series 2018-3, Class A, 3 Month USD LIBOR + 0.32%, 2.71%, 9/15/2022 (a) (b) | 2,100,000 | 2,100,529 | |||
Series 2018-1, Class A, 1 Month USD LIBOR + 0.30%, 2.79%, 3/15/2022 (a) (b) | 700,000 | 700,054 | |||
Honda Auto Receivables 2016-2 Owner Trust Series 2016-2, Class A4, 1.62%, 8/15/2022 | 1,000,000 | 999,016 | |||
Honda Auto Receivables 2016-3 Owner Trust Series 2016-3, Class A3, 1.16%, 5/18/2020 | 49,520 | 49,462 | |||
Hyundai Auto Receivables Trust Series 2015-C, Class A4, 1.78%, 11/15/2021 | 290,643 | 290,396 | |||
Nissan Auto Lease Trust: | |||||
Series 2017-B, Class A2A, 1.83%, 12/16/2019 | 16,540 | 16,535 | |||
Series 2017-B, Class A4, 2.17%, 12/15/2021 | 125,000 | 124,789 | |||
Nissan Auto Receivables Owner Trust Series 2018-A, Class A2A, 2.39%, 12/15/2020 | 184,708 | 184,637 | |||
Nissan Master Owner Trust Receivables Series 2017-C, Class A, 1 Month USD LIBOR + 0.32%, 2.71%, 10/17/2022 (a) | 3,600,000 | 3,600,503 |
Table of Contents
Security Description | Principal Amount | Value | |||
Securitized Term Auto Receivables Trust Series 2019-1A, Class A2, 2.86%, 5/25/2021 (b) | $1,668,172 | $1,672,363 | |||
World Omni Auto Receivables Trust: | |||||
Series 2018-A, Class A2, 2.19%, 5/17/2021 | 243,021 | 242,816 | |||
Series 2018-C, Class A2, 2.80%, 1/18/2022 | 1,263,680 | 1,265,972 | |||
World Omni Automobile Lease Securitization Trust: | |||||
Series 2018-A, Class A3, 2.83%, 7/15/2021 | 1,200,000 | 1,205,704 | |||
Series 2018-B, Class A2A, 2.96%, 6/15/2021 | 1,195,406 | 1,200,045 | |||
32,595,307 | |||||
CREDIT CARD — 7.3% | |||||
CARDS II Trust: | |||||
Series 2018-1A, Class A, 1 Month USD LIBOR + 0.35%, 2.74%, 4/17/2023 (a) (b) | 500,000 | 500,419 | |||
Series 2017-2A, Class A, 1 Month USD LIBOR + 0.26%, 2.65%, 10/17/2022 (a) (b) | 1,800,000 | 1,799,971 | |||
Evergreen Credit Card Trust Series 2017-1, Class A, 1 Month USD LIBOR + 0.26%, 2.65%, 10/15/2021 (a) (b) | 700,000 | 700,170 | |||
Evergreen Credit Card Trust Series 2018-2 Series 2018-2, Class A, 1 Month USD LIBOR + 0.35%, 2.74%, 7/15/2022 (a) (b) | 250,000 | 250,422 | |||
Golden Credit Card Trust: | |||||
Series 2016-5A, 1.60%, 9/15/2021 (b) | 2,000,000 | 1,996,423 | |||
Series 2018-3A, Class A, 1 Month USD LIBOR + 0.32%, 2.71%, 5/15/2023 (a) (b) | 600,000 | 599,652 | |||
Gracechurch Card Funding PLC Series 2018-1A, Class A, 1 Month USD LIBOR + 0.40%, 2.79%, 7/15/2022 (a) (b) | 500,000 | 499,376 | |||
Master Credit Card Trust II Series 2018-3A, Class A, 1 Month USD LIBOR + 0.34%, 2.72%, 1/21/2022 (a) (b) | 1,000,000 | 1,000,614 | |||
Trillium Credit Card Trust II: | |||||
Series 2018-1A, Class A, 1 Month USD LIBOR + 0.25%, 2.73%, 2/27/2023 (a) (b) | 1,200,000 | 1,200,059 | |||
Series 2018-2A, Class A, 1 Month USD LIBOR + 0.35%, 2.75%, 9/26/2023 (a) (b) | 1,750,000 | 1,751,501 | |||
Series 2019-1A, Class A, 1 Month USD LIBOR + 0.48%, 2.88%, 1/26/2024 (a) (b) | 550,000 | 551,007 |
Security Description | Principal Amount | Value | |||
World Financial Network Credit Card Master Trust Series 2016-C, Class A, 1.72%, 8/15/2023 | $1,300,000 | $1,296,822 | |||
12,146,436 | |||||
TELECOMMUNICATIONS — 0.4% | |||||
Verizon Owner Trust Series 2017-1A, Class A, 2.06%, 9/20/2021 (b) | 707,053 | 706,036 | |||
TOTAL ASSET-BACKED SECURITIES (Cost $45,317,153) | 45,447,779 | ||||
FOREIGN GOVERNMENT OBLIGATIONS — 0.2% | |||||
CANADA — 0.2% | |||||
Province of Quebec Canada Series MTN, 3 Month USD LIBOR + 0.13%, 2.52%, 9/21/2020 (a) (Cost $250,000) | 250,000 | 250,390 | |||
U.S. TREASURY OBLIGATIONS — 4.9% | |||||
Treasury Notes: | |||||
1.00%, 9/30/2019 | 6,606,000 | 6,587,678 | |||
2.44%, 9/30/2019 | 1,558,700 | 1,555,595 | |||
TOTAL U.S. TREASURY OBLIGATIONS (Cost $8,136,206) | 8,143,273 | ||||
MORTGAGE-BACKED SECURITIES — 1.9% | |||||
BHMS Series 2018-ATLS, , Class A, 1 Month USD LIBOR + 1.25%, 3.64%, 7/15/2035 (a) (b) | 1,500,000 | 1,500,914 | |||
BX Commercial Mortgage Trust Series 2018-BIOA, Class A, 1 Month USD LIBOR + 0.67%, 3.07%, 3/15/2037 (a) (b) | 1,437,000 | 1,434,062 | |||
Holmes Master Issuer PLC Series 2018-2A, Class A1, 1 Month USD LIBOR + 0.35%, 2.74%, 7/15/2019 (a) (b) | 302,177 | 302,176 | |||
TOTAL MORTGAGE-BACKED SECURITIES (Cost $3,225,047) | 3,237,152 |
Shares | |||
CERTIFICATE OF DEPOSIT — 0.4% | |||
Bank of Nova Scotia 2.70% (a) | 500,000 | 499,837 |
Table of Contents
Security Description | Shares | Value | |||
MUFG Bank, Ltd. 2.93% (a) | 300,000 | $300,161 | |||
TOTAL CERTIFICATE OF DEPOSIT (Cost $799,998) | 799,998 |
SHORT-TERM INVESTMENT — 1.4% | |||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 2.35% (c) (d) (Cost $2,317,630) | 2,317,630 | 2,317,630 | |
TOTAL INVESTMENTS — 99.1% (Cost $165,966,189) | 166,263,736 | ||
OTHER ASSETS IN EXCESS OF LIABILITIES — 0.9% | 1,455,604 | ||
NET ASSETS — 100.0% | $167,719,340 |
(a) | Variable Rate Security - Interest rate shown is rate in effect at June 30, 2019. For securities based on a published reference rate and spread, the reference rate and spread are indicated in the description above. |
(b) | Securities purchased pursuant to Rule 144A of the Securities Act of 1933, as amended. These securities, which represent 28.6% of net assets as of June 30, 2019, are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
(c) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2019 are shown in the Affiliate Table below. |
(d) | The rate shown is the annualized seven-day yield at June 30, 2019. |
FRN | = Floating Rate Note |
GMTN | = Global Medium Term Note |
LIBOR | = London Interbank Offered Rate |
MTN | = Medium Term Note |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Asset-Backed Securities | $— | $45,447,779 | $— | $45,447,779 | ||||
Corporate Bonds & Notes | — | 106,067,514 | — | 106,067,514 | ||||
Foreign Government Obligations | — | 250,390 | — | 250,390 | ||||
Mortgage-Backed Securities | — | 3,237,152 | — | 3,237,152 | ||||
Certificate of Deposit | — | 799,998 | — | 799,998 | ||||
U.S. Treasury Obligations | — | 8,143,273 | — | 8,143,273 | ||||
Short-Term Investment | 2,317,630 | — | — | 2,317,630 | ||||
TOTAL INVESTMENTS | $2,317,630 | $163,946,106 | $— | $166,263,736 |
Number of Shares Held at 6/30/18 | Value at 6/30/18 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 6/30/19 | Value at 6/30/19 | Dividend Income | |||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 4,033,700 | $4,033,700 | $133,500,353 | $135,216,423 | $— | $— | 2,317,630 | $2,317,630 | $88,040 |
Table of Contents
Security Description | Shares | Value | ||||
COMMON STOCKS — 99.3% | ||||||
BANKS — 6.1% | ||||||
Citigroup, Inc. | 21,994 | $1,540,240 | ||||
JPMorgan Chase & Co. | 5,300 | 592,540 | ||||
Wells Fargo & Co. | 5,276 | 249,660 | ||||
2,382,440 | ||||||
BEVERAGES — 1.3% | ||||||
Molson Coors Brewing Co. Class B | 9,324 | 522,144 | ||||
CHEMICALS — 0.5% | ||||||
LyondellBasell Industries NV Class A | 2,118 | 182,423 | ||||
CONSUMER FINANCE — 1.7% | ||||||
Discover Financial Services | 5,844 | 453,436 | ||||
Synchrony Financial | 5,602 | 194,221 | ||||
647,657 | ||||||
ELECTRIC UTILITIES — 2.6% | ||||||
Edison International | 11,150 | 751,622 | ||||
Exelon Corp. | 5,492 | 263,286 | ||||
1,014,908 | ||||||
EQUITY REAL ESTATE INVESTMENT TRUSTS (REITS) — 5.7% | ||||||
EPR Properties REIT | 14,102 | 1,051,868 | ||||
STORE Capital Corp. REIT | 35,165 | 1,167,126 | ||||
2,218,994 | ||||||
FOOD & STAPLES RETAILING — 2.7% | ||||||
Walgreens Boots Alliance, Inc. | 19,209 | 1,050,156 | ||||
FOOD PRODUCTS — 3.1% | ||||||
Tyson Foods, Inc. Class A | 15,013 | 1,212,150 | ||||
HEALTH CARE PROVIDERS & SERVICES — 5.4% | ||||||
CVS Health Corp. | 10,088 | 549,695 | ||||
HCA Healthcare, Inc. | 9,328 | 1,260,866 | ||||
Molina Healthcare, Inc. (a) | 2,228 | 318,916 | ||||
2,129,477 | ||||||
HOTELS, RESTAURANTS & LEISURE — 3.8% | ||||||
Starbucks Corp. | 17,869 | 1,497,958 | ||||
HOUSEHOLD PRODUCTS — 0.7% | ||||||
Procter & Gamble Co. | 2,331 | 255,594 | ||||
INDEPENDENT POWER AND RENEWABLE ELECTRICITY PRODUCERS — 4.2% | ||||||
AES Corp. | 47,747 | 800,240 | ||||
NRG Energy, Inc. | 24,046 | 844,495 | ||||
1,644,735 | ||||||
INSURANCE — 6.0% | ||||||
MetLife, Inc. | 21,885 | 1,087,028 | ||||
Prudential Financial, Inc. | 12,569 | 1,269,469 | ||||
2,356,497 | ||||||
INTERACTIVE MEDIA & SERVICES — 3.3% | ||||||
Alphabet, Inc. Class C (a) | 1,021 | 1,103,609 |
Security Description | Shares | Value | ||||
Facebook, Inc. Class A (a) | 993 | $191,649 | ||||
1,295,258 | ||||||
INTERNET & DIRECT MARKETING RETAIL — 4.6% | ||||||
Amazon.com, Inc. (a) | 955 | 1,808,417 | ||||
IT SERVICES — 1.2% | ||||||
International Business Machines Corp. | 1,541 | 212,504 | ||||
PayPal Holdings, Inc. (a) | 2,319 | 265,433 | ||||
477,937 | ||||||
MACHINERY — 5.5% | ||||||
Allison Transmission Holdings, Inc. | 19,596 | 908,274 | ||||
Cummins, Inc. | 7,185 | 1,231,078 | ||||
2,139,352 | ||||||
MEDIA — 2.7% | ||||||
Comcast Corp. Class A | 24,860 | 1,051,081 | ||||
OIL, GAS & CONSUMABLE FUELS — 4.0% | ||||||
Exxon Mobil Corp. | 8,444 | 647,064 | ||||
Valero Energy Corp. | 10,638 | 910,719 | ||||
1,557,783 | ||||||
PHARMACEUTICALS — 9.9% | ||||||
Eli Lilly & Co. | 10,372 | 1,149,114 | ||||
Johnson & Johnson | 11,647 | 1,622,194 | ||||
Merck & Co., Inc. | 13,254 | 1,111,348 | ||||
3,882,656 | ||||||
ROAD & RAIL — 0.5% | ||||||
Union Pacific Corp. | 1,258 | 212,740 | ||||
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT — 6.5% | ||||||
Intel Corp. | 30,470 | 1,458,599 | ||||
NXP Semiconductors NV | 11,143 | 1,087,668 | ||||
2,546,267 | ||||||
SOFTWARE — 11.0% | ||||||
Microsoft Corp. | 20,725 | 2,776,321 | ||||
Oracle Corp. | 22,254 | 1,267,811 | ||||
Zscaler, Inc. (a) | 3,091 | 236,894 | ||||
4,281,026 | ||||||
TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS — 4.1% | ||||||
Apple, Inc. | 8,003 | 1,583,954 | ||||
TOBACCO — 2.2% | ||||||
Philip Morris International, Inc. | 11,122 | 873,411 | ||||
TOTAL COMMON STOCKS (Cost $36,839,133) | 38,825,015 |
Table of Contents
Security Description | Shares | Value | ||||
SHORT-TERM INVESTMENT — 0.6% | ||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 2.35% (b) (c) (Cost $255,902) | 255,902 | $255,902 | ||||
TOTAL INVESTMENTS — 99.9% (Cost $37,095,035) | 39,080,917 | |||||
OTHER ASSETS IN EXCESS OF LIABILITIES — 0.1% | 22,383 | |||||
NET ASSETS — 100.0% | $39,103,300 |
(a) | Non-income producing security. |
(b) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2019 are shown in the Affiliate Table below. |
(c) | The rate shown is the annualized seven-day yield at June 30, 2019. |
REIT | = Real Estate Investment Trust |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Common Stocks | $38,825,015 | $— | $— | $38,825,015 | ||||
Short-Term Investment | 255,902 | — | — | 255,902 | ||||
TOTAL INVESTMENTS | $39,080,917 | $— | $— | $39,080,917 |
Number of Shares Held at 6/30/18 | Value at 6/30/18 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 6/30/19 | Value at 6/30/19 | Dividend Income | |||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 285,615 | $285,615 | $1,261,037 | $1,290,750 | $— | $— | 255,902 | $255,902 | $7,126 |
Table of Contents
Security Description | Shares | Value | ||||
COMMON STOCKS — 98.6% | ||||||
AEROSPACE & DEFENSE — 0.5% | ||||||
Boeing Co. | 442 | $160,892 | ||||
AUTO COMPONENTS — 0.3% | ||||||
Lear Corp. | 859 | 119,633 | ||||
BANKS — 0.4% | ||||||
Citigroup, Inc. | 1,888 | 132,217 | ||||
BIOTECHNOLOGY — 3.6% | ||||||
Amgen, Inc. | 2,493 | 459,410 | ||||
Biogen, Inc. (a) | 1,257 | 293,975 | ||||
Gilead Sciences, Inc. | 4,424 | 298,885 | ||||
Incyte Corp. (a) | 2,036 | 172,979 | ||||
1,225,249 | ||||||
CAPITAL MARKETS — 1.9% | ||||||
TD Ameritrade Holding Corp. | 13,285 | 663,187 | ||||
CHEMICALS — 1.4% | ||||||
LyondellBasell Industries NV Class A | 5,458 | 470,097 | ||||
CONSUMER FINANCE — 3.2% | ||||||
Capital One Financial Corp. | 2,221 | 201,534 | ||||
Synchrony Financial | 26,284 | 911,266 | ||||
1,112,800 | ||||||
ELECTRICAL EQUIPMENT — 0.6% | ||||||
Eaton Corp. PLC | 2,267 | 188,796 | ||||
EQUITY REAL ESTATE INVESTMENT TRUSTS (REITS) — 1.0% | ||||||
Simon Property Group, Inc. REIT | 2,185 | 349,075 | ||||
FOOD PRODUCTS — 0.6% | ||||||
Tyson Foods, Inc. Class A | 2,716 | 219,290 | ||||
HEALTH CARE PROVIDERS & SERVICES — 11.1% | ||||||
AmerisourceBergen Corp. | 6,309 | 537,905 | ||||
Cigna Corp. | 738 | 116,272 | ||||
CVS Health Corp. | 13,177 | 718,015 | ||||
HCA Healthcare, Inc. | 8,325 | 1,125,290 | ||||
McKesson Corp. | 1,175 | 157,908 | ||||
Molina Healthcare, Inc. (a) | 1,392 | 199,251 | ||||
UnitedHealth Group, Inc. | 3,893 | 949,931 | ||||
3,804,572 | ||||||
HEALTH CARE TECHNOLOGY — 0.4% | ||||||
Veeva Systems, Inc. Class A (a) | 792 | 128,391 | ||||
HOTELS, RESTAURANTS & LEISURE — 3.7% | ||||||
Starbucks Corp. | 15,160 | 1,270,863 | ||||
INDEPENDENT POWER & RENEWABLE ELECTRICITY PRODUCERS — 2.4% | ||||||
NRG Energy, Inc. | 23,826 | 836,769 | ||||
INSURANCE — 3.0% | ||||||
MetLife, Inc. | 6,172 | 306,563 | ||||
Prudential Financial, Inc. | 7,015 | 708,515 | ||||
1,015,078 |
Security Description | Shares | Value | ||||
INTERACTIVE MEDIA & SERVICES — 4.0% | ||||||
Alphabet, Inc. Class C (a) | 726 | $784,741 | ||||
Facebook, Inc. Class A (a) | 3,017 | 582,281 | ||||
1,367,022 | ||||||
INTERNET & DIRECT MARKETING RETAIL — 8.6% | ||||||
Amazon.com, Inc. (a) | 1,565 | 2,963,531 | ||||
IT SERVICES — 7.5% | ||||||
Fidelity National Information Services, Inc. | 3,090 | 379,081 | ||||
International Business Machines Corp. | 7,698 | 1,061,554 | ||||
Okta, Inc. (a) | 3,554 | 438,955 | ||||
VeriSign, Inc. (a) | 3,322 | 694,829 | ||||
2,574,419 | ||||||
MACHINERY — 4.9% | ||||||
Allison Transmission Holdings, Inc. | 13,970 | 647,510 | ||||
Cummins, Inc. | 6,054 | 1,037,292 | ||||
1,684,802 | ||||||
MEDIA — 2.1% | ||||||
Charter Communications, Inc. Class A (a) | 1,858 | 734,244 | ||||
PHARMACEUTICALS — 4.9% | ||||||
Eli Lilly & Co. | 10,288 | 1,139,808 | ||||
Johnson & Johnson | 3,815 | 531,353 | ||||
1,671,161 | ||||||
ROAD & RAIL — 0.9% | ||||||
Union Pacific Corp. | 1,793 | 303,214 | ||||
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT — 6.1% | ||||||
Broadcom, Inc. | 3,797 | 1,093,004 | ||||
NXP Semiconductors NV | 10,431 | 1,018,170 | ||||
2,111,174 | ||||||
SOFTWARE — 14.5% | ||||||
Adobe, Inc. (a) | 1,934 | 569,853 | ||||
Microsoft Corp. | 15,614 | 2,091,651 | ||||
ServiceNow, Inc. (a) | 4,191 | 1,150,723 | ||||
Workday, Inc. Class A (a) | 1,557 | 320,088 | ||||
Zscaler, Inc. (a) | 11,298 | 865,879 | ||||
4,998,194 | ||||||
SPECIALTY RETAIL — 1.7% | ||||||
Best Buy Co., Inc. | 8,131 | 566,975 | ||||
TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS — 5.9% | ||||||
Apple, Inc. | 10,327 | 2,043,920 | ||||
TOBACCO — 3.4% | ||||||
Altria Group, Inc. | 21,772 | 1,030,904 | ||||
Philip Morris International, Inc. | 1,699 | 133,423 | ||||
1,164,327 | ||||||
TOTAL COMMON STOCKS (Cost $32,053,279) | 33,879,892 |
Table of Contents
Security Description | Shares | Value | ||||
SHORT-TERM INVESTMENT — 1.3% | ||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 2.35% (b) (c) (Cost $460,630) | 460,630 | $460,630 | ||||
TOTAL INVESTMENTS — 99.9% (Cost $32,513,909) | 34,340,522 | |||||
OTHER ASSETS IN EXCESS OF LIABILITIES — 0.1% | 20,781 | |||||
NET ASSETS — 100.0% | $34,361,303 |
(a) | Non-income producing security. |
(b) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2019 are shown in the Affiliate Table below. |
(c) | The rate shown is the annualized seven-day yield at June 30, 2019. |
REIT | = Real Estate Investment Trust |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Common Stocks | $33,879,892 | $— | $— | $33,879,892 | ||||
Short-Term Investment | 460,630 | — | — | 460,630 | ||||
TOTAL INVESTMENTS | $34,340,522 | $— | $— | $34,340,522 |
Number of Shares Held at 6/30/18 | Value at 6/30/18 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 6/30/19 | Value at 6/30/19 | Dividend Income | |||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 414,275 | $414,275 | $1,658,395 | $1,612,040 | $— | $— | 460,630 | $460,630 | $8,668 |
Table of Contents
Security Description | Shares | Value | ||||
COMMON STOCKS — 99.1% | ||||||
BANKS — 9.4% | ||||||
Bank of America Corp. | 24,356 | $706,324 | ||||
Citigroup, Inc. | 20,786 | 1,455,643 | ||||
JPMorgan Chase & Co. | 4,621 | 516,628 | ||||
Wells Fargo & Co. | 10,709 | 506,750 | ||||
3,185,345 | ||||||
BEVERAGES — 1.5% | ||||||
Molson Coors Brewing Co. Class B | 8,958 | 501,648 | ||||
BIOTECHNOLOGY — 0.4% | ||||||
Biogen, Inc. (a) | 638 | 149,209 | ||||
CAPITAL MARKETS — 1.3% | ||||||
TD Ameritrade Holding Corp. | 8,672 | 432,906 | ||||
CHEMICALS — 2.1% | ||||||
LyondellBasell Industries NV Class A | 8,337 | 718,066 | ||||
COMMUNICATIONS EQUIPMENT — 2.7% | ||||||
Cisco Systems, Inc. | 16,533 | 904,851 | ||||
CONSUMER FINANCE — 1.5% | ||||||
Discover Financial Services | 6,669 | 517,448 | ||||
DIVERSIFIED TELECOMMUNICATION SERVICES — 1.1% | ||||||
Verizon Communications, Inc. | 6,443 | 368,089 | ||||
ELECTRIC UTILITIES — 4.0% | ||||||
Edison International | 2,260 | 152,346 | ||||
Exelon Corp. | 24,789 | 1,188,385 | ||||
1,340,731 | ||||||
ELECTRICAL EQUIPMENT — 4.8% | ||||||
Eaton Corp. PLC | 11,225 | 934,818 | ||||
Regal Beloit Corp. | 8,334 | 680,971 | ||||
1,615,789 | ||||||
EQUITY REAL ESTATE INVESTMENT TRUSTS (REITS) — 7.2% | ||||||
EPR Properties REIT | 5,559 | 414,646 | ||||
Medical Properties Trust, Inc. REIT | 42,590 | 742,770 | ||||
Simon Property Group, Inc. REIT | 1,427 | 227,977 | ||||
STORE Capital Corp. REIT | 31,722 | 1,052,853 | ||||
2,438,246 | ||||||
FOOD & STAPLES RETAILING — 1.8% | ||||||
Walgreens Boots Alliance, Inc. | 11,281 | 616,732 | ||||
FOOD PRODUCTS — 2.9% | ||||||
Tyson Foods, Inc. Class A | 12,147 | 980,749 | ||||
HEALTH CARE EQUIPMENT & SUPPLIES — 1.2% | ||||||
Medtronic PLC | 4,146 | 403,779 | ||||
HEALTH CARE PROVIDERS & SERVICES — 5.6% | ||||||
Anthem, Inc. | 1,276 | 360,100 | ||||
Cigna Corp. | 3,955 | 623,110 | ||||
CVS Health Corp. | 11,298 | 615,628 |
Security Description | Shares | Value | ||||
HCA Healthcare, Inc. | 2,130 | $287,912 | ||||
1,886,750 | ||||||
HOTELS, RESTAURANTS & LEISURE — 1.2% | ||||||
Darden Restaurants, Inc. | 3,470 | 422,403 | ||||
HOUSEHOLD DURABLES — 2.6% | ||||||
Toll Brothers, Inc. | 23,751 | 869,762 | ||||
INDEPENDENT POWER AND RENEWABLE ELECTRICITY PRODUCERS — 4.5% | ||||||
AES Corp. | 47,377 | 794,038 | ||||
NRG Energy, Inc. | 10,715 | 376,311 | ||||
Vistra Energy Corp. | 15,587 | 352,890 | ||||
1,523,239 | ||||||
INSURANCE — 5.4% | ||||||
Hartford Financial Services Group, Inc. | 3,250 | 181,090 | ||||
MetLife, Inc. | 12,990 | 645,214 | ||||
Prudential Financial, Inc. | 7,192 | 726,392 | ||||
Travelers Cos., Inc. | 1,804 | 269,734 | ||||
1,822,430 | ||||||
MACHINERY — 3.7% | ||||||
AGCO Corp. | 3,550 | 275,373 | ||||
Cummins, Inc. | 5,614 | 961,903 | ||||
1,237,276 | ||||||
MEDIA — 2.7% | ||||||
Comcast Corp. Class A | 21,238 | 897,943 | ||||
MULTILINE RETAIL — 1.1% | ||||||
Target Corp. | 4,271 | 369,911 | ||||
OIL, GAS & CONSUMABLE FUELS — 9.2% | ||||||
Chevron Corp. | 1,786 | 222,250 | ||||
Equitrans Midstream Corp. | 25,104 | 494,800 | ||||
Exxon Mobil Corp. | 9,606 | 736,108 | ||||
Phillips 66 | 7,598 | 710,717 | ||||
Valero Energy Corp. | 10,934 | 936,059 | ||||
3,099,934 | ||||||
PHARMACEUTICALS — 10.4% | ||||||
Bristol-Myers Squibb Co. | 18,470 | 837,614 | ||||
Eli Lilly & Co. | 7,996 | 885,877 | ||||
Johnson & Johnson | 9,627 | 1,340,849 | ||||
Merck & Co., Inc. | 5,165 | 433,085 | ||||
3,497,425 | ||||||
ROAD & RAIL — 1.6% | ||||||
Union Pacific Corp. | 3,267 | 552,482 | ||||
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT — 3.6% | ||||||
Intel Corp. | 25,604 | 1,225,664 | ||||
SOFTWARE — 2.7% | ||||||
Microsoft Corp. | 4,628 | 619,967 | ||||
Oracle Corp. | 4,906 | 279,495 | ||||
899,462 |
Table of Contents
Security Description | Shares | Value | ||||
TOBACCO — 2.9% | ||||||
Philip Morris International, Inc. | 12,329 | $968,196 | ||||
TOTAL COMMON STOCKS (Cost $32,603,963) | 33,446,465 | |||||
SHORT-TERM INVESTMENT — 0.8% | ||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 2.35% (b) (c) (Cost $286,017) | 286,017 | 286,017 | ||||
TOTAL INVESTMENTS — 99.9% (Cost $32,889,980) | 33,732,482 | |||||
OTHER ASSETS IN EXCESS OF LIABILITIES — 0.1% | 27,447 | |||||
NET ASSETS — 100.0% | $33,759,929 |
(a) | Non-income producing security. |
(b) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2019 are shown in the Affiliate Table below. |
(c) | The rate shown is the annualized seven-day yield at June 30, 2019. |
REIT | = Real Estate Investment Trust |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Common Stocks | $33,446,465 | $— | $— | $33,446,465 | ||||
Short-Term Investment | 286,017 | — | — | 286,017 | ||||
TOTAL INVESTMENTS | $33,732,482 | $— | $— | $33,732,482 |
Number of Shares Held at 6/30/18 | Value at 6/30/18 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 6/30/19 | Value at 6/30/19 | Dividend Income | |||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 272,118 | $272,118 | $1,578,189 | $1,564,290 | $— | $— | 286,017 | $286,017 | $10,098 |
Table of Contents
SPDR SSGA Multi-Asset Real Return ETF | SPDR SSGA Income Allocation ETF | SPDR SSGA Global Allocation ETF | |||
ASSETS | |||||
Investments in unaffiliated issuers, at value* | $25,192,894 | $12,425,791 | $5,401,302 | ||
Investments in affiliated issuers, at value | 95,805,064 | 96,656,447 | 259,399,411 | ||
Total Investments | 120,997,958 | 109,082,238 | 264,800,713 | ||
Cash | — | — | 6 | ||
Receivable for investments sold | — | — | 359,239 | ||
Dividends receivable — unaffiliated issuers | — | — | 61 | ||
Dividends receivable — affiliated issuers | 396 | 2,173 | 1,352,585 | ||
Interest receivable — unaffiliated issuers | — | — | — | ||
Securities lending income receivable — unaffiliated issuers | 1,279 | — | 8,596 | ||
Securities lending income receivable — affiliated issuers | 9,112 | 20,817 | 21,948 | ||
TOTAL ASSETS | 121,008,745 | 109,105,228 | 266,543,148 | ||
LIABILITIES | |||||
Payable upon return of securities loaned | 8,210,284 | 4,478,400 | 10,451,625 | ||
Payable for fund shares repurchased | — | — | 381,917 | ||
Advisory fee payable | 6,381 | 13,850 | 21,921 | ||
Trustees’ fees and expenses payable | 238 | 183 | 452 | ||
TOTAL LIABILITIES | 8,216,903 | 4,492,433 | 10,855,915 | ||
NET ASSETS | $112,791,842 | $104,612,795 | $255,687,233 | ||
NET ASSETS CONSIST OF: | |||||
Paid-in Capital | $153,480,574 | $106,052,464 | $241,261,782 | ||
Total distributable earnings (loss) | (40,688,732) | (1,439,669) | 14,425,451 | ||
NET ASSETS | $112,791,842 | $104,612,795 | $255,687,233 | ||
NET ASSET VALUE PER SHARE | |||||
Net asset value per share | $25.18 | $33.32 | $38.33 | ||
Shares outstanding (unlimited amount authorized, no par value) | 4,480,000 | 3,140,000 | 6,670,000 | ||
COST OF INVESTMENTS: | |||||
Investments in unaffiliated issuers | $27,579,327 | $13,215,349 | $5,090,285 | ||
Investments in affiliated issuers | 95,820,524 | 94,412,563 | 241,563,395 | ||
Total cost of investments | $123,399,851 | $107,627,912 | $246,653,680 | ||
* Includes investments in securities on loan, at value | $12,899,967 | $5,166,085 | $67,293,995 |
Table of Contents
SPDR SSGA Ultra Short Term Bond ETF | SPDR MFS Systematic Core Equity ETF | SPDR MFS Systematic Growth Equity ETF | SPDR MFS Systematic Value Equity ETF | |||
$163,946,106 | $38,825,015 | $33,879,892 | $33,446,465 | |||
2,317,630 | 255,902 | 460,630 | 286,017 | |||
166,263,736 | 39,080,917 | 34,340,522 | 33,732,482 | |||
137 | — | — | — | |||
950,200 | — | — | — | |||
— | 40,717 | 36,566 | 42,993 | |||
8,812 | 783 | 1,017 | 979 | |||
525,926 | — | — | — | |||
— | — | — | — | |||
— | — | — | — | |||
167,748,811 | 39,122,417 | 34,378,105 | 33,776,454 | |||
— | — | — | — | |||
— | — | — | — | |||
29,361 | 19,074 | 16,689 | 16,484 | |||
110 | 43 | 113 | 41 | |||
29,471 | 19,117 | 16,802 | 16,525 | |||
$167,719,340 | $39,103,300 | $34,361,303 | $33,759,929 | |||
$167,225,326 | $37,117,613 | $32,752,170 | $33,441,166 | |||
494,014 | 1,985,687 | 1,609,133 | 318,763 | |||
$167,719,340 | $39,103,300 | $34,361,303 | $33,759,929 | |||
$40.41 | $81.47 | $83.81 | $66.20 | |||
4,150,000 | 480,000 | 410,000 | 510,000 | |||
$163,648,559 | $36,839,133 | $32,053,279 | $32,603,963 | |||
2,317,630 | 255,902 | 460,630 | 286,017 | |||
$165,966,189 | $37,095,035 | $32,513,909 | $32,889,980 | |||
$— | $— | $— | $— |
Table of Contents
SPDR SSGA Multi-Asset Real Return ETF | SPDR SSGA Income Allocation ETF | SPDR SSGA Global Allocation ETF | |||
INVESTMENT INCOME | |||||
Interest income — unaffiliated issuers | $— | $— | $— | ||
Dividend income — unaffiliated issuers | 287,092 | 678,441 | 121,486 | ||
Dividend income — affiliated issuers | 3,300,260 | 3,911,686 | 6,811,902 | ||
Unaffiliated securities lending income | 55,488 | 50,942 | 125,772 | ||
Affiliated securities lending income | 147,314 | 177,380 | 367,963 | ||
Foreign taxes withheld | — | — | — | ||
TOTAL INVESTMENT INCOME (LOSS) | 3,790,154 | 4,818,449 | 7,427,123 | ||
EXPENSES | |||||
Advisory fee | 156,618 | 179,134 | 368,921 | ||
Trustees’ fees and expenses | 2,505 | 1,766 | 4,633 | ||
Miscellaneous expenses | 2 | 1 | 3 | ||
TOTAL EXPENSES | 159,125 | 180,901 | 373,557 | ||
NET INVESTMENT INCOME (LOSS) | $3,631,029 | $4,637,548 | $7,053,566 | ||
REALIZED AND UNREALIZED GAIN (LOSS) | |||||
Net realized gain (loss) on: | |||||
Investments — unaffiliated issuers | (693,808) | (16,503) | 208,088 | ||
Investments — affiliated issuers | (2,826,020) | 3,929,943 | 2,152,596 | ||
In-kind redemptions — unaffiliated issuers | (182,636) | 56,422 | 9,789 | ||
In-kind redemptions — affiliated issuers | 1,559,364 | 393,351 | 5,098,023 | ||
Net realized gain (loss) | (2,143,100) | 4,363,213 | 7,468,496 | ||
Net change in unrealized appreciation/depreciation on: | |||||
Investments — unaffiliated issuers | (2,420,927) | (789,558) | (226,145) | ||
Investments — affiliated issuers | (3,968,799) | (181,582) | (2,899,092) | ||
Net change in unrealized appreciation/depreciation | (6,389,726) | (971,140) | (3,125,237) | ||
NET REALIZED AND UNREALIZED GAIN (LOSS) | (8,532,826) | 3,392,073 | 4,343,259 | ||
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $(4,901,797) | $8,029,621 | $11,396,825 |
Table of Contents
SPDR SSGA Ultra Short Term Bond ETF | SPDR MFS Systematic Core Equity ETF | SPDR MFS Systematic Growth Equity ETF | SPDR MFS Systematic Value Equity ETF | |||
3,475,911 | $810 | $1,318 | $1,469 | |||
19,946 | 747,411 | 630,387 | 953,230 | |||
88,040 | 7,126 | 8,668 | 10,098 | |||
— | — | — | — | |||
— | — | — | — | |||
— | (418) | (391) | — | |||
3,583,897 | 754,929 | 639,982 | 964,797 | |||
261,275 | 196,466 | 228,879 | 207,733 | |||
1,691 | 523 | 754 | 584 | |||
2 | — | — | — | |||
262,968 | 196,989 | 229,633 | 208,317 | |||
$3,320,929 | $557,940 | $410,349 | $756,480 | |||
190,469 | 26,273 | (214,350) | (549,275) | |||
— | — | — | — | |||
— | 1,654,797 | 1,489,372 | 677,404 | |||
— | — | — | — | |||
190,469 | 1,681,070 | 1,275,022 | 128,129 | |||
292,631 | 1,551,309 | 167,078 | (36,634) | |||
— | — | — | — | |||
292,631 | 1,551,309 | 167,078 | (36,634) | |||
483,100 | 3,232,379 | 1,442,100 | 91,495 | |||
$3,804,029 | $3,790,319 | $1,852,449 | $847,975 |
Table of Contents
SPDR SSGA Multi-Asset Real Return ETF | SPDR SSGA Income Allocation ETF | ||||||
Year Ended 6/30/19 | Year Ended 6/30/18 | Year Ended 6/30/19 | Year Ended 6/30/18 | ||||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||||||
Net investment income (loss) | $3,631,029 | $2,500,965 | $4,637,548 | $3,011,514 | |||
Net realized gain (loss) | (2,143,100) | (665,727) | 4,363,213 | 1,992,130 | |||
Net change in unrealized appreciation/depreciation | (6,389,726) | 12,559,946 | (971,140) | (1,755,232) | |||
Net increase (decrease) in net assets resulting from operations | (4,901,797) | 14,395,184 | 8,029,621 | 3,248,412 | |||
Net equalization credits and charges | 24,895 | (6,781) | 105,971 | (16,838) | |||
Distributions to shareholders (Note 11) | (3,617,253) | (2,524,937) | (4,936,932) | (2,983,228) | |||
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||||||
Proceeds from sale of shares sold | 33,283,792 | 44,751,476 | 23,973,127 | 4,988,040 | |||
Cost of shares redeemed | (55,714,874) | (27,954,964) | (14,842,690) | (8,240,529) | |||
Net income equalization | (24,895) | 6,781 | (105,971) | 16,838 | |||
Other Capital | — | — | 686 | — | |||
Net increase (decrease) in net assets from beneficial interest transactions | (22,455,977) | 16,803,293 | 9,025,152 | (3,235,651) | |||
Net increase (decrease) in net assets during the period | (30,950,132) | 28,666,759 | 12,223,812 | (2,987,305) | |||
Net assets at beginning of period | 143,741,974 | 115,075,215 | 92,388,983 | 95,376,288 | |||
NET ASSETS AT END OF PERIOD | $112,791,842 | $143,741,974 | $104,612,795 | $92,388,983 | |||
SHARES OF BENEFICIAL INTEREST: | |||||||
Shares sold | 1,350,000 | 1,700,000 | 750,000 | 150,000 | |||
Shares redeemed | (2,270,000) | (1,100,000) | (460,000) | (250,000) | |||
Net increase (decrease) from share transactions | (920,000) | 600,000 | 290,000 | (100,000) |
Table of Contents
SPDR SSGA Global Allocation ETF | SPDR SSGA Ultra Short Term Bond ETF | SPDR MFS Systematic Core Equity ETF | ||||||||
Year Ended 6/30/19 | Year Ended 6/30/18 | Year Ended 6/30/19 | Year Ended 6/30/18 | Year Ended 6/30/19 | Year Ended 6/30/18 | |||||
$7,053,566 | $4,967,140 | $3,320,929 | $478,526 | $557,940 | $235,376 | |||||
7,468,496 | 5,473,116 | 190,469 | (8,832) | 1,681,070 | 1,524,281 | |||||
(3,125,237) | 7,172,319 | 292,631 | (34,849) | 1,551,309 | (468,942) | |||||
11,396,825 | 17,612,575 | 3,804,029 | 434,845 | 3,790,319 | 1,290,715 | |||||
42,319 | 32,328 | 87,297 | 31,387 | 1,861 | 9,845 | |||||
(7,044,570) | (5,038,036) | (3,073,623) | (440,203) | (561,229) | (362,453) | |||||
66,920,704 | 34,147,005 | 152,893,417 | 48,298,111 | 18,295,264 | 33,108,321 | |||||
(64,514,651) | (5,573,015) | (36,316,451) | (16,107,275) | (12,523,740) | (10,795,866) | |||||
(42,319) | (32,328) | (87,297) | (31,387) | (1,861) | (9,845) | |||||
— | — | 68,420 | 40,638 | 314 | (35) | |||||
2,363,734 | 28,541,662 | 116,558,089 | 32,200,087 | 5,769,977 | 22,302,575 | |||||
6,758,308 | 41,148,529 | 117,375,792 | 32,226,116 | 9,000,928 | 23,240,682 | |||||
248,928,925 | 207,780,396 | 50,343,548 | 18,117,432 | 30,102,372 | 6,861,690 | |||||
$255,687,233 | $248,928,925 | $167,719,340 | $50,343,548 | $39,103,300 | $30,102,372 | |||||
1,850,000 | 900,000 | 3,800,000 | 1,200,000 | 240,000 | 450,000 | |||||
(1,780,000) | (150,000) | (900,000) | (400,000) | (160,000) | (150,000) | |||||
70,000 | 750,000 | 2,900,000 | 800,000 | 80,000 | 300,000 |
Table of Contents
SPDR MFS Systematic Growth Equity ETF | SPDR MFS Systematic Value Equity ETF | ||||||
Year Ended 6/30/19 | Year Ended 6/30/18 | Year Ended 6/30/19 | Year Ended 6/30/18 | ||||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||||||
Net investment income (loss) | $410,349 | $381,971 | $756,480 | $249,431 | |||
Net realized gain (loss) | 1,275,022 | 4,551,843 | 128,129 | 397,026 | |||
Net change in unrealized appreciation/depreciation | 167,078 | 1,473,870 | (36,634) | 337,481 | |||
Net increase (decrease) in net assets resulting from operations | 1,852,449 | 6,407,684 | 847,975 | 983,938 | |||
Net equalization credits and charges | (10,318) | 24,904 | 1,385 | 25,776 | |||
Distributions to shareholders (Note 11) | (879,302) | (501,100) | (1,072,684) | (372,595) | |||
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||||||
Proceeds from sale of shares sold | 4,121,088 | 27,658,642 | 6,702,411 | 26,360,403 | |||
Cost of shares redeemed | (15,157,132) | (28,220,128) | (5,670,724) | — | |||
Net income equalization | 10,318 | (24,904) | (1,385) | (25,776) | |||
Other Capital | 332 | — | 272 | — | |||
Net increase (decrease) in net assets from beneficial interest transactions | (11,025,394) | (586,390) | 1,030,574 | 26,334,627 | |||
Net increase (decrease) in net assets during the period | (10,062,565) | 5,345,098 | 807,250 | 26,971,746 | |||
Net assets at beginning of period | 44,423,868 | 39,078,770 | 32,952,679 | 5,980,933 | |||
NET ASSETS AT END OF PERIOD | $34,361,303 | $44,423,868 | $33,759,929 | $32,952,679 | |||
SHARES OF BENEFICIAL INTEREST: | |||||||
Shares sold | 50,000 | 350,000 | 100,000 | 400,000 | |||
Shares redeemed | (190,000) | (350,000) | (90,000) | — | |||
Net increase (decrease) from share transactions | (140,000) | — | 10,000 | 400,000 |
Table of Contents
SPDR SSGA Multi-Asset Real Return ETF | |||||||||
Year Ended 6/30/19 | Year Ended 6/30/18(a) | Year Ended 6/30/17(a) | Year Ended 6/30/16(a) | Year Ended 6/30/15(a) | |||||
Net asset value, beginning of period | $26.62 | $23.97 | $24.38 | $25.85 | $30.86 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (b) | 0.69 | 0.53 | 0.56 | 0.30 | 0.43 | ||||
Net realized and unrealized gain (loss) (c) | (1.43) | 2.64 | (0.44) | (1.43) | (5.02) | ||||
Total from investment operations | (0.74) | 3.17 | 0.12 | (1.13) | (4.59) | ||||
Net equalization credits and charges (b) | 0.00(d) | (0.00)(d) | 0.01 | 0.01 | 0.01 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.70) | (0.52) | (0.54) | (0.35) | (0.43) | ||||
Net asset value, end of period | $25.18 | $26.62 | $23.97 | $24.38 | $25.85 | ||||
Total return (e) | (2.71)% | 13.26% | 0.56% | (4.22)% | (14.84)% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $112,792 | $143,742 | $115,075 | $80,441 | $140,895 | ||||
Ratios to average net assets: | |||||||||
Total expenses (f) | 0.12% | 0.22% | 0.22% | 0.28% | 0.23% | ||||
Net investment income (loss) | 2.76% | 2.04% | 2.28% | 1.29% | 1.53% | ||||
Portfolio turnover rate | 28% | 44% | 46%(g) | 25%(g) | 33%(g) |
(a) | The per share amounts and percentages include the Fund’s proportionate share of income and expenses of the Portfolio prior to discontinuance of the master feeder structure. See Note 1. |
(b) | Per share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the year. |
(c) | Amounts shown in this caption for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period because of the timing of sales and repurchases of Fund shares in relation to fluctuating market values for the Fund. |
(d) | Amount is less than $0.005 per share. |
(e) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates of each distribution. Total returns for periods of less than one year are not annualized. Broker commission charges are not included in this calculation. |
(f) | Does not include expenses of the Underlying Funds in which the Fund invests. |
(g) | Portfolio turnover is from the Fund's Portfolio prior to discontinuance of master-feeder structure. See Note 1. |
Table of Contents
SPDR SSGA Income Allocation ETF | |||||||||
Year Ended 6/30/19 | Year Ended 6/30/18(a) | Year Ended 6/30/17(a) | Year Ended 6/30/16(a) | Year Ended 6/30/15(a) | |||||
Net asset value, beginning of period | $32.42 | $32.33 | $31.23 | $31.16 | $32.70 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (b) | 1.53 | 1.02 | 1.10 | 0.93 | 0.97 | ||||
Net realized and unrealized gain (loss) (c) | 0.91 | 0.09 | 0.98 | 0.22 | (1.51) | ||||
Total from investment operations | 2.44 | 1.11 | 2.08 | 1.15 | (0.54) | ||||
Net equalization credits and charges (b) | 0.03 | (0.01) | (0.01) | (0.02) | 0.02 | ||||
Other capital (b) | 0.00(d) | — | — | — | — | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (1.57) | (1.01) | (0.97) | (1.06) | (1.02) | ||||
Net asset value, end of period | $33.32 | $32.42 | $32.33 | $31.23 | $31.16 | ||||
Total return (e) | 7.93% | 3.34% | 6.78% | 3.77% | (1.59)% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $104,613 | $92,389 | $95,376 | $104,605 | $120,020 | ||||
Ratios to average net assets: | |||||||||
Total expenses (f) | 0.18% | 0.39% | 0.37% | 0.37% | 0.35% | ||||
Net investment income (loss) | 4.71% | 3.07% | 3.49% | 3.07% | 3.00% | ||||
Portfolio turnover rate | 71% | 29% | 47%(g) | 54%(g) | 64%(g) |
(a) | The per share amounts and percentages include the Fund’s proportionate share of income and expenses of the Portfolio prior to discontinuance of the master feeder structure. See Note 1. |
(b) | Per share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the year. |
(c) | Amounts shown in this caption for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period because of the timing of sales and repurchases of Fund shares in relation to fluctuating market values for the Fund. |
(d) | Amount is less than $0.005 per share. |
(e) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates of each distribution. Total returns for periods of less than one year are not annualized. Broker commission charges are not included in this calculation. |
(f) | Does not include expenses of the Underlying Funds in which the Fund invests. |
(g) | Portfolio turnover is from the Fund's Portfolio prior to discontinuance of master-feeder structure. See Note 1. |
Table of Contents
SPDR SSGA Global Allocation ETF | |||||||||
Year Ended 6/30/19 | Year Ended 6/30/18(a) | Year Ended 6/30/17(a) | Year Ended 6/30/16(a) | Year Ended 6/30/15(a) | |||||
Net asset value, beginning of period | $37.72 | $35.52 | $33.35 | $34.61 | $35.47 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (b) | 1.03 | 0.81 | 0.99 | 0.81 | 0.92 | ||||
Net realized and unrealized gain (loss) (c) | 0.57 | 2.18 | 2.03 | (1.09) | (0.73) | ||||
Total from investment operations | 1.60 | 2.99 | 3.02 | (0.28) | 0.19 | ||||
Net equalization credits and charges (b) | 0.01 | 0.01 | 0.00(d) | 0.02 | 0.05 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (1.00) | (0.80) | (0.85) | (0.94) | (0.91) | ||||
Net realized gains | — | — | — | (0.06) | (0.19) | ||||
Total distributions | (1.00) | (0.80) | (0.85) | (1.00) | (1.10) | ||||
Net asset value, end of period | $38.33 | $37.72 | $35.52 | $33.35 | $34.61 | ||||
Total return (e) | 4.37% | 8.46% | 9.14% | (0.63)% | 0.66% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $255,687 | $248,929 | $207,780 | $185,112 | $143,655 | ||||
Ratios to average net assets: | |||||||||
Total expenses (f) | 0.15% | 0.20% | 0.20% | 0.20% | 0.20% | ||||
Net expenses | 0.15% | 0.09% | 0.01% | 0.06% | 0.05% | ||||
Net investment income (loss) | 2.76% | 2.14% | 2.91% | 2.45% | 2.60% | ||||
Portfolio turnover rate | 71% | 43% | 90%(g) | 86%(g) | 98%(g) |
(a) | The per share amounts and percentages include the Fund’s proportionate share of income and expenses of the Portfolio prior to discontinuance of the master feeder structure. See Note 1. |
(b) | Per share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the year. |
(c) | Amounts shown in this caption for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period because of the timing of sales and repurchases of Fund shares in relation to fluctuating market values for the Fund. |
(d) | Amount is less than $0.005 per share. |
(e) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates of each distribution. Total returns for periods of less than one year are not annualized. Broker commission charges are not included in this calculation. |
(f) | Does not include expenses of the Underlying Funds in which the Fund invests. |
(g) | Portfolio turnover is from the Fund's Portfolio prior to discontinuance of master-feeder structure. See Note 1. |
Table of Contents
SPDR SSGA Ultra Short Term Bond ETF | |||||||||
Year Ended 6/30/19 | Year Ended 6/30/18(a) | Year Ended 6/30/17(a) | Year Ended 6/30/16(a) | Year Ended 6/30/15(a) | |||||
Net asset value, beginning of period | $40.27 | $40.26 | $40.06 | $40.05 | $40.10 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (b) | 1.02 | 0.68 | 0.44 | 0.27 | 0.13 | ||||
Net realized and unrealized gain (loss) (c) | 0.04 | (0.14) | 0.13 | (0.21) | (0.05) | ||||
Total from investment operations | 1.06 | 0.54 | 0.57 | 0.06 | 0.08 | ||||
Net equalization credits and charges (b) | 0.03 | 0.04 | (0.00)(d) | 0.07 | 0.00(d) | ||||
Other capital (b) | 0.02 | 0.06 | 0.05 | 0.12 | 0.01 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.97) | (0.63) | (0.42) | (0.18) | (0.14) | ||||
Net realized gains | — | — | — | (0.06) | — | ||||
Total distributions | (0.97) | (0.63) | (0.42) | (0.24) | (0.14) | ||||
Net asset value, end of period | $40.41 | $40.27 | $40.26 | $40.06 | $40.05 | ||||
Total return (e) | 2.79% | 1.60% | 1.53% | 0.65% | 0.20% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $167,719 | $50,344 | $18,117 | $24,039 | $16,018 | ||||
Ratios to average net assets: | |||||||||
Total expenses | 0.20% | 0.20% | 0.20% | 0.20% | 0.20% | ||||
Net investment income (loss) | 2.54% | 1.70% | 1.09% | 0.69% | 0.33% | ||||
Portfolio turnover rate | 100% | 76% | 83%(f) | 407%(f) | 79%(f) |
(a) | The per share amounts and percentages include the Fund’s proportionate share of income and expenses of the Portfolio prior to discontinuance of the master feeder structure. See Note 1. |
(b) | Per share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the year. |
(c) | Amounts shown in this caption for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period because of the timing of sales and repurchases of Fund shares in relation to fluctuating market values for the Fund. |
(d) | Amount is less than $0.005 per share. |
(e) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates of each distribution. Total returns for periods of less than one year are not annualized. Broker commission charges are not included in this calculation. |
(f) | Portfolio turnover is from the Fund's Portfolio prior to discontinuance of master-feeder structure. See Note 1. |
Table of Contents
SPDR MFS Systematic Core Equity ETF | |||||||||
Year Ended 6/30/19 | Year Ended 6/30/18(a) | Year Ended 6/30/17(a) | Year Ended 6/30/16(a) | Year Ended 6/30/15(a) | |||||
Net asset value, beginning of period | $75.26 | $68.62 | $58.09 | $58.53 | $53.60 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (b) | 1.34 | 1.13 | 0.97 | 1.020 | 0.81 | ||||
Net realized and unrealized gain (loss) (c) | 6.20 | 7.30 | 10.53 | 0.00(d) | 6.48 | ||||
Total from investment operations | 7.54 | 8.43 | 11.50 | 1.02 | 7.29 | ||||
Net equalization credits and charges (b) | 0.00(d) | 0.05 | — | 0.20 | (0.04) | ||||
Other capital (b) | 0.00(d) | (0.00)(d) | — | — | — | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (1.33) | (0.96) | (0.97) | (1.03) | (0.88) | ||||
Net realized gains | — | (0.88) | — | (0.63) | (1.44) | ||||
Total distributions | (1.33) | (1.84) | (0.97) | (1.66) | (2.32) | ||||
Net asset value, end of period | $81.47 | $75.26 | $68.62 | $58.09 | $58.53 | ||||
Total return (e) | 10.11% | 12.36% | 19.92% | 2.21% | 13.70% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $39,103 | $30,102 | $6,862 | $5,809 | $2,926 | ||||
Ratios to average net assets: | |||||||||
Total expenses | 0.60% | 0.60% | 0.60% | 0.61% | 0.60% | ||||
Net investment income (loss) | 1.70% | 1.51% | 1.52% | 1.78% | 1.42% | ||||
Portfolio turnover rate | 65% | 67% | 67%(f) | 39%(f) | 54%(f) |
(a) | The per share amounts and percentages include the Fund’s proportionate share of income and expenses of the Portfolio prior to discontinuance of the master feeder structure. See Note 1. |
(b) | Per share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the year. |
(c) | Amounts shown in this caption for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period because of the timing of sales and repurchases of Fund shares in relation to fluctuating market values for the Fund. |
(d) | Amount is less than $0.005 per share. |
(e) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates of each distribution. Total returns for periods of less than one year are not annualized. Broker commission charges are not included in this calculation. |
(f) | Portfolio turnover is from the Fund's Portfolio prior to discontinuance of master-feeder structure. See Note 1. |
Table of Contents
SPDR MFS Systematic Growth Equity ETF | |||||||||
Year Ended 6/30/19 | Year Ended 6/30/18(a) | Year Ended 6/30/17(a) | Year Ended 6/30/16(a) | Year Ended 6/30/15(a) | |||||
Net asset value, beginning of period | $80.77 | $71.05 | $60.67 | $60.24 | $53.56 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (b) | 0.87 | 0.61 | 0.70 | 0.63 | 0.66 | ||||
Net realized and unrealized gain (loss) (c) | 4.13 | 9.80 | 10.27 | 1.62 | 8.60 | ||||
Total from investment operations | 5.00 | 10.41 | 10.97 | 2.25 | 9.26 | ||||
Net equalization credits and charges (b) | (0.02) | 0.04 | 0.01 | 0.01 | 0.00(d) | ||||
Other capital (b) | 0.00(d) | — | — | — | — | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.95) | (0.60) | (0.60) | (0.61) | (0.68) | ||||
Net realized gains | (0.99) | (0.13) | — | (1.22) | (1.90) | ||||
Total distributions | (1.94) | (0.73) | (0.60) | (1.83) | (2.58) | ||||
Net asset value, end of period | $83.81 | $80.77 | $71.05 | $60.67 | $60.24 | ||||
Total return (e) | 6.47% | 14.71% | 18.18% | 3.96% | 17.53% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $34,361 | $44,424 | $39,079 | $12,134 | $6,024 | ||||
Ratios to average net assets: | |||||||||
Total expenses | 0.60% | 0.61% | 0.60% | 0.61% | 0.60% | ||||
Net investment income (loss) | 1.08% | 0.77% | 1.05% | 1.06% | 1.14% | ||||
Portfolio turnover rate | 77% | 76% | 55%(f) | 56%(f) | 67%(f) |
(a) | The per share amounts and percentages include the Fund’s proportionate share of income and expenses of the Portfolio prior to discontinuance of the master feeder structure. See Note 1. |
(b) | Per share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the year. |
(c) | Amounts shown in this caption for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period because of the timing of sales and repurchases of Fund shares in relation to fluctuating market values for the Fund. |
(d) | Amount is less than $0.005 per share. |
(e) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates of each distribution. Total returns for periods of less than one year are not annualized. Broker commission charges are not included in this calculation. |
(f) | Portfolio turnover is from the Fund's Portfolio prior to discontinuance of master-feeder structure. See Note 1. |
Table of Contents
SPDR MFS Systematic Value Equity ETF | |||||||||
Year Ended 6/30/19 | Year Ended 6/30/18(a) | Year Ended 6/30/17(a) | Year Ended 6/30/16(a) | Year Ended 6/30/15(a) | |||||
Net asset value, beginning of period | $65.91 | $59.81 | $51.99 | $57.90 | $52.67 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (b) | 1.44 | 1.21 | 1.03 | 0.99 | 0.75 | ||||
Net realized and unrealized gain (loss) (c) | 0.86 | 6.94 | 8.99 | (2.66) | 6.28 | ||||
Total from investment operations | 2.30 | 8.15 | 10.02 | (1.67) | 7.03 | ||||
Net equalization credits and charges (b) | 0.00(d) | 0.12 | 0.04 | — | (0.03) | ||||
Other capital (b) | 0.00(d) | — | — | — | — | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (1.47) | (1.06) | (1.01) | (1.01) | (0.85) | ||||
Net realized gains | (0.54) | (1.11) | (1.23) | (3.23) | (0.92) | ||||
Total distributions | (2.01) | (2.17) | (2.24) | (4.24) | (1.77) | ||||
Net asset value, end of period | $66.20 | $65.91 | $59.81 | $51.99 | $57.90 | ||||
Total return (e) | 3.69% | 13.82% | 19.61% | (2.47)% | 13.47% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $33,760 | $32,953 | $5,981 | $2,599 | $2,895 | ||||
Ratios to average net assets: | |||||||||
Total expenses | 0.60% | 0.60% | 0.60% | 0.62% | 0.60% | ||||
Net investment income (loss) | 2.18% | 1.83% | 1.80% | 1.85% | 1.36% | ||||
Portfolio turnover rate | 53% | 54% | 64%(f) | 64%(f) | 61%(f) |
(a) | The per share amounts and percentages include the Fund’s proportionate share of income and expenses of the Portfolio prior to discontinuance of the master feeder structure. See Note 1. |
(b) | Per share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the year. |
(c) | Amounts shown in this caption for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period because of the timing of sales and repurchases of Fund shares in relation to fluctuating market values for the Fund. |
(d) | Amount is less than $0.005 per share. |
(e) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates of each distribution. Total returns for periods of less than one year are not annualized. Broker commission charges are not included in this calculation. |
(f) | Portfolio turnover is from the Fund's Portfolio prior to discontinuance of master-feeder structure. See Note 1. |
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SPDR SSGA Multi-Asset Real Return ETF |
SPDR SSGA Income Allocation ETF |
SPDR SSGA Global Allocation ETF |
SPDR SSGA Ultra Short Term Bond ETF |
SPDR MFS Systematic Core Equity ETF |
SPDR MFS Systematic Growth Equity ETF |
SPDR MFS Systematic Value Equity ETF |
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SPDR SSGA Multi-Asset Real Return ETF |
SPDR SSGA Income Allocation ETF |
SPDR SSGA Global Allocation ETF |
SPDR SSGA Ultra Short Term Bond ETF |
SPDR MFS Systematic Core Equity ETF |
SPDR MFS Systematic Growth Equity ETF |
SPDR MFS Systematic Value Equity ETF |
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Annual Rate* | |
SPDR SSGA Multi-Asset Real Return ETF | 0.50%(1) |
SPDR SSGA Income Allocation ETF | 0.50(1) |
SPDR SSGA Global Allocation ETF | 0.35 |
SPDR SSGA Ultra Short Term Bond ETF | 0.20 |
SPDR MFS Systematic Core Equity ETF | 0.60 |
SPDR MFS Systematic Growth Equity ETF | 0.60 |
SPDR MFS Systematic Value Equity ETF | 0.60 |
* | The Advisory fee is reduced for SPDR SSGA Multi-Asset Real Return ETF, SPDR SSGA Income Allocation ETF and SPDR SSGA Global Allocation ETF by the acquired fund fees and expenses. For the year ended June 30, 2019, the net annualized advisory fee was 0.12%, 0.18%, and 0.14% for the SPDR SSGA Multi-Asset Real Return ETF, SPDR SSGA Income Allocation ETF, SPDR SSGA Global Allocation ETF, respectively. |
(1) | Effective September 4, 2018, SSGA FM has agreed to reduce the Fund's management fee from 0.70% to 0.50% of the Fund's average daily net assets. |
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Purchases | Sales | ||
SPDR SSGA Multi-Asset Real Return ETF | $36,579,091 | $37,037,666 | |
SPDR SSGA Income Allocation ETF | 69,328,580 | 69,569,967 | |
SPDR SSGA Global Allocation ETF | 186,151,913 | 169,371,479 | |
SPDR SSGA Ultra Short Term Bond ETF | 227,849,440 | 111,784,203 | |
SPDR MFS Systematic Core Equity ETF | 21,531,330 | 21,124,119 | |
SPDR MFS Systematic Growth Equity ETF | 29,141,911 | 29,740,311 | |
SPDR MFS Systematic Value Equity ETF | 18,178,745 | 18,017,891 |
In-kind Contributions | In-kind Redemptions | In-kind Net Realized Gains/(Losses) | |||
SPDR SSGA Multi-Asset Real Return ETF | $30,573,404 | $52,788,003 | $1,376,728 | ||
SPDR SSGA Income Allocation ETF | 20,063,995 | 11,255,474 | 449,773 | ||
SPDR SSGA Global Allocation ETF | 56,842,965 | 54,737,233 | 5,107,812 | ||
SPDR MFS Systematic Core Equity ETF | 18,158,625 | 12,430,212 | 1,654,797 | ||
SPDR MFS Systematic Growth Equity ETF | 4,091,170 | 15,038,444 | 1,489,372 | ||
SPDR MFS Systematic Value Equity ETF | 6,651,522 | 5,628,136 | 677,404 |
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Ordinary Income | Long-Term Capital Gains | Total | |||
SPDR SSGA Multi-Asset Real Return ETF | $3,617,253 | $— | $3,617,253 | ||
SPDR SSGA Income Allocation ETF | 4,936,932 | — | 4,936,932 | ||
SPDR SSGA Global Allocation ETF | 7,044,570 | — | 7,044,570 | ||
SPDR SSGA Ultra Short Term Bond ETF | 3,073,623 | — | 3,073,623 | ||
SPDR MFS Systematic Core Equity ETF | 555,651 | 5,578 | 561,229 | ||
SPDR MFS Systematic Growth Equity ETF | 879,302 | — | 879,302 | ||
SPDR MFS Systematic Value Equity ETF | 897,607 | 175,077 | 1,072,684 |
Ordinary Income | Long-Term Capital Gains | Total | |||
SPDR SSGA Multi-Asset Real Return ETF | $ 2,524,937 | $ — | $ 2,524,937 | ||
SPDR SSGA Income Allocation ETF | 2,983,228 | — | 2,983,228 | ||
SPDR SSGA Global Allocation ETF | 5,038,036 | — | 5,038,036 | ||
SPDR SSGA Ultra Short Term Bond ETF | 440,203 | — | 440,203 | ||
SPDR MFS Systematic Core Equity ETF | 288,664 | 73,789 | 362,453 | ||
SPDR MFS Systematic Growth Equity ETF | 501,100 | — | 501,100 | ||
SPDR MFS Systematic Value Equity ETF | 311,625 | 60,970 | 372,595 |
Undistributed Ordinary Income | Capital Loss Carryforwards | Undistributed Long-Term Capital Gains | Net Unrealized Gains (Losses) | Qualified Late-Year Losses | Total | ||||||
SPDR SSGA Multi-Asset Real Return ETF | $— | $(37,871,238) | $— | $(2,817,494) | $— | $(40,688,732) | |||||
SPDR SSGA Income Allocation ETF | — | (2,922,969) | — | 1,483,300 | — | (1,439,669) | |||||
SPDR SSGA Global Allocation ETF | 255,321 | (3,996,620) | — | 18,166,750 | — | 14,425,451 |
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Undistributed Ordinary Income | Capital Loss Carryforwards | Undistributed Long-Term Capital Gains | Net Unrealized Gains (Losses) | Qualified Late-Year Losses | Total | ||||||
SPDR SSGA Ultra Short Term Bond ETF | $295,302 | $(91,774) | $— | $290,486 | $— | $494,014 | |||||
SPDR MFS Systematic Core Equity ETF | — | — | — | 1,985,687 | — | 1,985,687 | |||||
SPDR MFS Systematic Growth Equity ETF | — | (217,513) | — | 1,826,646 | — | 1,609,133 | |||||
SPDR MFS Systematic Value Equity ETF | — | (545,308) | — | 864,071 | — | 318,763 |
Non-Expiring Short Term | Non-Expiring Long Term | ||
SPDR SSGA Multi-Asset Real Return ETF | $10,841,879 | $27,029,359 | |
SPDR SSGA Income Allocation ETF | 2,922,969 | — | |
SPDR SSGA Global Allocation ETF | 3,996,620 | — | |
SPDR SSGA Ultra Short Term Bond ETF | 84,839 | 6,935 | |
SPDR MFS Systematic Growth Equity ETF | 217,513 | — | |
SPDR MFS Systematic Value Equity ETF | 545,308 | — |
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | ||||
SPDR SSGA Multi-Asset Real Return ETF | $123,815,452 | $1,746,313 | $4,563,807 | $(2,817,494) | |||
SPDR SSGA Income Allocation ETF | 107,598,938 | 3,182,673 | 1,699,373 | 1,483,300 | |||
SPDR SSGA Global Allocation ETF | 246,633,963 | 18,717,857 | 551,107 | 18,166,750 | |||
SPDR SSGA Ultra Short Term Bond ETF | 165,973,250 | 329,618 | 39,132 | 290,486 | |||
SPDR MFS Systematic Core Equity ETF | 37,095,230 | 2,792,564 | 806,877 | 1,985,687 | |||
SPDR MFS Systematic Growth Equity ETF | 32,513,876 | 2,843,924 | 1,017,278 | 1,826,646 | |||
SPDR MFS Systematic Value Equity ETF | 32,888,492 | 2,336,751 | 1,492,761 | 843,990 |
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Fund | Market Value of Securities on Loan | Cash Collateral Received | Non-Cash Collateral Received* | Total Collateral Received | ||||
SPDR SSGA Multi-Asset Real Return ETF | $ 12,899,967 | $ 8,210,284 | $ 4,839,418 | $ 13,049,702 | ||||
SPDR SSGA Income Allocation ETF | 5,166,085 | 4,478,400 | 809,588 | 5,287,988 | ||||
SPDR SSGA Global Allocation ETF | 67,293,995 | 10,451,625 | 57,923,506 | 68,375,131 |
* | The non-cash collateral includes U.S. Treasuries and U.S. Government Agency securities. |
Remaining Contractual Maturity of the Agreements As of June 30, 2019 | ||||||||||||||
Fund | Securities Lending Transactions | Overnight and Continuous | <30 Days | Between 30 & 90 Days | >90 Days | Total Borrowings | Gross Amount of Recognized Liabilities for Securities Lending Transactions | |||||||
SPDR SSGA Multi-Asset Real Return ETF | Mutual Funds and Exchange Traded Products | $8,210,284 | $— | $— | $— | $8,210,284 | $8,210,284 | |||||||
SPDR SSGA Income Allocation ETF | Mutual Funds and Exchange Traded Products | 4,478,400 | — | — | — | 4,478,400 | 4,478,400 | |||||||
SPDR SSGA Global Allocation ETF | Mutual Funds and Exchange Traded Products | 10,451,625 | — | — | — | 10,451,625 | 10,451,625 |
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Net Investment Income | Net Realized Capital Gains | Total Distributions | Undistributed Net Investment Income (Loss) | ||||
SPDR SSGA Multi-Asset Real Return ETF | $2,524,937 | $ — | $2,524,937 | $ — | |||
SPDR SSGA Income Allocation ETF | 2,983,228 | — | 2,983,228 | 302,435 | |||
SPDR SSGA Global Allocation ETF | 5,038,036 | — | 5,038,036 | 335,901 | |||
SPDR SSGA Ultra Short Term Bond ETF | 440,203 | — | 440,203 | 47,385 | |||
SPDR MFS Systematic Core Equity ETF | 230,288 | 132,165 | 362,453 | — | |||
SPDR MFS Systematic Growth Equity ETF | 390,903 | 110,197 | 501,100 | — | |||
SPDR MFS Systematic Value Equity ETF | 261,180 | 111,415 | 372,595 | — |
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August 26, 2019
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Actual | Hypothetical (assuming a 5% return before expenses) | ||||||||
Annualized Expense Ratio | Ending Account Value | Expenses Paid During Period(a) | Ending Account Value | Expenses Paid During Period(a) | |||||
SPDR SSGA Multi-Asset Real Return ETF | 0.12% | $1,114.60 | $0.63 | $1,024.20 | $0.60 | ||||
SPDR SSGA Income Allocation ETF | 0.18 | 1,111.30 | 0.94 | 1,023.90 | 0.90 | ||||
SPDR SSGA Global Allocation ETF | 0.15 | 1,121.10 | 0.79 | 1,024.10 | 0.75 | ||||
SPDR SSGA Ultra Short Term Bond ETF | 0.20 | 1,018.40 | 1.00 | 1,023.80 | 1.00 | ||||
SPDR MFS Systematic Core Equity ETF | 0.60 | 1,158.60 | 3.21 | 1,021.80 | 3.01 | ||||
SPDR MFS Systematic Growth Equity ETF | 0.60 | 1,185.00 | 3.25 | 1,021.80 | 3.01 | ||||
SPDR MFS Systematic Value Equity ETF | 0.60 | 1,124.60 | 3.16 | 1,021.80 | 3.01 |
(a) | Expenses are equal to the Fund's annualized net expense ratio multiplied by the average account value of the period, multiplied by 181, then divided by 365. |
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Amount | |
SPDR MFS Systematic Core Equity ETF | $27,122 |
SPDR MFS Systematic Value Equity ETF | 175,077 |
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Name, Address and Year of Birth | Position(s) with Funds | Term of Office and Length of Time Served | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During the Past 5 Years | |||||
Trustees | ||||||||||
Independent Trustees | ||||||||||
FRANK NESVET c/o SSGA Active Trust One Iron Street Boston, MA 02210 1943 | Independent Trustee, Chairman, Trustee Committee Chair | Term: Unlimited Served: since March 2011 | Retired. | 128 | None. | |||||
BONNY EUGENIA BOATMAN c/o SSGA Active Trust One Iron Street Boston, MA 02210 1950 | Independent Trustee | Term: Unlimited Served: since March 2011 | Retired. | 128 | None. | |||||
DWIGHT D. CHURCHILL c/o SSGA Active Trust One Iron Street Boston, MA 02210 1953 | Independent Trustee | Term: Unlimited Served: since March 2011 | Self-employed consultant since 2010; CEO and President, CFA Institute (June 2014-January 2015). | 128 | Affiliated Managers Group, Inc. (Director). | |||||
CARL G. VERBONCOEUR c/o SSGA Active Trust One Iron Street Boston, MA 02210 1952 | Independent Trustee, Audit Committee Chair | Term: Unlimited Served: since March 2011 | Self-employed consultant since 2009. | 128 | The Motley Fool Funds Trust (Trustee). | |||||
CLARE S. RICHER c/o SSGA Active Trust One Iron Street Boston, MA 02210 1958 | Independent Trustee | Term: Unlimited Served: since July 2018 | Chief Financial Officer, Putnam Investments LLC (December 2008- May 2017). | 128 | Putnam Acquisition Financing Inc. (Director); Putnam Acquisition Financing LLC (Director); Putnam GP Inc. (Director); Putnam Investor Services, Inc. (Director); Putnam Investments Limited (Director); Putnam Investments Limited (Director); University of Notre Dame (Trustee). | |||||
SANDRA G. SPONEM c/o SSGA Active Trust One Iron Street Boston, MA 02210 1958 | Independent Trustee | Term: Unlimited Served: since July 2018 | Chief Financial Officer, M.A. Mortenson Companies, Inc. (February 2007- April 2017). | 128 | Guggenheim/Rydex Funds (Trustee). |
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Name, Address and Year of Birth | Position(s) with Funds | Term of Office and Length of Time Served | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During the Past 5 Years | |||||
Interested Trustee | ||||||||||
JAMES E. ROSS* SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1965 | Interested Trustee | Term: Unlimited Served as Trustee: since March 2011 | Chairman and Director, SSGA Funds Management, Inc. (2005-present); Executive Vice President and Principal, State Street Global Advisors (2006-present); Chief Executive Officer and Director, State Street Global Advisors Funds Distributors, LLC (May 2017- present); Director, State Street Global Markets, LLC (2013-April 2017); President, SSGA Funds Management, Inc. (2005-2012). | 189 | None. | |||||
† For the purpose of determining the number of portfolios overseen by the Trustees, “Fund Complex” comprises registered investment companies for which SSGA Funds Management, Inc. serves as investment adviser. | ||||||||||
* Mr. Ross is an Interested Trustee because of his employment with the Adviser and ownership interest in an affiliate of the Adviser. Mr. Ross previously served as an Interested Trustee from November 2005 to December 2009. |
Name, Address and Year of Birth | Position(s) with Funds | Term of Office and Length of Time Served | Principal Occupation(s) During the Past 5 Years | |||
Officers | ||||||
ELLEN M. NEEDHAM SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1967 | President | Term: Unlimited Served: since October 2012 | President and Director, SSGA Funds Management, Inc. (2001 - present)*; Senior Managing Director, State Street Global Advisors (1992 - present)*; Director, State Street Global Advisors Funds Distributors, LLC (May 2017 - present). | |||
BRUCE S. ROSENBERG SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1961 | Treasurer | Term: Unlimited Served: since February 2016 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (July 2015 - present); Director, Credit Suisse (April 2008 - July 2015). | |||
ANN M. CARPENTER SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1966 | Vice President; Deputy Treasurer | Term: Unlimited Served: since August 2012 | Chief Operating Officer, SSGA Funds Management, Inc. (2005 - Present)*; Managing Director, State Street Global Advisors (2005 - present).* | |||
MICHAEL P. RILEY SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1969 | Vice President | Term: Unlimited Served: since March 2011 | Managing Director, State Street Global Advisors (2005 - present).* |
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Name, Address and Year of Birth | Position(s) with Funds | Term of Office and Length of Time Served | Principal Occupation(s) During the Past 5 Years | |||
SEAN O’MALLEY SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1969 | Chief Legal Officer | Term: Unlimited Served: since August 2019 | Senior Vice President and Deputy General Counsel, State Street Global Advisors (November 2013 -present). | |||
ANDREW DELORME SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1975 | Secretary | Term: Unlimited Served: since August 2019 | Vice President and Senior Counsel, State Street Global Advisors (April 2016 - present); Vice President and Counsel, State Street Global Advisors (August 2014 - March 2016). | |||
JAMES GOUNDREY SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1977 | Assistant Secretary | Term: Unlimited Served: since August 2019 | Vice President and Senior Counsel, State Street Global Advisors (April 2019 - present); Vice President and Counsel, State Street Global Advisors (August 2015 - April 2019); Attorney, MFS Investment Management (March 2012 - August 2015). | |||
KEVIN MORRIS SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1982 | Assistant Secretary | Term: Unlimited Served: since August 2019 | Vice President and Senior Counsel, State Street Global Advisors (April 2019 - present); Vice President and Counsel, State Street Global Advisors (January 2016 -April 2019); Director, Asset Management Compliance, Fidelity Investments (June 2015 - January 2016); Senior Compliance Advisor, Asset Management Compliance, Fidelity Investments (June 2012 - June 2015). | |||
DAVID URMAN SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1985 | Assistant Secretary | Term: Unlimited Served: since August 2019 | Vice President and Senior Counsel, State Street Global Advisors (April 2019 - present); Vice President and Counsel, State Street Global Advisors (August 2015 - April 2019); Associate, Ropes & Gray LLP (November 2012 - August 2015). | |||
CHAD C. HALLETT SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1969 | Deputy Treasurer | Term: Unlimited Served: since February 2016 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (November 2014 - present); Vice President, State Street Bank and Trust Company (2001 - November 2014).* | |||
DARLENE ANDERSON-VASQUEZ SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1968 | Deputy Treasurer | Term: Unlimited Served: since November 2016 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (May 2016 - present); Senior Vice President, John Hancock Investments (September 2007 - May 2016). | |||
ARTHUR A. JENSEN SSGA Funds Management, Inc. 1600 Summer Street Stamford, CT 06905 1966 | Deputy Treasurer | Term: Unlimited Served: Since August 2017 | Vice President at State Street Global Advisors (July 2016 – present); Mutual Funds Controller of GE Asset Management Incorporated (April 2011 - July 2016). | |||
SUJATA UPRETI SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1974 | Assistant Treasurer | Term: Unlimited Served: since February 2016 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (May 2015 - present); Assistant Director, Cambridge Associates, LLC (July 2014 - January 2015); Vice President, Bank of New York Mellon (July 2012 - August 2013); Manager, PricewaterhouseCoopers, LLP (September 2003 - July 2012). | |||
DANIEL FOLEY SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1972 | Assistant Treasurer | Term: Unlimited Served: since February 2016 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (April 2007 - present).* | |||
DANIEL G. PLOURDE SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1980 | Assistant Treasurer | Term: Unlimited Served: since May 2017 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (May 2015 - present); Officer, State Street Bank and Trust Company (March 2009 - May 2015). |
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Name, Address and Year of Birth | Position(s) with Funds | Term of Office and Length of Time Served | Principal Occupation(s) During the Past 5 Years | |||
BRIAN HARRIS SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1973 | Chief Compliance Officer; Anti-Money Laundering Officer; Code of Ethics Compliance Officer | Term: Unlimited Served: since November 2013 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (June 2013 - present)*; Senior Vice President and Global Head of Investment Compliance, BofA Global Capital Management (2010 - 2013); Director of Compliance, AARP Financial Inc. (2008 - 2010). | |||
* Served in various capacities and/or with various affiliated entities during noted time period. | ||||||
The Statement of Additional Information (SAI) includes additional information about the Funds' directors and is available, without charge, upon request and by calling 1-866-787-2257. |
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One Iron Street
Boston, MA 02210
One Iron Street
Boston, MA 02210
One Lincoln Street
Boston, MA 02111
1111 Pennsylvania Avenue, NW
Washington, DC 20004
200 Clarendon Street
Boston, MA 02116
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One Iron Street
Boston, MA 02210
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SPDR SSGA Fixed Income Sector Rotation ETF |
SPDR SSGA US Sector Rotation ETF |
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Portfolio Statistics (Unaudited) | |
1 | |
2 | |
Schedules of Investments | |
3 | |
5 | |
7 | |
10 | |
12 | |
20 | |
22 |
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Description | % of Net Assets | ||
SPDR Bloomberg Barclays Mortgage Backed Bond ETF | 32.7% | ||
SPDR Portfolio Long Term Corporate Bond ETF | 30.1 | ||
SPDR Bloomberg Barclays Intermediate Term Treasury ETF | 13.6 | ||
SPDR Portfolio Intermediate Term Corporate Bond ETF | 10.3 | ||
SPDR Bloomberg Barclays High Yield Bond ETF | 5.2 | ||
TOTAL | 91.9% |
% of Net Assets | |||
Domestic Fixed Income | 99.8% | ||
Short Term Investments | 0.2 | ||
Liabilities in Excess of Other Assets | (0.0)* | ||
TOTAL | 100.0% | ||
* | Amount shown represents less than 0.05% of net assets. |
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Description | % of Net Assets | ||
The Health Care Select Sector SPDR Fund | 28.7% | ||
The Technology Select Sector SPDR Fund | 26.5 | ||
The Industrial Select Sector SPDR Fund | 24.1 | ||
The Consumer Staples Select Sector SPDR Fund | 10.8 | ||
The Real Estate Select Sector SPDR Fund | 9.6 | ||
TOTAL | 99.7% |
% of Net Assets | |||
Domestic Equity | 99.7% | ||
Short Term Investments | 0.3 | ||
Liabilities in Excess of Other Assets | (0.0)* | ||
TOTAL | 100.0% | ||
* | Amount shown represents less than 0.05% of net assets. |
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Security Description | Shares | Value | ||||
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS — 99.8% | ||||||
DOMESTIC FIXED INCOME — 99.8% | ||||||
SPDR Bloomberg Barclays 1-3 Month T-Bill ETF (a) | 3,742 | $342,805 | ||||
SPDR Bloomberg Barclays High Yield Bond ETF (a) | 5,218 | 568,449 | ||||
SPDR Bloomberg Barclays Intermediate Term Treasury ETF (a) | 23,909 | 1,477,576 | ||||
SPDR Bloomberg Barclays Mortgage Backed Bond ETF (a) | 136,205 | 3,560,399 | ||||
SPDR Portfolio Intermediate Term Corporate Bond ETF (a) | 31,956 | 1,116,223 | ||||
SPDR Portfolio Long Term Corporate Bond ETF (a) | 114,074 | 3,279,628 | ||||
SPDR Portfolio Long Term Treasury ETF (a) | 13,503 | 515,274 | ||||
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS (Cost $10,550,612) | 10,860,354 | |||||
SHORT-TERM INVESTMENT — 0.2% | ||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 2.35% (b)(c) (Cost $19,198) | 19,198 | 19,198 | ||||
TOTAL INVESTMENTS—100.0% (Cost $10,569,810) | 10,879,552 | |||||
LIABILITIES IN EXCESS OF OTHER ASSETS—(0.0)%(d) | (2,749) | |||||
NET ASSETS—100.0% | $10,876,803 |
(a) | Affiliated fund managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2019 are shown in the Affiliate Table below. |
(b) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2019 are shown in the Affiliate Table below. |
(c) | The rate shown is the annualized seven-day yield at June 30, 2019. |
(d) | Amount is less than 0.05% of net assets. |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Mutual Funds and Exchange Traded Products | $10,860,354 | $— | $— | $10,860,354 | ||||
Short-Term Investment | 19,198 | — | — | 19,198 | ||||
TOTAL INVESTMENTS | $10,879,552 | $— | $— | $10,879,552 |
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Number of Shares Held at 4/3/2019* | Value at 4/3/2019* | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 6/30/19 | Value at 6/30/19 | Dividend Income | |||||||||
SPDR Bloomberg Barclays 1-3 Month T-Bill ETF | — | $— | $1,572,604 | $1,229,998 | $(338) | $537 | 3,742 | $342,805 | $3,276 | ||||||||
SPDR Bloomberg Barclays High Yield Bond ETF | — | — | 1,024,699 | 467,954 | 2,199 | 9,505 | 5,218 | 568,449 | 5,950 | ||||||||
SPDR Bloomberg Barclays Intermediate Term Treasury ETF | — | — | 1,766,294 | 325,720 | 1,248 | 35,754 | 23,909 | 1,477,576 | 3,861 | ||||||||
SPDR Bloomberg Barclays Mortgage Backed Bond ETF | — | — | 3,617,070 | 101,228 | 272 | 44,285 | 136,205 | 3,560,399 | 9,778 | ||||||||
SPDR Portfolio Intermediate Term Corporate Bond ETF | — | — | 1,096,395 | — | — | 19,828 | 31,956 | 1,116,223 | 1,941 | ||||||||
SPDR Portfolio Long Term Corporate Bond ETF | — | — | 3,141,319 | 51,239 | (48) | 189,596 | 114,074 | 3,279,628 | 13,297 | ||||||||
SPDR Portfolio Long Term Treasury ETF | — | — | 889,563 | 383,342 | (1,184) | 10,237 | 13,503 | 515,274 | 116 | ||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | — | — | 23,400 | 4,202 | — | — | 19,198 | 19,198 | 57 | ||||||||
Total | $— | $13,131,344 | $2,563,683 | $2,149 | $309,742 | $10,879,552 | $38,276 |
* | Commencement of operations. |
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Security Description | Shares | Value | ||||
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS — 99.7% | ||||||
DOMESTIC EQUITY — 99.7% | ||||||
The Consumer Staples Select Sector SPDR Fund (a) | 26,360 | $1,530,725 | ||||
The Health Care Select Sector SPDR Fund (a) | 43,744 | 4,052,444 | ||||
The Industrial Select Sector SPDR Fund (a) | 43,980 | 3,404,932 | ||||
The Real Estate Select Sector SPDR Fund (a) | 37,107 | 1,364,424 | ||||
The Technology Select Sector SPDR Fund (a) | 47,988 | 3,744,984 | ||||
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS (Cost $13,742,020) | 14,097,509 | |||||
SHORT-TERM INVESTMENT — 0.3% | ||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 2.35% (b)(c) (Cost $43,535) | 43,535 | 43,535 | ||||
TOTAL INVESTMENTS—100.0% (Cost $13,785,555) | 14,141,044 | |||||
LIABILITIES IN EXCESS OF OTHER ASSETS—(0.0)%(d) | (5,025) | |||||
NET ASSETS—100.0% | $14,136,019 |
(a) | Affiliated fund managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2019 are shown in the Affiliate Table below. |
(b) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2019 are shown in the Affiliate Table below. |
(c) | The rate shown is the annualized seven-day yield at June 30, 2019. |
(d) | Amount is less than 0.05% of net assets. |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Mutual Funds and Exchange Traded Products | $14,097,509 | $— | $— | $14,097,509 | ||||
Short-Term Investment | 43,535 | — | — | 43,535 | ||||
TOTAL INVESTMENTS | $14,141,044 | $— | $— | $14,141,044 |
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Number of Shares Held at 4/3/2019* | Value at 4/3/2019* | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 6/30/19 | Value at 6/30/19 | Dividend Income | |||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | — | $— | $104,084 | $60,549 | $— | $— | 43,535 | $43,535 | $67 | ||||||||
The Communication Services Select Sector SPDR Fund | — | — | 711,798 | 708,078 | (3,720) | — | — | — | — | ||||||||
The Consumer Discretionary Select Sector SPDR Fund | — | — | 1,490,870 | 1,517,502 | 26,632 | — | — | — | — | ||||||||
The Consumer Staples Select Sector SPDR Fund | — | — | 1,552,369 | — | — | (21,644) | 26,360 | 1,530,725 | 11,823 | ||||||||
The Health Care Select Sector SPDR Fund | — | — | 3,909,448 | — | — | 142,996 | 43,744 | 4,052,444 | 17,426 | ||||||||
The Industrial Select Sector SPDR Fund | — | — | 3,309,588 | — | — | 95,344 | 43,980 | 3,404,932 | 14,840 | ||||||||
The Real Estate Select Sector SPDR Fund | — | — | 1,675,389 | 296,829 | (1,451) | (12,685) | 37,107 | 1,364,424 | 11,236 | ||||||||
The Technology Select Sector SPDR Fund | — | — | 4,718,564 | 1,149,022 | 23,964 | 151,478 | 47,988 | 3,744,984 | 13,355 | ||||||||
Total | $— | $17,472,110 | $3,731,980 | $45,425 | $355,489 | $14,141,044 | $68,747 |
* | Commencement of operations. |
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SPDR SSGA Fixed Income Sector Rotation ETF | SPDR SSGA US Sector Rotation ETF | ||
ASSETS | |||
Investments in affiliated issuers, at value | $10,879,552 | $14,141,044 | |
Dividends receivable — affiliated issuers | 29 | 46 | |
TOTAL ASSETS | 10,879,581 | 14,141,090 | |
LIABILITIES | |||
Advisory fee payable | 2,770 | 5,063 | |
Trustees’ fees and expenses payable | 8 | 8 | |
TOTAL LIABILITIES | 2,778 | 5,071 | |
NET ASSETS | $10,876,803 | $14,136,019 | |
NET ASSETS CONSIST OF: | |||
Paid-in Capital | $10,567,402 | $13,728,143 | |
Total distributable earnings (loss) | 309,401 | 407,876 | |
NET ASSETS | $10,876,803 | $14,136,019 | |
NET ASSET VALUE PER SHARE | |||
Net asset value per share | $31.08 | $30.73 | |
Shares outstanding (unlimited amount authorized, no par value) | 350,000 | 460,000 | |
COST OF INVESTMENTS: | |||
Investments in affiliated issuers | $10,569,810 | $13,785,555 |
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SPDR SSGA Fixed Income Sector Rotation ETF(a) | SPDR SSGA US Sector Rotation ETF(a) | ||
INVESTMENT INCOME | |||
Dividend income — affiliated issuers | $38,276 | $68,747 | |
TOTAL INVESTMENT INCOME (LOSS) | 38,276 | 68,747 | |
EXPENSES | |||
Advisory fee | 5,176 | 9,324 | |
Trustees’ fees and expenses | 9 | 9 | |
TOTAL EXPENSES | 5,185 | 9,333 | |
NET INVESTMENT INCOME (LOSS) | 33,091 | 59,414 | |
REALIZED AND UNREALIZED GAIN (LOSS) | |||
Net realized gain (loss) on: | |||
Investments — affiliated issuers | 2,149 | 45,425 | |
Net change in unrealized appreciation/depreciation on: | |||
Investment — affiliated issuers | 309,742 | 355,489 | |
NET REALIZED AND UNREALIZED GAIN (LOSS) | 311,891 | 400,914 | |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $344,982 | $460,328 |
(a) | For the period April 2, 2019 (inception date) through June 30, 2019. |
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SPDR SSGA Fixed Income Sector Rotation ETF | SPDR SSGA US Sector Rotation ETF | ||
For the Period 04/02/19* - 6/30/19 | For the Period 04/02/19* - 6/30/19 | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $33,091 | $59,414 | |
Net realized gain (loss) | 2,149 | 45,425 | |
Net change in unrealized appreciation/depreciation | 309,742 | 355,489 | |
Net increase (decrease) in net assets resulting from operations | 344,982 | 460,328 | |
Net equalization credits and charges | 173 | (7,742) | |
Distributions to shareholders | (36,040) | (52,452) | |
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||
Proceeds from sale of shares sold | 10,567,861 | 13,728,143 | |
Net income equalization | (173) | 7,742 | |
Net increase (decrease) in net assets from beneficial interest transactions | 10,567,688 | 13,735,885 | |
Net increase (decrease) in net assets during the period | 10,876,803 | 14,136,019 | |
Net assets at beginning of period | — | — | |
NET ASSETS AT END OF PERIOD | $10,876,803 | $14,136,019 | |
SHARES OF BENEFICIAL INTEREST: | |||
Shares sold | 350,000 | 460,000 |
* Inception date. |
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SPDR SSGA Fixed Income Sector Rotation ETF | |
For the Period 4/3/2019* - 6/30/19 | |
Net asset value, beginning of period | $30.10 |
Income (loss) from investment operations: | |
Net investment income (loss) (a) | 0.15 |
Net realized and unrealized gain (loss) (b) | 0.99 |
Total from investment operations | 1.14 |
Net equalization credits and charges (a) | 0.00(c) |
Distributions to shareholders from: | |
Net investment income | (0.16) |
Net asset value, end of period | $31.08 |
Total return (d) | 3.81% |
Ratios and Supplemental Data: | |
Net assets, end of period (in 000s) | $10,877 |
Ratios to average net assets: | |
Total expenses (e) | 0.31%(f) |
Net investment income (loss) | 1.98%(f) |
Portfolio turnover rate (g)(h) | 32%(i) |
* | Commencement of operations. |
(a) | Per share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the period. |
(b) | Amounts shown in this caption for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period because of the timing of sales and repurchases of Fund shares in relation to fluctuating market values for the Fund. |
(c) | Amount is less than $0.005 per share. |
(d) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates of each distribution. Total returns for periods of less than one year are not annualized. Broker commission charges are not included in this calculation. |
(e) | Does not include expenses of the Underlying Funds in which the Fund invests. |
(f) | Annualized. |
(g) | Portfolio turnover rate excludes securities received or delivered from in-kind processing of creations or redemptions. |
(h) | Portfolio turnover rate does not include the activity of the Underlying Funds in which the Fund invests. |
(i) | Not annualized. |
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SPDR SSGA US Sector Rotation ETF | |
For the Period 4/3/2019* - 6/30/19 | |
Net asset value, beginning of period | $30.09 |
Income (loss) from investment operations: | |
Net investment income (loss) (a) | 0.23 |
Net realized and unrealized gain (loss) (b) | 0.55 |
Total from investment operations | 0.78 |
Net equalization credits and charges (a) | (0.03) |
Distributions to shareholders from: | |
Net investment income | (0.11) |
Net asset value, end of period | $30.73 |
Total return (c) | 2.50% |
Ratios and Supplemental Data: | |
Net assets, end of period (in 000s) | $14,136 |
Ratios to average net assets: | |
Total expenses (d) | 0.49%(e) |
Net investment income (loss) | 3.12%(e) |
Portfolio turnover rate (f)(g) | 39%(h) |
* | Commencement of operations. |
(a) | Per share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the period. |
(b) | Amounts shown in this caption for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period because of the timing of sales and repurchases of Fund shares in relation to fluctuating market values for the Fund. |
(c) | Total return is calculated assuming a purchase of Units at net asset value per Unit on the first day and a sale at net asset value per Unit on the last day of each period reported. Distributions are assumed, for the purposes of this calculation, to be reinvested at the net asset value per Unit on the respective payment dates of the Trust. Total returns for periods of less than one year are not annualized. Broker commission charges are not included in this calculation. |
(d) | Does not include expenses of the Underlying Funds in which the Fund invests. |
(e) | Annualized. |
(f) | Portfolio turnover rate excludes securities received or delivered from in-kind processing of creations or redemptions. |
(g) | Portfolio turnover rate does not include the activity of the Underlying Funds in which the Fund invests. |
(h) | Not annualized. |
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SPDR SSGA Fixed Income Sector Rotation ETF |
SPDR SSGA US Sector Rotation ETF |
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SPDR SSGA Fixed Income Sector Rotation ETF |
SPDR SSGA US Sector Rotation ETF |
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Annual Rate | |
SPDR SSGA Fixed Income Sector Rotation ETF | 0.50% |
SPDR SSGA US Sector Rotation ETF | 0.70 |
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Purchases | Sales | ||
SPDR SSGA Fixed Income Sector Rotation ETF | $2,544,280 | $2,559,482 | |
SPDR SSGA US Sector Rotation ETF | 3,644,603 | 3,671,429 |
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In-kind Contributions | In-kind Net Realized Gains/(Losses) | ||
SPDR SSGA Fixed Income Sector Rotation ETF | $10,563,664 | $— | |
SPDR SSGA US Sector Rotation ETF | 13,723,422 | — |
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Ordinary Income | Long-Term Capital Gains | Total | |||
SPDR SSGA Fixed Income Sector Rotation ETF | $36,040 | $— | $36,040 | ||
SPDR SSGA US Sector Rotation ETF | 52,452 | — | 52,452 |
Undistributed Ordinary Income | Capital Loss Carryforwards | Undistributed Long-Term Capital Gains | Net Unrealized Gains (Losses) | Qualified Late-Year Losses | Total | ||||||
SPDR SSGA Fixed Income Sector Rotation ETF | $— | $— | $— | $309,401 | $— | $309,401 | |||||
SPDR SSGA US Sector Rotation ETF | 52,387 | — | — | 355,489 | — | 407,876 |
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | ||||
SPDR SSGA Fixed Income Sector Rotation ETF | $10,570,151 | $309,401 | $— | $309,401 | |||
SPDR SSGA US Sector Rotation ETF | 13,785,555 | 389,818 | 34,329 | 355,489 |
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August 26, 2019
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SPDR SSGA Fixed Income Sector Rotation ETF | SPDR SSGA US Sector Rotation ETF | ||
Annualized Expense Ratio | 0.31% | 0.49% | |
Actual: | |||
Ending Account Value | $1,038.10 | $1,025.00 | |
Expenses Paid During Period(a) | 0.77 | 1.21 | |
Hypothetical (assuming a 5% return before expenses): | |||
Ending Account Value | 1,023.30 | 1,022.40 | |
Expenses Paid During Period(b) | 1.56 | 2.46 |
(a) | Actual period is from commencement of operations on April 3, 2019. |
(b) | Expenses are equal to the Fund's annualized net expense ratio multiplied by the average account value of the period, multiplied by 181, then divided by 365. |
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Name, Address and Year of Birth | Position(s) with Funds | Term of Office and Length of Time Served | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During the Past 5 Years | |||||
Trustees | ||||||||||
Independent Trustees | ||||||||||
FRANK NESVET c/o SSGA Active Trust One Iron Street Boston, MA 02210 1943 | Independent Trustee, Chairman, Trustee Committee Chair | Term: Unlimited Served: since March 2011 | Retired. | 128 | None. | |||||
BONNY EUGENIA BOATMAN c/o SSGA Active Trust One Iron Street Boston, MA 02210 1950 | Independent Trustee | Term: Unlimited Served: since March 2011 | Retired. | 128 | None. | |||||
DWIGHT D. CHURCHILL c/o SSGA Active Trust One Iron Street Boston, MA 02210 1953 | Independent Trustee | Term: Unlimited Served: since March 2011 | Self-employed consultant since 2010; CEO and President, CFA Institute (June 2014-January 2015). | 128 | Affiliated Managers Group, Inc. (Director). | |||||
CARL G. VERBONCOEUR c/o SSGA Active Trust One Iron Street Boston, MA 02210 1952 | Independent Trustee, Audit Committee Chair | Term: Unlimited Served: since March 2011 | Self-employed consultant since 2009. | 128 | The Motley Fool Funds Trust (Trustee). | |||||
CLARE S. RICHER c/o SSGA Active Trust One Iron Street Boston, MA 02210 1958 | Independent Trustee | Term: Unlimited Served: since July 2018 | Chief Financial Officer, Putnam Investments LLC (December 2008- May 2017). | 128 | Putnam Acquisition Financing Inc. (Director); Putnam Acquisition Financing LLC (Director); Putnam GP Inc. (Director); Putnam Investor Services, Inc. (Director); Putnam Investments Limited (Director); Putnam Investments Limited (Director); University of Notre Dame (Trustee). |
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Name, Address and Year of Birth | Position(s) with Funds | Term of Office and Length of Time Served | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During the Past 5 Years | |||||
SANDRA G. SPONEM c/o SSGA Active Trust One Iron Street Boston, MA 02210 1958 | Independent Trustee | Term: Unlimited Served: since July 2018 | Chief Financial Officer, M.A. Mortenson Companies, Inc. (February 2007- April 2017). | 128 | Guggenheim/Rydex Funds (Trustee). | |||||
Interested Trustee | ||||||||||
JAMES E. ROSS* SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1965 | Interested Trustee | Term: Unlimited Served as Trustee: since March 2011 | Chairman and Director, SSGA Funds Management, Inc. (2005-present); Executive Vice President and Principal, State Street Global Advisors (2006-present); Chief Executive Officer and Director, State Street Global Advisors Funds Distributors, LLC (May 2017- present); Director, State Street Global Markets, LLC (2013-April 2017); President, SSGA Funds Management, Inc. (2005-2012). | 189 | None. | |||||
† For the purpose of determining the number of portfolios overseen by the Trustees, “Fund Complex” comprises registered investment companies for which SSGA Funds Management, Inc. serves as investment adviser. | ||||||||||
* Mr. Ross is an Interested Trustee because of his employment with the Adviser and ownership interest in an affiliate of the Adviser. Mr. Ross previously served as an Interested Trustee from November 2005 to December 2009. |
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Name, Address and Year of Birth | Position(s) with Funds | Term of Office and Length of Time Served | Principal Occupation(s) During the Past 5 Years | |||
Officers | ||||||
ELLEN M. NEEDHAM SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1967 | President | Term: Unlimited Served: since October 2012 | President and Director, SSGA Funds Management, Inc. (2001 - present)*; Senior Managing Director, State Street Global Advisors (1992 - present)*; Director, State Street Global Advisors Funds Distributors, LLC (May 2017 - present). | |||
BRUCE S. ROSENBERG SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1961 | Treasurer | Term: Unlimited Served: since February 2016 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (July 2015 - present); Director, Credit Suisse (April 2008 - July 2015). | |||
ANN M. CARPENTER SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1966 | Vice President; Deputy Treasurer | Term: Unlimited Served: since August 2012 | Chief Operating Officer, SSGA Funds Management, Inc. (2005 - Present)*; Managing Director, State Street Global Advisors (2005 - present).* | |||
MICHAEL P. RILEY SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1969 | Vice President | Term: Unlimited Served: since March 2011 | Managing Director, State Street Global Advisors (2005 - present).* | |||
SEAN O’MALLEY SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1969 | Chief Legal Officer | Term: Unlimited Served: since August 2019 | Senior Vice President and Deputy General Counsel, State Street Global Advisors (November 2013 -present). | |||
ANDREW DELORME SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1975 | Secretary | Term: Unlimited Served: since August 2019 | Vice President and Senior Counsel, State Street Global Advisors (April 2016 - present); Vice President and Counsel, State Street Global Advisors (August 2014 - March 2016). | |||
JAMES GOUNDREY SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1977 | Assistant Secretary | Term: Unlimited Served: since August 2019 | Vice President and Senior Counsel, State Street Global Advisors (April 2019 - present); Vice President and Counsel, State Street Global Advisors (August 2015 - April 2019); Attorney, MFS Investment Management (March 2012 - August 2015). |
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Name, Address and Year of Birth | Position(s) with Funds | Term of Office and Length of Time Served | Principal Occupation(s) During the Past 5 Years | |||
KEVIN MORRIS SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1982 | Assistant Secretary | Term: Unlimited Served: since August 2019 | Vice President and Senior Counsel, State Street Global Advisors (April 2019 - present); Vice President and Counsel, State Street Global Advisors (January 2016 -April 2019); Director, Asset Management Compliance, Fidelity Investments (June 2015 - January 2016); Senior Compliance Advisor, Asset Management Compliance, Fidelity Investments (June 2012 - June 2015). | |||
DAVID URMAN SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1985 | Assistant Secretary | Term: Unlimited Served: since August 2019 | Vice President and Senior Counsel, State Street Global Advisors (April 2019 - present); Vice President and Counsel, State Street Global Advisors (August 2015 - April 2019); Associate, Ropes & Gray LLP (November 2012 - August 2015). | |||
CHAD C. HALLETT SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1969 | Deputy Treasurer | Term: Unlimited Served: since February 2016 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (November 2014 - present); Vice President, State Street Bank and Trust Company (2001 - November 2014).* | |||
DARLENE ANDERSON-VASQUEZ SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1968 | Deputy Treasurer | Term: Unlimited Served: since November 2016 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (May 2016 - present); Senior Vice President, John Hancock Investments (September 2007 - May 2016). | |||
ARTHUR A. JENSEN SSGA Funds Management, Inc. 1600 Summer Street Stamford, CT 06905 1966 | Deputy Treasurer | Term: Unlimited Served: Since August 2017 | Vice President at State Street Global Advisors (July 2016 – present); Mutual Funds Controller of GE Asset Management Incorporated (April 2011 - July 2016). | |||
SUJATA UPRETI SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1974 | Assistant Treasurer | Term: Unlimited Served: since February 2016 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (May 2015 - present); Assistant Director, Cambridge Associates, LLC (July 2014 - January 2015); Vice President, Bank of New York Mellon (July 2012 - August 2013); Manager, PricewaterhouseCoopers, LLP (September 2003 - July 2012). |
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Name, Address and Year of Birth | Position(s) with Funds | Term of Office and Length of Time Served | Principal Occupation(s) During the Past 5 Years | |||
DANIEL FOLEY SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1972 | Assistant Treasurer | Term: Unlimited Served: since February 2016 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (April 2007 - present).* | |||
DANIEL G. PLOURDE SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1980 | Assistant Treasurer | Term: Unlimited Served: since May 2017 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (May 2015 - present); Officer, State Street Bank and Trust Company (March 2009 - May 2015). | |||
BRIAN HARRIS SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1973 | Chief Compliance Officer; Anti-Money Laundering Officer; Code of Ethics Compliance Officer | Term: Unlimited Served: since November 2013 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (June 2013 - present)*; Senior Vice President and Global Head of Investment Compliance, BofA Global Capital Management (2010 - 2013); Director of Compliance, AARP Financial Inc. (2008 - 2010). | |||
* Served in various capacities and/or with various affiliated entities during noted time period. | ||||||
The Statement of Additional Information (SAI) includes additional information about the Funds' directors and is available, without charge, upon request and by calling 1-866-787-2257. |
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One Iron Street
Boston, MA 02210
One Iron Street
Boston, MA 02210
One Lincoln Street
Boston, MA 02111
1111 Pennsylvania Avenue, NW
Washington, DC 20004
200 Clarendon Street
Boston, MA 02116
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One Iron Street
Boston, MA 02210
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SPDR DoubleLine Emerging Markets Fixed Income ETF |
SPDR DoubleLine Short Duration Total Return Tactical ETF |
SPDR DoubleLine Total Return Tactical ETF |
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1 | |
Management’s Discussion of Fund Performance, Performance Summaries & Portfolio Statistics (Unaudited) | |
2 | |
5 | |
8 | |
Schedules of Investments | |
12 | |
19 | |
41 | |
54 | |
61 | |
64 | |
76 | |
79 |
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Cumulative Total Return | Average Annual Total Return | ||||||||
Net Asset Value | Market Value | JP Morgan Corporate Emerging Markets Bond Index Broad Diversified | Net Asset Value | Market Value | JP Morgan Corporate Emerging Markets Bond Index Broad Diversified | ||||
ONE YEAR | 9.99% | 9.93% | 10.21% | 9.99% | 9.93% | 10.21% | |||
SINCE INCEPTION(1) | 21.83% | 22.12% | 21.06% | 6.33% | 6.41% | 6.13% | |||
(1) | For the period April 13, 2016 to June 30, 2019. |
(Based on Net Asset Value)
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Description | % of Net Assets | ||
Cometa Energia SA de CV 6.38% 4/24/2035 | 2.5% | ||
Perusahaan Listrik Negara PT 5.50% 11/22/2021 | 2.5 | ||
Pertamina Persero PT 4.88% 5/3/2022 | 2.4 | ||
Temasek Financial I, Ltd. 2.38% 1/23/2023 | 2.2 | ||
Syngenta Finance NV 5.68% 4/24/2048 | 2.1 | ||
TOTAL | 11.7% |
% of Net Assets | |||
Corporate Bonds & Notes | 86.5% | ||
Foreign Government Obligations | 12.1 | ||
Short-Term Investment | 0.1 | ||
Other Assets in Excess of Liabilities | 1.3 | ||
TOTAL | 100.0% |
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Cumulative Total Return | Average Annual Total Return | ||||||||
Net Asset Value | Market Value | Bloomberg Barclays U.S. Aggregate 1-3 Year Index | Net Asset Value | Market Value | Bloomberg Barclays U.S. Aggregate 1-3 Year Index | ||||
ONE YEAR | 4.18% | 4.31% | 4.28% | 4.18% | 4.31% | 4.28% | |||
SINCE INCEPTION(1) | 6.92% | 7.18% | 5.57% | 2.10% | 2.18% | 1.70% | |||
(1) | For the period April 13, 2016 to June 30, 2019. |
(Based on Net Asset Value)
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Description | % of Net Assets | ||
Treasury Bill 2.39% 10/10/2019 | 5.0% | ||
Treasury Bill 2.36% 10/3/2019 | 4.9 | ||
Treasury Bill 2.48% 11/7/2019 | 3.4 | ||
Treasury Notes 2.25% 12/31/2023 | 3.3 | ||
Treasury Bill 2.13% 9/5/2019 | 3.3 | ||
TOTAL | 19.9% |
% of Net Assets | |||
U.S. Treasury Obligations | 28.5% | ||
Corporate Bonds & Notes | 28.4 | ||
U.S. Government Agency Obligations | 23.1 | ||
Mortgage-Backed Securities | 10.4 | ||
Asset-Backed Securities | 3.3 | ||
Foreign Government Obligations | 0.9 | ||
Senior Floating Rate Loans | 0.0 * | ||
Short-Term Investment | 5.1 | ||
Other Assets in Excess of Liabilities | 0.3 | ||
TOTAL | 100.0% |
* | Amount shown represents less than 0.05% of net assets. |
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Cumulative Total Return | Average Annual Total Return | ||||||||
Net Asset Value | Market Value | Bloomberg Barclays U.S. Aggregate Bond Index | Net Asset Value | Market Value | Bloomberg Barclays U.S. Aggregate Bond Index | ||||
ONE YEAR | 6.53% | 6.92% | 7.87% | 6.53% | 6.92% | 7.87% | |||
SINCE INCEPTION(1) | 12.23% | 12.61% | 12.50% | 2.69% | 2.77% | 2.75% | |||
(1) | For the period February 23, 2015 to June 30, 2019. |
(Based on Net Asset Value)
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Description | % of Net Assets | ||
Treasury Bill 2.51% 2/27/2020 | 2.8% | ||
Treasury Bill 2.51% 1/2/2020 | 2.8 | ||
Treasury Bill 2.39% 10/17/2019 | 2.7 | ||
Treasury Notes 2.13% 2/29/2024 | 2.4 | ||
Treasury Notes 2.13% 7/31/2024 | 2.2 | ||
TOTAL | 12.9% |
% of Net Assets | |||
U.S. Government Agency Obligations | 40.5% | ||
U.S. Treasury Obligations | 23.3 | ||
Mortgage-Backed Securities | 5.0 | ||
Commercial Mortgage Backed Securities | 4.2 | ||
Asset-Backed Securities | 2.1 | ||
Foreign Government Obligations | 1.1 | ||
Banks | 3.3 | ||
Oil & Gas | 1.6 | ||
Telecommunications | 1.5 | ||
Electric | 1.5 | ||
Health Care Services | 1.0 | ||
Diversified Financial Services | 1.0 | ||
Food | 0.9 | ||
Media | 0.7 | ||
Pipelines | 0.7 | ||
Software | 0.6 | ||
Chemicals | 0.6 | ||
Real Estate Investment Trusts | 0.6 | ||
Pharmaceuticals | 0.6 | ||
Commercial Services | 0.5 | ||
Retail | 0.5 | ||
Lodging | 0.5 | ||
Insurance | 0.4 | ||
Mining | 0.4 | ||
Internet | 0.4 | ||
Energy-Alternate Sources | 0.3 | ||
Agriculture | 0.3 | ||
Transportation | 0.3 | ||
Packaging & Containers | 0.2 | ||
Forest Products & Paper | 0.2 | ||
Machinery-Diversified | 0.2 | ||
Airlines | 0.2 | ||
Beverages | 0.2 |
Table of Contents
% of Net Assets | |||
Leisure Time | 0.2% | ||
Entertainment | 0.1 | ||
Auto Parts & Equipment | 0.1 | ||
Gas | 0.1 | ||
Health Care Products | 0.1 | ||
Investment Company Security | 0.1 | ||
Iron/Steel | 0.1 | ||
Aerospace & Defense | 0.1 | ||
Machinery, Construction & Mining | 0.1 | ||
Environmental Control | 0.1 | ||
Building Materials | 0.1 | ||
Auto Manufacturers | 0.1 | ||
Food Service | 0.1 | ||
Oil & Gas Services | 0.1 | ||
Biotechnology | 0.1 | ||
IT Services | 0.1 | ||
Trucking & Leasing | 0.1 | ||
Real Estate | 0.1 | ||
Coal | 0.1 | ||
Miscellaneous Manufacturer | 0.1 | ||
Household Products & Wares | 0.1 | ||
Toys/Games/Hobbies | 0.1 | ||
Construction Materials | 0.0* | ||
Engineering & Construction | 0.0* | ||
Electronics | 0.0* | ||
Distribution & Wholesale | 0.0* | ||
Computers | 0.0* | ||
Holding Companies-Divers | 0.0* | ||
Home Furnishings | 0.0* | ||
Hand & Machine Tools | 0.0* | ||
Electrical Components & Equipment | 0.0* | ||
Apparel | 0.0* | ||
Home Builders | 0.0* | ||
Metal Fabricate & Hardware | 0.0* | ||
Short-Term Investment | 2.5 | ||
Liabilities in Excess of Other Assets | (0.2) | ||
TOTAL | 100.0% |
* | Amount shown represents less than 0.05% of net assets. |
Table of Contents
Security Description | Principal Amount | Value | ||||
CORPORATE BONDS & NOTES — 86.5% | ||||||
ARGENTINA — 3.3% | ||||||
Banco Macro SA Series REGS, USD 5 Year Swap Rate + 5.46%, 6.75%, 11/4/2026 (a) | $800,000 | $688,824 | ||||
Pampa Energia SA Series REGS, 7.50%, 1/24/2027 | 750,000 | 696,278 | ||||
YPF SA: | ||||||
Series REGS, 6.95%, 7/21/2027 | 200,000 | 182,088 | ||||
Series REGS, 8.50%, 7/28/2025 | 550,000 | 550,033 | ||||
2,117,223 | ||||||
BRAZIL — 5.7% | ||||||
Banco BTG Pactual SA 5 Year CMT + 5.26%, 7.75%, 2/15/2029 (a) | 500,000 | 522,265 | ||||
Banco do Brasil SA Series REGS, 10 Year CMT + 4.40%, 6.25%, 4/15/2024 (a) | 1,000,000 | 950,690 | ||||
Braskem Finance, Ltd. 6.45%, 2/3/2024 | 600,000 | 663,576 | ||||
CSN Islands XII Corp. Series REGS, 7.00%, 9/23/2019 | 900,000 | 810,117 | ||||
CSN Resources SA 7.63%, 4/17/2026 (b) | 200,000 | 211,680 | ||||
MARB BondCo PLC Series REGS, 6.88%, 1/19/2025 | 300,000 | 312,018 | ||||
Votorantim Cimentos International SA Series REGS, 7.25%, 4/5/2041 | 200,000 | 238,350 | ||||
3,708,696 | ||||||
CANADA — 0.5% | ||||||
Canacol Energy, Ltd. Series REGS, 7.25%, 5/3/2025 | 200,000 | 208,220 | ||||
Stoneway Capital Corp. Series REGS, 10.00%, 3/1/2027 | 138,826 | 130,988 | ||||
339,208 | ||||||
CAYMAN ISLANDS — 1.3% | ||||||
CK Hutchison Capital Securities 17, Ltd. Series REGS, 5 Year CMT + 2.07%, 4.00%, 5/12/2022 (a) | 837,000 | 835,820 | ||||
CHILE — 7.3% | ||||||
Banco del Estado de Chile 2.67%, 1/8/2021 (b) | 300,000 | 300,810 | ||||
Banco Santander Chile Series REGS, 3.88%, 9/20/2022 | 263,000 | 272,778 | ||||
Celulosa Arauco y Constitucion SA 5.50%, 4/30/2049 (b) | 400,000 | 422,640 | ||||
Empresa Electrica Angamos SA Series REGS, 4.88%, 5/25/2029 | 173,900 | 180,675 | ||||
Empresa Nacional de Telecomunicaciones SA Series REGS, 4.75%, 8/1/2026 | 1,100,000 | 1,154,406 | ||||
GNL Quintero SA Series REGS, 4.63%, 7/31/2029 | 200,000 | 211,310 | ||||
Inversiones CMPC SA Series REGS, 4.50%, 4/25/2022 | 700,000 | 725,431 | ||||
SACI Falabella Series REGS, 3.75%, 4/30/2023 | 1,000,000 | 1,026,010 | ||||
Sociedad Quimica y Minera de Chile SA Series REGS, 4.38%, 1/28/2025 | 400,000 | 420,736 | ||||
4,714,796 |
Table of Contents
Security Description | Principal Amount | Value | |||
CHINA — 3.3% | |||||
CNOOC Finance 2011, Ltd. Series REGS, 4.25%, 1/26/2021 | $200,000 | $205,178 | |||
CNPC General Capital, Ltd. Series REGS, 3.95%, 4/19/2022 | 300,000 | 310,443 | |||
Gran Tierra Energy International Holdings, Ltd. Series REGS, 6.25%, 2/15/2025 | 600,000 | 558,912 | |||
Sinopec Group Overseas Development 2016, Ltd.: | |||||
Series REGS, 2.75%, 5/3/2021 | 400,000 | 401,160 | |||
Series REGS, 2.75%, 9/29/2026 | 700,000 | 684,012 | |||
2,159,705 | |||||
COLOMBIA — 2.9% | |||||
Banco de Bogota SA Series REGS, 6.25%, 5/12/2026 | 200,000 | 220,786 | |||
Bancolombia SA 6.13%, 7/26/2020 | 400,000 | 412,788 | |||
Grupo Aval, Ltd. Series REGS, 4.75%, 9/26/2022 | 1,200,000 | 1,239,684 | |||
1,873,258 | |||||
HONG KONG — 0.6% | |||||
CK Hutchison International 17, Ltd. Series REGS, 2.88%, 4/5/2022 | 400,000 | 403,376 | |||
INDIA — 9.6% | |||||
Adani Ports & Special Economic Zone, Ltd.: | |||||
Series REGS, 3.50%, 7/29/2020 | 500,000 | 502,865 | |||
Series REGS, 3.95%, 1/19/2022 | 400,000 | 408,096 | |||
Bharat Petroleum Corp., Ltd.: | |||||
Series EMTN, 4.00%, 5/8/2025 | 500,000 | 514,200 | |||
4.63%, 10/25/2022 | 600,000 | 631,662 | |||
Bharti Airtel International Netherlands B.V. Series REGS, 5.13%, 3/11/2023 | 700,000 | 736,274 | |||
Bharti Airtel, Ltd. Series REGS, 4.38%, 6/10/2025 | 500,000 | 507,550 | |||
Indian Oil Corp., Ltd. 5.75%, 8/1/2023 | 800,000 | 875,624 | |||
ONGC Videsh Vankorneft Pte, Ltd. 3.75%, 7/27/2026 | 600,000 | 607,845 | |||
ONGC Videsh, Ltd. 4.63%, 7/15/2024 | 250,000 | 264,354 | |||
Reliance Holding USA, Inc. Series REGS, 5.40%, 2/14/2022 | 800,000 | 848,896 | |||
Vedanta Resources PLC Series REGS, 6.13%, 8/9/2024 | 400,000 | 366,716 | |||
6,264,082 | |||||
INDONESIA — 5.2% | |||||
Pertamina Persero PT Series REGS, 4.88%, 5/3/2022 | 1,500,000 | 1,581,120 | |||
Perusahaan Listrik Negara PT Series REGS, 5.50%, 11/22/2021 | 1,500,000 | 1,592,700 | |||
Star Energy Geothermal Wayang Windu, Ltd. Series REGS, 6.75%, 4/24/2033 | 191,600 | 193,539 | |||
3,367,359 |
Table of Contents
Security Description | Principal Amount | Value | |||
IRELAND — 0.8% | |||||
C&W Senior Financing DAC 7.50%, 10/15/2026 (b) | $500,000 | $523,345 | |||
ISRAEL — 0.3% | |||||
Israel Electric Corp., Ltd. Series 6, 5.00%, 11/12/2024 (b) | 200,000 | 216,546 | |||
JAMAICA — 0.1% | |||||
Digicel Group Two, Ltd. PIK, 9.13%, 4/1/2024 (b) | 401,711 | 90,385 | |||
LUXEMBOURG — 2.7% | |||||
JSL Europe SA Series REGS, 7.75%, 7/26/2024 | 300,000 | 308,631 | |||
Minerva Luxembourg SA Series REGS, 5.88%, 1/19/2028 | 600,000 | 599,580 | |||
Raizen Fuels Finance SA Series REGS, 5.30%, 1/20/2027 | 800,000 | 852,272 | |||
1,760,483 | |||||
MALAYSIA — 7.3% | |||||
Axiata SPV2 Bhd Series 2, 3.47%, 11/19/2020 | 1,000,000 | 1,010,974 | |||
Gohl Capital, Ltd.: | |||||
4.25%, 1/24/2027 | 800,000 | 823,502 | |||
4.25%, 1/24/2027 | 200,000 | 206,062 | |||
Malayan Banking Bhd USD 5 Year Swap Rate + 2.54%, 3.91%, 10/29/2026 (a) | 1,000,000 | 1,014,630 | |||
Malaysia Sovereign Sukuk Bhd Series REGS, 3.04%, 4/22/2025 | 800,000 | 823,288 | |||
Malaysia Sukuk Global Bhd Series REGS, 3.18%, 4/27/2026 | 250,000 | 256,865 | |||
Petronas Capital, Ltd. Series REGS, 3.50%, 3/18/2025 | 600,000 | 627,066 | |||
4,762,387 | |||||
MAURITIUS — 0.9% | |||||
UPL Corp., Ltd. 4.50%, 3/8/2028 | 550,000 | 561,121 | |||
MEXICO — 10.9% | |||||
Banco Mercantil del Norte SA Series REGS, 10 Year CMT + 5.35%, 7.63%, 1/10/2028 (a) | 700,000 | 716,212 | |||
Banco Santander Mexico SA 5 Year CMT + 3.00%, 5.95%, 10/1/2028 (a)(b) | 350,000 | 370,797 | |||
BBVA Bancomer SA: | |||||
Series REGS, 5 Year CMT + 2.65%, 5.13%, 1/18/2033 (a) | 1,000,000 | 954,650 | |||
Series REGS, 5 Year CMT + 3.00%, 5.35%, 11/12/2029 (a) | 200,000 | 197,038 | |||
Coca-Cola Femsa SAB de CV 3.88%, 11/26/2023 | 300,000 | 315,633 | |||
Cometa Energia SA de CV Series REGS, 6.38%, 4/24/2035 | 1,560,000 | 1,607,393 | |||
Credito Real SAB de CV: | |||||
9.50%, 2/7/2026 (b) | 400,000 | 440,928 | |||
Series REGS, 5 Year CMT + 7.03%, 9.13%, 11/29/2022 (a) | 200,000 | 202,354 | |||
El Puerto de Liverpool SAB de CV 3.88%, 10/6/2026 | 400,000 | 395,588 | |||
Fomento Economico Mexicano SAB de CV 2.88%, 5/10/2023 | 600,000 | 598,698 |
Table of Contents
Security Description | Principal Amount | Value | |||
Grupo Idesa SA de CV Series REGS, 7.88%, 12/18/2020 | $200,000 | $149,512 | |||
Mexichem SAB de CV Series REGS, 5.88%, 9/17/2044 | 400,000 | 414,884 | |||
Unifin Financiera SAB de CV Series REGS, 5 Year CMT + 6.31%, 8.88%, 1/29/2025 (a) | 800,000 | 734,712 | |||
7,098,399 | |||||
NETHERLANDS — 4.7% | |||||
Minejesa Capital B.V.: | |||||
Series REGS, 4.63%, 8/10/2030 | 800,000 | 810,440 | |||
Series REGS, 5.63%, 8/10/2037 | 800,000 | 842,136 | |||
Syngenta Finance NV Series REGS, 5.68%, 4/24/2048 | 1,400,000 | 1,383,046 | |||
3,035,622 | |||||
PANAMA — 4.1% | |||||
Aeropuerto Internacional de Tocumen SA 5.63%, 5/18/2036 | 530,000 | 592,275 | |||
Banco General SA Series REGS, 4.13%, 8/7/2027 | 600,000 | 610,614 | |||
Empresa de Transmision Electrica SA 5.13%, 5/2/2049 (b) | 500,000 | 545,825 | |||
Global Bank Corp.: | |||||
Series REGS, 4.50%, 10/20/2021 | 600,000 | 617,094 | |||
3 Month USD LIBOR + 3.30%, 5.25%, 4/16/2029 (a)(b) | 300,000 | 313,104 | |||
2,678,912 | |||||
PERU — 1.7% | |||||
BBVA Banco Continental SA Series REGS, 5.00%, 8/26/2022 | 100,000 | 106,018 | |||
Kallpa Generacion SA Series REGS, 4.13%, 8/16/2027 | 1,000,000 | 1,029,010 | |||
1,135,028 | |||||
PHILIPPINES — 1.5% | |||||
BDO Unibank, Inc.: | |||||
Series EMTN, 2.63%, 10/24/2021 | 450,000 | 448,283 | |||
Series EMTN, 2.95%, 3/6/2023 | 500,000 | 499,000 | |||
947,283 | |||||
SINGAPORE — 8.9% | |||||
DBS Group Holdings, Ltd.: | |||||
Series GMTN, USD 5 Year Swap Rate + 2.39%, 3.60%, 9/7/2021 (a) | 1,300,000 | 1,294,800 | |||
USD 5 Year Swap Rate + 2.39%, 3.60%, 9/7/2021 (a) | 300,000 | 299,490 | |||
LLPL Capital Pte, Ltd. 6.88%, 2/4/2039 (b) | 400,000 | 456,640 | |||
ONGC Videsh Vankorneft Pte, Ltd. 2.88%, 1/27/2022 | 400,000 | 398,355 | |||
PSA International Pte, Ltd. Series GMTN, 3.88%, 2/11/2021 | 650,000 | 666,376 | |||
Temasek Financial I, Ltd. Series REGS, 2.38%, 1/23/2023 | 1,400,000 | 1,409,044 | |||
United Overseas Bank, Ltd.: |
Table of Contents
Security Description | Principal Amount | Value | ||||
Series EMTN, USD 5 Year Swap Rate + 1.79%, 3.88%, 10/19/2023 (a) | $1,100,000 | $1,083,863 | ||||
Series EMTN, USD 5 Year Swap Rate + 2.24%, 3.50%, 9/16/2026 (a) | 200,000 | 202,146 | ||||
5,810,714 | ||||||
SPAIN — 2.1% | ||||||
AI Candelaria Spain SLU: | ||||||
7.50%, 12/15/2028 (b) | 400,000 | 438,328 | ||||
Series REGS, 7.50%, 12/15/2028 | 823,000 | 904,518 | ||||
1,342,846 | ||||||
UNITED KINGDOM — 0.6% | ||||||
Radiant Access, Ltd. 4.60%, 5/18/2020 | 400,000 | 388,716 | ||||
UNITED STATES — 0.2% | ||||||
Freeport-McMoRan, Inc. 5.40%, 11/14/2034 | 100,000 | 95,311 | ||||
TOTAL CORPORATE BONDS & NOTES (Cost $54,438,157) | 56,230,621 | |||||
FOREIGN GOVERNMENT OBLIGATIONS — 12.1% | ||||||
ARGENTINA — 2.1% | ||||||
Argentine Republic Government International Bond: | ||||||
5.88%, 1/11/2028 | 200,000 | 151,682 | ||||
6.63%, 7/6/2028 | 350,000 | 271,022 | ||||
6.88%, 1/26/2027 | 650,000 | 518,817 | ||||
Provincia de Buenos Aires Series REGS, 7.88%, 6/15/2027 | 600,000 | 444,402 | ||||
1,385,923 | ||||||
CHILE — 1.3% | ||||||
Chile Government International Bond: | ||||||
3.13%, 3/27/2025 | 200,000 | 208,224 | ||||
3.13%, 1/21/2026 | 600,000 | 624,564 | ||||
832,788 | ||||||
COLOMBIA — 0.4% | ||||||
Colombia Government International Bond 5.20%, 5/15/2049 | 200,000 | 227,490 | ||||
INDIA — 0.8% | ||||||
Export-Import Bank of India Series EMTN, 4.00%, 1/14/2023 | 500,000 | 516,363 | ||||
INDONESIA — 3.0% | ||||||
Indonesia Government International Bond 3.75%, 4/25/2022 | 1,000,000 | 1,026,210 | ||||
Perusahaan Penerbit SBSN Indonesia III Series 144A, 4.15%, 3/29/2027 (b) | 900,000 | 942,678 | ||||
1,968,888 |
Table of Contents
Security Description | Principal Amount | Value | |||
MEXICO — 1.6% | |||||
Mexico Government International Bond: | |||||
3.75%, 1/11/2028 | $200,000 | $203,726 | |||
4.00%, 10/2/2023 | 300,000 | 313,212 | |||
4.15%, 3/28/2027 | 500,000 | 523,680 | |||
1,040,618 | |||||
PANAMA — 1.3% | |||||
Panama Government International Bond 4.00%, 9/22/2024 | 800,000 | 853,032 | |||
PERU — 0.3% | |||||
Fondo MIVIVIENDA SA Series REGS, 3.50%, 1/31/2023 | 200,000 | 203,406 | |||
PHILIPPINES — 1.3% | |||||
Philippine Government International Bond: | |||||
4.00%, 1/15/2021 | 300,000 | 307,893 | |||
4.20%, 1/21/2024 | 500,000 | 538,870 | |||
846,763 | |||||
TOTAL FOREIGN GOVERNMENT OBLIGATIONS (Cost $8,038,447) | 7,875,271 |
Shares | |||
SHORT-TERM INVESTMENT — 0.1% | |||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 2.35% (c) (d) (Cost $85,220) | 85,220 | 85,220 | |
TOTAL INVESTMENTS — 98.7% (Cost $62,561,824) | 64,191,112 | ||
OTHER ASSETS IN EXCESS OF LIABILITIES — 1.3% | 859,152 | ||
NET ASSETS — 100.0% | $65,050,264 |
(a) | Variable Rate Security - Interest rate shown is rate in effect at June 30, 2019. For securities based on a published reference rate and spread, the reference rate and spread are indicated in the description above. |
(b) | Securities purchased pursuant to Rule 144A of the Securities Act of 1933, as amended. These securities, which represent 8.1% of net assets as of June 30, 2019, are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
(c) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2019 are shown in the Affiliate Table below. |
(d) | The rate shown is the annualized seven-day yield at June 30, 2019. |
Table of Contents
CMT | = Constant Maturity Treasury |
LIBOR | = London Interbank Offered Rate |
PIK | = Payment in Kind |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Corporate Bonds & Notes | $— | $56,230,621 | $— | $56,230,621 | ||||
Foreign Government Obligations | — | 7,875,271 | — | 7,875,271 | ||||
Short-Term Investment | 85,220 | — | — | 85,220 | ||||
TOTAL INVESTMENTS | $85,220 | $64,105,892 | $— | $64,191,112 |
Number of Shares Held at 6/30/18 | Value at 6/30/18 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 6/30/19 | Value at 6/30/19 | Dividend Income | |||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 3,529,453 | $3,529,453 | $34,252,365 | $37,696,598 | $— | $— | 85,220 | $85,220 | $57,496 |
Table of Contents
Security Description | Principal Amount | Value | |||
CORPORATE BONDS & NOTES — 28.4% | |||||
ADVERTISING — 0.3% | |||||
Omnicom Group, Inc./Omnicom Capital, Inc. 3.63%, 5/1/2022 | $375,000 | $386,842 | |||
AEROSPACE & DEFENSE — 0.4% | |||||
Bombardier, Inc. 6.00%, 10/15/2022 (a) | 45,000 | 45,193 | |||
Northrop Grumman Corp. 2.08%, 10/15/2020 | 392,000 | 391,385 | |||
TransDigm, Inc.: | |||||
6.25%, 3/15/2026 (a) | 50,000 | 52,389 | |||
6.38%, 6/15/2026 | 25,000 | 25,194 | |||
514,161 | |||||
AGRICULTURE — 0.7% | |||||
Altria Group, Inc. 3.49%, 2/14/2022 | 215,000 | 220,788 | |||
BAT Capital Corp. 2.30%, 8/14/2020 | 520,000 | 518,877 | |||
Reynolds American, Inc. 3.25%, 6/12/2020 | 65,000 | 65,442 | |||
805,107 | |||||
AIRLINES — 0.5% | |||||
Delta Air Lines, Inc. 3.40%, 4/19/2021 | 410,000 | 415,572 | |||
Latam Finance, Ltd. Series REGS, 6.88%, 4/11/2024 | 200,000 | 208,132 | |||
623,704 | |||||
AUTO MANUFACTURERS — 0.8% | |||||
Allison Transmission, Inc. 5.00%, 10/1/2024 (a) | 85,000 | 86,887 | |||
Daimler Finance North America LLC 2.30%, 2/12/2021 (a) | 560,000 | 558,006 | |||
General Motors Financial Co., Inc. 3.20%, 7/6/2021 | 370,000 | 372,705 | |||
1,017,598 | |||||
AUTO PARTS & EQUIPMENT — 0.0% (b) | |||||
Panther BF Aggregator 2 L.P./Panther Finance Co., Inc. 6.25%, 5/15/2026 (a) | 55,000 | 57,155 |
Table of Contents
Security Description | Principal Amount | Value | |||
BANKS — 5.2% | |||||
Banco de Credito del Peru: | |||||
Series REGS, 4.25%, 4/1/2023 | $100,000 | $104,766 | |||
Series REGS, 5.38%, 9/16/2020 | 90,000 | 92,741 | |||
Banco de Reservas de la Republica Dominicana Series REGS, 7.00%, 2/1/2023 | 150,000 | 154,685 | |||
Banco Mercantil del Norte SA Series REGS, 5 Year CMT + 5.04%, 6.88%, 7/6/2022 (c) | 200,000 | 202,458 | |||
Banco Santander Mexico SA 5 Year CMT + 3.00%, 5.95%, 10/1/2028 (a) (c) | 200,000 | 211,884 | |||
Bancolombia SA 5 Year CMT + 2.93%, 4.88%, 10/18/2027 (c) | 200,000 | 205,010 | |||
Bank of America Corp. Series MTN, 3 Month USD LIBOR + 0.79%, 3.27%, 3/5/2024 (c) | 370,000 | 370,244 | |||
Bank of Montreal Series MTN, 2.90%, 3/26/2022 | 405,000 | 411,253 | |||
BBVA Bancomer SA Series REGS, 5 Year CMT + 3.00%, 5.35%, 11/12/2029 (c) | 200,000 | 197,038 | |||
BDO Unibank, Inc. Series EMTN, 2.63%, 10/24/2021 | 200,000 | 199,237 | |||
Citigroup, Inc. 3 Month USD LIBOR + 1.02%, 3.54%, 6/1/2024 (c) | 605,000 | 608,146 | |||
DBS Group Holdings, Ltd. Series GMTN, USD 5 Year Swap Rate + 2.39%, 3.60%, 9/7/2021 (c) | 200,000 | 199,200 | |||
Global Bank Corp. Series REGS, 4.50%, 10/20/2021 | 200,000 | 205,698 | |||
Itau Unibanco Holding SA Series REGS, 6.20%, 12/21/2021 | 200,000 | 212,398 | |||
JPMorgan Chase & Co. 3 Month USD LIBOR + 0.70%, 3.21%, 4/1/2023 (c) | 400,000 | 408,020 | |||
Malayan Banking Bhd USD 5 Year Swap Rate + 2.54%, 3.91%, 10/29/2026 (c) | 200,000 | 203,088 | |||
Mitsubishi UFJ Financial Group, Inc. 3.22%, 3/7/2022 | 305,000 | 311,423 | |||
Morgan Stanley 3 Month USD LIBOR + 0.93%, 3.52%, 7/22/2022 (c) | 595,000 | 598,695 | |||
Oversea-Chinese Banking Corp., Ltd. Series REGS, 4.25%, 6/19/2024 | 200,000 | 211,068 | |||
Sumitomo Mitsui Financial Group, Inc. 2.06%, 7/14/2021 | 600,000 | 596,874 | |||
Toronto-Dominion Bank Series MTN, 3.25%, 6/11/2021 | 395,000 | 402,865 |
Table of Contents
Security Description | Principal Amount | Value | |||
United Overseas Bank, Ltd. Series EMTN, USD 5 Year Swap Rate + 1.65%, 2.88%, 3/8/2027 (c) | $200,000 | $199,402 | |||
6,306,193 | |||||
BEVERAGES — 0.0% (b) | |||||
Cott Holdings, Inc. 5.50%, 4/1/2025 (a) | 60,000 | 61,133 | |||
BUILDING MATERIALS — 0.0% (b) | |||||
Builders FirstSource, Inc. 5.63%, 9/1/2024 (a) | 50,000 | 51,511 | |||
CHEMICALS — 0.5% | |||||
DowDuPont, Inc. 3.77%, 11/15/2020 | 140,000 | 142,661 | |||
Sherwin-Williams Co. 2.25%, 5/15/2020 | 212,000 | 211,585 | |||
UPL Corp., Ltd. Series REGS, 3.25%, 10/13/2021 | 200,000 | 200,638 | |||
554,884 | |||||
COAL — 0.1% | |||||
Peabody Energy Corp. 6.00%, 3/31/2022 (a) | 70,000 | 71,767 | |||
COMMERCIAL SERVICES — 0.8% | |||||
Allied Universal Holdco LLC/Allied Universal Finance Corp. 6.63%, 7/15/2026 | 50,000 | 50,812 | |||
Cintas Corp. No. 2 2.90%, 4/1/2022 | 590,000 | 599,405 | |||
Financial & Risk US Holdings, Inc. 6.25%, 5/15/2026 (a) | 65,000 | 66,901 | |||
Garda World Security Corp. 8.75%, 5/15/2025 (a) | 50,000 | 49,527 | |||
Star Merger Sub, Inc. 6.88%, 8/15/2026 (a) | 50,000 | 52,820 | |||
United Rentals North America, Inc.: | |||||
5.25%, 1/15/2030 | 35,000 | 35,997 | |||
6.50%, 12/15/2026 | 55,000 | 59,489 | |||
Verscend Escrow Corp. 9.75%, 8/15/2026 (a) | 50,000 | 52,005 | |||
966,956 | |||||
COMPUTERS — 0.0% (b) | |||||
Tempo Acquisition LLC/Tempo Acquisition Finance Corp. 6.75%, 6/1/2025 (a) | 50,000 | 51,507 |
Table of Contents
Security Description | Principal Amount | Value | |||
DIVERSIFIED FINANCIAL SERVICES — 1.5% | |||||
Air Lease Corp. 2.50%, 3/1/2021 | $185,000 | $184,944 | |||
American Express Co. 3.70%, 11/5/2021 | 400,000 | 411,936 | |||
Banco BTG Pactual SA Series REGS, 5.75%, 9/28/2022 | 200,000 | 207,388 | |||
Capital One Financial Corp. 2.40%, 10/30/2020 | 502,000 | 502,447 | |||
Icahn Enterprises L.P./Icahn Enterprises Finance Corp. 6.38%, 12/15/2025 | 35,000 | 35,775 | |||
Lions Gate Capital Holdings LLC 6.38%, 2/1/2024 (a) | 70,000 | 73,562 | |||
NFP Corp. 6.88%, 7/15/2025 (a) | 75,000 | 74,186 | |||
Springleaf Finance Corp. 6.63%, 1/15/2028 | 40,000 | 42,001 | |||
Unifin Financiera SAB de CV 7.25%, 9/27/2023 | 200,000 | 206,400 | |||
Wand Merger Corp. 8.13%, 7/15/2023 (a) | 50,000 | 50,945 | |||
1,789,584 | |||||
ELECTRIC — 2.0% | |||||
AES Andres B.V./Dominican Power Partners/Empresa Generadora de Electricidad It Series REGS, 7.95%, 5/11/2026 | 200,000 | 216,872 | |||
AES Gener SA USD 5 Year Swap Rate + 4.64%, 7.13%, 3/26/2079 (a) (c) | 200,000 | 213,746 | |||
Calpine Corp. 5.25%, 6/1/2026 (a) | 55,000 | 55,996 | |||
Consolidated Edison, Inc.: | |||||
2.00%, 5/15/2021 | 445,000 | 442,819 | |||
Series A, 2.00%, 3/15/2020 | 50,000 | 49,821 | |||
Israel Electric Corp., Ltd. Series REGS, 6.88%, 6/21/2023 | 200,000 | 227,202 | |||
NextEra Energy Capital Holdings, Inc. 2.90%, 4/1/2022 | 390,000 | 396,123 | |||
NRG Energy, Inc. 5.25%, 6/15/2029 (a) | 40,000 | 42,698 | |||
Pampa Energia SA Series REGS, 7.38%, 7/21/2023 | 100,000 | 97,082 |
Table of Contents
Security Description | Principal Amount | Value | |||
Perusahaan Listrik Negara PT Series REGS, 5.50%, 11/22/2021 | $200,000 | $212,360 | |||
PSEG Power LLC 3.85%, 6/1/2023 | 330,000 | 343,814 | |||
Vistra Operations Co. LLC 5.63%, 2/15/2027 (a) | 100,000 | 105,860 | |||
2,404,393 | |||||
ENGINEERING & CONSTRUCTION — 0.1% | |||||
AECOM 5.13%, 3/15/2027 | 100,000 | 103,996 | |||
ENTERTAINMENT — 0.1% | |||||
Cedar Fair L.P. 5.25%, 7/15/2029 (a) | 40,000 | 40,892 | |||
Scientific Games International, Inc. 5.00%, 10/15/2025 (a) | 80,000 | 80,780 | |||
121,672 | |||||
ENVIRONMENTAL CONTROL — 0.4% | |||||
Clean Harbors, Inc. 4.88%, 7/15/2027 (a) (d) | 40,000 | 40,716 | |||
GFL Environmental, Inc. 8.50%, 5/1/2027 (a) | 25,000 | 26,882 | |||
Tervita Escrow Corp. 7.63%, 12/1/2021 (a) | 50,000 | 50,845 | |||
Waste Management, Inc. 2.95%, 6/15/2024 | 365,000 | 375,052 | |||
493,495 | |||||
FOOD — 1.2% | |||||
Albertsons Cos. LLC/Safeway, Inc./New Albertson's Inc./Albertson's LLC 7.50%, 3/15/2026 (a) | 65,000 | 69,418 | |||
B&G Foods, Inc. 5.25%, 4/1/2025 | 50,000 | 50,516 | |||
Grupo Bimbo SAB de CV Series REGS, 5 Year CMT + 3.28%, 5.95%, 4/17/2023 (c) | 200,000 | 210,126 | |||
JBS Investments GmbH Series REGS, 7.25%, 4/3/2024 | 200,000 | 207,776 | |||
JBS USA LUX SA/JBS USA Finance, Inc.: | |||||
5.75%, 6/15/2025 (a) | 5,000 | 5,198 | |||
5.88%, 7/15/2024 (a) | 10,000 | 10,289 | |||
6.75%, 2/15/2028 (a) | 50,000 | 54,288 |
Table of Contents
Security Description | Principal Amount | Value | |||
JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc. 6.50%, 4/15/2029 (a) | $40,000 | $43,448 | |||
MARB BondCo PLC Series REGS, 7.00%, 3/15/2024 | 200,000 | 208,000 | |||
Mondelez International, Inc. 3.00%, 5/7/2020 | 410,000 | 411,857 | |||
Pilgrim's Pride Corp. 5.88%, 9/30/2027 (a) | 70,000 | 72,397 | |||
Post Holdings, Inc.: | |||||
5.50%, 3/1/2025 (a) | 60,000 | 62,048 | |||
5.50%, 12/15/2029 (a) (d) | 20,000 | 20,115 | |||
1,425,476 | |||||
FOOD SERVICE — 0.1% | |||||
Aramark Services, Inc. 5.00%, 2/1/2028 (a) | 100,000 | 102,844 | |||
FOREST PRODUCTS & PAPER — 0.2% | |||||
Inversiones CMPC SA/Cayman Islands Branch Series REGS, 4.38%, 5/15/2023 | 200,000 | 207,922 | |||
HAND & MACHINE TOOLS — 0.1% | |||||
Colfax Corp. 6.38%, 2/15/2026 (a) | 70,000 | 75,167 | |||
HEALTH CARE PRODUCTS — 0.6% | |||||
Avantor, Inc. 9.00%, 10/1/2025 (a) | 65,000 | 72,390 | |||
Thermo Fisher Scientific, Inc. 3.60%, 8/15/2021 | 595,000 | 608,685 | |||
681,075 | |||||
HEALTH CARE SERVICES — 0.6% | |||||
Anthem, Inc. 2.50%, 11/21/2020 | 360,000 | 360,612 | |||
Centene Escrow I Corp. 5.38%, 6/1/2026 (a) | 100,000 | 105,260 | |||
Eagle Holding Co. II LLC 7.75%, 5/15/2022 (a) | 35,000 | 35,467 | |||
HCA, Inc. 5.38%, 9/1/2026 | 75,000 | 80,796 | |||
MPH Acquisition Holdings LLC 7.13%, 6/1/2024 (a) | 50,000 | 46,853 |
Table of Contents
Security Description | Principal Amount | Value | |||
WellCare Health Plans, Inc. 5.38%, 8/15/2026 (a) | $75,000 | $79,606 | |||
708,594 | |||||
HOLDING COMPANIES-DIVERS — 0.2% | |||||
CK Hutchison Capital Securities 17, Ltd. Series REGS, 5 Year CMT + 2.07%, 4.00%, 5/12/2022 (c) | 200,000 | 199,718 | |||
HOME FURNISHINGS — 0.1% | |||||
Tempur Sealy International, Inc. 5.50%, 6/15/2026 | 75,000 | 77,776 | |||
INSURANCE — 0.6% | |||||
Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer 8.25%, 8/1/2023 (a) | 50,000 | 51,206 | |||
Marsh & McLennan Cos., Inc. 3 Month USD LIBOR + 1.20%, 3.52%, 12/29/2021 (c) | 305,000 | 305,116 | |||
Prudential Financial, Inc.: | |||||
Series MTN, 4.50%, 11/15/2020 | 325,000 | 334,968 | |||
Series MTN, 4.50%, 11/16/2021 | 75,000 | 78,789 | |||
770,079 | |||||
INTERNET — 0.3% | |||||
eBay, Inc. 2.75%, 1/30/2023 | 370,000 | 371,961 | |||
Match Group, Inc. 5.00%, 12/15/2027 (a) | 55,000 | 57,673 | |||
429,634 | |||||
INVESTMENT COMPANY SECURITY — 0.4% | |||||
Grupo de Inversiones Suramericana SA Series REGS, 5.70%, 5/18/2021 | 200,000 | 209,802 | |||
Icahn Enterprises L.P./Icahn Enterprises Finance Corp. 6.25%, 5/15/2026 (a) | 55,000 | 55,554 | |||
Temasek Financial I, Ltd. Series REGS, 2.38%, 1/23/2023 | 250,000 | 251,615 | |||
516,971 | |||||
LEISURE TIME — 0.1% | |||||
Viking Cruises, Ltd. 5.88%, 9/15/2027 (a) | 65,000 | 65,798 | |||
LODGING — 0.1% | |||||
Hilton Domestic Operating Co., Inc. 4.25%, 9/1/2024 | 65,000 | 66,030 |
Table of Contents
Security Description | Principal Amount | Value | |||
MEDIA — 0.8% | |||||
CCO Holdings LLC/CCO Holdings Capital Corp. 5.75%, 2/15/2026 (a) | $95,000 | $99,925 | |||
Cengage Learning, Inc. 9.50%, 6/15/2024 (a) | 50,000 | 47,864 | |||
Comcast Corp. 3.45%, 10/1/2021 | 350,000 | 360,122 | |||
CSC Holdings LLC 5.25%, 6/1/2024 | 100,000 | 103,887 | |||
Gray Escrow, Inc. 7.00%, 5/15/2027 (a) | 50,000 | 54,215 | |||
iHeartCommunications, Inc.: | |||||
6.38%, 5/1/2026 | 15,000 | 15,915 | |||
8.38%, 5/1/2027 | 10,000 | 10,467 | |||
Sirius XM Radio, Inc.: | |||||
5.38%, 7/15/2026 (a) | 70,000 | 72,631 | |||
5.50%, 7/1/2029 (a) | 30,000 | 30,809 | |||
VTR Finance B.V. Series REGS, 6.88%, 1/15/2024 | 200,000 | 206,658 | |||
1,002,493 | |||||
MINING — 0.3% | |||||
Freeport-McMoRan, Inc. 4.55%, 11/14/2024 | 200,000 | 204,536 | |||
Vedanta Resources PLC Series REGS, 7.13%, 5/31/2023 | 200,000 | 197,306 | |||
401,842 | |||||
MISCELLANEOUS MANUFACTURER — 0.3% | |||||
General Electric Co. 2.70%, 10/9/2022 | 320,000 | 319,542 | |||
OIL & GAS — 1.8% | |||||
CNOOC Finance 2013, Ltd. 3.00%, 5/9/2023 | 200,000 | 201,924 | |||
CNPC General Capital, Ltd. Series REGS, 3.95%, 4/19/2022 | 200,000 | 206,962 | |||
Ecopetrol SA 5.88%, 9/18/2023 | 200,000 | 221,446 | |||
Gulfport Energy Corp. 6.38%, 5/15/2025 | 45,000 | 34,808 | |||
Hilcorp Energy I L.P./Hilcorp Finance Co. 6.25%, 11/1/2028 (a) | 45,000 | 45,334 |
Table of Contents
Security Description | Principal Amount | Value | |||
Indian Oil Corp., Ltd. 5.63%, 8/2/2021 | $200,000 | $210,974 | |||
Indigo Natural Resources LLC 6.88%, 2/15/2026 (a) | 25,000 | 22,500 | |||
Oasis Petroleum, Inc. 6.88%, 3/15/2022 | 20,000 | 19,959 | |||
ONGC Videsh, Ltd. 3.75%, 5/7/2023 | 200,000 | 204,385 | |||
Parkland Fuel Corp. 5.88%, 7/15/2027 (a) (d) | 40,000 | 40,717 | |||
Parsley Energy LLC/Parsley Finance Corp. 5.63%, 10/15/2027 (a) | 70,000 | 73,229 | |||
Pertamina Persero PT Series REGS, 4.88%, 5/3/2022 | 200,000 | 210,816 | |||
Petrobras Global Finance B.V. 5.30%, 1/27/2025 | 150,000 | 159,132 | |||
QEP Resources, Inc. 5.63%, 3/1/2026 | 40,000 | 37,580 | |||
Sinopec Group Overseas Development 2016, Ltd. Series REGS, 2.00%, 9/29/2021 | 200,000 | 197,474 | |||
Sunoco L.P./Sunoco Finance Corp. 6.00%, 4/15/2027 (a) | 70,000 | 73,476 | |||
Transocean Poseidon, Ltd. 6.88%, 2/1/2027 (a) | 75,000 | 79,325 | |||
Transocean, Inc. 7.25%, 11/1/2025 (a) | 25,000 | 23,756 | |||
YPF SA Series REGS, 8.50%, 3/23/2021 | 150,000 | 153,026 | |||
2,216,823 | |||||
OIL & GAS SERVICES — 0.3% | |||||
Schlumberger Holdings Corp. 3.75%, 5/1/2024 (a) | 290,000 | 302,551 | |||
USA Compression Partners L.P./USA Compression Finance Corp. 6.88%, 9/1/2027 (a) | 80,000 | 83,974 | |||
386,525 | |||||
PACKAGING & CONTAINERS — 0.6% | |||||
Crown Americas LLC/Crown Americas Capital Corp. 4.75%, 2/1/2026 | 75,000 | 77,075 | |||
Flex Acquisition Co., Inc. 6.88%, 1/15/2025 (a) | 30,000 | 27,160 |
Table of Contents
Security Description | Principal Amount | Value | |||
Packaging Corp. of America 2.45%, 12/15/2020 | $590,000 | $589,546 | |||
693,781 | |||||
PHARMACEUTICALS — 2.1% | |||||
AstraZeneca PLC 2.38%, 11/16/2020 | 605,000 | 605,508 | |||
Bausch Health Cos., Inc.: | |||||
5.75%, 8/15/2027 (a) | 50,000 | 52,530 | |||
7.00%, 1/15/2028 (a) | 35,000 | 36,255 | |||
7.25%, 5/30/2029 (a) | 35,000 | 36,384 | |||
Bristol-Myers Squibb Co. 2.60%, 5/16/2022 (a) | 395,000 | 399,795 | |||
Cardinal Health, Inc. 2.62%, 6/15/2022 | 595,000 | 598,475 | |||
Cigna Corp. 3.40%, 9/17/2021 (a) | 385,000 | 392,457 | |||
CVS Health Corp. 2.80%, 7/20/2020 | 385,000 | 386,024 | |||
2,507,428 | |||||
PIPELINES — 0.3% | |||||
Antero Midstream Partners L.P./Antero Midstream Finance Corp. 5.75%, 3/1/2027 (a) | 90,000 | 89,994 | |||
Cheniere Energy Partners L.P. 5.63%, 10/1/2026 (a) | 90,000 | 94,959 | |||
NGL Energy Partners L.P./NGL Energy Finance Corp. 7.50%, 4/15/2026 (a) | 25,000 | 26,022 | |||
Oleoducto Central SA Series REGS, 4.00%, 5/7/2021 | 200,000 | 203,512 | |||
414,487 | |||||
REAL ESTATE INVESTMENT TRUSTS — 0.2% | |||||
ESH Hospitality, Inc. 5.25%, 5/1/2025 (a) | 75,000 | 76,772 | |||
MGM Growth Properties Operating Partnership L.P./MGP Finance Co-Issuer, Inc. 5.75%, 2/1/2027 (a) | 50,000 | 53,853 | |||
MPT Operating Partnership L.P./MPT Finance Corp. 5.25%, 8/1/2026 | 70,000 | 73,470 | |||
204,095 |
Table of Contents
Security Description | Principal Amount | Value | |||
RETAIL — 0.4% | |||||
1011778 BC ULC/New Red Finance, Inc. 5.00%, 10/15/2025 (a) | $50,000 | $50,437 | |||
Beacon Roofing Supply, Inc. 4.88%, 11/1/2025 (a) | 75,000 | 74,245 | |||
Carvana Co. 8.88%, 10/1/2023 (a) | 20,000 | 20,196 | |||
Golden Nugget, Inc. 6.75%, 10/15/2024 (a) | 60,000 | 61,807 | |||
PetSmart, Inc. 5.88%, 6/1/2025 (a) | 50,000 | 48,495 | |||
SACI Falabella Series REGS, 3.75%, 4/30/2023 | 200,000 | 205,202 | |||
Staples, Inc. 7.50%, 4/15/2026 (a) | 60,000 | 59,576 | |||
519,958 | |||||
SEMICONDUCTORS — 0.6% | |||||
Analog Devices, Inc. 2.95%, 1/12/2021 | 390,000 | 393,416 | |||
Microchip Technology, Inc. 3.92%, 6/1/2021 | 385,000 | 392,119 | |||
785,535 | |||||
SOFTWARE — 0.2% | |||||
CDK Global, Inc. 5.25%, 5/15/2029 (a) | 15,000 | 15,514 | |||
Genesys Telecommunications Laboratories, Inc./Greeneden Lux 3 Sarl/Greeneden US Holdings II LLC 10.00%, 11/30/2024 (a) | 45,000 | 48,934 | |||
Informatica LLC 7.13%, 7/15/2023 (a) | 80,000 | 81,354 | |||
SS&C Technologies, Inc. 5.50%, 9/30/2027 (a) | 85,000 | 88,281 | |||
234,083 | |||||
TELECOMMUNICATIONS — 1.6% | |||||
AT&T, Inc. 2.80%, 2/17/2021 | 360,000 | 362,254 | |||
Bharti Airtel International Netherlands B.V. Series REGS, 5.13%, 3/11/2023 | 200,000 | 210,364 | |||
C&W Senior Financing DAC Series REGS, 7.50%, 10/15/2026 | 200,000 | 209,338 |
Table of Contents
Security Description | Principal Amount | Value | |||
CommScope Finance LLC 5.50%, 3/1/2024 (a) | $75,000 | $76,963 | |||
Comunicaciones Celulares SA Via Comcel Trust 6.88%, 2/6/2024 | 200,000 | 207,020 | |||
Frontier Communications Corp. 8.00%, 4/1/2027 (a) | 50,000 | 52,051 | |||
Gogo Intermediate Holdings LLC/Gogo Finance Co., Inc. 9.88%, 5/1/2024 (a) | 50,000 | 51,321 | |||
GTT Communications, Inc. 7.88%, 12/31/2024 (a) | 50,000 | 40,866 | |||
Level 3 Financing, Inc. 5.38%, 1/15/2024 | 70,000 | 71,559 | |||
Millicom International Cellular SA Series REGS, 6.00%, 3/15/2025 | 200,000 | 207,600 | |||
Sprint Capital Corp. 6.88%, 11/15/2028 | 50,000 | 51,378 | |||
Sprint Corp. 7.13%, 6/15/2024 | 50,000 | 53,047 | |||
T-Mobile USA, Inc. 4.50%, 2/1/2026 | 75,000 | 76,867 | |||
Verizon Communications, Inc. 3 Month USD LIBOR + 1.10%, 3.62%, 5/15/2025 (c) | 330,000 | 334,184 | |||
2,004,812 | |||||
TRANSPORTATION — 0.5% | |||||
FedEx Corp. 3.40%, 1/14/2022 | 235,000 | 240,967 | |||
Union Pacific Corp. 3.20%, 6/8/2021 | 390,000 | 397,258 | |||
638,225 | |||||
TRUCKING & LEASING — 0.4% | |||||
Avolon Holdings Funding, Ltd.: | |||||
3.63%, 5/1/2022 (a) | 355,000 | 359,757 | |||
5.25%, 5/15/2024 (a) | 100,000 | 106,707 | |||
466,464 | |||||
TOTAL CORPORATE BONDS & NOTES (Cost $33,890,084) | 34,504,835 | ||||
ASSET-BACKED SECURITIES — 3.3% | |||||
AUTOMOBILE — 0.3% | |||||
Westlake Automobile Receivables Trust Series 2017-2A, Class C, 2.59%, 12/15/2022 (a) | 400,000 | 400,170 |
Table of Contents
Security Description | Principal Amount | Value | |||
OTHER ABS — 3.0% | |||||
Ajax Mortgage Loan Trust Series 2018-E, Class A, 4.38%, 6/25/2058 (a) (c) | $491,665 | $497,155 | |||
Arbor Realty Commercial Real Estate Notes 2018-FL1, Ltd. Series 2018-FL1, Class A, 1 Month USD LIBOR + 1.15%, 3.54%, 6/15/2028 (a) (c) | 71,000 | 71,377 | |||
BSPRT Issuer, Ltd. Series 2019-FL5, Class A, 1 Month USD LIBOR + 1.15%, 3.63%, 5/15/2029 (a) | 100,000 | 100,031 | |||
Consumer Loan Underlying Bond Credit Trust 2018-P1 Series 2018-P1, Class A, 3.39%, 7/15/2025 (a) | 228,948 | 229,556 | |||
LoanCore 2018-CRE1 Issuer, Ltd. Series 2018-CRE1, Class A, 1 Month USD LIBOR + 1.13%, 3.52%, 5/15/2028 (a) (c) | 100,000 | 99,850 | |||
LoanCore Issuer, Ltd. Series 2019-CRE2, Class AS, 1 Month USD LIBOR + 1.50%, 3.89%, 5/9/2036 (a) (c) | 100,000 | 100,125 | |||
Marathon CRE 2018 FL1, Ltd. Series 2018-FL1, Class A, 1 Month USD LIBOR + 1.15%, 3.54%, 6/15/2028 (a) (c) | 100,000 | 100,000 | |||
Marlette Funding Trust: | |||||
Series 2019-2A, Class A, 3.13%, 7/16/2029 (a) | 500,000 | 502,859 | |||
Series 2018-3A, Class A, 3.20%, 9/15/2028 (a) | 235,562 | 236,247 | |||
OneMain Financial Issuance Trust Series 2017-1A, Class A1, 2.37%, 9/14/2032 (a) | 250,000 | 249,511 | |||
Sofi Consumer Loan Program 2018-2 Trust Series 2018-2, Class A1, 2.93%, 4/26/2027 (a) | 70,578 | 70,628 | |||
Sofi Consumer Loan Program LLC: | |||||
Series 2017-6, Class A2, 2.82%, 11/25/2026 (a) | 300,000 | 300,534 | |||
Series 2017-1, Class A, 3.28%, 1/26/2026 (a) | 129,965 | 130,810 | |||
Textainer Marine Containers VII, Ltd. Series 2019-1A, Class A, 3.96%, 4/20/2044 (a) | 493,333 | 508,688 | |||
Vericrest Opportunity Loan Trust Series 2019-NPL3, Class A1, 3.97%, 3/25/2049 (a) (e) | 391,737 | 394,566 | |||
3,591,937 | |||||
TOTAL ASSET-BACKED SECURITIES (Cost $3,961,402) | 3,992,107 | ||||
FOREIGN GOVERNMENT OBLIGATIONS — 0.9% | |||||
BRAZIL — 0.3% | |||||
Banco Bradesco (Cayman) 5.90%, 1/16/2021 | 200,000 | 207,958 |
Table of Contents
Security Description | Principal Amount | Value | |||
Brazilian Government International Bond 4.88%, 1/22/2021 | $200,000 | $207,188 | |||
415,146 | |||||
COLOMBIA — 0.2% | |||||
Colombia Government International Bond 4.38%, 7/12/2021 | 200,000 | 207,144 | |||
DOMINICAN REPUBLIC — 0.2% | |||||
Dominican Republic International Bond Series REGS, 7.50%, 5/6/2021 | 200,000 | 210,862 | |||
INDONESIA — 0.2% | |||||
Indonesia Government International Bond Series REGS, 4.88%, 5/5/2021 | 200,000 | 207,746 | |||
TOTAL FOREIGN GOVERNMENT OBLIGATIONS (Cost $1,040,245) | 1,040,898 | ||||
U.S. GOVERNMENT AGENCY OBLIGATIONS — 23.1% | |||||
Federal Home Loan Mortgage Corp.: | |||||
3.50%, 9/1/2032 | 749,238 | 775,248 | |||
Series 264, Class F1, 1 Month USD LIBOR + 0.55%, 2.94%, 7/15/2042 (c) | 1,971,471 | 1,982,105 | |||
Series 4125, Class FH, 1 Month USD LIBOR + 0.35%, 2.74%, 11/15/2042 (c) | 763,940 | 759,097 | |||
Series 3798, Class FG, CMO, 1 Month USD LIBOR + 0.51%, 2.90%, 1/15/2041 (c) | 2,490,082 | 2,499,434 | |||
Series 4030, Class AN, CMO, REMIC, 1.75%, 4/15/2027 | 1,671,912 | 1,653,894 | |||
Series 4060, Class QA, CMO, REMIC, 1.50%, 9/15/2026 | 585,885 | 579,250 | |||
Series 4125, Class FA, CMO, REMIC, 1 Month USD LIBOR + 0.35%, 2.74%, 11/15/2042 (c) | 441,067 | 438,275 | |||
Series 4484, Class CD, CMO, REMIC, 1.75%, 7/15/2030 | 285,569 | 281,383 | |||
Series 4582, Class HA, CMO, REMIC, 3.00%, 9/15/2045 | 629,200 | 642,254 | |||
Series 4738, Class LA, CMO, REMIC, 3.00%, 11/15/2043 | 873,369 | 884,016 | |||
Series 4764, Class WF, CMO, REMIC, 1 Month USD LIBOR + 0.30%, 2.22%, 2/15/2048 (c) | 906,074 | 901,382 | |||
Series K722, Class X1, IO, 1.44%, 3/25/2023 (c) | 478,547 | 18,334 | |||
Federal National Mortgage Association: | |||||
3.00%, 11/1/2033 | 1,673,774 | 1,708,824 | |||
3.00%, 11/1/2036 | 513,763 | 523,325 | |||
Series 2010-141, Class FB, 1 Month USD LIBOR + 0.47%, 2.87%, 12/25/2040 (c) | 313,611 | 314,038 | |||
Series 2012-56, Class FA, CMO, 1 Month USD LIBOR + 0.55%, 2.95%, 6/25/2042 (c) | 1,815,558 | 1,829,863 |
Table of Contents
Security Description | Principal Amount | Value | |||
Series 2018-77, Class FA, CMO, 1 Month USD LIBOR + 0.30%, 2.70%, 10/25/2048 (c) | $876,831 | $870,813 | |||
Series 2007-54, Class FW, CMO, REMIC, 1 Month USD LIBOR + 0.25%, 2.65%, 6/25/2037 (c) | 676,670 | 671,446 | |||
Series 2012-32, Class DA, CMO, REMIC, 2.00%, 11/25/2026 | 1,909,020 | 1,901,211 | |||
Series 2015-59, Class A, CMO, REMIC, 3.00%, 6/25/2041 | 466,994 | 473,280 | |||
Series 2016-8, Class FA, CMO, REMIC, 1 Month USD LIBOR + 0.45%, 2.54%, 3/25/2046 (c) | 624,932 | 622,729 | |||
Series 2017-13, Class ML, CMO, REMIC, 3.00%, 8/25/2041 | 809,976 | 820,373 | |||
Series 2017-2, Class HA, CMO, REMIC, 3.00%, 9/25/2041 | 740,932 | 750,485 | |||
Series 2018-27, Class FJ, CMO, REMIC, 1 Month USD LIBOR + 0.30%, 2.70%, 12/25/2047 (c) | 864,693 | 857,992 | |||
Series 2018-30, Class FA, CMO, REMIC, 1 Month USD LIBOR + 0.30%, 2.70%, 5/25/2048 (c) | 874,642 | 870,271 | |||
Series 2018-39, Class EF, CMO, REMIC, 1 Month USD LIBOR + 0.30%, 2.70%, 6/25/2048 (c) | 826,780 | 824,018 | |||
Series 2018-39, Class FG, CMO, REMIC, 1 Month USD LIBOR + 0.25%, 2.65%, 11/25/2033 (c) | 808,443 | 800,532 | |||
Series 2018-45, Class FA, CMO, REMIC, 1 Month USD LIBOR + 0.30%, 2.20%, 6/25/2048 (c) | 822,903 | 817,275 | |||
Government National Mortgage Association: | |||||
Series 2014-94, Class FB, CMO, REMIC, 1 Month USD LIBOR + 0.25%, 2.63%, 9/20/2035 (c) | 713,255 | 709,036 | |||
Series 2017-116, Class FA, CMO, REMIC, 1 Month USD LIBOR + 0.30%, 2.74%, 11/20/2043 (c) | 584,640 | 581,712 | |||
Series 2017-116, Class FB, CMO, REMIC, 1 Month USD LIBOR + 0.25%, 2.63%, 5/20/2044 (c) | 695,221 | 691,489 | |||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS (Cost $28,111,134) | 28,053,384 | ||||
U.S. TREASURY OBLIGATIONS — 28.5% | |||||
Treasury Bill: | |||||
2.13%, 9/5/2019 | 4,000,000 | 3,984,734 | |||
2.25%, 7/11/2019 | 870,000 | 869,544 | |||
2.36%, 10/3/2019 | 6,000,000 | 5,967,528 | |||
2.39%, 10/10/2019 | 6,110,000 | 6,074,631 | |||
2.48%, 11/7/2019 | 4,080,000 | 4,050,180 | |||
2.52%, 8/15/2019 | 3,770,000 | 3,760,342 | |||
Treasury Notes: | |||||
1.63%, 4/30/2023 | 3,530,000 | 3,515,935 | |||
2.25%, 3/31/2020 | 2,300,000 | 2,303,863 |
Table of Contents
Security Description | Principal Amount | Value | |||
2.25%, 12/31/2023 | $3,920,000 | $4,004,831 | |||
TOTAL U.S. TREASURY OBLIGATIONS (Cost $34,335,729) | 34,531,588 | ||||
MORTGAGE-BACKED SECURITIES — 10.4% | |||||
Alternative Loan Trust Series 2006-41CB, Class 1A3, CMO, 6.00%, 1/25/2037 | 375,404 | 313,350 | |||
AREIT Trust Series 2018-CRE1, Class B, 1 Month USD LIBOR + 1.65%, 4.05%, 2/14/2035 (a) (c) | 81,000 | 81,127 | |||
Atrium Hotel Portfolio Trust Series 2017-ATRM, Class E, 1 Month USD LIBOR + 3.05%, 5.44%, 12/15/2036 (a) (c) | 36,000 | 36,274 | |||
Atrium Hotel Portfolio Trust 2018-ATRM Series 2018-ATRM, Class A, 1 Month USD LIBOR + 0.95%, 3.34%, 6/15/2035 (a) (c) | 100,000 | 99,827 | |||
Bancorp Commercial Mortgage Trust Series 2019-CRE5, Class A, 1 Month USD LIBOR + 1.00%, 3.39%, 3/15/2036 (a) (c) | 85,313 | 85,339 | |||
BANK Series 2017-BNK6, Class XA, IO, 1.00%, 7/15/2060 (c) | 1,127,652 | 56,362 | |||
BBCMS Mortgage Trust: | |||||
Series 2017-DELC, Class C, 1 Month USD LIBOR + 1.20%, 3.59%, 8/15/2036 (a) (c) | 17,000 | 16,875 | |||
Series 2017-DELC, Class D, 1 Month USD LIBOR + 1.70%, 4.09%, 8/15/2036 (a) (c) | 19,000 | 18,996 | |||
Series 2017-DELC, Class E, 1 Month USD LIBOR + 2.50%, 4.89%, 8/15/2036 (a) (c) | 38,000 | 38,070 | |||
Series 2017-DELC, Class F, 1 Month USD LIBOR + 3.50%, 5.89%, 8/15/2036 (a) (c) | 38,000 | 38,056 | |||
Series 2018-TALL, Class A, 1 Month USD LIBOR + 0.72%, 3.12%, 3/15/2037 (a) (c) | 101,000 | 100,659 | |||
BBCMS Trust Series 2018-BXH, Class A, 1 Month USD LIBOR + 1.00%, 3.39%, 10/15/2037 (a) (c) | 12,519 | 12,496 | |||
Bear Stearns Commercial Mortgage Securities Trust Series 2014-BXO, Class E, 1 Month USD LIBOR + 3.75%, 6.14%, 8/15/2027 (a) (c) | 26,000 | 26,020 | |||
Bellemeade Re, Ltd. Series 2017-1, Class M1, 1 Month USD LIBOR + 1.70%, 4.10%, 10/25/2027 (a) (c) | 321,495 | 323,483 | |||
BENCHMARK Mortgage Trust Series 2018-B1, Class XA, IO, 0.66%, 1/15/2051 (c) | 2,263,968 | 78,985 | |||
BHMS Series 2018-ATLS, , Class A, 1 Month USD LIBOR + 1.25%, 3.64%, 7/15/2035 (a) (c) | 75,000 | 75,046 | |||
Braemar Hotels & Resorts Trust 2018-Prime Series 2018-PRME, Class A, 1 Month USD LIBOR + 0.82%, 3.21%, 6/15/2035 (a) (c) | 115,000 | 114,669 | |||
BX Commercial Mortgage Trust Series 2018-BIOA, Class E, 1 Month USD LIBOR + 1.95%, 4.35%, 3/15/2037 (a) (c) | 257,000 | 257,641 | |||
BX Trust: |
Table of Contents
Security Description | Principal Amount | Value | |||
Series 2017-APPL, Class B, 1 Month USD LIBOR + 1.15%, 3.54%, 7/15/2034 (a) (c) | $75,650 | $75,659 | |||
Series 2018-EXCL, Class A, 1 Month USD LIBOR + 1.09%, 3.48%, 9/15/2037 (a) (c) | 13,611 | 13,575 | |||
BX Trust 2018-BILT Series 2018-BILT, Class A, 1 Month USD LIBOR + 0.80%, 3.19%, 5/15/2030 (a) (c) | 115,000 | 114,782 | |||
BX Trust 2018-MCSF Series 2018-MCSF, Class F, 1 Month USD LIBOR + 2.65%, 5.04%, 4/15/2035 (a) (c) | 47,000 | 47,235 | |||
BXMT, Ltd. Series 2017-FL1, Class C, 1 Month USD LIBOR + 1.95%, 4.34%, 6/15/2035 (a) (c) | 150,000 | 150,371 | |||
CAMB Commercial Mortgage Trust Series 2019-LIFE, Class A, 1 Month USD LIBOR + 1.07%, 3.46%, 12/15/2037 (a) (c) | 79,000 | 79,275 | |||
Cantor Commercial Real Estate: | |||||
Series 2019-CF1, Class 65A, 4.41%, 5/15/2052 (a) | 163,000 | 171,610 | |||
Series 2019-CF1, Class 65B, 4.14%, 5/15/2052 (a) | 163,000 | 166,550 | |||
CFCRE Commercial Mortgage Trust: | |||||
Series 2018-TAN, Class B, 4.69%, 2/15/2033 (a) | 55,000 | 57,757 | |||
Series 2018-TAN, Class C, 5.29%, 2/15/2033 (a) | 55,000 | 58,107 | |||
Series 2018-TAN, Class D, 6.10%, 2/15/2033 (a) | 33,000 | 35,209 | |||
CGDBB Commercial Mortgage Trust Series 2017-BIOC, Class A, 1 Month USD LIBOR + 0.79%, 3.18%, 7/15/2032 (a) (c) | 100,000 | 100,000 | |||
CGGS Commercial Mortgage Trust Series 2018-WSS, Class D, 1 Month USD LIBOR + 2.30%, 4.69%, 2/15/2037 (a) (c) | 100,000 | 100,117 | |||
CGGS Commercial Mortgage Trust 2018-WSS Series 2018-WSS, Class A, 1 Month USD LIBOR + 0.90%, 3.29%, 2/15/2037 (a) (c) | 100,000 | 99,905 | |||
CHT COSMO Mortgage Trust: | |||||
Series 2017-CSMO, Class E, 1 Month USD LIBOR + 3.00%, 5.39%, 11/15/2036 (a) (c) | 59,000 | 59,145 | |||
Series 2017-CSMO, Class F, 1 Month USD LIBOR + 3.74%, 6.14%, 11/15/2036 (a) (c) | 131,000 | 131,426 | |||
Citigroup Commercial Mortgage Trust: | |||||
Series 2018-TBR, Class D, 1 Month USD LIBOR + 1.80%, 4.19%, 12/15/2036 (a) (c) | 95,000 | 95,199 | |||
Series 2016-GC37, Class XA, IO, 1.94%, 4/10/2049 (c) | 502,087 | 46,887 | |||
CLNS Trust: | |||||
Series 2017-IKPR, Class C, 1 Month USD LIBOR + 1.10%, 3.51%, 6/11/2032 (a) (c) | 81,000 | 81,003 | |||
Series 2017-IKPR, Class D, 1 Month USD LIBOR + 2.05%, 4.46%, 6/11/2032 (a) (c) | 18,000 | 18,035 | |||
Series 2017-IKPR, Class E, 1 Month USD LIBOR + 3.50%, 5.91%, 6/11/2032 (a) (c) | 18,000 | 18,099 | |||
COLT Mortgage Loan Trust Series 2018-1, Class A1, CMO, 2.93%, 2/25/2048 (a) (c) | 127,070 | 126,825 |
Table of Contents
Security Description | Principal Amount | Value | |||
COMM Mortgage Trust: | |||||
Series 2014-FL5, Class D, 1 Month USD LIBOR + 4.00%, 3.83%, 10/15/2031 (a) (c) | $100,000 | $98,587 | |||
Series 2018-HCLV, Class A, 1 Month USD LIBOR + 1.00%, 3.39%, 9/15/2033 (a) (c) | 70,000 | 69,737 | |||
Series 2015-CR25, Class XA, IO, 1.05%, 8/10/2048 (c) | 1,326,402 | 58,864 | |||
Credit Suisse Mortgage Capital Certificates: | |||||
Series 2017-CHOP, Class D, 1 Month USD LIBOR + 1.90%, 4.29%, 7/15/2032 (a) (c) | 29,000 | 29,067 | |||
Series 2019-ICE4, Class A, 1 Month USD LIBOR + 0.98%, 3.37%, 5/15/2036 (a) (c) | 102,000 | 102,102 | |||
CSAIL Commercial Mortgage Trust: | |||||
Series 2017-C8, Class XA, IO, 1.40%, 6/15/2050 (c) | 341,636 | 19,864 | |||
Series 2017-CX10, Class XA, IO, 0.86%, 11/15/2050 (c) | 994,569 | 47,577 | |||
Series 2017-CX9, Class XA, IO, 1.03%, 9/15/2050 (c) | 1,843,592 | 68,530 | |||
DBGS BIOD Mortgage Trust Series 2018-BIOD, Class A, 1 Month USD LIBOR + 0.80%, 3.20%, 5/15/2035 (a) (c) | 139,221 | 139,344 | |||
Exantas Capital Corp., Ltd. Series 2019-RSO7, Class A, 1 Month USD LIBOR + 1.00%, 3.39%, 4/15/2036 (a) (c) | 100,000 | 100,031 | |||
Federal Home Loan Mortgage Corp.: | |||||
Series 4703, Class FA, 1 Month USD LIBOR + 0.35%, 2.41%, 7/15/2047 (c) | 1,132,273 | 1,126,951 | |||
Series 4818, Class FC, 1 Month USD LIBOR + 0.30%, 2.69%, 4/15/2048 (c) | 683,366 | 677,499 | |||
Federal National Mortgage Association: | |||||
Series 2012-56, Class FK, 1 Month USD LIBOR + 0.45%, 2.85%, 6/25/2042 (c) | 1,111,566 | 1,107,780 | |||
Series 2017-96, Class FA, 1 Month USD LIBOR + 0.40%, 2.80%, 12/25/2057 (c) | 972,589 | 968,341 | |||
Series 2018-55, Class FA, 1 Month USD LIBOR + 0.30%, 2.36%, 8/25/2048 (c) | 848,805 | 842,990 | |||
GPMT 2018-FL1, Ltd. Series 2018-FL1, Class A, 1 Month USD LIBOR + 0.90%, 3.28%, 11/21/2035 (a) (c) | 61,331 | 61,331 | |||
GPT 2018-GPP Mortgage Trust Series 2018-GPP, Class B, 1 Month USD LIBOR + 1.28%, 3.67%, 6/15/2035 (a) (c) | 37,500 | 37,458 | |||
Great Wolf Trust Series 2017-WOLF, Class B, 1 Month USD LIBOR + 1.10%, 3.49%, 9/15/2034 (a) (c) | 100,000 | 100,001 | |||
GS Mortgage Securities Corp. Trust Series 2018-FBLU, Class E, 1 Month USD LIBOR + 2.75%, 5.14%, 11/15/2035 (a) (c) | 53,000 | 53,301 | |||
GS Mortgage Securities Trust: | |||||
Series 2017-500K, Class E, 1 Month USD LIBOR + 1.50%, 3.89%, 7/15/2032 (a) (c) | 50,000 | 50,012 |
Table of Contents
Security Description | Principal Amount | Value | |||
Series 2017-500K, Class F, 1 Month USD LIBOR + 1.80%, 4.19%, 7/15/2032 (a) (c) | $107,000 | $107,026 | |||
Series 2018-TWR, Class A, 1 Month USD LIBOR + 0.90%, 3.29%, 7/15/2031 (a) (c) | 100,000 | 99,932 | |||
Series 2018-TWR, Class D, 1 Month USD LIBOR + 1.60%, 3.99%, 7/15/2031 (a) (c) | 100,000 | 99,651 | |||
Series 2017-GS7, Class XA, IO, 1.28%, 8/10/2050 (c) | 391,951 | 27,100 | |||
JP Morgan Chase Commercial Mortgage Securities Corp. Series 2018-LAQ, Class A, 1 Month USD LIBOR + 1.00%, 3.39%, 6/15/2032 (a) (c) | 98,155 | 98,343 | |||
JP Morgan Chase Commercial Mortgage Securities Trust: | |||||
1 Month USD LIBOR + 0.96% , 3.34%, 7/15/2036 (a) (c) | 107,000 | 107,002 | |||
Series 2007-LDPX, Class AM, 5.46%, 1/15/2049 (c) | 3,937 | 3,949 | |||
Series 2018-WPT, Class EFL, 1 Month USD LIBOR + 2.60%, 5.03%, 7/5/2033 (a) (c) | 100,000 | 99,976 | |||
Series 2016-JP4, Class XA, IO, 0.88%, 12/15/2049 (c) | 1,666,105 | 57,963 | |||
JP Morgan Chase Commercial Mortgage Securities Trust 2014-FL6 Series 2014-FL6, Class B, 1 Month USD LIBOR + 2.28%, 4.67%, 11/15/2031 (a) (c) | 65,857 | 65,878 | |||
LMREC 2015-CRE1, Inc. Series 2015-CRE1, Class AR, 1 Month USD LIBOR + 0.98% , 2.86%, 2/22/2032 (a) (c) | 60,333 | 60,333 | |||
LoanCore 2019-CRE3 Issuer, Ltd. Series 2019-CRE3, Class A, 1 Month USD LIBOR + 1.05%, 3.44%, 4/15/2034 (a) (c) | 100,000 | 100,188 | |||
Morgan Stanley Bank of America Merrill Lynch Trust: | |||||
Series 2014-C15, Class XA, IO, 1.14%, 4/15/2047 (c) | 832,427 | 31,472 | |||
Series 2014-C19, Class LNCX, IO, 0.60%, 12/15/2046 (a) | 1,218,657 | 35,937 | |||
Morgan Stanley Capital I Trust: | |||||
Series 2018-SUN, Class A, 1 Month USD LIBOR + 0.90%, 3.29%, 7/15/2035 (a) (c) | 74,000 | 73,944 | |||
Series 2019-PLND, Class B, 1 Month USD LIBOR + 1.30%, 3.69%, 5/15/2036 (a) (c) | 163,000 | 162,997 | |||
Series 2016-UB12, Class XA, IO, 0.93%, 12/15/2049 (c) | 1,595,352 | 63,904 | |||
MSCG Trust Series 2018-SELF, Class A, 1 Month USD LIBOR + 0.90%, 3.29%, 10/15/2037 (a) (c) | 79,000 | 79,055 | |||
Natixis Commercial Mortgage Securities Trust 2018-850T: | |||||
Series 2018-850T, Class C, 1 Month USD LIBOR + 0.15%, 3.55%, 7/15/2033 (a) (c) | 100,000 | 99,408 | |||
Series 2018-850T, Class D, 1 Month USD LIBOR + 0.14%, 3.85%, 7/15/2033 (a) (c) | 100,000 | 99,914 | |||
Natixis Commercial Mortgage Securities Trust 2018-FL1 Series 2018-FL1, Class A, 1 Month USD LIBOR + 0.95%, 3.39%, 6/15/2035 (a) (c) | 96,002 | 95,700 |
Table of Contents
Security Description | Principal Amount | Value | ||||
PFP, Ltd. Series 2019-5, Class A, 1 Month USD LIBOR + 0.97%, 3.37%, 4/14/2036 (a) (c) | $100,000 | $100,031 | ||||
RAIT Trust Series 2017-FL7, Class AS, 1 Month USD LIBOR + 1.30%, 3.69%, 6/15/2037 (a) (c) | 6,000 | 5,957 | ||||
Ready Capital Mortgage Trust Series 2019-5, Class A, 3.78%, 2/25/2052 (a) | 95,765 | 97,766 | ||||
ReadyCap Commercial Mortgage Trust Series 2019-FL3, Class A, 1 Month USD LIBOR + 1.00%, 3.40%, 3/25/2034 (a) (c) | 100,000 | 99,658 | ||||
Rosslyn Portfolio Trust: | ||||||
Series 2017-ROSS, Class A, 1 Month USD LIBOR + 0.95%, 3.34%, 6/15/2033 (a) (c) | 15,000 | 15,038 | ||||
Series 2017-ROSS, Class B, 1 Month USD LIBOR + 1.25%, 3.64%, 6/15/2033 (a) (c) | 15,000 | 14,944 | ||||
Shelter Growth CRE 2019-FL2 Issuer, Ltd. Series 2019-FL2, Class B, 1 Month USD LIBOR + 1.80%, 4.69%, 5/15/2036 (a) (c) | 100,000 | 100,185 | ||||
TPG Real Estate Finance, Ltd. Series 2018-FL1, Class A, 1 Month USD LIBOR + 0.75%, 3.14%, 2/15/2035 (a) (c) | 20,633 | 20,633 | ||||
UBS Commercial Mortgage Trust Series 2017-C1, Class XA, IO, 1.74%, 6/15/2050 (c) | 803,735 | 74,442 | ||||
Velocity Commercial Capital Loan Trust: | ||||||
Series 2018-2, Class A, 4.05%, 10/26/2048 (a) (c) | 868,837 | 889,248 | ||||
Series 2016-1, Class AFX, ABS, 3.53%, 4/25/2046 (a) (c) | 46,282 | 46,229 | ||||
Wells Fargo Commercial Mortgage Trust Series 2019-C51, Class XA, 1.53%, 6/15/2052 (a) (c) (d) | 1,036,000 | 106,077 | ||||
WFRBS Commercial Mortgage Trust Series 2013-C18, Class XA, IO, 0.89%, 12/15/2046 (c) | 1,137,519 | 29,675 | ||||
TOTAL MORTGAGE-BACKED SECURITIES (Cost $12,892,014) | 12,648,968 | |||||
SENIOR FLOATING RATE LOANS — 0.0% (b) | ||||||
MEDIA — 0.0% (b) | ||||||
Tribune Media Co. Senior Secured Term Loan, 1 Month USD LIBOR + 3.00%, 5.40%, 12/27/2020 (c) (Cost $4,248) | 4,247 | 4,252 |
Table of Contents
Security Description | Shares | Value | ||||
SHORT-TERM INVESTMENT — 5.1% | ||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 2.35% (f) (g) (Cost $6,248,841) | 6,248,841 | $6,248,841 | ||||
TOTAL INVESTMENTS — 99.7% (Cost $120,483,697) | 121,024,873 | |||||
OTHER ASSETS IN EXCESS OF LIABILITIES — 0.3% | 319,187 | |||||
NET ASSETS — 100.0% | $121,344,060 |
(a) | Securities purchased pursuant to Rule 144A of the Securities Act of 1933, as amended. These securities, which represent 14.8% of net assets as of June 30, 2019, are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
(b) | Amount is less than 0.05% of net assets. |
(c) | Variable Rate Security - Interest rate shown is rate in effect at June 30, 2019. For securities based on a published reference rate and spread, the reference rate and spread are indicated in the description above. |
(d) | When-issued security. |
(e) | Step-up bond - Coupon rate increases in increments to maturity. Rate shown as of June 30, 2019. Maturity date shown is the final maturity. |
(f) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2019 are shown in the Affiliate Table below. |
(g) | The rate shown is the annualized seven-day yield at June 30, 2019. |
ABS | = Asset-Backed Security |
CMO | = Collateralized Mortgage Obligation |
CMT | = Constant Maturity Treasury |
IO | = Interest Only |
LIBOR | = London Interbank Offered Rate |
MTN | = Medium Term Note |
REMIC | = Real Estate Mortgage Investment Conduit |
Table of Contents
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Asset-Backed Securities | $— | $3,992,107 | $— | $3,992,107 | ||||
Corporate Bonds & Notes | — | 34,504,835 | — | 34,504,835 | ||||
Foreign Government Obligations | — | 1,040,898 | — | 1,040,898 | ||||
Senior Floating Rate Loans | — | 4,252 | — | 4,252 | ||||
Mortgage-Backed Securities | — | 12,648,968 | — | 12,648,968 | ||||
U.S. Government Agency Obligations | — | 28,053,384 | — | 28,053,384 | ||||
U.S. Treasury Obligations | — | 34,531,588 | — | 34,531,588 | ||||
Short-Term Investment | 6,248,841 | — | — | 6,248,841 | ||||
TOTAL INVESTMENTS | $6,248,841 | $114,776,032 | $— | $121,024,873 |
Number of Shares Held at 6/30/18 | Value at 6/30/18 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 6/30/19 | Value at 6/30/19 | Dividend Income | |||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 376,094 | $376,094 | $62,395,542 | $56,522,795 | $— | $— | 6,248,841 | $6,248,841 | $58,916 |
Table of Contents
Security Description | Principal Amount | Value | |||
CORPORATE BONDS & NOTES — 16.9% | |||||
ARGENTINA — 0.4% | |||||
Other Securities | $11,544,324 | ||||
AUSTRALIA — 0.3% | |||||
Other Securities | 8,555,715 | ||||
BELGIUM — 0.1% | |||||
Other Security | 1,962,385 | ||||
BRAZIL — 0.9% | |||||
Other Securities | 31,270,950 | ||||
CANADA — 0.5% | |||||
Other Securities | 17,356,741 | ||||
CAYMAN ISLANDS — 0.2% | |||||
Other Securities | 4,982,550 | ||||
CHILE — 0.9% | |||||
Other Securities | 29,934,027 | ||||
CHINA — 0.1% | |||||
Other Securities | 4,611,604 | ||||
COLOMBIA — 0.2% | |||||
Other Securities | 8,007,702 | ||||
COSTA RICA — 0.0% (a) | |||||
Other Securities | 1,321,871 | ||||
DOMINICAN REPUBLIC — 0.2% | |||||
Other Securities | 6,458,951 | ||||
FRANCE — 0.0% (a) | |||||
Other Security | 743,140 | ||||
HONG KONG — 0.0% (a) | |||||
Other Security | 1,133,308 | ||||
INDIA — 1.1% | |||||
Other Securities | 38,087,990 | ||||
INDONESIA — 0.0% (a) | |||||
Other Security | 1,064,464 | ||||
IRELAND — 0.3% | |||||
Other Securities | 9,041,295 | ||||
ISRAEL — 0.1% | |||||
Other Securities | 2,626,059 |
Table of Contents
Security Description | Principal Amount | Value | |||
JAMAICA — 0.0% (a) | |||||
Other Securities | $1,108,416 | ||||
JAPAN — 0.1% | |||||
Other Securities | 3,373,766 | ||||
LUXEMBOURG — 0.3% | |||||
Other Securities | 8,988,321 | ||||
MALAYSIA — 0.4% | |||||
Other Securities | 12,249,300 | ||||
MAURITIUS — 0.1% | |||||
Other Security | 3,060,660 | ||||
MEXICO — 1.1% | |||||
Other Securities | 35,474,341 | ||||
NETHERLANDS — 0.3% | |||||
Other Securities | 10,100,084 | ||||
NORWAY — 0.0% (a) | |||||
Other Security | 371,934 | ||||
PANAMA — 0.1% | |||||
Other Securities | 4,370,461 | ||||
PERU — 0.0% (a) | |||||
Other Securities | 1,249,029 | ||||
PHILIPPINES — 0.2% | |||||
Other Security | 6,187,600 | ||||
SINGAPORE — 0.5% | |||||
Other Securities | 16,131,310 | ||||
SPAIN — 0.1% | |||||
Other Securities | 1,977,483 | ||||
SWITZERLAND — 0.0% (a) | |||||
Other Security | 166,232 | ||||
THAILAND — 0.0% (a) | |||||
Other Security | 507,050 | ||||
UNITED KINGDOM — 0.4% | |||||
Other Securities | 11,435,400 | ||||
UNITED STATES — 8.0% | |||||
Other Securities | 267,389,553 | ||||
Total Corporate Bonds & Notes (Cost $546,495,054) | 562,844,016 |
Table of Contents
Security Description | Principal Amount | Value | |||
ASSET-BACKED SECURITIES — 2.1% | |||||
Aegis Asset Backed Securities Trust Series 2006-1, Class A2, 1 Month USD LIBOR + 0.17%, 2.57%, 1/25/2037 (b) | $28,568,210 | $23,499,863 | |||
Other Securities | 46,380,385 | ||||
Total Asset-Backed Securities (Cost $68,926,429) | 69,880,248 | ||||
FOREIGN GOVERNMENT OBLIGATIONS — 1.1% | |||||
ARGENTINA — 0.2% | |||||
Other Securities | 7,855,834 | ||||
BRAZIL — 0.1% | |||||
Other Security | 2,544,275 | ||||
CANADA — 0.0% (a) | |||||
Other Security | 506,949 | ||||
CHILE — 0.1% | |||||
Other Security | 1,561,410 | ||||
COLOMBIA — 0.0% (a) | |||||
Other Securities | 673,530 | ||||
COSTA RICA — 0.1% | |||||
Other Security | 3,081,072 | ||||
DOMINICAN REPUBLIC — 0.0% (a) | |||||
Other Security | 1,045,780 | ||||
INDONESIA — 0.2% | |||||
Other Securities | 7,220,110 | ||||
ISRAEL — 0.1% | |||||
Other Security | 1,550,205 | ||||
LUXEMBOURG — 0.0% (a) | |||||
Other Security | 716,010 | ||||
PANAMA — 0.1% | |||||
Other Security | 4,265,160 | ||||
PHILIPPINES — 0.2% | |||||
Other Security | 5,388,700 | ||||
Total Foreign Government Obligations (Cost $37,410,380) | 36,409,035 |
Table of Contents
Security Description | Principal Amount | Value | |||
SENIOR FLOATING RATE LOANS — 4.6% | |||||
AEROSPACE & DEFENSE — 0.1% | |||||
Other Securities | $1,958,666 | ||||
AUTO COMPONENTS — 0.1% | |||||
Other Securities | 4,762,983 | ||||
BUILDING PRODUCTS — 0.1% | |||||
Other Security | 3,011,083 | ||||
CAPITAL MARKETS — 0.1% | |||||
Other Securities | 3,500,365 | ||||
CASINO SERVICES — 0.0% (a) | |||||
Other Security | 705,786 | ||||
CHEMICALS — 0.1% | |||||
Other Securities | 4,777,416 | ||||
COMMERCIAL SERVICES — 0.0% (a) | |||||
Other Security | 1,011,737 | ||||
COMMERCIAL SERVICES & SUPPLIES — 0.3% | |||||
Other Securities | 9,570,123 | ||||
COMMUNICATIONS EQUIPMENT — 0.1% | |||||
Other Securities | 2,372,869 | ||||
CONSTRUCTION & ENGINEERING — 0.0% (a) | |||||
Other Securities | 722,296 | ||||
CONSTRUCTION MATERIALS — 0.0% (a) | |||||
Other Securities | 1,317,769 | ||||
CONTAINERS & PACKAGING — 0.1% | |||||
Other Securities | 4,195,675 | ||||
DIVERSIFIED FINANCIAL SERVICES — 0.0% (a) | |||||
Other Securities | 1,261,749 | ||||
DIVERSIFIED TELECOMMUNICATION SERVICES — 0.2% | |||||
Other Securities | 7,322,493 | ||||
ELECTRICAL EQUIPMENT — 0.1% | |||||
Other Security | 2,092,618 | ||||
ELECTRIC-GENERATION — 0.1% | |||||
Other Securities | 1,509,557 | ||||
ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS — 0.0% (a) | |||||
Other Security | 567,171 |
Table of Contents
Security Description | Principal Amount | Value | |||
ENERGY EQUIPMENT & SERVICES — 0.0% (a) | |||||
Other Security | $1,243,525 | ||||
FINANCIAL SERVICES — 0.1% | |||||
Other Security | 2,774,949 | ||||
FOOD & STAPLES RETAILING — 0.1% | |||||
Other Security | 2,966,702 | ||||
FOOD PRODUCTS — 0.1% | |||||
Other Security | 1,560,643 | ||||
HEALTH CARE PROVIDERS & SERVICES — 0.4% | |||||
Other Securities | 13,797,970 | ||||
HEALTH CARE TECHNOLOGY — 0.0% (a) | |||||
Other Security | 1,442,240 | ||||
HOTELS, RESTAURANTS & LEISURE — 0.3% | |||||
Other Securities | 8,850,713 | ||||
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS — 0.1% | |||||
Other Security | 3,151,399 | ||||
INSURANCE — 0.1% | |||||
Other Securities | 4,630,211 | ||||
INTERACTIVE MEDIA & SERVICES — 0.1% | |||||
Other Securities | 2,289,856 | ||||
IT SERVICES — 0.1% | |||||
Other Securities | 3,344,705 | ||||
LIFE SCIENCES TOOLS & SERVICES — 0.1% | |||||
Other Securities | 1,683,180 | ||||
MACHINERY — 0.1% | |||||
Other Securities | 4,753,393 | ||||
MACHINERY-CONSTRUCTION & MINING — 0.0% (a) | |||||
Other Securities | 959,386 | ||||
MEDIA — 0.2% | |||||
Other Securities | 7,253,142 | ||||
METAL-DIVERSIFIED — 0.0% (a) | |||||
Other Security | 362,595 | ||||
METALS & MINING — 0.1% | |||||
Other Security | 1,627,659 |
Table of Contents
Security Description | Principal Amount | Value | |||
MRI/MEDICAL DIAG IMAGING — 0.0% (a) | |||||
Other Securities | $1,283,002 | ||||
OIL REFINING & MARKETING — 0.0% (a) | |||||
Other Security | 793,748 | ||||
OIL, GAS & CONSUMABLE FUELS — 0.1% | |||||
Other Security | 3,104,616 | ||||
PHARMACEUTICALS — 0.1% | |||||
Other Securities | 1,531,672 | ||||
PIPELINES — 0.1% | |||||
Other Security | 1,948,079 | ||||
REAL ESTATE INVESTMENT TRUSTS (REITS) — 0.1% | |||||
Other Securities | 3,140,702 | ||||
REAL ESTATE MANAGEMENT & DEVELOPMENT — 0.0% (a) | |||||
Other Security | 415,908 | ||||
RETAIL-RESTAURANTS — 0.1% | |||||
Other Security | 1,688,262 | ||||
SOFTWARE — 0.6% | |||||
Other Securities | 20,050,936 | ||||
TELECOM SERVICES — 0.0% (a) | |||||
Other Security | 695,010 | ||||
TELECOMMUNICATION EQUIP — 0.1% | |||||
Other Security | 2,607,941 | ||||
TELEVISION — 0.1% | |||||
Other Security | 2,888,466 | ||||
TRADING COMPANIES & DISTRIBUTORS — 0.0% (a) | |||||
Other Security | 345,091 | ||||
Total Senior Floating Rate Loans (Cost $155,421,475) | 153,846,057 | ||||
U.S. GOVERNMENT AGENCY OBLIGATIONS — 40.5% | |||||
Federal Home Loan Mortgage Corp.: | |||||
3.00%, 11/1/2042 | $15,693,695 | 15,998,115 | |||
3.00%, 1/1/2045 | 2,516,294 | 2,560,465 | |||
3.00%, 2/1/2045 | 1,769,571 | 1,798,692 | |||
3.00%, 3/1/2045 | 1,879,138 | 1,910,062 | |||
3.00%, 4/1/2045 | 13,042,495 | 13,257,128 | |||
3.00%, 4/1/2045 | 25,429,318 | 25,875,707 |
Table of Contents
Security Description | Principal Amount | Value | |||
3.00%, 5/1/2045 | $6,595,649 | $6,704,190 | |||
3.00%, 8/1/2045 | 18,075,389 | 18,372,847 | |||
3.50%, 2/1/2045 | 3,217,120 | 3,325,882 | |||
3.50%, 4/1/2045 | 17,568,842 | 18,222,776 | |||
3.50%, 4/1/2045 | 10,519,516 | 10,861,124 | |||
3.50%, 6/1/2045 | 12,974,168 | 13,457,083 | |||
3.50%, 10/1/2045 | 15,172,162 | 15,736,889 | |||
3.50%, 2/1/2046 | 15,054,647 | 15,509,771 | |||
4.00%, 4/1/2047 | 38,238,857 | 39,842,995 | |||
4.00%, 7/1/2047 | 11,855,963 | 12,353,326 | |||
4.00%, 10/1/2047 | 24,332,444 | 25,353,201 | |||
4.50%, 6/1/2044 | 2,266,086 | 2,410,931 | |||
Series 326, Class 300, CMO 3.00%, 3/15/2044 | 31,608,430 | 32,017,244 | |||
Series 358, Class 300, CMO 3.00%, 10/15/2047 | 32,022,074 | 32,947,418 | |||
Series 3822, Class ZG, CMO, REMIC 4.00%, 2/15/2041 | 3,823,064 | 4,141,370 | |||
Series 3852, Class NS, CMO, IO, REMIC 6.00% - 1 Month USD LIBOR, 3.61%, 5/15/2041 (b) | 10,670,777 | 1,204,330 | |||
Series 3889, Class VZ, CMO, REMIC 4.00%, 7/15/2041 | 11,186,366 | 11,617,878 | |||
Series 3935, Class SJ, CMO, IO, REMIC 6.65% - 1 Month USD LIBOR, 4.26%, 5/15/2041 (b) | 2,342,900 | 228,052 | |||
Series 4120, Class KA, CMO, REMIC 1.75%, 10/15/2032 | 16,045,348 | 15,861,680 | |||
Series 4165, Class ZT, CMO, REMIC 3.00%, 2/15/2043 | 16,192,503 | 16,162,597 | |||
Series 4215, Class KC, CMO, REMIC 2.25%, 3/15/2038 | 9,305,728 | 9,294,722 | |||
Series 4364, Class ZX, CMO, REMIC 4.00%, 7/15/2044 | 29,257,269 | 31,766,976 | |||
Series 4434, Class LZ, CMO, REMIC 3.00%, 2/15/2045 | 3,415,931 | 3,304,340 | |||
Series 4444, Class CZ, CMO, REMIC 3.00%, 2/15/2045 | 12,525,080 | 12,238,431 | |||
Series 4447, Class A, CMO, REMIC 3.00%, 6/15/2041 | 1,717,749 | 1,750,164 | |||
Series 4447, Class Z, CMO, REMIC 3.00%, 3/15/2045 | 4,134,070 | 4,066,675 |
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Security Description | Principal Amount | Value | |||
Series 4471, Class BA, CMO, REMIC 3.00%, 12/15/2041 | $6,020,724 | $6,128,410 | |||
Series 4471, Class GA, CMO, REMIC 3.00%, 2/15/2044 | 9,234,012 | 9,390,476 | |||
Series 4474, Class ZX, CMO, REMIC 4.00%, 4/15/2045 | 12,182,358 | 13,196,992 | |||
Series 4481, Class B, CMO, REMIC 3.00%, 12/15/2042 | 6,204,737 | 6,312,477 | |||
Series 4483, Class CA, CMO, REMIC 3.00%, 6/15/2044 | 11,350,881 | 11,542,581 | |||
Series 4484, Class CD, CMO, REMIC 1.75%, 7/15/2030 | 12,471,111 | 12,288,307 | |||
Series 4491, Class B, CMO, REMIC 3.00%, 8/15/2040 | 11,446,096 | 11,602,142 | |||
Series 4492, Class GZ, CMO, REMIC 3.50%, 7/15/2045 | 8,713,254 | 9,089,715 | |||
Series 4499, Class AB, CMO, REMIC 3.00%, 6/15/2042 | 12,314,858 | 12,533,602 | |||
Series 4504, Class CA, CMO, REMIC 3.00%, 4/15/2044 | 12,260,750 | 12,473,762 | |||
Series 4511, Class QA, CMO, REMIC 3.00%, 1/15/2041 | 9,890,602 | 10,025,885 | |||
Series 4511, Class QC, CMO, REMIC 3.00%, 12/15/2040 | 8,011,951 | 8,121,135 | |||
Series 4533, Class AB, CMO, REMIC 3.00%, 6/15/2044 | 8,685,737 | 8,851,018 | |||
Series 4543, Class HG, CMO, REMIC 2.70%, 4/15/2044 | 16,140,225 | 16,225,575 | |||
Series 4582, Class HA, CMO, REMIC 3.00%, 9/15/2045 | 12,583,990 | 12,845,081 | |||
Series 4629, Class KA, CMO, REMIC 3.00%, 3/15/2045 | 39,703,941 | 40,649,733 | |||
Series 4750, Class PA, 3.00%, 7/15/2046 | 22,399,665 | 22,606,129 | |||
Series 4792, Class A, CMO, REMIC 3.00%, 5/15/2048 | 24,258,082 | 24,529,933 | |||
Series K053, Class A2, 3.00%, 12/25/2025 | 2,232,000 | 2,323,765 | |||
Federal National Mortgage Association: | |||||
2.50%, 9/1/2046 | 4,897,526 | 4,828,588 | |||
2.50%, 2/1/2047 | 13,186,961 | 13,099,786 | |||
3.00%, 5/1/2035 | 8,990,674 | 9,166,672 | |||
3.00%, 10/1/2041 | 30,442,058 | 30,864,631 |
Table of Contents
Security Description | Principal Amount | Value | |||
3.00%, 3/1/2043 | $5,167,047 | $5,253,580 | |||
3.00%, 7/1/2043 | 8,399,737 | 8,481,287 | |||
3.00%, 1/1/2045 | 1,895,169 | 1,910,378 | |||
3.00%, 3/1/2045 | 2,633,574 | 2,675,346 | |||
3.00%, 4/1/2045 | 10,893,917 | 10,969,315 | |||
3.00%, 7/1/2045 | 31,267,868 | 31,791,514 | |||
3.00%, 11/1/2045 | 20,630,202 | 20,957,420 | |||
3.00%, 2/1/2047 | 25,382,427 | 25,734,766 | |||
3.50%, 9/1/2034 | 2,402,370 | 2,489,653 | |||
3.50%, 12/1/2034 | 2,139,692 | 2,217,431 | |||
3.50%, 2/1/2035 | 1,370,280 | 1,420,065 | |||
3.50%, 1/1/2045 | 12,981,977 | 13,457,290 | |||
3.50%, 2/1/2045 | 4,464,182 | 4,612,323 | |||
3.50%, 6/1/2045 | 12,525,184 | 12,983,930 | |||
4.50%, 3/1/2044 | 2,490,308 | 2,647,718 | |||
4.50%, 6/1/2044 | 1,252,491 | 1,331,660 | |||
4.50%, 7/1/2044 | 1,207,641 | 1,283,975 | |||
4.50%, 2/1/2045 | 1,508,193 | 1,603,524 | |||
Series 2010-109, Class N, CMO, REMIC 3.00%, 10/25/2040 | 2,679,287 | 2,728,046 | |||
Series 2011-51, Class CI, CMO, IO, REMIC 6.00% - 1 Month USD LIBOR, 3.60%, 6/25/2041 (b) | 6,930,494 | 1,002,901 | |||
Series 2012-101, Class AP, CMO, REMIC 2.00%, 8/25/2040 | 6,966,994 | 6,893,855 | |||
Series 2012-127, Class PA, CMO, REMIC 2.75%, 11/25/2042 | 3,463,308 | 3,477,508 | |||
Series 2012-151, Class SB, CMO, REMIC 6.00% - 1 Month USD LIBOR, 2.34%, 1/25/2043 (b) | 1,248,324 | 1,011,230 | |||
Series 2013-114, Class HZ, CMO, REMIC 3.00%, 11/25/2038 | 16,913,082 | 17,096,733 | |||
Series 2013-18, Class CD, CMO, REMIC 1.50%, 10/25/2027 | 4,833,568 | 4,760,332 | |||
Series 2013-30, Class PS, CMO, REMIC 6.00% - 1 Month USD LIBOR, 2.34%, 4/25/2043 (b) | 1,718,187 | 1,553,080 | |||
Series 2014-21, Class GZ, CMO, REMIC 3.00%, 4/25/2044 | 6,464,106 | 6,451,091 | |||
Series 2014-39, Class ZA, CMO, REMIC 3.00%, 7/25/2044 | 9,292,934 | 9,252,037 | |||
Series 2015-42, Class CA, CMO, REMIC 3.00%, 3/25/2044 | 7,142,913 | 7,253,644 |
Table of Contents
Security Description | Principal Amount | Value | |||
Series 2015-9, Class HA, CMO, REMIC 3.00%, 1/25/2045 | $10,249,812 | $10,364,669 | |||
Series 2015-95, Class AP, CMO, REMIC 3.00%, 8/25/2042 | 13,738,073 | 13,887,680 | |||
Series 2016-21, Class BZ, CMO, REMIC 3.00%, 4/25/2046 | 4,774,223 | 4,594,148 | |||
Series 2016-32, Class LA, CMO, REMIC 3.00%, 10/25/2044 | 11,861,676 | 12,187,867 | |||
Series 2016-72, Class PA, CMO, REMIC 3.00%, 7/25/2046 | 19,833,676 | 20,137,786 | |||
Series 2016-81, Class PA, CMO, REMIC 3.00%, 2/25/2044 | 27,156,655 | 27,601,697 | |||
Series 2016-9, Class A, CMO, REMIC 3.00%, 9/25/2043 | 10,262,356 | 10,371,248 | |||
Series 2016-92, Class A, CMO, REMIC 3.00%, 4/25/2042 | 32,460,210 | 32,961,288 | |||
Series 2016-M3, Class A2, 2.70%, 2/25/2026 | 2,150,000 | 2,191,259 | |||
Series 2017-13, Class CA, CMO, REMIC 2.50%, 10/25/2043 | 25,122,164 | 25,032,342 | |||
Series 2017-15, Class MA, CMO, REMIC 3.00%, 2/25/2042 | 15,665,167 | 15,864,982 | |||
Series 2017-18, Class A, CMO, REMIC 3.00%, 8/25/2042 | 39,937,794 | 40,607,423 | |||
Series 2017-32, Class CA, CMO, REMIC 3.00%, 10/25/2042 | 37,893,757 | 38,370,169 | |||
Series 2017-87, Class BA, CMO, REMIC 3.00%, 12/25/2042 | 27,925,558 | 28,317,098 | |||
Series 2017-9, Class EA, CMO, REMIC 3.00%, 10/25/2042 | 64,662,621 | 65,526,759 | |||
Series 2018-27, Class JA, CMO, REMIC 3.00%, 12/25/2047 | 15,348,299 | 15,485,830 | |||
Series 2018-38, Class JB, CMO, REMIC 3.00%, 6/25/2048 | 12,343,547 | 12,424,870 | |||
Series 2018-M10, Class A1, 3.50%, 7/25/2028 (b) | 20,488,605 | 21,769,636 | |||
Other Securities | 12,270,642 | ||||
Total U.S. Government Agency Obligations (Cost $1,347,621,468) | 1,352,118,481 | ||||
U.S. TREASURY OBLIGATIONS — 23.3% | |||||
Treasury Bill: | |||||
2.37%, 8/15/2019 | 57,900,000 | 57,751,668 |
Table of Contents
Security Description | Principal Amount | Value | |||
2.39%, 10/17/2019 | $90,000,000 | $89,457,921 | |||
2.51%, 1/2/2020 (c) | 93,700,000 | 92,737,935 | |||
2.51%, 2/27/2020 | 94,000,000 | 92,790,024 | |||
Treasury Inflation Protected Indexed Notes 0.63%, 4/15/2023 | 22,938,449 | 23,212,903 | |||
Treasury Notes: | |||||
1.63%, 5/15/2026 | 64,000,000 | 62,980,000 | |||
2.13%, 2/29/2024 | 80,100,000 | 81,426,656 | |||
2.13%, 7/31/2024 | 73,900,000 | 75,152,836 | |||
2.25%, 11/15/2025 | 61,100,000 | 62,574,993 | |||
2.38%, 1/31/2023 | 25,600,000 | 26,172,000 | |||
2.38%, 5/15/2029 | 38,100,000 | 39,373,969 | |||
2.63%, 2/15/2029 | 18,500,000 | 19,508,828 | |||
2.88%, 8/15/2028 | 18,900,000 | 20,311,594 | |||
3.13%, 11/15/2028 | 31,300,000 | 34,332,188 | |||
Total U.S. Treasury Obligations (Cost $762,895,719) | 777,783,515 | ||||
MORTGAGE-BACKED SECURITIES — 5.0% | |||||
Other Securities (Cost $168,736,726) | 166,962,913 | ||||
COMMERCIAL MORTGAGE BACKED SECURITIES — 4.2% | |||||
Other Securities (Cost $156,706,490) | 138,519,300 |
Shares | |||
SHORT-TERM INVESTMENT - 2.5% | |||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 2.35% (d) (e) (Cost $84,316,399) | 84,316,399 | 84,316,399 | |
TOTAL INVESTMENTS - 100.2% (Cost $3,328,530,140) | 3,342,679,964 | ||
LIABILITIES IN EXCESS OF OTHER ASSETS - (0.2)% | (5,798,616) | ||
NET ASSETS - 100.0% | $3,336,881,348 |
Table of Contents
The Summary Schedule of Investments does not reflect the complete portfolio holdings. It includes the Fund’s 50 largest holdings and each investment of any issuer that exceeds 1% of the Fund’s net assets. “Other Securities” represent all issues not required to be disclosed under the rules adopted by the U.S. Securities and Exchange Commission (“SEC”). In certain instances, securities for which footnotes listed below may otherwise apply are included in the Other Securities caption. The complete schedule of portfolio holdings is available on the Fund's website atwww.spdrs.com, without charge, upon request by calling 1-866-787-2257 (toll-free) and on the SEC's website atwww.sec.gov. | |
(a) | Amount is less than 0.05% of net assets. |
(b) | Variable Rate Security - Interest rate shown is rate in effect at June 30, 2019. For securities based on a published reference rate and spread, the reference rate and spread are indicated in the description above. |
(c) | When-issued security. |
(d) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2019 are shown in the Affiliate Table below. |
(e) | The rate shown is the annualized seven-day yield at June 30, 2019. |
CMO | Collateralized Mortgage Obligation |
IO | Interest Only |
LIBOR | London Interbank Offered Rate |
REMIC | Real Estate Mortgage Investment Conduit |
Borrower | Unfunded Loan Commitment ($) | Value ($) | Unrealized Appreciation/(Depreciation) ($) | |||
Mavis Tire Express Services Corp. | 412,777 | 405,898 | (6,879) |
Table of Contents
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Asset-Backed Securities | $— | $69,880,248 | $— | $69,880,248 | ||||
Corporate Bonds & Notes | — | 562,844,016 | — | 562,844,016 | ||||
Foreign Government Obligations | — | 36,409,035 | — | 36,409,035 | ||||
Senior Floating Rate Loans | — | 153,846,057 | — | 153,846,057 | ||||
Commercial Mortgage Backed Securities | — | 138,519,300 | — | 138,519,300 | ||||
Mortgage-Backed Securities | — | 166,962,913 | — | 166,962,913 | ||||
U.S. Government Agency Obligations | — | 1,352,118,481 | — | 1,352,118,481 | ||||
U.S. Treasury Obligations | — | 777,783,515 | — | 777,783,515 | ||||
Short-Term Investment | 84,316,399 | — | — | 84,316,399 | ||||
TOTAL INVESTMENTS | $84,316,399 | $3,258,363,565 | $— | $3,342,679,964 | ||||
LIABILITIES: | ||||||||
OTHER FINANCIAL INSTRUMENTS: | ||||||||
Unfunded Loans(a) | — | (6,879) | — | (6,879) | ||||
TOTAL OTHER FINANCIAL INSTRUMENTS: | $— | $(6,879) | $— | $(6,879) |
(a) | Includes appreciation (depreciation) on unfunded loan commitments. |
Number of Shares Held at 6/30/18 | Value at 6/30/18 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 6/30/19 | Value at 6/30/19 | Dividend Income | |||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | — | $— | $1,024,270,933 | $939,954,534 | $— | $— | 84,316,399 | $84,316,399 | $1,935,879 |
Table of Contents
SPDR DoubleLine Emerging Markets Fixed Income ETF | SPDR DoubleLine Short Duration Total Return Tactical ETF | ||
ASSETS | |||
Investments in unaffiliated issuers, at value | $64,105,892 | $114,776,032 | |
Investments in affiliated issuers, at value | 85,220 | 6,248,841 | |
Total Investments | 64,191,112 | 121,024,873 | |
Cash | 208,347 | 198,862 | |
Receivable for investments sold | — | 773,468 | |
Dividends receivable — affiliated issuers | 6,617 | 6,696 | |
Interest receivable — unaffiliated issuers | 886,685 | 489,662 | |
Receivable from Adviser | 5,392 | 4,940 | |
TOTAL ASSETS | 65,298,153 | 122,498,501 | |
LIABILITIES | |||
Payable for investments purchased | 208,173 | 1,106,413 | |
Advisory fee payable | 39,614 | 47,909 | |
Trustees’ fees and expenses payable | 102 | 119 | |
TOTAL LIABILITIES | 247,889 | 1,154,441 | |
NET ASSETS | $65,050,264 | $121,344,060 | |
NET ASSETS CONSIST OF: | |||
Paid-in Capital | $63,440,679 | $120,826,129 | |
Total distributable earnings (loss) | 1,609,585 | 517,931 | |
NET ASSETS | $65,050,264 | $121,344,060 | |
NET ASSET VALUE PER SHARE | |||
Net asset value per share | $51.02 | $49.53 | |
Shares outstanding (unlimited amount authorized, no par value) | 1,275,000 | 2,450,000 | |
COST OF INVESTMENTS: | |||
Investments in unaffiliated issuers | $62,476,604 | $114,234,856 | |
Investments in affiliated issuers | 85,220 | 6,248,841 | |
Total cost of investments | $62,561,824 | $120,483,697 |
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SPDR DoubleLine Total Return Tactical ETF | |
ASSETS | |
Investments in unaffiliated issuers, at value | $3,258,363,565 |
Investments in affiliated issuers, at value | 84,316,399 |
Total Investments | 3,342,679,964 |
Cash | 857,881 |
Receivable for investments sold | 7,708,499 |
Dividends receivable — affiliated issuers | 79,580 |
Interest receivable — unaffiliated issuers | 17,332,564 |
Receivable from Adviser | 275,605 |
TOTAL ASSETS | 3,368,934,093 |
LIABILITIES | |
Payable for investments purchased | 29,983,683 |
Unrealized depreciation on unfunded loan commitments | 6,879 |
Advisory fee payable | 1,763,055 |
Trustees’ fees and expenses payable | 6,906 |
Accrued expenses and other liabilities | 292,222 |
TOTAL LIABILITIES | 32,052,745 |
NET ASSETS | $3,336,881,348 |
NET ASSETS CONSIST OF: | |
Paid-in Capital | $3,384,807,157 |
Total distributable earnings (loss) | (47,925,809) |
NET ASSETS | $3,336,881,348 |
NET ASSET VALUE PER SHARE | |
Net asset value per share | $48.96 |
Shares outstanding (unlimited amount authorized, no par value) | 68,150,000 |
COST OF INVESTMENTS: | |
Investments in unaffiliated issuers | $3,244,213,741 |
Investments in affiliated issuers | 84,316,399 |
Total cost of investments | $3,328,530,140 |
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SPDR DoubleLine Emerging Markets Fixed Income ETF | SPDR DoubleLine Short Duration Total Return Tactical ETF | ||
INVESTMENT INCOME | |||
Interest income — unaffiliated issuers | $2,610,715 | $2,822,250 | |
Dividend income — affiliated issuers | 57,496 | 58,916 | |
Other income | 697 | — | |
TOTAL INVESTMENT INCOME (LOSS) | 2,668,908 | 2,881,166 | |
EXPENSES | |||
Advisory fee | 425,307 | 464,195 | |
Trustees’ fees and expenses | 948 | 1,445 | |
TOTAL EXPENSES | 426,255 | 465,640 | |
Expenses waived/reimbursed by the Adviser | (57,655) | (47,864) | |
NET EXPENSES | 368,600 | 417,776 | |
NET INVESTMENT INCOME (LOSS) | 2,300,308 | 2,463,390 | |
REALIZED AND UNREALIZED GAIN (LOSS) | |||
Net realized gain (loss) on: | |||
Investments — unaffiliated issuers | (43,081) | 117,898 | |
Net change in unrealized appreciation/depreciation on: | |||
Investments — unaffiliated issuers | 3,351,797 | 1,310,293 | |
NET REALIZED AND UNREALIZED GAIN (LOSS) | 3,308,716 | 1,428,191 | |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $5,609,024 | $3,891,581 |
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SPDR DoubleLine Total Return Tactical ETF | |
INVESTMENT INCOME | |
Interest income — unaffiliated issuers | $115,486,591 |
Dividend income — affiliated issuers | 1,935,879 |
Foreign taxes withheld | (9,896) |
TOTAL INVESTMENT INCOME (LOSS) | 117,412,574 |
EXPENSES | |
Advisory fee | 19,964,162 |
Trustees’ fees and expenses | 55,506 |
TOTAL EXPENSES | 20,019,668 |
Expenses waived/reimbursed by the Adviser | (3,126,916) |
NET EXPENSES | 16,892,752 |
NET INVESTMENT INCOME (LOSS) | 100,519,822 |
REALIZED AND UNREALIZED GAIN (LOSS) | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | (29,183,284) |
Net change in unrealized appreciation/depreciation on: | |
Investments — unaffiliated issuers | 122,215,480 |
Unfunded loan commitments | (5,267) |
Net change in unrealized appreciation/depreciation | 122,210,213 |
NET REALIZED AND UNREALIZED GAIN (LOSS) | 93,026,929 |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $193,546,751 |
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SPDR DoubleLine Emerging Markets Fixed Income ETF | |||
Year Ended 6/30/19 | Year Ended 6/30/18 | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $2,300,308 | $1,040,266 | |
Net realized gain (loss) | (43,081) | 203,609 | |
Net change in unrealized appreciation/depreciation | 3,351,797 | (1,996,624) | |
Net increase (decrease) in net assets resulting from operations | 5,609,024 | (752,749) | |
Net equalization credits and charges | 35,847 | 34,869 | |
Distributions to shareholders (Note 11) | (2,240,675) | (1,497,862) | |
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||
Proceeds from sale of shares sold | 23,145,799 | 22,676,121 | |
Cost of shares redeemed | (9,812,692) | — | |
Net income equalization | (35,847) | (34,869) | |
Other Capital | 95,729 | 79,367 | |
Net increase (decrease) in net assets from beneficial interest transactions | 13,392,989 | 22,720,619 | |
Net increase (decrease) in net assets during the period | 16,797,185 | 20,504,877 | |
Net assets at beginning of period | 48,253,079 | 27,748,202 | |
NET ASSETS AT END OF PERIOD | $65,050,264 | $48,253,079 | |
SHARES OF BENEFICIAL INTEREST: | |||
Shares sold | 475,000 | 450,000 | |
Shares redeemed | (200,000) | — | |
Net increase (decrease) | 275,000 | 450,000 |
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SPDR DoubleLine Short Duration Total Return Tactical ETF | |||
Year Ended 6/30/19 | Year Ended 6/30/18 | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $2,463,390 | $1,015,044 | |
Net realized gain (loss) | 117,898 | (66,759) | |
Net change in unrealized appreciation/depreciation | 1,310,293 | (702,128) | |
Net increase (decrease) in net assets resulting from operations | 3,891,581 | 246,157 | |
Net equalization credits and charges | 50,594 | 46,752 | |
Distributions to shareholders (Note 11) | (2,440,795) | (974,641) | |
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||
Proceeds from sale of shares sold | 41,653,504 | 48,865,257 | |
Cost of shares redeemed | (4,850,418) | — | |
Net income equalization | (50,594) | (46,752) | |
Other Capital | 106,559 | 122,163 | |
Net increase (decrease) in net assets from beneficial interest transactions | 36,859,051 | 48,940,668 | |
Net increase (decrease) in net assets during the period | 38,360,431 | 48,258,936 | |
Net assets at beginning of period | 82,983,629 | 34,724,693 | |
NET ASSETS AT END OF PERIOD | $121,344,060 | $82,983,629 | |
SHARES OF BENEFICIAL INTEREST: | |||
Shares sold | 850,000 | 1,000,000 | |
Shares redeemed | (100,000) | — | |
Net increase (decrease) | 750,000 | 1,000,000 |
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SPDR DoubleLine Total Return Tactical ETF | |||
Year Ended 6/30/19 | Year Ended 6/30/18 | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $100,519,822 | $95,786,055 | |
Net realized gain (loss) | (29,183,284) | (5,407,972) | |
Net change in unrealized appreciation/depreciation | 122,210,213 | (93,096,941) | |
Net increase (decrease) in net assets resulting from operations | 193,546,751 | (2,718,858) | |
Net equalization credits and charges | 159,504 | 37,755 | |
Distributions to shareholders (Note 11) | (108,291,677) | (103,695,830) | |
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||
Proceeds from sale of shares sold | 536,959,704 | 299,844,384 | |
Cost of shares redeemed | (470,157,761) | (366,600,086) | |
Net income equalization | (159,504) | (37,755) | |
Other Capital | 2,585,534 | 1,607,981 | |
Net increase (decrease) in net assets from beneficial interest transactions | 69,227,973 | (65,185,476) | |
Net increase (decrease) in net assets during the period | 154,642,551 | (171,562,409) | |
Net assets at beginning of period | 3,182,238,797 | 3,353,801,206 | |
NET ASSETS AT END OF PERIOD | $3,336,881,348 | $3,182,238,797 | |
SHARES OF BENEFICIAL INTEREST: | |||
Shares sold | 11,250,000 | 6,100,000 | |
Shares redeemed | (9,950,000) | (7,650,000) | |
Net increase (decrease) | 1,300,000 | (1,550,000) |
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SPDR DoubleLine Emerging Markets Fixed Income ETF | |||||||
Year Ended 6/30/19 | Year Ended 6/30/18 | Year Ended 6/30/17 | For the Period 4/14/16* - 6/30/16 | ||||
Net asset value, beginning of period | $48.25 | $50.45 | $51.52 | $50.00 | |||
Income (loss) from investment operations: | |||||||
Net investment income (loss) (a) | 1.98 | 1.31 | 1.77 | 0.45 | |||
Net realized and unrealized gain (loss) | 2.60 | (1.74) | 1.91 | 1.17 | |||
Total from investment operations | 4.58 | (0.43) | 3.68 | 1.62 | |||
Net equalization credits and charges (a) | 0.03 | 0.04 | 0.01 | — | |||
Other capital (a) | 0.08 | 0.10 | 0.05 | 0.15 | |||
Distributions to shareholders from: | |||||||
Net investment income | (1.92) | (1.36) | (1.81) | (0.25) | |||
Net realized gains | — | (0.55) | (3.00) | — | |||
Total distributions | (1.92) | (1.91) | (4.81) | (0.25) | |||
Net asset value, end of period | $51.02 | $48.25 | $50.45 | $51.52 | |||
Total return (b) | 9.99% | (0.65)% | 7.67% | 3.55% | |||
Ratios and Supplemental Data: | |||||||
Net assets, end of period (in 000s) | $65,050 | $48,253 | $27,748 | $38,639 | |||
Ratios to average net assets: | |||||||
Total expenses | 0.75% | 0.76% | 0.75% | 0.75%(c) | |||
Net expenses | 0.65% | 0.65% | 0.65% | 0.65%(c) | |||
Net investment income (loss) | 4.06% | 2.64% | 3.46% | 4.15%(c) | |||
Portfolio turnover rate (d) | 37% | 55% | 141% | 12%(e) |
* | Commencement of operations. |
(a) | Per share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the year. |
(b) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates of each distribution. Total returns for periods of less than one year are not annualized. Broker commission charges are not included in this calculation. |
(c) | Annualized. |
(d) | Portfolio turnover rate excludes securities received or delivered from in-kind processing of creations or redemptions. |
(e) | Not annualized. |
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SPDR DoubleLine Short Duration Total Return Tactical ETF | |||||||
Year Ended 6/30/19 | Year Ended 6/30/18 | Year Ended 6/30/17 | For the Period 4/14/16* - 6/30/16 | ||||
Net asset value, beginning of period | $48.81 | $49.61 | $50.40 | $50.00 | |||
Income (loss) from investment operations: | |||||||
Net investment income (loss) (a) | 1.30 | 1.02 | 1.04 | 0.22 | |||
Net realized and unrealized gain (loss) | 0.62 | (0.99) | (0.53) | 0.20 | |||
Total from investment operations | 1.92 | 0.03 | 0.51 | 0.42 | |||
Net equalization credits and charges (a) | 0.03 | 0.05 | 0.00(b) | — | |||
Other capital (a) | 0.06 | 0.12 | 0.06 | 0.10 | |||
Distributions to shareholders from: | |||||||
Net investment income | (1.29) | (1.00) | (1.13) | (0.12) | |||
Net realized gains | — | — | (0.23) | — | |||
Total distributions | (1.29) | (1.00) | (1.36) | (0.12) | |||
Net asset value, end of period | $49.53 | $48.81 | $49.61 | $50.40 | |||
Total return (c) | 4.18% | 0.43% | 1.14% | 1.04% | |||
Ratios and Supplemental Data: | |||||||
Net assets, end of period (in 000s) | $121,344 | $82,984 | $34,725 | $50,404 | |||
Ratios to average net assets: | |||||||
Total expenses | 0.50% | 0.50% | 0.50% | 0.50%(d) | |||
Net expenses | 0.45% | 0.45% | 0.45% | 0.45%(d) | |||
Net investment income (loss) | 2.65% | 2.07% | 2.10% | 2.06%(d) | |||
Portfolio turnover rate (e) | 62% | 50% | 123% | 25%(f) |
* | Commencement of operations. |
(a) | Per share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the year. |
(b) | Amount is less than $0.005 per share. |
(c) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates of each distribution. Total returns for periods of less than one year are not annualized. Broker commission charges are not included in this calculation. |
(d) | Annualized. |
(e) | Portfolio turnover rate excludes securities received or delivered from in-kind processing of creations or redemptions. |
(f) | Not annualized. |
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SPDR DoubleLine Total Return Tactical ETF | |||||||||
Year Ended 6/30/19 | Year Ended 6/30/18(a) | Year Ended 6/30/17(a) | Year Ended 6/30/16(a) | For the Period 2/23/15* - 6/30/15(a) | |||||
Net asset value, beginning of period | $47.60 | $49.03 | $49.87 | $49.43 | $50.00 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (b) | 1.56 | 1.34 | 1.33 | 1.54 | 0.55 | ||||
Net realized and unrealized gain (loss) (c) | 1.44 | (1.34) | (0.66) | 0.34 | (0.88) | ||||
Total from investment operations | 3.00 | — | 0.67 | 1.88 | (0.33) | ||||
Net equalization credits and charges (b) | 0.00(d) | 0.00(d) | 0.01 | 0.07 | 0.10 | ||||
Other capital (b) | 0.04 | 0.02 | 0.04 | 0.03 | 0.05 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (1.68) | (1.45) | (1.48) | (1.54) | (0.39) | ||||
Net realized gains | — | — | (0.08) | — | — | ||||
Total distributions | (1.68) | (1.45) | (1.56) | (1.54) | (0.39) | ||||
Net asset value, end of period | $48.96 | $47.60 | $49.03 | $49.87 | $49.43 | ||||
Total return (e) | 6.53% | 0.04% | 1.55% | 4.03% | (0.34)% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $3,336,881 | $3,182,239 | $3,353,801 | $2,657,951 | $746,443 | ||||
Ratios to average net assets: | |||||||||
Total expenses | 0.65% | 0.65% | 0.66% | 0.65% | 0.65%(f) | ||||
Net expenses | 0.55% | 0.55% | 0.55% | 0.55% | 0.56%(f) | ||||
Net investment income (loss) | 3.27% | 2.78% | 2.70% | 3.14% | 3.18%(f) | ||||
Portfolio turnover rate | 47%(g) | 34%(h) | 72%(h) | 38%(h) | 14%(h) |
* | Commencement of operations. |
(a) | The per share amounts and percentages include the Fund’s proportionate share of income and expenses of the Portfolio prior to discontinuance of the master feeder structure. See Note 1. |
(b) | Per share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the year. |
(c) | Amounts shown in this caption for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period because of the timing of sales and repurchases of Fund shares in relation to fluctuating market values for the Fund. |
(d) | Amount is less than $0.005 per share. |
(e) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates of each distribution. Total returns for periods of less than one year are not annualized. Broker commission charges are not included in this calculation. |
(f) | Annualized. |
(g) | Portfolio turnover rate excludes securities received or delivered from in-kind processing of creations or redemptions. |
(h) | Portfolio turnover is from the Fund's Portfolio prior to discontinuance of master-feeder structure. See Note 1. |
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SPDR DoubleLine Emerging Markets Fixed Income ETF |
SPDR DoubleLine Short Duration Total Return Tactical ETF |
SPDR DoubleLine Total Return Tactical ETF |
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SPDR DoubleLine Emerging Markets Fixed Income ETF |
SPDR DoubleLine Short Duration Total Return Tactical ETF |
SPDR DoubleLine Total Return Tactical ETF |
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Annual Rate | |
SPDR DoubleLine Emerging Markets Fixed Income ETF | 0.75% |
SPDR DoubleLine Short Duration Total Return Tactical ETF | 0.50 |
SPDR DoubleLine Total Return Tactical ETF | 0.65 |
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U.S. Government Obligations | Other Securities | ||||||
Purchases | Sales | Purchases | Sales | ||||
SPDR DoubleLine Emerging Markets Fixed Income ETF | $— | $— | $36,420,543 | $19,727,303 | |||
SPDR DoubleLine Short Duration Total Return Tactical ETF | 36,704,444 | 29,690,720 | 40,478,635 | 17,974,990 | |||
SPDR DoubleLine Total Return Tactical ETF | 829,209,270 | 1,122,550,412 | 509,433,326 | 304,337,432 |
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Ordinary Income | Long-Term Capital Gains | Total | |||
SPDR DoubleLine Emerging Markets Fixed Income ETF | $2,240,675 | $— | $2,240,675 | ||
SPDR DoubleLine Short Duration Total Return Tactical ETF | 2,440,795 | — | 2,440,795 | ||
SPDR DoubleLine Total Return Tactical ETF | 108,291,677 | — | 108,291,677 |
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Ordinary Income | Long-Term Capital Gains | Total | |||
SPDR DoubleLine Emerging Markets Fixed Income ETF | $ 1,449,429 | $ 48,433 | $ 1,497,862 | ||
SPDR DoubleLine Short Duration Total Return Tactical ETF | 974,641 | — | 974,641 | ||
SPDR DoubleLine Total Return Tactical ETF | 103,695,830 | — | 103,695,830 |
Undistributed Ordinary Income | Capital Loss Carryforwards | Undistributed Long-Term Capital Gains | Net Unrealized Gains (Losses) | Qualified Late-Year Losses | Total | ||||||
SPDR DoubleLine Emerging Markets Fixed Income ETF | $145,310 | $(165,013) | $— | $1,629,288 | $— | $1,609,585 | |||||
SPDR DoubleLine Short Duration Total Return Tactical ETF | 154,379 | (172,594) | — | 536,146 | — | 517,931 | |||||
SPDR DoubleLine Total Return Tactical ETF | 9,838,749 | (71,721,826) | — | 13,957,268 | — | (47,925,809) |
Non-Expiring Short Term | Non-Expiring Long Term | ||
SPDR DoubleLine Emerging Markets Fixed Income ETF | $— | $165,013 | |
SPDR DoubleLine Short Duration Total Return Tactical ETF | — | 172,594 | |
SPDR DoubleLine Total Return Tactical ETF | 16,270,466 | 55,451,360 |
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | ||||
SPDR DoubleLine Emerging Markets Fixed Income ETF | $62,561,824 | $2,248,433 | $619,145 | $1,629,288 | |||
SPDR DoubleLine Short Duration Total Return Tactical ETF | 120,488,727 | 969,385 | 433,239 | 536,146 | |||
SPDR DoubleLine Total Return Tactical ETF | 3,328,715,817 | 58,576,505 | 44,612,358 | 13,964,147 |
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Net Investment Income | Net Realized Capital Gains | Total Distributions | Undistributed Net Investment Income (Loss) | |||||
SPDR DoubleLine Emerging Markets Fixed Income ETF | $ 1,032,793 | $ 465,069 | $ 1,497,862 | $ 85,677 | ||||
SPDR DoubleLine Short Duration Total Return Tactical ETF | 974,641 | — | 974,641 | 79,557 | ||||
SPDR DoubleLine Total Return Tactical ETF | 103,695,830 | — | 103,695,830 | 9,694,482 |
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Individual fund constituting the SSGA Active Trust | Statement of operations | Statement of changes in net assets | Financial highlights |
SPDR® DoubleLine® Emerging Markets Fixed Income ETF | For the year ended June 30, 2019 | For each of the two years in the period ended June 30, 2019 | For each of the three years in the period ended June 30, 2019 and the period from April 14, 2016 (commencement of operations) through June 30, 2016 |
SPDR® DoubleLine® Short Duration Total Return Tactical ETF | For the year ended June 30, 2019 | For each of the two years in the period ended June 30, 2019 | For each of the three years in the period ended June 30, 2019 and the period from April 14, 2016 (commencement of operations) through June 30, 2016 |
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Individual fund constituting the SSGA Active Trust | Statement of operations | Statement of changes in net assets | Financial highlights |
SPDR® DoubleLine® Total Return Tactical ETF | For the year ended June 30, 2019 | For each of the two years in the period ended June 30, 2019 | For each of the four years in the period ended June 30, 2019 and the period from February 23, 2015 (commencement of operations) through June 30, 2015 |
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August 26, 2019
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SPDR DoubleLine Emerging Markets Fixed Income ETF | SPDR DoubleLine Short Duration Total Return Tactical ETF | SPDR DoubleLine Total Return Tactical ETF | |||
Annualized Expense Ratio | 0.65% | 0.45% | 0.55% | ||
Actual: | |||||
Ending Account Value | $1,090.60 | $1,030.50 | $1,052.60 | ||
Expenses Paid During Period(a) | 3.37 | 2.27 | 2.80 | ||
Hypothetical (assuming a 5% return before expenses): | |||||
Ending Account Value | 1,021.60 | 1,022.60 | 1,022.10 | ||
Expenses Paid During Period(a) | 3.26 | 2.26 | 2.76 |
(a) | Expenses are equal to the Fund's annualized net expense ratio multiplied by the average account value of the period, multiplied by 181, then divided by 365. |
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Name, Address and Year of Birth | Position(s) with Funds | Term of Office and Length of Time Served | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During the Past 5 Years | |||||
Trustees | ||||||||||
Independent Trustees | ||||||||||
FRANK NESVET c/o SSGA Active Trust One Iron Street Boston, MA 02210 1943 | Independent Trustee, Chairman, Trustee Committee Chair | Term: Unlimited Served: since March 2011 | Retired. | 128 | None. | |||||
BONNY EUGENIA BOATMAN c/o SSGA Active Trust One Iron Street Boston, MA 02210 1950 | Independent Trustee | Term: Unlimited Served: since March 2011 | Retired. | 128 | None. | |||||
DWIGHT D. CHURCHILL c/o SSGA Active Trust One Iron Street Boston, MA 02210 1953 | Independent Trustee | Term: Unlimited Served: since March 2011 | Self-employed consultant since 2010; CEO and President, CFA Institute (June 2014-January 2015). | 128 | Affiliated Managers Group, Inc. (Director). |
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Name, Address and Year of Birth | Position(s) with Funds | Term of Office and Length of Time Served | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During the Past 5 Years | |||||
CARL G. VERBONCOEUR c/o SSGA Active Trust One Iron Street Boston, MA 02210 1952 | Independent Trustee, Audit Committee Chair | Term: Unlimited Served: since March 2011 | Self-employed consultant since 2009. | 128 | The Motley Fool Funds Trust (Trustee). | |||||
CLARE S. RICHER c/o SSGA Active Trust One Iron Street Boston, MA 02210 1958 | Independent Trustee | Term: Unlimited Served: since July 2018 | Chief Financial Officer, Putnam Investments LLC (December 2008- May 2017). | 128 | Putnam Acquisition Financing Inc. (Director); Putnam Acquisition Financing LLC (Director); Putnam GP Inc. (Director); Putnam Investor Services, Inc. (Director); Putnam Investments Limited (Director); Putnam Investments Limited (Director); University of Notre Dame (Trustee). | |||||
SANDRA G. SPONEM c/o SSGA Active Trust One Iron Street Boston, MA 02210 1958 | Independent Trustee | Term: Unlimited Served: since July 2018 | Chief Financial Officer, M.A. Mortenson Companies, Inc. (February 2007- April 2017). | 128 | Guggenheim/Rydex Funds (Trustee). |
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Name, Address and Year of Birth | Position(s) with Funds | Term of Office and Length of Time Served | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During the Past 5 Years | |||||
Interested Trustee | ||||||||||
JAMES E. ROSS* SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1965 | Interested Trustee | Term: Unlimited Served as Trustee: since March 2011 | Chairman and Director, SSGA Funds Management, Inc. (2005-present); Executive Vice President and Principal, State Street Global Advisors (2006-present); Chief Executive Officer and Director, State Street Global Advisors Funds Distributors, LLC (May 2017- present); Director, State Street Global Markets, LLC (2013-April 2017); President, SSGA Funds Management, Inc. (2005-2012). | 189 | None. | |||||
† For the purpose of determining the number of portfolios overseen by the Trustees, “Fund Complex” comprises registered investment companies for which SSGA Funds Management, Inc. serves as investment adviser. | ||||||||||
* Mr. Ross is an Interested Trustee because of his employment with the Adviser and ownership interest in an affiliate of the Adviser. Mr. Ross previously served as an Interested Trustee from November 2005 to December 2009. |
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Name, Address and Year of Birth | Position(s) with Funds | Term of Office and Length of Time Served | Principal Occupation(s) During the Past 5 Years | |||
Officers | ||||||
ELLEN M. NEEDHAM SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1967 | President | Term: Unlimited Served: since October 2012 | President and Director, SSGA Funds Management, Inc. (2001 - present)*; Senior Managing Director, State Street Global Advisors (1992 - present)*; Director, State Street Global Advisors Funds Distributors, LLC (May 2017 - present). | |||
BRUCE S. ROSENBERG SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1961 | Treasurer | Term: Unlimited Served: since February 2016 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (July 2015 - present); Director, Credit Suisse (April 2008 - July 2015). | |||
ANN M. CARPENTER SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1966 | Vice President; Deputy Treasurer | Term: Unlimited Served: since August 2012 | Chief Operating Officer, SSGA Funds Management, Inc. (2005 - Present)*; Managing Director, State Street Global Advisors (2005 - present).* | |||
MICHAEL P. RILEY SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1969 | Vice President | Term: Unlimited Served: since March 2011 | Managing Director, State Street Global Advisors (2005 - present).* | |||
SEAN O’MALLEY SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1969 | Chief Legal Officer | Term: Unlimited Served: since August 2019 | Senior Vice President and Deputy General Counsel, State Street Global Advisors (November 2013 -present). | |||
ANDREW DELORME SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1975 | Secretary | Term: Unlimited Served: since August 2019 | Vice President and Senior Counsel, State Street Global Advisors (April 2016 - present); Vice President and Counsel, State Street Global Advisors (August 2014 - March 2016). | |||
JAMES GOUNDREY SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1977 | Assistant Secretary | Term: Unlimited Served: since August 2019 | Vice President and Senior Counsel, State Street Global Advisors (April 2019 - present); Vice President and Counsel, State Street Global Advisors (August 2015 - April 2019); Attorney, MFS Investment Management (March 2012 - August 2015). |
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Name, Address and Year of Birth | Position(s) with Funds | Term of Office and Length of Time Served | Principal Occupation(s) During the Past 5 Years | |||
KEVIN MORRIS SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1982 | Assistant Secretary | Term: Unlimited Served: since August 2019 | Vice President and Senior Counsel, State Street Global Advisors (April 2019 - present); Vice President and Counsel, State Street Global Advisors (January 2016 -April 2019); Director, Asset Management Compliance, Fidelity Investments (June 2015 - January 2016); Senior Compliance Advisor, Asset Management Compliance, Fidelity Investments (June 2012 - June 2015). | |||
DAVID URMAN SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1985 | Assistant Secretary | Term: Unlimited Served: since August 2019 | Vice President and Senior Counsel, State Street Global Advisors (April 2019 - present); Vice President and Counsel, State Street Global Advisors (August 2015 - April 2019); Associate, Ropes & Gray LLP (November 2012 - August 2015). | |||
CHAD C. HALLETT SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1969 | Deputy Treasurer | Term: Unlimited Served: since February 2016 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (November 2014 - present); Vice President, State Street Bank and Trust Company (2001 - November 2014).* | |||
DARLENE ANDERSON-VASQUEZ SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1968 | Deputy Treasurer | Term: Unlimited Served: since November 2016 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (May 2016 - present); Senior Vice President, John Hancock Investments (September 2007 - May 2016). | |||
ARTHUR A. JENSEN SSGA Funds Management, Inc. 1600 Summer Street Stamford, CT 06905 1966 | Deputy Treasurer | Term: Unlimited Served: Since August 2017 | Vice President at State Street Global Advisors (July 2016 – present); Mutual Funds Controller of GE Asset Management Incorporated (April 2011 - July 2016). | |||
SUJATA UPRETI SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1974 | Assistant Treasurer | Term: Unlimited Served: since February 2016 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (May 2015 - present); Assistant Director, Cambridge Associates, LLC (July 2014 - January 2015); Vice President, Bank of New York Mellon (July 2012 - August 2013); Manager, PricewaterhouseCoopers, LLP (September 2003 - July 2012). |
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Name, Address and Year of Birth | Position(s) with Funds | Term of Office and Length of Time Served | Principal Occupation(s) During the Past 5 Years | |||
DANIEL FOLEY SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1972 | Assistant Treasurer | Term: Unlimited Served: since February 2016 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (April 2007 - present).* | |||
DANIEL G. PLOURDE SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1980 | Assistant Treasurer | Term: Unlimited Served: since May 2017 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (May 2015 - present); Officer, State Street Bank and Trust Company (March 2009 - May 2015). | |||
BRIAN HARRIS SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1973 | Chief Compliance Officer; Anti-Money Laundering Officer; Code of Ethics Compliance Officer | Term: Unlimited Served: since November 2013 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (June 2013 - present)*; Senior Vice President and Global Head of Investment Compliance, BofA Global Capital Management (2010 - 2013); Director of Compliance, AARP Financial Inc. (2008 - 2010). | |||
* Served in various capacities and/or with various affiliated entities during noted time period. | ||||||
The Statement of Additional Information (SAI) includes additional information about the Funds' directors and is available, without charge, upon request and by calling 1-866-787-2257. |
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One Iron Street
Boston, MA 02210
One Iron Street
Boston, MA 02210
One Lincoln Street
Boston, MA 02111
1111 Pennsylvania Avenue, NW
Washington, DC 20004
200 Clarendon Street
Boston, MA 02116
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One Iron Street
Boston, MA 02210
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SPDR Blackstone / GSO Senior Loan ETF |
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4 | |
7 | |
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15 | |
17 |
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Cumulative Total Return | Average Annual Total Return | ||||||||
Net Asset Value | Market Value | Markit iBoxx USD Liquid Leveraged Loan Index | Net Asset Value | Market Value | Markit iBoxx USD Liquid Leveraged Loan Index | ||||
ONE YEAR(1) | 3.68% | 3.71% | 3.49% | 3.68% | 3.71% | 3.49% | |||
FIVE YEARS(1) | 14.78% | 14.71% | 12.96% | 2.79% | 2.78% | 2.47% | |||
SINCE INCEPTION(1) (2) | 18.54% | 18.46% | 18.65% | 2.76% | 2.75% | 2.78% | |||
(1) | The One Year, Five Year and Since Inception Cumulative Total Returns for the Fund’s secondary benchmark, S&P/LSTA U.S. Leveraged Loan 100 Index, were 4.22%, 16.52% and 22.72%, respectively. The One Year, Five Year and Since Inception Average Annual Total Returns for the Fund’s secondary benchmark, S&P/LSTA U.S. Leveraged Loan 100 Index, were 4.22%, 3.10% and 3.34%, respectively. |
(2) | For the period April 3, 2013 to June 30, 2019. |
(Based on Net Asset Value)
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SPDR Blackstone / GSO Senior Loan ETF | |
ASSETS | |
Investment in corresponding affiliated Portfolio, at value | $2,223,143,581 |
Cash | 9 |
TOTAL ASSETS | 2,223,143,590 |
LIABILITIES | |
Advisory fee payable | 738,000 |
Trustees’ fees and expenses payable | 5,480 |
TOTAL LIABILITIES | 743,480 |
NET ASSETS | $2,222,400,110 |
NET ASSETS CONSIST OF: | |
Paid-in Capital | $2,358,897,608 |
Total distributable earnings (loss) | (136,497,498) |
NET ASSETS | $2,222,400,110 |
NET ASSET VALUE PER SHARE | |
Net asset value per share | $46.25 |
Shares outstanding (unlimited amount authorized, no par value) | 48,050,000 |
COST OF INVESTMENTS: | |
Investments in corresponding affiliated Portfolio | $2,238,571,848 |
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SPDR Blackstone / GSO Senior Loan ETF | |
INCOME AND EXPENSES ALLOCATED FROM AFFILIATED PORTFOLIO | |
Interest income allocated from affiliated Portfolio | $161,843,302 |
Dividend income allocated from affiliated Portfolio | 4,228,568 |
Interest income - unaffiliated issuers | 8,136 |
Expenses allocated from affiliated Portfolio | (8,325,532) |
TOTAL INVESTMENT INCOME (LOSS) ALLOCATED FROM AFFILIATED PORTFOLIO | 157,754,474 |
EXPENSES | |
Advisory fee | 11,017,790 |
Trustees’ fees and expenses | 51,943 |
TOTAL EXPENSES | 11,069,733 |
NET INVESTMENT INCOME (LOSS) | 146,684,741 |
REALIZED AND UNREALIZED GAIN (LOSS) | |
Net realized gain (loss) on: | |
Investment transactions allocated from affiliated Portfolio | (68,985,052) |
Net change in unrealized appreciation/depreciation on: | |
Investment transactions allocated from affiliated Portfolio | (7,710,527) |
NET REALIZED AND UNREALIZED GAIN (LOSS) | (76,695,579) |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $69,989,162 |
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SPDR Blackstone / GSO Senior Loan ETF | |||
Year Ended 6/30/19 | Year Ended 6/30/18 | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $146,684,741 | $103,046,158 | |
Net realized gain (loss) | (68,985,052) | (11,863,241) | |
Net change in unrealized appreciation/depreciation | (7,710,527) | (16,510,899) | |
Net increase (decrease) in net assets resulting from operations | 69,989,162 | 74,672,018 | |
Net equalization credits and charges | (1,756,152) | 1,868,667 | |
Distributions to shareholders (Note 7) | (147,138,500) | (97,740,250) | |
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||
Proceeds from sale of shares sold | 780,016,464 | 1,509,849,497 | |
Cost of shares redeemed | (1,675,706,058) | (118,513,417) | |
Net income equalization | 1,756,152 | (1,868,667) | |
Other Capital | 5,615,427 | 850,598 | |
Net increase (decrease) in net assets from beneficial interest transactions | (888,318,015) | 1,390,318,011 | |
Net increase (decrease) in net assets during the period | (967,223,505) | 1,369,118,446 | |
Net assets at beginning of period | 3,189,623,615 | 1,820,505,169 | |
NET ASSETS AT END OF PERIOD | $2,222,400,110 | $3,189,623,615 | |
SHARES OF BENEFICIAL INTEREST: | |||
Shares sold | 16,750,000 | 31,900,000 | |
Shares redeemed | (36,500,000) | (2,500,000) | |
Net increase (decrease) | (19,750,000) | 29,400,000 |
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SPDR Blackstone / GSO Senior Loan ETF | |||||||||
Year Ended 6/30/19(a) | Year Ended 6/30/18(a) | Year Ended 6/30/17(a) | Year Ended 6/30/16(a) | Year Ended 6/30/15(a) | |||||
Net asset value, beginning of period | $47.04 | $47.41 | $46.64 | $49.22 | $50.02 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (b) | 2.48 | 2.04 | 1.85 | 1.95 | 2.01 | ||||
Net realized and unrealized gain (loss) (c) | (0.86) | (0.50) | 0.73 | (2.58) | (0.88) | ||||
Total from investment operations | 1.62 | 1.54 | 2.58 | (0.63) | 1.13 | ||||
Net equalization credits and charges (b) | (0.03) | 0.04 | 0.05 | 0.02 | 0.01 | ||||
Other capital (b) | 0.09 | 0.02 | 0.02 | 0.02 | 0.02 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (2.47) | (1.97) | (1.88) | (1.99) | (1.96) | ||||
Net asset value, end of period | $46.25 | $47.04 | $47.41 | $46.64 | $49.22 | ||||
Total return (d) | 3.68% | 3.43% | 5.77% | (1.15)% | 2.38% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $2,222,400 | $3,189,624 | $1,820,505 | $802,228 | $671,810 | ||||
Ratios to average net assets: | |||||||||
Total expenses | 0.70% | 0.70% | 0.70% | 0.71% | 0.71% | ||||
Net investment income (loss) | 5.33% | 4.30% | 3.91% | 4.15% | 4.09% | ||||
Portfolio turnover rate (e) | 124% | 90% | 68% | 88% | 65% |
(a) | The per share amounts and percentages include the Fund’s proportionate share of income and expenses of the affiliated Portfolio. |
(b) | Per share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the year. |
(c) | Amounts shown in this caption for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period because of the timing of sales and repurchases of Fund shares in relation to fluctuating market values for the Fund. |
(d) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates of each distribution. Total returns for periods of less than one year are not annualized. Broker commission charges are not included in this calculation. |
(e) | Portfolio turnover rate is from the affiliated Portfolio. |
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Annual Rate | |
SPDR Blackstone / GSO Senior Loan ETF | 0.70%* |
* | The Advisory fee is reduced by the pro-rata share of the advisory fee of the Fund’s Portfolio. For the period ended June 30, 2019, the net annualized advisory fee was 0.40%. |
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Ordinary Income | Long-Term Capital Gains | Total | |||
SPDR Blackstone / GSO Senior Loan ETF | $147,138,500 | $— | $147,138,500 |
Ordinary Income | Long-Term Capital Gains | Total | |||
SPDR Blackstone / GSO Senior Loan ETF | $ 97,740,250 | $ — | $ 97,740,250 |
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Undistributed Ordinary Income | Capital Loss Carryforwards | Undistributed Long-Term Capital Gains | Net Unrealized Gains (Losses) | Qualified Late-Year Losses | Total | ||||||
SPDR Blackstone / GSO Senior Loan ETF | $7,952,442 | $(120,085,688) | $— | $(24,364,252) | $— | $(136,497,498) |
Non-Expiring Short Term | Non-Expiring Long Term | ||
SPDR Blackstone / GSO Senior Loan ETF | $62,240,756 | $57,844,932 |
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | ||||
SPDR Blackstone / GSO Senior Loan ETF | $2,247,507,833 | $— | $24,364,252 | $(24,364,252) |
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Net Investment Income | Net Realized Gains | Total Distributions | Undistributed Net Investment Income (Loss) | |||||
SPDR Blackstone / GSO Senior Loan ETF | $ 97,740,250 | $— | $ 97,740,250 | $ 8,406,201 |
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SPDR Blackstone / GSO Senior Loan ETF (a) | |
Annualized Expense Ratio | 0.70% |
Actual: | |
Ending Account Value | $1,054.40 |
Expenses Paid During Period(b) | 3.57 |
Hypothetical (assuming a 5% return before expenses): | |
Ending Account Value | 1,021.30 |
Expenses Paid During Period(b) | 3.51 |
(a) | Because the Fund invests all of its assets in its respective Master Portfolio, the expense example reflects the net expenses of both the Fund and the Master Portfolio in which it invests. |
(b) | Expenses are equal to the Fund's annualized net expense ratio multiplied by the average account value of the period, multiplied by 181, then divided by 365. |
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Name, Address and Year of Birth | Position(s) with Funds | Term of Office and Length of Time Served | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During the Past 5 Years | |||||
Trustees | ||||||||||
Independent Trustees | ||||||||||
FRANK NESVET c/o SSGA Active Trust One Iron Street Boston, MA 02210 1943 | Independent Trustee, Chairman, Trustee Committee Chair | Term: Unlimited Served: since March 2011 | Retired. | 128 | None. | |||||
BONNY EUGENIA BOATMAN c/o SSGA Active Trust One Iron Street Boston, MA 02210 1950 | Independent Trustee | Term: Unlimited Served: since March 2011 | Retired. | 128 | None. | |||||
DWIGHT D. CHURCHILL c/o SSGA Active Trust One Iron Street Boston, MA 02210 1953 | Independent Trustee | Term: Unlimited Served: since March 2011 | Self-employed consultant since 2010; CEO and President, CFA Institute (June 2014-January 2015). | 128 | Affiliated Managers Group, Inc. (Director). | |||||
CARL G. VERBONCOEUR c/o SSGA Active Trust One Iron Street Boston, MA 02210 1952 | Independent Trustee, Audit Committee Chair | Term: Unlimited Served: since March 2011 | Self-employed consultant since 2009. | 128 | The Motley Fool Funds Trust (Trustee). | |||||
CLARE S. RICHER c/o SSGA Active Trust One Iron Street Boston, MA 02210 1958 | Independent Trustee | Term: Unlimited Served: since July 2018 | Chief Financial Officer, Putnam Investments LLC (December 2008- May 2017). | 128 | Putnam Acquisition Financing Inc. (Director); Putnam Acquisition Financing LLC (Director); Putnam GP Inc. (Director); Putnam Investor Services, Inc. (Director); Putnam Investments Limited (Director); Putnam Investments Limited (Director); University of Notre Dame (Trustee). |
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Name, Address and Year of Birth | Position(s) with Funds | Term of Office and Length of Time Served | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During the Past 5 Years | |||||
SANDRA G. SPONEM c/o SSGA Active Trust One Iron Street Boston, MA 02210 1958 | Independent Trustee | Term: Unlimited Served: since July 2018 | Chief Financial Officer, M.A. Mortenson Companies, Inc. (February 2007- April 2017). | 128 | Guggenheim/Rydex Funds (Trustee). | |||||
Interested Trustee | ||||||||||
JAMES E. ROSS* SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1965 | Interested Trustee | Term: Unlimited Served as Trustee: since March 2011 | Chairman and Director, SSGA Funds Management, Inc. (2005-present); Executive Vice President and Principal, State Street Global Advisors (2006-present); Chief Executive Officer and Director, State Street Global Advisors Funds Distributors, LLC (May 2017- present); Director, State Street Global Markets, LLC (2013-April 2017); President, SSGA Funds Management, Inc. (2005-2012). | 189 | None. | |||||
† For the purpose of determining the number of portfolios overseen by the Trustees, “Fund Complex” comprises registered investment companies for which SSGA Funds Management, Inc. serves as investment adviser. | ||||||||||
* Mr. Ross is an Interested Trustee because of his employment with the Adviser and ownership interest in an affiliate of the Adviser. Mr. Ross previously served as an Interested Trustee from November 2005 to December 2009. |
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Name, Address and Year of Birth | Position(s) with Funds | Term of Office and Length of Time Served | Principal Occupation(s) During the Past 5 Years | |||
Officers | ||||||
ELLEN M. NEEDHAM SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1967 | President | Term: Unlimited Served: since October 2012 | President and Director, SSGA Funds Management, Inc. (2001 - present)*; Senior Managing Director, State Street Global Advisors (1992 - present)*; Director, State Street Global Advisors Funds Distributors, LLC (May 2017 - present). | |||
BRUCE S. ROSENBERG SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1961 | Treasurer | Term: Unlimited Served: since February 2016 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (July 2015 - present); Director, Credit Suisse (April 2008 - July 2015). | |||
ANN M. CARPENTER SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1966 | Vice President; Deputy Treasurer | Term: Unlimited Served: since August 2012 | Chief Operating Officer, SSGA Funds Management, Inc. (2005 - Present)*; Managing Director, State Street Global Advisors (2005 - present).* | |||
MICHAEL P. RILEY SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1969 | Vice President | Term: Unlimited Served: since March 2011 | Managing Director, State Street Global Advisors (2005 - present).* | |||
SEAN O’MALLEY SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1969 | Chief Legal Officer | Term: Unlimited Served: since August 2019 | Senior Vice President and Deputy General Counsel, State Street Global Advisors (November 2013 -present). | |||
ANDREW DELORME SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1975 | Secretary | Term: Unlimited Served: since August 2019 | Vice President and Senior Counsel, State Street Global Advisors (April 2016 - present); Vice President and Counsel, State Street Global Advisors (August 2014 - March 2016). | |||
JAMES GOUNDREY SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1977 | Assistant Secretary | Term: Unlimited Served: since August 2019 | Vice President and Senior Counsel, State Street Global Advisors (April 2019 - present); Vice President and Counsel, State Street Global Advisors (August 2015 - April 2019); Attorney, MFS Investment Management (March 2012 - August 2015). |
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Name, Address and Year of Birth | Position(s) with Funds | Term of Office and Length of Time Served | Principal Occupation(s) During the Past 5 Years | |||
KEVIN MORRIS SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1982 | Assistant Secretary | Term: Unlimited Served: since August 2019 | Vice President and Senior Counsel, State Street Global Advisors (April 2019 - present); Vice President and Counsel, State Street Global Advisors (January 2016 -April 2019); Director, Asset Management Compliance, Fidelity Investments (June 2015 - January 2016); Senior Compliance Advisor, Asset Management Compliance, Fidelity Investments (June 2012 - June 2015). | |||
DAVID URMAN SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1985 | Assistant Secretary | Term: Unlimited Served: since August 2019 | Vice President and Senior Counsel, State Street Global Advisors (April 2019 - present); Vice President and Counsel, State Street Global Advisors (August 2015 - April 2019); Associate, Ropes & Gray LLP (November 2012 - August 2015). | |||
CHAD C. HALLETT SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1969 | Deputy Treasurer | Term: Unlimited Served: since February 2016 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (November 2014 - present); Vice President, State Street Bank and Trust Company (2001 - November 2014).* | |||
DARLENE ANDERSON-VASQUEZ SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1968 | Deputy Treasurer | Term: Unlimited Served: since November 2016 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (May 2016 - present); Senior Vice President, John Hancock Investments (September 2007 - May 2016). | |||
ARTHUR A. JENSEN SSGA Funds Management, Inc. 1600 Summer Street Stamford, CT 06905 1966 | Deputy Treasurer | Term: Unlimited Served: Since August 2017 | Vice President at State Street Global Advisors (July 2016 – present); Mutual Funds Controller of GE Asset Management Incorporated (April 2011 - July 2016). | |||
SUJATA UPRETI SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1974 | Assistant Treasurer | Term: Unlimited Served: since February 2016 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (May 2015 - present); Assistant Director, Cambridge Associates, LLC (July 2014 - January 2015); Vice President, Bank of New York Mellon (July 2012 - August 2013); Manager, PricewaterhouseCoopers, LLP (September 2003 - July 2012). |
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Name, Address and Year of Birth | Position(s) with Funds | Term of Office and Length of Time Served | Principal Occupation(s) During the Past 5 Years | |||
DANIEL FOLEY SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1972 | Assistant Treasurer | Term: Unlimited Served: since February 2016 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (April 2007 - present).* | |||
DANIEL G. PLOURDE SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1980 | Assistant Treasurer | Term: Unlimited Served: since May 2017 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (May 2015 - present); Officer, State Street Bank and Trust Company (March 2009 - May 2015). | |||
BRIAN HARRIS SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1973 | Chief Compliance Officer; Anti-Money Laundering Officer; Code of Ethics Compliance Officer | Term: Unlimited Served: since November 2013 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (June 2013 - present)*; Senior Vice President and Global Head of Investment Compliance, BofA Global Capital Management (2010 - 2013); Director of Compliance, AARP Financial Inc. (2008 - 2010). | |||
* Served in various capacities and/or with various affiliated entities during noted time period. | ||||||
The Statement of Additional Information (SAI) includes additional information about the Funds' directors and is available, without charge, upon request and by calling 1-866-787-2257. |
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One Iron Street
Boston, MA 02210
One Iron Street
Boston, MA 02210
One Lincoln Street
Boston, MA 02111
1111 Pennsylvania Avenue, NW
Washington, DC 20004
200 Clarendon Street
Boston, MA 02116
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Blackstone / GSO Senior Loan Portfolio |
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Description | % of Net Assets | ||
Envision Healthcare Corp. Senior Secured 2018 1st Lien Term Loan 6.15% 10/10/2025 | 2.0% | ||
CenturyLink, Inc. Senior Secured 2017 Term Loan B 5.15% 1/31/2025 | 1.8 | ||
Univision Communications, Inc. Senior Secured Term Loan C5 5.15% 3/15/2024 | 1.7 | ||
Bass Pro Group LLC Senior Secured Term Loan B 7.40% 9/25/2024 | 1.6 | ||
Almonde, Inc. Senior Secured USD 1st Lien Term Loan 5.90% 6/13/2024 | 1.4 | ||
TOTAL | 8.5% |
% of Net Assets | |||
Software | 11.8% | ||
Health Care Providers & Services | 10.0 | ||
Media | 9.5 | ||
Commercial Services & Supplies | 9.3 | ||
Hotels, Restaurants & Leisure | 4.6 | ||
Insurance | 4.4 | ||
Pharmaceuticals | 4.2 | ||
Specialty Retail | 3.0 | ||
Computer Services | 3.0 | ||
Diversified Telecommunication Services | 2.1 | ||
Auto Components | 2.0 | ||
Containers & Packaging | 1.9 | ||
Diversified Financial Services | 1.9 | ||
IT Services | 1.8 | ||
Chemicals | 1.7 | ||
Aerospace & Defense | 1.5 | ||
Telecom Services | 1.5 | ||
Retail-Restaurants | 1.4 | ||
Electronic Equipment, Instruments & Components | 1.3 | ||
Machinery-Construction & Mining | 1.3 | ||
Diversified Operations | 1.3 | ||
Machinery | 1.2 | ||
Construction Materials | 1.1 | ||
Advertising Services | 1.0 | ||
Health Care Technology | 0.9 | ||
Interactive Media & Services | 0.9 | ||
Capital Markets | 0.9 | ||
Recycling | 0.9 | ||
Health Care Equipment & Supplies | 0.9 | ||
Life Sciences Tools & Services | 0.7 |
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% of Net Assets | |||
Construction & Engineering | 0.7% | ||
Entertainment | 0.7 | ||
Food Products | 0.6 | ||
Electric Utilities | 0.6 | ||
Distributors | 0.5 | ||
Pollution Control | 0.5 | ||
Internet & Catalog Retail | 0.5 | ||
Oil, Gas & Consumable Fuels | 0.5 | ||
Pipelines | 0.5 | ||
Food & Beverage | 0.5 | ||
Multiline Retail | 0.4 | ||
Professional Services | 0.3 | ||
Financial Services | 0.3 | ||
Semiconductor Equipment | 0.3 | ||
Metals & Mining | 0.3 | ||
Paper&Related Products | 0.3 | ||
Thrifts & Mortgage Finance | 0.3 | ||
Retail-Petroleum Product | 0.3 | ||
Household Products | 0.2 | ||
Leisure Equipment & Products | 0.2 | ||
Hand/Machine Tools and Related Products | 0.2 | ||
Energy Equipment & Services | 0.1 | ||
Building Products | 0.1 | ||
Electrical Equipment | 0.1 | ||
Food & Staples Retailing | 0.1 | ||
Telecommunication Equip | 0.1 | ||
Diagnostic Equipment | 0.1 | ||
Distribution/Wholesale | 0.1 | ||
Electric-Generation | 0.1 | ||
Diversified Consumer Services | 0.0 * | ||
Oil-Field Services | 0.0 * | ||
Air Freight & Logistics | 0.0 * | ||
Short-Term Investment | 3.3 | ||
Liabilities in Excess of Other Assets | (0.8) | ||
TOTAL | 100.0% | ||
* | Amount shown represents less than 0.05% of net assets. |
Table of Contents
Security Description | Principal Amount | Value | |||
SENIOR FLOATING RATE LOANS — 82.0% (a) | |||||
ADVERTISING SERVICES — 1.0% | |||||
AppLovin Corp. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 3.50%, 5.90%, 8/15/2025 | $7,393,921 | $7,393,957 | |||
Red Ventures LLC Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 3.00%, 5.40%, 11/8/2024 | 14,015,105 | 14,001,511 | |||
21,395,468 | |||||
AEROSPACE & DEFENSE — 1.1% | |||||
TransDigm, Inc.: | |||||
Senior Secured 2018 Term Loan E, 3 Month USD LIBOR + 2.50%, 4.83%, 5/30/2025 | 17,103,508 | 16,738,263 | |||
Senior Secured 2018 Term Loan F, 3 Month USD LIBOR + 2.50%, 4.83%, 6/9/2023 | 8,006,567 | 7,872,737 | |||
24,611,000 | |||||
AIR FREIGHT & LOGISTICS — 0.0% (b) | |||||
XPO Logistics, Inc. Senior Secured 2019 Term Loan B1, 1 Month USD LIBOR + 2.50%, 4.88%, 2/24/2025 | 936,508 | 939,102 | |||
AUTO COMPONENTS — 1.6% | |||||
Panther BF Aggregator 2 L.P. Senior Secured Term Loan B, 1 Month USD LIBOR + 3.50%, 5.90%, 4/30/2026 | 22,000,000 | 21,869,430 | |||
USI, Inc. Senior Secured 2017 Repriced Term Loan, 1 Month USD LIBOR + 3.00%, 5.33%, 5/16/2024 | 14,508,306 | 14,170,189 | |||
36,039,619 | |||||
BUILDING PRODUCTS — 0.1% | |||||
AZEK Co. LLC Senior Secured 2017 Term Loan, 1 Month USD LIBOR + 3.75%, 5.93%, 5/5/2024 | 1,974,747 | 1,945,126 |
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Security Description | Principal Amount | Value | |||
Builders FirstSource, Inc. Senior Secured 2017 Term Loan B, 3 Month USD LIBOR + 3.00%, 5.33%, 2/29/2024 | $653,723 | $652,703 | |||
2,597,829 | |||||
CAPITAL MARKETS — 0.9% | |||||
AqGen Ascensus, Inc. Senior Secured 2017 Repriced Term Loan, 1 Month USD LIBOR + 4.00%, 6.20%, 12/3/2022 | 3,789,420 | 3,801,281 | |||
Deerfield Dakota Holdings, LLC. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 3.25%, 5.65%, 2/13/2025 | 17,503,251 | 17,009,396 | |||
20,810,677 | |||||
CHEMICALS — 1.7% | |||||
Alpha 3 B.V. Senior Secured 2017 Term Loan B1, 3 Month USD LIBOR + 3.00%, 5.33%, 1/31/2024 | 3,871,416 | 3,796,892 | |||
Avantor, Inc. Senior Secured 2017 1st Lien Term Loan, 1 Month USD LIBOR + 3.00%, 5.40%, 11/21/2024 | 1,061,802 | 1,067,445 | |||
Composite Resins Holding B.V. Senior Secured 2018 Term Loan B, 3 Month USD LIBOR + 4.25%, 6.82%, 8/1/2025 | 9,875,126 | 9,801,062 | |||
Starfruit Finco B.V. Senior Secured 2018 USD Term Loan B, 1 Month USD LIBOR + 3.25%, 5.67%, 10/1/2025 | 20,321,352 | 20,054,635 | |||
Vantage Specialty Chemicals, Inc. Senior Secured 2017 1st Lien Term Loan, 3 Month USD LIBOR + 3.50%, 5.98%, 10/28/2024 | 3,447,009 | 3,408,230 | |||
38,128,264 | |||||
COMMERCIAL SERVICES & SUPPLIES — 8.0% | |||||
Allied Universal Holdco LLC: | |||||
Senior Secured 2019 Delayed Draw Term Loan, 6.65%, 6/26/2026 | 1,981,982 | 1,977,027 | |||
Senior Secured 2019 Term Loan B, 6.15%, 6/26/2026 | 20,018,018 | 19,967,973 |
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Security Description | Principal Amount | Value | |||
Ancestry.com Operations, Inc. Senior Secured 2017 1st Lien Term Loan, 1 Month USD LIBOR + 3.25%, 5.66%, 10/19/2023 | $4,603,564 | $4,601,653 | |||
APX Group, Inc. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 5.00%, 7.33%, 4/1/2024 | 4,253,588 | 4,072,811 | |||
Asurion LLC: | |||||
Senior Secured 2017 2nd Lien Term Loan, 1 Month USD LIBOR + 6.50%, 8.90%, 8/4/2025 | 12,446,519 | 12,647,531 | |||
Senior Secured 2017 Term Loan B4, 1 Month USD LIBOR + 3.00%, 5.40%, 8/4/2022 | 6,452,316 | 6,445,380 | |||
Senior Secured 2018 Term Loan B6, 1 Month USD LIBOR + 3.00%, 5.40%, 11/3/2023 | 29,670,889 | 29,647,004 | |||
Senior Secured 2018 Term Loan B7, 1 Month USD LIBOR + 3.00%, 5.40%, 11/3/2024 | 18,506,300 | 18,492,143 | |||
Cast and Crew Payroll LLC Senior Secured 2019 1st Lien Term Loan, 1 Month USD LIBOR + 4.00%, 6.41%, 2/9/2026 | 3,787,975 | 3,810,703 | |||
Comet Acquisition, Inc. Senior Secured Term Loan, 1 Month USD LIBOR + 3.50%, 6.02%, 10/24/2025 | 4,070,455 | 4,024,662 | |||
Equian LLC Senior Secured Add on Term Loan B, 1 Month USD LIBOR + 3.25%, 5.65%, 5/20/2024 | 4,346,650 | 4,348,280 | |||
ExamWorks Group, Inc. Senior Secured 2017 Term Loan, 1 Month USD LIBOR + 3.25%, 5.65%, 7/27/2023 | 2,992,328 | 2,994,198 | |||
GFL Environmental, Inc. Senior Secured 2018 USD Term Loan B, 1 Month USD LIBOR + 3.00%, 5.40%, 5/30/2025 | 9,638,966 | 9,498,719 | |||
KUEHG Corp. Senior Secured 2018 Incremental Term Loan, 1 Month USD LIBOR + 3.75%, 6.08%, 2/21/2025 | 4,842,113 | 4,831,726 | |||
Learning Care Group, Inc. Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 3.25%, 5.83%, 3/13/2025 | 4,998,581 | 4,928,601 |
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Security Description | Principal Amount | Value | |||
Lineage Logistics Holdings LLC Senior Secured 2018 Term Loan, 1 Month USD LIBOR + 3.00%, 5.40%, 2/27/2025 | $7,418,683 | $7,358,406 | |||
Packers Holdings LLC Senior Secured 2017 Term Loan B, 1 Month USD LIBOR + 3.00%, 5.32%, 12/4/2024 | 2,817,974 | 2,781,862 | |||
Prime Security Services Borrower LLC Senior Secured 2016 1st Lien Term Loan, 1 Month USD LIBOR + 2.75%, 5.15%, 5/2/2022 | 1,321,170 | 1,313,798 | |||
Prometric Holdings, Inc. Senior Secured 1st Lien Term Loan, 1 Month USD LIBOR + 3.00%, 5.41%, 1/29/2025 | 900,650 | 884,889 | |||
Southern Graphics, Inc. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 3.25%, 5.73%, 12/31/2022 | 152,027 | 127,608 | |||
SSH Group Holdings, Inc. Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 4.25%, 6.83%, 7/30/2025 | 5,550,303 | 5,524,882 | |||
TruGreen, Ltd. Partnership Senior Secured 2019 Term Loan, 1 Month USD LIBOR + 3.75%, 6.16%, 3/19/2026 | 1,660,333 | 1,666,567 | |||
Verscend Holding Corp. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 4.50%, 6.90%, 8/27/2025 | 21,710,937 | 21,768,689 | |||
VT Topco, Inc.: | |||||
Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 3.75%, 6.08%, 8/1/2025 | 3,416,047 | 3,414,970 | |||
Senior Secured 2018 Delayed Draw Term Loan, 1 Month USD LIBOR + 3.75%, 6.08%, 8/1/2025 | 708,093 | 707,870 | |||
177,837,952 | |||||
COMPUTER SERVICES — 2.4% | |||||
Carbonite, Inc. Senior Secured Term Loan B, 1 Month USD LIBOR + 3.75%, 6.15%, 3/26/2026 | 4,000,000 | 4,014,160 | |||
ConvergeOne Holdings, Inc. Senior Secured 2019 Term Loan, 1 Month USD LIBOR + 5.00%, 7.40%, 1/4/2026 | 23,215,606 | 22,141,884 |
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Security Description | Principal Amount | Value | |||
Dell International LLC. Senior Secured 2017 Term Loan B, 1 Month USD LIBOR + 2.00%, 4.41%, 9/7/2023 | $974,760 | $970,905 | |||
Genuine Financial Holdings LLC Senior Secured 2018 1st Lien Term Loan, 3 Month USD LIBOR + 3.75%, 6.15%, 7/12/2025 | 16,115,242 | 15,933,946 | |||
Perforce Software, Inc. Senior Secured Term Loan B, 4.50%, 7/1/2026 | 10,080,645 | 10,080,645 | |||
Tempo Acquisition LLC Senior Secured Term Loan, 1 Month USD LIBOR + 3.00%, 5.40%, 5/1/2024 | 997,456 | 994,962 | |||
54,136,502 | |||||
CONSTRUCTION & ENGINEERING — 0.6% | |||||
CNT Holdings III Corp. Senior Secured 2017 Term Loan, 1 Month USD LIBOR + 3.25%, 5.45%, 1/22/2023 | 4,911,839 | 4,870,383 | |||
Dynasty Acquisition Co., Inc. Senior Secured 2019 Term Loan B1, 3 Month USD LIBOR + 4.00%, 6.33%, 4/6/2026 | 3,333,042 | 3,351,490 | |||
MX Holdings US, Inc. Senior Secured 2018 USD Term Loan B1C, 1 Month USD LIBOR + 3.00%, 5.40%, 7/31/2025 | 1,989,802 | 1,988,558 | |||
Pike Corp. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 3.50%, 5.91%, 3/23/2025 | 3,513,639 | 3,522,740 | |||
13,733,171 | |||||
CONSTRUCTION MATERIALS — 1.1% | |||||
ERM Emerald US, Inc. Senior Secured USD Term Loan, 3.75%, 6/26/2026 | 5,154,639 | 5,167,526 | |||
Quikrete Holdings, Inc. Senior Secured 2016 1st Lien Term Loan, 1 Month USD LIBOR + 2.75%, 5.15%, 11/15/2023 | 15,000,000 | 14,760,450 |
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Security Description | Principal Amount | Value | |||
Tamko Building Products, Inc. Senior Secured Term Loan B, 3 Month USD LIBOR + 3.25%, 5.58%, 4/23/2026 | $4,477,612 | $4,471,903 | |||
Traverse Midstream Partners LLC Senior Secured 2017 Term Loan, 3 Month USD LIBOR + 4.00%, 6.59%, 9/27/2024 | 874,762 | 867,261 | |||
25,267,140 | |||||
CONTAINERS & PACKAGING — 1.9% | |||||
Berlin Packaging LLC Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 3.00%, 5.44%, 11/7/2025 | 4,584,022 | 4,460,506 | |||
Berry Global, Inc. Senior Secured USD Term Loan U, 2.50%, 5/15/2026 | 20,297,872 | 20,183,697 | |||
Charter NEX US Holdings, Inc. Senior Secured Incremental Term Loan, 1 Month USD LIBOR + 3.50%, 5.90%, 5/16/2024 | 5,397,727 | 5,390,305 | |||
Reynolds Group Holdings, Inc. Senior Secured USD 2017 Term Loan, 1 Month USD LIBOR + 2.75%, 5.15%, 2/5/2023 | 5,121,293 | 5,090,667 | |||
Trident TPI Holdings, Inc. Senior Secured 2017 USD Term Loan B1, 1 Month USD LIBOR + 3.25%, 5.65%, 10/17/2024 | 7,613,572 | 7,228,173 | |||
42,353,348 | |||||
DIAGNOSTIC EQUIPMENT — 0.1% | |||||
Lifescan Global Corp. Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 6.00%, 8.66%, 10/1/2024 | 1,836,752 | 1,758,690 | |||
DISTRIBUTION/WHOLESALE — 0.0% (b) | |||||
Univar USA, Inc. Senior Secured 2019 USD Term Loan B, 1 Month USD LIBOR + 2.50%, 4.90%, 7/1/2024 | 951,203 | 951,503 |
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Security Description | Principal Amount | Value | |||
DISTRIBUTORS — 0.4% | |||||
Explorer Holdings, Inc. Senior Secured 2016 Term Loan B, 1 Month USD LIBOR + 3.75%, 6.08%, 5/2/2023 | $5,454,660 | $5,439,333 | |||
Spin Holdco, Inc. Senior Secured 2017 Term Loan B, 3 Month USD LIBOR + 3.25%, 5.85%, 11/14/2022 | 2,481,013 | 2,436,044 | |||
7,875,377 | |||||
DIVERSIFIED CONSUMER SERVICES — 0.0% (b) | |||||
Weight Watchers International, Inc. Senior Secured 2017 Term Loan B, 1 Month USD LIBOR + 4.75%, 7.35%, 11/29/2024 | 175,922 | 173,247 | |||
DIVERSIFIED FINANCIAL SERVICES — 1.8% | |||||
Edelman Financial Center LLC: | |||||
Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 3.25%, 5.64%, 7/21/2025 | 6,977,516 | 6,965,061 | |||
Senior Secured 2018 2nd Lien Term Loan, 1 Month USD LIBOR + 6.75%, 9.14%, 7/20/2026 | 769,231 | 775,000 | |||
IG Investment Holdings LLC Senior Secured 2018 1st Lien Term Loan, 3 Month USD LIBOR + 4.00%, 6.33%, 5/23/2025 | 2,207,432 | 2,192,532 | |||
LDiscovery LLC Senior Secured Term Loan, 1 Month USD LIBOR + 5.88%, 8.47%, 12/9/2022 | 3,203,463 | 3,187,462 | |||
Millennium Trust Co. LLC Senior Secured Term Loan B, 1 Month USD LIBOR + 5.00%, 7.40%, 2/26/2026 | 6,100,096 | 6,013,658 | |||
UFC Holdings LLC Senior Secured 2019 Term Loan, 1 Month USD LIBOR + 3.25%, 5.66%, 4/29/2026 | 292,299 | 292,116 | |||
William Morris Endeavor Entertainment LLC Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 2.75%, 5.16%, 5/18/2025 | 22,138,365 | 21,455,728 | |||
40,881,557 | |||||
DIVERSIFIED OPERATIONS — 1.3% | |||||
Travelport Finance (Luxembourg) S.a.r.l.: |
Table of Contents
Security Description | Principal Amount | Value | |||
Senior Secured 2019 2nd Lien Term Loan, 1 Month USD LIBOR + 9.00%, 11.54%, 3/31/2027 | $15,000,000 | $14,475,000 | |||
Senior Secured 2019 Term Loan, 1 Month USD LIBOR + 5.00%, 7.54%, 5/29/2026 | 15,000,000 | 14,151,525 | |||
28,626,525 | |||||
DIVERSIFIED TELECOMMUNICATION SERVICES — 2.1% | |||||
CenturyLink, Inc. Senior Secured 2017 Term Loan B, 1 Month USD LIBOR + 2.75%, 5.15%, 1/31/2025 | 40,734,021 | 39,862,924 | |||
Consolidated Communications, Inc. Senior Secured 2016 Term Loan B, 1 Month USD LIBOR + 3.00%, 5.41%, 10/4/2023 | 6,467,540 | 6,203,761 | |||
Telesat Canada Senior Secured Term Loan B4, 3 Month USD LIBOR + 2.50%, 4.83%, 11/17/2023 | 954,402 | 945,259 | |||
47,011,944 | |||||
ELECTRICAL EQUIPMENT — 0.1% | |||||
EXC Holdings III Corp. Senior Secured USD 2017 1st Lien Term Loan, 1 Month USD LIBOR + 3.50%, 5.83%, 12/2/2024 | 2,293,102 | 2,290,236 | |||
ELECTRIC-GENERATION — 0.1% | |||||
1199169 B.C. ULC Senior Secured 2019 Term Loan B2, 3 Month USD LIBOR + 4.00%, 6.33%, 4/6/2026 | 1,791,958 | 1,801,876 | |||
ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS — 1.2% | |||||
CPI International, Inc. Senior Secured 2017 1st Lien Term Loan, 1 Month USD LIBOR + 3.50%, 5.90%, 7/26/2024 | 9,559,246 | 9,517,424 | |||
GrafTech Finance, Inc. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 3.50%, 5.90%, 2/12/2025 | 15,678,598 | 15,423,821 |
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Security Description | Principal Amount | Value | |||
TTM Technologies, Inc. Senior Secured 2017 Term Loan, 1 Month USD LIBOR + 2.50%, 4.94%, 9/28/2024 | $1,399,601 | $1,389,986 | |||
26,331,231 | |||||
ENERGY EQUIPMENT & SERVICES — 0.1% | |||||
BCP Renaissance Parent LLC Senior Secured 2017 Term Loan B, 3 Month USD LIBOR + 3.50%, 6.08%, 10/31/2024 | 2,262,857 | 2,260,639 | |||
ENTERTAINMENT — 0.3% | |||||
AMC Entertainment Holdings, Inc. Senior Secured 2019 Term Loan B, 1 Month USD LIBOR + 3.00%, 5.23%, 4/22/2026 | 997,500 | 996,442 | |||
Crown Finance US, Inc. Senior Secured 2018 USD Term Loan, 1 Month USD LIBOR + 2.25%, 4.65%, 2/28/2025 | 536,335 | 528,317 | |||
PCI Gaming Authority Senior Secured Term Loan, 1 Month USD LIBOR + 3.00%, 5.40%, 5/29/2026 | 5,105,263 | 5,119,609 | |||
Six Flags Theme Parks, Inc. Senior Secured 2019 Term Loan B, 1 Month USD LIBOR + 2.00%, 4.41%, 4/17/2026 | 791,557 | 793,286 | |||
7,437,654 | |||||
FINANCIAL SERVICES — 0.3% | |||||
AI Alpine AT Bidco GmbH Senior Secured 2018 USD Term Loan B, 1 Month USD LIBOR + 3.25%, 5.64%, 10/31/2025 | 4,030,839 | 3,975,416 | |||
GTCR Valor Companies, Inc. Senior Secured 2017 Term Loan B1, 3 Month USD LIBOR + 2.75%, 5.08%, 6/16/2023 | 2,976,107 | 2,963,086 | |||
6,938,502 | |||||
FOOD & STAPLES RETAILING — 0.1% | |||||
Mastronardi Produce, Ltd. Senior Secured Term Loan B, 1 Month USD LIBOR + 3.25%, 5.65%, 5/1/2025 | 2,349,684 | 2,342,341 |
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Security Description | Principal Amount | Value | |||
FOOD PRODUCTS — 0.6% | |||||
Chobani LLC Senior Secured 2017 Term Loan B, 3.50%, 10/10/2023 | $5,984,667 | $5,898,637 | |||
Dole Food Co., Inc. Senior Secured 2017 Term Loan B, 1 Month USD LIBOR + 2.75%, 5.15%, 4/6/2024 | 6,596,342 | 6,454,092 | |||
12,352,729 | |||||
HEALTH CARE EQUIPMENT & SUPPLIES — 0.9% | |||||
Carestream Health, Inc.: | |||||
Senior Secured 1st Lien Term Loan, 1 Month USD LIBOR + 5.75%, 8.15%, 2/28/2021 | 3,999,468 | 3,879,483 | |||
Senior Secured 2nd Lien Term Loan, 1 Month USD LIBOR + 9.50%, 11.90%, 6/7/2021 | 17,069,077 | 16,428,987 | |||
20,308,470 | |||||
HEALTH CARE PROVIDERS & SERVICES — 8.5% | |||||
ADMI Corp. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 2.75%, 5.15%, 4/30/2025 | 2,333,220 | 2,303,471 | |||
Air Medical Group Holdings, Inc.: | |||||
Senior Secured 2017 Term Loan B2, 1 Month USD LIBOR + 4.25%, 6.65%, 3/14/2025 | 16,951,314 | 15,980,851 | |||
Senior Secured 2018 Term Loan B1, 1 Month USD LIBOR + 3.25%, 5.64%, 4/28/2022 | 2,559,181 | 2,417,518 | |||
Athenahealth, Inc. Senior Secured 2019 Term Loan B, 3 Month USD LIBOR + 4.50%, 7.03%, 2/11/2026 | 21,945,000 | 21,931,284 | |||
Auris Luxembourg III S.A.R.L. Senior Secured 2018 USD Term Loan B, 1 Month USD LIBOR + 3.75%, 6.15%, 2/27/2026 | 1,534,615 | 1,539,603 | |||
Catalent Pharma Solutions, Inc. Senior Secured Term Loan B2, 1 Month USD LIBOR + 2.25%, 4.65%, 5/18/2026 | 1,152,955 | 1,154,396 | |||
Certara L.P. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 3.50%, 5.83%, 8/15/2024 | 1,652,942 | 1,644,677 |
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Security Description | Principal Amount | Value | |||
CHG Healthcare Services, Inc. Senior Secured 2017 1st Lien Term Loan B, 1 Month USD LIBOR + 3.00%, 5.40%, 6/7/2023 | $2,168,440 | $2,160,493 | |||
Envision Healthcare Corp. Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 3.75%, 6.15%, 10/10/2025 | 49,885,315 | 44,210,860 | |||
GHX Ultimate Parent Corp. Senior Secured 2017 1st Lien Term Loan, 1 Month USD LIBOR + 3.25%, 5.58%, 6/28/2024 | 3,626,471 | 3,563,008 | |||
Heartland Dental LLC Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 3.75%, 6.15%, 4/30/2025 | 9,866,933 | 9,373,636 | |||
MPH Acquisition Holdings LLC Senior Secured 2016 Term Loan B, 1 Month USD LIBOR + 2.75%, 5.08%, 6/7/2023 | 11,254,906 | 10,790,641 | |||
Ortho-Clinical Diagnostics SA. Senior Secured 2018 Term Loan B, 3 Month USD LIBOR + 3.25%, 5.68%, 6/30/2025 | 15,920,399 | 15,340,021 | |||
Phoenix Guarantor, Inc. Senior Secured Term Loan B, 3 Month USD LIBOR + 4.50%, 6.92%, 3/5/2026 | 11,464,968 | 11,432,006 | |||
RegionalCare Hospital Partners Holdings, Inc. Senior Secured 2018 Term Loan B, 3 Month USD LIBOR + 3.50%, 6.90%, 11/17/2025 | 6,310,944 | 6,284,439 | |||
Sterigenics-Nordion Holdings LLC Senior Secured 2017 Term Loan, 1 Month USD LIBOR + 3.00%, 5.40%, 5/15/2022 | 4,961,929 | 4,901,468 | |||
Surgery Center Holdings, Inc. Senior Secured 2017 Term Loan B, 1 Month USD LIBOR + 3.25%, 5.66%, 9/2/2024 | 6,886,038 | 6,667,957 | |||
Team Health Holdings, Inc. Senior Secured 1st Lien Term Loan, 1 Month USD LIBOR + 2.75%, 5.15%, 2/6/2024 | 27,297,067 | 24,243,207 |
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Security Description | Principal Amount | Value | |||
U.S. Anesthesia Partners, Inc. Senior Secured 2017 Term Loan, 1 Month USD LIBOR + 3.00%, 5.40%, 6/23/2024 | $2,025,316 | $1,988,182 | |||
187,927,718 | |||||
HEALTH CARE TECHNOLOGY — 0.9% | |||||
Agiliti Health, Inc Senior Secured Term Loan, 1 Month USD LIBOR + 3.00%, 5.50%, 1/4/2026 | 2,702,703 | 2,699,324 | |||
Change Healthcare Holdings LLC. Senior Secured 2017 Term Loan B, 1 Month USD LIBOR + 2.75%, 5.15%, 3/1/2024 | 15,747,587 | 15,653,180 | |||
Press Ganey Holdings, Inc. Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 2.75%, 5.15%, 10/23/2023 | 2,503,884 | 2,504,047 | |||
20,856,551 | |||||
HOTELS, RESTAURANTS & LEISURE — 4.6% | |||||
1011778 BC ULC Senior Secured Term Loan B3, 1 Month USD LIBOR + 2.25%, 4.65%, 2/16/2024 | 838,435 | 833,547 | |||
Alterra Mountain Company. Senior Secured Term Loan B1, 1 Month USD LIBOR + 3.00%, 5.40%, 7/31/2024 | 2,101,266 | 2,097,001 | |||
Big Jack Holdings L.P. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 3.25%, 5.66%, 4/5/2024 | 6,755,874 | 6,671,425 | |||
Caesars Resort Collection LLC Senior Secured 2017 1st Lien Term Loan B, 1 Month USD LIBOR + 2.75%, 5.15%, 12/22/2024 | 10,972,152 | 10,799,560 | |||
CEC Entertainment, Inc. Senior Secured Term Loan B, 1 Month USD LIBOR + 3.25%, 5.65%, 2/14/2021 | 12,412,615 | 12,342,794 | |||
Delta 2 (LUX) S.A.R.L. Senior Secured 2018 USD Term Loan, 1 Month USD LIBOR + 2.50%, 4.90%, 2/1/2024 | 25,346,487 | 24,864,904 |
Table of Contents
Security Description | Principal Amount | Value | |||
Golden Nugget, Inc. Senior Secured 2017 Incremental Term Loan B, 1 Month USD LIBOR + 2.75%, 5.14%, 10/4/2023 | $11,864,621 | $11,783,764 | |||
Hilton Worldwide Finance LLC Senior Secured 2019 Term Loan B2, 1 Month USD LIBOR + 1.75%, 4.15%, 6/22/2026 | 2,965,218 | 2,970,273 | |||
Scientific Games International, Inc. Senior Secured 2018 Term Loan B5, 2 Month USD LIBOR + 2.75%, 5.27%, 8/14/2024 | 25,639,277 | 25,284,942 | |||
SeaWorld Parks & Entertainment, Inc. Senior Secured Term Loan B5, 1 Month USD LIBOR + 3.00%, 5.40%, 3/31/2024 | 3,966,992 | 3,963,084 | |||
Travel Leaders Group LLC Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 4.00%, 6.38%, 1/25/2024 | 722,650 | 725,057 | |||
102,336,351 | |||||
HOUSEHOLD PRODUCTS — 0.2% | |||||
Champ Acquisition Corp. Senior Secured Term Loan, 1 Month USD LIBOR + 5.50%, 7.83%, 12/19/2025 | 3,445,373 | 3,410,919 | |||
INSURANCE — 3.3% | |||||
Acrisure LLC Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 3.75%, 6.27%, 11/22/2023 | 4,171,348 | 4,147,009 | |||
Alliant Holdings I, Inc. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 3.00%, 5.40%, 5/9/2025 | 11,435,746 | 11,136,815 | |||
Alliant Holdings Intermediate LLC Senior Secured Term Loan B, 1 Month USD LIBOR + 3.25%, 5.66%, 5/9/2025 | 10,588,235 | 10,464,724 | |||
AmWINS Group, Inc. Senior Secured 2017 Term Loan B, 1 Month USD LIBOR + 2.75%, 5.15%, 1/25/2024 | 992,366 | 986,784 |
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Security Description | Principal Amount | Value | |||
Assured Partners, Inc. Senior Secured 2017 1st Lien Add-On Term Loan, 1 Month USD LIBOR + 3.50%, 5.90%, 10/22/2024 | $8,136,139 | $8,070,033 | |||
Broadstreet Partners, Inc. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 3.25%, 5.65%, 11/8/2023 | 1,398,335 | 1,396,804 | |||
Hub International, Ltd. Senior Secured 2018 Term Loan B, 3 Month USD LIBOR + 3.00%, 5.59%, 4/25/2025 | 22,542,307 | 22,018,423 | |||
Hyperion Insurance Group Ltd. Senior Secured 2017 Repriced Term Loan, 1 Month USD LIBOR + 3.50%, 5.94%, 12/20/2024 | 1,476,270 | 1,475,856 | |||
NFP Corp. Senior Secured Term Loan B, 1 Month USD LIBOR + 3.00%, 5.40%, 1/8/2024 | 7,715,122 | 7,514,992 | |||
Sedgwick Claims Management Services, Inc. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 3.25%, 5.65%, 12/31/2025 | 5,237,211 | 5,173,134 | |||
72,384,574 | |||||
INTERACTIVE MEDIA & SERVICES — 0.9% | |||||
ION Trading Technologies S.A.R.L. Senior Secured USD Incremental Term Loan B, 3 Month USD LIBOR + 4.00%, 6.53%, 11/21/2024 | 8,891,603 | 8,645,484 | |||
Ivanti Software, Inc. Senior Secured 2017 Term Loan B, 1 Month USD LIBOR + 4.25%, 6.67%, 1/20/2024 | 11,740,850 | 11,728,639 | |||
20,374,123 | |||||
INTERNET & CATALOG RETAIL — 0.5% | |||||
Harbor Freight Tools USA, Inc. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 2.50%, 4.90%, 8/18/2023 | 11,020,198 | 10,756,705 |
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Security Description | Principal Amount | Value | |||
IT SERVICES — 1.7% | |||||
Access CIG LLC Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 3.75%, 6.19%, 2/27/2025 | $5,712,893 | $5,693,269 | |||
DigiCert, Inc.: | |||||
Senior Secured 2017 2nd Lien Term Loan, 1 Month USD LIBOR + 8.00%, 10.40%, 10/31/2025 | 7,652,788 | 7,614,524 | |||
Senior Secured 2017 Term Loan B1, 1 Month USD LIBOR + 4.00%, 6.40%, 10/31/2024 | 7,529,109 | 7,512,659 | |||
Presidio, Inc. Senior Secured 2017 Refinanced Term Loan B, 1 Month USD LIBOR + 2.75%, 5.34%, 2/2/2024 | 874,625 | 873,169 | |||
TKC Holdings, Inc. Senior Secured 2017 1st Lien Term Loan, 1 Month USD LIBOR + 3.75%, 6.16%, 2/1/2023 | 9,721,978 | 9,536,628 | |||
Web.com Group, Inc. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 3.75%, 6.16%, 10/10/2025 | 5,452,055 | 5,385,049 | |||
36,615,298 | |||||
LIFE SCIENCES TOOLS & SERVICES — 0.7% | |||||
Albany Molecular Research, Inc. Senior Secured 2017 1st Lien Term Loan, 1 Month USD LIBOR + 3.25%, 5.65%, 8/30/2024 | 4,210,883 | 4,149,467 | |||
Jaguar Holding Co. II Senior Secured 2018 Term Loan, 1 Month USD LIBOR + 2.50%, 4.90%, 8/18/2022 | 720,435 | 717,326 | |||
Parexel International Corp. Senior Secured Term Loan B, 1 Month USD LIBOR + 2.75%, 5.15%, 9/27/2024 | 11,124,024 | 10,683,068 | |||
15,549,861 | |||||
MACHINERY — 1.2% | |||||
Apex Tool Group LLC Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 3.75%, 6.15%, 2/1/2022 | 582,392 | 561,526 |
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Security Description | Principal Amount | Value | |||
Engineered Machinery Holdings, Inc. Senior Secured USD 1st Lien Term Loan, 1 Month USD LIBOR + 3.25%, 5.58%, 7/19/2024 | $4,925,000 | $4,801,875 | |||
Hayward Industries, Inc. Senior Secured 1st Lien Term Loan, 1 Month USD LIBOR + 3.50%, 5.90%, 8/5/2024 | 2,934,924 | 2,879,894 | |||
Hillman Group, Inc. Senior Secured 2018 Term Loan B, 3 Month USD LIBOR + 4.00%, 6.40%, 5/31/2025 | 4,962,406 | 4,785,620 | |||
Pro Mach Group, Inc. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 2.75%, 5.14%, 3/7/2025 | 7,031,059 | 6,787,925 | |||
Titan Acquisition, Ltd. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 3.00%, 5.40%, 3/28/2025 | 7,682,650 | 7,355,062 | |||
27,171,902 | |||||
MACHINERY-CONSTRUCTION & MINING — 0.9% | |||||
Brookfield WEC Holdings, Inc.: | |||||
Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 3.50%, 5.90%, 8/1/2025 | 7,488,684 | 7,488,160 | |||
Senior Secured 2018 2nd Lien Term Loan, 1 Month USD LIBOR + 6.75%, 9.15%, 8/3/2026 | 2,279,705 | 2,312,841 | |||
Senior Secured 2019 Incremental Term Loan, 1 Month USD LIBOR + 3.50%, 3.50%, 8/1/2025 | 4,220,211 | 4,220,211 | |||
Vertiv Group Corp. Senior Secured 2017 Term Loan B, 1 Month USD LIBOR + 4.00%, 6.33%, 11/30/2023 | 6,000,000 | 5,715,000 | |||
19,736,212 | |||||
MEDIA — 6.1% | |||||
Altice Financing SA Senior Secured USD 2017 1st Lien Term Loan, 1 Month USD LIBOR + 2.75%, 5.14%, 1/31/2026 | 2,394,771 | 2,280,277 |
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Security Description | Principal Amount | Value | |||
CBS Radio, Inc. Senior Secured 2017 Term Loan B, 1 Month USD LIBOR + 2.75%, 5.15%, 11/18/2024 | $3,185,097 | $3,186,435 | |||
CSC Holdings LLC: | |||||
Senior Secured 2017 1st Lien Term Loan, 1 Month USD LIBOR + 2.25%, 4.64%, 7/17/2025 | 1,000,000 | 985,700 | |||
Senior Secured 2019 Term Loan B, 1 Month USD LIBOR + 3.00%, 5.39%, 4/15/2027 | 3,571,429 | 3,581,250 | |||
Entravision Communications Corp. Senior Secured 2017 Term Loan B, 1 Month USD LIBOR + 2.75%, 5.08%, 11/29/2024 | 6,798,611 | 6,594,653 | |||
MH Sub I LLC Senior Secured 2017 1st Lien Term Loan, 1 Month USD LIBOR + 3.75%, 6.15%, 9/13/2024 | 16,672,780 | 16,408,099 | |||
Nexstar Broadcasting, Inc. Senior Secured 2019 Term Loan B4, 2.75%, 6/20/2026 | 29,689,441 | 29,615,218 | |||
Radiate Holdco LLC Senior Secured 1st Lien Term Loan, 1 Month USD LIBOR + 3.00%, 5.40%, 2/1/2024 | 20,777,228 | 20,334,466 | |||
Univision Communications, Inc. Senior Secured Term Loan C5, 1 Month USD LIBOR + 2.75%, 5.15%, 3/15/2024 | 39,591,271 | 37,763,342 | |||
Virgin Media Bristol LLC Senior Secured USD Term Loan K, 1 Month USD LIBOR + 2.50%, 4.89%, 1/15/2026 | 371,485 | 370,556 | |||
Ziggo Secured Finance Partnership Senior Secured USD Term Loan E, 1 Month USD LIBOR + 2.50%, 4.89%, 4/15/2025 | 15,552,716 | 15,261,102 | |||
136,381,098 | |||||
METALS & MINING — 0.3% | |||||
Aleris International, Inc. Senior Secured 2018 Term Loan, 1 Month USD LIBOR + 4.75%, 7.15%, 2/27/2023 | 5,008,389 | 5,020,909 |
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Security Description | Principal Amount | Value | |||
PLZ Aeroscience Corp. Senior Secured USD Term Loan, 3 Month USD LIBOR + 3.50%, 5.94%, 7/31/2022 | $1,258,573 | $1,255,232 | |||
6,276,141 | |||||
MULTILINE RETAIL — 0.4% | |||||
AI Aqua Merger Sub, Inc. Senior Secured 2017 1st Lien Term Loan B, 1 Month USD LIBOR + 3.25%, 5.65%, 12/13/2023 | 9,898,542 | 9,601,586 | |||
OIL, GAS & CONSUMABLE FUELS — 0.5% | |||||
BCP Raptor LLC Senior Secured Term Loan B, 1 Month USD LIBOR + 4.25%, 6.65%, 6/24/2024 | 1,795,281 | 1,709,449 | |||
EG America LLC. Senior Secured 2018 USD Term Loan, 3 Month USD LIBOR + 4.00%, 6.33%, 2/7/2025 | 10,106,518 | 9,952,798 | |||
11,662,247 | |||||
OIL-FIELD SERVICES — 0.0% (b) | |||||
MRC Global (US) Inc. Senior Secured 2018 1st Lien Term Loan B, 1 Month USD LIBOR + 3.00%, 5.40%, 9/20/2024 | 834,011 | 832,968 | |||
PAPER&RELATED PRODUCTS — 0.3% | |||||
Flex Acquisition Co., Inc. Senior Secured 2018 Incremental Term Loan, 3 Month USD LIBOR + 3.25%, 5.69%, 6/29/2025 | 6,768,705 | 6,441,134 | |||
PHARMACEUTICALS — 3.1% | |||||
Amneal Pharmaceuticals LLC Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 3.50%, 5.94%, 5/4/2025 | 1,700,168 | 1,692,381 | |||
Endo Luxembourg Finance Co. I S.A.R.L. Senior Secured 2017 Term Loan B, 1 Month USD LIBOR + 4.25%, 6.69%, 4/29/2024 | 25,831,063 | 24,324,337 | |||
Horizon Pharma, Inc. Senior Secured 2019 Term Loan B, 1 Month USD LIBOR + 2.50%, 4.94%, 5/22/2026 | 2,383,308 | 2,384,058 |
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Security Description | Principal Amount | Value | |||
Pearl Intermediate Parent LLC: | |||||
Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 2.75%, 5.15%, 2/14/2025 | $10,159,523 | $9,835,689 | |||
Senior Secured 2018 Delayed Draw Term Loan, 1 Month USD LIBOR + 2.75%, 5.15%, 2/14/2025 | 2,179,605 | 2,110,117 | |||
Valeant Pharmaceuticals International, Inc. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 3.00%, 5.41%, 6/2/2025 | 29,471,859 | 29,493,374 | |||
69,839,956 | |||||
PIPELINES — 0.5% | |||||
Lower Cadence Holdings LLC Senior Secured Term Loan B, 1 Month USD LIBOR + 4.00%, 6.40%, 5/22/2026 | 10,306,122 | 10,269,639 | |||
POLLUTION CONTROL — 0.5% | |||||
Core & Main L.P. Senior Secured 2017 Term Loan B, 1 Month USD LIBOR + 3.00%, 5.52%, 8/1/2024 | 4,275,681 | 4,272,346 | |||
EnergySolutions LLC Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 3.75%, 6.08%, 5/9/2025 | 6,363,069 | 6,108,546 | |||
10,380,892 | |||||
PROFESSIONAL SERVICES — 0.3% | |||||
Advantage Sales & Marketing, Inc. Senior Secured 2014 2nd Lien Term Loan, 1 Month USD LIBOR + 6.50%, 8.83%, 7/25/2022 | 9,255,211 | 7,369,508 | |||
RECYCLING — 0.5% | |||||
Gopher Resource LLC Senior Secured 1st Lien Term Loan, 1 Month USD LIBOR + 3.25%, 5.65%, 3/6/2025 | 6,036,068 | 6,010,928 | |||
Tunnel Hill Partners LP Senior Secured Term Loan B, 1 Month USD LIBOR + 3.50%, 5.90%, 2/6/2026 | 4,731,504 | 4,728,547 | |||
10,739,475 |
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Security Description | Principal Amount | Value | |||
RETAIL-RESTAURANTS — 0.9% | |||||
Flynn Restaurant Group L.P. Senior Secured 1st Lien Term Loan, 1 Month USD LIBOR + 3.50%, 5.90%, 6/27/2025 | $9,054,214 | $8,796,758 | |||
Fogo De Chao, Inc. Senior Secured 2018 Add On Term Loan, 1 Month USD LIBOR + 4.25%, 6.65%, 4/7/2025 | 5,527,344 | 5,534,253 | |||
K-Mac Holdings Corp. Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 3.25%, 5.65%, 3/14/2025 | 2,357,639 | 2,334,652 | |||
Tacala LLC Senior Secured 1st Lien Term Loan, 1 Month USD LIBOR + 3.25%, 5.65%, 1/31/2025 | 2,179,557 | 2,158,851 | |||
18,824,514 | |||||
SEMICONDUCTOR EQUIPMENT — 0.3% | |||||
MA FinanceCo. LLC Senior Secured USD Term Loan B3, 1 Month USD LIBOR + 2.50%, 4.90%, 6/21/2024 | 765,786 | 752,148 | |||
Seattle Spinco, Inc. Senior Secured USD Term Loan B3, 1 Month USD LIBOR + 2.50%, 4.90%, 6/21/2024 | 5,171,545 | 5,079,439 | |||
5,831,587 | |||||
SOFTWARE — 11.1% | |||||
Acrisure LLC Senior Secured 2017 Term Loan B, 3 Month USD LIBOR + 4.25%, 6.77%, 11/22/2023 | 15,212,670 | 15,171,519 | |||
Almonde, Inc. Senior Secured USD 1st Lien Term Loan, 1 Month USD LIBOR + 3.50%, 5.90%, 6/13/2024 | 31,882,655 | 31,121,138 | |||
AutoData, Inc. Senior Secured 2019 Term Loan B, 6.02%, 6/1/2026 | 5,206,612 | 5,191,408 |
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Security Description | Principal Amount | Value | |||
Banff Merger Sub Inc. Senior Secured 2018 USD Term Loan B, 1 Month USD LIBOR + 4.25%, 6.58%, 10/2/2025 | $16,456,561 | $15,613,162 | |||
Compuware Corp. Senior Secured 2018 Term Loan B, 4.00%, 8/22/2025 | 3,521,127 | 3,521,127 | |||
Cypress Intermediate Holdings III, Inc. Senior Secured 2017 1st Lien Term Loan, 1 Month USD LIBOR + 2.75%, 5.16%, 4/26/2024 | 3,489,377 | 3,450,994 | |||
Dun & Bradstreet Corp. Senior Secured Term Loan, 1 Month USD LIBOR + 5.00%, 7.40%, 2/6/2026 | 27,837,838 | 27,881,404 | |||
Dynatrace LLC Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 3.00%, 5.40%, 8/22/2025 | 2,737,000 | 2,735,974 | |||
Epicor Software Corp. Senior Secured 1st Lien Term Loan, 1 Month USD LIBOR + 3.25%, 5.66%, 6/1/2022 | 4,663,417 | 4,640,100 | |||
Flexera Software LLC Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 3.50%, 5.91%, 2/26/2025 | 1,491,215 | 1,488,889 | |||
GlobalLogic Holdings, Inc. Senior Secured 2018 Add On 1st Lien Term Loan, 1 Month USD LIBOR + 3.25%, 5.65%, 8/1/2025 | 4,092,114 | 4,088,697 | |||
Help/Systems Holdings, Inc. Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 3.75%, 6.08%, 3/28/2025 | 2,765,545 | 2,748,260 | |||
Hyland Software, Inc.: | |||||
Senior Secured 2017 2nd Lien Term Loan, 1 Month USD LIBOR + 7.00%, 9.40%, 7/7/2025 | 2,853,801 | 2,874,020 | |||
Senior Secured 2018 Term Loan 3, 1 Month USD LIBOR + 3.25%, 5.65%, 7/1/2024 | 4,537,516 | 4,513,422 | |||
Imperva, Inc.: | |||||
Senior Secured 1st Lien Term Loan, 1 Month USD LIBOR + 4.00%, 6.41%, 1/12/2026 | 1,409,091 | 1,404,251 | |||
Senior Secured 2nd Lien Term Loan, 1 Month USD LIBOR + 7.75%, 10.16%, 1/11/2027 | 2,441,176 | 2,410,662 |
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Security Description | Principal Amount | Value | |||
Informatica Corp. Senior Secured 2018 USD Term Loan, 1 Month USD LIBOR + 3.25%, 5.65%, 8/5/2022 | $1,922,398 | $1,926,407 | |||
Kronos, Inc. Senior Secured 2017 Term Loan B, 3 Month USD LIBOR + 3.00%, 5.58%, 11/1/2023 | 15,609,479 | 15,594,884 | |||
McAfee LLC Senior Secured 2018 USD Term Loan B, 1 Month USD LIBOR + 3.75%, 6.15%, 9/30/2024 | 19,457,789 | 19,460,805 | |||
Mitchell International, Inc.: | |||||
Senior Secured 2017 1st Lien Term Loan, 1 Month USD LIBOR + 3.25%, 5.65%, 11/29/2024 | 11,074,538 | 10,597,945 | |||
Senior Secured 2017 2nd Lien Term Loan, 1 Month USD LIBOR + 7.25%, 9.65%, 12/1/2025 | 8,285,862 | 8,047,643 | |||
NAVEX TopCo, Inc. Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 3.25%, 5.66%, 9/5/2025 | 3,468,174 | 3,406,614 | |||
Project Alpha Intermediate Holding, Inc. Senior Secured 2017 Term Loan B, 1 Month USD LIBOR + 3.50%, 6.37%, 4/26/2024 | 7,298,246 | 7,097,545 | |||
Project Ruby Ultimate Parent Corp. Senior Secured 2017 Term Loan B, 1 Month USD LIBOR + 3.50%, 5.90%, 2/9/2024 | 2,336,988 | 2,326,273 | |||
Quest Software US Holdings, Inc.: | |||||
Senior Secured 2018 1st Lien Term Loan, 3 Month USD LIBOR + 4.25%, 6.83%, 5/16/2025 | 2,564,518 | 2,529,897 | |||
Senior Secured 2018 2nd Lien Term Loan, 1 Month USD LIBOR + 8.25%, 10.83%, 5/16/2026 | 11,186,275 | 11,039,511 | |||
Rocket Software, Inc. Senior Secured 2018 2nd Lien Term Loan, 1 Month USD LIBOR + 8.25%, 10.65%, 11/20/2026 | 14,000,000 | 13,510,000 | |||
SolarWinds Holdings, Inc. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 2.75%, 5.15%, 2/5/2024 | 6,709,486 | 6,685,701 |
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Security Description | Principal Amount | Value | |||
Solera, Inc. Senior Secured USD Term Loan B, 1 Month USD LIBOR + 2.75%, 5.15%, 3/3/2023 | $2,755,248 | $2,738,468 | |||
SonicWALL US Holdings, Inc. Senior Secured 1st Lien Term Loan, 1 Month USD LIBOR + 3.50%, 6.02%, 5/16/2025 | 8,669,500 | 8,105,983 | |||
Sophia L.P. Senior Secured 2017 Term Loan B, 3 Month USD LIBOR + 3.25%, 5.58%, 9/30/2022 | 1,281,528 | 1,279,445 | |||
Vero Parent, Inc. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 4.50%, 6.90%, 8/16/2024 | 3,257,077 | 3,250,970 | |||
246,453,118 | |||||
SPECIALTY RETAIL — 3.0% | |||||
Bass Pro Group LLC Senior Secured Term Loan B, 1 Month USD LIBOR + 5.00%, 7.40%, 9/25/2024 | 36,576,089 | 35,013,924 | |||
Party City Holdings, Inc. Senior Secured 2018 Term Loan B, 6 Month USD LIBOR + 2.50%, 4.91%, 8/19/2022 | 385,938 | 384,077 | |||
Petco Animal Supplies, Inc. Senior Secured 2017 Term Loan B, 3 Month USD LIBOR + 3.25%, 5.83%, 1/26/2023 | 8,028,452 | 6,252,157 | |||
PetSmart, Inc. Senior Secured Consenting Term Loan, 1 Month USD LIBOR + 3.00%, 5.42%, 3/11/2022 | 24,647,360 | 24,058,165 | |||
65,708,323 | |||||
TELECOM SERVICES — 0.6% | |||||
Avaya, Inc. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 4.25%, 6.65%, 12/15/2024 | 12,878,792 | 12,347,542 |
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Security Description | Principal Amount | Value | |||
TELECOMMUNICATION EQUIP — 0.1% | |||||
MLN US HoldCo LLC Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 4.50%, 6.94%, 11/30/2025 | $2,431,444 | $2,330,138 | |||
THRIFTS & MORTGAGE FINANCE — 0.3% | |||||
Capri Finance LLC Senior Secured USD 2017 1st Lien Term Loan, 1 Month USD LIBOR + 3.25%, 5.83%, 11/1/2024 | 7,164,827 | 7,043,025 | |||
TOTAL SENIOR FLOATING RATE LOANS (Cost $1,842,260,595) | 1,822,645,698 | ||||
CORPORATE BONDS & NOTES — 15.5% | |||||
AEROSPACE & DEFENSE — 0.4% | |||||
TransDigm, Inc. 6.25%, 3/15/2026 (c) | 7,500,000 | 7,858,350 | |||
AUTO PARTS & EQUIPMENT — 0.4% | |||||
Panther BF Aggregator 2 L.P./Panther Finance Co., Inc. 6.25%, 5/15/2026 (c) | 7,913,000 | 8,223,111 | |||
BUILDING MATERIALS — 0.0% (b) | |||||
Builders FirstSource, Inc. 6.75%, 6/1/2027 (c) | 824,000 | 871,438 | |||
COMMERCIAL SERVICES — 1.3% | |||||
Avis Budget Car Rental LLC/Avis Budget Finance, Inc. 5.75%, 7/15/2027 (c) (d) | 8,000,000 | 8,067,280 | |||
Prime Security Services Borrower LLC/Prime Finance, Inc.: | |||||
5.75%, 4/15/2026 (c) | 18,438,000 | 19,055,673 | |||
9.25%, 5/15/2023 (c) | 753,000 | 790,680 | |||
Service Corp. International 5.13%, 6/1/2029 | 1,350,000 | 1,422,441 | |||
29,336,074 | |||||
COMPUTERS — 0.7% | |||||
Banff Merger Sub, Inc. 9.75%, 9/1/2026 (c) | 1,122,000 | 973,257 | |||
Tempo Acquisition LLC/Tempo Acquisition Finance Corp. 6.75%, 6/1/2025 (c) | 13,500,000 | 13,906,890 | |||
14,880,147 |
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Security Description | Principal Amount | Value | |||
DISTRIBUTION & WHOLESALE — 0.1% | |||||
IAA, Inc. 5.50%, 6/15/2027 (c) | $2,353,000 | $2,447,332 | |||
ELECTRIC — 0.6% | |||||
NRG Energy, Inc. 5.25%, 6/15/2029 (c) | 1,250,000 | 1,334,325 | |||
Vistra Operations Co. LLC 5.00%, 7/31/2027 (c) | 12,544,000 | 13,024,184 | |||
14,358,509 | |||||
ELECTRICAL COMPONENTS & EQUIPMENT — 0.1% | |||||
Energizer Holdings, Inc. 7.75%, 1/15/2027 (c) | 1,900,000 | 2,053,843 | |||
ENGINEERING & CONSTRUCTION — 0.0% (b) | |||||
frontdoor, Inc. 6.75%, 8/15/2026 (c) | 250,000 | 267,775 | |||
ENTERTAINMENT — 0.6% | |||||
AMC Entertainment Holdings, Inc.: | |||||
5.75%, 6/15/2025 | 7,000,000 | 6,479,760 | |||
5.88%, 11/15/2026 | 1,000,000 | 900,440 | |||
Cedar Fair L.P. 5.25%, 7/15/2029 (c) | 1,810,000 | 1,850,363 | |||
Scientific Games International, Inc. 5.00%, 10/15/2025 (c) | 5,000,000 | 5,048,750 | |||
14,279,313 | |||||
ENVIRONMENTAL CONTROL — 0.4% | |||||
GFL Environmental, Inc.: | |||||
7.00%, 6/1/2026 (c) | 4,394,000 | 4,491,063 | |||
8.50%, 5/1/2027 (c) | 3,830,000 | 4,118,246 | |||
8,609,309 | |||||
FOOD — 0.5% | |||||
Albertsons Cos. LLC/Safeway, Inc./New Albertson's Inc./Albertson's LLC 5.75%, 3/15/2025 | 12,024,000 | 12,133,899 | |||
HAND & MACHINE TOOLS — 0.2% | |||||
Apex Tool Group LLC/BC Mountain Finance, Inc. 9.00%, 2/15/2023 (c) | 4,450,000 | 3,995,878 | |||
HEALTH CARE PRODUCTS — 0.3% | |||||
Avantor, Inc. 9.00%, 10/1/2025 (c) | 5,000,000 | 5,568,500 |
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Security Description | Principal Amount | Value | |||
Kinetic Concepts, Inc./KCI USA, Inc. 7.88%, 2/15/2021 (c) | $727,000 | $745,182 | |||
6,313,682 | |||||
HEALTH CARE SERVICES — 1.2% | |||||
MPH Acquisition Holdings LLC 7.13%, 6/1/2024 (c) | 17,000,000 | 15,930,020 | |||
Tenet Healthcare Corp.: | |||||
6.25%, 2/1/2027 (c) | 5,000,000 | 5,171,500 | |||
6.75%, 6/15/2023 | 2,727,000 | 2,741,753 | |||
8.13%, 4/1/2022 | 2,000,000 | 2,096,840 | |||
25,940,113 | |||||
INSURANCE — 1.1% | |||||
GTCR AP Finance, Inc. 8.00%, 5/15/2027 (c) | 4,773,000 | 4,799,204 | |||
HUB International, Ltd. 7.00%, 5/1/2026 (c) | 13,964,000 | 14,157,541 | |||
USI, Inc. 6.88%, 5/1/2025 (c) | 5,000,000 | 4,950,950 | |||
23,907,695 | |||||
LODGING — 0.0% (b) | |||||
Boyd Gaming Corp. 6.38%, 4/1/2026 | 670,000 | 708,096 | |||
MACHINERY, CONSTRUCTION & MINING — 0.4% | |||||
Vertiv Group Corp. 9.25%, 10/15/2024 (c) | 8,906,000 | 8,548,335 | |||
MACHINERY-DIVERSIFIED — 0.1% | |||||
Titan Acquisition, Ltd./Titan Co-Borrower LLC 7.75%, 4/15/2026 (c) | 2,499,000 | 2,258,146 | |||
MEDIA — 3.4% | |||||
CSC Holdings LLC: | |||||
5.38%, 2/1/2028 (c) | 1,000,000 | 1,038,330 | |||
7.50%, 4/1/2028 (c) | 13,887,000 | 15,279,588 | |||
Entercom Media Corp. 6.50%, 5/1/2027 (c) | 1,200,000 | 1,247,940 | |||
iHeartCommunications, Inc.: | |||||
6.38%, 5/1/2026 | 24,997,980 | 26,523,107 | |||
6.58%, 5/1/2026 | 9,999,998 | 10,024,248 | |||
Nexstar Escrow, Inc. 5.63%, 7/15/2027 (c) (d) | 5,660,000 | 5,813,160 |
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Security Description | Principal Amount | Value | |||
Sinclair Television Group, Inc. 5.63%, 8/1/2024 (c) | $6,000,000 | $6,161,400 | |||
Univision Communications, Inc. 5.13%, 5/15/2023 (c) | 5,000,000 | 4,885,500 | |||
Virgin Media Secured Finance PLC 5.50%, 5/15/2029 (c) | 4,218,000 | 4,280,806 | |||
75,254,079 | |||||
PACKAGING & CONTAINERS — 0.2% | |||||
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. 7.25%, 5/15/2024 (c) | 320,000 | 338,023 | |||
Flex Acquisition Co., Inc. 6.88%, 1/15/2025 (c) | 1,478,000 | 1,338,063 | |||
Trident Merger Sub, Inc. 6.63%, 11/1/2025 (c) | 1,688,000 | 1,573,452 | |||
3,249,538 | |||||
PHARMACEUTICALS — 1.1% | |||||
Bausch Health Cos., Inc.: | |||||
7.00%, 1/15/2028 (c) | 2,273,000 | 2,354,487 | |||
9.00%, 12/15/2025 (c) | 3,000,000 | 3,354,120 | |||
NVA Holdings, Inc. 6.88%, 4/1/2026 (c) | 7,998,000 | 8,376,705 | |||
Par Pharmaceutical, Inc. 7.50%, 4/1/2027 (c) | 10,000,000 | 9,819,500 | |||
23,904,812 | |||||
RETAIL — 0.8% | |||||
CEC Entertainment, Inc. 8.00%, 2/15/2022 | 1,148,000 | 1,162,350 | |||
eG Global Finance PLC 6.75%, 2/7/2025 (c) | 7,042,000 | 6,987,072 | |||
IRB Holding Corp. 6.75%, 2/15/2026 (c) | 8,000,000 | 8,020,480 | |||
Party City Holdings, Inc. 6.63%, 8/1/2026 (c) | 2,500,000 | 2,422,425 | |||
18,592,327 | |||||
SOFTWARE — 0.7% | |||||
CDK Global, Inc. 5.25%, 5/15/2029 (c) | 3,692,000 | 3,818,414 | |||
Change Healthcare Holdings LLC/Change Healthcare Finance, Inc. 5.75%, 3/1/2025 (c) | 5,000,000 | 5,073,050 |
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Security Description | Principal Amount | Value | |||
Infor US, Inc. 6.50%, 5/15/2022 | $1,000,000 | $1,017,700 | |||
IQVIA, Inc. 5.00%, 5/15/2027 (c) | 6,000,000 | 6,189,600 | |||
16,098,764 | |||||
TELECOMMUNICATIONS — 0.9% | |||||
Sprint Communications, Inc. 6.00%, 11/15/2022 | 20,000,000 | 20,850,200 | |||
TOTAL CORPORATE BONDS & NOTES (Cost $340,716,570) | 344,940,765 |
Shares | |||
SHORT-TERM INVESTMENT — 3.3% | |||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 2.35% (e) (f) (Cost $72,656,687) | 72,656,687 | 72,656,687 | |
TOTAL INVESTMENTS — 100.8% (Cost $2,255,633,852) | 2,240,243,150 | ||
LIABILITIES IN EXCESS OF OTHER ASSETS — (0.8)% | (17,098,233) | ||
NET ASSETS — 100.0% | $2,223,144,917 |
(a) | The rate shown represents the rate at June 30, 2019. |
(b) | Amount is less than 0.05% of net assets. |
(c) | Securities purchased pursuant to Rule 144A of the Securities Act of 1933, as amended. These securities, which represent 11.6% of net assets as of June 30, 2019, are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
(d) | When-issued security. |
(e) | The Portfolio invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2019 are shown in the Affiliate Table below. |
(f) | The rate shown is the annualized seven-day yield at June 30, 2019. |
LIBOR | = London Interbank Offered Rate |
LP | = Limited Partnership |
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Borrower | Unfunded Loan Commitment ($) | Value ($) | Unrealized Appreciation/(Depreciation) ($) | |||
Heartland Dental LLC | 221,372 | 210,305 | (11,067) | |||
Pearl Intermediate Parent LLC | 826,854 | 800,498 | (26,356) | |||
VT Topco, Inc. | 148,307 | 148,260 | (47) | |||
$(37,470) |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Corporate Bonds & Notes | $— | $344,940,765 | $— | $344,940,765 | ||||
Senior Floating Rate Loans | — | 1,822,645,698 | — | 1,822,645,698 | ||||
Short-Term Investment | 72,656,687 | — | — | 72,656,687 | ||||
TOTAL INVESTMENTS | $72,656,687 | $2,167,586,463 | $— | $2,240,243,150 | ||||
LIABILITIES: | ||||||||
OTHER FINANCIAL INSTRUMENTS: | ||||||||
Unfunded Loan Commitments(a) | — | (37,470) | — | (37,470) | ||||
TOTAL OTHER FINANCIAL INSTRUMENTS: | $— | $(37,470) | $— | $(37,470) |
(a) | Includes appreciation (depreciation) on unfunded loan commitments. |
Number of Shares Held at 6/30/18 | Value at 6/30/18 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 6/30/19 | Value at 6/30/19 | Dividend Income | |||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 196,673,118 | $196,673,118 | $2,283,969,996 | $2,407,986,427 | $— | $— | 72,656,687 | $72,656,687 | $4,228,570 |
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Blackstone / GSO Senior Loan Portfolio | |
ASSETS | |
Investments in unaffiliated issuers, at value | $2,167,586,463 |
Investments in affiliated issuers, at value | 72,656,687 |
Total Investments | 2,240,243,150 |
Cash | 23,918,780 |
Receivable for investments sold | 230,718,579 |
Dividends receivable — affiliated issuers | 205,266 |
Interest receivable — unaffiliated issuers | 7,879,465 |
Other Receivable | 610,868 |
TOTAL ASSETS | 2,503,576,108 |
LIABILITIES | |
Payable for investments purchased | 279,832,955 |
Unrealized depreciation on unfunded loan commitments | 37,470 |
Advisory fee payable | 554,194 |
Trustees’ fees and expenses payable | 5,488 |
Accrued expenses and other liabilities | 1,084 |
TOTAL LIABILITIES | 280,431,191 |
NET ASSETS | $2,223,144,917 |
COST OF INVESTMENTS: | |
Investments in unaffiliated issuers | $2,182,977,165 |
Investments in affiliated issuers | 72,656,687 |
Total cost of investments | $2,255,633,852 |
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Blackstone / GSO Senior Loan Portfolio | |
INVESTMENT INCOME | |
Interest income — unaffiliated issuers | $161,844,668 |
Dividend income — affiliated issuers | 4,228,570 |
TOTAL INVESTMENT INCOME (LOSS) | 166,073,238 |
EXPENSES | |
Advisory fee | 8,273,531 |
Trustees’ fees and expenses | 52,005 |
TOTAL EXPENSES | 8,325,536 |
NET INVESTMENT INCOME (LOSS) | 157,747,702 |
REALIZED AND UNREALIZED GAIN (LOSS) | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | (68,985,053) |
Net change in unrealized appreciation/depreciation on: | |
Investments — unaffiliated issuers | (7,554,409) |
Unfunded loan commitments | (156,027) |
Net change in unrealized appreciation/depreciation | (7,710,436) |
NET REALIZED AND UNREALIZED GAIN (LOSS) | (76,695,489) |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $81,052,213 |
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Blackstone / GSO Senior Loan Portfolio | |||
Year Ended 6/30/19 | Year Ended 6/30/18 | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $157,747,702 | $112,665,248 | |
Net realized gain (loss) | (68,985,053) | (11,863,247) | |
Net change in unrealized appreciation/depreciation | (7,710,436) | (16,510,979) | |
Net increase (decrease) in net assets resulting from operations | 81,052,213 | 84,291,022 | |
CAPITAL TRANSACTIONS | |||
Contributions | 780,016,463 | 1,509,849,498 | |
Withdrawals | (1,834,202,148) | (225,415,777) | |
Other Capital | 5,615,430 | 850,599 | |
Net increase (decrease) in net assets from capital transactions | (1,048,570,255) | 1,285,284,320 | |
Net increase (decrease) in net assets during the period | (967,518,042) | 1,369,575,342 | |
Net assets at beginning of period | 3,190,662,959 | 1,821,087,617 | |
NET ASSETS AT END OF PERIOD | $2,223,144,917 | $3,190,662,959 |
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Blackstone / GSO Senior Loan Portfolio | |||||||||
Year Ended 6/30/19 | Year Ended 6/30/18 | Year Ended 6/30/17 | Year Ended 6/30/16 | Year Ended 6/30/15 | |||||
Total return | 4.10% | 4.43% | 6.19% | (0.20)% | 2.98% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $2,223,145 | $3,190,663 | $1,821,088 | $802,489 | $672,264 | ||||
Ratios to average net assets: | |||||||||
Total expenses | 0.30% | 0.30% | 0.30% | 0.30% | 0.31% | ||||
Net investment income (loss) | 5.72% | 4.70% | 4.31% | 4.54% | 4.49% | ||||
Portfolio turnover rate | 124% | 90% | 68% | 88% | 65% |
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Annual Rate | |
Blackstone / GSO Senior Loan Portfolio | 0.30% |
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Purchases | Sales | ||
Blackstone / GSO Senior Loan Portfolio | $3,243,539,566 | $4,164,867,456 |
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Tax Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | ||||
Blackstone / GSO Senior Loan Portfolio | $2,264,569,843 | $13,396,321 | $37,723,014 | $(24,326,693) |
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August 26, 2019
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Blackstone / GSO Senior Loan Portfolio | |
Annualized Expense Ratio | 0.30% |
Actual: | |
Ending Account Value | $1,029.50 |
Expenses Paid During Period(a) | 1.51 |
Hypothetical (assuming a 5% return before expenses): | |
Ending Account Value | 1,023.30 |
Expenses Paid During Period(a) | 1.51 |
(a) | Expenses are equal to the Portfolio's annualized net expense ratio multiplied by the average account value of the period, multiplied by 181, then divided by 365. |
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Name, Address and Year of Birth | Position(s) with Funds | Term of Office and Length of Time Served | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During the Past 5 Years | |||||
Trustees | ||||||||||
Independent Trustees | ||||||||||
FRANK NESVET c/o SSGA Master Trust One Iron Street Boston, MA 02210 1943 | Independent Trustee, Chairman, Trustee Committee Chair | Term: Unlimited Served: since March 2011 | Retired. | 128 | None. | |||||
BONNY EUGENIA BOATMAN c/o SSGA Master Trust One Iron Street Boston, MA 02210 1950 | Independent Trustee | Term: Unlimited Served: since March 2011 | Retired. | 128 | None. | |||||
DWIGHT D. CHURCHILL c/o SSGA Master Trust One Iron Street Boston, MA 02210 1953 | Independent Trustee | Term: Unlimited Served: since March 2011 | Self-employed consultant since 2010; CEO and President, CFA Institute (June 2014-January 2015). | 128 | Affiliated Managers Group, Inc. (Director). | |||||
CARL G. VERBONCOEUR c/o SSGA Master Trust One Iron Street Boston, MA 02210 1952 | Independent Trustee, Audit Committee Chair | Term: Unlimited Served: since March 2011 | Self-employed consultant since 2009. | 128 | The Motley Fool Funds Trust (Trustee). |
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Name, Address and Year of Birth | Position(s) with Funds | Term of Office and Length of Time Served | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During the Past 5 Years | |||||
CLARE S. RICHER c/o SSGA Master Trust One Iron Street Boston, MA 02210 1958 | Independent Trustee | Term: Unlimited Served: since July 2018 | Chief Financial Officer, Putnam Investments LLC (December 2008 – May 2017). | 128 | Putnam Acquisition Financing Inc. (Director); Putnam Acquisition Financing LLC (Director); Putnam GP Inc. (Director); Putnam Investor Services, Inc. (Director); Putnam Investments Limited (Director); University of Notre Dame (Trustee). | |||||
SANDRA G. SPONEM c/o SSGA Master Trust One Iron Street Boston, MA 02210 1958 | Independent Trustee | Term: Unlimited Served: since July 2018 | Chief Financial Officer, M.A. Mortenson Companies, Inc. (February 2007 – April 2017). | 128 | Guggenheim /Rydex Funds (Trustee). |
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Name, Address and Year of Birth | Position(s) with Funds | Term of Office and Length of Time Served | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During the Past 5 Years | |||||
Interested Trustee | ||||||||||
JAMES E. ROSS* SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1965 | Interested Trustee | Term: Unlimited Served as Trustee: since March 2011 | Chairman and Director, SSGA Funds Management, Inc. (2005-present); Executive Vice President and Principal, State Street Global Advisors (2006-present); Chief Executive Officer and Director, State Street Global Advisors Funds Distributors, LLC (May 2017- present); Director, State Street Global Markets, LLC (2013-April 2017); President, SSGA Funds Management, Inc. (2005-2012). | 189 | None. | |||||
† For the purpose of determining the number of portfolios overseen by the Trustees, “Fund Complex” comprises registered investment companies for which SSGA Funds Management, Inc. serves as investment adviser. | ||||||||||
* Mr. Ross is an Interested Trustee because of his employment with the Adviser and ownership interest in an affiliate of the Adviser. Mr. Ross previously served as an Interested Trustee from November 2005 to December 2009. |
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Name, Address and Year of Birth | Position(s) with Funds | Term of Office and Length of Time Served | Principal Occupation(s) During the Past 5 Years | |||
Officers | ||||||
ELLEN M. NEEDHAM SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1967 | President | Term: Unlimited Served: since October 2012 | President and Director, SSGA Funds Management, Inc. (2001 - present)*; Senior Managing Director, State Street Global Advisors (1992 - present)*; Director, State Street Global Advisors Funds Distributors, LLC (May 2017 - present). | |||
BRUCE S. ROSENBERG SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1961 | Treasurer | Term: Unlimited Served: since February 2016 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (July 2015 - present); Director, Credit Suisse (April 2008 - July 2015). | |||
ANN M. CARPENTER SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1966 | Vice President; Deputy Treasurer | Term: Unlimited Served: since August 2012 | Chief Operating Officer, SSGA Funds Management, Inc. (2005 - Present)*; Managing Director, State Street Global Advisors (2005 - present).* | |||
MICHAEL P. RILEY SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1969 | Vice President | Term: Unlimited Served: since March 2011 | Managing Director, State Street Global Advisors (2005 - present).* | |||
SEAN O’MALLEY SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1969 | Chief Legal Officer | Term: Unlimited Served: since August 2019 | Senior Vice President and Deputy General Counsel, State Street Global Advisors (November 2013 -present). | |||
ANDREW DELORME SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1975 | Secretary | Term: Unlimited Served: since August 2019 | Vice President and Senior Counsel, State Street Global Advisors (April 2016 - present); Vice President and Counsel, State Street Global Advisors (August 2014 - March 2016). | |||
JAMES GOUNDREY SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1977 | Assistant Secretary | Term: Unlimited Served: since August 2019 | Vice President and Senior Counsel, State Street Global Advisors (April 2019 - present); Vice President and Counsel, State Street Global Advisors (August 2015 - April 2019); Attorney, MFS Investment Management (March 2012 - August 2015). |
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Name, Address and Year of Birth | Position(s) with Funds | Term of Office and Length of Time Served | Principal Occupation(s) During the Past 5 Years | |||
KEVIN MORRIS SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1982 | Assistant Secretary | Term: Unlimited Served: since August 2019 | Vice President and Senior Counsel, State Street Global Advisors (April 2019 - present); Vice President and Counsel, State Street Global Advisors (January 2016 -April 2019); Director, Asset Management Compliance, Fidelity Investments (June 2015 - January 2016); Senior Compliance Advisor, Asset Management Compliance, Fidelity Investments (June 2012 - June 2015). | |||
DAVID URMAN SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1985 | Assistant Secretary | Term: Unlimited Served: since August 2019 | Vice President and Senior Counsel, State Street Global Advisors (April 2019 - present); Vice President and Counsel, State Street Global Advisors (August 2015 - April 2019); Associate, Ropes & Gray LLP (November 2012 - August 2015). | |||
CHAD C. HALLETT SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1969 | Deputy Treasurer | Term: Unlimited Served: since February 2016 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (November 2014 - present); Vice President, State Street Bank and Trust Company (2001 - November 2014).* | |||
DARLENE ANDERSON-VASQUEZ SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1968 | Deputy Treasurer | Term: Unlimited Served: since November 2016 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (May 2016 - present); Senior Vice President, John Hancock Investments (September 2007 - May 2016). | |||
ARTHUR A. JENSEN SSGA Funds Management, Inc. 1600 Summer Street Stamford, CT 06905 1966 | Deputy Treasurer | Term: Unlimited Served: Since August 2017 | Vice President at State Street Global Advisors (July 2016 – present); Mutual Funds Controller of GE Asset Management Incorporated (April 2011 - July 2016). | |||
SUJATA UPRETI SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1974 | Assistant Treasurer | Term: Unlimited Served: since February 2016 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (May 2015 - present); Assistant Director, Cambridge Associates, LLC (July 2014 - January 2015); Vice President, Bank of New York Mellon (July 2012 - August 2013); Manager, PricewaterhouseCoopers, LLP (September 2003 - July 2012). |
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Name, Address and Year of Birth | Position(s) with Funds | Term of Office and Length of Time Served | Principal Occupation(s) During the Past 5 Years | |||
DANIEL FOLEY SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1972 | Assistant Treasurer | Term: Unlimited Served: since February 2016 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (April 2007 - present).* | |||
DANIEL G. PLOURDE SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1980 | Assistant Treasurer | Term: Unlimited Served: since May 2017 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (May 2015 - present); Officer, State Street Bank and Trust Company (March 2009 - May 2015). | |||
BRIAN HARRIS SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1973 | Chief Compliance Officer; Anti-Money Laundering Officer; Code of Ethics Compliance Officer | Term: Unlimited Served: since November 2013 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (June 2013 - present)*; Senior Vice President and Global Head of Investment Compliance, BofA Global Capital Management (2010 - 2013); Director of Compliance, AARP Financial Inc. (2008 - 2010). | |||
* Served in various capacities and/or with various affiliated entities during noted time period. | ||||||
The Statement of Additional Information (SAI) includes additional information about the Funds' directors and is available, without charge, upon request and by calling 1-866-787-2257. |
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One Iron Street
Boston, MA 02210
One Lincoln Street
Boston, MA 02111
1111 Pennsylvania Avenue, NW
Washington, DC 20004
200 Clarendon Street
Boston, MA 02116
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One Iron Street
Boston, MA 02210
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Item 2. Code of Ethics.
As of the end of the period covered by this report, the registrant has adopted a code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party (the “Code of Ethics”). During the period covered by this report, no substantive amendments were made to the Code of Ethics. During the period covered by this report, the registrant did not grant any waivers, including any implicit waivers, from any provision of the Code of Ethics.
The Code of Ethics is attached hereto as Exhibit 13(a)(1).
Item 3. Audit Committee Financial Expert.
(a)(1) The Board of Trustees of the registrant has determined that the registrant has six Board members serving on the Audit Committee that possess the attributes identified in Instructions 2(b) of Item 3 to FormN-CSR to qualify as an “audit committee financial expert.”
(2) Bonny Boatman, Dwight Churchill, Frank Nesvet, Clare Richer, Sandra Sponem and Carl Verboncoeur are the registrant’s audit committee financial experts. The Board also determined that each of the foregoing persons are not “interested person(s)” of the registrant as that term is defined in Section 2(a)(19) of the Investment Company Act of 1940, as amended (the “1940 Act”).
Item 4. Principal Accountant Fees and Services.
(a) Audit Fees.
For the fiscal years ending June 30, 2019 and June 30, 2018, the aggregate audit fees billed for professional services rendered by the principal accountant were $257,071 and $209,557, respectively. Audit fees include the performance of the annual audits and routine regulatory filings (one for each SEC registrant).
(b) Audit-Related Fees.
For the fiscal years ending June 30, 2019 and June 30, 2018, the principal accountant did not bill the registrant any fees for assurances and related services that are reasonably related to the performance of the audit of the registrant’s financial statements and are not reported under paragraph (a) of this Item.
(c) Tax Fees.
For the fiscal years ending June 30, 2019 and June 30, 2018, the aggregate tax fees billed for professional services rendered by the principal accountant were $138,894 and $117,852, respectively. Tax fees represent services related to the review ofyear-end distribution requirements, as well as the review and signing as preparer of all federal, state and excise income tax returns for the series of the registrant.
(d) All Other Fees.
There were no other fees billed by the principal accountant for the fiscal years ending June 30, 2019 and June 30, 2018.
(e)(1)Audit CommitteePre-Approval Policies and Procedures.
The registrant’s Audit Committee Charter states the following with respect topre-approval procedures:
Before the independent auditors are engaged by the Trust to render audit ornon-audit services, either:
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a. | The Audit Committee shallpre-approve all auditing services and permissiblenon-audit services (e.g., tax services) provided to the Trust. The Audit Committee may delegate to one or more of its members the authority to grantpre-approvals. Any decision of any member to whom authority is delegated under this section shall be presented to the full Audit Committee at its next regularly scheduled meeting; |
or
b. | The engagement to render the auditing service or permissiblenon-audit service is entered into pursuant topre-approval policies and procedures established by the Audit Committee. Any such policies and procedures must (1) be detailed as to the particular service and (2) not involve any delegation of the Audit Committee’s responsibilities to the investment adviser. The Audit Committee must be informed of each service entered into pursuant to the policies and procedures. A copy of any such policies and procedures shall be attached as an exhibit to the Audit Committee Charter. |
c. | De Minimis Exceptions toPre-Approval Requirements.Pre-Approval for a service provided to the Trust other than audit, review or attest services is not required if: (1) the aggregate amount of all suchnon-audit services provided to the Trust constitutes not more than 5 percent of the total amount of revenues paid by the Trust to the independent auditors during the fiscal year in which thenon-audit services are provided; (2) such services were not recognized by the Trust at the time of the engagement to benon-audit services; and (3) such services are promptly brought to the attention of the Audit Committee and are approved by the Audit Committee or by one or more members of the Audit Committee to whom authority to grant such approvals has been delegated by the Audit Committee prior to the completion of the audit. |
d. | Pre-Approval ofNon-Audit Services Provided to the investment adviser and Certain Control Persons. The Audit Committee shallpre-approve anynon-audit services proposed to be provided by the independent auditors to (a) the investment adviser and (b) any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the Trust, if the independent auditors’ engagement with the investment adviser or any such control persons relates directly to the operations and financial reporting of the Trust. It shall be the responsibility of the independent auditors to notify the Audit Committee of anynon-audit services that need to bepre-approved. |
e. | Application of De Minimis Exception: The De Minimis exception set forth above applies topre-approvals under this Section as well, except that the “total amount of revenues” calculation is based on the total amount of revenues paid to the independent auditors by the Trust and any other entity that has its services approved under this Section (i.e., the investment adviser or any control person). |
(e)(2)Percentage of Services.
One hundred percent of the services described in each of paragraphs (b) through (d) of this Item were approved by the registrant’s Audit Committee pursuant to paragraph (c)(7)(i)(C) of Rule2-01 of RegulationS-X.
(f) Not applicable.
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(g) The aggregatenon-audit fees billed for by the registrant’s accountant for services rendered to the registrant, and rendered to the registrant’s investment adviser (not including anysub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser were as follows:
FY 2019 (in millions) | FY 2018 (in millions) | |||||||
Non audit services billed to: | ||||||||
Registrant: | See Item 4 | (c) | See Item 4 | (c) | ||||
Investment Adviser: | — | — | ||||||
Other entities in the Investment Company Complex(1)(2): | ||||||||
Audit Related Fees | $ | 14.8 | $ | 15.4 | ||||
Tax Fees | $ | 5.3 | $ | 7.8 | ||||
All Other Fees | $ | 16.2 | $ | 16.2 |
(1) | Information is for the calendar years 2018 and 2017, respectively. |
(2) | Services under the caption Audit-Related Fees consisted principally of reports on the processing of transactions by servicing organizations, audits of employee benefit plan,non-statutory audits and due diligence procedures. Services under the caption Tax Fees consisted principally of expatriate, compliance and corporate tax advisory services. Services under the caption All Other Fees primarily related to statutory and financial statement audits and the requirement to opine on the design and operating effectiveness of internal control over financial reporting. |
(h) The registrant’s principal accountant notified the registrant’s Audit Committee of allnon-audit services that were rendered by the principal accountant to the Adviser and any entity controlling, controlled by, or under common control with the Adviser that provides services to the registrant, which services were not required to bepre-approved pursuant to paragraph (c)(7)(ii) of Rule2-01 of RegulationS-X, allowing the registrant’s Audit Committee to consider whether such services were compatible with maintaining the principal accountant’s independence.
Item 5. Audit Committees of Listed Registrants.
The registrant has an audit committee which was established by the Board of Trustees of the Trust in accordance with Section 3(a)(58)(A) of the Securities Exchange Act of 1934, as amended. The members of the registrant’s audit committee are Bonny Boatman, Dwight Churchill, Frank Nesvet, Clare Richer, Sandra Sponem and Carl Verboncoeur.
Item 6. Investments.
(a) | The Schedule of Investments for the SPDR DoubleLine Total Return Tactical ETF is listed below. The Summary Schedule of Investments for this Fund as well as the Schedules of Investments for the remaining series of the registrant are included as part of the reports to shareholders filed under Item 1 of this FormN-CSR. |
(b) | Not applicable to the registrant. |
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Security Description | Principal Amount | Value | |||
CORPORATE BONDS & NOTES — 16.9% | |||||
ARGENTINA — 0.4% | |||||
Banco Macro SA: | |||||
USD 5 Year Swap Rate + 5.46%, 6.75%, 11/4/2026 (a) (b) | $450,000 | $387,464 | |||
Series REGS, USD 5 Year Swap Rate + 5.46%, 6.75%, 11/4/2026 (b) | 2,500,000 | 2,152,575 | |||
Pampa Energia SA Series REGS, 7.50%, 1/24/2027 | 4,350,000 | 4,038,409 | |||
YPF SA: | |||||
Series REGS, 6.95%, 7/21/2027 | 1,500,000 | 1,365,660 | |||
Series REGS, 8.50%, 7/28/2025 | 3,600,000 | 3,600,216 | |||
11,544,324 | |||||
AUSTRALIA — 0.3% | |||||
Commonwealth Bank of Australia 3.90%, 7/12/2047 (a) | 1,838,000 | 1,979,692 | |||
Macquarie Group, Ltd.: | |||||
3 Month USD LIBOR + 1.02%, 3.19%, 11/28/2023 (a) (b) | 1,155,000 | 1,171,470 | |||
3 Month USD LIBOR + 1.33%, 4.15%, 3/27/2024 (a) (b) | 1,990,000 | 2,077,699 | |||
Westpac Banking Corp. 3.30%, 2/26/2024 | 3,205,000 | 3,326,854 | |||
8,555,715 | |||||
BELGIUM — 0.1% | |||||
Anheuser-Busch InBev Worldwide, Inc. 5.55%, 1/23/2049 | 1,605,000 | 1,962,385 | |||
BRAZIL — 0.9% | |||||
Banco BTG Pactual SA 5 Year CMT + 5.26%, 7.75%, 2/15/2029 (a) (b) | 4,800,000 | 5,013,744 | |||
Banco do Brasil SA Series REGS, 10 Year CMT + 4.40%, 6.25%, 4/15/2024 (b) | 4,900,000 | 4,658,381 | |||
Braskem Finance, Ltd. Series REGS, 5.75%, 4/15/2021 | 600,000 | 625,938 | |||
CIMPOR Financial Operations B.V. Series REGS, 5.75%, 7/17/2024 | 1,000,000 | 876,160 | |||
CSN Islands XII Corp. Series REGS, 7.00%, 9/23/2019 | 1,600,000 | 1,440,208 | |||
CSN Resources SA: | |||||
7.63%, 4/17/2026 (a) | 1,800,000 | 1,905,120 |
Security Description | Principal Amount | Value | |||
Series REGS, 7.63%, 2/13/2023 | $1,200,000 | $1,269,564 | |||
Itau Unibanco Holding SA: | |||||
Series REGS, 6.20%, 12/21/2021 | 300,000 | 318,597 | |||
Series REGS, 5 Year CMT + 3.86%, 6.50%, 3/19/2023 (b) | 1,500,000 | 1,541,040 | |||
JBS Investments GmbH Series REGS, 7.25%, 4/3/2024 | 2,500,000 | 2,597,200 | |||
JBS USA LUX SA/JBS USA Finance, Inc.: | |||||
5.75%, 6/15/2025 (a) | 85,000 | 88,367 | |||
5.88%, 7/15/2024 (a) | 130,000 | 133,762 | |||
6.75%, 2/15/2028 (a) | 530,000 | 575,448 | |||
MARB BondCo PLC: | |||||
7.00%, 3/15/2024 (a) | 600,000 | 624,000 | |||
Series REGS, 6.88%, 1/19/2025 | 2,200,000 | 2,288,132 | |||
NBM US Holdings, Inc. 7.00%, 5/14/2026 (a) | 1,000,000 | 1,051,960 | |||
Petrobras Global Finance B.V.: | |||||
5.75%, 2/1/2029 | 4,600,000 | 4,802,170 | |||
6.90%, 3/19/2049 | 700,000 | 746,109 | |||
Votorantim Cimentos International SA Series REGS, 7.25%, 4/5/2041 | 600,000 | 715,050 | |||
31,270,950 | |||||
CANADA — 0.5% | |||||
1011778 BC ULC/New Red Finance, Inc. 5.00%, 10/15/2025 (a) | 1,195,000 | 1,205,444 | |||
Bank of Nova Scotia 3.40%, 2/11/2024 | 1,495,000 | 1,555,473 | |||
Bombardier, Inc.: | |||||
6.00%, 10/15/2022 (a) | 300,000 | 301,290 | |||
7.88%, 4/15/2027 (a) | 350,000 | 350,427 | |||
Calfrac Holdings L.P. 8.50%, 6/15/2026 (a) | 220,000 | 154,290 | |||
Canadian Natural Resources, Ltd. 2.95%, 1/15/2023 | 3,175,000 | 3,206,718 | |||
Cenovus Energy, Inc. 5.40%, 6/15/2047 | 1,550,000 | 1,668,761 | |||
Cott Holdings, Inc. 5.50%, 4/1/2025 (a) | 675,000 | 687,751 | |||
Fortis, Inc. 2.10%, 10/4/2021 | 1,395,000 | 1,380,743 | |||
Garda World Security Corp. 8.75%, 5/15/2025 (a) | 645,000 | 638,898 | |||
GFL Environmental, Inc. 8.50%, 5/1/2027 (a) | 285,000 | 306,449 | |||
Kronos Acquisition Holdings, Inc. 9.00%, 8/15/2023 (a) | 245,000 | 216,232 |
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Security Description | Principal Amount | Value | |||
MEG Energy Corp. 7.00%, 3/31/2024 (a) | $275,000 | $262,202 | |||
Parkland Fuel Corp. 5.88%, 7/15/2027 (a) (c) | 355,000 | 361,362 | |||
Stoneway Capital Corp. Series REGS, 10.00%, 3/1/2027 | 2,637,689 | 2,488,765 | |||
Superior Plus L.P./Superior General Partner, Inc. 7.00%, 7/15/2026 (a) | 655,000 | 673,386 | |||
Telesat Canada/Telesat LLC 8.88%, 11/15/2024 (a) | 780,000 | 846,058 | |||
Tervita Escrow Corp. 7.63%, 12/1/2021 (a) | 1,035,000 | 1,052,492 | |||
17,356,741 | |||||
CAYMAN ISLANDS — 0.2% | |||||
Avolon Holdings Funding, Ltd. 5.13%, 10/1/2023 (a) | 495,000 | 522,953 | |||
Cosan Overseas, Ltd. 8.25%, 8/5/2019 | 4,314,000 | 4,459,597 | |||
4,982,550 | |||||
CHILE — 0.9% | |||||
AES Gener SA: | |||||
USD 5 Year Swap Rate + 4.64%, 7.13%, 3/26/2079 (a) (b) | 1,000,000 | 1,068,730 | |||
Series REGS, 5.00%, 7/14/2025 | 200,000 | 207,730 | |||
Series REGS, 7.13%, 3/26/2079 (b) | 2,000,000 | 2,137,460 | |||
Banco de Credito e Inversiones SA Series REGS, 4.00%, 2/11/2023 | 2,000,000 | 2,092,320 | |||
Celulosa Arauco y Constitucion SA: | |||||
4.75%, 1/11/2022 | 1,400,000 | 1,453,984 | |||
5.50%, 4/30/2049 (a) | 600,000 | 633,960 | |||
Embotelladora Andina SA Series REGS, 5.00%, 10/1/2023 | 1,804,000 | 1,932,932 | |||
Empresa Electrica Angamos SA Series REGS, 4.88%, 5/25/2029 | 1,739,000 | 1,806,752 | |||
Empresa Electrica Guacolda SA Series REGS, 4.56%, 4/30/2025 | 1,900,000 | 1,781,231 | |||
Empresa Nacional de Telecomunicaciones SA Series REGS, 4.75%, 8/1/2026 | 2,200,000 | 2,308,812 | |||
GNL Quintero SA Series REGS, 4.63%, 7/31/2029 | 200,000 | 211,310 | |||
Guanay Finance, Ltd. Series REGS, 6.00%, 12/15/2020 | 665,452 | 673,776 |
Security Description | Principal Amount | Value | |||
Inversiones CMPC SA Series REGS, 4.50%, 4/25/2022 | $2,300,000 | $2,383,559 | |||
Latam Finance, Ltd. 7.00%, 3/1/2026 (a) | 2,700,000 | 2,821,986 | |||
SACI Falabella Series REGS, 3.75%, 4/30/2023 | 3,600,000 | 3,693,636 | |||
Sociedad Quimica y Minera de Chile SA Series REGS, 4.38%, 1/28/2025 | 300,000 | 315,552 | |||
Transelec SA Series REGS, 3.88%, 1/12/2029 | 1,000,000 | 1,000,440 | |||
VTR Finance B.V.: | |||||
6.88%, 1/15/2024 (a) | 500,000 | 516,645 | |||
Series REGS, 6.88%, 1/15/2024 | 2,800,000 | 2,893,212 | |||
29,934,027 | |||||
CHINA — 0.1% | |||||
Gran Tierra Energy International Holdings, Ltd. Series REGS, 6.25%, 2/15/2025 | 2,600,000 | 2,421,952 | |||
Sinopec Group Overseas Development 2016, Ltd. Series REGS, 2.75%, 9/29/2026 | 1,500,000 | 1,465,740 | |||
Sinopec Group Overseas Development 2017, Ltd. 3.63%, 4/12/2027 (a) | 700,000 | 723,912 | |||
4,611,604 | |||||
COLOMBIA — 0.2% | |||||
Banco Bilbao Vizcaya Argentaria Colombia SA Series REGS, 4.88%, 4/21/2025 | 500,000 | 526,020 | |||
Bancolombia SA: | |||||
5.13%, 9/11/2022 | 500,000 | 524,625 | |||
5 Year CMT + 2.93%, 4.88%, 10/18/2027 (b) | 1,700,000 | 1,742,585 | |||
Geopark, Ltd. Series REGS, 6.50%, 9/21/2024 | 800,000 | 823,568 | |||
Grupo Aval, Ltd. Series REGS, 4.75%, 9/26/2022 | 500,000 | 516,535 | |||
Millicom International Cellular SA: | |||||
6.25%, 3/25/2029 (a) | 1,700,000 | 1,822,009 | |||
6.63%, 10/15/2026 (a) | 1,500,000 | 1,637,160 | |||
Series REGS, 6.00%, 3/15/2025 | 400,000 | 415,200 | |||
8,007,702 | |||||
COSTA RICA — 0.0% (d) | |||||
Banco Nacional de Costa Rica Series REGS, 5.88%, 4/25/2021 (a) | 1,295,000 | 1,321,871 |
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Security Description | Principal Amount | Value | |||
DOMINICAN REPUBLIC — 0.2% | |||||
AES Andres B.V./Dominican Power Partners/Empresa Generadora de Electricidad It 7.95%, 5/11/2026 (a) | $2,200,000 | $2,385,592 | |||
Banco de Reservas de la Republica Dominicana Series REGS, 7.00%, 2/1/2023 (a) | 3,950,000 | 4,073,359 | |||
6,458,951 | |||||
FRANCE — 0.0% (d) | |||||
Altice France SA 7.38%, 5/1/2026 (a) | 725,000 | 743,140 | |||
HONG KONG — 0.0% (d) | |||||
CK Hutchison International 17, Ltd. 3.50%, 4/5/2027 (a) | 1,100,000 | 1,133,308 | |||
INDIA — 1.1% | |||||
Adani Ports & Special Economic Zone, Ltd. Series REGS, 3.95%, 1/19/2022 | 2,500,000 | 2,550,600 | |||
Bharat Petroleum Corp., Ltd. 4.63%, 10/25/2022 | 500,000 | 526,385 | |||
Bharti Airtel International Netherlands B.V. Series REGS, 5.13%, 3/11/2023 | 3,400,000 | 3,576,188 | |||
Bharti Airtel, Ltd. Series REGS, 4.38%, 6/10/2025 | 4,000,000 | 4,060,400 | |||
BPRL International Singapore Pte, Ltd. Series EMTN, 4.38%, 1/18/2027 | 3,900,000 | 4,061,238 | |||
Indian Oil Corp., Ltd.: | |||||
5.63%, 8/2/2021 | 2,000,000 | 2,109,740 | |||
5.75%, 8/1/2023 | 4,900,000 | 5,363,197 | |||
ONGC Videsh Vankorneft Pte, Ltd. 3.75%, 7/27/2026 | 5,500,000 | 5,571,912 | |||
Reliance Holding USA, Inc. Series REGS, 5.40%, 2/14/2022 | 4,500,000 | 4,775,040 | |||
Vedanta Resources Finance II PLC 9.25%, 4/23/2026 (a) | 1,400,000 | 1,417,570 | |||
Vedanta Resources PLC: | |||||
Series REGS, 6.13%, 8/9/2024 | 3,800,000 | 3,483,802 | |||
Series REGS, 7.13%, 5/31/2023 | 600,000 | 591,918 | |||
38,087,990 | |||||
INDONESIA — 0.0% (d) | |||||
Star Energy Geothermal Wayang Windu, Ltd. Series REGS, 6.75%, 4/24/2033 | 1,053,800 | 1,064,464 |
Security Description | Principal Amount | Value | |||
IRELAND — 0.3% | |||||
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. 6.00%, 2/15/2025 (a) | $1,000,000 | $1,037,170 | |||
Avolon Holdings Funding, Ltd.: | |||||
3.95%, 7/1/2024 (a) | 1,190,000 | 1,218,560 | |||
5.25%, 5/15/2024 (a) | 1,015,000 | 1,083,076 | |||
C&W Senior Financing DAC: | |||||
7.50%, 10/15/2026 (a) | 1,300,000 | 1,360,697 | |||
Series REGS, 6.88%, 9/15/2027 | 4,200,000 | 4,341,792 | |||
9,041,295 | |||||
ISRAEL — 0.1% | |||||
Delek & Avner Tamar Bond, Ltd.: | |||||
4.44%, 12/30/2020 (a) | 1,600,000 | 1,623,552 | |||
5.41%, 12/30/2025 (a) | 340,000 | 352,869 | |||
Israel Electric Corp., Ltd. Series 6, 5.00%, 11/12/2024 (a) | 600,000 | 649,638 | |||
2,626,059 | |||||
JAMAICA — 0.0% (d) | |||||
Digicel Group Two, Ltd.: | |||||
8.25%, 9/30/2022 (a) | 1,400,000 | 362,740 | |||
PIK, 9.13%, 4/1/2024 (a) | 3,314,116 | 745,676 | |||
1,108,416 | |||||
JAPAN — 0.1% | |||||
Mitsubishi UFJ Financial Group, Inc. 3 Month USD LIBOR + 0.74%, 3.26%, 3/2/2023 (b) | 1,495,000 | 1,494,462 | |||
Sumitomo Mitsui Financial Group, Inc. 3 Month USD LIBOR + 0.74%, 3.33%, 1/17/2023 (b) | 1,880,000 | 1,879,304 | |||
3,373,766 | |||||
LUXEMBOURG — 0.3% | |||||
Altice Luxembourg SA 7.75%, 5/15/2022 (a) | 200,000 | 203,194 | |||
Intelsat Jackson Holdings SA: | |||||
5.50%, 8/1/2023 | 215,000 | 196,751 | |||
8.50%, 10/15/2024 (a) | 610,000 | 604,046 | |||
JSL Europe SA Series REGS, 7.75%, 7/26/2024 | 2,200,000 | 2,263,294 | |||
Millicom International Cellular SA Series REGS, 5.13%, 1/15/2028 | 1,100,000 | 1,114,454 | |||
Minerva Luxembourg SA: | |||||
Series REGS, 5.88%, 1/19/2028 | 1,700,000 | 1,698,810 |
Table of Contents
Security Description | Principal Amount | Value | |||
Series REGS, 6.50%, 9/20/2026 | $2,800,000 | $2,907,772 | |||
8,988,321 | |||||
MALAYSIA — 0.4% | |||||
Gohl Capital, Ltd. 4.25%, 1/24/2027 | 5,000,000 | 5,146,890 | |||
Malayan Banking Bhd USD 5 Year Swap Rate + 2.54%, 3.91%, 10/29/2026 (b) | 7,000,000 | 7,102,410 | |||
12,249,300 | |||||
MAURITIUS — 0.1% | |||||
UPL Corp., Ltd. 4.50%, 3/8/2028 | 3,000,000 | 3,060,660 | |||
MEXICO — 1.1% | |||||
Banco Mercantil del Norte SA: | |||||
Series REGS, 10 Year CMT + 5.35%, 7.63%, 1/10/2028 (b) | 3,210,000 | 3,284,344 | |||
Series REGS, 5 year CMT + 4.45%, 5.75%, 10/4/2031 (b) | 1,200,000 | 1,169,400 | |||
Series REGS, 5 Year CMT + 5.04%, 6.88%, 7/6/2022 (b) | 1,264,000 | 1,279,534 | |||
Banco Santander Mexico SA 5 Year CMT + 3.00%, 5.95%, 10/1/2028 (a) (b) | 1,700,000 | 1,801,014 | |||
BBVA Bancomer SA: | |||||
Series REGS, 5 Year CMT + 2.65%, 5.13%, 1/18/2033 (b) | 5,500,000 | 5,250,575 | |||
Series REGS, 5 Year CMT + 3.00%, 5.35%, 11/12/2029 (b) | 200,000 | 197,038 | |||
Cometa Energia SA de CV Series REGS, 6.38%, 4/24/2035 | 5,557,500 | 5,726,337 | |||
Controladora Mabe SA de CV Series REGS, 5.60%, 10/23/2028 | 1,500,000 | 1,572,765 | |||
Credito Real SAB de CV: | |||||
9.50%, 2/7/2026 (a) | 2,500,000 | 2,755,800 | |||
Series REGS, 5 Year CMT + 7.03%, 9.13%, 11/29/2022 (b) | 1,500,000 | 1,517,655 | |||
Grupo Bimbo SAB de CV Series REGS, 5 Year CMT + 3.28%, 5.95%, 4/17/2023 (b) | 1,400,000 | 1,470,882 | |||
Grupo Idesa SA de CV Series REGS, 7.88%, 12/18/2020 | 2,000,000 | 1,495,120 | |||
Mexichem SAB de CV Series REGS, 5.88%, 9/17/2044 | 700,000 | 726,047 |
Security Description | Principal Amount | Value | |||
Mexico Generadora de Energia S de rl Series REGS, 5.50%, 12/6/2032 | $1,681,020 | $1,813,619 | |||
Petroleos Mexicanos 6.50%, 6/2/2041 | 1,300,000 | 1,151,579 | |||
Unifin Financiera SAB de CV: | |||||
Series REGS, 7.38%, 2/12/2026 | 700,000 | 680,911 | |||
Series REGS, 5 Year CMT + 6.31%, 8.88%, 1/29/2025 (b) | 3,900,000 | 3,581,721 | |||
35,474,341 | |||||
NETHERLANDS — 0.3% | |||||
AES Andres B.V./Dominican Power Partners/Empresa Generadora de Electricidad It Series REGS, 7.95%, 5/11/2026 | 1,200,000 | 1,301,232 | |||
Ajecorp B.V. Series REGS, 6.50%, 5/14/2022 | 150,000 | 142,344 | |||
Minejesa Capital B.V.: | |||||
Series REGS, 4.63%, 8/10/2030 | 2,000,000 | 2,026,100 | |||
Series REGS, 5.63%, 8/10/2037 | 1,700,000 | 1,789,539 | |||
Starfruit Finco B.V./Starfruit US Holdco LLC 8.00%, 10/1/2026 (a) | 150,000 | 154,347 | |||
Stars Group Holdings B.V. 7.00%, 7/15/2026 (a) | 695,000 | 734,962 | |||
Syngenta Finance NV Series REGS, 5.68%, 4/24/2048 | 4,000,000 | 3,951,560 | |||
10,100,084 | |||||
NORWAY — 0.0% (d) | |||||
Aker BP ASA 4.75%, 6/15/2024 (a) | 360,000 | 371,934 | |||
PANAMA — 0.1% | |||||
Banco General SA Series REGS, 4.13%, 8/7/2027 | 500,000 | 508,845 | |||
Global Bank Corp. 3 Month USD LIBOR + 3.30%, 5.25%, 4/16/2029 (a) (b) | 3,700,000 | 3,861,616 | |||
4,370,461 | |||||
PERU — 0.0% (d) | |||||
Banco Internacional del Peru SAA Series REGS, 3 Month USD LIBOR + 6.74%, 8.50%, 4/23/2070 (b) | 500,000 | 518,250 | |||
Transportadora de Gas del Peru SA Series REGS, 4.25%, 4/30/2028 | 700,000 | 730,779 | |||
1,249,029 |
Table of Contents
Security Description | Principal Amount | Value | |||
PHILIPPINES — 0.2% | |||||
BDO Unibank, Inc. Series EMTN, 2.95%, 3/6/2023 | $6,200,000 | $6,187,600 | |||
SINGAPORE — 0.5% | |||||
DBS Group Holdings, Ltd. Series GMTN, USD 5 Year Swap Rate + 2.39%, 3.60%, 9/7/2021 (b) | 4,100,000 | 4,083,600 | |||
LLPL Capital Pte, Ltd. 6.88%, 2/4/2039 (a) | 2,200,000 | 2,511,520 | |||
Temasek Financial I, Ltd. Series REGS, 2.38%, 1/23/2023 | 3,500,000 | 3,522,610 | |||
United Overseas Bank, Ltd.: | |||||
Series EMTN, USD 5 Year Swap Rate + 1.79%, 3.88%, 10/19/2023 (b) | 2,000,000 | 1,970,660 | |||
Series EMTN, USD 5 Year Swap Rate + 2.24%, 3.50%, 9/16/2026 (b) | 4,000,000 | 4,042,920 | |||
16,131,310 | |||||
SPAIN — 0.1% | |||||
AI Candelaria Spain SLU: | |||||
7.50%, 12/15/2028 (a) | 250,000 | 273,955 | |||
Series REGS, 7.50%, 12/15/2028 | 1,550,000 | 1,703,528 | |||
1,977,483 | |||||
SWITZERLAND — 0.0% (d) | |||||
Syngenta Finance NV 4.38%, 3/28/2042 | 200,000 | 166,232 | |||
THAILAND — 0.0% (d) | |||||
PTTEP Treasury Center Co., Ltd. Series REGS, 5 Year CMT + 2.72%, 4.60%, 7/17/2022 (b) | 500,000 | 507,050 | |||
UNITED KINGDOM — 0.4% | |||||
AstraZeneca PLC 2.38%, 6/12/2022 | 1,600,000 | 1,608,720 | |||
Avation Capital SA 6.50%, 5/15/2021 (a) | 600,000 | 617,994 | |||
eG Global Finance PLC 6.75%, 2/7/2025 (a) | 460,000 | 456,412 | |||
MARB BondCo PLC Series REGS, 7.00%, 3/15/2024 | 400,000 | 416,000 | |||
Radiant Access, Ltd. 4.60%, 5/18/2020 | 2,300,000 | 2,235,117 | |||
Reynolds American, Inc. 4.00%, 6/12/2022 | 2,770,000 | 2,873,376 | |||
Royal Bank of Scotland Group PLC 3 Month USD LIBOR + 1.48%, 3.50%, 5/15/2023 (b) | 3,195,000 | 3,227,781 | |||
11,435,400 |
Security Description | Principal Amount | Value | |||
UNITED STATES — 8.0% | |||||
AbbVie, Inc. 3.20%, 11/6/2022 | $1,450,000 | $1,479,391 | |||
Acrisure LLC/Acrisure Finance, Inc. 8.13%, 2/15/2024 (a) | 555,000 | 572,849 | |||
AECOM 5.13%, 3/15/2027 | 1,020,000 | 1,060,759 | |||
Air Lease Corp. 3.25%, 3/1/2025 | 3,490,000 | 3,510,591 | |||
Air Medical Group Holdings, Inc. 6.38%, 5/15/2023 (a) | 465,000 | 416,180 | |||
AK Steel Corp.: | |||||
6.38%, 10/15/2025 | 185,000 | 148,627 | |||
7.63%, 10/1/2021 | 150,000 | 148,118 | |||
Albertsons Cos. LLC/Safeway, Inc./New Albertson's Inc./Albertson's LLC: | |||||
5.75%, 3/15/2025 | 425,000 | 428,885 | |||
7.50%, 3/15/2026 (a) | 280,000 | 299,032 | |||
Alcoa Nederland Holding B.V. 6.13%, 5/15/2028 (a) | 1,020,000 | 1,065,849 | |||
Allergan Funding SCS 3.85%, 6/15/2024 | 1,590,000 | 1,650,213 | |||
Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer 8.25%, 8/1/2023 (a) | 1,080,000 | 1,106,050 | |||
Allied Universal Holdco LLC/Allied Universal Finance Corp.: | |||||
6.63%, 7/15/2026 | 405,000 | 411,581 | |||
9.75%, 7/15/2027 | 290,000 | 288,550 | |||
Allison Transmission, Inc. 5.00%, 10/1/2024 (a) | 915,000 | 935,313 | |||
Altria Group, Inc. 5.95%, 2/14/2049 | 1,500,000 | 1,705,590 | |||
Amazon.com, Inc.: | |||||
2.80%, 8/22/2024 | 2,090,000 | 2,150,673 | |||
3.80%, 12/5/2024 | 1,255,000 | 1,351,798 | |||
American Axle & Manufacturing, Inc. 6.25%, 3/15/2026 | 425,000 | 419,288 | |||
American Express Co. 2.50%, 8/1/2022 | 1,530,000 | 1,539,364 | |||
Amsted Industries, Inc. 5.63%, 7/1/2027 (a) | 350,000 | 364,840 | |||
Antero Midstream Partners L.P./Antero Midstream Finance Corp. 5.75%, 3/1/2027 (a) | 975,000 | 974,932 | |||
Anthem, Inc. 3.30%, 1/15/2023 | 3,377,000 | 3,475,271 | |||
Aramark Services, Inc. 5.00%, 4/1/2025 (a) | 935,000 | 953,709 |
Table of Contents
Security Description | Principal Amount | Value | |||
Arrow Electronics, Inc. 3.88%, 1/12/2028 | $717,000 | $709,852 | |||
Ascend Learning LLC 6.88%, 8/1/2025 (a) | 1,030,000 | 1,047,844 | |||
Ashland LLC 4.75%, 8/15/2022 | 1,550,000 | 1,620,308 | |||
ASP AMC Merger Sub, Inc. 8.00%, 5/15/2025 (a) | 358,000 | 212,742 | |||
AssuredPartners, Inc. 7.00%, 8/15/2025 (a) | 952,000 | 948,601 | |||
AT&T, Inc. 3.40%, 5/15/2025 | 2,530,000 | 2,599,322 | |||
Avantor, Inc. 9.00%, 10/1/2025 (a) | 980,000 | 1,091,426 | |||
B&G Foods, Inc. 5.25%, 4/1/2025 | 720,000 | 727,423 | |||
Banff Merger Sub, Inc. 9.75%, 9/1/2026 (a) | 195,000 | 169,149 | |||
Bank of America Corp. Series GMTN, 3 Month USD LIBOR + 0.66%, 2.37%, 7/21/2021 (b) | 3,180,000 | 3,176,756 | |||
Bausch Health Cos., Inc.: | |||||
5.75%, 8/15/2027 (a) | 295,000 | 309,924 | |||
7.00%, 3/15/2024 (a) | 240,000 | 255,043 | |||
7.00%, 1/15/2028 (a) | 730,000 | 756,170 | |||
7.25%, 5/30/2029 (a) | 730,000 | 758,857 | |||
Beacon Roofing Supply, Inc. 4.88%, 11/1/2025 (a) | 1,120,000 | 1,108,733 | |||
Becton Dickinson and Co. 2.89%, 6/6/2022 | 3,070,000 | 3,111,291 | |||
Berry Global Escrow Corp. 5.63%, 7/15/2027 (a) | 360,000 | 374,256 | |||
Boston Properties L.P. 3.65%, 2/1/2026 | 3,045,000 | 3,162,476 | |||
Boyne USA, Inc. 7.25%, 5/1/2025 (a) | 1,115,000 | 1,209,931 | |||
Builders FirstSource, Inc.: | |||||
5.63%, 9/1/2024 (a) | 985,000 | 1,014,757 | |||
6.75%, 6/1/2027 (a) | 105,000 | 111,045 | |||
Calpine Corp.: | |||||
5.25%, 6/1/2026 (a) | 370,000 | 376,701 | |||
5.75%, 1/15/2025 | 375,000 | 372,589 | |||
Camelot Finance SA 7.88%, 10/15/2024 (a) | 695,000 | 730,188 | |||
Cardinal Health, Inc. 3.41%, 6/15/2027 | 3,280,000 | 3,272,095 | |||
Carvana Co. 8.88%, 10/1/2023 (a) | 260,000 | 262,545 | |||
Catalent Pharma Solutions, Inc. 5.00%, 7/15/2027 (a) | 340,000 | 346,127 | |||
Caterpillar, Inc. 3.40%, 5/15/2024 | 2,791,000 | 2,924,521 | |||
CCO Holdings LLC/CCO Holdings Capital Corp.: | |||||
5.00%, 2/1/2028 (a) | 475,000 | 484,823 | |||
5.75%, 2/15/2026 (a) | 1,600,000 | 1,682,944 |
Security Description | Principal Amount | Value | |||
CDK Global, Inc.: | |||||
5.25%, 5/15/2029 (a) | $260,000 | $268,902 | |||
5.88%, 6/15/2026 | 200,000 | 212,120 | |||
Cedar Fair L.P. 5.25%, 7/15/2029 (a) | 430,000 | 439,589 | |||
Celgene Corp. 4.35%, 11/15/2047 | 3,360,000 | 3,709,003 | |||
Cengage Learning, Inc. 9.50%, 6/15/2024 (a) | 570,000 | 545,650 | |||
Centene Corp. 4.75%, 1/15/2025 | 880,000 | 908,134 | |||
Centene Escrow I Corp. 5.38%, 6/1/2026 (a) | 505,000 | 531,563 | |||
Century Communities, Inc. 6.75%, 6/1/2027 (a) | 360,000 | 365,357 | |||
Charter Communications Operating LLC/Charter Communications Operating Capital 4.46%, 7/23/2022 | 1,475,000 | 1,548,676 | |||
Cheniere Energy Partners L.P.: | |||||
5.25%, 10/1/2025 | 935,000 | 966,799 | |||
5.63%, 10/1/2026 (a) | 455,000 | 480,070 | |||
Cigna Corp. 4.90%, 12/15/2048 (a) | 1,610,000 | 1,758,217 | |||
Cincinnati Bell, Inc. 7.00%, 7/15/2024 (a) | 699,000 | 616,923 | |||
Citigroup, Inc. 3 Month USD LIBOR + 1.39%, 3.67%, 7/24/2028 (b) | 3,385,000 | 3,531,164 | |||
Clean Harbors, Inc.: | |||||
4.88%, 7/15/2027 (a) (c) | 460,000 | 468,239 | |||
5.13%, 7/15/2029 (a) (c) | 145,000 | 148,555 | |||
Clear Channel Worldwide Holdings, Inc. 9.25%, 2/15/2024 (a) | 465,000 | 504,525 | |||
CNO Financial Group, Inc. 5.25%, 5/30/2029 | 255,000 | 275,953 | |||
CNX Midstream Partners L.P./CNX Midstream Finance Corp. 6.50%, 3/15/2026 (a) | 730,000 | 695,332 | |||
Colfax Corp.: | |||||
6.00%, 2/15/2024 (a) | 280,000 | 296,215 | |||
6.38%, 2/15/2026 (a) | 570,000 | 612,072 | |||
Comcast Corp. 4.70%, 10/15/2048 | 1,530,000 | 1,793,803 | |||
CommScope Finance LLC: | |||||
5.50%, 3/1/2024 (a) | 540,000 | 554,137 | |||
6.00%, 3/1/2026 (a) | 145,000 | 148,669 | |||
Constellation Merger Sub, Inc. 8.50%, 9/15/2025 (a) | 440,000 | 407,977 | |||
CRC Escrow Issuer LLC/CRC Finco, Inc. 5.25%, 10/15/2025 (a) | 655,000 | 654,915 | |||
Credit Acceptance Corp. 6.63%, 3/15/2026 (a) | 680,000 | 719,100 |
Table of Contents
Security Description | Principal Amount | Value | |||
Crown Americas LLC/Crown Americas Capital Corp. 4.75%, 2/1/2026 | $810,000 | $832,413 | |||
Crown Americas LLC/Crown Americas Capital Corp. IV 4.50%, 1/15/2023 | 400,000 | 415,852 | |||
Crown Castle International Corp. 4.30%, 2/15/2029 | 1,605,000 | 1,734,219 | |||
CSC Holdings LLC: | |||||
5.25%, 6/1/2024 | 810,000 | 841,485 | |||
5.38%, 7/15/2023 (a) | 875,000 | 898,809 | |||
CSI Compressco L.P./CSI Compressco Finance, Inc. 7.50%, 4/1/2025 (a) | 865,000 | 848,565 | |||
CVS Health Corp. 3.70%, 3/9/2023 | 3,015,000 | 3,114,917 | |||
Dana Financing Luxembourg Sarl 5.75%, 4/15/2025 (a) | 715,000 | 733,712 | |||
Delta Air Lines, Inc. 3.63%, 3/15/2022 | 2,105,000 | 2,139,417 | |||
Discover Financial Services 4.10%, 2/9/2027 | 1,565,000 | 1,627,976 | |||
DISH DBS Corp. 5.88%, 11/15/2024 | 420,000 | 395,997 | |||
Dollar Tree, Inc. 4.00%, 5/15/2025 | 1,550,000 | 1,611,597 | |||
DowDuPont, Inc. 5.42%, 11/15/2048 | 1,395,000 | 1,696,766 | |||
Duke Energy Corp. 2.65%, 9/1/2026 | 3,535,000 | 3,493,040 | |||
Eagle Holding Co. II LLC PIK, 7.75%, 5/15/2022 (a) | 405,000 | 410,407 | |||
Eldorado Resorts, Inc. 6.00%, 4/1/2025 | 550,000 | 578,105 | |||
Embarq Corp. 8.00%, 6/1/2036 | 660,000 | 638,603 | |||
Energizer Holdings, Inc. 7.75%, 1/15/2027 (a) | 525,000 | 567,509 | |||
Energy Transfer Operating L.P. 4.75%, 1/15/2026 | 1,455,000 | 1,559,702 | |||
Enterprise Products Operating LLC 3.75%, 2/15/2025 | 2,155,000 | 2,279,343 | |||
Envision Helthcare Corp. 8.75%, 10/15/2026 (a) | 45,000 | 31,366 | |||
EP Energy LLC/Everest Acquisition Finance, Inc. 7.75%, 5/15/2026 (a) | 335,000 | 299,215 | |||
EQT Corp. 3.90%, 10/1/2027 | 1,760,000 | 1,669,219 | |||
EQT Midstream Partners L.P. Series 5Y, 4.75%, 7/15/2023 | 1,555,000 | 1,616,283 | |||
ESH Hospitality, Inc. 5.25%, 5/1/2025 (a) | 1,195,000 | 1,223,238 | |||
Expedia Group, Inc. 3.80%, 2/15/2028 | 2,515,000 | 2,559,264 |
Security Description | Principal Amount | Value | |||
Exterran Energy Solutions L.P./EES Finance Corp. 8.13%, 5/1/2025 | $190,000 | $193,739 | |||
Extraction Oil & Gas, Inc. 5.63%, 2/1/2026 (a) | 155,000 | 125,093 | |||
FedEx Corp. 4.75%, 11/15/2045 | 1,650,000 | 1,737,153 | |||
Financial & Risk US Holdings, Inc.: | |||||
6.25%, 5/15/2026 (a) | 485,000 | 499,186 | |||
8.25%, 11/15/2026 (a) | 500,000 | 514,685 | |||
Flex Acquisition Co., Inc. 6.88%, 1/15/2025 (a) | 590,000 | 534,139 | |||
Foresight Energy LLC/Foresight Energy Finance Corp. 11.50%, 4/1/2023 (a) | 510,000 | 285,972 | |||
Freeport-McMoRan, Inc.: | |||||
5.40%, 11/14/2034 | 2,950,000 | 2,811,674 | |||
5.45%, 3/15/2043 | 2,550,000 | 2,336,820 | |||
frontdoor, Inc. 6.75%, 8/15/2026 (a) | 690,000 | 739,059 | |||
Frontier Communications Corp.: | |||||
8.00%, 4/1/2027 (a) | 410,000 | 426,822 | |||
8.50%, 4/15/2020 | 135,000 | 109,794 | |||
8.50%, 4/1/2026 (a) | 365,000 | 354,389 | |||
FTS International, Inc. 6.25%, 5/1/2022 | 320,000 | 298,198 | |||
General Electric Co. Series MTN, 5.88%, 1/14/2038 | 1,420,000 | 1,612,098 | |||
General Motors Co. 3 Month USD LIBOR + 0.80%, 3.37%, 8/7/2020 (b) | 645,000 | 645,742 | |||
General Motors Financial Co., Inc.: | |||||
3.95%, 4/13/2024 | 125,000 | 127,850 | |||
3 Month USD LIBOR + 0.99%, 3.59%, 1/5/2023 (b) | 2,511,000 | 2,464,446 | |||
Genesys Telecommunications Laboratories, Inc./Greeneden Lux 3 Sarl/Greeneden US Holdings II LLC 10.00%, 11/30/2024 (a) | 1,095,000 | 1,190,736 | |||
Georgia-Pacific LLC 3.60%, 3/1/2025 (a) | 1,543,000 | 1,620,628 | |||
Gogo Intermediate Holdings LLC/Gogo Finance Co., Inc. 9.88%, 5/1/2024 (a) | 575,000 | 590,186 | |||
Golden Entertainment, Inc. 7.63%, 4/15/2026 (a) | 315,000 | 323,184 | |||
Golden Nugget, Inc. 6.75%, 10/15/2024 (a) | 1,120,000 | 1,153,723 | |||
Goldman Sachs Group, Inc.: |
Table of Contents
Security Description | Principal Amount | Value | |||
3 Month USD LIBOR + 0.78%, 3.36%, 10/31/2022 (b) | $1,115,000 | $1,115,457 | |||
3 Month USD LIBOR + 1.17%, 3.69%, 5/15/2026 (b) | 1,980,000 | 1,956,101 | |||
Gray Escrow, Inc. 7.00%, 5/15/2027 (a) | 575,000 | 623,467 | |||
Gray Television, Inc. 5.13%, 10/15/2024 (a) | 195,000 | 198,385 | |||
GrubHub Holdings, Inc. 5.50%, 7/1/2027 (a) | 260,000 | 267,407 | |||
GTT Communications, Inc. 7.88%, 12/31/2024 (a) | 800,000 | 653,848 | |||
Gulfport Energy Corp. 6.38%, 5/15/2025 | 555,000 | 429,304 | |||
Halfmoon Parent, Inc. 3 Month USD LIBOR + 0.89%, 3.49%, 7/15/2023 (a) (b) | 1,665,000 | 1,663,152 | |||
Hasbro, Inc. 3.50%, 9/15/2027 | 1,685,000 | 1,708,337 | |||
HCA Healthcare, Inc. 6.25%, 2/15/2021 | 400,000 | 418,700 | |||
HCA, Inc.: | |||||
4.13%, 6/15/2029 | 1,080,000 | 1,112,454 | |||
5.25%, 4/15/2025 | 190,000 | 210,368 | |||
5.38%, 9/1/2026 | 1,575,000 | 1,696,716 | |||
5.88%, 2/1/2029 | 65,000 | 71,105 | |||
Hess Infrastructure Partners L.P./Hess Infrastructure Partners Finance Corp. 5.63%, 2/15/2026 (a) | 1,455,000 | 1,500,556 | |||
Hexion, Inc. 7.88%, 7/15/2027 (a) (c) | 300,000 | 303,042 | |||
Hilcorp Energy I L.P./Hilcorp Finance Co. 6.25%, 11/1/2028 (a) | 745,000 | 750,520 | |||
Hilton Domestic Operating Co., Inc. 4.25%, 9/1/2024 | 1,570,000 | 1,594,869 | |||
Home Depot, Inc. 3.90%, 6/15/2047 | 1,590,000 | 1,719,458 | |||
IAA, Inc. 5.50%, 6/15/2027 (a) | 440,000 | 457,640 | |||
Icahn Enterprises L.P./Icahn Enterprises Finance Corp.: | |||||
6.25%, 2/1/2022 | 805,000 | 826,928 | |||
6.25%, 5/15/2026 (a) | 915,000 | 924,223 | |||
6.38%, 12/15/2025 | 200,000 | 204,430 | |||
iHeartCommunications, Inc.: | |||||
6.38%, 5/1/2026 | 145,000 | 153,846 | |||
8.38%, 5/1/2027 | 75,000 | 78,505 | |||
Indigo Natural Resources LLC 6.88%, 2/15/2026 (a) | 410,000 | 369,004 | |||
Informatica LLC 7.13%, 7/15/2023 (a) | 975,000 | 991,497 |
Security Description | Principal Amount | Value | |||
IQVIA, Inc. 5.00%, 5/15/2027 (a) | $640,000 | $660,224 | |||
IRB Holding Corp. 6.75%, 2/15/2026 (a) | 745,000 | 746,907 | |||
Iridium Communications, Inc. 10.25%, 4/15/2023 (a) | 820,000 | 891,799 | |||
JBS Investments II GmbH 7.00%, 1/15/2026 (a) | 800,000 | 864,464 | |||
JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc. 6.50%, 4/15/2029 (a) | 510,000 | 553,962 | |||
Jeld-Wen, Inc. 4.63%, 12/15/2025 (a) | 905,000 | 888,013 | |||
KAR Auction Services, Inc. 5.13%, 6/1/2025 (a) | 790,000 | 805,437 | |||
Kinder Morgan, Inc. 4.30%, 3/1/2028 | 1,435,000 | 1,535,593 | |||
Kratos Defense & Security Solutions, Inc. 6.50%, 11/30/2025 (a) | 475,000 | 511,019 | |||
Laboratory Corp. of America Holdings 3.60%, 2/1/2025 | 3,096,000 | 3,199,747 | |||
Level 3 Financing, Inc. 5.38%, 1/15/2024 | 975,000 | 996,713 | |||
Lions Gate Capital Holdings LLC 6.38%, 2/1/2024 (a) | 705,000 | 740,870 | |||
Live Nation Entertainment, Inc. 5.63%, 3/15/2026 (a) | 960,000 | 1,008,115 | |||
LTF Merger Sub, Inc. 8.50%, 6/15/2023 (a) | 1,105,000 | 1,132,006 | |||
Marriott Ownership Resorts, Inc./ILG LLC 6.50%, 9/15/2026 | 620,000 | 664,950 | |||
Masonite International Corp. 5.63%, 3/15/2023 (a) | 200,000 | 205,942 | |||
Match Group, Inc. 5.00%, 12/15/2027 (a) | 775,000 | 812,665 | |||
Matterhorn Merger Sub LLC/Matterhorn Finance Sub, Inc. 8.50%, 6/1/2026 (a) | 210,000 | 185,932 | |||
MGM Growth Properties Operating Partnership L.P./MGP Finance Co-Issuer, Inc. 5.75%, 2/1/2027 (a) | 735,000 | 791,639 | |||
MGM Resorts International 5.75%, 6/15/2025 | 690,000 | 746,180 | |||
Morgan Stanley 3 Month USD LIBOR + 0.85%, 3.74%, 4/24/2024 (b) | 3,130,000 | 3,263,526 | |||
Mosaic Co. 4.05%, 11/15/2027 | 1,540,000 | 1,586,631 |
Table of Contents
Security Description | Principal Amount | Value | |||
Moss Creek Resources Holdings, Inc. 7.50%, 1/15/2026 (a) | $265,000 | $226,745 | |||
MPH Acquisition Holdings LLC 7.13%, 6/1/2024 (a) | 860,000 | 805,872 | |||
MPT Operating Partnership L.P./MPT Finance Corp. 5.25%, 8/1/2026 | 1,435,000 | 1,506,133 | |||
Nabors Industries, Inc. 5.75%, 2/1/2025 | 370,000 | 328,164 | |||
Navient Corp. 6.50%, 6/15/2022 | 895,000 | 951,430 | |||
Netflix, Inc.: | |||||
5.38%, 11/15/2029 (a) | 240,000 | 255,262 | |||
5.88%, 2/15/2025 | 410,000 | 451,779 | |||
New York Life Global Funding 2.30%, 6/10/2022 (a) | 1,555,000 | 1,557,395 | |||
NFP Corp. 6.88%, 7/15/2025 (a) | 990,000 | 979,258 | |||
NGL Energy Partners L.P./NGL Energy Finance Corp. 7.50%, 4/15/2026 (a) | 270,000 | 281,040 | |||
NRG Energy, Inc. 5.25%, 6/15/2029 (a) | 575,000 | 613,789 | |||
NuStar Logistics L.P. 6.00%, 6/1/2026 | 510,000 | 528,467 | |||
NUVEEN FINANCE LLC 4.13%, 11/1/2024 (a) | 3,045,000 | 3,279,769 | |||
NVA Holdings, Inc. 6.88%, 4/1/2026 (a) | 430,000 | 450,360 | |||
Oasis Petroleum, Inc.: | |||||
6.25%, 5/1/2026 (a) | 330,000 | 319,206 | |||
6.88%, 3/15/2022 | 500,000 | 498,985 | |||
Panther BF Aggregator 2 L.P./Panther Finance Co., Inc.: | |||||
6.25%, 5/15/2026 (a) | 625,000 | 649,494 | |||
8.50%, 5/15/2027 (a) | 225,000 | 231,221 | |||
Par Petroleum LLC/Petroleum Finance Corp. 7.75%, 12/15/2025 (a) | 425,000 | 421,205 | |||
Parsley Energy LLC/Parsley Finance Corp. 5.63%, 10/15/2027 (a) | 715,000 | 747,983 | |||
Peabody Energy Corp. 6.00%, 3/31/2022 (a) | 1,118,000 | 1,146,229 | |||
Penn National Gaming, Inc. 5.63%, 1/15/2027 (a) | 795,000 | 789,037 | |||
Penske Truck Leasing Co. L.P./PTL Finance Corp. 4.20%, 4/1/2027 (a) | 675,000 | 707,211 | |||
PetSmart, Inc.: | |||||
5.88%, 6/1/2025 (a) | 325,000 | 315,221 | |||
7.13%, 3/15/2023 (a) | 390,000 | 365,773 | |||
Pilgrim's Pride Corp. 5.88%, 9/30/2027 (a) | 1,045,000 | 1,080,781 |
Security Description | Principal Amount | Value | |||
Polaris Intermediate Corp. PIK PIK, 8.50%, 12/1/2022 (a) | $200,000 | $176,572 | |||
Post Holdings, Inc.: | |||||
5.50%, 3/1/2025 (a) | 730,000 | 754,922 | |||
5.50%, 12/15/2029 (a) (c) | 140,000 | 140,808 | |||
Prime Security Services Borrower LLC/Prime Finance, Inc. 9.25%, 5/15/2023 (a) | 400,000 | 420,016 | |||
QEP Resources, Inc. 5.25%, 5/1/2023 | 755,000 | 726,914 | |||
Radiate Holdco LLC/Radiate Finance, Inc. 6.88%, 2/15/2023 (a) | 465,000 | 465,939 | |||
Resideo Funding, Inc. 6.13%, 11/1/2026 (a) | 680,000 | 706,234 | |||
Riverbed Technology, Inc. 8.88%, 3/1/2023 (a) | 255,000 | 171,778 | |||
Roper Technologies, Inc. 4.20%, 9/15/2028 | 1,505,000 | 1,610,425 | |||
Sabine Pass Liquefaction LLC 5.00%, 3/15/2027 | 1,485,000 | 1,628,882 | |||
Santander Holdings USA, Inc. 3.40%, 1/18/2023 | 1,670,000 | 1,695,634 | |||
Schweitzer-Mauduit International, Inc. 6.88%, 10/1/2026 (a) | 475,000 | 486,652 | |||
Scientific Games International, Inc.: | |||||
5.00%, 10/15/2025 (a) | 580,000 | 585,655 | |||
8.25%, 3/15/2026 (a) | 525,000 | 550,237 | |||
Select Medical Corp. 6.38%, 6/1/2021 | 1,350,000 | 1,352,092 | |||
ServiceMaster Co. LLC 5.13%, 11/15/2024 (a) | 780,000 | 804,079 | |||
Sirius XM Radio, Inc.: | |||||
5.38%, 7/15/2026 (a) | 695,000 | 721,125 | |||
5.50%, 7/1/2029 (a) | 340,000 | 349,170 | |||
Six Flags Entertainment Corp. 4.88%, 7/31/2024 (a) | 930,000 | 945,364 | |||
Smithfield Foods, Inc. 4.25%, 2/1/2027 (a) | 1,620,000 | 1,649,225 | |||
Sophia L.P./Sophia Finance, Inc. 9.00%, 9/30/2023 (a) | 843,000 | 871,418 | |||
Springleaf Finance Corp.: | |||||
6.63%, 1/15/2028 | 125,000 | 131,253 | |||
7.13%, 3/15/2026 | 569,000 | 622,128 | |||
Sprint Capital Corp. 6.88%, 11/15/2028 | 1,270,000 | 1,305,014 | |||
Sprint Corp. 7.13%, 6/15/2024 | 1,355,000 | 1,437,574 | |||
SS&C Technologies, Inc. 5.50%, 9/30/2027 (a) | 765,000 | 794,529 | |||
Staples, Inc. 7.50%, 4/15/2026 (a) | 600,000 | 595,758 |
Table of Contents
Security Description | Principal Amount | Value | |||
Star Merger Sub, Inc. 6.88%, 8/15/2026 (a) | $430,000 | $454,252 | |||
Stevens Holding Co., Inc. 6.13%, 10/1/2026 (a) | 405,000 | 426,623 | |||
SunCoke Energy Partners L.P./SunCoke Energy Partners Finance Corp. 7.50%, 6/15/2025 (a) | 780,000 | 761,561 | |||
Sunoco L.P./Sunoco Finance Corp.: | |||||
6.00%, 4/15/2027 (a) | 300,000 | 314,895 | |||
Series WI, 5.50%, 2/15/2026 | 570,000 | 593,125 | |||
Sysco Corp. 3.25%, 7/15/2027 | 1,595,000 | 1,625,145 | |||
Talen Energy Supply LLC 6.63%, 1/15/2028 (a) (c) | 335,000 | 333,992 | |||
Tapstone Energy LLC/Tapstone Energy Finance Corp. 9.75%, 6/1/2022 (a) | 225,000 | 157,367 | |||
Targa Resources Partners L.P./Targa Resources Partners Finance Corp.: | |||||
5.88%, 4/15/2026 | 615,000 | 653,763 | |||
6.50%, 7/15/2027 (a) | 200,000 | 218,222 | |||
Tempo Acquisition LLC/Tempo Acquisition Finance Corp. 6.75%, 6/1/2025 (a) | 980,000 | 1,009,537 | |||
Tempur Sealy International, Inc. 5.50%, 6/15/2026 | 937,000 | 971,678 | |||
Tenet Healthcare Corp.: | |||||
6.25%, 2/1/2027 (a) | 610,000 | 630,923 | |||
7.00%, 8/1/2025 | 560,000 | 558,292 | |||
TerraForm Power Operating LLC 4.25%, 1/31/2023 (a) | 535,000 | 535,712 | |||
T-Mobile USA, Inc. 4.50%, 2/1/2026 | 1,405,000 | 1,439,970 | |||
TransDigm, Inc.: | |||||
6.25%, 3/15/2026 (a) | 675,000 | 707,251 | |||
6.38%, 6/15/2026 | 430,000 | 433,341 | |||
Transocean Guardian, Ltd. 5.88%, 1/15/2024 (a) | 207,900 | 211,734 | |||
Transocean Poseidon, Ltd. 6.88%, 2/1/2027 (a) | 900,000 | 951,903 | |||
Transocean Proteus, Ltd. 6.25%, 12/1/2024 (a) | 375,000 | 387,773 | |||
Transocean, Inc. 7.25%, 11/1/2025 (a) | 355,000 | 337,339 | |||
Trident Merger Sub, Inc. 6.63%, 11/1/2025 (a) | 420,000 | 391,499 | |||
Triumph Group, Inc. 7.75%, 8/15/2025 | 547,000 | 529,233 | |||
Twin River Worldwide Holdings, Inc. 6.75%, 6/1/2027 (a) | 325,000 | 338,676 | |||
Uber Technologies, Inc. 8.00%, 11/1/2026 (a) | 490,000 | 521,301 |
Security Description | Principal Amount | Value | |||
Union Pacific Corp. 4.30%, 3/1/2049 | $1,590,000 | $1,758,492 | |||
United Rentals North America, Inc.: | |||||
5.25%, 1/15/2030 | 230,000 | 236,550 | |||
6.50%, 12/15/2026 | 815,000 | 881,512 | |||
Univision Communications, Inc. 5.13%, 5/15/2023 (a) | 185,000 | 180,764 | |||
USA Compression Partners L.P./USA Compression Finance Corp. 6.88%, 9/1/2027 (a) | 1,065,000 | 1,117,899 | |||
Verizon Communications, Inc.: | |||||
4.02%, 12/3/2029 (a) | 1,541,000 | 1,670,968 | |||
4.27%, 1/15/2036 | 765,000 | 828,709 | |||
Verscend Escrow Corp. 9.75%, 8/15/2026 (a) | 760,000 | 790,484 | |||
Viking Cruises, Ltd. 5.88%, 9/15/2027 (a) | 1,040,000 | 1,052,761 | |||
Vine Oil & Gas L.P./Vine Oil & Gas Finance Corp. 8.75%, 4/15/2023 (a) | 230,000 | 147,607 | |||
Vistra Operations Co. LLC: | |||||
5.50%, 9/1/2026 (a) | 390,000 | 412,062 | |||
5.63%, 2/15/2027 (a) | 1,110,000 | 1,175,046 | |||
Vizient, Inc. 6.25%, 5/15/2027 (a) | 720,000 | 760,306 | |||
Wand Merger Corp. 8.13%, 7/15/2023 (a) | 600,000 | 611,340 | |||
Waste Management, Inc. 3.45%, 6/15/2029 | 1,620,000 | 1,707,043 | |||
Waste Pro USA, Inc. 5.50%, 2/15/2026 (a) | 820,000 | 838,040 | |||
Weatherford International, Ltd. 9.88%, 2/15/2024 | 220,000 | 115,100 | |||
WellCare Health Plans, Inc.: | |||||
5.25%, 4/1/2025 | 575,000 | 600,323 | |||
5.38%, 8/15/2026 (a) | 730,000 | 774,829 | |||
Wells Fargo & Co.: | |||||
3.07%, 1/24/2023 | 1,535,000 | 1,559,606 | |||
Series MTN, 3 Month USD LIBOR + 1.31%, 3.58%, 5/22/2028 (b) | 1,585,000 | 1,653,995 | |||
Welltower, Inc. 4.13%, 3/15/2029 | 3,325,000 | 3,523,436 | |||
WeWork Cos., Inc. 7.88%, 5/1/2025 (a) | 150,000 | 148,131 | |||
Whiting Petroleum Corp. 6.63%, 1/15/2026 | 750,000 | 725,340 | |||
William Carter Co. 5.63%, 3/15/2027 (a) | 485,000 | 507,688 | |||
Williams Cos., Inc. 3.75%, 6/15/2027 | 1,510,000 | 1,560,540 |
Table of Contents
Security Description | Principal Amount | Value | |||
WRKCo, Inc. 3.75%, 3/15/2025 | $1,460,000 | $1,517,130 | |||
267,389,553 | |||||
TOTAL CORPORATE BONDS & NOTES (Cost $546,495,054) | 562,844,016 | ||||
ASSET-BACKED SECURITIES — 2.1% | |||||
AccessLex Institute Series 2004-2, Class A3, 3 Month USD LIBOR + 0.19%, 2.77%, 10/25/2024 (b) | 1,443,273 | 1,419,064 | |||
Aegis Asset Backed Securities Trust Series 2006-1, Class A2, 1 Month USD LIBOR + 0.17%, 2.57%, 1/25/2037 (b) | 28,568,210 | 23,499,863 | |||
Ajax Mortgage Loan Trust Series 2017-C, Class A, 3.75%, 7/25/2060 (a) (e) | 6,201,580 | 6,230,197 | |||
CLI Funding VI LLC Series 2019-1A, Class A, 3.71%, 5/18/2044 (a) | 1,485,560 | 1,500,610 | |||
DT Auto Owner Trust Series 2019-2A, Class A, 2.85%, 9/15/2022 (a) | 1,402,451 | 1,407,070 | |||
Flagship Credit Auto Trust Series 2016-3, Class B, 2.43%, 6/15/2021 (a) | 1,326,877 | 1,326,092 | |||
GPMT, Ltd. Series 2019-FL2, Class A, 1 Month USD LIBOR + 1.30%, 3.69%, 2/22/2036 (a) (b) | 3,168,000 | 3,171,960 | |||
GSAA Home Equity Trust Series 2007-10, Class A2A, 6.50%, 11/25/2037 | 2,543,446 | 1,763,648 | |||
JOL Air, Ltd. Series 2019-1, Class A, 3.97%, 4/15/2044 (a) | 2,951,998 | 3,001,066 | |||
LoanCore Issuer, Ltd. Series 2019-CRE2, Class AS, 1 Month USD LIBOR + 1.50%, 3.89%, 5/9/2036 (a) (b) | 3,382,000 | 3,386,228 | |||
Marlette Funding Trust Series 2019-2A, Class A, 3.13%, 7/16/2029 (a) | 2,000,000 | 2,011,435 | |||
Navient Private Education Refi Loan Trust Series 2019-CA, Class A1, 2.82%, 2/15/2068 (a) | 1,500,000 | 1,509,528 | |||
Pretium Mortgage Credit Partners I LLC Series 2019-NPL2, Class A1, 3.84%, 12/25/2058 (a) (e) | 7,878,345 | 7,900,978 |
Security Description | Principal Amount | Value | |||
Sofi Consumer Loan Program LLC Series 2017-6, Class A2, 2.82%, 11/25/2026 (a) | $1,500,000 | $1,502,670 | |||
START Ireland Series 2019-1A, Class A, 4.09%, 3/15/2044 (a) | 982,143 | 988,715 | |||
Structured Asset Investment Loan Trust Series 2006-BNC2, Class A5, 1 Month USD LIBOR + 0.16%, 2.56%, 5/25/2036 (b) | 3,669,468 | 3,575,590 | |||
Structured Asset Securities Corp. Mortgage Loan Trust Series 2006-BC4, Class A4, 1 Month USD LIBOR + 0.17%, 2.57%, 12/25/2036 (b) | 2,253,685 | 2,186,641 | |||
Textainer Marine Containers VII, Ltd. Series 2019-1A, Class A, 3.96%, 4/20/2044 (a) | 1,480,000 | 1,526,062 | |||
Vericrest Opportunity Loan Trust Series 2019-NPL3, Class A1, 3.97%, 3/25/2049 (a) (e) | 1,958,683 | 1,972,831 | |||
TOTAL ASSET-BACKED SECURITIES (Cost $68,926,429) | 69,880,248 | ||||
FOREIGN GOVERNMENT OBLIGATIONS — 1.1% | |||||
ARGENTINA — 0.2% | |||||
Argentine Republic Government International Bond: | |||||
5.88%, 1/11/2028 | 1,350,000 | 1,023,854 | |||
6.63%, 7/6/2028 | 1,150,000 | 890,503 | |||
6.88%, 1/26/2027 | 3,500,000 | 2,793,630 | |||
Provincia de Buenos Aires Series REGS, 7.88%, 6/15/2027 | 4,250,000 | 3,147,847 | |||
7,855,834 | |||||
BRAZIL — 0.1% | |||||
Itau Unibanco Holding SA Series REGS, 6.13%, 12/12/2022 (b) | 2,500,000 | 2,544,275 | |||
CANADA — 0.0% (d) | |||||
Masonite International Corp. 5.75%, 9/15/2026 (a) | 490,000 | 506,949 | |||
CHILE — 0.1% | |||||
Chile Government International Bond 3.13%, 1/21/2026 | 1,500,000 | 1,561,410 | |||
COLOMBIA — 0.0% (d) | |||||
Colombia Government International Bond: | |||||
4.50%, 3/15/2029 | 200,000 | 218,550 | |||
5.20%, 5/15/2049 | 400,000 | 454,980 | |||
673,530 |
Table of Contents
Security Description | Principal Amount | Value | |||
COSTA RICA — 0.1% | |||||
Costa Rica Government International Bond Series REGS, 10.00%, 8/1/2020 | $2,905,000 | $3,081,072 | |||
DOMINICAN REPUBLIC — 0.0% (d) | |||||
Dominican Republic International Bond 6.40%, 6/5/2049 (a) | 1,000,000 | 1,045,780 | |||
INDONESIA — 0.2% | |||||
Perusahaan Penerbit SBSN Indonesia III: | |||||
Series 144A, 4.15%, 3/29/2027 (a) | 4,500,000 | 4,713,390 | |||
Series REGS, 3.75%, 3/1/2023 | 400,000 | 411,880 | |||
Series REGS, 4.15%, 3/29/2027 | 2,000,000 | 2,094,840 | |||
7,220,110 | |||||
ISRAEL — 0.1% | |||||
Israel Government International Bond 2.88%, 3/16/2026 | 1,500,000 | 1,550,205 | |||
LUXEMBOURG — 0.0% (d) | |||||
Adecoagro SA Series REGS, 6.00%, 9/21/2027 | 750,000 | 716,010 | |||
PANAMA — 0.1% | |||||
Panama Government International Bond 4.00%, 9/22/2024 | 4,000,000 | 4,265,160 | |||
PHILIPPINES — 0.2% | |||||
Philippine Government International Bond 4.20%, 1/21/2024 | 5,000,000 | 5,388,700 | |||
TOTAL FOREIGN GOVERNMENT OBLIGATIONS (Cost $37,410,380) | 36,409,035 | ||||
SENIOR FLOATING RATE LOANS — 4.6% (f) | |||||
AEROSPACE & DEFENSE — 0.1% | |||||
TransDigm, Inc.: | |||||
Senior Secured 2018 Term Loan E, 3 Month USD LIBOR + 2.50%, 4.83%, 5/30/2025 | 1,575,918 | 1,542,264 | |||
Senior Secured 2018 Term Loan F, 3 Month USD LIBOR + 2.50%, 4.83%, 6/9/2023 | 423,480 | 416,402 | |||
1,958,666 |
Security Description | Principal Amount | Value | |||
AUTO COMPONENTS — 0.1% | |||||
Mavis Tire Express Services Corp. Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 3.25%, 5.65%, 3/20/2025 | $3,251,477 | $3,197,292 | |||
Panther BF Aggregator 2 L.P. Senior Secured Term Loan B, 1 Month USD LIBOR + 3.50%, 5.90%, 4/30/2026 | 1,575,039 | 1,565,691 | |||
4,762,983 | |||||
BUILDING PRODUCTS — 0.1% | |||||
NCI Building Systems, Inc. Senior Secured 2018 Term Loan, 3 Month USD LIBOR + 3.75%, 6.35%, 4/12/2025 | 3,089,605 | 3,011,083 | |||
CAPITAL MARKETS — 0.1% | |||||
Deerfield Dakota Holdings, LLC. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 3.25%, 5.65%, 2/13/2025 | 2,987,187 | 2,902,904 | |||
ESH Hospitality, Inc. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 2.00%, 4.40%, 8/30/2023 | 597,599 | 597,461 | |||
3,500,365 | |||||
CASINO SERVICES — 0.0% (d) | |||||
Stars Group Holdings B.V. (The) Senior Secured 2018 USD Incremental Term Loan, 3 Month USD LIBOR + 3.50%, 5.83%, 7/10/2025 | 704,757 | 705,786 | |||
CHEMICALS — 0.1% | |||||
Avantor, Inc. Senior Secured 2017 1st Lien Term Loan, 1 Month USD LIBOR + 3.00%, 5.40%, 11/21/2024 | 446,709 | 449,084 | |||
Messer Industries, L.L.C. Senior Secured 2018 USD Term Loan, 3 Month USD LIBOR + 2.50%, 4.83%, 3/1/2026 | 1,265,000 | 1,249,586 | |||
Polar US Borrower, LLC Senior Secured 2018 1st Lien Term Loan, 3 Month USD LIBOR + 4.75%, 7.34%, 10/15/2025 | 157,596 | 155,823 |
Table of Contents
Security Description | Principal Amount | Value | |||
Starfruit Finco B.V. Senior Secured 2018 USD Term Loan B, 1 Month USD LIBOR + 3.25%, 5.67%, 10/1/2025 | $2,961,797 | $2,922,923 | |||
4,777,416 | |||||
COMMERCIAL SERVICES — 0.0% (d) | |||||
Wand NewCo 3, Inc. Senior Secured 2019 1st Lien Term Loan, 1 Month USD LIBOR + 3.50%, 5.92%, 2/5/2026 | 1,010,000 | 1,011,737 | |||
COMMERCIAL SERVICES & SUPPLIES — 0.3% | |||||
Allied Universal Holdco LLC: | |||||
Senior Secured 2019 Delayed Draw Term Loan, 6.65%, 6/26/2026 | 62,613 | 62,456 | |||
Senior Secured 2019 Term Loan B, 6.15%, 6/26/2026 | 632,387 | 630,806 | |||
Asurion LLC Senior Secured 2017 2nd Lien Term Loan, 1 Month USD LIBOR + 6.50%, 8.90%, 8/4/2025 | 940,000 | 955,181 | |||
Prime Security Services Borrower LLC Senior Secured 2016 1st Lien Term Loan, 1 Month USD LIBOR + 2.75%, 5.15%, 5/2/2022 | 2,531,856 | 2,517,729 | |||
Refinitiv US Holdings, Inc. Senior Secured 2018 USD Term Loan, 1 Month USD LIBOR + 3.75%, 6.15%, 10/1/2025 | 3,150,484 | 3,060,396 | |||
Verscend Holding Corp. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 4.50%, 6.90%, 8/27/2025 | 2,337,338 | 2,343,555 | |||
9,570,123 | |||||
COMMUNICATIONS EQUIPMENT — 0.1% | |||||
CommScope, Inc. Senior Secured 2019 Term Loan B, 1 Month USD LIBOR + 3.25%, 5.65%, 4/6/2026 | 1,660,000 | 1,657,510 | |||
Digicel International Finance, Ltd. Senior Secured 2017 Term Loan B, 3 Month USD LIBOR + 3.25%, 5.78%, 5/28/2024 | 14,332 | 12,569 | |||
Plantronics, Inc. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 2.50%, 4.90%, 7/2/2025 | 706,024 | 702,790 | |||
2,372,869 |
Security Description | Principal Amount | Value | |||
CONSTRUCTION & ENGINEERING — 0.0% (d) | |||||
Brand Energy & Infrastructure Services, Inc. Senior Secured 2017 Term Loan, 2 Month USD LIBOR + 4.25%, 6.79%, 6/21/2024 | $397,948 | $385,512 | |||
Dynasty Acquisition Co., Inc. Senior Secured 2019 Term Loan B1, 3 Month USD LIBOR + 4.00%, 6.33%, 4/6/2026 | 334,930 | 336,784 | |||
722,296 | |||||
CONSTRUCTION MATERIALS — 0.0% (d) | |||||
Forterra Finance, Inc. Senior Secured 2017 Term Loan B, 1 Month USD LIBOR + 3.00%, 5.40%, 10/25/2023 | 579,044 | 536,018 | |||
Traverse Midstream Partners LLC Senior Secured 2017 Term Loan, 3 Month USD LIBOR + 4.00%, 6.59%, 9/27/2024 | 788,512 | 781,751 | |||
1,317,769 | |||||
CONTAINERS & PACKAGING — 0.1% | |||||
Berry Global, Inc. Senior Secured USD Term Loan U, 2.50%, 5/15/2026 | 1,640,000 | 1,630,775 | |||
Reynolds Group Holdings, Inc. Senior Secured USD 2017 Term Loan, 1 Month USD LIBOR + 2.75%, 5.15%, 2/5/2023 | 2,580,330 | 2,564,900 | |||
4,195,675 | |||||
DIVERSIFIED FINANCIAL SERVICES — 0.0% (d) | |||||
Edelman Financial Center LLC Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 3.25%, 5.64%, 7/21/2025 | 398,000 | 397,290 | |||
UFC Holdings LLC Senior Secured 2019 Term Loan, 1 Month USD LIBOR + 3.25%, 5.66%, 4/29/2026 | 865,000 | 864,459 | |||
1,261,749 |
Table of Contents
Security Description | Principal Amount | Value | |||
DIVERSIFIED TELECOMMUNICATION SERVICES — 0.2% | |||||
Intelsat Jackson Holdings S.A. Senior Secured 2017 Term Loan B3, 1 Month USD LIBOR + 3.75%, 6.15%, 11/27/2023 | $1,665,000 | $1,650,173 | |||
Level 3 Financing Inc. Senior Secured 2017 Term Loan B, 1 Month USD LIBOR + 2.25%, 4.65%, 2/22/2024 | 1,570,000 | 1,559,599 | |||
Sprint Communications, Inc. Senior Secured 2018 1st Lien Term Loan B, 1 Month USD LIBOR + 2.50%, 4.94%, 2/2/2024 | 3,131,990 | 3,090,225 | |||
Telesat Canada Senior Secured Term Loan B4, 3 Month USD LIBOR + 2.50%, 4.83%, 11/17/2023 | 1,032,386 | 1,022,496 | |||
7,322,493 | |||||
ELECTRICAL EQUIPMENT — 0.1% | |||||
Gates Global LLC Senior Secured 2017 USD Repriced Term Loan B, 1 Month USD LIBOR + 2.75%, 5.15%, 4/1/2024 | 2,101,813 | 2,092,618 | |||
ELECTRIC-GENERATION — 0.1% | |||||
1199169 B.C. ULC Senior Secured 2019 Term Loan B2, 3 Month USD LIBOR + 4.00%, 6.33%, 4/6/2026 | 180,070 | 181,067 | |||
Albertsons LLC Senior Secured USD Term Loan B7, 1 Month USD LIBOR + 3.00%, 5.40%, 11/17/2025 | 783,033 | 780,096 | |||
Edgewater Generation, L.L.C. Senior Secured Term Loan, Zero Coupon, 12/13/2025 | 548,622 | 548,394 | |||
1,509,557 | |||||
ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS — 0.0% (d) | |||||
Verifone Systems, Inc. Senior Secured 2018 1st Lien Term Loan, 3 Month USD LIBOR + 4.00%, 6.52%, 8/20/2025 | 583,209 | 567,171 |
Security Description | Principal Amount | Value | |||
ENERGY EQUIPMENT & SERVICES — 0.0% (d) | |||||
BCP Renaissance Parent LLC Senior Secured 2017 Term Loan B, 3 Month USD LIBOR + 3.50%, 6.08%, 10/31/2024 | $1,244,745 | $1,243,525 | |||
FINANCIAL SERVICES — 0.1% | |||||
GTCR Valor Companies, Inc. Senior Secured 2017 Term Loan B1, 3 Month USD LIBOR + 2.75%, 5.08%, 6/16/2023 | 2,787,143 | 2,774,949 | |||
FOOD & STAPLES RETAILING — 0.1% | |||||
BJ's Wholesale Club, Inc. Senior Secured 2017 1st Lien Term Loan, 1 Month USD LIBOR + 2.75%, 5.16%, 2/3/2024 | 2,960,234 | 2,966,702 | |||
FOOD PRODUCTS — 0.1% | |||||
JBS USA Lux S.A. Senior Secured 2019 Term Loan B, 1 Month USD LIBOR + 2.50%, 4.90%, 5/1/2026 | 1,561,088 | 1,560,643 | |||
HEALTH CARE PROVIDERS & SERVICES — 0.4% | |||||
Athenahealth, Inc. Senior Secured 2019 Term Loan B, 3 Month USD LIBOR + 4.50%, 7.03%, 2/11/2026 | 1,366,575 | 1,365,721 | |||
Auris Luxembourg III S.A.R.L. Senior Secured 2018 USD Term Loan B, 1 Month USD LIBOR + 3.75%, 6.15%, 2/27/2026 | 807,975 | 810,601 | |||
CHG Healthcare Services, Inc. Senior Secured 2017 1st Lien Term Loan B, 1 Month USD LIBOR + 3.00%, 5.40%, 6/7/2023 | 1,484,980 | 1,479,538 | |||
Concentra Inc. Senior Secured 2018 1st Lien Term Loan , 3 Month USD LIBOR + 2.75%, 5.21%, 6/1/2022 | 1,485,000 | 1,488,713 | |||
Envision Healthcare Corp. Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 3.75%, 6.15%, 10/10/2025 | 466,067 | 413,051 | |||
Gentiva Health Services, Inc. Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 3.75%, 6.19%, 7/2/2025 | 3,031,074 | 3,037,712 |
Table of Contents
Security Description | Principal Amount | Value | |||
RegionalCare Hospital Partners Holdings, Inc. Senior Secured 2018 Term Loan B, 3 Month USD LIBOR + 3.50%, 6.90%, 11/17/2025 | $2,059,650 | $2,050,999 | |||
Select Medical Corp. Senior Secured 2017 Term Loan B, 3 Month USD LIBOR + 2.50%, 4.85%, 3/6/2025 | 3,157,539 | 3,151,635 | |||
13,797,970 | |||||
HEALTH CARE TECHNOLOGY — 0.0% (d) | |||||
Change Healthcare Holdings LLC. Senior Secured 2017 Term Loan B, 1 Month USD LIBOR + 2.75%, 5.15%, 3/1/2024 | 1,450,939 | 1,442,240 | |||
HOTELS, RESTAURANTS & LEISURE — 0.3% | |||||
Alterra Mountain Company. Senior Secured Term Loan B1, 1 Month USD LIBOR + 3.00%, 5.40%, 7/31/2024 | 2,878,365 | 2,872,522 | |||
Caesars Resort Collection LLC Senior Secured Exit Term Loan, 1 Month USD LIBOR + 2.00%, 4.40%, 10/6/2024 | 722,283 | 717,205 | |||
ClubCorp Club Operations, Inc. Senior Secured 2017 Term Loan B, 3 Month USD LIBOR + 2.75%, 5.08%, 9/18/2024 | 1,662,232 | 1,549,000 | |||
Delta 2 (LUX) S.A.R.L. Senior Secured 2018 USD Term Loan, 1 Month USD LIBOR + 2.50%, 4.90%, 2/1/2024 | 1,405,525 | 1,378,820 | |||
LTF Merger Sub, Inc. Senior Secured 2017 Term Loan B, 3 Month USD LIBOR + 2.75%, 5.27%, 6/10/2022 | 602,935 | 601,259 | |||
MGM Growth Properties Operating Partnership LP Senior Secured 2016 Term Loan B, 1 Month USD LIBOR + 2.00%, 4.40%, 3/21/2025 | 905,988 | 901,531 | |||
Penn National Gaming, Inc. Senior Secured 2018 1st Lien Term Loan B, 1 Month USD LIBOR + 2.25%, 4.65%, 10/15/2025 | 234,411 | 233,861 |
Security Description | Principal Amount | Value | |||
Scientific Games International, Inc. Senior Secured 2018 Term Loan B5, 2 Month USD LIBOR + 2.75%, 5.27%, 8/14/2024 | $604,874 | $596,515 | |||
8,850,713 | |||||
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS — 0.1% | |||||
Calpine Corporation Senior Secured Term Loan B9, 3 Month USD LIBOR + 2.75%, 5.08%, 4/5/2026 | 3,152,376 | 3,151,399 | |||
INSURANCE — 0.1% | |||||
Assured Partners, Inc. Senior Secured 2017 1st Lien Add-On Term Loan, 1 Month USD LIBOR + 3.50%, 5.90%, 10/22/2024 | 3,153,265 | 3,127,645 | |||
Sedgwick Claims Management Services, Inc. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 3.25%, 5.65%, 12/31/2025 | 1,521,178 | 1,502,566 | |||
4,630,211 | |||||
INTERACTIVE MEDIA & SERVICES — 0.1% | |||||
GTT Communications, Inc. Senior Secured 2018 USD Term Loan B, 1 Month USD LIBOR + 2.75%, 5.15%, 5/31/2025 | 2,027,650 | 1,822,604 | |||
ION Trading Technologies S.A.R.L. Senior Secured USD Incremental Term Loan B, 3 Month USD LIBOR + 4.00%, 6.53%, 11/21/2024 | 480,554 | 467,252 | |||
2,289,856 | |||||
IT SERVICES — 0.1% | |||||
Blackhawk Network Holdings, Inc Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 3.00%, 5.40%, 6/15/2025 | 606,797 | 603,195 | |||
TKC Holdings, Inc. Senior Secured 2017 1st Lien Term Loan, 1 Month USD LIBOR + 3.75%, 6.16%, 2/1/2023 | 1,344,594 | 1,318,960 | |||
Web.com Group, Inc. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 3.75%, 6.16%, 10/10/2025 | 1,440,251 | 1,422,550 | |||
3,344,705 |
Table of Contents
Security Description | Principal Amount | Value | |||
LIFE SCIENCES TOOLS & SERVICES — 0.1% | |||||
Jaguar Holding Co. II Senior Secured 2018 Term Loan, 1 Month USD LIBOR + 2.50%, 4.90%, 8/18/2022 | $602,512 | $599,913 | |||
Parexel International Corp. Senior Secured Term Loan B, 1 Month USD LIBOR + 2.75%, 5.15%, 9/27/2024 | 588,431 | 565,105 | |||
Syneos Health, Inc. Senior Secured 2018 Term Loan B, Zero Coupon, 8/1/2024 | 518,769 | 518,162 | |||
1,683,180 | |||||
MACHINERY — 0.1% | |||||
Altra Industrial Motion Corp. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 2.00%, 4.40%, 10/1/2025 | 876,679 | 861,890 | |||
Filtration Group Corporation Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 3.00%, 5.40%, 3/29/2025 | 1,998,096 | 1,997,196 | |||
Milacron LLC Senior Secured Amended Term Loan B, 1 Month USD LIBOR + 2.50%, 4.90%, 9/28/2023 | 1,467,693 | 1,431,001 | |||
Titan Acquisition, Ltd. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 3.00%, 5.40%, 3/28/2025 | 483,941 | 463,306 | |||
4,753,393 | |||||
MACHINERY-CONSTRUCTION & MINING — 0.0% (d) | |||||
Brookfield WEC Holdings, Inc.: | |||||
Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 3.50%, 5.90%, 8/1/2025 | 855,446 | 855,386 | |||
Senior Secured 2019 Incremental Term Loan, 1 Month USD LIBOR + 3.50%, 3.50%, 8/1/2025 | 104,000 | 104,000 | |||
959,386 | |||||
MEDIA — 0.2% | |||||
CSC Holdings LLC: | |||||
Senior Secured 2018 Incremental Term Loan, 1 Month USD LIBOR + 2.25%, 4.64%, 1/15/2026 | 399,000 | 393,266 | |||
Senior Secured 2019 Term Loan B, 1 Month USD LIBOR + 3.00%, 5.39%, 4/15/2027 | 1,490,000 | 1,494,098 |
Security Description | Principal Amount | Value | |||
Meredith Corporation Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 2.75%, 5.15%, 1/31/2025 | $329,880 | $330,034 | |||
NEP/NCP Holdco, Inc. Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 3.25%, 5.65%, 10/20/2025 | 273,625 | 273,498 | |||
Nexstar Broadcasting, Inc. Senior Secured 2019 Term Loan B4, 2.75%, 6/20/2026 | 1,235,000 | 1,231,913 | |||
Rentpath, Inc. Senior Secured 2017 Term Loan, 1 Month USD LIBOR + 4.75%, 7.16%, 12/17/2021 | 488,923 | 289,161 | |||
Tribune Media Co. Senior Secured Term Loan, 1 Month USD LIBOR + 3.00%, 5.40%, 12/27/2020 | 83,967 | 84,085 | |||
Virgin Media Bristol LLC Senior Secured USD Term Loan K, 1 Month USD LIBOR + 2.50%, 4.89%, 1/15/2026 | 3,165,000 | 3,157,087 | |||
7,253,142 | |||||
METAL-DIVERSIFIED — 0.0% (d) | |||||
Covia Holdings Corp. Senior Secured Term Loan, 3 Month USD LIBOR + 4.00%, 6.60%, 6/1/2025 | 446,076 | 362,595 | |||
METALS & MINING — 0.1% | |||||
Aleris International, Inc. Senior Secured 2018 Term Loan, 1 Month USD LIBOR + 4.75%, 7.15%, 2/27/2023 | 1,623,600 | 1,627,659 | |||
MRI/MEDICAL DIAG IMAGING — 0.0% (d) | |||||
IQVIA Inc. Senior Secured 2018 USD Term Loan B3, Zero Coupon, 6/11/2025 | 460,000 | 458,130 | |||
Radiology Partners Holdings LLC Senior Secured 2018 1st Lien Term Loan B, 3 Month USD LIBOR + 4.75%, Zero Coupon, 7/9/2025 | 825,000 | 824,872 | |||
1,283,002 | |||||
OIL REFINING & MARKETING — 0.0% (d) | |||||
Gulf Finance LLC Senior Secured Term Loan B, 1 Month USD LIBOR + 5.25%, 7.65%, 8/25/2023 | 965,536 | 793,748 |
Table of Contents
Security Description | Principal Amount | Value | |||
OIL, GAS & CONSUMABLE FUELS — 0.1% | |||||
EG America LLC. Senior Secured 2018 USD Term Loan, 3 Month USD LIBOR + 4.00%, 6.33%, 2/7/2025 | $3,152,567 | $3,104,616 | |||
PHARMACEUTICALS — 0.1% | |||||
Bausch Health Companies Inc. Senior Secured Term Loan B, 1 Month USD LIBOR + 2.75%, 5.16%, 11/27/2025 | 1,082,812 | 1,077,740 | |||
Valeant Pharmaceuticals International, Inc. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 3.00%, 5.41%, 6/2/2025 | 453,601 | 453,932 | |||
1,531,672 | |||||
PIPELINES — 0.1% | |||||
Lower Cadence Holdings LLC Senior Secured Term Loan B, 1 Month USD LIBOR + 4.00%, 6.40%, 5/22/2026 | 1,955,000 | 1,948,079 | |||
REAL ESTATE INVESTMENT TRUSTS (REITS) — 0.1% | |||||
Capital Automotive L.P. Senior Secured 2017 2nd Lien Term Loan, 1 Month USD LIBOR + 6.00%, 8.41%, 3/24/2025 | 393,809 | 396,148 | |||
Forest City Enterprises, L.P. Senior Secured Term Loan B, 1 Month USD LIBOR + 4.00%, 6.40%, 12/7/2025 | 1,164,150 | 1,170,454 | |||
VICI Properties 1 LLC Senior Secured Replacement Term Loan B, 1 Month USD LIBOR + 2.00%, 4.40%, 12/20/2024 | 1,590,000 | 1,574,100 | |||
3,140,702 | |||||
REAL ESTATE MANAGEMENT & DEVELOPMENT — 0.0% (d) | |||||
Bright Bidco B.V. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 3.50%, 5.85%, 6/30/2024 | 582,708 | 415,908 | |||
RETAIL-RESTAURANTS — 0.1% | |||||
IRB Holding Corp. Senior Secured 1st Lien Term Loan, 1 Month USD LIBOR + 3.25%, 5.64%, 2/5/2025 | 1,707,065 | 1,688,262 |
Security Description | Principal Amount | Value | |||
SOFTWARE — 0.6% | |||||
Acrisure LLC Senior Secured 2017 Term Loan B, 3 Month USD LIBOR + 4.25%, 6.77%, 11/22/2023 | $3,168,872 | $3,160,300 | |||
Almonde, Inc. Senior Secured USD 1st Lien Term Loan, 1 Month USD LIBOR + 3.50%, 5.90%, 6/13/2024 | 378,224 | 369,191 | |||
Applied Systems, Inc. Senior Secured 2017 1st Lien Term Loan, 3 Month USD LIBOR + 3.00%, 5.33%, 9/19/2024 | 590,108 | 586,051 | |||
Blackstone CQP Holdco LP Senior Secured Term Loan B, 3 Month USD LIBOR + 3.50%, 5.89%, 6/7/2024 | 1,250,000 | 1,252,812 | |||
Greeneden U.S. Holdings II LLC Senior Secured 2018 USD Term Loan B, 3 Month USD LIBOR + 3.25%, 5.65%, 12/1/2023 | 3,005,551 | 2,975,030 | |||
Hyland Software, Inc. Senior Secured 2018 Term Loan 3, 1 Month USD LIBOR + 3.25%, 5.65%, 7/1/2024 | 1,994,950 | 1,984,357 | |||
Kronos, Inc. Senior Secured 2017 Term Loan B, 3 Month USD LIBOR + 3.00%, 5.58%, 11/1/2023 | 604,959 | 604,393 | |||
Solera, Inc. Senior Secured USD Term Loan B, 1 Month USD LIBOR + 2.75%, 5.15%, 3/3/2023 | 2,003,971 | 1,991,766 | |||
Sophia L.P. Senior Secured 2017 Term Loan B, 3 Month USD LIBOR + 3.25%, 5.58%, 9/30/2022 | 3,112,567 | 3,107,509 | |||
SS&C Technologies, Inc. Senior Secured 2018 Term Loan B5, 1 Month USD LIBOR + 2.25%, 4.65%, 4/16/2025 | 972,569 | 970,405 | |||
Ultimate Software Group, Inc. (The) Senior Secured Term Loan B, 4 Month USD LIBOR + 3.75%, 6.08%, 5/4/2026 | 530,000 | 531,712 | |||
Vertafore, Inc. Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 3.25%, 5.65%, 7/2/2025 | 2,611,543 | 2,517,410 | |||
20,050,936 |
Table of Contents
Security Description | Principal Amount | Value | |||
TELECOM SERVICES — 0.0% (d) | |||||
Avaya, Inc. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 4.25%, 6.65%, 12/15/2024 | $724,913 | $695,010 | |||
TELECOMMUNICATION EQUIP — 0.1% | |||||
MLN US HoldCo LLC Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 4.50%, 6.94%, 11/30/2025 | 2,721,325 | 2,607,941 | |||
TELEVISION — 0.1% | |||||
Gray Television, Inc. Senior Secured 2018 Term Loan C, 1 Month USD LIBOR + 2.50%, 4.90%, 1/2/2026 | 2,887,744 | 2,888,466 | |||
TRADING COMPANIES & DISTRIBUTORS — 0.0% (d) | |||||
HD Supply, Inc. Senior Secured Term Loan B5, Zero Coupon, 10/17/2023 | 345,000 | 345,091 | |||
TOTAL SENIOR FLOATING RATE LOANS (Cost $155,421,475) | 153,846,057 | ||||
U.S. GOVERNMENT AGENCY OBLIGATIONS — 40.5% | |||||
Federal Home Loan Mortgage Corp.: | |||||
3.00%, 11/1/2042 | 15,693,695 | 15,998,115 | |||
3.00%, 1/1/2045 | 2,516,294 | 2,560,465 | |||
3.00%, 2/1/2045 | 1,769,571 | 1,798,692 | |||
3.00%, 3/1/2045 | 1,879,138 | 1,910,062 | |||
3.00%, 4/1/2045 | 38,471,813 | 39,132,835 | |||
3.00%, 5/1/2045 | 6,595,649 | 6,704,190 | |||
3.00%, 8/1/2045 | 18,075,389 | 18,372,847 | |||
3.50%, 2/1/2045 | 3,217,120 | 3,325,882 | |||
3.50%, 4/1/2045 | 28,088,358 | 29,083,900 | |||
3.50%, 6/1/2045 | 12,974,168 | 13,457,083 | |||
3.50%, 10/1/2045 | 15,172,162 | 15,736,889 | |||
3.50%, 2/1/2046 | 15,054,647 | 15,509,771 | |||
4.00%, 4/1/2047 | 38,238,857 | 39,842,995 | |||
4.00%, 7/1/2047 | 11,855,963 | 12,353,326 | |||
4.00%, 10/1/2047 | 24,332,444 | 25,353,201 | |||
4.50%, 6/1/2044 | 2,266,086 | 2,410,931 | |||
Series 326, Class 300, CMO, 3.00%, 3/15/2044 | 31,608,430 | 32,017,244 | |||
Series 358, Class 300, CMO, 3.00%, 10/15/2047 | 32,022,074 | 32,947,418 | |||
Series 3822, Class ZG, CMO, REMIC, 4.00%, 2/15/2041 | 3,823,064 | 4,141,370 |
Security Description | Principal Amount | Value | |||
Series 3852, Class NS, CMO, IO, REMIC, 6.00% - 1 Month USD LIBOR 3.61%, 5/15/2041 (b) | $10,670,777 | $1,204,330 | |||
Series 3889, Class VZ, CMO, REMIC, 4.00%, 7/15/2041 | 11,186,366 | 11,617,878 | |||
Series 3935, Class SJ, CMO, IO, REMIC, 6.65% - 1 Month USD LIBOR 4.26%, 5/15/2041 (b) | 2,342,900 | 228,052 | |||
Series 4120, Class KA, CMO, REMIC, 1.75%, 10/15/2032 | 16,045,348 | 15,861,680 | |||
Series 4165, Class ZT, CMO, REMIC, 3.00%, 2/15/2043 | 16,192,503 | 16,162,597 | |||
Series 4215, Class KC, CMO, REMIC, 2.25%, 3/15/2038 | 9,305,728 | 9,294,722 | |||
Series 4364, Class ZX, CMO, REMIC, 4.00%, 7/15/2044 | 29,257,269 | 31,766,976 | |||
Series 4434, Class LZ, CMO, REMIC, 3.00%, 2/15/2045 | 3,415,931 | 3,304,340 | |||
Series 4444, Class CZ, CMO, REMIC, 3.00%, 2/15/2045 | 12,525,080 | 12,238,431 | |||
Series 4447, Class A, CMO, REMIC, 3.00%, 6/15/2041 | 1,717,749 | 1,750,164 | |||
Series 4447, Class Z, CMO, REMIC, 3.00%, 3/15/2045 | 4,134,070 | 4,066,675 | |||
Series 4471, Class BA, CMO, REMIC, 3.00%, 12/15/2041 | 6,020,724 | 6,128,410 | |||
Series 4471, Class GA, CMO, REMIC, 3.00%, 2/15/2044 | 9,234,012 | 9,390,476 | |||
Series 4474, Class ZX, CMO, REMIC, 4.00%, 4/15/2045 | 12,182,358 | 13,196,992 | |||
Series 4481, Class B, CMO, REMIC, 3.00%, 12/15/2042 | 6,204,737 | 6,312,477 | |||
Series 4483, Class CA, CMO, REMIC, 3.00%, 6/15/2044 | 11,350,881 | 11,542,581 | |||
Series 4484, Class CD, CMO, REMIC, 1.75%, 7/15/2030 | 12,471,111 | 12,288,307 | |||
Series 4491, Class B, CMO, REMIC, 3.00%, 8/15/2040 | 11,446,096 | 11,602,142 |
Table of Contents
Security Description | Principal Amount | Value | |||
Series 4492, Class GZ, CMO, REMIC, 3.50%, 7/15/2045 | $8,713,254 | $9,089,715 | |||
Series 4499, Class AB, CMO, REMIC, 3.00%, 6/15/2042 | 12,314,858 | 12,533,602 | |||
Series 4504, Class CA, CMO, REMIC, 3.00%, 4/15/2044 | 12,260,750 | 12,473,762 | |||
Series 4511, Class QA, CMO, REMIC, 3.00%, 1/15/2041 | 9,890,602 | 10,025,885 | |||
Series 4511, Class QC, CMO, REMIC, 3.00%, 12/15/2040 | 8,011,951 | 8,121,135 | |||
Series 4533, Class AB, CMO, REMIC, 3.00%, 6/15/2044 | 8,685,737 | 8,851,018 | |||
Series 4543, Class HG, CMO, REMIC, 2.70%, 4/15/2044 | 16,140,225 | 16,225,575 | |||
Series 4582, Class HA, CMO, REMIC, 3.00%, 9/15/2045 | 12,583,990 | 12,845,081 | |||
Series 4629, Class KA, CMO, REMIC, 3.00%, 3/15/2045 | 39,703,941 | 40,649,733 | |||
Series 4750, Class PA, 3.00%, 7/15/2046 | 22,399,665 | 22,606,129 | |||
Series 4792, Class A, CMO, REMIC, 3.00%, 5/15/2048 | 24,258,082 | 24,529,933 | |||
Series K053, Class A2, 3.00%, 12/25/2025 | 2,232,000 | 2,323,765 | |||
Federal National Mortgage Association: | |||||
2.50%, 9/1/2046 | 4,897,526 | 4,828,588 | |||
2.50%, 2/1/2047 | 13,186,961 | 13,099,786 | |||
3.00%, 5/1/2035 | 8,990,674 | 9,166,672 | |||
3.00%, 10/1/2041 | 30,442,058 | 30,864,631 | |||
3.00%, 3/1/2043 | 5,167,047 | 5,253,580 | |||
3.00%, 7/1/2043 | 8,399,737 | 8,481,287 | |||
3.00%, 1/1/2045 | 1,895,169 | 1,910,378 | |||
3.00%, 3/1/2045 | 2,633,574 | 2,675,346 | |||
3.00%, 4/1/2045 | 10,893,917 | 10,969,315 | |||
3.00%, 7/1/2045 | 31,267,868 | 31,791,514 | |||
3.00%, 11/1/2045 | 20,630,202 | 20,957,420 | |||
3.00%, 2/1/2047 | 25,382,427 | 25,734,766 | |||
3.50%, 9/1/2034 | 2,402,370 | 2,489,653 | |||
3.50%, 12/1/2034 | 2,139,692 | 2,217,431 | |||
3.50%, 2/1/2035 | 1,370,280 | 1,420,065 | |||
3.50%, 1/1/2045 | 12,981,977 | 13,457,290 | |||
3.50%, 2/1/2045 | 4,464,182 | 4,612,323 | |||
3.50%, 6/1/2045 | 12,525,184 | 12,983,930 | |||
4.50%, 3/1/2044 | 2,490,308 | 2,647,718 | |||
4.50%, 6/1/2044 | 1,252,491 | 1,331,660 | |||
4.50%, 7/1/2044 | 1,207,641 | 1,283,975 |
Security Description | Principal Amount | Value | |||
4.50%, 2/1/2045 | $1,508,193 | $1,603,524 | |||
Series 2010-109, Class N, CMO, REMIC, 3.00%, 10/25/2040 | 2,679,287 | 2,728,046 | |||
Series 2011-51, Class CI, CMO, IO, REMIC, 6.00% - 1 Month USD LIBOR 3.60%, 6/25/2041 (b) | 6,930,494 | 1,002,901 | |||
Series 2012-101, Class AP, CMO, REMIC, 2.00%, 8/25/2040 | 6,966,994 | 6,893,855 | |||
Series 2012-127, Class PA, CMO, REMIC, 2.75%, 11/25/2042 | 3,463,308 | 3,477,508 | |||
Series 2012-151, Class SB, CMO, REMIC, 6.00% - 1 Month USD LIBOR 2.34%, 1/25/2043 (b) | 1,248,324 | 1,011,230 | |||
Series 2013-114, Class HZ, CMO, REMIC, 3.00%, 11/25/2038 | 16,913,082 | 17,096,733 | |||
Series 2013-18, Class CD, CMO, REMIC, 1.50%, 10/25/2027 | 4,833,568 | 4,760,332 | |||
Series 2013-30, Class PS, CMO, REMIC, 6.00% - 1 Month USD LIBOR 2.34%, 4/25/2043 (b) | 1,718,187 | 1,553,080 | |||
Series 2014-21, Class GZ, CMO, REMIC, 3.00%, 4/25/2044 | 6,464,106 | 6,451,091 | |||
Series 2014-39, Class ZA, CMO, REMIC, 3.00%, 7/25/2044 | 9,292,934 | 9,252,037 | |||
Series 2015-42, Class CA, CMO, REMIC, 3.00%, 3/25/2044 | 7,142,913 | 7,253,644 | |||
Series 2015-9, Class HA, CMO, REMIC, 3.00%, 1/25/2045 | 10,249,812 | 10,364,669 | |||
Series 2015-95, Class AP, CMO, REMIC, 3.00%, 8/25/2042 | 13,738,073 | 13,887,680 | |||
Series 2016-21, Class BZ, CMO, REMIC, 3.00%, 4/25/2046 | 4,774,223 | 4,594,148 | |||
Series 2016-32, Class LA, CMO, REMIC, 3.00%, 10/25/2044 | 11,861,676 | 12,187,867 | |||
Series 2016-72, Class PA, CMO, REMIC, 3.00%, 7/25/2046 | 19,833,676 | 20,137,786 | |||
Series 2016-81, Class PA, CMO, REMIC, 3.00%, 2/25/2044 | 27,156,655 | 27,601,697 | |||
Series 2016-9, Class A, CMO, REMIC, 3.00%, 9/25/2043 | 10,262,356 | 10,371,248 |
Table of Contents
Security Description | Principal Amount | Value | |||
Series 2016-92, Class A, CMO, REMIC, 3.00%, 4/25/2042 | $32,460,210 | $32,961,288 | |||
Series 2016-M3, Class A2, 2.70%, 2/25/2026 | 2,150,000 | 2,191,259 | |||
Series 2017-13, Class CA, CMO, REMIC, 2.50%, 10/25/2043 | 25,122,164 | 25,032,342 | |||
Series 2017-15, Class MA, CMO, REMIC, 3.00%, 2/25/2042 | 15,665,167 | 15,864,982 | |||
Series 2017-18, Class A, CMO, REMIC, 3.00%, 8/25/2042 | 39,937,794 | 40,607,423 | |||
Series 2017-32, Class CA, CMO, REMIC, 3.00%, 10/25/2042 | 37,893,757 | 38,370,169 | |||
Series 2017-87, Class BA, CMO, REMIC, 3.00%, 12/25/2042 | 27,925,558 | 28,317,098 | |||
Series 2017-9, Class EA, CMO, REMIC, 3.00%, 10/25/2042 | 64,662,621 | 65,526,759 | |||
Series 2018-27, Class JA, CMO, REMIC, 3.00%, 12/25/2047 | 15,348,299 | 15,485,830 | |||
Series 2018-38, Class JB, CMO, REMIC, 3.00%, 6/25/2048 | 12,343,547 | 12,424,870 | |||
Series 2018-M10, Class A1, 3.50%, 7/25/2028 (b) | 20,488,605 | 21,769,636 | |||
Government National Mortgage Association: | |||||
Series 2013-169, Class SE, CMO, IO, REMIC, 6.05% - 1 Month USD LIBOR 3.66%, 11/16/2043 (b) | 2,462,920 | 431,382 | |||
Series 2013-34, Class PL, CMO, REMIC, 3.00%, 3/20/2042 | 10,836,669 | 11,049,040 | |||
Series 2014-43, Class PS, CMO, IO, REMIC, 6.18% - 1 Month USD LIBOR 3.80%, 7/20/2042 (b) | 6,831,354 | 790,220 | |||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS (Cost $1,347,621,468) | 1,352,118,481 | ||||
U.S. TREASURY OBLIGATIONS — 23.3% | |||||
Treasury Bill: | |||||
2.37%, 8/15/2019 | 57,900,000 | 57,751,668 | |||
2.39%, 10/17/2019 | 90,000,000 | 89,457,921 | |||
2.51%, 1/2/2020 (c) | 93,700,000 | 92,737,935 | |||
2.51%, 2/27/2020 | 94,000,000 | 92,790,024 | |||
Treasury Inflation Protected Indexed Notes 0.63%, 4/15/2023 | 22,938,449 | 23,212,903 |
Security Description | Principal Amount | Value | |||
Treasury Notes: | |||||
1.63%, 5/15/2026 | $64,000,000 | $62,980,000 | |||
2.13%, 2/29/2024 | 80,100,000 | 81,426,656 | |||
2.13%, 7/31/2024 | 73,900,000 | 75,152,836 | |||
2.25%, 11/15/2025 | 61,100,000 | 62,574,993 | |||
2.38%, 1/31/2023 | 25,600,000 | 26,172,000 | |||
2.38%, 5/15/2029 | 38,100,000 | 39,373,969 | |||
2.63%, 2/15/2029 | 18,500,000 | 19,508,828 | |||
2.88%, 8/15/2028 | 18,900,000 | 20,311,594 | |||
3.13%, 11/15/2028 | 31,300,000 | 34,332,188 | |||
TOTAL U.S. TREASURY OBLIGATIONS (Cost $762,895,719) | 777,783,515 | ||||
MORTGAGE-BACKED SECURITIES — 5.0% | |||||
Alternative Loan Trust: | |||||
Series 2005-79CB, Class A4, CMO, 5.50%, 1/25/2036 | 6,297,640 | 5,451,591 | |||
Series 2006-24CB, Class A9, CMO, 6.00%, 8/1/2036 | 3,894,770 | 3,222,354 | |||
Series 2006-43CB, Class 1A12, CMO, 5.75%, 2/25/2037 | 3,566,967 | 2,854,849 | |||
Angel Oak Mortgage Trust I Series 2018-1, Class A1, 3.26%, 4/27/2048 (a) (b) | 5,599,226 | 5,627,716 | |||
Atrium Hotel Portfolio Trust Series 2017-ATRM, Class E, 1 Month USD LIBOR + 3.05%, 5.44%, 12/15/2036 (a) (b) | 3,697,000 | 3,725,116 | |||
Banc of America Alternative Loan Trust Series 2005-9, Class 1CB2, CMO, 5.50%, 10/25/2035 | 4,290,057 | 4,283,990 | |||
Banc of America Funding Trust: | |||||
Series 2006-8T2, Class A4, CMO, 5.83%, 10/25/2036 (e) | 3,698,452 | 3,572,684 | |||
Series 2007-5, Class CA1, CMO, 6.00%, 7/25/2037 | 5,809,558 | 5,258,654 | |||
BANK Series 2017-BNK6, Class XA, IO, 1.00%, 7/15/2060 (b) | 54,922,474 | 2,745,146 | |||
BBCMS Mortgage Trust: | |||||
Series 2017-DELC, Class C, 1 Month USD LIBOR + 1.20% 3.59%, 8/15/2036 (a) (b) | 863,000 | 856,653 | |||
Series 2017-DELC, Class D, 1 Month USD LIBOR + 1.70% 4.09%, 8/15/2036 (a) (b) | 983,000 | 982,815 |
Table of Contents
Security Description | Principal Amount | Value | |||
Series 2017-DELC, Class E, 1 Month USD LIBOR + 2.50% 4.89%, 8/15/2036 (a) (b) | $1,982,000 | $1,985,651 | |||
Series 2017-DELC, Class F, 1 Month USD LIBOR + 3.50% 5.89%, 8/15/2036 (a) (b) | 1,974,000 | 1,976,929 | |||
BBCMS Trust Series 2018-BXH, Class A, 1 Month USD LIBOR + 1.00%, 3.39%, 10/15/2037 (a) (b) | 205,725 | 205,346 | |||
BCAP LLC Trust Series 2010-RR4, Class 3212, CMO, 6.18%, 1/26/2037 (a) (b) | 11,430,796 | 9,952,049 | |||
BHMS Series 2018-ATLS, , Class A, 1 Month USD LIBOR + 1.25%, 3.64%, 7/15/2035 (a) (b) | 3,284,000 | 3,286,000 | |||
BX Trust Series 2018-EXCL, Class A, 1 Month USD LIBOR + 1.09%, 3.48%, 9/15/2037 (a) (b) | 223,671 | 223,077 | |||
CAMB Commercial Mortgage Trust Series 2019-LIFE, Class A, 1 Month USD LIBOR + 1.07%, 3.46%, 12/15/2037 (a) (b) | 1,068,000 | 1,071,723 | |||
CHL Mortgage PassThrough Trust: | |||||
Series 2005-J2, Class 3A14, CMO, 5.50%, 8/25/2035 | 1,228,058 | 1,072,804 | |||
Series 2007-12, Class A9, CMO, 5.75%, 8/25/2037 | 4,019,859 | 3,435,443 | |||
CHT COSMO Mortgage Trust: | |||||
Series 2017-CSMO, Class E, 1 Month USD LIBOR + 3.00% 5.39%, 11/15/2036 (a) (b) | 2,407,000 | 2,412,937 | |||
Series 2017-CSMO, Class F, 1 Month USD LIBOR + 3.74% 6.14%, 11/15/2036 (a) (b) | 1,284,000 | 1,288,173 | |||
Citigroup Mortgage Loan Trust: | |||||
Series 2007-AR4, Class 1A1A, CMO, 4.63%, 3/25/2037 (b) | 3,001,166 | 2,843,493 | |||
Series 2007-AR5, Class 1A2A, CMO, 4.48%, 4/25/2037 (b) | 2,012,129 | 1,889,328 | |||
CitiMortgage Alternative Loan Trust Series 2007-A1, Class 1A7, CMO, 6.00%, 1/25/2037 | 7,154,286 | 6,958,049 |
Security Description | Principal Amount | Value | |||
CLNS Trust Series 2017-IKPR, Class D, 1 Month USD LIBOR + 2.05%, 4.46%, 6/11/2032 (a) (b) | $3,338,000 | $3,344,582 | |||
COMM Mortgage Trust Series 2018-HCLV, Class A, 1 Month USD LIBOR + 1.00%, 3.39%, 9/15/2033 (a) (b) | 347,000 | 345,698 | |||
Credit Suisse Commercial Mortgage Trust Series 2018-TOP, Class A, 1 Month USD LIBOR + 1.00%, 3.39%, 8/15/2035 (a) (b) | 790,000 | 790,492 | |||
Credit Suisse Mortgage Trust Series 2017, Class E, 3.30%, 7/10/2034 (a) (b) | 3,181,000 | 3,182,356 | |||
CSAIL Commercial Mortgage Trust Series 2017-CX10, Class XA, IO, 0.86%, 11/15/2050 (b) | 64,845,912 | 3,102,027 | |||
CSMC MortgageBacked Trust Series 2006-7, Class 7A7, CMO, 6.00%, 8/25/2036 | 2,068,788 | 2,068,788 | |||
CSMC Trust Series 2018-RPL2, Class A1, CMO, 4.03%, 8/25/2062 (a) (e) | 1,775,914 | 1,780,101 | |||
DBGS BIOD Mortgage Trust Series 2018-BIOD, Class A, 1 Month USD LIBOR + 0.80%, 3.20%, 5/15/2035 (a) (b) | 3,086,062 | 3,088,804 | |||
Exantas Capital Corp., Ltd. Series 2019-RSO7, Class A, 1 Month USD LIBOR + 1.00%, 3.39%, 4/15/2036 (a) (b) | 3,261,000 | 3,262,017 | |||
FWD Securitization Trust 3.11%, 7/25/2049 | 5,700,000 | 5,698,878 | |||
GS Mortgage Securities Corp. Trust Series 2018-3PCK, Class A, 1 Month USD LIBOR + 1.45%, 3.84%, 9/15/2031 (a) (b) | 2,899,000 | 2,893,789 | |||
GS Mortgage Securities Trust: | |||||
Series 2017-GS7, Class XA, IO, 1.28%, 8/10/2050 (b) | 40,694,274 | 2,813,640 | |||
Series 2018-TWR, Class A, 1 Month USD LIBOR + 0.90% 3.29%, 7/15/2031 (a) (b) | 650,000 | 649,559 | |||
Series 2018-TWR, Class D, 1 Month USD LIBOR + 1.60% 3.99%, 7/15/2031 (a) (b) | 650,000 | 647,735 | |||
Series 2018-TWR, Class E, 1 Month USD LIBOR + 2.10% 4.49%, 7/15/2031 (a) (b) | 650,000 | 652,410 |
Table of Contents
Security Description | Principal Amount | Value | |||
Series 2018-TWR, Class F, 1 Month USD LIBOR + 2.80% 5.19%, 7/15/2031 (a) (b) | $650,000 | $653,089 | |||
Series 2018-TWR, Class G, 1 Month USD LIBOR + 3.92% 6.32%, 7/15/2031 (a) (b) | 650,000 | 654,295 | |||
Series 2019-SOHO, Class E, 1 Month USD LIBOR + 1.87% 4.32%, 6/15/2036 (a) (b) | 3,411,000 | 3,401,786 | |||
Headlands Residential Series 2019-RLP1, 3.97%, 6/25/2024 | 4,100,000 | 4,099,996 | |||
JP Morgan Chase Commercial Mortgage Securities Corp. Series 2018-LAQ, Class A, 1 Month USD LIBOR + 1.00%, 3.39%, 6/15/2032 (a) (b) | 3,226,360 | 3,232,550 | |||
JP Morgan Chase Commercial Mortgage Securities Trust Series 2007-LDPX, Class AM, 5.46%, 1/15/2049 (b) | 116,818 | 117,190 | |||
Morgan Stanley Capital I Trust Series 2016-UB12, Class XA, IO, 0.93%, 12/15/2049 (b) | 56,452,422 | 2,261,277 | |||
NRPL Trust Series 2018-2A, Class A1, CMO, 4.25%, 7/25/2067 (a) (b) | 4,930,128 | 4,977,411 | |||
OBX Trust Series 2018-1, Class A2, CMO, 1 Month USD LIBOR + 0.65%, 3.05%, 6/25/2057 (a) (b) | 1,197,247 | 1,190,763 | |||
PMT Credit Risk Transfer Trust Series 2019-2R, Class A, 1 Month USD LIBOR + 2.75%, 5.16%, 5/27/2023 (a) (b) | 4,485,166 | 4,497,954 | |||
Ready Capital Mortgage Trust Series 2019-5, Class A, 3.78%, 2/25/2052 (a) | 2,121,197 | 2,165,510 | |||
ReadyCap Commercial Mortgage Trust Series 2019-FL3, Class A, 1 Month USD LIBOR + 1.00%, 3.40%, 3/25/2034 (a) (b) | 3,181,000 | 3,170,111 | |||
Rosslyn Portfolio Trust: | |||||
Series 2017-ROSS, Class A, 1 Month USD LIBOR + 0.95% 3.34%, 6/15/2033 (a) (b) | 3,945,000 | 3,955,034 | |||
Series 2017-ROSS, Class B, 1 Month USD LIBOR + 1.25% 3.64%, 6/15/2033 (a) (b) | 1,686,000 | 1,679,694 | |||
Structured Adjustable Rate Mortgage Loan Trust Series 2006-8, Class 4A3, CMO, 4.35%, 9/25/2036 (b) | 788,543 | 788,293 |
Security Description | Principal Amount | Value | |||
Structured Asset Mortgage Investments II Trust Series 2004-AR3, Class M, CMO, 1 Month USD LIBOR + 0.68%, 3.07%, 7/19/2034 (b) | $2,313,506 | $2,255,761 | |||
UBS Commercial Mortgage Trust Series 2017-C1, Class XA, IO, 1.74%, 6/15/2050 (b) | 22,958,981 | 2,126,459 | |||
Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2007-2 Trust Series 2007-2, Class 1A3, CMO, 6.00%, 4/25/2037 | 6,287,374 | 5,693,507 | |||
Washington Mutual Mortgage PassThrough Certificates WMALT Trust: | |||||
Series 2005-8, Class 2CB1, CMO, 5.50%, 10/25/2035 | 1,889,974 | 1,906,652 | |||
Series 2006-5, Class 3A2, CMO, 6.00%, 7/25/2036 (e) | 3,094,511 | 1,311,237 | |||
Wells Fargo Commercial Mortgage Trust Series 2015-P2, Class A4, 3.81%, 12/15/2048 | 1,568,000 | 1,682,375 | |||
Wells Fargo Mortgage Backed Securities Trust Series 2007-AR4, Class A1, CMO, 4.78%, 8/25/2037 (b) | 3,638,523 | 3,638,523 | |||
TOTAL MORTGAGE-BACKED SECURITIES (Cost $168,736,726) | 166,962,913 | ||||
COMMERCIAL MORTGAGE BACKED SECURITIES — 4.2% | |||||
BANK Series 2017-BNK4, Class XA, IO, 1.60%, 5/15/2050 (b) | 30,252,824 | 2,396,836 | |||
BBCMS Trust Series 2015-STP, Class D, 4.43%, 9/10/2028 (a) (b) | 1,750,000 | 1,769,685 | |||
BX Trust: | |||||
Series 2017-APPL, Class D, 1 Month USD LIBOR + 3.15% 4.44%, 7/15/2034 (a) (b) | 1,142,400 | 1,142,927 | |||
Series 2017-APPL, Class E, 1 Month USD LIBOR + 3.15% 5.54%, 7/15/2034 (a) (b) | 1,768,000 | 1,770,411 | |||
Series 2017-SLCT, Class D, 1 Month USD LIBOR + 2.05% 4.44%, 7/15/2034 (a) (b) | 1,065,050 | 1,065,782 |
Table of Contents
Security Description | Principal Amount | Value | |||
Series 2017-SLCT, Class E, 1 Month USD LIBOR + 3.15% 5.54%, 7/15/2034 (a) (b) | $1,805,400 | $1,808,890 | |||
Series 2018-GW, Class A, 1 Month USD LIBOR + 0.80% 3.19%, 5/15/2035 (a) (b) | 3,140,000 | 3,131,364 | |||
Series 2018-GW, Class D, 1 Month USD LIBOR + 1.77% 4.16%, 5/15/2035 (a) (b) | 275,000 | 276,375 | |||
CD Mortgage Trust Series 2017-CD4, Class XA, IO, 1.47%, 5/10/2050 (b) | 16,836,640 | 1,246,475 | |||
CFCRE Commercial Mortgage Trust: | |||||
Series 2016-C3, Class XA, IO, 1.20%, 1/10/2048 (b) | 24,352,972 | 1,366,916 | |||
Series 2016-C4, Class XA, IO, 1.88%, 5/10/2058 (b) | 11,754,814 | 1,056,200 | |||
Series 2017-C8, Class XA, IO, 1.82%, 6/15/2050 (b) | 27,900,652 | 2,549,689 | |||
Citigroup Commercial Mortgage Trust: | |||||
Series 2015-GC27, Class D, 4.57%, 2/10/2048 (a) (b) | 423,700 | 392,400 | |||
Series 2015-GC31, Class C, 4.19%, 6/10/2048 (b) | 1,500,000 | 1,478,890 | |||
Series 2015-GC33, Class C, 4.72%, 9/10/2058 (b) | 1,500,000 | 1,562,765 | |||
Series 2015-GC35, Class C, 4.65%, 11/10/2048 (b) | 1,435,000 | 1,487,342 | |||
Series 2016-GC36, Class XA, IO, 1.45%, 2/10/2049 (b) | 21,399,772 | 1,408,443 | |||
Series 2016-P4, Class A4, 2.90%, 7/10/2049 | 2,023,000 | 2,061,669 | |||
Series 2016-P6, Class A5, 3.72%, 12/10/2049 (b) | 2,558,000 | 2,740,810 | |||
COMM Mortgage Trust: | |||||
Series 2013-CR12, Class XA, IO, 1.33%, 10/10/2046 (b) | 28,697,270 | 1,161,775 | |||
Series 2015-CR22, Class D, 4.25%, 3/10/2048 (a) (b) | 932,000 | 912,328 | |||
Series 2015-CR22, Class XA, IO, 1.09%, 3/10/2048 (b) | 10,434,972 | 369,057 | |||
Series 2015-CR26, Class B, 4.63%, 10/10/2048 (b) | 1,600,000 | 1,735,457 | |||
Series 2015-CR26, Class XA, IO, 1.11%, 10/10/2048 (b) | 21,217,567 | 1,012,994 | |||
Series 2015-DC1, Class XA, IO, 1.26%, 2/10/2048 (b) | 8,726,428 | 351,284 | |||
Series 2015-LC21, Class C, 4.44%, 7/10/2048 (b) | 968,000 | 1,001,186 | |||
Series 2016-CR28, Class C, 4.80%, 2/10/2049 (b) | 2,011,000 | 2,164,752 | |||
Series 2016-DC2, Class C, 4.79%, 2/10/2049 (b) | 1,329,000 | 1,367,406 |
Security Description | Principal Amount | Value | |||
Series 2016-DC2, Class XA, IO, 1.18%, 2/10/2049 (b) | $19,345,336 | $1,013,574 | |||
Series 2017-PANW, Class D, 4.34%, 10/10/2029 (a) (b) | 1,388,000 | 1,443,498 | |||
Series 2017-PANW, Class E, 4.13%, 10/10/2029 (a) (b) | 2,316,000 | 2,342,959 | |||
CSAIL Commercial Mortgage Trust: | |||||
Series 2015-C2, Class AS, 3.85%, 6/15/2057 (b) | 900,000 | 939,009 | |||
Series 2015-C4, Class XA, IO, 1.05%, 11/15/2048 (b) | 35,328,320 | 1,518,670 | |||
CSMC Trust Series 2017-MOON, Class D, 3.30%, 7/10/2034 (a) (b) | 2,263,000 | 2,267,837 | |||
Great Wolf Trust: | |||||
Series 2017-WOLF, Class D, 1 Month USD LIBOR + 2.10% 4.49%, 9/15/2034 (a) (b) | 1,798,000 | 1,803,114 | |||
Series 2017-WOLF, Class E, 1 Month USD LIBOR + 3.10% 5.49%, 9/15/2034 (a) (b) | 2,787,000 | 2,790,287 | |||
Series 2017-WOLF, Class F, 1 Month USD LIBOR + 4.07% 6.46%, 9/15/2034 (a) (b) | 1,484,000 | 1,487,191 | |||
GS Mortgage Securities Corp. Series 2017-GS8, Class C, 4.48%, 11/10/2050 (b) | 469,000 | 500,413 | |||
GS Mortgage Securities Corp. II Series 2013-GC10, Class XA, IO, 1.66%, 2/10/2046 (b) | 13,247,806 | 606,948 | |||
GS Mortgage Securities Trust: | |||||
Series 2014-GC24, Class XA, IO, 0.89%, 9/10/2047 (b) | 29,238,454 | 939,653 | |||
Series 2015-GC32, Class XA, IO, 0.94%, 7/10/2048 (b) | 25,360,989 | 917,127 | |||
Series 2015-GC34, Class XA, IO, 1.48%, 10/10/2048 (b) | 16,959,236 | 1,069,229 | |||
Series 2015-GS1, Class XA, IO, 0.94%, 11/10/2048 (b) | 26,446,022 | 1,143,303 | |||
Series 2016-GS3, Class XA, IO, 1.38%, 10/10/2049 (b) | 28,188,879 | 1,882,470 | |||
Series 2019-GC38, Class XA, IO, 1.13%, 2/10/2052 (b) | 40,733,591 | 3,062,631 | |||
HPLY Trust Series 2019-HIT, Class F, 1 Month USD LIBOR + 3.15%, 5.54%, 11/15/2036 (a) (b) | 3,400,000 | 3,411,056 | |||
IMT Trust: | |||||
Series 2017-APTS, Class BFL, 1 Month USD LIBOR + 0.95% 3.34%, 6/15/2034 (a) (b) | 2,144,000 | 2,139,073 |
Table of Contents
Security Description | Principal Amount | Value | |||
Series 2017-APTS, Class CFL, 1 Month USD LIBOR + 1.10% 3.49%, 6/15/2034 (a) (b) | $2,144,000 | $2,139,073 | |||
JP Morgan Chase Commercial Mortgage Securities Corp.: | |||||
Series 2017-FL10, Class B, 1 Month USD LIBOR + 1.00% 3.39%, 6/15/2032 (a) (b) | 815,000 | 810,170 | |||
Series 2017-FL10, Class C, 1 Month USD LIBOR + 1.25% 3.64%, 6/15/2032 (a) (b) | 616,000 | 608,106 | |||
Series 2017-FL10, Class D, 1 Month USD LIBOR + 1.90% 4.29%, 6/15/2032 (a) (b) | 1,994,000 | 1,957,990 | |||
JP Morgan Chase Commercial Mortgage Securities Trust: | |||||
Series 2012-C8, Class B, 3.98%, 10/15/2045 (a) (b) | 1,775,000 | 1,831,066 | |||
Series 2015-JP1, Class XA, IO, 1.25%, 1/15/2049 (b) | 22,485,428 | 923,128 | |||
Series 2016-WIKI, Class E, 4.14%, 10/5/2031 (a) (b) | 3,160,000 | 3,188,493 | |||
JPMBB Commercial Mortgage Securities Trust: | |||||
Series 2014-C25, Class XA, IO, 1.08%, 11/15/2047 (b) | 6,214,612 | 212,278 | |||
Series 2014-C26, Class C, 4.55%, 1/15/2048 (b) | 1,500,000 | 1,583,757 | |||
Series 2015-C28, Class XA, IO, 1.25%, 10/15/2048 (b) | 11,156,843 | 431,516 | |||
Series 2015-C30, Class XA, IO, 0.68%, 7/15/2048 (b) | 27,405,233 | 728,394 | |||
Series 2015-C32, Class C, 4.82%, 11/15/2048 (b) | 1,132,000 | 1,193,481 | |||
Series 2015-C33, Class C, 4.77%, 12/15/2048 (b) | 1,739,000 | 1,834,549 | |||
Series 2016-C1, Class C, 4.90%, 3/15/2049 (b) | 2,180,000 | 2,325,966 | |||
JPMDB Commercial Mortgage Securities Trust Series 2016-C2, Class XA, IO, 1.84%, 6/15/2049 (b) | 21,672,051 | 1,564,077 | |||
LSTAR Commercial Mortgage Trust Series 2017-5, Class X, IO, 1.27%, 3/10/2050 (a) (b) | 47,948,658 | 2,075,693 | |||
Merrill Lynch Mortgage Trust Series 2006-C1, Class AJ, 5.78%, 5/12/2039 (b) | 126,741 | 128,673 | |||
Morgan Stanley Bank of America Merrill Lynch Trust: | |||||
Series 2013-C12, Class XA, IO, 0.77%, 10/15/2046 (b) | 13,496,152 | 295,152 | |||
Series 2013-C7, Class XA, IO, 1.49%, 2/15/2046 (b) | 13,850,789 | 552,053 |
Security Description | Principal Amount | Value | |||
Series 2015-C20, Class C, 4.61%, 2/15/2048 (b) | $500,000 | $524,867 | |||
Series 2015-C25, Class C, 4.68%, 10/15/2048 (b) | 1,700,000 | 1,813,423 | |||
Series 2015-C27, Class C, 4.68%, 12/15/2047 (b) | 1,219,000 | 1,253,290 | |||
Series 2015-C27, Class D, 3.24%, 12/15/2047 (a) (b) | 1,750,000 | 1,561,954 | |||
Series 2016-C28, Class XA, IO, 1.40%, 1/15/2049 (b) | 23,692,488 | 1,418,358 | |||
Series 2016-C30, Class XA, IO, 1.57%, 9/15/2049 (b) | 18,631,457 | 1,452,393 | |||
Series 2016-C31, Class C, 4.46%, 11/15/2049 (b) | 3,358,000 | 3,446,751 | |||
Series 2016-C32, Class A4, 3.72%, 12/15/2049 | 2,665,000 | 2,852,544 | |||
Morgan Stanley Capital I Trust Series 2015-UBS8, Class XA, IO, 1.05%, 12/15/2048 (b) | 25,120,304 | 1,200,169 | |||
UBS Commercial Mortgage Trust Series 2017-C4, Class XA, IO, 1.25%, 10/15/2050 (b) | 24,864,934 | 1,714,864 | |||
Waterfall Commercial Mortgage Trust Series 2015-SBC5, Class A, 4.10%, 9/14/2022 (a) (b) | 5,109,317 | 5,255,858 | |||
Wells Fargo Commercial Mortgage Trust: | |||||
Series 2014-LC16, Class D, 3.94%, 8/15/2050 (a) | 920,000 | 787,048 | |||
Series 2015-C26, Class XA, IO, 1.36%, 2/15/2048 (b) | 8,544,519 | 451,947 | |||
Series 2015-C27, Class C, 3.89%, 2/15/2048 | 750,000 | 749,948 | |||
Series 2015-C28, Class C, 4.25%, 5/15/2048 (b) | 1,500,000 | 1,524,350 | |||
Series 2015-LC20, Class XA, IO, 1.48%, 4/15/2050 (b) | 7,521,379 | 382,750 | |||
Series 2015-NXS1, Class XA, IO, 1.28%, 5/15/2048 (b) | 9,584,038 | 409,253 | |||
Series 2015-NXS2, Class XA, IO, 0.87%, 7/15/2058 (b) | 28,909,413 | 831,864 | |||
Series 2015-NXS3, Class C, 4.64%, 9/15/2057 (b) | 1,600,000 | 1,673,548 | |||
Series 2015-P2, Class XA, IO, 1.14%, 12/15/2048 (b) | 21,684,265 | 966,423 | |||
Series 2016-C32, Class C, 4.88%, 1/15/2059 (b) | 1,581,000 | 1,627,299 | |||
Series 2016-C33, Class XA, IO, 1.93%, 3/15/2059 (b) | 15,052,907 | 1,234,381 | |||
Series 2017-C38, Class XA, IO, 1.21%, 7/15/2050 (b) | 38,684,307 | 2,456,373 | |||
Series 2017-RC1, Class XA, IO, 1.70%, 1/15/2060 (b) | 25,239,789 | 2,086,017 | |||
Series 2019-C50, Class XA, IO, 1.63%, 5/15/2052 (b) | 31,296,324 | 3,329,616 |
Table of Contents
Security Description | Principal Amount | Value | |||
WFRBS Commercial Mortgage Trust: | |||||
Series 2014-C19, Class XA, IO, 1.21%, 3/15/2047 (b) | $9,241,902 | $340,641 | |||
Series 2014-C21, Class XA, IO, 1.21%, 8/15/2047 (b) | 17,744,414 | 721,606 | |||
TOTAL COMMERCIAL MORTGAGE BACKED SECURITIES (Cost $156,706,490) | 138,519,300 |
Shares | |||
SHORT-TERM INVESTMENT — 2.5% | |||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 2.35% (g) (h) (Cost $84,316,399) | 84,316,399 | 84,316,399 | |
TOTAL INVESTMENTS — 100.2% (Cost $3,328,530,140) | 3,342,679,964 | ||
LIABILITIES IN EXCESS OF OTHER ASSETS — (0.2)% | (5,798,616) | ||
NET ASSETS — 100.0% | $3,336,881,348 |
(a) | Securities purchased pursuant to Rule 144A of the Securities Act of 1933, as amended. These securities, which represent 10.4% of net assets as of June 30, 2019, are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
(b) | Variable Rate Security - Interest rate shown is rate in effect at June 30, 2019. For securities based on a published reference rate and spread, the reference rate and spread are indicated in the description above. |
(c) | When-issued security. |
(d) | Amount is less than 0.05% of net assets. |
(e) | Step-up bond - Coupon rate increases in increments to maturity. Rate shown as of June 30, 2019. Maturity date shown is the final maturity. |
(f) | The rate shown represents the rate at June 30, 2019. |
(g) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2019 are shown in the Affiliate Table below. |
(h) | The rate shown is the annualized seven-day yield at June 30, 2019. |
CMO | =Collateralized Mortgage Obligation |
CMT | =Constant Maturity Treasury |
EMTN | =Euro Medium Term Note |
GMTN | =Global Medium Term Note |
IO | =Interest Only |
LIBOR | =London Interbank Offered Rate |
LP | =Limited Partnership |
PIK | =Payment in Kind |
REMIC | =Real Estate Mortgage Investment Conduit |
Borrower | Unfunded Loan Commitment ($) | Value ($) | Unrealized Appreciation/(Depreciation) ($) | |||
Mavis Tire Express Services Corp. | 412,777 | 405,898 | (6,879) |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Asset-Backed Securities | $— | $69,880,248 | $— | $69,880,248 | ||||
Corporate Bonds & Notes | — | 562,844,016 | — | 562,844,016 | ||||
Foreign Government Obligations | — | 36,409,035 | — | 36,409,035 | ||||
Senior Floating Rate Loans | — | 153,846,057 | — | 153,846,057 | ||||
Commercial Mortgage Backed Securities | — | 138,519,300 | — | 138,519,300 | ||||
Mortgage-Backed Securities | — | 166,962,913 | — | 166,962,913 | ||||
U.S. Government Agency Obligations | — | 1,352,118,481 | — | 1,352,118,481 | ||||
U.S. Treasury Obligations | — | 777,783,515 | — | 777,783,515 | ||||
Short-Term Investment | 84,316,399 | — | — | 84,316,399 | ||||
TOTAL INVESTMENTS | $84,316,399 | $3,258,363,565 | $— | $3,342,679,964 |
Table of Contents
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
LIABILITIES: | ||||||||
OTHER FINANCIAL INSTRUMENTS: | ||||||||
Unfunded Loans(a) | $— | $(6,879) | $— | $(6,879) | ||||
TOTAL OTHER FINANCIAL INSTRUMENTS: | $— | $(6,879) | $— | $(6,879) |
(a) | Includes appreciation (depreciation) on unfunded loan commitments. |
Number of Shares Held at 6/30/18 | Value at 6/30/18 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 6/30/19 | Value at 6/30/19 | Dividend Income | |||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | — | $— | $1,024,270,933 | $939,954,534 | $— | $— | 84,316,399 | $84,316,399 | $1,935,879 |
26 | ARTOTL |
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Item 7. Disclosure of Proxy Voting Policies and Procedures forClosed-End Management Investment Companies.
Not applicable to the registrant.
Item 8. Portfolio Managers ofClosed-End Management Investment Companies.
Not applicable to the registrant.
Item 9. Purchases of Equity Securities byClosed-End Management Investment Company and Affiliated Purchasers.
Not applicable to the registrant.
Item 10. Submission of Matters to a Vote of Security Holders.
The registrant has not adopted any material changes to the procedures by which shareholders may recommend nominees to the registrant’s Board.
Item 11. Controls and Procedures.
(a) Within 90 days of the filing date of this FormN-CSR, Ellen M. Needham, the registrant’s President and Principal Executive Officer, and Bruce S. Rosenberg, the registrant’s Treasurer and Principal Financial Officer, reviewed the registrant’s disclosure controls and procedures (as defined in Rule30a-3(c) under the 1940 Act) and evaluated their effectiveness. Based on their review, Ms. Needham and Mr. Rosenberg determined that the disclosure controls and procedures adequately ensure that information required to be disclosed by the registrant in its periodic reports is recorded, processed, summarized and reported within the time periods required by the U.S. Securities and Exchange Commission.
(b) There were no changes in the registrant’s internal control over financial reporting (as defined in Rule30a-3(d) under the 1940 Act) that occurred during the most recent fiscal half-year that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.
Item 12. Disclosure of Securities Lending Activities forClosed-End Management Investment Companies.
(a) Not applicable to the registrant.
(b) Not applicable to the registrant.
Item 13. Exhibits.
(a)(1) Code of Ethics referred to in Item 2.
(a)(2) Separate certifications required by Rule30a-2(a) under the 1940 Act for each principal executive officer and principal financial officer of the registrant are attached.
(a)(3) Not applicable to the registrant.
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(a)(4) Not applicable.
(b) | A single certification required by Rule30a-2(b) under the 1940 Act, Rule13a-14(b) or Rule15d-14(b) under the Securities Exchange Act of 1934, as amended, and Section 1350 of Chapter 63 of Title 18 of the United States Code for the principal executive officer and principal financial officer of the registrant is attached. |
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SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934, as amended, and the Investment Company Act of 1940, as amended, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
SSGA Active Trust
By: | /s/ Ellen M. Needham | |
Ellen M. Needham | ||
President and Principal Executive Officer | ||
Date: | September 4, 2019 |
Pursuant to the requirements of the Securities Exchange Act of 1934, as amended, and the Investment Company Act of 1940, as amended, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By: | /s/ Ellen M. Needham | |
Ellen M. Needham | ||
�� | President and Principal Executive Officer | |
Date: | September 4, 2019 | |
By: | /s/ Bruce S. Rosenberg | |
Bruce S. Rosenberg | ||
Treasurer and Principal Financial Officer | ||
Date: | September 4, 2019 |