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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: December 31, 2019
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Item 1. Reports to Shareholders.
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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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Portfolio Statistics (Unaudited) | |
1 | |
2 | |
3 | |
4 | |
5 | |
6 | |
7 | |
Schedules of Investments (Unaudited) | |
8 | |
10 | |
12 | |
14 | |
20 | |
22 | |
24 | |
26 | |
33 | |
40 | |
48 |
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Description | % of Net Assets | ||
SPDR S&P Global Natural Resources ETF | 23.1% | ||
Invesco Optimum Yield Diversified Commodity Strategy No. K-1 ETF | 20.3 | ||
SPDR Portfolio TIPS ETF | 13.8 | ||
SPDR S&P Global Infrastructure ETF | 9.1 | ||
SPDR Dow Jones REIT ETF | 8.7 | ||
TOTAL | 75.0% |
% of Net Assets | |||
Natural Resources | 28.1% | ||
Commodities | 23.3 | ||
Real Estate | 17.2 | ||
Inflation Linked | 13.8 | ||
International Equity | 11.2 | ||
International Fixed Income | 5.9 | ||
Short Term Investments | 8.2 | ||
Liabilities in Excess of Other Assets | (7.7) | ||
TOTAL | 100.0% |
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Description | % of Net Assets | ||
SPDR Portfolio S&P 500 High Dividend ETF | 15.1% | ||
SPDR Bloomberg Barclays High Yield Bond ETF | 13.1 | ||
SPDR Bloomberg Barclays Emerging Markets Local Bond ETF | 10.2 | ||
SPDR Blackstone / GSO Senior Loan ETF | 10.0 | ||
SPDR Portfolio Long Term Treasury ETF | 8.7 | ||
TOTAL | 57.1% |
% of Net Assets | |||
Domestic Fixed Income | 42.0% | ||
Domestic Equity | 32.1 | ||
International Equity | 12.2 | ||
International Fixed Income | 10.2 | ||
Inflation Linked | 3.5 | ||
Short Term Investments | 10.8 | ||
Liabilities in Excess of Other Assets | (10.8) | ||
TOTAL | 100.0% |
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Description | % of Net Assets | ||
SPDR S&P 500 ETF Trust | 23.3% | ||
SPDR Portfolio Developed World ex-US ETF | 13.1 | ||
SPDR Bloomberg Barclays High Yield Bond ETF | 12.0 | ||
SPDR Dow Jones REIT ETF | 6.8 | ||
SPDR Portfolio Emerging Markets ETF | 5.1 | ||
TOTAL | 60.3% |
% of Net Assets | |||
Domestic Equity | 32.4% | ||
International Equity | 26.3 | ||
Domestic Fixed Income | 17.9 | ||
Real Estate | 9.6 | ||
Inflation Linked | 4.9 | ||
Commodities | 4.0 | ||
International Fixed Income | 3.0 | ||
Short Term Investments | 7.8 | ||
Liabilities in Excess of Other Assets | (5.9) | ||
TOTAL | 100.0% |
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Description | % of Net Assets | ||
Treasury Note 1.25% 1/31/2020 | 3.5% | ||
Nissan Master Owner Trust Receivables ABS 2.06% 10/17/2022 | 2.5 | ||
Evergreen Credit Card Trust ABS 2.22% 1/15/2023 | 2.1 | ||
Trillium Credit Card Trust II ABS 2.14% 9/26/2023 | 1.7 | ||
GMF Floorplan Owner Revolving Trust ABS 2.06% 9/15/2022 | 1.7 | ||
TOTAL | 11.5% |
% of Net Assets | |||
Corporate Bonds & Notes | 64.1% | ||
Asset-Backed Securities | 27.4 | ||
U.S. Treasury Obligations | 3.5 | ||
Mortgage-Backed Securities | 1.9 | ||
Foreign Government Obligations | 0.1 | ||
Certificate of Deposit | 0.2 | ||
Other Assets in Excess of Liabilities | 2.8 | ||
TOTAL | 100.0% |
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Description | % of Net Assets | ||
Microsoft Corp. | 7.6% | ||
Apple, Inc. | 7.5 | ||
Intel Corp. | 4.2 | ||
Citigroup, Inc. | 4.1 | ||
Johnson & Johnson | 3.9 | ||
TOTAL | 27.3% |
% of Net Assets | |||
Software | 10.3% | ||
Pharmaceuticals | 9.9 | ||
Technology Hardware, Storage & Peripherals | 7.5 | ||
Machinery | 7.2 | ||
Equity Real Estate Investment Trusts (REITs) | 5.5 | ||
Insurance | 5.3 | ||
Health Care Providers & Services | 5.0 | ||
Independent Power and Renewable Electricity Producers | 4.9 | ||
Semiconductors & Semiconductor Equipment | 4.2 | ||
IT Services | 4.2 | ||
Banks | 4.1 | ||
Oil, Gas & Consumable Fuels | 3.7 | ||
Interactive Media & Services | 3.7 | ||
Tobacco | 3.6 | ||
Consumer Finance | 3.2 | ||
Food Products | 3.2 | ||
Hotels, Restaurants & Leisure | 3.1 | ||
Multiline Retail | 2.8 | ||
Media | 2.6 | ||
Internet & Direct Marketing Retail | 1.5 | ||
Biotechnology | 1.3 | ||
Household Products | 0.7 | ||
Electric Utilities | 0.6 | ||
Entertainment | 0.5 | ||
Chemicals | 0.5 | ||
Road & Rail | 0.2 | ||
Short Term Investments | 0.6 | ||
Other Assets in Excess of Liabilities | 0.1 | ||
TOTAL | 100.0% |
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Description | % of Net Assets | ||
Apple, Inc. | 9.9% | ||
Microsoft Corp. | 8.5 | ||
Amazon.com, Inc. | 5.3 | ||
Eli Lilly & Co. | 4.0 | ||
American Tower Corp. REIT | 3.8 | ||
TOTAL | 31.5% |
% of Net Assets | |||
Software | 17.4% | ||
Technology Hardware, Storage & Peripherals | 9.9 | ||
IT Services | 8.2 | ||
Pharmaceuticals | 7.6 | ||
Semiconductors & Semiconductor Equipment | 6.8 | ||
Health Care Providers & Services | 6.6 | ||
Equity Real Estate Investment Trusts (REITs) | 5.5 | ||
Internet & Direct Marketing Retail | 5.3 | ||
Interactive Media & Services | 4.3 | ||
Machinery | 3.9 | ||
Hotels, Restaurants & Leisure | 3.7 | ||
Tobacco | 3.4 | ||
Consumer Finance | 2.9 | ||
Independent Power and Renewable Electricity Producers | 2.5 | ||
Multiline Retail | 2.4 | ||
Biotechnology | 2.3 | ||
Media | 1.9 | ||
Specialty Retail | 1.3 | ||
Insurance | 1.1 | ||
Health Care Technology | 1.1 | ||
Commercial Services & Supplies | 0.2 | ||
Aerospace & Defense | 0.2 | ||
Short-Term Investment | 1.5 | ||
Other Assets in Excess of Liabilities | 0.0* | ||
TOTAL | 100.0% | ||
* | Amount shown represents less than 0.05% of net assets. |
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Description | % of Net Assets | ||
Johnson & Johnson | 5.1% | ||
Citigroup, Inc. | 4.5 | ||
Target Corp. | 3.8 | ||
Phillips 66 | 3.3 | ||
Eaton Corp. PLC | 3.3 | ||
TOTAL | 20.0% |
% of Net Assets | |||
Banks | 9.4% | ||
Pharmaceuticals | 9.0 | ||
Oil, Gas & Consumable Fuels | 8.7 | ||
Equity Real Estate Investment Trusts (REITs) | 7.5 | ||
Health Care Providers & Services | 7.0 | ||
Insurance | 5.3 | ||
Electrical Equipment | 5.2 | ||
Machinery | 4.3 | ||
Independent Power and Renewable Electricity Producers | 3.8 | ||
Multiline Retail | 3.8 | ||
Chemicals | 3.5 | ||
Semiconductors & Semiconductor Equipment | 3.1 | ||
Electric Utilities | 3.1 | ||
Food Products | 3.0 | ||
Media | 3.0 | ||
Software | 2.7 | ||
Tobacco | 2.7 | ||
Capital Markets | 2.7 | ||
Household Durables | 2.6 | ||
IT Services | 1.9 | ||
Consumer Finance | 1.5 | ||
Health Care Equipment & Supplies | 1.3 | ||
Diversified Telecommunication Services | 1.2 | ||
Beverages | 1.0 | ||
Road & Rail | 1.0 | ||
Hotels, Restaurants & Leisure | 0.8 | ||
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 — 99.5% | ||||||
COMMODITIES — 23.3% | ||||||
Invesco DB Gold Fund | 66,175 | $2,995,081 | ||||
Invesco Optimum Yield Diversified Commodity Strategy No. K-1 ETF (a) | 1,215,013 | 20,120,615 | ||||
23,115,696 | ||||||
INFLATION LINKED — 13.8% | ||||||
SPDR Portfolio TIPS ETF (b) | 481,074 | 13,734,663 | ||||
INTERNATIONAL EQUITY — 11.2% | ||||||
SPDR S&P Global Infrastructure ETF (a)(b) | 164,587 | 9,058,868 | ||||
VanEck Vectors Agribusiness ETF (a) | 29,420 | 2,022,037 | ||||
11,080,905 | ||||||
INTERNATIONAL FIXED INCOME — 5.9% | ||||||
SPDR FTSE International Government Inflation-Protected Bond ETF (b) | 106,755 | 5,883,524 | ||||
NATURAL RESOURCES — 28.1% | ||||||
SPDR S&P Global Natural Resources ETF (b) | 496,954 | 22,934,427 | ||||
SPDR S&P Metals & Mining ETF (a)(b) | 70,665 | 2,069,778 | ||||
The Energy Select Sector SPDR Fund (a)(b) | 48,575 | 2,916,443 | ||||
27,920,648 | ||||||
REAL ESTATE — 17.2% | ||||||
SPDR Dow Jones International Real Estate ETF (a)(b) | 217,364 | 8,431,550 | ||||
SPDR Dow Jones REIT ETF (a)(b) | 85,111 | 8,683,024 | ||||
17,114,574 | ||||||
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS (Cost $99,525,176) | 98,850,010 |
Security Description | Shares | Value | ||||
SHORT-TERM INVESTMENTS — 8.2% | ||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 1.57% (c)(d) | 343,545 | $343,545 | ||||
State Street Navigator Securities Lending Portfolio II (e)(f) | 7,773,504 | 7,773,504 | ||||
TOTAL SHORT-TERM INVESTMENTS (Cost $8,117,049) | $8,117,049 | |||||
TOTAL INVESTMENTS—107.7% (Cost $107,642,225) | 106,967,059 | |||||
LIABILITIES IN EXCESS OF OTHER ASSETS—(7.7)% | (7,685,431) | |||||
NET ASSETS—100.0% | $99,281,628 |
The Fund invests in other funds and financial statements of underlying funds can be found at www.sec.gov. | |
(a) | All or a portion of the shares of the security are on loan at December 31, 2019. |
(b) | Affiliated fund managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 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 December 31, 2019 are shown in the Affiliate Table below. |
(d) | The rate shown is the annualized seven-day yield at December 31, 2019. |
(e) | The Fund invested in an affiliated entity. Amounts related to these transactions during the period ended December 31, 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 | $98,850,010 | $— | $— | $98,850,010 | ||||
Short-Term Investments | 8,117,049 | — | — | 8,117,049 | ||||
TOTAL INVESTMENTS | $106,967,059 | $— | $— | $106,967,059 |
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Number of Shares Held at 6/30/19 | Value at 6/30/19 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 12/31/19 | Value at 12/31/19 | Dividend Income | |||||||||
SPDR Dow Jones International Real Estate ETF | 254,986 | $9,880,708 | $582,542 | $2,075,348 | $60,663 | $(17,015) | 217,364 | $8,431,550 | $629,788 | ||||||||
SPDR Dow Jones REIT ETF | 99,368 | 9,817,558 | 2,594,311 | 4,076,350 | 325,614 | 21,891 | 85,111 | 8,683,024 | 184,645 | ||||||||
SPDR FTSE International Government Inflation-Protected Bond ETF | 120,728 | 6,710,062 | 703,192 | 1,472,783 | (25,972) | (30,975) | 106,755 | 5,883,524 | 101,438 | ||||||||
SPDR Portfolio TIPS ETF | 295,379 | 16,715,498 | 2,106,307 | 5,235,029 | 60,375 | 87,512 | 481,074 | 13,734,663 | 230,091 | ||||||||
SPDR S&P Global Infrastructure ETF | 212,055 | 11,266,482 | 422,838 | 2,965,266 | 274,770 | 60,044 | 164,587 | 9,058,868 | 163,952 | ||||||||
SPDR S&P Global Natural Resources ETF | 520,207 | 23,861,895 | 4,962,943 | 5,854,019 | (234,234) | 197,842 | 496,954 | 22,934,427 | 483,545 | ||||||||
SPDR S&P Metals & Mining ETF | 122,057 | 3,463,978 | 253,201 | 1,636,540 | (266,153) | 255,292 | 70,665 | 2,069,778 | 16,217 | ||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 200,382 | 200,382 | 3,618,482 | 3,475,319 | — | — | 343,545 | 343,545 | 14,672 | ||||||||
State Street Navigator Securities Lending Portfolio II | — | — | 36,869,929 | 29,096,425 | — | — | 7,773,504 | 7,773,504 | 8,350 | ||||||||
State Street Navigator Securities Lending Portfolio III | 8,210,284 | 8,210,284 | 126,231,378 | 134,441,662 | — | — | — | — | 33,640 | ||||||||
The Energy Select Sector SPDR Fund | 89,126 | 5,678,217 | 488,990 | 3,100,670 | (443,719) | 293,625 | 48,575 | 2,916,443 | 145,002 | ||||||||
Total | $95,805,064 | $178,834,113 | $193,429,411 | $(248,656) | $868,216 | $81,829,326 | $2,011,340 |
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Security Description | Shares | Value | ||||
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS — 100.0% | ||||||
DOMESTIC EQUITY — 32.1% | ||||||
Invesco KBW Premium Yield Equity REIT ETF | 315,125 | $9,835,051 | ||||
iShares Mortgage Real Estate ETF | 160,595 | 7,151,296 | ||||
SPDR Portfolio S&P 500 High Dividend ETF (a)(b) | 543,526 | 21,447,536 | ||||
SPDR Wells Fargo Preferred Stock ETF (a)(b) | 160,931 | 7,082,573 | ||||
45,516,456 | ||||||
DOMESTIC FIXED INCOME — 42.0% | ||||||
SPDR Blackstone / GSO Senior Loan ETF (a)(b) | 305,157 | 14,214,213 | ||||
SPDR Bloomberg Barclays Convertible Securities ETF (a)(b) | 130,369 | 7,235,480 | ||||
SPDR Bloomberg Barclays High Yield Bond ETF (a) | 169,448 | 18,561,334 | ||||
SPDR Portfolio Intermediate Term Corporate Bond ETF (a) | 667 | 23,552 | ||||
SPDR Portfolio Long Term Corporate Bond ETF (a) | 239,040 | 7,197,494 | ||||
SPDR Portfolio Long Term Treasury ETF (a) | 318,597 | 12,383,865 | ||||
59,615,938 | ||||||
INFLATION LINKED — 3.5% | ||||||
SPDR Portfolio TIPS ETF (a) | 172,995 | 4,939,007 | ||||
INTERNATIONAL EQUITY — 12.2% | ||||||
SPDR Portfolio Europe ETF (a)(b) | 200,481 | 7,307,532 | ||||
SPDR S&P Global Infrastructure ETF (a)(b) | 130,988 | 7,209,580 | ||||
SPDR S&P International Dividend ETF (a)(b) | 69,632 | 2,799,206 | ||||
17,316,318 | ||||||
INTERNATIONAL FIXED INCOME — 10.2% | ||||||
SPDR Bloomberg Barclays Emerging Markets Local Bond ETF (a)(b) | 517,138 | 14,433,322 | ||||
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS (Cost $137,798,271) | 141,821,041 |
Security Description | Shares | Value | ||||
SHORT-TERM INVESTMENTS — 10.8% | ||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 1.57% (c)(d) | 75,134 | $75,134 | ||||
State Street Navigator Securities Lending Portfolio II (e)(f) | 15,293,647 | 15,293,647 | ||||
TOTAL SHORT-TERM INVESTMENTS (Cost $15,368,781) | $15,368,781 | |||||
TOTAL INVESTMENTS—110.8% (Cost $153,167,052) | 157,189,822 | |||||
LIABILITIES IN EXCESS OF OTHER ASSETS—(10.8)% | (15,277,895) | |||||
NET ASSETS—100.0% | $141,911,927 |
The Fund invests in other funds and financial statements of underlying funds can be found at www.sec.gov. | |
(a) | Affiliated fund managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2019 are shown in the Affiliate Table below. |
(b) | All or a portion of the shares of the security are on loan at December 31, 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 December 31, 2019 are shown in the Affiliate Table below. |
(d) | The rate shown is the annualized seven-day yield at December 31, 2019. |
(e) | The Fund invested in an affiliated entity. Amounts related to these transactions during the period ended December 31, 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 | $141,821,041 | $— | $— | $141,821,041 | ||||
Short-Term Investments | 15,368,781 | — | — | 15,368,781 | ||||
TOTAL INVESTMENTS | $157,189,822 | $— | $— | $157,189,822 |
Number of Shares Held at 6/30/19 | Value at 6/30/19 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 12/31/19 | Value at 12/31/19 | Dividend Income | |||||||||
SPDR Blackstone / GSO Senior Loan ETF | 221,297 | $10,228,347 | $5,579,320 | $1,695,433 | $(1,695) | $103,674 | 305,157 | $14,214,213 | $366,187 | ||||||||
SPDR Bloomberg Barclays Convertible Securities ETF | 98,095 | 5,186,283 | 2,580,410 | 838,883 | 88,678 | 218,992 | 130,369 | 7,235,480 | 146,161 | ||||||||
SPDR Bloomberg Barclays Emerging Markets Local Bond ETF | 379,704 | 10,563,365 | 5,491,464 | 1,714,872 | 92,589 | 776 | 517,138 | 14,433,322 | 322,348 | ||||||||
SPDR Bloomberg Barclays High Yield Bond ETF | 134,592 | 14,662,453 | 7,997,755 | 4,171,766 | (153,872) | 226,764 | 169,448 | 18,561,334 | 483,766 | ||||||||
SPDR Portfolio Europe ETF | 91,861 | 3,138,890 | 4,442,937 | 666,846 | 57,910 | 334,641 | 200,481 | 7,307,532 | 41,359 | ||||||||
SPDR Portfolio Intermediate Term Corporate Bond ETF | 30,296 | 1,058,239 | 1,688,125 | 2,722,932 | 60,232 | (60,112) | 667 | 23,552 | 23,989 | ||||||||
SPDR Portfolio Long Term Corporate Bond ETF | 188,290 | 5,413,338 | 2,783,969 | 1,246,737 | 121,340 | 125,584 | 239,040 | 7,197,494 | 135,295 | ||||||||
SPDR Portfolio Long Term Treasury ETF | 278,234 | 10,617,409 | 5,836,938 | 4,189,859 | 230,285 | (110,908) | 318,597 | 12,383,865 | 162,114 | ||||||||
SPDR Portfolio S&P 500 High Dividend ETF | 361,461 | 13,749,976 | 10,459,129 | 3,561,918 | 58,207 | 742,142 | 543,526 | 21,447,536 | 443,573 | ||||||||
SPDR Portfolio TIPS ETF | 46,570 | 2,635,396 | 2,869,427 | 601,288 | 30,027 | 5,445 | 172,995 | 4,939,007 | 52,578 | ||||||||
SPDR S&P Global Infrastructure ETF | 99,667 | 5,295,308 | 2,761,173 | 1,078,505 | 109,694 | 121,910 | 130,988 | 7,209,580 | 120,937 | ||||||||
SPDR S&P International Dividend ETF | 106,418 | 4,188,613 | 2,007,973 | 3,412,373 | 187,209 | (172,216) | 69,632 | 2,799,206 | 51,575 | ||||||||
SPDR Wells Fargo Preferred Stock ETF | 120,314 | 5,198,768 | 2,646,437 | 860,927 | 41,183 | 57,112 | 160,931 | 7,082,573 | 194,560 | ||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 241,663 | 241,663 | 6,510,814 | 6,677,343 | — | — | 75,134 | 75,134 | 20,850 | ||||||||
State Street Navigator Securities Lending Portfolio II | — | — | 113,914,334 | 98,620,687 | — | — | 15,293,647 | 15,293,647 | 57,759 | ||||||||
State Street Navigator Securities Lending Portfolio III | 4,478,400 | 4,478,400 | 104,750,346 | 109,228,746 | — | — | — | — | 80,211 | ||||||||
Total | $96,656,448 | $282,320,551 | $241,289,115 | $921,787 | $1,593,804 | $140,203,475 | $2,703,262 |
Table of Contents
Security Description | Shares | Value | ||||
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS — 98.1% | ||||||
COMMODITIES — 4.0% | ||||||
Invesco DB Gold Fund | 247,806 | $11,215,700 | ||||
DOMESTIC EQUITY — 32.4% | ||||||
SPDR Portfolio Small Cap ETF (a)(b) | 86,763 | 2,831,077 | ||||
SPDR S&P 500 ETF Trust (a) | 201,984 | 65,010,570 | ||||
SPDR S&P MidCap 400 ETF Trust (a)(b) | 15,010 | 5,634,454 | ||||
The Financial Select Sector SPDR Fund (a) | 183,047 | 5,634,186 | ||||
The Health Care Select Sector SPDR Fund (a)(b) | 55,145 | 5,617,070 | ||||
The Technology Select Sector SPDR Fund (a) | 63,257 | 5,798,769 | ||||
90,526,126 | ||||||
DOMESTIC FIXED INCOME — 17.9% | ||||||
SPDR Bloomberg Barclays High Yield Bond ETF (a) | 305,433 | 33,457,131 | ||||
SPDR Bloomberg Barclays International Treasury Bond ETF (a)(b) | 193,041 | 5,561,511 | ||||
SPDR Portfolio Intermediate Term Corporate Bond ETF (a) | 155,481 | 5,490,034 | ||||
SPDR Portfolio Intermediate Term Treasury ETF (a)(b) | 176,407 | 5,456,269 | ||||
49,964,945 | ||||||
INFLATION LINKED — 4.9% | ||||||
SPDR Portfolio TIPS ETF (a) | 481,095 | 13,735,262 | ||||
INTERNATIONAL EQUITY — 26.3% | ||||||
SPDR Portfolio Developed World ex-US ETF (a)(b) | 1,161,855 | 36,424,154 | ||||
SPDR Portfolio Emerging Markets ETF (a)(b) | 379,952 | 14,282,396 | ||||
SPDR Portfolio Europe ETF (a) | 313,155 | 11,414,500 | ||||
SPDR S&P Emerging Markets SmallCap ETF (a)(b) | 61,691 | 2,841,487 | ||||
SPDR S&P International Small Cap ETF (a) | 261,924 | 8,344,899 | ||||
73,307,436 | ||||||
INTERNATIONAL FIXED INCOME — 3.0% | ||||||
SPDR Bloomberg Barclays Emerging Markets Local Bond ETF (a)(b) | 99,107 | 2,766,076 | ||||
SPDR Bloomberg Barclays International Corporate Bond ETF (a)(b) | 162,483 | 5,550,419 | ||||
8,316,495 |
Security Description | Shares | Value | ||||
REAL ESTATE — 9.6% | ||||||
SPDR Dow Jones International Real Estate ETF (a)(b) | 202,724 | $7,863,664 | ||||
SPDR Dow Jones REIT ETF (a)(b) | 185,327 | 18,907,061 | ||||
26,770,725 | ||||||
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS (Cost $246,639,458) | 273,836,689 | |||||
SHORT-TERM INVESTMENTS — 7.8% | ||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 1.57% (c)(d) | 4,788,090 | 4,788,090 | ||||
State Street Navigator Securities Lending Portfolio II (e)(f) | 16,843,340 | 16,843,340 | ||||
TOTAL SHORT-TERM INVESTMENTS (Cost $21,631,430) | $21,631,430 | |||||
TOTAL INVESTMENTS—105.9% (Cost $268,270,888) | 295,468,119 | |||||
LIABILITIES IN EXCESS OF OTHER ASSETS—(5.9)% | (16,468,758) | |||||
NET ASSETS—100.0% | $278,999,361 |
The Fund invests in other funds and financial statements of underlying funds can be found at www.sec.gov. | |
(a) | Affiliated fund managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2019 are shown in the Affiliate Table below. |
(b) | All or a portion of the shares of the security are on loan at December 31, 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 December 31, 2019 are shown in the Affiliate Table below. |
(d) | The rate shown is the annualized seven-day yield at December 31, 2019. |
(e) | The Fund invested in an affiliated entity. Amounts related to these transactions during the period ended December 31, 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 | $273,836,689 | $— | $— | $273,836,689 | ||||
Short-Term Investments | 21,631,430 | — | — | 21,631,430 | ||||
TOTAL INVESTMENTS | $295,468,119 | $— | $— | $295,468,119 |
Number of Shares Held at 6/30/19 | Value at 6/30/19 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 12/31/19 | Value at 12/31/19 | Dividend Income | |||||||||
SPDR Bloomberg Barclays Emerging Markets Local Bond ETF | 94,356 | $2,624,984 | $145,641 | $15,298 | $593 | $10,156 | 99,107 | $2,766,076 | $70,236 | ||||||||
SPDR Bloomberg Barclays High Yield Bond ETF | 330,621 | 36,017,852 | 7,772,728 | 10,425,207 | (28,587) | 120,345 | 305,433 | 33,457,131 | 939,208 | ||||||||
SPDR Bloomberg Barclays International Corporate Bond ETF | 153,181 | 5,237,549 | 520,130 | 209,828 | (5,156) | 7,724 | 162,483 | 5,550,419 | 19,336 | ||||||||
SPDR Bloomberg Barclays International Treasury Bond ETF | 268,338 | 7,760,335 | 750,730 | 2,901,067 | 52,014 | (100,501) | 193,041 | 5,561,511 | 48,246 | ||||||||
SPDR Dow Jones International Real Estate ETF | 196,691 | 7,621,776 | 3,164,711 | 3,085,327 | 154,976 | 7,528 | 202,724 | 7,863,664 | 600,544 | ||||||||
SPDR Dow Jones REIT ETF | 177,621 | 17,548,955 | 8,034,732 | 7,221,367 | (17,231) | 561,972 | 185,327 | 18,907,061 | 388,839 | ||||||||
SPDR Portfolio Aggregate Bond ETF | 176,602 | 5,151,480 | 5,116,760 | 10,241,920 | 235,934 | (262,254) | — | — | 98,205 | ||||||||
SPDR Portfolio Developed World ex-US ETF | 1,382,195 | 40,899,150 | 2,833,216 | 9,373,005 | 633,526 | 1,431,267 | 1,161,855 | 36,424,154 | 465,027 | ||||||||
SPDR Portfolio Emerging Markets ETF | 364,020 | 13,028,276 | 13,843,839 | 12,769,391 | 1,250,686 | (1,071,014) | 379,952 | 14,282,396 | 274,061 | ||||||||
SPDR Portfolio Europe ETF | — | — | 10,989,042 | 30,322 | 112 | 455,668 | 313,155 | 11,414,500 | 45,192 | ||||||||
SPDR Portfolio Intermediate Term Corporate Bond ETF | 149,799 | 5,232,479 | 430,699 | 230,112 | 4,383 | 52,585 | 155,481 | 5,490,034 | 89,712 | ||||||||
SPDR Portfolio Intermediate Term Treasury ETF | 84,943 | 5,249,478 | 480,480 | 279,892 | 13,178 | (6,975) | 176,407 | 5,456,269 | 57,524 | ||||||||
SPDR Portfolio Small Cap ETF | 170,359 | 5,219,800 | 127,766 | 2,686,499 | 54,838 | 115,172 | 86,763 | 2,831,077 | 24,461 | ||||||||
SPDR Portfolio TIPS ETF | 228,037 | 12,904,614 | 1,146,982 | 435,326 | (1,694) | 120,686 | 481,095 | 13,735,262 | 186,974 | ||||||||
SPDR S&P 500 ETF Trust | 176,029 | 51,576,497 | 9,698,578 | 1,688,015 | 198,683 | 5,224,827 | 201,984 | 65,010,570 | 554,241 | ||||||||
SPDR S&P Emerging Markets SmallCap ETF | 56,408 | 2,521,438 | 2,802,687 | 2,476,960 | 33,912 | (39,590) | 61,691 | 2,841,487 | 51,436 | ||||||||
SPDR S&P International Small Cap ETF | 250,396 | 7,499,360 | 823,604 | 495,401 | (46,349) | 563,685 | 261,924 | 8,344,899 | 176,769 | ||||||||
SPDR S&P MidCap 400 ETF Trust | 14,440 | 5,120,280 | 436,025 | 241,559 | 18,106 | 301,602 | 15,010 | 5,634,454 | 41,168 | ||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 2,263,193 | 2,263,193 | 18,566,068 | 16,041,171 | — | — | 4,788,090 | 4,788,090 | 120,157 | ||||||||
State Street Navigator Securities Lending Portfolio II | — | — | 321,274,880 | 304,431,540 | — | — | 16,843,340 | 16,843,340 | 50,708 | ||||||||
State Street Navigator Securities Lending Portfolio III | 10,451,625 | 10,451,625 | 408,353,101 | 418,804,726 | — | — | — | — | 94,290 | ||||||||
The Communication Services Select Sector SPDR Fund | — | — | 5,305,313 | 5,331,372 | 26,059 | — | — | — | 12,221 | ||||||||
The Consumer Staples Select Sector SPDR Fund | 86,816 | 5,041,405 | — | 5,160,696 | 50,854 | 68,437 | — | — | — | ||||||||
The Financial Select Sector SPDR Fund | — | — | 5,483,363 | 15,024 | (22) | 165,869 | 183,047 | 5,634,186 | 27,939 | ||||||||
The Health Care Select Sector SPDR Fund | 56,856 | 5,267,140 | 5,535,014 | 5,441,037 | 28,007 | 227,946 | 55,145 | 5,617,070 | 59,421 | ||||||||
The Industrial Select Sector SPDR Fund | 66,672 | 5,161,746 | 44,758 | 5,274,230 | 264,778 | (197,052) | — | — | — | ||||||||
The Real Estate Select Sector SPDR Fund | — | — | 5,256,120 | 5,228,589 | (27,531) | — | — | — | 35,758 | ||||||||
The Technology Select Sector SPDR Fund | — | — | 5,415,450 | 435,656 | 36,681 | 782,294 | 63,257 | 5,798,769 | 34,820 | ||||||||
Total | $259,399,412 | $844,352,417 | $830,970,537 | $2,930,750 | $8,540,377 | $284,252,419 | $4,566,493 |
Table of Contents
Security Description | Principal Amount | Value | |||
CORPORATE BONDS & NOTES — 64.1% | |||||
AEROSPACE & DEFENSE — 1.1% | |||||
United Technologies Corp. 3 Month USD LIBOR + 0.65%, 2.55%, 8/16/2021 (a) | $2,384,000 | $2,385,979 | |||
AGRICULTURE — 2.3% | |||||
BAT Capital Corp. 3 Month USD LIBOR + 0.88%, 2.79%, 8/15/2022 (a) | 2,500,000 | 2,512,425 | |||
Philip Morris International, Inc.: | |||||
2.00%, 2/21/2020 | 1,500,000 | 1,499,940 | |||
3 Month USD LIBOR + 0.42%, 2.31%, 2/21/2020 (a) | 1,000,000 | 1,000,560 | |||
5,012,925 | |||||
AUTO MANUFACTURERS — 13.4% | |||||
American Honda Finance Corp.: | |||||
Series GMTN, 3 Month USD LIBOR + 0.21%, 2.11%, 2/12/2021 (a) | 300,000 | 300,060 | |||
Series MTN, 3 Month USD LIBOR + 0.47%, 2.37%, 11/16/2022 (a) | 1,200,000 | 1,201,620 | |||
Daimler Finance North America LLC: | |||||
3 Month USD LIBOR + 0.39%, 2.29%, 5/4/2020 (a) (b) | 500,000 | 500,305 | |||
3 Month USD LIBOR + 0.45%, 2.35%, 2/22/2021 (a) (b) | 1,515,000 | 1,516,030 | |||
3 Month USD LIBOR + 0.88%, 2.78%, 2/22/2022 (a) (b) | 2,000,000 | 2,014,200 | |||
Ford Motor Credit Co. LLC: | |||||
2.34%, 11/2/2020 | 2,923,000 | 2,913,968 | |||
3 Month USD LIBOR + 1.00%, 3.01%, 1/9/2020 (a) | 2,812,000 | 2,812,337 | |||
General Motors Financial Co., Inc.: | |||||
3 Month USD LIBOR + 0.93%, 2.92%, 4/13/2020 (a) | 2,542,000 | 2,545,508 | |||
3 Month USD LIBOR + 1.31%, 3.27%, 6/30/2022 (a) | 3,500,000 | 3,512,250 | |||
Harley-Davidson Financial Services, Inc. 3 Month USD LIBOR + 0.50%, 2.39%, 5/21/2020 (a) (b) | 1,660,000 | 1,660,847 | |||
Hyundai Capital America 3 Month USD LIBOR + 0.94%, 2.97%, 7/8/2021 (a) (b) | 1,480,000 | 1,484,351 | |||
Nissan Motor Acceptance Corp.: | |||||
3 Month USD LIBOR + 0.39%, 2.39%, 7/13/2020 (a) (b) | 600,000 | 600,246 | |||
3 Month USD LIBOR + 0.63%, 2.56%, 9/21/2021 (a) (b) | 1,500,000 | 1,501,380 | |||
3 Month USD LIBOR + 0.65%, 2.65%, 7/13/2022 (a) (b) | 3,000,000 | 2,994,360 |
Security Description | Principal Amount | Value | |||
Toyota Motor Credit Corp.: | |||||
3 Month USD LIBOR + 0.10%, 2.11%, 1/10/2020 (a) | $450,000 | $450,027 | |||
Series MTN, 3 Month USD LIBOR + 0.48%, 2.37%, 9/8/2022 (a) | 2,000,000 | 2,007,620 | |||
Volkswagen Group of America Finance LLC 3 Month USD LIBOR + 0.94%, 2.84%, 11/12/2021 (a) (b) | 1,250,000 | 1,258,988 | |||
29,274,097 | |||||
BANKS — 20.7% | |||||
Bank of America Corp.: | |||||
3 Month USD LIBOR + 0.38%, 2.31%, 1/23/2022 (a) | 625,000 | 625,706 | |||
Series MTN, 3 Month USD LIBOR + 0.65%, 2.56%, 10/1/2021 (a) | 1,400,000 | 1,403,780 | |||
Series MTN, 3 Month USD LIBOR + 1.18%, 3.15%, 10/21/2022 (a) | 1,814,000 | 1,840,974 | |||
Citigroup, Inc.: | |||||
3 Month USD LIBOR + 0.96%, 2.90%, 4/25/2022 (a) | 1,250,000 | 1,265,912 | |||
3 Month USD LIBOR + 1.43%, 3.34%, 9/1/2023 (a) | 1,250,000 | 1,276,125 | |||
Commonwealth Bank of Australia 3 Month USD LIBOR + 0.45%, 2.34%, 3/10/2020 (a) (b) | 450,000 | 450,320 | |||
Cooperatieve Rabobank UA 3 Month USD LIBOR + 0.48%, 2.49%, 1/10/2023 (a) | 250,000 | 250,015 | |||
Deutsche Bank AG 3 Month USD LIBOR + 1.31%, 3.21%, 8/20/2020 (a) | 2,000,000 | 2,003,840 | |||
Goldman Sachs Group, Inc.: | |||||
3 Month USD LIBOR + 1.36%, 3.30%, 4/23/2021 (a) | 2,250,000 | 2,279,340 | |||
Series FRN, 3 Month USD LIBOR + 1.77%, 3.68%, 2/25/2021 (a) | 250,000 | 254,278 | |||
HSBC Holdings PLC: | |||||
3 Month USD LIBOR + 0.60%, 2.50%, 5/18/2021 (a) | 2,000,000 | 2,001,960 | |||
3 Month USD LIBOR + 1.50%, 3.54%, 1/5/2022 (a) | 1,500,000 | 1,529,295 | |||
3 Month USD LIBOR + 1.66%, 3.57%, 5/25/2021 (a) | 730,000 | 743,016 | |||
JPMorgan Chase & Co. 3 Month USD LIBOR + 1.10%, 2.99%, 6/7/2021 (a) | 1,750,000 | 1,769,722 | |||
KeyBank NA Series BKNT, 3 Month USD LIBOR + 0.66%, 2.57%, 2/1/2022 (a) | 1,000,000 | 1,005,740 | |||
Mitsubishi UFJ Financial Group, Inc.: |
Table of Contents
Security Description | Principal Amount | Value | |||
3.54%, 7/26/2021 | $2,000,000 | $2,045,660 | |||
3 Month USD LIBOR + 0.65%, 2.59%, 7/26/2021 (a) | 436,000 | 437,966 | |||
3 Month USD LIBOR + 0.79%, 2.73%, 7/25/2022 (a) | 1,500,000 | 1,508,910 | |||
3 Month USD LIBOR + 1.06%, 2.95%, 9/13/2021 (a) | 300,000 | 303,318 | |||
Mizuho Financial Group, Inc. 3 Month USD LIBOR + 0.88%, 2.77%, 9/11/2022 (a) | 2,000,000 | 2,015,080 | |||
Morgan Stanley: | |||||
SOFR + 0.83%, 2.37%, 6/10/2022 (a) | 3,000,000 | 3,010,410 | |||
Series GMTN, 3 Month USD LIBOR + 0.55%, 2.45%, 2/10/2021 (a) | 500,000 | 500,235 | |||
Series MTN, 3 Month USD LIBOR + 1.40%, 3.34%, 10/24/2023 (a) | 2,000,000 | 2,043,000 | |||
National Australia Bank, Ltd.: | |||||
3 Month USD LIBOR + 0.58%, 2.49%, 9/20/2021 (a) (b) | 750,000 | 754,380 | |||
3 Month USD LIBOR + 0.71%, 2.61%, 11/4/2021 (a) (b) | 500,000 | 504,210 | |||
PNC Bank NA Series BKNT, 3 Month USD LIBOR + 0.36%, 2.26%, 5/19/2020 (a) | 600,000 | 600,432 | |||
Santander UK PLC: | |||||
3 Month USD LIBOR + 0.30%, 2.20%, 11/3/2020 (a) | 600,000 | 600,120 | |||
3 Month USD LIBOR + 0.62%, 2.53%, 6/1/2021 (a) | 300,000 | 301,053 | |||
Skandinaviska Enskilda Banken AB 3 Month USD LIBOR + 0.43%, 2.33%, 5/17/2021 (a) (b) | 1,500,000 | 1,504,260 | |||
Sumitomo Mitsui Banking Corp. 3 Month USD LIBOR + 0.37%, 2.37%, 10/16/2020 (a) | 1,000,000 | 1,001,610 | |||
Sumitomo Mitsui Financial Group, Inc. 3 Month USD LIBOR + 1.14%, 3.11%, 10/19/2021 (a) | 1,237,000 | 1,253,403 | |||
Toronto-Dominion Bank 3 Month USD LIBOR + 0.90%, 2.90%, 7/13/2021 (a) | 400,000 | 404,344 | |||
Truist Bank Series BKNT, 3 Month USD LIBOR + 0.50%, 2.44%, 10/26/2021 (a) | 1,000,000 | 1,002,460 | |||
UBS AG: | |||||
3 Month USD LIBOR + 0.48%, 2.39%, 12/1/2020 (a) (b) | 550,000 | 551,381 | |||
3 Month USD LIBOR + 0.58%, 2.47%, 6/8/2020 (a) (b) | 1,000,000 | 1,001,610 | |||
UBS Group AG 3 Month USD LIBOR + 1.53%, 3.44%, 2/1/2022 (a) (b) | 3,000,000 | 3,065,910 |
Security Description | Principal Amount | Value | |||
Wells Fargo & Co. 3 Month USD LIBOR + 0.93%, 2.83%, 2/11/2022 (a) | $1,000,000 | $1,006,810 | |||
Westpac Banking Corp. 3 Month USD LIBOR + 0.34%, 2.28%, 1/25/2021 (a) | 1,000,000 | 1,001,160 | |||
45,117,745 | |||||
BEVERAGES — 0.6% | |||||
Constellation Brands, Inc. 3 Month USD LIBOR + 0.70%, 2.61%, 11/15/2021 (a) | 1,200,000 | 1,201,764 | |||
CHEMICALS — 2.1% | |||||
Albemarle Corp. 3 Month USD LIBOR + 1.05%, 2.94%, 11/15/2022 (a) (b) | 3,000,000 | 3,013,620 | |||
DuPont de Nemours, Inc. 3 Month USD LIBOR + 1.11%, 3.02%, 11/15/2023 (a) | 1,460,000 | 1,486,484 | |||
4,500,104 | |||||
COMPUTERS — 1.5% | |||||
Apple, Inc. 3 Month USD LIBOR + 0.50%, 2.40%, 2/9/2022 (a) | 750,000 | 755,647 | |||
IBM Credit LLC 3 Month USD LIBOR + 0.16%, 2.05%, 2/5/2021 (a) | 725,000 | 725,232 | |||
International Business Machines Corp. 3 Month USD LIBOR + 0.40%, 2.30%, 5/13/2021 (a) | 1,800,000 | 1,806,732 | |||
3,287,611 | |||||
DIVERSIFIED FINANCIAL SERVICES — 0.3% | |||||
American Express Credit Corp. Series MTN, 3 Month USD LIBOR + 0.70%, 2.61%, 3/3/2022 (a) | 619,000 | 624,076 | |||
ELECTRIC — 2.8% | |||||
Duke Energy Corp. 3 Month USD LIBOR + 0.65%, 2.54%, 3/11/2022 (a) | 2,200,000 | 2,210,868 | |||
Sempra Energy: | |||||
3 Month USD LIBOR + 0.45%, 2.34%, 3/15/2021 (a) | 1,395,000 | 1,395,544 | |||
3 Month USD LIBOR + 0.50%, 2.50%, 1/15/2021 (a) | 2,550,000 | 2,550,408 | |||
6,156,820 | |||||
FOOD — 1.1% | |||||
Conagra Brands, Inc. 3 Month USD LIBOR + 0.50%, 2.51%, 10/9/2020 (a) | 1,777,000 | 1,779,292 |
Table of Contents
Security Description | Principal Amount | Value | |||
Tyson Foods, Inc. 3 Month USD LIBOR + 0.45%, 2.34%, 8/21/2020 (a) | $550,000 | $550,974 | |||
2,330,266 | |||||
GAS — 0.9% | |||||
Dominion Energy Gas Holdings LLC Series A, 3 Month USD LIBOR + 0.60%, 2.49%, 6/15/2021 (a) | 2,000,000 | 2,006,860 | |||
HEALTH CARE SERVICES — 0.3% | |||||
UnitedHealth Group, Inc. 3 Month USD LIBOR + 0.26%, 2.15%, 6/15/2021 (a) | 600,000 | 599,352 | |||
INSURANCE — 1.1% | |||||
Allstate Corp 3 Month USD LIBOR + 0.63%, 2.59%, 3/29/2023 (a) | 1,500,000 | 1,502,310 | |||
Metropolitan Life Global Funding I SOFR + 0.57%, 2.11%, 9/7/2020 (a) (b) | 1,000,000 | 1,001,800 | |||
2,504,110 | |||||
MACHINERY, CONSTRUCTION & MINING — 1.8% | |||||
Caterpillar Financial Services Corp.: | |||||
Series MTN, 3 Month USD LIBOR + 0.23%, 2.12%, 3/15/2021 (a) | 1,426,000 | 1,426,513 | |||
Series MTN, 3 Month USD LIBOR + 0.28%, 2.17%, 9/7/2021 (a) | 500,000 | 500,095 | |||
Series MTN, 3 Month USD LIBOR + 0.59%, 2.48%, 6/6/2022 (a) | 2,000,000 | 2,009,760 | |||
3,936,368 | |||||
MACHINERY-DIVERSIFIED — 0.6% | |||||
John Deere Capital Corp. Series MTN, 3 Month USD LIBOR + 0.48%, 2.37%, 9/8/2022 (a) | 1,395,000 | 1,400,008 | |||
MEDIA — 0.2% | |||||
NBCUniversal Enterprise, Inc. 3 Month USD LIBOR + 0.40%, 2.31%, 4/1/2021 (a) (b) | 400,000 | 401,076 | |||
MINING — 0.9% | |||||
Glencore Funding LLC 2.88%, 4/16/2020 (b) | 1,963,000 | 1,961,273 | |||
MISCELLANEOUS MANUFACTURER — 0.9% | |||||
General Electric Co. Series MTN, 4.65%, 10/17/2021 | 1,500,000 | 1,562,925 |
Security Description | Principal Amount | Value | |||
Siemens Financieringsmaatschappij NV 3 Month USD LIBOR + 0.34%, 2.23%, 3/16/2020 (a) (b) | $450,000 | $450,189 | |||
2,013,114 | |||||
OIL & GAS — 1.7% | |||||
BP Capital Markets America, Inc. 3 Month USD LIBOR + 0.65%, 2.55%, 9/19/2022 (a) | 250,000 | 251,478 | |||
Chevron Corp. 3 Month USD LIBOR + 0.48%, 2.39%, 3/3/2022 (a) | 500,000 | 503,015 | |||
ConocoPhillips Co. 3 Month USD LIBOR + 0.90%, 2.81%, 5/15/2022 (a) | 2,100,000 | 2,129,547 | |||
Occidental Petroleum Corp. 3 Month USD LIBOR + 1.25%, 3.15%, 8/13/2021 (a) | 750,000 | 753,997 | |||
3,638,037 | |||||
PHARMACEUTICALS — 4.4% | |||||
AbbVie, Inc.: | |||||
3 Month USD LIBOR + 0.46%, 2.35%, 11/19/2021 (a) (b) | 1,250,000 | 1,252,312 | |||
3 Month USD LIBOR + 0.65%, 2.54%, 11/21/2022 (a) (b) | 3,000,000 | 3,013,320 | |||
Allergan Funding SCS 3 Month USD LIBOR + 1.26%, 3.14%, 3/12/2020 (a) | 438,000 | 438,837 | |||
AstraZeneca PLC 3 Month USD LIBOR + 0.62%, 2.51%, 6/10/2022 (a) | 690,000 | 692,215 | |||
Bristol-Myers Squibb Co. 3 Month USD LIBOR + 0.38%, 2.28%, 5/16/2022 (a) (b) | 2,000,000 | 2,004,140 | |||
CVS Health Corp. 3 Month USD LIBOR + 0.72%, 2.61%, 3/9/2021 (a) | 2,250,000 | 2,262,600 | |||
9,663,424 | |||||
PIPELINES — 2.3% | |||||
Kinder Morgan Energy Partners L.P. 3.50%, 3/1/2021 | 2,000,000 | 2,028,540 | |||
MPLX L.P. 3 Month USD LIBOR + 1.10%, 2.99%, 9/9/2022 (a) | 1,925,000 | 1,930,371 | |||
Plains All American Pipeline L.P./PAA Finance Corp. 3.65%, 6/1/2022 | 1,000,000 | 1,026,720 | |||
4,985,631 | |||||
RETAIL — 1.2% | |||||
Dollar Tree, Inc. 3 Month USD LIBOR + 0.70%, 2.70%, 4/17/2020 (a) | 1,700,000 | 1,699,949 | |||
Home Depot, Inc.: | |||||
3 Month USD LIBOR + 0.15%, 2.04%, 6/5/2020 (a) | 350,000 | 350,154 |
Table of Contents
Security Description | Principal Amount | Value | |||
3 Month USD LIBOR + 0.31%, 2.22%, 3/1/2022 (a) | $500,000 | $501,080 | |||
2,551,183 | |||||
TELECOMMUNICATIONS — 1.8% | |||||
AT&T, Inc. 3 Month USD LIBOR + 0.75%, 2.66%, 6/1/2021 (a) | 2,500,000 | 2,514,575 | |||
Verizon Communications, Inc. 3 Month USD LIBOR + 1.00%, 2.89%, 3/16/2022 (a) | 1,450,000 | 1,472,895 | |||
3,987,470 | |||||
TRANSPORTATION — 0.1% | |||||
United Parcel Service, Inc. 3 Month USD LIBOR + 0.45%, 2.36%, 4/1/2023 (a) | 200,000 | 200,834 | |||
TOTAL CORPORATE BONDS & NOTES (Cost $139,459,690) | 139,740,127 | ||||
ASSET-BACKED SECURITIES — 27.4% | |||||
AUTOMOBILE — 16.8% | |||||
Ally Auto Receivables Trust: | |||||
Series 2017-3, Class A4, 2.01%, 3/15/2022 | 750,000 | 750,097 | |||
Series 2016-3, Class A4, 1.72%, 4/15/2021 | 330,804 | 330,766 | |||
Series 2018-3, Class A3, 3.00%, 1/17/2023 | 540,000 | 544,015 | |||
BMW Floorplan Master Owner Trust Series 2018-1, Class A2, 1 Month USD LIBOR + 0.32%, 2.06%, 5/15/2023 (a) (b) | 500,000 | 500,593 | |||
Carmax Auto Owner Trust: | |||||
Series 2017-1, Class B, 2.54%, 9/15/2022 | 723,000 | 726,833 | |||
Series 2019-4, Class A2A, 2.01%, 3/15/2023 | 365,000 | 365,093 | |||
Chrysler Capital Auto Receivables Trust Series 2016-AA, Class D, 4.22%, 2/15/2023 (b) | 1,500,000 | 1,510,706 | |||
Enterprise Fleet Financing LLC: | |||||
Series 2017-1, Class A3, 2.60%, 7/20/2022 (b) | 2,670,000 | 2,674,741 | |||
Series 2019-1, Class A2, 2.98%, 10/20/2024 (b) | 2,400,000 | 2,422,903 | |||
Series 2018-3, Class A2, 3.38%, 5/20/2024 (b) | 2,036,306 | 2,061,790 | |||
Ford Credit Auto Lease Trust Series 2017-B, Class A4, 2.17%, 2/15/2021 | 1,973,396 | 1,973,431 | |||
Ford Credit Auto Owner Trust Series 2015-1, Class A, 2.12%, 7/15/2026 (b) | 1,000,000 | 999,998 |
Security Description | Principal Amount | Value | |||
Ford Credit Floorplan Master Owner Trust A: | |||||
Series 2017-1, Class A, 2.07%, 5/15/2022 | $705,000 | $705,111 | |||
Series 2017-2, Class A2, 1 Month USD LIBOR + 0.35%, 2.09%, 9/15/2022 (a) | 1,270,000 | 1,270,507 | |||
GM Financial Automobile Leasing Trust Series 2018-2, Class A3, 3.06%, 6/21/2021 | 1,564,596 | 1,569,215 | |||
GMF Floorplan Owner Revolving Trust: | |||||
Series 2018-1, Class A, 1 Month USD LIBOR + 0.30%, 2.04%, 3/15/2022 (a) (b) | 700,000 | 700,066 | |||
Series 2018-3, Class A, 1 Month USD LIBOR + 0.32%, 2.06%, 9/15/2022 (a) (b) | 3,600,000 | 3,600,448 | |||
Series 2017-2, Class A2, 1 Month USD LIBOR + 0.43%, 2.17%, 7/15/2022 (a) (b) | 2,100,000 | 2,101,746 | |||
Hyundai Auto Lease Securitization Trust: | |||||
Series 2018-B, Class A4, 3.20%, 6/15/2022 (b) | 779,000 | 787,404 | |||
Series 2018-A, Class A4, 2.89%, 3/15/2022 (b) | 800,000 | 804,874 | |||
Nissan Auto Lease Trust Series 2017-B, Class A4, 2.17%, 12/15/2021 | 125,000 | 125,020 | |||
Nissan Master Owner Trust Receivables: | |||||
Series 2017-B, Class A, 1 Month LIBOR + 0.43%, 2.17%, 4/18/2022 (a) | 1,140,000 | 1,140,653 | |||
Series 2017-C, Class A, 1 Month USD LIBOR + 0.32%, 2.06%, 10/17/2022 (a) | 5,555,000 | 5,555,286 | |||
Securitized Term Auto Receivables Trust Series 2019-1A, Class A2, 2.86%, 5/25/2021 (b) | 828,245 | 829,883 | |||
World Omni Auto Receivables Trust Series 2018-C, Class A2, 2.80%, 1/18/2022 | 627,438 | 628,647 | |||
World Omni Automobile Lease Securitization Trust: | |||||
Series 2018-A, Class A3, 2.83%, 7/15/2021 | 1,200,000 | 1,203,659 | |||
Series 2018-B, Class A2A, 2.96%, 6/15/2021 | 741,780 | 744,287 | |||
36,627,772 | |||||
CREDIT CARD — 10.6% | |||||
Evergreen Credit Card Trust: |
Table of Contents
Security Description | Principal Amount | Value | |||
Series 2018-2, Class A, 1 Month USD LIBOR + 0.35%, 2.09%, 7/15/2022 (a) (b) | $665,000 | $665,488 | |||
Series 2019-1, Class A1, 1 Month USD LIBOR + 0.48%, 2.22%, 1/15/2023 (a) (b) | 4,500,000 | 4,511,669 | |||
Golden Credit Card Trust: | |||||
Series 2019-1A, Class A, 1 Month USD LIBOR + 0.45%, 2.19%, 12/15/2022 (a) (b) | 2,550,000 | 2,554,686 | |||
Series 2018-3A, Class A, 1 Month USD LIBOR + 0.32%, 2.06%, 5/15/2023 (a) (b) | 1,100,000 | 1,100,296 | |||
Gracechurch Card Funding PLC Series 2018-1A, Class A, 1 Month USD LIBOR + 0.40%, 2.14%, 7/15/2022 (a) (b) | 500,000 | 500,161 | |||
Master Credit Card Trust Series 2019-1A, Class A, 1 Month USD LIBOR + 0.48%, 2.27%, 7/21/2022 (a) (b) | 3,400,000 | 3,406,138 | |||
Master Credit Card Trust II: | |||||
Series 2018-3A, Class A, 1 Month USD LIBOR + 0.34%, 2.13%, 1/21/2022 (a) (b) | 1,000,000 | 1,000,796 | |||
Series 2019-2A, Class A, 1 Month USD LIBOR + 0.39%, 2.18%, 1/21/2023 (a) (b) | 3,150,000 | 3,151,463 | |||
Trillium Credit Card Trust II: | |||||
Series 2018-1A, Class A, 1 Month USD LIBOR + 0.25%, 2.04%, 2/27/2023 (a) (b) | 1,200,000 | 1,200,236 | |||
Series 2018-2A, Class A, 1 Month USD LIBOR + 0.35%, 2.14%, 9/26/2023 (a) (b) | 3,775,000 | 3,777,544 | |||
Series 2019-1A, Class A, 1 Month USD LIBOR + 0.48%, 2.27%, 1/26/2024 (a) (b) | 1,175,000 | 1,178,525 | |||
23,047,002 | |||||
TOTAL ASSET-BACKED SECURITIES (Cost $59,638,395) | 59,674,774 | ||||
FOREIGN GOVERNMENT OBLIGATIONS — 0.1% | |||||
CANADA — 0.1% | |||||
Province of Quebec Canada Series MTN, 3 Month USD LIBOR + 0.13%, 2.06%, 9/21/2020 (a) (Cost $250,000) | 250,000 | 250,207 |
Security Description | Principal Amount | Value | |||
U.S. TREASURY OBLIGATIONS — 3.5% | |||||
Treasury Note 1.25%, 1/31/2020 | $7,540,000 | $7,537,055 | |||
MORTGAGE-BACKED SECURITIES — 1.9% | |||||
BHMS Series 2018-ATLS, Class A, Class A, 1 Month USD LIBOR + 1.25%, 2.99%, 7/15/2035 (a) (b) | 1,500,000 | 1,497,209 | |||
BX Commercial Mortgage Trust Series 2018-BIOA, Class A, 1 Month USD LIBOR + 0.67%, 2.41%, 3/15/2037 (a) (b) | 1,437,000 | 1,432,077 | |||
Credit Suisse Mortgage Capital Certificates Series 2019-ICE4, Class A, 1 Month USD LIBOR + 0.98%, 2.72%, 5/15/2036 (a) (b) | 1,210,000 | 1,211,838 | |||
TOTAL MORTGAGE-BACKED SECURITIES (Cost $4,134,005) | 4,141,124 |
Shares | |||
CERTIFICATE OF DEPOSIT — 0.2% | |||
Bank of Nova Scotia 2.07%, 2/21/2020 (a) (Cost $499,965) | 500,000 | 500,139 | |
TOTAL INVESTMENTS — 97.2% (Cost $211,520,372) | 211,843,426 | ||
OTHER ASSETS IN EXCESS OF LIABILITIES — 2.8% | 6,102,315 | ||
NET ASSETS — 100.0% | $217,945,741 |
(a) | Variable Rate Security - Interest rate shown is rate in effect at December 31, 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 37.0% of net assets as of December 31, 2019, are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
FRN | Floating Rate Note |
GMTN | Global Medium Term Note |
LIBOR | London Interbank Offered Rate |
MTN | Medium Term Note |
SOFR | Secured Overnight Financing Rate |
Table of Contents
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Corporate Bonds & Notes | $— | $139,740,127 | $— | $139,740,127 | ||||
Asset-Backed Securities | — | 59,674,774 | — | 59,674,774 | ||||
Foreign Government Obligations | — | 250,207 | — | 250,207 | ||||
U.S. Treasury Obligations | — | 7,537,055 | — | 7,537,055 | ||||
Mortgage-Backed Securities | — | 4,141,124 | — | 4,141,124 | ||||
Certificate of Deposit | — | 500,139 | — | 500,139 | ||||
TOTAL INVESTMENTS | $— | $211,843,426 | $— | $211,843,426 |
Number of Shares Held at 6/30/19 | Value at 6/30/19 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 12/31/19 | Value at 12/31/19 | Dividend Income | |||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 2,317,630 | $2,317,630 | $48,121,265 | $50,438,895 | $— | $— | — | $— | $50,821 |
Table of Contents
Security Description | Shares | Value | ||||
COMMON STOCKS — 99.3% | ||||||
BANKS — 4.1% | ||||||
Citigroup, Inc. | 23,834 | $1,904,098 | ||||
BIOTECHNOLOGY — 1.3% | ||||||
Biogen, Inc. (a) | 455 | 135,012 | ||||
Incyte Corp. (a) | 5,456 | 476,418 | ||||
611,430 | ||||||
CHEMICALS — 0.5% | ||||||
Corteva, Inc. | 7,352 | 217,325 | ||||
CONSUMER FINANCE — 3.2% | ||||||
Discover Financial Services | 6,332 | 537,080 | ||||
Synchrony Financial | 26,204 | 943,606 | ||||
1,480,686 | ||||||
ELECTRIC UTILITIES — 0.6% | ||||||
Exelon Corp. | 5,951 | 271,306 | ||||
ENTERTAINMENT — 0.5% | ||||||
Take-Two Interactive Software, Inc. (a) | 1,903 | 232,984 | ||||
EQUITY REAL ESTATE INVESTMENT TRUSTS (REITS) — 5.5% | ||||||
American Tower Corp. REIT | 5,068 | 1,164,728 | ||||
STORE Capital Corp. REIT | 38,105 | 1,419,030 | ||||
2,583,758 | ||||||
FOOD PRODUCTS — 3.2% | ||||||
Tyson Foods, Inc. Class A | 16,269 | 1,481,130 | ||||
HEALTH CARE PROVIDERS & SERVICES — 5.0% | ||||||
CVS Health Corp. | 6,046 | 449,157 | ||||
HCA Healthcare, Inc. | 10,107 | 1,493,916 | ||||
Molina Healthcare, Inc. (a) | 2,931 | 397,707 | ||||
2,340,780 | ||||||
HOTELS, RESTAURANTS & LEISURE — 3.1% | ||||||
Starbucks Corp. | 16,738 | 1,471,605 | ||||
HOUSEHOLD PRODUCTS — 0.7% | ||||||
Procter & Gamble Co. | 2,527 | 315,622 | ||||
INDEPENDENT POWER AND RENEWABLE ELECTRICITY PRODUCERS — 4.9% | ||||||
AES Corp. | 12,075 | 240,292 | ||||
NRG Energy, Inc. | 26,057 | 1,035,766 | ||||
Vistra Energy Corp. | 44,611 | 1,025,607 | ||||
2,301,665 | ||||||
INSURANCE — 5.3% | ||||||
MetLife, Inc. | 23,713 | 1,208,652 | ||||
Prudential Financial, Inc. | 13,621 | 1,276,832 | ||||
2,485,484 | ||||||
INTERACTIVE MEDIA & SERVICES — 3.7% | ||||||
Alphabet, Inc. Class C (a) | 1,105 | 1,477,407 | ||||
Facebook, Inc. Class A (a) | 1,305 | 267,851 | ||||
1,745,258 |
Security Description | Shares | Value | ||||
INTERNET & DIRECT MARKETING RETAIL — 1.5% | ||||||
Amazon.com, Inc. (a) | 367 | $678,157 | ||||
IT SERVICES — 4.2% | ||||||
International Business Machines Corp. | 1,669 | 223,713 | ||||
PayPal Holdings, Inc. (a) | 12,689 | 1,372,569 | ||||
VeriSign, Inc. (a) | 1,941 | 373,992 | ||||
1,970,274 | ||||||
MACHINERY — 7.2% | ||||||
AGCO Corp. | 11,978 | 925,300 | ||||
Allison Transmission Holdings, Inc. | 21,236 | 1,026,124 | ||||
Cummins, Inc. | 7,785 | 1,393,204 | ||||
3,344,628 | ||||||
MEDIA — 2.6% | ||||||
Comcast Corp. Class A | 26,939 | 1,211,447 | ||||
MULTILINE RETAIL — 2.8% | ||||||
Target Corp. | 10,051 | 1,288,639 | ||||
OIL, GAS & CONSUMABLE FUELS — 3.7% | ||||||
Exxon Mobil Corp. | 9,149 | 638,417 | ||||
Valero Energy Corp. | 11,526 | 1,079,410 | ||||
1,717,827 | ||||||
PHARMACEUTICALS — 9.9% | ||||||
Eli Lilly & Co. | 11,235 | 1,476,616 | ||||
Johnson & Johnson | 12,620 | 1,840,880 | ||||
Merck & Co., Inc. | 14,357 | 1,305,769 | ||||
4,623,265 | ||||||
ROAD & RAIL — 0.2% | ||||||
Union Pacific Corp. | 582 | 105,220 | ||||
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT — 4.2% | ||||||
Intel Corp. | 33,017 | 1,976,068 | ||||
SOFTWARE — 10.3% | ||||||
Microsoft Corp. | 22,451 | 3,540,523 | ||||
Oracle Corp. | 24,108 | 1,277,242 | ||||
4,817,765 | ||||||
TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS — 7.5% | ||||||
Apple, Inc. | 11,940 | 3,506,181 | ||||
TOBACCO — 3.6% | ||||||
Philip Morris International, Inc. | 19,950 | 1,697,546 | ||||
TOTAL COMMON STOCKS (Cost $40,911,101) | 46,380,148 |
Table of Contents
Security Description | Shares | Value | ||||
SHORT-TERM INVESTMENT — 0.6% | ||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 1.57% (b) (c) (Cost $300,213) | 300,213 | $300,213 | ||||
TOTAL INVESTMENTS — 99.9% (Cost $41,211,314) | 46,680,361 | |||||
OTHER ASSETS IN EXCESS OF LIABILITIES — 0.1% | 34,637 | |||||
NET ASSETS — 100.0% | $46,714,998 |
(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 December 31, 2019 are shown in the Affiliate Table below. |
(c) | The rate shown is the annualized seven-day yield at December 31, 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 | $46,380,148 | $— | $— | $46,380,148 | ||||
Short-Term Investment | 300,213 | — | — | 300,213 | ||||
TOTAL INVESTMENTS | $46,680,361 | $— | $— | $46,680,361 |
Number of Shares Held at 6/30/19 | Value at 6/30/19 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 12/31/19 | Value at 12/31/19 | Dividend Income | |||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 255,902 | $255,902 | $571,416 | $527,105 | $— | $— | 300,213 | $300,213 | $3,362 |
Table of Contents
Security Description | Shares | Value | ||||
COMMON STOCKS — 98.5% | ||||||
AEROSPACE & DEFENSE — 0.2% | ||||||
L3Harris Technologies, Inc. | 365 | $72,223 | ||||
BIOTECHNOLOGY — 2.3% | ||||||
Biogen, Inc. (a) | 1,164 | 345,394 | ||||
Gilead Sciences, Inc. | 4,097 | 266,223 | ||||
Incyte Corp. (a) | 1,886 | 164,685 | ||||
776,302 | ||||||
COMMERCIAL SERVICES & SUPPLIES — 0.2% | ||||||
Copart, Inc. (a) | 556 | 50,563 | ||||
CONSUMER FINANCE — 2.9% | ||||||
American Express Co. | 1,059 | 131,835 | ||||
Synchrony Financial | 24,337 | 876,375 | ||||
1,008,210 | ||||||
EQUITY REAL ESTATE INVESTMENT TRUSTS (REITS) — 5.5% | ||||||
American Tower Corp. REIT | 5,604 | 1,287,911 | ||||
Public Storage REIT | 991 | 211,044 | ||||
SBA Communications Corp. REIT | 1,520 | 366,305 | ||||
1,865,260 | ||||||
HEALTH CARE PROVIDERS & SERVICES — 6.6% | ||||||
AmerisourceBergen Corp. | 5,844 | 496,857 | ||||
HCA Healthcare, Inc. | 7,710 | 1,139,615 | ||||
McKesson Corp. | 3,129 | 432,803 | ||||
Molina Healthcare, Inc. (a) | 1,290 | 175,040 | ||||
2,244,315 | ||||||
HEALTH CARE TECHNOLOGY — 1.1% | ||||||
Veeva Systems, Inc. Class A (a) | 2,684 | 377,532 | ||||
HOTELS, RESTAURANTS & LEISURE — 3.7% | ||||||
Starbucks Corp. | 14,372 | 1,263,586 | ||||
INDEPENDENT POWER AND RENEWABLE ELECTRICITY PRODUCERS — 2.5% | ||||||
NRG Energy, Inc. | 9,709 | 385,933 | ||||
Vistra Energy Corp. | 20,495 | 471,180 | ||||
857,113 | ||||||
INSURANCE — 1.1% | ||||||
MetLife, Inc. | 5,716 | 291,344 | ||||
Prudential Financial, Inc. | 932 | 87,366 | ||||
378,710 | ||||||
INTERACTIVE MEDIA & SERVICES — 4.3% | ||||||
Alphabet, Inc. Class C (a) | 672 | 898,477 | ||||
Facebook, Inc. Class A (a) | 2,795 | 573,674 | ||||
1,472,151 | ||||||
INTERNET & DIRECT MARKETING RETAIL — 5.3% | ||||||
Amazon.com, Inc. (a) | 987 | 1,823,818 | ||||
IT SERVICES — 8.2% | ||||||
International Business Machines Corp. | 1,284 | 172,107 |
Security Description | Shares | Value | ||||
Okta, Inc. (a) | 4,737 | $546,508 | ||||
PayPal Holdings, Inc. (a) | 11,465 | 1,240,169 | ||||
VeriSign, Inc. (a) | 4,366 | 841,241 | ||||
2,800,025 | ||||||
MACHINERY — 3.9% | ||||||
AGCO Corp. | 2,392 | 184,782 | ||||
Allison Transmission Holdings, Inc. | 12,934 | 624,971 | ||||
Cummins, Inc. | 3,021 | 540,638 | ||||
1,350,391 | ||||||
MEDIA — 1.9% | ||||||
Charter Communications, Inc. Class A (a) | 1,303 | 632,059 | ||||
MULTILINE RETAIL — 2.4% | ||||||
Target Corp. | 6,526 | 836,699 | ||||
PHARMACEUTICALS — 7.6% | ||||||
Eli Lilly & Co. | 10,389 | 1,365,426 | ||||
Johnson & Johnson | 7,753 | 1,130,930 | ||||
Merck & Co., Inc. | 1,140 | 103,683 | ||||
2,600,039 | ||||||
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT — 6.8% | ||||||
Broadcom, Inc. | 3,517 | 1,111,442 | ||||
NXP Semiconductors NV | 9,656 | 1,228,823 | ||||
2,340,265 | ||||||
SOFTWARE — 17.4% | ||||||
Adobe, Inc. (a) | 1,790 | 590,360 | ||||
Microsoft Corp. | 18,415 | 2,904,046 | ||||
Oracle Corp. | 18,602 | 985,534 | ||||
RingCentral, Inc. Class A (a) | 451 | 76,070 | ||||
ServiceNow, Inc. (a) | 3,882 | 1,095,966 | ||||
Zscaler, Inc. (a) | 6,346 | 295,089 | ||||
5,947,065 | ||||||
SPECIALTY RETAIL — 1.3% | ||||||
Best Buy Co., Inc. | 4,981 | 437,332 | ||||
TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS — 9.9% | ||||||
Apple, Inc. | 11,562 | 3,395,181 | ||||
TOBACCO — 3.4% | ||||||
Altria Group, Inc. | 23,073 | 1,151,573 | ||||
TOTAL COMMON STOCKS (Cost $30,399,676) | 33,680,412 |
Table of Contents
Security Description | Shares | Value | ||||
SHORT-TERM INVESTMENT — 1.5% | ||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 1.57% (b) (c) (Cost $511,108) | 511,108 | $511,108 | ||||
TOTAL INVESTMENTS — 100.0% (Cost $30,910,784) | 34,191,520 | |||||
OTHER ASSETS IN EXCESS OF LIABILITIES — 0.0% (d) | 15,124 | |||||
NET ASSETS — 100.0% | $34,206,644 |
(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 December 31, 2019 are shown in the Affiliate Table below. |
(c) | The rate shown is the annualized seven-day yield at December 31, 2019. |
(d) | Amount is less than 0.05% of net assets. |
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 | $33,680,412 | $— | $— | $33,680,412 | ||||
Short-Term Investment | 511,108 | — | — | 511,108 | ||||
TOTAL INVESTMENTS | $34,191,520 | $— | $— | $34,191,520 |
Number of Shares Held at 6/30/19 | Value at 6/30/19 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 12/31/19 | Value at 12/31/19 | Dividend Income | |||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 460,630 | $460,630 | $476,870 | $426,392 | $— | $— | 511,108 | $511,108 | $5,369 |
Table of Contents
Security Description | Shares | Value | ||||
COMMON STOCKS — 99.1% | ||||||
BANKS — 9.4% | ||||||
Bank of America Corp. | 22,918 | $807,172 | ||||
Citigroup, Inc. | 19,558 | 1,562,489 | ||||
JPMorgan Chase & Co. | 2,428 | 338,463 | ||||
Wells Fargo & Co. | 10,078 | 542,196 | ||||
3,250,320 | ||||||
BEVERAGES — 1.0% | ||||||
Molson Coors Brewing Co. Class B | 6,086 | 328,035 | ||||
CAPITAL MARKETS — 2.7% | ||||||
Charles Schwab Corp. | 13,738 | 653,379 | ||||
Morgan Stanley | 5,730 | 292,918 | ||||
946,297 | ||||||
CHEMICALS — 3.5% | ||||||
DuPont de Nemours, Inc. | 10,634 | 682,703 | ||||
LyondellBasell Industries NV Class A | 5,747 | 542,976 | ||||
1,225,679 | ||||||
CONSUMER FINANCE — 1.5% | ||||||
Discover Financial Services | 6,276 | 532,330 | ||||
DIVERSIFIED TELECOMMUNICATION SERVICES — 1.2% | ||||||
Verizon Communications, Inc. | 6,844 | 420,222 | ||||
ELECTRIC UTILITIES — 3.1% | ||||||
Exelon Corp. | 23,326 | 1,063,432 | ||||
ELECTRICAL EQUIPMENT — 5.2% | ||||||
Eaton Corp. PLC | 11,972 | 1,133,988 | ||||
Regal Beloit Corp. | 7,842 | 671,354 | ||||
1,805,342 | ||||||
EQUITY REAL ESTATE INVESTMENT TRUSTS (REITS) — 7.5% | ||||||
Medical Properties Trust, Inc. REIT | 36,613 | 772,901 | ||||
Public Storage REIT | 3,689 | 785,610 | ||||
Spirit Realty Capital, Inc. REIT | 5,080 | 249,834 | ||||
STORE Capital Corp. REIT | 21,155 | 787,812 | ||||
2,596,157 | ||||||
FOOD PRODUCTS — 3.0% | ||||||
Tyson Foods, Inc. Class A | 11,430 | 1,040,587 | ||||
HEALTH CARE EQUIPMENT & SUPPLIES — 1.3% | ||||||
Medtronic PLC | 3,902 | 442,682 | ||||
HEALTH CARE PROVIDERS & SERVICES — 7.0% | ||||||
Cigna Corp. | 1,905 | 389,553 | ||||
CVS Health Corp. | 3,511 | 260,832 | ||||
HCA Healthcare, Inc. | 7,271 | 1,074,727 | ||||
McKesson Corp. | 4,997 | 691,185 | ||||
2,416,297 | ||||||
HOTELS, RESTAURANTS & LEISURE — 0.8% | ||||||
Darden Restaurants, Inc. | 2,692 | 293,455 |
Security Description | Shares | Value | ||||
HOUSEHOLD DURABLES — 2.6% | ||||||
Toll Brothers, Inc. | 22,349 | $883,009 | ||||
INDEPENDENT POWER AND RENEWABLE ELECTRICITY PRODUCERS — 3.8% | ||||||
AES Corp. | 17,940 | 357,006 | ||||
NRG Energy, Inc. | 10,082 | 400,760 | ||||
Vistra Energy Corp. | 24,086 | 553,737 | ||||
1,311,503 | ||||||
INSURANCE — 5.3% | ||||||
Hartford Financial Services Group, Inc. | 3,058 | 185,835 | ||||
MetLife, Inc. | 12,224 | 623,057 | ||||
Prudential Financial, Inc. | 6,768 | 634,432 | ||||
Travelers Cos., Inc. | 2,817 | 385,788 | ||||
1,829,112 | ||||||
IT SERVICES — 1.9% | ||||||
Fiserv, Inc. (a) | 5,816 | 672,504 | ||||
MACHINERY — 4.3% | ||||||
AGCO Corp. | 9,033 | 697,799 | ||||
Cummins, Inc. | 4,388 | 785,277 | ||||
1,483,076 | ||||||
MEDIA — 3.0% | ||||||
Comcast Corp. Class A | 22,785 | 1,024,641 | ||||
MULTILINE RETAIL — 3.8% | ||||||
Target Corp. | 10,135 | 1,299,408 | ||||
OIL, GAS & CONSUMABLE FUELS — 8.7% | ||||||
Chevron Corp. | 1,681 | 202,577 | ||||
Equitrans Midstream Corp. | 14,853 | 198,436 | ||||
Exxon Mobil Corp. | 9,039 | 630,742 | ||||
Phillips 66 | 10,359 | 1,154,096 | ||||
Valero Energy Corp. | 8,923 | 835,639 | ||||
3,021,490 | ||||||
PHARMACEUTICALS — 9.0% | ||||||
Eli Lilly & Co. | 6,827 | 897,273 | ||||
Johnson & Johnson | 12,069 | 1,760,505 | ||||
Merck & Co., Inc. | 4,842 | 440,380 | ||||
3,098,158 | ||||||
ROAD & RAIL — 1.0% | ||||||
Union Pacific Corp. | 1,964 | 355,072 | ||||
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT — 3.1% | ||||||
Intel Corp. | 18,157 | 1,086,696 | ||||
SOFTWARE — 2.7% | ||||||
Microsoft Corp. | 3,179 | 501,329 | ||||
Oracle Corp. | 7,887 | 417,853 | ||||
919,182 | ||||||
TOBACCO — 2.7% | ||||||
Philip Morris International, Inc. | 10,887 | 926,375 | ||||
TOTAL COMMON STOCKS (Cost $30,425,511) | 34,271,061 |
Table of Contents
Security Description | Shares | Value | ||||
SHORT-TERM INVESTMENT — 0.8% | ||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 1.57% (b) (c) (Cost $266,463) | 266,463 | $266,463 | ||||
TOTAL INVESTMENTS — 99.9% (Cost $30,691,974) | 34,537,524 | |||||
OTHER ASSETS IN EXCESS OF LIABILITIES — 0.1% | 26,296 | |||||
NET ASSETS — 100.0% | $34,563,820 |
(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 December 31, 2019 are shown in the Affiliate Table below. |
(c) | The rate shown is the annualized seven-day yield at December 31, 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 | $34,271,061 | $— | $— | $34,271,061 | ||||
Short-Term Investment | 266,463 | — | — | 266,463 | ||||
TOTAL INVESTMENTS | $34,537,524 | $— | $— | $34,537,524 |
Number of Shares Held at 6/30/19 | Value at 6/30/19 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 12/31/19 | Value at 12/31/19 | Dividend Income | |||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 286,017 | $286,017 | $520,970 | $540,524 | $— | $— | 266,463 | $266,463 | $3,346 |
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* | $25,137,733 | $16,986,347 | $11,215,700 | ||
Investments in affiliated issuers, at value | 81,829,326 | 140,203,475 | 284,252,419 | ||
Total Investments | 106,967,059 | 157,189,822 | 295,468,119 | ||
Cash | — | — | — | ||
Receivable for investments sold | — | — | — | ||
Receivable for fund shares sold | — | 342,309 | — | ||
Dividends receivable — unaffiliated issuers | — | — | — | ||
Dividends receivable — affiliated issuers | 87,259 | 1,004 | 374,811 | ||
Interest receivable — unaffiliated issuers | — | — | — | ||
Securities lending income receivable — unaffiliated issuers | 2,514 | 3,970 | 2,398 | ||
Securities lending income receivable — affiliated issuers | 3,718 | 24,224 | 24,656 | ||
TOTAL ASSETS | 107,060,550 | 157,561,329 | 295,869,984 | ||
LIABILITIES | |||||
Payable upon return of securities loaned | 7,773,504 | 15,293,647 | 16,843,340 | ||
Payable for investments purchased | — | 333,719 | — | ||
Advisory fee payable | 5,017 | 21,800 | 26,618 | ||
Trustees’ fees and expenses payable | 401 | 236 | 665 | ||
TOTAL LIABILITIES | 7,778,922 | 15,649,402 | 16,870,623 | ||
NET ASSETS | $99,281,628 | $141,911,927 | $278,999,361 | ||
NET ASSETS CONSIST OF: | |||||
Paid-in Capital | $139,378,484 | $140,907,712 | $252,898,346 | ||
Total distributable earnings (loss) | (40,096,856) | 1,004,215 | 26,101,015 | ||
NET ASSETS | $99,281,628 | $141,911,927 | $278,999,361 | ||
NET ASSET VALUE PER SHARE | |||||
Net asset value per share | $25.46 | $34.28 | $40.09 | ||
Shares outstanding (unlimited amount authorized, no par value) | 3,900,000 | 4,140,000 | 6,960,000 | ||
COST OF INVESTMENTS: | |||||
Investments in unaffiliated issuers | $26,665,655 | $16,801,265 | $10,394,862 | ||
Investments in affiliated issuers | 80,976,570 | 136,365,787 | 257,876,026 | ||
Total cost of investments | $107,642,225 | $153,167,052 | $268,270,888 | ||
* Includes investments in securities on loan, at value | $16,675,840 | $19,005,240 | $32,349,550 |
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 | |||
$211,843,426 | $46,380,148 | $33,680,412 | $34,271,061 | |||
— | 300,213 | 511,108 | 266,463 | |||
211,843,426 | 46,680,361 | 34,191,520 | 34,537,524 | |||
5,801,034 | — | — | — | |||
236,583 | — | — | — | |||
2,018,024 | 7,494 | — | — | |||
— | 49,415 | 33,598 | 43,278 | |||
7,349 | 577 | 780 | 520 | |||
636,311 | — | — | — | |||
— | — | — | — | |||
— | — | — | — | |||
220,542,727 | 46,737,847 | 34,225,898 | 34,581,322 | |||
— | — | — | — | |||
2,561,311 | — | — | — | |||
35,579 | 22,788 | 19,103 | 17,449 | |||
96 | 61 | 151 | 53 | |||
2,596,986 | 22,849 | 19,254 | 17,502 | |||
$217,945,741 | $46,714,998 | $34,206,644 | $34,563,820 | |||
$217,737,649 | $41,216,216 | $31,708,789 | $31,669,638 | |||
208,092 | 5,498,782 | 2,497,855 | 2,894,182 | |||
$217,945,741 | $46,714,998 | $34,206,644 | $34,563,820 | |||
$40.36 | $89.84 | $90.02 | $72.01 | |||
5,400,000 | 520,000 | 380,000 | 480,000 | |||
$211,520,372 | $40,911,101 | $30,399,676 | $30,425,511 | |||
— | 300,213 | 511,108 | 266,463 | |||
$211,520,372 | $41,211,314 | $30,910,784 | $30,691,974 | |||
$— | $— | $— | $— |
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 | 366,488 | 564,740 | 212,563 | ||
Dividend income — affiliated issuers | 1,969,350 | 2,565,292 | 4,421,495 | ||
Unaffiliated securities lending income | 7,811 | 21,890 | 34,212 | ||
Affiliated securities lending income | 41,990 | 137,970 | 144,998 | ||
Foreign taxes withheld | — | — | — | ||
TOTAL INVESTMENT INCOME (LOSS) | 2,385,639 | 3,289,892 | 4,813,268 | ||
EXPENSES | |||||
Advisory fee | 42,821 | 113,158 | 114,074 | ||
Trustees’ fees and expenses | 1,043 | 919 | 2,238 | ||
Miscellaneous expenses | 103 | 77 | 200 | ||
TOTAL EXPENSES | 43,967 | 114,154 | 116,512 | ||
NET INVESTMENT INCOME (LOSS) | $2,341,672 | $3,175,738 | $4,696,756 | ||
REALIZED AND UNREALIZED GAIN (LOSS) | |||||
Net realized gain (loss) on: | |||||
Investments — unaffiliated issuers | (205,790) | 144,728 | (136,641) | ||
Investments — affiliated issuers | (1,035,460) | (371,920) | 2,755,545 | ||
In-kind redemptions — unaffiliated issuers | (352,199) | (336,740) | 6,916 | ||
In-kind redemptions — affiliated issuers | 786,804 | 1,293,707 | 175,205 | ||
Net realized gain (loss) | (806,645) | 729,775 | 2,801,025 | ||
Net change in unrealized appreciation/depreciation on: | |||||
Investments — unaffiliated issuers | 858,511 | 974,640 | 509,821 | ||
Investments — affiliated issuers | 868,216 | 1,593,804 | 8,540,377 | ||
Net change in unrealized appreciation/depreciation | 1,726,727 | 2,568,444 | 9,050,198 | ||
NET REALIZED AND UNREALIZED GAIN (LOSS) | 920,082 | 3,298,219 | 11,851,223 | ||
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $3,261,754 | $6,473,957 | $16,547,979 |
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 | |||
2,557,685 | $— | $— | $— | |||
7,453 | 453,397 | 320,351 | 494,956 | |||
50,821 | 3,362 | 5,369 | 3,346 | |||
— | — | — | — | |||
— | — | — | — | |||
— | — | (1,289) | — | |||
2,615,959 | 456,759 | 324,431 | 498,302 | |||
196,957 | 117,590 | 115,561 | 102,521 | |||
1,371 | 315 | 319 | 275 | |||
102 | 26 | 30 | 27 | |||
198,430 | 117,931 | 115,910 | 102,823 | |||
$2,417,529 | $338,828 | $208,521 | $395,479 | |||
114,015 | 48,415 | (568,114) | (427,304) | |||
— | — | — | — | |||
— | 540,475 | 2,053,573 | 311,015 | |||
— | — | — | — | |||
114,015 | 588,890 | 1,485,459 | (116,289) | |||
25,507 | 3,483,165 | 1,454,123 | 3,003,048 | |||
— | — | — | — | |||
25,507 | 3,483,165 | 1,454,123 | 3,003,048 | |||
139,522 | 4,072,055 | 2,939,582 | 2,886,759 | |||
$2,557,051 | $4,410,883 | $3,148,103 | $3,282,238 |
Table of Contents
SPDR SSGA Multi-Asset Real Return ETF | SPDR SSGA Income Allocation ETF | ||||||
Six Months Ended 12/31/19 (Unaudited) | Year Ended 6/30/19 | Six Months Ended 12/31/19 (Unaudited) | Year Ended 6/30/19 | ||||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||||||
Net investment income (loss) | $2,341,672 | $3,631,029 | $3,175,738 | $4,637,548 | |||
Net realized gain (loss) | (806,645) | (2,143,100) | 729,775 | 4,363,213 | |||
Net change in unrealized appreciation/depreciation | 1,726,727 | (6,389,726) | 2,568,444 | (971,140) | |||
Net increase (decrease) in net assets resulting from operations | 3,261,754 | (4,901,797) | 6,473,957 | 8,029,621 | |||
Net equalization credits and charges | (17,051) | 24,895 | 82,779 | 105,971 | |||
Distributions to shareholders | (2,235,273) | (3,617,253) | (3,073,106) | (4,936,932) | |||
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||||||
Proceeds from sale of shares sold | 4,497,784 | 33,283,792 | 51,687,367 | 23,973,127 | |||
Cost of shares redeemed | (19,034,479) | (55,714,874) | (17,789,086) | (14,842,690) | |||
Net income equalization | 17,051 | (24,895) | (82,779) | (105,971) | |||
Other Capital | — | — | — | 686 | |||
Net increase (decrease) in net assets from beneficial interest transactions | (14,519,644) | (22,455,977) | 33,815,502 | 9,025,152 | |||
Net increase (decrease) in net assets during the period | (13,510,214) | (30,950,132) | 37,299,132 | 12,223,812 | |||
Net assets at beginning of period | 112,791,842 | 143,741,974 | 104,612,795 | 92,388,983 | |||
NET ASSETS AT END OF PERIOD | $99,281,628 | $112,791,842 | $141,911,927 | $104,612,795 | |||
SHARES OF BENEFICIAL INTEREST: | |||||||
Shares sold | 180,000 | 1,350,000 | 1,530,000 | 750,000 | |||
Shares redeemed | (760,000) | (2,270,000) | (530,000) | (460,000) | |||
Net increase (decrease) from share transactions | (580,000) | (920,000) | 1,000,000 | 290,000 |
Table of Contents
SPDR SSGA Global Allocation ETF | SPDR SSGA Ultra Short Term Bond ETF | SPDR MFS Systematic Core Equity ETF | ||||||||
Six Months Ended 12/31/19 (Unaudited) | Year Ended 6/30/19 | Six Months Ended 12/31/19 (Unaudited) | Year Ended 6/30/19 | Six Months Ended 12/31/19 (Unaudited) | Year Ended 6/30/19 | |||||
$4,696,756 | $7,053,566 | $2,417,529 | $3,320,929 | $338,828 | $557,940 | |||||
2,801,025 | 7,468,496 | 114,015 | 190,469 | 588,890 | 1,681,070 | |||||
9,050,198 | (3,125,237) | 25,507 | 292,631 | 3,483,165 | 1,551,309 | |||||
16,547,979 | 11,396,825 | 2,557,051 | 3,804,029 | 4,410,883 | 3,790,319 | |||||
31,812 | 42,319 | 65,006 | 87,297 | 4,979 | 1,861 | |||||
(4,690,294) | (7,044,570) | (2,842,973) | (3,073,623) | (357,313) | (561,229) | |||||
13,016,406 | 66,920,704 | 67,648,806 | 152,893,417 | 8,428,314 | 18,295,264 | |||||
(1,564,437) | (64,514,651) | (17,166,169) | (36,316,451) | (4,870,654) | (12,523,740) | |||||
(31,812) | (42,319) | (65,006) | (87,297) | (4,979) | (1,861) | |||||
2,474 | — | 29,686 | 68,420 | 468 | 314 | |||||
11,422,631 | 2,363,734 | 50,447,317 | 116,558,089 | 3,553,149 | 5,769,977 | |||||
23,312,128 | 6,758,308 | 50,226,401 | 117,375,792 | 7,611,698 | 9,000,928 | |||||
255,687,233 | 248,928,925 | 167,719,340 | 50,343,548 | 39,103,300 | 30,102,372 | |||||
$278,999,361 | $255,687,233 | $217,945,741 | $167,719,340 | $46,714,998 | $39,103,300 | |||||
330,000 | 1,850,000 | 1,675,000 | 3,800,000 | 100,000 | 240,000 | |||||
(40,000) | (1,780,000) | (425,000) | (900,000) | (60,000) | (160,000) | |||||
290,000 | 70,000 | 1,250,000 | 2,900,000 | 40,000 | 80,000 |
Table of Contents
SPDR MFS Systematic Growth Equity ETF | SPDR MFS Systematic Value Equity ETF | ||||||
Six Months Ended 12/31/19 (Unaudited) | Year Ended 6/30/19 | Six Months Ended 12/31/19 (Unaudited) | Year Ended 6/30/19 | ||||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||||||
Net investment income (loss) | $208,521 | $410,349 | $395,479 | $756,480 | |||
Net realized gain (loss) | 1,485,459 | 1,275,022 | (116,289) | 128,129 | |||
Net change in unrealized appreciation/depreciation | 1,454,123 | 167,078 | 3,003,048 | (36,634) | |||
Net increase (decrease) in net assets resulting from operations | 3,148,103 | 1,852,449 | 3,282,238 | 847,975 | |||
Net equalization credits and charges | (14,600) | (10,318) | (5,226) | 1,385 | |||
Distributions to shareholders | (205,808) | (879,302) | (395,804) | (1,072,684) | |||
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||||||
Proceeds from sale of shares sold | 8,301,401 | 4,121,088 | — | 6,702,411 | |||
Cost of shares redeemed | (11,398,617) | (15,157,132) | (2,083,031) | (5,670,724) | |||
Net income equalization | 14,600 | 10,318 | 5,226 | (1,385) | |||
Other Capital | 262 | 332 | 488 | 272 | |||
Net increase (decrease) in net assets from beneficial interest transactions | (3,082,354) | (11,025,394) | (2,077,317) | 1,030,574 | |||
Net increase (decrease) in net assets during the period | (154,659) | (10,062,565) | 803,891 | 807,250 | |||
Net assets at beginning of period | 34,361,303 | 44,423,868 | 33,759,929 | 32,952,679 | |||
NET ASSETS AT END OF PERIOD | $34,206,644 | $34,361,303 | $34,563,820 | $33,759,929 | |||
SHARES OF BENEFICIAL INTEREST: | |||||||
Shares sold | 100,000 | 50,000 | — | 100,000 | |||
Shares redeemed | (130,000) | (190,000) | (30,000) | (90,000) | |||
Net increase (decrease) from share transactions | (30,000) | (140,000) | (30,000) | 10,000 |
Table of Contents
SPDR SSGA Multi-Asset Real Return ETF | |||||||||||
Six Months Ended 12/31/19 (Unaudited) | 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 | $25.18 | $26.62 | $23.97 | $24.38 | $25.85 | $30.86 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (b) | 0.57 | 0.69 | 0.53 | 0.56 | 0.30 | 0.43 | |||||
Net realized and unrealized gain (loss) (c) | 0.28 | (1.43) | 2.64 | (0.44) | (1.43) | (5.02) | |||||
Total from investment operations | 0.85 | (0.74) | 3.17 | 0.12 | (1.13) | (4.59) | |||||
Net equalization credits and charges | (0.00)(d) | 0.00(d) | (0.00)(d) | 0.01 | 0.01 | 0.01 | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (0.57) | (0.70) | (0.52) | (0.54) | (0.35) | (0.43) | |||||
Net asset value, end of period | $25.46 | $25.18 | $26.62 | $23.97 | $24.38 | $25.85 | |||||
Total return (e) | 3.38% | (2.71)% | 13.26% | 0.56% | (4.22)% | (14.84)% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $99,282 | $112,792 | $143,742 | $115,075 | $80,441 | $140,895 | |||||
Ratios to average net assets: | |||||||||||
Total expenses (f) | 0.08%(g) | 0.12% | 0.22% | 0.22% | 0.28% | 0.23% | |||||
Net investment income (loss) | 4.52%(g) | 2.76% | 2.04% | 2.28% | 1.29% | 1.53% | |||||
Portfolio turnover rate | 13%(h) | 28% | 44% | 46%(i) | 25%(i) | 33%(i) |
(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. |
(b) | Per share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the period. |
(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. Broker commission charges are not included in this calculation. |
(f) | Does not include expenses of the Underlying Funds in which the Fund invests. |
(g) | Annualized. |
(h) | Not annualized. |
(i) | Portfolio turnover is from the Fund's Portfolio prior to discontinuance of master-feeder structure. |
Table of Contents
SPDR SSGA Income Allocation ETF | |||||||||||
Six Months Ended 12/31/19 (Unaudited) | 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 | $33.32 | $32.42 | $32.33 | $31.23 | $31.16 | $32.70 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (b) | 0.89 | 1.53 | 1.02 | 1.10 | 0.93 | 0.97 | |||||
Net realized and unrealized gain (loss) (c) | 0.87 | 0.91 | 0.09 | 0.98 | 0.22 | (1.51) | |||||
Total from investment operations | 1.76 | 2.44 | 1.11 | 2.08 | 1.15 | (0.54) | |||||
Net equalization credits and charges | 0.02 | 0.03 | (0.01) | (0.01) | (0.02) | 0.02 | |||||
Other capital | — | 0.00(d) | — | — | — | — | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (0.82) | (1.57) | (1.01) | (0.97) | (1.06) | (1.02) | |||||
Net asset value, end of period | $34.28 | $33.32 | $32.42 | $32.33 | $31.23 | $31.16 | |||||
Total return (e) | 5.37% | 7.93% | 3.34% | 6.78% | 3.77% | (1.59)% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $141,912 | $104,613 | $92,389 | $95,376 | $104,605 | $120,020 | |||||
Ratios to average net assets: | |||||||||||
Total expenses (f) | 0.19%(g) | 0.18% | 0.39% | 0.37% | 0.37% | 0.35% | |||||
Net investment income (loss) | 5.21%(g) | 4.71% | 3.07% | 3.49% | 3.07% | 3.00% | |||||
Portfolio turnover rate | 12%(h) | 71% | 29% | 47%(i) | 54%(i) | 64%(i) |
(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. |
(b) | Per share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the period. |
(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) | Annualized. |
(h) | Not annualized. |
(i) | Portfolio turnover is from the Fund's Portfolio prior to discontinuance of master-feeder structure. |
Table of Contents
SPDR SSGA Global Allocation ETF | |||||||||||
Six Months Ended 12/31/19 (Unaudited) | 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 | $38.33 | $37.72 | $35.52 | $33.35 | $34.61 | $35.47 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (b) | 0.70 | 1.03 | 0.81 | 0.99 | 0.81 | 0.92 | |||||
Net realized and unrealized gain (loss) (c) | 1.74 | 0.57 | 2.18 | 2.03 | (1.09) | (0.73) | |||||
Total from investment operations | 2.44 | 1.60 | 2.99 | 3.02 | (0.28) | 0.19 | |||||
Net equalization credits and charges (b) | 0.00(d) | 0.01 | 0.01 | 0.00(d) | 0.02 | 0.05 | |||||
Other capital | 0.00(d) | — | — | — | — | — | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (0.68) | (1.00) | (0.80) | (0.85) | (0.94) | (0.91) | |||||
Net realized gains | — | — | — | — | (0.06) | (0.19) | |||||
Total distributions | (0.68) | (1.00) | (0.80) | (0.85) | (1.00) | (1.10) | |||||
Net asset value, end of period | $40.09 | $38.33 | $37.72 | $35.52 | $33.35 | $34.61 | |||||
Total return (e) | 6.39% | 4.37% | 8.46% | 9.14% | (0.63)% | 0.66% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $278,999 | $255,687 | $248,929 | $207,780 | $185,112 | $143,655 | |||||
Ratios to average net assets: | |||||||||||
Total expenses (f) | 0.09%(g) | 0.15% | 0.20% | 0.20% | 0.20% | 0.20% | |||||
Net expenses | 0.09%(g) | 0.15% | 0.09% | 0.01% | 0.06% | 0.05% | |||||
Net investment income (loss) | 3.56%(g) | 2.76% | 2.14% | 2.91% | 2.45% | 2.60% | |||||
Portfolio turnover rate | 37%(h) | 71% | 43% | 90%(i) | 86%(i) | 98%(i) |
(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. |
(b) | Per share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the period. |
(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) | Annualized. |
(h) | Not annualized. |
(i) | Portfolio turnover is from the Fund's Portfolio prior to discontinuance of master-feeder structure. |
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SPDR SSGA Ultra Short Term Bond ETF | |||||||||||
Six Months Ended 12/31/19 (Unaudited) | 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 | $40.41 | $40.27 | $40.26 | $40.06 | $40.05 | $40.10 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (b) | 0.50 | 1.02 | 0.68 | 0.44 | 0.27 | 0.13 | |||||
Net realized and unrealized gain (loss) (c) | 0.02 | 0.04 | (0.14) | 0.13 | (0.21) | (0.05) | |||||
Total from investment operations | 0.52 | 1.06 | 0.54 | 0.57 | 0.06 | 0.08 | |||||
Net equalization credits and charges (b) | 0.01 | 0.03 | 0.04 | (0.00)(d) | 0.07 | 0.00(d) | |||||
Other capital (b) | 0.01 | 0.02 | 0.06 | 0.05 | 0.12 | 0.01 | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (0.59) | (0.97) | (0.63) | (0.42) | (0.18) | (0.14) | |||||
Net realized gains | — | — | — | — | (0.06) | — | |||||
Total distributions | (0.59) | (0.97) | (0.63) | (0.42) | (0.24) | (0.14) | |||||
Net asset value, end of period | $40.36 | $40.41 | $40.27 | $40.26 | $40.06 | $40.05 | |||||
Total return (e) | 1.33% | 2.79% | 1.60% | 1.53% | 0.65% | 0.20% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $217,946 | $167,719 | $50,344 | $18,117 | $24,039 | $16,018 | |||||
Ratios to average net assets: | |||||||||||
Total expenses | 0.20%(f) | 0.20% | 0.20% | 0.20% | 0.20% | 0.20% | |||||
Net investment income (loss) | 2.45%(f) | 2.54% | 1.70% | 1.09% | 0.69% | 0.33% | |||||
Portfolio turnover rate | 35%(g) | 100% | 76%(h) | 83%(h) | 407%(h) | 79%(h) |
(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. |
(b) | Per share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the period. |
(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) | Not annualized. |
(h) | Portfolio turnover is from the Fund's Portfolio prior to discontinuance of master-feeder structure. |
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SPDR MFS Systematic Core Equity ETF | |||||||||||
Six Months Ended 12/31/19 (Unaudited) | 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 | $81.47 | $75.26 | $68.62 | $58.09 | $58.53 | $53.60 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (b) | 0.73 | 1.34 | 1.13 | 0.97 | 1.020 | 0.81 | |||||
Net realized and unrealized gain (loss) (c) | 8.39 | 6.20 | 7.30 | 10.53 | 0.00(d) | 6.48 | |||||
Total from investment operations | 9.12 | 7.54 | 8.43 | 11.50 | 1.02 | 7.29 | |||||
Net equalization credits and charges (b) | 0.01 | 0.00(d) | 0.05 | — | 0.20 | (0.04) | |||||
Other capital (b) | 0.00(d) | 0.00(d) | (0.00)(d) | — | — | — | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (0.76) | (1.33) | (0.96) | (0.97) | (1.03) | (0.88) | |||||
Net realized gains | — | — | (0.88) | — | (0.63) | (1.44) | |||||
Total distributions | (0.76) | (1.33) | (1.84) | (0.97) | (1.66) | (2.32) | |||||
Net asset value, end of period | $89.84 | $81.47 | $75.26 | $68.62 | $58.09 | $58.53 | |||||
Total return (e) | 11.25% | 10.11% | 12.36% | 19.92% | 2.21% | 13.70% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $46,715 | $39,103 | $30,102 | $6,862 | $5,809 | $2,926 | |||||
Ratios to average net assets: | |||||||||||
Total expenses | 0.60%(f) | 0.60% | 0.60% | 0.60% | 0.61% | 0.60% | |||||
Net investment income (loss) | 1.73%(f) | 1.70% | 1.51% | 1.52% | 1.78% | 1.42% | |||||
Portfolio turnover rate | 21%(g) | 65%(h) | 67%(h) | 67%(h) | 39%(h) | 54%(h) |
(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. |
(b) | Per share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the period. |
(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) | Not annualized. |
(h) | Portfolio turnover is from the Fund's Portfolio prior to discontinuance of master-feeder structure. |
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SPDR MFS Systematic Growth Equity ETF | |||||||||||
Six Months Ended 12/31/19 (Unaudited) | 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 | $83.81 | $80.77 | $71.05 | $60.67 | $60.24 | $53.56 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (b) | 0.46 | 0.87 | 0.61 | 0.70 | 0.63 | 0.66 | |||||
Net realized and unrealized gain (loss) (c) | 6.27 | 4.13 | 9.80 | 10.27 | 1.62 | 8.60 | |||||
Total from investment operations | 6.73 | 5.00 | 10.41 | 10.97 | 2.25 | 9.26 | |||||
Net equalization credits and charges | (0.03) | (0.02) | 0.04 | 0.01 | 0.01 | 0.00(d) | |||||
Other capital | 0.00(d) | 0.00(d) | — | — | — | — | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (0.49) | (0.95) | (0.60) | (0.60) | (0.61) | (0.68) | |||||
Net realized gains | — | (0.99) | (0.13) | — | (1.22) | (1.90) | |||||
Total distributions | (0.49) | (1.94) | (0.73) | (0.60) | (1.83) | (2.58) | |||||
Net asset value, end of period | $90.02 | $83.81 | $80.77 | $71.05 | $60.67 | $60.24 | |||||
Total return (e) | 8.02% | 6.47% | 14.71% | 18.18% | 3.96% | 17.53% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $34,207 | $34,361 | $44,424 | $39,079 | $12,134 | $6,024 | |||||
Ratios to average net assets: | |||||||||||
Total expenses | 0.60%(f) | 0.60% | 0.61% | 0.60% | 0.61% | 0.60% | |||||
Net investment income (loss) | 1.08%(f) | 1.08% | 0.77% | 1.05% | 1.06% | 1.14% | |||||
Portfolio turnover rate | 34%(g) | 77% | 76% | 55%(h) | 56%(h) | 67%(h) |
(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. |
(b) | Per share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the period. |
(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) | Not annualized. |
(h) | Portfolio turnover is from the Fund's Portfolio prior to discontinuance of master-feeder structure. |
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SPDR MFS Systematic Value Equity ETF | |||||||||||
Six Months Ended 12/31/19 (Unaudited) | 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 | $66.20 | $65.91 | $59.81 | $51.99 | $57.90 | $52.67 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (b) | 0.79 | 1.44 | 1.21 | 1.03 | 0.99 | 0.75 | |||||
Net realized and unrealized gain (loss) (c) | 5.83 | 0.86 | 6.94 | 8.99 | (2.66) | 6.28 | |||||
Total from investment operations | 6.62 | 2.30 | 8.15 | 10.02 | (1.67) | 7.03 | |||||
Net equalization credits and charges | (0.01) | 0.00(d) | 0.12 | 0.04 | — | (0.03) | |||||
Other capital | 0.00(d) | 0.00(d) | — | — | — | — | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (0.80) | (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 | (0.80) | (2.01) | (2.17) | (2.24) | (4.24) | (1.77) | |||||
Net asset value, end of period | $72.01 | $66.20 | $65.91 | $59.81 | $51.99 | $57.90 | |||||
Total return (e) | 10.03% | 3.69% | 13.82% | 19.61% | (2.47)% | 13.47% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $34,564 | $33,760 | $32,953 | $5,981 | $2,599 | $2,895 | |||||
Ratios to average net assets: | |||||||||||
Total expenses | 0.60%(f) | 0.60% | 0.60% | 0.60% | 0.62% | 0.60% | |||||
Net investment income (loss) | 2.31%(f) | 2.18% | 1.83% | 1.80% | 1.85% | 1.36% | |||||
Portfolio turnover rate | 24%(g) | 53% | 54% | 64%(h) | 64%(h) | 61%(h) |
(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. |
(b) | Per share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the period. |
(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) | Not annualized. |
(g) | Annualized. |
(h) | Portfolio turnover is from the Fund's Portfolio prior to discontinuance of master-feeder structure. |
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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 |
Annual Rate | |
SPDR SSGA Multi-Asset Real Return ETF | 0.50% |
SPDR SSGA Income Allocation ETF | 0.50 |
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 |
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Purchases | Sales | ||
SPDR SSGA Multi-Asset Real Return ETF | $13,611,982 | $14,016,830 | |
SPDR SSGA Income Allocation ETF | 15,219,575 | 14,115,640 | |
SPDR SSGA Global Allocation ETF | 93,714,121 | 94,580,276 | |
SPDR SSGA Ultra Short Term Bond ETF | 112,901,416 | 60,776,460 |
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Purchases | Sales | ||
SPDR MFS Systematic Core Equity ETF | $8,086,829 | $8,130,756 | |
SPDR MFS Systematic Growth Equity ETF | 12,716,494 | 12,787,780 | |
SPDR MFS Systematic Value Equity ETF | 7,994,413 | 7,990,368 |
In-kind Contributions | In-kind Redemptions | In-kind Net Realized Gains/(Losses) | |||
SPDR SSGA Multi-Asset Real Return ETF | $4,408,696 | $18,661,212 | $434,605 | ||
SPDR SSGA Income Allocation ETF | 49,740,602 | 16,683,891 | 956,967 | ||
SPDR SSGA Global Allocation ETF | 12,228,524 | 1,462,798 | 182,121 | ||
SPDR MFS Systematic Core Equity ETF | 8,354,167 | 4,827,161 | 540,475 | ||
SPDR MFS Systematic Growth Equity ETF | 8,238,224 | 11,306,000 | 2,053,573 | ||
SPDR MFS Systematic Value Equity ETF | — | 2,066,209 | 311,015 |
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | ||||
SPDR SSGA Multi-Asset Real Return ETF | $108,057,826 | $1,748,965 | $2,839,732 | $(1,090,767) | |||
SPDR SSGA Income Allocation ETF | 153,138,078 | 4,501,727 | 449,983 | 4,051,744 |
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Tax Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | ||||
SPDR SSGA Global Allocation ETF | $268,251,171 | $27,372,855 | $155,907 | $27,216,948 | |||
SPDR SSGA Ultra Short Term Bond ETF | 211,527,433 | 364,613 | 48,620 | 315,993 | |||
SPDR MFS Systematic Core Equity ETF | 41,211,509 | 5,948,633 | 479,781 | 5,468,852 | |||
SPDR MFS Systematic Growth Equity ETF | 30,910,751 | 4,030,093 | 749,324 | 3,280,769 | |||
SPDR MFS Systematic Value Equity ETF | 30,690,486 | 4,447,675 | 600,637 | 3,847,038 |
Fund | Market Value of Securities on Loan | Cash Collateral Received | Non-Cash Collateral Received | Total Collateral Received | ||||
SPDR SSGA Multi-Asset Real Return ETF | $ 16,675,840 | $ 7,773,504 | $ 9,205,917 | $ 16,979,421 | ||||
SPDR SSGA Income Allocation ETF | 19,005,240 | 15,293,647 | 4,095,114 | 19,388,761 | ||||
SPDR SSGA Global Allocation ETF | 32,349,550 | 16,843,340 | 16,136,875 | 32,980,215 |
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Remaining Contractual Maturity of the Agreements As of December 31, 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 | $7,773,504 | $— | $— | $— | $7,773,504 | $7,773,504 | |||||||
SPDR SSGA Income Allocation ETF | Mutual Funds and Exchange Traded Products | 15,241,397 | — | — | — | 15,241,397 | 15,241,397 | |||||||
SPDR SSGA Income Allocation ETF | Mutual Funds and Exchange Traded Products | 52,250 | — | — | — | 52,250 | 52,250 | |||||||
SPDR SSGA Global Allocation ETF | Mutual Funds and Exchange Traded Products | 16,843,340 | — | — | — | 16,843,340 | 16,843,340 |
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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 | 0.08% | $1,033.80 | $0.41 | $1,024.70 | $0.41 | ||||
SPDR SSGA Income Allocation ETF | 0.19 | 1,053.70 | 0.98 | 1,024.20 | 0.97 | ||||
SPDR SSGA Global Allocation ETF | 0.09 | 1,063.90 | 0.47 | 1,024.70 | 0.46 | ||||
SPDR SSGA Ultra Short Term Bond ETF | 0.20 | 1,013.30 | 1.01 | 1,024.10 | 1.02 | ||||
SPDR MFS Systematic Core Equity ETF | 0.60 | 1,112.50 | 3.19 | 1,022.10 | 3.05 | ||||
SPDR MFS Systematic Growth Equity ETF | 0.60 | 1,080.20 | 3.14 | 1,022.10 | 3.05 | ||||
SPDR MFS Systematic Value Equity ETF | 0.60 | 1,100.30 | 3.17 | 1,022.10 | 3.05 |
(a) | Expenses are equal to the Fund's annualized net expense ratio multiplied by the average account value of the period, multiplied by 184, then divided by 366. |
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• | the program supported each Fund’s ability to honor redemption requests timely; |
• | the program supported SSGA FM’s management of each Fund’s liquidity profile, including during periods of market volatility and net redemptions; |
• | no material liquidity issues were identified during the period; |
• | there were no material changes to the program during the period; |
• | the implementation of the program was effective to manage each Fund’s liquidity risk; and |
• | the program operated adequately during the period. |
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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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TABLE OF CONTENTS (Unaudited)
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Description | % of Net Assets | ||
SPDR Portfolio Mortgage Backed Bond ETF | 32.8% | ||
SPDR Portfolio Intermediate Term Corporate Bond ETF | 22.6 | ||
SPDR Bloomberg Barclays 1-3 Month T-Bill ETF | 15.6 | ||
SPDR Portfolio Intermediate Term Treasury ETF | 13.6 | ||
SPDR Bloomberg Barclays High Yield Bond ETF | 9.9 | ||
TOTAL | 94.5% |
% of Net Assets | |||
Domestic Fixed Income | 99.8% | ||
Short Term Investments | 1.5 | ||
Liabilities in Excess of Other Assets | (1.3) | ||
TOTAL | 100.0% |
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Description | % of Net Assets | ||
The Technology Select Sector SPDR Fund | 38.2% | ||
The Health Care Select Sector SPDR Fund | 28.8 | ||
The Financial Select Sector SPDR Fund | 19.7 | ||
The Consumer Staples Select Sector SPDR Fund | 7.2 | ||
The Communication Services Select Sector SPDR Fund | 5.8 | ||
TOTAL | 99.7% |
% of Net Assets | |||
Domestic Equity | 99.7% | ||
Short Term Investments | 10.3 | ||
Liabilities in Excess of Other Assets | (10.0) | ||
TOTAL | 100.0% |
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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) | 42,387 | $3,875,443 | ||||
SPDR Bloomberg Barclays High Yield Bond ETF (a) | 22,550 | 2,470,127 | ||||
SPDR Portfolio Intermediate Term Corporate Bond ETF (a) | 159,324 | 5,625,730 | ||||
SPDR Portfolio Intermediate Term Treasury ETF (a)(b) | 109,143 | 3,375,793 | ||||
SPDR Portfolio Long Term Corporate Bond ETF (a) | 43,441 | 1,308,009 | ||||
SPDR Portfolio Mortgage Backed Bond ETF (a)(b) | 312,979 | 8,171,882 | ||||
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS (Cost $24,601,591) | 24,826,984 | |||||
SHORT-TERM INVESTMENTS — 1.5% | ||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 1.57% (c)(d) | 48,892 | 48,892 | ||||
State Street Navigator Securities Lending Portfolio II (e)(f) | 328,725 | 328,725 | ||||
TOTAL SHORT-TERM INVESTMENTS (Cost $377,617) | $377,617 | |||||
TOTAL INVESTMENTS—101.3% (Cost $24,979,208) | 25,204,601 | |||||
LIABILITIES IN EXCESS OF OTHER ASSETS—(1.3)% | (327,795) | |||||
NET ASSETS—100.0% | $24,876,806 |
The Fund invests in other funds and financial statements of underlying funds can be found at www.sec.gov. | |
(a) | Affiliated fund managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2019 are shown in the Affiliate Table below. |
(b) | All or a portion of the shares of the security are on loan at December 31, 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 December 31, 2019 are shown in the Affiliate Table below. |
(d) | The rate shown is the annualized seven-day yield at December 31, 2019. |
(e) | The Fund invested in an affiliated entity. Amounts related to these transactions during the period ended December 31, 2019 are shown in the Affiliate Table below. |
(f) | Investment of cash collateral for securities loaned. |
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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 | $24,826,984 | $— | $— | $24,826,984 | ||||
Short-Term Investments | 377,617 | — | — | 377,617 | ||||
TOTAL INVESTMENTS | $25,204,601 | $— | $— | $25,204,601 |
Number of Shares Held at 6/30/2019 | Value at 6/30/2019 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 12/31/19 | Value at 12/31/19 | Dividend Income | |||||||||
SPDR Bloomberg Barclays 1-3 Month T-Bill ETF | 3,742 | $342,805 | $6,402,469 | $2,864,705 | $(1,672) | $(3,454) | 42,387 | $3,875,443 | $28,041 | ||||||||
SPDR Bloomberg Barclays High Yield Bond ETF | 5,218 | 568,449 | 2,000,862 | 120,973 | (188) | 21,977 | 22,550 | 2,470,127 | 51,763 | ||||||||
SPDR Portfolio Intermediate Term Corporate Bond ETF | 31,956 | 1,116,223 | 7,376,756 | 2,901,213 | 30,717 | 3,247 | 159,324 | 5,625,730 | 28,222 | ||||||||
SPDR Portfolio Intermediate Term Treasury ETF | 23,909 | 1,477,576 | 4,239,395 | 2,328,166 | (18,768) | 5,756 | 109,143 | 3,375,793 | 34,623 | ||||||||
SPDR Portfolio Long Term Corporate Bond ETF | 114,074 | 3,279,628 | 3,143,896 | 5,200,419 | 166,633 | (81,729) | 43,441 | 1,308,009 | 49,369 | ||||||||
SPDR Portfolio Long Term Treasury ETF | 13,503 | 515,274 | 708,961 | 1,199,413 | (14,585) | (10,237) | — | — | 5,016 | ||||||||
SPDR Portfolio Mortgage Backed Bond ETF | 136,205 | 3,560,399 | 6,394,262 | 1,760,045 | (2,825) | (19,909) | 312,979 | 8,171,882 | 99,009 | ||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 19,198 | 19,198 | 248,606 | 218,912 | — | — | 48,892 | 48,892 | 282 | ||||||||
State Street Navigator Securities Lending Portfolio II | — | — | 35,001,508 | 34,672,783 | — | — | 328,725 | 328,725 | 16,039 | ||||||||
State Street Navigator Securities Lending Portfolio III | — | — | 18,934,708 | 18,934,708 | — | — | — | — | 9,412 | ||||||||
Total | $10,879,552 | $84,451,423 | $70,201,337 | $159,312 | $(84,349) | $25,204,601 | $321,776 |
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Security Description | Shares | Value | ||||
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS — 99.7% | ||||||
DOMESTIC EQUITY — 99.7% | ||||||
The Communication Services Select Sector SPDR Fund (a)(b) | 37,272 | $1,998,897 | ||||
The Consumer Staples Select Sector SPDR Fund (a) | 39,324 | 2,476,625 | ||||
The Financial Select Sector SPDR Fund (a)(b) | 220,069 | 6,773,724 | ||||
The Health Care Select Sector SPDR Fund (a)(b) | 96,935 | 9,873,799 | ||||
The Technology Select Sector SPDR Fund (a) | 143,167 | 13,124,119 | ||||
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS (Cost $31,630,538) | 34,247,164 | |||||
SHORT-TERM INVESTMENTS — 10.3% | ||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 1.57% (c)(d) | 48,457 | 48,457 | ||||
State Street Navigator Securities Lending Portfolio II (e)(f) | 3,486,000 | 3,486,000 | ||||
TOTAL SHORT-TERM INVESTMENTS (Cost $3,534,457) | $3,534,457 | |||||
TOTAL INVESTMENTS—110.0% (Cost $35,164,995) | 37,781,621 | |||||
LIABILITIES IN EXCESS OF OTHER ASSETS—(10.0)% | (3,431,589) | |||||
NET ASSETS—100.0% | $34,350,032 |
The Fund invests in other funds and financial statements of underlying funds can be found at www.sec.gov. | |
(a) | Affiliated fund managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2019 are shown in the Affiliate Table below. |
(b) | All or a portion of the shares of the security are on loan at December 31, 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 December 31, 2019 are shown in the Affiliate Table below. |
(d) | The rate shown is the annualized seven-day yield at December 31, 2019. |
(e) | The Fund invested in an affiliated entity. Amounts related to these transactions during the period ended December 31, 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 | $34,247,164 | $— | $— | $34,247,164 | ||||
Short-Term Investments | 3,534,457 | — | — | 3,534,457 | ||||
TOTAL INVESTMENTS | $37,781,621 | $— | $— | $37,781,621 |
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Number of Shares Held at 6/30/2019 | Value at 6/30/2019 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 12/31/19 | Value at 12/31/19 | Dividend Income | |||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 43,535 | $43,535 | $354,874 | $349,952 | $— | $— | 48,457 | $48,457 | $431 | ||||||||
State Street Navigator Securities Lending Portfolio II | — | — | 35,391,465 | 31,905,465 | — | — | 3,486,000 | 3,486,000 | 4,135 | ||||||||
State Street Navigator Securities Lending Portfolio III | — | — | 13,512,034 | 13,512,034 | — | — | — | — | 223 | ||||||||
The Communication Services Select Sector SPDR Fund | — | — | 8,250,023 | 6,538,185 | 128,170 | 158,889 | 37,272 | 1,998,897 | 12,723 | ||||||||
The Consumer Staples Select Sector SPDR Fund | 26,360 | 1,530,725 | 2,581,881 | 1,683,194 | 10,954 | 36,259 | 39,324 | 2,476,625 | 19,162 | ||||||||
The Financial Select Sector SPDR Fund | — | — | 9,546,685 | 2,819,717 | (104,772) | 151,528 | 220,069 | 6,773,724 | 47,016 | ||||||||
The Health Care Select Sector SPDR Fund | 43,744 | 4,052,444 | 8,949,092 | 3,839,194 | 38,559 | 672,898 | 96,935 | 9,873,799 | 125,117 | ||||||||
The Industrial Select Sector SPDR Fund | 43,980 | 3,404,932 | 3,811,358 | 7,266,436 | 145,490 | (95,344) | — | — | 21,459 | ||||||||
The Real Estate Select Sector SPDR Fund | 37,107 | 1,364,424 | 6,427,827 | 7,883,902 | 78,966 | 12,685 | — | — | 23,053 | ||||||||
The Technology Select Sector SPDR Fund | 47,988 | 3,744,984 | 11,414,325 | 3,588,305 | 228,893 | 1,324,222 | 143,167 | 13,124,119 | 72,144 | ||||||||
Total | $14,141,044 | $100,239,564 | $79,386,384 | $526,260 | $2,261,137 | $37,781,621 | $325,463 |
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SPDR SSGA Fixed Income Sector Rotation ETF | SPDR SSGA US Sector Rotation ETF | ||
ASSETS | |||
Investments in affiliated issuers, at value | $25,204,601 | $37,781,621 | |
Dividends receivable — affiliated issuers | 63 | 64,572 | |
Securities lending income receivable — unaffiliated issuers | 158 | 891 | |
Securities lending income receivable — affiliated issuers | 6,033 | 2,281 | |
TOTAL ASSETS | 25,210,855 | 37,849,365 | |
LIABILITIES | |||
Payable upon return of securities loaned | 328,725 | 3,486,000 | |
Advisory fee payable | 5,321 | 13,294 | |
Trustees’ fees and expenses payable | 3 | 39 | |
TOTAL LIABILITIES | 334,049 | 3,499,333 | |
NET ASSETS | $24,876,806 | $34,350,032 | |
NET ASSETS CONSIST OF: | |||
Paid-in Capital | $24,664,568 | $31,595,364 | |
Total distributable earnings (loss) | 212,238 | 2,754,668 | |
NET ASSETS | $24,876,806 | $34,350,032 | |
NET ASSET VALUE PER SHARE | |||
Net asset value per share | $31.10 | $34.01 | |
Shares outstanding (unlimited amount authorized, no par value) | 800,000 | 1,010,000 | |
COST OF INVESTMENTS: | |||
Investments in affiliated issuers | $24,979,208 | $35,164,995 | |
* Includes investments in securities on loan, at value | $335,771 | $11,545,935 |
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SPDR SSGA Fixed Income Sector Rotation ETF | SPDR SSGA US Sector Rotation ETF | ||
INVESTMENT INCOME | |||
Dividend income — affiliated issuers | $296,325 | $321,105 | |
Unaffiliated securities lending income | 2,871 | 1,062 | |
Affiliated securities lending income | 25,451 | 4,358 | |
TOTAL INVESTMENT INCOME (LOSS) | 324,647 | 326,525 | |
EXPENSES | |||
Advisory fee | 23,103 | 63,729 | |
Trustees’ fees and expenses | 79 | 159 | |
Miscellaneous expenses | 5 | 6 | |
TOTAL EXPENSES | 23,187 | 63,894 | |
NET INVESTMENT INCOME (LOSS) | $301,460 | $262,631 | |
REALIZED AND UNREALIZED GAIN (LOSS) | |||
Net realized gain (loss) on: | |||
Investments — affiliated issuers | 159,320 | 26,819 | |
In-kind redemptions — affiliated issuers | — | 499,441 | |
Net realized gain (loss) | 159,320 | 526,260 | |
Net change in unrealized appreciation/depreciation on: | |||
Investment — affiliated issuers | (84,349) | 2,261,137 | |
NET REALIZED AND UNREALIZED GAIN (LOSS) | 74,971 | 2,787,397 | |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $376,431 | $3,050,028 |
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SPDR SSGA Fixed Income Sector Rotation ETF | SPDR SSGA US Sector Rotation ETF | ||||||
Six Months Ended 12/31/19 (Unaudited) | For the Period 04/02/19* - 6/30/19 | Six Months Ended 12/31/19 (Unaudited) | For the Period 04/02/19* - 6/30/19 | ||||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||||||
Net investment income (loss) | $301,460 | $33,091 | $262,631 | $59,414 | |||
Net realized gain (loss) | 159,320 | 2,149 | 526,260 | 45,425 | |||
Net change in unrealized appreciation/depreciation | (84,349) | 309,742 | 2,261,137 | 355,489 | |||
Net increase (decrease) in net assets resulting from operations | 376,431 | 344,982 | 3,050,028 | 460,328 | |||
Net equalization credits and charges | (7,191) | 173 | (5,710) | (7,742) | |||
Distributions to shareholders | (473,594) | (36,040) | (203,795) | (52,452) | |||
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||||||
Proceeds from sale of shares sold | 14,097,166 | 10,567,861 | 25,803,574 | 13,728,143 | |||
Cost of shares redeemed | — | — | (8,435,794) | — | |||
Net income equalization | 7,191 | (173) | 5,710 | 7,742 | |||
Net increase (decrease) in net assets from beneficial interest transactions | 14,104,357 | 10,567,688 | 17,373,490 | 13,735,885 | |||
Net increase (decrease) in net assets during the period | 14,000,003 | 10,876,803 | 20,214,013 | 14,136,019 | |||
Net assets at beginning of period | 10,876,803 | — | 14,136,019 | — | |||
NET ASSETS AT END OF PERIOD | $24,876,806 | $10,876,803 | $34,350,032 | $14,136,019 | |||
SHARES OF BENEFICIAL INTEREST: | |||||||
Shares sold | 450,000 | 350,000 | 820,000 | 460,000 | |||
Shares redeemed | — | — | (270,000) | — | |||
Net increase (decrease) | 450,000 | 350,000 | 550,000 | 460,000 |
*Inception date. |
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SPDR SSGA Fixed Income Sector Rotation ETF | |||
Six Months Ended 12/31/19 (Unaudited) | For the Period 4/3/2019*- 6/30/19 | ||
Net asset value, beginning of period | $31.08 | $30.10 | |
Income (loss) from investment operations: | |||
Net investment income (loss) (a) | 0.55 | 0.15 | |
Net realized and unrealized gain (loss) (b) | 0.25 | 0.99 | |
Total from investment operations | 0.80 | 1.14 | |
Net equalization credits and charges (a) | (0.01) | 0.00(c) | |
Distributions to shareholders from: | |||
Net investment income | (0.77) | (0.16) | |
Net asset value, end of period | $31.10 | $31.08 | |
Total return (d) | 2.55% | 3.81% | |
Ratios and Supplemental Data: | |||
Net assets, end of period (in 000s) | $24,877 | $10,877 | |
Ratios to average net assets: | |||
Total expenses (e) | 0.27%(f) | 0.31%(f) | |
Net investment income (loss) | 3.52%(f) | 1.98%(f) | |
Portfolio turnover rate (g)(h) | 79%(i) | 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 | |||
Six Months Ended 12/31/19 (Unaudited) | For the Period 4/3/2019*- 6/30/19 | ||
Net asset value, beginning of period | $30.73 | $30.09 | |
Income (loss) from investment operations: | |||
Net investment income (loss) (a) | 0.32 | 0.23 | |
Net realized and unrealized gain (loss) (b) | 3.18 | 0.55 | |
Total from investment operations | 3.50 | 0.78 | |
Net equalization credits and charges (a) | (0.01) | (0.03) | |
Distributions to shareholders from: | |||
Net investment income | (0.21) | (0.11) | |
Net asset value, end of period | $34.01 | $30.73 | |
Total return (c) | 11.38% | 2.50% | |
Ratios and Supplemental Data: | |||
Net assets, end of period (in 000s) | $34,350 | $14,136 | |
Ratios to average net assets: | |||
Total expenses (d) | 0.49%(e) | 0.49%(e) | |
Net investment income (loss) | 2.02%(e) | 3.12%(e) | |
Portfolio turnover rate (f)(g) | 109%(h) | 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. 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 | $24,259,854 | $13,630,842 | |
SPDR SSGA US Sector Rotation ETF | 41,741,776 | 28,046,869 |
In-kind Contributions | In-kind Redemptions | In-kind Net Realized Gains/(Losses) | |||
SPDR SSGA Fixed Income Sector Rotation ETF | $14,096,272 | $— | $— | ||
SPDR SSGA US Sector Rotation ETF | 25,805,003 | 8,436,471 | 499,441 |
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Tax Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | ||||
SPDR SSGA Fixed Income Sector Rotation ETF | $24,979,549 | $227,969 | $2,917 | $225,052 | |||
SPDR SSGA US Sector Rotation ETF | 35,164,995 | 2,616,626 | — | 2,616,626 |
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SPDR SSGA Fixed Income Sector Rotation ETF | SPDR SSGA US Sector Rotation ETF | ||
Annualized Expense Ratio | 0.27% | 0.49% | |
Actual: | |||
Ending Account Value | $1,025.50 | $1,113.80 | |
Expenses Paid During Period(a) | 1.37 | 2.60 | |
Hypothetical (assuming a 5% return before expenses): | |||
Ending Account Value | 1,023.80 | 1,022.70 | |
Expenses Paid During Period(a) | 1.37 | 2.49 |
(a) | Expenses are equal to the Fund's annualized net expense ratio multiplied by the average account value of the period, multiplied by 184, then divided by 366. |
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• | the program supported each Fund’s ability to honor redemption requests timely; |
• | the program supported SSGA FM’s management of each Fund’s liquidity profile, including during periods of market volatility and net redemptions; |
• | no material liquidity issues were identified during the period; |
• | there were no material changes to the program during the period; |
• | the implementation of the program was effective to manage each Fund’s liquidity risk; and |
• | the program operated adequately during the period. |
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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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TABLE OF CONTENTS (Unaudited)
Portfolio Statistics (Unaudited) | |
1 | |
2 | |
3 | |
Schedules of Investments (Unaudited) | |
5 | |
13 | |
37 | |
51 | |
58 | |
61 | |
72 |
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Description | % of Net Assets | ||
Cometa Energia SA de CV 6.38% 4/24/2035 | 2.2% | ||
DBS Group Holdings, Ltd. 3.60% 9/7/2021 | 2.1 | ||
Perusahaan Listrik Negara PT 5.50% 11/22/2021 | 2.0 | ||
Pertamina Persero PT 4.88% 5/3/2022 | 2.0 | ||
Syngenta Finance NV 5.68% 4/24/2048 | 1.9 | ||
TOTAL | 10.2% |
% of Net Assets | |||
Corporate Bonds & Notes | 79.4% | ||
Foreign Government Obligations | 10.0 | ||
Short-Term Investment | 9.5 | ||
Other Assets in Excess of Liabilities | 1.1 | ||
TOTAL | 100.0% |
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Description | % of Net Assets | ||
U.S. Treasury Bill 1.57% 6/25/2020 | 4.9% | ||
U.S. Treasury Bill 1.54% 5/7/2020 | 4.7 | ||
U.S. Treasury Note 2.75% 9/15/2021 | 4.1 | ||
U.S. Treasury Note 1.87% 3/31/2020 | 3.8 | ||
U.S. Treasury Bill 1.83% 2/13/2020 | 3.8 | ||
TOTAL | 21.3% |
% of Net Assets | |||
Corporate Bonds & Notes | 30.1% | ||
U.S. Treasury Obligations | 27.3 | ||
U.S. Government Agency Obligations | 24.7 | ||
Mortgage-Backed Securities | 9.7 | ||
Asset-Backed Securities | 3.6 | ||
Foreign Government Obligations | 2.0 | ||
Short-Term Investment | 2.3 | ||
Other Assets in Excess of Liabilities | 0.3 | ||
TOTAL | 100.0% |
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Description | % of Net Assets | ||
U. S. Treasury Note 1.63% 5/15/2026 | 3.3% | ||
U. S. Treasury Note 2.25% 11/15/2025 | 3.3 | ||
U.S. Treasury Bill 1.84% 2/27/2020 | 3.1 | ||
U. S. Treasury Note 2.13% 7/31/2024 | 2.9 | ||
U. S. Treasury Note 2.38% 5/15/2029 | 2.7 | ||
TOTAL | 15.3% |
% of Net Assets | |||
U.S. Government Agency Obligations | 44.0% | ||
U.S. Treasury Obligations | 24.4 | ||
Mortgage-Backed Securities | 4.7 | ||
Commercial Mortgage Backed Securities | 4.0 | ||
Asset-Backed Securities | 2.3 | ||
Foreign Government Obligations | 0.9 | ||
Banks | 3.1 | ||
Oil & Gas | 1.3 | ||
Telecommunications | 1.2 | ||
Pharmaceuticals | 1.1 | ||
Electric | 1.0 | ||
Food | 1.0 | ||
Diversified Financial Services | 0.9 | ||
Pipelines | 0.7 | ||
Media | 0.6 | ||
Real Estate Investment Trusts | 0.6 | ||
Health Care Services | 0.5 | ||
Retail | 0.5 | ||
Chemicals | 0.4 | ||
Insurance | 0.4 | ||
Agriculture | 0.4 | ||
Software | 0.3 | ||
Entertainment | 0.3 | ||
Mining | 0.3 | ||
Lodging | 0.3 | ||
Internet | 0.3 | ||
Leisure Time | 0.3 | ||
Commercial Services | 0.2 | ||
Packaging & Containers | 0.2 | ||
Transportation | 0.2 | ||
Energy-Alternate Sources | 0.2 | ||
Airlines | 0.2 | ||
IT Services | 0.2 |
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% of Net Assets | |||
Forest Products & Paper | 0.2% | ||
Iron/Steel | 0.2 | ||
Machinery-Diversified | 0.2 | ||
Aerospace & Defense | 0.1 | ||
Gas | 0.1 | ||
Environmental Control | 0.1 | ||
Real Estate | 0.1 | ||
Machinery, Construction & Mining | 0.1 | ||
Auto Manufacturers | 0.1 | ||
Investment Company Security | 0.1 | ||
Beverages | 0.1 | ||
Oil & Gas Services | 0.1 | ||
Food Service | 0.1 | ||
Electronics | 0.1 | ||
Trucking & Leasing | 0.1 | ||
Toys/Games/Hobbies | 0.1 | ||
Computers | 0.1 | ||
Home Furnishings | 0.1 | ||
Auto Parts & Equipment | 0.0* | ||
Distribution & Wholesale | 0.0* | ||
Engineering & Construction | 0.0* | ||
Miscellaneous Manufacturer | 0.0* | ||
Coal | 0.0* | ||
Building Materials | 0.0* | ||
Construction Materials | 0.0* | ||
Holding Companies-Diversified | 0.0* | ||
Health Care Products | 0.0* | ||
Hand & Machine Tools | 0.0* | ||
Electrical Components & Equipment | 0.0* | ||
Home Builders | 0.0* | ||
Household Products & Wares | 0.0* | ||
Metal Fabricate & Hardware | 0.0* | ||
Apparel | 0.0* | ||
Housewares | 0.0* | ||
Short-Term Investment | 1.4 | ||
Liabilities in Excess of Other Assets | (0.5) | ||
TOTAL | 100.0% |
* | Amount shown represents less than 0.05% of net assets. |
Table of Contents
Security Description | Principal Amount | Value | ||||
CORPORATE BONDS & NOTES — 79.4% | ||||||
ARGENTINA — 2.4% | ||||||
Banco Macro SA Series REGS, USD 5 Year Swap Rate + 5.46%, 6.75%, 11/4/2026 (a) | $800,000 | $606,128 | ||||
Pampa Energia SA: | ||||||
Series REGS, 7.50%, 1/24/2027 | 600,000 | 510,000 | ||||
Series REGS, 9.13%, 4/15/2029 | 150,000 | 128,463 | ||||
YPF SA: | ||||||
Series REGS, 6.95%, 7/21/2027 | 200,000 | 177,266 | ||||
Series REGS, 8.50%, 7/28/2025 | 450,000 | 423,680 | ||||
1,845,537 | ||||||
BRAZIL — 4.0% | ||||||
Banco Bradesco SA Series REGS, 5.75%, 3/1/2022 | 200,000 | 210,730 | ||||
Banco BTG Pactual SA Series REGS, 5 Year CMT + 5.26%, 7.75%, 2/15/2029 (a) | 500,000 | 530,605 | ||||
Banco do Brasil SA Series REGS, 10 Year CMT + 4.40%, 6.25%, 4/15/2024 (a) | 1,000,000 | 1,016,470 | ||||
CSN Islands XII Corp. Series REGS, 7.00%, 3/23/2020 | 900,000 | 828,144 | ||||
CSN Resources SA 7.63%, 4/17/2026 (b) | 200,000 | 213,056 | ||||
MARB BondCo PLC Series REGS, 6.88%, 1/19/2025 | 300,000 | 318,729 | ||||
3,117,734 | ||||||
CANADA — 0.3% | ||||||
Canacol Energy, Ltd. Series REGS, 7.25%, 5/3/2025 | 200,000 | 210,792 | ||||
CAYMAN ISLANDS — 1.1% | ||||||
CK Hutchison Capital Securities 17, Ltd. Series REGS, 5 Year CMT + 2.07%, 4.00%, 5/12/2022 (a) | 837,000 | 843,863 | ||||
CHILE — 10.2% | ||||||
AES Gener SA: | ||||||
Series REGS, 5.00%, 7/14/2025 | 200,000 | 208,586 | ||||
5 Year CMT + 4.92%, 6.35%, 10/7/2079 (a)(b) | 900,000 | 921,879 | ||||
Series REGS, 5 Year CMT + 4.92%, 6.35%, 10/7/2079 (a) | 500,000 | 512,155 | ||||
Banco del Estado de Chile 2.67%, 1/8/2021 (b) | 300,000 | 300,399 | ||||
Banco Santander Chile Series REGS, 3.88%, 9/20/2022 | 263,000 | 271,211 | ||||
Celulosa Arauco y Constitucion SA 5.50%, 4/30/2049 (b) | 400,000 | 416,180 | ||||
Empresa Electrica Angamos SA Series REGS, 4.88%, 5/25/2029 | 165,200 | 170,635 | ||||
Empresa Nacional de Telecomunicaciones SA Series REGS, 4.75%, 8/1/2026 | 1,100,000 | 1,165,527 | ||||
GNL Quintero SA Series REGS, 4.63%, 7/31/2029 | 400,000 | 425,036 | ||||
Inversiones CMPC SA Series REGS, 4.50%, 4/25/2022 | 700,000 | 723,961 | ||||
SACI Falabella Series REGS, 3.75%, 4/30/2023 | 1,000,000 | 1,020,370 |
Table of Contents
Security Description | Principal Amount | Value | |||
Sociedad Quimica y Minera de Chile SA Series REGS, 4.38%, 1/28/2025 | $400,000 | $420,004 | |||
Transelec SA Series REGS, 4.63%, 7/26/2023 | 500,000 | 528,985 | |||
VTR Finance B.V. Series REGS, 6.88%, 1/15/2024 | 800,000 | 819,608 | |||
7,904,536 | |||||
CHINA — 4.2% | |||||
CNOOC Finance 2011, Ltd. Series REGS, 4.25%, 1/26/2021 | 200,000 | 204,044 | |||
CNOOC Finance 2015 USA LLC 3.50%, 5/5/2025 | 200,000 | 209,532 | |||
CNOOC Finance, Ltd. 3.00%, 5/9/2023 | 900,000 | 914,832 | |||
CNPC General Capital, Ltd. Series REGS, 3.95%, 4/19/2022 | 300,000 | 310,566 | |||
Gran Tierra Energy International Holdings, Ltd. Series REGS, 6.25%, 2/15/2025 | 600,000 | 537,144 | |||
Sinopec Group Overseas Development 2016, Ltd.: | |||||
Series REGS, 2.75%, 5/3/2021 | 400,000 | 402,332 | |||
Series REGS, 2.75%, 9/29/2026 | 700,000 | 696,738 | |||
3,275,188 | |||||
COLOMBIA — 2.6% | |||||
Banco Bilbao Vizcaya Argentaria Colombia SA Series REGS, 4.88%, 4/21/2025 | 200,000 | 213,552 | |||
Banco de Bogota SA Series REGS, 6.25%, 5/12/2026 | 200,000 | 224,270 | |||
Empresas Publicas de Medellin ESP 4.25%, 7/18/2029 (b) | 300,000 | 312,804 | |||
Grupo Aval, Ltd. Series REGS, 4.75%, 9/26/2022 | 1,200,000 | 1,250,856 | |||
2,001,482 | |||||
HONG KONG — 0.5% | |||||
CK Hutchison International 17, Ltd. Series REGS, 2.88%, 4/5/2022 | 400,000 | 404,292 | |||
INDIA — 5.8% | |||||
Adani Ports & Special Economic Zone, Ltd. Series REGS, 3.95%, 1/19/2022 | 400,000 | 409,364 | |||
Bharat Petroleum Corp., Ltd. 4.63%, 10/25/2022 | 600,000 | 623,070 | |||
Indian Oil Corp., Ltd. 5.75%, 8/1/2023 | 800,000 | 869,712 | |||
Network i2i, Ltd. 5 Year CMT + 4.28%, 5.65%, 1/15/2025 (a)(b) | 200,000 | 198,022 | |||
ONGC Videsh Vankorneft Pte, Ltd. 3.75%, 7/27/2026 | 600,000 | 614,496 | |||
ONGC Videsh, Ltd. 4.63%, 7/15/2024 | 250,000 | 266,201 | |||
Reliance Holding USA, Inc. Series REGS, 5.40%, 2/14/2022 | 1,050,000 | 1,110,281 | |||
Vedanta Resources PLC Series REGS, 6.13%, 8/9/2024 | 400,000 | 364,720 | |||
4,455,866 | |||||
INDONESIA — 4.3% | |||||
Pertamina Persero PT Series REGS, 4.88%, 5/3/2022 | 1,500,000 | 1,583,100 | |||
Perusahaan Listrik Negara PT Series REGS, 5.50%, 11/22/2021 | 1,500,000 | 1,589,715 |
Table of Contents
Security Description | Principal Amount | Value | |||
Star Energy Geothermal Wayang Windu, Ltd. Series REGS, 6.75%, 4/24/2033 | $184,000 | $195,671 | |||
3,368,486 | |||||
IRELAND — 0.7% | |||||
C&W Senior Financing DAC 7.50%, 10/15/2026 (b) | 500,000 | 542,475 | |||
ISRAEL — 0.3% | |||||
Israel Electric Corp., Ltd. Series 6, 5.00%, 11/12/2024 (b) | 200,000 | 220,028 | |||
JAMAICA — 0.1% | |||||
Digicel Group Two, Ltd. 9.13%, 4/1/2024 (b) | 405,728 | 61,164 | |||
LUXEMBOURG — 2.1% | |||||
JSL Europe SA Series REGS, 7.75%, 7/26/2024 | 300,000 | 324,141 | |||
Minerva Luxembourg SA Series REGS, 5.88%, 1/19/2028 | 400,000 | 420,072 | |||
Raizen Fuels Finance SA Series REGS, 5.30%, 1/20/2027 | 800,000 | 873,960 | |||
1,618,173 | |||||
MALAYSIA — 6.4% | |||||
Axiata SPV2 Bhd Series 2, 3.47%, 11/19/2020 | 1,000,000 | 1,007,950 | |||
CIMB Bank Bhd Series EMTN, 3 Month USD LIBOR + 0.78%, 2.79%, 10/9/2024 (a) | 200,000 | 200,402 | |||
Gohl Capital, Ltd. 4.25%, 1/24/2027 | 1,000,000 | 1,048,640 | |||
Malayan Banking Bhd USD 5 Year Swap Rate + 2.54%, 3.91%, 10/29/2026 (a) | 1,000,000 | 1,016,600 | |||
Malaysia Sovereign Sukuk Bhd Series REGS, 3.04%, 4/22/2025 | 800,000 | 827,712 | |||
Malaysia Sukuk Global Bhd Series REGS, 3.18%, 4/27/2026 | 250,000 | 259,390 | |||
Petronas Capital, Ltd. Series REGS, 3.50%, 3/18/2025 | 600,000 | 629,526 | |||
4,990,220 | |||||
MAURITIUS — 0.7% | |||||
UPL Corp., Ltd. 4.50%, 3/8/2028 | 550,000 | 557,882 | |||
MEXICO — 11.2% | |||||
Banco Mercantil del Norte SA: | |||||
Series REGS, 10 Year CMT + 5.35%, 7.63%, 1/10/2028 (a) | 700,000 | 748,328 | |||
Series REGS, 10 Year CMT + 5.47%, 7.50%, 6/27/2029 (a) | 800,000 | 854,272 | |||
Banco Santander Mexico SA 5 Year CMT + 3.00%, 5.95%, 10/1/2028 (a)(b) | 350,000 | 375,928 | |||
BBVA Bancomer SA: | |||||
Series REGS, 5 Year CMT + 3.00%, 5.35%, 11/12/2029 (a) | 200,000 | 202,130 | |||
5 year CMT + 4.31%, 5.88%, 9/13/2034 (a)(b) | 1,100,000 | 1,152,668 | |||
Braskem Idesa SAPI 7.45%, 11/15/2029 (b) | 400,000 | 426,612 | |||
Coca-Cola Femsa SAB de CV 3.88%, 11/26/2023 | 300,000 | 316,026 | |||
Cometa Energia SA de CV Series REGS, 6.38%, 4/24/2035 | 1,550,400 | 1,689,517 |
Table of Contents
Security Description | Principal Amount | Value | |||
Credito Real SAB de CV: | |||||
9.50%, 2/7/2026 (b) | $400,000 | $456,200 | |||
Series REGS, 5 Year CMT + 7.03%, 9.13%, 11/29/2022 (a) | 200,000 | 210,604 | |||
Docuformas SAPI de CV 10.25%, 7/24/2024 (b) | 300,000 | 304,551 | |||
El Puerto de Liverpool SAB de CV Series REGS, 3.88%, 10/6/2026 | 400,000 | 409,136 | |||
Fomento Economico Mexicano SAB de CV 2.88%, 5/10/2023 | 600,000 | 606,498 | |||
Grupo Bimbo SAB de CV Series REGS, 5 Year CMT + 3.28%, 5.95%, 4/17/2023 (a) | 200,000 | 211,906 | |||
Unifin Financiera SAB de CV Series REGS, 5 Year CMT + 6.31%, 8.88%, 1/29/2025 (a) | 800,000 | 734,584 | |||
8,698,960 | |||||
NETHERLANDS — 4.1% | |||||
Minejesa Capital B.V.: | |||||
Series REGS, 4.63%, 8/10/2030 | 800,000 | 830,040 | |||
Series REGS, 5.63%, 8/10/2037 | 800,000 | 870,184 | |||
Syngenta Finance NV Series REGS, 5.68%, 4/24/2048 | 1,400,000 | 1,458,044 | |||
3,158,268 | |||||
PANAMA — 4.6% | |||||
Aeropuerto Internacional de Tocumen SA Series REGS, 5.63%, 5/18/2036 | 530,000 | 623,004 | |||
Banco General SA Series REGS, 4.13%, 8/7/2027 | 600,000 | 630,558 | |||
Banistmo SA Series REGS, 3.65%, 9/19/2022 | 400,000 | 405,380 | |||
Cable Onda SA 4.50%, 1/30/2030 (b) | 200,000 | 210,734 | |||
Empresa de Transmision Electrica SA 5.13%, 5/2/2049 (b) | 500,000 | 570,995 | |||
Global Bank Corp.: | |||||
Series REGS, 4.50%, 10/20/2021 | 800,000 | 827,264 | |||
3 Month USD LIBOR + 3.30%, 5.25%, 4/16/2029 (a)(b) | 300,000 | 322,461 | |||
3,590,396 | |||||
PERU — 2.4% | |||||
Banco Internacional del Peru SAA Interbank Series REGS, 3.38%, 1/18/2023 | 600,000 | 608,580 | |||
BBVA Banco Continental SA Series REGS, 5.00%, 8/26/2022 | 100,000 | 106,016 | |||
Kallpa Generacion SA Series REGS, 4.13%, 8/16/2027 | 1,000,000 | 1,023,150 | |||
Scotiabank Peru SAA Series REGS, 3 Month USD LIBOR + 3.86%, 4.50%, 12/13/2027 (a) | 150,000 | 155,350 | |||
1,893,096 | |||||
PHILIPPINES — 1.2% | |||||
BDO Unibank, Inc.: | |||||
Series EMTN, 2.63%, 10/24/2021 | 450,000 | 449,627 |
Table of Contents
Security Description | Principal Amount | Value | ||||
Series EMTN, 2.95%, 3/6/2023 | $500,000 | $503,922 | ||||
953,549 | ||||||
SINGAPORE — 7.3% | ||||||
DBS Group Holdings, Ltd. Series GMTN, USD 5 Year Swap Rate + 2.39%, 3.60%, 9/7/2021 (a) | 1,600,000 | 1,610,000 | ||||
LLPL Capital Pte, Ltd. 6.88%, 2/4/2039 (b) | 395,280 | 460,189 | ||||
ONGC Videsh Vankorneft Pte, Ltd. 2.88%, 1/27/2022 | 400,000 | 400,652 | ||||
Oversea-Chinese Banking Corp., Ltd. Series REGS, 4.25%, 6/19/2024 | 400,000 | 426,928 | ||||
Temasek Financial I, Ltd. Series REGS, 2.38%, 1/23/2023 | 1,400,000 | 1,418,676 | ||||
United Overseas Bank, Ltd.: | ||||||
Series EMTN, USD 5 Year Swap Rate + 1.79%, 3.88%, 10/19/2023 (a) | 1,100,000 | 1,119,037 | ||||
Series EMTN, USD 5 Year Swap Rate + 2.24%, 3.50%, 9/16/2026 (a) | 200,000 | 202,694 | ||||
5,638,176 | ||||||
SPAIN — 1.8% | ||||||
AI Candelaria Spain SLU: | ||||||
7.50%, 12/15/2028 (b) | 400,000 | 448,252 | ||||
Series REGS, 7.50%, 12/15/2028 | 823,000 | 922,278 | ||||
1,370,530 | ||||||
UNITED KINGDOM — 1.0% | ||||||
Radiant Access, Ltd. 4.60%, 5/18/2020 | 800,000 | 797,928 | ||||
UNITED STATES — 0.1% | ||||||
Freeport-McMoRan, Inc. 5.40%, 11/14/2034 | 100,000 | 104,773 | ||||
TOTAL CORPORATE BONDS & NOTES (Cost $59,208,105) | 61,623,394 | |||||
FOREIGN GOVERNMENT OBLIGATIONS — 10.0% | ||||||
CHILE — 0.3% | ||||||
Chile Government International Bond 3.13%, 3/27/2025 | 200,000 | 208,314 | ||||
COLOMBIA — 1.6% | ||||||
Colombia Government International Bond: | ||||||
2.63%, 3/15/2023 | 1,000,000 | 1,006,200 | ||||
5.20%, 5/15/2049 | 200,000 | 241,072 | ||||
1,247,272 | ||||||
INDIA — 0.7% | ||||||
Export-Import Bank of India Series EMTN, 4.00%, 1/14/2023 | 500,000 | 517,723 |
Table of Contents
Security Description | Principal Amount | Value | |||
INDONESIA — 2.8% | |||||
Indonesia Government International Bond Series REGS, 3.75%, 4/25/2022 | $1,000,000 | $1,031,750 | |||
Perusahaan Penerbit SBSN Indonesia III: | |||||
Series REGS, 3.40%, 3/29/2022 | 200,000 | 204,706 | |||
4.15%, 3/29/2027 (b) | 900,000 | 968,220 | |||
2,204,676 | |||||
MEXICO — 1.6% | |||||
Banco Nacional de Costa Rica Series REGS, 5 year CMT + 3.00%, 3.80%, 8/11/2026 | 200,000 | 202,620 | |||
Mexico Government International Bond: | |||||
3.75%, 1/11/2028 | 200,000 | 208,032 | |||
4.00%, 10/2/2023 | 300,000 | 316,155 | |||
4.15%, 3/28/2027 | 500,000 | 536,100 | |||
1,262,907 | |||||
PANAMA — 1.1% | |||||
Panama Government International Bond 4.00%, 9/22/2024 | 800,000 | 856,208 | |||
PERU — 0.3% | |||||
Fondo MIVIVIENDA SA Series REGS, 3.50%, 1/31/2023 | 200,000 | 204,574 | |||
PHILIPPINES — 1.1% | |||||
Philippine Government International Bond: | |||||
4.00%, 1/15/2021 | 300,000 | 306,342 | |||
4.20%, 1/21/2024 | 500,000 | 539,085 | |||
845,427 | |||||
THAILAND — 0.5% | |||||
Export Import Bank of Thailand: | |||||
Series EMTN, 3 Month USD LIBOR + 0.85%, 2.76%, 5/23/2024 (a) | 200,000 | 200,852 | |||
Series EMTN, 3 Month USD LIBOR + 0.90%, 2.80%, 11/20/2023 (a) | 200,000 | 201,308 | |||
402,160 | |||||
TOTAL FOREIGN GOVERNMENT OBLIGATIONS (Cost $7,527,745) | 7,749,261 |
Table of Contents
Security Description | Shares | Value | ||||
SHORT-TERM INVESTMENT — 9.5% | ||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 1.57% (c) (d) (Cost $7,367,897) | 7,367,897 | $7,367,897 | ||||
TOTAL INVESTMENTS — 98.9% (Cost $74,103,747) | 76,740,552 | |||||
OTHER ASSETS IN EXCESS OF LIABILITIES — 1.1% | 861,100 | |||||
NET ASSETS — 100.0% | $77,601,652 |
(a) | Variable Rate Security - Interest rate shown is rate in effect at December 31, 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 11.4% of net assets as of December 31, 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 December 31, 2019 are shown in the Affiliate Table below. |
(d) | The rate shown is the annualized seven-day yield at December 31, 2019. |
CMT | Constant Maturity Treasury |
EMTN | Euro Medium Term Note |
LIBOR | London Interbank Offered Rate |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Corporate Bonds & Notes | $— | $61,623,394 | $— | $61,623,394 | ||||
Foreign Government Obligations | — | 7,749,261 | — | 7,749,261 | ||||
Short-Term Investment | 7,367,897 | — | — | 7,367,897 | ||||
TOTAL INVESTMENTS | $7,367,897 | $69,372,655 | $— | $76,740,552 |
Table of Contents
Number of Shares Held at 6/30/19 | Value at 6/30/19 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 12/31/19 | Value at 12/31/19 | Dividend Income | |||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 85,220 | $85,220 | $19,007,450 | $11,724,773 | $— | $— | 7,367,897 | $7,367,897 | $24,449 |
Table of Contents
Security Description | Principal Amount | Value | |||
CORPORATE BONDS & NOTES — 30.1% | |||||
ADVERTISING — 0.3% | |||||
Omnicom Group, Inc./Omnicom Capital, Inc. 3.63%, 5/1/2022 | $435,000 | $450,434 | |||
AEROSPACE & DEFENSE — 0.5% | |||||
Bombardier, Inc. 6.00%, 10/15/2022 (a) | 45,000 | 44,959 | |||
Northrop Grumman Corp. 2.08%, 10/15/2020 | 452,000 | 452,348 | |||
TransDigm, Inc.: | |||||
5.50%, 11/15/2027 (a) | 40,000 | 40,464 | |||
6.25%, 3/15/2026 (a) | 65,000 | 70,478 | |||
6.38%, 6/15/2026 | 25,000 | 26,601 | |||
634,850 | |||||
AGRICULTURE — 0.5% | |||||
BAT Capital Corp. 2.76%, 8/15/2022 | 470,000 | 477,017 | |||
Reynolds American, Inc.: | |||||
3.25%, 6/12/2020 | 65,000 | 65,288 | |||
4.00%, 6/12/2022 | 145,000 | 151,006 | |||
693,311 | |||||
AIRLINES — 0.4% | |||||
Delta Air Lines, Inc. 3.40%, 4/19/2021 | 475,000 | 481,355 | |||
AUTO MANUFACTURERS — 0.8% | |||||
Daimler Finance North America LLC 2.30%, 2/12/2021 (a) | 560,000 | 561,221 | |||
Hyundai Capital America 2.85%, 11/1/2022 (a) | 435,000 | 439,619 | |||
1,000,840 | |||||
AUTO PARTS & EQUIPMENT — 0.0% (b) | |||||
Panther BF Aggregator 2 L.P./Panther Finance Co., Inc. 6.25%, 5/15/2026 (a) | 50,000 | 54,035 | |||
BANKS — 5.4% | |||||
Banco de Reservas de la Republica Dominicana Series REGS, 7.00%, 2/1/2023 | 150,000 | 157,710 | |||
Banco del Estado de Chile 2.67%, 1/8/2021 | 200,000 | 200,266 |
Table of Contents
Security Description | Principal Amount | Value | |||
Banco Mercantil del Norte SA Series REGS, 5 Year CMT + 5.04%, 6.88%, 7/6/2022 (c) | $200,000 | $209,150 | |||
Banco Santander Chile 2.50%, 12/15/2020 | 150,000 | 150,149 | |||
Bancolombia SA 5.95%, 6/3/2021 | 200,000 | 209,956 | |||
Bangkok Bank PCL 4.80%, 10/18/2020 | 200,000 | 204,124 | |||
Bank of America Corp. Series MTN, 3 Month USD LIBOR + 0.79%, 2.68%, 3/5/2024 (c) | 470,000 | 472,195 | |||
Bank of Montreal Series MTN, 2.90%, 3/26/2022 | 215,000 | 219,225 | |||
BB&T Corp. Series MTN, 2.20%, 3/16/2023 | 220,000 | 221,353 | |||
BBVA Bancomer SA Series REGS, 5 Year CMT + 3.00%, 5.35%, 11/12/2029 (c) | 200,000 | 202,130 | |||
BDO Unibank, Inc. Series EMTN, 2.63%, 10/24/2021 | 200,000 | 199,835 | |||
Citigroup, Inc. 3 Month USD LIBOR + 1.02%, 2.93%, 6/1/2024 (c) | 645,000 | 651,966 | |||
DBS Group Holdings, Ltd. Series GMTN, USD 5 Year Swap Rate + 2.39%, 3.60%, 9/7/2021 (c) | 200,000 | 201,250 | |||
Itau Unibanco Holding SA Series REGS, 6.20%, 12/21/2021 | 200,000 | 211,712 | |||
JPMorgan Chase & Co. 3 Month USD LIBOR + 0.70%, 3.21%, 4/1/2023 (c) | 455,000 | 466,211 | |||
Macquarie Bank, Ltd. 2.10%, 10/17/2022 (a) | 330,000 | 330,465 | |||
Malayan Banking Bhd USD 5 Year Swap Rate + 2.54%, 3.91%, 10/29/2026 (c) | 200,000 | 203,876 | |||
Mitsubishi UFJ Financial Group, Inc. 3.22%, 3/7/2022 | 340,000 | 348,231 | |||
Morgan Stanley 3 Month USD LIBOR + 0.93%, 2.88%, 7/22/2022 (c) | 700,000 | 706,622 | |||
Oversea-Chinese Banking Corp., Ltd. Series REGS, 4.25%, 6/19/2024 | 200,000 | 213,464 | |||
Sumitomo Mitsui Financial Group, Inc. 2.06%, 7/14/2021 | 720,000 | 721,253 | |||
Toronto-Dominion Bank Series MTN, 3.25%, 6/11/2021 | 425,000 | 433,946 | |||
United Overseas Bank, Ltd. Series EMTN, USD 5 Year Swap Rate + 1.65%, 2.88%, 3/8/2027 (c) | 200,000 | 200,328 | |||
7,135,417 |
Table of Contents
Security Description | Principal Amount | Value | |||
BEVERAGES — 0.3% | |||||
Coca-Cola Femsa SAB de CV 4.63%, 2/15/2020 | $100,000 | $100,276 | |||
Cott Holdings, Inc. 5.50%, 4/1/2025 (a) | 95,000 | 99,317 | |||
Fomento Economico Mexicano SAB de CV 2.88%, 5/10/2023 | 200,000 | 202,166 | |||
401,759 | |||||
BUILDING MATERIALS — 0.0% (b) | |||||
Builders FirstSource, Inc. 5.63%, 9/1/2024 (a) | 44,000 | 45,826 | |||
CHEMICALS — 0.3% | |||||
Avantor, Inc. 9.00%, 10/1/2025 (a) | 65,000 | 72,745 | |||
DowDuPont, Inc. 3.77%, 11/15/2020 | 140,000 | 142,170 | |||
UPL Corp., Ltd. Series REGS, 3.25%, 10/13/2021 | 200,000 | 201,080 | |||
415,995 | |||||
COAL — 0.1% | |||||
Peabody Energy Corp. 6.00%, 3/31/2022 (a) | 50,000 | 49,076 | |||
SunCoke Energy Partners L.P./SunCoke Energy Partners Finance Corp. 7.50%, 6/15/2025 (a) | 50,000 | 48,054 | |||
97,130 | |||||
COMMERCIAL SERVICES — 1.1% | |||||
Adani Ports & Special Economic Zone, Ltd. Series REGS, 3.95%, 1/19/2022 | 200,000 | 204,682 | |||
Cintas Corp. No. 2 2.90%, 4/1/2022 | 470,000 | 479,682 | |||
Financial & Risk US Holdings, Inc. 6.25%, 5/15/2026 (a) | 65,000 | 70,997 | |||
Garda World Security Corp. 8.75%, 5/15/2025 (a) | 50,000 | 51,735 | |||
MPH Acquisition Holdings LLC 7.13%, 6/1/2024 (a) | 50,000 | 48,596 | |||
PayPal Holdings, Inc. 2.20%, 9/26/2022 | 375,000 | 377,546 | |||
United Rentals North America, Inc.: | |||||
5.25%, 1/15/2030 | 35,000 | 37,667 |
Table of Contents
Security Description | Principal Amount | Value | |||
6.50%, 12/15/2026 | $55,000 | $60,527 | |||
Verscend Escrow Corp. 9.75%, 8/15/2026 (a) | 50,000 | 54,808 | |||
1,386,240 | |||||
COMPUTERS — 0.1% | |||||
Tempo Acquisition LLC/Tempo Acquisition Finance Corp. 6.75%, 6/1/2025 (a) | 75,000 | 77,494 | |||
DISTRIBUTION & WHOLESALE — 0.0% (b) | |||||
Performance Food Group, Inc. 5.50%, 10/15/2027 (a) | 45,000 | 48,040 | |||
DIVERSIFIED FINANCIAL SERVICES — 1.2% | |||||
Air Lease Corp. 2.50%, 3/1/2021 | 195,000 | 195,864 | |||
Allied Universal Holdco LLC/Allied Universal Finance Corp.: | |||||
6.63%, 7/15/2026 (a) | 50,000 | 53,715 | |||
9.75%, 7/15/2027 (a) | 25,000 | 26,729 | |||
American Express Co. 3.70%, 11/5/2021 | 400,000 | 412,252 | |||
B3 SA - Brasil Bolsa Balcao 5.50%, 7/16/2020 | 100,000 | 101,679 | |||
Capital One Financial Corp.: | |||||
2.40%, 10/30/2020 | 167,000 | 167,486 | |||
3.20%, 1/30/2023 | 250,000 | 257,165 | |||
Global Aircraft Leasing Co., Ltd. 6.50%, 9/15/2024 (a) | 55,000 | 57,388 | |||
Icahn Enterprises L.P./Icahn Enterprises Finance Corp.: | |||||
5.25%, 5/15/2027 (a) | 35,000 | 35,926 | |||
6.25%, 5/15/2026 | 55,000 | 58,673 | |||
Nationstar Mortgage Holdings, Inc. 8.13%, 7/15/2023 (a) | 50,000 | 53,047 | |||
NFP Corp. 6.88%, 7/15/2025 (a) | 75,000 | 75,127 | |||
Springleaf Finance Corp.: | |||||
5.38%, 11/15/2029 | 20,000 | 20,883 | |||
6.63%, 1/15/2028 | 40,000 | 45,102 | |||
1,561,036 | |||||
ELECTRIC — 2.1% | |||||
AES Andres B.V./Dominican Power Partners/Empresa Generadora de Electricidad It Series REGS, 7.95%, 5/11/2026 | 200,000 | 212,996 |
Table of Contents
Security Description | Principal Amount | Value | |||
AES Gener SA USD 5 Year Swap Rate + 4.64%, 7.13%, 3/26/2079 (a) (c) | $200,000 | $210,214 | |||
Calpine Corp.: | |||||
4.50%, 2/15/2028 (a) | 25,000 | 25,329 | |||
5.13%, 3/15/2028 (a) | 40,000 | 40,897 | |||
5.25%, 6/1/2026 (a) | 55,000 | 57,318 | |||
Consolidated Edison, Inc. 2.00%, 5/15/2021 | 475,000 | 475,508 | |||
DTE Energy Co.: | |||||
2.25%, 11/1/2022 | 210,000 | 209,987 | |||
Series C, 2.53%, 10/1/2024 | 215,000 | 215,602 | |||
Israel Electric Corp., Ltd. Series REGS, 6.88%, 6/21/2023 | 200,000 | 227,114 | |||
NextEra Energy Capital Holdings, Inc. 2.90%, 4/1/2022 | 440,000 | 449,104 | |||
Perusahaan Listrik Negara PT Series REGS, 5.50%, 11/22/2021 | 200,000 | 211,962 | |||
PSEG Power LLC 3.85%, 6/1/2023 | 420,000 | 441,114 | |||
2,777,145 | |||||
ENGINEERING & CONSTRUCTION — 0.1% | |||||
AECOM 5.13%, 3/15/2027 | 100,000 | 107,497 | |||
ENTERTAINMENT — 0.2% | |||||
Cedar Fair L.P. 5.25%, 7/15/2029 (a) | 55,000 | 59,269 | |||
Lions Gate Capital Holdings LLC 6.38%, 2/1/2024 (a) | 65,000 | 67,813 | |||
Live Nation Entertainment, Inc. 4.75%, 10/15/2027 (a) | 65,000 | 67,271 | |||
Scientific Games International, Inc. 7.25%, 11/15/2029 (a) | 25,000 | 27,152 | |||
221,505 | |||||
ENVIRONMENTAL CONTROL — 0.7% | |||||
Clean Harbors, Inc. 4.88%, 7/15/2027 (a) | 60,000 | 63,367 | |||
GFL Environmental, Inc.: | |||||
5.13%, 12/15/2026 (a) | 55,000 | 57,984 | |||
8.50%, 5/1/2027 (a) | 25,000 | 27,389 | |||
Republic Services, Inc. 2.50%, 8/15/2024 | 250,000 | 253,112 |
Table of Contents
Security Description | Principal Amount | Value | |||
Tervita Corp. 7.63%, 12/1/2021 (a) | $50,000 | $50,446 | |||
Waste Management, Inc. 2.95%, 6/15/2024 | 445,000 | 459,801 | |||
912,099 | |||||
FOOD — 1.0% | |||||
Albertsons Cos., Inc./Safeway, Inc./New Albertsons L.P./Albertsons LLC: | |||||
4.63%, 1/15/2027 (a) | 40,000 | 40,001 | |||
5.88%, 2/15/2028 (a) | 45,000 | 47,866 | |||
B&G Foods, Inc.: | |||||
5.25%, 4/1/2025 | 50,000 | 51,534 | |||
5.25%, 9/15/2027 | 35,000 | 35,279 | |||
Grupo Bimbo SAB de CV 4.50%, 1/25/2022 | 200,000 | 208,174 | |||
JBS USA LUX SA/JBS USA Finance, Inc.: | |||||
5.75%, 6/15/2025 (a) | 5,000 | 5,183 | |||
5.88%, 7/15/2024 (a) | 10,000 | 10,288 | |||
6.75%, 2/15/2028 (a) | 50,000 | 55,289 | |||
JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc. 6.50%, 4/15/2029 (a) | 40,000 | 44,454 | |||
MARB BondCo PLC Series REGS, 7.00%, 3/15/2024 | 200,000 | 208,548 | |||
Mondelez International, Inc.: | |||||
3.00%, 5/7/2020 | 410,000 | 411,296 | |||
3.63%, 5/7/2023 | 25,000 | 26,197 | |||
Pilgrim's Pride Corp. 5.88%, 9/30/2027 (a) | 70,000 | 75,683 | |||
Post Holdings, Inc.: | |||||
5.50%, 3/1/2025 (a) | 60,000 | 62,934 | |||
5.50%, 12/15/2029 (a) | 20,000 | 21,351 | |||
1,304,077 | |||||
FOOD SERVICE — 0.1% | |||||
Aramark Services, Inc. 5.00%, 2/1/2028 (a) | 100,000 | 105,332 | |||
FOREST PRODUCTS & PAPER — 0.2% | |||||
Inversiones CMPC SA Series REGS, 4.50%, 4/25/2022 | 200,000 | 206,846 | |||
HAND & MACHINE TOOLS — 0.1% | |||||
Colfax Corp. 6.38%, 2/15/2026 (a) | 70,000 | 76,426 |
Table of Contents
Security Description | Principal Amount | Value | |||
HEALTH CARE SERVICES — 0.7% | |||||
Anthem, Inc.: | |||||
2.50%, 11/21/2020 | $325,000 | $326,563 | |||
3.30%, 1/15/2023 | 110,000 | 113,778 | |||
Centene Corp.: | |||||
4.25%, 12/15/2027 (a) | 20,000 | 20,596 | |||
4.63%, 12/15/2029 (a) | 55,000 | 57,920 | |||
Eagle Holding Co. II LLC 7.75%, 5/15/2022 (a) | 35,000 | 35,515 | |||
HCA, Inc. 5.38%, 9/1/2026 | 75,000 | 83,663 | |||
Select Medical Corp. 6.25%, 8/15/2026 (a) | 120,000 | 129,875 | |||
Tenet Healthcare Corp. 5.13%, 11/1/2027 (a) | 60,000 | 63,355 | |||
WellCare Health Plans, Inc. 5.38%, 8/15/2026 (a) | 60,000 | 64,025 | |||
West Street Merger Sub, Inc. 6.38%, 9/1/2025 (a) | 25,000 | 24,879 | |||
920,169 | |||||
HOME FURNISHINGS — 0.1% | |||||
Tempur Sealy International, Inc. 5.50%, 6/15/2026 | 75,000 | 79,085 | |||
HOUSEHOLD PRODUCTS & WARES — 0.0% (b) | |||||
Kronos Acquisition Holdings, Inc. 9.00%, 8/15/2023 (a) | 30,000 | 28,580 | |||
INSURANCE — 0.5% | |||||
Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer 6.75%, 10/15/2027 (a) | 25,000 | 26,818 | |||
GTCR AP Finance, Inc. 8.00%, 5/15/2027 (a) | 35,000 | 36,369 | |||
Marsh & McLennan Cos., Inc. 3 Month USD LIBOR + 1.20%, 3.16%, 12/29/2021 (c) | 330,000 | 330,178 | |||
Prudential Financial, Inc.: | |||||
Series MTN, 3.50%, 5/15/2024 | 280,000 | 297,775 | |||
Series MTN, 4.50%, 11/16/2021 | 30,000 | 31,505 | |||
722,645 | |||||
INTERNET — 0.6% | |||||
Alibaba Group Holding, Ltd. 3.13%, 11/28/2021 | 200,000 | 203,688 |
Table of Contents
Security Description | Principal Amount | Value | |||
eBay, Inc. 2.75%, 1/30/2023 | $475,000 | $481,778 | |||
Netflix, Inc. 4.88%, 6/15/2030 (a) | 70,000 | 71,178 | |||
Uber Technologies, Inc. 7.50%, 9/15/2027 (a) | 35,000 | 35,960 | |||
792,604 | |||||
INVESTMENT COMPANY SECURITY — 0.4% | |||||
Grupo de Inversiones Suramericana SA Series REGS, 5.70%, 5/18/2021 | 200,000 | 208,534 | |||
Temasek Financial I, Ltd. Series REGS, 2.38%, 1/23/2023 | 250,000 | 253,335 | |||
461,869 | |||||
LEISURE TIME — 0.1% | |||||
Viking Cruises, Ltd. 5.88%, 9/15/2027 (a) | 65,000 | 69,488 | |||
LODGING — 0.0% (b) | |||||
Hilton Domestic Operating Co., Inc. 4.25%, 9/1/2024 | 65,000 | 66,309 | |||
MACHINERY, CONSTRUCTION & MINING — 0.1% | |||||
Caterpillar Financial Services Corp. Series MTN, 1.90%, 9/6/2022 | 185,000 | 185,322 | |||
MEDIA — 1.0% | |||||
CCO Holdings LLC/CCO Holdings Capital Corp.: | |||||
4.75%, 3/1/2030 (a) | 45,000 | 45,895 | |||
5.75%, 2/15/2026 (a) | 95,000 | 100,188 | |||
Cengage Learning, Inc. 9.50%, 6/15/2024 (a) | 30,000 | 26,089 | |||
Clear Channel Worldwide Holdings, Inc. 5.13%, 8/15/2027 (a) | 50,000 | 52,044 | |||
Comcast Corp. 3.45%, 10/1/2021 | 435,000 | 447,685 | |||
CSC Holdings LLC 5.25%, 6/1/2024 | 100,000 | 107,776 | |||
Diamond Sports Group LLC/Diamond Sports Finance Co. 5.38%, 8/15/2026 (a) | 55,000 | 55,723 | |||
DISH DBS Corp. 5.88%, 11/15/2024 | 30,000 | 30,705 | |||
Gray Television, Inc. 7.00%, 5/15/2027 (a) | 50,000 | 55,709 |
Table of Contents
Security Description | Principal Amount | Value | |||
iHeartCommunications, Inc.: | |||||
4.75%, 1/15/2028 (a) | $25,000 | $25,600 | |||
5.25%, 8/15/2027 (a) | 35,000 | 36,672 | |||
6.38%, 5/1/2026 | 15,000 | 16,313 | |||
8.38%, 5/1/2027 | 10,000 | 11,034 | |||
Nexstar Broadcasting, Inc. 5.63%, 7/15/2027 (a) | 25,000 | 26,374 | |||
Sirius XM Radio, Inc.: | |||||
5.38%, 7/15/2026 (a) | 70,000 | 74,472 | |||
5.50%, 7/1/2029 (a) | 30,000 | 32,465 | |||
VTR Finance B.V. Series REGS, 6.88%, 1/15/2024 | 200,000 | 204,902 | |||
1,349,646 | |||||
MINING — 0.5% | |||||
Corp. Nacional del Cobre de Chile 3.88%, 11/3/2021 | 200,000 | 205,410 | |||
Freeport-McMoRan, Inc. 3.55%, 3/1/2022 | 200,000 | 202,764 | |||
Southern Copper Corp. 5.38%, 4/16/2020 | 250,000 | 251,772 | |||
659,946 | |||||
MISCELLANEOUS MANUFACTURER — 0.3% | |||||
Gates Global LLC/Gates Global Co. 6.25%, 1/15/2026 (a) | 35,000 | 35,584 | |||
General Electric Co. 2.70%, 10/9/2022 | 365,000 | 369,774 | |||
405,358 | |||||
OIL & GAS — 2.0% | |||||
CNPC General Capital, Ltd. Series REGS, 3.95%, 4/19/2022 | 200,000 | 207,044 | |||
Gulfport Energy Corp. 6.38%, 5/15/2025 | 45,000 | 28,575 | |||
Hilcorp Energy I L.P./Hilcorp Finance Co. 6.25%, 11/1/2028 (a) | 40,000 | 38,118 | |||
Indian Oil Corp., Ltd. 5.63%, 8/2/2021 | 200,000 | 209,168 | |||
Indigo Natural Resources LLC 6.88%, 2/15/2026 (a) | 20,000 | 18,921 | |||
MEG Energy Corp. 7.00%, 3/31/2024 (a) | 20,000 | 20,187 |
Table of Contents
Security Description | Principal Amount | Value | |||
Oasis Petroleum, Inc. 6.88%, 3/15/2022 | $20,000 | $19,427 | |||
Occidental Petroleum Corp. 2.70%, 8/15/2022 | 230,000 | 232,512 | |||
ONGC Videsh, Ltd. 3.75%, 5/7/2023 | 250,000 | 256,143 | |||
Parkland Fuel Corp. 5.88%, 7/15/2027 (a) | 40,000 | 42,922 | |||
Parsley Energy LLC/Parsley Finance Corp. 5.63%, 10/15/2027 (a) | 70,000 | 74,078 | |||
Pertamina Persero PT Series REGS, 4.88%, 5/3/2022 | 200,000 | 211,080 | |||
Petrobras Global Finance B.V. 5.38%, 1/27/2021 | 200,000 | 206,288 | |||
Petronas Global Sukuk, Ltd. Series REGS, 2.71%, 3/18/2020 | 200,000 | 200,158 | |||
PTTEP Canada International Finance, Ltd. 5.69%, 4/5/2021 | 200,000 | 208,088 | |||
QEP Resources, Inc. 5.63%, 3/1/2026 | 40,000 | 39,055 | |||
Reliance Holding USA, Inc. Series REGS, 4.50%, 10/19/2020 | 250,000 | 253,950 | |||
Sinopec Group Overseas Development 2016, Ltd. Series REGS, 2.00%, 9/29/2021 | 200,000 | 198,966 | |||
Sunoco L.P./Sunoco Finance Corp. 6.00%, 4/15/2027 | 70,000 | 74,584 | |||
Transocean Poseidon, Ltd. 6.88%, 2/1/2027 (a) | 75,000 | 79,354 | |||
Transocean, Inc. 7.25%, 11/1/2025 (a) | 25,000 | 24,600 | |||
2,643,218 | |||||
OIL & GAS SERVICES — 0.3% | |||||
Schlumberger Holdings Corp. 3.75%, 5/1/2024 (a) | 320,000 | 337,609 | |||
USA Compression Partners L.P./USA Compression Finance Corp. 6.88%, 9/1/2027 | 80,000 | 83,598 | |||
421,207 | |||||
PACKAGING & CONTAINERS — 0.2% | |||||
Berry Global, Inc. 5.63%, 7/15/2027 (a) | 65,000 | 70,043 | |||
Crown Americas LLC/Crown Americas Capital Corp. 4.75%, 2/1/2026 | 75,000 | 79,337 |
Table of Contents
Security Description | Principal Amount | Value | |||
Flex Acquisition Co., Inc. 6.88%, 1/15/2025 (a) | $55,000 | $55,451 | |||
204,831 | |||||
PHARMACEUTICALS — 2.5% | |||||
AbbVie, Inc. 2.30%, 11/21/2022 (a) | 240,000 | 241,162 | |||
AstraZeneca PLC: | |||||
2.38%, 11/16/2020 | 605,000 | 607,160 | |||
2.38%, 6/12/2022 | 55,000 | 55,612 | |||
Bausch Health Cos., Inc.: | |||||
5.00%, 1/30/2028 (a) | 35,000 | 35,986 | |||
5.25%, 1/30/2030 (a) | 35,000 | 36,347 | |||
5.75%, 8/15/2027 (a) | 50,000 | 54,310 | |||
7.00%, 1/15/2028 (a) | 35,000 | 38,701 | |||
7.25%, 5/30/2029 (a) | 35,000 | 39,957 | |||
Bristol-Myers Squibb Co. 2.60%, 5/16/2022 (a) | 480,000 | 487,963 | |||
Cardinal Health, Inc. 2.62%, 6/15/2022 | 710,000 | 717,306 | |||
Cigna Corp. 3.40%, 9/17/2021 | 450,000 | 460,588 | |||
CVS Health Corp. 3.70%, 3/9/2023 | 470,000 | 489,355 | |||
3,264,447 | |||||
PIPELINES — 0.4% | |||||
Antero Midstream Partners L.P./Antero Midstream Finance Corp. 5.75%, 3/1/2027 (a) | 22,000 | 19,366 | |||
Cheniere Energy Partners L.P.: | |||||
5.25%, 10/1/2025 | 35,000 | 36,438 | |||
5.63%, 10/1/2026 | 90,000 | 95,182 | |||
Hess Midstream Operations L.P.: | |||||
5.13%, 6/15/2028 (a) | 55,000 | 55,747 | |||
5.63%, 2/15/2026 (a) | 64,000 | 66,870 | |||
Oleoducto Central SA Series REGS, 4.00%, 5/7/2021 | 200,000 | 204,010 | |||
Targa Resources Partners L.P./Targa Resources Partners Finance Corp. 5.50%, 3/1/2030 (a) | 105,000 | 108,036 | |||
585,649 |
Table of Contents
Security Description | Principal Amount | Value | |||
REAL ESTATE — 0.2% | |||||
Sinochem Overseas Capital Co., Ltd. 4.50%, 11/12/2020 | $200,000 | $203,510 | |||
REAL ESTATE INVESTMENT TRUSTS — 0.8% | |||||
ESH Hospitality, Inc.: | |||||
4.63%, 10/1/2027 (a) | 25,000 | 25,344 | |||
5.25%, 5/1/2025 (a) | 75,000 | 77,604 | |||
Iron Mountain, Inc. 4.88%, 9/15/2029 (a) | 50,000 | 50,840 | |||
MGM Growth Properties Operating Partnership L.P./MGP Finance Co-Issuer, Inc. 5.75%, 2/1/2027 (a) | 50,000 | 55,875 | |||
MPT Operating Partnership L.P./MPT Finance Corp. 5.25%, 8/1/2026 | 70,000 | 73,942 | |||
Simon Property Group L.P. 2.00%, 9/13/2024 | 315,000 | 313,942 | |||
Welltower, Inc. 3.63%, 3/15/2024 | 435,000 | 457,024 | |||
1,054,571 | |||||
RETAIL — 0.2% | |||||
1011778 BC ULC/New Red Finance, Inc. 5.00%, 10/15/2025 (a) | 30,000 | 31,123 | |||
Beacon Roofing Supply, Inc. 4.88%, 11/1/2025 (a) | 70,000 | 70,314 | |||
Carvana Co. 8.88%, 10/1/2023 (a) | 30,000 | 31,610 | |||
Golden Nugget, Inc. 6.75%, 10/15/2024 (a) | 60,000 | 62,077 | |||
PetSmart, Inc. 5.88%, 6/1/2025 (a) | 42,000 | 42,890 | |||
Staples, Inc. 7.50%, 4/15/2026 (a) | 60,000 | 62,426 | |||
300,440 | |||||
SEMICONDUCTORS — 0.7% | |||||
Analog Devices, Inc. 2.95%, 1/12/2021 | 490,000 | 494,253 | |||
Microchip Technology, Inc. 3.92%, 6/1/2021 | 470,000 | 480,209 | |||
974,462 |
Table of Contents
Security Description | Principal Amount | Value | |||
SOFTWARE — 0.2% | |||||
CDK Global, Inc. 5.25%, 5/15/2029 (a) | $15,000 | $16,090 | |||
Genesys Telecommunications Laboratories, Inc./Greeneden Lux 3 Sarl/Greeneden US Holdings II LLC 10.00%, 11/30/2024 (a) | 45,000 | 48,626 | |||
SS&C Technologies, Inc. 5.50%, 9/30/2027 (a) | 85,000 | 90,657 | |||
Star Merger Sub, Inc. 6.88%, 8/15/2026 (a) | 45,000 | 49,670 | |||
205,043 | |||||
TELECOMMUNICATIONS — 1.7% | |||||
AT&T, Inc. 2.80%, 2/17/2021 | 470,000 | 474,178 | |||
Axiata SPV2 Bhd Series 2, 3.47%, 11/19/2020 | 200,000 | 201,590 | |||
CenturyLink, Inc. 5.13%, 12/15/2026 (a) | 45,000 | 45,877 | |||
Cincinnati Bell, Inc. 7.00%, 7/15/2024 (a) | 40,000 | 41,924 | |||
Colombia Telecomunicaciones USD 5 Year Swap Rate + 6.96%, 8.50%, 12/29/2049 (c) | 250,000 | 252,688 | |||
CommScope, Inc. 5.50%, 3/1/2024 (a) | 45,000 | 46,975 | |||
Comunicaciones Celulares SA Via Comcel Trust 6.88%, 2/6/2024 | 200,000 | 205,522 | |||
Frontier Communications Corp. 8.00%, 4/1/2027 (a) | 70,000 | 73,319 | |||
Gogo Intermediate Holdings LLC/Gogo Finance Co., Inc. 9.88%, 5/1/2024 (a) | 50,000 | 52,995 | |||
GTT Communications, Inc. 7.88%, 12/31/2024 (a) | 30,000 | 22,623 | |||
Intelsat Jackson Holdings SA 8.50%, 10/15/2024 (a) | 60,000 | 54,721 | |||
Level 3 Financing, Inc.: | |||||
4.63%, 9/15/2027 (a) | 55,000 | 56,369 | |||
5.38%, 1/15/2024 | 70,000 | 71,084 | |||
Sprint Capital Corp. 6.88%, 11/15/2028 | 50,000 | 54,061 | |||
Sprint Corp. 7.13%, 6/15/2024 | 50,000 | 53,881 |
Table of Contents
Security Description | Principal Amount | Value | |||
Telesat Canada/Telesat LLC 6.50%, 10/15/2027 (a) | $15,000 | $15,613 | |||
T-Mobile USA, Inc. 4.50%, 2/1/2026 | 75,000 | 77,230 | |||
Verizon Communications, Inc. 3 Month USD LIBOR + 1.10%, 3.01%, 5/15/2025 (c) | 420,000 | 429,421 | |||
2,230,071 | |||||
TRANSPORTATION — 0.7% | |||||
Penske Truck Leasing Co. L.P./PTL Finance Corp. 2.70%, 11/1/2024 (a) | 480,000 | 484,109 | |||
Union Pacific Corp. 3.20%, 6/8/2021 | 475,000 | 483,887 | |||
967,996 | |||||
TRUCKING & LEASING — 0.4% | |||||
Avolon Holdings Funding, Ltd.: | |||||
3.63%, 5/1/2022 (a) | 410,000 | 420,799 | |||
5.25%, 5/15/2024 (a) | 60,000 | 65,602 | |||
486,401 | |||||
TOTAL CORPORATE BONDS & NOTES (Cost $38,780,640) | 39,477,556 | ||||
ASSET-BACKED SECURITIES — 3.6% | |||||
AUTOMOBILE — 0.2% | |||||
Westlake Automobile Receivables Trust Series 2017-2A, Class C, 2.59%, 12/15/2022 (a) | 320,232 | 320,525 | |||
OTHER ABS — 3.0% | |||||
Ajax Mortgage Loan Trust Series 2018-E, Class A, 4.38%, 6/25/2058 (a) (c) | 467,767 | 473,879 | |||
Arbor Realty Commercial Real Estate Notes 2018-FL1, Ltd. Series 2018-FL1, Class A, 1 Month USD LIBOR + 1.15%, 2.89%, 6/15/2028 (a) (c) | 71,000 | 71,042 | |||
BDS, Ltd. Series 2019-FL4, Class A, 1 Month USD LIBOR + 1.10%, 2.84%, 8/15/2036 (a) (c) | 100,000 | 99,811 | |||
BSPRT Issuer, Ltd. Series 2019-FL5, Class A, 1 Month USD LIBOR + 1.15%, 2.92%, 5/15/2029 (a) (c) | 100,000 | 99,875 | |||
Consumer Loan Underlying Bond Credit Trust 2018-P1 Series 2018-P1, Class A, 3.39%, 7/15/2025 (a) | 117,464 | 117,808 |
Table of Contents
Security Description | Principal Amount | Value | |||
FS Rialto 2019-FL1 Series 2019-FL1, Class A, 1 Month USD LIBOR + 1.2%, 2.97%, 12/16/2036 (a) (c) | $161,000 | $161,000 | |||
KREF 2018-FL1, Ltd. Series 2018-FL1, Class AS, 1 Month USD LIBOR + 1.35% , 3.09%, 6/15/2036 (a) (c) | 125,000 | 125,000 | |||
LoanCore 2018-CRE1 Issuer, Ltd. Series 2018-CRE1, Class A, 1 Month USD LIBOR + 1.13%, 2.87%, 5/15/2028 (a) (c) | 100,000 | 99,788 | |||
LoanCore Issuer, Ltd. Series 2019-CRE2, Class AS, 1 Month USD LIBOR + 1.50%, 3.24%, 5/15/2036 (a) (c) | 100,000 | 100,000 | |||
Marathon CRE 2018 FL1, Ltd. Series 2018-FL1, Class A, 1 Month USD LIBOR + 1.15%, 2.89%, 6/15/2028 (a) (c) | 100,000 | 99,969 | |||
Marlette Funding Trust: | |||||
Series 2019-2A, Class A, 3.13%, 7/16/2029 (a) | 345,235 | 347,460 | |||
Series 2018-3A, Class A, 3.20%, 9/15/2028 (a) | 110,356 | 110,583 | |||
Marlette Funding Trust 2019-4 Series 2019-4A, Class A, 2.39%, 12/17/2029 (a) | 465,910 | 465,926 | |||
NLY Commercial Mortgage Trust Series 2019-FL2, Class AS, 1 Month USD LIBOR + 1.60%, 3.34%, 2/15/2036 (a) (c) | 120,000 | 120,224 | |||
OneMain Financial Issuance Trust Series 2017-1A, Class A1, 2.37%, 9/14/2032 (a) | 202,855 | 202,823 | |||
Sofi Consumer Loan Program 2018-2 Trust Series 2018-2, Class A1, 2.93%, 4/26/2027 (a) | 4,600 | 4,601 | |||
Sofi Consumer Loan Program LLC: | |||||
Series 2017-6, Class A2, 2.82%, 11/25/2026 (a) | 220,112 | 220,886 | |||
Series 2017-1, Class A, 3.28%, 1/26/2026 (a) | 78,470 | 78,714 | |||
STWD, Ltd. Series 2019-FL1, Class AS, 1 Month USD LIBOR + 1.40%, 3.14%, 7/15/2038 (a) (c) | 100,000 | 100,062 | |||
Textainer Marine Containers VII, Ltd. Series 2019-1A, Class A, 3.96%, 4/20/2044 (a) | 473,333 | 474,976 | |||
Vericrest Opportunity Loan Trust Series 2019-NPL3, Class A1, 3.97%, 3/25/2049 (a) (d) | 344,139 | 345,905 | |||
3,920,332 |
Table of Contents
Security Description | Principal Amount | Value | |||
STUDENT LOAN ABS — 0.4% | |||||
Laurel Road Prime Student Loan Trust Series 2019-A, Class A1FX, 2.34%, 10/25/2048 (a) | $535,456 | $535,726 | |||
TOTAL ASSET-BACKED SECURITIES (Cost $4,762,557) | 4,776,583 | ||||
FOREIGN GOVERNMENT OBLIGATIONS — 2.0% | |||||
BRAZIL — 0.5% | |||||
Banco Bradesco (Cayman) 5.90%, 1/16/2021 | 200,000 | 206,042 | |||
Banco do Brasil SA 10 Year CMT + 7.78%, 8.50%, 10/29/2049 (c) | 200,000 | 207,832 | |||
Brazilian Government International Bond 4.88%, 1/22/2021 | 200,000 | 206,092 | |||
619,966 | |||||
CHILE — 0.2% | |||||
Chile Government International Bond 3.88%, 8/5/2020 | 200,000 | 202,170 | |||
SOC Quimica Y Minera de 5.50%, 4/21/2020 | 100,000 | 100,903 | |||
303,073 | |||||
COLOMBIA — 0.2% | |||||
Colombia Government International Bond 4.38%, 7/12/2021 | 200,000 | 206,416 | |||
DOMINICAN REPUBLIC — 0.2% | |||||
Dominican Republic International Bond Series REGS, 7.50%, 5/6/2021 | 266,667 | 277,179 | |||
INDONESIA — 0.2% | |||||
Indonesia Government International Bond Series REGS, 4.88%, 5/5/2021 | 200,000 | 207,614 | |||
MALAYSIA — 0.2% | |||||
Wakala Global Sukuk Bhd 4.65%, 7/6/2021 | 250,000 | 259,375 | |||
MEXICO — 0.3% | |||||
Banco Nacional de Costa Rica Series REGS, 5 year CMT + 3.00%, 3.80%, 8/11/2026 (c) | 250,000 | 253,275 | |||
Nacional Financiera SNC Series REGS, 3.38%, 11/5/2020 | 200,000 | 200,972 | |||
454,247 |
Table of Contents
Security Description | Principal Amount | Value | |||
THAILAND — 0.2% | |||||
Export Import Bank of Thailand Series EMTN, 3 Month USD LIBOR + 0.85%, 2.76%, 5/23/2024 (c) | $250,000 | $251,065 | |||
TOTAL FOREIGN GOVERNMENT OBLIGATIONS (Cost $2,573,964) | 2,578,935 | ||||
U.S. GOVERNMENT AGENCY OBLIGATIONS — 24.7% | |||||
Federal Home Loan Mortgage Corp.: | |||||
3.00%, 10/1/2034 | 968,349 | 994,290 | |||
3.50%, 9/1/2032 | 660,265 | 686,933 | |||
Series 264, Class F1, 1 Month USD LIBOR + 0.55%, 2.29%, 7/15/2042 (c) | 1,751,318 | 1,753,306 | |||
Series 4125, Class FH, 1 Month USD LIBOR + 0.35%, 2.09%, 11/15/2042 (c) | 675,159 | 668,577 | |||
Series 4211, Class AP, 1.60%, 3/15/2043 | 1,768,151 | 1,719,433 | |||
Series 3798, Class FG, CMO, 1 Month USD LIBOR + 0.51%, 2.25%, 1/15/2041 (c) | 2,261,283 | 2,258,050 | |||
Series 4030, Class AN, CMO, REMIC, 1.75%, 4/15/2027 | 1,421,432 | 1,409,427 | |||
Series 4060, Class QA, CMO, REMIC, 1.50%, 9/15/2026 | 504,870 | 500,540 | |||
Series 4125, Class FA, CMO, REMIC, 1 Month USD LIBOR + 0.35%, 2.09%, 11/15/2042 (c) | 406,976 | 403,018 | |||
Series 4484, Class CD, CMO, REMIC, 1.75%, 7/15/2030 | 230,353 | 226,918 | |||
Series 4582, Class HA, CMO, REMIC, 3.00%, 9/15/2045 | 577,739 | 593,046 | |||
Series 4738, Class LA, CMO, REMIC, 3.00%, 11/15/2043 | 730,514 | 740,605 | |||
Series 4764, Class WF, CMO, REMIC, 1 Month USD LIBOR + 0.30%, 2.04%, 2/15/2048 (c) | 836,168 | 829,454 | |||
Series K722, Class X1, IO, 1.31%, 3/25/2023 (c) | 474,183 | 14,938 | |||
Federal National Mortgage Association: | |||||
2.50%, 1/1/2032 | 1,983,895 | 2,009,335 | |||
3.00%, 11/1/2033 | 1,529,500 | 1,579,124 | |||
3.00%, 11/1/2036 | 468,971 | 481,727 | |||
1.67% - 1 Month USD LIBOR, 2.72%, 5/1/2044 (c) | 236,577 | 238,928 | |||
Series 2010-141, Class FB, 1 Month USD LIBOR + 0.47%, 2.26%, 12/25/2040 (c) | 288,559 | 287,495 | |||
Series 2014-73, Class AF, 1 Month USD LIBOR + 0.45%, 2.24%, 11/25/2044 (c) | 1,768,884 | 1,761,128 | |||
Series 2016-23, Class FT, 1 Month USD LIBOR + 0.50%, 2.29%, 11/25/2045 (c) | 865,661 | 864,001 | |||
Series 2012-56, Class FA, CMO, 1 Month USD LIBOR + 0.55%, 2.34%, 6/25/2042 (c) | 1,634,781 | 1,642,103 | |||
Series 2018-77, Class FA, CMO, 1 Month USD LIBOR + 0.30%, 2.09%, 10/25/2048 (c) | 745,030 | 736,337 |
Table of Contents
Security Description | Principal Amount | Value | |||
Series 2007-54, Class FW, CMO, REMIC, 1 Month USD LIBOR + 0.25%, 2.04%, 6/25/2037 (c) | $602,940 | $594,811 | |||
Series 2012-32, Class DA, CMO, REMIC, 2.00%, 11/25/2026 | 1,632,274 | 1,628,683 | |||
Series 2015-59, Class A, CMO, REMIC, 3.00%, 6/25/2041 | 396,392 | 401,290 | |||
Series 2016-8, Class FA, CMO, REMIC, 1 Month USD LIBOR + 0.45%, 2.24%, 3/25/2046 (c) | 571,840 | 567,813 | |||
Series 2017-13, Class ML, CMO, REMIC, 3.00%, 8/25/2041 | 738,843 | 748,726 | |||
Series 2017-2, Class HA, CMO, REMIC, 3.00%, 9/25/2041 | 645,725 | 654,404 | |||
Series 2018-27, Class FJ, CMO, REMIC, 1 Month USD LIBOR + 0.30%, 2.09%, 12/25/2047 (c) | 735,032 | 726,041 | |||
Series 2018-30, Class FA, CMO, REMIC, 1 Month USD LIBOR + 0.30%, 2.09%, 5/25/2048 (c) | 793,715 | 787,620 | |||
Series 2018-39, Class EF, CMO, REMIC, 1 Month USD LIBOR + 0.30%, 2.09%, 6/25/2048 (c) | 698,637 | 692,813 | |||
Series 2018-39, Class FG, CMO, REMIC, 1 Month USD LIBOR + 0.25%, 2.04%, 11/25/2033 (c) | 695,024 | 686,294 | |||
Series 2018-45, Class FA, CMO, REMIC, 1 Month USD LIBOR + 0.30%, 2.09%, 6/25/2048 (c) | 699,209 | 691,050 | |||
Government National Mortgage Association: | |||||
Series 2014-94, Class FB, CMO, REMIC, 1 Month USD LIBOR + 0.25%, 2.01%, 9/20/2035 (c) | 655,045 | 649,387 | |||
Series 2017-116, Class FA, CMO, REMIC, 1 Month USD LIBOR + 0.30%, 2.01%, 11/20/2043 (c) | 541,036 | 535,911 | |||
Series 2017-116, Class FB, CMO, REMIC, 1 Month USD LIBOR + 0.25%, 2.01%, 5/20/2044 (c) | 623,633 | 617,242 | |||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS (Cost $32,473,464) | 32,380,798 | ||||
U.S. TREASURY OBLIGATIONS — 27.3% | |||||
U.S. Treasury Bill: | |||||
1.54%, 5/7/2020 | 6,200,000 | 6,166,934 | |||
1.57%, 6/25/2020 | 6,500,000 | 6,451,467 | |||
1.83%, 2/13/2020 | 5,000,000 | 4,991,323 | |||
U.S. Treasury Note: | |||||
1.87%, 3/31/2020 | 4,990,000 | 4,997,407 | |||
1.63%, 4/30/2023 | 4,040,000 | 4,040,316 | |||
2.25%, 12/31/2023 | 3,620,000 | 3,702,864 | |||
2.75%, 9/15/2021 | 5,300,000 | 5,401,652 | |||
TOTAL U.S. TREASURY OBLIGATIONS (Cost $35,564,364) | 35,751,963 |
Table of Contents
Security Description | Principal Amount | Value | |||
MORTGAGE-BACKED SECURITIES — 9.7% | |||||
Alternative Loan Trust Series 2006-41CB, Class 1A3, CMO, 6.00%, 1/25/2037 | $349,171 | $291,454 | |||
AREIT Trust Series 2018-CRE1, Class B, 1 Month USD LIBOR + 1.65%, 3.39%, 2/14/2035 (a) (c) | 81,000 | 80,971 | |||
Atrium Hotel Portfolio Trust 2018-ATRM Series 2018-ATRM, Class A, 1 Month USD LIBOR + 0.95%, 2.69%, 6/15/2035 (a) (c) | 100,000 | 99,949 | |||
Bancorp Commercial Mortgage Trust Series 2019-CRE5, Class A, 1 Month USD LIBOR + 1.00%, 2.74%, 3/15/2036 (a) (c) | 83,069 | 83,099 | |||
BANK Series 2017-BNK6, Class XA, IO, 0.86%, 7/15/2060 (c) | 1,122,354 | 52,300 | |||
BBCMS Mortgage Trust: | |||||
Series 2017-DELC, Class C, 1 Month USD LIBOR + 1.20%, 2.94%, 8/15/2036 (a) (c) | 17,000 | 16,909 | |||
Series 2017-DELC, Class D, 1 Month USD LIBOR + 1.70%, 3.44%, 8/15/2036 (a) (c) | 19,000 | 19,003 | |||
Series 2017-DELC, Class E, 1 Month USD LIBOR + 2.50%, 4.24%, 8/15/2036 (a) (c) | 38,000 | 38,031 | |||
Series 2017-DELC, Class F, 1 Month USD LIBOR + 3.50%, 5.24%, 8/15/2036 (a) (c) | 38,000 | 37,975 | |||
Series 2018-TALL, Class A, 1 Month USD LIBOR + 0.72%, 2.46%, 3/15/2037 (a) (c) | 101,000 | 100,483 | |||
BBCMS Trust Series 2018-BXH, Class A, 1 Month USD LIBOR + 1.00%, 2.74%, 10/15/2037 (a) (c) | 12,519 | 12,455 | |||
Bellemeade Re, Ltd. Series 2017-1, Class M1, 1 Month USD LIBOR + 1.70%, 3.49%, 10/25/2027 (a) (c) | 133,515 | 133,807 | |||
BENCHMARK Mortgage Trust Series 2018-B1, Class XA, IO, 0.52%, 1/15/2051 (c) | 2,260,315 | 73,718 | |||
BFLD 2019-DPLO Series 2019-DPLO, Class E, 1 Month USD LIBOR + 2.24%, 3.98%, 10/15/2034 (a) (c) | 117,000 | 116,798 | |||
BHMS Series 2018-ATLS, Class A, Class A, 1 Month USD LIBOR + 1.25%, 2.99%, 7/15/2035 (a) (c) | 75,000 | 74,860 | |||
BHP Trust: | |||||
Series 2019-BXHP, Class A, 1 Month USD LIBOR + 0.98%, 2.71%, 8/15/2036 (a) (c) | 100,000 | 99,391 | |||
Series 2019-BXHP, Class C, 1 Month USD LIBOR + 1.52%, 3.26%, 8/15/2036 (a) (c) | 100,000 | 99,336 | |||
Braemar Hotels & Resorts Trust 2018-Prime Series 2018-PRME, Class A, 1 Month USD LIBOR + 0.82%, 2.56%, 6/15/2035 (a) (c) | 115,000 | 114,515 | |||
BX Commercial Mortgage Trust Series 2018-BIOA, Class E, 1 Month USD LIBOR + 1.95%, 3.69%, 3/15/2037 (a) (c) | 257,000 | 256,758 | |||
BX Trust: | |||||
Series 2017-APPL, Class B, 1 Month USD LIBOR + 1.15%, 2.89%, 7/15/2034 (a) (c) | 59,982 | 59,960 |
Table of Contents
Security Description | Principal Amount | Value | |||
Series 2018-EXCL, Class A, 1 Month USD LIBOR + 1.09%, 2.83%, 9/15/2037 (a) (c) | $13,611 | $13,596 | |||
BX Trust 2018-BILT Series 2018-BILT, Class A, 1 Month USD LIBOR + 0.80%, 2.54%, 5/15/2030 (a) (c) | 115,000 | 114,502 | |||
BX Trust 2018-MCSF Series 2018-MCSF, Class F, 1 Month USD LIBOR + 2.65%, 4.39%, 4/15/2035 (a) (c) | 47,000 | 47,000 | |||
BX Trust 2019-MMP Series 2019-MMP, Class B, 1 Month USD LIBOR + 1.30%, 3.04%, 8/15/2036 (a) (c) | 116,000 | 116,000 | |||
BXMT, Ltd. Series 2017-FL1, Class C, 1 Month USD LIBOR + 1.95%, 3.69%, 6/15/2035 (a) (c) | 150,000 | 149,475 | |||
CAMB Commercial Mortgage Trust Series 2019-LIFE, Class A, 1 Month USD LIBOR + 1.07%, 2.81%, 12/15/2037 (a) (c) | 79,000 | 79,102 | |||
Cantor Commercial Real Estate: | |||||
Series 2019-CF1, Class 65A, 4.41%, 5/15/2052 (a) (c) | 163,000 | 171,028 | |||
Series 2019-CF1, Class 65B, 4.14%, 5/15/2052 (a) (c) | 163,000 | 166,723 | |||
CF Trust Series 2019-MF1, Class A, 1 Month USD LIBOR + 1.05%, 2.79%, 8/21/2032 (a) (c) | 100,000 | 100,735 | |||
CFCRE Commercial Mortgage Trust: | |||||
Series 2018-TAN, Class B, 4.69%, 2/15/2033 (a) | 55,000 | 57,465 | |||
Series 2018-TAN, Class C, 5.29%, 2/15/2033 (a) | 55,000 | 57,977 | |||
Series 2018-TAN, Class D, 6.10%, 2/15/2033 (a) | 33,000 | 34,912 | |||
CGDBB Commercial Mortgage Trust Series 2017-BIOC, Class A, 1 Month USD LIBOR + 0.79%, 2.53%, 7/15/2032 (a) (c) | 91,354 | 91,267 | |||
CGGS Commercial Mortgage Trust Series 2018-WSS, Class D, 1 Month USD LIBOR + 2.30%, 4.04%, 2/15/2037 (a) (c) | 100,000 | 100,051 | |||
CGGS Commercial Mortgage Trust 2018-WSS Series 2018-WSS, Class A, 1 Month USD LIBOR + 0.90%, 2.64%, 2/15/2037 (a) (c) | 100,000 | 99,864 | |||
CHT COSMO Mortgage Trust: | |||||
Series 2017-CSMO, Class E, 1 Month USD LIBOR + 3.00%, 4.74%, 11/15/2036 (a) (c) | 59,000 | 59,096 | |||
Series 2017-CSMO, Class F, 1 Month USD LIBOR + 3.74%, 5.48%, 11/15/2036 (a) (c) | 131,000 | 131,250 | |||
Citigroup Commercial Mortgage Trust Series 2016-GC37, Class XA, IO, 1.76%, 4/10/2049 (c) | 495,122 | 42,547 | |||
COLT Mortgage Loan Trust Series 2018-1, Class A1, CMO, 2.93%, 2/25/2048 (a) (c) | 79,886 | 79,929 | |||
COMM Mortgage Trust: | |||||
Series 2014-FL5, Class D, 1 Month USD LIBOR + 4.00%, 3.15%, 10/15/2031 (a) (c) | 100,000 | 99,163 | |||
Series 2018-HCLV, Class A, 1 Month USD LIBOR + 1.00%, 2.74%, 9/15/2033 (a) (c) | 70,000 | 69,694 | |||
Series 2015-CR25, Class XA, IO, 0.84%, 8/10/2048 (c) | 1,226,975 | 48,481 | |||
Credit Suisse Mortgage Capital Certificates: |
Table of Contents
Security Description | Principal Amount | Value | |||
Series 2017-CHOP, Class D, 1 Month USD LIBOR + 1.90%, 3.64%, 7/15/2032 (a) (c) | $29,000 | $28,926 | |||
Series 2019-ICE4, Class A, 1 Month USD LIBOR + 0.98%, 2.72%, 5/15/2036 (a) (c) | 102,000 | 102,155 | |||
CSAIL Commercial Mortgage Trust: | |||||
Series 2017-C8, Class XA, IO, 1.24%, 6/15/2050 (c) | 340,432 | 18,316 | |||
Series 2017-CX10, Class XA, IO, 0.72%, 11/15/2050 (c) | 992,721 | 44,301 | |||
Series 2017-CX9, Class XA, IO, 0.88%, 9/15/2050 (c) | 1,837,964 | 61,650 | |||
DBGS BIOD Mortgage Trust Series 2018-BIOD, Class A, 1 Month USD LIBOR + 0.80%, 2.54%, 5/15/2035 (a) (c) | 139,221 | 139,057 | |||
Exantas Capital Corp., Ltd. Series 2019-RSO7, Class A, 1 Month USD LIBOR + 1.00%, 2.74%, 4/15/2036 (a) (c) | 99,966 | 99,935 | |||
Federal Home Loan Mortgage Corp.: | |||||
Series 4703, Class FA, 1 Month USD LIBOR + 0.35%, 2.09%, 7/15/2047 (c) | 1,034,401 | 1,026,431 | |||
Series 4818, Class FC, 1 Month USD LIBOR + 0.30%, 2.04%, 4/15/2048 (c) | 576,035 | 569,472 | |||
Federal National Mortgage Association: | |||||
Series 2012-56, Class FK, 1 Month USD LIBOR + 0.45%, 2.24%, 6/25/2042 (c) | 1,000,886 | 994,056 | |||
Series 2017-96, Class FA, 1 Month USD LIBOR + 0.40%, 2.19%, 12/25/2057 (c) | 897,189 | 889,973 | |||
Series 2018-55, Class FA, 1 Month USD LIBOR + 0.30%, 2.09%, 8/25/2048 (c) | 721,217 | 710,485 | |||
GPMT 2018-FL1, Ltd. Series 2018-FL1, Class A, 1 Month USD LIBOR + 0.90%, 2.66%, 11/21/2035 (a) (c) | 39,808 | 39,712 | |||
GPT 2018-GPP Mortgage Trust Series 2018-GPP, Class B, 1 Month USD LIBOR + 1.28%, 3.02%, 6/15/2035 (a) (c) | 37,500 | 37,320 | |||
Great Wolf Trust Series 2019-WOLF, Class E, 1 Month USD LIBOR + 2.73%, 4.45%, 12/15/2029 (a) (c) | 125,000 | 124,809 | |||
GS Mortgage Securities Trust: | |||||
Series 2017-500K, Class E, 1 Month USD LIBOR + 1.50%, 3.24%, 7/15/2032 (a) (c) | 50,000 | 49,906 | |||
Series 2017-500K, Class F, 1 Month USD LIBOR + 1.80%, 3.54%, 7/15/2032 (a) (c) | 107,000 | 107,002 | |||
Series 2018-TWR, Class A, 1 Month USD LIBOR + 0.90%, 2.64%, 7/15/2031 (a) (c) | 100,000 | 99,867 | |||
Series 2018-TWR, Class D, 1 Month USD LIBOR + 1.60%, 3.34%, 7/15/2031 (a) (c) | 100,000 | 99,621 | |||
Series 2017-GS7, Class XA, IO, 1.13%, 8/10/2050 (c) | 391,209 | 25,289 | |||
JP Morgan Chase Commercial Mortgage Securities Corp. Series 2018-LAQ, Class A, 1 Month USD LIBOR + 1.00%, 2.74%, 6/15/2032 (a) (c) | 89,857 | 89,803 |
Table of Contents
Security Description | Principal Amount | Value | |||
JP Morgan Chase Commercial Mortgage Securities Trust: | |||||
Series 2018-WPT, Class EFL, 1 Month USD LIBOR + 2.60%, 4.30%, 7/5/2033 (a) (c) | $100,000 | $100,149 | |||
Series 2019-MFP, Class A, 1 Month USD LIBOR + 0.96% , 2.70%, 7/15/2036 (a) (c) | 107,000 | 106,966 | |||
Series 2016-JP4, Class XA, IO, 0.73%, 12/15/2049 (c) | 1,657,288 | 52,320 | |||
LMREC 2015-CRE1, Inc. Series 2015-CRE1, Class AR, 1 Month USD LIBOR + 0.98% , 2.76%, 2/22/2032 (a) (c) | 20,399 | 20,268 | |||
LoanCore 2019-CRE3 Issuer, Ltd. Series 2019-CRE3, Class A, 1 Month USD LIBOR + 1.05%, 2.79%, 4/15/2034 (a) (c) | 100,000 | 99,984 | |||
MF1 2019-FL2, Ltd. Series 2019-FL2, Class A, 1 Month USD LIBOR + 1.13%, 2.92%, 12/25/2034 (a) (c) | 121,000 | 121,037 | |||
Morgan Stanley Bank of America Merrill Lynch Trust: | |||||
Series 2014-C15, Class XA, IO, 0.97%, 4/15/2047 (c) | 823,301 | 27,497 | |||
Series 2014-C19, Class LNCX, IO, 0.60%, 12/15/2046 (a) | 1,208,562 | 32,179 | |||
Morgan Stanley Capital I Trust: | |||||
Series 2006-IQ11, Class B, 6.07%, 10/15/2042 (c) | 93,583 | 95,420 | |||
Series 2018-SUN, Class A, 1 Month USD LIBOR + 0.90%, 2.64%, 7/15/2035 (a) (c) | 74,000 | 73,737 | |||
Series 2019-PLND, Class B, 1 Month USD LIBOR + 1.30%, 3.04%, 5/15/2036 (a) (c) | 163,000 | 163,000 | |||
Series 2016-UB12, Class XA, IO, 0.78%, 12/15/2049 (c) | 1,582,962 | 58,463 | |||
Motel 6 Trust Series 2017-MTL6, Class D, 1 Month USD LIBOR + 2.15%, 3.89%, 8/15/2034 (a) (c) | 55,089 | 55,116 | |||
MSCG Trust Series 2018-SELF, Class A, 1 Month USD LIBOR + 0.90%, 2.64%, 10/15/2037 (a) (c) | 79,000 | 78,852 | |||
Natixis Commercial Mortgage Securities Trust 2018-850T: | |||||
Series 2018-850T, Class C, 1 Month USD LIBOR + 0.15%, 2.89%, 7/15/2033 (a) (c) | 100,000 | 99,472 | |||
Series 2018-850T, Class D, 1 Month USD LIBOR + 1.45%, 3.19%, 7/15/2033 (a) (c) | 100,000 | 99,761 | |||
Natixis Commercial Mortgage Securities Trust 2018-FL1 Series 2018-FL1, Class A, 1 Month USD LIBOR + 0.95%, 2.72%, 6/15/2035 (a) (c) | 93,459 | 93,106 | |||
PFP 2019-6, Ltd. Series 2019-6, Class A, 1 Month USD LIBOR + 1.05%, 2.96%, 4/14/2037 (a) (c) | 121,000 | 121,000 | |||
PFP, Ltd. Series 2019-5, Class A, 1 Month USD LIBOR + 0.97%, 2.71%, 4/14/2036 (a) (c) | 99,991 | 99,991 | |||
Ready Capital Mortgage Trust Series 2019-5, Class A, 3.78%, 2/25/2052 (a) | 81,228 | 82,929 | |||
ReadyCap Commercial Mortgage Trust Series 2019-FL3, Class A, 1 Month USD LIBOR + 1.00%, 2.79%, 3/25/2034 (a) (c) | 100,000 | 99,749 | |||
Rosslyn Portfolio Trust: |
Table of Contents
Security Description | Principal Amount | Value | |||
Series 2017-ROSS, Class A, 1 Month USD LIBOR + 0.95%, 2.69%, 6/15/2033 (a) (c) | $15,000 | $14,996 | |||
Series 2017-ROSS, Class B, 1 Month USD LIBOR + 1.25%, 2.99%, 6/15/2033 (a) (c) | 15,000 | 14,999 | |||
Shelter Growth CRE 2019-FL2 Issuer, Ltd. Series 2019-FL2, Class B, 1 Month USD LIBOR + 2.3%, 4.04%, 5/15/2036 (a) (c) | 99,990 | 99,958 | |||
UBS Commercial Mortgage Trust Series 2017-C1, Class XA, IO, 1.57%, 6/15/2050 (c) | 798,258 | 69,525 | |||
Velocity Commercial Capital Loan Trust Series 2018-2, Class A, 4.05%, 10/26/2048 (a) (c) | 768,085 | 780,589 | |||
Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-8, Class 2CB3, CMO, 1 Month USD LIBOR + 0.41%, 2.20%, 10/25/2035 (c) | 715,846 | 675,488 | |||
Wells Fargo Commercial Mortgage Trust Series 2019-C51, Class XA, 1.38%, 6/15/2052 (c) | 1,033,272 | 99,333 | |||
WFRBS Commercial Mortgage Trust Series 2013-C18, Class XA, IO, 0.73%, 12/15/2046 (c) | 1,127,247 | 25,360 | |||
TOTAL MORTGAGE-BACKED SECURITIES (Cost $13,037,909) | 12,710,959 |
Shares | |||
SHORT-TERM INVESTMENT — 2.3% | |||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 1.57% (e) (f) (Cost $3,003,232) | 3,003,232 | 3,003,232 | |
TOTAL INVESTMENTS — 99.7% (Cost $130,196,130) | 130,680,026 | ||
OTHER ASSETS IN EXCESS OF LIABILITIES — 0.3% | 395,986 | ||
NET ASSETS — 100.0% | $131,076,012 |
(a) | Securities purchased pursuant to Rule 144A of the Securities Act of 1933, as amended. These securities, which represent 15.7% of net assets as of December 31, 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 December 31, 2019. For securities based on a published reference rate and spread, the reference rate and spread are indicated in the description above. |
(d) | Step-up bond - Coupon rate increases in increments to maturity. Rate shown as of December 31, 2019. Maturity date shown is the final maturity. |
(e) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2019 are shown in the Affiliate Table below. |
Table of Contents
(f) | The rate shown is the annualized seven-day yield at December 31, 2019. |
ABS | Asset-Backed Security |
CMO | Collateralized Mortgage Obligation |
CMT | Constant Maturity Treasury |
EMTN | Euro Medium Term Note |
IO | Interest Only |
LIBOR | London Interbank Offered Rate |
MTN | Medium Term Note |
REMIC | Real Estate Mortgage Investment Conduit |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Corporate Bonds & Notes | $— | $39,477,556 | $— | $39,477,556 | ||||
Asset-Backed Securities | — | 4,776,583 | — | 4,776,583 | ||||
Foreign Government Obligations | — | 2,578,935 | — | 2,578,935 | ||||
U.S. Government Agency Obligations | — | 32,380,798 | — | 32,380,798 | ||||
U.S. Treasury Obligations | — | 35,751,963 | — | 35,751,963 | ||||
Mortgage-Backed Securities | — | 12,710,959 | — | 12,710,959 | ||||
Short-Term Investment | 3,003,232 | — | — | 3,003,232 | ||||
TOTAL INVESTMENTS | $3,003,232 | $127,676,794 | $— | $130,680,026 |
Number of Shares Held at 6/30/19 | Value at 6/30/19 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 12/31/19 | Value at 12/31/19 | Dividend Income | |||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 6,248,841 | $6,248,841 | $41,469,410 | $44,715,019 | $— | $— | 3,003,232 | $3,003,232 | $35,729 |
Table of Contents
Security Description | Principal Amount | Value | |||
CORPORATE BONDS & NOTES — 16.7% | |||||
ARGENTINA — 0.2% | |||||
Other Securities | $7,730,928 | ||||
AUSTRALIA — 0.3% | |||||
Other Securities | 9,372,137 | ||||
BELGIUM — 0.1% | |||||
Other Security | 2,085,361 | ||||
BRAZIL — 0.7% | |||||
Other Securities | 24,442,603 | ||||
CANADA — 0.6% | |||||
Other Securities | 20,457,766 | ||||
CAYMAN ISLANDS — 0.2% | |||||
Other Securities | 5,201,171 | ||||
CHILE — 0.7% | |||||
Other Securities | 24,570,885 | ||||
CHINA — 0.3% | |||||
Other Securities | 8,670,066 | ||||
COLOMBIA — 0.3% | |||||
Other Securities | 8,588,440 | ||||
COSTA RICA — 0.0% (a) | |||||
Other Securities | 1,324,850 | ||||
DOMINICAN REPUBLIC — 0.2% | |||||
Other Securities | 7,773,962 | ||||
FRANCE — 0.0% (a) | |||||
Other Security | 779,411 | ||||
HONG KONG — 0.0% (a) | |||||
Other Security | 1,143,615 | ||||
INDIA — 0.8% | |||||
Other Securities | 27,072,521 | ||||
INDONESIA — 0.1% | |||||
Other Securities | 4,245,781 | ||||
IRELAND — 0.3% | |||||
Other Securities | 8,643,011 | ||||
ISRAEL — 0.1% | |||||
Other Securities | 2,637,239 |
Table of Contents
Security Description | Principal Amount | Value | |||
JAMAICA — 0.0% (a) | |||||
Other Securities | $830,113 | ||||
JAPAN — 0.1% | |||||
Other Securities | 3,825,631 | ||||
LUXEMBOURG — 0.2% | |||||
Other Securities | 7,605,940 | ||||
MALAYSIA — 0.4% | |||||
Other Securities | 12,660,003 | ||||
MAURITIUS — 0.1% | |||||
Other Security | 2,028,660 | ||||
MEXICO — 1.0% | |||||
Other Securities | 32,617,173 | ||||
NETHERLANDS — 0.3% | |||||
Other Securities | 9,829,523 | ||||
NORWAY — 0.0% (a) | |||||
Other Security | 375,433 | ||||
PANAMA — 0.1% | |||||
Other Securities | 4,709,300 | ||||
PERU — 0.1% | |||||
Other Securities | 2,626,486 | ||||
PHILIPPINES — 0.2% | |||||
Other Security | 6,248,630 | ||||
SINGAPORE — 0.5% | |||||
Other Securities | 15,968,379 | ||||
SPAIN — 0.0% (a) | |||||
Other Security | 280,158 | ||||
SWITZERLAND — 0.0% (a) | |||||
Other Security | 177,854 | ||||
UNITED KINGDOM — 0.4% | |||||
Other Securities | 11,580,837 | ||||
UNITED STATES — 8.4% | |||||
Other Securities | 281,758,683 | ||||
Total Corporate Bonds & Notes (Cost $536,915,975) | 557,862,550 |
Table of Contents
Security Description | Principal Amount | Value | |||
ASSET-BACKED SECURITIES — 2.3% | |||||
Aegis Asset Backed Securities Trust Series 2006-1, Class A2, 1 Month USD LIBOR + 0.17%, 1.96%, 1/25/2037 (b) | $27,372,258 | $22,574,465 | |||
Other Securities | 55,199,614 | ||||
Total Asset-Backed Securities (Cost $77,048,209) | 77,774,079 | ||||
FOREIGN GOVERNMENT OBLIGATIONS — 0.9% | |||||
BRAZIL — 0.1% | |||||
Other Securities | 2,631,073 | ||||
CANADA — 0.0% (a) | |||||
Other Security | 520,159 | ||||
COLOMBIA — 0.1% | |||||
Other Security | 2,414,880 | ||||
COSTA RICA — 0.1% | |||||
Other Security | 2,484,576 | ||||
DOMINICAN REPUBLIC — 0.0% (a) | |||||
Other Security | 1,096,920 | ||||
INDONESIA — 0.2% | |||||
Other Securities | 7,721,008 | ||||
ISRAEL — 0.0% (a) | |||||
Other Security | 1,357,213 | ||||
LUXEMBOURG — 0.0% (a) | |||||
Other Security | 150,644 | ||||
MEXICO — 0.1% | |||||
Other Security | 2,026,200 | ||||
PANAMA — 0.1% | |||||
Other Security | 4,281,040 | ||||
PHILIPPINES — 0.2% | |||||
Other Security | 5,390,850 | ||||
THAILAND — 0.0% (a) | |||||
Other Securities | 1,326,581 | ||||
Total Foreign Government Obligations (Cost $30,378,021) | 31,401,144 |
Table of Contents
Security Description | Principal Amount | Value | |||
SENIOR FLOATING RATE LOANS — 2.1% (c) | |||||
AEROSPACE & DEFENSE — 0.1% (a) | |||||
Other Securities | $1,824,088 | ||||
AUTO COMPONENTS — 0.0% (a) | |||||
Other Securities | 542,658 | ||||
BUILDING PRODUCTS — 0.0% (a) | |||||
Other Security | 181,031 | ||||
CAPITAL MARKETS — 0.0% (a) | |||||
Other Security | 285,689 | ||||
CASINO SERVICES — 0.0% (a) | |||||
Other Security | 685,656 | ||||
CHEMICALS — 0.0% (a) | |||||
Other Securities | 480,216 | ||||
COMMERCIAL SERVICES — 0.0% (a) | |||||
Other Securities | 911,082 | ||||
COMMERCIAL SERVICES & SUPPLIES — 0.1% | |||||
Other Securities | 3,473,738 | ||||
COMPUTER SERVICES — 0.0% (a) | |||||
Other Security | 579,747 | ||||
CONSTRUCTION & ENGINEERING — 0.0% (a) | |||||
Other Security | 336,832 | ||||
CONSTRUCTION MATERIALS — 0.0% (a) | |||||
Other Security | 223,623 | ||||
CONTAINERS & PACKAGING — 0.1% | |||||
Other Securities | 1,983,068 | ||||
CONTAINERS-PAPER/PLASTIC — 0.0% (a) | |||||
Other Security | 348,031 | ||||
DIVERSIFIED FINANCIAL SERVICES — 0.1% | |||||
Other Securities | 1,821,614 | ||||
DIVERSIFIED OPERATIONS — 0.0% (a) | |||||
Other Security | 215,201 | ||||
DIVERSIFIED TELECOMMUNICATION SERVICES — 0.1% | |||||
Other Securities | 1,361,233 | ||||
ELECTRIC-GENERATION — 0.0% (a) | |||||
Other Securities | 322,181 |
Table of Contents
Security Description | Principal Amount | Value | |||
ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS — 0.0% (a) | |||||
Other Security | $324,896 | ||||
ENTERTAINMENT — 0.0% (a) | |||||
Other Security | 344,726 | ||||
FINANCIAL SERVICES — 0.0% (a) | |||||
Other Security | 716,802 | ||||
FOOD & STAPLES RETAILING — 0.1% | |||||
Other Securities | 2,260,470 | ||||
FOOD PRODUCTS — 0.1% | |||||
Other Securities | 1,722,705 | ||||
FOOD-MISC/DIVERSIFIED — 0.0% (a) | |||||
Other Security | 183,240 | ||||
HEALTH CARE PROVIDERS & SERVICES — 0.2% | |||||
Other Securities | 5,034,636 | ||||
HEALTH CARE TECHNOLOGY — 0.0% (a) | |||||
Other Security | 683,333 | ||||
HOTELS, RESTAURANTS & LEISURE — 0.2% | |||||
Other Securities | 6,689,187 | ||||
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS — 0.0% (a) | |||||
Other Security | 994,926 | ||||
INSURANCE — 0.1% | |||||
Other Securities | 2,754,500 | ||||
INTERACTIVE MEDIA & SERVICES — 0.0% (a) | |||||
Other Securities | 325,341 | ||||
IT SERVICES — 0.1% | |||||
Other Securities | 1,693,871 | ||||
LIFE SCIENCES TOOLS & SERVICES — 0.0% (a) | |||||
Other Securities | 772,890 | ||||
MACHINERY — 0.1% | |||||
Other Securities | 1,551,837 | ||||
MACHINERY-CONSTRUCTION & MINING — 0.0% (a) | |||||
Other Securities | 1,033,007 | ||||
MEDIA — 0.2% | |||||
Other Securities | 4,772,194 |
Table of Contents
Security Description | Principal Amount | Value | |||
METAL-DIVERSIFIED — 0.0% (a) | |||||
Other Security | $132,236 | ||||
METALS & MINING — 0.0% (a) | |||||
Other Security | 706,420 | ||||
MRI/MEDICAL DIAG IMAGING — 0.0% (a) | |||||
Other Securities | 1,058,720 | ||||
OIL REFINING & MARKETING — 0.0% (a) | |||||
Other Security | 275,308 | ||||
OIL, GAS & CONSUMABLE FUELS — 0.0% (a) | |||||
Other Securities | 268,191 | ||||
PHARMACEUTICALS — 0.1% | |||||
Other Securities | 1,440,206 | ||||
PIPELINES — 0.0% (a) | |||||
Other Securities | 1,187,772 | ||||
REAL ESTATE — 0.0% (a) | |||||
Other Security | 348,342 | ||||
REAL ESTATE INVESTMENT TRUSTS (REITS) — 0.1% | |||||
Other Securities | 2,138,516 | ||||
REAL ESTATE MANAGEMENT & DEVELOPMENT — 0.0% (a) | |||||
Other Security | 151,939 | ||||
RETAIL-RESTAURANTS — 0.0% (a) | |||||
Other Securities | 1,309,889 | ||||
ROAD & RAIL — 0.0% (a) | |||||
Other Security | 520,608 | ||||
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT — 0.0% (a) | |||||
Other Security | 236,362 | ||||
SOFTWARE — 0.3% | |||||
Other Securities | 9,624,264 | ||||
SPECIALTY RETAIL — 0.0% (a) | |||||
Other Security | 426,259 | ||||
TELECOM SERVICES — 0.0% (a) | |||||
Other Securities | 850,318 | ||||
TELECOMMUNICATION EQUIP — 0.0% (a) | |||||
Other Security | 172,646 |
Table of Contents
Security Description | Principal Amount | Value | |||
TELEVISION — 0.0% (a) | |||||
Other Security | $1,218,937 | ||||
TRADING COMPANIES & DISTRIBUTORS — 0.0% (a) | |||||
Other Security | 345,180 | ||||
TRANSPORT-AIR FREIGHT — 0.0% (a) | |||||
Other Security | 646,573 | ||||
Total Senior Floating Rate Loans (Cost $70,418,100) | 70,492,935 | ||||
U.S. GOVERNMENT AGENCY OBLIGATIONS — 44.0% | |||||
Federal Home Loan Mortgage Corp.: | |||||
2.50%, 4/1/2033 | $2,808,072 | 2,844,080 | |||
2.50%, 11/1/2039 | 17,839,306 | 17,877,268 | |||
3.00%, 11/1/2042 | 14,725,228 | 15,180,105 | |||
3.00%, 12/1/2042 | 12,852,963 | 13,154,956 | |||
3.00%, 1/1/2045 | 2,321,099 | 2,386,204 | |||
3.00%, 2/1/2045 | 1,632,124 | 1,674,770 | |||
3.00%, 3/1/2045 | 1,731,584 | 1,776,829 | |||
3.00%, 4/1/2045 | 12,026,230 | 12,340,464 | |||
3.00%, 4/1/2045 | 23,764,103 | 24,430,667 | |||
3.00%, 5/1/2045 | 6,113,795 | 6,273,543 | |||
3.00%, 8/1/2045 | 16,545,684 | 16,978,008 | |||
3.00%, 7/1/2047 | 5,663,488 | 5,796,557 | |||
3.50%, 2/1/2045 | 2,867,119 | 3,004,968 | |||
3.50%, 4/1/2045 | 17,287,340 | 18,197,461 | |||
3.50%, 4/1/2045 | 9,414,840 | 9,866,202 | |||
3.50%, 6/1/2045 | 12,108,788 | 12,746,276 | |||
3.50%, 10/1/2045 | 14,301,076 | 15,053,981 | |||
3.50%, 2/1/2046 | 13,561,915 | 14,148,458 | |||
4.00%, 4/1/2047 | 32,043,767 | 33,708,820 | |||
4.00%, 7/1/2047 | 10,063,967 | 10,586,909 | |||
4.00%, 10/1/2047 | 20,668,033 | 21,741,982 | |||
4.50%, 6/1/2044 | 1,934,483 | 2,090,963 | |||
Series 326, Class 300, CMO 3.00%, 3/15/2044 | 28,726,467 | 29,277,744 | |||
Series 358, Class 300, CMO 3.00%, 10/15/2047 | 29,584,386 | 30,386,451 | |||
Series 3822, Class ZG, CMO, REMIC 4.00%, 2/15/2041 | 3,900,165 | 4,157,434 |
Table of Contents
Security Description | Principal Amount | Value | |||
Series 3852, Class NS, CMO, IO, REMIC 6.00% - 1 Month USD LIBOR, 4.26%, 5/15/2041 (b) | $9,626,693 | $1,203,232 | |||
Series 3889, Class VZ, CMO, REMIC 4.00%, 7/15/2041 | 9,252,471 | 9,615,033 | |||
Series 3935, Class SJ, CMO, IO, REMIC 6.65% - 1 Month USD LIBOR, 4.91%, 5/15/2041 (b) | 1,935,366 | 188,195 | |||
Series 4120, Class KA, CMO, REMIC 1.75%, 10/15/2032 | 13,768,059 | 13,602,032 | |||
Series 4165, Class ZT, CMO, REMIC 3.00%, 2/15/2043 | 16,436,913 | 16,340,863 | |||
Series 4215, Class KC, CMO, REMIC 2.25%, 3/15/2038 | 6,258,098 | 6,267,123 | |||
Series 4364, Class ZX, CMO, REMIC 4.00%, 7/15/2044 | 29,847,313 | 32,480,618 | |||
Series 4434, Class LZ, CMO, REMIC 3.00%, 2/15/2045 | 3,467,491 | 3,467,551 | |||
Series 4444, Class CZ, CMO, REMIC 3.00%, 2/15/2045 | 12,714,134 | 12,733,023 | |||
Series 4447, Class A, CMO, REMIC 3.00%, 6/15/2041 | 1,541,955 | 1,570,204 | |||
Series 4447, Class Z, CMO, REMIC 3.00%, 3/15/2045 | 4,196,470 | 4,207,208 | |||
Series 4471, Class BA, CMO, REMIC 3.00%, 12/15/2041 | 5,437,854 | 5,554,527 | |||
Series 4471, Class GA, CMO, REMIC 3.00%, 2/15/2044 | 8,492,493 | 8,706,131 | |||
Series 4474, Class ZX, CMO, REMIC 4.00%, 4/15/2045 | 12,428,044 | 13,508,351 | |||
Series 4481, Class B, CMO, REMIC 3.00%, 12/15/2042 | 5,642,272 | 5,776,956 | |||
Series 4483, Class CA, CMO, REMIC 3.00%, 6/15/2044 | 10,504,340 | 10,770,081 | |||
Series 4484, Class CD, CMO, REMIC 1.75%, 7/15/2030 | 10,059,787 | 9,909,759 | |||
Series 4491, Class B, CMO, REMIC 3.00%, 8/15/2040 | 9,529,770 | 9,665,580 | |||
Series 4492, Class GZ, CMO, REMIC 3.50%, 7/15/2045 | 8,866,852 | 9,243,829 | |||
Series 4499, Class AB, CMO, REMIC 3.00%, 6/15/2042 | 11,150,692 | 11,399,123 |
Table of Contents
Security Description | Principal Amount | Value | |||
Series 4504, Class CA, CMO, REMIC 3.00%, 4/15/2044 | $11,338,646 | $11,614,949 | |||
Series 4511, Class QA, CMO, REMIC 3.00%, 1/15/2041 | 8,377,034 | 8,496,593 | |||
Series 4511, Class QC, CMO, REMIC 3.00%, 12/15/2040 | 7,280,179 | 7,383,351 | |||
Series 4533, Class AB, CMO, REMIC 3.00%, 6/15/2044 | 8,013,342 | 8,233,645 | |||
Series 4543, Class HG, CMO, REMIC 2.70%, 4/15/2044 | 14,853,262 | 15,041,498 | |||
Series 4582, Class HA, CMO, REMIC 3.00%, 9/15/2045 | 11,554,782 | 11,860,918 | |||
Series 4629, Class KA, CMO, REMIC 3.00%, 3/15/2045 | 35,909,092 | 36,495,250 | |||
Series 4750, Class PA, 3.00%, 7/15/2046 | 19,487,506 | 19,763,916 | |||
Series 4792, Class A, CMO, REMIC 3.00%, 5/15/2048 | 19,618,240 | 19,898,768 | |||
Federal National Mortgage Association: | |||||
2.22%, 12/1/2029 | 5,400,000 | 5,306,075 | |||
2.29%, 10/1/2031 | 3,508,000 | 3,423,296 | |||
2.32%, 12/1/2029 | 7,600,000 | 7,529,282 | |||
2.41%, 10/1/2029 | 25,000,000 | 24,991,825 | |||
2.42%, 12/1/2031 | 9,900,000 | 9,746,282 | |||
2.44%, 1/1/2032 | 16,600,000 | 16,600,000 | |||
2.49%, 1/1/2032 (d) | 25,700,000 | 25,437,765 | |||
2.50%, 12/1/2039 | 10,757,030 | 10,779,921 | |||
2.50%, 9/1/2046 | 4,658,070 | 4,620,125 | |||
2.50%, 2/1/2047 | 12,317,190 | 12,276,551 | |||
2.69%, 8/1/2030 | 24,539,445 | 25,031,735 | |||
1.67% - 1 Month USD LIBOR, 2.72%, 5/1/2044 (b) | 12,617,468 | 12,742,848 | |||
2.77%, 7/1/2031 | 4,000,000 | 4,077,448 | |||
2.80%, 11/1/2039 | 10,034,000 | 9,961,684 | |||
3.00%, 5/1/2035 | 8,174,105 | 8,421,804 | |||
3.00%, 10/1/2041 | 27,366,031 | 28,009,177 | |||
3.00%, 3/1/2043 | 4,648,263 | 4,782,730 | |||
3.00%, 7/1/2043 | 7,828,406 | 8,001,234 | |||
3.00%, 1/1/2045 | 1,788,862 | 1,825,768 | |||
3.00%, 3/1/2045 | 2,422,599 | 2,484,373 | |||
3.00%, 4/1/2045 | 9,973,559 | 10,160,820 | |||
3.00%, 7/1/2045 | 28,761,960 | 29,593,998 |
Table of Contents
Security Description | Principal Amount | Value | |||
3.00%, 11/1/2045 | $18,857,063 | $19,337,902 | |||
3.00%, 10/1/2046 | 7,500,661 | 7,676,939 | |||
3.00%, 2/1/2047 | 23,866,382 | 24,427,280 | |||
3.00%, 11/1/2048 | 14,639,438 | 14,983,489 | |||
3.00%, 10/1/2049 | 7,659,850 | 7,769,192 | |||
3.00%, 4/1/2053 | 15,935,938 | 16,420,105 | |||
3.50%, 9/1/2034 | 2,158,491 | 2,259,052 | |||
3.50%, 12/1/2034 | 1,917,334 | 2,006,660 | |||
3.50%, 2/1/2035 | 1,228,411 | 1,285,641 | |||
3.50%, 1/1/2045 | 12,243,908 | 12,880,270 | |||
3.50%, 2/1/2045 | 3,941,666 | 4,128,632 | |||
3.50%, 6/1/2045 | 11,658,300 | 12,264,923 | |||
4.50%, 3/1/2044 | 2,171,302 | 2,345,161 | |||
4.50%, 6/1/2044 | 1,080,882 | 1,167,430 | |||
4.50%, 7/1/2044 | 935,385 | 1,010,283 | |||
4.50%, 2/1/2045 | 1,302,017 | 1,406,271 | |||
Series 2010-109, Class N, CMO, REMIC 3.00%, 10/25/2040 | 2,431,429 | 2,496,870 | |||
Series 2011-51, Class CI, CMO, IO, REMIC 6.00% - 1 Month USD LIBOR, 4.21%, 6/25/2041 (b) | 6,130,700 | 908,553 | |||
Series 2012-101, Class AP, CMO, REMIC 2.00%, 8/25/2040 | 5,894,851 | 5,837,041 | |||
Series 2012-127, Class PA, CMO, REMIC 2.75%, 11/25/2042 | 3,230,244 | 3,255,022 | |||
Series 2012-151, Class SB, CMO, REMIC 6.00% - 1 Month USD LIBOR, 3.46%, 1/25/2043 (b) | 1,248,324 | 1,071,177 | |||
Series 2013-114, Class HZ, CMO, REMIC 3.00%, 11/25/2038 | 17,168,370 | 17,276,534 | |||
Series 2013-18, Class CD, CMO, REMIC 1.50%, 10/25/2027 | 4,187,021 | 4,110,611 | |||
Series 2013-30, Class PS, CMO, REMIC 6.00% - 1 Month USD LIBOR, 3.46%, 4/25/2043 (b) | 1,718,187 | 1,586,405 | |||
Series 2014-21, Class GZ, CMO, REMIC 3.00%, 4/25/2044 | 6,561,675 | 6,516,233 | |||
Series 2014-39, Class ZA, CMO, REMIC 3.00%, 7/25/2044 | 9,433,202 | 9,473,845 | |||
Series 2015-42, Class CA, CMO, REMIC 3.00%, 3/25/2044 | 6,549,294 | 6,709,764 | |||
Series 2015-9, Class HA, CMO, REMIC 3.00%, 1/25/2045 | 9,324,692 | 9,569,278 |
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Security Description | Principal Amount | Value | |||
Series 2015-95, Class AP, CMO, REMIC 3.00%, 8/25/2042 | $11,279,332 | $11,385,615 | |||
Series 2016-21, Class BZ, CMO, REMIC 3.00%, 4/25/2046 | 4,846,286 | 4,832,117 | |||
Series 2016-32, Class LA, CMO, REMIC 3.00%, 10/25/2044 | 10,725,354 | 10,935,991 | |||
Series 2016-72, Class PA, CMO, REMIC 3.00%, 7/25/2046 | 17,623,753 | 17,935,993 | |||
Series 2016-81, Class PA, CMO, REMIC 3.00%, 2/25/2044 | 23,862,976 | 24,249,371 | |||
Series 2016-9, Class A, CMO, REMIC 3.00%, 9/25/2043 | 9,191,276 | 9,338,894 | |||
Series 2016-92, Class A, CMO, REMIC 3.00%, 4/25/2042 | 29,803,177 | 30,367,266 | |||
Series 2017-13, Class CA, CMO, REMIC 2.50%, 10/25/2043 | 19,130,739 | 19,217,164 | |||
Series 2017-15, Class MA, CMO, REMIC 3.00%, 2/25/2042 | 13,913,863 | 14,099,682 | |||
Series 2017-18, Class A, CMO, REMIC 3.00%, 8/25/2042 | 35,948,697 | 36,714,289 | |||
Series 2017-32, Class CA, CMO, REMIC 3.00%, 10/25/2042 | 33,662,262 | 34,104,353 | |||
Series 2017-87, Class BA, CMO, REMIC 3.00%, 12/25/2042 | 26,129,395 | 26,406,496 | |||
Series 2017-9, Class EA, CMO, REMIC 3.00%, 10/25/2042 | 56,205,361 | 57,100,567 | |||
Series 2018-27, Class JA, CMO, REMIC 3.00%, 12/25/2047 | 13,046,822 | 13,248,486 | |||
Series 2018-38, Class JB, CMO, REMIC 3.00%, 6/25/2048 | 10,488,134 | 10,627,954 | |||
Series 2018-M10, Class A1, 3.38%, 7/25/2028 (b) | 20,080,114 | 21,220,751 | |||
Other Securities | 10,947,564 | ||||
Total U.S. Government Agency Obligations (Cost $1,458,806,864) | 1,469,397,264 | ||||
U.S. TREASURY OBLIGATIONS — 24.4% | |||||
Treasury Inflation Protected Indexed Notes 0.63%, 4/15/2023 | 26,624,429 | 27,046,122 | |||
U. S. Treasury Note: | |||||
1.63%, 5/15/2026 | 110,500,000 | 109,377,734 | |||
2.13%, 2/29/2024 | 73,200,000 | 74,555,344 | |||
2.13%, 7/31/2024 | 94,400,000 | 96,236,376 |
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Security Description | Principal Amount | Value | |||
2.25%, 11/15/2025 | $106,000,000 | $108,898,438 | |||
2.38%, 1/31/2023 | 26,500,000 | 27,104,531 | |||
2.38%, 5/15/2029 | 88,100,000 | 91,637,766 | |||
2.63%, 2/15/2029 | 18,500,000 | 19,618,672 | |||
2.88%, 8/15/2028 | 18,900,000 | 20,385,422 | |||
3.13%, 11/15/2028 | 8,800,000 | 9,684,125 | |||
U.S. Treasury Bill: | |||||
1.83%, 2/13/2020 | 48,300,000 | 48,216,179 | |||
1.84%, 1/2/2020 | 79,200,000 | 79,200,000 | |||
1.84%, 2/27/2020 | 102,600,000 | 102,359,004 | |||
Total U.S. Treasury Obligations (Cost $801,430,723) | 814,319,713 | ||||
MORTGAGE-BACKED SECURITIES — 4.7% | |||||
Seasoned Credit Risk Transfer Trust Series 2019-4, Class MV, 3.00%, 2/25/2059 | 17,611,389 | 17,914,286 | |||
Other Securities | 139,713,480 | ||||
Total Mortgage-Backed Securities (Cost $160,636,073) | 157,627,766 | ||||
COMMERCIAL MORTGAGE BACKED SECURITIES — 4.0% | |||||
Other Securities (Cost $155,538,219) | 133,986,106 |
Shares | |||
COMMON STOCKS - 0.0% (a) | |||
UNITED STATES – 0.0% (a) | |||
Other Security [StartOfCostSuppression] (cost: $47,647)[EndOfCostSuppression] | 57,902 | ||
SHORT-TERM INVESTMENT - 1.4% | |||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 1.57% (e) (f) (Cost $45,112,940) | 45,112,940 | 45,112,940 | |
TOTAL INVESTMENTS - 100.5% (Cost $3,336,332,771) | 3,358,032,399 | ||
LIABILITIES IN EXCESS OF OTHER ASSETS - (0.5)% | (16,436,668) | ||
NET ASSETS - 100.0% | $3,341,595,731 |
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The Summary Schedule of Investments does not reflect the complete portfolio holdings. It includes the Fund’s 50 largest holdings and each investment of any issuer that exceeds 1% of the Fund’s net assets. “Other Securities” represent all issues not required to be disclosed under the rules adopted by the U.S. Securities and Exchange Commission (“SEC”). In certain instances, securities for which footnotes listed below may otherwise apply are included in the Other Securities caption. The complete schedule of portfolio holdings is available on the Fund's website atwww.spdrs.com, without charge, upon request by calling 1-866-787-2257 (toll-free) and on the SEC's website atwww.sec.gov. | |
(a) | Amount is less than 0.05% of net assets. |
(b) | Variable Rate Security - Interest rate shown is rate in effect at December 31, 2019. For securities based on a published reference rate and spread, the reference rate and spread are indicated in the description above. |
(c) | The rate shown represents the rate at December 31, 2019. |
(d) | When-issued security. |
(e) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2019 are shown in the Affiliate Table below. |
(f) | The rate shown is the annualized seven-day yield at December 31, 2019. |
CMO | Collateralized Mortgage Obligation |
IO | Interest Only |
LIBOR | London Interbank Offered Rate |
REMIC | Real Estate Mortgage Investment Conduit |
Borrower | Unfunded Loan Commitment ($) | Value ($) | Unrealized Appreciation/(Depreciation) ($) | |||
Mavis Tire Express Services Corp. | 25,157 | 24,591 | (566) |
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Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Corporate Bonds & Notes | $— | $557,862,550 | $— | $557,862,550 | ||||
Asset-Backed Securities | — | 77,774,079 | — | 77,774,079 | ||||
Foreign Government Obligations | — | 31,401,144 | — | 31,401,144 | ||||
U.S. Government Agency Obligations | — | 1,469,397,264 | — | 1,469,397,264 | ||||
U.S. Treasury Obligations | — | 814,319,713 | — | 814,319,713 | ||||
Mortgage-Backed Securities | — | 157,627,766 | — | 157,627,766 | ||||
Commercial Mortgage Backed Securities | — | 133,986,106 | — | 133,986,106 | ||||
Common Stocks | 57,902 | — | — | 57,902 | ||||
Senior Floating Rate Loans | — | 70,492,935 | — | 70,492,935 | ||||
Short-Term Investment | 45,112,940 | — | — | 45,112,940 | ||||
TOTAL INVESTMENTS | $45,170,842 | $3,312,861,557 | $— | $3,358,032,399 | ||||
LIABILITIES: | ||||||||
OTHER FINANCIAL INSTRUMENTS: | ||||||||
Unfunded Loans(a) | — | (566) | — | (566) | ||||
TOTAL OTHER FINANCIAL INSTRUMENTS: | $— | $(566) | $— | $(566) |
(a) | Includes appreciation (depreciation) on unfunded loan commitments. |
Number of Shares Held at 6/30/19 | Value at 6/30/19 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 12/31/19 | Value at 12/31/19 | Dividend Income | |||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 84,316,399 | $84,316,399 | $518,845,221 | $558,048,680 | $— | $— | 45,112,940 | $45,112,940 | $567,771 |
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SPDR DoubleLine Emerging Markets Fixed Income ETF | SPDR DoubleLine Short Duration Total Return Tactical ETF | ||
ASSETS | |||
Investments in unaffiliated issuers, at value | $69,372,655 | $127,680,616 | |
Investments in affiliated issuers, at value | 7,367,897 | 3,003,232 | |
Total Investments | 76,740,552 | 130,683,848 | |
Cash | 55 | 56 | |
Receivable for investments sold | — | 131,000 | |
Dividends receivable — affiliated issuers | 6,450 | 5,192 | |
Interest receivable — unaffiliated issuers | 895,851 | 551,938 | |
Receivable from Adviser | 6,501 | 5,960 | |
TOTAL ASSETS | 77,649,409 | 131,377,994 | |
LIABILITIES | |||
Payable for investments purchased | — | 245,049 | |
Advisory fee payable | 47,640 | 56,855 | |
Trustees’ fees and expenses payable | 117 | 78 | |
TOTAL LIABILITIES | 47,757 | 301,982 | |
NET ASSETS | $77,601,652 | $131,076,012 | |
NET ASSETS CONSIST OF: | |||
Paid-in Capital | $76,176,730 | $130,764,139 | |
Total distributable earnings (loss) | 1,424,922 | 311,873 | |
NET ASSETS | $77,601,652 | $131,076,012 | |
NET ASSET VALUE PER SHARE | |||
Net asset value per share | $50.89 | $49.46 | |
Shares outstanding (unlimited amount authorized, no par value) | 1,525,000 | 2,650,000 | |
COST OF INVESTMENTS: | |||
Investments in unaffiliated issuers | $66,735,850 | $127,192,898 | |
Investments in affiliated issuers | 7,367,897 | 3,003,232 | |
Total cost of investments | $74,103,747 | $130,196,130 |
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SPDR DoubleLine Total Return Tactical ETF | |
ASSETS | |
Investments in unaffiliated issuers, at value | $3,312,919,459 |
Investments in affiliated issuers, at value | 45,112,940 |
Total Investments | 3,358,032,399 |
Receivable for investments sold | 5,319,967 |
Receivable for fund shares sold | 9,764,783 |
Dividends receivable — affiliated issuers | 81,116 |
Interest receivable — unaffiliated issuers | 16,968,435 |
Receivable from Adviser | 288,708 |
Other Receivable | 10,849 |
TOTAL ASSETS | 3,390,466,257 |
LIABILITIES | |
Due to custodian | 833,277 |
Payable for investments purchased | 46,195,582 |
Unrealized depreciation on unfunded loan commitments | 566 |
Advisory fee payable | 1,832,075 |
Trustees’ fees and expenses payable | 8,768 |
Accrued expenses and other liabilities | 258 |
TOTAL LIABILITIES | 48,870,526 |
NET ASSETS | $3,341,595,731 |
NET ASSETS CONSIST OF: | |
Paid-in Capital | $3,399,966,868 |
Total distributable earnings (loss) | (58,371,137) |
NET ASSETS | $3,341,595,731 |
NET ASSET VALUE PER SHARE | |
Net asset value per share | $48.82 |
Shares outstanding (unlimited amount authorized, no par value) | 68,450,000 |
COST OF INVESTMENTS: | |
Investments in unaffiliated issuers | $3,291,219,831 |
Investments in affiliated issuers | 45,112,940 |
Total cost of investments | $3,336,332,771 |
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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 | $1,565,396 | $1,823,102 | |
Dividend income — affiliated issuers | 24,449 | 35,729 | |
Foreign taxes withheld | (458) | (6) | |
TOTAL INVESTMENT INCOME (LOSS) | 1,589,387 | 1,858,825 | |
EXPENSES | |||
Advisory fee | 262,308 | 323,682 | |
Trustees’ fees and expenses | 565 | 967 | |
TOTAL EXPENSES | 262,873 | 324,649 | |
Expenses waived/reimbursed by the Adviser | (35,539) | (33,335) | |
NET EXPENSES | 227,334 | 291,314 | |
NET INVESTMENT INCOME (LOSS) | $1,362,053 | $1,567,511 | |
REALIZED AND UNREALIZED GAIN (LOSS) | |||
Net realized gain (loss) on: | |||
Investments — unaffiliated issuers | (959,630) | 159,854 | |
Net change in unrealized appreciation/depreciation on: | |||
Investments — unaffiliated issuers | 1,007,472 | (53,708) | |
NET REALIZED AND UNREALIZED GAIN (LOSS) | 47,842 | 106,146 | |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $1,409,895 | $1,673,657 |
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SPDR DoubleLine Total Return Tactical ETF | |
INVESTMENT INCOME | |
Interest income — unaffiliated issuers | $56,983,035 |
Dividend income — affiliated issuers | 567,771 |
Foreign taxes withheld | 629 |
TOTAL INVESTMENT INCOME (LOSS) | 57,551,435 |
EXPENSES | |
Advisory fee | 10,949,370 |
Trustees’ fees and expenses | 27,675 |
Miscellaneous expenses | 1,622 |
TOTAL EXPENSES | 10,978,667 |
Expenses waived/reimbursed by the Adviser | (1,713,814) |
NET EXPENSES | 9,264,853 |
NET INVESTMENT INCOME (LOSS) | $48,286,582 |
REALIZED AND UNREALIZED GAIN (LOSS) | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | (2,379,010) |
Net change in unrealized appreciation/depreciation on: | |
Investments — unaffiliated issuers | 7,549,804 |
Unfunded loan commitments | 6,313 |
Net change in unrealized appreciation/depreciation | 7,556,117 |
NET REALIZED AND UNREALIZED GAIN (LOSS) | 5,177,107 |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $53,463,689 |
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SPDR DoubleLine Emerging Markets Fixed Income ETF | |||
Six Months Ended 12/31/19 (Unaudited) | Year Ended 6/30/19 | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $1,362,053 | $2,300,308 | |
Net realized gain (loss) | (959,630) | (43,081) | |
Net change in unrealized appreciation/depreciation | 1,007,472 | 3,351,797 | |
Net increase (decrease) in net assets resulting from operations | 1,409,895 | 5,609,024 | |
Net equalization credits and charges | 16,443 | 35,847 | |
Distributions to shareholders | (1,594,558) | (2,240,675) | |
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||
Proceeds from sale of shares sold | 12,691,630 | 23,145,799 | |
Cost of shares redeemed | — | (9,812,692) | |
Net income equalization | (16,443) | (35,847) | |
Other Capital | 44,421 | 95,729 | |
Net increase (decrease) in net assets from beneficial interest transactions | 12,719,608 | 13,392,989 | |
Net increase (decrease) in net assets during the period | 12,551,388 | 16,797,185 | |
Net assets at beginning of period | 65,050,264 | 48,253,079 | |
NET ASSETS AT END OF PERIOD | $77,601,652 | $65,050,264 | |
SHARES OF BENEFICIAL INTEREST: | |||
Shares sold | 250,000 | 475,000 | |
Shares redeemed | — | (200,000) | |
Net increase (decrease) | 250,000 | 275,000 |
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SPDR DoubleLine Short Duration Total Return Tactical ETF | |||
Six Months Ended 12/31/19 (Unaudited) | Year Ended 6/30/19 | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $1,567,511 | $2,463,390 | |
Net realized gain (loss) | 159,854 | 117,898 | |
Net change in unrealized appreciation/depreciation | (53,708) | 1,310,293 | |
Net increase (decrease) in net assets resulting from operations | 1,673,657 | 3,891,581 | |
Net equalization credits and charges | 1,526 | 50,594 | |
Distributions to shareholders | (1,879,715) | (2,440,795) | |
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||
Proceeds from sale of shares sold | 17,313,272 | 41,653,504 | |
Cost of shares redeemed | (7,422,256) | (4,850,418) | |
Net income equalization | (1,526) | (50,594) | |
Other Capital | 46,994 | 106,559 | |
Net increase (decrease) in net assets from beneficial interest transactions | 9,936,484 | 36,859,051 | |
Net increase (decrease) in net assets during the period | 9,731,952 | 38,360,431 | |
Net assets at beginning of period | 121,344,060 | 82,983,629 | |
NET ASSETS AT END OF PERIOD | $131,076,012 | $121,344,060 | |
SHARES OF BENEFICIAL INTEREST: | |||
Shares sold | 350,000 | 850,000 | |
Shares redeemed | (150,000) | (100,000) | |
Net increase (decrease) | 200,000 | 750,000 |
Table of Contents
SPDR DoubleLine Total Return Tactical ETF | |||
Six Months Ended 12/31/19 (Unaudited) | Year Ended 6/30/19 | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $48,286,582 | $100,519,822 | |
Net realized gain (loss) | (2,379,010) | (29,183,284) | |
Net change in unrealized appreciation/depreciation | 7,556,117 | 122,210,213 | |
Net increase (decrease) in net assets resulting from operations | 53,463,689 | 193,546,751 | |
Net equalization credits and charges | (31,647) | 159,504 | |
Distributions to shareholders | (63,909,017) | (108,291,677) | |
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||
Proceeds from sale of shares sold | 90,718,516 | 536,959,704 | |
Cost of shares redeemed | (75,973,193) | (470,157,761) | |
Net income equalization | 31,647 | (159,504) | |
Other Capital | 414,388 | 2,585,534 | |
Net increase (decrease) in net assets from beneficial interest transactions | 15,191,358 | 69,227,973 | |
Net increase (decrease) in net assets during the period | 4,714,383 | 154,642,551 | |
Net assets at beginning of period | 3,336,881,348 | 3,182,238,797 | |
NET ASSETS AT END OF PERIOD | $3,341,595,731 | $3,336,881,348 | |
SHARES OF BENEFICIAL INTEREST: | |||
Shares sold | 1,850,000 | 11,250,000 | |
Shares redeemed | (1,550,000) | (9,950,000) | |
Net increase (decrease) | 300,000 | 1,300,000 |
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SPDR DoubleLine Emerging Markets Fixed Income ETF | |||||||||
Six Months Ended 12/31/19 (Unaudited) | 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 | $51.02 | $48.25 | $50.45 | $51.52 | $50.00 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (a) | 0.99 | 1.98 | 1.31 | 1.77 | 0.45 | ||||
Net realized and unrealized gain (loss) | 0.00 | 2.60 | (1.74) | 1.91 | 1.17 | ||||
Total from investment operations | 0.99 | 4.58 | (0.43) | 3.68 | 1.62 | ||||
Net equalization credits and charges (a) | 0.01 | 0.03 | 0.04 | 0.01 | — | ||||
Other capital (a) | 0.03 | 0.08 | 0.10 | 0.05 | 0.15 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (1.16) | (1.92) | (1.36) | (1.81) | (0.25) | ||||
Net realized gains | — | — | (0.55) | (3.00) | — | ||||
Total distributions | (1.16) | (1.92) | (1.91) | (4.81) | (0.25) | ||||
Net asset value, end of period | $50.89 | $51.02 | $48.25 | $50.45 | $51.52 | ||||
Total return (b) | 2.05% | 9.99% | (0.65)% | 7.67% | 3.55% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $77,602 | $65,050 | $48,253 | $27,748 | $38,639 | ||||
Ratios to average net assets: | |||||||||
Total expenses | 0.75%(c) | 0.75% | 0.76% | 0.75% | 0.75%(c) | ||||
Net expenses | 0.65%(c) | 0.65% | 0.65% | 0.65% | 0.65%(c) | ||||
Net investment income (loss) | 3.89%(c) | 4.06% | 2.64% | 3.46% | 4.15%(c) | ||||
Portfolio turnover rate (d) | 12%(e) | 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 period. |
(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. |
Table of Contents
SPDR DoubleLine Short Duration Total Return Tactical ETF | |||||||||
Six Months Ended 12/31/19 (Unaudited) | 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 | $49.53 | $48.81 | $49.61 | $50.40 | $50.00 | ||||
Income (loss) from investment operations: | |||||||||
Net investment income (loss) (a) | 0.60 | 1.30 | 1.02 | 1.04 | 0.22 | ||||
Net realized and unrealized gain (loss) | 0.04 | 0.62 | (0.99) | (0.53) | 0.20 | ||||
Total from investment operations | 0.64 | 1.92 | 0.03 | 0.51 | 0.42 | ||||
Net equalization credits and charges (a) | 0.00(b) | 0.03 | 0.05 | 0.00(b) | — | ||||
Other capital (a) | 0.02 | 0.06 | 0.12 | 0.06 | 0.10 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.73) | (1.29) | (1.00) | (1.13) | (0.12) | ||||
Net realized gains | — | — | — | (0.23) | — | ||||
Total distributions | (0.73) | (1.29) | (1.00) | (1.36) | (0.12) | ||||
Net asset value, end of period | $49.46 | $49.53 | $48.81 | $49.61 | $50.40 | ||||
Total return (c) | 1.35% | 4.18% | 0.43% | 1.14% | 1.04% | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $131,076 | $121,344 | $82,984 | $34,725 | $50,404 | ||||
Ratios to average net assets: | |||||||||
Total expenses | 0.50%(d) | 0.50% | 0.50% | 0.50% | 0.50%(d) | ||||
Net expenses | 0.45%(d) | 0.45% | 0.45% | 0.45% | 0.45%(d) | ||||
Net investment income (loss) | 2.42%(d) | 2.65% | 2.07% | 2.10% | 2.06%(d) | ||||
Portfolio turnover rate (e) | 19%(f) | 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 period. |
(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. 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. |
Table of Contents
SPDR DoubleLine Total Return Tactical ETF | |||||||||||
Six Months Ended 12/31/19 (Unaudited) | 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 02/23/15*- 6/30/15(a) | ||||||
Net asset value, beginning of period | $48.96 | $47.60 | $49.03 | $49.87 | $49.43 | $50.00 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (b) | 0.71 | 1.56 | 1.34 | 1.33 | 1.54 | 0.55 | |||||
Net realized and unrealized gain (loss) (c) | 0.08 | 1.44 | (1.34) | (0.66) | 0.34 | (0.88) | |||||
Total from investment operations | 0.79 | 3.00 | — | 0.67 | 1.88 | (0.33) | |||||
Net equalization credits and charges (b) | (0.00)(d) | 0.00(d) | 0.00(d) | 0.01 | 0.07 | 0.10 | |||||
Other capital (b) | 0.01 | 0.04 | 0.02 | 0.04 | 0.03 | 0.05 | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (0.94) | (1.68) | (1.45) | (1.48) | (1.54) | (0.39) | |||||
Net realized gains | — | — | — | (0.08) | — | — | |||||
Total distributions | (0.94) | (1.68) | (1.45) | (1.56) | (1.54) | (0.39) | |||||
Net asset value, end of period | $48.82 | $48.96 | $47.60 | $49.03 | $49.87 | $49.43 | |||||
Total return (e) | 1.62% | 6.53% | 0.04% | 1.55% | 4.03% | (0.34)% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $3,341,596 | $3,336,881 | $3,182,239 | $3,353,801 | $2,657,951 | $746,443 | |||||
Ratios to average net assets: | |||||||||||
Total expenses | 0.65%(f) | 0.65% | 0.65% | 0.66% | 0.65% | 0.65%(f) | |||||
Net expenses | 0.55%(f) | 0.55% | 0.55% | 0.55% | 0.55% | 0.56%(f) | |||||
Net investment income (loss) | 2.86%(f) | 3.27% | 2.78% | 2.70% | 3.14% | 3.18%(f) | |||||
Portfolio turnover rate | 15%(g) | 47%(h) | 34%(i) | 72%(i) | 38%(i) | 14%(i) |
* | 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. |
(b) | Per share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the period. |
(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) | Not annualized. |
(h) | Portfolio turnover rate excludes securities received or delivered from in-kind processing of creations or redemptions. |
(i) | Portfolio turnover is from the Fund's Portfolio prior to discontinuance of master-feeder structure. |
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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 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 | $— | $— | $13,633,057 | $8,313,697 | |||
SPDR DoubleLine Short Duration Total Return Tactical ETF | 13,833,156 | 4,257,710 | 21,043,001 | 14,187,355 | |||
SPDR DoubleLine Total Return Tactical ETF | 472,242,784 | 201,220,947 | 147,195,994 | 259,610,730 |
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Tax Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | ||||
SPDR DoubleLine Emerging Markets Fixed Income ETF | $74,103,747 | $3,109,058 | $472,253 | $2,636,805 | |||
SPDR DoubleLine Short Duration Total Return Tactical ETF | 130,201,160 | 1,045,493 | 562,805 | 482,688 | |||
SPDR DoubleLine Total Return Tactical ETF | 3,336,518,448 | 67,206,491 | 45,692,540 | 21,513,951 |
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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 | $1,020.50 | $1,013.50 | $1,016.20 | ||
Expenses Paid During Period | 3.30 | 2.28 | 2.79 | ||
Hypothetical (assuming a 5% return before expenses): | |||||
Ending Account Value | 1,021.90 | 1,022.90 | 1,022.40 | ||
Expenses Paid During Period(a) | 3.30 | 2.29 | 2.80 |
(a) | Expenses are equal to the Fund's annualized net expense ratio multiplied by the average account value of the period, multiplied by 184, then divided by 366. |
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• | the program supported each Fund’s ability to honor redemption requests timely; |
• | the program supported SSGA FM’s management of each Fund’s liquidity profile, including during periods of market volatility and net redemptions; |
• | no material liquidity issues were identified during the period; |
• | there were no material changes to the program during the period; |
• | the implementation of the program was effective to manage each Fund’s liquidity risk; and |
• | the program operated adequately during the period. |
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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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1 | |
3 | |
33 | |
36 | |
37 | |
46 |
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Description | % of Net Assets | ||
PetSmart, Inc. Senior Secured Consenting Term Loan 5.74% 3/11/2022 | 1.9% | ||
CenturyLink, Inc. Senior Secured 2017 Term Loan B 4.55% 1/31/2025 | 1.8 | ||
Envision Healthcare Corp. Senior Secured 2018 1st Lien Term Loan 5.55% 10/10/2025 | 1.7 | ||
Bass Pro Group LLC Senior Secured Term Loan B 6.80% 9/25/2024 | 1.6 | ||
Prime Security Services Borrower LLC Senior Secured 2019 Term Loan B1 4.94% 9/23/2026 | 1.6 | ||
TOTAL | 8.6% |
% of Net Assets | |||
Software | 10.8% | ||
Commercial Services & Supplies | 10.8 | ||
Media | 9.4 | ||
Health Care Providers & Services | 8.5 | ||
Specialty Retail | 4.9 | ||
Hotels, Restaurants & Leisure | 4.1 | ||
Pharmaceuticals | 3.8 | ||
Diversified Telecommunication Services | 3.6 | ||
Insurance | 3.4 | ||
Telecom Services | 3.1 | ||
Diversified Financial Services | 2.6 | ||
Auto Components | 2.5 | ||
Chemicals | 2.3 | ||
Retail-Restaurants | 1.8 | ||
Aerospace & Defense | 1.8 | ||
Machinery-Construction & Mining | 1.6 | ||
Advertising Services | 1.5 | ||
Entertainment | 1.4 | ||
Machinery | 1.3 | ||
Computer Services | 1.3 | ||
Construction Materials | 1.1 | ||
Diversified Operations | 1.1 | ||
Life Sciences Tools & Services | 0.9 | ||
Interactive Media & Services | 0.9 | ||
Health Care Technology | 0.8 | ||
Internet & Catalog Retail | 0.8 | ||
IT Services | 0.8 | ||
Capital Markets | 0.8 | ||
Oil, Gas & Consumable Fuels | 0.8 | ||
Containers & Packaging | 0.7 | ||
Electronic Equipment, Instruments & Components | 0.7 | ||
Diversified Consumer Services | 0.7 |
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% of Net Assets | |||
Construction & Engineering | 0.6% | ||
Health Care Equipment & Supplies | 0.6 | ||
Pipelines | 0.6 | ||
Professional Services | 0.5 | ||
Communications Equipment | 0.5 | ||
Hand/Machine Tools and Related Products | 0.5 | ||
Cosmetics&Toiletries | 0.5 | ||
Food & Beverage | 0.5 | ||
Recycling | 0.4 | ||
Food Products | 0.3 | ||
Distributors | 0.3 | ||
Telecommunication Equip | 0.3 | ||
Thrifts & Mortgage Finance | 0.3 | ||
Retail-Petroleum Product | 0.3 | ||
Building Products | 0.2 | ||
Electrical Equipment | 0.2 | ||
Financial Services | 0.2 | ||
Transport-Air Freight | 0.2 | ||
Pollution Control | 0.1 | ||
Food & Staples Retailing | 0.1 | ||
Metals & Mining | 0.1 | ||
Electric-Generation | 0.1 | ||
Semiconductor Equipment | 0.0 * | ||
Oil-Field Services | 0.0 * | ||
Independent Power Producers & Energy Traders | 0.0 * | ||
Computers & Peripherals | 0.0 * | ||
Distribution/Wholesale | 0.0 * | ||
Air Freight & Logistics | 0.0 * | ||
Real Estate | 0.0 * | ||
Semiconductors & Semiconductor Equipment | 0.0 * | ||
Airlines | 0.0 * | ||
Trading Companies & Distributors | 0.0 * | ||
Short-Term Investment | 14.1 | ||
Liabilities in Excess of Other Assets | (12.1) | ||
TOTAL | 100.0% | ||
* | Amount shown represents less than 0.05% of net assets. |
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Security Description | Principal Amount | Value | |||
SENIOR FLOATING RATE LOANS — 92.8% (a) | |||||
ADVERTISING SERVICES — 1.5% | |||||
AppLovin Corp. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 3.50%, 5.30%, 8/15/2025 | $7,356,765 | $7,415,398 | |||
Red Ventures LLC Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 3.00%, 4.80%, 11/8/2024 | 8,969,689 | 9,044,945 | |||
Terrier Media Buyer, Inc. Senior Secured Term Loan B, 12/17/2026 (b) | 22,233,202 | 22,483,436 | |||
38,943,779 | |||||
AEROSPACE & DEFENSE — 1.8% | |||||
TransDigm, Inc.: | |||||
Senior Secured 2018 Term Loan E, 1 Month USD LIBOR + 2.50%, 4.30%, 5/30/2025 | 27,636,844 | 27,756,235 | |||
Senior Secured 2018 Term Loan F, 1 Month USD LIBOR + 2.50%, 4.30%, 6/9/2023 | 6,120,723 | 6,150,684 | |||
Senior Secured 2018 Term Loan G, 8/22/2024 (b) | 10,972,010 | 11,022,317 | |||
44,929,236 | |||||
AIR FREIGHT & LOGISTICS — 0.0% (c) | |||||
XPO Logistics, Inc. Senior Secured 2019 Term Loan B1, 1 Month USD LIBOR + 2.50%, 4.24%, 2/24/2025 | 436,508 | 440,137 | |||
AIRLINES — 0.0% (c) | |||||
Air Canada Senior Secured 2019 Term Loan, 1 Month USD LIBOR + 1.75%, 3.51%, 10/6/2023 | 126,761 | 127,553 | |||
AUTO COMPONENTS — 2.5% | |||||
Belron Finance US LLC Senior Secured 2019 USD Term Loan B, 3 Month USD LIBOR + 2.50%, 4.44%, 11/7/2026 | 9,782,609 | 9,836,120 | |||
Panther BF Aggregator 2 L.P. Senior Secured USD Term Loan B, 1 Month USD LIBOR + 3.50%, 5.30%, 4/30/2026 | 31,205,843 | 31,371,702 | |||
USI, Inc.: |
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Security Description | Principal Amount | Value | |||
Senior Secured 2017 Repriced Term Loan, 3 Month USD LIBOR + 3.00%, 4.94%, 5/16/2024 | $16,424,294 | $16,446,878 | |||
Senior Secured 2019 Incremental Term Loan B, 1 Month USD LIBOR + 4.00%, 5.80%, 12/2/2026 | 6,226,415 | 6,275,728 | |||
63,930,428 | |||||
BUILDING PRODUCTS — 0.2% | |||||
AZEK Co. LLC Senior Secured 2017 Term Loan, 3 Month USD LIBOR + 3.75%, 5.93%, 5/5/2024 | 4,464,646 | 4,477,683 | |||
Builders FirstSource, Inc. Senior Secured 2017 Term Loan B, 1 Month USD LIBOR + 3.00%, 4.80%, 2/29/2024 | 216,416 | 217,536 | |||
JELD-WEN Holding, Inc. Senior Secured 2017 1st Lien Term Loan, 3 Month USD LIBOR + 2.00%, 3.94%, 12/14/2024 | 364,651 | 365,829 | |||
5,061,048 | |||||
CAPITAL MARKETS — 0.8% | |||||
AqGen Ascensus, Inc. Senior Secured 2017 Repriced Term Loan, 3 Month USD LIBOR + 4.00%, 5.94%, 12/3/2022 | 3,770,233 | 3,787,915 | |||
Deerfield Dakota Holdings LLC. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 3.25%, 5.05%, 2/13/2025 | 15,419,703 | 15,404,515 | |||
19,192,430 | |||||
CHEMICALS — 2.3% | |||||
Alpha 3 B.V. Senior Secured 2017 Term Loan B1, 3 Month USD LIBOR + 3.00%, 4.94%, 1/31/2024 | 3,849,355 | 3,865,407 | |||
Ascend Performance Materials Operations LLC Senior Secured 2019 Term Loan B, 3 Month USD LIBOR + 5.25%, 7.19%, 8/27/2026 | 8,977,500 | 9,067,275 | |||
Avantor, Inc. Senior Secured 2017 1st Lien Term Loan, 1 Month USD LIBOR + 3.00%, 4.80%, 11/21/2024 | 965,584 | 975,641 |
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Security Description | Principal Amount | Value | |||
Axalta Coating Systems US Holdings, Inc. Senior Secured USD Term Loan B3, 3 Month USD LIBOR + 1.75%, 3.69%, 6/1/2024 | $272,724 | $273,708 | |||
Composite Resins Holding B.V. Senior Secured 2018 Term Loan B, 3 Month USD LIBOR + 4.25%, 6.14%, 8/1/2025 | 9,055,554 | 9,100,832 | |||
Messer Industries Gmbh Senior Secured 2018 USD Term Loan, 3 Month USD LIBOR + 2.50%, 4.44%, 3/1/2026 | 9,487,437 | 9,551,335 | |||
Starfruit Finco B.V. Senior Secured 2018 USD Term Loan B, 1 Month USD LIBOR + 3.25%, 4.96%, 10/1/2025 | 26,107,316 | 26,161,750 | |||
58,995,948 | |||||
COMMERCIAL SERVICES & SUPPLIES — 10.7% | |||||
Allied Universal Holdco LLC: | |||||
Senior Secured 2019 Delayed Draw Term Loan, 1 Month USD LIBOR + 4.25%, 6.05%, 7/10/2026 | 1,531,531 | 1,542,696 | |||
Senior Secured 2019 Term Loan B, 1 Month USD LIBOR + 4.25%, 6.05%, 7/10/2026 | 15,468,468 | 15,581,233 | |||
Ancestry.com Operations, Inc. Senior Secured 2019 Extended Term Loan B, 1 Month USD LIBOR + 4.25%, 6.05%, 8/27/2026 | 19,900,000 | 19,620,206 | |||
APX Group, Inc. Senior Secured 2018 Term Loan B, 2 Month USD LIBOR + 4.00%, 6.85%, 4/1/2024 | 11,344,157 | 11,376,035 | |||
Aramark Services, Inc. Senior Secured 2019 Term Loan B4, 1/27/2027 (b) | 338,817 | 341,041 | |||
ASGN Incorporated Senior Secured 2019 Term Loan B3, 1 Month USD LIBOR + 1.75%, 3.55%, 4/2/2025 | 361,998 | 364,323 | |||
Asurion LLC: | |||||
Senior Secured 2017 2nd Lien Term Loan, 1 Month USD LIBOR + 6.50%, 8.30%, 8/4/2025 | 25,854,254 | 26,232,372 | |||
Senior Secured 2017 Term Loan B4, 1 Month USD LIBOR + 3.00%, 4.80%, 8/4/2022 | 10,828,047 | 10,905,900 |
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Security Description | Principal Amount | Value | |||
Senior Secured 2018 Term Loan B6, 1 Month USD LIBOR + 3.00%, 4.80%, 11/3/2023 | $22,161,182 | $22,319,523 | |||
Senior Secured 2018 Term Loan B7, 1 Month USD LIBOR + 3.00%, 4.80%, 11/3/2024 | 18,412,834 | 18,541,079 | |||
Cast and Crew Payroll LLC Senior Secured 2019 1st Lien Term Loan, 1 Month USD LIBOR + 4.00%, 5.80%, 2/9/2026 | 3,768,987 | 3,792,543 | |||
Coinamatic Canada, Inc. Senior Secured Canadian 1st Lien Term Loan, 1 Month USD LIBOR + 3.25%, 5.05%, 5/14/2022 | 73,450 | 71,981 | |||
Comet Acquisition, Inc. Senior Secured Term Loan, 3 Month USD LIBOR + 3.50%, 5.41%, 10/24/2025 | 4,050,000 | 3,992,611 | |||
Emerald TopCo, Inc. Senior Secured Term Loan, 1 Month USD LIBOR + 3.50%, 5.30%, 7/24/2026 | 8,550,000 | 8,610,149 | |||
ExamWorks Group, Inc. Senior Secured 2017 Term Loan, 7/27/2023 (b) | 2,984,655 | 3,008,906 | |||
GFL Environmental, Inc. Senior Secured 2018 USD Term Loan B, 1 Month USD LIBOR + 3.00%, 4.80%, 5/30/2025 | 11,093,739 | 11,130,348 | |||
Guidehouse LLP Senior Secured 2018 Term Loan, 5/1/2025 (b) | 4,564,221 | 4,538,547 | |||
KAR Auction Services, Inc. Senior Secured 2019 Term Loan B6, 1 Month USD LIBOR + 2.25%, 4.06%, 9/19/2026 | 289,947 | 292,394 | |||
KUEHG Corp. Senior Secured 2018 Incremental Term Loan, 3 Month USD LIBOR + 3.75%, 5.69%, 2/21/2025 | 6,812,594 | 6,845,227 | |||
Learning Care Group, Inc. Senior Secured 2018 1st Lien Term Loan, 3 Month USD LIBOR + 3.25%, 5.19%, 3/13/2025 | 4,985,927 | 4,999,962 | |||
Lineage Logistics Holdings LLC Senior Secured 2018 Term Loan, 1 Month USD LIBOR + 3.00%, 4.80%, 2/27/2025 | 4,407,496 | 4,409,348 |
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Security Description | Principal Amount | Value | |||
National Intergovernmental Purchasing Alliance Co. Senior Secured 1st Lien Term Loan, 3 Month USD LIBOR + 3.75%, 5.69%, 5/23/2025 | $3,649,846 | $3,660,486 | |||
Packers Holdings LLC Senior Secured 2017 Term Loan B, 1 Month USD LIBOR + 3.25%, 4.99%, 12/4/2024 | 808,759 | 810,781 | |||
Prime Security Services Borrower LLC Senior Secured 2019 Term Loan B1, 1 Month USD LIBOR + 3.25%, 4.94%, 9/23/2026 | 41,217,867 | 41,395,722 | |||
Prometric Holdings, Inc. Senior Secured 1st Lien Term Loan, 1 Month USD LIBOR + 3.00%, 4.80%, 1/29/2025 | 896,136 | 896,696 | |||
SSH Group Holdings, Inc. Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 4.25%, 6.05%, 7/30/2025 | 9,113,251 | 9,175,904 | |||
TruGreen, Ltd. Partnership Senior Secured 2019 Term Loan, 1 Month USD LIBOR + 3.75%, 5.55%, 3/19/2026 | 6,639,447 | 6,722,440 | |||
US Ecology, Inc. Senior Secured Term Loan B, 1 Month USD LIBOR + 2.50%, 4.30%, 8/14/2026 | 272,727 | 275,200 | |||
USS Ultimate Holdings, Inc. Senior Secured 1st Lien Term Loan, 3 Month USD LIBOR + 3.75%, 5.69%, 8/25/2024 | 809,419 | 813,551 | |||
Verscend Holding Corp. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 4.50%, 6.30%, 8/27/2025 | 26,916,928 | 27,163,621 | |||
VT Topco, Inc. Senior Secured 2018 1st Lien Term Loan, 3 Month USD LIBOR + 3.75%, 5.69%, 8/1/2025 | 4,250,935 | 4,246,961 | |||
273,677,786 |
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Security Description | Principal Amount | Value | |||
COMMUNICATIONS EQUIPMENT — 0.5% | |||||
CommScope, Inc. Senior Secured 2019 Term Loan B, 1 Month USD LIBOR + 3.25%, 5.05%, 4/6/2026 | $12,967,500 | $13,064,756 | |||
COMPUTER SERVICES — 1.3% | |||||
ConvergeOne Holdings, Inc. Senior Secured 2019 Term Loan, 1 Month USD LIBOR + 5.00%, 6.80%, 1/4/2026 | 12,180,486 | 11,684,558 | |||
Dell International LLC Senior Secured 2019 Term Loan B, 1 Month USD LIBOR + 2.00%, 3.80%, 9/19/2025 | 308,262 | 310,806 | |||
Genuine Financial Holdings LLC Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 3.75%, 5.55%, 7/12/2025 | 8,853,912 | 8,812,432 | |||
Perforce Software, Inc. Senior Secured Term Loan B, 1 Month USD LIBOR + 4.50%, 6.30%, 7/1/2026 | 7,062,943 | 7,076,222 | |||
Tempo Acquisition LLC Senior Secured Term Loan, 1 Month USD LIBOR + 2.75%, 4.55%, 5/1/2024 | 4,801,601 | 4,838,621 | |||
32,722,639 | |||||
COMPUTERS & PERIPHERALS — 0.0% (c) | |||||
Western Digital Corp. Senior Secured 2018 Term Loan B4, 3 Month USD LIBOR + 1.75%, 3.45%, 4/29/2023 | 300,000 | 302,125 | |||
CONSTRUCTION & ENGINEERING — 0.6% | |||||
APi Group DE, Inc. Senior Secured Term Loan B, 1 Month USD LIBOR + 2.50%, 4.30%, 10/1/2026 | 3,331,169 | 3,363,081 | |||
CNT Holdings III Corp. Senior Secured 2017 Term Loan, 3 Month USD LIBOR + 3.00%, 4.80%, 1/22/2023 | 4,886,650 | 4,892,758 | |||
Dynasty Acquisition Co., Inc. Senior Secured 2019 Term Loan B1, 3 Month USD LIBOR + 4.00%, 5.94%, 4/6/2026 | 3,799,787 | 3,830,946 |
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Security Description | Principal Amount | Value | |||
MX Holdings US, Inc. Senior Secured 2018 USD Term Loan B1C, 1 Month USD LIBOR + 2.75%, 4.55%, 7/31/2025 | $1,979,735 | $1,993,970 | |||
Pike Corp. Senior Secured 2019 Term Loan B, 1 Month USD LIBOR + 3.25%, 5.05%, 7/24/2026 | 1,109,770 | 1,117,516 | |||
15,198,271 | |||||
CONSTRUCTION MATERIALS — 1.1% | |||||
Advanced Drainage Systems, Inc. Senior Secured Term Loan B, 3 Month USD LIBOR + 2.25%, 4.00%, 7/31/2026 | 270,848 | 273,783 | |||
ERM Emerald US, Inc. Senior Secured USD Term Loan B1, 7/10/2026 (b) | 5,128,866 | 5,152,587 | |||
Quikrete Holdings, Inc. Senior Secured 2016 1st Lien Term Loan, 1 Month USD LIBOR + 2.75%, 4.55%, 11/15/2023 | 18,250,000 | 18,355,850 | |||
Tamko Building Products, Inc Senior Secured Term Loan B, 3 Month USD LIBOR + 3.25%, 5.16%, 6/1/2026 | 4,466,418 | 4,511,082 | |||
28,293,302 | |||||
CONTAINERS & PACKAGING — 0.7% | |||||
Berlin Packaging LLC Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 3.00%, 4.70%, 11/7/2025 | 1,271,779 | 1,265,872 | |||
Berry Global, Inc.: | |||||
Senior Secured 2019 Term Loan Y, 7/1/2026 (b) | 247,128 | 248,478 | |||
Senior Secured Term Loan W, 1 Month USD LIBOR + 2.00%, 3.72%, 10/1/2022 | 157,461 | 158,248 | |||
Senior Secured Term Loan X, 1 Month USD LIBOR + 2.00%, 3.72%, 1/19/2024 | 381,108 | 383,075 | |||
Charter NEX US Holdings, Inc. Senior Secured Incremental Term Loan, 1 Month USD LIBOR + 3.50%, 5.30%, 5/16/2024 | 4,302,646 | 4,337,605 |
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Security Description | Principal Amount | Value | |||
Reynolds Group Holdings, Inc. Senior Secured USD 2017 Term Loan, 1 Month USD LIBOR + 2.75%, 4.55%, 2/5/2023 | $12,038,672 | $12,091,401 | |||
18,484,679 | |||||
COSMETICS&TOILETRIES — 0.5% | |||||
Sunshine Luxembourg VII SARL Senior Secured USD Term Loan B1, 3 Month USD LIBOR + 4.25%, 6.19%, 10/1/2026 | 11,395,002 | 11,518,068 | |||
DISTRIBUTION/WHOLESALE — 0.0% (c) | |||||
Univar USA, Inc. Senior Secured 2019 USD Term Loan B, 1 Month USD LIBOR + 2.50%, 4.30%, 7/1/2024 | 451,203 | 453,619 | |||
DISTRIBUTORS — 0.3% | |||||
American Builders & Contractors Supply Co., Inc. Senior Secured 2019 Term Loan, 1 Month USD LIBOR + 2.00%, 3.80%, 1/15/2027 | 326,277 | 328,419 | |||
Explorer Holdings, Inc. Senior Secured 2016 Term Loan B, 3 Month USD LIBOR + 3.75%, 5.60%, 5/2/2023 | 4,429,127 | 4,473,419 | |||
Spin Holdco, Inc. Senior Secured 2017 Term Loan B, 3 Month USD LIBOR + 3.25%, 5.25%, 11/14/2022 | 2,468,355 | 2,453,371 | |||
7,255,209 | |||||
DIVERSIFIED CONSUMER SERVICES — 0.7% | |||||
Cambium Learning Group, Inc. Senior Secured Term Loan B, 12/18/2025 (b) | 10,002,886 | 9,702,799 | |||
GI Revelation Acquisition LLC Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 5.00%, 6.80%, 4/16/2025 | 8,038,611 | 7,606,576 | |||
WASH Multifamily Laundry Systems LLC Senior Secured 2015 1st Lien Term Loan, 1 Month USD LIBOR + 3.25%, 5.05%, 5/14/2022 | 474,034 | 464,554 | |||
17,773,929 |
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Security Description | Principal Amount | Value | |||
DIVERSIFIED FINANCIAL SERVICES — 2.6% | |||||
Advisor Group, Inc. Senior Secured 2019 Term Loan B, 1 Month USD LIBOR + 5.00%, 6.80%, 8/1/2026 | $2,777,778 | $2,762,167 | |||
AlixPartners LLP Senior Secured 2017 Term Loan B, 1 Month USD LIBOR + 2.75%, 4.55%, 4/4/2024 | 4,987,179 | 5,023,411 | |||
Edelman Financial Center LLC: | |||||
Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 3.25%, 5.04%, 7/21/2025 | 4,952,503 | 4,989,127 | |||
Senior Secured 2018 2nd Lien Term Loan, 1 Month USD LIBOR + 6.75%, 8.54%, 7/20/2026 | 769,231 | 770,192 | |||
Focus Financial Partners LLC Senior Secured 2018 Incremental Term Loan, 1 Month USD LIBOR + 2.50%, 4.30%, 7/3/2024 | 419,412 | 422,858 | |||
IG Investment Holdings LLC Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 4.00%, 5.80%, 5/23/2025 | 4,502,004 | 4,537,457 | |||
LDiscovery LLC Senior Secured Term Loan, 3 Month USD LIBOR + 5.88%, 7.93%, 12/9/2022 | 8,754,791 | 8,776,678 | |||
Minotaur Acquisition, Inc. Senior Secured Term Loan B, 1 Month USD LIBOR + 5.00%, 6.80%, 3/27/2026 | 5,433,264 | 5,365,348 | |||
UFC Holdings LLC Senior Secured 2019 Term Loan, 1 Month USD LIBOR + 3.25%, 5.05%, 4/29/2026 | 9,303,386 | 9,377,673 | |||
William Morris Endeavor Entertainment LLC Senior Secured 2018 1st Lien Term Loan, 3 Month USD LIBOR + 2.75%, 4.68%, 5/18/2025 | 24,027,023 | 23,956,985 | |||
65,981,896 | |||||
DIVERSIFIED OPERATIONS — 1.1% | |||||
Travelport Finance (Luxembourg) S.a.r.l.: | |||||
Senior Secured 2019 2nd Lien Term Loan, 3 Month USD LIBOR + 9.00%, 10.94%, 5/28/2027 | 19,300,000 | 16,308,500 |
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Security Description | Principal Amount | Value | |||
Senior Secured 2019 Term Loan, 3 Month USD LIBOR + 5.00%, 6.94%, 5/29/2026 | $12,488,473 | $11,714,188 | |||
28,022,688 | |||||
DIVERSIFIED TELECOMMUNICATION SERVICES — 3.6% | |||||
Altice France S.A. Senior Secured USD Term Loan B12, 1 Month USD LIBOR + 3.69%, 5.43%, 1/31/2026 | 17,468,968 | 17,523,558 | |||
CenturyLink, Inc. Senior Secured 2017 Term Loan B, 1 Month USD LIBOR + 2.75%, 4.55%, 1/31/2025 | 46,562,169 | 46,824,081 | |||
Consolidated Communications, Inc. Senior Secured 2016 Term Loan B, 1 Month USD LIBOR + 3.00%, 4.80%, 10/4/2023 | 6,434,461 | 6,115,409 | |||
Level 3 Financing, Inc. Senior Secured 2019 Term Loan B, 1 Month USD LIBOR + 1.75%, 3.55%, 3/1/2027 | 273,278 | 274,560 | |||
Telesat Canada Senior Secured Term Loan B5, 3 Month USD LIBOR + 2.75%, 4.63%, 12/7/2026 | 21,356,326 | 21,494,288 | |||
92,231,896 | |||||
ELECTRICAL EQUIPMENT — 0.2% | |||||
EXC Holdings III Corp. Senior Secured USD 2017 1st Lien Term Loan, 3 Month USD LIBOR + 3.50%, 5.44%, 12/2/2024 | 4,575,610 | 4,572,773 | |||
Generac Power Systems, Inc. Senior Secured 2019 Term Loan B, 12/13/2026 (b) | 375,053 | 377,397 | |||
4,950,170 | |||||
ELECTRIC-GENERATION — 0.1% | |||||
1199169 B.C. Unlimited Liability Company Senior Secured 2019 Term Loan B2, 3 Month USD LIBOR + 4.00%, 5.94%, 4/6/2026 | 2,042,896 | 2,059,648 |
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Security Description | Principal Amount | Value | |||
ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS — 0.7% | |||||
CPI International, Inc. Senior Secured 2017 1st Lien Term Loan, 1 Month USD LIBOR + 3.50%, 5.30%, 7/26/2024 | $2,728,728 | $2,626,401 | |||
GrafTech Finance, Inc. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 3.50%, 5.30%, 2/12/2025 | 13,973,373 | 13,955,906 | |||
TTM Technologies, Inc. Senior Secured 2017 Term Loan, 1 Month USD LIBOR + 2.50%, 4.19%, 9/28/2024 | 1,399,601 | 1,408,349 | |||
17,990,656 | |||||
ENTERTAINMENT — 1.4% | |||||
AMC Entertainment Holdings, Inc. Senior Secured 2019 Term Loan B, 1 Month USD LIBOR + 3.00%, 4.80%, 4/22/2026 | 7,476,168 | 7,545,580 | |||
Crown Finance US, Inc. Senior Secured 2018 USD Term Loan, 1 Month USD LIBOR + 2.25%, 4.05%, 2/28/2025 | 12,034,613 | 12,048,212 | |||
Diamond Sports Group LLC Senior Secured Term Loan, 1 Month USD LIBOR + 3.25%, 5.03%, 8/24/2026 | 10,910,156 | 10,919,266 | |||
NASCAR Holdings, Inc. Senior Secured Term Loan B, 3 Month USD LIBOR + 2.75%, 4.49%, 10/19/2026 | 5,196,399 | 5,261,380 | |||
Six Flags Theme Parks, Inc. Senior Secured 2019 Term Loan B, 1 Month USD LIBOR + 1.75%, 3.55%, 4/17/2026 | 279 | 280 | |||
35,774,718 | |||||
FINANCIAL SERVICES — 0.2% | |||||
AI Alpine AT Bidco GmbH Senior Secured 2018 USD Term Loan B, 10/31/2025 (b) | 4,010,584 | 3,950,425 | |||
FOOD & STAPLES RETAILING — 0.1% | |||||
Hostess Brands LLC Senior Secured 2019 Term Loan, 3 Month USD LIBOR + 2.25%, 4.18%, 8/3/2025 | 208,651 | 209,825 |
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Security Description | Principal Amount | Value | |||
Mastronardi Produce, Ltd. Senior Secured Term Loan B, 1 Month USD LIBOR + 3.25%, 5.05%, 5/1/2025 | $2,337,816 | $2,346,583 | |||
US Foods, Inc. Senior Secured 2016 Term Loan B, 1 Month USD LIBOR + 1.75%, 3.55%, 6/27/2023 | 343,570 | 345,234 | |||
2,901,642 | |||||
FOOD PRODUCTS — 0.3% | |||||
Chobani LLC Senior Secured 2017 Term Loan B, 1 Month USD LIBOR + 3.50%, 5.30%, 10/10/2023 | 2,961,706 | 2,966,889 | |||
Dole Food Co., Inc. Senior Secured 2017 Term Loan B, 1 Month USD LIBOR + 1.75%, 4.55%, 4/6/2024 | 5,548,848 | 5,550,318 | |||
8,517,207 | |||||
HAND/MACHINE TOOLS AND RELATED PRODUCTS — 0.4% | |||||
Apex Tool Group LLC Senior Secured 2019 Term Loan B, 1 Month USD LIBOR + 5.50%, 7.30%, 8/1/2024 | 10,243,709 | 10,130,055 | |||
HEALTH CARE EQUIPMENT & SUPPLIES — 0.6% | |||||
Carestream Health, Inc. Senior Secured 2nd Lien Term Loan, 1 Month USD LIBOR + 9.50%, 11.30%, 6/7/2021 | 17,069,077 | 16,172,951 | |||
HEALTH CARE PROVIDERS & SERVICES — 8.2% | |||||
Air Medical Group Holdings, Inc.: | |||||
Senior Secured 2017 Term Loan B2, 1 Month USD LIBOR + 4.25%, 6.05%, 3/14/2025 | 4,618,175 | 4,491,175 | |||
Senior Secured 2018 Term Loan B1, 1 Month USD LIBOR + 3.25%, 5.04%, 4/28/2022 | 5,939,716 | 5,836,691 | |||
Athenahealth, Inc. Senior Secured 2019 Term Loan B, 3 Month USD LIBOR + 4.50%, 6.40%, 2/11/2026 | 35,528,997 | 35,765,798 |
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Security Description | Principal Amount | Value | |||
Auris Luxembourg III S.a.r.l. Senior Secured 2019 USD Term Loan B2, 1 Month USD LIBOR + 3.75%, 2/27/2026 (b) | $1,526,924 | $1,537,109 | |||
Catalent Pharma Solutions, Inc. Senior Secured Term Loan B2, 1 Month USD LIBOR + 2.25%, 4.05%, 5/18/2026 | 149,688 | 150,530 | |||
Certara L.P. Senior Secured 2018 Term Loan B, 3 Month USD LIBOR + 3.50%, 5.44%, 8/15/2024 | 1,644,530 | 1,642,474 | |||
CHG Healthcare Services, Inc. Senior Secured 2017 1st Lien Term Loan B, 1 Month USD LIBOR + 3.00%, 4.80%, 6/7/2023 | 2,167,207 | 2,184,815 | |||
DaVita, Inc. Senior Secured 2019 Term Loan B, 1 Month USD LIBOR + 2.25%, 4.05%, 8/12/2026 | 4,854,677 | 4,898,879 | |||
Envision Healthcare Corp. Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 3.75%, 5.55%, 10/10/2025 | 50,498,723 | 43,323,612 | |||
Femur Buyer, Inc. Senior Secured 1st Lien Term Loan, 3/5/2026 (b) | 762,925 | 745,760 | |||
HCA, Inc.: | |||||
Senior Secured Term Loan B12, 1 Month USD LIBOR + 1.75%, 3.55%, 3/13/2025 | 116 | 117 | |||
Senior Secured Term Loan B13, 1 Month USD LIBOR + 1.75%, 3.55%, 3/18/2026 | 253,438 | 255,250 | |||
Heartland Dental LLC Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 3.75%, 5.55%, 4/30/2025 | 6,654,487 | 6,640,612 | |||
IQVIA Inc.: | |||||
Senior Secured 2017 USD Term Loan B1, 1/17/2025 (b) | 341,708 | 343,844 | |||
Senior Secured 2017 USD Term Loan B1, 3/7/2024 (b) | 146,161 | 147,136 | |||
MPH Acquisition Holdings LLC Senior Secured 2016 Term Loan B, 3 Month USD LIBOR + 2.75%, 4.69%, 6/7/2023 | 14,754,906 | 14,583,601 |
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Security Description | Principal Amount | Value | |||
Ortho-Clinical Diagnostics SA. Senior Secured 2018 Term Loan B, 3 Month USD LIBOR + 3.25%, 5.31%, 6/30/2025 | $23,376,132 | $23,156,981 | |||
Phoenix Guarantor, Inc. Senior Secured Term Loan B, 1 Month USD LIBOR + 4.50%, 6.21%, 3/5/2026 | 11,436,306 | 11,515,045 | |||
RegionalCare Hospital Partners Holdings, Inc. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 4.50%, 6.30%, 11/17/2025 | 25,356,999 | 25,594,721 | |||
Surgery Center Holdings, Inc. Senior Secured 2017 Term Loan B, 1 Month USD LIBOR + 3.25%, 5.05%, 9/2/2024 | 6,850,994 | 6,835,306 | |||
Team Health Holdings, Inc. Senior Secured 1st Lien Term Loan, 1 Month USD LIBOR + 2.75%, 4.55%, 2/6/2024 | 19,860,243 | 16,173,685 | |||
U.S. Anesthesia Partners, Inc. Senior Secured 2017 Term Loan, 1 Month USD LIBOR + 3.00%, 4.80%, 6/23/2024 | 4,520,215 | 4,514,564 | |||
210,337,705 | |||||
HEALTH CARE TECHNOLOGY — 0.8% | |||||
Agiliti Health, Inc. Senior Secured Term Loan, 1 Month USD LIBOR + 3.00%, 4.75%, 1/4/2026 | 2,682,432 | 2,702,550 | |||
Change Healthcare Holdings LLC. Senior Secured 2017 Term Loan B, 1 Month USD LIBOR + 2.50%, 4.30%, 3/1/2024 | 17,323,223 | 17,409,839 | |||
20,112,389 | |||||
HOTELS, RESTAURANTS & LEISURE — 4.1% | |||||
1011778 B.C. Unlimited Liability Co. Senior Secured Term Loan B4, 1 Month USD LIBOR + 1.75%, 3.55%, 11/19/2026 | 961,453 | 963,732 | |||
Alterra Mountain Company Senior Secured Term Loan B1, 1 Month USD LIBOR + 2.75%, 4.55%, 7/31/2024 | 2,481,759 | 2,506,577 |
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Security Description | Principal Amount | Value | |||
Caesars Resort Collection LLC Senior Secured 2017 1st Lien Term Loan B, 1 Month USD LIBOR + 2.75%, 4.55%, 12/23/2024 | $31,926,494 | $32,029,616 | |||
Delta 2 (LUX) S.A.R.L. Senior Secured 2018 USD Term Loan, 1 Month USD LIBOR + 2.50%, 4.30%, 2/1/2024 | 27,251,255 | 27,425,936 | |||
Golden Nugget, Inc. Senior Secured 2017 Incremental Term Loan B, 3 Month USD LIBOR + 2.75%, 4.72%, 10/4/2023 | 13,463,417 | 13,527,705 | |||
MGM Growth Properties Operating Partnership LP Senior Secured 2016 Term Loan B, 1 Month USD LIBOR + 2.00%, 3.80%, 3/21/2025 | 368,450 | 370,624 | |||
Scientific Games International, Inc. Senior Secured 2018 Term Loan B5, 1 Month USD LIBOR + 2.75%, 4.59%, 8/14/2024 | 27,354,762 | 27,466,916 | |||
104,291,106 | |||||
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS — 0.0% (c) | |||||
Vistra Operations Co. LLC Senior Secured 1st Lien Term Loan B3, 1 Month USD LIBOR + 1.75%, 3.55%, 12/31/2025 | 287,095 | 289,215 | |||
INSURANCE — 3.3% | |||||
Acrisure LLC: | |||||
Senior Secured 2017 Term Loan B, 3 Month USD LIBOR + 4.25%, 6.19%, 11/22/2023 | 15,135,252 | 15,201,468 | |||
Senior Secured 2018 Term Loan B, 3 Month USD LIBOR + 3.75%, 5.69%, 11/22/2023 | 2,160,382 | 2,166,680 | |||
Alliant Holdings I, Inc. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 3.00%, 4.80%, 5/9/2025 | 6,403,242 | 6,416,272 | |||
Alliant Holdings Intermediate LLC Senior Secured Term Loan B, 1 Month USD LIBOR + 3.25%, 4.99%, 5/9/2025 | 1,584,265 | 1,589,414 |
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Security Description | Principal Amount | Value | |||
AmWINS Group, Inc. Senior Secured 2017 Term Loan B, 1 Month USD LIBOR + 2.75%, 4.55%, 1/25/2024 | $3,907,197 | $3,945,781 | |||
Assured Partners, Inc. Senior Secured 2017 1st Lien Add-On Term Loan, 1 Month USD LIBOR + 3.50%, 5.30%, 10/22/2024 | 8,090,365 | 8,127,783 | |||
Broadstreet Partners, Inc. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 3.25%, 5.05%, 11/8/2023 | 1,845,221 | 1,855,609 | |||
Hub International, Ltd.: | |||||
Senior Secured 2018 Term Loan B, 3 Month USD LIBOR + 2.75%, 4.69%, 4/25/2025 | 15,549,585 | 15,564,590 | |||
Senior Secured 2019 Incremental Term Loan B, 3 Month USD LIBOR + 4.00%, 5.90%, 4/25/2025 | 13,432,836 | 13,585,702 | |||
NFP Corp. Senior Secured Term Loan B, 1 Month USD LIBOR + 3.00%, 4.80%, 1/8/2024 | 6,809,773 | 6,793,362 | |||
Sedgwick Claims Management Services, Inc.: | |||||
Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 3.25%, 5.05%, 12/31/2025 | 5,202,103 | 5,211,857 | |||
Senior Secured 2019 Term Loan B, 1 Month USD LIBOR + 4.00%, 5.80%, 9/3/2026 | 4,597,904 | 4,645,814 | |||
85,104,332 | |||||
INTERACTIVE MEDIA & SERVICES — 0.9% | |||||
Go Daddy Operating Co. LLC Senior Secured 2017 Repriced Term Loan, 1 Month USD LIBOR + 1.75%, 3.55%, 2/15/2024 | 1,678 | 1,689 | |||
Ivanti Software, Inc. Senior Secured 2017 Term Loan B, 1 Month USD LIBOR + 4.25%, 5.97%, 1/20/2024 | 11,684,129 | 11,712,112 | |||
Rackspace Hosting, Inc. Senior Secured 2017 Incremental 1st Lien Term Loan, 3 Month USD LIBOR + 3.00%, 4.90%, 11/3/2023 | 12,760,339 | 12,429,847 | |||
24,143,648 |
Table of Contents
Security Description | Principal Amount | Value | |||
INTERNET & CATALOG RETAIL — 0.8% | |||||
Harbor Freight Tools USA, Inc. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 2.50%, 4.30%, 8/18/2023 | $21,267,453 | $21,219,602 | |||
IT SERVICES — 0.8% | |||||
Access CIG LLC Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 3.75%, 5.44%, 2/27/2025 | 9,534,865 | 9,542,826 | |||
Verra Mobility Corporation Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 3.75%, 5.55%, 2/28/2025 | 2,992,386 | 3,016,086 | |||
Web.com Group, Inc. Senior Secured 2018 Term Loan B, 3 Month USD LIBOR + 3.75%, 5.49%, 10/10/2025 | 9,092,054 | 9,097,919 | |||
21,656,831 | |||||
LIFE SCIENCES TOOLS & SERVICES — 0.9% | |||||
Albany Molecular Research, Inc. Senior Secured 2017 1st Lien Term Loan, 1 Month USD LIBOR + 3.25%, 5.05%, 8/30/2024 | 4,189,453 | 4,179,001 | |||
eResearchTechnology, Inc. Senior Secured 2019 Term Loan, 11/20/2026 (b) | 1,000,000 | 1,009,375 | |||
Jaguar Holding Company II Senior Secured 2018 Term Loan, 1 Month USD LIBOR + 2.50%, 4.30%, 8/18/2022 | 15,928,113 | 16,034,910 | |||
Parexel International Corp. Senior Secured Term Loan B, 1 Month USD LIBOR + 2.75%, 4.55%, 9/27/2024 | 2,699,507 | 2,655,640 | |||
23,878,926 | |||||
MACHINERY — 1.3% | |||||
Allison Transmission, Inc. Senior Secured 2019 Term Loan B, 1 Month USD LIBOR + 1.75%, 3.54%, 3/29/2026 | 911,531 | 920,505 |
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Security Description | Principal Amount | Value | |||
Clark Equipment Co. Senior Secured 2019 Term Loan B, 3 Month USD LIBOR + 1.75%, 3.69%, 5/18/2024 | $244,161 | $245,443 | |||
Engineered Machinery Holdings, Inc. Senior Secured USD 1st Lien Term Loan, 3 Month USD LIBOR + 3.00%, 4.94%, 7/19/2024 | 4,900,000 | 4,860,187 | |||
Hillman Group, Inc. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 4.00%, 5.80%, 5/31/2025 | 9,115,420 | 8,990,083 | |||
Titan Acquisition, Ltd. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 3.00%, 4.80%, 3/28/2025 | 18,966,757 | 18,699,136 | |||
33,715,354 | |||||
MACHINERY-CONSTRUCTION & MINING — 1.6% | |||||
Brookfield WEC Holdings, Inc. Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 3.50%, 5.30%, 8/1/2025 | 13,645,019 | 13,760,115 | |||
Clear Channel Outdoor Holdings, Inc. Senior Secured Term Loan B, 1 Month USD LIBOR + 3.50%, 5.30%, 8/21/2026 | 4,876,667 | 4,911,925 | |||
Cortes NP Acquisition Corp. Senior Secured 2017 Term Loan B, 3 Month USD LIBOR + 4.00%, 5.93%, 11/30/2023 | 22,956,894 | 22,956,894 | |||
41,628,934 | |||||
MEDIA — 6.5% | |||||
Charter Communications Operating LLC Senior Secured 2019 Term Loan B2, 1 Month USD LIBOR + 1.75%, 3.55%, 2/1/2027 | 387,808 | 390,718 | |||
Cogeco Communications (USA) II L.P. Senior Secured 2017 1st Lien Term Loan, 1 Month USD LIBOR + 2.25%, 4.05%, 1/3/2025 | 292,405 | 293,831 | |||
CSC Holdings LLC: | |||||
Senior Secured 2017 1st Lien Term Loan, 1 Month USD LIBOR + 2.25%, 3.99%, 7/17/2025 | 967,236 | 970,326 |
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Security Description | Principal Amount | Value | |||
Senior Secured 2019 Term Loan B5, 1 Month USD LIBOR + 2.50%, 4.24%, 4/15/2027 | $7,937,269 | $7,985,210 | |||
Entercom Media Corp. Senior Secured 2019 Term Loan, 1 Month USD LIBOR + 2.50%, 4.30%, 11/18/2024 | 2,719,539 | 2,745,035 | |||
Entravision Communications Corp. Senior Secured 2017 Term Loan B, 1 Month USD LIBOR + 2.75%, 4.55%, 11/29/2024 | 6,062,500 | 5,905,875 | |||
iHeartCommunications, Inc. Senior Secured Exit Term Loan, 1 Month USD LIBOR + 4.00%, 5.69%, 5/1/2026 | 18,115,673 | 18,293,025 | |||
MH Sub I LLC Senior Secured 2017 1st Lien Term Loan, 1 Month USD LIBOR + 3.75%, 5.55%, 9/13/2024 | 23,639,825 | 23,730,130 | |||
Nexstar Broadcasting, Inc. Senior Secured 2019 Term Loan B4, 1 Month USD LIBOR + 2.75%, 4.45%, 9/18/2026 | 22,689,441 | 22,848,040 | |||
Nielsen Finance LLC Senior Secured USD Term Loan B4, 1 Month USD LIBOR + 2.00%, 3.71%, 10/4/2023 | 192,327 | 193,245 | |||
Outfront Media Capital LLC Senior Secured 2019 Term Loan B, 1 Month USD LIBOR + 1.75%, 3.49%, 11/18/2026 | 155,125 | 156,136 | |||
Radiate Holdco LLC Senior Secured 1st Lien Term Loan, 1 Month USD LIBOR + 3.00%, 4.80%, 2/1/2024 | 24,660,695 | 24,785,601 | |||
Univision Communications, Inc. Senior Secured Term Loan C5, 1 Month USD LIBOR + 2.75%, 4.55%, 3/15/2024 | 32,697,196 | 32,359,107 | |||
Virgin Media Bristol LLC Senior Secured USD Term Loan N, 1 Month USD LIBOR + 2.50%, 4.24%, 1/31/2028 | 13,817,431 | 13,921,960 | |||
WideOpenWest Finance LLC Senior Secured 2017 Term Loan B, 8/18/2023 (b) | 4,504,015 | 4,485,256 |
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Security Description | Principal Amount | Value | |||
Ziggo Secured Finance Partnership Senior Secured USD Term Loan E, 1 Month USD LIBOR + 2.50%, 4.24%, 4/15/2025 | $7,552,716 | $7,587,685 | |||
166,651,180 | |||||
METALS & MINING — 0.1% | |||||
Aleris International, Inc. Senior Secured 2018 Term Loan, 1 Month USD LIBOR + 4.75%, 6.55%, 2/27/2023 | 2,988,157 | 2,995,627 | |||
OIL, GAS & CONSUMABLE FUELS — 0.8% | |||||
Calpine Corporation Senior Secured 2019 Term Loan B10, 1 Month USD LIBOR + 2.50%, 4.30%, 8/12/2026 | 9,715,909 | 9,788,050 | |||
EG America LLC. Senior Secured 2018 USD Term Loan, 3 Month USD LIBOR + 4.00%, 5.96%, 2/7/2025 | 10,055,376 | 10,035,517 | |||
19,823,567 | |||||
OIL-FIELD SERVICES — 0.0% (c) | |||||
MRC Global (US), Inc. Senior Secured 2018 1st Lien Term Loan B, 1 Month USD LIBOR + 3.00%, 4.80%, 9/20/2024 | 829,777 | 833,926 | |||
PHARMACEUTICALS — 3.6% | |||||
Amneal Pharmaceuticals LLC Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 3.50%, 5.31%, 5/4/2025 | 29,888,915 | 27,019,579 | |||
Bausch Health Companies Inc. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 3.00%, 4.74%, 6/2/2025 | 27,693,065 | 27,886,362 | |||
Endo Luxembourg Finance Co. I S.A.R.L. Senior Secured 2017 Term Loan B, 1 Month USD LIBOR + 4.25%, 6.06%, 4/29/2024 | 29,993,363 | 28,798,278 | |||
Grifols Worldwide Operations USA, Inc. Senior Secured USD 2019 Term Loan B, 1 Month USD LIBOR + 2.00%, 3.74%, 11/15/2027 | 375,672 | 379,332 |
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Security Description | Principal Amount | Value | |||
Horizon Therapeutics USA Inc Senior Secured Term Loan B, 5/22/2026 (b) | $223,233 | $224,582 | |||
Packaging Coordinators Midco, Inc. Senior Secured 1st Lien Term Loan, 3 Month USD LIBOR + 4.00%, 5.95%, 6/30/2023 | 244,503 | 243,994 | |||
Pearl Intermediate Parent LLC Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 2.75%, 4.55%, 2/14/2025 | 8,113,831 | 8,028,920 | |||
92,581,047 | |||||
PIPELINES — 0.6% | |||||
Buckeye Partners, L.P. Senior Secured 2019 Term Loan B, 1 Month USD LIBOR + 2.75%, 4.44%, 11/1/2026 | 8,871,111 | 8,962,306 | |||
Lower Cadence Holdings LLC Senior Secured Term Loan B, 1 Month USD LIBOR + 4.00%, 5.80%, 5/22/2026 | 6,740,097 | 6,685,367 | |||
15,647,673 | |||||
POLLUTION CONTROL — 0.1% | |||||
Core & Main L.P. Senior Secured 2017 Term Loan B, 3 Month USD LIBOR + 2.75%, 4.66%, 8/1/2024 | 2,153,886 | 2,160,165 | |||
EnergySolutions LLC Senior Secured 2018 Term Loan B, 3 Month USD LIBOR + 3.75%, 5.69%, 5/9/2025 | 1,615,901 | 1,531,575 | |||
3,691,740 | |||||
PROFESSIONAL SERVICES — 0.5% | |||||
Advantage Sales & Marketing, Inc. Senior Secured 2014 2nd Lien Term Loan, 1 Month USD LIBOR + 6.50%, 8.30%, 7/25/2022 | 14,369,542 | 12,848,814 | |||
REAL ESTATE (c) — 0.0% | |||||
ESH Hospitality, Inc. Senior Secured 2019 Term Loan B, 1 Month USD LIBOR + 2.00%, 3.80%, 9/18/2026 | 264,821 | 267,339 |
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Security Description | Principal Amount | Value | |||
RECYCLING — 0.2% | |||||
Tunnel Hill Partners LP Senior Secured Term Loan B, 1 Month USD LIBOR + 3.50%, 5.30%, 2/6/2026 | $4,707,788 | $4,696,018 | |||
RETAIL-RESTAURANTS — 1.8% | |||||
Albertson's LLC Senior Secured 2019 Term Loan B8, 1 Month USD LIBOR + 2.75%, 4.55%, 8/17/2026 | 16,301,805 | 16,469,143 | |||
Flynn Restaurant Group L.P. Senior Secured 1st Lien Term Loan, 1 Month USD LIBOR + 3.50%, 5.30%, 6/27/2025 | 4,704,034 | 4,530,573 | |||
Fogo De Chao, Inc. Senior Secured 2018 Add On Term Loan, 1 Month USD LIBOR + 4.25%, 6.05%, 4/7/2025 | 5,498,752 | 5,533,120 | |||
Hilton Worldwide Finance LLC Senior Secured 2019 Term Loan B2, 1 Month USD LIBOR + 1.75%, 3.54%, 6/22/2026 | 265,218 | 267,334 | |||
IRB Holding Corp. Senior Secured 1st Lien Term Loan, 3 Month USD LIBOR + 3.25%, 5.22%, 2/5/2025 | 9,582,529 | 9,656,410 | |||
K-Mac Holdings Corp. Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 3.00%, 4.80%, 3/14/2025 | 4,765,285 | 4,715,249 | |||
Tacala LLC Senior Secured 1st Lien Term Loan, 1/31/2025 (b) | 2,168,522 | 2,180,525 | |||
Whatabrands LLC Senior Secured Term Loan B, 1 Month USD LIBOR + 3.25%, 4.94%, 8/2/2026 | 1,711,192 | 1,723,111 | |||
45,075,465 | |||||
SEMICONDUCTOR EQUIPMENT — 0.0% (c) | |||||
MA FinanceCo. LLC Senior Secured USD Term Loan B3, 1 Month USD LIBOR + 2.50%, 4.30%, 6/21/2024 | 44,353 | 44,496 |
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Security Description | Principal Amount | Value | |||
Seattle Spinco, Inc. Senior Secured USD Term Loan B3, 1 Month USD LIBOR + 2.50%, 4.30%, 6/21/2024 | $299,998 | $300,967 | |||
345,463 | |||||
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT — 0.0% (c) | |||||
ON Semiconductor Corp. Senior Secured 2019 Term Loan B, 1 Month USD LIBOR + 2.00%, 3.80%, 9/19/2026 | 317,778 | 320,421 | |||
SOFTWARE — 10.6% | |||||
Almonde, Inc. Senior Secured USD 1st Lien Term Loan, 6 Month USD LIBOR + 3.50%, 5.70%, 6/13/2024 | 37,507,843 | 37,325,555 | |||
Applied Systems, Inc. Senior Secured 2017 1st Lien Term Loan, 3 Month USD LIBOR + 3.25%, 5.19%, 9/19/2024 | 1,247,161 | 1,253,297 | |||
Banff Merger Sub, Inc. Senior Secured 2018 USD Term Loan B, 10/2/2025 (b) | 32,609,414 | 32,316,745 | |||
Compuware Corp. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 4.00%, 5.80%, 8/22/2025 | 3,503,433 | 3,531,162 | |||
Cypress Intermediate Holdings III, Inc. Senior Secured 2017 1st Lien Term Loan, 1 Month USD LIBOR + 2.75%, 4.55%, 4/29/2024 | 3,471,574 | 3,487,300 | |||
DCert Buyer, Inc. Senior Secured 2019 Term Loan B, 1 Month USD LIBOR + 4.00%, 5.80%, 10/16/2026 | 9,032,927 | 9,078,092 | |||
Dun & Bradstreet Corp. Senior Secured Term Loan, 1 Month USD LIBOR + 5.00%, 6.79%, 2/6/2026 | 30,821,083 | 31,129,294 | |||
Dynatrace LLC Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 2.75%, 4.55%, 8/22/2025 | 1,624,368 | 1,638,070 |
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Security Description | Principal Amount | Value | |||
ECI Macola Max Holdings LLC Senior Secured 1st Lien Term Loan, 3 Month USD LIBOR + 4.25%, 6.19%, 9/27/2024 | $1,478,977 | $1,481,750 | |||
Flexera Software LLC Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 3.50%, 5.30%, 2/26/2025 | 1,483,665 | 1,490,156 | |||
GlobalLogic Holdings, Inc. Senior Secured 2018 Add On 1st Lien Term Loan, 1 Month USD LIBOR + 3.25%, 5.05%, 8/1/2025 | 4,324,336 | 4,356,769 | |||
Help/Systems Holdings, Inc. Senior Secured 2019 Term Loan B, 1 Month USD LIBOR + 4.75%, 6.55%, 11/19/2026 | 6,914,894 | 6,886,093 | |||
Hyland Software, Inc.: | |||||
Senior Secured 2017 2nd Lien Term Loan, 1 Month USD LIBOR + 7.00%, 8.80%, 7/7/2025 | 5,753,801 | 5,843,704 | |||
Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 3.50%, 5.30%, 7/1/2024 | 3,191,307 | 3,213,997 | |||
Imperva, Inc. Senior Secured 2nd Lien Term Loan, 3 Month USD LIBOR + 7.75%, 9.74%, 1/10/2027 | 2,312,694 | 2,032,279 | |||
Infor (US), Inc. Senior Secured Term Loan B6, 3 Month USD LIBOR + 2.75%, 4.69%, 2/1/2022 | 16,478,180 | 16,575,318 | |||
Informatica Corp. Senior Secured 2018 USD Term Loan, 1 Month USD LIBOR + 3.25%, 5.05%, 8/5/2022 | 2,452,376 | 2,465,950 | |||
Kronos, Inc. Senior Secured 2017 Term Loan B, 3 Month USD LIBOR + 3.00%, 4.91%, 11/1/2023 | 21,885,573 | 22,025,860 | |||
McAfee LLC Senior Secured 2018 USD Term Loan B, 1 Month USD LIBOR + 3.75%, 5.55%, 9/30/2024 | 21,102,473 | 21,221,174 | |||
Mitchell International, Inc. Senior Secured 2017 2nd Lien Term Loan, 12/1/2025 (b) | 11,709,210 | 11,270,115 |
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Security Description | Principal Amount | Value | |||
NAVEX TopCo, Inc. Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 3.25%, 5.05%, 9/5/2025 | $3,459,438 | $3,463,763 | |||
Project Alpha Intermediate Holding, Inc. Senior Secured 2017 Term Loan B, 3 Month USD LIBOR + 3.50%, 5.49%, 4/26/2024 | 7,279,628 | 7,306,964 | |||
Project Boost Purchaser LLC Senior Secured 2019 Term Loan B, 1 Month USD LIBOR + 3.50%, 5.30%, 6/1/2026 | 10,513,595 | 10,577,675 | |||
Project Leopard Holdings, Inc. Senior Secured 2018 Term Loan, 7/7/2023 (b) | 1,994,911 | 2,012,376 | |||
Project Ruby Ultimate Parent Corp. Senior Secured 2017 Term Loan B, 1 Month USD LIBOR + 3.50%, 5.30%, 2/9/2024 | 2,325,095 | 2,311,528 | |||
Quest Software US Holdings, Inc.: | |||||
Senior Secured 2018 1st Lien Term Loan, 3 Month USD LIBOR + 4.25%, 6.18%, 5/16/2025 | 2,551,631 | 2,535,696 | |||
Senior Secured 2018 2nd Lien Term Loan, 3 Month USD LIBOR + 8.25%, 10.18%, 5/18/2026 | 8,886,053 | 8,721,661 | |||
Rocket Software, Inc. Senior Secured 2018 2nd Lien Term Loan, 1 Month USD LIBOR + 8.25%, 10.05%, 11/27/2026 | 14,000,000 | 11,690,000 | |||
Sophia L.P. Senior Secured 2017 Term Loan B, 3 Month USD LIBOR + 3.25%, 5.19%, 9/30/2022 | 378,238 | 379,590 | |||
Vero Parent, Inc. Senior Secured 2018 Term Loan B, 3 Month USD LIBOR + 6.25%, 8.16%, 8/16/2024 | 3,240,669 | 3,119,144 | |||
270,741,077 | |||||
SPECIALTY RETAIL — 4.8% | |||||
Bass Pro Group LLC Senior Secured Term Loan B, 1 Month USD LIBOR + 5.00%, 6.80%, 9/25/2024 | 41,747,496 | 41,704,079 |
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Security Description | Principal Amount | Value | |||
Petco Animal Supplies, Inc. Senior Secured 2017 Term Loan B, 3 Month USD LIBOR + 3.25%, 5.18%, 1/26/2023 | $28,589,503 | $24,426,157 | |||
PetSmart, Inc.: | |||||
Senior Secured Consenting Term Loan, 1 Month USD LIBOR + 4.00%, 5.74%, 3/11/2022 | 49,371,302 | 48,941,771 | |||
Senior Secured Non-Consenting Term Loan B, 3/11/2022 (b) | 4,948,187 | 4,824,482 | |||
Priso Acquisition Corp. Senior Secured 2017 Term Loan B, 2 Month USD LIBOR + 3.00%, 4.86%, 5/8/2022 | 3,795,943 | 3,722,397 | |||
123,618,886 | |||||
TELECOM SERVICES — 2.9% | |||||
Avaya, Inc. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 4.25%, 5.99%, 12/15/2024 | 37,424,105 | 36,834,675 | |||
SBA Senior Finance II LLC Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 1.75%, 3.55%, 4/11/2025 | 354,152 | 355,905 | |||
Sprint Communications, Inc. Senior Secured 1st Lien Term Loan B, 1 Month USD LIBOR + 2.50%, 4.31%, 2/2/2024 | 36,615,342 | 36,359,034 | |||
73,549,614 | |||||
TELECOMMUNICATION EQUIP — 0.3% | |||||
MLN US HoldCo LLC Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 4.50%, 6.19%, 11/30/2025 | 9,081,785 | 8,620,112 | |||
THRIFTS & MORTGAGE FINANCE — 0.3% | |||||
Capri Finance LLC Senior Secured USD 2017 1st Lien Term Loan, 3 Month USD LIBOR + 3.00%, 4.93%, 11/1/2024 | 7,128,550 | 7,074,194 | |||
TRADING COMPANIES & DISTRIBUTORS — 0.0% (c) | |||||
Univar, Inc. Senior Secured 2019 USD Term Loan B5, 1 Month USD LIBOR + 2.00%, 3.80%, 7/1/2026 | 386,735 | 388,910 |
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Security Description | Principal Amount | Value | |||
TRANSPORT-AIR FREIGHT — 0.2% | |||||
WestJet Airlines, Ltd. Senior Secured Term Loan B, 1 Month USD LIBOR + 3.00%, 4.72%, 12/11/2026 | $6,043,478 | $6,105,545 | |||
TOTAL SENIOR FLOATING RATE LOANS (Cost $2,368,124,984) | 2,381,303,554 | ||||
CORPORATE BONDS & NOTES — 5.2% | |||||
AEROSPACE & DEFENSE — 0.0% (c) | |||||
TransDigm, Inc. 6.25%, 3/15/2026 (d) | 500,000 | 542,140 | |||
COMMERCIAL SERVICES — 0.4% | |||||
Avis Budget Car Rental LLC/Avis Budget Finance, Inc. 5.75%, 7/15/2027 (d) | 3,000,000 | 3,135,030 | |||
MPH Acquisition Holdings LLC 7.13%, 6/1/2024 (d) | 7,000,000 | 6,803,440 | |||
9,938,470 | |||||
ENVIRONMENTAL CONTROL — 0.2% | |||||
GFL Environmental, Inc. 5.13%, 12/15/2026 (d) | 3,989,000 | 4,205,403 | |||
FOOD — 0.5% | |||||
Albertsons Cos., Inc./Safeway, Inc./New Albertsons L.P./Albertsons LLC: | |||||
5.75%, 3/15/2025 | 2,024,000 | 2,099,758 | |||
5.88%, 2/15/2028 (d) | 8,738,000 | 9,294,611 | |||
11,394,369 | |||||
HAND & MACHINE TOOLS — 0.1% | |||||
Apex Tool Group LLC/BC Mountain Finance, Inc. 9.00%, 2/15/2023 (d) | 2,550,000 | 2,285,693 | |||
HEALTH CARE SERVICES — 0.0% (c) | |||||
Tenet Healthcare Corp. 6.25%, 2/1/2027 (d) | 1,000,000 | 1,079,150 | |||
INSURANCE — 0.1% | |||||
HUB International, Ltd. 7.00%, 5/1/2026 (d) | 964,000 | 1,022,717 | |||
USI, Inc. 6.88%, 5/1/2025 (d) | 1,000,000 | 1,019,970 | |||
2,042,687 |
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Security Description | Principal Amount | Value | |||
MEDIA — 2.2% | |||||
CSC Holdings LLC: | |||||
5.75%, 1/15/2030 (d) | $7,856,000 | $8,383,531 | |||
7.50%, 4/1/2028 (d) | 887,000 | 1,000,793 | |||
iHeartCommunications, Inc.: | |||||
5.25%, 8/15/2027 (d) | 10,417,000 | 10,914,724 | |||
6.38%, 5/1/2026 | 9,997,980 | 10,872,803 | |||
LCPR Senior Secured Financing DAC 6.75%, 10/15/2027 (d) | 5,357,000 | 5,706,437 | |||
Sinclair Television Group, Inc. 5.63%, 8/1/2024 (d) | 6,000,000 | 6,181,020 | |||
Univision Communications, Inc. 5.13%, 5/15/2023 (d) | 14,000,000 | 13,990,900 | |||
57,050,208 | |||||
PHARMACEUTICALS — 0.2% | |||||
Par Pharmaceutical, Inc. 7.50%, 4/1/2027 (d) | 5,000,000 | 4,994,700 | |||
RETAIL — 0.4% | |||||
eG Global Finance PLC 6.75%, 2/7/2025 (d) | 7,042,000 | 7,176,221 | |||
PetSmart, Inc. 5.88%, 6/1/2025 (d) | 3,000,000 | 3,063,600 | |||
10,239,821 | |||||
SOFTWARE — 0.2% | |||||
Change Healthcare Holdings LLC/Change Healthcare Finance, Inc. 5.75%, 3/1/2025 (d) | 5,000,000 | 5,164,200 | |||
TELECOMMUNICATIONS — 0.9% | |||||
Altice France SA 5.50%, 1/15/2028 (d) | 17,000,000 | 17,524,280 | |||
Sprint Capital Corp. 6.88%, 11/15/2028 | 5,000,000 | 5,406,105 | |||
22,930,385 | |||||
TOTAL CORPORATE BONDS & NOTES (Cost $128,079,940) | 131,867,226 |
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Security Description | Shares | Value | |||
SHORT-TERM INVESTMENT — 14.1% | |||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 1.57% (e) (f) (Cost $362,369,533) | 362,369,533 | $362,369,533 | |||
TOTAL INVESTMENTS — 112.1% (Cost $2,858,574,457) | 2,875,540,313 | ||||
LIABILITIES IN EXCESS OF OTHER ASSETS — (12.1)% | (310,275,216) | ||||
NET ASSETS — 100.0% | $2,565,265,097 |
(a) | The rate shown represents the rate at December 31, 2019. |
(b) | Position is unsettled. Contract rate was not determined at December 31, 2019 and does not take effect until settlement date. Maturity date is not finalized until settlement date. |
(c) | Amount is less than 0.05% of net assets. |
(d) | Securities purchased pursuant to Rule 144A of the Securities Act of 1933, as amended. These securities, which represent 4.4% of net assets as of December 31, 2019, are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
(e) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2019 are shown in the Affiliate Table below. |
(f) | The rate shown is the annualized seven-day yield at December 31, 2019. |
LIBOR | = London Interbank Offered Rate |
LP | = Limited Partnership |
Borrower | Unfunded Loan Commitment ($) | Value ($) | Unrealized Appreciation/(Depreciation) ($) | |||
Heartland Dental LLC | 150,056 | 149,743 | (313) |
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Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Corporate Bonds & Notes | $— | $131,867,226 | $— | $131,867,226 | ||||
Senior Floating Rate Loans | — | 2,381,303,554 | — | 2,381,303,554 | ||||
Short-Term Investment | 362,369,533 | — | — | 362,369,533 | ||||
TOTAL INVESTMENTS | $362,369,533 | $2,513,170,780 | $— | $2,875,540,313 | ||||
LIABILITIES: | ||||||||
OTHER FINANCIAL INSTRUMENTS: | ||||||||
Unfunded Loans | — | (313) | — | (313) | ||||
TOTAL OTHER FINANCIAL INSTRUMENTS: | $— | $(313) | $— | $(313) |
Number of Shares Held at 6/30/19* | Value at 6/30/19* | Cost of Purchases** | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 12/31/19 | Value at 12/31/19 | Dividend Income | |||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | — | $— | $1,090,338,862 | $727,969,329 | $— | $— | 362,369,533 | $362,369,533 | $1,439,542 |
* | Refer to Note 1 on the Notes to Financial Statements regarding the discontinuance of the master-feeder structure. |
** | Includes transfers from Portfolio - See Note 1 in the Notes to Financial Statements. |
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SPDR Blackstone / GSO Senior Loan ETF | |
ASSETS | |
Investments in unaffiliated issuers, at value | $2,513,170,780 |
Investments in affiliated issuers, at value | 362,369,533 |
Total Investments | 2,875,540,313 |
Cash | 8,466,140 |
Receivable for investments sold | 484,013,495 |
Dividends receivable — affiliated issuers | 398,571 |
Interest receivable — unaffiliated issuers | 10,479,813 |
Other Receivable | 1,786,165 |
TOTAL ASSETS | 3,380,684,497 |
LIABILITIES | |
Payable for investments purchased | 813,960,358 |
Unrealized depreciation on unfunded loan commitments | 313 |
Advisory fee payable | 1,444,985 |
Trustees’ fees and expenses payable | 13,744 |
TOTAL LIABILITIES | 815,419,400 |
NET ASSETS | $2,565,265,097 |
NET ASSETS CONSIST OF: | |
Paid-in Capital | $2,691,512,700 |
Total distributable earnings (loss) | (126,247,603) |
NET ASSETS | $2,565,265,097 |
NET ASSET VALUE PER SHARE | |
Net asset value per share | $46.51 |
Shares outstanding (unlimited amount authorized, no par value) | 55,150,000 |
COST OF INVESTMENTS: | |
Investments in unaffiliated issuers | $2,496,204,924 |
Investments in affiliated issuers | 362,369,533 |
Total cost of investments | $2,858,574,457 |
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SPDR Blackstone / GSO Senior Loan ETF | |
INVESTMENT INCOME | |
Interest income allocated from the Portfolio | $25,412,265 |
Dividend income allocated from the Portfolio | $519,427 |
Interest income — unaffiliated issuers | 37,197,512 |
Dividend income — unaffiliated issuers | (519,427) |
Dividend income — affiliated issuers | 1,439,542 |
Expenses allocated from affiliated Portfolio | (2,839,965) |
TOTAL INVESTMENT INCOME | 61,209,354 |
EXPENSES | |
Advisory fee | 4,879,125 |
Trustees’ fees and expenses | 19,557 |
Miscellaneous expenses | 1,071 |
TOTAL EXPENSES | 4,899,753 |
NET INVESTMENT INCOME (LOSS) | $56,309,601 |
REALIZED AND UNREALIZED GAIN (LOSS) | |
Net realized gain (loss) on: | |
Investments allocated from the Portfolio | (1,496,289) |
Investments — unaffiliated issuers | (9,303,727) |
Net realized gain (loss) | (10,800,016) |
Net change in unrealized appreciation/depreciation on: | |
Investments — unaffiliated issuers | 16,965,856 |
Unfunded loan commitments | (313) |
Investments allocated from the Portfolio | 15,428,267 |
Net change in unrealized appreciation/depreciation | 32,393,810 |
NET REALIZED AND UNREALIZED GAIN (LOSS) | 21,593,794 |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $77,903,395 |
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SPDR Blackstone / GSO Senior Loan ETF | |||
Six Months Ended 12/31/19 (Unaudited) | Year Ended 6/30/19 | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $56,309,601 | $146,684,741 | |
Net realized gain (loss) | (10,800,016) | (68,985,052) | |
Net change in unrealized appreciation/depreciation | 32,393,810 | (7,710,527) | |
Net increase (decrease) in net assets resulting from operations | 77,903,395 | 69,989,162 | |
Net equalization credits and charges | 733,856 | (1,756,152) | |
Distributions to shareholders | (67,653,500) | (147,138,500) | |
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||
Proceeds from sale of shares sold | 809,492,395 | 780,016,464 | |
Cost of shares redeemed | (479,922,864) | (1,675,706,058) | |
Net income equalization | (733,856) | 1,756,152 | |
Other Capital | 3,045,561 | 5,615,427 | |
Net increase (decrease) in net assets from beneficial interest transactions | 331,881,236 | (888,318,015) | |
Net increase (decrease) in net assets during the period | 342,864,987 | (967,223,505) | |
Net assets at beginning of period | 2,222,400,110 | 3,189,623,615 | |
NET ASSETS AT END OF PERIOD | $2,565,265,097 | $2,222,400,110 | |
SHARES OF BENEFICIAL INTEREST: | |||
Shares sold | 17,550,000 | 16,750,000 | |
Shares redeemed | (10,450,000) | (36,500,000) | |
Net increase (decrease) | 7,100,000 | (19,750,000) |
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SPDR Blackstone / GSO Senior Loan ETF | |||||||||||
Six Months Ended 12/31/19(a) (Unaudited) | 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 | $46.25 | $47.04 | $47.41 | $46.64 | $49.22 | $50.02 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (b) | 1.18 | 2.48 | 2.04 | 1.85 | 1.95 | 2.01 | |||||
Net realized and unrealized gain (loss) (c) | 0.41 | (0.86) | (0.50) | 0.73 | (2.58) | (0.88) | |||||
Total from investment operations | 1.59 | 1.62 | 1.54 | 2.58 | (0.63) | 1.13 | |||||
Net equalization credits and charges (b) | 0.02 | (0.03) | 0.04 | 0.05 | 0.02 | 0.01 | |||||
Other capital (b) | 0.06 | 0.09 | 0.02 | 0.02 | 0.02 | 0.02 | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (1.41) | (2.47) | (1.97) | (1.88) | (1.99) | (1.96) | |||||
Net asset value, end of period | $46.51 | $46.25 | $47.04 | $47.41 | $46.64 | $49.22 | |||||
Total return (d) | 3.69% | 3.68% | 3.43% | 5.77% | (1.15)% | 2.38% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $2,565,265 | $2,222,400 | $3,189,624 | $1,820,505 | $802,228 | $671,810 | |||||
Ratios to average net assets: | |||||||||||
Total expenses | 0.70%(e) | 0.70% | 0.70% | 0.70% | 0.71% | 0.71% | |||||
Net investment income (loss) | 5.11%(e) | 5.33% | 4.30% | 3.91% | 4.15% | 4.09% | |||||
Portfolio turnover rate (f) | 85%(g) | 124% | 90% | 68% | 88% | 65% |
(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 period. |
(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) | Annualized. |
(f) | Portfolio turnover rate is from the affiliated Portfolio prior to the discontinuance of the master feeder structure. See Note 1. |
(g) | Not annualized. |
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Annual Rate | |
SPDR Blackstone / GSO Senior Loan ETF | 0.70% |
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Purchases | Sales | ||
SPDR Blackstone / GSO Senior Loan ETF | $2,180,215,955 | $1,841,999,595 |
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Tax Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | ||||
SPDR Blackstone / GSO Senior Loan ETF | $2,858,574,457 | $30,229,716 | $13,263,860 | $16,965,856 |
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SPDR Blackstone / GSO Senior Loan ETF | |
Annualized Expense Ratio | 0.70% |
Actual: | |
Ending Account Value | $1,036.90 |
Expenses Paid During Period(a) (b) | 3.58 |
Hypothetical (assuming a 5% return before expenses): | |
Ending Account Value | 1,021.60 |
Expenses Paid During Period(a) (b) | 3.56 |
(a) | Reflects the expenses of both the Fund and the Portfolio for the period while the Fund was making investments directly in the Portfolio. |
(b) | Expenses are equal to the Fund's annualized net expense ratio multiplied by the average account value of the period, multiplied by 184, then divided by 366. |
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• | the program supported each Fund’s ability to honor redemption requests timely; |
• | the program supported SSGA FM’s management of each Fund’s liquidity profile, including during periods of market volatility and net redemptions; |
• | no material liquidity issues were identified during the period; |
• | there were no material changes to the program during the period; |
• | the implementation of the program was effective to manage each Fund’s liquidity risk; and |
• | the program operated adequately during the period. |
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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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State Street Defensive Global Equity Portfolio |
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Description | Market Value | % of Net Assets | ||
Toyota Motor Corp. | 35,491 | 1.5% | ||
Roche Holding AG | 35,345 | 1.5 | ||
Zurich Insurance Group AG | 34,857 | 1.5 | ||
Sysco Corp. | 33,959 | 1.4 | ||
Novo Nordisk A/S Class B | 33,455 | 1.4 | ||
TOTAL | 173,107 | 7.3% |
% of Net Assets | |||
Insurance | 12.9% | ||
Pharmaceuticals | 12.9 | ||
Diversified Telecommunication Services | 9.2 | ||
Banks | 6.0 | ||
Health Care Providers & Services | 4.4 | ||
Food & Staples Retailing | 4.0 | ||
Specialty Retail | 4.0 | ||
Food Products | 3.8 | ||
Electric Utilities | 3.6 | ||
Hotels, Restaurants & Leisure | 3.3 | ||
IT Services | 2.8 | ||
Multiline Retail | 2.6 | ||
Health Care Equipment & Supplies | 2.5 | ||
Multi-Utilities | 2.5 | ||
Household Products | 2.5 | ||
Automobiles | 2.2 | ||
Beverages | 2.0 | ||
Tobacco | 2.0 | ||
Equity Real Estate Investment Trusts (REITs) | 1.7 | ||
Commercial Services & Supplies | 1.7 | ||
Metals & Mining | 1.4 | ||
Technology Hardware, Storage & Peripherals | 1.4 | ||
Airlines | 1.4 | ||
Aerospace & Defense | 1.3 | ||
Trading Companies & Distributors | 1.2 | ||
Biotechnology | 1.1 | ||
Household Durables | 1.1 | ||
Communications Equipment | 1.0 | ||
Oil, Gas & Consumable Fuels | 1.0 | ||
Wireless Telecommunication Services | 0.9 | ||
Construction & Engineering | 0.6 | ||
Gas Utilities | 0.3 | ||
Other Assets in Excess of Liabilities | 0.7 | ||
TOTAL | 100.0% |
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Security Description | Shares | Value | |||
COMMON STOCKS — 99.3% | |||||
AUSTRALIA — 5.3% | |||||
BHP Group, Ltd. | 634 | $17,345 | |||
Mirvac Group REIT | 3,259 | 7,285 | |||
Qantas Airways, Ltd. | 2,566 | 12,825 | |||
Scentre Group REIT | 6,862 | 18,474 | |||
Sonic Healthcare, Ltd. | 1,085 | 21,928 | |||
Telstra Corp., Ltd. | 5,705 | 14,197 | |||
Wesfarmers, Ltd. | 1,006 | 29,277 | |||
Woodside Petroleum, Ltd. | 216 | 5,220 | |||
126,551 | |||||
BELGIUM — 0.9% | |||||
Ageas | 359 | 21,229 | |||
BERMUDA — 0.7% | |||||
Everest Re Group, Ltd. | 58 | 16,057 | |||
CANADA — 4.1% | |||||
BCE, Inc. | 485 | 22,501 | |||
Kirkland Lake Gold, Ltd. | 169 | 7,460 | |||
Loblaw Cos., Ltd. | 85 | 4,392 | |||
Royal Bank of Canada | 141 | 11,172 | |||
Sun Life Financial, Inc. | 341 | 15,570 | |||
TELUS Corp. | 610 | 23,652 | |||
Toronto-Dominion Bank | 227 | 12,749 | |||
97,496 | |||||
DENMARK — 1.4% | |||||
Novo Nordisk A/S Class B | 576 | 33,455 | |||
FRANCE — 1.6% | |||||
Peugeot SA | 764 | 18,267 | |||
Sanofi | 209 | 21,025 | |||
39,292 | |||||
GERMANY — 4.6% | |||||
Allianz SE | 129 | 31,625 | |||
Deutsche Telekom AG | 1,832 | 29,962 | |||
Merck KGaA | 130 | 15,373 | |||
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen | 109 | 32,179 | |||
109,139 | |||||
HONG KONG — 1.1% | |||||
CLP Holdings, Ltd. | 1,500 | 15,767 | |||
HKT Trust & HKT, Ltd. | 7,000 | 9,864 | |||
25,631 | |||||
ITALY — 1.1% | |||||
Eni SpA | 1,296 | 20,142 | |||
Snam SpA | 1,138 | 5,986 | |||
26,128 | |||||
JAPAN — 13.3% | |||||
Astellas Pharma, Inc. | 1,800 | 30,973 | |||
FUJIFILM Holdings Corp. | 600 | 28,875 | |||
Fujitsu, Ltd. | 200 | 18,900 | |||
ITOCHU Corp. | 900 | 20,990 |
Security Description | Shares | Value | |||
Japan Airlines Co., Ltd. | 600 | $18,755 | |||
Japan Post Holdings Co., Ltd. | 2,400 | 22,658 | |||
Mitsubishi UFJ Financial Group, Inc. | 3,300 | 18,013 | |||
Mitsui & Co., Ltd. | 400 | 7,163 | |||
Mizuho Financial Group, Inc. | 7,800 | 12,080 | |||
Nippon Telegraph & Telephone Corp. | 1,200 | 30,443 | |||
NTT DOCOMO, Inc. | 800 | 22,364 | |||
Sony Corp. | 400 | 27,241 | |||
Sumitomo Mitsui Trust Holdings, Inc. | 300 | 11,972 | |||
Tokio Marine Holdings, Inc. | 200 | 11,261 | |||
Toyota Motor Corp. | 500 | 35,491 | |||
317,179 | |||||
NETHERLANDS — 1.2% | |||||
Koninklijke Ahold Delhaize NV | 1,185 | 29,656 | |||
NEW ZEALAND — 0.7% | |||||
Spark New Zealand, Ltd. | 6,222 | 18,176 | |||
NORWAY — 0.5% | |||||
DNB ASA | 634 | 11,832 | |||
SINGAPORE — 0.4% | |||||
DBS Group Holdings, Ltd. | 500 | 9,623 | |||
SPAIN — 0.6% | |||||
ACS Actividades de Construccion y Servicios SA | 338 | 13,526 | |||
SWEDEN — 1.2% | |||||
Swedish Match AB | 436 | 22,487 | |||
Telia Co. AB | 1,271 | 5,465 | |||
27,952 | |||||
SWITZERLAND — 8.5% | |||||
Nestle SA | 264 | 28,566 | |||
Novartis AG | 342 | 32,457 | |||
Roche Holding AG | 109 | 35,345 | |||
Swiss Life Holding AG | 34 | 17,057 | |||
Swiss Re AG | 286 | 32,104 | |||
Swisscom AG | 46 | 24,350 | |||
Zurich Insurance Group AG | 85 | 34,857 | |||
204,736 | |||||
UNITED KINGDOM — 0.5% | |||||
Direct Line Insurance Group PLC | 3,228 | 13,363 | |||
UNITED STATES — 51.6% | |||||
Aflac, Inc. | 539 | 28,513 | |||
Allstate Corp. | 274 | 30,811 | |||
Ameren Corp. | 144 | 11,059 | |||
American Electric Power Co., Inc. | 136 | 12,853 | |||
Amgen, Inc. | 104 | 25,071 | |||
Anthem, Inc. | 68 | 20,538 | |||
AT&T, Inc. | 319 | 12,467 | |||
AutoZone, Inc. (a) | 28 | 33,357 | |||
Baxter International, Inc. | 335 | 28,013 | |||
Bristol-Myers Squibb Co. | 256 | 16,433 | |||
Coca-Cola Co. | 386 | 21,365 | |||
DTE Energy Co. | 227 | 29,481 | |||
Eli Lilly & Co. | 227 | 29,835 |
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Security Description | Shares | Value | |||
Entergy Corp. | 183 | $21,923 | |||
Eversource Energy | 244 | 20,757 | |||
Exelon Corp. | 217 | 9,893 | |||
HCA Healthcare, Inc. | 209 | 30,892 | |||
Hershey Co. | 149 | 21,900 | |||
Home Depot, Inc. | 129 | 28,171 | |||
HP, Inc. | 232 | 4,768 | |||
International Business Machines Corp. | 201 | 26,942 | |||
Johnson & Johnson | 208 | 30,341 | |||
JPMorgan Chase & Co. | 194 | 27,044 | |||
Kellogg Co. | 368 | 25,451 | |||
Kimberly-Clark Corp. | 207 | 28,473 | |||
Lockheed Martin Corp. | 80 | 31,150 | |||
McDonald's Corp. | 142 | 28,061 | |||
Medtronic PLC | 276 | 31,312 | |||
Merck & Co., Inc. | 350 | 31,833 | |||
Mondelez International, Inc. Class A | 261 | 14,376 | |||
Motorola Solutions, Inc. | 149 | 24,010 | |||
Newmont Goldcorp Corp. | 244 | 10,602 | |||
PepsiCo, Inc. | 199 | 27,197 | |||
Pfizer, Inc. | 785 | 30,756 | |||
Philip Morris International, Inc. | 277 | 23,570 | |||
Pinnacle West Capital Corp. | 56 | 5,036 | |||
Procter & Gamble Co. | 258 | 32,224 | |||
Public Service Enterprise Group, Inc. | 322 | 19,014 | |||
Republic Services, Inc. | 107 | 9,590 | |||
Simon Property Group, Inc. REIT | 70 | 10,427 |
Security Description | Shares | Value | ||||
Starbucks Corp. | 302 | $26,552 | ||||
Sysco Corp. | 397 | 33,959 | ||||
Target Corp. | 256 | 32,822 | ||||
TJX Cos., Inc. | 532 | 32,484 | ||||
UGI Corp. | 21 | 948 | ||||
UnitedHealth Group, Inc. | 105 | 30,868 | ||||
US Bancorp | 486 | 28,815 | ||||
VEREIT, Inc. | 608 | 5,618 | ||||
Verizon Communications, Inc. | 491 | 30,147 | ||||
Walmart, Inc. | 233 | 27,690 | ||||
Waste Management, Inc. | 277 | 31,567 | ||||
Western Union Co. | 824 | 22,067 | ||||
Yum! Brands, Inc. | 240 | 24,175 | ||||
1,233,221 | ||||||
TOTAL COMMON STOCKS (Cost $2,042,799) | 2,374,242 | |||||
TOTAL INVESTMENTS — 99.3% (Cost $2,042,799) | 2,374,242 | |||||
OTHER ASSETS IN EXCESS OF LIABILITIES — 0.7% | 16,043 | |||||
NET ASSETS — 100.0% | $2,390,285 |
(a) | Non-income producing security. |
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 | $2,374,242 | $— | $— | $2,374,242 | ||||
TOTAL INVESTMENTS | $2,374,242 | $— | $— | $2,374,242 |
Number of Shares Held at 6/30/19 | Value at 6/30/19 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 12/31/19 | Value at 12/31/19 | Dividend Income | |||||||||
State Street Institutional Liquid Reserves Fund, Premier Class | — | $— | $236,445 | $236,445 | $— | $— | — | $— | $219 | ||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 10,308 | 10,308 | 25,494 | 35,802 | — | — | — | — | 20 | ||||||||
Total | $10,308 | $261,939 | $272,247 | $— | $— | $— | $239 |
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ASSETS | |
Investments in unaffiliated issuers, at value | $2,374,242 |
Foreign currency, at value | 15,094 |
Receivable for investments sold | 5,355 |
Dividends receivable — unaffiliated issuers | 3,119 |
Dividends receivable — affiliated issuers | 66 |
Receivable from Adviser | 529 |
Receivable for foreign taxes recoverable | 3,549 |
TOTAL ASSETS | 2,401,954 |
LIABILITIES | |
Due to custodian | 6,638 |
Payable for fund shares repurchased | 4,503 |
Advisory fee payable | 524 |
Trustees’ fees and expenses payable | 4 |
TOTAL LIABILITIES | 11,669 |
NET ASSETS | $2,390,285 |
NET ASSETS CONSIST OF: | |
Paid-in Capital | $2,041,460 |
Total distributable earnings (loss) | 348,825 |
NET ASSETS | $2,390,285 |
NET ASSET VALUE PER SHARE | |
Net asset value per share | $10.84 |
Shares outstanding (unlimited amount authorized, no par value) | 220,582 |
COST OF INVESTMENTS: | |
Investments in unaffiliated issuers | $2,042,799 |
Foreign currency, at cost | $14,875 |
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INVESTMENT INCOME | |
Dividend income — unaffiliated issuers | $28,508 |
Dividend income — affiliated issuers | 239 |
Foreign taxes withheld | (1,342) |
TOTAL INVESTMENT INCOME (LOSS) | 27,405 |
EXPENSES | |
Advisory fee | 2,979 |
Trustees’ fees and expenses | 15 |
Miscellaneous expenses | 3 |
TOTAL EXPENSES | 2,997 |
Expenses waived/reimbursed by the Adviser | (2,997) |
NET EXPENSES | — |
NET INVESTMENT INCOME (LOSS) | $27,405 |
REALIZED AND UNREALIZED GAIN (LOSS) | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 46,369 |
Foreign currency transactions | (85) |
Net realized gain (loss) | 46,284 |
Net change in unrealized appreciation/depreciation on: | |
Investments — unaffiliated issuers | 78,622 |
Foreign currency translations | 247 |
Net change in unrealized appreciation/depreciation | 78,869 |
NET REALIZED AND UNREALIZED GAIN (LOSS) | 125,153 |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $152,558 |
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Six Months Ended 12/31/19 (Unaudited) | Year Ended 6/30/19 | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $27,405 | $101,470 | |
Net realized gain (loss) | 46,284 | 83,542 | |
Net change in unrealized appreciation/depreciation | 78,869 | (204,703) | |
Net increase (decrease) in net assets resulting from operations | 152,558 | (19,691) | |
Distributions to shareholders | (188,440) | (351,241) | |
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||
Proceeds from sale of shares sold | 119,353 | 631,379 | |
Reinvestment of distributions | 188,440 | 351,241 | |
Cost of shares redeemed | (171,500) | (3,326,507) | |
Net increase (decrease) in net assets from beneficial interest transactions | 136,293 | (2,343,887) | |
Net increase (decrease) in net assets during the period | 100,411 | (2,714,819) | |
Net assets at beginning of period | 2,289,874 | 5,004,693 | |
NET ASSETS AT END OF PERIOD | $2,390,285 | $2,289,874 | |
SHARES OF BENEFICIAL INTEREST: | |||
Shares sold | 10,616 | 51,951 | |
Reinvestment of distributions | 17,400 | 36,856 | |
Shares redeemed | (15,679) | (288,025) | |
Net increase (decrease) from share transactions | 12,337 | (199,218) |
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State Street Defensive Global Equity Portfolio | |||||||||
Six Months Ended 12/31/19 (Unaudited) | 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 | $11.00 | $12.28 | $12.03 | $10.89 | $10.00 | ||||
Net investment income (loss) (a) | 0.13 | 0.33 | 0.42 | 0.31 | 0.15 | ||||
Net realized and unrealized gain (loss) | 0.59 | 0.39 | 0.36 | 1.21 | 0.74 | ||||
Total from investment operations | 0.72 | 0.72 | 0.78 | 1.52 | 0.89 | ||||
Distributions to shareholders from: | |||||||||
Net investment income | (0.39) | (0.74) | (0.38) | (0.28) | — | ||||
Net realized gains | (0.49) | (1.26) | (0.15) | (0.10) | — | ||||
Total distributions | (0.88) | (2.00) | (0.53) | (0.38) | — | ||||
Net asset value, end of period | $10.84 | $11.00 | $12.28 | $12.03 | $10.89 | ||||
Total return (b) | 6.52%(c) | 8.38% | 6.48% | 14.43% | 8.90%(c) | ||||
Ratios and Supplemental Data: | |||||||||
Net assets, end of period (in 000s) | $2,390 | $2,290 | $5,005 | $4,631 | $3,270 | ||||
Ratios to average net assets: | |||||||||
Total expenses | 0.25%(d) | 0.27% | 0.30% | 0.33% | 0.27%(d) | ||||
Net expenses | —%(d) | —% | —% | —% | —%(d) | ||||
Net investment income (loss) | 2.30%(d) | 2.73% | 3.37% | 2.75% | 4.00%(d) | ||||
Portfolio turnover rate | 22%(c) | 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 period. |
(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. |
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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 | $514,801 | $535,730 |
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | ||||
State Street Defensive Global Equity Portfolio | $2,043,747 | $360,315 | $29,820 | $330,495 |
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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% | $1,065.20 | $0.00 | $1,025.10 | $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 184, then divided by 366. |
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• | the program supported the Portfolio’s ability to honor redemption requests timely; |
• | the program supported SSGA FM’s management of the Portfolio’s liquidity profile, including during periods of market volatility and net redemptions; |
• | no material liquidity issues were identified during the period; |
• | there were no material changes to the program during the period; |
• | the implementation of the program was effective to manage the Portfolio’s liquidity risk; and |
• | the program operated adequately during the period. |
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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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Item 2. Code of Ethics.
Not applicable to the registrant; this FormN-CSR is a Semi-Annual Report.
Item 3. Audit Committee Financial Expert.
Not applicable to the registrant; this FormN-CSR is a Semi-Annual Report.
Item 4. Principal Accountant Fees and Services.
Not applicable to the registrant; this FormN-CSR is a Semi-Annual Report.
Item 5. Audit Committees of Listed Registrants.
Not applicable to the registrant; this FormN-CSR is a Semi-Annual Report.
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.
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Security Description | Principal Amount | Value | |||
CORPORATE BONDS & NOTES — 16.7% | |||||
ARGENTINA — 0.2% | |||||
Banco Macro SA: | |||||
USD 5 Year Swap Rate + 5.46%, 6.75%, 11/4/2026 (a) (b) | $450,000 | $340,947 | |||
Series REGS, USD 5 Year Swap Rate + 5.46%, 6.75%, 11/4/2026 (b) | 2,500,000 | 1,894,150 | |||
Pampa Energia SA: | |||||
Series REGS, 7.50%, 1/24/2027 | 3,050,000 | 2,592,500 | |||
Series REGS, 9.13%, 4/15/2029 | 150,000 | 128,463 | |||
YPF SA: | |||||
Series REGS, 6.95%, 7/21/2027 | 900,000 | 797,697 | |||
Series REGS, 8.50%, 7/28/2025 | 2,100,000 | 1,977,171 | |||
7,730,928 | |||||
AUSTRALIA — 0.3% | |||||
Commonwealth Bank of Australia 3.90%, 7/12/2047 (a) | 2,528,000 | 2,759,438 | |||
Macquarie Group, Ltd.: | |||||
3 Month USD LIBOR + 1.02%, 3.19%, 11/28/2023 (a) (b) | 1,155,000 | 1,180,768 | |||
3 Month USD LIBOR + 1.33%, 4.15%, 3/27/2024 (a) (b) | 1,990,000 | 2,090,077 | |||
Westpac Banking Corp. 3.30%, 2/26/2024 | 3,205,000 | 3,341,854 | |||
9,372,137 | |||||
BELGIUM — 0.1% | |||||
Anheuser-Busch InBev Worldwide, Inc. 5.55%, 1/23/2049 | 1,605,000 | 2,085,361 | |||
BRAZIL — 0.7% | |||||
Banco Bradesco SA Series REGS, 5.75%, 3/1/2022 | 1,000,000 | 1,053,650 | |||
Banco BTG Pactual SA 5 Year CMT + 5.26%, 7.75%, 2/15/2029 (a) (b) | 4,800,000 | 5,093,808 | |||
Banco do Brasil SA Series REGS, 10 Year CMT + 4.40%, 6.25%, 4/15/2024 (b) | 4,900,000 | 4,980,703 | |||
CSN Islands XII Corp. Series REGS, 7.00%, 3/23/2020 | 1,800,000 | 1,656,288 | |||
CSN Resources SA: | |||||
7.63%, 4/17/2026 (a) | 1,800,000 | 1,917,504 |
Security Description | Principal Amount | Value | |||
Series REGS, 7.63%, 2/13/2023 | $300,000 | $319,713 | |||
Itau Unibanco Holding SA Series REGS, 6.20%, 12/21/2021 | 300,000 | 317,568 | |||
JBS USA LUX SA/JBS USA Finance, Inc.: | |||||
5.75%, 6/15/2025 (a) | 85,000 | 88,118 | |||
5.88%, 7/15/2024 (a) | 130,000 | 133,748 | |||
6.75%, 2/15/2028 (a) | 530,000 | 586,063 | |||
MARB BondCo PLC Series REGS, 6.88%, 1/19/2025 | 2,200,000 | 2,337,346 | |||
NBM US Holdings, Inc. 7.00%, 5/14/2026 (a) | 1,000,000 | 1,084,110 | |||
Petrobras Global Finance B.V.: | |||||
5.75%, 2/1/2029 | 3,600,000 | 4,052,016 | |||
6.90%, 3/19/2049 | 700,000 | 821,968 | |||
24,442,603 | |||||
CANADA — 0.6% | |||||
1011778 BC ULC/New Red Finance, Inc. 5.00%, 10/15/2025 (a) | 750,000 | 778,080 | |||
Bank of Nova Scotia 3.40%, 2/11/2024 | 1,675,000 | 1,755,115 | |||
Bombardier, Inc.: | |||||
6.00%, 10/15/2022 (a) | 300,000 | 299,727 | |||
7.88%, 4/15/2027 (a) | 350,000 | 360,612 | |||
Calfrac Holdings L.P. 8.50%, 6/15/2026 (a) | 135,000 | 54,675 | |||
Canadian Natural Resources, Ltd. 2.95%, 1/15/2023 | 3,175,000 | 3,237,802 | |||
Cenovus Energy, Inc. 5.40%, 6/15/2047 | 1,550,000 | 1,798,744 | |||
Cott Holdings, Inc. 5.50%, 4/1/2025 (a) | 875,000 | 914,760 | |||
Garda World Security Corp. 8.75%, 5/15/2025 (a) | 645,000 | 667,382 | |||
GFL Environmental, Inc.: | |||||
5.13%, 12/15/2026 (a) | 460,000 | 484,955 | |||
8.50%, 5/1/2027 (a) | 285,000 | 312,237 | |||
Kronos Acquisition Holdings, Inc. 9.00%, 8/15/2023 (a) | 420,000 | 400,113 | |||
MEG Energy Corp. 7.00%, 3/31/2024 (a) | 275,000 | 277,569 | |||
Parkland Fuel Corp. 5.88%, 7/15/2027 (a) | 355,000 | 380,936 | |||
Royal Bank of Canada Series GMTN, 2.55%, 7/16/2024 | 4,630,000 | 4,701,996 | |||
Stoneway Capital Corp. Series REGS, 10.00%, 3/1/2027 | 2,391,074 | 1,520,532 |
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Security Description | Principal Amount | Value | |||
Superior Plus L.P./Superior General Partner, Inc. 7.00%, 7/15/2026 (a) | $655,000 | $700,732 | |||
Telesat Canada/Telesat LLC: | |||||
4.88%, 6/1/2027 (a) | 370,000 | 377,241 | |||
6.50%, 10/15/2027 (a) | 375,000 | 390,326 | |||
Tervita Corp. 7.63%, 12/1/2021 (a) | 1,035,000 | 1,044,232 | |||
20,457,766 | |||||
CAYMAN ISLANDS — 0.2% | |||||
Cosan Overseas, Ltd. 8.25%, 2/5/2020 | 4,314,000 | 4,481,211 | |||
Global Aircraft Leasing Co., Ltd. PIK, 6.50%, 9/15/2024 (a) | 690,000 | 719,960 | |||
5,201,171 | |||||
CHILE — 0.7% | |||||
AES Gener SA: | |||||
5 Year CMT + 4.92%, 6.35%, 10/7/2079 (a) (b) | 200,000 | 204,862 | |||
USD 5 Year Swap Rate + 4.64%, 7.13%, 3/26/2079 (a) (b) | 1,000,000 | 1,051,070 | |||
Series REGS, 5.00%, 7/14/2025 | 200,000 | 208,586 | |||
Series REGS, USD 5 Year Swap Rate + 4.64%, 7.13%, 3/26/2079 (b) | 3,000,000 | 3,153,210 | |||
Series REGS, VRN, 5 Year CMT + 4.92%, 6.35%, 10/7/2079 (b) | 400,000 | 409,724 | |||
Empresa Electrica Angamos SA Series REGS, 4.88%, 5/25/2029 | 1,652,000 | 1,706,351 | |||
Empresa Electrica Guacolda SA Series REGS, 4.56%, 4/30/2025 | 1,900,000 | 1,738,785 | |||
Empresa Nacional de Telecomunicaciones SA: | |||||
Series REGS, 4.75%, 8/1/2026 | 2,200,000 | 2,331,054 | |||
Series REGS, 4.88%, 10/30/2024 | 400,000 | 425,492 | |||
GNL Quintero SA Series REGS, 4.63%, 7/31/2029 | 200,000 | 212,518 | |||
Guanay Finance, Ltd. Series REGS, 6.00%, 12/15/2020 | 449,003 | 452,114 | |||
Inversiones CMPC SA Series REGS, 4.50%, 4/25/2022 | 2,000,000 | 2,068,460 | |||
Latam Finance, Ltd. 7.00%, 3/1/2026 (a) | 2,700,000 | 2,924,154 | |||
SACI Falabella Series REGS, 3.75%, 4/30/2023 | 3,300,000 | 3,367,221 |
Security Description | Principal Amount | Value | |||
Sociedad Quimica y Minera de Chile SA Series REGS, 4.38%, 1/28/2025 | $300,000 | $315,003 | |||
Transelec SA Series REGS, 4.63%, 7/26/2023 | 200,000 | 211,594 | |||
VTR Finance B.V.: | |||||
6.88%, 1/15/2024 (a) | 500,000 | 512,255 | |||
Series REGS, 6.88%, 1/15/2024 | 3,200,000 | 3,278,432 | |||
24,570,885 | |||||
CHINA — 0.3% | |||||
CNOOC Finance 2015 USA LLC 3.50%, 5/5/2025 | 1,500,000 | 1,571,490 | |||
CNOOC Finance, Ltd. 3.00%, 5/9/2023 | 2,300,000 | 2,337,904 | |||
CNPC General Capital, Ltd. Series REGS, 3.40%, 4/16/2023 | 200,000 | 205,528 | |||
Gran Tierra Energy International Holdings, Ltd. Series REGS, 6.25%, 2/15/2025 | 2,600,000 | 2,327,624 | |||
Sinopec Group Overseas Development 2016, Ltd. Series REGS, 2.75%, 9/29/2026 | 1,500,000 | 1,493,010 | |||
Sinopec Group Overseas Development 2017, Ltd. 3.63%, 4/12/2027 (a) | 700,000 | 734,510 | |||
8,670,066 | |||||
COLOMBIA — 0.3% | |||||
Banco Bilbao Vizcaya Argentaria Colombia SA Series REGS, 4.88%, 4/21/2025 | 200,000 | 213,552 | |||
Banco de Bogota SA Series REGS, 5.38%, 2/19/2023 | 400,000 | 424,064 | |||
Bancolombia SA: | |||||
5 Year CMT + 2.93%, 4.88%, 10/18/2027 (b) | 1,700,000 | 1,740,698 | |||
VRN, 5 Year CMT + 2.94%, 4.63%, 12/18/2029 (b) | 1,200,000 | 1,216,512 | |||
Empresas Publicas de Medellin ESP 4.25%, 7/18/2029 (a) | 500,000 | 521,340 | |||
Grupo Aval, Ltd. Series REGS, 4.75%, 9/26/2022 | 500,000 | 521,190 | |||
Millicom International Cellular SA: | |||||
6.25%, 3/25/2029 (a) | 1,700,000 | 1,875,559 | |||
6.63%, 10/15/2026 (a) | 1,500,000 | 1,661,025 | |||
Series REGS, 6.00%, 3/15/2025 | 400,000 | 414,500 | |||
8,588,440 |
Table of Contents
Security Description | Principal Amount | Value | |||
COSTA RICA — 0.0% (c) | |||||
Banco Nacional de Costa Rica Series REGS, 5.88%, 4/25/2021 (a) | $1,295,000 | $1,324,850 | |||
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 | 2,342,956 | |||
Series REGS, 7.95%, 5/11/2026 | 1,200,000 | 1,277,976 | |||
Banco de Reservas de la Republica Dominicana Series REGS, 7.00%, 2/1/2023 (a) | 3,950,000 | 4,153,030 | |||
7,773,962 | |||||
FRANCE — 0.0% (c) | |||||
Altice France SA 7.38%, 5/1/2026 (a) | 725,000 | 779,411 | |||
HONG KONG — 0.0% (c) | |||||
CK Hutchison International 17, Ltd. 3.50%, 4/5/2027 (a) | 1,100,000 | 1,143,615 | |||
INDIA — 0.8% | |||||
Adani Ports & Special Economic Zone, Ltd. Series REGS, 3.95%, 1/19/2022 | 2,500,000 | 2,558,524 | |||
Bharat Petroleum Corp., Ltd.: | |||||
4.63%, 10/25/2022 | 500,000 | 519,225 | |||
Series EMTN, 4.00%, 5/8/2025 | 400,000 | 411,110 | |||
BPRL International Singapore Pte, Ltd. Series EMTN, 4.38%, 1/18/2027 | 1,500,000 | 1,559,700 | |||
Indian Oil Corp., Ltd.: | |||||
5.63%, 8/2/2021 | 2,000,000 | 2,091,680 | |||
5.75%, 8/1/2023 | 4,900,000 | 5,326,986 | |||
Network i2i, Ltd. 5 Year CMT + 4.28%, 5.65%, 1/15/2025 (a) (b) | 900,000 | 891,099 | |||
ONGC Videsh Vankorneft Pte, Ltd. 3.75%, 7/27/2026 | 4,000,000 | 4,096,640 | |||
Reliance Holding USA, Inc. Series REGS, 5.40%, 2/14/2022 | 4,500,000 | 4,758,345 | |||
Vedanta Resources Finance II PLC 9.25%, 4/23/2026 (a) | 1,400,000 | 1,394,372 | |||
Vedanta Resources PLC Series REGS, 6.13%, 8/9/2024 | 3,800,000 | 3,464,840 | |||
27,072,521 |
Security Description | Principal Amount | Value | |||
INDONESIA — 0.1% | |||||
Pertamina Persero PT Series REGS, 4.30%, 5/20/2023 | $3,000,000 | $3,169,590 | |||
Star Energy Geothermal Wayang Windu, Ltd. Series REGS, 6.75%, 4/24/2033 | 1,012,000 | 1,076,191 | |||
4,245,781 | |||||
IRELAND — 0.3% | |||||
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc.: | |||||
5.25%, 8/15/2027 (a) | 300,000 | 315,681 | |||
6.00%, 2/15/2025 (a) | 395,000 | 414,319 | |||
Avolon Holdings Funding, Ltd.: | |||||
3.95%, 7/1/2024 (a) | 1,190,000 | 1,241,670 | |||
5.25%, 5/15/2024 (a) | 700,000 | 765,352 | |||
C&W Senior Financing DAC: | |||||
7.50%, 10/15/2026 (a) | 1,300,000 | 1,410,435 | |||
Series REGS, 6.88%, 9/15/2027 | 4,200,000 | 4,495,554 | |||
8,643,011 | |||||
ISRAEL — 0.1% | |||||
Delek & Avner Tamar Bond, Ltd.: | |||||
4.44%, 12/30/2020 (a) | 1,600,000 | 1,621,120 | |||
5.41%, 12/30/2025 (a) | 340,000 | 356,035 | |||
Israel Electric Corp., Ltd. Series 6, 5.00%, 11/12/2024 (a) | 600,000 | 660,084 | |||
2,637,239 | |||||
JAMAICA — 0.0% (c) | |||||
Digicel Group Two, Ltd.: | |||||
8.25%, 9/30/2022 (a) | 1,400,000 | 325,514 | |||
PIK, 9.13%, 4/1/2024 (a) | 3,347,257 | 504,599 | |||
830,113 | |||||
JAPAN — 0.1% | |||||
Mitsubishi UFJ Financial Group, Inc. 3 Month USD LIBOR + 0.74%, 2.65%, 3/2/2023 (b) | 1,650,000 | 1,654,158 | |||
Sumitomo Mitsui Financial Group, Inc. 3 Month USD LIBOR + 0.74%, 2.74%, 1/17/2023 (b) | 2,165,000 | 2,171,473 | |||
3,825,631 | |||||
LUXEMBOURG — 0.2% | |||||
ARD Finance SA PIK, 6.50%, 6/30/2027 (a) | 200,000 | 206,762 | |||
Intelsat Jackson Holdings SA: | |||||
5.50%, 8/1/2023 | 310,000 | 266,073 | |||
8.50%, 10/15/2024 (a) | 610,000 | 556,332 |
Table of Contents
Security Description | Principal Amount | Value | |||
JSL Europe SA Series REGS, 7.75%, 7/26/2024 | $1,400,000 | $1,512,658 | |||
Millicom International Cellular SA Series REGS, 5.13%, 1/15/2028 | 1,100,000 | 1,147,949 | |||
Minerva Luxembourg SA: | |||||
Series REGS, 5.88%, 1/19/2028 | 1,700,000 | 1,785,306 | |||
Series REGS, 6.50%, 9/20/2026 | 2,000,000 | 2,130,860 | |||
7,605,940 | |||||
MALAYSIA — 0.4% | |||||
CIMB Bank Bhd Series EMTN, 3 Month USD LIBOR + 0.78%, 2.79%, 10/9/2024 (b) | 300,000 | 300,603 | |||
Gohl Capital, Ltd. 4.25%, 1/24/2027 | 5,000,000 | 5,243,200 | |||
Malayan Banking Bhd USD 5 Year Swap Rate + 2.54%, 3.91%, 10/29/2026 (b) | 7,000,000 | 7,116,200 | |||
12,660,003 | |||||
MAURITIUS — 0.1% | |||||
UPL Corp., Ltd. 4.50%, 3/8/2028 | 2,000,000 | 2,028,660 | |||
MEXICO — 1.0% | |||||
Banco Mercantil del Norte SA: | |||||
10 year CMT + 5.47%, 7.50%, 6/27/2029 (a) (b) | 1,600,000 | 1,708,544 | |||
Series REGS, 10 Year CMT + 5.35%, 7.63%, 1/10/2028 (b) | 3,210,000 | 3,431,618 | |||
Series REGS, 5 year CMT + 4.45%, 5.75%, 10/4/2031 (b) | 1,200,000 | 1,240,968 | |||
Series REGS, 5 Year CMT + 5.04%, 6.88%, 7/6/2022 (b) | 1,264,000 | 1,321,828 | |||
Banco Santander Mexico SA 5 Year CMT + 3.00%, 5.95%, 10/1/2028 (a) (b) | 1,400,000 | 1,503,712 | |||
BBVA Bancomer SA: | |||||
5 year CMT + 4.31%, 5.88%, 9/13/2034 (a) (b) | 200,000 | 209,576 | |||
Series REGS, 5 Year CMT + 2.65%, 5.13%, 1/18/2033 (b) | 5,000,000 | 5,041,400 | |||
Series REGS, 5 Year CMT + 3.00%, 5.35%, 11/12/2029 (b) | 200,000 | 202,130 | |||
Braskem Idesa SAPI 7.45%, 11/15/2029 (a) | 200,000 | 213,306 | |||
Cometa Energia SA de CV Series REGS, 6.38%, 4/24/2035 | 4,845,000 | 5,279,742 | |||
Credito Real SAB de CV: |
Security Description | Principal Amount | Value | |||
9.50%, 2/7/2026 (a) | $2,300,000 | $2,623,150 | |||
Series REGS, 5 Year CMT + 7.03%, 9.13%, 11/29/2022 (b) | 1,500,000 | 1,579,530 | |||
Docuformas SAPI de CV 10.25%, 7/24/2024 (a) | 1,400,000 | 1,421,238 | |||
Grupo Bimbo SAB de CV Series REGS, 5 Year CMT + 3.28%, 5.95%, 4/17/2023 (b) | 1,500,000 | 1,589,295 | |||
Grupo Idesa SA de CV Series REGS, 7.88%, 12/18/2020 | 1,400,000 | 1,168,874 | |||
Unifin Financiera SAB de CV: | |||||
Series REGS, 7.38%, 2/12/2026 | 500,000 | 501,165 | |||
Series REGS, 5 Year CMT + 6.31%, 8.88%, 1/29/2025 (b) | 3,900,000 | 3,581,097 | |||
32,617,173 | |||||
NETHERLANDS — 0.3% | |||||
Ajecorp B.V. Series REGS, 6.50%, 5/14/2022 | 150,000 | 146,285 | |||
Minejesa Capital B.V.: | |||||
Series REGS, 4.63%, 8/10/2030 | 2,000,000 | 2,075,100 | |||
Series REGS, 5.63%, 8/10/2037 | 1,700,000 | 1,849,141 | |||
Starfruit Finco B.V./Starfruit US Holdco LLC 8.00%, 10/1/2026 (a) | 150,000 | 159,120 | |||
Stars Group Holdings B.V./Stars Group US Co-Borrower LLC 7.00%, 7/15/2026 (a) | 695,000 | 752,365 | |||
Syngenta Finance NV Series REGS, 5.68%, 4/24/2048 | 4,000,000 | 4,165,840 | |||
Trivium Packaging Finance B.V. 5.50%, 8/15/2026 (a) | 400,000 | 423,500 | |||
Ziggo B.V. 4.88%, 1/15/2030 (a) | 250,000 | 258,172 | |||
9,829,523 | |||||
NORWAY — 0.0% (c) | |||||
Aker BP ASA 4.75%, 6/15/2024 (a) | 360,000 | 375,433 | |||
PANAMA — 0.1% | |||||
Banco General SA Series REGS, 4.13%, 8/7/2027 | 500,000 | 525,465 | |||
Global Bank Corp.: | |||||
3 Month USD LIBOR + 3.30%, 5.25%, 4/16/2029 (a) (b) | 3,700,000 | 3,977,019 | |||
Series REGS, 4.50%, 10/20/2021 | 200,000 | 206,816 | |||
4,709,300 |
Table of Contents
Security Description | Principal Amount | Value | |||
PERU — 0.1% | |||||
Banco Internacional del Peru SAA Series REGS, 3 Month USD LIBOR + 6.74%, 8.50%, 4/23/2070 (b) | $500,000 | $504,380 | |||
Banco Internacional del Peru SAA Interbank Series REGS, 3.38%, 1/18/2023 | 1,550,000 | 1,572,165 | |||
Scotiabank Peru SAA Series REGS, 3 Month USD LIBOR + 3.86%, 4.50%, 12/13/2027 (b) | 531,000 | 549,941 | |||
2,626,486 | |||||
PHILIPPINES — 0.2% | |||||
BDO Unibank, Inc. Series EMTN, 2.95%, 3/6/2023 | 6,200,000 | 6,248,630 | |||
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 | 4,125,625 | |||
Series REGS, VRN, USD 5 year ICE Swap Rate + 1.59%, 4.52%, 12/11/2028 (b) | 500,000 | 532,780 | |||
Oversea-Chinese Banking Corp., Ltd.: | |||||
Series REGS, 4.25%, 6/19/2024 | 1,100,000 | 1,174,052 | |||
Series REGS, 3 Month USD LIBOR + 0.45%, 2.35%, 5/17/2021 (b) | 500,000 | 500,740 | |||
Temasek Financial I, Ltd. Series REGS, 2.38%, 1/23/2023 | 3,500,000 | 3,546,690 | |||
United Overseas Bank, Ltd.: | |||||
Series EMTN, USD 5 Year Swap Rate + 1.79%, 3.88%, 10/19/2023 (b) | 2,000,000 | 2,034,612 | |||
Series EMTN, USD 5 Year Swap Rate + 2.24%, 3.50%, 9/16/2026 (b) | 4,000,000 | 4,053,880 | |||
15,968,379 | |||||
SPAIN — 0.0% (c) | |||||
AI Candelaria Spain SLU 7.50%, 12/15/2028 (a) | 250,000 | 280,158 | |||
SWITZERLAND — 0.0% (c) | |||||
Syngenta Finance NV 4.38%, 3/28/2042 | 200,000 | 177,854 | |||
UNITED KINGDOM — 0.4% | |||||
AstraZeneca PLC 6.45%, 9/15/2037 | 1,225,000 | 1,733,069 | |||
Avation Capital SA 6.50%, 5/15/2021 (a) | 600,000 | 624,690 |
Security Description | Principal Amount | Value | |||
Connect Finco Sarl/Connect US Finco LLC 6.75%, 10/1/2026 (a) | $735,000 | $781,930 | |||
eG Global Finance PLC 8.50%, 10/30/2025 (a) | 615,000 | 652,804 | |||
MARB BondCo PLC Series REGS, 7.00%, 3/15/2024 | 400,000 | 417,096 | |||
Radiant Access, Ltd. 4.60%, 5/18/2020 | 3,950,000 | 3,939,769 | |||
Reynolds American, Inc. 4.00%, 6/12/2022 | 3,295,000 | 3,431,479 | |||
11,580,837 | |||||
UNITED STATES — 8.4% | |||||
AbbVie, Inc.: | |||||
3.20%, 11/6/2022 | 1,450,000 | 1,491,513 | |||
4.05%, 11/21/2039 (a) | 1,295,000 | 1,359,620 | |||
Acrisure LLC/Acrisure Finance, Inc. 8.13%, 2/15/2024 (a) | 555,000 | 603,218 | |||
Advanced Drainage Systems, Inc. 5.00%, 9/30/2027 (a) | 370,000 | 381,540 | |||
AECOM 5.13%, 3/15/2027 | 730,000 | 784,728 | |||
AEP Texas, Inc. Series H, 3.45%, 1/15/2050 | 1,280,000 | 1,289,229 | |||
Air Lease Corp. 3.25%, 3/1/2025 | 3,490,000 | 3,597,108 | |||
Air Medical Group Holdings, Inc. 6.38%, 5/15/2023 (a) | 465,000 | 414,008 | |||
Albertsons Cos., Inc./Safeway, Inc./New Albertsons L.P./Albertsons LLC: | |||||
4.63%, 1/15/2027 (a) | 440,000 | 440,009 | |||
5.88%, 2/15/2028 (a) | 450,000 | 478,665 | |||
Alcoa Nederland Holding B.V. 6.13%, 5/15/2028 (a) | 620,000 | 670,115 | |||
Allergan Funding SCS 3.85%, 6/15/2024 | 1,590,000 | 1,670,836 | |||
Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer 6.75%, 10/15/2027 (a) | 370,000 | 396,906 | |||
Allied Universal Holdco LLC/Allied Universal Finance Corp.: | |||||
6.63%, 7/15/2026 (a) | 435,000 | 467,316 | |||
9.75%, 7/15/2027 (a) | 435,000 | 465,085 | |||
Allison Transmission, Inc. 5.00%, 10/1/2024 (a) | 915,000 | 936,786 | |||
Altria Group, Inc. 5.95%, 2/14/2049 | 1,500,000 | 1,816,995 | |||
Amazon.com, Inc.: | |||||
2.80%, 8/22/2024 | 2,090,000 | 2,163,735 | |||
3.80%, 12/5/2024 | 1,255,000 | 1,357,935 |
Table of Contents
Security Description | Principal Amount | Value | |||
American Axle & Manufacturing, Inc. 6.25%, 3/15/2026 | $325,000 | $333,593 | |||
American Express Co. 2.50%, 8/1/2022 | 1,530,000 | 1,547,962 | |||
Amsted Industries, Inc. 5.63%, 7/1/2027 (a) | 350,000 | 371,217 | |||
Antero Midstream Partners L.P./Antero Midstream Finance Corp. 5.75%, 3/1/2027 (a) | 300,000 | 264,081 | |||
Anthem, Inc. 3.30%, 1/15/2023 | 3,377,000 | 3,493,000 | |||
Aramark Services, Inc. 5.00%, 4/1/2025 (a) | 935,000 | 977,178 | |||
Arrow Electronics, Inc. 3.88%, 1/12/2028 | 1,667,000 | 1,709,892 | |||
Ascend Learning LLC 6.88%, 8/1/2025 (a) | 1,030,000 | 1,081,953 | |||
ASGN, Inc. 4.63%, 5/15/2028 (a) | 300,000 | 308,184 | |||
ASP AMC Merger Sub, Inc. 8.00%, 5/15/2025 (a) | 358,000 | 237,923 | |||
AssuredPartners, Inc. 7.00%, 8/15/2025 (a) | 952,000 | 970,202 | |||
AT&T, Inc. 3.40%, 5/15/2025 | 2,530,000 | 2,653,186 | |||
Avantor, Inc. 9.00%, 10/1/2025 (a) | 980,000 | 1,096,767 | |||
B&G Foods, Inc.: | |||||
5.25%, 4/1/2025 | 605,000 | 623,561 | |||
5.25%, 9/15/2027 | 380,000 | 383,025 | |||
Banff Merger Sub, Inc. 9.75%, 9/1/2026 (a) | 195,000 | 197,861 | |||
Bank of America Corp. Series GMTN, 3 Month USD LIBOR + 0.66%, 2.37%, 7/21/2021 (b) | 2,570,000 | 2,575,294 | |||
Bausch Health Cos., Inc.: | |||||
5.00%, 1/30/2028 (a) | 385,000 | 395,849 | |||
5.25%, 1/30/2030 (a) | 390,000 | 405,011 | |||
5.75%, 8/15/2027 (a) | 295,000 | 320,426 | |||
7.00%, 3/15/2024 (a) | 240,000 | 250,378 | |||
7.00%, 1/15/2028 (a) | 730,000 | 807,197 | |||
7.25%, 5/30/2029 (a) | 730,000 | 833,390 | |||
Beacon Roofing Supply, Inc.: | |||||
4.50%, 11/15/2026 (a) | 250,000 | 257,773 | |||
4.88%, 11/1/2025 (a) | 610,000 | 612,739 | |||
Becton Dickinson and Co. 2.89%, 6/6/2022 | 3,370,000 | 3,425,706 | |||
Berry Global, Inc. 5.63%, 7/15/2027 (a) | 660,000 | 711,203 | |||
Boston Properties L.P. 3.65%, 2/1/2026 | 3,045,000 | 3,225,355 | |||
Boyd Gaming Corp. 4.75%, 12/1/2027 (a) | 375,000 | 389,655 |
Security Description | Principal Amount | Value | |||
Boyne USA, Inc. 7.25%, 5/1/2025 (a) | $1,115,000 | $1,214,090 | |||
Bristol-Myers Squibb Co. 4.35%, 11/15/2047 (a) | 3,360,000 | 3,990,336 | |||
Builders FirstSource, Inc.: | |||||
5.63%, 9/1/2024 (a) | 857,000 | 892,565 | |||
6.75%, 6/1/2027 (a) | 205,000 | 225,147 | |||
Calpine Corp.: | |||||
4.50%, 2/15/2028 (a) | 265,000 | 268,487 | |||
5.13%, 3/15/2028 (a) | 165,000 | 168,699 | |||
5.25%, 6/1/2026 (a) | 370,000 | 385,596 | |||
5.75%, 1/15/2025 | 375,000 | 385,661 | |||
Camelot Finance SA 4.50%, 11/1/2026 (a) | 125,000 | 128,215 | |||
Cardinal Health, Inc. 3.41%, 6/15/2027 | 3,280,000 | 3,357,638 | |||
Carvana Co. 8.88%, 10/1/2023 (a) | 365,000 | 384,590 | |||
Catalent Pharma Solutions, Inc. 5.00%, 7/15/2027 (a) | 655,000 | 687,357 | |||
Caterpillar, Inc. 3.40%, 5/15/2024 | 3,346,000 | 3,540,737 | |||
CCO Holdings LLC/CCO Holdings Capital Corp.: | |||||
4.75%, 3/1/2030 (a) | 755,000 | 770,024 | |||
5.00%, 2/1/2028 (a) | 195,000 | 204,487 | |||
5.75%, 2/15/2026 (a) | 1,600,000 | 1,687,376 | |||
CDK Global, Inc.: | |||||
5.25%, 5/15/2029 (a) | 260,000 | 278,894 | |||
5.88%, 6/15/2026 | 200,000 | 213,876 | |||
Cedar Fair L.P. 5.25%, 7/15/2029 (a) | 430,000 | 463,372 | |||
Cengage Learning, Inc. 9.50%, 6/15/2024 (a) | 355,000 | 308,722 | |||
Centene Corp.: | |||||
4.25%, 12/15/2027 (a) | 460,000 | 473,717 | |||
4.63%, 12/15/2029 (a) | 405,000 | 426,501 | |||
Century Communities, Inc. 6.75%, 6/1/2027 (a) | 360,000 | 385,819 | |||
CenturyLink, Inc. 5.13%, 12/15/2026 (a) | 390,000 | 397,601 | |||
Charles River Laboratories International, Inc. 4.25%, 5/1/2028 (a) | 370,000 | 377,304 | |||
Charter Communications Operating LLC/Charter Communications Operating Capital 4.46%, 7/23/2022 | 1,475,000 | 1,550,461 | |||
Cheniere Energy Partners L.P.: | |||||
4.50%, 10/1/2029 (a) | 245,000 | 251,674 | |||
5.25%, 10/1/2025 | 935,000 | 973,410 | |||
5.63%, 10/1/2026 | 455,000 | 481,199 | |||
Cigna Corp.: | |||||
4.90%, 12/15/2048 | 1,610,000 | 1,924,900 |
Table of Contents
Security Description | Principal Amount | Value | |||
3 Month USD LIBOR + 0.89%, 2.89%, 7/15/2023 (b) | $1,665,000 | $1,672,259 | |||
Cincinnati Bell, Inc. 7.00%, 7/15/2024 (a) | 604,000 | 633,058 | |||
Citigroup, Inc. 3 Month USD LIBOR + 1.39%, 3.67%, 7/24/2028 (b) | 3,385,000 | 3,603,773 | |||
Clean Harbors, Inc.: | |||||
4.88%, 7/15/2027 (a) | 460,000 | 485,811 | |||
5.13%, 7/15/2029 (a) | 145,000 | 155,225 | |||
Clear Channel Worldwide Holdings, Inc. 9.25%, 2/15/2024 (a) | 395,000 | 438,027 | |||
Clearway Energy Operating LLC 4.75%, 3/15/2028 (a) | 375,000 | 381,604 | |||
CNO Financial Group, Inc. 5.25%, 5/30/2029 | 255,000 | 287,020 | |||
CNX Midstream Partners L.P./CNX Midstream Finance Corp. 6.50%, 3/15/2026 (a) | 970,000 | 893,448 | |||
Colfax Corp.: | |||||
6.00%, 2/15/2024 (a) | 280,000 | 298,309 | |||
6.38%, 2/15/2026 (a) | 570,000 | 622,326 | |||
Comcast Corp. 4.70%, 10/15/2048 | 1,530,000 | 1,887,775 | |||
CommScope, Inc.: | |||||
5.50%, 3/1/2024 (a) | 445,000 | 464,527 | |||
6.00%, 3/1/2026 (a) | 145,000 | 154,289 | |||
Constellation Merger Sub, Inc. 8.50%, 9/15/2025 (a) | 440,000 | 385,286 | |||
CRC Escrow Issuer LLC/CRC Finco, Inc. 5.25%, 10/15/2025 (a) | 655,000 | 678,364 | |||
Credit Acceptance Corp. 6.63%, 3/15/2026 (a) | 680,000 | 735,406 | |||
Crown Americas LLC/Crown Americas Capital Corp. 4.50%, 1/15/2023 | 400,000 | 422,256 | |||
Crown Castle International Corp. 4.30%, 2/15/2029 | 1,605,000 | 1,779,640 | |||
CSC Holdings LLC: | |||||
5.25%, 6/1/2024 | 810,000 | 872,986 | |||
5.75%, 1/15/2030 (a) | 810,000 | 864,391 | |||
CSI Compressco L.P./CSI Compressco Finance, Inc. 7.50%, 4/1/2025 (a) | 865,000 | 851,809 | |||
CSX Corp. 3.35%, 9/15/2049 | 1,935,000 | 1,912,380 | |||
CVS Health Corp. 3.70%, 3/9/2023 | 3,325,000 | 3,461,923 | |||
Dana Financing Luxembourg Sarl 5.75%, 4/15/2025 (a) | 715,000 | 749,284 | |||
Dana, Inc. 5.38%, 11/15/2027 | 125,000 | 128,793 |
Security Description | Principal Amount | Value | |||
Delta Air Lines, Inc. 3.63%, 3/15/2022 | $2,105,000 | $2,157,204 | |||
Diamond Sports Group LLC/Diamond Sports Finance Co. 5.38%, 8/15/2026 (a) | 540,000 | 547,101 | |||
Discover Financial Services 4.10%, 2/9/2027 | 1,565,000 | 1,686,788 | |||
DISH DBS Corp. 5.88%, 11/15/2024 | 420,000 | 429,874 | |||
Dollar Tree, Inc. 4.00%, 5/15/2025 | 1,550,000 | 1,657,415 | |||
DowDuPont, Inc. 5.42%, 11/15/2048 | 1,395,000 | 1,718,766 | |||
Duke Energy Corp. 2.65%, 9/1/2026 | 3,535,000 | 3,556,563 | |||
Dun & Bradstreet Corp. 10.25%, 2/15/2027 (a) | 205,000 | 236,668 | |||
Eagle Holding Co. II LLC PIK, 7.75%, 5/15/2022 (a) | 405,000 | 410,954 | |||
Eldorado Resorts, Inc. 6.00%, 4/1/2025 | 550,000 | 578,111 | |||
Embarq Corp. 8.00%, 6/1/2036 | 370,000 | 391,723 | |||
Encompass Health Corp.: | |||||
4.50%, 2/1/2028 | 185,000 | 191,812 | |||
4.75%, 2/1/2030 | 60,000 | 62,372 | |||
Energizer Holdings, Inc. 7.75%, 1/15/2027 (a) | 525,000 | 587,092 | |||
Energy Transfer Operating L.P. 4.75%, 1/15/2026 | 1,455,000 | 1,572,491 | |||
Enterprise Products Operating LLC 3.75%, 2/15/2025 | 2,155,000 | 2,298,178 | |||
Envision Helthcare Corp. 8.75%, 10/15/2026 (a) | 120,000 | 75,034 | |||
EP Energy LLC/Everest Acquisition Finance, Inc. 7.75%, 5/15/2026 (a) (d) | 335,000 | 239,374 | |||
ESH Hospitality, Inc. 5.25%, 5/1/2025 (a) | 1,195,000 | 1,236,490 | |||
Expedia Group, Inc. 3.80%, 2/15/2028 | 2,515,000 | 2,566,004 | |||
Exterran Energy Solutions L.P./EES Finance Corp. 8.13%, 5/1/2025 | 190,000 | 187,046 | |||
Extraction Oil & Gas, Inc. 5.63%, 2/1/2026 (a) | 155,000 | 92,533 | |||
FedEx Corp. 4.75%, 11/15/2045 | 815,000 | 865,065 | |||
Financial & Risk US Holdings, Inc.: | |||||
6.25%, 5/15/2026 (a) | 485,000 | 529,746 | |||
8.25%, 11/15/2026 (a) | 500,000 | 563,340 | |||
Flex Acquisition Co., Inc. 6.88%, 1/15/2025 (a) | 635,000 | 640,213 |
Table of Contents
Security Description | Principal Amount | Value | |||
Foresight Energy LLC/Foresight Energy Finance Corp. 11.50%, 4/1/2023 (a) | $510,000 | $15,422 | |||
Freeport-McMoRan, Inc.: | |||||
5.40%, 11/14/2034 | 2,950,000 | 3,090,803 | |||
5.45%, 3/15/2043 | 2,550,000 | 2,641,188 | |||
frontdoor, Inc. 6.75%, 8/15/2026 (a) | 690,000 | 754,480 | |||
Frontier Communications Corp.: | |||||
7.13%, 1/15/2023 | 285,000 | 139,334 | |||
8.00%, 4/1/2027 (a) | 410,000 | 429,442 | |||
8.50%, 4/15/2020 | 135,000 | 81,046 | |||
8.50%, 4/1/2026 (a) | 230,000 | 233,025 | |||
FTS International, Inc. 6.25%, 5/1/2022 | 320,000 | 209,802 | |||
Gates Global LLC/Gates Global Co. 6.25%, 1/15/2026 (a) | 615,000 | 625,264 | |||
General Electric Co. Series MTN, 5.88%, 1/14/2038 | 700,000 | 846,643 | |||
General Motors Co. 3 Month USD LIBOR + 0.80%, 2.69%, 8/7/2020 (b) | 645,000 | 646,006 | |||
General Motors Financial Co., Inc.: | |||||
3.95%, 4/13/2024 | 125,000 | 130,586 | |||
3 Month USD LIBOR + 0.99%, 3.03%, 1/5/2023 (b) | 2,691,000 | 2,678,056 | |||
Genesys Telecommunications Laboratories, Inc./Greeneden Lux 3 Sarl/Greeneden US Holdings II LLC 10.00%, 11/30/2024 (a) | 1,095,000 | 1,183,235 | |||
Georgia-Pacific LLC 3.60%, 3/1/2025 (a) | 1,543,000 | 1,628,482 | |||
Gogo Intermediate Holdings LLC/Gogo Finance Co., Inc. 9.88%, 5/1/2024 (a) | 575,000 | 609,443 | |||
Golden Entertainment, Inc. 7.63%, 4/15/2026 (a) | 315,000 | 335,702 | |||
Golden Nugget, Inc.: | |||||
6.75%, 10/15/2024 (a) | 1,120,000 | 1,158,763 | |||
8.75%, 10/1/2025 (a) | 150,000 | 160,628 | |||
Goldman Sachs Group, Inc. 3 Month USD LIBOR + 1.17%, 3.08%, 5/15/2026 (b) | 3,545,000 | 3,585,838 | |||
Gray Television, Inc.: | |||||
5.13%, 10/15/2024 (a) | 195,000 | 202,123 | |||
7.00%, 5/15/2027 (a) | 575,000 | 640,654 | |||
GrubHub Holdings, Inc. 5.50%, 7/1/2027 (a) | 225,000 | 210,845 | |||
GTT Communications, Inc. 7.88%, 12/31/2024 (a) | 400,000 | 301,644 |
Security Description | Principal Amount | Value | |||
Gulfport Energy Corp. 6.38%, 5/15/2025 | $555,000 | $352,419 | |||
Hasbro, Inc. 3.50%, 9/15/2027 | 1,685,000 | 1,700,856 | |||
HCA, Inc.: | |||||
4.13%, 6/15/2029 | 815,000 | 865,701 | |||
5.25%, 4/15/2025 | 190,000 | 212,897 | |||
5.38%, 9/1/2026 | 1,575,000 | 1,756,928 | |||
5.88%, 2/1/2029 | 65,000 | 75,133 | |||
Hess Midstream Operations L.P.: | |||||
5.13%, 6/15/2028 (a) | 590,000 | 598,018 | |||
5.63%, 2/15/2026 (a) | 1,275,000 | 1,332,171 | |||
Hexion, Inc. 7.88%, 7/15/2027 (a) | 300,000 | 312,210 | |||
H-Food Holdings LLC/Hearthside Finance Co., Inc. 8.50%, 6/1/2026 (a) | 450,000 | 421,187 | |||
Hilcorp Energy I L.P./Hilcorp Finance Co. 6.25%, 11/1/2028 (a) | 540,000 | 514,598 | |||
Hillman Group, Inc. 6.38%, 7/15/2022 (a) | 135,000 | 125,449 | |||
Hill-Rom Holdings, Inc. 4.38%, 9/15/2027 (a) | 295,000 | 302,944 | |||
Hilton Domestic Operating Co., Inc. 4.25%, 9/1/2024 | 1,570,000 | 1,601,620 | |||
Home Depot, Inc. 3.90%, 6/15/2047 | 1,590,000 | 1,800,214 | |||
Horizon Pharma USA, Inc. 5.50%, 8/1/2027 (a) | 730,000 | 788,101 | |||
IAA, Inc. 5.50%, 6/15/2027 (a) | 570,000 | 609,290 | |||
Icahn Enterprises L.P./Icahn Enterprises Finance Corp.: | |||||
5.25%, 5/15/2027 (a) | 380,000 | 390,059 | |||
6.25%, 5/15/2026 | 715,000 | 762,755 | |||
iHeartCommunications, Inc.: | |||||
5.25%, 8/15/2027 (a) | 310,000 | 324,812 | |||
6.38%, 5/1/2026 | 145,000 | 157,688 | |||
8.38%, 5/1/2027 | 75,000 | 82,756 | |||
Indigo Natural Resources LLC 6.88%, 2/15/2026 (a) | 265,000 | 250,701 | |||
Informatica LLC 7.13%, 7/15/2023 (a) | 740,000 | 752,365 | |||
Installed Building Products, Inc. 5.75%, 2/1/2028 (a) | 435,000 | 464,889 | |||
IQVIA, Inc. 5.00%, 5/15/2027 (a) | 640,000 | 677,837 | |||
IRB Holding Corp. 6.75%, 2/15/2026 (a) | 745,000 | 779,978 | |||
Iridium Communications, Inc. 10.25%, 4/15/2023 (a) | 820,000 | 879,237 | |||
Iron Mountain, Inc. 4.88%, 9/15/2029 (a) | 230,000 | 233,866 |
Table of Contents
Security Description | Principal Amount | Value | |||
iStar, Inc. 4.75%, 10/1/2024 | $305,000 | $317,697 | |||
JBS Investments II GmbH: | |||||
5.75%, 1/15/2028 (a) | 2,200,000 | 2,316,160 | |||
7.00%, 1/15/2026 (a) | 500,000 | 543,575 | |||
JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc.: | |||||
5.50%, 1/15/2030 (a) | 190,000 | 203,959 | |||
6.50%, 4/15/2029 (a) | 510,000 | 566,794 | |||
Jeld-Wen, Inc. 4.63%, 12/15/2025 (a) | 905,000 | 930,132 | |||
KAR Auction Services, Inc. 5.13%, 6/1/2025 (a) | 790,000 | 821,758 | |||
Kinder Morgan, Inc. 4.30%, 3/1/2028 | 1,435,000 | 1,564,365 | |||
Kraton Polymers LLC/Kraton Polymers Capital Corp. 7.00%, 4/15/2025 (a) | 230,000 | 236,155 | |||
Kratos Defense & Security Solutions, Inc. 6.50%, 11/30/2025 (a) | 475,000 | 509,001 | |||
Laboratory Corp. of America Holdings 3.60%, 2/1/2025 | 3,096,000 | 3,262,100 | |||
Level 3 Financing, Inc. 4.63%, 9/15/2027 (a) | 460,000 | 471,449 | |||
Lions Gate Capital Holdings LLC 6.38%, 2/1/2024 (a) | 575,000 | 599,886 | |||
Live Nation Entertainment, Inc. 5.63%, 3/15/2026 (a) | 960,000 | 1,022,976 | |||
LTF Merger Sub, Inc. 8.50%, 6/15/2023 (a) | 1,105,000 | 1,127,244 | |||
Marriott Ownership Resorts, Inc./ILG LLC 6.50%, 9/15/2026 | 620,000 | 676,811 | |||
Match Group, Inc. 5.00%, 12/15/2027 (a) | 775,000 | 808,790 | |||
MGM Growth Properties Operating Partnership L.P./MGP Finance Co-Issuer, Inc. 5.75%, 2/1/2027 (a) | 735,000 | 821,370 | |||
MGM Resorts International 5.75%, 6/15/2025 | 690,000 | 772,655 | |||
Monongahela Power Co. 5.40%, 12/15/2043 (a) | 675,000 | 873,355 | |||
Morgan Stanley 3 Month USD LIBOR + 0.85%, 3.74%, 4/24/2024 (b) | 3,265,000 | 3,411,370 | |||
Moss Creek Resources Holdings, Inc. 7.50%, 1/15/2026 (a) | 265,000 | 202,126 | |||
MPH Acquisition Holdings LLC 7.13%, 6/1/2024 (a) | 860,000 | 835,851 |
Security Description | Principal Amount | Value | |||
MPT Operating Partnership L.P./MPT Finance Corp. 5.25%, 8/1/2026 | $1,060,000 | $1,119,689 | |||
Murphy Oil USA, Inc. 4.75%, 9/15/2029 | 285,000 | 300,832 | |||
Nabors Industries, Inc. 5.75%, 2/1/2025 | 370,000 | 333,159 | |||
Nationstar Mortgage Holdings, Inc. 8.13%, 7/15/2023 (a) | 600,000 | 636,558 | |||
Navient Corp. 6.50%, 6/15/2022 | 895,000 | 973,241 | |||
NCL Corp., Ltd. 3.63%, 12/15/2024 (a) | 615,000 | 624,016 | |||
Netflix, Inc.: | |||||
5.38%, 11/15/2029 (a) | 240,000 | 255,773 | |||
5.88%, 2/15/2025 | 410,000 | 458,319 | |||
New York Life Global Funding 2.30%, 6/10/2022 (a) | 1,555,000 | 1,567,767 | |||
Nexstar Broadcasting, Inc. 5.63%, 7/15/2027 (a) | 310,000 | 327,031 | |||
NFP Corp. 6.88%, 7/15/2025 (a) | 990,000 | 991,673 | |||
NGL Energy Partners L.P./NGL Energy Finance Corp. 7.50%, 4/15/2026 (a) | 250,000 | 242,618 | |||
NRG Energy, Inc. 5.25%, 6/15/2029 (a) | 285,000 | 309,074 | |||
NuStar Logistics L.P. 6.00%, 6/1/2026 | 510,000 | 540,156 | |||
NUVEEN FINANCE LLC 4.13%, 11/1/2024 (a) | 3,045,000 | 3,298,009 | |||
NVA Holdings, Inc. 6.88%, 4/1/2026 (a) | 430,000 | 468,915 | |||
Oasis Petroleum, Inc.: | |||||
6.25%, 5/1/2026 (a) | 330,000 | 275,831 | |||
6.88%, 3/15/2022 | 500,000 | 485,670 | |||
Panther BF Aggregator 2 L.P./Panther Finance Co., Inc.: | |||||
6.25%, 5/15/2026 (a) | 440,000 | 475,508 | |||
8.50%, 5/15/2027 (a) | 225,000 | 239,076 | |||
Par Petroleum LLC/Petroleum Finance Corp. 7.75%, 12/15/2025 (a) | 750,000 | 777,097 | |||
Parsley Energy LLC/Parsley Finance Corp. 5.63%, 10/15/2027 (a) | 715,000 | 756,656 | |||
Peabody Energy Corp. 6.00%, 3/31/2022 (a) | 638,000 | 626,210 | |||
Penn National Gaming, Inc. 5.63%, 1/15/2027 (a) | 795,000 | 842,748 | |||
Penske Truck Leasing Co. L.P./PTL Finance Corp. 4.20%, 4/1/2027 (a) | 675,000 | 720,887 | |||
Performance Food Group, Inc. 5.50%, 10/15/2027 (a) | 575,000 | 613,841 | |||
PetSmart, Inc.: |
Table of Contents
Security Description | Principal Amount | Value | |||
5.88%, 6/1/2025 (a) | $307,000 | $313,508 | |||
7.13%, 3/15/2023 (a) | 390,000 | 382,372 | |||
Pilgrim's Pride Corp. 5.88%, 9/30/2027 (a) | 945,000 | 1,021,715 | |||
Polaris Intermediate Corp. PIK, 8.50%, 12/1/2022 (a) | 200,000 | 186,036 | |||
Post Holdings, Inc.: | |||||
5.50%, 3/1/2025 (a) | 730,000 | 765,697 | |||
5.50%, 12/15/2029 (a) | 140,000 | 149,458 | |||
Prime Security Services Borrower LLC/Prime Finance, Inc. 9.25%, 5/15/2023 (a) | 400,000 | 419,228 | |||
QEP Resources, Inc. 5.25%, 5/1/2023 | 755,000 | 750,696 | |||
Radiate Holdco LLC/Radiate Finance, Inc. 6.88%, 2/15/2023 (a) | 465,000 | 475,374 | |||
Resideo Funding, Inc. 6.13%, 11/1/2026 (a) | 680,000 | 679,946 | |||
Riverbed Technology, Inc. 8.88%, 3/1/2023 (a) | 255,000 | 148,693 | |||
Roper Technologies, Inc. 4.20%, 9/15/2028 | 1,505,000 | 1,649,630 | |||
Sabine Pass Liquefaction LLC 5.00%, 3/15/2027 | 1,485,000 | 1,637,272 | |||
Santander Holdings USA, Inc. 3.40%, 1/18/2023 | 1,670,000 | 1,712,652 | |||
Schweitzer-Mauduit International, Inc. 6.88%, 10/1/2026 (a) | 475,000 | 512,753 | |||
Scientific Games International, Inc.: | |||||
5.00%, 10/15/2025 (a) | 580,000 | 607,753 | |||
7.00%, 5/15/2028 (a) | 90,000 | 96,575 | |||
7.25%, 11/15/2029 (a) | 215,000 | 233,507 | |||
8.25%, 3/15/2026 (a) | 225,000 | 248,013 | |||
Scotts Miracle-Gro Co 4.50%, 10/15/2029 (a) | 440,000 | 449,134 | |||
Scripps Escrow, Inc. 5.88%, 7/15/2027 (a) | 280,000 | 293,191 | |||
Select Medical Corp. 6.25%, 8/15/2026 (a) | 860,000 | 930,769 | |||
ServiceMaster Co. LLC 5.13%, 11/15/2024 (a) | 780,000 | 808,743 | |||
Sirius XM Radio, Inc.: | |||||
5.38%, 7/15/2026 (a) | 695,000 | 739,397 | |||
5.50%, 7/1/2029 (a) | 340,000 | 367,931 | |||
Six Flags Entertainment Corp. 4.88%, 7/31/2024 (a) | 930,000 | 964,131 | |||
Smithfield Foods, Inc. 4.25%, 2/1/2027 (a) | 1,620,000 | 1,682,451 | |||
Southern California Edison Co. 4.00%, 4/1/2047 | 825,000 | 867,760 | |||
Spectrum Brands, Inc. 5.00%, 10/1/2029 (a) | 370,000 | 382,402 | |||
Springleaf Finance Corp.: |
Security Description | Principal Amount | Value | |||
5.38%, 11/15/2029 | $250,000 | $261,038 | |||
6.63%, 1/15/2028 | 125,000 | 140,944 | |||
7.13%, 3/15/2026 | 324,000 | 374,884 | |||
Sprint Capital Corp. 6.88%, 11/15/2028 | 1,270,000 | 1,373,149 | |||
Sprint Corp. 7.13%, 6/15/2024 | 1,355,000 | 1,460,162 | |||
SS&C Technologies, Inc. 5.50%, 9/30/2027 (a) | 765,000 | 815,911 | |||
Staples, Inc.: | |||||
7.50%, 4/15/2026 (a) | 450,000 | 468,194 | |||
10.75%, 4/15/2027 (a) | 150,000 | 152,718 | |||
Star Merger Sub, Inc. 6.88%, 8/15/2026 (a) | 285,000 | 314,574 | |||
Stevens Holding Co., Inc. 6.13%, 10/1/2026 (a) | 405,000 | 442,503 | |||
SunCoke Energy Partners L.P./SunCoke Energy Partners Finance Corp. 7.50%, 6/15/2025 (a) | 880,000 | 845,750 | |||
Sunoco L.P./Sunoco Finance Corp.: | |||||
6.00%, 4/15/2027 | 300,000 | 319,647 | |||
Series WI, 5.50%, 2/15/2026 | 570,000 | 592,065 | |||
Sysco Corp. 3.25%, 7/15/2027 | 1,595,000 | 1,669,678 | |||
Talen Energy Supply LLC 6.63%, 1/15/2028 (a) | 335,000 | 340,611 | |||
Tapstone Energy LLC/Tapstone Energy Finance Corp. 9.75%, 6/1/2022 (a) | 225,000 | 1,352 | |||
Targa Resources Partners L.P./Targa Resources Partners Finance Corp.: | |||||
5.50%, 3/1/2030 (a) | 255,000 | 262,372 | |||
5.88%, 4/15/2026 | 615,000 | 654,606 | |||
6.50%, 7/15/2027 (a) | 200,000 | 219,180 | |||
Tempo Acquisition LLC/Tempo Acquisition Finance Corp. 6.75%, 6/1/2025 (a) | 1,110,000 | 1,146,907 | |||
Tempur Sealy International, Inc. 5.50%, 6/15/2026 | 937,000 | 988,038 | |||
Tenet Healthcare Corp.: | |||||
4.88%, 1/1/2026 (a) | 545,000 | 570,937 | |||
5.13%, 11/1/2027 (a) | 230,000 | 242,859 | |||
6.25%, 2/1/2027 (a) | 610,000 | 658,282 | |||
7.00%, 8/1/2025 | 560,000 | 591,590 | |||
TerraForm Power Operating LLC 4.25%, 1/31/2023 (a) | 535,000 | 551,425 | |||
T-Mobile USA, Inc. 4.50%, 2/1/2026 | 1,405,000 | 1,446,771 | |||
TransDigm, Inc.: | |||||
5.50%, 11/15/2027 (a) | 360,000 | 364,176 | |||
6.25%, 3/15/2026 (a) | 675,000 | 731,889 | |||
6.38%, 6/15/2026 | 430,000 | 457,533 |
Table of Contents
Security Description | Principal Amount | Value | |||
Transocean Guardian, Ltd. 5.88%, 1/15/2024 (a) | $195,800 | $200,033 | |||
Transocean Poseidon, Ltd. 6.88%, 2/1/2027 (a) | 900,000 | 952,245 | |||
Transocean Proteus, Ltd. 6.25%, 12/1/2024 (a) | 350,000 | 361,543 | |||
Transocean, Inc. 7.25%, 11/1/2025 (a) | 355,000 | 349,320 | |||
Trident Merger Sub, Inc. 6.63%, 11/1/2025 (a) | 410,000 | 369,078 | |||
Triumph Group, Inc.: | |||||
6.25%, 9/15/2024 (a) | 160,000 | 168,342 | |||
7.75%, 8/15/2025 | 547,000 | 571,774 | |||
Twin River Worldwide Holdings, Inc. 6.75%, 6/1/2027 (a) | 670,000 | 703,326 | |||
Uber Technologies, Inc.: | |||||
7.50%, 9/15/2027 (a) | 210,000 | 215,760 | |||
8.00%, 11/1/2026 (a) | 385,000 | 401,078 | |||
Union Pacific Corp. 4.30%, 3/1/2049 | 1,590,000 | 1,838,422 | |||
United Rentals North America, Inc.: | |||||
5.25%, 1/15/2030 | 70,000 | 75,335 | |||
6.50%, 12/15/2026 | 815,000 | 896,899 | |||
Univision Communications, Inc. 5.13%, 5/15/2023 (a) | 185,000 | 184,880 | |||
USA Compression Partners L.P./USA Compression Finance Corp. 6.88%, 9/1/2027 | 1,065,000 | 1,112,893 | |||
Verizon Communications, Inc.: | |||||
4.02%, 12/3/2029 | 1,541,000 | 1,723,393 | |||
4.27%, 1/15/2036 | 765,000 | 866,072 | |||
Verscend Escrow Corp. 9.75%, 8/15/2026 (a) | 760,000 | 833,074 | |||
Viking Cruises, Ltd. 5.88%, 9/15/2027 (a) | 1,040,000 | 1,111,802 | |||
Vine Oil & Gas L.P./Vine Oil & Gas Finance Corp. 8.75%, 4/15/2023 (a) | 230,000 | 112,700 | |||
Viper Energy Partners L.P. 5.38%, 11/1/2027 (a) | 365,000 | 380,513 | |||
Vistra Operations Co. LLC 5.63%, 2/15/2027 (a) | 295,000 | 310,992 | |||
Vizient, Inc. 6.25%, 5/15/2027 (a) | 720,000 | 774,180 | |||
Waste Management, Inc. 3.45%, 6/15/2029 | 1,620,000 | 1,730,938 | |||
Waste Pro USA, Inc. 5.50%, 2/15/2026 (a) | 820,000 | 855,096 | |||
Weatherford International, Ltd. 11.00%, 12/1/2024 (a) | 14,000 | 15,193 | |||
WellCare Health Plans, Inc.: | |||||
5.25%, 4/1/2025 | 575,000 | 599,650 | |||
5.38%, 8/15/2026 (a) | 730,000 | 778,968 | |||
Wells Fargo & Co.: |
Security Description | Principal Amount | Value | |||
3.07%, 1/24/2023 | $1,535,000 | $1,566,514 | |||
Series MTN, 3 Month USD LIBOR + 1.31%, 3.58%, 5/22/2028 (b) | 1,585,000 | 1,684,522 | |||
Welltower, Inc. 4.13%, 3/15/2029 | 3,325,000 | 3,634,690 | |||
West Street Merger Sub, Inc. 6.38%, 9/1/2025 (a) | 325,000 | 323,430 | |||
WeWork Cos., Inc. 7.88%, 5/1/2025 (a) | 215,000 | 176,549 | |||
Whiting Petroleum Corp. 6.63%, 1/15/2026 | 750,000 | 509,655 | |||
William Carter Co. 5.63%, 3/15/2027 (a) | 485,000 | 520,478 | |||
Williams Cos., Inc. 3.75%, 6/15/2027 | 1,510,000 | 1,575,458 | |||
Willis North America, Inc. 3.88%, 9/15/2049 | 1,940,000 | 1,944,016 | |||
Wolverine Escrow LLC 9.00%, 11/15/2026 (a) | 230,000 | 241,049 | |||
WPX Energy, Inc. 5.25%, 10/15/2027 | 435,000 | 458,377 | |||
WRKCo, Inc. 3.75%, 3/15/2025 | 1,460,000 | 1,537,351 | |||
Yum! Brands, Inc. 4.75%, 1/15/2030 (a) | 375,000 | 394,208 | |||
281,758,683 | |||||
TOTAL CORPORATE BONDS & NOTES (Cost $536,915,975) | 557,862,550 | ||||
ASSET-BACKED SECURITIES — 2.3% | |||||
Aaset Trust Series 2019-2, Class A, 3.38%, 10/16/2039 (a) | 1,972,200 | 1,954,553 | |||
AccessLex Institute Series 2004-2, Class A3, 3 Month USD LIBOR + 0.19%, 2.13%, 10/25/2024 (b) | 1,270,403 | 1,261,450 | |||
Aegis Asset Backed Securities Trust Series 2006-1, Class A2, 1 Month USD LIBOR + 0.17%, 1.96%, 1/25/2037 (b) | 27,372,258 | 22,574,465 | |||
Ajax Mortgage Loan Trust Series 2017-C, Class A, 3.75%, 7/25/2060 (a) (e) | 5,785,311 | 5,819,440 | |||
BDS, Ltd. Series 2019-FL4, Class A, 1 Month USD LIBOR + 1.10%, 2.84%, 8/15/2036 (a) (b) | 2,320,000 | 2,315,622 | |||
CLI Funding VI LLC Series 2019-1A, Class A, 3.71%, 5/18/2044 (a) | 1,411,760 | 1,404,086 |
Table of Contents
Security Description | Principal Amount | Value | |||
CLNC, Ltd. Series 2019-FL1, Class A, 1 Month USD LIBOR + 1.25%, 2.98%, 8/20/2035 (a) (b) | $3,527,000 | $3,527,000 | |||
DT Auto Owner Trust Series 2019-2A, Class A, 2.85%, 9/15/2022 (a) | 905,842 | 908,781 | |||
GAIA Aviation, Ltd. Series 2019-1, Class A, 3.97%, 12/15/2044 (a) (e) | 1,748,008 | 1,736,700 | |||
GPMT, Ltd. Series 2019-FL2, Class A, 1 Month USD LIBOR + 1.30%, 3.04%, 2/22/2036 (a) (b) | 3,168,000 | 3,168,041 | |||
GSAA Home Equity Trust Series 2007-10, Class A2A, 6.50%, 11/25/2037 | 2,491,624 | 1,622,951 | |||
JOL Air, Ltd. Series 2019-1, Class A, 3.97%, 4/15/2044 (a) | 2,810,960 | 2,844,907 | |||
LoanCore Issuer, Ltd. Series 2019-CRE2, Class AS, 1 Month USD LIBOR + 1.50%, 3.24%, 5/15/2036 (a) (b) | 3,382,000 | 3,382,000 | |||
Marlette Funding Trust Series 2019-2A, Class A, 3.13%, 7/16/2029 (a) | 1,380,938 | 1,389,839 | |||
Navient Private Education Refi Loan Trust Series 2019-CA, Class A1, 2.82%, 2/15/2068 (a) | 904,799 | 908,773 | |||
Pretium Mortgage Credit Partners I LLC Series 2019-NPL2, Class A1, 3.84%, 12/25/2058 (a) (e) | 6,343,986 | 6,356,010 | |||
Sofi Consumer Loan Program LLC Series 2017-6, Class A2, 2.82%, 11/25/2026 (a) | 1,100,560 | 1,104,430 | |||
START Ireland Series 2019-1, Class A, 4.09%, 3/15/2044 (a) | 946,429 | 958,645 | |||
Structured Asset Investment Loan Trust Series 2006-BNC2, Class A5, 1 Month USD LIBOR + 0.16%, 1.95%, 5/25/2036 (b) | 3,198,481 | 3,127,707 | |||
Structured Asset Securities Corp. Mortgage Loan Trust Series 2006-BC4, Class A4, 1 Month USD LIBOR + 0.17%, 1.96%, 12/25/2036 (b) | 1,986,923 | 1,927,200 | |||
Textainer Marine Containers VII, Ltd. Series 2019-1A, Class A, 3.96%, 4/20/2044 (a) | 1,420,000 | 1,424,927 | |||
TRTX Issuer, Ltd. Series 2019-FL3, Class AS, 1 Month USD LIBOR + 1.45%, 3.19%, 9/15/2034 (a) (b) | 3,527,000 | 3,524,796 |
Security Description | Principal Amount | Value | |||
Vericrest Opportunity Loan Trust Series 2019-NPL3, Class A1, 3.97%, 3/25/2049 (a) (e) | $1,720,693 | $1,729,524 | |||
VOLT LXXX LLC Series 2019-NPL6, Class A1A, ABS, 3.23%, 10/25/2049 (a) (e) | 2,802,260 | 2,802,232 | |||
TOTAL ASSET-BACKED SECURITIES (Cost $77,048,209) | 77,774,079 | ||||
FOREIGN GOVERNMENT OBLIGATIONS — 0.9% | |||||
BRAZIL — 0.1% | |||||
Banco Nacional de Desenvolvimento Economico e Social Series REGS, 4.75%, 5/9/2024 | 1,200,000 | 1,275,108 | |||
Itau Unibanco Holding SA Series REGS, 5 Year CMT + 3.98%, 6.13%, 12/12/2022 (b) | 1,300,000 | 1,355,965 | |||
2,631,073 | |||||
CANADA — 0.0% (c) | |||||
Masonite International Corp. 5.75%, 9/15/2026 (a) | 490,000 | 520,159 | |||
COLOMBIA — 0.1% | |||||
Colombia Government International Bond 2.63%, 3/15/2023 | 2,400,000 | 2,414,880 | |||
COSTA RICA — 0.1% | |||||
Costa Rica Government International Bond Series REGS, 10.00%, 8/1/2020 | 2,400,000 | 2,484,576 | |||
DOMINICAN REPUBLIC — 0.0% (c) | |||||
Dominican Republic International Bond Series 144A, 6.40%, 6/5/2049 (a) | 1,000,000 | 1,096,920 | |||
INDONESIA — 0.2% | |||||
Perusahaan Penerbit SBSN Indonesia III: | |||||
4.15%, 3/29/2027 (a) | 4,500,000 | 4,841,100 | |||
Series REGS, 3.75%, 3/1/2023 | 700,000 | 728,308 | |||
Series REGS, 4.15%, 3/29/2027 | 2,000,000 | 2,151,600 | |||
7,721,008 | |||||
ISRAEL — 0.0% (c) | |||||
Israel Government International Bond 2.88%, 3/16/2026 | 1,300,000 | 1,357,213 |
Table of Contents
Security Description | Principal Amount | Value | |||
LUXEMBOURG — 0.0% (c) | |||||
Adecoagro SA Series REGS, 6.00%, 9/21/2027 | $150,000 | $150,644 | |||
MEXICO — 0.1% | |||||
Banco Nacional de Costa Rica Series REGS, 5 year CMT + 3.00%, 3.80%, 8/11/2026 | 2,000,000 | 2,026,200 | |||
PANAMA — 0.1% | |||||
Panama Government International Bond 4.00%, 9/22/2024 | 4,000,000 | 4,281,040 | |||
PHILIPPINES — 0.2% | |||||
Philippine Government International Bond 4.20%, 1/21/2024 | 5,000,000 | 5,390,850 | |||
THAILAND — 0.0% (c) | |||||
Export Import Bank of Thailand: | |||||
Series EMTN, 3 Month USD LIBOR + 0.85%, 2.76%, 5/23/2024 (b) | 900,000 | 903,834 | |||
Series EMTN, 3 Month USD LIBOR + 0.90%, 2.80%, 11/20/2023 (b) | 420,000 | 422,747 | |||
1,326,581 | |||||
TOTAL FOREIGN GOVERNMENT OBLIGATIONS (Cost $30,378,021) | 31,401,144 |
Shares | |||
COMMON STOCKS — 0.0% (c) | |||
UNITED STATES — 0.0% (c) | |||
Weatherford International PLC (f) | 2,072 | 57,902 |
Principal Amount | |||
SENIOR FLOATING RATE LOANS — 2.1% | |||
AEROSPACE & DEFENSE — 0.1% | |||
TransDigm, Inc. Senior Secured 2018 Term Loan E, 1 Month USD LIBOR + 2.50%, 4.30%, 5/30/2025 | 1,137,598 | 1,142,513 | |
WP CPP Holdings, LLC Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 3.75%, 5.68%, 4/30/2025 | 685,000 | 681,575 | |
1,824,088 |
Principal Amount | Value | |||
AUTO COMPONENTS — 0.0% (c) | ||||
Mavis Tire Express Services Corp.: | ||||
Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 3.25%, 5.05%, 3/20/2025 | $254,568 | $248,840 | ||
Senior Secured 2018 Delayed Draw Term Loan, 1 Month USD LIBOR + 3.25%, 3.46%, 3/20/2025 | 7,287 | 7,123 | ||
Panther BF Aggregator 2 L.P. Senior Secured USD Term Loan B, 1 Month USD LIBOR + 3.50%, 5.30%, 4/30/2026 | 285,179 | 286,695 | ||
542,658 | ||||
BUILDING PRODUCTS — 0.0% (c) | ||||
NCI Building Systems, Inc. Senior Secured 2018 Term Loan, 1 Month USD LIBOR + 3.75%, 5.49%, 4/12/2025 | 180,863 | 181,031 | ||
CAPITAL MARKETS — 0.0% (c) | ||||
Deerfield Dakota Holdings LLC. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 3.25%, 5.05%, 2/13/2025 | 285,970 | 285,689 | ||
CASINO SERVICES — 0.0% (c) | ||||
Stars Group Holdings B.V. (The) Senior Secured 2018 USD Incremental Term Loan, 3 Month USD LIBOR + 3.50%, 5.44%, 7/10/2025 | 678,709 | 685,656 | ||
CHEMICALS — 0.0% (c) | ||||
Avantor, Inc. Senior Secured 2017 1st Lien Term Loan, 1 Month USD LIBOR + 3.00%, 4.80%, 11/21/2024 | 159,432 | 161,093 | ||
Messer Industries Gmbh Senior Secured 2018 USD Term Loan, 3 Month USD LIBOR + 2.50%, 4.44%, 3/1/2026 | 142,888 | 143,850 | ||
Starfruit Finco B.V. Senior Secured 2018 USD Term Loan B, 1 Month USD LIBOR + 3.25%, 4.96%, 10/1/2025 | 174,908 | 175,273 | ||
480,216 |
Table of Contents
Principal Amount | Value | |||
COMMERCIAL SERVICES — 0.0% (c) | ||||
Trans Union, LLC Senior Secured 2019 Term Loan B5, 1 Month USD LIBOR + 1.75%, 3.55%, 11/16/2026 | $203,942 | $205,020 | ||
Wand NewCo 3, Inc. Senior Secured 2019 1st Lien Term Loan, 1 Month USD LIBOR + 3.50%, 5.30%, 2/5/2026 | 699,286 | 706,062 | ||
911,082 | ||||
COMMERCIAL SERVICES & SUPPLIES — 0.1% | ||||
Allied Universal Holdco LLC: | ||||
Senior Secured 2019 Delayed Draw Term Loan, 1 Month USD LIBOR + 4.25%, 6.05%, 7/10/2026 | 62,613 | 63,069 | ||
Senior Secured 2019 Term Loan B, 1 Month USD LIBOR + 4.25%, 6.05%, 7/10/2026 | 632,387 | 636,998 | ||
Aramark Services, Inc. Senior Secured 2019 Term Loan B4, 1/27/2027 (g) | 315,000 | 317,068 | ||
Emerald TopCo, Inc. Senior Secured Term Loan, 1 Month USD LIBOR + 3.50%, 5.30%, 7/24/2026 | 334,162 | 336,513 | ||
Prime Security Services Borrower LLC Senior Secured 2019 Term Loan B1, 1 Month USD LIBOR + 3.25%, 4.94%, 9/23/2026 | 264,338 | 265,478 | ||
Refinitiv US Holdings, Inc. Senior Secured 2018 USD Term Loan, 1 Month USD LIBOR + 3.75%, 5.05%, 10/1/2025 | 717,413 | 724,408 | ||
Verscend Holding Corp. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 4.50%, 6.30%, 8/27/2025 | 1,119,940 | 1,130,204 | ||
3,473,738 | ||||
COMPUTER SERVICES — 0.0% (c) | ||||
Dell International LLC Senior Secured 2019 Term Loan B, 1 Month USD LIBOR + 2.00%, 3.80%, 9/19/2025 | 575,000 | 579,747 |
Principal Amount | Value | |||
CONSTRUCTION & ENGINEERING — 0.0% (c) | ||||
Dynasty Acquisition Co., Inc. Senior Secured 2019 Term Loan B1, 3 Month USD LIBOR + 4.00%, 5.94%, 4/6/2026 | $334,093 | $336,832 | ||
CONSTRUCTION MATERIALS — 0.0% (c) | ||||
Forterra Finance, Inc. Senior Secured 2017 Term Loan B, 1 Month USD LIBOR + 3.00%, 4.80%, 10/25/2023 | 227,992 | 223,623 | ||
CONTAINERS & PACKAGING — 0.1% | ||||
Berry Global, Inc. Senior Secured USD Term Loan U, 1 Month USD LIBOR + 2.50%, 4.22%, 7/1/2026 | 1,411,735 | 1,417,522 | ||
Reynolds Group Holdings, Inc. Senior Secured USD 2017 Term Loan, 1 Month USD LIBOR + 2.75%, 4.55%, 2/5/2023 | 563,079 | 565,546 | ||
1,983,068 | ||||
CONTAINERS-PAPER/PLASTIC — 0.0% (c) | ||||
Flex Acquisition Company, Inc. Senior Secured 1st Lien Term Loan, 12/29/2023 (g) | 350,000 | 348,031 | ||
DIVERSIFIED FINANCIAL SERVICES — 0.1% | ||||
Edelman Financial Center LLC Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 3.25%, 5.04%, 7/21/2025 | 396,000 | 398,928 | ||
UFC Holdings LLC Senior Secured 2019 Term Loan, 1 Month USD LIBOR + 3.25%, 5.05%, 4/29/2026 | 1,411,416 | 1,422,686 | ||
1,821,614 | ||||
DIVERSIFIED OPERATIONS — 0.0% (c) | ||||
Travelport Finance (Luxembourg) S.a.r.l. Senior Secured 2019 Term Loan, 3 Month USD LIBOR + 5.00%, 6.94%, 5/29/2026 | 229,425 | 215,201 |
Table of Contents
Principal Amount | Value | |||
DIVERSIFIED TELECOMMUNICATION SERVICES — 0.1% | ||||
Intelsat Jackson Holdings S.A. Senior Secured 2017 Term Loan B3, 6 Month USD LIBOR + 3.75%, 5.68%, 11/27/2023 | $177,174 | $177,791 | ||
Level 3 Financing, Inc. Senior Secured 2019 Term Loan B, 1 Month USD LIBOR + 1.75%, 3.55%, 3/1/2027 | 957,531 | 962,021 | ||
Telesat Canada Senior Secured Term Loan B5, 3 Month USD LIBOR + 2.75%, 4.63%, 12/7/2026 | 220,000 | 221,421 | ||
1,361,233 | ||||
ELECTRIC-GENERATION — 0.0% (c) | ||||
1199169 B.C. Unlimited Liability Company Senior Secured 2019 Term Loan B2, 3 Month USD LIBOR + 4.00%, 5.94%, 4/6/2026 | 179,620 | 181,092 | ||
Edgewater Generation, L.L.C. Senior Secured Term Loan, 1 Month USD LIBOR + 3.75%, 5.55%, 12/13/2025 | 146,681 | 141,089 | ||
322,181 | ||||
ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS — 0.0% (c) | ||||
GrafTech Finance, Inc. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 3.50%, 5.30%, 2/12/2025 | 325,302 | 324,896 | ||
ENTERTAINMENT — 0.0% (c) | ||||
NASCAR Holdings, Inc. Senior Secured Term Loan B, 3 Month USD LIBOR + 2.75%, 4.49%, 10/19/2026 | 340,468 | 344,726 | ||
FINANCIAL SERVICES — 0.0% (c) | ||||
GTCR Valor Companies, Inc. Senior Secured 2017 Term Loan B1, 1 Month USD LIBOR + 2.75%, 4.55%, 6/16/2023 | 714,344 | 716,802 | ||
FOOD & STAPLES RETAILING — 0.1% | ||||
BJ's Wholesale Club, Inc. Senior Secured 2017 1st Lien Term Loan, 1 Month USD LIBOR + 2.75%, 4.49%, 2/3/2024 | 844,017 | 850,875 |
Principal Amount | Value | |||
US Foods, Inc. Senior Secured 2019 Term Loan B, 1 Month USD LIBOR + 2.00%, 3.80%, 9/13/2026 | $1,401,488 | $1,409,595 | ||
2,260,470 | ||||
FOOD PRODUCTS — 0.1% | ||||
Albertsons, LLC Senior Secured 2019 Term Loan B7, 1 Month USD LIBOR + 2.75%, 4.55%, 11/17/2025 | 296,588 | 299,626 | ||
JBS USA Lux S.A. Senior Secured 2019 Term Loan B, 1 Month USD LIBOR + 2.50%, 3.80%, 5/1/2026 | 1,408,411 | 1,423,079 | ||
1,722,705 | ||||
FOOD-MISC/DIVERSIFIED — 0.0% (c) | ||||
Hearthside Food Solutions LLC Senior Secured 2018 Term Loan B, Beverage, Food and Tobacco, 5/23/2025 (g) | 184,532 | 183,240 | ||
HEALTH CARE PROVIDERS & SERVICES — 0.2% | ||||
Athenahealth, Inc. Senior Secured 2019 Term Loan B, 3 Month USD LIBOR + 4.50%, 6.40%, 2/11/2026 | 692,878 | 697,496 | ||
Auris Luxembourg III S.a.r.l. Senior Secured 2019 USD Term Loan B2, 1 Month USD LIBOR + 3.75%, 2/27/2026 | 803,926 | 809,288 | ||
CHG Healthcare Services, Inc. Senior Secured 2017 1st Lien Term Loan B, 1 Month USD LIBOR + 3.00%, 4.80%, 6/7/2023 | 702,281 | 707,988 | ||
Envision Healthcare Corp. Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 3.75%, 5.55%, 10/10/2025 | 198,838 | 170,586 | ||
Gentiva Health Services, Inc. Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 3.75%, 5.56%, 7/2/2025 | 1,396,389 | 1,405,556 | ||
RegionalCare Hospital Partners Holdings, Inc. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 4.50%, 6.30%, 11/17/2025 | 562,896 | 568,173 |
Table of Contents
Principal Amount | Value | |||
Select Medical Corporation Senior Secured 2017 Term Loan B, 3 Month USD LIBOR + 2.50%, 4.58%, 3/6/2025 | $1,829 | $1,835 | ||
Sotera Health Holdings, LLC Senior Secured 2019 Term Loan, 3 Month USD LIBOR + 4.50%, 6.29%, 12/11/2026 | 565,000 | 568,003 | ||
Zelis Healthcare Corporation , 3 Month USD LIBOR + 4.75%, 6.55%, 9/30/2026 | 105,000 | 105,711 | ||
5,034,636 | ||||
HEALTH CARE TECHNOLOGY — 0.0% (c) | ||||
Change Healthcare Holdings LLC. Senior Secured 2017 Term Loan B, 1 Month USD LIBOR + 2.50%, 4.30%, 3/1/2024 | 679,933 | 683,333 | ||
HOTELS, RESTAURANTS & LEISURE — 0.2% | ||||
1011778 B.C. Unlimited Liability Co. Senior Secured Term Loan B4, 1 Month USD LIBOR + 1.75%, 3.55%, 11/19/2026 | 1,330,000 | 1,333,152 | ||
Alterra Mountain Company Senior Secured Term Loan B1, 1 Month USD LIBOR + 2.75%, 4.55%, 7/31/2024 | 999,830 | 1,009,828 | ||
Caesars Resort Collection LLC: | ||||
Senior Secured 2017 1st Lien Term Loan B, 1 Month USD LIBOR + 2.75%, 4.55%, 12/23/2024 | 1,137,099 | 1,140,772 | ||
Senior Secured Exit Term Loan, 1 Month USD LIBOR + 2.00%, 3.80%, 10/7/2024 | 596,403 | 601,302 | ||
ClubCorp Club Operations, Inc. Senior Secured 2017 Term Loan B, 3 Month USD LIBOR + 2.75%, 4.69%, 9/18/2024 | 226,223 | 214,983 | ||
Golden Nugget, Inc. Senior Secured 2017 Incremental Term Loan B, 3 Month USD LIBOR + 2.75%, 4.72%, 10/4/2023 | 282,346 | 283,694 | ||
LTF Merger Sub, Inc. Senior Secured 2017 Term Loan B, 3 Month USD LIBOR + 2.75%, 4.66%, 6/10/2022 | 599,866 | 602,398 |
Principal Amount | Value | |||
MGM Growth Properties Operating Partnership LP Senior Secured 2016 Term Loan B, 1 Month USD LIBOR + 2.00%, 3.80%, 3/21/2025 | $660,367 | $664,263 | ||
Penn National Gaming, Inc. Senior Secured 2018 1st Lien Term Loan B, 1 Month USD LIBOR + 2.25%, 4.05%, 10/15/2025 | 233,233 | 234,516 | ||
Scientific Games International, Inc. Senior Secured 2018 Term Loan B5, 1 Month USD LIBOR + 2.75%, 4.59%, 8/14/2024 | 601,811 | 604,279 | ||
6,689,187 | ||||
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS — 0.0% (c) | ||||
Calpine Corporation Senior Secured Term Loan B9, 3 Month USD LIBOR + 2.75%, 4.20%, 4/5/2026 | 987,765 | 994,926 | ||
INSURANCE — 0.1% | ||||
Acrisure LLC Senior Secured 2017 Term Loan B, 3 Month USD LIBOR + 4.25%, 6.19%, 11/22/2023 | 843,857 | 847,549 | ||
Assured Partners, Inc. Senior Secured 2017 1st Lien Add-On Term Loan, 1 Month USD LIBOR + 3.50%, 5.30%, 10/22/2024 | 1,055,133 | 1,060,013 | ||
Sedgwick Claims Management Services, Inc. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 3.25%, 5.05%, 12/31/2025 | 845,353 | 846,938 | ||
2,754,500 | ||||
INTERACTIVE MEDIA & SERVICES — 0.0% (c) | ||||
GTT Communications, Inc. Senior Secured 2018 USD Term Loan B, 1 Month USD LIBOR + 2.75%, 4.55%, 5/31/2025 | 217,342 | 182,878 | ||
ION Trading Technologies S.a.r.l. Senior Secured USD Incremental Term Loan B, 3 Month USD LIBOR + 4.00%, 6.06%, 11/21/2024 | 148,399 | 142,463 | ||
325,341 |
Table of Contents
Principal Amount | Value | |||
IT SERVICES — 0.1% | ||||
Blackhawk Network Holdings, Inc Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 3.00%, 4.80%, 6/15/2025 | $708,466 | $709,794 | ||
TKC Holdings, Inc. Senior Secured 2017 1st Lien Term Loan, 1 Month USD LIBOR + 3.75%, 5.55%, 2/1/2023 | 863,556 | 805,266 | ||
Web.com Group, Inc. Senior Secured 2018 Term Loan B, 3 Month USD LIBOR + 3.75%, 5.49%, 10/10/2025 | 178,696 | 178,811 | ||
1,693,871 | ||||
LIFE SCIENCES TOOLS & SERVICES — 0.0% (c) | ||||
Jaguar Holding Company II Senior Secured 2018 Term Loan, 1 Month USD LIBOR + 2.50%, 4.30%, 8/18/2022 | 599,374 | 603,393 | ||
Parexel International Corp. Senior Secured Term Loan B, 1 Month USD LIBOR + 2.75%, 4.55%, 9/27/2024 | 172,297 | 169,497 | ||
772,890 | ||||
MACHINERY — 0.1% | ||||
Filtration Group Corporation Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 3.00%, 4.80%, 3/29/2025 | 1,399,175 | 1,406,759 | ||
Titan Acquisition, Ltd. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 3.00%, 4.80%, 3/28/2025 | 147,155 | 145,078 | ||
1,551,837 | ||||
MACHINERY-CONSTRUCTION & MINING — 0.0% (c) | ||||
Brookfield WEC Holdings, Inc. Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 3.50%, 5.30%, 8/1/2025 | 954,625 | 962,677 | ||
Clear Channel Outdoor Holdings, Inc. Senior Secured Term Loan B, 1 Month USD LIBOR + 3.50%, 5.30%, 8/21/2026 | 69,825 | 70,330 | ||
1,033,007 |
Principal Amount | Value | |||
MEDIA — 0.2% | ||||
CSC Holdings LLC Senior Secured 2019 Term Loan B5, 1 Month USD LIBOR + 2.50%, 4.24%, 4/15/2027 | $1,411,382 | $1,419,906 | ||
NEP/NCP Holdco, Inc. Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 3.25%, 5.05%, 10/20/2025 | 272,250 | 268,166 | ||
Nexstar Broadcasting, Inc. Senior Secured 2019 Term Loan B4, 1 Month USD LIBOR + 2.75%, 4.45%, 9/18/2026 | 1,235,000 | 1,243,633 | ||
Rentpath, Inc. Senior Secured 2017 Term Loan, 3 Month USD LIBOR + 4.75%, 6.66%, 12/17/2021 | 361,363 | 201,214 | ||
Sinclair Television Group Inc. Senior Secured Term Loan B2B, 1 Month USD LIBOR + 2.50%, 4.24%, 9/30/2026 | 279,300 | 280,653 | ||
Virgin Media Bristol LLC Senior Secured USD Term Loan N, 1 Month USD LIBOR + 2.50%, 4.24%, 1/31/2028 | 1,348,421 | 1,358,622 | ||
4,772,194 | ||||
METAL-DIVERSIFIED — 0.0% (c) | ||||
Covia Holdings Corp. Senior Secured Term Loan, 3 Month USD LIBOR + 4.00%, 6.04%, 6/1/2025 | 170,335 | 132,236 | ||
METALS & MINING — 0.0% (c) | ||||
Aleris International, Inc. Senior Secured 2018 Term Loan, 1 Month USD LIBOR + 4.75%, 6.55%, 2/27/2023 | 704,658 | 706,420 | ||
MRI/MEDICAL DIAG IMAGING — 0.0% (c) | ||||
IQVIA Inc. Senior Secured 2018 USD Term Loan B3, 3 Month USD LIBOR + 1.75%, 3.69%, 6/11/2025 | 456,524 | 459,521 | ||
Radiology Partners Holdings LLC Senior Secured 2018 1st Lien Term Loan B, 3 Month USD LIBOR + 4.75%, 6.66%, 7/9/2025 | 595,228 | 599,199 | ||
1,058,720 |
Table of Contents
Principal Amount | Value | |||
OIL REFINING & MARKETING — 0.0% (c) | ||||
Gulf Finance LLC Senior Secured Term Loan B, 1 Month USD LIBOR + 5.25%, 7.04%, 8/25/2023 | $349,558 | $275,308 | ||
OIL, GAS & CONSUMABLE FUELS — 0.0% (c) | ||||
Calpine Corporation Senior Secured 2019 Term Loan B10, 1 Month USD LIBOR + 2.50%, 4.30%, 8/12/2026 | 79,800 | 80,393 | ||
EG America LLC. Senior Secured 2018 USD Term Loan, 3 Month USD LIBOR + 4.00%, 5.96%, 2/7/2025 | 188,170 | 187,798 | ||
268,191 | ||||
PHARMACEUTICALS — 0.1% | ||||
Bausch Health Companies Inc.: | ||||
Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 3.00%, 4.74%, 6/2/2025 | 423,809 | 426,767 | ||
Senior Secured Term Loan B, 1 Month USD LIBOR + 2.75%, 4.49%, 11/27/2025 | 981,750 | 988,195 | ||
Grifols Worldwide Operations USA, Inc. Senior Secured USD 2019 Term Loan B, 1 Month USD LIBOR + 2.00%, 3.74%, 11/15/2027 | 25,000 | 25,244 | ||
1,440,206 | ||||
PIPELINES — 0.0% (c) | ||||
Buckeye Partners, L.P. Senior Secured 2019 Term Loan B, 1 Month USD LIBOR + 2.75%, 4.44%, 11/1/2026 | 485,000 | 489,986 | ||
Lower Cadence Holdings LLC Senior Secured Term Loan B, 1 Month USD LIBOR + 4.00%, 5.80%, 5/22/2026 | 703,499 | 697,786 | ||
1,187,772 | ||||
REAL ESTATE — 0.0% (c) | ||||
ESH Hospitality, Inc. Senior Secured 2019 Term Loan B, 1 Month USD LIBOR + 2.00%, 3.80%, 9/18/2026 | 345,060 | 348,342 |
Principal Amount | Value | |||
REAL ESTATE INVESTMENT TRUSTS (REITS) — 0.1% | ||||
Forest City Enterprises, L.P. Senior Secured 2019 Term Loan B, 1 Month USD LIBOR + 3.50%, 5.30%, 12/8/2025 | $701,935 | $706,760 | ||
VICI Properties 1 LLC Senior Secured Replacement Term Loan B, 1 Month USD LIBOR + 2.00%, 3.79%, 12/20/2024 | 1,423,068 | 1,431,756 | ||
2,138,516 | ||||
REAL ESTATE MANAGEMENT & DEVELOPMENT — 0.0% (c) | ||||
Bright Bidco B.V. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 3.50%, 5.40%, 6/30/2024 | 255,359 | 151,939 | ||
RETAIL-RESTAURANTS — 0.0% (c) | ||||
IRB Holding Corp. Senior Secured 1st Lien Term Loan, 3 Month USD LIBOR + 3.25%, 5.22%, 2/5/2025 | 990,871 | 998,510 | ||
Whatabrands LLC Senior Secured Term Loan B, 1 Month USD LIBOR + 3.25%, 4.94%, 8/2/2026 | 309,225 | 311,379 | ||
1,309,889 | ||||
ROAD & RAIL — 0.0% (c) | ||||
Genesee & Wyoming Inc. (New) Senior Secured Term Loan, 3.91%, 11/6/2026 | 515,000 | 520,608 | ||
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT — 0.0% (c) | ||||
ON Semiconductor Corp. Senior Secured 2019 Term Loan B, 1 Month USD LIBOR + 2.00%, 3.80%, 9/19/2026 | 234,412 | 236,362 | ||
SOFTWARE — 0.3% | ||||
Almonde, Inc. Senior Secured USD 1st Lien Term Loan, 6 Month USD LIBOR + 3.50%, 5.70%, 6/13/2024 | 706,199 | 702,767 | ||
Applied Systems, Inc. Senior Secured 2017 1st Lien Term Loan, 3 Month USD LIBOR + 3.25%, 5.19%, 9/19/2024 | 617,270 | 620,307 | ||
Camelot U.S. Acquisition 1 Co. , 5.05%, 10/31/2026 | 190,000 | 191,472 |
Table of Contents
Principal Amount | Value | |||
DCert Buyer, Inc. Senior Secured 2019 Term Loan B, 1 Month USD LIBOR + 4.00%, 5.80%, 10/16/2026 | $545,000 | $547,725 | ||
Greeneden U.S. Holdings II LLC Senior Secured 2018 USD Term Loan B, 1 Month USD LIBOR + 3.25%, 5.05%, 12/1/2023 | 854,828 | 858,833 | ||
Hyland Software, Inc. Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 3.50%, 5.30%, 7/1/2024 | 960,196 | 967,023 | ||
Kronos, Inc. Senior Secured 2017 Term Loan B, 3 Month USD LIBOR + 3.00%, 4.91%, 11/1/2023 | 604,767 | 608,643 | ||
Mitchell International, Inc. Senior Secured 2017 1st Lien Term Loan, 1 Month USD LIBOR + 3.25%, 5.05%, 11/29/2024 | 359,086 | 356,899 | ||
Solera, Inc. Senior Secured USD Term Loan B, 1 Month USD LIBOR + 2.75%, 4.55%, 3/3/2023 | 848,377 | 851,096 | ||
Sophia L.P. Senior Secured 2017 Term Loan B, 3 Month USD LIBOR + 3.25%, 5.19%, 9/30/2022 | 788,354 | 791,173 | ||
SS&C Technologies, Inc. Senior Secured 2018 Term Loan B5, 1 Month USD LIBOR + 2.25%, 4.05%, 4/16/2025 | 967,616 | 975,338 | ||
Ultimate Software Group Inc(The) Senior Secured Term Loan B, 1 Month USD LIBOR + 3.75%, 5.55%, 5/4/2026 | 1,421,437 | 1,432,766 | ||
Vertafore, Inc. Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 3.25%, 5.05%, 7/2/2025 | 727,038 | 720,222 | ||
9,624,264 | ||||
SPECIALTY RETAIL — 0.0% (c) | ||||
PetSmart, Inc. Senior Secured Consenting Term Loan, 1 Month USD LIBOR + 4.00%, 5.74%, 3/11/2022 | 430,000 | 426,259 | ||
TELECOM SERVICES — 0.0% (c) | ||||
Avaya, Inc. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 4.25%, 5.99%, 12/15/2024 | 252,476 | 248,499 |
Principal Amount | Value | |||
Connect Finco Sarl , 12/11/2026 (g) | $175,000 | $176,299 | ||
Sprint Communications, Inc. Senior Secured 1st Lien Term Loan B, 1 Month USD LIBOR + 2.50%, 4.31%, 2/2/2024 | 428,520 | 425,520 | ||
850,318 | ||||
TELECOMMUNICATION EQUIP — 0.0% (c) | ||||
MLN US HoldCo LLC Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 4.50%, 6.19%, 11/30/2025 | 181,893 | 172,646 | ||
TELEVISION — 0.0% (c) | ||||
Gray Television, Inc. Senior Secured 2018 Term Loan C, 1 Month USD LIBOR + 2.50%, 4.20%, 1/2/2026 | 1,209,581 | 1,218,937 | ||
TRADING COMPANIES & DISTRIBUTORS — 0.0% (c) | ||||
HD Supply, Inc. Senior Secured Term Loan B5, 1 Month USD LIBOR + 1.75%, 3.55%, 10/17/2023 | 342,400 | 345,180 | ||
TRANSPORT-AIR FREIGHT — 0.0% (c) | ||||
WestJet Airlines, Ltd. Senior Secured Term Loan B, 1 Month USD LIBOR + 3.00%, 4.72%, 12/11/2026 | 640,000 | 646,573 | ||
TOTAL SENIOR FLOATING RATE LOANS (Cost $70,418,100) | 70,492,935 | |||
U.S. GOVERNMENT AGENCY OBLIGATIONS — 44.0% | ||||
Federal Home Loan Mortgage Corp.: | ||||
2.50%, 4/1/2033 | 2,808,072 | 2,844,080 | ||
2.50%, 11/1/2039 | 17,839,306 | 17,877,268 | ||
3.00%, 11/1/2042 | 14,725,228 | 15,180,105 | ||
3.00%, 12/1/2042 | 12,852,963 | 13,154,956 | ||
3.00%, 1/1/2045 | 2,321,099 | 2,386,204 | ||
3.00%, 2/1/2045 | 1,632,124 | 1,674,770 | ||
3.00%, 3/1/2045 | 1,731,584 | 1,776,829 | ||
3.00%, 4/1/2045 | 35,790,333 | 36,771,131 | ||
3.00%, 5/1/2045 | 6,113,795 | 6,273,543 | ||
3.00%, 8/1/2045 | 16,545,684 | 16,978,008 | ||
3.00%, 7/1/2047 | 5,663,488 | 5,796,557 | ||
3.50%, 2/1/2045 | 2,867,119 | 3,004,968 | ||
3.50%, 4/1/2045 | 26,702,180 | 28,063,663 | ||
3.50%, 6/1/2045 | 12,108,788 | 12,746,276 |
Table of Contents
Principal Amount | Value | |||
3.50%, 10/1/2045 | $14,301,076 | $15,053,981 | ||
3.50%, 2/1/2046 | 13,561,915 | 14,148,458 | ||
4.00%, 4/1/2047 | 32,043,767 | 33,708,820 | ||
4.00%, 7/1/2047 | 10,063,967 | 10,586,909 | ||
4.00%, 10/1/2047 | 20,668,033 | 21,741,982 | ||
4.50%, 6/1/2044 | 1,934,483 | 2,090,963 | ||
Series 326, Class 300, CMO, 3.00%, 3/15/2044 | 28,726,467 | 29,277,744 | ||
Series 358, Class 300, CMO, 3.00%, 10/15/2047 | 29,584,386 | 30,386,451 | ||
Series 3822, Class ZG, CMO, REMIC, 4.00%, 2/15/2041 | 3,900,165 | 4,157,434 | ||
Series 3852, Class NS, CMO, IO, REMIC, 6.00% - 1 Month USD LIBOR 4.26%, 5/15/2041 (b) | 9,626,693 | 1,203,232 | ||
Series 3889, Class VZ, CMO, REMIC, 4.00%, 7/15/2041 | 9,252,471 | 9,615,033 | ||
Series 3935, Class SJ, CMO, IO, REMIC, 6.65% - 1 Month USD LIBOR 4.91%, 5/15/2041 (b) | 1,935,366 | 188,195 | ||
Series 4120, Class KA, CMO, REMIC, 1.75%, 10/15/2032 | 13,768,059 | 13,602,032 | ||
Series 4165, Class ZT, CMO, REMIC, 3.00%, 2/15/2043 | 16,436,913 | 16,340,863 | ||
Series 4215, Class KC, CMO, REMIC, 2.25%, 3/15/2038 | 6,258,098 | 6,267,123 | ||
Series 4364, Class ZX, CMO, REMIC, 4.00%, 7/15/2044 | 29,847,313 | 32,480,618 | ||
Series 4434, Class LZ, CMO, REMIC, 3.00%, 2/15/2045 | 3,467,491 | 3,467,551 | ||
Series 4444, Class CZ, CMO, REMIC, 3.00%, 2/15/2045 | 12,714,134 | 12,733,023 | ||
Series 4447, Class A, CMO, REMIC, 3.00%, 6/15/2041 | 1,541,955 | 1,570,204 | ||
Series 4447, Class Z, CMO, REMIC, 3.00%, 3/15/2045 | 4,196,470 | 4,207,208 | ||
Series 4471, Class BA, CMO, REMIC, 3.00%, 12/15/2041 | 5,437,854 | 5,554,527 | ||
Series 4471, Class GA, CMO, REMIC, 3.00%, 2/15/2044 | 8,492,493 | 8,706,131 | ||
Series 4474, Class ZX, CMO, REMIC, 4.00%, 4/15/2045 | 12,428,044 | 13,508,351 |
Principal Amount | Value | |||
Series 4481, Class B, CMO, REMIC, 3.00%, 12/15/2042 | $5,642,272 | $5,776,956 | ||
Series 4483, Class CA, CMO, REMIC, 3.00%, 6/15/2044 | 10,504,340 | 10,770,081 | ||
Series 4484, Class CD, CMO, REMIC, 1.75%, 7/15/2030 | 10,059,787 | 9,909,759 | ||
Series 4491, Class B, CMO, REMIC, 3.00%, 8/15/2040 | 9,529,770 | 9,665,580 | ||
Series 4492, Class GZ, CMO, REMIC, 3.50%, 7/15/2045 | 8,866,852 | 9,243,829 | ||
Series 4499, Class AB, CMO, REMIC, 3.00%, 6/15/2042 | 11,150,692 | 11,399,123 | ||
Series 4504, Class CA, CMO, REMIC, 3.00%, 4/15/2044 | 11,338,646 | 11,614,949 | ||
Series 4511, Class QA, CMO, REMIC, 3.00%, 1/15/2041 | 8,377,034 | 8,496,593 | ||
Series 4511, Class QC, CMO, REMIC, 3.00%, 12/15/2040 | 7,280,179 | 7,383,351 | ||
Series 4533, Class AB, CMO, REMIC, 3.00%, 6/15/2044 | 8,013,342 | 8,233,645 | ||
Series 4543, Class HG, CMO, REMIC, 2.70%, 4/15/2044 | 14,853,262 | 15,041,498 | ||
Series 4582, Class HA, CMO, REMIC, 3.00%, 9/15/2045 | 11,554,782 | 11,860,918 | ||
Series 4629, Class KA, CMO, REMIC, 3.00%, 3/15/2045 | 35,909,092 | 36,495,250 | ||
Series 4750, Class PA, 3.00%, 7/15/2046 | 19,487,506 | 19,763,916 | ||
Series 4792, Class A, CMO, REMIC, 3.00%, 5/15/2048 | 19,618,240 | 19,898,768 | ||
Federal National Mortgage Association: | ||||
2.22%, 12/1/2029 | 5,400,000 | 5,306,075 | ||
2.29%, 10/1/2031 | 3,508,000 | 3,423,296 | ||
2.32%, 12/1/2029 | 7,600,000 | 7,529,282 | ||
2.41%, 10/1/2029 | 25,000,000 | 24,991,825 | ||
2.42%, 12/1/2031 | 9,900,000 | 9,746,282 | ||
2.44%, 1/1/2032 | 16,600,000 | 16,600,000 | ||
2.49%, 1/1/2032 (h) | 25,700,000 | 25,437,765 | ||
2.50%, 12/1/2039 | 10,757,030 | 10,779,921 | ||
2.50%, 9/1/2046 | 4,658,070 | 4,620,125 | ||
2.50%, 2/1/2047 | 12,317,190 | 12,276,551 | ||
2.69%, 8/1/2030 | 24,539,445 | 25,031,735 |
Table of Contents
Principal Amount | Value | |||
1.67% - 1 Month USD LIBOR 2.72%, 5/1/2044 (b) | $12,617,468 | $12,742,848 | ||
2.77%, 7/1/2031 | 4,000,000 | 4,077,448 | ||
2.80%, 11/1/2039 | 10,034,000 | 9,961,684 | ||
3.00%, 5/1/2035 | 8,174,105 | 8,421,804 | ||
3.00%, 10/1/2041 | 27,366,031 | 28,009,177 | ||
3.00%, 3/1/2043 | 4,648,263 | 4,782,730 | ||
3.00%, 7/1/2043 | 7,828,406 | 8,001,234 | ||
3.00%, 1/1/2045 | 1,788,862 | 1,825,768 | ||
3.00%, 3/1/2045 | 2,422,599 | 2,484,373 | ||
3.00%, 4/1/2045 | 9,973,559 | 10,160,820 | ||
3.00%, 7/1/2045 | 28,761,960 | 29,593,998 | ||
3.00%, 11/1/2045 | 18,857,063 | 19,337,902 | ||
3.00%, 10/1/2046 | 7,500,661 | 7,676,939 | ||
3.00%, 2/1/2047 | 23,866,382 | 24,427,280 | ||
3.00%, 11/1/2048 | 14,639,438 | 14,983,489 | ||
3.00%, 10/1/2049 | 7,659,850 | 7,769,192 | ||
3.00%, 4/1/2053 | 15,935,938 | 16,420,105 | ||
3.50%, 9/1/2034 | 2,158,491 | 2,259,052 | ||
3.50%, 12/1/2034 | 1,917,334 | 2,006,660 | ||
3.50%, 2/1/2035 | 1,228,411 | 1,285,641 | ||
3.50%, 1/1/2045 | 12,243,908 | 12,880,270 | ||
3.50%, 2/1/2045 | 3,941,666 | 4,128,632 | ||
3.50%, 6/1/2045 | 11,658,300 | 12,264,923 | ||
4.50%, 3/1/2044 | 2,171,302 | 2,345,161 | ||
4.50%, 6/1/2044 | 1,080,882 | 1,167,430 | ||
4.50%, 7/1/2044 | 935,385 | 1,010,283 | ||
4.50%, 2/1/2045 | 1,302,017 | 1,406,271 | ||
Series 2010-109, Class N, CMO, REMIC, 3.00%, 10/25/2040 | 2,431,429 | 2,496,870 | ||
Series 2011-51, Class CI, CMO, IO, REMIC, 6.00% - 1 Month USD LIBOR 4.21%, 6/25/2041 (b) | 6,130,700 | 908,553 | ||
Series 2012-101, Class AP, CMO, REMIC, 2.00%, 8/25/2040 | 5,894,851 | 5,837,041 | ||
Series 2012-127, Class PA, CMO, REMIC, 2.75%, 11/25/2042 | 3,230,244 | 3,255,022 | ||
Series 2012-151, Class SB, CMO, REMIC, 6.00% - 1 Month USD LIBOR 3.46%, 1/25/2043 (b) | 1,248,324 | 1,071,177 | ||
Series 2013-114, Class HZ, CMO, REMIC, 3.00%, 11/25/2038 | 17,168,370 | 17,276,534 | ||
Series 2013-18, Class CD, CMO, REMIC, 1.50%, 10/25/2027 | 4,187,021 | 4,110,611 | ||
Series 2013-30, Class PS, CMO, REMIC, 6.00% - 1 Month USD LIBOR 3.46%, 4/25/2043 (b) | 1,718,187 | 1,586,405 |
Principal Amount | Value | |||
Series 2014-21, Class GZ, CMO, REMIC, 3.00%, 4/25/2044 | $6,561,675 | $6,516,233 | ||
Series 2014-39, Class ZA, CMO, REMIC, 3.00%, 7/25/2044 | 9,433,202 | 9,473,845 | ||
Series 2015-42, Class CA, CMO, REMIC, 3.00%, 3/25/2044 | 6,549,294 | 6,709,764 | ||
Series 2015-9, Class HA, CMO, REMIC, 3.00%, 1/25/2045 | 9,324,692 | 9,569,278 | ||
Series 2015-95, Class AP, CMO, REMIC, 3.00%, 8/25/2042 | 11,279,332 | 11,385,615 | ||
Series 2016-21, Class BZ, CMO, REMIC, 3.00%, 4/25/2046 | 4,846,286 | 4,832,117 | ||
Series 2016-32, Class LA, CMO, REMIC, 3.00%, 10/25/2044 | 10,725,354 | 10,935,991 | ||
Series 2016-72, Class PA, CMO, REMIC, 3.00%, 7/25/2046 | 17,623,753 | 17,935,993 | ||
Series 2016-81, Class PA, CMO, REMIC, 3.00%, 2/25/2044 | 23,862,976 | 24,249,371 | ||
Series 2016-9, Class A, CMO, REMIC, 3.00%, 9/25/2043 | 9,191,276 | 9,338,894 | ||
Series 2016-92, Class A, CMO, REMIC, 3.00%, 4/25/2042 | 29,803,177 | 30,367,266 | ||
Series 2017-13, Class CA, CMO, REMIC, 2.50%, 10/25/2043 | 19,130,739 | 19,217,164 | ||
Series 2017-15, Class MA, CMO, REMIC, 3.00%, 2/25/2042 | 13,913,863 | 14,099,682 | ||
Series 2017-18, Class A, CMO, REMIC, 3.00%, 8/25/2042 | 35,948,697 | 36,714,289 | ||
Series 2017-32, Class CA, CMO, REMIC, 3.00%, 10/25/2042 | 33,662,262 | 34,104,353 | ||
Series 2017-87, Class BA, CMO, REMIC, 3.00%, 12/25/2042 | 26,129,395 | 26,406,496 | ||
Series 2017-9, Class EA, CMO, REMIC, 3.00%, 10/25/2042 | 56,205,361 | 57,100,567 | ||
Series 2018-27, Class JA, CMO, REMIC, 3.00%, 12/25/2047 | 13,046,822 | 13,248,486 | ||
Series 2018-38, Class JB, CMO, REMIC, 3.00%, 6/25/2048 | 10,488,134 | 10,627,954 |
Table of Contents
Principal Amount | Value | |||
Series 2018-M10, Class A1, 3.38%, 7/25/2028 (b) | $20,080,114 | $21,220,751 | ||
Government National Mortgage Association: | ||||
Series 2013-169, Class SE, CMO, IO, REMIC, 6.05% - 1 Month USD LIBOR 4.31%, 11/16/2043 (b) | 2,217,875 | 382,737 | ||
Series 2013-34, Class PL, CMO, REMIC, 3.00%, 3/20/2042 | 9,660,277 | 9,805,213 | ||
Series 2014-43, Class PS, CMO, IO, REMIC, 6.18% - 1 Month USD LIBOR 4.42%, 7/20/2042 (b) | 6,027,709 | 759,614 | ||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS (Cost $1,458,806,864) | 1,469,397,264 | |||
U.S. TREASURY OBLIGATIONS — 24.4% | ||||
Treasury Inflation Protected Indexed Notes 0.63%, 4/15/2023 | 26,624,429 | 27,046,122 | ||
Treasury Notes: | ||||
1.63%, 5/15/2026 | 110,500,000 | 109,377,734 | ||
2.13%, 2/29/2024 | 73,200,000 | 74,555,344 | ||
2.13%, 7/31/2024 | 94,400,000 | 96,236,376 | ||
2.25%, 11/15/2025 | 106,000,000 | 108,898,438 | ||
2.38%, 1/31/2023 | 26,500,000 | 27,104,531 | ||
2.38%, 5/15/2029 | 88,100,000 | 91,637,766 | ||
2.63%, 2/15/2029 | 18,500,000 | 19,618,672 | ||
2.88%, 8/15/2028 | 18,900,000 | 20,385,422 | ||
3.13%, 11/15/2028 | 8,800,000 | 9,684,125 | ||
U.S. Treasury Bill: | ||||
1.83%, 2/13/2020 | 48,300,000 | 48,216,179 | ||
1.84%, 1/2/2020 | 79,200,000 | 79,200,000 | ||
1.84%, 2/27/2020 | 102,600,000 | 102,359,004 | ||
TOTAL U.S. TREASURY OBLIGATIONS (Cost $801,430,723) | 814,319,713 | |||
MORTGAGE-BACKED SECURITIES — 4.7% | ||||
Alternative Loan Trust: | ||||
Series 2005-79CB, Class A4, CMO, 5.50%, 1/25/2036 | 5,833,455 | 5,089,485 | ||
Series 2006-24CB, Class A9, CMO, 6.00%, 8/25/2036 | 3,721,044 | 3,012,538 | ||
Series 2006-43CB, Class 1A12, CMO, 5.75%, 2/25/2037 | 3,361,469 | 2,630,074 | ||
Angel Oak Mortgage Trust I Series 2018-1, Class A1, 3.26%, 4/27/2048 (a) (b) | 4,274,839 | 4,286,118 |
Principal Amount | Value | |||
Banc of America Alternative Loan Trust Series 2005-9, Class 1CB2, CMO, 5.50%, 10/25/2035 | $3,957,192 | $3,957,192 | ||
Banc of America Funding Trust: | ||||
Series 2006-8T2, Class A4, CMO, 5.83%, 10/25/2036 (e) | 3,366,853 | 3,276,951 | ||
Series 2007-5, Class CA1, CMO, 6.00%, 7/25/2037 | 5,254,819 | 4,637,351 | ||
BANK Series 2017-BNK6, Class XA, IO, 0.86%, 7/15/2060 (b) | 54,664,424 | 2,547,290 | ||
BBCMS Mortgage Trust: | ||||
Series 2017-DELC, Class C, 1 Month USD LIBOR + 1.20% 2.94%, 8/15/2036 (a) (b) | 863,000 | 858,358 | ||
Series 2017-DELC, Class D, 1 Month USD LIBOR + 1.70% 3.44%, 8/15/2036 (a) (b) | 983,000 | 983,138 | ||
Series 2017-DELC, Class E, 1 Month USD LIBOR + 2.50% 4.24%, 8/15/2036 (a) (b) | 1,982,000 | 1,983,627 | ||
Series 2017-DELC, Class F, 1 Month USD LIBOR + 3.50% 5.24%, 8/15/2036 (a) (b) | 1,974,000 | 1,972,701 | ||
BBCMS Trust Series 2018-BXH, Class A, 1 Month USD LIBOR + 1.00%, 2.74%, 10/15/2037 (a) (b) | 205,725 | 204,685 | ||
BCAP LLC Trust Series 2010-RR4, Class 3212, CMO, 6.26%, 1/26/2037 (a) (b) | 10,472,169 | 9,396,955 | ||
BHMS Series 2018-ATLS, Class A, Class A, 1 Month USD LIBOR + 1.25%, 2.99%, 7/15/2035 (a) (b) | 3,284,000 | 3,277,890 | ||
BX Trust Series 2018-EXCL, Class A, 1 Month USD LIBOR + 1.09%, 2.83%, 9/15/2037 (a) (b) | 223,671 | 223,422 | ||
CAMB Commercial Mortgage Trust Series 2019-LIFE, Class A, 1 Month USD LIBOR + 1.07%, 2.81%, 12/15/2037 (a) (b) | 1,068,000 | 1,069,385 | ||
CHL Mortgage PassThrough Trust: | ||||
Series 2005-J2, Class 3A14, CMO, 5.50%, 8/25/2035 | 1,133,648 | 1,010,482 |
Table of Contents
Principal Amount | Value | |||
Series 2007-12, Class A9, CMO, 5.75%, 8/25/2037 | $3,569,856 | $3,120,226 | ||
CHT COSMO Mortgage Trust: | ||||
Series 2017-CSMO, Class E, 1 Month USD LIBOR + 3.00% 4.74%, 11/15/2036 (a) (b) | 2,407,000 | 2,410,906 | ||
Series 2017-CSMO, Class F, 1 Month USD LIBOR + 3.74% 5.48%, 11/15/2036 (a) (b) | 1,284,000 | 1,286,451 | ||
Citigroup Mortgage Loan Trust: | ||||
Series 2007-AR4, Class 1A1A, CMO, 4.54%, 3/25/2037 (b) | 3,065,358 | 2,999,111 | ||
Series 2007-AR5, Class 1A2A, CMO, 4.33%, 4/25/2037 (b) | 1,723,172 | 1,645,415 | ||
CitiMortgage Alternative Loan Trust Series 2007-A1, Class 1A7, CMO, 6.00%, 1/25/2037 | 6,641,386 | 6,509,310 | ||
COMM Mortgage Trust Series 2018-HCLV, Class A, 1 Month USD LIBOR + 1.00%, 2.74%, 9/15/2033 (a) (b) | 347,000 | 345,484 | ||
Credit Suisse Commercial Mortgage Trust Series 2018-TOP, Class A, 1 Month USD LIBOR + 1.00%, 2.74%, 8/15/2035 (a) (b) | 790,000 | 789,207 | ||
Credit Suisse Mortgage Trust Series 2017-MOON, Class E, 3.20%, 7/10/2034 (a) (b) | 3,181,000 | 3,154,751 | ||
CSAIL Commercial Mortgage Trust Series 2017-CX10, Class XA, IO, 0.72%, 11/15/2050 (b) | 64,725,414 | 2,888,404 | ||
CSMC MortgageBacked Trust Series 2006-7, Class 7A7, CMO, 6.00%, 8/25/2036 | 1,947,254 | 1,947,254 | ||
CSMC Trust Series 2018-RPL2, Class A1, CMO, 4.03%, 8/25/2062 (a) (e) | 1,670,122 | 1,669,761 | ||
DBGS BIOD Mortgage Trust Series 2018-BIOD, Class A, 1 Month USD LIBOR + 0.80%, 2.54%, 5/15/2035 (a) (b) | 3,086,062 | 3,082,430 | ||
FMC GMSR Issuer Trust Series 2019-GT2, Class A, CMO, VRN, 4.23%, 9/25/2024 (a) (b) | 3,100,000 | 3,074,283 | ||
FWD Securitization Trust Series 2019-INV1, Class A3, 3.11%, 6/25/2049 (a) (b) | 2,364,383 | 2,370,848 |
Principal Amount | Value | |||
Great Wolf Trust Series 2019-WOLF, Class E, 1 Month USD LIBOR + 2.73%, 4.45%, 12/15/2029 (a) (b) | $100,000 | $99,847 | ||
GS Mortgage Securities Trust: | ||||
Series 2017-GS7, Class XA, IO, 1.13%, 8/10/2050 (b) | 40,617,190 | 2,625,658 | ||
Series 2018-TWR, Class A, 1 Month USD LIBOR + 0.90% 2.64%, 7/15/2031 (a) (b) | 650,000 | 649,136 | ||
Series 2018-TWR, Class D, 1 Month USD LIBOR + 1.60% 3.34%, 7/15/2031 (a) (b) | 650,000 | 647,535 | ||
Series 2018-TWR, Class E, 1 Month USD LIBOR + 2.10% 3.84%, 7/15/2031 (a) (b) | 650,000 | 651,680 | ||
Series 2018-TWR, Class F, 1 Month USD LIBOR + 2.80% 4.54%, 7/15/2031 (a) (b) | 650,000 | 652,292 | ||
Series 2018-TWR, Class G, 1 Month USD LIBOR + 3.92% 5.66%, 7/15/2031 (a) (b) | 650,000 | 654,018 | ||
Series 2019-SOHO, Class E, 1 Month USD LIBOR + 1.87% 3.61%, 6/15/2036 (a) (b) | 3,411,000 | 3,409,425 | ||
Headlands Residential Series 2019-RPL1, Class NOTE, 3.97%, 6/25/2024 (a) (e) | 4,100,000 | 4,118,081 | ||
JP Morgan Chase Commercial Mortgage Securities Corp. Series 2018-LAQ, Class A, 1 Month USD LIBOR + 1.00%, 2.74%, 6/15/2032 (a) (b) | 2,953,602 | 2,951,831 | ||
Morgan Stanley Capital I Trust Series 2016-UB12, Class XA, IO, 0.78%, 12/15/2049 (b) | 56,013,965 | 2,068,758 | ||
NRPL Trust Series 2018-2A, Class A1, CMO, 4.25%, 7/25/2067 (a) (e) | 4,667,895 | 4,677,647 | ||
OBX Trust Series 2018-1, Class A2, CMO, 1 Month USD LIBOR + 0.65%, 2.44%, 6/25/2057 (a) (b) | 910,264 | 905,364 | ||
PMT Credit Risk Transfer Trust Series 2019-2R, Class A, 1 Month USD LIBOR + 2.75%, 4.55%, 5/27/2023 (a) (b) | 4,440,376 | 4,468,060 | ||
Ready Capital Mortgage Trust Series 2019-5, Class A, 3.78%, 2/25/2052 (a) | 1,799,200 | 1,836,880 | ||
Rosslyn Portfolio Trust: |
Table of Contents
Principal Amount | Value | |||
Series 2017-ROSS, Class A, 1 Month USD LIBOR + 0.95% 2.69%, 6/15/2033 (a) (b) | $3,945,000 | $3,943,909 | ||
Series 2017-ROSS, Class B, 1 Month USD LIBOR + 1.25% 2.99%, 6/15/2033 (a) (b) | 1,686,000 | 1,685,884 | ||
Seasoned Credit Risk Transfer Trust Series 2019-4, Class MV, 3.00%, 2/25/2059 | 17,611,389 | 17,914,286 | ||
Structured Adjustable Rate Mortgage Loan Trust Series 2006-8, Class 4A3, CMO, 4.48%, 9/25/2036 (b) | 774,420 | 773,016 | ||
Structured Asset Mortgage Investments II Trust Series 2004-AR3, Class M, CMO, 1 Month USD LIBOR + 0.68%, 2.44%, 7/19/2034 (b) | 2,177,416 | 2,120,850 | ||
UBS Commercial Mortgage Trust Series 2017-C1, Class XA, IO, 1.57%, 6/15/2050 (b) | 22,802,549 | 1,986,002 | ||
Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2007-2 Trust Series 2007-2, Class 1A3, CMO, 6.00%, 4/25/2037 | 5,859,418 | 5,226,382 | ||
Washington Mutual Mortgage PassThrough Certificates WMALT Trust: | ||||
Series 2005-8, Class 2CB1, CMO, 5.50%, 10/25/2035 | 1,695,153 | 1,703,826 | ||
Series 2006-5, Class 3A2, CMO, 6.00%, 7/25/2036 (e) | 3,033,396 | 1,116,308 | ||
Wells Fargo Mortgage Backed Securities Trust Series 2007-AR4, Class A1, CMO, 4.85%, 8/25/2037 (b) | 3,029,608 | 3,029,608 | ||
TOTAL MORTGAGE-BACKED SECURITIES (Cost $160,636,073) | 157,627,766 | |||
COMMERCIAL MORTGAGE BACKED SECURITIES — 4.0% | ||||
BANK: | ||||
Series 2017-BNK4, Class XA, IO, 1.43%, 5/15/2050 (b) | 30,081,271 | 2,213,764 | ||
Series 2019-BN19, Class AS, 3.45%, 8/15/2061 | 3,489,000 | 3,628,119 | ||
BX Trust: |
Principal Amount | Value | |||
Series 2017-APPL, Class D, 1 Month USD LIBOR + 3.15% 3.79%, 7/15/2034 (a) (b) | $1,142,400 | $1,142,190 | ||
Series 2017-APPL, Class E, 1 Month USD LIBOR + 3.15% 4.89%, 7/15/2034 (a) (b) | 1,768,000 | 1,767,638 | ||
Series 2017-SLCT, Class D, 1 Month USD LIBOR + 2.05% 3.79%, 7/15/2034 (a) (b) | 1,065,050 | 1,064,501 | ||
Series 2017-SLCT, Class E, 1 Month USD LIBOR + 3.15% 4.89%, 7/15/2034 (a) (b) | 1,805,400 | 1,804,886 | ||
Series 2018-GW, Class A, 1 Month USD LIBOR + 0.80% 2.54%, 5/15/2035 (a) (b) | 3,140,000 | 3,128,206 | ||
Series 2018-GW, Class D, 1 Month USD LIBOR + 1.77% 3.51%, 5/15/2035 (a) (b) | 275,000 | 274,903 | ||
Series 2019-OC11, Class E, 4.08%, 12/9/2041 (a) | 4,009,000 | 3,870,251 | ||
CD Mortgage Trust Series 2017-CD4, Class XA, IO, 1.31%, 5/10/2050 (b) | 16,771,077 | 1,151,869 | ||
CFCRE Commercial Mortgage Trust: | ||||
Series 2016-C3, Class XA, IO, 1.03%, 1/10/2048 (b) | 24,177,894 | 1,255,192 | ||
Series 2016-C4, Class XA, IO, 1.71%, 5/10/2058 (b) | 11,673,803 | 968,338 | ||
Series 2017-C8, Class XA, IO, 1.62%, 6/15/2050 (b) | 27,336,233 | 2,301,592 | ||
Citigroup Commercial Mortgage Trust: | ||||
Series 2015-GC27, Class D, 4.43%, 2/10/2048 (a) (b) | 423,700 | 403,918 | ||
Series 2015-GC31, Class C, 4.06%, 6/10/2048 (b) | 1,500,000 | 1,480,770 | ||
Series 2015-GC33, Class C, 4.57%, 9/10/2058 (b) | 1,500,000 | 1,570,177 | ||
Series 2015-GC35, Class C, 4.50%, 11/10/2048 (b) | 1,435,000 | 1,489,296 | ||
Series 2016-GC36, Class XA, IO, 1.27%, 2/10/2049 (b) | 21,254,471 | 1,286,171 | ||
COMM Mortgage Trust: | ||||
Series 2013-CR12, Class XA, IO, 1.15%, 10/10/2046 (b) | 28,211,325 | 1,000,839 | ||
Series 2015-CR22, Class D, 4.12%, 3/10/2048 (a) (b) | 932,000 | 937,075 | ||
Series 2015-CR22, Class XA, IO, 0.94%, 3/10/2048 (b) | 9,264,984 | 326,387 | ||
Series 2015-CR26, Class B, 4.48%, 10/10/2048 (b) | 1,600,000 | 1,720,539 |
Table of Contents
Principal Amount | Value | |||
Series 2015-CR26, Class XA, IO, 0.95%, 10/10/2048 (b) | $21,060,590 | $921,653 | ||
Series 2015-DC1, Class XA, IO, 1.10%, 2/10/2048 (b) | 7,648,681 | 308,359 | ||
Series 2015-LC21, Class C, 4.30%, 7/10/2048 (b) | 968,000 | 1,000,456 | ||
Series 2016-CR28, Class C, 4.65%, 2/10/2049 (b) | 2,011,000 | 2,114,332 | ||
Series 2016-DC2, Class C, 4.64%, 2/10/2049 (b) | 1,329,000 | 1,377,216 | ||
Series 2016-DC2, Class XA, IO, 1.01%, 2/10/2049 (b) | 19,199,087 | 924,049 | ||
Series 2017-PANW, Class D, 3.93%, 10/10/2029 (a) (b) | 1,388,000 | 1,440,019 | ||
Series 2017-PANW, Class E, 3.81%, 10/10/2029 (a) (b) | 2,316,000 | 2,331,050 | ||
CSAIL Commercial Mortgage Trust: | ||||
Series 2015-C2, Class AS, 3.85%, 6/15/2057 (b) | 900,000 | 942,227 | ||
Series 2015-C4, Class XA, IO, 0.87%, 11/15/2048 (b) | 34,755,673 | 1,374,699 | ||
CSMC Trust Series 2017-MOON, Class D, 3.20%, 7/10/2034 (a) (b) | 2,263,000 | 2,268,300 | ||
Great Wolf Trust Series 2019-WOLF, Class F, 1 Month USD LIBOR + 3.13%, 4.85%, 12/15/2029 (a) (b) | 100,000 | 99,716 | ||
GS Mortgage Securities Corp. II Series 2013-GC10, Class XA, IO, 1.50%, 2/10/2046 (b) | 12,814,079 | 497,828 | ||
GS Mortgage Securities Trust: | ||||
Series 2014-GC24, Class XA, IO, 0.74%, 9/10/2047 (b) | 28,790,574 | 838,285 | ||
Series 2015-GC32, Class XA, IO, 0.77%, 7/10/2048 (b) | 25,108,157 | 823,464 | ||
Series 2015-GC34, Class XA, IO, 1.31%, 10/10/2048 (b) | 16,383,301 | 933,215 | ||
Series 2015-GS1, Class XA, IO, 0.78%, 11/10/2048 (b) | 26,285,287 | 1,039,173 | ||
Series 2016-GS3, Class XA, IO, 1.25%, 10/10/2049 (b) | 28,014,327 | 1,734,357 | ||
Series 2019-GC38, Class XA, IO, 0.96%, 2/10/2052 (b) | 40,679,874 | 2,900,815 | ||
HPLY Trust Series 2019-HIT, Class F, 1 Month USD LIBOR + 3.15%, 4.89%, 11/15/2036 (a) (b) | 3,166,964 | 3,180,735 | ||
IMT Trust: | ||||
Series 2017-APTS, Class BFL, 1 Month USD LIBOR + 0.95% 2.69%, 6/15/2034 (a) (b) | 2,144,000 | 2,140,219 | ||
Series 2017-APTS, Class CFL, 1 Month USD LIBOR + 1.10% 2.84%, 6/15/2034 (a) (b) | 2,144,000 | 2,140,091 |
Principal Amount | Value | |||
JP Morgan Chase Commercial Mortgage Securities Corp.: | ||||
Series 2017-FL10, Class B, 1 Month USD LIBOR + 1.00% 2.74%, 6/15/2032 (a) (b) | $386,394 | $384,817 | ||
Series 2017-FL10, Class C, 1 Month USD LIBOR + 1.25% 2.99%, 6/15/2032 (a) (b) | 616,000 | 612,592 | ||
Series 2017-FL10, Class D, 1 Month USD LIBOR + 1.90% 3.64%, 6/15/2032 (a) (b) | 1,994,000 | 1,979,344 | ||
JP Morgan Chase Commercial Mortgage Securities Trust: | ||||
Series 2012-C8, Class B, 3.98%, 10/15/2045 (a) (b) | 1,775,000 | 1,834,838 | ||
Series 2015-JP1, Class XA, IO, 1.08%, 1/15/2049 (b) | 22,352,149 | 817,475 | ||
JPMBB Commercial Mortgage Securities Trust: | ||||
Series 2014-C25, Class XA, IO, 0.86%, 11/15/2047 (b) | 5,394,688 | 190,396 | ||
Series 2014-C26, Class C, 4.37%, 1/15/2048 (b) | 1,500,000 | 1,577,817 | ||
Series 2015-C28, Class XA, IO, 1.06%, 10/15/2048 (b) | 10,149,399 | 374,600 | ||
Series 2015-C30, Class XA, IO, 0.52%, 7/15/2048 (b) | 26,579,824 | 636,634 | ||
Series 2015-C32, Class C, 4.67%, 11/15/2048 (b) | 1,132,000 | 1,189,730 | ||
Series 2015-C33, Class C, 4.62%, 12/15/2048 (b) | 1,739,000 | 1,833,728 | ||
Series 2016-C1, Class C, 4.74%, 3/15/2049 (b) | 2,180,000 | 2,313,758 | ||
JPMDB Commercial Mortgage Securities Trust Series 2016-C2, Class XA, IO, 1.67%, 6/15/2049 (b) | 21,568,869 | 1,402,549 | ||
LSTAR Commercial Mortgage Trust Series 2017-5, Class X, IO, 1.08%, 3/10/2050 (a) (b) | 46,664,981 | 1,850,267 | ||
Merrill Lynch Mortgage Trust Series 2006-C1, Class AJ, 5.59%, 5/12/2039 (b) | 15,098 | 15,331 | ||
Morgan Stanley Bank of America Merrill Lynch Trust: | ||||
Series 2013-C12, Class XA, IO, 0.61%, 10/15/2046 (b) | 13,141,249 | 250,120 | ||
Series 2013-C7, Class XA, IO, 1.35%, 2/15/2046 (b) | 13,664,561 | 461,917 | ||
Series 2015-C20, Class C, 4.46%, 2/15/2048 (b) | 500,000 | 524,978 | ||
Series 2015-C25, Class C, 4.53%, 10/15/2048 (b) | 1,700,000 | 1,801,029 | ||
Series 2015-C27, Class C, 4.53%, 12/15/2047 (b) | 1,219,000 | 1,262,394 |
Table of Contents
Principal Amount | Value | |||
Series 2015-C27, Class D, 3.24%, 12/15/2047 (a) (b) | $1,750,000 | $1,631,183 | ||
Series 2016-C28, Class XA, IO, 1.20%, 1/15/2049 (b) | 21,111,502 | 1,141,438 | ||
Series 2016-C30, Class XA, IO, 1.43%, 9/15/2049 (b) | 18,511,831 | 1,341,057 | ||
Series 2016-C31, Class C, 4.31%, 11/15/2049 (b) | 3,358,000 | 3,452,579 | ||
Series 2016-C32, Class A4, 3.72%, 12/15/2049 | 2,665,000 | 2,858,606 | ||
Morgan Stanley Capital I Trust: | ||||
Series 2015-UBS8, Class XA, IO, 0.89%, 12/15/2048 (b) | 24,932,789 | 1,098,827 | ||
Series 2019-H7, Class AS, 3.52%, 7/15/2052 | 3,482,000 | 3,634,336 | ||
Series 2019-L3, Class XA, IO, 0.65%, 11/15/2029 (b) | 56,087,603 | 2,986,199 | ||
MRCD Mortgage Trust Series 2019-PARK, Class G, 2.72%, 12/15/2036 (a) | 5,492,000 | 4,988,625 | ||
UBS Commercial Mortgage Trust Series 2017-C4, Class XA, IO, 1.09%, 10/15/2050 (b) | 24,417,370 | 1,585,667 | ||
Waterfall Commercial Mortgage Trust Series 2015-SBC5, Class A, 4.10%, 9/14/2022 (a) (b) | 4,771,941 | 4,895,417 | ||
Wells Fargo Commercial Mortgage Trust: | ||||
Series 2014-LC16, Class D, 3.94%, 8/15/2050 (a) | 277,000 | 217,058 | ||
Series 2015-C26, Class XA, IO, 1.21%, 2/15/2048 (b) | 7,913,995 | 399,540 | ||
Series 2015-C28, Class C, 4.11%, 5/15/2048 (b) | 1,500,000 | 1,533,070 | ||
Series 2015-LC20, Class XA, IO, 1.33%, 4/15/2050 (b) | 7,275,293 | 340,000 | ||
Series 2015-NXS1, Class XA, IO, 1.13%, 5/15/2048 (b) | 8,166,130 | 371,424 | ||
Series 2015-NXS2, Class XA, IO, 0.71%, 7/15/2058 (b) | 24,823,252 | 756,146 | ||
Series 2015-NXS3, Class C, 4.49%, 9/15/2057 (b) | 1,600,000 | 1,678,537 | ||
Series 2015-P2, Class XA, IO, 0.99%, 12/15/2048 (b) | 21,555,153 | 866,712 | ||
Series 2016-C32, Class C, 4.72%, 1/15/2059 (b) | 1,581,000 | 1,612,912 | ||
Series 2016-C33, Class XA, IO, 1.75%, 3/15/2059 (b) | 14,944,648 | 1,113,127 | ||
Series 2017-C38, Class XA, IO, 1.06%, 7/15/2050 (b) | 38,517,778 | 2,285,161 | ||
Series 2017-RC1, Class XA, IO, 1.50%, 1/15/2060 (b) | 24,681,417 | 1,863,360 | ||
Series 2019-C50, Class XA, IO, 1.46%, 5/15/2052 (b) | 30,193,079 | 3,002,640 | ||
WFRBS Commercial Mortgage Trust: |
Principal Amount | Value | |||
Series 2014-C19, Class XA, IO, 1.03%, 3/15/2047 (b) | $9,116,696 | $292,733 | ||
Series 2014-C21, Class XA, IO, 1.04%, 8/15/2047 (b) | 15,824,963 | 608,559 | ||
TOTAL COMMERCIAL MORTGAGE BACKED SECURITIES (Cost $155,538,219) | 133,986,106 |
Shares | |||
SHORT-TERM INVESTMENT — 1.4% | |||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 1.57% (i) (j) (Cost $45,112,940) | 45,112,940 | 45,112,940 | |
TOTAL INVESTMENTS — 100.5% (Cost $3,336,332,771) | 3,358,032,399 | ||
LIABILITIES IN EXCESS OF OTHER ASSETS — (0.5)% | (16,436,668) | ||
NET ASSETS — 100.0% | $3,341,595,731 |
(a) | Securities purchased pursuant to Rule 144A of the Securities Act of 1933, as amended. These securities, which represent 10.8% of net assets as of December 31, 2019, are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
(b) | Variable Rate Security - Interest rate shown is rate in effect at December 31, 2019. For securities based on a published reference rate and spread, the reference rate and spread are indicated in the description above. |
(c) | Amount is less than 0.05% of net assets. |
(d) | Security is currently in default and/or issuer is in bankruptcy. |
(e) | Step-up bond - Coupon rate increases in increments to maturity. Rate shown as of December 31, 2019. Maturity date shown is the final maturity. |
(f) | Non-income producing security. |
(g) | Position is unsettled. Contract rate was not determined at December 31, 2019 and does not take effect until settlement date. Maturity date is not finalized until settlement date. |
(h) | When-issued security. |
(i) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2019 are shown in the Affiliate Table below. |
(j) | The rate shown is the annualized seven-day yield at December 31, 2019. |
Table of Contents
ABS | =Asset-Backed Security |
CMO | =Collateralized Mortgage Obligation |
CMT | =Constant Maturity Treasury |
EMTN | =Euro Medium Term Note |
GMTN | =Global Medium Term Note |
IO | =Interest Only |
LIBOR | =London Interbank Offered Rate |
LP | =Limited Partnership |
PIK | =Payment in Kind |
REMIC | =Real Estate Mortgage Investment Conduit |
VRN | =Variable Rate Note |
Borrower | Unfunded Loan Commitment ($) | Value ($) | Unrealized Appreciation/(Depreciation) ($) | |||
Mavis Tire Express Services Corp. | 25,157 | 24,591 | (566) |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Corporate Bonds & Notes | $— | $557,862,550 | $— | $557,862,550 | ||||
Asset-Backed Securities | — | 77,774,079 | — | 77,774,079 | ||||
Foreign Government Obligations | — | 31,401,144 | — | 31,401,144 | ||||
U.S. Government Agency Obligations | — | 1,469,397,264 | — | 1,469,397,264 | ||||
U.S. Treasury Obligations | — | 814,319,713 | — | 814,319,713 | ||||
Mortgage-Backed Securities | — | 157,627,766 | — | 157,627,766 | ||||
Commercial Mortgage Backed Securities | — | 133,986,106 | — | 133,986,106 | ||||
Common Stocks | 57,902 | — | — | 57,902 | ||||
Senior Floating Rate Loans | — | 70,492,935 | — | 70,492,935 | ||||
Short-Term Investment | 45,112,940 | — | — | 45,112,940 | ||||
TOTAL INVESTMENTS | $45,170,842 | $3,312,861,557 | $— | $3,358,032,399 | ||||
ASSETS: |
Number of Shares Held at 6/30/19 | Value at 6/30/19 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 12/31/19 | Value at 12/31/19 | Dividend Income | |||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 84,316,399 | $84,316,399 | $518,845,221 | $558,048,680 | $— | $— | 45,112,940 | $45,112,940 | $567,771 |
27 | ARTOTL |
Table of Contents
(b) Not applicable to the registrant.
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 Investment Company Act of 1940, as amended (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) Not applicable to the registrant.
(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.
Table of Contents
(a)(3) Not applicable to the registrant.
(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. |
Table of Contents
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: March 6, 2020
Pursuant to the requirements of the Securities Exchange Act of 1934, as amended, and the Investment Company Act of 1940, as amended, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By: | /s/ Ellen M. Needham | |
Ellen M. Needham | ||
President and Principal Executive Officer |
Date: March 6, 2020
By: | /s/ Bruce S. Rosenberg | |
Bruce S. Rosenberg | ||
Treasurer and Principal Financial Officer |
Date: March 6, 2020