UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: 811-22542
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, 2021
Item 1. Reports to Shareholders.
(a) The Reports to Shareholders are attached herewith.
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 Loomis Sayles Opportunistic Bond ETF |
SPDR Nuveen Municipal Bond ETF |
![](https://capedge.com/proxy/N-CSRS/0001193125-22-070205/g258368imgfb8534721.jpg)
Portfolio Statistics (Unaudited) | |
1 | |
2 | |
3 | |
4 | |
5 | |
7 | |
Schedules of Investments (Unaudited) | |
8 | |
10 | |
12 | |
14 | |
21 | |
33 | |
38 | |
45 | |
51 | |
61 |
Description | % of Net Assets | ||
Invesco Optimum Yield Diversified Commodity Strategy No. K-1 ETF | 24.3% | ||
SPDR S&P Global Natural Resources ETF | 23.9 | ||
SPDR S&P Global Infrastructure ETF | 23.1 | ||
SPDR Bloomberg 1-10 Year TIPS ETF | 9.5 | ||
SPDR Dow Jones REIT ETF | 5.1 | ||
TOTAL | 85.9% |
% of Net Assets | |||
Natural Resources | 26.9% | ||
Commodities | 24.3 | ||
International Equity | 23.4 | ||
Inflation Linked | 9.5 | ||
Real Estate | 7.1 | ||
International Fixed Income | 4.2 | ||
Domestic Equity | 4.0 | ||
Short Term Investments | 4.4 | ||
Liabilities in Excess of Other Assets | (3.8) | ||
TOTAL | 100.0% |
Description | % of Net Assets | ||
SPDR Blackstone Senior Loan ETF | 20.1% | ||
SPDR Portfolio S&P 500 High Dividend ETF | 12.1 | ||
SPDR S&P International Dividend ETF | 10.2 | ||
SPDR Bloomberg Emerging Markets Local Bond ETF | 10.0 | ||
SPDR Portfolio Long Term Corporate Bond ETF | 9.3 | ||
TOTAL | 61.7% |
% of Net Assets | |||
Domestic Fixed Income | 48.7% | ||
Domestic Equity | 25.8 | ||
International Equity | 15.2 | ||
International Fixed Income | 10.0 | ||
Short Term Investments | 6.2 | ||
Liabilities in Excess of Other Assets | (5.9) | ||
TOTAL | 100.0% |
Description | % of Net Assets | ||
SPDR Portfolio Developed World ex-US ETF | 18.6% | ||
SPDR S&P 500 ETF Trust | 14.1 | ||
SPDR Portfolio TIPS ETF | 5.1 | ||
SPDR Portfolio Europe ETF | 5.0 | ||
SPDR Portfolio Intermediate Term Corporate Bond ETF | 5.0 | ||
TOTAL | 47.8% |
% of Net Assets | |||
International Equity | 31.9% | ||
Domestic Equity | 26.6 | ||
Domestic Fixed Income | 21.5 | ||
Inflation Linked | 5.1 | ||
International Fixed Income | 4.0 | ||
Commodities | 4.0 | ||
Real Estate | 2.9 | ||
Short Term Investments | 28.9 | ||
Liabilities in Excess of Other Assets | (24.9) | ||
TOTAL | 100.0% |
Description | % of Net Assets | ||
Treasury Notes 0.25% 9/30/2023 | 6.6% | ||
U.S. Treasury Bill 0.05% 1/13/2022 | 3.8 | ||
Nissan Master Owner Trust Receivables ABS 0.67% 2/15/2024 | 2.5 | ||
Golden Credit Card Trust ABS 0.63% 7/15/2024 | 1.8 | ||
Master Credit Card Trust II ABS 0.59% 7/21/2024 | 1.6 | ||
TOTAL | 16.3% |
% of Net Assets | |||
Corporate Bonds & Notes | 56.0% | ||
Asset-Backed Securities | 6.9 | ||
Commercial Mortgage Backed Securities | 4.6 | ||
Mortgage-Backed Securities | 2.7 | ||
Short-Term Investment | 18.6 | ||
U.S. Treasury Obligations | 10.4 | ||
Other Assets in Excess of Liabilities | 0.8 | ||
TOTAL | 100.0% |
Description | % of Net Assets | ||
SPDR Blackstone Senior Loan ETF | 4.5% | ||
DirecTV Financing, LLC Senior Secured Term Loan 5.75% 8/2/2027 | 1.5 | ||
OneMain Direct Auto Receivables Trust ABS 0.87% 7/14/2028 | 1.3 | ||
E.W. Scripps Company (The) Senior Secured 2019 Term Loan B2 Zero Coupon, 5/1/2026 | 1.2 | ||
Medline Industries, Inc. Zero Coupon, 10/23/2028 | 1.2 | ||
TOTAL | 9.7% |
% of Net Assets | |||
Asset-Backed Securities | 6.7% | ||
Commercial Mortgage Backed Securities | 0.2 | ||
Banks | 7.6 | ||
Media | 6.0 | ||
Commercial Services | 5.0 | ||
Oil & Gas | 5.0 | ||
Commercial Mortgage-Backed Securities | 4.5 | ||
Internet | 4.3 | ||
Diversified Financial Services | 4.0 | ||
Software | 4.0 | ||
Insurance | 3.6 | ||
Retail | 3.6 | ||
Chemicals | 2.8 | ||
Telecommunications | 2.8 | ||
Auto Manufacturers | 2.6 | ||
Health Care Products | 2.2 | ||
Real Estate Investment Trusts | 2.1 | ||
Lodging | 2.1 | ||
Health Care Services | 2.1 | ||
Airlines | 2.1 | ||
Food | 2.1 | ||
Electric | 1.8 | ||
Semiconductors | 1.8 | ||
Entertainment | 1.7 | ||
Investment Company Security | 1.3 | ||
Pharmaceuticals | 1.0 | ||
Transportation | 1.0 | ||
Electronics | 0.9 | ||
Pipelines | 0.8 | ||
Advertising | 0.7 | ||
Computers | 0.7 | ||
Oil & Gas Services | 0.7 | ||
Energy-Alternate Sources | 0.7 | ||
Environmental Control | 0.7 | ||
Machinery-Diversified | 0.6 | ||
Mining | 0.6 | ||
Construction Materials | 0.5 | ||
Building Materials | 0.5 | ||
Packaging & Containers | 0.5 | ||
Coal | 0.5 | ||
Auto Parts & Equipment | 0.4 | ||
IT Services | 0.4 | ||
Electrical Components & Equipment | 0.4 | ||
Forest Products & Paper | 0.4 | ||
Iron/Steel | 0.3 | ||
Home Furnishings | 0.3 | ||
Miscellaneous Manufacturer | 0.3 | ||
Engineering & Construction | 0.3 | ||
Beverages | 0.2 | ||
Leisure Time | 0.2 | ||
Aerospace & Defense | 0.1 | ||
Agriculture | 0.0* | ||
Biotechnology | 0.0* | ||
Short-Term Investment | 9.5 | ||
Liabilities in Excess of Other Assets | (5.2) | ||
TOTAL | 100.0% |
* | Amount shown represents less than 0.05% of net assets. |
Description | % of Net Assets | ||
Los Angeles, CA, Unified School District, General Obligation 5.00% 7/1/2029 | 3.3% | ||
State of Florida Revenue 5.00% 6/1/2029 | 3.3 | ||
Metropolitan Council, Minneapolis-Saint Paul, MN, Metropolitan Area, General Obligation 5.00% 12/1/2028 | 3.3 | ||
Georgia, State General Obligation 5.00% 7/1/2028 | 3.3 | ||
New Jersey Economic Development Authority Revenue 5.00% 6/15/2031 | 3.3 | ||
TOTAL | 16.5% |
% of Net Assets | |||
Municipal Bonds & Notes | 94.5% | ||
Short-Term Investment | 4.5 | ||
Other Assets in Excess of Liabilities | 1.0 | ||
TOTAL | 100.0% |
Security Description | Shares | Value | ||||
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS — 99.4% | ||||||
COMMODITIES — 24.3% | ||||||
Invesco Optimum Yield Diversified Commodity Strategy No. K-1 ETF (a) | 3,154,283 | $ 44,349,219 | ||||
DOMESTIC EQUITY — 4.0% | ||||||
The Energy Select Sector SPDR Fund (b) | 130,091 | 7,220,050 | ||||
INFLATION LINKED — 9.5% | ||||||
SPDR Bloomberg 1-10 Year TIPS ETF (b) | 816,583 | 17,246,233 | ||||
INTERNATIONAL EQUITY — 23.4% | ||||||
SPDR S&P Global Infrastructure ETF (b) | 777,014 | 42,153,010 | ||||
VanEck Vectors Agribusiness ETF | 5,348 | 510,306 | ||||
42,663,316 | ||||||
INTERNATIONAL FIXED INCOME — 4.2% | ||||||
SPDR FTSE International Government Inflation-Protected Bond ETF (b) | 141,353 | 7,606,205 | ||||
NATURAL RESOURCES — 26.9% | ||||||
SPDR S&P Global Natural Resources ETF (a)(b) | 809,312 | 43,670,476 | ||||
SPDR S&P Metals & Mining ETF (a)(b) | 121,335 | 5,433,381 | ||||
49,103,857 | ||||||
REAL ESTATE — 7.1% | ||||||
SPDR Dow Jones International Real Estate ETF (b) | 102,429 | 3,646,472 | ||||
SPDR Dow Jones REIT ETF (a)(b) | 75,661 | 9,242,748 | ||||
12,889,220 | ||||||
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS (Cost $183,051,203) | 181,078,100 |
Security Description | Shares | Value | ||||
SHORT-TERM INVESTMENTS — 4.4% | ||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 0.03% (c)(d) | 1,092,405 | $ 1,092,405 | ||||
State Street Navigator Securities Lending Portfolio II (e)(f) | 6,946,536 | 6,946,536 | ||||
TOTAL SHORT-TERM INVESTMENTS (Cost $8,038,941) | $ 8,038,941 | |||||
TOTAL INVESTMENTS — 103.8% (Cost $191,090,144) | 189,117,041 | |||||
LIABILITIES IN EXCESS OF OTHER ASSETS — (3.8)% | (6,903,408) | |||||
NET ASSETS — 100.0% | $ 182,213,633 |
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, 2021. |
(b) | Affiliated fund managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2021 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, 2021 are shown in the Affiliate Table below. |
(d) | The rate shown is the annualized seven-day yield at December 31, 2021. |
(e) | The Fund invested in an affiliated entity. Amounts related to these transactions during the period ended December 31, 2021 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 | $181,078,100 | $— | $— | $181,078,100 | ||||
Short-Term Investments | 8,038,941 | — | — | 8,038,941 | ||||
TOTAL INVESTMENTS | $ 189,117,041 | $— | $— | $ 189,117,041 |
Number of Shares Held at 6/30/21 | Value at 6/30/21 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 12/31/21 | Value at 12/31/21 | Dividend Income | |||||||||
SPDR Bloomberg 1-10 Year TIPS ETF | 524,888 | $ 11,093,508 | $ 9,345,046 | $ 3,152,491 | $ (1,113) | $ (38,717) | 816,583 | $ 17,246,233 | $ 421,984 | ||||||||
SPDR Dow Jones International Real Estate ETF | 70,066 | 2,572,824 | 1,886,118 | 712,337 | 9,823 | (109,956) | 102,429 | 3,646,472 | 120,032 | ||||||||
SPDR Dow Jones REIT ETF | 49,905 | 5,234,535 | 5,725,146 | 2,942,623 | 235,558 | 990,132 | 75,661 | 9,242,748 | 143,452 | ||||||||
SPDR FTSE International Government Inflation-Protected Bond ETF | 87,385 | 4,931,135 | 3,976,270 | 997,584 | (1,083) | (302,533) | 141,353 | 7,606,205 | 185,699 | ||||||||
SPDR S&P Global Infrastructure ETF | 542,787 | 28,338,909 | 20,923,463 | 8,367,260 | 204,206 | 1,053,692 | 777,014 | 42,153,010 | 675,824 | ||||||||
SPDR S&P Global Natural Resources ETF | 605,103 | 32,070,459 | 21,838,861 | 10,991,965 | 289,278 | 463,843 | 809,312 | 43,670,476 | 1,034,948 | ||||||||
SPDR S&P Metals & Mining ETF | 113,854 | 4,902,553 | 3,260,381 | 3,013,725 | 226,140 | 58,032 | 121,335 | 5,433,381 | 17,607 | ||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 606,310 | 606,310 | 13,902,279 | 13,416,184 | — | — | 1,092,405 | 1,092,405 | 64 | ||||||||
State Street Navigator Securities Lending Portfolio II | 12,421,543 | 12,421,543 | 122,899,180 | 128,374,187 | — | — | 6,946,536 | 6,946,536 | 28,555 | ||||||||
The Energy Select Sector SPDR Fund | 95,477 | 5,143,346 | 3,875,736 | 2,087,036 | 153,927 | 134,077 | 130,091 | 7,220,050 | 163,911 | ||||||||
Total | $107,315,122 | $207,632,480 | $174,055,392 | $1,116,736 | $2,248,570 | $144,257,516 | $2,792,076 |
Security Description | Shares | Value | ||||
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS — 99.7% | ||||||
DOMESTIC EQUITY — 25.8% | ||||||
Invesco KBW Premium Yield Equity REIT ETF | 87,814 | $ 2,255,064 | ||||
iShares Mortgage Real Estate ETF (a) | 160,734 | 5,546,930 | ||||
SPDR ICE Preferred Securities ETF (b) | 195,437 | 8,386,202 | ||||
SPDR Portfolio S&P 500 High Dividend ETF (b) | 337,885 | 14,208,064 | ||||
30,396,260 | ||||||
DOMESTIC FIXED INCOME — 48.7% | ||||||
SPDR Blackstone Senior Loan ETF (b) | 518,670 | 23,666,912 | ||||
SPDR Bloomberg Convertible Securities ETF (a)(b) | 69,930 | 5,801,393 | ||||
SPDR Bloomberg High Yield Bond ETF (b) | 69,188 | 7,511,741 | ||||
SPDR Portfolio Long Term Corporate Bond ETF (b) | 345,574 | 10,878,669 | ||||
SPDR Portfolio Long Term Treasury ETF (b) | 224,380 | 9,457,617 | ||||
57,316,332 | ||||||
INTERNATIONAL EQUITY — 15.2% | ||||||
SPDR S&P Global Infrastructure ETF (b) | 109,768 | 5,954,914 | ||||
SPDR S&P International Dividend ETF (b) | 308,169 | 11,981,611 | ||||
17,936,525 | ||||||
INTERNATIONAL FIXED INCOME — 10.0% | ||||||
SPDR Bloomberg Emerging Markets Local Bond ETF (a)(b) | 482,566 | 11,793,913 | ||||
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS (Cost $116,292,090) | 117,443,030 |
Security Description | Shares | Value | ||||
SHORT-TERM INVESTMENTS — 6.2% | ||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 0.03% (c)(d) | 391,636 | $ 391,636 | ||||
State Street Navigator Securities Lending Portfolio II (e)(f) | 6,980,772 | 6,980,772 | ||||
TOTAL SHORT-TERM INVESTMENTS (Cost $7,372,408) | $ 7,372,408 | |||||
TOTAL INVESTMENTS — 105.9% (Cost $123,664,498) | 124,815,438 | |||||
LIABILITIES IN EXCESS OF OTHER ASSETS — (5.9)% | (6,979,606) | |||||
NET ASSETS — 100.0% | $ 117,835,832 |
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, 2021. |
(b) | Affiliated fund managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2021 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, 2021 are shown in the Affiliate Table below. |
(d) | The rate shown is the annualized seven-day yield at December 31, 2021. |
(e) | The Fund invested in an affiliated entity. Amounts related to these transactions during the period ended December 31, 2021 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 | $ 117,443,030 | $— | $— | $ 117,443,030 | ||||
Short-Term Investments | 7,372,408 | — | — | 7,372,408 | ||||
TOTAL INVESTMENTS | $124,815,438 | $— | $— | $124,815,438 |
Number of Shares Held at 6/30/21 | Value at 6/30/21 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 12/31/21 | Value at 12/31/21 | Dividend Income | |||||||||
SPDR Blackstone Senior Loan ETF | 549,297 | $ 25,426,958 | $ 3,580,716 | $ 4,975,012 | $ (7,765) | $ (357,985) | 518,670 | $ 23,666,912 | $ 610,677 | ||||||||
SPDR Bloomberg Convertible Securities ETF | 76,343 | 6,621,229 | 992,723 | 1,534,029 | 377,962 | (656,492) | 69,930 | 5,801,393 | 82,732 | ||||||||
SPDR Bloomberg Emerging Markets Local Bond ETF | 468,207 | 12,374,711 | 2,364,568 | 2,049,341 | (34,102) | (861,923) | 482,566 | 11,793,913 | 254,834 | ||||||||
SPDR Bloomberg High Yield Bond ETF | 81,478 | 8,959,321 | 3,717,209 | 5,073,840 | 36,167 | (127,116) | 69,188 | 7,511,741 | 164,139 | ||||||||
SPDR ICE Preferred Securities ETF | 201,783 | 8,922,844 | 1,268,327 | 1,553,460 | (12,690) | (238,819) | 195,437 | 8,386,202 | 239,289 | ||||||||
SPDR Portfolio Long Term Corporate Bond ETF | 310,973 | 9,882,722 | 3,329,516 | 2,245,119 | 111,188 | (199,638) | 345,574 | 10,878,669 | 181,525 | ||||||||
SPDR Portfolio Long Term Treasury ETF | 216,247 | 8,931,001 | 3,058,553 | 2,767,663 | 119,684 | 116,042 | 224,380 | 9,457,617 | 90,254 | ||||||||
SPDR Portfolio S&P 500 High Dividend ETF | 480,228 | 19,252,341 | 3,033,849 | 8,772,007 | 301,643 | 392,238 | 337,885 | 14,208,064 | 213,959 | ||||||||
SPDR S&P Global Infrastructure ETF | 117,732 | 6,146,788 | 854,704 | 1,257,734 | 47,249 | 163,907 | 109,768 | 5,954,914 | 90,385 | ||||||||
SPDR S&P International Dividend ETF | 279,929 | 11,029,202 | 4,011,097 | 3,020,701 | 117,420 | (155,407) | 308,169 | 11,981,611 | 225,597 | ||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 85,137 | 85,137 | 1,004,841 | 698,342 | — | — | 391,636 | 391,636 | 42 | ||||||||
State Street Navigator Securities Lending Portfolio II | 10,114,067 | 10,114,067 | 187,616,340 | 190,749,635 | — | — | 6,980,772 | 6,980,772 | 71,916 | ||||||||
Total | $127,746,321 | $214,832,443 | $224,696,883 | $1,056,756 | $(1,925,193) | $117,013,444 | $2,225,349 |
Security Description | Shares | Value | ||||
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS — 96.0% | ||||||
COMMODITIES — 4.0% | ||||||
Invesco DB Gold Fund (a) | 56,121 | $ 2,938,215 | ||||
Invesco Optimum Yield Diversified Commodity Strategy No. K-1 ETF (b) | 606,052 | 8,521,091 | ||||
11,459,306 | ||||||
DOMESTIC EQUITY — 26.6% | ||||||
SPDR Portfolio S&P 600 Small Cap ETF (c) | 284,063 | 12,694,776 | ||||
SPDR S&P 500 ETF Trust (c) | 85,377 | 40,550,660 | ||||
SPDR S&P MidCap 400 ETF Trust (c) | 11,816 | 6,116,907 | ||||
The Energy Select Sector SPDR Fund (c) | 99,412 | 5,517,366 | ||||
The Financial Select Sector SPDR Fund (c) | 76,546 | 2,989,121 | ||||
The Materials Select Sector SPDR Fund (b)(c) | 33,633 | 3,047,486 | ||||
The Technology Select Sector SPDR Fund (b)(c) | 31,884 | 5,543,671 | ||||
76,459,987 | ||||||
DOMESTIC FIXED INCOME — 21.5% | ||||||
SPDR Bloomberg High Yield Bond ETF (c) | 80,207 | 8,708,074 | ||||
SPDR Portfolio Aggregate Bond ETF (c) | 339,123 | 10,044,823 | ||||
SPDR Portfolio Intermediate Term Corporate Bond ETF (b)(c) | 398,136 | 14,392,616 | ||||
SPDR Portfolio Long Term Corporate Bond ETF (c) | 456,793 | 14,379,844 | ||||
SPDR Portfolio Long Term Treasury ETF (c) | 337,972 | 14,245,520 | ||||
61,770,877 | ||||||
INFLATION LINKED — 5.1% | ||||||
SPDR Portfolio TIPS ETF (b)(c) | 461,980 | 14,552,370 | ||||
INTERNATIONAL EQUITY — 31.9% | ||||||
SPDR Portfolio Developed World ex-US ETF (b)(c) | 1,468,603 | 53,574,637 | ||||
SPDR Portfolio Emerging Markets ETF (b)(c) | 287,281 | 11,919,289 | ||||
SPDR Portfolio Europe ETF (c) | 338,908 | 14,440,870 | ||||
SPDR S&P Emerging Markets SmallCap ETF (c) | 50,931 | 3,020,718 | ||||
SPDR S&P International Small Cap ETF (b)(c) | 237,733 | 8,979,175 | ||||
91,934,689 |
Security Description | Shares | Value | ||||
INTERNATIONAL FIXED INCOME — 4.0% | ||||||
SPDR Bloomberg Emerging Markets Local Bond ETF (b)(c) | 118,471 | $ 2,895,431 | ||||
SPDR Bloomberg International Corporate Bond ETF (b)(c) | 83,399 | 2,884,772 | ||||
SPDR FTSE International Government Inflation-Protected Bond ETF (b)(c) | 107,649 | 5,792,593 | ||||
11,572,796 | ||||||
REAL ESTATE — 2.9% | ||||||
SPDR Dow Jones International Real Estate ETF (b)(c) | 167,171 | 5,951,288 | ||||
SPDR Dow Jones REIT ETF (b)(c) | 20,616 | 2,518,450 | ||||
8,469,738 | ||||||
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS (Cost $235,371,525) | 276,219,763 | |||||
SHORT-TERM INVESTMENTS — 28.9% | ||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 0.03% (d)(e) | 10,989,449 | 10,989,449 | ||||
State Street Navigator Securities Lending Portfolio II (f)(g) | 72,250,781 | 72,250,781 | ||||
TOTAL SHORT-TERM INVESTMENTS (Cost $83,240,230) | $ 83,240,230 | |||||
TOTAL INVESTMENTS — 124.9% (Cost $318,611,755) | 359,459,993 | |||||
LIABILITIES IN EXCESS OF OTHER ASSETS — (24.9)% | (71,769,444) | |||||
NET ASSETS — 100.0% | $ 287,690,549 |
The Fund invests in other funds and financial statements of underlying funds can be found at www.sec.gov. | |
(a) | Non-income producing security. |
(b) | All or a portion of the shares of the security are on loan at December 31, 2021. |
(c) | Affiliated fund managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2021 are shown in the Affiliate Table below. |
(d) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2021 are shown in the Affiliate Table below. |
(e) | The rate shown is the annualized seven-day yield at December 31, 2021. |
(f) | The Fund invested in an affiliated entity. Amounts related to these transactions during the period ended December 31, 2021 are shown in the Affiliate Table below. |
(g) | 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 | $276,219,763 | $— | $— | $276,219,763 | ||||
Short-Term Investments | 83,240,230 | — | — | 83,240,230 | ||||
TOTAL INVESTMENTS | $359,459,993 | $— | $— | $359,459,993 |
Number of Shares Held at 6/30/21 | Value at 6/30/21 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 12/31/21 | Value at 12/31/21 | Dividend Income | |||||||||
SPDR Bloomberg Emerging Markets Local Bond ETF | 105,951 | $ 2,800,285 | $ 519,961 | $ 199,202 | $ (5,579) | $ (220,034) | 118,471 | $ 2,895,431 | $ 62,432 | ||||||||
SPDR Bloomberg High Yield Bond ETF | 104,639 | 11,506,104 | 21,204,408 | 23,785,331 | 534,530 | (751,637) | 80,207 | 8,708,074 | 178,518 | ||||||||
SPDR Bloomberg International Corporate Bond ETF | — | — | 3,041,325 | 116,973 | (1,842) | (37,738) | 83,399 | 2,884,772 | 2,425 | ||||||||
SPDR Dow Jones International Real Estate ETF | 74,309 | 2,728,626 | 3,857,546 | 380,493 | 33,548 | (287,939) | 167,171 | 5,951,288 | 190,977 | ||||||||
SPDR Dow Jones REIT ETF | 26,393 | 2,768,362 | 282,302 | 971,709 | 199,254 | 240,241 | 20,616 | 2,518,450 | 48,439 | ||||||||
SPDR FTSE International Government Inflation-Protected Bond ETF | — | — | 6,029,685 | 176,368 | 1,000 | (61,724) | 107,649 | 5,792,593 | 84,501 | ||||||||
SPDR Portfolio Aggregate Bond ETF | 239,071 | 7,174,521 | 26,734,900 | 23,742,349 | (58,355) | (63,894) | 339,123 | 10,044,823 | 147,406 | ||||||||
SPDR Portfolio Developed World ex-US ETF | 1,158,110 | 42,606,867 | 17,847,267 | 6,524,518 | 764,533 | (1,119,512) | 1,468,603 | 53,574,637 | 865,039 | ||||||||
SPDR Portfolio Emerging Markets ETF | 435,506 | 19,815,523 | 2,371,902 | 8,929,944 | 913,222 | (2,251,414) | 287,281 | 11,919,289 | 256,410 | ||||||||
SPDR Portfolio Europe ETF | 261,673 | 10,951,015 | 14,202,659 | 11,062,782 | (214,672) | 564,650 | 338,908 | 14,440,870 | 143,953 | ||||||||
SPDR Portfolio Intermediate Term Corporate Bond ETF | 467,736 | 17,165,911 | 1,911,890 | 4,463,416 | 22,477 | (244,246) | 398,136 | 14,392,616 | 131,361 | ||||||||
SPDR Portfolio Long Term Corporate Bond ETF | 461,225 | 14,657,731 | 1,558,849 | 1,708,977 | 54,374 | (182,133) | 456,793 | 14,379,844 | 246,906 | ||||||||
SPDR Portfolio Long Term Treasury ETF | 212,957 | 8,795,124 | 6,825,944 | 1,519,668 | 69,963 | 74,157 | 337,972 | 14,245,520 | 107,211 | ||||||||
SPDR Portfolio S&P 600 Small Cap ETF | 315,273 | 13,853,095 | 6,984,064 | 8,653,760 | 722,127 | (210,750) | 284,063 | 12,694,776 | 152,908 | ||||||||
SPDR Portfolio TIPS ETF | 461,214 | 14,362,204 | 1,841,432 | 1,814,931 | 99,805 | 63,860 | 461,980 | 14,552,370 | 458,219 | ||||||||
SPDR S&P 500 ETF Trust | 141,995 | 60,782,380 | 13,837,937 | 39,493,060 | 8,909,653 | (3,486,250) | 85,377 | 40,550,660 | 384,216 | ||||||||
SPDR S&P Emerging Markets SmallCap ETF | 47,193 | 2,893,875 | 408,623 | 188,551 | 40,505 | (133,734) | 50,931 | 3,020,718 | 57,722 | ||||||||
SPDR S&P International Small Cap ETF | 214,290 | 8,284,451 | 1,552,398 | 677,505 | 126,578 | (306,747) | 237,733 | 8,979,175 | 150,277 | ||||||||
SPDR S&P MidCap 400 ETF Trust | 11,391 | 5,593,095 | 838,874 | 638,457 | 162,790 | 160,605 | 11,816 | 6,116,907 | 32,196 | ||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 4,881,145 | 4,881,145 | 17,374,088 | 11,265,784 | — | — | 10,989,449 | 10,989,449 | 900 | ||||||||
State Street Navigator Securities Lending Portfolio II | 42,661,109 | 42,661,109 | 770,028,894 | 740,439,222 | — | — | 72,250,781 | 72,250,781 | 150,056 | ||||||||
The Communication Services Select Sector SPDR Fund | — | — | 6,118,012 | 5,849,495 | (268,517) | — | — | — | 9,793 | ||||||||
The Consumer Staples Select Sector SPDR Fund | — | — | 8,924,385 | 9,040,655 | 116,270 | — | — | — | 17,922 | ||||||||
The Energy Select Sector SPDR Fund | 50,960 | 2,745,215 | 9,195,012 | 5,936,080 | (503,063) | 16,282 | 99,412 | 5,517,366 | 69,963 | ||||||||
The Financial Select Sector SPDR Fund | — | — | 5,952,234 | 2,924,388 | (68,218) | 29,493 | 76,546 | 2,989,121 | 13,655 | ||||||||
The Industrial Select Sector SPDR Fund | 27,205 | 2,785,792 | 2,892,872 | 5,743,851 | 20,591 | 44,596 | — | — | — | ||||||||
The Materials Select Sector SPDR Fund | 65,593 | 5,398,960 | 6,167,963 | 8,477,043 | (396,071) | 353,677 | 33,633 | 3,047,486 | 26,771 | ||||||||
The Technology Select Sector SPDR Fund | 41,332 | 6,103,083 | 662,352 | 2,216,396 | 295,970 | 698,662 | 31,884 | 5,543,671 | 20,664 | ||||||||
Total | $311,314,473 | $959,167,778 | $926,940,908 | $11,570,873 | $ (7,111,529) | $348,000,687 | $4,010,840 |
Security Description | Principal Amount | Value | ||||
CORPORATE BONDS & NOTES — 56.0% | ||||||
AEROSPACE & DEFENSE — 1.9% | ||||||
Boeing Co.: | ||||||
1.17%, 2/4/2023 | $ 665,000 | $ 665,113 | ||||
1.43%, 2/4/2024 | 1,000,000 | 998,930 | ||||
4.51%, 5/1/2023 | 5,000,000 | 5,216,100 | ||||
L3Harris Technologies, Inc. 3 Month USD LIBOR + 0.75%, 0.95%, 3/10/2023 (a) | 1,500,000 | 1,506,615 | ||||
8,386,758 | ||||||
AGRICULTURE — 1.0% | ||||||
BAT Capital Corp. 3 Month USD LIBOR + 0.88%, 1.04%, 8/15/2022 (a) | 2,000,000 | 2,004,840 | ||||
Imperial Brands Finance PLC 3.50%, 2/11/2023 (b) | 2,500,000 | 2,549,400 | ||||
4,554,240 | ||||||
AUTO MANUFACTURERS — 4.9% | ||||||
American Honda Finance Corp.: | ||||||
Series MTN, 3 Month USD LIBOR + 0.37%, 0.52%, 5/10/2023 (a) | 1,900,000 | 1,903,496 | ||||
Series MTN, 3 Month USD LIBOR + 0.45%, 0.61%, 2/15/2022 (a) | 3,000,000 | 3,001,200 | ||||
Series MTN, 3 Month USD LIBOR + 0.47%, 0.63%, 11/16/2022 (a) | 1,200,000 | 1,202,928 | ||||
Daimler Finance North America LLC: | ||||||
3 Month USD LIBOR + 0.88%, 1.04%, 2/22/2022 (a) (b) | 2,000,000 | 2,001,960 | ||||
3 Month USD LIBOR + 0.90%, 1.06%, 2/15/2022 (a) (b) | 1,250,000 | 1,251,062 | ||||
Daimler Trucks Finance North America LLC: | ||||||
3 Month USD LIBOR + 0.75%, 0.80%, 12/13/2024 (a) (b) | 1,500,000 | 1,501,395 | ||||
SOFR + 0.60%, 0.65%, 12/14/2023 (a) (b) | 1,500,000 | 1,501,605 | ||||
General Motors Financial Co., Inc. 3 Month USD LIBOR + 1.31%, 1.53%, 6/30/2022 (a) | 2,500,000 | 2,510,300 | ||||
Hyundai Capital America: | ||||||
0.80%, 1/8/2024 (b) | 1,500,000 | 1,481,265 | ||||
1.00%, 9/17/2024 (b) | 500,000 | 492,095 |
Security Description | Principal Amount | Value | ||||
Nissan Motor Acceptance Co. LLC: | ||||||
3 Month USD LIBOR + 0.64%, 0.83%, 3/8/2024 (a) (b) | $ 1,000,000 | $ 998,910 | ||||
3 Month USD LIBOR + 0.65%, 0.77%, 7/13/2022 (a) (b) | 2,000,000 | 2,001,120 | ||||
Toyota Motor Credit Corp. Series MTN, 3 Month USD LIBOR + 0.48%, 0.67%, 9/8/2022 (a) | 2,000,000 | 2,003,920 | ||||
21,851,256 | ||||||
BANKS — 19.0% | ||||||
Bank of America Corp.: | ||||||
SOFR + 0.73%, 0.78%, 10/24/2024 (a) | 2,000,000 | 2,010,080 | ||||
Series MTN, 3 Month USD LIBOR + 1.16%, 1.29%, 1/20/2023 (a) | 3,000,000 | 3,001,530 | ||||
Bank of Montreal SOFR + 0.35%, 0.40%, 12/8/2023 (a) | 1,755,000 | 1,752,297 | ||||
Barclays Bank PLC 1.70%, 5/12/2022 | 985,000 | 988,152 | ||||
CIT Group, Inc. 5.00%, 8/15/2022 | 2,308,000 | 2,364,061 | ||||
Citigroup, Inc.: | ||||||
3 Month USD LIBOR + 0.96%, 1.08%, 4/25/2022 (a) | 1,250,000 | 1,252,050 | ||||
3 Month USD LIBOR + 1.43%, 1.60%, 9/1/2023 (a) | 1,250,000 | 1,259,188 | ||||
Cooperatieve Rabobank UA 3 Month USD LIBOR + 0.48%, 0.60%, 1/10/2023 (a) | 250,000 | 250,688 | ||||
Credit Suisse Group AG 3 Month USD LIBOR + 1.20%, 1.40%, 12/14/2023 (a) (b) | 2,000,000 | 2,015,380 | ||||
Goldman Sachs Group, Inc.: | ||||||
3 Month USD LIBOR + 0.75%, 0.91%, 2/23/2023 (a) | 5,000,000 | 5,019,350 | ||||
SOFR + 0.50%, 0.54%, 10/21/2024 (a) | 2,500,000 | 2,491,450 | ||||
SOFR + 0.58%, 0.63%, 3/8/2024 (a) | 2,000,000 | 1,997,540 | ||||
HSBC Holdings PLC: | ||||||
4.25%, 3/14/2024 | 1,500,000 | 1,584,660 | ||||
SOFR + 0.60%, 0.63%, 11/22/2024 (a) | 1,250,000 | 1,249,963 | ||||
JPMorgan Chase & Co.: | ||||||
3 Month USD LIBOR + 0.73%, 0.85%, 4/23/2024 (a) | 2,000,000 | 2,010,540 |
Security Description | Principal Amount | Value | |||
3 Month USD LIBOR + 1.23%, 1.35%, 10/24/2023 (a) | $ 1,500,000 | $ 1,510,725 | |||
KeyBank NA Series BKNT, 3 Month USD LIBOR + 0.66%, 0.79%, 2/1/2022 (a) | 1,000,000 | 1,000,430 | |||
Lloyds Banking Group PLC 1 year CMT + 1.10%, 1.33%, 6/15/2023 (a) | 1,295,000 | 1,297,305 | |||
Macquarie Group, Ltd. SOFR + 0.71%, 0.76%, 10/14/2025 (a) (b) | 2,000,000 | 2,001,700 | |||
Mitsubishi UFJ Financial Group, Inc. 3 Month USD LIBOR + 0.79%, 0.91%, 7/25/2022 (a) | 3,000,000 | 3,010,200 | |||
Mizuho Financial Group, Inc. 3 Month USD LIBOR + 0.88%, 1.08%, 9/11/2022 (a) | 3,000,000 | 3,013,290 | |||
Morgan Stanley: | |||||
Series GMTN, 3 Month USD LIBOR + 1.22%, 1.36%, 5/8/2024 (a) | 2,682,000 | 2,713,701 | |||
Series GMTN, SOFR + 0.70%, 0.75%, 1/20/2023 (a) | 2,000,000 | 2,000,280 | |||
Series MTN, 3 Month USD LIBOR + 1.40%, 1.52%, 10/24/2023 (a) | 2,000,000 | 2,017,340 | |||
Series MTN, SOFR + 0.51%, 0.79%, 1/22/2025 (a) | 1,500,000 | 1,485,675 | |||
NatWest Markets PLC SOFR + 0.53%, 0.58%, 8/12/2024 (a) (b) | 2,125,000 | 2,128,251 | |||
Royal Bank of Canada: | |||||
SOFR + 0.53%, 0.57%, 1/20/2026 (a) | 500,000 | 499,250 | |||
Series GMTN, 3 Month USD LIBOR + 0.36%, 0.48%, 1/17/2023 (a) | 3,000,000 | 3,004,410 | |||
Series GMTN, SOFR + 0.40%, 0.45%, 8/5/2022 (a) | 3,000,000 | 3,004,350 | |||
Standard Chartered PLC SOFR + 1.25%, 1.30%, 10/14/2023 (a) (b) | 2,000,000 | 2,010,100 | |||
Sumitomo Mitsui Financial Group, Inc.: | |||||
3 Month USD LIBOR + 0.74%, 0.86%, 10/18/2022 (a) | 2,400,000 | 2,409,624 | |||
3 Month USD LIBOR + 0.80%, 0.92%, 10/16/2023 (a) | 1,000,000 | 1,008,370 | |||
3 Month USD LIBOR + 0.86%, 0.98%, 7/19/2023 (a) | 3,500,000 | 3,530,065 |
Security Description | Principal Amount | Value | ||||
Sumitomo Mitsui Trust Bank, Ltd.: | ||||||
0.80%, 9/16/2024 (b) | $ 2,500,000 | $ 2,462,725 | ||||
SOFR + 0.44%, 0.49%, 9/16/2024 (a) (b) | 2,500,000 | 2,497,650 | ||||
Toronto-Dominion Bank SOFR + 0.35%, 0.40%, 9/10/2024 (a) | 1,515,000 | 1,512,167 | ||||
Truist Bank SOFR + 0.20%, 0.25%, 1/17/2024 (a) | 3,000,000 | 2,991,300 | ||||
UBS Group AG: | ||||||
3 Month USD LIBOR + 0.95%, 1.11%, 8/15/2023 (a) (b) | 2,000,000 | 2,008,620 | ||||
3 Month USD LIBOR + 1.53%, 1.66%, 2/1/2022 (a) (b) | 3,000,000 | 3,003,120 | ||||
Wells Fargo & Co. 3 Month USD LIBOR + 1.23%, 1.36%, 10/31/2023 (a) | 1,500,000 | 1,511,355 | ||||
Westpac Banking Corp. 3 Month USD LIBOR + 0.39%, 0.51%, 1/13/2023 (a) | 2,000,000 | 2,004,700 | ||||
84,883,632 | ||||||
CHEMICALS — 0.3% | ||||||
DuPont de Nemours, Inc. 3 Month USD LIBOR + 1.11%, 1.27%, 11/15/2023 (a) | 1,460,000 | 1,479,652 | ||||
COMPUTERS — 0.5% | ||||||
Apple, Inc. 3 Month USD LIBOR + 0.50%, 0.64%, 2/9/2022 (a) | 750,000 | 750,337 | ||||
Leidos, Inc. 2.95%, 5/15/2023 | 1,435,000 | 1,469,397 | ||||
2,219,734 | ||||||
DIVERSIFIED FINANCIAL SERVICES — 1.7% | ||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust: | ||||||
SOFR + 0.68%, 0.73%, 9/29/2023 (a) | 1,615,000 | 1,613,837 | ||||
Series 3NC1, 1.75%, 10/29/2024 | 1,375,000 | 1,373,268 | ||||
American Express Credit Corp. Series MTN, 3 Month USD LIBOR + 0.70%, 0.87%, 3/3/2022 (a) | 619,000 | 619,266 | ||||
Blackstone Holdings Finance Co. LLC 4.75%, 2/15/2023 (b) | 3,000,000 | 3,120,570 | ||||
Blackstone Private Credit Fund 2.35%, 11/22/2024 (b) | 1,000,000 | 1,000,160 | ||||
7,727,101 |
Security Description | Principal Amount | Value | ||||
ELECTRIC — 4.8% | ||||||
Alliant Energy Finance LLC 3.75%, 6/15/2023 (b) | $ 1,000,000 | $ 1,035,200 | ||||
Black Hills Corp. 1.04%, 8/23/2024 | 1,000,000 | 990,080 | ||||
CenterPoint Energy, Inc. SOFR + 0.65%, 0.70%, 5/13/2024 (a) | 1,500,000 | 1,499,955 | ||||
Duke Energy Corp. SOFR + 0.25%, 0.30%, 6/10/2023 (a) | 2,500,000 | 2,496,600 | ||||
National Rural Utilities Cooperative Finance Corp. Series D, SOFR + 0.33%, 0.38%, 10/18/2024 (a) | 2,500,000 | 2,493,475 | ||||
NextEra Energy Capital Holdings, Inc.: | ||||||
SOFR + 0.40%, 0.45%, 11/3/2023 (a) | 2,500,000 | 2,496,875 | ||||
SOFR + 0.54%, 0.59%, 3/1/2023 (a) | 2,500,000 | 2,502,350 | ||||
Pacific Gas & Electric Co.: | ||||||
1.75%, 6/16/2022 | 770,000 | 769,469 | ||||
3 Month USD LIBOR + 1.48%, 1.69%, 6/16/2022 (a) | 1,500,000 | 1,500,375 | ||||
Pacific Gas and Electric Co. SOFR + 1.15%, 1.20%, 11/14/2022 (a) | 1,850,000 | 1,868,241 | ||||
Southern California Edison Co. Series J, 0.70%, 8/1/2023 | 3,850,000 | 3,831,828 | ||||
21,484,448 | ||||||
GAS — 2.6% | ||||||
Atmos Energy Corp. 3 Month USD LIBOR + 0.38%, 0.58%, 3/9/2023 (a) | 3,125,000 | 3,125,156 | ||||
CenterPoint Energy Resources Corp. 3 Month USD LIBOR + 0.50%, 0.67%, 3/2/2023 (a) | 6,000,000 | 5,989,080 | ||||
ONE Gas, Inc. 3 Month USD LIBOR + 0.61%, 0.81%, 3/11/2023 (a) | 2,500,000 | 2,502,675 | ||||
11,616,911 | ||||||
HEALTH CARE PRODUCTS — 2.2% | ||||||
Hill-Rom Holdings, Inc. 4.38%, 9/15/2027 (b) | 1,070,000 | 1,120,076 | ||||
PerkinElmer, Inc. 0.85%, 9/15/2024 | 1,000,000 | 985,940 | ||||
Thermo Fisher Scientific, Inc.: | ||||||
SOFR + 0.35%, 0.40%, 4/18/2023 (a) | 4,000,000 | 3,994,680 | ||||
SOFR + 0.40%, 0.44%, 10/18/2023 (a) | 2,500,000 | 2,503,375 |
Security Description | Principal Amount | Value | ||||
SOFR + 0.53%, 0.58%, 10/18/2024 (a) | $ 1,135,000 | $ 1,135,897 | ||||
9,739,968 | ||||||
HEALTH CARE SERVICES — 0.5% | ||||||
Centene Corp. 4.25%, 12/15/2027 | 2,000,000 | 2,092,180 | ||||
INSURANCE — 2.7% | ||||||
Allstate Corp. 3 Month USD LIBOR + 0.63%, 0.85%, 3/29/2023 (a) | 1,500,000 | 1,505,130 | ||||
Athene Global Funding SOFR + 0.70%, 0.75%, 5/24/2024 (a) (b) | 2,000,000 | 2,003,200 | ||||
Jackson National Life Global Funding SOFR + 0.60%, 0.65%, 1/6/2023 (a) (b) | 2,398,000 | 2,403,324 | ||||
MET Tower Global Funding SOFR + 0.55%, 0.60%, 1/17/2023 (a) (b) | 1,500,000 | 1,504,695 | ||||
Metropolitan Life Global Funding I SOFR + 0.57%, 0.62%, 1/13/2023 (a) (b) | 3,000,000 | 3,010,890 | ||||
Pricoa Global Funding I 2.40%, 9/23/2024 (b) | 1,500,000 | 1,549,935 | ||||
11,977,174 | ||||||
LEISURE TIME — 0.4% | ||||||
Brunswick Corp. 0.85%, 8/18/2024 | 2,000,000 | 1,972,300 | ||||
LODGING — 0.6% | ||||||
Hyatt Hotels Corp. 1.30%, 10/1/2023 | 2,530,000 | 2,531,240 | ||||
MACHINERY, CONSTRUCTION & MINING — 0.6% | ||||||
Caterpillar Financial Services Corp. Series MTN, 3 Month USD LIBOR + 0.59%, 0.77%, 6/6/2022 (a) | 2,872,000 | 2,876,768 | ||||
MACHINERY-DIVERSIFIED — 1.1% | ||||||
John Deere Capital Corp.: | ||||||
SOFR + 0.20%, 0.25%, 10/11/2024 (a) | 2,500,000 | 2,492,050 | ||||
Series MTN, 3 Month USD LIBOR + 0.48%, 0.67%, 9/8/2022 (a) | 1,395,000 | 1,398,432 | ||||
Rockwell Automation, Inc. 0.35%, 8/15/2023 | 1,000,000 | 994,190 | ||||
4,884,672 | ||||||
MISCELLANEOUS MANUFACTURER — 0.6% | ||||||
Carlisle Cos., Inc. 0.55%, 9/1/2023 | 575,000 | 570,572 |
Security Description | Principal Amount | Value | ||||
Siemens Financieringsmaatschappij NV SOFR + 0.43%, 0.48%, 3/11/2024 (a) (b) | $ 2,000,000 | $ 2,003,980 | ||||
2,574,552 | ||||||
OIL & GAS — 2.3% | ||||||
BP Capital Markets America, Inc. 3 Month USD LIBOR + 0.65%, 0.86%, 9/19/2022 (a) | 1,750,000 | 1,754,165 | ||||
BP Capital Markets PLC 3.99%, 9/26/2023 | 2,268,000 | 2,387,501 | ||||
Chevron Corp.: | ||||||
1.14%, 5/11/2023 | 285,000 | 286,838 | ||||
3 Month USD LIBOR + 0.48%, 0.65%, 3/3/2022 (a) | 500,000 | 500,265 | ||||
Chevron USA, Inc. 3.90%, 11/15/2024 | 1,000,000 | 1,072,720 | ||||
ConocoPhillips Co. 3 Month USD LIBOR + 0.90%, 1.06%, 5/15/2022 (a) | 2,100,000 | 2,103,570 | ||||
Continental Resources, Inc. 2.27%, 11/15/2026 (b) | 1,250,000 | 1,241,300 | ||||
Shell International Finance B.V. 3 Month USD LIBOR + 0.40%, 0.56%, 11/13/2023 (a) | 1,000,000 | 1,003,900 | ||||
10,350,259 | ||||||
PACKAGING & CONTAINERS — 0.5% | ||||||
Berry Global, Inc. 0.95%, 2/15/2024 | 1,000,000 | 989,840 | ||||
Graphic Packaging International LLC 0.82%, 4/15/2024 (b) | 1,500,000 | 1,476,555 | ||||
2,466,395 | ||||||
PHARMACEUTICALS — 3.0% | ||||||
AbbVie, Inc. 3 Month USD LIBOR + 0.65%, 0.81%, 11/21/2022 (a) | 1,415,000 | 1,420,349 | ||||
AmerisourceBergen Corp. 0.74%, 3/15/2023 | 805,000 | 803,012 | ||||
Astrazeneca Finance LLC 0.70%, 5/28/2024 | 3,000,000 | 2,976,780 | ||||
AstraZeneca PLC 3 Month USD LIBOR + 0.62%, 0.82%, 6/10/2022 (a) | 690,000 | 691,407 | ||||
Bayer US Finance II LLC 3 Month USD LIBOR + 1.01%, 1.21%, 12/15/2023 (a) (b) | 2,000,000 | 2,011,820 | ||||
Bristol-Myers Squibb Co.: | ||||||
0.54%, 11/13/2023 | 1,640,000 | 1,631,652 |
Security Description | Principal Amount | Value | ||||
3 Month USD LIBOR + 0.38%, 0.54%, 5/16/2022 (a) | $ 2,000,000 | $ 2,001,940 | ||||
Cigna Corp. 3 Month USD LIBOR + 0.89%, 1.01%, 7/15/2023 (a) | 2,000,000 | 2,017,260 | ||||
13,554,220 | ||||||
PIPELINES — 1.4% | ||||||
Enbridge, Inc. 0.55%, 10/4/2023 | 1,000,000 | 993,480 | ||||
Southern Natural Gas Co. LLC 0.63%, 4/28/2023 (b) | 2,145,000 | 2,136,591 | ||||
TransCanada PipeLines, Ltd. 1.00%, 10/12/2024 | 3,035,000 | 3,013,816 | ||||
6,143,887 | ||||||
REAL ESTATE INVESTMENT TRUSTS — 0.5% | ||||||
CC Holdings GS V LLC/Crown Castle GS III Corp. 3.85%, 4/15/2023 | 2,000,000 | 2,069,820 | ||||
RETAIL — 0.5% | ||||||
7-Eleven, Inc. 0.80%, 2/10/2024 (b) | 2,000,000 | 1,977,040 | ||||
Home Depot, Inc. 3 Month USD LIBOR + 0.31%, 0.48%, 3/1/2022 (a) | 500,000 | 500,105 | ||||
2,477,145 | ||||||
TELECOMMUNICATIONS — 1.9% | ||||||
AT&T, Inc.: | ||||||
0.90%, 3/25/2024 | 1,500,000 | 1,494,030 | ||||
1.70%, 3/25/2026 | 1,500,000 | 1,493,820 | ||||
SOFR + 0.64%, 0.69%, 3/25/2024 (a) | 1,500,000 | 1,500,375 | ||||
Verizon Communications, Inc.: | ||||||
3 Month USD LIBOR + 1.10%, 1.26%, 5/15/2025 (a) | 1,500,000 | 1,527,930 | ||||
SOFR + 0.50%, 0.55%, 3/22/2024 (a) | 2,500,000 | 2,507,425 | ||||
8,523,580 | ||||||
TRANSPORTATION — 0.5% | ||||||
Canadian Pacific Railway Co. 1.35%, 12/2/2024 | 1,895,000 | 1,897,255 | ||||
United Parcel Service, Inc. 3 Month USD LIBOR + 0.45%, 0.66%, 4/1/2023 (a) | 200,000 | 200,582 | ||||
2,097,837 | ||||||
TOTAL CORPORATE BONDS & NOTES (Cost $250,750,640) | 250,535,729 |
Security Description | Principal Amount | Value | |||
ASSET-BACKED SECURITIES — 6.9% | |||||
ASSET-BACKED - OTHER — 2.5% | |||||
Nissan Master Owner Trust Receivables Series 2019-A, Class A, 1 Month USD LIBOR + 0.56%, 0.67%, 2/15/2024 (a) | $ 11,345,000 | $ 11,349,827 | |||
AUTOMOBILE — 0.5% | |||||
CarMax Auto Owner Trust Series 2018-3, Class A3, 3.13%, 6/15/2023 | 94,890 | 95,134 | |||
Enterprise Fleet Financing LLC: | |||||
Series 2019-3, Class A2, 2.06%, 5/20/2025 (b) | 864,254 | 870,411 | |||
Series 2018-3, Class A2, 3.38%, 5/20/2024 (b) | 2,601 | 2,604 | |||
GM Financial Automobile Leasing Trust Series 2020-3, Class A2B, 1 Month USD LIBOR + 0.13%, 0.23%, 11/21/2022 (a) | 562,191 | 562,195 | |||
Santander Retail Auto Lease Trust Series 2019-B, Class A3, 2.30%, 1/20/2023 (b) | 540,003 | 540,889 | |||
World Omni Auto Receivables Trust Series 2018-B, Class A3, 2.87%, 7/17/2023 | 125,222 | 125,470 | |||
2,196,703 | |||||
CREDIT CARD — 3.9% | |||||
American Express Credit Account Master Trust Series 2017-5, Class A, 1 Month USD LIBOR + 0.38%, 0.49%, 2/18/2025 (a) | 1,000,000 | 1,001,622 | |||
Discover Card Execution Note Trust Series 2017-A7, Class A7, 1 Month USD LIBOR + 0.36%, 0.47%, 4/15/2025 (a) | 1,500,000 | 1,502,823 | |||
Golden Credit Card Trust Series 2017-4A, Class A, 1 Month USD LIBOR + 0.52%, 0.63%, 7/15/2024 (a) (b) | 7,800,000 | 7,809,003 | |||
Master Credit Card Trust II Series 2018-1A, Class A, 1 Month USD LIBOR + 0.49%, 0.59%, 7/21/2024 (a) (b) | 7,000,000 | 7,019,329 | |||
17,332,777 | |||||
TOTAL ASSET-BACKED SECURITIES (Cost $30,987,408) | 30,879,307 |
Security Description | Principal Amount | Value | |||
MORTGAGE-BACKED SECURITIES — 2.7% | |||||
BHMS Series 2018-ATLS, Class A, 1 Month USD LIBOR + 1.25%, 1.36%, 7/15/2035 (a) (b) | $ 2,870,000 | $ 2,867,210 | |||
BX Commercial Mortgage Trust: | |||||
Series 2018-BIOA, Class A, 1 Month USD LIBOR + 0.67%, 0.78%, 3/15/2037 (a) (b) | 3,205,669 | 3,205,095 | |||
Series 2019-XL, Class A, 1 Month USD LIBOR + 0.92%, 1.03%, 10/15/2036 (a) (b) | 1,585,051 | 1,584,653 | |||
Credit Suisse Mortgage Capital Certificates Series 2019-ICE4, Class A, 1 Month USD LIBOR + 0.98%, 1.09%, 5/15/2036 (a) (b) | 4,350,000 | 4,348,677 | |||
TOTAL MORTGAGE-BACKED SECURITIES (Cost $12,003,705) | 12,005,635 | ||||
COMMERCIAL MORTGAGE BACKED SECURITIES — 4.6% | |||||
BX 2021-LBA3 Mortgage Trust: | |||||
Series 2021-PAC, Class A, 1 Month USD LIBOR + 0.70%, 0.80%, 10/15/2036 (a) (b) | 5,250,000 | 5,225,625 | |||
Series 2021-PAC, Class B, 1 Month USD LIBOR + 0.90%, 1.01%, 10/15/2036 (a) (b) | 2,500,000 | 2,481,499 | |||
BX Commercial Mortgage Trust 2021-VOLT Series 2021-VOLT, Class A, 1 Month USD LIBOR + 0.70%, 0.81%, 9/15/2036 (a) (b) | 5,000,000 | 4,984,467 | |||
BX Trust Series 2021-LBA, Class AJV, 1 Month USD LIBOR + 0.80%, 0.91%, 2/15/2036 (a) (b) | 3,000,000 | 2,988,654 | |||
Cold Storage Trust Series 2020-ICE5, Class B, 1 Month USD LIBOR + 1.30%, 1.41%, 11/15/2037 (a) (b) | 4,914,953 | 4,904,770 | |||
TOTAL COMMERCIAL MORTGAGE BACKED SECURITIES (Cost $20,670,702) | 20,585,015 |
Security Description | Principal Amount | Value | |||
U.S. TREASURY OBLIGATIONS — 10.4% | |||||
Treasury Notes 0.25%, 9/30/2023 | $ 29,573,200 | $ 29,367,574 | |||
U.S. Treasury Bill 0.05%, 1/13/2022 | 17,000,000 | 16,999,929 | |||
TOTAL U.S. TREASURY OBLIGATIONS (Cost $46,453,510) | 46,367,503 |
Shares | |||
SHORT-TERM INVESTMENT — 18.6% | |||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 0.03% (c) (d) (Cost $83,418,920) | 83,418,920 | 83,418,920 | |
TOTAL INVESTMENTS — 99.2% (Cost $444,284,885) | 443,792,109 | ||
OTHER ASSETS IN EXCESS OF LIABILITIES — 0.8% | 3,670,238 | ||
NET ASSETS — 100.0% | $ 447,462,347 |
(a) | Variable Rate Security - Interest rate shown is rate in effect at December 31, 2021. 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 24.2% of net assets as of December 31, 2021, 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, 2021 are shown in the Affiliate Table below. |
(d) | The rate shown is the annualized seven-day yield at December 31, 2021. |
BKNT | Bank Notes |
CMT | Constant Maturity Treasury |
GMTN | Global Medium Term Note |
LIBOR | London Interbank Offered Rate |
MTN | Medium Term Note |
SOFR | Secured Overnight Financing Rate |
Description | Number of Contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation (Depreciation) | |||||
2 Yr. U.S. Treasury Notes Futures (long) | 18 | 03/31/2022 | $3,925,500 | $3,927,064 | $1,564 |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Corporate Bonds & Notes | $ — | $250,535,729 | $— | $250,535,729 | ||||
Asset-Backed Securities | — | 30,879,307 | — | 30,879,307 | ||||
U.S. Treasury Obligations | — | 46,367,503 | — | 46,367,503 | ||||
Mortgage-Backed Securities | — | 12,005,635 | — | 12,005,635 | ||||
Commercial Mortgage Backed Securities | — | 20,585,015 | — | 20,585,015 | ||||
Short-Term Investment | 83,418,920 | — | — | 83,418,920 | ||||
TOTAL INVESTMENTS | $83,418,920 | $360,373,189 | $— | $443,792,109 | ||||
OTHER FINANCIAL INSTRUMENTS: | ||||||||
Futures Contracts(a) | 1,564 | — | — | 1,564 | ||||
TOTAL OTHER FINANCIAL INSTRUMENTS: | $ 1,564 | $ — | $— | $ 1,564 | ||||
TOTAL INVESTMENTS AND OTHER FINANCIAL INSTRUMENTS | $83,420,484 | $360,373,189 | $— | $443,793,673 |
(a) | Futures Contracts are valued at unrealized appreciation (depreciation). |
Number of Shares Held at 6/30/21 | Value at 6/30/21 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 12/31/21 | Value at 12/31/21 | Dividend Income | |||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 62,702,468 | $62,702,468 | $234,377,372 | $213,660,920 | $— | $— | 83,418,920 | $83,418,920 | $8,434 |
Security Description | Principal Amount | Value | |||
CORPORATE BONDS & NOTES — 57.9% | |||||
ARGENTINA — 0.2% | |||||
MercadoLibre, Inc. 2.00%, 8/15/2028 | $ 28,000 | $ 87,070 | |||
AUSTRALIA — 0.4% | |||||
FMG Resources August 2006 Pty, Ltd. 4.50%, 9/15/2027 (a) | 150,000 | 159,431 | |||
Infrabuild Australia Pty, Ltd. 12.00%, 10/1/2024 (a) | 20,000 | 20,583 | |||
180,014 | |||||
CANADA — 1.3% | |||||
Baffinland Iron Mines Corp./Baffinland Iron Mines L.P. 8.75%, 7/15/2026 (a) | 70,000 | 73,018 | |||
Baytex Energy Corp. 8.75%, 4/1/2027 (a) | 70,000 | 73,208 | |||
Garda World Security Corp. 9.50%, 11/1/2027 (a) | 20,000 | 21,566 | |||
MEG Energy Corp. 7.13%, 2/1/2027 (a) | 145,000 | 154,422 | |||
Shopify, Inc. 0.13%, 11/1/2025 | 10,000 | 12,386 | |||
Strathcona Resources, Ltd. 6.88%, 8/1/2026 (a) | 70,000 | 68,736 | |||
Taseko Mines, Ltd. 7.00%, 2/15/2026 (a) | 70,000 | 72,941 | |||
Telesat Canada/Telesat LLC 6.50%, 10/15/2027 (a) | 25,000 | 19,374 | |||
Tervita Corp. 11.00%, 12/1/2025 (a) | 61,000 | 70,159 | |||
565,810 | |||||
CHINA — 0.4% | |||||
Alibaba Group Holding, Ltd. 3.15%, 2/9/2051 | 200,000 | 186,344 | |||
FRANCE — 0.5% | |||||
Societe Generale SA VRN, 1 year CMT + 1.30%, 2.89%, 6/9/2032 (a) (b) | 200,000 | 199,686 | |||
GERMANY — 1.3% | |||||
Deutsche Bank AG: | |||||
SOFR + 1.72%, 3.04%, 5/28/2032 (b) | 150,000 | 151,071 | |||
VRN, USD 5 year swap rate + 4.358%, 4.79%, 4/30/2025 (b) | 400,000 | 397,000 | |||
548,071 | |||||
IRELAND — 0.8% | |||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust 3.30%, 1/30/2032 | 150,000 | 152,970 |
Security Description | Principal Amount | Value | |||
Bank of Ireland Group PLC VRN, 1 year CMT + 1.10%, 2.03%, 9/30/2027 (a) (b) | $ 200,000 | $ 196,384 | |||
349,354 | |||||
ITALY — 1.7% | |||||
Intesa Sanpaolo SpA 1 year CMT + 2.75%, 4.95%, 6/1/2042 (a) (b) | 400,000 | 409,852 | |||
Telecom Italia Capital SA 7.20%, 7/18/2036 | 80,000 | 91,798 | |||
UniCredit SpA 5 Year USD ICE Swap + 4.914%, 7.30%, 4/2/2034 (a) (b) | 200,000 | 238,830 | |||
740,480 | |||||
LUXEMBOURG — 0.1% | |||||
ArcelorMittal SA 7.00%, 10/15/2039 | 30,000 | 41,513 | |||
SPAIN — 0.9% | |||||
Banco Santander SA: | |||||
1 year CMT + 1.60%, 3.23%, 11/22/2032 (b) | 200,000 | 200,402 | |||
VRN, USISDA05 + 4.989%, 7.50%, 2/8/2024 (b) | 200,000 | 215,000 | |||
415,402 | |||||
UNITED KINGDOM — 1.3% | |||||
Barclays PLC 1 year CMT + 1.30%, 2.89%, 11/24/2032 (b) | 200,000 | 200,998 | |||
Harbour Energy PLC 5.50%, 10/15/2026 (a) | 200,000 | 198,658 | |||
TechnipFMC PLC 6.50%, 2/1/2026 (a) | 140,000 | 149,597 | |||
549,253 | |||||
UNITED STATES — 49.0% | |||||
99 Escrow Issuer, Inc. 7.50%, 1/15/2026 (a) | 20,000 | 15,740 | |||
ADT Security Corp. 4.88%, 7/15/2032 (a) | 115,000 | 117,485 | |||
Adtalem Global Education, Inc. 5.50%, 3/1/2028 (a) | 80,000 | 78,072 | |||
Aerie Pharmaceuticals, Inc. 1.50%, 10/1/2024 | 25,000 | 20,674 | |||
Airbnb, Inc. Zero Coupon, 3/15/2026 (a) | 15,000 | 14,687 | |||
Albertsons Cos., Inc./Safeway, Inc./New Albertsons L.P./Albertsons LLC 3.50%, 2/15/2023 (a) | 205,000 | 208,891 | |||
Allen Media LLC/Allen Media Co-Issuer, Inc. 10.50%, 2/15/2028 (a) | 35,000 | 36,533 |
Security Description | Principal Amount | Value | |||
Alliance Resource Operating Partners L.P./Alliance Resource Finance Corp. 7.50%, 5/1/2025 (a) | $ 70,000 | $ 70,974 | |||
Allied Universal Holdco LLC/Allied Universal Finance Corp. 9.75%, 7/15/2027 (a) | 80,000 | 85,517 | |||
Amazon.com, Inc. 3.10%, 5/12/2051 | 145,000 | 154,898 | |||
American Eagle Outfitters, Inc. 3.75%, 4/15/2025 | 3,000 | 9,031 | |||
American International Group, Inc. Series A-9, 3 Month USD LIBOR + 2.87%, 5.75%, 4/1/2048 (b) | 30,000 | 33,752 | |||
American Tower Corp. 2.30%, 9/15/2031 | 150,000 | 145,833 | |||
AMN Healthcare, Inc. 4.63%, 10/1/2027 (a) | 140,000 | 145,149 | |||
Antero Resources Corp. 8.38%, 7/15/2026 (a) | 145,000 | 165,069 | |||
Aon Corp./Aon Global Holdings PLC 2.60%, 12/2/2031 | 60,000 | 61,066 | |||
Arches Buyer, Inc. 6.13%, 12/1/2028 (a) | 45,000 | 45,300 | |||
Arrow Bidco LLC 9.50%, 3/15/2024 (a) | 35,000 | 35,830 | |||
Asbury Automotive Group, Inc. 4.63%, 11/15/2029 (a) | 60,000 | 61,228 | |||
Ashland LLC 3.38%, 9/1/2031 (a) | 110,000 | 109,047 | |||
AT&T, Inc. 3.65%, 9/15/2059 | 65,000 | 65,614 | |||
Athene Global Funding 2.65%, 10/4/2031 (a) | 150,000 | 148,410 | |||
Atkore, Inc. 4.25%, 6/1/2031 (a) | 125,000 | 128,340 | |||
Atlas Air Worldwide Holdings, Inc. 1.88%, 6/1/2024 | 15,000 | 24,459 | |||
Avis Budget Car Rental LLC/Avis Budget Finance, Inc. 5.75%, 7/15/2027 (a) | 55,000 | 57,336 | |||
Avnet, Inc. 3.00%, 5/15/2031 | 270,000 | 267,168 | |||
Bain Capital Specialty Finance, Inc. 2.55%, 10/13/2026 | 260,000 | 252,569 | |||
Bath & Body Works, Inc.: | |||||
5.25%, 2/1/2028 | 20,000 | 22,024 | |||
6.75%, 7/1/2036 | 50,000 | 61,486 | |||
6.95%, 3/1/2033 | 15,000 | 17,553 | |||
7.50%, 6/15/2029 | 10,000 | 11,388 | |||
BGC Partners, Inc. 4.38%, 12/15/2025 | 35,000 | 37,548 |
Security Description | Principal Amount | Value | |||
Bill.com Holdings, Inc. Zero Coupon, 12/1/2025 | $ 8,000 | $ 13,726 | |||
BlackRock TCP Capital Corp. 2.85%, 2/9/2026 | 80,000 | 80,700 | |||
BlackRock, Inc. 2.10%, 2/25/2032 | 110,000 | 109,162 | |||
Blackstone Holdings Finance Co. LLC 2.00%, 1/30/2032 (a) | 155,000 | 149,164 | |||
Blackstone Private Credit Fund: | |||||
2.35%, 11/22/2024 (a) | 150,000 | 150,024 | |||
2.63%, 12/15/2026 (a) | 225,000 | 219,548 | |||
Blackstone Secured Lending Fund: | |||||
2.75%, 9/16/2026 | 150,000 | 149,919 | |||
2.85%, 9/30/2028 (a) | 80,000 | 78,039 | |||
Blue Owl Finance LLC Co. 4.13%, 10/7/2051 (a) | 150,000 | 151,528 | |||
Boyd Gaming Corp. 4.75%, 6/15/2031 (a) | 55,000 | 56,376 | |||
Bristow Group, Inc. 6.88%, 3/1/2028 (a) | 70,000 | 72,860 | |||
Brixmor Operating Partnership L.P. 2.50%, 8/16/2031 | 125,000 | 122,291 | |||
Broadcom, Inc. 3.50%, 2/15/2041 (a) | 345,000 | 351,303 | |||
Builders FirstSource, Inc. 5.00%, 3/1/2030 (a) | 155,000 | 166,386 | |||
Burlington Stores, Inc. 2.25%, 4/15/2025 | 5,000 | 7,452 | |||
C&S Group Enterprises LLC 5.00%, 12/15/2028 (a) | 75,000 | 70,801 | |||
Caesars Entertainment, Inc. 4.63%, 10/15/2029 (a) | 95,000 | 95,540 | |||
Calpine Corp.: | |||||
4.63%, 2/1/2029 (a) | 25,000 | 24,785 | |||
5.13%, 3/15/2028 (a) | 95,000 | 96,531 | |||
Calumet Specialty Products Partners L.P./Calumet Finance Corp. 7.75%, 4/15/2023 | 55,000 | 54,993 | |||
CCO Holdings LLC/CCO Holdings Capital Corp. 4.25%, 1/15/2034 (a) | 120,000 | 118,166 | |||
Cedar Fair L.P. 5.25%, 7/15/2029 | 65,000 | 67,004 | |||
Change Healthcare Holdings LLC/Change Healthcare Finance, Inc. 5.75%, 3/1/2025 (a) | 45,000 | 45,432 | |||
Charles River Laboratories International, Inc. 3.75%, 3/15/2029 (a) | 150,000 | 152,317 |
Security Description | Principal Amount | Value | |||
Charter Communications Operating LLC/Charter Communications Operating Capital 3.90%, 6/1/2052 | $ 145,000 | $ 145,094 | |||
Citigroup, Inc.: | |||||
4.65%, 7/23/2048 | 115,000 | 148,156 | |||
4.75%, 5/18/2046 | 39,000 | 48,274 | |||
5.30%, 5/6/2044 | 75,000 | 98,089 | |||
Civitas Resources, Inc. 5.00%, 10/15/2026 (a) | 140,000 | 141,494 | |||
Clarios Global L.P./Clarios US Finance Co. 8.50%, 5/15/2027 (a) | 60,000 | 63,610 | |||
Cloudflare, Inc. Zero Coupon, 8/15/2026 (a) | 10,000 | 10,598 | |||
Coinbase Global, Inc. 3.63%, 10/1/2031 (a) | 120,000 | 110,591 | |||
Comcast Corp. 2.99%, 11/1/2063 (a) | 155,000 | 147,318 | |||
Conduent Business Services LLC/Conduent State & Local Solutions, Inc. 6.00%, 11/1/2029 (a) | 75,000 | 73,908 | |||
Confluent, Inc. Zero Coupon, 1/15/2027 (a) | 80,000 | 86,942 | |||
Continental Resources, Inc. 2.27%, 11/15/2026 (a) | 105,000 | 104,269 | |||
CoreCivic, Inc. 8.25%, 4/15/2026 | 80,000 | 83,600 | |||
Corporate Office Properties L.P. 2.75%, 4/15/2031 | 30,000 | 29,839 | |||
Covanta Holding Corp. 5.00%, 9/1/2030 | 85,000 | 86,794 | |||
CPI Acquisition, Inc. 8.63%, 3/15/2026 (a) | 70,000 | 73,946 | |||
Credit Acceptance Corp. 5.13%, 12/31/2024 (a) | 145,000 | 148,711 | |||
CVS Health Corp. 5.05%, 3/25/2048 | 115,000 | 150,472 | |||
Datadog, Inc. 0.13%, 6/15/2025 | 9,000 | 18,055 | |||
Del Monte Foods, Inc. 11.88%, 5/15/2025 (a) | 30,000 | 33,498 | |||
Dell International LLC/EMC Corp.: | |||||
6.20%, 7/15/2030 | 30,000 | 37,922 | |||
8.35%, 7/15/2046 | 26,000 | 43,544 | |||
Diamond BC B.V. 4.63%, 10/1/2029 (a) | 40,000 | 39,674 | |||
Dick's Sporting Goods, Inc. 3.25%, 4/15/2025 | 4,000 | 14,155 | |||
DocuSign, Inc. Zero Coupon, 1/15/2024 (a) | 12,000 | 11,565 | |||
Domtar Corp. 6.75%, 10/1/2028 (a) | 85,000 | 87,435 |
Security Description | Principal Amount | Value | |||
Elastic NV 4.13%, 7/15/2029 (a) | $ 70,000 | $ 69,214 | |||
Encino Acquisition Partners Holdings LLC 8.50%, 5/1/2028 (a) | 70,000 | 72,731 | |||
Endeavor Energy Resources L.P./EER Finance, Inc. 5.75%, 1/30/2028 (a) | 55,000 | 58,667 | |||
EnLink Midstream LLC 5.63%, 1/15/2028 (a) | 100,000 | 104,376 | |||
EnLink Midstream Partners L.P.: | |||||
4.85%, 7/15/2026 | 140,000 | 148,238 | |||
5.05%, 4/1/2045 | 15,000 | 14,471 | |||
Enstar Group, Ltd. 3.10%, 9/1/2031 | 35,000 | 34,264 | |||
Enviva Partners L.P./Enviva Partners Finance Corp. 6.50%, 1/15/2026 (a) | 75,000 | 77,604 | |||
Expedia Group, Inc. Zero Coupon, 2/15/2026 (a) | 10,000 | 11,556 | |||
Exterran Energy Solutions L.P./EES Finance Corp. 8.13%, 5/1/2025 | 75,000 | 69,750 | |||
FedEx Corp. 5.25%, 5/15/2050 | 35,000 | 46,904 | |||
Fidelity National Financial, Inc. 2.45%, 3/15/2031 | 55,000 | 54,262 | |||
FirstEnergy Corp. Series C, 5.35%, 7/15/2047 | 60,000 | 71,519 | |||
Ford Motor Co.: | |||||
Zero Coupon, 3/15/2026 (a) | 15,000 | 20,642 | |||
7.40%, 11/1/2046 | 40,000 | 55,476 | |||
9.00%, 4/22/2025 | 320,000 | 391,136 | |||
Fresh Market, Inc. 9.75%, 5/1/2023 (a) | 70,000 | 72,005 | |||
Frontier Communications Holdings LLC 6.00%, 1/15/2030 (a) | 20,000 | 20,085 | |||
Gannett Holdings LLC 6.00%, 11/1/2026 (a) | 75,000 | 76,796 | |||
Gartner, Inc. 4.50%, 7/1/2028 (a) | 100,000 | 104,442 | |||
General Motors Financial Co., Inc.: | |||||
2.90%, 2/26/2025 | 30,000 | 31,069 | |||
SOFR + 0.62%, 0.67%, 10/15/2024 (b) | 400,000 | 399,432 | |||
Series C, 5 Year USD + 4.997%, 5.70%, 9/30/2030 (b) | 125,000 | 143,554 | |||
Genesis Energy L.P./Genesis Energy Finance Corp. 6.50%, 10/1/2025 | 100,000 | 99,028 | |||
Global Medical Response, Inc. 6.50%, 10/1/2025 (a) | 75,000 | 75,939 |
Security Description | Principal Amount | Value | |||
Goldman Sachs Group, Inc. SOFR + 1.51%, 3.21%, 4/22/2042 (b) | $ 320,000 | $ 331,299 | |||
Goodyear Tire & Rubber Co. 5.63%, 4/30/2033 | 80,000 | 87,508 | |||
Gray Television, Inc. 7.00%, 5/15/2027 (a) | 95,000 | 101,570 | |||
Halozyme Therapeutics, Inc. 0.25%, 3/1/2027 (a) | 12,000 | 10,685 | |||
HAT Holdings I LLC/HAT Holdings II LLC 3.38%, 6/15/2026 (a) | 160,000 | 162,078 | |||
HCA, Inc. 5.88%, 2/1/2029 | 230,000 | 274,263 | |||
Helmerich & Payne, Inc. 2.90%, 9/29/2031 (a) | 225,000 | 222,086 | |||
Herc Holdings, Inc. 5.50%, 7/15/2027 (a) | 75,000 | 78,078 | |||
Hertz Corp. 5.00%, 12/1/2029 (a) | 185,000 | 185,485 | |||
Hexion, Inc. 7.88%, 7/15/2027 (a) | 70,000 | 74,072 | |||
Hilcorp Energy I L.P./Hilcorp Finance Co. 6.25%, 11/1/2028 (a) | 105,000 | 111,787 | |||
Hill-Rom Holdings, Inc. 4.38%, 9/15/2027 (a) | 145,000 | 151,786 | |||
HLF Financing SARL LLC/Herbalife International, Inc. 4.88%, 6/1/2029 (a) | 80,000 | 78,127 | |||
Host Hotels & Resorts L.P. Series J, 2.90%, 12/15/2031 | 110,000 | 106,389 | |||
HubSpot, Inc. 0.38%, 6/1/2025 | 5,000 | 11,875 | |||
Hyatt Hotels Corp. 5.75%, 4/23/2030 | 325,000 | 388,359 | |||
iHeartCommunications, Inc. 8.38%, 5/1/2027 | 60,000 | 63,318 | |||
Illumina, Inc. Zero Coupon, 8/15/2023 | 10,000 | 11,470 | |||
Illuminate Buyer LLC/Illuminate Holdings IV, Inc. 9.00%, 7/1/2028 (a) | 35,000 | 37,291 | |||
Ingles Markets, Inc. 4.00%, 6/15/2031 (a) | 120,000 | 121,374 | |||
Iron Mountain, Inc. 5.63%, 7/15/2032 (a) | 135,000 | 144,592 | |||
iStar, Inc. 4.25%, 8/1/2025 | 145,000 | 149,073 | |||
Jackson Financial, Inc. 3.13%, 11/23/2031 (a) | 95,000 | 95,830 | |||
Jefferies Group LLC/Jefferies Group Capital Finance, Inc. 2.63%, 10/15/2031 | 225,000 | 222,169 |
Security Description | Principal Amount | Value | |||
JPMorgan Chase & Co. SOFR + 1.46%, 3.16%, 4/22/2042 (b) | $ 135,000 | $ 140,569 | |||
Juniper Networks, Inc. 2.00%, 12/10/2030 | 355,000 | 336,142 | |||
KKR Group Finance Co. X LLC 3.25%, 12/15/2051 (a) | 65,000 | 64,818 | |||
Laredo Petroleum, Inc. 9.50%, 1/15/2025 | 75,000 | 76,918 | |||
Liberty Media Corp.-Liberty Formula One 1.00%, 1/30/2023 | 5,000 | 8,617 | |||
Liberty Mutual Group, Inc.: | |||||
4.30%, 2/1/2061 (a) | 160,000 | 150,454 | |||
VRN, 5 Year USD + 3.315%, 4.13%, 12/15/2051 (a) (b) | 160,000 | 160,091 | |||
Live Nation Entertainment, Inc. 4.88%, 11/1/2024 (a) | 105,000 | 106,311 | |||
Lowe's Cos., Inc. 2.80%, 9/15/2041 | 155,000 | 151,471 | |||
LSF11 A5 Holdco LLC 6.63%, 10/15/2029 (a) | 10,000 | 9,864 | |||
LSF9 Atlantis Holdings LLC/Victra Finance Corp. 7.75%, 2/15/2026 (a) | 70,000 | 70,748 | |||
Lumen Technologies, Inc.: | |||||
Series P, 7.60%, 9/15/2039 | 20,000 | 21,462 | |||
Series U, 7.65%, 3/15/2042 | 15,000 | 16,148 | |||
Lyft, Inc. 1.50%, 5/15/2025 | 10,000 | 13,339 | |||
Macy's Retail Holdings LLC: | |||||
4.50%, 12/15/2034 | 15,000 | 14,876 | |||
5.88%, 4/1/2029 (a) | 130,000 | 138,432 | |||
MGM Resorts International 6.75%, 5/1/2025 | 10,000 | 10,490 | |||
Micron Technology, Inc. 3.37%, 11/1/2041 | 105,000 | 107,829 | |||
MicroStrategy, Inc. 6.13%, 6/15/2028 (a) | 20,000 | 20,087 | |||
Middleby Corp. 1.00%, 9/1/2025 | 8,000 | 12,825 | |||
Millennium Escrow Corp. 6.63%, 8/1/2026 (a) | 70,000 | 70,209 | |||
ModivCare Escrow Issuer, Inc. 5.00%, 10/1/2029 (a) | 75,000 | 76,589 | |||
MongoDB, Inc. 0.25%, 1/15/2026 | 7,000 | 17,858 | |||
Moody's Corp. 2.00%, 8/19/2031 | 95,000 | 92,534 | |||
Morgan Stanley SOFR + 1.36%, 2.48%, 9/16/2036 (b) | 155,000 | 149,198 | |||
MSCI, Inc. 4.00%, 11/15/2029 (a) | 175,000 | 182,945 | |||
Mueller Water Products, Inc. 4.00%, 6/15/2029 (a) | 145,000 | 146,904 |
Security Description | Principal Amount | Value | |||
Murphy Oil Corp.: | |||||
5.88%, 12/1/2027 | $ 30,000 | $ 30,963 | |||
6.38%, 7/15/2028 | 105,000 | 111,741 | |||
Murphy Oil USA, Inc. 3.75%, 2/15/2031 (a) | 40,000 | 39,754 | |||
Navient Corp. Series MTN, 5.63%, 8/1/2033 | 20,000 | 19,044 | |||
Nestle Holdings, Inc. 2.50%, 9/14/2041 (a) | 155,000 | 152,292 | |||
Netflix, Inc.: | |||||
4.88%, 6/15/2030 (a) | 190,000 | 221,656 | |||
6.38%, 5/15/2029 | 10,000 | 12,464 | |||
NextEra Energy Operating Partners L.P. 4.50%, 9/15/2027 (a) | 150,000 | 161,742 | |||
Northern Oil & Gas, Inc. 8.13%, 3/1/2028 (a) | 140,000 | 147,928 | |||
NortonLifeLock, Inc. 2.00%, 8/15/2022 (a) | 10,000 | 12,962 | |||
NRG Energy, Inc. 5.25%, 6/15/2029 (a) | 165,000 | 176,652 | |||
Nutanix, Inc. Zero Coupon, 1/15/2023 | 12,000 | 12,170 | |||
Olin Corp. 5.00%, 2/1/2030 | 100,000 | 105,335 | |||
ON Semiconductor Corp. Zero Coupon, 5/1/2027 (a) | 20,000 | 29,286 | |||
Ortho-Clinical Diagnostics, Inc./Ortho-Clinical Diagnostics SA 7.25%, 2/1/2028 (a) | 15,000 | 16,116 | |||
Park River Holdings, Inc. 5.63%, 2/1/2029 (a) | 40,000 | 38,279 | |||
Patterson-UTI Energy, Inc. 5.15%, 11/15/2029 | 80,000 | 81,211 | |||
Pegasystems, Inc. 0.75%, 3/1/2025 | 10,000 | 10,580 | |||
Penn Virginia Escrow LLC 9.25%, 8/15/2026 (a) | 70,000 | 72,866 | |||
Phillips 66 3.30%, 3/15/2052 | 70,000 | 70,174 | |||
Photo Holdings Merger Sub, Inc. 8.50%, 10/1/2026 (a) | 75,000 | 78,040 | |||
Pilgrim's Pride Corp. 4.25%, 4/15/2031 (a) | 160,000 | 168,147 | |||
Pioneer Natural Resources Co. 0.25%, 5/15/2025 | 10,000 | 17,889 | |||
PM General Purchaser LLC 9.50%, 10/1/2028 (a) | 70,000 | 70,911 | |||
PRA Group, Inc. 5.00%, 10/1/2029 (a) | 100,000 | 100,405 | |||
Prestige Brands, Inc. 3.75%, 4/1/2031 (a) | 80,000 | 77,462 | |||
Public Storage 2.25%, 11/9/2031 | 70,000 | 70,221 |
Security Description | Principal Amount | Value | |||
Railworks Holdings L.P./Railworks Rally, Inc. 8.25%, 11/15/2028 (a) | $ 105,000 | $ 108,151 | |||
Rain CII Carbon LLC/CII Carbon Corp. 7.25%, 4/1/2025 (a) | 75,000 | 76,636 | |||
Range Resources Corp. 9.25%, 2/1/2026 | 90,000 | 97,087 | |||
Raytheon Technologies Corp. 3.13%, 7/1/2050 | 30,000 | 30,641 | |||
RegionalCare Hospital Partners Holdings, Inc./LifePoint Health, Inc. 9.75%, 12/1/2026 (a) | 60,000 | 63,305 | |||
Rockies Express Pipeline LLC 6.88%, 4/15/2040 (a) | 30,000 | 33,900 | |||
RR Donnelley & Sons Co. 6.13%, 11/1/2026 (a) | 75,000 | 82,275 | |||
Sammons Financial Group, Inc. 3.35%, 4/16/2031 (a) | 125,000 | 126,785 | |||
Seagate HDD Cayman 5.75%, 12/1/2034 | 115,000 | 132,564 | |||
Sealed Air Corp. 6.88%, 7/15/2033 (a) | 70,000 | 88,993 | |||
SeaWorld Parks & Entertainment, Inc. 5.25%, 8/15/2029 (a) | 30,000 | 30,561 | |||
Snap, Inc. Zero Coupon, 5/1/2027 (a) | 10,000 | 9,801 | |||
Spanish Broadcasting System, Inc. 9.75%, 3/1/2026 (a) | 70,000 | 72,214 | |||
Splunk, Inc. 1.13%, 9/15/2025 | 70,000 | 77,325 | |||
SRM Escrow Issuer LLC 6.00%, 11/1/2028 (a) | 50,000 | 53,369 | |||
Staples, Inc.: | |||||
7.50%, 4/15/2026 (a) | 40,000 | 41,082 | |||
10.75%, 4/15/2027 (a) | 25,000 | 23,548 | |||
Station Casinos LLC 4.50%, 2/15/2028 (a) | 30,000 | 30,264 | |||
Sunnova Energy Corp. 5.88%, 9/1/2026 (a) | 70,000 | 71,422 | |||
Switch, Ltd. 4.13%, 6/15/2029 (a) | 80,000 | 82,097 | |||
Sylvamo Corp. 7.00%, 9/1/2029 (a) | 75,000 | 78,618 | |||
Talen Energy Supply LLC 6.63%, 1/15/2028 (a) | 55,000 | 47,902 | |||
Tempur Sealy International, Inc.: | |||||
3.88%, 10/15/2031 (a) | 60,000 | 60,144 | |||
4.00%, 4/15/2029 (a) | 75,000 | 76,471 | |||
Tenet Healthcare Corp.: | |||||
6.75%, 6/15/2023 | 125,000 | 133,742 | |||
6.88%, 11/15/2031 | 35,000 | 40,009 |
Security Description | Principal Amount | Value | |||
Tenneco, Inc. 7.88%, 1/15/2029 (a) | $ 50,000 | $ 54,239 | |||
Teradyne, Inc. 1.25%, 12/15/2023 | 3,000 | 15,505 | |||
Terrier Media Buyer, Inc. 8.88%, 12/15/2027 (a) | 40,000 | 43,248 | |||
Thermo Fisher Scientific, Inc. 2.80%, 10/15/2041 | 95,000 | 95,932 | |||
Townsquare Media, Inc. 6.88%, 2/1/2026 (a) | 70,000 | 74,513 | |||
Union Pacific Corp. 2.95%, 3/10/2052 | 155,000 | 157,218 | |||
United Rentals North America, Inc. 5.25%, 1/15/2030 | 185,000 | 200,283 | |||
Univision Communications, Inc. 9.50%, 5/1/2025 (a) | 105,000 | 112,577 | |||
Upstart Holdings, Inc. 0.25%, 8/15/2026 (a) | 10,000 | 9,487 | |||
Urban One, Inc. 7.38%, 2/1/2028 (a) | 70,000 | 72,154 | |||
US Acute Care Solutions LLC 6.38%, 3/1/2026 (a) | 75,000 | 78,481 | |||
Vector Group, Ltd. 10.50%, 11/1/2026 (a) | 10,000 | 10,363 | |||
Verizon Communications, Inc.: | |||||
2.85%, 9/3/2041 | 45,000 | 44,432 | |||
3.55%, 3/22/2051 | 100,000 | 107,758 | |||
Viasat, Inc. 5.63%, 9/15/2025 (a) | 85,000 | 85,455 | |||
Vishay Intertechnology, Inc. 2.25%, 6/15/2025 | 10,000 | 10,356 | |||
Vista Outdoor, Inc. 4.50%, 3/15/2029 (a) | 70,000 | 70,893 | |||
Vistra Operations Co. LLC: | |||||
4.38%, 5/1/2029 (a) | 120,000 | 120,454 | |||
5.63%, 2/15/2027 (a) | 60,000 | 62,039 | |||
VMware, Inc. 2.20%, 8/15/2031 | 155,000 | 152,351 | |||
Warrior Met Coal, Inc. 7.88%, 12/1/2028 (a) | 105,000 | 108,048 | |||
Waste Connections, Inc. 2.95%, 1/15/2052 | 75,000 | 73,767 | |||
Waste Pro USA, Inc. 5.50%, 2/15/2026 (a) | 25,000 | 24,997 | |||
WESCO Distribution, Inc. 7.25%, 6/15/2028 (a) | 155,000 | 170,426 | |||
Western Digital Corp. 3.10%, 2/1/2032 | 15,000 | 15,108 | |||
Western Global Airlines LLC 10.38%, 8/15/2025 (a) | 65,000 | 72,377 | |||
White Cap Buyer LLC 6.88%, 10/15/2028 (a) | 20,000 | 20,936 | |||
21,200,316 | |||||
TOTAL CORPORATE BONDS & NOTES (Cost $25,133,178) | 25,063,313 |
Security Description | Principal Amount | Value | |||
ASSET-BACKED SECURITIES — 6.7% | |||||
37 Capital CLO I Series 2021-1A, Class D, ABS, 3 Month USD LIBOR + 3.52%, 3.72%, 10/15/2034 (a) (b) | $ 250,000 | $ 247,292 | |||
Aimco CLO 11, Ltd. Series 2020-11A, Class DR, ABS, 3 Month USD LIBOR + 3.00%, 3.12%, 10/17/2034 (a) (b) | 250,000 | 249,624 | |||
Canyon Capital CLO, Ltd. Series 2019-2A, Class DR, ABS, 3 Month USD LIBOR + 3.30%, 3.42%, 10/15/2034 (a) (b) | 250,000 | 249,810 | |||
CIFC Funding 2021-VII, Ltd. Series 2021-7A, Class D, ABS, 3 Month USD LIBOR + 3.00%, 3.13%, 1/23/2035 (a) (b) | 250,000 | 249,618 | |||
Invesco CLO, Ltd. Series 2021-3A, Class D, ABS, 3 Month USD LIBOR + 3.00%, 3.12%, 10/22/2034 (a) (b) | 325,000 | 324,503 | |||
Magnetite XVI, Ltd. Series 2015-16A, Class DR, ABS, 3 Month USD LIBOR + 2.15%, 2.27%, 1/18/2028 (a) (b) | 250,000 | 247,078 | |||
OHA Credit Funding 4, Ltd. Series 2019-4A, Class DR, ABS, 3 Month USD LIBOR + 3.20%, 3.33%, 10/22/2036 (a) (b) | 250,000 | 250,061 | |||
OHA Credit Partners VII, Ltd. Series 2012-7A, Class D1R3, ABS, 3 Month USD LIBOR + 2.90%, 3.06%, 2/20/2034 (a) (b) | 315,000 | 298,998 | |||
OneMain Direct Auto Receivables Trust Series 2021-1A, Class A, ABS, 0.87%, 7/14/2028 (a) | 600,000 | 593,220 | |||
Point Au Roche Park CLO, Ltd. Series 2021-1A, Class D, ABS, 3 Month USD LIBOR + 2.80%, 2.98%, 7/20/2034 (a) (b) | 195,000 | 186,128 | |||
TOTAL ASSET-BACKED SECURITIES (Cost $2,931,075) | 2,896,332 |
Shares | |||
PREFERRED STOCKS — 0.4% | |||
LUXEMBOURG — 0.0% (c) | |||
ArcelorMittal SA, 5.50% | 167 | 12,376 |
Security Description | Shares | Value | |||
UNITED STATES — 0.4% | |||||
AMG Capital Trust II, 5.15% | 200 | $ 11,738 | |||
Bank of America Corp., 7.25% | 50 | 72,270 | |||
Broadcom, Inc., 8.00% | 8 | 16,603 | |||
Bunge Ltd., 4.88% | 100 | 12,674 | |||
Danaher Corp., 5.00% | 9 | 15,644 | |||
Elanco Animal Health, Inc., 5.00% | 301 | 13,443 | |||
KKR & Co., Inc., 6.00% | 150 | 13,972 | |||
Wells Fargo & Co., 7.50% | 8 | 11,924 | |||
168,268 | |||||
TOTAL PREFERRED STOCKS (Cost $174,725) | 180,644 |
Principal Amount | |||
SENIOR FLOATING RATE LOANS — 26.0% | |||
ADVERTISING SERVICES — 0.6% | |||
Summer (BC) Holdco B S.a r.l, Senior Secured 2021 USD Term Loan B2, 12/4/2026 (d) | $ 119,700 | 119,775 | |
Terrier Media Buyer, Inc., Senior Secured 2021 Term Loan, 1 Month USD LIBOR + 3.50%, 3.60%, 12/17/2026 (b) | 149,246 | 148,742 | |
268,517 | |||
AIRLINES — 2.1% | |||
AAdvantage Loyalty IP Ltd., Senior Secured 2021 Term Loan, 3 Month USD LIBOR + 4.75%, 5.50%, 4/20/2028 (b) | 215,000 | 223,158 | |
Air Canada, Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 3.50%, 4.25%, 8/11/2028 (b) | 90,000 | 90,048 | |
SkyMiles IP Ltd., Senior Secured 2020 Skymiles Term Loan B, 3 Month USD LIBOR + 3.75%, 4.75%, 10/20/2027 (b) | 140,000 | 148,400 | |
United Airlines, Inc., Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 3.75%, 4.50%, 4/21/2028 (b) | 423,370 | 425,847 | |
887,453 | |||
AUTO COMPONENTS — 0.6% | |||
USI, Inc., Senior Secured 2017 Repriced Term Loan, 3 Month USD LIBOR + 3.00%, 3.22%, 5/16/2024 (b) | 248,960 | 247,338 |
Security Description | Principal Amount | Value | |||
BEVERAGES — 0.2% | |||||
City Brewing Company, LLC, Senior Secured Closing Date Term Loan, 3 Month USD LIBOR + 3.50%, 4.25%, 4/5/2028 (b) | $ 104,738 | $ 99,806 | |||
BROADCAST SERV/PROGRAM — 1.2% | |||||
E.W. Scripps Company (The), Senior Secured 2019 Term Loan B2, 5/1/2026 (d) | 523,661 | 523,703 | |||
BUILDING PRODUCTS — 0.5% | |||||
ACProducts, Inc., Senior Secured 2021 Term Loan B, 6 Month USD LIBOR + 4.25%, 4.75%, 5/17/2028 (b) | 119,400 | 117,908 | |||
CP Atlas Buyer, Inc., Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 3.75%, 4.25%, 11/23/2027 (b) | 104,481 | 104,167 | |||
222,075 | |||||
CABLE/SATELLITE TV — 0.3% | |||||
UPC Broadband Holding B.V., Senior Secured 2021 EUR Term Loan AY, 6 Month EURIBOR + 3.00%, 3.00%, 1/31/2029 (b) | EUR 130,000 | 147,106 | |||
CHEMICALS — 1.7% | |||||
CPC Acquisition Corp., Senior Secured Term Loan, 3 Month USD LIBOR + 3.75%, 4.50%, 12/29/2027 (b) | $ 89,549 | 88,653 | |||
Illuminate Buyer, LLC, Senior Secured 2021 Term Loan, 1 Month USD LIBOR + 3.50%, 3.60%, 6/30/2027 (b) | 113,655 | 113,143 | |||
Ineos Finance PLC, 11/4/2028 (d) | EUR 90,000 | 102,434 | |||
LSF11 A5 Holdco LLC, Senior Secured Term Loan, 3 Month USD LIBOR + 3.75%, 4.25%, 10/15/2028 (b) | $ 225,000 | 225,093 | |||
Olympus Water US Holding Corp., Senior Secured 2021 USD Term Loan B, 3 Month USD LIBOR + 3.75%, 4.25%, 11/9/2028 (b) | 225,000 | 224,578 | |||
753,901 |
Security Description | Principal Amount | Value | |||
COMMERCIAL SERVICES — 0.6% | |||||
Albion Financing 3 SARL, Senior Secured USD Term Loan, 3 Month USD LIBOR + 5.25%, 5.75%, 8/17/2026 (b) | $ 269,000 | $ 270,177 | |||
COMMERCIAL SERVICES & SUPPLIES — 0.6% | |||||
McGraw-Hill Global Education Holdings, LLC, Senior Secured 2021 Term Loan, 7/28/2028 (d) | 150,000 | 149,555 | |||
Prime Security Services Borrower, LLC, Senior Secured 2021 Term Loan, 1 Month USD LIBOR + 2.75%, 3.50%, 9/23/2026 (b) | 89,549 | 89,569 | |||
239,124 | |||||
COMMUNICATIONS EQUIPMENT — 0.7% | |||||
CommScope, Inc., Senior Secured 2019 Term Loan B, 1 Month USD LIBOR + 3.25%, 3.35%, 4/6/2026 (b) | 298,854 | 295,555 | |||
CONTAINERS & PACKAGING — 0.3% | |||||
Graham Packaging Company, Inc., Senior Secured 2021 Term Loan, 1 Month USD LIBOR + 3.00%, 3.75%, 8/4/2027 (b) | 119,399 | 119,230 | |||
DIVERSIFIED CONSUMER SERVICES — 0.2% | |||||
Ascend Learning, LLC, Senior Secured 2021 Term Loan, 12/11/2028 (d) | 95,173 | 95,154 | |||
DIVERSIFIED FINANCIAL SERVICES — 1.5% | |||||
DirecTV Financing, LLC, Senior Secured Term Loan, 3 Month USD LIBOR + 5.00%, 5.75%, 8/2/2027 (b) | 659,812 | 661,271 | |||
ELECTRICAL EQUIPMENT — 0.3% | |||||
Gates Global, LLC, Senior Secured 2021 Term Loan B3, 1 Month USD LIBOR + 2.50%, 3.25%, 3/31/2027 (b) | 119,397 | 119,285 | |||
ENERGY EQUIPMENT & SERVICES — 0.9% | |||||
Carnival Corporation, Senior Secured USD Term Loan B, 3 Month USD LIBOR + 3.00%, 3.75%, 6/30/2025 (b) | 393,736 | 391,275 |
Security Description | Principal Amount | Value | |||
ENERGY-ALTERNATE SOURCES — 0.3% | |||||
Array Technologies, Inc., Senior Secured Term Loan B, 3 Month USD LIBOR + 3.25%, 3.75%, 10/14/2027 (b) | $ 119,607 | $ 118,635 | |||
FINANCE-CREDIT CARD — 0.3% | |||||
Paysafe Group Holdings II Limited, Senior Secured USD Term Loan B1, 1 Month USD LIBOR + 2.75%, 3.25%, 6/28/2028 (b) | 119,400 | 116,378 | |||
HEALTH CARE PROVIDERS & SERVICES — 2.1% | |||||
Agiliti Health, Inc, Senior Secured 2020 Incremental Term Loan, 3 Month USD LIBOR + 2.75%, 3.50%, 1/4/2026 (b) | 105,000 | 104,738 | |||
CHG Healthcare Services, Inc., Senior Secured 2021 Term Loan, 3 Month USD LIBOR + 3.50%, 4.00%, 9/29/2028 (b) | 299,250 | 299,661 | |||
Medline Industries, Inc., 10/23/2028 (d) | 500,000 | 500,452 | |||
904,851 | |||||
HOTELS, RESTAURANTS & LEISURE — 0.9% | |||||
Caesars Resort Collection, LLC, Senior Secured 2017 1st Lien Term Loan B, 1 Month USD LIBOR + 2.75%, 2.85%, 12/23/2024 (b) | 398,961 | 397,403 | |||
INSURANCE — 1.1% | |||||
Amynta Agency Borrower Inc., Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 4.50%, 4.60%, 2/28/2025 (b) | 104,729 | 104,533 | |||
Sedgwick Claims Management Services, Inc., Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 3.25%, 3.35%, 12/31/2025 (b) | 383,780 | 381,262 | |||
485,795 | |||||
INTERNET & CATALOG RETAIL — 0.9% | |||||
Uber Technologies, Inc., Senior Secured 2021 1st Lien Term Loan B, 4/4/2025 (d) | 398,966 | 399,687 |
Security Description | Principal Amount | Value | |||
INTERNET & TELECOM — 0.2% | |||||
Arches Buyer, Inc., Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 3.25%, 3.75%, 12/6/2027 (b) | $ 104,472 | $ 103,911 | |||
IT SERVICES — 0.9% | |||||
Conduent Business Services, LLC, Senior Secured 2021 Term Loan B, 10/16/2028 (d) | 177,000 | 177,066 | |||
CoreLogic, Inc., Senior Secured Term Loan, 1 Month USD LIBOR + 3.50%, 4.00%, 6/2/2028 (b) | 194,513 | 194,610 | |||
371,676 | |||||
LIFE SCIENCES TOOLS & SERVICES — 0.1% | |||||
Avantor Funding, Inc., Senior Secured 2021 Term Loan B5, 1 Month USD LIBOR + 2.25%, 2.75%, 11/8/2027 (b) | 46,883 | 46,917 | |||
MACHINERY-CONSTRUCTION & MINING — 0.3% | |||||
Clear Channel Outdoor Holdings, Inc., Senior Secured Term Loan B, 8/21/2026 (d) | 119,389 | 117,909 | |||
MACHINERY-FARM — 0.3% | |||||
ASP Blade Holdings, Inc., Senior Secured Initial Term Loan, 1 Month USD LIBOR + 4.00%, 4.50%, 10/13/2028 (b) | 113,000 | 113,141 | |||
MEDIA — 0.6% | |||||
MH Sub I, LLC, Senior Secured 2017 1st Lien Term Loan, 1 Month USD LIBOR + 3.50%, 3.60%, 9/13/2024 (b) | 278,999 | 278,006 | |||
PHARMACEUTICALS — 0.2% | |||||
Jazz Financing Lux SARL, Senior Secured USD Term Loan, 1 Month USD LIBOR + 3.50%, 4.00%, 5/5/2028 (b) | 104,475 | 104,991 | |||
PROFESSIONAL SERVICES — 1.1% | |||||
Dun & Bradstreet Corporation (The), Senior Secured Term Loan, 1 Month USD LIBOR + 3.25%, 3.35%, 2/6/2026 (b) | 344,131 | 343,149 | |||
Proofpoint, Inc., Senior Secured 1st Lien Term Loan, 3 Month USD LIBOR + 3.25%, 3.75%, 8/31/2028 (b) | 135,000 | 134,652 | |||
477,801 |
Security Description | Principal Amount | Value | |||
RETAIL-BUILDING PRODUCTS — 0.4% | |||||
LBM Acquisition LLC, Senior Secured Term Loan B, 12/17/2027 (d) | $ 104,475 | $ 103,699 | |||
Park River Holdings, Inc., Senior Secured Term Loan, 12/28/2027 (d) | 89,774 | 89,073 | |||
192,772 | |||||
RETAIL-RESTAURANTS — 0.5% | |||||
IRB Holding Corp., Senior Secured 2020 Term Loan B, 6 Month USD LIBOR + 2.75%, 3.75%, 2/5/2025 (b) | 193,992 | 193,937 | |||
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT — 0.5% | |||||
MKS Instruments, Inc., Senior Secured 2021 USD Term Loan, 10/21/2028 (d) | 219,000 | 218,808 | |||
SOFTWARE — 1.5% | |||||
Camelot U.S. Acquisition 1 Co., Senior Secured Term Loan B, 1 Month USD LIBOR + 3.00%, 3.10%, 10/30/2026 (b) | 224,124 | 222,863 | |||
Quest Software US Holdings, Inc., Senior Secured 2018 1st Lien Term Loan, 3 Month USD LIBOR + 4.25%, 4.38%, 5/16/2025 (b) | 224,421 | 224,507 | |||
RealPage, Inc., Senior Secured 1st Lien Term Loan, 1 Month USD LIBOR + 3.25%, 3.75%, 4/24/2028 (b) | 89,775 | 89,621 | |||
Sabre GLBL, Inc.: | |||||
Senior Secured 2021 Term Loan B1, 1 Month USD LIBOR + 3.50%, 4.00%, 12/17/2027 (b) | 46,028 | 45,511 | |||
Senior Secured 2021 Term Loan B2, 1 Month USD LIBOR + 3.50%, 4.00%, 12/17/2027 (b) | 73,372 | 72,546 | |||
655,048 | |||||
SPECIALTY RETAIL — 1.0% | |||||
At Home Group, Inc., Senior Secured Term Loan B, 3 Month USD LIBOR + 4.25%, 4.75%, 7/24/2028 (b) | 75,000 | 75,122 | |||
Michaels Companies, Inc., Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 4.25%, 5.00%, 4/15/2028 (b) | 208,950 | 207,420 |
Security Description | Principal Amount | Value | |||
Restoration Hardware, Inc., Senior Secured Term Loan B, 10/20/2028 (d) | $ 128,677 | $ 128,580 | |||
411,122 | |||||
TRANSPORTATION INFRASTRUCTURE — 0.2% | |||||
First Student Bidco, Inc.: | |||||
Senior Secured Term Loan B, 7/21/2028 (d) | 76,691 | 76,468 | |||
Senior Secured Term Loan C, 7/21/2028 (d) | 28,309 | 28,226 | |||
104,694 | |||||
WEB HOSTING/DESIGN — 0.3% | |||||
Endure Digital, Inc., Senior Secured Term Loan, 3 Month USD LIBOR + 3.50%, 4.25%, 2/10/2028 (b) | 119,400 | 118,561 | |||
TOTAL SENIOR FLOATING RATE LOANS (Cost $11,301,172) | 11,273,013 |
Shares | |||
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS — 4.5% | |||
UNITED STATES — 4.5% | |||
SPDR Blackstone Senior Loan ETF, (e) | 42,135 | 1,922,620 |
Principal Amount | |||
COMMERCIAL MORTGAGE BACKED SECURITIES — 0.2% | |||
COMM Mortgage Trust Series 2012-CR3, Class B, 3.92%, 10/15/2045 (a) (Cost $98,788) | $ 100,000 | 99,501 |
Security Description | Shares | Value | |||
SHORT-TERM INVESTMENT — 9.5% | |||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 0.03% (f) (g) (Cost $4,129,348) | 4,129,348 | $ 4,129,348 | |||
TOTAL INVESTMENTS — 105.2% (Cost $45,708,877) | 45,564,771 | ||||
LIABILITIES IN EXCESS OF OTHER ASSETS — (5.2)% | (2,264,441) | ||||
NET ASSETS — 100.0% | $ 43,300,330 |
(a) | Securities purchased pursuant to Rule 144A of the Securities Act of 1933, as amended. These securities, which represent 40.0% of net assets as of December 31, 2021, 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, 2021. 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) | Position is unsettled. Contract rate was not determined at December 31, 2021 and does not take effect until settlement date. Maturity date is not finalized until settlement date. |
(e) | Affiliated fund managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2021 are shown in the Affiliate Table below. |
(f) | 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, 2021 are shown in the Affiliate Table below. |
(g) | The rate shown is the annualized seven-day yield at December 31, 2021. |
ABS | Asset-Backed Security |
CLO | Collateralized Loan Obligation |
CMT | Constant Maturity Treasury |
LIBOR | London Interbank Offered Rate |
MTN | Medium Term Note |
SOFR | Secured Overnight Financing Rate |
VRN | Variable Rate Note |
USD | United States Dollar |
EUR | Euro |
Counterparty | Amount Sold | Amount Bought | Settlement Date | Net Unrealized Appreciation/ (Depreciation) | ||||
Commonwealth Bank of Australia Sydney | EUR 89,000 | USD 100,187 | 01/10/2022 | $(1,035) |
Counterparty | Amount Sold | Amount Bought | Settlement Date | Net Unrealized Appreciation/ (Depreciation) | ||||
Standard Chartered Bank | EUR 129,000 | USD 146,162 | 01/06/2022 | $ (542) | ||||
Total | $(1,577) | |||||||
Description | Number of Contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation (Depreciation) | |||||
90 Day Euro Futures (long) | 85 | 12/19/2022 | $ 21,102,030 | $ 21,027,937 | $(74,092) | |||||
2 Yr. U.S. Treasury Notes Futures (short) | (34) | 03/31/2022 | (7,416,441) | (7,417,844) | (1,403) | |||||
10 Yr. U.S. Treasury Ultra Futures (long) | 15 | 03/22/2022 | 2,193,293 | 2,196,563 | 3,269 | |||||
90 Day Euro Futures (short) | (85) | 12/16/2024 | (20,882,429) | (20,886,625) | (4,196) | |||||
Total unrealized appreciation/depreciation on open futures contracts. | $(76,422) |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Corporate Bonds & Notes | $ — | $25,063,313 | $— | $25,063,313 | ||||
Asset-Backed Securities | — | 2,896,332 | — | 2,896,332 | ||||
Commercial Mortgage Backed Securities | — | 99,501 | — | 99,501 | ||||
Mutual Funds and Exchange Traded Products | 1,922,620 | — | — | 1,922,620 | ||||
Preferred Stocks | 180,644 | — | — | 180,644 | ||||
Senior Floating Rate Loans | — | 11,273,013 | — | 11,273,013 | ||||
Short-Term Investment | 4,129,348 | — | — | 4,129,348 | ||||
TOTAL INVESTMENTS | $6,232,612 | $39,332,159 | $— | $45,564,771 | ||||
OTHER FINANCIAL INSTRUMENTS: | ||||||||
Futures Contracts(a) | 3,269 | — | — | 3,269 | ||||
TOTAL OTHER FINANCIAL INSTRUMENTS: | $ 3,269 | $ — | $— | $ 3,269 | ||||
TOTAL INVESTMENTS AND OTHER FINANCIAL INSTRUMENTS | $6,235,881 | $39,332,159 | $— | $45,568,040 |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
LIABILITIES: | ||||||||
OTHER FINANCIAL INSTRUMENTS: | ||||||||
Foreign Currency Exchange Contracts(b) | $ (1,577) | $ — | $— | $ (1,577) | ||||
Futures Contracts(a) | (79,691) | — | — | (79,691) | ||||
TOTAL OTHER FINANCIAL INSTRUMENTS: | $ (81,268) | $ — | $— | $ (81,268) |
(a) | Futures Contracts are valued at unrealized appreciation (depreciation). |
(b) | Forward Foreign Currency Exchange Contracts are valued at unrealized appreciation (depreciation). |
Number of Shares Held at 9/27/2021* | Value at 9/27/2021* | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 12/31/21 | Value at 12/31/21 | Dividend Income | |||||||||
SPDR Blackstone Senior Loan ETF | — | $— | $ 1,940,590 | $ — | $— | $(17,970) | 42,135 | $1,922,620 | $26,986 | ||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | — | — | 43,397,328 | 39,267,980 | — | — | 4,129,348 | 4,129,348 | 633 | ||||||||
Total | $— | $45,337,918 | $39,267,980 | $— | $(17,970) | $6,051,968 | $27,619 |
* | Commencement of operations. |
Security Description | Principal Amount | Value | ||||
MUNICIPAL BONDS & NOTES — 94.5% | ||||||
ALABAMA — 1.6% | ||||||
Southeast Energy Authority, A Cooperative District , General Obligation Series B, VRN, 4.00%, 12/1/2051 (a) | $ 500,000 | $ 606,000 | ||||
CALIFORNIA — 16.8% | ||||||
Alameda Corridor Transportation Authority Revenue Series B, 5.00%, 10/1/2035 (b) | 105,000 | 124,517 | ||||
Anaheim Public Financing Authority Revenue ETM, Zero Coupon, 9/1/2036 (b) | 320,000 | 246,815 | ||||
California Housing Finance Revenue 3.50%, 11/20/2035 | 178,068 | 203,123 | ||||
California, State General Obligation: | ||||||
5.00%, 8/1/2029 | 100,000 | 119,178 | ||||
5.00%, 8/1/2030 | 360,000 | 427,967 | ||||
5.00%, 9/1/2031 | 245,000 | 291,968 | ||||
5.00%, 8/1/2033 | 280,000 | 332,447 | ||||
Grossmont Union High School District, General Obligation Zero Coupon, 8/1/2028 (b) | 120,000 | 110,887 | ||||
Los Angeles, CA, Unified School District, General Obligation Series A, 5.00%, 7/1/2029 | 1,000,000 | 1,291,945 | ||||
Municipal Improvement Corp. of Los Angeles, Revenue Series A, 1.45%, 11/1/2027 | 540,000 | 530,517 | ||||
Norman Y Mineta San Jose International Airport SJC Revenue: | ||||||
Series A, AMT, 5.00%, 3/1/2025 | 170,000 | 186,099 | ||||
Series A, AMT, 5.00%, 3/1/2037 | 210,000 | 249,040 | ||||
Palomar Health Series A, Zero Coupon, 8/1/2027 (b) | 100,000 | 92,357 | ||||
Peralta Community College District, General Obligation Series A, 5.00%, 8/1/2026 | 150,000 | 166,742 | ||||
Sacramento City Financing Authority Revenue 5.00%, 12/1/2026 (b) | 190,000 | 222,833 | ||||
San Diego County Regional Airport Authority Revenue: | ||||||
Series B, AMT, 4.00%, 7/1/2051 | 155,000 | 179,653 | ||||
Series B, AMT, 4.00%, 7/1/2056 | 165,000 | 189,866 | ||||
San Diego County, CA, Regional Transportation Commission, Sales Tax Revenue Series A, 5.00%, 4/1/2032 | 155,000 | 182,568 | ||||
San Diego Public Facilities Financing Authority Revenue Series A, 5.00%, 5/15/2032 | 155,000 | 183,544 |
Security Description | Principal Amount | Value | |||
San Francisco City & County Airport Comm-San Francisco International Airport Revenue Series H, 5.00%, 5/1/2028 | $ 175,000 | $ 216,598 | |||
San Mateo Foster City Public Financing Authority Revenue Series B, 5.00%, 8/1/2025 | 330,000 | 382,917 | |||
University of California, Revenue Series BI, 1.37%, 5/15/2028 | 595,000 | 578,933 | |||
6,510,514 | |||||
COLORADO — 2.4% | |||||
City & County of Denver Co. Airport System Revenue Series B2, AMT, VRN, 5.00%, 11/15/2031 (a) | 400,000 | 464,579 | |||
Denver Convention Center Hotel Authority Revenue 5.00%, 12/1/2030 | 400,000 | 465,306 | |||
929,885 | |||||
CONNECTICUT — 1.2% | |||||
Connecticut, State Health & Educational Facility Authority Revenue Series A, 5.00%, 7/1/2027 | 120,000 | 133,397 | |||
South Central Connecticut Regional Water Authority Revenue Series B, 5.00%, 8/1/2037 | 125,000 | 147,858 | |||
State of Connecticut Revenue Series B, 5.00%, 2/15/2028 | 150,000 | 186,625 | |||
467,880 | |||||
FLORIDA — 4.7% | |||||
County of Miami-Dade FL Aviation Revenue Series A, AMT, 5.00%, 10/1/2029 | 210,000 | 233,943 | |||
Miami-Dade County, FL, General Obligation Series A, 5.00%, 7/1/2029 | 245,000 | 291,613 | |||
State of Florida Revenue Series B, 5.00%, 6/1/2029 | 1,000,000 | 1,289,568 | |||
1,815,124 | |||||
GEORGIA — 3.3% | |||||
Georgia, State General Obligation Series A, 5.00%, 7/1/2028 | 1,000,000 | 1,266,170 | |||
GUAM — 1.0% | |||||
Territory of Guam Revenue Series A, 5.00%, 11/1/2035 | 300,000 | 379,014 | |||
ILLINOIS — 8.3% | |||||
Chicago Board of Education, General Obligation: | |||||
5.00%, 12/1/2035 | 300,000 | 375,457 | |||
Series A, 5.00%, 12/1/2036 | 300,000 | 374,982 | |||
Chicago Transit Authority Capital Grant Receipts Revenue 5.00%, 6/1/2024 | 150,000 | 165,835 |
Security Description | Principal Amount | Value | |||
Chicago, IL, O'Hare International Airport Revenue Series B, 5.00%, 1/1/2029 | $ 160,000 | $ 180,440 | |||
Northern Illinois Municipal Power Agency Revenue Series A, 5.00%, 12/1/2029 | 360,000 | 432,311 | |||
State of Illinois Revenue: | |||||
4.00%, 3/1/2038 | 730,000 | 851,611 | |||
5.00%, 12/1/2031 | 150,000 | 180,046 | |||
State of Illinois Sales Tax Revenue 5.00%, 6/15/2026 | 565,000 | 664,859 | |||
3,225,541 | |||||
KENTUCKY — 0.3% | |||||
Kentucky, Economic Development Finance Authority Revenue Series A, 4.25%, 7/1/2035 | 100,000 | 108,811 | |||
MARYLAND — 3.6% | |||||
State of Maryland Department of Transportation Revenue: | |||||
AMT, 5.00%, 8/1/2027 | 250,000 | 303,467 | |||
AMT, 5.00%, 8/1/2028 | 400,000 | 496,826 | |||
AMT, 5.00%, 8/1/2030 | 200,000 | 257,797 | |||
AMT, 5.00%, 8/1/2031 | 250,000 | 328,680 | |||
1,386,770 | |||||
MASSACHUSETTS — 0.2% | |||||
Massachusetts Development Finance Agency Revenue VRN, 0.45%, 7/1/2041 (a) | 90,000 | 89,527 | |||
MICHIGAN — 0.4% | |||||
Michigan, State Finance Authority Revenue 5.00%, 11/1/2034 | 110,000 | 137,678 | |||
MINNESOTA — 3.6% | |||||
Metropolitan Council, Minneapolis-Saint Paul, MN, Metropolitan Area, General Obligation Series C, 5.00%, 12/1/2028 | 1,000,000 | 1,273,326 | |||
State of Mississippi, General Obligation Series A, 5.00%, 8/1/2035 | 100,000 | 125,467 | |||
1,398,793 | |||||
MISSISSIPPI — 0.3% | |||||
State of Mississippi Revenue 5.00%, 10/15/2028 | 100,000 | 115,584 | |||
MISSOURI — 0.3% | |||||
City of State Louis MO Airport Revenue 5.00%, 7/1/2029 | 100,000 | 127,370 | |||
NEW JERSEY — 4.0% | |||||
New Jersey Economic Development Authority Revenue 5.00%, 6/15/2031 | 1,000,000 | 1,265,984 |
Security Description | Principal Amount | Value | |||
New Jersey Transportation Trust Fund Authority Revenue Series A, 5.00%, 6/15/2025 | $ 245,000 | $ 280,466 | |||
1,546,450 | |||||
NEW YORK — 15.5% | |||||
City of New York NY, General Obligation 4.00%, 8/1/2037 | 1,000,000 | 1,209,762 | |||
New York City Transitional Finance Authority Future Tax Secured Revenue 5.00%, 8/1/2025 | 300,000 | 347,527 | |||
New York, NY, City Transitional Finance Authority, Future Tax Secured Revenue: | |||||
5.00%, 8/1/2027 | 120,000 | 133,852 | |||
Series A-1, 5.00%, 11/1/2023 | 330,000 | 358,372 | |||
New York, State Dormitory Authority Revenue, State Supported Debt: | |||||
4.00%, 10/1/2025 (b) | 850,000 | 958,142 | |||
Series B-GRP B, 5.00%, 2/15/2034 | 300,000 | 339,638 | |||
Series E, 5.25%, 3/15/2033 | 400,000 | 467,032 | |||
New York, State Environmental Facilities Corp., Revenue 5.00%, 6/15/2025 | 565,000 | 652,459 | |||
New York, State Urban Development Corp., Revenue Series A, 5.00%, 3/15/2026 | 1,000,000 | 1,186,018 | |||
Triborough Bridge & Tunnel Authority Revenue: | |||||
Series A, 5.00%, 11/1/2025 | 85,000 | 99,057 | |||
Series C-3, 4.00%, 5/15/2051 | 200,000 | 237,226 | |||
5,989,085 | |||||
NORTH CAROLINA — 0.4% | |||||
North Carolina, State Revenue Series B, 5.00%, 5/1/2027 | 120,000 | 147,002 | |||
OHIO — 2.8% | |||||
State of Ohio Revenue 5.00%, 1/1/2029 | 850,000 | 1,078,553 | |||
OREGON — 3.5% | |||||
Medford Hospital Facilities Authority Revenue Series A, 5.00%, 8/15/2032 | 900,000 | 1,162,908 | |||
Oregon, State General Obligation 1.02%, 5/1/2026 | 185,000 | 181,737 | |||
1,344,645 | |||||
PENNSYLVANIA — 2.9% | |||||
City of Philadelphia PA Airport Revenue Series B, AMT, 5.00%, 7/1/2032 | 750,000 | 900,301 | |||
Pennsylvania Economic Development Financing Authority Revenue Series A, 5.00%, 2/1/2025 | 100,000 | 111,516 |
Security Description | Principal Amount | Value | |||
Pennsylvania, State General Obligation 5.00%, 3/15/2027 | $ 100,000 | $ 114,114 | |||
1,125,931 | |||||
TENNESSEE — 1.4% | |||||
New Memphis Arena Public Building Authority Revenue 4.00%, 4/1/2030 | 530,000 | 553,567 | |||
TEXAS — 7.5% | |||||
Fort Bend, TX, Independent School District, General Obligation Series E, 5.00%, 2/15/2027 | 1,000,000 | 1,215,496 | |||
Houston of Harris County, TX, Port Authority General Obligation Series A, AMT, 5.00%, 10/1/2027 | 260,000 | 320,783 | |||
Lake Houston Redevelopment Authority Revenue 3.00%, 9/1/2034 | 375,000 | 394,273 | |||
New Hope, Cultural Education Facilities Corp. Revenue Series A-1, 5.50%, 1/1/2057 | 320,000 | 325,669 | |||
Plano, TX, Independent School District, General Obligation Series A, 5.00%, 2/15/2027 | 215,000 | 253,961 | |||
Texas, State General Obligation 5.00%, 8/1/2026 | 250,000 | 279,406 | |||
University of Texas, Revenue 5.00%, 8/15/2027 | 100,000 | 123,652 | |||
2,913,240 | |||||
UTAH — 2.0% | |||||
Vineyard Redevelopment Agency: | |||||
5.00%, 5/1/2024 (b) | 350,000 | 386,252 | |||
5.00%, 5/1/2027 (b) | 325,000 | 392,830 | |||
779,082 | |||||
VIRGINIA — 1.8% | |||||
Hampton Roads Transportation Accountability Commission Revenue Series A, 5.00%, 7/1/2026 | 575,000 | 686,086 | |||
WASHINGTON — 0.5% | |||||
Washington, State General Obligation 5.00%, 8/1/2029 | 150,000 | 179,065 | |||
WISCONSIN — 4.2% | |||||
Wisconsin Health & Educational Facilities Authority Revenue: | |||||
5.00%, 10/15/2027 | 350,000 | 429,807 |
Security Description | Principal Amount | Value | ||||
5.00%, 10/15/2028 | $ 850,000 | $ 1,070,063 | ||||
Wisconsin, State General Obligation Series 2, 5.00%, 11/1/2027 | 100,000 | 122,357 | ||||
1,622,227 | ||||||
TOTAL MUNICIPAL BONDS & NOTES (Cost $36,709,069) | 36,529,594 |
Shares | |||
SHORT-TERM INVESTMENT — 4.5% | |||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 0.03% (c) (d) (Cost $1,743,772) | 1,743,772 | 1,743,772 | |
TOTAL INVESTMENTS — 99.0% (Cost $38,452,841) | 38,273,366 | ||
OTHER ASSETS IN EXCESS OF LIABILITIES — 1.0% | 375,849 | ||
NET ASSETS — 100.0% | $ 38,649,215 |
(a) | Variable Rate Security - Interest rate shown is rate in effect at December 31, 2021. For securities based on a published reference rate and spread, the reference rate and spread are indicated in the description above. |
(b) | Bond is insured by the following: |
% of Net Assets | |
Assured Guaranty Municipal Corp. | 5.4% |
Build America Mutual Assurance Company | 0.6% |
National Public Finance Guaranty Corp. | 0.3% |
Assured Guaranty Corp. | 0.2% |
(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, 2021 are shown in the Affiliate Table below. |
(d) | The rate shown is the annualized seven-day yield at December 31, 2021. |
AMT | Alternative Minimum Tax |
ETM | Escrowed to Maturity |
VRN | Variable Rate Note |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Municipal Bonds & Notes | $ — | $36,529,594 | $— | $36,529,594 | ||||
Short-Term Investment | 1,743,772 | — | — | 1,743,772 | ||||
TOTAL INVESTMENTS | $1,743,772 | $36,529,594 | $— | $38,273,366 |
Number of Shares Held at 6/30/21 | Value at 6/30/21 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 12/31/21 | Value at 12/31/21 | Dividend Income | |||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 1,374,817 | $1,374,817 | $12,405,487 | $12,036,532 | $— | $— | 1,743,772 | $1,743,772 | $245 |
SPDR SSGA Multi-Asset Real Return ETF | SPDR SSGA Income Allocation ETF | SPDR SSGA Global Allocation ETF | |||
ASSETS | |||||
Investments in unaffiliated issuers, at value* | $ 44,859,525 | $ 7,801,994 | $ 11,459,306 | ||
Investments in affiliated issuers, at value | 144,257,516 | 117,013,444 | 348,000,687 | ||
Total Investments | 189,117,041 | 124,815,438 | 359,459,993 | ||
Foreign currency, at value | — | — | — | ||
Net cash at broker | — | — | — | ||
Cash | — | — | — | ||
Receivable from broker — accumulated variation margin on futures contracts | — | — | — | ||
Receivable for investments sold | — | — | — | ||
Receivable for fund shares sold | 37,132 | — | 298,027 | ||
Dividends receivable — unaffiliated issuers | — | — | — | ||
Dividends receivable — affiliated issuers | 36 | 12 | 172,789 | ||
Interest receivable — unaffiliated issuers | — | — | — | ||
Securities lending income receivable — unaffiliated issuers | 207 | 3,765 | 4,579 | ||
Securities lending income receivable — affiliated issuers | 5,756 | 10,182 | 35,782 | ||
Receivable for foreign taxes recoverable | — | — | — | ||
TOTAL ASSETS | 189,160,172 | 124,829,397 | 359,971,170 | ||
LIABILITIES | |||||
Due to custodian | — | — | — | ||
Payable upon return of securities loaned | 6,946,536 | 6,980,772 | 72,250,781 | ||
Payable for investments purchased | — | — | — | ||
Payable to broker – accumulated variation margin on open futures contracts | — | — | — | ||
Unrealized depreciation on forward foreign currency exchange contracts | — | — | — | ||
Advisory fee payable | — | 12,570 | 29,441 | ||
Trustees’ fees and expenses payable | 3 | 223 | 399 | ||
TOTAL LIABILITIES | 6,946,539 | 6,993,565 | 72,280,621 | ||
NET ASSETS | $182,213,633 | $ 117,835,832 | $287,690,549 | ||
NET ASSETS CONSIST OF: | |||||
Paid-in Capital | $ 230,611,341 | $127,128,360 | $241,466,859 | ||
Total distributable earnings (loss) | (48,397,708) | (9,292,528) | 46,223,690 | ||
NET ASSETS | $182,213,633 | $ 117,835,832 | $287,690,549 | ||
NET ASSET VALUE PER SHARE | |||||
Net asset value per share | $ 27.03 | $ 35.39 | $ 46.03 | ||
Shares outstanding (unlimited amount authorized, no par value) | 6,740,000 | 3,330,000 | 6,250,000 | ||
COST OF INVESTMENTS: | |||||
Investments in unaffiliated issuers | $ 53,630,694 | $ 7,813,561 | $ 12,158,660 | ||
Investments in affiliated issuers | 137,459,450 | 115,850,937 | 306,453,095 | ||
Total cost of investments | $191,090,144 | $123,664,498 | $ 318,611,755 | ||
Foreign currency, at cost | $ — | $ — | $ — | ||
* Includes investments in securities on loan, at value | $ 6,754,679 | $ 9,182,534 | $ 78,194,014 |
SPDR SSGA Ultra Short Term Bond ETF | SPDR Loomis Sayles Opportunistic Bond ETF | SPDR Nuveen Municipal Bond ETF | ||
$360,373,189 | $39,512,803 | $36,529,594 | ||
83,418,920 | 6,051,968 | 1,743,772 | ||
443,792,109 | 45,564,771 | 38,273,366 | ||
— | 102,042 | — | ||
58,798 | 198,956 | — | ||
— | 770 | — | ||
1,594 | — | — | ||
5,044,012 | 164,786 | — | ||
— | — | — | ||
— | 1,040 | 389,447 | ||
1,666 | 109 | 42 | ||
627,711 | 348,571 | — | ||
— | — | — | ||
— | — | — | ||
— | 1,367 | — | ||
449,525,890 | 46,382,412 | 38,662,855 | ||
795,627 | — | — | ||
— | — | — | ||
1,190,744 | 2,983,874 | — | ||
— | 76,422 | — | ||
— | 1,577 | — | ||
77,014 | 20,192 | 13,588 | ||
158 | 17 | 52 | ||
2,063,543 | 3,082,082 | 13,640 | ||
$447,462,347 | $43,300,330 | $38,649,215 | ||
$448,729,284 | $43,564,634 | $38,963,570 | ||
(1,266,937) | (264,304) | (314,355) | ||
$447,462,347 | $43,300,330 | $38,649,215 | ||
$ 40.31 | $ 29.86 | $ 29.73 | ||
11,100,000 | 1,450,000 | 1,300,000 | ||
$360,865,965 | $39,638,939 | $36,709,069 | ||
83,418,920 | 6,069,938 | 1,743,772 | ||
$444,284,885 | $45,708,877 | $38,452,841 | ||
$ — | $ 102,042 | $ — | ||
$ — | $ — | $ — |
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 | 15,439,724 | 265,057 | 3,115,739 | ||
Dividend income — affiliated issuers | 2,763,521 | 2,153,433 | 3,860,784 | ||
Unaffiliated securities lending income | 49,183 | 24,781 | 20,538 | ||
Affiliated securities lending income | 28,555 | 71,916 | 150,056 | ||
TOTAL INVESTMENT INCOME (LOSS) | 18,280,983 | 2,515,187 | 7,147,117 | ||
EXPENSES | |||||
Advisory fee | 57,583 | 77,391 | 240,334 | ||
Trustees’ fees and expenses | 572 | 718 | 1,611 | ||
Miscellaneous expenses | 2 | 1 | 4 | ||
TOTAL EXPENSES | 58,157 | 78,110 | 241,949 | ||
NET INVESTMENT INCOME (LOSS) | $ 18,222,826 | $ 2,437,077 | $ 6,905,168 | ||
REALIZED AND UNREALIZED GAIN (LOSS) | |||||
Net realized gain (loss) on: | |||||
Investments — unaffiliated issuers | (1,528,223) | (25,932) | (276,702) | ||
Investments — affiliated issuers | (445,493) | (63,319) | 7,671,906 | ||
In-kind redemptions — unaffiliated issuers | 1,181,269 | 301,169 | 128,678 | ||
In-kind redemptions — affiliated issuers | 1,562,229 | 1,120,075 | 3,898,967 | ||
Forward foreign currency exchange contracts | — | — | — | ||
Foreign currency transactions | — | — | — | ||
Futures contracts | — | — | — | ||
Net realized gain (loss) | 769,782 | 1,331,993 | 11,422,849 | ||
Net change in unrealized appreciation/depreciation on: | |||||
Investments — unaffiliated issuers | (12,754,472) | (503,147) | (2,181,450) | ||
Investments — affiliated issuers | 2,248,570 | (1,925,193) | (7,111,529) | ||
Forward foreign currency exchange contracts | — | — | — | ||
Foreign currency translations | — | — | — | ||
Futures contracts | — | — | — | ||
Net change in unrealized appreciation/depreciation | (10,505,902) | (2,428,340) | (9,292,979) | ||
NET REALIZED AND UNREALIZED GAIN (LOSS) | (9,736,120) | (1,096,347) | 2,129,870 | ||
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $ 8,486,706 | $ 1,340,730 | $ 9,035,038 |
SPDR SSGA Ultra Short Term Bond ETF | SPDR Loomis Sayles Opportunistic Bond ETF(a) | SPDR Nuveen Municipal Bond ETF | ||
$ 1,420,144 | $ 287,747 | (91,944) | ||
— | 2,661 | 283,347 | ||
8,434 | 27,619 | 245 | ||
— | — | — | ||
— | — | — | ||
1,428,578 | 318,027 | 191,648 | ||
444,669 | 59,610 | 89,245 | ||
1,968 | 81 | 273 | ||
6 | — | — | ||
446,643 | 59,691 | 89,518 | ||
$ 981,935 | $ 258,336 | $ 102,130 | ||
(335,241) | (77,396) | 85,443 | ||
— | — | — | ||
— | — | 5,816 | ||
— | — | — | ||
— | (6,948) | — | ||
— | 11,391 | — | ||
139,608 | 10,779 | — | ||
(195,633) | (62,174) | 91,259 | ||
(1,349,036) | (126,136) | (189,685) | ||
— | (17,970) | — | ||
— | (1,577) | — | ||
— | 1,577 | — | ||
1,564 | (76,951) | — | ||
(1,347,472) | (221,057) | (189,685) | ||
(1,543,105) | (283,231) | (98,426) | ||
$ (561,170) | $ (24,895) | $ 3,704 |
(a) | For the period September 27, 2021 (commencement of operations) through December 31, 2021. |
SPDR SSGA Multi-Asset Real Return ETF | SPDR SSGA Income Allocation ETF | ||||||
Six Months Ended 12/31/21 (Unaudited) | Year Ended 6/30/21 | Six Months Ended 12/31/21 (Unaudited) | Year Ended 6/30/21 | ||||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||||||
Net investment income (loss) | $ 18,222,826 | $ 1,767,722 | $ 2,437,077 | $ 4,611,865 | |||
Net realized gain (loss) | 769,782 | (1,841,123) | 1,331,993 | 5,224,138 | |||
Net change in unrealized appreciation/depreciation | (10,505,902) | 19,933,207 | (2,428,340) | 12,676,226 | |||
Net increase (decrease) in net assets resulting from operations | 8,486,706 | 19,859,806 | 1,340,730 | 22,512,229 | |||
Net equalization credits and charges | 2,054,666 | 54,735 | (3,724) | 149,449 | |||
Distributions to shareholders | (20,015,187) | (1,750,442) | (2,183,678) | (4,629,430) | |||
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||||||
Proceeds from shares sold | 79,250,204 | 67,513,380 | 14,645,106 | 73,221,393 | |||
Cost of shares redeemed | (15,884,632) | (9,014,313) | (21,004,866) | (92,104,724) | |||
Net income equalization | (2,054,666) | (54,735) | 3,724 | (149,449) | |||
Other Capital | 18,255 | — | — | — | |||
Net increase (decrease) in net assets from beneficial interest transactions | 61,329,161 | 58,444,332 | (6,356,036) | (19,032,780) | |||
Net increase (decrease) in net assets during the period | 51,855,346 | 76,608,431 | (7,202,708) | (1,000,532) | |||
Net assets at beginning of period | 130,358,287 | 53,749,856 | 125,038,540 | 126,039,072 | |||
NET ASSETS AT END OF PERIOD | $182,213,633 | $130,358,287 | $ 117,835,832 | $125,038,540 | |||
SHARES OF BENEFICIAL INTEREST: | |||||||
Shares sold | 2,720,000 | 2,420,000 | 410,000 | 2,120,000 | |||
Shares redeemed | (550,000) | (380,000) | (590,000) | (2,760,000) | |||
Net increase (decrease) from share transactions | 2,170,000 | 2,040,000 | (180,000) | (640,000) |
SPDR SSGA Global Allocation ETF | SPDR SSGA Ultra Short Term Bond ETF | SPDR Loomis Sayles Opportunistic Bond ETF | ||||||
Six Months Ended 12/31/21 (Unaudited) | Year Ended 6/30/21 | Six Months Ended 12/31/21 (Unaudited) | Year Ended 6/30/21 | For the Period 9/27/21*- 12/31/21 (Unaudited) | ||||
$ 6,905,168 | $ 5,634,070 | $ 981,935 | $ 2,186,346 | $ 258,336 | ||||
11,422,849 | 16,141,140 | (195,633) | 478,164 | (62,174) | ||||
(9,292,979) | 40,475,117 | (1,347,472) | 1,451,941 | (221,057) | ||||
9,035,038 | 62,250,327 | (561,170) | 4,116,451 | (24,895) | ||||
7,763 | (16,635) | 3,894 | 31,941 | 6,664 | ||||
(9,049,638) | (5,588,244) | (1,208,398) | (2,605,083) | (239,409) | ||||
22,758,235 | 23,982,836 | 113,126,245 | 130,443,856 | 43,477,679 | ||||
(17,742,764) | (35,804,943) | (66,545,344) | (28,304,057) | — | ||||
(7,763) | 16,635 | (3,894) | (31,941) | (6,664) | ||||
— | — | 47,551 | 44,894 | 86,955 | ||||
5,007,708 | (11,805,472) | 46,624,558 | 102,152,752 | 43,557,970 | ||||
5,000,871 | 44,839,976 | 44,858,884 | 103,696,061 | 43,300,330 | ||||
282,689,678 | 237,849,702 | 402,603,463 | 298,907,402 | — | ||||
$287,690,549 | $282,689,678 | $447,462,347 | $402,603,463 | $43,300,330 | ||||
490,000 | 550,000 | 2,800,000 | 3,225,000 | 1,450,000 | ||||
(380,000) | (860,000) | (1,650,000) | (700,000) | — | ||||
110,000 | (310,000) | 1,150,000 | 2,525,000 | 1,450,000 |
* | Commencement of operations. |
SPDR Nuveen Municipal Bond ETF | |||
Six Months Ended 12/31/21 (Unaudited) | For the Period 2/3/21*- 6/30/21 | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $ 102,130 | $ 91,974 | |
Net realized gain (loss) | 91,259 | 252,383 | |
Net change in unrealized appreciation/depreciation | (189,685) | 10,210 | |
Net increase (decrease) in net assets resulting from operations | 3,704 | 354,567 | |
Net equalization credits and charges | (850) | 2,273 | |
Distributions to shareholders | (526,510) | (140,300) | |
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||
Proceeds from shares sold | — | 44,904,991 | |
Cost of shares redeemed | (5,992,142) | — | |
Net income equalization | 850 | (2,273) | |
Other Capital | — | 44,905 | |
Net increase (decrease) in net assets from beneficial interest transactions | (5,991,292) | 44,947,623 | |
Net increase (decrease) in net assets during the period | (6,514,948) | 45,164,163 | |
Net assets at beginning of period | 45,164,163 | — | |
NET ASSETS AT END OF PERIOD | $38,649,215 | $45,164,163 | |
SHARES OF BENEFICIAL INTEREST: | |||
Shares redeemed | (200,000) | — | |
Net increase (decrease) from share transactions | (200,000) | 1,500,000 |
* | Commencement of operations. |
SPDR SSGA Multi-Asset Real Return ETF | |||||||||||
Six Months Ended 12/31/21 (Unaudited) | Year Ended 6/30/21 | Year Ended 6/30/20 | Year Ended 6/30/19 | Year Ended 6/30/18(a) | Year Ended 6/30/17(a) | ||||||
Net asset value, beginning of period | $ 28.52 | $ 21.25 | $ 25.18 | $ 26.62 | $ 23.97 | $ 24.38 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (b) | 3.41 | 0.65 | 0.78 | 0.69 | 0.53 | 0.56 | |||||
Net realized and unrealized gain (loss) (c) | (2.25) | 7.15 | (3.89) | (1.43) | 2.64 | (0.44) | |||||
Total from investment operations | 1.16 | 7.80 | (3.11) | (0.74) | 3.17 | 0.12 | |||||
Net equalization credits and charges (b) | 0.38 | 0.02 | (0.02) | 0.00(d) | (0.00)(d) | 0.01 | |||||
Other capital | 0.00(d) | — | — | — | — | — | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (3.03) | (0.55) | (0.80) | (0.70) | (0.52) | (0.54) | |||||
Net asset value, end of period | $ 27.03 | $ 28.52 | $ 21.25 | $ 25.18 | $ 26.62 | $ 23.97 | |||||
Total return (e) | 5.40% | 37.12% | (12.71)% | (2.71)% | 13.26% | 0.56% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $182,214 | $130,358 | $53,750 | $112,792 | $143,742 | $115,075 | |||||
Ratios to average net assets: | |||||||||||
Total expenses (f) | 0.07%(g) | 0.08% | 0.08% | 0.12% | 0.22% | 0.22% | |||||
Net investment income (loss) | 23.27%(g) | 2.56% | 3.30% | 2.76% | 2.04% | 2.28% | |||||
Portfolio turnover rate | 19%(h) | 49% | 30% | 28% | 44% | 46%(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. |
SPDR SSGA Income Allocation ETF | |||||||||||
Six Months Ended 12/31/21 (Unaudited) | Year Ended 6/30/21 | Year Ended 6/30/20 | Year Ended 6/30/19 | Year Ended 6/30/18(a) | Year Ended 6/30/17(a) | ||||||
Net asset value, beginning of period | $ 35.62 | $ 30.37 | $ 33.32 | $ 32.42 | $ 32.33 | $ 31.23 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (b) | 0.75 | 1.35 | 1.43 | 1.53 | 1.02 | 1.10 | |||||
Net realized and unrealized gain (loss) (c) | (0.31) | 5.18 | (2.95) | 0.91 | 0.09 | 0.98 | |||||
Total from investment operations | 0.44 | 6.53 | (1.52) | 2.44 | 1.11 | 2.08 | |||||
Net equalization credits and charges (b) | (0.00)(d) | 0.04 | 0.03 | 0.03 | (0.01) | (0.01) | |||||
Other capital (b) | — | — | — | 0.00(d) | — | — | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (0.67) | (1.32) | (1.46) | (1.57) | (1.01) | (0.97) | |||||
Net asset value, end of period | $ 35.39 | $ 35.62 | $ 30.37 | $ 33.32 | $ 32.42 | $ 32.33 | |||||
Total return (e) | 1.23% | 21.90% | (4.56)% | 7.93% | 3.34% | 6.78% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $117,836 | $125,039 | $126,039 | $104,613 | $92,389 | $95,376 | |||||
Ratios to average net assets: | |||||||||||
Total expenses (f) | 0.13%(g) | 0.16% | 0.18% | 0.18% | 0.39% | 0.37% | |||||
Net investment income (loss) | 4.16%(g) | 4.02% | 4.41% | 4.71% | 3.07% | 3.49% | |||||
Portfolio turnover rate | 12%(h) | 60% | 38% | 71% | 29% | 47%(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. |
SPDR SSGA Global Allocation ETF | |||||||||||
Six Months Ended 12/31/21 (Unaudited) | Year Ended 6/30/21 | Year Ended 6/30/20 | Year Ended 6/30/19 | Year Ended 6/30/18(a) | Year Ended 6/30/17(a) | ||||||
Net asset value, beginning of period | $ 46.04 | $ 36.88 | $ 38.33 | $ 37.72 | $ 35.52 | $ 33.35 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (b) | 1.12 | 0.91 | 1.07 | 1.03 | 0.81 | 0.99 | |||||
Net realized and unrealized gain (loss) (c) | 0.35 | 9.16 | (1.44) | 0.57 | 2.18 | 2.03 | |||||
Total from investment operations | 1.47 | 10.07 | (0.37) | 1.60 | 2.99 | 3.02 | |||||
Net equalization credits and charges (b) | 0.00(d) | (0.00)(d) | 0.00(d) | 0.01 | 0.01 | 0.00(d) | |||||
Other capital (b) | — | — | 0.00(d) | — | — | — | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (1.13) | (0.91) | (1.08) | (1.00) | (0.80) | (0.85) | |||||
Net realized gains | (0.35) | — | — | — | — | — | |||||
Total distributions | (1.48) | (0.91) | (1.08) | (1.00) | (0.80) | (0.85) | |||||
Net asset value, end of period | $ 46.03 | $ 46.04 | $ 36.88 | $ 38.33 | $ 37.72 | $ 35.52 | |||||
Total return (e) | 3.18% | 27.51% | (1.00)% | 4.37% | 8.46% | 9.14% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $287,691 | $282,690 | $237,850 | $255,687 | $248,929 | $207,780 | |||||
Ratios to average net assets: | |||||||||||
Total expenses (f) | 0.17%(g) | 0.17% | 0.09% | 0.15% | 0.20% | 0.20% | |||||
Net expenses | 0.17%(g) | 0.17% | 0.09% | 0.15% | 0.09% | 0.01% | |||||
Net investment income (loss) | 4.76%(g) | 2.16% | 2.84% | 2.76% | 2.14% | 2.91% | |||||
Portfolio turnover rate (h) | 57%(i) | 110% | 94% | 71% | 43% | 90%(j) |
(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) | Portfolio turnover rate excludes securities received or delivered from in-kind processing of creations or redemptions. |
(i) | Not annualized. |
(j) | Portfolio turnover is from the Fund's Portfolio prior to discontinuance of master-feeder structure. |
SPDR SSGA Ultra Short Term Bond ETF | |||||||||||
Six Months Ended 12/31/21 (Unaudited) | Year Ended 6/30/21 | Year Ended 6/30/20 | Year Ended 6/30/19 | Year Ended 6/30/18(a) | Year Ended 6/30/17(a) | ||||||
Net asset value, beginning of period | $ 40.46 | $ 40.26 | $ 40.41 | $ 40.27 | $ 40.26 | $ 40.06 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (b) | 0.09 | 0.27 | 0.81 | 1.02 | 0.68 | 0.44 | |||||
Net realized and unrealized gain (loss) (c) | (0.13) | 0.25 | (0.11) | 0.04 | (0.14) | 0.13 | |||||
Total from investment operations | (0.04) | 0.52 | 0.70 | 1.06 | 0.54 | 0.57 | |||||
Net equalization credits and charges (b) | 0.00(d) | 0.00(d) | 0.02 | 0.03 | 0.04 | (0.00)(d) | |||||
Other capital (b) | 0.00(d) | 0.01 | 0.03 | 0.02 | 0.06 | 0.05 | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (0.11) | (0.33) | (0.90) | (0.97) | (0.63) | (0.42) | |||||
Total distributions | (0.11) | (0.33) | (0.90) | (0.97) | (0.63) | (0.42) | |||||
Net asset value, end of period | $ 40.31 | $ 40.46 | $ 40.26 | $ 40.41 | $ 40.27 | $ 40.26 | |||||
Total return (e) | (0.10)% | 1.34% | 1.86% | 2.79% | 1.60% | 1.53% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $447,462 | $402,603 | $298,907 | $167,719 | $50,344 | $18,117 | |||||
Ratios to average net assets: | |||||||||||
Total expenses | 0.20%(f) | 0.20% | 0.20% | 0.20% | 0.20% | 0.20% | |||||
Net investment income (loss) | 0.44%(f) | 0.67% | 2.02% | 2.54% | 1.70% | 1.09% | |||||
Portfolio turnover rate | 41%(g) | 76% | 71% | 100% | 76% | 83%(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. |
SPDR Loomis Sayles Opportunistic Bond ETF | |
For the Period 9/27/2021*- 12/31/21 (Unaudited) | |
Net asset value, beginning of period | $ 30.00 |
Income (loss) from investment operations: | |
Net investment income (loss) (a) | 0.19 |
Net realized and unrealized gain (loss) (b) | (0.56) |
Total from investment operations | (0.37) |
Net equalization credits and charges (a) | 0.00(c) |
Other capital (a) | 0.06 |
Distributions to shareholders from: | |
Net investment income | 0.17 |
Net asset value, end of period | $ 29.86 |
Total return (d) | 0.09% |
Ratios and Supplemental Data: | |
Net assets, end of period (in 000s) | $43,300 |
Ratios to average net assets: | |
Total expenses | 0.55%(e) |
Net investment income (loss) | 2.36%(e) |
Portfolio turnover rate (f) | 39%(g) |
* | 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 $0.00005 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) | Annualized. |
(f) | Portfolio turnover rate excludes securities received or delivered from in-kind processing of creations or redemptions. |
(g) | Not annualized. |
SPDR Nuveen Municipal Bond ETF | |||
Six Months Ended 12/31/21 (Unaudited) | For the Period 2/3/21*- 6/30/21 | ||
Net asset value, beginning of period | $ 30.11 | $ 30.00 | |
Income (loss) from investment operations: | |||
Net investment income (loss) (a) | 0.07 | 0.07 | |
Net realized and unrealized gain (loss) (b) | (0.07) | 0.11 | |
Total from investment operations | 0.00 | 0.18 | |
Net equalization credits and charges (a) | (0.00)(c) | 0.00(c) | |
Other capital (a) | — | 0.03 | |
Distributions to shareholders from: | |||
Net investment income | (0.16) | (0.10) | |
Net realized gains | (0.22) | — | |
Total distributions | (0.38) | — | |
Net asset value, end of period | $ 29.73 | $ 30.11 | |
Total return (d) | 0.01% | 0.69% | |
Ratios and Supplemental Data: | |||
Net assets, end of period (in 000s) | $38,649 | $45,164 | |
Ratios to average net assets: | |||
Total expenses | 0.40%(e) | 0.40%(e) | |
Net investment income (loss) | 0.46%(e) | 0.57%(e) | |
Portfolio turnover rate (f) | 35%(g) | 51%(g) |
* | 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) | Annualized. |
(f) | Portfolio turnover rate excludes securities received or delivered from in-kind processing of creations or redemptions. |
(g) | Not annualized. |
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 Loomis Sayles Opportunistic Bond ETF |
SPDR Nuveen Municipal Bond ETF |
Asset Derivatives | |||||||||||
Interest Rate Risk | Foreign Exchange Risk | Credit Risk | Equity Risk | Commodity Risk | Total | ||||||
SPDR SSGA Ultra Short Term Bond ETF | |||||||||||
Futures Contracts | $— | $— | $— | $1,594 | $— | $1,594 |
Liability Derivatives | |||||||||||
Interest Rate Risk | Foreign Exchange Risk | Credit Risk | Equity Risk | Commodity Risk | Total | ||||||
SPDR Loomis Sayles Opportunistic Bond ETF | |||||||||||
Forward Foreign Currency Exchange Contracts | $ — | $1,577 | $— | $— | $— | $ 1,577 | |||||
Futures Contracts | 76,422 | — | — | — | — | 76,422 |
Net Realized Gain (Loss) | |||||||||||
Interest Rate Risk | Foreign Exchange Risk | Credit Risk | Equity Risk | Commodity Risk | Total | ||||||
SPDR SSGA Ultra Short Term Bond ETF | |||||||||||
Futures Contracts | $139,608 | $ — | $— | $— | $— | $139,608 | |||||
SPDR Loomis Sayles Opportunistic Bond ETF | |||||||||||
Forward Foreign Currency Exchange Contracts | — | (6,948) | — | — | — | (6,948) | |||||
Futures Contracts | 10,779 | — | — | — | — | 10,779 |
Net Change in Unrealized Appreciation (Depreciation) | |||||||||||
Interest Rate Risk | Foreign Exchange Risk | Credit Risk | Equity Risk | Commodity Risk | Total | ||||||
SPDR SSGA Ultra Short Term Bond ETF | |||||||||||
Futures Contracts | $ 1,564 | $ — | $— | $— | $— | $ 1,564 | |||||
SPDR Loomis Sayles Opportunistic Bond ETF | |||||||||||
Forward Foreign Currency Exchange Contracts | — | (1,577) | — | — | — | (1,577) | |||||
Futures Contracts | (76,951) | — | — | — | — | (76,951) |
Offsetting of Financial Liabilities and Derivative Liabilities | ||||||||
Forward Foreign Currency Exchange Contracts | ||||||||
Counterparty | Gross Amounts of Liabilities | Amount Eligible to Offset | Collateral (Received) Pledged | Net Amount | ||||
Commonwealth Bank of Australia | $(1,035) | $— | $— | $(1,035) | ||||
Standard Chartered Bank | (542) | — | — | (542) | ||||
$(1,577) | $— | $— | $(1,577) |
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 |
Annual Rate* | |
SPDR SSGA Ultra Short Term Bond ETF | 0.20% |
SPDR Loomis Sayles Opportunistic Bond ETF | 0.55 |
SPDR Nuveen Municipal Bond ETF | 0.40 |
* | The Advisory fee is reduced for SPDR SSGA Multi-Asset Real Return ETF, SPDR SSGA Income Allocation ETF and SPDR SSGA Global Allocation ETF by the acquired fund fees and expenses. For the year ended December 31, 2021, the net annualized advisory fee was 0.07%, 0.13%, and 0.17% for the SPDR SSGA Multi-Asset Real Return ETF, SPDR SSGA Income Allocation ETF, SPDR SSGA Global Allocation ETF, respectively. |
Purchases | Sales | ||
SPDR SSGA Multi-Asset Real Return ETF | $ 29,383,479 | $ 30,322,256 | |
SPDR SSGA Income Allocation ETF | 14,474,769 | 14,676,469 | |
SPDR SSGA Global Allocation ETF | 157,993,489 | 166,286,294 | |
SPDR SSGA Ultra Short Term Bond ETF | 180,900,444 | 147,067,663 | |
SPDR Loomis Sayles Opportunistic Bond ETF | 55,764,978 | 13,928,215 | |
SPDR Nuveen Municipal Bond ETF | 14,915,022 | 22,391,334 |
In-kind Contributions | In-kind Redemptions | In-kind Net Realized Gains/(Losses) | |||
SPDR SSGA Multi-Asset Real Return ETF | $77,629,914 | $15,564,610 | $2,743,498 | ||
SPDR SSGA Income Allocation ETF | 14,279,544 | 20,476,939 | 1,421,244 | ||
SPDR SSGA Global Allocation ETF | 21,399,821 | 16,676,735 | 4,027,645 | ||
SPDR Nuveen Municipal Bond ETF | — | 6,053,012 | 5,816 |
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | ||||
SPDR SSGA Multi-Asset Real Return ETF | $191,478,699 | $ 6,811,177 | $9,172,835 | $ (2,361,658) | |||
SPDR SSGA Income Allocation ETF | 123,839,325 | 2,994,385 | 2,018,272 | 976,113 | |||
SPDR SSGA Global Allocation ETF | 320,032,754 | 40,917,179 | 1,489,940 | 39,427,239 | |||
SPDR SSGA Ultra Short Term Bond ETF | 444,338,377 | 243,127 | 787,830 | (544,703) | |||
SPDR Loomis Sayles Opportunistic Bond ETF | 45,708,877 | 235,035 | 457,138 | (222,103) | |||
SPDR Nuveen Municipal Bond ETF | 38,523,559 | 124,871 | 375,064 | (250,193) |
Fund | Market Value of Securities on Loan | Cash Collateral Received | Non-Cash Collateral Received* | Total Collateral Received | ||||
SPDR SSGA Multi-Asset Real Return ETF | $ 6,754,679 | $ 6,946,536 | $ — | $ 6,946,536 | ||||
SPDR SSGA Income Allocation ETF | 9,182,534 | 6,980,772 | 2,425,650 | 9,406,422 | ||||
SPDR SSGA Global Allocation ETF | 78,194,014 | 72,250,781 | 7,697,425 | 79,948,206 |
* | The non-cash collateral includes U.S. Treasuries and U.S. Government Agency securities. |
Remaining Contractual Maturity of the Agreements as of December 31, 2021 | ||||||||||||||
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 | $ 6,946,536 | $— | $— | $— | $ 6,946,536 | $ 6,946,536 | |||||||
SPDR SSGA Income Allocation ETF | Mutual Funds and Exchange Traded Products | 6,980,772 | — | — | — | 6,980,772 | 6,980,772 | |||||||
SPDR SSGA Global Allocation ETF | Mutual Funds and Exchange Traded Products | 72,250,781 | — | — | — | 72,250,781 | 72,250,781 |
Actual | Hypothetical (assuming a 5% return before expenses) | ||||||||
Annualized Expense Ratio | Ending Account Value | Expenses Paid During Period | Ending Account Value | Expenses Paid During Period(a) | |||||
SPDR SSGA Multi-Asset Real Return ETF | 0.07% | $1,054.00 | $0.36(a) | $1,024.90 | $0.36 | ||||
SPDR SSGA Income Allocation ETF | 0.13 | 1,012.30 | 0.66(a) | 1,024.60 | 0.66 | ||||
SPDR SSGA Global Allocation ETF | 0.17 | 1,031.80 | 0.87(a) | 1,024.30 | 0.87 | ||||
SPDR SSGA Ultra Short Term Bond ETF | 0.20 | 999.00 | 1.01(a) | 1,024.20 | 1.02 | ||||
SPDR Loomis Sayles Opportunistic Bond ETF | 0.55 | 1,000.00 | 1.43(b) | 1,022.40 | 2.80 | ||||
SPDR Nuveen Municipal Bond ETF | 0.40 | 1,000.10 | 2.02(a) | 1,023.20 | 2.04 |
(a) | Expenses are equal to the Fund's annualized net expense ratio multiplied by the average account value of the period, multiplied by 184, then divided by 365. |
(b) | Actual period is from commencement of operations on 9/27/2021. |
• | 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. |
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
One Iron Street
Boston, MA 02210
SPDR SSGA Fixed Income Sector Rotation ETF |
SPDR SSGA US Sector Rotation ETF |
![](https://capedge.com/proxy/N-CSRS/0001193125-22-070205/g258368imgeb7ab74a1.jpg)
Description | % of Net Assets | ||
SPDR Portfolio Long Term Corporate Bond ETF | 26.0% | ||
SPDR Portfolio Mortgage Backed Bond ETF | 25.3 | ||
SPDR Portfolio Intermediate Term Corporate Bond ETF | 15.2 | ||
SPDR Bloomberg Barclays 1-3 Month T-Bill ETF | 11.9 | ||
SPDR Portfolio Intermediate Term Treasury ETF | 11.4 | ||
TOTAL | 89.8% |
% of Net Assets | |||
Domestic Fixed Income | 99.8% | ||
Short Term Investments | 4.2 | ||
Liabilities in Excess of Other Assets | (4.0) | ||
TOTAL | 100.0% |
Description | % of Net Assets | ||
The Technology Select Sector SPDR Fund | 43.8% | ||
The Financial Select Sector SPDR Fund | 16.5 | ||
The Consumer Staples Select Sector SPDR Fund | 15.9 | ||
The Materials Select Sector SPDR Fund | 12.3 | ||
The Energy Select Sector SPDR Fund | 5.1 | ||
TOTAL | 93.6% |
% of Net Assets | |||
Domestic Equity | 99.8% | ||
Short Term Investments | 9.9 | ||
Liabilities in Excess of Other Assets | (9.7) | ||
TOTAL | 100.0% |
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)(b) | 151,118 | $ 13,816,719 | ||||
SPDR Bloomberg High Yield Bond ETF (a) | 16,082 | 1,746,023 | ||||
SPDR Portfolio Intermediate Term Corporate Bond ETF (a)(b) | 485,789 | 17,561,272 | ||||
SPDR Portfolio Intermediate Term Treasury ETF (a) | 413,394 | 13,249,278 | ||||
SPDR Portfolio Long Term Corporate Bond ETF (a)(b) | 956,834 | 30,121,134 | ||||
SPDR Portfolio Long Term Treasury ETF (a) | 233,924 | 9,859,896 | ||||
SPDR Portfolio Mortgage Backed Bond ETF (a)(b) | 1,155,794 | 29,334,052 | ||||
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS (Cost $116,781,846) | 115,688,374 | |||||
SHORT-TERM INVESTMENTS — 4.2% | ||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 0.03% (c)(d) | 273,544 | 273,544 | ||||
State Street Navigator Securities Lending Portfolio II (e)(f) | 4,603,450 | 4,603,450 | ||||
TOTAL SHORT-TERM INVESTMENTS (Cost $4,876,994) | $ 4,876,994 | |||||
TOTAL INVESTMENTS — 104.0% (Cost $121,658,840) | 120,565,368 | |||||
LIABILITIES IN EXCESS OF OTHER ASSETS — (4.0)% | (4,623,850) | |||||
NET ASSETS — 100.0% | $ 115,941,518 |
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, 2021 are shown in the Affiliate Table below. |
(b) | All or a portion of the shares of the security are on loan at December 31, 2021. |
(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, 2021 are shown in the Affiliate Table below. |
(d) | The rate shown is the annualized seven-day yield at December 31, 2021. |
(e) | The Fund invested in an affiliated entity. Amounts related to these transactions during the period ended December 31, 2021 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 | $ 115,688,374 | $— | $— | $ 115,688,374 | ||||
Short-Term Investments | 4,876,994 | — | — | 4,876,994 | ||||
TOTAL INVESTMENTS | $120,565,368 | $— | $— | $120,565,368 |
Number of Shares Held at 6/30/21 | Value at 6/30/21 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 12/31/21 | Value at 12/31/21 | Dividend Income | |||||||||
SPDR Bloomberg Barclays 1-3 Month T-Bill ETF | 39,726 | $ 3,633,737 | $ 14,843,882 | $ 4,655,471 | $ (1,709) | $ (3,720) | 151,118 | $ 13,816,719 | $ — | ||||||||
SPDR Bloomberg High Yield Bond ETF | — | — | 5,315,771 | 3,529,325 | (34,447) | (5,976) | 16,082 | 1,746,023 | 24,030 | ||||||||
SPDR Portfolio Intermediate Term Corporate Bond ETF | 508,248 | 18,652,702 | 10,280,712 | 11,109,347 | 85,564 | (348,359) | 485,789 | 17,561,272 | 163,104 | ||||||||
SPDR Portfolio Intermediate Term Treasury ETF | 292,929 | 9,485,041 | 6,451,442 | 2,567,332 | 82,847 | (202,720) | 413,394 | 13,249,278 | 39,471 | ||||||||
SPDR Portfolio Long Term Corporate Bond ETF | 634,102 | 20,151,762 | 17,595,862 | 7,311,493 | 123,530 | (438,527) | 956,834 | 30,121,134 | 431,161 | ||||||||
SPDR Portfolio Long Term Treasury ETF | 139,338 | 5,754,659 | 5,904,941 | 1,969,655 | 111,925 | 58,026 | 233,924 | 9,859,896 | 75,190 | ||||||||
SPDR Portfolio Mortgage Backed Bond ETF | 973,311 | 25,169,822 | 14,734,512 | 10,081,895 | (158,909) | (329,478) | 1,155,794 | 29,334,052 | 381,030 | ||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 136,849 | 136,849 | 354,895 | 218,200 | — | — | 273,544 | 273,544 | 29 | ||||||||
State Street Navigator Securities Lending Portfolio II | 24,628,973 | 24,628,973 | 769,907,169 | 789,932,692 | — | — | 4,603,450 | 4,603,450 | 117,898 | ||||||||
Total | $107,613,545 | $845,389,186 | $831,375,410 | $ 208,801 | $(1,270,754) | $120,565,368 | $1,231,913 |
Security Description | Shares | Value | ||||
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS — 99.8% | ||||||
DOMESTIC EQUITY — 99.8% | ||||||
The Consumer Discretionary Select Sector SPDR Fund (a) | 14,976 | $ 3,061,693 | ||||
The Consumer Staples Select Sector SPDR Fund (a)(b) | 404,888 | 31,220,914 | ||||
The Energy Select Sector SPDR Fund (a) | 181,238 | 10,058,709 | ||||
The Financial Select Sector SPDR Fund (a) | 831,191 | 32,458,009 | ||||
The Industrial Select Sector SPDR Fund (a)(b) | 32,826 | 3,473,319 | ||||
The Materials Select Sector SPDR Fund (a)(b) | 267,732 | 24,259,196 | ||||
The Technology Select Sector SPDR Fund (a) | 494,749 | 86,022,009 | ||||
The Utilities Select Sector SPDR Fund (a)(b) | 75,909 | 5,433,566 | ||||
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS (Cost $172,391,259) | 195,987,415 | |||||
SHORT-TERM INVESTMENTS — 9.9% | ||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 0.03% (c)(d) | 406,528 | 406,528 | ||||
State Street Navigator Securities Lending Portfolio II (e)(f) | 18,914,544 | 18,914,544 | ||||
TOTAL SHORT-TERM INVESTMENTS (Cost $19,321,072) | $ 19,321,072 | |||||
TOTAL INVESTMENTS — 109.7% (Cost $191,712,331) | 215,308,487 | |||||
LIABILITIES IN EXCESS OF OTHER ASSETS — (9.7)% | (19,011,846) | |||||
NET ASSETS — 100.0% | $ 196,296,641 |
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, 2021 are shown in the Affiliate Table below. |
(b) | All or a portion of the shares of the security are on loan at December 31, 2021. |
(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, 2021 are shown in the Affiliate Table below. |
(d) | The rate shown is the annualized seven-day yield at December 31, 2021. |
(e) | The Fund invested in an affiliated entity. Amounts related to these transactions during the period ended December 31, 2021 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 | $195,987,415 | $— | $— | $195,987,415 | ||||
Short-Term Investments | 19,321,072 | — | — | 19,321,072 | ||||
TOTAL INVESTMENTS | $215,308,487 | $— | $— | $215,308,487 |
Number of Shares Held at 6/30/21 | Value at 6/30/21 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 12/31/21 | Value at 12/31/21 | Dividend Income | |||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 422,278 | $ 422,278 | $ 2,461,871 | $ 2,477,621 | $ — | $ — | 406,528 | $ 406,528 | $ 59 | ||||||||
State Street Navigator Securities Lending Portfolio II | 49,478,804 | 49,478,804 | — | 30,564,260 | — | — | 18,914,544 | 18,914,544 | 19,981 | ||||||||
The Communication Services Select Sector SPDR Fund | 150,287 | 12,168,738 | 44,648,705 | 54,417,963 | (1,164,934) | (1,234,546) | — | — | 78,550 | ||||||||
The Consumer Discretionary Select Sector SPDR Fund | — | — | 3,113,893 | 27,626 | (989) | (23,585) | 14,976 | 3,061,693 | 4,397 | ||||||||
The Consumer Staples Select Sector SPDR Fund | 67,445 | 4,719,127 | 73,443,252 | 49,838,444 | 873,477 | 2,023,502 | 404,888 | 31,220,914 | 356,663 | ||||||||
The Energy Select Sector SPDR Fund | 100,084 | 5,391,525 | 16,457,916 | 10,865,301 | (953,141) | 27,710 | 181,238 | 10,058,709 | 126,564 | ||||||||
The Financial Select Sector SPDR Fund | 599,399 | 21,991,949 | 42,845,705 | 33,892,461 | 1,269,439 | 243,377 | 831,191 | 32,458,009 | 257,740 | ||||||||
The Health Care Select Sector SPDR Fund | — | — | 11,090,165 | 11,154,087 | 63,922 | — | — | — | — | ||||||||
The Industrial Select Sector SPDR Fund | 274,818 | 28,141,363 | 8,220,187 | 33,173,038 | 148,689 | 136,118 | 32,826 | 3,473,319 | 12,699 | ||||||||
The Materials Select Sector SPDR Fund | 351,629 | 28,942,583 | 40,609,354 | 45,840,872 | (236,425) | 784,556 | 267,732 | 24,259,196 | 185,479 | ||||||||
The Technology Select Sector SPDR Fund | 492,231 | 72,682,830 | 13,308,180 | 12,923,585 | 2,830,356 | 10,124,228 | 494,749 | 86,022,009 | 301,170 | ||||||||
The Utilities Select Sector SPDR Fund | — | — | 5,150,630 | 50,618 | 2,681 | 330,873 | 75,909 | 5,433,566 | 41,610 | ||||||||
Total | $223,939,197 | $261,349,858 | $285,225,876 | $ 2,833,075 | $12,412,233 | $215,308,487 | $1,384,912 |
SPDR SSGA Fixed Income Sector Rotation ETF | SPDR SSGA US Sector Rotation ETF | ||
ASSETS | |||
Investments in affiliated issuers, at value* | $120,565,368 | $215,308,487 | |
Dividends receivable — affiliated issuers | 6 | 11 | |
Securities lending income receivable — unaffiliated issuers | — | 2,084 | |
Securities lending income receivable — affiliated issuers | 19,229 | 5,073 | |
Receivable from Adviser | 9,564 | 12,191 | |
TOTAL ASSETS | 120,594,167 | 215,327,846 | |
LIABILITIES | |||
Payable upon return of securities loaned | 4,603,450 | 18,914,544 | |
Advisory fee payable | 49,192 | 116,656 | |
Trustees’ fees and expenses payable | 7 | 5 | |
TOTAL LIABILITIES | 4,652,649 | 19,031,205 | |
NET ASSETS | $ 115,941,518 | $196,296,641 | |
NET ASSETS CONSIST OF: | |||
Paid-in Capital | $ 117,939,595 | $173,351,203 | |
Total distributable earnings (loss) | (1,998,077) | 22,945,438 | |
NET ASSETS | $ 115,941,518 | $196,296,641 | |
NET ASSET VALUE PER SHARE | |||
Net asset value per share | $ 31.00 | $ 46.96 | |
Shares outstanding (unlimited amount authorized, no par value) | 3,740,000 | 4,180,000 | |
COST OF INVESTMENTS: | |||
Investments in affiliated issuers | $121,658,840 | $191,712,331 | |
* Includes investments in securities on loan, at value | $ 5,938,194 | $ 18,745,849 |
SPDR SSGA Fixed Income Sector Rotation ETF | SPDR SSGA US Sector Rotation ETF | ||
INVESTMENT INCOME | |||
Dividend income — affiliated issuers | $ 1,114,015 | $ 1,364,931 | |
Unaffiliated securities lending income | 17,347 | 8,256 | |
Affiliated securities lending income | 117,898 | 19,981 | |
TOTAL INVESTMENT INCOME (LOSS) | 1,249,260 | 1,393,168 | |
EXPENSES | |||
Advisory fee | 208,286 | 485,675 | |
Trustees’ fees and expenses | 386 | 791 | |
Miscellaneous expenses | — | 3 | |
TOTAL EXPENSES | 208,672 | 486,469 | |
NET INVESTMENT INCOME (LOSS) | $ 1,040,588 | $ 906,699 | |
REALIZED AND UNREALIZED GAIN (LOSS) | |||
Net realized gain (loss) on: | |||
Investments — affiliated issuers | (288,782) | (547,665) | |
In-kind redemptions — affiliated issuers | 497,583 | 3,380,740 | |
Net realized gain (loss) | 208,801 | 2,833,075 | |
Net change in unrealized appreciation/depreciation on: | |||
Investments — affiliated issuers | (1,270,754) | 12,412,233 | |
NET REALIZED AND UNREALIZED GAIN (LOSS) | (1,061,953) | 15,245,308 | |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $ (21,365) | $16,152,007 |
SPDR SSGA Fixed Income Sector Rotation ETF | SPDR SSGA US Sector Rotation ETF | ||||||
Six Months Ended 12/31/21 (Unaudited) | Year Ended 6/30/21 | Six Months Ended 12/31/21 (Unaudited) | Year Ended 6/30/21 | ||||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||||||
Net investment income (loss) | $ 1,040,588 | $ 1,180,986 | $ 906,699 | $ 950,203 | |||
Net realized gain (loss) | 208,801 | 118,053 | 2,833,075 | 21,118,417 | |||
Net change in unrealized appreciation/depreciation | (1,270,754) | (1,118,319) | 12,412,233 | 7,788,064 | |||
Net increase (decrease) in net assets resulting from operations | (21,365) | 180,720 | 16,152,007 | 29,856,684 | |||
Net equalization credits and charges | (319,385) | (305,734) | (30,249) | (102,983) | |||
Distributions to shareholders | (1,046,327) | (1,399,502) | (6,066,201) | (1,087,675) | |||
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||||||
Proceeds from shares sold | 60,663,938 | 55,227,077 | 30,304,477 | 131,380,293 | |||
Cost of shares redeemed | (26,628,572) | (18,048,847) | (18,489,257) | (54,370,975) | |||
Net income equalization | 319,385 | 305,734 | 30,249 | 102,983 | |||
Net increase (decrease) in net assets from beneficial interest transactions | 34,354,751 | 37,483,964 | 11,845,469 | 77,112,301 | |||
Net increase (decrease) in net assets during the period | 32,967,674 | 35,959,448 | 21,901,026 | 105,778,327 | |||
Net assets at beginning of period | 82,973,844 | 47,014,396 | 174,395,615 | 68,617,288 | |||
NET ASSETS AT END OF PERIOD | $115,941,518 | $ 82,973,844 | $196,296,641 | $174,395,615 | |||
SHARES OF BENEFICIAL INTEREST: | |||||||
Shares sold | 1,940,000 | 1,750,000 | 660,000 | 3,220,000 | |||
Shares redeemed | (850,000) | (570,000) | (410,000) | (1,380,000) | |||
Net increase (decrease) from share transactions | 1,090,000 | 1,180,000 | 250,000 | 1,840,000 |
SPDR SSGA Fixed Income Sector Rotation ETF | |||||||
Six Months Ended 12/31/21 (Unaudited) | �� | Year Ended 6/30/21 | Year Ended 6/30/20 | For the Period 4/3/2019*- 6/30/19 | |||
Net asset value, beginning of period | $ 31.31 | $ 31.98 | $ 31.08 | $ 30.10 | |||
Income (loss) from investment operations: | |||||||
Net investment income (loss) (a) | 0.33 | 0.63 | 0.81 | 0.15 | |||
Net realized and unrealized gain (loss) (b) | (0.21) | (0.37) | 1.31 | 0.99 | |||
Total from investment operations | 0.12 | 0.26 | 2.12 | 1.14 | |||
Net equalization credits and charges (a) | (0.10) | (0.16) | (0.17) | 0.00(c) | |||
Distributions to shareholders from: | |||||||
Net investment income | (0.33) | (0.77) | (1.05) | (0.16) | |||
Net asset value, end of period | $ 31.00 | $ 31.31 | $ 31.98 | $ 31.08 | |||
Total return (d) | 0.05% | 0.29% | 6.42% | 3.81% | |||
Ratios and Supplemental Data: | |||||||
Net assets, end of period (in 000s) | $115,942 | $82,974 | $47,014 | $10,877 | |||
Ratios to average net assets: | |||||||
Total expenses (e) | 0.41%(f) | 0.39% | 0.31% | 0.31%(f) | |||
Net investment income (loss) | 2.06%(f) | 1.99% | 2.57% | 1.98%(f) | |||
Portfolio turnover rate (g) | 41%(h) | 79% | 150% | 32%(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) | 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) | Not annualized. |
SPDR SSGA US Sector Rotation ETF | |||||||
Six Months Ended 12/31/21 (Unaudited) | Year Ended 6/30/21 | Year Ended 6/30/20 | For the Period 4/3/2019*- 6/30/19 | ||||
Net asset value, beginning of period | $ 44.38 | $ 32.83 | $ 30.73 | $ 30.09 | |||
Income (loss) from investment operations: | |||||||
Net investment income (loss) (a) | 0.22 | 0.36 | 0.57 | 0.23 | |||
Net realized and unrealized gain (loss) (b) | 3.82 | 11.62 | 1.98 | 0.55 | |||
Total from investment operations | 4.04 | 11.98 | 2.55 | 0.78 | |||
Net equalization credits and charges (a) | (0.01) | (0.04) | 0.03 | (0.03) | |||
Distributions to shareholders from: | |||||||
Net investment income | (0.22) | (0.39) | (0.48) | (0.11) | |||
Net realized gains | (1.23) | — | — | — | |||
Total distributions | (1.45) | — | — | — | |||
Net asset value, end of period | $ 46.96 | $ 44.38 | $ 32.83 | $ 30.73 | |||
Total return (c) | 9.11% | 36.48% | 8.52% | 2.50% | |||
Ratios and Supplemental Data: | |||||||
Net assets, end of period (in 000s) | $196,297 | $174,396 | $68,617 | $14,136 | |||
Ratios to average net assets: | |||||||
Total expenses (d) | 0.52%(e) | 0.52% | 0.49% | 0.49%(e) | |||
Net investment income (loss) | 0.97%(e) | 0.89% | 1.79% | 3.12%(e) | |||
Portfolio turnover rate (f) | 124%(g) | 263% | 154% | 39%(g) |
* | 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) | Not annualized. |
SPDR SSGA Fixed Income Sector Rotation ETF |
SPDR SSGA US Sector Rotation ETF |
Annual Rate | |
SPDR SSGA Fixed Income Sector Rotation ETF | 0.50% |
SPDR SSGA US Sector Rotation ETF | 0.70 |
Purchases | Sales | ||
SPDR SSGA Fixed Income Sector Rotation ETF | $ 75,127,123 | $ 41,224,518 | |
SPDR SSGA US Sector Rotation ETF | 229,952,426 | 235,072,152 |
In-kind Contributions | In-kind Redemptions | In-kind Net Realized Gains/(Losses) | |||
SPDR SSGA Fixed Income Sector Rotation ETF | $55,019,680 | $20,985,805 | $ 497,583 | ||
SPDR SSGA US Sector Rotation ETF | 28,935,561 | 17,111,844 | 3,380,740 |
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | ||||
SPDR SSGA Fixed Income Sector Rotation ETF | $121,699,100 | $ 196,810 | $1,330,542 | $ (1,133,732) | |||
SPDR SSGA US Sector Rotation ETF | 191,763,842 | 23,726,985 | 182,340 | 23,544,645 |
Fund | Market Value of Securities on Loan | Cash Collateral Received | Non-Cash Collateral Received * | Total Collateral Received | ||||
SPDR SSGA Fixed Income Sector Rotation ETF | $ 5,938,194 | $ 4,603,450 | $ 1,470,600 | $ 6,074,050 | ||||
SPDR SSGA US Sector Rotation ETF | 18,745,849 | 18,914,544 | 160,673 | 19,075,217 |
* | The non-cash collateral includes U.S. Treasuries and U.S. Government Agency securities. |
Remaining Contractual Maturity of the Agreements as of December 31, 2021 | ||||||||||||||
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 Fixed Income Sector Rotation ETF | Mutual Funds and Exchange Traded Products | $ 4,603,450 | $— | $— | $— | $ 4,603,450 | $ 4,603,450 | |||||||
SPDR SSGA US Sector Rotation ETF | Mutual Funds and Exchange Traded Products | 18,914,544 | — | — | — | 18,914,544 | 18,914,544 |
SPDR SSGA Fixed Income Sector Rotation ETF | SPDR SSGA US Sector Rotation ETF | ||
Annualized Expense Ratio | 0.41% | 0.52% | |
Actual: | |||
Ending Account Value | $1,000.50 | $1,091.10 | |
Expenses Paid During Period | 2.07 | 2.74 | |
Hypothetical (assuming a 5% return before expenses): | |||
Ending Account Value | 1,023.10 | 1,022.60 | |
Expenses Paid During Period(a) | 2.09 | 2.65 |
(a) | Expenses are equal to the Fund's annualized net expense ratio multiplied by the average account value of the period, multiplied by 184, then divided by 365. |
• | 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. |
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
One Iron Street
Boston, MA 02210
SPDR DoubleLine Emerging Markets Fixed Income ETF |
SPDR DoubleLine Short Duration Total Return Tactical ETF |
SPDR DoubleLine Total Return Tactical ETF |
![](https://capedge.com/proxy/N-CSRS/0001193125-22-070205/g258368img02fc78e71.jpg)
Management's Discussion of Fund Performance, Performance Summaries and Portfolio Statistics (Unaudited) | |
1 | |
2 | |
3 | |
Schedules of Investments (Unaudited) | |
5 | |
14 | |
41 | |
110 | |
117 | |
120 | |
131 |
Description | % of Net Assets | ||
Galaxy Pipeline Assets Bidco, Ltd. 2.16% 3/31/2034 | 2.3% | ||
Panama Government International Bond 3.87% 7/23/2060 | 2.1 | ||
Minejesa Capital B.V. 5.63% 8/10/2037 | 2.1 | ||
TNB Global Ventures Capital Bhd 3.24% 10/19/2026 | 2.1 | ||
Chile Electricity PEC SpA 0.01% 1/25/2028 | 2.1 | ||
TOTAL | 10.7% |
% of Net Assets | |||
Corporate Bonds & Notes | 64.1% | ||
Foreign Government Obligations | 34.0 | ||
Short-Term Investment | 1.0 | ||
Other Assets in Excess of Liabilities | 0.9 | ||
TOTAL | 100.0% |
Description | % of Net Assets | ||
U.S. Treasury Bill 0.08% 8/11/2022 | 8.9% | ||
U.S. Treasury Bill 0.12% 7/14/2022 | 3.3 | ||
Federal National Mortgage Association 2.50% 8/1/2041 | 2.8 | ||
Federal Home Loan Mortgage Corp. 1.50% 2/1/2036 | 2.6 | ||
U.S. Treasury Note 1.63% 4/30/2023 | 2.5 | ||
TOTAL | 20.1% |
% of Net Assets | |||
U.S. Government Agency Obligations | 25.3% | ||
Corporate Bonds & Notes | 24.0 | ||
U.S. Treasury Obligations | 16.7 | ||
Asset-Backed Securities | 12.2 | ||
Senior Floating Rate Loans | 7.2 | ||
Mortgage-Backed Securities | 4.8 | ||
Foreign Government Obligations | 2.6 | ||
Commercial Mortgage Backed Securities | 2.3 | ||
Short-Term Investment | 3.7 | ||
Other Assets in Excess of Liabilities | 1.2 | ||
TOTAL | 100.0% |
Description | % of Net Assets | ||
Treasury Bonds 1.88% 11/15/2051 | 4.0% | ||
Treasury Notes 0.50% 11/30/2023 | 3.4 | ||
Treasury Notes 1.50% 11/30/2028 | 3.2 | ||
Treasury Notes 0.13% 11/30/2022 | 3.0 | ||
Treasury Notes 2.25% 11/15/2025 | 2.5 | ||
TOTAL | 16.1% |
% of Net Assets | |||
U.S. Government Agency Obligations | 35.7% | ||
U.S. Treasury Obligations | 23.5 | ||
Mortgage-Backed Securities | 6.7 | ||
Asset-Backed Securities | 6.3 | ||
Commercial Mortgage Backed Securities | 5.4 | ||
Foreign Government Obligations | 2.1 | ||
Banks | 2.2 | ||
Electric | 1.5 | ||
Oil & Gas | 1.2 | ||
Telecommunications | 1.0 | ||
Pipelines | 0.8 | ||
Health Care Services | 0.8 | ||
Software | 0.8 | ||
Diversified Financial Services | 0.7 | ||
Insurance | 0.7 | ||
Retail | 0.6 | ||
Real Estate Investment Trusts | 0.6 | ||
Commercial Services | 0.5 | ||
Food | 0.5 | ||
Chemicals | 0.5 | ||
Auto Manufacturers | 0.4 | ||
Packaging & Containers | 0.4 | ||
Pharmaceuticals | 0.3 | ||
Leisure Time | 0.3 | ||
Media | 0.2 | ||
Internet | 0.2 | ||
Entertainment | 0.2 | ||
Transportation | 0.2 | ||
Mining | 0.2 | ||
Investment Company Security | 0.2 | ||
Beverages | 0.2 | ||
Biotechnology | 0.2 | ||
Electronics | 0.2 | ||
Building Materials | 0.2 |
% of Net Assets | |||
Machinery-Diversified | 0.2% | ||
Agriculture | 0.2 | ||
Oil & Gas Services | 0.2 | ||
IT Services | 0.2 | ||
Health Care Products | 0.1 | ||
Auto Parts & Equipment | 0.1 | ||
Aerospace & Defense | 0.1 | ||
Lodging | 0.1 | ||
Airlines | 0.1 | ||
Miscellaneous Manufacturer | 0.1 | ||
Advertising | 0.1 | ||
Forest Products & Paper | 0.1 | ||
Semiconductors | 0.1 | ||
Household Products & Wares | 0.1 | ||
Energy-Alternate Sources | 0.1 | ||
Water | 0.1 | ||
Computers | 0.1 | ||
Engineering & Construction | 0.1 | ||
Iron/Steel | 0.0* | ||
Environmental Control | 0.0* | ||
Home Builders | 0.0* | ||
Construction Materials | 0.0* | ||
Housewares | 0.0* | ||
Distribution & Wholesale | 0.0* | ||
Metal Fabricate & Hardware | 0.0* | ||
Real Estate | 0.0* | ||
Coal | 0.0* | ||
Cosmetics/Personal Care | 0.0* | ||
Trucking & Leasing | 0.0* | ||
Household Products | 0.0* | ||
Machinery, Construction & Mining | 0.0* | ||
Home Furnishings | 0.0* | ||
Hand & Machine Tools | 0.0* | ||
Short-Term Investment | 2.2 | ||
Other Assets in Excess of Liabilities | 0.1 | ||
TOTAL | 100.0% |
* | Amount shown represents less than 0.05% of net assets. |
Security Description | Principal Amount | Value | ||||
CORPORATE BONDS & NOTES — 64.1% | ||||||
ARGENTINA — 0.9% | ||||||
Banco Macro SA Series REGS, USD 5 Year Swap Rate + 5.46%, 6.75%, 11/4/2026 (a) | $ 550,000 | $ 459,833 | ||||
Pampa Energia SA Series REGS, 7.50%, 1/24/2027 | 450,000 | 388,755 | ||||
848,588 | ||||||
BRAZIL — 4.6% | ||||||
Banco do Brasil SA 10 Year CMT + 6.36%, 9.00%, 6/18/2024 (a) | 900,000 | 960,156 | ||||
Banco do Estado do Rio Grande do Sul SA Series REGS, 5 year CMT + 4.93%, 5.38%, 1/28/2031 (a) | 200,000 | 193,742 | ||||
Braskem Netherlands Finance BV 5 year CMT + 8.22%, 8.50%, 1/23/2081 (a)(b) | 400,000 | 466,188 | ||||
Itau Unibanco Holding SA Series REGS, 5 year CMT + 3.45%, 3.88%, 4/15/2031 (a) | 1,790,000 | 1,717,559 | ||||
Nexa Resources SA Series REGS, 5.38%, 5/4/2027 | 200,000 | 212,524 | ||||
Petrobras Global Finance B.V. 5.50%, 6/10/2051 | 1,100,000 | 1,020,734 | ||||
4,570,903 | ||||||
CHILE — 6.5% | ||||||
Antofagasta PLC Series REGS, 2.38%, 10/14/2030 | 600,000 | 572,622 | ||||
CAP SA: | ||||||
3.90%, 4/27/2031 (b) | 600,000 | 564,000 | ||||
3.90%, 4/27/2031 | 1,000,000 | 940,000 | ||||
Chile Electricity PEC SpA 0.01%, 1/25/2028 (b) | 2,500,000 | 2,032,125 | ||||
Empresa Electrica Angamos SA Series REGS, 4.88%, 5/25/2029 | 130,400 | 125,218 | ||||
Empresa Electrica Cochrane SpA Series REGS, 5.50%, 5/14/2027 | 1,426,320 | 1,429,501 | ||||
Engie Energia Chile SA 3.40%, 1/28/2030 | 400,000 | 404,444 | ||||
Guacolda Energia SA Series REGS, 4.56%, 4/30/2025 | 400,000 | 155,900 | ||||
Telefonica Moviles Chile SA 3.54%, 11/18/2031 (b) | 150,000 | 149,493 | ||||
6,373,303 | ||||||
COLOMBIA — 4.7% | ||||||
AI Candelaria Spain SLU 5.75%, 6/15/2033 (b) | 500,000 | 483,585 | ||||
Banco Davivienda SA 10 Year CMT + 5.10%, 6.65%, 4/22/2031 (a)(b) | 400,000 | 405,372 | ||||
Ecopetrol SA: | ||||||
4.63%, 11/2/2031 | 700,000 | 679,966 | ||||
5.88%, 5/28/2045 | 100,000 | 95,774 | ||||
5.88%, 11/2/2051 | 250,000 | 234,443 | ||||
Empresas Publicas de Medellin ESP: | ||||||
Series REGS, 4.25%, 7/18/2029 | 1,500,000 | 1,422,825 |
Security Description | Principal Amount | Value | |||
Series REGS, 4.38%, 2/15/2031 | $ 500,000 | $ 470,070 | |||
Gran Tierra Energy International Holdings, Ltd. Series REGS, 6.25%, 2/15/2025 | 600,000 | 545,940 | |||
Oleoducto Central SA Series REGS, 4.00%, 7/14/2027 | 300,000 | 298,902 | |||
4,636,877 | |||||
INDIA — 4.2% | |||||
Adani International Container Terminal Pvt, Ltd.: | |||||
3.00%, 2/16/2031 (b) | 392,000 | 377,711 | |||
Series REGS, 3.00%, 2/16/2031 | 980,000 | 944,912 | |||
Adani Ports & Special Economic Zone, Ltd.: | |||||
3.10%, 2/2/2031 | 1,000,000 | 952,270 | |||
Series REGS, 4.38%, 7/3/2029 | 700,000 | 731,017 | |||
ONGC Videsh Vankorneft Pte, Ltd. 3.75%, 7/27/2026 | 600,000 | 628,770 | |||
Ultratech Cement, Ltd. 2.80%, 2/16/2031 | 200,000 | 193,328 | |||
Vedanta Resources, Ltd. Series REGS, 6.13%, 8/9/2024 | 400,000 | 350,292 | |||
4,178,300 | |||||
INDONESIA — 3.4% | |||||
LLPL Capital Pte, Ltd. 6.88%, 2/4/2039 (b) | 358,680 | 408,809 | |||
Minejesa Capital B.V.: | |||||
Series REGS, 4.63%, 8/10/2030 | 800,000 | 821,008 | |||
Series REGS, 5.63%, 8/10/2037 | 2,000,000 | 2,090,960 | |||
3,320,777 | |||||
JAMAICA — 0.1% | |||||
Digicel Group Holdings, Ltd.: | |||||
7.00%, 12/31/2099 (b) | 66,877 | 58,016 | |||
8.00%, 4/1/2025 (b) | 44,197 | 41,017 | |||
99,033 | |||||
KUWAIT — 0.9% | |||||
Equate Petrochemical B.V. Series REGS, 2.63%, 4/28/2028 | 900,000 | 901,125 | |||
MALAYSIA — 3.4% | |||||
Petronas Capital, Ltd.: | |||||
2.48%, 1/28/2032 (b) | 400,000 | 401,268 | |||
Series REGS, 3.50%, 3/18/2025 | 600,000 | 636,204 | |||
3.50%, 4/21/2030 (b) | 200,000 | 216,448 | |||
TNB Global Ventures Capital Bhd Series EMTN, 3.24%, 10/19/2026 | 2,000,000 | 2,089,920 | |||
3,343,840 |
Security Description | Principal Amount | Value | |||
MEXICO — 2.2% | |||||
Banco Mercantil del Norte SA Series REGS, 10 Year CMT + 5.47%, 7.50%, 6/27/2029 (a) | $ 800,000 | $ 851,592 | |||
Credito Real SAB de CV Series REGS, 5 Year CMT + 7.03%, 9.13%, 11/29/2022 (a) | 200,000 | 97,618 | |||
Mexarrend SAPI de CV 10.25%, 7/24/2024 (b) | 300,000 | 266,805 | |||
Petroleos Mexicanos 6.75%, 9/21/2047 | 550,000 | 486,640 | |||
Unifin Financiera SAB de CV Series REGS, 5 Year CMT + 6.31%, 8.88%, 1/29/2025 (a) | 800,000 | 471,040 | |||
2,173,695 | |||||
PANAMA — 2.5% | |||||
Banco General SA 10 Year CMT + 3.67%, 5.25%, 5/7/2031 (a)(b) | 800,000 | 812,464 | |||
Banco Nacional de Panama 2.50%, 8/11/2030 (b) | 300,000 | 281,025 | |||
UEP Penonome II SA 6.50%, 10/1/2038 (b) | 1,346,684 | 1,416,065 | |||
2,509,554 | |||||
PERU — 5.5% | |||||
Banco BBVA Peru SA 5 year CMT + 2.75%, 5.25%, 9/22/2029 (a) | 200,000 | 210,022 | |||
Banco de Credito del Peru: | |||||
Series REGS, 5 year CMT + 3.00%, 3.13%, 7/1/2030 (a) | 800,000 | 790,976 | |||
5 year CMT + 3.00%, 3.13%, 7/1/2030 (a)(b) | 250,000 | 247,180 | |||
Banco Internacional del Peru SAA Interbank Series REGS, 3 Month USD LIBOR + 5.76%, 6.63%, 3/19/2029 | 898,000 | 946,339 | |||
Banco Internacional del Peru SAA Interbank Series REGS, 1 year CMT + 3.71%, 4.00%, 7/8/2030 (a) | 700,000 | 697,144 | |||
Fenix Power Peru SA Series REGS, 4.32%, 9/20/2027 | 909,118 | 930,064 | |||
Hunt Oil Co. of Peru LLC Sucursal Del Peru Series REGS, 6.38%, 6/1/2028 | 1,053,800 | 1,068,226 | |||
Inkia Energy, Ltd. Series REGS, 5.88%, 11/9/2027 | 300,000 | 307,464 | |||
Orazul Energy Egenor SCA 5.63%, 4/28/2027 | 252,000 | 242,868 | |||
5,440,283 | |||||
QATAR — 1.5% | |||||
Qatar Energy 2.25%, 7/12/2031 | 1,500,000 | 1,485,852 | |||
SAUDI ARABIA — 0.4% | |||||
SA Global Sukuk, Ltd. 2.69%, 6/17/2031 (b) | 400,000 | 402,304 | |||
SINGAPORE — 12.8% | |||||
DBS Group Holdings, Ltd.: | |||||
Series GMTN, 5 year CMT + 1.10%, 1.82%, 3/10/2031 (a) | 1,550,000 | 1,531,834 | |||
5 year CMT + 1.91%, 3.30%, 2/27/2025 (a) | 200,000 | 203,082 |
Security Description | Principal Amount | Value | |||
Oversea-Chinese Banking Corp., Ltd.: | |||||
5 year CMT + 1.58%, 1.83%, 9/10/2030 (a)(b) | $ 500,000 | $ 496,335 | |||
Series REGS, 5 year CMT + 1.58%, 1.83%, 9/10/2030 (a) | 1,700,000 | 1,687,539 | |||
PSA Treasury Pte, Ltd.: | |||||
Series GMTN, 2.13%, 9/5/2029 | 2,000,000 | 2,019,725 | |||
2.25%, 4/30/2030 | 800,000 | 816,553 | |||
SingTel Group Treasury Pte, Ltd. 1.88%, 6/10/2030 | 1,500,000 | 1,477,301 | |||
Temasek Financial I Ltd.: | |||||
1.00%, 10/6/2030 (b) | 2,100,000 | 1,958,208 | |||
Series REGS, 1.00%, 10/6/2030 | 250,000 | 233,120 | |||
1.63%, 8/2/2031 | 250,000 | 242,750 | |||
United Overseas Bank, Ltd.: | |||||
Series EMTN, USD 5 Year Swap Rate + 1.79%, 3.88%, 10/19/2023 (a) | 600,000 | 615,000 | |||
Series GMTN, 5 year CMT + 1.52%, 1.75%, 3/16/2031 (a) | 800,000 | 787,280 | |||
Series EMTN, USD 5 Year Swap Rate + 1.65%, 2.88%, 3/8/2027 (a) | 600,000 | 602,016 | |||
12,670,743 | |||||
SOUTH KOREA — 6.4% | |||||
Korea East-West Power Co., Ltd. Series REGS, 1.75%, 5/6/2025 | 1,100,000 | 1,108,140 | |||
Korea Southern Power Co., Ltd. 0.75%, 1/27/2026 (b) | 1,000,000 | 966,240 | |||
KT Corp.: | |||||
1.00%, 9/1/2025 | 400,000 | 392,092 | |||
Series REGS, 2.50%, 7/18/2026 | 800,000 | 826,640 | |||
LG Chem, Ltd. 2.38%, 7/7/2031 (b) | 200,000 | 196,844 | |||
NongHyup Bank 1.25%, 7/20/2025 (b) | 600,000 | 594,252 | |||
POSCO: | |||||
Series REGS, 2.38%, 1/17/2023 | 600,000 | 607,584 | |||
Series REGS, 2.75%, 7/15/2024 | 400,000 | 412,944 | |||
Shinhan Financial Group Co., Ltd. 5 year CMT + 2.06%, 2.88%, 5/12/2026 (a)(b) | 550,000 | 542,107 | |||
Woori Bank Series REGS, 5 year CMT + 2.66%, 4.25%, 10/4/2024 (a) | 600,000 | 622,014 | |||
6,268,857 | |||||
THAILAND — 1.3% | |||||
Bangkok Bank PCL 5 Year CMT + 4.72%, 5.00%, 12/31/2099 | 400,000 | 414,188 | |||
Kasikornbank PCL Series EMTN, 5 year CMT + 4.94%, 5.28%, 10/14/2025 (a) | 600,000 | 628,500 | |||
PTTEP Treasury Center Co., Ltd. 2.59%, 6/10/2027 (b) | 200,000 | 204,130 | |||
1,246,818 |
Security Description | Principal Amount | Value | ||||
UNITED ARAB EMIRATES — 2.8% | ||||||
Galaxy Pipeline Assets Bidco, Ltd.: | ||||||
2.16%, 3/31/2034 (b) | $ 2,300,000 | $ 2,257,634 | ||||
Series REGS, 2.63%, 3/31/2036 | 500,000 | 488,496 | ||||
2,746,130 | ||||||
TOTAL CORPORATE BONDS & NOTES (Cost $64,263,098) | 63,216,982 | |||||
FOREIGN GOVERNMENT OBLIGATIONS — 34.0% | ||||||
BRAZIL — 2.0% | ||||||
Brazilian Government International Bond: | ||||||
3.75%, 9/12/2031 | 900,000 | 847,692 | ||||
5.00%, 1/27/2045 | 300,000 | 281,490 | ||||
5.63%, 2/21/2047 | 900,000 | 897,867 | ||||
2,027,049 | ||||||
CHILE — 2.7% | ||||||
Chile Government International Bond: | ||||||
2.55%, 1/27/2032 | 600,000 | 598,770 | ||||
2.55%, 7/27/2033 | 600,000 | 584,154 | ||||
3.10%, 5/7/2041 | 600,000 | 589,500 | ||||
3.10%, 1/22/2061 | 200,000 | 186,268 | ||||
3.50%, 1/25/2050 | 700,000 | 729,526 | ||||
2,688,218 | ||||||
COLOMBIA — 3.0% | ||||||
Colombia Government International Bond: | ||||||
3.13%, 4/15/2031 | 500,000 | 450,660 | ||||
3.25%, 4/22/2032 | 1,200,000 | 1,080,864 | ||||
4.13%, 5/15/2051 | 950,000 | 773,499 | ||||
5.00%, 6/15/2045 | 700,000 | 631,638 | ||||
2,936,661 | ||||||
DOMINICAN REPUBLIC — 2.0% | ||||||
Dominican Republic International Bond Series 144A, 4.88%, 9/23/2032 (b) | 1,900,000 | 1,936,632 | ||||
INDONESIA — 4.4% | ||||||
Indonesia Government International Bond: | ||||||
3.70%, 10/30/2049 | 1,600,000 | 1,700,112 | ||||
4.35%, 1/11/2048 | 500,000 | 576,860 | ||||
Perusahaan Penerbit SBSN Indonesia III: | ||||||
2.55%, 6/9/2031 (b) | 1,700,000 | 1,726,146 |
Security Description | Principal Amount | Value | |||
Series REGS, 3.80%, 6/23/2050 | $ 300,000 | $ 315,759 | |||
4,318,877 | |||||
MALAYSIA — 1.9% | |||||
Malaysia Sovereign Sukuk Bhd Series REGS, 3.04%, 4/22/2025 | 800,000 | 840,120 | |||
Malaysia Sukuk Global Bhd Series REGS, 3.18%, 4/27/2026 | 250,000 | 266,757 | |||
Malaysia Wakala Sukuk Bhd: | |||||
2.07%, 4/28/2031 (b) | 250,000 | 249,903 | |||
Series REGS, 2.07%, 4/28/2031 | 500,000 | 499,805 | |||
1,856,585 | |||||
MEXICO — 5.0% | |||||
Mexico Government International Bond: | |||||
2.66%, 5/24/2031 | 1,600,000 | 1,561,504 | |||
4.28%, 8/14/2041 | 1,600,000 | 1,662,608 | |||
4.35%, 1/15/2047 | 300,000 | 312,243 | |||
4.50%, 1/31/2050 | 500,000 | 531,665 | |||
4.60%, 2/10/2048 | 800,000 | 855,544 | |||
4,923,564 | |||||
PANAMA — 3.1% | |||||
Panama Government International Bond: | |||||
2.25%, 9/29/2032 | 300,000 | 285,609 | |||
3.87%, 7/23/2060 | 2,100,000 | 2,100,567 | |||
4.30%, 4/29/2053 | 600,000 | 647,472 | |||
3,033,648 | |||||
PHILIPPINES — 3.1% | |||||
Philippine Government International Bond: | |||||
2.46%, 5/5/2030 | 400,000 | 412,864 | |||
2.65%, 12/10/2045 | 500,000 | 476,075 | |||
3.70%, 3/1/2041 | 1,000,000 | 1,097,070 | |||
3.70%, 2/2/2042 | 1,000,000 | 1,097,300 | |||
3,083,309 | |||||
SAUDI ARABIA — 3.7% | |||||
Saudi Government International Bond: | |||||
Series REGS, 2.25%, 2/2/2033 | 2,000,000 | 1,949,520 | |||
Series REGS, 3.45%, 2/2/2061 | 1,500,000 | 1,513,410 | |||
Series REGS, 3.75%, 1/21/2055 | 200,000 | 214,412 | |||
3,677,342 |
Security Description | Principal Amount | Value | |||
SOUTH KOREA — 1.5% | |||||
Korea Development Bank: | |||||
1.00%, 9/9/2026 | $ 200,000 | $ 195,650 | |||
1.63%, 1/19/2031 | 500,000 | 490,600 | |||
Korea Electric Power Corp.: | |||||
Series 144A, 1.13%, 6/15/2025 (b) | 400,000 | 395,628 | |||
Series REGS, 1.13%, 6/15/2025 | 200,000 | 197,814 | |||
Korea Hydro & Nuclear Power Co., Ltd. Series 144A, 1.25%, 4/27/2026 (b) | 200,000 | 196,486 | |||
1,476,178 | |||||
UNITED ARAB EMIRATES — 1.6% | |||||
Abu Dhabi Government International Bond: | |||||
Series REGS, 1.70%, 3/2/2031 | 800,000 | 777,600 | |||
Series 144A, 3.13%, 4/16/2030 (b) | 400,000 | 433,600 | |||
Series REGS, 3.13%, 9/30/2049 | 400,000 | 408,170 | |||
1,619,370 | |||||
TOTAL FOREIGN GOVERNMENT OBLIGATIONS (Cost $33,643,624) | 33,577,433 |
Shares | |||
SHORT-TERM INVESTMENT — 1.0% | |||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 0.03% (c) (d) (Cost $968,249) | 968,249 | 968,249 | |
TOTAL INVESTMENTS — 99.1% (Cost $98,874,971) | 97,762,664 | ||
OTHER ASSETS IN EXCESS OF LIABILITIES — 0.9% | 913,073 | ||
NET ASSETS — 100.0% | $ 98,675,737 |
(a) | Variable Rate Security - Interest rate shown is rate in effect at December 31, 2021. 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 21.5% of net assets as of December 31, 2021, 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, 2021 are shown in the Affiliate Table below. |
(d) | The rate shown is the annualized seven-day yield at December 31, 2021. |
CMT | Constant Maturity Treasury |
EMTN | Euro Medium Term Note |
GMTN | Global 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 | $ — | $63,216,982 | $— | $63,216,982 | ||||
Foreign Government Obligations | — | 33,577,433 | — | 33,577,433 | ||||
Short-Term Investment | 968,249 | — | — | 968,249 | ||||
TOTAL INVESTMENTS | $968,249 | $96,794,415 | $— | $97,762,664 |
% of Net Assets | ||
Foreign Government Obligations | 34.0% | |
Banks | 17.6 | |
Electric | 14.1 | |
Oil & Gas | 8.2 | |
Commercial Services | 6.0 | |
Pipelines | 3.6 | |
Telecommunications | 3.0 | |
Energy-Alternate Sources | 2.8 | |
Iron/Steel | 2.6 | |
Investment Company Security | 2.4 | |
Chemicals | 1.6 | |
Mining | 1.1 | |
Diversified Financial Services | 0.9 | |
Building Materials | 0.2 | |
Short-Term Investment | 1.0 | |
Other Assets in Excess of Liabilities | 0.9 | |
TOTAL | 100.0% |
Number of Shares Held at 6/30/21 | Value at 6/30/21 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 12/31/21 | Value at 12/31/21 | Dividend Income | |||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 2,549,386 | $2,549,386 | $18,511,387 | $20,092,524 | $— | $— | 968,249 | $968,249 | $167 |
Security Description | Principal Amount | Value | ||||
CORPORATE BONDS & NOTES — 24.0% | ||||||
ADVERTISING — 0.3% | ||||||
Omnicom Group, Inc./Omnicom Capital, Inc. 3.65%, 11/1/2024 | $ 425,000 | $ 450,334 | ||||
AEROSPACE & DEFENSE — 0.3% | ||||||
Boeing Co. 4.51%, 5/1/2023 | 430,000 | 448,585 | ||||
TransDigm, Inc.: | ||||||
5.50%, 11/15/2027 | 40,000 | 41,224 | ||||
6.25%, 3/15/2026 (a) | 65,000 | 67,543 | ||||
557,352 | ||||||
AGRICULTURE — 0.3% | ||||||
BAT International Finance PLC 1.67%, 3/25/2026 | 455,000 | 447,165 | ||||
AIRLINES — 0.4% | ||||||
American Airlines, Inc./AAdvantage Loyalty IP, Ltd. 5.75%, 4/20/2029 (a) | 140,000 | 149,719 | ||||
Southwest Airlines Co. 4.75%, 5/4/2023 | 430,000 | 450,464 | ||||
United Airlines, Inc. 4.63%, 4/15/2029 (a) | 115,000 | 119,273 | ||||
719,456 | ||||||
AUTO MANUFACTURERS — 0.7% | ||||||
Ford Motor Co. 3.25%, 2/12/2032 | 80,000 | 81,900 | ||||
General Motors Financial Co., Inc. 5.25%, 3/1/2026 | 395,000 | 443,024 | ||||
Hyundai Capital America: | ||||||
1.00%, 9/17/2024 (a) | 100,000 | 98,419 | ||||
2.85%, 11/1/2022 (a) | 365,000 | 370,300 | ||||
Nissan Motor Acceptance Co. LLC 1.13%, 9/16/2024 (a) | 130,000 | 127,917 | ||||
1,121,560 | ||||||
AUTO PARTS & EQUIPMENT — 0.1% | ||||||
American Axle & Manufacturing, Inc. 5.00%, 10/1/2029 | 75,000 | 73,616 |
Security Description | Principal Amount | Value | ||||
Goodyear Tire & Rubber Co. 5.25%, 7/15/2031 (a) | $ 110,000 | $ 119,508 | ||||
193,124 | ||||||
BANKS — 4.3% | ||||||
Banco Bilbao Vizcaya Argentaria Colombia SA Series REGS, 4.88%, 4/21/2025 | 200,000 | 206,948 | ||||
Banco de Credito del Peru Series REGS, 5 year CMT + 3.00%, 3.13%, 7/1/2030 (b) | 400,000 | 395,488 | ||||
Banco do Brasil SA 3.25%, 9/30/2026 (a) | 200,000 | 194,968 | ||||
Banco Internacional del Peru SAA Interbank Series REGS, 3 Month USD LIBOR + 5.76%, 6.63%, 3/19/2029 | 100,000 | 105,383 | ||||
Bancolombia SA 5 Year CMT + 2.93%, 4.88%, 10/18/2027 (b) | 200,000 | 200,384 | ||||
Bank of America Corp.: | ||||||
SOFR + 0.69%, 0.74%, 4/22/2025 (b) | 165,000 | 165,718 | ||||
Series MTN, 3 Month USD LIBOR + 0.79%, 0.97%, 3/5/2024 (b) | 285,000 | 286,445 | ||||
Bank of Nova Scotia 0.65%, 7/31/2024 | 330,000 | 325,505 | ||||
Canadian Imperial Bank of Commerce 0.45%, 6/22/2023 | 340,000 | 337,668 | ||||
Citigroup, Inc.: | ||||||
3 Month USD LIBOR + 1.02%, 1.19%, 6/1/2024 (b) | 285,000 | 287,491 | ||||
SOFR + 0.53%, 1.28%, 11/3/2025 (b) | 155,000 | 154,673 | ||||
DBS Group Holdings, Ltd. Series GMTN, 5 year CMT + 1.10%, 1.82%, 3/10/2031 (b) | 200,000 | 197,656 | ||||
Goldman Sachs Group, Inc. 3.50%, 4/1/2025 | 415,000 | 439,236 | ||||
Itau Unibanco Holding SA Series REGS, 5 year CMT + 3.45%, 3.88%, 4/15/2031 (b) | 200,000 | 191,906 | ||||
JPMorgan Chase & Co.: | ||||||
3.90%, 7/15/2025 | 305,000 | 330,022 | ||||
3 Month USD LIBOR + 0.70%, 3.21%, 4/1/2023 (b) | 100,000 | 100,593 | ||||
Macquarie Group, Ltd. 3 Month USD LIBOR + 1.33%, 4.15%, 3/27/2024 (a) (b) | 430,000 | 445,510 | ||||
Morgan Stanley Series MTN, SOFR + 0.46%, 0.53%, 1/25/2024 (b) | 445,000 | 443,487 | ||||
NongHyup Bank 1.25%, 7/20/2025 (a) | 200,000 | 198,084 |
Security Description | Principal Amount | Value | ||||
Oversea-Chinese Banking Corp., Ltd. Series REGS, 5 year CMT + 1.58%, 1.83%, 9/10/2030 (b) | $ 250,000 | $ 248,168 | ||||
Royal Bank of Canada SOFR + 0.53%, 0.57%, 1/20/2026 (b) | 450,000 | 449,325 | ||||
Scotiabank Peru SAA Series REGS, 3 Month USD LIBOR + 3.86%, 4.50%, 12/13/2027 (b) | 50,000 | 51,036 | ||||
Toronto-Dominion Bank Series MTN, 0.70%, 9/10/2024 | 450,000 | 444,622 | ||||
United Overseas Bank, Ltd. Series GMTN, 5 year CMT + 1.52%, 1.75%, 3/16/2031 (b) | 250,000 | 246,025 | ||||
Wells Fargo & Co. Series MTN, SOFR + 1.60%, 1.65%, 6/2/2024 (b) | 440,000 | 443,692 | ||||
6,890,033 | ||||||
BEVERAGES — 0.3% | ||||||
Keurig Dr Pepper, Inc. 0.75%, 3/15/2024 | 445,000 | 441,925 | ||||
Triton Water Holdings, Inc. 6.25%, 4/1/2029 (a) | 35,000 | 33,837 | ||||
475,762 | ||||||
BIOTECHNOLOGY — 0.3% | ||||||
Royalty Pharma PLC 0.75%, 9/2/2023 | 440,000 | 437,171 | ||||
BUILDING MATERIALS — 0.3% | ||||||
Carrier Global Corp. 2.24%, 2/15/2025 | 445,000 | 455,916 | ||||
Griffon Corp. 5.75%, 3/1/2028 | 85,000 | 88,413 | ||||
544,329 | ||||||
CHEMICALS — 0.2% | ||||||
CVR Partners L.P./CVR Nitrogen Finance Corp. 6.13%, 6/15/2028 (a) | 50,000 | 52,848 | ||||
EverArc Escrow S.a.r.l. 5.00%, 10/30/2029 (a) | 85,000 | 85,074 | ||||
Illuminate Buyer LLC/Illuminate Holdings IV, Inc. 9.00%, 7/1/2028 (a) | 100,000 | 106,547 | ||||
WR Grace Holdings LLC 5.63%, 8/15/2029 (a) | 130,000 | 133,550 | ||||
378,019 |
Security Description | Principal Amount | Value | ||||
COAL — 0.1% | ||||||
Peabody Energy Corp. 8.50%, 12/31/2024 (a) | $ 13,136 | $ 12,617 | ||||
SunCoke Energy, Inc. 4.88%, 6/30/2029 (a) | 100,000 | 99,573 | ||||
112,190 | ||||||
COMMERCIAL SERVICES — 0.8% | ||||||
Allied Universal Holdco LLC/Allied Universal Finance Corp.: | ||||||
6.63%, 7/15/2026 (a) | 35,000 | 36,711 | ||||
9.75%, 7/15/2027 (a) | 95,000 | 101,551 | ||||
Garda World Security Corp. 6.00%, 6/1/2029 (a) | 65,000 | 62,524 | ||||
HPHT Finance 19, Ltd. 2.88%, 11/5/2024 | 200,000 | 206,646 | ||||
Metis Merger Sub LLC 6.50%, 5/15/2029 (a) | 100,000 | 97,986 | ||||
PSA Treasury Pte, Ltd. Class GMTN, 2.50%, 4/12/2026 | 200,000 | 207,082 | ||||
Triton Container International, Ltd. 0.80%, 8/1/2023 (a) | 445,000 | 441,307 | ||||
WASH Multifamily Acquisition, Inc. 5.75%, 4/15/2026 (a) | 125,000 | 131,336 | ||||
1,285,143 | ||||||
COSMETICS/PERSONAL CARE — 0.0% (c) | ||||||
Coty, Inc. 5.00%, 4/15/2026 (a) | 40,000 | 41,220 | ||||
DIVERSIFIED FINANCIAL SERVICES — 0.8% | ||||||
Avolon Holdings Funding, Ltd.: | ||||||
3.63%, 5/1/2022 (a) | 120,000 | 120,864 | ||||
5.13%, 10/1/2023 (a) | 300,000 | 316,539 | ||||
Capital One Financial Corp.: | ||||||
3.20%, 1/30/2023 | 5,000 | 5,123 | ||||
3.90%, 1/29/2024 | 410,000 | 431,873 | ||||
Global Aircraft Leasing Co., Ltd. 6.50%, 9/15/2024 (a) | 53,690 | 51,860 | ||||
Nationstar Mortgage Holdings, Inc. 5.75%, 11/15/2031 (a) | 130,000 | 129,857 | ||||
Navient Corp. 5.00%, 3/15/2027 | 25,000 | 25,489 |
Security Description | Principal Amount | Value | ||||
NFP Corp. 6.88%, 8/15/2028 (a) | $ 35,000 | $ 35,137 | ||||
OneMain Finance Corp. 5.38%, 11/15/2029 | 75,000 | 81,553 | ||||
PennyMac Financial Services, Inc. 4.25%, 2/15/2029 (a) | 110,000 | 105,633 | ||||
1,303,928 | ||||||
ELECTRIC — 2.4% | ||||||
Calpine Corp. 4.63%, 2/1/2029 (a) | 130,000 | 128,882 | ||||
Chile Electricity PEC SpA 0.01%, 1/25/2028 (a) | 200,000 | 162,570 | ||||
DTE Energy Co.: | ||||||
Series C, 2.53%, 10/1/2024 | 30,000 | 30,926 | ||||
Series F, 1.05%, 6/1/2025 | 425,000 | 417,091 | ||||
Empresa Electrica Angamos SA Series REGS, 4.88%, 5/25/2029 | 130,400 | 125,218 | ||||
Entergy Louisiana LLC 0.95%, 10/1/2024 | 450,000 | 446,355 | ||||
Fenix Power Peru SA Series REGS, 4.32%, 9/20/2027 | 330,588 | 338,205 | ||||
Guacolda Energia SA Series REGS, 4.56%, 4/30/2025 | 200,000 | 77,950 | ||||
Inkia Energy, Ltd. Series REGS, 5.88%, 11/9/2027 | 250,000 | 256,220 | ||||
Minejesa Capital B.V. Series REGS, 4.63%, 8/10/2030 | 400,000 | 410,504 | ||||
NRG Energy, Inc. 3.63%, 2/15/2031 (a) | 130,000 | 127,341 | ||||
Pacific Gas & Electric Co. 1.75%, 6/16/2022 | 445,000 | 444,693 | ||||
Pike Corp. 5.50%, 9/1/2028 (a) | 120,000 | 120,394 | ||||
Southern California Edison Co. SOFR + 0.83%, 0.88%, 4/1/2024 (b) | 515,000 | 514,531 | ||||
TNB Global Ventures Capital Bhd Series EMTN, 3.24%, 10/19/2026 | 300,000 | 313,488 | ||||
3,914,368 | ||||||
ENTERTAINMENT — 0.3% | ||||||
Boyne USA, Inc. 4.75%, 5/15/2029 (a) | 150,000 | 155,322 |
Security Description | Principal Amount | Value | ||||
Caesars Entertainment, Inc. 4.63%, 10/15/2029 (a) | $ 50,000 | $ 50,284 | ||||
Cedar Fair L.P. 5.25%, 7/15/2029 | 100,000 | 103,083 | ||||
Lions Gate Capital Holdings LLC 5.50%, 4/15/2029 (a) | 45,000 | 45,988 | ||||
Midwest Gaming Borrower LLC/Midwest Gaming Finance Corp. 4.88%, 5/1/2029 (a) | 60,000 | 60,890 | ||||
Premier Entertainment Sub LLC/Premier Entertainment Finance Corp.: | ||||||
5.63%, 9/1/2029 (a) | 80,000 | 79,472 | ||||
5.88%, 9/1/2031 (a) | 65,000 | 65,284 | ||||
560,323 | ||||||
ENVIRONMENTAL CONTROL — 0.3% | ||||||
Madison IAQ LLC: | ||||||
4.13%, 6/30/2028 (a) | 45,000 | 45,237 | ||||
5.88%, 6/30/2029 (a) | 40,000 | 40,004 | ||||
Republic Services, Inc. 2.50%, 8/15/2024 | 440,000 | 452,839 | ||||
538,080 | ||||||
FOOD — 0.5% | ||||||
Conagra Brands, Inc. 4.30%, 5/1/2024 | 422,000 | 449,493 | ||||
Performance Food Group, Inc.: | ||||||
4.25%, 8/1/2029 (a) | 40,000 | 39,684 | ||||
5.50%, 10/15/2027 (a) | 45,000 | 46,986 | ||||
Post Holdings, Inc. 4.63%, 4/15/2030 (a) | 125,000 | 126,864 | ||||
US Foods, Inc. 4.63%, 6/1/2030 (a) | 100,000 | 101,225 | ||||
764,252 | ||||||
FOREST PRODUCTS & PAPER — 0.1% | ||||||
Glatfelter Corp. 4.75%, 11/15/2029 (a) | 100,000 | 103,351 | ||||
GAS — 0.1% | ||||||
Atmos Energy Corp. 0.63%, 3/9/2023 | 245,000 | 244,358 |
Security Description | Principal Amount | Value | ||||
HEALTH CARE PRODUCTS — 0.6% | ||||||
Mozart Debt Merger Sub, Inc. 5.25%, 10/1/2029 (a) | $ 70,000 | $ 71,090 | ||||
Thermo Fisher Scientific, Inc. 0.80%, 10/18/2023 | 435,000 | 433,595 | ||||
Zimmer Biomet Holdings, Inc. 1.45%, 11/22/2024 | 450,000 | 449,032 | ||||
953,717 | ||||||
HEALTH CARE SERVICES — 1.0% | ||||||
Anthem, Inc. 3.50%, 8/15/2024 | 415,000 | 438,286 | ||||
Centene Corp. 2.50%, 3/1/2031 | 130,000 | 126,546 | ||||
CHS/Community Health Systems, Inc.: | ||||||
6.00%, 1/15/2029 (a) | 55,000 | 58,911 | ||||
6.88%, 4/15/2029 (a) | 75,000 | 76,593 | ||||
HCA, Inc. 5.00%, 3/15/2024 | 415,000 | 446,457 | ||||
Legacy LifePoint Health LLC 4.38%, 2/15/2027 (a) | 40,000 | 40,457 | ||||
Radiology Partners, Inc. 9.25%, 2/1/2028 (a) | 95,000 | 99,808 | ||||
Tenet Healthcare Corp. 6.13%, 10/1/2028 (a) | 70,000 | 73,963 | ||||
UnitedHealth Group, Inc. 0.55%, 5/15/2024 | 245,000 | 243,030 | ||||
1,604,051 | ||||||
HOME BUILDERS — 0.1% | ||||||
Mattamy Group Corp. 4.63%, 3/1/2030 (a) | 105,000 | 106,970 | ||||
HOUSEHOLD PRODUCTS & WARES — 0.1% | ||||||
Kronos Acquisition Holdings, Inc./KIK Custom Products, Inc.: | ||||||
5.00%, 12/31/2026 (a) | 55,000 | 54,294 | ||||
7.00%, 12/31/2027 (a) | 35,000 | 33,263 | ||||
87,557 | ||||||
HOUSEWARES — 0.0% (c) | ||||||
SWF Escrow Issuer Corp. 6.50%, 10/1/2029 (a) | 85,000 | 81,643 |
Security Description | Principal Amount | Value | ||||
INSURANCE — 0.9% | ||||||
Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer 6.75%, 10/15/2027 (a) | $ 85,000 | $ 88,187 | ||||
AmWINS Group, Inc. 4.88%, 6/30/2029 (a) | 115,000 | 116,367 | ||||
Athene Global Funding SOFR + 0.70%, 0.75%, 5/24/2024 (a) (b) | 460,000 | 460,736 | ||||
Brighthouse Financial Global Funding 0.60%, 6/28/2023 (a) | 175,000 | 174,120 | ||||
Grupo de Inversiones Suramericana SA 5.50%, 4/29/2026 | 200,000 | 212,432 | ||||
GTCR AP Finance, Inc. 8.00%, 5/15/2027 (a) | 40,000 | 41,454 | ||||
Marsh & McLennan Cos., Inc. 3.88%, 3/15/2024 | 415,000 | 439,203 | ||||
1,532,499 | ||||||
INTERNET — 0.3% | ||||||
Expedia Group, Inc. 6.25%, 5/1/2025 (a) | 405,000 | 457,119 | ||||
Uber Technologies, Inc. 4.50%, 8/15/2029 (a) | 90,000 | 91,868 | ||||
548,987 | ||||||
INVESTMENT COMPANY SECURITY — 0.0% (c) | ||||||
Icahn Enterprises L.P./Icahn Enterprises Finance Corp. 5.25%, 5/15/2027 | 35,000 | 35,980 | ||||
LEISURE TIME — 0.3% | ||||||
Carnival Corp. 5.75%, 3/1/2027 (a) | 245,000 | 244,939 | ||||
Viking Cruises, Ltd. 5.88%, 9/15/2027 (a) | 205,000 | 195,037 | ||||
439,976 | ||||||
LODGING — 0.5% | ||||||
Hyatt Hotels Corp. 1.30%, 10/1/2023 | 385,000 | 385,189 | ||||
Marriott International, Inc. 3.60%, 4/15/2024 | 430,000 | 450,326 | ||||
835,515 |
Security Description | Principal Amount | Value | ||||
MEDIA — 0.2% | ||||||
CCO Holdings LLC/CCO Holdings Capital Corp.: | ||||||
4.25%, 1/15/2034 (a) | $ 85,000 | $ 83,701 | ||||
4.75%, 3/1/2030 (a) | 95,000 | 99,036 | ||||
Diamond Sports Group LLC/Diamond Sports Finance Co. 5.38%, 8/15/2026 (a) | 25,000 | 12,466 | ||||
Directv Financing LLC/Directv Financing Co-Obligor, Inc. 5.88%, 8/15/2027 (a) | 50,000 | 51,219 | ||||
DISH DBS Corp. 5.13%, 6/1/2029 | 40,000 | 36,395 | ||||
282,817 | ||||||
MINING — 0.3% | ||||||
Arconic Corp. 6.13%, 2/15/2028 (a) | 80,000 | 85,124 | ||||
Glencore Funding LLC 4.13%, 5/30/2023 (a) | 430,000 | 447,557 | ||||
532,681 | ||||||
OIL & GAS — 2.0% | ||||||
Apache Corp. 4.38%, 10/15/2028 | 75,000 | 81,739 | ||||
Chesapeake Energy Corp. 5.88%, 2/1/2029 (a) | 175,000 | 187,339 | ||||
CNX Resources Corp. 6.00%, 1/15/2029 (a) | 85,000 | 88,401 | ||||
EQT Corp. 7.50%, 2/1/2030 | 30,000 | 38,514 | ||||
Hilcorp Energy I L.P./Hilcorp Finance Co.: | ||||||
5.75%, 2/1/2029 (a) | 75,000 | 77,264 | ||||
6.25%, 11/1/2028 (a) | 40,000 | 42,586 | ||||
MEG Energy Corp.: | ||||||
5.88%, 2/1/2029 (a) | 10,000 | 10,488 | ||||
7.13%, 2/1/2027 (a) | 55,000 | 58,574 | ||||
Occidental Petroleum Corp.: | ||||||
6.13%, 1/1/2031 | 45,000 | 54,622 | ||||
6.45%, 9/15/2036 | 25,000 | 31,876 | ||||
6.63%, 9/1/2030 | 85,000 | 105,219 | ||||
ONGC Videsh, Ltd. 3.75%, 5/7/2023 | 250,000 | 257,222 | ||||
Pertamina Persero PT 1.40%, 2/9/2026 | 200,000 | 194,112 |
Security Description | Principal Amount | Value | ||||
Petrobras Global Finance BV 6.25%, 3/17/2024 | $ 50,000 | $ 54,020 | ||||
Petronas Capital, Ltd. Series REGS, 3.50%, 3/18/2025 | 250,000 | 265,085 | ||||
Pioneer Natural Resources Co. 0.55%, 5/15/2023 | 440,000 | 438,385 | ||||
Qatar Petroleum 1.38%, 9/12/2026 | 300,000 | 294,042 | ||||
Reliance Industries, Ltd. Class REGS, 4.13%, 1/28/2025 | 300,000 | 321,042 | ||||
SA Global Sukuk, Ltd.: | ||||||
1.60%, 6/17/2026 (a) | 200,000 | 197,010 | ||||
1.60%, 6/17/2026 | 200,000 | 196,800 | ||||
Southwestern Energy Co.: | ||||||
4.75%, 2/1/2032 | 45,000 | 47,435 | ||||
5.38%, 2/1/2029 | 40,000 | 42,373 | ||||
Sunoco L.P./Sunoco Finance Corp. 4.50%, 5/15/2029 | 20,000 | 20,329 | ||||
Transocean Poseidon, Ltd. 6.88%, 2/1/2027 (a) | 125,000 | 121,259 | ||||
Transocean, Inc. 11.50%, 1/30/2027 (a) | 15,000 | 14,718 | ||||
3,240,454 | ||||||
OIL & GAS SERVICES — 0.4% | ||||||
Schlumberger Holdings Corp. 3.75%, 5/1/2024 (a) | 430,000 | 451,440 | ||||
USA Compression Partners L.P./USA Compression Finance Corp. 6.88%, 9/1/2027 | 80,000 | 84,499 | ||||
Weatherford International, Ltd. 6.50%, 9/15/2028 (a) | 50,000 | 52,928 | ||||
588,867 | ||||||
PHARMACEUTICALS — 0.1% | ||||||
Bausch Health Cos., Inc. 6.25%, 2/15/2029 (a) | 65,000 | 61,849 | ||||
Endo Luxembourg Finance Co. I Sarl/Endo US, Inc. 6.13%, 4/1/2029 (a) | 45,000 | 44,059 | ||||
105,908 | ||||||
PIPELINES — 0.7% | ||||||
Antero Midstream Partners L.P./Antero Midstream Finance Corp. 5.75%, 3/1/2027 (a) | 22,000 | 22,743 |
Security Description | Principal Amount | Value | ||||
EQM Midstream Partners L.P. 4.75%, 1/15/2031 (a) | $ 75,000 | $ 79,266 | ||||
Galaxy Pipeline Assets Bidco, Ltd. 1.75%, 9/30/2027 | 195,731 | 195,940 | ||||
GNL Quintero SA Series REGS, 4.63%, 7/31/2029 | 376,480 | 399,551 | ||||
Hess Midstream Operations L.P. 4.25%, 2/15/2030 (a) | 80,000 | 79,686 | ||||
NGL Energy Operating LLC/NGL Energy Finance Corp. 7.50%, 2/1/2026 (a) | 100,000 | 103,052 | ||||
Transportadora de Gas del Peru SA Series REGS, 4.25%, 4/30/2028 | 200,000 | 211,942 | ||||
Venture Global Calcasieu Pass LLC 4.13%, 8/15/2031 (a) | 115,000 | 122,706 | ||||
1,214,886 | ||||||
REAL ESTATE — 0.1% | ||||||
Realogy Group LLC/Realogy Co-Issuer Corp. 5.75%, 1/15/2029 (a) | 110,000 | 113,017 | ||||
REAL ESTATE INVESTMENT TRUSTS — 0.4% | ||||||
Iron Mountain, Inc. REIT, 4.50%, 2/15/2031 (a) | 130,000 | 131,043 | ||||
MGM Growth Properties Operating Partnership L.P./MGP Finance Co-Issuer, Inc. REIT, 5.75%, 2/1/2027 | 50,000 | 56,693 | ||||
Welltower, Inc. REIT, 3.63%, 3/15/2024 | 420,000 | 441,718 | ||||
629,454 | ||||||
RETAIL — 0.7% | ||||||
Dollar Tree, Inc. 4.00%, 5/15/2025 | 415,000 | 446,021 | ||||
Ferrellgas L.P./Ferrellgas Finance Corp. 5.38%, 4/1/2026 (a) | 80,000 | 77,699 | ||||
Sonic Automotive, Inc. 4.63%, 11/15/2029 (a) | 95,000 | 95,665 | ||||
SRS Distribution, Inc. 4.63%, 7/1/2028 (a) | 130,000 | 131,071 | ||||
Staples, Inc. 7.50%, 4/15/2026 (a) | 35,000 | 35,946 | ||||
Suburban Propane Partners L.P./Suburban Energy Finance Corp. 5.00%, 6/1/2031 (a) | 130,000 | 131,842 |
Security Description | Principal Amount | Value | ||||
Superior Plus L.P./Superior General Partner, Inc. 4.50%, 3/15/2029 (a) | $ 70,000 | $ 71,794 | ||||
Victoria's Secret & Co. 4.63%, 7/15/2029 (a) | 85,000 | 86,737 | ||||
1,076,775 | ||||||
SEMICONDUCTORS — 0.3% | ||||||
Microchip Technology, Inc. 0.97%, 2/15/2024 | 460,000 | 456,085 | ||||
TELECOMMUNICATIONS — 1.5% | ||||||
AT&T, Inc. 4.45%, 4/1/2024 | 415,000 | 443,170 | ||||
Avaya, Inc. 6.13%, 9/15/2028 (a) | 45,000 | 47,747 | ||||
CommScope, Inc. 4.75%, 9/1/2029 (a) | 50,000 | 49,754 | ||||
Frontier Communications Holdings LLC: | ||||||
5.00%, 5/1/2028 (a) | 25,000 | 25,793 | ||||
5.88%, 10/15/2027 (a) | 15,000 | 15,865 | ||||
6.00%, 1/15/2030 (a) | 50,000 | 50,213 | ||||
KT Corp.: | ||||||
1.00%, 9/1/2025 | 250,000 | 245,057 | ||||
Series REGS, 2.50%, 7/18/2026 | 200,000 | 206,660 | ||||
Millicom International Cellular SA Series REGS, 5.13%, 1/15/2028 | 180,000 | 186,934 | ||||
Sable International Finance, Ltd. 5.75%, 9/7/2027 | 200,000 | 204,154 | ||||
SingTel Group Treasury Pte, Ltd. Class EMTN, 3.25%, 6/30/2025 | 200,000 | 211,728 | ||||
T-Mobile USA, Inc.: | ||||||
2.88%, 2/15/2031 | 15,000 | 14,809 | ||||
3.38%, 4/15/2029 | 20,000 | 20,404 | ||||
3.38%, 4/15/2029 (a) | 10,000 | 10,205 | ||||
Verizon Communications, Inc. 3 Month USD LIBOR + 1.10%, 1.26%, 5/15/2025 (b) | 445,000 | 453,286 | ||||
VTR Comunicaciones SpA 5.13%, 1/15/2028 | 200,000 | 203,672 | ||||
2,389,451 | ||||||
TRANSPORTATION — 0.3% | ||||||
Canadian Pacific Railway Co. 1.35%, 12/2/2024 | 440,000 | 440,524 |
Security Description | Principal Amount | Value | ||||
TRUCKING & LEASING — 0.3% | ||||||
Penske Truck Leasing Co. L.P./PTL Finance Corp. 2.70%, 11/1/2024 (a) | $ 435,000 | $ 448,285 | ||||
TOTAL CORPORATE BONDS & NOTES (Cost $39,016,967) | 38,827,617 | |||||
ASSET-BACKED SECURITIES — 12.2% | ||||||
AUTOMOBILE — 0.9% | ||||||
CPS Auto Receivables Trust Series 2021-A, Class D, 1.16%, 12/15/2026 (a) | 600,000 | 596,051 | ||||
Exeter Automobile Receivables Trust Series 2021-1A, Class C, 0.74%, 1/15/2026 | 500,000 | 498,241 | ||||
Hertz Vehicle Financing LLC Series 2021-1A, Class B, 1.56%, 12/26/2025 (a) | 350,000 | 346,696 | ||||
1,440,988 | ||||||
OTHER ABS — 11.2% | ||||||
ACREC 2021-FL1, Ltd. Series 2021-FL1, Class A, 1 Month USD LIBOR + 1.15%, 1.25%, 10/16/2036 (a) (b) | 181,000 | 181,000 | ||||
Affirm Asset Securitization Trust Series 2020-A, Class B, 3.54%, 2/18/2025 (a) | 750,000 | 752,094 | ||||
Anchorage Capital CLO 19, Ltd. Series 2021-19A, Class A, 3 Month USD LIBOR + 1.21%, 1.37%, 10/15/2034 (a) (b) | 1,000,000 | 999,737 | ||||
Arbor Realty Collateralized Loan Obligation 2020-FL1, Ltd. Series 2020-FL1, Class AS, 1 Month USD LIBOR + 1.51%, 1.56%, 2/15/2035 (a) (b) | 131,000 | 130,918 | ||||
Arbor Realty Commercial Real Estate Notes 2018-FL1, Ltd. Series 2018-FL1, Class A, 1 Month USD LIBOR + 1.15%, 1.26%, 6/15/2028 (a) (b) | 71,000 | 70,978 | ||||
Arbor Realty Commercial Real Estate Notes 2021-FL3, Ltd. Series 2021-FL3, Class A, 1 Month USD LIBOR + 1.07%, 1.18%, 8/15/2034 (a) (b) | 193,000 | 192,525 | ||||
Bain Capital Credit CLO Series 2019-1A, Class AR, 3 Month USD LIBOR + 1.13%, 1.25%, 4/19/2034 (a) (b) | 500,000 | 499,875 | ||||
BDS, Ltd. Series 2019-FL4, Class A, 1 Month USD LIBOR + 1.10%, 1.21%, 8/15/2036 (a) (b) | 74,902 | 74,868 | ||||
BRSP 2021-FL1, Ltd. Series 2021-FL1, Class A, 1 Month USD LIBOR + 1.15%, 1.25%, 8/19/2038 (a) (b) | 151,000 | 150,524 |
Security Description | Principal Amount | Value | |||
BSPRT Issuer, Ltd.: | |||||
Series 2019-FL5, Class A, 1 Month USD LIBOR + 1.15%, 1.26%, 5/15/2029 (a) (b) | $ 295,095 | $ 295,096 | |||
Series 2021-FL6, Class A, 1 Month USD LIBOR + 1.100%, 1.21%, 3/15/2036 (a) (b) | 138,000 | 137,591 | |||
Carlyle US CLO, Ltd Series 2021-1A, Class A1, 3 Month USD LIBOR + 1.140%, 1.26%, 4/15/2034 (a) (b) | 1,000,000 | 999,749 | |||
CarVal CLO IV, Ltd. Series 2021-1A, Class A1A, 3 Month USD LIBOR + 1.18%, 1.31%, 7/20/2034 (a) (b) | 500,000 | 500,149 | |||
CHCP, Ltd.: | |||||
Series 2021-FL1, Class A, 1 Month USD LIBOR + 1.16%, 1.21%, 2/15/2038 (a) (b) | 300,000 | 299,488 | |||
Series 2021-FL1, Class AS, 1 Month USD LIBOR + 1.41%, 1.46%, 2/15/2038 (a) (b) | 100,000 | 99,648 | |||
CLNC, Ltd. Series 2019-FL1, Class AS, 1 Month USD LIBOR + 1.66%, 1.71%, 8/20/2035 (a) (b) | 131,000 | 130,836 | |||
Credit-Based Asset Servicing & Securitization LLC Series 2004-CB7, Class M1, 1 Month USD LIBOR + 1.005%, 1.10%, 10/25/2034 (b) | 660,643 | 662,360 | |||
FS RIALTO Series 2021-FL2, Class A, 1 Month USD LIBOR + 1.22%, 1.33%, 4/16/2028 (a) (b) | 150,000 | 149,477 | |||
FS Rialto 2019-FL1 Series 2019-FL1, Class A, 1 Month USD LIBOR + 1.20%, 1.31%, 12/16/2036 (a) (b) | 161,000 | 160,642 | |||
FS Rialto 2021-FL3 Series 2021-FL3, Class A, 1 Month USD LIBOR + 1.25%, 1.36%, 11/16/2036 (a) (b) | 181,000 | 181,052 | |||
HalseyPoint CLO 3, Ltd. Series 2020-3A, Class A1A, 3 Month USD LIBOR + 1.45%, 1.58%, 11/30/2032 (a) (b) | 900,000 | 900,900 | |||
Jamestown CLO XV, Ltd. Series 2020-15A, Class A, 3 Month USD LIBOR + 1.340%, 1.46%, 4/15/2033 (a) (b) | 500,000 | 499,650 | |||
LCCM 2021-FL2 Trust Series 2021-FL2, Class A, 1 Month USD LIBOR + 1.20%, 1.31%, 12/13/2038 (a) (b) | 151,000 | 150,824 | |||
LCCM Trust Series 2021-FL3, Class A, 1 Month USD LIBOR + 1.45%, 1.55%, 11/15/2038 (a) (b) | 181,000 | 181,054 |
Security Description | Principal Amount | Value | |||
Lendingpoint 2021-A Asset Securitization Trust Series 2021-A, Class B, 1.46%, 12/15/2028 (a) | $ 400,000 | $ 397,398 | |||
LoanCore 2018-CRE1 Issuer, Ltd. Series 2018-CRE1, Class A, 1 Month USD LIBOR + 1.13%, 1.24%, 5/15/2028 (a) (b) | 20,940 | 20,909 | |||
LoanCore 2019-CRE2 Issuer, Ltd. Series 2019-CRE2, Class AS, 1 Month USD LIBOR + 1.50%, 1.61%, 5/15/2036 (a) (b) | 100,000 | 99,817 | |||
Loanpal Solar Loan, Ltd. Series 2021-1GS, Class A, 2.29%, 1/20/2048 (a) | 398,625 | 394,895 | |||
Marble Point CLO XXI, Ltd. Series 2021-3A, Class A1, 3 Month USD LIBOR + 1.24%, 1.37%, 10/17/2034 (a) (b) | 2,000,000 | 1,999,496 | |||
Marlette Funding Trust: | |||||
Series 2019-4A, Class A, 2.39%, 12/17/2029 (a) | 12,303 | 12,307 | |||
Series 2021-1A, Class C, 1.41%, 6/16/2031 (a) | 650,000 | 640,800 | |||
MF1 2021-FL7, Ltd. Series 2021-FL7, Class A, 1 Month USD LIBOR + 1.08%, 1.19%, 10/16/2036 (a) (b) | 192,000 | 191,290 | |||
MF1 Multifamily Housing Mortgage Loan Trust Series 2021-FL6, Class A, 1 Month USD LIBOR + 1.10%, 1.21%, 7/16/2036 (a) (b) | 150,000 | 149,690 | |||
NLY Commercial Mortgage Trust Series 2019-FL2, Class AS, 1 Month USD LIBOR + 1.60%, 1.71%, 2/15/2036 (a) (b) | 120,000 | 119,491 | |||
Northwoods Capital XVI, Ltd. Series 2017-16A, Class A, 3 Month USD LIBOR + 1.27%, 1.43%, 11/15/2030 (a) (b) | 1,000,626 | 999,625 | |||
Pagaya AI Debt Selection Trust Series 2021-3, Class B, 1.74%, 5/15/2029 (a) | 1,000,000 | 990,651 | |||
Pagaya AI Debt Selection Trust 2021-5 Series 2021-5, Class B, 2.63%, 8/15/2029 (a) | 1,000,000 | 997,844 | |||
Sapphire Aviation Finance II, Ltd. Series 2020-1A, Class A, 3.23%, 3/15/2040 (a) | 410,974 | 399,015 | |||
Shackleton CLO, Ltd. Series 2013-3A, Class AR, 3 Month USD LIBOR + 1.12%, 1.24%, 7/15/2030 (a) (b) | 497,278 | 496,681 | |||
Sound Point CLO Series 2020-1A, Class AR, 3 Month USD LIBOR - 1.17%, 1.30%, 7/20/2034 (a) (b) | 1,000,000 | 999,748 | |||
STWD, Ltd. Series 2019-FL1, Class AS, 1 Month USD LIBOR + 1.51%, 1.56%, 7/15/2038 (a) (b) | 100,000 | 99,906 |
Security Description | Principal Amount | Value | |||
Vibrant ClO VIII, Ltd. Series 2018-8A, Class A1A, 3 Month USD LIBOR + 1.14%, 1.27%, 1/20/2031 (a) (b) | $ 500,000 | $ 499,400 | |||
Washington Mutural Asset-Backed Certificates WMABS Trust Series 2006-HE5, Class 2A2, 1 Month USD LIBOR + 0.18%, 0.28%, 10/25/2036 (b) | 302,344 | 147,937 | |||
18,057,935 | |||||
STUDENT LOAN ABS — 0.1% | |||||
Commonbond Student Loan Trust Series 2018-BGS, Class B, 3.99%, 9/25/2045 (a) | 179,398 | 184,264 | |||
Laurel Road Prime Student Loan Trust Series 2019-A, Class A1FX, 2.34%, 10/25/2048 (a) | 54,988 | 55,396 | |||
239,660 | |||||
TOTAL ASSET-BACKED SECURITIES (Cost $19,799,081) | 19,738,583 | ||||
FOREIGN GOVERNMENT OBLIGATIONS — 2.6% | |||||
BRAZIL — 0.1% | |||||
Brazilian Government International Bond 2.88%, 6/6/2025 | 250,000 | 253,648 | |||
CHILE — 0.3% | |||||
Chile Government International Bond 3.13%, 1/21/2026 | 400,000 | 421,048 | |||
COLOMBIA — 0.3% | |||||
Colombia Government International Bond 4.50%, 1/28/2026 | 400,000 | 418,872 | |||
INDONESIA — 0.4% | |||||
Perusahaan Penerbit SBSN Indonesia III: | |||||
Series 144A, 1.50%, 06/09/2026 (a) | 200,000 | 199,460 | |||
Series REGS, 1.50%, 06/09/2026 | 300,000 | 299,190 | |||
Series REGS, 2.30%, 06/23/2025 | 200,000 | 205,582 | |||
704,232 | |||||
PANAMA — 0.2% | |||||
Panama Government International Bond 3.75%, 3/16/2025 | 250,000 | 264,882 |
Security Description | Principal Amount | Value | |||
PERU — 0.1% | |||||
Corp. Financiera de Desarrollo SA Series REGS, 3 Month USD LIBOR + 5.605%, 5.25%, 7/15/2029 (b) | $ 200,000 | $ 205,864 | |||
QATAR — 0.3% | |||||
Qatar Government International Bond Series REGS, 3.25%, 6/2/2026 | 400,000 | 425,988 | |||
SAUDI ARABIA — 0.2% | |||||
Saudi Government International Bond Series REGS, 3.25%, 10/26/2026 | 250,000 | 266,357 | |||
SOUTH KOREA — 0.5% | |||||
Korea Development Bank: | |||||
1.00%, 09/09/2026 | 250,000 | 244,563 | |||
1.25%, 06/03/2025 | 200,000 | 199,306 | |||
Korea Electric Power Corp. Series REGS, 1.13%, 6/15/2025 | 400,000 | 395,628 | |||
839,497 | |||||
THAILAND — 0.1% | |||||
Export Import Bank of Thailand Series EMTN, 3 Month USD LIBOR + 0.85%, 1.01%, 5/23/2024 (b) | 250,000 | 250,565 | |||
UNITED ARAB EMIRATES — 0.1% | |||||
Abu Dhabi Government International Bond Series 144A, 2.50%, 4/16/2025 (a) | 200,000 | 207,802 | |||
TOTAL FOREIGN GOVERNMENT OBLIGATIONS (Cost $4,318,961) | 4,258,755 | ||||
U.S. GOVERNMENT AGENCY OBLIGATIONS — 25.3% | |||||
Federal Home Loan Mortgage Corp.: | |||||
1.50% 2/1/2036 | 6,902,592 | 6,934,086 | |||
1.50%, 3/1/2036 | 3,507,330 | 3,520,650 | |||
2.00%, 3/1/2036 | 1,525,210 | 1,563,469 | |||
2.00%, 5/1/2036 | 2,786,885 | 2,867,304 | |||
2.00%, 10/1/2041 | 1,476,411 | 1,493,837 | |||
3.50%, 9/1/2032 | 295,155 | 312,281 | |||
Series 4211, Class AP, 1.60%, 3/15/2043 | 1,086,686 | 1,098,513 | |||
Series 4461, Class BA, CMO, 2.00%, 12/15/2043 | 706,049 | 715,766 | |||
Series 4030, Class AN, CMO, REMIC, 1.75%, 4/15/2027 | 603,053 | 610,270 |
Security Description | Principal Amount | Value | |||
Series 4060, Class QA, CMO, REMIC, 1.50%, 9/15/2026 | $ 101,966 | $ 102,369 | |||
Series 4484, Class CD, CMO, REMIC, 1.75%, 7/15/2030 | 99,124 | 100,007 | |||
Series 4582, Class HA, CMO, REMIC, 3.00%, 9/15/2045 | 262,881 | 273,580 | |||
Series K722, Class X1, IO, 1.31%, 3/25/2023 (b) | 412,147 | 4,521 | |||
Federal National Mortgage Association: | |||||
1.50%, 2/1/2036 | 1,701,202 | 1,708,966 | |||
1.50%, 3/1/2036 | 436,836 | 438,495 | |||
1.50%, 5/1/2036 | 1,158,653 | 1,164,322 | |||
2.00%, 1/1/2036 | 875,522 | 899,991 | |||
2.00%, 2/1/2036 | 1,268,388 | 1,300,053 | |||
2.00%, 9/1/2036 | 961,525 | 985,649 | |||
2.00%, 10/1/2036 | 1,946,162 | 1,994,989 | |||
2.50%, 1/1/2032 | 1,217,898 | 1,265,265 | |||
2.50%, 8/1/2041 | 4,402,765 | 4,587,033 | |||
3.00%, 11/1/2033 | 899,286 | 946,777 | |||
3.00%, 11/1/2036 | 198,423 | 208,144 | |||
12 Month USD LIBOR + 1.66%, 2.53%, 5/1/2044 (b) | 101,686 | 106,031 | |||
Series 2010-141, Class FB, CMO, REMIC, 1 Month USD LIBOR + 0.47%, 0.57%, 12/25/2040 (b) | 182,329 | 183,920 | |||
Series 2012-32, Class DA, CMO, REMIC, 2.00%, 11/25/2026 | 634,310 | 641,600 | |||
Series 2016-8, Class FA, CMO, REMIC, 1 Month USD LIBOR + 0.45%, 0.55%, 3/25/2046 (b) | 294,230 | 296,227 | |||
Series 2018-27, Class FJ, CMO, REMIC, 1 Month USD LIBOR + 0.30%, 0.40%, 12/25/2047 (b) | 215,139 | 215,339 | |||
Series 2018-45, Class FA, CMO, REMIC, 1 Month USD LIBOR + 0.30%, 0.40%, 6/25/2048 (b) | 250,612 | 250,843 | |||
Series 2020-M49, Class 1A1, VRN, 1.26%, 11/25/2030 (b) | 1,088,589 | 1,074,894 | |||
Freddie Mac Pool 2.00%, 12/1/2036 | 2,979,523 | 3,054,263 | |||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS (Cost $41,319,731) | 40,919,454 | ||||
U.S. TREASURY OBLIGATIONS — 16.7% | |||||
U.S. Treasury Bill: | |||||
0.07%, 3/24/2022 | 100,000 | 99,988 | |||
0.08%, 8/11/2022 | 14,400,000 | 14,382,620 | |||
0.12%, 7/14/2022 | 5,400,000 | 5,394,811 | |||
U.S. Treasury Note: | |||||
1.63%, 4/30/2023 | 4,000,000 | 4,057,344 | |||
2.25%, 12/31/2023 | 3,000,000 | 3,090,117 | |||
TOTAL U.S. TREASURY OBLIGATIONS (Cost $26,854,050) | 27,024,880 |
Security Description | Principal Amount | Value | |||
MORTGAGE-BACKED SECURITIES — 4.8% | |||||
Alternative Loan Trust Series 2006-41CB, Class 1A3, CMO, 6.00%, 1/25/2037 | $ 263,327 | $ 186,284 | |||
Alternative Loan Trust 2006-J7 Series 2006-J7, Class 1A3, 6.25%, 11/25/2036 | 457,063 | 303,220 | |||
Atrium Hotel Portfolio Trust Series 2017-ATRM, Class E, 1 Month USD LIBOR + 3.05%, 3.16%, 12/15/2036 (a) (b) | 36,000 | 34,053 | |||
BANK: | |||||
Series 2017-BNK6, Class XA, IO, 0.80%, 7/15/2060 (b) | 1,080,143 | 36,191 | |||
Series 2020-BN26, Class XA, IO, VRN, 1.23%, 3/15/2063 (b) | 1,313,424 | 104,978 | |||
BBCMS Mortgage Trust Series 2017-DELC, Class E, 1 Month USD LIBOR + 2.50%, 2.61%, 8/15/2036 (a) (b) | 38,000 | 37,611 | |||
BENCHMARK Mortgage Trust Series 2018-B1, Class XA, IO, 0.50%, 1/15/2051 (b) | 2,217,598 | 54,094 | |||
BX Trust Series 2018-EXCL, Class A, 1 Month USD LIBOR + 1.09%, 1.20%, 9/15/2037 (a) (b) | 177,135 | 175,874 | |||
Cantor Commercial Real Estate Series 2019-CF1, Class 65A, 4.41%, 5/15/2052 (a) (b) | 163,000 | 166,157 | |||
Citigroup Commercial Mortgage Trust: | |||||
Series 2018-TBR, Class D, 1 Month USD LIBOR + 1.80%, 1.91%, 12/15/2036 (a) (b) | 95,000 | 92,916 | |||
Series 2019-PRM, Class D, 4.35%, 5/10/2036 (a) | 261,000 | 269,461 | |||
Series 2016-GC37, Class XA, IO, 1.69%, 4/10/2049 (b) | 429,682 | 24,822 | |||
COMM Mortgage Trust: | |||||
Series 2018-HCLV, Class A, 1 Month USD LIBOR + 1.00%, 1.11%, 9/15/2033 (a) (b) | 70,000 | 69,487 | |||
Series 2015-CR25, Class XA, IO, 0.82%, 8/10/2048 (b) | 1,162,965 | 29,322 | |||
Credit Suisse Mortgage Capital Certificates Series 2017-CHOP, Class D, 1 Month USD LIBOR + 2.15%, 2.26%, 7/15/2032 (a) (b) | 29,000 | 28,479 | |||
CSAIL Commercial Mortgage Trust: | |||||
Series 2017-C8, Class XA, IO, 1.19%, 6/15/2050 (b) | 295,032 | 12,098 | |||
Series 2017-CX10, Class XA, IO, 0.71%, 11/15/2050 (b) | 969,049 | 30,502 | |||
Series 2017-CX9, Class XA, IO, 0.85%, 9/15/2050 (b) | 1,806,682 | 35,413 | |||
CSMC Mortgage Backed Trust Series 2020-RPL3, Class A1, CMO, 2.69%, 3/25/2060 (a) (b) | 1,042,311 | 1,045,693 | |||
Great Wolf Trust Series 2019-WOLF, Class E, 1 Month USD LIBOR + 2.73%, 2.84%, 12/15/2036 (a) (b) | 125,000 | 121,307 | |||
GS Mortgage Securities Trust: | |||||
Series 2012-ALOH, Class A, 3.55%, 4/10/2034 (a) | 129,000 | 129,000 | |||
Series 2021-IP, Class A, 1 Month USD LIBOR + 0.95%, 1.06%, 10/15/2036 (a) (b) | 181,000 | 179,848 |
Security Description | Principal Amount | Value | |||
Series 2017-GS7, Class XA, IO, 1.11%, 8/10/2050 (b) | $ 386,561 | $ 17,960 | |||
JP Morgan Chase Commercial Mortgage Securities Trust: | |||||
Series 2019-MFP, Class A, 1 Month USD LIBOR + 0.96% , 1.07%, 7/15/2036 (a) (b) | 107,000 | 106,800 | |||
Series 2016-JP4, Class XA, IO, 0.59%, 12/15/2049 (b) | 1,397,229 | 33,505 | |||
JPMBB Commercial Mortgage Securities Trust: | |||||
Series 2019-COR5, Class XA, IO, VRN, 1.48%, 6/13/2052 (b) | 1,109,594 | 91,925 | |||
Series 2014-C25, Class B, VRN, 4.35%, 11/15/2047 (b) | 150,000 | 156,316 | |||
Legacy Mortgage Asset Trust Series 2021-GS1, Class A1, 1.89%, 10/25/2066 (a) (d) | 450,356 | 449,668 | |||
LoanCore 2019-CRE3 Issuer, Ltd. Series 2019-CRE3, Class AS, 1 Month USD LIBOR + 1.37%, 1.48%, 4/15/2034 (a) (b) | 117,900 | 117,836 | |||
MF1 2020-FL3, Ltd. Series 2020-FL3, Class A, 1 Month USD LIBOR + 2.16%, 2.21%, 7/15/2035 (a) (b) | 72,083 | 72,480 | |||
Morgan Stanley Bank of America Merrill Lynch Trust: | |||||
Series 2014-C15, Class XA, IO, 0.93%, 4/15/2047 (b) | 739,198 | 11,022 | |||
Series 2014-C19, Class LNCX, IO, 0.60%, 12/15/2046 (a) (b) | 1,165,488 | 17,743 | |||
Morgan Stanley Capital I Trust: | |||||
Series 2019-PLND, Class B, 1 Month USD LIBOR + 1.30%, 1.41%, 5/15/2036 (a) (b) | 163,000 | 160,770 | |||
Series 2019-PLND, Class D, 1 Month USD LIBOR + 1.75%, 1.86%, 5/15/2036 (a) (b) | 127,000 | 123,904 | |||
Series 2016-UB12, Class XA, IO, 0.71%, 12/15/2049 (b) | 1,368,577 | 36,821 | |||
Morgan Stanley Captial I Trust Series 2021-L6, Class A2, 2.13%, 6/15/2054 | 151,000 | 151,617 | |||
MSCG Trust Series 2018-SELF, Class A, 1 Month USD LIBOR + 0.90%, 1.01%, 10/15/2037 (a) (b) | 79,000 | 78,943 | |||
Natixis Commercial Mortgage Securities Trust Series 2018-FL1, Class A, 1 Month USD LIBOR + 0.95%, 1.06%, 6/15/2035 (a) (b) | 78,409 | 77,511 | |||
PFP, Ltd. Series 2019-6, Class A, 1 Month USD LIBOR + 1.05%, 1.16%, 4/14/2037 (a) (b) | 37,716 | 37,585 | |||
ReadyCap Commercial Mortgage Trust Series 2019-FL3, Class A, 1 Month USD LIBOR + 1.00%, 1.10%, 3/25/2034 (a) (b) | 2,615 | 2,616 | |||
Residential Asset Securitization Trust Series 2006-A6, Class 1A4, CMO, IO, 6.00%, 7/25/2036 | 2,560,912 | 918,943 | |||
Shelter Growth CRE Issuer, Ltd. Series 2019-FL2, Class B, 1 Month USD LIBOR + 2.30%, 1.91%, 5/15/2036 (a) (b) | 67,311 | 67,086 | |||
Toorak Mortgage Corp., Ltd. Series 2020-1, Class A1, 2.73%, 3/25/2023 (a) (d) | 1,000,000 | 1,001,538 | |||
UBS Commercial Mortgage Trust Series 2017-C1, Class XA, IO, 1.53%, 6/15/2050 (b) | 633,510 | 41,464 |
Security Description | Principal Amount | Value | |||
Velocity Commercial Capital Loan Trust Series 2018-2, Class A, 4.05%, 10/26/2048 (a) (b) | $ 407,652 | $ 419,787 | |||
Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-8, Class 2CB3, CMO, 1 Month USD LIBOR + 0.41%, 0.51%, 10/25/2035 (b) | 383,269 | 367,809 | |||
Wells Fargo Commercial Mortgage Trust Series 2019-C51, Class XA, IO, VRN, 1.33%, 6/15/2052 (b) | 992,693 | 75,241 | |||
WFRBS Commercial Mortgage Trust Series 2013-C18, Class XA, IO, 0.78%, 12/15/2046 (b) | 799,186 | 10,144 | |||
TOTAL MORTGAGE-BACKED SECURITIES (Cost $8,713,775) | 7,813,844 | ||||
COMMERCIAL MORTGAGE BACKED SECURITIES — 2.3% | |||||
Arbor Multifamily Mortgage Securities Trust 2021-MF2 Series 2021-MF2, Class A2, 2.02%, 6/15/2054 (a) | 139,000 | 138,914 | |||
Benchmark 2019-B15 Mortgage Trust Series 2019-B15, Class XA, IO, VRN, 0.82%, 12/15/2072 (b) | 4,078,933 | 204,089 | |||
BPR Trust 2021-TY Series 2021-TY, Class A, 1 Month USD LIBOR + 1.05%, 1.16%, 9/15/2038 (a) (b) | 192,000 | 191,644 | |||
BX Commercial Mortgage Trust 2021-21M Series 2021-21M, Class A, 1 Month USD LIBOR + 0.73%, 0.84%, 10/15/2036 (a) (b) | 181,000 | 179,413 | |||
BX Trust Series 2021-VIEW, Class A, 1 Month USD LIBOR + 1.28%, 1.39%, 6/15/2023 (a) (b) | 299,000 | 299,245 | |||
BXHPP Trust 2021-FILM Series 2021-FILM, Class B, 1 Month USD LIBOR + 0.90%, 1.01%, 8/15/2036 (a) (b) | 224,000 | 221,377 | |||
BXMT, Ltd. Series 2021-FL4, Class A, 1 Month USD LIBOR + 1.05%, 1.16%, 5/15/2038 (a) (b) | 138,000 | 137,741 | |||
Citigroup Commercial Mortgage Trust Series 2020-GC46, Class XA, IO, VRN, 0.99%, 2/15/2053 (b) | 2,205,973 | 134,200 | |||
EQUS 2021-EQAZ Mortgage Trust Series 2021-EQAZ, Class A, 1 Month USD LIBOR + 0.75%, 0.86%, 10/15/2038 (a) (b) | 181,000 | 180,269 | |||
Extended Stay America Trust Series 2021-ESH, Class A, 1 Month USD LIBOR + 1.08%, 1.19%, 7/15/2038 (a) (b) | 149,224 | 149,256 | |||
GPMT, Ltd. Series 2021-FL3, Class A, 1 Month USD LIBOR + 1.25%, 1.35%, 7/16/2035 (a) (b) | 87,172 | 87,142 | |||
GS Mortgage Securities Trust Series 2020-GC47, Class XA, IO, VRN, 1.13%, 5/12/2053 (b) | 2,114,109 | 169,117 | |||
MF1 Multifamily Housing Mortgage Loan Trust Series 2021-FL5, Class AS, 1 Month USD LIBOR + 1.31%, 1.36%, 7/15/2036 (a) (b) | 138,000 | 137,878 | |||
Morgan Stanley Capital I, Inc. Series 2021-ILP, Class A, 1 Month USD LIBOR + 0.78%, 0.89%, 11/15/2023 (a) (b) | 180,404 | 180,232 |
Security Description | Principal Amount | Value | ||||
SREIT Trust 2021-MFP Series 2021-MFP, Class A, 1 Month USD LIBOR + 0.73%, 0.83%, 11/15/2038 (a) (b) | $ 181,000 | $ 180,036 | ||||
Wells Fargo Commercial Mortgage Trust: | ||||||
Series 2021-C60, Class A2, 2.04%, 8/15/2054 | 151,000 | 151,035 | ||||
Series 2021-SAVE, Class A, 1 Month USD LIBOR + 1.150%, 1.26%, 2/15/2040 (a) (b) | 90,902 | 90,907 | ||||
Series 2021-SAVE, Class B, 1 Month USD LIBOR + 1.450%, 1.56%, 2/15/2040 (a) (b) | 90,902 | 90,494 | ||||
Series 2019-C52, Class XA, IO, VRN, 1.59%, 8/15/2052 (b) | 2,969,346 | 268,841 | ||||
WFRBS Commercial Mortgage Trust: | ||||||
Series 2014-C21, Class AS, 3.89%, 8/15/2047 | 250,000 | 258,941 | ||||
Series 2014-C23, Class AS, VRN, 4.21%, 10/15/2057 (b) | 235,000 | 249,160 | ||||
TOTAL COMMERCIAL MORTGAGE BACKED SECURITIES (Cost $3,797,185) | 3,699,931 | |||||
SENIOR FLOATING RATE LOANS — 7.2% | ||||||
CABLE/SATELLITE TV — 0.2% | ||||||
Cable One, Inc. Senior Secured 2021 Term Loan B4, 1 Month USD LIBOR + 2.000% 2.10%, 5/3/2028 (b) | 298,500 | 298,998 | ||||
CASINO SERVICES — 0.3% | ||||||
Stars Group Holdings B.V. Senior Secured 2018 USD Incremental Term Loan, 3 Month USD LIBOR + 2.25% 2.47%, 7/21/2026 (b) | 425,000 | 424,020 | ||||
CHEMICALS — 0.4% | ||||||
Axalta Coating Systems US Holdings, Inc. Senior Secured USD Term Loan B3, 3 Month USD LIBOR + 1.75% 1.97%, 6/1/2024(b) | 422,482 | 422,747 | ||||
Element Solutions Inc. Senior Secured 2019 Term Loan B1, 1 Month USD LIBOR + 2.000% 2.10%, 1/31/2026(b) | 223,855 | 223,295 | ||||
646,042 | ||||||
COMMERCIAL SERVICES — 0.2% | ||||||
Terminix Co., LLC Senior Secured 2019 Term Loan D, 1 Month USD LIBOR + 1.750% 1.88%, 11/5/2026 (b) | 300,000 | 300,252 | ||||
COMMERCIAL SERVICES & SUPPLIES — 0.2% | ||||||
Clean Harbors Inc. Senior Secured 2021 Incremental Term Loan B, 1 Month USD LIBOR + 2.000% 2.10%, 10/8/2028(b) | 75,000 | 75,047 | ||||
KAR Auction Services, Inc. Senior Secured 2019 Term Loan B6, 1 Month USD LIBOR + 2.250% 2.38%, 9/19/2026(b) | 299,237 | 295,496 | ||||
370,543 |
Security Description | Principal Amount | Value | |||
DISTRIBUTION/WHOLESALE — 0.2% | |||||
Resideo Funding Inc. Senior Secured 2021 Term Loan, 1 Month USD LIBOR + 2.25% 2.75%, 2/11/2028 (b) | $ 298,496 | $ 298,496 | |||
DIVERSIFIED FINANCIAL SERVICES — 0.3% | |||||
Setanta Aircraft Leasing Designated Activity Company Senior Secured Term Loan B, 3 Month USD LIBOR + 2.000% 2.14%, 11/5/2028(b) | 185,000 | 185,116 | |||
Trans Union, LLC Senior Secured 2019 Term Loan B5, 1 Month USD LIBOR + 1.75% 1.85%, 11/16/2026(b) | 236,790 | 234,718 | |||
419,834 | |||||
DIVERSIFIED TELECOMMUNICATION SERVICES — 0.3% | |||||
Level 3 Financing, Inc. Senior Secured 2019 Term Loan B, 1 Month USD LIBOR + 1.75% 1.85%, 3/1/2027 (b) | 425,000 | 420,219 | |||
ENTERTAINMENT — 0.3% | |||||
WMG Acquisition Corp. Senior Secured 2021 Term Loan G, 1 Month USD LIBOR + 2.125% 2.23%, 1/20/2028 (b) | 425,000 | 423,991 | |||
FINANCE-OTHER SERVICES — 0.2% | |||||
RPI Intermediate Finance Trust Senior Secured 2020 Term Loan B1, 1 Month USD LIBOR + 1.750% 1.85%, 2/11/2027 (b) | 413,911 | 413,178 | |||
FOOD PRODUCTS — 0.3% | |||||
KFC Holding Co. Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 1.750% 1.85%, 3/15/2028 (b) | 423,935 | 423,935 | |||
FORESTRY — 0.3% | |||||
Asplundh Tree Expert, LLC Senior Secured 2021 Term Loan B2, 1 Month USD LIBOR + 1.750% 1.85%, 9/7/2027 (b) | 422,859 | 421,686 | |||
HEALTH CARE EQUIPMENT & SUPPLIES — 0.0% (c) | |||||
ICU Medical, Inc. Senior Secured Term Loan B, 12/16/2028 (e) | 30,000 | 30,081 | |||
HEALTH CARE PROVIDERS & SERVICES — 0.5% | |||||
Horizon Therapeutics USA, Inc. Senior Secured 2021 Term Loan B2, 1 Month USD LIBOR + 1.75% 2.25%, 3/15/2028(b) | 423,935 | 423,064 | |||
ICON Luxembourg S.A.R.L. Senior Secured LUX Term Loan, 3 Month USD LIBOR + 2.25% 2.75%, 7/3/2028(b) | 308,535 | 309,027 | |||
ICON Luxembourg S.A.R.L. Senior Secured US Term Loan, 3 Month USD LIBOR + 2.25% 2.75%, 7/3/2028(b) | 76,871 | 76,994 | |||
809,085 |
Security Description | Principal Amount | Value | |||
HOTELS, RESTAURANTS & LEISURE — 0.3% | |||||
1011778 B.C. Unlimited Liability Co. Senior Secured Term Loan B4, 1 Month USD LIBOR + 1.75% 1.85%, 11/19/2026 (b) | $ 447,716 | $ 442,399 | |||
HOUSEHOLD DURABLES — 0.0% (c) | |||||
Installed Building Products, Inc. Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 2.250% 2.75%, 12/14/2028 | 15,000 | 15,031 | |||
HOUSEHOLD PRODUCTS — 0.5% | |||||
Energizer Holdings, Inc. Senior Secured 2020 Term Loan, 12/22/2027(e) | 339,146 | 338,829 | |||
Reynolds Consumer Products, LLC Senior Secured Term Loan, 1 Month USD LIBOR + 1.75% 1.85%, 2/4/2027(b) | 422,547 | 420,848 | |||
759,677 | |||||
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS — 0.4% | |||||
Calpine Corp. Senior Secured 2020 Term Loan B5, 1 Month USD LIBOR + 2.50% 2.61%, 12/16/2027(b) | 298,492 | 296,937 | |||
Vistra Operations Co., LLC Senior Secured 1st Lien Term Loan B3, 1 Month USD LIBOR + 1.75% 1.86%, 12/31/2025(b) | 422,633 | 420,009 | |||
716,946 | |||||
INTERACTIVE MEDIA & SERVICES — 0.3% | |||||
Go Daddy Operating Co., LLC Senior Secured 2017 Repriced Term Loan, 1 Month USD LIBOR + 1.75% 1.85%, 2/15/2024 (b) | 422,043 | 419,992 | |||
IT SERVICES — 0.2% | |||||
Fleetcor Technologies Operating Company, LLC Senior Secured 2021 Term Loan B4, 1 Month USD LIBOR + 1.750% 1.85%, 4/28/2028 (b) | 422,876 | 418,436 | |||
MACHINERY — 0.3% | |||||
Ali Group S.R.L. , 10/12/2028(e) | 85,000 | 84,587 | |||
Ingersoll-Rand Services Co. Senior Secured 2020 USD Spinco Term Loan, 1 Month USD LIBOR + 1.75% 1.85%, 3/1/2027(b) | 447,722 | 443,399 | |||
527,986 | |||||
MEDIA — 0.2% | |||||
Gray Television, Inc. Senior Secured 2021 Term Loan D, 1 Month USD LIBOR + 3.000% 3.10%, 12/1/2028 | 80,000 | 79,710 | |||
Nexstar Broadcasting, Inc. Senior Secured 2019 Term Loan B4, 3 Month USD LIBOR + 2.50% 2.60%, 9/18/2026(b) | 300,000 | 299,814 | |||
379,524 |
Security Description | Principal Amount | Value | |||
MRI/MEDICAL DIAG IMAGING — 0.2% | |||||
IQVIA, Inc. Senior Secured 2018 USD Term Loan B3, 3 Month USD LIBOR + 1.750% 1.97%, 6/11/2025 (b) | $ 396,862 | $ 396,036 | |||
PHARMACEUTICALS — 0.5% | |||||
Catalent Pharma Solutions Inc. Senior Secured 2021 Term Loan B3, 1 Month USD LIBOR + 2.000% 2.50%, 2/22/2028(b) | 34,912 | 35,004 | |||
Elanco Animal Health, Inc. Senior Secured Term Loan B, 3 Month USD LIBOR + 1.75% 1.85%, 8/1/2027(b) | 512,341 | 506,377 | |||
Grifols Worldwide Operations USA, Inc. Senior Secured USD 2019 Term Loan B, 1 Month USD LIBOR + 2.00% 2.10%, 11/15/2027(b) | 319,481 | 315,346 | |||
856,727 | |||||
PROFESSIONAL SERVICES — 0.1% | |||||
Trans Union, LLC Senior Secured 2021 Term Loan B6, 12/1/2028 (e) | 95,000 | 94,881 | |||
REAL ESTATE INVESTMENT TRUSTS (REITS) — 0.2% | |||||
Iron Mountain, Inc. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 1.750% 1.85%, 1/2/2026 (b) | 423,902 | 418,249 | |||
SOFTWARE — 0.3% | |||||
SS&C Technologies, Inc. Senior Secured 2018 Term Loan B5, 1 Month USD LIBOR + 1.750% 1.85%, 4/16/2025 (b) | 432,458 | 428,313 | |||
THRIFTS & MORTGAGE FINANCE — 0.0% (c) | |||||
Walker & Dunlop, Inc. Senior Secured 2021 Term Loan, 12/16/2028 (e) | 40,000 | 40,000 | |||
TOTAL SENIOR FLOATING RATE LOANS (Cost $11,606,341) | 11,614,557 |
Shares | |||
SHORT-TERM INVESTMENT — 3.7% | |||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 0.03% (f) (g) (Cost $5,925,569) | 5,925,569 | 5,925,569 | |
TOTAL INVESTMENTS — 98.8% (Cost $161,351,660) | 159,823,190 | ||
OTHER ASSETS IN EXCESS OF LIABILITIES — 1.2% | 1,965,175 | ||
NET ASSETS — 100.0% | $ 161,788,365 |
(a) | Securities purchased pursuant to Rule 144A of the Securities Act of 1933, as amended. These securities, which represent 23.8% of net assets as of December 31, 2021, 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, 2021. 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) | Step-up bond - Coupon rate increases in increments to maturity. Rate shown as of December 31, 2021. Maturity date shown is the final maturity. |
(e) | Position is unsettled. Contract rate was not determined at December 31, 2021 and does not take effect until settlement date. Maturity date is not finalized until settlement date. |
(f) | 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, 2021 are shown in the Affiliate Table below. |
(g) | The rate shown is the annualized seven-day yield at December 31, 2021. |
ABS | Asset-Backed Security |
CLO | Collateralized Loan Obligation |
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 |
MTN | Medium Term Note |
REIT | Real Estate Investment Trust |
REMIC | Real Estate Mortgage Investment Conduit |
SOFR | Secured Overnight Financing Rate |
VRN | Variable Rate Note |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Corporate Bonds & Notes | $ — | $ 38,827,617 | $— | $ 38,827,617 | ||||
Asset-Backed Securities | — | 19,738,583 | — | 19,738,583 | ||||
Foreign Government Obligations | — | 4,258,755 | — | 4,258,755 | ||||
U.S. Government Agency Obligations | — | 40,919,454 | — | 40,919,454 | ||||
U.S. Treasury Obligations | — | 27,024,880 | — | 27,024,880 | ||||
Mortgage-Backed Securities | — | 7,813,844 | — | 7,813,844 | ||||
Commercial Mortgage Backed Securities | — | 3,699,931 | — | 3,699,931 | ||||
Senior Floating Rate Loans | — | 11,614,557 | — | 11,614,557 | ||||
Short-Term Investment | 5,925,569 | — | — | 5,925,569 | ||||
TOTAL INVESTMENTS | $5,925,569 | $153,897,621 | $— | $159,823,190 |
Number of Shares Held at 6/30/21 | Value at 6/30/21 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 12/31/21 | Value at 12/31/21 | Dividend Income | |||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 14,576,244 | $14,576,244 | $118,036,333 | $126,687,008 | $— | $— | 5,925,569 | $5,925,569 | $1,556 |
Security Description | Principal Amount | Value | |||
CORPORATE BONDS & NOTES — 14.9% | |||||
ARGENTINA — 0.1% | |||||
AES Argentina Generacion SA Series REGS, 7.75%, 2/2/2024 | $ 500,000 | $ 423,755 | |||
Banco Macro SA: | |||||
USD 5 Year Swap Rate + 5.46%, 6.75%, 11/4/2026 (a) (b) | 300,000 | 250,818 | |||
Series REGS, USD 5 Year Swap Rate + 5.46%, 6.75%, 11/4/2026 (b) | 1,000,000 | 836,060 | |||
Pampa Energia SA: | |||||
Series REGS, 7.50%, 1/24/2027 | 2,000,000 | 1,727,800 | |||
Series REGS, 9.13%, 4/15/2029 | 150,000 | 131,969 | |||
3,370,402 | |||||
AUSTRALIA — 0.3% | |||||
Glencore Funding LLC: | |||||
1.63%, 4/27/2026 (a) | 1,120,000 | 1,099,873 | |||
3.38%, 9/23/2051 (a) | 745,000 | 712,369 | |||
Macquarie Group, Ltd.: | |||||
SOFR + 0.91%, 1.63%, 9/23/2027 (a) (b) | 1,665,000 | 1,629,469 | |||
SOFR + 1.53%, 2.87%, 1/14/2033 (a) (b) | 1,910,000 | 1,903,640 | |||
Westpac Banking Corp. 5 year CMT + 1.53%, 3.02%, 11/18/2036 (b) | 1,840,000 | 1,820,128 | |||
7,165,479 | |||||
BELGIUM — 0.1% | |||||
Anheuser-Busch InBev Worldwide, Inc. 5.55%, 1/23/2049 | 1,255,000 | 1,735,803 | |||
BRAZIL — 0.4% | |||||
Banco do Brasil SA 10 Year CMT + 6.36%, 9.00%, 6/18/2024 (b) | 1,500,000 | 1,600,260 | |||
Banco do Estado do Rio Grande do Sul SA Series REGS, VRN, 5 year CMT + 4.93%, 5.38%, 1/28/2031 (b) | 700,000 | 678,097 | |||
Cosan Overseas, Ltd. 8.25%, 2/5/2022 | 4,314,000 | 4,405,672 | |||
Itau Unibanco Holding SA: | |||||
VRN, 5 Year CMT + 3.22%, 4.63%, 2/27/2025 (a) (b) | 200,000 | 187,516 | |||
Series REGS, 5 Year CMT + 3.98%, 6.13%, 12/12/2022 (b) | 1,200,000 | 1,206,612 | |||
Series REGS, VRN, 5 year CMT + 3.22%, 4.63%, 2/27/2025 (b) | 200,000 | 187,516 | |||
Series REGS, VRN, 5 year CMT + 3.45%, 3.88%, 4/15/2031 (b) | 1,100,000 | 1,055,483 |
Security Description | Principal Amount | Value | |||
Minerva Luxembourg SA 4.38%, 3/18/2031 (a) | $ 1,200,000 | $ 1,142,904 | |||
Petrobras Global Finance B.V.: | |||||
5.50%, 6/10/2051 | 1,300,000 | 1,206,322 | |||
6.75%, 6/3/2050 | 1,000,000 | 1,047,340 | |||
12,717,722 | |||||
CANADA — 0.5% | |||||
Air Canada 3.88%, 8/15/2026 (a) | 320,000 | 327,203 | |||
Bank of Nova Scotia: | |||||
1.63%, 5/1/2023 | 1,360,000 | 1,375,586 | |||
3.40%, 2/11/2024 | 400,000 | 419,392 | |||
Bombardier, Inc. 7.88%, 4/15/2027 (a) | 350,000 | 362,947 | |||
Garda World Security Corp.: | |||||
4.63%, 2/15/2027 (a) | 615,000 | 615,369 | |||
6.00%, 6/1/2029 (a) | 480,000 | 461,717 | |||
GFL Environmental, Inc. 4.00%, 8/1/2028 (a) | 585,000 | 574,101 | |||
Intelligent Packaging, Ltd. Finco, Inc./Intelligent Packaging, Ltd. Co-Issuer LLC 6.00%, 9/15/2028 (a) | 225,000 | 231,894 | |||
Kronos Acquisition Holdings, Inc./KIK Custom Products, Inc.: | |||||
5.00%, 12/31/2026 (a) | 975,000 | 962,491 | |||
7.00%, 12/31/2027 (a) | 525,000 | 498,939 | |||
Mattamy Group Corp. 4.63%, 3/1/2030 (a) | 395,000 | 402,410 | |||
MEG Energy Corp.: | |||||
5.88%, 2/1/2029 (a) | 95,000 | 99,639 | |||
7.13%, 2/1/2027 (a) | 460,000 | 489,891 | |||
Parkland Corp.: | |||||
4.50%, 10/1/2029 (a) | 435,000 | 435,718 | |||
4.63%, 5/1/2030 (a) | 300,000 | 299,091 | |||
Primo Water Holdings, Inc. 4.38%, 4/30/2029 (a) | 325,000 | 322,231 | |||
Royal Bank of Canada Series GMTN, 1.15%, 7/14/2026 | 5,205,000 | 5,097,725 | |||
Superior Plus L.P./Superior General Partner, Inc. 4.50%, 3/15/2029 (a) | 615,000 | 630,756 | |||
Telesat Canada/Telesat LLC: | |||||
4.88%, 6/1/2027 (a) | 255,000 | 225,723 | |||
6.50%, 10/15/2027 (a) | 260,000 | 201,484 |
Security Description | Principal Amount | Value | |||
Tervita Corp. 11.00%, 12/1/2025 (a) | $ 237,000 | $ 272,586 | |||
Titan Acquisition, Ltd./Titan Co-Borrower LLC 7.75%, 4/15/2026 (a) | 320,000 | 325,635 | |||
14,632,528 | |||||
CAYMAN ISLANDS — 0.0% (c) | |||||
Global Aircraft Leasing Co., Ltd. PIK, 6.50%, 9/15/2024 (a) | 563,752 | 544,534 | |||
CHILE — 0.3% | |||||
AES Gener SA: | |||||
5 Year CMT + 4.92%, 6.35%, 10/7/2079 (a) (b) | 200,000 | 203,486 | |||
USD 5 Year Swap Rate + 4.64%, 7.13%, 3/26/2079 (a) (b) | 400,000 | 414,752 | |||
Series REGS, USD 5 Year Swap Rate + 4.64%, 7.13%, 3/26/2079 (b) | 1,600,000 | 1,659,008 | |||
Antofagasta PLC Series REGS, 2.38%, 10/14/2030 | 200,000 | 190,874 | |||
CAP SA 3.90%, 4/27/2031 (a) | 1,350,000 | 1,269,000 | |||
Chile Electricity PEC SpA 0.01%, 1/25/2028 (a) | 500,000 | 406,425 | |||
Empresa Electrica Angamos SA Series REGS, 4.88%, 5/25/2029 | 1,304,000 | 1,252,179 | |||
Empresa Electrica Cochrane SpA Series REGS, 5.50%, 5/14/2027 | 832,020 | 833,875 | |||
Guacolda Energia SA Series REGS, 4.56%, 4/30/2025 | 1,900,000 | 740,525 | |||
Telefonica Moviles Chile SA 3.54%, 11/18/2031 (a) | 150,000 | 149,493 | |||
7,119,617 | |||||
CHINA — 0.0% (c) | |||||
Tencent Holdings, Ltd. 2.39%, 6/3/2030 (a) | 500,000 | 489,840 | |||
COLOMBIA — 0.3% | |||||
AI Candelaria Spain SLU 5.75%, 6/15/2033 (a) | 900,000 | 870,453 | |||
Banco Davivienda SA VRN, 10 Year CMT + 5.10%, 6.65%, 4/22/2031 (a) (b) | 600,000 | 608,058 | |||
Ecopetrol SA: | |||||
4.63%, 11/2/2031 | 400,000 | 388,552 |
Security Description | Principal Amount | Value | |||
5.88%, 5/28/2045 | $ 200,000 | $ 191,548 | |||
5.88%, 11/2/2051 | 2,050,000 | 1,922,428 | |||
Empresas Publicas de Medellin ESP: | |||||
Series REGS, 4.25%, 7/18/2029 | 1,400,000 | 1,327,970 | |||
Series REGS, 4.38%, 2/15/2031 | 1,000,000 | 940,140 | |||
Gran Tierra Energy International Holdings, Ltd. Series REGS, 6.25%, 2/15/2025 | 2,600,000 | 2,365,740 | |||
Grupo Aval, Ltd. 4.38%, 2/4/2030 (a) | 300,000 | 287,832 | |||
Oleoducto Central SA Series REGS, 4.00%, 7/14/2027 | 500,000 | 498,170 | |||
9,400,891 | |||||
FRANCE — 0.1% | |||||
Altice France SA: | |||||
5.13%, 7/15/2029 (a) | 680,000 | 663,360 | |||
5.50%, 10/15/2029 (a) | 460,000 | 455,400 | |||
TotalEnergies Capital International SA 3.39%, 6/29/2060 | 1,575,000 | 1,678,635 | |||
2,797,395 | |||||
GERMANY — 0.0% (c) | |||||
TK Elevator US Newco, Inc. 5.25%, 7/15/2027 (a) | 700,000 | 735,238 | |||
HONG KONG — 0.0% (c) | |||||
Seaspan Corp. 5.50%, 8/1/2029 (a) | 325,000 | 326,814 | |||
INDIA — 0.3% | |||||
Adani International Container Terminal Pvt, Ltd. Series REGS, 3.00%, 2/16/2031 | 784,000 | 755,929 | |||
Adani Ports & Special Economic Zone, Ltd.: | |||||
4.00%, 7/30/2027 | 400,000 | 412,368 | |||
Series REGS, 4.38%, 7/3/2029 | 400,000 | 417,724 | |||
JSW Hydro Energy, Ltd. 4.13%, 5/18/2031 (a) | 386,000 | 384,001 | |||
ONGC Videsh Vankorneft Pte, Ltd. 3.75%, 7/27/2026 | 2,200,000 | 2,305,490 | |||
UPL Corp., Ltd. 4.50%, 3/8/2028 | 1,300,000 | 1,367,073 | |||
Vedanta Resources Finance II PLC 9.25%, 4/23/2026 (a) | 1,400,000 | 1,310,764 |
Security Description | Principal Amount | Value | |||
Vedanta Resources, Ltd. Series REGS, 6.13%, 8/9/2024 | $ 2,200,000 | $ 1,926,606 | |||
8,879,955 | |||||
INDONESIA — 0.1% | |||||
Minejesa Capital B.V.: | |||||
Series REGS, 4.63%, 8/10/2030 | 1,200,000 | 1,231,512 | |||
Series REGS, 5.63%, 8/10/2037 | 2,200,000 | 2,300,056 | |||
3,531,568 | |||||
IRELAND — 0.1% | |||||
Avolon Holdings Funding, Ltd.: | |||||
2.13%, 2/21/2026 (a) | 1,065,000 | 1,046,575 | |||
3.25%, 2/15/2027 (a) | 620,000 | 628,079 | |||
1,674,654 | |||||
JAMAICA — 0.0% (c) | |||||
Digicel Group Holdings, Ltd.: | |||||
PIK, 7.00%, 12/31/2099 (a) | 632,750 | 548,911 | |||
PIK, 8.00%, 4/1/2025 (a) | 847,846 | 786,852 | |||
1,335,763 | |||||
JAPAN — 0.1% | |||||
Mitsubishi UFJ Financial Group, Inc. 3 Month USD LIBOR + 0.74%, 0.91%, 3/2/2023 (b) | 1,720,000 | 1,728,239 | |||
KUWAIT — 0.1% | |||||
Equate Petrochemical B.V. Series REGS, 2.63%, 4/28/2028 | 1,100,000 | 1,101,375 | |||
MEGlobal Canada ULC 5.00%, 5/18/2025 (a) | 500,000 | 545,590 | |||
1,646,965 | |||||
LUXEMBOURG — 0.0% (c) | |||||
Altice Financing SA 5.00%, 1/15/2028 (a) | 240,000 | 233,402 | |||
Altice France Holding SA 6.00%, 2/15/2028 (a) | 430,000 | 411,287 | |||
ARD Finance SA PIK, 6.50%, 6/30/2027 (a) | 200,000 | 205,908 | |||
850,597 |
Security Description | Principal Amount | Value | |||
MALAYSIA — 0.1% | |||||
Petronas Capital, Ltd.: | |||||
2.48%, 1/28/2032 (a) | $ 1,200,000 | $ 1,203,804 | |||
3.50%, 4/21/2030 (a) | 400,000 | 432,896 | |||
1,636,700 | |||||
MEXICO — 0.3% | |||||
Banco Mercantil del Norte SA: | |||||
10 year CMT + 5.47%, 7.50%, 6/27/2029 (a) (b) | 1,400,000 | 1,490,286 | |||
Series REGS, 10 Year CMT + 5.35%, 7.63%, 12/31/2099 (b) | 800,000 | 854,144 | |||
Credito Real SAB de CV Series REGS, 5 Year CMT + 7.03%, 9.13%, 11/29/2022 (b) | 1,200,000 | 585,708 | |||
Grupo Idesa SA de CV PIK, 10.13%, 5/22/2026 (a) | 1,550,908 | 1,027,492 | |||
Mexarrend SAPI de CV 10.25%, 7/24/2024 (a) | 982,000 | 873,342 | |||
Petroleos Mexicanos 6.75%, 9/21/2047 | 1,400,000 | 1,238,720 | |||
Unifin Financiera SAB de CV Series REGS, 5 Year CMT + 6.31%, 8.88%, 1/29/2025 (b) | 3,000,000 | 1,766,400 | |||
7,836,092 | |||||
PANAMA — 0.1% | |||||
Banco General SA VRN, 10 Year CMT + 3.67%, 5.25%, 5/7/2031 (a) (b) | 1,000,000 | 1,015,580 | |||
Banco Nacional de Panama 2.50%, 8/11/2030 (a) | 300,000 | 281,025 | |||
UEP Penonome II SA: | |||||
6.50%, 10/1/2038 (a) | 336,671 | 354,016 | |||
Series REGS, 6.50%, 10/1/2038 | 384,767 | 404,590 | |||
2,055,211 | |||||
PERU — 0.2% | |||||
Banco de Credito del Peru: | |||||
VRN, 5 year CMT + 3.00%, 3.13%, 7/1/2030 (a) (b) | 700,000 | 692,104 | |||
Series REGS, 5 year CMT + 3.00%, 3.13%, 7/1/2030 (b) | 700,000 | 692,104 | |||
Banco Internacional del Peru SAA Interbank Series REGS, VRN, 1 year CMT + 3.71%, 4.00%, 7/8/2030 (b) | 1,200,000 | 1,195,104 | |||
Fenix Power Peru SA Series REGS, 4.32%, 9/20/2027 | 330,588 | 338,205 |
Security Description | Principal Amount | Value | |||
Hunt Oil Co. of Peru LLC Sucursal Del Peru Series REGS, 6.38%, 6/1/2028 | $ 1,053,800 | $ 1,068,227 | |||
Inkia Energy, Ltd. Series REGS, 5.88%, 11/9/2027 | 1,200,000 | 1,229,856 | |||
Peru LNG S.r.l. Series REGS, 5.38%, 3/22/2030 | 800,000 | 692,296 | |||
5,907,896 | |||||
PHILIPPINES — 0.1% | |||||
BDO Unibank, Inc. Series EMTN, 2.95%, 3/6/2023 | 3,000,000 | 3,052,500 | |||
QATAR — 0.1% | |||||
Ooredoo International Finance, Ltd.: | |||||
Series REGS, 3.25%, 2/21/2023 | 300,000 | 307,494 | |||
Series REGS, 3.75%, 6/22/2026 | 200,000 | 216,532 | |||
Qatar Energy 2.25%, 7/12/2031 | 2,400,000 | 2,377,363 | |||
2,901,389 | |||||
SAUDI ARABIA — 0.0% (c) | |||||
SA Global Sukuk, Ltd. 2.69%, 6/17/2031 (a) | 600,000 | 603,456 | |||
SINGAPORE — 0.4% | |||||
Avation Capital SA PIK, 8.25%, 10/31/2026 (a) | 264,163 | 221,149 | |||
DBS Group Holdings, Ltd.: | |||||
Series GMTN, VRN, 5 year CMT + 1.10%, 1.82%, 3/10/2031 (b) | 400,000 | 395,312 | |||
Series REGS, VRN, USD 5 year ICE Swap Rate + 1.59%, 4.52%, 12/11/2028 (b) | 500,000 | 528,225 | |||
Oversea-Chinese Banking Corp., Ltd.: | |||||
VRN, 5 year CMT + 1.58%, 1.83%, 9/10/2030 (a) (b) | 700,000 | 694,869 | |||
Series REGS, VRN, 5 year CMT + 1.58%, 1.83%, 9/10/2030 (b) | 900,000 | 893,403 | |||
PSA Treasury Pte, Ltd.: | |||||
2.25%, 4/30/2030 | 500,000 | 510,346 | |||
Series GMTN, 2.13%, 9/5/2029 | 1,700,000 | 1,716,766 | |||
SingTel Group Treasury Pte, Ltd.: | |||||
1.88%, 6/10/2030 | 1,250,000 | 1,231,084 | |||
2.38%, 8/28/2029 | 400,000 | 409,953 |
Security Description | Principal Amount | Value | |||
Temasek Financial I Ltd.: | |||||
1.00%, 10/6/2030 (a) | $ 2,900,000 | $ 2,704,192 | |||
1.63%, 8/2/2031 | 1,050,000 | 1,019,550 | |||
Series REGS, 1.00%, 10/6/2030 | 250,000 | 233,120 | |||
United Overseas Bank, Ltd.: | |||||
Series EMTN, USD 5 Year Swap Rate + 1.79%, 3.88%, 10/19/2023 (b) | 400,000 | 410,000 | |||
Series GMTN, VRN, 5 year CMT + 1.52%, 1.75%, 3/16/2031 (b) | 500,000 | 492,050 | |||
11,460,019 | |||||
SOUTH KOREA — 0.3% | |||||
Korea East-West Power Co., Ltd. Series REGS, 1.75%, 5/6/2025 | 1,800,000 | 1,813,320 | |||
KT Corp.: | |||||
1.00%, 9/1/2025 | 600,000 | 588,138 | |||
1.38%, 1/21/2027 | 700,000 | 683,562 | |||
Series REGS, 2.50%, 7/18/2026 | 1,000,000 | 1,033,300 | |||
LG Chem, Ltd. 2.38%, 7/7/2031 (a) | 250,000 | 246,055 | |||
NongHyup Bank 1.25%, 7/20/2025 (a) | 1,000,000 | 990,420 | |||
POSCO: | |||||
Series REGS, 2.38%, 1/17/2023 | 700,000 | 708,848 | |||
Series REGS, 2.75%, 7/15/2024 | 800,000 | 825,888 | |||
Shinhan Financial Group Co., Ltd. VRN, 5 year CMT + 2.06%, 2.88%, 5/12/2026 (a) (b) | 900,000 | 887,085 | |||
Woori Bank Series REGS, VRN, 5 year CMT + 2.66%, 4.25%, 10/4/2024 (b) | 1,000,000 | 1,036,690 | |||
8,813,306 | |||||
SPAIN — 0.0% (c) | |||||
Grifols Escrow Issuer SA 4.75%, 10/15/2028 (a) | 1,040,000 | 1,049,693 | |||
THAILAND — 0.1% | |||||
Bangkok Bank PCL VRN, 5 Year CMT + 4.72%, 5.00%, 12/31/2099 (b) | 900,000 | 931,923 | |||
Kasikornbank PCL Series EMTN, VRN, 5 year CMT + 4.94%, 5.28%, 10/14/2025 (b) | 700,000 | 733,250 | |||
PTTEP Treasury Center Co., Ltd. 2.59%, 6/10/2027 (a) | 200,000 | 204,130 | |||
1,869,303 |
Security Description | Principal Amount | Value | |||
UNITED ARAB EMIRATES — 0.1% | |||||
Galaxy Pipeline Assets Bidco, Ltd.: | |||||
2.16%, 3/31/2034 (a) | $ 2,200,000 | $ 2,159,476 | |||
2.94%, 9/30/2040 | 200,000 | 199,043 | |||
Series REGS, 2.63%, 3/31/2036 | 1,700,000 | 1,660,887 | |||
4,019,406 | |||||
UNITED KINGDOM — 0.1% | |||||
BAT Capital Corp. 2.73%, 3/25/2031 | 1,820,000 | 1,767,729 | |||
CK Hutchison International 20, Ltd. 2.50%, 5/8/2030 (a) | 1,000,000 | 1,014,030 | |||
eG Global Finance PLC 8.50%, 10/30/2025 (a) | 615,000 | 640,787 | |||
Virgin Media Finance PLC 5.00%, 7/15/2030 (a) | 605,000 | 604,607 | |||
4,027,153 | |||||
UNITED STATES — 10.2% | |||||
AbbVie, Inc. 3.85%, 6/15/2024 | 1,670,000 | 1,765,641 | |||
Academy, Ltd. 6.00%, 11/15/2027 (a) | 385,000 | 411,180 | |||
Acrisure LLC/Acrisure Finance, Inc.: | |||||
4.25%, 2/15/2029 (a) | 445,000 | 433,572 | |||
6.00%, 8/1/2029 (a) | 365,000 | 360,346 | |||
Acuris Finance Us, Inc./Acuris Finance SARL 5.00%, 5/1/2028 (a) | 675,000 | 673,393 | |||
AdaptHealth LLC 5.13%, 3/1/2030 (a) | 615,000 | 628,991 | |||
Advanced Drainage Systems, Inc. 5.00%, 9/30/2027 (a) | 370,000 | 383,453 | |||
AEP Texas, Inc. Series H, 3.45%, 1/15/2050 | 1,280,000 | 1,309,350 | |||
Aethon United BR L.P./Aethon United Finance Corp. 8.25%, 2/15/2026 (a) | 305,000 | 327,384 | |||
Air Lease Corp. 3.25%, 3/1/2025 | 1,715,000 | 1,782,657 | |||
Air Methods Corp. 8.00%, 5/15/2025 (a) | 173,000 | 148,745 | |||
Alexandria Real Estate Equities, Inc. 1.88%, 2/1/2033 | 2,385,000 | 2,240,636 |
Security Description | Principal Amount | Value | |||
Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer 6.75%, 10/15/2027 (a) | $ 390,000 | $ 404,625 | |||
Allied Universal Holdco LLC/Allied Universal Finance Corp.: | |||||
6.00%, 6/1/2029 (a) | 425,000 | 413,257 | |||
6.63%, 7/15/2026 (a) | 355,000 | 372,356 | |||
9.75%, 7/15/2027 (a) | 455,000 | 486,377 | |||
American Airlines, Inc./AAdvantage Loyalty IP, Ltd. 5.75%, 4/20/2029 (a) | 645,000 | 689,776 | |||
American Axle & Manufacturing, Inc. 5.00%, 10/1/2029 | 590,000 | 579,109 | |||
Amgen, Inc. 2.45%, 2/21/2030 | 1,795,000 | 1,826,897 | |||
AmWINS Group, Inc. 4.88%, 6/30/2029 (a) | 580,000 | 586,896 | |||
Antero Midstream Partners L.P./Antero Midstream Finance Corp. 5.75%, 3/1/2027 (a) | 300,000 | 310,131 | |||
Antero Resources Corp. 5.38%, 3/1/2030 (a) | 330,000 | 352,862 | |||
Anthem, Inc. 3.30%, 1/15/2023 | 1,737,000 | 1,783,986 | |||
Apache Corp.: | |||||
4.38%, 10/15/2028 | 355,000 | 386,900 | |||
4.63%, 11/15/2025 | 200,000 | 215,046 | |||
APi Escrow Corp. 4.75%, 10/15/2029 (a) | 475,000 | 482,643 | |||
APi Group DE, Inc. 4.13%, 7/15/2029 (a) | 390,000 | 394,150 | |||
Arches Buyer, Inc. 4.25%, 6/1/2028 (a) | 130,000 | 130,029 | |||
Arconic Corp. 6.13%, 2/15/2028 (a) | 860,000 | 915,083 | |||
Ardagh Metal Packaging Finance USA LLC/Ardagh Metal Packaging Finance PLC 4.00%, 9/1/2029 (a) | 835,000 | 828,061 | |||
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. 5.25%, 8/15/2027 (a) | 300,000 | 302,310 | |||
Arrow Electronics, Inc. 3.88%, 1/12/2028 | 1,667,000 | 1,806,911 | |||
Ashton Woods USA LLC/Ashton Woods Finance Co. 4.63%, 4/1/2030 (a) | 415,000 | 411,917 | |||
AssuredPartners, Inc.: | |||||
5.63%, 1/15/2029 (a) | 60,000 | 58,587 |
Security Description | Principal Amount | Value | |||
7.00%, 8/15/2025 (a) | $ 952,000 | $ 961,234 | |||
At Home Group, Inc.: | |||||
4.88%, 7/15/2028 (a) | 115,000 | 113,347 | |||
7.13%, 7/15/2029 (a) | 245,000 | 242,734 | |||
AT&T, Inc.: | |||||
2.25%, 2/1/2032 | 1,785,000 | 1,727,112 | |||
2.75%, 6/1/2031 | 475,000 | 484,381 | |||
3.30%, 2/1/2052 | 950,000 | 930,629 | |||
Athene Holding, Ltd. 3.95%, 5/25/2051 | 1,605,000 | 1,757,908 | |||
Austin BidCo, Inc. 7.13%, 12/15/2028 (a) | 155,000 | 160,596 | |||
Avaya, Inc. 6.13%, 9/15/2028 (a) | 605,000 | 641,935 | |||
B&G Foods, Inc. 5.25%, 9/15/2027 | 240,000 | 248,270 | |||
Bank of America Corp. 5 year CMT + 1.20%, 2.48%, 9/21/2036 (b) | 2,740,000 | 2,651,936 | |||
Bausch Health Cos., Inc.: | |||||
4.88%, 6/1/2028 (a) | 420,000 | 430,907 | |||
5.25%, 1/30/2030 (a) | 275,000 | 243,150 | |||
6.25%, 2/15/2029 (a) | 300,000 | 285,456 | |||
7.00%, 1/15/2028 (a) | 535,000 | 537,814 | |||
Beacon Roofing Supply, Inc. 4.13%, 5/15/2029 (a) | 170,000 | 169,929 | |||
Berry Global, Inc. 0.95%, 2/15/2024 | 1,770,000 | 1,752,017 | |||
Blackstone Holdings Finance Co. LLC 2.00%, 1/30/2032 (a) | 3,940,000 | 3,791,659 | |||
Blue Racer Midstream LLC/Blue Racer Finance Corp. 7.63%, 12/15/2025 (a) | 235,000 | 249,831 | |||
Boeing Co. 2.95%, 2/1/2030 | 1,685,000 | 1,706,366 | |||
Boston Properties L.P. 3.65%, 2/1/2026 | 2,590,000 | 2,775,884 | |||
Boxer Parent Co., Inc. 7.13%, 10/2/2025 (a) | 35,000 | 36,752 | |||
Boyd Gaming Corp. 4.75%, 6/15/2031 (a) | 570,000 | 584,261 | |||
Boyne USA, Inc. 4.75%, 5/15/2029 (a) | 700,000 | 724,836 | |||
BP Capital Markets America, Inc. 3.00%, 3/17/2052 | 1,865,000 | 1,828,315 |
Security Description | Principal Amount | Value | |||
Brighthouse Financial Global Funding 1.00%, 4/12/2024 (a) | $ 765,000 | $ 759,025 | |||
Broadcom, Inc. 3.42%, 4/15/2033 (a) | 1,719,000 | 1,794,584 | |||
Brown & Brown, Inc. 2.38%, 3/15/2031 | 1,290,000 | 1,264,484 | |||
Builders FirstSource, Inc.: | |||||
4.25%, 2/1/2032 (a) | 400,000 | 416,088 | |||
5.00%, 3/1/2030 (a) | 400,000 | 429,384 | |||
Bunge, Ltd. Finance Corp. 2.75%, 5/14/2031 | 1,755,000 | 1,781,764 | |||
Cablevision Lightpath LLC: | |||||
3.88%, 9/15/2027 (a) | 300,000 | 291,138 | |||
5.63%, 9/15/2028 (a) | 200,000 | 197,340 | |||
Caesars Entertainment, Inc. 4.63%, 10/15/2029 (a) | 465,000 | 467,641 | |||
Calpine Corp.: | |||||
4.50%, 2/15/2028 (a) | 265,000 | 274,900 | |||
4.63%, 2/1/2029 (a) | 205,000 | 203,237 | |||
5.13%, 3/15/2028 (a) | 165,000 | 167,660 | |||
Camelot Finance SA 4.50%, 11/1/2026 (a) | 125,000 | 129,586 | |||
Carlson Travel, Inc. 6.75%, 12/15/2025 (a) (d) | 215,000 | 103,120 | |||
Carnival Corp. 5.75%, 3/1/2027 (a) | 855,000 | 854,786 | |||
Carrier Global Corp. 3.58%, 4/5/2050 | 880,000 | 936,135 | |||
Carvana Co. 5.63%, 10/1/2025 (a) | 165,000 | 165,210 | |||
Castle US Holding Corp. 9.50%, 2/15/2028 (a) | 585,000 | 611,237 | |||
Catalent Pharma Solutions, Inc. 3.50%, 4/1/2030 (a) | 360,000 | 359,309 | |||
CCO Holdings LLC/CCO Holdings Capital Corp.: | |||||
4.25%, 1/15/2034 (a) | 380,000 | 374,194 | |||
4.50%, 8/15/2030 (a) | 370,000 | 379,661 | |||
4.75%, 3/1/2030 (a) | 755,000 | 787,072 | |||
Cedar Fair L.P. 5.25%, 7/15/2029 | 430,000 | 443,257 | |||
Cengage Learning, Inc. 9.50%, 6/15/2024 (a) | 495,000 | 501,252 |
Security Description | Principal Amount | Value | |||
Centene Corp.: | |||||
2.50%, 3/1/2031 | $ 2,320,000 | $ 2,258,358 | |||
2.63%, 8/1/2031 | 325,000 | 319,712 | |||
3.00%, 10/15/2030 | 210,000 | 213,679 | |||
Century Communities, Inc. 6.75%, 6/1/2027 | 360,000 | 379,134 | |||
Charter Communications Operating LLC/Charter Communications Operating Capital 2.30%, 2/1/2032 | 2,315,000 | 2,199,829 | |||
Chesapeake Energy Corp. 5.88%, 2/1/2029 (a) | 415,000 | 444,262 | |||
CHS/Community Health Systems, Inc.: | |||||
4.75%, 2/15/2031 (a) | 410,000 | 415,117 | |||
6.00%, 1/15/2029 (a) | 455,000 | 487,355 | |||
6.88%, 4/15/2029 (a) | 540,000 | 551,470 | |||
Cigna Corp. 4.90%, 12/15/2048 | 1,305,000 | 1,685,068 | |||
Citigroup, Inc. 3 Month USD LIBOR + 1.39%, 3.67%, 7/24/2028 (b) | 3,235,000 | 3,489,142 | |||
Clarios Global L.P./Clarios US Finance Co.: | |||||
6.25%, 5/15/2026 (a) | 396,000 | 414,909 | |||
8.50%, 5/15/2027 (a) | 225,000 | 238,536 | |||
Clarivate Science Holdings Corp. 4.88%, 7/1/2029 (a) | 390,000 | 396,185 | |||
Clean Harbors, Inc. 5.13%, 7/15/2029 (a) | 145,000 | 153,846 | |||
Clear Channel Outdoor Holdings, Inc.: | |||||
7.50%, 6/1/2029 (a) | 245,000 | 261,640 | |||
7.75%, 4/15/2028 (a) | 80,000 | 85,929 | |||
Clearway Energy Operating LLC 4.75%, 3/15/2028 (a) | 375,000 | 395,400 | |||
CNX Midstream Partners L.P. 4.75%, 4/15/2030 (a) | 775,000 | 773,039 | |||
CNX Resources Corp. 6.00%, 1/15/2029 (a) | 375,000 | 390,004 | |||
Comcast Corp. 2.94%, 11/1/2056 (a) | 1,826,000 | 1,739,356 | |||
CommScope Technologies LLC 5.00%, 3/15/2027 (a) | 230,000 | 216,708 | |||
CommScope, Inc. 4.75%, 9/1/2029 (a) | 470,000 | 467,688 | |||
Consolidated Communications, Inc. 5.00%, 10/1/2028 (a) | 405,000 | 413,274 |
Security Description | Principal Amount | Value | |||
Constellation Brands, Inc.: | |||||
2.88%, 5/1/2030 | $ 375,000 | $ 384,428 | |||
3.15%, 8/1/2029 | 1,380,000 | 1,453,802 | |||
Constellation Merger Sub, Inc. 8.50%, 9/15/2025 (a) | 170,000 | 163,557 | |||
Continental Resources, Inc. 2.27%, 11/15/2026 (a) | 645,000 | 640,511 | |||
Cornerstone Building Brands, Inc. 6.13%, 1/15/2029 (a) | 440,000 | 469,383 | |||
Coty, Inc.: | |||||
5.00%, 4/15/2026 (a) | 410,000 | 422,509 | |||
6.50%, 4/15/2026 (a) | 245,000 | 252,524 | |||
CQP Holdco L.P./BIP-V Chinook Holdco LLC 5.50%, 6/15/2031 (a) | 1,015,000 | 1,059,112 | |||
Crown Castle International Corp. 4.30%, 2/15/2029 | 1,605,000 | 1,791,485 | |||
CSC Holdings LLC: | |||||
4.63%, 12/1/2030 (a) | 800,000 | 756,944 | |||
5.75%, 1/15/2030 (a) | 810,000 | 809,887 | |||
CSI Compressco L.P./CSI Compressco Finance, Inc. 7.50%, 4/1/2025 (a) | 660,000 | 669,550 | |||
CSX Corp. 3.35%, 9/15/2049 | 1,585,000 | 1,686,123 | |||
CVR Partners L.P./CVR Nitrogen Finance Corp. 6.13%, 6/15/2028 (a) | 380,000 | 401,641 | |||
Dana Financing Luxembourg Sarl 5.75%, 4/15/2025 (a) | 325,000 | 333,528 | |||
Dana, Inc.: | |||||
4.25%, 9/1/2030 | 95,000 | 96,769 | |||
5.38%, 11/15/2027 | 125,000 | 131,248 | |||
5.63%, 6/15/2028 | 300,000 | 318,744 | |||
DaVita, Inc. 4.63%, 6/1/2030 (a) | 320,000 | 328,493 | |||
Dealer Tire LLC/DT Issuer LLC 8.00%, 2/1/2028 (a) | 455,000 | 473,723 | |||
Diamond BC B.V. 4.63%, 10/1/2029 (a) | 325,000 | 322,355 | |||
Diamond Sports Group LLC/Diamond Sports Finance Co. 5.38%, 8/15/2026 (a) | 385,000 | 191,973 | |||
Directv Financing LLC/Directv Financing Co-Obligor, Inc. 5.88%, 8/15/2027 (a) | 485,000 | 496,824 | |||
Discover Financial Services 4.10%, 2/9/2027 | 1,635,000 | 1,780,139 |
Security Description | Principal Amount | Value | |||
DISH DBS Corp.: | |||||
5.13%, 6/1/2029 | $ 345,000 | $ 313,909 | |||
5.75%, 12/1/2028 (a) | 405,000 | 409,496 | |||
5.88%, 11/15/2024 | 380,000 | 390,233 | |||
Dollar General Corp. 3.50%, 4/3/2030 | 1,630,000 | 1,763,790 | |||
Dollar Tree, Inc. 4.00%, 5/15/2025 | 1,603,000 | 1,722,824 | |||
Duke Energy Corp. 2.65%, 9/1/2026 | 2,600,000 | 2,698,644 | |||
Dun & Bradstreet Corp. 5.00%, 12/15/2029 (a) | 1,005,000 | 1,027,793 | |||
DuPont de Nemours, Inc. 5.42%, 11/15/2048 | 700,000 | 978,670 | |||
Embarq Corp. 8.00%, 6/1/2036 | 285,000 | 319,371 | |||
Emergent BioSolutions, Inc. 3.88%, 8/15/2028 (a) | 420,000 | 402,822 | |||
Enable Midstream Partners L.P. 5.00%, 5/15/2044 | 740,000 | 802,545 | |||
Encompass Health Corp.: | |||||
4.50%, 2/1/2028 | 185,000 | 190,517 | |||
4.63%, 4/1/2031 | 455,000 | 464,391 | |||
4.75%, 2/1/2030 | 60,000 | 61,889 | |||
Endo Luxembourg Finance Co. I Sarl/Endo US, Inc. 6.13%, 4/1/2029 (a) | 475,000 | 465,068 | |||
Endure Digital, Inc. 6.00%, 2/15/2029 (a) | 490,000 | 457,263 | |||
Energy Transfer L.P. 4.75%, 1/15/2026 | 805,000 | 880,453 | |||
Enterprise Products Operating LLC 3.75%, 2/15/2025 | 1,655,000 | 1,762,227 | |||
Envision Helthcare Corp. 8.75%, 10/15/2026 (a) | 225,000 | 129,623 | |||
EQM Midstream Partners L.P.: | |||||
4.75%, 1/15/2031 (a) | 395,000 | 417,468 | |||
6.50%, 7/1/2027 (a) | 135,000 | 151,451 | |||
EQT Corp. 7.50%, 2/1/2030 | 370,000 | 475,010 | |||
Essential Utilities, Inc. 3.35%, 4/15/2050 | 1,710,000 | 1,774,484 | |||
EverArc Escrow S.a.r.l. 5.00%, 10/30/2029 (a) | 740,000 | 740,644 |
Security Description | Principal Amount | Value | |||
Everi Holdings, Inc. 5.00%, 7/15/2029 (a) | $ 460,000 | $ 466,702 | |||
Expedia Group, Inc.: | |||||
3.80%, 2/15/2028 | 2,115,000 | 2,258,164 | |||
5.00%, 2/15/2026 | 1,200,000 | 1,338,492 | |||
Exterran Energy Solutions L.P./EES Finance Corp. 8.13%, 5/1/2025 | 190,000 | 176,700 | |||
Exxon Mobil Corp. 2.99%, 3/19/2025 | 1,135,000 | 1,193,872 | |||
FedEx Corp. 4.75%, 11/15/2045 | 665,000 | 811,879 | |||
Ferrellgas L.P./Ferrellgas Finance Corp. 5.38%, 4/1/2026 (a) | 330,000 | 320,509 | |||
First Student Bidco, Inc./First Transit Parent, Inc. 4.00%, 7/31/2029 (a) | 340,000 | 329,892 | |||
Ford Motor Co. 3.25%, 2/12/2032 | 1,275,000 | 1,305,281 | |||
Ford Motor Credit Co. LLC: | |||||
3.63%, 6/17/2031 | 545,000 | 573,945 | |||
3 Month USD LIBOR + 1.235%, 1.39%, 2/15/2023 (b) | 3,695,000 | 3,685,984 | |||
Series GMTN, 4.39%, 1/8/2026 | 600,000 | 645,696 | |||
Fortress Transportation and Infrastructure Investors LLC 5.50%, 5/1/2028 (a) | 500,000 | 509,250 | |||
Frontier Communications Holdings LLC: | |||||
5.00%, 5/1/2028 (a) | 250,000 | 257,930 | |||
5.88%, 10/15/2027 (a) | 125,000 | 132,208 | |||
6.00%, 1/15/2030 (a) | 435,000 | 436,849 | |||
Full House Resorts, Inc. 8.25%, 2/15/2028 (a) | 165,000 | 174,167 | |||
Gap, Inc. 3.88%, 10/1/2031 (a) | 405,000 | 400,217 | |||
GCI LLC 4.75%, 10/15/2028 (a) | 360,000 | 369,104 | |||
General Motors Financial Co., Inc. 2.40%, 10/15/2028 | 930,000 | 927,387 | |||
Georgia-Pacific LLC 3.60%, 3/1/2025 (a) | 1,543,000 | 1,635,750 | |||
Glatfelter Corp. 4.75%, 11/15/2029 (a) | 425,000 | 439,242 | |||
Golden Entertainment, Inc. 7.63%, 4/15/2026 (a) | 315,000 | 329,808 | |||
Golden Nugget, Inc. 6.75%, 10/15/2024 (a) | 740,000 | 740,141 |
Security Description | Principal Amount | Value | |||
Goldman Sachs Group, Inc. Series ., 3 Month USD LIBOR + 1.17%, 1.33%, 5/15/2026 (b) | $ 3,440,000 | $ 3,506,770 | |||
Goodyear Tire & Rubber Co. 5.25%, 7/15/2031 (a) | 405,000 | 440,008 | |||
GrafTech Finance, Inc. 4.63%, 12/15/2028 (a) | 195,000 | 198,141 | |||
Griffon Corp. 5.75%, 3/1/2028 | 960,000 | 998,544 | |||
Group 1 Automotive, Inc. 4.00%, 8/15/2028 (a) | 210,000 | 209,761 | |||
GrubHub Holdings, Inc. 5.50%, 7/1/2027 (a) | 225,000 | 223,265 | |||
Guardian Life Global Funding 1.25%, 5/13/2026 (a) | 1,810,000 | 1,786,542 | |||
Gulfport Energy Corp. 8.00%, 5/17/2026 (a) | 375,000 | 410,250 | |||
Halliburton Co. 2.92%, 3/1/2030 | 827,000 | 854,109 | |||
HCA, Inc. 4.13%, 6/15/2029 | 870,000 | 959,253 | |||
Helios Software Holdings, Inc./ION Corporate Solutions Finance Sarl 4.63%, 5/1/2028 (a) | 640,000 | 629,658 | |||
Hertz Corp. 5.00%, 12/1/2029 (a) | 345,000 | 345,904 | |||
Hess Midstream Operations L.P.: | |||||
4.25%, 2/15/2030 (a) | 750,000 | 747,060 | |||
5.13%, 6/15/2028 (a) | 365,000 | 382,757 | |||
5.63%, 2/15/2026 (a) | 455,000 | 470,657 | |||
Hexion, Inc. 7.88%, 7/15/2027 (a) | 300,000 | 317,451 | |||
H-Food Holdings LLC/Hearthside Finance Co., Inc. 8.50%, 6/1/2026 (a) | 450,000 | 451,629 | |||
Hightower Holding LLC 6.75%, 4/15/2029 (a) | 315,000 | 323,215 | |||
Hilcorp Energy I L.P./Hilcorp Finance Co.: | |||||
5.75%, 2/1/2029 (a) | 170,000 | 175,132 | |||
6.25%, 11/1/2028 (a) | 540,000 | 574,906 | |||
Hilton Domestic Operating Co., Inc.: | |||||
5.38%, 5/1/2025 (a) | 25,000 | 25,993 | |||
5.75%, 5/1/2028 (a) | 25,000 | 26,717 |
Security Description | Principal Amount | Value | |||
Home Depot, Inc. 3.90%, 6/15/2047 | $ 1,245,000 | $ 1,462,240 | |||
Hyundai Capital America 3.00%, 2/10/2027 (a) | 1,745,000 | 1,806,703 | |||
IAA, Inc. 5.50%, 6/15/2027 (a) | 570,000 | 591,301 | |||
Icahn Enterprises L.P./Icahn Enterprises Finance Corp.: | |||||
5.25%, 5/15/2027 | 385,000 | 395,780 | |||
6.25%, 5/15/2026 | 715,000 | 744,465 | |||
iHeartCommunications, Inc.: | |||||
5.25%, 8/15/2027 (a) | 300,000 | 311,964 | |||
8.38%, 5/1/2027 | 75,000 | 79,148 | |||
II-VI, Inc. 5.00%, 12/15/2029 (a) | 605,000 | 618,473 | |||
Illuminate Buyer LLC/Illuminate Holdings IV, Inc. 9.00%, 7/1/2028 (a) | 510,000 | 543,390 | |||
Installed Building Products, Inc. 5.75%, 2/1/2028 (a) | 435,000 | 451,948 | |||
Invitation Homes Operating Partnership L.P. 2.70%, 1/15/2034 | 1,840,000 | 1,804,838 | |||
Iron Mountain, Inc.: | |||||
4.88%, 9/15/2029 (a) | 185,000 | 191,621 | |||
REIT, 4.50%, 2/15/2031 (a) | 260,000 | 262,085 | |||
iStar, Inc. 4.75%, 10/1/2024 | 305,000 | 318,545 | |||
Jazz Securities DAC 4.38%, 1/15/2029 (a) | 290,000 | 300,194 | |||
Jeld-Wen, Inc. 4.63%, 12/15/2025 (a) | 610,000 | 616,521 | |||
JPMorgan Chase & Co. SOFR + 1.25%, 2.58%, 4/22/2032 (b) | 1,360,000 | 1,376,946 | |||
KAR Auction Services, Inc. 5.13%, 6/1/2025 (a) | 480,000 | 486,082 | |||
Kraft Heinz Foods Co.: | |||||
5.00%, 7/15/2035 | 310,000 | 379,437 | |||
5.20%, 7/15/2045 | 1,195,000 | 1,523,314 | |||
Kraton Polymers LLC/Kraton Polymers Capital Corp. 4.25%, 12/15/2025 (a) | 800,000 | 827,224 | |||
LBM Acquisition LLC 6.25%, 1/15/2029 (a) | 320,000 | 318,752 | |||
LD Holdings Group LLC: | |||||
6.13%, 4/1/2028 (a) | 60,000 | 56,642 | |||
6.50%, 11/1/2025 (a) | 230,000 | 226,989 |
Security Description | Principal Amount | Value | |||
Leeward Renewable Energy Operations LLC 4.25%, 7/1/2029 (a) | $ 425,000 | $ 429,552 | |||
Legacy LifePoint Health LLC 4.38%, 2/15/2027 (a) | 410,000 | 414,686 | |||
Legends Hospitality Holding Co. LLC/Legends Hospitality Co-Issuer, Inc. 5.00%, 2/1/2026 (a) | 340,000 | 342,764 | |||
Level 3 Financing, Inc.: | |||||
4.25%, 7/1/2028 (a) | 300,000 | 298,956 | |||
4.63%, 9/15/2027 (a) | 460,000 | 469,918 | |||
LFS Topco LLC 5.88%, 10/15/2026 (a) | 395,000 | 409,611 | |||
Lifepoint Health, Inc. 5.38%, 1/15/2029 (a) | 285,000 | 283,062 | |||
Ligado Networks LLC PIK, 15.50%, 11/1/2023 (a) | 350,187 | 284,558 | |||
Lions Gate Capital Holdings LLC 5.50%, 4/15/2029 (a) | 450,000 | 459,878 | |||
Live Nation Entertainment, Inc.: | |||||
5.63%, 3/15/2026 (a) | 960,000 | 991,776 | |||
6.50%, 5/15/2027 (a) | 185,000 | 202,492 | |||
LogMeIn, Inc. 5.50%, 9/1/2027 (a) | 175,000 | 176,859 | |||
LSF9 Atlantis Holdings LLC/Victra Finance Corp. 7.75%, 2/15/2026 (a) | 545,000 | 550,821 | |||
Lumen Technologies, Inc.: | |||||
4.00%, 2/15/2027 (a) | 355,000 | 360,162 | |||
5.13%, 12/15/2026 (a) | 390,000 | 405,760 | |||
M/I Homes, Inc. 4.95%, 2/1/2028 | 365,000 | 380,027 | |||
Madison IAQ LLC: | |||||
4.13%, 6/30/2028 (a) | 340,000 | 341,792 | |||
5.88%, 6/30/2029 (a) | 330,000 | 330,033 | |||
Marriott International, Inc. Series HH, 2.85%, 4/15/2031 | 1,760,000 | 1,755,811 | |||
Massachusetts Mutual Life Insurance Co. 3.38%, 4/15/2050 (a) | 1,685,000 | 1,777,422 | |||
Match Group Holdings II LLC: | |||||
4.63%, 6/1/2028 (a) | 165,000 | 171,610 | |||
5.00%, 12/15/2027 (a) | 775,000 | 808,937 | |||
McGraw-Hill Education, Inc. 5.75%, 8/1/2028 (a) | 320,000 | 316,998 |
Security Description | Principal Amount | Value | |||
Metis Merger Sub LLC 6.50%, 5/15/2029 (a) | $ 635,000 | $ 622,211 | |||
MGM Growth Properties Operating Partnership L.P./MGP Finance Co-Issuer, Inc. REIT, 5.75%, 2/1/2027 | 735,000 | 833,387 | |||
MGM Resorts International: | |||||
5.75%, 6/15/2025 | 453,000 | 488,651 | |||
6.75%, 5/1/2025 | 420,000 | 440,597 | |||
Michaels Cos., Inc.: | |||||
5.25%, 5/1/2028 (a) | 490,000 | 489,378 | |||
7.88%, 5/1/2029 (a) | 185,000 | 182,388 | |||
Midwest Gaming Borrower LLC/Midwest Gaming Finance Corp. 4.88%, 5/1/2029 (a) | 265,000 | 268,930 | |||
ModivCare Escrow Issuer, Inc. 5.00%, 10/1/2029 (a) | 190,000 | 194,026 | |||
ModivCare, Inc. 5.88%, 11/15/2025 (a) | 260,000 | 273,762 | |||
Monongahela Power Co. 5.40%, 12/15/2043 (a) | 675,000 | 873,031 | |||
Morgan Stanley SOFR + 1.36%, 2.48%, 9/16/2036 (b) | 3,670,000 | 3,532,632 | |||
Moss Creek Resources Holdings, Inc. 7.50%, 1/15/2026 (a) | 345,000 | 323,044 | |||
Mozart Debt Merger Sub, Inc. 5.25%, 10/1/2029 (a) | 455,000 | 462,084 | |||
MPH Acquisition Holdings LLC 5.75%, 11/1/2028 (a) | 254,000 | 241,452 | |||
MPLX L.P. 1.75%, 3/1/2026 | 865,000 | 859,049 | |||
Murphy Oil USA, Inc. 4.75%, 9/15/2029 | 285,000 | 300,595 | |||
Nabors Industries, Inc. 7.38%, 5/15/2027 (a) | 255,000 | 263,724 | |||
Nabors Industries, Ltd. 7.25%, 1/15/2026 (a) | 305,000 | 281,869 | |||
Nationstar Mortgage Holdings, Inc. 5.75%, 11/15/2031 (a) | 620,000 | 619,318 | |||
Navient Corp. 5.00%, 3/15/2027 | 285,000 | 290,572 | |||
NCL Corp., Ltd.: | |||||
3.63%, 12/15/2024 (a) | 585,000 | 553,673 | |||
5.88%, 3/15/2026 (a) | 395,000 | 395,628 |
Security Description | Principal Amount | Value | |||
NESCO Holdings II, Inc. 5.50%, 4/15/2029 (a) | $ 115,000 | $ 118,922 | |||
NetApp, Inc. 1.88%, 6/22/2025 | 820,000 | 828,971 | |||
Netflix, Inc.: | |||||
5.38%, 11/15/2029 (a) | 240,000 | 284,712 | |||
5.88%, 2/15/2025 | 410,000 | 460,123 | |||
NextEra Energy Capital Holdings, Inc. 1.88%, 1/15/2027 | 1,035,000 | 1,041,469 | |||
NFP Corp.: | |||||
4.88%, 8/15/2028 (a) | 280,000 | 283,856 | |||
6.88%, 8/15/2028 (a) | 360,000 | 361,415 | |||
NGL Energy Operating LLC/NGL Energy Finance Corp. 7.50%, 2/1/2026 (a) | 655,000 | 674,991 | |||
NGL Energy Partners L.P./NGL Energy Finance Corp. 7.50%, 4/15/2026 | 360,000 | 309,503 | |||
NRG Energy, Inc. 3.63%, 2/15/2031 (a) | 545,000 | 533,855 | |||
NuStar Logistics L.P. 6.00%, 6/1/2026 | 510,000 | 556,282 | |||
Oasis Petroleum, Inc. 6.38%, 6/1/2026 (a) | 545,000 | 572,588 | |||
Occidental Petroleum Corp.: | |||||
3.50%, 8/15/2029 | 685,000 | 703,139 | |||
6.13%, 1/1/2031 | 540,000 | 655,463 | |||
6.45%, 9/15/2036 | 220,000 | 280,509 | |||
6.60%, 3/15/2046 | 215,000 | 279,046 | |||
6.63%, 9/1/2030 | 650,000 | 804,615 | |||
8.00%, 7/15/2025 | 255,000 | 296,397 | |||
Olympus Water US Holding Corp. 4.25%, 10/1/2028 (a) | 600,000 | 591,546 | |||
Omnicom Group, Inc. 2.45%, 4/30/2030 | 1,770,000 | 1,771,204 | |||
OneMain Finance Corp.: | |||||
5.38%, 11/15/2029 | 250,000 | 271,843 | |||
6.63%, 1/15/2028 | 125,000 | 140,790 | |||
7.13%, 3/15/2026 | 324,000 | 370,617 | |||
Option Care Health, Inc. 4.38%, 10/31/2029 (a) | 470,000 | 471,034 | |||
Oracle Corp. 3.60%, 4/1/2050 | 1,820,000 | 1,782,362 | |||
Organon & Co./Organon Foreign Debt Co-Issuer BV 5.13%, 4/30/2031 (a) | 570,000 | 595,462 |
Security Description | Principal Amount | Value | |||
Ortho-Clinical Diagnostics, Inc./Ortho-Clinical Diagnostics SA: | |||||
7.25%, 2/1/2028 (a) | $ 351,000 | $ 377,121 | |||
7.38%, 6/1/2025 (a) | 39,000 | 41,152 | |||
Ovintiv, Inc. 7.38%, 11/1/2031 | 385,000 | 506,879 | |||
Pacific Gas & Electric Co.: | |||||
1.37%, 3/10/2023 | 905,000 | 899,642 | |||
2.50%, 2/1/2031 | 980,000 | 933,607 | |||
Par Petroleum LLC/Petroleum Finance Corp. 7.75%, 12/15/2025 (a) | 650,000 | 657,306 | |||
Park Intermediate Holdings LLC/PK Domestic Property LLC/PK Finance Co-Issuer 4.88%, 5/15/2029 (a) | 290,000 | 297,064 | |||
PBF Holding Co. LLC/PBF Finance Corp. 6.00%, 2/15/2028 | 185,000 | 119,112 | |||
Peabody Energy Corp. PIK, 8.50%, 12/31/2024 (a) | 169,761 | 163,055 | |||
PECF USS Intermediate Holding III Corp. 8.00%, 11/15/2029 (a) | 285,000 | 294,978 | |||
Penn National Gaming, Inc.: | |||||
4.13%, 7/1/2029 (a) | 310,000 | 301,766 | |||
5.63%, 1/15/2027 (a) | 620,000 | 637,906 | |||
PennyMac Financial Services, Inc.: | |||||
4.25%, 2/15/2029 (a) | 495,000 | 475,348 | |||
5.38%, 10/15/2025 (a) | 465,000 | 477,290 | |||
Penske Truck Leasing Co. L.P./PTL Finance Corp. 4.20%, 4/1/2027 (a) | 765,000 | 842,357 | |||
Performance Food Group, Inc.: | |||||
4.25%, 8/1/2029 (a) | 380,000 | 377,002 | |||
5.50%, 10/15/2027 (a) | 460,000 | 480,295 | |||
PetSmart, Inc./PetSmart Finance Corp.: | |||||
4.75%, 2/15/2028 (a) | 825,000 | 848,116 | |||
7.75%, 2/15/2029 (a) | 500,000 | 545,855 | |||
PIC AU Holdings LLC/PIC AU Holdings Corp. 10.00%, 12/31/2024 (a) | 188,000 | 193,377 | |||
Pike Corp. 5.50%, 9/1/2028 (a) | 825,000 | 827,706 | |||
Pioneer Natural Resources Co. 1.13%, 1/15/2026 | 1,055,000 | 1,026,167 | |||
Post Holdings, Inc.: | |||||
4.63%, 4/15/2030 (a) | 530,000 | 537,902 | |||
5.50%, 12/15/2029 (a) | 140,000 | 147,165 |
Security Description | Principal Amount | Value | |||
Premier Entertainment Sub LLC/Premier Entertainment Finance Corp.: | |||||
5.63%, 9/1/2029 (a) | $ 485,000 | $ 481,799 | |||
5.88%, 9/1/2031 (a) | 480,000 | 482,102 | |||
Prime Security Services Borrower LLC/Prime Finance, Inc. 6.25%, 1/15/2028 (a) | 530,000 | 553,346 | |||
Qorvo, Inc. 1.75%, 12/15/2024 (a) | 620,000 | 620,471 | |||
Quanta Services, Inc. 2.35%, 1/15/2032 | 1,830,000 | 1,780,315 | |||
Radiate Holdco LLC/Radiate Finance, Inc.: | |||||
4.50%, 9/15/2026 (a) | 300,000 | 304,041 | |||
6.50%, 9/15/2028 (a) | 115,000 | 115,554 | |||
Radiology Partners, Inc. 9.25%, 2/1/2028 (a) | 440,000 | 462,268 | |||
Rattler Midstream L.P. 5.63%, 7/15/2025 (a) | 295,000 | 306,948 | |||
Real Hero Merger Sub 2, Inc. 6.25%, 2/1/2029 (a) | 165,000 | 165,149 | |||
Realogy Group LLC/Realogy Co-Issuer Corp.: | |||||
5.75%, 1/15/2029 (a) | 295,000 | 303,092 | |||
7.63%, 6/15/2025 (a) | 285,000 | 302,864 | |||
Rent-A-Center, Inc. 6.38%, 2/15/2029 (a) | 330,000 | 344,289 | |||
Roller Bearing Co. of America, Inc. 4.38%, 10/15/2029 (a) | 205,000 | 209,424 | |||
Royalty Pharma PLC 3.30%, 9/2/2040 | 1,815,000 | 1,809,501 | |||
RP Escrow Issuer LLC 5.25%, 12/15/2025 (a) | 870,000 | 883,198 | |||
Sabine Pass Liquefaction LLC 5.00%, 3/15/2027 | 1,285,000 | 1,446,255 | |||
Sabre GLBL, Inc. 9.25%, 4/15/2025 (a) | 210,000 | 237,279 | |||
Santander Holdings USA, Inc. 3.40%, 1/18/2023 | 1,770,000 | 1,809,028 | |||
Schweitzer-Mauduit International, Inc. 6.88%, 10/1/2026 (a) | 475,000 | 496,907 | |||
Scientific Games International, Inc. 8.25%, 3/15/2026 (a) | 225,000 | 237,197 | |||
SCIH Salt Holdings, Inc. 6.63%, 5/1/2029 (a) | 145,000 | 136,396 |
Security Description | Principal Amount | Value | |||
Scotts Miracle-Gro Co. 4.50%, 10/15/2029 | $ 440,000 | $ 458,093 | |||
Scripps Escrow, Inc. 5.88%, 7/15/2027 (a) | 280,000 | 294,213 | |||
Seagate HDD Cayman 3.38%, 7/15/2031 | 405,000 | 394,243 | |||
SEG Holding LLC/SEG Finance Corp. 5.63%, 10/15/2028 (a) | 605,000 | 635,583 | |||
Select Medical Corp. 6.25%, 8/15/2026 (a) | 860,000 | 911,067 | |||
Sherwin-Williams Co. 2.90%, 3/15/2052 | 365,000 | 356,875 | |||
Silgan Holdings, Inc. 4.13%, 2/1/2028 | 570,000 | 583,879 | |||
Sirius XM Radio, Inc.: | |||||
4.13%, 7/1/2030 (a) | 510,000 | 511,367 | |||
5.50%, 7/1/2029 (a) | 340,000 | 366,768 | |||
Six Flags Entertainment Corp. 4.88%, 7/31/2024 (a) | 710,000 | 717,583 | |||
Smithfield Foods, Inc. 4.25%, 2/1/2027 (a) | 1,620,000 | 1,741,208 | |||
Sonic Automotive, Inc. 4.63%, 11/15/2029 (a) | 515,000 | 518,605 | |||
Southern Co. Series A, 3.70%, 4/30/2030 | 1,580,000 | 1,717,365 | |||
Southwestern Energy Co.: | |||||
4.75%, 2/1/2032 | 430,000 | 453,263 | |||
5.38%, 2/1/2029 | 410,000 | 434,321 | |||
Spectrum Brands, Inc. 5.00%, 10/1/2029 (a) | 370,000 | 388,988 | |||
Sprint Capital Corp. 6.88%, 11/15/2028 | 1,270,000 | 1,606,753 | |||
Sprint Corp. 7.13%, 6/15/2024 | 1,355,000 | 1,522,058 | |||
SRS Distribution, Inc.: | |||||
4.63%, 7/1/2028 (a) | 315,000 | 317,596 | |||
6.13%, 7/1/2029 (a) | 495,000 | 504,217 | |||
Staples, Inc.: | |||||
7.50%, 4/15/2026 (a) | 240,000 | 246,490 | |||
10.75%, 4/15/2027 (a) | 150,000 | 141,290 | |||
Station Casinos LLC 4.63%, 12/1/2031 (a) | 295,000 | 297,387 |
Security Description | Principal Amount | Value | |||
Suburban Propane Partners L.P./Suburban Energy Finance Corp. 5.00%, 6/1/2031 (a) | $ 595,000 | $ 603,431 | |||
SunCoke Energy, Inc. 4.88%, 6/30/2029 (a) | 510,000 | 507,822 | |||
Sunoco L.P./Sunoco Finance Corp.: | |||||
4.50%, 5/15/2029 | 150,000 | 152,469 | |||
6.00%, 4/15/2027 | 300,000 | 312,558 | |||
SWF Escrow Issuer Corp. 6.50%, 10/1/2029 (a) | 585,000 | 561,892 | |||
Sysco Corp.: | |||||
3.25%, 7/15/2027 | 885,000 | 940,525 | |||
3.30%, 2/15/2050 | 810,000 | 821,486 | |||
Targa Resources Partners L.P./Targa Resources Partners Finance Corp.: | |||||
4.88%, 2/1/2031 | 650,000 | 706,160 | |||
6.50%, 7/15/2027 | 200,000 | 214,288 | |||
Tenet Healthcare Corp.: | |||||
4.25%, 6/1/2029 (a) | 630,000 | 641,290 | |||
6.13%, 10/1/2028 (a) | 695,000 | 734,344 | |||
6.25%, 2/1/2027 (a) | 610,000 | 631,228 | |||
Tenneco, Inc. 5.13%, 4/15/2029 (a) | 380,000 | 374,562 | |||
Terrier Media Buyer, Inc. 8.88%, 12/15/2027 (a) | 155,000 | 167,586 | |||
Textron, Inc. 2.45%, 3/15/2031 | 2,910,000 | 2,878,601 | |||
Thermo Fisher Scientific, Inc. 1.22%, 10/18/2024 | 3,485,000 | 3,482,351 | |||
T-Mobile USA, Inc.: | |||||
2.25%, 2/15/2026 | 2,820,000 | 2,823,215 | |||
2.88%, 2/15/2031 | 185,000 | 182,647 | |||
3.38%, 4/15/2029 (a) | 375,000 | 382,625 | |||
TMS International Corp. 6.25%, 4/15/2029 (a) | 220,000 | 219,160 | |||
Townsquare Media, Inc. 6.88%, 2/1/2026 (a) | 150,000 | 159,671 | |||
TransDigm, Inc.: | |||||
5.50%, 11/15/2027 | 360,000 | 371,016 | |||
6.25%, 3/15/2026 (a) | 675,000 | 701,413 | |||
8.00%, 12/15/2025 (a) | 90,000 | 94,934 |
Security Description | Principal Amount | Value | |||
Transocean Poseidon, Ltd. 6.88%, 2/1/2027 (a) | $ 585,000 | $ 567,491 | |||
Transocean Proteus, Ltd. 6.25%, 12/1/2024 (a) | 250,000 | 247,473 | |||
Transocean, Inc. 11.50%, 1/30/2027 (a) | 141,000 | 138,346 | |||
Trident Merger Sub, Inc. 6.63%, 11/1/2025 (a) | 410,000 | 411,681 | |||
Triton Water Holdings, Inc. 6.25%, 4/1/2029 (a) | 690,000 | 667,078 | |||
Triumph Group, Inc.: | |||||
6.25%, 9/15/2024 (a) | 160,000 | 160,974 | |||
7.75%, 8/15/2025 | 282,000 | 280,593 | |||
Tronox, Inc. 4.63%, 3/15/2029 (a) | 100,000 | 99,750 | |||
Uber Technologies, Inc. 4.50%, 8/15/2029 (a) | 380,000 | 387,885 | |||
Unifrax Escrow Issuer Corp.: | |||||
5.25%, 9/30/2028 (a) | 590,000 | 597,340 | |||
7.50%, 9/30/2029 (a) | 50,000 | 50,758 | |||
United Airlines, Inc.: | |||||
4.38%, 4/15/2026 (a) | 145,000 | 151,293 | |||
4.63%, 4/15/2029 (a) | 490,000 | 508,208 | |||
United Natural Foods, Inc. 6.75%, 10/15/2028 (a) | 455,000 | 487,837 | |||
United Rentals North America, Inc.: | |||||
3.88%, 2/15/2031 | 65,000 | 66,010 | |||
4.00%, 7/15/2030 | 360,000 | 371,689 | |||
5.25%, 1/15/2030 | 40,000 | 43,304 | |||
Uniti Group L.P./Uniti Group Finance, Inc./CSL Capital LLC 6.50%, 2/15/2029 (a) | 325,000 | 323,765 | |||
Univision Communications, Inc. 4.50%, 5/1/2029 (a) | 325,000 | 329,111 | |||
US Foods, Inc.: | |||||
4.63%, 6/1/2030 (a) | 290,000 | 293,553 | |||
4.75%, 2/15/2029 (a) | 340,000 | 345,773 | |||
USA Compression Partners L.P./USA Compression Finance Corp. 6.88%, 9/1/2027 | 895,000 | 945,335 | |||
Valero Energy Corp. 2.85%, 4/15/2025 | 1,260,000 | 1,308,989 | |||
Venture Global Calcasieu Pass LLC 4.13%, 8/15/2031 (a) | 600,000 | 640,206 |
Security Description | Principal Amount | Value | |||
Verizon Communications, Inc. 1.75%, 1/20/2031 | $ 3,015,000 | $ 2,853,637 | |||
Verscend Escrow Corp. 9.75%, 8/15/2026 (a) | 760,000 | 803,092 | |||
ViaSat, Inc. 6.50%, 7/15/2028 (a) | 440,000 | 440,911 | |||
Viatris, Inc. 1.65%, 6/22/2025 | 540,000 | 538,418 | |||
VICI Properties L.P./VICI Note Co., Inc. REIT, 3.75%, 2/15/2027 (a) | 70,000 | 72,328 | |||
Victoria's Secret & Co. 4.63%, 7/15/2029 (a) | 640,000 | 653,075 | |||
Viking Cruises, Ltd.: | |||||
5.88%, 9/15/2027 (a) | 955,000 | 908,587 | |||
13.00%, 5/15/2025 (a) | 125,000 | 141,455 | |||
Viper Energy Partners L.P. 5.38%, 11/1/2027 (a) | 365,000 | 377,735 | |||
Vizient, Inc. 6.25%, 5/15/2027 (a) | 380,000 | 395,770 | |||
VMware, Inc. 2.20%, 8/15/2031 | 1,750,000 | 1,720,092 | |||
Vontier Corp. 1.80%, 4/1/2026 (a) | 1,735,000 | 1,705,071 | |||
Vornado Realty L.P. 2.15%, 6/1/2026 | 705,000 | 706,509 | |||
WASH Multifamily Acquisition, Inc. 5.75%, 4/15/2026 (a) | 555,000 | 583,133 | |||
Waste Pro USA, Inc. 5.50%, 2/15/2026 (a) | 375,000 | 374,959 | |||
Weatherford International, Ltd.: | |||||
6.50%, 9/15/2028 (a) | 240,000 | 254,052 | |||
8.63%, 4/30/2030 (a) | 200,000 | 206,228 | |||
11.00%, 12/1/2024 (a) | 26,000 | 26,798 | |||
Wells Fargo & Co. Series MTN, 3 Month USD LIBOR + 1.31%, 3.58%, 5/22/2028 (b) | 1,645,000 | 1,768,934 | |||
Welltower, Inc. 2.05%, 1/15/2029 | 1,755,000 | 1,731,027 | |||
Western Midstream Operating L.P. 5.30%, 2/1/2030 | 395,000 | 433,746 | |||
Wheel Pros, Inc. 6.50%, 5/15/2029 (a) | 245,000 | 236,307 | |||
Williams Cos., Inc. 3.75%, 6/15/2027 | 815,000 | 880,559 |
Security Description | Principal Amount | Value | |||
Wolverine Escrow LLC 9.00%, 11/15/2026 (a) | $ 287,000 | $ 272,311 | |||
WR Grace Holdings LLC 5.63%, 8/15/2029 (a) | 610,000 | 626,659 | |||
WRKCo, Inc. 3.75%, 3/15/2025 | 1,635,000 | 1,744,708 | |||
Wyndham Hotels & Resorts, Inc. 4.38%, 8/15/2028 (a) | 380,000 | 391,567 | |||
XHR L.P.: | |||||
4.88%, 6/1/2029 (a) | 425,000 | 433,045 | |||
6.38%, 8/15/2025 (a) | 265,000 | 281,356 | |||
Yum! Brands, Inc. 4.75%, 1/15/2030 (a) | 375,000 | 405,773 | |||
Zayo Group Holdings, Inc.: | |||||
4.00%, 3/1/2027 (a) | 455,000 | 448,453 | |||
6.13%, 3/1/2028 (a) | 215,000 | 212,160 | |||
295,896,724 | |||||
TOTAL CORPORATE BONDS & NOTES (Cost $427,207,840) | 431,812,852 | ||||
ASSET-BACKED SECURITIES — 6.3% | |||||
Aaset Trust Series 2019-2, Class A, 3.38%, 10/16/2039 (a) | 1,678,087 | 1,597,690 | |||
AccessLex Institute Series 2004-2, Class A3, 3 Month USD LIBOR + 0.19%, 0.31%, 10/25/2024 (b) | 612,850 | 607,147 | |||
ACE Securities Corp. Home Equity Loan Trust Series 2007-WM2, Class A2C, ABS, 1 Month USD LIBOR + 0.28%, 0.38%, 2/25/2037 (b) | 3,102,674 | 1,696,124 | |||
AMSR Trust: | |||||
Series 2021-SFR2, Class E1, ABS, 2.48, 8/17/2038 (a) | 3,000,000 | 2,910,566 | |||
Series 2021-SFR2, Class F1, ABS, 3.28, 8/17/2038 (a) | 3,000,000 | 2,887,311 | |||
Series 2021-SFR2, Class F2, ABS, 3.67, 8/17/2038 (a) | 2,000,000 | 1,956,310 | |||
Argent Securities Trust Series 2006-M1, Class A2B, ABS, 1 Month USD LIBOR + 0.18%, 0.28%, 7/25/2036 (b) | 18,804,311 | 7,516,921 | |||
Bain Capital Credit CLO 2016-2, Ltd. Series 2016-2A, Class DRR, ABS, 3 Month USD LIBOR + 3.85%, 3.97%, 1/15/2029 (a) (b) | 1,000,000 | 992,700 | |||
Bain Capital Credit CLO, Ltd.: | |||||
Series 2019-3A, Class DR, ABS, 3 Month USD LIBOR + 3.10%, 3.19, 10/21/2034 (a) (b) | 1,000,000 | 1,000,000 |
Security Description | Principal Amount | Value | |||
Series 2020-5A, Class D, ABS, 3 Month USD LIBOR + 3.55%, 3.68, 1/20/2032 (a) (b) | $ 2,500,000 | $ 2,500,395 | |||
Blackbird Capital Aircraft Series 2021-1A, Class B, ABS, 3.45%, 7/15/2046 (a) | 4,895,833 | 4,835,470 | |||
BNC Mortgage Loan Trust Series 2006-1, Class A1, ABS, 1 Month USD LIBOR + 0.36%, 0.46%, 10/25/2036 (b) | 19,140,807 | 15,157,322 | |||
Canyon Capital CLO, Ltd.: | |||||
Series 2017-1A, Class DR, ABS, 3 Month USD LIBOR + 3.00%, 3.12, 7/15/2030 (a) (b) | 1,000,000 | 999,991 | |||
Series 2021-1A, Class D, ABS, 3 Month USD LIBOR + 3.10%, 3.22, 4/15/2034 (a) (b) | 2,000,000 | 1,996,982 | |||
CARLYLE US CLO 2021-1, Ltd. Series 2021-1A, Class D, ABS, 3 Month USD LIBOR + 6.00%, 6.12%, 4/15/2034 (a) (b) | 1,000,000 | 968,235 | |||
CIFC Funding 2017-I, Ltd. Series 2017-1A, Class D, ABS, 3 Month USD LIBOR + 3.50%, 3.63%, 4/23/2029 (a) (b) | 1,000,000 | 991,500 | |||
CIFC Funding 2021-I, Ltd. Series 2021-1A, Class E, ABS, 3 Month USD LIBOR + 6.00%, 6.12%, 4/25/2033 (a) (b) | 500,000 | 489,783 | |||
CIFC Funding, Ltd. Series 2013-1A, Class CR, ABS, 3 Month USD LIBOR + 3.55%, 3.67%, 7/16/2030 (a) (b) | 1,000,000 | 987,500 | |||
CLNC, Ltd. Series 2019-FL1, Class A, SOFR30A + 1.36%, 1.41%, 8/20/2035 (a) (b) | 2,050,000 | 2,049,319 | |||
Dryden 33 Senior Loan Fund Series 2014-33A, Class DR3, ABS, 3 Month USD LIBOR + 3.65%, 3.77%, 4/15/2029 (a) (b) | 2,000,000 | 2,005,452 | |||
Dryden 68 CLO, Ltd. Series 2019-68A, Class DR, ABS, 3 Month USD LIBOR + 3.35%, 3.47%, 7/15/2035 (a) (b) | 1,500,000 | 1,497,734 | |||
Elmwood CLO VIII, Ltd. Series 2021-1A, Class D1, ABS, 3 Month USD LIBOR + 3.00%, 3.13%, 1/20/2034 (a) (b) | 1,500,000 | 1,498,793 | |||
Exeter Automobile Receivables Trust 2021-1: | |||||
Series 2021-1A, Class D, ABS, 1.08, 11/16/2026 | 1,000,000 | 994,055 | |||
Series 2021-1A, Class E, ABS, 2.21, 2/15/2028 (a) | 1,500,000 | 1,503,426 | |||
First Franklin Mortgage Loan Trust Series 2007-FF2, Class A1, ABS, 1 Month USD LIBOR + 0.14%, 0.24%, 3/25/2037 (b) | 10,068,739 | 6,417,582 | |||
FirstKey Homes Trust: | |||||
Series 2020-SFR2, Class D, ABS, 1.97, 10/19/2037 (a) | 2,000,000 | 1,944,741 |
Security Description | Principal Amount | Value | |||
Series 2020-SFR2, Class E, 2.67, 10/19/2037 (a) | $ 2,000,000 | $ 1,984,664 | |||
FREED ABS Trust 2021-2 Series 2021-2, Class C, ABS, 1.94%, 6/19/2028 (a) | 4,750,000 | 4,754,492 | |||
FS RIALTO Series 2021-FL2, Class A, ABS, 1 Month USD LIBOR + 1.22%, 1.33%, 4/16/2028 (a) (b) | 2,000,000 | 1,993,032 | |||
GAIA Aviation, Ltd. Series 2019-1, Class A, 3.97%, 12/15/2044 (a) (e) | 1,289,628 | 1,257,180 | |||
Galaxy XVIII CLO, Ltd. Series 2018-28A, Class D, ABS, 3 Month USD LIBOR + 3.00%, 3.12%, 7/15/2031 (a) (b) | 2,100,000 | 2,089,819 | |||
GoodLeap Sustainable Home Solutions Trust Series 2021-5CS, Class C, 3.50%, 10/20/2048 (a) | 3,500,000 | 3,416,758 | |||
Greystone CRE Notes, Ltd. Series 2021-FL3, Class B, ABS, 1 Month USD LIBOR + 1.65%, 1.76%, 7/15/2039 (a) (b) | 2,925,000 | 2,914,485 | |||
GSAA Home Equity Trust Series 2007-10, Class A2A, 6.50%, 11/25/2037 | 2,132,924 | 1,287,517 | |||
Hardee's Funding LLC Series 2018-1A, Class A23, ABS, 5.71%, 6/20/2048 (a) | 1,644,750 | 1,814,411 | |||
Hayfin Kingsland X, Ltd. Series 2019-1A, Class B1R, ABS, 3 Month USD LIBOR + 1.85%, 1.99%, 4/28/2031 (a) (b) | 2,000,000 | 1,998,990 | |||
Helios Issuer LLC Series 2021-A, Class A, ABS, 1.80%, 2/20/2048 (a) | 1,380,207 | 1,348,984 | |||
JOL Air, Ltd. Series 2019-1, Class A, 3.97%, 4/15/2044 (a) | 2,484,345 | 2,399,863 | |||
LCCM Trust Series 2021-FL3, Class A, 1 Month USD LIBOR + 1.45%, 1.55%, 11/15/2038 (a) (b) | 2,864,000 | 2,864,862 | |||
Lendingpoint Asset Securitization Trust Series 2021-A, Class C, ABS, 2.75%, 12/15/2028 (a) | 4,000,000 | 3,887,592 | |||
LoanCore 2019-CRE2 Issuer, Ltd. Series 2019-CRE2, Class AS, 1 Month USD LIBOR + 1.50%, 1.61%, 5/15/2036 (a) (b) | 3,382,000 | 3,375,818 | |||
Madison Park Funding XI, Ltd. Series 2013-11A, Class DR, ABS, 3 Month USD LIBOR + 3.25%, 3.37%, 7/23/2029 (a) (b) | 1,000,000 | 977,200 | |||
Madison Park Funding XLVIII, Ltd. Series 2021-48A, Class D, ABS, 3 Month USD LIBOR + 3.00%, 3.12%, 4/19/2033 (a) (b) | 1,000,000 | 996,763 |
Security Description | Principal Amount | Value | |||
Magnetite CLO, Ltd. Series 2021-31A, Class E, 3 Month USD LIBOR + 6.00%, 6.11%, 7/15/2034 (a) (b) | $ 500,000 | $ 495,385 | |||
Magnetite Xxix, Ltd. Series 2021-29A, Class E, ABS, 3 Month USD LIBOR + 5.75%, 5.87%, 1/15/2034 (a) (b) | 500,000 | 496,036 | |||
Mosaic Solar Loan Trust Series 2018-1A, Class C, ABS, PO, 0.00%, 6/22/2043 (a) | 454,719 | 432,186 | |||
MVW 2021-1W LLC: | |||||
Series 2021-1WA, Class C, ABS, 1.94, 1/22/2041 (a) | 1,277,105 | 1,250,732 | |||
Series 2021-1WA, Class D, ABS, 3.17, 1/22/2041 (a) | 2,128,509 | 2,103,547 | |||
Neuberger Berman Loan Advisers Clo 40, Ltd. Series 2021-40A, Class D, ABS, 3 Month USD LIBOR + 2.75%, 2.87%, 4/16/2033 (a) (b) | 1,500,000 | 1,484,606 | |||
Octagon Investment Partners 27, Ltd. Series 2016-1A, Class DR, ABS, 3 Month USD LIBOR + 2.95%, 3.07%, 7/15/2030 (a) (b) | 500,000 | 471,750 | |||
Octagon Investment Partners 30, Ltd. Series 2017-1A, Class CR, ABS, 3 Month USD LIBOR + 3.30%, 3.43%, 3/17/2030 (a) (b) | 1,000,000 | 1,007,464 | |||
Octagon Investment Partners 31 LLC Series 2017-1A, Class DR, ABS, 3 Month USD LIBOR + 3.40%, 3.53%, 7/20/2030 (a) (b) | 1,000,000 | 1,003,551 | |||
Octagon Investment Partners 40, Ltd. Series 2019-1A, Class DR, ABS, 3 Month USD LIBOR + 3.35%, 3.46%, 1/20/2035 (a) (b) | 500,000 | 484,850 | |||
Octagon Investment Partners 49, Ltd. Series 2020-5A, Class D, ABS, 3 Month USD LIBOR + 3.40%, 3.52%, 1/15/2033 (a) (b) | 2,500,000 | 2,496,223 | |||
PMT Issuer Trust - FMSR Series 2021-FT1, Class A, ABS, 1 Month USD LIBOR + 3.00%, 3.09%, 3/25/2026 (a) (b) | 1,300,000 | 1,301,928 | |||
PRET LLC Series 2021-NPL5, Class A1, 2.49%, 10/25/2051 (a) (e) | 5,029,369 | 5,008,261 | |||
Renaissance Home Equity Loan Trust Series 2006-2, Class AF4, ABS, 6.12%, 8/25/2036 (e) | 8,773,135 | 5,013,865 | |||
Sapphire Aviation Finance II, Ltd. Series 2020-1A, Class A, 3.23%, 3/15/2040 (a) | 1,232,922 | 1,197,044 | |||
Shenton Aircraft Investment I, Ltd. Series 2015-1A, Class A, ABS, 4.75%, 10/15/2042 (a) | 2,235,750 | 2,049,764 |
Security Description | Principal Amount | Value | |||
SOFI Alternative Trust 2021-A Series 2021-A, Class PT1, ABS, VRN, 1.48%, 3/15/2047 (a) (b) | $ 6,603,221 | $ 6,425,515 | |||
Sofi Alternative Trust 2021-B Series 2021-B, Class PT1, ABS, VRN, 1.76%, 2/15/2047 (a) (b) | 4,298,504 | 4,303,869 | |||
Sound Point Clo XII, Ltd. Series 2016-2A, Class DR, ABS, 3 Month USD LIBOR + 3.85%, 3.98%, 10/20/2028 (a) (b) | 1,000,000 | 984,300 | |||
Sound Point Clo XIV, Ltd. Series 2016-3A, Class DR, ABS, 3 Month USD LIBOR + 3.65%, 3.77%, 1/23/2029 (a) (b) | 1,000,000 | 1,001,665 | |||
Sound Point CLO XXIII Series 2019-2A, Class ER, 3 Month USD LIBOR + 6.47%, 6.59%, 7/15/2034 (a) (b) | 1,000,000 | 968,310 | |||
Sound Point CLO XXVIII, Ltd. Series 2020-3A, Class D, ABS, 3 Month USD LIBOR + 3.65%, 3.77%, 1/25/2032 (a) (b) | 4,000,000 | 4,014,392 | |||
Sound Point CLO, Ltd. Series 2020-1A, Class DR, 3 Month USD LIBOR + 3.35%, 3.48%, 7/20/2034 (a) (b) | 500,000 | 499,245 | |||
START Ireland Series 2019-1, Class A, 4.09%, 3/15/2044 (a) | 589,127 | 585,470 | |||
Structured Asset Securities Corp. Mortgage Loan Trust Series 2006-BC4, Class A4, 1 Month USD LIBOR + 0.34%, 0.44%, 12/25/2036 (b) | 1,050,088 | 1,030,988 | |||
Sunrun Demeter Issuer Series 2021-2A, Class A, 2.27%, 1/30/2057 (a) | 2,750,000 | 2,715,158 | |||
TIF Funding II LLC: | |||||
Series 2021-1A, Class A, ABS, 1.65, 2/20/2046 (a) | 4,644,792 | 4,501,209 | |||
Series 2021-1A, Class B, ABS, 2.54, 2/20/2046 (a) | 1,857,917 | 1,825,524 | |||
TPG Real Estate Finance Issuer, Ltd. Series 2021-FL4, Class A, ABS, 1 Month USD LIBOR + 1.20%, 1.31%, 3/15/2038 (a) (b) | 200,000 | 199,875 | |||
Trimaran Cavu, Ltd. Series 2021-3A, Class D, ABS, 3 Month USD LIBOR + 3.78%, 3.88%, 1/18/2035 (a) (b) | 1,500,000 | 1,500,000 | |||
TRTX Issuer, Ltd. Series 2019-FL3, Class AS, SOFR30A + 1.56%, 1.61%, 10/15/2034 (a) (b) | 3,527,000 | 3,523,695 | |||
Upstart Pass-Through Trust Series 2021-ST3, Class A, ABS, 2.00%, 5/20/2027 (a) | 3,888,214 | 3,868,001 | |||
Upstart Securitization Trust Series 2020-1, Class C, ABS, 4.90%, 4/22/2030 (a) | 2,000,000 | 2,039,192 |
Security Description | Principal Amount | Value | |||
US Auto Funding 2019-1 LLC Series 2019-1A, Class D, ABS, 8.06%, 11/15/2025 (a) | $ 2,750,000 | $ 2,819,881 | |||
Venture 39 CLO, Ltd. Series 2020-39A, Class D, ABS, 3 Month USD LIBOR + 4.25%, 4.37%, 4/15/2033 (a) (b) | 1,750,000 | 1,742,475 | |||
VOLT XCVI LLC Series 2021-NPL5, Class A1, CMO, 2.12%, 3/27/2051 (a) (e) | 1,850,010 | 1,841,331 | |||
Voya CLO 2017-3, Ltd. Series 2017-3A, Class CR, ABS, 3 Month USD LIBOR + 3.15%, 3.28%, 4/20/2034 (a) (b) | 1,000,000 | 998,490 | |||
TOTAL ASSET-BACKED SECURITIES (Cost $184,221,127) | 181,051,256 | ||||
FOREIGN GOVERNMENT OBLIGATIONS — 2.1% | |||||
BRAZIL — 0.1% | |||||
Brazilian Government International Bond: | |||||
3.75%, 9/12/2031 | 3,000,000 | 2,825,640 | |||
5.63%, 2/21/2047 | 1,200,000 | 1,197,156 | |||
4,022,796 | |||||
CHILE — 0.2% | |||||
Chile Government International Bond: | |||||
2.55%, 1/27/2032 | 200,000 | 199,590 | |||
3.10%, 5/7/2041 | 1,800,000 | 1,768,500 | |||
3.10%, 1/22/2061 | 1,600,000 | 1,490,144 | |||
3.50%, 1/25/2050 | 1,300,000 | 1,354,834 | |||
4,813,068 | |||||
COLOMBIA — 0.2% | |||||
Colombia Government International Bond: | |||||
3.13%, 4/15/2031 | 1,200,000 | 1,081,584 | |||
3.25%, 4/22/2032 | 1,800,000 | 1,621,296 | |||
4.13%, 5/15/2051 | 1,700,000 | 1,384,157 | |||
5.00%, 6/15/2045 | 900,000 | 812,106 | |||
4,899,143 | |||||
DOMINICAN REPUBLIC — 0.1% | |||||
Dominican Republic International Bond Series REGS, 5.88%, 1/30/2060 | 1,800,000 | 1,732,482 | |||
INDONESIA — 0.3% | |||||
Indonesia Government International Bond: | |||||
2.15%, 7/28/2031 | 1,000,000 | 994,750 |
Security Description | Principal Amount | Value | |||
3.70%, 10/30/2049 | $ 1,900,000 | $ 2,018,883 | |||
4.35%, 1/11/2048 | 1,100,000 | 1,269,092 | |||
Perusahaan Penerbit SBSN Indonesia III: | |||||
2.55%, 6/9/2031 (a) | 2,600,000 | 2,639,988 | |||
Series REGS, 3.80%, 6/23/2050 | 1,000,000 | 1,052,530 | |||
7,975,243 | |||||
MALAYSIA — 0.1% | |||||
Malaysia Wakala Sukuk Bhd Series REGS, 2.07%, 4/28/2031 | 2,200,000 | 2,199,142 | |||
Malaysia Wakala Sukuk Bhd. 3.08%, 4/28/2051 (a) | 500,000 | 514,750 | |||
2,713,892 | |||||
MEXICO — 0.3% | |||||
Mexico Government International Bond: | |||||
2.66%, 5/24/2031 | 1,200,000 | 1,171,128 | |||
3.77%, 5/24/2061 | 1,500,000 | 1,382,790 | |||
4.28%, 8/14/2041 | 2,100,000 | 2,182,173 | |||
4.35%, 1/15/2047 | 300,000 | 312,243 | |||
4.50%, 1/31/2050 | 1,100,000 | 1,169,663 | |||
4.60%, 2/10/2048 | 1,500,000 | 1,604,145 | |||
7,822,142 | |||||
PANAMA — 0.2% | |||||
Panama Government International Bond: | |||||
2.25%, 9/29/2032 | 1,200,000 | 1,142,436 | |||
3.87%, 7/23/2060 | 2,000,000 | 2,000,540 | |||
4.30%, 4/29/2053 | 1,300,000 | 1,402,856 | |||
4.50%, 4/1/2056 | 400,000 | 440,588 | |||
4,986,420 | |||||
PERU — 0.0% (c) | |||||
Peruvian Government International Bond: | |||||
2.78%, 1/23/2031 | 800,000 | 796,960 | |||
3.30%, 3/11/2041 | 600,000 | 602,628 | |||
1,399,588 | |||||
PHILIPPINES — 0.2% | |||||
Philippine Government International Bond: | |||||
1.65%, 6/10/2031 | 1,450,000 | 1,403,759 | |||
2.46%, 5/5/2030 | 800,000 | 825,728 | |||
2.65%, 12/10/2045 | 600,000 | 571,290 |
Security Description | Principal Amount | Value | |||
2.95%, 5/5/2045 | $ 600,000 | $ 594,606 | |||
3.70%, 3/1/2041 | 800,000 | 877,656 | |||
3.70%, 2/2/2042 | 1,700,000 | 1,865,410 | |||
6,138,449 | |||||
QATAR — 0.0% (c) | |||||
Qatar Government International Bond Series REGS, 3.38%, 3/14/2024 | 300,000 | 314,124 | |||
SAUDI ARABIA — 0.2% | |||||
Saudi Government International Bond: | |||||
Series REGS, 2.25%, 2/2/2033 | 2,000,000 | 1,949,520 | |||
Series REGS, 2.88%, 3/4/2023 | 400,000 | 409,418 | |||
Series REGS, 3.45%, 2/2/2061 | 3,100,000 | 3,127,714 | |||
Series REGS, 3.75%, 1/21/2055 | 200,000 | 214,412 | |||
5,701,064 | |||||
SOUTH KOREA — 0.1% | |||||
Korea Development Bank: | |||||
1.63%, 1/19/2031 | 800,000 | 784,960 | |||
2.00%, 10/25/2031 | 1,650,000 | 1,654,224 | |||
Korea Electric Power Corp. Series 144A, 1.13%, 6/15/2025 (a) | 700,000 | 692,349 | |||
Korea Hydro & Nuclear Power Co., Ltd. Series 144A, 1.25%, 4/27/2026 (a) | 200,000 | 196,486 | |||
Korea International Bond 2.75%, 1/19/2027 | 200,000 | 211,660 | |||
3,539,679 | |||||
THAILAND — 0.0% (c) | |||||
Export Import Bank of Thailand Series EMTN, 3 Month USD LIBOR + 0.90%, 1.06%, 11/20/2023 (b) | 420,000 | 422,100 | |||
UNITED ARAB EMIRATES — 0.1% | |||||
Abu Dhabi Government International Bond: | |||||
Series 144A, 3.13%, 4/16/2030 (a) | 700,000 | 758,800 | |||
Series REGS, 1.70%, 3/2/2031 | 800,000 | 777,600 | |||
Series REGS, 3.13%, 9/30/2049 | 1,150,000 | 1,173,488 |
Security Description | Principal Amount | Value | |||
Series REGS, 3.88%, 4/16/2050 | $ 500,000 | $ 582,394 | |||
3,292,282 | |||||
TOTAL FOREIGN GOVERNMENT OBLIGATIONS (Cost $59,648,716) | 59,772,472 |
Shares | |||
COMMON STOCKS — 0.0% (c) | |||
UNITED KINGDOM — 0.0% (c) | |||
Avation Capital SA (f) (g) | 4,550 | 1,787 | |
UNITED STATES — 0.0% (c) | |||
Foresight Energy (f) (g) | 572 | 10,967 | |
Tapstone Energy Holdings (f) (g) | 5,920 | — | |
10,967 | |||
TOTAL COMMON STOCKS (Cost $1,913) | 12,754 |
Principal Amount | |||
SENIOR FLOATING RATE LOANS — 3.1% | |||
ADVERTISING SERVICES — 0.0% (c) | |||
Terrier Media Buyer, Inc., Senior Secured 2021 Term Loan, 1 Month USD LIBOR + 3.50%, 3.60%, 12/17/2026 (b) | $ 455,747 | 454,208 | |
AEROSPACE & DEFENSE — 0.0% (c) | |||
Dynasty Acquisition Co., Inc.: | |||
Senior Secured 2020 CAD Term Loan B2, 3 Month USD LIBOR + 3.50%, 3.72%, 4/6/2026 (b) | 254,826 | 248,638 | |
Senior Secured 2020 Term Loan B1, 3 Month USD LIBOR + 3.50%, 3.72%, 4/6/2026 (b) | 473,975 | 462,468 | |
711,106 | |||
AIR FREIGHT & LOGISTICS — 0.0% (c) | |||
Kenan Advantage Group, Inc., Senior Secured 2021 Term Loan B1, 1 Month USD LIBOR + 3.75%, 4.50%, 3/24/2026 (b) | 382,391 | 381,886 | |
Worldwide Express Operations, LLC, Senior Secured 2021 1st Lien Term Loan, 6 Month USD LIBOR + 4.25%, 5.00%, 7/26/2028 (b) | 190,000 | 190,752 | |
572,638 |
Security Description | Principal Amount | Value | |||
AIRLINES — 0.1% | |||||
AAdvantage Loyalty IP Ltd., Senior Secured 2021 Term Loan, 3 Month USD LIBOR + 4.75%, 5.50%, 4/20/2028 (b) | $ 310,000 | $ 321,763 | |||
Air Canada, Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 3.50%, 4.25%, 8/11/2028 (b) | 195,000 | 195,104 | |||
American Airlines, Inc.: | |||||
Senior Secured 2017 1st Lien Term Loan, 1 Month USD LIBOR + 1.75%, 1.85%, 1/29/2027 (b) | 217,800 | 205,549 | |||
Senior Secured 2017 Incremental Term Loan, 3 Month USD LIBOR + 2.00%, 2.11%, 12/15/2023 (b) | 103,906 | 102,028 | |||
Mileage Plus Holdings LLC, Senior Secured 2020 Term Loan B, 3 Month USD LIBOR + 5.25%, 6.25%, 6/21/2027 (b) | 505,000 | 533,914 | |||
SkyMiles IP Ltd., Senior Secured 2020 Skymiles Term Loan B, 3 Month USD LIBOR + 3.75%, 4.75%, 10/20/2027 (b) | 215,000 | 227,900 | |||
United Airlines, Inc., Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 3.75%, 4.50%, 4/21/2028 (b) | 213,388 | 214,636 | |||
1,800,894 | |||||
AUTO COMPONENTS — 0.1% | |||||
Clarios Global LP, Senior Secured 2021 USD Term Loan B, 1 Month USD LIBOR + 3.25%, 3.35%, 4/30/2026 (b) | 528,551 | 526,503 | |||
DexKo Global, Inc.: | |||||
Senior Secured 2021 USD Delayed Draw Term Loan, 3 Month USD LIBOR + 1.86%, 1.88%, 10/4/2028 (b) | 26,462 | 26,411 | |||
Senior Secured 2021 USD Term Loan B, 3 Month USD LIBOR + 3.75%, 4.25%, 10/4/2028 (b) | 214,200 | 213,782 | |||
Truck Hero, Inc., Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 3.25%, 4.00%, 1/31/2028 (b) | 148,875 | 148,375 | |||
Wheel Pros, LLC, Senior Secured 2021 Term Loan, 1 Month USD LIBOR + 4.50%, 5.25%, 5/11/2028 (b) | 240,000 | 239,956 | |||
1,155,027 | |||||
BEVERAGES — 0.0% (c) | |||||
Triton Water Holdings, Inc., Senior Secured Term Loan, 3 Month USD LIBOR + 3.50%, 4.00%, 3/31/2028 (b) | 547,373 | 542,242 | |||
BROADCAST SERV/PROGRAM — 0.0% (c) | |||||
E.W. Scripps Company (The), Senior Secured 2019 Term Loan B2, 1 Month USD LIBOR + 2.56%, 3.31%, 5/1/2026 (b) | 454,193 | 454,230 | |||
BUILDING PRODUCTS — 0.0% (c) | |||||
Chamberlain Group, Inc., Senior Secured Term Loan B, 1 Month USD LIBOR + 3.5%, 4.00%, 11/3/2028 (b) | 205,000 | 205,065 |
Security Description | Principal Amount | Value | |||
CP Atlas Buyer, Inc., Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 3.75%, 4.25%, 11/23/2027 (b) | $ 575,875 | $ 574,147 | |||
Quikrete Holdings, Inc., Senior Secured 2021 Term Loan B1, 6/11/2028 (h) | 125,000 | 124,904 | |||
Tamko Building Products, LLC, Senior Secured Term Loan B, 2 Month USD LIBOR + 3.00%, 3.00%, 6/1/2026 (b) | 178,177 | 177,584 | |||
1,081,700 | |||||
CASINO SERVICES — 0.0% (c) | |||||
Stars Group Holdings B.V., Senior Secured 2018 USD Incremental Term Loan, 3 Month USD LIBOR + 2.25%, 2.47%, 7/21/2026 (b) | 317,853 | 317,120 | |||
CHEMICALS — 0.1% | |||||
Atotech B.V., Senior Secured 2021 USD Term Loan B, 1 Month USD LIBOR + 2.50%, 3.00%, 3/18/2028 (b) | 64,675 | 64,632 | |||
Diamond (BC) B.V., Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 3.00%, 3.50%, 9/29/2028 (b) | 455,000 | 454,181 | |||
GEON Performance Solutions, LLC, Senior Secured 2021 Term Loan, 3 Month USD LIBOR + 4.75%, 5.50%, 8/18/2028 (b) | 59,850 | 60,449 | |||
Illuminate Buyer, LLC, Senior Secured 2021 Term Loan, 1 Month USD LIBOR + 3.50%, 3.60%, 6/30/2027 (b) | 375,862 | 374,167 | |||
Ineos US Finance LLC, Senior Secured 2021 USD Term Loan B, 3 Month USD LIBOR + 2.50%, 3.00%, 11/8/2028 | 55,000 | 54,817 | |||
Kraton Polymers, LLC, Senior Secured 2021 USD Term Loan B, 11/18/2028 (h) | 155,000 | 155,291 | |||
Messer Industries GmbH, Senior Secured 2018 USD Term Loan, 3 Month USD LIBOR + 2.50%, 2.72%, 3/1/2026 (b) | 121,244 | 120,475 | |||
Olympus Water US Holding Corp., Senior Secured 2021 USD Term Loan B, 3 Month USD LIBOR + 3.75%, 4.25%, 11/9/2028 (b) | 200,000 | 199,625 | |||
Polar US Borrower, LLC, Senior Secured 2018 1st Lien Term Loan, 3 Month USD LIBOR + 3.75%, 4.75%, 10/15/2025 (b) | 277,715 | 278,236 | |||
PQ Corporation, Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 2.75%, 3.25%, 6/9/2028 (b) | 99,750 | 99,812 | |||
Starfruit Finco B.V, Senior Secured 2018 USD Term Loan B, 1 Month USD LIBOR + 3.00%, 3.10%, 10/1/2025 (b) | 452,743 | 451,753 | |||
Vantage Specialty Chemicals, Inc., Senior Secured 2017 1st Lien Term Loan, 3 Month USD LIBOR + 3.50%, 4.50%, 10/28/2024 (b) | 441,694 | 434,240 |
Security Description | Principal Amount | Value | |||
W.R. Grace & Co.-Conn., Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 3.75%, 4.25%, 9/22/2028 (b) | $ 375,000 | $ 376,125 | |||
3,123,803 | |||||
COMMERCIAL SERVICES — 0.2% | |||||
Allied Universal Holdco LLC, Senior Secured 2021 USD Incremental Term Loan B, 3 Month USD LIBOR + 3.75%, 4.25%, 5/12/2028 (b) | 575,745 | 574,596 | |||
APX Group, Inc., Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 3.50%, 4.00%, 7/10/2028 (b) | 140,000 | 139,971 | |||
EAB Global, Inc., Senior Secured 2021 Term Loan, 3 Month USD LIBOR + 3.50%, 4.00%, 8/16/2028 (b) | 415,000 | 413,272 | |||
IRI Holdings, Inc., Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 4.25%, 4.35%, 12/1/2025 (b) | 383,089 | 383,711 | |||
Mavis Tire Express Services Corp., Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 4.00%, 4.75%, 5/4/2028 (b) | 597,000 | 598,307 | |||
PECF USS Intermediate Holding III Corporation, Senior Secured Term Loan B, 12/15/2028 (h) | 480,000 | 481,116 | |||
Spin Holdco Inc., Senior Secured 2021 Term Loan, 3 Month USD LIBOR + 4.00%, 4.75%, 3/4/2028 (b) | 442,775 | 444,743 | |||
Verscend Holding Corp., Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 4.00%, 4.10%, 8/27/2025 (b) | 571,493 | 572,065 | |||
Viad Corp., Senior Secured Initial Term Loan, 3 Month USD LIBOR + 5.00%, 5.50%, 7/30/2028 (b) | 169,575 | 169,470 | |||
VT Topco, Inc., Senior Secured 2021 Incremental Term Loan, 1 Month USD LIBOR + 3.75%, 4.50%, 8/1/2025 (b) | 258,926 | 258,980 | |||
Wand NewCo 3, Inc., Senior Secured 2020 Term Loan, 3 Month USD LIBOR + 3.00%, 3.18%, 2/5/2026 (b) | 596,474 | 588,896 | |||
4,625,127 | |||||
COMMERCIAL SERVICES & SUPPLIES — 0.1% | |||||
ADMI Corp., Senior Secured 2021 Incremental Term Loan B3, 1 Month USD LIBOR + 3.50%, 4.00%, 12/23/2027 (b) | 169,575 | 169,535 | |||
Asurion LLC, Senior Secured 2021 Term Loan B9, 1 Month USD LIBOR + 3.25%, 3.35%, 7/31/2027 (b) | 442,085 | 439,930 | |||
Asurion, LLC: | |||||
Senior Secured 2021 2nd Lien Term Loan B3, 1 Month USD LIBOR + 5.25%, 5.35%, 1/31/2028 (b) | 70,000 | 70,306 | |||
Senior Secured 2021 Second Lien Term Loan B4, 1 Month USD LIBOR + 5.25%, 5.35%, 1/20/2029 (b) | 290,000 | 289,185 | |||
Covanta Holding Corporation: | |||||
Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 2.50%, 3.00%, 11/30/2028 (b) | 120,941 | 121,213 |
Security Description | Principal Amount | Value | |||
Senior Secured 2021 Term Loan C, 3 Month USD LIBOR + 2.50%, 3.00%, 11/30/2028 (b) | $ 9,059 | $ 9,080 | |||
Garda World Security Corporation, Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 4.25%, 4.36%, 10/30/2026 (b) | 625,000 | 624,938 | |||
Packaging Coordinators Midco, Inc., Senior Secured 2020 1st Lien Term Loan, 3 Month USD LIBOR + 3.75%, 4.50%, 11/30/2027 (b) | 153,838 | 154,030 | |||
Packers Holdings, LLC, Senior Secured 2021 Term Loan, 6 Month USD LIBOR + 3.25%, 4.00%, 3/9/2028 (b) | 277,923 | 276,533 | |||
Prometric Holdings, Inc., Senior Secured 1st Lien Term Loan, 1/29/2025 (h) | 475,000 | 469,953 | |||
2,624,703 | |||||
COMMUNICATIONS EQUIPMENT — 0.0% (c) | |||||
Avaya, Inc.: | |||||
Senior Secured 2020 Term Loan B, 3 Month USD LIBOR + 4.25%, 4.36%, 12/15/2027 (b) | 292,231 | 293,480 | |||
Senior Secured 2021 Term Loan B2, 3 Month USD LIBOR + 4.00%, 4.11%, 12/15/2027 (b) | 360,000 | 360,293 | |||
653,773 | |||||
COMPUTER SERVICES — 0.0% (c) | |||||
Redstone Holdco 2 LP, Senior Secured 2021 Term Loan, 3 Month USD LIBOR + 4.75%, 5.50%, 4/27/2028 (b) | 340,000 | 325,763 | |||
CONSTRUCTION & ENGINEERING — 0.1% | |||||
Aegion Corporation, Senior Secured Term Loan, 3 Month USD LIBOR + 4.75%, 5.50%, 5/17/2028 (b) | 99,750 | 100,332 | |||
Brand Energy & Infrastructure Services, Inc., Senior Secured 2017 Term Loan, 3 Month USD LIBOR + 4.25%, 5.25%, 6/21/2024 (b) | 143,896 | 141,098 | |||
Brown Group Holding, LLC, Senior Secured Term Loan B, 3 Month USD LIBOR + 2.50%, 3.00%, 6/7/2028 (b) | 51,253 | 51,221 | |||
DG Investment Intermediate Holdings 2, Inc.: | |||||
Senior Secured 2021 2nd Lien Term Loan, 1 Month USD LIBOR + 6.75%, 7.50%, 3/30/2029 (b) | 60,000 | 60,150 | |||
Senior Secured 2021 Term Loan, 1 Month USD LIBOR + 3.75%, 3.75%, 3/31/2028 (b) | 663,360 | 663,983 | |||
KKR Apple Bidco, LLC, Senior Secured 2021 Term Loan, 1 Month USD LIBOR + 3.00%, 3.50%, 9/23/2028 (b) | 190,000 | 189,657 | |||
1,206,441 |
Security Description | Principal Amount | Value | |||
CONSTRUCTION MATERIALS — 0.0% (c) | |||||
Forterra Finance, LLC, Senior Secured 2017 Term Loan B, 1 Month USD LIBOR + 3.00%, 4.00%, 10/25/2023 (b) | $ 95,383 | $ 95,461 | |||
Traverse Midstream Partners LLC, Senior Secured 2017 Term Loan, 3 Month USD LIBOR + 4.25%, 5.25%, 9/27/2024 (b) | 283,758 | 283,050 | |||
378,511 | |||||
CONSUMER FINANCE — 0.0% (c) | |||||
Amentum Government Services Holdings LLC, Senior Secured Term Loan B, 1 Month USD LIBOR + 3.50%, 3.60%, 1/29/2027 (b) | 296,292 | 292,496 | |||
CONTAINERS & PACKAGING — 0.1% | |||||
Charter NEX US, Inc., Senior Secured 2021 Term Loan, 1 Month USD LIBOR + 3.75%, 4.50%, 12/1/2027 (b) | 301,950 | 302,965 | |||
Graham Packaging Company, Inc., Senior Secured 2021 Term Loan, 1 Month USD LIBOR + 3.00%, 3.75%, 8/4/2027 (b) | 622,281 | 621,403 | |||
Klockner-Pentaplast of America, Inc., Senior Secured 2021 Term Loan B, 6 Month USD LIBOR + 4.75%, 5.25%, 2/12/2026 (b) | 337,650 | 329,631 | |||
Pretium PKG Holdings, Inc.: | |||||
Senior Secured 2021 1st Lien Term Loan, 6 Month USD LIBOR + 4.00%, 4.50%, 10/2/2028 (b) | 220,000 | 219,877 | |||
Senior Secured 2021 2nd Lien Term Loan, 6 Month USD LIBOR + 6.75%, 7.25%, 10/1/2029 (b) | 45,000 | 44,972 | |||
TricorBraun Holdings, Inc., Senior Secured 2021 Term Loan, 1 Month USD LIBOR + 3.25%, 3.75%, 3/3/2028 (b) | 398,340 | 396,015 | |||
Trident TPI Holdings, Inc.: | |||||
Senior Secured 2017 USD Term Loan B1, 3 Month USD LIBOR + 3.25%, 4.25%, 10/17/2024 (b) | 498,509 | 499,249 | |||
Senior Secured 2021 Delayed Draw Term Loan, 3 Month USD LIBOR + 4.00%, 4.20%, 9/15/2028 (b) | 3,495 | 3,498 | |||
Senior Secured 2021 Incremental Term Loan, 3 Month USD LIBOR + 4.00%, 4.50%, 9/15/2028 (b) | 61,151 | 61,199 | |||
2,478,809 | |||||
DISTRIBUTORS — 0.0% (c) | |||||
American Tire Distributors Holdings, Inc., Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 6.25%, 7.00%, 10/8/2028 (b) | 165,000 | 166,355 | |||
DIVERSIFIED CONSUMER SERVICES — 0.0% (c) | |||||
Ascend Learning, LLC: |
Security Description | Principal Amount | Value | |||
Senior Secured 2021 2nd Lien Term Loan, 3 Month USD LIBOR + 5.75%, 6.25%, 12/10/2029 (b) | $ 85,000 | $ 85,531 | |||
Senior Secured 2021 Term Loan, 12/11/2028 (h) | 545,000 | 544,888 | |||
Mister Car Wash Holdings, Inc., Senior Secured 2019 Term Loan B, 1 Month USD LIBOR + 3.00%, 3.10%, 5/14/2026 (b) | 340,890 | 339,484 | |||
969,903 | |||||
DIVERSIFIED FINANCIAL SERVICES — 0.1% | |||||
AllSpring Buyer LLC, Senior Secured Term Loan B, 2 Month USD LIBOR + 3.25%, 3.75%, 11/1/2028 (b) | 243,952 | 244,866 | |||
Astra Acquisition Corp.: | |||||
Senior Secured 2021 1st Lien Term Loan, 1 Month USD LIBOR + 5.25%, 5.75%, 10/25/2028 (b) | 660,000 | 649,552 | |||
Senior Secured 2021 2nd Lien Term Loan, 1 Month USD LIBOR + 8.86%, 9.63%, 10/22/2029 (b) | 160,000 | 158,000 | |||
Deerfield Dakota Holding, LLC, Senior Secured 2020 USD Term Loan B, 1 Month USD LIBOR + 3.75%, 4.75%, 4/9/2027 (b) | 896,529 | 898,704 | |||
DirecTV Financing, LLC, Senior Secured Term Loan, 3 Month USD LIBOR + 5.00%, 5.75%, 8/2/2027 (b) | 375,771 | 376,601 | |||
Edelman Financial Center, LLC: | |||||
Senior Secured 2018 2nd Lien Term Loan, 1 Month USD LIBOR + 6.75%, 6.85%, 7/20/2026 (b) | 295,000 | 296,690 | |||
Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 3.50%, 4.25%, 4/7/2028 (b) | 558,195 | 558,580 | |||
Eisner Advisory Group LLC, Senior Secured Term Loan, 3 Month USD LIBOR + 5.25%, 6.00%, 7/28/2028 (b) | 160,000 | 160,400 | |||
HighTower Holdings LLC, Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 4.00%, 4.75%, 4/21/2028 (b) | 335,000 | 335,245 | |||
3,678,638 | |||||
DIVERSIFIED TELECOMMUNICATION SERVICES — 0.1% | |||||
Cincinnati Bell, Inc., Senior Secured 2021 Term Loan B2, 3 Month USD LIBOR + 3.25%, 3.75%, 11/22/2028 (b) | 205,000 | 205,231 | |||
Intelsat Jackson Holdings S.A.: | |||||
Senior Secured 2017 Term Loan B3, 1 Month USD LIBOR + 4.75%, 8.00%, 11/27/2023 (b) | 1,237,174 | 1,237,428 | |||
Senior Secured 2021 DIP Term Loan, 3 Month USD LIBOR + 4.75%, 3.60%, 10/13/2022 (b) | 212,199 | 212,531 | |||
Telesat Canada, Senior Secured Term Loan B5, 2 Month USD LIBOR + 2.75%, 2.90%, 12/7/2026 (b) | 178,999 | 158,861 | |||
1,814,051 |
Security Description | Principal Amount | Value | |||
ELECTRICAL EQUIPMENT — 0.0% (c) | |||||
EXC Holdings III Corp., Senior Secured USD 2017 1st Lien Term Loan, 3 Month USD LIBOR + 3.50%, 4.50%, 12/2/2024 (b) | $ 74,611 | $ 74,984 | |||
ELECTRIC-INTEGRATED — 0.0% (c) | |||||
ExGen Renewables IV, LLC, Senior Secured 2020 Term Loan, 3 Month USD LIBOR + 2.50%, 3.50%, 12/15/2027 (b) | 210,162 | 210,506 | |||
ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS — 0.0% (c) | |||||
Ingram Micro, Inc., Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 3.50%, 4.00%, 6/30/2028 (b) | 487,550 | 488,342 | |||
Mirion Technologies, Inc., Senior Secured 2021 Term Loan, 2 Month USD LIBOR + 2.75%, 3.25%, 10/20/2028 (b) | 245,000 | 244,825 | |||
733,167 | |||||
ENERGY EQUIPMENT & SERVICES — 0.0% (c) | |||||
Carnival Corporation, Senior Secured USD Term Loan B, 3 Month USD LIBOR + 3.00%, 3.75%, 6/30/2025 (b) | 143,188 | 142,293 | |||
Granite Holdings US Acquisition Co., Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 4.00%, 4.22%, 9/30/2026 (b) | 473,447 | 474,039 | |||
WIN Waste Innovations Holdings, Inc., Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 2.75%, 3.25%, 3/24/2028 (b) | 427,850 | 427,743 | |||
1,044,075 | |||||
ENTERTAINMENT — 0.1% | |||||
Everi Holdings, Inc., Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 2.50%, 3.00%, 8/3/2028 (b) | 114,713 | 114,682 | |||
NASCAR Holdings, Inc, Senior Secured Term Loan B, 1 Month USD LIBOR + 2.50%, 2.60%, 10/19/2026 (b) | 242,508 | 242,471 | |||
Sweetwater Borrower, LLC, Senior Secured Term Loan B, 1 Month USD LIBOR + 4.75%, 5.50%, 8/7/2028 (b) | 305,000 | 305,762 | |||
UFC Holdings, LLC, Senior Secured 2021 Term Loan B, 6 Month USD LIBOR + 2.75%, 3.50%, 4/29/2026 (b) | 668,623 | 666,831 | |||
1,329,746 | |||||
FINANCIAL SERVICES — 0.0% (c) | |||||
Greystone Select Financial LLC, Senior Secured Term Loan B, 6 Month USD LIBOR + 5.00%, 5.00%, 6/16/2028 (b) | 89,446 | 90,117 |
Security Description | Principal Amount | Value | |||
FOOD & STAPLES RETAILING — 0.0% (c) | |||||
Monogram Food Solutions, LLC, Senior Secured Term Loan B, 1 Month USD LIBOR + 4.00%, 4.50%, 8/28/2028 (b) | $ 260,000 | $ 260,000 | |||
United Natural Foods, Inc., Senior Secured Term Loan B, 1 Month USD LIBOR + 3.25%, 3.35%, 10/22/2025 (b) | 219,226 | 219,561 | |||
479,561 | |||||
FOOD PRODUCTS — 0.0% (c) | |||||
CHG PPC Parent LLC, Senior Secured 2021 Term Loan, 3 Month USD LIBOR + 3.00%, 3.50%, 12/8/2028 (b) | 315,000 | 314,409 | |||
FOOD-MISC/DIVERSIFIED — 0.0% (c) | |||||
H Food Holdings LLC, Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 3.69%, 3.79%, 5/23/2025 (b) | 583,058 | 580,143 | |||
HEALTH CARE EQUIPMENT & SUPPLIES — 0.1% | |||||
Gainwell Acquisition Corp., Senior Secured Term Loan B, 3 Month USD LIBOR + 4.00%, 4.75%, 10/1/2027 (b) | 560,109 | 562,279 | |||
Zelis Healthcare Corporation, Senior Secured 2021 Term Loan, 1 Month USD LIBOR + 3.50%, 3.60%, 9/30/2026 (b) | 583,560 | 580,479 | |||
1,142,758 | |||||
HEALTH CARE PROVIDERS & SERVICES — 0.2% | |||||
Agiliti Health, Inc., Senior Secured Term Loan, 3 Month USD LIBOR + 2.75%, 2.88%, 1/4/2026 (b) | 114,705 | 114,275 | |||
Air Methods Corporation, Senior Secured 2017 Term Loan B, 3 Month USD LIBOR + 3.50%, 4.50%, 4/22/2024 (b) | 100,097 | 95,342 | |||
Aveanna Healthcare, LLC: | |||||
Senior Secured 2021 2nd Lien Term Loan, 3 Month USD LIBOR + 7.00%, 7.50%, 12/10/2029 (b) | 310,000 | 309,612 | |||
Senior Secured 2021 Delayed Draw Term Loan, 7/17/2028 (h) | 108,491 | 108,161 | |||
Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 3.75%, 4.25%, 7/17/2028 (b) | 466,509 | 465,094 | |||
CHG Healthcare Services, Inc., Senior Secured 2021 Term Loan, 3 Month USD LIBOR + 3.50%, 4.00%, 9/29/2028 (b) | 259,350 | 259,707 | |||
Endo Luxembourg Finance Company I S.a r.l., Senior Secured 2021 Term Loan, 3 Month USD LIBOR + 5.00%, 5.75%, 3/27/2028 (b) | 97,882 | 95,453 | |||
Envision Healthcare Corp., Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 3.75%, 3.85%, 10/10/2025 (b) | 401,898 | 324,659 | |||
Global Medical Response, Inc.: | |||||
Senior Secured 2017 Incremental Term Loan, 6 Month USD LIBOR + 4.25%, 5.25%, 3/14/2025 (b) | 110,000 | 109,745 |
Security Description | Principal Amount | Value | |||
Senior Secured 2020 Term Loan B, 3 Month USD LIBOR + 4.25%, 5.25%, 10/2/2025 (b) | $ 287,783 | $ 286,992 | |||
Heartland Dental, LLC, Senior Secured 2021 Incremental Term Loan, 1 Month USD LIBOR + 4.00%, 4.10%, 4/30/2025 (b) | 572,125 | 572,005 | |||
Horizon Therapeutics USA, Inc., Senior Secured 2021 Term Loan B2, 1 Month USD LIBOR + 1.75%, 2.25%, 3/15/2028 (b) | 258,700 | 258,168 | |||
ICON Luxembourg S.A.R.L.: | |||||
Senior Secured LUX Term Loan, 3 Month USD LIBOR + 2.25%, 2.75%, 7/3/2028 (b) | 177,861 | 178,145 | |||
Senior Secured US Term Loan, 3 Month USD LIBOR + 2.25%, 2.75%, 7/3/2028 (b) | 44,314 | 44,385 | |||
MED ParentCo LP, Senior Secured 1st Lien Term Loan, 1 Month USD LIBOR + 4.25%, 4.35%, 8/31/2026 (b) | 188,553 | 188,605 | |||
Ortho-Clinical Diagnostics SA, Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 3.00%, 3.00%, 6/30/2025 (b) | 149,848 | 149,940 | |||
Radnet Management, Inc., Senior Secured 2021 Term Loan, 3 Month USD LIBOR + 3.00%, 3.75%, 4/21/2028 (b) | 574,187 | 574,905 | |||
RegionalCare Hospital Partners Holdings, Inc., Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 3.75%, 3.85%, 11/16/2025 (b) | 318,096 | 318,253 | |||
Team Health Holdings, Inc., Senior Secured 1st Lien Term Loan, 1 Month USD LIBOR + 2.75%, 3.75%, 2/6/2024 (b) | 171,401 | 164,374 | |||
Upstream Rehabilition, Inc., Senior Secured 2021 Term Loan, 1 Month USD LIBOR + 4.25%, 4.35%, 11/20/2026 (b) | 164,175 | 164,611 | |||
4,782,431 | |||||
HOME FURNISHINGS — 0.0% (c) | |||||
AI Aqua Merger Sub, Inc.: | |||||
Senior Secured 2021 1st Lien Delayed Draw Term Loan, 7/31/2028 (h) | 12,444 | 12,494 | |||
Senior Secured 2021 1st Lien Term Loan B, 1 Month USD LIBOR + 4.00%, 4.50%, 7/31/2028 (b) | 127,556 | 128,068 | |||
Tecta America Corp., Senior Secured 2021 Term Loan, 1 Month USD LIBOR + 4.25%, 5.00%, 4/10/2028 (b) | 194,025 | 194,389 | |||
334,951 | |||||
HOTELS, RESTAURANTS & LEISURE — 0.1% | |||||
Alterra Mountain Co., Senior Secured 2021 Series B-2 Consenting Term Loan, 1 Month USD LIBOR + 3.50%, 4.00%, 8/17/2028 (b) | 982,065 | 982,065 | |||
ClubCorp Holdings, Inc., Senior Secured 2017 Term Loan B, 3 Month USD LIBOR + 2.75%, 2.97%, 9/18/2024 (b) | 325,137 | 313,803 |
Security Description | Principal Amount | Value | |||
Golden Nugget, Inc., Senior Secured 2017 Incremental Term Loan B, 2 Month USD LIBOR + 2.50%, 3.25%, 10/4/2023 (b) | $ 393,181 | $ 391,392 | |||
Peraton Corp., Senior Secured Term Loan B, 1 Month USD LIBOR + 3.75%, 4.50%, 2/1/2028 (b) | 511,137 | 512,231 | |||
Playa Resorts Holding B.V., Senior Secured 2017 Term Loan B, 1 Month USD LIBOR + 2.75%, 3.75%, 4/29/2024 (b) | 339,019 | 330,931 | |||
Travel Leaders Group, LLC, Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 4.00%, 4.10%, 1/25/2024 (b) | 203,943 | 187,098 | |||
Travelport Finance (Luxembourg) S.A.R.L.: | |||||
Senior Secured 2020 Super Priority Term Loan, 3 Month USD LIBOR + 1.50%, 3.50%, 2/28/2025 (b) | 275,956 | 284,424 | |||
Senior Secured 2021 Consented Term Loan, 3 Month USD LIBOR + 1.75%, 6.97%, 5/29/2026 (b) | 92,125 | 76,970 | |||
Twin River Worldwide Holdings, Inc., Senior Secured 2021 Term Loan B, 6 Month USD LIBOR + 3.25%, 3.75%, 10/2/2028 (b) | 610,000 | 611,058 | |||
3,689,972 | |||||
HOUSEHOLD DURABLES — 0.0% (c) | |||||
Springs Windows Fashions, LLC, Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 4.00%, 4.75%, 10/6/2028 (b) | 570,000 | 566,081 | |||
HOUSEHOLD PRODUCTS — 0.0% (c) | |||||
Conair Holdings, LLC, Senior Secured Term Loan B, 3 Month USD LIBOR + 3.75%, 3.75%, 5/17/2028 (b) | 184,537 | 184,850 | |||
TGP Holdings III, LLC, Senior Secured 2021 Term Loan, 3 Month USD LIBOR + 3.25%, 4.00%, 6/29/2028 (b) | 84,643 | 84,396 | |||
269,246 | |||||
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS — 0.0% (c) | |||||
Calpine Corporation, Senior Secured 2019 Term Loan B10, 1 Month USD LIBOR + 2.00%, 2.10%, 8/12/2026 (b) | 78,200 | 77,337 | |||
INSURANCE — 0.2% | |||||
Acrisure, LLC: | |||||
Senior Secured 2020 Term Loan B, 3 Month USD LIBOR + 3.50%, 3.72%, 2/15/2027 (b) | 829,089 | 821,213 | |||
Senior Secured 2021 First Lien Term Loan B, 3 Month USD LIBOR + 4.25%, 4.75%, 2/15/2027 (b) | 140,000 | 140,175 |
Security Description | Principal Amount | Value | |||
Alliant Holdings Intermediate, LLC, Senior Secured 2021 Term Loan B4, 1 Month USD LIBOR + 3.50%, 4.00%, 11/6/2027 (b) | $ 155,000 | $ 155,028 | |||
AmWINS Group, Inc., Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 2.25%, 3.00%, 2/19/2028 (b) | 313,269 | 311,344 | |||
AssuredPartners, Inc., Senior Secured 2020 Term Loan B, 1 Month USD LIBOR + 3.50%, 3.60%, 2/12/2027 (b) | 1,205,530 | 1,198,080 | |||
OneDigital Borrower LLC, Senior Secured 2021 Term Loan, 1 Month USD LIBOR + 4.25%, 4.75%, 11/16/2027 (b) | 655,000 | 654,591 | |||
Sedgwick Claims Management Services, Inc., Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 3.25%, 3.35%, 12/31/2025 (b) | 828,276 | 822,842 | |||
4,103,273 | |||||
INTERACTIVE MEDIA & SERVICES — 0.0% (c) | |||||
GTT Communications, Inc., Senior Secured 2018 USD Term Loan B, 3 Month USD LIBOR + 3.75%, 7.00%, 5/31/2025 (b) | 63,353 | 57,001 | |||
Rentpath, Inc., Senior Secured 2021 Stub Current Face Term Loan, 4/1/2028 (i) | 28,239 | 7,201 | |||
64,202 | |||||
INTERNET & CATALOG RETAIL — 0.0% (c) | |||||
PUG LLC, Senior Secured USD Term Loan, 1 Month USD LIBOR + 3.50%, 3.60%, 2/12/2027 (b) | 315,192 | 309,282 | |||
Uber Technologies, Inc., Senior Secured 2021 1st Lien Term Loan B, 1 Month USD LIBOR + 3.50%, 3.60%, 4/4/2025 (b) | 504,769 | 505,681 | |||
814,963 | |||||
INTERNET & TELECOM — 0.0% (c) | |||||
Arches Buyer, Inc., Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 3.25%, 3.75%, 12/6/2027 (b) | 393,015 | 390,905 | |||
Cablevision Lightpath LLC, Senior Secured Term Loan B, 3 Month USD LIBOR + 3.25%, 3.75%, 11/30/2027 (b) | 391,050 | 391,001 | |||
CNT Holdings I Corp., Senior Secured 2020 Term Loan, 3 Month USD LIBOR + 3.50%, 4.25%, 11/8/2027 (b) | 218,900 | 219,310 | |||
1,001,216 | |||||
IT SERVICES — 0.1% | |||||
Access CIG, LLC, Senior Secured 2018 1st Lien Term Loan, 3 Month USD LIBOR + 3.75%, 3.84%, 2/27/2025 (b) | 79,786 | 79,394 | |||
Blackhawk Network Holdings, Inc., Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 3.00%, 3.10%, 6/15/2025 (b) | 694,081 | 690,656 |
Security Description | Principal Amount | Value | |||
VS Buyer, LLC, Senior Secured Term Loan B, 1 Month USD LIBOR + 3.00%, 3.10%, 2/28/2027 (b) | $ 1,016,888 | $ 1,014,345 | |||
1,784,395 | |||||
LEISURE INDUSTRY — 0.0% (c) | |||||
Carnival Corporation, Senior Secured 2021 Incremental Term Loan B, 6 Month USD LIBOR + 3.25%, 4.00%, 10/18/2028 (b) | 430,000 | 427,134 | |||
LIFE SCIENCES TOOLS & SERVICES — 0.0% (c) | |||||
eResearchTechnology, Inc., Senior Secured 2020 1st Lien Term Loan, 1 Month USD LIBOR + 4.50%, 5.50%, 2/4/2027 (b) | 29,849 | 29,988 | |||
Parexel International Corporation, Senior Secured 2021 1st Lien Term Loan, 1 Month USD LIBOR + 3.50%, 4.00%, 11/15/2028 (b) | 385,000 | 385,531 | |||
415,519 | |||||
MACHINERY — 0.1% | |||||
Alliance Laundry Systems LLC, Senior Secured Term Loan B, 3 Month USD LIBOR + 3.50%, 4.25%, 10/8/2027 (b) | 117,514 | 117,728 | |||
American Trailer World Corp., Senior Secured Term Loan B, 1 Month USD LIBOR + 3.75%, 4.50%, 3/3/2028 (b) | 233,825 | 233,387 | |||
Columbus McKinnon Corporation, Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 2.75%, 3.25%, 5/14/2028 (b) | 34,104 | 34,189 | |||
Filtration Group Corporation, Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 3.00%, 3.10%, 3/29/2025 (b) | 392,492 | 389,733 | |||
Grinding Media Inc., Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 4.00%, 4.75%, 10/12/2028 (b) | 239,400 | 239,550 | |||
Hillman Group, Inc.: | |||||
Senior Secured 2021 Delayed Draw Term Loan, 3 Month USD LIBOR + 2.75%, 2.79%, 7/14/2028 (b) | 2,295 | 2,290 | |||
Senior Secured 2021 Term Loan B1, 1 Month USD LIBOR + 2.75%, 3.25%, 7/14/2028 (b) | 119,789 | 119,534 | |||
Madison IAQ LLC, Senior Secured Term Loan, 6 Month USD LIBOR + 3.25%, 3.75%, 6/21/2028 (b) | 363,175 | 363,326 | |||
Titan Acquisition Limited, Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 3.00%, 3.35%, 3/28/2025 (b) | 286,207 | 281,934 | |||
Waterlogic Holdings Limited, Senior Secured 2021 USD Term Loan B, 3 Month USD LIBOR + 4.75%, 4.97%, 8/4/2028 (b) | 377,558 | 378,502 | |||
2,160,173 |
Security Description | Principal Amount | Value | |||
MACHINERY-CONSTRUCTION & MINING — 0.0% (c) | |||||
Clear Channel Outdoor Holdings, Inc., Senior Secured Term Loan B, 3 Month USD LIBOR + 3.50%, 3.63%, 8/21/2026 (b) | $ 241,416 | $ 238,424 | |||
MACHINERY-FARM — 0.0% (c) | |||||
ASP Blade Holdings, Inc., Senior Secured Initial Term Loan, 1 Month USD LIBOR + 4.00%, 4.50%, 10/13/2028 (b) | 85,000 | 85,106 | |||
MEDIA — 0.1% | |||||
Diamond Sports Group, LLC, Senior Secured Term Loan, 1 Month USD LIBOR + 3.25%, 3.36%, 8/24/2026 (b) | 173,228 | 81,368 | |||
NEP/NCP Holdco, Inc., Senior Secured 2018 1st Lien Term Loan, 10/20/2025 (h) | 145,000 | 142,402 | |||
Radiate Holdco, LLC, Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 3.25%, 4.00%, 9/25/2026 (b) | 480,000 | 479,002 | |||
Sinclair Television Group, Inc., Senior Secured Term Loan B2B, 1 Month USD LIBOR + 2.50%, 2.61%, 9/30/2026 (b) | 129,070 | 126,166 | |||
Vertical US Newco, Inc., Senior Secured Term Loan B, 6 Month USD LIBOR + 3.50%, 4.00%, 7/30/2027 (b) | 573,572 | 574,688 | |||
Ziggo Financing Partnership, Senior Secured USD Term Loan I, 3 Month USD LIBOR + 2.50%, 2.61%, 4/30/2028 (b) | 190,000 | 188,219 | |||
1,591,845 | |||||
METALS & MINING — 0.0% (c) | |||||
Tiger Acquisition, LLC, Senior Secured 2021 Term Loan, 3 Month USD LIBOR + 3.25%, 3.75%, 6/1/2028 (b) | 194,512 | 193,575 | |||
U.S. Silica Company, Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 4.00%, 5.00%, 5/1/2025 (b) | 242,770 | 237,914 | |||
431,489 | |||||
MISCELLANEOUS MANUFACTUR — 0.0% (c) | |||||
Groupe Solmax, Inc., Senior Secured Term Loan, 3 Month USD LIBOR + 4.75%, 4.75%, 5/29/2028 (b) | 159,763 | 159,962 | |||
MRI/MEDICAL DIAG IMAGING — 0.0% (c) | |||||
Radiology Partners, Inc, Senior Secured 2018 1st Lien Term Loan B, 3 Month USD LIBOR + 4.25%, 4.36%, 7/9/2025 (b) | 728,810 | 719,602 | |||
OIL, GAS & CONSUMABLE FUELS — 0.1% | |||||
EG America LLC, Senior Secured 2018 USD Term Loan, 3 Month USD LIBOR + 4.00%, 4.22%, 2/7/2025 (b) | 177,579 | 177,147 | |||
EG Group Limited, Senior Secured 2021 Term Loan, 3 Month USD LIBOR + 4.25%, 4.75%, 3/31/2026 (b) | 154,230 | 155,484 |
Security Description | Principal Amount | Value | |||
Gulf Finance, LLC, Senior Secured 2021 Term Loan, 3 Month USD LIBOR + 6.75%, 6.75%, 8/25/2026 (b) | $ 175,826 | $ 164,892 | |||
Oryx Midstream Services Permian Basin LLC, Senior Secured Term Loan B, 3 Month USD LIBOR + 3.25%, 3.75%, 10/5/2028 (b) | 190,000 | 189,036 | |||
Pacific Gas & Electric Co., Senior Secured 2020 Term Loan, 3 Month USD LIBOR + 3.00%, 3.50%, 6/23/2025 (b) | 595,925 | 590,711 | |||
Waterbridge Midstream Operating LLC, Senior Secured Term Loan B, 6 Month USD LIBOR + 5.75%, 6.75%, 6/22/2026 (b) | 168,709 | 164,807 | |||
1,442,077 | |||||
PERSONAL PRODUCTS — 0.0% (c) | |||||
Kronos Acquisition Holdings, Inc., Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 3.75%, 4.25%, 12/22/2026 (b) | 445,587 | 433,683 | |||
PHARMACEUTICALS — 0.1% | |||||
Bausch Health Companies, Inc., Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 3.00%, 3.10%, 6/2/2025 (b) | 127,526 | 127,096 | |||
Jazz Financing Lux SARL, Senior Secured USD Term Loan, 1 Month USD LIBOR + 3.50%, 4.00%, 5/5/2028 (b) | 572,125 | 574,951 | |||
Organon & Co, Senior Secured USD Term Loan, 3 Month USD LIBOR + 3.00%, 3.50%, 6/2/2028 (b) | 553,522 | 554,848 | |||
Pathway Vet Alliance LLC, Senior Secured 2021 Term Loan, 1 Month USD LIBOR + 3.75%, 3.85%, 3/31/2027 (b) | 685,490 | 684,205 | |||
PetVet Care Centers, LLC, Senior Secured 2021 Term Loan B3, 1 Month USD LIBOR + 3.50%, 4.25%, 2/14/2025 (b) | 224,097 | 224,349 | |||
Southern Veterinary Partners, LLC, Senior Secured Term Loan, 3 Month USD LIBOR + 4.00%, 5.00%, 10/5/2027 (b) | 44,887 | 45,027 | |||
2,210,476 | |||||
PIPELINES — 0.1% | |||||
CQP Holdco LP, Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 3.75%, 4.25%, 6/5/2028 (b) | 572,902 | 572,304 | |||
DT Midstream, Inc., Senior Secured Term Loan B, 3 Month USD LIBOR + 2.00%, 2.50%, 6/26/2028 (b) | 169,150 | 169,692 | |||
Freeport LNG Investments, LLLP, Senior Secured Term Loan B, 3 Month USD LIBOR + 3.5%, 4.00%, 12/21/2028 (b) | 215,000 | 213,220 | |||
GIP II Blue Holding, L.P, Senior Secured Term Loan B, 3 Month USD LIBOR + 4.50%, 4.72%, 9/29/2028 (b) | 145,000 | 144,909 | |||
1,100,125 |
Security Description | Principal Amount | Value | |||
PROFESSIONAL SERVICES — 0.0% (c) | |||||
Proofpoint, Inc., Senior Secured 1st Lien Term Loan, 3 Month USD LIBOR + 3.25%, 3.75%, 8/31/2028 (b) | $ 340,000 | $ 339,125 | |||
Trans Union, LLC, Senior Secured 2021 Term Loan B6, 12/1/2028 (h) | 200,000 | 199,750 | |||
538,875 | |||||
PUBLISHING-BOOKS — 0.0% (c) | |||||
Getty Images, Inc., Senior Secured 2019 USD Term Loan B, 1 Month USD LIBOR + 4.50%, 4.63%, 2/19/2026 (b) | 238,052 | 238,697 | |||
REAL ESTATE MANAGEMENT & DEVELOPMENT — 0.0% (c) | |||||
Bright Bidco B.V., Senior Secured 2018 Term Loan B, 6 Month USD LIBOR + 3.50%, 4.50%, 6/30/2024 (b) | 354,698 | 274,874 | |||
RETAIL-BUILDING PRODUCTS — 0.0% (c) | |||||
LBM Acquisition LLC, Senior Secured Term Loan B, 1 Month USD LIBOR + 3.75%, 4.50%, 12/17/2027 (b) | 253,205 | 251,327 | |||
Park River Holdings, Inc., Senior Secured Term Loan, 3 Month USD LIBOR + 3.25%, 4.00%, 12/28/2027 (b) | 293,525 | 291,230 | |||
542,557 | |||||
RETAIL-RESTAURANTS — 0.0% (c) | |||||
IRB Holding Corp., Senior Secured 2020 Fourth Amendment Incremental Term Loan, 3 Month USD LIBOR + 3.25%, 4.25%, 12/15/2027 (b) | 277,200 | 277,589 | |||
ROAD & RAIL — 0.0% (c) | |||||
PODS, LLC, Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 3.00%, 3.75%, 3/31/2028 (b) | 602,125 | 600,827 | |||
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT — 0.0% (c) | |||||
Ultra Clean Holdings, Inc., Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 3.75%, 3.85%, 8/27/2025 (b) | 145,894 | 146,258 | |||
SOFTWARE — 0.6% | |||||
Applied Systems, Inc., Senior Secured 2017 1st Lien Term Loan, 3 Month USD LIBOR + 2.25%, 3.25%, 9/19/2024 (b) | 281,712 | 281,923 | |||
Artera Services, LLC, Senior Secured Incremental Term Loan, 3 Month USD LIBOR + 3.50%, 4.50%, 3/6/2025 (b) | 203,975 | 198,048 | |||
Athenahealth, Inc., Senior Secured 2021 Term Loan B1, 3 Month USD LIBOR + 4.25%, 4.40%, 2/11/2026 (b) | 360,069 | 360,564 |
Security Description | Principal Amount | Value | |||
Atlas Purchaser, Inc., Senior Secured 2021 Term Loan, 3 Month USD LIBOR + 5.25%, 6.00%, 5/8/2028 (b) | $ 299,250 | $ 295,509 | |||
Banff Merger Sub, Inc., Senior Secured 2021 USD Term Loan, 3 Month USD LIBOR + 3.75%, 3.97%, 10/2/2025 (b) | 303,683 | 302,165 | |||
Camelot U.S. Acquisition 1 Co., Senior Secured Term Loan B, 1 Month USD LIBOR + 3.00%, 3.10%, 10/30/2026 (b) | 575,684 | 572,446 | |||
Castle US Holding Corporation, Senior Secured USD Term Loan B, 3 Month USD LIBOR + 3.75%, 3.97%, 1/29/2027 (b) | 574,239 | 569,932 | |||
Cengage Learning, Inc., Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 4.75%, 5.75%, 6/29/2026 (b) | 530,000 | 532,125 | |||
Constant Contact Inc., Senior Secured Term Loan, 3 Month USD LIBOR + 4.00%, 4.75%, 2/10/2028 (b) | 287,107 | 287,287 | |||
Cornerstone OnDemand, Inc., Senior Secured 2021 Term Loan, 3 Month USD LIBOR + 3.75%, 4.25%, 10/16/2028 (b) | 340,000 | 339,453 | |||
Cvent, Inc., Senior Secured 1st Lien Term Loan, 1 Month USD LIBOR + 3.75%, 3.85%, 11/29/2024 (b) | 200,905 | 200,842 | |||
DCert Buyer, Inc.: | |||||
Senior Secured 2019 Term Loan B, 1 Month USD LIBOR + 4.00%, 4.10%, 10/16/2026 (b) | 94,043 | 93,984 | |||
Senior Secured 2021 2nd Lien Term Loan, 1 Month USD LIBOR + 7.00%, 7.10%, 2/19/2029 (b) | 190,000 | 190,791 | |||
Finastra USA, Inc.: | |||||
Senior Secured USD 1st Lien Term Loan, 3 Month USD LIBOR + 3.50%, 4.50%, 6/13/2024 (b) | 512,031 | 510,431 | |||
Senior Secured USD 2nd Lien Term Loan, 3 Month USD LIBOR + 7.25%, 8.25%, 6/13/2025 (b) | 105,000 | 105,012 | |||
First Advantage Holdings, LLC, Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 2.75%, 2.85%, 1/31/2027 (b) | 275,667 | 274,855 | |||
Flexera Software LLC, Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 3.75%, 4.50%, 3/3/2028 (b) | 534,143 | 535,182 | |||
Grab Holdings, Inc., Senior Secured Term Loan B, 1 Month USD LIBOR + 4.50%, 5.50%, 1/29/2026 (b) | 302,712 | 304,352 | |||
Greeneden U.S. Holdings II, LLC, Senior Secured 2020 USD Term Loan B4, 1 Month USD LIBOR + 4.00%, 4.75%, 12/1/2027 (b) | 569,449 | 572,119 | |||
Helios Software Holdings, Inc., Senior Secured 2021 USD Term Loan B, 3 Month USD LIBOR + 3.75%, 3.97%, 3/11/2028 (b) | 513,714 | 511,359 | |||
Hyland Software, Inc.: | |||||
Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 3.50%, 4.25%, 7/1/2024 (b) | 569,108 | 571,954 |
Security Description | Principal Amount | Value | |||
Senior Secured 2021 2nd Lien Term Loan, 1 Month USD LIBOR + 6.25%, 7.00%, 7/7/2025 (b) | $ 45,000 | $ 45,473 | |||
I-Logic Technologies Bidco, Ltd., Senior Secured 2021 USD Term Loan B, 3 Month USD LIBOR + 4.00%, 4.50%, 2/16/2028 (b) | 162,500 | 163,283 | |||
Informatica LLC, Senior Secured 2021 USD Term Loan B, 1 Month USD LIBOR + 2.75%, 2.88%, 10/27/2028 (b) | 330,000 | 329,381 | |||
ION Trading Finance Limited, Senior Secured 2021 USD Term Loan, 3 Month USD LIBOR + 4.75%, 4.97%, 4/3/2028 (b) | 477,600 | 479,458 | |||
Ivanti Software, Inc., Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 4.25%, 5.00%, 12/1/2027 (b) | 263,675 | 264,416 | |||
LogMeIn, Inc., Senior Secured Term Loan B, 3 Month USD LIBOR + 4.75%, 4.75%, 8/31/2027 (b) | 286,559 | 285,364 | |||
MedAssets Software Intermediate Holdings, Inc., Senior Secured 2021 Term Loan, 3 Month USD LIBOR + 4%, 4.50%, 11/17/2028 (b) | 215,000 | 215,335 | |||
Mitchell International, Inc.: | |||||
Senior Secured 2021 2nd Lien Term Loan, 3 Month USD LIBOR + 6.50%, 7.00%, 10/15/2029 (b) | 40,000 | 40,330 | |||
Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 3.75%, 4.25%, 10/15/2028 (b) | 765,000 | 761,653 | |||
PointClickCare Technologies, Inc., Senior Secured Term Loan B, 6 Month USD LIBOR + 3.00%, 3.75%, 12/29/2027 (b) | 143,913 | 143,972 | |||
Polaris Newco LLC, Senior Secured USD Term Loan B, 3 Month USD LIBOR + 4.00%, 4.50%, 6/2/2028 (b) | 573,562 | 574,248 | |||
Project Alpha Intermediate Holding, Inc., Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 4.00%, 4.10%, 4/26/2024 (b) | 569,558 | 571,161 | |||
Red Planet Borrower, LLC, Senior Secured Term Loan B, 3 Month USD LIBOR + 3.75%, 4.25%, 10/2/2028 (b) | 204,488 | 203,670 | |||
Renaissance Holding Corp., Senior Secured 2018 2nd Lien Term Loan, 1 Month USD LIBOR + 7.00%, 7.10%, 5/29/2026 (b) | 150,000 | 150,844 | |||
Sabre GLBL, Inc.: | |||||
Senior Secured 2021 Term Loan B1, 1 Month USD LIBOR + 3.50%, 4.00%, 12/17/2027 (b) | 80,549 | 79,643 | |||
Senior Secured 2021 Term Loan B2, 1 Month USD LIBOR + 3.50%, 4.00%, 12/17/2027 (b) | 128,401 | 126,956 | |||
Severin Acquisition, LLC, Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 3.00%, 3.10%, 8/1/2025 (b) | 592,498 | 590,463 | |||
SkillSoft Corporation, Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 4.75%, 5.50%, 6/30/2028 (b) | 175,000 | 176,021 |
Security Description | Principal Amount | Value | |||
Sophia, L.P., Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 3.50%, 4.00%, 10/7/2027 (b) | $ 590,537 | $ 591,054 | |||
Surf Holdings, LLC, Senior Secured USD Term Loan, 3 Month USD LIBOR + 3.50%, 3.69%, 3/5/2027 (b) | 1,027,005 | 1,020,586 | |||
Tempo Acquisition LLC, Senior Secured 2020 Extended Term Loan, 1 Month USD LIBOR + 3.25%, 3.75%, 11/2/2026 (b) | 572,766 | 574,198 | |||
Tibco Software, Inc., Senior Secured 2020 Term Loan B3, 1 Month USD LIBOR + 3.75%, 3.75%, 6/30/2026 (b) | 574,405 | 570,815 | |||
Ultimate Software Group, Inc. (The), Senior Secured 2021 2nd Lien Term Loan, 1 Month USD LIBOR + 5.25%, 5.75%, 5/3/2027 | 70,000 | 70,423 | |||
Zelis Healthcare Corporation, Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 3.50%, 3.60%, 9/30/2026 (b) | 128,333 | 127,812 | |||
15,766,892 | |||||
SPECIALTY RETAIL — 0.1% | |||||
Great Outdoors Group, LLC, Senior Secured 2021 Term Loan B1, 3 Month USD LIBOR + 3.75%, 4.50%, 3/6/2028 (b) | 460,359 | 461,461 | |||
Jo-Ann Stores, Inc., Senior Secured 2021 Term Loan B1, 3 Month USD LIBOR + 4.75%, 5.50%, 7/7/2028 (b) | 239,400 | 237,381 | |||
K-Mac Holdings Corp., Senior Secured 2021 Term Loan, 3 Month USD LIBOR + 3.50%, 4.00%, 7/21/2028 (b) | 195,000 | 194,010 | |||
Michaels Companies, Inc., Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 4.25%, 5.00%, 4/15/2028 (b) | 238,912 | 237,163 | |||
Petco Health and Wellness Company, Inc., Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 3.25%, 4.00%, 3/3/2028 (b) | 580,612 | 580,656 | |||
PetSmart, Inc., Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 3.75%, 4.50%, 2/11/2028 (b) | 299,250 | 300,092 | |||
Rent-A-Center, Inc., Senior Secured 2021 First Lien Term Loan B, 1 Month USD LIBOR + 3.25%, 3.75%, 2/17/2028 (b) | 168,725 | 168,831 | |||
Restoration Hardware, Inc., Senior Secured Term Loan B, 3 Month USD LIBOR + 2.50%, 3.00%, 10/20/2028 (b) | 239,400 | 239,221 | |||
SRS Distribution, Inc., Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 3.75%, 4.25%, 6/2/2028 (b) | 269,325 | 269,120 | |||
Staples, Inc., Senior Secured 7 Year Term Loan, 3 Month USD LIBOR + 5.00%, 5.13%, 4/16/2026 (b) | 208,929 | 202,377 | |||
Victoria's Secret & Co., Senior Secured Term Loan B, 3 Month USD LIBOR + 3.25%, 3.75%, 6/30/2028 (b) | 210,000 | 209,870 | |||
Whatabrands LLC, Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 3.25%, 3.75%, 8/3/2028 (b) | 295,000 | 294,379 | |||
3,394,561 |
Security Description | Principal Amount | Value | |||
STEEL-PRODUCERS — 0.0% (c) | |||||
Phoenix Services International, LLC, Senior Secured Term Loan, 1 Month USD LIBOR + 3.75%, 4.75%, 3/1/2025 (b) | $ 396,907 | $ 394,798 | |||
TELECOM SERVICES — 0.0% (c) | |||||
Connect Finco Sarl, Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 3.50%, 4.50%, 12/11/2026 (b) | 142,463 | 142,653 | |||
TELECOMMUNICATION EQUIP — 0.1% | |||||
Altice France S.A., Senior Secured 2018 Term Loan B13, 2 Month USD LIBOR + 4.00%, 4.12%, 8/14/2026 (b) | 751,443 | 748,813 | |||
Cyxtera DC Holdings, Inc., Senior Secured Term Loan B, 6 Month USD LIBOR + 3.00%, 4.00%, 5/1/2024 (b) | 299,219 | 296,734 | |||
Delta TopCo, Inc.: | |||||
Senior Secured 2020 2nd Lien Term Loan, 3 Month USD LIBOR + 7.25%, 8.00%, 12/1/2028 (b) | 65,000 | 65,629 | |||
Senior Secured 2020 Term Loan B, 3 Month USD LIBOR + 3.75%, 4.50%, 12/1/2027 (b) | 273,625 | 274,261 | |||
GOGO Intermediate Holdings LLC, Senior Secured Term Loan B, 3 Month USD LIBOR + 3.75%, 4.50%, 4/30/2028 (b) | 478,800 | 479,355 | |||
MLN US HoldCo LLC, Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 4.50%, 4.60%, 11/30/2025 (b) | 85,531 | 82,869 | |||
1,947,661 | |||||
THRIFTS & MORTGAGE FINANCE — 0.0% (c) | |||||
Walker & Dunlop, Inc., Senior Secured 2021 Term Loan, 3 Month USD LIBOR + 2.25%, 2.75%, 12/16/2028 (b) | 115,000 | 115,000 | |||
TRANSPORT-AIR FREIGHT — 0.0% (c) | |||||
Kestrel Bidco, Inc., Senior Secured Term Loan B, 6 Month USD LIBOR + 3.00%, 4.00%, 12/11/2026 (b) | 554,928 | 540,330 | |||
TRANSPORTATION INFRASTRUCTURE — 0.0% (c) | |||||
First Student Bidco, Inc.: | |||||
Senior Secured Term Loan B, 3 Month USD LIBOR + 3.00%, 3.50%, 7/21/2028 (b) | 299,461 | 298,588 | |||
Senior Secured Term Loan C, 3 Month USD LIBOR + 3.00%, 4.00%, 7/21/2028 (b) | 110,539 | 110,217 | |||
408,805 | |||||
TRANSPORT-SERVICES — 0.0% (c) | |||||
Echo Global Logistics, Inc., Senior Secured Term Loan, 3 Month USD LIBOR + 3.75%, 4.25%, 11/4/2028 (b) | 205,000 | 204,513 | |||
LaserShip, Inc.: |
Security Description | Principal Amount | Value | |||
Senior Secured 2021 2nd Lien Term Loan, 6 Month USD LIBOR + 7.50%, 8.25%, 5/7/2029 (b) | $ 40,000 | $ 40,350 | |||
Senior Secured 2021 Term Loan, 3 Month USD LIBOR + 4.50%, 5.25%, 5/7/2028 (b) | 139,650 | 139,978 | |||
Savage Enterprises LLC, Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 3.25%, 3.75%, 9/15/2028 (b) | 254,363 | 254,462 | |||
639,303 | |||||
WEB HOSTING/DESIGN — 0.0% (c) | |||||
Endure Digital, Inc., Senior Secured Term Loan, 3 Month USD LIBOR + 3.50%, 4.25%, 2/10/2028 (b) | 597,000 | 592,803 | |||
TOTAL SENIOR FLOATING RATE LOANS (Cost $90,825,992) | 90,893,169 | ||||
U.S. GOVERNMENT AGENCY OBLIGATIONS — 35.7% | |||||
Federal Home Loan Mortgage Corp.: | |||||
2.50%, 4/1/2033 | 1,665,286 | 1,728,690 | |||
2.50%, 9/1/2050 | 16,003,844 | 16,380,487 | |||
3.00%, 11/1/2042 | 7,425,086 | 7,827,315 | |||
3.00%, 12/1/2042 | 5,993,247 | 6,275,331 | |||
3.00%, 1/1/2045 | 864,265 | 908,951 | |||
3.00%, 2/1/2045 | 602,062 | 632,776 | |||
3.00%, 3/1/2045 | 587,283 | 617,244 | |||
3.00%, 4/1/2045 | 16,295,659 | 17,134,836 | |||
3.00%, 5/1/2045 | 2,322,225 | 2,440,696 | |||
3.00%, 8/1/2045 | 6,727,755 | 7,070,980 | |||
3.00%, 7/1/2047 | 2,344,238 | 2,454,574 | |||
3.00%, 6/1/2051 | 22,115,847 | 22,929,904 | |||
3.50%, 2/1/2045 | 1,010,090 | 1,080,784 | |||
3.50%, 4/1/2045 | 13,678,711 | 14,739,147 | |||
3.50%, 6/1/2045 | 7,162,013 | 7,739,123 | |||
3.50%, 10/1/2045 | 7,648,204 | 8,264,329 | |||
3.50%, 2/1/2046 | 4,135,879 | 4,407,761 | |||
4.00%, 4/1/2047 | 11,857,790 | 12,702,007 | |||
4.00%, 7/1/2047 | 2,917,390 | 3,125,079 | |||
4.00%, 10/1/2047 | 6,346,697 | 6,798,519 | |||
4.50%, 6/1/2044 | 1,138,104 | 1,253,931 | |||
Series 326, Class 300, CMO, 3.00%, 3/15/2044 | 13,208,305 | 13,778,574 | |||
Series 3852, Class NS, CMO, IO, REMIC, 6.00% - 1 Month USD LIBOR, 5.89%, 5/15/2041 (b) | 4,562,571 | 651,983 | |||
Series 3889, Class VZ, CMO, REMIC, 4.00%, 7/15/2041 | 3,415,606 | 3,671,490 |
Security Description | Principal Amount | Value | |||
Series 3935, Class SJ, CMO, IO, REMIC, 6.65% - 1 Month USD LIBOR, 6.54%, 5/15/2041 (b) | $ 796,041 | $ 79,407 | |||
Series 4120, Class KA, CMO, REMIC, 1.75%, 10/15/2032 | 7,664,130 | 7,774,559 | |||
Series 4165, Class ZT, CMO, REMIC, 3.00%, 2/15/2043 | 4,746,448 | 4,877,748 | |||
Series 4364, Class ZX, CMO, REMIC, 4.00%, 7/15/2044 | 32,328,550 | 35,382,463 | |||
Series 4434, Class LZ, CMO, REMIC, 3.00%, 2/15/2045 | 3,681,610 | 3,946,577 | |||
Series 4444, Class CZ, CMO, REMIC, 3.00%, 2/15/2045 | 13,499,238 | 14,414,844 | |||
Series 4447, Class A, CMO, REMIC, 3.00%, 6/15/2041 | 171,910 | 173,250 | |||
Series 4447, Class Z, CMO, REMIC, 3.00%, 3/15/2045 | 4,455,632 | 4,735,546 | |||
Series 4471, Class BA, CMO, REMIC, 3.00%, 12/15/2041 | 1,200,077 | 1,228,823 | |||
Series 4471, Class GA, CMO, REMIC, 3.00%, 2/15/2044 | 4,420,934 | 4,583,136 | |||
Series 4474, Class ZX, CMO, REMIC, 4.00%, 4/15/2045 | 13,461,349 | 14,972,411 | |||
Series 4481, Class B, CMO, REMIC, 3.00%, 12/15/2042 | 1,536,778 | 1,583,567 | |||
Series 4483, Class CA, CMO, REMIC, 3.00%, 6/15/2044 | 4,476,705 | 4,636,940 | |||
Series 4484, Class CD, CMO, REMIC, 1.75%, 7/15/2030 | 4,328,854 | 4,367,421 | |||
Series 4492, Class GZ, CMO, REMIC, 3.50%, 7/15/2045 | 9,429,391 | 9,949,736 | |||
Series 4499, Class AB, CMO, REMIC, 3.00%, 6/15/2042 | 2,668,749 | 2,731,880 | |||
Series 4504, Class CA, CMO, REMIC, 3.00%, 4/15/2044 | 4,215,106 | 4,363,434 | |||
Series 4533, Class AB, CMO, REMIC, 3.00%, 6/15/2044 | 3,748,792 | 3,891,228 | |||
Series 4543, Class HG, CMO, REMIC, 2.70%, 4/15/2044 | 6,854,946 | 7,055,382 | |||
Series 4582, Class HA, CMO, REMIC, 3.00%, 9/15/2045 | 5,257,612 | 5,471,594 | |||
Series 4702, Class ZL, CMO, 3.00%, 7/15/2047 | 14,154,391 | 15,315,650 | |||
Series 4792, Class A, CMO, REMIC, 3.00%, 5/15/2048 | 4,075,446 | 4,247,190 | |||
Series 5130, Class SD, CMO, IO, SOFR30A + 2.60%, 2.55%, 8/25/2051 (b) | 92,564,730 | 5,494,785 | |||
Federal National Mortgage Association: | |||||
1.41%, 12/1/2030 | 10,000,000 | 9,699,348 | |||
1.98%, 10/1/2033 | 19,500,000 | 19,538,361 | |||
2.00%, 2/1/2036 | 1,691,184 | 1,733,404 | |||
2.00%, 5/1/2036 | 52,236,580 | 53,792,592 | |||
2.00%, 4/1/2051 | 9,939,510 | 9,920,597 | |||
2.00%, 5/1/2051 | 28,712,566 | 28,691,012 | |||
2.08%, 10/1/2033 | 57,500,000 | 58,302,752 | |||
2.22%, 12/1/2029 | 5,400,000 | 5,596,459 | |||
2.44%, 1/1/2032 | 16,600,000 | 17,427,086 | |||
2.50%, 10/1/2040 | 21,731,126 | 22,531,020 | |||
2.50%, 9/1/2046 | 1,946,265 | 1,992,906 | |||
2.50%, 2/1/2047 | 5,517,715 | 5,677,113 | |||
2.50%, 11/1/2050 | 17,784,311 | 18,325,518 | |||
2.50%, 2/1/2051 | 12,415,165 | 12,708,489 | |||
2.50%, 4/1/2051 | 4,345,086 | 4,452,356 | |||
2.50%, 5/1/2051 | 40,902,176 | 41,894,521 |
Security Description | Principal Amount | Value | |||
12 Month USD LIBOR + 1.66%, 2.53%, 5/1/2044 (b) | $ 5,423,258 | $ 5,655,008 | |||
2.80%, 11/1/2039 | 10,034,000 | 10,787,014 | |||
3.00%, 5/1/2035 | 3,702,869 | 3,886,663 | |||
3.00%, 10/1/2041 | 10,908,199 | 11,421,894 | |||
3.00%, 3/1/2043 | 2,706,833 | 2,860,314 | |||
3.00%, 7/1/2043 | 2,791,363 | 2,904,112 | |||
3.00%, 1/1/2045 | 71,489 | 74,345 | |||
3.00%, 3/1/2045 | 771,755 | 810,791 | |||
3.00%, 4/1/2045 | 1,692,853 | 1,761,223 | |||
3.00%, 7/1/2045 | 15,223,345 | 16,086,532 | |||
3.00%, 10/1/2046 | 2,816,050 | 2,948,665 | |||
3.00%, 2/1/2047 | 10,146,106 | 10,623,912 | |||
3.00%, 11/1/2048 | 6,208,637 | 6,501,018 | |||
3.00%, 10/1/2049 | 3,996,606 | 4,196,594 | |||
3.00%, 4/1/2053 | 12,447,978 | 13,304,687 | |||
3.50%, 9/1/2034 | 1,077,349 | 1,146,606 | |||
3.50%, 12/1/2034 | 943,993 | 1,004,676 | |||
3.50%, 2/1/2035 | 616,215 | 655,828 | |||
3.50%, 1/1/2045 | 6,218,363 | 6,723,076 | |||
3.50%, 2/1/2045 | 2,094,302 | 2,239,843 | |||
3.50%, 6/1/2045 | 7,425,270 | 8,021,413 | |||
3.88%, 10/1/2030 | 11,560,000 | 13,163,912 | |||
4.50%, 3/1/2044 | 971,833 | 1,070,437 | |||
4.50%, 6/1/2044 | 379,551 | 418,061 | |||
4.50%, 7/1/2044 | 374,271 | 412,245 | |||
4.50%, 2/1/2045 | 580,019 | 638,868 | |||
2.00%, 10/1/2051 | 39,516,026 | 39,440,836 | |||
3.00%, 6/1/2051 | 18,849,570 | 19,612,303 | |||
Series 2010-109, Class N, CMO, REMIC, 3.00%, 10/25/2040 | 1,402,231 | 1,461,014 | |||
Series 2011-51, Class CI, CMO, IO, REMIC, 6.00% - 1 Month USD LIBOR, 5.90%, 6/25/2041 (b) | 2,550,701 | 367,268 | |||
Series 2012-127, Class PA, CMO, REMIC, 2.75%, 11/25/2042 | 1,808,771 | 1,882,404 | |||
Series 2012-151, Class SB, CMO, REMIC, 6.00% - 1 Month USD LIBOR, 5.85%, 1/25/2043 (b) | 40,869 | 37,316 | |||
Series 2013-114, Class HZ, CMO, REMIC, 3.00%, 11/25/2038 | 18,228,524 | 19,273,609 | |||
Series 2013-18, Class CD, CMO, REMIC, 1.50%, 10/25/2027 | 1,898,505 | 1,910,180 | |||
Series 2013-30, Class PS, CMO, REMIC, 6.00% - 1 Month USD LIBOR, 5.85%, 4/25/2043 (b) | 671,482 | 629,506 |
Security Description | Principal Amount | Value | |||
Series 2014-21, Class GZ, CMO, REMIC, 3.00%, 4/25/2044 | $ 4,465,558 | $ 4,641,237 | |||
Series 2014-39, Class ZA, CMO, REMIC, 3.00%, 7/25/2044 | 5,626,637 | 5,864,746 | |||
Series 2015-42, Class CA, CMO, REMIC, 3.00%, 3/25/2044 | 2,824,244 | 2,921,648 | |||
Series 2015-95, Class AP, CMO, REMIC, 3.00%, 8/25/2042 | 134,654 | 134,785 | |||
Series 2016-21, Class BZ, CMO, REMIC, 3.00%, 4/25/2046 | 5,145,546 | 5,513,200 | |||
Series 2016-32, Class LA, CMO, REMIC, 3.00%, 10/25/2044 | 4,989,380 | 5,154,393 | |||
Series 2016-72, Class PA, CMO, REMIC, 3.00%, 7/25/2046 | 4,617,890 | 4,790,255 | |||
Series 2016-81, Class PA, CMO, REMIC, 3.00%, 2/25/2044 | 3,493,169 | 3,565,321 | |||
Series 2016-9, Class A, CMO, REMIC, 3.00%, 9/25/2043 | 741,784 | 747,684 | |||
Series 2016-92, Class A, CMO, REMIC, 3.00%, 4/25/2042 | 6,653,757 | 6,787,027 | |||
Series 2017-87, Class BA, CMO, REMIC, 3.00%, 12/25/2042 | 5,579,693 | 5,688,471 | |||
Series 2018-M10, Class A1, 3.37%, 7/25/2028 (b) | 5,910,518 | 6,142,177 | |||
Series 2020-47, Class GL, CMO, 2.00%, 5/25/2046 | 10,000,000 | 10,127,521 | |||
Series 2021-29, Class BA, CMO, 1.25%, 5/25/2041 | 12,106,359 | 11,985,162 | |||
Series 2021-35, Class EH, CMO, 2.00%, 2/25/2037 | 20,049,205 | 20,384,360 | |||
Government National Mortgage Association: | |||||
2.50%, 3/20/2051 | 10,796,179 | 11,123,017 | |||
Series 2013-169, Class SE, CMO, IO, REMIC, 6.05% - 1 Month USD LIBOR, 5.94%, 11/16/2043 (b) | 1,010,307 | 160,943 | |||
Series 2013-34, Class PL, CMO, REMIC, 3.00%, 3/20/2042 | 2,410,638 | 2,467,953 | |||
Series 2014-43, Class PS, CMO, IO, REMIC, 6.18% - 1 Month USD LIBOR, 6.08%, 7/20/2042 (b) | 2,362,821 | 178,304 | |||
Series 2020-116, Class HS, CMO, IO, 1 Month USD LIBOR + 6.20%, 6.10%, 8/20/2050 (b) | 9,808,157 | 1,844,825 | |||
Series 2020-173, Class SY, CMO, IO, 1 Month USD LIBOR + 6.30%, 6.20%, 11/20/2050 (b) | 31,828,278 | 5,770,740 | |||
Series 2020-173, Class TI, CMO, IO, 2.00%, 11/20/2050 | 38,900,007 | 3,797,473 | |||
Series 2020-176, Class SL, CMO, IO, 1 Month USD LIBOR + 5.00%, 4.90%, 11/20/2050 (b) | 10,406,921 | 1,390,179 | |||
Series 2020-185, Class SE, CMO, IO, 1 Month USD LIBOR + 6.30%, 6.20%, 12/20/2050 (b) | 37,885,175 | 8,231,243 | |||
Series 2021-125, Class SN, CMO, IO, 1 Month USD LIBOR+ 4.20%, 4.10%, 1/20/2051 (b) | 9,982,455 | 996,663 | |||
Series 2021-143, Class IO, IO, VRN, 0.99%, 10/16/2063 (b) | 89,336,498 | 7,345,373 | |||
Series 2021-196, Class UI, IO, 3.00%, 11/20/2051 | 61,342,739 | 5,403,443 | |||
Series 2021-40, Class IO, IO, VRN, 0.84%, 2/16/2063 (b) | 78,862,515 | 5,936,385 | |||
Series 2021-60, Class IO, IO, VRN, 0.84%, 5/16/2063 (b) | 61,165,735 | 4,621,219 | |||
Series 2021-79, Class IO, 0.92%, 8/16/2063 (b) | 90,285,663 | 7,305,898 | |||
Series 2021-80, Class IO, IO, VRN, 0.91%, 12/16/2062 (b) | 91,939,136 | 7,419,946 | |||
Series 2021-85, Class IO, IO, VRN, 0.69%, 3/16/2063 (b) | 104,542,770 | 7,398,189 |
Security Description | Principal Amount | Value | |||
Series 2021-99, Class IO, IO, VRN, 0.59%, 5/16/2061 (b) | $ 42,871,289 | $ 2,771,962 | |||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS (Cost $1,029,717,267) | 1,030,719,531 | ||||
U.S. TREASURY OBLIGATIONS — 23.5% | |||||
Treasury Bonds 1.88%, 11/15/2051 | 117,000,000 | 116,652,656 | |||
Treasury Notes: | |||||
0.13%, 11/30/2022 | 86,800,000 | 86,599,953 | |||
0.38%, 11/30/2025 | 61,300,000 | 59,480,156 | |||
0.50%, 11/30/2023 | 98,800,000 | 98,433,359 | |||
0.63%, 7/31/2026 | 56,100,000 | 54,583,547 | |||
1.00%, 12/15/2024 | 20,200,000 | 20,226,828 | |||
1.25%, 11/30/2026 | 28,900,000 | 28,906,774 | |||
1.38%, 11/15/2031 | 32,800,000 | 32,436,125 | |||
1.50%, 11/30/2028 | 93,300,000 | 93,751,922 | |||
2.13%, 7/31/2024 | 16,700,000 | 17,232,313 | |||
2.25%, 11/15/2025 | 69,500,000 | 72,426,602 | |||
TOTAL U.S. TREASURY OBLIGATIONS (Cost $680,527,765) | 680,730,235 | ||||
MORTGAGE-BACKED SECURITIES — 6.7% | |||||
Alternative Loan Trust: | |||||
Series 2005-21CB, Class A3, CMO, 5.25%, 6/25/2035 | 1,997,106 | 1,789,620 | |||
Series 2005-79CB, Class A4, CMO, 5.50%, 1/25/2036 | 3,772,804 | 2,871,608 | |||
Series 2006-24CB, Class A9, CMO, 6.00%, 8/25/2036 | 2,854,747 | 2,054,855 | |||
Series 2006-43CB, Class 1A12, CMO, 5.75%, 2/25/2037 | 2,542,536 | 1,752,239 | |||
Series 2006-OA2, Class A1, CMO, 1 Month USD LIBOR + 0.42%, 0.52%, 5/20/2046 (b) | 2,041,454 | 1,767,887 | |||
Banc of America Funding Trust: | |||||
Series 2006-8T2, Class A4, CMO, 5.83%, 10/25/2036 (e) | 2,379,678 | 2,336,092 | |||
Series 2007-5, Class CA1, CMO, 6.00%, 7/25/2037 | 4,002,499 | 3,593,874 | |||
BANK Series 2017-BNK6, Class XA, IO, 0.80%, 7/15/2060 (b) | 52,608,525 | 1,762,665 | |||
BBCMS Mortgage Trust Series 2017-DELC, Class B, 1 Month USD LIBOR + 1.03%, 1.14%, 8/15/2036 (a) (b) | 925,000 | 920,358 | |||
BCAP LLC Trust Series 2010-RR4, Class 3212, CMO, 6.46%, 1/26/2037 (a) (b) | 7,026,041 | 6,731,695 | |||
BX Trust Series 2018-EXCL, Class A, 1 Month USD LIBOR + 1.09%, 1.20%, 9/15/2037 (a) (b) | 203,088 | 201,642 | |||
ChaseFlex Trust Series 2007-3, Class 1A2, CMO , IO, 1 Month USD LIBOR + 0.46%, 0.56%, 7/25/2037 (b) | 7,975,110 | 1,873,624 | |||
CHL Mortgage PassThrough Trust: | |||||
Series 2005-J2, Class 3A14, CMO, 5.50%, 8/25/2035 | 744,070 | 684,362 |
Security Description | Principal Amount | Value | |||
Series 2007-12, Class A9, CMO, 5.75%, 8/25/2037 | $ 2,429,202 | $ 1,843,143 | |||
CHL Mortgage Pass-Through Trust Series 2007-HYB1, Class 2A1, CMO, 2.87%, 3/25/2037 (b) | 1,241,316 | 1,182,313 | |||
CHT COSMO Mortgage Trust Series 2017-CSMO, Class E, 1 Month USD LIBOR + 3.00%, 3.11%, 11/15/2036 (a) (b) | 1,333,000 | 1,332,628 | |||
Citigroup Mortgage Loan Trust: | |||||
Series 2007-AR4, Class 1A1A, CMO, 3.17%, 3/25/2037 (b) | 1,660,105 | 1,509,394 | |||
Series 2007-AR5, Class 1A2A, CMO, 3.01%, 4/25/2037 (b) | 795,616 | 715,451 | |||
Series 2021-JL1, Class A, 2.75%, 2/27/2062 (a) (b) | 1,427,547 | 1,428,863 | |||
CitiMortgage Alternative Loan Trust Series 2007-A1, Class 1A7, CMO, 6.00%, 1/25/2037 | 4,302,026 | 4,227,883 | |||
COMM Mortgage Trust Series 2018-HCLV, Class A, 1 Month USD LIBOR + 1.00%, 1.11%, 9/15/2033 (a) (b) | 347,000 | 344,457 | |||
CSAIL Commercial Mortgage Trust Series 2017-CX10, Class XA, IO, 0.71%, 11/15/2050 (b) | 63,181,966 | 1,988,712 | |||
CSMC MortgageBacked Trust Series 2006-7, Class 7A7, CMO, 6.00%, 8/25/2036 | 1,437,497 | 1,496,034 | |||
CSMC Trust: | |||||
Series 2017-MOON, Class E, 3.20%, 7/10/2034 (a) (b) | 3,181,000 | 3,177,547 | |||
Series 2020-RPL2, Class A12, CMO, 3.42%, 2/25/2060 (a) (b) | 10,591,669 | 10,634,864 | |||
Series 2021-JR2, Class A1, 2.22%, 11/25/2061 (a) (b) | 13,659,170 | 13,568,099 | |||
FMC GMSR Issuer Trust: | |||||
Series 2020-GT1, Class A, CMO, VRN, 4.45%, 1/25/2026 (a) (b) | 3,000,000 | 3,005,203 | |||
Series 2021-GT2, Class A, 3.85%, 10/25/2026 (a) (b) | 2,650,000 | 2,628,074 | |||
FWD Securitization Trust Series 2019-INV1, Class A3, 3.11%, 6/25/2049 (a) (b) | 965,131 | 971,366 | |||
Great Wolf Trust Series 2019-WOLF, Class E, 1 Month USD LIBOR + 2.73%, 2.84%, 12/15/2036 (a) (b) | 100,000 | 97,045 | |||
GS Mortgage Securities Trust: | |||||
Series 2017-GS7, Class XA, IO, 1.11%, 8/10/2050 (b) | 40,134,613 | 1,864,698 | |||
Series 2018-TWR, Class A, 1 Month USD LIBOR + 0.90%, 1.01%, 7/15/2031 (a) (b) | 283,000 | 282,338 | |||
Series 2018-TWR, Class D, 1 Month USD LIBOR + 1.60%, 1.71%, 7/15/2031 (a) (b) | 650,000 | 627,076 | |||
Series 2018-TWR, Class E, 1 Month USD LIBOR + 2.10%, 2.21%, 7/15/2031 (a) (b) | 650,000 | 627,266 | |||
Series 2018-TWR, Class F, 1 Month USD LIBOR + 2.80%, 2.91%, 7/15/2031 (a) (b) | 650,000 | 618,543 | |||
Series 2018-TWR, Class G, 1 Month USD LIBOR + 3.92%, 4.03%, 7/15/2031 (a) (b) | 650,000 | 565,316 |
Security Description | Principal Amount | Value | |||
GSR Mortgage Loan Trust Series 2006-OA1, Class 1A1, CMO, 1 Month USD LIBOR + 0.44%, 0.54%, 8/25/2046 (b) | $ 14,310,295 | $ 4,187,799 | |||
IndyMac IMJA Mortgage Loan Trust Series 2007-A4, Class A1, CMO, 6.25%, 2/25/2038 | 21,270,160 | 9,674,060 | |||
Legacy Mortgage Asset Trust Series 2020-SL1, Class M, 3.25%, 1/25/2060 (a) (b) | 8,492,000 | 8,458,232 | |||
Morgan Stanley Capital I Trust Series 2016-UB12, Class XA, IO, 0.71%, 12/15/2049 (b) | 48,427,842 | 1,302,947 | |||
Morgan Stanley Resecuritization Trust Series 2014-R7, Class B2, CMO, 3.71%, 1/26/2051 (a) (b) | 13,693,694 | 14,096,511 | |||
Morgan Stanley Residential Mortgage Loan Trust Series 2020-RPL1, Class A1, CMO, VRN, 2.69%, 10/25/2060 (a) (b) | 968,988 | 962,759 | |||
NRPL Trust Series 2019-3A, Class A1, CMO, 3.00%, 7/25/2059 (a) (e) | 4,013,796 | 4,022,882 | |||
PMT Credit Risk Transfer Trust: | |||||
Series 2019-2R, Class A, 1 Month USD LIBOR + 2.75%, 2.85%, 5/27/2023 (a) (b) | 1,716,129 | 1,700,552 | |||
Series 2021-1R, Class A, 1 Month USD LIBOR + 2.90%, 3.00%, 2/27/2024 (a) (b) | 1,208,478 | 1,224,516 | |||
PRPM LLC Series 2020-6, Class A1, CMO, 2.36%, 11/25/2025 (a) (e) | 4,357,850 | 4,345,279 | |||
Seasoned Credit Risk Transfer Trust: | |||||
Series 2019-4, Class MV, 3.00%, 2/25/2059 | 16,512,817 | 17,414,070 | |||
Series 2020-2, Class MT, CMO, 2.00%, 11/25/2059 | 7,605,185 | 7,590,545 | |||
Seasoned Credit Risk Transfer Trust Series 2020-3, Class MT, CMO, 2.00%, 5/25/2060 | 12,063,642 | 12,010,842 | |||
STRU JPM 1.91%, 11/4/2051 | 10,000,000 | 10,068,750 | |||
Structured Adjustable Rate Mortgage Loan Trust Series 2006-8, Class 4A3, CMO, 3.28%, 9/25/2036 (b) | 289,123 | 289,240 | |||
Structured Asset Mortgage Investments II Trust Series 2004-AR3, Class M, CMO, 1 Month USD LIBOR + 0.68%, 0.78%, 7/19/2034 (b) | 1,439,042 | 1,429,524 | |||
UBS Commercial Mortgage Trust Series 2017-C1, Class XA, IO, 1.53%, 6/15/2050 (b) | 18,096,460 | 1,184,444 | |||
Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2007-HY1 Trust Series 2007-HY1, Class A3A, CMO, 1 Month USD LIBOR + 0.23%, 0.33%, 2/25/2037 (b) | 5,159,769 | 4,343,173 | |||
Washington Mutual Mortgage PassThrough Certificates WMALT Trust: | |||||
Series 2005-8, Class 2CB1, CMO, 5.50%, 10/25/2035 | 907,706 | 907,706 | |||
Series 2006-5, Class 3A2, CMO, 6.50%, 7/25/2036 (e) | 2,679,927 | 829,547 |
Security Description | Principal Amount | Value | |||
Series 2007-2, Class 1A3, CMO, 6.00%, 4/25/2037 | $ 4,328,718 | $ 4,131,408 | |||
Wells Fargo Mortgage Backed Securities Trust Series 2007-AR4, Class A1, CMO, 2.67%, 8/25/2037 (b) | 1,136,439 | 1,084,171 | |||
TOTAL MORTGAGE-BACKED SECURITIES (Cost $203,905,529) | 194,335,791 | ||||
COMMERCIAL MORTGAGE BACKED SECURITIES — 5.4% | |||||
ACRE Commercial Mortgage, Ltd. Series 2021-FL4, Class B, 1 Month USD LIBOR + 1.40%, 1.50%, 12/18/2037 (a) (b) | 3,000,000 | 2,989,368 | |||
BANK: | |||||
Series 2017-BNK4, Class XA, IO, 1.38%, 5/15/2050 (b) | 29,239,605 | 1,510,388 | |||
Series 2021-BN35, Class XA, IO, VRN, 1.05%, 6/15/2064 (b) | 9,235,219 | 715,901 | |||
BBCMS Mortgage Trust Series 2021-C11, Class XA, IO, VRN, 1.39%, 9/15/2054 (b) | 27,211,558 | 2,735,446 | |||
Benchmark Mortgage Trust: | |||||
Series 2018-B2, Class C, VRN, 4.20%, 2/15/2051 (b) | 2,545,000 | 2,712,826 | |||
Series 2020-B19, Class XA, IO, VRN, 1.78%, 9/15/2053 (b) | 20,029,962 | 1,993,241 | |||
Series 2021-B24, Class XA, IO, VRN, 1.15%, 3/15/2054 (b) | 3,389,460 | 267,897 | |||
BX Commercial Mortgage Trust: | |||||
Series 2021-21M, Class H, 1 Month USD LIBOR + 4.01%, 4.12%, 10/15/2036 (a) (b) | 2,873,000 | 2,845,418 | |||
Series 2021-VOLT, Class E, 1 Month USD LIBOR + 2.00%, 2.11%, 9/15/2036 (a) (b) | 1,923,000 | 1,906,182 | |||
Series 2021-VOLT, Class F, 1 Month USD LIBOR + 2.40%, 2.51%, 9/15/2036 (a) (b) | 1,923,000 | 1,904,981 | |||
Series 2021-XL2, Class E, 1 Month USD LIBOR + 1.84%, 1.96%, 10/15/2038 (a) (b) | 2,882,000 | 2,855,655 | |||
BX Trust: | |||||
Series 2017-SLCT, Class E, 1 Month USD LIBOR + 3.15%, 3.26%, 7/15/2034 (a) (b) | 1,314,100 | 1,314,804 | |||
Series 2019-OC11, Class E, 4.08%, 12/9/2041 (a) (b) | 3,830,000 | 3,822,786 | |||
CD Mortgage Trust Series 2017-CD4, Class XA, IO, 1.27%, 5/10/2050 (b) | 16,375,601 | 764,201 | |||
CFCRE Commercial Mortgage Trust: | |||||
Series 2016-C3, Class XA, IO, 0.99%, 1/10/2048 (b) | 23,185,662 | 783,553 | |||
Series 2016-C4, Class XA, IO, 1.64%, 5/10/2058 (b) | 10,880,639 | 608,143 | |||
Series 2017-C8, Class XA, IO, 1.50%, 6/15/2050 (b) | 22,969,229 | 1,442,499 | |||
Citigroup Commercial Mortgage Trust: | |||||
Series 2015-GC27, Class C, VRN, 4.42%, 2/10/2048 (b) | 2,541,000 | 2,648,630 | |||
Series 2015-GC27, Class D, 4.42%, 2/10/2048 (a) (b) | 423,700 | 407,936 | |||
Series 2015-GC31, Class C, 4.04%, 6/10/2048 (b) | 1,500,000 | 1,565,964 |
Security Description | Principal Amount | Value | |||
Series 2015-GC33, Class C, 4.57%, 9/10/2058 (b) | $ 1,500,000 | $ 1,543,845 | |||
Series 2016-GC36, Class XA, IO, 1.22%, 2/10/2049 (b) | 20,022,679 | 820,525 | |||
Series 2020-555, Class E, 3.50%, 12/10/2041 (a) (b) | 2,047,000 | 1,927,267 | |||
COMM Mortgage Trust: | |||||
Series 2013-CR12, Class XA, IO, 1.11%, 10/10/2046 (b) | 25,817,991 | 412,347 | |||
Series 2015-CR22, Class XA, IO, 0.88%, 3/10/2048 (b) | 8,645,412 | 176,259 | |||
Series 2015-CR26, Class XA, IO, 0.92%, 10/10/2048 (b) | 19,981,207 | 577,256 | |||
Series 2015-DC1, Class C, VRN, 4.31%, 2/10/2048 (b) | 644,000 | 625,320 | |||
Series 2015-DC1, Class XA, IO, 1.01%, 2/10/2048 (b) | 7,291,865 | 157,951 | |||
Series 2015-LC21, Class C, 4.33%, 7/10/2048 (b) | 968,000 | 1,018,824 | |||
Series 2016-CR28, Class C, 4.64%, 2/10/2049 (b) | 2,011,000 | 2,154,289 | |||
Series 2016-DC2, Class XA, IO, 0.96%, 2/10/2049 (b) | 15,859,513 | 484,716 | |||
Series 2017-PANW, Class D, 3.93%, 10/10/2029 (a) (b) | 1,388,000 | 1,411,203 | |||
Series 2017-PANW, Class E, 3.81%, 10/10/2029 (a) (b) | 2,316,000 | 2,301,347 | |||
CSAIL Commercial Mortgage Trust: | |||||
Series 2015-C2, Class AS, 3.85%, 6/15/2057 (b) | 900,000 | 940,850 | |||
Series 2015-C4, Class XA, IO, 0.81%, 11/15/2048 (b) | 32,365,739 | 853,649 | |||
Series 2019-C17, Class XA, IO, VRN, 1.36%, 9/15/2052 (b) | 30,151,092 | 2,373,683 | |||
CSMC 2017-TIME Series 2017-TIME, Class A, 3.65%, 11/13/2039 (a) | 2,977,000 | 3,009,285 | |||
CSMC 2020-NET Series 2020-NET, Class A, 2.26%, 8/15/2037 (a) | 2,440,000 | 2,459,370 | |||
CSMC 2021-B33: | |||||
Series 2021-B33, Class A1, 3.05%, 10/10/2043 (a) | 632,000 | 643,718 | |||
Series 2021-B33, Class A2, 3.17%, 10/10/2043 (a) | 2,250,000 | 2,316,204 | |||
CSMC Trust Series 2017-MOON, Class D, 3.20%, 7/10/2034 (a) (b) | 2,263,000 | 2,266,038 | |||
DBUBS Mortgage Trust Series 2017-BRBK, Class E, VRN, 3.53%, 10/10/2034 (a) (b) | 463,000 | 461,866 | |||
DOLP Trust: | |||||
Series 2021-NYC, Class D, VRN, 3.70%, 5/10/2041 (a) (b) | 1,000,000 | 994,647 | |||
Series 2021-NYC, Class E, VRN, 3.70%, 5/10/2041 (a) (b) | 1,000,000 | 968,115 | |||
Grace Trust Series 2020-GRCE, Class D, VRN, 2.68%, 12/10/2040 (a) (b) | 1,147,000 | 1,092,386 | |||
Great Wolf Trust Series 2019-WOLF, Class F, 1 Month USD LIBOR + 3.13%, 3.24%, 12/15/2036 (a) (b) | 100,000 | 96,647 | |||
GS Mortgage Securities Corp. II Series 2013-GC10, Class XA, IO, 1.47%, 2/10/2046 (b) | 11,504,100 | 123,243 | |||
GS Mortgage Securities Trust: | |||||
Series 2014-GC24, Class XA, IO, 0.71%, 9/10/2047 (b) | 26,213,965 | 419,519 | |||
Series 2015-GC32, Class XA, IO, 0.73%, 7/10/2048 (b) | 22,711,752 | 506,407 | |||
Series 2015-GC34, Class XA, IO, 1.22%, 10/10/2048 (b) | 15,489,358 | 584,398 |
Security Description | Principal Amount | Value | |||
Series 2015-GS1, Class XA, IO, 0.76%, 11/10/2048 (b) | $ 25,660,979 | $ 668,494 | |||
Series 2016-GS3, Class XA, IO, 1.20%, 10/10/2049 (b) | 24,129,364 | 1,135,951 | |||
Series 2019-GC38, Class XA, IO, 0.96%, 2/10/2052 (b) | 40,422,108 | 2,319,535 | |||
HPLY Trust Series 2019-HIT, Class F, 1 Month USD LIBOR + 3.15%, 3.26%, 11/15/2036 (a) (b) | 2,766,018 | 2,678,838 | |||
JP Morgan Chase Commercial Mortgage Securities Corp. Series 2017-FL10, Class D, 1 Month USD LIBOR + 1.90%, 2.01%, 6/15/2032 (a) (b) | 126,758 | 126,636 | |||
JP Morgan Chase Commercial Mortgage Securities Trust: | |||||
Series 2012-C8, Class B, 3.98%, 10/15/2045 (a) (b) | 1,775,000 | 1,793,029 | |||
Series 2014-C20, Class B, 4.40%, 7/15/2047 (b) | 3,000,000 | 3,159,053 | |||
Series 2015-JP1, Class XA, IO, 0.89%, 1/15/2049 (b) | 15,688,707 | 484,262 | |||
Series 2016-JP3, Class B, VRN, 3.40%, 8/15/2049 (b) | 2,899,000 | 2,942,931 | |||
JPMBB Commercial Mortgage Securities Trust: | |||||
Series 2014-C21, Class B, VRN, 4.34%, 8/15/2047 (b) | 1,055,000 | 1,109,466 | |||
Series 2014-C25, Class XA, IO, 0.83%, 11/15/2047 (b) | 4,900,983 | 98,255 | |||
Series 2014-C26, Class C, 4.38%, 1/15/2048 (b) | 1,500,000 | 1,551,646 | |||
Series 2015-C28, Class XA, IO, 0.96%, 10/15/2048 (b) | 8,757,841 | 204,750 | |||
Series 2015-C30, Class XA, IO, 0.50%, 7/15/2048 (b) | 25,194,410 | 385,417 | |||
Series 2015-C32, Class C, 4.65%, 11/15/2048 (b) | 1,132,000 | 919,416 | |||
Series 2015-C33, Class C, 4.61%, 12/15/2048 (b) | 1,739,000 | 1,812,064 | |||
JPMDB Commercial Mortgage Securities Trust Series 2016-C2, Class XA, IO, 1.55%, 6/15/2049 (b) | 17,580,340 | 842,599 | |||
LSTAR Commercial Mortgage Trust Series 2017-5, Class X, IO, 0.86%, 3/10/2050 (a) (b) | 39,122,212 | 1,006,920 | |||
Manhattan West 2020-1MW Mortgage Trust: | |||||
Series 2020-1MW, Class C, VRN, 2.34%, 9/10/2039 (a) (b) | 2,462,000 | 2,425,986 | |||
Series 2020-1MW, Class D, VRN, 2.34%, 9/10/2039 (a) (b) | 2,462,000 | 2,368,662 | |||
Med Trust Series 2021-MDLN, Class G, 1 Month USD LIBOR + 5.25%, 5.36%, 11/15/2038 (a) (b) | 2,864,000 | 2,842,922 | |||
Morgan Stanley Bank of America Merrill Lynch Trust: | |||||
Series 2013-C12, Class XA, IO, 0.58%, 10/15/2046 (b) | 12,187,428 | 91,370 | |||
Series 2013-C7, Class XA, IO, 1.28%, 2/15/2046 (b) | 12,158,254 | 90,379 | |||
Series 2015-C20, Class C, 4.45%, 2/15/2048 (b) | 500,000 | 517,499 | |||
Series 2015-C27, Class C, 4.50%, 12/15/2047 (b) | 1,219,000 | 1,240,932 | |||
Series 2015-C27, Class D, 3.24%, 12/15/2047 (a) (b) | 1,750,000 | 1,603,396 | |||
Series 2016-C28, Class XA, IO, 1.19%, 1/15/2049 (b) | 18,778,454 | 723,535 | |||
Series 2016-C30, Class XA, IO, 1.37%, 9/15/2049 (b) | 17,771,149 | 890,260 | |||
Series 2016-C31, Class C, 4.27%, 11/15/2049 (b) | 3,358,000 | 3,382,882 | |||
Morgan Stanley Capital I Trust: | |||||
Series 2015-UBS8, Class XA, IO, 0.87%, 12/15/2048 (b) | 24,024,005 | 683,625 | |||
Series 2019-H7, Class C, 4.13%, 7/15/2052 | 2,930,000 | 3,094,223 |
Security Description | Principal Amount | Value | |||
Series 2019-L3, Class XA, IO, 0.64%, 11/15/2052 (b) | $ 55,877,312 | $ 2,408,671 | |||
Series 2020-HR8, Class XA, IO, VRN, 1.84%, 7/15/2053 (b) | 21,426,925 | 2,749,193 | |||
Series 2020-L4, Class XA, IO, VRN, 1.08%, 2/15/2053 (b) | 33,083,260 | 2,403,885 | |||
One New York Plaza Trust Series 2020-1NYP, Class C, 1 Month USD LIBOR + 2.20%, 2.31%, 1/15/2036 (a) (b) | 1,599,000 | 1,610,465 | |||
SG Commercial Mortgage Securities Trust Series 2016-C5, Class B, 3.93%, 10/10/2048 | 450,000 | 458,690 | |||
SLG Office Trust 2021-OVA: | |||||
Series 2021-OVA, Class E, 2.85%, 7/15/2041 (a) | 1,989,000 | 1,888,879 | |||
Series 2021-OVA, Class F, 2.85%, 7/15/2041 (a) | 1,989,000 | 1,790,117 | |||
SREIT Trust Series 2021-MFP, Class D, 1 Month USD LIBOR + 1.58%, 1.68%, 11/15/2038 (a) (b) | 2,864,000 | 2,861,261 | |||
UBS Commercial Mortgage Trust Series 2017-C4, Class XA, IO, 1.02%, 10/15/2050 (b) | 23,021,983 | 1,070,231 | |||
Velocity Commercial Capital Loan Trust Series 2020-1, Class M3, VRN, 3.19%, 2/25/2050 (a) (b) | 3,034,778 | 2,998,633 | |||
Waterfall Commercial Mortgage Trust Series 2015-SBC5, Class A, 4.10%, 9/14/2022 (a) (b) | 2,143,082 | 2,170,241 | |||
Wells Fargo Commercial Mortgage Trust: | |||||
Series 2015-C26, Class XA, IO, 1.20%, 2/15/2048 (b) | 7,357,454 | 226,492 | |||
Series 2015-C28, Class C, 4.09%, 5/15/2048 (b) | 1,500,000 | 1,551,686 | |||
Series 2015-LC20, Class XA, IO, 1.30%, 4/15/2050 (b) | 6,656,424 | 196,890 | |||
Series 2015-NXS1, Class XA, IO, 1.09%, 5/15/2048 (b) | 7,241,657 | 197,999 | |||
Series 2015-NXS2, Class XA, IO, 0.65%, 7/15/2058 (b) | 22,661,180 | 444,812 | |||
Series 2015-P2, Class XA, IO, 0.96%, 12/15/2048 (b) | 16,506,614 | 540,981 | |||
Series 2016-BNK1, Class XB, IO, VRN, 1.33%, 8/15/2049 (b) | 19,849,000 | 1,123,872 | |||
Series 2016-C33, Class XA, IO, 1.61%, 3/15/2059 (b) | 11,443,628 | 646,130 | |||
Series 2016-C35, Class B, 3.44%, 7/15/2048 | 3,000,000 | 3,088,859 | |||
Series 2016-LC24, Class C, VRN, 4.43%, 10/15/2049 (b) | 1,900,000 | 1,983,140 | |||
Series 2017-C38, Class XA, IO, 1.02%, 7/15/2050 (b) | 36,947,332 | 1,571,991 | |||
Series 2017-RC1, Class XA, IO, 1.46%, 1/15/2060 (b) | 20,588,204 | 1,189,735 | |||
Series 2019-C50, Class XA, IO, 1.41%, 5/15/2052 (b) | 29,524,959 | 2,230,488 | |||
Series 2020-C57, Class XA, IO, VRN, 2.09%, 8/15/2053 (b) | 16,164,835 | 2,267,597 | |||
Series 2020-C58, Class XA, IO, VRN, 1.88%, 7/15/2053 (b) | 20,079,950 | 2,591,455 | |||
WFRBS Commercial Mortgage Trust: | |||||
Series 2014-C19, Class XA, IO, 1.01%, 3/15/2047 (b) | 8,354,281 | 126,916 | |||
Series 2014-C21, Class XA, IO, 1.02%, 8/15/2047 (b) | 13,987,418 | 289,399 | |||
TOTAL COMMERCIAL MORTGAGE BACKED SECURITIES (Cost $193,333,062) | 155,390,634 |
Security Description | Shares | Value | |||
SHORT-TERM INVESTMENT — 2.2% | |||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 0.03% (j) (k) (Cost $64,167,817) | 64,167,818 | $ 64,167,818 | |||
TOTAL INVESTMENTS — 99.9% (Cost $2,933,557,028) | 2,888,886,512 | ||||
OTHER ASSETS IN EXCESS OF LIABILITIES — 0.1% | 1,714,862 | ||||
NET ASSETS — 100.0% | $ 2,890,601,374 |
(a) | Securities purchased pursuant to Rule 144A of the Securities Act of 1933, as amended. These securities, which represent 16.5% of net assets as of December 31, 2021, 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, 2021. 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, 2021. Maturity date shown is the final maturity. |
(f) | Fair valued as determined in good faith by the Trust's Oversight Committee in accordance with policy and procedures approved by the Board of Trustees. Security value is determined based on Level 3 inputs. As of December 31, 2021, total aggregate fair value of the security is $12,754, representing less than 0.05% of the Fund's net assets. |
(g) | Non-income producing security. |
(h) | Position is unsettled. Contract rate was not determined at December 31, 2021 and does not take effect until settlement date. Maturity date is not finalized until settlement date. |
(i) | Unfunded loan commitments are valued at unrealized appreciation (depreciation). |
(j) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2021 are shown in the Affiliate Table below. |
(k) | The rate shown is the annualized seven-day yield at December 31, 2021. |
ABS | Asset-Backed Security |
CLO | Collateralized Loan Obligation |
CMO | Collateralized Mortgage Obligation |
CMT | Constant Maturity Treasury |
EMTN | Euro Medium Term Note |
GMTN | Global Medium Term Note |
IO | Interest Only |
LIBOR | London Interbank Offered Rate |
LP | Limited Partnership |
MTN | Medium Term Note |
PIK | Payment in Kind |
PO | Principal Only |
REIT | Real Estate Investment Trust |
REMIC | Real Estate Mortgage Investment Conduit |
SOFR | Secured Overnight Financing Rate |
VRN | Variable Rate Note |
USD | United States Dollar |
Borrower | Unfunded Loan Commitment ($) | Value ($) | Unrealized Appreciation/(Depreciation) ($) | |||
TGP Holdings III, LLC | 11,160 | 11,128 | (32) | |||
Hillman Group Inc. | 26,397 | 26,341 | (56) | |||
Intelsat Jackson Holdings S.A. | 42,440 | 42,506 | 66 | |||
VT Topco, Inc. | 45,425 | 45,435 | 10 | |||
Zelis Healthcare Corporation | 46,667 | 46,477 | (190) | |||
Trident TPI Holdings, Inc. | 5,191 | 5,195 | 4 | |||
DexKo Global Inc. | 14,338 | 14,310 | (28) | |||
$191,618 | $191,392 | $(226) |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Corporate Bonds & Notes | $ — | $ 431,812,852 | $ — | $ 431,812,852 | ||||
Asset-Backed Securities | — | 181,051,256 | — | 181,051,256 | ||||
Foreign Government Obligations | — | 59,772,472 | — | 59,772,472 | ||||
U.S. Government Agency Obligations | — | 1,030,719,531 | — | 1,030,719,531 | ||||
U.S. Treasury Obligations | — | 680,730,235 | — | 680,730,235 | ||||
Mortgage-Backed Securities | — | 194,335,791 | — | 194,335,791 | ||||
Commercial Mortgage Backed Securities | — | 155,390,634 | — | 155,390,634 | ||||
Common Stocks | — | — | 12,754 | 12,754 | ||||
Senior Floating Rate Loans | — | 90,893,169 | — | 90,893,169 | ||||
Short-Term Investment | 64,167,818 | — | — | 64,167,818 | ||||
TOTAL INVESTMENTS | $64,167,818 | $2,824,705,940 | $12,754 | $2,888,886,512 | ||||
LIABILITIES: | ||||||||
OTHER FINANCIAL INSTRUMENTS: | ||||||||
Unfunded Loans(a) | — | (226) | — | (226) | ||||
TOTAL OTHER FINANCIAL INSTRUMENTS: | $ — | $ (226) | $ — | $ (226) |
(a) | Includes appreciation on unfunded loan commitments. |
Number of Shares Held at 6/30/21 | Value at 6/30/21 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 12/31/21 | Value at 12/31/21 | Dividend Income | |||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 63,404,943 | $63,404,943 | $486,558,633 | $485,795,758 | $— | $— | 64,167,818 | $64,167,818 | $7,332 | ||||||||
SPDR DoubleLine Emerging Markets Fixed Income ETF | SPDR DoubleLine Short Duration Total Return Tactical ETF | ||
ASSETS | |||
Investments in unaffiliated issuers, at value | $96,794,415 | $153,897,621 | |
Investments in affiliated issuers, at value | 968,249 | 5,925,569 | |
Total Investments | 97,762,664 | 159,823,190 | |
Cash | — | 13,421 | |
Receivable for investments sold | — | 1,685,082 | |
Dividends receivable — affiliated issuers | 59 | 111 | |
Interest receivable — unaffiliated issuers | 967,853 | 537,429 | |
TOTAL ASSETS | 98,730,576 | 162,059,233 | |
LIABILITIES | |||
Payable for investments purchased | — | 208,763 | |
Advisory fee payable | 54,761 | 61,948 | |
Trustees’ fees and expenses payable | 78 | 157 | |
TOTAL LIABILITIES | 54,839 | 270,868 | |
NET ASSETS | $98,675,737 | $161,788,365 | |
NET ASSETS CONSIST OF: | |||
Paid-in Capital | $99,889,712 | $163,593,509 | |
Total distributable earnings (loss) | (1,213,975) | (1,805,144) | |
NET ASSETS | $98,675,737 | $161,788,365 | |
NET ASSET VALUE PER SHARE | |||
Net asset value per share | $ 48.73 | $ 49.03 | |
Shares outstanding (unlimited amount authorized, no par value) | 2,025,000 | 3,300,000 | |
COST OF INVESTMENTS: | |||
Investments in unaffiliated issuers | $97,906,722 | $155,426,091 | |
Investments in affiliated issuers | 968,249 | 5,925,569 | |
Total cost of investments | $98,874,971 | $161,351,660 |
SPDR DoubleLine Total Return Tactical ETF | |
ASSETS | |
Investments in unaffiliated issuers, at value | $2,824,718,694 |
Investments in affiliated issuers, at value | 64,167,818 |
Total Investments | 2,888,886,512 |
Receivable for investments sold | 3,836,219 |
Dividends receivable — affiliated issuers | 1,110 |
Interest receivable — unaffiliated issuers | 13,322,892 |
TOTAL ASSETS | 2,906,046,733 |
LIABILITIES | |
Due to custodian | 606,301 |
Payable for investments purchased | 13,449,703 |
Unrealized depreciation on unfunded loan commitments | 226 |
Advisory fee payable | 1,376,996 |
Trustees’ fees and expenses payable | 5,890 |
Accrued expenses and other liabilities | 6,243 |
TOTAL LIABILITIES | 15,445,359 |
NET ASSETS | $2,890,601,374 |
NET ASSETS CONSIST OF: | |
Paid-in Capital | $3,037,930,470 |
Total distributable earnings (loss) | (147,329,096) |
NET ASSETS | $2,890,601,374 |
NET ASSET VALUE PER SHARE | |
Net asset value per share | $ 47.50 |
Shares outstanding (unlimited amount authorized, no par value) | 60,850,000 |
COST OF INVESTMENTS: | |
Investments in unaffiliated issuers | $2,869,389,210 |
Investments in affiliated issuers | 64,167,818 |
Total cost of investments | $2,933,557,028 |
SPDR DoubleLine Emerging Markets Fixed Income ETF | SPDR DoubleLine Short Duration Total Return Tactical ETF | ||
INVESTMENT INCOME | |||
Interest income — unaffiliated issuers | $ 1,841,090 | $ 1,547,507 | |
Dividend income — affiliated issuers | 167 | 1,556 | |
Other income | — | 16,166 | |
Foreign taxes withheld | — | (342) | |
TOTAL INVESTMENT INCOME (LOSS) | 1,841,257 | 1,564,887 | |
EXPENSES | |||
Advisory fee | 340,275 | 413,590 | |
Trustees’ fees and expenses | 569 | 893 | |
TOTAL EXPENSES | 340,844 | 414,483 | |
NET INVESTMENT INCOME (LOSS) | $ 1,500,413 | $ 1,150,404 | |
REALIZED AND UNREALIZED GAIN (LOSS) | |||
Net realized gain (loss) on: | |||
Investments — unaffiliated issuers | 1,412,092 | 81,314 | |
Net change in unrealized appreciation/depreciation on: | |||
Investments — unaffiliated issuers | (3,301,245) | (1,879,204) | |
NET REALIZED AND UNREALIZED GAIN (LOSS) | (1,889,153) | (1,797,890) | |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $ (388,740) | $ (647,486) |
SPDR DoubleLine Total Return Tactical ETF | |
INVESTMENT INCOME | |
Interest income — unaffiliated issuers | $ 48,792,392 |
Dividend income — affiliated issuers | 7,332 |
Foreign taxes withheld | (734) |
TOTAL INVESTMENT INCOME (LOSS) | 48,798,990 |
EXPENSES | |
Advisory fee | 8,490,837 |
Trustees’ fees and expenses | 19,056 |
Miscellaneous expenses | 38 |
TOTAL EXPENSES | 8,509,931 |
NET INVESTMENT INCOME (LOSS) | $ 40,289,059 |
REALIZED AND UNREALIZED GAIN (LOSS) | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 12,688,956 |
Net change in unrealized appreciation/depreciation on: | |
Investments — unaffiliated issuers | (54,349,555) |
Unfunded loan commitments | (134) |
Net change in unrealized appreciation/depreciation | (54,349,689) |
NET REALIZED AND UNREALIZED GAIN (LOSS) | (41,660,733) |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $ (1,371,674) |
SPDR DoubleLine Emerging Markets Fixed Income ETF | |||
Six Months Ended 12/31/21 (Unaudited) | Year Ended 6/30/21 | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $ 1,500,413 | $ 2,779,144 | |
Net realized gain (loss) | 1,412,092 | 3,516,700 | |
Net change in unrealized appreciation/depreciation | (3,301,245) | 158,117 | |
Net increase (decrease) in net assets resulting from operations | (388,740) | 6,453,961 | |
Net equalization credits and charges | (16,725) | 62,106 | |
Distributions to shareholders | (4,225,332) | (2,854,562) | |
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||
Proceeds from shares sold | 3,750,085 | 40,389,997 | |
Cost of shares redeemed | (24,138,763) | (15,014,743) | |
Net income equalization | 16,725 | (62,106) | |
Other Capital | 35,389 | 174,347 | |
Net increase (decrease) in net assets from beneficial interest transactions | (20,336,564) | 25,487,495 | |
Net increase (decrease) in net assets during the period | (24,967,361) | 29,149,000 | |
Net assets at beginning of period | 123,643,098 | 94,494,098 | |
NET ASSETS AT END OF PERIOD | $ 98,675,737 | $123,643,098 | |
SHARES OF BENEFICIAL INTEREST: | |||
Shares sold | 75,000 | 800,000 | |
Shares redeemed | (475,000) | (300,000) | |
Net increase (decrease) from share transactions | (400,000) | 500,000 |
SPDR DoubleLine Short Duration Total Return Tactical ETF | |||
Six Months Ended 12/31/21 (Unaudited) | Year Ended 6/30/21 | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $ 1,150,404 | $ 1,981,074 | |
Net realized gain (loss) | 81,314 | 752,709 | |
Net change in unrealized appreciation/depreciation | (1,879,204) | (316,578) | |
Net increase (decrease) in net assets resulting from operations | (647,486) | 2,417,205 | |
Net equalization credits and charges | (17,589) | 14,932 | |
Distributions to shareholders | (1,951,350) | (2,110,916) | |
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||
Proceeds from shares sold | 80,702,978 | 17,383,837 | |
Cost of shares redeemed | (76,752,258) | — | |
Net income equalization | 17,589 | (14,932) | |
Other Capital | 197,807 | 29,809 | |
Net increase (decrease) in net assets from beneficial interest transactions | 4,166,116 | 17,398,714 | |
Net increase (decrease) in net assets during the period | 1,549,691 | 17,719,935 | |
Net assets at beginning of period | 160,238,674 | 142,518,739 | |
NET ASSETS AT END OF PERIOD | $161,788,365 | $160,238,674 | |
SHARES OF BENEFICIAL INTEREST: | |||
Shares sold | 1,625,000 | 350,000 | |
Shares redeemed | (1,550,000) | — | |
Net increase (decrease) from share transactions | 75,000 | 350,000 |
SPDR DoubleLine Total Return Tactical ETF | |||
Six Months Ended 12/31/21 (Unaudited) | Year Ended 6/30/21 | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $ 40,289,059 | $ 71,444,729 | |
Net realized gain (loss) | 12,688,956 | 10,798,424 | |
Net change in unrealized appreciation/depreciation | (54,349,689) | (57,172,329) | |
Net increase (decrease) in net assets resulting from operations | (1,371,674) | 25,070,824 | |
Net equalization credits and charges | (3,201) | 18,500 | |
Distributions to shareholders | (59,290,634) | (87,675,778) | |
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||
Proceeds from shares sold | 12,031,920 | 105,856,538 | |
Cost of shares redeemed | (249,713,026) | (46,179,065) | |
Net income equalization | 3,201 | (18,500) | |
Other Capital | 273,777 | 317,321 | |
Net increase (decrease) in net assets from beneficial interest transactions | (237,404,128) | 59,976,294 | |
Contribution from Affiliate (Note 4) | — | 39,028 | |
Net increase (decrease) in net assets during the period | (298,069,637) | (2,571,132) | |
Net assets at beginning of period | 3,188,671,011 | 3,191,242,143 | |
NET ASSETS AT END OF PERIOD | $2,890,601,374 | $ 3,188,671,011 | |
SHARES OF BENEFICIAL INTEREST: | |||
Shares sold | 250,000 | 2,150,000 | |
Shares redeemed | (5,200,000) | (950,000) | |
Net increase (decrease) from share transactions | (4,950,000) | 1,200,000 |
SPDR DoubleLine Emerging Markets Fixed Income ETF | |||||||||||
Six Months Ended 12/31/21 (Unaudited) | Year Ended 6/30/21 | Year Ended 6/30/20 | Year Ended 6/30/19 | Year Ended 6/30/18 | Year Ended 6/30/17 | ||||||
Net asset value, beginning of period | $ 50.99 | $ 49.09 | $ 51.02 | $ 48.25 | $ 50.45 | $ 51.52 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (a) | 0.73 | 1.48 | 1.87 | 1.98 | 1.31 | 1.77 | |||||
Net realized and unrealized gain (loss) | (0.94) | 1.83 | (2.06) | 2.60 | (1.74) | 1.91 | |||||
Total from investment operations | (0.21) | 3.31 | (0.19) | 4.58 | (0.43) | 3.68 | |||||
Net equalization credits and charges (a) | (0.01) | 0.03 | 0.04 | 0.03 | 0.04 | 0.01 | |||||
Other capital (a) | 0.02 | 0.09 | 0.13 | 0.08 | 0.10 | 0.05 | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (0.84) | (1.53) | (1.91) | (1.92) | (1.36) | (1.81) | |||||
Net realized gains | (1.22) | — | — | — | (0.55) | (3.00) | |||||
Total distributions | (2.06) | (1.53) | (1.91) | (1.92) | (1.91) | (4.81) | |||||
Net asset value, end of period | $ 48.73 | $ 50.99 | $ 49.09 | $ 51.02 | $ 48.25 | $ 50.45 | |||||
Total return (b) | (0.41)% | 7.09% | (0.04)% | 9.99% | (0.65)% | 7.67% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $98,676 | $123,643 | $94,494 | $65,050 | $48,253 | $27,748 | |||||
Ratios to average net assets: | |||||||||||
Total expenses | 0.65%(c) | 0.72% | 0.75% | 0.75% | 0.76% | 0.75% | |||||
Net expenses | 0.65%(c) | 0.65% | 0.65% | 0.65% | 0.65% | 0.65% | |||||
Net investment income (loss) | 2.87%(c) | 2.95% | 3.77% | 4.06% | 2.64% | 3.46% | |||||
Portfolio turnover rate (d) | 21%(e) | 77% | 54% | 37% | 55% | 141% |
(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. |
SPDR DoubleLine Short Duration Total Return Tactical ETF | |||||||||||
Six Months Ended 12/31/21 (Unaudited) | Year Ended 6/30/21 | Year Ended 6/30/20 | Year Ended 6/30/19 | Year Ended 6/30/18 | Year Ended 6/30/17 | ||||||
Net asset value, beginning of period | $ 49.69 | $ 49.57 | $ 49.53 | $ 48.81 | $ 49.61 | $ 50.40 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (a) | 0.31 | 0.68 | 1.08 | 1.30 | 1.02 | 1.04 | |||||
Net realized and unrealized gain (loss) (b) | (0.46) | 0.14 | 0.07 | 0.62 | (0.99) | (0.53) | |||||
Total from investment operations | (0.15) | 0.82 | 1.15 | 1.92 | 0.03 | 0.51 | |||||
Net equalization credits and charges (a) | (0.00)(c) | 0.01 | 0.00(c) | 0.03 | 0.05 | 0.00(c) | |||||
Other capital (a) | 0.05 | 0.01 | 0.03 | 0.06 | 0.12 | 0.06 | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (0.40) | (0.72) | (1.14) | (1.29) | (1.00) | (1.13) | |||||
Net realized gains | (0.16) | — | — | — | — | (0.23) | |||||
Total distributions | (0.56) | (0.72) | (1.14) | (1.29) | (1.00) | (1.36) | |||||
Net asset value, end of period | $ 49.03 | $ 49.69 | $ 49.57 | $ 49.53 | $ 48.81 | $ 49.61 | |||||
Total return (d) | (0.20)% | 1.70% | 2.43% | 4.18% | 0.43% | 1.14% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $161,788 | $160,239 | $142,519 | $121,344 | $82,984 | $34,725 | |||||
Ratios to average net assets: | |||||||||||
Total expenses | 0.45%(e) | 0.49% | 0.50% | 0.50% | 0.50% | 0.50% | |||||
Net expenses | 0.45%(e) | 0.45% | 0.45% | 0.45% | 0.45% | 0.45% | |||||
Net investment income (loss) | 1.25%(e) | 1.36% | 2.18% | 2.65% | 2.07% | 2.10% | |||||
Portfolio turnover rate (f) | 64%(g) | 58% | 43% | 62% | 50% | 123% |
(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) | Annualized. |
(f) | Portfolio turnover rate excludes securities received or delivered from in-kind processing of creations or redemptions. |
(g) | Not annualized. |
SPDR DoubleLine Total Return Tactical ETF | |||||||||||
Six Months Ended 12/31/21 (Unaudited) | Year Ended 6/30/21 | Year Ended 6/30/20 | Year Ended 6/30/19 | Year Ended 6/30/18(a) | Year Ended 6/30/17(a) | ||||||
Net asset value, beginning of period | $ 48.46 | $ 49.40 | $ 48.96 | $ 47.60 | $ 49.03 | $ 49.87 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (b) | 0.63 | 1.09 | 1.37 | 1.56 | 1.34 | 1.33 | |||||
Net realized and unrealized gain (loss) (c) | (0.66) | (0.70) | 0.59 | 1.44 | (1.34) | (0.66) | |||||
Total from investment operations | (0.03) | 0.39 | 1.96 | 3.00 | 0.00 | 0.67 | |||||
Net equalization credits and charges (b) | (0.00)(d) | 0.00(d) | (0.00)(d) | 0.00(d) | 0.00(d) | 0.01 | |||||
Contribution from Affiliate | — | 0.00(d) | — | — | — | — | |||||
Other capital (b) | 0.00(d) | 0.00 | 0.03 | 0.04 | 0.02 | 0.04 | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (0.93) | (1.33) | (1.55) | (1.68) | (1.45) | (1.48) | |||||
Net realized gains | — | — | — | — | — | (0.08) | |||||
Total distributions | (0.93) | (1.33) | (1.55) | (1.68) | (1.45) | (1.56) | |||||
Net asset value, end of period | $ 47.50 | $ 48.46 | $ 49.40 | $ 48.96 | $ 47.60 | $ 49.03 | |||||
Total return (e) | (0.05)% | 0.81%(f) | 4.13% | 6.53% | 0.04% | 1.55% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $2,890,601 | $3,188,671 | $3,191,242 | $3,336,881 | $3,182,239 | $3,353,801 | |||||
Ratios to average net assets: | |||||||||||
Total expenses | 0.55%(g) | 0.62% | 0.65% | 0.65% | 0.65% | 0.66% | |||||
Net expenses | 0.55%(g) | 0.55% | 0.55% | 0.55% | 0.55% | 0.55% | |||||
Net investment income (loss) | 2.61%(g) | 2.22% | 2.80% | 3.27% | 2.78% | 2.70% | |||||
Portfolio turnover rate | 63%(h)(i) | 82%(i) | 25%(i) | 47%(i) | 34%(j) | 72%(j) |
(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) | If an affiliate had not made a contribution during the year ended ended June 30, 2021, the total return would have remained 0.81%. |
(g) | Annualized. |
(h) | Not annualized. |
(i) | Portfolio turnover rate excludes securities received or delivered from in-kind processing of creations or redemptions. |
(j) | Portfolio turnover is from the Fund's Portfolio prior to discontinuance of master-feeder structure. |
SPDR DoubleLine Emerging Markets Fixed Income ETF |
SPDR DoubleLine Short Duration Total Return Tactical ETF |
SPDR DoubleLine Total Return Tactical ETF |
Annual Rate | |
SPDR DoubleLine Emerging Markets Fixed Income ETF | 0.65% |
SPDR DoubleLine Short Duration Total Return Tactical ETF | 0.45 |
SPDR DoubleLine Total Return Tactical ETF | 0.55 |
U.S. Government Obligations | Other Securities | ||||||
Purchases | Sales | Purchases | Sales | ||||
SPDR DoubleLine Emerging Markets Fixed Income ETF | $ — | $ — | $ 21,520,605 | $ 43,895,240 | |||
SPDR DoubleLine Short Duration Total Return Tactical ETF | 28,741,148 | 39,987,881 | 68,094,177 | 56,699,498 | |||
SPDR DoubleLine Total Return Tactical ETF | 1,616,064,462 | 1,856,956,117 | 249,839,420 | 330,822,943 |
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | ||||
SPDR DoubleLine Emerging Markets Fixed Income ETF | $ 98,881,769 | $ 1,144,025 | $ 2,263,130 | $ (1,119,105) | |||
SPDR DoubleLine Short Duration Total Return Tactical ETF | 161,359,997 | 620,583 | 2,157,390 | (1,536,807) | |||
SPDR DoubleLine Total Return Tactical ETF | 2,934,630,786 | 41,078,193 | 86,822,241 | (45,744,048) |
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 | $ 995.90 | $ 998.00 | $ 999.50 | ||
Expenses Paid During Period(a) | 3.27 | 2.27 | 2.77 | ||
Hypothetical (assuming a 5% return before expenses): | |||||
Ending Account Value | 1,021.90 | 1,022.90 | 1,022.40 | ||
Expenses Paid During Period(a) | 3.31 | 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 365. |
• | 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. |
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
One Iron Street
Boston, MA 02210
SPDR Blackstone Senior Loan ETF |
![](https://capedge.com/proxy/N-CSRS/0001193125-22-070205/g258368imge2394e841.jpg)
TABLE OF CONTENTS (Unaudited)
1 | |
4 | |
37 | |
40 | |
41 | |
50 |
Description | % of Net Assets | ||
Change Healthcare Holdings LLC Senior Secured 2017 Term Loan B 3.50% 3/1/2024 | 1.8% | ||
BCP Raptor, LLC Senior Secured Term Loan B 5.25% 6/24/2024 | 1.7 | ||
Envision Healthcare Corp. Senior Secured 2018 1st Lien Term Loan 3.85% 10/10/2025 | 1.6 | ||
DirecTV Financing, LLC Senior Secured Term Loan 5.75% 8/2/2027 | 1.6 | ||
LBM Acquisition LLC Senior Secured Term Loan B 4.50% 12/17/2027 | 1.5 | ||
TOTAL | 8.2% |
% of Net Assets | |||
Software | 15.8% | ||
Health Care Providers & Services | 7.3 | ||
Diversified Financial Services | 6.1 | ||
Commercial Services & Supplies | 4.9 | ||
Entertainment | 4.3 | ||
Hotels, Restaurants & Leisure | 4.1 | ||
Airlines | 3.6 | ||
Media | 3.5 | ||
Oil, Gas & Consumable Fuels | 3.3 | ||
Specialty Retail | 2.6 | ||
Unknown G3 | 2.2 | ||
Chemicals | 2.1 | ||
Commercial Services | 2.0 | ||
Health Care Technology | 1.8 | ||
Retail-Building Products | 1.8 | ||
Containers & Packaging | 1.7 | ||
Internet & Catalog Retail | 1.5 | ||
Computers | 1.4 | ||
Insurance | 1.3 | ||
Communications Equipment | 1.3 | ||
Web Hosting/Design | 1.3 | ||
Health Care Equipment & Supplies | 1.2 | ||
Air Freight & Logistics | 1.2 | ||
Telecommunication Equip | 1.1 | ||
Pipelines | 1.0 | ||
Textiles, Apparel & Luxury Goods | 1.0 | ||
Construction & Engineering | 0.9 | ||
Transport-Air Freight | 0.9 | ||
Retail-Restaurants | 0.9 | ||
Cosmetics & Toiletries | 0.9 | ||
IT Services | 0.8 |
% of Net Assets | |||
Real Estate Management & Development | 0.7% | ||
Capital Markets | 0.7 | ||
Home Furnishings | 0.7 | ||
MRI/Medical Diag Imaging | 0.6 | ||
Building Products | 0.6 | ||
Industrial Conglomerates | 0.6 | ||
Leisure Industry | 0.6 | ||
Distributors | 0.6 | ||
Lasers-Syst/Components | 0.6 | ||
Pharmaceuticals | 0.5 | ||
Telecom Services | 0.5 | ||
Professional Services | 0.5 | ||
Computer Services | 0.5 | ||
Machinery-Construction & Mining | 0.5 | ||
Consumer Products-Misc | 0.5 | ||
Trading Companies & Distributors | 0.5 | ||
Medical Labs&Testing Srv | 0.5 | ||
Leisure&Rec/Games | 0.4 | ||
Environmentally Friendly | 0.3 | ||
Household Products | 0.3 | ||
Food-Misc/Diversified | 0.3 | ||
Machinery | 0.3 | ||
Transport-Services | 0.3 | ||
Retail-Petroleum Product | 0.3 | ||
Electronic Equipment, Instruments & Components | 0.2 | ||
Miscellaneous Manufactur | 0.2 | ||
Hand/Machine Tools and Related Products | 0.2 | ||
Aerospace & Defense | 0.2 | ||
Food Products | 0.2 | ||
Fiduciary Banks | 0.2 | ||
Auto Components | 0.1 | ||
Electrical Equipment | 0.1 | ||
Diversified Telecommunication Services | 0.1 | ||
Steel-Producers | 0.1 | ||
Advertising Services | 0.1 | ||
Life Sciences Tools & Services | 0.1 | ||
Interactive Media & Services | 0.1 * | ||
Leisure Equipment & Products | 0.1 | ||
Machinery-Farm | 0.1 | ||
Semiconductors & Semiconductor Equipment | 0.1 | ||
Internet Security | 0.1 | ||
Diversified Finan Serv | 0.1 | ||
Independent Power Producers & Energy Traders | 0.1 | ||
Communications Software | 0.1 | ||
Construction Materials | 0.0 * | ||
Television | 0.0 * | ||
Beverages | 0.0 * | ||
Retail-Catalog Shopping | 0.0 * | ||
Containers-Paper/Plastic | 0.0 * | ||
Short-Term Investment | 10.4 | ||
Liabilities in Excess of Other Assets | (8.7) | ||
TOTAL | 100.0% | ||
* | Amount shown represents less than 0.05% of net assets. |
Security Description | Principal Amount | Value | |||
SENIOR FLOATING RATE LOANS — 91.7% (a) | |||||
ADVERTISING SERVICES — 0.1% | |||||
AppLovin Corp. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 3.25% 3.35%, 8/15/2025 | $ 7,366,219 | $ 7,361,615 | |||
Terrier Media Buyer, Inc. Senior Secured 2021 Term Loan, 12/17/2026 (b) | 498,741 | 497,057 | |||
7,858,672 | |||||
AEROSPACE & DEFENSE — 0.2% | |||||
Dynasty Acquisition Co., Inc.: | |||||
Senior Secured 2020 CAD Term Loan B2, 3 Month USD LIBOR + 3.50% 3.72%, 4/6/2026 | 4,831,857 | 4,714,540 | |||
Senior Secured 2020 Term Loan B1, 3 Month USD LIBOR + 3.50% 3.72%, 4/6/2026 | 8,988,482 | 8,770,242 | |||
TransDigm, Inc. Senior Secured 2020 Term Loan F, 12/9/2025 (b) | 2,493,639 | 2,462,942 | |||
15,947,724 | |||||
AIR FREIGHT & LOGISTICS — 1.2% | |||||
Kenan Advantage Group, Inc. Senior Secured 2021 Term Loan B1, 1 Month USD LIBOR + 3.75% 4.50%, 3/24/2026 | 49,104,831 | 49,040,013 | |||
Worldwide Express Operations, LLC Senior Secured 2021 1st Lien Term Loan, 6 Month USD LIBOR + 4.25% 5.00%, 7/26/2028 | 61,510,725 | 61,754,000 | |||
110,794,013 | |||||
AIRLINES — 3.6% | |||||
AAdvantage Loyalty IP Ltd. Senior Secured 2021 Term Loan, 3 Month USD LIBOR + 4.75% 5.50%, 4/20/2028 | 70,662,575 | 73,343,866 | |||
Air Canada Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 3.50% 4.25%, 8/11/2028 | 7,745,695 | 7,749,839 | |||
American Airlines, Inc.: | |||||
Senior Secured 2017 Incremental Term Loan, 3 Month USD LIBOR + 2.00% 2.11%, 12/15/2023 | 12,263,560 | 12,041,958 | |||
Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 1.75% 1.85%, 6/27/2025 | 44,460,207 | 42,264,984 | |||
Mileage Plus Holdings LLC Senior Secured 2020 Term Loan B, 3 Month USD LIBOR + 5.25% 6.25%, 6/21/2027 | 39,941,895 | 42,228,768 |
Security Description | Principal Amount | Value | |||
SkyMiles IP Ltd. Senior Secured 2020 Skymiles Term Loan B, 3 Month USD LIBOR + 3.75% 4.75%, 10/20/2027 | $ 25,778,136 | $ 27,324,824 | |||
United Airlines, Inc. Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 3.75% 4.50%, 4/21/2028 | 115,299,907 | 115,974,412 | |||
320,928,651 | |||||
AUTO COMPONENTS — 0.1% | |||||
USI, Inc. Senior Secured 2017 Repriced Term Loan, 3 Month USD LIBOR + 3.00% 3.22%, 5/16/2024 | 2,493,489 | 2,477,245 | |||
Wheel Pros, LLC Senior Secured 2021 Term Loan, 1 Month USD LIBOR + 4.50% 5.25%, 5/11/2028 | 9,830,582 | 9,828,763 | |||
12,306,008 | |||||
BEVERAGES — 0.0% (c) | |||||
Triton Water Holdings, Inc. Senior Secured Term Loan, 3 Month USD LIBOR + 3.50% 4.00%, 3/31/2028 | 509,525 | 504,748 | |||
BUILDING PRODUCTS — 0.6% | |||||
CP Atlas Buyer, Inc. Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 3.75% 4.25%, 11/23/2027 | 54,224,524 | 54,061,851 | |||
DiversiTech Holdings, Inc.: | |||||
Senior Secured 2021 1st Lien Term Loan, 12/16/2028 (b) | 630,435 | 630,633 | |||
Senior Secured 2021 Delayed Draw Term Loan, 12/16/2028 (b) | 130,435 | 130,476 | |||
54,822,960 | |||||
CAPITAL MARKETS — 0.7% | |||||
AqGen Ascensus, Inc. Senior Secured 2021 2nd Lien Term Loan, 3 Month USD LIBOR + 6.50% 7.00%, 8/2/2029 | 7,194,340 | 7,232,578 | |||
Freeport LNG Investments, LLLP Senior Secured Term Loan B, 3 Month USD LIBOR + 3.50% 4.00%, 12/21/2028 | 19,598,931 | 19,436,651 | |||
PECF USS Intermediate Holding III Corp. Senior Secured Term Loan B, 12/15/2028 (b) | 36,746,575 | 36,832,011 | |||
63,501,240 |
Security Description | Principal Amount | Value | |||
CHEMICALS — 2.1% | |||||
Ascend Performance Materials Operations LLC Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 4.75% 5.50%, 8/27/2026 | $ 18,388,167 | $ 18,521,481 | |||
Atotech B.V. Senior Secured 2021 USD Term Loan B, 3/18/2028 (b) | 12,098,003 | 12,090,018 | |||
Axalta Coating Systems US Holdings, Inc. Senior Secured USD Term Loan B3, 6/1/2024 (b) | 2,703,957 | 2,705,647 | |||
CPC Acquisition Corp. Senior Secured Term Loan, 3 Month USD LIBOR + 3.75% 4.50%, 12/29/2027 | 25,860,981 | 25,602,371 | |||
GEON Performance Solutions, LLC Senior Secured 2021 Term Loan, 3 Month USD LIBOR + 4.75% 5.50%, 8/18/2028 | 7,881,481 | 7,960,296 | |||
Ineos US Finance, LLC Senior Secured 2017 USD Term Loan B, 4/1/2024 (b) | 680,566 | 677,888 | |||
Messer Industries GmbH Senior Secured 2018 USD Term Loan, 3/1/2026 (b) | 997,040 | 990,709 | |||
New Arclin U.S. Holding Corp. Senior Secured 2021 Term Loan, 1 Month USD LIBOR + 3.75% 4.25%, 9/30/2028 | 11,481,730 | 11,482,132 | |||
Olympus Water US Holding Corp. Senior Secured 2021 USD Term Loan B, 3 Month USD LIBOR + 3.75% 4.25%, 11/9/2028 | 10,434,311 | 10,414,747 | |||
SCIH Salt Holdings, Inc. Senior Secured 2021 Incremental Term Loan B, 3 Month USD LIBOR + 4.00% 4.75%, 3/16/2027 | 49,669,906 | 49,266,338 | |||
Starfruit Finco B.V Senior Secured 2018 USD Term Loan B, 10/1/2025 (b) | 2,933,023 | 2,926,614 | |||
Vantage Specialty Chemicals, Inc. Senior Secured 2017 1st Lien Term Loan, 3 Month USD LIBOR + 3.50% 4.50%, 10/28/2024 | 42,109,010 | 41,398,420 | |||
184,036,661 | |||||
COMMERCIAL SERVICES — 1.8% | |||||
Allied Universal Holdco LLC Senior Secured 2021 USD Incremental Term Loan B, 3 Month USD LIBOR + 3.75% 4.25%, 5/12/2028 | 92,531,197 | 92,346,597 | |||
Inmar Holdings, Inc. Senior Secured 2017 1st Lien Term Loan, 3 Month USD LIBOR + 4.00% 5.00%, 5/1/2024 | 2,194,256 | 2,195,408 | |||
Spin Holdco Inc. Senior Secured 2021 Term Loan, 3 Month USD LIBOR + 4.00% 4.75%, 3/4/2028 | 53,482,837 | 53,720,568 |
Security Description | Principal Amount | Value | |||
Verscend Holding Corp. Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 4.00% 4.10%, 8/27/2025 | $ 2,493,734 | $ 2,496,228 | |||
VT Topco, Inc. Senior Secured 2021 Incremental Term Loan, 1 Month USD LIBOR + 3.75% 4.50%, 8/1/2025 | 12,309,206 | 12,311,791 | |||
163,070,592 | |||||
COMMERCIAL SERVICES & SUPPLIES — 4.9% | |||||
ADMI Corp. Senior Secured 2021 Incremental Term Loan B3, 12/23/2027 (b) | 1,770,563 | 1,770,146 | |||
Asurion, LLC: | |||||
Senior Secured 2021 2nd Lien Term Loan B3, 1 Month USD LIBOR + 5.25% 5.35%, 1/31/2028 | 75,951,226 | 76,283,513 | |||
Senior Secured 2021 Second Lien Term Loan B4, 1 Month USD LIBOR + 5.25% 5.35%, 1/20/2029 | 100,160,000 | 99,878,550 | |||
Covanta Holding Corporation: | |||||
Senior Secured 2021 Term Loan B, 11/30/2028 (b) | 465,157 | 466,203 | |||
Senior Secured 2021 Term Loan C, 11/30/2028 (b) | 34,843 | 34,922 | |||
Emerald TopCo, Inc. Senior Secured Term Loan, 3 Month USD LIBOR + 3.50% 3.63%, 7/24/2026 | 6,345 | 6,325 | |||
Garda World Security Corporation Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 4.25% 4.36%, 10/30/2026 | 34,704,700 | 34,701,230 | |||
Intrado Corp. Senior Secured 2017 Term Loan, 3 Month USD LIBOR + 4.00% 5.00%, 10/10/2024 | 57,007,187 | 54,256,021 | |||
Learning Care Group, Inc. Senior Secured 2018 1st Lien Term Loan, 3 Month USD LIBOR + 3.25% 4.25%, 3/13/2025 | 22,352,455 | 21,961,287 | |||
McGraw-Hill Global Education Holdings, LLC Senior Secured 2021 Term Loan, 1 Month USD LIBOR + 4.75% 5.25%, 7/28/2028 | 97,758,577 | 97,468,723 | |||
Packaging Coordinators Midco, Inc. Senior Secured 2020 1st Lien Term Loan, 3 Month USD LIBOR + 3.75% 4.50%, 11/30/2027 | 6,916,933 | 6,925,579 | |||
SSH Group Holdings, Inc. Senior Secured 2018 1st Lien Term Loan, 3 Month USD LIBOR + 4.25% 4.47%, 7/30/2025 | 14,145,417 | 13,676,850 | |||
TRC Companies, Inc. Senior Secured 2021 First Lien Term Loan, 3 Month USD LIBOR + 3.75% 4.25%, 11/17/2028 | 29,556,650 | 29,450,394 |
Security Description | Principal Amount | Value | |||
VT Topco, Inc. Senior Secured 2018 1st Lien Term Loan, 8/1/2025 (b) | $ 3,093,605 | $ 3,074,270 | |||
439,954,013 | |||||
COMMUNICATIONS EQUIPMENT — 1.3% | |||||
CommScope, Inc. Senior Secured 2019 Term Loan B, 1 Month USD LIBOR + 3.25% 3.35%, 4/6/2026 | 50,864,822 | 50,303,275 | |||
Zayo Group Holdings, Inc. Senior Secured USD Term Loan, 1 Month USD LIBOR + 3.00% 3.10%, 3/9/2027 | 62,717,217 | 61,979,035 | |||
112,282,310 | |||||
COMPUTER SERVICES — 0.5% | |||||
ConvergeOne Holdings, Inc. Senior Secured 2019 Term Loan, 1 Month USD LIBOR + 5.00% 5.10%, 1/4/2026 | 18,943,954 | 18,594,722 | |||
Genuine Financial Holdings, LLC Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 3.75% 3.85%, 7/11/2025 | 29,189,800 | 29,131,420 | |||
47,726,142 | |||||
COMPUTERS — 1.4% | |||||
Magenta Buyer LLC Senior Secured 2021 USD 1st Lien Term Loan, 3 Month USD LIBOR + 5.00% 5.75%, 7/27/2028 | 99,653,860 | 99,544,739 | |||
Park Place Technologies, LLC Senior Secured 2020 Term Loan, 1 Month USD LIBOR + 5.00% 6.00%, 11/10/2027 | 3,408,906 | 3,409,622 | |||
Virtusa Corp. Senior Secured First Lien Term Loan B, 1 Month USD LIBOR + 3.75% 4.50%, 2/11/2028 | 22,083,622 | 22,180,238 | |||
125,134,599 | |||||
CONSTRUCTION & ENGINEERING — 0.9% | |||||
Aegion Corporation Senior Secured Term Loan, 3 Month USD LIBOR + 4.75% 5.50%, 5/17/2028 | 33,856,905 | 34,054,291 | |||
Brand Energy & Infrastructure Services, Inc. Senior Secured 2017 Term Loan, 3 Month USD LIBOR + 4.25% 5.25%, 6/21/2024 | 21,487,898 | 21,070,066 | |||
DG Investment Intermediate Holdings 2, Inc. Senior Secured 2021 Term Loan, 1 Month USD LIBOR + 3.75% 3.75%, 3/31/2028 | 6,705,319 | 6,711,622 |
Security Description | Principal Amount | Value | |||
KKR Apple Bidco, LLC: | |||||
Senior Secured 2021 2nd Lien Term Loan, 1 Month USD LIBOR + 5.75% 6.25%, 9/21/2029 | $ 13,662,426 | $ 13,871,666 | |||
Senior Secured 2021 Term Loan, 1 Month USD LIBOR + 3.00% 3.50%, 9/23/2028 | 2,500,000 | 2,495,488 | |||
Tutor Perini Corp. Senior Secured Term Loan B, 3 Month USD LIBOR + 4.75% 5.75%, 8/18/2027 | 978,613 | 982,282 | |||
79,185,415 | |||||
CONSTRUCTION MATERIALS — 0.0% (c) | |||||
Quikrete Holdings, Inc. Senior Secured 2016 1st Lien Term Loan, 2/1/2027 (b) | 1,994,911 | 1,975,830 | |||
CONSUMER PRODUCTS-MISC — 0.5% | |||||
Drive Chassis HoldCo, LLC Senior Secured 2019 2nd Lien Term Loan, 3 Month USD LIBOR + 6.00% 6.87%, 4/10/2026 | 29,503,958 | 29,688,358 | |||
MI Windows and Doors, LLC Senior Secured 2020 Term Loan, 1 Month USD LIBOR + 3.75% 4.50%, 12/18/2027 | 10,452,124 | 10,510,917 | |||
40,199,275 | |||||
CONTAINERS & PACKAGING — 1.7% | |||||
Berlin Packaging LLC Senior Secured 2021 First Lien Term Loan B, 3 Month USD LIBOR + 3.75% 4.25%, 3/11/2028 | 8,899,927 | 8,901,039 | |||
Berry Global, Inc. Senior Secured 2021 Term Loan Z, 2 Month USD LIBOR + 1.75% 1.86%, 7/1/2026 | 23,729,818 | 23,605,236 | |||
BWAY Holding Co. Senior Secured 2017 Term Loan B, 1 Month USD LIBOR + 3.25% 3.35%, 4/3/2024 | 57,689,353 | 57,035,156 | |||
Charter NEX US, Inc. Senior Secured 2021 Term Loan, 1 Month USD LIBOR + 3.75% 4.50%, 12/1/2027 | 11,273,380 | 11,311,259 | |||
Graham Packaging Company, Inc. Senior Secured 2021 Term Loan, 1 Month USD LIBOR + 3.00% 3.75%, 8/4/2027 | 1,420,709 | 1,418,706 | |||
Pretium PKG Holdings, Inc. Senior Secured 2021 1st Lien Term Loan, 6 Month USD LIBOR + 4.00% 4.50%, 10/2/2028 | 31,659,979 | 31,642,250 |
Security Description | Principal Amount | Value | |||
Proampac PG Borrower LLC Senior Secured 2020 Term Loan, 3 Month USD LIBOR + 3.75% 4.50%, 11/3/2025 | $ 4,251,512 | $ 4,261,482 | |||
Ring Container Technologies Group, LLC Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 3.75% 4.25%, 8/12/2028 | 4,264,955 | 4,279,882 | |||
Trident TPI Holdings, Inc.: | |||||
Senior Secured 2017 USD Term Loan B1, 3 Month USD LIBOR + 3.25% 4.25%, 10/17/2024 | 875,191 | 876,491 | |||
Senior Secured 2021 Delayed Draw Term Loan, 3 Month USD LIBOR + 4.00% 4.20%, 9/15/2028 | 383,662 | 383,961 | |||
Senior Secured 2021 Incremental Term Loan, 3 Month USD LIBOR + 4.00% 4.50%, 9/15/2028 | 6,711,705 | 6,716,940 | |||
150,432,402 | |||||
COSMETICS & TOILETRIES — 0.9% | |||||
Sunshine Luxembourg VII SARL Senior Secured 2021 Term Loan B3, 3 Month USD LIBOR + 3.75% 4.50%, 10/1/2026 | 77,479,500 | 77,875,033 | |||
DISTRIBUTORS — 0.6% | |||||
American Tire Distributors Holdings, Inc. Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 6.25% 7.00%, 10/8/2028 | 57,435,848 | 57,907,684 | |||
DIVERSIFIED FINAN SERV — 0.1% | |||||
Apex Group Treasury, LLC Senior Secured 2021 USD Incremental Term Loan, 7/27/2028 (b) | 6,433,735 | 6,431,740 | |||
DIVERSIFIED FINANCIAL SERVICES — 5.9% | |||||
Advisor Group, Inc. Senior Secured 2021 Term Loan, 1 Month USD LIBOR + 4.50% 4.60%, 7/31/2026 | 60,590,785 | 60,837,086 | |||
AlixPartners, LLP Senior Secured 2021 USD Term Loan B, 1 Month USD LIBOR + 2.75% 3.25%, 2/4/2028 | 7,980,074 | 7,954,418 | |||
Apex Group Treasury LLC Senior Secured USD Term Loan, 3 Month USD LIBOR + 3.75% 4.25%, 7/27/2028 | 11,059,530 | 11,056,102 | |||
Atlas CC Acquisition Corp.: | |||||
Senior Secured Term Loan B, 3 Month USD LIBOR + 4.25% 5.00%, 5/25/2028 | 18,117,028 | 18,180,709 |
Security Description | Principal Amount | Value | |||
Senior Secured Term Loan C, 3 Month USD LIBOR + 4.25% 5.00%, 5/25/2028 | $ 3,684,819 | $ 3,697,771 | |||
Camelot U.S. Acquisition 1 Co. Senior Secured 2020 Incremental Term Loan B, 10/30/2026 (b) | 3,989,925 | 3,992,418 | |||
Deerfield Dakota Holding, LLC Senior Secured 2020 USD Term Loan B, 1 Month USD LIBOR + 3.75% 4.75%, 4/9/2027 | 72,564,593 | 72,740,562 | |||
DirecTV Financing, LLC Senior Secured Term Loan, 3 Month USD LIBOR + 5.00% 5.75%, 8/2/2027 | 141,067,985 | 141,379,745 | |||
Edelman Financial Center, LLC: | |||||
Senior Secured 2018 2nd Lien Term Loan, 1 Month USD LIBOR + 6.75% 6.85%, 7/20/2026 | 32,634,126 | 32,821,120 | |||
Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 3.50% 4.25%, 4/7/2028 | 91,267,299 | 91,330,274 | |||
Minotaur Acquisition, Inc. Senior Secured Term Loan B, 1 Month USD LIBOR + 4.75% 4.85%, 3/27/2026 | 24,840,209 | 24,747,058 | |||
S&S Holdings LLC Senior Secured Term Loan, 3 Month USD LIBOR + 5.00% 5.50%, 3/11/2028 | 12,326,934 | 12,346,226 | |||
Superannuation and Investments US LLC Senior Secured USD Term Loan, 3 Month USD LIBOR + 3.75% 4.25%, 12/1/2028 | 341,427 | 342,067 | |||
Trans Union, LLC Senior Secured 2019 Term Loan B5, 11/16/2026 (b) | 2,991,312 | 2,965,138 | |||
William Morris Endeavor Entertainment, LLC Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 2.75% 2.86%, 5/18/2025 | 48,193,749 | 47,272,044 | |||
531,662,738 | |||||
DIVERSIFIED TELECOMMUNICATION SERVICES — 0.1% | |||||
Altice France S.A. Senior Secured USD Term Loan B12, 3 Month USD LIBOR + 3.69% 3.81%, 1/31/2026 | 282,945 | 280,999 | |||
CenturyLink, Inc. Senior Secured 2020 Term Loan B, 3/15/2027 (b) | 3,890,076 | 3,850,903 | |||
Level 3 Financing, Inc. Senior Secured 2019 Term Loan B, 1 Month USD LIBOR + 1.75% 1.85%, 3/1/2027 | 5,100,000 | 5,042,625 |
Security Description | Principal Amount | Value | |||
Numericable Group SA Senior Secured USD Term Loan B11, 3 Month USD LIBOR + 2.75% 2.88%, 7/31/2025 | $ 1,288,813 | $ 1,267,200 | |||
10,441,727 | |||||
ELECTRICAL EQUIPMENT — 0.1% | |||||
EXC Holdings III Corp. Senior Secured USD 2017 1st Lien Term Loan, 3 Month USD LIBOR + 3.50% 4.50%, 12/2/2024 | 6,466,726 | 6,499,060 | |||
Gates Global, LLC Senior Secured 2021 Term Loan B3, 1 Month USD LIBOR + 2.50% 3.25%, 3/31/2027 | 5,770,184 | 5,764,760 | |||
12,263,820 | |||||
ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS — 0.2% | |||||
CPI International, Inc. Senior Secured 2017 1st Lien Term Loan, 1 Month USD LIBOR + 3.50% 4.50%, 7/26/2024 | 17,427,588 | 17,431,945 | |||
Ingram Micro, Inc. Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 3.50% 4.00%, 6/30/2028 | 2,864 | 2,869 | |||
Mirion Technologies, Inc. Senior Secured 2021 Term Loan, 2 Month USD LIBOR + 2.75% 3.25%, 10/20/2028 | 499,000 | 498,643 | |||
17,933,457 | |||||
ENTERTAINMENT — 3.1% | |||||
AMC Entertainment Holdings, Inc. Senior Secured 2019 Term Loan B, 1 Month USD LIBOR + 3.00% 3.10%, 4/22/2026 | 112,120,639 | 101,399,103 | |||
Crown Finance US, Inc.: | |||||
Senior Secured 2018 USD Term Loan, 6 Month USD LIBOR + 2.50% 3.50%, 2/28/2025 | 141,731,478 | 110,134,571 | |||
Senior Secured 2019 Incremental Term Loan, 6 Month USD LIBOR + 2.75% 3.75%, 9/30/2026 | 64,458,145 | 49,391,054 | |||
Delta 2 (LUX) S.A.R.L. Senior Secured 2018 USD Term Loan, 1 Month USD LIBOR + 2.50% 3.50%, 2/1/2024 | 500,000 | 500,207 | |||
Motion Finco S.A.R.L. Senior Secured Delayed Draw Term Loan B2, 3 Month USD LIBOR + 3.25% 3.47%, 11/12/2026 | 11,939,398 | 11,705,923 |
Security Description | Principal Amount | Value | |||
SMG U.S. Midco 2, Inc. Senior Secured 2020 Term Loan, 3 Month USD LIBOR + 2.50% 2.63%, 1/23/2025 | $ 3,982,353 | $ 3,881,142 | |||
UFC Holdings, LLC Senior Secured 2021 Term Loan B, 6 Month USD LIBOR + 2.75% 3.50%, 4/29/2026 | 916,298 | 913,842 | |||
277,925,842 | |||||
ENVIRONMENTALLY FRIENDLY — 0.3% | |||||
Robertshaw U.S. Holding Corp. Senior Secured 2018 1st Lien Term Loan, 3 Month USD LIBOR + 3.50% 4.50%, 2/28/2025 | 32,071,290 | 30,291,333 | |||
FIDUCIARY BANKS — 0.2% | |||||
AqGen Island Holdings, Inc. Senior Secured Term Loan, 8/2/2028 (b) | 19,326,531 | 19,278,214 | |||
FOOD PRODUCTS — 0.2% | |||||
Chobani, LLC Senior Secured 2020 Term Loan B, 1 Month USD LIBOR + 3.50% 4.50%, 10/25/2027 | 15,893,551 | 15,955,138 | |||
FOOD-MISC/DIVERSIFIED — 0.3% | |||||
Froneri International Ltd. Senior Secured 2020 USD Term Loan, 1 Month USD LIBOR + 2.25% 2.35%, 1/29/2027 | 498,734 | 493,181 | |||
Skopima Merger Sub, Inc. Senior Secured Term Loan B, 1 Month USD LIBOR + 4.00% 4.50%, 5/12/2028 | 29,845,200 | 29,699,108 | |||
30,192,289 | |||||
HAND/MACHINE TOOLS AND RELATED PRODUCTS — 0.2% | |||||
Apex Tool Group, LLC Senior Secured 2019 Term Loan B, 1 Month USD LIBOR + 5.50% 6.75%, 8/1/2024 | 17,195,367 | 16,917,490 | |||
HEALTH CARE EQUIPMENT & SUPPLIES — 1.2% | |||||
Carestream Health, Inc.: | |||||
Senior Secured 2020 Extended 2nd Lien PIK Term Loan, 3 Month USD LIBOR + 4.50% 5.50%, 8/8/2023 | 19,547,958 | 19,132,564 | |||
Senior Secured 2020 Extended Term Loan, 5/8/2023 | 4,980,676 | 5,004,558 |
Security Description | Principal Amount | Value | |||
Gainwell Acquisition Corp. Senior Secured Term Loan B, 3 Month USD LIBOR + 4.00% 4.75%, 10/1/2027 | $ 85,343,525 | $ 85,674,231 | |||
109,811,353 | |||||
HEALTH CARE PROVIDERS & SERVICES — 6.5% | |||||
AHP Health Partners, Inc. Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 3.50% 4.00%, 8/4/2028 | 498,750 | 499,531 | |||
Auris Luxembourg III S.A.R.L. Senior Secured 2019 USD Term Loan B2, 1 Month USD LIBOR + 3.75% 3.85%, 2/27/2026 | 5,579,153 | 5,546,040 | |||
Cambrex Corp. Senior Secured 2021 Term Loan, 1 Month USD LIBOR + 3.50% 4.25%, 12/4/2026 | 1,010 | 1,012 | |||
CHG Healthcare Services, Inc. Senior Secured 2021 Term Loan, 3 Month USD LIBOR + 3.50% 4.00%, 9/29/2028 | 3,077,974 | 3,082,207 | |||
Covenant Surgical Partners, Inc.: | |||||
Senior Secured 2019 Delayed Draw Term Loan, 1 Month USD LIBOR + 4.00% 4.10%, 7/1/2026 | 505,237 | 500,225 | |||
Senior Secured 2019 Term Loan, 1 Month USD LIBOR + 4.00% 4.10%, 7/1/2026 | 2,476,099 | 2,451,536 | |||
Curia Global, Inc. Senior Secured 2021 Term Loan, 3 Month USD LIBOR + 3.75% 4.50%, 8/30/2026 | 19,928,005 | 19,977,825 | |||
DaVita, Inc. Senior Secured 2020 Term Loan B, 1 Month USD LIBOR + 1.75% 1.85%, 8/12/2026 | 1,534,005 | 1,528,053 | |||
Envision Healthcare Corp.: | |||||
Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 3.75% 3.85%, 10/10/2025 | 178,624,677 | 144,295,694 | |||
Senior Secured 2018 Revolver, 10/11/2023 (b) | 11,164,500 | 9,378,180 | |||
Global Medical Response, Inc.: | |||||
Senior Secured 2017 Incremental Term Loan, 6 Month USD LIBOR + 4.25% 5.25%, 3/14/2025 | 66,197,685 | 66,044,107 | |||
Senior Secured 2020 Term Loan B, 3 Month USD LIBOR + 4.25% 5.25%, 10/2/2025 | 53,006,705 | 52,860,936 | |||
Horizon Therapeutics USA, Inc. Senior Secured 2021 Term Loan B2, 1 Month USD LIBOR + 1.75% 2.25%, 3/15/2028 | 8,272,375 | 8,255,375 | |||
ICON Luxembourg S.A.R.L.: | |||||
Senior Secured LUX Term Loan, 3 Month USD LIBOR + 2.25% 2.75%, 7/3/2028 | 3,940,944 | 3,947,230 |
Security Description | Principal Amount | Value | |||
Senior Secured US Term Loan, 3 Month USD LIBOR + 2.25% 2.75%, 7/3/2028 | $ 981,889 | $ 983,455 | |||
National Mentor Holdings, Inc.: | |||||
Senior Secured 2021 Delayed Draw Term Loan, 3/2/2028 | 116,520 | 115,427 | |||
Senior Secured 2021 Term Loan, 3 Month USD LIBOR + 3.75% 4.50%, 3/2/2028 | 42,900,284 | 42,498,094 | |||
Senior Secured 2021 Term Loan C, 3 Month USD LIBOR + 3.75% 4.50%, 3/2/2028 | 1,296,202 | 1,284,050 | |||
NMSC Holdings, Inc. Senior Secured 1st Lien Term Loan, 3 Month USD LIBOR + 5.00% 6.00%, 4/19/2023 | 12,405,650 | 12,408,751 | |||
Phoenix Guarantor, Inc.: | |||||
Senior Secured 2020 Term Loan B, 1 Month USD LIBOR + 3.25% 3.35%, 3/5/2026 | 2,493,639 | 2,480,971 | |||
Senior Secured 2021 Term Loan B3, 1 Month USD LIBOR + 3.50% 3.60%, 3/5/2026 | 1,866,135 | 1,861,003 | |||
Radnet Management, Inc. Senior Secured 2021 Term Loan, 4/21/2028 (b) | 1,412,116 | 1,413,881 | |||
RegionalCare Hospital Partners Holdings, Inc. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 3.75% 3.85%, 11/16/2025 | 3,500,000 | 3,501,732 | |||
Surgery Center Holdings, Inc. Senior Secured 2021 Term Loan, 1 Month USD LIBOR + 3.75% 4.50%, 8/31/2026 | 71,386,527 | 71,453,631 | |||
Team Health Holdings, Inc. Senior Secured 1st Lien Term Loan, 1 Month USD LIBOR + 2.75% 3.75%, 2/6/2024 | 102,541,430 | 98,337,231 | |||
Unified Physician Management, LLC Senior Secured 2020 Term Loan, 1 Month USD LIBOR + 4.25% 5.00%, 12/16/2027 | 22,999,718 | 23,054,343 | |||
577,760,520 | |||||
HEALTH CARE TECHNOLOGY — 1.8% | |||||
Change Healthcare Holdings LLC Senior Secured 2017 Term Loan B, 1 Month USD LIBOR + 2.50% 3.50%, 3/1/2024 | 160,217,263 | 160,239,693 | |||
HOME FURNISHINGS — 0.7% | |||||
AI Aqua Merger Sub, Inc.: | |||||
Senior Secured 2021 1st Lien Delayed Draw Term Loan, 7/31/2028 (b) | 4,261,271 | 4,278,379 |
Security Description | Principal Amount | Value | |||
Senior Secured 2021 1st Lien Term Loan B, 1 Month USD LIBOR + 4.00% 4.50%, 7/31/2028 | $ 60,081,264 | $ 60,322,491 | |||
64,600,870 | |||||
HOTELS, RESTAURANTS & LEISURE — 4.1% | |||||
1011778 B.C. Unlimited Liability Co. Senior Secured Term Loan B4, 1 Month USD LIBOR + 1.75% 1.85%, 11/19/2026 | 2,992,366 | 2,956,832 | |||
Alterra Mountain Co. Senior Secured 2021 Series B-2 Consenting Term Loan, 1 Month USD LIBOR + 3.50% 4.00%, 8/17/2028 | 1,051,505 | 1,051,505 | |||
Caesars Resort Collection, LLC Senior Secured 2017 1st Lien Term Loan B, 1 Month USD LIBOR + 2.75% 2.85%, 12/23/2024 | 498,701 | 496,754 | |||
Golden Nugget, Inc. Senior Secured 2017 Incremental Term Loan B, 2 Month USD LIBOR + 2.50% 3.25%, 10/4/2023 | 91,567,063 | 91,150,433 | |||
Motion Finco S.A.R.L. Senior Secured USD Term Loan B1, 3 Month USD LIBOR + 3.25% 3.47%, 11/12/2026 | 90,827,929 | 89,051,789 | |||
Peraton Corp. Senior Secured Term Loan B, 1 Month USD LIBOR + 3.75% 4.50%, 2/1/2028 | 54,519,890 | 54,636,563 | |||
Recess Holdings, Inc. Senior Secured 2017 1st Lien Term Loan, 3 Month USD LIBOR + 3.75% 4.75%, 9/30/2024 | 20,260,165 | 20,203,133 | |||
Scientific Games International, Inc. Senior Secured 2018 Term Loan B5, 1 Month USD LIBOR + 2.75% 2.85%, 8/14/2024 | 14,399,196 | 14,369,965 | |||
Travel Leaders Group, LLC Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 4.00% 4.10%, 1/25/2024 | 28,701,893 | 26,331,117 | |||
Travelport Finance (Luxembourg) S.A.R.L.: | |||||
Senior Secured 2020 Super Priority Term Loan, 3 Month USD LIBOR + 1.50% 3.50%, 2/28/2025 | 56,350,055 | 58,079,156 | |||
Senior Secured 2021 Consented Term Loan, 3 Month USD LIBOR + 1.75% 6.97%, 5/29/2026 | 13,662,131 | 11,414,710 | |||
369,741,957 | |||||
HOUSEHOLD PRODUCTS — 0.3% | |||||
Champ Acquisition Corp. Senior Secured Term Loan, 6 Month USD LIBOR + 5.50% 5.66%, 12/19/2025 | 24,651,810 | 24,821,291 |
Security Description | Principal Amount | Value | |||
Reynolds Consumer Products, LLC Senior Secured Term Loan, 2/4/2027 (b) | $ 3,551,083 | $ 3,536,808 | |||
28,358,099 | |||||
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS — 0.1% | |||||
Calpine Corp. Senior Secured 2020 Term Loan B5, 12/16/2027 (b) | 1,941,848 | 1,931,731 | |||
Vistra Operations Co., LLC Senior Secured 1st Lien Term Loan B3, 12/31/2025 (b) | 3,463,494 | 3,441,986 | |||
5,373,717 | |||||
INDUSTRIAL CONGLOMERATES — 0.5% | |||||
Anticimex International AB Senior Secured 2021 USD Term Loan B1, 11/16/2028 (b) | 500,000 | 499,530 | |||
Anvil International, LLC Senior Secured 2019 1st Lien Term Loan, 1 Month USD LIBOR + 5% 5.11%, 5/28/2026 | 15,112,168 | 15,051,417 | |||
Fluid-Flow Products, Inc. Senior Secured Term Loan, 3 Month USD LIBOR + 3.75% 3.97%, 3/31/2028 | 7,759,194 | 7,749,495 | |||
Magenta Buyer LLC Senior Secured 2021 USD 2nd Lien Term Loan, 3 Month USD LIBOR + 8.25% 9.00%, 7/27/2029 | 17,916,667 | 17,843,925 | |||
41,144,367 | |||||
INSURANCE — 1.3% | |||||
Acrisure, LLC: | |||||
Senior Secured 2020 Term Loan B, 3 Month USD LIBOR + 3.50% 3.72%, 2/15/2027 | 11,432,496 | 11,323,887 | |||
Senior Secured 2021 First Lien Term Loan B, 3 Month USD LIBOR + 4.25% 4.75%, 2/15/2027 | 18,150,685 | 18,173,373 | |||
Senior Secured 2021 Incremental Term Loan B, 3 Month USD LIBOR + 3.75% 4.25%, 2/15/2027 | 3,486,250 | 3,486,250 | |||
Alliant Holdings Intermediate, LLC Senior Secured 2021 Term Loan B4, 1 Month USD LIBOR + 3.50% 4.00%, 11/6/2027 | 2,493,750 | 2,494,199 | |||
AmWINS Group, Inc. Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 2.25% 3.00%, 2/19/2028 | 3,217,352 | 3,197,581 | |||
AssuredPartners, Inc.: | |||||
Senior Secured 2020 Term Loan B, 1 Month USD LIBOR + 3.50% 3.60%, 2/12/2027 | 4,542,772 | 4,514,698 |
Security Description | Principal Amount | Value | |||
Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 3.50% 4.00%, 2/12/2027 | $ 31,578,053 | $ 31,573,158 | |||
Baldwin Risk Partners, LLC Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 3.50% 4.00%, 10/14/2027 | 4,084,031 | 4,068,716 | |||
Broadstreet Partners, Inc. Senior Secured 2020 Term Loan B, 1/27/2027 (b) | 3,451,005 | 3,412,371 | |||
Hub International, Ltd.: | |||||
Senior Secured 2018 Term Loan B, 3 Month USD LIBOR + 2.75% 2.87%, 4/25/2025 | 14,033,403 | 13,889,911 | |||
Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 3.25% 4.00%, 4/25/2025 | 2,992,443 | 2,996,019 | |||
NFP Corp. Senior Secured 2020 Term Loan, 1 Month USD LIBOR + 3.25% 3.35%, 2/15/2027 | 15,831,892 | 15,603,122 | |||
Sedgwick Claims Management Services, Inc. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 3.25% 3.35%, 12/31/2025 | 4,208,964 | 4,181,353 | |||
118,914,638 | |||||
INTERACTIVE MEDIA & SERVICES — 0.1% (c) | |||||
Go Daddy Operating Co., LLC Senior Secured 2017 Repriced Term Loan, 2/15/2024 (b) | 398,604 | 396,667 | |||
Ivanti Software, Inc.: | |||||
Senior Secured 2020 Term Loan B, 3 Month USD LIBOR + 4.75% 5.75%, 12/1/2027 | 573,239 | 574,850 | |||
Senior Secured 2021 Add On Term Loan B, 3 Month USD LIBOR + 4.00% 4.75%, 12/1/2027 | 3,327,909 | 3,316,128 | |||
4,287,645 | |||||
INTERNET & CATALOG RETAIL — 1.3% | |||||
Shutterfly, Inc. Senior Secured 2021 Term Loan, 3 Month USD LIBOR + 5.00% 5.75%, 9/25/2026 | 43,271,044 | 42,946,511 | |||
White Cap Buyer LLC Senior Secured Term Loan B, 1 Month USD LIBOR + 4.00% 4.50%, 10/19/2027 | 68,794,460 | 68,942,712 | |||
111,889,223 | |||||
INTERNET SECURITY — 0.1% | |||||
Proofpoint, Inc. Senior Secured 2nd Lien Term Loan, 3 Month USD LIBOR + 6.25% 6.75%, 8/31/2029 | 5,000,000 | 5,068,750 |
Security Description | Principal Amount | Value | |||
IT SERVICES — 0.8% | |||||
Access CIG, LLC Senior Secured 2018 1st Lien Term Loan, 3 Month USD LIBOR + 3.75% 3.84%, 2/27/2025 | $ 5,331 | $ 5,305 | |||
Ahead DB Holdings, LLC Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 3.75% 4.50%, 10/18/2027 | 23,069,050 | 23,133,989 | |||
CoreLogic, Inc. Senior Secured Term Loan, 1 Month USD LIBOR + 3.50% 4.00%, 6/2/2028 | 37,549,675 | 37,568,450 | |||
TierPoint, LLC Senior Secured 2021 Term Loan, 1 Month USD LIBOR + 3.75% 4.50%, 5/5/2026 | 9,854,485 | 9,870,893 | |||
70,578,637 | |||||
LASERS-SYST/COMPONENTS — 0.6% | |||||
II-VI, Inc. Senior Secured 2021 Bridge Term Loan B, 12/1/2028 (b) | 56,790,123 | 56,802,049 | |||
LEISURE EQUIPMENT & PRODUCTS — 0.1% | |||||
Cinemark USA, Inc. Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 1.75% 1.85%, 3/31/2025 | 12,145,171 | 11,687,784 | |||
LEISURE INDUSTRY — 0.6% | |||||
Carnival Corporation Senior Secured 2021 Incremental Term Loan B, 6 Month USD LIBOR + 3.25% 4.00%, 10/18/2028 | 57,699,115 | 57,314,550 | |||
LEISURE&REC/GAMES — 0.4% | |||||
AP Gaming I, LLC Senior Secured 2018 Incremental Term Loan, 3 Month USD LIBOR + 3.5% 4.50%, 2/15/2024 | 32,528,253 | 32,396,026 | |||
LIFE SCIENCES TOOLS & SERVICES — 0.1% | |||||
eResearchTechnology, Inc. Senior Secured 2020 1st Lien Term Loan, 1 Month USD LIBOR + 4.50% 5.50%, 2/4/2027 | 12,289,095 | 12,346,300 | |||
MACHINERY — 0.3% | |||||
American Trailer World Corp. Senior Secured Term Loan B, 1 Month USD LIBOR + 3.75% 4.50%, 3/3/2028 | 7,339,462 | 7,325,701 |
Security Description | Principal Amount | Value | |||
Engineered Machinery Holdings, Inc. Senior Secured 2021 USD Incremental Term Loan, 3 Month USD LIBOR + 3.75% 4.50%, 5/19/2028 | $ 15,050,167 | $ 15,036,020 | |||
Hillman Group, Inc.: | |||||
Senior Secured 2021 Delayed Draw Term Loan, 3 Month USD LIBOR + 2.75% 2.79%, 7/14/2028 | 1,100,592 | 1,098,253 | |||
Senior Secured 2021 Term Loan B1, 1 Month USD LIBOR + 2.75% 3.25%, 7/14/2028 | 558,849 | 557,661 | |||
Ingersoll-Rand Services Co. Senior Secured 2020 USD Spinco Term Loan, 3/1/2027 (b) | 3,504,203 | 3,470,370 | |||
Madison IAQ LLC Senior Secured Term Loan, 6 Month USD LIBOR + 3.25% 3.75%, 6/21/2028 | 3,595,646 | 3,597,139 | |||
31,085,144 | |||||
MACHINERY-CONSTRUCTION & MINING — 0.5% | |||||
Brookfield WEC Holdings, Inc. Senior Secured 2021 Term Loan, 1 Month USD LIBOR + 2.75% 3.25%, 8/1/2025 | 1,496,222 | 1,487,177 | |||
Clear Channel Outdoor Holdings, Inc. Senior Secured Term Loan B, 3 Month USD LIBOR + 3.50% 3.63%, 8/21/2026 | 39,339,009 | 38,851,402 | |||
40,338,579 | |||||
MACHINERY-FARM — 0.1% | |||||
ASP Blade Holdings, Inc. Senior Secured Initial Term Loan, 1 Month USD LIBOR + 4.00% 4.50%, 10/13/2028 | 7,000,000 | 7,008,750 | |||
Victory Buyer, LLC Senior Secured Term Loan, 11/19/2028 (b) | 4,241,379 | 4,244,030 | |||
11,252,780 | |||||
MEDIA — 3.1% | |||||
Altice Financing SA Senior Secured 2017 USD Term Loan B, 3 Month USD LIBOR + 2.75% 2.87%, 7/15/2025 | 1,338,282 | 1,323,588 | |||
Charter Communications Operating, LLC Senior Secured 2019 Term Loan B2, 1 Month USD LIBOR + 1.75% 1.85%, 2/1/2027 | 4,089,541 | 4,055,659 | |||
CSC Holdings, LLC: | |||||
Senior Secured 2017 Term Loan B1, 3 Month USD LIBOR + 2.25% 2.36%, 7/17/2025 | 19,246,971 | 18,982,325 | |||
Senior Secured 2018 Incremental Term Loan, 3 Month USD LIBOR + 2.25% 2.36%, 1/15/2026 | 976,830 | 965,597 |
Security Description | Principal Amount | Value | |||
Senior Secured 2019 Term Loan B5, 3 Month USD LIBOR + 2.50% 2.61%, 4/15/2027 | $ 38,949,354 | $ 38,511,174 | |||
iHeartCommunications, Inc. Senior Secured 2020 Term Loan, 1 Month USD LIBOR + 3.00% 3.10%, 5/1/2026 | 6,472,768 | 6,436,941 | |||
MH Sub I, LLC: | |||||
Senior Secured 2017 1st Lien Term Loan, 1 Month USD LIBOR + 3.50% 3.60%, 9/13/2024 | 1,994,792 | 1,987,690 | |||
Senior Secured 2020 Incremental Term Loan, 1 Month USD LIBOR + 3.75% 4.75%, 9/13/2024 | 67,328,326 | 67,552,866 | |||
Senior Secured 2021 2nd Lien Term Loan, 1 Month USD LIBOR + 6.25% 6.35%, 2/12/2029 | 23,868,141 | 24,076,987 | |||
Nexstar Broadcasting, Inc. Senior Secured 2019 Term Loan B4, 3 Month USD LIBOR + 2.50% 2.60%, 9/18/2026 | 3,000,000 | 2,998,140 | |||
Radiate Holdco, LLC Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 3.25% 4.00%, 9/25/2026 | 72,423,670 | 72,273,028 | |||
Telenet Financing USD, LLC Senior Secured 2020 USD Term Loan AR, 3 Month USD LIBOR + 2.00% 2.11%, 4/30/2028 | 5,500,000 | 5,411,312 | |||
Univision Communications Inc. Senior Secured 2021 First Lien Term Loan B, 1 Month USD LIBOR + 3.25% 4.00%, 3/15/2026 | 5,012 | 5,030 | |||
Univision Communications, Inc. Senior Secured Term Loan C5, 1 Month USD LIBOR + 2.75% 3.75%, 3/15/2024 | 2,554,758 | 2,558,743 | |||
UPC Financing Partnership Senior Secured 2021 USD Term Loan AX, 3 Month USD LIBOR + 3.00% 3.11%, 1/31/2029 | 1,961,071 | 1,956,777 | |||
Vertical US Newco, Inc. Senior Secured Term Loan B, 6 Month USD LIBOR + 3.50% 4.00%, 7/30/2027 | 4,488,750 | 4,497,481 | |||
Virgin Media Bristol, LLC Senior Secured USD Term Loan N, 3 Month USD LIBOR + 2.50% 2.61%, 1/31/2028 | 17,379,000 | 17,245,095 | |||
Ziggo Financing Partnership Senior Secured USD Term Loan I, 3 Month USD LIBOR + 2.50% 2.61%, 4/30/2028 | 7,764,167 | 7,691,378 | |||
278,529,811 |
Security Description | Principal Amount | Value | |||
MEDICAL LABS&TESTING SRV — 0.5% | |||||
Electron BidCo, Inc. Senior Secured 2021 Term Loan, 3 Month USD LIBOR + 3.25% 3.75%, 11/1/2028 | $ 12,035,919 | $ 12,021,958 | |||
U.S. Anesthesia Partners, Inc. Senior Secured 2021 Term Loan, 6 Month USD LIBOR + 4.25% 4.75%, 10/1/2028 | 36,512,077 | 36,468,810 | |||
48,490,768 | |||||
MISCELLANEOUS MANUFACTUR — 0.2% | |||||
Hyperion Materials & Technologies, Inc. Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 4.50% 5.00%, 8/30/2028 | 11,511,134 | 11,544,747 | |||
LTI Holdings, Inc.: | |||||
Senior Secured 2018 2nd Lien Term Loan, 1 Month USD LIBOR + 6.75% 6.85%, 9/6/2026 | 1,928,424 | 1,924,085 | |||
Senior Secured 2018 Add On 1st Lien Term Loan, 1 Month USD LIBOR + 3.50% 3.60%, 9/6/2025 | 498,711 | 493,587 | |||
13,962,419 | |||||
MRI/MEDICAL DIAG IMAGING — 0.6% | |||||
Radiology Partners, Inc Senior Secured 2018 1st Lien Term Loan B, 3 Month USD LIBOR + 4.25% 4.36%, 7/9/2025 | 55,803,644 | 55,098,565 | |||
OIL, GAS & CONSUMABLE FUELS — 3.3% | |||||
BCP Raptor, LLC Senior Secured Term Loan B, 1 Month USD LIBOR + 4.25% 5.25%, 6/24/2024 | 147,011,923 | 147,063,378 | |||
EG America LLC Senior Secured 2018 USD Term Loan, 3 Month USD LIBOR + 4.00% 4.22%, 2/7/2025 | 44,603,368 | 44,494,982 | |||
EG Group Limited: | |||||
Senior Secured 2018 USD Term Loan B, 3 Month USD LIBOR + 4.00% 4.22%, 2/7/2025 | 8,890,328 | 8,868,724 | |||
Senior Secured 2021 Term Loan, 3 Month USD LIBOR + 4.25% 4.75%, 3/31/2026 | 8,286,084 | 8,353,408 | |||
Oryx Midstream Services Permian Basin LLC Senior Secured Term Loan B, 3 Month USD LIBOR + 3.25% 3.75%, 10/5/2028 | 12,918,052 | 12,852,493 | |||
Pacific Gas & Electric Co. Senior Secured 2020 Term Loan, 3 Month USD LIBOR + 3.00% 3.50%, 6/23/2025 | 74,182,308 | 73,533,213 | |||
295,166,198 |
Security Description | Principal Amount | Value | |||
PHARMACEUTICALS — 0.5% | |||||
Amneal Pharmaceuticals LLC Senior Secured 2018 Term Loan B, 1 Month USD LIBOR + 3.50% 3.63%, 5/4/2025 | $ 4,533,976 | $ 4,495,438 | |||
Elanco Animal Health, Inc. Senior Secured Term Loan B, 3 Month USD LIBOR + 1.75% 1.85%, 8/1/2027 | 5,460,807 | 5,397,243 | |||
Grifols Worldwide Operations USA, Inc. Senior Secured USD 2019 Term Loan B, 1 Month USD LIBOR + 2.00% 2.10%, 11/15/2027 | 471,021 | 464,923 | |||
Jazz Financing Lux SARL Senior Secured USD Term Loan, 1 Month USD LIBOR + 3.50% 4.00%, 5/5/2028 | 499,058 | 501,524 | |||
Padagis LLC Senior Secured Term Loan B, 3 Month USD LIBOR + 4.75% 5.25%, 7/6/2028 | 28,485,934 | 28,396,915 | |||
PetVet Care Centers, LLC Senior Secured 2021 Term Loan B3, 1 Month USD LIBOR + 3.50% 4.25%, 2/14/2025 | 1,994,898 | 1,997,142 | |||
41,253,185 | |||||
PIPELINES — 1.0% | |||||
CQP Holdco LP Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 3.75% 4.25%, 6/5/2028 | 8,977,444 | 8,968,062 | |||
Lucid Energy Group II Borrower, LLC Senior Secured 2021 Term Loan, 3 Month USD LIBOR + 4.25% 5.00%, 11/24/2028 | 63,845,777 | 63,175,396 | |||
TransMontaigne Operating Company L.P. Senior Secured Term Loan B, 1 Month USD LIBOR + 3.50% 4.00%, 11/17/2028 | 17,184,210 | 17,280,872 | |||
89,424,330 | |||||
PROFESSIONAL SERVICES — 0.5% | |||||
Dun & Bradstreet Corporation (The) Senior Secured Term Loan, 1 Month USD LIBOR + 3.25% 3.35%, 2/6/2026 | 2,493,703 | 2,486,583 | |||
KUEHG Corp. Senior Secured 2018 Incremental Term Loan, 3 Month USD LIBOR + 3.75% 4.75%, 2/21/2025 | 41,859,442 | 41,100,949 | |||
Trans Union, LLC Senior Secured 2021 Term Loan B6, 12/1/2028 | 500,000 | 499,375 |
Security Description | Principal Amount | Value | |||
WP CityMD Bidco, LLC Senior Secured 2021 1st Lien Term Loan B, 6 Month USD LIBOR + 3.25% 3.75%, 12/22/2028 | $ 998,744 | $ 999,523 | |||
45,086,430 | |||||
REAL ESTATE MANAGEMENT & DEVELOPMENT — 0.7% | |||||
Bright Bidco B.V. Senior Secured 2018 Term Loan B, 6 Month USD LIBOR + 3.50% 4.50%, 6/30/2024 | 75,530,283 | 58,532,193 | |||
RETAIL-BUILDING PRODUCTS — 1.7% | |||||
LBM Acquisition LLC Senior Secured Term Loan B, 1 Month USD LIBOR + 3.75% 4.50%, 12/17/2027 | 136,867,242 | 135,851,687 | |||
Park River Holdings, Inc. Senior Secured Term Loan, 3 Month USD LIBOR + 3.25% 4.00%, 12/28/2027 | 6,107,435 | 6,059,706 | |||
Specialty Building Products Holdings, LLC Senior Secured 2021 Term Loan B, 10/15/2028 (b) | 8,771,930 | 8,763,728 | |||
150,675,121 | |||||
RETAIL-CATALOG SHOPPING — 0.0% (c) | |||||
Medical Solutions L.L.C.: | |||||
Senior Secured 2021 Delayed Draw Term Loan, 11/1/2028 | 218,880 | 218,919 | |||
Senior Secured 2021 First Lien Term Loan, 3 Month USD LIBOR + 3.50% 4.00%, 11/1/2028 | 2,889,843 | 2,890,363 | |||
3,109,282 | |||||
RETAIL-RESTAURANTS — 0.9% | |||||
CT Technologies Intermediate Holdings, Inc. Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 4.25% 5.00%, 12/16/2025 | 31,117,892 | 31,176,238 | |||
IRB Holding Corp.: | |||||
Senior Secured 2020 Fourth Amendment Incremental Term Loan, 3 Month USD LIBOR + 3.25% 4.25%, 12/15/2027 | 24,559,292 | 24,593,798 | |||
Senior Secured 2020 Term Loan B, 6 Month USD LIBOR + 2.75% 3.75%, 2/5/2025 | 11,927,424 | 11,924,025 | |||
Tacala, LLC Senior Secured 1st Lien Term Loan, 1 Month USD LIBOR + 3.50% 4.25%, 2/5/2027 | 8,538,490 | 8,534,092 | |||
76,228,153 |
Security Description | Principal Amount | Value | |||
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT — 0.1% | |||||
MKS Instruments, Inc. Senior Secured 2021 USD Term Loan, 10/21/2028 (b) | $ 5,000,000 | $ 4,995,625 | |||
SOFTWARE — 15.8% | |||||
Applied Systems, Inc.: | |||||
Senior Secured 2017 1st Lien Term Loan, 3 Month USD LIBOR + 2.25% 3.25%, 9/19/2024 | 2,000,000 | 2,001,500 | |||
Senior Secured 2021 2nd Lien Term Loan, 3 Month USD LIBOR + 5.50% 6.25%, 9/19/2025 | 5,914,103 | 5,976,409 | |||
Apttus Corp. Senior Secured 2021 Term Loan, 3 Month USD LIBOR + 4.25% 5.00%, 5/8/2028 | 12,651,220 | 12,698,662 | |||
Athenahealth, Inc. Senior Secured 2021 Term Loan B1, 3 Month USD LIBOR + 4.25% 4.40%, 2/11/2026 | 58,881,826 | 58,962,788 | |||
Banff Merger Sub, Inc.: | |||||
Senior Secured 2021 USD 2nd Lien Term Loan, 3 Month USD LIBOR + 5.50% 6.00%, 2/27/2026 | 43,500,065 | 43,998,358 | |||
Senior Secured 2021 USD Term Loan, 3 Month USD LIBOR + 3.75% 3.97%, 10/2/2025 | 35,158,849 | 34,983,055 | |||
CCC Intelligent Solutions, Inc. Senior Secured Term Loan B, 9/21/2028 (b) | 5,000,000 | 5,002,350 | |||
Cengage Learning, Inc. Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 4.75% 5.75%, 6/29/2026 | 106,137,879 | 106,563,492 | |||
Cloudera, Inc.: | |||||
Senior Secured 2021 Second Lien Term Loan, 1 Month USD LIBOR + 6.00% 6.50%, 10/8/2029 | 20,579,950 | 20,631,400 | |||
Senior Secured 2021 Term Loan, 1 Month USD LIBOR + 3.75% 4.25%, 10/8/2028 | 49,715,481 | 49,645,631 | |||
ConnectWise, LLC Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 3.50% 4.00%, 9/29/2028 | 8,000,000 | 7,991,440 | |||
Cornerstone OnDemand, Inc. Senior Secured 2021 Term Loan, 3 Month USD LIBOR + 3.75% 4.25%, 10/16/2028 | 17,524,590 | 17,496,376 | |||
DCert Buyer, Inc.: | |||||
Senior Secured 2019 Term Loan B, 1 Month USD LIBOR + 4.00% 4.10%, 10/16/2026 | 8,318,321 | 8,313,122 | |||
Senior Secured 2021 2nd Lien Term Loan, 1 Month USD LIBOR + 7.00% 7.10%, 2/19/2029 | 30,245,434 | 30,371,406 |
Security Description | Principal Amount | Value | |||
ECI Macola Max Holdings, LLC Senior Secured 2020 Term Loan, 3 Month USD LIBOR + 3.75% 4.50%, 11/9/2027 | $ 17,440,337 | $ 17,470,334 | |||
Ensono, LP Senior Secured 2021 Term Loan, 1 Month USD LIBOR + 4.00% 4.75%, 5/19/2028 | 33,274,252 | 33,291,554 | |||
Epicor Software Corp.: | |||||
Senior Secured 2020 2nd Lien Term Loan, 1 Month USD LIBOR + 7.75% 8.75%, 7/31/2028 | 3,632,899 | 3,726,755 | |||
Senior Secured 2020 Term Loan, 1 Month USD LIBOR + 3.25% 4.00%, 7/30/2027 | 3,491,162 | 3,492,960 | |||
Finastra USA, Inc. Senior Secured USD 1st Lien Term Loan, 3 Month USD LIBOR + 3.50% 4.50%, 6/13/2024 | 79,993,289 | 79,743,310 | |||
Flexera Software LLC Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 3.75% 4.50%, 3/3/2028 | 25,826,552 | 25,876,785 | |||
Gigamon, Inc. Senior Secured 1st Lien Term Loan, 6 Month USD LIBOR + 3.75% 4.50%, 12/27/2024 | 1,546,614 | 1,549,762 | |||
Greeneden U.S. Holdings II, LLC Senior Secured 2020 USD Term Loan B4, 1 Month USD LIBOR + 4.00% 4.75%, 12/1/2027 | 78,730,701 | 79,099,948 | |||
Help/Systems Holdings, Inc Senior Secured 2021 Term Loan, 2 Month USD LIBOR + 4.00% 4.75%, 11/19/2026 | 73,770,719 | 73,663,014 | |||
Hyland Software, Inc. Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 3.50% 4.25%, 7/1/2024 | 2,992,268 | 3,007,229 | |||
Idera, Inc. Senior Secured 2021 Term Loan, 3 Month USD LIBOR + 3.75% 4.50%, 3/2/2028 | 61,627,111 | 61,656,076 | |||
I-Logic Technologies Bidco, Ltd. Senior Secured 2021 USD Term Loan B, 3 Month USD LIBOR + 4.00% 4.50%, 2/16/2028 | 2,304,315 | 2,315,422 | |||
Imperva, Inc.: | |||||
Senior Secured 1st Lien Term Loan, 3 Month USD LIBOR + 4.00% 5.00%, 1/12/2026 | 25,444,401 | 25,442,365 | |||
Senior Secured 2nd Lien Term Loan, 3 Month USD LIBOR + 7.75% 8.75%, 1/11/2027 | 5,398,559 | 5,425,552 | |||
ION Trading Finance Limited Senior Secured 2021 USD Term Loan, 3 Month USD LIBOR + 4.75% 4.97%, 4/3/2028 | 20,695,306 | 20,775,811 |
Security Description | Principal Amount | Value | |||
Ivanti Software, Inc.: | |||||
Senior Secured 2021 2nd Lien Term Loan, 3 Month USD LIBOR + 7.25% 7.75%, 12/1/2028 | $ 14,677,836 | $ 14,714,604 | |||
Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 4.25% 5.00%, 12/1/2027 | 77,014,489 | 77,230,900 | |||
MA FinanceCo., LLC Senior Secured 2020 USD Term Loan B, 3 Month USD LIBOR + 4.25% 5.25%, 6/5/2025 | 10,084,586 | 10,242,208 | |||
MeridianLink, Inc. Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 3.00% 3.50%, 11/10/2028 | 512,500 | 512,661 | |||
Mitchell International, Inc.: | |||||
Senior Secured 2021 2nd Lien Term Loan, 3 Month USD LIBOR + 6.50% 7.00%, 10/15/2029 | 31,677,381 | 31,938,719 | |||
Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 3.75% 4.25%, 10/15/2028 | 41,542,923 | 41,361,173 | |||
Navicure, Inc. Senior Secured 2019 Term Loan B, 1 Month USD LIBOR + 4.00% 4.10%, 10/22/2026 | 493,681 | 493,885 | |||
Polaris Newco LLC Senior Secured USD Term Loan B, 3 Month USD LIBOR + 4.00% 4.50%, 6/2/2028 | 96,819,392 | 96,935,091 | |||
Project Boost Purchaser, LLC: | |||||
Senior Secured 2019 Term Loan B, 6/1/2026 (b) | 4,992,634 | 4,995,755 | |||
Senior Secured 2021 Incremental Term Loan, 1 Month USD LIBOR + 3.50% 4.00%, 5/30/2026 | 3,787,974 | 3,792,709 | |||
Project Leopard Holdings, Inc.: | |||||
Senior Secured 2018 Term Loan, 3 Month USD LIBOR + 4.75% 5.75%, 7/5/2024 | 2,240,412 | 2,245,083 | |||
Senior Secured 2019 Term Loan, 3 Month USD LIBOR + 4.75% 5.75%, 7/7/2024 | 27,915,754 | 27,985,543 | |||
Project Ruby Ultimate Parent Corp. Senior Secured 2021 Term Loan, 1 Month USD LIBOR + 3.25% 4.00%, 3/3/2028 | 7,593,759 | 7,595,315 | |||
Quest Software US Holdings, Inc.: | |||||
Senior Secured 2018 1st Lien Term Loan, 3 Month USD LIBOR + 4.25% 4.38%, 5/16/2025 | 20,636,543 | 20,644,385 | |||
Senior Secured 2018 2nd Lien Term Loan, 3 Month USD LIBOR + 8.25% 8.38%, 5/18/2026 | 6,386,053 | 6,394,707 | |||
RealPage, Inc. Senior Secured 1st Lien Term Loan, 1 Month USD LIBOR + 3.25% 3.75%, 4/24/2028 | 5,524,913 | 5,515,438 |
Security Description | Principal Amount | Value | |||
Rocket Software, Inc.: | |||||
Senior Secured 2018 Term Loan, 1 Month USD LIBOR + 4.25% 4.35%, 11/28/2025 | $ 11,039,448 | $ 10,994,628 | |||
Senior Secured 2021 USD Incremental Term Loan B, 1 Month USD LIBOR + 4.25% 4.75%, 11/28/2025 | 12,437,500 | 12,439,055 | |||
Sabre GLBL, Inc.: | |||||
Senior Secured 2021 Term Loan B1, 1 Month USD LIBOR + 3.50% 4.00%, 12/17/2027 | 3,234,329 | 3,197,943 | |||
Senior Secured 2021 Term Loan B2, 1 Month USD LIBOR + 3.50% 4.00%, 12/17/2027 | 5,155,713 | 5,097,711 | |||
SolarWinds Holdings, Inc. Senior Secured 2018 Term Loan B, 2/5/2024 (b) | 2,318,476 | 2,290,017 | |||
Sophia, L.P. Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 3.50% 4.00%, 10/7/2027 | 1,974,874 | 1,976,602 | |||
Sovos Compliance, LLC Senior Secured 2021 Term Loan, 1 Month USD LIBOR + 4.50% 5.00%, 8/11/2028 | 10,681,687 | 10,722,598 | |||
SS&C Technologies Holdings, Inc. S.A.R.L. Senior Secured 2018 Term Loan B4, 4/16/2025 (b) | 3,661,850 | 3,625,250 | |||
SS&C Technologies, Inc. Senior Secured 2018 Term Loan B3, 4/16/2025 (b) | 4,599,760 | 4,553,785 | |||
Surf Holdings, LLC Senior Secured USD Term Loan, 3 Month USD LIBOR + 3.50% 3.69%, 3/5/2027 | 1,649 | 1,638 | |||
TPG VIII Elf Purchaser, LLC Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 3.50% 4.00%, 11/6/2028 | 2,456,893 | 2,460,886 | |||
Veritas US, Inc. Senior Secured 2021 USD Term Loan B, 3 Month USD LIBOR + 5.00% 6.00%, 9/1/2025 | 60,126,169 | 60,201,326 | |||
Virgin Pulse, Inc. Senior Secured 2021 Term Loan, 3 Month USD LIBOR + 4.00% 4.75%, 4/6/2028 | 17,106,437 | 16,921,088 | |||
Vision Solutions, Inc.: | |||||
Senior Secured 2021 2nd Lien Term Loan, 4/23/2029 (b) | 3,000,000 | 3,004,695 | |||
Senior Secured 2021 Incremental Term Loan, 3 Month USD LIBOR + 4.00% 4.75%, 4/24/2028 | 73,092,555 | 73,092,555 | |||
Weld North Education, LLC Senior Secured 2021 Term Loan B, 1 Month USD LIBOR + 3.75% 4.25%, 12/21/2027 | 11,726,756 | 11,743,877 | |||
1,416,094,696 |
Security Description | Principal Amount | Value | |||
SPECIALTY RETAIL — 2.3% | |||||
K-Mac Holdings Corp. Senior Secured 2021 Term Loan, 3 Month USD LIBOR + 3.50% 4.00%, 7/21/2028 | $ 6,271,715 | $ 6,239,855 | |||
Michaels Companies, Inc. Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 4.25% 5.00%, 4/15/2028 | 47,130,426 | 46,785,431 | |||
Petco Health and Wellness Company, Inc. Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 3.25% 4.00%, 3/3/2028 | 7,058,517 | 7,059,046 | |||
PetSmart, Inc. Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 3.75% 4.50%, 2/11/2028 | 91,202,743 | 91,459,479 | |||
SRS Distribution, Inc. Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 3.75% 4.25%, 6/2/2028 | 50,279,340 | 50,241,128 | |||
201,784,939 | |||||
STEEL-PRODUCERS — 0.1% | |||||
Phoenix Services International, LLC Senior Secured Term Loan, 1 Month USD LIBOR + 3.75% 4.75%, 3/1/2025 | 8,930,902 | 8,883,434 | |||
TELECOM SERVICES — 0.5% | |||||
SBA Senior Finance II, LLC Senior Secured 2018 Term Loan B, 4/11/2025 (b) | 46,579,328 | 46,135,427 | |||
TELECOMMUNICATION EQUIP — 0.8% | |||||
Altice France S.A. Senior Secured 2018 Term Loan B13, 2 Month USD LIBOR + 4.00% 4.12%, 8/14/2026 | 8,603,308 | 8,573,196 | |||
Cyxtera DC Holdings, Inc. Senior Secured Term Loan B, 6 Month USD LIBOR + 3.00% 4.00%, 5/1/2024 | 22,937,217 | 22,746,723 | |||
Delta TopCo, Inc. Senior Secured 2020 Term Loan B, 3 Month USD LIBOR + 3.75% 4.50%, 12/1/2027 | 21,705,504 | 21,755,970 | |||
MLN US HoldCo LLC Senior Secured 2018 1st Lien Term Loan, 1 Month USD LIBOR + 4.50% 4.60%, 11/30/2025 | 15,511,453 | 15,028,504 | |||
68,104,393 |
Security Description | Principal Amount | Value | |||
TELEVISION — 0.0% (c) | |||||
Gray Television, Inc. Senior Secured 2018 Term Loan C, 1/2/2026 (b) | $ 680,789 | $ 676,602 | |||
TEXTILES, APPAREL & LUXURY GOODS — 1.0% | |||||
Varsity Brands, Inc. Senior Secured 2017 Term Loan B, 1 Month USD LIBOR + 3.50% 4.50%, 12/15/2024 | 92,739,423 | 91,174,445 | |||
TRADING COMPANIES & DISTRIBUTORS — 0.3% | |||||
Foundation Building Materials Holding Co. LLC Senior Secured 2021 Term Loan, 2/3/2028 (b) | 2,197,436 | 2,185,075 | |||
Pro Mach Group, Inc.: | |||||
Senior Secured 2021 Delayed Draw Term Loan, 3 Month USD LIBOR + 4.00% 5.00%, 8/31/2028 | 223,464 | 224,519 | |||
Senior Secured 2021 Term Loan B, 3 Month USD LIBOR + 4.00% 5.00%, 8/31/2028 | 22,925,778 | 23,033,988 | |||
25,443,582 | |||||
TRANSPORT-AIR FREIGHT — 0.9% | |||||
Kestrel Bidco, Inc. Senior Secured Term Loan B, 6 Month USD LIBOR + 3.00% 4.00%, 12/11/2026 | 80,663,195 | 78,541,350 | |||
TRANSPORT-SERVICES — 0.3% | |||||
LaserShip, Inc. Senior Secured 2021 Term Loan, 3 Month USD LIBOR + 4.50% 5.25%, 5/7/2028 | 25,810,313 | 25,870,838 | |||
WEB HOSTING/DESIGN — 1.3% | |||||
Endure Digital, Inc. Senior Secured Term Loan, 3 Month USD LIBOR + 3.50% 4.25%, 2/10/2028 | 117,765,075 | 116,937,187 | |||
TOTAL SENIOR FLOATING RATE LOANS (Cost $8,182,970,620) | 8,196,929,414 |
Security Description | Shares | Value | |||
WARRANTS — 0.0% (c) | |||||
HEALTH CARE EQUIPMENT & SUPPLIES — 0.0% (c) | |||||
Carestream Health Holdings (expiring 12/31/49) (d) (e) (Cost $0) | 372 | $ 1,033,394 | |||
TOTAL WARRANTS (Cost $0) | 1,033,394 |
Principal Amount | |||
CORPORATE BONDS & NOTES — 6.6% | |||
AEROSPACE & DEFENSE — 0.0% (c) | |||
TransDigm, Inc. 5.50%, 11/15/2027 | $ 1,000,000 | 1,030,600 | |
AIRLINES — 0.8% | |||
American Airlines, Inc. 11.75%, 7/15/2025 (f) | 60,030,000 | 74,632,898 | |
AUTO PARTS & EQUIPMENT — 0.3% | |||
GC EOS Buyer, Inc. 9.25%, 8/1/2025 (f) | 21,000,000 | 22,487,010 | |
COMMERCIAL SERVICES — 1.0% | |||
Allied Universal Holdco LLC/Allied Universal Finance Corp. 6.00%, 6/1/2029 (f) | 2,817,000 | 2,739,166 | |
Prime Security Services Borrower LLC/Prime Finance, Inc. 6.25%, 1/15/2028 (f) | 13,235,000 | 13,818,002 | |
Team Health Holdings, Inc. 6.38%, 2/1/2025 (f) | 73,734,000 | 69,396,966 | |
WASH Multifamily Acquisition, Inc. 5.75%, 4/15/2026 (f) | 4,400,000 | 4,623,036 | |
90,577,170 | |||
COMPUTERS — 0.0% (c) | |||
Diebold Nixdorf, Inc. 9.38%, 7/15/2025 (f) | 3,488,000 | 3,748,379 | |
DIVERSIFIED FINANCIAL SERVICES — 0.2% | |||
AG Issuer LLC 6.25%, 3/1/2028 (f) | 3,827,000 | 3,977,975 | |
NFP Corp. 6.88%, 8/15/2028 (f) | 10,484,000 | 10,525,202 | |
14,503,177 |
Security Description | Principal Amount | Value | |||
ENTERTAINMENT — 1.4% | |||||
AMC Entertainment Holdings, Inc. 10.00%, 6/15/2026 (f) | $ 78,513,000 | $ 77,606,959 | |||
Cinemark USA, Inc.: | |||||
5.25%, 7/15/2028 (f) | 19,000,000 | 18,526,140 | |||
5.88%, 3/15/2026 (f) | 27,974,000 | 28,255,139 | |||
124,388,238 | |||||
HEALTH CARE SERVICES — 0.1% | |||||
Envision Helthcare Corp. 8.75%, 10/15/2026 (f) | 13,588,000 | 7,828,047 | |||
US Acute Care Solutions LLC 6.38%, 3/1/2026 (f) | 3,788,000 | 3,963,839 | |||
11,791,886 | |||||
INTERNET — 0.3% | |||||
Endure Digital, Inc. 6.00%, 2/15/2029 (f) | 21,000,000 | 19,596,990 | |||
Photo Holdings Merger Sub, Inc. 8.50%, 10/1/2026 (f) | 7,042,000 | 7,327,412 | |||
26,924,402 | |||||
MEDIA — 0.6% | |||||
Altice Financing SA 5.75%, 8/15/2029 (f) | 24,548,000 | 24,284,354 | |||
Audacy Capital Corp. 6.75%, 3/31/2029 (f) | 2,500,000 | 2,442,775 | |||
Directv Financing LLC/Directv Financing Co-Obligor, Inc. 5.88%, 8/15/2027 (f) | 5,952,000 | 6,097,110 | |||
DISH DBS Corp.: | |||||
5.13%, 6/1/2029 | 9,533,000 | 8,673,886 | |||
7.38%, 7/1/2028 | 6,500,000 | 6,599,060 | |||
LCPR Senior Secured Financing DAC 6.75%, 10/15/2027 (f) | 4,822,000 | 5,103,605 | |||
53,200,790 | |||||
PACKAGING & CONTAINERS — 0.1% | |||||
Altium Packaging LLC 1 Month USD LIBOR + 1.75% 3.25%, 2/3/2028 | 3,290 | 3,261 | |||
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. 5.25%, 8/15/2027 (f) | 2,963,000 | 2,992,097 |
Security Description | Principal Amount | Value | |||
Intelligent Packaging, Ltd. Finco, Inc./Intelligent Packaging, Ltd. Co-Issuer LLC 6.00%, 9/15/2028 (f) | $ 1,442,000 | $ 1,486,183 | |||
4,481,541 | |||||
RETAIL — 0.9% | |||||
eG Global Finance PLC 6.75%, 2/7/2025 (f) | 25,937,000 | 26,226,975 | |||
Foundation Building Materials, Inc. 6.00%, 3/1/2029 (f) | 13,692,000 | 13,425,417 | |||
LBM Acquisition LLC 6.25%, 1/15/2029 (f) | 12,810,000 | 12,760,041 | |||
PetSmart, Inc./PetSmart Finance Corp. 7.75%, 2/15/2029 (f) | 10,248,000 | 11,187,844 | |||
SRS Distribution, Inc. 6.13%, 7/1/2029 (f) | 16,095,000 | 16,394,689 | |||
White Cap Buyer LLC 6.88%, 10/15/2028 (f) | 3,783,000 | 3,960,120 | |||
83,955,086 | |||||
SOFTWARE — 0.2% | |||||
Veritas US, Inc./Veritas Bermuda, Ltd. 7.50%, 9/1/2025 (f) | 19,444,000 | 20,184,039 | |||
TELECOMMUNICATIONS — 0.7% | |||||
Altice France Holding SA 6.00%, 2/15/2028 (f) | 6,598,000 | 6,310,855 | |||
Altice France SA: | |||||
5.50%, 1/15/2028 (f) | 5,000,000 | 4,956,600 | |||
5.50%, 10/15/2029 (f) | 23,728,000 | 23,490,720 | |||
CommScope Technologies LLC 6.00%, 6/15/2025 (f) | 10,000,000 | 10,010,900 | |||
CommScope, Inc. 7.13%, 7/1/2028 (f) | 2,325,000 | 2,296,263 | |||
Plantronics, Inc. 4.75%, 3/1/2029 (f) | 11,251,000 | 10,726,028 | |||
57,791,366 | |||||
TOTAL CORPORATE BONDS & NOTES (Cost $606,475,059) | 589,696,582 |
Security Description | Shares | Value | |||
SHORT-TERM INVESTMENT — 10.4% | |||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 0.03% (g) (h) (Cost $928,384,340) | 928,384,340 | $ 928,384,340 | |||
TOTAL INVESTMENTS — 108.7% (Cost $9,717,830,019) | 9,716,043,730 | ||||
LIABILITIES IN EXCESS OF OTHER ASSETS — (8.7)% | (774,524,646) | ||||
NET ASSETS — 100.0% | $ 8,941,519,084 |
(a) | The rate shown represents the rate at December 31, 2021. |
(b) | Position is unsettled. Contract rate was not determined at December 31, 2021 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) | Fair valued as determined in good faith by the Trust's Oversight Committee in accordance with policy and procedures approved by the Board of Trustees. Security value is determined based on Level 3 inputs. As of December 31, 2021, total aggregate fair value of the security is $1,033,394, representing less than 0.05% of the Fund's net assets. |
(e) | Non-income producing security. |
(f) | Securities purchased pursuant to Rule 144A of the Securities Act of 1933, as amended. These securities, which represent 6.4% of net assets as of December 31, 2021, are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
(g) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2021 are shown in the Affiliate Table below. |
(h) | The rate shown is the annualized seven-day yield at December 31, 2021. |
LIBOR | London Interbank Offered Rate |
LP | Limited Partnership |
PIK | Payment in Kind |
Borrower | Unfunded Loan Commitment ($) | Value ($) | Unrealized Appreciation/(Depreciation) ($) | |||
National Mentor Holdings, Inc. | 1,796,357 | 1,779,516 | (16,841) | |||
New Arclin U.S. Holding Corp. | 1,676,165 | 1,676,224 | 59 | |||
Hillman Group Inc. | 875,927 | 874,066 | (1,861) |
Borrower | Unfunded Loan Commitment ($) | Value ($) | Unrealized Appreciation/(Depreciation) ($) | |||
VT Topco, Inc. | 2,159,510 | 2,159,963 | 453 | |||
Sovos Compliance, LLC | 1,844,629 | 1,851,694 | 7,065 | |||
Trident TPI Holdings, Inc. | 569,777 | 570,222 | 445 | |||
Medical Solutions L.L.C. | 331,566 | 331,626 | 60 | |||
Pro Mach Group, Inc. | 2,660,282 | 2,672,838 | 12,556 | |||
$11,914,213 | $11,916,149 | $1,936 |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Corporate Bonds & Notes | $ — | $ 589,696,582 | $ — | $ 589,696,582 | ||||
Senior Floating Rate Loans | — | 8,196,929,414 | — | 8,196,929,414 | ||||
Warrants | — | — | 1,033,394 | 1,033,394 | ||||
Short-Term Investment | 928,384,340 | — | — | 928,384,340 | ||||
TOTAL INVESTMENTS | $928,384,340 | $8,786,625,996 | $1,033,394 | $9,716,043,730 | ||||
LIABILITIES: | ||||||||
OTHER FINANCIAL INSTRUMENTS: | ||||||||
Unfunded Loans(a) | — | 1,936 | — | 1,936 | ||||
TOTAL OTHER FINANCIAL INSTRUMENTS: | $ — | $ 1,936 | $ — | $ 1,936 |
(a) | Unfunded loan commitments are valued at unrealized appreciation (depreciation). |
Number of Shares Held at 6/30/21 | Value at 6/30/21 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 12/31/21 | Value at 12/31/21 | Dividend Income | |||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 1,121,627,625 | $1,121,627,625 | $2,264,565,361 | $2,457,808,646 | $— | $— | 928,384,340 | $928,384,340 | $130,751 | ||||||||
SPDR Blackstone Senior Loan ETF | |
ASSETS | |
Investments in unaffiliated issuers, at value | $ 8,787,659,390 |
Investments in affiliated issuers, at value | 928,384,340 |
Total Investments | 9,716,043,730 |
Receivable for investments sold | 701,231,808 |
Receivable for fund shares sold | 4,556,442 |
Dividends receivable — affiliated issuers | 15,922 |
Interest receivable — unaffiliated issuers | 53,324,460 |
Unrealized appreciation on unfunded loan commitments | 1,936 |
TOTAL ASSETS | 10,475,174,298 |
LIABILITIES | |
Due to custodian | 31,945,713 |
Payable for investments purchased | 1,496,567,186 |
Advisory fee payable | 5,132,206 |
Trustees’ fees and expenses payable | 10,109 |
TOTAL LIABILITIES | 1,533,655,214 |
NET ASSETS | $ 8,941,519,084 |
NET ASSETS CONSIST OF: | |
Paid-in Capital | $ 9,180,441,207 |
Total distributable earnings (loss) | (238,922,123) |
NET ASSETS | $ 8,941,519,084 |
NET ASSET VALUE PER SHARE | |
Net asset value per share | $ 45.59 |
Shares outstanding (unlimited amount authorized, no par value) | 196,150,000 |
COST OF INVESTMENTS: | |
Investments in unaffiliated issuers | $ 8,789,445,679 |
Investments in affiliated issuers | 928,384,340 |
Total cost of investments | $ 9,717,830,019 |
SPDR Blackstone Senior Loan ETF | |
INVESTMENT INCOME | |
Interest income — unaffiliated issuers | $192,875,125 |
Dividend income — affiliated issuers | 130,751 |
TOTAL INVESTMENT INCOME | 193,005,876 |
EXPENSES | |
Advisory fee | 26,789,733 |
Trustees’ fees and expenses | 45,556 |
Miscellaneous expenses | 88 |
TOTAL EXPENSES | 26,835,377 |
NET INVESTMENT INCOME (LOSS) | $166,170,499 |
REALIZED AND UNREALIZED GAIN (LOSS) | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | 16,983,655 |
Net change in unrealized appreciation/depreciation on: | |
Investments — unaffiliated issuers | (98,691,080) |
Unfunded loan commitments | (7,808) |
Net change in unrealized appreciation/depreciation | (98,698,888) |
NET REALIZED AND UNREALIZED GAIN (LOSS) | (81,715,233) |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $ 84,455,266 |
SPDR Blackstone Senior Loan ETF | |||
Six Months Ended 12/31/21 (Unaudited) | Year Ended 6/30/21 | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss) | $ 166,170,499 | $ 126,602,637 | |
Net realized gain (loss) | 16,983,655 | 8,848,268 | |
Net change in unrealized appreciation/depreciation | (98,698,888) | 136,248,747 | |
Net increase (decrease) in net assets resulting from operations | 84,455,266 | 271,699,652 | |
Net equalization credits and charges | (968,043) | 3,900,949 | |
Distributions to shareholders | (196,630,500) | (123,950,000) | |
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||
Proceeds from shares sold | 2,960,620,986 | 4,849,884,181 | |
Cost of shares redeemed | (201,328,321) | (138,069,393) | |
Net income equalization | 968,043 | (3,900,949) | |
Other Capital | 205,443 | 1,457,881 | |
Net increase (decrease) in net assets from beneficial interest transactions | 2,760,466,151 | 4,709,371,720 | |
Contribution from Affiliate (Note 4) | — | 79,391 | |
Net increase (decrease) in net assets during the period | 2,647,322,874 | 4,861,101,712 | |
Net assets at beginning of period | 6,294,196,210 | 1,433,094,498 | |
NET ASSETS AT END OF PERIOD | $8,941,519,084 | $6,294,196,210 | |
SHARES OF BENEFICIAL INTEREST: | |||
Shares sold | 64,600,000 | 105,950,000 | |
Shares redeemed | (4,400,000) | (3,050,000) | |
Net increase (decrease) from share transactions | 60,200,000 | 102,900,000 |
SPDR Blackstone Senior Loan ETF | |||||||||||
Six Months Ended 12/31/21 (Unaudited) | Year Ended 6/30/21 | Year Ended 6/30/20(a) | Year Ended 6/30/19(a) | Year Ended 6/30/18(a) | Year Ended 6/30/17(a) | ||||||
Net asset value, beginning of period | $ 46.30 | $ 43.36 | $ 46.25 | $ 47.04 | $ 47.41 | $ 46.64 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (b) | 1.00 | 1.98 | 2.34 | 2.48 | 2.04 | 1.85 | |||||
Net realized and unrealized gain (loss) (c) | (0.51) | 3.02 | (3.06) | (0.86) | (0.50) | 0.73 | |||||
Total from investment operations | 0.49 | 5.00 | (0.72) | 1.62 | 1.54 | 2.58 | |||||
Net equalization credits and charges (b) | (0.01) | 0.06 | (0.04) | (0.03) | 0.04 | 0.05 | |||||
Contribution from Affiliate (Note 4) | — | 0.00(d) | 0.01 | — | — | — | |||||
Other capital (b) | 0.00(d) | 0.02 | 0.21 | 0.09 | 0.02 | 0.02 | |||||
Distributions to shareholders from: | |||||||||||
Net investment income | (1.19) | (2.14) | (2.35) | (2.47) | (1.97) | (1.88) | |||||
Net asset value, end of period | $ 45.59 | $ 46.30 | $ 43.36 | $ 46.25 | $ 47.04 | $ 47.41 | |||||
Total return (e) | 1.03% | 11.97%(f) | (1.23)%(f) | 3.68% | 3.43% | 5.77% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s) | $8,941,519 | $6,294,196 | $1,433,094 | $2,222,400 | $3,189,624 | $1,820,505 | |||||
Ratios to average net assets: | |||||||||||
Total expenses | 0.70%(g) | 0.70% | 0.70% | 0.70% | 0.70% | 0.70% | |||||
Net investment income (loss) | 4.34%(g) | 4.31% | 5.17% | 5.33% | 4.30% | 3.91% | |||||
Portfolio turnover rate | 57%(h) | 176% | 195%(i) | 124%(i) | 90%(i) | 68%(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) | If an affiliate had not made a contribution during the years ended ended June 30, 2021 and June 30, 2020, the total return would have remained 11.97% and (1.23)%, respectively. |
(g) | Annualized. |
(h) | Not annualized. |
(i) | Portfolio turnover rate is from the the affiliated Portfolio prior to the discontinuance of the master feeder structure. |
Annual Rate | |
SPDR Blackstone Senior Loan ETF | 0.70% |
Purchases | Sales | ||
SPDR Blackstone Senior Loan ETF | $6,971,725,453 | $4,322,986,681 |
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | ||||
SPDR Blackstone Senior Loan ETF | $9,731,781,594 | $43,114,639 | $58,850,567 | $(15,735,928) |
SPDR Blackstone Senior Loan ETF | |
Annualized Expense Ratio | 0.70% |
Actual: | |
Ending Account Value | $1,010.30 |
Expenses Paid During Period(a) | 3.55 |
Hypothetical (assuming a 5% return before expenses): | |
Ending Account Value | 1,021.70 |
Expenses Paid During Period(a) | 3.57 |
(a) | Expenses are equal to the Fund's annualized net expense ratio multiplied by the average account value of the period, multiplied by 184, then divided by 365. |
• | the Program supported the Fund's ability to honor redemption requests timely; |
• | the Program supported SSGA FM's management of the 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 the Fund's liquidity risk; and |
• | the Program operated adequately during the period. |
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
One Iron Street
Boston, MA 02210
(b) Not applicable.
Item 2. Code of Ethics.
Not applicable to this filing; this Form N-CSR is a Semi-Annual Report.
Item 3. Audit Committee Financial Expert.
Not applicable to this filing; this Form N-CSR is a Semi-Annual Report.
Item 4. Principal Accountant Fees and Services.
Not applicable to this filing; this Form N-CSR is a Semi-Annual Report.
Item 5. Audit Committees of Listed Registrants.
Not applicable to this filing; this Form N-CSR is a Semi-Annual Report.
Item 6. Investments.
(a) | Schedules of Investments are included as part of the reports to shareholders filed under Item 1 of this Form N-CSR. |
(b) | Not applicable to the registrant. |
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable to the registrant.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable to the registrant.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable to the registrant.
Item 10. Submission of Matters to a Vote of Security Holders.
The registrant has not adopted any material changes to the procedures by which shareholders may recommend nominees to the registrant’s Board.
Item 11. Controls and Procedures.
(a) Within 90 days of the filing date of this Form N-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 Rule 30a-3(c) under the 1940 Act) and evaluated their effectiveness. Based on their review, Ms. Needham and Mr. Rosenberg determined that the disclosure controls and procedures adequately ensure that information required to be disclosed by the registrant in its periodic reports is recorded, processed, summarized and reported within the time periods required by the U.S. Securities and Exchange Commission.
(b) There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
(a) | Not applicable to the registrant. |
(b) | Not applicable to the registrant. |
Item 13. Exhibits.
(a)(1) Not applicable to the registrant.
(a)(3) Not applicable to the registrant.
(a)(4) Not applicable.
(b) |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934, as amended, and the Investment Company Act of 1940, as amended, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
SSGA Active Trust | ||
By: | /s/ Ellen M. Needham | |
Ellen M. Needham | ||
President and Principal Executive Officer | ||
Date: | March 9, 2022 |
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 9, 2022 | |
By: | /s/ Bruce S. Rosenberg | |
Bruce S. Rosenberg | ||
Treasurer and Principal Financial Officer | ||
Date: | March 9, 2022 |