Quarterly Report
March 31, 2019
SSGA Active Trust
The information contained in this
report is intended for the general information of shareholders of the Trust. This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current Trust prospectus which
contains important information concerning the Trust. You may obtain a current prospectus and SAI from the Distributor by calling 1-866-787-2257 or visiting www.spdrs.com. Please read the prospectus carefully before
you invest.
TABLE OF CONTENTS (Unaudited)
| Schedules of Investments (Unaudited) | |
| 1 | |
| 3 | |
| 5 | |
| 8 | |
| 23 | |
| 30 | |
| 54 | |
| 56 | |
| 58 | |
| 60 | |
| 62 | |
| 66 | |
| 76 |
The information contained in this report is intended
for the general information of shareholders of the Trust. This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current Trust prospectus which contains important
information concerning the Trust. You may obtain a current prospectus and SAI from the Distributor by calling 1-866-787-2257 or visiting www.spdrs.com. Please read the prospectus carefully before you invest.
SPDR SSGA MULTI-ASSET REAL RETURN ETF
SCHEDULE OF INVESTMENTS
March 31, 2019 (Unaudited)
The following
table summarizes the value of the Fund's investments according to the fair value hierarchy as of March 31, 2019.
| 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 | $122,946,072 | $— | $— | $122,946,072 | ||||
Short-Term Investments | 5,163,062 | — | — | 5,163,062 | ||||
TOTAL INVESTMENTS | $128,109,134 | $— | $— | $128,109,134 |
See accompanying notes to schedule of
investments.
1
SPDR SSGA MULTI-ASSET REAL RETURN ETF
SCHEDULE OF INVESTMENTS (continued)
March 31, 2019 (Unaudited)
Affiliate Table
| Number of Shares Held at 6/30/18 | Value at 6/30/18 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 3/31/19 | Value at 3/31/19 | Dividend Income | Capital Gains Distributions | ||||||||||
SPDR Bloomberg Barclays TIPS ETF | 381,395 | $21,178,864 | $5,983,703 | $8,339,453 | $(76,381) | $66,091 | 337,874 | $18,812,824 | $318,364 | $— | |||||||||
SPDR Dow Jones International Real Estate ETF | 219,619 | 8,595,887 | 4,783,728 | 3,488,932 | 7,043 | 126,884 | 255,209 | 10,024,610 | 352,407 | — | |||||||||
SPDR Dow Jones REIT ETF | 55,830 | 5,245,787 | 7,035,486 | 4,011,729 | 266,450 | 193,696 | 88,250 | 8,729,690 | 236,696 | — | |||||||||
SPDR FTSE International Government Inflation-Protected Bond ETF | 160,079 | 8,682,685 | 2,129,076 | 3,241,760 | (94,322) | 50,418 | 139,166 | 7,526,097 | 224,491 | — | |||||||||
SPDR S&P Global Infrastructure ETF | 214,010 | 10,552,534 | 7,120,567 | 5,665,033 | 45,524 | 447,974 | 243,032 | 12,501,566 | 229,000 | — | |||||||||
SPDR S&P Global Natural Resources ETF | 748,533 | 37,486,532 | 9,217,836 | 18,054,012 | (426,478) | (2,629,748) | 553,626 | 25,594,130 | 484,203 | — | |||||||||
SPDR S&P Metals & Mining ETF | 153,827 | 5,456,244 | 2,355,528 | 1,876,186 | 146,391 | (1,118,917) | 167,219 | 4,963,060 | 55,444 | — | |||||||||
SPDR S&P Oil & Gas Equipment & Services ETF | 172,636 | 2,927,906 | 1,349,980 | 3,075,234 | (1,302,309) | 99,657 | — | — | 11,089 | — | |||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 12,678 | 12,678 | 5,238,061 | 3,440,929 | — | — | 1,809,810 | 1,809,810 | 22,842 | — | |||||||||
State Street Navigator Securities Lending Government Money Market Portfolio | 7,809,131 | 7,809,131 | 155,386,472 | 159,842,351 | — | — | 3,353,252 | 3,353,252 | 108,693 | — | |||||||||
The Energy Select Sector SPDR Fund | 95,071 | 7,219,692 | 2,095,818 | 2,115,308 | (5,065) | (974,237) | 94,085 | 6,220,900 | 155,226 | — | |||||||||
Total | $115,167,940 | $202,696,255 | $213,150,927 | $(1,439,147) | $(3,738,182) | $99,535,939 | $2,198,455 | $— |
See accompanying notes to schedule of
investments.
2
SPDR SSGA INCOME ALLOCATION ETF
SCHEDULE OF INVESTMENTS
March 31, 2019 (Unaudited)
The following
table summarizes the value of the Fund's investments according to the fair value hierarchy as of March 31, 2019.
| Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
| ASSETS: | ||||||||
| INVESTMENTS: | ||||||||
Mutual Funds and Exchange Traded Products | $104,544,633 | $— | $— | $104,544,633 | ||||
Short-Term Investments | 1,341,300 | — | — | 1,341,300 | ||||
TOTAL INVESTMENTS | $105,885,933 | $— | $— | $105,885,933 |
See accompanying notes to schedule of
investments.
3
SPDR SSGA INCOME ALLOCATION ETF
SCHEDULE OF INVESTMENTS (continued)
March 31, 2019 (Unaudited)
Affiliate Table
| Number of Shares Held at 6/30/18 | Value at 6/30/18 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 3/31/19 | Value at 3/31/19 | Dividend Income | Capital Gains Distributions | ||||||||||
SPDR Blackstone / GSO Senior Loan ETF | — | $— | $11,736,329 | $1,137,955 | $9,515 | $(221,680) | 225,542 | $10,386,209 | $257,313 | $— | |||||||||
SPDR Bloomberg Barclays Convertible Securities ETF | 87,008 | 4,613,164 | 1,233,431 | 574,883 | 32,404 | (80,318) | 99,977 | 5,223,798 | 249,915 | — | |||||||||
SPDR Bloomberg Barclays Emerging Markets Local Bond ETF | 169,930 | 4,581,313 | 7,261,282 | 1,880,977 | (53,719) | 297,126 | 379,228 | 10,205,025 | 290,356 | — | |||||||||
SPDR Bloomberg Barclays High Yield Bond ETF | 233,882 | 8,298,133 | 6,251,229 | 2,076,913 | (13,625) | 181,825 | 351,422 | 12,640,649 | 424,081 | — | |||||||||
SPDR Bloomberg Barclays Long Term Corporate Bond ETF | 359,992 | 9,402,991 | 1,123,842 | 5,392,254 | (174,541) | 415,826 | 198,152 | 5,375,864 | 212,443 | — | |||||||||
SPDR Bloomberg Barclays TIPS ETF | 85,518 | 4,748,815 | 1,024,106 | 2,066,961 | (64,099) | 57,685 | 66,443 | 3,699,546 | 70,056 | — | |||||||||
SPDR Dow Jones International Real Estate ETF | 87,581 | 3,427,920 | 68,648 | 3,453,599 | (109,328) | 66,359 | — | — | — | — | |||||||||
SPDR Dow Jones REIT ETF | 27,950 | 2,626,182 | — | 2,694,037 | 540,341 | (472,486) | — | — | — | — | |||||||||
SPDR MSCI Emerging Markets StrategicFactors ETF | 89,470 | 5,308,255 | — | 5,191,851 | 464,242 | (580,646) | — | — | — | — | |||||||||
SPDR Portfolio Intermediate Term Corporate Bond ETF | 85,069 | 2,831,947 | 4,015,857 | 4,800,949 | (19,193) | 72,085 | 61,450 | 2,099,747 | 43,323 | — | |||||||||
SPDR Portfolio Long Term Treasury ETF | 191,485 | 6,707,624 | 7,338,868 | 3,734,344 | (3,348) | 514,387 | 297,422 | 10,823,187 | 211,053 | — | |||||||||
SPDR Portfolio S&P 500 High Dividend ETF | — | — | 20,200,996 | 5,282,943 | (197,689) | (148,067) | 385,103 | 14,572,297 | 529,332 | — | |||||||||
SPDR S&P Dividend ETF | 150,116 | 13,915,753 | 575,108 | 15,425,618 | 3,000,015 | (2,065,258) | — | — | — | — | |||||||||
SPDR S&P Global Infrastructure ETF | 98,391 | 4,851,522 | 1,189,243 | 996,806 | 22,765 | 228,664 | 102,943 | 5,295,388 | 86,651 | — | |||||||||
SPDR S&P International Dividend ETF | 214,263 | 8,208,416 | 2,290,562 | 4,307,642 | 11,888 | 81,348 | 165,253 | 6,284,572 | 143,250 | — | |||||||||
SPDR STOXX Europe 50 ETF | 81,394 | 2,720,993 | 3,295,429 | 4,006,234 | (90,199) | 188,274 | 63,713 | 2,108,263 | 20,623 | — | |||||||||
SPDR Wells Fargo Preferred Stock ETF | 108,376 | 4,711,105 | 1,288,310 | 721,793 | 7,654 | (51,641) | 122,625 | 5,233,635 | 226,019 | — | |||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | — | — | 4,323,173 | 3,954,923 | — | — | 368,250 | 368,250 | 10,958 | — | |||||||||
State Street Navigator Securities Lending Government Money Market Portfolio | 12,183,127 | 12,183,127 | 178,346,782 | 189,556,859 | — | — | 973,050 | 973,050 | 121,572 | — | |||||||||
The Energy Select Sector SPDR Fund | 24,486 | 1,859,467 | — | 1,832,828 | (51,046) | 24,407 | — | — | — | — | |||||||||
The Industrial Select Sector SPDR Fund | 24,633 | 1,764,462 | 63,414 | 1,995,009 | 110,507 | 56,626 | — | — | — | — | |||||||||
The Technology Select Sector SPDR Fund | 26,269 | 1,824,907 | — | 1,943,352 | 704,034 | (585,589) | — | — | — | — | |||||||||
Total | $104,586,096 | $251,626,609 | $263,028,730 | $4,126,578 | $(2,021,073) | $95,289,480 | $2,896,945 | $— |
See accompanying notes to schedule of
investments.
4
SPDR SSGA GLOBAL ALLOCATION ETF
SCHEDULE OF INVESTMENTS
March 31, 2019 (Unaudited)
See accompanying notes to
schedule of investments.
5
SPDR SSGA GLOBAL ALLOCATION ETF
SCHEDULE OF INVESTMENTS (continued)
March 31, 2019 (Unaudited)
The following table
summarizes the value of the Fund's investments according to the fair value hierarchy as of March 31, 2019.
| 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 | $239,548,714 | $— | $— | $239,548,714 | ||||
Short-Term Investments | 33,212,696 | — | — | 33,212,696 | ||||
TOTAL INVESTMENTS | $272,761,410 | $— | $— | $272,761,410 |
See accompanying notes to schedule of
investments.
6
SPDR SSGA GLOBAL ALLOCATION ETF
SCHEDULE OF INVESTMENTS (continued)
March 31, 2019 (Unaudited)
Affiliate Table
| Number of Shares Held at 6/30/18 | Value at 6/30/18 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 3/31/19 | Value at 3/31/19 | Dividend Income | Capital Gains Distributions | ||||||||||
SPDR Bloomberg Barclays Emerging Markets Local Bond ETF | 92,904 | $2,504,692 | $687,030 | $753,521 | $(8,419) | $15,449 | 90,867 | $2,445,231 | $91,270 | $— | |||||||||
SPDR Bloomberg Barclays High Yield Bond ETF | 143,202 | 5,080,807 | 19,131,589 | 3,969,734 | 11,791 | 179,205 | 568,075 | 20,433,658 | 569,185 | — | |||||||||
SPDR Bloomberg Barclays Intermediate Term Treasury ETF | 87,887 | 5,158,088 | 1,362,480 | 1,638,059 | 8,579 | 140,292 | 83,301 | 5,031,380 | 88,818 | — | |||||||||
SPDR Bloomberg Barclays International Corporate Bond ETF | 151,066 | 5,109,052 | 1,364,991 | 1,392,571 | (14,348) | (77,021) | 150,531 | 4,990,103 | 27,313 | — | |||||||||
SPDR Bloomberg Barclays International Treasury Bond ETF | — | — | 8,029,325 | 438,858 | 184 | 36,204 | 273,462 | 7,626,855 | 9,640 | — | |||||||||
SPDR Bloomberg Barclays Short Term High Yield Bond ETF | 186,886 | 5,100,119 | 1,188,540 | 6,180,460 | (150,915) | 42,716 | — | — | 169,038 | — | |||||||||
SPDR Bloomberg Barclays TIPS ETF | 232,855 | 12,930,438 | 3,534,799 | 3,680,923 | (25,291) | 58,346 | 230,197 | 12,817,369 | 197,018 | — | |||||||||
SPDR Dow Jones International Real Estate ETF | 63,705 | 2,493,414 | 6,728,227 | 1,841,396 | 6,926 | 225,411 | 193,803 | 7,612,582 | 227,193 | — | |||||||||
SPDR Dow Jones REIT ETF | — | — | 9,633,975 | 2,493,013 | 33,264 | 388,604 | 76,454 | 7,562,830 | 167,705 | — | |||||||||
SPDR Portfolio Aggregate Bond ETF | — | — | 11,969,775 | 2,046,640 | 17,016 | 298,945 | 358,763 | 10,239,096 | 80,850 | — | |||||||||
SPDR Portfolio DevelopedWorld ex-US ETF | 1,519,455 | 46,191,432 | 23,370,991 | 25,187,161 | 1,157,621 | (2,231,161) | 1,482,428 | 43,301,722 | 412,851 | — | |||||||||
SPDR Portfolio Emerging Markets ETF | 545,940 | 19,293,520 | 12,451,839 | 11,471,022 | 261,390 | (68,956) | 572,337 | 20,466,771 | 152,765 | — | |||||||||
SPDR Portfolio Intermediate Term Corporate Bond ETF | 154,667 | 5,148,865 | 1,298,234 | 1,542,978 | (2,324) | 138,176 | 147,497 | 5,039,973 | 127,277 | — | |||||||||
SPDR Portfolio Long Term Treasury ETF | 149,332 | 5,231,025 | 8,198,831 | 8,372,647 | (5,954) | 196,947 | 144,221 | 5,248,202 | 184,182 | — | |||||||||
SPDR Portfolio Small Cap ETF | 233,351 | 7,532,570 | 8,974,702 | 15,474,799 | 193,496 | (1,225,969) | — | — | 113,314 | — | |||||||||
SPDR S&P 500 ETF Trust | 230,121 | 62,427,225 | 17,054,220 | 30,210,050 | 2,822,174 | (942,091) | 181,080 | 51,151,478 | 869,744 | — | |||||||||
SPDR S&P Emerging Markets SmallCap ETF | — | — | 2,754,686 | 334,248 | 7,459 | 112,236 | 56,992 | 2,540,133 | — | — | |||||||||
SPDR S&P International Small Cap ETF | 212,042 | 7,277,281 | 2,941,184 | 1,610,049 | 33,213 | (971,245) | 252,981 | 7,670,384 | 216,182 | — | |||||||||
SPDR S&P MidCap 400 ETF Trust | 14,060 | 4,991,581 | 1,638,653 | 1,476,689 | 164,214 | (278,373) | 14,590 | 5,039,386 | 49,998 | — | |||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 19,809,280 | 19,809,280 | 24,524,664 | 29,498,140 | — | — | 14,835,804 | 14,835,804 | 325,289 | — | |||||||||
State Street Navigator Securities Lending Government Money Market Portfolio | 8,492,442 | 8,492,442 | 400,757,192 | 390,872,742 | — | — | 18,376,892 | 18,376,892 | 322,598 | — | |||||||||
The Communication Services Select Sector SPDR Fund | — | — | 5,239,235 | 76,755 | 218 | (51,906) | 109,275 | 5,110,792 | 9,248 | — | |||||||||
The Consumer Discretionary Select Sector SPDR Fund | — | — | 6,689,025 | 6,525,638 | (163,387) | — | — | — | 37,053 | — | |||||||||
The Energy Select Sector SPDR Fund | 66,339 | 5,037,784 | 6,140,196 | 10,622,172 | (620,864) | 65,056 | — | — | 48,126 | — | |||||||||
The Health Care Select Sector SPDR Fund | — | — | 5,122,337 | 113,030 | 1,786 | 51,580 | 55,179 | 5,062,673 | 19,088 | — | |||||||||
The Industrial Select Sector SPDR Fund | 66,988 | 4,798,351 | 5,307,000 | 5,132,285 | (111,282) | 192,162 | 67,359 | 5,053,946 | 54,065 | — | |||||||||
The Technology Select Sector SPDR Fund | 71,494 | 4,966,688 | 1,657,286 | 6,816,248 | 1,756,410 | (1,564,136) | — | — | 40,587 | — | |||||||||
Total | $239,574,654 | $597,751,006 | $569,771,828 | $5,372,957 | $(5,269,529) | $267,657,260 | $4,610,397 | $— |
See accompanying notes to schedule of
investments.
7
BLACKSTONE / GSO SENIOR LOAN PORTFOLIO
SCHEDULE OF INVESTMENTS
March 31, 2019 (Unaudited)
See accompanying notes to
schedule of investments.
8
BLACKSTONE / GSO SENIOR LOAN PORTFOLIO
SCHEDULE OF INVESTMENTS (continued)
March 31, 2019 (Unaudited)
See accompanying notes to
schedule of investments.
9
BLACKSTONE / GSO SENIOR LOAN PORTFOLIO
SCHEDULE OF INVESTMENTS (continued)
March 31, 2019 (Unaudited)
See accompanying notes to
schedule of investments.
10
BLACKSTONE / GSO SENIOR LOAN PORTFOLIO
SCHEDULE OF INVESTMENTS (continued)
March 31, 2019 (Unaudited)
See accompanying notes to
schedule of investments.
11
BLACKSTONE / GSO SENIOR LOAN PORTFOLIO
SCHEDULE OF INVESTMENTS (continued)
March 31, 2019 (Unaudited)
See accompanying notes to
schedule of investments.
12
BLACKSTONE / GSO SENIOR LOAN PORTFOLIO
SCHEDULE OF INVESTMENTS (continued)
March 31, 2019 (Unaudited)
See accompanying notes to
schedule of investments.
13
BLACKSTONE / GSO SENIOR LOAN PORTFOLIO
SCHEDULE OF INVESTMENTS (continued)
March 31, 2019 (Unaudited)
See accompanying notes to
schedule of investments.
14
BLACKSTONE / GSO SENIOR LOAN PORTFOLIO
SCHEDULE OF INVESTMENTS (continued)
March 31, 2019 (Unaudited)
See accompanying notes to
schedule of investments.
15
BLACKSTONE / GSO SENIOR LOAN PORTFOLIO
SCHEDULE OF INVESTMENTS (continued)
March 31, 2019 (Unaudited)
See accompanying notes to
schedule of investments.
16
BLACKSTONE / GSO SENIOR LOAN PORTFOLIO
SCHEDULE OF INVESTMENTS (continued)
March 31, 2019 (Unaudited)
See accompanying notes to
schedule of investments.
17
BLACKSTONE / GSO SENIOR LOAN PORTFOLIO
SCHEDULE OF INVESTMENTS (continued)
March 31, 2019 (Unaudited)
See accompanying notes to
schedule of investments.
18
BLACKSTONE / GSO SENIOR LOAN PORTFOLIO
SCHEDULE OF INVESTMENTS (continued)
March 31, 2019 (Unaudited)
See accompanying notes to
schedule of investments.
19
BLACKSTONE / GSO SENIOR LOAN PORTFOLIO
SCHEDULE OF INVESTMENTS (continued)
March 31, 2019 (Unaudited)
See accompanying notes to
schedule of investments.
20
BLACKSTONE / GSO SENIOR LOAN PORTFOLIO
SCHEDULE OF INVESTMENTS (continued)
March 31, 2019 (Unaudited)
At March 31,
2019, the Portfolio had unfunded loan commitments of $3,121,236, which could be extended at the option of the borrowers, pursuant to the following loan agreements:
| Borrower | Unfunded Loan Commitment ($) | Value ($) | Unrealized Appreciation/(Depreciation) ($) | |||
Heartland Dental LLC | 221,372 | 215,388 | (5,984) | |||
GlobalLogic Holdings, Inc. | 589,005 | 590,244 | 1,239 | |||
Pearl Intermediate Parent LLC | 990,034 | 945,968 | (44,066) | |||
VT Buyer Acquisition Corp. | 365,411 | 363,471 | (1,940) | |||
Phoenix Guarantor, Inc. | 955,414 | 942,277 | (13,137) | |||
| $(63,888) |
See accompanying notes to schedule of
investments.
21
BLACKSTONE / GSO SENIOR LOAN PORTFOLIO
SCHEDULE OF INVESTMENTS (continued)
March 31, 2019 (Unaudited)
The following table
summarizes the value of the Portfolio's investments according to the fair value hierarchy as of March 31, 2019.
| Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
| ASSETS: | ||||||||
| INVESTMENTS: | ||||||||
Corporate Bonds & Notes | $— | $111,995,246 | $— | $111,995,246 | ||||
Senior Floating Rate Loans | — | 1,798,860,772 | — | 1,798,860,772 | ||||
Short-Term Investment | 22,942,415 | — | — | 22,942,415 | ||||
TOTAL INVESTMENTS | $22,942,415 | $1,910,856,018 | $— | $1,933,798,433 | ||||
| LIABILITIES: | ||||||||
| OTHER FINANCIAL INSTRUMENTS: | ||||||||
Unfunded Loans(a) | — | (63,888) | — | (63,888) | ||||
TOTAL OTHER FINANCIAL INSTRUMENTS: | $— | $(63,888) | $— | $(63,888) |
| (a) | Includes appreciation (depreciation) on unfunded loan commitments. |
Affiliate Table
| Number of Shares Held at 6/30/18 | Value at 6/30/18 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 3/31/19 | Value at 3/31/19 | Dividend Income | Capital Gains Distributions | ||||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 196,673,118 | $196,673,118 | $1,717,276,931 | $1,891,007,634 | $— | $— | 22,942,415 | $22,942,415 | $3,227,098 | $— |
See accompanying notes to schedule of
investments.
22
SPDR SSGA ULTRA SHORT TERM BOND ETF
SCHEDULE OF INVESTMENTS
March 31, 2019 (Unaudited)
See accompanying notes to
schedule of investments.
23
SPDR SSGA ULTRA SHORT TERM BOND ETF
SCHEDULE OF INVESTMENTS (continued)
March 31, 2019 (Unaudited)
See accompanying notes to
schedule of investments.
24
SPDR SSGA ULTRA SHORT TERM BOND ETF
SCHEDULE OF INVESTMENTS (continued)
March 31, 2019 (Unaudited)
See accompanying notes to
schedule of investments.
25
SPDR SSGA ULTRA SHORT TERM BOND ETF
SCHEDULE OF INVESTMENTS (continued)
March 31, 2019 (Unaudited)
See accompanying notes to
schedule of investments.
26
SPDR SSGA ULTRA SHORT TERM BOND ETF
SCHEDULE OF INVESTMENTS (continued)
March 31, 2019 (Unaudited)
See accompanying notes to
schedule of investments.
27
SPDR SSGA ULTRA SHORT TERM BOND ETF
SCHEDULE OF INVESTMENTS (continued)
March 31, 2019 (Unaudited)
See accompanying notes to
schedule of investments.
28
SPDR SSGA ULTRA SHORT TERM BOND ETF
SCHEDULE OF INVESTMENTS (continued)
March 31, 2019 (Unaudited)
The following table
summarizes the value of the Fund's investments according to the fair value hierarchy as of March 31, 2019.
| Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
| ASSETS: | ||||||||
| INVESTMENTS: | ||||||||
Corporate Bonds & Notes | $— | $110,438,290 | $— | $110,438,290 | ||||
Asset-Backed Securities | — | 45,099,161 | — | 45,099,161 | ||||
Foreign Government Obligations | — | 250,427 | — | 250,427 | ||||
U.S. Treasury Obligations | — | 9,528,493 | — | 9,528,493 | ||||
Mortgage-Backed Securities | — | 3,611,269 | — | 3,611,269 | ||||
Certificate of Deposit | — | 800,157 | — | 800,157 | ||||
Short-Term Investment | 2,486,983 | — | — | 2,486,983 | ||||
TOTAL INVESTMENTS | $2,486,983 | $169,727,797 | $— | $172,214,780 |
Affiliate Table
| Number of Shares Held at 6/30/18 | Value at 6/30/18 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 3/31/19 | Value at 3/31/19 | Dividend Income | Capital Gains Distributions | ||||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 4,033,700 | $4,033,700 | $108,315,824 | $109,862,541 | $— | $— | 2,486,983 | $2,486,983 | $72,672 | $— |
See accompanying notes to schedule of
investments.
29
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS
March 31, 2019 (Unaudited)
See accompanying notes to
schedule of investments.
30
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
March 31, 2019 (Unaudited)
See accompanying notes to
schedule of investments.
31
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
March 31, 2019 (Unaudited)
See accompanying notes to
schedule of investments.
32
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
March 31, 2019 (Unaudited)
See accompanying notes to
schedule of investments.
33
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
March 31, 2019 (Unaudited)
See accompanying notes to
schedule of investments.
34
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
March 31, 2019 (Unaudited)
See accompanying notes to
schedule of investments.
35
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
March 31, 2019 (Unaudited)
See accompanying notes to
schedule of investments.
36
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
March 31, 2019 (Unaudited)
See accompanying notes to
schedule of investments.
37
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
March 31, 2019 (Unaudited)
See accompanying notes to
schedule of investments.
38
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
March 31, 2019 (Unaudited)
See accompanying notes to
schedule of investments.
39
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
March 31, 2019 (Unaudited)
See accompanying notes to
schedule of investments.
40
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
March 31, 2019 (Unaudited)
See accompanying notes to
schedule of investments.
41
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
March 31, 2019 (Unaudited)
See accompanying notes to
schedule of investments.
42
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
March 31, 2019 (Unaudited)
See accompanying notes to
schedule of investments.
43
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
March 31, 2019 (Unaudited)
See accompanying notes to
schedule of investments.
44
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
March 31, 2019 (Unaudited)
See accompanying notes to
schedule of investments.
45
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
March 31, 2019 (Unaudited)
See accompanying notes to
schedule of investments.
46
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
March 31, 2019 (Unaudited)
See accompanying notes to
schedule of investments.
47
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
March 31, 2019 (Unaudited)
See accompanying notes to
schedule of investments.
48
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
March 31, 2019 (Unaudited)
See accompanying notes to
schedule of investments.
49
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
March 31, 2019 (Unaudited)
See accompanying notes to
schedule of investments.
50
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
March 31, 2019 (Unaudited)
See accompanying notes to
schedule of investments.
51
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
March 31, 2019 (Unaudited)
At March 31,
2019, the Fund had unfunded loan commitments of $412,777, which could be extended at the option of the borrowers, pursuant to the following loan agreements:
| Borrower | Unfunded Loan Commitment ($) | Value ($) | Unrealized Appreciation/(Depreciation) ($) | |||
Mavis Tire Express Services Corp. | 412,777 | 403,490 | (9,287) |
See accompanying notes to schedule of
investments.
52
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
March 31, 2019 (Unaudited)
The following table
summarizes the value of the Fund's investments according to the fair value hierarchy as of March 31, 2019.
| Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
| ASSETS: | ||||||||
| INVESTMENTS: | ||||||||
Corporate Bonds & Notes | $— | $515,397,891 | $— | $515,397,891 | ||||
Asset-Backed Securities | — | 52,334,658 | — | 52,334,658 | ||||
Foreign Government Obligations | — | 33,973,703 | — | 33,973,703 | ||||
U.S. Government Agency Obligations | — | 1,319,445,468 | — | 1,319,445,468 | ||||
U.S. Treasury Obligations | — | 566,862,607 | — | 566,862,607 | ||||
Mortgage-Backed Securities | — | 155,347,316 | — | 155,347,316 | ||||
Commercial Mortgage Backed Securities | — | 137,554,448 | — | 137,554,448 | ||||
Senior Floating Rate Loans | — | 144,981,205 | — | 144,981,205 | ||||
Short-Term Investment | 212,721,040 | — | — | 212,721,040 | ||||
TOTAL INVESTMENTS | $212,721,040 | $2,925,897,296 | $— | $3,138,618,336 | ||||
| LIABILITIES: | ||||||||
| OTHER FINANCIAL INSTRUMENTS: | ||||||||
Unfunded Loans(a) | — | (9,287) | — | (9,287) | ||||
TOTAL OTHER FINANCIAL INSTRUMENTS: | $— | $(9,287) | $— | $(9,287) |
| (a) | Includes appreciation (depreciation) on unfunded loan commitments. |
Affiliate Table
| Number of Shares Held at 6/30/18 | Value at 6/30/18 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 3/31/19 | Value at 3/31/19 | Dividend Income | Capital Gains Distributions | ||||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | — | $— | $789,165,635 | $576,444,595 | $— | $— | 212,721,040 | $212,721,040 | $1,249,054 | $— |
See accompanying notes to schedule of
investments.
53
STATE STREET DEFENSIVE GLOBAL EQUITY
PORTFOLIO
Schedule of Investments
March 31, 2019 (Unaudited)
See accompanying notes to
schedule of investments.
54
STATE STREET DEFENSIVE GLOBAL EQUITY
PORTFOLIO
Schedule of Investments (continued)
March 31, 2019 (Unaudited)
The following
table summarizes the value of the Portfolio's investments according to the fair value hierarchy as of March 31, 2019.
| Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
| ASSETS: | ||||||||
| INVESTMENTS: | ||||||||
Common Stocks | $2,233,878 | $— | $— | $2,233,878 | ||||
Short-Term Investment | 15,296 | — | — | 15,296 | ||||
TOTAL INVESTMENTS | $2,249,174 | $— | $— | $2,249,174 |
Affiliate
Table
| Number of Shares Held at 6/30/18 | Value at 6/30/18 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 3/31/19 | Value at 3/31/19 | Dividend Income | Capital Gains Distributions | ||||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 33,569 | $33,569 | $841,395 | $859,668 | $— | $— | 15,296 | $15,296 | $653 | $— |
See accompanying notes to schedule of
investments.
55
SPDR MFS SYSTEMATIC CORE EQUITY ETF
Schedule of Investments
March 31, 2019 (Unaudited)
See
accompanying notes to schedule of investments.
56
SPDR MFS SYSTEMATIC CORE EQUITY ETF
Schedule of Investments (continued)
March 31, 2019 (Unaudited)
| (a) | Non-income producing security. |
| (b) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended March 31, 2019 are shown in the Affiliate Table below. |
| (c) | The rate shown is the annualized seven-day yield at March 31, 2019. |
| REIT | = Real Estate Investment Trust |
The following table
summarizes the value of the Fund's investments according to the fair value hierarchy as of March 31, 2019.
| Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
| ASSETS: | ||||||||
| INVESTMENTS: | ||||||||
Common Stocks | $39,744,269 | $— | $— | $39,744,269 | ||||
Short-Term Investment | 337,157 | — | — | 337,157 | ||||
TOTAL INVESTMENTS | $40,081,426 | $— | $— | $40,081,426 |
Affiliate Table
| Number of Shares Held at 6/30/18 | Value at 6/30/18 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 3/31/19 | Value at 3/31/19 | Dividend Income | Capital Gains Distributions | ||||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 285,615 | $285,615 | $1,030,402 | $978,860 | $— | $— | 337,157 | $337,157 | $4,888 | $— |
See accompanying notes to schedule of
investments.
57
SPDR MFS SYSTEMATIC GROWTH EQUITY ETF
Schedule of Investments
March 31, 2019 (Unaudited)
See accompanying notes to
schedule of investments.
58
SPDR MFS SYSTEMATIC GROWTH EQUITY ETF
Schedule of Investments (continued)
March 31, 2019 (Unaudited)
The following
table summarizes the value of the Fund's investments according to the fair value hierarchy as of March 31, 2019.
| Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
| ASSETS: | ||||||||
| INVESTMENTS: | ||||||||
Common Stocks | $32,058,410 | $— | $— | $32,058,410 | ||||
Short-Term Investment | 349,138 | — | — | 349,138 | ||||
TOTAL INVESTMENTS | $32,407,548 | $— | $— | $32,407,548 |
Affiliate
Table
| Number of Shares Held at 6/30/18 | Value at 6/30/18 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 3/31/19 | Value at 3/31/19 | Dividend Income | Capital Gains Distributions | ||||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 414,275 | $414,275 | $1,354,918 | $1,420,055 | $— | $— | 349,138 | $349,138 | $5,896 | $— |
See accompanying notes to schedule of
investments.
59
SPDR MFS SYSTEMATIC VALUE EQUITY ETF
Schedule of Investments
March 31, 2019 (Unaudited)
See accompanying notes to
schedule of investments.
60
SPDR MFS SYSTEMATIC VALUE EQUITY ETF
Schedule of Investments (continued)
March 31, 2019 (Unaudited)
The following
table summarizes the value of the Fund's investments according to the fair value hierarchy as of March 31, 2019.
| Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
| ASSETS: | ||||||||
| INVESTMENTS: | ||||||||
Common Stocks | $32,525,471 | $— | $— | $32,525,471 | ||||
Short-Term Investment | 468,189 | — | — | 468,189 | ||||
TOTAL INVESTMENTS | $32,993,660 | $— | $— | $32,993,660 |
Affiliate
Table
| Number of Shares Held at 6/30/18 | Value at 6/30/18 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 3/31/19 | Value at 3/31/19 | Dividend Income | Capital Gains Distributions | ||||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 272,118 | $272,118 | $1,325,225 | $1,129,154 | $— | $— | 468,189 | $468,189 | $7,132 | $— |
See accompanying notes to schedule of
investments.
61
SPDR DOUBLELINE EMERGING MARKETS FIXED
INCOME ETF
Schedule of Investments
March 31, 2019 (Unaudited)
See accompanying notes to
schedule of investments.
62
SPDR DOUBLELINE EMERGING MARKETS FIXED
INCOME ETF
Schedule of Investments (continued)
March 31, 2019 (Unaudited)
See accompanying notes to
schedule of investments.
63
SPDR DOUBLELINE EMERGING MARKETS FIXED
INCOME ETF
Schedule of Investments (continued)
March 31, 2019 (Unaudited)
See accompanying notes to
schedule of investments.
64
SPDR DOUBLELINE EMERGING MARKETS FIXED
INCOME ETF
Schedule of Investments (continued)
March 31, 2019 (Unaudited)
The following
table summarizes the value of the Fund's investments according to the fair value hierarchy as of March 31, 2019.
| Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
| ASSETS: | ||||||||
| INVESTMENTS: | ||||||||
Corporate Bonds & Notes | $— | $52,371,458 | $— | $52,371,458 | ||||
Foreign Government Obligations | — | 9,308,233 | — | 9,308,233 | ||||
Short-Term Investment | 2,325,190 | — | — | 2,325,190 | ||||
TOTAL INVESTMENTS | $2,325,190 | $61,679,691 | $— | $64,004,881 |
Affiliate
Table
| Number of Shares Held at 6/30/18 | Value at 6/30/18 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 3/31/19 | Value at 3/31/19 | Dividend Income | Capital Gains Distributions | ||||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 3,529,453 | $3,529,453 | $24,615,166 | $25,819,429 | $— | $— | 2,325,190 | $2,325,190 | $43,282 | $— |
See accompanying notes to schedule of
investments.
65
SPDR DOUBLELINE SHORT DURATION TOTAL
RETURN TACTICAL ETF
Schedule of Investments
March 31, 2019 (Unaudited)
See accompanying notes to
schedule of investments.
66
SPDR DOUBLELINE SHORT DURATION TOTAL
RETURN TACTICAL ETF
Schedule of Investments (continued)
March 31, 2019 (Unaudited)
See accompanying notes to
schedule of investments.
67
SPDR DOUBLELINE SHORT DURATION TOTAL
RETURN TACTICAL ETF
Schedule of Investments (continued)
March 31, 2019 (Unaudited)
See accompanying notes to
schedule of investments.
68
SPDR DOUBLELINE SHORT DURATION TOTAL
RETURN TACTICAL ETF
Schedule of Investments (continued)
March 31, 2019 (Unaudited)
See accompanying notes to
schedule of investments.
69
SPDR DOUBLELINE SHORT DURATION TOTAL
RETURN TACTICAL ETF
Schedule of Investments (continued)
March 31, 2019 (Unaudited)
See accompanying notes to
schedule of investments.
70
SPDR DOUBLELINE SHORT DURATION TOTAL
RETURN TACTICAL ETF
Schedule of Investments (continued)
March 31, 2019 (Unaudited)
See accompanying notes to
schedule of investments.
71
SPDR DOUBLELINE SHORT DURATION TOTAL
RETURN TACTICAL ETF
Schedule of Investments (continued)
March 31, 2019 (Unaudited)
See accompanying notes to
schedule of investments.
72
SPDR DOUBLELINE SHORT DURATION TOTAL
RETURN TACTICAL ETF
Schedule of Investments (continued)
March 31, 2019 (Unaudited)
See accompanying notes to
schedule of investments.
73
SPDR DOUBLELINE SHORT DURATION TOTAL
RETURN TACTICAL ETF
Schedule of Investments (continued)
March 31, 2019 (Unaudited)
See
accompanying notes to schedule of investments.
74
SPDR DOUBLELINE SHORT DURATION TOTAL
RETURN TACTICAL ETF
Schedule of Investments (continued)
March 31, 2019 (Unaudited)
| (a) | Securities purchased pursuant to Rule 144A of the Securities Act of 1933, as amended. These securities, which represent 14.0% of net assets as of March 31, 2019, are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
| (b) | Amount is less than 0.05% of net assets. |
| (c) | When-issued security. |
| (d) | Variable Rate Security - Interest rate shown is rate in effect at March 31, 2019. For securities based on a published reference rate and spread, the reference rate and spread are indicated in the description above. |
| (e) | 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. As of March 31, 2019, total aggregate fair value of securities is $100,000 representing 0.1% of net assets. |
| (f) | Step-up bond - Coupon rate increases in increments to maturity. Rate shown as of March 31, 2019. Maturity date shown is the final maturity. |
| (g) | The rate shown represents the rate at March 31, 2019. |
| (h) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended March 31, 2019 are shown in the Affiliate Table below. |
| (i) | The rate shown is the annualized seven-day yield at March 31, 2019. |
| ABS | = Asset-Backed Security |
| CMO | = Collateralized Mortgage Obligation |
| CMT | = Constant Maturity Treasury |
| GMTN | = Global Medium Term Note |
| IO | = Interest Only |
| LIBOR | = London Interbank Offered Rate |
| MTN | = Medium Term Note |
| REMIC | = Real Estate Mortgage Investment Conduit |
| VRN | = Variable Rate Note |
The following table
summarizes the value of the Fund's investments according to the fair value hierarchy as of March 31, 2019.
| Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
| ASSETS: | ||||||||
| INVESTMENTS: | ||||||||
Corporate Bonds & Notes | $— | $30,822,733 | $— | $30,822,733 | ||||
Asset-Backed Securities | — | 2,683,897 | — | 2,683,897 | ||||
Foreign Government Obligations | — | 619,672 | — | 619,672 | ||||
U.S. Government Agency Obligations | — | 24,331,651 | — | 24,331,651 | ||||
U.S. Treasury Obligations | — | 26,397,375 | — | 26,397,375 | ||||
Mortgage-Backed Securities | — | 12,074,722 | — | 12,074,722 | ||||
Senior Floating Rate Loans | — | 4,251 | — | 4,251 | ||||
Short-Term Investment | 9,362,544 | — | — | 9,362,544 | ||||
TOTAL INVESTMENTS | $9,362,544 | $96,934,301 | $— | $106,296,845 |
Affiliate Table
| Number of Shares Held at 6/30/18 | Value at 6/30/18 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 3/31/19 | Value at 3/31/19 | Dividend Income | Capital Gains Distributions | ||||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 376,094 | $376,094 | $43,317,219 | $34,330,769 | $— | $— | 9,362,544 | $9,362,544 | $38,717 | $— |
See accompanying notes to schedule of
investments.
75
SSGA ACTIVE TRUST
NOTES TO SCHEDULES OF INVESTMENTS
March 31, 2019 (Unaudited)
Security Valuation
Each Portfolio's or
Fund's investments are valued at fair value each day that the New York Stock Exchange (“NYSE”) is open and, for financial reporting purposes, as of the report date should the reporting period end on a day
that the NYSE is not open. Fair value is generally defined as the price a fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement
date. By its nature, a fair value price is a good faith estimate of the valuation in a current sale and may not reflect an actual market price. The investments of each Portfolio are valued pursuant to the policy and
procedures developed by the Oversight Committee (the “Committee”) and approved by the Board of Trustees of the Trust (the “Board”). The Committee provides oversight of the valuation of
investments for the Portfolios. The Board has responsibility for overseeing the determination of the fair value of investments.
Valuation techniques used
to value each Portfolio’s investments by major category are as follows:
• Equity investments (including preferred stocks and registered investment companies that are exchange-traded funds) traded on a recognized securities exchange for which market
quotations are readily available are valued at the last sale price or official closing price, as applicable, on the primary market or exchange on which they trade. Equity investments traded on a recognized exchange
for which there were no sales on that day are valued at the last published sale price or at fair value.
• Investments in registered investment companies (including money market funds) or other unitized pooled investment vehicles that are not traded on an exchange are valued at that
day’s published net asset value (“NAV”) per share or unit.
• Government and municipal fixed income securities are generally valued using quotations from independent pricing services or brokers. Certain government inflation-indexed securities
may require a calculated fair valuation as the cumulative inflation is contained within the price provided by the pricing service or broker. For these securities, the inflation component of the price is
“cleaned” from the pricing service or broker price utilizing the published inflation factors in order to ensure proper accrual of income.
• Debt obligations (including short-term investments and convertible debt securities) are valued using quotations from independent pricing services or brokers or are generally valued
at the last reported evaluated prices.
• Senior loans or other loans are valued at evaluated bid prices supplied by an independent pricing service, if available. Senior loans and other loans for which the Committee
determines that there are no reliable valuations available from pricing services or brokers will be initially valued at cost and adjusted for amortization of principal until remeasurement is warranted due to a credit
or economic event or other factors affecting the loan.
In the event prices or
quotations are not readily available or that the application of these valuation methods results in a price for an investment that is deemed to be not representative of the fair value of such investment, fair value
will be determined in good faith by the Committee, in accordance with the valuation policy and procedures approved by the Board.
Fair value pricing could
result in a difference between the prices used to calculate a Portfolio's or Fund's NAV and the prices used by the Portfolios' or Funds' underlying benchmark. Various inputs are used in determining the value of the
Portfolios' or Funds' investments.
The Portfolios or Funds
value their assets and liabilities at fair value using a fair value hierarchy consisting of three broad levels that prioritize the inputs to valuation techniques giving the highest priority to readily available
unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements) when market prices are not readily available
or reliable. The categorization of a value determined for an investment within the hierarchy is based upon the pricing transparency of the investment and is not necessarily an indication of the risk associated with
investing in it.
The three levels of the
fair value hierarchy are as follows:
• Level 1
– Unadjusted quoted prices in active markets for an identical asset or liability;
• Level 2 – Inputs other than quoted prices included within Level 1 that are observable for the asset or liability either directly or indirectly, including quoted prices for
similar assets or liabilities in active markets, quoted prices for identical or similar
76
SSGA ACTIVE TRUST
NOTES TO SCHEDULES OF
INVESTMENTS (continued)
March 31, 2019 (Unaudited)
assets or liabilities
in markets that are not considered to be active, inputs other than quoted prices that are observable for the asset or liability (such as exchange rates, financing terms, interest rates, yield curves, volatilities,
prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs; and
• Level 3 – Unobservable inputs for the asset or liability, including the Committee’s assumptions used in determining the fair value of investments.
The value of each
Portfolio’s or Fund's investments according to the fair value hierarchy as of March 31, 2019, is disclosed in the Portfolio’s or Fund's respective Schedules of Investments.
Loan Agreements
The Blackstone / GSO
Senior Loan Portfolio, SPDR DoubleLine Total Return Tactical ETF and SPDR DoubleLine Short Duration Total Return Tactical ETF invest in Senior Loans. Senior Loans consist generally of obligations of companies and
other entities (collectively, “borrowers”) incurred for the purpose of reorganizing the assets and liabilities of a borrower; acquiring another company; taking over control of a company (leveraged buyout);
temporary refinancing; or financing internal growth or other general business purposes. Senior Loans are often obligations of borrowers who have incurred a significant percentage of debt compared to their total assets
and thus are highly leveraged. The Portfolio and the Funds do not treat the banks originating or acting as agents for the lenders, or granting or acting as intermediary in participation interests, in loans held by the
Portfolio and the Funds as the issuers of such loans.
Other Transactions with
Affiliates
The Portfolios or Funds
may invest in affiliated entities, including securities issued by State Street Corporation, affiliated funds, or entities deemed to be affiliates as a result of the Portfolios or Funds owning more than five percent of
the entity’s voting securities or outstanding shares. Amounts relating to these transactions during the period ended March 31, 2019, are disclosed in the Portfolios' or Funds' respective Schedule of
Investments.
Aggregate Unrealized
Appreciation and Depreciation
As of March 31, 2019,
gross unrealized appreciation and gross unrealized depreciation of investments based on cost for federal income tax purposes were as follows:
| Tax Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | ||||
SPDR SSGA Multi-Asset Real Return ETF | $132,212,870 | $77,512 | $4,181,248 | $(4,103,736) | |||
SPDR SSGA Income Allocation ETF | 106,163,167 | 1,468,975 | 1,746,209 | (277,234) | |||
SPDR SSGA Global Allocation ETF | 257,576,518 | 16,167,415 | 982,523 | 15,184,892 | |||
Blackstone / GSO Senior Loan Portfolio | 2,005,124,297 | 4,587,571 | 75,913,435 | (71,325,864) | |||
SPDR SSGA Ultra Short Term Bond ETF | 172,046,337 | 233,743 | 65,300 | 168,443 | |||
SPDR DoubleLine Total Return Tactical ETF | 3,184,580,446 | 17,480,220 | 63,442,330 | (45,962,110) | |||
State Street Defensive Global Equity Portfolio | 2,036,730 | 247,648 | 35,204 | 212,444 | |||
SPDR MFS Systematic Core Equity ETF | 38,089,762 | 3,009,227 | 1,017,563 | 1,991,664 | |||
SPDR MFS Systematic Growth Equity ETF | 30,570,112 | 3,140,458 | 1,303,022 | 1,837,436 | |||
SPDR MFS Systematic Value Equity ETF | 31,932,206 | 2,583,646 | 1,522,192 | 1,061,454 | |||
SPDR DoubleLine Emerging Markets Fixed Income ETF | 63,879,108 | 1,014,192 | 888,419 | 125,773 | |||
SPDR DoubleLine Short Duration Total Return Tactical ETF | 106,412,560 | 456,285 | 572,000 | (115,715) |
Subsequent Events
Management has evaluated
the impact of all subsequent events on the Portfolios or Funds through the date on which the FORM N-PORT filings were issued and has determined that there were no subsequent events requiring adjustment or disclosure
in the FORM N-PORT filings.
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SSGA ACTIVE TRUST
NOTES TO SCHEDULES OF
INVESTMENTS (continued)
March 31, 2019 (Unaudited)
Other information
regarding the Portfolios or Funds is available in the Portfolio's or Fund's most recent Report to Shareholders. This information is also available on the Portfolio's or Fund's website at www.spdrs.com as well as on the website of the U.S. Securities and Exchange Commission at www.sec.gov.
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