Quarterly Report
March 31, 2022
SSGA Active Trust
| SPDR SSGA Multi-Asset Real Return ETF |
| SPDR SSGA Income Allocation ETF |
| SPDR SSGA Global Allocation ETF |
| SPDR Blackstone High Income ETF |
| SPDR Blackstone Senior Loan ETF |
| SPDR SSGA Ultra Short Term Bond ETF |
| SPDR DoubleLine Total Return Tactical ETF |
| SPDR DoubleLine Emerging Markets Fixed Income ETF |
| SPDR DoubleLine Short Duration Total Return Tactical ETF |
| SPDR SSGA Fixed Income Sector Rotation ETF |
| SPDR SSGA US Sector Rotation ETF |
| SPDR Nuveen Municipal Bond ETF |
| SPDR Loomis Sayles Opportunistic Bond ETF |
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.ssga.com. Please read the prospectus carefully before you invest.
TABLE OF CONTENTS (Unaudited)
| Schedules of Investments (Unaudited) | |
| 1 | |
| 3 | |
| 5 | |
| 7 | |
| 19 | |
| 43 | |
| 49 | |
| 90 | |
| 95 | |
| 108 | |
| 110 | |
| 112 | |
| 116 | |
| 128 |
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.ssga.com. Please read the prospectus carefully before you invest.
SPDR SSGA MULTI-ASSET REAL RETURN ETF
SCHEDULE OF INVESTMENTS
March 31, 2022 (Unaudited)
The following table
summarizes the value of the Fund's investments according to the fair value hierarchy as of March 31, 2022.
| 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 | $309,877,403 | $— | $— | $309,877,403 | ||||
Short-Term Investments | 16,379,600 | — | — | 16,379,600 | ||||
TOTAL INVESTMENTS | $326,257,003 | $— | $— | $326,257,003 |
See accompanying notes to schedule of
investments.
1
SPDR SSGA MULTI-ASSET REAL RETURN ETF
SCHEDULE OF INVESTMENTS (continued)
March 31, 2022 (Unaudited)
Affiliate Table
| 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 3/31/22 | Value at 3/31/22 | Dividend Income | |||||||||
SPDR Bloomberg 1-10 Year TIPS ETF | 524,888 | $11,093,508 | $21,594,156 | $4,417,300 | $(1,880) | $(515,593) | 1,342,016 | $27,752,891 | $480,931 | ||||||||
SPDR Dow Jones International Real Estate ETF | 70,066 | 2,572,824 | 5,114,734 | 951,351 | 14,026 | (190,914) | 192,299 | 6,559,319 | 147,086 | ||||||||
SPDR Dow Jones REIT ETF | 49,905 | 5,234,535 | 13,500,433 | 3,532,267 | 364,762 | 741,308 | 139,011 | 16,308,771 | 210,293 | ||||||||
SPDR FTSE International Government Inflation-Protected Bond ETF | 87,385 | 4,931,135 | 7,962,013 | 3,348,087 | (154,054) | (148,375) | 171,255 | 9,242,632 | 309,758 | ||||||||
SPDR S&P Global Infrastructure ETF | 542,787 | 28,338,909 | 50,559,841 | 14,469,532 | 349,830 | 5,201,486 | 1,204,899 | 69,980,534 | 675,824 | ||||||||
SPDR S&P Global Natural Resources ETF | 605,103 | 32,070,459 | 54,876,934 | 14,676,918 | 950,367 | 8,594,431 | 1,303,206 | 81,815,273 | 1,034,948 | ||||||||
SPDR S&P Metals & Mining ETF | 113,854 | 4,902,553 | 9,520,467 | 4,439,560 | 438,318 | 2,868,652 | 216,845 | 13,290,430 | 28,977 | ||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 606,310 | 606,310 | 21,069,604 | 17,668,212 | — | — | 4,007,702 | 4,007,702 | 703 | ||||||||
State Street Navigator Securities Lending Portfolio II | 12,421,543 | 12,421,543 | 385,090,191 | 385,139,836 | — | — | 12,371,898 | 12,371,898 | 78,473 | ||||||||
The Energy Select Sector SPDR Fund | 95,477 | 5,143,346 | 9,624,739 | 4,370,994 | 430,745 | 2,937,709 | 180,083 | 13,765,545 | 284,083 | ||||||||
Total | $107,315,122 | $578,913,112 | $453,014,057 | $2,392,114 | $19,488,704 | $255,094,995 | $3,251,076 |
See accompanying notes to schedule of
investments.
2
SPDR SSGA INCOME ALLOCATION ETF
SCHEDULE OF INVESTMENTS
March 31, 2022 (Unaudited)
The following table
summarizes the value of the Fund's investments according to the fair value hierarchy as of March 31, 2022.
| 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 | $101,825,597 | $— | $— | $101,825,597 | ||||
Short-Term Investments | 13,574,242 | — | — | 13,574,242 | ||||
TOTAL INVESTMENTS | $115,399,839 | $— | $— | $115,399,839 |
See accompanying notes to schedule of
investments.
3
SPDR SSGA INCOME ALLOCATION ETF
SCHEDULE OF INVESTMENTS (continued)
March 31, 2022 (Unaudited)
Affiliate Table
| 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 3/31/22 | Value at 3/31/22 | Dividend Income | |||||||||
SPDR Blackstone Senior Loan ETF | 549,297 | $25,426,958 | $6,910,211 | $10,343,440 | $(37,884) | $(661,530) | 473,628 | $21,294,315 | $779,186 | ||||||||
SPDR Bloomberg Convertible Securities ETF | 76,343 | 6,621,229 | 1,565,880 | 4,392,604 | 427,833 | (1,042,302) | 41,326 | 3,180,036 | 90,140 | ||||||||
SPDR Bloomberg Emerging Markets Local Bond ETF | 468,207 | 12,374,711 | 4,226,692 | 4,770,020 | (139,082) | (1,477,666) | 449,390 | 10,214,635 | 322,304 | ||||||||
SPDR Bloomberg High Yield Bond ETF | 81,478 | 8,959,321 | 7,790,113 | 13,175,068 | (251,737) | (289,141) | 29,595 | 3,033,488 | 221,235 | ||||||||
SPDR ICE Preferred Securities ETF | 201,783 | 8,922,844 | 2,119,633 | 5,162,024 | (227,941) | (574,151) | 130,181 | 5,078,361 | 287,494 | ||||||||
SPDR Portfolio Long Term Corporate Bond ETF | 310,973 | 9,882,722 | 4,563,979 | 9,543,329 | (486,814) | (654,348) | 135,380 | 3,762,210 | 218,926 | ||||||||
SPDR Portfolio Long Term Treasury ETF | 216,247 | 8,931,001 | 12,459,712 | 6,965,257 | 93,116 | (1,050,681) | 356,105 | 13,467,891 | 121,184 | ||||||||
SPDR Portfolio S&P 500 High Dividend ETF | 480,228 | 19,252,341 | 13,587,363 | 17,707,750 | 1,113,223 | 110,332 | 372,139 | 16,355,509 | 455,860 | ||||||||
SPDR S&P Global Infrastructure ETF | 117,732 | 6,146,788 | 5,240,424 | 3,491,608 | 105,129 | 661,725 | 149,147 | 8,662,458 | 90,384 | ||||||||
SPDR S&P International Dividend ETF | 279,929 | 11,029,202 | 9,977,859 | 11,210,922 | 32,008 | (293,476) | 245,853 | 9,534,671 | 254,562 | ||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 85,137 | 85,137 | 4,201,206 | 4,167,234 | — | — | 119,109 | 119,109 | 85,137 | ||||||||
State Street Navigator Securities Lending Portfolio II | 10,114,067 | 10,114,067 | 277,985,565 | 274,644,499 | — | — | 13,455,133 | 13,455,133 | 106,685 | ||||||||
Total | $127,746,321 | $350,628,637 | $365,573,755 | $627,851 | $(5,271,238) | $108,157,816 | $3,033,097 |
See accompanying notes to schedule of
investments.
4
SPDR SSGA GLOBAL ALLOCATION ETF
SCHEDULE OF INVESTMENTS
March 31, 2022 (Unaudited)
See accompanying notes to
schedule of investments.
5
SPDR SSGA GLOBAL ALLOCATION ETF
SCHEDULE OF INVESTMENTS (continued)
March 31, 2022 (Unaudited)
The following table summarizes
the value of the Fund's investments according to the fair value hierarchy as of March 31, 2022.
| 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 | $260,566,879 | $— | $— | $260,566,879 | ||||
Short-Term Investments | 18,359,256 | — | — | 18,359,256 | ||||
TOTAL INVESTMENTS | $278,926,135 | $— | $— | $278,926,135 |
Affiliate Table
| 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 3/31/22 | Value at 3/31/22 | Dividend Income | |||||||||
SPDR Blackstone Senior Loan ETF | — | $— | $10,200,765 | $754,574 | $(8,616) | $(154,639) | 206,471 | $9,282,936 | $71,526 | ||||||||
SPDR Bloomberg 1-10 Year TIPS ETF | — | — | 20,607,690 | 2,651,301 | 12,579 | (147,254) | 861,785 | 17,821,714 | 56,968 | ||||||||
SPDR Bloomberg Emerging Markets Local Bond ETF | 105,951 | 2,800,285 | 5,230,102 | 659,977 | (38,093) | (648,674) | 294,045 | 6,683,643 | 105,244 | ||||||||
SPDR Bloomberg High Yield Bond ETF | 104,639 | 11,506,104 | 22,594,809 | 33,560,234 | 165,635 | (706,314) | — | — | 213,908 | ||||||||
SPDR Bloomberg International Corporate Bond ETF | — | — | 3,050,301 | 2,971,054 | (79,247) | — | — | — | 2,425 | ||||||||
SPDR Bloomberg International Treasury Bond ETF | — | — | 8,814,563 | 3,242,719 | (65,126) | (360,561) | 197,701 | 5,146,157 | 10,772 | ||||||||
SPDR Dow Jones International Real Estate ETF | 74,309 | 2,728,626 | 3,876,222 | 6,147,673 | (200,153) | (257,022) | — | — | 190,977 | ||||||||
SPDR Dow Jones REIT ETF | 26,393 | 2,768,362 | 290,077 | 3,403,768 | 830,309 | (484,980) | — | — | 48,439 | ||||||||
SPDR FTSE International Government Inflation-Protected Bond ETF | — | — | 6,047,734 | 5,916,387 | (131,347) | — | — | — | 84,501 | ||||||||
SPDR Portfolio Aggregate Bond ETF | 239,071 | 7,174,521 | 31,425,515 | 37,942,410 | (646,795) | (10,831) | — | — | 170,631 | ||||||||
SPDR Portfolio Developed World ex-US ETF | 1,158,110 | 42,606,867 | 23,983,005 | 8,857,387 | 1,063,819 | (4,830,603) | 1,574,262 | 53,965,701 | 865,039 | ||||||||
SPDR Portfolio Emerging Markets ETF | 435,506 | 19,815,523 | 19,411,885 | 9,772,607 | 956,303 | (4,301,051) | 675,726 | 26,110,053 | 256,410 | ||||||||
SPDR Portfolio Europe ETF | 261,673 | 10,951,015 | 18,524,255 | 28,195,147 | (1,458,843) | 178,720 | — | — | 143,953 | ||||||||
SPDR Portfolio Intermediate Term Corporate Bond ETF | 467,736 | 17,165,911 | 1,956,830 | 18,743,317 | (18,127) | (361,297) | — | — | 131,361 | ||||||||
SPDR Portfolio Long Term Corporate Bond ETF | 461,225 | 14,657,731 | 2,603,538 | 2,290,426 | 29,484 | (1,876,639) | 472,245 | 13,123,688 | 324,541 | ||||||||
SPDR Portfolio Long Term Treasury ETF | 212,957 | 8,795,124 | 12,852,311 | 5,032,048 | (99,923) | (1,408,605) | 399,441 | 15,106,859 | 155,918 | ||||||||
SPDR Portfolio S&P 600 Small Cap ETF | 315,273 | 13,853,095 | 12,618,747 | 15,723,878 | 2,157,374 | (2,058,304) | 257,833 | 10,847,034 | 168,735 | ||||||||
SPDR Portfolio TIPS ETF | 461,214 | 14,362,204 | 1,886,696 | 16,066,937 | 839,676 | (1,021,639) | — | — | 458,219 | ||||||||
SPDR S&P 500 ETF Trust | 141,995 | 60,782,380 | 39,759,589 | 56,166,569 | 15,953,173 | (11,968,768) | 107,076 | 48,359,805 | 529,322 | ||||||||
SPDR S&P Emerging Markets SmallCap ETF | 47,193 | 2,893,875 | 418,150 | 3,187,848 | 650,301 | (774,478) | — | — | 57,722 | ||||||||
SPDR S&P International Small Cap ETF | 214,290 | 8,284,451 | 2,182,984 | 1,329,986 | 129,255 | (909,383) | 237,694 | 8,357,321 | 150,277 | ||||||||
SPDR S&P MidCap 400 ETF Trust | 11,391 | 5,593,095 | 1,217,869 | 1,244,994 | 220,185 | (200,910) | 11,388 | 5,585,245 | 45,206 | ||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 4,881,145 | 4,881,145 | 30,621,007 | 25,600,161 | — | — | 9,901,991 | 9,901,991 | 2,632 | ||||||||
State Street Navigator Securities Lending Portfolio II | 42,661,109 | 42,661,109 | 1,018,516,154 | 1,052,719,998 | — | — | 8,457,265 | 8,457,265 | 226,580 | ||||||||
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 | 12,044,513 | 12,668,111 | 103,229 | 359,208 | 33,805 | 2,584,054 | 93,436 | ||||||||
The Financial Select Sector SPDR Fund | — | — | 11,755,089 | 6,160,284 | (35,151) | 81,586 | 147,214 | 5,641,240 | 35,845 | ||||||||
The Industrial Select Sector SPDR Fund | 27,205 | 2,785,792 | 5,812,771 | 8,597,571 | (45,588) | 44,596 | — | — | — | ||||||||
The Materials Select Sector SPDR Fund | 65,593 | 5,398,960 | 9,158,544 | 8,716,064 | (396,404) | 352,766 | 65,772 | 5,797,802 | 47,815 | ||||||||
The Technology Select Sector SPDR Fund | 41,332 | 6,103,083 | 1,564,403 | 5,097,839 | 423,014 | (93,142) | 18,244 | 2,899,519 | 25,833 | ||||||||
Total | $311,314,473 | $1,354,068,515 | $1,398,311,419 | $20,158,676 | $(31,558,218) | $255,672,027 | $4,701,950 |
See accompanying notes to schedule of
investments.
6
SPDR BLACKSTONE HIGH INCOME ETF
Schedule of Investments
March 31, 2022 (Unaudited)
See accompanying notes to schedule of
investments.
7
SPDR BLACKSTONE HIGH INCOME ETF
Schedule of Investments (continued)
March 31, 2022 (Unaudited)
See accompanying notes to schedule of
investments.
8
SPDR BLACKSTONE HIGH INCOME ETF
Schedule of Investments (continued)
March 31, 2022 (Unaudited)
See accompanying notes to schedule of
investments.
9
SPDR BLACKSTONE HIGH INCOME ETF
Schedule of Investments (continued)
March 31, 2022 (Unaudited)
See accompanying notes to schedule of
investments.
10
SPDR BLACKSTONE HIGH INCOME ETF
Schedule of Investments (continued)
March 31, 2022 (Unaudited)
See accompanying notes to schedule of
investments.
11
SPDR BLACKSTONE HIGH INCOME ETF
Schedule of Investments (continued)
March 31, 2022 (Unaudited)
See accompanying notes to schedule of
investments.
12
SPDR BLACKSTONE HIGH INCOME ETF
Schedule of Investments (continued)
March 31, 2022 (Unaudited)
See accompanying notes to schedule of
investments.
13
SPDR BLACKSTONE HIGH INCOME ETF
Schedule of Investments (continued)
March 31, 2022 (Unaudited)
See accompanying notes to schedule of
investments.
14
SPDR BLACKSTONE HIGH INCOME ETF
Schedule of Investments (continued)
March 31, 2022 (Unaudited)
See accompanying notes to schedule of
investments.
15
SPDR BLACKSTONE HIGH INCOME ETF
Schedule of Investments (continued)
March 31, 2022 (Unaudited)
See accompanying notes to schedule of
investments.
16
SPDR BLACKSTONE HIGH INCOME ETF
Schedule of Investments (continued)
March 31, 2022 (Unaudited)
At March 31, 2022, the
Fund had unfunded loan commitments of $83,286, which could be extended at the option of the borrowers, pursuant to the following loan agreements:
| Borrower | Unfunded Loan Commitment ($) | Value ($) | Unrealized Appreciation/(Depreciation) ($) | |||
Sovos Compliance LLC | 83,286 | 83,287 | 1 |
See accompanying notes to schedule
of investments.
17
SPDR BLACKSTONE HIGH INCOME ETF
Schedule of Investments (continued)
March 31, 2022 (Unaudited)
The following table summarizes the value of the
Fund's investments according to the fair value hierarchy as of March 31, 2022.
| Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
| ASSETS: | ||||||||
| INVESTMENTS: | ||||||||
Corporate Bonds & Notes | $22,235 | $57,960,000 | $— | $57,982,235 | ||||
Asset-Backed Securities | — | 2,379,339 | — | 2,379,339 | ||||
Senior Floating Rate Loans | — | 66,697,183 | — | 66,697,183 | ||||
Short-Term Investment | 37,801,311 | — | — | 37,801,311 | ||||
TOTAL INVESTMENTS | $37,823,546 | $127,036,522 | $— | $164,860,068 | ||||
| LIABILITIES: | ||||||||
| OTHER FINANCIAL INSTRUMENTS: | ||||||||
Unfunded Loans(a) | — | 1 | — | 1 |
| (a) | Includes appreciation on unfunded loan commitments. |
Affiliate Table
| Number of Shares Held at 02/17/22* | Value at 02/17/22* | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 3/31/22 | Value at 3/31/22 | Dividend Income | |||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | — | $— | $130,205,213 | $92,403,902 | $— | $— | 37,801,311 | $37,801,311 | $6,325 |
| * | Commencement of operations. |
See accompanying notes to schedule of
investments.
18
SPDR BLACKSTONE SENIOR LOAN ETF
SCHEDULE OF INVESTMENTS
March 31, 2022 (Unaudited)
See accompanying notes to schedule of
investments.
19
SPDR BLACKSTONE SENIOR LOAN ETF
SCHEDULE OF INVESTMENTS (continued)
March 31, 2022 (Unaudited)
See accompanying notes to schedule of
investments.
20
SPDR BLACKSTONE SENIOR LOAN ETF
SCHEDULE OF INVESTMENTS (continued)
March 31, 2022 (Unaudited)
See accompanying notes to schedule of
investments.
21
SPDR BLACKSTONE SENIOR LOAN ETF
SCHEDULE OF INVESTMENTS (continued)
March 31, 2022 (Unaudited)
See accompanying notes to schedule of
investments.
22
SPDR BLACKSTONE SENIOR LOAN ETF
SCHEDULE OF INVESTMENTS (continued)
March 31, 2022 (Unaudited)
See accompanying notes to schedule of
investments.
23
SPDR BLACKSTONE SENIOR LOAN ETF
SCHEDULE OF INVESTMENTS (continued)
March 31, 2022 (Unaudited)
See accompanying notes to schedule of
investments.
24
SPDR BLACKSTONE SENIOR LOAN ETF
SCHEDULE OF INVESTMENTS (continued)
March 31, 2022 (Unaudited)
See accompanying notes to schedule of
investments.
25
SPDR BLACKSTONE SENIOR LOAN ETF
SCHEDULE OF INVESTMENTS (continued)
March 31, 2022 (Unaudited)
See accompanying notes to schedule of
investments.
26
SPDR BLACKSTONE SENIOR LOAN ETF
SCHEDULE OF INVESTMENTS (continued)
March 31, 2022 (Unaudited)
See accompanying notes to schedule of
investments.
27
SPDR BLACKSTONE SENIOR LOAN ETF
SCHEDULE OF INVESTMENTS (continued)
March 31, 2022 (Unaudited)
See accompanying notes to schedule of
investments.
28
SPDR BLACKSTONE SENIOR LOAN ETF
SCHEDULE OF INVESTMENTS (continued)
March 31, 2022 (Unaudited)
See accompanying notes to schedule of
investments.
29
SPDR BLACKSTONE SENIOR LOAN ETF
SCHEDULE OF INVESTMENTS (continued)
March 31, 2022 (Unaudited)
See accompanying notes to schedule of
investments.
30
SPDR BLACKSTONE SENIOR LOAN ETF
SCHEDULE OF INVESTMENTS (continued)
March 31, 2022 (Unaudited)
See accompanying notes to schedule of
investments.
31
SPDR BLACKSTONE SENIOR LOAN ETF
SCHEDULE OF INVESTMENTS (continued)
March 31, 2022 (Unaudited)
See accompanying notes to schedule of
investments.
32
SPDR BLACKSTONE SENIOR LOAN ETF
SCHEDULE OF INVESTMENTS (continued)
March 31, 2022 (Unaudited)
See accompanying notes to schedule of
investments.
33
SPDR BLACKSTONE SENIOR LOAN ETF
SCHEDULE OF INVESTMENTS (continued)
March 31, 2022 (Unaudited)
See accompanying notes to schedule of
investments.
34
SPDR BLACKSTONE SENIOR LOAN ETF
SCHEDULE OF INVESTMENTS (continued)
March 31, 2022 (Unaudited)
See accompanying notes to schedule of
investments.
35
SPDR BLACKSTONE SENIOR LOAN ETF
SCHEDULE OF INVESTMENTS (continued)
March 31, 2022 (Unaudited)
See accompanying notes to schedule of
investments.
36
SPDR BLACKSTONE SENIOR LOAN ETF
SCHEDULE OF INVESTMENTS (continued)
March 31, 2022 (Unaudited)
See accompanying notes to schedule of
investments.
37
SPDR BLACKSTONE SENIOR LOAN ETF
SCHEDULE OF INVESTMENTS (continued)
March 31, 2022 (Unaudited)
See accompanying notes to schedule of
investments.
38
SPDR BLACKSTONE SENIOR LOAN ETF
SCHEDULE OF INVESTMENTS (continued)
March 31, 2022 (Unaudited)
See accompanying notes to schedule of
investments.
39
SPDR BLACKSTONE SENIOR LOAN ETF
SCHEDULE OF INVESTMENTS (continued)
March 31, 2022 (Unaudited)
See accompanying notes to schedule of
investments.
40
SPDR BLACKSTONE SENIOR LOAN ETF
SCHEDULE OF INVESTMENTS (continued)
March 31, 2022 (Unaudited)
At March 31, 2022, the
Fund had unfunded loan commitments of $19,242,893, which could be extended at the option of the borrowers, pursuant to the following loan agreements:
| Borrower | Unfunded Loan Commitment ($) | Value ($) | Unrealized Appreciation/(Depreciation) ($) | |||
Hillman Group Inc. (The) | 99,556 | 97,917 | (1,639) | |||
VT Topco, Inc. | 627,385 | 619,154 | (8,231) | |||
Sovos Compliance LLC | 2,603,868 | 2,603,881 | 13 | |||
Medical Solutions Holdings, Inc. | 470,446 | 467,212 | (3,234) | |||
Pro Mach Group, Inc. | 1,658,154 | 1,652,972 | (5,182) | |||
AthenaHealth Group, Inc. | 12,681,159 | 12,570,199 | (110,960) | |||
Pediatric Associates Holding Company LLC | 971,890 | 961,564 | (10,326) | |||
DiversiTech Holdings, Inc. | 130,435 | 128,906 | (1,529) | |||
| $19,242,893 | $19,101,805 | $(141,088) |
The following table
summarizes the value of the Fund's investments according to the fair value hierarchy as of March 31, 2022.
| Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
| ASSETS: | ||||||||
| INVESTMENTS: | ||||||||
Corporate Bonds & Notes | $— | $438,629,762 | $— | $438,629,762 | ||||
U.S. Treasury Obligations | 158,378,320 | 74,907,150 | — | 233,285,470 | ||||
Senior Floating Rate Loans | — | 9,416,540,692 | — | 9,416,540,692 | ||||
Warrants | — | — | 0(a) | 0 | ||||
Short-Term Investment | 1,416,998,176 | — | — | 1,416,998,176 | ||||
TOTAL INVESTMENTS | $1,575,376,496 | $9,930,077,604 | $0 | $11,505,454,100 | ||||
| LIABILITIES: | ||||||||
| OTHER FINANCIAL INSTRUMENTS: | ||||||||
Unfunded Loans(b) | — | (141,088) | — | (141,088) |
| (a) | Fund held a Level 3 security that was valued at $0 at March 31, 2022. |
| (b) | Unfunded loan commitments are valued at unrealized appreciation (depreciation). |
See accompanying notes to schedule of
investments.
41
SPDR BLACKSTONE SENIOR LOAN ETF
SCHEDULE OF INVESTMENTS (continued)
March 31, 2022 (Unaudited)
Affiliate Table
| 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 3/31/22 | Value at 3/31/22 | Dividend Income | |||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 1,121,627,625 | $1,121,627,625 | $4,213,312,709 | $3,917,942,158 | $— | $— | 1,416,998,176 | $1,416,998,176 | $315,944 |
See accompanying notes to schedule of
investments.
42
SPDR SSGA ULTRA SHORT TERM BOND ETF
SCHEDULE OF INVESTMENTS
March 31, 2022 (Unaudited)
See accompanying notes to schedule of
investments.
43
SPDR SSGA ULTRA SHORT TERM BOND ETF
SCHEDULE OF INVESTMENTS (continued)
March 31, 2022 (Unaudited)
See accompanying notes to schedule of
investments.
44
SPDR SSGA ULTRA SHORT TERM BOND ETF
SCHEDULE OF INVESTMENTS (continued)
March 31, 2022 (Unaudited)
See accompanying notes to schedule of
investments.
45
SPDR SSGA ULTRA SHORT TERM BOND ETF
SCHEDULE OF INVESTMENTS (continued)
March 31, 2022 (Unaudited)
See accompanying notes to schedule of
investments.
46
SPDR SSGA ULTRA SHORT TERM BOND ETF
SCHEDULE OF INVESTMENTS (continued)
March 31, 2022 (Unaudited)
See accompanying notes
to schedule of investments.
47
SPDR SSGA ULTRA SHORT TERM BOND ETF
SCHEDULE OF INVESTMENTS (continued)
March 31, 2022 (Unaudited)
| CMT | Constant Maturity Treasury |
| GMTN | Global Medium Term Note |
| LIBOR | London Interbank Offered Rate |
| MTN | Medium Term Note |
| SOFR | Secured Overnight Financing Rate |
At March 31, 2022, open futures
contracts were as follows:
| Description | Number of Contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation (Depreciation) | |||||
| 2 Yr. U.S. Treasury Notes Futures (long) | (262) | 06/30/2022 | $(56,198,679) | $(55,523,531) | $675,148 |
The following table summarizes the
value of the Fund's investments according to the fair value hierarchy as of March 31, 2022.
| Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
| ASSETS: | ||||||||
| INVESTMENTS: | ||||||||
Corporate Bonds & Notes | $— | $230,243,758 | $— | $230,243,758 | ||||
Asset-Backed Securities | — | 17,972,304 | — | 17,972,304 | ||||
U.S. Treasury Obligations | — | 113,747,054 | — | 113,747,054 | ||||
Mortgage-Backed Securities | — | 11,717,719 | — | 11,717,719 | ||||
Commercial Mortgage Backed Securities | — | 23,958,235 | — | 23,958,235 | ||||
Short-Term Investment | 45,033,893 | — | — | 45,033,893 | ||||
TOTAL INVESTMENTS | $45,033,893 | $397,639,070 | $— | $442,672,963 | ||||
| OTHER FINANCIAL INSTRUMENTS: | ||||||||
Futures Contracts(a) | 675,148 | — | — | 675,148 |
| (a) | Futures Contracts are valued at unrealized appreciation (depreciation). |
Affiliate Table
| 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 3/31/22 | Value at 3/31/22 | Dividend Income | |||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 62,702,468 | $62,702,468 | $411,605,599 | $429,274,174 | $— | $— | 45,033,893 | $45,033,893 | $16,320 |
See accompanying notes to schedule of
investments.
48
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS
March 31, 2022 (Unaudited)
See accompanying notes to schedule of
investments.
49
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
March 31, 2022 (Unaudited)
See accompanying notes to schedule of
investments.
50
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
March 31, 2022 (Unaudited)
See accompanying notes to schedule of
investments.
51
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
March 31, 2022 (Unaudited)
See accompanying notes to schedule of
investments.
52
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
March 31, 2022 (Unaudited)
See accompanying notes to schedule of
investments.
53
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
March 31, 2022 (Unaudited)
See accompanying notes to schedule of
investments.
54
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
March 31, 2022 (Unaudited)
See accompanying notes to schedule of
investments.
55
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
March 31, 2022 (Unaudited)
See accompanying notes to schedule of
investments.
56
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
March 31, 2022 (Unaudited)
See accompanying notes to schedule of
investments.
57
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
March 31, 2022 (Unaudited)
See accompanying notes to schedule of
investments.
58
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
March 31, 2022 (Unaudited)
See accompanying notes to schedule of
investments.
59
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
March 31, 2022 (Unaudited)
See accompanying notes to schedule of
investments.
60
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
March 31, 2022 (Unaudited)
See accompanying notes to schedule of
investments.
61
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
March 31, 2022 (Unaudited)
See accompanying notes to schedule of
investments.
62
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
March 31, 2022 (Unaudited)
See accompanying notes to schedule of
investments.
63
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
March 31, 2022 (Unaudited)
See accompanying notes
to schedule of investments.
64
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
March 31, 2022 (Unaudited)
See accompanying notes to schedule of
investments.
65
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
March 31, 2022 (Unaudited)
See accompanying notes to schedule of
investments.
66
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
March 31, 2022 (Unaudited)
See accompanying notes to schedule of
investments.
67
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
March 31, 2022 (Unaudited)
See accompanying notes to schedule of
investments.
68
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
March 31, 2022 (Unaudited)
See accompanying notes to schedule of
investments.
69
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
March 31, 2022 (Unaudited)
See accompanying notes to schedule of
investments.
70
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
March 31, 2022 (Unaudited)
See accompanying notes to schedule of
investments.
71
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
March 31, 2022 (Unaudited)
See accompanying notes to schedule of
investments.
72
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
March 31, 2022 (Unaudited)
See accompanying notes to schedule of
investments.
73
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
March 31, 2022 (Unaudited)
See accompanying notes to schedule of
investments.
74
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
March 31, 2022 (Unaudited)
See accompanying notes to schedule of
investments.
75
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
March 31, 2022 (Unaudited)
See accompanying notes to schedule of
investments.
76
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
March 31, 2022 (Unaudited)
See accompanying notes to schedule of
investments.
77
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
March 31, 2022 (Unaudited)
See accompanying notes to schedule of
investments.
78
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
March 31, 2022 (Unaudited)
See accompanying notes to schedule of
investments.
79
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
March 31, 2022 (Unaudited)
See accompanying notes to schedule of
investments.
80
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
March 31, 2022 (Unaudited)
See accompanying notes to schedule of
investments.
81
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
March 31, 2022 (Unaudited)
See accompanying notes to schedule of
investments.
82
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
March 31, 2022 (Unaudited)
See accompanying notes to schedule of
investments.
83
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
March 31, 2022 (Unaudited)
See accompanying notes to schedule of
investments.
84
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
March 31, 2022 (Unaudited)
See accompanying notes to schedule of
investments.
85
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
March 31, 2022 (Unaudited)
See accompanying notes to schedule of
investments.
86
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
March 31, 2022 (Unaudited)
See accompanying notes
to schedule of investments.
87
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
March 31, 2022 (Unaudited)
At March 31, 2022, the
Fund had unfunded loan commitments of $137,706, which could be extended at the option of the borrowers, pursuant to the following loan agreements:
| Borrower | Unfunded Loan Commitment ($) | Value ($) | Unrealized Appreciation/(Depreciation) ($) | |||
TGP Holdings III LLC | 11,111 | 10,711 | (450) | |||
Hillman Group Inc. (The) | 26,397 | 25,962 | (434) | |||
VT Topco, Inc. | 17,108 | 16,884 | (224) | |||
Zelis Healthcare Corporation | 23,333 | 23,136 | (197) | |||
Trident TPI Holdings, Inc. | 3,235 | 3,200 | (35) | |||
AthenaHealth Group, Inc. | 56,522 | 56,027 | (495) | |||
| $137,706 | $135,920 | $(1,835) |
See accompanying notes to schedule of
investments.
88
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
March 31, 2022 (Unaudited)
The following table summarizes
the value of the Fund's investments according to the fair value hierarchy as of March 31, 2022.
| Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
| ASSETS: | ||||||||
| INVESTMENTS: | ||||||||
Corporate Bonds & Notes | $2,304,539 | $353,130,624 | $— | $355,435,163 | ||||
Asset-Backed Securities | — | 220,073,135 | — | 220,073,135 | ||||
Foreign Government Obligations | — | 30,791,961 | — | 30,791,961 | ||||
U.S. Government Agency Obligations | — | 719,329,537 | — | 719,329,537 | ||||
U.S. Treasury Obligations | — | 526,488,352 | — | 526,488,352 | ||||
Mortgage-Backed Securities | 19,938,200 | 297,709,365 | — | 317,647,565 | ||||
Commercial Mortgage Backed Securities | — | 133,348,656 | — | 133,348,656 | ||||
Common Stocks | — | — | 166,266 | 166,266 | ||||
Senior Floating Rate Loans | — | 81,415,689 | — | 81,415,689 | ||||
Short-Term Investment | 104,298,720 | — | — | 104,298,720 | ||||
TOTAL INVESTMENTS | $126,541,459 | $2,362,287,319 | $166,266 | $2,488,995,044 | ||||
| LIABILITIES: | ||||||||
| OTHER FINANCIAL INSTRUMENTS: | ||||||||
Unfunded Loans(a) | — | (1,340) | — | (1,340) |
| (a) | Includes appreciation on unfunded loan commitments. |
Affiliate Table
| 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 3/31/22 | Value at 3/31/22 | Dividend Income | |||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 63,404,943 | $63,404,943 | $819,519,306 | $778,625,529 | $— | $— | 104,298,720 | $104,298,720 | $26,433 |
See accompanying notes to schedule of
investments.
89
SPDR DOUBLELINE EMERGING MARKETS FIXED INCOME ETF
Schedule of Investments
March 31, 2022 (Unaudited)
See accompanying notes to schedule of
investments.
90
SPDR DOUBLELINE EMERGING MARKETS FIXED INCOME ETF
Schedule of Investments (continued)
March 31, 2022 (Unaudited)
See accompanying notes to schedule of
investments.
91
SPDR DOUBLELINE EMERGING MARKETS FIXED INCOME ETF
Schedule of Investments (continued)
March 31, 2022 (Unaudited)
See accompanying notes to schedule of
investments.
92
SPDR DOUBLELINE EMERGING MARKETS FIXED INCOME ETF
Schedule of Investments (continued)
March 31, 2022 (Unaudited)
The following table
summarizes the value of the Fund's investments according to the fair value hierarchy as of March 31, 2022.
| Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
| ASSETS: | ||||||||
| INVESTMENTS: | ||||||||
Corporate Bonds & Notes | $— | $51,410,021 | $— | $51,410,021 | ||||
Foreign Government Obligations | — | 27,136,526 | — | 27,136,526 | ||||
Short-Term Investment | 2,725,156 | — | — | 2,725,156 | ||||
TOTAL INVESTMENTS | $2,725,156 | $78,546,547 | $— | $81,271,703 |
See accompanying notes to
schedule of investments.
93
SPDR DOUBLELINE EMERGING MARKETS FIXED INCOME ETF
Schedule of Investments (continued)
March 31, 2022 (Unaudited)
Industry Breakdown as of March 31, 2022
| % of Net Assets | ||
| Foreign Government Obligations | 33.5% | |
| Electric | 15.8 | |
| Banks | 13.4 | |
| Oil & Gas | 10.1 | |
| Commercial Services | 5.7 | |
| Pipelines | 4.8 | |
| Telecommunications | 3.6 | |
| Energy-Alternate Sources | 2.6 | |
| Investment Company Security | 2.5 | |
| Iron/Steel | 1.8 | |
| Chemicals | 1.3 | |
| Diversified Financial Services | 0.8 | |
| Media | 0.6 | |
| Mining | 0.6 | |
| Short-Term Investment | 3.4 | |
| Liabilities in Excess of Other Assets | (0.5) | |
| TOTAL | 100.0% |
(The Fund’s industry breakdown
is expressed as a percentage of net assets and may change over time.)
Affiliate Table
| 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 3/31/22 | Value at 3/31/22 | Dividend Income | |||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 2,549,386 | $2,549,386 | $25,803,574 | $25,627,804 | $— | $— | 2,725,156 | $2,725,156 | $2,718,095 |
See accompanying notes to schedule of
investments.
94
SPDR DOUBLELINE SHORT DURATION TOTAL RETURN TACTICAL
ETF
Schedule of Investments
March 31, 2022 (Unaudited)
See accompanying notes to schedule of
investments.
95
SPDR DOUBLELINE SHORT DURATION TOTAL RETURN TACTICAL
ETF
Schedule of Investments (continued)
March 31, 2022 (Unaudited)
See accompanying notes to schedule of
investments.
96
SPDR DOUBLELINE SHORT DURATION TOTAL RETURN TACTICAL
ETF
Schedule of Investments (continued)
March 31, 2022 (Unaudited)
See accompanying notes to schedule of
investments.
97
SPDR DOUBLELINE SHORT DURATION TOTAL RETURN TACTICAL
ETF
Schedule of Investments (continued)
March 31, 2022 (Unaudited)
See accompanying notes to schedule of
investments.
98
SPDR DOUBLELINE SHORT DURATION TOTAL RETURN TACTICAL
ETF
Schedule of Investments (continued)
March 31, 2022 (Unaudited)
See accompanying notes to schedule of
investments.
99
SPDR DOUBLELINE SHORT DURATION TOTAL RETURN TACTICAL
ETF
Schedule of Investments (continued)
March 31, 2022 (Unaudited)
See accompanying notes to schedule of
investments.
100
SPDR DOUBLELINE SHORT DURATION TOTAL RETURN TACTICAL
ETF
Schedule of Investments (continued)
March 31, 2022 (Unaudited)
See accompanying notes to schedule of
investments.
101
SPDR DOUBLELINE SHORT DURATION TOTAL RETURN TACTICAL
ETF
Schedule of Investments (continued)
March 31, 2022 (Unaudited)
See accompanying notes to schedule of
investments.
102
SPDR DOUBLELINE SHORT DURATION TOTAL RETURN TACTICAL
ETF
Schedule of Investments (continued)
March 31, 2022 (Unaudited)
See accompanying notes to schedule of
investments.
103
SPDR DOUBLELINE SHORT DURATION TOTAL RETURN TACTICAL
ETF
Schedule of Investments (continued)
March 31, 2022 (Unaudited)
See accompanying notes to schedule of
investments.
104
SPDR DOUBLELINE SHORT DURATION TOTAL RETURN TACTICAL
ETF
Schedule of Investments (continued)
March 31, 2022 (Unaudited)
See accompanying notes to schedule of
investments.
105
SPDR DOUBLELINE SHORT DURATION TOTAL RETURN TACTICAL
ETF
Schedule of Investments (continued)
March 31, 2022 (Unaudited)
See accompanying notes to schedule of
investments.
106
SPDR DOUBLELINE SHORT DURATION TOTAL RETURN TACTICAL
ETF
Schedule of Investments (continued)
March 31, 2022 (Unaudited)
The following table
summarizes the value of the Fund's investments according to the fair value hierarchy as of March 31, 2022.
| Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
| ASSETS: | ||||||||
| INVESTMENTS: | ||||||||
Corporate Bonds & Notes | $191,995 | $25,554,936 | $— | $25,746,931 | ||||
Asset-Backed Securities | 699,950 | 26,633,982 | — | 27,333,932 | ||||
Foreign Government Obligations | — | 2,820,596 | — | 2,820,596 | ||||
U.S. Government Agency Obligations | — | 22,122,113 | — | 22,122,113 | ||||
U.S. Treasury Obligations | — | 27,728,378 | — | 27,728,378 | ||||
Mortgage-Backed Securities | 897,219 | 11,915,905 | — | 12,813,124 | ||||
Commercial Mortgage Backed Securities | — | 3,762,648 | — | 3,762,648 | ||||
Senior Floating Rate Loans | — | 10,189,909 | — | 10,189,909 | ||||
Short-Term Investment | 8,185,318 | — | — | 8,185,318 | ||||
TOTAL INVESTMENTS | $9,974,482 | $130,728,467 | $— | $140,702,949 |
Affiliate Table
| 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 3/31/22 | Value at 3/31/22 | Dividend Income | |||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 14,576,244 | $14,576,244 | $165,093,869 | $171,484,795 | $— | $— | 8,185,318 | $8,185,318 | $3,628 |
See accompanying notes to schedule of
investments.
107
SPDR SSGA FIXED INCOME SECTOR ROTATION ETF
Schedule of Investments
March 31, 2022 (Unaudited)
The following table
summarizes the value of the Fund's investments according to the fair value hierarchy as of March 31, 2022.
| 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 | $99,904,629 | $— | $— | $99,904,629 | ||||
Short-Term Investments | 2,394,698 | — | — | 2,394,698 | ||||
TOTAL INVESTMENTS | $102,299,327 | $— | $— | $102,299,327 |
See accompanying notes to schedule of
investments.
108
SPDR SSGA FIXED INCOME SECTOR ROTATION ETF
Schedule of Investments (continued)
March 31, 2022 (Unaudited)
Affiliate Table
| 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 3/31/22 | Value at 3/31/22 | Dividend Income | |||||||||
SPDR Bloomberg 1-3 Month T-Bill ETF | 39,726 | $3,633,737 | $26,439,716 | $9,427,241 | $(2,602) | $(3,288) | 225,750 | $20,640,322 | $— | ||||||||
SPDR Bloomberg High Yield Bond ETF | — | — | 11,937,100 | 11,686,750 | (250,350) | — | — | — | 53,159 | ||||||||
SPDR Portfolio Intermediate Term Corporate Bond ETF | 508,248 | 18,652,702 | 12,551,261 | 20,134,824 | (102,858) | (878,030) | 295,410 | 10,088,251 | 195,721 | ||||||||
SPDR Portfolio Intermediate Term Treasury ETF | 292,929 | 9,485,041 | 8,438,089 | 5,481,214 | 44,554 | (879,251) | 383,203 | 11,607,219 | 57,656 | ||||||||
SPDR Portfolio Long Term Corporate Bond ETF | 634,102 | 20,151,762 | 22,226,587 | 27,482,522 | (2,003,120) | (1,560,195) | 407,791 | 11,332,512 | 569,978 | ||||||||
SPDR Portfolio Long Term Treasury ETF | 139,338 | 5,754,659 | 22,421,611 | 5,900,904 | 94,882 | (1,533,584) | 550,943 | 20,836,664 | 118,600 | ||||||||
SPDR Portfolio Mortgage Backed Bond ETF | 973,311 | 25,169,822 | 19,065,042 | 16,701,136 | (322,916) | (1,811,151) | 1,060,086 | 25,399,661 | 505,743 | ||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 136,849 | 136,849 | 545,627 | 411,278 | — | — | 271,198 | 271,198 | 76 | ||||||||
State Street Navigator Securities Lending Portfolio II | 24,628,973 | 24,628,973 | 654,736,327 | 677,241,800 | — | — | 2,123,500 | 2,123,500 | 198,040 | ||||||||
Total | $107,613,545 | $778,361,360 | $774,467,669 | $(2,542,410) | $(6,665,499) | $102,299,327 | $1,698,973 |
See accompanying notes to schedule of
investments.
109
SPDR SSGA US SECTOR ROTATION ETF
Schedule of Investments
March 31, 2022 (Unaudited)
The following table
summarizes the value of the Fund's investments according to the fair value hierarchy as of March 31, 2022.
| 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 | $215,521,934 | $— | $— | $215,521,934 | ||||
Short-Term Investments | 25,191,132 | — | — | 25,191,132 | ||||
TOTAL INVESTMENTS | $240,713,066 | $— | $— | $240,713,066 |
See accompanying notes to schedule of
investments.
110
SPDR SSGA US SECTOR ROTATION ETF
Schedule of Investments (continued)
March 31, 2022 (Unaudited)
Affiliate Table
| 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 3/31/22 | Value at 3/31/22 | Dividend Income | |||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 422,278 | $422,278 | $3,217,524 | $3,165,572 | $— | $— | 474,230 | $474,230 | $125 | ||||||||
State Street Navigator Securities Lending Portfolio II | 49,478,804 | 49,478,804 | 1,082,052,933 | 1,106,814,835 | — | — | 24,716,902 | 24,716,902 | 41,483 | ||||||||
The Communication Services Select Sector SPDR Fund | 150,287 | 12,168,738 | 50,685,854 | 54,510,434 | (1,164,547) | (1,311,989) | 85,310 | 5,867,622 | 92,512 | ||||||||
The Consumer Discretionary Select Sector SPDR Fund | — | — | 17,279,519 | 684,087 | (31,479) | (680,223) | 85,858 | 15,883,730 | 27,077 | ||||||||
The Consumer Staples Select Sector SPDR Fund | 67,445 | 4,719,127 | 94,041,136 | 72,461,537 | 1,778,431 | 1,014,667 | 383,342 | 29,091,824 | 478,312 | ||||||||
The Energy Select Sector SPDR Fund | 100,084 | 5,391,525 | 23,020,165 | 19,537,768 | (155,173) | 1,772,641 | 137,250 | 10,491,390 | 217,594 | ||||||||
The Financial Select Sector SPDR Fund | 599,399 | 21,991,949 | 50,001,278 | 40,298,355 | 1,639,963 | (520,001) | 856,337 | 32,814,834 | 381,012 | ||||||||
The Health Care Select Sector SPDR Fund | — | — | 40,201,724 | 22,140,888 | (336,804) | 256,180 | 131,252 | 17,980,212 | 53,018 | ||||||||
The Industrial Select Sector SPDR Fund | 274,818 | 28,141,363 | 27,239,411 | 40,181,599 | (25,513) | (10,166) | 147,247 | 15,163,496 | 60,213 | ||||||||
The Materials Select Sector SPDR Fund | 351,629 | 28,942,583 | 51,613,543 | 62,775,028 | (266,665) | 479,450 | 204,128 | 17,993,883 | 247,851 | ||||||||
The Technology Select Sector SPDR Fund | 492,231 | 72,682,830 | 26,591,003 | 36,409,836 | 4,438,315 | 1,039,336 | 430,011 | 68,341,648 | 417,541 | ||||||||
The Utilities Select Sector SPDR Fund | — | — | 6,328,660 | 4,747,468 | 124,441 | 187,662 | 25,427 | 1,893,295 | 52,926 | ||||||||
Total | $223,939,197 | $1,472,272,750 | $1,463,727,407 | $6,000,969 | $2,227,557 | $240,713,066 | $2,069,664 |
See accompanying notes to schedule of
investments.
111
SPDR NUVEEN MUNICIPAL BOND ETF
Schedule of Investments
March 31, 2022 (Unaudited)
See accompanying notes to schedule of
investments.
112
SPDR NUVEEN MUNICIPAL BOND ETF
Schedule of Investments (continued)
March 31, 2022 (Unaudited)
See accompanying notes to schedule of
investments.
113
SPDR NUVEEN MUNICIPAL BOND ETF
Schedule of Investments (continued)
March 31, 2022 (Unaudited)
See accompanying notes
to schedule of investments.
114
SPDR NUVEEN MUNICIPAL BOND ETF
Schedule of Investments (continued)
March 31, 2022 (Unaudited)
| (d) | 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, 2022 are shown in the Affiliate Table below. |
| (e) | The rate shown is the annualized seven-day yield at March 31, 2022. |
| AMT | Alternative Minimum Tax |
| ETM | Escrowed to Maturity |
| 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, 2022.
| Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
| ASSETS: | ||||||||
| INVESTMENTS: | ||||||||
Municipal Bonds & Notes | $— | $33,373,928 | $— | $33,373,928 | ||||
Short-Term Investment | 2,327,724 | — | — | 2,327,724 | ||||
TOTAL INVESTMENTS | $2,327,724 | $33,373,928 | $— | $35,701,652 |
Affiliate Table
| 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 3/31/22 | Value at 3/31/22 | Dividend Income | |||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 1,374,817 | $1,374,817 | $13,977,084 | $13,024,177 | $— | $— | 2,327,724 | $2,327,724 | $645 |
See accompanying notes to schedule of
investments.
115
SPDR LOOMIS SAYLES OPPORTUNISTIC BOND ETF
Schedule of Investments
March 31, 2022 (Unaudited)
See accompanying notes to schedule of
investments.
116
SPDR LOOMIS SAYLES OPPORTUNISTIC BOND ETF
Schedule of Investments (continued)
March 31, 2022 (Unaudited)
See accompanying notes to schedule of
investments.
117
SPDR LOOMIS SAYLES OPPORTUNISTIC BOND ETF
Schedule of Investments (continued)
March 31, 2022 (Unaudited)
See accompanying notes to schedule of
investments.
118
SPDR LOOMIS SAYLES OPPORTUNISTIC BOND ETF
Schedule of Investments (continued)
March 31, 2022 (Unaudited)
See accompanying notes to schedule of
investments.
119
SPDR LOOMIS SAYLES OPPORTUNISTIC BOND ETF
Schedule of Investments (continued)
March 31, 2022 (Unaudited)
See accompanying notes to schedule of
investments.
120
SPDR LOOMIS SAYLES OPPORTUNISTIC BOND ETF
Schedule of Investments (continued)
March 31, 2022 (Unaudited)
See accompanying notes to schedule of
investments.
121
SPDR LOOMIS SAYLES OPPORTUNISTIC BOND ETF
Schedule of Investments (continued)
March 31, 2022 (Unaudited)
See accompanying notes to schedule of
investments.
122
SPDR LOOMIS SAYLES OPPORTUNISTIC BOND ETF
Schedule of Investments (continued)
March 31, 2022 (Unaudited)
See accompanying notes to schedule of
investments.
123
SPDR LOOMIS SAYLES OPPORTUNISTIC BOND ETF
Schedule of Investments (continued)
March 31, 2022 (Unaudited)
See accompanying notes to schedule of
investments.
124
SPDR LOOMIS SAYLES OPPORTUNISTIC BOND ETF
Schedule of Investments (continued)
March 31, 2022 (Unaudited)
See accompanying notes to schedule of
investments.
125
SPDR LOOMIS SAYLES OPPORTUNISTIC BOND ETF
Schedule of Investments (continued)
March 31, 2022 (Unaudited)
At March 31, 2022, open forward
foreign currency exchange contracts were as follows:
| Counterparty | Amount Sold | Amount Bought | Settlement Date | Net Unrealized Appreciation/ (Depreciation) | ||||
| Commonwealth Bank of Australia | EUR89,000 | USD97,250 | 04/11/2022 | $(1,794) | ||||
| Standard Chartered Bank | USD142,978 | EUR129,000 | 04/07/2022 | 565 | ||||
| Standard Chartered Bank | EUR129,000 | USD142,847 | 04/07/2022 | (697) | ||||
| Total | $(1,926) | |||||||
At March 31, 2022, open futures
contracts were as follows:
| Description | Number of Contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation (Depreciation) | |||||
| Ultra U.S. Treasury Bond Futures (long) | 13 | 06/21/2022 | $2,285,468 | $2,302,625 | $17,157 |
The following table summarizes the
value of the Fund's investments according to the fair value hierarchy as of March 31, 2022.
| Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
| ASSETS: | ||||||||
| INVESTMENTS: | ||||||||
Corporate Bonds & Notes | $141,646 | $21,370,283 | $44,416 | $21,556,345 | ||||
Asset-Backed Securities | — | 4,029,652 | — | 4,029,652 | ||||
Commercial Mortgage Backed Securities | — | 97,353 | — | 97,353 | ||||
Mutual Funds and Exchange Traded Products | 1,409,136 | — | — | 1,409,136 | ||||
Preferred Stocks | 44,357 | — | — | 44,357 | ||||
Senior Floating Rate Loans | — | 9,851,699 | — | 9,851,699 | ||||
Short-Term Investment | 4,177,238 | — | — | 4,177,238 | ||||
TOTAL INVESTMENTS | $5,772,377 | $35,348,987 | $44,416 | $41,165,780 | ||||
| OTHER FINANCIAL INSTRUMENTS: | ||||||||
Foreign Currency Exchange Contracts(a) | — | 565 | — | 565 | ||||
Futures Contracts(b) | 17,157 | — | — | 17,157 | ||||
TOTAL OTHER FINANCIAL INSTRUMENTS: | $17,157 | $565 | $— | $17,722 | ||||
| LIABILITIES: | ||||||||
| OTHER FINANCIAL INSTRUMENTS: | ||||||||
Foreign Currency Exchange Contracts(a) | — | (2,491) | — | (2,491) |
| (a) | Forward Foreign Currency Exchange Contracts are valued at unrealized appreciation (depreciation). |
| (b) | Futures Contracts are valued at unrealized appreciation (depreciation). |
See accompanying notes to
schedule of investments.
126
SPDR LOOMIS SAYLES OPPORTUNISTIC BOND ETF
Schedule of Investments (continued)
March 31, 2022 (Unaudited)
Affiliate Table
| Number of Shares Held at 9/27/21* | Value at 9/27/21* | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 3/31/22 | Value at 3/31/22 | Dividend Income | |||||||||
SPDR Blackstone Senior Loan ETF | — | $— | $4,732,501 | $3,285,208 | $(60,654) | $22,497 | 31,342 | $1,409,136 | $41,312 | ||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | — | — | 52,343,946 | 48,166,708 | — | — | 4,177,238 | 4,177,238 | 1,369 | ||||||||
Total | $— | $57,076,447 | $51,451,916 | $(60,654) | $22,497 | $5,586,374 | $42,681 |
| * | Commencement of operations. |
See accompanying notes to schedule of
investments.
127
SSGA ACTIVE TRUST
NOTES TO SCHEDULES OF INVESTMENTS
March 31, 2022 (Unaudited)
Security Valuation
Each 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 Fund 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 Funds. The Board
has responsibility for overseeing the determination of the fair value of investments.
Valuation techniques used to value
each Fund’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.
• Exchange-traded futures contracts are valued at the closing settlement price on the primary market on which they are traded most extensively. Exchange-traded futures contracts
traded on a recognized exchange for which there were no sales on that day are valued at the last reported sale price obtained from independent pricing services or brokers or at fair value.
• Forward foreign currency exchange contracts are valued based on that day’s prevailing forward exchange rate for the underlying currencies. The rates are obtained from
independent pricing services in accordance with the valuation policy and procedures approved by the Board.
• 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
128
SSGA ACTIVE TRUST
NOTES TO SCHEDULES OF INVESTMENTS (continued)
March 31, 2022 (Unaudited)
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 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 Fund’s
investments according to the fair value hierarchy as of March 31, 2022, is disclosed in the Fund's respective Schedules of Investments.
Futures Contracts
The Funds may enter into futures
contracts to meet the Funds’ objectives. A futures contract is a standardized, exchange-traded agreement to buy or sell a financial instrument at a set price on a future date. Upon entering into a futures
contract, a Fund is required to deposit with the broker, cash or securities in an amount equal to the minimum initial margin requirements of the clearing house. Securities deposited, if any, are designated on the
Schedules of Investments and cash deposited, if any, is included in Net cash at broker on the Statements of Assets and Liabilities. Subsequent payments are made or received by a Fund equal to the daily change in the
contract value, accumulated, exchange rates, and or other transactional fees. The accumulation of those payments are recorded as variation margin receivable or payable with a corresponding offset to unrealized gains
or losses. A Fund recognizes a realized gain or loss when the contract is closed.
Losses may arise if the value of a
futures contract decreases due to unfavorable changes in the market rates or values of the underlying instrument during the term of the contract or if the counterparty does not perform under the contract. The use of
futures contracts also involves the risk that the movements in the price of the futures contracts do not correlate the movement of the assets underlying such contracts.
During the period ended March 31,
2022, the SPDR SSGA Ultra Short Term Bond ETF and SPDR Loomis Sayles Opportunistic Bond ETF entered into futures contracts to hedge interest rate risk and manage duration.
Forward Foreign Currency Exchange
Contracts
Certain Funds may engage in forward
foreign currency contracts to acquire exposure to foreign currencies or to hedge the Fund’s investments against currency fluctuations. A forward foreign currency exchange contract is a commitment to purchase or
sell a foreign currency at the settlement date at a negotiated rate. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in cash without the delivery of foreign currency. The
contract is marked-to-market daily and the change in market value is recorded by the Fund as an unrealized gain or loss. When the contract is closed, a Fund recognizes a realized gain or loss equal to the difference
between the value of the contract at the time it was opened and the value at the time it was closed.
Certain risks may arise upon
entering into forward foreign currency exchange contracts from the potential inability of counterparties to meet the terms of their contracts and are generally limited to the amount of unrealized gains on appreciated
contracts, if any. Additionally, when utilizing forward foreign currency exchange contracts to hedge, the Funds give up the opportunity to profit from favorable exchange rate movements during the term of the
contract.
During the period ended March 31,
2022, the SPDR Loomis Sayles Opportunistic Bond ETF entered into forward foreign currency exchange contracts in order to reduce the currency deviation of the fund versus the Index.
129
SSGA ACTIVE TRUST
NOTES TO SCHEDULES OF INVESTMENTS (continued)
March 31, 2022 (Unaudited)
Loan Agreements
The Blackstone Senior Loan ETF,
SPDR DoubleLine Total Return Tactical ETF, SPDR DoubleLine Short Duration Total Return Tactical ETF, SPDR Loomis Sayles Opportunistic Bond ETF and SPDR Blackstone High Income 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 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 Funds as the issuers of such loans.
Other Transactions with Affiliates
The 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 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, 2022 are disclosed in the Funds' respective Schedules of Investments.
Subsequent Events
Management has evaluated the impact
of all subsequent events on the 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.
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 at www.ssga.com as well as on the website of the U.S. Securities and Exchange Commission at www.sec.gov.
130