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 Nuveen Municipal Bond ESG ETF |
SPDR Loomis Sayles Opportunistic Bond ETF |
Schedules of Investments (Unaudited) | |
1 | |
3 | |
5 | |
7 | |
26 | |
45 | |
51 | |
91 | |
97 | |
108 | |
110 | |
112 | |
117 | |
121 | |
134 |
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 | $559,279,231 | $— | $— | $559,279,231 | ||||
Short-Term Investments | 47,082,851 | — | — | 47,082,851 | ||||
TOTAL INVESTMENTS | $606,362,082 | $— | $— | $606,362,082 |
Number of Shares Held at 6/30/22 | Value at 6/30/22 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 3/31/23 | Value at 3/31/23 | Dividend Income | |||||||||
SPDR Bloomberg 1-10 Year TIPS ETF | 2,036,829 | $39,636,692 | $45,370,876 | $37,264,955 | $(2,430,635) | $1,470,632 | 2,458,361 | $46,782,610 | $1,196,217 | ||||||||
SPDR Dow Jones International Real Estate ETF | 90,476 | 2,553,233 | 1,419,756 | 944,302 | (4,749) | (143,676) | 109,599 | 2,880,262 | 88,244 | ||||||||
SPDR Dow Jones REIT ETF | 369,583 | 35,139,952 | 9,040,081 | 31,541,017 | (4,614,138) | 3,254,266 | 127,046 | 11,279,144 | 435,463 | ||||||||
SPDR FTSE International Government Inflation-Protected Bond ETF | 55,737 | 2,521,542 | 21,703,269 | 9,703,939 | (601,907) | 406,131 | 331,446 | 14,325,096 | 392,471 | ||||||||
SPDR Gold MiniShares Trust | — | — | 6,122,590 | 256,987 | 18,819 | 444,084 | 161,813 | 6,328,506 | — | ||||||||
SPDR S&P Global Infrastructure ETF | 2,215,734 | 118,408,825 | 78,398,105 | 54,401,465 | 700,694 | 3,622,676 | 2,693,755 | 146,728,835 | 2,546,399 | ||||||||
SPDR S&P Global Natural Resources ETF | 2,278,511 | 118,687,638 | 78,285,655 | 53,114,727 | 1,389,821 | 10,869,242 | 2,734,588 | 156,117,629 | 3,757,015 | ||||||||
SPDR S&P Metals & Mining ETF | 293,310 | 12,729,654 | 10,259,061 | 8,773,593 | 836,355 | 2,666,432 | 333,294 | 17,717,909 | 244,602 | ||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 8,773,651 | 8,773,651 | 65,072,755 | 48,797,205 | — | — | 25,049,201 | 25,049,201 | 660,741 | ||||||||
State Street Navigator Securities Lending Portfolio II | 48,571,637 | 48,571,637 | 854,214,658 | 880,752,645 | — | — | 22,033,650 | 22,033,650 | 157,573 | ||||||||
The Energy Select Sector SPDR Fund | 271,581 | 19,420,757 | 24,803,020 | 14,807,879 | 2,612,783 | 748,144 | 395,712 | 32,776,825 | 909,725 | ||||||||
Total | $406,443,581 | $1,194,689,826 | $1,140,358,714 | $(2,092,957) | $23,337,931 | $482,019,667 | $10,388,450 |
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 | $74,159,268 | $— | $— | $74,159,268 | ||||
Short-Term Investments | 5,728,540 | — | — | 5,728,540 | ||||
TOTAL INVESTMENTS | $79,887,808 | $— | $— | $79,887,808 |
Number of Shares Held at 6/30/22 | Value at 6/30/22 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 3/31/23 | Value at 3/31/23 | Dividend Income | |||||||||
SPDR Blackstone Senior Loan ETF | 478,391 | $19,920,201 | $5,795,270 | $17,830,899 | $1,706,185 | $1,483,587 | 184,804 | $7,661,974 | $764,938 | ||||||||
SPDR Bloomberg 1-10 Year TIPS ETF | — | — | 2,813,734 | 1,344,432 | 2,410 | — | 79,746 | 1,517,566 | — | ||||||||
SPDR Bloomberg Convertible Securities ETF | 44,018 | 2,841,802 | 2,640,885 | 1,799,520 | 76,965 | 111,953 | 57,732 | 3,872,085 | 51,562 | ||||||||
SPDR Bloomberg Emerging Markets Local Bond ETF | 471,277 | 9,637,615 | 4,403,312 | 5,270,867 | 438,651 | 751,833 | 428,051 | 9,083,242 | 368,255 | ||||||||
SPDR Bloomberg High Yield Bond ETF | 20,953 | 1,900,647 | 13,767,113 | 8,419,822 | 650,874 | 361,002 | 74,963 | 6,958,066 | 258,440 | ||||||||
SPDR Bloomberg International Corporate Bond ETF | — | — | 4,654,057 | 2,497,578 | 55,334 | — | 79,829 | 2,278,320 | 9,759 | ||||||||
SPDR Dow Jones REIT ETF | — | — | 2,017,802 | 442,597 | 24,984 | — | 18,390 | 1,632,664 | 10,344 | ||||||||
SPDR ICE Preferred Securities ETF | 135,451 | 4,855,918 | 2,780,082 | 2,829,262 | 129,596 | 16,098 | 137,251 | 4,661,044 | 208,539 | ||||||||
SPDR Portfolio Long Term Corporate Bond ETF | 99,847 | 2,405,314 | 3,723,704 | 6,154,027 | 503,367 | — | — | — | 40,580 | ||||||||
SPDR Portfolio Long Term Treasury ETF | 410,560 | 13,577,219 | 8,962,152 | 12,119,450 | 2,372,148 | 1,640,549 | 313,741 | 9,688,322 | 219,691 | ||||||||
SPDR Portfolio S&P 500 High Dividend ETF | 309,596 | 12,355,976 | 10,560,032 | 19,360,946 | 237,875 | 289,735 | 94,919 | 3,606,922 | 185,282 | ||||||||
SPDR S&P Global Infrastructure ETF | 144,598 | 7,727,317 | 2,292,411 | 3,875,168 | 17,362 | 108,283 | 115,113 | 6,270,205 | 114,527 | ||||||||
SPDR S&P International Dividend ETF | 250,835 | 8,606,149 | 13,127,107 | 13,121,820 | 724,771 | 658,756 | 249,283 | 8,545,421 | 349,769 | ||||||||
State Street Institutional Liquid Reserves Fund, Premier Class | 3,843,857 | 3,843,857 | 16,919,217 | 18,160,684 | — | — | 2,589,016 | 2,589,016 | — | ||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 3,843,857 | 3,843,857 | 16,919,217 | 18,160,684 | — | — | 2,589,016 | 2,589,016 | — | ||||||||
State Street Navigator Securities Lending Portfolio II | 30,179,720 | 30,179,720 | 152,732,242 | 179,772,438 | — | — | 3,139,524 | 3,139,524 | 157,573 | ||||||||
Total | $121,695,592 | $264,108,337 | $311,160,194 | $6,940,522 | $5,421,796 | $74,093,387 | $2,739,259 |
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 | $218,556,252 | $— | $— | $218,556,252 | ||||
Short-Term Investments | 52,487,134 | — | — | 52,487,134 | ||||
TOTAL INVESTMENTS | $271,043,386 | $— | $— | $271,043,386 |
Number of Shares Held at 6/30/22 | Value at 6/30/22 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 3/31/23 | Value at 3/31/23 | Dividend Income | |||||||||
SPDR Blackstone Senior Loan ETF | 202,281 | $8,422,981 | $1,728,813 | $6,683,878 | $(651,870) | $549,469 | 81,175 | $3,365,515 | $338,226 | ||||||||
SPDR Bloomberg 1-10 Year TIPS ETF | 867,998 | 16,891,241 | 4,087,511 | 7,148,314 | (544,794) | 62,607 | 701,432 | 13,348,251 | 481,768 | ||||||||
SPDR Bloomberg Emerging Markets Local Bond ETF | 296,971 | 6,073,057 | 2,072,711 | 1,749,306 | (64,710) | 326,596 | 313,777 | 6,658,348 | 246,867 | ||||||||
SPDR Bloomberg High Yield Bond ETF | — | — | 9,619,463 | 8,250,496 | (230,027) | (4,216) | 12,225 | 1,134,724 | 44,496 | ||||||||
SPDR Bloomberg International Corporate Bond ETF | — | — | 7,358,648 | 890,287 | 15,215 | 195,041 | 234,009 | 6,678,617 | 19,728 | ||||||||
SPDR Bloomberg International Treasury Bond ETF | 418,602 | 9,694,823 | 15,612,015 | 12,126,769 | (1,322,093) | 1,372,375 | 572,247 | 13,230,351 | 163,299 | ||||||||
SPDR Dow Jones International Real Estate ETF | 43,111 | 1,216,593 | 1,195,407 | 2,435,379 | (191,018) | 214,397 | — | — | — | ||||||||
SPDR Dow Jones REIT ETF | 42 | 3,993 | 1,173,554 | 1,225,767 | 48,140 | 80 | — | — | — | ||||||||
SPDR Gold Shares | — | — | 3,378,342 | 344,840 | 28,577 | 262,448 | 18,145 | 3,324,527 | — | ||||||||
SPDR Portfolio Aggregate Bond ETF | 231,832 | 6,108,773 | 51,529,833 | 45,276,026 | (452,006) | 276,052 | 472,533 | 12,186,626 | 215,192 | ||||||||
SPDR Portfolio Developed World ex-US ETF | 1,740,818 | 50,205,191 | 9,761,371 | 18,709,459 | 12,382 | 4,720,252 | 1,431,810 | 45,989,737 | 515,608 | ||||||||
SPDR Portfolio Emerging Markets ETF | 422,956 | 14,706,180 | 3,331,755 | 6,373,409 | (850,318) | 607,670 | 334,658 | 11,421,878 | 276,255 | ||||||||
SPDR Portfolio Europe ETF | — | — | 19,225,109 | 7,043,941 | 240,530 | 1,346,265 | 362,029 | 13,767,963 | 118,590 | ||||||||
SPDR Portfolio Intermediate Term Treasury ETF | 373,341 | 11,002,359 | 10,714,876 | 20,180,611 | (361,480) | (63,848) | 38,400 | 1,111,296 | 71,083 | ||||||||
SPDR Portfolio Long Term Treasury ETF | 443,258 | 14,658,542 | 14,302,548 | 20,977,270 | (3,609,319) | 2,278,873 | 215,459 | 6,653,374 | 194,155 | ||||||||
SPDR Portfolio S&P 600 Small Cap ETF | 374,403 | 13,471,020 | 10,607,101 | 14,867,502 | (740,545) | 744,106 | 243,955 | 9,214,180 | 67,013 | ||||||||
SPDR S&P 500 ETF Trust | 80,272 | 30,282,612 | 36,656,056 | 31,041,516 | 1,559,371 | 1,890,769 | 96,112 | 39,347,292 | 325,980 | ||||||||
SPDR S&P International Small Cap ETF | 254,837 | 7,372,435 | 1,427,998 | 2,460,309 | (182,412) | 715,119 | 221,919 | 6,872,831 | 92,706 | ||||||||
SPDR S&P MidCap 400 ETF Trust | 11,823 | 4,888,692 | 1,096,955 | 1,886,561 | 293,520 | 259,797 | 10,149 | 4,652,403 | 52,503 | ||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 11,863,750 | 11,863,750 | 65,858,100 | 69,728,607 | — | — | 7,993,243 | 7,993,243 | — | ||||||||
State Street Navigator Securities Lending Portfolio II | 36,578,077 | 36,578,077 | 957,747,297 | 949,831,483 | — | — | 44,493,891 | 44,493,891 | 376,240 | ||||||||
The Energy Select Sector SPDR Fund | 68,732 | 4,915,025 | 5,528,456 | 6,557,566 | 792,718 | (13,316) | 56,324 | 4,665,317 | 116,196 | ||||||||
The Financial Select Sector SPDR Fund | — | — | 10,520,289 | 6,098,912 | 422,379 | (281,285) | 141,912 | 4,562,471 | 72,696 | ||||||||
The Industrial Select Sector SPDR Fund | — | — | 4,861,797 | 211,112 | 1,983 | (14,375) | 45,842 | 4,638,293 | 17,324 | ||||||||
The Materials Select Sector SPDR Fund | 66,063 | 4,862,237 | 4,988,986 | 10,072,122 | (595,469) | 816,368 | — | — | 15,047 | ||||||||
The Utilities Select Sector SPDR Fund | 71,668 | 5,026,077 | 904,147 | 6,090,670 | 20,985 | 139,461 | — | — | 30,803 | ||||||||
Total | $258,243,658 | $1,255,289,138 | $1,258,262,112 | $(6,360,261) | $16,400,705 | $265,311,128 | $3,851,775 |
Borrower | Unfunded Loan Commitment ($) | Value ($) | Unrealized Appreciation/(Depreciation) ($) | |||
Pediatric Associates Holding Company, LLC | 3,406 | 3,338 | (68) | |||
Athenahealth Group, Inc. | 67,015 | 62,911 | (4,104) | |||
$70,421 | $66,249 | $(4,172) |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Corporate Bonds & Notes | $— | $53,227,689 | $— | $53,227,689 | ||||
Asset-Backed Securities | — | 6,754,014 | — | 6,754,014 | ||||
Senior Floating Rate Loans | — | 54,382,829 | — | 54,382,829 | ||||
Short-Term Investment | 2,954,493 | — | — | 2,954,493 | ||||
TOTAL INVESTMENTS | $2,954,493 | $114,364,532 | $— | $117,319,025 | ||||
LIABILITIES: | ||||||||
OTHER FINANCIAL INSTRUMENTS: | ||||||||
Unfunded Loans(a) | — | (4,172) | — | (4,172) | ||||
TOTAL OTHER FINANCIAL INSTRUMENTS: | $— | $(4,172) | $— | $(4,172) |
(a) | Unfunded loan commitments are valued at unrealized appreciation (depreciation). |
Number of Shares Held at 6/30/22 | Value at 6/30/22 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 3/31/23 | Value at 3/31/23 | Dividend Income | |||||||||
SPDR Blackstone Senior Loan ETF | — | $— | $2,327,133 | $2,323,843 | $(3,290) | $— | — | $— | $14,073 | ||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 2,996,829 | 2,996,829 | 69,413,419 | 69,455,755 | — | — | 2,954,493 | 2,954,493 | 157,493 | ||||||||
Total | $2,996,829 | $71,740,552 | $71,779,598 | $(3,290) | $— | $2,954,493 | $171,566 |
Borrower | Unfunded Loan Commitment ($) | Value ($) | Unrealized Appreciation/(Depreciation) ($) | |||
Athenahealth Group, Inc. | 9,714,921 | 9,119,882 | (595,039) | |||
VT Topco, Inc. | 3,762 | 3,717 | (45) | |||
ABG Intermediate Holdings 2 LLC | 2,962,963 | 2,935,556 | (27,407) | |||
$12,681,646 | $12,059,155 | $(622,491) |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Corporate Bonds & Notes | $— | $269,333,682 | $— | $269,333,682 | ||||
U.S. Treasury Obligations | — | 99,191,256 | — | 99,191,256 | ||||
Common Stocks | — | — | 2,476,787 | 2,476,787 | ||||
Senior Floating Rate Loans | — | 4,666,950,826 | — | 4,666,950,826 | ||||
Short-Term Investment | 270,401,978 | — | — | 270,401,978 | ||||
TOTAL INVESTMENTS | $270,401,978 | $5,035,475,764 | $2,476,787 | $5,308,354,529 | ||||
LIABILITIES: | ||||||||
OTHER FINANCIAL INSTRUMENTS: | ||||||||
Unfunded Loans(a) | — | (622,491) | — | (622,491) | ||||
TOTAL OTHER FINANCIAL INSTRUMENTS: | $— | $(622,491) | $— | $(622,491) |
(a) | Unfunded loan commitments are valued at unrealized appreciation (depreciation). |
Number of Shares Held at 6/30/22 | Value at 6/30/22 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 3/31/23 | Value at 3/31/23 | Dividend Income | |||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 910,350,809 | $910,350,809 | $3,681,893,169 | $4,321,842,000 | $— | $— | 270,401,978 | $270,401,978 | $8,580,297 |
Description | Number of Contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation (Depreciation) | |||||
2 Yr. U.S. Treasury Note Futures (long) | 58 | 06/30/2023 | $11,868,023 | $11,974,281 | $106,258 |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Corporate Bonds & Notes | $— | $323,883,068 | $— | $323,883,068 | ||||
Asset-Backed Securities | — | 30,968,675 | — | 30,968,675 | ||||
U.S. Treasury Obligations | — | 114,994,441 | — | 114,994,441 | ||||
Mortgage-Backed Securities | — | 11,437,814 | — | 11,437,814 | ||||
Commercial Mortgage Backed Securities | — | 11,943,135 | — | 11,943,135 | ||||
Short-Term Investment | 30,154,121 | — | — | 30,154,121 | ||||
TOTAL INVESTMENTS | $30,154,121 | $493,227,133 | $— | $523,381,254 | ||||
OTHER FINANCIAL INSTRUMENTS: | ||||||||
Futures Contracts(a) | $106,258 | $— | $— | $106,258 | ||||
TOTAL INVESTMENTS AND OTHER FINANCIAL INSTRUMENTS | $30,260,379 | $493,227,133 | $— | $523,487,512 |
(a) | Futures Contracts are valued at unrealized appreciation (depreciation). |
Number of Shares Held at 6/30/22 | Value at 6/30/22 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 3/31/23 | Value at 3/31/23 | Dividend Income | |||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 29,493,611 | $29,493,611 | $441,770,817 | $441,110,307 | $— | $— | 30,154,121 | $30,154,121 | $624,482 |
ABS | Asset-Backed Security |
CLO | Collateralized Loan Obligation |
CMO | Collateralized Mortgage Obligation |
CMT | Constant Maturity Treasury |
EMTN | Euro Medium Term Note |
GMTN | Global Medium Term Note |
IO | Interest Only |
LIBOR | London Interbank Offered Rate |
MTN | Medium Term Note |
PIK | Payment in Kind |
PO | Principal Only |
REIT | Real Estate Investment Trust |
REMIC | Real Estate Mortgage Investment Conduit |
SOFR | Secured Overnight Financing Rate |
VRN | Variable Rate Note |
Borrower | Unfunded Loan Commitment ($) | Value ($) | Unrealized Appreciation/(Depreciation) ($) | |||
Pediatric Associates Holding Company, LLC | 4,836 | 4,740 | (96) | |||
VT Topco, Inc. | 118 | 117 | (1) | |||
$4,954 | $4,857 | $(97) |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Corporate Bonds & Notes | $— | $347,387,486 | $— | $347,387,486 | ||||
Asset-Backed Securities | — | 289,936,846 | 1,722 | 289,938,568 | ||||
Foreign Government Obligations | — | 15,792,409 | — | 15,792,409 | ||||
U.S. Government Agency Obligations | — | 836,740,155 | — | 836,740,155 | ||||
U.S. Treasury Obligations | — | 785,893,035 | — | 785,893,035 | ||||
Mortgage-Backed Securities | — | 297,488,970 | — | 297,488,970 | ||||
Commercial Mortgage Backed Securities | — | 92,770,388 | — | 92,770,388 | ||||
Common Stocks | — | 3,516 | 19,286 | 22,802 | ||||
Senior Floating Rate Loans | — | 43,997,414 | — | 43,997,414 | ||||
Short-Term Investment | 117,854,478 | — | — | 117,854,478 | ||||
TOTAL INVESTMENTS | $117,854,478 | $2,710,010,219 | $21,008 | $2,827,885,705 | ||||
LIABILITIES: | ||||||||
OTHER FINANCIAL INSTRUMENTS: | ||||||||
Unfunded Loans(a) | — | (97) | — | (97) | ||||
TOTAL OTHER FINANCIAL INSTRUMENTS: | $— | $(97) | $— | $(97) |
(a) | Unfunded loan commitments are valued at unrealized appreciation (depreciation). |
Number of Shares Held at 6/30/22 | Value at 6/30/22 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 3/31/23 | Value at 3/31/23 | Dividend Income | |||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 78,929,216 | $78,929,216 | $918,741,033 | $879,815,771 | $— | $— | 117,854,478 | $117,854,478 | $2,353,276 |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Corporate Bonds & Notes | $— | $56,579,992 | $— | $56,579,992 | ||||
Foreign Government Obligations | — | 18,138,477 | — | 18,138,477 | ||||
Short-Term Investments | 3,460,792 | — | — | 3,460,792 | ||||
TOTAL INVESTMENTS | $3,460,792 | $74,718,469 | $— | $78,179,261 |
% of Net Assets | ||
Foreign Government Obligations | 22.8% | |
Banks | 21.3 | |
Electric | 13.6 | |
Oil & Gas | 7.3 | |
Pipelines | 6.1 | |
Telecommunications | 4.3 | |
Chemicals | 4.0 | |
Commercial Services | 3.2 | |
Mining | 2.9 | |
Investment Company Security | 2.1 | |
Iron/Steel | 1.6 | |
Holding Companies-Diversified | 1.4 | |
Oil & Gas Services | 0.9 | |
Energy-Alternate Sources | 0.7 | |
Construction Materials | 0.6 | |
Transportation | 0.6 | |
Engineering & Construction | 0.3 | |
Media | 0.3 | |
Diversified Financial Services | 0.1 | |
Short-Term Investments | 4.4 | |
Other Assets in Excess of Liabilities | 1.5 | |
TOTAL | 100.0% |
Number of Shares Held at 6/30/22 | Value at 6/30/22 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 3/31/23 | Value at 3/31/23 | Dividend Income | |||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 681,102 | $681,102 | $27,153,690 | $24,374,000 | $— | $— | 3,460,792 | $3,460,792 | $72,805 |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Corporate Bonds & Notes | $— | $18,057,280 | $— | $18,057,280 | ||||
Asset-Backed Securities | — | 30,775,809 | — | 30,775,809 | ||||
Foreign Government Obligations | — | 630,633 | — | 630,633 | ||||
U.S. Government Agency Obligations | — | 8,663,643 | — | 8,663,643 | ||||
U.S. Treasury Obligations | — | 31,516,210 | — | 31,516,210 | ||||
Mortgage-Backed Securities | — | 12,239,351 | — | 12,239,351 | ||||
Commercial Mortgage Backed Securities | — | 6,901,452 | — | 6,901,452 | ||||
Senior Floating Rate Loans | — | 7,892,935 | — | 7,892,935 | ||||
Short-Term Investments | 3,741,386 | — | — | 3,741,386 | ||||
TOTAL INVESTMENTS | $3,741,386 | $116,677,313 | $— | $120,418,699 |
Number of Shares Held at 6/30/22 | Value at 6/30/22 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 3/31/23 | Value at 3/31/23 | Dividend Income | |||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 7,824,635 | $7,824,635 | $56,872,976 | $60,956,225 | $— | $— | 3,741,386 | $3,741,386 | $140,904 |
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 | $164,405,785 | $— | $— | $164,405,785 | ||||
Short-Term Investments | 10,628,337 | — | — | 10,628,337 | ||||
TOTAL INVESTMENTS | $175,034,122 | $— | $— | $175,034,122 |
Number of Shares Held at 6/30/22 | Value at 6/30/22 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 3/31/23 | Value at 3/31/23 | Dividend Income | |||||||||
SPDR Bloomberg 1-3 Month T-Bill ETF | 208,058 | $19,035,227 | $29,920,050 | $39,625,308 | $7,026 | $11,934 | 101,818 | $9,348,929 | $207,943 | ||||||||
SPDR Bloomberg High Yield Bond ETF | — | — | 3,452,942 | 3,307,424 | (145,518) | — | — | — | 17,687 | ||||||||
SPDR Bloomberg International Treasury Bond ETF | 26,869 | 622,286 | 13,740,049 | 4,633,225 | 33,580 | 441,368 | 441,352 | 10,204,058 | 42,856 | ||||||||
SPDR Portfolio Intermediate Term Corporate Bond ETF | 526,060 | 17,165,338 | 19,601,175 | 16,970,068 | (1,078,782) | 1,116,475 | 610,469 | 19,834,138 | 423,641 | ||||||||
SPDR Portfolio Intermediate Term Treasury ETF | 628,939 | 18,534,832 | 61,434,468 | 22,088,527 | (1,541,793) | 973,651 | 1,980,395 | 57,312,631 | 531,860 | ||||||||
SPDR Portfolio Long Term Corporate Bond ETF | 11,160 | 268,844 | 14,454,950 | 9,706,458 | (342,245) | (33,123) | 196,527 | 4,641,968 | 90,560 | ||||||||
SPDR Portfolio Long Term Treasury ETF | 986,122 | 32,611,055 | 25,520,295 | 34,248,548 | (5,365,994) | 3,540,004 | 714,275 | 22,056,812 | 491,358 | ||||||||
SPDR Portfolio Mortgage Backed Bond ETF | 1,318,878 | 30,136,362 | 35,615,336 | 23,448,826 | (2,407,784) | 1,112,161 | 1,848,839 | 41,007,249 | 786,604 | ||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 188,090 | 188,090 | 926,344 | 859,229 | — | — | 255,205 | 255,205 | 6,402 | ||||||||
State Street Navigator Securities Lending Portfolio II | 20,836,025 | 20,836,025 | 602,148,206 | 612,611,099 | — | — | 10,373,132 | 10,373,132 | 214,164 | ||||||||
Total | $139,398,059 | $806,813,815 | $767,498,712 | $(10,841,510) | $7,162,470 | $175,034,122 | $2,813,075 |
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 | $235,614,270 | $— | $— | $235,614,270 | ||||
Short-Term Investments | 63,196,640 | — | — | 63,196,640 | ||||
TOTAL INVESTMENTS | $298,810,910 | $— | $— | $298,810,910 |
Number of Shares Held at 6/30/22 | Value at 6/30/22 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 3/31/23 | Value at 3/31/23 | Dividend Income | |||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 747,558 | $747,558 | $4,904,136 | $5,067,293 | $— | $— | 584,401 | $584,401 | $11,351 | ||||||||
State Street Navigator Securities Lending Portfolio II | 34,939,526 | 34,939,526 | 900,988,348 | 873,315,635 | — | — | 62,612,239 | 62,612,239 | 154,710 | ||||||||
The Communication Services Select Sector SPDR Fund | 71,118 | 3,859,574 | 13,015,058 | 12,693,164 | (1,817,166) | 926,481 | 56,767 | 3,290,783 | 19,296 | ||||||||
The Consumer Discretionary Select Sector SPDR Fund | 101,186 | 13,911,051 | 25,629,316 | 28,601,779 | (4,522,429) | 4,354,460 | 72,025 | 10,770,619 | 109,731 | ||||||||
The Consumer Staples Select Sector SPDR Fund | 87,688 | 6,329,320 | 59,268,455 | 58,897,297 | (1,619,271) | (32,156) | 67,582 | 5,049,051 | 356,868 | ||||||||
The Energy Select Sector SPDR Fund | 177,229 | 12,673,646 | 7,442,953 | 9,076,233 | 1,102,073 | 1,480,114 | 164,464 | 13,622,553 | 464,990 | ||||||||
The Financial Select Sector SPDR Fund | 748,783 | 23,549,225 | 44,160,328 | 33,965,176 | 53,914 | 1,764,335 | 1,106,147 | 35,562,626 | 651,172 | ||||||||
The Health Care Select Sector SPDR Fund | 246,210 | 31,573,970 | 41,249,539 | 45,381,882 | (589,349) | 929,709 | 214,599 | 27,781,987 | 386,129 | ||||||||
The Industrial Select Sector SPDR Fund | 229,397 | 20,035,534 | 51,079,359 | 19,322,705 | (1,393,291) | 3,197,464 | 529,713 | 53,596,361 | 401,039 | ||||||||
The Materials Select Sector SPDR Fund | 278,774 | 20,517,766 | 26,511,834 | 29,062,857 | (3,544,672) | 3,685,131 | 224,488 | 18,107,202 | 219,516 | ||||||||
The Real Estate Sector SPDR Fund | 136,665 | 5,584,133 | 31,935 | 5,675,084 | (803,327) | 862,343 | — | — | — | ||||||||
The Technology Select Sector SPDR Fund | 394,971 | 50,208,714 | 49,889,510 | 41,780,582 | (509,237) | 10,024,683 | 449,196 | 67,833,088 | 397,942 | ||||||||
The Utilities Select Sector SPDR Fund | 204,622 | 14,350,141 | 15,248,647 | 28,651,761 | (1,622,533) | 675,506 | — | — | 155,207 | ||||||||
Total | $238,280,158 | $1,239,419,418 | $1,191,491,448 | $(15,265,288) | $27,868,070 | $298,810,910 | $3,327,951 |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Municipal Bonds & Notes | $— | $42,140,057 | $— | $42,140,057 | ||||
Short-Term Investment | 1,520,144 | — | — | 1,520,144 | ||||
TOTAL INVESTMENTS | $1,520,144 | $42,140,057 | $— | $43,660,201 |
Number of Shares Held at 6/30/22 | Value at 6/30/22 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 3/31/23 | Value at 3/31/23 | Dividend Income | |||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 1,595,897 | $1,595,897 | $16,175,004 | $16,250,757 | $— | $— | 1,520,144 | $1,520,144 | $55,514 |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Municipal Bonds & Notes | $— | $34,827,376 | $— | $34,827,376 | ||||
Short-Term Investment | 1,599,139 | — | — | 1,599,139 | ||||
TOTAL INVESTMENTS | $1,599,139 | $34,827,376 | $— | $36,426,515 |
Number of Shares Held at 6/30/22 | Value at 6/30/22 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 3/31/23 | Value at 3/31/23 | Dividend Income | |||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 1,543,320 | $1,543,320 | $14,456,211 | $14,400,392 | $— | $— | 1,599,139 | $1,599,139 | $32,721 |
Counterparty | Amount Sold | Amount Bought | Settlement Date | Net Unrealized Appreciation/ (Depreciation) | ||||
Commonwealth Bank of Australia | EUR45,000 | USD47,901 | 04/21/2023 | $(1,035) |
Description | Number of Contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation (Depreciation) | |||||
10 Yr. U.S. Treasury Ultra Futures (short) | (6) | 06/21/2023 | $(723,419) | $(726,844) | $(3,425) | |||||
5 Yr. U.S. Treasury Note Futures (long) | 29 | 06/30/2023 | 3,206,592 | 3,175,727 | (30,865) | |||||
Ultra U.S. Treasury Bond Futures (long) | 23 | 06/21/2023 | 3,138,218 | 3,245,875 | 107,657 | |||||
2 Yr. U.S. Treasury Note Futures (long) | 10 | 06/30/2023 | 2,035,577 | 2,064,531 | 28,954 | |||||
$102,321 |
Centrally Cleared Interest Rate Swaps |
Counterparty | Notional Amount (000s omitted) | Fund Pays/ Receives Fixed Rate/ Payment Frequency | Floating Rate | Contract Annual Fixed Rate | Termination Date | Market Value | Unamortized Upfront Payments Received (Paid) | Unrealized Appreciation (Depreciation) | ||||||||
LCH Limited | $440,000 | Pays/Annually | 1 month SOFR | 2.94% | 01/18/53 | $2,134 | $— | $2,134 | ||||||||
LCH Limited | 1,870,000 | Receives/Annually | 1 month SOFR | 3.36% | 01/18/28 | (3,572) | — | (3,572) | ||||||||
$(1,438) |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Corporate Bonds & Notes | $— | $20,152,076 | $— | $20,152,076 | ||||
Asset-Backed Securities | — | 3,324,188 | — | 3,324,188 | ||||
U.S. Treasury Obligations | — | 2,368,312 | — | 2,368,312 | ||||
Commercial Mortgage Backed Securities | — | 87,981 | — | 87,981 | ||||
Convertible Bonds | — | 133,850 | — | 133,850 | ||||
Convertible Preferred Stocks | 14,750 | — | — | 14,750 | ||||
Mutual Funds and Exchange Traded Products | 1,401,582 | — | — | 1,401,582 | ||||
Senior Floating Rate Loans | — | 4,838,740 | — | 4,838,740 | ||||
Short-Term Investments | 2,684,748 | — | — | 2,684,748 |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
TOTAL INVESTMENTS | $4,101,080 | $30,905,147 | $— | $35,006,227 | ||||
OTHER FINANCIAL INSTRUMENTS: | ||||||||
Centrally Cleared IRS Swap Agreements | — | 2,134 | — | 2,134 | ||||
Futures Contracts(a) | $136,611 | $— | $— | $136,611 | ||||
TOTAL OTHER FINANCIAL INSTRUMENTS: | $136,611 | $2,134 | $— | $138,745 | ||||
TOTAL INVESTMENTS AND OTHER FINANCIAL INSTRUMENTS | $4,237,691 | $30,907,281 | $— | $35,144,972 | ||||
LIABILITIES: | ||||||||
OTHER FINANCIAL INSTRUMENTS: | ||||||||
Centrally Cleared IRS Swap Agreements(b) | — | (3,572) | — | (3,572) | ||||
Foreign Currency Exchange Contracts(c) | — | (1,035) | — | (1,035) | ||||
Futures Contracts(a) | (34,290) | — | — | (34,290) | ||||
TOTAL OTHER FINANCIAL INSTRUMENTS: | $(34,290) | $(4,607) | $— | $(38,897) |
(a) | Futures Contracts are valued at unrealized appreciation (depreciation). |
(b) | Credit Default Swaps are valued at unrealized appreciation (depreciation). |
(c) | Forward Foreign Currency Exchange Contracts are valued at unrealized appreciation (depreciation). |
Number of Shares Held at 6/30/22 | Value at 6/30/22 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 3/31/23 | Value at 3/31/23 | Dividend Income | |||||||||
SPDR Blackstone Senior Loan ETF | — | $— | $1,730,116 | $1,711,396 | $(18,720) | $— | — | $— | $20,451 | ||||||||
SPDR Bloomberg High Yield Bond ETF | — | — | 2,020,486 | 630,199 | 2,434 | 8,861 | 15,100 | 1,401,582 | 10,201 | ||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 1,958,487 | 1,958,487 | 31,117,327 | 30,391,066 | — | — | 2,684,748 | 2,684,748 | 45,047 | ||||||||
Total | $1,958,487 | $34,867,929 | $32,732,661 | $(16,286) | $8,861 | $4,086,330 | $75,699 |
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