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 | |
27 | |
48 | |
54 | |
99 | |
104 | |
116 | |
118 | |
120 | |
125 | |
129 | |
142 |
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 | $488,571,942 | $— | $— | $488,571,942 | ||||
Short-Term Investments | 66,440,624 | — | — | 66,440,624 | ||||
TOTAL INVESTMENTS | $555,012,566 | $— | $— | $555,012,566 |
Number of Shares Held at 6/30/23 | Value at 6/30/23 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 9/30/23 | Value at 9/30/23 | Dividend Income | |||||||||
SPDR Bloomberg 1-10 Year TIPS ETF | 2,108,232 | $38,917,963 | $1,681,429 | $4,637,253 | $(260,110) | $(498,895) | 1,947,076 | $35,203,134 | $394,583 | ||||||||
SPDR Dow Jones International Real Estate ETF | 106,095 | 2,627,973 | 74,037 | 191,726 | (6,777) | (90,360) | 101,478 | 2,413,147 | 27,249 | ||||||||
SPDR Dow Jones REIT ETF | 118,899 | 10,753,226 | 351,936 | 6,057,387 | (222,023) | (20,623) | 57,935 | 4,805,129 | 47,416 | ||||||||
SPDR FTSE International Government Inflation-Protected Bond ETF | 327,586 | 13,679,991 | 873,385 | 967,472 | (11,725) | (909,480) | 325,487 | 12,664,699 | 212,831 | ||||||||
SPDR Gold MiniShares Trust | 276,756 | 10,541,636 | 751,931 | 777,025 | 42,128 | (436,771) | 276,102 | 10,121,899 | — | ||||||||
SPDR S&P Global Infrastructure ETF | 2,501,429 | 133,501,265 | 12,997,438 | 9,677,266 | 39,078 | (10,499,107) | 2,565,193 | 126,361,408 | — | ||||||||
SPDR S&P Global Natural Resources ETF | 2,741,886 | 147,815,074 | 5,311,186 | 14,028,858 | 90,263 | 4,915,232 | 2,586,197 | 144,102,897 | — | ||||||||
SPDR S&P Metals & Mining ETF | 332,119 | 16,878,288 | 653,440 | 2,060,698 | 210,669 | 334,686 | 305,074 | 16,016,385 | 51,184 | ||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 21,584,135 | 21,584,135 | 9,465,269 | 2,645,833 | — | — | 28,403,571 | 28,403,571 | 374,798 | ||||||||
State Street Navigator Securities Lending Portfolio II | 32,724,798 | 32,724,798 | 221,549,662 | 216,237,407 | — | — | 38,037,053 | 38,037,053 | 52,785 | ||||||||
The Energy Select Sector SPDR Fund | 395,864 | 32,132,281 | 901,200 | 5,158,483 | 598,974 | 2,964,393 | 347,808 | 31,438,365 | 233,780 | ||||||||
Total | $461,156,630 | $254,610,913 | $262,439,408 | $480,477 | $(4,240,925) | $449,567,687 | $1,394,626 |
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 | $65,531,640 | $— | $— | $65,531,640 | ||||
Short-Term Investments | 15,901,629 | — | — | 15,901,629 | ||||
TOTAL INVESTMENTS | $81,433,269 | $— | $— | $81,433,269 |
Number of Shares Held at 6/30/23 | Value at 6/30/23 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 9/30/23 | Value at 9/30/23 | Dividend Income | |||||||||
SPDR Blackstone Senior Loan ETF | 173,309 | $7,256,448 | $177,469 | $371,072 | $(20,634) | $30,541 | 168,680 | $7,072,752 | $158,075 | ||||||||
SPDR Bloomberg Convertible Securities ETF | 52,305 | 3,658,735 | 81,160 | 169,263 | (18,140) | (91,777) | 51,043 | 3,460,715 | 16,857 | ||||||||
SPDR Bloomberg Emerging Markets Local Bond ETF | 406,911 | 8,610,237 | 310,226 | 112,328 | (625) | (552,777) | 416,275 | 8,254,733 | 110,654 | ||||||||
SPDR Bloomberg High Yield Bond ETF | 93,779 | 8,630,481 | 178,017 | 285,392 | (1,685) | (151,014) | 92,593 | 8,370,407 | 143,954 | ||||||||
SPDR Bloomberg International Corporate Bond ETF | 50,932 | 1,445,450 | 12,392 | 1,484,866 | 60,894 | (33,870) | — | — | 2,463 | ||||||||
SPDR Dow Jones REIT ETF | 15,848 | 1,433,293 | 56,574 | 54,238 | 2,998 | (121,706) | 15,878 | 1,316,921 | 13,079 | ||||||||
SPDR ICE Preferred Securities ETF | 127,166 | 4,256,246 | 168,031 | 77,311 | (13,378) | (118,787) | 129,846 | 4,214,801 | 69,939 | ||||||||
SPDR Portfolio Long Term Treasury ETF | 307,978 | 9,208,542 | 678,196 | 75,912 | (1,850) | (1,207,901) | 328,913 | 8,601,075 | 75,022 | ||||||||
SPDR Portfolio S&P 500 High Dividend ETF | 134,956 | 5,004,168 | 2,024,308 | 710,191 | (72,134) | (331,946) | 168,640 | 5,914,205 | 74,667 | ||||||||
SPDR S&P Global Infrastructure ETF | 107,500 | 5,737,275 | 238,278 | 92,695 | (1,197) | (451,288) | 110,239 | 5,430,373 | — | ||||||||
SPDR S&P International Dividend ETF | 163,925 | 5,637,381 | 158,447 | 2,618,966 | 14,783 | (147,901) | 92,515 | 3,043,744 | 35,590 | ||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 814,508 | 814,508 | 2,592,705 | 1,044,428 | — | — | 2,362,785 | 2,362,785 | 22,728 | ||||||||
State Street Navigator Securities Lending Portfolio II | 5,978,695 | 5,978,695 | 57,946,077 | 50,385,928 | — | — | 13,538,844 | 13,538,844 | 24,765 | ||||||||
Total | $67,671,459 | $64,621,880 | $57,482,590 | $(50,968) | $(3,178,426) | $71,581,355 | $747,793 |
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 | $207,943,243 | $— | $— | $207,943,243 | ||||
Short-Term Investments | 59,759,107 | — | — | 59,759,107 | ||||
TOTAL INVESTMENTS | $267,702,350 | $— | $— | $267,702,350 |
Number of Shares Held at 6/30/23 | Value at 6/30/23 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 9/30/23 | Value at 9/30/23 | Dividend Income | |||||||||
SPDR Blackstone Senior Loan ETF | 83,240 | $3,485,259 | $199,113 | $160,808 | $(1,652) | $6,833 | 84,158 | $3,528,745 | $77,018 | ||||||||
SPDR Bloomberg 1-10 Year TIPS ETF | 740,764 | 13,674,503 | 943,614 | 361,802 | (15,435) | (274,080) | 772,500 | 13,966,800 | 147,551 | ||||||||
SPDR Bloomberg Emerging Markets Local Bond ETF | 325,324 | 6,883,856 | 495,919 | 60,931 | 874 | (455,167) | 346,170 | 6,864,551 | 89,638 | ||||||||
SPDR Bloomberg High Yield Bond ETF | 50,020 | 4,603,341 | 251,617 | 130,847 | (1,230) | (81,926) | 51,338 | 4,640,955 | 77,821 | ||||||||
SPDR Bloomberg International Corporate Bond ETF | 244,384 | 6,935,618 | 403,840 | 201,283 | (16) | (312,360) | 251,596 | 6,825,799 | 39,136 | ||||||||
SPDR Bloomberg International Treasury Bond ETF | 507,878 | 11,452,649 | 337,551 | 8,030,080 | (188,871) | (124,953) | 162,255 | 3,446,296 | 36,283 | ||||||||
SPDR Gold Shares | 37,649 | 6,711,687 | 465,945 | 130,680 | (1,206) | (271,756) | 39,510 | 6,773,990 | — | ||||||||
SPDR Portfolio Aggregate Bond ETF | 270,297 | 6,857,435 | 7,326,715 | 3,504,253 | 61,955 | (329,468) | 427,789 | 10,412,384 | 39,591 | ||||||||
SPDR Portfolio Developed World ex-US ETF | 1,116,902 | 36,343,991 | 2,286,079 | 1,687,772 | 27,064 | (1,756,887) | 1,135,520 | 35,212,475 | — | ||||||||
SPDR Portfolio Emerging Markets ETF | 462,602 | 15,904,257 | 5,517,997 | 299,501 | (13,017) | (474,626) | 614,689 | 20,635,110 | — | ||||||||
SPDR Portfolio Europe ETF | 384,632 | 14,812,178 | 2,741,323 | 17,370,706 | 1,273,915 | (1,456,710) | — | — | — | ||||||||
SPDR Portfolio Long Term Treasury ETF | 154,046 | 4,605,975 | 296,691 | 1,064,675 | (55,326) | (434,968) | 128,019 | 3,347,697 | 31,469 | ||||||||
SPDR Portfolio S&P 600 Small Cap ETF | 148,000 | 5,748,320 | 9,077,488 | 216,746 | 24,971 | (944,650) | 370,986 | 13,689,383 | 21,776 | ||||||||
SPDR S&P 500 ETF Trust | 125,343 | 55,562,045 | 9,928,502 | 9,699,161 | 382,329 | (2,407,418) | 125,775 | 53,766,297 | 199,470 | ||||||||
SPDR S&P International Small Cap ETF | 220,444 | 6,725,747 | 412,400 | 90,899 | 1,533 | (318,723) | 230,956 | 6,730,058 | — | ||||||||
SPDR S&P MidCap 400 ETF Trust | 9,792 | 4,689,487 | 300,067 | 221,268 | 37,474 | (253,516) | 9,969 | 4,552,244 | 15,525 | ||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 10,331,839 | 10,331,839 | 13,093,616 | 5,904,454 | — | — | 17,521,001 | 17,521,001 | 218,199 | ||||||||
State Street Navigator Securities Lending Portfolio II | 41,508,999 | 41,508,999 | 417,750,391 | 417,021,284 | — | — | 42,238,106 | 42,238,106 | 69,567 | ||||||||
The Consumer Discretionary Select Sector SPDR Fund | 28,532 | 4,845,019 | 2,506,156 | 2,727,206 | 115,675 | (373,222) | 27,124 | 4,366,422 | — | ||||||||
The Energy Select Sector SPDR Fund | — | — | 4,825,663 | 16,561 | (163) | (130,533) | 51,758 | 4,678,406 | 34,805 | ||||||||
The Health Care Select Sector SPDR Fund | 35,191 | 4,670,901 | — | 4,583,236 | (8,069) | (79,596) | — | — | — | ||||||||
The Industrial Select Sector SPDR Fund | 44,587 | 4,785,077 | 2,587,555 | 2,681,889 | 172,835 | (357,947) | 44,443 | 4,505,631 | 18,918 | ||||||||
Total | $271,138,183 | $481,748,242 | $476,166,042 | $1,813,640 | $(10,831,673) | $267,702,350 | $1,116,767 |
Borrower | Unfunded Loan Commitment ($) | Value ($) | Unrealized Appreciation/(Depreciation) ($) | |||
ABG Intermediate Holdings 2 LLC | 42,799 | 42,853 | 54 | |||
OMNIA Partners LLC | 16,882 | 16,922 | 40 | |||
$59,681 | $59,775 | $94 |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Corporate Bonds & Notes | $— | $51,346,818 | $— | $51,346,818 | ||||
Asset-Backed Securities | — | 9,323,903 | — | 9,323,903 | ||||
Common Stocks | — | — | 249,015 | 249,015 | ||||
Mutual Funds and Exchange Traded Products | 2,395,419 | — | — | 2,395,419 | ||||
Senior Floating Rate Loans | — | 58,384,140 | — | 58,384,140 | ||||
Short-Term Investment | 1,993,096 | — | — | 1,993,096 | ||||
TOTAL INVESTMENTS | $4,388,515 | $119,054,861 | $249,015 | $123,692,391 | ||||
OTHER FINANCIAL INSTRUMENTS: | ||||||||
Unfunded Loans - Unrealized Appreciation | $— | $94 | $— | $94 | ||||
TOTAL OTHER FINANCIAL INSTRUMENTS: | $— | $94 | $— | $94 |
Number of Shares Held at 6/30/23 | Value at 6/30/23 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 9/30/23 | Value at 9/30/23 | Dividend Income | |||||||||
SPDR Blackstone Senior Loan ETF | — | $— | $2,400,561 | $— | $— | $(5,142) | 57,129 | $2,395,419 | $— | ||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 6,605,513 | 6,605,513 | 10,567,511 | 15,179,928 | — | — | 1,993,096 | 1,993,096 | 45,343 | ||||||||
Total | $6,605,513 | $12,968,072 | $15,179,928 | $— | $(5,142) | $4,388,515 | $45,343 |
Borrower | Unfunded Loan Commitment ($) | Value ($) | Unrealized Appreciation/(Depreciation) ($) | |||
Athenahealth Group, Inc. | 9,550,367 | 9,292,841 | (257,526) | |||
VT Topco, Inc. | 3,761 | 3,763 | 2 | |||
ABG Intermediate Holdings 2 LLC | 1,141,353 | 1,142,785 | 1,432 | |||
OMNIA Partners LLC | 565,019 | 566,372 | 1,353 | |||
$11,260,500 | $11,005,761 | $(254,739) |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Corporate Bonds & Notes | $— | $224,037,697 | $— | $224,037,697 | ||||
Common Stocks | — | — | 29,074,523 | 29,074,523 | ||||
Repurchase Agreements | — | 100,000,000 | — | 100,000,000 | ||||
Senior Floating Rate Loans | — | 3,986,245,500 | — | 3,986,245,500 | ||||
Short-Term Investment | 105,838,639 | — | — | 105,838,639 | ||||
TOTAL INVESTMENTS | $105,838,639 | $4,310,283,197 | $29,074,523 | $4,445,196,359 | ||||
OTHER FINANCIAL INSTRUMENTS: | ||||||||
Unfunded Loans - Unrealized Depreciation | $— | $(254,739) | $— | $(254,739) |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
TOTAL OTHER FINANCIAL INSTRUMENTS: | $— | $(254,739) | $— | $(254,739) |
Number of Shares Held at 6/30/23 | Value at 6/30/23 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 9/30/23 | Value at 9/30/23 | Dividend Income | |||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 302,552,338 | $302,552,338 | $749,058,547 | $945,772,246 | $— | $— | 105,838,639 | $105,838,639 | $2,718,734 |
Description | Number of Contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation (Depreciation) | |||||
5 Yr. U.S. Treasury Note Futures (long) | 199 | 12/29/2023 | $21,144,979 | $20,966,516 | $(178,463) | |||||
2 Yr. U.S. Treasury Note Futures (long) | 29 | 12/29/2023 | 5,892,211 | 5,878,617 | (13,594) | |||||
$(192,057) |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Corporate Bonds & Notes | $— | $345,910,186 | $— | $345,910,186 | ||||
Asset-Backed Securities | — | 22,337,454 | — | 22,337,454 | ||||
U.S. Treasury Obligations | — | 96,796,421 | — | 96,796,421 | ||||
Mortgage-Backed Securities | — | 11,320,889 | — | 11,320,889 | ||||
Commercial Mortgage Backed Securities | — | 12,209,942 | — | 12,209,942 | ||||
Short-Term Investments | 82,602,188 | — | — | 82,602,188 | ||||
TOTAL INVESTMENTS | $82,602,188 | $488,574,892 | $— | $571,177,080 | ||||
OTHER FINANCIAL INSTRUMENTS: | ||||||||
Futures Contracts - Unrealized Depreciation | $(192,057) | $— | $— | $(192,057) | ||||
TOTAL OTHER FINANCIAL INSTRUMENTS: | $(192,057) | $— | $— | $(192,057) |
Number of Shares Held at 6/30/23 | Value at 6/30/23 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 9/30/23 | Value at 9/30/23 | Dividend Income | |||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 49,808,408 | $49,808,408 | $216,869,661 | $184,075,881 | $— | $— | 82,602,188 | $82,602,188 | $964,172 |
Borrower | Unfunded Loan Commitment ($) | Value ($) | Unrealized Appreciation/(Depreciation) ($) | |||
OMNIA Partners LLC | 12,452 | 12,481 | 29 |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Corporate Bonds & Notes | $— | $413,457,643 | $— | $413,457,643 |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
Asset-Backed Securities | $— | $402,894,896 | $— | $402,894,896 | ||||
Foreign Government Obligations | — | 9,754,385 | — | 9,754,385 | ||||
U.S. Government Agency Obligations | — | 915,434,124 | — | 915,434,124 | ||||
U.S. Treasury Obligations | — | 650,794,454 | — | 650,794,454 | ||||
Mortgage-Backed Securities | — | 505,225,973 | — | 505,225,973 | ||||
Commercial Mortgage Backed Securities | — | 98,464,923 | — | 98,464,923 | ||||
Common Stocks | — | 2,777 | 41,469 | 44,246 | ||||
Senior Floating Rate Loans | — | 63,207,271 | — | 63,207,271 | ||||
Short-Term Investment | 25,310,670 | — | — | 25,310,670 | ||||
TOTAL INVESTMENTS | $25,310,670 | $3,059,236,446 | $41,469 | $3,084,588,585 | ||||
OTHER FINANCIAL INSTRUMENTS: | ||||||||
Unfunded Loans - Unrealized Appreciation | $— | $29 | $— | $29 | ||||
TOTAL OTHER FINANCIAL INSTRUMENTS: | $— | $29 | $— | $29 |
Number of Shares Held at 6/30/23 | Value at 6/30/23 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 9/30/23 | Value at 9/30/23 | Dividend Income | |||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 30,238,919 | $30,238,919 | $192,479,269 | $197,407,518 | $— | $— | 25,310,670 | $25,310,670 | $483,672 |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Corporate Bonds & Notes | $— | $65,107,049 | $— | $65,107,049 | ||||
Foreign Government Obligations | — | 8,336,905 | — | 8,336,905 | ||||
Short-Term Investments | 3,746,628 | — | — | 3,746,628 | ||||
TOTAL INVESTMENTS | $3,746,628 | $73,443,954 | $— | $77,190,582 |
% of Net Assets | ||
Banks | 24.1% | |
Electric | 16.8 | |
Foreign Government Obligations | 10.7 | |
Mining | 6.2 | |
Pipelines | 6.1 | |
Oil & Gas | 5.0 | |
Chemicals | 4.7 | |
Telecommunications | 3.9 | |
Commercial Services | 3.6 | |
Food | 3.3 | |
Iron/Steel | 2.2 | |
Oil & Gas Services | 1.7 | |
Transportation | 1.5 | |
Holding Companies-Diversified | 1.4 | |
Construction Materials | 1.2 | |
Energy-Alternate Sources | 0.7 | |
Engineering & Construction | 0.4 | |
Media | 0.2 | |
Agriculture | 0.2 | |
Diversified Financial Services | 0.1 | |
Short-Term Investments | 4.8 | |
Other Assets in Excess of Liabilities | 1.2 | |
TOTAL | 100.0% |
Number of Shares Held at 6/30/23 | Value at 6/30/23 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 9/30/23 | Value at 9/30/23 | Dividend Income | |||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 2,452,803 | $2,452,803 | $8,491,842 | $7,198,017 | $— | $— | 3,746,628 | $3,746,628 | $22,243 |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Corporate Bonds & Notes | $— | $19,380,098 | $— | $19,380,098 | ||||
Asset-Backed Securities | — | 32,697,625 | — | 32,697,625 | ||||
Foreign Government Obligations | — | 480,231 | — | 480,231 | ||||
U.S. Government Agency Obligations | — | 5,092,823 | — | 5,092,823 | ||||
U.S. Treasury Obligations | — | 31,321,336 | — | 31,321,336 | ||||
Mortgage-Backed Securities | — | 12,566,451 | — | 12,566,451 | ||||
Commercial Mortgage Backed Securities | — | 7,427,344 | — | 7,427,344 | ||||
Senior Floating Rate Loans | — | 7,263,503 | — | 7,263,503 | ||||
Short-Term Investment | 5,692,727 | — | — | 5,692,727 | ||||
TOTAL INVESTMENTS | $5,692,727 | $116,229,411 | $— | $121,922,138 |
Number of Shares Held at 6/30/23 | Value at 6/30/23 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 9/30/23 | Value at 9/30/23 | Dividend Income | |||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 3,869,754 | $3,869,754 | $9,415,187 | $7,592,214 | $— | $— | 5,692,727 | $5,692,727 | $45,623 |
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 | $173,992,437 | $— | $— | $173,992,437 | ||||
Short-Term Investments | 41,627,258 | — | — | 41,627,258 | ||||
TOTAL INVESTMENTS | $215,619,695 | $— | $— | $215,619,695 |
Number of Shares Held at 6/30/23 | Value at 6/30/23 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 9/30/23 | Value at 9/30/23 | Dividend Income | |||||||||
SPDR Bloomberg 1-3 Month T-Bill ETF | 127,586 | $11,714,947 | $117,843 | $11,797,816 | $(3,072) | $(31,902) | — | $— | $60,605 | ||||||||
SPDR Bloomberg High Yield Bond ETF | 98,180 | 9,035,505 | 435,861 | 4,403,422 | (41,645) | (62,977) | 54,904 | 4,963,322 | 145,626 | ||||||||
SPDR Bloomberg International Treasury Bond ETF | 558,817 | 12,601,323 | 6,617,283 | 5,262,891 | 23,577 | (694,352) | 625,468 | 13,284,940 | 46,398 | ||||||||
SPDR Portfolio Intermediate Term Corporate Bond ETF | 434,649 | 13,956,579 | 12,617,872 | 8,066,717 | (145,968) | (304,403) | 574,161 | 18,057,363 | 204,938 | ||||||||
SPDR Portfolio Intermediate Term Treasury ETF | 1,951,784 | 55,215,969 | 21,890,910 | 2,758,777 | 34,006 | (1,787,701) | 2,636,920 | 72,594,407 | 437,632 | ||||||||
SPDR Portfolio Long Term Corporate Bond ETF | 265,123 | 6,166,761 | 4,510,336 | 7,047,109 | (164,481) | (219,334) | 152,833 | 3,246,173 | 58,731 | ||||||||
SPDR Portfolio Long Term Treasury ETF | 623,115 | 18,631,139 | 811,319 | 8,047,405 | (1,289,518) | (479,929) | 368,092 | 9,625,606 | 129,162 | ||||||||
SPDR Portfolio Mortgage Backed Bond ETF | 2,371,611 | 51,961,997 | 7,162,405 | 4,233,546 | (324,516) | (2,345,714) | 2,510,607 | 52,220,626 | 414,094 | ||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 300,805 | 300,805 | 170,993 | 140,867 | — | — | 330,931 | 330,931 | 4,426 | ||||||||
State Street Navigator Securities Lending Portfolio II | 48,283,244 | 48,283,244 | 304,419,573 | 311,406,490 | — | — | 41,296,327 | 41,296,327 | 95,982 | ||||||||
Total | $227,868,269 | $358,754,395 | $363,165,040 | $(1,911,617) | $(5,926,312) | $215,619,695 | $1,597,594 |
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 | $308,965,364 | $— | $— | $308,965,364 | ||||
Short-Term Investments | 82,469,681 | — | — | 82,469,681 | ||||
TOTAL INVESTMENTS | $391,435,045 | $— | $— | $391,435,045 |
Number of Shares Held at 6/30/23 | Value at 6/30/23 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 9/30/23 | Value at 9/30/23 | Dividend Income | |||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 385,530 | $385,530 | $1,637,331 | $1,917,505 | $— | $— | 105,356 | $105,356 | $6,611 | ||||||||
State Street Navigator Securities Lending Portfolio II | 91,543,951 | 91,543,951 | 406,333,988 | 415,513,614 | — | — | 82,364,325 | 82,364,325 | 63,631 | ||||||||
The Communication Services Select Sector SPDR Fund | 96,107 | 6,254,643 | 41,150,022 | 14,225,071 | 228,476 | (608,710) | 500,219 | 32,799,360 | 85,260 | ||||||||
The Consumer Discretionary Select Sector SPDR Fund | 295,657 | 50,205,515 | 24,339,475 | 16,049,978 | 1,066,864 | (4,195,220) | 343,935 | 55,366,656 | 106,679 | ||||||||
The Consumer Staples Select Sector SPDR Fund | 421,950 | 31,296,031 | 24,327,123 | 42,735,815 | (1,894,124) | (284,865) | 155,622 | 10,708,350 | 76,722 | ||||||||
The Energy Select Sector SPDR Fund | 167,682 | 13,610,748 | 7,564,013 | 5,795,406 | 718,180 | 471,314 | 183,304 | 16,568,849 | 125,455 | ||||||||
The Financial Select Sector SPDR Fund | — | — | 35,271,873 | 2,062,410 | (20,808) | (1,442,842) | 957,064 | 31,745,813 | — | ||||||||
The Health Care Select Sector SPDR Fund | 462,115 | 61,336,524 | 28,394,012 | 47,462,943 | 461,740 | (2,117,013) | 315,460 | 40,612,320 | 174,139 | ||||||||
The Industrial Select Sector SPDR Fund | 649,374 | 69,690,818 | 7,455,039 | 40,753,055 | 2,872,922 | (4,247,653) | 345,414 | 35,018,071 | 149,654 | ||||||||
The Materials Select Sector SPDR Fund | — | — | 31,284,704 | 20,892,240 | (3,692) | (518,964) | 125,650 | 9,869,808 | — | ||||||||
The Technology Select Sector SPDR Fund | 382,122 | 66,435,731 | 34,026,050 | 19,203,775 | 646,204 | (5,628,073) | 465,297 | 76,276,137 | 170,329 | ||||||||
Total | $390,759,491 | $641,783,630 | $626,611,812 | $4,075,762 | $(18,572,026) | $391,435,045 | $958,480 |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Municipal Bonds & Notes | $— | $42,657,092 | $— | $42,657,092 | ||||
Short-Term Investment | 315,317 | — | — | 315,317 | ||||
TOTAL INVESTMENTS | $315,317 | $42,657,092 | $— | $42,972,409 |
Number of Shares Held at 6/30/23 | Value at 6/30/23 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 9/30/23 | Value at 9/30/23 | Dividend Income | |||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 167,594 | $167,594 | $5,003,127 | $4,855,404 | $— | $— | 315,317 | $315,317 | $8,707 |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
U.S. Treasury Obligations | $— | $247,891 | $— | $247,891 | ||||
Municipal Bonds & Notes | — | 34,989,401 | — | 34,989,401 | ||||
TOTAL INVESTMENTS | $— | $35,237,292 | $— | $35,237,292 |
Number of Shares Held at 6/30/23 | Value at 6/30/23 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 9/30/23 | Value at 9/30/23 | Dividend Income | |||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 263,694 | $263,694 | $2,469,254 | $2,732,948 | $— | $— | — | $— | $4,912 |
Description | Number of Contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation (Depreciation) | |||||
5 Yr. U.S. Treasury Note Futures (long) | 32 | 12/29/2023 | $3,406,799 | $3,371,500 | $(35,298) | |||||
2 Yr. U.S. Treasury Note Futures (long) | 10 | 12/29/2023 | 2,032,139 | 2,027,109 | (5,030) | |||||
U.S. Treasury Bond Futures (long) | 9 | 12/19/2023 | 1,081,014 | 1,024,031 | (56,983) | |||||
Ultra U.S. Treasury Bond Futures (long) | 5 | 12/19/2023 | 636,457 | 593,438 | (43,019) | |||||
10 Yr. U.S. Treasury Ultra Futures (long) | 34 | 12/19/2023 | 3,855,825 | 3,793,125 | (62,700) | |||||
$(203,030) |
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) | ||||||||
Morgan Stanley Bank NA | 440,000 | Pays/Annually | 1 month SOFR | (2.94%) | 01/18/53 | $80,844 | $— | $80,844 | ||||||||
Morgan Stanley Bank NA | 1,870,000 | Receives/Annually | 1 month SOFR | 3.36% | 01/18/28 | (77,903) | — | (77,903) | ||||||||
$2,941 |
Reference Entity | Counterparty | Notional Amount (000s Omitted) | Contract Annual Fixed Rate/ Payment Frequency | Termination Date | Market Value | Unamortized Upfront Payments Received (Paid) | Unrealized Appreciation (Depreciation) | |||||||
Sell Protection | ||||||||||||||
Markit CDX North America Investment Grade Index | Morgan Stanley Bank NA | 3,465 | 1.00%/ Quarterly | 12/20/28 | $(42,315) | $(39,936) | $(2,380) | |||||||
Markit CDX North America High Yield Index | Morgan Stanley Bank NA | 1,040 | 5.00%/ Quarterly | 12/20/28 | (10,127) | (6,642) | (3,485) | |||||||
$(5,865) |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Corporate Bonds & Notes | $— | $19,549,731 | $— | $19,549,731 | ||||
Asset-Backed Securities | — | 4,346,488 | — | 4,346,488 | ||||
Commercial Mortgage Backed Securities | — | 78,012 | — | 78,012 | ||||
Convertible Bonds | — | 159,765 | — | 159,765 | ||||
Mutual Funds and Exchange Traded Products | 1,698,417 | — | — | 1,698,417 | ||||
Senior Floating Rate Loans | — | 6,270,623 | — | 6,270,623 | ||||
Short-Term Investments | 2,694,249 | — | — | 2,694,249 | ||||
TOTAL INVESTMENTS | $4,392,666 | $30,404,619 | $— | $34,797,285 | ||||
OTHER FINANCIAL INSTRUMENTS: | ||||||||
Centrally Cleared IRS Swap Agreements - Unrealized Appreciation | $— | $80,844 | $— | $80,844 | ||||
Centrally Cleared IRS Swap Agreements - Unrealized Depreciation | — | (77,903) | — | (77,903) | ||||
Credit Default Swaps - Unrealized Depreciation | — | (5,865) | — | (5,865) | ||||
Futures Contracts - Unrealized Depreciation | (203,030) | — | — | (203,030) | ||||
TOTAL OTHER FINANCIAL INSTRUMENTS: | $(203,030) | $(2,924) | $— | $(205,954) |
Number of Shares Held at 6/30/23 | Value at 6/30/23 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 9/30/23 | Value at 9/30/23 | Dividend Income | |||||||||
SPDR Blackstone Senior Loan ETF | 23,140 | $968,872 | $727,005 | $— | $— | $2,540 | 40,506 | $1,698,417 | $21,057 | ||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 585,448 | 585,448 | 5,402,721 | 3,293,920 | — | — | 2,694,249 | 2,694,249 | 12,507 | ||||||||
Total | $1,554,320 | $6,129,726 | $3,293,920 | $— | $2,540 | $4,392,666 | $33,564 |
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