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NPORT-EX
3
NPORT_SMGD_27339090_0923.htm
Quarterly Report
September 30, 2023
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 Nuveen Municipal Bond ESG 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 https://www.ssga.com/spdrs. Please read the prospectus carefully before you invest.
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 https://www.ssga.com/spdrs. Please read the prospectus carefully before you invest.
SPDR SSGA MULTI-ASSET REAL RETURN ETF
SCHEDULE OF INVESTMENTS
September 30, 2023 (Unaudited)
Security Description
|
|
| Shares
|
| Value
|
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS — 94.5%
|
|
|
|
COMMODITIES — 20.2%
|
|
Invesco Optimum Yield Diversified Commodity Strategy No. K-1 ETF
|
|
| 6,971,716
|
| $104,227,154
|
DOMESTIC EQUITY — 6.1%
|
|
The Energy Select Sector SPDR Fund (a)
|
|
| 347,808
|
| 31,438,365
|
INFLATION LINKED — 6.8%
|
|
SPDR Bloomberg 1-10 Year TIPS ETF (a)
|
|
| 1,947,076
|
| 35,203,134
|
INTERNATIONAL EQUITY — 24.7%
|
|
SPDR S&P Global Infrastructure ETF (a)(b)
|
|
| 2,565,193
|
| 126,361,408
|
VanEck Agribusiness ETF (b)
|
|
| 15,473
|
| 1,217,725
|
|
|
|
|
| 127,579,133
|
INTERNATIONAL FIXED INCOME — 2.4%
|
|
SPDR FTSE International Government Inflation-Protected Bond ETF (a)
|
|
| 325,487
|
| 12,664,699
|
NATURAL RESOURCES — 32.9%
|
|
SPDR Gold MiniShares Trust (a)(c)
|
|
| 276,102
|
| 10,121,899
|
SPDR S&P Global Natural Resources ETF (a)(b)
|
|
| 2,586,197
|
| 144,102,897
|
SPDR S&P Metals & Mining ETF (a)(b)
|
|
| 305,074
|
| 16,016,385
|
|
|
|
|
| 170,241,181
|
REAL ESTATE — 1.4%
|
|
SPDR Dow Jones International Real Estate ETF (a)(b)
|
|
| 101,478
|
| 2,413,147
|
SPDR Dow Jones REIT ETF REIT (a)(b)
|
|
| 57,935
|
| 4,805,129
|
|
|
|
|
| 7,218,276
|
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS
(Cost $520,419,223)
|
| 488,571,942
|
|
Security Description
|
|
| Shares
|
| Value
|
SHORT-TERM INVESTMENTS — 12.8%
|
|
|
|
State Street Institutional U.S. Government Money Market Fund, Class G Shares 5.33% (d)(e)
|
|
| 28,403,571
|
| $28,403,571
|
State Street Navigator Securities Lending Portfolio II (f)(g)
|
|
| 38,037,053
|
| 38,037,053
|
TOTAL SHORT-TERM INVESTMENTS
(Cost $66,440,624)
|
|
|
|
| $66,440,624
|
TOTAL INVESTMENTS — 107.3%
(Cost $586,859,847)
|
|
|
|
| 555,012,566
|
LIABILITIES IN EXCESS OF OTHER ASSETS — (7.3)%
|
|
|
|
| (37,951,752)
|
NET ASSETS — 100.0%
|
|
|
|
| $517,060,814
|
The Fund invests in other funds and financial statements of underlying funds can be found at www.sec.gov.
|
|
(a)
| Affiliated fund managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended September 30, 2023 are shown in the Affiliate Table below.
|
(b)
| All or a portion of the shares of the security are on loan at September 30, 2023.
|
(c)
| Non-income producing security.
|
(d)
| The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended September 30, 2023 are shown in
the Affiliate Table below.
|
(e)
| The rate shown is the annualized seven-day yield at September 30, 2023.
|
(f)
| The Fund invested in an affiliated entity. Amounts related to these transactions during the period ended September 30, 2023 are shown in the Affiliate Table below.
|
(g)
| Investment of cash collateral for securities loaned.
|
The following table
summarizes the value of the Fund's investments according to the fair value hierarchy as of September 30, 2023.
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
|
See accompanying notes to Schedule of
Investments.
1
SPDR SSGA MULTI-ASSET REAL RETURN ETF
SCHEDULE OF INVESTMENTS (continued)
September 30, 2023 (Unaudited)
Affiliate Table
| 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
|
See accompanying notes to Schedule of
Investments.
2
SPDR SSGA INCOME ALLOCATION ETF
SCHEDULE OF INVESTMENTS
September 30, 2023 (Unaudited)
Security Description
|
|
| Shares
|
| Value
|
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS — 96.4%
|
|
|
|
DOMESTIC EQUITY — 29.4%
|
|
Invesco KBW Premium Yield Equity REIT ETF
|
|
| 74,577
|
| $1,302,115
|
iShares Mortgage Real Estate ETF (a)
|
|
| 117,163
|
| 2,617,422
|
Schwab U.S. Dividend Equity ETF (a)
|
|
| 83,838
|
| 5,932,377
|
SPDR ICE Preferred Securities ETF (b)
|
|
| 129,846
|
| 4,214,801
|
SPDR Portfolio S&P 500 High Dividend ETF (a)(b)
|
|
| 168,640
|
| 5,914,205
|
|
|
|
|
| 19,980,920
|
DOMESTIC FIXED INCOME — 40.5%
|
|
SPDR Blackstone Senior Loan ETF (a)(b)
|
|
| 168,680
|
| 7,072,752
|
SPDR Bloomberg Convertible Securities ETF (a)(b)
|
|
| 51,043
|
| 3,460,715
|
SPDR Bloomberg High Yield Bond ETF (a)(b)
|
|
| 92,593
|
| 8,370,407
|
SPDR Portfolio Long Term Treasury ETF (b)
|
|
| 328,913
|
| 8,601,075
|
|
|
|
|
| 27,504,949
|
INTERNATIONAL EQUITY — 12.5%
|
|
SPDR S&P Global Infrastructure ETF (b)
|
|
| 110,239
|
| 5,430,373
|
SPDR S&P International Dividend ETF (a)(b)
|
|
| 92,515
|
| 3,043,744
|
|
|
|
|
| 8,474,117
|
INTERNATIONAL FIXED INCOME — 12.1%
|
|
SPDR Bloomberg Emerging Markets Local Bond ETF (a)(b)
|
|
| 416,275
|
| 8,254,733
|
REAL ESTATE — 1.9%
|
|
SPDR Dow Jones REIT ETF REIT (a)(b)
|
|
| 15,878
|
| 1,316,921
|
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS
(Cost $74,669,365)
|
| 65,531,640
|
|
Security Description
|
|
| Shares
|
| Value
|
SHORT-TERM INVESTMENTS — 23.4%
|
|
|
|
State Street Institutional U.S. Government Money Market Fund, Class G Shares 5.33% (c)(d)
|
|
| 2,362,785
|
| $2,362,785
|
State Street Navigator Securities Lending Portfolio II (e)(f)
|
|
| 13,538,844
|
| 13,538,844
|
TOTAL SHORT-TERM INVESTMENTS
(Cost $15,901,629)
|
|
|
|
| $15,901,629
|
TOTAL INVESTMENTS — 119.8%
(Cost $90,570,994)
|
|
|
|
| 81,433,269
|
LIABILITIES IN EXCESS OF OTHER ASSETS — (19.8)%
|
|
|
|
| (13,460,994)
|
NET ASSETS — 100.0%
|
|
|
|
| $67,972,275
|
The Fund invests in other funds and financial statements of underlying funds can be found at www.sec.gov.
|
|
(a)
| All or a portion of the shares of the security are on loan at September 30, 2023.
|
(b)
| Affiliated fund managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended September 30, 2023 are shown in the Affiliate Table below.
|
(c)
| The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended September 30, 2023 are shown in
the Affiliate Table below.
|
(d)
| The rate shown is the annualized seven-day yield at September 30, 2023.
|
(e)
| The Fund invested in an affiliated entity. Amounts related to these transactions during the period ended September 30, 2023 are shown in the Affiliate Table below.
|
(f)
| Investment of cash collateral for securities loaned.
|
The following table
summarizes the value of the Fund's investments according to the fair value hierarchy as of September 30, 2023.
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
|
See accompanying notes to Schedule of
Investments.
3
SPDR SSGA INCOME ALLOCATION ETF
SCHEDULE OF INVESTMENTS (continued)
September 30, 2023 (Unaudited)
Affiliate Table
| 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
|
See accompanying notes to Schedule of
Investments.
4
SPDR SSGA GLOBAL ALLOCATION ETF
SCHEDULE OF INVESTMENTS
September 30, 2023 (Unaudited)
Security Description
|
|
| Shares
|
| Value
|
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS — 92.1%
|
|
|
|
DOMESTIC EQUITY — 40.9%
|
|
SPDR Gold Shares (a)(b)
|
|
| 39,510
|
| $6,773,990
|
SPDR Portfolio S&P 600 Small Cap ETF (a)(c)
|
|
| 370,986
|
| 13,689,383
|
SPDR S&P 500 ETF Trust (a)
|
|
| 125,775
|
| 53,766,297
|
SPDR S&P MidCap 400 ETF Trust (a)(c)
|
|
| 9,969
|
| 4,552,244
|
The Consumer Discretionary Select Sector SPDR Fund (a)(c)
|
|
| 27,124
|
| 4,366,422
|
The Energy Select Sector SPDR Fund (a)
|
|
| 51,758
|
| 4,678,406
|
The Industrial Select Sector SPDR Fund (a)(c)
|
|
| 44,443
|
| 4,505,631
|
|
|
|
|
| 92,332,373
|
DOMESTIC FIXED INCOME — 11.2%
|
|
SPDR Blackstone Senior Loan ETF (a)(c)
|
|
| 84,158
|
| 3,528,745
|
SPDR Bloomberg High Yield Bond ETF (a)(c)
|
|
| 51,338
|
| 4,640,955
|
SPDR Bloomberg International Treasury Bond ETF (a)
|
|
| 162,255
|
| 3,446,296
|
SPDR Portfolio Aggregate Bond ETF (a)(c)
|
|
| 427,789
|
| 10,412,384
|
SPDR Portfolio Long Term Treasury ETF (a)
|
|
| 128,019
|
| 3,347,697
|
|
|
|
|
| 25,376,077
|
INFLATION LINKED — 6.2%
|
|
SPDR Bloomberg 1-10 Year TIPS ETF (a)
|
|
| 772,500
|
| 13,966,800
|
INTERNATIONAL EQUITY — 27.7%
|
|
SPDR Portfolio Developed World ex-U.S. ETF (a)(c)
|
|
| 1,135,520
|
| 35,212,475
|
SPDR Portfolio Emerging Markets ETF (a)(c)
|
|
| 614,689
|
| 20,635,110
|
SPDR S&P International Small Cap ETF (a)(c)
|
|
| 230,956
|
| 6,730,058
|
|
|
|
|
| 62,577,643
|
INTERNATIONAL FIXED INCOME — 6.1%
|
|
SPDR Bloomberg Emerging Markets Local Bond ETF (a)(c)
|
|
| 346,170
|
| 6,864,551
|
Security Description
|
|
| Shares
|
| Value
|
SPDR Bloomberg International Corporate Bond ETF (a)(c)
|
|
| 251,596
|
| $6,825,799
|
|
|
|
|
| 13,690,350
|
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS
(Cost $203,028,965)
|
| 207,943,243
|
|
SHORT-TERM INVESTMENTS — 26.5%
|
|
|
|
State Street Institutional U.S. Government Money Market Fund, Class G Shares 5.33% (d)(e)
|
|
| 17,521,001
|
| $17,521,001
|
State Street Navigator Securities Lending Portfolio II (f)(g)
|
|
| 42,238,106
|
| 42,238,106
|
TOTAL SHORT-TERM INVESTMENTS
(Cost $59,759,107)
|
|
|
|
| $59,759,107
|
TOTAL INVESTMENTS — 118.6%
(Cost $262,788,072)
|
|
|
|
| 267,702,350
|
LIABILITIES IN EXCESS OF OTHER ASSETS — (18.6)%
|
|
|
|
| (41,941,231)
|
NET ASSETS — 100.0%
|
|
|
|
| $225,761,119
|
The Fund invests in other funds and financial statements of underlying funds can be found at www.sec.gov.
|
|
(a)
| Affiliated fund managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended September 30, 2023 are shown in the Affiliate Table below.
|
(b)
| Non-income producing security.
|
(c)
| All or a portion of the shares of the security are on loan at September 30, 2023.
|
(d)
| The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended September 30, 2023 are shown in
the Affiliate Table below.
|
(e)
| The rate shown is the annualized seven-day yield at September 30, 2023.
|
(f)
| The Fund invested in an affiliated entity. Amounts related to these transactions during the period ended September 30, 2023 are shown in the Affiliate Table below.
|
(g)
| Investment of cash collateral for securities loaned.
|
See accompanying notes to Schedule of
Investments.
5
SPDR SSGA GLOBAL ALLOCATION ETF
SCHEDULE OF INVESTMENTS (continued)
September 30, 2023 (Unaudited)
The following table summarizes
the value of the Fund's investments according to the fair value hierarchy as of September 30, 2023.
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
|
Affiliate Table
| 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
|
See accompanying notes to Schedule of
Investments.
6
SPDR BLACKSTONE HIGH INCOME ETF
Schedule of Investments
September 30, 2023 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
SENIOR FLOATING RATE LOANS — 46.6%
|
|
|
|
|
|
ADVERTISING AGENCIES — 0.2%
|
|
|
|
|
|
ABG Intermediate Holdings 2 LLC
Senior Secured 2023 Term Loan B2, 1 mo. USD Term SOFR + 4.00%, 9.32%, 12/21/2028 (a)
|
|
| $223,872
|
| $224,152
|
ADVERTISING SERVICES — 0.1%
|
|
|
|
|
|
CMG Media Corp.
Senior Secured 2021 Term Loan, 3 mo. USD Term SOFR + 3.50%, 8.99%, 12/17/2026 (a)
|
|
| 61,872
|
| 56,871
|
AEROSPACE & DEFENSE — 0.6%
|
|
|
|
|
|
Dynasty Acquisition Co., Inc.:
|
|
|
|
|
|
Senior Secured 2023 Term Loan B1, 1 mo. USD Term SOFR + 4.00%, 9.32%, 8/24/2028 (a)
|
|
| 126,539
|
| 126,434
|
Senior Secured 2023 Term Loan B2, 1 mo. USD Term SOFR + 4.00%, 9.32%, 8/24/2028 (a)
|
|
| 54,231
|
| 54,186
|
TransDigm, Inc.
Senior Secured 2023 Term Loan I, 3 mo. USD Term SOFR + 3.25%, 8.64%, 8/24/2028 (a)
|
|
| 516,864
|
| 517,711
|
|
|
|
|
| 698,331
|
AIR FREIGHT & LOGISTICS — 0.1%
|
|
|
|
|
|
Worldwide Express Operations LLC
Senior Secured 2021 1st Lien Term Loan, 3 mo. USD Term SOFR + 4.00%, 9.65%, 7/26/2028 (a)
|
|
| 174,112
|
| 171,736
|
AUTOMOBILE COMPONENTS — 0.7%
|
|
|
|
|
|
BBB Industries LLC
Senior Secured 2022 Term Loan, 1 mo. USD Term SOFR + 5.25%, 10.67%, 7/25/2029 (a)
|
|
| 463,803
|
| 438,999
|
Clarios Global LP
Senior Secured 2023 Incremental Term Loan, 1 mo. USD Term SOFR + 3.75%, 9.07%, 5/6/2030 (a)
|
|
| 250,000
|
| 249,884
|
Security Description
|
|
| Principal
Amount
|
| Value
|
USI, Inc.
Senior Secured 2022 Incremental Term Loan, 3 mo. USD Term SOFR + 3.75%, 9.14%, 11/22/2029 (a)
|
|
| $148,500
|
| $148,572
|
|
|
|
|
| 837,455
|
BEVERAGES — 0.4%
|
|
|
|
|
|
Triton Water Holdings, Inc.
Senior Secured Term Loan, 3 mo. USD Term SOFR + 3.25%, 8.65%, 3/31/2028 (a)
|
|
| 570,825
|
| 557,504
|
BROADLINE RETAIL — 0.4%
|
|
|
|
|
|
EG Group Ltd.:
|
|
|
|
|
|
Senior Secured 2023 USD First Lien Incremental Tranche B TLB, 2 mo. USD Term SOFR + 4.00%, 9.30%, 2/7/2025 (a)
|
|
| 66,766
|
| 66,913
|
Senior Secured 2023 USD First Lien Incremental Tranche C TLB, 2 mo. USD Term SOFR + 4.00%, 9.30%, 2/7/2025 (a)
|
|
| 141,095
|
| 135,451
|
Harbor Freight Tools USA, Inc.
Senior Secured 2021 Term Loan B, 1 mo. USD Term SOFR + 2.75%, 8.18%, 10/19/2027 (a)
|
|
| 234,309
|
| 232,884
|
|
|
|
|
| 435,248
|
BUILDING MATERIALS — 0.1%
|
|
|
|
|
|
Tamko Building Products LLC
Senior Secured 2023 Term Loan, 3 mo. USD Term SOFR + 3.50%, 8.90%, 9/20/2030 (a)
|
|
| 150,000
|
| 149,532
|
BUILDING PRODUCTS — 1.6%
|
|
|
|
|
|
ACProducts, Inc.
Senior Secured 2021 Term Loan B, 3 mo. USD Term SOFR + 4.25%, 9.90%, 5/17/2028 (a)
|
|
| 521,187
|
| 432,007
|
Chamberlain Group, Inc.
Senior Secured Term Loan B, 1 mo. USD Term SOFR + 3.25%, 8.57%, 11/3/2028 (a)
|
|
| 339,730
|
| 335,139
|
Cornerstone Building Brands, Inc.
Senior Secured 2021 Term Loan B, 1 mo. USD Term SOFR + 3.25%, 8.68%, 4/12/2028 (a)
|
|
| 454,780
|
| 444,975
|
Janus International Group LLC
Senior Secured 2023 Term Loan B, 6 mo. USD Term SOFR + 3.25%, 8.68%, 7/25/2030 (a)
|
|
| 175,000
|
| 174,672
|
See accompanying notes to Schedule of
Investments.
7
SPDR BLACKSTONE HIGH INCOME ETF
Schedule of Investments (continued)
September 30, 2023 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
Oscar AcquisitionCo LLC
Senior Secured Term Loan B, 3 mo. USD Term SOFR + 4.50%, 9.99%, 4/29/2029 (a)
|
|
| $475,990
|
| $473,229
|
Summit Materials LLC
Senior Secured Term Loan B, 3 mo. USD Term SOFR + 3.00%, 8.57%, 12/14/2027 (a)
|
|
| 198,500
|
| 199,533
|
|
|
|
|
| 2,059,555
|
CAPITAL MARKETS — 0.2%
|
|
|
|
|
|
AqGen Island Holdings, Inc.
Senior Secured Term Loan, 1 mo. USD Term SOFR + 3.50%, 8.93%, 8/2/2028 (a)
|
|
| 208,680
|
| 207,247
|
CASINO SERVICES — 0.3%
|
|
|
|
|
|
Stars Group Holdings BV
Senior Secured 2022 USD Term Loan B, 3 mo. USD Term SOFR + 3.25%, 8.90%, 7/22/2028 (a)
|
|
| 396,000
|
| 397,188
|
CHEMICALS — 0.6%
|
|
|
|
|
|
Messer Industries GmbH
Senior Secured 2018 USD Term Loan, 3 mo. USD Term SOFR + 2.50%, 8.15%, 3/2/2026 (a)
|
|
| 134,625
|
| 134,686
|
Nouryon Finance BV
Senior Secured 2023 USD Term Loan B, 1 mo. USD Term SOFR + 4.00%, 9.43%, 4/3/2028 (a)
|
|
| 294,768
|
| 291,697
|
PQ Corp.
Senior Secured 2021 Term Loan B, 3 mo. USD Term SOFR + 2.50%, 7.97%, 6/9/2028 (a)
|
|
| 125,440
|
| 125,220
|
SCIH Salt Holdings, Inc.
Senior Secured 2021 Incremental Term Loan B, 3 mo. USD Term SOFR + 4.00%, 9.63%, 3/16/2027 (a)
|
|
| 171,891
|
| 171,116
|
|
|
|
|
| 722,719
|
COMMERCIAL SERVICES — 3.3%
|
|
|
|
|
|
AEA International Holdings Sarl
Senior Secured Term Loan B, 3 mo. USD Term SOFR + 3.75%, 9.40%, 9/7/2028 (a)
|
|
| 289,281
|
| 288,738
|
AlixPartners LLP
Senior Secured 2021 USD Term Loan B, 1 mo. USD Term SOFR + 2.75%, 8.07%, 2/4/2028 (a)
|
|
| 176,856
|
| 176,944
|
Security Description
|
|
| Principal
Amount
|
| Value
|
Allied Universal Holdco LLC
Senior Secured 2021 USD Incremental Term Loan B, 1 mo. USD Term SOFR + 3.75%, 9.17%, 5/12/2028 (a)
|
|
| $454,404
|
| $439,661
|
CoreLogic, Inc.
Senior Secured Term Loan, 1 mo. USD Term SOFR + 3.50%, 8.82%, 6/2/2028 (a)
|
|
| 323,820
|
| 300,410
|
Corp. Service Co.
Senior Secured Term Loan B, 1 mo. USD Term SOFR + 3.25%, 8.57%, 11/2/2029 (a)
|
|
| 329,909
|
| 330,280
|
GTCR W Merger Sub LLC
Senior Secured USD Term Loan B, 9/20/2030
|
|
| 290,000
|
| 290,106
|
Mavis Tire Express Services Corp.
Senior Secured 2021 Term Loan B, 1 mo. USD Term SOFR + 4.00%, 9.43%, 5/4/2028 (a)
|
|
| 471,986
|
| 471,396
|
Neptune Bidco U.S., Inc.
Senior Secured 2022 USD Term Loan B, 3 mo. USD Term SOFR + 5.00%, 10.40%, 4/11/2029 (a)
|
|
| 500,449
|
| 452,179
|
OMNIA Partners LLC:
|
|
|
|
|
|
Senior Secured Delayed Draw Term Loan, 0.50%, 7/19/2030 (a)
|
|
| 9,246
|
| 9,268
|
Senior Secured Term Loan B, 3 mo. USD Term SOFR + 4.25%, 9.60%, 7/25/2030 (a)
|
|
| 278,132
|
| 278,798
|
PECF USS Intermediate Holding III Corp.
Senior Secured Term Loan B, 1 mo. USD Term SOFR + 4.25%, 9.57%, 12/15/2028 (a)
|
|
| 263,956
|
| 212,862
|
Spring Education Group, Inc.
Senior Secured, 10/4/2030
|
|
| 120,000
|
| 118,500
|
Verscend Holding Corp.
Senior Secured 2021 Term Loan B, 1 mo. USD Term SOFR + 4.00%, 9.43%, 8/27/2025 (a)
|
|
| 587,531
|
| 588,424
|
VT Topco, Inc.
Senior Secured 2023 Term Loan B, 3 mo. USD Term SOFR + 4.25%, 9.66%, 8/9/2030 (a)
|
|
| 175,000
|
| 175,310
|
|
|
|
|
| 4,132,876
|
See accompanying notes to Schedule of
Investments.
8
SPDR BLACKSTONE HIGH INCOME ETF
Schedule of Investments (continued)
September 30, 2023 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
COMMERCIAL SERVICES & SUPPLIES — 2.2%
|
|
|
|
|
|
Aramark Services, Inc.
Senior Secured 2021 Term Loan B, 1 mo. USD Term SOFR + 2.50%, 7.93%, 4/6/2028 (a)
|
|
| $355,896
|
| $356,519
|
Asurion LLC:
|
|
|
|
|
|
Senior Secured 2021 Second Lien Term Loan B4, 1 mo. USD Term SOFR + 5.25%, 10.68%, 1/20/2029 (a)
|
|
| 335,165
|
| 298,535
|
Senior Secured 2021 Term Loan B9, 3 mo. USD Term SOFR + 3.25%, 8.65%, 7/31/2027 (a)
|
|
| 305,006
|
| 295,322
|
Senior Secured 2022 Term Loan B10, 1 mo. USD Term SOFR + 4.00%, 9.32%, 8/19/2028 (a)
|
|
| 180,045
|
| 174,924
|
Belron Finance U.S. LLC
Senior Secured 2023 Term Loan, 3 mo. USD Term SOFR + 2.75%, 8.16%, 4/18/2029 (a)
|
|
| 124,688
|
| 124,980
|
Covanta Holding Corp.:
|
|
|
|
|
|
Senior Secured 2021 Term Loan B, 1 mo. USD Term SOFR + 2.50%, 7.82%, 11/30/2028 (a)
|
|
| 131,464
|
| 130,900
|
Senior Secured 2021 Term Loan C, 1 mo. USD Term SOFR + 2.50%, 7.82%, 11/30/2028 (a)
|
|
| 9,997
|
| 9,955
|
Garda World Security Corp.
Senior Secured Term Loan, 3 mo. USD Term SOFR + 4.25%, 9.75%, 10/30/2026 (a)
|
|
| 305,848
|
| 306,149
|
McGraw-Hill Global Education Holdings LLC
Senior Secured 2021 Term Loan, 1 mo. USD Term SOFR + 4.75%, 10.18%, 7/28/2028 (a)
|
|
| 452,037
|
| 444,457
|
Packaging Coordinators Midco, Inc.
Senior Secured 2020 1st Lien Term Loan, 3 mo. USD Term SOFR + 3.50%, 9.15%, 11/30/2027 (a)
|
|
| 187,662
|
| 187,148
|
Prime Security Services Borrower LLC
Senior Secured 2021 Term Loan, 1 mo. USD Term SOFR + 2.75%, 8.19%, 9/23/2026 (a)
|
|
| 329,440
|
| 329,328
|
Security Description
|
|
| Principal
Amount
|
| Value
|
Thevelia U.S. LLC
Senior Secured USD Term Loan B, 3 mo. USD Term SOFR + 4.75%, 10.29%, 6/18/2029 (a)
|
|
| $150,000
|
| $150,406
|
|
|
|
|
| 2,808,623
|
COMMUNICATIONS EQUIPMENT — 0.2%
|
|
|
|
|
|
Cogeco Financing 2 LP
Senior Secured 2021 Incremental Term Loan B, 1 mo. USD Term SOFR + 2.50%, 7.82%, 9/1/2028 (a)
|
|
| 126,635
|
| 123,803
|
Zayo Group Holdings, Inc.
Senior Secured USD Term Loan, 1 mo. USD Term SOFR + 3.00%, 8.43%, 3/9/2027 (a)
|
|
| 108,052
|
| 88,554
|
|
|
|
|
| 212,357
|
COMPUTERS — 0.3%
|
|
|
|
|
|
Magenta Buyer LLC
Senior Secured 2021 USD 1st Lien Term Loan, 3 mo. USD Term SOFR + 5.00%, 10.63%, 7/27/2028 (a)
|
|
| 132,471
|
| 99,243
|
Vision Solutions, Inc.
Senior Secured 2021 Incremental Term Loan, 3 mo. USD Term SOFR + 4.00%, 9.61%, 4/24/2028 (a)
|
|
| 305,665
|
| 297,036
|
|
|
|
|
| 396,279
|
CONSTRUCTION & ENGINEERING — 0.6%
|
|
|
|
|
|
Brown Group Holding LLC:
|
|
|
|
|
|
Senior Secured 2022 Incremental Term Loan B2, 3 mo. USD Term SOFR + 3.75%, 9.17%, 7/2/2029 (a)
|
|
| 153,906
|
| 154,002
|
Senior Secured Term Loan B, 1 mo. USD Term SOFR + 2.75%, 8.07%, 6/7/2028 (a)
|
|
| 167,003
|
| 165,820
|
KKR Apple Bidco LLC
Senior Secured 2021 Term Loan, 1 mo. USD Term SOFR + 2.75%, 8.18%, 9/22/2028 (a)
|
|
| 272,298
|
| 270,869
|
Pike Corp.
Senior Secured 2021 Incremental Term Loan B, 1 mo. USD Term SOFR + 3.00%, 8.43%, 1/21/2028 (a)
|
|
| 184,204
|
| 184,232
|
|
|
|
|
| 774,923
|
See accompanying notes to Schedule of
Investments.
9
SPDR BLACKSTONE HIGH INCOME ETF
Schedule of Investments (continued)
September 30, 2023 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
CONSTRUCTION MATERIALS — 0.3%
|
|
|
|
|
|
Quikrete Holdings, Inc.
Senior Secured 2016 1st Lien Term Loan, 1 mo. USD Term SOFR + 2.63%, 8.06%, 2/1/2027 (a)
|
|
| $421,665
|
| $421,593
|
CONSUMER FINANCE — 0.3%
|
|
|
|
|
|
Amentum Government Services Holdings LLC
Senior Secured Term Loan B, 1 mo. USD Term SOFR + 4.00%, 9.43%, 1/29/2027 (a)
|
|
| 350,462
|
| 348,710
|
CONTAINERS & PACKAGING — 1.1%
|
|
|
|
|
|
Berlin Packaging LLC
Senior Secured 2021 Term Loan B5, 3 mo. USD SOFR + 3.75%, 9.40%, 3/11/2028 (a)
|
|
| 443,897
|
| 439,856
|
Charter NEX U.S., Inc.
Senior Secured 2021 Term Loan, 1 mo. USD Term SOFR + 3.75%, 9.18%, 12/1/2027 (a)
|
|
| 188,252
|
| 186,800
|
Clydesdale Acquisition Holdings, Inc.
Senior Secured Term Loan B, 1 mo. USD Term SOFR + 4.18%, 9.59%, 4/13/2029 (a)
|
|
| 434,134
|
| 428,853
|
Graham Packaging Co., Inc.
Senior Secured 2021 Term Loan, 1 mo. USD Term SOFR + 3.00%, 8.43%, 8/4/2027 (a)
|
|
| 50,148
|
| 50,107
|
Proampac PG Borrower LLC
Senior Secured 2023 Term Loan, 11/3/2028
|
|
| 200,000
|
| 199,350
|
Trident TPI Holdings, Inc.
Senior Secured 2021 Term Loan B3, 3 mo. USD Term SOFR + 4.00%, 9.65%, 9/15/2028 (a)
|
|
| 78,898
|
| 78,744
|
|
|
|
|
| 1,383,710
|
COSMETICS & TOILETRIES — 0.6%
|
|
|
|
|
|
Solis IV BV
Senior Secured USD Term Loan B1, 3 mo. USD Term SOFR + 3.50%, 8.89%, 2/26/2029 (a)
|
|
| 152,481
|
| 148,860
|
Sunshine Luxembourg VII Sarl
Senior Secured 2021 Term Loan B3, 3 mo. USD Term SOFR + 3.75%, 9.24%, 10/1/2026 (a)
|
|
| 587,771
|
| 587,527
|
|
|
|
|
| 736,387
|
Security Description
|
|
| Principal
Amount
|
| Value
|
DISTRIBUTION/WHOLESALE — 0.2%
|
|
|
|
|
|
Fastlane Parent Co., Inc.
Senior Secured 2023 Term Loan B, 9/4/2028 (b)
|
|
| $175,000
|
| $173,360
|
Windsor Holdings III LLC
Senior Secured USD Term Loan B, 1 mo. USD Term SOFR + 4.50%, 9.83%, 8/1/2030 (a)
|
|
| 115,000
|
| 114,856
|
|
|
|
|
| 288,216
|
DISTRIBUTORS — 0.2%
|
|
|
|
|
|
American Tire Distributors Holdings, Inc.
Senior Secured 2021 Term Loan B, 3 mo. USD Term SOFR + 6.25%, 11.81%, 10/20/2028 (a)
|
|
| 330,818
|
| 290,723
|
DIVERSIFIED CONSUMER SERVICES — 0.1%
|
|
|
|
|
|
Ascend Learning LLC
Senior Secured 2021 2nd Lien Term Loan, 1 mo. USD Term SOFR + 5.75%, 11.17%, 12/10/2029 (a)
|
|
| 144,286
|
| 124,747
|
DIVERSIFIED TELECOMMUNICATION SERVICES — 0.2%
|
|
|
|
|
|
Altice France SA
Senior Secured 2023 USD Term Loan B14, 3 mo. USD Term SOFR + 5.50%, 10.81%, 8/15/2028 (a)
|
|
| 165,720
|
| 150,494
|
CCI Buyer, Inc.
Senior Secured Term Loan, 3 mo. USD Term SOFR + 4.00%, 9.40%, 12/17/2027 (a)
|
|
| 85,201
|
| 84,226
|
CenturyLink, Inc.
Senior Secured 2020 Term Loan B, 1 mo. USD Term SOFR + 2.25%, 7.68%, 3/15/2027 (a)
|
|
| 85,520
|
| 60,957
|
|
|
|
|
| 295,677
|
ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS — 0.1%
|
|
|
|
|
|
Ingram Micro, Inc.
Senior Secured 2021 Term Loan B, 3 mo. USD LIBOR + 3.50%, 9.15%, 6/30/2028 (a)
|
|
| 54,000
|
| 53,967
|
MX Holdings U.S., Inc.
Senior Secured 2018 USD Term Loan B1C, 1 mo. USD Term SOFR + 2.50%, 7.93%, 7/31/2025 (a)
|
|
| 115,500
|
| 115,680
|
|
|
|
|
| 169,647
|
See accompanying notes to Schedule of
Investments.
10
SPDR BLACKSTONE HIGH INCOME ETF
Schedule of Investments (continued)
September 30, 2023 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
ENTERTAINMENT — 1.4%
|
|
|
|
|
|
AP Gaming I LLC
Senior Secured 2022 Term Loan B, 1 mo. USD Term SOFR + 4.00%, 9.30%, 2/15/2029 (a)
|
|
| $177,727
|
| $177,477
|
Crown Finance U.S., Inc.
Senior Secured 2023 Exit Term Loan, 14.38%, 7/31/2028 (a)
|
|
| 39,480
|
| 40,406
|
Fertitta Entertainment LLC
Senior Secured 2022 Term Loan B, 1 mo. USD Term SOFR + 4.00%, 9.32%, 1/27/2029 (a)
|
|
| 592,238
|
| 587,272
|
GVC Holdings Ltd.
Senior Secured 2022 USD Term Loan B2, 3 mo. USD Term SOFR + 3.50%, 8.99%, 10/31/2029 (a)
|
|
| 277,441
|
| 277,528
|
Motion Finco Sarl
Senior Secured Delayed Draw Term Loan B2, 3 mo. USD SOFR + 3.25%, 8.90%, 11/12/2026 (a)
|
|
| 22,876
|
| 22,853
|
SMG U.S. Midco 2, Inc.
Senior Secured 2020 Term Loan, 3 mo. USD Term SOFR + 2.50%, 8.13%, 1/23/2025 (a)
|
|
| 139,176
|
| 139,242
|
UFC Holdings LLC
Senior Secured 2021 Term Loan B, 3 mo. USD Term SOFR + 2.75%, 8.37%, 4/29/2026 (a)
|
|
| 421,843
|
| 421,866
|
WMG Acquisition Corp.
Senior Secured 2021 Term Loan G, 1 mo. USD Term SOFR + 2.13%, 7.56%, 1/20/2028 (a)
|
|
| 134,203
|
| 134,320
|
|
|
|
|
| 1,800,964
|
FINANCIAL SERVICES — 2.1%
|
|
|
|
|
|
Advisor Group, Inc.
Senior Secured 2023 Term Loan B, 3 mo. USD Term SOFR + 4.50%, 9.82%, 8/17/2028 (a)
|
|
| 112,892
|
| 112,972
|
Apex Group Treasury LLC
Senior Secured USD Term Loan, 3 mo. USD Term SOFR + 3.75%, 9.38%, 7/27/2028 (a)
|
|
| 90,736
|
| 90,112
|
CE Intermediate I LLC
Senior Secured Term Loan B, 3 mo. USD Term SOFR + 4.00%, 9.02%, 11/10/2028 (a)
|
|
| 189,332
|
| 187,617
|
Security Description
|
|
| Principal
Amount
|
| Value
|
Citadel Securities LP
Senior Secured 2023 Term Loan B, 1 mo. USD Term SOFR + 2.50%, 7.82%, 7/29/2030 (a)
|
|
| $400,278
|
| $399,998
|
Deerfield Dakota Holding LLC
Senior Secured 2020 USD Term Loan B, 3 mo. USD Term SOFR + 3.75%, 9.14%, 4/9/2027 (a)
|
|
| 102,594
|
| 100,264
|
DirecTV Financing LLC
Senior Secured Term Loan, 1 mo. USD Term SOFR + 5.00%, 10.43%, 8/2/2027 (a)
|
|
| 432,636
|
| 423,804
|
Edelman Financial Center LLC
Senior Secured 2021 Term Loan B, 1 mo. USD Term SOFR + 3.50%, 8.82%, 4/7/2028 (a)
|
|
| 447,275
|
| 443,305
|
Focus Financial Partners LLC
Senior Secured Senior Secured 2021 Term Loan B4, 1 mo. USD Term SOFR + 2.50%, 7.82%, 6/30/2028 (a)
|
|
| 312,179
|
| 311,653
|
NFP Corp.
Senior Secured 2020 Term Loan, 1 mo. USD Term SOFR + 3.25%, 8.68%, 2/16/2027 (a)
|
|
| 134,770
|
| 133,314
|
Paysafe Holdings Corp.
Senior Secured USD Term Loan B1, 1 mo. USD Term SOFR + 2.75%, 8.18%, 6/28/2028 (a)
|
|
| 76,199
|
| 74,961
|
Walker & Dunlop, Inc.
Senior Secured 2021 Term Loan, 1 mo. USD Term SOFR + 2.25%, 7.67%, 12/16/2028 (a)
|
|
| 117,061
|
| 116,988
|
William Morris Endeavor Entertainment LLC
Senior Secured 2018 1st Lien Term Loan, 1 mo. USD Term SOFR + 2.75%, 8.18%, 5/18/2025 (a)
|
|
| 270,345
|
| 270,345
|
|
|
|
|
| 2,665,333
|
FOOD & BEVERAGE — 0.1%
|
|
|
|
|
|
Hostess Brands LLC
Senior Secured 2023 Term Loan B, 3 mo. USD Term SOFR + 2.50%, 7.90%, 6/28/2030 (a)
|
|
| 108,275
|
| 108,647
|
FOOD PRODUCTS — 0.3%
|
|
|
|
|
|
Froneri International Ltd.
Senior Secured 2020 USD Term Loan, 1 mo. USD Term SOFR + 2.25%, 7.67%, 1/29/2027 (a)
|
|
| 357,167
|
| 355,197
|
See accompanying notes to Schedule of
Investments.
11
SPDR BLACKSTONE HIGH INCOME ETF
Schedule of Investments (continued)
September 30, 2023 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
FOOD-MISC/DIVERSIFIED — 0.2%
|
|
|
|
|
|
Skopima Merger Sub, Inc.
Senior Secured Term Loan B, 1 mo. USD Term SOFR + 4.00%, 9.43%, 5/12/2028 (a)
|
|
| $188,484
|
| $183,920
|
GROUND TRANSPORTATION — 0.3%
|
|
|
|
|
|
Kenan Advantage Group, Inc.
Senior Secured 2021 Term Loan B1, 3 mo. USD Term SOFR + 3.75%, 9.48%, 3/24/2026 (a)
|
|
| 311,976
|
| 311,608
|
HEALTH CARE EQUIPMENT & SUPPLIES — 0.9%
|
|
|
|
|
|
Bausch & Lomb Corp.
Senior Secured Term Loan, 3 mo. USD Term SOFR + 3.25%, 8.76%, 5/10/2027 (a)
|
|
| 599,185
|
| 583,540
|
Gainwell Acquisition Corp.
Senior Secured Term Loan B, 3 mo. USD Term SOFR + 4.00%, 9.49%, 10/1/2027 (a)
|
|
| 592,492
|
| 579,531
|
|
|
|
|
| 1,163,071
|
HEALTH CARE PROVIDERS & SERVICES — 1.2%
|
|
|
|
|
|
GHX Ultimate Parent Corp.
Senior Secured 2023 Term Loan, 3 mo. USD Term SOFR + 4.75%, 10.12%, 6/30/2027 (a)
|
|
| 170,205
|
| 170,418
|
Medline Borrower LP
Senior Secured USD Term Loan B, 1 mo. USD Term SOFR + 3.25%, 8.68%, 10/23/2028 (a)
|
|
| 535,158
|
| 534,336
|
National Mentor Holdings, Inc.:
|
|
|
|
|
|
Senior Secured 2021 Term Loan, 1 mo. USD Term SOFR + 3.75%, 9.17%, 3/2/2028 (a)
|
|
| 91,495
|
| 81,965
|
Senior Secured 2021 Term Loan C, 3 mo. USD Term SOFR + 3.75%, 9.15%, 3/2/2028 (a)
|
|
| 2,631
|
| 2,357
|
Pediatric Associates Holding Co. LLC:
|
|
|
|
|
|
Senior Secured 2021 Term Loan B, 1 mo. USD Term SOFR + 3.25%, 8.57%, 12/29/2028 (a)
|
|
| 147,978
|
| 144,556
|
Senior Secured 2022 Delayed Draw Term Loan, 3 mo. USD LIBOR + 3.25%, 3.25%, 12/29/2028 (a)
|
|
| 22,524
|
| 22,003
|
Security Description
|
|
| Principal
Amount
|
| Value
|
Radnet Management, Inc.
Senior Secured 2021 Term Loan, 1 mo. USD Term SOFR + 3.00%, 8.43%, 4/21/2028 (a)
|
|
| $142,414
|
| $142,414
|
RegionalCare Hospital Partners Holdings, Inc.
Senior Secured 2018 Term Loan B, 3 mo. USD Term SOFR + 3.75%, 9.38%, 11/16/2025 (a)
|
|
| 431,470
|
| 431,245
|
|
|
|
|
| 1,529,294
|
HOME FURNISHINGS — 0.4%
|
|
|
|
|
|
AI Aqua Merger Sub, Inc.
Senior Secured 2021 1st Lien Term Loan B, 1 mo. USD Term SOFR + 3.75%, 9.08%, 7/31/2028 (a)
|
|
| 473,218
|
| 469,189
|
HOTELS, RESTAURANTS & LEISURE — 1.5%
|
|
|
|
|
|
Alterra Mountain Co.
Senior Secured 2021 Series B-2 Consenting Term Loan, 1 mo. USD Term SOFR + 3.50%, 8.93%, 8/17/2028 (a)
|
|
| 312,191
|
| 312,322
|
Caesars Entertainment Corp.
Senior Secured Term Loan B, 1 mo. USD Term SOFR + 3.25%, 8.67%, 2/6/2030 (a)
|
|
| 426,348
|
| 427,015
|
Motion Finco Sarl
Senior Secured USD Term Loan B1, 3 mo. USD SOFR + 3.25%, 8.90%, 11/12/2026 (a)
|
|
| 160,464
|
| 160,304
|
Peraton Corp.
Senior Secured Term Loan B, 1 mo. USD Term SOFR + 3.75%, 9.17%, 2/1/2028 (a)
|
|
| 618,629
|
| 618,115
|
Scientific Games International, Inc.
Senior Secured 2022 USD Term Loan, 1 mo. USD Term SOFR + 3.00%, 8.43%, 4/14/2029 (a)
|
|
| 307,516
|
| 307,901
|
|
|
|
|
| 1,825,657
|
INSURANCE — 2.1%
|
|
|
|
|
|
Acrisure LLC
Senior Secured 2021 First Lien Term Loan B, 1 mo. USD LIBOR + 4.25%, 9.68%, 2/15/2027 (a)
|
|
| 170,395
|
| 170,342
|
Alliant Holdings Intermediate LLC
Senior Secured 2021 Term Loan B4, 1 mo. USD LIBOR + 3.50%, 8.93%, 11/5/2027 (a)
|
|
| 439,928
|
| 439,539
|
See accompanying notes to Schedule of
Investments.
12
SPDR BLACKSTONE HIGH INCOME ETF
Schedule of Investments (continued)
September 30, 2023 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
AmWINS Group, Inc.
Senior Secured 2023 Incremental Term Loan B, 1 mo. USD Term SOFR + 2.75%, 8.18%, 2/19/2028 (a)
|
|
| $129,025
|
| $129,106
|
AssuredPartners, Inc.
Senior Secured 2020 Term Loan B, 1 mo. USD Term SOFR + 3.50%, 8.82%, 2/12/2027 (a)
|
|
| 489,792
|
| 489,143
|
Broadstreet Partners, Inc.
Senior Secured 2020 Term Loan B, 1 mo. USD Term SOFR + 3.00%, 8.43%, 1/27/2027 (a)
|
|
| 205,331
|
| 204,666
|
HUB International Ltd.
Senior Secured 2023 Term Loan B, 3 mo. USD Term SOFR + 4.25%, 9.58%, 6/20/2030 (a)
|
|
| 115,000
|
| 115,443
|
Hyperion Insurance Group Ltd.
Senior Secured 2021 Term Loan B, 1 mo. USD LIBOR + 3.25%, 8.69%, 11/12/2027 (a)
|
|
| 332,750
|
| 332,168
|
Ryan Specialty Group LLC
Senior Secured Term Loan, 1 mo. USD Term SOFR + 3.00%, 8.42%, 9/1/2027 (a)
|
|
| 244,986
|
| 245,490
|
Sedgwick Claims Management Services, Inc.
Senior Secured 2023 Term Loan B, 1 mo. USD Term SOFR + 3.75%, 9.07%, 2/24/2028 (a)
|
|
| 440,173
|
| 439,871
|
USI, Inc.:
|
|
|
|
|
|
Senior Secured 2023 Acquisition Term Loan, 9/14/2030 (b)
|
|
| 66,667
|
| 66,583
|
Senior Secured 2023 Refi Term Loan, 9/14/2030 (b)
|
|
| 33,333
|
| 33,292
|
|
|
|
|
| 2,665,643
|
INTERNET & CATALOG RETAIL — 0.1%
|
|
|
|
|
|
ION Trading Finance Ltd.
Senior Secured 2021 USD Term Loan, 3 mo. USD Term SOFR + 4.75%, 10.15%, 4/3/2028 (a)
|
|
| 74,500
|
| 73,638
|
INTERNET & TELECOM — 0.3%
|
|
|
|
|
|
Adevinta ASA
Senior Secured USD Term Loan B, 3 mo. USD LIBOR + 2.750, 8.32%, 6/26/2028 (a)
|
|
| 65,583
|
| 65,666
|
Security Description
|
|
| Principal
Amount
|
| Value
|
Uber Technologies, Inc.
Senior Secured 2023 Term Loan B, 3 mo. USD Term SOFR + 2.75%, 8.16%, 3/3/2030 (a)
|
|
| $350,983
|
| $351,262
|
|
|
|
|
| 416,928
|
INTERNET SECURITY — 0.2%
|
|
|
|
|
|
Proofpoint, Inc.
Senior Secured 2nd Lien Term Loan, 1 mo. USD Term SOFR + 6.25%, 11.68%, 8/31/2029 (a)
|
|
| 240,040
|
| 241,203
|
INVESTMENT COMPANIES — 0.3%
|
|
|
|
|
|
AL GCX Holdings LLC
Senior Secured Term Loan B, 3 mo. USD Term SOFR + 3.50%, 8.93%, 5/17/2029 (a)
|
|
| 131,868
|
| 132,252
|
GIP Pilot Acquisition Partners LP
Senior Secured Term Loan, 9/18/2030
|
|
| 100,000
|
| 99,875
|
LSF11 Trinity Bidco, Inc.
Senior Secured Term Loan, 1 mo. USD Term SOFR + 4.50%, 9.83%, 6/14/2030 (a)
|
|
| 124,375
|
| 124,375
|
|
|
|
|
| 356,502
|
IT SERVICES — 0.3%
|
|
|
|
|
|
Access CIG LLC:
|
|
|
|
|
|
Senior Secured 2018 2nd Lien Term Loan, 3 mo. USD Term SOFR + 7.75%, 13.41%, 2/27/2026 (a)
|
|
| 194,616
|
| 190,886
|
Senior Secured 2023 Term Loan, 1 mo. USD Term SOFR + 5.00%, 10.32%, 8/18/2028 (a)
|
|
| 120,000
|
| 118,650
|
Ahead DB Holdings LLC
Senior Secured 2021 Term Loan B, 3 mo. USD Term SOFR + 3.75%, 9.15%, 10/18/2027 (a)
|
|
| 52,527
|
| 52,244
|
Presidio Holdings, Inc.
Senior Secured 2020 Term Loan B, 3 mo. USD Term SOFR + 3.50%, 8.97%, 1/22/2027 (a)
|
|
| 22,643
|
| 22,644
|
|
|
|
|
| 384,424
|
LEISURE INDUSTRY — 0.3%
|
|
|
|
|
|
Carnival Corp.
Senior Secured 2021 Incremental Term Loan B, 1 mo. USD Term SOFR + 3.25%, 8.68%, 10/18/2028 (a)
|
|
| 417,466
|
| 416,074
|
See accompanying notes to Schedule of
Investments.
13
SPDR BLACKSTONE HIGH INCOME ETF
Schedule of Investments (continued)
September 30, 2023 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
LEISURE TIME — 0.1%
|
|
|
|
|
|
Recess Holdings, Inc.
Senior Secured 2023 Term Loan, 3 mo. USD Term SOFR + 4.00%, 9.38%, 3/17/2027 (a)
|
|
| $175,000
|
| $175,001
|
LEISURE&REC/GAMES — 0.4%
|
|
|
|
|
|
Scientific Games Holdings LP
Senior Secured 2022 USD Term Loan B, 3 mo. USD Term SOFR + 3.50%, 8.77%, 4/4/2029 (a)
|
|
| 473,768
|
| 471,696
|
LIFE SCIENCES TOOLS & SERVICES — 0.3%
|
|
|
|
|
|
Parexel International Corp.
Senior Secured 2021 1st Lien Term Loan, 1 mo. USD Term SOFR + 3.25%, 8.68%, 11/15/2028 (a)
|
|
| 418,696
|
| 416,270
|
MACHINERY — 0.7%
|
|
|
|
|
|
Chart Industries, Inc.
Senior Secured 2023 Term Loan, 1.00%, 3/20/2030
|
|
| 171,077
|
| 171,291
|
Engineered Machinery Holdings, Inc.
Senior Secured 2021 USD Incremental Term Loan, 3 mo. USD Term SOFR + 3.50%, 9.15%, 5/19/2028 (a)
|
|
| 317,937
|
| 316,688
|
Madison IAQ LLC
Senior Secured Term Loan, 1 mo. USD Term SOFR + 3.25%, 8.69%, 6/21/2028 (a)
|
|
| 405,864
|
| 399,954
|
|
|
|
|
| 887,933
|
MACHINERY-CONSTRUCTION & MINING — 0.4%
|
|
|
|
|
|
Brookfield WEC Holdings, Inc.
Senior Secured 2021 Term Loan, 1 mo. USD Term SOFR + 2.75%, 8.18%, 8/1/2025 (a)
|
|
| 466,099
|
| 466,369
|
MEDIA — 1.4%
|
|
|
|
|
|
CSC Holdings LLC
Senior Secured 2019 Term Loan B5, 1 mo. USD Term SOFR + 2.50%, 7.95%, 4/15/2027 (a)
|
|
| 129,079
|
| 117,301
|
Gray Television, Inc.
Senior Secured 2021 Term Loan D, 1 mo. USD Term SOFR + 3.00%, 8.44%, 12/1/2028 (a)
|
|
| 58,718
|
| 57,397
|
Security Description
|
|
| Principal
Amount
|
| Value
|
MH Sub I LLC:
|
|
|
|
|
|
Senior Secured 2020 Incremental Term Loan, 1 mo. USD Term SOFR + 3.75%, 9.18%, 9/13/2024 (a)
|
|
| $108,969
|
| $109,128
|
Senior Secured 2021 2nd Lien Term Loan, 1 mo. USD Term SOFR + 6.25%, 11.57%, 2/23/2029 (a)
|
|
| 116,242
|
| 103,656
|
Radiate Holdco LLC
Senior Secured 2021 Term Loan B, 1 mo. USD Term SOFR + 3.25%, 8.68%, 9/25/2026 (a)
|
|
| 70,430
|
| 57,874
|
Telenet Financing USD LLC
Senior Secured 2020 USD Term Loan AR, 1 mo. USD Term SOFR + 2.00%, 7.45%, 4/30/2028 (a)
|
|
| 311,409
|
| 304,207
|
Univision Communications, Inc.
Senior Secured 2022 Term Loan B, 1 mo. USD Term SOFR + 3.25%, 8.68%, 1/31/2029 (a)
|
|
| 153,411
|
| 151,954
|
UPC Broadband Holding BV
Senior Secured 2020 USD Term Loan AT, 1 mo. USD Term SOFR + 2.25%, 7.70%, 4/30/2028 (a)
|
|
| 322,531
|
| 316,564
|
Vertical U.S. Newco, Inc.
Senior Secured Term Loan B, 6 mo. USD Term SOFR + 3.50%, 9.38%, 7/30/2027 (a)
|
|
| 431,799
|
| 431,367
|
Virgin Media Bristol LLC
Senior Secured USD Term Loan N, 1 mo. USD Term SOFR + 2.50%, 7.95%, 1/31/2028 (a)
|
|
| 164,749
|
| 160,476
|
|
|
|
|
| 1,809,924
|
MEDICAL LABS&TESTING SRV — 0.3%
|
|
|
|
|
|
Electron BidCo, Inc.
Senior Secured 2021 Term Loan, 1 mo. USD Term SOFR + 3.00%, 8.43%, 11/1/2028 (a)
|
|
| 60,779
|
| 60,610
|
U.S. Anesthesia Partners, Inc.
Senior Secured 2021 Term Loan, 1 mo. USD Term SOFR + 4.25%, 9.69%, 10/1/2028 (a)
|
|
| 397,516
|
| 365,856
|
|
|
|
|
| 426,466
|
See accompanying notes to Schedule of
Investments.
14
SPDR BLACKSTONE HIGH INCOME ETF
Schedule of Investments (continued)
September 30, 2023 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
MISCELLANEOUS MANUFACTUR — 0.2%
|
|
|
|
|
|
Gates Global LLC
Senior Secured 2021 Term Loan B3, 1 mo. USD Term SOFR + 2.50%, 7.82%, 3/31/2027 (a)
|
|
| $185,874
|
| $185,664
|
LTI Holdings, Inc.
Senior Secured 2018 2nd Lien Term Loan, 1 mo. USD Term SOFR + 6.75%, 12.07%, 9/6/2026 (a)
|
|
| 53,021
|
| 48,344
|
|
|
|
|
| 234,008
|
OIL, GAS & CONSUMABLE FUELS — 0.2%
|
|
|
|
|
|
ITT Holdings LLC
Senior Secured 2021 Term Loan, 1 mo. USD Term SOFR + 2.75%, 8.07%, 7/10/2028 (a)
|
|
| 118,712
|
| 118,774
|
Pacific Gas & Electric Co.
Senior Secured 2020 Term Loan B1, 1 mo. USD Term SOFR + 3.00%, 8.43%, 6/23/2025 (a)
|
|
| 146,529
|
| 146,865
|
|
|
|
|
| 265,639
|
PASSENGER AIRLINES — 1.3%
|
|
|
|
|
|
Air Canada
Senior Secured 2021 Term Loan B, 3 mo. USD Term SOFR + 3.50%, 9.13%, 8/11/2028 (a)
|
|
| 257,433
|
| 257,970
|
American Airlines, Inc.
Senior Secured 2023 Term Loan B, 3 mo. USD Term SOFR + 2.75%, 8.54%, 2/15/2028 (a)
|
|
| 482,442
|
| 479,591
|
Kestrel Bidco, Inc.
Senior Secured Term Loan B, 1 mo. USD Term SOFR + 3.00%, 8.42%, 12/11/2026 (a)
|
|
| 77,827
|
| 76,367
|
Mileage Plus Holdings LLC
Senior Secured 2020 Term Loan B, 3 mo. USD Term SOFR + 5.25%, 10.80%, 6/21/2027 (a)
|
|
| 241,282
|
| 251,043
|
SkyMiles IP Ltd.
Senior Secured 2020 Skymiles Term Loan B, 3 mo. USD Term SOFR + 3.75%, 9.08%, 10/20/2027 (a)
|
|
| 105,117
|
| 108,961
|
United Airlines, Inc.
Senior Secured 2021 Term Loan B, 1 mo. USD Term SOFR + 3.75%, 9.18%, 4/21/2028 (a)
|
|
| 404,762
|
| 406,027
|
|
|
|
|
| 1,579,959
|
Security Description
|
|
| Principal
Amount
|
| Value
|
PHARMACEUTICALS — 0.7%
|
|
|
|
|
|
Grifols Worldwide Operations USA, Inc.
Senior Secured USD 2019 Term Loan B, 1 mo. USD Term SOFR + 2.00%, 7.42%, 11/15/2027 (a)
|
|
| $171,055
|
| $168,404
|
Jazz Financing Lux Sarl
Senior Secured USD Term Loan, 1 mo. USD Term SOFR + 3.50%, 8.93%, 5/5/2028 (a)
|
|
| 305,946
|
| 306,053
|
Organon & Co.
Senior Secured USD Term Loan, 1 mo. USD Term SOFR + 3.00%, 8.44%, 6/2/2028 (a)
|
|
| 354,366
|
| 354,278
|
|
|
|
|
| 828,735
|
PIPELINES — 1.5%
|
|
|
|
|
|
Buckeye Partners LP
Senior Secured 2021 Term Loan B, 1 mo. USD Term SOFR + 2.25%, 7.67%, 11/1/2026 (a)
|
|
| 306,679
|
| 306,820
|
CQP Holdco LP
Senior Secured 2021 Term Loan B, 1 mo. USD Term SOFR + 3.50%, 8.82%, 6/5/2028 (a)
|
|
| 390,395
|
| 391,238
|
Freeport LNG Investments LLLP
Senior Secured Term Loan B, 3 mo. USD LIBOR + 3.50%, 9.09%, 12/21/2028 (a)
|
|
| 475,163
|
| 471,452
|
Oryx Midstream Services Permian Basin LLC
Senior Secured 2023 Incremental Term Loan, 1 mo. USD Term SOFR + 3.25%, 8.69%, 10/5/2028 (a)
|
|
| 348,217
|
| 348,544
|
TransMontaigne Operating Co. LP
Senior Secured Term Loan B, 1 mo. USD Term SOFR + 3.50%, 8.93%, 11/17/2028 (a)
|
|
| 151,379
|
| 151,042
|
Whitewater Whistler Holdings LLC
Senior Secured Term Loan B, 3 mo. USD Term SOFR + 3.25%, 8.64%, 2/15/2030 (a)
|
|
| 174,126
|
| 174,652
|
|
|
|
|
| 1,843,748
|
PROFESSIONAL SERVICES — 0.1%
|
|
|
|
|
|
Anticimex International AB
Senior Secured 2021 USD Term Loan B1, 3 mo. USD Term SOFR + 3.15%, 8.45%, 11/16/2028 (a)
|
|
| 175,204
|
| 174,274
|
See accompanying notes to Schedule of
Investments.
15
SPDR BLACKSTONE HIGH INCOME ETF
Schedule of Investments (continued)
September 30, 2023 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
RETAIL — 0.1%
|
|
|
|
|
|
BCPE Grill Parent, Inc.
Senior Secured 2023 Term Loan B, 9/20/2030
|
|
| $120,000
|
| $117,700
|
RETAIL-BUILDING PRODUCTS — 0.5%
|
|
|
|
|
|
LBM Acquisition LLC
Senior Secured Term Loan B, 1 mo. USD Term SOFR + 3.75%, 9.07%, 12/17/2027 (a)
|
|
| 574,313
|
| 561,913
|
RETAIL-RESTAURANTS — 0.4%
|
|
|
|
|
|
IRB Holding Corp.
Senior Secured 2022 Term Loan B, 1 mo. USD Term SOFR + 3.00%, 8.32%, 12/15/2027 (a)
|
|
| 445,472
|
| 444,378
|
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT — 0.1%
|
|
|
|
|
|
MKS Instruments, Inc.
Senior Secured 2022 USD Term Loan B, 1 mo. USD Term SOFR + 2.75%, 8.17%, 8/17/2029
|
|
| 140,367
|
| 140,016
|
SOFTWARE — 8.0%
|
|
|
|
|
|
Applied Systems, Inc.
Senior Secured 2022 Extended 1st Lien Term Loan, 3 mo. USD Term SOFR + 4.50%, 9.89%, 9/18/2026 (a)
|
|
| 164,175
|
| 164,863
|
AppLovin Corp.
Senior Secured 2023 Term Loan B, 3 mo. USD Term SOFR + 3.10%, 8.50%, 8/14/2030 (a)
|
|
| 134,363
|
| 134,209
|
Apttus Corp.
Senior Secured 2021 Term Loan, 1 mo. USD Term SOFR + 4.00%, 9.32%, 5/8/2028 (a)
|
|
| 169,950
|
| 168,162
|
Athenahealth Group, Inc.
Senior Secured 2022 Term Loan B, 1 mo. USD Term SOFR + 3.25%, 8.57%, 2/15/2029 (a)
|
|
| 542,769
|
| 534,119
|
Banff Merger Sub, Inc.:
|
|
|
|
|
|
Senior Secured 2021 USD 2nd Lien Term Loan, 1 mo. USD Term SOFR + 5.50%, 10.93%, 2/27/2026 (a)
|
|
| 73,647
|
| 73,581
|
Senior Secured 2021 USD Term Loan, 1 mo. USD Term SOFR + 3.75%, 9.18%, 10/2/2025 (a)
|
|
| 164,927
|
| 164,949
|
Security Description
|
|
| Principal
Amount
|
| Value
|
Camelot U.S. Acquisition LLC
Senior Secured Term Loan B, 1 mo. USD Term SOFR + 3.00%, 8.43%, 10/30/2026 (a)
|
|
| $378,945
|
| $379,182
|
CDK Global, Inc.
Senior Secured 2022 USD Term Loan B, 3 mo. USD Term SOFR + 4.25%, 9.64%, 7/6/2029 (a)
|
|
| 587,554
|
| 588,391
|
Cloud Software Group, Inc.
Senior Secured 2022 USD Term Loan B, 3 mo. USD Term SOFR + 4.50%, 9.99%, 3/30/2029 (a)
|
|
| 617,937
|
| 595,246
|
DCert Buyer, Inc.
Senior Secured 2019 Term Loan B, 1 mo. USD Term SOFR + 4.00%, 9.32%, 10/16/2026 (a)
|
|
| 546,588
|
| 544,043
|
Dun & Bradstreet Corp.
Senior Secured 2023 Term Loan B, 1 mo. USD Term SOFR + 2.75%, 8.17%, 2/6/2026 (a)
|
|
| 382,105
|
| 381,985
|
EP Purchaser LLC
Senior Secured 2021 Term Loan B, 3 mo. USD Term SOFR + 3.50%, 8.90%, 11/6/2028 (a)
|
|
| 145,386
|
| 143,932
|
Epicor Software Corp.
Senior Secured 2020 Term Loan, 1 mo. USD Term SOFR + 3.25%, 8.68%, 7/30/2027 (a)
|
|
| 406,272
|
| 406,229
|
EverCommerce, Inc.
Senior Secured Term Loan B, 1 mo. USD Term SOFR + 3.25%, 8.68%, 7/6/2028 (a)
|
|
| 136,717
|
| 137,017
|
First Advantage Holdings LLC
Senior Secured 2021 Term Loan B, 1 mo. USD Term SOFR + 2.75%, 8.18%, 1/31/2027 (a)
|
|
| 116,548
|
| 116,785
|
Flexera Software LLC
Senior Secured 2021 Term Loan B, 1 mo. USD Term SOFR + 3.75%, 9.18%, 3/3/2028 (a)
|
|
| 186,244
|
| 185,130
|
Fortra LLC
Senior Secured 2021 Term Loan, 3 mo. USD Term SOFR + 4.00%, 9.47%, 11/19/2026 (a)
|
|
| 321,688
|
| 309,089
|
Gen Digital, Inc.
Senior Secured 2022 Term Loan B, 1 mo. USD Term SOFR + 2.00%, 7.42%, 9/12/2029 (a)
|
|
| 293,419
|
| 292,852
|
See accompanying notes to Schedule of
Investments.
16
SPDR BLACKSTONE HIGH INCOME ETF
Schedule of Investments (continued)
September 30, 2023 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
Idera, Inc.
Senior Secured 2021 Term Loan, 1 mo. USD Term SOFR + 3.75%, 9.27%, 3/2/2028 (a)
|
|
| $188,191
|
| $187,015
|
I-Logic Technologies Bidco Ltd.
Senior Secured 2021 USD Term Loan B, 3 mo. USD Term SOFR + 4.00%, 9.54%, 2/16/2028 (a)
|
|
| 177,920
|
| 175,963
|
Imperva, Inc.
Senior Secured 1st Lien Term Loan, 3 mo. USD Term SOFR + 4.00%, 9.63%, 1/12/2026 (a)
|
|
| 116,085
|
| 116,448
|
Informatica LLC
Senior Secured 2021 USD Term Loan B, 1 mo. USD Term SOFR + 2.75%, 8.07%, 10/27/2028 (a)
|
|
| 153,177
|
| 153,010
|
McAfee LLC
Senior Secured 2022 USD Term Loan B, 1 mo. USD Term SOFR + 3.75%, 9.18%, 3/1/2029 (a)
|
|
| 503,966
|
| 493,098
|
MeridianLink, Inc.
Senior Secured 2021 Term Loan B, 6 mo. USD LIBOR + 3.00%, 8.73%, 11/10/2028 (a)
|
|
| 114,414
|
| 114,328
|
Mitchell International, Inc.:
|
|
|
|
|
|
Senior Secured 2021 2nd Lien Term Loan, 1 mo. USD Term SOFR + 6.50%, 11.93%, 10/15/2029 (a)
|
|
| 77,379
|
| 71,491
|
Senior Secured 2021 Term Loan B, 1 mo. USD Term SOFR + 3.75%, 9.18%, 10/15/2028 (a)
|
|
| 476,259
|
| 469,253
|
Navicure, Inc.
Senior Secured 2019 Term Loan B, 1 mo. USD Term SOFR + 4.00%, 9.43%, 10/22/2026 (a)
|
|
| 178,178
|
| 178,596
|
Open Text Corp.
Senior Secured 2023 Term Loan B, 1 mo. USD Term SOFR + 2.75%, 8.07%, 1/31/2030 (a)
|
|
| 251,818
|
| 252,148
|
Project Alpha Intermediate Holding, Inc.
Senior Secured 2021 Term Loan B, 1 mo. USD Term SOFR + 4.00%, 9.43%, 4/26/2024 (a)
|
|
| 50,641
|
| 50,657
|
Project Ruby Ultimate Parent Corp.
Senior Secured 2021 Term Loan, 1 mo. USD Term SOFR + 3.25%, 8.68%, 3/10/2028 (a)
|
|
| 191,107
|
| 189,016
|
Security Description
|
|
| Principal
Amount
|
| Value
|
Quartz Acquireco LLC
Senior Secured Term Loan B, 8.82%, 6/28/2030 (a)
|
|
| $200,000
|
| $200,000
|
Quest Software U.S. Holdings, Inc.
Senior Secured 2022 Term Loan, 3 mo. USD Term SOFR + 4.25%, 9.77%, 2/1/2029 (a)
|
|
| 368,993
|
| 308,840
|
RealPage, Inc.
Senior Secured 1st Lien Term Loan, 1 mo. USD Term SOFR + 3.00%, 8.43%, 4/24/2028 (a)
|
|
| 446,318
|
| 441,761
|
Roper Industrial Products Investment Co. LLC
Senior Secured USD Term Loan, 3 mo. USD SOFR + 4.50%, 9.89%, 11/22/2029 (a)
|
|
| 54,753
|
| 54,939
|
SolarWinds Holdings, Inc.
Senior Secured 2022 Term Loan B, 1 mo. USD Term SOFR + 3.75%, 9.07%, 2/5/2027 (a)
|
|
| 250,156
|
| 250,753
|
Sovos Compliance LLC
Senior Secured 2021 Term Loan, 1 mo. USD Term SOFR + 4.50%, 9.93%, 8/11/2028 (a)
|
|
| 217,901
|
| 214,818
|
Surf Holdings LLC
Senior Secured USD Term Loan, 1 mo. USD Term SOFR + 3.50%, 8.94%, 3/5/2027 (a)
|
|
| 94,166
|
| 94,082
|
Ultimate Software Group, Inc.:
|
|
|
|
|
|
Senior Secured 2021 2nd Lien Term Loan, 3 mo. USD Term SOFR + 5.25%, 10.62%, 5/3/2027 (a)
|
|
| 100,669
|
| 100,768
|
Senior Secured 2021 Term Loan, 3 mo. USD Term SOFR + 3.25%, 8.62%, 5/4/2026 (a)
|
|
| 565,858
|
| 564,894
|
|
|
|
|
| 10,001,642
|
SPECIALTY RETAIL — 1.7%
|
|
|
|
|
|
Michaels Cos., Inc.
Senior Secured 2021 Term Loan B, 3 mo. USD Term SOFR + 4.25%, 9.90%, 4/15/2028 (a)
|
|
| 482,793
|
| 441,973
|
Petco Health & Wellness Co., Inc.
Senior Secured 2021 Term Loan B, 3 mo. USD Term SOFR + 3.25%, 9.02%, 3/3/2028 (a)
|
|
| 426,996
|
| 422,927
|
PetSmart, Inc.
Senior Secured 2021 Term Loan B, 1 mo. USD Term SOFR + 3.75%, 9.17%, 2/11/2028 (a)
|
|
| 533,830
|
| 533,019
|
See accompanying notes to Schedule of
Investments.
17
SPDR BLACKSTONE HIGH INCOME ETF
Schedule of Investments (continued)
September 30, 2023 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
SRS Distribution, Inc.
Senior Secured 2021 Term Loan B, 1 mo. USD Term SOFR + 3.50%, 8.93%, 6/2/2028 (a)
|
|
| $477,077
|
| $472,976
|
Whatabrands LLC
Senior Secured 2021 Term Loan B, 1 mo. USD Term SOFR + 3.00%, 8.43%, 8/3/2028 (a)
|
|
| 306,726
|
| 305,959
|
|
|
|
|
| 2,176,854
|
STEEL-PRODUCERS — 0.3%
|
|
|
|
|
|
Arsenal AIC Parent LLC
Senior Secured Term Loan, 3 mo. USD Term SOFR + 4.50%, 9.88%, 8/18/2030 (a)
|
|
| 200,000
|
| 199,875
|
Phoenix Services International LLC
Senior Secured 2023 Exit PIK Term Loan, 11.42%, 6/30/2028 (a)
|
|
| 205,454
|
| 191,843
|
|
|
|
|
| 391,718
|
TELECOMMUNICATION EQUIP — 0.3%
|
|
|
|
|
|
Coral-U.S. Co-Borrower LLC
Senior Secured 2021 Term Loan B6, 1 mo. USD Term SOFR + 3.00%, 8.45%, 10/15/2029 (a)
|
|
| 305,848
|
| 304,748
|
Delta TopCo, Inc.
Senior Secured 2020 Term Loan B, 6 mo. USD Term SOFR + 3.75%, 9.07%, 12/1/2027 (a)
|
|
| 118,814
|
| 117,860
|
|
|
|
|
| 422,608
|
TRADING COMPANIES & DISTRIBUTORS — 0.2%
|
|
|
|
|
|
Foundation Building Materials Holding Co. LLC
Senior Secured 2021 Term Loan, 3 mo. USD Term SOFR + 3.25%, 8.88%, 1/31/2028 (a)
|
|
| 200,401
|
| 198,683
|
TRANSPORT-SERVICES — 0.4%
|
|
|
|
|
|
Endure Digital, Inc.
Senior Secured Term Loan, 3 mo. USD LIBOR + 3.50%, 8.79%, 2/10/2028 (a)
|
|
| 492,017
|
| 479,308
|
TOTAL SENIOR FLOATING RATE LOANS
(Cost $57,938,792)
|
|
|
|
| 58,384,140
|
Security Description
|
|
| Principal
Amount
|
| Value
|
ASSET-BACKED SECURITIES — 7.5%
|
|
|
|
|
|
OTHER ABS — 7.5%
|
|
|
|
|
|
Apidos CLO XI
Series 2012-11A, Class ER3, 3 mo. USD Term SOFR + 6.83%, 12.14%, 4/17/2034 (a) (c)
|
|
| $500,000
|
| $460,700
|
ARES LXVIII CLO Ltd.
Series 2023-68A, Class E, 3 mo. USD Term SOFR + 8.55%, 13.63%, 4/25/2035 (a) (c)
|
|
| 750,000
|
| 751,200
|
Balboa Bay Loan Funding Ltd.
Series 2022-1A, Class E, 3 mo. USD Term SOFR + 7.93%, 13.26%, 4/20/2034 (a) (c)
|
|
| 500,000
|
| 473,100
|
Ballyrock CLO Ltd.
Series 2020-2A, Class DR, 3 mo. USD Term SOFR + 6.41%, 11.74%, 10/20/2031 (a) (c)
|
|
| 750,000
|
| 727,200
|
Benefit Street Partners CLO X Ltd.
Series 2016-10A, Class DRR, 3 mo. USD Term SOFR + 7.01%, 12.34%, 4/20/2034 (a) (c)
|
|
| 500,000
|
| 473,850
|
Canyon CLO Ltd.
Series 2020-1A, Class ER, 3 mo. USD Term SOFR + 6.61%, 11.92%, 7/15/2034 (a) (c)
|
|
| 602,000
|
| 548,542
|
Carlyle U.S. CLO Ltd.:
|
|
|
|
|
|
Series 2020-1A, Class DR, 3 mo. USD Term SOFR + 6.51%, 11.84%, 7/20/2034 (a) (c)
|
|
| 500,000
|
| 453,950
|
Series 2021-9A, Class E, 3 mo. USD Term SOFR + 6.89%, 12.22%, 10/20/2034 (a) (c)
|
|
| 712,882
|
| 640,025
|
GoldenTree Loan Management U.S. CLO Ltd.
Series 2022-12A, Class E, 3 mo. USD Term SOFR + 7.25%, 12.58%, 4/20/2034 (a) (c)
|
|
| 500,000
|
| 489,400
|
Magnetite XXXI Ltd.
Series 2021-31A, Class D, 3 mo. USD Term SOFR + 3.26%, 8.57%, 7/15/2034 (a) (c)
|
|
| 500,000
|
| 484,500
|
Palmer Square CLO Ltd.
Series 2019-1A, Class DR, 3 mo. USD Term SOFR + 6.76%, 12.13%, 11/14/2034 (a) (c)
|
|
| 500,000
|
| 456,950
|
Point Au Roche Park CLO Ltd.
Series 2021-1A, Class E, 3 mo. USD Term SOFR + 6.36%, 11.69%, 7/20/2034 (a) (c)
|
|
| 1,480,000
|
| 1,298,552
|
See accompanying notes to Schedule of
Investments.
18
SPDR BLACKSTONE HIGH INCOME ETF
Schedule of Investments (continued)
September 30, 2023 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
Rad CLO 15 Ltd.
Series 2021-15A, Class E, 3 mo. USD Term SOFR + 6.46%, 11.79%, 1/20/2034 (a) (c)
|
|
| $652,349
|
| $605,837
|
RR 20 Ltd.
Series 2022-20A, Class D, 3 mo. USD Term SOFR + 7.25%, 12.56%, 7/15/2037 (a) (c)
|
|
| 500,000
|
| 492,750
|
Vibrant CLO XVI Ltd.
Series 2023-16A, Class C, 3 mo. USD Term SOFR + 5.84%, 11.05%, 4/15/2036 (a) (c)
|
|
| 500,000
|
| 496,397
|
Voya CLO Ltd.
Series 2019-2A, Class E, 3 mo. USD Term SOFR + 6.86%, 12.19%, 7/20/2032 (a) (c)
|
|
| 500,000
|
| 470,950
|
|
|
|
|
| 9,323,903
|
TOTAL ASSET-BACKED SECURITIES
(Cost $9,282,256)
|
|
|
|
| 9,323,903
|
|
|
| Shares
|
|
COMMON STOCKS — 0.2%
|
|
|
|
|
AEROSPACE & DEFENSE — 0.2%
|
|
|
|
|
Flame Newco LLC (d) (e)
|
|
| 19,856
| 205,113
|
ENTERTAINMENT — 0.0% (f)
|
|
|
|
|
Cineworld Group PLC (d) (e)
|
|
| 1,834
| 43,902
|
TOTAL COMMON STOCKS
(Cost $242,709)
|
|
|
| 249,015
|
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS — 1.9%
|
|
|
|
|
DOMESTIC FIXED INCOME — 1.9%
|
|
|
|
|
SPDR Blackstone Senior Loan ETF (g)
|
|
| 57,129
| 2,395,419
|
|
| Principal
Amount
|
|
CORPORATE BONDS & NOTES — 41.0%
|
|
|
|
ADVERTISING — 0.4%
|
|
|
|
Advantage Sales & Marketing, Inc.
6.50%, 11/15/2028 (c)
|
| $360,000
| 309,899
|
Clear Channel Outdoor Holdings, Inc.:
|
|
|
|
7.50%, 6/1/2029 (c)
|
| 100,000
| 76,546
|
7.75%, 4/15/2028 (c)
|
| 130,000
| 103,791
|
|
|
| 490,236
|
Security Description
|
|
| Principal
Amount
|
| Value
|
AEROSPACE & DEFENSE — 1.0%
|
|
|
|
|
|
Howmet Aerospace, Inc.
5.95%, 2/1/2037
|
|
| $50,000
|
| $46,932
|
Rolls-Royce PLC
5.75%, 10/15/2027 (c)
|
|
| 400,000
|
| 385,416
|
TransDigm, Inc.:
|
|
|
|
|
|
4.63%, 1/15/2029
|
|
| 580,000
|
| 505,853
|
4.88%, 5/1/2029
|
|
| 390,000
|
| 342,591
|
|
|
|
|
| 1,280,792
|
AUTO MANUFACTURERS — 0.7%
|
|
|
|
|
|
Allison Transmission, Inc.
3.75%, 1/30/2031 (c)
|
|
| 780,000
|
| 630,575
|
Ford Motor Co.
4.75%, 1/15/2043
|
|
| 150,000
|
| 109,440
|
Ford Motor Credit Co. LLC
6.80%, 5/12/2028
|
|
| 105,000
|
| 104,849
|
|
|
|
|
| 844,864
|
BANKS — 0.4%
|
|
|
|
|
|
Intesa Sanpaolo SpA
5.71%, 1/15/2026 (c)
|
|
| 559,000
|
| 533,348
|
BEVERAGES — 0.1%
|
|
|
|
|
|
Primo Water Holdings, Inc.
4.38%, 4/30/2029 (c)
|
|
| 90,000
|
| 76,928
|
CHEMICALS — 1.2%
|
|
|
|
|
|
Ashland, Inc.
3.38%, 9/1/2031 (c)
|
|
| 320,000
|
| 248,983
|
Chemours Co.:
|
|
|
|
|
|
4.63%, 11/15/2029 (c)
|
|
| 394,000
|
| 317,170
|
5.75%, 11/15/2028 (c)
|
|
| 100,000
|
| 86,765
|
Methanex Corp.
5.25%, 12/15/2029
|
|
| 330,000
|
| 294,858
|
Nufarm Australia Ltd./Nufarm Americas, Inc.
5.00%, 1/27/2030 (c)
|
|
| 80,000
|
| 70,634
|
Valvoline, Inc.
3.63%, 6/15/2031 (c)
|
|
| 595,000
|
| 461,797
|
|
|
|
|
| 1,480,207
|
COAL — 0.2%
|
|
|
|
|
|
SunCoke Energy, Inc.
4.88%, 6/30/2029 (c)
|
|
| 230,000
|
| 195,054
|
COMMERCIAL SERVICES — 2.1%
|
|
|
|
|
|
Adtalem Global Education, Inc.
5.50%, 3/1/2028 (c)
|
|
| 180,000
|
| 165,827
|
ASGN, Inc.
4.63%, 5/15/2028 (c)
|
|
| 80,000
|
| 71,502
|
Cimpress PLC
7.00%, 6/15/2026
|
|
| 250,000
|
| 234,052
|
Deluxe Corp.
8.00%, 6/1/2029 (c)
|
|
| 110,000
|
| 90,799
|
Gartner, Inc.:
|
|
|
|
|
|
3.63%, 6/15/2029 (c)
|
|
| 610,000
|
| 522,691
|
See accompanying notes to Schedule of
Investments.
19
SPDR BLACKSTONE HIGH INCOME ETF
Schedule of Investments (continued)
September 30, 2023 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
3.75%, 10/1/2030 (c)
|
|
| $200,000
|
| $167,712
|
MPH Acquisition Holdings LLC
5.75%, 11/1/2028 (c)
|
|
| 410,000
|
| 307,196
|
Service Corp. International:
|
|
|
|
|
|
3.38%, 8/15/2030
|
|
| 73,000
|
| 58,793
|
4.00%, 5/15/2031
|
|
| 410,000
|
| 337,299
|
TriNet Group, Inc.
3.50%, 3/1/2029 (c)
|
|
| 170,000
|
| 143,171
|
United Rentals North America, Inc.
3.75%, 1/15/2032
|
|
| 180,000
|
| 145,246
|
Upbound Group, Inc.
6.38%, 2/15/2029 (c)
|
|
| 150,000
|
| 133,200
|
WW International, Inc.
4.50%, 4/15/2029 (c)
|
|
| 220,000
|
| 152,724
|
ZipRecruiter, Inc.
5.00%, 1/15/2030 (c)
|
|
| 193,000
|
| 152,561
|
|
|
|
|
| 2,682,773
|
COMPUTERS — 0.8%
|
|
|
|
|
|
KBR, Inc.
4.75%, 9/30/2028 (c)
|
|
| 90,000
|
| 80,126
|
NCR Corp.:
|
|
|
|
|
|
5.00%, 10/1/2028 (c)
|
|
| 50,000
|
| 44,765
|
5.13%, 4/15/2029 (c)
|
|
| 300,000
|
| 264,564
|
Science Applications International Corp.
4.88%, 4/1/2028 (c)
|
|
| 180,000
|
| 163,447
|
Seagate HDD Cayman:
|
|
|
|
|
|
4.13%, 1/15/2031
|
|
| 292,000
|
| 232,061
|
9.63%, 12/1/2032 (c)
|
|
| 50,000
|
| 53,865
|
Unisys Corp.
6.88%, 11/1/2027 (c)
|
|
| 180,000
|
| 134,770
|
|
|
|
|
| 973,598
|
CONSTRUCTION MATERIALS — 1.3%
|
|
|
|
|
|
Builders FirstSource, Inc.:
|
|
|
|
|
|
4.25%, 2/1/2032 (c)
|
|
| 448,000
|
| 367,468
|
5.00%, 3/1/2030 (c)
|
|
| 120,000
|
| 106,892
|
Griffon Corp.
5.75%, 3/1/2028
|
|
| 320,000
|
| 290,304
|
JELD-WEN, Inc.
4.88%, 12/15/2027 (c)
|
|
| 181,000
|
| 159,660
|
Louisiana-Pacific Corp.
3.63%, 3/15/2029 (c)
|
|
| 170,000
|
| 143,118
|
Masonite International Corp.
5.38%, 2/1/2028 (c)
|
|
| 230,000
|
| 213,997
|
Summit Materials LLC/Summit Materials Finance Corp.
5.25%, 1/15/2029 (c)
|
|
| 400,000
|
| 364,716
|
|
|
|
|
| 1,646,155
|
DIVERSIFIED FINANCIAL SERVICES — 2.9%
|
|
|
|
|
|
Burford Capital Global Finance LLC
6.88%, 4/15/2030 (c)
|
|
| 220,000
|
| 202,024
|
Security Description
|
|
| Principal
Amount
|
| Value
|
Enova International, Inc.
8.50%, 9/15/2025 (c)
|
|
| $140,000
|
| $136,844
|
goeasy Ltd.
4.38%, 5/1/2026 (c)
|
|
| 325,000
|
| 297,291
|
Nationstar Mortgage Holdings, Inc.:
|
|
|
|
|
|
5.50%, 8/15/2028 (c)
|
|
| 610,000
|
| 538,136
|
5.75%, 11/15/2031 (c)
|
|
| 123,000
|
| 101,957
|
6.00%, 1/15/2027 (c)
|
|
| 231,000
|
| 218,408
|
Navient Corp.:
|
|
|
|
|
|
4.88%, 3/15/2028
|
|
| 420,000
|
| 357,000
|
5.00%, 3/15/2027
|
|
| 160,000
|
| 143,821
|
9.38%, 7/25/2030
|
|
| 57,000
|
| 56,187
|
Series A, 5.63%, 8/1/2033
|
|
| 140,000
|
| 102,368
|
OneMain Finance Corp.:
|
|
|
|
|
|
3.50%, 1/15/2027
|
|
| 700,000
|
| 599,424
|
5.38%, 11/15/2029
|
|
| 110,000
|
| 92,095
|
7.13%, 3/15/2026
|
|
| 160,000
|
| 156,454
|
PennyMac Financial Services, Inc.:
|
|
|
|
|
|
4.25%, 2/15/2029 (c)
|
|
| 220,000
|
| 177,809
|
5.75%, 9/15/2031 (c)
|
|
| 270,000
|
| 220,366
|
Synchrony Financial
7.25%, 2/2/2033
|
|
| 200,000
|
| 176,180
|
World Acceptance Corp.
7.00%, 11/1/2026 (c)
|
|
| 122,000
|
| 104,461
|
|
|
|
|
| 3,680,825
|
ELECTRIC — 0.8%
|
|
|
|
|
|
PG&E Corp.:
|
|
|
|
|
|
5.00%, 7/1/2028
|
|
| 10,000
|
| 9,055
|
5.25%, 7/1/2030
|
|
| 200,000
|
| 174,090
|
Vistra Operations Co. LLC:
|
|
|
|
|
|
4.38%, 5/1/2029 (c)
|
|
| 320,000
|
| 275,098
|
5.00%, 7/31/2027 (c)
|
|
| 370,000
|
| 340,226
|
7.75%, 10/15/2031 (c)
|
|
| 164,000
|
| 161,568
|
|
|
|
|
| 960,037
|
ELECTRICAL COMPONENTS & EQUIPMENT — 0.3%
|
|
|
|
|
|
Energizer Holdings, Inc.:
|
|
|
|
|
|
4.38%, 3/31/2029 (c)
|
|
| 160,000
|
| 133,637
|
4.75%, 6/15/2028 (c)
|
|
| 340,000
|
| 294,460
|
|
|
|
|
| 428,097
|
ENGINEERING & CONSTRUCTION — 0.4%
|
|
|
|
|
|
Great Lakes Dredge & Dock Corp.
5.25%, 6/1/2029 (c)
|
|
| 121,000
|
| 99,455
|
TopBuild Corp.:
|
|
|
|
|
|
3.63%, 3/15/2029 (c)
|
|
| 180,000
|
| 153,387
|
4.13%, 2/15/2032 (c)
|
|
| 150,000
|
| 122,034
|
Tutor Perini Corp.
6.88%, 5/1/2025 (c)
|
|
| 180,000
|
| 164,700
|
|
|
|
|
| 539,576
|
See accompanying notes to Schedule of
Investments.
20
SPDR BLACKSTONE HIGH INCOME ETF
Schedule of Investments (continued)
September 30, 2023 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
ENTERTAINMENT — 0.7%
|
|
|
|
|
|
Churchill Downs, Inc.
4.75%, 1/15/2028 (c)
|
|
| $150,000
|
| $135,335
|
Cinemark USA, Inc.
5.25%, 7/15/2028 (c)
|
|
| 470,000
|
| 417,294
|
Light & Wonder International, Inc.
7.50%, 9/1/2031 (c)
|
|
| 47,000
|
| 46,465
|
Wynn Resorts Finance LLC/Wynn Resorts Capital Corp.
5.13%, 10/1/2029 (c)
|
|
| 280,000
|
| 244,770
|
|
|
|
|
| 843,864
|
ENVIRONMENTAL CONTROL — 0.1%
|
|
|
|
|
|
Stericycle, Inc.
3.88%, 1/15/2029 (c)
|
|
| 100,000
|
| 86,217
|
FOOD — 0.9%
|
|
|
|
|
|
Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC
3.50%, 3/15/2029 (c)
|
|
| 200,000
|
| 170,402
|
Lamb Weston Holdings, Inc.:
|
|
|
|
|
|
4.13%, 1/31/2030 (c)
|
|
| 340,000
|
| 290,652
|
4.88%, 5/15/2028 (c)
|
|
| 290,000
|
| 267,293
|
Post Holdings, Inc.:
|
|
|
|
|
|
4.50%, 9/15/2031 (c)
|
|
| 100,000
|
| 83,276
|
5.50%, 12/15/2029 (c)
|
|
| 390,000
|
| 353,434
|
|
|
|
|
| 1,165,057
|
HEALTH CARE PRODUCTS — 0.1%
|
|
|
|
|
|
Hologic, Inc.
3.25%, 2/15/2029 (c)
|
|
| 200,000
|
| 169,010
|
HEALTH CARE SERVICES — 1.7%
|
|
|
|
|
|
Acadia Healthcare Co., Inc.
5.00%, 4/15/2029 (c)
|
|
| 300,000
|
| 269,829
|
CHS/Community Health Systems, Inc.:
|
|
|
|
|
|
5.25%, 5/15/2030 (c)
|
|
| 70,000
|
| 53,334
|
6.88%, 4/15/2029 (c)
|
|
| 205,000
|
| 109,214
|
DaVita, Inc.:
|
|
|
|
|
|
3.75%, 2/15/2031 (c)
|
|
| 240,000
|
| 182,647
|
4.63%, 6/1/2030 (c)
|
|
| 510,000
|
| 418,516
|
Encompass Health Corp.:
|
|
|
|
|
|
4.50%, 2/1/2028
|
|
| 200,000
|
| 182,430
|
4.63%, 4/1/2031
|
|
| 385,000
|
| 327,315
|
LifePoint Health, Inc.
9.88%, 8/15/2030 (c)
|
|
| 150,000
|
| 145,342
|
Molina Healthcare, Inc.
4.38%, 6/15/2028 (c)
|
|
| 100,000
|
| 89,556
|
RegionalCare Hospital Partners Holdings, Inc./LifePoint Health, Inc.
9.75%, 12/1/2026 (c)
|
|
| 174,000
|
| 168,815
|
Security Description
|
|
| Principal
Amount
|
| Value
|
Tenet Healthcare Corp.
6.88%, 11/15/2031
|
|
| $160,000
|
| $153,445
|
|
|
|
|
| 2,100,443
|
HOME BUILDERS — 2.3%
|
|
|
|
|
|
Beazer Homes USA, Inc.:
|
|
|
|
|
|
5.88%, 10/15/2027
|
|
| 35,000
|
| 31,982
|
7.25%, 10/15/2029
|
|
| 270,000
|
| 252,890
|
Century Communities, Inc.
3.88%, 8/15/2029 (c)
|
|
| 270,000
|
| 223,115
|
Dream Finders Homes, Inc.
8.25%, 8/15/2028 (c)
|
|
| 130,000
|
| 130,832
|
Forestar Group, Inc.
3.85%, 5/15/2026 (c)
|
|
| 330,000
|
| 300,703
|
Installed Building Products, Inc.
5.75%, 2/1/2028 (c)
|
|
| 110,000
|
| 101,279
|
KB Home
4.00%, 6/15/2031
|
|
| 353,000
|
| 286,678
|
LGI Homes, Inc.
4.00%, 7/15/2029 (c)
|
|
| 150,000
|
| 119,609
|
M/I Homes, Inc.:
|
|
|
|
|
|
3.95%, 2/15/2030
|
|
| 145,000
|
| 118,362
|
4.95%, 2/1/2028
|
|
| 160,000
|
| 144,251
|
Meritage Homes Corp.
3.88%, 4/15/2029 (c)
|
|
| 450,000
|
| 386,865
|
Taylor Morrison Communities, Inc.:
|
|
|
|
|
|
5.13%, 8/1/2030 (c)
|
|
| 280,000
|
| 244,658
|
5.75%, 1/15/2028 (c)
|
|
| 225,000
|
| 209,480
|
Tri Pointe Homes, Inc.
5.70%, 6/15/2028
|
|
| 300,000
|
| 277,323
|
|
|
|
|
| 2,828,027
|
HOME FURNISHINGS — 0.5%
|
|
|
|
|
|
Tempur Sealy International, Inc.
4.00%, 4/15/2029 (c)
|
|
| 700,000
|
| 584,367
|
HOUSEHOLD PRODUCTS — 0.1%
|
|
|
|
|
|
Edgewell Personal Care Co.
4.13%, 4/1/2029 (c)
|
|
| 160,000
|
| 135,987
|
HOUSEHOLD PRODUCTS & WARES — 0.3%
|
|
|
|
|
|
Central Garden & Pet Co.
4.13%, 10/15/2030
|
|
| 375,000
|
| 312,806
|
INSURANCE — 0.2%
|
|
|
|
|
|
MGIC Investment Corp.
5.25%, 8/15/2028
|
|
| 310,000
|
| 288,672
|
INTERNET — 0.3%
|
|
|
|
|
|
Cogent Communications Group, Inc.
7.00%, 6/15/2027 (c)
|
|
| 380,000
|
| 362,315
|
INVESTMENT COMPANY SECURITY — 0.2%
|
|
|
|
|
|
Compass Group Diversified Holdings LLC
5.25%, 4/15/2029 (c)
|
|
| 300,000
|
| 262,299
|
See accompanying notes to Schedule of
Investments.
21
SPDR BLACKSTONE HIGH INCOME ETF
Schedule of Investments (continued)
September 30, 2023 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
IRON/STEEL — 0.3%
|
|
|
|
|
|
ATI, Inc.
5.13%, 10/1/2031
|
|
| $190,000
|
| $163,780
|
Commercial Metals Co.
4.38%, 3/15/2032
|
|
| 120,000
|
| 100,631
|
Mineral Resources Ltd.
8.00%, 11/1/2027 (c)
|
|
| 140,000
|
| 137,338
|
|
|
|
|
| 401,749
|
IT SERVICES — 0.2%
|
|
|
|
|
|
Seagate HDD Cayman:
|
|
|
|
|
|
8.25%, 12/15/2029 (c)
|
|
| 129,000
|
| 132,302
|
8.50%, 7/15/2031 (c)
|
|
| 100,000
|
| 102,483
|
|
|
|
|
| 234,785
|
LEISURE TIME — 1.7%
|
|
|
|
|
|
Carnival Corp.:
|
|
|
|
|
|
5.75%, 3/1/2027 (c)
|
|
| 500,000
|
| 452,270
|
6.00%, 5/1/2029 (c)
|
|
| 420,000
|
| 358,659
|
NCL Corp. Ltd.
7.75%, 2/15/2029 (c)
|
|
| 580,000
|
| 538,391
|
Royal Caribbean Cruises Ltd.:
|
|
|
|
|
|
3.70%, 3/15/2028
|
|
| 245,000
|
| 207,233
|
5.38%, 7/15/2027 (c)
|
|
| 170,000
|
| 157,087
|
5.50%, 4/1/2028 (c)
|
|
| 300,000
|
| 275,151
|
Vista Outdoor, Inc.
4.50%, 3/15/2029 (c)
|
|
| 210,000
|
| 175,741
|
|
|
|
|
| 2,164,532
|
LODGING — 0.7%
|
|
|
|
|
|
Hilton Domestic Operating Co., Inc.:
|
|
|
|
|
|
3.63%, 2/15/2032 (c)
|
|
| 200,000
|
| 161,202
|
3.75%, 5/1/2029 (c)
|
|
| 590,000
|
| 509,790
|
Las Vegas Sands Corp.
3.90%, 8/8/2029
|
|
| 219,000
|
| 186,925
|
|
|
|
|
| 857,917
|
MACHINERY-DIVERSIFIED — 0.1%
|
|
|
|
|
|
ATS Corp.
4.13%, 12/15/2028 (c)
|
|
| 168,000
|
| 148,727
|
MEDIA — 1.9%
|
|
|
|
|
|
CCO Holdings LLC/CCO Holdings Capital Corp.:
|
|
|
|
|
|
4.50%, 8/15/2030 (c)
|
|
| 100,000
|
| 82,024
|
4.75%, 3/1/2030 (c)
|
|
| 370,000
|
| 311,170
|
4.75%, 2/1/2032 (c)
|
|
| 200,000
|
| 160,012
|
5.00%, 2/1/2028 (c)
|
|
| 60,000
|
| 54,466
|
5.13%, 5/1/2027 (c)
|
|
| 230,000
|
| 214,218
|
CSC Holdings LLC
7.50%, 4/1/2028 (c)
|
|
| 400,000
|
| 259,576
|
DISH DBS Corp.
7.75%, 7/1/2026
|
|
| 230,000
|
| 172,311
|
Gray Television, Inc.
7.00%, 5/15/2027 (c)
|
|
| 191,000
|
| 163,855
|
Security Description
|
|
| Principal
Amount
|
| Value
|
iHeartCommunications, Inc.
6.38%, 5/1/2026
|
|
| $160,000
|
| $138,006
|
News Corp.:
|
|
|
|
|
|
3.88%, 5/15/2029 (c)
|
|
| 300,000
|
| 257,838
|
5.13%, 2/15/2032 (c)
|
|
| 75,000
|
| 65,531
|
Nexstar Media, Inc.
4.75%, 11/1/2028 (c)
|
|
| 100,000
|
| 82,803
|
Sirius XM Radio, Inc.
4.00%, 7/15/2028 (c)
|
|
| 100,000
|
| 85,360
|
Townsquare Media, Inc.
6.88%, 2/1/2026 (c)
|
|
| 206,000
|
| 193,731
|
Urban One, Inc.
7.38%, 2/1/2028 (c)
|
|
| 150,000
|
| 128,667
|
|
|
|
|
| 2,369,568
|
MINING — 0.5%
|
|
|
|
|
|
Arsenal AIC Parent LLC
8.00%, 10/1/2030 (c)
|
|
| 50,000
|
| 49,739
|
Eldorado Gold Corp.
6.25%, 9/1/2029 (c)
|
|
| 210,000
|
| 180,909
|
FMG Resources August 2006 Pty. Ltd.
6.13%, 4/15/2032 (c)
|
|
| 275,000
|
| 251,207
|
Taseko Mines Ltd.
7.00%, 2/15/2026 (c)
|
|
| 180,000
|
| 168,685
|
|
|
|
|
| 650,540
|
MISCELLANEOUS MANUFACTURER — 0.2%
|
|
|
|
|
|
Hillenbrand, Inc.
3.75%, 3/1/2031
|
|
| 350,000
|
| 280,238
|
OFFICE & BUSINESS EQUIPMENT — 0.6%
|
|
|
|
|
|
Pitney Bowes, Inc.:
|
|
|
|
|
|
6.88%, 3/15/2027 (c)
|
|
| 140,000
|
| 111,028
|
7.25%, 3/15/2029 (c)
|
|
| 50,000
|
| 36,376
|
Xerox Holdings Corp.
5.50%, 8/15/2028 (c)
|
|
| 730,000
|
| 613,069
|
|
|
|
|
| 760,473
|
OFFICE FURNISHINGS — 0.1%
|
|
|
|
|
|
Steelcase, Inc.
5.13%, 1/18/2029
|
|
| 190,000
|
| 168,636
|
OIL & GAS — 4.3%
|
|
|
|
|
|
Berry Petroleum Co. LLC
7.00%, 2/15/2026 (c)
|
|
| 100,000
|
| 95,706
|
Calumet Specialty Products Partners LP/Calumet Finance Corp.
9.75%, 7/15/2028 (c)
|
|
| 220,000
|
| 217,274
|
Civitas Resources, Inc.:
|
|
|
|
|
|
8.38%, 7/1/2028 (c)
|
|
| 300,000
|
| 305,217
|
8.75%, 7/1/2031 (c)
|
|
| 135,000
|
| 138,191
|
CNX Resources Corp.
6.00%, 1/15/2029 (c)
|
|
| 528,000
|
| 492,571
|
CVR Energy, Inc.
5.75%, 2/15/2028 (c)
|
|
| 324,000
|
| 293,366
|
See accompanying notes to Schedule of
Investments.
22
SPDR BLACKSTONE HIGH INCOME ETF
Schedule of Investments (continued)
September 30, 2023 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
EnQuest PLC
11.63%, 11/1/2027 (c)
|
|
| $140,000
|
| $132,391
|
MEG Energy Corp.
5.88%, 2/1/2029 (c)
|
|
| 520,000
|
| 485,524
|
Northern Oil & Gas, Inc.:
|
|
|
|
|
|
8.13%, 3/1/2028 (c)
|
|
| 330,000
|
| 329,357
|
8.75%, 6/15/2031 (c)
|
|
| 94,000
|
| 94,753
|
Parkland Corp.:
|
|
|
|
|
|
4.50%, 10/1/2029 (c)
|
|
| 620,000
|
| 532,865
|
4.63%, 5/1/2030 (c)
|
|
| 373,000
|
| 318,374
|
PBF Holding Co. LLC/PBF Finance Corp.
7.88%, 9/15/2030 (c)
|
|
| 216,000
|
| 215,259
|
Precision Drilling Corp.
6.88%, 1/15/2029 (c)
|
|
| 100,000
|
| 94,637
|
Shelf Drilling Holdings Ltd.
9.63%, 4/15/2029 (c) (h)
|
|
| 103,000
|
| 101,933
|
Sunoco LP/Sunoco Finance Corp.:
|
|
|
|
|
|
4.50%, 5/15/2029
|
|
| 830,000
|
| 728,159
|
4.50%, 4/30/2030
|
|
| 60,000
|
| 51,965
|
Transocean, Inc.
7.50%, 4/15/2031
|
|
| 486,000
|
| 420,896
|
Valaris Ltd.
8.38%, 4/30/2030 (c)
|
|
| 300,000
|
| 300,201
|
|
|
|
|
| 5,348,639
|
OIL & GAS SERVICES — 0.8%
|
|
|
|
|
|
Archrock Partners LP/Archrock Partners Finance Corp.
6.25%, 4/1/2028 (c)
|
|
| 570,000
|
| 536,005
|
Enerflex Ltd.
9.00%, 10/15/2027 (c)
|
|
| 253,000
|
| 249,885
|
Oceaneering International, Inc.
6.00%, 2/1/2028
|
|
| 260,000
|
| 244,936
|
|
|
|
|
| 1,030,826
|
PACKAGING & CONTAINERS — 0.2%
|
|
|
|
|
|
Cascades, Inc./Cascades USA, Inc.
5.38%, 1/15/2028 (c)
|
|
| 150,000
|
| 138,546
|
OI European Group BV
4.75%, 2/15/2030 (c)
|
|
| 160,000
|
| 139,536
|
|
|
|
|
| 278,082
|
PHARMACEUTICALS — 0.2%
|
|
|
|
|
|
Herbalife Nutrition Ltd./HLF Financing, Inc.
7.88%, 9/1/2025 (c)
|
|
| 180,000
|
| 171,473
|
Prestige Brands, Inc.
3.75%, 4/1/2031 (c)
|
|
| 150,000
|
| 120,741
|
|
|
|
|
| 292,214
|
Security Description
|
|
| Principal
Amount
|
| Value
|
PIPELINES — 2.0%
|
|
|
|
|
|
Antero Midstream Partners LP/Antero Midstream Finance Corp.:
|
|
|
|
|
|
5.38%, 6/15/2029 (c)
|
|
| $200,000
|
| $183,198
|
5.75%, 3/1/2027 (c)
|
|
| 250,000
|
| 238,318
|
5.75%, 1/15/2028 (c)
|
|
| 300,000
|
| 282,762
|
Delek Logistics Partners LP/Delek Logistics Finance Corp.
7.13%, 6/1/2028 (c)
|
|
| 134,000
|
| 122,685
|
EnLink Midstream Partners LP
5.05%, 4/1/2045
|
|
| 120,000
|
| 91,249
|
Global Partners LP/GLP Finance Corp.
6.88%, 1/15/2029
|
|
| 273,000
|
| 253,876
|
Hess Midstream Operations LP:
|
|
|
|
|
|
4.25%, 2/15/2030 (c)
|
|
| 200,000
|
| 169,438
|
5.13%, 6/15/2028 (c)
|
|
| 300,000
|
| 276,258
|
5.50%, 10/15/2030 (c)
|
|
| 400,000
|
| 363,384
|
Holly Energy Partners LP/Holly Energy Finance Corp.
5.00%, 2/1/2028 (c)
|
|
| 60,000
|
| 55,265
|
Martin Midstream Partners LP/Martin Midstream Finance Corp.
11.50%, 2/15/2028 (c)
|
|
| 55,000
|
| 55,998
|
NuStar Logistics LP:
|
|
|
|
|
|
5.63%, 4/28/2027
|
|
| 120,000
|
| 114,289
|
6.38%, 10/1/2030
|
|
| 290,000
|
| 274,848
|
|
|
|
|
| 2,481,568
|
REAL ESTATE — 0.7%
|
|
|
|
|
|
Howard Hughes Corp.:
|
|
|
|
|
|
4.13%, 2/1/2029 (c)
|
|
| 505,000
|
| 403,818
|
4.38%, 2/1/2031 (c)
|
|
| 210,000
|
| 161,215
|
Kennedy-Wilson, Inc.
4.75%, 2/1/2030
|
|
| 200,000
|
| 149,292
|
Realogy Group LLC/Realogy Co.-Issuer Corp.
5.75%, 1/15/2029 (c)
|
|
| 150,000
|
| 108,239
|
|
|
|
|
| 822,564
|
REAL ESTATE INVESTMENT TRUSTS — 2.1%
|
|
|
|
|
|
Apollo Commercial Real Estate Finance, Inc.
4.63%, 6/15/2029 (c)
|
|
| 100,000
|
| 75,543
|
Iron Mountain, Inc.:
|
|
|
|
|
|
5.25%, 7/15/2030 (c)
|
|
| 280,000
|
| 243,984
|
5.63%, 7/15/2032 (c)
|
|
| 60,000
|
| 51,737
|
7.00%, 2/15/2029 (c)
|
|
| 144,000
|
| 140,377
|
REIT, 4.50%, 2/15/2031 (c)
|
|
| 200,000
|
| 164,430
|
MPT Operating Partnership LP/MPT Finance Corp.
4.63%, 8/1/2029
|
|
| 20,000
|
| 14,177
|
See accompanying notes to Schedule of
Investments.
23
SPDR BLACKSTONE HIGH INCOME ETF
Schedule of Investments (continued)
September 30, 2023 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
Rithm Capital Corp.
6.25%, 10/15/2025 (c)
|
|
| $240,000
|
| $227,582
|
Service Properties Trust:
|
|
|
|
|
|
3.95%, 1/15/2028
|
|
| 390,000
|
| 303,607
|
4.75%, 10/1/2026
|
|
| 130,000
|
| 111,621
|
4.95%, 2/15/2027
|
|
| 270,000
|
| 228,172
|
Starwood Property Trust, Inc.:
|
|
|
|
|
|
3.63%, 7/15/2026 (c)
|
|
| 230,000
|
| 204,270
|
4.38%, 1/15/2027 (c)
|
|
| 560,000
|
| 489,748
|
Uniti Group LP/Uniti Fiber Holdings, Inc./CSL Capital LLC
6.00%, 1/15/2030 (c)
|
|
| 110,000
|
| 69,940
|
Uniti Group LP/Uniti Group Finance, Inc./CSL Capital LLC
6.50%, 2/15/2029 (c)
|
|
| 420,000
|
| 275,104
|
|
|
|
|
| 2,600,292
|
RETAIL — 2.8%
|
|
|
|
|
|
1011778 BC ULC/New Red Finance, Inc.
4.00%, 10/15/2030 (c)
|
|
| 630,000
|
| 523,580
|
Asbury Automotive Group, Inc.:
|
|
|
|
|
|
4.63%, 11/15/2029 (c)
|
|
| 120,000
|
| 103,002
|
4.75%, 3/1/2030
|
|
| 235,000
|
| 199,846
|
5.00%, 2/15/2032 (c)
|
|
| 290,000
|
| 240,390
|
Bloomin' Brands, Inc./OSI Restaurant Partners LLC
5.13%, 4/15/2029 (c)
|
|
| 141,000
|
| 122,901
|
BlueLinx Holdings, Inc.
6.00%, 11/15/2029 (c)
|
|
| 70,000
|
| 61,725
|
Carrols Restaurant Group, Inc.
5.88%, 7/1/2029 (c)
|
|
| 140,000
|
| 117,646
|
FirstCash, Inc.
4.63%, 9/1/2028 (c)
|
|
| 410,000
|
| 363,350
|
Gap, Inc.
3.63%, 10/1/2029 (c)
|
|
| 100,000
|
| 74,063
|
Group 1 Automotive, Inc.
4.00%, 8/15/2028 (c)
|
|
| 150,000
|
| 130,057
|
Lithia Motors, Inc.:
|
|
|
|
|
|
3.88%, 6/1/2029 (c)
|
|
| 120,000
|
| 101,077
|
4.38%, 1/15/2031 (c)
|
|
| 20,000
|
| 16,529
|
Murphy Oil USA, Inc.:
|
|
|
|
|
|
3.75%, 2/15/2031 (c)
|
|
| 260,000
|
| 212,285
|
4.75%, 9/15/2029
|
|
| 60,000
|
| 54,094
|
Nordstrom, Inc.
5.00%, 1/15/2044
|
|
| 99,000
|
| 58,413
|
Patrick Industries, Inc.
4.75%, 5/1/2029 (c)
|
|
| 300,000
|
| 250,179
|
Suburban Propane Partners LP/Suburban Energy Finance Corp.
5.00%, 6/1/2031 (c)
|
|
| 240,000
|
| 200,249
|
Superior Plus LP/Superior General Partner, Inc.
4.50%, 3/15/2029 (c)
|
|
| 240,000
|
| 208,889
|
Yum! Brands, Inc.:
|
|
|
|
|
|
3.63%, 3/15/2031
|
|
| 130,000
|
| 106,998
|
Security Description
|
|
| Principal
Amount
|
| Value
|
4.63%, 1/31/2032
|
|
| $102,000
|
| $88,478
|
4.75%, 1/15/2030 (c)
|
|
| 280,000
|
| 251,367
|
|
|
|
|
| 3,485,118
|
SOFTWARE — 1.0%
|
|
|
|
|
|
Fair Isaac Corp.
4.00%, 6/15/2028 (c)
|
|
| 600,000
|
| 536,154
|
MicroStrategy, Inc.
6.13%, 6/15/2028 (c)
|
|
| 220,000
|
| 195,499
|
Open Text Corp.:
|
|
|
|
|
|
3.88%, 2/15/2028 (c)
|
|
| 160,000
|
| 139,750
|
3.88%, 12/1/2029 (c)
|
|
| 5,000
|
| 4,103
|
Open Text Holdings, Inc.
4.13%, 2/15/2030 (c)
|
|
| 230,000
|
| 192,547
|
PTC, Inc.
4.00%, 2/15/2028 (c)
|
|
| 200,000
|
| 179,198
|
|
|
|
|
| 1,247,251
|
TELECOMMUNICATIONS — 0.6%
|
|
|
|
|
|
Consolidated Communications, Inc.
6.50%, 10/1/2028 (c)
|
|
| 195,000
|
| 152,274
|
Hughes Satellite Systems Corp.
6.63%, 8/1/2026
|
|
| 480,000
|
| 410,323
|
U.S. Cellular Corp.
6.70%, 12/15/2033
|
|
| 90,000
|
| 87,173
|
Viavi Solutions, Inc.
3.75%, 10/1/2029 (c)
|
|
| 100,000
|
| 81,258
|
|
|
|
|
| 731,028
|
TRANSPORTATION — 0.0% (f)
|
|
|
|
|
|
Danaos Corp.
8.50%, 3/1/2028 (c)
|
|
| 40,000
|
| 40,517
|
TOTAL CORPORATE BONDS & NOTES
(Cost $52,411,506)
|
|
|
|
| 51,346,818
|
|
| Shares
|
|
SHORT-TERM INVESTMENT — 1.6%
|
|
|
|
State Street Institutional U.S. Government Money Market Fund, Class G Shares 5.33% (i) (j)
(Cost $1,993,096)
|
| 1,993,096
| 1,993,096
|
TOTAL INVESTMENTS — 98.8%
(Cost $124,268,920)
|
|
| 123,692,391
|
OTHER ASSETS IN EXCESS OF LIABILITIES — 1.2%
|
|
| 1,563,627
|
NET ASSETS — 100.0%
|
|
| $125,256,018
|
See accompanying notes
to Schedule of Investments.
24
SPDR BLACKSTONE HIGH INCOME ETF
Schedule of Investments (continued)
September 30, 2023 (Unaudited)
(a)
| Variable Rate Security - Interest rate shown is rate in effect at September 30, 2023. For securities based on a published reference rate and spread, the reference rate and spread are
indicated in the description above.
|
(b)
| Position is unsettled. Contract rate was not determined at September 30, 2023 and does not take effect until settlement date. Maturity date is not finalized until settlement date.
|
(c)
| Securities purchased pursuant to Rule 144A of the Securities Act of 1933, as amended. These securities, which represent 38.6% of net assets as of September 30, 2023, are considered
liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers.
|
(d)
| Fair valued as determined in good faith by the Trust's Oversight Committee in accordance with policy and procedures approved by the Board of Trustees. Security
value is determined based on Level 3 inputs. As of September 30, 2023, total aggregate fair value of the securities is $249,015, representing 0.20% of the Fund's net assets.
|
(e)
| Non-income producing security.
|
(f)
| Amount is less than 0.05% of net assets.
|
(g)
| The Fund invested in an affiliated entity. Amounts related to these transactions during the period ended September 30, 2023 are shown in the Affiliate Table below.
|
(h)
| When-issued security.
|
(i)
| The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended September 30, 2023 are shown in
the Affiliate Table below.
|
(j)
| The rate shown is the annualized seven-day yield at September 30, 2023.
|
ABS
| Asset-Backed Security
|
CLO
| Collateralized Loan Obligation
|
CVR
| Contingent Value Rights
|
LIBOR
| London Interbank Offered Rate
|
PIK
| Payment in Kind
|
REIT
| Real Estate Investment Trust
|
SOFR
| Secured Overnight Financing Rate
|
At September 30, 2023,
the Fund had unfunded loan commitments of $59,681, which could be extended at the option of the borrowers, pursuant to the following loan agreements:
Borrower
|
| Unfunded Loan
Commitment ($)
|
| 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
|
The following table
summarizes the value of the Fund's investments according to the fair value hierarchy as of September 30, 2023.
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
|
See accompanying notes to Schedule of
Investments.
25
SPDR BLACKSTONE HIGH INCOME ETF
Schedule of Investments (continued)
September 30, 2023 (Unaudited)
Affiliate Table
| 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
|
See accompanying notes to Schedule of
Investments.
26
SPDR BLACKSTONE SENIOR LOAN ETF
SCHEDULE OF INVESTMENTS
September 30, 2023 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
SENIOR FLOATING RATE LOANS — 91.5%
|
|
|
|
|
|
ADVERTISING AGENCIES — 0.1%
|
|
|
|
|
|
ABG Intermediate Holdings 2 LLC
Senior Secured 2023 Term Loan B2, 1 mo. USD Term SOFR + 4.00%, 9.32%, 12/21/2028 (a)
|
|
| $5,970,153
|
| $5,977,646
|
AEROSPACE & DEFENSE — 1.3%
|
|
|
|
|
|
Dynasty Acquisition Co., Inc.:
|
|
|
|
|
|
Senior Secured 2023 Term Loan B1, 1 mo. USD Term SOFR + 4.00%, 9.32%, 8/24/2028 (a)
|
|
| 5,621,044
|
| 5,616,379
|
Senior Secured 2023 Term Loan B2, 1 mo. USD Term SOFR + 4.00%, 9.32%, 8/24/2028 (a)
|
|
| 2,408,660
|
| 2,406,661
|
TransDigm, Inc.:
|
|
|
|
|
|
Senior Secured 2022 Term Loan H, 3 mo. USD Term SOFR + 3.25%, 8.64%, 2/22/2027 (a)
|
|
| 2,658,426
|
| 2,664,965
|
Senior Secured 2023 Term Loan I, 3 mo. USD Term SOFR + 3.25%, 8.64%, 8/24/2028 (a)
|
|
| 45,230,561
|
| 45,304,739
|
|
|
|
|
| 55,992,744
|
AIR FREIGHT & LOGISTICS — 0.3%
|
|
|
|
|
|
Worldwide Express Operations LLC
Senior Secured 2021 1st Lien Term Loan, 3 mo. USD Term SOFR + 4.00%, 9.65%, 7/26/2028 (a)
|
|
| 12,232,050
|
| 12,065,143
|
AUTOMOBILE COMPONENTS — 1.2%
|
|
|
|
|
|
BBB Industries LLC
Senior Secured 2022 Term Loan, 1 mo. USD Term SOFR + 5.25%, 10.67%, 7/25/2029 (a)
|
|
| 6,982,412
|
| 6,608,993
|
Clarios Global LP
Senior Secured 2023 Incremental Term Loan, 1 mo. USD Term SOFR + 3.75%, 9.07%, 5/6/2030 (a)
|
|
| 34,592,283
|
| 34,576,197
|
Security Description
|
|
| Principal
Amount
|
| Value
|
USI, Inc.
Senior Secured 2022 Incremental Term Loan, 3 mo. USD Term SOFR + 3.75%, 9.14%, 11/22/2029 (a)
|
|
| $10,364,207
|
| $10,369,234
|
|
|
|
|
| 51,554,424
|
BEVERAGES — 0.7%
|
|
|
|
|
|
Triton Water Holdings, Inc.
Senior Secured Term Loan, 3 mo. USD Term SOFR + 3.25%, 8.65%, 3/31/2028 (a)
|
|
| 31,304,132
|
| 30,573,650
|
BROADLINE RETAIL — 0.9%
|
|
|
|
|
|
EG Group Ltd.:
|
|
|
|
|
|
Senior Secured 2023 USD First Lien Incremental Tranche B TLB, 2 mo. USD Term SOFR + 4.00%, 9.30%, 2/7/2025 (a)
|
|
| 139,899
|
| 140,205
|
Senior Secured 2023 USD First Lien Incremental Tranche C TLB, 2 mo. USD Term SOFR + 4.00%, 9.30%, 2/7/2025 (a)
|
|
| 294,547
|
| 282,765
|
GYP Holdings III Corp.
Senior Secured 2023 Term Loan, 1 mo. USD Term SOFR + 3.00%, 8.32%, 5/12/2030 (a)
|
|
| 734,040
|
| 737,256
|
Harbor Freight Tools USA, Inc.
Senior Secured 2021 Term Loan B, 1 mo. USD Term SOFR + 2.75%, 8.18%, 10/19/2027 (a)
|
|
| 36,691,750
|
| 36,468,664
|
|
|
|
|
| 37,628,890
|
BUILDING MATERIALS — 0.1%
|
|
|
|
|
|
Tamko Building Products LLC
Senior Secured 2023 Term Loan, 3 mo. USD Term SOFR + 3.50%, 8.90%, 9/20/2030 (a)
|
|
| 5,900,644
|
| 5,882,234
|
BUILDING PRODUCTS — 1.5%
|
|
|
|
|
|
ACProducts, Inc.
Senior Secured 2021 Term Loan B, 3 mo. USD Term SOFR + 4.25%, 9.90%, 5/17/2028 (a)
|
|
| 10,221,296
|
| 8,472,331
|
See accompanying notes to Schedule of
Investments.
27
SPDR BLACKSTONE SENIOR LOAN ETF
SCHEDULE OF INVESTMENTS (continued)
September 30, 2023 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
Chamberlain Group, Inc.
Senior Secured Term Loan B, 1 mo. USD Term SOFR + 3.25%, 8.57%, 11/3/2028 (a)
|
|
| $9,892,150
|
| $9,758,457
|
Cornerstone Building Brands, Inc.
Senior Secured 2021 Term Loan B, 1 mo. USD Term SOFR + 3.25%, 8.68%, 4/12/2028 (a)
|
|
| 32,246,797
|
| 31,551,556
|
Oscar AcquisitionCo LLC
Senior Secured Term Loan B, 3 mo. USD Term SOFR + 4.50%, 9.99%, 4/29/2029 (a)
|
|
| 15,917,683
|
| 15,825,360
|
|
|
|
|
| 65,607,704
|
CAPITAL MARKETS — 0.2%
|
|
|
|
|
|
AqGen Ascensus, Inc.
Senior Secured 2021 2nd Lien Term Loan, 3 mo. USD Term SOFR + 6.50%, 12.03%, 8/2/2029 (a)
|
|
| 7,194,340
|
| 6,870,630
|
AqGen Island Holdings, Inc.
Senior Secured Term Loan, 1 mo. USD Term SOFR + 3.50%, 8.93%, 8/2/2028 (a)
|
|
| 481,388
|
| 478,081
|
|
|
|
|
| 7,348,711
|
CASINO SERVICES — 0.7%
|
|
|
|
|
|
Stars Group Holdings BV
Senior Secured 2022 USD Term Loan B, 3 mo. USD Term SOFR + 3.25%, 8.90%, 7/22/2028 (a)
|
|
| 7,516,976
|
| 7,539,527
|
The Stars Group Holdings BV
Senior Secured 2018 USD Incremental Term Loan, 3 mo. USD Term SOFR + 2.25%, 7.90%, 7/21/2026 (a)
|
|
| 21,763,770
|
| 21,777,373
|
|
|
|
|
| 29,316,900
|
CHEMICALS — 0.7%
|
|
|
|
|
|
Axalta Coating Systems U.S. Holdings, Inc.
Senior Secured 2023 USD Term Loan B4, 3 mo. USD Term SOFR + 2.50%, 7.89%, 12/20/2029 (a)
|
|
| 5,637,767
|
| 5,654,511
|
Messer Industries GmbH
Senior Secured 2018 USD Term Loan, 3 mo. USD Term SOFR + 2.50%, 8.15%, 3/2/2026 (a)
|
|
| 11,434,809
|
| 11,439,954
|
Security Description
|
|
| Principal
Amount
|
| Value
|
Nouryon Finance BV
Senior Secured 2023 USD Term Loan B, 1 mo. USD Term SOFR + 4.00%, 9.43%, 4/3/2028 (a)
|
|
| $9,062,962
|
| $8,968,526
|
SCIH Salt Holdings, Inc.
Senior Secured 2021 Incremental Term Loan B, 3 mo. USD Term SOFR + 4.00%, 9.63%, 3/16/2027 (a)
|
|
| 2,777,669
|
| 2,765,142
|
Starfruit Finco BV
Senior Secured 2023 Term Loan B, 3 mo. USD Term SOFR + 4.00%, 9.35%, 4/3/2028 (a)
|
|
| 3,354,514
|
| 3,319,577
|
|
|
|
|
| 32,147,710
|
COMMERCIAL SERVICES — 6.9%
|
|
|
|
|
|
AlixPartners LLP
Senior Secured 2021 USD Term Loan B, 1 mo. USD Term SOFR + 2.75%, 8.07%, 2/4/2028 (a)
|
|
| 3,446,753
|
| 3,448,476
|
Allied Universal Holdco LLC
Senior Secured 2021 USD Incremental Term Loan B, 1 mo. USD Term SOFR + 3.75%, 9.17%, 5/12/2028 (a)
|
|
| 51,448,468
|
| 49,779,222
|
APX Group, Inc.
Senior Secured 2021 Term Loan B, 3 U.S. (Fed) Prime Rate + 3.25%, 11.75%, 7/10/2028 (a)
|
|
| 9,649,512
|
| 9,660,223
|
Avis Budget Car Rental LLC
Senior Secured 2022 Term Loan C, 1 mo. USD Term SOFR + 3.50%, 8.82%, 3/16/2029 (a)
|
|
| 3,940,000
|
| 3,944,945
|
CoreLogic, Inc.
Senior Secured Term Loan, 1 mo. USD Term SOFR + 3.50%, 8.82%, 6/2/2028 (a)
|
|
| 49,221,542
|
| 45,663,071
|
Corp. Service Co.
Senior Secured Term Loan B, 1 mo. USD Term SOFR + 3.25%, 8.57%, 11/2/2029 (a)
|
|
| 952,500
|
| 953,572
|
GTCR W Merger Sub LLC
Senior Secured USD Term Loan B, 9/20/2030 (b)
|
|
| 60,573,824
|
| 60,595,933
|
See accompanying notes to Schedule of
Investments.
28
SPDR BLACKSTONE SENIOR LOAN ETF
SCHEDULE OF INVESTMENTS (continued)
September 30, 2023 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
Mavis Tire Express Services Corp.
Senior Secured 2021 Term Loan B, 1 mo. USD Term SOFR + 4.00%, 9.43%, 5/4/2028 (a)
|
|
| $9,620,884
|
| $9,608,858
|
Neptune Bidco U.S., Inc.
Senior Secured 2022 USD Term Loan B, 3 mo. USD Term SOFR + 5.00%, 10.40%, 4/11/2029 (a)
|
|
| 47,591,698
|
| 43,001,241
|
OMNIA Partners LLC
Senior Secured Term Loan B, 3 mo. USD Term SOFR + 4.25%, 9.60%, 7/25/2030 (a)
|
|
| 6,014,716
|
| 6,029,121
|
PECF USS Intermediate Holding III Corp.
Senior Secured Term Loan B, 1 mo. USD Term SOFR + 4.25%, 9.57%, 12/15/2028 (a)
|
|
| 13,883,585
|
| 11,196,139
|
Spring Education Group, Inc.
Senior Secured, 10/4/2030 (a)
|
|
| 2,757,010
|
| 2,722,548
|
Vaco Holdings LLC
Senior Secured 2022 Term Loan, 3 mo. USD Term SOFR + 5.00%, 10.39%, 1/21/2029 (a)
|
|
| 3,338,799
|
| 3,220,905
|
Verscend Holding Corp.
Senior Secured 2021 Term Loan B, 1 mo. USD Term SOFR + 4.00%, 9.43%, 8/27/2025 (a)
|
|
| 45,521,175
|
| 45,590,367
|
VT Topco, Inc.
Senior Secured 2023 Term Loan B, 3 mo. USD Term SOFR + 4.25%, 9.66%, 8/9/2030 (a)
|
|
| 3,526,040
|
| 3,532,299
|
|
|
|
|
| 298,946,920
|
COMMERCIAL SERVICES & SUPPLIES — 3.3%
|
|
|
|
|
|
Aramark Services, Inc.
Senior Secured 2023 Term Loan B6, 1 mo. USD Term SOFR + 2.50%, 7.93%, 6/22/2030 (a)
|
|
| 508,122
|
| 508,440
|
Asurion LLC:
|
|
|
|
|
|
Senior Secured 2020 Term Loan B8, 3 mo. USD Term SOFR + 3.25%, 8.65%, 12/23/2026 (a)
|
|
| 41,511,110
|
| 40,732,777
|
Senior Secured 2021 Second Lien Term Loan B4, 1 mo. USD Term SOFR + 5.25%, 10.68%, 1/20/2029 (a)
|
|
| 40,410,690
|
| 35,994,206
|
Security Description
|
|
| Principal
Amount
|
| Value
|
Senior Secured 2022 Term Loan B10, 1 mo. USD Term SOFR + 4.00%, 9.32%, 8/19/2028 (a)
|
|
| $2,120,330
|
| $2,060,027
|
Belron Finance U.S. LLC
Senior Secured 2023 Term Loan, 3 mo. USD Term SOFR + 2.75%, 8.16%, 4/18/2029 (a)
|
|
| 7,595,592
|
| 7,613,404
|
Covanta Holding Corp.:
|
|
|
|
|
|
Senior Secured 2021 Term Loan B, 1 mo. USD Term SOFR + 2.50%, 7.82%, 11/30/2028 (a)
|
|
| 918,495
|
| 914,555
|
Senior Secured 2021 Term Loan C, 1 mo. USD Term SOFR + 2.50%, 7.82%, 11/30/2028 (a)
|
|
| 69,849
|
| 69,549
|
Senior Secured 2023 Term Loan B, 1 mo. USD Term SOFR + 3.00%, 8.33%, 11/30/2028 (a)
|
|
| 2,906,977
|
| 2,903,953
|
Senior Secured 2023 Term Loan C, 8.33%, 11/30/2028 (a)
|
|
| 218,023
|
| 217,797
|
Garda World Security Corp.
Senior Secured Term Loan, 3 mo. USD Term SOFR + 4.25%, 9.75%, 10/30/2026 (a)
|
|
| 1,000,000
|
| 1,000,985
|
McGraw-Hill Global Education Holdings LLC
Senior Secured 2021 Term Loan, 1 mo. USD Term SOFR + 4.75%, 10.18%, 7/28/2028 (a)
|
|
| 13,110,231
|
| 12,890,372
|
Prime Security Services Borrower LLC
Senior Secured 2021 Term Loan, 1 mo. USD Term SOFR + 2.75%, 8.19%, 9/23/2026 (a)
|
|
| 30,125,953
|
| 30,115,710
|
Thevelia U.S. LLC
Senior Secured USD Term Loan B, 3 mo. USD Term SOFR + 4.75%, 10.29%, 6/18/2029 (a)
|
|
| 10,217,949
|
| 10,245,639
|
|
|
|
|
| 145,267,414
|
COMMUNICATIONS EQUIPMENT — 0.3%
|
|
|
|
|
|
CommScope, Inc.
Senior Secured 2019 Term Loan B, 1 mo. USD Term SOFR + 3.25%, 8.57%, 4/6/2026 (a)
|
|
| 8,713,356
|
| 7,977,077
|
See accompanying notes to Schedule of
Investments.
29
SPDR BLACKSTONE SENIOR LOAN ETF
SCHEDULE OF INVESTMENTS (continued)
September 30, 2023 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
Zayo Group Holdings, Inc.
Senior Secured USD Term Loan, 1 mo. USD Term SOFR + 3.00%, 8.43%, 3/9/2027 (a)
|
|
| $8,538,560
|
| $6,997,777
|
|
|
|
|
| 14,974,854
|
COMPUTERS — 0.9%
|
|
|
|
|
|
Magenta Buyer LLC
Senior Secured 2021 USD 1st Lien Term Loan, 3 mo. USD Term SOFR + 5.00%, 10.63%, 7/27/2028 (a)
|
|
| 16,313,503
|
| 12,221,506
|
Vision Solutions, Inc.
Senior Secured 2021 Incremental Term Loan, 3 mo. USD Term SOFR + 4.00%, 9.61%, 4/24/2028 (a)
|
|
| 25,568,774
|
| 24,846,967
|
|
|
|
|
| 37,068,473
|
CONSTRUCTION & ENGINEERING — 0.3%
|
|
|
|
|
|
Brown Group Holding LLC
Senior Secured Term Loan B, 1 mo. USD Term SOFR + 2.75%, 8.07%, 6/7/2028 (a)
|
|
| 6,953,773
|
| 6,904,506
|
KKR Apple Bidco LLC
Senior Secured 2022 Incremental Term Loan, 1 mo. USD Term SOFR + 4.00%, 9.32%, 9/22/2028 (a)
|
|
| 6,594,050
|
| 6,596,786
|
|
|
|
|
| 13,501,292
|
CONSTRUCTION MATERIALS — 0.4%
|
|
|
|
|
|
Quikrete Holdings, Inc.
Senior Secured 2016 1st Lien Term Loan, 1 mo. USD Term SOFR + 2.63%, 8.06%, 2/1/2027 (a)
|
|
| 19,010,387
|
| 19,007,155
|
CONTAINERS & PACKAGING — 1.5%
|
|
|
|
|
|
Berlin Packaging LLC
Senior Secured 2021 Term Loan B5, 3 mo. USD SOFR + 3.75%, 9.40%, 3/11/2028 (a)
|
|
| 4,500,000
|
| 4,459,028
|
Berry Global, Inc.
Senior Secured 2021 Term Loan Z, 3 mo. USD Term SOFR + 1.75%, 7.29%, 7/1/2026 (a)
|
|
| 6,992,119
|
| 6,999,845
|
Security Description
|
|
| Principal
Amount
|
| Value
|
Clydesdale Acquisition Holdings, Inc.
Senior Secured Term Loan B, 1 mo. USD Term SOFR + 4.18%, 9.59%, 4/13/2029 (a)
|
|
| $45,494,040
|
| $44,940,605
|
LABL, Inc.
Senior Secured 2021 USD 1st Lien Term Loan, 1 mo. USD Term SOFR + 5.00%, 10.32%, 10/29/2028 (a)
|
|
| 4,089,594
|
| 4,082,192
|
Proampac PG Borrower LLC
Senior Secured 2023 Term Loan, 11/3/2028 (b)
|
|
| 6,200,037
|
| 6,179,887
|
|
|
|
|
| 66,661,557
|
COSMETICS & TOILETRIES — 1.5%
|
|
|
|
|
|
Solis IV BV
Senior Secured USD Term Loan B1, 3 mo. USD Term SOFR + 3.50%, 8.89%, 2/26/2029 (a)
|
|
| 26,068,757
|
| 25,449,624
|
Sunshine Luxembourg VII Sarl
Senior Secured 2021 Term Loan B3, 3 mo. USD Term SOFR + 3.75%, 9.24%, 10/1/2026 (a)
|
|
| 40,327,743
|
| 40,311,007
|
|
|
|
|
| 65,760,631
|
DISTRIBUTION/WHOLESALE — 0.8%
|
|
|
|
|
|
Fastlane Parent Co., Inc.
Senior Secured 2023 Term Loan B, 9/4/2028 (b)
|
|
| 6,237,368
|
| 6,178,893
|
Windsor Holdings III LLC
Senior Secured USD Term Loan B, 1 mo. USD Term SOFR + 4.50%, 9.83%, 8/1/2030 (a)
|
|
| 30,520,932
|
| 30,482,781
|
|
|
|
|
| 36,661,674
|
DISTRIBUTORS — 0.4%
|
|
|
|
|
|
American Builders & Contractors Supply Co., Inc.
Senior Secured 2019 Term Loan, 1 mo. USD Term SOFR + 2.00%, 7.32%, 1/15/2027 (a)
|
|
| 8,221,943
|
| 8,223,340
|
American Tire Distributors Holdings, Inc.
Senior Secured 2021 Term Loan B, 3 mo. USD Term SOFR + 6.25%, 11.81%, 10/20/2028 (a)
|
|
| 10,845,774
|
| 9,531,266
|
|
|
|
|
| 17,754,606
|
See accompanying notes to Schedule of
Investments.
30
SPDR BLACKSTONE SENIOR LOAN ETF
SCHEDULE OF INVESTMENTS (continued)
September 30, 2023 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
DIVERSIFIED CONSUMER SERVICES — 0.3%
|
|
|
|
|
|
Ascend Learning LLC
Senior Secured 2021 Term Loan, 1 mo. USD Term SOFR + 3.50%, 8.92%, 12/11/2028 (a)
|
|
| $10,920,585
|
| $10,443,683
|
Bright Horizons Family Solutions LLC
Senior Secured 2021 Term Loan B, 1 mo. USD Term SOFR + 2.25%, 7.68%, 11/24/2028 (a)
|
|
| 4,162,645
|
| 4,154,840
|
|
|
|
|
| 14,598,523
|
DIVERSIFIED TELECOMMUNICATION SERVICES — 0.9%
|
|
|
|
|
|
Altice France SA
Senior Secured 2023 USD Term Loan B14, 3 mo. USD Term SOFR + 5.50%, 10.81%, 8/15/2028 (a)
|
|
| 39,130,746
|
| 35,535,609
|
CCI Buyer, Inc.
Senior Secured Term Loan, 3 mo. USD Term SOFR + 4.00%, 9.40%, 12/17/2027 (a)
|
|
| 570,740
|
| 564,202
|
Ciena Corp.
Senior Secured 2023 Term Loan B, 1 mo. USD Term SOFR + 2.50%, 7.82%, 1/18/2030 (a)
|
|
| 1,994,988
|
| 2,002,050
|
|
|
|
|
| 38,101,861
|
ELECTRICAL EQUIPMENT — 0.1%
|
|
|
|
|
|
Energizer Holdings, Inc.
Senior Secured 2020 Term Loan, 1 mo. USD Term SOFR + 2.25%, 7.69%, 12/22/2027 (a)
|
|
| 4,007,833
|
| 4,004,827
|
ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS — 0.7%
|
|
|
|
|
|
II-VI, Inc.
Senior Secured 2022 Term Loan B, 1 mo. USD Term SOFR + 2.75%, 8.18%, 7/2/2029 (a)
|
|
| 28,163,933
|
| 28,124,363
|
ENTERTAINMENT — 2.9%
|
|
|
|
|
|
AP Gaming I LLC
Senior Secured 2022 Term Loan B, 1 mo. USD Term SOFR + 4.00%, 9.30%, 2/15/2029 (a)
|
|
| 2,344,750
|
| 2,341,455
|
Security Description
|
|
| Principal
Amount
|
| Value
|
Bally's Corp.
Senior Secured 2021 Term Loan B, 3 mo. USD Term SOFR + 3.25%, 8.84%, 10/2/2028 (a)
|
|
| $5,611,288
|
| $5,511,491
|
Crown Finance U.S., Inc.
Senior Secured 2023 Exit Term Loan, 14.38%, 7/31/2028 (a)
|
|
| 22,887,300
|
| 23,423,778
|
Delta 2 (LUX) Sarl
Senior Secured Term Loan B, 1 mo. USD Term SOFR + 3.00%, 8.32%, 1/15/2030 (a)
|
|
| 8,213,403
|
| 8,222,643
|
Fertitta Entertainment LLC
Senior Secured 2022 Term Loan B, 1 mo. USD Term SOFR + 4.00%, 9.32%, 1/27/2029 (a)
|
|
| 41,380,537
|
| 41,033,562
|
GVC Holdings Ltd.:
|
|
|
|
|
|
Senior Secured 2021 USD Term Loan B4, 3 mo. USD SOFR + 2.50%, 7.99%, 3/29/2027 (a)
|
|
| 1,572,001
|
| 1,571,860
|
Senior Secured 2022 USD Term Loan B2, 3 mo. USD Term SOFR + 3.50%, 8.99%, 10/31/2029 (a)
|
|
| 6,867,032
|
| 6,869,195
|
NASCAR Holdings LLC
Senior Secured Term Loan B, 1 mo. USD Term SOFR + 2.50%, 7.93%, 10/19/2026 (a)
|
|
| 1,572,217
|
| 1,576,745
|
UFC Holdings LLC
Senior Secured 2021 Term Loan B, 3 mo. USD Term SOFR + 2.75%, 8.37%, 4/29/2026 (a)
|
|
| 37,492,993
|
| 37,495,055
|
|
|
|
|
| 128,045,784
|
ENVIRONMENTAL CONTROL — 0.1%
|
|
|
|
|
|
GFL Environmental, Inc.
Senior Secured 2023 First Lien Term Loan, 5/31/2027 (b)
|
|
| 2,616,755
|
| 2,617,985
|
FINANCIAL SERVICES — 3.3%
|
|
|
|
|
|
Advisor Group, Inc.
Senior Secured 2023 Term Loan B, 3 mo. USD Term SOFR + 4.50%, 9.82%, 8/17/2028 (a)
|
|
| 18,938,872
|
| 18,952,224
|
Apex Group Treasury LLC
Senior Secured USD Term Loan, 3 mo. USD Term SOFR + 3.75%, 9.38%, 7/27/2028 (a)
|
|
| 494,949
|
| 491,547
|
See accompanying notes to Schedule of
Investments.
31
SPDR BLACKSTONE SENIOR LOAN ETF
SCHEDULE OF INVESTMENTS (continued)
September 30, 2023 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
Camelot U.S. Acquisition LLC
Senior Secured 2020 Incremental Term Loan B, 1 mo. USD Term SOFR + 3.00%, 8.43%, 10/30/2026 (a)
|
|
| $2,085,022
|
| $2,084,157
|
Citadel Securities LP
Senior Secured 2023 Term Loan B, 1 mo. USD Term SOFR + 2.50%, 7.82%, 7/29/2030 (a)
|
|
| 34,625,690
|
| 34,601,452
|
Deerfield Dakota Holding LLC
Senior Secured 2020 USD Term Loan B, 3 mo. USD Term SOFR + 3.75%, 9.14%, 4/9/2027 (a)
|
|
| 18,360,201
|
| 17,943,333
|
DirecTV Financing LLC
Senior Secured Term Loan, 1 mo. USD Term SOFR + 5.00%, 10.43%, 8/2/2027 (a)
|
|
| 42,514,081
|
| 41,646,156
|
Edelman Financial Center LLC
Senior Secured 2021 Term Loan B, 1 mo. USD Term SOFR + 3.50%, 8.82%, 4/7/2028 (a)
|
|
| 9,474,967
|
| 9,390,876
|
Focus Financial Partners LLC
Senior Secured 2022 Term Loan B5, 1 mo. USD Term SOFR + 3.25%, 8.57%, 6/30/2028 (a)
|
|
| 16,069,760
|
| 16,048,548
|
NFP Corp.
Senior Secured 2020 Term Loan, 1 mo. USD Term SOFR + 3.25%, 8.68%, 2/16/2027 (a)
|
|
| 3,720,210
|
| 3,680,013
|
|
|
|
|
| 144,838,306
|
FOOD PRODUCTS — 0.3%
|
|
|
|
|
|
Froneri International Ltd.
Senior Secured 2020 USD Term Loan, 1 mo. USD Term SOFR + 2.25%, 7.67%, 1/29/2027 (a)
|
|
| 11,973,436
|
| 11,907,403
|
FOOD-MISC/DIVERSIFIED — 0.0% (c)
|
|
|
|
|
|
Skopima Merger Sub, Inc.
Senior Secured Term Loan B, 1 mo. USD Term SOFR + 4.00%, 9.43%, 5/12/2028 (a)
|
|
| 574,269
|
| 560,363
|
Security Description
|
|
| Principal
Amount
|
| Value
|
GAMING & ENTERTAINMENT — 0.0% (c)
|
|
|
|
|
|
PCI Gaming Authority
Senior Secured Term Loan, 1 mo. USD Term SOFR + 2.50%, 7.93%, 5/29/2026 (a)
|
|
| $1,000,000
|
| $1,000,565
|
GROUND TRANSPORTATION — 0.5%
|
|
|
|
|
|
Avis Budget Car Rental LLC
Senior Secured 2020 Term Loan B, 1 mo. USD Term SOFR + 1.75%, 7.07%, 8/6/2027 (a)
|
|
| 2,984,496
|
| 2,971,976
|
Genesee & Wyoming, Inc.
Senior Secured Term Loan, 3 mo. USD Term SOFR + 2.00%, 7.49%, 12/30/2026 (a)
|
|
| 17,658,980
|
| 17,659,862
|
Kenan Advantage Group, Inc.
Senior Secured 2021 Term Loan B1, 3 mo. USD Term SOFR + 3.75%, 9.48%, 3/24/2026 (a)
|
|
| 250,052
|
| 249,757
|
|
|
|
|
| 20,881,595
|
HEALTH CARE EQUIPMENT & SUPPLIES — 2.0%
|
|
|
|
|
|
Bausch & Lomb Corp.
Senior Secured Term Loan, 3 mo. USD Term SOFR + 3.25%, 8.76%, 5/10/2027 (a)
|
|
| 40,371,706
|
| 39,317,601
|
Carestream Health, Inc.
Senior Secured 2022 Term Loan, 3 mo. USD Term SOFR + 7.50%, 12.99%, 9/30/2027 (a)
|
|
| 4,713,866
|
| 3,755,631
|
Gainwell Acquisition Corp.
Senior Secured Term Loan B, 3 mo. USD Term SOFR + 4.00%, 9.49%, 10/1/2027 (a)
|
|
| 45,530,089
|
| 44,534,118
|
|
|
|
|
| 87,607,350
|
HEALTH CARE PROVIDERS & SERVICES — 4.7%
|
|
|
|
|
|
Avantor Funding, Inc.
Senior Secured 2021 Term Loan B5, 1 mo. USD Term SOFR + 2.25%, 7.67%, 11/8/2027 (a)
|
|
| 3,867,417
|
| 3,871,594
|
DaVita, Inc.
Senior Secured 2020 Term Loan B, 1 mo. USD Term SOFR + 1.75%, 7.18%, 8/12/2026 (a)
|
|
| 25,148,103
|
| 24,878,012
|
See accompanying notes to Schedule of
Investments.
32
SPDR BLACKSTONE SENIOR LOAN ETF
SCHEDULE OF INVESTMENTS (continued)
September 30, 2023 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
Envision Healthcare Corp.:
|
|
|
|
|
|
Senior Secured 2022 First Out Term Loan, 3 mo. USD Term SOFR + 7.88%, 13.27%, 3/31/2027 (a) (d)
|
|
| $16,938,100
|
| $20,198,684
|
Senior Secured 2022 Second Out Term Loan, 3 mo. USD Term SOFR + 4.25%, 9.49%, 3/31/2027 (a)
|
|
| 7,618,580
|
| 1,776,082
|
GHX Ultimate Parent Corp.
Senior Secured 2023 Term Loan, 3 mo. USD Term SOFR + 4.75%, 10.12%, 6/30/2027 (a)
|
|
| 5,409,350
|
| 5,416,112
|
Horizon Therapeutics USA, Inc.
Senior Secured 2021 Term Loan B2, 1 mo. USD Term SOFR + 1.75%, 7.18%, 3/15/2028 (a)
|
|
| 8,697,474
|
| 8,700,432
|
ICON Luxembourg Sarl
Senior Secured LUX Term Loan, 3 mo. USD Term SOFR + 2.25%, 7.65%, 7/3/2028 (a)
|
|
| 19,670,736
|
| 19,687,456
|
Medline Borrower LP
Senior Secured USD Term Loan B, 1 mo. USD Term SOFR + 3.25%, 8.68%, 10/23/2028 (a)
|
|
| 64,723,007
|
| 64,623,657
|
PRA Health Sciences, Inc.
Senior Secured US Term Loan, 3 mo. USD Term SOFR + 2.25%, 7.65%, 7/3/2028 (a)
|
|
| 4,933,401
|
| 4,937,594
|
RegionalCare Hospital Partners Holdings, Inc.
Senior Secured 2018 Term Loan B, 3 mo. USD Term SOFR + 3.75%, 9.38%, 11/16/2025 (a)
|
|
| 44,205,185
|
| 44,182,198
|
Sotera Health Holdings LLC
Senior Secured 2021 Term Loan, 1 mo. USD Term SOFR + 2.75%, 8.18%, 12/11/2026 (a)
|
|
| 5,694,013
|
| 5,660,560
|
|
|
|
|
| 203,932,381
|
HOME FURNISHINGS — 1.0%
|
|
|
|
|
|
AI Aqua Merger Sub, Inc.
Senior Secured 2021 1st Lien Term Loan B, 1 mo. USD Term SOFR + 3.75%, 9.08%, 7/31/2028 (a)
|
|
| 44,883,927
|
| 44,501,741
|
Security Description
|
|
| Principal
Amount
|
| Value
|
HOTELS, RESTAURANTS & LEISURE — 3.0%
|
|
|
|
|
|
Alterra Mountain Co.
Senior Secured 2021 Series B-2 Consenting Term Loan, 1 mo. USD Term SOFR + 3.50%, 8.93%, 8/17/2028 (a)
|
|
| $3,729,488
|
| $3,731,055
|
Caesars Entertainment Corp.
Senior Secured Term Loan B, 1 mo. USD Term SOFR + 3.25%, 8.67%, 2/6/2030 (a)
|
|
| 29,553,191
|
| 29,599,442
|
PENN Entertainment, Inc.
Senior Secured 2022 Term Loan B, 1 mo. USD Term SOFR + 2.75%, 8.17%, 5/3/2029 (a)
|
|
| 6,279,644
|
| 6,279,644
|
Peraton Corp.
Senior Secured Term Loan B, 1 mo. USD Term SOFR + 3.75%, 9.17%, 2/1/2028 (a)
|
|
| 73,413,574
|
| 73,352,641
|
Scientific Games International, Inc.
Senior Secured 2022 USD Term Loan, 1 mo. USD Term SOFR + 3.00%, 8.43%, 4/14/2029 (a)
|
|
| 9,648,821
|
| 9,660,882
|
Wyndham Hotels & Resorts, Inc.
Senior Secured 2023 Term Loan B, 1 mo. USD Term SOFR + 2.25%, 7.67%, 5/24/2030 (a)
|
|
| 8,683,197
|
| 8,700,259
|
|
|
|
|
| 131,323,923
|
HOUSEHOLD PRODUCTS — 0.0% (c)
|
|
|
|
|
|
Reynolds Consumer Products LLC
Senior Secured Term Loan, 1 mo. USD Term SOFR + 1.75%, 7.17%, 2/4/2027 (a)
|
|
| 1,080,041
|
| 1,079,847
|
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS — 0.4%
|
|
|
|
|
|
Calpine Corp.
Senior Secured 2020 Term Loan B5, 1 mo. USD Term SOFR + 2.50%, 7.93%, 12/16/2027 (a)
|
|
| 7,142,763
|
| 7,148,263
|
See accompanying notes to Schedule of
Investments.
33
SPDR BLACKSTONE SENIOR LOAN ETF
SCHEDULE OF INVESTMENTS (continued)
September 30, 2023 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
Vistra Operations Co. LLC
Senior Secured 1st Lien Term Loan B3, 1 mo. USD Term SOFR + 1.75%, 7.18%, 12/31/2025 (a)
|
|
| $10,588,333
|
| $10,596,592
|
|
|
|
|
| 17,744,855
|
INDUSTRIAL CONGLOMERATES — 0.1%
|
|
|
|
|
|
Magenta Buyer LLC
Senior Secured 2021 USD 2nd Lien Term Loan, 3 mo. USD LIBOR + 8.25%, 13.88%, 7/27/2029 (a)
|
|
| 4,192,840
|
| 2,023,045
|
INSURANCE — 5.9%
|
|
|
|
|
|
Acrisure LLC:
|
|
|
|
|
|
Senior Secured 2020 Term Loan B, 1 mo. USD LIBOR + 3.50%, 8.93%, 2/15/2027 (a)
|
|
| 43,436,746
|
| 42,917,025
|
Senior Secured 2021 First Lien Term Loan B, 1 mo. USD LIBOR + 4.25%, 9.68%, 2/15/2027 (a)
|
|
| 1,378,188
|
| 1,377,761
|
Senior Secured 2021 Incremental Term Loan B, 1 mo. USD LIBOR + 3.75%, 9.18%, 2/15/2027 (a)
|
|
| 987,406
|
| 975,887
|
Alliant Holdings Intermediate LLC:
|
|
|
|
|
|
Senior Secured 2021 Term Loan B4, 1 mo. USD LIBOR + 3.50%, 8.93%, 11/5/2027 (a)
|
|
| 6,365,214
|
| 6,359,580
|
Senior Secured 2023 Term Loan B5, 1 mo. USD Term SOFR + 3.50%, 8.83%, 11/5/2027 (a)
|
|
| 1,951,720
|
| 1,950,803
|
AmWINS Group, Inc.:
|
|
|
|
|
|
Senior Secured 2021 Term Loan B, 1 mo. USD Term SOFR + 2.25%, 7.57%, 2/19/2028 (a)
|
|
| 28,363,976
|
| 28,228,680
|
Senior Secured 2023 Incremental Term Loan B, 1 mo. USD Term SOFR + 2.75%, 8.18%, 2/19/2028 (a)
|
|
| 154,772
|
| 154,870
|
AssuredPartners, Inc.:
|
|
|
|
|
|
Senior Secured, 2/12/2027
|
|
| 5,000,000
|
| 5,000,000
|
Senior Secured 2020 Term Loan B, 1 mo. USD Term SOFR + 3.50%, 8.82%, 2/12/2027 (a)
|
|
| 3,463,428
|
| 3,458,839
|
Security Description
|
|
| Principal
Amount
|
| Value
|
Broadstreet Partners, Inc.:
|
|
|
|
|
|
Senior Secured 2020 Term Loan B, 1 mo. USD Term SOFR + 3.00%, 8.43%, 1/27/2027 (a)
|
|
| $2,273,507
|
| $2,266,140
|
Senior Secured 2023 Term Loan B3, 1 mo. USD Term SOFR + 4.00%, 9.32%, 1/27/2029 (a)
|
|
| 11,406,895
|
| 11,422,352
|
HUB International Ltd.:
|
|
|
|
|
|
Senior Secured 2022 Term Loan B, 3 mo. USD Term SOFR + 4.00%, 9.40%, 11/10/2029 (a)
|
|
| 4,270,208
|
| 4,282,336
|
Senior Secured 2023 Term Loan B, 3 mo. USD Term SOFR + 4.25%, 9.58%, 6/20/2030 (a)
|
|
| 60,135,154
|
| 60,366,975
|
Hyperion Insurance Group Ltd.
Senior Secured 2021 Term Loan B, 1 mo. USD LIBOR + 3.25%, 8.69%, 11/12/2027 (a)
|
|
| 34,196,415
|
| 34,136,571
|
Ryan Specialty Group LLC
Senior Secured Term Loan, 1 mo. USD Term SOFR + 3.00%, 8.42%, 9/1/2027 (a)
|
|
| 2,212,127
|
| 2,216,673
|
Sedgwick Claims Management Services, Inc.
Senior Secured 2023 Term Loan B, 1 mo. USD Term SOFR + 3.75%, 9.07%, 2/24/2028 (a)
|
|
| 44,636,866
|
| 44,606,290
|
USI, Inc.:
|
|
|
|
|
|
Senior Secured 2023 Acquisition Term Loan, 9/14/2030 (b)
|
|
| 5,073,446
|
| 5,067,104
|
Senior Secured 2023 Refi Term Loan, 9/14/2030 (b)
|
|
| 2,536,723
|
| 2,533,552
|
|
|
|
|
| 257,321,438
|
INTERNET & CATALOG RETAIL — 0.2%
|
|
|
|
|
|
White Cap Buyer LLC
Senior Secured Term Loan B, 1 mo. USD Term SOFR + 3.75%, 9.07%, 10/19/2027 (a)
|
|
| 6,488,599
|
| 6,484,154
|
INTERNET & TELECOM — 0.9%
|
|
|
|
|
|
Go Daddy Operating Co. LLC
Senior Secured 2022 Term Loan B5, 1 mo. USD Term SOFR + 2.50%, 7.82%, 11/9/2029 (a)
|
|
| 7,667,742
|
| 7,684,113
|
See accompanying notes to Schedule of
Investments.
34
SPDR BLACKSTONE SENIOR LOAN ETF
SCHEDULE OF INVESTMENTS (continued)
September 30, 2023 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
Uber Technologies, Inc.
Senior Secured 2023 Term Loan B, 3 mo. USD Term SOFR + 2.75%, 8.16%, 3/3/2030 (a)
|
|
| $30,811,972
|
| $30,836,468
|
|
|
|
|
| 38,520,581
|
INTERNET SECURITY — 0.1%
|
|
|
|
|
|
Proofpoint, Inc.
Senior Secured 2nd Lien Term Loan, 1 mo. USD Term SOFR + 6.25%, 11.68%, 8/31/2029 (a)
|
|
| 3,678,427
|
| 3,696,249
|
INVESTMENT COMPANIES — 0.7%
|
|
|
|
|
|
AL GCX Holdings LLC
Senior Secured Term Loan B, 3 mo. USD Term SOFR + 3.50%, 8.93%, 5/17/2029 (a)
|
|
| 2,963,990
|
| 2,972,629
|
Energize HoldCo LLC
Senior Secured 2021 1st Lien Term Loan, 1 mo. USD Term SOFR + 3.75%, 9.18%, 12/8/2028 (a)
|
|
| 5,496,466
|
| 5,443,233
|
GIP Pilot Acquisition Partners LP
Senior Secured Term Loan, 9/18/2030 (b)
|
|
| 3,740,000
|
| 3,735,325
|
LSF11 Trinity Bidco, Inc.
Senior Secured Term Loan, 1 mo. USD Term SOFR + 4.50%, 9.83%, 6/14/2030 (a) (b)
|
|
| 9,820,158
|
| 9,820,158
|
Whitewater Whistler Holdings LLC
Senior Secured, 2/15/2030 (a)
|
|
| 9,074,651
|
| 9,074,651
|
|
|
|
|
| 31,045,996
|
IT SERVICES — 0.1%
|
|
|
|
|
|
Access CIG LLC
Senior Secured 2023 Term Loan, 1 mo. USD Term SOFR + 5.00%, 10.32%, 8/18/2028 (a)
|
|
| 5,771,520
|
| 5,706,591
|
Ahead DB Holdings LLC
Senior Secured 2021 Term Loan B, 3 mo. USD Term SOFR + 3.75%, 9.15%, 10/18/2027 (a)
|
|
| 175,294
|
| 174,352
|
|
|
|
|
| 5,880,943
|
Security Description
|
|
| Principal
Amount
|
| Value
|
LEISURE INDUSTRY — 0.2%
|
|
|
|
|
|
Carnival Corp.:
|
|
|
|
|
|
Senior Secured 2021 Incremental Term Loan B, 1 mo. USD Term SOFR + 3.25%, 8.68%, 10/18/2028 (a)
|
|
| $3,520,170
|
| $3,508,430
|
Senior Secured 2023 Term Loan B, 1 mo. USD Term SOFR + 3.00%, 8.33%, 8/8/2027 (a)
|
|
| 6,666,667
|
| 6,661,100
|
|
|
|
|
| 10,169,530
|
LEISURE TIME — 0.2%
|
|
|
|
|
|
Recess Holdings, Inc.
Senior Secured 2023 Term Loan, 3 mo. USD Term SOFR + 4.00%, 9.38%, 3/17/2027 (a)
|
|
| 9,956,250
|
| 9,956,300
|
LEISURE&REC/GAMES — 0.2%
|
|
|
|
|
|
Scientific Games Holdings LP
Senior Secured 2022 USD Term Loan B, 3 mo. USD Term SOFR + 3.50%, 8.77%, 4/4/2029 (a)
|
|
| 9,022,922
|
| 8,983,447
|
LIFE SCIENCES TOOLS & SERVICES — 0.8%
|
|
|
|
|
|
Parexel International Corp.
Senior Secured 2021 1st Lien Term Loan, 1 mo. USD Term SOFR + 3.25%, 8.68%, 11/15/2028 (a)
|
|
| 33,687,119
|
| 33,491,902
|
MACHINERY — 0.9%
|
|
|
|
|
|
Chart Industries, Inc.
Senior Secured 2023 Term Loan, 1.00%, 3/20/2030 (a)
|
|
| 5,614,113
|
| 5,621,130
|
Clark Equipment Co.
Senior Secured 2022 Term Loan B, 3 mo. USD Term SOFR + 2.50%, 7.99%, 4/20/2029 (a)
|
|
| 2,086,379
|
| 2,089,634
|
Engineered Machinery Holdings, Inc.
Senior Secured 2021 USD Incremental Term Loan, 3 mo. USD Term SOFR + 3.50%, 9.15%, 5/19/2028 (a)
|
|
| 5,703,940
|
| 5,681,523
|
Madison IAQ LLC
Senior Secured Term Loan, 1 mo. USD Term SOFR + 3.25%, 8.69%, 6/21/2028 (a)
|
|
| 26,227,097
|
| 25,845,231
|
See accompanying notes to Schedule of
Investments.
35
SPDR BLACKSTONE SENIOR LOAN ETF
SCHEDULE OF INVESTMENTS (continued)
September 30, 2023 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
Pro Mach Group, Inc.
Senior Secured 2021 Term Loan B, 1 mo. USD Term SOFR + 4.00%, 9.43%, 8/31/2028 (a)
|
|
| $1,804,919
|
| $1,808,764
|
|
|
|
|
| 41,046,282
|
MACHINERY-CONSTRUCTION & MINING — 1.0%
|
|
|
|
|
|
Brookfield WEC Holdings, Inc.
Senior Secured 2021 Term Loan, 1 mo. USD Term SOFR + 2.75%, 8.18%, 8/1/2025 (a)
|
|
| 35,308,790
|
| 35,329,269
|
Clear Channel Outdoor Holdings, Inc.
Senior Secured Term Loan B, 3 mo. USD Term SOFR + 3.50%, 8.85%, 8/21/2026 (a)
|
|
| 8,911,252
|
| 8,675,461
|
|
|
|
|
| 44,004,730
|
MEDIA — 3.7%
|
|
|
|
|
|
Charter Communications Operating LLC
Senior Secured 2019 Term Loan B2, 3 mo. USD Term SOFR + 1.75%, 7.10%, 2/1/2027 (a)
|
|
| 9,069,675
|
| 9,070,265
|
CSC Holdings LLC
Senior Secured 2019 Term Loan B5, 1 mo. USD Term SOFR + 2.50%, 7.95%, 4/15/2027 (a)
|
|
| 17,956,928
|
| 16,318,358
|
iHeartCommunications, Inc.
Senior Secured 2020 Term Loan, 1 mo. USD Term SOFR + 3.00%, 8.43%, 5/1/2026 (a)
|
|
| 12,885,735
|
| 11,622,998
|
MH Sub I LLC:
|
|
|
|
|
|
Senior Secured 2021 2nd Lien Term Loan, 1 mo. USD Term SOFR + 6.25%, 11.57%, 2/23/2029 (a)
|
|
| 5,294,933
|
| 4,721,598
|
Senior Secured 2023 Term Loan, 1 mo. USD Term SOFR + 4.25%, 9.57%, 5/3/2028 (a)
|
|
| 36,885,955
|
| 35,747,654
|
Nexstar Broadcasting, Inc.
Senior Secured 2019 Term Loan B4, 1 mo. USD Term SOFR + 2.50%, 7.93%, 9/18/2026 (a)
|
|
| 9,593,549
|
| 9,593,549
|
Radiate Holdco LLC
Senior Secured 2021 Term Loan B, 1 mo. USD Term SOFR + 3.25%, 8.68%, 9/25/2026 (a)
|
|
| 20,187,285
|
| 16,588,498
|
Security Description
|
|
| Principal
Amount
|
| Value
|
UPC Financing Partnership
Senior Secured 2021 USD Term Loan AX, 1 mo. USD Term SOFR + 2.93%, 8.37%, 1/31/2029 (a)
|
|
| $1,000,000
|
| $988,230
|
Vertical U.S. Newco, Inc.
Senior Secured Term Loan B, 6 mo. USD Term SOFR + 3.50%, 9.38%, 7/30/2027 (a)
|
|
| 45,751,078
|
| 45,705,326
|
Virgin Media Bristol LLC
Senior Secured USD Term Loan N, 1 mo. USD Term SOFR + 2.50%, 7.95%, 1/31/2028 (a)
|
|
| 10,984,072
|
| 10,699,200
|
|
|
|
|
| 161,055,676
|
MISCELLANEOUS MANUFACTUR — 0.1%
|
|
|
|
|
|
Gates Global LLC
Senior Secured 2021 Term Loan B3, 1 mo. USD Term SOFR + 2.50%, 7.82%, 3/31/2027 (a)
|
|
| 3,140,516
|
| 3,136,983
|
LTI Holdings, Inc.
Senior Secured 2018 2nd Lien Term Loan, 1 mo. USD Term SOFR + 6.75%, 12.07%, 9/6/2026 (a)
|
|
| 1,026,869
|
| 936,284
|
|
|
|
|
| 4,073,267
|
OIL, GAS & CONSUMABLE FUELS — 0.7%
|
|
|
|
|
|
ITT Holdings LLC
Senior Secured 2021 Term Loan, 1 mo. USD Term SOFR + 2.75%, 8.07%, 7/10/2028 (a)
|
|
| 3,960,007
|
| 3,962,066
|
Pacific Gas & Electric Co.
Senior Secured 2020 Term Loan B1, 1 mo. USD Term SOFR + 3.00%, 8.43%, 6/23/2025 (a)
|
|
| 26,483,342
|
| 26,544,122
|
|
|
|
|
| 30,506,188
|
PASSENGER AIRLINES — 3.6%
|
|
|
|
|
|
Air Canada
Senior Secured 2021 Term Loan B, 3 mo. USD Term SOFR + 3.50%, 9.13%, 8/11/2028 (a)
|
|
| 11,686,960
|
| 11,711,327
|
American Airlines, Inc.
Senior Secured 2021 Term Loan, 3 mo. USD Term SOFR + 4.75%, 10.34%, 4/20/2028 (a)
|
|
| 41,282,849
|
| 42,601,424
|
See accompanying notes to Schedule of
Investments.
36
SPDR BLACKSTONE SENIOR LOAN ETF
SCHEDULE OF INVESTMENTS (continued)
September 30, 2023 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
Mileage Plus Holdings LLC
Senior Secured 2020 Term Loan B, 3 mo. USD Term SOFR + 5.25%, 10.80%, 6/21/2027 (a)
|
|
| $35,859,440
|
| $37,310,134
|
SkyMiles IP Ltd.
Senior Secured 2020 Skymiles Term Loan B, 3 mo. USD Term SOFR + 3.75%, 9.08%, 10/20/2027 (a)
|
|
| 8,997,103
|
| 9,326,082
|
United Airlines, Inc.
Senior Secured 2021 Term Loan B, 1 mo. USD Term SOFR + 3.75%, 9.18%, 4/21/2028 (a)
|
|
| 56,743,014
|
| 56,920,335
|
|
|
|
|
| 157,869,302
|
PHARMACEUTICALS — 2.2%
|
|
|
|
|
|
Amneal Pharmaceuticals LLC
Senior Secured 2018 Term Loan B, 1 mo. USD Term SOFR + 3.50%, 8.82%, 5/4/2025 (a)
|
|
| 7,570,624
|
| 7,449,494
|
Elanco Animal Health, Inc.
Senior Secured Term Loan B, 1 mo. USD Term SOFR + 1.75%, 7.18%, 8/1/2027 (a)
|
|
| 36,019,678
|
| 35,376,727
|
Grifols Worldwide Operations USA, Inc.
Senior Secured USD 2019 Term Loan B, 1 mo. USD Term SOFR + 2.00%, 7.42%, 11/15/2027 (a)
|
|
| 8,264,865
|
| 8,136,760
|
Jazz Financing Lux Sarl
Senior Secured USD Term Loan, 1 mo. USD Term SOFR + 3.50%, 8.93%, 5/5/2028 (a)
|
|
| 32,798,989
|
| 32,810,468
|
Organon & Co.
Senior Secured USD Term Loan, 1 mo. USD Term SOFR + 3.00%, 8.44%, 6/2/2028 (a)
|
|
| 12,084,477
|
| 12,081,455
|
|
|
|
|
| 95,854,904
|
PIPELINES — 2.0%
|
|
|
|
|
|
Buckeye Partners LP
Senior Secured 2021 Term Loan B, 1 mo. USD Term SOFR + 2.25%, 7.67%, 11/1/2026 (a)
|
|
| 4,385,370
|
| 4,387,387
|
CQP Holdco LP
Senior Secured 2021 Term Loan B, 1 mo. USD Term SOFR + 3.50%, 8.82%, 6/5/2028 (a)
|
|
| 33,965,374
|
| 34,038,739
|
Security Description
|
|
| Principal
Amount
|
| Value
|
Freeport LNG Investments LLLP
Senior Secured Term Loan B, 3 mo. USD LIBOR + 3.50%, 9.09%, 12/21/2028 (a)
|
|
| $19,739,932
|
| $19,585,763
|
Oryx Midstream Services Permian Basin LLC
Senior Secured 2023 Incremental Term Loan, 1 mo. USD Term SOFR + 3.25%, 8.69%, 10/5/2028 (a)
|
|
| 9,407,475
|
| 9,416,318
|
TransMontaigne Operating Co. LP
Senior Secured Term Loan B, 1 mo. USD Term SOFR + 3.50%, 8.93%, 11/17/2028 (a)
|
|
| 9,250,785
|
| 9,230,155
|
Whitewater Whistler Holdings LLC
Senior Secured Term Loan B, 3 mo. USD Term SOFR + 3.25%, 8.64%, 2/15/2030 (a)
|
|
| 9,074,651
|
| 9,102,057
|
|
|
|
|
| 85,760,419
|
PROFESSIONAL SERVICES — 0.1%
|
|
|
|
|
|
Proofpoint, Inc.
Senior Secured 1st Lien Term Loan, 1 mo. USD Term SOFR + 3.25%, 8.68%, 8/31/2028 (a)
|
|
| 904,830
|
| 898,483
|
Trans Union LLC
Senior Secured 2021 Term Loan B6, 1 mo. USD Term SOFR + 2.25%, 7.68%, 12/1/2028 (a)
|
|
| 2,332,343
|
| 2,334,104
|
|
|
|
|
| 3,232,587
|
RETAIL — 1.3%
|
|
|
|
|
|
1011778 BC ULC
Senior Secured 2023 Term Loan B5, 1 mo. USD Term SOFR + 2.25%, 7.57%, 9/23/2030 (a)
|
|
| 49,289,577
|
| 49,161,424
|
BCPE Grill Parent, Inc.
Senior Secured 2023 Term Loan B, 9/20/2030 (b)
|
|
| 5,450,000
|
| 5,345,551
|
|
|
|
|
| 54,506,975
|
RETAIL-BUILDING PRODUCTS — 1.3%
|
|
|
|
|
|
Kodiak Building Partners, Inc.
Senior Secured Term Loan B, 3 mo. USD Term SOFR + 3.25%, 8.90%, 3/12/2028 (a)
|
|
| 6,232,482
|
| 6,232,482
|
See accompanying notes to Schedule of
Investments.
37
SPDR BLACKSTONE SENIOR LOAN ETF
SCHEDULE OF INVESTMENTS (continued)
September 30, 2023 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
LBM Acquisition LLC
Senior Secured Term Loan B, 1 mo. USD Term SOFR + 3.75%, 9.07%, 12/17/2027 (a)
|
|
| $51,515,147
|
| $50,402,935
|
|
|
|
|
| 56,635,417
|
RETAIL-RESTAURANTS — 1.6%
|
|
|
|
|
|
Hilton Domestic Operating Co., Inc.
Senior Secured 2019 Term Loan B2, 1 mo. USD Term SOFR + 1.75%, 7.17%, 6/22/2026 (a)
|
|
| 17,736,926
|
| 17,751,115
|
IRB Holding Corp.
Senior Secured 2022 Term Loan B, 1 mo. USD Term SOFR + 3.00%, 8.32%, 12/15/2027 (a)
|
|
| 52,102,334
|
| 51,974,423
|
|
|
|
|
| 69,725,538
|
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT — 1.1%
|
|
|
|
|
|
Entegris, Inc.
Senior Secured 2023 Term Loan B, 1 mo. USD Term SOFR + 2.50%, 7.83%, 7/6/2029 (a)
|
|
| 10,808,427
|
| 10,820,803
|
MKS Instruments, Inc.:
|
|
|
|
|
|
Senior Secured 2022 USD Term Loan B, 1 mo. USD Term SOFR + 2.75%, 8.07%, 8/17/2029 (a)
|
|
| 2,408,095
|
| 2,410,888
|
Senior Secured 2022 USD Term Loan B, 1 mo. USD Term SOFR + 2.75%, 8.17%, 8/17/2029 (a)
|
|
| 34,522,525
|
| 34,522,525
|
|
|
|
|
| 47,754,216
|
SOFTWARE — 15.3%
|
|
|
|
|
|
Applied Systems, Inc.
Senior Secured 2022 Extended 1st Lien Term Loan, 3 mo. USD Term SOFR + 4.50%, 9.89%, 9/18/2026 (a)
|
|
| 2,068,674
|
| 2,077,342
|
Apttus Corp.
Senior Secured 2021 Term Loan, 1 mo. USD Term SOFR + 4.00%, 9.32%, 5/8/2028 (a)
|
|
| 4,159,823
|
| 4,116,061
|
Athenahealth Group, Inc.
Senior Secured 2022 Term Loan B, 1 mo. USD Term SOFR + 3.25%, 8.57%, 2/15/2029 (a)
|
|
| 78,548,169
|
| 77,296,504
|
Security Description
|
|
| Principal
Amount
|
| Value
|
Banff Merger Sub, Inc.:
|
|
|
|
|
|
Senior Secured 2021 USD 2nd Lien Term Loan, 1 mo. USD Term SOFR + 5.50%, 10.93%, 2/27/2026 (a)
|
|
| $14,197,744
|
| $14,185,108
|
Senior Secured 2021 USD Term Loan, 1 mo. USD Term SOFR + 3.75%, 9.18%, 10/2/2025 (a)
|
|
| 38,405,434
|
| 38,410,618
|
Camelot U.S. Acquisition LLC
Senior Secured Term Loan B, 1 mo. USD Term SOFR + 3.00%, 8.43%, 10/30/2026 (a)
|
|
| 4,278,111
|
| 4,280,784
|
CDK Global, Inc.
Senior Secured 2022 USD Term Loan B, 3 mo. USD Term SOFR + 4.25%, 9.64%, 7/6/2029 (a)
|
|
| 44,601,828
|
| 44,665,385
|
Cloud Software Group, Inc.
Senior Secured 2022 USD Term Loan B, 3 mo. USD Term SOFR + 4.50%, 9.99%, 3/30/2029 (a)
|
|
| 66,019,981
|
| 63,595,728
|
Cloudera, Inc.
Senior Secured 2021 Second Lien Term Loan, 1 mo. USD Term SOFR + 6.00%, 11.42%, 10/8/2029 (a)
|
|
| 5,883,443
|
| 5,608,892
|
ConnectWise LLC
Senior Secured 2021 Term Loan B, 1 mo. USD Term SOFR + 3.50%, 8.93%, 9/29/2028 (a)
|
|
| 3,992,940
|
| 3,938,037
|
DCert Buyer, Inc.:
|
|
|
|
|
|
Senior Secured 2019 Term Loan B, 1 mo. USD Term SOFR + 4.00%, 9.32%, 10/16/2026 (a)
|
|
| 19,962,225
|
| 19,869,301
|
Senior Secured 2021 2nd Lien Term Loan, 1 mo. USD Term SOFR + 7.00%, 12.32%, 2/19/2029 (a)
|
|
| 7,467,875
|
| 7,007,369
|
Dun & Bradstreet Corp.
Senior Secured 2023 Term Loan B, 1 mo. USD Term SOFR + 2.75%, 8.17%, 2/6/2026 (a)
|
|
| 24,854,501
|
| 24,846,672
|
ECI Macola Max Holding LLC
Senior Secured 2020 Term Loan, 3 mo. USD Term SOFR + 3.75%, 9.15%, 11/9/2027 (a)
|
|
| 406,069
|
| 405,815
|
See accompanying notes to Schedule of
Investments.
38
SPDR BLACKSTONE SENIOR LOAN ETF
SCHEDULE OF INVESTMENTS (continued)
September 30, 2023 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
Epicor Software Corp.
Senior Secured 2020 Term Loan, 1 mo. USD Term SOFR + 3.25%, 8.68%, 7/30/2027 (a)
|
|
| $7,745,001
|
| $7,744,188
|
Fortra LLC
Senior Secured 2021 Term Loan, 3 mo. USD Term SOFR + 4.00%, 9.47%, 11/19/2026 (a)
|
|
| 10,874,458
|
| 10,448,560
|
Gen Digital, Inc.
Senior Secured 2022 Term Loan B, 1 mo. USD Term SOFR + 2.00%, 7.42%, 9/12/2029 (a)
|
|
| 32,695,954
|
| 32,632,688
|
Idera, Inc.
Senior Secured 2021 Term Loan, 1 mo. USD Term SOFR + 3.75%, 9.27%, 3/2/2028 (a)
|
|
| 512,954
|
| 509,748
|
I-Logic Technologies Bidco Ltd.
Senior Secured 2021 USD Term Loan B, 3 mo. USD Term SOFR + 4.00%, 9.54%, 2/16/2028 (a)
|
|
| 763,435
|
| 755,037
|
Imperva, Inc.
Senior Secured 1st Lien Term Loan, 3 mo. USD Term SOFR + 4.00%, 9.63%, 1/12/2026 (a)
|
|
| 20,650,788
|
| 20,715,322
|
Informatica LLC
Senior Secured 2021 USD Term Loan B, 1 mo. USD Term SOFR + 2.75%, 8.07%, 10/27/2028 (a)
|
|
| 7,153,637
|
| 7,145,839
|
McAfee LLC
Senior Secured 2022 USD Term Loan B, 1 mo. USD Term SOFR + 3.75%, 9.18%, 3/1/2029 (a)
|
|
| 63,625,230
|
| 62,253,152
|
MeridianLink, Inc.
Senior Secured 2021 Term Loan B, 6 mo. USD LIBOR + 3.00%, 8.73%, 11/10/2028 (a)
|
|
| 6,031,706
|
| 6,027,182
|
Mitchell International, Inc.
Senior Secured 2021 Term Loan B, 1 mo. USD Term SOFR + 3.75%, 9.18%, 10/15/2028 (a)
|
|
| 36,163,570
|
| 35,631,604
|
Navicure, Inc.
Senior Secured 2019 Term Loan B, 1 mo. USD Term SOFR + 4.00%, 9.43%, 10/22/2026 (a)
|
|
| 9,722,300
|
| 9,745,099
|
Security Description
|
|
| Principal
Amount
|
| Value
|
Open Text Corp.
Senior Secured 2023 Term Loan B, 1 mo. USD Term SOFR + 2.75%, 8.07%, 1/31/2030 (a)
|
|
| $49,216,973
|
| $49,281,447
|
Project Ruby Ultimate Parent Corp.
Senior Secured 2021 Term Loan, 1 mo. USD Term SOFR + 3.25%, 8.68%, 3/10/2028 (a)
|
|
| 3,709,683
|
| 3,669,099
|
Quartz Acquireco LLC
Senior Secured Term Loan B, 8.82%, 6/28/2030 (a)
|
|
| 6,766,304
|
| 6,766,304
|
Quest Software U.S. Holdings, Inc.
Senior Secured 2022 Term Loan, 3 mo. USD Term SOFR + 4.25%, 9.77%, 2/1/2029 (a)
|
|
| 32,665,808
|
| 27,340,628
|
RealPage, Inc.
Senior Secured 1st Lien Term Loan, 1 mo. USD Term SOFR + 3.00%, 8.43%, 4/24/2028 (a)
|
|
| 40,593,964
|
| 40,179,500
|
Rocket Software, Inc.
Senior Secured 2018 Term Loan, 1 mo. USD Term SOFR + 4.25%, 9.68%, 11/28/2025 (a)
|
|
| 660,822
|
| 661,443
|
SolarWinds Holdings, Inc.
Senior Secured 2022 Term Loan B, 1 mo. USD Term SOFR + 3.75%, 9.07%, 2/5/2027 (a)
|
|
| 9,055,608
|
| 9,077,205
|
Sophia LP
Senior Secured 2021 Term Loan B, 1 mo. USD Term SOFR + 3.50%, 8.82%, 10/7/2027 (a)
|
|
| 492,456
|
| 491,944
|
SS&C Technologies, Inc.:
|
|
|
|
|
|
Senior Secured 2022 Term Loan B6, 1 mo. USD Term SOFR + 2.25%, 7.67%, 3/22/2029 (a)
|
|
| 1,015,836
|
| 1,016,872
|
Senior Secured 2022 Term Loan B7, 1 mo. USD Term SOFR + 2.25%, 7.67%, 3/22/2029 (a)
|
|
| 1,598,580
|
| 1,600,211
|
Surf Holdings LLC
Senior Secured USD Term Loan, 1 mo. USD Term SOFR + 3.50%, 8.94%, 3/5/2027 (a)
|
|
| 5,951,935
|
| 5,946,608
|
Ultimate Software Group, Inc.
Senior Secured 2021 Term Loan, 3 mo. USD Term SOFR + 3.25%, 8.62%, 5/4/2026 (a)
|
|
| 16,590,455
|
| 16,562,168
|
See accompanying notes to Schedule of
Investments.
39
SPDR BLACKSTONE SENIOR LOAN ETF
SCHEDULE OF INVESTMENTS (continued)
September 30, 2023 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
Vision Solutions, Inc.
Senior Secured 2021 2nd Lien Term Loan, 3 mo. USD Term SOFR + 7.25%, 12.86%, 4/23/2029 (a)
|
|
| $1,233,333
|
| $1,117,160
|
|
|
|
|
| 667,622,624
|
SPECIALTY RETAIL — 2.0%
|
|
|
|
|
|
Michaels Cos., Inc.
Senior Secured 2021 Term Loan B, 3 mo. USD Term SOFR + 4.25%, 9.90%, 4/15/2028 (a)
|
|
| 14,104,705
|
| 12,912,153
|
Petco Health & Wellness Co., Inc.
Senior Secured 2021 Term Loan B, 3 mo. USD Term SOFR + 3.25%, 9.02%, 3/3/2028 (a)
|
|
| 3,948,518
|
| 3,910,888
|
PetSmart, Inc.
Senior Secured 2021 Term Loan B, 1 mo. USD Term SOFR + 3.75%, 9.17%, 2/11/2028 (a)
|
|
| 23,209,251
|
| 23,173,973
|
Pilot Travel Centers LLC
Senior Secured 2021 Term Loan B, 1 mo. USD Term SOFR + 2.00%, 7.42%, 8/4/2028 (a)
|
|
| 25,476,441
|
| 25,476,441
|
SRS Distribution, Inc.
Senior Secured 2021 Term Loan B, 1 mo. USD Term SOFR + 3.50%, 8.93%, 6/2/2028 (a)
|
|
| 14,321,688
|
| 14,198,593
|
Whatabrands LLC
Senior Secured 2021 Term Loan B, 1 mo. USD Term SOFR + 3.00%, 8.43%, 8/3/2028 (a)
|
|
| 5,664,070
|
| 5,649,910
|
|
|
|
|
| 85,321,958
|
STEEL-PRODUCERS — 0.3%
|
|
|
|
|
|
Arsenal AIC Parent LLC
Senior Secured Term Loan, 3 mo. USD Term SOFR + 4.50%, 9.88%, 8/18/2030 (a)
|
|
| 11,481,156
|
| 11,473,981
|
Phoenix Services International LLC
Senior Secured 2023 Exit PIK Term Loan, 11.42%, 6/30/2028 (a)
|
|
| 2,394,222
|
| 2,235,604
|
|
|
|
|
| 13,709,585
|
Security Description
|
|
| Principal
Amount
|
| Value
|
TELECOMMUNICATION EQUIP — 0.2%
|
|
|
|
|
|
Delta TopCo, Inc.
Senior Secured 2020 Term Loan B, 6 mo. USD Term SOFR + 3.75%, 9.07%, 12/1/2027 (a)
|
|
| $8,788,254
|
| $8,717,640
|
TRADING COMPANIES & DISTRIBUTORS — 0.2%
|
|
|
|
|
|
Foundation Building Materials Holding Co. LLC
Senior Secured 2021 Term Loan, 3 mo. USD Term SOFR + 3.25%, 8.88%, 1/31/2028 (a)
|
|
| 6,982,143
|
| 6,922,306
|
TRANSPORT-SERVICES — 0.3%
|
|
|
|
|
|
Endure Digital, Inc.
Senior Secured Term Loan, 3 mo. USD LIBOR + 3.50%, 8.79%, 2/10/2028 (a)
|
|
| 14,145,679
|
| 13,780,297
|
TOTAL SENIOR FLOATING RATE LOANS
(Cost $3,943,108,622)
|
|
|
|
| 3,986,245,500
|
|
|
| Shares
|
|
COMMON STOCKS — 0.7%
|
|
|
|
|
AEROSPACE & DEFENSE — 0.1%
|
|
|
|
|
Flame Newco LLC (e) (f)
|
|
| 230,071
| 2,376,633
|
ENTERTAINMENT — 0.6%
|
|
|
|
|
Cineworld Group PLC (e) (f)
|
|
| 1,063,146
| 25,449,589
|
HEALTH CARE EQUIPMENT & SUPPLIES — 0.0% (c)
|
|
|
|
|
Carestream Health, Inc. (e) (f)
|
|
| 396,286
| 1,248,301
|
TOTAL COMMON STOCKS
(Cost $31,676,784)
|
|
|
| 29,074,523
|
|
| Principal
Amount
|
|
CORPORATE BONDS & NOTES — 5.1%
|
|
|
|
ADVERTISING — 0.0% (c)
|
|
|
|
Advantage Sales & Marketing, Inc.
6.50%, 11/15/2028 (g)
|
| $1,405,000
| 1,209,466
|
AEROSPACE & DEFENSE — 0.1%
|
|
|
|
Howmet Aerospace, Inc.
3.00%, 1/15/2029
|
| 700,000
| 592,781
|
See accompanying notes to Schedule of
Investments.
40
SPDR BLACKSTONE SENIOR LOAN ETF
SCHEDULE OF INVESTMENTS (continued)
September 30, 2023 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
Rolls-Royce PLC
5.75%, 10/15/2027 (g)
|
|
| $1,316,000
|
| $1,268,019
|
TransDigm, Inc.:
|
|
|
|
|
|
4.63%, 1/15/2029
|
|
| 2,085,000
|
| 1,818,453
|
4.88%, 5/1/2029
|
|
| 2,400,000
|
| 2,108,256
|
|
|
|
|
| 5,787,509
|
AIRLINES — 0.0% (c)
|
|
|
|
|
|
Air Canada
3.88%, 8/15/2026 (g)
|
|
| 1,800,000
|
| 1,634,220
|
AUTO MANUFACTURERS — 0.2%
|
|
|
|
|
|
Allison Transmission, Inc.:
|
|
|
|
|
|
3.75%, 1/30/2031 (g)
|
|
| 1,220,000
|
| 986,285
|
4.75%, 10/1/2027 (g)
|
|
| 200,000
|
| 184,476
|
5.88%, 6/1/2029 (g)
|
|
| 3,000,000
|
| 2,827,230
|
Ford Motor Co.:
|
|
|
|
|
|
4.75%, 1/15/2043
|
|
| 500,000
|
| 364,800
|
5.29%, 12/8/2046
|
|
| 140,000
|
| 106,401
|
Ford Motor Credit Co. LLC
2.30%, 2/10/2025
|
|
| 3,260,000
|
| 3,057,782
|
|
|
|
|
| 7,526,974
|
BANKS — 0.1%
|
|
|
|
|
|
Intesa Sanpaolo SpA
5.71%, 1/15/2026 (g)
|
|
| 2,119,000
|
| 2,021,759
|
BEVERAGES — 0.0% (c)
|
|
|
|
|
|
Primo Water Holdings, Inc.
4.38%, 4/30/2029 (g)
|
|
| 300,000
|
| 256,428
|
CHEMICALS — 0.1%
|
|
|
|
|
|
Chemours Co.
5.75%, 11/15/2028 (g)
|
|
| 2,050,000
|
| 1,778,683
|
Valvoline, Inc.
3.63%, 6/15/2031 (g)
|
|
| 1,500,000
|
| 1,164,195
|
|
|
|
|
| 2,942,878
|
COAL — 0.0% (c)
|
|
|
|
|
|
SunCoke Energy, Inc.
4.88%, 6/30/2029 (g)
|
|
| 1,250,000
|
| 1,060,075
|
COMMERCIAL SERVICES — 0.2%
|
|
|
|
|
|
Adtalem Global Education, Inc.
5.50%, 3/1/2028 (g)
|
|
| 425,000
|
| 391,535
|
Gartner, Inc.
3.63%, 6/15/2029 (g)
|
|
| 2,340,000
|
| 2,005,076
|
GTCR W-2 Merger Sub LLC
7.50%, 1/15/2031 (g) (h)
|
|
| 805,000
|
| 806,014
|
MPH Acquisition Holdings LLC
5.50%, 9/1/2028 (g)
|
|
| 1,500,000
|
| 1,275,810
|
Sabre Global, Inc.
11.25%, 12/15/2027 (g)
|
|
| 315,000
|
| 288,984
|
Service Corp. International
4.00%, 5/15/2031
|
|
| 410,000
|
| 337,299
|
Security Description
|
|
| Principal
Amount
|
| Value
|
TriNet Group, Inc.
3.50%, 3/1/2029 (g)
|
|
| $1,120,000
|
| $943,242
|
Upbound Group, Inc.
6.38%, 2/15/2029 (g)
|
|
| 700,000
|
| 621,600
|
WW International, Inc.
4.50%, 4/15/2029 (g)
|
|
| 1,310,000
|
| 909,402
|
ZipRecruiter, Inc.
5.00%, 1/15/2030 (g)
|
|
| 519,000
|
| 410,254
|
|
|
|
|
| 7,989,216
|
COMPUTERS — 0.1%
|
|
|
|
|
|
KBR, Inc.
4.75%, 9/30/2028 (g)
|
|
| 560,000
|
| 498,562
|
NCR Corp.:
|
|
|
|
|
|
5.00%, 10/1/2028 (g)
|
|
| 300,000
|
| 268,590
|
5.13%, 4/15/2029 (g)
|
|
| 792,000
|
| 698,449
|
Science Applications International Corp.
4.88%, 4/1/2028 (g)
|
|
| 610,000
|
| 553,904
|
Seagate HDD Cayman
4.13%, 1/15/2031
|
|
| 550,000
|
| 437,102
|
|
|
|
|
| 2,456,607
|
CONSTRUCTION MATERIALS — 0.1%
|
|
|
|
|
|
Builders FirstSource, Inc.:
|
|
|
|
|
|
4.25%, 2/1/2032 (g)
|
|
| 1,861,000
|
| 1,526,467
|
6.38%, 6/15/2032 (g)
|
|
| 435,000
|
| 409,344
|
Griffon Corp.
5.75%, 3/1/2028
|
|
| 550,000
|
| 498,960
|
JELD-WEN, Inc.
4.88%, 12/15/2027 (g)
|
|
| 1,115,000
|
| 983,541
|
Louisiana-Pacific Corp.
3.63%, 3/15/2029 (g)
|
|
| 920,000
|
| 774,520
|
Summit Materials LLC/Summit Materials Finance Corp.
5.25%, 1/15/2029 (g)
|
|
| 600,000
|
| 547,074
|
|
|
|
|
| 4,739,906
|
DIVERSIFIED FINANCIAL SERVICES — 0.4%
|
|
|
|
|
|
Burford Capital Global Finance LLC:
|
|
|
|
|
|
6.25%, 4/15/2028 (g)
|
|
| 260,000
|
| 240,404
|
6.88%, 4/15/2030 (g)
|
|
| 500,000
|
| 459,145
|
Enova International, Inc.
8.50%, 9/15/2025 (g)
|
|
| 600,000
|
| 586,476
|
goeasy Ltd.
4.38%, 5/1/2026 (g)
|
|
| 1,000,000
|
| 914,740
|
Nationstar Mortgage Holdings, Inc.:
|
|
|
|
|
|
5.50%, 8/15/2028 (g)
|
|
| 1,970,000
|
| 1,737,914
|
5.75%, 11/15/2031 (g)
|
|
| 1,900,000
|
| 1,574,948
|
6.00%, 1/15/2027 (g)
|
|
| 465,000
|
| 439,653
|
Navient Corp.:
|
|
|
|
|
|
4.88%, 3/15/2028
|
|
| 3,250,000
|
| 2,762,500
|
9.38%, 7/25/2030
|
|
| 457,000
|
| 450,483
|
See accompanying notes to Schedule of
Investments.
41
SPDR BLACKSTONE SENIOR LOAN ETF
SCHEDULE OF INVESTMENTS (continued)
September 30, 2023 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
Series A, 5.63%, 8/1/2033
|
|
| $760,000
|
| $555,712
|
OneMain Finance Corp.:
|
|
|
|
|
|
3.50%, 1/15/2027
|
|
| 1,564,000
|
| 1,339,284
|
6.63%, 1/15/2028
|
|
| 300,000
|
| 276,360
|
7.13%, 3/15/2026
|
|
| 1,697,000
|
| 1,659,395
|
PennyMac Financial Services, Inc.:
|
|
|
|
|
|
5.38%, 10/15/2025 (g)
|
|
| 2,230,000
|
| 2,121,689
|
5.75%, 9/15/2031 (g)
|
|
| 2,040,000
|
| 1,664,987
|
PHH Mortgage Corp.
7.88%, 3/15/2026 (g)
|
|
| 500,000
|
| 447,545
|
SLM Corp.:
|
|
|
|
|
|
3.13%, 11/2/2026
|
|
| 600,000
|
| 521,670
|
4.20%, 10/29/2025
|
|
| 800,000
|
| 748,368
|
Synchrony Financial
7.25%, 2/2/2033
|
|
| 800,000
|
| 704,720
|
|
|
|
|
| 19,205,993
|
ELECTRIC — 0.1%
|
|
|
|
|
|
PG&E Corp.:
|
|
|
|
|
|
5.00%, 7/1/2028
|
|
| 701,000
|
| 634,763
|
5.25%, 7/1/2030
|
|
| 300,000
|
| 261,135
|
Vistra Operations Co. LLC:
|
|
|
|
|
|
4.38%, 5/1/2029 (g)
|
|
| 2,650,000
|
| 2,278,152
|
5.00%, 7/31/2027 (g)
|
|
| 855,000
|
| 786,198
|
5.63%, 2/15/2027 (g)
|
|
| 120,000
|
| 113,684
|
7.75%, 10/15/2031 (g)
|
|
| 755,000
|
| 743,803
|
|
|
|
|
| 4,817,735
|
ELECTRICAL COMPONENTS & EQUIPMENT — 0.0% (c)
|
|
|
|
|
|
Energizer Holdings, Inc.:
|
|
|
|
|
|
4.75%, 6/15/2028 (g)
|
|
| 300,000
|
| 259,818
|
6.50%, 12/31/2027 (g)
|
|
| 1,530,000
|
| 1,441,122
|
|
|
|
|
| 1,700,940
|
ENGINEERING & CONSTRUCTION — 0.1%
|
|
|
|
|
|
Brundage-Bone Concrete Pumping Holdings, Inc.
6.00%, 2/1/2026 (g)
|
|
| 840,000
|
| 801,091
|
TopBuild Corp.:
|
|
|
|
|
|
3.63%, 3/15/2029 (g)
|
|
| 1,020,000
|
| 869,193
|
4.13%, 2/15/2032 (g)
|
|
| 200,000
|
| 162,712
|
|
|
|
|
| 1,832,996
|
ENTERTAINMENT — 0.1%
|
|
|
|
|
|
Churchill Downs, Inc.
4.75%, 1/15/2028 (g)
|
|
| 1,600,000
|
| 1,443,568
|
Cinemark USA, Inc.
5.25%, 7/15/2028 (g)
|
|
| 2,250,000
|
| 1,997,685
|
Light & Wonder International, Inc.
7.50%, 9/1/2031 (g)
|
|
| 217,000
|
| 214,530
|
Security Description
|
|
| Principal
Amount
|
| Value
|
Wynn Resorts Finance LLC/Wynn Resorts Capital Corp.
5.13%, 10/1/2029 (g)
|
|
| $965,000
|
| $843,584
|
|
|
|
|
| 4,499,367
|
ENVIRONMENTAL CONTROL — 0.0% (c)
|
|
|
|
|
|
GFL Environmental, Inc.
4.00%, 8/1/2028 (g)
|
|
| 265,000
|
| 231,549
|
FOOD — 0.1%
|
|
|
|
|
|
Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC
4.63%, 1/15/2027 (g)
|
|
| 1,680,000
|
| 1,587,180
|
Lamb Weston Holdings, Inc.
4.13%, 1/31/2030 (g)
|
|
| 1,602,000
|
| 1,369,486
|
Post Holdings, Inc.
4.63%, 4/15/2030 (g)
|
|
| 2,100,000
|
| 1,798,713
|
|
|
|
|
| 4,755,379
|
HEALTH CARE SERVICES — 0.6%
|
|
|
|
|
|
CHS/Community Health Systems, Inc.
5.63%, 3/15/2027 (g)
|
|
| 100,000
|
| 85,660
|
DaVita, Inc.:
|
|
|
|
|
|
3.75%, 2/15/2031 (g)
|
|
| 1,000,000
|
| 761,030
|
4.63%, 6/1/2030 (g)
|
|
| 1,510,000
|
| 1,239,136
|
Encompass Health Corp.:
|
|
|
|
|
|
4.50%, 2/1/2028
|
|
| 1,320,000
|
| 1,204,038
|
4.63%, 4/1/2031
|
|
| 190,000
|
| 161,532
|
LifePoint Health, Inc.
9.88%, 8/15/2030 (g)
|
|
| 12,262,000
|
| 11,881,265
|
RegionalCare Hospital Partners Holdings, Inc./LifePoint Health, Inc.
9.75%, 12/1/2026 (g)
|
|
| 9,123,000
|
| 8,851,135
|
Tenet Healthcare Corp.
6.88%, 11/15/2031
|
|
| 523,000
|
| 501,573
|
|
|
|
|
| 24,685,369
|
HOME BUILDERS — 0.3%
|
|
|
|
|
|
Beazer Homes USA, Inc.:
|
|
|
|
|
|
5.88%, 10/15/2027
|
|
| 710,000
|
| 648,784
|
7.25%, 10/15/2029
|
|
| 1,740,000
|
| 1,629,736
|
Century Communities, Inc.
3.88%, 8/15/2029 (g)
|
|
| 1,315,000
|
| 1,086,650
|
Dream Finders Homes, Inc.
8.25%, 8/15/2028 (g)
|
|
| 750,000
|
| 754,800
|
Forestar Group, Inc.
3.85%, 5/15/2026 (g)
|
|
| 1,850,000
|
| 1,685,757
|
Installed Building Products, Inc.
5.75%, 2/1/2028 (g)
|
|
| 550,000
|
| 506,396
|
KB Home
4.00%, 6/15/2031
|
|
| 200,000
|
| 162,424
|
See accompanying notes to Schedule of
Investments.
42
SPDR BLACKSTONE SENIOR LOAN ETF
SCHEDULE OF INVESTMENTS (continued)
September 30, 2023 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
LGI Homes, Inc.
4.00%, 7/15/2029 (g)
|
|
| $780,000
|
| $621,964
|
M/I Homes, Inc.:
|
|
|
|
|
|
3.95%, 2/15/2030
|
|
| 793,000
|
| 647,318
|
4.95%, 2/1/2028
|
|
| 1,090,000
|
| 982,711
|
Meritage Homes Corp.
3.88%, 4/15/2029 (g)
|
|
| 1,320,000
|
| 1,134,804
|
Taylor Morrison Communities, Inc.:
|
|
|
|
|
|
5.13%, 8/1/2030 (g)
|
|
| 1,700,000
|
| 1,485,426
|
5.75%, 1/15/2028 (g)
|
|
| 1,810,000
|
| 1,685,146
|
Tri Pointe Homes, Inc.
5.70%, 6/15/2028
|
|
| 1,540,000
|
| 1,423,592
|
|
|
|
|
| 14,455,508
|
HOME FURNISHINGS — 0.1%
|
|
|
|
|
|
Tempur Sealy International, Inc.:
|
|
|
|
|
|
3.88%, 10/15/2031 (g)
|
|
| 2,760,000
|
| 2,127,297
|
4.00%, 4/15/2029 (g)
|
|
| 1,370,000
|
| 1,143,690
|
|
|
|
|
| 3,270,987
|
HOUSEHOLD PRODUCTS & WARES — 0.0% (c)
|
|
|
|
|
|
Central Garden & Pet Co.
4.13%, 4/30/2031 (g)
|
|
| 333,000
|
| 273,060
|
INSURANCE — 0.0% (c)
|
|
|
|
|
|
MGIC Investment Corp.
5.25%, 8/15/2028
|
|
| 965,000
|
| 898,608
|
NMI Holdings, Inc.
7.38%, 6/1/2025 (g)
|
|
| 890,000
|
| 887,953
|
|
|
|
|
| 1,786,561
|
INTERNET — 0.1%
|
|
|
|
|
|
Cogent Communications Group, Inc.:
|
|
|
|
|
|
3.50%, 5/1/2026 (g)
|
|
| 322,000
|
| 297,161
|
7.00%, 6/15/2027 (g)
|
|
| 1,820,000
|
| 1,735,297
|
Rakuten Group, Inc.
10.25%, 11/30/2024 (g)
|
|
| 200,000
|
| 201,014
|
|
|
|
|
| 2,233,472
|
INVESTMENT COMPANY SECURITY — 0.0% (c)
|
|
|
|
|
|
Compass Group Diversified Holdings LLC
5.25%, 4/15/2029 (g)
|
|
| 450,000
|
| 393,449
|
IRON/STEEL — 0.0% (c)
|
|
|
|
|
|
ATI, Inc.
5.13%, 10/1/2031
|
|
| 1,000,000
|
| 862,000
|
Mineral Resources Ltd.
8.00%, 11/1/2027 (g)
|
|
| 650,000
|
| 637,644
|
|
|
|
|
| 1,499,644
|
IT SERVICES — 0.0% (c)
|
|
|
|
|
|
Seagate HDD Cayman
8.25%, 12/15/2029 (g)
|
|
| 375,000
|
| 384,600
|
Security Description
|
|
| Principal
Amount
|
| Value
|
LEISURE TIME — 0.2%
|
|
|
|
|
|
Carnival Corp.:
|
|
|
|
|
|
5.75%, 3/1/2027 (g)
|
|
| $2,010,000
|
| $1,818,126
|
6.00%, 5/1/2029 (g)
|
|
| 1,115,000
|
| 952,154
|
Royal Caribbean Cruises Ltd.:
|
|
|
|
|
|
5.38%, 7/15/2027 (g)
|
|
| 405,000
|
| 374,236
|
5.50%, 4/1/2028 (g)
|
|
| 2,260,000
|
| 2,072,804
|
7.50%, 10/15/2027
|
|
| 1,510,000
|
| 1,510,815
|
Vista Outdoor, Inc.
4.50%, 3/15/2029 (g)
|
|
| 980,000
|
| 820,123
|
|
|
|
|
| 7,548,258
|
LODGING — 0.0% (c)
|
|
|
|
|
|
Hilton Domestic Operating Co., Inc.:
|
|
|
|
|
|
3.75%, 5/1/2029 (g)
|
|
| 590,000
|
| 509,790
|
4.00%, 5/1/2031 (g)
|
|
| 500,000
|
| 419,655
|
Las Vegas Sands Corp.
3.90%, 8/8/2029
|
|
| 799,000
|
| 681,978
|
|
|
|
|
| 1,611,423
|
MACHINERY-DIVERSIFIED — 0.0% (c)
|
|
|
|
|
|
ATS Corp.
4.13%, 12/15/2028 (g)
|
|
| 508,000
|
| 449,722
|
MEDIA — 0.1%
|
|
|
|
|
|
CCO Holdings LLC/CCO Holdings Capital Corp.:
|
|
|
|
|
|
4.75%, 3/1/2030 (g)
|
|
| 600,000
|
| 504,600
|
5.00%, 2/1/2028 (g)
|
|
| 1,390,000
|
| 1,261,800
|
5.13%, 5/1/2027 (g)
|
|
| 2,380,000
|
| 2,216,685
|
iHeartCommunications, Inc.
6.38%, 5/1/2026
|
|
| 150,000
|
| 129,381
|
News Corp.
5.13%, 2/15/2032 (g)
|
|
| 75,000
|
| 65,531
|
Sirius XM Radio, Inc.
4.00%, 7/15/2028 (g)
|
|
| 300,000
|
| 256,080
|
Townsquare Media, Inc.
6.88%, 2/1/2026 (g)
|
|
| 800,000
|
| 752,352
|
Urban One, Inc.
7.38%, 2/1/2028 (g)
|
|
| 400,000
|
| 343,112
|
|
|
|
|
| 5,529,541
|
MINING — 0.1%
|
|
|
|
|
|
Arsenal AIC Parent LLC
8.00%, 10/1/2030 (g)
|
|
| 2,988,000
|
| 2,972,433
|
FMG Resources August 2006 Pty. Ltd.:
|
|
|
|
|
|
4.38%, 4/1/2031 (g)
|
|
| 2,195,000
|
| 1,796,871
|
5.88%, 4/15/2030 (g)
|
|
| 500,000
|
| 457,300
|
6.13%, 4/15/2032 (g)
|
|
| 140,000
|
| 127,887
|
Taseko Mines Ltd.
7.00%, 2/15/2026 (g)
|
|
| 880,000
|
| 824,683
|
|
|
|
|
| 6,179,174
|
See accompanying notes to Schedule of
Investments.
43
SPDR BLACKSTONE SENIOR LOAN ETF
SCHEDULE OF INVESTMENTS (continued)
September 30, 2023 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
OFFICE & BUSINESS EQUIPMENT — 0.1%
|
|
|
|
|
|
Pitney Bowes, Inc.:
|
|
|
|
|
|
6.88%, 3/15/2027 (g)
|
|
| $150,000
|
| $118,959
|
7.25%, 3/15/2029 (g)
|
|
| 550,000
|
| 400,136
|
Xerox Holdings Corp.
5.50%, 8/15/2028 (g)
|
|
| 3,010,000
|
| 2,527,858
|
|
|
|
|
| 3,046,953
|
OFFICE FURNISHINGS — 0.0% (c)
|
|
|
|
|
|
Steelcase, Inc.
5.13%, 1/18/2029
|
|
| 1,010,000
|
| 896,436
|
OIL & GAS — 0.5%
|
|
|
|
|
|
Civitas Resources, Inc.:
|
|
|
|
|
|
8.38%, 7/1/2028 (g)
|
|
| 1,095,000
|
| 1,114,042
|
8.75%, 7/1/2031 (g)
|
|
| 410,000
|
| 419,693
|
CNX Resources Corp.
6.00%, 1/15/2029 (g)
|
|
| 1,967,000
|
| 1,835,014
|
CVR Energy, Inc.
5.75%, 2/15/2028 (g)
|
|
| 1,724,000
|
| 1,560,996
|
Diamond Foreign Asset Co./Diamond Finance LLC
8.50%, 10/1/2030 (g)
|
|
| 260,000
|
| 260,039
|
Earthstone Energy Holdings LLC
9.88%, 7/15/2031 (g)
|
|
| 300,000
|
| 327,531
|
MEG Energy Corp.
5.88%, 2/1/2029 (g)
|
|
| 500,000
|
| 466,850
|
Northern Oil & Gas, Inc.:
|
|
|
|
|
|
8.13%, 3/1/2028 (g)
|
|
| 940,000
|
| 938,167
|
8.75%, 6/15/2031 (g)
|
|
| 1,115,000
|
| 1,123,931
|
Parkland Corp.:
|
|
|
|
|
|
4.50%, 10/1/2029 (g)
|
|
| 2,829,000
|
| 2,431,412
|
4.63%, 5/1/2030 (g)
|
|
| 995,000
|
| 849,282
|
PBF Holding Co. LLC/PBF Finance Corp.
7.88%, 9/15/2030 (g)
|
|
| 987,000
|
| 983,615
|
Precision Drilling Corp.
6.88%, 1/15/2029 (g)
|
|
| 200,000
|
| 189,274
|
Shelf Drilling Holdings Ltd.
9.63%, 4/15/2029 (g) (h)
|
|
| 1,000,000
|
| 989,637
|
Sunoco LP/Sunoco Finance Corp.
4.50%, 5/15/2029
|
|
| 2,980,000
|
| 2,614,354
|
Transocean, Inc.
8.75%, 2/15/2030 (g)
|
|
| 2,717,000
|
| 2,777,535
|
Valaris Ltd.
8.38%, 4/30/2030 (g)
|
|
| 1,100,000
|
| 1,100,737
|
|
|
|
|
| 19,982,109
|
OIL & GAS SERVICES — 0.1%
|
|
|
|
|
|
Archrock Partners LP/Archrock Partners Finance Corp.:
|
|
|
|
|
|
6.25%, 4/1/2028 (g)
|
|
| 2,020,000
|
| 1,899,527
|
Security Description
|
|
| Principal
Amount
|
| Value
|
6.88%, 4/1/2027 (g)
|
|
| $1,330,000
|
| $1,289,728
|
Enerflex Ltd.
9.00%, 10/15/2027 (g)
|
|
| 1,093,000
|
| 1,079,545
|
Oceaneering International, Inc.
6.00%, 2/1/2028
|
|
| 1,580,000
|
| 1,488,455
|
|
|
|
|
| 5,757,255
|
PACKAGING & CONTAINERS — 0.0% (c)
|
|
|
|
|
|
Cascades, Inc./Cascades USA, Inc.
5.38%, 1/15/2028 (g)
|
|
| 700,000
|
| 646,548
|
OI European Group BV
4.75%, 2/15/2030 (g)
|
|
| 900,000
|
| 784,890
|
|
|
|
|
| 1,431,438
|
PHARMACEUTICALS — 0.0% (c)
|
|
|
|
|
|
Herbalife Nutrition Ltd./HLF Financing, Inc.
7.88%, 9/1/2025 (g)
|
|
| 870,000
|
| 828,788
|
PIPELINES — 0.2%
|
|
|
|
|
|
Antero Midstream Partners LP/Antero Midstream Finance Corp.:
|
|
|
|
|
|
5.38%, 6/15/2029 (g)
|
|
| 1,100,000
|
| 1,007,589
|
5.75%, 3/1/2027 (g)
|
|
| 850,000
|
| 810,280
|
Delek Logistics Partners LP/Delek Logistics Finance Corp.
7.13%, 6/1/2028 (g)
|
|
| 143,000
|
| 130,925
|
Global Partners LP/GLP Finance Corp.
6.88%, 1/15/2029
|
|
| 950,000
|
| 883,452
|
Hess Midstream Operations LP:
|
|
|
|
|
|
4.25%, 2/15/2030 (g)
|
|
| 1,960,000
|
| 1,660,492
|
5.13%, 6/15/2028 (g)
|
|
| 1,300,000
|
| 1,197,118
|
5.50%, 10/15/2030 (g)
|
|
| 150,000
|
| 136,269
|
Martin Midstream Partners LP/Martin Midstream Finance Corp.
11.50%, 2/15/2028 (g)
|
|
| 350,000
|
| 356,353
|
NuStar Logistics LP
6.38%, 10/1/2030
|
|
| 1,360,000
|
| 1,288,940
|
|
|
|
|
| 7,471,418
|
REAL ESTATE — 0.1%
|
|
|
|
|
|
Cushman & Wakefield U.S. Borrower LLC
8.88%, 9/1/2031 (g)
|
|
| 465,000
|
| 448,488
|
Howard Hughes Corp.:
|
|
|
|
|
|
4.13%, 2/1/2029 (g)
|
|
| 2,600,000
|
| 2,079,064
|
4.38%, 2/1/2031 (g)
|
|
| 74,000
|
| 56,809
|
5.38%, 8/1/2028 (g)
|
|
| 1,000,000
|
| 880,950
|
Kennedy-Wilson, Inc.
4.75%, 3/1/2029
|
|
| 750,000
|
| 576,758
|
See accompanying notes to Schedule of
Investments.
44
SPDR BLACKSTONE SENIOR LOAN ETF
SCHEDULE OF INVESTMENTS (continued)
September 30, 2023 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
Realogy Group LLC/Realogy Co.-Issuer Corp.
5.75%, 1/15/2029 (g)
|
|
| $970,000
|
| $699,942
|
|
|
|
|
| 4,742,011
|
REAL ESTATE INVESTMENT TRUSTS — 0.3%
|
|
|
|
|
|
Apollo Commercial Real Estate Finance, Inc.
4.63%, 6/15/2029 (g)
|
|
| 460,000
|
| 347,498
|
Iron Mountain Information Management Services, Inc.
5.00%, 7/15/2032 (g)
|
|
| 1,820,000
|
| 1,496,113
|
Iron Mountain, Inc.:
|
|
|
|
|
|
4.88%, 9/15/2029 (g)
|
|
| 1,500,000
|
| 1,316,025
|
7.00%, 2/15/2029 (g)
|
|
| 555,000
|
| 541,036
|
Rithm Capital Corp.
6.25%, 10/15/2025 (g)
|
|
| 1,445,000
|
| 1,370,236
|
Service Properties Trust:
|
|
|
|
|
|
4.75%, 10/1/2026
|
|
| 50,000
|
| 42,931
|
4.95%, 2/15/2027
|
|
| 2,180,000
|
| 1,842,274
|
4.95%, 10/1/2029
|
|
| 540,000
|
| 408,440
|
Starwood Property Trust, Inc.:
|
|
|
|
|
|
3.63%, 7/15/2026 (g)
|
|
| 720,000
|
| 639,454
|
4.38%, 1/15/2027 (g)
|
|
| 3,890,000
|
| 3,401,999
|
|
|
|
|
| 11,406,006
|
RETAIL — 0.4%
|
|
|
|
|
|
1011778 BC ULC/New Red Finance, Inc.:
|
|
|
|
|
|
3.50%, 2/15/2029 (g)
|
|
| 330,000
|
| 282,774
|
3.88%, 1/15/2028 (g)
|
|
| 770,000
|
| 691,391
|
4.00%, 10/15/2030 (g)
|
|
| 2,060,000
|
| 1,712,025
|
4.38%, 1/15/2028 (g)
|
|
| 420,000
|
| 378,483
|
Abercrombie & Fitch Management Co.
8.75%, 7/15/2025 (g)
|
|
| 670,000
|
| 681,042
|
Asbury Automotive Group, Inc.:
|
|
|
|
|
|
4.63%, 11/15/2029 (g)
|
|
| 500,000
|
| 429,175
|
4.75%, 3/1/2030
|
|
| 1,700,000
|
| 1,445,697
|
5.00%, 2/15/2032 (g)
|
|
| 650,000
|
| 538,804
|
Bloomin' Brands, Inc./OSI Restaurant Partners LLC
5.13%, 4/15/2029 (g)
|
|
| 670,000
|
| 583,999
|
BlueLinx Holdings, Inc.
6.00%, 11/15/2029 (g)
|
|
| 700,000
|
| 617,246
|
FirstCash, Inc.
5.63%, 1/1/2030 (g)
|
|
| 2,310,000
|
| 2,074,680
|
Gap, Inc.
3.63%, 10/1/2029 (g)
|
|
| 450,000
|
| 333,283
|
Group 1 Automotive, Inc.
4.00%, 8/15/2028 (g)
|
|
| 480,000
|
| 416,184
|
Lithia Motors, Inc.:
|
|
|
|
|
|
3.88%, 6/1/2029 (g)
|
|
| 149,000
|
| 125,504
|
4.38%, 1/15/2031 (g)
|
|
| 60,000
|
| 49,586
|
Security Description
|
|
| Principal
Amount
|
| Value
|
Murphy Oil USA, Inc.:
|
|
|
|
|
|
3.75%, 2/15/2031 (g)
|
|
| $606,000
|
| $494,787
|
4.75%, 9/15/2029
|
|
| 660,000
|
| 595,030
|
Patrick Industries, Inc.
4.75%, 5/1/2029 (g)
|
|
| 1,560,000
|
| 1,300,931
|
Suburban Propane Partners LP/Suburban Energy Finance Corp.
5.00%, 6/1/2031 (g)
|
|
| 790,000
|
| 659,152
|
Superior Plus LP/Superior General Partner, Inc.
4.50%, 3/15/2029 (g)
|
|
| 1,330,000
|
| 1,157,592
|
Yum! Brands, Inc.:
|
|
|
|
|
|
3.63%, 3/15/2031
|
|
| 197,000
|
| 162,143
|
4.75%, 1/15/2030 (g)
|
|
| 840,000
|
| 754,101
|
|
|
|
|
| 15,483,609
|
SOFTWARE — 0.1%
|
|
|
|
|
|
Fair Isaac Corp.:
|
|
|
|
|
|
4.00%, 6/15/2028 (g)
|
|
| 2,390,000
|
| 2,135,680
|
5.25%, 5/15/2026 (g)
|
|
| 1,030,000
|
| 995,361
|
MicroStrategy, Inc.
6.13%, 6/15/2028 (g)
|
|
| 1,310,000
|
| 1,164,106
|
Open Text Corp.
3.88%, 12/1/2029 (g)
|
|
| 1,100,000
|
| 902,715
|
|
|
|
|
| 5,197,862
|
TELECOMMUNICATIONS — 0.1%
|
|
|
|
|
|
Consolidated Communications, Inc.
6.50%, 10/1/2028 (g)
|
|
| 800,000
|
| 624,712
|
Hughes Satellite Systems Corp.
6.63%, 8/1/2026
|
|
| 1,850,000
|
| 1,581,454
|
|
|
|
|
| 2,206,166
|
TRANSPORTATION — 0.0% (c)
|
|
|
|
|
|
Danaos Corp.
8.50%, 3/1/2028 (g)
|
|
| 610,000
|
| 617,881
|
TOTAL CORPORATE BONDS & NOTES
(Cost $233,467,397)
|
|
|
|
| 224,037,697
|
|
| Shares
|
|
REPURCHASE AGREEMENTS — 2.3%
|
|
|
|
Barclays Capital, Inc., dated 09/29/2023 (collateralized by U.S. Treasury Notes 2.875% due 11/15/2046, valued at $121,000,000); expected proceeds $123,512,431, 5.36%, 06/15/2024
(Cost $100,000,000)
|
| 100,000,000
| 100,000,000
|
See accompanying notes to Schedule of
Investments.
45
SPDR BLACKSTONE SENIOR LOAN ETF
SCHEDULE OF INVESTMENTS (continued)
September 30, 2023 (Unaudited)
Security Description
|
|
| Shares
|
| Value
|
SHORT-TERM INVESTMENT — 2.4%
|
|
|
|
|
|
State Street Institutional U.S. Government Money Market Fund, Class G Shares 5.33% (i) (j)
(Cost $105,838,639)
|
|
| 105,838,639
|
| $105,838,639
|
TOTAL INVESTMENTS — 102.0%
(Cost $4,414,091,442)
|
|
|
|
| 4,445,196,359
|
LIABILITIES IN EXCESS OF OTHER ASSETS — (2.0)%
|
|
|
|
| (88,336,905)
|
NET ASSETS — 100.0%
|
|
|
|
| $4,356,859,454
|
(a)
| Variable Rate Security - Interest rate shown is rate in effect at September 30, 2023. For securities based on a published reference rate and spread, the reference rate and spread are
indicated in the description above.
|
(b)
| Position is unsettled. Contract rate was not determined at September 30, 2023 and does not take effect until settlement date. Maturity date is not finalized until settlement date.
|
(c)
| Amount is less than 0.05% of net assets.
|
(d)
| Security is currently in default and/or issuer is in bankruptcy.
|
(e)
| Fair valued as determined in good faith by the Trust's Oversight Committee in accordance with policy and procedures approved by the Board of Trustees. Security value is determined
based on Level 3 inputs. As of September 30, 2023, total aggregate fair value of the securities is $29,074,523, representing 0.70% of the Fund's net assets.
|
(f)
| Non-income producing security.
|
(g)
| Securities purchased pursuant to Rule 144A of the Securities Act of 1933, as amended. These securities, which represent 4.1% of net assets as of September 30, 2023, are considered
liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers.
|
(h)
| When-issued security.
|
(i)
| The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended September 30, 2023 are shown in
the Affiliate Table below.
|
(j)
| The rate shown is the annualized seven-day yield at September 30, 2023.
|
CVR
| Contingent Value Rights
|
LIBOR
| London Interbank Offered Rate
|
PIK
| Payment in Kind
|
SOFR
| Secured Overnight Financing Rate
|
At September 30, 2023,
the Fund had unfunded loan commitments of $11,260,500, which could be extended at the option of the borrowers, pursuant to the following loan agreements:
Borrower
|
| Unfunded Loan
Commitment ($)
|
| 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)
|
The following table
summarizes the value of the Fund's investments according to the fair value hierarchy as of September 30, 2023.
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)
|
See accompanying notes to Schedule of
Investments.
46
SPDR BLACKSTONE SENIOR LOAN ETF
SCHEDULE OF INVESTMENTS (continued)
September 30, 2023 (Unaudited)
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)
|
Affiliate Table
| 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
|
See accompanying notes to Schedule of
Investments.
47
SPDR SSGA ULTRA SHORT TERM BOND ETF
SCHEDULE OF INVESTMENTS
September 30, 2023 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
CORPORATE BONDS & NOTES — 59.3%
|
|
|
|
|
|
AEROSPACE & DEFENSE — 0.5%
|
|
Boeing Co.
1.43%, 2/4/2024
|
|
| $1,000,000
|
| $984,390
|
L3Harris Technologies, Inc.
5.40%, 1/15/2027
|
|
| 1,665,000
|
| 1,651,064
|
|
|
|
|
| 2,635,454
|
AGRICULTURE — 0.5%
|
|
Imperial Brands Finance PLC
3.13%, 7/26/2024 (a)
|
|
| 408,000
|
| 397,771
|
Philip Morris International, Inc.
5.13%, 11/15/2024
|
|
| 2,500,000
|
| 2,481,875
|
|
|
|
|
| 2,879,646
|
AUTO MANUFACTURERS — 4.7%
|
|
American Honda Finance Corp.
SOFR + 0.92%, 6.21%, 1/12/2026 (b)
|
|
| 2,915,000
|
| 2,925,582
|
Daimler Truck Finance North America LLC:
|
|
|
|
|
|
5.20%, 1/17/2025 (a)
|
|
| 1,500,000
|
| 1,486,005
|
SOFR + 0.60%, 5.94%, 12/14/2023 (a) (b)
|
|
| 1,000,000
|
| 999,200
|
SOFR + 0.75%, 6.09%, 12/13/2024 (a) (b)
|
|
| 1,000,000
|
| 998,300
|
Ford Motor Credit Co. LLC:
|
|
|
|
|
|
2.30%, 2/10/2025
|
|
| 1,680,000
|
| 1,575,790
|
5.58%, 3/18/2024
|
|
| 2,000,000
|
| 1,986,920
|
General Motors Financial Co., Inc.:
|
|
|
|
|
|
3.80%, 4/7/2025
|
|
| 2,000,000
|
| 1,927,560
|
5.40%, 4/6/2026
|
|
| 925,000
|
| 905,473
|
Hyundai Capital America
0.80%, 1/8/2024 (a)
|
|
| 1,000,000
|
| 985,430
|
Mercedes-Benz Finance North America LLC:
|
|
|
|
|
|
5.50%, 11/27/2024 (a)
|
|
| 5,000,000
|
| 4,991,450
|
SOFR + 0.93%, 6.27%, 3/30/2025 (a) (b)
|
|
| 4,000,000
|
| 4,021,200
|
Nissan Motor Acceptance Co. LLC:
|
|
|
|
|
|
3 mo. USD Term SOFR + 0.90%, 6.30%, 3/8/2024 (a) (b)
|
|
| 1,000,000
|
| 999,910
|
COR, 6.95%, 9/15/2026 (a)
|
|
| 500,000
|
| 503,365
|
Toyota Motor Credit Corp.
SOFR + 0.56%, 5.84%, 1/10/2025 (b)
|
|
| 3,335,000
|
| 3,333,399
|
|
|
|
|
| 27,639,584
|
BANKS — 18.2%
|
|
Bank of America Corp.:
|
|
|
|
|
|
SOFR + 0.67%, 1.84%, 2/4/2025
|
|
| 10,000,000
|
| 9,836,100
|
Series MTN, SOFR + 0.73%, 6.06%, 10/24/2024 (b)
|
|
| 1,000,000
|
| 999,730
|
Security Description
|
|
| Principal
Amount
|
| Value
|
Bank of America NA
SOFR + 0.78%, 6.12%, 8/18/2025 (b)
|
|
| $5,000,000
|
| $5,000,150
|
Bank of Montreal
SOFR + 0.35%, 5.69%, 12/8/2023 (b)
|
|
| 1,755,000
|
| 1,754,526
|
Barclays Bank PLC
Series BKNT, 3.75%, 5/15/2024
|
|
| 2,000,000
|
| 1,973,800
|
Canadian Imperial Bank of Commerce
COR, 5.93%, 10/2/2026
|
|
| 2,500,000
|
| 2,500,250
|
Citibank NA
5.86%, 9/29/2025
|
|
| 1,880,000
|
| 1,881,673
|
Citigroup, Inc.:
|
|
|
|
|
|
SOFR + 0.69%, 0.78%, 10/30/2024
|
|
| 7,000,000
|
| 6,967,240
|
SOFR + 1.37%, 4.14%, 5/24/2025
|
|
| 1,500,000
|
| 1,478,655
|
Goldman Sachs Group, Inc.:
|
|
|
|
|
|
5.70%, 11/1/2024
|
|
| 5,000,000
|
| 4,980,650
|
SOFR + 0.49%, 5.81%, 10/21/2024 (b)
|
|
| 1,500,000
|
| 1,496,055
|
SOFR + 0.51%, 5.85%, 9/10/2024 (b)
|
|
| 5,000,000
|
| 4,989,350
|
HSBC Holdings PLC:
|
|
|
|
|
|
4.25%, 3/14/2024
|
|
| 1,000,000
|
| 990,080
|
SOFR + 0.58%, 5.92%, 11/22/2024 (b)
|
|
| 1,250,000
|
| 1,247,650
|
SOFR + 1.43%, 6.77%, 3/10/2026 (b)
|
|
| 1,000,000
|
| 1,003,770
|
HSBC USA, Inc.
5.63%, 3/17/2025
|
|
| 3,000,000
|
| 2,981,790
|
JPMorgan Chase & Co.
3 mo. USD Term SOFR + 0.58%, 0.97%, 6/23/2025
|
|
| 5,000,000
|
| 4,798,850
|
KeyBank NA:
|
|
|
|
|
|
4.15%, 8/8/2025
|
|
| 770,000
|
| 725,856
|
SOFR + 0.32%, 5.66%, 6/14/2024 (b)
|
|
| 1,000,000
|
| 982,920
|
Macquarie Group Ltd.
SOFR + 0.71%, 6.01%, 10/14/2025 (a) (b)
|
|
| 1,000,000
|
| 991,540
|
Mitsubishi UFJ Financial Group, Inc.
1 yr. CMT + 1.70%, 4.79%, 7/18/2025
|
|
| 5,000,000
|
| 4,940,950
|
Morgan Stanley:
|
|
|
|
|
|
Series GMTN, SOFR + 0.51%, 0.79%, 1/22/2025
|
|
| 1,500,000
|
| 1,470,480
|
SOFR + 1.16%, 3.62%, 4/17/2025
|
|
| 6,500,000
|
| 6,395,675
|
Series F, 3.88%, 4/29/2024
|
|
| 4,000,000
|
| 3,951,280
|
National Australia Bank Ltd.
1.39%, 1/12/2025 (a)
|
|
| 1,500,000
|
| 1,423,050
|
See accompanying notes to Schedule of
Investments.
48
SPDR SSGA ULTRA SHORT TERM BOND ETF
SCHEDULE OF INVESTMENTS (continued)
September 30, 2023 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
National Securities Clearing Corp.
5.15%, 5/30/2025 (a)
|
|
| $2,500,000
|
| $2,476,350
|
NatWest Markets PLC
SOFR + 0.53%, 5.87%, 8/12/2024 (a) (b)
|
|
| 2,125,000
|
| 2,116,288
|
Royal Bank of Canada
Series GMTN, SOFR + 0.53%, 5.84%, 1/20/2026 (b)
|
|
| 500,000
|
| 494,900
|
Sumitomo Mitsui Financial Group, Inc.:
|
|
|
|
|
|
4.44%, 4/2/2024 (a)
|
|
| 5,000,000
|
| 4,955,850
|
3 mo. USD Term SOFR + 1.06%, 6.37%, 10/16/2023 (b)
|
|
| 1,000,000
|
| 1,000,130
|
SOFR + 1.43%, 6.71%, 1/13/2026 (b)
|
|
| 3,000,000
|
| 3,024,900
|
Sumitomo Mitsui Trust Bank Ltd.:
|
|
|
|
|
|
0.80%, 9/16/2024 (a)
|
|
| 2,500,000
|
| 2,379,200
|
SOFR + 0.44%, 5.79%, 9/16/2024 (a) (b)
|
|
| 1,500,000
|
| 1,495,260
|
Toronto-Dominion Bank:
|
|
|
|
|
|
Series MTN, SOFR + 0.35%, 5.69%, 9/10/2024 (b)
|
|
| 1,515,000
|
| 1,510,455
|
Series MTN, SOFR + 0.91%, 6.25%, 3/8/2024 (b)
|
|
| 2,000,000
|
| 2,003,260
|
Truist Bank
SOFR + 0.20%, 5.50%, 1/17/2024 (b)
|
|
| 1,000,000
|
| 995,280
|
UBS AG
SOFR + 0.36%, 5.70%, 2/9/2024 (a) (b)
|
|
| 3,930,000
|
| 3,927,760
|
Wells Fargo & Co.
Series MTN, 3 mo. USD Term SOFR + 1.09%, 2.41%, 10/30/2025
|
|
| 4,500,000
|
| 4,310,190
|
|
|
|
|
| 106,451,893
|
BEVERAGES — 0.2%
|
|
Constellation Brands, Inc.
5.00%, 2/2/2026
|
|
| 1,000,000
|
| 982,180
|
BIOTECHNOLOGY — 0.2%
|
|
Amgen, Inc.
5.51%, 3/2/2026
|
|
| 1,455,000
|
| 1,444,277
|
CHEMICALS — 0.8%
|
|
DuPont de Nemours, Inc.
3 mo. USD Term SOFR + 1.37%, 6.74%, 11/15/2023 (b)
|
|
| 1,000,000
|
| 1,000,170
|
LyondellBasell Industries NV
5.75%, 4/15/2024
|
|
| 2,000,000
|
| 1,993,260
|
Nutrien Ltd.
5.90%, 11/7/2024
|
|
| 830,000
|
| 827,867
|
Sherwin-Williams Co.
4.05%, 8/8/2024
|
|
| 875,000
|
| 861,192
|
|
|
|
|
| 4,682,489
|
Security Description
|
|
| Principal
Amount
|
| Value
|
COMMERCIAL SERVICES — 0.1%
|
|
Cintas Corp. No. 2
3.45%, 5/1/2025
|
|
| $585,000
|
| $565,730
|
CONSTRUCTION MATERIALS — 0.6%
|
|
Vulcan Materials Co.
5.80%, 3/1/2026
|
|
| 3,330,000
|
| 3,316,680
|
DIVERSIFIED FINANCIAL SERVICES — 4.6%
|
|
AerCap Ireland Capital DAC/AerCap Global Aviation Trust
Series 3NC1, 1.75%, 10/29/2024
|
|
| 1,000,000
|
| 953,090
|
Ally Financial, Inc.
1.45%, 10/2/2023
|
|
| 3,276,000
|
| 3,276,000
|
Charles Schwab Corp.:
|
|
|
|
|
|
0.75%, 3/18/2024
|
|
| 5,000,000
|
| 4,878,550
|
5.88%, 8/24/2026
|
|
| 2,000,000
|
| 1,992,660
|
Nasdaq, Inc.
5.65%, 6/28/2025
|
|
| 645,000
|
| 642,833
|
Synchrony Financial:
|
|
|
|
|
|
4.25%, 8/15/2024
|
|
| 6,597,000
|
| 6,440,057
|
4.38%, 3/19/2024
|
|
| 8,805,000
|
| 8,697,491
|
|
|
|
|
| 26,880,681
|
ELECTRIC — 5.8%
|
|
CenterPoint Energy, Inc.
SOFR + 0.65%, 5.99%, 5/13/2024 (b)
|
|
| 1,500,000
|
| 1,499,655
|
DTE Energy Co.
4.22%, 11/1/2024 (c)
|
|
| 1,250,000
|
| 1,227,025
|
Eversource Energy
4.20%, 6/27/2024
|
|
| 3,080,000
|
| 3,039,560
|
Jersey Central Power & Light Co.
4.70%, 4/1/2024 (a)
|
|
| 1,888,000
|
| 1,872,820
|
National Rural Utilities Cooperative Finance Corp.
Series D, SOFR + 0.33%, 5.64%, 10/18/2024 (b)
|
|
| 2,500,000
|
| 2,491,300
|
NextEra Energy Capital Holdings, Inc.:
|
|
|
|
|
|
4.26%, 9/1/2024
|
|
| 1,250,000
|
| 1,229,812
|
SOFR + 0.40%, 5.74%, 11/3/2023 (b)
|
|
| 2,940,000
|
| 2,939,765
|
5.75%, 9/1/2025
|
|
| 1,500,000
|
| 1,495,560
|
6.05%, 3/1/2025
|
|
| 875,000
|
| 876,374
|
SOFR + 1.02%, 6.36%, 3/21/2024 (b)
|
|
| 1,500,000
|
| 1,499,940
|
Pacific Gas & Electric Co.
3.85%, 11/15/2023
|
|
| 2,459,000
|
| 2,451,279
|
Southern California Edison Co.
SOFR + 0.83%, 6.17%, 4/1/2024 (b)
|
|
| 640,000
|
| 639,846
|
Southwestern Public Service Co.
3.30%, 6/15/2024
|
|
| 6,982,000
|
| 6,859,326
|
See accompanying notes to Schedule of
Investments.
49
SPDR SSGA ULTRA SHORT TERM BOND ETF
SCHEDULE OF INVESTMENTS (continued)
September 30, 2023 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
Tampa Electric Co.
3.88%, 7/12/2024
|
|
| $1,670,000
|
| $1,643,414
|
Virginia Electric & Power Co.
3.45%, 2/15/2024
|
|
| 4,015,000
|
| 3,975,292
|
|
|
|
|
| 33,740,968
|
ELECTRONICS — 0.4%
|
|
Arrow Electronics, Inc.
6.13%, 3/1/2026
|
|
| 2,500,000
|
| 2,487,000
|
ENTERTAINMENT — 0.8%
|
|
Warnermedia Holdings, Inc.:
|
|
|
|
|
|
3.53%, 3/15/2024
|
|
| 2,000,000
|
| 1,973,640
|
3.64%, 3/15/2025
|
|
| 1,000,000
|
| 964,100
|
6.41%, 3/15/2026
|
|
| 1,630,000
|
| 1,629,821
|
|
|
|
|
| 4,567,561
|
HAND & MACHINE TOOLS — 0.4%
|
|
Stanley Black & Decker, Inc.
6.27%, 3/6/2026
|
|
| 2,500,000
|
| 2,511,425
|
HEALTH CARE PRODUCTS — 0.3%
|
|
GE HealthCare Technologies, Inc.
5.55%, 11/15/2024
|
|
| 1,000,000
|
| 995,040
|
Revvity, Inc.
0.85%, 9/15/2024
|
|
| 1,000,000
|
| 950,720
|
|
|
|
|
| 1,945,760
|
HOUSEHOLD PRODUCTS — 0.2%
|
|
Kenvue, Inc.
5.50%, 3/22/2025 (a)
|
|
| 1,040,000
|
| 1,037,639
|
INSURANCE — 1.5%
|
|
Athene Global Funding
SOFR + 0.70%, 6.04%, 5/24/2024 (a) (b)
|
|
| 1,000,000
|
| 993,910
|
Corebridge Global Funding
5.75%, 7/2/2026 (a)
|
|
| 2,500,000
|
| 2,470,500
|
Pacific Life Global Funding II
SOFR + 0.62%, 5.96%, 6/4/2026 (a) (b)
|
|
| 4,168,000
|
| 4,103,980
|
Pricoa Global Funding I
2.40%, 9/23/2024 (a)
|
|
| 1,500,000
|
| 1,449,495
|
|
|
|
|
| 9,017,885
|
INVESTMENT COMPANY SECURITY — 0.3%
|
|
Ares Capital Corp.
7.00%, 1/15/2027
|
|
| 500,000
|
| 500,005
|
Blackstone Private Credit Fund
2.35%, 11/22/2024
|
|
| 1,000,000
|
| 950,820
|
|
|
|
|
| 1,450,825
|
IT SERVICES — 0.3%
|
|
Apple, Inc.
4.42%, 5/8/2026
|
|
| 1,785,000
|
| 1,754,548
|
MACHINERY, CONSTRUCTION & MINING — 1.0%
|
|
Caterpillar Financial Services Corp.:
|
|
|
|
|
|
4.80%, 1/6/2026
|
|
| 2,500,000
|
| 2,470,975
|
Security Description
|
|
| Principal
Amount
|
| Value
|
5.15%, 8/11/2025
|
|
| $3,500,000
|
| $3,480,575
|
|
|
|
|
| 5,951,550
|
MACHINERY-DIVERSIFIED — 1.4%
|
|
John Deere Capital Corp.:
|
|
|
|
|
|
Series MTN, 3.40%, 6/6/2025
|
|
| 1,390,000
|
| 1,343,157
|
Series MTN, 4.05%, 9/8/2025
|
|
| 2,000,000
|
| 1,952,880
|
Series MTN, 4.80%, 1/9/2026
|
|
| 3,335,000
|
| 3,293,313
|
Series MTN, SOFR + 0.20%, 5.47%, 10/11/2024 (b)
|
|
| 1,500,000
|
| 1,497,885
|
|
|
|
|
| 8,087,235
|
MEDIA — 0.2%
|
|
Discovery Communications LLC
3.80%, 3/13/2024
|
|
| 1,117,000
|
| 1,105,897
|
MINING — 1.7%
|
|
BHP Billiton Finance USA Ltd.
4.88%, 2/27/2026
|
|
| 5,000,000
|
| 4,929,600
|
Glencore Funding LLC
4.13%, 3/12/2024 (a)
|
|
| 5,000,000
|
| 4,955,550
|
|
|
|
|
| 9,885,150
|
MISCELLANEOUS MANUFACTURER — 2.6%
|
|
Parker-Hannifin Corp.
3.65%, 6/15/2024
|
|
| 11,000,000
|
| 10,814,320
|
Siemens Financieringsmaatschappij NV:
|
|
|
|
|
|
SOFR + 0.43%, 5.77%, 3/11/2024 (a) (b)
|
|
| 1,000,000
|
| 1,001,510
|
6.13%, 8/17/2026 (a)
|
|
| 3,000,000
|
| 3,056,820
|
|
|
|
|
| 14,872,650
|
OIL & GAS — 1.0%
|
|
Chevron USA, Inc.
3.90%, 11/15/2024
|
|
| 1,000,000
|
| 982,750
|
Continental Resources, Inc.
2.27%, 11/15/2026 (a)
|
|
| 750,000
|
| 664,515
|
Occidental Petroleum Corp.
6.95%, 7/1/2024
|
|
| 2,500,000
|
| 2,513,225
|
Pioneer Natural Resources Co.
5.10%, 3/29/2026
|
|
| 795,000
|
| 784,752
|
Shell International Finance BV
3 mo. USD Term SOFR + 0.66%, 6.03%, 11/13/2023 (b)
|
|
| 1,000,000
|
| 999,210
|
|
|
|
|
| 5,944,452
|
PACKAGING & CONTAINERS — 0.4%
|
|
Graphic Packaging International LLC
0.82%, 4/15/2024 (a)
|
|
| 1,000,000
|
| 970,640
|
Sonoco Products Co.
1.80%, 2/1/2025
|
|
| 1,470,000
|
| 1,387,063
|
|
|
|
|
| 2,357,703
|
See accompanying notes to Schedule of
Investments.
50
SPDR SSGA ULTRA SHORT TERM BOND ETF
SCHEDULE OF INVESTMENTS (continued)
September 30, 2023 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
PHARMACEUTICALS — 2.7%
|
|
Astrazeneca Finance LLC
0.70%, 5/28/2024
|
|
| $2,000,000
|
| $1,936,280
|
Bayer U.S. Finance II LLC
3 mo. USD Term SOFR + 1.27%, 6.68%, 12/15/2023 (a) (b)
|
|
| 1,500,000
|
| 1,500,360
|
Cigna Group
5.69%, 3/15/2026
|
|
| 5,000,000
|
| 4,972,950
|
Eli Lilly & Co.
5.00%, 2/27/2026
|
|
| 1,555,000
|
| 1,548,298
|
Mylan, Inc.
4.20%, 11/29/2023
|
|
| 2,000,000
|
| 1,993,280
|
Pfizer Investment Enterprises Pte. Ltd.
4.65%, 5/19/2025
|
|
| 2,240,000
|
| 2,210,051
|
Viatris, Inc.
1.65%, 6/22/2025
|
|
| 1,500,000
|
| 1,385,250
|
|
|
|
|
| 15,546,469
|
PIPELINES — 1.2%
|
|
Enbridge, Inc.
5.97%, 3/8/2026
|
|
| 1,820,000
|
| 1,814,886
|
Plains All American Pipeline LP/PAA Finance Corp.
3.85%, 10/15/2023
|
|
| 2,395,000
|
| 2,391,862
|
Sabine Pass Liquefaction LLC
5.63%, 3/1/2025
|
|
| 1,000,000
|
| 993,470
|
Williams Cos., Inc.
4.55%, 6/24/2024
|
|
| 2,000,000
|
| 1,978,500
|
|
|
|
|
| 7,178,718
|
REAL ESTATE INVESTMENT TRUSTS — 0.2%
|
|
Realty Income Corp.
5.05%, 1/13/2026
|
|
| 1,115,000
|
| 1,099,457
|
RETAIL — 0.6%
|
|
7-Eleven, Inc.
0.80%, 2/10/2024 (a)
|
|
| 2,000,000
|
| 1,961,640
|
Dollar General Corp.
4.25%, 9/20/2024
|
|
| 1,090,000
|
| 1,071,263
|
Genuine Parts Co.
1.75%, 2/1/2025
|
|
| 660,000
|
| 621,872
|
|
|
|
|
| 3,654,775
|
SEMICONDUCTORS — 1.1%
|
|
Intel Corp.
4.88%, 2/10/2026
|
|
| 5,565,000
|
| 5,495,215
|
NXP BV/NXP Funding LLC
4.88%, 3/1/2024
|
|
| 750,000
|
| 745,687
|
|
|
|
|
| 6,240,902
|
SOFTWARE — 2.5%
|
|
Activision Blizzard, Inc.
3.40%, 9/15/2026
|
|
| 2,250,000
|
| 2,132,280
|
Intuit, Inc.
COR, 5.25%, 9/15/2026
|
|
| 2,500,000
|
| 2,494,000
|
Security Description
|
|
| Principal
Amount
|
| Value
|
Take-Two Interactive Software, Inc.
3.30%, 3/28/2024
|
|
| $10,000,000
|
| $9,866,200
|
|
|
|
|
| 14,492,480
|
TELECOMMUNICATIONS — 1.0%
|
|
AT&T, Inc.:
|
|
|
|
|
|
0.90%, 3/25/2024
|
|
| 1,500,000
|
| 1,465,410
|
5.54%, 2/20/2026
|
|
| 1,000,000
|
| 992,790
|
NTT Finance Corp.
0.58%, 3/1/2024 (a)
|
|
| 2,000,000
|
| 1,954,420
|
Verizon Communications, Inc.
SOFR + 0.50%, 5.84%, 3/22/2024 (b)
|
|
| 1,500,000
|
| 1,500,840
|
|
|
|
|
| 5,913,460
|
TRANSPORTATION — 0.4%
|
|
Canadian Pacific Railway Co.
1.35%, 12/2/2024
|
|
| 1,000,000
|
| 948,180
|
JB Hunt Transport Services, Inc.
3.85%, 3/15/2024
|
|
| 1,281,000
|
| 1,266,896
|
|
|
|
|
| 2,215,076
|
TRUCKING & LEASING — 0.9%
|
|
GATX Corp.
4.35%, 2/15/2024
|
|
| 5,414,000
|
| 5,371,987
|
TOTAL CORPORATE BONDS & NOTES
(Cost $348,257,567)
|
|
|
|
| 345,910,186
|
ASSET-BACKED SECURITIES — 3.8%
|
|
|
|
|
|
ASSET-BACKED - OTHER — 1.3%
|
|
|
|
|
|
Ford Credit Floorplan Master Owner Trust A
Series 2019-4, Class A, 2.44%, 9/15/2026
|
|
| 8,000,000
|
| 7,729,354
|
AUTOMOBILE — 0.8%
|
|
|
|
|
|
Nissan Auto Lease Trust
Series 2023-A, Class A3, 4.91%, 1/15/2026
|
|
| 5,000,000
|
| 4,946,977
|
CREDIT CARD — 1.7%
|
|
|
|
|
|
Master Credit Card Trust
Series 2021-1A, Class A, 0.53%, 11/21/2025 (a)
|
|
| 10,000,000
|
| 9,661,123
|
TOTAL ASSET-BACKED SECURITIES
(Cost $22,160,000)
|
|
|
|
| 22,337,454
|
U.S. TREASURY OBLIGATIONS — 16.6%
|
|
|
|
|
|
U.S. Treasury Bills 5.21%, 11/2/2023
(Cost $39,812,462)
|
|
| 40,000,000
|
| 39,817,789
|
U.S. Treasury Notes:
|
|
|
|
|
|
2.88%, 11/30/2023
|
|
| 37,758,300
|
| 37,594,582
|
See accompanying notes to Schedule of
Investments.
51
SPDR SSGA ULTRA SHORT TERM BOND ETF
SCHEDULE OF INVESTMENTS (continued)
September 30, 2023 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
4.00%, 6/30/2028
|
|
| $6,746,000
|
| $6,565,755
|
4.75%, 7/31/2025
|
|
| 12,905,000
|
| 12,818,295
|
TOTAL U.S. TREASURY OBLIGATIONS
(Cost $96,906,431)
|
|
|
|
| 96,796,421
|
MORTGAGE-BACKED SECURITIES — 1.9%
|
|
|
|
|
|
BHMS Mortgage Trust Series 2018-ATLS, Class A, 1 mo. USD Term SOFR + 1.55%, 6.88%, 7/15/2035 (a) (b)
|
|
| 2,870,000
|
| 2,830,804
|
BX Commercial Mortgage Trust Series 2019-XL, Class A, 1 mo. USD Term SOFR + 1.03%, 6.37%, 10/15/2036 (a) (b)
|
|
| 1,179,693
|
| 1,176,531
|
Credit Suisse Mortgage Capital Certificates Series 2019-ICE4, Class A, 1 mo. USD Term SOFR + 1.03%, 6.36%, 5/15/2036 (a) (b)
|
|
| 7,331,760
|
| 7,313,554
|
TOTAL MORTGAGE-BACKED SECURITIES
(Cost $11,348,337)
|
|
|
|
| 11,320,889
|
COMMERCIAL MORTGAGE BACKED SECURITIES — 2.1%
|
|
|
|
|
|
BPR Trust Series 2022-OANA, Class A, 1 mo. USD Term SOFR + 1.90%, 7.23%, 4/15/2037 (a) (b)
|
|
| 1,800,000
|
| 1,767,346
|
BX Mortgage Trust Series 2021-PAC, Class B, 1 mo. USD Term SOFR + 1.01%, 6.35%, 10/15/2036 (a) (b)
|
|
| 2,500,000
|
| 2,430,475
|
Cold Storage Trust:
|
|
|
|
|
|
Series 2020-ICE5, Class A, 1 mo. USD Term SOFR + 1.01%, 6.35%, 11/15/2037 (a) (b)
|
|
| 3,178,991
|
| 3,149,183
|
Series 2020-ICE5, Class B, 1 mo. USD Term SOFR + 1.41%, 6.75%, 11/15/2037 (a) (b)
|
|
| 4,914,953
|
| 4,862,938
|
TOTAL COMMERCIAL MORTGAGE BACKED SECURITIES
(Cost $12,335,086)
|
|
|
|
| 12,209,942
|
Security Description
|
|
| Shares
|
| Value
|
SHORT-TERM INVESTMENTS — 14.2%
|
|
|
|
State Street Institutional U.S. Government Money Market Fund, Class G Shares 5.33% (d) (e)
|
| 82,602,188
|
| 82,602,188
|
TOTAL INVESTMENTS — 97.9%
(Cost $573,609,609)
|
| 571,177,080
|
|
OTHER ASSETS IN EXCESS OF LIABILITIES — 2.1%
|
| 12,495,700
|
|
NET ASSETS — 100.0%
|
| $583,672,780
|
|
(a)
| Securities purchased pursuant to Rule 144A of the Securities Act of 1933, as amended. These securities, which represent 16.5% of net assets as of September 30, 2023, are considered
liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers.
|
(b)
| Variable Rate Security - Interest rate shown is rate in effect at September 30, 2023. For securities based on a published reference rate and spread, the reference rate and spread are
indicated in the description above.
|
(c)
| Step-up bond - Coupon rate increases in increments to maturity. Rate shown as of September 30, 2023. Maturity date shown is the final maturity.
|
(d)
| The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended September 30, 2023 are shown in
the Affiliate Table below.
|
(e)
| The rate shown is the annualized seven-day yield at September 30, 2023.
|
BKNT
| Bank Notes
|
CMT
| Constant Maturity Treasury
|
GMTN
| Global Medium Term Note
|
MTN
| Medium Term Note
|
SOFR
| Secured Overnight Financing Rate
|
See accompanying notes to Schedule of
Investments.
52
SPDR SSGA ULTRA SHORT TERM BOND ETF
SCHEDULE OF INVESTMENTS (continued)
September 30, 2023 (Unaudited)
At September 30, 2023, open
futures contracts were as follows:
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)
|
The following table summarizes the
value of the Fund's investments according to the fair value hierarchy as of September 30, 2023.
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)
|
Affiliate Table
| 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
|
See accompanying notes to Schedule of
Investments.
53
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS
September 30, 2023 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
CORPORATE BONDS & NOTES — 13.4%
|
|
|
|
|
|
AUSTRALIA — 0.3%
|
|
|
|
|
BHP Billiton Finance USA Ltd.
5.25%, 9/8/2030
|
|
| $2,530,000
|
| $2,470,646
|
Glencore Funding LLC
1.63%, 4/27/2026 (a)
|
|
| 1,555,000
|
| 1,400,200
|
Macquarie Group Ltd. SOFR + 1.53%,
2.87%, 1/14/2033 (a) (b)
|
|
| 3,570,000
|
| 2,698,135
|
Westpac Banking Corp. 5 yr. CMT + 1.53%,
3.02%, 11/18/2036 (b)
|
|
| 3,405,000
|
| 2,522,662
|
|
|
|
|
| 9,091,643
|
BERMUDA — 0.1%
|
|
|
|
|
Triton Container International Ltd./TAL International Container Corp.
3.25%, 3/15/2032
|
|
| 3,070,000
|
| 2,303,974
|
BRAZIL — 0.4%
|
|
|
|
|
Banco do Brasil SA Series REGS, 10 yr. CMT + 6.36%,
9.00%, 6/18/2024 (b)
|
|
| 1,100,000
|
| 1,103,784
|
Banco do Estado do Rio Grande do Sul SA Series REGS, VRN, 5 yr. CMT + 4.93%,
5.38%, 1/28/2031 (b)
|
|
| 500,000
|
| 455,115
|
Braskem Netherlands Finance BV 5 yr. CMT + 8.22%,
8.50%, 1/23/2081 (b)
|
|
| 1,100,000
|
| 1,083,830
|
BRF SA
4.88%, 1/24/2030
|
|
| 400,000
|
| 324,048
|
Cosan Luxembourg SA
7.50%, 6/27/2030 (a)
|
|
| 600,000
|
| 597,384
|
Cosan Overseas Ltd.
8.25%, 11/5/2023
|
|
| 900,000
|
| 897,750
|
CSN Resources SA
5.88%, 4/8/2032
|
|
| 1,000,000
|
| 809,390
|
Guara Norte Sarl
5.20%, 6/15/2034
|
|
| 795,834
|
| 678,074
|
Itau Unibanco Holding SA Series REGS, VRN, 5 yr. CMT + 3.22%,
4.63%, 2/27/2025 (b)
|
|
| 261,000
|
| 213,775
|
MARB BondCo PLC
3.95%, 1/29/2031
|
|
| 900,000
|
| 667,206
|
MC Brazil Downstream Trading Sarl
7.25%, 6/30/2031
|
|
| 579,751
|
| 444,982
|
Minerva Luxembourg SA:
|
|
|
|
|
|
4.38%, 3/18/2031
|
|
| 700,000
|
| 542,773
|
8.88%, 9/13/2033 (a)
|
|
| 1,000,000
|
| 993,500
|
MV24 Capital BV
6.75%, 6/1/2034
|
|
| 924,649
|
| 815,781
|
Security Description
|
|
| Principal
Amount
|
| Value
|
NBM U.S. Holdings, Inc.:
|
|
|
|
|
|
6.63%, 8/6/2029
|
|
| $200,000
|
| $182,368
|
7.00%, 5/14/2026
|
|
| 200,000
|
| 198,298
|
Nexa Resources SA Series REGS,
5.38%, 5/4/2027
|
|
| 500,000
|
| 461,825
|
Petrobras Global Finance BV
6.75%, 6/3/2050
|
|
| 900,000
|
| 813,402
|
Simpar Europe SA
5.20%, 1/26/2031
|
|
| 200,000
|
| 161,104
|
Unigel Luxembourg SA
8.75%, 10/1/2026
|
|
| 400,000
|
| 138,684
|
|
|
|
|
| 11,583,073
|
CANADA — 0.5%
|
|
|
|
|
1375209 BC Ltd.
9.00%, 1/30/2028 (a)
|
|
| 79,000
|
| 78,225
|
Air Canada
3.88%, 8/15/2026 (a)
|
|
| 550,000
|
| 499,345
|
Bank of Montreal 5 yr. CMT + 1.40%,
3.09%, 1/10/2037 (b)
|
|
| 3,375,000
|
| 2,516,434
|
Bank of Nova Scotia Series MTN,
3.45%, 4/11/2025
|
|
| 4,715,001
|
| 4,538,282
|
Bombardier, Inc.
7.88%, 4/15/2027 (a)
|
|
| 540,000
|
| 526,813
|
Garda World Security Corp.:
|
|
|
|
|
|
4.63%, 2/15/2027 (a)
|
|
| 615,000
|
| 562,085
|
6.00%, 6/1/2029 (a)
|
|
| 350,000
|
| 286,282
|
GFL Environmental, Inc.
4.00%, 8/1/2028 (a)
|
|
| 550,000
|
| 480,573
|
Kronos Acquisition Holdings, Inc./KIK Custom Products, Inc.
5.00%, 12/31/2026 (a)
|
|
| 380,000
|
| 344,763
|
Mattamy Group Corp.
4.63%, 3/1/2030 (a)
|
|
| 680,000
|
| 578,279
|
Ontario Gaming GTA LP
8.00%, 8/1/2030 (a)
|
|
| 540,000
|
| 538,272
|
Parkland Corp.:
|
|
|
|
|
|
4.50%, 10/1/2029 (a)
|
|
| 435,000
|
| 373,865
|
4.63%, 5/1/2030 (a)
|
|
| 300,000
|
| 256,065
|
Primo Water Holdings, Inc.
4.38%, 4/30/2029 (a)
|
|
| 325,000
|
| 277,797
|
Superior Plus LP/Superior General Partner, Inc.
4.50%, 3/15/2029 (a)
|
|
| 640,000
|
| 557,037
|
Telesat Canada/Telesat LLC:
|
|
|
|
|
|
4.88%, 6/1/2027 (a)
|
|
| 130,000
|
| 84,356
|
6.50%, 10/15/2027 (a)
|
|
| 95,000
|
| 49,236
|
Tervita Corp.
11.00%, 12/1/2025 (a)
|
|
| 237,000
|
| 247,644
|
Titan Acquisition Ltd./Titan Co.-Borrower LLC
7.75%, 4/15/2026 (a)
|
|
| 410,000
|
| 401,714
|
See accompanying notes to Schedule of
Investments.
54
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
September 30, 2023 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
Toronto-Dominion Bank Series MTN,
4.69%, 9/15/2027
|
|
| $2,670,000
|
| $2,565,923
|
|
|
|
|
| 15,762,990
|
CAYMAN ISLANDS — 0.0% (c)
|
|
|
|
|
Global Aircraft Leasing Co. Ltd. PIK,
6.50%, 9/15/2024 (a)
|
|
| 749,188
|
| 713,639
|
CHILE — 0.1%
|
|
|
|
|
Agrosuper SA
4.60%, 1/20/2032
|
|
| 850,000
|
| 683,145
|
CAP SA
3.90%, 4/27/2031 (a)
|
|
| 1,550,000
|
| 1,151,960
|
Chile Electricity PEC SpA
0.00%, 1/25/2028 (a)
|
|
| 900,000
|
| 696,897
|
Empresa Electrica Cochrane SpA Series REGS,
5.50%, 5/14/2027
|
|
| 480,640
|
| 449,884
|
Inversiones La Construccion SA
4.75%, 2/7/2032
|
|
| 900,000
|
| 710,559
|
VTR Comunicaciones SpA
5.13%, 1/15/2028
|
|
| 400,000
|
| 224,568
|
|
|
|
|
| 3,917,013
|
CHINA — 0.1%
|
|
|
|
|
NXP BV/NXP Funding LLC/NXP USA, Inc.
3.88%, 6/18/2026
|
|
| 1,970,000
|
| 1,872,071
|
COLOMBIA — 0.3%
|
|
|
|
|
AI Candelaria Spain SA:
|
|
|
|
|
|
5.75%, 6/15/2033 (a)
|
|
| 1,265,000
|
| 896,657
|
Series REGS, 7.50%, 12/15/2028
|
|
| 220,833
|
| 201,963
|
Banco Davivienda SA VRN, 10 yr. CMT + 5.10%,
6.65%, 4/22/2031 (a) (b)
|
|
| 600,000
|
| 403,380
|
Banco GNB Sudameris SA:
|
|
|
|
|
|
5 yr. CMT + 4.56%, 7.05%, 4/3/2027 (b)
|
|
| 100,000
|
| 95,076
|
5 yr. CMT + 6.66%, 7.50%, 4/16/2031 (b)
|
|
| 150,000
|
| 122,504
|
Bancolombia SA VRN, 5 yr. CMT + 2.94%,
4.63%, 12/18/2029 (b)
|
|
| 1,700,000
|
| 1,467,831
|
Canacol Energy Ltd.
5.75%, 11/24/2028
|
|
| 800,000
|
| 647,088
|
Ecopetrol SA:
|
|
|
|
|
|
5.88%, 5/28/2045
|
|
| 200,000
|
| 131,896
|
5.88%, 11/2/2051
|
|
| 2,050,000
|
| 1,297,445
|
Empresas Publicas de Medellin ESP Series REGS,
4.25%, 7/18/2029
|
|
| 1,400,000
|
| 1,123,010
|
Security Description
|
|
| Principal
Amount
|
| Value
|
Fideicomiso PA Pacifico Tres
8.25%, 1/15/2035
|
|
| $364,000
|
| $329,267
|
Geopark Ltd. Series REGS,
5.50%, 1/17/2027
|
|
| 200,000
|
| 170,788
|
Grupo Aval Ltd.
4.38%, 2/4/2030 (a)
|
|
| 300,000
|
| 227,535
|
Oleoducto Central SA Series REGS,
4.00%, 7/14/2027
|
|
| 500,000
|
| 445,645
|
|
|
|
|
| 7,560,085
|
FRANCE — 0.0% (c)
|
|
|
|
|
Altice France SA
5.50%, 10/15/2029 (a)
|
|
| 460,000
|
| 331,099
|
GERMANY — 0.0% (c)
|
|
|
|
|
TK Elevator U.S. Newco, Inc.
5.25%, 7/15/2027 (a)
|
|
| 325,000
|
| 298,815
|
GUATEMALA — 0.1%
|
|
|
|
|
Banco Industrial SA 5 yr. CMT + 4.44%,
4.88%, 1/29/2031 (b)
|
|
| 600,000
|
| 554,532
|
CT Trust
5.13%, 2/3/2032
|
|
| 800,000
|
| 628,592
|
Millicom International Cellular SA:
|
|
|
|
|
|
6.25%, 3/25/2029
|
|
| 360,000
|
| 306,407
|
6.63%, 10/15/2026
|
|
| 540,000
|
| 510,073
|
Series REGS, 5.13%, 1/15/2028
|
|
| 360,000
|
| 304,265
|
|
|
|
|
| 2,303,869
|
HONG KONG — 0.0% (c)
|
|
|
|
|
Seaspan Corp.
5.50%, 8/1/2029 (a)
|
|
| 325,000
|
| 259,698
|
INDIA — 0.2%
|
|
|
|
|
Adani Electricity Mumbai Ltd.:
|
|
|
|
|
|
Series REGS, 3.87%, 7/22/2031
|
|
| 800,000
|
| 556,498
|
Series REGS, 3.95%, 2/12/2030
|
|
| 400,000
|
| 293,435
|
Adani International Container Terminal Pvt Ltd. Series REGS,
3.00%, 2/16/2031
|
|
| 732,000
|
| 549,903
|
Adani Ports & Special Economic Zone Ltd.:
|
|
|
|
|
|
3.83%, 2/2/2032
|
|
| 700,000
|
| 495,110
|
4.00%, 7/30/2027
|
|
| 200,000
|
| 168,529
|
4.20%, 8/4/2027
|
|
| 400,000
|
| 338,308
|
Series REGS, 4.38%, 7/3/2029
|
|
| 400,000
|
| 319,236
|
Adani Transmission Step-One Ltd.:
|
|
|
|
|
|
4.00%, 8/3/2026
|
|
| 600,000
|
| 523,595
|
4.25%, 5/21/2036
|
|
| 570,500
|
| 426,837
|
JSW Hydro Energy Ltd.
4.13%, 5/18/2031 (a)
|
|
| 588,000
|
| 488,346
|
See accompanying notes to Schedule of
Investments.
55
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
September 30, 2023 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
Network i2i Ltd.:
|
|
|
|
|
|
5 yr. CMT + 4.27%, 5.65%, 1/15/2025 (b)
|
|
| $600,000
|
| $581,988
|
Series REGS, 5 yr. CMT + 3.39%, 3.98%, 3/3/2026 (b)
|
|
| 200,000
|
| 181,838
|
UPL Corp. Ltd.:
|
|
|
|
|
|
4.50%, 3/8/2028
|
|
| 1,300,000
|
| 1,123,328
|
4.63%, 6/16/2030
|
|
| 200,000
|
| 161,600
|
Vedanta Resources Finance II PLC
9.25%, 4/23/2026 (a)
|
|
| 1,400,000
|
| 904,260
|
|
|
|
|
| 7,112,811
|
INDONESIA — 0.1%
|
|
|
|
|
Freeport Indonesia PT:
|
|
|
|
|
|
5.32%, 4/14/2032 (a)
|
|
| 400,000
|
| 360,144
|
6.20%, 4/14/2052
|
|
| 200,000
|
| 167,580
|
Indonesia Asahan Aluminium PT/Mineral Industri Indonesia Persero PT:
|
|
|
|
|
|
4.75%, 5/15/2025
|
|
| 400,000
|
| 391,424
|
5.45%, 5/15/2030
|
|
| 400,000
|
| 372,524
|
LLPL Capital Pte. Ltd.
6.88%, 2/4/2039
|
|
| 1,045,980
|
| 929,541
|
Minejesa Capital BV Series REGS,
5.63%, 8/10/2037
|
|
| 2,200,000
|
| 1,680,426
|
|
|
|
|
| 3,901,639
|
IRELAND — 0.1%
|
|
|
|
|
Avolon Holdings Funding Ltd.:
|
|
|
|
|
|
2.13%, 2/21/2026 (a)
|
|
| 1,895,000
|
| 1,696,139
|
3.25%, 2/15/2027 (a)
|
|
| 970,000
|
| 864,056
|
|
|
|
|
| 2,560,195
|
ISRAEL — 0.1%
|
|
|
|
|
Bank Hapoalim BM 5 yr. CMT + 2.16%,
3.26%, 1/21/2032 (a) (b)
|
|
| 1,400,000
|
| 1,193,483
|
Bank Leumi Le-Israel BM 5 yr. CMT + 1.63%,
3.28%, 1/29/2031 (a) (b)
|
|
| 1,200,000
|
| 1,071,072
|
|
|
|
|
| 2,264,555
|
JAMAICA — 0.0% (c)
|
|
|
|
|
Digicel Group Holdings Ltd.:
|
|
|
|
|
|
PIK, 7.00%, 10/16/2023 (a)
|
|
| 643,886
|
| 34,126
|
PIK, 8.00%, 4/1/2025 (a) (d)
|
|
| 647,153
|
| 116,721
|
|
|
|
|
| 150,847
|
KUWAIT — 0.0% (c)
|
|
|
|
|
MEGlobal BV Series REGS,
2.63%, 4/28/2028
|
|
| 700,000
|
| 604,153
|
MEGlobal Canada ULC
5.00%, 5/18/2025
|
|
| 200,000
|
| 195,000
|
|
|
|
|
| 799,153
|
Security Description
|
|
| Principal
Amount
|
| Value
|
LUXEMBOURG — 0.0% (c)
|
|
|
|
|
Altice Financing SA
5.00%, 1/15/2028 (a)
|
|
| $240,000
|
| $204,605
|
Altice France Holding SA
6.00%, 2/15/2028 (a)
|
|
| 430,000
|
| 212,222
|
Intelsat Jackson Holdings SA
6.50%, 3/15/2030 (a)
|
|
| 240,000
|
| 213,077
|
|
|
|
|
| 629,904
|
MALAYSIA — 0.0% (c)
|
|
|
|
|
TNB Global Ventures Capital Bhd Series EMTN,
3.24%, 10/19/2026
|
|
| 200,000
|
| 186,498
|
MEXICO — 0.3%
|
|
|
|
|
Banco Mercantil del Norte SA:
|
|
|
|
|
|
10 yr. CMT + 5.03%, 6.63%, 1/24/2032 (b)
|
|
| 200,000
|
| 157,754
|
10 yr. CMT + 5.47%, 7.50%, 6/27/2029 (a) (b)
|
|
| 1,400,000
|
| 1,253,546
|
Banco Nacional de Comercio Exterior SNC 5 yr. CMT + 2.00%,
2.72%, 8/11/2031 (b)
|
|
| 1,000,000
|
| 824,760
|
Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand 5 yr. CMT + 3.00%,
5.95%, 10/1/2028 (b)
|
|
| 700,000
|
| 692,720
|
BBVA Bancomer SA:
|
|
|
|
|
|
VRN, 5 yr. CMT + 4.31%, 5.88%, 9/13/2034 (b)
|
|
| 400,000
|
| 349,740
|
Series REGS, 5 yr. CMT + 2.65%, 5.13%, 1/18/2033 (b)
|
|
| 1,000,000
|
| 858,010
|
Series REGS, 5 yr. CMT + 3.00%, 5.35%, 11/12/2029 (b)
|
|
| 200,000
|
| 193,150
|
Braskem Idesa SAPI
6.99%, 2/20/2032
|
|
| 500,000
|
| 300,080
|
Cemex SAB de CV:
|
|
|
|
|
|
5 yr. CMT + 4.53%, 5.13%, 6/8/2026 (b)
|
|
| 1,400,000
|
| 1,311,632
|
5 yr. CMT + 5.16%, 9.13%, 3/14/2028 (a) (b)
|
|
| 200,000
|
| 208,246
|
Credito Real SAB de CV SOFOM ER Series REGS, 5 yr. CMT + 7.03%,
9.13%, 11/29/2027 (b) (d)
|
|
| 500,000
|
| 5,320
|
Industrias Penoles SAB de CV
4.15%, 9/12/2029
|
|
| 1,000,000
|
| 878,500
|
Mexarrend SAPI de CV
10.25%, 7/24/2024 (a)
|
|
| 282,000
|
| 63,701
|
Mexico Generadora de Energia S de Real Series REGS,
5.50%, 12/6/2032
|
|
| 263,124
|
| 248,242
|
See accompanying notes to Schedule of
Investments.
56
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
September 30, 2023 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
Petroleos Mexicanos
6.75%, 9/21/2047
|
|
| $700,000
|
| $412,790
|
Unifin Financiera SAB de CV Series REGS, 5 yr. CMT + 6.31%,
Zero Coupon, 1/29/2025 (b) (d)
|
|
| 1,800,000
|
| 8,190
|
|
|
|
|
| 7,766,381
|
NETHERLANDS — 0.0% (c)
|
|
|
|
|
VZ Secured Financing BV
5.00%, 1/15/2032 (a)
|
|
| 575,000
|
| 452,916
|
PANAMA — 0.1%
|
|
|
|
|
Banco General SA Series REGS,
4.13%, 8/7/2027
|
|
| 200,000
|
| 184,936
|
Banistmo SA
4.25%, 7/31/2027
|
|
| 700,000
|
| 624,890
|
C&W Senior Financing DAC Series REGS,
6.88%, 9/15/2027
|
|
| 450,000
|
| 396,342
|
Empresa de Transmision Electrica SA
5.13%, 5/2/2049
|
|
| 200,000
|
| 153,478
|
Global Bank Corp. 3 mo. USD LIBOR + 3.30%,
5.25%, 4/16/2029 (b)
|
|
| 700,000
|
| 635,887
|
Multibank, Inc.
7.75%, 2/3/2028 (a)
|
|
| 300,000
|
| 301,269
|
UEP Penonome II SA:
|
|
|
|
|
|
6.50%, 10/1/2038 (a)
|
|
| 317,646
|
| 240,264
|
Series REGS, 6.50%, 10/1/2038
|
|
| 363,023
|
| 274,587
|
|
|
|
|
| 2,811,653
|
PARAGUAY — 0.1%
|
|
|
|
|
Banco Continental SAECA
2.75%, 12/10/2025
|
|
| 200,000
|
| 181,786
|
Bioceanico Sovereign Certificate Ltd.
Zero Coupon, 6/5/2034
|
|
| 534,345
|
| 371,904
|
Frigorifico Concepcion SA
7.70%, 7/21/2028
|
|
| 400,000
|
| 332,360
|
Rutas 2 & 7 Finance Ltd.
Zero Coupon, 9/30/2036
|
|
| 675,000
|
| 429,948
|
|
|
|
|
| 1,315,998
|
PERU — 0.2%
|
|
|
|
|
Banco de Credito del Peru SA:
|
|
|
|
|
|
VRN, 5 yr. CMT + 3.00%, 3.13%, 7/1/2030 (a) (b)
|
|
| 400,000
|
| 367,824
|
Series REGS, 5 yr. CMT + 3.00%, 3.13%, 7/1/2030 (b)
|
|
| 1,200,000
|
| 1,103,472
|
Security Description
|
|
| Principal
Amount
|
| Value
|
Banco Internacional del Peru SAA Interbank:
|
|
|
|
|
|
Series REGS, 3 mo. USD LIBOR + 5.76%, 6.63%, 3/19/2029 (b)
|
|
| $100,000
|
| $98,755
|
Series REGS, VRN, 5 yr. CMT + 3.71%, 4.00%, 7/8/2030 (b)
|
|
| 1,700,000
|
| 1,569,202
|
Fenix Power Peru SA Series REGS,
4.32%, 9/20/2027
|
|
| 265,883
|
| 246,039
|
Inkia Energy Ltd. Series REGS,
5.88%, 11/9/2027
|
|
| 931,000
|
| 892,159
|
Lima Metro Line 2 Finance Ltd.
5.88%, 7/5/2034
|
|
| 225,807
|
| 217,267
|
Petroleos del Peru SA:
|
|
|
|
|
|
4.75%, 6/19/2032
|
|
| 700,000
|
| 493,332
|
5.63%, 6/19/2047
|
|
| 400,000
|
| 240,208
|
Transportadora de Gas del Peru SA Series REGS,
4.25%, 4/30/2028
|
|
| 200,000
|
| 188,824
|
|
|
|
|
| 5,417,082
|
SAUDI ARABIA — 0.0% (c)
|
|
|
|
|
EIG Pearl Holdings Sarl
3.55%, 8/31/2036
|
|
| 500,000
|
| 406,365
|
SINGAPORE — 0.2%
|
|
|
|
|
Avation Capital SA PIK,
8.25%, 10/31/2026 (a)
|
|
| 270,808
|
| 231,847
|
DBS Group Holdings Ltd. Series GMTN, VRN, 5 yr. CMT + 1.10%,
1.82%, 3/10/2031 (b)
|
|
| 1,400,000
|
| 1,270,873
|
Oversea-Chinese Banking Corp. Ltd. Series REGS, VRN, 5 yr. CMT + 1.58%,
1.83%, 9/10/2030 (b)
|
|
| 1,500,000
|
| 1,378,605
|
Temasek Financial I Ltd.
1.00%, 10/6/2030 (a)
|
|
| 550,000
|
| 415,674
|
United Overseas Bank Ltd.:
|
|
|
|
|
|
5 yr. CMT + 1.23%, 2.00%, 10/14/2031 (b)
|
|
| 600,000
|
| 532,344
|
Series GMTN, VRN, 5 yr. CMT + 1.52%, 1.75%, 3/16/2031 (b)
|
|
| 1,400,000
|
| 1,259,942
|
|
|
|
|
| 5,089,285
|
SOUTH AFRICA — 0.0% (c)
|
|
|
|
|
Sasol Financing USA LLC:
|
|
|
|
|
|
4.38%, 9/18/2026
|
|
| 200,000
|
| 177,180
|
5.50%, 3/18/2031
|
|
| 1,000,000
|
| 780,590
|
|
|
|
|
| 957,770
|
See accompanying notes to Schedule of
Investments.
57
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
September 30, 2023 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
SOUTH KOREA — 0.0% (c)
|
|
|
|
|
Shinhan Financial Group Co. Ltd. VRN, 5 yr. CMT + 2.06%,
2.88%, 5/12/2026 (a) (b)
|
|
| $300,000
|
| $265,659
|
Woori Bank
4.75%, 4/30/2024
|
|
| 200,000
|
| 198,074
|
|
|
|
|
| 463,733
|
SPAIN — 0.0% (c)
|
|
|
|
|
Grifols SA
4.75%, 10/15/2028 (a)
|
|
| 640,000
|
| 547,098
|
UNITED ARAB EMIRATES — 0.0% (c)
|
|
|
|
|
Galaxy Pipeline Assets Bidco Ltd.:
|
|
|
|
|
|
1.75%, 9/30/2027
|
|
| 583,497
|
| 538,046
|
2.16%, 3/31/2034 (a)
|
|
| 177,420
|
| 148,098
|
|
|
|
|
| 686,144
|
UNITED KINGDOM — 0.0% (c)
|
|
|
|
|
eG Global Finance PLC
8.50%, 10/30/2025 (a)
|
|
| 385,000
|
| 380,064
|
UNITED STATES — 10.1%
|
|
|
|
|
AbbVie, Inc.
3.85%, 6/15/2024
|
|
| 2,560,000
|
| 2,523,110
|
Academy Ltd.
6.00%, 11/15/2027 (a)
|
|
| 1,155,000
|
| 1,088,137
|
Acuris Finance U.S., Inc./Acuris Finance Sarl
5.00%, 5/1/2028 (a)
|
|
| 675,000
|
| 553,763
|
Acushnet Co.
7.38%, 10/15/2028 (a) (e)
|
|
| 95,000
|
| 95,762
|
AdaptHealth LLC
5.13%, 3/1/2030 (a)
|
|
| 900,000
|
| 699,534
|
Advanced Drainage Systems, Inc.
6.38%, 6/15/2030 (a)
|
|
| 735,000
|
| 705,409
|
AEP Texas, Inc. Series H,
3.45%, 1/15/2050
|
|
| 2,810,000
|
| 1,810,455
|
Aethon United BR LP/Aethon United Finance Corp.
8.25%, 2/15/2026 (a)
|
|
| 305,000
|
| 302,374
|
Air Lease Corp.
3.25%, 3/1/2025
|
|
| 2,055,000
|
| 1,965,279
|
Air Methods Corp.
8.00%, 5/15/2025 (a)
|
|
| 78,000
|
| 455
|
Alexandria Real Estate Equities, Inc.
1.88%, 2/1/2033
|
|
| 2,500,000
|
| 1,770,600
|
Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer:
|
|
|
|
|
|
6.75%, 10/15/2027 (a)
|
|
| 420,000
|
| 391,436
|
6.75%, 4/15/2028 (a)
|
|
| 580,000
|
| 559,451
|
Security Description
|
|
| Principal
Amount
|
| Value
|
Allied Universal Holdco LLC/Allied Universal Finance Corp.:
|
|
|
|
|
|
6.63%, 7/15/2026 (a)
|
|
| $490,000
|
| $464,726
|
9.75%, 7/15/2027 (a)
|
|
| 355,000
|
| 317,352
|
AMC Entertainment Holdings, Inc.
7.50%, 2/15/2029 (a)
|
|
| 110,000
|
| 76,437
|
American Airlines, Inc.
7.25%, 2/15/2028 (a)
|
|
| 565,000
|
| 540,213
|
American Airlines, Inc./AAdvantage Loyalty IP Ltd.
5.75%, 4/20/2029 (a)
|
|
| 1,050,000
|
| 976,258
|
American Axle & Manufacturing, Inc.
5.00%, 10/1/2029
|
|
| 155,000
|
| 125,466
|
American Express Co.
3.95%, 8/1/2025
|
|
| 2,395,000
|
| 2,317,067
|
American Tower Corp.
3.60%, 1/15/2028
|
|
| 1,715,000
|
| 1,557,357
|
Amgen, Inc.:
|
|
|
|
|
|
5.25%, 3/2/2030
|
|
| 645,000
|
| 629,920
|
5.75%, 3/2/2063
|
|
| 1,040,000
|
| 960,388
|
AmWINS Group, Inc.
4.88%, 6/30/2029 (a)
|
|
| 440,000
|
| 385,132
|
Antero Midstream Partners LP/Antero Midstream Finance Corp.
5.75%, 3/1/2027 (a)
|
|
| 580,000
|
| 552,897
|
Antero Resources Corp.
5.38%, 3/1/2030 (a)
|
|
| 330,000
|
| 303,696
|
APi Group DE, Inc.
4.75%, 10/15/2029 (a)
|
|
| 475,000
|
| 417,117
|
Arrow Electronics, Inc.
3.88%, 1/12/2028
|
|
| 2,177,000
|
| 1,988,080
|
Ashton Woods USA LLC/Ashton Woods Finance Co.
4.63%, 4/1/2030 (a)
|
|
| 625,000
|
| 510,869
|
ASP Unifrax Holdings, Inc.
5.25%, 9/30/2028 (a)
|
|
| 295,000
|
| 210,075
|
AssuredPartners, Inc.
5.63%, 1/15/2029 (a)
|
|
| 410,000
|
| 354,113
|
AT&T, Inc.:
|
|
|
|
|
|
2.25%, 2/1/2032
|
|
| 3,310,000
|
| 2,491,205
|
2.75%, 6/1/2031
|
|
| 750,000
|
| 600,787
|
AthenaHealth Group, Inc.
6.50%, 2/15/2030 (a)
|
|
| 640,000
|
| 534,458
|
Athene Holding Ltd.
3.95%, 5/25/2051
|
|
| 3,720,000
|
| 2,444,896
|
Bank of America Corp.:
|
|
|
|
|
|
5 yr. CMT + 1.20%, 2.48%, 9/21/2036 (b)
|
|
| 5,130,000
|
| 3,749,722
|
SOFR + 1.11%, 3.84%, 4/25/2025 (b)
|
|
| 555,000
|
| 547,125
|
See accompanying notes to Schedule of
Investments.
58
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
September 30, 2023 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
Series MTN, SOFR + 1.75%, 4.83%, 7/22/2026 (b)
|
|
| $765,000
|
| $746,043
|
Bausch & Lomb Escrow Corp.
8.38%, 10/1/2028 (a)
|
|
| 695,000
|
| 696,585
|
Bausch Health Cos., Inc.:
|
|
|
|
|
|
4.88%, 6/1/2028 (a)
|
|
| 530,000
|
| 301,612
|
6.13%, 2/1/2027 (a)
|
|
| 185,000
|
| 115,806
|
11.00%, 9/30/2028 (a)
|
|
| 216,000
|
| 146,234
|
14.00%, 10/15/2030 (a)
|
|
| 28,000
|
| 16,608
|
BCPE Empire Holdings, Inc.
7.63%, 5/1/2027 (a)
|
|
| 545,000
|
| 517,281
|
Beacon Roofing Supply, Inc.
6.50%, 8/1/2030 (a)
|
|
| 540,000
|
| 523,838
|
Becton Dickinson & Co.
4.69%, 2/13/2028
|
|
| 2,305,000
|
| 2,233,084
|
Blackstone Holdings Finance Co. LLC
2.00%, 1/30/2032 (a)
|
|
| 4,135,000
|
| 3,013,340
|
Blue Racer Midstream LLC/Blue Racer Finance Corp.
7.63%, 12/15/2025 (a)
|
|
| 235,000
|
| 235,783
|
Boeing Co.
2.95%, 2/1/2030
|
|
| 3,045,000
|
| 2,564,499
|
Boxer Parent Co., Inc.
7.13%, 10/2/2025 (a)
|
|
| 35,000
|
| 34,847
|
Boyd Gaming Corp.
4.75%, 6/15/2031 (a)
|
|
| 555,000
|
| 471,073
|
BP Capital Markets America, Inc.
4.89%, 9/11/2033
|
|
| 2,745,000
|
| 2,576,265
|
Brighthouse Financial Global Funding
1.00%, 4/12/2024 (a)
|
|
| 750,000
|
| 728,632
|
Broadcom, Inc.
3.42%, 4/15/2033 (a)
|
|
| 3,029,000
|
| 2,414,022
|
Brown & Brown, Inc.
2.38%, 3/15/2031
|
|
| 2,295,000
|
| 1,771,166
|
Builders FirstSource, Inc.:
|
|
|
|
|
|
4.25%, 2/1/2032 (a)
|
|
| 400,000
|
| 328,096
|
5.00%, 3/1/2030 (a)
|
|
| 400,000
|
| 356,308
|
Caesars Entertainment, Inc.:
|
|
|
|
|
|
4.63%, 10/15/2029 (a)
|
|
| 465,000
|
| 394,232
|
7.00%, 2/15/2030 (a)
|
|
| 25,000
|
| 24,313
|
Callon Petroleum Co.
7.50%, 6/15/2030 (a)
|
|
| 550,000
|
| 533,274
|
Calpine Corp.:
|
|
|
|
|
|
4.50%, 2/15/2028 (a)
|
|
| 610,000
|
| 550,110
|
4.63%, 2/1/2029 (a)
|
|
| 205,000
|
| 171,651
|
Capital One Financial Corp. SOFR + 2.16%,
4.99%, 7/24/2026 (b)
|
|
| 2,655,000
|
| 2,575,854
|
Carnival Corp.:
|
|
|
|
|
|
5.75%, 3/1/2027 (a)
|
|
| 725,000
|
| 655,791
|
7.00%, 8/15/2029 (a)
|
|
| 360,000
|
| 355,208
|
9.88%, 8/1/2027 (a)
|
|
| 595,000
|
| 620,871
|
Security Description
|
|
| Principal
Amount
|
| Value
|
Castle U.S. Holding Corp.
9.50%, 2/15/2028 (a)
|
|
| $140,000
|
| $75,027
|
Catalent Pharma Solutions, Inc.
3.50%, 4/1/2030 (a)
|
|
| 205,000
|
| 168,826
|
CCO Holdings LLC/CCO Holdings Capital Corp.:
|
|
|
|
|
|
4.25%, 1/15/2034 (a)
|
|
| 380,000
|
| 280,201
|
4.50%, 8/15/2030 (a)
|
|
| 370,000
|
| 303,489
|
4.75%, 3/1/2030 (a)
|
|
| 755,000
|
| 634,955
|
4.75%, 2/1/2032 (a)
|
|
| 375,000
|
| 300,023
|
5.13%, 5/1/2027 (a)
|
|
| 575,000
|
| 535,543
|
Cedar Fair LP
5.25%, 7/15/2029
|
|
| 580,000
|
| 503,678
|
Central Parent LLC/CDK Global II LLC/CDK Financing Co., Inc.
8.00%, 6/15/2029 (a)
|
|
| 560,000
|
| 559,614
|
Charter Communications Operating LLC/Charter Communications Operating Capital
2.30%, 2/1/2032
|
|
| 4,195,000
|
| 3,057,652
|
Cheniere Energy, Inc.
4.63%, 10/15/2028
|
|
| 2,625,000
|
| 2,419,147
|
Chesapeake Energy Corp.
5.88%, 2/1/2029 (a)
|
|
| 645,000
|
| 606,719
|
Chord Energy Corp.
6.38%, 6/1/2026 (a)
|
|
| 520,000
|
| 510,172
|
CHS/Community Health Systems, Inc.:
|
|
|
|
|
|
4.75%, 2/15/2031 (a)
|
|
| 310,000
|
| 220,057
|
6.00%, 1/15/2029 (a)
|
|
| 220,000
|
| 178,277
|
Citigroup, Inc. 3 mo. USD Term SOFR + 1.65%,
3.67%, 7/24/2028 (b)
|
|
| 5,415,000
|
| 4,963,551
|
Civitas Resources, Inc.
8.38%, 7/1/2028 (a)
|
|
| 700,000
|
| 712,173
|
Clarios Global LP/Clarios U.S. Finance Co.
6.75%, 5/15/2028 (a)
|
|
| 560,000
|
| 546,543
|
Clarivate Science Holdings Corp.
4.88%, 7/1/2029 (a)
|
|
| 205,000
|
| 174,715
|
Clean Harbors, Inc.
5.13%, 7/15/2029 (a)
|
|
| 145,000
|
| 133,374
|
Clear Channel Outdoor Holdings, Inc.:
|
|
|
|
|
|
7.50%, 6/1/2029 (a)
|
|
| 180,000
|
| 137,783
|
9.00%, 9/15/2028 (a)
|
|
| 185,000
|
| 183,374
|
Clearway Energy Operating LLC
4.75%, 3/15/2028 (a)
|
|
| 580,000
|
| 519,564
|
Clydesdale Acquisition Holdings, Inc.
6.63%, 4/15/2029 (a)
|
|
| 205,000
|
| 190,416
|
CNX Midstream Partners LP
4.75%, 4/15/2030 (a)
|
|
| 550,000
|
| 460,284
|
See accompanying notes to Schedule of
Investments.
59
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
September 30, 2023 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
CNX Resources Corp.
6.00%, 1/15/2029 (a)
|
|
| $605,000
|
| $564,404
|
Coherent Corp.
5.00%, 12/15/2029 (a)
|
|
| 390,000
|
| 338,411
|
Comcast Corp.
2.94%, 11/1/2056
|
|
| 4,081,000
|
| 2,318,947
|
CommScope Technologies LLC
5.00%, 3/15/2027 (a)
|
|
| 230,000
|
| 132,841
|
CommScope, Inc.
4.75%, 9/1/2029 (a)
|
|
| 470,000
|
| 345,981
|
Consolidated Communications, Inc.
5.00%, 10/1/2028 (a)
|
|
| 290,000
|
| 217,274
|
Constellation Brands, Inc.:
|
|
|
|
|
|
2.88%, 5/1/2030
|
|
| 2,625,000
|
| 2,200,459
|
3.15%, 8/1/2029
|
|
| 560,000
|
| 490,722
|
Cornerstone Building Brands, Inc.
6.13%, 1/15/2029 (a)
|
|
| 335,000
|
| 254,416
|
Coty, Inc.:
|
|
|
|
|
|
5.00%, 4/15/2026 (a)
|
|
| 1,035,000
|
| 993,983
|
6.50%, 4/15/2026 (a)
|
|
| 245,000
|
| 243,824
|
Coty, Inc./HFC Prestige Products, Inc./HFC Prestige International U.S. LLC
6.63%, 7/15/2030 (a)
|
|
| 645,000
|
| 630,139
|
CQP Holdco LP/BIP-V Chinook Holdco LLC
5.50%, 6/15/2031 (a)
|
|
| 1,015,000
|
| 899,361
|
Crown Castle, Inc.
4.30%, 2/15/2029
|
|
| 2,770,000
|
| 2,552,638
|
CSC Holdings LLC:
|
|
|
|
|
|
5.75%, 1/15/2030 (a)
|
|
| 495,000
|
| 277,165
|
6.50%, 2/1/2029 (a)
|
|
| 445,000
|
| 368,780
|
CSI Compressco LP/CSI Compressco Finance, Inc.
7.50%, 4/1/2025 (a)
|
|
| 385,000
|
| 374,944
|
CSX Corp.
3.35%, 9/15/2049
|
|
| 3,550,000
|
| 2,369,483
|
CVR Partners LP/CVR Nitrogen Finance Corp.
6.13%, 6/15/2028 (a)
|
|
| 280,000
|
| 252,022
|
CVS Health Corp.:
|
|
|
|
|
|
5.13%, 2/21/2030
|
|
| 540,000
|
| 518,605
|
5.30%, 6/1/2033
|
|
| 1,275,000
|
| 1,207,935
|
5.88%, 6/1/2053
|
|
| 1,305,000
|
| 1,208,038
|
Dana, Inc.:
|
|
|
|
|
|
4.25%, 9/1/2030
|
|
| 95,000
|
| 76,212
|
5.38%, 11/15/2027
|
|
| 125,000
|
| 116,053
|
5.63%, 6/15/2028
|
|
| 300,000
|
| 274,503
|
Dealer Tire LLC/DT Issuer LLC
8.00%, 2/1/2028 (a)
|
|
| 270,000
|
| 253,155
|
Security Description
|
|
| Principal
Amount
|
| Value
|
Directv Financing LLC/Directv Financing Co.-Obligor, Inc.
5.88%, 8/15/2027 (a)
|
|
| $320,000
|
| $283,050
|
DISH DBS Corp.:
|
|
|
|
|
|
5.13%, 6/1/2029
|
|
| 290,000
|
| 160,196
|
5.75%, 12/1/2028 (a)
|
|
| 555,000
|
| 426,518
|
5.88%, 11/15/2024
|
|
| 170,000
|
| 158,217
|
Dollar General Corp.:
|
|
|
|
|
|
3.50%, 4/3/2030
|
|
| 2,740,000
|
| 2,335,740
|
4.25%, 9/20/2024
|
|
| 1,190,000
|
| 1,169,544
|
Dollar Tree, Inc.
4.00%, 5/15/2025
|
|
| 2,313,000
|
| 2,238,475
|
Dornoch Debt Merger Sub, Inc.
6.63%, 10/15/2029 (a)
|
|
| 400,000
|
| 330,680
|
DTE Energy Co.:
|
|
|
|
|
|
4.22%, 11/1/2024 (f)
|
|
| 1,355,000
|
| 1,330,095
|
4.88%, 6/1/2028
|
|
| 2,665,000
|
| 2,573,164
|
Duke Energy Carolinas LLC
3.55%, 3/15/2052
|
|
| 1,130,000
|
| 770,615
|
Duke Energy Corp.
2.65%, 9/1/2026
|
|
| 4,120,000
|
| 3,793,325
|
Dun & Bradstreet Corp.
5.00%, 12/15/2029 (a)
|
|
| 730,000
|
| 629,829
|
Elevance Health, Inc.
4.10%, 5/15/2032
|
|
| 2,840,000
|
| 2,525,016
|
Embarq Corp.
8.00%, 6/1/2036
|
|
| 225,000
|
| 126,851
|
Encompass Health Corp.:
|
|
|
|
|
|
4.50%, 2/1/2028
|
|
| 185,000
|
| 168,748
|
4.63%, 4/1/2031
|
|
| 455,000
|
| 386,827
|
4.75%, 2/1/2030
|
|
| 60,000
|
| 52,994
|
Endo Luxembourg Finance Co. I Sarl/Endo U.S., Inc.
6.13%, 4/1/2029 (a) (d)
|
|
| 170,000
|
| 124,595
|
Energizer Holdings, Inc.
6.50%, 12/31/2027 (a)
|
|
| 235,000
|
| 221,349
|
Energy Transfer LP:
|
|
|
|
|
|
4.75%, 1/15/2026
|
|
| 1,185,000
|
| 1,153,017
|
5.00%, 5/15/2044
|
|
| 1,540,000
|
| 1,201,400
|
Entergy Louisiana LLC
4.75%, 9/15/2052
|
|
| 830,000
|
| 678,533
|
EQM Midstream Partners LP:
|
|
|
|
|
|
4.75%, 1/15/2031 (a)
|
|
| 395,000
|
| 340,000
|
6.50%, 7/1/2027 (a)
|
|
| 540,000
|
| 527,542
|
Equinix, Inc.:
|
|
|
|
|
|
2.95%, 9/15/2051
|
|
| 2,561,000
|
| 1,456,236
|
3.90%, 4/15/2032
|
|
| 1,455,000
|
| 1,242,730
|
Essential Utilities, Inc.
3.35%, 4/15/2050
|
|
| 3,950,000
|
| 2,458,796
|
Everi Holdings, Inc.
5.00%, 7/15/2029 (a)
|
|
| 580,000
|
| 499,241
|
Exelon Corp.:
|
|
|
|
|
|
4.10%, 3/15/2052
|
|
| 575,000
|
| 414,489
|
5.15%, 3/15/2028
|
|
| 1,595,000
|
| 1,565,461
|
See accompanying notes to Schedule of
Investments.
60
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
September 30, 2023 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
Expedia Group, Inc.:
|
|
|
|
|
|
3.80%, 2/15/2028
|
|
| $3,360,000
|
| $3,067,646
|
5.00%, 2/15/2026
|
|
| 1,930,000
|
| 1,890,802
|
Exxon Mobil Corp.
2.99%, 3/19/2025
|
|
| 1,490,000
|
| 1,438,908
|
Ferrellgas LP/Ferrellgas Finance Corp.
5.38%, 4/1/2026 (a)
|
|
| 430,000
|
| 403,112
|
Fertitta Entertainment LLC/Fertitta Entertainment Finance Co., Inc.
6.75%, 1/15/2030 (a)
|
|
| 445,000
|
| 362,577
|
Ford Motor Co.
3.25%, 2/12/2032
|
|
| 1,275,000
|
| 980,577
|
Ford Motor Credit Co. LLC:
|
|
|
|
|
|
3.63%, 6/17/2031
|
|
| 545,000
|
| 437,313
|
4.95%, 5/28/2027
|
|
| 400,000
|
| 375,472
|
6.95%, 3/6/2026
|
|
| 1,000,000
|
| 997,510
|
Fortrea Holdings, Inc.
7.50%, 7/1/2030 (a)
|
|
| 580,000
|
| 566,254
|
Fortress Transportation & Infrastructure Investors LLC
5.50%, 5/1/2028 (a)
|
|
| 465,000
|
| 422,015
|
Freeport-McMoRan, Inc.:
|
|
|
|
|
|
4.38%, 8/1/2028
|
|
| 100,000
|
| 91,749
|
4.63%, 8/1/2030
|
|
| 300,000
|
| 270,267
|
5.25%, 9/1/2029
|
|
| 700,000
|
| 661,227
|
Frontier Communications Holdings LLC:
|
|
|
|
|
|
5.00%, 5/1/2028 (a)
|
|
| 250,000
|
| 213,680
|
5.88%, 10/15/2027 (a)
|
|
| 125,000
|
| 113,610
|
5.88%, 11/1/2029
|
|
| 225,000
|
| 164,369
|
Full House Resorts, Inc.
8.25%, 2/15/2028 (a)
|
|
| 185,000
|
| 161,923
|
Gap, Inc.
3.88%, 10/1/2031 (a)
|
|
| 395,000
|
| 277,476
|
General Motors Financial Co., Inc.:
|
|
|
|
|
|
2.40%, 10/15/2028
|
|
| 1,385,000
|
| 1,148,525
|
3.10%, 1/12/2032
|
|
| 630,000
|
| 487,494
|
Georgia-Pacific LLC
3.60%, 3/1/2025 (a)
|
|
| 2,318,000
|
| 2,245,910
|
Goldman Sachs Group, Inc. 3 mo. USD Term SOFR + 1.43%,
6.80%, 5/15/2026 (b)
|
|
| 5,065,000
|
| 5,091,389
|
Goodyear Tire & Rubber Co.
5.25%, 7/15/2031
|
|
| 470,000
|
| 385,931
|
GrafTech Finance, Inc.
4.63%, 12/15/2028 (a)
|
|
| 210,000
|
| 162,311
|
Griffon Corp.
5.75%, 3/1/2028
|
|
| 430,000
|
| 390,096
|
Group 1 Automotive, Inc.
4.00%, 8/15/2028 (a)
|
|
| 285,000
|
| 247,109
|
Guardian Life Global Funding
1.25%, 5/13/2026 (a)
|
|
| 2,150,000
|
| 1,914,596
|
Security Description
|
|
| Principal
Amount
|
| Value
|
Gulfport Energy Corp.
8.00%, 5/17/2026 (a)
|
|
| $175,000
|
| $175,193
|
Halliburton Co.
4.85%, 11/15/2035
|
|
| 1,015,000
|
| 912,485
|
HCA, Inc.:
|
|
|
|
|
|
4.13%, 6/15/2029
|
|
| 1,270,000
|
| 1,148,080
|
5.13%, 6/15/2039
|
|
| 1,290,000
|
| 1,112,715
|
Helios Software Holdings, Inc./ION Corporate Solutions Finance Sarl
4.63%, 5/1/2028 (a)
|
|
| 575,000
|
| 497,300
|
Hertz Corp.
5.00%, 12/1/2029 (a)
|
|
| 125,000
|
| 97,998
|
Hess Midstream Operations LP:
|
|
|
|
|
|
4.25%, 2/15/2030 (a)
|
|
| 750,000
|
| 635,392
|
5.13%, 6/15/2028 (a)
|
|
| 365,000
|
| 336,114
|
5.50%, 10/15/2030 (a)
|
|
| 310,000
|
| 281,623
|
Hewlett Packard Enterprise Co.
5.90%, 10/1/2024
|
|
| 1,005,000
|
| 1,003,945
|
H-Food Holdings LLC/Hearthside Finance Co., Inc.
8.50%, 6/1/2026 (a)
|
|
| 290,000
|
| 72,494
|
Hightower Holding LLC
6.75%, 4/15/2029 (a)
|
|
| 315,000
|
| 270,648
|
Hilcorp Energy I LP/Hilcorp Finance Co.
6.25%, 11/1/2028 (a)
|
|
| 540,000
|
| 505,915
|
Host Hotels & Resorts LP Series I,
3.50%, 9/15/2030
|
|
| 3,077,000
|
| 2,562,679
|
HUB International Ltd.
7.25%, 6/15/2030 (a)
|
|
| 450,000
|
| 447,849
|
Hyundai Capital America
5.68%, 6/26/2028 (a)
|
|
| 1,845,000
|
| 1,803,469
|
Icahn Enterprises LP/Icahn Enterprises Finance Corp.
5.25%, 5/15/2027
|
|
| 385,000
|
| 338,638
|
iHeartCommunications, Inc.
8.38%, 5/1/2027
|
|
| 75,000
|
| 53,766
|
Illuminate Buyer LLC/Illuminate Holdings IV, Inc.
9.00%, 7/1/2028 (a)
|
|
| 410,000
|
| 388,717
|
Installed Building Products, Inc.
5.75%, 2/1/2028 (a)
|
|
| 435,000
|
| 400,513
|
Invitation Homes Operating Partnership LP
2.70%, 1/15/2034
|
|
| 3,430,000
|
| 2,496,457
|
Iron Mountain, Inc.:
|
|
|
|
|
|
7.00%, 2/15/2029 (a)
|
|
| 470,000
|
| 458,175
|
REIT, 4.50%, 2/15/2031 (a)
|
|
| 580,000
|
| 476,847
|
Jacobs Engineering Group, Inc.
5.90%, 3/1/2033
|
|
| 2,620,000
|
| 2,481,847
|
See accompanying notes to Schedule of
Investments.
61
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
September 30, 2023 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc.
3.00%, 2/2/2029
|
|
| $700,000
|
| $588,126
|
JELD-WEN, Inc.
4.88%, 12/15/2027 (a)
|
|
| 590,000
|
| 520,439
|
JPMorgan Chase & Co.:
|
|
|
|
|
|
3 mo. USD Term SOFR + 1.25%, 2.58%, 4/22/2032 (b)
|
|
| 3,190,000
|
| 2,515,825
|
SOFR + 1.26%, 2.96%, 1/25/2033 (b)
|
|
| 3,070,000
|
| 2,448,448
|
SOFR + 1.99%, 4.85%, 7/25/2028 (b)
|
|
| 1,275,000
|
| 1,229,189
|
Kinder Morgan, Inc.
5.20%, 6/1/2033
|
|
| 2,595,000
|
| 2,399,830
|
Leeward Renewable Energy Operations LLC
4.25%, 7/1/2029 (a)
|
|
| 425,000
|
| 348,755
|
Legacy LifePoint Health LLC
4.38%, 2/15/2027 (a)
|
|
| 310,000
|
| 266,606
|
Legends Hospitality Holding Co. LLC/Legends Hospitality Co.-Issuer, Inc.
5.00%, 2/1/2026 (a)
|
|
| 340,000
|
| 334,193
|
Level 3 Financing, Inc.
10.50%, 5/15/2030 (a)
|
|
| 420,000
|
| 422,482
|
LFS Topco LLC
5.88%, 10/15/2026 (a)
|
|
| 345,000
|
| 295,862
|
LifePoint Health, Inc.
5.38%, 1/15/2029 (a)
|
|
| 145,000
|
| 101,472
|
Light & Wonder International, Inc.
7.25%, 11/15/2029 (a)
|
|
| 505,000
|
| 494,723
|
Lions Gate Capital Holdings LLC
5.50%, 4/15/2029 (a)
|
|
| 140,000
|
| 92,417
|
Lowe's Cos., Inc.
4.40%, 9/8/2025
|
|
| 3,075,000
|
| 3,006,335
|
LSF9 Atlantis Holdings LLC/Victra Finance Corp.
7.75%, 2/15/2026 (a)
|
|
| 350,000
|
| 316,939
|
Lumen Technologies, Inc.
4.00%, 2/15/2027 (a)
|
|
| 155,000
|
| 99,925
|
M/I Homes, Inc.
4.95%, 2/1/2028
|
|
| 365,000
|
| 329,073
|
Macy's Retail Holdings LLC
5.88%, 4/1/2029 (a)
|
|
| 265,000
|
| 231,788
|
Madison IAQ LLC:
|
|
|
|
|
|
4.13%, 6/30/2028 (a)
|
|
| 570,000
|
| 491,403
|
5.88%, 6/30/2029 (a)
|
|
| 220,000
|
| 177,065
|
Marriott International, Inc. Series HH,
2.85%, 4/15/2031
|
|
| 3,005,000
|
| 2,416,320
|
Marvell Technology, Inc.
1.65%, 4/15/2026
|
|
| 2,000,000
|
| 1,807,440
|
Security Description
|
|
| Principal
Amount
|
| Value
|
Massachusetts Mutual Life Insurance Co.
3.38%, 4/15/2050 (a)
|
|
| $3,030,000
|
| $1,945,836
|
Match Group Holdings II LLC
5.00%, 12/15/2027 (a)
|
|
| 775,000
|
| 714,201
|
Mativ Holdings, Inc.
6.88%, 10/1/2026 (a)
|
|
| 365,000
|
| 333,146
|
McGraw-Hill Education, Inc.
5.75%, 8/1/2028 (a)
|
|
| 565,000
|
| 490,363
|
Medline Borrower LP
5.25%, 10/1/2029 (a)
|
|
| 795,000
|
| 687,262
|
Merck & Co., Inc.
4.50%, 5/17/2033
|
|
| 805,000
|
| 753,158
|
Meta Platforms, Inc.
5.60%, 5/15/2053
|
|
| 2,525,000
|
| 2,391,427
|
Metis Merger Sub LLC
6.50%, 5/15/2029 (a)
|
|
| 410,000
|
| 345,614
|
MetLife, Inc.
5.25%, 1/15/2054
|
|
| 2,755,000
|
| 2,455,063
|
Michaels Cos., Inc.:
|
|
|
|
|
|
5.25%, 5/1/2028 (a)
|
|
| 360,000
|
| 287,474
|
7.88%, 5/1/2029 (a)
|
|
| 200,000
|
| 131,124
|
Microsoft Corp.
2.92%, 3/17/2052
|
|
| 1,790,000
|
| 1,174,455
|
Midwest Gaming Borrower LLC/Midwest Gaming Finance Corp.
4.88%, 5/1/2029 (a)
|
|
| 555,000
|
| 472,660
|
ModivCare Escrow Issuer, Inc.
5.00%, 10/1/2029 (a)
|
|
| 565,000
|
| 405,410
|
Monongahela Power Co.
5.40%, 12/15/2043 (a)
|
|
| 1,425,000
|
| 1,259,073
|
Morgan Stanley SOFR + 1.36%,
2.48%, 9/16/2036 (b)
|
|
| 6,835,000
|
| 4,994,745
|
Moss Creek Resources Holdings, Inc.
7.50%, 1/15/2026 (a)
|
|
| 90,000
|
| 87,157
|
MPLX LP
1.75%, 3/1/2026
|
|
| 1,105,000
|
| 1,001,948
|
Murphy Oil USA, Inc.
4.75%, 9/15/2029
|
|
| 285,000
|
| 256,945
|
Nabors Industries Ltd.
7.25%, 1/15/2026 (a)
|
|
| 305,000
|
| 293,764
|
National Rural Utilities Cooperative Finance Corp.
4.80%, 3/15/2028
|
|
| 450,000
|
| 438,921
|
Nationstar Mortgage Holdings, Inc.
5.75%, 11/15/2031 (a)
|
|
| 480,000
|
| 397,882
|
Navient Corp.
5.00%, 3/15/2027
|
|
| 285,000
|
| 256,181
|
NCL Corp. Ltd.:
|
|
|
|
|
|
5.88%, 3/15/2026 (a)
|
|
| 395,000
|
| 365,592
|
8.38%, 2/1/2028 (a)
|
|
| 275,000
|
| 278,999
|
NetApp, Inc.
1.88%, 6/22/2025
|
|
| 2,035,000
|
| 1,902,318
|
See accompanying notes to Schedule of
Investments.
62
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
September 30, 2023 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
News Corp.
5.13%, 2/15/2032 (a)
|
|
| $155,000
|
| $135,431
|
NextEra Energy Capital Holdings, Inc.
4.26%, 9/1/2024
|
|
| 1,135,000
|
| 1,116,670
|
NGL Energy Operating LLC/NGL Energy Finance Corp.
7.50%, 2/1/2026 (a)
|
|
| 465,000
|
| 459,666
|
NGL Energy Partners LP/NGL Energy Finance Corp.
7.50%, 4/15/2026
|
|
| 110,000
|
| 105,472
|
Novelis Corp.
4.75%, 1/30/2030 (a)
|
|
| 455,000
|
| 394,185
|
NRG Energy, Inc.
3.63%, 2/15/2031 (a)
|
|
| 785,000
|
| 595,470
|
NuStar Logistics LP
6.00%, 6/1/2026
|
|
| 550,000
|
| 534,369
|
Occidental Petroleum Corp.
6.63%, 9/1/2030
|
|
| 1,125,000
|
| 1,139,850
|
Olympus Water U.S. Holding Corp.:
|
|
|
|
|
|
4.25%, 10/1/2028 (a)
|
|
| 400,000
|
| 325,892
|
6.25%, 10/1/2029 (a)
|
|
| 200,000
|
| 157,410
|
Omnicom Group, Inc.
2.45%, 4/30/2030
|
|
| 2,935,000
|
| 2,366,490
|
OneMain Finance Corp.:
|
|
|
|
|
|
5.38%, 11/15/2029
|
|
| 250,000
|
| 209,308
|
7.13%, 3/15/2026
|
|
| 324,000
|
| 316,820
|
Oracle Corp.:
|
|
|
|
|
|
3.60%, 4/1/2050
|
|
| 2,935,000
|
| 1,896,920
|
3.80%, 11/15/2037
|
|
| 305,000
|
| 232,322
|
6.25%, 11/9/2032
|
|
| 165,000
|
| 166,942
|
Organon & Co./Organon Foreign Debt Co.-Issuer BV
5.13%, 4/30/2031 (a)
|
|
| 770,000
|
| 617,486
|
Owens & Minor, Inc.
6.63%, 4/1/2030 (a)
|
|
| 530,000
|
| 470,449
|
Pacific Gas & Electric Co.
2.50%, 2/1/2031
|
|
| 1,560,000
|
| 1,184,602
|
Pactiv Evergreen Group Issuer, Inc./Pactiv Evergreen Group Issuer LLC
4.00%, 10/15/2027 (a)
|
|
| 550,000
|
| 488,180
|
Park Intermediate Holdings LLC/PK Domestic Property LLC/PK Finance Co-Issuer
4.88%, 5/15/2029 (a)
|
|
| 850,000
|
| 722,755
|
Parker-Hannifin Corp.
4.25%, 9/15/2027
|
|
| 655,000
|
| 625,394
|
PBF Holding Co. LLC/PBF Finance Corp.
6.00%, 2/15/2028
|
|
| 240,000
|
| 226,164
|
PECF USS Intermediate Holding III Corp.
8.00%, 11/15/2029 (a)
|
|
| 100,000
|
| 54,247
|
Security Description
|
|
| Principal
Amount
|
| Value
|
Penn Entertainment, Inc.:
|
|
|
|
|
|
4.13%, 7/1/2029 (a)
|
|
| $210,000
|
| $170,482
|
5.63%, 1/15/2027 (a)
|
|
| 185,000
|
| 173,981
|
PennyMac Financial Services, Inc.
4.25%, 2/15/2029 (a)
|
|
| 635,000
|
| 513,220
|
Penske Truck Leasing Co. LP/PTL Finance Corp.:
|
|
|
|
|
|
4.20%, 4/1/2027 (a)
|
|
| 1,220,000
|
| 1,136,271
|
4.40%, 7/1/2027 (a)
|
|
| 175,000
|
| 163,875
|
PepsiCo, Inc.
3.60%, 2/18/2028
|
|
| 750,000
|
| 708,832
|
Performance Food Group, Inc.
4.25%, 8/1/2029 (a)
|
|
| 380,000
|
| 328,195
|
Permian Resources Operating LLC
7.00%, 1/15/2032 (a)
|
|
| 560,000
|
| 552,406
|
PetSmart, Inc./PetSmart Finance Corp.:
|
|
|
|
|
|
4.75%, 2/15/2028 (a)
|
|
| 625,000
|
| 547,750
|
7.75%, 2/15/2029 (a)
|
|
| 1,000,000
|
| 932,240
|
Philip Morris International, Inc.
5.50%, 9/7/2030
|
|
| 2,870,000
|
| 2,789,669
|
Phillips 66 Co.
4.95%, 12/1/2027
|
|
| 910,000
|
| 890,308
|
Pike Corp.
5.50%, 9/1/2028 (a)
|
|
| 560,000
|
| 491,148
|
Post Holdings, Inc.:
|
|
|
|
|
|
4.63%, 4/15/2030 (a)
|
|
| 90,000
|
| 77,088
|
5.50%, 12/15/2029 (a)
|
|
| 140,000
|
| 126,874
|
Premier Entertainment Sub LLC/Premier Entertainment Finance Corp.
5.63%, 9/1/2029 (a)
|
|
| 260,000
|
| 199,922
|
Prime Security Services Borrower LLC/Prime Finance, Inc.
6.25%, 1/15/2028 (a)
|
|
| 220,000
|
| 203,722
|
Qorvo, Inc.
1.75%, 12/15/2024 (a)
|
|
| 950,000
|
| 894,805
|
Quanta Services, Inc.
2.35%, 1/15/2032
|
|
| 3,190,000
|
| 2,402,899
|
Radiate Holdco LLC/Radiate Finance, Inc.
4.50%, 9/15/2026 (a)
|
|
| 120,000
|
| 90,942
|
Radiology Partners, Inc.
9.25%, 2/1/2028 (a)
|
|
| 150,000
|
| 60,483
|
Realogy Group LLC/Realogy Co.-Issuer Corp.
5.25%, 4/15/2030 (a)
|
|
| 290,000
|
| 201,243
|
Realty Income Corp.
5.05%, 1/13/2026
|
|
| 1,360,000
|
| 1,341,042
|
RegionalCare Hospital Partners Holdings, Inc./LifePoint Health, Inc.
9.75%, 12/1/2026 (a)
|
|
| 195,000
|
| 189,189
|
See accompanying notes to Schedule of
Investments.
63
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
September 30, 2023 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
Roller Bearing Co. of America, Inc.
4.38%, 10/15/2029 (a)
|
|
| $555,000
|
| $480,280
|
Royal Caribbean Cruises Ltd.:
|
|
|
|
|
|
5.50%, 8/31/2026 (a)
|
|
| 420,000
|
| 396,350
|
7.25%, 1/15/2030 (a)
|
|
| 70,000
|
| 69,382
|
Royalty Pharma PLC
3.30%, 9/2/2040
|
|
| 3,620,000
|
| 2,369,290
|
RP Escrow Issuer LLC
5.25%, 12/15/2025 (a)
|
|
| 190,000
|
| 139,623
|
Ryan Specialty LLC
4.38%, 2/1/2030 (a)
|
|
| 575,000
|
| 501,337
|
Sabine Pass Liquefaction LLC
5.00%, 3/15/2027
|
|
| 1,670,000
|
| 1,619,800
|
Santander Holdings USA, Inc. SOFR + 1.25%,
2.49%, 1/6/2028 (b)
|
|
| 2,825,000
|
| 2,451,846
|
Scientific Games Holdings LP/Scientific Games U.S. FinCo, Inc.
6.63%, 3/1/2030 (a)
|
|
| 555,000
|
| 478,948
|
Scotts Miracle-Gro Co.
4.50%, 10/15/2029
|
|
| 380,000
|
| 310,692
|
Scripps Escrow II, Inc.
3.88%, 1/15/2029 (a)
|
|
| 170,000
|
| 127,935
|
SEG Holding LLC/SEG Finance Corp.
5.63%, 10/15/2028 (a)
|
|
| 605,000
|
| 606,367
|
Select Medical Corp.
6.25%, 8/15/2026 (a)
|
|
| 490,000
|
| 478,750
|
Sirius XM Radio, Inc.
5.50%, 7/1/2029 (a)
|
|
| 1,025,000
|
| 906,920
|
Sitio Royalties Operating Partnership LP/Sitio Finance Corp.
7.88%, 11/1/2028 (a) (e)
|
|
| 115,000
|
| 115,282
|
SK Invictus Intermediate II Sarl
5.00%, 10/30/2029 (a)
|
|
| 195,000
|
| 156,259
|
Smithfield Foods, Inc.
4.25%, 2/1/2027 (a)
|
|
| 2,440,000
|
| 2,255,316
|
Sonic Automotive, Inc.
4.63%, 11/15/2029 (a)
|
|
| 515,000
|
| 425,848
|
Southern Co.:
|
|
|
|
|
|
Series 21-A, VRN, 5 yr. CMT + 2.92%, 3.75%, 9/15/2051 (b)
|
|
| 200,000
|
| 174,580
|
Series A, 3.70%, 4/30/2030
|
|
| 2,890,000
|
| 2,555,887
|
Southwestern Energy Co.:
|
|
|
|
|
|
4.75%, 2/1/2032
|
|
| 430,000
|
| 368,884
|
5.38%, 2/1/2029
|
|
| 410,000
|
| 377,393
|
Spectrum Brands, Inc.
5.00%, 10/1/2029 (a)
|
|
| 670,000
|
| 605,432
|
SRS Distribution, Inc.:
|
|
|
|
|
|
4.63%, 7/1/2028 (a)
|
|
| 315,000
|
| 272,412
|
6.13%, 7/1/2029 (a)
|
|
| 285,000
|
| 242,965
|
Security Description
|
|
| Principal
Amount
|
| Value
|
Standard Industries, Inc.
4.38%, 7/15/2030 (a)
|
|
| $680,000
|
| $563,217
|
Staples, Inc.:
|
|
|
|
|
|
7.50%, 4/15/2026 (a)
|
|
| 275,000
|
| 226,207
|
10.75%, 4/15/2027 (a)
|
|
| 145,000
|
| 84,898
|
Station Casinos LLC
4.63%, 12/1/2031 (a)
|
|
| 295,000
|
| 237,596
|
Suburban Propane Partners LP/Suburban Energy Finance Corp.
5.00%, 6/1/2031 (a)
|
|
| 630,000
|
| 525,653
|
SunCoke Energy, Inc.
4.88%, 6/30/2029 (a)
|
|
| 510,000
|
| 432,511
|
Sunoco LP/Sunoco Finance Corp.:
|
|
|
|
|
|
4.50%, 5/15/2029
|
|
| 150,000
|
| 131,595
|
6.00%, 4/15/2027
|
|
| 170,000
|
| 164,635
|
SWF Escrow Issuer Corp.
6.50%, 10/1/2029 (a)
|
|
| 165,000
|
| 105,554
|
Sysco Corp.
3.25%, 7/15/2027
|
|
| 1,330,000
|
| 1,221,100
|
Tenet Healthcare Corp.:
|
|
|
|
|
|
6.13%, 10/1/2028
|
|
| 230,000
|
| 215,850
|
6.13%, 6/15/2030
|
|
| 450,000
|
| 422,717
|
6.25%, 2/1/2027
|
|
| 245,000
|
| 236,979
|
T-Mobile USA, Inc.
2.25%, 2/15/2026
|
|
| 4,175,000
|
| 3,845,634
|
TMS International Corp.
6.25%, 4/15/2029 (a)
|
|
| 180,000
|
| 149,067
|
Townsquare Media, Inc.
6.88%, 2/1/2026 (a)
|
|
| 445,000
|
| 418,496
|
TransDigm, Inc.:
|
|
|
|
|
|
5.50%, 11/15/2027
|
|
| 520,000
|
| 488,030
|
6.25%, 3/15/2026 (a)
|
|
| 450,000
|
| 443,840
|
6.88%, 12/15/2030 (a)
|
|
| 915,000
|
| 896,627
|
Transocean Poseidon Ltd.
6.88%, 2/1/2027 (a)
|
|
| 555,000
|
| 545,887
|
Trident TPI Holdings, Inc.
12.75%, 12/31/2028 (a)
|
|
| 355,000
|
| 370,567
|
Triton Water Holdings, Inc.
6.25%, 4/1/2029 (a)
|
|
| 220,000
|
| 179,993
|
Truist Financial Corp. Series MTN, SOFR + 1.44%,
4.87%, 1/26/2029 (b)
|
|
| 1,100,000
|
| 1,032,779
|
U.S. Foods, Inc.:
|
|
|
|
|
|
4.75%, 2/15/2029 (a)
|
|
| 515,000
|
| 460,353
|
7.25%, 1/15/2032 (a)
|
|
| 1,090,000
|
| 1,088,899
|
United Airlines, Inc.
4.63%, 4/15/2029 (a)
|
|
| 745,000
|
| 640,946
|
United Natural Foods, Inc.
6.75%, 10/15/2028 (a)
|
|
| 325,000
|
| 247,881
|
UnitedHealth Group, Inc.
4.25%, 1/15/2029
|
|
| 5,225,000
|
| 4,968,714
|
See accompanying notes to Schedule of
Investments.
64
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
September 30, 2023 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
Uniti Group LP/Uniti Group Finance, Inc./CSL Capital LLC
10.50%, 2/15/2028 (a)
|
|
| $140,000
|
| $137,211
|
Univision Communications, Inc.:
|
|
|
|
|
|
4.50%, 5/1/2029 (a)
|
|
| 325,000
|
| 264,492
|
7.38%, 6/30/2030 (a)
|
|
| 125,000
|
| 114,301
|
Upbound Group, Inc.
6.38%, 2/15/2029 (a)
|
|
| 160,000
|
| 142,080
|
Venture Global LNG, Inc.:
|
|
|
|
|
|
8.13%, 6/1/2028 (a)
|
|
| 375,000
|
| 371,351
|
8.38%, 6/1/2031 (a)
|
|
| 245,000
|
| 241,533
|
Veralto Corp.
5.35%, 9/18/2028 (a)
|
|
| 1,355,000
|
| 1,339,268
|
Verizon Communications, Inc.
1.75%, 1/20/2031
|
|
| 3,299,000
|
| 2,485,434
|
Viatris, Inc.
1.65%, 6/22/2025
|
|
| 800,000
|
| 738,800
|
Victoria's Secret & Co.
4.63%, 7/15/2029 (a)
|
|
| 335,000
|
| 242,791
|
Viking Cruises Ltd.:
|
|
|
|
|
|
5.88%, 9/15/2027 (a)
|
|
| 875,000
|
| 797,939
|
9.13%, 7/15/2031 (a)
|
|
| 510,000
|
| 510,831
|
Virtusa Corp.
7.13%, 12/15/2028 (a)
|
|
| 130,000
|
| 104,997
|
Vistra Operations Co. LLC
7.75%, 10/15/2031 (a)
|
|
| 845,000
|
| 832,469
|
VT Topco, Inc.
8.50%, 8/15/2030 (a)
|
|
| 535,000
|
| 529,693
|
WASH Multifamily Acquisition, Inc.
5.75%, 4/15/2026 (a)
|
|
| 555,000
|
| 518,120
|
Weatherford International Ltd.:
|
|
|
|
|
|
6.50%, 9/15/2028 (a)
|
|
| 385,000
|
| 385,019
|
8.63%, 4/30/2030 (a)
|
|
| 440,000
|
| 442,812
|
Wells Fargo & Co.:
|
|
|
|
|
|
Series MTN, 3 mo. USD Term SOFR + 1.57%, 3.58%, 5/22/2028 (b)
|
|
| 2,805,000
|
| 2,564,640
|
Series MTN, SOFR + 1.98%, 4.81%, 7/25/2028 (b)
|
|
| 1,020,000
|
| 973,121
|
Welltower OP LLC
2.05%, 1/15/2029
|
|
| 3,100,000
|
| 2,558,895
|
Wheel Pros, Inc.
6.50%, 5/15/2029 (a)
|
|
| 100,000
|
| 33,495
|
Williams Cos., Inc.
3.75%, 6/15/2027
|
|
| 1,081,000
|
| 1,005,633
|
Workday, Inc.
3.70%, 4/1/2029
|
|
| 2,850,000
|
| 2,584,636
|
WR Grace Holdings LLC
5.63%, 8/15/2029 (a)
|
|
| 600,000
|
| 483,948
|
WRKCo, Inc.
3.75%, 3/15/2025
|
|
| 2,310,000
|
| 2,242,456
|
Security Description
|
|
| Principal
Amount
|
| Value
|
Wyndham Hotels & Resorts, Inc.
4.38%, 8/15/2028 (a)
|
|
| $585,000
|
| $525,213
|
XHR LP:
|
|
|
|
|
|
4.88%, 6/1/2029 (a)
|
|
| 1,125,000
|
| 956,126
|
6.38%, 8/15/2025 (a)
|
|
| 265,000
|
| 260,177
|
XPO, Inc.
7.13%, 6/1/2031 (a)
|
|
| 680,000
|
| 669,412
|
Yum! Brands, Inc.
4.75%, 1/15/2030 (a)
|
|
| 375,000
|
| 336,653
|
|
|
|
|
| 313,332,981
|
VIETNAM — 0.0% (c)
|
|
|
|
|
Mong Duong Finance Holdings BV Series REGS,
5.13%, 5/7/2029
|
|
| 250,000
|
| 226,602
|
TOTAL CORPORATE BONDS & NOTES
(Cost $460,557,574)
|
|
|
|
| 413,457,643
|
ASSET-BACKED SECURITIES — 13.0%
|
|
|
|
|
|
ACE Securities Corp. Home Equity Loan Trust:
|
|
|
|
|
|
Series 2006-FM1, Class A2C, ABS, 1 mo. USD Term SOFR + 0.41%, 5.73%, 7/25/2036 (b)
|
|
| 8,448,436
|
| 2,090,129
|
Series 2007-WM2, Class A2C, ABS, 1 mo. USD Term SOFR + 0.39%, 5.71%, 2/25/2037 (b)
|
|
| 2,783,069
|
| 1,150,416
|
ACRE Commercial Mortgage Ltd. Series 2021-FL4, Class B, 1 mo. USD Term SOFR + 1.51%,
6.85%, 12/18/2037 (a) (b)
|
|
| 3,000,000
|
| 2,893,302
|
Affirm Asset Securitization Trust:
|
|
|
|
|
|
Series 2022-A, Class A, 4.30%, 5/17/2027 (a)
|
|
| 3,000,000
|
| 2,936,017
|
Series 2023-A, Class A, 6.61%, 1/18/2028 (a)
|
|
| 1,750,000
|
| 1,736,561
|
Series 2023-B, Class A, 6.82%, 9/15/2028 (a)
|
|
| 5,250,000
|
| 5,254,932
|
AIMCO CLO 11 Ltd. Series 2020-11A, Class AR, 3 mo. USD Term SOFR + 1.39%,
6.70%, 10/17/2034 (a) (b)
|
|
| 2,000,000
|
| 1,987,580
|
Aligned Data Centers Issuer LLC Series 2023-1A, Class A2,
6.00%, 8/17/2048 (a)
|
|
| 5,000,000
|
| 4,821,114
|
See accompanying notes to Schedule of
Investments.
65
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
September 30, 2023 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
Allegro CLO II-S Ltd. Series 2014-1RA, Class A1, 3 mo. USD Term SOFR + 1.34%,
6.68%, 10/21/2028 (a) (b)
|
|
| $265,873
|
| $265,447
|
Ameriquest Mortgage Securities, Inc. Asset-Backed Pass-Through Certificates Series 2004-FR1, Class M5,
3.87%, 5/25/2034 (f)
|
|
| 4,804,032
|
| 3,315,123
|
AMSR Trust:
|
|
|
|
|
|
Series 2021-SFR2, Class E1, ABS, 2.48%, 8/17/2038 (a)
|
|
| 3,000,000
|
| 2,580,524
|
Series 2021-SFR2, Class F1, ABS, 3.28%, 8/17/2038 (a)
|
|
| 3,000,000
|
| 2,556,621
|
Series 2021-SFR2, Class F2, ABS, 3.67%, 8/17/2038 (a)
|
|
| 2,000,000
|
| 1,698,791
|
Series 2023-SFR1, Class B, 4.00%, 4/17/2040 (a)
|
|
| 12,000,000
|
| 10,903,968
|
Series 2023-SFR2, Class A, 3.95%, 6/17/2040 (a)
|
|
| 6,800,000
|
| 6,210,112
|
Anchorage Capital CLO 19 Ltd. Series 2021-19A, Class A, ABS, 3 mo. USD Term SOFR + 1.47%,
6.78%, 10/15/2034 (a) (b)
|
|
| 2,000,000
|
| 1,982,200
|
AREIT Trust Series 2021-CRE5, Class B, 1 mo. USD Term SOFR + 1.93%,
7.27%, 11/17/2038 (a) (b)
|
|
| 300,000
|
| 288,798
|
Argent Securities Trust Series 2006-M1, Class A2B, ABS, 1 mo. USD Term SOFR + 0.29%,
5.61%, 7/25/2036 (b)
|
|
| 17,566,922
|
| 4,502,166
|
Bain Capital Credit CLO Ltd.:
|
|
|
|
|
|
Series 2018-1A, Class A1, 3 mo. USD Term SOFR + 1.22%, 6.57%, 4/23/2031 (a) (b)
|
|
| 496,719
|
| 494,633
|
Series 2019-3A, Class DR, ABS, 3 mo. USD Term SOFR + 3.36%, 8.70%, 10/21/2034 (a) (b)
|
|
| 1,000,000
|
| 943,748
|
Series 2020-5A, Class D, ABS, 3 mo. USD Term SOFR + 3.81%, 9.14%, 1/20/2032 (a) (b)
|
|
| 2,500,000
|
| 2,450,292
|
Series 2021-6A, Class A1, 3 mo. USD Term SOFR + 1.41%, 6.75%, 10/21/2034 (a) (b)
|
|
| 3,000,000
|
| 2,963,100
|
Security Description
|
|
| Principal
Amount
|
| Value
|
Series 2022-3A, Class D, 3 mo. USD Term SOFR + 3.70%, 9.01%, 7/17/2035 (a) (b)
|
|
| $1,000,000
|
| $948,741
|
Series 2023-3A, Class C, 3 mo. USD Term SOFR + 3.25%, 8.62%, 7/24/2036 (a) (b)
|
|
| 2,000,000
|
| 2,011,222
|
Blackbird Capital Aircraft Series 2021-1A, Class B, ABS,
3.45%, 7/15/2046 (a)
|
|
| 4,219,543
|
| 3,523,318
|
BNC Mortgage Loan Trust Series 2006-1, Class A1, ABS, 1 mo. USD Term SOFR + 0.47%,
4.00%, 10/25/2036 (b)
|
|
| 16,475,092
|
| 11,256,697
|
BSPRT Issuer Ltd. Series 2021-FL6, Class A, ABS, 1 mo. USD Term SOFR + 1.21%,
6.55%, 3/15/2036 (a) (b)
|
|
| 580,000
|
| 572,227
|
Canyon Capital CLO Ltd.:
|
|
|
|
|
|
Series 2017-1A, Class DR, ABS, 3 mo. USD Term SOFR + 3.26%, 8.57%, 7/15/2030 (a) (b)
|
|
| 1,000,000
|
| 964,047
|
Series 2021-1A, Class D, ABS, 3 mo. USD Term SOFR + 3.36%, 8.67%, 4/15/2034 (a) (b)
|
|
| 2,000,000
|
| 1,911,606
|
Carlyle U.S. CLO Ltd.:
|
|
|
|
|
|
Series 2021-1A, Class D, ABS, 3 mo. USD Term SOFR + 6.26%, 11.57%, 4/15/2034 (a) (b)
|
|
| 1,000,000
|
| 937,563
|
Series 2022-2A, Class A2, 3 mo. USD Term SOFR + 2.00%, 7.33%, 4/20/2035 (a) (b)
|
|
| 2,000,000
|
| 1,984,236
|
Series 2023-3A, Class B, 3 mo. USD Term SOFR + 2.60%, 7.94%, 10/15/2036 (a) (b)
|
|
| 3,000,000
|
| 3,001,401
|
Series 2023-3A, Class C, 3 mo. USD Term SOFR + 3.00%, 8.34%, 10/15/2036 (a) (b)
|
|
| 2,000,000
|
| 1,998,652
|
Catamaran CLO Ltd. Series 2018-1A, Class C, 3 mo. USD Term SOFR + 2.76%,
8.11%, 10/25/2031 (a) (b)
|
|
| 1,000,000
|
| 979,362
|
Cathedral Lake VIII Ltd. Series 2021-8A, Class C, 3 mo. USD Term SOFR + 2.88%,
8.22%, 1/20/2035 (a) (b)
|
|
| 2,550,000
|
| 2,471,205
|
See accompanying notes to Schedule of
Investments.
66
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
September 30, 2023 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
CIFC Funding Ltd.:
|
|
|
|
|
|
Series 2013-1A, Class CR, ABS, 3 mo. USD Term SOFR + 3.81%, 9.12%, 7/16/2030 (a) (b)
|
|
| $1,000,000
|
| $983,400
|
Series 2021-1A, Class E, ABS, 3 mo. USD Term SOFR + 6.26%, 11.61%, 4/25/2033 (a) (b)
|
|
| 500,000
|
| 472,294
|
Series 2021-6A, Class B, 3 mo. USD Term SOFR + 1.91%, 7.22%, 10/15/2034 (a) (b)
|
|
| 1,000,000
|
| 979,200
|
Series 2022-3A, Class B, 3 mo. USD Term SOFR + 2.00%, 7.33%, 4/21/2035 (a) (b)
|
|
| 2,000,000
|
| 1,966,200
|
CyrusOne Data Centers Issuer I LLC Series 2023-1A, Class A2,
4.30%, 4/20/2048 (a)
|
|
| 5,000,000
|
| 4,402,220
|
DataBank Issuer Series 2023-1A, Class A2,
5.12%, 2/25/2053 (a)
|
|
| 4,000,000
|
| 3,657,385
|
Drive Auto Receivables Trust Series 2021-3, Class C,
1.47%, 1/15/2027
|
|
| 4,000,000
|
| 3,873,414
|
Dryden 37 Senior Loan Fund Series 2015-37A, Class BR, 3 mo. USD Term SOFR + 1.66%,
6.97%, 1/15/2031 (a) (b)
|
|
| 1,626,877
|
| 1,591,574
|
Dryden 68 CLO Ltd. Series 2019-68A, Class DR, ABS, 3 mo. USD Term SOFR + 3.61%,
8.92%, 7/15/2035 (a) (b)
|
|
| 1,500,000
|
| 1,410,037
|
Elmwood CLO VIII Ltd. Series 2021-1A, Class D1, ABS, 3 mo. USD Term SOFR + 3.26%,
8.59%, 1/20/2034 (a) (b)
|
|
| 1,500,000
|
| 1,465,266
|
Exeter Automobile Receivables Trust:
|
|
|
|
|
|
Series 2021-1A, Class D, ABS, 1.08%, 11/16/2026
|
|
| 1,000,000
|
| 951,862
|
Series 2021-1A, Class E, ABS, 2.21%, 2/15/2028 (a)
|
|
| 1,500,000
|
| 1,365,397
|
Fillmore Park CLO Ltd. Series 2018-1A, Class D, 3 mo. USD Term SOFR + 3.16%,
8.47%, 7/15/2030 (a) (b)
|
|
| 1,000,000
|
| 965,700
|
First Franklin Mortgage Loan Trust Series 2007-FF2, Class A1, ABS, 1 mo. USD Term SOFR + 0.39%,
5.71%, 3/25/2037 (b)
|
|
| 8,844,008
|
| 4,524,595
|
Security Description
|
|
| Principal
Amount
|
| Value
|
FirstKey Homes Trust:
|
|
|
|
|
|
Series 2020-SFR2, Class D, ABS, 1.97%, 10/19/2037 (a)
|
|
| $2,000,000
|
| $1,810,359
|
Series 2020-SFR2, Class E, 2.67%, 10/19/2037 (a)
|
|
| 2,000,000
|
| 1,820,936
|
FMC GMSR Issuer Trust:
|
|
|
|
|
|
Series 2020-GT1, Class A, CMO, VRN, 4.45%, 1/25/2026 (a) (b)
|
|
| 3,000,000
|
| 2,597,627
|
Series 2021-GT2, Class A, 3.85%, 10/25/2026 (a) (b)
|
|
| 2,650,000
|
| 2,174,631
|
FREED ABS Trust Series 2021-2, Class C, ABS,
1.94%, 6/19/2028 (a)
|
|
| 2,265,961
|
| 2,233,323
|
FS Rialto Issuer LLC Series 2021-FL2, Class A, ABS, 1 mo. USD Term SOFR + 1.33%,
6.67%, 5/16/2038 (a) (b)
|
|
| 1,966,844
|
| 1,932,999
|
GAIA Aviation Ltd. Series 2019-1, Class A,
3.97%, 12/15/2044 (a) (f)
|
|
| 1,075,934
|
| 967,313
|
Galaxy XXII CLO Ltd. Series 2016-22A, Class CRR, 3 mo. USD Term SOFR + 2.41%,
7.72%, 4/16/2034 (a) (b)
|
|
| 500,000
|
| 488,100
|
Galaxy XXVIII CLO Ltd. Series 2018-28A, Class D, ABS, 3 mo. USD Term SOFR + 3.26%,
8.57%, 7/15/2031 (a) (b)
|
|
| 2,100,000
|
| 1,996,789
|
GLS Auto Receivables Issuer Trust Series 2021-2A, Class C,
1.08%, 6/15/2026 (a)
|
|
| 3,475,085
|
| 3,398,370
|
Goldentree Loan Management U.S. CLO Ltd. Series 2022-15A, Class DR, 3 mo. USD Term SOFR + 4.40%,
9.74%, 10/20/2036 (a) (b)
|
|
| 1,000,000
|
| 995,007
|
GoodLeap Sustainable Home Solutions Trust Series 2021-5CS, Class C,
3.50%, 10/20/2048 (a)
|
|
| 3,166,985
|
| 2,247,023
|
Greystone CRE Notes Ltd. Series 2021-FL3, Class B, ABS, 1 mo. USD Term SOFR + 1.76%,
7.10%, 7/15/2039 (a) (b)
|
|
| 2,925,000
|
| 2,779,897
|
GSAA Home Equity Trust:
|
|
|
|
|
|
Series 2007-10, Class A2A, 6.50%, 11/25/2037
|
|
| 2,133,901
|
| 824,569
|
See accompanying notes to Schedule of
Investments.
67
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
September 30, 2023 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
Series 2007-4, Class A3A, ABS, 1 mo. USD Term SOFR + 0.71%, 6.03%, 3/25/2037 (b)
|
|
| $5,731,483
|
| $2,186,911
|
Hardee's Funding LLC Series 2018-1A, Class A23, ABS,
5.71%, 6/20/2048 (a)
|
|
| 1,615,000
|
| 1,442,429
|
Hayfin Kingsland X Ltd. Series 2019-1A, Class B1R, ABS, 3 mo. USD Term SOFR + 2.11%,
7.48%, 4/28/2031 (a) (b)
|
|
| 2,000,000
|
| 1,987,214
|
Invesco U.S. CLO Ltd.:
|
|
|
|
|
|
Series 2023-3A, Class B, 3 mo. USD Term SOFR + 2.65%, 8.07%, 7/15/2036 (a) (b)
|
|
| 1,000,000
|
| 1,000,258
|
Series 2023-3A, Class C, 3 mo. USD Term SOFR + 3.15%, 8.57%, 7/15/2036 (a) (b)
|
|
| 1,000,000
|
| 999,079
|
Jamestown CLO XII Ltd. Series 2019-1A, Class A2, ABS, 3 mo. USD Term SOFR + 2.41%,
7.74%, 4/20/2032 (a) (b)
|
|
| 1,000,000
|
| 997,600
|
JOL Air Ltd. Series 2019-1, Class A,
3.97%, 4/15/2044 (a)
|
|
| 2,025,815
|
| 1,825,888
|
Katayma CLO I Ltd. Series 2023-1A, Class DL, 3 mo. USD Term SOFR - 5.25%,
0.00%, 10/20/2036 (a) (b) (e)
|
|
| 5,000,000
|
| 5,000,000
|
LCCM Trust Series 2021-FL3, Class A, 1 mo. USD Term SOFR + 1.56%,
6.90%, 11/15/2038 (a) (b)
|
|
| 2,864,000
|
| 2,832,270
|
LCM XVIII LP Series 18A, Class CR, 3 mo. USD Term SOFR + 2.11%,
7.44%, 4/20/2031 (a) (b)
|
|
| 1,435,000
|
| 1,374,730
|
Lendbuzz Securitization Trust Series 2022-1A, Class A,
4.22%, 5/17/2027 (a)
|
|
| 2,485,645
|
| 2,410,184
|
LendingPoint Asset Securitization Trust Series 2021-A, Class C, ABS,
2.75%, 12/15/2028 (a)
|
|
| 2,800,785
|
| 2,747,275
|
Madison Park Funding XLVIII Ltd. Series 2021-48A, Class D, ABS, 3 mo. USD Term SOFR + 3.26%,
8.58%, 4/19/2033 (a) (b)
|
|
| 1,000,000
|
| 974,673
|
Madison Park Funding XVII Ltd. Series 2015-17A, Class DR, 3 mo. USD Term SOFR + 3.86%,
9.20%, 7/21/2030 (a) (b)
|
|
| 1,000,000
|
| 988,000
|
Security Description
|
|
| Principal
Amount
|
| Value
|
Magnetite XXIX Ltd. Series 2021-29A, Class E, ABS, 3 mo. USD Term SOFR + 6.01%,
11.32%, 1/15/2034 (a) (b)
|
|
| $500,000
|
| $485,484
|
Magnetite XXXI Ltd. Series 2021-31A, Class E, 3 mo. USD Term SOFR + 6.26%,
11.57%, 7/15/2034 (a) (b)
|
|
| 500,000
|
| 480,496
|
Marble Point CLO XI Ltd. Series 2017-2A, Class B, 3 mo. USD Term SOFR + 1.76%,
7.07%, 12/18/2030 (a) (b)
|
|
| 3,500,000
|
| 3,438,400
|
Merrill Lynch Mortgage Investors Trust:
|
|
|
|
|
|
Series 2006-HE4, Class A2B, 1 mo. USD Term SOFR + 0.31%, 5.63%, 7/25/2037 (b)
|
|
| 3,787,818
|
| 735,486
|
Series 2006-HE4, Class A2C, 1 mo. USD Term SOFR + 0.41%, 5.73%, 7/25/2037 (b)
|
|
| 5,242,552
|
| 1,020,031
|
Series 2006-WMC2, Class A1, 1 mo. USD Term SOFR + 0.59%, 4.49%, 3/25/2037 (b)
|
|
| 32,556,394
|
| 8,511,181
|
MetroNet Infrastructure Issuer LLC Series 2023-1A, Class A2,
6.56%, 4/20/2053 (a)
|
|
| 4,000,000
|
| 3,876,268
|
MF1 Ltd. Series 2021-FL7, Class A, ABS, 1 mo. USD Term SOFR + 1.19%,
6.53%, 10/16/2036 (a) (b)
|
|
| 1,630,000
|
| 1,602,786
|
MKS CLO Ltd. Series 2017-1A, Class AR, 3 mo. USD Term SOFR + 1.26%,
6.59%, 7/20/2030 (a) (b)
|
|
| 410,691
|
| 408,761
|
Mosaic Solar Loan Trust Series 2018-1A, Class C, ABS, PO,
0.00%, 6/22/2043 (a)
|
|
| 170,519
|
| 159,048
|
MP CLO III Ltd. Series 2013-1A, Class CR, 3 mo. USD Term SOFR + 2.26%,
7.59%, 10/20/2030 (a) (b)
|
|
| 1,000,000
|
| 965,100
|
MVW LLC:
|
|
|
|
|
|
Series 2021-1WA, Class C, ABS, 1.94%, 1/22/2041 (a)
|
|
| 618,275
|
| 557,015
|
Series 2021-1WA, Class D, ABS, 3.17%, 1/22/2041 (a)
|
|
| 1,030,459
|
| 919,117
|
See accompanying notes to Schedule of
Investments.
68
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
September 30, 2023 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
Neuberger Berman Loan Advisers CLO 40 Ltd. Series 2021-40A, Class D, ABS, 3 mo. USD Term SOFR + 3.01%,
8.32%, 4/16/2033 (a) (b)
|
|
| $1,500,000
|
| $1,453,357
|
Neuberger Berman Loan Advisers CLO 47 Ltd. Series 2022-47A, Class D, ABS, 3 mo. USD Term SOFR + 3.10%,
8.41%, 4/14/2035 (a) (b)
|
|
| 500,000
|
| 476,850
|
Ocean Trails CLO V Series 2014-5A, Class DRR, ABS, 3 mo. USD Term SOFR + 3.71%,
9.01%, 10/13/2031 (a) (b)
|
|
| 1,000,000
|
| 852,737
|
Octagon Investment Partners 27 Ltd. Series 2016-1A, Class DR, ABS, 3 mo. USD Term SOFR + 3.21%,
8.52%, 7/15/2030 (a) (b)
|
|
| 500,000
|
| 465,800
|
Octagon Investment Partners 30 Ltd. Series 2017-1A, Class CR, ABS, 3 mo. USD Term SOFR + 3.56%,
8.89%, 3/17/2030 (a) (b)
|
|
| 1,000,000
|
| 928,694
|
Octagon Investment Partners 31 Ltd. Series 2017-1A, Class DR, ABS, 3 mo. USD Term SOFR + 3.66%,
8.99%, 7/20/2030 (a) (b)
|
|
| 1,000,000
|
| 978,533
|
Octagon Investment Partners 40 Ltd. Series 2019-1A, Class DR, ABS, 3 mo. USD Term SOFR + 3.61%,
8.94%, 1/20/2035 (a) (b)
|
|
| 500,000
|
| 461,250
|
Octagon Investment Partners 49 Ltd. Series 2020-5A, Class D, ABS, 3 mo. USD Term SOFR + 3.66%,
8.97%, 1/15/2033 (a) (b)
|
|
| 3,200,000
|
| 3,072,000
|
Octagon Investment Partners 51 Ltd.:
|
|
|
|
|
|
Series 2021-1A, Class A, ABS, 3 mo. USD Term SOFR + 1.41%, 6.74%, 7/20/2034 (a) (b)
|
|
| 1,385,000
|
| 1,371,150
|
Series 2021-1A, Class C, 3 mo. USD Term SOFR + 2.21%, 7.54%, 7/20/2034 (a) (b)
|
|
| 500,000
|
| 481,700
|
Octagon Investment Partners XXI Ltd. Series 2014-1A, Class A2R3, 3 mo. USD Term SOFR + 1.66%,
7.03%, 2/14/2031 (a) (b)
|
|
| 500,000
|
| 488,750
|
Security Description
|
|
| Principal
Amount
|
| Value
|
Pagaya AI Debt Trust:
|
|
|
|
|
|
Series 2022-1, Class A, 2.03%, 10/15/2029 (a)
|
|
| $4,049,855
|
| $3,965,685
|
Series 2022-1, Class B, ABS, 3.34%, 10/15/2029 (a)
|
|
| 4,499,405
|
| 4,250,891
|
Series 2023-1, Class A, 7.56%, 7/15/2030 (a)
|
|
| 1,480,900
|
| 1,486,469
|
Series 2023-3, Class A, 7.60%, 12/16/2030 (a)
|
|
| 5,092,544
|
| 5,116,109
|
PAGAYA AI Debt Trust Series 2022-2, Class A,
4.97%, 1/15/2030 (a)
|
|
| 1,443,839
|
| 1,427,472
|
Park Avenue Institutional Advisers CLO Ltd. Series 2018-1A, Class BR, 3 mo. USD Term SOFR + 2.36%,
7.69%, 10/20/2031 (a) (b)
|
|
| 4,000,000
|
| 3,881,600
|
PMT Issuer Trust - FMSR Series 2021-FT1, Class A, ABS, 1 Month USD LIBOR + 3.00%,
8.43%, 3/25/2026 (a) (b)
|
|
| 1,300,000
|
| 1,266,133
|
PPM CLO Ltd. Series 2018-1A, Class D, 3 mo. USD Term SOFR + 3.51%,
8.82%, 7/15/2031 (a) (b)
|
|
| 500,000
|
| 460,289
|
PRET LLC:
|
|
|
|
|
|
Series 2021-NPL5, Class A1, 2.49%, 10/25/2051 (a) (f)
|
|
| 3,807,233
|
| 3,578,135
|
Series 2022-RN1, Class A1, 3.72%, 7/25/2051 (a) (f)
|
|
| 12,220,453
|
| 11,809,524
|
Progress Residential Trust:
|
|
|
|
|
|
Series 2021-SFR6, Class A, 1.52%, 7/17/2038 (a)
|
|
| 7,965,491
|
| 7,032,438
|
Series 2022-SFR5, Class A, 4.45%, 6/17/2039 (a)
|
|
| 2,695,356
|
| 2,542,084
|
Series 2023-SFR2, Class A, 4.50%, 10/17/2028 (a) (e)
|
|
| 9,400,000
|
| 8,821,496
|
Race Point IX CLO Ltd. Series 2015-9A, Class BR, 3 mo. USD Term SOFR + 2.41%,
7.72%, 10/15/2030 (a) (b)
|
|
| 2,250,000
|
| 2,202,075
|
Ready Capital Mortgage Financing LLC Series 2023-FL12, Class A, 1 mo. USD Term SOFR + 2.34%,
7.65%, 5/25/2038 (a) (b)
|
|
| 1,742,911
|
| 1,742,904
|
See accompanying notes to Schedule of
Investments.
69
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
September 30, 2023 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
Regatta VI Funding Ltd. Series 2016-1A, Class AR2, 3 mo. USD Term SOFR + 1.42%,
6.75%, 4/20/2034 (a) (b)
|
|
| $850,000
|
| $844,900
|
Regatta XXIII Funding Ltd. Series 2021-4A, Class A1, 3 mo. USD Term SOFR + 1.41%,
6.74%, 1/20/2035 (a) (b)
|
|
| 4,500,000
|
| 4,452,300
|
Renaissance Home Equity Loan Trust Series 2006-2, Class AF4, ABS,
6.12%, 8/25/2036 (f)
|
|
| 8,664,451
|
| 3,605,497
|
Sapphire Aviation Finance II Ltd. Series 2020-1A, Class A,
3.23%, 3/15/2040 (a)
|
|
| 1,025,051
|
| 867,387
|
Securitized Asset-Backed Receivables LLC Trust:
|
|
|
|
|
|
Series 2007-BR4, Class A2A, ABS, 1 mo. USD Term SOFR + 0.20%, 5.52%, 5/25/2037 (b)
|
|
| 3,474,128
|
| 2,047,337
|
Series 2007-BR4, Class A2B, ABS, 1 mo. USD Term SOFR + 0.31%, 5.63%, 5/25/2037 (b)
|
|
| 24,141,168
|
| 14,240,541
|
Series 2007-BR5, Class A2B, 1 mo. USD Term SOFR + 0.29%, 5.61%, 5/25/2037 (b)
|
|
| 33,627,072
|
| 25,239,448
|
Shackleton CLO Ltd. Series 2013-3A, Class DR, 3 mo. USD Term SOFR + 3.28%,
8.59%, 7/15/2030 (a) (b)
|
|
| 1,080,000
|
| 1,014,876
|
Shenton Aircraft Investment I Ltd. Series 2015-1A, Class A, ABS,
4.75%, 10/15/2042 (a)
|
|
| 1,747,684
|
| 1,472,179
|
Sound Point CLO II Ltd. Series 2013-1A, Class A1R, 3 mo. USD Term SOFR + 1.33%,
6.68%, 1/26/2031 (a) (b)
|
|
| 489,742
|
| 487,294
|
Sound Point CLO Ltd.:
|
|
|
|
|
|
Series 2023-36A, Class B, 3 mo. USD Term SOFR + 2.85%, 8.27%, 7/26/2036 (a) (b)
|
|
| 1,000,000
|
| 1,004,700
|
Series 2023-36A, Class C, 3 mo. USD Term SOFR + 3.40%, 8.82%, 7/26/2036 (a) (b)
|
|
| 500,000
|
| 502,600
|
Security Description
|
|
| Principal
Amount
|
| Value
|
Sound Point CLO XII Ltd. Series 2016-2A, Class DR, ABS, 3 mo. USD Term SOFR + 4.11%,
9.44%, 10/20/2028 (a) (b)
|
|
| $1,000,000
|
| $1,000,888
|
Sound Point CLO XIV Ltd. Series 2016-3A, Class DR, ABS, 3 mo. USD Term SOFR + 3.91%,
9.26%, 1/23/2029 (a) (b)
|
|
| 1,000,000
|
| 998,516
|
Sound Point CLO XX Ltd. Series 2018-2A, Class C, 3 mo. USD Term SOFR + 2.21%,
7.56%, 7/26/2031 (a) (b)
|
|
| 500,000
|
| 479,450
|
Sound Point CLO XXIII Ltd. Series 2019-2A, Class ER, 3 mo. USD Term SOFR + 6.73%,
12.04%, 7/15/2034 (a) (b)
|
|
| 1,000,000
|
| 823,584
|
Sound Point CLO XXVI Ltd. Series 2020-1A, Class DR, 3 mo. USD Term SOFR + 3.61%,
8.94%, 7/20/2034 (a) (b)
|
|
| 500,000
|
| 459,541
|
Sound Point CLO XXVIII Ltd. Series 2020-3A, Class D, ABS, 3 mo. USD Term SOFR + 3.91%,
9.26%, 1/25/2032 (a) (b)
|
|
| 4,000,000
|
| 3,824,032
|
Sound Point CLO XXXIII Ltd. Series 2022-1A, Class D, ABS, 3 mo. USD Term SOFR + 3.30%,
8.65%, 4/25/2035 (a) (b)
|
|
| 700,000
|
| 622,510
|
Start II Ltd. Series 2019-1, Class A,
4.09%, 3/15/2044 (a)
|
|
| 451,105
|
| 399,810
|
Steele Creek CLO Ltd. Series 2017-1A, Class A, 3 mo. USD Term SOFR + 1.51%,
6.82%, 10/15/2030 (a) (b)
|
|
| 937,668
|
| 933,917
|
Stratus CLO Ltd. Series 2021-1A, Class C, 3 mo. USD Term SOFR + 2.01%,
7.34%, 12/29/2029 (a) (b)
|
|
| 1,000,000
|
| 970,300
|
Structured Asset Securities Corp. Mortgage Loan Trust Series 2006-BC4, Class A4, 1 mo. USD Term SOFR + 0.45%,
5.77%, 12/25/2036 (b)
|
|
| 603,550
|
| 581,933
|
Sunnova Helios V Issuer LLC Series 2021-A, Class A, ABS,
1.80%, 2/20/2048 (a)
|
|
| 1,212,295
|
| 924,729
|
Sunrun Demeter Issuer LLC Series 2021-2A, Class A,
2.27%, 1/30/2057 (a)
|
|
| 2,502,714
|
| 1,968,586
|
See accompanying notes to Schedule of
Investments.
70
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
September 30, 2023 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
Tesla Auto Lease Trust Series 2021-B, Class B,
0.91%, 9/22/2025 (a)
|
|
| $3,250,000
|
| $3,113,110
|
Theorem Funding Trust Series 2023-1A, Class A,
7.58%, 4/15/2029 (a)
|
|
| 4,015,651
|
| 4,028,855
|
THL Credit Wind River CLO Ltd. Series 2017-3A, Class AR, ABS, 3 mo. USD Term SOFR + 1.41%,
6.72%, 4/15/2035 (a) (b)
|
|
| 2,150,000
|
| 2,122,695
|
TIF Funding II LLC:
|
|
|
|
|
|
Series 2021-1A, Class A, ABS, 1.65%, 2/20/2046 (a)
|
|
| 3,950,017
|
| 3,268,472
|
Series 2021-1A, Class B, ABS, 2.54%, 2/20/2046 (a)
|
|
| 1,580,000
|
| 1,291,205
|
Tricon Residential Trust Series 2023-SFR1, Class A,
5.10%, 7/17/2040 (a)
|
|
| 10,000,000
|
| 9,610,345
|
Trimaran Cavu Ltd. Series 2021-3A, Class D, ABS, 3 mo. USD Term SOFR + 4.04%,
9.35%, 1/18/2035 (a) (b)
|
|
| 1,500,000
|
| 1,458,232
|
TRTX Issuer Ltd. Series 2021-FL4, Class A, ABS, 1 mo. USD Term SOFR + 1.31%,
6.65%, 3/15/2038 (a) (b)
|
|
| 1,064,934
|
| 1,040,622
|
Upstart Pass-Through Trust Series 2021-ST3, Class A, ABS,
2.00%, 5/20/2027 (a)
|
|
| 1,191,207
|
| 1,150,994
|
Upstart Securitization Trust:
|
|
|
|
|
|
Series 2020-1, Class C, ABS, 4.90%, 4/22/2030 (a)
|
|
| 797,840
|
| 791,441
|
Series 2022-1, Class B, 4.48%, 3/20/2032 (a)
|
|
| 6,500,000
|
| 6,222,706
|
Series 2023-2, Class A, 6.77%, 6/20/2033 (a)
|
|
| 3,126,087
|
| 3,100,574
|
Valley Stream Park CLO Ltd. Series 2022-1A, Class DR, 3 mo. USD Term SOFR - 4.15%,
0.00%, 10/20/2034 (a) (b) (e)
|
|
| 500,000
|
| 500,000
|
Vantage Data Centers Issuer LLC Series 2019-1A, Class A2,
3.19%, 7/15/2044 (a)
|
|
| 3,403,123
|
| 3,307,714
|
Venture 39 CLO Ltd. Series 2020-39A, Class D, ABS, 3 mo. USD Term SOFR + 4.51%,
9.82%, 4/15/2033 (a) (b)
|
|
| 1,750,000
|
| 1,728,825
|
Security Description
|
|
| Principal
Amount
|
| Value
|
VOLT XCVI LLC Series 2021-NPL5, Class A1, CMO,
2.12%, 3/27/2051 (a) (f)
|
|
| $1,186,732
|
| $1,122,997
|
Voya CLO Ltd.:
|
|
|
|
|
|
Series 2013-1A, Class BR, 3 mo. USD Term SOFR + 2.16%, 7.47%, 10/15/2030 (a) (b)
|
|
| 1,000,000
|
| 961,700
|
Series 2014-2A, Class BRR, 3 mo. USD Term SOFR + 2.36%, 7.67%, 4/17/2030 (a) (b)
|
|
| 1,000,000
|
| 983,000
|
Series 2017-3A, Class A2AR, 3 mo. USD Term SOFR + 1.81%, 7.14%, 4/20/2034 (a) (b)
|
|
| 1,005,000
|
| 977,664
|
Series 2017-3A, Class CR, ABS, 3 mo. USD Term SOFR + 3.41%, 8.74%, 4/20/2034 (a) (b)
|
|
| 1,000,000
|
| 941,306
|
Washington Mutual Asset-Backed Certificates WMABS Trust Series 2007-HE2, Class 2A2, 1 mo. USD Term SOFR + 0.33%,
5.65%, 2/25/2037 (b)
|
|
| 13,046,293
|
| 3,864,083
|
Wellfleet CLO Ltd.:
|
|
|
|
|
|
Series 2017-3A, Class A2, 3 mo. USD Term SOFR + 1.76%, 7.07%, 1/17/2031 (a) (b)
|
|
| 1,700,000
|
| 1,655,436
|
Series 2020-2A, Class CR, 3 mo. USD Term SOFR + 2.56%, 7.87%, 7/15/2034 (a) (b)
|
|
| 1,550,000
|
| 1,495,280
|
Wellfleet CLO X Ltd. Series 2019-XA, Class A2R, 3 mo. USD Term SOFR + 2.01%,
7.34%, 7/20/2032 (a) (b)
|
|
| 3,500,000
|
| 3,414,838
|
Wind River CLO Ltd. Series 2016-2A, Class BR, 3 mo. USD Term SOFR + 2.06%,
7.43%, 11/1/2031 (a) (b)
|
|
| 3,000,000
|
| 2,974,800
|
TOTAL ASSET-BACKED SECURITIES
(Cost $430,416,527)
|
|
|
|
| 402,894,896
|
FOREIGN GOVERNMENT OBLIGATIONS — 0.3%
|
|
|
|
|
|
CHILE — 0.0% (c)
|
|
|
|
|
|
Chile Government International Bonds:
|
|
|
|
|
|
3.10%, 5/7/2041
|
|
| 200,000
|
| 136,078
|
3.10%, 1/22/2061
|
|
| 300,000
|
| 170,625
|
3.50%, 1/25/2050
|
|
| 500,000
|
| 333,570
|
|
|
|
|
| 640,273
|
See accompanying notes to Schedule of
Investments.
71
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
September 30, 2023 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
COLOMBIA — 0.1%
|
|
|
|
|
|
Colombia Government International Bonds:
|
|
|
|
|
|
4.13%, 5/15/2051
|
|
| $1,700,000
|
| $944,350
|
5.00%, 6/15/2045
|
|
| 900,000
|
| 589,716
|
|
|
|
|
| 1,534,066
|
DOMINICAN REPUBLIC — 0.0% (c)
|
|
|
|
|
|
Dominican Republic International Bonds
8.63%, 4/20/2027
|
|
| 350,000
|
| 361,382
|
INDONESIA — 0.0% (c)
|
|
|
|
|
|
Indonesia Government International Bonds
3.70%, 10/30/2049
|
|
| 300,000
|
| 210,066
|
MEXICO — 0.1%
|
|
|
|
|
|
Mexico Government International Bonds:
|
|
|
|
|
|
2.66%, 5/24/2031
|
|
| 1,000,000
|
| 790,180
|
6.34%, 5/4/2053
|
|
| 2,000,000
|
| 1,824,160
|
|
|
|
|
| 2,614,340
|
PANAMA — 0.1%
|
|
|
|
|
|
Banco Latinoamericano de Comercio Exterior SA
2.38%, 9/14/2025
|
|
| 500,000
|
| 464,200
|
Panama Government International Bonds:
|
|
|
|
|
|
2.25%, 9/29/2032
|
|
| 200,000
|
| 144,722
|
3.87%, 7/23/2060
|
|
| 1,000,000
|
| 577,320
|
4.30%, 4/29/2053
|
|
| 400,000
|
| 261,140
|
4.50%, 4/1/2056
|
|
| 400,000
|
| 263,648
|
|
|
|
|
| 1,711,030
|
PERU — 0.0% (c)
|
|
|
|
|
|
Corp. Financiera de Desarrollo SA Series REGS, 3 mo. USD LIBOR - 5.61%,
5.25%, 7/15/2029 (b)
|
|
| 1,000,000
|
| 973,050
|
PHILIPPINES — 0.0% (c)
|
|
|
|
|
|
Philippines Government International Bonds
2.95%, 5/5/2045
|
|
| 600,000
|
| 383,142
|
SAUDI ARABIA — 0.0% (c)
|
|
|
|
|
|
Saudi Government International Bonds Series REGS,
2.25%, 2/2/2033
|
|
| 1,000,000
|
| 765,676
|
Security Description
|
|
| Principal
Amount
|
| Value
|
SOUTH AFRICA — 0.0% (c)
|
|
|
|
|
|
Republic of South Africa Government International Bonds
4.30%, 10/12/2028
|
|
| $650,000
|
| $561,360
|
TOTAL FOREIGN GOVERNMENT OBLIGATIONS
(Cost $12,970,183)
|
|
|
|
| 9,754,385
|
|
| Shares
|
|
COMMON STOCKS — 0.0% (c)
|
|
|
UNITED KINGDOM — 0.0% (c)
|
|
|
Avation Capital SA
(g)
|
| 4,550
| 2,777
|
UNITED STATES — 0.0% (c)
|
|
|
Bright Bidco BV
(g) (h)
|
| 710
| 461
|
Phoenix Services International LLC (g) (h) (i)
|
| 7,665
| 41,008
|
|
|
| 41,469
|
TOTAL COMMON STOCKS
(Cost $38,997)
|
|
| 44,246
|
|
| Principal
Amount
|
|
SENIOR FLOATING RATE LOANS — 2.0%
|
|
|
|
ADVERTISING SERVICES — 0.0% (c)
|
|
|
|
CMG Media Corp., Senior Secured 2021 Term Loan, 3 mo. USD Term SOFR + 3.50%, 8.99%, 12/17/2026 (b)
|
| $150,372
| 138,216
|
AEROSPACE & DEFENSE — 0.0% (c)
|
|
|
|
Dynasty Acquisition Co., Inc.:
|
|
|
|
Senior Secured 2023 Term Loan B1, 1 mo. USD Term SOFR + 4.00%, 9.32%, 8/24/2028 (b)
|
| 240,896
| 240,696
|
Senior Secured 2023 Term Loan B2, 1 mo. USD Term SOFR + 4.00%, 9.32%, 8/24/2028 (b)
|
| 103,358
| 103,272
|
Spirit Aerosystems, Inc., Senior Secured 2022 Term Loan, 3 mo. USD Term SOFR + 4.25%, 9.62%, 1/15/2027 (b)
|
| 79,400
| 79,380
|
See accompanying notes to Schedule of
Investments.
72
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
September 30, 2023 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
TransDigm, Inc., Senior Secured 2023 Term Loan I, 3 mo. USD Term SOFR + 3.25%, 8.64%, 8/24/2028 (b)
|
|
| $393,025
|
| $393,670
|
|
|
|
|
| 817,018
|
AIR FREIGHT & LOGISTICS — 0.0% (c)
|
|
|
|
|
|
Worldwide Express Operations LLC, Senior Secured 2021 1st Lien Term Loan, 3 mo. USD Term SOFR + 4.00%, 9.65%, 7/26/2028 (b)
|
|
| 62,459
|
| 61,606
|
AUTOMOBILE COMPONENTS — 0.0% (c)
|
|
|
|
|
|
Clarios Global LP, Senior Secured 2023 Incremental Term Loan, 1 mo. USD Term SOFR + 3.75%, 9.07%, 5/6/2030 (b)
|
|
| 280,000
|
| 279,870
|
DexKo Global, Inc., Senior Secured 2021 USD Term Loan B, 3 mo. USD Term SOFR + 3.75%, 9.40%, 10/4/2028 (b)
|
|
| 149,559
|
| 146,287
|
|
|
|
|
| 426,157
|
BEVERAGES — 0.0% (c)
|
|
|
|
|
|
Triton Water Holdings, Inc., Senior Secured Term Loan, 3 mo. USD Term SOFR + 3.25%, 8.65%, 3/31/2028 (b)
|
|
| 399,901
|
| 390,569
|
BROADCAST SERV/PROGRAM — 0.0% (c)
|
|
|
|
|
|
EW Scripps Co., Senior Secured2019 Term Loan B2, 1 mo. USD Term SOFR + 2.56%, 7.99%, 5/1/2026 (b)
|
|
| 322,852
|
| 318,950
|
BROADLINE RETAIL — 0.0% (c)
|
|
|
|
|
|
Harbor Freight Tools USA, Inc., Senior Secured 2021 Term Loan B, 1 mo. USD Term SOFR + 2.75%, 8.18%, 10/19/2027 (b)
|
|
| 154,603
|
| 153,663
|
BUILDING MATERIALS — 0.0% (c)
|
|
|
|
|
|
Quikrete Holdings, Inc., Senior Secured 2023 Term Loan B, 1 mo. USD Term SOFR + 2.75%, 8.18%, 3/19/2029 (b)
|
|
| 144,633
|
| 144,831
|
Security Description
|
|
| Principal
Amount
|
| Value
|
Tamko Building Products LLC, Senior Secured 2023 Term Loan, 3 mo. USD Term SOFR + 3.50%, 8.90%, 9/20/2030 (b)
|
|
| $140,000
|
| $139,563
|
|
|
|
|
| 284,394
|
BUILDING PRODUCTS — 0.0% (c)
|
|
|
|
|
|
Chamberlain Group, Inc., Senior Secured Term Loan B, 1 mo. USD Term SOFR + 3.25%, 8.57%, 11/3/2028 (b)
|
|
| 200,000
|
| 197,297
|
Cornerstone Building Brands, Inc., Senior Secured 2021 Term Loan B, 1 mo. USD Term SOFR + 3.25%, 8.68%, 4/12/2028 (b)
|
|
| 129,668
|
| 126,873
|
|
|
|
|
| 324,170
|
CHEMICALS — 0.1%
|
|
|
|
|
|
Axalta Coating Systems U.S. Holdings, Inc., Senior Secured 2023 USD Term Loan B4, 3 mo. USD Term SOFR + 2.50%, 7.89%, 12/20/2029 (b)
|
|
| 133,428
|
| 133,824
|
Hexion Holdings Corp., Senior Secured 2022 USD Term Loan, 3 mo. USD Term SOFR + 4.50%, 10.03%, 3/15/2029 (b)
|
|
| 64,836
|
| 61,801
|
Illuminate Buyer LLC, Senior Secured 2021 Term Loan, 1 mo. USD Term SOFR + 3.50%, 8.93%, 6/30/2027 (b)
|
|
| 698,013
|
| 697,189
|
Ineos U.S. Finance LLC, 2023 USD Term Loan BSenior Secured , 1 mo. USD Term SOFR + 3.50%, 8.82%, 2/18/2030 (b)
|
|
| 319,200
|
| 317,205
|
Nouryon Finance BV, Senior Secured 2023 USD Term Loan B, 1 mo. USD Term SOFR + 4.00%, 9.43%, 4/3/2028 (b)
|
|
| 229,425
|
| 227,035
|
Olympus Water U.S. Holding Corp., Senior Secured 2021 USD Term Loan B, 3 mo. USD Term SOFR + 3.75%, 9.40%, 11/9/2028 (b)
|
|
| 261,335
|
| 258,255
|
PMHC II, Inc., Senior Secured 2022 Term Loan B, 3 mo. USD Term SOFR + 4.25%, 9.70%, 4/23/2029 (b)
|
|
| 123,750
|
| 117,126
|
See accompanying notes to Schedule of
Investments.
73
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
September 30, 2023 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
Polar U.S. Borrower LLC, Senior Secured 2018 1st Lien Term Loan, 3 mo. USD Term SOFR + 4.75%, 10.15%, 10/15/2025 (b)
|
|
| $154,390
|
| $124,767
|
PQ Corp., Senior Secured 2021 Term Loan B, 3 mo. USD Term SOFR + 2.50%, 7.97%, 6/9/2028 (b)
|
|
| 291,770
|
| 291,261
|
Vantage Specialty Chemicals, Inc., Senior Secured 2023 Term Loan B, 1 mo. USD Term SOFR + 4.75%, 10.08%, 10/26/2026 (b)
|
|
| 24,813
|
| 24,372
|
|
|
|
|
| 2,252,835
|
COMMERCIAL SERVICES — 0.1%
|
|
|
|
|
|
AlixPartners LLP, Senior Secured 2021 USD Term Loan B, 1 mo. USD Term SOFR + 2.75%, 8.07%, 2/4/2028 (b)
|
|
| 354,094
|
| 354,271
|
Allied Universal Holdco LLC, Senior Secured 2021 USD Incremental Term Loan B, 1 mo. USD Term SOFR + 3.75%, 9.17%, 5/12/2028 (b)
|
|
| 404,905
|
| 391,767
|
APX Group, Inc., Senior Secured 2021 Term Loan B, 3 U.S. (Fed) Prime Rate + 3.25%, 11.75%, 7/10/2028 (b)
|
|
| 277,195
|
| 277,502
|
CoreLogic, Inc., Senior Secured Term Loan, 1 mo. USD Term SOFR + 3.50%, 8.82%, 6/2/2028 (b)
|
|
| 348,794
|
| 323,578
|
EAB Global, Inc., Senior Secured 2021 Term Loan, 3 mo. USD LIBOR + 3.50%, 8.87%, 8/16/2028 (b)
|
|
| 250,066
|
| 248,659
|
GTCR W Merger Sub LLC, Senior Secured USD Term Loan B, 9/20/2030 (b)
|
|
| 235,000
|
| 235,086
|
Mavis Tire Express Services Corp., Senior Secured 2021 Term Loan B, 1 mo. USD Term SOFR + 4.00%, 9.43%, 5/4/2028 (b)
|
|
| 359,729
|
| 359,279
|
OMNIA Partners LLC, Senior Secured Term Loan B, 3 mo. USD Term SOFR + 4.25%, 9.60%, 7/25/2030 (b)
|
|
| 132,548
|
| 132,866
|
Security Description
|
|
| Principal
Amount
|
| Value
|
PECF USS Intermediate Holding III Corp., Senior Secured Term Loan B, 1 mo. USD Term SOFR + 4.25%, 9.57%, 12/15/2028 (b)
|
|
| $149,938
|
| $120,915
|
Spin Holdco, Inc., Senior Secured 2021 Term Loan, 3 mo. USD Term SOFR + 4.00%, 9.66%, 3/4/2028 (b)
|
|
| 245,325
|
| 212,993
|
Verscend Holding Corp., Senior Secured 2021 Term Loan B, 1 mo. USD Term SOFR + 4.00%, 9.43%, 8/27/2025 (b)
|
|
| 412,340
|
| 412,967
|
Viad Corp., Senior Secured Initial Term Loan, 1 mo. USD Term SOFR + 5.00%, 10.80%, 7/30/2028 (b)
|
|
| 211,911
|
| 208,378
|
VT Topco, Inc., Senior Secured 2023 Term Loan B, 3 mo. USD Term SOFR + 4.25%, 9.66%, 8/9/2030 (b)
|
|
| 100,000
|
| 100,178
|
Wand NewCo 3, Inc., Senior Secured 2020 Term Loan, 1 mo. USD Term SOFR + 2.75%, 8.07%, 2/5/2026 (b)
|
|
| 309,572
|
| 309,426
|
|
|
|
|
| 3,687,865
|
COMMERCIAL SERVICES & SUPPLIES — 0.1%
|
|
|
|
|
|
Asurion LLC:
|
|
|
|
|
|
Senior Secured 2021 2nd Lien Term Loan B3, 1 mo. USD Term SOFR + 5.25%, 10.57%, 1/31/2028 (b)
|
|
| 70,000
|
| 63,313
|
Senior Secured 2021 Second Lien Term Loan B4, 1 mo. USD Term SOFR + 5.25%, 10.68%, 1/20/2029 (b)
|
|
| 105,000
|
| 93,525
|
Senior Secured 2021 Term Loan B9, 3 mo. USD Term SOFR + 3.25%, 8.65%, 7/31/2027 (b)
|
|
| 379,028
|
| 366,994
|
Senior Secured 2023 Term Loan B11, 1 mo. USD Term SOFR + 4.25%, 9.67%, 8/19/2028 (b)
|
|
| 24,937
|
| 24,270
|
Garda World Security Corp.:
|
|
|
|
|
|
Senior Secured 2022 Term Loan B, 3 mo. USD Term SOFR + 4.25%, 9.75%, 2/1/2029 (b)
|
|
| 153,450
|
| 153,618
|
See accompanying notes to Schedule of
Investments.
74
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
September 30, 2023 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
Senior Secured Term Loan, 3 mo. USD Term SOFR + 4.25%, 9.75%, 10/30/2026 (b)
|
|
| $214,126
|
| $214,337
|
Packaging Coordinators Midco, Inc., Senior Secured 2020 1st Lien Term Loan, 3 mo. USD Term SOFR + 3.50%, 9.15%, 11/30/2027 (b)
|
|
| 396,278
|
| 395,194
|
Packers Holdings LLC, Senior Secured 2021 Term Loan, 1 mo. USD Term SOFR + 3.25%, 8.67%, 3/9/2028 (b)
|
|
| 166,928
|
| 100,515
|
Prime Security Services Borrower LLC, Senior Secured 2021 Term Loan, 1 mo. USD Term SOFR + 2.75%, 8.19%, 9/23/2026 (b)
|
|
| 292,909
|
| 292,809
|
|
|
|
|
| 1,704,575
|
COMMUNICATIONS EQUIPMENT — 0.0% (c)
|
|
|
|
|
|
CommScope, Inc., Senior Secured 2019 Term Loan B, 1 mo. USD Term SOFR + 3.25%, 8.57%, 4/6/2026 (b)
|
|
| 74,805
|
| 68,484
|
Zayo Group Holdings, Inc., Senior Secured USD Term Loan, 1 mo. USD Term SOFR + 3.00%, 8.43%, 3/9/2027
|
|
| 325,000
|
| 266,354
|
|
|
|
|
| 334,838
|
COMPUTERS — 0.0% (c)
|
|
|
|
|
|
Tempo Acquisition LLC, Senior Secured 2023 Term Loan B, 1 mo. USD Term SOFR + 3.00%, 8.32%, 8/31/2028 (b)
|
|
| 142,825
|
| 143,093
|
COMPUTERS & PERIPHERALS — 0.0% (c)
|
|
|
|
|
|
NCR Corp., Senior Secured 2019 Term Loan, 1 mo. USD Term SOFR + 2.50%, 7.93%, 8/28/2026 (b)
|
|
| 363,188
|
| 363,551
|
CONSTRUCTION & ENGINEERING — 0.0% (c)
|
|
|
|
|
|
Brand Industrial Services, Inc., Senior Secured 2023 Term Loan B, 3 mo. USD Term SOFR + 5.50%, 10.87%, 8/1/2030 (b)
|
|
| 135,000
|
| 131,888
|
Security Description
|
|
| Principal
Amount
|
| Value
|
Brown Group Holding LLC, Senior Secured Term Loan B, 1 mo. USD Term SOFR + 2.75%, 8.07%, 6/7/2028 (b)
|
|
| $45,332
|
| $45,010
|
DG Investment Intermediate Holdings 2, Inc.:
|
|
|
|
|
|
Senior Secured 2021 2nd Lien Term Loan, 1 mo. USD Term SOFR + 6.75%, 12.18%, 3/30/2029 (b)
|
|
| 60,000
|
| 53,325
|
Senior Secured 2021 Term Loan, 1 mo. USD Term SOFR + 3.75%, 9.18%, 3/31/2028 (b)
|
|
| 229,262
|
| 225,752
|
KKR Apple Bidco LLC, Senior Secured 2021 Term Loan, 1 mo. USD Term SOFR + 2.75%, 8.18%, 9/22/2028 (b)
|
|
| 186,675
|
| 185,695
|
Tecta America Corp., Senior Secured 2021 Term Loan, 1 mo. USD Term SOFR + 4.00%, 9.43%, 4/10/2028 (b)
|
|
| 190,612
|
| 190,511
|
|
|
|
|
| 832,181
|
CONSTRUCTION MATERIALS — 0.0% (c)
|
|
|
|
|
|
Traverse Midstream Partners LLC, Senior Secured 2017 Term Loan, 3 mo. USD Term SOFR + 3.75%, 9.22%, 2/16/2028 (b)
|
|
| 53,496
|
| 53,559
|
CONSUMER STAPLES DISTRIBUTION & RETAIL — 0.0% (c)
|
|
|
|
|
|
Monogram Food Solutions LLC, Senior Secured Term Loan B, 1 mo. USD Term SOFR + 4.00%, 9.43%, 8/28/2028 (b)
|
|
| 255,450
|
| 251,938
|
CONTAINERS & PACKAGING — 0.1%
|
|
|
|
|
|
Charter NEX U.S., Inc., Senior Secured 2021 Term Loan, 1 mo. USD Term SOFR + 3.75%, 9.18%, 12/1/2027 (b)
|
|
| 297,375
|
| 295,082
|
Clydesdale Acquisition Holdings, Inc., Senior Secured Term Loan B, 1 mo. USD Term SOFR + 4.18%, 9.59%, 4/13/2029 (b)
|
|
| 264,331
|
| 261,115
|
See accompanying notes to Schedule of
Investments.
75
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
September 30, 2023 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
Graham Packaging Co., Inc., Senior Secured 2021 Term Loan, 1 mo. USD Term SOFR + 3.00%, 8.43%, 8/4/2027 (b)
|
|
| $299,142
|
| $298,902
|
Klockner-Pentaplast of America, Inc., Senior Secured 2021 Term Loan B, 6 Month USD LIBOR + 4.75%, 2/12/2026 (b)
|
|
| 95,000
|
| 91,734
|
Pregis TopCo Corp., Senior Secured 1st Lien Term Loan, 1 mo. USD Term SOFR + 3.75%, 9.07%, 7/31/2026 (b)
|
|
| 310,539
|
| 310,427
|
Pretium PKG Holdings, Inc.:
|
|
|
|
|
|
Senior Secured 2021 1st Lien Term Loan, 1 mo. USD Term SOFR + 4.00%, 9.32%, 10/2/2028 (b)
|
|
| 216,700
|
| 134,438
|
Senior Secured 2021 2nd Lien Term Loan, 1 mo. USD Term SOFR + 6.75%, 12.19%, 10/1/2029 (b)
|
|
| 45,000
|
| 14,432
|
TricorBraun Holdings, Inc., Senior Secured 2021 Term Loan, 1 mo. USD Term SOFR + 3.25%, 8.68%, 3/3/2028 (b)
|
|
| 192,734
|
| 189,438
|
Trident TPI Holdings, Inc., Senior Secured 2021 Term Loan B3, 3 mo. USD Term SOFR + 4.00%, 9.65%, 9/15/2028 (b)
|
|
| 242,767
|
| 242,295
|
|
|
|
|
| 1,837,863
|
COSMETICS & TOILETRIES — 0.0% (c)
|
|
|
|
|
|
Solis IV BV, Senior Secured USD Term Loan B1, 3 mo. USD Term SOFR + 3.50%, 8.89%, 2/26/2029 (b)
|
|
| 272,026
|
| 265,565
|
Sunshine Luxembourg VII Sarl, Senior Secured 2021 Term Loan B3, 3 mo. USD Term SOFR + 3.75%, 9.24%, 10/1/2026 (b)
|
|
| 302,760
|
| 302,635
|
|
|
|
|
| 568,200
|
DISTRIBUTION/WHOLESALE — 0.0% (c)
|
|
|
|
|
|
BCPE Empire Holdings, Inc., Senior Secured 2023 Extended Term Loan, 1 mo. USD Term SOFR + 4.75%, 10.07%, 12/11/2028 (b)
|
|
| 353,081
|
| 353,478
|
Security Description
|
|
| Principal
Amount
|
| Value
|
DISTRIBUTORS — 0.0% (c)
|
|
|
|
|
|
American Tire Distributors Holdings, Inc., Senior Secured 2021 Term Loan B, 3 mo. USD Term SOFR + 6.25%, 11.81%, 10/20/2028 (b)
|
|
| $162,937
|
| $143,189
|
DIVERSIFIED CONSUMER SERVICES — 0.0% (c)
|
|
|
|
|
|
Ascend Learning LLC:
|
|
|
|
|
|
Senior Secured 2021 2nd Lien Term Loan, 1 mo. USD Term SOFR + 5.75%, 11.17%, 12/10/2029 (b)
|
|
| 64,708
|
| 55,945
|
Senior Secured 2021 Term Loan, 1 mo. USD Term SOFR + 3.50%, 8.92%, 12/11/2028 (b)
|
|
| 266,780
|
| 255,130
|
|
|
|
|
| 311,075
|
DIVERSIFIED TELECOMMUNICATION SERVICES — 0.0% (c)
|
|
|
|
|
|
Altice France SA, Senior Secured 2023 USD Term Loan B14, 3 mo. USD Term SOFR + 5.50%, 10.81%, 8/15/2028 (b)
|
|
| 169,575
|
| 153,995
|
Intelsat Jackson Holdings SA, Senior Secured 2021 Exit Term Loan B, 3 mo. USD Term SOFR + 4.25%, 9.77%, 2/1/2029 (b)
|
|
| 276,491
|
| 276,224
|
Level 3 Financing, Inc., Senior Secured 2019 Term Loan B, 1 mo. USD Term SOFR + 1.75%, 7.18%, 3/1/2027 (b)
|
|
| 135,000
|
| 127,770
|
Telesat Canada, Senior Secured Term Loan B5, 3 mo. USD Term SOFR + 2.75%, 8.43%, 12/7/2026 (b)
|
|
| 102,573
|
| 75,701
|
|
|
|
|
| 633,690
|
ELECTRICAL EQUIPMENT — 0.0% (c)
|
|
|
|
|
|
Energizer Holdings, Inc., Senior Secured 2020 Term Loan, 1 mo. USD Term SOFR + 2.25%, 7.69%, 12/22/2027 (b)
|
|
| 146,131
|
| 146,022
|
Gates Global LLC, Senior Secured 2022 Term Loan B4, 1 mo. USD Term SOFR + 3.50%, 8.82%, 11/16/2029 (b)
|
|
| 59,400
|
| 59,502
|
|
|
|
|
| 205,524
|
See accompanying notes to Schedule of
Investments.
76
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
September 30, 2023 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS — 0.0% (c)
|
|
|
|
|
|
Compass Power Generation LLC, Senior Secured 2022 Term Loan B2, 1 mo. USD Term SOFR + 4.25%, 9.57%, 4/14/2029 (b)
|
|
| $217,360
|
| $217,063
|
Mirion Technologies, Inc., Senior Secured 2021 Term Loan, 3 mo. USD Term SOFR + 2.75%, 8.40%, 10/20/2028 (b)
|
|
| 205,040
|
| 205,148
|
|
|
|
|
| 422,211
|
ENTERTAINMENT — 0.1%
|
|
|
|
|
|
AMC Entertainment Holdings, Inc., Senior Secured 2019 Term Loan B, 1 mo. USD Term SOFR + 3.00%, 8.45%, 4/22/2026 (b)
|
|
| 48,803
|
| 39,464
|
Bally's Corp., Senior Secured 2021 Term Loan B, 3 mo. USD Term SOFR + 3.25%, 8.84%, 10/2/2028 (b)
|
|
| 270,000
|
| 265,198
|
Delta 2 (LUX) Sarl, Senior Secured Term Loan B, 1 mo. USD Term SOFR + 3.00%, 8.32%, 1/15/2030 (b)
|
|
| 260,000
|
| 260,293
|
Fertitta Entertainment LLC, Senior Secured 2022 Term Loan B, 1 mo. USD Term SOFR + 4.00%, 9.32%, 1/27/2029 (b)
|
|
| 667,071
|
| 661,478
|
NASCAR Holdings LLC, Senior Secured Term Loan B, 1 mo. USD Term SOFR + 2.50%, 7.93%, 10/19/2026 (b)
|
|
| 106,251
|
| 106,557
|
Ontario Gaming GTA LP, Senior Secured Term Loan B, 3 mo. USD Term SOFR + 4.25%, 9.64%, 8/1/2030 (b)
|
|
| 326,385
|
| 327,031
|
SMG U.S. Midco 2, Inc., Senior Secured 2020 Term Loan, 3 mo. USD Term SOFR + 2.50%, 8.13%, 1/23/2025 (b)
|
|
| 342,538
|
| 342,699
|
UFC Holdings LLC, Senior Secured 2021 Term Loan B, 3 mo. USD Term SOFR + 2.75%, 8.37%, 4/29/2026 (b)
|
|
| 223,733
|
| 223,745
|
Security Description
|
|
| Principal
Amount
|
| Value
|
WMG Acquisition Corp., Senior Secured 2021 Term Loan G, 1 mo. USD Term SOFR + 2.13%, 7.56%, 1/20/2028 (b)
|
|
| $345,000
|
| $345,302
|
|
|
|
|
| 2,571,767
|
FINANCIAL SERVICES — 0.1%
|
|
|
|
|
|
AllSpring Buyer LLC, Senior Secured Term Loan B, 3 mo. USD Term SOFR + 3.25%, 8.65%, 11/1/2028 (b)
|
|
| 390,890
|
| 387,714
|
Astra Acquisition Corp.:
|
|
|
|
|
|
Senior Secured 2021 1st Lien Term Loan, 3 mo. USD Term SOFR + 5.25%, 10.90%, 10/25/2028 (b)
|
|
| 139,181
|
| 105,151
|
Senior Secured 2021 2nd Lien Term Loan, 1 mo. USD LIBOR + 8.88%, 14.53%, 10/25/2029 (b)
|
|
| 159,961
|
| 99,976
|
Castlelake Aviation Ltd., Senior Secured Term Loan B, 3 mo. USD Term SOFR + 2.75%, 8.42%, 10/22/2026 (b)
|
|
| 339,799
|
| 339,857
|
Deerfield Dakota Holding LLC, Senior Secured 2020 USD Term Loan B, 3 mo. USD Term SOFR + 3.75%, 9.14%, 4/9/2027 (b)
|
|
| 338,026
|
| 330,351
|
DirecTV Financing LLC, Senior Secured Term Loan, 1 mo. USD Term SOFR + 5.00%, 10.43%, 8/2/2027 (b)
|
|
| 289,447
|
| 283,538
|
Edelman Financial Center LLC:
|
|
|
|
|
|
Senior Secured 2018 2nd Lien Term Loan, 1 mo. USD Term SOFR + 6.75%, 12.18%, 7/20/2026 (b)
|
|
| 91,670
|
| 91,555
|
Senior Secured 2021 Term Loan B, 1 mo. USD Term SOFR + 3.50%, 8.82%, 4/7/2028 (b)
|
|
| 187,109
|
| 185,448
|
Eisner Advisory Group LLC, Senior Secured Term Loan, 1 mo. USD Term SOFR + 5.25%, 10.68%, 7/28/2028 (b)
|
|
| 156,802
|
| 156,769
|
Focus Financial Partners LLC:
|
|
|
|
|
|
Senior Secured 2023 Term Loan B6, 1 mo. USD Term SOFR + 3.50%, 8.82%, 6/30/2028 (b)
|
|
| 50,000
|
| 50,013
|
See accompanying notes to Schedule of
Investments.
77
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
September 30, 2023 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
Senior Secured Senior Secured 2021 Term Loan B4, 1 mo. USD Term SOFR + 2.50%, 7.82%, 6/30/2028 (b)
|
|
| $448,852
|
| $448,096
|
Greystone Select Financial LLC, Senior Secured Term Loan B, 3 mo. USD Term SOFR + 5.00%, 10.58%, 6/16/2028 (b)
|
|
| 87,508
|
| 86,633
|
HighTower Holdings LLC, Senior Secured 2021 Term Loan B, 3 mo. USD Term SOFR + 4.00%, 9.61%, 4/21/2028 (b)
|
|
| 247,023
|
| 247,023
|
Minotaur Acquisition, Inc., Senior Secured Term Loan B, 1 mo. USD Term SOFR + 4.75%, 10.17%, 3/27/2026 (b)
|
|
| 318,154
|
| 317,448
|
Walker & Dunlop, Inc., Senior Secured 2021 Term Loan, 1 mo. USD Term SOFR + 2.25%, 7.67%, 12/16/2028 (b)
|
|
| 112,987
|
| 112,917
|
|
|
|
|
| 3,242,489
|
FOOD PRODUCTS — 0.1%
|
|
|
|
|
|
CHG PPC Parent LLC, Senior Secured 2021 Term Loan, 1 mo. USD Term SOFR + 3.00%, 8.32%, 12/8/2028 (b)
|
|
| 309,205
|
| 307,852
|
Froneri International Ltd., Senior Secured 2020 USD Term Loan, 1 mo. USD Term SOFR + 2.25%, 7.67%, 1/29/2027 (b)
|
|
| 643,338
|
| 639,790
|
|
|
|
|
| 947,642
|
FOOD-MISC/DIVERSIFIED — 0.0% (c)
|
|
|
|
|
|
H Food Holdings LLC, Senior Secured 2018 Term Loan B, 3 mo. USD LIBOR + 3.69%, 9.27%, 5/23/2025 (b)
|
|
| 180,357
|
| 158,088
|
GROUND TRANSPORTATION — 0.0% (c)
|
|
|
|
|
|
Kenan Advantage Group, Inc., Senior Secured 2021 Term Loan B1, 3 mo. USD Term SOFR + 3.75%, 9.48%, 3/24/2026 (b)
|
|
| 370,644
|
| 370,207
|
Security Description
|
|
| Principal
Amount
|
| Value
|
HEALTH CARE EQUIPMENT & SUPPLIES — 0.0% (c)
|
|
|
|
|
|
Bausch & Lomb Corp.:
|
|
|
|
|
|
Senior Secured 2023 Incremental Term Loan, 9/14/2028
|
|
| $145,000
|
| $143,369
|
Senior Secured Term Loan, 3 mo. USD Term SOFR + 3.25%, 8.76%, 5/10/2027 (b)
|
|
| 345,898
|
| 336,866
|
Gainwell Acquisition Corp., Senior Secured Term Loan B, 3 mo. USD Term SOFR + 4.00%, 9.49%, 10/1/2027 (b)
|
|
| 312,735
|
| 305,894
|
|
|
|
|
| 786,129
|
HEALTH CARE PROVIDERS & SERVICES — 0.1%
|
|
|
|
|
|
ADMI Corp.:
|
|
|
|
|
|
Senior Secured 2018 Term Loan B, 1 mo. USD Term SOFR + 3.00%, 8.43%, 4/30/2025 (b)
|
|
| 204,461
|
| 201,321
|
Senior Secured 2021 Incremental Term Loan B3, 1 mo. USD Term SOFR + 3.75%, 9.18%, 12/23/2027 (b)
|
|
| 144,631
|
| 135,281
|
Air Methods Corp., Senior Secured 2017 Term Loan B, 3 mo. USD LIBOR + 3.50%, 9.15%, 4/22/2024 (b)
|
|
| 71,285
|
| 22,010
|
Aveanna Healthcare LLC:
|
|
|
|
|
|
Senior Secured 2021 2nd Lien Term Loan, 3 mo. USD Term SOFR + 7.00%, 12.57%, 12/10/2029 (b)
|
|
| 82,260
|
| 54,292
|
Senior Secured 2021 Term Loan B, 3 mo. USD Term SOFR + 3.75%, 9.27%, 7/17/2028 (b)
|
|
| 100,542
|
| 90,811
|
Catalent Pharma Solutions, Inc., Senior Secured 2021 Term Loan B3, 1 mo. USD Term SOFR + 2.00%, 7.44%, 2/22/2028 (b)
|
|
| 667,918
|
| 654,667
|
CHG Healthcare Services, Inc., Senior Secured 2021 Term Loan, 1 mo. USD Term SOFR + 3.25%, 8.57%, 9/29/2028 (b)
|
|
| 395,527
|
| 394,381
|
Envision Healthcare Corp.:
|
|
|
|
|
|
Senior Secured 2022 Second Out Term Loan, 3 mo. USD Term SOFR + 4.25%, 9.49%, 3/31/2027 (b)
|
|
| 107,841
|
| 25,140
|
See accompanying notes to Schedule of
Investments.
78
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
September 30, 2023 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
Senior Secured 2022 Third Out Term Loan, 3 mo. USD SOFR + 3.75%, 3/31/2027 (b)
|
|
| $263,563
|
| $1,186
|
Fortrea Holdings, Inc., Senior Secured Term Loan B, 1 mo. USD Term SOFR + 3.75%, 9.07%, 7/1/2030 (b)
|
|
| 44,888
|
| 44,794
|
Horizon Therapeutics USA, Inc., Senior Secured 2021 Term Loan B2, 1 mo. USD Term SOFR + 1.75%, 7.18%, 3/15/2028 (b)
|
|
| 253,500
|
| 253,586
|
Maravai Intermediate Holdings LLC, Senior Secured 2022 Term Loan B, 3 mo. USD Term SOFR + 3.00%, 8.32%, 10/19/2027 (b)
|
|
| 170,000
|
| 165,962
|
Medline Borrower LP, Senior Secured USD Term Loan B, 1 mo. USD Term SOFR + 3.25%, 8.68%, 10/23/2028 (b)
|
|
| 392,501
|
| 391,899
|
RegionalCare Hospital Partners Holdings, Inc., Senior Secured 2018 Term Loan B, 3 mo. USD Term SOFR + 3.75%, 9.38%, 11/16/2025 (b)
|
|
| 274,502
|
| 274,359
|
Select Medical Corp., Senior Secured 2023 Term Loan B1, 1 mo. USD Term SOFR + 3.00%, 8.32%, 3/6/2027 (b)
|
|
| 334,162
|
| 333,745
|
Sotera Health Holdings LLC, Senior Secured 2021 Term Loan, 1 mo. USD Term SOFR + 2.75%, 8.18%, 12/11/2026 (b)
|
|
| 375,000
|
| 372,797
|
Star Parent, Inc., Senior Secured 2023 Term Loan B, 9/19/2030
|
|
| 195,000
|
| 190,951
|
Team Health Holdings, Inc., Senior Secured 2022 Term Loan B, COR, 3/2/2027 (b)
|
|
| 85,000
|
| 65,004
|
|
|
|
|
| 3,672,186
|
HOME FURNISHINGS — 0.0% (c)
|
|
|
|
|
|
AI Aqua Merger Sub, Inc., Senior Secured 2021 1st Lien Term Loan B, 1 mo. USD Term SOFR + 3.75%, 9.08%, 7/31/2028 (b)
|
|
| 393,197
|
| 389,849
|
Security Description
|
|
| Principal
Amount
|
| Value
|
HOTELS, RESTAURANTS & LEISURE — 0.1%
|
|
|
|
|
|
Alterra Mountain Co.:
|
|
|
|
|
|
Senior Secured 2021 Series B-2 Consenting Term Loan, 1 mo. USD Term SOFR + 3.50%, 8.93%, 8/17/2028 (b)
|
|
| $266,994
|
| $267,106
|
Senior Secured 2023 Term Loan B, 1 mo. USD Term SOFR + 3.75%, 9.07%, 5/31/2030 (b)
|
|
| 89,775
|
| 90,000
|
Caesars Entertainment Corp., Senior Secured Term Loan B, 1 mo. USD Term SOFR + 3.25%, 8.67%, 2/6/2030 (b)
|
|
| 64,675
|
| 64,776
|
ClubCorp Holdings, Inc., Senior Secured 2017 Term Loan B, 1 mo. USD LIBOR + 2.75%, 8.40%, 9/18/2024 (b)
|
|
| 122,932
|
| 121,280
|
PENN Entertainment, Inc., Senior Secured 2022 Term Loan B, 1 mo. USD Term SOFR + 2.75%, 8.17%, 5/3/2029 (b)
|
|
| 352,027
|
| 352,027
|
Peraton Corp., Senior Secured Term Loan B, 1 mo. USD Term SOFR + 3.75%, 9.17%, 2/1/2028 (b)
|
|
| 372,495
|
| 372,186
|
Playa Resorts Holding BV, Senior Secured 2022 Term Loan B, 1 mo. USD Term SOFR + 4.25%, 9.58%, 1/5/2029 (b)
|
|
| 319,012
|
| 319,502
|
Scientific Games International, Inc., Senior Secured 2022 USD Term Loan, 1 mo. USD Term SOFR + 3.00%, 8.43%, 4/14/2029 (b)
|
|
| 138,250
|
| 138,423
|
Travelport Finance Sarl, Senior Secured 2020 Super Priority Term Loan, 1 mo. USD LIBOR + 1.60%, 7.05%, 2/28/2025 (b)
|
|
| 170,844
|
| 162,841
|
|
|
|
|
| 1,888,141
|
HOUSEHOLD DURABLES — 0.0% (c)
|
|
|
|
|
|
Springs Windows Fashions LLC, Senior Secured 2021 Term Loan B, 1 mo. USD Term SOFR + 4.00%, 9.32%, 10/6/2028 (b)
|
|
| 276,678
|
| 236,156
|
See accompanying notes to Schedule of
Investments.
79
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
September 30, 2023 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
HOUSEHOLD PRODUCTS — 0.0% (c)
|
|
|
|
|
|
Conair Holdings LLC, Senior Secured Term Loan B, 3 mo. USD Term SOFR + 3.75%, 9.40%, 5/17/2028 (b)
|
|
| $64,080
|
| $61,570
|
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS — 0.0% (c)
|
|
|
|
|
|
Calpine Corp., Senior Secured 2019 Term Loan B10, 1 mo. USD Term SOFR + 2.00%, 7.43%, 8/12/2026 (b)
|
|
| 76,800
|
| 76,865
|
Vistra Operations Co. LLC, Senior Secured 1st Lien Term Loan B3, 1 mo. USD Term SOFR + 1.75%, 7.18%, 12/31/2025 (b)
|
|
| 342,069
|
| 342,336
|
|
|
|
|
| 419,201
|
INSURANCE — 0.1%
|
|
|
|
|
|
Acrisure LLC:
|
|
|
|
|
|
Senior Secured 2020 Term Loan B, 1 mo. USD LIBOR + 3.50%, 8.93%, 2/15/2027 (b)
|
|
| 241,745
|
| 238,853
|
Senior Secured 2021 First Lien Term Loan B, 1 mo. USD LIBOR + 4.25%, 9.68%, 2/15/2027 (b)
|
|
| 137,550
|
| 137,507
|
Alliant Holdings Intermediate LLC:
|
|
|
|
|
|
Senior Secured 2021 Term Loan B4, 1 mo. USD LIBOR + 3.50%, 8.93%, 11/5/2027 (b)
|
|
| 151,900
|
| 151,766
|
Senior Secured 2023 Term Loan B5, 1 mo. USD Term SOFR + 3.50%, 8.83%, 11/5/2027 (b)
|
|
| 164,175
|
| 164,098
|
AmWINS Group, Inc., Senior Secured 2021 Term Loan B, 1 mo. USD Term SOFR + 2.25%, 7.57%, 2/19/2028 (b)
|
|
| 347,530
|
| 345,872
|
AssuredPartners, Inc.:
|
|
|
|
|
|
Senior Secured 2020 Term Loan B, 1 mo. USD Term SOFR + 3.50%, 8.82%, 2/12/2027 (b)
|
|
| 254,644
|
| 254,306
|
Senior Secured 2022 Term Loan, 1 mo. USD Term SOFR + 3.50%, 8.82%, 2/12/2027 (b)
|
|
| 103,425
|
| 103,263
|
Security Description
|
|
| Principal
Amount
|
| Value
|
Cross Financial Corp., Senior Secured 2021 Term Loan B, 1 mo. USD Term SOFR + 4.00%, 9.32%, 9/15/2027 (b)
|
|
| $184,528
|
| $185,133
|
HUB International Ltd., Senior Secured 2023 Term Loan B, 3 mo. USD Term SOFR + 4.25%, 9.58%, 6/20/2030 (b)
|
|
| 65,000
|
| 65,251
|
OneDigital Borrower LLC, Senior Secured 2021 Term Loan, 1 mo. USD Term SOFR + 4.25%, 9.67%, 11/16/2027 (b)
|
|
| 309,769
|
| 309,897
|
|
|
|
|
| 1,955,946
|
INTERACTIVE MEDIA & SERVICES — 0.0% (c)
|
|
|
|
|
|
Rentpath, Inc., Senior Secured 2021 Stub Current Face Term Loan, 4/1/2028 (b) (d) (j)
|
|
| 24,474
|
| 367
|
INTERNET & CATALOG RETAIL — 0.0% (c)
|
|
|
|
|
|
ION Trading Finance Ltd., Senior Secured 2021 USD Term Loan, 3 mo. USD Term SOFR + 4.75%, 10.15%, 4/3/2028 (b)
|
|
| 254,238
|
| 251,298
|
PUG LLC, Senior Secured USD Term Loan, 1 mo. USD Term SOFR + 3.50%, 8.93%, 2/12/2027 (b)
|
|
| 419,279
|
| 397,004
|
|
|
|
|
| 648,302
|
INTERNET & TELECOM — 0.0% (c)
|
|
|
|
|
|
CNT Holdings I Corp., Senior Secured 2020 Term Loan, 3 mo. USD Term SOFR + 3.50%, 8.80%, 11/8/2027 (b)
|
|
| 132,880
|
| 132,607
|
Go Daddy Operating Co. LLC, Senior Secured 2022 Term Loan B5, 1 mo. USD Term SOFR + 2.50%, 7.82%, 11/9/2029 (b)
|
|
| 49,626
|
| 49,732
|
Uber Technologies, Inc., Senior Secured 2023 Term Loan B, 3 mo. USD Term SOFR + 2.75%, 8.16%, 3/3/2030 (b)
|
|
| 143,912
|
| 144,027
|
|
|
|
|
| 326,366
|
See accompanying notes to Schedule of
Investments.
80
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
September 30, 2023 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
INVESTMENT COMPANIES — 0.0% (c)
|
|
|
|
|
|
GIP Pilot Acquisition Partners LP, Senior Secured Term Loan, 9/18/2030
|
|
| $120,000
|
| $119,850
|
IT SERVICES — 0.0% (c)
|
|
|
|
|
|
Access CIG LLC, Senior Secured 2023 Term Loan, 1 mo. USD Term SOFR + 5.00%, 10.32%, 8/18/2028 (b)
|
|
| 340,000
|
| 336,175
|
LEISURE INDUSTRY — 0.0% (c)
|
|
|
|
|
|
Carnival Corp.:
|
|
|
|
|
|
Senior Secured 2021 Incremental Term Loan B, 1 mo. USD Term SOFR + 3.25%, 8.68%, 10/18/2028 (b)
|
|
| 291,669
|
| 290,696
|
Senior Secured 2023 Term Loan B, 1 mo. USD Term SOFR + 3.00%, 8.33%, 8/8/2027 (b)
|
|
| 75,000
|
| 74,937
|
|
|
|
|
| 365,633
|
LEISURE&REC/GAMES — 0.0% (c)
|
|
|
|
|
|
Scientific Games Holdings LP, Senior Secured 2022 USD Term Loan B, 3 mo. USD Term SOFR + 3.50%, 8.77%, 4/4/2029 (b)
|
|
| 272,635
|
| 271,442
|
LIFE SCIENCES TOOLS & SERVICES — 0.0% (c)
|
|
|
|
|
|
Parexel International Corp., Senior Secured 2021 1st Lien Term Loan, 1 mo. USD Term SOFR + 3.25%, 8.68%, 11/15/2028 (b)
|
|
| 658,516
|
| 654,700
|
MACHINERY — 0.1%
|
|
|
|
|
|
Ali Group North America Corp., Senior Secured 2021 Term Loan B, 1 mo. USD Term SOFR + 2.00%, 7.43%, 7/30/2029 (b)
|
|
| 274,264
|
| 274,454
|
American Trailer World Corp., Senior Secured Term Loan B, 1 mo. USD Term SOFR + 3.75%, 9.07%, 3/3/2028 (b)
|
|
| 74,018
|
| 71,304
|
Columbus McKinnon Corp., Senior Secured 2021 Term Loan B, 3 mo. USD Term SOFR + 2.75%, 8.42%, 5/14/2028 (b)
|
|
| 30,204
|
| 30,261
|
Security Description
|
|
| Principal
Amount
|
| Value
|
Fluidra SA, Senior Secured 2022 USD Term Loan B, 1 Month USD SOFR + 2.00%, 1/29/2029 (b)
|
|
| $320,000
|
| $318,560
|
Madison IAQ LLC, Senior Secured Term Loan, 1 mo. USD Term SOFR + 3.25%, 8.69%, 6/21/2028 (b)
|
|
| 665,997
|
| 656,300
|
Titan Acquisition Ltd., Senior Secured 2018 Term Loan B, 3 mo. USD LIBOR + 3.00%, 8.65%, 3/28/2025 (b)
|
|
| 395,778
|
| 393,156
|
|
|
|
|
| 1,744,035
|
MACHINERY-CONSTRUCTION & MINING — 0.0% (c)
|
|
|
|
|
|
Brookfield WEC Holdings, Inc., Senior Secured 2021 Term Loan, 1 mo. USD Term SOFR + 2.75%, 8.18%, 8/1/2025 (b)
|
|
| 378,056
|
| 378,275
|
Clear Channel Outdoor Holdings, Inc., Senior Secured Term Loan B, 3 mo. USD Term SOFR + 3.50%, 8.85%, 8/21/2026 (b)
|
|
| 267,711
|
| 260,628
|
|
|
|
|
| 638,903
|
MEDIA — 0.1%
|
|
|
|
|
|
Charter Communications Operating LLC, Senior Secured 2019 Term Loan B2, 3 mo. USD Term SOFR + 1.75%, 7.10%, 2/1/2027 (b)
|
|
| 181,688
|
| 181,700
|
CSC Holdings LLC, Senior Secured 2019 Term Loan B5, 1 mo. USD Term SOFR + 2.50%, 7.95%, 4/15/2027 (b)
|
|
| 255,000
|
| 231,731
|
Diamond Sports Group LLC, Senior Secured 2022 2nd Lien Term Loan, 1 mo. USD Term SOFR + 5.25%, 10.68%, 8/24/2026 (b) (d)
|
|
| 171,496
|
| 4,116
|
Gray Television, Inc., Senior Secured 2021 Term Loan D, 1 mo. USD Term SOFR + 3.00%, 8.44%, 12/1/2028 (b)
|
|
| 194,949
|
| 190,563
|
iHeartCommunications, Inc., Senior Secured 2020 Term Loan, 1 mo. USD Term SOFR + 3.00%, 8.43%, 5/1/2026 (b)
|
|
| 170,000
|
| 153,341
|
See accompanying notes to Schedule of
Investments.
81
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
September 30, 2023 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
NEP/NCP Holdco, Inc., Senior Secured 2018 1st Lien Term Loan, 1 mo. USD Term SOFR + 3.25%, 8.68%, 10/20/2025 (b)
|
|
| $142,018
|
| $137,735
|
Radiate Holdco LLC, Senior Secured 2021 Term Loan B, 1 mo. USD Term SOFR + 3.25%, 8.68%, 9/25/2026 (b)
|
|
| 145,966
|
| 119,944
|
Simon & Schuster, Inc., Senior Secured Term Loan B, 9/27/2030 (b)
|
|
| 55,000
|
| 54,725
|
Sinclair Television Group, Inc., Senior Secured Term Loan B2B, 1 mo. USD Term SOFR + 2.50%, 7.93%, 9/30/2026 (b)
|
|
| 109,975
|
| 95,678
|
Univision Communications, Inc., Senior Secured 2022 First Lien Term Loan B, 3 mo. USD Term SOFR + 4.25%, 9.64%, 6/24/2029 (b)
|
|
| 178,757
|
| 178,802
|
Vertical U.S. Newco, Inc., Senior Secured Term Loan B, 6 mo. USD Term SOFR + 3.50%, 9.38%, 7/30/2027 (b)
|
|
| 303,714
|
| 303,410
|
Virgin Media Bristol LLC, Senior Secured 2023 USD Term Loan Y, 3 mo. USD Term SOFR + 3.25%, 8.31%, 3/31/2031 (b)
|
|
| 385,000
|
| 376,476
|
Ziggo Financing Partnership, Senior Secured USD Term Loan I, 1 mo. USD Term SOFR + 2.50%, 7.95%, 4/30/2028 (b)
|
|
| 190,000
|
| 186,002
|
|
|
|
|
| 2,214,223
|
METALS & MINING — 0.0% (c)
|
|
|
|
|
|
Tiger Acquisition LLC, Senior Secured 2021 Term Loan, 1 mo. USD Term SOFR + 3.25%, 8.67%, 6/1/2028 (b)
|
|
| 115,617
|
| 114,406
|
MORTGAGE REAL ESTATE INVESTMENT TRUSTS (REITs) — 0.0% (c)
|
|
|
|
|
|
Starwood Property Trust, Inc., Senior Secured 2021 Term Loan B3, 1 mo. USD Term SOFR + 3.25%, 8.67%, 7/26/2026 (b)
|
|
| 94,758
|
| 94,818
|
Security Description
|
|
| Principal
Amount
|
| Value
|
MRI/MEDICAL DIAG IMAGING — 0.0% (c)
|
|
|
|
|
|
Radiology Partners, Inc., Senior Secured 2018 1st Lien Term Loan B, 1 mo. USD Term SOFR + 4.25%, 10.18%, 7/9/2025 (b)
|
|
| $159,324
|
| $120,706
|
OIL, GAS & CONSUMABLE FUELS — 0.0% (c)
|
|
|
|
|
|
Pacific Gas & Electric Co., Senior Secured 2020 Term Loan B1, 1 mo. USD Term SOFR + 3.00%, 8.43%, 6/23/2025 (b)
|
|
| 312,704
|
| 313,422
|
Par Petroleum LLC, Senior Secured 2023 Term Loan B, 3 mo. USD Term SOFR + 4.25%, 9.77%, 2/28/2030 (b)
|
|
| 49,875
|
| 49,885
|
Waterbridge Midstream Operating LLC, Senior Secured Term Loan B, 3 mo. USD Term SOFR + 5.75%, 11.36%, 6/22/2026 (b)
|
|
| 185,214
|
| 185,707
|
|
|
|
|
| 549,014
|
PASSENGER AIRLINES — 0.1%
|
|
|
|
|
|
Air Canada, Senior Secured 2021 Term Loan B, 3 mo. USD Term SOFR + 3.50%, 9.13%, 8/11/2028 (b)
|
|
| 192,562
|
| 192,964
|
American Airlines, Inc.:
|
|
|
|
|
|
Senior Secured 2017 1st Lien Term Loan, 3 mo. USD Term SOFR + 1.75%, 7.15%, 1/29/2027 (b)
|
|
| 213,400
|
| 210,199
|
Senior Secured 2021 Term Loan, 3 mo. USD Term SOFR + 4.75%, 10.34%, 4/20/2028 (b)
|
|
| 294,500
|
| 303,906
|
Kestrel Bidco, Inc., Senior Secured Term Loan B, 1 mo. USD Term SOFR + 3.00%, 8.42%, 12/11/2026 (b)
|
|
| 233,718
|
| 229,336
|
Mileage Plus Holdings LLC, Senior Secured 2020 Term Loan B, 3 mo. USD Term SOFR + 5.25%, 10.80%, 6/21/2027 (b)
|
|
| 378,750
|
| 394,072
|
SkyMiles IP Ltd., Senior Secured 2020 Skymiles Term Loan B, 3 mo. USD Term SOFR + 3.75%, 9.08%, 10/20/2027 (b)
|
|
| 182,750
|
| 189,432
|
See accompanying notes to Schedule of
Investments.
82
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
September 30, 2023 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
United Airlines, Inc., Senior Secured 2021 Term Loan B, 1 mo. USD Term SOFR + 3.75%, 9.18%, 4/21/2028 (b)
|
|
| $278,364
|
| $279,234
|
|
|
|
|
| 1,799,143
|
PERSONAL CARE PRODUCTS — 0.0% (c)
|
|
|
|
|
|
Kronos Acquisition Holdings, Inc., Senior Secured 2021 Term Loan B, 3 mo. USD Term SOFR + 3.75%, 9.40%, 12/22/2026 (b)
|
|
| 190,259
|
| 189,677
|
PHARMACEUTICALS — 0.1%
|
|
|
|
|
|
Curium Bidco Sarl, Senior Secured 2023 USD Term Loan B, 1 mo. USD Term SOFR + 4.50%, 9.82%, 7/31/2029 (b)
|
|
| 240,000
|
| 240,000
|
Grifols Worldwide Operations USA, Inc., Senior Secured USD 2019 Term Loan B, 1 mo. USD Term SOFR + 2.00%, 7.42%, 11/15/2027 (b)
|
|
| 665,000
|
| 654,692
|
Jazz Financing Lux Sarl, Senior Secured USD Term Loan, 1 mo. USD Term SOFR + 3.50%, 8.93%, 5/5/2028 (b)
|
|
| 506,417
|
| 506,595
|
Organon & Co., Senior Secured USD Term Loan, 1 mo. USD Term SOFR + 3.00%, 8.44%, 6/2/2028 (b)
|
|
| 486,545
|
| 486,423
|
Perrigo Investments LLC, Senior Secured Term Loan B, 1 mo. USD Term SOFR + 2.25%, 7.67%, 4/20/2029 (b)
|
|
| 193,234
|
| 192,811
|
PetVet Care Centers LLC, Senior Secured 2021 Term Loan B3, 1 mo. USD Term SOFR + 3.50%, 8.92%, 2/14/2025 (b)
|
|
| 394,630
|
| 393,397
|
Southern Veterinary Partners LLC, Senior Secured Term Loan, 1 mo. USD Term SOFR + 4.00%, 9.43%, 10/5/2027 (b)
|
|
| 382,309
|
| 380,457
|
|
|
|
|
| 2,854,375
|
Security Description
|
|
| Principal
Amount
|
| Value
|
PIPELINES — 0.1%
|
|
|
|
|
|
BCP Renaissance Parent LLC, Senior Secured 2023 Term Loan B, 3 mo. USD Term SOFR + 3.50%, 8.90%, 10/31/2028 (b)
|
|
| $197,672
|
| $197,611
|
Buckeye Partners LP, Senior Secured 2021 Term Loan B, 1 mo. USD Term SOFR + 2.25%, 7.67%, 11/1/2026 (b)
|
|
| 388,069
|
| 388,247
|
CQP Holdco LP, Senior Secured 2021 Term Loan B, 1 mo. USD Term SOFR + 3.50%, 8.82%, 6/5/2028 (b)
|
|
| 272,245
|
| 272,833
|
Freeport LNG Investments LLLP, Senior Secured Term Loan B, 3 mo. USD LIBOR + 3.50%, 9.09%, 12/21/2028 (b)
|
|
| 209,992
|
| 208,352
|
GIP II Blue Holding LP, Senior Secured Term Loan B, 1 mo. USD Term SOFR + 4.50%, 9.82%, 9/29/2028 (b)
|
|
| 87,854
|
| 88,257
|
Oryx Midstream Services Permian Basin LLC, Senior Secured 2023 Incremental Term Loan, 1 mo. USD Term SOFR + 3.25%, 8.69%, 10/5/2028 (b)
|
|
| 239,338
|
| 239,563
|
|
|
|
|
| 1,394,863
|
PROFESSIONAL SERVICES — 0.1%
|
|
|
|
|
|
Dun & Bradstreet Corp., Senior Secured 2022 Incremental Term Loan B2, 1 mo. USD Term SOFR + 3.00%, 8.32%, 1/18/2029 (b)
|
|
| 68,950
|
| 68,933
|
Proofpoint, Inc., Senior Secured 1st Lien Term Loan, 1 mo. USD Term SOFR + 3.25%, 8.68%, 8/31/2028 (b)
|
|
| 673,187
|
| 668,465
|
Trans Union LLC, Senior Secured 2021 Term Loan B6, 1 mo. USD Term SOFR + 2.25%, 7.68%, 12/1/2028 (b)
|
|
| 474,517
|
| 474,875
|
|
|
|
|
| 1,212,273
|
See accompanying notes to Schedule of
Investments.
83
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
September 30, 2023 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
PUBLISHING-BOOKS — 0.0% (c)
|
|
|
|
|
|
Getty Images, Inc., Senior Secured 2019 USD Term Loan B, 3 mo. USD Term SOFR + 4.50%, 9.99%, 2/19/2026 (b)
|
|
| $152,197
|
| $152,806
|
RETAIL — 0.0% (c)
|
|
|
|
|
|
1011778 BC ULC, Senior Secured 2023 Term Loan B5, 1 mo. USD Term SOFR + 2.25%, 7.57%, 9/23/2030 (b)
|
|
| 390,000
|
| 388,986
|
RETAIL-BUILDING PRODUCTS — 0.0% (c)
|
|
|
|
|
|
LBM Acquisition LLC, Senior Secured Term Loan B, 1 mo. USD Term SOFR + 3.75%, 9.07%, 12/17/2027 (b)
|
|
| 249,378
|
| 243,995
|
Park River Holdings, Inc., Senior Secured Term Loan, 6 mo. USD LIBOR + 3.25%, 8.52%, 12/28/2027 (b)
|
|
| 159,552
|
| 154,548
|
|
|
|
|
| 398,543
|
RETAIL-PETROLEUM PRODUCT — 0.0% (c)
|
|
|
|
|
|
EG Group Ltd.:
|
|
|
|
|
|
Senior Secured 2023 USD Incremental Tranche B Term Loan B, 2 mo. USD SOFR +4.25%, 9.73%, 3/31/2026 (b)
|
|
| 46,654
|
| 46,654
|
Senior Secured 2023 USD Incremental Tranche C Term Loan B, 2 mo. USD Term SOFR +4.25%, 9.73%, 3/31/2026 (b)
|
|
| 91,615
|
| 87,779
|
|
|
|
|
| 134,433
|
RETAIL-RESTAURANTS — 0.0% (c)
|
|
|
|
|
|
IRB Holding Corp., Senior Secured 2022 Term Loan B, 1 mo. USD Term SOFR + 3.00%, 8.32%, 12/15/2027 (b)
|
|
| 668,953
|
| 667,310
|
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT — 0.0% (c)
|
|
|
|
|
|
Bright Bidco BV, Senior Secured 2022 Exit Term Loan, 3 mo. USD Term SOFR + 1.00%, 6.37%, 10/31/2027 (b)
|
|
| 24,752
|
| 10,025
|
Security Description
|
|
| Principal
Amount
|
| Value
|
Ultra Clean Holdings, Inc., Senior Secured 2021 Term Loan B, 1 mo. USD Term SOFR + 3.75%, 9.18%, 8/27/2025 (b)
|
|
| $127,006
|
| $127,502
|
|
|
|
|
| 137,527
|
SOFTWARE — 0.2%
|
|
|
|
|
|
Applied Systems, Inc.:
|
|
|
|
|
|
Senior Secured 2021 2nd Lien Term Loan, 3 mo. USD Term SOFR + 6.75%, 12.14%, 9/17/2027 (b)
|
|
| 210,000
|
| 211,313
|
Senior Secured 2022 Extended 1st Lien Term Loan, 3 mo. USD Term SOFR + 4.50%, 9.89%, 9/18/2026 (b)
|
|
| 276,501
|
| 277,659
|
Athenahealth Group, Inc., Senior Secured 2022 Term Loan B, 1 mo. USD Term SOFR + 3.25%, 8.57%, 2/15/2029 (b)
|
|
| 671,505
|
| 660,804
|
Banff Merger Sub, Inc., Senior Secured 2021 USD Term Loan, 1 mo. USD Term SOFR + 3.75%, 9.18%, 10/2/2025 (b)
|
|
| 249,782
|
| 249,816
|
Camelot U.S. Acquisition LLC, Senior Secured Term Loan B, 1 mo. USD Term SOFR + 3.00%, 8.43%, 10/30/2026 (b)
|
|
| 365,000
|
| 365,228
|
Castle U.S. Holding Corp., Senior Secured USD Term Loan B, 3 mo. USD Term SOFR + 3.75%, 9.43%, 1/29/2027 (b)
|
|
| 311,523
|
| 246,381
|
CDK Global, Inc., Senior Secured 2022 USD Term Loan B, 3 mo. USD Term SOFR + 4.25%, 9.64%, 7/6/2029 (b)
|
|
| 203,612
|
| 203,902
|
Cengage Learning, Inc., Senior Secured 2021 Term Loan B, 3 mo. USD LIBOR + 4.75%, 10.32%, 7/14/2026 (b)
|
|
| 303,401
|
| 302,453
|
Constant Contact, Inc., Senior Secured Term Loan, 3 mo. USD Term SOFR + 4.00%, 9.56%, 2/10/2028 (b)
|
|
| 113,926
|
| 110,491
|
Cornerstone OnDemand, Inc., Senior Secured 2021 Term Loan, 3 mo. USD Term SOFR + 3.75%, 9.19%, 10/16/2028 (b)
|
|
| 131,449
|
| 125,185
|
See accompanying notes to Schedule of
Investments.
84
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
September 30, 2023 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
DCert Buyer, Inc.:
|
|
|
|
|
|
Senior Secured 2019 Term Loan B, 1 mo. USD Term SOFR + 4.00%, 9.32%, 10/16/2026 (b)
|
|
| $75,006
|
| $74,657
|
Senior Secured 2021 2nd Lien Term Loan, 1 mo. USD Term SOFR + 7.00%, 12.32%, 2/19/2029 (b)
|
|
| 55,000
|
| 51,608
|
First Advantage Holdings LLC, Senior Secured 2021 Term Loan B, 1 mo. USD Term SOFR + 2.75%, 8.18%, 1/31/2027 (b)
|
|
| 275,666
|
| 276,227
|
GoTo Group, Inc., Senior Secured Term Loan B, 3 mo. USD Term SOFR + 4.75%, 10.27%, 8/31/2027 (b)
|
|
| 127,493
|
| 85,276
|
Grab Holdings, Inc., Senior Secured Term Loan B, 1 mo. USD Term SOFR + 4.50%, 9.93%, 1/29/2026 (b)
|
|
| 134,346
|
| 135,396
|
Greeneden U.S. Holdings II LLC, Senior Secured 2020 USD Term Loan B4, 1 mo. USD Term SOFR + 4.00%, 9.43%, 12/1/2027 (b)
|
|
| 372,698
|
| 373,439
|
Helios Software Holdings, Inc., Senior Secured 2023 Term Loan B, 3 mo. USD SOFR + 4.25%, 9.74%, 7/18/2030 (b)
|
|
| 145,000
|
| 144,565
|
I-Logic Technologies Bidco Ltd., Senior Secured 2021 USD Term Loan B, 3 mo. USD Term SOFR + 4.00%, 9.54%, 2/16/2028 (b)
|
|
| 272,500
|
| 269,502
|
Informatica LLC, Senior Secured 2021 USD Term Loan B, 1 mo. USD Term SOFR + 2.75%, 8.07%, 10/27/2028 (b)
|
|
| 325,050
|
| 324,696
|
Ivanti Software, Inc., Senior Secured 2021 Term Loan B, 3 mo. USD Term SOFR + 4.25%, 9.76%, 12/1/2027 (b)
|
|
| 71,952
|
| 62,464
|
McAfee LLC, Senior Secured 2022 USD Term Loan B, 1 mo. USD Term SOFR + 3.75%, 9.18%, 3/1/2029 (b)
|
|
| 272,390
|
| 266,516
|
Security Description
|
|
| Principal
Amount
|
| Value
|
MedAssets Software Intermediate Holdings, Inc., Senior Secured 2021 Term Loan, 1 mo. USD Term SOFR + 4.00%, 9.43%, 12/18/2028 (b)
|
|
| $211,775
|
| $173,920
|
Mitchell International, Inc.:
|
|
|
|
|
|
Senior Secured 2021 2nd Lien Term Loan, 1 mo. USD Term SOFR + 6.50%, 11.93%, 10/15/2029 (b)
|
|
| 40,000
|
| 36,956
|
Senior Secured 2021 Term Loan B, 1 mo. USD Term SOFR + 3.75%, 9.18%, 10/15/2028 (b)
|
|
| 241,428
|
| 237,876
|
PointClickCare Technologies, Inc., Senior Secured Term Loan B, 3 mo. USD Term SOFR + 3.00%, 8.40%, 12/29/2027 (b)
|
|
| 141,737
|
| 141,560
|
Polaris Newco LLC, Senior Secured USD Term Loan B, 1 mo. USD Term SOFR + 4.00%, 9.43%, 6/2/2028 (b)
|
|
| 201,868
|
| 193,793
|
RealPage, Inc., Senior Secured 1st Lien Term Loan, 1 mo. USD Term SOFR + 3.00%, 8.43%, 4/24/2028 (b)
|
|
| 667,662
|
| 660,845
|
Sophia LP, Senior Secured 2021 Term Loan B, 1 mo. USD Term SOFR + 3.50%, 8.82%, 10/7/2027 (b)
|
|
| 393,006
|
| 392,597
|
Ultimate Software Group, Inc.:
|
|
|
|
|
|
Senior Secured 2021 2nd Lien Term Loan, 3 mo. USD Term SOFR + 5.25%, 10.62%, 5/3/2027 (b)
|
|
| 70,000
|
| 70,069
|
Senior Secured 2023 Incremental Term Loan, 3 mo. USD Term SOFR + 4.50%, 10.02%, 5/4/2026 (b)
|
|
| 95,000
|
| 95,416
|
Senior Secured Term Loan B, 3 mo. USD Term SOFR + 3.75%, 9.22%, 5/4/2026 (b)
|
|
| 269,300
|
| 269,344
|
|
|
|
|
| 7,089,954
|
SPECIALTY RETAIL — 0.1%
|
|
|
|
|
|
Great Outdoors Group LLC, Senior Secured 2021 Term Loan B1, 1 mo. USD Term SOFR + 3.75%, 9.18%, 3/6/2028 (b)
|
|
| 269,151
|
| 268,936
|
See accompanying notes to Schedule of
Investments.
85
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
September 30, 2023 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
Jo-Ann Stores, Inc., Senior Secured 2021 Term Loan B1, 3 mo. USD Term SOFR + 4.75%, 10.36%, 7/7/2028 (b)
|
|
| $235,200
|
| $78,792
|
K-Mac Holdings Corp., Senior Secured 2021 Term Loan, 1 mo. USD Term SOFR + 3.25%, 8.68%, 7/21/2028 (b)
|
|
| 220,292
|
| 218,463
|
Leslie's Poolmart, Inc., Senior Secured 2021 Term Loan B, 1 mo. USD Term SOFR + 2.75%, 8.18%, 3/9/2028 (b)
|
|
| 188,636
|
| 186,108
|
Michaels Cos., Inc., Senior Secured 2021 Term Loan B, 3 mo. USD Term SOFR + 4.25%, 9.90%, 4/15/2028 (b)
|
|
| 88,731
|
| 81,229
|
Petco Health & Wellness Co., Inc., Senior Secured 2021 Term Loan B, 3 mo. USD Term SOFR + 3.25%, 9.02%, 3/3/2028 (b)
|
|
| 351,693
|
| 348,341
|
PetSmart, Inc., Senior Secured 2021 Term Loan B, 1 mo. USD Term SOFR + 3.75%, 9.17%, 2/11/2028 (b)
|
|
| 343,746
|
| 343,224
|
Pilot Travel Centers LLC, Senior Secured 2021 Term Loan B, 1 mo. USD Term SOFR + 2.00%, 7.42%, 8/4/2028 (b)
|
|
| 343,244
|
| 343,244
|
Rent-A-Center, Inc., Senior Secured 2021 First Lien Term Loan B, 3 mo. USD Term SOFR + 3.25%, 8.88%, 2/17/2028 (b)
|
|
| 158,072
|
| 157,949
|
Restoration Hardware, Inc., Senior Secured Term Loan B, 1 mo. USD Term SOFR + 2.50%, 7.93%, 10/20/2028 (b)
|
|
| 125,480
|
| 120,879
|
SRS Distribution, Inc., Senior Secured 2021 Term Loan B, 1 mo. USD Term SOFR + 3.50%, 8.93%, 6/2/2028 (b)
|
|
| 389,523
|
| 386,175
|
Staples, Inc., Senior Secured 7 Year Term Loan, 3 mo. USD LIBOR + 5.00%, 10.63%, 4/16/2026 (b)
|
|
| 205,179
|
| 176,505
|
Victoria's Secret & Co., Senior Secured Term Loan B, 3 mo. USD Term SOFR + 3.25%, 8.90%, 8/2/2028 (b)
|
|
| 206,325
|
| 202,198
|
Security Description
|
|
| Principal
Amount
|
| Value
|
Whatabrands LLC, Senior Secured 2021 Term Loan B, 1 mo. USD Term SOFR + 3.00%, 8.43%, 8/3/2028 (b)
|
|
| $289,838
|
| $289,113
|
|
|
|
|
| 3,201,156
|
STEEL-PRODUCERS — 0.0% (c)
|
|
|
|
|
|
Phoenix Services International LLC, Senior Secured 2023 Exit PIK Term Loan, 11.42%, 6/30/2028 (b)
|
|
| 83,635
|
| 78,094
|
TELECOM SERVICES — 0.0% (c)
|
|
|
|
|
|
Connect Finco Sarl, Senior Secured 2021 Term Loan B, 1 mo. USD Term SOFR + 3.50%, 8.82%, 12/11/2026 (b)
|
|
| 139,925
|
| 137,564
|
TELECOMMUNICATION EQUIP — 0.0% (c)
|
|
|
|
|
|
Cyxtera DC Holdings, Inc., Senior Secured Term Loan B, 3 mo. USD SOFR + 3.00%, 5/1/2024 (b) (d)
|
|
| 294,531
|
| 174,009
|
GOGO Intermediate Holdings LLC, Senior Secured Term Loan B, 1 mo. USD Term SOFR + 3.75%, 9.07%, 4/30/2028 (b)
|
|
| 144,045
|
| 143,903
|
|
|
|
|
| 317,912
|
TRANSPORT-SERVICES — 0.1%
|
|
|
|
|
|
Echo Global Logistics, Inc., Senior Secured Term Loan, 1 mo. USD Term SOFR + 3.50%, 8.92%, 11/23/2028 (b)
|
|
| 122,329
|
| 118,491
|
EG America LLC, Senior Secured 2018 USD Term Loan, 2 mo. USD Term SOFR +4.00%, 9.30%, 2/7/2025 (b)
|
|
| 161,183
|
| 159,638
|
Element Materials Technology Group U.S. Holdings, Inc.:
|
|
|
|
|
|
Senior Secured 2022 USD Delayed Draw Term Loan, 3 mo. USD SOFR + 4.25%, 9.74%, 7/6/2029 (b)
|
|
| 40,745
|
| 40,371
|
Senior Secured 2022 USD Term Loan, 3 mo. USD SOFR + 4.25%, 9.74%, 7/6/2029 (b)
|
|
| 88,280
|
| 87,471
|
See accompanying notes to Schedule of
Investments.
86
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
September 30, 2023 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
Endure Digital, Inc., Senior Secured Term Loan, 3 mo. USD LIBOR + 3.50%, 8.79%, 2/10/2028 (b)
|
|
| $260,981
|
| $254,240
|
Everi Holdings, Inc., Senior Secured 2021 Term Loan B, 1 mo. USD Term SOFR + 2.50%, 7.93%, 8/3/2028 (b)
|
|
| 112,412
|
| 112,483
|
ExGen Renewables IV LLC, Senior Secured 2020 Term Loan, 3 mo. USD Term SOFR + 2.50%, 8.18%, 12/15/2027 (b)
|
|
| 192,039
|
| 191,799
|
LaserShip, Inc.:
|
|
|
|
|
|
Senior Secured 2021 2nd Lien Term Loan, 2 mo. USD Term SOFR +7.50%, 12.98%, 5/7/2029 (b)
|
|
| 40,000
|
| 33,400
|
Senior Secured 2021 Term Loan, 2 mo. USD Term SOFR + 4.50%, 9.98%, 5/7/2028 (b)
|
|
| 152,162
|
| 142,043
|
|
|
|
|
| 1,139,936
|
TOTAL SENIOR FLOATING RATE LOANS
(Cost $64,614,411)
|
|
|
|
| 63,207,271
|
U.S. GOVERNMENT AGENCY OBLIGATIONS — 29.6%
|
|
|
|
|
|
Federal Home Loan Mortgage Corp.:
|
|
|
|
|
|
30 day USD SOFR Average - 2.15%, 2.14%, 12/1/2051 (b)
|
|
| 11,238,145
|
| 9,666,362
|
30 day USD SOFR Average + 2.14%, 2.22%, 7/1/2051 (b)
|
|
| 12,236,675
|
| 10,587,930
|
2.50%, 9/1/2050
|
|
| 12,710,771
|
| 10,110,065
|
3.00%, 6/1/2042
|
|
| 10,354,687
|
| 8,829,796
|
3.00%, 11/1/2042
|
|
| 5,815,731
|
| 4,982,636
|
3.00%, 12/1/2042
|
|
| 4,870,127
|
| 4,114,360
|
3.00%, 1/1/2045
|
|
| 670,240
|
| 571,273
|
3.00%, 2/1/2045
|
|
| 468,185
|
| 396,551
|
3.00%, 3/1/2045
|
|
| 461,507
|
| 390,895
|
3.00%, 4/1/2045
|
|
| 13,159,357
|
| 11,197,141
|
3.00%, 8/1/2045
|
|
| 5,237,190
|
| 4,435,885
|
3.00%, 7/1/2047
|
|
| 1,849,098
|
| 1,562,148
|
3.00%, 10/1/2051
|
|
| 15,211,607
|
| 12,735,866
|
3.00%, 3/1/2052
|
|
| 5,801,733
|
| 4,806,385
|
3.50%, 2/1/2045
|
|
| 730,436
|
| 643,606
|
3.50%, 4/1/2045
|
|
| 11,573,343
|
| 10,185,863
|
3.50%, 6/1/2045
|
|
| 5,878,908
|
| 5,174,319
|
3.50%, 10/1/2045
|
|
| 5,955,317
|
| 5,241,570
|
3.50%, 2/1/2046
|
|
| 3,001,543
|
| 2,629,997
|
4.00%, 4/1/2047
|
|
| 7,979,463
|
| 7,239,107
|
Security Description
|
|
| Principal
Amount
|
| Value
|
4.00%, 7/1/2047
|
|
| $1,990,752
|
| $1,805,353
|
4.00%, 10/1/2047
|
|
| 4,468,401
|
| 4,052,258
|
4.00%, 7/1/2052
|
|
| 31,496,174
|
| 28,086,620
|
4.19%, 7/1/2033
|
|
| 16,202,000
|
| 14,474,275
|
4.30%, 1/1/2033
|
|
| 10,000,000
|
| 9,062,800
|
4.50%, 6/1/2044
|
|
| 837,570
|
| 789,245
|
4.50%, 7/1/2052
|
|
| 14,048,484
|
| 12,898,033
|
4.50%, 10/1/2052
|
|
| 17,384,885
|
| 15,958,145
|
4.66%, 4/1/2028
|
|
| 10,300,000
|
| 9,924,613
|
4.80%, 1/1/2030
|
|
| 17,395,000
|
| 16,687,165
|
Federal Home Loan Mortgage Corp. REMICS:
|
|
|
|
|
|
Series 3852, Class NS, CMO, IO, REMIC, 30 day USD SOFR Average - 5.89%, 0.57%, 5/15/2041 (b)
|
|
| 3,070,894
|
| 213,461
|
Series 3889, Class VZ, CMO, REMIC, 4.00%, 7/15/2041
|
|
| 1,971,499
|
| 1,792,951
|
Series 3935, Class SJ, CMO, IO, REMIC, 30 day USD SOFR Average - 6.54%, 1.22%, 5/15/2041 (b)
|
|
| 465,287
|
| 9,184
|
Series 4120, Class KA, CMO, REMIC, 1.75%, 10/15/2032
|
|
| 4,612,072
|
| 4,231,082
|
Series 4165, Class ZT, CMO, REMIC, 3.00%, 2/15/2043
|
|
| 4,447,521
|
| 3,413,009
|
Series 4364, Class ZX, CMO, REMIC, 4.00%, 7/15/2044
|
|
| 27,215,621
|
| 24,947,583
|
Series 4434, Class LZ, CMO, REMIC, 3.00%, 2/15/2045
|
|
| 3,879,828
|
| 3,104,193
|
Series 4444, Class CZ, CMO, REMIC, 3.00%, 2/15/2045
|
|
| 14,226,038
|
| 11,583,543
|
Series 4471, Class BA, CMO, REMIC, 3.00%, 12/15/2041
|
|
| 571,203
|
| 548,014
|
Series 4471, Class GA, CMO, REMIC, 3.00%, 2/15/2044
|
|
| 3,293,434
|
| 2,982,878
|
Series 4474, Class ZX, CMO, REMIC, 4.00%, 4/15/2045
|
|
| 14,076,289
|
| 12,845,956
|
Series 4483, Class CA, CMO, REMIC, 3.00%, 6/15/2044
|
|
| 3,180,555
|
| 2,903,338
|
Series 4484, Class CD, CMO, REMIC, 1.75%, 7/15/2030
|
|
| 2,406,710
|
| 2,228,132
|
Series 4492, Class GZ, CMO, REMIC, 3.50%, 7/15/2045
|
|
| 7,488,547
|
| 6,585,062
|
See accompanying notes to Schedule of
Investments.
87
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
September 30, 2023 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
Series 4504, Class CA, CMO, REMIC, 3.00%, 4/15/2044
|
|
| $2,882,787
|
| $2,661,711
|
Series 4533, Class AB, CMO, REMIC, 3.00%, 6/15/2044
|
|
| 2,681,154
|
| 2,451,364
|
Series 4543, Class HG, CMO, REMIC, 2.70%, 4/15/2044
|
|
| 4,837,190
|
| 4,415,435
|
Series 4702, Class ZL, CMO, 3.00%, 7/15/2047
|
|
| 14,916,465
|
| 12,385,092
|
Series 4792, Class A, CMO, REMIC, 3.00%, 5/15/2048
|
|
| 2,815,337
|
| 2,392,264
|
Series 4998, Class KF, 30 day USD SOFR Average + 0.35%, 5.67%, 8/25/2050 (b)
|
|
| 7,118,823
|
| 6,714,560
|
Series 5130, Class SD, CMO, IO, 30 day USD SOFR Average - 2.60%, 0.00%, 8/25/2051 (b)
|
|
| 77,242,273
|
| 376,023
|
Series 5243, Class IB, 3.00%, 1/25/2051
|
|
| 17,025,393
|
| 2,885,696
|
Federal Home Loan Mortgage Corp. STACR REMIC Trust:
|
|
|
|
|
|
Series 2021-HQA4, Class M2, CMO, 30 day USD SOFR Average + 2.35%, 7.67%, 12/25/2041 (a) (b)
|
|
| 5,000,000
|
| 4,844,687
|
Series 2022-DNA2, Class M2, 30 day USD SOFR Average + 3.75%, 9.07%, 2/25/2042 (a) (b)
|
|
| 9,500,000
|
| 9,732,741
|
Series 2022-DNA3, Class M1B, 30 day USD SOFR Average + 2.90%, 8.22%, 4/25/2042 (a) (b)
|
|
| 20,000,000
|
| 20,443,997
|
Federal Home Loan Mortgage Corp. STRIPS Series 326, Class 300, CMO, 3.00%, 3/15/2044
|
|
| 9,356,299
|
| 8,030,732
|
Federal National Mortgage Association:
|
|
|
|
|
|
1.41%, 12/1/2030
|
|
| 10,000,000
|
| 7,538,201
|
1.91%, 12/1/2031
|
|
| 10,000,000
|
| 7,796,538
|
1.98%, 10/1/2033
|
|
| 19,500,000
|
| 14,893,071
|
2.22%, 12/1/2029
|
|
| 5,400,000
|
| 4,546,572
|
2.50%, 10/1/2040
|
|
| 18,002,102
|
| 15,248,921
|
2.50%, 9/1/2046
|
|
| 1,658,369
|
| 1,321,096
|
2.50%, 2/1/2047
|
|
| 4,490,377
|
| 3,657,754
|
2.50%, 11/1/2050
|
|
| 7,291,343
|
| 5,878,645
|
2.80%, 11/1/2039
|
|
| 10,034,000
|
| 6,996,070
|
3.00%, 10/1/2041
|
|
| 8,789,683
|
| 7,425,664
|
3.00%, 3/1/2043
|
|
| 2,112,362
|
| 1,804,666
|
3.00%, 7/1/2043
|
|
| 2,080,899
|
| 1,756,323
|
3.00%, 1/1/2045
|
|
| 68,102
|
| 57,250
|
Security Description
|
|
| Principal
Amount
|
| Value
|
3.00%, 3/1/2045
|
|
| $613,930
|
| $519,265
|
3.00%, 4/1/2045
|
|
| 1,236,798
|
| 1,031,602
|
3.00%, 7/1/2045
|
|
| 11,351,131
|
| 9,697,677
|
3.00%, 10/1/2046
|
|
| 2,214,978
|
| 1,871,248
|
3.00%, 2/1/2047
|
|
| 8,047,350
|
| 6,798,529
|
3.00%, 11/1/2048
|
|
| 4,921,001
|
| 4,157,340
|
3.00%, 10/1/2049
|
|
| 3,397,409
|
| 2,804,352
|
3.00%, 11/1/2051
|
|
| 24,418,006
|
| 20,324,061
|
3.00%, 4/1/2052
|
|
| 9,018,565
|
| 7,498,153
|
3.00%, 4/1/2053
|
|
| 10,437,347
|
| 8,709,079
|
3.50%, 9/1/2034
|
|
| 776,623
|
| 715,703
|
3.50%, 12/1/2034
|
|
| 666,434
|
| 614,157
|
3.50%, 2/1/2035
|
|
| 453,124
|
| 417,580
|
3.50%, 1/1/2045
|
|
| 5,026,040
|
| 4,425,932
|
3.50%, 2/1/2045
|
|
| 1,477,506
|
| 1,301,977
|
3.50%, 6/1/2045
|
|
| 5,687,899
|
| 4,998,699
|
3.50%, 11/1/2051
|
|
| 12,285,558
|
| 10,655,815
|
3.72%, 6/1/2032
|
|
| 11,688,030
|
| 10,218,837
|
3.88%, 10/1/2030
|
|
| 11,406,670
|
| 10,536,626
|
4.00%, 6/1/2052
|
|
| 11,649,665
|
| 10,382,485
|
4.00%, 12/1/2052
|
|
| 23,533,708
|
| 21,028,421
|
4.33%, 12/1/2032
|
|
| 10,400,000
|
| 9,446,327
|
4.50%, 3/1/2044
|
|
| 652,232
|
| 613,653
|
4.50%, 6/1/2044
|
|
| 216,049
|
| 203,254
|
4.50%, 7/1/2044
|
|
| 270,327
|
| 254,318
|
4.50%, 2/1/2045
|
|
| 435,244
|
| 409,500
|
30 day USD SOFR Average + 2.28%, 4.55%, 3/1/2053 (b)
|
|
| 19,678,585
|
| 18,506,703
|
5.00%, 9/1/2052
|
|
| 8,343,276
|
| 7,869,257
|
5.00%, 12/1/2052
|
|
| 11,305,806
|
| 10,663,472
|
5.13%, 11/1/2032
|
|
| 13,371,000
|
| 12,904,302
|
3.00%, 6/1/2051
|
|
| 15,111,180
|
| 12,587,915
|
Federal National Mortgage Association Connecticut Avenue Securities:
|
|
|
|
|
|
Series 2022-R02, Class 2M2, CMO, 30 day USD SOFR Average + 3.00%, 8.32%, 1/25/2042 (a) (b)
|
|
| 12,000,000
|
| 12,010,805
|
Series 2023-R02, Class 1M2, 30 day USD SOFR Average + 3.35%, 8.67%, 1/25/2043 (a) (b)
|
|
| 13,500,000
|
| 13,990,138
|
Federal National Mortgage Association REMICS:
|
|
|
|
|
|
Series 2010-109, Class N, CMO, REMIC, 3.00%, 10/25/2040
|
|
| 990,332
|
| 909,279
|
Series 2011-51, Class CI, CMO, IO, REMIC, 30 day USD SOFR Average - 5.89%, 0.57%, 6/25/2041 (b)
|
|
| 1,844,023
|
| 131,180
|
Series 2012-127, Class PA, CMO, REMIC, 2.75%, 11/25/2042
|
|
| 1,395,185
|
| 1,237,419
|
See accompanying notes to Schedule of
Investments.
88
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
September 30, 2023 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
Series 2012-148, Class VZ, 3.00%, 1/25/2043
|
|
| $32,469,141
|
| $27,692,026
|
Series 2012-151, Class SB, CMO, REMIC, 30 day USD SOFR Average - 5.83%, 0.00%, 1/25/2043 (b)
|
|
| 20,907
|
| 9,429
|
Series 2013-114, Class HZ, CMO, REMIC, 3.00%, 11/25/2038
|
|
| 19,209,949
|
| 16,704,732
|
Series 2013-18, Class CD, CMO, REMIC, 1.50%, 10/25/2027
|
|
| 621,030
|
| 600,391
|
Series 2013-30, Class PS, CMO, REMIC, 30 day USD SOFR Average - 5.83%, 0.00%, 4/25/2043 (b)
|
|
| 611,451
|
| 347,216
|
Series 2014-21, Class GZ, CMO, REMIC, 3.00%, 4/25/2044
|
|
| 3,559,132
|
| 3,018,158
|
Series 2014-39, Class ZA, CMO, REMIC, 3.00%, 7/25/2044
|
|
| 4,182,674
|
| 3,550,308
|
Series 2015-42, Class CA, CMO, REMIC, 3.00%, 3/25/2044
|
|
| 2,007,897
|
| 1,832,148
|
Series 2016-32, Class LA, CMO, REMIC, 3.00%, 10/25/2044
|
|
| 3,243,055
|
| 2,960,590
|
Series 2016-72, Class PA, CMO, REMIC, 3.00%, 7/25/2046
|
|
| 3,557,763
|
| 3,047,424
|
Series 2016-81, Class PA, CMO, REMIC, 3.00%, 2/25/2044
|
|
| 1,490,330
|
| 1,420,932
|
Series 2016-92, Class A, CMO, REMIC, 3.00%, 4/25/2042
|
|
| 3,494,517
|
| 3,318,136
|
Series 2017-87, Class BA, CMO, REMIC, 3.00%, 12/25/2042
|
|
| 691,466
|
| 680,296
|
Series 2020-1, Class LA, 4.00%, 2/25/2060
|
|
| 12,839,665
|
| 9,917,465
|
Series 2020-47, Class GL, CMO, 2.00%, 5/25/2046
|
|
| 8,459,012
|
| 6,967,829
|
Series 2021-29, Class BA, CMO, 1.25%, 5/25/2041
|
|
| 8,915,210
|
| 7,501,383
|
Series 2021-35, Class EH, CMO, 2.00%, 2/25/2037
|
|
| 15,153,409
|
| 13,062,964
|
Federal National Mortgage Association-Aces:
|
|
|
|
|
|
Series 2018-M10, Class A1, 3.47%, 7/25/2028 (b)
|
|
| 645,198
|
| 640,068
|
Series 2020-M12, Class IO, 1.40%, 7/25/2029 (b)
|
|
| 98,590,808
|
| 5,454,231
|
Security Description
|
|
| Principal
Amount
|
| Value
|
Government National Mortgage Association:
|
|
|
|
|
|
2.50%, 3/20/2051
|
|
| $8,759,198
|
| $7,101,099
|
3.00%, 2/20/2052
|
|
| 22,555,529
|
| 19,195,396
|
Series 2021-143, Class IO, IO, VRN, 0.97%, 10/16/2063 (b)
|
|
| 83,281,775
|
| 5,317,715
|
Series 2021-40, Class IO, IO, VRN, 0.82%, 2/16/2063 (b)
|
|
| 72,202,153
|
| 4,202,514
|
Series 2021-57, Class AI, 2.00%, 2/20/2051
|
|
| 8,769,765
|
| 899,859
|
Series 2021-60, Class IO, IO, VRN, 0.83%, 5/16/2063 (b)
|
|
| 56,102,345
|
| 3,293,375
|
Series 2021-79, Class IO, IO, 0.88%, 8/16/2063 (b)
|
|
| 80,736,677
|
| 5,013,205
|
Series 2021-80, Class IO, IO, VRN, 0.90%, 12/16/2062 (b)
|
|
| 88,056,292
|
| 5,542,094
|
Series 2021-85, Class IO, IO, VRN, 0.68%, 3/16/2063 (b)
|
|
| 100,069,722
|
| 5,451,944
|
Series 2021-99, Class IO, IO, VRN, 0.59%, 5/16/2061 (b)
|
|
| 41,496,750
|
| 2,052,860
|
Series 2022-91, Class IO, 0.43%, 7/16/2064 (b)
|
|
| 81,554,067
|
| 3,774,048
|
Government National Mortgage Association REMICS:
|
|
|
|
|
|
Series 2013-34, Class PL, CMO, REMIC, 3.00%, 3/20/2042
|
|
| 1,024,024
|
| 972,667
|
Series 2014-43, Class PS, CMO, IO, REMIC, 1 mo. USD Term SOFR - 6.07%, 0.74%, 7/20/2042 (b)
|
|
| 1,254,074
|
| 17,973
|
Series 2020-116, Class HS, CMO, IO, 1 mo. USD Term SOFR - 6.09%, 0.76%, 8/20/2050 (b)
|
|
| 6,948,197
|
| 656,218
|
Series 2020-173, Class SY, CMO, IO, 1 mo. USD Term SOFR - 6.19%, 0.86%, 11/20/2050 (b)
|
|
| 25,763,958
|
| 2,799,721
|
Series 2020-173, Class TI, CMO, IO, 2.00%, 11/20/2050
|
|
| 31,353,619
|
| 3,365,338
|
Series 2020-176, Class SL, CMO, IO, 1 mo. USD Term SOFR - 4.89%, 0.00%, 11/20/2050 (b)
|
|
| 8,602,419
|
| 423,563
|
Series 2020-185, Class SE, CMO, IO, 1 mo. USD Term SOFR - 6.19%, 0.86%, 12/20/2050 (b)
|
|
| 30,831,325
|
| 3,030,847
|
See accompanying notes to Schedule of
Investments.
89
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
September 30, 2023 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
Series 2021-1, Class IH, 2.50%, 1/20/2051
|
|
| $38,540,547
|
| $4,954,484
|
Series 2021-118, Class EI, 2.50%, 7/20/2051
|
|
| 15,442,705
|
| 1,636,944
|
Series 2021-125, Class SN, CMO, IO, 1 mo. USD Term SOFR - 4.09%, 0.00%, 1/20/2051 (b)
|
|
| 7,929,337
|
| 274,470
|
Series 2021-137, Class IQ, 3.00%, 8/20/2051
|
|
| 21,361,917
|
| 3,185,593
|
Series 2021-196, Class IM, 3.00%, 11/20/2051
|
|
| 28,201,344
|
| 4,288,666
|
Series 2021-196, Class UI, IO, 3.00%, 11/20/2051
|
|
| 43,513,123
|
| 4,331,153
|
Series 2021-30, Class KI, 3.00%, 2/20/2051
|
|
| 8,548,835
|
| 1,231,525
|
Series 2021-44, Class IQ, 3.00%, 3/20/2051
|
|
| 15,908,002
|
| 2,333,642
|
Series 2021-8, Class KX, 3.00%, 1/20/2051
|
|
| 11,127,285
|
| 1,668,780
|
Series 2022-180, Class IO, 2.50%, 6/20/2051
|
|
| 43,369,902
|
| 5,810,764
|
Series 2022-61, Class EI, 3.00%, 7/20/2051
|
|
| 3,684,224
|
| 553,160
|
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS
(Cost $1,053,025,104)
|
|
|
|
| 915,434,124
|
U.S. TREASURY OBLIGATIONS — 21.0%
|
|
|
|
|
|
U.S. Treasury Bills 5.33%, 12/28/2023
|
|
| 3,000,000
|
| 2,961,430
|
U.S. Treasury Bonds:
|
|
|
|
|
|
3.63%, 5/15/2053
|
|
| 215,000,000
|
| 178,080,469
|
4.13%, 8/15/2053
|
|
| 415,500,000
|
| 377,325,937
|
U.S. Treasury Notes:
|
|
|
|
|
|
3.50%, 2/15/2033
|
|
| 9,000,000
|
| 8,258,906
|
3.63%, 3/31/2028
|
|
| 7,900,000
|
| 7,574,125
|
3.63%, 5/31/2028
|
|
| 6,000,000
|
| 5,750,625
|
3.75%, 4/15/2026
|
|
| 10,800,000
|
| 10,503,000
|
3.75%, 5/31/2030
|
|
| 8,500,000
|
| 8,069,688
|
3.75%, 6/30/2030
|
|
| 8,600,000
|
| 8,161,938
|
3.88%, 3/31/2025
|
|
| 6,800,000
|
| 6,663,734
|
3.88%, 4/30/2025
|
|
| 10,600,000
|
| 10,382,617
|
4.00%, 2/15/2026
|
|
| 3,500,000
|
| 3,425,625
|
4.00%, 2/29/2028
|
|
| 3,000,000
|
| 2,922,422
|
4.00%, 6/30/2028
|
|
| 10,900,000
|
| 10,608,766
|
4.50%, 7/15/2026
|
|
| 10,200,000
|
| 10,105,172
|
TOTAL U.S. TREASURY OBLIGATIONS
(Cost $702,890,202)
|
|
|
|
| 650,794,454
|
Security Description
|
|
| Principal
Amount
|
| Value
|
MORTGAGE-BACKED SECURITIES — 16.3%
|
|
|
|
|
|
American Home Mortgage Investment Trust Series 2007-1, Class GA1C, 1 mo. USD Term SOFR + 0.30%, 5.62%, 5/25/2047 (b)
|
|
| $5,143,394
|
| $2,850,484
|
Banc of America Funding Trust:
|
|
|
|
|
|
Series 2006-8T2, Class A4, CMO, 6.33%, 10/25/2036 (f)
|
|
| 1,657,987
|
| 1,344,637
|
Series 2007-5, Class CA1, CMO, 6.00%, 7/25/2037
|
|
| 3,106,705
|
| 2,388,453
|
BBCMS Mortgage Trust:
|
|
|
|
|
|
Series 2022-C18, Class XD, 2.35%, 12/15/2055 (a) (b)
|
|
| 12,094,000
|
| 1,773,187
|
Series 2023-C19, Class A5, 5.45%, 4/15/2056
|
|
| 1,700,000
|
| 1,645,387
|
BCAP LLC Trust Series 2010-RR4, Class 3212, CMO, 5.81%, 1/26/2037 (a) (b)
|
|
| 5,545,988
|
| 4,179,544
|
BRAVO Residential Funding Trust:
|
|
|
|
|
|
Series 2022-NQM3, Class A1, 5.11%, 7/25/2062 (a) (b)
|
|
| 3,485,649
|
| 3,340,808
|
Series 2023-NQM4, Class A1, 6.44%, 5/25/2063 (a) (f)
|
|
| 11,722,904
|
| 11,614,474
|
ChaseFlex Trust Series 2007-3, Class 1A2, CMO , IO, 1 mo. USD Term SOFR + 0.57%, 5.89%, 7/25/2037 (b)
|
|
| 7,756,559
|
| 2,137,922
|
CHL Mortgage Pass-Through Trust:
|
|
|
|
|
|
Series 2007-3, Class A1, 6.00%, 4/25/2037
|
|
| 2,897,713
|
| 1,390,902
|
Series 2005-J2, Class 3A14, CMO, 5.50%, 8/25/2035
|
|
| 665,885
|
| 518,725
|
Series 2007-10, Class A4, 5.50%, 7/25/2037
|
|
| 3,455,858
|
| 1,643,712
|
Series 2007-12, Class A9, CMO, 5.75%, 8/25/2037
|
|
| 2,094,926
|
| 1,282,691
|
Series 2007-HYB1, Class 2A1, CMO, 3.76%, 3/25/2037 (b)
|
|
| 947,946
|
| 770,963
|
CIM Trust:
|
|
|
|
|
|
Series 2023-R2, Class A1, 5.50%, 8/25/2064 (a) (b)
|
|
| 15,383,376
|
| 14,898,923
|
Series 2023-R4, Class A1, 5.00%, 5/25/2062 (a) (b)
|
|
| 9,599,364
|
| 9,295,092
|
See accompanying notes to Schedule of
Investments.
90
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
September 30, 2023 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
Citigroup Mortgage Loan Trust, Inc.:
|
|
|
|
|
|
Series 2007-10, Class 2A2A, CMO, 4.51%, 9/25/2037 (b)
|
|
| $1,974,968
|
| $1,758,782
|
Series 2007-AR4, Class 1A1A, CMO, 4.11%, 3/25/2037 (b)
|
|
| 1,172,584
|
| 1,051,696
|
Series 2007-AR5, Class 1A2A, CMO, 4.25%, 4/25/2037 (b)
|
|
| 511,836
|
| 411,674
|
Series 2021-JL1, Class A, 2.75%, 2/27/2062 (a) (b)
|
|
| 784,302
|
| 725,542
|
CitiMortgage Alternative Loan Trust:
|
|
|
|
|
|
Series 2007-A3, Class 1A4, 5.75%, 3/25/2037
|
|
| 2,728,711
|
| 2,061,750
|
Series 2007-A1, Class 1A7, CMO, 6.00%, 1/25/2037
|
|
| 3,486,778
|
| 2,724,494
|
COLT Mortgage Loan Trust:
|
|
|
|
|
|
Series 2022-2, Class A1, 2.99%, 2/25/2067 (a) (f)
|
|
| 15,922,120
|
| 13,613,538
|
Series 2022-3, Class M1, 4.22%, 2/25/2067 (a) (b)
|
|
| 10,023,000
|
| 7,516,933
|
Series 2023-1, Class A1, 6.05%, 4/25/2068 (a) (f)
|
|
| 9,057,546
|
| 8,825,383
|
Countrywide Alternative Loan Trust:
|
|
|
|
|
|
Series 2005-54CB, Class 1A1, 1 mo. USD Term SOFR + 0.76%, 5.50%, 11/25/2035 (b)
|
|
| 5,016,538
|
| 3,517,071
|
Series 2007-16CB, Class 2A1, 1 mo. USD Term SOFR + 0.56%, 5.88%, 8/25/2037 (b)
|
|
| 6,489,494
|
| 2,525,054
|
Series 2005-21CB, Class A3, CMO, 5.25%, 6/25/2035
|
|
| 1,581,815
|
| 1,196,063
|
Series 2005-79CB, Class A4, CMO, 5.50%, 1/25/2036
|
|
| 3,015,153
|
| 1,756,994
|
Series 2006-24CB, Class A9, CMO, 6.00%, 8/25/2036
|
|
| 2,489,944
|
| 1,384,083
|
Series 2006-43CB, Class 1A12, CMO, 5.75%, 2/25/2037
|
|
| 2,270,273
|
| 1,174,716
|
Series 2006-OA2, Class A1, CMO, 1 mo. USD Term SOFR + 0.53%, 5.86%, 5/20/2046 (b)
|
|
| 1,678,869
|
| 1,482,076
|
CSMC Mortgage-Backed Trust Series 2006-7, Class 7A7, CMO, 6.00%, 8/25/2036
|
|
| 1,184,938
|
| 1,028,210
|
Security Description
|
|
| Principal
Amount
|
| Value
|
CSMC Trust:
|
|
|
|
|
|
Series 2021-JR2, Class A1, 2.22%, 11/25/2061 (a) (b)
|
|
| $6,118,885
|
| $5,847,333
|
Series 2022-JR1, Class A1, 4.27%, 10/25/2066 (a) (f)
|
|
| 8,494,495
|
| 8,234,124
|
CSMC Trust Capital Certificates Series 2021-RPL9, Class A1, 2.44%, 2/25/2061 (a) (b)
|
|
| 4,954,411
|
| 4,512,220
|
Deephaven Residential Mortgage Trust Series 2022-2, Class A1, 4.30%, 3/25/2067 (a) (b)
|
|
| 4,599,324
|
| 4,213,091
|
Deutsche Alt-A Securities, Inc. Mortgage Loan Trust Series 2007-AR3, Class 1A4, 1 mo. USD Term SOFR + 0.75%, 6.07%, 6/25/2037 (b)
|
|
| 3,350,026
|
| 2,788,796
|
Ellington Financial Mortgage Trust Series 2022-3, Class A1, 5.00%, 8/25/2067 (a) (f)
|
|
| 5,567,804
|
| 5,337,203
|
Federal Home Loan Mortgage Corp. REMICS:
|
|
|
|
|
|
Series 4341, Class AZ, 3.00%, 5/15/2044
|
|
| 10,554,953
|
| 8,879,456
|
Series 4432, Class JZ, 3.00%, 1/15/2045
|
|
| 4,019,179
|
| 3,265,654
|
Series 4640, Class DZ, 3.00%, 12/15/2046
|
|
| 18,362,260
|
| 15,507,458
|
Series 5164, Class J, 2.50%, 5/25/2049
|
|
| 21,208,723
|
| 17,549,591
|
Series 5202, Class NV, 3.00%, 1/25/2037
|
|
| 7,708,415
|
| 6,628,787
|
Series 5226, Class DL, 3.50%, 12/15/2045
|
|
| 10,784,002
|
| 8,674,355
|
Series 5319, Class PO, 0.00%, 8/25/2050
|
|
| 11,425,539
|
| 7,455,077
|
Federal National Mortgage Association REMICS:
|
|
|
|
|
|
Series 2013-110, Class CO, 0.00%, 12/25/2039
|
|
| 3,495,022
|
| 2,648,083
|
Series 2013-110, Class DO, 0.00%, 11/25/2043
|
|
| 2,757,661
|
| 2,021,121
|
Series 2017-90, Class WF, 30 day USD SOFR Average + 0.46%, 5.78%, 11/25/2047 (b)
|
|
| 7,496,250
|
| 7,178,122
|
Series 2021-57, Class EA, 1.00%, 5/25/2046
|
|
| 6,996,609
|
| 5,364,256
|
Series 2021-86, Class MA, 2.50%, 11/25/2047
|
|
| 11,510,326
|
| 9,720,573
|
See accompanying notes to Schedule of
Investments.
91
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
September 30, 2023 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
Series 2021-9, Class CA, 2.00%, 3/25/2051
|
|
| $12,010,378
|
| $9,443,622
|
Series 2023-43, Class HO, 0.00%, 8/25/2049
|
|
| 9,086,956
|
| 5,893,692
|
Federal National Mortgage Association-Aces Series 2022-M13, Class A1, 2.68%, 4/25/2032 (b)
|
|
| 21,645,701
|
| 19,116,803
|
First Horizon Alternative Mortgage Securities Trust:
|
|
|
|
|
|
Series 2007-FA4, Class 1A4, 6.25%, 8/25/2037
|
|
| 2,719,071
|
| 1,112,865
|
Series 2007-FA4, Class 1A7, 6.00%, 8/25/2037
|
|
| 1,903,664
|
| 751,502
|
Government National Mortgage Association REMICS:
|
|
|
|
|
|
Series 2016-99, Class LA, 2.00%, 11/20/2043
|
|
| 8,746,476
|
| 6,938,893
|
Series 2020-181, Class QI, 3.00%, 12/20/2050
|
|
| 8,363,148
|
| 1,120,300
|
Series 2010-158, Class FA, 1 mo. USD Term SOFR + 0.56%, 5.89%, 12/20/2040 (b)
|
|
| 3,332,379
|
| 3,247,938
|
Series 2018-91, Class FC, 1 mo. USD Term SOFR + 0.41%, 5.74%, 7/20/2048 (b)
|
|
| 3,040,432
|
| 2,905,533
|
Series 2020-84, Class NT, 1.25%, 6/20/2050
|
|
| 4,512,902
|
| 3,153,763
|
GS Mortgage Securities Trust Series 2023-GS1, Class AS, 4.04%, 11/10/2048 (b)
|
|
| 1,958,000
|
| 1,744,902
|
GSR Mortgage Loan Trust:
|
|
|
|
|
|
Series 2006-OA1, Class 1A1, CMO, 1 mo. USD Term SOFR + 0.55%, 5.87%, 8/25/2046 (b)
|
|
| 13,876,872
|
| 3,272,702
|
Series 2007-AR1, Class 2A1, 3.84%, 3/25/2047 (b)
|
|
| 4,204,356
|
| 2,882,055
|
HOMES Trust Series 2023-NQM1, Class A1, 6.18%, 1/25/2068 (a) (f)
|
|
| 6,459,222
|
| 6,373,252
|
IndyMac IMJA Mortgage Loan Trust Series 2007-A4, Class A1, CMO, 6.25%, 2/25/2038
|
|
| 21,516,182
|
| 6,860,320
|
IndyMac INDX Mortgage Loan Trust Series 2006-AR3, Class 3A1B, CMO, 3.33%, 4/25/2036 (b)
|
|
| 1,145,017
|
| 1,087,940
|
Legacy Mortgage Asset Trust Series 2020-SL1, Class M, 3.25%, 1/25/2060 (a) (b)
|
|
| 8,492,000
|
| 8,056,917
|
Security Description
|
|
| Principal
Amount
|
| Value
|
Lehman XS Trust Series 2006-GP2, Class 1A4, 1 mo. USD Term SOFR + 0.77%, 6.09%, 6/25/2046 (b)
|
|
| $5,590,801
|
| $4,183,964
|
Luminent Mortgage Trust Series 2007-1, Class 1A1, CMO, 1 mo. USD Term SOFR + 0.43%, 5.75%, 11/25/2036 (b)
|
|
| 6,802,316
|
| 6,020,050
|
MFA Trust Series 2023-NQM3, Class A1, 6.62%, 7/25/2068 (a) (f)
|
|
| 15,023,837
|
| 14,991,611
|
Morgan Stanley Resecuritization Trust Series 2014-R7, Class B2, CMO, 4.08%, 1/26/2051 (a) (b)
|
|
| 14,697,578
|
| 13,525,619
|
Morgan Stanley Residential Mortgage Loan Trust Series 2020-RPL1, Class A1, CMO, VRN, 2.69%, 10/25/2060 (a) (b)
|
|
| 661,720
|
| 615,225
|
NRPL Trust Series 2019-3A, Class A1, CMO, 6.00%, 7/25/2059 (a) (f)
|
|
| 2,977,906
|
| 2,961,103
|
OBX Trust:
|
|
|
|
|
|
Series 2023-NQM3, Class A1, 5.95%, 2/25/2063 (a) (f)
|
|
| 4,812,002
|
| 4,702,558
|
Series 2023-NQM4, Class A1, 6.11%, 3/25/2063 (a) (f)
|
|
| 14,770,153
|
| 14,472,268
|
PMT Credit Risk Transfer Trust:
|
|
|
|
|
|
Series 2019-2R, Class A, 1 mo. USD Term SOFR + 3.86%, 9.18%, 5/30/2025 (a) (b)
|
|
| 1,172,600
|
| 1,171,174
|
Series 2021-1R, Class A, 1 mo. USD Term SOFR + 3.01%, 8.33%, 2/27/2024 (a) (b)
|
|
| 840,873
|
| 836,698
|
Preston Ridge Partners Mortgage LLC:
|
|
|
|
|
|
Series 2020-6, Class A1, CMO, 2.36%, 11/25/2025 (a) (f)
|
|
| 2,863,137
|
| 2,780,363
|
Series 2022-1, Class A1, 3.72%, 2/25/2027 (a) (f)
|
|
| 14,204,089
|
| 13,595,956
|
PRPM LLC Series 2022-5, Class A1, 6.90%, 9/27/2027 (a) (f)
|
|
| 6,002,780
|
| 5,938,575
|
RBSGC Mortgage Loan Trust Series 2007-A, Class 2A2, 6.00%, 1/25/2037
|
|
| 2,572,883
|
| 2,215,852
|
See accompanying notes to Schedule of
Investments.
92
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
September 30, 2023 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
Residential Accredit Loans, Inc. Trust:
|
|
|
|
|
|
Series 2005-QS13, Class 2A4, 5.75%, 9/25/2035
|
|
| $3,097,109
|
| $2,498,845
|
Series 2005-QA7, Class A22, CMO, 4.93%, 7/25/2035 (b)
|
|
| 1,728,320
|
| 1,674,665
|
Residential Asset Securitization Trust Series 2005-A16, Class A3, 6.00%, 2/25/2036
|
|
| 3,015,043
|
| 1,204,979
|
Seasoned Credit Risk Transfer Trust:
|
|
|
|
|
|
Series 2019-4, Class MV, 3.00%, 2/25/2059
|
|
| 15,496,054
|
| 12,786,188
|
Series 2020-2, Class MT, CMO, 2.00%, 11/25/2059
|
|
| 6,186,078
|
| 4,691,675
|
Series 2020-3, Class MT, CMO, 2.00%, 5/25/2060
|
|
| 10,006,506
|
| 7,602,511
|
Structured Adjustable Rate Mortgage Loan Trust Series 2006-8, Class 4A3, CMO, 3.25%, 9/25/2036 (b)
|
|
| 117,559
|
| 117,559
|
Structured Asset Mortgage Investments II Trust:
|
|
|
|
|
|
Series 2007-AR3, Class 1A3, 1 mo. USD Term SOFR + 0.53%, 5.85%, 9/25/2047 (b)
|
|
| 7,218,187
|
| 5,092,513
|
Series 2004-AR3, Class M, CMO, 1 mo. USD Term SOFR + 0.79%, 6.12%, 7/19/2034 (b)
|
|
| 903,324
|
| 903,174
|
TBW Mortgage-Backed Trust Series 2006-6, Class A2B, 6.16%, 1/25/2037 (f)
|
|
| 10,453,448
|
| 2,587,601
|
UBS Commercial Mortgage Trust Series 2018-C8, Class C, 4.84%, 2/15/2051 (b)
|
|
| 1,969,000
|
| 1,579,591
|
Verus Securitization Trust:
|
|
|
|
|
|
Series 2022-3, Class A1, 4.13%, 2/25/2067 (a) (f)
|
|
| 16,891,511
|
| 15,200,029
|
Series 2023-3, Class A1, 5.93%, 3/25/2068 (a) (f)
|
|
| 4,684,209
|
| 4,623,516
|
Series 2023-4, Class A1, 5.81%, 5/25/2068 (a) (f)
|
|
| 10,366,732
|
| 10,098,224
|
Series 2023-INV1, Class A1, 6.00%, 2/25/2068 (a) (f)
|
|
| 7,233,906
|
| 7,115,334
|
WaMu Mortgage Pass-Through Certificates Trust Series 2006-AR14, Class 1A5, 3.35%, 11/25/2036 (b)
|
|
| 3,209,169
|
| 2,825,339
|
Security Description
|
|
| Principal
Amount
|
| Value
|
Washington Mutual Mortgage Pass-Through Certificates WMALT Trust:
|
|
|
|
|
|
Series 2006-AR9, Class 2A, 12 mo. MTA + 0.84%, 5.47%, 11/25/2046 (b)
|
|
| $2,827,669
|
| $2,171,198
|
Series 2005-8, Class 2CB1, CMO, 5.50%, 10/25/2035
|
|
| 648,519
|
| 613,611
|
Series 2006-1, Class 4CB, 6.50%, 2/25/2036
|
|
| 4,687,208
|
| 3,360,790
|
Series 2006-5, Class 3A2, CMO, 6.50%, 7/25/2036 (f)
|
|
| 2,499,020
|
| 555,251
|
Series 2007-2, Class 1A3, CMO, 6.00%, 4/25/2037
|
|
| 3,675,524
|
| 2,781,933
|
Series 2007-HY1, Class A3A, CMO, 1 mo. USD Term SOFR + 0.57%, 5.66%, 2/25/2037 (b)
|
|
| 4,030,840
|
| 2,762,022
|
Wells Fargo Mortgage-Backed Securities Trust Series 2007-AR4, Class A1, CMO, 5.71%, 8/25/2037 (b)
|
|
| 750,147
|
| 750,147
|
TOTAL MORTGAGE-BACKED SECURITIES
(Cost $549,218,582)
|
|
|
|
| 505,225,973
|
COMMERCIAL MORTGAGE BACKED SECURITIES — 3.2%
|
|
|
|
|
|
BAMLL Commercial Mortgage Securities Trust Series 2018-DSNY, Class A, 1 mo. USD Term SOFR + 0.90%, 6.48%, 9/15/2034 (a) (b)
|
|
| 720,000
|
| 716,384
|
Bank:
|
|
|
|
|
|
Series 2017-BNK4, Class XA, IO, 1.50%, 5/15/2050 (b)
|
|
| 24,485,415
|
| 900,395
|
Series 2017-BNK6, Class XA, IO, 0.91%, 7/15/2060 (b)
|
|
| 48,154,885
|
| 1,051,949
|
Series 2021-BN35, Class XA, IO, VRN, 1.15%, 6/15/2064 (b)
|
|
| 9,160,239
|
| 495,450
|
Benchmark Mortgage Trust:
|
|
|
|
|
|
Series 2018-B2, Class C, VRN, 4.43%, 2/15/2051 (b)
|
|
| 2,545,000
|
| 1,987,742
|
Series 2020-B19, Class XA, IO, VRN, 1.88%, 9/15/2053 (b)
|
|
| 19,900,024
|
| 1,346,577
|
See accompanying notes to Schedule of
Investments.
93
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
September 30, 2023 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
Series 2021-B24, Class XA, IO, VRN, 1.27%, 3/15/2054 (b)
|
|
| $3,379,890
|
| $187,808
|
BX Commercial Mortgage Trust:
|
|
|
|
|
|
Series 2020-VKNG, Class A, 1 mo. USD Term SOFR + 1.04%, 6.38%, 10/15/2037 (a) (b)
|
|
| 1,502,771
|
| 1,487,339
|
Series 2021-VOLT, Class E, 1 mo. USD Term SOFR + 2.11%, 7.45%, 9/15/2036 (a) (b)
|
|
| 1,923,000
|
| 1,832,046
|
Series 2021-XL2, Class E, 1 mo. USD Term SOFR + 1.96%, 7.29%, 10/15/2038 (a) (b)
|
|
| 2,253,523
|
| 2,166,316
|
BX Trust Series 2019-OC11, Class E, 4.08%, 12/9/2041 (a) (b)
|
|
| 3,830,000
|
| 3,066,033
|
CD Mortgage Trust Series 2017-CD4, Class XA, IO, 1.38%, 5/10/2050 (b)
|
|
| 13,250,959
|
| 446,716
|
CFCRE Commercial Mortgage Trust Series 2016-C4, Class XA, IO, 1.76%, 5/10/2058 (b)
|
|
| 9,856,531
|
| 293,497
|
Citigroup Commercial Mortgage Trust:
|
|
|
|
|
|
Series 2015-GC27, Class C, VRN, 4.57%, 2/10/2048 (b)
|
|
| 2,541,000
|
| 2,372,085
|
Series 2015-GC27, Class D, 4.57%, 2/10/2048 (a) (b)
|
|
| 423,700
|
| 363,595
|
Series 2015-GC31, Class C, 4.17%, 6/10/2048 (b)
|
|
| 1,500,000
|
| 1,184,775
|
Series 2015-GC33, Class C, 4.73%, 9/10/2058 (b)
|
|
| 1,500,000
|
| 1,260,290
|
Series 2016-GC36, Class XA, IO, 1.37%, 2/10/2049 (b)
|
|
| 19,228,954
|
| 404,772
|
Series 2020-555, Class E, 3.62%, 12/10/2041 (a) (b)
|
|
| 2,047,000
|
| 1,432,525
|
COMM Mortgage Trust:
|
|
|
|
|
|
Series 2013-CR12, Class XA, IO, 0.99%, 10/10/2046 (b)
|
|
| 8,928,432
|
| 6,450
|
Series 2015-CR22, Class XA, IO, 0.95%, 3/10/2048 (b)
|
|
| 7,132,089
|
| 59,987
|
Series 2015-CR26, Class XA, IO, 1.04%, 10/10/2048 (b)
|
|
| 18,384,594
|
| 238,582
|
Security Description
|
|
| Principal
Amount
|
| Value
|
Series 2015-DC1, Class A5, 3.35%, 2/10/2048
|
|
| $1,767,000
|
| $1,698,031
|
Series 2015-DC1, Class C, VRN, 4.44%, 2/10/2048 (b)
|
|
| 644,000
|
| 551,414
|
Series 2015-DC1, Class XA, IO, 1.12%, 2/10/2048 (b)
|
|
| 5,769,678
|
| 47,090
|
Series 2016-DC2, Class XA, IO, 1.08%, 2/10/2049 (b)
|
|
| 14,245,491
|
| 230,933
|
Series 2017-PANW, Class E, 4.13%, 10/10/2029 (a) (b)
|
|
| 2,316,000
|
| 1,877,373
|
CSAIL Commercial Mortgage Trust:
|
|
|
|
|
|
Series 2015-C2, Class AS, 3.85%, 6/15/2057 (b)
|
|
| 900,000
|
| 840,143
|
Series 2015-C4, Class XA, IO, 0.95%, 11/15/2048 (b)
|
|
| 31,037,378
|
| 387,928
|
Series 2017-CX10, Class XA, IO, 0.89%, 11/15/2050 (b)
|
|
| 54,794,452
|
| 1,211,716
|
Series 2019-C17, Class XA, IO, VRN, 1.49%, 9/15/2052 (b)
|
|
| 29,678,869
|
| 1,623,323
|
CSMC Trust:
|
|
|
|
|
|
Series 2017-TIME, Class A, 3.65%, 11/13/2039 (a)
|
|
| 2,977,000
|
| 2,409,147
|
Series 2020-NET, Class A, 2.26%, 8/15/2037 (a)
|
|
| 2,368,478
|
| 2,120,983
|
Series 2021-B33, Class A1, 3.05%, 10/10/2043 (a)
|
|
| 632,000
|
| 533,545
|
Series 2021-B33, Class A2, 3.17%, 10/10/2043 (a)
|
|
| 2,250,000
|
| 1,662,648
|
DOLP Trust Series 2021-NYC, Class E, VRN, 3.70%, 5/10/2041 (a) (b)
|
|
| 1,000,000
|
| 594,311
|
Grace Trust Series 2020-GRCE, Class D, VRN, 2.77%, 12/10/2040 (a) (b)
|
|
| 1,147,000
|
| 784,680
|
Great Wolf Trust:
|
|
|
|
|
|
Series 2019-WOLF, Class E, 1 mo. USD Term SOFR + 2.85%, 8.18%, 12/15/2036 (a) (b)
|
|
| 100,000
|
| 98,511
|
Series 2019-WOLF, Class F, 1 mo. USD Term SOFR + 3.25%, 8.58%, 12/15/2036 (a) (b)
|
|
| 100,000
|
| 98,299
|
See accompanying notes to Schedule of
Investments.
94
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
September 30, 2023 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
GS Mortgage Securities Corportation Trust:
|
|
|
|
|
|
Series 2018-TWR, Class A, 1 mo. USD Term SOFR + 1.20%, 6.53%, 7/15/2031 (a) (b)
|
|
| $283,000
|
| $258,361
|
Series 2018-TWR, Class D, 1 mo. USD Term SOFR + 1.90%, 7.23%, 7/15/2031 (a) (b)
|
|
| 650,000
|
| 312,000
|
Series 2018-TWR, Class E, 1 mo. USD Term SOFR + 2.40%, 7.73%, 7/15/2031 (a) (b)
|
|
| 650,000
|
| 260,000
|
Series 2018-TWR, Class F, 1 mo. USD Term SOFR + 3.10%, 8.43%, 7/15/2031 (a) (b)
|
|
| 650,000
|
| 182,000
|
Series 2018-TWR, Class G, 1 mo. USD Term SOFR + 4.22%, 9.55%, 7/15/2031 (a) (b)
|
|
| 650,000
|
| 53,625
|
GS Mortgage Securities Trust:
|
|
|
|
|
|
Series 2014-GC20, Class A5, 4.00%, 4/10/2047
|
|
| 1,774,000
|
| 1,758,678
|
Series 2014-GC24, Class XA, IO, 0.83%, 9/10/2047 (b)
|
|
| 23,409,832
|
| 96,201
|
Series 2014-GC26, Class A5, 3.63%, 11/10/2047
|
|
| 1,749,000
|
| 1,690,302
|
Series 2015-GC32, Class XA, IO, 0.84%, 7/10/2048 (b)
|
|
| 20,468,218
|
| 199,653
|
Series 2015-GC34, Class XA, IO, 1.35%, 10/10/2048 (b)
|
|
| 14,234,869
|
| 270,217
|
Series 2015-GS1, Class XA, IO, 0.90%, 11/10/2048 (b)
|
|
| 24,925,395
|
| 322,615
|
Series 2016-GS3, Class XA, IO, 1.32%, 10/10/2049 (b)
|
|
| 23,299,030
|
| 629,078
|
Series 2017-GS7, Class XA, IO, 1.23%, 8/10/2050 (b)
|
|
| 38,503,754
|
| 995,933
|
Series 2019-GC38, Class A2, 3.87%, 2/10/2052
|
|
| 1,340,000
|
| 1,331,154
|
IMT Trust Series 2017-APTS, Class AFX, 3.48%, 6/15/2034 (a)
|
|
| 2,046,000
|
| 1,996,184
|
JP Morgan Chase Commercial Mortgage Securities Trust:
|
|
|
|
|
|
Series 2014-C20, Class B, 4.40%, 7/15/2047 (b)
|
|
| 3,000,000
|
| 2,711,258
|
Security Description
|
|
| Principal
Amount
|
| Value
|
Series 2015-JP1, Class XA, IO, 1.04%, 1/15/2049 (b)
|
|
| $14,212,496
|
| $221,420
|
Series 2016-JP3, Class B, VRN, 3.40%, 8/15/2049 (b)
|
|
| 2,899,000
|
| 2,390,809
|
Series 2022-NLP, Class A, 1 mo. USD Term SOFR + 0.60%, 5.93%, 4/15/2037 (a) (b)
|
|
| 2,313,783
|
| 2,127,457
|
JPMBB Commercial Mortgage Securities Trust:
|
|
|
|
|
|
Series 2014-C23, Class A4, 3.67%, 9/15/2047
|
|
| 1,409,113
|
| 1,380,346
|
Series 2014-C21, Class B, VRN, 4.34%, 8/15/2047 (b)
|
|
| 1,055,000
|
| 978,071
|
Series 2014-C25, Class XA, IO, 0.95%, 11/15/2047 (b)
|
|
| 4,365,176
|
| 23,787
|
Series 2015-C28, Class XA, IO, 1.06%, 10/15/2048 (b)
|
|
| 7,707,191
|
| 61,419
|
Series 2015-C30, Class XA, IO, 0.56%, 7/15/2048 (b)
|
|
| 21,378,260
|
| 132,378
|
Series 2015-C31, Class A3, 3.80%, 8/15/2048
|
|
| 906,491
|
| 865,001
|
Series 2015-C32, Class C, 4.80%, 11/15/2048 (b)
|
|
| 1,132,000
|
| 877,487
|
JPMDB Commercial Mortgage Securities Trust Series 2016-C2, Class XA, IO, 1.63%, 6/15/2049 (b)
|
|
| 15,423,554
|
| 424,041
|
LoanCore Issuer Ltd. Series 2019-CRE2, Class AS, 1 mo. USD Term SOFR + 1.61%, 6.95%, 5/15/2036 (a) (b)
|
|
| 1,842,319
|
| 1,835,503
|
LSTAR Commercial Mortgage Trust Series 2017-5, Class X, IO, 0.96%, 3/10/2050 (a) (b)
|
|
| 34,380,457
|
| 585,221
|
Manhattan West Mortgage Trust:
|
|
|
|
|
|
Series 2020-1MW, Class C, VRN, 2.41%, 9/10/2039 (a) (b)
|
|
| 2,462,000
|
| 2,040,709
|
Series 2020-1MW, Class D, VRN, 2.41%, 9/10/2039 (a) (b)
|
|
| 2,462,000
|
| 1,991,154
|
Med Trust Series 2021-MDLN, Class G, 1 mo. USD Term SOFR + 5.36%, 10.70%, 11/15/2038 (a) (b)
|
|
| 2,850,321
|
| 2,685,904
|
See accompanying notes to Schedule of
Investments.
95
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
September 30, 2023 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
Morgan Stanley Bank of America Merrill Lynch Trust:
|
|
|
|
|
|
Series 2013-C12, Class XA, IO, 0.68%, 10/15/2046 (b)
|
|
| $2,110,200
|
| $82
|
Series 2015-C20, Class C, 4.60%, 2/15/2048 (b)
|
|
| 500,000
|
| 445,015
|
Series 2016-C28, Class XA, IO, 1.30%, 1/15/2049 (b)
|
|
| 17,837,827
|
| 345,462
|
Series 2016-C30, Class XA, IO, 1.48%, 9/15/2049 (b)
|
|
| 16,617,402
|
| 471,798
|
Series 2016-C31, Class C, 4.40%, 11/15/2049 (b)
|
|
| 3,358,000
|
| 2,594,331
|
Morgan Stanley Capital I Trust:
|
|
|
|
|
|
Series 2015-UBS8, Class XA, IO, 0.99%, 12/15/2048 (b)
|
|
| 22,082,133
|
| 307,828
|
Series 2016-UB12, Class XA, IO, 0.79%, 12/15/2049 (b)
|
|
| 46,788,282
|
| 769,917
|
Series 2019-L3, Class XA, IO, 0.76%, 11/15/2052 (b)
|
|
| 55,521,210
|
| 1,707,991
|
One New York Plaza Trust Series 2020-1NYP, Class C, 1 mo. USD Term SOFR + 2.31%, 7.65%, 1/15/2036 (a) (b)
|
|
| 1,599,000
|
| 1,401,694
|
SG Commercial Mortgage Securities Trust Series 2016-C5, Class B, 3.93%, 10/10/2048
|
|
| 450,000
|
| 378,461
|
SLG Office Trust:
|
|
|
|
|
|
Series 2021-OVA, Class E, 2.85%, 7/15/2041 (a)
|
|
| 1,989,000
|
| 1,376,258
|
Series 2021-OVA, Class F, 2.85%, 7/15/2041 (a)
|
|
| 1,989,000
|
| 1,328,192
|
SREIT Trust Series 2021-MFP, Class D, 1 mo. USD Term SOFR + 1.69%, 7.02%, 11/15/2038 (a) (b)
|
|
| 2,864,000
|
| 2,780,161
|
UBS Commercial Mortgage Trust:
|
|
|
|
|
|
Series 2017-C1, Class XA, IO, 1.68%, 6/15/2050 (b)
|
|
| 17,038,922
|
| 711,702
|
Series 2017-C4, Class XA, IO, 1.24%, 10/15/2050 (b)
|
|
| 20,099,039
|
| 667,610
|
Velocity Commercial Capital Loan Trust Series 2020-1, Class M3, VRN, 3.19%, 2/25/2050 (a) (b)
|
|
| 2,040,903
|
| 1,594,306
|
Security Description
|
|
| Principal
Amount
|
| Value
|
Waterfall Commercial Mortgage Trust Series 2015-SBC5, Class A, 4.10%, 9/14/2022 (a) (b)
|
|
| $617,505
|
| $589,103
|
Wells Fargo Commercial Mortgage Trust:
|
|
|
|
|
|
Series 2015-C26, Class XA, IO, 1.32%, 2/15/2048 (b)
|
|
| 6,670,827
|
| 75,067
|
Series 2015-C27, Class A5, 3.45%, 2/15/2048
|
|
| 3,836,000
|
| 3,665,569
|
Series 2015-LC20, Class XA, IO, 1.42%, 4/15/2050 (b)
|
|
| 6,070,360
|
| 65,646
|
Series 2015-NXS1, Class XA, IO, 1.20%, 5/15/2048 (b)
|
|
| 6,422,510
|
| 63,975
|
Series 2015-NXS2, Class XA, IO, 0.74%, 7/15/2058 (b)
|
|
| 20,618,125
|
| 158,500
|
Series 2015-P2, Class XA, IO, 1.08%, 12/15/2048 (b)
|
|
| 13,955,805
|
| 215,593
|
Series 2016-BNK1, Class XB, IO, VRN, 1.46%, 8/15/2049 (b)
|
|
| 19,849,000
|
| 608,058
|
Series 2016-C33, Class XA, IO, 1.73%, 3/15/2059 (b)
|
|
| 10,407,345
|
| 301,535
|
Series 2016-C35, Class B, 3.44%, 7/15/2048
|
|
| 3,000,000
|
| 2,547,032
|
Series 2017-C38, Class XA, IO, 1.09%, 7/15/2050 (b)
|
|
| 33,296,045
|
| 891,439
|
Series 2017-RC1, Class XA, IO, 1.54%, 1/15/2060 (b)
|
|
| 15,576,422
|
| 584,263
|
WFRBS Commercial Mortgage Trust:
|
|
|
|
|
|
Series 2014-C19, Class XA, IO, 1.11%, 3/15/2047 (b)
|
|
| 5,122,092
|
| 5,041
|
Series 2014-C21, Class XA, IO, 1.15%, 8/15/2047 (b)
|
|
| 12,339,952
|
| 53,940
|
TOTAL COMMERCIAL MORTGAGE BACKED SECURITIES
(Cost $159,825,869)
|
|
|
|
| 98,464,923
|
See accompanying notes
to Schedule of Investments.
96
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
September 30, 2023 (Unaudited)
Security Description
|
|
| Shares
|
| Value
|
SHORT-TERM INVESTMENT — 0.8%
|
|
|
|
|
|
State Street Institutional U.S. Government Money Market Fund, Class G Shares 5.33% (k) (l)
(Cost $25,310,670)
|
|
| 25,310,670
|
| $25,310,670
|
TOTAL INVESTMENTS — 99.6%
(Cost $3,458,868,119)
|
|
|
|
| 3,084,588,585
|
OTHER ASSETS IN EXCESS OF LIABILITIES — 0.4%
|
|
|
|
| 12,997,629
|
NET ASSETS — 100.0%
|
|
|
|
| $3,097,586,214
|
(a)
| Securities purchased pursuant to Rule 144A of the Securities Act of 1933, as amended. These securities, which represent 25.1% of net assets as of September 30, 2023, are considered
liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers.
|
(b)
| Variable Rate Security - Interest rate shown is rate in effect at September 30, 2023. For securities based on a published reference rate and spread, the reference rate and spread are
indicated in the description above.
|
(c)
| Amount is less than 0.05% of net assets.
|
(d)
| Security is currently in default and/or issuer is in bankruptcy.
|
(e)
| When-issued security.
|
(f)
| Step-up bond - Coupon rate increases in increments to maturity. Rate shown as of September 30, 2023. Maturity date shown is the final maturity.
|
(g)
| Non-income producing security.
|
(h)
| Fair valued as determined in good faith by the Trust's Oversight Committee in accordance with policy and procedures approved by the Board of Trustees. Security
value is determined based on Level 3 inputs. As of September 30, 2023, total aggregate fair value of the securities is $41,469, representing 0.00% of the Fund's net assets.
|
(i)
| Reflects separate holdings of the issuer's common stock traded on different securities exchanges.
|
(j)
| Position is unsettled. Contract rate was not determined at September 30, 2023 and does not take effect until settlement date. Maturity date is not finalized until settlement date.
|
(k)
| The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended September 30, 2023 are shown in
the Affiliate Table below.
|
(l)
| The rate shown is the annualized seven-day yield at September 30, 2023.
|
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
|
STRIPS
| Separate Trading of Registered Interest and Principal of Securities
|
VRN
| Variable Rate Note
|
At September 30, 2023,
the Fund had unfunded loan commitments of $12,452, which could be extended at the option of the borrowers, pursuant to the following loan agreements:
Borrower
|
| Unfunded Loan
Commitment ($)
|
| Value ($)
|
| Unrealized
Appreciation/(Depreciation) ($)
|
OMNIA Partners LLC
|
| 12,452
|
| 12,481
|
| 29
|
The following table
summarizes the value of the Fund's investments according to the fair value hierarchy as of September 30, 2023.
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
|
See accompanying notes to Schedule of
Investments.
97
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
September 30, 2023 (Unaudited)
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
|
Affiliate Table
| 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
|
See accompanying notes to Schedule of
Investments.
98
SPDR DOUBLELINE EMERGING MARKETS FIXED INCOME ETF
Schedule of Investments
September 30, 2023 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
CORPORATE BONDS & NOTES — 83.3%
|
|
|
|
BRAZIL — 8.0%
|
|
|
|
Banco do Brasil SA Series REGS, 10 yr. CMT + 4.40%, 6.25%, 4/15/2024 (a)
|
|
| $700,000
|
| $644,980
|
Braskem Netherlands Finance BV 5 yr. CMT + 8.22%, 8.50%, 1/23/2081 (a)
|
|
| 600,000
|
| 591,180
|
Cosan Luxembourg SA 7.50%, 6/27/2030 (b)
|
|
| 200,000
|
| 199,128
|
Cosan Overseas Ltd. 8.25%, 11/5/2023
|
|
| 800,000
|
| 798,000
|
CSN Resources SA 5.88%, 4/8/2032
|
|
| 400,000
|
| 323,756
|
Guara Norte Sarl 5.20%, 6/15/2034
|
|
| 1,600,511
|
| 1,363,683
|
MARB BondCo PLC 3.95%, 1/29/2031
|
|
| 600,000
|
| 444,804
|
MC Brazil Downstream Trading Sarl 7.25%, 6/30/2031
|
|
| 483,126
|
| 370,818
|
MV24 Capital BV 6.75%, 6/1/2034
|
|
| 336,236
|
| 296,648
|
NBM U.S. Holdings, Inc. 6.63%, 8/6/2029
|
|
| 200,000
|
| 182,368
|
Nexa Resources SA Series REGS, 5.38%, 5/4/2027
|
|
| 877,000
|
| 810,041
|
Simpar Europe SA 5.20%, 1/26/2031
|
|
| 200,000
|
| 161,104
|
Unigel Luxembourg SA 8.75%, 10/1/2026
|
|
| 200,000
|
| 69,342
|
|
|
|
|
| 6,255,852
|
CHILE — 9.4%
|
|
|
|
Agrosuper SA 4.60%, 1/20/2032
|
|
| 1,200,000
|
| 964,440
|
CAP SA 3.90%, 4/27/2031 (b)
|
|
| 1,900,000
|
| 1,412,080
|
Chile Electricity PEC SpA Zero Coupon, 1/25/2028 (b)
|
|
| 2,500,000
|
| 1,935,825
|
Empresa Electrica Angamos SA Series REGS, 4.88%, 5/25/2029
|
|
| 104,300
|
| 94,002
|
Empresa Electrica Cochrane SpA Series REGS, 5.50%, 5/14/2027
|
|
| 1,081,440
|
| 1,012,239
|
Inversiones La Construccion SA 4.75%, 2/7/2032
|
|
| 1,400,000
|
| 1,105,314
|
Mercury Chile Holdco LLC 6.50%, 1/24/2027 (b)
|
|
| 600,000
|
| 550,284
|
VTR Comunicaciones SpA 5.13%, 1/15/2028
|
|
| 200,000
|
| 112,284
|
VTR Finance NV Series REGS, 6.38%, 7/15/2028
|
|
| 500,000
|
| 190,560
|
|
|
|
|
| 7,377,028
|
COLOMBIA — 7.6%
|
|
|
|
AI Candelaria Spain SA:
|
|
|
|
|
|
5.75%, 6/15/2033 (b)
|
|
| 1,225,000
|
| 868,305
|
Security Description
|
|
| Principal
Amount
|
| Value
|
Series REGS, 7.50%, 12/15/2028
|
|
| $220,833
|
| $201,963
|
Banco Davivienda SA 10 yr. CMT + 5.10%, 6.65%, 4/22/2031 (a)(b)
|
|
| 400,000
|
| 268,920
|
Bancolombia SA 5 yr. CMT + 2.94%, 4.63%, 12/18/2029 (a)
|
|
| 400,000
|
| 345,372
|
Ecopetrol SA:
|
|
|
|
|
|
4.63%, 11/2/2031
|
|
| 1,500,000
|
| 1,148,100
|
5.38%, 6/26/2026
|
|
| 300,000
|
| 288,054
|
5.88%, 5/28/2045
|
|
| 100,000
|
| 65,948
|
5.88%, 11/2/2051
|
|
| 250,000
|
| 158,225
|
Empresas Publicas de Medellin ESP:
|
|
|
|
|
|
Series REGS, 4.25%, 7/18/2029
|
|
| 1,500,000
|
| 1,203,225
|
Series REGS, 4.38%, 2/15/2031
|
|
| 500,000
|
| 384,460
|
Fideicomiso PA Pacifico Tres 8.25%, 1/15/2035
|
|
| 182,000
|
| 164,634
|
Oleoducto Central SA Series REGS, 4.00%, 7/14/2027
|
|
| 950,000
|
| 846,725
|
|
|
|
|
| 5,943,931
|
GUATEMALA — 1.8%
|
|
|
|
Banco Industrial SA 5 yr. CMT + 4.44%, 4.88%, 1/29/2031 (a)
|
|
| 300,000
|
| 277,266
|
CT Trust 5.13%, 2/3/2032
|
|
| 600,000
|
| 471,444
|
Millicom International Cellular SA 6.25%, 3/25/2029
|
|
| 810,000
|
| 689,415
|
|
|
|
|
| 1,438,125
|
INDIA — 7.4%
|
|
|
|
Adani Electricity Mumbai Ltd.:
|
|
|
|
|
|
Series REGS, 3.87%, 7/22/2031
|
|
| 200,000
|
| 139,125
|
Series REGS, 3.95%, 2/12/2030
|
|
| 700,000
|
| 513,511
|
Adani International Container Terminal Pvt Ltd. 3.00%, 2/16/2031 (b)
|
|
| 1,281,000
|
| 964,026
|
Adani Ports & Special Economic Zone Ltd.:
|
|
|
|
|
|
3.10%, 2/2/2031
|
|
| 1,000,000
|
| 692,400
|
4.20%, 8/4/2027
|
|
| 200,000
|
| 169,154
|
Series REGS, 4.38%, 7/3/2029
|
|
| 700,000
|
| 558,663
|
Adani Transmission Step-One Ltd.:
|
|
|
|
|
|
4.00%, 8/3/2026
|
|
| 1,200,000
|
| 1,047,191
|
4.25%, 5/21/2036
|
|
| 489,000
|
| 365,860
|
UPL Corp. Ltd.:
|
|
|
|
|
|
4.50%, 3/8/2028
|
|
| 200,000
|
| 172,820
|
4.63%, 6/16/2030
|
|
| 1,100,000
|
| 888,802
|
See accompanying notes to Schedule of
Investments.
99
SPDR DOUBLELINE EMERGING MARKETS FIXED INCOME ETF
Schedule of Investments (continued)
September 30, 2023 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
Vedanta Resources Ltd. Series REGS, 6.13%, 8/9/2024
|
|
| $400,000
|
| $254,604
|
|
|
|
|
| 5,766,156
|
INDONESIA — 6.0%
|
|
|
|
Freeport Indonesia PT 5.32%, 4/14/2032 (b)
|
|
| 400,000
|
| 360,144
|
Indonesia Asahan Aluminium PT/Mineral Industri Indonesia Persero PT 4.75%, 5/15/2025
|
|
| 1,000,000
|
| 978,560
|
LLPL Capital Pte. Ltd. 6.88%, 2/4/2039 (b)
|
|
| 1,689,660
|
| 1,501,567
|
Minejesa Capital BV Series REGS, 5.63%, 8/10/2037
|
|
| 2,400,000
|
| 1,833,192
|
|
|
|
|
| 4,673,463
|
ISRAEL — 3.6%
|
|
|
|
Bank Hapoalim BM 5 yr. CMT + 2.16%, 3.26%, 1/21/2032 (a)(b)
|
|
| 1,600,000
|
| 1,363,981
|
Bank Leumi Le-Israel BM 5 yr. CMT + 1.63%, 3.28%, 1/29/2031 (a)(b)
|
|
| 1,600,000
|
| 1,428,096
|
|
|
|
|
| 2,792,077
|
JAMAICA — 0.0% (c)
|
|
|
|
Digicel Group Holdings Ltd.:
|
|
|
|
|
|
7.00%, 10/16/2023 (b)
|
|
| 68,049
|
| 3,607
|
8.00%, 4/1/2025 (b)(d)
|
|
| 33,734
|
| 6,084
|
|
|
|
|
| 9,691
|
KUWAIT — 1.7%
|
|
|
|
MEGlobal BV Series REGS, 2.63%, 4/28/2028
|
|
| 400,000
|
| 345,230
|
MEGlobal Canada ULC 5.00%, 5/18/2025
|
|
| 1,000,000
|
| 975,000
|
|
|
|
|
| 1,320,230
|
MEXICO — 8.8%
|
|
|
|
Banco Mercantil del Norte SA Series REGS, 10 yr. CMT + 5.47%, 7.50%, 6/27/2029 (a)
|
|
| 800,000
|
| 716,312
|
Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand 5 yr. CMT + 3.00%, 5.95%, 10/1/2028 (a)
|
|
| 1,000,000
|
| 989,600
|
BBVA Bancomer SA:
|
|
|
|
|
|
Series REGS, 5 yr. CMT + 3.00%, 5.35%, 11/12/2029 (a)
|
|
| 476,000
|
| 459,697
|
5 yr. CMT + 4.31%, 5.88%, 9/13/2034 (a)
|
|
| 1,200,000
|
| 1,049,220
|
Braskem Idesa SAPI 6.99%, 2/20/2032
|
|
| 200,000
|
| 120,032
|
Security Description
|
|
| Principal
Amount
|
| Value
|
Cemex SAB de CV:
|
|
|
|
|
|
5 yr. CMT + 4.53%, 5.13%, 6/8/2026 (a)
|
|
| $800,000
|
| $749,504
|
5 yr. CMT + 5.16%, 9.13%, 3/14/2028 (a)(b)
|
|
| 200,000
|
| 208,246
|
Industrias Penoles SAB de CV 4.15%, 9/12/2029
|
|
| 1,200,000
|
| 1,054,200
|
Mexarrend SAPI de CV 10.25%, 7/24/2024 (b)
|
|
| 300,000
|
| 67,767
|
Mexico Generadora de Energia S de Real Series REGS, 5.50%, 12/6/2032
|
|
| 1,118,358
|
| 1,055,104
|
Petroleos Mexicanos 6.75%, 9/21/2047
|
|
| 650,000
|
| 383,305
|
Unifin Financiera SAB de CV Series REGS, 5 yr. CMT + 6.31%, Zero Coupon, 1/29/2025 (a)(d)
|
|
| 800,000
|
| 3,640
|
|
|
|
|
| 6,856,627
|
PANAMA — 3.9%
|
|
|
|
Banco General SA Series REGS, 4.13%, 8/7/2027
|
|
| 200,000
|
| 184,936
|
Banistmo SA 4.25%, 7/31/2027
|
|
| 1,000,000
|
| 892,700
|
C&W Senior Financing DAC Series REGS, 6.88%, 9/15/2027
|
|
| 400,000
|
| 352,304
|
Empresa de Transmision Electrica SA 5.13%, 5/2/2049
|
|
| 246,000
|
| 188,778
|
Global Bank Corp. 3 mo. USD LIBOR + 3.30%, 5.25%, 4/16/2029 (a)
|
|
| 1,000,000
|
| 908,410
|
UEP Penonome II SA 6.50%, 10/1/2038 (b)
|
|
| 716,971
|
| 542,310
|
|
|
|
|
| 3,069,438
|
PARAGUAY — 1.0%
|
|
|
|
Bioceanico Sovereign Certificate Ltd. Zero Coupon, 6/5/2034
|
|
| 445,288
|
| 309,920
|
Frigorifico Concepcion SA 7.70%, 7/21/2028
|
|
| 200,000
|
| 166,180
|
Rutas 2 & 7 Finance Ltd. Zero Coupon, 9/30/2036
|
|
| 450,000
|
| 286,632
|
|
|
|
|
| 762,732
|
PERU — 8.9%
|
|
|
|
Banco BBVA Peru SA 5 yr. CMT + 2.75%, 5.25%, 9/22/2029 (a)
|
|
| 200,000
|
| 194,570
|
Banco de Credito del Peru SA:
|
|
|
|
|
|
5 yr. CMT + 2.45%, 3.25%, 9/30/2031 (a)
|
|
| 850,000
|
| 750,830
|
Series REGS, 5 yr. CMT + 3.00%, 3.13%, 7/1/2030 (a)
|
|
| 1,300,000
|
| 1,195,428
|
Banco Internacional del Peru SAA Interbank Series REGS, 5 yr. CMT + 3.71%, 4.00%, 7/8/2030 (a)
|
|
| 1,900,000
|
| 1,753,814
|
See accompanying notes to Schedule of
Investments.
100
SPDR DOUBLELINE EMERGING MARKETS FIXED INCOME ETF
Schedule of Investments (continued)
September 30, 2023 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
Fenix Power Peru SA Series REGS, 4.32%, 9/20/2027
|
|
| $731,177
|
| $676,609
|
Inkia Energy Ltd. Series REGS, 5.88%, 11/9/2027
|
|
| 400,000
|
| 383,312
|
Lima Metro Line 2 Finance Ltd. 5.88%, 7/5/2034
|
|
| 763,228
|
| 734,363
|
Orazul Energy Peru SA 5.63%, 4/28/2027
|
|
| 252,000
|
| 229,179
|
Petroleos del Peru SA:
|
|
|
|
|
|
4.75%, 6/19/2032
|
|
| 500,000
|
| 352,380
|
5.63%, 6/19/2047
|
|
| 200,000
|
| 120,104
|
Transportadora de Gas del Peru SA Series REGS, 4.25%, 4/30/2028
|
|
| 600,000
|
| 566,472
|
|
|
|
|
| 6,957,061
|
SAUDI ARABIA — 0.7%
|
|
|
|
EIG Pearl Holdings Sarl 3.55%, 8/31/2036
|
|
| 700,000
|
| 568,911
|
SINGAPORE — 7.2%
|
|
|
|
DBS Group Holdings Ltd. Series GMTN, 5 yr. CMT + 1.10%, 1.82%, 3/10/2031 (a)
|
|
| 1,550,000
|
| 1,407,038
|
Oversea-Chinese Banking Corp. Ltd. 5 yr. CMT + 1.58%, 1.83%, 9/10/2030 (a)(a)(b)
|
|
| 1,900,000
|
| 1,746,233
|
SingTel Group Treasury Pte. Ltd. Series EMTN, 1.88%, 6/10/2030
|
|
| 800,000
|
| 642,639
|
United Overseas Bank Ltd.:
|
|
|
|
|
|
5 yr. CMT + 1.23%, 2.00%, 10/14/2031 (a)
|
|
| 900,000
|
| 798,516
|
Series GMTN, 5 yr. CMT + 1.52%, 1.75%, 3/16/2031 (a)
|
|
| 1,100,000
|
| 989,955
|
|
|
|
|
| 5,584,381
|
SOUTH AFRICA — 0.6%
|
|
|
|
Sasol Financing USA LLC 5.50%, 3/18/2031
|
|
| 600,000
|
| 468,354
|
SOUTH KOREA — 1.5%
|
|
|
|
KT Corp.:
|
|
|
|
|
|
1.00%, 9/1/2025
|
|
| 400,000
|
| 365,759
|
Series REGS, 2.50%, 7/18/2026
|
|
| 400,000
|
| 367,504
|
Shinhan Financial Group Co. Ltd. 5 yr. CMT + 2.06%, 2.88%, 5/12/2026 (a)(b)
|
|
| 300,000
|
| 265,659
|
Woori Bank 4.75%, 4/30/2024
|
|
| 200,000
|
| 198,074
|
|
|
|
|
| 1,196,996
|
UNITED ARAB EMIRATES — 2.2%
|
|
|
|
Galaxy Pipeline Assets Bidco Ltd. 2.16%, 3/31/2034 (b)
|
|
| 2,040,330
|
| 1,703,125
|
Security Description
|
|
| Principal
Amount
|
| Value
|
UNITED STATES — 3.0%
|
|
|
|
Freeport-McMoRan, Inc.:
|
|
|
|
|
|
4.38%, 8/1/2028
|
|
| $200,000
|
| $183,498
|
4.63%, 8/1/2030
|
|
| 1,300,000
|
| 1,171,157
|
JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc. 3.00%, 2/2/2029
|
|
| 1,200,000
|
| 1,008,216
|
|
|
|
|
| 2,362,871
|
TOTAL CORPORATE BONDS & NOTES
(Cost $72,491,633)
|
|
|
|
| 65,107,049
|
FOREIGN GOVERNMENT OBLIGATIONS — 10.7%
|
|
|
|
CHILE — 0.7%
|
|
|
|
Chile Government International Bonds:
|
|
|
|
|
|
3.10%, 5/7/2041
|
|
| 200,000
|
| 136,078
|
3.10%, 1/22/2061
|
|
| 200,000
|
| 113,750
|
3.50%, 1/25/2050
|
|
| 500,000
|
| 333,570
|
|
|
|
|
| 583,398
|
COLOMBIA — 1.3%
|
|
|
|
Colombia Government International Bonds:
|
|
|
|
|
|
4.13%, 5/15/2051
|
|
| 950,000
|
| 527,725
|
5.00%, 6/15/2045
|
|
| 700,000
|
| 458,668
|
|
|
|
|
| 986,393
|
INDONESIA — 0.3%
|
|
|
|
Indonesia Government International Bonds 3.70%, 10/30/2049
|
|
| 300,000
|
| 210,066
|
MEXICO — 2.9%
|
|
|
|
Mexico Government International Bonds:
|
|
|
|
|
|
2.66%, 5/24/2031
|
|
| 1,000,000
|
| 790,180
|
4.40%, 2/12/2052
|
|
| 1,100,000
|
| 763,037
|
6.34%, 5/4/2053
|
|
| 800,000
|
| 729,664
|
|
|
|
|
| 2,282,881
|
PANAMA — 2.8%
|
|
|
|
Banco Latinoamericano de Comercio Exterior SA 2.38%, 9/14/2025
|
|
| 400,000
|
| 371,360
|
Panama Government International Bonds:
|
|
|
|
|
|
2.25%, 9/29/2032
|
|
| 300,000
|
| 217,083
|
3.87%, 7/23/2060
|
|
| 2,100,000
|
| 1,212,372
|
4.30%, 4/29/2053
|
|
| 600,000
|
| 391,710
|
|
|
|
|
| 2,192,525
|
PHILIPPINES — 0.2%
|
|
|
|
Philippines Government International Bonds 3.70%, 3/1/2041
|
|
| 200,000
|
| 150,610
|
See accompanying notes to Schedule of
Investments.
101
SPDR DOUBLELINE EMERGING MARKETS FIXED INCOME ETF
Schedule of Investments (continued)
September 30, 2023 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
SAUDI ARABIA — 0.5%
|
|
|
|
Saudi Government International Bonds Series REGS, 2.25%, 2/2/2033
|
|
| $500,000
|
| $382,838
|
SOUTH AFRICA — 0.7%
|
|
|
|
Republic of South Africa Government International Bonds 4.30%, 10/12/2028
|
|
| 600,000
|
| 518,178
|
SOUTH KOREA — 1.3%
|
|
|
|
Korea East-West Power Co. Ltd. Series REGS, 1.75%, 5/6/2025
|
|
| 900,000
|
| 844,668
|
Korea Electric Power Corp. Series REGS, 1.13%, 6/15/2025
|
|
| 200,000
|
| 185,348
|
|
|
|
|
| 1,030,016
|
TOTAL FOREIGN GOVERNMENT OBLIGATIONS
(Cost $11,546,264)
|
|
|
|
| 8,336,905
|
|
| Shares
|
|
SHORT-TERM INVESTMENTS — 4.8%
|
|
State Street Institutional U.S. Government Money Market Fund, Class G Shares 5.33% (a)(e)(f)
| 3,746,628
| 3,746,628
|
TOTAL INVESTMENTS — 98.8%
(Cost $87,784,525)
| 77,190,582
|
OTHER ASSETS IN EXCESS OF
LIABILITIES — 1.2%
| 921,094
|
NET ASSETS — 100.0%
| $78,111,676
|
(a)
| Variable Rate Security - Interest rate shown is rate in effect at September 30, 2023. For securities based on a published reference rate and spread, the reference rate and spread are
indicated in the description above.
|
(b)
| Securities purchased pursuant to Rule 144A of the Securities Act of 1933, as amended. These securities, which represent 13.7% of net assets as of September 30, 2023, are considered
liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers.
|
(c)
| Amount is less than 0.05% of net assets.
|
(d)
| Security is currently in default and/or issuer is in bankruptcy.
|
(e)
| The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended September 30, 2023 are shown in
the Affiliate Table below.
|
(f)
| The rate shown is the annualized seven-day yield at September 30, 2023.
|
CMT
| Constant Maturity Treasury
|
EMTN
| Euro Medium Term Note
|
GMTN
| Global Medium Term Note
|
LIBOR
| London Interbank Offered Rate
|
The following table
summarizes the value of the Fund's investments according to the fair value hierarchy as of September 30, 2023.
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
|
See accompanying notes to
Schedule of Investments.
102
SPDR DOUBLELINE EMERGING MARKETS FIXED INCOME ETF
Schedule of Investments (continued)
September 30, 2023 (Unaudited)
Industry Breakdown as of September 30, 2023
|
|
|
|
| % 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%
|
(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
6/30/23
|
| 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
|
See accompanying notes to Schedule of
Investments.
103
SPDR DOUBLELINE SHORT DURATION TOTAL RETURN TACTICAL
ETF
Schedule of Investments
September 30, 2023 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
CORPORATE BONDS & NOTES — 15.8%
|
|
|
|
|
|
AEROSPACE & DEFENSE — 0.2%
|
|
RTX Corp.
5.00%, 2/27/2026
|
|
| $305,000
|
| $301,023
|
AGRICULTURE — 0.2%
|
|
Philip Morris International, Inc.
4.88%, 2/13/2026
|
|
| 305,000
|
| 299,824
|
AUTO MANUFACTURERS — 0.5%
|
|
General Motors Financial Co., Inc.
5.25%, 3/1/2026
|
|
| 305,000
|
| 297,924
|
Hyundai Capital America
1.00%, 9/17/2024 (a)
|
|
| 325,000
|
| 309,637
|
|
|
|
|
| 607,561
|
BANKS — 4.4%
|
|
Banco BBVA Peru SA
5 yr. CMT + 2.75%, 5.25%, 9/22/2029 (b)
|
|
| 100,000
|
| 97,285
|
Banco Bilbao Vizcaya Argentaria Colombia SA
Series REGS, 4.88%, 4/21/2025
|
|
| 200,000
|
| 192,470
|
Banco de Bogota SA
Series REGS, 6.25%, 5/12/2026
|
|
| 200,000
|
| 190,750
|
Banco Internacional del Peru SAA Interbank
Series REGS, 5 yr. CMT + 3.71%, 4.00%, 7/8/2030 (b)
|
|
| 150,000
|
| 138,459
|
Bank Hapoalim BM
5 yr. CMT + 2.16%, 3.26%, 1/21/2032 (a) (b)
|
|
| 200,000
|
| 170,498
|
Bank Leumi Le-Israel BM
5 yr. CMT + 1.63%, 3.28%, 1/29/2031 (a) (b)
|
|
| 200,000
|
| 178,512
|
Bank of America Corp.
Series MTN, 3 mo. USD Term SOFR + 1.23%, 3.46%, 3/15/2025 (b)
|
|
| 300,000
|
| 295,956
|
Bank of Montreal
Series MTN, SOFR + 0.71%, 6.05%, 3/8/2024 (b)
|
|
| 300,000
|
| 300,153
|
Bank of Nova Scotia
4.75%, 2/2/2026
|
|
| 305,000
|
| 297,717
|
BBVA Bancomer SA
Series REGS, 5 yr. CMT + 3.00%, 5.35%, 11/12/2029 (b)
|
|
| 200,000
|
| 193,150
|
Citigroup, Inc.:
|
|
|
|
|
|
SOFR + 1.53%, 3.29%, 3/17/2026 (b)
|
|
| 130,000
|
| 124,385
|
3 mo. USD Term SOFR + 1.16%, 3.35%, 4/24/2025 (b)
|
|
| 335,000
|
| 329,017
|
Security Description
|
|
| Principal
Amount
|
| Value
|
Commonwealth Bank of Australia
SOFR + 1.63%, 5.98%, 9/12/2025 (a) (b)
|
|
| $310,000
|
| $310,136
|
Goldman Sachs Group, Inc.
3.50%, 4/1/2025
|
|
| 310,000
|
| 298,335
|
JPMorgan Chase & Co.:
|
|
|
|
|
|
3 mo. USD Term SOFR + 1.42%, 3.22%, 3/1/2025 (b)
|
|
| 150,000
|
| 148,043
|
3.90%, 7/15/2025
|
|
| 285,000
|
| 276,031
|
Morgan Stanley
Series MTN, SOFR + 0.46%, 5.79%, 1/25/2024 (b)
|
|
| 275,000
|
| 274,917
|
Multibank, Inc.
7.75%, 2/3/2028 (a)
|
|
| 200,000
|
| 200,846
|
PNC Financial Services Group, Inc.
SOFR + 1.32%, 5.81%, 6/12/2026 (b)
|
|
| 155,000
|
| 153,737
|
Royal Bank of Canada
3.38%, 4/14/2025
|
|
| 310,000
|
| 298,924
|
Toronto-Dominion Bank
Series MTN, 0.70%, 9/10/2024
|
|
| 320,000
|
| 304,790
|
Truist Financial Corp.
Series MTN, SOFR + 1.46%, 4.26%, 7/28/2026 (b)
|
|
| 310,000
|
| 298,462
|
Wells Fargo & Co.
Series MTN, 3 mo. USD Term SOFR + 1.09%, 2.41%, 10/30/2025 (b)
|
|
| 315,000
|
| 301,713
|
|
|
|
|
| 5,374,286
|
BEVERAGES — 0.3%
|
|
Constellation Brands, Inc.
5.00%, 2/2/2026
|
|
| 315,000
|
| 309,387
|
BIOTECHNOLOGY — 0.3%
|
|
Amgen, Inc.
5.51%, 3/2/2026
|
|
| 300,000
|
| 297,789
|
Royalty Pharma PLC
1.75%, 9/2/2027
|
|
| 45,000
|
| 38,375
|
|
|
|
|
| 336,164
|
CHEMICALS — 0.3%
|
|
Braskem Netherlands Finance BV
5 yr. CMT + 8.22%, 8.50%, 1/23/2081 (b)
|
|
| 200,000
|
| 197,060
|
Sasol Financing USA LLC
4.38%, 9/18/2026
|
|
| 200,000
|
| 177,180
|
|
|
|
|
| 374,240
|
COMMERCIAL SERVICES — 0.3%
|
|
Adani International Container Terminal Pvt Ltd.
Series REGS, 3.00%, 2/16/2031
|
|
| 183,000
|
| 137,476
|
See accompanying notes to Schedule of
Investments.
104
SPDR DOUBLELINE SHORT DURATION TOTAL RETURN TACTICAL
ETF
Schedule of Investments (continued)
September 30, 2023 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
Adani Ports & Special Economic Zone Ltd.
4.00%, 7/30/2027
|
|
| $200,000
|
| $168,529
|
|
|
|
|
| 306,005
|
DIVERSIFIED FINANCIAL SERVICES — 0.7%
|
|
American Express Co.
SOFR + 1.00%, 4.99%, 5/1/2026 (b)
|
|
| 300,000
|
| 294,597
|
Avolon Holdings Funding Ltd.
5.13%, 10/1/2023 (a)
|
|
| 290,000
|
| 290,000
|
Capital One Financial Corp.
SOFR + 2.16%, 4.99%, 7/24/2026 (b)
|
|
| 285,000
|
| 276,504
|
|
|
|
|
| 861,101
|
ELECTRIC — 1.5%
|
|
Chile Electricity PEC SpA
Zero Coupon, 1/25/2028
|
|
| 200,000
|
| 154,866
|
Empresa Electrica Angamos SA
Series REGS, 4.88%, 5/25/2029
|
|
| 104,300
|
| 94,002
|
Entergy Louisiana LLC
0.95%, 10/1/2024
|
|
| 310,000
|
| 295,213
|
Fenix Power Peru SA
Series REGS, 4.32%, 9/20/2027
|
|
| 265,883
|
| 246,040
|
Minejesa Capital BV
Series REGS, 4.63%, 8/10/2030
|
|
| 200,000
|
| 178,940
|
Pacific Gas & Electric Co.:
|
|
|
|
|
|
3.25%, 2/16/2024
|
|
| 175,000
|
| 172,947
|
4.95%, 6/8/2025
|
|
| 115,000
|
| 112,249
|
Southern California Edison Co.
4.90%, 6/1/2026
|
|
| 300,000
|
| 294,768
|
TNB Global Ventures Capital Bhd
Series EMTN, 3.24%, 10/19/2026
|
|
| 300,000
|
| 279,747
|
|
|
|
|
| 1,828,772
|
ENGINEERING & CONSTRUCTION — 0.1%
|
|
Bioceanico Sovereign Certificate Ltd.
Zero Coupon, 6/5/2034
|
|
| 133,586
|
| 92,976
|
ENVIRONMENTAL CONTROL — 0.5%
|
|
Republic Services, Inc.
2.50%, 8/15/2024
|
|
| 315,000
|
| 305,868
|
Veralto Corp.
5.50%, 9/18/2026 (a)
|
|
| 305,000
|
| 303,680
|
|
|
|
|
| 609,548
|
FOOD — 0.0% (c)
|
|
JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc.
3.00%, 2/2/2029
|
|
| 50,000
|
| 42,009
|
Security Description
|
|
| Principal
Amount
|
| Value
|
HEALTH CARE PRODUCTS — 0.3%
|
|
Zimmer Biomet Holdings, Inc.
1.45%, 11/22/2024
|
|
| $320,000
|
| $303,974
|
HEALTH CARE SERVICES — 0.5%
|
|
Elevance Health, Inc.
3.50%, 8/15/2024
|
|
| 305,000
|
| 298,647
|
HCA, Inc.
5.00%, 3/15/2024
|
|
| 315,000
|
| 313,327
|
|
|
|
|
| 611,974
|
INSURANCE — 0.3%
|
|
Athene Global Funding
SOFR + 0.70%, 6.04%, 5/24/2024 (a) (b)
|
|
| 305,000
|
| 303,143
|
INTERNET — 0.4%
|
|
Expedia Group, Inc.
6.25%, 5/1/2025 (a)
|
|
| 295,000
|
| 295,077
|
Meta Platforms, Inc.
4.60%, 5/15/2028
|
|
| 180,000
|
| 175,959
|
|
|
|
|
| 471,036
|
LODGING — 0.3%
|
|
Marriott International, Inc.
3.60%, 4/15/2024
|
|
| 315,000
|
| 310,788
|
MACHINERY, CONSTRUCTION & MINING — 0.2%
|
|
Caterpillar Financial Services Corp.
4.35%, 5/15/2026
|
|
| 305,000
|
| 298,028
|
MACHINERY-DIVERSIFIED — 0.2%
|
|
John Deere Capital Corp.
Series MTN, 4.75%, 1/20/2028
|
|
| 305,000
|
| 298,988
|
MINING — 0.4%
|
|
Freeport-McMoRan, Inc.
4.13%, 3/1/2028
|
|
| 50,000
|
| 45,785
|
Glencore Funding LLC
1.63%, 9/1/2025 (a)
|
|
| 330,000
|
| 304,303
|
Industrias Penoles SAB de CV
4.15%, 9/12/2029
|
|
| 200,000
|
| 175,700
|
|
|
|
|
| 525,788
|
MISCELLANEOUS MANUFACTURER — 0.2%
|
|
Parker-Hannifin Corp.
3.65%, 6/15/2024
|
|
| 300,000
|
| 294,936
|
OIL & GAS — 0.2%
|
|
ONGC Videsh Ltd.
4.63%, 7/15/2024
|
|
| 200,000
|
| 197,536
|
Petrobras Global Finance BV
7.38%, 1/17/2027
|
|
| 100,000
|
| 103,075
|
|
|
|
|
| 300,611
|
OIL & GAS SERVICES — 0.1%
|
|
Guara Norte Sarl
5.20%, 6/15/2034
|
|
| 176,852
|
| 150,683
|
See accompanying notes to Schedule of
Investments.
105
SPDR DOUBLELINE SHORT DURATION TOTAL RETURN TACTICAL
ETF
Schedule of Investments (continued)
September 30, 2023 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
PIPELINES — 0.8%
|
|
AI Candelaria Spain SA
Series REGS, 7.50%, 12/15/2028
|
|
| $220,833
|
| $201,963
|
Energy Transfer LP
5.88%, 1/15/2024
|
|
| 305,000
|
| 304,839
|
GNL Quintero SA
Series REGS, 4.63%, 7/31/2029
|
|
| 282,400
|
| 269,545
|
Transportadora de Gas del Peru SA
Series REGS, 4.25%, 4/30/2028
|
|
| 200,000
|
| 188,824
|
|
|
|
|
| 965,171
|
REAL ESTATE INVESTMENT TRUSTS — 0.3%
|
|
Welltower OP LLC
REIT, 3.63%, 3/15/2024
|
|
| 320,000
|
| 316,138
|
RETAIL — 0.2%
|
|
Dollar Tree, Inc.
4.00%, 5/15/2025
|
|
| 300,000
|
| 290,334
|
SEMICONDUCTORS — 0.7%
|
|
Broadcom Corp./Broadcom Cayman Finance Ltd.
3.88%, 1/15/2027
|
|
| 60,000
|
| 56,383
|
Broadcom, Inc.
3.15%, 11/15/2025
|
|
| 255,000
|
| 240,745
|
Microchip Technology, Inc.
0.97%, 2/15/2024
|
|
| 315,000
|
| 309,267
|
NXP BV/NXP Funding LLC/NXP USA, Inc.
4.40%, 6/1/2027
|
|
| 310,000
|
| 294,023
|
|
|
|
|
| 900,418
|
SOFTWARE — 0.3%
|
|
Oracle Corp.
5.80%, 11/10/2025
|
|
| 305,000
|
| 306,028
|
TELECOMMUNICATIONS — 0.3%
|
|
KT Corp.
Series REGS, 2.50%, 7/18/2026
|
|
| 200,000
|
| 183,752
|
Millicom International Cellular SA
Series REGS, 5.13%, 1/15/2028
|
|
| 180,000
|
| 152,132
|
|
|
|
|
| 335,884
|
TRANSPORTATION — 0.6%
|
|
Canadian Pacific Railway Co.
1.35%, 12/2/2024
|
|
| 330,000
|
| 312,899
|
MV24 Capital BV
6.75%, 6/1/2034
|
|
| 168,118
|
| 148,324
|
Ryder System, Inc.
Series MTN, 5.25%, 6/1/2028
|
|
| 305,000
|
| 297,082
|
|
|
|
|
| 758,305
|
Security Description
|
|
| Principal
Amount
|
| Value
|
TRUCKING & LEASING — 0.2%
|
|
Penske Truck Leasing Co. LP/PTL Finance Corp.
4.40%, 7/1/2027 (a)
|
|
| $315,000
|
| $294,975
|
TOTAL CORPORATE BONDS & NOTES
(Cost $20,033,387)
|
|
|
|
| 19,380,098
|
ASSET-BACKED SECURITIES — 26.6%
|
|
|
|
|
|
AUTOMOBILE — 1.9%
|
|
|
|
|
|
Citizens Auto Receivables Trust
Series 2023-2, 6.09%, 10/15/2026 (a)
|
|
| 250,000
|
| 249,814
|
CPS Auto Receivables Trust
Series 2021-A, Class D, 1.16%, 12/15/2026 (a)
|
|
| 573,105
|
| 554,620
|
Exeter Automobile Receivables Trust
Series 2021-1A, Class C, 0.74%, 1/15/2026
|
|
| 92,969
|
| 92,325
|
GLS Auto Receivables Issuer Trust
Series 2021-2A, Class C, 1.08%, 6/15/2026 (a)
|
|
| 434,386
|
| 424,796
|
Hertz Vehicle Financing LLC
Series 2021-1A, Class B, 1.56%, 12/26/2025 (a)
|
|
| 350,000
|
| 331,715
|
Santander Drive Auto Receivables Trust
Series 2020-4, Class D, 1.48%, 1/15/2027
|
|
| 698,497
|
| 679,992
|
|
|
|
|
| 2,333,262
|
OTHER ABS — 24.6%
|
|
|
|
|
|
ACREC Ltd.
Series 2021-FL1, Class A, 1 mo. USD Term SOFR + 1.26%, 6.60%, 10/16/2036 (a) (b)
|
|
| 176,173
|
| 173,723
|
Affirm Asset Securitization Trust
Series 2022-A, Class A, 4.30%, 5/17/2027 (a)
|
|
| 500,000
|
| 489,336
|
Anchorage Capital CLO 19 Ltd.
Series 2021-19A, Class A, 3 mo. USD Term SOFR + 1.47%, 6.78%, 10/15/2034 (a) (b)
|
|
| 1,500,000
|
| 1,486,650
|
Arbor Realty Commercial Real Estate Notes Ltd.
Series 2022-FL1, Class A, 30 day USD SOFR Average + 1.45%, 6.76%, 1/15/2037 (a) (b)
|
|
| 250,000
|
| 247,696
|
Bain Capital Credit CLO Ltd.
Series 2019-1A, Class AR, 3 mo. USD Term SOFR + 1.39%, 6.71%, 4/19/2034 (a) (b)
|
|
| 500,000
|
| 496,670
|
See accompanying notes to Schedule of
Investments.
106
SPDR DOUBLELINE SHORT DURATION TOTAL RETURN TACTICAL
ETF
Schedule of Investments (continued)
September 30, 2023 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
BDS LLC
Series 2022-FL11, Class ATS, 1 mo. USD Term SOFR + 1.80%, 7.13%, 3/19/2039 (a) (b)
|
|
| $250,000
|
| $248,056
|
BDS Ltd.
Series 2021-FL9, Class A, 1 mo. USD Term SOFR + 1.18%, 6.52%, 11/16/2038 (a) (b)
|
|
| 150,000
|
| 146,314
|
BRSP Ltd.
Series 2021-FL1, Class A, 1 mo. USD Term SOFR + 1.26%, 6.59%, 8/19/2038 (a) (b)
|
|
| 151,000
|
| 147,382
|
BSPRT Issuer Ltd.:
|
|
|
|
|
|
Series 2021-FL7, Class A, 1 mo. USD Term SOFR + 1.43%, 6.77%, 12/15/2038 (a) (b)
|
|
| 200,000
|
| 196,977
|
Series 2022-FL8, Class A, 30 day USD SOFR Average + 1.50%, 6.81%, 2/15/2037 (a) (b)
|
|
| 200,000
|
| 196,982
|
Series 2021-FL6, Class A, 1 mo. USD Term SOFR + 1.21%, 6.55%, 3/15/2036 (a) (b)
|
|
| 138,000
|
| 136,151
|
Carlyle U.S. CLO Ltd.
Series 2021-1A, Class A1, 3 mo. USD Term SOFR + 1.40%, 6.71%, 4/15/2034 (a) (b)
|
|
| 1,000,000
|
| 996,075
|
CarVal CLO IV Ltd.
Series 2021-1A, Class A1A, 3 mo. USD Term SOFR + 1.44%, 6.77%, 7/20/2034 (a) (b)
|
|
| 500,000
|
| 495,800
|
CHCP Ltd.
Series 2021-FL1, Class A, 1 mo. USD Term SOFR + 1.16%, 6.50%, 2/15/2038 (a) (b)
|
|
| 137,229
|
| 135,074
|
CQS U.S. CLO Ltd.
Series 2021-1A, Class A, 3 mo. USD Term SOFR + 1.48%, 6.81%, 1/20/2035 (a) (b)
|
|
| 1,000,000
|
| 988,600
|
Credit-Based Asset Servicing & Securitization LLC
Series 2004-CB7, Class M1, 1 mo. USD Term SOFR + 1.11%, 3.43%, 10/25/2034 (b)
|
|
| 529,266
|
| 465,098
|
Diamond Resorts Owner Trust
Series 2021-1A, Class A, 1.51%, 11/21/2033 (a)
|
|
| 375,924
|
| 345,434
|
Security Description
|
|
| Principal
Amount
|
| Value
|
FS Rialto Issuer LLC:
|
|
|
|
|
|
Series 2021-FL3, Class A, 1 mo. USD Term SOFR + 1.36%, 6.70%, 11/16/2036 (a) (b)
|
|
| $181,000
|
| $178,064
|
Series 2022-FL5, Class A, 1 mo. USD Term SOFR + 2.30%, 7.63%, 6/19/2037 (a) (b)
|
|
| 300,000
|
| 296,777
|
Series 2022-FL4, Class AS, 30 day USD SOFR Average + 2.40%, 7.71%, 1/19/2039 (a) (b)
|
|
| 250,000
|
| 242,629
|
Series 2021-FL2, Class A, 1 mo. USD Term SOFR + 1.33%, 6.67%, 5/16/2038 (a) (b)
|
|
| 147,513
|
| 144,975
|
HalseyPoint CLO 3 Ltd.
Series 2020-3A, Class A1A, 3 mo. USD Term SOFR + 1.71%, 7.08%, 11/30/2032 (a) (b)
|
|
| 1,150,000
|
| 1,147,470
|
Jamestown CLO XV Ltd.
Series 2020-15A, Class A, 3 mo. USD Term SOFR + 1.60%, 6.91%, 4/15/2033 (a) (b)
|
|
| 500,000
|
| 497,450
|
KREF Ltd.
Series 2021-FL2, Class AS, 1 mo. USD Term SOFR + 1.41%, 6.75%, 2/15/2039 (a) (b)
|
|
| 250,000
|
| 238,443
|
LCCM Trust:
|
|
|
|
|
|
Series 2021-FL3, Class A, 1 mo. USD Term SOFR + 1.56%, 6.90%, 11/15/2038 (a) (b)
|
|
| 181,000
|
| 178,995
|
Series 2021-FL2, Class A, 1 mo. USD Term SOFR + 1.31%, 6.65%, 12/13/2038 (a) (b)
|
|
| 150,471
|
| 146,719
|
LoanCore Issuer Ltd.
Series 2022-CRE7, Class A, 30 day USD SOFR Average + 1.55%, 6.86%, 1/17/2037 (a) (b)
|
|
| 500,000
|
| 494,030
|
Loanpal Solar Loan Ltd.
Series 2021-1GS, Class A, 2.29%, 1/20/2048 (a)
|
|
| 319,853
|
| 240,806
|
Marble Point CLO XXI Ltd.
Series 2021-3A, Class A1, 3 mo. USD Term SOFR + 1.50%, 6.81%, 10/17/2034 (a) (b)
|
|
| 2,000,000
|
| 1,975,026
|
Marble Point CLO XXII Ltd.
Series 2021-2A, Class A, 3 mo. USD Term SOFR + 1.46%, 6.81%, 7/25/2034 (a) (b)
|
|
| 1,000,000
|
| 986,500
|
See accompanying notes to Schedule of
Investments.
107
SPDR DOUBLELINE SHORT DURATION TOTAL RETURN TACTICAL
ETF
Schedule of Investments (continued)
September 30, 2023 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
Marlette Funding Trust
Series 2021-1A, Class C, 1.41%, 6/16/2031 (a)
|
|
| $427,881
|
| $423,018
|
MF1 Ltd.:
|
|
|
|
|
|
Series 2022-FL8, Class A, 1 mo. USD Term SOFR + 1.35%, 6.68%, 2/19/2037 (a) (b)
|
|
| 347,000
|
| 342,170
|
Series 2021-FL7, Class A, 1 mo. USD Term SOFR + 1.19%, 6.53%, 10/16/2036 (a) (b)
|
|
| 192,000
|
| 188,794
|
Series 2021-FL6, Class A, 1 mo. USD Term SOFR + 1.21%, 6.55%, 7/16/2036 (a) (b)
|
|
| 247,864
|
| 242,111
|
MP CLO VIII Ltd.
Series 2015-2A, Class ARR, 3 mo. USD LIBOR + 1.20%, 6.83%, 4/28/2034 (a) (b)
|
|
| 500,000
|
| 493,750
|
Northwoods Capital XVI Ltd.
Series 2017-16A, Class A, 3 mo. USD Term SOFR + 1.53%, 6.90%, 11/15/2030 (a) (b)
|
|
| 941,091
|
| 938,738
|
Octagon Investment Partners 51 Ltd.
Series 2021-1A, Class A, 3 mo. USD Term SOFR + 1.41%, 6.74%, 7/20/2034 (a) (b)
|
|
| 1,000,000
|
| 990,000
|
Pagaya AI Debt Selection Trust:
|
|
|
|
|
|
Series 2021-3, Class B, 1.74%, 5/15/2029 (a)
|
|
| 999,946
|
| 977,335
|
Series 2021-5, Class B, 2.63%, 8/15/2029 (a)
|
|
| 999,882
|
| 958,921
|
Pagaya AI Debt Trust
Series 2023-1, Class A, 7.56%, 7/15/2030 (a)
|
|
| 370,225
|
| 371,617
|
Peace Park CLO Ltd.
Series 2021-1A, Class A, 3 mo. USD LIBOR + 1.13%, 6.72%, 10/20/2034 (a) (b)
|
|
| 1,000,000
|
| 995,000
|
Regatta VI Funding Ltd.
Series 2016-1A, Class AR2, 3 mo. USD Term SOFR + 1.42%, 6.75%, 4/20/2034 (a) (b)
|
|
| 1,000,000
|
| 994,000
|
Regatta XXIII Funding Ltd.
Series 2021-4A, Class A1, 3 mo. USD Term SOFR + 1.41%, 6.74%, 1/20/2035 (a) (b)
|
|
| 2,265,000
|
| 2,240,991
|
Sapphire Aviation Finance II Ltd.
Series 2020-1A, Class A, 3.23%, 3/15/2040 (a)
|
|
| 341,684
|
| 289,129
|
Security Description
|
|
| Principal
Amount
|
| Value
|
Shackleton CLO Ltd.
Series 2013-3A, Class AR, 3 mo. USD Term SOFR + 1.38%, 6.69%, 7/15/2030 (a) (b)
|
|
| $379,017
|
| $377,653
|
Sound Point CLO XIV Ltd.
Series 2016-3A, Class AR2, 3 mo. USD Term SOFR + 1.25%, 6.60%, 1/23/2029 (a) (b)
|
|
| 5,572
|
| 5,563
|
Sound Point CLO XXVI Ltd.
Series 2020-1A, Class AR, 3 mo. USD Term SOFR + 1.43%, 6.76%, 7/20/2034 (a) (b)
|
|
| 1,000,000
|
| 987,974
|
TRTX Issuer Ltd.
Series 2022-FL5, Class A, 30 day USD SOFR Average + 1.65%, 6.96%, 2/15/2039 (a) (b)
|
|
| 200,000
|
| 195,751
|
Vibrant CLO IV Ltd.
Series 2016-4A, Class A1RR, 3 mo. USD Term SOFR + 1.38%, 6.71%, 7/20/2032 (a) (b)
|
|
| 500,000
|
| 495,900
|
Vibrant CLO VIII Ltd.
Series 2018-8A, Class A1A, 3 mo. USD Term SOFR + 1.40%, 6.73%, 1/20/2031 (a) (b)
|
|
| 420,581
|
| 419,057
|
VMC Finance LLC
Series 2022-FL5, Class A, 30 day USD SOFR Average + 1.90%, 7.21%, 2/18/2039 (a) (b)
|
|
| 640,000
|
| 625,617
|
VOLT C LLC
Series 2021-NPL9, Class A1, 1.99%, 5/25/2051 (a) (d)
|
|
| 346,009
|
| 319,863
|
VOLT CI LLC
Series 2021-NP10, Class A1, 1.99%, 5/25/2051 (a) (d)
|
|
| 1,238,460
|
| 1,131,027
|
Washington Mutual Asset-Backed Certificates WMABS Trust
Series 2006-HE5, Class 2A2, 1 mo. USD Term SOFR + 0.47%, 4.01%, 10/25/2036 (b)
|
|
| 270,714
|
| 90,896
|
Wellfleet CLO Ltd.
Series 2020-2A, Class AR, 3 mo. USD Term SOFR + 1.48%, 6.79%, 7/15/2034 (a) (b)
|
|
| 1,000,000
|
| 989,000
|
|
|
|
|
| 30,243,777
|
See accompanying notes to Schedule of
Investments.
108
SPDR DOUBLELINE SHORT DURATION TOTAL RETURN TACTICAL
ETF
Schedule of Investments (continued)
September 30, 2023 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
STUDENT LOAN ABS — 0.1%
|
|
|
|
|
|
Commonbond Student Loan Trust
Series 2018-BGS, Class B, 3.99%, 9/25/2045 (a)
|
|
| $110,296
|
| $100,965
|
Laurel Road Prime Student Loan Trust
Series 2019-A, Class A1FX, 2.34%, 10/25/2048 (a)
|
|
| 20,151
|
| 19,621
|
|
|
|
|
| 120,586
|
TOTAL ASSET-BACKED SECURITIES
(Cost $33,212,925)
|
|
|
|
| 32,697,625
|
FOREIGN GOVERNMENT OBLIGATIONS — 0.4%
|
|
|
|
|
|
COLOMBIA — 0.2%
|
|
|
|
|
|
Colombia Government International Bonds
4.50%, 1/28/2026
|
|
| 200,000
|
| 191,298
|
DOMINICAN REPUBLIC — 0.1%
|
|
|
|
|
|
Dominican Republic International Bonds
5.50%, 1/27/2025
|
|
| 100,000
|
| 98,645
|
SOUTH AFRICA — 0.1%
|
|
|
|
|
|
Republic of South Africa Government International Bonds
4.88%, 4/14/2026
|
|
| 200,000
|
| 190,288
|
TOTAL FOREIGN GOVERNMENT OBLIGATIONS
(Cost $511,625)
|
|
|
|
| 480,231
|
U.S. GOVERNMENT AGENCY OBLIGATIONS — 4.1%
|
|
|
|
|
|
Federal Home Loan Mortgage Corp. REMICS:
|
|
|
|
|
|
Series 4211, Class AP, 1.60%, 3/15/2043
|
|
| 696,638
|
| 630,341
|
Series 4461, Class BA, CMO, 2.00%, 12/15/2043
|
|
| 450,349
|
| 403,457
|
Series 5179, Class GD, CMO, 2.00%, 12/25/2047
|
|
| 868,433
|
| 709,182
|
Series 4030, Class AN, CMO, REMIC, 1.75%, 4/15/2027
|
|
| 207,041
|
| 199,404
|
Series 4484, Class CD, CMO, REMIC, 1.75%, 7/15/2030
|
|
| 55,110
|
| 51,021
|
Federal National Mortgage Association:
|
|
|
|
|
|
3.00%, 11/1/2033
|
|
| 605,259
|
| 552,915
|
3.00%, 11/1/2036
|
|
| 148,742
|
| 132,444
|
5.00%, 8/1/2043
|
|
| 833,151
|
| 794,071
|
Security Description
|
|
| Principal
Amount
|
| Value
|
Federal National Mortgage Association REMICS:
|
|
|
|
|
|
Series 2010-141, Class FB, CMO, REMIC, 30 day USD SOFR Average + 0.58%, 5.90%, 12/25/2040 (b)
|
|
| $125,213
|
| $122,248
|
Series 2012-32, Class DA, CMO, REMIC, 2.00%, 11/25/2026
|
|
| 101,803
|
| 100,483
|
Series 2016-8, Class FA, CMO, REMIC, 30 day USD SOFR Average + 0.56%, 5.88%, 3/25/2046 (b)
|
|
| 211,936
|
| 204,714
|
Series 2018-27, Class FJ, CMO, REMIC, 30 day USD SOFR Average + 0.41%, 5.73%, 12/25/2047 (b)
|
|
| 149,050
|
| 142,468
|
Series 2018-45, Class FA, CMO, REMIC, 30 day USD SOFR Average + 0.41%, 5.73%, 6/25/2048 (b)
|
|
| 165,617
|
| 158,551
|
Federal National Mortgage Association-Aces Series 2020-M49, Class 1A1, VRN, 1.30%, 11/25/2030 (b)
|
|
| 1,042,453
|
| 891,524
|
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS
(Cost $5,676,474)
|
|
|
|
| 5,092,823
|
U.S. TREASURY OBLIGATIONS — 25.4%
|
|
|
|
|
|
U.S. Treasury Bills 0.01%, 12/5/2023
(Cost $4,952,275)
|
|
| 5,000,000
|
| 4,952,742
|
U.S. Treasury Notes:
|
|
|
|
|
|
3.00%, 7/15/2025
|
|
| 10,000,000
|
| 9,635,547
|
4.25%, 10/15/2025
|
|
| 17,000,000
|
| 16,733,047
|
TOTAL U.S. TREASURY OBLIGATIONS
(Cost $31,597,761)
|
|
|
|
| 31,321,336
|
MORTGAGE-BACKED SECURITIES — 10.2%
|
|
|
|
|
|
Citigroup Mortgage Loan Trust, Inc. Series 2007-AR8, Class 2A1A, CMO, 4.39%, 7/25/2037 (b)
|
|
| 3,051,401
|
| 2,566,407
|
Countrywide Alternative Loan Trust:
|
|
|
|
|
|
Series 2006-J7, Class 1A3, 6.25%, 11/25/2036
|
|
| 414,880
|
| 193,038
|
Series 2006-41CB, Class 1A3, CMO, 6.00%, 1/25/2037
|
|
| 237,666
|
| 125,183
|
See accompanying notes to Schedule of
Investments.
109
SPDR DOUBLELINE SHORT DURATION TOTAL RETURN TACTICAL
ETF
Schedule of Investments (continued)
September 30, 2023 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
CSMC Trust Series 2020-RPL3, Class A1, CMO, 2.69%, 3/25/2060 (a) (b)
|
|
| $783,934
|
| $768,089
|
Legacy Mortgage Asset Trust:
|
|
|
|
|
|
Series 2021-GS1, Class A1, 1.89%, 10/25/2066 (a) (d)
|
|
| 368,008
|
| 340,627
|
Series 2021-GS2, Class A1, 1.75%, 4/25/2061 (a) (d)
|
|
| 313,143
|
| 289,235
|
Luminent Mortgage Trust Series 2007-1, Class 1A1, CMO, 1 mo. USD Term SOFR + 0.43%, 5.75%, 11/25/2036 (b)
|
|
| 2,493,320
|
| 2,206,588
|
MFA Trust Series 2023-NQM3, Class A1, 6.62%, 7/25/2068 (a)
|
|
| 696,746
|
| 695,252
|
Preston Ridge Partners Mortgage LLC Series 2022-1, Class A1, 3.72%, 2/25/2027 (a) (d)
|
|
| 1,578,232
|
| 1,510,662
|
Residential Asset Securitization Trust Series 2006-A6, Class 1A4, CMO, IO, 6.00%, 7/25/2036
|
|
| 2,597,779
|
| 603,368
|
Residential Mortgage Loan Trust Series 2020-1, Class A1, 2.38%, 1/26/2060 (a) (b)
|
|
| 786,464
|
| 744,658
|
Verus Securitization Trust Series 2022-3, Class A1, 4.13%, 2/25/2067 (a) (d)
|
|
| 760,118
|
| 684,001
|
WaMu Mortgage Pass-Through Certificates Trust Series 2006-AR16, Class 2A1, CMO, 3.44%, 12/25/2036 (b)
|
|
| 1,753,274
|
| 1,575,301
|
Washington Mutual Mortgage Pass-Through Certificates WMALT Trust Series 2005-8, Class 2CB3, CMO, 1 mo. USD Term SOFR + 0.52%, 5.50%, 10/25/2035 (b)
|
|
| 273,751
|
| 264,042
|
TOTAL MORTGAGE-BACKED SECURITIES
(Cost $14,066,672)
|
|
|
|
| 12,566,451
|
COMMERCIAL MORTGAGE BACKED SECURITIES — 6.0%
|
|
|
|
|
|
ACREC LLC Series 2023-FL2, Class A, 1 mo. USD Term SOFR + 2.23%, 7.56%, 2/19/2038 (a) (b)
|
|
| 250,000
|
| 249,469
|
Arbor Multifamily Mortgage Securities Trust Series 2021-MF2, Class A2, 2.02%, 6/15/2054 (a)
|
|
| 139,000
|
| 123,199
|
Security Description
|
|
| Principal
Amount
|
| Value
|
AREIT Trust Series 2022-CRE6, Class A, 30 day USD SOFR Average + 1.25%, 6.56%, 1/20/2037 (a) (b)
|
|
| $89,408
|
| $87,849
|
Bank:
|
|
|
|
|
|
Series 2017-BNK6, Class XA, IO, 0.91%, 7/15/2060 (b)
|
|
| 988,702
|
| 21,598
|
Series 2020-BN26, Class XA, IO, VRN, 1.34%, 3/15/2063 (b)
|
|
| 1,289,091
|
| 71,854
|
Benchmark Mortgage Trust:
|
|
|
|
|
|
Series 2018-B1, Class XA, IO, 0.68%, 1/15/2051 (b)
|
|
| 1,610,441
|
| 29,254
|
Series 2019-B15, Class XA, IO, VRN, 0.93%, 12/15/2072 (b)
|
|
| 4,041,411
|
| 140,816
|
BPR Trust:
|
|
|
|
|
|
Series 2021-TY, Class A, 1 mo. USD Term SOFR + 1.16%, 6.50%, 9/15/2038 (a) (b)
|
|
| 192,000
|
| 184,959
|
Series 2022-OANA, Class A, 1 mo. USD Term SOFR + 1.90%, 7.23%, 4/15/2037 (a) (b)
|
|
| 250,000
|
| 245,465
|
BX Commercial Mortgage Trust Series 2021-21M, Class A, 1 mo. USD Term SOFR + 0.84%, 6.18%, 10/15/2036 (a) (b)
|
|
| 134,847
|
| 131,924
|
BXMT Ltd. Series 2021-FL4, Class A, 1 mo. USD Term SOFR + 1.16%, 6.50%, 5/15/2038 (a) (b)
|
|
| 138,000
|
| 129,776
|
Cantor Commercial Real Estate Lending Series 2019-CF1, Class 65A, 4.41%, 5/15/2052 (a) (b)
|
|
| 163,000
|
| 150,203
|
Citigroup Commercial Mortgage Trust:
|
|
|
|
|
|
Series 2019-PRM, Class D, 4.35%, 5/10/2036 (a)
|
|
| 261,000
|
| 259,966
|
Series 2016-GC37, Class XA, IO, 1.81%, 4/10/2049 (b)
|
|
| 375,521
|
| 11,633
|
CLNC Ltd. Series 2019-FL1, Class AS, ABS, 1 mo. USD Term SOFR + 1.66%, 6.99%, 8/20/2035 (a) (b)
|
|
| 131,000
|
| 129,467
|
COMM Mortgage Trust:
|
|
|
|
|
|
Series 2014-UBS5, Class A3, 3.57%, 9/10/2047
|
|
| 196,030
|
| 193,052
|
Series 2015-DC1, Class A5, 3.35%, 2/10/2048
|
|
| 200,000
|
| 192,194
|
See accompanying notes to Schedule of
Investments.
110
SPDR DOUBLELINE SHORT DURATION TOTAL RETURN TACTICAL
ETF
Schedule of Investments (continued)
September 30, 2023 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
Series 2018-HCLV, Class A, 1 mo. USD Term SOFR + 1.15%, 6.63%, 9/15/2033 (a) (b)
|
|
| $70,000
|
| $64,050
|
Series 2015-CR25, Class XA, IO, 0.94%, 8/10/2048 (b)
|
|
| 1,062,898
|
| 12,436
|
CSAIL Commercial Mortgage Trust:
|
|
|
|
|
|
Series 2017-C8, Class XA, IO, 1.24%, 6/15/2050 (b)
|
|
| 240,337
|
| 7,385
|
Series 2017-CX10, Class XA, IO, 0.89%, 11/15/2050 (b)
|
|
| 840,406
|
| 18,585
|
Series 2017-CX9, Class XA, IO, 0.75%, 9/15/2050 (b)
|
|
| 1,188,368
|
| 15,628
|
EQUS Mortgage Trust Series 2021-EQAZ, Class A, 1 mo. USD Term SOFR + 0.87%, 6.20%, 10/15/2038 (a) (b)
|
|
| 180,996
|
| 176,698
|
Extended Stay America Trust Series 2021-ESH, Class A, 1 mo. USD Term SOFR + 1.19%, 6.53%, 7/15/2038 (a) (b)
|
|
| 142,573
|
| 141,199
|
FS Rialto Issuer LLC Series 2019-FL1, Class A, 1 mo. USD Term SOFR + 1.31%, 6.65%, 12/16/2036 (a) (b)
|
|
| 65,445
|
| 64,368
|
GPMT Ltd. Series 2021-FL3, Class A, 1 mo. USD Term SOFR + 1.36%, 6.70%, 7/16/2035 (a) (b)
|
|
| 56,497
|
| 55,761
|
Great Wolf Trust Series 2019, Class A, 1 mo. USD Term SOFR + 1.15%, 6.48%, 12/15/2036 (a) (b)
|
|
| 200,000
|
| 199,044
|
GS Mortgage Securities Corportation Trust Series 2021-IP, Class A, 1 mo. USD Term SOFR + 1.06%, 6.40%, 10/15/2036 (a) (b)
|
|
| 181,000
|
| 172,569
|
GS Mortgage Securities Trust:
|
|
|
|
|
|
Series 2017-GS7, Class XA, IO, 1.23%, 8/10/2050 (b)
|
|
| 370,853
|
| 9,592
|
Series 2020-GC47, Class XA, IO, VRN, 1.24%, 5/12/2053 (b)
|
|
| 2,109,497
|
| 114,557
|
JP Morgan Chase Commercial Mortgage Securities Trust:
|
|
|
|
|
|
Series 2022-NLP, Class A, 1 mo. USD Term SOFR + 0.60%, 5.93%, 4/15/2037 (a) (b)
|
|
| 183,541
|
| 168,760
|
Series 2016-JP4, Class XA, IO, 0.71%, 12/15/2049 (b)
|
|
| 1,340,337
|
| 18,191
|
Security Description
|
|
| Principal
Amount
|
| Value
|
JPMBB Commercial Mortgage Securities Trust Series 2014-C25, Class B, VRN, 4.35%, 11/15/2047 (b)
|
|
| $150,000
|
| $137,120
|
JPMCC Commercial Mortgage Securities Trust Series 2019-COR5, Class XA, IO, VRN, 1.63%, 6/13/2052 (b)
|
|
| 1,080,236
|
| 60,749
|
LoanCore Issuer Ltd.:
|
|
|
|
|
|
Series 2019-CRE2, Class AS, 1 mo. USD Term SOFR + 1.61%, 6.95%, 5/15/2036 (a) (b)
|
|
| 54,474
|
| 54,273
|
Series 2019-CRE3, Class AS, 1 mo. USD Term SOFR + 1.48%, 6.82%, 4/15/2034 (a) (b)
|
|
| 17,466
|
| 17,377
|
MF1 Multifamily Housing Mortgage Loan Trust Series 2021-FL5, Class AS, 1 mo. USD Term SOFR + 1.31%, 6.65%, 7/15/2036 (a) (b)
|
|
| 138,000
|
| 134,668
|
MHP Trust Series 2022-MHIL, Class A, 1 mo. USD Term SOFR + 0.82%, 6.15%, 1/15/2027 (a) (b)
|
|
| 152,550
|
| 148,937
|
Morgan Stanley Bank of America Merrill Lynch Trust:
|
|
|
|
|
|
Series 2014-C16, Class AS, COR, 4.09%, 6/15/2047
|
|
| 201,000
|
| 193,101
|
Series 2014-C15, Class XA, IO, 0.94%, 4/15/2047 (b)
|
|
| 390,583
|
| 15
|
Series 2014-C19, Class LNCX, IO, 0.76%, 12/15/2046 (a) (b)
|
|
| 1,124,127
|
| 4,948
|
Morgan Stanley Capital I Trust:
|
|
|
|
|
|
Series 2019-PLND, Class B, 1 mo. USD Term SOFR + 1.41%, 6.75%, 5/15/2036 (a) (b)
|
|
| 163,000
|
| 148,629
|
Series 2019-PLND, Class D, 1 mo. USD Term SOFR + 1.86%, 7.20%, 5/15/2036 (a) (b)
|
|
| 127,000
|
| 104,537
|
Series 2021-L6, Class A2, 2.13%, 6/15/2054 (b)
|
|
| 151,000
|
| 134,183
|
Series 2016-UB12, Class XA, IO, 0.79%, 12/15/2049 (b)
|
|
| 1,322,243
|
| 21,758
|
MSC Trust Series 2021-ILP, Class A, 1 mo. USD Term SOFR + 0.89%, 6.23%, 11/15/2023 (a) (b)
|
|
| 180,403
|
| 176,335
|
MSCG Trust Series 2018-SELF, Class A, 1 mo. USD Term SOFR + 0.95%, 6.28%, 10/15/2037 (a) (b)
|
|
| 72,196
|
| 71,883
|
See accompanying notes to Schedule of
Investments.
111
SPDR DOUBLELINE SHORT DURATION TOTAL RETURN TACTICAL
ETF
Schedule of Investments (continued)
September 30, 2023 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
Natixis Commercial Mortgage Securities Trust Series 2018-FL1, Class A, 1 mo. USD Term SOFR + 1.06%, 6.40%, 6/15/2035 (a) (b)
|
|
| $25,482
|
| $24,056
|
Ready Capital Mortgage Financing LLC Series 2021-FL7, Class A, 1 mo. USD Term SOFR + 1.31%, 6.63%, 11/25/2036 (a) (b)
|
|
| 102,870
|
| 101,357
|
RIAL Issuer Ltd. Series 2022-FL8, Class A, 1 mo. USD Term SOFR + 2.25 %, 7.58%, 1/19/2037 (a) (b)
|
|
| 250,000
|
| 245,809
|
SMR Mortgage Trust Series 2022-IND, Class A, 1 mo. USD Term SOFR + 1.65 %, 6.98%, 2/15/2039 (a) (b)
|
|
| 149,364
|
| 139,980
|
SREIT Trust Series 2021-MFP, Class A, 1 mo. USD Term SOFR + 0.85%, 6.18%, 11/15/2038 (a) (b)
|
|
| 181,000
|
| 177,540
|
Starwood Ltd. Series 2019-FL1, Class AS, 1 mo. USD Term SOFR + 1.51%, 6.85%, 7/15/2038 (a) (b)
|
|
| 100,000
|
| 97,000
|
UBS Commercial Mortgage Trust Series 2017-C1, Class XA, IO, 1.68%, 6/15/2050 (b)
|
|
| 596,489
|
| 24,915
|
Velocity Commercial Capital Loan Trust Series 2018-2, Class A, 4.05%, 10/26/2048 (a) (b)
|
|
| 232,152
|
| 218,269
|
Wells Fargo Commercial Mortgage Trust:
|
|
|
|
|
|
Series 2021-C60, Class A2, 2.04%, 8/15/2054
|
|
| 151,000
|
| 134,823
|
Series 2021-SAVE, Class A, 1 mo. USD Term SOFR + 1.26%, 6.60%, 2/15/2040 (a) (b)
|
|
| 57,265
|
| 54,190
|
Series 2021-SAVE, Class B, 1 mo. USD Term SOFR + 1.56%, 6.90%, 2/15/2040 (a) (b)
|
|
| 80,000
|
| 74,205
|
Series 2022-ONL, Class A, 3.86%, 12/15/2039 (a)
|
|
| 500,000
|
| 447,161
|
Series 2019-C51, Class XA, IO, VRN, 1.48%, 6/15/2052 (b)
|
|
| 974,209
|
| 50,916
|
Series 2019-C52, Class XA, IO, VRN, 1.75%, 8/15/2052 (b)
|
|
| 2,863,740
|
| 179,481
|
WFRBS Commercial Mortgage Trust:
|
|
|
|
|
|
Series 2014-C21, Class AS, 3.89%, 8/15/2047
|
|
| 250,000
|
| 238,465
|
Security Description
|
|
| Principal
Amount
|
| Value
|
Series 2013-C18, Class XA, IO, 0.87%, 12/15/2046 (b)
|
|
| $678,238
|
| $27
|
Series 2014-C23, Class AS, VRN, 4.21%, 10/15/2057 (b)
|
|
| 235,000
|
| 219,136
|
TOTAL COMMERCIAL MORTGAGE BACKED SECURITIES
(Cost $8,737,096)
|
|
|
|
| 7,427,344
|
SENIOR FLOATING RATE LOANS — 5.9%
|
|
|
|
BROADLINE RETAIL — 0.2%
|
|
|
|
|
KFC Holding Co. Senior Secured 2021 Term Loan B, 1 mo. USD Term SOFR + 1.75%, 7.20%, 3/15/2028 (b)
|
| 266,936
|
| 267,222
|
BUILDING PRODUCTS — 0.1%
|
|
|
|
|
Ingersoll-Rand Services Co. Senior Secured 2020 USD Spinco Term Loan, 1 mo. USD Term SOFR + 1.75%, 7.17%, 3/1/2027 (b)
|
| 84,569
|
| 84,795
|
CASINO SERVICES — 0.2%
|
|
|
|
|
The Stars Group Holdings BV Senior Secured 2018 USD Incremental Term Loan, 3 mo. USD Term SOFR + 2.25%, 7.90%, 7/21/2026 (b)
|
| 225,781
|
| 225,922
|
CHEMICALS — 0.2%
|
|
|
|
|
Axalta Coating Systems U.S. Holdings, Inc. Senior Secured 2023 USD Term Loan B4, 3 mo. USD Term SOFR + 2.50%, 7.89%, 12/20/2029 (b)
|
| 105,822
|
| 106,136
|
Element Solutions, Inc. Senior Secured 2019 Term Loan B1, 1 mo. USD Term SOFR + 2.00%, 7.32%, 1/31/2026 (b)
|
| 129,389
|
| 129,416
|
|
|
|
|
| 235,552
|
COMMERCIAL SERVICES & SUPPLIES — 0.1%
|
|
|
|
|
Aramark Services, Inc. Senior Secured 2021 Term Loan B, 1 mo. USD Term SOFR + 2.50%, 7.93%, 4/6/2028 (b)
|
| 80,000
|
| 80,140
|
Aramark Services, Inc. Senior Secured 2023 Term Loan B6, 1 mo. USD Term SOFR + 2.50%, 7.93%, 6/22/2030 (b)
|
| 79,800
|
| 79,850
|
|
|
|
|
| 159,990
|
See accompanying notes to Schedule of
Investments.
112
SPDR DOUBLELINE SHORT DURATION TOTAL RETURN TACTICAL
ETF
Schedule of Investments (continued)
September 30, 2023 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
DISTRIBUTION/WHOLESALE — 0.3%
|
|
|
|
|
Resideo Funding, Inc. Senior Secured 2021 Term Loan, 1 mo. USD Term SOFR + 2.25%, 7.69%, 2/11/2028 (b)
|
| $293,233
|
| $294,424
|
ENTERTAINMENT — 0.2%
|
|
|
|
|
WMG Acquisition Corp. Senior Secured 2021 Term Loan G, 1 mo. USD Term SOFR + 2.13%, 7.56%, 1/20/2028 (b)
|
| 277,767
|
| 278,010
|
FINANCIAL SERVICES — 0.7%
|
|
|
|
|
Fleetcor Technologies Operating Co. LLC Senior Secured 2021 Term Loan B4, 1 mo. USD Term SOFR + 1.75%, 7.17%, 4/28/2028 (b)
|
| 415,446
|
| 414,667
|
Focus Financial Partners LLC Senior Secured Senior Secured 2021 Term Loan B4, 1 mo. USD Term SOFR + 2.50%, 7.82%, 6/30/2028 (b)
|
| 34,385
|
| 34,327
|
Setanta Aircraft Leasing Designated Activity Co. Senior Secured Term Loan B, 3 mo. USD LIBOR + 2.00%, 7.65%, 11/5/2028 (b)
|
| 185,000
|
| 185,145
|
Trans Union LLC Senior Secured 2019 Term Loan B5, 1 mo. USD Term SOFR + 1.75%, 7.17%, 11/16/2026 (b)
|
| 184,919
|
| 184,996
|
Walker & Dunlop, Inc. Senior Secured 2021 Term Loan, 1 mo. USD Term SOFR + 2.25%, 7.67%, 12/16/2028 (b)
|
| 39,300
|
| 39,275
|
|
|
|
|
| 858,410
|
FORESTRY — 0.3%
|
|
|
|
|
Asplundh Tree Expert LLC Senior Secured 2021 Term Loan B, 1 mo. USD Term SOFR + 1.75%, 7.17%, 9/7/2027 (b)
|
| 415,365
|
| 415,392
|
HEALTH CARE PROVIDERS & SERVICES — 0.6%
|
|
|
|
|
Catalent Pharma Solutions, Inc. Senior Secured 2021 Term Loan B3, 1 mo. USD Term SOFR + 2.00%, 7.44%, 2/22/2028 (b)
|
| 158,890
|
| 155,738
|
Horizon Therapeutics USA, Inc. Senior Secured 2021 Term Loan B2, 1 mo. USD Term SOFR + 1.75%, 7.18%, 3/15/2028 (b)
|
| 415,414
|
| 415,555
|
Security Description
|
|
| Principal
Amount
|
| Value
|
ICON Luxembourg Sarl Senior Secured LUX Term Loan, 3 mo. USD Term SOFR + 2.25%, 7.65%, 7/3/2028 (b)
|
| $169,915
|
| $170,060
|
PRA Health Sciences, Inc. Senior Secured US Term Loan, 3 mo. USD Term SOFR + 2.25%, 7.65%, 7/3/2028 (b)
|
| 42,335
|
| 42,370
|
|
|
|
|
| 783,723
|
HOTELS, RESTAURANTS & LEISURE — 0.0%
|
|
|
|
|
Wyndham Hotels & Resorts, Inc. Senior Secured 2023 Term Loan B, 1 mo. USD Term SOFR + 2.25%, 7.67%, 5/24/2030 (b)
|
| 34,913
|
| 34,981
|
HOUSEHOLD PRODUCTS — 0.3%
|
|
|
|
|
Reynolds Consumer Products LLC Senior Secured Term Loan, 1 mo. USD Term SOFR + 1.75%, 7.17%, 2/4/2027 (b)
|
| 386,009
|
| 385,940
|
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS — 0.3%
|
|
|
|
|
Vistra Operations Co. LLC Senior Secured 1st Lien Term Loan B3, 1 mo. USD Term SOFR + 1.75%, 7.18%, 12/31/2025 (b)
|
| 365,328
|
| 365,613
|
INTERNET & TELECOM — 0.3%
|
|
|
|
|
Go Daddy Operating Co. LLC Senior Secured 2022 Term Loan B5, 1 mo. USD Term SOFR + 2.50%, 7.82%, 11/9/2029 (b)
|
| 305,433
|
| 306,085
|
MACHINERY — 0.1%
|
|
|
|
|
Ali Group North America Corp. Senior Secured 2021 Term Loan B, 1 mo. USD Term SOFR + 2.00%, 7.43%, 7/30/2029 (b)
|
| 69,133
|
| 69,181
|
MEDIA — 0.3%
|
|
|
|
|
Charter Communications Operating LLC Senior Secured 2019 Term Loan B2, 3 mo. USD Term SOFR + 1.75%, 7.10%, 2/1/2027 (b)
|
| 234,390
|
| 234,405
|
Nexstar Broadcasting, Inc. Senior Secured 2019 Term Loan B4, 1 mo. USD Term SOFR + 2.50%, 7.93%, 9/18/2026 (b)
|
| 135,800
|
| 135,800
|
|
|
|
|
| 370,205
|
See accompanying notes to Schedule of
Investments.
113
SPDR DOUBLELINE SHORT DURATION TOTAL RETURN TACTICAL
ETF
Schedule of Investments (continued)
September 30, 2023 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
MRI/MEDICAL DIAG IMAGING — 0.2%
|
|
|
|
|
IQVIA, Inc. Senior Secured 2018 USD Term Loan B3, 1 mo. USD LIBOR + 1.75%, 7.18%, 6/11/2025 (b)
|
| $271,862
|
| $272,929
|
PHARMACEUTICALS — 0.3%
|
|
|
|
|
Grifols Worldwide Operations USA, Inc. Senior Secured USD 2019 Term Loan B, 1 mo. USD Term SOFR + 2.00%, 7.42%, 11/15/2027 (b)
|
| 319,481
|
| 314,529
|
PROFESSIONAL SERVICES — 0.1%
|
|
|
|
|
Trans Union LLC Senior Secured 2021 Term Loan B6, 1 mo. USD Term SOFR + 2.25%, 7.68%, 12/1/2028 (b)
|
| 86,044
|
| 86,109
|
REAL ESTATE INVESTMENT TRUSTS (REITs) — 0.3%
|
|
|
|
|
Iron Mountain, Inc. Senior Secured 2018 Term Loan B, 1 mo. USD LIBOR + 1.75% 7.18%, 1/2/2026(b)
|
| 415,116
|
| 415,013
|
RETAIL — 0.2%
|
|
|
|
|
1011778 BC ULC Senior Secured 2023 Term Loan B5, 1 mo. USD Term SOFR + 2.25%, 7.57%, 9/23/2030 (b)
|
| 230,000
|
| 229,402
|
SOFTWARE — 0.4%
|
|
|
|
|
Gen Digital, Inc. Senior Secured 2022 Term Loan B, 1 mo. USD Term SOFR + 2.00%, 7.42%, 9/12/2029 (b)
|
| 235,360
|
| 234,905
|
SS&C Technologies, Inc. Senior Secured 2018 Term Loan B5, 1 mo. USD Term SOFR + 1.75%, 7.18%, 4/16/2025 (b)
|
| 301,294
|
| 301,570
|
|
|
|
|
| 536,475
|
SPECIALTY RETAIL — 0.2%
|
|
|
|
|
Pilot Travel Centers LLC Senior Secured 2021 Term Loan B, 1 mo. USD Term SOFR + 2.00%, 7.42%, 8/4/2028 (b)
|
| 273,601
|
| 273,601
|
TOTAL SENIOR FLOATING RATE LOANS
(Cost $7,244,549)
|
|
|
|
| 7,263,503
|
Security Description
|
|
| Shares
|
| Value
|
SHORT-TERM INVESTMENT — 4.6%
|
|
|
|
State Street Institutional U.S. Government Money Market Fund, Class G Shares 5.33% (e) (f)
(Cost $5,692,727)
|
| 5,692,727
|
| $5,692,727
|
TOTAL INVESTMENTS — 99.0%
(Cost $126,773,216)
|
| 121,922,138
|
|
OTHER ASSETS IN EXCESS OF LIABILITIES — 1.0%
|
| 1,186,351
|
|
NET ASSETS — 100.0%
|
| $123,108,489
|
|
(a)
| Securities purchased pursuant to Rule 144A of the Securities Act of 1933, as amended. These securities, which represent 36.2% of net assets as of September 30, 2023, are considered
liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers.
|
(b)
| Variable Rate Security - Interest rate shown is rate in effect at September 30, 2023. For securities based on a published reference rate and spread, the reference rate and spread are
indicated in the description above.
|
(c)
| Amount is less than 0.05% of net assets.
|
(d)
| Step-up bond - Coupon rate increases in increments to maturity. Rate shown as of September 30, 2023. Maturity date shown is the final maturity.
|
(e)
| The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended September 30, 2023 are shown in
the Affiliate Table below.
|
(f)
| The rate shown is the annualized seven-day yield at September 30, 2023.
|
ABS
| Asset-Backed Security
|
CLO
| Collateralized Loan Obligation
|
CMO
| Collateralized Mortgage Obligation
|
CMT
| Constant Maturity Treasury
|
EMTN
| Euro Medium Term Note
|
IO
| Interest Only
|
LIBOR
| London Interbank Offered Rate
|
MTN
| Medium Term Note
|
REIT
| Real Estate Investment Trust
|
REMIC
| Real Estate Mortgage Investment Conduit
|
SOFR
| Secured Overnight Financing Rate
|
VRN
| Variable Rate Note
|
See accompanying notes to Schedule of
Investments.
114
SPDR DOUBLELINE SHORT DURATION TOTAL RETURN TACTICAL
ETF
Schedule of Investments (continued)
September 30, 2023 (Unaudited)
The following table summarizes
the value of the Fund's investments according to the fair value hierarchy as of September 30, 2023.
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
|
Affiliate Table
| 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
|
See accompanying notes to Schedule of
Investments.
115
SPDR SSGA FIXED INCOME SECTOR ROTATION ETF
Schedule of Investments
September 30, 2023 (Unaudited)
Security Description
|
|
| Shares
|
| Value
|
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS — 99.8%
|
|
|
|
DOMESTIC FIXED INCOME — 99.8%
|
|
SPDR Bloomberg High Yield Bond ETF (a)(b)
|
|
| 54,904
|
| $4,963,322
|
SPDR Bloomberg International Treasury Bond ETF (a)(b)
|
|
| 625,468
|
| 13,284,940
|
SPDR Portfolio Intermediate Term Corporate Bond ETF (a)(b)
|
|
| 574,161
|
| 18,057,363
|
SPDR Portfolio Intermediate Term Treasury ETF (a)(b)
|
|
| 2,636,920
|
| 72,594,407
|
SPDR Portfolio Long Term Corporate Bond ETF (a)
|
|
| 152,833
|
| 3,246,173
|
SPDR Portfolio Long Term Treasury ETF (a)
|
|
| 368,092
|
| 9,625,606
|
SPDR Portfolio Mortgage-Backed Bond ETF (a)
|
|
| 2,510,607
|
| 52,220,626
|
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS
(Cost $183,903,627)
|
| 173,992,437
|
|
SHORT-TERM INVESTMENTS — 23.9%
|
|
|
|
State Street Institutional U.S. Government Money Market Fund, Class G Shares 5.33% (c)(d)
|
|
| 330,931
|
| 330,931
|
State Street Navigator Securities Lending Portfolio II (e)(f)
|
|
| 41,296,327
|
| 41,296,327
|
TOTAL SHORT-TERM INVESTMENTS
(Cost $41,627,258)
|
|
|
|
| $41,627,258
|
TOTAL INVESTMENTS — 123.7%
(Cost $225,530,885)
|
|
|
|
| 215,619,695
|
LIABILITIES IN EXCESS OF OTHER ASSETS — (23.7)%
|
|
|
|
| (41,328,504)
|
NET ASSETS — 100.0%
|
|
|
|
| $174,291,191
|
The Fund invests in other funds and financial statements of underlying funds can be found at www.sec.gov.
|
|
(a)
| Affiliated fund managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended September 30, 2023 are shown in the Affiliate Table below.
|
(b)
| All or a portion of the shares of the security are on loan at September 30, 2023.
|
(c)
| The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended September 30, 2023 are shown in
the Affiliate Table below.
|
(d)
| The rate shown is the annualized seven-day yield at September 30, 2023.
|
(e)
| The Fund invested in an affiliated entity. Amounts related to these transactions during the period ended September 30, 2023 are shown in the Affiliate Table below.
|
(f)
| Investment of cash collateral for securities loaned.
|
The following table
summarizes the value of the Fund's investments according to the fair value hierarchy as of September 30, 2023.
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
|
See accompanying notes to Schedule of
Investments.
116
SPDR SSGA FIXED INCOME SECTOR ROTATION ETF
Schedule of Investments (continued)
September 30, 2023 (Unaudited)
Affiliate Table
| 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
|
See accompanying notes to Schedule of
Investments.
117
SPDR SSGA US SECTOR ROTATION ETF
Schedule of Investments
September 30, 2023 (Unaudited)
Security Description
|
|
| Shares
|
| Value
|
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS — 100.0%
|
|
|
|
DOMESTIC EQUITY — 100.0%
|
|
The Consumer Discretionary Select Sector SPDR Fund (a)
|
|
| 343,935
|
| $55,366,656
|
The Communication Services Select Sector SPDR Fund (a)(b)
|
|
| 500,219
|
| 32,799,360
|
The Consumer Staples Select Sector SPDR Fund (a)(b)
|
|
| 155,622
|
| 10,708,350
|
The Energy Select Sector SPDR Fund (a)
|
|
| 183,304
|
| 16,568,849
|
The Financial Select Sector SPDR Fund (a)(b)
|
|
| 957,064
|
| 31,745,813
|
The Health Care Select Sector SPDR Fund (a)(b)
|
|
| 315,460
|
| 40,612,320
|
The Industrial Select Sector SPDR Fund (a)(b)
|
|
| 345,414
|
| 35,018,071
|
The Materials Select Sector SPDR Fund (a)(b)
|
|
| 125,650
|
| 9,869,808
|
The Technology Select Sector SPDR Fund (a)(b)
|
|
| 465,297
|
| 76,276,137
|
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS
(Cost $299,846,843)
|
| 308,965,364
|
|
SHORT-TERM INVESTMENTS — 26.7%
|
|
|
|
State Street Institutional U.S. Government Money Market Fund, Class G Shares 5.33% (c)(d)
|
|
| 105,356
|
| $105,356
|
Security Description
|
|
| Shares
|
| Value
|
State Street Navigator Securities Lending Portfolio II (e)(f)
|
|
| 82,364,325
|
| $82,364,325
|
TOTAL SHORT-TERM INVESTMENTS
(Cost $82,469,681)
|
|
|
|
| $82,469,681
|
TOTAL INVESTMENTS — 126.7%
(Cost $382,316,524)
|
|
|
|
| 391,435,045
|
LIABILITIES IN EXCESS OF OTHER ASSETS — (26.7)%
|
|
|
|
| (82,487,635)
|
NET ASSETS — 100.0%
|
|
|
|
| $308,947,410
|
The Fund invests in other funds and financial statements of underlying funds can be found at www.sec.gov.
|
|
(a)
| Affiliated fund managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended September 30, 2023 are shown in the Affiliate Table below.
|
(b)
| All or a portion of the shares of the security are on loan at September 30, 2023.
|
(c)
| The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended September 30, 2023 are shown in
the Affiliate Table below.
|
(d)
| The rate shown is the annualized seven-day yield at September 30, 2023.
|
(e)
| The Fund invested in an affiliated entity. Amounts related to these transactions during the period ended September 30, 2023 are shown in the Affiliate Table below.
|
(f)
| Investment of cash collateral for securities loaned.
|
The following table
summarizes the value of the Fund's investments according to the fair value hierarchy as of September 30, 2023.
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
|
See accompanying notes to Schedule of
Investments.
118
SPDR SSGA US SECTOR ROTATION ETF
Schedule of Investments (continued)
September 30, 2023 (Unaudited)
Affiliate Table
| 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
|
See accompanying notes to Schedule of
Investments.
119
SPDR NUVEEN MUNICIPAL BOND ETF
Schedule of Investments
September 30, 2023 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
MUNICIPAL BONDS & NOTES — 99.3%
|
|
|
|
ALABAMA — 2.2%
|
|
|
|
|
Black Belt Energy Gas District Revenue, AL
Series B, 4.00%, 10/1/2052 (a)
|
| $500,000
|
| $485,990
|
Southeast Energy Authority A Cooperative District Revenue, AL
Series B, 4.00%, 12/1/2051 (a)
|
| 500,000
|
| 465,043
|
|
|
|
|
| 951,033
|
ARIZONA — 2.9%
|
|
|
|
|
Chandler Industrial Development Authority Revenue, AZ
3.80%, 12/1/2035 (a)
|
| 750,000
|
| 736,021
|
Maricopa County Industrial Development Authority Revenue, AZ
AMT, 4.00%, 10/15/2047 (b)
|
| 100,000
|
| 80,585
|
Maricopa County Pollution Control Corp. Revenue, AZ
Series B, 0.88%, 6/1/2043 (a)
|
| 500,000
|
| 436,023
|
|
|
|
|
| 1,252,629
|
ARKANSAS — 1.1%
|
|
|
|
|
Arkansas Development Finance Authority Revenue, AR
AMT, 5.45%, 9/1/2052
|
| 525,000
|
| 488,269
|
CALIFORNIA — 5.9%
|
|
|
|
|
Anaheim Public Financing Authority Revenue, CA
Series C, AGM, Zero Coupon, 9/1/2036 (c)
|
| 320,000
|
| 186,681
|
California Community Choice Financing Authority Revenue, CA
Series E-1, 5.00%, 2/1/2054 (a)
|
| 500,000
|
| 504,399
|
California Housing Finance Agency Revenue, CA
Series 2021-1, Class A, 3.50%, 11/20/2035
|
| 173,308
|
| 151,981
|
Municipal Improvement Corp. of Los Angeles Revenue, CA
Series A, 1.45%, 11/1/2027
|
| 540,000
|
| 463,698
|
Norman Y Mineta San Jose International Airport SJC Revenue, CA
Series A, AMT, 5.00%, 3/1/2037
|
| 210,000
|
| 212,372
|
Orange County Community Facilities District, Special Tax Revenue, CA
Series A, 5.00%, 8/15/2037
|
| 250,000
|
| 251,059
|
Palomar Health, General Obligation, CA
Series A, AGC, Zero Coupon, 8/1/2027
|
| 100,000
|
| 85,714
|
San Francisco City & County Airport Comm-San Francisco International Airport Revenue, CA
Series H, AMT, 5.00%, 5/1/2028
|
| 175,000
|
| 181,378
|
Security Description
|
|
| Principal
Amount
|
| Value
|
University of California Revenue, CA
Series BI, 1.37%, 5/15/2028
|
| $595,000
|
| $502,911
|
|
|
|
|
| 2,540,193
|
COLORADO — 4.4%
|
|
|
|
|
City & County of Denver Airport System Revenue, CO
Series B2, AMT, 5.00%, 11/15/2031 (a)
|
| 400,000
|
| 403,823
|
Denver Convention Center Hotel Authority Revenue, CO
5.00%, 12/1/2030
|
| 400,000
|
| 401,511
|
Park Creek Metropolitan District Revenue, CO
Series A, Class A, 5.00%, 12/1/2024
|
| 575,000
|
| 580,094
|
State of Colorado, Certificate Participation, CO
Series A, Class A, 4.00%, 12/15/2036
|
| 500,000
|
| 486,451
|
|
|
|
|
| 1,871,879
|
CONNECTICUT — 2.1%
|
|
|
|
|
Connecticut State Health & Educational Facilities Authority Revenue, CT
Series A, 5.00%, 7/1/2027
|
| 120,000
|
| 120,556
|
South Central Connecticut Regional Water Authority Revenue, CT
Series B, 5.00%, 8/1/2037
|
| 125,000
|
| 127,586
|
State of Connecticut, General Obligation, CT
Series F, 5.00%, 11/15/2041
|
| 610,000
|
| 638,999
|
|
|
|
|
| 887,141
|
FLORIDA — 8.0%
|
|
|
|
|
County of Miami-Dade Aviation Revenue, FL
Series A, AMT, 5.00%, 10/1/2029
|
| 210,000
|
| 209,850
|
County of Miami-Dade Seaport Department Revenue, FL
Series A, AMT, 5.00%, 10/1/2038
|
| 375,000
|
| 377,895
|
County of Miami-Dade Water & Sewer System Revenue, FL
3.00%, 10/1/2036
|
| 530,000
|
| 450,083
|
Florida Development Finance Corp. Revenue, FL:
|
|
|
|
|
AMT, 6.13%, 7/1/2032 (a) (b)
|
| 300,000
|
| 298,363
|
Series A, Class A, AMT, VRN, 7.25%, 7/1/2057 (a) (b)
|
| 540,000
|
| 561,600
|
8.00%, 7/1/2057 (a) (b)
|
| 540,000
|
| 534,596
|
State of Florida Department of Transportation Revenue, FL
Series A, 5.00%, 7/1/2025
|
| 1,000,000
|
| 1,017,785
|
|
|
|
|
| 3,450,172
|
See accompanying notes to Schedule of
Investments.
120
SPDR NUVEEN MUNICIPAL BOND ETF
Schedule of Investments (continued)
September 30, 2023 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
GEORGIA — 4.1%
|
|
|
|
|
Main Street Natural Gas, Inc. Revenue, GA:
|
|
|
|
|
5.00%, 12/1/2053 (a)
|
| $600,000
|
| $606,811
|
5.00%, 12/1/2054 (a)
|
| 565,000
|
| 559,722
|
Municipal Electric Authority of Georgia Revenue, GA
Series B, 5.00%, 1/1/2048
|
| 605,000
|
| 579,320
|
|
|
|
|
| 1,745,853
|
GUAM — 0.7%
|
|
|
|
|
Territory of Guam Revenue, GU
Series A, 5.00%, 11/1/2035
|
| 300,000
|
| 296,208
|
HAWAII — 2.2%
|
|
|
|
|
State of Hawaii, General Obligation, HI
Series EY, 5.00%, 10/1/2027
|
| 905,000
|
| 924,221
|
ILLINOIS — 9.3%
|
|
|
|
|
Chicago Board of Education, General Obligation, IL:
|
|
|
|
|
Series A, 5.00%, 12/1/2035
|
| 300,000
|
| 298,986
|
Series A, 5.00%, 12/1/2036
|
| 300,000
|
| 295,093
|
Chicago O'Hare International Airport Revenue, IL:
|
|
|
|
|
BAM, 5.00%, 1/1/2038
|
| 250,000
|
| 256,261
|
Series B, 5.00%, 1/1/2029
|
| 160,000
|
| 161,378
|
Illinois Finance Authority Revenue, IL
5.00%, 7/1/2039
|
| 230,000
|
| 238,961
|
Illinois State Toll Highway Authority Revenue, IL
Series B, 5.00%, 1/1/2036
|
| 900,000
|
| 900,776
|
Northern Illinois Municipal Power Agency Revenue, IL
Series A, 5.00%, 12/1/2029
|
| 360,000
|
| 370,806
|
State of Illinois Sales Tax Revenue, IL
Series C, 5.00%, 6/15/2026
|
| 565,000
|
| 576,924
|
State of Illinois, General Obligation, IL:
|
|
|
|
|
Series D, 3.25%, 11/1/2026
|
| 100,000
|
| 96,378
|
Series A, 4.00%, 3/1/2038
|
| 730,000
|
| 660,797
|
Series A, 5.00%, 12/1/2031
|
| 150,000
|
| 153,684
|
|
|
|
|
| 4,010,044
|
IOWA — 0.4%
|
|
|
|
|
Iowa Finance Authority Revenue, IA
4.00%, 12/1/2050 (a)
|
| 200,000
|
| 186,410
|
KENTUCKY — 1.0%
|
|
|
|
|
Kentucky Economic Development Finance Authority Revenue, KY
Series A, 4.25%, 7/1/2035
|
| 450,000
|
| 424,155
|
Security Description
|
|
| Principal
Amount
|
| Value
|
LOUISIANA — 2.5%
|
|
|
|
|
Louisiana Local Government Environmental Facilities & Community Development Authority Revenue, LA
Series B, 5.00%, 8/15/2025
|
| $250,000
|
| $254,342
|
Louisiana Stadium & Exposition District Revenue, LA
Series A, 5.00%, 7/1/2039
|
| 800,000
|
| 831,836
|
|
|
|
|
| 1,086,178
|
MARYLAND — 1.1%
|
|
|
|
|
State of Maryland Department of Transportation Revenue, MD:
|
|
|
|
|
Series B, Class B, AMT, 5.00%, 8/1/2030
|
| 200,000
|
| 207,758
|
Series B, Class B, AMT, 5.00%, 8/1/2031
|
| 250,000
|
| 260,857
|
|
|
|
|
| 468,615
|
MICHIGAN — 6.0%
|
|
|
|
|
Michigan Finance Authority Revenue, MI:
|
|
|
|
|
5.00%, 11/1/2034
|
| 110,000
|
| 114,425
|
5.50%, 12/1/2026
|
| 700,000
|
| 715,541
|
Michigan State Housing Development Authority Revenue, MI
Series A, 4.70%, 12/1/2043
|
| 750,000
|
| 729,378
|
Southfield Public Schools, General Obligation, MI
5.00%, 5/1/2046
|
| 1,000,000
|
| 1,019,122
|
|
|
|
|
| 2,578,466
|
MINNESOTA — 0.3%
|
|
|
|
|
State of Minnesota, General Obligation, MN
Series A, Class A, 5.00%, 8/1/2035
|
| 100,000
|
| 105,316
|
MISSOURI — 3.7%
|
|
|
|
|
City of Kansas City Sanitary Sewer System Revenue, MO
Series A, Class A, 4.00%, 1/1/2036
|
| 600,000
|
| 584,802
|
City of St. Louis Airport Revenue, MO
Series C, 5.00%, 7/1/2029
|
| 100,000
|
| 106,552
|
Park Hill School District of Platte County, General Obligation, MO
3.00%, 3/1/2032
|
| 1,000,000
|
| 887,832
|
|
|
|
|
| 1,579,186
|
NEBRASKA — 1.4%
|
|
|
|
|
Central Plains Energy Project Revenue, NE:
|
|
|
|
|
5.00%, 3/1/2050 (a)
|
| 300,000
|
| 301,013
|
5.00%, 5/1/2054 (a)
|
| 275,000
|
| 278,198
|
|
|
|
|
| 579,211
|
See accompanying notes to Schedule of
Investments.
121
SPDR NUVEEN MUNICIPAL BOND ETF
Schedule of Investments (continued)
September 30, 2023 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
NEVADA — 1.2%
|
|
|
|
|
Las Vegas Valley Water District, General Obligation, NV
5.00%, 6/1/2039
|
| $500,000
|
| $503,027
|
NEW JERSEY — 3.0%
|
|
|
|
|
New Jersey Economic Development Authority Revenue, NJ
5.00%, 6/15/2031
|
| 1,000,000
|
| 1,053,790
|
New Jersey Transportation Trust Fund Authority Revenue, NJ
Series A, Class A, 5.00%, 6/15/2025
|
| 245,000
|
| 248,512
|
|
|
|
|
| 1,302,302
|
NEW MEXICO — 2.1%
|
|
|
|
|
New Mexico Hospital Equipment Loan Council Revenue, NM
Series A, 4.00%, 8/1/2039
|
| 1,000,000
|
| 915,945
|
NEW YORK — 3.4%
|
|
|
|
|
City of New York, General Obligation, NY
Series A-1, 4.00%, 8/1/2037
|
| 1,000,000
|
| 956,436
|
New York City Transitional Finance Authority Future Tax Secured Revenue, NY:
|
|
|
|
|
Series A-1, 5.00%, 11/1/2023
|
| 10,000
|
| 10,007
|
Series B1, 5.00%, 8/1/2027
|
| 120,000
|
| 120,814
|
New York State Dormitory Authority Revenue, NY
Series B, 5.00%, 2/15/2034
|
| 300,000
|
| 300,616
|
Triborough Bridge & Tunnel Authority Revenue, NY
Series A, 5.00%, 11/1/2025
|
| 85,000
|
| 87,165
|
|
|
|
|
| 1,475,038
|
OREGON — 3.9%
|
|
|
|
|
Medford Hospital Facilities Authority Revenue, OR
Series A, 5.00%, 8/15/2032
|
| 900,000
|
| 942,692
|
Washington & Clackamas Counties School District No. 23J Tigard-Tualatin, General Obligation, OR
Series A, 5.00%, 6/15/2038
|
| 695,000
|
| 723,319
|
|
|
|
|
| 1,666,011
|
PENNSYLVANIA — 6.5%
|
|
|
|
|
City of Philadelphia Airport Revenue, PA
Series B, Class B, AMT, 5.00%, 7/1/2032
|
| 750,000
|
| 762,989
|
Commonwealth Financing Authority Revenue, PA
AGM, 4.00%, 6/1/2039 (c)
|
| 550,000
|
| 498,575
|
Security Description
|
|
| Principal
Amount
|
| Value
|
Pennsylvania Economic Development Financing Authority Revenue, PA
Series A, Class A, 5.00%, 2/1/2025
|
| $100,000
|
| $100,766
|
Pennsylvania State University Revenue, PA
Series B, 5.00%, 9/1/2033
|
| 600,000
|
| 617,840
|
Pennsylvania Turnpike Commission Revenue, PA
Series B, Class B, 5.00%, 12/1/2031
|
| 800,000
|
| 822,861
|
|
|
|
|
| 2,803,031
|
TENNESSEE — 2.2%
|
|
|
|
|
New Memphis Arena Public Building Authority Revenue, TN
Zero Coupon, 4/1/2030
|
| 530,000
|
| 454,099
|
Tennergy Corp. Revenue, TN
Series A, 5.00%, 2/1/2050 (a)
|
| 500,000
|
| 501,286
|
|
|
|
|
| 955,385
|
TEXAS — 7.2%
|
|
|
|
|
Austin Independent School District, General Obligation, TX
5.00%, 8/1/2036
|
| 500,000
|
| 541,973
|
Central Texas Turnpike System Revenue, TX
Series B, 5.00%, 8/15/2037
|
| 525,000
|
| 526,040
|
Forney Independent School District, General Obligation, TX
Series B, 5.00%, 8/15/2039 (c)
|
| 425,000
|
| 447,199
|
Harris County-Houston Sports Authority Revenue, TX
Series A, 5.00%, 11/15/2029
|
| 505,000
|
| 508,328
|
New Hope Cultural Education Facilities Finance Corp. Revenue, TX
Series A1, 5.50%, 1/1/2057
|
| 465,000
|
| 315,931
|
Plano Independent School District, General Obligation, TX
Series A, 5.00%, 2/15/2027 (c)
|
| 215,000
|
| 221,137
|
Texas Private Activity Bond Surface Transportation Corp. Revenue, TX
5.50%, 12/31/2058
|
| 500,000
|
| 509,108
|
|
|
|
|
| 3,069,716
|
UTAH — 2.5%
|
|
|
|
|
City of Salt Lake City Airport Revenue, UT
Series A, 5.25%, 7/1/2038
|
| 375,000
|
| 394,772
|
Vineyard Redevelopment Agency, Special Obligation, UT:
|
|
|
|
|
AGM, 5.00%, 5/1/2024 (c)
|
| 350,000
|
| 351,968
|
AGM, 5.00%, 5/1/2027 (c)
|
| 325,000
|
| 337,573
|
|
|
|
|
| 1,084,313
|
See accompanying notes to Schedule of
Investments.
122
SPDR NUVEEN MUNICIPAL BOND ETF
Schedule of Investments (continued)
September 30, 2023 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
VIRGINIA — 1.1%
|
|
|
|
|
Virginia Small Business Financing Authority Revenue, VA:
|
|
|
|
|
AMT, 5.00%, 6/30/2039
|
| $125,000
|
| $125,182
|
AMT, 5.00%, 12/31/2039
|
| 355,000
|
| 355,516
|
|
|
|
|
| 480,698
|
WASHINGTON — 4.5%
|
|
|
|
|
Energy Northwest Revenue, WA
Series A, 5.00%, 7/1/2039
|
| 300,000
|
| 318,293
|
Port of Seattle Revenue, WA
Series C, AMT, 5.00%, 4/1/2035
|
| 750,000
|
| 751,740
|
State of Washington, General Obligation, WA:
|
|
|
|
|
Series D, Class D, 5.00%, 2/1/2036
|
| 700,000
|
| 701,541
|
Series 2017-A, 5.00%, 8/1/2029
|
| 150,000
|
| 155,038
|
|
|
|
|
| 1,926,612
|
WISCONSIN — 2.4%
|
|
|
|
|
Public Finance Authority Revenue, WI
Series A, 6.00%, 6/15/2052
|
| 250,000
|
| 219,768
|
Wisconsin Health & Educational Facilities Authority Revenue, WI
Series A, 3.00%, 10/15/2037
|
| 425,000
|
| 332,635
|
Wisconsin Housing & Economic Development Authority Housing Revenue, WI
Series A, 2.05%, 11/1/2036
|
| 700,000
|
| 497,432
|
|
|
|
|
| 1,049,835
|
TOTAL MUNICIPAL BONDS & NOTES
(Cost $45,982,552)
|
| 42,657,092
|
|
|
| Shares
|
|
SHORT-TERM INVESTMENT — 0.7%
|
|
State Street Institutional U.S. Government Money Market Fund, Class G Shares 5.33% (d) (e)
(Cost $315,317)
| 315,317
| 315,317
|
TOTAL INVESTMENTS — 100.0%
(Cost $46,297,869)
| 42,972,409
|
LIABILITIES IN EXCESS OF OTHER ASSETS — (0.0)% (f)
| (18,311)
|
NET ASSETS — 100.0%
| $42,954,098
|
(a)
| Variable Rate Security - Interest rate shown is rate in effect at September 30, 2023. For securities based on a published reference rate and spread, the reference rate and spread are
indicated in the description above.
|
(b)
| Securities purchased pursuant to Rule 144A of the Securities Act of 1933, as amended. These securities, which represent 3.4% of net assets as of September 30, 2023, are considered
liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers.
|
(c)
| Bond is insured by the following:
|
| % of
Net Assets
|
Assured Guaranty Municipal Corp.
| 3.2%
|
Permanent School Fund Guaranteed
| 1.5%
|
(d)
| The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended September 30, 2023 are shown in
the Affiliate Table below.
|
(e)
| The rate shown is the annualized seven-day yield at September 30, 2023.
|
(f)
| Amount is less than 0.05% of net assets.
|
AMT
| Alternative Minimum Tax
|
VRN
| Variable Rate Note
|
See accompanying notes to Schedule of
Investments.
123
SPDR NUVEEN MUNICIPAL BOND ETF
Schedule of Investments (continued)
September 30, 2023 (Unaudited)
The following table summarizes
the value of the Fund's investments according to the fair value hierarchy as of September 30, 2023.
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
|
Affiliate Table
| 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
|
See accompanying notes to Schedule of
Investments.
124
SPDR NUVEEN MUNICIPAL BOND ESG ETF
Schedule of Investments
September 30, 2023 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
U.S. TREASURY OBLIGATIONS — 0.7%
|
|
|
|
|
|
U.S. Treasury Bills Zero Coupon, 11/28/2023
(Cost $247,873)
|
|
| $250,000
|
| $247,891
|
MUNICIPAL BONDS & NOTES — 98.8%
|
|
|
|
ARIZONA — 0.6%
|
|
|
|
|
City of Phoenix Civic Improvement Corp. Revenue, AZ
Series D, Class D, 5.00%, 7/1/2030
|
| 215,000
|
| 223,714
|
CALIFORNIA — 7.6%
|
|
|
|
|
California Community Choice Financing Authority Revenue, CA
Series D, 5.50%, 5/1/2054 (a)
|
| 600,000
|
| 617,437
|
California Municipal Finance Authority Revenue, CA
Series A, Class A, 5.00%, 11/1/2023
|
| 600,000
|
| 600,011
|
Compton Unified School District, General Obligation, CA
Series B, Class B, BAM, 4.00%, 6/1/2032
|
| 175,000
|
| 175,424
|
Folsom Ranch Financing Authority, Special Tax Revenue, CA
5.00%, 9/1/2029
|
| 145,000
|
| 147,342
|
Los Angeles Department of Water & Power Revenue, CA
Series E, 5.00%, 7/1/2039
|
| 600,000
|
| 601,410
|
Orange County Community Facilities District, Special Tax Revenue, CA
Series A, Class A, 5.00%, 8/15/2052
|
| 200,000
|
| 187,885
|
San Francisco Unified School District, General Obligation, CA
4.00%, 6/15/2026
|
| 185,000
|
| 187,330
|
San Mateo Foster City Public Financing Authority Revenue, CA
4.00%, 8/1/2035
|
| 175,000
|
| 177,519
|
|
|
|
|
| 2,694,358
|
COLORADO — 3.1%
|
|
|
|
|
Regional Transportation District Revenue, CO
Series A, Class A, 5.00%, 7/15/2027
|
| 500,000
|
| 513,544
|
State of Colorado, Certificate Participation, CO
Series A, Class A, 4.00%, 12/15/2036
|
| 615,000
|
| 598,335
|
|
|
|
|
| 1,111,879
|
CONNECTICUT — 2.9%
|
|
|
|
|
State of Connecticut, General Obligation, CT
Series F, 5.00%, 11/15/2041
|
| 610,000
|
| 638,999
|
Security Description
|
|
| Principal
Amount
|
| Value
|
University of Connecticut Revenue, CT
Series A, Class A, 5.00%, 4/15/2026
|
| $380,000
|
| $392,453
|
|
|
|
|
| 1,031,452
|
DELAWARE — 0.5%
|
|
|
|
|
Delaware Transportation Authority Revenue, DE
3.25%, 7/1/2025
|
| 180,000
|
| 177,181
|
DISTRICT OF COLUMBIA — 2.7%
|
|
|
|
|
District of Columbia Revenue, DC
Series A, Class A, AMT, 5.00%, 8/31/2026
|
| 700,000
|
| 711,086
|
Washington Metropolitan Area Transit Authority Revenue, DC
5.00%, 7/1/2024
|
| 250,000
|
| 251,992
|
|
|
|
|
| 963,078
|
FLORIDA — 9.0%
|
|
|
|
|
City of Gainesville Utilities System Revenue, FL
Series A, 5.00%, 10/1/2025
|
| 290,000
|
| 296,441
|
City of Pompano Beach Revenue, FL
3.50%, 9/1/2030
|
| 250,000
|
| 221,830
|
City of Tallahassee Utility System Revenue, FL
Series A, 5.00%, 10/1/2037
|
| 560,000
|
| 563,948
|
Florida Development Finance Corp. Revenue, FL:
|
|
|
|
|
4.00%, 11/15/2034
|
| 385,000
|
| 360,560
|
Series A, Class A, 4.00%, 6/15/2042
|
| 500,000
|
| 404,289
|
Series A, Class A, AMT, VRN, 7.25%, 7/1/2057 (a) (b)
|
| 300,000
|
| 312,000
|
8.00%, 7/1/2057 (a) (b)
|
| 300,000
|
| 296,998
|
Miami-Dade County Expressway Authority Revenue, FL
Series A, Class A, 5.00%, 7/1/2025
|
| 100,000
|
| 100,646
|
Orlando Utilities Commission Revenue, FL
Series A, 5.00%, 10/1/2027
|
| 150,000
|
| 158,202
|
Palm Beach County Health Facilities Authority Revenue, FL
5.00%, 11/15/2032
|
| 100,000
|
| 100,481
|
Somerset Community Development District, Special Assessment, FL:
|
|
|
|
|
4.00%, 5/1/2032
|
| 200,000
|
| 182,975
|
4.20%, 5/1/2037
|
| 200,000
|
| 174,478
|
|
|
|
|
| 3,172,848
|
IDAHO — 2.5%
|
|
|
|
|
Idaho Housing & Finance Association Revenue, ID
Series A, 4.00%, 8/15/2048
|
| 1,000,000
|
| 877,498
|
See accompanying notes to Schedule of
Investments.
125
SPDR NUVEEN MUNICIPAL BOND ESG ETF
Schedule of Investments (continued)
September 30, 2023 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
ILLINOIS — 5.2%
|
|
|
|
|
Chicago O'Hare International Airport Revenue, IL:
|
|
|
|
|
BAM, 5.00%, 1/1/2038
|
| $250,000
|
| $256,261
|
Series C, AMT, 5.00%, 1/1/2034
|
| 400,000
|
| 416,371
|
Illinois Finance Authority Revenue, IL
5.00%, 7/1/2036
|
| 270,000
|
| 288,841
|
Illinois State Toll Highway Authority Revenue, IL:
|
|
|
|
|
Series B, 5.00%, 1/1/2036
|
| 600,000
|
| 600,518
|
Series B, 5.00%, 1/1/2027
|
| 140,000
|
| 145,540
|
State of Illinois, General Obligation, IL
5.50%, 1/1/2028
|
| 130,000
|
| 137,388
|
|
|
|
|
| 1,844,919
|
IOWA — 0.8%
|
|
|
|
|
Iowa Finance Authority Revenue, IA
4.00%, 12/1/2050 (a)
|
| 300,000
|
| 279,615
|
MAINE — 0.3%
|
|
|
|
|
City of Auburn, General Obligation, ME
5.00%, 9/1/2024
|
| 100,000
|
| 101,065
|
MARYLAND — 2.8%
|
|
|
|
|
Maryland Economic Development Corp. Revenue, MD
Series B, Class B, AMT, 5.00%, 12/31/2036
|
| 425,000
|
| 425,446
|
State of Maryland, General Obligation, MD
Series B, Class B, 5.00%, 8/1/2027
|
| 400,000
|
| 421,878
|
Washington Suburban Sanitary Commission Revenue, MD
5.00%, 6/1/2027
|
| 150,000
|
| 157,760
|
|
|
|
|
| 1,005,084
|
MASSACHUSETTS — 0.7%
|
|
|
|
|
Massachusetts Development Finance Agency Revenue, MA
Series A-2, 5.00%, 7/1/2027
|
| 250,000
|
| 261,778
|
MICHIGAN — 2.1%
|
|
|
|
|
Michigan State Housing Development Authority Revenue, MI
Series A, 4.70%, 12/1/2043
|
| 750,000
|
| 729,378
|
MINNESOTA — 2.2%
|
|
|
|
|
City of Minneapolis/St. Paul Housing & Redevelopment Authority Revenue, MN
Series A, Class A, 5.00%, 11/15/2026
|
| 435,000
|
| 449,177
|
Security Description
|
|
| Principal
Amount
|
| Value
|
Minneapolis-St. Paul Metropolitan Airports Commission Revenue, MN
Series B, Class B, AMT, 5.00%, 1/1/2034
|
| $300,000
|
| $312,279
|
|
|
|
|
| 761,456
|
MISSOURI — 1.7%
|
|
|
|
|
City of Kansas City Sanitary Sewer System Revenue, MO
Series A, Class A, 4.00%, 1/1/2036
|
| 600,000
|
| 584,802
|
NEVADA — 1.4%
|
|
|
|
|
Las Vegas Valley Water District, General Obligation, NV
5.00%, 6/1/2039
|
| 500,000
|
| 503,027
|
NEW JERSEY — 3.6%
|
|
|
|
|
Hudson County Improvement Authority Revenue, NJ
3.00%, 10/1/2034
|
| 160,000
|
| 138,565
|
New Jersey Economic Development Authority Revenue, NJ:
|
|
|
|
|
Series MMM, 5.00%, 6/15/2033
|
| 180,000
|
| 188,910
|
Series QQQ, 5.00%, 6/15/2033
|
| 275,000
|
| 290,509
|
New Jersey Transportation Trust Fund Authority Revenue, NJ
Series CC, 5.25%, 6/15/2036
|
| 300,000
|
| 323,876
|
State of New Jersey, General Obligation, NJ
Series A, Class A, 5.00%, 6/1/2027
|
| 330,000
|
| 345,222
|
|
|
|
|
| 1,287,082
|
NEW YORK — 9.3%
|
|
|
|
|
City of New York, General Obligation, NY:
|
|
|
|
|
Series E1, 5.00%, 4/1/2039
|
| 300,000
|
| 313,630
|
Series A, 5.00%, 8/1/2025
|
| 105,000
|
| 107,301
|
Series A-1, 5.00%, 9/1/2034
|
| 400,000
|
| 434,328
|
Hudson Yards Infrastructure Corp. Revenue, NY
Series A, 5.00%, 2/15/2030
|
| 300,000
|
| 311,984
|
Metropolitan Transportation Authority Revenue, NY:
|
|
|
|
|
Series E, Class E, 3.50%, 11/15/2032
|
| 230,000
|
| 209,716
|
Series A, 5.00%, 11/15/2037
|
| 575,000
|
| 612,678
|
New York City Transitional Finance Authority Building Aid Revenue, NY
Series S1A, Class A, 5.00%, 7/15/2038
|
| 475,000
|
| 495,481
|
New York City Transitional Finance Authority Future Tax Secured Revenue, NY
Series F-1, 5.00%, 11/1/2034
|
| 250,000
|
| 268,507
|
See accompanying notes to Schedule of
Investments.
126
SPDR NUVEEN MUNICIPAL BOND ESG ETF
Schedule of Investments (continued)
September 30, 2023 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
New York Transportation Development Corp. Revenue, NY:
|
|
|
|
|
AMT, 5.00%, 12/1/2036
|
| $250,000
|
| $252,685
|
AMT, 5.00%, 12/1/2037
|
| 300,000
|
| 300,432
|
|
|
|
|
| 3,306,742
|
NORTH CAROLINA — 1.0%
|
|
|
|
|
County of Durham Revenue, NC
Series A, 5.00%, 6/1/2042
|
| 320,000
|
| 337,706
|
OKLAHOMA — 3.3%
|
|
|
|
|
Carter County Public Facilities Authority Revenue, OK
5.00%, 9/1/2028
|
| 200,000
|
| 203,573
|
Grand River Dam Authority Revenue, OK
Series A, Class A, 5.00%, 6/1/2039
|
| 700,000
|
| 699,693
|
Muskogee Industrial Trust Revenue, OK
4.00%, 9/1/2032
|
| 100,000
|
| 90,405
|
Norman Regional Hospital Authority Revenue, OK
4.00%, 9/1/2037
|
| 230,000
|
| 188,041
|
|
|
|
|
| 1,181,712
|
OREGON — 4.1%
|
|
|
|
|
Medford Hospital Facilities Authority Revenue, OR
Series A, 5.00%, 8/15/2037
|
| 745,000
|
| 763,288
|
Warm Springs Reservation Confederated Tribe Revenue, OR
Series B, 5.00%, 11/1/2039 (b)
|
| 650,000
|
| 668,899
|
|
|
|
|
| 1,432,187
|
PENNSYLVANIA — 4.1%
|
|
|
|
|
Pennsylvania Economic Development Financing Authority Revenue, PA:
|
|
|
|
|
Series A-2, Class A, 4.00%, 5/15/2053
|
| 250,000
|
| 204,489
|
4.60%, 10/1/2046 (a)
|
| 750,000
|
| 749,759
|
Pennsylvania Turnpike Commission Revenue, PA
5.00%, 6/1/2027
|
| 500,000
|
| 508,759
|
|
|
|
|
| 1,463,007
|
TENNESSEE — 0.6%
|
|
|
|
|
Tennessee Housing Development Agency Revenue, TN
Series 2A, 4.15%, 7/1/2038
|
| 250,000
|
| 226,429
|
TEXAS — 9.7%
|
|
|
|
|
Board of Regents of the University of Texas System Revenue, TX
Series B, 5.00%, 8/15/2029
|
| 425,000
|
| 455,901
|
City of Dallas, General Obligation, TX
AGM, 3.13%, 2/15/2035 (c)
|
| 950,000
|
| 829,352
|
Security Description
|
|
| Principal
Amount
|
| Value
|
City of Garland Electric Utility System Revenue, TX
5.00%, 3/1/2024
|
| $300,000
|
| $301,081
|
Love Field Airport Modernization Corp. Revenue, TX
AMT, 5.00%, 11/1/2034
|
| 105,000
|
| 106,389
|
Lower Colorado River Authority Revenue, TX
Series B, 5.00%, 5/15/2039 (a)
|
| 590,000
|
| 612,572
|
Texas Private Activity Bond Surface Transportation Corp. Revenue, TX
5.50%, 12/31/2058
|
| 500,000
|
| 509,109
|
Texas Woman's University Revenue, TX
Series A, Class A, 5.00%, 7/1/2037
|
| 585,000
|
| 616,177
|
|
|
|
|
| 3,430,581
|
UTAH — 1.1%
|
|
|
|
|
City of Salt Lake City Airport Revenue, UT
Series A, 5.25%, 7/1/2038
|
| 375,000
|
| 394,772
|
VIRGINIA — 3.5%
|
|
|
|
|
Chesapeake Bay Bridge & Tunnel District Revenue, VA
5.00%, 11/1/2023
|
| 610,000
|
| 610,228
|
Hampton Roads Transportation Accountability Commission Revenue, VA
Series A, Class A, 5.00%, 7/1/2026
|
| 125,000
|
| 129,128
|
Virginia Small Business Financing Authority Revenue, VA
5.00%, 1/1/2037
|
| 500,000
|
| 510,326
|
|
|
|
|
| 1,249,682
|
WASHINGTON — 7.5%
|
|
|
|
|
Central Puget Sound Regional Transit Authority Revenue, WA
Series S-1, Class S1, 5.00%, 11/1/2045
|
| 105,000
|
| 107,505
|
King County Public Hospital District No. 1, General Obligation, WA
5.00%, 12/1/2036
|
| 590,000
|
| 599,499
|
Port of Seattle Revenue, WA:
|
|
|
|
|
Series B, 5.00%, 6/1/2034
|
| 200,000
|
| 215,060
|
Series C, AMT, 5.00%, 4/1/2035
|
| 750,000
|
| 751,740
|
State of Washington, General Obligation, WA:
|
|
|
|
|
Series D, Class D, 5.00%, 2/1/2036
|
| 700,000
|
| 701,541
|
Series A, 5.00%, 8/1/2033
|
| 250,000
|
| 261,147
|
|
|
|
|
| 2,636,492
|
See accompanying notes to Schedule of
Investments.
127
SPDR NUVEEN MUNICIPAL BOND ESG ETF
Schedule of Investments (continued)
September 30, 2023 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
WISCONSIN — 4.9%
|
|
|
|
|
Public Finance Authority Revenue, WI
Series A, Class A, 4.00%, 11/15/2037
|
| $600,000
|
| $524,760
|
Wisconsin Health & Educational Facilities Authority Revenue, WI
Series A, 4.00%, 4/1/2039
|
| 800,000
|
| 715,451
|
Wisconsin Housing & Economic Development Authority Housing Revenue, WI
Series A, 2.05%, 11/1/2036
|
| 675,000
|
| 479,666
|
|
|
|
|
| 1,719,877
|
TOTAL MUNICIPAL BONDS & NOTES
(Cost $36,647,826)
|
| 34,989,401
|
|
TOTAL INVESTMENTS — 99.5%
(Cost $36,895,699)
|
| 35,237,292
|
|
OTHER ASSETS IN EXCESS OF LIABILITIES — 0.5%
|
| 182,971
|
|
NET ASSETS — 100.0%
|
| $35,420,263
|
|
(a)
| Variable Rate Security - Interest rate shown is rate in effect at September 30, 2023. For securities based on a published reference rate and spread, the reference rate and spread are
indicated in the description above.
|
(b)
| Securities purchased pursuant to Rule 144A of the Securities Act of 1933, as amended. These securities, which represent 3.6% of net assets as of September 30, 2023, are considered
liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers.
|
(c)
| Bond is insured by the following:
|
| % of
Net Assets
|
Assured Guaranty Municipal Corp
| 2.4%
|
AMT
| Alternative Minimum Tax
|
VRN
| Variable Rate Note
|
The following table
summarizes the value of the Fund's investments according to the fair value hierarchy as of September 30, 2023.
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
|
Affiliate Table
| 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
|
See accompanying notes to Schedule of
Investments.
128
SPDR LOOMIS SAYLES OPPORTUNISTIC BOND ETF
Schedule of Investments
September 30, 2023 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
CORPORATE BONDS & NOTES — 55.8%
|
|
|
|
|
|
AUSTRALIA — 0.3%
|
|
|
|
|
Northern Star Resources Ltd.
6.13%, 4/11/2033 (a)
|
|
| $126,000
|
| $117,602
|
BRAZIL — 0.3%
|
|
|
|
|
Petrobras Global Finance BV
6.50%, 7/3/2033
|
|
| 105,000
|
| 100,213
|
CANADA — 1.7%
|
|
|
|
|
Brookfield Residential Properties, Inc./Brookfield Residential U.S. LLC
6.25%, 9/15/2027 (a)
|
|
| 7,000
|
| 6,300
|
Garda World Security Corp.
9.50%, 11/1/2027 (a)
|
|
| 29,000
|
| 27,705
|
Magna International, Inc.
5.98%, 3/21/2026
|
|
| 183,000
|
| 183,122
|
Nutrien Ltd.:
|
|
|
|
|
|
4.90%, 3/27/2028
|
|
| 73,000
|
| 70,509
|
5.80%, 3/27/2053
|
|
| 16,000
|
| 14,667
|
Open Text Corp.
3.88%, 12/1/2029 (a)
|
|
| 81,000
|
| 66,473
|
Strathcona Resources Ltd.
6.88%, 8/1/2026 (a)
|
|
| 22,000
|
| 20,741
|
TransCanada PipeLines Ltd.
6.20%, 3/9/2026
|
|
| 219,000
|
| 218,838
|
|
|
|
|
| 608,355
|
CHINA — 0.7%
|
|
|
|
|
Alibaba Group Holding Ltd.
3.15%, 2/9/2051
|
|
| 129,000
|
| 73,024
|
Li Auto, Inc.
0.25%, 5/1/2028
|
|
| 10,000
|
| 14,128
|
NXP BV/NXP Funding LLC/NXP USA, Inc.
5.00%, 1/15/2033
|
|
| 44,000
|
| 40,387
|
Prosus NV
4.19%, 1/19/2032 (a)
|
|
| 165,000
|
| 131,523
|
|
|
|
|
| 259,062
|
DENMARK — 0.3%
|
|
|
|
|
AP Moller - Maersk AS
5.88%, 9/14/2033 (a)
|
|
| 100,000
|
| 97,060
|
FRANCE — 0.9%
|
|
|
|
|
BNP Paribas SA 5 yr. CMT + 3.75%,
4.63%, 1/12/2027 (a) (b)
|
|
| 165,000
|
| 134,158
|
Societe Generale SA 5 yr. USD Swap + 4.98%,
7.88%, 12/18/2023 (a) (b)
|
|
| 172,000
|
| 170,132
|
|
|
|
|
| 304,290
|
GERMANY — 0.5%
|
|
|
|
|
Deutsche Bank AG:
|
|
|
|
|
|
SOFR + 1.72%, 3.04%, 5/28/2032 (b)
|
|
| 90,000
|
| 68,851
|
Security Description
|
|
| Principal
Amount
|
| Value
|
SOFR + 1.87%, 2.13%, 11/24/2026 (b)
|
|
| $125,000
|
| $113,002
|
|
|
|
|
| 181,853
|
HONG KONG — 0.1%
|
|
|
|
|
Seaspan Corp.
5.50%, 8/1/2029 (a)
|
|
| 50,000
|
| 39,954
|
IRELAND — 0.7%
|
|
|
|
|
AerCap Ireland Capital DAC/AerCap Global Aviation Trust
3.30%, 1/30/2032
|
|
| 90,000
|
| 71,650
|
Bank of Ireland Group PLC 1 yr. CMT + 2.65%,
6.25%, 9/16/2026 (a) (b)
|
|
| 165,000
|
| 163,865
|
|
|
|
|
| 235,515
|
ITALY — 2.1%
|
|
|
|
|
Intesa Sanpaolo SpA:
|
|
|
|
|
|
5.02%, 6/26/2024 (a)
|
|
| 165,000
|
| 160,979
|
1 yr. CMT + 3.90%, 7.78%, 6/20/2054 (a) (b)
|
|
| 200,000
|
| 180,548
|
UniCredit SpA 5 yr. USD ICE Swap + 4.91%,
7.30%, 4/2/2034 (a) (b)
|
|
| 406,000
|
| 382,919
|
|
|
|
|
| 724,446
|
JAPAN — 0.5%
|
|
|
|
|
NTT Finance Corp.
4.14%, 7/26/2024 (a)
|
|
| 165,000
|
| 162,626
|
NETHERLANDS — 1.0%
|
|
|
|
|
ING Groep NV:
|
|
|
|
|
|
5 yr. USD Swap + 4.45%, 6.50%, 4/16/2025 (b)
|
|
| 172,000
|
| 162,289
|
SOFR + 1.56%, 6.90%, 9/11/2027 (b)
|
|
| 200,000
|
| 200,480
|
|
|
|
|
| 362,769
|
SPAIN — 0.5%
|
|
|
|
|
Banco Santander SA VRN, 5 yr. USD ICE Swap + 4.99%,
7.50%, 2/8/2024 (b)
|
|
| 172,000
|
| 167,304
|
SWITZERLAND — 1.9%
|
|
|
|
|
Credit Suisse AG
4.75%, 8/9/2024
|
|
| 410,000
|
| 404,244
|
UBS Group AG SOFR + 3.70%,
6.44%, 8/11/2028 (a) (b)
|
|
| 214,000
|
| 213,591
|
VistaJet Malta Finance PLC/Vista Management Holding, Inc.:
|
|
|
|
|
|
6.38%, 2/1/2030 (a)
|
|
| 9,000
|
| 6,953
|
9.50%, 6/1/2028 (a)
|
|
| 30,000
|
| 26,426
|
|
|
|
|
| 651,214
|
UNITED KINGDOM — 1.4%
|
|
|
|
|
Barclays PLC 5 yr. CMT + 3.41%,
4.38%, 3/15/2028 (b)
|
|
| 284,000
|
| 196,150
|
British Telecommunications PLC
9.63%, 12/15/2030
|
|
| 95,000
|
| 111,876
|
See accompanying notes to Schedule of
Investments.
129
SPDR LOOMIS SAYLES OPPORTUNISTIC BOND ETF
Schedule of Investments (continued)
September 30, 2023 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
Standard Chartered PLC 1 yr. CMT + 0.95%,
1.82%, 11/23/2025 (a) (b)
|
|
| $165,000
|
| $155,978
|
TechnipFMC PLC
6.50%, 2/1/2026 (a)
|
|
| 36,000
|
| 35,439
|
|
|
|
|
| 499,443
|
UNITED STATES — 42.9%
|
|
|
|
|
Adtalem Global Education, Inc.
5.50%, 3/1/2028 (a)
|
|
| 91,000
|
| 83,835
|
Advanced Drainage Systems, Inc.
6.38%, 6/15/2030 (a)
|
|
| 5,000
|
| 4,799
|
Advantage Sales & Marketing, Inc.
6.50%, 11/15/2028 (a)
|
|
| 42,000
|
| 36,155
|
Ahead DB Holdings LLC
6.63%, 5/1/2028 (a)
|
|
| 8,000
|
| 6,786
|
Allison Transmission, Inc.:
|
|
|
|
|
|
3.75%, 1/30/2031 (a)
|
|
| 45,000
|
| 36,379
|
5.88%, 6/1/2029 (a)
|
|
| 23,000
|
| 21,675
|
Amazon.com, Inc.
3.10%, 5/12/2051
|
|
| 85,000
|
| 56,034
|
American Builders & Contractors Supply Co., Inc.
4.00%, 1/15/2028 (a)
|
|
| 34,000
|
| 30,135
|
American Express Co.
5.85%, 11/5/2027
|
|
| 35,000
|
| 35,244
|
American International Group, Inc. Series A-9, 3 mo. USD LIBOR + 2.87%,
5.75%, 4/1/2048 (b)
|
|
| 17,000
|
| 15,789
|
American Tower Corp.
2.30%, 9/15/2031
|
|
| 145,000
|
| 109,907
|
Ameriprise Financial, Inc.
4.50%, 5/13/2032
|
|
| 44,000
|
| 40,222
|
Amgen, Inc.
4.20%, 3/1/2033
|
|
| 90,000
|
| 79,811
|
ANGI Group LLC
3.88%, 8/15/2028 (a)
|
|
| 43,000
|
| 33,653
|
Antero Midstream Partners LP/Antero Midstream Finance Corp.
5.75%, 1/15/2028 (a)
|
|
| 94,000
|
| 88,599
|
Apple, Inc.
4.00%, 5/10/2028
|
|
| 120,000
|
| 115,117
|
APX Group, Inc.:
|
|
|
|
|
|
5.75%, 7/15/2029 (a)
|
|
| 44,000
|
| 37,122
|
6.75%, 2/15/2027 (a)
|
|
| 5,000
|
| 4,816
|
Arches Buyer, Inc.
6.13%, 12/1/2028 (a)
|
|
| 18,000
|
| 14,608
|
Arcosa, Inc.
4.38%, 4/15/2029 (a)
|
|
| 89,000
|
| 77,745
|
Aretec Escrow Issuer, Inc.
7.50%, 4/1/2029 (a)
|
|
| 16,000
|
| 14,053
|
Armor Holdco, Inc.
8.50%, 11/15/2029 (a)
|
|
| 10,000
|
| 8,690
|
Security Description
|
|
| Principal
Amount
|
| Value
|
Artera Services LLC
9.03%, 12/4/2025 (a)
|
|
| $19,000
|
| $17,524
|
Ashton Woods USA LLC/Ashton Woods Finance Co.
4.63%, 4/1/2030 (a)
|
|
| 25,000
|
| 20,435
|
AT&T, Inc.:
|
|
|
|
|
|
3.55%, 9/15/2055
|
|
| 44,000
|
| 26,971
|
3.65%, 9/15/2059
|
|
| 56,000
|
| 34,033
|
3.80%, 12/1/2057
|
|
| 7,000
|
| 4,433
|
Avnet, Inc.
5.50%, 6/1/2032
|
|
| 42,000
|
| 38,569
|
Bain Capital Specialty Finance, Inc.
2.55%, 10/13/2026
|
|
| 153,000
|
| 131,597
|
Bank of America Corp.:
|
|
|
|
|
|
SOFR + 1.99%, 6.20%, 11/10/2028 (b)
|
|
| 130,000
|
| 130,562
|
Series MTN, SOFR + 1.33%, 6.68%, 4/2/2026 (b)
|
|
| 295,000
|
| 296,643
|
Beacon Roofing Supply, Inc.:
|
|
|
|
|
|
4.50%, 11/15/2026 (a)
|
|
| 5,000
|
| 4,683
|
6.50%, 8/1/2030 (a)
|
|
| 26,000
|
| 25,222
|
Beauty Health Co.
1.25%, 10/1/2026 (a)
|
|
| 80,000
|
| 62,391
|
Beazer Homes USA, Inc.:
|
|
|
|
|
|
5.88%, 10/15/2027
|
|
| 28,000
|
| 25,586
|
7.25%, 10/15/2029
|
|
| 14,000
|
| 13,113
|
BellRing Brands, Inc.
7.00%, 3/15/2030 (a)
|
|
| 29,000
|
| 28,571
|
BGC Partners, Inc.
4.38%, 12/15/2025
|
|
| 127,000
|
| 117,974
|
BlackRock TCP Capital Corp.
2.85%, 2/9/2026
|
|
| 124,000
|
| 111,653
|
BlackRock, Inc.
2.10%, 2/25/2032
|
|
| 63,000
|
| 48,705
|
Blackstone Mortgage Trust, Inc.
3.75%, 1/15/2027 (a)
|
|
| 85,000
|
| 71,440
|
Blackstone Private Credit Fund:
|
|
|
|
|
|
2.35%, 11/22/2024
|
|
| 200,000
|
| 190,164
|
2.63%, 12/15/2026
|
|
| 131,000
|
| 112,698
|
Blackstone Secured Lending Fund:
|
|
|
|
|
|
2.75%, 9/16/2026
|
|
| 130,000
|
| 114,250
|
2.85%, 9/30/2028
|
|
| 46,000
|
| 37,581
|
Block, Inc.
0.13%, 3/1/2025
|
|
| 20,000
|
| 18,578
|
Blue Owl Credit Income Corp.
5.50%, 3/21/2025
|
|
| 100,000
|
| 96,783
|
BlueLinx Holdings, Inc.
6.00%, 11/15/2029 (a)
|
|
| 30,000
|
| 26,453
|
Boise Cascade Co.
4.88%, 7/1/2030 (a)
|
|
| 88,000
|
| 77,171
|
Booking Holdings, Inc.
0.75%, 5/1/2025
|
|
| 5,000
|
| 8,368
|
Brand Industrial Services, Inc.
10.38%, 8/1/2030 (a)
|
|
| 24,000
|
| 24,052
|
See accompanying notes to Schedule of
Investments.
130
SPDR LOOMIS SAYLES OPPORTUNISTIC BOND ETF
Schedule of Investments (continued)
September 30, 2023 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
Bristow Group, Inc.
6.88%, 3/1/2028 (a)
|
|
| $41,000
|
| $38,436
|
Broadcom, Inc.:
|
|
|
|
|
|
3.50%, 2/15/2041 (a)
|
|
| 204,000
|
| 141,272
|
4.15%, 4/15/2032 (a)
|
|
| 116,000
|
| 100,405
|
Brookfield Property REIT, Inc./BPR Cumulus LLC/BPR Nimbus LLC/GGSI Sellco LLC
4.50%, 4/1/2027 (a)
|
|
| 52,000
|
| 43,353
|
Builders FirstSource, Inc.:
|
|
|
|
|
|
4.25%, 2/1/2032 (a)
|
|
| 25,000
|
| 20,506
|
5.00%, 3/1/2030 (a)
|
|
| 44,000
|
| 39,194
|
California Resources Corp.
7.13%, 2/1/2026 (a)
|
|
| 99,000
|
| 99,641
|
Calumet Specialty Products Partners LP/Calumet Finance Corp.
8.13%, 1/15/2027 (a)
|
|
| 25,000
|
| 23,975
|
Carnival Corp.
5.75%, 3/1/2027 (a)
|
|
| 89,000
|
| 80,504
|
Carpenter Technology Corp.:
|
|
|
|
|
|
6.38%, 7/15/2028
|
|
| 5,000
|
| 4,837
|
7.63%, 3/15/2030
|
|
| 25,000
|
| 25,093
|
Carriage Purchaser, Inc.
7.88%, 10/15/2029 (a)
|
|
| 24,000
|
| 18,184
|
Caterpillar Financial Services Corp. Series MTN,
3.65%, 8/12/2025
|
|
| 85,000
|
| 82,283
|
CCO Holdings LLC/CCO Holdings Capital Corp.:
|
|
|
|
|
|
4.25%, 2/1/2031 (a)
|
|
| 6,000
|
| 4,778
|
4.50%, 8/15/2030 (a)
|
|
| 85,000
|
| 69,720
|
4.75%, 3/1/2030 (a)
|
|
| 83,000
|
| 69,803
|
5.00%, 2/1/2028 (a)
|
|
| 5,000
|
| 4,539
|
CenterPoint Energy Houston Electric LLC
5.30%, 4/1/2053
|
|
| 16,000
|
| 14,932
|
Central Garden & Pet Co.
4.13%, 10/15/2030
|
|
| 84,000
|
| 70,069
|
Century Communities, Inc.
3.88%, 8/15/2029 (a)
|
|
| 16,000
|
| 13,222
|
Chord Energy Corp.
6.38%, 6/1/2026 (a)
|
|
| 55,000
|
| 53,960
|
Cinemark USA, Inc.
5.25%, 7/15/2028 (a)
|
|
| 46,000
|
| 40,842
|
Citigroup, Inc. Series Z, 5 yr. CMT + 3.21%,
7.38%, 5/15/2028 (b)
|
|
| 58,000
|
| 56,362
|
Civitas Resources, Inc.
8.75%, 7/1/2031 (a)
|
|
| 86,000
|
| 88,033
|
Clarios Global LP/Clarios U.S. Finance Co.
8.50%, 5/15/2027 (a)
|
|
| 41,000
|
| 40,823
|
Clean Harbors, Inc.
5.13%, 7/15/2029 (a)
|
|
| 37,000
|
| 34,033
|
CMG Media Corp.
8.88%, 12/15/2027 (a)
|
|
| 22,000
|
| 17,220
|
Security Description
|
|
| Principal
Amount
|
| Value
|
CNX Midstream Partners LP
4.75%, 4/15/2030 (a)
|
|
| $43,000
|
| $35,986
|
CNX Resources Corp.
6.00%, 1/15/2029 (a)
|
|
| 61,000
|
| 56,907
|
Coinbase Global, Inc.
3.38%, 10/1/2028 (a)
|
|
| 58,000
|
| 41,776
|
Comcast Corp.
2.99%, 11/1/2063
|
|
| 80,000
|
| 44,220
|
Commercial Metals Co.
4.38%, 3/15/2032
|
|
| 22,000
|
| 18,449
|
Consolidated Communications, Inc.
6.50%, 10/1/2028 (a)
|
|
| 43,000
|
| 33,578
|
Continental Resources, Inc.
2.27%, 11/15/2026 (a)
|
|
| 58,000
|
| 51,389
|
Cornerstone Building Brands, Inc.
6.13%, 1/15/2029 (a)
|
|
| 29,000
|
| 22,024
|
Corporate Office Properties LP
2.75%, 4/15/2031
|
|
| 17,000
|
| 12,707
|
Crescent Energy Finance LLC
9.25%, 2/15/2028 (a)
|
|
| 57,000
|
| 58,194
|
Crowdstrike Holdings, Inc.
3.00%, 2/15/2029
|
|
| 85,000
|
| 71,530
|
Cumulus Media New Holdings, Inc.
6.75%, 7/1/2026 (a)
|
|
| 29,000
|
| 21,971
|
CVR Energy, Inc.
5.75%, 2/15/2028 (a)
|
|
| 45,000
|
| 40,745
|
CVS Health Corp.:
|
|
|
|
|
|
5.25%, 2/21/2033
|
|
| 89,000
|
| 84,172
|
5.30%, 6/1/2033
|
|
| 80,000
|
| 75,792
|
CyberArk Software Ltd.
Zero Coupon, 11/15/2024
|
|
| 11,000
|
| 12,690
|
Datadog, Inc.
0.13%, 6/15/2025
|
|
| 11,000
|
| 12,952
|
DaVita, Inc.:
|
|
|
|
|
|
3.75%, 2/15/2031 (a)
|
|
| 10,000
|
| 7,610
|
4.63%, 6/1/2030 (a)
|
|
| 57,000
|
| 46,775
|
Delek Logistics Partners LP/Delek Logistics Finance Corp.
7.13%, 6/1/2028 (a)
|
|
| 74,000
|
| 67,751
|
Deluxe Corp.
8.00%, 6/1/2029 (a)
|
|
| 23,000
|
| 18,985
|
Diamondback Energy, Inc.
6.25%, 3/15/2033
|
|
| 85,000
|
| 85,099
|
Directv Financing LLC/Directv Financing Co.-Obligor, Inc.
5.88%, 8/15/2027 (a)
|
|
| 68,000
|
| 60,148
|
DISH DBS Corp.
5.88%, 11/15/2024
|
|
| 180,000
|
| 167,524
|
DraftKings Holdings, Inc.
Zero Coupon, 3/15/2028
|
|
| 16,000
|
| 12,191
|
Dream Finders Homes, Inc.
8.25%, 8/15/2028 (a)
|
|
| 53,000
|
| 53,339
|
Eco Material Technologies, Inc.
7.88%, 1/31/2027 (a)
|
|
| 39,000
|
| 37,249
|
See accompanying notes to Schedule of
Investments.
131
SPDR LOOMIS SAYLES OPPORTUNISTIC BOND ETF
Schedule of Investments (continued)
September 30, 2023 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
Eli Lilly & Co.
4.70%, 2/27/2033
|
|
| $73,000
|
| $70,203
|
Encino Acquisition Partners Holdings LLC
8.50%, 5/1/2028 (a)
|
|
| 40,000
|
| 38,438
|
Encompass Health Corp.
4.63%, 4/1/2031
|
|
| 40,000
|
| 34,007
|
Endeavor Energy Resources LP/EER Finance, Inc.
5.75%, 1/30/2028 (a)
|
|
| 5,000
|
| 4,823
|
Energizer Holdings, Inc.
4.75%, 6/15/2028 (a)
|
|
| 36,000
|
| 31,178
|
EnerSys
4.38%, 12/15/2027 (a)
|
|
| 56,000
|
| 50,882
|
EnLink Midstream LLC
6.50%, 9/1/2030 (a)
|
|
| 15,000
|
| 14,553
|
Enstar Group Ltd.
3.10%, 9/1/2031
|
|
| 22,000
|
| 16,562
|
Enterprise Products Operating LLC
5.05%, 1/10/2026
|
|
| 65,000
|
| 64,258
|
Enviri Corp.
5.75%, 7/31/2027 (a)
|
|
| 36,000
|
| 31,648
|
EQM Midstream Partners LP
4.00%, 8/1/2024
|
|
| 82,000
|
| 79,987
|
Eversource Energy
4.75%, 5/15/2026
|
|
| 219,000
|
| 214,099
|
Exact Sciences Corp.
0.38%, 3/1/2028
|
|
| 11,000
|
| 9,512
|
Fair Isaac Corp.
5.25%, 5/15/2026 (a)
|
|
| 37,000
|
| 35,756
|
Fidelity National Financial, Inc.
2.45%, 3/15/2031
|
|
| 34,000
|
| 26,177
|
Ford Motor Credit Co. LLC
5.58%, 3/18/2024
|
|
| 225,000
|
| 223,528
|
Forestar Group, Inc.:
|
|
|
|
|
|
3.85%, 5/15/2026 (a)
|
|
| 16,000
|
| 14,579
|
5.00%, 3/1/2028 (a)
|
|
| 66,000
|
| 59,364
|
Freedom Mortgage Corp.
7.63%, 5/1/2026 (a)
|
|
| 18,000
|
| 16,778
|
Gannett Holdings LLC
6.00%, 11/1/2026 (a)
|
|
| 32,000
|
| 27,554
|
Gap, Inc.
3.63%, 10/1/2029 (a)
|
|
| 9,000
|
| 6,666
|
Gartner, Inc.
3.63%, 6/15/2029 (a)
|
|
| 29,000
|
| 24,849
|
General Motors Financial Co., Inc.:
|
|
|
|
|
|
2.90%, 2/26/2025
|
|
| 57,000
|
| 54,377
|
3.80%, 4/7/2025
|
|
| 215,000
|
| 207,213
|
5.00%, 4/9/2027
|
|
| 68,000
|
| 65,254
|
5.40%, 4/6/2026
|
|
| 125,000
|
| 122,361
|
Genworth Holdings, Inc.
6.50%, 6/15/2034
|
|
| 28,000
|
| 24,023
|
Getty Images, Inc.
9.75%, 3/1/2027 (a)
|
|
| 14,000
|
| 13,978
|
Security Description
|
|
| Principal
Amount
|
| Value
|
G-III Apparel Group Ltd.
7.88%, 8/15/2025 (a)
|
|
| $28,000
|
| $27,833
|
Global Infrastructure Solutions, Inc.
5.63%, 6/1/2029 (a)
|
|
| 34,000
|
| 28,034
|
Global Payments, Inc.
5.40%, 8/15/2032
|
|
| 35,000
|
| 32,738
|
Goodyear Tire & Rubber Co.:
|
|
|
|
|
|
5.25%, 7/15/2031
|
|
| 6,000
|
| 4,927
|
5.63%, 4/30/2033
|
|
| 6,000
|
| 4,919
|
GPS Hospitality Holding Co. LLC/GPS Finco, Inc.
7.00%, 8/15/2028 (a)
|
|
| 28,000
|
| 19,517
|
Grand Canyon University
4.13%, 10/1/2024
|
|
| 60,000
|
| 57,286
|
Great Lakes Dredge & Dock Corp.
5.25%, 6/1/2029 (a)
|
|
| 17,000
|
| 13,973
|
Guitar Center, Inc.
8.50%, 1/15/2026 (a)
|
|
| 25,000
|
| 21,713
|
GYP Holdings III Corp.
4.63%, 5/1/2029 (a)
|
|
| 32,000
|
| 27,556
|
Holly Energy Partners LP/Holly Energy Finance Corp.
5.00%, 2/1/2028 (a)
|
|
| 47,000
|
| 43,291
|
Howmet Aerospace, Inc.:
|
|
|
|
|
|
5.90%, 2/1/2027
|
|
| 38,000
|
| 37,338
|
5.95%, 2/1/2037
|
|
| 9,000
|
| 8,448
|
6.75%, 1/15/2028
|
|
| 24,000
|
| 24,161
|
HSBC USA, Inc.
5.63%, 3/17/2025
|
|
| 378,000
|
| 375,706
|
HubSpot, Inc.
0.38%, 6/1/2025
|
|
| 5,000
|
| 8,909
|
Hughes Satellite Systems Corp.
6.63%, 8/1/2026
|
|
| 44,000
|
| 37,613
|
iHeartCommunications, Inc.
8.38%, 5/1/2027
|
|
| 20,000
|
| 14,338
|
Interface, Inc.
5.50%, 12/1/2028 (a)
|
|
| 43,000
|
| 36,902
|
International Business Machines Corp.
4.40%, 7/27/2032
|
|
| 80,000
|
| 73,617
|
IRB Holding Corp.
7.00%, 6/15/2025 (a)
|
|
| 21,000
|
| 20,998
|
Iron Mountain Information Management Services, Inc.
5.00%, 7/15/2032 (a)
|
|
| 17,000
|
| 13,975
|
Iron Mountain, Inc.:
|
|
|
|
|
|
5.25%, 7/15/2030 (a)
|
|
| 88,000
|
| 76,681
|
5.63%, 7/15/2032 (a)
|
|
| 23,000
|
| 19,832
|
ITT Holdings LLC
6.50%, 8/1/2029 (a)
|
|
| 17,000
|
| 14,535
|
Jabil, Inc.
5.45%, 2/1/2029
|
|
| 11,000
|
| 10,676
|
Jefferson Capital Holdings LLC
6.00%, 8/15/2026 (a)
|
|
| 6,000
|
| 5,305
|
See accompanying notes to Schedule of
Investments.
132
SPDR LOOMIS SAYLES OPPORTUNISTIC BOND ETF
Schedule of Investments (continued)
September 30, 2023 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
JELD-WEN, Inc.
4.88%, 12/15/2027 (a)
|
|
| $36,000
|
| $31,756
|
JPMorgan Chase & Co.:
|
|
|
|
|
|
SOFR + 1.46%, 3.16%, 4/22/2042 (b)
|
|
| 80,000
|
| 54,783
|
SOFR + 2.08%, 4.91%, 7/25/2033 (b)
|
|
| 110,000
|
| 101,205
|
SOFR + 2.58%, 5.72%, 9/14/2033 (b)
|
|
| 60,000
|
| 57,750
|
KB Home:
|
|
|
|
|
|
4.00%, 6/15/2031
|
|
| 8,000
|
| 6,497
|
4.80%, 11/15/2029
|
|
| 89,000
|
| 78,642
|
Kinder Morgan, Inc.
4.80%, 2/1/2033
|
|
| 85,000
|
| 76,525
|
LCM Investments Holdings II LLC
4.88%, 5/1/2029 (a)
|
|
| 6,000
|
| 5,078
|
LD Holdings Group LLC
6.50%, 11/1/2025 (a)
|
|
| 26,000
|
| 21,579
|
Liberty Mutual Group, Inc.:
|
|
|
|
|
|
4.30%, 2/1/2061 (a)
|
|
| 100,000
|
| 59,160
|
4.57%, 2/1/2029 (a)
|
|
| 31,000
|
| 29,218
|
Lions Gate Capital Holdings LLC
5.50%, 4/15/2029 (a)
|
|
| 35,000
|
| 23,104
|
Louisiana-Pacific Corp.
3.63%, 3/15/2029 (a)
|
|
| 86,000
|
| 72,401
|
Lowe's Cos., Inc.
2.80%, 9/15/2041
|
|
| 95,000
|
| 61,388
|
LSF9 Atlantis Holdings LLC/Victra Finance Corp.
7.75%, 2/15/2026 (a)
|
|
| 29,000
|
| 26,261
|
M/I Homes, Inc.
4.95%, 2/1/2028
|
|
| 56,000
|
| 50,488
|
Martin Midstream Partners LP/Martin Midstream Finance Corp.
11.50%, 2/15/2028 (a)
|
|
| 37,000
|
| 37,672
|
Maxim Crane Works Holdings Capital LLC
11.50%, 9/1/2028 (a)
|
|
| 14,000
|
| 13,640
|
McCormick & Co., Inc.
4.95%, 4/15/2033
|
|
| 73,000
|
| 67,710
|
Medtronic Global Holdings SCA
4.25%, 3/30/2028
|
|
| 47,000
|
| 44,962
|
Meritage Homes Corp.
3.88%, 4/15/2029 (a)
|
|
| 61,000
|
| 52,442
|
Micron Technology, Inc.:
|
|
|
|
|
|
3.37%, 11/1/2041
|
|
| 58,000
|
| 38,115
|
6.75%, 11/1/2029
|
|
| 80,000
|
| 81,326
|
MicroStrategy, Inc.
6.13%, 6/15/2028 (a)
|
|
| 22,000
|
| 19,550
|
Millennium Escrow Corp.
6.63%, 8/1/2026 (a)
|
|
| 19,000
|
| 15,078
|
MIWD Holdco II LLC/MIWD Finance Corp.
5.50%, 2/1/2030 (a)
|
|
| 34,000
|
| 28,084
|
MongoDB, Inc.
0.25%, 1/15/2026
|
|
| 6,000
|
| 10,265
|
Security Description
|
|
| Principal
Amount
|
| Value
|
Moody's Corp.
2.00%, 8/19/2031
|
|
| $56,000
|
| $43,376
|
Moog, Inc.
4.25%, 12/15/2027 (a)
|
|
| 90,000
|
| 81,255
|
Morgan Stanley:
|
|
|
|
|
|
SOFR + 1.36%, 2.48%, 9/16/2036 (b)
|
|
| 95,000
|
| 69,422
|
SOFR + 2.08%, 4.89%, 7/20/2033 (b)
|
|
| 90,000
|
| 81,805
|
Series MTN, SOFR + 1.59%, 5.16%, 4/20/2029 (b)
|
|
| 68,000
|
| 65,403
|
Series MTN, SOFR + 1.88%, 5.42%, 7/21/2034 (b)
|
|
| 50,000
|
| 47,234
|
Moss Creek Resources Holdings, Inc.
7.50%, 1/15/2026 (a)
|
|
| 22,000
|
| 21,305
|
MPH Acquisition Holdings LLC
5.50%, 9/1/2028 (a)
|
|
| 24,000
|
| 20,413
|
MPLX LP
4.95%, 9/1/2032
|
|
| 60,000
|
| 54,653
|
MSCI, Inc.
3.63%, 11/1/2031 (a)
|
|
| 25,000
|
| 20,446
|
Murphy Oil USA, Inc.
4.75%, 9/15/2029
|
|
| 62,000
|
| 55,897
|
Nationstar Mortgage Holdings, Inc.
5.00%, 2/1/2026 (a)
|
|
| 36,000
|
| 33,633
|
NCL Corp. Ltd.:
|
|
|
|
|
|
3.63%, 12/15/2024 (a)
|
|
| 31,000
|
| 29,668
|
7.75%, 2/15/2029 (a)
|
|
| 15,000
|
| 13,924
|
Nestle Holdings, Inc.:
|
|
|
|
|
|
2.50%, 9/14/2041 (a)
|
|
| 95,000
|
| 62,473
|
4.13%, 10/1/2027 (a)
|
|
| 125,000
|
| 120,362
|
New Fortress Energy, Inc.
6.50%, 9/30/2026 (a)
|
|
| 5,000
|
| 4,599
|
News Corp.
3.88%, 5/15/2029 (a)
|
|
| 86,000
|
| 73,914
|
NextEra Energy Capital Holdings, Inc.:
|
|
|
|
|
|
4.26%, 9/1/2024
|
|
| 50,000
|
| 49,192
|
6.05%, 3/1/2025
|
|
| 31,000
|
| 31,049
|
NFP Corp.
6.88%, 8/15/2028 (a)
|
|
| 40,000
|
| 34,282
|
NMG Holding Co., Inc./Neiman Marcus Group LLC
7.13%, 4/1/2026 (a)
|
|
| 18,000
|
| 16,895
|
NMI Holdings, Inc.
7.38%, 6/1/2025 (a)
|
|
| 51,000
|
| 50,883
|
Noble Finance II LLC
8.00%, 4/15/2030 (a)
|
|
| 53,000
|
| 53,638
|
Northern Oil & Gas, Inc.
8.75%, 6/15/2031 (a)
|
|
| 24,000
|
| 24,192
|
Novelis Corp.
3.25%, 11/15/2026 (a)
|
|
| 5,000
|
| 4,462
|
NRG Energy, Inc.:
|
|
|
|
|
|
3.38%, 2/15/2029 (a)
|
|
| 53,000
|
| 42,776
|
5.25%, 6/15/2029 (a)
|
|
| 22,000
|
| 19,410
|
See accompanying notes to Schedule of
Investments.
133
SPDR LOOMIS SAYLES OPPORTUNISTIC BOND ETF
Schedule of Investments (continued)
September 30, 2023 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
Oceaneering International, Inc.
6.00%, 2/1/2028
|
|
| $34,000
|
| $32,030
|
Oncor Electric Delivery Co. LLC
4.30%, 5/15/2028 (a)
|
|
| 94,000
|
| 89,630
|
Osaic Holdings, Inc.
10.75%, 8/1/2027 (a)
|
|
| 25,000
|
| 25,124
|
Oscar AcquisitionCo LLC/Oscar Finance, Inc.
9.50%, 4/15/2030 (a)
|
|
| 17,000
|
| 15,607
|
Patrick Industries, Inc.
4.75%, 5/1/2029 (a)
|
|
| 33,000
|
| 27,520
|
PepsiCo, Inc.
4.20%, 7/18/2052
|
|
| 60,000
|
| 49,414
|
Permian Resources Operating LLC
7.00%, 1/15/2032 (a)
|
|
| 26,000
|
| 25,647
|
PG&E Corp.:
|
|
|
|
|
|
5.00%, 7/1/2028
|
|
| 25,000
|
| 22,638
|
5.25%, 7/1/2030
|
|
| 23,000
|
| 20,020
|
PHH Mortgage Corp.
7.88%, 3/15/2026 (a)
|
|
| 40,000
|
| 35,804
|
Pike Corp.
5.50%, 9/1/2028 (a)
|
|
| 24,000
|
| 21,049
|
PM General Purchaser LLC
9.50%, 10/1/2028 (a)
|
|
| 19,000
|
| 17,649
|
Presidio Holdings, Inc.
8.25%, 2/1/2028 (a)
|
|
| 18,000
|
| 17,189
|
PTC, Inc.
4.00%, 2/15/2028 (a)
|
|
| 5,000
|
| 4,480
|
Public Storage Operating Co.
2.25%, 11/9/2031
|
|
| 44,000
|
| 34,348
|
QUALCOMM, Inc.
5.40%, 5/20/2033
|
|
| 130,000
|
| 130,096
|
Rand Parent LLC
8.50%, 2/15/2030 (a)
|
|
| 39,000
|
| 36,069
|
Realogy Group LLC/Realogy Co.-Issuer Corp.
5.75%, 1/15/2029 (a)
|
|
| 47,000
|
| 33,915
|
Republic Services, Inc.
5.00%, 4/1/2034
|
|
| 21,000
|
| 19,874
|
Rockies Express Pipeline LLC:
|
|
|
|
|
|
4.95%, 7/15/2029 (a)
|
|
| 24,000
|
| 21,363
|
6.88%, 4/15/2040 (a)
|
|
| 13,000
|
| 11,331
|
Royal Caribbean Cruises Ltd.:
|
|
|
|
|
|
7.50%, 10/15/2027
|
|
| 7,000
|
| 7,004
|
11.63%, 8/15/2027 (a)
|
|
| 140,000
|
| 151,850
|
Sabre Global, Inc.:
|
|
|
|
|
|
8.63%, 6/1/2027 (a)
|
|
| 23,000
|
| 19,500
|
11.25%, 12/15/2027 (a)
|
|
| 32,000
|
| 29,357
|
Santander Holdings USA, Inc. SOFR + 1.25%,
2.49%, 1/6/2028 (b)
|
|
| 110,000
|
| 95,470
|
Seagate HDD Cayman
8.50%, 7/15/2031 (a)
|
|
| 61,000
|
| 62,515
|
Sempra
3.70%, 4/1/2029
|
|
| 22,000
|
| 19,787
|
Security Description
|
|
| Principal
Amount
|
| Value
|
Shea Homes LP/Shea Homes Funding Corp.
4.75%, 2/15/2028
|
|
| $60,000
|
| $53,755
|
Shift4 Payments, Inc.
Zero Coupon, 12/15/2025
|
|
| 11,000
|
| 10,859
|
Sinclair Television Group, Inc.
5.50%, 3/1/2030 (a)
|
|
| 36,000
|
| 19,315
|
Sitio Royalties Operating Partnership LP/Sitio Finance Corp.
7.88%, 11/1/2028 (a) (c)
|
|
| 20,000
|
| 20,049
|
Sizzling Platter LLC/Sizzling Platter Finance Corp.
8.50%, 11/28/2025 (a)
|
|
| 28,000
|
| 27,950
|
SM Energy Co.
6.63%, 1/15/2027
|
|
| 5,000
|
| 4,900
|
Smyrna Ready Mix Concrete LLC
6.00%, 11/1/2028 (a)
|
|
| 59,000
|
| 54,456
|
Solaris Midstream Holdings LLC
7.63%, 4/1/2026 (a)
|
|
| 33,000
|
| 31,854
|
Southern Co.
5.15%, 10/6/2025
|
|
| 175,000
|
| 173,161
|
Specialty Building Products Holdings LLC/SBP Finance Corp.
6.38%, 9/30/2026 (a)
|
|
| 31,000
|
| 29,074
|
Standard Industries, Inc.:
|
|
|
|
|
|
3.38%, 1/15/2031 (a)
|
|
| 18,000
|
| 13,908
|
4.38%, 7/15/2030 (a)
|
|
| 50,000
|
| 41,413
|
5.00%, 2/15/2027 (a)
|
|
| 13,000
|
| 12,073
|
Starwood Property Trust, Inc.
4.38%, 1/15/2027 (a)
|
|
| 145,000
|
| 126,810
|
Steelcase, Inc.
5.13%, 1/18/2029
|
|
| 51,000
|
| 45,266
|
Stem, Inc.
0.50%, 12/1/2028 (a)
|
|
| 201,000
|
| 115,866
|
SunCoke Energy, Inc.
4.88%, 6/30/2029 (a)
|
|
| 21,000
|
| 17,809
|
Sunoco LP/Sunoco Finance Corp.
4.50%, 5/15/2029
|
|
| 32,000
|
| 28,074
|
Take-Two Interactive Software, Inc.
4.95%, 3/28/2028
|
|
| 151,000
|
| 145,830
|
Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp.:
|
|
|
|
|
|
5.50%, 1/15/2028 (a)
|
|
| 54,000
|
| 49,164
|
6.00%, 3/1/2027 (a)
|
|
| 5,000
|
| 4,714
|
Taylor Morrison Communities, Inc.
5.75%, 1/15/2028 (a)
|
|
| 60,000
|
| 55,861
|
Tempur Sealy International, Inc.:
|
|
|
|
|
|
3.88%, 10/15/2031 (a)
|
|
| 12,000
|
| 9,249
|
4.00%, 4/15/2029 (a)
|
|
| 54,000
|
| 45,080
|
Tenneco, Inc.
8.00%, 11/17/2028 (a)
|
|
| 26,000
|
| 21,145
|
See accompanying notes to Schedule of
Investments.
134
SPDR LOOMIS SAYLES OPPORTUNISTIC BOND ETF
Schedule of Investments (continued)
September 30, 2023 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
Texas Instruments, Inc.
4.90%, 3/14/2033
|
|
| $94,000
|
| $90,829
|
Thor Industries, Inc.
4.00%, 10/15/2029 (a)
|
|
| 45,000
|
| 37,083
|
Titan International, Inc.
7.00%, 4/30/2028
|
|
| 39,000
|
| 36,472
|
T-Mobile USA, Inc.
4.80%, 7/15/2028
|
|
| 146,000
|
| 140,189
|
TMS International Corp.
6.25%, 4/15/2029 (a)
|
|
| 17,000
|
| 14,079
|
TopBuild Corp.
3.63%, 3/15/2029 (a)
|
|
| 56,000
|
| 47,720
|
Townsquare Media, Inc.
6.88%, 2/1/2026 (a)
|
|
| 38,000
|
| 35,737
|
TransDigm, Inc.
6.88%, 12/15/2030 (a)
|
|
| 63,000
|
| 61,735
|
Tri Pointe Homes, Inc.
5.70%, 6/15/2028
|
|
| 94,000
|
| 86,895
|
TriNet Group, Inc.
3.50%, 3/1/2029 (a)
|
|
| 68,000
|
| 57,268
|
Truist Financial Corp. Series MTN, SOFR + 2.05%,
6.05%, 6/8/2027 (b)
|
|
| 110,000
|
| 108,754
|
U.S. Cellular Corp.
6.70%, 12/15/2033
|
|
| 38,000
|
| 36,806
|
Uber Technologies, Inc.
7.50%, 5/15/2025 (a)
|
|
| 66,000
|
| 66,406
|
Unisys Corp.
6.88%, 11/1/2027 (a)
|
|
| 32,000
|
| 23,959
|
United Airlines Pass-Through Trust:
|
|
|
|
|
|
Series 2020-1, Class A, 5.88%, 4/15/2029
|
|
| 27,996
|
| 27,732
|
Series 2020-1, Class B, 4.88%, 7/15/2027
|
|
| 99,560
|
| 95,778
|
United Parcel Service, Inc.
4.88%, 3/3/2033
|
|
| 104,000
|
| 100,288
|
UnitedHealth Group, Inc.
5.88%, 2/15/2053
|
|
| 85,000
|
| 85,341
|
Upbound Group, Inc.
6.38%, 2/15/2029 (a)
|
|
| 36,000
|
| 31,968
|
Urban One, Inc.
7.38%, 2/1/2028 (a)
|
|
| 31,000
|
| 26,591
|
USI, Inc.
6.88%, 5/1/2025 (a)
|
|
| 21,000
|
| 20,838
|
Valaris Ltd.
8.38%, 4/30/2030 (a)
|
|
| 54,000
|
| 54,036
|
Verizon Communications, Inc.:
|
|
|
|
|
|
2.10%, 3/22/2028
|
|
| 136,000
|
| 116,870
|
2.85%, 9/3/2041
|
|
| 24,000
|
| 15,445
|
3.55%, 3/22/2051
|
|
| 61,000
|
| 40,161
|
Verscend Escrow Corp.
9.75%, 8/15/2026 (a)
|
|
| 13,000
|
| 13,001
|
Viking Cruises Ltd.
5.88%, 9/15/2027 (a)
|
|
| 31,000
|
| 28,270
|
Vista Outdoor, Inc.
4.50%, 3/15/2029 (a)
|
|
| 46,000
|
| 38,496
|
Security Description
|
|
| Principal
Amount
|
| Value
|
Vistra Operations Co. LLC
4.38%, 5/1/2029 (a)
|
|
| $117,000
|
| $100,583
|
VMware, Inc.
4.50%, 5/15/2025
|
|
| 240,000
|
| 234,326
|
Warnermedia Holdings, Inc.
6.41%, 3/15/2026
|
|
| 58,000
|
| 57,994
|
WASH Multifamily Acquisition, Inc.
5.75%, 4/15/2026 (a)
|
|
| 5,000
|
| 4,668
|
Waste Pro USA, Inc.
5.50%, 2/15/2026 (a)
|
|
| 16,000
|
| 14,961
|
Watco Cos. LLC/Watco Finance Corp.
6.50%, 6/15/2027 (a)
|
|
| 17,000
|
| 16,041
|
Weatherford International Ltd.
8.63%, 4/30/2030 (a)
|
|
| 28,000
|
| 28,179
|
Weekley Homes LLC/Weekley Finance Corp.
4.88%, 9/15/2028 (a)
|
|
| 48,000
|
| 41,620
|
Wells Fargo & Co. SOFR + 2.02%,
5.39%, 4/24/2034 (b)
|
|
| 73,000
|
| 68,367
|
Western Midstream Operating LP
6.15%, 4/1/2033
|
|
| 11,000
|
| 10,617
|
White Cap Buyer LLC
6.88%, 10/15/2028 (a)
|
|
| 18,000
|
| 15,878
|
World Acceptance Corp.
7.00%, 11/1/2026 (a)
|
|
| 16,000
|
| 13,700
|
WW International, Inc.
4.50%, 4/15/2029 (a)
|
|
| 44,000
|
| 30,545
|
Xerox Holdings Corp.
5.50%, 8/15/2028 (a)
|
|
| 49,000
|
| 41,151
|
XPO CNW, Inc.
6.70%, 5/1/2034
|
|
| 39,000
|
| 37,489
|
XPO, Inc.
7.13%, 6/1/2031 (a)
|
|
| 101,000
|
| 99,427
|
|
|
|
|
| 15,038,025
|
TOTAL CORPORATE BONDS & NOTES
(Cost $20,548,728)
|
|
|
|
| 19,549,731
|
ASSET-BACKED SECURITIES — 12.4%
|
|
|
|
|
|
AMMC CLO 15 Ltd. Series 2014-15A, Class BR3, 3 mo. USD Term SOFR + 1.91%,
7.22%, 1/15/2032 (a) (b)
|
|
| 250,000
|
| 246,700
|
Anchorage Capital CLO 9 Ltd. Series 2016-9A, Class AR2, 3 mo. USD Term SOFR + 1.40%,
6.71%, 7/15/2032 (a) (b)
|
|
| 250,000
|
| 248,441
|
Ballyrock CLO Ltd. Series 2018-1A, Class A1, 3 mo. USD Term SOFR + 1.26%,
6.59%, 4/20/2031 (a) (b)
|
|
| 239,277
|
| 238,056
|
See accompanying notes to Schedule of
Investments.
135
SPDR LOOMIS SAYLES OPPORTUNISTIC BOND ETF
Schedule of Investments (continued)
September 30, 2023 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
CBAM Ltd. Series 2018-6A, Class B2R, ABS, 3 mo. USD Term SOFR + 2.36%,
7.67%, 1/15/2031 (a) (b)
|
|
| $255,000
|
| $254,159
|
Clover CLO LLC Series 2018-1A, Class BR, 3 mo. USD Term SOFR + 1.96%,
7.29%, 4/20/2032 (a) (b)
|
|
| 320,000
|
| 316,256
|
Elmwood CLO V Ltd. Series 2020-2A, Class AR, 3 mo. USD Term SOFR + 1.41%,
6.74%, 10/20/2034 (a) (b)
|
|
| 250,000
|
| 248,475
|
Generate CLO 2 Ltd. Series 2A, Class BR, 3 mo. USD Term SOFR + 1.71%,
7.06%, 1/22/2031 (a) (b)
|
|
| 250,000
|
| 245,950
|
Greywolf CLO VI Ltd. Series 2018-1A, Class A1, 3 mo. USD Term SOFR + 1.29%,
6.64%, 4/26/2031 (a) (b)
|
|
| 250,000
|
| 248,600
|
Hayfin U.S. XII Ltd. Series 2018-8A, Class B, ABS, 3 mo. USD Term SOFR + 1.74%,
7.07%, 4/20/2031 (a) (b)
|
|
| 250,000
|
| 246,025
|
Madison Park Funding XVII Ltd. Series 2015-17A, Class AR2, 3 mo. USD Term SOFR + 1.26%,
6.60%, 7/21/2030 (a) (b)
|
|
| 241,354
|
| 240,171
|
OHA Credit Funding 6 Ltd. Series 2015-17A, Class AR, 3 mo. USD Term SOFR + 1.40%,
6.73%, 7/20/2034 (a) (b)
|
|
| 250,000
|
| 248,899
|
OneMain Direct Auto Receivables Trust Series 2021-1A, Class A, ABS,
0.87%, 7/14/2028 (a)
|
|
| 600,000
|
| 572,213
|
OZLM Funding IV Ltd. Series 2013-4A, Class A2R, 3 mo. USD Term SOFR + 1.96%,
7.31%, 10/22/2030 (a) (b)
|
|
| 250,000
|
| 248,100
|
Post CLO Ltd. Series 2023-1A, Class B1, 3 mo. USD Term SOFR + 2.50%,
7.38%, 4/20/2036 (a) (b)
|
|
| 250,000
|
| 249,419
|
Sounds Point CLO IV-R Ltd. Series 2013-3RA, Class A, 3 mo. USD Term SOFR + 1.41%,
6.72%, 4/18/2031 (a) (b)
|
|
| 250,000
|
| 248,299
|
THL Credit Wind River CLO Ltd. Series 2017-4A, Class B, 3 mo. USD Term SOFR + 1.71%,
7.09%, 11/20/2030 (a) (b)
|
|
| 250,000
|
| 246,725
|
TOTAL ASSET-BACKED SECURITIES
(Cost $4,344,475)
|
|
|
|
| 4,346,488
|
Security Description
|
|
| Shares
|
| Value
|
CONVERTIBLE BONDS — 0.5%
|
|
|
|
|
UNITED STATES — 0.5%
|
|
|
|
|
Array Technologies, Inc.
1.00%, 12/1/2028
|
|
| 13,000
|
| $14,834
|
Axon Enterprise, Inc.
0.50%, 12/15/2027 (a)
|
|
| 11,000
|
| 11,753
|
Bill Holdings, Inc.
12/1/2025
|
|
| 15,000
|
| 15,079
|
Cloudflare, Inc.
8/15/2026
|
|
| 36,000
|
| 30,593
|
Liberty Media Corp.-Liberty Formula One
2.25%, 8/15/2027
|
|
| 20,000
|
| 19,541
|
Liberty TripAdvisor Holdings, Inc.
0.50%, 6/30/2051 (a)
|
|
| 30,000
|
| 24,538
|
NCL Corp. Ltd.
1.13%, 2/15/2027
|
|
| 15,000
|
| 12,441
|
Royal Caribbean Cruises Ltd.
6.00%, 8/15/2025
|
|
| 5,000
|
| 9,861
|
TransMedics Group, Inc.
1.50%, 6/1/2028 (a)
|
|
| 10,000
|
| 9,099
|
Zscaler, Inc.
0.13%, 7/1/2025
|
|
| 10,000
|
| 12,026
|
|
|
|
|
| 159,765
|
TOTAL CONVERTIBLE BONDS
(Cost $167,694)
|
|
|
|
| 159,765
|
|
| Principal
Amount
|
|
SENIOR FLOATING RATE LOANS — 17.9%
|
|
|
|
ADVERTISING SERVICES — 0.4%
|
|
|
|
CMG Media Corp., Senior Secured 2021 Term Loan, 3 mo. USD Term SOFR + 3.50%, 8.99%, 12/17/2026 (b)
|
| $146,608
| 134,757
|
AIR FREIGHT & LOGISTICS — 0.3%
|
|
|
|
Rand Parent LLC, Senior Secured 2023 Term Loan B, 3 mo. USD Term SOFR + 4.25%, 9.64%, 3/17/2030 (b)
|
| 95,520
| 92,933
|
AUTO PARTS & EQUIPMENT — 0.5%
|
|
|
|
First Brands Group LLC:
|
|
|
|
Senior Secured 2021 Term Loan, 6 mo. USD Term SOFR + 5.00%, 10.88%, 3/30/2027 (b)
|
| 64,000
| 63,307
|
Senior Secured 2022 Incremental Term Loan, COR, 3/30/2027
|
| 49,539
| 49,013
|
Wheel Pros LLC, Senior Secured 2023 FILO Term Loan, 2/10/2028 (d)
|
| 51,000
| 55,367
|
|
|
| 167,687
|
See accompanying notes to Schedule of
Investments.
136
SPDR LOOMIS SAYLES OPPORTUNISTIC BOND ETF
Schedule of Investments (continued)
September 30, 2023 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
AUTOMOBILE COMPONENTS — 0.3%
|
|
|
|
|
|
USI, Inc., Senior Secured 2022 Incremental Term Loan, 3 mo. USD Term SOFR + 3.75%, 9.14%, 11/22/2029 (b)
|
|
| $99,000
|
| $99,048
|
BEVERAGES — 0.1%
|
|
|
|
|
|
City Brewing Co. LLC, Senior Secured Closing Date Term Loan, 3 mo. USD Term SOFR + 3.50%, 9.07%, 4/5/2028 (b)
|
|
| 55,235
|
| 36,547
|
BROADCAST SERV/PROGRAM — 0.9%
|
|
|
|
|
|
EW Scripps Co., Senior Secured2019 Term Loan B2, 1 mo. USD Term SOFR + 2.56%, 7.99%, 5/1/2026 (b)
|
|
| 323,042
|
| 319,138
|
BUILDING PRODUCTS — 0.2%
|
|
|
|
|
|
ACProducts, Inc., Senior Secured 2021 Term Loan B, 3 mo. USD Term SOFR + 4.25%, 9.90%, 5/17/2028 (b)
|
|
| 58
|
| 48
|
Emrld Borrower LP, Senior Secured Term Loan B, 3 mo. USD Term SOFR + 3.00%, 8.32%, 5/31/2030 (b)
|
|
| 45,917
|
| 45,917
|
Oscar AcquisitionCo LLC, Senior Secured Term Loan B, 3 mo. USD Term SOFR + 4.50%, 9.99%, 4/29/2029 (b)
|
|
| 30,690
|
| 30,512
|
|
|
|
|
| 76,477
|
CHEMICALS — 0.8%
|
|
|
|
|
|
Aruba Investments, Inc., Senior Secured 2020 USD Term Loan, 1 mo. USD Term SOFR + 4.00%, 9.42%, 11/24/2027 (b)
|
|
| 129,013
|
| 126,916
|
LSF11 A5 Holdco LLC, Senior Secured Term Loan, 1 mo. USD Term SOFR + 3.50%, 8.81%, 10/15/2028 (b)
|
|
| 110,094
|
| 107,644
|
Olympus Water U.S. Holding Corp., Senior Secured 2021 USD Term Loan B, 3 mo. USD Term SOFR + 3.75%, 9.40%, 11/9/2028 (b)
|
|
| 54,639
|
| 53,996
|
|
|
|
|
| 288,556
|
COMMERCIAL SERVICES — 1.1%
|
|
|
|
|
|
Albion Financing 3 Sarl, Senior Secured USD Term Loan, 3 mo. USD LIBOR + 5.25%, 10.86%, 8/17/2026 (b)
|
|
| 104,099
|
| 104,393
|
Security Description
|
|
| Principal
Amount
|
| Value
|
CoreLogic, Inc., Senior Secured Term Loan, 1 mo. USD Term SOFR + 3.50%, 8.82%, 6/2/2028 (b)
|
|
| $23,491
|
| $21,792
|
GTCR W Merger Sub LLC, Senior Secured USD Term Loan B, 9/20/2030 (d)
|
|
| 157,000
|
| 157,057
|
Neptune Bidco U.S., Inc., Senior Secured 2022 USD Term Loan B, 3 mo. USD Term SOFR + 5.00%, 10.40%, 4/11/2029 (b)
|
|
| 130,000
|
| 117,461
|
|
|
|
|
| 400,703
|
COMMERCIAL SERVICES & SUPPLIES — 0.6%
|
|
|
|
|
|
McGraw-Hill Global Education Holdings LLC, Senior Secured 2021 Term Loan, 1 mo. USD Term SOFR + 4.75%, 10.18%, 7/28/2028 (b)
|
|
| 157,008
|
| 154,375
|
Prime Security Services Borrower LLC, Senior Secured 2021 Term Loan, 1 mo. USD Term SOFR + 2.75%, 8.19%, 9/23/2026 (b)
|
|
| 47,092
|
| 47,076
|
|
|
|
|
| 201,451
|
COMMUNICATIONS EQUIPMENT — 0.5%
|
|
|
|
|
|
CommScope, Inc., Senior Secured 2019 Term Loan B, 1 mo. USD Term SOFR + 3.25%, 8.57%, 4/6/2026 (b)
|
|
| 182,632
|
| 167,200
|
COMPUTERS — 0.7%
|
|
|
|
|
|
Genuine Financial Holdings LLC, Senior Secured Term Loan B, 9/20/2030 (d)
|
|
| 121,000
|
| 120,093
|
NCR Atleos LLC, Senior Secured Term Loan B, 3/22/2029 (d)
|
|
| 139,000
|
| 134,309
|
|
|
|
|
| 254,402
|
CONTAINERS & PACKAGING — 0.3%
|
|
|
|
|
|
Graham Packaging Co., Inc., Senior Secured 2021 Term Loan, 1 mo. USD Term SOFR + 3.00%, 8.43%, 8/4/2027 (b)
|
|
| 116,146
|
| 116,053
|
ENERGY-ALTERNATE SOURCES — 0.3%
|
|
|
|
|
|
Array Technologies, Inc., Senior Secured Term Loan B, 1 mo. USD Term SOFR + 3.25%, 8.58%, 10/14/2027 (b)
|
|
| 105,872
|
| 105,756
|
FINANCIAL SERVICES — 0.8%
|
|
|
|
|
|
DirecTV Financing LLC, Senior Secured Term Loan, 1 mo. USD Term SOFR + 5.00%, 10.43%, 8/2/2027 (b)
|
|
| 115,898
|
| 113,532
|
See accompanying notes to Schedule of
Investments.
137
SPDR LOOMIS SAYLES OPPORTUNISTIC BOND ETF
Schedule of Investments (continued)
September 30, 2023 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
Paysafe Holdings Corp., Senior Secured USD Term Loan B1, 1 mo. USD Term SOFR + 2.75%, 8.18%, 6/28/2028 (b)
|
|
| $157,225
|
| $154,670
|
|
|
|
|
| 268,202
|
HEALTH CARE EQUIPMENT & SUPPLIES — 0.2%
|
|
|
|
|
|
Bausch & Lomb Corp., Senior Secured 2023 Incremental Term Loan, 9/14/2028 (d)
|
|
| 63,000
|
| 62,291
|
HEALTH CARE PROVIDERS & SERVICES — 1.6%
|
|
|
|
|
|
Agiliti Health, Inc., Senior Secured 2023 Term Loan, 1 mo. USD Term SOFR + 3.00%, 8.25%, 5/1/2030 (b)
|
|
| 58,523
|
| 58,377
|
Avantor Funding, Inc., Senior Secured 2021 Term Loan B5, 1 mo. USD Term SOFR + 2.25%, 7.67%, 11/8/2027 (b)
|
|
| 19,824
|
| 19,846
|
CHG Healthcare Services, Inc., Senior Secured 2021 Term Loan, 1 mo. USD Term SOFR + 3.25%, 8.57%, 9/29/2028 (b)
|
|
| 294,000
|
| 293,149
|
Medline Borrower LP, Senior Secured USD Term Loan B, 1 mo. USD Term SOFR + 3.25%, 8.68%, 10/23/2028 (b)
|
|
| 55,248
|
| 55,163
|
RegionalCare Hospital Partners Holdings, Inc., Senior Secured 2018 Term Loan B, 3 mo. USD Term SOFR + 3.75%, 9.38%, 11/16/2025 (b)
|
|
| 120,000
|
| 119,937
|
|
|
|
|
| 546,472
|
HOTELS, RESTAURANTS & LEISURE — 0.6%
|
|
|
|
|
|
19th Holdings Golf LLC, Senior Secured 2022 Term Loan B, 1 mo. USD Term SOFR + 3.35%, 8.68%, 2/7/2029 (b)
|
|
| 155,216
|
| 151,530
|
Caesars Entertainment Corp., Senior Secured Term Loan B, 1 mo. USD Term SOFR + 3.25%, 8.67%, 2/6/2030 (b)
|
|
| 44,775
|
| 44,845
|
|
|
|
|
| 196,375
|
INSURANCE — 0.7%
|
|
|
|
|
|
Sedgwick Claims Management Services, Inc., Senior Secured 2023 Term Loan B, 1 mo. USD Term SOFR + 3.75%, 9.07%, 2/24/2028 (b)
|
|
| 218,940
|
| 218,790
|
USI, Inc.:
|
|
|
|
|
|
Senior Secured 2023 Acquisition Term Loan, 9/14/2030 (d)
|
|
| 13,200
|
| 13,184
|
Security Description
|
|
| Principal
Amount
|
| Value
|
Senior Secured 2023 Refi Term Loan, 9/14/2030 (d)
|
|
| $8,800
|
| $8,789
|
|
|
|
|
| 240,763
|
INTERNET & TELECOM — 0.4%
|
|
|
|
|
|
Arches Buyer, Inc., Senior Secured 2021 Term Loan B, 1 mo. USD Term SOFR + 3.25%, 8.67%, 12/6/2027 (b)
|
|
| 102,362
|
| 100,427
|
Uber Technologies, Inc., Senior Secured 2023 Term Loan B, 3 mo. USD Term SOFR + 2.75%, 8.16%, 3/3/2030 (b)
|
|
| 40,692
|
| 40,725
|
|
|
|
|
| 141,152
|
LEISURE INDUSTRY — 0.4%
|
|
|
|
|
|
Carnival Corp., Senior Secured 2023 Term Loan B, 1 mo. USD Term SOFR + 3.00%, 8.33%, 8/8/2027 (b)
|
|
| 141,000
|
| 140,882
|
MACHINERY-CONSTRUCTION & MINING — 0.2%
|
|
|
|
|
|
Clear Channel Outdoor Holdings, Inc., Senior Secured Term Loan B, 3 mo. USD Term SOFR + 3.50%, 8.85%, 8/21/2026 (b)
|
|
| 84,547
|
| 82,310
|
MEDIA — 0.3%
|
|
|
|
|
|
MH Sub I LLC, Senior Secured 2023 Term Loan, 1 mo. USD Term SOFR + 4.25%, 9.57%, 5/3/2028 (b)
|
|
| 108,728
|
| 105,372
|
MISCELLANEOUS MANUFACTUR — 0.2%
|
|
|
|
|
|
Gates Global LLC, Senior Secured 2021 Term Loan B3, 1 mo. USD Term SOFR + 2.50%, 7.82%, 3/31/2027 (b)
|
|
| 76,142
|
| 76,056
|
PASSENGER AIRLINES — 0.9%
|
|
|
|
|
|
American Airlines, Inc., Senior Secured 2021 Term Loan, 3 mo. USD Term SOFR + 4.75%, 10.34%, 4/20/2028 (b)
|
|
| 104,500
|
| 107,838
|
SkyMiles IP Ltd., Senior Secured 2020 Skymiles Term Loan B, 3 mo. USD Term SOFR + 3.75%, 9.08%, 10/20/2027 (b)
|
|
| 91,800
|
| 95,156
|
United Airlines, Inc., Senior Secured 2021 Term Loan B, 1 mo. USD Term SOFR + 3.75%, 9.18%, 4/21/2028 (b)
|
|
| 131,204
|
| 131,614
|
|
|
|
|
| 334,608
|
See accompanying notes to Schedule of
Investments.
138
SPDR LOOMIS SAYLES OPPORTUNISTIC BOND ETF
Schedule of Investments (continued)
September 30, 2023 (Unaudited)
Security Description
|
|
| Principal
Amount
|
| Value
|
PHARMACEUTICALS — 0.6%
|
|
|
|
|
|
Jazz Financing Lux Sarl, Senior Secured USD Term Loan, 1 mo. USD Term SOFR + 3.50%, 8.93%, 5/5/2028 (b)
|
|
| $92,476
|
| $92,508
|
Organon & Co., Senior Secured USD Term Loan, 1 mo. USD Term SOFR + 3.00%, 8.44%, 6/2/2028 (b)
|
|
| 112,394
|
| 112,366
|
|
|
|
|
| 204,874
|
PROFESSIONAL SERVICES — 0.2%
|
|
|
|
|
|
Proofpoint, Inc., Senior Secured 1st Lien Term Loan, 1 mo. USD Term SOFR + 3.25%, 8.68%, 8/31/2028 (b)
|
|
| 74,085
|
| 73,565
|
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT — 0.4%
|
|
|
|
|
|
Altar Bidco, Inc., Senior Secured 2021 Term Loan, 3 mo. USD Term SOFR + 3.10%, 8.40%, 2/1/2029 (b)
|
|
| 131,337
|
| 131,058
|
SOFTWARE — 2.2%
|
|
|
|
|
|
Camelot U.S. Acquisition LLC, Senior Secured Term Loan B, 1 mo. USD Term SOFR + 3.00%, 8.43%, 10/30/2026 (b)
|
|
| 119,429
|
| 119,504
|
Cengage Learning, Inc., Senior Secured 2021 Term Loan B, 3 mo. USD LIBOR + 4.75%, 10.32%, 7/14/2026 (b)
|
|
| 60,845
|
| 60,655
|
Dun & Bradstreet Corp., Senior Secured 2023 Term Loan B, 1 mo. USD Term SOFR + 2.75%, 8.17%, 2/6/2026 (b)
|
|
| 125,348
|
| 125,309
|
Open Text Corp., Senior Secured 2023 Term Loan B, 1 mo. USD Term SOFR + 2.75%, 8.07%, 1/31/2030 (b)
|
|
| 178,000
|
| 178,233
|
RealPage, Inc., Senior Secured 1st Lien Term Loan, 1 mo. USD Term SOFR + 3.00%, 8.43%, 4/24/2028 (b)
|
|
| 58,554
|
| 57,956
|
Sabre Global, Inc.:
|
|
|
|
|
|
Senior Secured 2021 Term Loan B1, 1 mo. USD Term SOFR + 3.50%, 8.93%, 12/17/2027 (b)
|
|
| 45,218
|
| 39,882
|
Senior Secured 2021 Term Loan B2, 1 mo. USD Term SOFR + 3.50%, 8.93%, 12/17/2027 (b)
|
|
| 70,658
|
| 62,320
|
Ultimate Software Group, Inc., Senior Secured 2021 Term Loan, 3 mo. USD Term SOFR + 3.25%, 8.62%, 5/4/2026 (b)
|
|
| 130,338
|
| 130,116
|
|
|
|
|
| 773,975
|
Security Description
|
|
| Principal
Amount
|
| Value
|
SPECIALTY RETAIL — 0.9%
|
|
|
|
|
|
Michaels Cos., Inc., Senior Secured 2021 Term Loan B, 3 mo. USD Term SOFR + 4.25%, 9.90%, 4/15/2028 (b)
|
|
| $126,118
|
| $115,455
|
PetSmart, Inc., Senior Secured 2021 Term Loan B, 1 mo. USD Term SOFR + 3.75%, 9.17%, 2/11/2028 (b)
|
|
| 220,314
|
| 219,979
|
|
|
|
|
| 335,434
|
TRANSPORT-SERVICES — 0.3%
|
|
|
|
|
|
Endure Digital, Inc., Senior Secured Term Loan, 3 mo. USD LIBOR + 3.50%, 8.79%, 2/10/2028 (b)
|
|
| 99,085
|
| 96,526
|
TOTAL SENIOR FLOATING RATE LOANS
(Cost $6,350,630)
|
|
|
|
| 6,270,623
|
|
| Shares
|
|
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS — 4.9%
|
|
|
|
UNITED STATES — 4.9%
|
|
|
|
SPDR Blackstone Senior Loan ETF (e)
|
| 40,506
| 1,698,417
|
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS
(Cost $1,687,776)
|
|
| 1,698,417
|
|
| Principal
Amount
|
|
COMMERCIAL MORTGAGE BACKED SECURITIES — 0.2%
|
|
|
|
COMM Mortgage Trust Series 2012-CR3, Class B, 3.92%, 10/15/2045 (a)
(Cost $99,000)
|
| $100,000
| 78,012
|
See accompanying notes
to Schedule of Investments.
139
SPDR LOOMIS SAYLES OPPORTUNISTIC BOND ETF
Schedule of Investments (continued)
September 30, 2023 (Unaudited)
Security Description
|
|
| Shares
|
| Value
|
SHORT-TERM INVESTMENTS — 7.7%
|
|
|
|
|
|
State Street Institutional U.S. Government Money Market Fund, Class G Shares 5.33% (f) (g)
|
|
| 2,694,249
|
| $2,694,249
|
TOTAL INVESTMENTS — 99.4%
(Cost $35,892,600)
|
|
|
|
| 34,797,285
|
OTHER ASSETS IN EXCESS OF LIABILITIES — 0.6%
|
|
|
|
| 226,593
|
NET ASSETS — 100.0%
|
|
|
|
| $35,023,878
|
(a)
| Securities purchased pursuant to Rule 144A of the Securities Act of 1933, as amended. These securities, which represent 38.6% of net assets as of September 30, 2023, are considered
liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers.
|
(b)
| Variable Rate Security - Interest rate shown is rate in effect at September 30, 2023. For securities based on a published reference rate and spread, the reference rate and spread are
indicated in the description above.
|
(c)
| When-issued security.
|
(d)
| Position is unsettled. Contract rate was not determined at September 30, 2023 and does not take effect until settlement date. Maturity date is not finalized until
settlement date.
|
(e)
| Affiliated fund managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended September 30, 2023 are shown in the Affiliate Table below.
|
(f)
| The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended September 30, 2023 are shown in
the Affiliate Table below.
|
(g)
| The rate shown is the annualized seven-day yield at September 30, 2023.
|
ABS
| Asset-Backed Security
|
CLO
| Collateralized Loan Obligation
|
CMT
| Constant Maturity Treasury
|
CVR
| Contingent Value Rights
|
LIBOR
| London Interbank Offered Rate
|
MTN
| Medium Term Note
|
REIT
| Real Estate Investment Trust
|
SOFR
| Secured Overnight Financing Rate
|
VRN
| Variable Rate Note
|
At September 30, 2023,
open futures contracts were as follows:
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)
|
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)
|
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
|
See accompanying notes to Schedule of
Investments.
140
SPDR LOOMIS SAYLES OPPORTUNISTIC BOND ETF
Schedule of Investments (continued)
September 30, 2023 (Unaudited)
Centrally Cleared Credit
Default Swaps
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)
|
The following table summarizes the
value of the Fund's investments according to the fair value hierarchy as of September 30, 2023.
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)
|
Affiliate Table
| 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
|
See accompanying notes to Schedule of
Investments.
141
SSGA ACTIVE TRUST
NOTES TO SCHEDULES OF INVESTMENTS
September 30, 2023 (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.
• Swap agreements are valued daily based upon prices supplied by Board approved pricing vendors or through brokers. Depending on the product and terms of the transaction, the value of
agreements is determined using a series of techniques including valuation models that incorporate a number of market data factors, such as discounted cash flows, yields, curves, trades and values of the underlying
reference instruments. In the event the advisor is unable to obtain an independent, third–party valuation the agreements will be fair valued.
• 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.
SSGA ACTIVE TRUST
NOTES TO SCHEDULES OF INVESTMENTS (continued)
September 30, 2023 (Unaudited)
Fair value pricing could result in
a difference between the prices used to calculate a Portfolio's or Fund's NAV and the prices used by the Portfolios' or Funds' underlying benchmark. Various inputs are used in determining the value of the Portfolios'
or Funds' investments.
The Portfolios or Funds value their
assets and liabilities at fair value using a fair value hierarchy consisting of three broad levels that prioritize the inputs to valuation techniques giving the highest priority to readily available unadjusted quoted
prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements) when market prices are not readily available or reliable. The
categorization of a value determined for an investment within the hierarchy is based upon the pricing transparency of the investment and is not necessarily an indication of the risk associated with investing in it.
The three levels of the fair value
hierarchy are as follows:
• Level 1 –
Unadjusted quoted prices in active markets for an identical asset or liability;
• Level 2 – Inputs other than quoted prices included within Level 1 that are observable for the asset or liability either directly or indirectly, including quoted prices for
similar assets or liabilities in active markets, quoted prices for identical or similar 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 September 30, 2023, 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 September
30, 2023, 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.
Swaps
Certain Funds may enter into swap
agreements, in which a Fund and counterparty agree either to make periodic net payments on a specified notional amount or a net payment upon termination. Swap agreements are privately negotiated in the OTC market and
may be entered into as a bilateral contract (“BL OTC”) or centrally cleared (“centrally cleared swaps”). Swaps are marked-to-market daily and changes in value are recorded as unrealized
appreciation (depreciation).
A BL OTC swap is a transaction
between a fund and dealer counterparty where cash flows are exchanged between the two parties for the life of the swap. For BL OTC swaps, any upfront premiums paid are recorded as assets and any upfront fees received
are recorded as liabilities and are shown as credit default swap contracts premiums paid and credit default swap contracts premiums received, respectively, in the Statement of Assets and Liabilities and amortized to
realized gain/loss ratably over the term of the BL OTC swap. Payments received or made by the Fund for BL OTC swaps are recorded in the Statement of Operations as realized gains or losses,
SSGA ACTIVE TRUST
NOTES TO SCHEDULES OF INVESTMENTS (continued)
September 30, 2023 (Unaudited)
respectively. When a BL OTC swap is terminated,
the Fund will record a realized gain or loss equal to the difference between the proceeds from (or cost of) the closing transaction and the Fund’s basis in the contract, if any. Generally, the basis of the
contracts is the premium received or paid.
A centrally cleared OTC swap is a
transaction executed between a fund and a dealer counterparty, then cleared by a futures commission merchant (FCM) through a clearinghouse. Once cleared, the clearinghouse serves as a central counterparty
(“CCP”), with whom a fund exchanges cash flows for the life of the transaction, similar to transactions in futures contracts.
A Fund is required to interface
with the CCP through a broker. Upon entering into a centrally cleared swap, the Fund is required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on the
size and risk profile of the particular swap. Securities deposited as initial margin if any, are designated on the Schedule of Investments and cash deposited is segregated and recorded on the Statement of Assets and
Liabilities as due from broker. The daily change in valuation of centrally cleared swaps is recorded as a receivable or payable for variation margin in the Statement of Assets and Liabilities. Payments received
from (paid to) the counterparty, including at termination, are recorded as realized gain (loss) in the Statement of Operations. For both bi-lateral and centrally cleared OTC swaps, payments are exchanged at specified
intervals, accrued daily commencing with the effective date of the contract and recorded as realized gain or (loss). Some swaps may be terminated prior to the effective date and realize a gain or loss upon
termination.
Interest Rate Swaps
Interest rate swaps involve the
exchange by the Fund with another party of their respective commitments to pay or receive interest, such as an exchange of fixed rate payments for floating rate payments. During the period ended September 30, 2023,
the SPDR Loomis Sayles Opportunistic Bond ETF entered into interest rate swaps in order to manage interest rate risk.
Credit Default Swaps
During the period ended September
30, 2023, the SPDR Loomis Sayles Opportunistic Bond ETF engaged in credit default swaps to manage credit risk. When the Fund is the buyer in a credit default swap contract, the Fund is
entitled to receive the par (or other agreed upon) value (full notional value) of a referenced debt obligation (or basket of debt obligations) from the counterparty (or central clearing party
(“CCP”) in the case of a centrally cleared swap) to the contract if a credit event by a third party, such as a U.S. or foreign corporate issuer or sovereign issuer, on the debt obligation occurs. In
return, the Fund pays the counterparty a periodic stream of payments over the term of the contract provided that no credit event has occurred. If no credit event occurs, the Fund loses its investment and
recovers nothing. However, if a credit event occurs, the Fund receives full notional value for a referenced debt obligation that may have little or no value. When the Fund is the seller of a credit default swap, it
receives a fixed rate of income throughout the term of the contract, provided there is no credit event. If a credit event occurs, the Fund is obligated to pay the notional amount of the swap and in certain instances
take delivery of securities of the reference entity upon the occurrence of a credit event, as defined under the terms of that particular swap agreement. Credit events are contract specific but may include bankruptcy,
failure to pay, restructuring, obligation acceleration and repudiation/moratorium. If the Fund is a seller of protection and a credit event occurs, the maximum potential amount of future payments that the Fund could
be required to make would be an amount equal to the notional amount of the agreement. This potential amount would be partially offset by any recovery value of the respective referenced obligation, or net amount
received from the settlement. As the seller, the Fund may create economic leverage to its portfolio because, in addition to its total net assets, the Fund is subject to investment exposure on the notional amount of
the swap. The interest fee paid or received on the swap, which is based on a specified interest rate on a fixed notional amount, is accrued daily as a component.
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.
SSGA ACTIVE TRUST
NOTES TO SCHEDULES OF INVESTMENTS (continued)
September 30, 2023 (Unaudited)
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 September 30, 2023 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
Funds is available in the Fund's most recent Report to Shareholders. This information is also available on the Funds' website at https://www.ssga.com/spdrs as well as on the website of the U.S. Securities and Exchange Commission at www.sec.gov.