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.
| Schedules of Investments (Unaudited) | |
| 1 | |
| 3 | |
| 5 | |
| 7 | |
| 27 | |
| 48 | |
| 54 | |
| 99 | |
| 104 | |
| 116 | |
| 118 | |
| 120 | |
| 125 | |
| 129 | |
| 142 |
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)
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)
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)
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)
See accompanying notes to Schedule of
Investments.
7
SPDR BLACKSTONE HIGH INCOME ETF
Schedule of Investments (continued)
September 30, 2023 (Unaudited)
See accompanying notes to Schedule of
Investments.
8
SPDR BLACKSTONE HIGH INCOME ETF
Schedule of Investments (continued)
September 30, 2023 (Unaudited)
See accompanying notes to Schedule of
Investments.
9
SPDR BLACKSTONE HIGH INCOME ETF
Schedule of Investments (continued)
September 30, 2023 (Unaudited)
See accompanying notes to Schedule of
Investments.
10
SPDR BLACKSTONE HIGH INCOME ETF
Schedule of Investments (continued)
September 30, 2023 (Unaudited)
See accompanying notes to Schedule of
Investments.
11
SPDR BLACKSTONE HIGH INCOME ETF
Schedule of Investments (continued)
September 30, 2023 (Unaudited)
See accompanying notes to Schedule of
Investments.
12
SPDR BLACKSTONE HIGH INCOME ETF
Schedule of Investments (continued)
September 30, 2023 (Unaudited)
See accompanying notes to Schedule of
Investments.
13
SPDR BLACKSTONE HIGH INCOME ETF
Schedule of Investments (continued)
September 30, 2023 (Unaudited)
See accompanying notes to Schedule of
Investments.
14
SPDR BLACKSTONE HIGH INCOME ETF
Schedule of Investments (continued)
September 30, 2023 (Unaudited)
See accompanying notes to Schedule of
Investments.
15
SPDR BLACKSTONE HIGH INCOME ETF
Schedule of Investments (continued)
September 30, 2023 (Unaudited)
See accompanying notes to Schedule of
Investments.
16
SPDR BLACKSTONE HIGH INCOME ETF
Schedule of Investments (continued)
September 30, 2023 (Unaudited)
See accompanying notes to Schedule of
Investments.
17
SPDR BLACKSTONE HIGH INCOME ETF
Schedule of Investments (continued)
September 30, 2023 (Unaudited)
See accompanying notes to Schedule of
Investments.
18
SPDR BLACKSTONE HIGH INCOME ETF
Schedule of Investments (continued)
September 30, 2023 (Unaudited)
See accompanying notes to Schedule of
Investments.
19
SPDR BLACKSTONE HIGH INCOME ETF
Schedule of Investments (continued)
September 30, 2023 (Unaudited)
See accompanying notes to Schedule of
Investments.
20
SPDR BLACKSTONE HIGH INCOME ETF
Schedule of Investments (continued)
September 30, 2023 (Unaudited)
See accompanying notes to Schedule of
Investments.
21
SPDR BLACKSTONE HIGH INCOME ETF
Schedule of Investments (continued)
September 30, 2023 (Unaudited)
See accompanying notes to Schedule of
Investments.
22
SPDR BLACKSTONE HIGH INCOME ETF
Schedule of Investments (continued)
September 30, 2023 (Unaudited)
See accompanying notes to Schedule of
Investments.
23
SPDR BLACKSTONE HIGH INCOME ETF
Schedule of Investments (continued)
September 30, 2023 (Unaudited)
See accompanying notes
to Schedule of Investments.
24
SPDR BLACKSTONE HIGH INCOME ETF
Schedule of Investments (continued)
September 30, 2023 (Unaudited)
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)
See accompanying notes to Schedule of
Investments.
27
SPDR BLACKSTONE SENIOR LOAN ETF
SCHEDULE OF INVESTMENTS (continued)
September 30, 2023 (Unaudited)
See accompanying notes to Schedule of
Investments.
28
SPDR BLACKSTONE SENIOR LOAN ETF
SCHEDULE OF INVESTMENTS (continued)
September 30, 2023 (Unaudited)
See accompanying notes to Schedule of
Investments.
29
SPDR BLACKSTONE SENIOR LOAN ETF
SCHEDULE OF INVESTMENTS (continued)
September 30, 2023 (Unaudited)
See accompanying notes to Schedule of
Investments.
30
SPDR BLACKSTONE SENIOR LOAN ETF
SCHEDULE OF INVESTMENTS (continued)
September 30, 2023 (Unaudited)
See accompanying notes to Schedule of
Investments.
31
SPDR BLACKSTONE SENIOR LOAN ETF
SCHEDULE OF INVESTMENTS (continued)
September 30, 2023 (Unaudited)
See accompanying notes to Schedule of
Investments.
32
SPDR BLACKSTONE SENIOR LOAN ETF
SCHEDULE OF INVESTMENTS (continued)
September 30, 2023 (Unaudited)
See accompanying notes to Schedule of
Investments.
33
SPDR BLACKSTONE SENIOR LOAN ETF
SCHEDULE OF INVESTMENTS (continued)
September 30, 2023 (Unaudited)
See accompanying notes to Schedule of
Investments.
34
SPDR BLACKSTONE SENIOR LOAN ETF
SCHEDULE OF INVESTMENTS (continued)
September 30, 2023 (Unaudited)
See accompanying notes to Schedule of
Investments.
35
SPDR BLACKSTONE SENIOR LOAN ETF
SCHEDULE OF INVESTMENTS (continued)
September 30, 2023 (Unaudited)
See accompanying notes to Schedule of
Investments.
36
SPDR BLACKSTONE SENIOR LOAN ETF
SCHEDULE OF INVESTMENTS (continued)
September 30, 2023 (Unaudited)
See accompanying notes to Schedule of
Investments.
37
SPDR BLACKSTONE SENIOR LOAN ETF
SCHEDULE OF INVESTMENTS (continued)
September 30, 2023 (Unaudited)
See accompanying notes to Schedule of
Investments.
38
SPDR BLACKSTONE SENIOR LOAN ETF
SCHEDULE OF INVESTMENTS (continued)
September 30, 2023 (Unaudited)
See accompanying notes to Schedule of
Investments.
39
SPDR BLACKSTONE SENIOR LOAN ETF
SCHEDULE OF INVESTMENTS (continued)
September 30, 2023 (Unaudited)
See accompanying notes to Schedule of
Investments.
40
SPDR BLACKSTONE SENIOR LOAN ETF
SCHEDULE OF INVESTMENTS (continued)
September 30, 2023 (Unaudited)
See accompanying notes to Schedule of
Investments.
41
SPDR BLACKSTONE SENIOR LOAN ETF
SCHEDULE OF INVESTMENTS (continued)
September 30, 2023 (Unaudited)
See accompanying notes to Schedule of
Investments.
42
SPDR BLACKSTONE SENIOR LOAN ETF
SCHEDULE OF INVESTMENTS (continued)
September 30, 2023 (Unaudited)
See accompanying notes to Schedule of
Investments.
43
SPDR BLACKSTONE SENIOR LOAN ETF
SCHEDULE OF INVESTMENTS (continued)
September 30, 2023 (Unaudited)
See accompanying notes to Schedule of
Investments.
44
SPDR BLACKSTONE SENIOR LOAN ETF
SCHEDULE OF INVESTMENTS (continued)
September 30, 2023 (Unaudited)
See accompanying notes to Schedule of
Investments.
45
SPDR BLACKSTONE SENIOR LOAN ETF
SCHEDULE OF INVESTMENTS (continued)
September 30, 2023 (Unaudited)
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)
See accompanying notes to Schedule of
Investments.
48
SPDR SSGA ULTRA SHORT TERM BOND ETF
SCHEDULE OF INVESTMENTS (continued)
September 30, 2023 (Unaudited)
See accompanying notes to Schedule of
Investments.
49
SPDR SSGA ULTRA SHORT TERM BOND ETF
SCHEDULE OF INVESTMENTS (continued)
September 30, 2023 (Unaudited)
See accompanying notes to Schedule of
Investments.
50
SPDR SSGA ULTRA SHORT TERM BOND ETF
SCHEDULE OF INVESTMENTS (continued)
September 30, 2023 (Unaudited)
See accompanying notes to Schedule of
Investments.
51
SPDR SSGA ULTRA SHORT TERM BOND ETF
SCHEDULE OF INVESTMENTS (continued)
September 30, 2023 (Unaudited)
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)
See accompanying notes to Schedule of
Investments.
54
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
September 30, 2023 (Unaudited)
See accompanying notes to Schedule of
Investments.
55
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
September 30, 2023 (Unaudited)
See accompanying notes to Schedule of
Investments.
56
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
September 30, 2023 (Unaudited)
See accompanying notes to Schedule of
Investments.
57
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
September 30, 2023 (Unaudited)
See accompanying notes to Schedule of
Investments.
58
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
September 30, 2023 (Unaudited)
See accompanying notes to Schedule of
Investments.
59
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
September 30, 2023 (Unaudited)
See accompanying notes to Schedule of
Investments.
60
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
September 30, 2023 (Unaudited)
See accompanying notes to Schedule of
Investments.
61
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
September 30, 2023 (Unaudited)
See accompanying notes to Schedule of
Investments.
62
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
September 30, 2023 (Unaudited)
See accompanying notes to Schedule of
Investments.
63
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
September 30, 2023 (Unaudited)
See accompanying notes to Schedule of
Investments.
64
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
September 30, 2023 (Unaudited)
See accompanying notes to Schedule of
Investments.
65
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
September 30, 2023 (Unaudited)
See accompanying notes to Schedule of
Investments.
66
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
September 30, 2023 (Unaudited)
See accompanying notes to Schedule of
Investments.
67
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
September 30, 2023 (Unaudited)
See accompanying notes to Schedule of
Investments.
68
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
September 30, 2023 (Unaudited)
See accompanying notes to Schedule of
Investments.
69
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
September 30, 2023 (Unaudited)
See accompanying notes to Schedule of
Investments.
70
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
September 30, 2023 (Unaudited)
See accompanying notes to Schedule of
Investments.
71
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
September 30, 2023 (Unaudited)
See accompanying notes to Schedule of
Investments.
72
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
September 30, 2023 (Unaudited)
See accompanying notes to Schedule of
Investments.
73
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
September 30, 2023 (Unaudited)
See accompanying notes to Schedule of
Investments.
74
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
September 30, 2023 (Unaudited)
See accompanying notes to Schedule of
Investments.
75
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
September 30, 2023 (Unaudited)
See accompanying notes to Schedule of
Investments.
76
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
September 30, 2023 (Unaudited)
See accompanying notes to Schedule of
Investments.
77
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
September 30, 2023 (Unaudited)
See accompanying notes to Schedule of
Investments.
78
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
September 30, 2023 (Unaudited)
See accompanying notes to Schedule of
Investments.
79
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
September 30, 2023 (Unaudited)
See accompanying notes to Schedule of
Investments.
80
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
September 30, 2023 (Unaudited)
See accompanying notes to Schedule of
Investments.
81
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
September 30, 2023 (Unaudited)
See accompanying notes to Schedule of
Investments.
82
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
September 30, 2023 (Unaudited)
See accompanying notes to Schedule of
Investments.
83
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
September 30, 2023 (Unaudited)
See accompanying notes to Schedule of
Investments.
84
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
September 30, 2023 (Unaudited)
See accompanying notes to Schedule of
Investments.
85
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
September 30, 2023 (Unaudited)
See accompanying notes to Schedule of
Investments.
86
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
September 30, 2023 (Unaudited)
See accompanying notes to Schedule of
Investments.
87
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
September 30, 2023 (Unaudited)
See accompanying notes to Schedule of
Investments.
88
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
September 30, 2023 (Unaudited)
See accompanying notes to Schedule of
Investments.
89
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
September 30, 2023 (Unaudited)
See accompanying notes to Schedule of
Investments.
90
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
September 30, 2023 (Unaudited)
See accompanying notes to Schedule of
Investments.
91
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
September 30, 2023 (Unaudited)
See accompanying notes to Schedule of
Investments.
92
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
September 30, 2023 (Unaudited)
See accompanying notes to Schedule of
Investments.
93
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
September 30, 2023 (Unaudited)
See accompanying notes to Schedule of
Investments.
94
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
September 30, 2023 (Unaudited)
See accompanying notes to Schedule of
Investments.
95
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
September 30, 2023 (Unaudited)
See accompanying notes
to Schedule of Investments.
96
SPDR DOUBLELINE TOTAL RETURN TACTICAL ETF
SCHEDULE OF INVESTMENTS (continued)
September 30, 2023 (Unaudited)
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)
See accompanying notes to Schedule of
Investments.
99
SPDR DOUBLELINE EMERGING MARKETS FIXED INCOME ETF
Schedule of Investments (continued)
September 30, 2023 (Unaudited)
See accompanying notes to Schedule of
Investments.
100
SPDR DOUBLELINE EMERGING MARKETS FIXED INCOME ETF
Schedule of Investments (continued)
September 30, 2023 (Unaudited)
See accompanying notes to Schedule of
Investments.
101
SPDR DOUBLELINE EMERGING MARKETS FIXED INCOME 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 | $— | $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)
See accompanying notes to Schedule of
Investments.
104
SPDR DOUBLELINE SHORT DURATION TOTAL RETURN TACTICAL
ETF
Schedule of Investments (continued)
September 30, 2023 (Unaudited)
See accompanying notes to Schedule of
Investments.
105
SPDR DOUBLELINE SHORT DURATION TOTAL RETURN TACTICAL
ETF
Schedule of Investments (continued)
September 30, 2023 (Unaudited)
See accompanying notes to Schedule of
Investments.
106
SPDR DOUBLELINE SHORT DURATION TOTAL RETURN TACTICAL
ETF
Schedule of Investments (continued)
September 30, 2023 (Unaudited)
See accompanying notes to Schedule of
Investments.
107
SPDR DOUBLELINE SHORT DURATION TOTAL RETURN TACTICAL
ETF
Schedule of Investments (continued)
September 30, 2023 (Unaudited)
See accompanying notes to Schedule of
Investments.
108
SPDR DOUBLELINE SHORT DURATION TOTAL RETURN TACTICAL
ETF
Schedule of Investments (continued)
September 30, 2023 (Unaudited)
See accompanying notes to Schedule of
Investments.
109
SPDR DOUBLELINE SHORT DURATION TOTAL RETURN TACTICAL
ETF
Schedule of Investments (continued)
September 30, 2023 (Unaudited)
See accompanying notes to Schedule of
Investments.
110
SPDR DOUBLELINE SHORT DURATION TOTAL RETURN TACTICAL
ETF
Schedule of Investments (continued)
September 30, 2023 (Unaudited)
See accompanying notes to Schedule of
Investments.
111
SPDR DOUBLELINE SHORT DURATION TOTAL RETURN TACTICAL
ETF
Schedule of Investments (continued)
September 30, 2023 (Unaudited)
See accompanying notes to Schedule of
Investments.
112
SPDR DOUBLELINE SHORT DURATION TOTAL RETURN TACTICAL
ETF
Schedule of Investments (continued)
September 30, 2023 (Unaudited)
See accompanying notes to Schedule of
Investments.
113
SPDR DOUBLELINE SHORT DURATION TOTAL RETURN TACTICAL
ETF
Schedule of Investments (continued)
September 30, 2023 (Unaudited)
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)
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)
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)
See accompanying notes to Schedule of
Investments.
120
SPDR NUVEEN MUNICIPAL BOND ETF
Schedule of Investments (continued)
September 30, 2023 (Unaudited)
See accompanying notes to Schedule of
Investments.
121
SPDR NUVEEN MUNICIPAL BOND ETF
Schedule of Investments (continued)
September 30, 2023 (Unaudited)
See accompanying notes to Schedule of
Investments.
122
SPDR NUVEEN MUNICIPAL BOND ETF
Schedule of Investments (continued)
September 30, 2023 (Unaudited)
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)
See accompanying notes to Schedule of
Investments.
125
SPDR NUVEEN MUNICIPAL BOND ESG ETF
Schedule of Investments (continued)
September 30, 2023 (Unaudited)
See accompanying notes to Schedule of
Investments.
126
SPDR NUVEEN MUNICIPAL BOND ESG ETF
Schedule of Investments (continued)
September 30, 2023 (Unaudited)
See accompanying notes to Schedule of
Investments.
127
SPDR NUVEEN MUNICIPAL BOND ESG 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: | ||||||||
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)
See accompanying notes to Schedule of
Investments.
129
SPDR LOOMIS SAYLES OPPORTUNISTIC BOND ETF
Schedule of Investments (continued)
September 30, 2023 (Unaudited)
See accompanying notes to Schedule of
Investments.
130
SPDR LOOMIS SAYLES OPPORTUNISTIC BOND ETF
Schedule of Investments (continued)
September 30, 2023 (Unaudited)
See accompanying notes to Schedule of
Investments.
131
SPDR LOOMIS SAYLES OPPORTUNISTIC BOND ETF
Schedule of Investments (continued)
September 30, 2023 (Unaudited)
See accompanying notes to Schedule of
Investments.
132
SPDR LOOMIS SAYLES OPPORTUNISTIC BOND ETF
Schedule of Investments (continued)
September 30, 2023 (Unaudited)
See accompanying notes to Schedule of
Investments.
133
SPDR LOOMIS SAYLES OPPORTUNISTIC BOND ETF
Schedule of Investments (continued)
September 30, 2023 (Unaudited)
See accompanying notes to Schedule of
Investments.
134
SPDR LOOMIS SAYLES OPPORTUNISTIC BOND ETF
Schedule of Investments (continued)
September 30, 2023 (Unaudited)
See accompanying notes to Schedule of
Investments.
135
SPDR LOOMIS SAYLES OPPORTUNISTIC BOND ETF
Schedule of Investments (continued)
September 30, 2023 (Unaudited)
See accompanying notes to Schedule of
Investments.
136
SPDR LOOMIS SAYLES OPPORTUNISTIC BOND ETF
Schedule of Investments (continued)
September 30, 2023 (Unaudited)
See accompanying notes to Schedule of
Investments.
137
SPDR LOOMIS SAYLES OPPORTUNISTIC BOND ETF
Schedule of Investments (continued)
September 30, 2023 (Unaudited)
See accompanying notes to Schedule of
Investments.
138
SPDR LOOMIS SAYLES OPPORTUNISTIC BOND ETF
Schedule of Investments (continued)
September 30, 2023 (Unaudited)
See accompanying notes
to Schedule of Investments.
139
SPDR LOOMIS SAYLES OPPORTUNISTIC 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) | 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.
142
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,
143
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.
144
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.
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