SPDR SSGA Fixed Income Sector Rotation ETF |
SPDR SSGA US Sector Rotation ETF |
Portfolio Statistics (Unaudited) | |
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1 |
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2 |
Schedules of Investments (Unaudited) | |
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3 |
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5 |
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7 |
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10 |
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12 |
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22 |
Description | % of Net Assets | ||
SPDR Portfolio Long Term Corporate Bond ETF | 26.0% | ||
SPDR Portfolio Mortgage Backed Bond ETF | 25.3 | ||
SPDR Portfolio Intermediate Term Corporate Bond ETF | 15.2 | ||
SPDR Bloomberg Barclays 1-3 Month T-Bill ETF | 11.9 | ||
SPDR Portfolio Intermediate Term Treasury ETF | 11.4 | ||
TOTAL | 89.8% |
% of Net Assets | |||
Domestic Fixed Income | 99.8% | ||
Short Term Investments | 4.2 | ||
Liabilities in Excess of Other Assets | (4.0) | ||
TOTAL | 100.0% |
Description | % of Net Assets | ||
The Technology Select Sector SPDR Fund | 43.8% | ||
The Financial Select Sector SPDR Fund | 16.5 | ||
The Consumer Staples Select Sector SPDR Fund | 15.9 | ||
The Materials Select Sector SPDR Fund | 12.3 | ||
The Energy Select Sector SPDR Fund | 5.1 | ||
TOTAL | 93.6% |
% of Net Assets | |||
Domestic Equity | 99.8% | ||
Short Term Investments | 9.9 | ||
Liabilities in Excess of Other Assets | (9.7) | ||
TOTAL | 100.0% |
Security Description | Shares | Value | ||||
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS — 99.8% | ||||||
DOMESTIC FIXED INCOME — 99.8% | ||||||
SPDR Bloomberg Barclays 1-3 Month T-Bill ETF
(a)(b)
|
151,118 | $ 13,816,719 | ||||
SPDR Bloomberg High Yield Bond ETF (a)
|
16,082 | 1,746,023 | ||||
SPDR Portfolio Intermediate Term Corporate Bond
ETF (a)(b)
|
485,789 | 17,561,272 | ||||
SPDR Portfolio Intermediate Term Treasury ETF
(a)
|
413,394 | 13,249,278 | ||||
SPDR Portfolio Long Term Corporate Bond ETF
(a)(b)
|
956,834 | 30,121,134 | ||||
SPDR Portfolio Long Term Treasury ETF (a)
|
233,924 | 9,859,896 | ||||
SPDR Portfolio Mortgage Backed Bond ETF
(a)(b)
|
1,155,794 | 29,334,052 | ||||
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED
PRODUCTS (Cost
$116,781,846)
|
115,688,374 | |||||
SHORT-TERM INVESTMENTS — 4.2% | ||||||
State Street Institutional U.S. Government Money
Market Fund, Class G Shares 0.03% (c)(d)
|
273,544 | 273,544 | ||||
State Street Navigator Securities Lending
Portfolio II (e)(f)
|
4,603,450 | 4,603,450 | ||||
TOTAL SHORT-TERM INVESTMENTS (Cost
$4,876,994)
|
$ 4,876,994 | |||||
TOTAL INVESTMENTS — 104.0% (Cost
$121,658,840)
|
120,565,368 | |||||
LIABILITIES IN EXCESS OF OTHER ASSETS —
(4.0)%
|
(4,623,850) | |||||
NET ASSETS — 100.0%
|
$ 115,941,518 |
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 December 31, 2021 are shown in the Affiliate Table below. |
(b) | All or a portion of the shares of the security are on loan at December 31, 2021. |
(c) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2021 are shown in the Affiliate Table below. |
(d) | The rate shown is the annualized seven-day yield at December 31, 2021. |
(e) | The Fund invested in an affiliated entity. Amounts related to these transactions during the period ended December 31, 2021 are shown in the Affiliate Table below. |
(f) | Investment of cash collateral for securities loaned. |
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
|
$ 115,688,374 | $— | $— | $ 115,688,374 | ||||
Short-Term Investments
|
4,876,994 | — | — | 4,876,994 | ||||
TOTAL INVESTMENTS
|
$120,565,368 | $— | $— | $120,565,368 |
Number
of Shares Held at 6/30/21 |
Value
at 6/30/21 |
Cost
of Purchases |
Proceeds
from Shares Sold |
Realized
Gain (Loss) |
Change
in Unrealized Appreciation/ Depreciation |
Number
of Shares Held at 12/31/21 |
Value
at 12/31/21 |
Dividend
Income | |||||||||
SPDR Bloomberg Barclays 1-3 Month T-Bill
ETF
|
39,726 | $ 3,633,737 | $ 14,843,882 | $ 4,655,471 | $ (1,709) | $ (3,720) | 151,118 | $ 13,816,719 | $ — | ||||||||
SPDR Bloomberg High Yield Bond ETF
|
— | — | 5,315,771 | 3,529,325 | (34,447) | (5,976) | 16,082 | 1,746,023 | 24,030 | ||||||||
SPDR Portfolio Intermediate Term Corporate Bond
ETF
|
508,248 | 18,652,702 | 10,280,712 | 11,109,347 | 85,564 | (348,359) | 485,789 | 17,561,272 | 163,104 | ||||||||
SPDR Portfolio Intermediate Term Treasury
ETF
|
292,929 | 9,485,041 | 6,451,442 | 2,567,332 | 82,847 | (202,720) | 413,394 | 13,249,278 | 39,471 | ||||||||
SPDR Portfolio Long Term Corporate Bond ETF
|
634,102 | 20,151,762 | 17,595,862 | 7,311,493 | 123,530 | (438,527) | 956,834 | 30,121,134 | 431,161 | ||||||||
SPDR Portfolio Long Term Treasury ETF
|
139,338 | 5,754,659 | 5,904,941 | 1,969,655 | 111,925 | 58,026 | 233,924 | 9,859,896 | 75,190 | ||||||||
SPDR Portfolio Mortgage Backed Bond ETF
|
973,311 | 25,169,822 | 14,734,512 | 10,081,895 | (158,909) | (329,478) | 1,155,794 | 29,334,052 | 381,030 | ||||||||
State Street Institutional U.S. Government Money
Market Fund, Class G Shares
|
136,849 | 136,849 | 354,895 | 218,200 | — | — | 273,544 | 273,544 | 29 | ||||||||
State Street Navigator Securities Lending
Portfolio II
|
24,628,973 | 24,628,973 | 769,907,169 | 789,932,692 | — | — | 4,603,450 | 4,603,450 | 117,898 | ||||||||
Total
|
$107,613,545 | $845,389,186 | $831,375,410 | $ 208,801 | $(1,270,754) | $120,565,368 | $1,231,913 |
Security Description | Shares | Value | ||||
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS — 99.8% | ||||||
DOMESTIC EQUITY — 99.8% | ||||||
The Consumer Discretionary Select Sector SPDR
Fund (a)
|
14,976 | $ 3,061,693 | ||||
The Consumer Staples Select Sector SPDR Fund
(a)(b)
|
404,888 | 31,220,914 | ||||
The Energy Select Sector SPDR Fund (a)
|
181,238 | 10,058,709 | ||||
The Financial Select Sector SPDR Fund (a)
|
831,191 | 32,458,009 | ||||
The Industrial Select Sector SPDR Fund
(a)(b)
|
32,826 | 3,473,319 | ||||
The Materials Select Sector SPDR Fund
(a)(b)
|
267,732 | 24,259,196 | ||||
The Technology Select Sector SPDR Fund (a)
|
494,749 | 86,022,009 | ||||
The Utilities Select Sector SPDR Fund
(a)(b)
|
75,909 | 5,433,566 | ||||
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED
PRODUCTS (Cost
$172,391,259)
|
195,987,415 | |||||
SHORT-TERM INVESTMENTS — 9.9% | ||||||
State Street Institutional U.S. Government Money
Market Fund, Class G Shares 0.03% (c)(d)
|
406,528 | 406,528 | ||||
State Street Navigator Securities Lending
Portfolio II (e)(f)
|
18,914,544 | 18,914,544 | ||||
TOTAL SHORT-TERM INVESTMENTS (Cost
$19,321,072)
|
$ 19,321,072 | |||||
TOTAL INVESTMENTS — 109.7% (Cost
$191,712,331)
|
215,308,487 | |||||
LIABILITIES IN EXCESS OF OTHER ASSETS —
(9.7)%
|
(19,011,846) | |||||
NET ASSETS — 100.0%
|
$ 196,296,641 |
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 December 31, 2021 are shown in the Affiliate Table below. |
(b) | All or a portion of the shares of the security are on loan at December 31, 2021. |
(c) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2021 are shown in the Affiliate Table below. |
(d) | The rate shown is the annualized seven-day yield at December 31, 2021. |
(e) | The Fund invested in an affiliated entity. Amounts related to these transactions during the period ended December 31, 2021 are shown in the Affiliate Table below. |
(f) | Investment of cash collateral for securities loaned. |
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
|
$195,987,415 | $— | $— | $195,987,415 | ||||
Short-Term Investments
|
19,321,072 | — | — | 19,321,072 | ||||
TOTAL INVESTMENTS
|
$215,308,487 | $— | $— | $215,308,487 |
Number
of Shares Held at 6/30/21 |
Value
at 6/30/21 |
Cost
of Purchases |
Proceeds
from Shares Sold |
Realized
Gain (Loss) |
Change
in Unrealized Appreciation/ Depreciation |
Number
of Shares Held at 12/31/21 |
Value
at 12/31/21 |
Dividend
Income | |||||||||
State Street Institutional U.S. Government Money
Market Fund, Class G Shares
|
422,278 | $ 422,278 | $ 2,461,871 | $ 2,477,621 | $ — | $ — | 406,528 | $ 406,528 | $ 59 | ||||||||
State Street Navigator Securities Lending
Portfolio II
|
49,478,804 | 49,478,804 | — | 30,564,260 | — | — | 18,914,544 | 18,914,544 | 19,981 | ||||||||
The Communication Services Select Sector SPDR
Fund
|
150,287 | 12,168,738 | 44,648,705 | 54,417,963 | (1,164,934) | (1,234,546) | — | — | 78,550 | ||||||||
The Consumer Discretionary Select Sector SPDR
Fund
|
— | — | 3,113,893 | 27,626 | (989) | (23,585) | 14,976 | 3,061,693 | 4,397 | ||||||||
The Consumer Staples Select Sector SPDR
Fund
|
67,445 | 4,719,127 | 73,443,252 | 49,838,444 | 873,477 | 2,023,502 | 404,888 | 31,220,914 | 356,663 | ||||||||
The Energy Select Sector SPDR Fund
|
100,084 | 5,391,525 | 16,457,916 | 10,865,301 | (953,141) | 27,710 | 181,238 | 10,058,709 | 126,564 | ||||||||
The Financial Select Sector SPDR Fund
|
599,399 | 21,991,949 | 42,845,705 | 33,892,461 | 1,269,439 | 243,377 | 831,191 | 32,458,009 | 257,740 | ||||||||
The Health Care Select Sector SPDR Fund
|
— | — | 11,090,165 | 11,154,087 | 63,922 | — | — | — | — | ||||||||
The Industrial Select Sector SPDR Fund
|
274,818 | 28,141,363 | 8,220,187 | 33,173,038 | 148,689 | 136,118 | 32,826 | 3,473,319 | 12,699 | ||||||||
The Materials Select Sector SPDR Fund
|
351,629 | 28,942,583 | 40,609,354 | 45,840,872 | (236,425) | 784,556 | 267,732 | 24,259,196 | 185,479 | ||||||||
The Technology Select Sector SPDR Fund
|
492,231 | 72,682,830 | 13,308,180 | 12,923,585 | 2,830,356 | 10,124,228 | 494,749 | 86,022,009 | 301,170 | ||||||||
The Utilities Select Sector SPDR Fund
|
— | — | 5,150,630 | 50,618 | 2,681 | 330,873 | 75,909 | 5,433,566 | 41,610 | ||||||||
Total
|
$223,939,197 | $261,349,858 | $285,225,876 | $ 2,833,075 | $12,412,233 | $215,308,487 | $1,384,912 |
SPDR SSGA Fixed Income Sector Rotation ETF | SPDR SSGA US Sector Rotation ETF | ||
ASSETS | |||
Investments in affiliated issuers, at
value*
|
$120,565,368 | $215,308,487 | |
Dividends receivable — affiliated issuers
|
6 | 11 | |
Securities lending income receivable —
unaffiliated issuers
|
— | 2,084 | |
Securities lending income receivable — affiliated
issuers
|
19,229 | 5,073 | |
Receivable from Adviser
|
9,564 | 12,191 | |
TOTAL ASSETS
|
120,594,167 | 215,327,846 | |
LIABILITIES | |||
Payable upon return of securities loaned
|
4,603,450 | 18,914,544 | |
Advisory fee payable
|
49,192 | 116,656 | |
Trustees’ fees and expenses payable
|
7 | 5 | |
TOTAL LIABILITIES
|
4,652,649 | 19,031,205 | |
NET ASSETS
|
$ 115,941,518 | $196,296,641 | |
NET ASSETS CONSIST OF: | |||
Paid-in Capital
|
$ 117,939,595 | $173,351,203 | |
Total distributable earnings (loss)
|
(1,998,077) | 22,945,438 | |
NET ASSETS
|
$ 115,941,518 | $196,296,641 | |
NET ASSET VALUE PER SHARE | |||
Net asset value per share
|
$ 31.00 | $ 46.96 | |
Shares outstanding (unlimited amount authorized,
no par value)
|
3,740,000 | 4,180,000 | |
COST OF INVESTMENTS: | |||
Investments in affiliated issuers
|
$121,658,840 | $191,712,331 | |
* Includes investments in securities on loan, at
value
|
$ 5,938,194 | $ 18,745,849 |
SPDR SSGA Fixed Income Sector Rotation ETF | SPDR SSGA US Sector Rotation ETF | ||
INVESTMENT INCOME | |||
Dividend income — affiliated issuers
|
$ 1,114,015 | $ 1,364,931 | |
Unaffiliated securities lending income
|
17,347 | 8,256 | |
Affiliated securities lending income
|
117,898 | 19,981 | |
TOTAL INVESTMENT INCOME (LOSS)
|
1,249,260 | 1,393,168 | |
EXPENSES | |||
Advisory fee
|
208,286 | 485,675 | |
Trustees’ fees and expenses
|
386 | 791 | |
Miscellaneous expenses
|
— | 3 | |
TOTAL EXPENSES
|
208,672 | 486,469 | |
NET INVESTMENT INCOME (LOSS)
|
$ 1,040,588 | $ 906,699 | |
REALIZED AND UNREALIZED GAIN (LOSS) | |||
Net realized gain (loss) on: | |||
Investments — affiliated issuers
|
(288,782) | (547,665) | |
In-kind redemptions — affiliated issuers
|
497,583 | 3,380,740 | |
Net realized gain (loss)
|
208,801 | 2,833,075 | |
Net change in unrealized appreciation/depreciation on: | |||
Investments — affiliated issuers
|
(1,270,754) | 12,412,233 | |
NET REALIZED AND UNREALIZED GAIN (LOSS)
|
(1,061,953) | 15,245,308 | |
NET INCREASE (DECREASE) IN NET ASSETS FROM
OPERATIONS
|
$ (21,365) | $16,152,007 |
SPDR SSGA Fixed Income Sector Rotation ETF | SPDR SSGA US Sector Rotation ETF | ||||||
Six
Months Ended 12/31/21 (Unaudited) |
Year
Ended 6/30/21 |
Six
Months Ended 12/31/21 (Unaudited) |
Year
Ended 6/30/21 | ||||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||||||
Net investment income (loss)
|
$ 1,040,588 | $ 1,180,986 | $ 906,699 | $ 950,203 | |||
Net realized gain (loss)
|
208,801 | 118,053 | 2,833,075 | 21,118,417 | |||
Net change in unrealized
appreciation/depreciation
|
(1,270,754) | (1,118,319) | 12,412,233 | 7,788,064 | |||
Net increase (decrease) in net assets resulting
from operations
|
(21,365) | 180,720 | 16,152,007 | 29,856,684 | |||
Net equalization credits and charges
|
(319,385) | (305,734) | (30,249) | (102,983) | |||
Distributions to shareholders
|
(1,046,327) | (1,399,502) | (6,066,201) | (1,087,675) | |||
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||||||
Proceeds from shares sold
|
60,663,938 | 55,227,077 | 30,304,477 | 131,380,293 | |||
Cost of shares redeemed
|
(26,628,572) | (18,048,847) | (18,489,257) | (54,370,975) | |||
Net income equalization
|
319,385 | 305,734 | 30,249 | 102,983 | |||
Net increase (decrease) in net assets from
beneficial interest transactions
|
34,354,751 | 37,483,964 | 11,845,469 | 77,112,301 | |||
Net increase (decrease) in net assets during the
period
|
32,967,674 | 35,959,448 | 21,901,026 | 105,778,327 | |||
Net assets at beginning of period
|
82,973,844 | 47,014,396 | 174,395,615 | 68,617,288 | |||
NET ASSETS AT END OF PERIOD
|
$115,941,518 | $ 82,973,844 | $196,296,641 | $174,395,615 | |||
SHARES OF BENEFICIAL INTEREST: | |||||||
Shares sold
|
1,940,000 | 1,750,000 | 660,000 | 3,220,000 | |||
Shares redeemed
|
(850,000) | (570,000) | (410,000) | (1,380,000) | |||
Net increase (decrease) from share
transactions
|
1,090,000 | 1,180,000 | 250,000 | 1,840,000 |
SPDR SSGA Fixed Income Sector Rotation ETF | |||||||
Six
Months Ended 12/31/21 (Unaudited) |
Year
Ended 6/30/21 |
Year
Ended 6/30/20 |
For
the Period 4/3/2019*- 6/30/19 | ||||
Net asset value, beginning of period
|
$ 31.31 | $ 31.98 | $ 31.08 | $ 30.10 | |||
Income (loss) from investment operations: | |||||||
Net investment income (loss) (a)
|
0.33 | 0.63 | 0.81 | 0.15 | |||
Net realized and unrealized gain (loss) (b)
|
(0.21) | (0.37) | 1.31 | 0.99 | |||
Total from investment operations
|
0.12 | 0.26 | 2.12 | 1.14 | |||
Net equalization credits and charges (a)
|
(0.10) | (0.16) | (0.17) | 0.00(c) | |||
Distributions to shareholders from: | |||||||
Net investment income
|
(0.33) | (0.77) | (1.05) | (0.16) | |||
Net asset value, end of period
|
$ 31.00 | $ 31.31 | $ 31.98 | $ 31.08 | |||
Total return (d)
|
0.05% | 0.29% | 6.42% | 3.81% | |||
Ratios and Supplemental Data: | |||||||
Net assets, end of period (in 000s)
|
$115,942 | $82,974 | $47,014 | $10,877 | |||
Ratios to average net assets: | |||||||
Total expenses (e)
|
0.41%(f) | 0.39% | 0.31% | 0.31%(f) | |||
Net investment income (loss)
|
2.06%(f) | 1.99% | 2.57% | 1.98%(f) | |||
Portfolio turnover rate (g)
|
41%(h) | 79% | 150% | 32%(h) |
* | Commencement of operations. |
(a) | Per share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the period. |
(b) | Amounts shown in this caption for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period because of the timing of sales and repurchases of Fund shares in relation to fluctuating market values for the Fund. |
(c) | Amount is less than $0.005 per share. |
(d) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates of each distribution. Total returns for periods of less than one year are not annualized. Broker commission charges are not included in this calculation. |
(e) | Does not include expenses of the Underlying Funds in which the Fund invests. |
(f) | Annualized. |
(g) | Portfolio turnover rate excludes securities received or delivered from in-kind processing of creations or redemptions. |
(h) | Not annualized. |
SPDR SSGA US Sector Rotation ETF | |||||||
Six
Months Ended 12/31/21 (Unaudited) |
Year
Ended 6/30/21 |
Year
Ended 6/30/20 |
For
the Period 4/3/2019*- 6/30/19 | ||||
Net asset value, beginning of period
|
$ 44.38 | $ 32.83 | $ 30.73 | $ 30.09 | |||
Income (loss) from investment operations: | |||||||
Net investment income (loss) (a)
|
0.22 | 0.36 | 0.57 | 0.23 | |||
Net realized and unrealized gain (loss) (b)
|
3.82 | 11.62 | 1.98 | 0.55 | |||
Total from investment operations
|
4.04 | 11.98 | 2.55 | 0.78 | |||
Net equalization credits and charges (a)
|
(0.01) | (0.04) | 0.03 | (0.03) | |||
Distributions to shareholders from: | |||||||
Net investment income
|
(0.22) | (0.39) | (0.48) | (0.11) | |||
Net realized gains
|
(1.23) | — | — | — | |||
Total distributions
|
(1.45) | — | — | — | |||
Net asset value, end of period
|
$ 46.96 | $ 44.38 | $ 32.83 | $ 30.73 | |||
Total return (c)
|
9.11% | 36.48% | 8.52% | 2.50% | |||
Ratios and Supplemental Data: | |||||||
Net assets, end of period (in 000s)
|
$196,297 | $174,396 | $68,617 | $14,136 | |||
Ratios to average net assets: | |||||||
Total expenses (d)
|
0.52%(e) | 0.52% | 0.49% | 0.49%(e) | |||
Net investment income (loss)
|
0.97%(e) | 0.89% | 1.79% | 3.12%(e) | |||
Portfolio turnover rate (f)
|
124%(g) | 263% | 154% | 39%(g) |
* | Commencement of operations. |
(a) | Per share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the period. |
(b) | Amounts shown in this caption for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period because of the timing of sales and repurchases of Fund shares in relation to fluctuating market values for the Fund. |
(c) | Total return is calculated assuming a purchase of Units at net asset value per Unit on the first day and a sale at net asset value per Unit on the last day of each period reported. Distributions are assumed, for the purposes of this calculation, to be reinvested at the net asset value per Unit on the respective payment dates of the Trust. Broker commission charges are not included in this calculation. |
(d) | Does not include expenses of the Underlying Funds in which the Fund invests. |
(e) | Annualized. |
(f) | Portfolio turnover rate excludes securities received or delivered from in-kind processing of creations or redemptions. |
(g) | Not annualized. |
SPDR SSGA Fixed Income Sector Rotation ETF |
SPDR SSGA US Sector Rotation ETF |
Annual Rate | |
SPDR SSGA Fixed Income Sector Rotation ETF
|
0.50% |
SPDR SSGA US Sector Rotation ETF
|
0.70 |
Purchases | Sales | ||
SPDR SSGA Fixed Income Sector Rotation ETF
|
$ 75,127,123 | $ 41,224,518 | |
SPDR SSGA US Sector Rotation ETF
|
229,952,426 | 235,072,152 |
In-kind
Contributions |
In-kind
Redemptions |
In-kind
Net Realized Gains/(Losses) | |||
SPDR SSGA Fixed Income Sector Rotation ETF
|
$55,019,680 | $20,985,805 | $ 497,583 | ||
SPDR SSGA US Sector Rotation ETF
|
28,935,561 | 17,111,844 | 3,380,740 |
Tax
Cost |
Gross
Unrealized Appreciation |
Gross
Unrealized Depreciation |
Net
Unrealized Appreciation (Depreciation) | ||||
SPDR SSGA Fixed Income Sector Rotation ETF
|
$121,699,100 | $ 196,810 | $1,330,542 | $ (1,133,732) | |||
SPDR SSGA US Sector Rotation ETF
|
191,763,842 | 23,726,985 | 182,340 | 23,544,645 |
Fund | Market
Value of Securities on Loan |
Cash
Collateral Received |
Non-Cash
Collateral Received * |
Total
Collateral Received | ||||
SPDR SSGA Fixed Income Sector Rotation ETF
|
$ 5,938,194 | $ 4,603,450 | $ 1,470,600 | $ 6,074,050 | ||||
SPDR SSGA US Sector Rotation ETF
|
18,745,849 | 18,914,544 | 160,673 | 19,075,217 |
* | The non-cash collateral includes U.S. Treasuries and U.S. Government Agency securities. |
Remaining Contractual Maturity of the Agreements as of December 31, 2021 | ||||||||||||||
Fund | Securities
Lending Transactions |
Overnight
and Continuous |
<30 Days | Between
30 & 90 Days |
>90 Days | Total
Borrowings |
Gross
Amount of Recognized Liabilities for Securities Lending Transactions | |||||||
SPDR SSGA Fixed Income Sector Rotation ETF
|
Mutual Funds and Exchange Traded Products | $ 4,603,450 | $— | $— | $— | $ 4,603,450 | $ 4,603,450 | |||||||
SPDR SSGA US Sector Rotation ETF
|
Mutual Funds and Exchange Traded Products | 18,914,544 | — | — | — | 18,914,544 | 18,914,544 |
SPDR SSGA Fixed Income Sector Rotation ETF | SPDR SSGA US Sector Rotation ETF | ||
Annualized Expense Ratio
|
0.41% | 0.52% | |
Actual: | |||
Ending Account Value
|
$1,000.50 | $1,091.10 | |
Expenses Paid During Period
|
2.07 | 2.74 | |
Hypothetical (assuming a 5% return before expenses): | |||
Ending Account Value
|
1,023.10 | 1,022.60 | |
Expenses Paid During Period(a)
|
2.09 | 2.65 |
(a) | Expenses are equal to the Fund's annualized net expense ratio multiplied by the average account value of the period, multiplied by 184, then divided by 365. |
• | the Program supported each Fund’s ability to honor redemption requests timely; |
• | the Program supported SSGA FM’s management of each Fund’s liquidity profile, including during periods of market volatility and net redemptions; |
• | no material liquidity issues were identified during the period; |
• | there were no material changes to the Program during the period; |
• | the implementation of the Program was effective to manage each Fund’s liquidity risk; and |
• | the Program operated adequately during the period. |