•
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
December 31, 2022, is disclosed in each Fund’s respective Schedule of
Investments.
Investment
Transactions and Income Recognition
Investment
transactions are accounted for on the trade date for financial reporting
purposes. Realized gains and losses from the sale and disposition of investments
are determined using the identified cost method.
Dividend
income and capital gain distributions, if any, are recognized daily on the
ex-dividend date, net of any foreign taxes withheld at source, if any. Interest
income is recorded daily on an accrual basis. All premiums and discounts are
amortized/accreted for financial reporting purposes.
Expenses
Certain
expenses, which are directly identifiable to a specific Fund, are applied to
that Fund within the Trust. Other expenses which cannot be attributed to a
specific Fund are allocated in such a manner as deemed equitable, taking into
consideration the nature and type of expense and the relative net assets of the
Funds within the Trust.
Foreign
Currency Translation
The
accounting records of the Funds are maintained in U.S. dollars. Foreign
currencies as well as investment securities and other assets and liabilities
denominated in a foreign currency are translated to U.S. dollars using exchange
rates at period end. Purchases and sales of securities, income receipts and
expense payments denominated in foreign currencies are translated into U.S.
dollars at the prevailing exchange rate on the respective dates of the
transactions.
The
effects of exchange rate fluctuations on investments are included with the net
realized and unrealized gain (loss) on investment securities. Other foreign
currency transactions resulting in realized and unrealized gain (loss) are
disclosed separately.
Foreign
Taxes
The
Funds may be subject to foreign taxes (a portion of which may be reclaimable) on
income, stock dividends, realized and unrealized capital gain on investments or
certain foreign currency transactions. Foreign taxes are recorded in accordance
with SSGA FM’s understanding of the applicable foreign tax regulations and rates
that exist in the foreign jurisdictions in which the Funds invest. These foreign
taxes, if any, are paid by the Funds and are reflected in the Statements of
Operations, if applicable. Foreign taxes payable or deferred as of December 31,
2022, if any, are disclosed in the Funds’ Statements of Assets and
Liabilities.
Equalization
The
Funds follow the accounting practice known as “Equalization” by which a portion
of the proceeds from sales and costs of reacquiring Fund shares, equivalent on a
per share basis to the amount of distributable net investment income on the date
of the transaction, is credited or charged to undistributed net investment
income. As a result, undistributed net investment income per share is unaffected
by sales or reacquisition of Fund shares. Amounts related to Equalization can be
found on the Statements of Changes in Net Assets.
Distributions
Distributions
from net investment income are declared and paid quarterly for SPDR SSGA
Multi-Asset Real Return ETF, SPDR SSGA Income Allocation ETF, SPDR SSGA Global
Allocation ETF and SPDR SSGA US Sector Rotation ETF and declared and paid
monthly for SPDR SSGA Ultra Short Term Bond ETF, SPDR Loomis Sayles
Opportunistic Bond ETF, SPDR Doubline Total Return Tactical ETF, SPDR Doubline
Emerging Markets Fixed Income ETF, SPDR DoubleLine Short Duration Total Return
Tactical ETF, SPDR SSGA Fixed Income Sector Rotation ETF, SPDR Nuveen Municipal
Bond ESG ETF and SPDR Nuveen Municipal Bond ETF.
Net
realized capital gains, if any, are distributed annually. Dividends may be
declared and paid more frequently or at any other times to improve Index
tracking or to comply with the distribution requirements of the Internal Revenue
Code of 1986, as amended (“Internal Revenue Code”).
