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WisdomTree Trust

Semi-Annual Report

February 28, 2022

 

Currency Strategy Funds:

WisdomTree Bloomberg U.S. Dollar Bullish Fund (USDU)

WisdomTree Chinese Yuan Strategy Fund (CYB)

WisdomTree Emerging Currency Strategy Fund (CEW)

Fixed Income Funds:

WisdomTree Emerging Markets Corporate Bond Fund (EMCB)

WisdomTree Emerging Markets Local Debt Fund (ELD)

WisdomTree Floating Rate Treasury Fund (USFR)

WisdomTree Interest Rate Hedged High Yield Bond Fund (HYZD)

WisdomTree Interest Rate Hedged U.S. Aggregate Bond Fund (AGZD)

WisdomTree Mortgage Plus Bond Fund (MTGP)

WisdomTree Yield Enhanced U.S. Aggregate Bond Fund (AGGY)

WisdomTree Yield Enhanced U.S. Short-Term Aggregate Bond Fund (SHAG)

Alternative Funds:

WisdomTree Alternative Income Fund (HYIN)

WisdomTree CBOE S&P 500 PutWrite Strategy Fund (PUTW)

WisdomTree Efficient Gold Plus Gold Miners Strategy Fund (GDMN)

WisdomTree Enhanced Commodity Strategy Fund (GCC)

WisdomTree Managed Futures Strategy Fund (WTMF)

WisdomTree Target Range Fund (GTR)


Table of Contents

Table of Contents

 

Information about Performance and Shareholder Expense Examples (unaudited)

       1  

Performance Summary (unaudited)

       2  

Description of Terms and Indexes (unaudited)

       19  
Schedules of Investments (unaudited)     

WisdomTree Bloomberg U.S. Dollar Bullish Fund

       24  

WisdomTree Chinese Yuan Strategy Fund

       27  

WisdomTree Emerging Currency Strategy Fund

       29  

WisdomTree Emerging Markets Corporate Bond Fund

       31  

WisdomTree Emerging Markets Local Debt Fund

       37  

WisdomTree Floating Rate Treasury Fund

       41  

WisdomTree Interest Rate Hedged High Yield Bond Fund

       42  

WisdomTree Interest Rate Hedged U.S. Aggregate Bond Fund

       51  

WisdomTree Mortgage Plus Bond Fund

       78  

WisdomTree Yield Enhanced U.S. Aggregate Bond Fund

       81  

WisdomTree Yield Enhanced U.S. Short-Term Aggregate Bond Fund

       111  

WisdomTree Alternative Income Fund

       118  

WisdomTree CBOE S&P 500 PutWrite Strategy Fund

       119  

WisdomTree Efficient Gold Plus Gold Miners Strategy Fund (consolidated)

       120  

WisdomTree Enhanced Commodity Strategy Fund (consolidated)

       122  

WisdomTree Managed Futures Strategy Fund (consolidated)

       124  

WisdomTree Target Range Fund

       126  

Statements of Assets and Liabilities (unaudited)

       128  

Statements of Operations (unaudited)

       132  

Statements of Changes in Net Assets (unaudited)

       136  

Financial Highlights (unaudited)

       142  

Notes to Financial Statements (unaudited)

       151  

Approval of Investment Advisory and Sub-Advisory Agreements (unaudited)

       169  

General Information (unaudited)

       174  

“WisdomTree” is a registered mark of WisdomTree Investments, Inc. and is licensed for use by the WisdomTree Trust.


Table of Contents

Information about Performance and Shareholder Expense Examples (unaudited)

Performance

The performance tables on the following pages are provided for comparative purposes and represent the period noted. Each Fund’s per share net asset value (“NAV”) is the value of one share of the Fund and is calculated by dividing the value of total assets less total liabilities by the number of shares outstanding. The NAV return is based on the NAV of the Fund and the market price return is based on the market price per share of the Fund. The price used to calculate market price returns is the midpoint of the bid and ask price for Fund shares as of the close of trading on the exchange where Fund shares are listed. NAV and market price returns assume that dividends and capital gain distributions have been reinvested in the Fund at NAV and market price, respectively. As with other exchange traded funds (“ETFs”), NAV returns and market price returns may differ because of factors such as the supply and demand for Fund shares and investors’ assessments of the underlying value of a Fund’s portfolio securities.

Fund shares are bought and sold at market price (not NAV) and are not individually redeemed from a Fund. Fund NAV returns are calculated using a Fund’s daily 4:00 p.m. eastern time NAV. Market price returns reflect the midpoint of the bid and ask price as of the close of trading on the exchange where Fund shares are listed. Market price returns do not represent the returns you would receive if you traded shares at other times. The returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. Total returns for a period of less than one year are cumulative.

Performance is historical and does not guarantee future results. Current performance may be lower or higher than quoted. Investment returns and the principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. For the most recent month-end performance information visit www.wisdomtree.com.

An index is a statistical measure of a specified financial market or sector. An index does not actually hold a portfolio of securities, incur expenses or pay any transaction costs. Therefore, index returns do not reflect deductions for fees or expenses and an index is not available for direct investment. In comparison, the Funds’ performance is negatively impacted by these deductions. Fund returns do not reflect brokerage commissions or taxes on transactions in Fund shares or taxes that a shareholder would pay on Fund distributions. Past performance is no guarantee of future results.

Shareholder Expense Examples

Each Fund’s performance table is accompanied by a shareholder expense example. As a shareholder of a WisdomTree Fund, you incur two types of cost: (1) transaction costs, including brokerage commissions on purchases and sales of your Fund shares and (2) ongoing costs, including management fees and other Fund expenses. The examples are intended to help you understand your ongoing costs (in dollars and cents) of investing in a Fund and to compare these costs with the ongoing costs of investing in other funds.

The examples are based on an investment of $1,000 invested at the beginning of the period and held for the entire period from September 1, 2021 to February 28, 2022. Except where noted, expenses are calculated using each Fund’s annualized expense ratio (after the effect of contractual or voluntary fee waivers, if any), multiplied by the average account value for the period, multiplied by 181/365 (to reflect the one-half year period). The annualized expense ratio does not include acquired fund fees and expenses (“AFFEs”), which are fees and expenses incurred indirectly by a Fund through its investments in certain underlying investment companies.

Actual expenses

The first line in the shareholder expense example table shown on the following pages provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line for your Fund under the heading entitled “Expenses Paid During the Period” to estimate the expenses you paid on your account during the period.

Hypothetical example for comparison purposes

The second line in the shareholder expense example table shown on the following pages provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in your Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as brokerage commissions paid on purchases and sales of Fund shares. Therefore, the second line in the table is useful in comparing ongoing Fund costs only and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

 

WisdomTree Trust      1  


Table of Contents

Performance Summary

as of February 28, 2022 (unaudited)

WisdomTree Bloomberg U.S. Dollar Bullish Fund (USDU)

 

Investment Breakdown

 

Investment Type   % of Net Assets  

U.S. Government Obligations

    95.6%  

Exchange-Traded Funds

    4.3%  

Other Assets less Liabilities‡

    0.1%  

Total

    100.0%  

 

The Fund’s investment breakdown may change over time. It does not include derivatives (if any).

 

Other assets less liabilities may include investment of cash collateral for securities on loan and/or receivables/payables on derivatives (if any).

Top Holdings*

 

Description   % of Net Assets  

U.S. Treasury Bill,
0.50%, 7/7/22

    24.3

U.S. Treasury Bill,
0.05%, 4/7/22

    24.3

U.S. Treasury Bill,
0.09%, 5/12/22

    24.2

U.S. Treasury Bill,
0.48%, 6/9/22

    22.8

WisdomTree Floating Rate Treasury Fund (USFR)^

    4.3
*

The largest holdings are subject to change, and there are no guarantees the Fund will remain invested in any particular security. Excludes derivatives and investment of cash collateral for securities on loan (if any).

 

^

For a full list of holdings information for the underlying WisdomTree fund, please see page 41 of this report.

The WisdomTree Bloomberg U.S. Dollar Bullish Fund (the “Fund”) seeks to provide total returns, before fees and expenses, that exceed the performance of the Bloomberg Dollar Total Return Index (the “Index”). The Fund seeks to achieve its investment objective by investing in short-term securities and instruments designed to potentially benefit as the U.S. dollar appreciates in value relative to a basket of global currencies. Although the Fund invests in short-term, investment grade instruments, the Fund is not a “money market” fund and it is not the objective of the Fund to maintain a constant share price.

Shareholder Expense Example (for the six-month period ended February 28, 2022)

 

         
      Beginning
Account Value
     Ending
Account Value
     Annualized Net
Expense Ratio
    Expenses Paid
During the
Period
 

Actual

   $ 1,000.00      $ 1,025.00        0.50 %1    $ 2.51  

Hypothetical (5% return before expenses)

   $ 1,000.00      $ 1,022.32        0.50 %1    $ 2.51  
1 

WisdomTree Asset Management, Inc. voluntarily waives a portion of its advisory fee, that it would otherwise charge, in an amount equal to the acquired fund fees and expenses (“AFFEs”) attributable to the Fund’s investment in the underlying WisdomTree fund. The “Annualized Net Expense Ratio” does not include the impact of AFFEs.

Performance

 

   
        Average Annual Total Return  
        6-Month*      1 Year      3 Year      5 Year      Since Inception1  

Fund NAV Returns

       2.50      3.15      0.14      -0.04      2.05

Fund Market Price Returns

       2.62      3.19      0.18      -0.02      2.07

Bloomberg Dollar Total Return Index

       2.81      3.72      0.29      -0.09      2.22

Bloomberg Dollar Spot Index

       2.94      3.98      -0.26      -0.97      1.79
*

Returns of less than one year are cumulative.

 

1 

Total returns are calculated based on the commencement of Fund trading on the NYSE Arca, Inc. on December 18, 2013.

Performance is historical and does not guarantee future results. The returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares.

 

2   WisdomTree Trust


Table of Contents

Performance Summary

as of February 28, 2022 (unaudited)

WisdomTree Chinese Yuan Strategy Fund (CYB)

 

Investment Breakdown

 

Investment Type   % of Net Assets  

U.S. Government Obligations

    61.8

Repurchase Agreement

    31.9

Exchange-Traded Funds

    4.8

Other Assets less Liabilities‡

    1.5

Total

    100.0

 

The Fund’s investment breakdown may change over time. It does not include derivatives (if any).

 

Other assets less liabilities may include investment of cash collateral for securities on loan and/or receivables/payables on derivatives (if any).

Top Holdings*

 

Description   % of Net Assets  

Citigroup, Inc., tri-party repurchase agreement,
0.06%, 3/1/22††

    31.9%  

U.S. Treasury Bill,
0.05%, 4/7/22

    31.6%  

U.S. Treasury Bill,
0.34%, 6/9/22

    30.2%  

WisdomTree Floating Rate Treasury Fund (USFR)^

    4.8%  
*

The largest holdings are subject to change, and there are no guarantees the Fund will remain invested in any particular security. Excludes derivatives and investment of cash collateral for securities on loan (if any).

 

††

Fully collateralized by U.S. Government agency securities.

 

^

For a full list of holdings information for the underlying WisdomTree fund, please see page 41 of this report.

The WisdomTree Chinese Yuan Strategy Fund (the “Fund”) seeks to achieve total returns reflective of both money market rates in China available to foreign investors and changes in value of the Chinese yuan relative to the U.S. dollar. The Fund seeks to achieve its investment objective by investing in short-term securities and instruments designed to provide exposure to Chinese currency and money market rates. The Chinese yuan is a developing market currency, which can experience periods of significant volatility. Although the Fund invests in short-term, investment grade instruments, the Fund is not a “money market” fund and it is not the objective of the Fund to maintain a constant share price.

Shareholder Expense Example (for the six-month period ended February 28, 2022)

 

         
      Beginning
Account Value
     Ending
Account Value
     Annualized Net
Expense Ratio
    Expenses Paid
During the
Period
 

Actual

   $ 1,000.00      $ 1,036.10        0.45 %1    $ 2.27  

Hypothetical (5% return before expenses)

   $ 1,000.00      $ 1,022.56        0.45 %1    $ 2.26  
1 

WisdomTree Asset Management, Inc. voluntarily waives a portion of its advisory fee, that it would otherwise charge, in an amount equal to the acquired fund fees and expenses (“AFFEs”) attributable to the Fund’s investment in the underlying WisdomTree fund. The “Annualized Net Expense Ratio” does not include the impact of AFFEs.

Performance

 

   
        Average Annual Total Return  
        6-Month*      1 Year      3 Year      5 Year      10 Year  

Fund NAV Returns

       3.61      5.05      4.11      4.35      2.14

Fund Market Price Returns

       3.55      4.64      4.21      4.33      2.15

JP Morgan Emerging Local Markets Index Plus (ELMI+) China

       3.89      5.64      5.17      5.29      3.11

Chinese yuan

       2.32      2.59      1.89      1.70      -0.03
*

Returns of less than one year are cumulative.

Performance is historical and does not guarantee future results. The returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares.

 

WisdomTree Trust      3  


Table of Contents

Performance Summary

as of February 28, 2022 (unaudited)

WisdomTree Emerging Currency Strategy Fund (CEW)

 

Investment Breakdown

 

Investment Type   % of Net Assets  

U.S. Government Obligations

    68.0%  

Repurchase Agreement

    28.7%  

Exchange-Traded Funds

    4.2%  

Other Assets less Liabilities‡

    -0.9%  

Total

    100.0%  

 

The Fund’s investment breakdown may change over time. It does not include derivatives (if any).

 

Other assets less liabilities may include investment of cash collateral for securities on loan and/or receivables/payables on derivatives (if any).

Top Holdings*

 

Description   % of Net Assets  

U.S. Treasury Bill,
0.05%, 4/7/22

    40.3%  

Citigroup, Inc., tri-party repurchase agreement,
0.06%, 3/1/22††

    28.7%  

U.S. Treasury Bill,
0.34%, 6/9/22

    27.7%  

WisdomTree Floating Rate Treasury Fund (USFR)^

    4.2%  
*

The largest holdings are subject to change, and there are no guarantees the Fund will remain invested in any particular security. Excludes derivatives and investment of cash collateral for securities on loan (if any).

 

††

Fully collateralized by U.S. Government agency securities.

 

^

For a full list of holdings information for the underlying WisdomTree fund, please see page 41 of this report.

The WisdomTree Emerging Currency Strategy Fund (the “Fund”) seeks to achieve total returns reflective of both money market rates in selected emerging market countries available to foreign investors and changes to the value of these currencies relative to the U.S. dollar. The Fund seeks to achieve its investment objective by investing in short-term securities and instruments designed to provide exposure to the currencies and money market rates of selected emerging market countries. Emerging market currencies can experience periods of significant volatility. Although the Fund invests in short-term, investment grade instruments, the Fund is not a “money market” fund and it is not the objective of the Fund to maintain a constant share price.

Shareholder Expense Example (for the six-month period ended February 28, 2022)

 

         
      Beginning
Account Value
     Ending
Account Value
     Annualized Net
Expense Ratio
    Expenses Paid
During the
Period
 

Actual

   $ 1,000.00      $ 939.50        0.55 %1    $ 2.64  

Hypothetical (5% return before expenses)

   $ 1,000.00      $ 1,022.07        0.55 %1    $ 2.76  
1 

WisdomTree Asset Management, Inc. voluntarily waives a portion of its advisory fee, that it would otherwise charge, in an amount equal to the acquired fund fees and expenses (“AFFEs”) attributable to the Fund’s investment in the underlying WisdomTree fund. The “Annualized Net Expense Ratio” does not include the impact of AFFEs.

Performance

 

   
        Average Annual Total Return  
        6-Month*      1 Year      3 Year      5 Year      10 Year  

Fund NAV Returns

       -6.05      -5.84      -1.98      -0.33      -1.75

Fund Market Price Returns

       -6.54      -6.03      -2.10      -0.36      -1.76

JP Morgan Emerging Local Markets Index Plus (ELMI+)

       -4.41      -3.66      -0.10      1.20      -0.37

Equal-Weighted Emerging Currency Composite

       -5.42      -4.72      -0.97      0.65      -0.88
*

Returns of less than one year are cumulative.

Performance is historical and does not guarantee future results. The returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares.

 

4   WisdomTree Trust


Table of Contents

Performance Summary

as of February 28, 2022 (unaudited)

WisdomTree Emerging Markets Corporate Bond Fund (EMCB)

 

Country Breakdown

 

Country   % of Net Assets  

Brazil

    7.5%  

Colombia

    7.0%  

Mexico

    6.5%  

India

    6.2%  

Chile

    5.6%  

Israel

    4.8%  

Kuwait

    3.7%  

Peru

    3.7%  

United Arab Emirates

    3.6%  

South Africa

    3.4%  

Turkey

    3.3%  

South Korea

    3.2%  

Indonesia

    2.8%  

Saudi Arabia

    2.8%  

Luxembourg

    2.8%  

China

    2.6%  

Thailand

    2.6%  

Russia

    2.4%  

Argentina

    2.3%  

Kazakhstan

    2.2%  

Panama

    2.2%  

Oman

    2.1%  

Malaysia

    1.7%  

Guatemala

    1.6%  

Hong Kong

    1.6%  

Singapore

    1.5%  

Qatar

    1.4%  

Poland

    1.2%  

Ireland

    1.0%  

Ghana

    1.0%  

Others^

    3.8%  

Other Assets less Liabilities‡

    1.9%  

Total

    100.0%  

 

The Fund’s country breakdown may change over time. It does not include derivatives (if any).

 

^

Includes countries that represent less than 1% of net assets.

 

Other assets less liabilities may include investment of cash collateral for securities on loan and/or receivables/payables on derivatives (if any).

Top Ten Holdings*

 

Description   % of Net Assets  

Ecopetrol SA,
6.88%, 4/29/30

    1.6%  

Altice Financing SA,
5.75%, 8/15/29

    1.4%  

Canpack SA / Canpack U.S. LLC,
3.13%, 11/1/25

    1.2%  

Tengizchevroil Finance Co. International Ltd.,
3.25%, 8/15/30

    1.2%  

NBK Tier 1 Financing 2 Ltd.,
4.50%, 8/27/25

    1.2%  

Saudi Arabian Oil Co.,
2.25%, 11/24/30

    1.1%  

C&W Senior Financing DAC,
6.88%, 9/15/27

    1.0%  

Bancolombia SA,
4.63%, 12/18/29

    1.0%  

AES Panama Generation Holdings SRL,
4.38%, 5/31/30

    1.0%  

Teva Pharmaceutical Finance Netherlands III BV,
3.15%, 10/1/26

    1.0%  
*

The ten largest holdings are subject to change, and there are no guarantees the Fund will remain invested in any particular company. Excludes derivatives and investment of cash collateral for securities on loan (if any).

The WisdomTree Emerging Markets Corporate Bond Fund (the “Fund”) seeks a high level of total return consisting of both income and capital appreciation. The Fund attempts to achieve its objective through investments in U.S. dollar denominated debt securities issued by corporate entities that are domiciled in, or economically tied to, emerging market countries.

Shareholder Expense Example (for the six-month period ended February 28, 2022)

 

         
      Beginning
Account Value
     Ending
Account Value
     Annualized
Expense Ratio
    Expenses Paid
During the
Period
 

Actual

   $ 1,000.00      $ 893.00        0.60   $ 2.82  

Hypothetical (5% return before expenses)

   $ 1,000.00      $ 1,021.82        0.60   $ 3.01  

Performance

 

   
        Average Annual Total Return  
        6-Month*      1 Year      3 Year      5 Year      Since Inception1  

Fund NAV Returns

       -10.70      -9.11      2.09      2.66      3.18

Fund Market Price Returns

       -8.78      -7.60      2.74      2.99      3.36

JP Morgan CEMBI Diversified Index

       -7.91      -5.82      3.23      3.39      4.30
*

Returns of less than one year are cumulative.

 

1 

Total returns are calculated based on the commencement of Fund trading on the NASDAQ on March 8, 2012.

Performance is historical and does not guarantee future results. The returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares.

 

WisdomTree Trust      5  


Table of Contents

Performance Summary

as of February 28, 2022 (unaudited)

WisdomTree Emerging Markets Local Debt Fund (ELD)

 

Country Breakdown

 

Country   % of Net Assets  

Indonesia

    11.6%  

Supranational Bonds

    9.6%  

South Africa

    9.6%  

Brazil

    7.9%  

China

    7.1%  

Colombia

    7.0%  

Malaysia

    6.8%  

Mexico

    5.0%  

Thailand

    3.8%  

Chile

    3.8%  

Russia

    3.7%  

Peru

    3.7%  

Poland

    3.6%  

India

    3.5%  

Turkey

    2.1%  

Czech Republic

    2.0%  

Philippines

    2.0%  

Romania

    2.0%  

Hungary

    1.9%  

United States

    1.8%  

Egypt

    0.0%

Other Assets less Liabilities‡

    1.5%  

Total

    100.0%  

 

The Fund’s country breakdown may change over time. It does not include derivatives (if any).

 

Other assets less liabilities may include investment of cash collateral for securities on loan and/or receivables/payables on derivatives (if any).

 

^

Represents less than 0.05%.

Top Ten Holdings*

 

Description   % of Net Assets  

Citigroup, Inc., tri-party repurchase agreement,
0.06%, 3/1/22††

    1.8%  

European Investment Bank,
7.50%, 7/30/23

    1.6%  

Brazil Letras do Tesouro Nacional,
6.38%, 7/1/23, Series LTN

    1.5%  

International Finance Corp.,
7.00%, 7/20/27

    1.5%  

Brazil Letras do Tesouro Nacional,
6.30%, 1/1/24, Series LTN

    1.4%  

Republic of South Africa Government Bond,
8.00%, 1/31/30, Series 2030

    1.4%  

International Finance Corp.,
7.50%, 1/18/28

    1.3%  

Philippine Government International Bond,
6.25%, 1/14/36

    1.3%  

Brazil Notas do Tesouro Nacional,
10.00%, 1/1/23, Series F

    1.3%  

Indonesia Treasury Bond,
8.38%, 9/15/26, Series FR56

    1.2%  
*

The ten largest holdings are subject to change, and there are no guarantees the Fund will remain invested in any particular security. Excludes derivatives and investment of cash collateral for securities on loan (if any).

 

††

Fully collateralized by U.S. Government agency securities.

The WisdomTree Emerging Markets Local Debt Fund (the “Fund”) seeks a high level of total return consisting of both income and capital appreciation. The Fund attempts to achieve its objective through investments in fixed income instruments denominated in the local currencies of emerging market countries.

Shareholder Expense Example (for the six-month period ended February 28, 2022)

 

         
      Beginning
Account Value
     Ending
Account Value
     Annualized
Expense Ratio
    Expenses Paid
During the
Period
 

Actual

   $ 1,000.00      $ 911.20        0.55   $ 2.61  

Hypothetical (5% return before expenses)

   $ 1,000.00      $ 1,022.07        0.55   $ 2.76  

Performance

 

   
        Average Annual Total Return  
        6-Month*      1 Year      3 Year      5 Year      10 Year  

Fund NAV Returns

       -8.88      -8.45      -1.07      0.12      -1.28

Fund Market Price Returns

       -11.05      -10.54      -1.96      -0.39      -1.53

JP Morgan Government Bond Index-Emerging Markets (GBI-EM) Global Diversified Index

       -10.59      -9.96      -1.06      0.95      -0.77
*

Returns of less than one year are cumulative.

Performance is historical and does not guarantee future results. The returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares.

 

6   WisdomTree Trust


Table of Contents

Performance Summary

as of February 28, 2022 (unaudited)

WisdomTree Floating Rate Treasury Fund (USFR)

 

Investment Breakdown

 

Investment Type   % of Net Assets  

U.S. Government Obligations

    100.0%  

Other Assets less Liabilities‡

    0.0%

Total

    100.0%  

 

The Fund’s investment breakdown may change over time. It does not include derivatives (if any).

 

Other assets less liabilities may include investment of cash collateral for securities on loan and/or receivables/payables on derivatives (if any).

 

^

Represents less than 0.05%.

Top Holdings*

 

Description   % of Net Assets  

U.S. Treasury Floating Rate Note,
0.39%, 7/31/23

    28.2%  

U.S. Treasury Floating Rate Note,
0.39%, 4/30/23

    28.2%  

U.S. Treasury Floating Rate Note,
0.40%, 10/31/23

    26.8%  

U.S. Treasury Floating Rate Note,
0.35%, 1/31/24

    16.8%  
*

The holdings are subject to change, and there are no guarantees the Fund will remain invested in any particular security. Excludes derivatives and investment of cash collateral for securities on loan (if any).

The WisdomTree Floating Rate Treasury Fund (the “Fund”) seeks to track the price and yield performance, before fees and expenses, of the Bloomberg U.S. Treasury Floating Rate Bond Index (the “Index”). In seeking to track the Index, the Fund invests in floating rate public obligations of the U.S. Treasury. The Fund generally uses a representative sampling strategy to achieve its investment objective, meaning it generally will invest in a sample of the securities in the Index whose risk, return and other characteristics resemble the risk, return and other characteristics of the Index as a whole.

Shareholder Expense Example (for the six-month period ended February 28, 2022)

 

         
      Beginning
Account Value
     Ending
Account Value
     Annualized
Expense Ratio
    Expenses Paid
During the
Period
 

Actual

   $ 1,000.00      $ 1,000.90        0.15   $ 0.74  

Hypothetical (5% return before expenses)

   $ 1,000.00      $ 1,024.05        0.15   $ 0.75  

Performance

 

   
        Average Annual Total Return  
        6-Month*      1 Year      3 Year      5 Year      Since Inception1  

Fund NAV Returns

       0.09      0.09      0.78      1.09      0.75

Fund Market Price Returns

       0.13      0.09      0.78      1.15      0.74

Bloomberg U.S. Treasury Floating Rate Bond Index

       0.18      0.25      0.96      1.27      0.91
*

Returns of less than one year are cumulative.

 

1 

Total returns are calculated based on the commencement of Fund trading on the NYSE Arca, Inc. on February 4, 2014.

Performance is historical and does not guarantee future results. The returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares.

 

WisdomTree Trust      7  


Table of Contents

Performance Summary

as of February 28, 2022 (unaudited)

WisdomTree Interest Rate Hedged High Yield Bond Fund (HYZD)

 

Investment Breakdown

 

Investment Type   % of Net Assets  

U.S. Corporate Bonds

    95.4%  

Foreign Corporate Bonds

    0.6%  

Other Assets less Liabilities‡

    4.0%  

Total

    100.0%  

 

The Fund’s investment breakdown may change over time. It does not include derivatives (if any).

 

Other assets less liabilities may include investment of cash collateral for securities on loan and/or receivables/payables on derivatives (if any).

Top Ten Holdings*

 

Description   % of Net Assets  

Caesars Entertainment, Inc.,
6.25%, 7/1/25

    0.9%  

NRG Energy, Inc.,
5.25%, 6/15/29

    0.9%  

CSC Holdings LLC,
5.25%, 6/1/24

    0.8%  

Sirius XM Radio, Inc.,
4.13%, 7/1/30

    0.8%  

DISH DBS Corp.,
7.75%, 7/1/26

    0.8%  

MGM Resorts International,
7.75%, 3/15/22

    0.7%  

Gray Television, Inc.,
7.00%, 5/15/27

    0.7%  

Tenet Healthcare Corp.,
6.13%, 10/1/28

    0.7%  

DaVita, Inc.,
3.75%, 2/15/31

    0.7%  

CHS / Community Health Systems, Inc.,
4.75%, 2/15/31

    0.6%  
*

The ten largest holdings are subject to change, and there are no guarantees the Fund will remain invested in any particular company. Excludes derivatives and investment of cash collateral for securities on loan (if any).

The WisdomTree Interest Rate Hedged High Yield Bond Fund (the “Fund”) seeks to track the price and yield performance, before fees and expenses, of the WisdomTree U.S. High Yield Corporate Bond, Zero Duration Index (the “Index”). In seeking to track the Index, the Fund invests mainly in U.S. non-investment-grade corporate fixed income securities that are deemed to have favorable fundamental and income characteristics and obtains short exposure to U.S. Treasuries such that the Fund’s total portfolio duration approximates zero years. The Fund generally uses a representative sampling strategy to achieve its investment objective, meaning it generally will invest in a sample of the securities in the Index whose risk, return and other characteristics resemble the risk, return and other characteristics of the Index as a whole.

Shareholder Expense Example (for the six-month period ended February 28, 2022)

 

         
      Beginning
Account Value
     Ending
Account Value
     Annualized
Expense Ratio
    Expenses Paid
During the
Period
 

Actual

   $ 1,000.00      $ 993.30        0.43   $ 2.13  

Hypothetical (5% return before expenses)

   $ 1,000.00      $ 1,022.66        0.43   $ 2.16  

Performance

 

   
        Average Annual Total Return  
        6-Month*      1 Year      3 Year      5 Year      Since Inception1  

Fund NAV Returns

       -0.67      2.29      2.00      2.93      3.00

Fund Market Price Returns

       -0.85      1.00      2.14      2.89      2.99

ICE BofA Merrill Lynch 0-5 Year U.S. High Yield Constrained, Zero Duration Index/WisdomTree U.S. High Yield Corporate Bond, Zero Duration Spliced Index2

       -0.39      3.28      2.97      3.73      3.75
*

Returns of less than one year are cumulative.

 

1 

Total returns are calculated based on the commencement of Fund trading on the NASDAQ on December 18, 2013.

 

2 

ICE BofA Merrill Lynch 0-5 Year U.S. High Yield Constrained, Zero Duration Index through May 31, 2020; WisdomTree U.S. High Yield Corporate Bond, Zero Duration Index thereafter.

Performance is historical and does not guarantee future results. The returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares.

 

8   WisdomTree Trust


Table of Contents

Performance Summary

as of February 28, 2022 (unaudited)

WisdomTree Interest Rate Hedged U.S. Aggregate Bond Fund (AGZD)

 

Investment Breakdown

 

Investment Type   % of Net Assets  

U.S. Government Obligations

    41.0%  

U.S. Government Agencies

    28.7%  

U.S. Corporate Bonds

    21.5%  

Repurchase Agreement

    7.2%  

Foreign Corporate Bonds

    3.2%  

Commercial Mortgage-Backed Securities

    2.0%  

Supranational Bonds

    1.5%  

Foreign Government Obligations

    1.1%  

Foreign Government Agencies

    0.7%  

Municipal Bonds

    0.4%  

Asset-Backed Securities

    0.3%  

Other Assets less Liabilities‡

    -7.6%  

Total

    100.0%  

 

The Fund’s investment breakdown may change over time. It does not include derivatives (if any).

 

Other assets less liabilities may include investment of cash collateral for securities on loan and/or receivables/payables on derivatives (if any).

Top Ten Holdings*

 

Description   % of Net Assets  

Citigroup, Inc., tri-party repurchase agreement,
0.06%, 3/1/22††

    7.2%  

Uniform Mortgage-Backed Security,
2.00%, 3/1/52

    2.1%  

Uniform Mortgage-Backed Security,
2.50%, 3/1/52

    1.0%  

Government National Mortgage Association,
2.00%, 3/1/52

    0.8%  

Uniform Mortgage-Backed Security,
2.00%, 3/1/37

    0.6%  

Government National Mortgage Association,
2.50%, 3/1/52

    0.6%  

U.S. Treasury Note,
1.50%, 1/31/27

    0.5%  

U.S. Treasury Note,
0.63%, 10/15/24

    0.5%  

U.S. Treasury Note,
1.25%, 8/15/31

    0.5%  

U.S. Treasury Note,
1.38%, 11/15/31

    0.5%  
*

The ten largest holdings are subject to change, and there are no guarantees the Fund will remain invested in any particular security. Excludes derivatives and investment of cash collateral for securities on loan (if any).

 

††

Fully collateralized by U.S. Government agency securities.

The WisdomTree Interest Rate Hedged U.S. Aggregate Bond Fund (the “Fund”) seeks to track the price and yield performance, before fees and expenses, of the Bloomberg Rate Hedged U.S. Aggregate Bond Index, Zero Duration (the “Index”). In seeking to track the Index, the Fund invests mainly in U.S. investment grade fixed income securities and obtains short exposure to U.S. Treasuries such that the Fund’s total portfolio duration approximates zero years. The Fund generally uses a representative sampling strategy to achieve its investment objective, meaning it generally will invest in a sample of the securities in the Index whose risk, return and other characteristics resemble the risk, return and other characteristics of the Index as a whole.

Shareholder Expense Example (for the six-month period ended February 28, 2022)

 

         
      Beginning
Account Value
     Ending
Account Value
     Annualized
Expense Ratio
    Expenses Paid
During the
Period
 

Actual

   $ 1,000.00      $ 995.70        0.23   $ 1.14  

Hypothetical (5% return before expenses)

   $ 1,000.00      $ 1,023.65        0.23   $ 1.15  

Performance

 

   
        Average Annual Total Return  
        6-Month*      1 Year      3 Year      5 Year      Since Inception1  

Fund NAV Returns

       -0.43      -0.67      1.22      1.55      1.15

Fund Market Price Returns

       -0.43      -0.48      1.19      1.55      1.17

Bloomberg Rate Hedged U.S. Aggregate Bond Index, Zero Duration

       -0.69      -0.33      1.17      1.57      1.40
*

Returns of less than one year are cumulative.

 

1 

Total returns are calculated based on the commencement of Fund trading on the NASDAQ on December 18, 2013.

Performance is historical and does not guarantee future results. The returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares.

 

WisdomTree Trust      9  


Table of Contents

Performance Summary

as of February 28, 2022 (unaudited)

WisdomTree Mortgage Plus Bond Fund (MTGP)

 

Investment Breakdown

 

Investment Type   % of Net Assets  

Collateralized Mortgage Obligations

    46.6%  

U.S. Government Agencies

    41.2%  

Commercial Mortgage-Backed Securities

    4.8%  

Collateralized Loan Obligations

    4.8%  

Asset-Backed Securities

    0.8%  

Other Assets less Liabilities‡

    1.8%  

Total

    100.0%  

 

The Fund’s investment breakdown may change over time. It does not include derivatives (if any).

 

Other assets less liabilities may include investment of cash collateral for securities on loan and/or receivables/payables on derivatives (if any).

Top Ten Holdings*

 

Description   % of Net Assets  

Government National Mortgage Association,
2.50%, 3/1/52

    9.4%  

Uniform Mortgage-Backed Security,
2.50%, 3/1/52

    8.0%  

Government National Mortgage Association,
3.00%, 4/1/52

    6.3%  

Uniform Mortgage-Backed Security,
2.00%, 3/1/52

    3.9%  

Federal National Mortgage Association,
4.00%, 10/1/48

    2.5%  

Federal Home Loan Mortgage Corp.,
2.00%, 1/1/52

    2.4%  

Federal Home Loan Mortgage Corp. REMIC,
5.00%, 11/15/32, Series 2519, Class NU

    2.2%  

Government National Mortgage Association,
4.00%, 3/20/44, Series 2014-43, Class Z

    1.8%  

Seasoned Credit Risk Transfer Trust,
3.75%, 9/25/55, Series 2016-1, Class M2

    1.6%  

Government National Mortgage Association,
3.50%, 7/20/47

    1.4%  
*

The ten largest holdings are subject to change, and there are no guarantees the Fund will remain invested in any particular company. Excludes derivatives and investment of cash collateral for securities on loan (if any).

The WisdomTree Mortgage Plus Bond Fund (the “Fund”) seeks income and capital appreciation. The Fund attempts to achieve its objective through investments in mortgage-related debt and other securitized debt.

Shareholder Expense Example (for the six-month period ended February 28, 2022)

 

         
      Beginning
Account Value
     Ending
Account Value
     Annualized
Expense Ratio
    Expenses Paid
During the
Period
 

Actual

   $ 1,000.00      $ 972.90        0.45   $ 2.20  

Hypothetical (5% return before expenses)

   $ 1,000.00      $ 1,022.56        0.45   $ 2.26  

Performance

 

   
        Average Annual Total Return  
        6-Month*      1 Year      Since Inception1  

Fund NAV Returns

       -2.71      -1.99      1.14

Fund Market Price Returns

       -3.00      -2.06      1.05

Bloomberg U.S. Securitized Mortgage Backed Securities/Asset Backed Securities/Commercial Mortgage Backed Securities (MBS/ABS/CMBS) Index

       -3.21      -2.85      0.40
*

Returns of less than one year are cumulative.

 

1 

Total returns are calculated based on the commencement of Fund trading on the NYSE Arca, Inc. on November 14, 2019.

Performance is historical and does not guarantee future results. The returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares.

 

10   WisdomTree Trust


Table of Contents

Performance Summary

as of February 28, 2022 (unaudited)

WisdomTree Yield Enhanced U.S. Aggregate Bond Fund (AGGY)

 

Investment Breakdown

 

Investment Type   % of Net Assets  

U.S. Government Agencies

    48.0%  

U.S. Corporate Bonds

    25.5%  

U.S. Government Obligations

    19.5%  

Repurchase Agreement

    18.6%  

Foreign Corporate Bonds

    4.5%  

Foreign Government Obligations

    2.1%  

Municipal Bonds

    0.6%  

Foreign Government Agencies

    0.3%  

Supranational Bonds

    0.1%  

Commercial Mortgage-Backed Securities

    0.1%  

Asset-Backed Securities

    0.0%

U.S. Government Agencies Sold Short

    -1.1%  

Other Assets less Liabilities‡

    -18.2%  

Total

    100.0%  

 

The Fund’s investment breakdown may change over time. It does not include derivatives (if any).

 

Other assets less liabilities may include investment of cash collateral for securities on loan and/or receivables/payables on derivatives (if any).

 

^

Represents less than 0.05%.

Top Ten Holdings*

 

Description   % of Net Assets  

Citigroup, Inc., tri-party repurchase agreement,
0.06%, 3/1/22††

    18.6%  

Uniform Mortgage-Backed Security,
2.00%, 3/1/52

    6.0%  

Uniform Mortgage-Backed Security,
2.50%, 3/1/52

    3.8%  

Government National Mortgage Association,
2.50%, 3/1/52

    2.3%  

Government National Mortgage Association,
2.00%, 3/1/52

    2.2%  

Federal Home Loan Mortgage Corp.,
6.25%, 7/15/32

    1.8%  

Government National Mortgage Association,
3.00%, 3/1/52

    1.8%  

Tennessee Valley Authority,
5.25%, 9/15/39

    1.1%  

Federal Home Loan Bank,
5.50%, 7/15/36

    0.9%  

Government National Mortgage Association,
3.50%, 3/1/52

    0.8%  
*

The ten largest holdings are subject to change, and there are no guarantees the Fund will remain invested in any particular security. Excludes derivatives and investment of cash collateral for securities on loan (if any).

 

††

Fully collateralized by U.S. Government agency securities.

The WisdomTree Yield Enhanced U.S. Aggregate Bond Fund (the “Fund”) seeks to track the price and yield performance, before fees and expenses, of the Bloomberg U.S. Aggregate Enhanced Yield Index (the “Index”). In seeking to track the Index, the Fund invests mainly in U.S. investment grade fixed income securities. The Fund generally uses a representative sampling strategy to achieve its investment objective, meaning it generally will invest in a sample of the securities in the Index whose risk, return and other characteristics resemble the risk, return and other characteristics of the Index as a whole.

Shareholder Expense Example (for the six-month period ended February 28, 2022)

 

         
      Beginning
Account Value
     Ending
Account Value
     Annualized
Expense Ratio
    Expenses Paid
During the
Period
 

Actual

   $ 1,000.00      $ 950.10        0.12   $ 0.58  

Hypothetical (5% return before expenses)

   $ 1,000.00      $ 1,024.20        0.12   $ 0.60  

Performance

 

   
        Average Annual Total Return  
        6-Month*      1 Year      3 Year      5 Year      Since Inception1  

Fund NAV Returns

       -4.99      -3.24      3.20      2.71      2.81

Fund Market Price Returns

       -5.16      -3.08      3.08      2.64      2.78

Bloomberg U.S. Aggregate Enhanced Yield Index

       -4.88      -3.02      3.33      2.91      3.00

Bloomberg U.S. Aggregate Bond Index

       -4.07      -2.64      3.30      2.71      2.64
*

Returns of less than one year are cumulative.

1 

Total returns are calculated based on the commencement of Fund trading on the NYSE Arca, Inc. on July 9, 2015.

Performance is historical and does not guarantee future results. The returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares.

 

WisdomTree Trust      11  


Table of Contents

Performance Summary

as of February 28, 2022 (unaudited)

WisdomTree Yield Enhanced U.S. Short-Term Aggregate Bond Fund (SHAG)

 

Investment Breakdown

 

Investment Type   % of Net Assets  

U.S. Government Obligations

    51.9%  

U.S. Corporate Bonds

    25.0%  

U.S. Government Agencies

    11.5%  

Commercial Mortgage-Backed Securities

    9.6%  

Foreign Corporate Bonds

    6.3%  

Supranational Bonds

    0.7%  

Foreign Government Agencies

    0.5%  

Asset-Backed Securities

    0.4%  

Foreign Government Obligations

    0.3%  

Other Assets less Liabilities‡

    -6.2%  

Total

    100.0%  

 

The Fund’s investment breakdown may change over time. It does not include derivatives (if any).

 

Other assets less liabilities may include investment of cash collateral for securities on loan and/or receivables/payables on derivatives (if any).

Top Ten Holdings*

 

Description   % of Net Assets  

U.S. Treasury Note,
0.50%, 3/31/25

    14.8%  

U.S. Treasury Bill,
0.08%, 3/24/22

    6.4%  

U.S. Treasury Note,
0.63%, 7/31/26

    6.0%  

Uniform Mortgage-Backed Security,
2.00%, 3/1/37

    5.0%  

U.S. Treasury Note,
0.75%, 5/31/26

    4.0%  

U.S. Treasury Note,
0.13%, 8/31/23

    3.4%  

U.S. Treasury Note,
1.25%, 12/31/26

    2.7%  

U.S. Treasury Note,
1.13%, 10/31/26

    2.7%  

Federal Home Loan Mortgage Corp.,
0.38%, 4/20/23

    2.4%  

U.S. Treasury Note,
0.75%, 4/30/26

    2.0%  
*

The ten largest holdings are subject to change, and there are no guarantees the Fund will remain invested in any particular company. Excludes derivatives and investment of cash collateral for securities on loan (if any).

The WisdomTree Yield Enhanced U.S. Short-Term Aggregate Bond Fund (the “Fund”) seeks to track the price and yield performance, before fees and expenses, of the Bloomberg U.S. Short Aggregate Enhanced Yield Index (the “Index”). In seeking to track the Index, the Fund invests mainly in short-term U.S. investment-grade fixed income securities having effective maturities generally shorter than five years. The Fund generally uses a representative sampling strategy to achieve its investment objective, meaning it generally will invest in a sample of the securities in the Index whose risk, return and other characteristics resemble the risk, return and other characteristics of the Index as a whole.

Shareholder Expense Example (for the six-month period ended February 28, 2022)

 

         
      Beginning
Account Value
     Ending
Account Value
     Annualized
Expense Ratio
    Expenses Paid
During the
Period
 

Actual

   $ 1,000.00      $ 972.40        0.12   $ 0.59  

Hypothetical (5% return before expenses)

   $ 1,000.00      $ 1,024.20        0.12   $ 0.60  

Performance

 

   
        Average Annual Total Return  
        6-Month*      1 Year      3 Year      Since Inception1  

Fund NAV Returns

       -2.76      -2.21      2.17      1.88

Fund Market Price Returns

       -2.77      -2.21      2.11      1.88

Bloomberg U.S. Short Aggregate Enhanced Yield Index

       -3.06      -2.55      1.94      1.81

Bloomberg U.S. Short Aggregate Composite Index

       -2.57      -2.22      2.11      1.78
*

Returns of less than one year are cumulative.

 

1 

Total returns are calculated based on the commencement of Fund trading on the Cboe BZX Exchange, Inc. on May 18, 2017.

Performance is historical and does not guarantee future results. The returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares.

 

12   WisdomTree Trust


Table of Contents

Performance Summary

as of February 28, 2022 (unaudited)

WisdomTree Alternative Income Fund (HYIN)

 

Investment Breakdown

 

Investment Type   % of Net Assets  

Common Stocks

    71.7%  

Closed-End Mutual Funds

    27.9%  

Other Assets less Liabilities‡

    0.4%  

Total

    100.0%  

 

The Fund’s investment breakdown may change over time. It does not include derivatives (if any).

 

Other assets less liabilities may include investment of cash collateral for securities on loan and/or receivables/payables on derivatives (if any).

Top Ten Holdings*

Description   % of Net Assets  

Hercules Capital, Inc.

    3.2%  

Ares Capital Corp.

    3.2%  

FS KKR Capital Corp.

    3.2%  

Owl Rock Capital Corp.

    3.1%  

Arbor Realty Trust, Inc.

    3.1%  

Blackstone Mortgage Trust, Inc., Class A

    3.1%  

Golub Capital BDC, Inc.

    3.1%  

Starwood Property Trust, Inc.

    3.0%  

Main Street Capital Corp.

    3.0%  

Goldman Sachs BDC, Inc.

    3.0%  
*

The ten largest holdings are subject to change, and there are no guarantees the Fund will remain invested in any particular company. Excludes derivatives and investment of cash collateral for securities on loan (if any).

The WisdomTree Alternative Income Fund (the “Fund”) seeks to track the price and yield performance, before fees and expenses, of the Gapstow Liquid Alternative Credit Index (the “Index”), which is designed to provide diversified exposure to alternative credit sectors. Alternative credit is an asset class that includes debt and debt-based investments that have a higher expected risk, return, and yield than traditional investment-grade fixed income instruments. In seeking to track the Index, the Fund invests mainly in registered closed-end investment companies (“CEFs”), including CEFs that have elected to be regulated as “business development companies” under the Investment Company Act of 1940, as amended, and real estate investment trusts that are listed and publicly traded on a major U.S. stock exchange. The Fund generally uses a representative sampling strategy to achieve its investment objective, meaning it generally will invest in a sample of the securities in the Index whose risk, return and other characteristics resemble the risk, return and other characteristics of the Index as a whole.

Shareholder Expense Example (for the six-month period ended February 28, 2022)

 

         
      Beginning
Account Value
     Ending
Account Value
     Annualized
Expense Ratio
    Expenses Paid
During the
Period
 

Actual

   $ 1,000.00      $ 942.00        0.50   $ 2.41  

Hypothetical (5% return before expenses)

   $ 1,000.00      $ 1,022.32        0.50   $ 2.51  

Performance

 

   
        Cumulative Total Return  
        6-Month      Since Inception1  

Fund NAV Returns

       -5.80      -2.66

Fund Market Price Returns

       -6.00      -2.91

Gapstow Liquid Alternative Credit Index

       -5.50      -2.21

ICE BofA Merrill Lynch U.S. High Yield Index

       -2.96      -0.60

S&P 500® Index

       -2.62      6.20
1 

Total returns are calculated based on the commencement of Fund trading on the Cboe BZX Exchange, Inc. on May 6, 2021.

Performance is historical and does not guarantee future results. The returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares.

 

WisdomTree Trust      13  


Table of Contents

Performance Summary

as of February 28, 2022 (unaudited)

WisdomTree CBOE S&P 500 PutWrite Strategy Fund (PUTW)

 

Investment Breakdown

 

Investment Type   % of Net Assets  

U.S. Government Obligations

    82.2%  

Exchange-Traded Funds

    4.4%  

Other Assets less Liabilities‡

    13.4%  

Total

    100.0%  

 

The Fund’s investment breakdown may change over time. It does not include derivatives (if any).

 

Other assets less liabilities may include investment of cash collateral for securities on loan and/or receivables/payables on derivatives (if any).

Top Holdings*

 

Description   % of Net Assets  

U.S. Treasury Bill,
0.35%, 5/19/22

    60.7%  

U.S. Treasury Bill,
0.40%, 5/26/22

    21.5%  

WisdomTree Floating Rate Treasury Fund (USFR)^

    4.4%  
*

The holdings are subject to change, and there are no guarantees the Fund will remain invested in any particular security. Excludes derivatives and investment of cash collateral for securities on loan (if any).

 

^

For a full list of holdings information for the underlying WisdomTree fund, please see page 41 of this report.

The WisdomTree CBOE S&P 500 PutWrite Strategy Fund (the “Fund”) seeks to track the price and yield performance, before fees and expenses, of the CBOE S&P 500 PutWrite Index (the “Index”), utilizing a strategy of writing put options on the S&P 500 Index. The strategy is designed to receive a premium from the option buyer by selling (i.e., writing) a sequence of one-month, at-the-money, S&P 500 Index put options. The Fund generally uses a representative sampling strategy to achieve its investment objective, meaning it generally will invest in a sample of the securities in the Index whose risk, return and other characteristics resemble the risk, return and other characteristics of the Index as a whole.

Shareholder Expense Example (for the six-month period ended February 28, 2022)

 

         
      Beginning
Account Value
     Ending
Account Value
     Annualized Net
Expense Ratio
    Expenses Paid
During the
Period
 

Actual

   $ 1,000.00      $ 1,030.50        0.44 %1    $ 2.22  

Hypothetical (5% return before expenses)

   $ 1,000.00      $ 1,022.61        0.44 %1    $ 2.21  
1 

WisdomTree Asset Management, Inc. voluntarily waives a portion of its advisory fee, that it would otherwise charge, in an amount equal to the acquired fund fees and expenses (“AFFEs”) attributable to the Fund’s investment in the underlying WisdomTree fund. The “Annualized Net Expense Ratio” does not include the impact of AFFEs.

Performance

 

   
        Average Annual Total Return  
        6-Month*      1 Year      3 Year      5 Year      Since Inception1  

Fund NAV Returns

       3.05      16.56      9.31      6.33      7.64

Fund Market Price Returns

       2.56      16.23      9.21      6.21      7.55

CBOE S&P 500® PutWrite Index

       3.34      17.20      9.84      6.90      8.21

S&P 500® Index

       -2.62      16.39      18.24      15.17      16.74
*

Returns of less than one year are cumulative.

1 

Total returns are calculated based on the commencement of Fund trading on the NYSE Arca, Inc. on February 24, 2016.

Performance is historical and does not guarantee future results. The returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares.

 

14   WisdomTree Trust


Table of Contents

Performance Summary

as of February 28, 2022 (unaudited)

WisdomTree Efficient Gold Plus Gold Miners Strategy Fund (GDMN) (consolidated)

 

Country Breakdown

 

Country   % of Net Assets  

Canada

    41.4%  

United States

    17.1%  

Australia

    11.9%  

South Africa

    7.9%  

Brazil

    3.6%  

United Kingdom

    2.7%  

China

    1.7%  

Others^

    2.0%  

Other Assets less Liabilities‡

    11.7%  

Total

    100.0%  

 

The Fund’s country breakdown may change over time. It does not include derivatives (if any).

 

Other assets less liabilities may include investment of cash collateral for securities on loan and/or receivables/payables on derivatives (if any).

 

^

Includes countries that represent less than 1% of net assets.

Top Ten Holdings*

 

Description   % of Net Assets  

Newmont Corp.

    13.8%  

Barrick Gold Corp.

    11.9%  

Franco-Nevada Corp.

    8.4%  

Agnico Eagle Mines Ltd.

    5.9%  

Gold Fields Ltd., ADR

    3.9%  

Newcrest Mining Ltd.

    3.6%  

Wheaton Precious Metals Corp.

    3.6%  

AngloGold Ashanti Ltd., ADR

    3.2%  

Northern Star Resources Ltd.

    3.0%  

Royal Gold, Inc.

    2.7%  
*

The ten largest holdings are subject to change, and there are no guarantees the Fund will remain invested in any particular security. Excludes derivatives and investment of cash collateral for securities on loan (if any).

The WisdomTree Efficient Gold Plus Gold Miners Strategy Fund (the “Fund”) is actively managed using a models-based approach seeking total return. The Fund seeks to achieve its investment objective by investing, either directly or through a wholly-owned subsidiary, in a portfolio comprised of (i) U.S.-listed gold futures contracts and (ii) global equity securities issued by companies that derive at least 50% of their revenue from the gold mining business (“Gold Miners”). The Fund uses U.S.-listed gold futures contracts to enhance the capital efficiency of the Fund.

The Fund had less than six months of operating history at the end of the reporting period and therefore no comparative performance information is shown in this shareholder report. Comparative performance information for the most recent month-end is available at www.wisdomtree.com.

Shareholder Expense Example (for the period1 ended February 28, 2022)

 

         
     

Beginning
Account Value

     Ending
Account Value
     Annualized
Expense Ratio
    Expenses Paid
During the
Period
 

Actual1

   $ 1,000.00      $ 1,202.90        0.45   $ 1.02  

Hypothetical (5% return before expenses)

   $ 1,000.00      $ 1,022.56        0.45   $ 2.26  
1 

Fund commenced operations on December 16, 2021. Actual expenses are calculated using the Fund’s annualized expense ratio, multiplied by the average account value for the period, multiplied by 75/365 (to reflect the period since commencement of operations).

Performance is historical and does not guarantee future results. The returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares.

 

WisdomTree Trust      15  


Table of Contents

Performance Summary

as of February 28, 2022 (unaudited)

WisdomTree Enhanced Commodity Strategy Fund (GCC) (consolidated)

 

Investment Breakdown

 

Investment Type   % of Net Assets  

U.S. Government Obligations

    75.9%  

Exchange-Traded Funds

    4.5%  

Other Assets less Liabilities‡

    19.6%  

Total

    100.0%  

 

The Fund’s investment breakdown may change over time. It does not include derivatives (if any).

 

Other assets less liabilities may include investment of cash collateral for securities on loan and/or receivables/payables on derivatives (if any).

Top Holdings*

 

Description   % of Net Assets  

U.S. Treasury Bill,
0.04%, 3/17/22

    68.0%  

U.S. Treasury Bill,
0.10%, 5/19/22

    7.7%  

WisdomTree Floating Rate Treasury Fund (USFR)^

    4.5%  

U.S. Treasury Bill,
0.02%, 4/21/22

    0.2%  
*

The largest holdings are subject to change, and there are no guarantees the Fund will remain invested in any particular security. Excludes derivatives and investment of cash collateral for securities on loan (if any).

 

^

For a full list of holdings information for the underlying WisdomTree fund, please see page 41 of this report.

The WisdomTree Enhanced Commodity Strategy Fund (the “Successor Fund” and also herein, the “Fund”) seeks to achieve positive total returns in rising and falling markets that are not directly correlated to broad market equity or fixed income returns. The Successor Fund is actively managed and intends to provide broad-based exposure to the following four commodity sectors: Energy, Agriculture, Industrial Metals, and Precious Metals primarily through investments in futures contracts. The Successor Fund acquired all of the assets and all of the stated liabilities of the WisdomTree Continuous Commodity Index Fund (the “Predecessor Fund”) after the close of business on December 18, 2020 (the “Reorganization”). The Predecessor Fund was not registered as an investment company under the Investment Company Act of 1940, as amended, and was not required to register under the Act. Prior to the Reorganization, the Predecessor Fund’s investment objective sought to provide investors with exposure to the daily change in the price of a portfolio of commodities (the “Index Commodities”) comprising the Thomson Reuters Continuous Commodity Index, also known as the Continuous Commodity Total Return Index or Refinitiv Equal Weight Continuous Commodity Total Return Index (the “Index”), before expenses. The Index Commodities consisted of corn, soybeans, wheat, live cattle, lean hogs, gold, silver, copper, cocoa, coffee, sugar, cotton, soybean oil, platinum, crude oil, NY Harbor ULSD (formerly known as heating oil), and natural gas.

Prior to December 19, 2020, the ticker symbol GCC was used for the Predecessor Fund.

Shareholder Expense Example (for the six-month period ended February 28, 2022)

 

         
      Beginning
Account Value
     Ending
Account Value
     Annualized Net
Expense Ratio
    Expenses Paid
During the
Period
 

Actual

   $ 1,000.00      $ 1,160.80        0.55 %1    $ 2.95  

Hypothetical (5% return before expenses)

   $ 1,000.00      $ 1,022.07        0.55 %1    $ 2.76  
1 

WisdomTree Asset Management, Inc. voluntarily waives a portion of its advisory fee, that it would otherwise charge, in an amount equal to the acquired fund fees and expenses (“AFFEs”) attributable to the Fund’s investment in the underlying WisdomTree fund. The “Annualized Net Expense Ratio” does not include the impact of AFFEs.

Performance

 

   
        Average Annual Total Return  
        6-Month*      1 Year      Since Inception1  

Fund NAV Returns

       16.08      25.87      30.25

Fund Market Price Returns

       16.32      25.88      30.47

S&P GSCI Index

       30.70      46.86      56.56

Bloomberg Commodity Index Total Return

       19.41      34.43      38.96
*

Returns of less than one year are cumulative.

 

1 

For the period December 19, 2020 (post-reorganization) through February 28, 2022.

Performance is historical and does not guarantee future results. The returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares.

 

16   WisdomTree Trust


Table of Contents

Performance Summary

as of February 28, 2022 (unaudited)

WisdomTree Managed Futures Strategy Fund (WTMF) (consolidated)

 

Investment Breakdown

 

Investment Type   % of Net Assets  

U.S. Government Obligations

    81.2

Exchange-Traded Funds

    4.2

Other Assets less Liabilities‡

    14.6

Total

    100.0

 

The Fund’s investment breakdown may change over time. It does not include derivatives (if any).

 

Other assets less liabilities may include investment of cash collateral for securities on loan and/or receivables/payables on derivatives (if any).

Top Holdings*

 

Description   % of Net Assets  

U.S. Treasury Bill,
0.05%, 3/17/22

    77.3%  

WisdomTree Floating Rate Treasury Fund (USFR)^

    4.2%  

U.S. Treasury Bill,
0.10%, 5/19/22

    3.9%  
*

The largest holdings are subject to change, and there are no guarantees the Fund will remain invested in any particular security. Excludes derivatives and investment of cash collateral for securities on loan (if any).

 

^

For a full list of holdings information for the underlying WisdomTree fund, please see page 41 of this report.

The WisdomTree Managed Futures Strategy Fund (the “Fund”) seeks to provide investors with positive total returns in rising or falling markets that are not directly correlated to broad market equity or fixed income returns. The Fund is managed using a quantitative, rules-based strategy and invests in a combination of diversified futures contracts for commodities, equities, currencies and interest rates.

Shareholder Expense Example (for the six-month period ended February 28, 2022)

 

         
      Beginning
Account Value
     Ending
Account Value
     Annualized Net
Expense Ratio
    Expenses Paid
During the
Period
 

Actual

   $ 1,000.00      $ 977.20        0.65 %1    $ 3.19  

Hypothetical (5% return before expenses)

   $ 1,000.00      $ 1,021.57        0.65 %1    $ 3.26  
1 

WisdomTree Asset Management, Inc. voluntarily waives a portion of its advisory fee, that it would otherwise charge, in an amount equal to the acquired fund fees and expenses (“AFFEs”) attributable to the Fund’s investment in the underlying WisdomTree fund. The “Annualized Net Expense Ratio” does not include the impact of AFFEs.

Performance

 

   
        Average Annual Total Return  
        6-Month*      1 Year      3 Year      5 Year      10 Year  

Fund NAV Returns

       -2.28      2.60      2.09      1.11      -0.17

Fund Market Price Returns

       -3.36      1.88      1.86      0.98      -0.24

SG Trend Index

       7.68      13.59      11.61      4.61      3.29

S&P GSCI Index

       30.70      46.86      10.56      7.12      -4.42
*

Returns of less than one year are cumulative.

Performance is historical and does not guarantee future results. The returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares.

 

WisdomTree Trust      17  


Table of Contents

Performance Summary

as of February 28, 2022 (unaudited)

WisdomTree Target Range Fund (GTR)

 

Investment Breakdown

 

Investment Type   % of Net Assets  

U.S. Government Obligations

    64.9%  

Purchased Options (Exchange-Traded)

    15.0%  

Other Assets less Liabilities‡

    20.1%  

Total

    100.0%  

 

The Fund’s investment breakdown may change over time. It does not include derivatives (if any).

 

Other assets less liabilities may include investment of cash collateral for securities on loan and/or receivables/payables on derivatives (if any).

Top Holdings*

 

Description   % of Net Assets  

U.S. Treasury Bill,
0.03%, 3/17/22

    64.9%  

SPDR S&P 500 ETF Trust, Purchased Call Option @ $390 strike expiring 1/20/23

    7.7%  

iShares Russell 2000 ETF, Purchased Call Option @ $180 strike expiring 1/20/23

    3.4%  

iShares MSCI EAFE ETF, Purchased Call Option @ $67 strike expiring 1/20/23

    2.4%  

iShares MSCI Emerging Markets ETF, Purchased Call Option @ $42 strike expiring 1/20/23

    1.5%  
*

The largest holdings are subject to change, and there are no guarantees the Fund will remain invested in any particular company. Excludes written options and investment of cash collateral for securities on loan (if any).

The WisdomTree Target Range Fund (the “Fund”) is actively managed seeking capital appreciation, with a secondary objective of hedging risk. In general, the Fund is expected to provide similar exposures to the TOPS® Global Equity Target Range Index (the “Index”), a long call spread option strategy that buys call options that are 15% in-the-money and sells call options that are 15% out-the-money, but will not match the Index’s returns due to the amount and timing of assets that flow in and out of the Fund.

The Fund had less than six months of operating history at the end of the reporting period and therefore no comparative performance information is shown in this shareholder report. Comparative performance information for the most recent month-end is available at www.wisdomtree.com.

Shareholder Expense Example (for the period1 ended February 28, 2022)

 

         
      Beginning
Account Value
     Ending
Account Value
     Annualized
Expense Ratio
    Expenses Paid
During the
Period
 

Actual1

   $ 1,000.00      $ 967.60        0.70   $ 2.74  

Hypothetical (5% return before expenses)

   $ 1,000.00      $ 1,021.32        0.70   $ 3.51  
1 

Fund commenced operations on October 7, 2021. Actual expenses are calculated using the Fund’s annualized expense ratio, multiplied by the average account value for the period, multiplied by 145/365 (to reflect the period since commencement of operations).

Performance is historical and does not guarantee future results. The returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares.

 

18   WisdomTree Trust


Table of Contents

Description of Terms and Indexes (unaudited)

 

Below are descriptions of certain terms and of each index referenced in this report.

Bloomberg Commodity Index Total Return:

Bloomberg Commodity Index Total Return is composed of futures contracts and reflects the returns on a fully collateralized investment in the Bloomberg Commodity Index (“BCOM”). This combines the returns of the BCOM with the returns on cash collateral invested in 13-week U.S. Treasury Bills.

Bloomberg Dollar Spot Index:

The Bloomberg Dollar Spot Index tracks the performance of a basket of 10 leading global currencies versus the U.S. dollar. Each currency in the basket and its weight is determined annually based on its share of international trade and foreign exchange (FX) liquidity.

Bloomberg Dollar Total Return Index:

The Bloomberg Dollar Total Return Index is total return version of the Bloomberg Dollar Spot Index (BBDXY). It is generated by adding the daily forward implied yield of each currency, and U.S. funding rate, to BBDXY returns.

Bloomberg Rate Hedged U.S. Aggregate Bond Index, Zero Duration:

The Bloomberg Rate Hedged U.S. Aggregate Bond Index, Zero Duration combines long

positions in the Bloomberg U.S. Aggregate Bond Index with short positions in U.S. Treasury Bonds to provide a duration exposure of 0 years. Market values of long and short positions are rebalanced at month-end.

Bloomberg U.S. Aggregate Bond Index:

The Bloomberg U.S. Aggregate Bond Index measures the performance of the U.S. investment-grade bond market.

Bloomberg U.S. Aggregate Enhanced Yield Index:

The Bloomberg U.S. Aggregate Enhanced Yield Index uses a rules-based approach to reallocate across subcomponents in the Bloomberg U.S. Aggregate Bond Index seeking to enhance yield while maintaining a similar risk profile.

Bloomberg U.S. Securitized MBS/ABS/CMBS Index:

The Bloomberg U.S. Securitized MBS/ABS/CMBS Index is a market capitalization index that is designed to measure the performance of residential mortgage backed securities issued by Government Sponsored Enterprises, commercial mortgage backed securities, and asset backed securities.

Bloomberg U.S. Short Aggregate Composite Index:

The Bloomberg U.S. Short Aggregate Composite Index measures the performance of the short-term U.S. investment-grade bond market.

Bloomberg U.S. Short Aggregate Enhanced Yield Index:

The Bloomberg U.S. Short Aggregate Enhanced Yield Index uses a rules-based approach to reallocate across subcomponents in the Bloomberg U.S. Aggregate Bond Index that generally have effective maturities shorter than 5 years and seeks to enhance yield while maintaining a similar risk profile.

Bloomberg U.S. Treasury Floating Rate Bond Index:

The Bloomberg U.S. Treasury Floating Rate Bond Index is a rules-based, market-value weighted index engineered to measure the performance and characteristics of floating rate coupon U.S. Treasuries which have a maturity greater than 12 months.

 

WisdomTree Trust      19  


Table of Contents

Description of Terms and Indexes (unaudited) (continued)

 

 

CBOE® S&P 500 PutWrite Index:

The CBOE® S&P 500 PutWrite Index tracks the value of a cash-secured (i.e., collateralized) put option sales strategy, which consists of selling (or “writing”) S&P 500® Index put options and investing the sale proceeds in one- and three-month Treasury bills.

Collateralized loan obligation (CLO):

A collateralized loan obligation is a form of securitization where payments from multiple middle sized and large business loans are pooled together and passed on to different classes of owners.

Commercial mortgage backed securities (CMBS):

A type of mortgage backed security that is backed by commercial and multifamily mortgages rather than residential real estate.

Duration:

Duration is a measure of a bond’s sensitivity to changes in interest rates. The weighted average accounts for the various durations of the bonds purchased as well as the proportion of the total government bond portfolio that they make up.

Equal-Weighted Emerging Currency Composite:

A composite incorporating equal-weighted exposure to the currencies within the Emerging Currency Strategy Fund was constructed as an additional gauge of Emerging Currency Strategy Fund performance. The composite tracks the returns for the currencies using the total returns of the country subindices of the JP Morgan Emerging Local Markets Index Plus (ELMI+). Each subindex uses a weighted basket of one-month, two-month and three-month currency forwards (deliverable or nondeliverable) collateralized with U.S. money market rates to proxy the total returns of an investment in local-currency money market instruments. Currency exposures are rebalanced back to equal-weighting at the end of the month in which the Emerging Currency Strategy Fund intends to rebalance, and currency changes are reflected in the composite at the end of the month they are reflected in the Fund.

Gapstow Liquid Alternative Credit Index:

The Gapstow Liquid Alternative Credit Index (GLACI) is an equal-weighted index that tracks the performance of 35 Publicly Traded Alternative Credit Vehicles (“PACs”) using an objective, rules-based methodology. PACs are a subset of business development companies, real estate investment trusts, and closed-end funds, and selected because of their exposure to a range of U.S. alternative credit sectors (tradeable high yield, structured, and private credit) and borrower segments (households, corporations, and commercial real estate sponsors). GLACI is the first index constructed to provide diversified exposure to these alternative credit sectors and segments.

ICE BofA Merrill Lynch 0-5 Year U.S. High Yield Constrained, Zero Duration Index:

The ICE BofA Merrill Lynch 0-5 Year U.S. High Yield Constrained, Zero Duration Index tracks the performance of the combination of a long position in short maturity U.S. high yield bonds and a short position in on-the-run U.S. Treasuries where the net interest rate exposure of the index is adjusted to a zero year duration. Market values of long and short positions are rebalanced at month-end.

ICE BofA Merrill Lynch U.S. High Yield Index:

The ICE BofA Merrill Lynch U.S. High Yield Index tracks the performance of U.S. dollar denominated below investment grade corporate bond debt securities issued in the U.S.

 

20   WisdomTree Trust


Table of Contents

Description of Terms and Indexes (unaudited) (continued)

 

JP Morgan CEMBI Diversified Index:

The JP Morgan CEMBI Diversified Index is an alternatively weighted version of the JP Morgan CEMBI Index (a comprehensive U.S. dollar-denominated emerging market corporate bond index) which limits the weights of those index countries with larger corporate debt stocks by only including a specified portion of these countries’ eligible current face amounts of debt outstanding.

JP Morgan Emerging Local Markets Index Plus (ELMI+):

The JP Morgan Emerging Local Markets Index Plus (ELMI+) and its underlying country

and regional subindices track the total returns for local-currency denominated money market instruments in emerging market countries.

JP Morgan Emerging Local Markets Index Plus (ELMI+) China:

The China subindex uses a weighted basket of one-month, two-month and three-month currency forwards collateralized with U.S. money market rates to proxy the total returns of an investment in Chinese yuan money market instruments. The returns are reported in U.S. dollar terms.

JP Morgan Government Bond Index-Emerging Markets (GBI-EM) Global Diversified Index:

The JP Morgan Government Bond Index-Emerging Markets (GBI-EM) Global Diversified Index tracks the performance of local currency debt issued by emerging market governments, whose debt is accessible by most of the international investor base. The index incorporates a constrained market capitalization methodology in which individual issuer exposures are capped at 10% (with the excess distributed to smaller issuers) for greater diversification among issuing governments. The returns are reported in U.S. dollar terms.

Long Call Spread:

A long call spread is an options trading strategy designed to benefit from a stock’s limited increase in price. The strategy uses two call options - buying a lower strike call and selling a higher strike call - to create a range consisting of a lower strike price and an upper strike price. The long call spread helps to limit losses of owning stock but it also limits the gains.

Mortgage-backed security (MBS):

A mortgage backed security is a type of asset-backed security which is secured by a mortgage or collection of mortgages.

S&P 500® Index:

The S&P 500® Index is a capitalization-weighted index of 500 stocks selected by Standard & Poor’s Index Committee designed to represent the performance of the leading industries in the United States economy.

S&P GSCI Index:

The S&P GSCI Index comprises the principal physical commodities that are the subject to active, liquid futures markets.

SG Trend Index:

The SG Trend Index (f.k.a. SG Trend-Sub Index) is an equal-weighted index that is designed to track the 10 largest (by AUM) trend following commodity trading advisors and be representative of the trend followers in the managed futures space.

Spot Rate and Non-Deliverable Forward (“NDF”) Rate Returns:

A “spot” rate is the foreign exchange rate on foreign currency contracts settled generally within two business days from the trade date. The NDF rate is the foreign exchange rate

 

WisdomTree Trust      21  


Table of Contents

Description of Terms and Indexes (unaudited) (continued)

 

 

on non-deliverable forward currency contracts settled on a future date that is generally greater than two business days from the trade date. The Chinese yuan NDF return rate relative to the U.S. dollar calculated by WisdomTree is the rate of return percentage difference between the end of period NDF rate and the beginning of period NDF rate using WM/Reuters Singapore closing rates.

Thomson Reuters Continuous Commodity Index:

The Thomson Reuters Continuous Commodity Index, also known as the Continuous Commodity Total Return Index or Refinitiv Equal Weight Continuous Commodity Total Return Index (the “Index”), is composed of notional amounts of each of the following commodities (“Index Commodities”): corn, soybean, wheat, live cattle, lean hogs, gold, silver, copper, cocoa, coffee, sugar, cotton, soybean oil, platinum, crude oil, NY Harbor ULSD (formerly known as heating oil), and natural gas. The notional amounts of each Index Commodity included in the Index are in equal weight proportion to the Index Commodities or 1/17 weighting per index commodity rebalanced daily.

TOPS® Global Equity Target Range Index:

The TOPS® Global Equity Target Range Index tracks the performance of a systematic collateralized conditional call / call spread strategy.

WisdomTree U.S. High Yield Corporate Bond, Zero Duration Index:

The WisdomTree U.S. High Yield Corporate Bond, Zero Duration Index is a rules-based

alternatively weighted index that is designed to provide exposure to U.S. high yield corporate bonds with a short position in U.S. Treasuries where the net interest rate exposure of the index is adjusted to a zero year duration.

* * * * * *

Bloomberg® and the Bloomberg Indices are service marks of Bloomberg Finance L.P. and its affiliates, including Bloomberg Index Services Limited (“BISL”), the administrator of the index (collectively, “Bloomberg”) and have been licensed for use for certain purposes by WisdomTree. Bloomberg is not affiliated with WisdomTree, and Bloomberg does not approve, endorse, review, or recommend each of AGGY, SHAG or AGZD. Bloomberg does not guarantee the timeliness, accurateness, or completeness of any data or information relating to each of AGGY, SHAG or AGZD.

Merrill Lynch, Pierce, Fenner & Smith Incorporated and its affiliates (“ICE BofA Merrill Lynch”) indices and related information, the name “ICE BofA Merrill Lynch”, and related trademarks, are intellectual property licensed from ICE BofA Merrill Lynch, and may not be copied, used, or distributed without ICE BofA Merrill Lynch’s prior written approval. The licensee’s products have not been passed on as to their legality or suitability, and are not regulated, issued, endorsed, sold, guaranteed, or promoted by ICE BofA Merrill Lynch. ICE BofA MERRILL LYNCH MAKES NO WARRANTIES AND BEARS NO LIABILITY WITH RESPECT TO THE INDICES, ANY RELATED INFORMATION, ITS TRADEMARKS, OR THE PRODUCT(S) (INCLUDING WITHOUT LIMITATION, THEIR QUALITY, ACCURACY, SUITABILITY AND/OR COMPLETENESS).

The CBOE S&P 500 PutWrite Index is a product of S&P Dow Jones Indices LLC or its affiliates (“SPDJI”) and CBOE® and has been licensed for use by WisdomTree. Standard & Poor’s® and S&P® are registered trademarks of Standard & Poor’s Financial Services LLC (“S&P”); Dow Jones® is registered trademark of Dow Jones Trademarks Holdings LLC (“Dow Jones”); and these trademarks have been licensed for use by SPDJI and sublicensed for certain purposes by WisdomTree. CBOE® is a trademark of the Chicago Board Options Exchange, Incorporated, and has been licensed for use by SPDJI and WisdomTree. The WisdomTree CBOE S&P 500 PutWrite Strategy Fund is not sponsored, endorsed, sold or promoted by SPDJI, Dow Jones, S&P, their respective affiliates or the Chicago Board Options Exchange, Incorporated, and none of such parties make any

 

22   WisdomTree Trust


Table of Contents

Description of Terms and Indexes (unaudited) (concluded)

 

representation regarding the advisability of investing in such product(s), nor do they have any liability for any errors, omissions or interruptions of the CBOE S&P 500 PutWrite Index.

The Gapstow Liquid Alternative Credit Index is a registered service mark of Gapstow Capital Partners L.P. and has been licensed for use by WisdomTree Asset Management and WisdomTree Trust as the issuer of the WisdomTree Alternative Income Fund. The WisdomTree Alternative Income Fund is not sponsored, endorsed, sold, or promoted by Gapstow Capital Partners L.P., and it makes no representation regarding the advisability of investing in the Fund. GAPSTOW CAPITAL PARTNERS L.P. AND ITS AFFILIATES MAKE NO WARRANTIES AND BEAR NO LIABILITY WITH RESPECT TO THE WISDOMTREE ALTERNATIVE INCOME FUND. Gapstow Capital Partners L.P. contracts with a calculation agent to independently calculate and publish the Gapstow Liquid Alternative Credit Index, and Gapstow Capital Partners L.P. cannot assure its accuracy. The publication of the Gapstow Liquid Alternative Credit Index does not constitute a recommendation by Gapstow Capital Partners L.P. to invest in the WisdomTree Alternative Income Fund. Gapstow Capital Partners L.P. offers no guarantee or assurance with regard to the results of using the Gapstow Liquid Alternative Credit Index.

WisdomTree Investments, Inc. and WisdomTree Asset Management, Inc. (together, “WisdomTree”) and the Funds make no representation or warranty, express or implied, to the owners of shares of the Funds or any member of the public regarding the advisability of investing in securities generally or in the Funds particularly or the ability of the underlying Indexes to track the performance of their underlying securities. WisdomTree Investments is the licensor of certain trademarks, service marks and trade names of the Funds. WisdomTree Investments has no obligation to take the needs of the Funds or the owners of shares of the Funds into consideration in determining, composing, or calculating the underlying WisdomTree Indexes of the applicable Funds. WisdomTree Investments is not responsible for, and has not participated in, the determination of the timing of, prices of, or quantities of shares of the Funds to be issued or in the determination or calculation of the equation by which the shares of the Funds are redeemable. WisdomTree and the Funds do not guarantee the accuracy, completeness, or performance of the underlying Indexes or the data included therein and shall have no liability in connection with the underlying Indexes or their calculation.

Index returns do not reflect expenses paid by the Funds. Index returns assume reinvestment of distributions. It is not possible to invest directly in an index.

* * * * * *

Abbreviations used in the schedules of investments and related tables included in this report are as follows:

 

CURRENCY ABBREVIATIONS:     
AUD   Australian dollar    EGP   Egyptian pound    PEN   Peruvian nuevo sol
BRL   Brazilian real    GBP   British pound    PHP   Philippine peso
CAD   Canadian dollar    HKD   Hong Kong dollar    PLN   Polish zloty
CHF   Swiss franc    HUF   Hungary forint    RON   Romanian leu
CLP   Chilean peso    IDR   Indonesian rupiah    RUB   Russian ruble
CNH   Offshore Chinese renminbi    INR   Indian rupee    THB   Thai baht
CNY   Chinese yuan    JPY   Japanese yen    TRY   Turkish new lira
COP   Colombian peso    KRW   South Korean won    USD   U.S. dollar
CZK   Czech koruna    MXN   Mexican peso    ZAR   South African rand
EUR   Euro    MYR   Malaysian ringgit     
OTHER ABBREVIATIONS:                      
ADR   American Depositary Receipt  
HEMC   Home Equity Conversion Mortgage
HRW   Hard Red Winter  
RBOB   Reformulated Blendstock for Oxygenate Blending  
REMIC   Real Estate Mortgage Investment Conduit  
STACR   Structured Agency Credit Risk  
STRIPS   Separate Trading of Registered Interest and Principal of Securities  
ULSD   Ultra-Low-Sulfur Diesel  
WTI   West Texas Intermediate  

 

WisdomTree Trust      23  


Table of Contents

Schedule of Investments (unaudited)

WisdomTree Bloomberg U.S. Dollar Bullish Fund (USDU)

February 28, 2022

 

 

 

Investments    Principal
Amount
     Value  
U.S. GOVERNMENT OBLIGATIONS – 95.6%

 

U.S. Treasury Bills – 95.6%

 

0.05%, 4/7/22*

   $ 26,075,000      $ 26,072,655  

0.09%, 5/12/22*

     26,043,000        26,028,807  

0.48%, 6/9/22*

     24,500,000        24,475,075  

0.50%, 7/7/22*

     26,150,000        26,103,162  
TOTAL U.S. GOVERNMENT OBLIGATIONS
(Cost: $102,683,902)

 

     102,679,699  
EXCHANGE-TRADED FUND – 4.3%

 

United States – 4.3%

 

WisdomTree Floating Rate Treasury Fund(a)

     
(Cost: $4,645,341)      185,000      $ 4,649,050  

TOTAL INVESTMENTS IN SECURITIES – 99.9%

(Cost: $107,329,243)

 

 

     107,328,749  

Other Assets less Liabilities – 0.1%

 

     116,097  
  

 

 

 
NET ASSETS – 100.0%

 

   $ 107,444,846  
* 

Interest rate shown reflects the yield to maturity at the time of purchase.

 

(a) 

Affiliated holding. See “Investment in Affiliates” supplementary table included in this Schedule of Investments for additional information.

 

INVESTMENT IN AFFILIATES

Affiliated holdings are investments in entities in which the Fund owns 5% or more of the outstanding voting securities or are investments in entities which are under common ownership or control. Investments in affiliates during the six-month fiscal period ended February 28, 2022 were as follows:

 

Affiliate   Value at
8/31/2021
    Purchases/
Additions
    Sales/
Reductions
    Realized
Gain/(Loss)
    Change in
Unrealized
Appreciation/
Depreciation
    Value at
2/28/2022
    Dividend
Income
    Capital Gain
Distributions
 

WisdomTree Floating Rate Treasury Fund

  $ 5,898,500     $ 502,250     $ 1,757,556     $ (921   $ 6,777     $ 4,649,050     $     $ 489  

 

FINANCIAL DERIVATIVE INSTRUMENTS  
FOREIGN CURRENCY CONTRACTS (OTC – OVER THE COUNTER)  
Counterparty   Settlement
Date
    Amount and
Description of
Currency to
be Purchased
    Amount and
Description of
Currency to
be Sold
    Unrealized
Appreciation
    Unrealized
Depreciation
 

Barclays Bank PLC

    3/3/2022       7,974,000       AUD       5,791,883       USD     $     $ (321

Barclays Bank PLC

    3/3/2022       31,591,000       EUR       35,425,073       USD             (2,357

Barclays Bank PLC

    3/3/2022       6,085,234       USD       5,635,000       CHF             (59,375

Barclays Bank PLC

    3/3/2022       14,615,423       USD       10,870,000       GBP       33,211        

Barclays Bank PLC

    3/7/2022       241,353,000       INR       3,203,517       USD             (1,654

Barclays Bank PLC

    3/7/2022       3,775,611       USD       282,680,000       INR       25,491        

Barclays Bank PLC

    4/7/2022       5,548,553       USD       7,635,000       AUD       55        

Barclays Bank PLC

    4/7/2022       35,090,813       USD       31,250,000       EUR       152        

Barclays Bank PLC

    4/7/2022       3,186,436       USD       241,175,000       INR             (2,096

Citibank NA

    3/3/2022       272,390       USD       385,000       AUD             (7,237

Citibank NA

    3/3/2022       627,138       USD       800,000       CAD             (4,030

Citibank NA

    3/3/2022       254,182       USD       235,000       CHF             (2,071

Citibank NA

    3/3/2022       157,666       USD       1,005,000       CNH             (1,425

Citibank NA

    3/3/2022       1,753,239       USD       1,530,000       EUR       37,663        

Citibank NA

    3/3/2022       608,668       USD       450,000       GBP       4,988        

Citibank NA

    3/3/2022       18,589,246       USD       2,138,795,000       JPY             (14,945

Citibank NA

    3/3/2022       768,306       USD       88,495,000       JPY             (1,463

Citibank NA

    3/3/2022       522,277       USD       10,840,000       MXN             (6,908

Citibank NA

    3/7/2022       4,240,664       USD       5,110,000,000       KRW             (8,781

Goldman Sachs

    3/3/2022       41,675,229       USD       37,075,000       EUR       103,350        

HSBC Holdings PLC

    3/3/2022       1,826,443,000       JPY       15,887,460       USD             (245

HSBC Holdings PLC

    3/3/2022       225,891,000       MXN       11,027,845       USD             (346

HSBC Holdings PLC

    4/7/2022       15,790,094       USD       1,813,955,000       JPY             (1,145

HSBC Holdings PLC

    4/7/2022       10,692,868       USD       220,350,000       MXN             (390

JP Morgan Chase Bank NA

    3/3/2022       1,555,000       AUD       1,110,340       USD       19,065        

JP Morgan Chase Bank NA

    3/3/2022       292,000       AUD       209,215       USD       2,867        

JP Morgan Chase Bank NA

    3/3/2022       3,221,000       CAD       2,542,627       USD             (1,388

JP Morgan Chase Bank NA

    3/3/2022       605,000       CAD       475,533       USD       1,787        

JP Morgan Chase Bank NA

    3/3/2022       938,000       CHF       1,021,274       USD       1,556        

JP Morgan Chase Bank NA

    3/3/2022       176,000       CHF       190,014       USD       1,903        

 

See Notes to Financial Statements.

 

24   WisdomTree Trust


Table of Contents

Schedule of Investments (unaudited) (continued)

WisdomTree Bloomberg U.S. Dollar Bullish Fund (USDU)

February 28, 2022

 

FINANCIAL DERIVATIVE INSTRUMENTS  
FOREIGN CURRENCY CONTRACTS (OTC – OVER THE COUNTER)  
Counterparty   Settlement
Date
    Amount and
Description of
Currency to
be Purchased
    Amount and
Description of
Currency to
be Sold
    Unrealized
Appreciation
    Unrealized
Depreciation
 

JP Morgan Chase Bank NA

    3/3/2022       4,814,000       CHF       5,249,493       USD     $     $ (132

JP Morgan Chase Bank NA

    3/3/2022       4,042,000       CNH       634,763       USD       5,084        

JP Morgan Chase Bank NA

    3/3/2022       759,000       CNH       119,158       USD       991        

JP Morgan Chase Bank NA

    3/3/2022       20,734,000       CNH       3,282,308       USD             (120

JP Morgan Chase Bank NA

    3/3/2022       6,158,000       EUR       6,965,104       USD             (60,192

JP Morgan Chase Bank NA

    3/3/2022       1,156,000       EUR       1,322,048       USD             (25,835

JP Morgan Chase Bank NA

    3/3/2022       1,809,000       GBP       2,454,429       USD             (27,638

JP Morgan Chase Bank NA

    3/3/2022       340,000       GBP       460,837       USD             (4,723

JP Morgan Chase Bank NA

    3/3/2022       356,035,000       JPY       3,111,365       USD             (14,414

JP Morgan Chase Bank NA

    3/3/2022       66,824,000       JPY       575,977       USD       5,288        

JP Morgan Chase Bank NA

    3/3/2022       44,054,000       MXN       2,133,144       USD       17,475        

JP Morgan Chase Bank NA

    3/3/2022       8,265,000       MXN       400,876       USD       2,603        

JP Morgan Chase Bank NA

    3/3/2022       68,430       USD       96,000       AUD             (1,295

JP Morgan Chase Bank NA

    3/3/2022       156,873       USD       199,000       CAD             (130

JP Morgan Chase Bank NA

    3/3/2022       63,015       USD       58,000       CHF             (230

JP Morgan Chase Bank NA

    3/3/2022       3,804,024       USD       24,280,000       CNH             (39,494

JP Morgan Chase Bank NA

    3/3/2022       39,175       USD       250,000       CNH             (400

JP Morgan Chase Bank NA

    3/3/2022       338,253       USD       300,000       EUR       1,866        

JP Morgan Chase Bank NA

    3/3/2022       151,421       USD       112,000       GBP       1,172        

JP Morgan Chase Bank NA

    3/3/2022       191,957       USD       22,012,000       JPY       487        

JP Morgan Chase Bank NA

    3/3/2022       12,779,042       USD       264,870,000       MXN             (151,326

JP Morgan Chase Bank NA

    3/3/2022       121,080       USD       2,500,000       MXN             (965

JP Morgan Chase Bank NA

    3/7/2022       165,204,000       KRW       137,613       USD             (230

JP Morgan Chase Bank NA

    3/7/2022       38,766       USD       2,909,000       INR       174        

JP Morgan Chase Bank NA

    3/7/2022       155,645       USD       11,650,000       INR       1,092        

JP Morgan Chase Bank NA

    3/7/2022       43,659       USD       52,590,000       KRW             (74

JP Morgan Chase Bank NA

    3/7/2022       181,745       USD       218,000,000       KRW       458        

JP Morgan Chase Bank NA

    4/7/2022       5,149,449       USD       4,715,000       CHF             (163

JP Morgan Chase Bank NA

    4/7/2022       3,227,611       USD       20,440,000       CNH             (188

Standard Chartered Bank

    3/7/2022       4,515,386,000       KRW       3,754,687       USD       281        

Standard Chartered Bank

    4/7/2022       3,692,501       USD       4,442,965,000       KRW             (414

UBS AG

    3/3/2022       16,523,000       CAD       13,036,124       USD             (141

UBS AG

    3/3/2022       9,283,000       GBP       12,453,451       USD             (215

UBS AG

    3/3/2022       6,604,454       USD       9,340,000       AUD             (179,242

UBS AG

    3/3/2022       15,221,981       USD       19,350,000       CAD             (44,391

UBS AG

    3/7/2022       47,056,000       INR       626,995       USD             (2,736

UBS AG

    3/7/2022       8,830,000       INR       116,977       USD       165        

UBS AG

    3/7/2022       700,000,000       KRW       582,920       USD             (805

UBS AG

    4/7/2022       12,866,352       USD       16,305,000       CAD       550        

UBS AG

    4/7/2022       12,365,268       USD       9,215,000       GBP             (318
                                            $ 269,774     $ (671,988

 

See Notes to Financial Statements.

 

WisdomTree Trust      25  


Table of Contents

Schedule of Investments (unaudited) (concluded)

WisdomTree Bloomberg U.S. Dollar Bullish Fund (USDU)

February 28, 2022

 

FAIR VALUATION SUMMARY

The following is a summary of the fair valuations according to the inputs used as of February 28, 2022 in valuing the Fund’s investments (See Note 2 — Fair Value Measurement):

 

      Quoted
Prices in
Active
Markets
(Level 1)
     Other
Significant
Observable
Inputs
(Level 2)
     Significant
Unobservable
Inputs
(Level 3)
     Total  

Assets:

 

     

Investments in Securities

  

U.S. Government Obligations

   $      $ 102,679,699      $      $ 102,679,699  

Exchange-Traded Fund

     4,649,050                      4,649,050  

Total Investments in Securities

   $ 4,649,050      $ 102,679,699      $      $ 107,328,749  

Financial Derivative Instruments

  

Foreign Currency Contracts1

   $      $ 269,774      $      $ 269,774  

Liabilities:

  

Financial Derivative Instruments

  

Foreign Currency Contracts1

   $      $ (671,988    $      $ (671,988

Total – Net

   $ 4,649,050      $ 102,277,485      $      $ 106,926,535  
1 

Amount shown represents the unrealized appreciation (depreciation) on the financial instrument.

 

See Notes to Financial Statements.

 

26   WisdomTree Trust


Table of Contents

Schedule of Investments (unaudited)

WisdomTree Chinese Yuan Strategy Fund (CYB)

February 28, 2022

 

 

 

Investments    Principal
Amount
     Value  
U.S. GOVERNMENT OBLIGATIONS – 61.8%

 

U.S. Treasury Bills – 61.8%

 

0.05%, 4/7/22*

   $ 10,719,000      $ 10,718,036  

0.34%, 6/9/22*

     10,225,000        10,214,598  

TOTAL U.S. GOVERNMENT OBLIGATIONS

(Cost: $20,934,054)

 

 

     20,932,634  
      Shares          
EXCHANGE-TRADED FUND – 4.8%

 

United States – 4.8%

 

WisdomTree Floating Rate Treasury Fund(a)

     
(Cost: $1,621,671)      64,600        1,623,398  
REPURCHASE AGREEMENT – 31.9%

 

United States – 31.9%

 

Citigroup, Inc., tri-party repurchase agreement dated 2/28/22 (tri-party custodian: The Bank of New York Mellon Corp.), 0.06% due 3/1/22; Proceeds at maturity – $10,790,018 (fully collateralized by Ginnie Mae II Single Family, 2.00% – 4.00% due 1/20/52, Ginnie Mae II Single Family Platinum, 3.50% due 1/20/52; Market value including accrued interest – $11,330,561)

     
(Cost: $10,790,000)    $ 10,790,000      $ 10,790,000  

TOTAL INVESTMENTS IN SECURITIES – 98.5%

(Cost: $33,345,725)

 

 

     33,346,032  

Other Assets less Liabilities – 1.5%

 

     511,097  
  

 

 

 
NET ASSETS – 100.0%

 

   $ 33,857,129  
* 

Interest rate shown reflects the yield to maturity at the time of purchase.

 

(a) 

Affiliated holding. See “Investment in Affiliates” supplementary table included in this Schedule of Investments for additional information.

 

INVESTMENT IN AFFILIATES

Affiliated holdings are investments in entities in which the Fund owns 5% or more of the outstanding voting securities or are investments in entities which are under common ownership or control. Investments in affiliates during the six-month fiscal period ended February 28, 2022 were as follows:

 

Affiliate   Value at
8/31/2021
    Purchases/
Additions
    Sales/
Reductions
    Realized
Gain/(Loss)
    Change in
Unrealized
Appreciation/
Depreciation
    Value at
2/28/2022
    Dividend
Income
    Capital Gain
Distributions
 

WisdomTree Floating Rate Treasury Fund

  $ 1,822,260     $     $ 200,700     $ (201   $ 2,039     $ 1,623,398     $     $ 152  

 

FINANCIAL DERIVATIVE INSTRUMENTS  
FOREIGN CURRENCY CONTRACTS (OTC – OVER THE COUNTER)  
Counterparty   Settlement
Date
    Amount and
Description of
Currency to
be Purchased
    Amount and
Description of
Currency to
be Sold
    Unrealized
Appreciation
    Unrealized
Depreciation
 

Citibank NA

    3/14/2022       385,184       USD       2,467,000       CNY     $     $ (5,226

Citibank NA

    3/14/2022       394,072       USD       2,513,000       CNY             (3,617

Citibank NA

    4/15/2022       889,640       USD       5,684,000       CNY             (7,619

Goldman Sachs

    3/14/2022       37,770,000       CNY       5,864,907       USD       112,305        

HSBC Holdings PLC

    3/14/2022       197,496       USD       1,262,000       CNY             (2,219

JP Morgan Chase Bank NA

    5/18/2022       79,500,000       CNY       12,401,529       USD       118,015        

Morgan Stanley & Co. International

    3/14/2022       4,980,727       USD       31,528,000       CNY             (8,670

Morgan Stanley & Co. International

    4/14/2022       34,700,000       CNH       5,410,080       USD       69,340        

Morgan Stanley & Co. International

    4/15/2022       77,000,000       CNY       11,988,167       USD       166,826        

Morgan Stanley & Co. International

    6/14/2022       31,745,000       CNY       4,987,431       USD       3,494        

UBS AG

    4/14/2022       401,078       USD       2,561,000       CNH             (3,325
                                            $ 469,980     $ (30,676

 

See Notes to Financial Statements.

 

WisdomTree Trust      27  


Table of Contents

Schedule of Investments (unaudited) (concluded)

WisdomTree Chinese Yuan Strategy Fund (CYB)

February 28, 2022

 

FAIR VALUATION SUMMARY

The following is a summary of the fair valuations according to the inputs used as of February 28, 2022 in valuing the Fund’s investments (See Note 2 — Fair Value Measurement):

 

      Quoted
Prices in
Active
Markets
(Level 1)
     Other
Significant
Observable
Inputs
(Level 2)
     Significant
Unobservable
Inputs
(Level 3)
     Total  

Assets:

 

     

Investments in Securities

  

U.S. Government Obligations

   $      $ 20,932,634      $      $ 20,932,634  

Exchange-Traded Fund

     1,623,398                      1,623,398  

Repurchase Agreement

            10,790,000               10,790,000  

Total Investments in Securities

   $ 1,623,398      $ 31,722,634      $      $ 33,346,032  

Financial Derivative Instruments

  

Foreign Currency Contracts1

   $      $ 469,980      $      $ 469,980  

Liabilities:

  

Financial Derivative Instruments

  

Foreign Currency Contracts1

   $      $ (30,676    $      $ (30,676

Total – Net

   $ 1,623,398      $ 32,161,938      $      $ 33,785,336  
1 

Amount shown represents the unrealized appreciation (depreciation) on the financial instrument.

 

See Notes to Financial Statements.

 

28   WisdomTree Trust


Table of Contents

Schedule of Investments (unaudited)

WisdomTree Emerging Currency Strategy Fund (CEW)

February 28, 2022

 

 

 

Investments    Principal
Amount
     Value  
U.S. GOVERNMENT OBLIGATIONS – 68.0%

 

U.S. Treasury Bills – 68.0%

 

0.05%, 4/7/22*

   $ 5,508,000      $ 5,507,505  

0.34%, 6/9/22*

     3,790,000        3,786,144  

TOTAL U.S. GOVERNMENT OBLIGATIONS

(Cost: $9,294,241)

 

 

     9,293,649  
      Shares          
EXCHANGE-TRADED FUND – 4.2%

 

United States – 4.2%

 

WisdomTree Floating Rate Treasury Fund(a)

     
(Cost: $567,357)      22,600        567,938  
REPURCHASE AGREEMENT – 28.7%

 

United States – 28.7%

 

Citigroup, Inc., tri-party repurchase agreement dated 2/28/22 (tri-party custodian: The Bank of New York Mellon Corp.), 0.06% due 3/1/22; Proceeds at maturity – $3,930,007 (fully collateralized by U.S. Treasury Inflation Indexed Bond, 0.13% due 1/15/23; Market value including accrued interest – $4,008,673)

     
(Cost: $3,930,000)    $ 3,930,000      $ 3,930,000  

TOTAL INVESTMENTS IN SECURITIES – 100.9%

(Cost: $13,791,598)

 

 

     13,791,587  

Other Assets less Liabilities – (0.9)%

 

     (116,460
  

 

 

 
NET ASSETS – 100.0%

 

   $ 13,675,127  
* 

Interest rate shown reflects the yield to maturity at the time of purchase.

 

(a) 

Affiliated holding. See “Investment in Affiliates” supplementary table included in this Schedule of Investments for additional information.

 

INVESTMENT IN AFFILIATES

Affiliated holdings are investments in entities in which the Fund owns 5% or more of the outstanding voting securities or are investments in entities which are under common ownership or control. Investments in affiliates during the six-month fiscal period ended February 28, 2022 were as follows:

 

Affiliate   Value at
8/31/2021
    Purchases/
Additions
    Sales/
Reductions
    Realized
Gain/(Loss)
    Change in
Unrealized
Appreciation/
Depreciation
    Value at
2/28/2022
    Dividend
Income
    Capital Gain
Distributions
 

WisdomTree Floating Rate Treasury Fund

  $ 567,260     $ 125,563     $ 125,474     $ (88   $ 677     $ 567,938     $     $ 47  

 

FINANCIAL DERIVATIVE INSTRUMENTS  
FOREIGN CURRENCY CONTRACTS (OTC – OVER THE COUNTER)  
Counterparty   Settlement
Date
    Amount and
Description of
Currency to
be Purchased
    Amount and
Description of
Currency to
be Sold
    Unrealized
Appreciation
    Unrealized
Depreciation
 

BNP Paribas SA

    5/10/2022       14,465,000       ZAR       911,188       USD     $ 16,751     $  

Bank of America NA

    5/10/2022       13,515,000       TRY       941,532       USD             (53,138

Barclays Bank PLC

    5/10/2022       1,117,700,000       KRW       921,967       USD       4,969        

Citibank NA

    5/10/2022       757,315,000       CLP       917,113       USD       27,034        

Goldman Sachs

    5/10/2022       3,820,000       PLN       921,060       USD             (12,645

Goldman Sachs

    5/11/2022       73,820,000       RUB       923,812       USD             (276,845

HSBC Holdings PLC

    5/10/2022       70,495,000       INR       927,127       USD             (1,449

JP Morgan Chase Bank NA

    5/10/2022       13,431,825,000       IDR       925,376       USD       4,059        

Morgan Stanley & Co. International

    5/10/2022       5,140,000       BRL       928,888       USD       50,561        

Morgan Stanley & Co. International

    5/10/2022       5,945,000       CNH       928,520       USD       8,588        

Morgan Stanley & Co. International

    5/10/2022       3,905,000       MYR       928,634       USD             (1,130

Royal Bank of Canada

    5/10/2022       19,560,000       MXN       921,686       USD       23,928        

Standard Chartered Bank

    5/10/2022       30,795,000       THB       921,650       USD       19,494        

UBS AG

    5/10/2022       3,700,000,000       COP       918,798       USD       22,131        

UBS AG

    5/10/2022       47,825,000       PHP       914,523       USD       11,008        
                                            $ 188,523     $ (345,207

 

See Notes to Financial Statements.

 

WisdomTree Trust      29  


Table of Contents

Schedule of Investments (unaudited) (concluded)

WisdomTree Emerging Currency Strategy Fund (CEW)

February 28, 2022

 

FAIR VALUATION SUMMARY

The following is a summary of the fair valuations according to the inputs used as of February 28, 2022 in valuing the Fund’s investments (See Note 2 — Fair Value Measurement):

 

      Quoted
Prices in
Active
Markets
(Level 1)
     Other
Significant
Observable
Inputs
(Level 2)
     Significant
Unobservable
Inputs
(Level 3)
     Total  

Assets:

 

     

Investments in Securities

  

U.S. Government Obligations

   $      $ 9,293,649      $      $ 9,293,649  

Exchange-Traded Fund

     567,938                      567,938  

Repurchase Agreement

            3,930,000               3,930,000  

Total Investments in Securities

   $ 567,938      $ 13,223,649      $      $ 13,791,587  

Financial Derivative Instruments

  

Foreign Currency Contracts1

   $      $ 188,523      $      $ 188,523  

Liabilities:

  

Financial Derivative Instruments

  

Foreign Currency Contracts1

   $      $ (345,207    $      $ (345,207

Total – Net

   $ 567,938      $ 13,066,965      $      $ 13,634,903  
1 

Amount shown represents the unrealized appreciation (depreciation) on the financial instrument.

 

See Notes to Financial Statements.

 

30   WisdomTree Trust


Table of Contents

Schedule of Investments (unaudited)

WisdomTree Emerging Markets Corporate Bond Fund (EMCB)

February 28, 2022

 

 

 

Investments    Principal
Amount
     Value  
FOREIGN CORPORATE BONDS – 96.7%

 

Argentina – 2.3%

 

Arcor SAIC
6.00%, 7/6/23(a)

   $ 500,000      $ 487,571  

MercadoLibre, Inc.
2.38%, 1/14/26

     200,000        187,590  

3.13%, 1/14/31

     400,000        350,652  

YPF SA
8.50%, 7/28/25(a)

     200,000        159,880  

8.50%, 6/27/29(b)

     263,000        193,372  
     

 

 

 
Total Argentina

 

     1,379,065  
Austria – 0.4%

 

Suzano Austria GmbH
7.00%, 3/16/47(b)

     226,000        258,488  
Brazil – 7.5%

 

Arcos Dorados Holdings, Inc.
5.88%, 4/4/27(b)

     200,000        204,050  

Braskem Netherlands Finance BV
4.50%, 1/31/30(b)

     400,000        396,000  

Centrais Eletricas Brasileiras SA
4.63%, 2/4/30(b)

     200,000        190,220  

CSN Resources SA
4.63%, 6/10/31(b)

     325,000        295,555  

Fibria Overseas Finance Ltd.
5.50%, 1/17/27

     306,000        329,256  

Hidrovias International Finance Sarl
4.95%, 2/8/31(b)

     325,000        279,485  

Itau Unibanco Holding SA

     

4.63%, 2/27/25, (4.625% fixed rate until 2/27/25; 5-year Constant Maturity Treasury Rate + 3.222% thereafter)(b)(c)(d)(e)

     300,000        276,015  

3.88%, 4/15/31, (3.875% fixed rate until 1/15/26; 5-year Constant Maturity Treasury Rate + 3.446% thereafter)(b)(c)

     275,000        258,005  

Klabin Finance SA
4.88%, 9/19/27(b)

     300,000        306,900  

Minerva Luxembourg SA
5.88%, 1/19/28(b)

     200,000        211,551  

4.38%, 3/18/31(b)

     275,000        250,586  

Natura Cosmeticos SA
4.13%, 5/3/28(b)

     400,000        378,568  

4.13%, 5/3/28(a)

     200,000        189,284  

Petrobras Global Finance BV
7.38%, 1/17/27

     200,000        224,250  

5.60%, 1/3/31

     200,000        199,944  

St Marys Cement, Inc.
5.75%, 1/28/27(a)

     300,000        326,140  

5.75%, 1/28/27(b)

     200,000        217,427  
     

 

 

 
Total Brazil

 

     4,533,236  
Chile – 5.6%

 

Alfa Desarrollo SpA
4.55%, 9/27/51(b)

     635,000        546,100  

ATP Tower Holdings LLC / Andean Tower Partners Colombia SAS / Andean Telecom Partners
4.05%, 4/27/26(b)

     300,000        279,173  

Celulosa Arauco y Constitucion SA
4.50%, 8/1/24

   200,000      207,412  

5.50%, 11/2/47

     325,000        337,015  

Cia Cervecerias Unidas SA
3.35%, 1/19/32(b)(e)

     230,000        223,537  

Colbun SA
3.95%, 10/11/27(b)

     200,000        204,257  

Empresa Nacional del Petroleo
3.45%, 9/16/31(b)

     200,000        183,710  

Falabella SA
3.38%, 1/15/32(b)

     400,000        374,000  

Inversiones CMPC SA
3.00%, 4/6/31(b)

     325,000        297,619  

VTR Comunicaciones SpA
5.13%, 1/15/28(b)

     461,000        454,949  

4.38%, 4/15/29(b)

     275,000        263,313  
     

 

 

 
Total Chile

 

     3,371,085  
China – 2.6%

 

Alibaba Group Holding Ltd.
3.40%, 12/6/27

     500,000        508,000  

Bank of China Ltd.
5.00%, 11/13/24(a)(e)

     350,000        373,801  

CNAC HK Finbridge Co. Ltd.
5.13%, 3/14/28(a)

     200,000        219,312  

ENN Clean Energy International Investment Ltd.
3.38%, 5/12/26(b)

     300,000        293,249  

Tencent Holdings Ltd.
3.93%, 1/19/38(a)

     200,000        195,529  
     

 

 

 
Total China

 

     1,589,891  
Colombia – 7.0%

 

Banco Bilbao Vizcaya Argentaria Colombia SA
4.88%, 4/21/25(a)

     200,000        200,663  

Bancolombia SA

     

4.63%, 12/18/29, (4.625% fixed rate until 12/18/24; 5-year Constant Maturity Treasury Rate + 2.944% thereafter)(c)

     635,000        609,441  

Canacol Energy Ltd.
5.75%, 11/24/28(b)

     275,000        258,328  

Ecopetrol SA
6.88%, 4/29/30

     900,000        942,300  

5.88%, 5/28/45(e)

     70,000        60,734  

Geopark Ltd.
5.50%, 1/17/27(b)(e)

     375,000        358,594  

Millicom International Cellular SA
4.50%, 4/27/31(b)(e)

     500,000        467,375  

Oleoducto Central SA
4.00%, 7/14/27(b)

     250,000        237,381  

4.00%, 7/14/27(a)

     200,000        189,905  

Promigas SA ESP / Gases del Pacifico SAC
3.75%, 10/16/29(b)

     200,000        179,771  

SierraCol Energy Andina LLC
6.00%, 6/15/28(b)

     300,000        273,865  

Transportadora de Gas Internacional SA ESP
5.55%, 11/1/28(b)

     400,000        416,600  
     

 

 

 
Total Colombia

 

     4,194,957  

 

See Notes to Financial Statements.

 

WisdomTree Trust      31  


Table of Contents

Schedule of Investments (unaudited) (continued)

WisdomTree Emerging Markets Corporate Bond Fund (EMCB)

February 28, 2022

 

 

 

Investments    Principal
Amount
     Value  
Ghana – 0.8%

 

Tullow Oil PLC
10.25%, 5/15/26(b)

   $ 465,000      $ 453,375  
Guatemala – 1.6%

 

Central American Bottling Corp. / CBC Bottling Holdco SL / Beliv Holdco SL
5.25%, 4/27/29(b)

     460,000        467,613  

CT Trust
5.13%, 2/3/32(b)

     500,000        502,500  
     

 

 

 
Total Guatemala

 

     970,113  
Hong Kong – 1.6%

 

Melco Resorts Finance Ltd.
4.88%, 6/6/25(a)

     200,000        190,400  

5.75%, 7/21/28(b)

     275,000        248,684  

5.75%, 7/21/28(a)

     325,000        293,899  

5.38%, 12/4/29(a)

     250,000        217,400  
     

 

 

 
Total Hong Kong

 

     950,383  
India – 5.9%

 

Adani Ports & Special Economic Zone Ltd.
4.38%, 7/3/29(b)

     200,000        195,405  

Bharti Airtel International Netherlands BV
5.35%, 5/20/24(b)

     323,000        341,258  

Bharti Airtel Ltd.
4.38%, 6/10/25(a)

     200,000        207,869  

3.25%, 6/3/31(a)(e)

     200,000        189,542  

JSW Steel Ltd.
5.05%, 4/5/32(b)

     600,000        556,500  

Network i2i Ltd.

     

3.98%, 3/3/26, (3.975% fixed rate until 3/3/26; 5-year Constant Maturity Treasury Rate + 3.39% thereafter)(b)(c)(d)(e)

     300,000        286,742  

Reliance Industries Ltd.
3.67%, 11/30/27(b)

     400,000        415,333  

2.88%, 1/12/32(b)

     335,000        312,805  

Summit Digitel Infrastructure Pvt. Ltd.
2.88%, 8/12/31(b)

     350,000        318,530  

Vedanta Resources Finance II PLC
13.88%, 1/21/24(b)

     275,000        280,500  

8.95%, 3/11/25(b)(e)

     450,000        421,875  
     

 

 

 
Total India

 

     3,526,359  
Indonesia – 2.8%

 

Medco Bell Pte Ltd.
6.38%, 1/30/27(b)

     478,000        464,138  

Medco Oak Tree Pte Ltd.
7.38%, 5/14/26(a)

     200,000        202,500  

Pertamina Persero PT
3.10%, 1/21/30(b)

     250,000        240,388  

6.45%, 5/30/44(a)

     200,000        235,815  

Perusahaan Perseroan Persero PT Perusahaan Listrik Negara
4.13%, 5/15/27(a)

     541,000        553,876  
     

 

 

 
Total Indonesia

 

     1,696,717  
Ireland – 1.0%

 

C&W Senior Financing DAC
6.88%, 9/15/27(a)

   600,000      622,488  
Israel – 4.8%

 

Bank Hapoalim BM

     

3.26%, 1/21/32, (3.255% fixed rate until 1/21/32; 5-year Constant Maturity Treasury Rate + 2.155% thereafter)(a)(b)(c)

     475,000        457,781  

Bank Leumi Le-Israel BM

     

3.28%, 1/29/31, (3.275% fixed rate until 1/29/26; 5-year Constant Maturity Treasury Rate + 1.631% thereafter)(a)(b)(c)

     500,000        474,688  

Israel Electric Corp. Ltd.
4.25%, 8/14/28, Series GMTN(a)(b)

     300,000        315,090  

Mizrahi Tefahot Bank Ltd.

     

3.08%, 4/7/31, (3.077% fixed rate until 4/7/26; 5-year Constant Maturity Treasury Rate + 2.25% thereafter)(a)(b)(c)

     350,000        336,875  

Teva Pharmaceutical Finance Netherlands III BV
3.15%, 10/1/26

     650,000        586,625  

4.75%, 5/9/27

     200,000        191,875  

5.13%, 5/9/29

     525,000        503,993  
     

 

 

 
Total Israel

 

     2,866,927  
Jamaica – 0.1%

 

Digicel International Finance Ltd. / Digicel International Holdings Ltd.
8.75%, 5/25/24(b)

     81,000        81,846  
Kazakhstan – 2.2%

 

KazMunayGas National Co. JSC
3.50%, 4/14/33(b)(e)

     380,000        345,800  

Tengizchevroil Finance Co. International Ltd. 3.25%, 8/15/30(b)

     798,000        726,180  

3.25%, 8/15/30(a)

     250,000        227,500  
     

 

 

 
Total Kazakhstan

 

     1,299,480  
Kuwait – 3.7%

 

Equate Petrochemical BV
4.25%, 11/3/26(a)

     400,000        413,606  

2.63%, 4/28/28(b)

     350,000        332,377  

2.63%, 4/28/28(a)

     200,000        189,930  

NBK Tier 1 Financing 2 Ltd.

     

4.50%, 8/27/25, (4.50% fixed rate until 8/27/25; 6-year U.S. dollar Swap Rate + 2.832% thereafter)(b)(c)(d)

     700,000        694,750  

4.50%, 8/27/25, (4.50% fixed rate until 8/27/25; 6-year U.S. dollar Swap Rate + 2.832% thereafter)(a)(c)(d)

     400,000        397,000  

NBK Tier 1 Ltd.

     

3.63%, 8/24/26, (3.625% fixed rate until 8/24/26; 6-year U.S. dollar Swap Rate + 2.875% thereafter)(a)(c)(d)

     200,000        192,625  
     

 

 

 
Total Kuwait

 

     2,220,288  

 

See Notes to Financial Statements.

 

32   WisdomTree Trust


Table of Contents

Schedule of Investments (unaudited) (continued)

WisdomTree Emerging Markets Corporate Bond Fund (EMCB)

February 28, 2022

 

 

 

Investments    Principal
Amount
     Value  
Luxembourg – 2.8%

 

Altice Financing SA
5.75%, 8/15/29(b)

   $ 900,000      $ 824,625  

EIG Pearl Holdings Sarl
3.55%, 8/31/36(b)

     325,000        318,435  

JBS Finance Luxembourg Sarl
3.63%, 1/15/32(b)

     568,000        516,988  
     

 

 

 
Total Luxembourg

 

     1,660,048  
Malaysia – 1.7%

 

CIMB Bank Bhd
2.13%, 7/20/27(b)

     500,000        491,355  

Genm Capital Labuan Ltd.
3.88%, 4/19/31(b)

     375,000        343,841  

Gohl Capital Ltd.
4.25%, 1/24/27(a)

     200,000        196,464  
     

 

 

 
Total Malaysia

 

     1,031,660  
Mexico – 6.5%

 

Alpek SAB de CV
4.25%, 9/18/29(b)(e)

     400,000        398,950  

4.25%, 9/18/29(a)

     200,000        199,475  

Banco Mercantil del Norte SA

     

7.50%, 6/27/29, (7.50% fixed rate until 6/27/29; 10-year Constant Maturity Treasury Rate + 5.47% thereafter)(b)(c)(d)

     400,000        392,200  

Braskem Idesa SAPI
6.99%, 2/20/32(b)

     500,000        480,000  

Cemex SAB de CV

     

5.13%, 6/8/26, (5.125% fixed rate until 6/8/26; 5-year Constant Maturity Treasury Rate + 4.534% thereafter)(b)(c)(d)

     200,000        192,000  

7.38%, 6/5/27(b)

     200,000        214,260  

5.20%, 9/17/30(b)

     200,000        195,250  

5.20%, 9/17/30(a)

     300,000        292,875  

Credito Real SAB de CV SOFOM ER
8.00%, 1/21/28(b)

     500,000        97,500  

GCC SAB de CV Co.
3.61%, 4/20/32(b)(e)

     400,000        384,000  

Grupo Bimbo SAB de CV

     

5.95%, 4/17/23, (5.95% fixed rate until 4/17/23; 5-year Constant Maturity Treasury Rate + 3.28% thereafter)(b)(c)(d)

     400,000        405,600  

Industrias Penoles SAB de CV
4.75%, 8/6/50(b)(e)

     335,000        316,192  

Orbia Advance Corp. SAB de CV
2.88%, 5/11/31(b)

     400,000        361,500  
     

 

 

 
Total Mexico

 

     3,929,802  
Morocco – 0.3%

 

OCP SA
6.88%, 4/25/44(a)

     200,000        203,208  
Netherlands – 0.9%

 

Sigma Finance Netherlands BV
4.88%, 3/27/28(b)

     200,000        207,940  

VEON Holdings BV
4.00%, 4/9/25(b)

     550,000        261,250  

3.38%, 11/25/27(a)

     200,000        96,000  
     

 

 

 
Total Netherlands

 

     565,190  
Oman – 2.1%

 

OQ SAOC
5.13%, 5/6/28(a)

   250,000      249,061  

5.13%, 5/6/28(b)

     500,000        498,121  

Oryx Funding Ltd.
5.80%, 2/3/31(b)

     250,000        254,063  

Oztel Holdings SPC Ltd.
5.63%, 10/24/23(a)

     250,000        255,862  
     

 

 

 
Total Oman

 

     1,257,107  
Panama – 1.9%

 

Aeropuerto Internacional de Tocumen SA
4.00%, 8/11/41(b)

     325,000        299,132  

AES Panama Generation Holdings SRL
4.38%, 5/31/30(b)

     625,000        605,922  

Banco General SA
4.13%, 8/7/27(a)

     200,000        205,500  
     

 

 

 
Total Panama

 

     1,110,554  
Peru – 3.7%

 

Credicorp Ltd.
2.75%, 6/17/25(b)(e)

     225,000        220,897  

2.75%, 6/17/25(a)(e)

     200,000        196,352  

Inkia Energy Ltd.
5.88%, 11/9/27(a)

     200,000        195,655  

InRetail Consumer
3.25%, 3/22/28(b)

     375,000        353,625  

Petroleos del Peru SA
4.75%, 6/19/32(a)

     200,000        192,600  

Southern Copper Corp.
5.25%, 11/8/42

     200,000        231,225  

5.88%, 4/23/45(e)

     400,000        498,220  

Volcan Cia Minera SAA
4.38%, 2/11/26(b)

     325,000        310,537  
     

 

 

 
Total Peru

 

     2,199,111  
Poland – 1.2%

 

Canpack SA / Canpack U.S. LLC
3.13%, 11/1/25(b)

     759,000        746,903  
Qatar – 1.4%

 

Ooredoo International Finance Ltd.
2.63%, 4/8/31(b)

     375,000        359,531  

Qatar Energy
2.25%, 7/12/31(a)

     200,000        189,000  

3.30%, 7/12/51(b)

     325,000        307,938  
     

 

 

 
Total Qatar

 

     856,469  
Russia – 2.4%

 

Alfa Bank AO Via Alfa Bond Issuance PLC

     

5.95%, 4/15/30, (5.95% fixed rate until 4/15/25; 5-year Constant Maturity Treasury Rate + 4.546% thereafter)(b)(c)

     350,000        87,500  

Credit Bank of Moscow Via CBOM Finance PLC
3.88%, 9/21/26(b)

     500,000        125,000  

Evraz PLC
5.25%, 4/2/24(a)

     500,000        187,500  

Gazprom PJSC Via Gaz Capital SA 4.95%, 3/23/27(a)

     335,000        150,750  

8.63%, 4/28/34(a)

     322,000        128,800  

 

See Notes to Financial Statements.

 

WisdomTree Trust      33  


Table of Contents

Schedule of Investments (unaudited) (continued)

WisdomTree Emerging Markets Corporate Bond Fund (EMCB)

February 28, 2022

 

 

 

Investments    Principal
Amount
     Value  

Gazprom PJSC Via Gaz Finance PLC

     

4.60%, 10/26/25, (4.599% fixed rate until 10/26/25; 5-year Constant Maturity Treasury Rate + 4.264% thereafter)(b)(c)(d)

   $ 225,000      $ 67,500  

Lukoil Capital DAC
3.60%, 10/26/31(b)

     350,000        115,500  

Lukoil Securities BV
3.88%, 5/6/30(b)

     633,000        253,200  

Phosagro OAO Via Phosagro Bond Funding DAC
2.60%, 9/16/28(b)

     250,000        93,750  

Severstal OAO Via Steel Capital SA
3.15%, 9/16/24(b)

     200,000        75,000  

3.15%, 9/16/24(a)

     200,000        75,000  

Sovcombank Via SovCom Capital DAC

     

7.75%, 5/6/25, (7.75% fixed rate until 5/6/25; 5-year Constant Maturity Treasury Rate + 6.38% thereafter)(b)(c)(d)

     300,000        75,000  
     

 

 

 
Total Russia

 

     1,434,500  
Saudi Arabia – 2.8%

 

Arabian Centres Sukuk II Ltd.
5.63%, 10/7/26(b)

     200,000        196,000  

SA Global Sukuk Ltd.
2.69%, 6/17/31(b)

     200,000        193,925  

2.69%, 6/17/31(a)

     200,000        193,925  

Saudi Arabian Oil Co.
3.50%, 4/16/29(a)

     200,000        206,076  

2.25%, 11/24/30(b)

     700,000        652,750  

Saudi Electricity Global Sukuk Co. 2
5.06%, 4/8/43(a)

     200,000        223,771  
     

 

 

 
Total Saudi Arabia

 

     1,666,447  
Singapore – 1.5%

 

Oversea-Chinese Banking Corp. Ltd.

     

1.83%, 9/10/30, (1.832% fixed rate until 9/10/25; 5-year Constant Maturity Treasury Rate + 1.58% thereafter)(b)(c)

     425,000        412,076  

1.83%, 9/10/30, (1.832% fixed rate until 9/10/25; 5-year Constant Maturity Treasury Rate + 1.58% thereafter)(a)(c)

     498,000        482,856  
     

 

 

 
Total Singapore

 

     894,932  
South Africa – 3.4%

 

AngloGold Ashanti Holdings PLC
3.38%, 11/1/28(e)

     350,000        328,475  

6.50%, 4/15/40

     256,000        291,684  

Bidvest Group UK PLC
3.63%, 9/23/26(b)

     425,000        408,000  

Gold Fields Orogen Holdings BVI Ltd.
5.13%, 5/15/24(a)

     425,000        439,689  

Sasol Financing USA LLC
4.38%, 9/18/26

     575,000        559,906  
     

 

 

 
Total South Africa

 

     2,027,754  
South Korea – 3.2%

 

Kookmin Bank
2.50%, 11/4/30(b)

     475,000        445,540  

2.50%, 11/4/30(a)(e)

     300,000        281,394  

Shinhan Financial Group Co. Ltd.

     

2.88%, 5/12/26, (2.875% fixed rate until 5/12/26; 5-year Constant Maturity Treasury Rate + 2.064% thereafter)(b)(c)(d)

   525,000      497,437  

SK Hynix, Inc.
2.38%, 1/19/31(b)

     300,000        274,880  

Woori Bank
4.75%, 4/30/24(a)

     400,000        420,111  
     

 

 

 
Total South Korea

 

     1,919,362  
Spain – 0.6%

 

EnfraGen Energia Sur SA
5.38%, 12/30/30(a)

     400,000        330,504  
Thailand – 2.6%

 

Bangkok Bank PCL

     

5.00%, 9/23/25, (5.00% fixed rate until 9/23/25; 5-year Constant Maturity Treasury Rate + 4.729% thereafter)(b)(c)(d)

     450,000        448,875  

4.45%, 9/19/28(b)

     300,000        331,409  

GC Treasury Center Co. Ltd.
2.98%, 3/18/31(a)

     200,000        193,407  

PTTEP Treasury Center Co. Ltd.
3.90%, 12/6/59(b)

     600,000        584,892  
     

 

 

 
Total Thailand

 

     1,558,583  
Turkey – 3.3%

 

Akbank T.A.S.
6.80%, 2/6/26(a)

     600,000        585,000  

Turk Telekomunikasyon AS
6.88%, 2/28/25(b)

     200,000        198,466  

Turkiye Is Bankasi AS
6.13%, 4/25/24(a)

     200,000        199,976  

Turkiye Sise ve Cam Fabrikalari AS
6.95%, 3/14/26(b)

     500,000        494,687  

Turkiye Vakiflar Bankasi TAO
6.50%, 1/8/26(b)

     200,000        191,000  

Yapi ve Kredi Bankasi AS

     

7.88%, 1/22/31, (7.875% fixed rate until 1/22/26; 5-year Constant Maturity Treasury Rate + 7.415% thereafter)(b)(c)

     300,000        297,000  
     

 

 

 
Total Turkey

 

     1,966,129  
United Arab Emirates – 3.6%

 

Abu Dhabi National Energy Co. PJSC
2.00%, 4/29/28(a)

     200,000        190,250  

4.88%, 4/23/30(a)

     200,000        227,689  

DP World Ltd.
6.85%, 7/2/37(a)

     370,000        455,059  

Galaxy Pipeline Assets Bidco Ltd.
2.16%, 3/31/34(b)

     300,000        279,375  

2.94%, 9/30/40(b)

     225,000        207,000  

2.94%, 9/30/40(a)

     200,000        184,000  

MAF Global Securities Ltd.
4.75%, 5/7/24(a)

     200,000        207,000  

MHP Lux SA
6.25%, 9/19/29(b)

     275,000        110,000  

 

See Notes to Financial Statements.

 

34   WisdomTree Trust


Table of Contents

Schedule of Investments (unaudited) (continued)

WisdomTree Emerging Markets Corporate Bond Fund (EMCB)

February 28, 2022

 

 

 

Investments    Principal
Amount
     Value  

Sweihan PV Power Co. PJSC
3.63%, 1/31/49(b)

   $ 325,000      $ 312,406  
     

 

 

 
Total United Arab Emirates

 

     2,172,779  
United Kingdom – 0.6%

 

CK Hutchison International 21 Ltd.
2.50%, 4/15/31(b)

     350,000        337,778  
Zambia – 0.3%

 

First Quantum Minerals Ltd.
6.88%, 3/1/26(b)

     200,000        206,231  

TOTAL FOREIGN CORPORATE BONDS

(Cost: $64,985,147)

 

 

     58,089,749  
FOREIGN GOVERNMENT AGENCIES – 0.3%

 

India – 0.3%

 

Export-Import Bank of India
3.25%, 1/15/30(a)

(Cost: $202,880)

     200,000        192,518  
FOREIGN GOVERNMENT OBLIGATIONS – 1.1%

 

Egypt – 0.3%

 

Egypt Government International Bond
7.60%, 3/1/29(b)

     200,000        180,500  
Ghana – 0.2%

 

Ghana Government International Bond
6.38%, 2/11/27(b)

     200,000        139,000  
Nigeria – 0.3%

 

Nigeria Government International Bond
6.50%, 11/28/27(a)

     200,000        191,000  
Panama – 0.3%

 

Panama Government International Bond
2.25%, 9/29/32

     200,000        177,231  

TOTAL FOREIGN GOVERNMENT OBLIGATIONS

(Cost: $790,148)

 

 

     687,731  
Investments        
Shares
     Value  
INVESTMENT OF CASH COLLATERAL FOR SECURITIES LOANED – 4.4%

 

United States – 4.4%

 

State Street Navigator Securities Lending Government Money Market Portfolio, 0.06%(f)

     
(Cost: $2,640,998)      2,640,998      2,640,998  

TOTAL INVESTMENTS IN SECURITIES – 102.5%

(Cost: $68,619,173)

 

 

     61,610,996  

Other Assets less Liabilities – (2.5)%

 

     (1,529,211
     

 

 

 
NET ASSETS – 100.0%

 

   $ 60,081,785  
(a) 

This security is exempt from registration under Regulation S of the Securities Act of 1933, which exempts from registration securities offered and sold outside the United States. This security may not be offered or sold in the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933.

 

(b) 

This security is exempt from registration under rule 144A of the Securities Act of 1933. This security may be sold in transactions that are exempt from registration, normally to qualified institutional buyers.

 

(c) 

Rate shown reflects the accrual rate as of February 28, 2022 on securities with variable or step rates.

 

(d) 

The security has a perpetual maturity; the date displayed is the next call date.

 

(e) 

Security, or portion thereof, was on loan at February 28, 2022 (See Note 2). At February 28, 2022, the total market value of the Fund’s securities on loan identified in the Schedule of Investments was $4,588,634 and the total market value of the collateral held by the Fund was $4,773,875. The total market value of the collateral includes non-cash U.S. Government securities collateral having a value of $2,132,877.

 

(f) 

Rate shown represents annualized 7-day yield as of February 28, 2022.

 

FINANCIAL DERIVATIVE INSTRUMENTS
FUTURES CONTRACTS (EXCHANGE-TRADED)
Short Exposure   Contracts     Expiration
Date
    Notional
Value
    Unrealized
Appreciation/
(Depreciation)
 

10 Year U.S. Treasury Note

    57       6/21/22     $ (7,263,938   $ (69,023

U.S. Treasury Ultra Long Term Bond

    4       6/21/22       (743,750     (10,402

Ultra 10 Year U.S. Treasury Note

    27       6/21/22       (3,815,859     (48,616
      $ (11,823,547   $ (128,041
Long Exposure  

2 Year U.S. Treasury Note

    44       6/30/22     $ 9,469,969     $ 32,273  

5 Year U.S. Treasury Note

    11       6/30/22       1,301,094       9,281  

U.S. Treasury Long Bond

    6       6/21/22       940,125       14,431  
      $ 11,711,188     $ 55,985  

Total – Net

 

  $ (112,359   $ (72,056

 

See Notes to Financial Statements.

 

WisdomTree Trust      35  


Table of Contents

Schedule of Investments (unaudited) (concluded)

WisdomTree Emerging Markets Corporate Bond Fund (EMCB)

February 28, 2022

 

FAIR VALUATION SUMMARY

The following is a summary of the fair valuations according to the inputs used as of February 28, 2022 in valuing the Fund’s investments (See Note 2 — Fair Value Measurement):

 

      Quoted
Prices in
Active
Markets
(Level 1)
     Other
Significant
Observable
Inputs
(Level 2)
     Significant
Unobservable
Inputs
(Level 3)
     Total  

Assets:

 

     

Investments in Securities

  

Foreign Corporate Bonds

   $      $ 58,089,749      $      $ 58,089,749  

Foreign Government Agencies

            192,518               192,518  

Foreign Government Obligations

            687,731               687,731  

Investment of Cash Collateral for Securities Loaned

            2,640,998               2,640,998  

Total Investments in Securities

   $      $ 61,610,996      $      $ 61,610,996  

Financial Derivative Instruments

  

Futures Contracts1

   $ 55,985      $      $      $ 55,985  

Liabilities:

        

Financial Derivative Instruments

  

Futures Contracts1

   $ (128,041    $      $      $ (128,041

Total – Net

   $ (72,056    $ 61,610,996      $      $ 61,538,940  
1 

Amount shown represents the unrealized appreciation (depreciation) on the financial instrument.

 

See Notes to Financial Statements.

 

36   WisdomTree Trust


Table of Contents

Schedule of Investments (unaudited)

WisdomTree Emerging Markets Local Debt Fund (ELD)

February 28, 2022

 

 

 

Investments    Principal
Amount
     Value  
FOREIGN GOVERNMENT OBLIGATIONS – 87.1%

 

Brazil – 7.9%

 

Brazil Letras do Tesouro Nacional

 

6.38%, 7/1/23, Series LTN(a)

     10,130,000       BRL      $ 1,681,691  

6.30%, 1/1/24, Series LTN(a)

     10,290,000       BRL        1,623,131  

9.41%, 7/1/24, Series LTN(a)

     7,255,000       BRL        1,087,787  

Brazil Notas do Tesouro Nacional

 

10.00%, 1/1/23, Series F

     7,835,000       BRL        1,492,607  

10.00%, 1/1/25, Series F

     6,249,000       BRL        1,175,055  

10.00%, 1/1/27, Series F

     3,780,000       BRL        701,676  

10.00%, 1/1/29, Series F

     5,560,000       BRL        1,007,017  

10.00%, 1/1/31, Series F

     500,000       BRL        89,308  
       

 

 

 
Total Brazil

 

             8,858,272  
Chile – 3.8%

 

Bonos de la Tesoreria de la Republica en pesos

 

4.00%, 3/1/23(b)(c)

     200,000,000       CLP        243,906  

2.50%, 3/1/25

     800,000,000       CLP        904,515  

4.50%, 3/1/26

     680,000,000       CLP        807,561  

2.30%, 10/1/28(b)(c)

     105,000,000       CLP        106,349  

5.00%, 10/1/28(b)(c)

     480,000,000       CLP        577,431  

4.70%, 9/1/30(b)(c)

     175,000,000       CLP        205,160  

5.00%, 3/1/35

     790,000,000       CLP        923,696  

6.00%, 1/1/43, Series 30YR

     380,000,000       CLP        485,644  
       

 

 

 
Total Chile

 

             4,254,262  
China – 7.1%

 

China Development Bank

 

2.98%, 1/8/24, Series 2102

     5,000,000       CNY        800,380  

3.41%, 6/7/31, Series 2110

     4,000,000       CNY        646,691  

China Government Bond

 

3.25%, 6/6/26, Series 1907

     3,550,000       CNY        578,435  

3.12%, 12/5/26, Series 1916

     2,250,000       CNY        364,706  

2.85%, 6/4/27, Series INBK

     1,700,000       CNY        271,905  

3.25%, 11/22/28, Series 1827

     8,000,000       CNY        1,307,050  

3.29%, 5/23/29, Series 1906

     5,000,000       CNY        817,666  

3.13%, 11/21/29, Series 1915

     4,000,000       CNY        647,359  

2.68%, 5/21/30, Series INBK

     2,970,000       CNY        463,490  

3.81%, 9/14/50, Series INBK

     3,000,000       CNY        510,404  

Export-Import Bank of China

 

3.28%, 2/11/24, Series 1905

     5,000,000       CNY        804,196  

3.14%, 4/2/24, Series 2103

     5,000,000       CNY        803,213  
       

 

 

 
Total China

 

             8,015,495  
Colombia – 7.0%

 

Colombian TES

 

10.00%, 7/24/24, Series B

     4,958,700,000       COP        1,311,652  

6.25%, 11/26/25, Series B

     1,502,400,000       COP        353,015  

7.50%, 8/26/26, Series B

     5,104,300,000       COP        1,235,104  

5.75%, 11/3/27, Series B

     5,079,700,000       COP        1,108,618  

6.00%, 4/28/28, Series B

     2,422,600,000       COP        528,582  

7.75%, 9/18/30, Series B

     1,762,200,000       COP        410,268  

7.00%, 3/26/31, Series B

     3,300,000,000       COP        724,814  

7.00%, 6/30/32, Series B

     3,041,800,000       COP        655,739  

7.25%, 10/18/34, Series B

     2,210,400,000       COP        473,286  

6.25%, 7/9/36, Series B

     5,000,000,000       COP        951,372  

7.25%, 10/26/50, Series B

     850,000,000       COP        164,520  
       

 

 

 
Total Colombia

 

             7,916,970  
Czech Republic – 2.0%

 

Czech Republic Government Bond

 

0.45%, 10/25/23, Series 97(b)

     10,000,000       CZK      420,941  

3.62%, 12/12/24, Series 135(a)

     2,000,000       CZK        80,670  

1.25%, 2/14/25, Series 120

     10,000,000       CZK        416,643  

0.25%, 2/10/27, Series 100

     6,300,000       CZK        243,491  

0.05%, 11/29/29, Series 130

     15,000,000       CZK        530,812  

1.20%, 3/13/31, Series 121

     15,000,000       CZK        571,746  
       

 

 

 
Total Czech Republic

 

             2,264,303  
Egypt – 0.0%

 

Egypt Government Bond
14.48%, 4/6/26, Series 5YR

     700,000       EGP        45,307  
Hungary – 1.9%

 

Hungary Government Bond

 

1.75%, 10/26/22, Series 22/B

     66,770,000       HUF        198,106  

6.00%, 11/24/23, Series 23/A

     17,600,000       HUF        54,028  

3.00%, 6/26/24, Series 24/B

     168,940,000       HUF        488,309  

1.00%, 11/26/25, Series 25/C

     30,000,000       HUF        78,363  

3.00%, 10/27/27, Series 27/A

     266,740,000       HUF        721,068  

3.00%, 8/21/30, Series 30/A

     55,660,000       HUF        143,373  

3.25%, 10/22/31, Series 31/A

     72,870,000       HUF        191,421  

2.25%, 4/20/33, Series 33/A

     95,360,000       HUF        219,074  

3.00%, 10/27/38, Series 38/A

     27,000,000       HUF        60,658  
       

 

 

 
Total Hungary

 

             2,154,400  
India – 3.5%

 

India Government Bond

 

5.15%, 11/9/25

     50,000,000       INR        649,856  

5.63%, 4/12/26

     50,000,000       INR        656,923  

7.26%, 1/14/29

     50,000,000       INR        686,552  

5.79%, 5/11/30

     50,000,000       INR        626,099  

6.10%, 7/12/31

     50,000,000       INR        632,934  

7.16%, 9/20/50

     50,000,000       INR        668,038  
       

 

 

 
Total India

 

             3,920,402  
Indonesia – 11.6%

 

Indonesia Treasury Bond

 

8.38%, 3/15/24, Series FR70

     8,465,000,000       IDR        636,808  

8.13%, 5/15/24, Series FR77

     8,178,000,000       IDR        615,225  

6.50%, 6/15/25, Series FR81

     13,200,000,000       IDR        963,801  

5.50%, 4/15/26, Series FR86

     4,697,000,000       IDR        329,601  

8.38%, 9/15/26, Series FR56

     16,931,000,000       IDR        1,315,614  

6.13%, 5/15/28, Series FR64

     12,300,000,000       IDR        862,214  

9.00%, 3/15/29, Series FR71

     9,875,000,000       IDR        790,790  

8.25%, 5/15/29, Series FR78

     3,520,000,000       IDR        271,536  

7.00%, 9/15/30, Series FR82

     13,000,000,000       IDR        933,417  

8.75%, 5/15/31, Series FR73

     8,601,000,000       IDR        688,018  

8.25%, 6/15/32, Series FR58

     11,549,000,000       IDR        894,412  

8.38%, 3/15/34, Series FR68

     16,000,000,000       IDR        1,255,889  

7.50%, 6/15/35, Series FR80

     11,063,000,000       IDR        812,364  

8.25%, 5/15/36, Series FR72

     11,563,000,000       IDR        899,373  

7.50%, 5/15/38, Series FR75

     3,300,000,000       IDR        240,276  

8.38%, 4/15/39, Series FR79

     10,000,000,000       IDR        792,134  

7.50%, 4/15/40, Series FR83

     4,000,000,000       IDR        293,319  

8.75%, 2/15/44, Series FR67

     1,390,000,000       IDR        112,670  

Perusahaan Penerbit SBSN Indonesia
6.63%, 10/15/24, Series PBS

     5,000,000,000       IDR        366,333  
       

 

 

 
Total Indonesia

 

             13,073,794  

 

See Notes to Financial Statements.

 

WisdomTree Trust      37  


Table of Contents

Schedule of Investments (unaudited) (continued)

WisdomTree Emerging Markets Local Debt Fund (ELD)

February 28, 2022

 

 

 

Investments    Principal
Amount
     Value  
Malaysia – 6.8%

 

Malaysia Government Bond

 

3.48%, 6/14/24, Series 0319

     1,000,000       MYR      $ 242,259  

4.18%, 7/15/24, Series 0114

     1,560,000       MYR        383,512  

3.96%, 9/15/25, Series 0115

     2,890,000       MYR        709,299  

3.91%, 7/15/26, Series 0119

     465,000       MYR        113,644  

3.90%, 11/16/27, Series 0417

     4,410,000       MYR        1,074,576  

3.89%, 8/15/29, Series 0219

     3,190,000       MYR        770,360  

2.63%, 4/15/31, Series 0220

     2,000,000       MYR        437,269  

3.83%, 7/5/34, Series 0419

     1,485,000       MYR        347,463  

4.76%, 4/7/37, Series 0317

     1,832,000       MYR        466,884  

3.76%, 5/22/40, Series 0519

     1,500,000       MYR        336,365  

4.07%, 6/15/50, Series 0120

     1,315,000       MYR        296,305  

Malaysia Government Investment Issue

 

4.13%, 8/15/25, Series 0118

     4,000,000       MYR        985,229  

3.73%, 3/31/26, Series 0319

     2,900,000       MYR        702,119  

3.42%, 9/30/27, Series 0120

     500,000       MYR        119,100  

3.47%, 10/15/30, Series 0220

     1,980,000       MYR        462,442  

3.45%, 7/15/36, Series 0121

     1,125,000       MYR        250,469  
       

 

 

 
Total Malaysia

 

             7,697,295  
Mexico – 5.0%

 

Mexican Bonos

 

10.00%, 12/5/24, Series M 20

     8,410,000       MXN        433,888  

5.75%, 3/5/26, Series M

     3,700,000       MXN        168,357  

8.50%, 5/31/29, Series M 20

     21,945,000       MXN        1,112,975  

7.75%, 5/29/31, Series M

     15,133,000       MXN        733,813  

7.75%, 11/23/34, Series M

     5,319,000       MXN        255,783  

10.00%, 11/20/36, Series M 30

     4,237,000       MXN        242,266  

8.50%, 11/18/38, Series M 30

     19,854,000       MXN        1,008,815  

7.75%, 11/13/42, Series M

     15,142,000       MXN        709,957  

8.00%, 11/7/47, Series M

     20,000,000       MXN        959,431  
       

 

 

 
Total Mexico

 

             5,625,285  
Peru – 3.7%

 

Peru Government Bond

 

8.20%, 8/12/26

     125,000       PEN        37,022  

6.35%, 8/12/28

     2,750,000       PEN        748,295  

5.94%, 2/12/29

     4,785,000       PEN        1,267,599  

6.15%, 8/12/32

     3,451,000       PEN        899,703  

5.40%, 8/12/34

     2,830,000       PEN        667,750  

6.90%, 8/12/37

     500,000       PEN        131,414  

5.35%, 8/12/40

     2,000,000       PEN        439,344  
       

 

 

 
Total Peru

 

             4,191,127  
Philippines – 2.0%

 

Philippine Government International Bond

 

3.90%, 11/26/22

     39,000,000       PHP        758,767  

6.25%, 1/14/36

     70,000,000       PHP        1,503,717  
       

 

 

 
Total Philippines

 

             2,262,484  
Poland – 3.6%

 

Republic of Poland Government Bond

 

2.50%, 1/25/23, Series 0123

     2,500,000       PLN        592,573  

4.00%, 10/25/23, Series 1023

     2,300,000       PLN        550,191  

2.50%, 4/25/24, Series 0424

     1,200,000       PLN        278,133  

0.75%, 4/25/25, Series 0425

     1,630,000       PLN        352,020  

2.50%, 7/25/26, Series 0726

     4,095,000       PLN        914,813  

2.50%, 7/25/27, Series 0727

     3,505,000       PLN        772,349  

2.75%, 10/25/29, Series 1029

     585,000       PLN        127,760  

1.25%, 10/25/30, Series 1030

     2,215,000       PLN        423,809  
       

 

 

 
Total Poland

 

             4,011,648  
Romania – 2.0%

 

Romania Government Bond

 

3.50%, 12/19/22, Series 7Y

     1,110,000       RON      250,404  

5.85%, 4/26/23, Series 10Y

     1,470,000       RON        338,283  

4.00%, 10/25/23, Series 3Y

     565,000       RON        126,974  

3.25%, 4/29/24, Series 7Y

     950,000       RON        208,608  

4.75%, 2/24/25, Series 10Y

     1,410,000       RON        317,175  

4.85%, 4/22/26, Series 7Y

     1,000,000       RON        222,502  

5.80%, 7/26/27, Series 15Y

     1,080,000       RON        247,165  

4.15%, 1/26/28, Series 8Y

     940,000       RON        197,118  

5.00%, 2/12/29, Series 10Y

     500,000       RON        108,470  

3.65%, 9/24/31, Series 15Y

     500,000       RON        94,834  

4.75%, 10/11/34, Series 15Y

     560,000       RON        113,157  
       

 

 

 
Total Romania

 

             2,224,690  
Russia – 3.7%

 

Russian Federal Bond – OFZ

 

7.00%, 1/25/23, Series 6211

     18,349,000       RUB        148,149  

7.00%, 8/16/23, Series 6215

     14,505,000       RUB        115,490  

6.50%, 2/28/24, Series 6223

     23,910,000       RUB        179,563  

7.40%, 7/17/24, Series 6227

     34,500,000       RUB        261,346  

7.10%, 10/16/24, Series 6222

     67,486,000       RUB        498,529  

4.50%, 7/16/25, Series 6234

     32,046,000       RUB        212,212  

7.15%, 11/12/25, Series 6229

     33,668,000       RUB        244,125  

7.75%, 9/16/26, Series 6219

     33,000,000       RUB        240,777  

7.95%, 10/7/26, Series 6226

     24,063,000       RUB        177,125  

8.15%, 2/3/27, Series 6207

     43,606,000       RUB        274,603  

7.05%, 1/19/28, Series 6212

     29,885,000       RUB        149,164  

5.70%, 5/17/28, Series 6236

     25,000,000       RUB        157,704  

6.90%, 5/23/29, Series 6224

     30,000,000       RUB        195,923  

7.65%, 4/10/30, Series 6228

     24,000,000       RUB        161,275  

6.90%, 7/23/31, Series 6239

     21,500,000       RUB        133,232  

8.50%, 9/17/31, Series 6218

     27,440,000       RUB        190,910  

7.70%, 3/23/33, Series 6221

     31,865,000       RUB        205,030  

7.25%, 5/10/34, Series 6225

     55,860,000       RUB        340,500  

6.10%, 7/18/35, Series 6233

     10,500,000       RUB        57,795  

7.70%, 3/16/39, Series 6230

     38,765,000       RUB        252,046  
       

 

 

 
Total Russia

 

             4,195,498  
South Africa – 9.6%

 

Republic of South Africa Government Bond

 

10.50%, 12/21/26, Series R186

     10,000,000       ZAR        719,417  

8.00%, 1/31/30, Series 2030

     25,655,000       ZAR        1,529,601  

7.00%, 2/28/31, Series R213

     10,267,000       ZAR        558,149  

8.25%, 3/31/32, Series 2032

     19,895,000       ZAR        1,158,464  

8.88%, 2/28/35, Series 2035

     18,810,000       ZAR        1,094,477  

6.25%, 3/31/36, Series R209

     12,301,600       ZAR        559,617  

8.50%, 1/31/37, Series 2037

     21,000,000       ZAR        1,157,264  

9.00%, 1/31/40, Series 2040

     19,300,000       ZAR        1,089,434  

6.50%, 2/28/41, Series R214

     4,005,000       ZAR        173,017  

8.75%, 1/31/44, Series 2044

     22,665,000       ZAR        1,231,119  

8.75%, 2/28/48, Series 2048

     28,120,000       ZAR        1,520,145  
       

 

 

 
Total South Africa

 

             10,790,704  
Thailand – 3.8%

 

Thailand Government Bond

 

2.00%, 12/17/22

     6,000,000       THB        185,810  

0.75%, 6/17/24

     3,025,000       THB        92,433  

1.45%, 12/17/24

     31,565,000       THB        979,508  

0.95%, 6/17/25

     7,000,000       THB        213,976  

3.85%, 12/12/25

     5,480,000       THB        184,654  

2.13%, 12/17/26

     4,000,000       THB        126,916  

2.88%, 12/17/28

     3,615,000       THB        118,479  

 

See Notes to Financial Statements.

 

38   WisdomTree Trust


Table of Contents

Schedule of Investments (unaudited) (continued)

WisdomTree Emerging Markets Local Debt Fund (ELD)

February 28, 2022

 

 

 

Investments    Principal
Amount
     Value  

4.88%, 6/22/29

     5,067,000       THB      $ 186,359  

1.60%, 12/17/29

     25,000,000       THB        744,794  

3.65%, 6/20/31

     9,000,000       THB        311,353  

1.60%, 6/17/35

     6,130,000       THB        168,656  

3.40%, 6/17/36

     11,285,000       THB        376,239  

3.30%, 6/17/38

     12,000,000       THB        392,187  

2.88%, 6/17/46

     6,985,000       THB        209,703  
       

 

 

 
Total Thailand

 

             4,291,067  
Turkey – 2.1%

 

Turkey Government Bond

 

11.00%, 3/2/22

     5,620,000       TRY        406,203  

12.20%, 1/18/23

     8,000,000       TRY        542,149  

16.20%, 6/14/23

     4,830,000       TRY        330,895  

9.00%, 7/24/24

     733,000       TRY        39,560  

8.00%, 3/12/25

     4,657,000       TRY        226,472  

12.60%, 10/1/25

     3,815,000       TRY        203,554  

10.60%, 2/11/26

     2,290,000       TRY        111,859  

11.00%, 2/24/27

     6,586,000       TRY        301,272  

10.50%, 8/11/27

     3,410,000       TRY        149,960  

11.70%, 11/13/30

     1,905,000       TRY        79,996  
       

 

 

 
Total Turkey

 

             2,391,920  

TOTAL FOREIGN GOVERNMENT OBLIGATIONS

(Cost: $118,812,423)

 

 

     98,184,923  
SUPRANATIONAL BONDS – 9.6%

 

European Bank for Reconstruction & Development
6.45%, 12/13/22

     7,910,000,000       IDR        560,780  

European Investment Bank

 

5.50%, 1/23/23

     7,000,000       MXN        334,164  

7.50%, 7/30/23

     38,000,000       MXN        1,842,300  

7.75%, 1/30/25

     10,000,000       MXN        484,243  

8.13%, 12/21/26

     9,740,000       ZAR        659,897  

8.00%, 5/5/27(b)

     18,500,000       ZAR        1,247,920  

Inter-American Development Bank
7.50%, 12/5/24

     8,000,000       MXN        384,681  

International Bank for Reconstruction & Development
8.25%, 12/21/26

     6,675,000       ZAR        450,747  

International Finance Corp.

 

5.75%, 3/2/23

     22,000,000       MXN      1,052,194  

7.00%, 7/20/27

     35,000,000       MXN        1,662,425  

7.50%, 1/18/28

     31,000,000       MXN        1,505,584  

5.50%, 2/28/28

     34,850,000       RUB        200,923  

7.75%, 1/18/30

     10,000,000       MXN        490,934  

TOTAL SUPRANATIONAL BONDS

(Cost: $11,337,012)

 

 

     10,876,792  
REPURCHASE AGREEMENT—1.8%

 

United States – 1.8%

 

Citigroup, Inc., tri-party repurchase agreement dated 2/28/22 (tri-party custodian: The Bank of New York Mellon Corp.), 0.06% due 3/1/22; Proceeds at maturity – $2,030,003 (fully collateralized by Ginnie Mae II Single Family, 2.00% – 4.00% due 1/20/52, Ginnie Mae II Single Family Platinum, 3.50% due 1/20/52; Market value including accrued interest – $2,132,305)

       
(Cost: $2,030,000)      2,030,000                2,030,000  

TOTAL INVESTMENTS IN SECURITIES – 98.5%

(Cost: $132,179,435)

 

 

       111,091,715  

Other Assets less Liabilities—1.5%

 

       1,670,988  
    

 

 

 
NET ASSETS – 100.0%

 

           $ 112,762,703  

 

 

Principal amount is reported in U.S. dollars unless otherwise noted.

 

(a) 

Represents a zero coupon bond. Rate shown reflects the effective yield as of February 28, 2022.

 

(b) 

This security is exempt from registration under Regulation S of the Securities Act of 1933, which exempts from registration securities offered and sold outside the United States. This security may not be offered or sold in the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933.

 

(c) 

This security is exempt from registration under rule 144A of the Securities Act of 1933. This security may be sold in transactions that are exempt from registration, normally to qualified institutional buyers.

 

FINANCIAL DERIVATIVE INSTRUMENTS  
FOREIGN CURRENCY CONTRACTS (OTC – OVER THE COUNTER)  
Counterparty   Settlement
Date
    Amount and
Description of
Currency to
be Purchased
   

Amount and
Description of
Currency to
be Sold

    Unrealized
Appreciation
    Unrealized
Depreciation
 

Bank of America NA

    3/15/2022       8,000,000       MXN       362,159       USD     $ 28,528     $  

Barclays Bank PLC

    3/15/2022       1,480,175       USD       113,078,000       INR             (15,190

Citibank NA

    3/3/2022       777,805       BRL       150,679       USD       301        

Citibank NA

    3/3/2022       546,913       USD       2,823,164       BRL             (1,093

Goldman Sachs

    3/15/2022       113,078,000       INR       1,499,708       USD             (4,343

Goldman Sachs

    3/15/2022       439,223       USD       9,000,000       MXN             (300

Morgan Stanley & Co. International

    3/15/2022       2,500,000       CNY       389,105       USD       6,496        

Morgan Stanley & Co. International

    3/15/2022       2,462,000       MYR       580,797       USD       4,841        

Standard Chartered Bank

    3/1/2022       531,814       EGP       33,787       USD       65        

State Street Bank and Trust

    3/1/2022       399,872       USD       1,500,000       PEN       5,052        

State Street Bank and Trust

    3/1/2022       36,915       USD       568,750       ZAR       109        

UBS AG

    3/15/2022       4,000,000       MXN       182,518       USD       12,826        
                                            $ 58,218     $ (20,926

 

See Notes to Financial Statements.

 

WisdomTree Trust      39  


Table of Contents

Schedule of Investments (unaudited) (concluded)

WisdomTree Emerging Markets Local Debt Fund (ELD)

February 28, 2022

 

FAIR VALUATION SUMMARY

The following is a summary of the fair valuations according to the inputs used as of February 28, 2022 in valuing the Fund’s investments (See Note 2 — Fair Value Measurement):

 

      Quoted
Prices in
Active
Markets
(Level 1)
     Other
Significant
Observable
Inputs
(Level 2)
     Significant
Unobservable
Inputs
(Level 3)
     Total  

Assets:

        

Investments in Securities

  

Foreign Government Obligations

   $      $ 98,184,923      $      $ 98,184,923  

Supranational Bonds

            10,876,792               10,876,792  

Repurchase Agreement

            2,030,000               2,030,000  

Total Investments in Securities

   $      $ 111,091,715      $      $ 111,091,715  

Financial Derivative Instruments

  

Foreign Currency Contracts1

   $      $ 58,218      $      $ 58,218  

Liabilities:

        

Financial Derivative Instruments

  

Foreign Currency Contracts1

   $      $ (20,926    $      $ (20,926

Total – Net

   $      $ 111,129,007      $      $ 111,129,007  
1 

Amount shown represents the unrealized appreciation (depreciation) on the financial instrument.

 

See Notes to Financial Statements.

 

40   WisdomTree Trust


Table of Contents

Schedule of Investments (unaudited)

WisdomTree Floating Rate Treasury Fund (USFR)

February 28, 2022

 

 

 

Investments    Principal
Amount
     Value  
U.S. GOVERNMENT OBLIGATIONS – 100.0%

 

U.S. Treasury Notes – 100.0%

 

U.S. Treasury Floating Rate Notes

     

0.39%, 4/30/23, (3-month U.S. Treasury Bill Money Market Yield + 0.034%)*

   $ 670,560,000      $ 671,482,000  

0.39%, 7/31/23, (3-month U.S. Treasury Bill Money Market Yield + 0.029%)*

     670,539,000        671,592,886  

0.40%, 10/31/23, (3-month U.S. Treasury Bill Money Market Yield + 0.035%)*

     636,955,000        638,128,997  

0.35%, 1/31/24, (3-month U.S. Treasury Bill Money Market Yield - 0.015%)*

     400,038,000        400,383,061  

TOTAL INVESTMENTS IN SECURITIES – 100.0%

(Cost: $2,379,319,444)

 

 

     2,381,586,944  

Other Assets less Liabilities – 0.0%

 

     434,275  
  

 

 

 
NET ASSETS – 100.0%

 

   $ 2,382,021,219  
* 

Floating rate note. Coupon shown is in effect at February 28, 2022. Date represents the ultimate maturity date.

 

FAIR VALUATION SUMMARY

The following is a summary of the fair valuations according to the inputs used as of February 28, 2022 in valuing the Fund’s investments (See Note 2 — Fair Value Measurement):

 

      Quoted
Prices in
Active
Markets
(Level 1)
     Other
Significant
Observable
Inputs
(Level 2)
     Significant
Unobservable
Inputs
(Level 3)
     Total  

Assets:

           

Investments in Securities

           

U.S. Government Obligations

   $      $ 2,381,586,944      $      $ 2,381,586,944  

Total Investments in Securities

   $      $ 2,381,586,944      $      $ 2,381,586,944  

 

See Notes to Financial Statements.

 

WisdomTree Trust      41  


Table of Contents

Schedule of Investments (unaudited)

WisdomTree Interest Rate Hedged High Yield Bond Fund (HYZD)

February 28, 2022

 

 

 

Investments    Principal
Amount
     Value  
U.S. CORPORATE BONDS – 95.4%

 

United States – 95.4%

 

ACCO Brands Corp.
4.25%, 3/15/29(a)

   $ 255,000      $ 239,073  

AdaptHealth LLC
4.63%, 8/1/29(a)

     484,000        437,265  

ADT Security Corp.
4.88%, 7/15/32(a)

     734,000        689,725  

Adtalem Global Education, Inc.
5.50%, 3/1/28(a)

     460,000        411,677  

AECOM
5.13%, 3/15/27

     251,000        257,571  

Albertsons Cos., Inc. / Safeway, Inc. / New Albertsons LP / Albertsons LLC
3.50%, 2/15/23(a)

     20,000        20,084  

3.25%, 3/15/26(a)

     60,000        57,840  

7.50%, 3/15/26(a)

     30,000        31,826  

4.63%, 1/15/27(a)

     80,000        80,494  

5.88%, 2/15/28(a)

     180,000        187,285  

3.50%, 3/15/29(a)

     440,000        409,803  

4.88%, 2/15/30(a)

     220,000        220,807  

Allison Transmission, Inc.
5.88%, 6/1/29(a)

     482,000        506,972  

AMC Networks, Inc.
5.00%, 4/1/24

     245,000        245,213  

4.75%, 8/1/25(b)

     468,000        467,836  

American Axle & Manufacturing, Inc.
5.00%, 10/1/29(b)

     320,000        303,606  

American Finance Trust, Inc. / American Finance Operating Partner LP
4.50%, 9/30/28(a)

     230,000        214,749  

AmeriGas Partners LP / AmeriGas Finance Corp.
5.63%, 5/20/24

     221,000        226,178  

5.50%, 5/20/25

     573,000        583,320  

5.75%, 5/20/27

     17,000        17,177  

Amkor Technology, Inc.
6.63%, 9/15/27(a)

     195,000        204,298  

AMN Healthcare, Inc.
4.63%, 10/1/27(a)

     40,000        39,923  

ANGI Group LLC
3.88%, 8/15/28(a)

     230,000        206,202  

Antero Midstream Partners LP / Antero Midstream Finance Corp.
5.75%, 3/1/27(a)

     150,000        152,945  

5.75%, 1/15/28(a)

     767,000        779,149  

5.38%, 6/15/29(a)

     117,000        117,823  

Antero Resources Corp.
5.00%, 3/1/25

     100,000        101,250  

7.63%, 2/1/29(a)

     413,000        448,473  

Apache Corp.
5.10%, 9/1/40

     400,000        400,848  

4.75%, 4/15/43(b)

     16,000        15,281  

Apollo Commercial Real Estate Finance, Inc.
4.63%, 6/15/29(a)

     351,000        318,792  

APX Group, Inc.
6.75%, 2/15/27(a)

     245,000        251,779  

5.75%, 7/15/29(a)(b)

     506,000        455,157  

Aramark Services, Inc.
6.38%, 5/1/25(a)

     489,000        506,648  

5.00%, 2/1/28(a)(b)

     497,000        498,566  

Archrock Partners LP / Archrock Partners Finance Corp.
6.88%, 4/1/27(a)

   173,000      177,818  

6.25%, 4/1/28(a)

     675,000        677,410  

Asbury Automotive Group, Inc.
4.63%, 11/15/29(a)

     90,000        87,860  

5.00%, 2/15/32(a)

     501,000        489,131  

ASGN, Inc.
4.63%, 5/15/28(a)

     225,000        222,822  

Audacy Capital Corp.
6.75%, 3/31/29(a)(b)

     376,000        356,824  

Avantor Funding, Inc.
4.63%, 7/15/28(a)

     536,000        544,378  

Avient Corp.
5.75%, 5/15/25(a)

     150,000        153,888  

Axalta Coating Systems LLC
3.38%, 2/15/29(a)

     248,000        227,818  

B&G Foods, Inc.
5.25%, 4/1/25

     351,000        353,706  

5.25%, 9/15/27

     224,000        223,660  

Ball Corp.
4.00%, 11/15/23

     175,000        179,981  

5.25%, 7/1/25

     70,000        74,565  

2.88%, 8/15/30

     588,000        538,702  

Bath & Body Works, Inc.
5.25%, 2/1/28

     420,000        437,808  

7.50%, 6/15/29(b)

     65,000        71,280  

6.63%, 10/1/30(a)

     420,000        453,919  

6.75%, 7/1/36

     835,000        911,127  

Bausch Health Americas, Inc.
9.25%, 4/1/26(a)

     947,000        980,969  

Berry Global, Inc.
1.57%, 1/15/26

     20,000        19,058  

4.88%, 7/15/26(a)

     327,000        331,159  

Big River Steel LLC / BRS Finance Corp.
6.63%, 1/31/29(a)

     250,000        262,783  

Black Knight InfoServ LLC
3.63%, 9/1/28(a)

     261,000        247,637  

Block, Inc.
3.50%, 6/1/31(a)

     205,000        192,749  

Booz Allen Hamilton, Inc.
3.88%, 9/1/28(a)

     220,000        214,975  

Boyd Gaming Corp.
4.75%, 12/1/27

     1,032,000        1,037,397  

Brink’s Co.
4.63%, 10/15/27(a)

     44,000        42,955  

Brookfield Property REIT, Inc. / BPR Cumulus LLC / BPR Nimbus LLC / GGSI Sellco LLC
5.75%, 5/15/26(a)

     573,000        567,534  

Builders FirstSource, Inc.
5.00%, 3/1/30(a)

     426,000        437,106  

Cable One, Inc.
4.00%, 11/15/30(a)(b)

     213,000        197,998  

Caesars Entertainment, Inc.
6.25%, 7/1/25(a)

     1,810,000        1,877,712  

8.13%, 7/1/27(a)

     120,000        129,466  

4.63%, 10/15/29(a)

     520,000        493,756  

 

See Notes to Financial Statements.

 

42   WisdomTree Trust


Table of Contents

Schedule of Investments (unaudited) (continued)

WisdomTree Interest Rate Hedged High Yield Bond Fund (HYZD)

February 28, 2022

 

 

 

Investments    Principal
Amount
     Value  

Caesars Resort Collection LLC / CRC Finco, Inc.
5.75%, 7/1/25(a)

   $ 120,000      $ 123,188  

California Resources Corp.
7.13%, 2/1/26(a)

     310,000        322,549  

Calumet Specialty Products Partners LP / Calumet Finance Corp.
11.00%, 4/15/25(a)

     539,000        570,607  

Catalent Pharma Solutions, Inc.
3.13%, 2/15/29(a)

     453,000        423,147  

CCO Holdings LLC / CCO Holdings Capital Corp.
5.13%, 5/1/27(a)

     557,000        564,603  

4.75%, 3/1/30(a)

     920,000        904,829  

4.50%, 8/15/30(a)

     1,247,000        1,203,068  

4.25%, 1/15/34(a)

     132,000        121,447  

CDK Global, Inc.
5.00%, 10/15/24

     10,000        10,487  

5.25%, 5/15/29(a)

     48,000        49,492  

CDW LLC / CDW Finance Corp.
5.50%, 12/1/24

     77,000        80,710  

4.13%, 5/1/25

     162,000        164,458  

4.25%, 4/1/28

     61,000        60,544  

Cedar Fair LP / Canada’s Wonderland Co. / Magnum Management Corp. / Millennium Operations LLC
5.50%, 5/1/25(a)

     513,000        529,185  

Centene Corp.
4.63%, 12/15/29

     867,000        894,068  

3.38%, 2/15/30

     122,000        117,379  

3.00%, 10/15/30

     531,000        507,487  

Central Garden & Pet Co.
4.13%, 10/15/30

     150,000        142,608  

CF Industries, Inc.
3.45%, 6/1/23

     240,000        244,445  

5.38%, 3/15/44

     94,000        106,337  

Change Healthcare Holdings LLC / Change Healthcare Finance, Inc.
5.75%, 3/1/25(a)

     737,000        734,693  

Charles River Laboratories International, Inc.
4.00%, 3/15/31(a)

     360,000        345,280  

Charter Communications Operating LLC / Charter Communications Operating Capital 3.70%, 4/1/51

     980,000        825,758  

3.85%, 4/1/61

     902,000        746,892  

Chemours Co.
5.38%, 5/15/27(b)

     440,000        442,240  

5.75%, 11/15/28(a)

     585,000        575,476  

Chesapeake Energy Corp.
6.75%, 4/15/29(a)

     70,000        74,001  

CHS / Community Health Systems, Inc.
8.00%, 3/15/26(a)

     492,000        513,436  

5.63%, 3/15/27(a)

     250,000        252,170  

8.00%, 12/15/27(a)

     360,000        380,275  

6.88%, 4/15/29(a)

     891,000        863,290  

6.13%, 4/1/30(a)(b)

     250,000        232,878  

4.75%, 2/15/31(a)

     1,475,000        1,395,542  

Churchill Downs, Inc.
5.50%, 4/1/27(a)

     272,000        275,949  

Cinemark USA, Inc.
5.25%, 7/15/28(a)(b)

   534,000      510,055  

Clarivate Science Holdings Corp.
3.88%, 7/1/28(a)

     60,000        56,736  

4.88%, 7/1/29(a)

     703,000        662,500  

Clean Harbors, Inc.
4.88%, 7/15/27(a)

     30,000        30,203  

Clear Channel Outdoor Holdings, Inc.
7.75%, 4/15/28(a)

     1,023,000        1,068,943  

7.50%, 6/1/29(a)

     700,000        727,251  

Clearway Energy Operating LLC
4.75%, 3/15/28(a)

     42,000        42,297  

3.75%, 2/15/31(a)

     147,000        136,973  

Cleveland-Cliffs, Inc.
9.88%, 10/17/25(a)

     30,000        33,455  

6.75%, 3/15/26(a)

     130,000        137,064  

5.88%, 6/1/27(b)

     160,000        164,946  

4.63%, 3/1/29(a)(b)

     500,000        484,140  

4.88%, 3/1/31(a)(b)

     390,000        380,855  

CNX Resources Corp.
7.25%, 3/14/27(a)

     481,000        508,884  

Cogent Communications Group, Inc.
3.50%, 5/1/26(a)

     70,000        67,667  

CommScope Technologies LLC
6.00%, 6/15/25(a)

     934,000        916,039  

5.00%, 3/15/27(a)(b)

     556,000        496,119  

CommScope, Inc.
6.00%, 3/1/26(a)

     854,000        875,324  

8.25%, 3/1/27(a)(b)

     1,032,000        1,028,491  

4.75%, 9/1/29(a)

     330,000        311,279  

Compass Minerals International, Inc.
6.75%, 12/1/27(a)

     358,000        372,231  

Comstock Resources, Inc.
6.75%, 3/1/29(a)

     353,000        359,756  

5.88%, 1/15/30(a)

     670,000        649,136  

Conduent Business Services LLC / Conduent State & Local Solutions, Inc.
6.00%, 11/1/29(a)

     300,000        286,113  

Consolidated Communications, Inc.
6.50%, 10/1/28(a)

     489,000        488,809  

Continental Resources, Inc.
4.50%, 4/15/23

     420,000        429,442  

4.90%, 6/1/44

     6,000        6,056  

CoreCivic, Inc.
8.25%, 4/15/26

     422,000        430,187  

Cornerstone Building Brands, Inc.
6.13%, 1/15/29(a)

     321,000        307,569  

Coty, Inc.
6.50%, 4/15/26(a)

     371,000        378,498  

CQP Holdco LP / BIP-V Chinook Holdco LLC
5.50%, 6/15/31(a)

     560,000        557,917  

Crestwood Midstream Partners LP / Crestwood Midstream Finance Corp.
5.63%, 5/1/27(a)

     474,000        473,208  

6.00%, 2/1/29(a)

     200,000        201,702  

Crowdstrike Holdings, Inc.
3.00%, 2/15/29

     70,000        65,671  

 

See Notes to Financial Statements.

 

WisdomTree Trust      43  


Table of Contents

Schedule of Investments (unaudited) (continued)

WisdomTree Interest Rate Hedged High Yield Bond Fund (HYZD)

February 28, 2022

 

 

 

Investments    Principal
Amount
     Value  

Crown Americas LLC /
Crown Americas Capital Corp. VI
4.75%, 2/1/26

   $ 50,000      $ 50,887  

CSC Holdings LLC
5.25%, 6/1/24

     1,760,000        1,784,006  

5.50%, 4/15/27(a)

     260,000        260,803  

7.50%, 4/1/28(a)

     570,000        569,869  

6.50%, 2/1/29(a)

     400,000        405,440  

5.75%, 1/15/30(a)

     1,010,000        894,880  

4.63%, 12/1/30(a)

     350,000        292,145  

3.38%, 2/15/31(a)

     210,000        178,859  

Curo Group Holdings Corp.
7.50%, 8/1/28(a)

     430,000        382,158  

CyrusOne LP / CyrusOne Finance Corp.
3.45%, 11/15/29

     10,000        10,635  

Darling Ingredients, Inc.
5.25%, 4/15/27(a)

     50,000        51,014  

DaVita, Inc.
4.63%, 6/1/30(a)

     452,000        433,721  

3.75%, 2/15/31(a)

     1,553,000        1,423,946  

Del Monte Foods, Inc.
11.88%, 5/15/25(a)

     187,000        206,764  

Deluxe Corp.
8.00%, 6/1/29(a)

     290,000        299,802  

Diamond Sports Group LLC / Diamond Sports Finance Co.
5.38%, 8/15/26(a)

     1,876,000        774,563  

6.63%, 8/15/27(a)

     916,000        217,541  

DISH DBS Corp.
5.88%, 7/15/22

     1,076,000        1,087,599  

5.00%, 3/15/23

     513,000        519,069  

5.88%, 11/15/24

     1,279,000        1,284,014  

7.75%, 7/1/26

     1,631,000        1,650,311  

Diversified Healthcare Trust
4.75%, 2/15/28

     308,000        279,649  

4.38%, 3/1/31

     811,000        702,772  

Dycom Industries, Inc.
4.50%, 4/15/29(a)

     212,000        204,256  

Edgewell Personal Care Co.
5.50%, 6/1/28(a)

     407,000        411,062  

4.13%, 4/1/29(a)

     70,000        65,936  

Elanco Animal Health, Inc.
5.77%, 8/28/23

     10,000        10,339  

6.40%, 8/28/28

     260,000        282,139  

Element Solutions, Inc.
3.88%, 9/1/28(a)

     299,000        284,451  

Enact Holdings, Inc.
6.50%, 8/15/25(a)

     279,000        289,728  

Encompass Health Corp.
4.50%, 2/1/28

     250,000        243,665  

4.75%, 2/1/30

     404,000        386,365  

Energizer Holdings, Inc.
4.38%, 3/31/29(a)

     557,000        502,570  

EnLink Midstream LLC
5.63%, 1/15/28(a)

     110,000        112,061  

EnLink Midstream Partners LP
4.40%, 4/1/24

     321,000        327,455  

4.15%, 6/1/25

   208,000      209,398  

5.45%, 6/1/47

     28,000        23,874  

EQM Midstream Partners LP
6.00%, 7/1/25(a)

     250,000        255,305  

6.50%, 7/1/27(a)

     500,000        523,690  

5.50%, 7/15/28

     180,000        176,787  

4.50%, 1/15/29(a)

     250,000        233,753  

4.75%, 1/15/31(a)

     500,000        471,490  

6.50%, 7/15/48

     500,000        488,120  

First-Citizens Bank & Trust Co.

     

3.93%, 6/19/24, (3.929% fixed rate until 6/19/23; Secured Overnight Financing Rate + 3.827% thereafter)(c)

     10,000        10,201  

FirstCash, Inc.
4.63%, 9/1/28(a)

     150,000        141,719  

Fluor Corp.
4.25%, 9/15/28(b)

     214,000        209,769  

Ford Holdings LLC
9.30%, 3/1/30

     250,000        326,375  

Ford Motor Co.
9.63%, 4/22/30

     658,000        899,315  

3.25%, 2/12/32

     400,000        378,096  

4.75%, 1/15/43

     260,000        251,846  

5.29%, 12/8/46

     870,000        893,716  

Ford Motor Credit Co. LLC
3.35%, 11/1/22

     220,000        221,379  

4.14%, 2/15/23

     660,000        666,824  

3.66%, 9/8/24

     20,000        20,063  

4.39%, 1/8/26

     10,000        10,214  

4.54%, 8/1/26

     180,000        184,901  

4.00%, 11/13/30

     250,000        248,215  

Fortress Transportation & Infrastructure Investors LLC
6.50%, 10/1/25(a)

     33,000        33,647  

Freeport-McMoRan, Inc.
3.88%, 3/15/23

     825,000        839,966  

4.55%, 11/14/24

     439,000        459,471  

5.00%, 9/1/27

     289,000        298,419  

5.45%, 3/15/43

     8,000        9,204  

Gap, Inc.
3.63%, 10/1/29(a)

     170,000        154,316  

3.88%, 10/1/31(a)

     220,000        197,591  

Gartner, Inc.
3.75%, 10/1/30(a)

     201,000        195,641  

Gates Global LLC / Gates Corp.
6.25%, 1/15/26(a)

     407,000        416,691  

Genesis Energy LP / Genesis Energy Finance Corp.
8.00%, 1/15/27

     250,000        253,298  

7.75%, 2/1/28

     998,000        985,685  

Glatfelter Corp.
4.75%, 11/15/29(a)

     180,000        171,709  

Global Atlantic Fin Co.

     

4.70%, 10/15/51, (4.70% fixed rate until 7/15/26; 5-year Constant Maturity Treasury Rate + 3.796% thereafter)(a)(c)

     321,000        307,049  

Global Net Lease, Inc. / Global Net Lease Operating Partnership LP
3.75%, 12/15/27(a)

     210,000        197,045  

 

See Notes to Financial Statements.

 

44   WisdomTree Trust


Table of Contents

Schedule of Investments (unaudited) (continued)

WisdomTree Interest Rate Hedged High Yield Bond Fund (HYZD)

February 28, 2022

 

 

 

Investments    Principal
Amount
     Value  

GLP Capital LP / GLP Financing II, Inc.
4.00%, 1/15/31

   $ 380,000      $ 385,312  

Go Daddy Operating Co. LLC / GD Finance Co., Inc.
3.50%, 3/1/29(a)

     337,000        319,870  

Goodyear Tire & Rubber Co.
5.00%, 5/31/26(b)

     646,000        649,986  

4.88%, 3/15/27

     69,000        69,132  

5.25%, 7/15/31(a)(b)

     989,000        964,443  

GrafTech Finance, Inc.
4.63%, 12/15/28(a)

     203,000        197,923  

Graham Packaging Co., Inc.
7.13%, 8/15/28(a)

     410,000        395,142  

Gray Television, Inc.
5.88%, 7/15/26(a)

     498,000        509,504  

7.00%, 5/15/27(a)

     1,425,000        1,499,228  

Greif, Inc.
6.50%, 3/1/27(a)

     288,000        297,360  

Griffon Corp.
5.75%, 3/1/28

     423,000        421,460  

Group 1 Automotive, Inc.
4.00%, 8/15/28(a)

     351,000        338,694  

Hanesbrands, Inc.
4.63%, 5/15/24(a)

     189,000        191,705  

4.88%, 5/15/26(a)

     211,000        215,030  

HAT Holdings I LLC / HAT Holdings II LLC
3.38%, 6/15/26(a)

     250,000        239,175  

HCA, Inc.
5.88%, 5/1/23

     9,000        9,368  

5.38%, 2/1/25

     341,000        361,750  

3.50%, 9/1/30

     567,000        561,954  

HealthEquity, Inc.
4.50%, 10/1/29(a)

     315,000        300,227  

Hilton Domestic Operating Co., Inc.
4.88%, 1/15/30

     827,000        849,767  

3.63%, 2/15/32(a)

     514,000        489,056  

Hilton Grand Vacations Borrower Escrow LLC / Hilton Grand Vacations Borrower Escrow, Inc.
5.00%, 6/1/29(a)

     459,000        453,464  

4.88%, 7/1/31(a)

     260,000        248,680  

HLF Financing Sarl LLC / Herbalife International, Inc.
4.88%, 6/1/29(a)

     312,000        286,613  

Holly Energy Partners LP / Holly Energy Finance Corp.
5.00%, 2/1/28(a)

     292,000        280,530  

Hologic, Inc.
3.25%, 2/15/29(a)

     186,000        177,178  

Horizon Therapeutics USA, Inc.
5.50%, 8/1/27(a)

     110,000        112,594  

Hughes Satellite Systems Corp.
5.25%, 8/1/26

     257,000        264,319  

6.63%, 8/1/26

     256,000        266,900  

Huntsman International LLC
4.50%, 5/1/29

     50,000        53,087  

IAA, Inc.
5.50%, 6/15/27(a)

     30,000        30,572  

iHeartCommunications, Inc.
8.38%, 5/1/27

   620,989      647,586  

5.25%, 8/15/27(a)

     450,000        448,776  

4.75%, 1/15/28(a)

     575,000        556,796  

Ingevity Corp.
3.88%, 11/1/28(a)

     309,000        291,322  

IQVIA, Inc.
5.00%, 5/15/27(a)

     250,000        255,968  

Iron Mountain, Inc.
4.88%, 9/15/27(a)

     425,000        426,479  

5.25%, 3/15/28(a)

     293,000        293,592  

5.25%, 7/15/30(a)

     561,000        557,561  

4.50%, 2/15/31(a)

     1,216,000        1,138,492  

JBS USA LUX SA / JBS USA Food Co. / JBS USA Finance, Inc.
6.50%, 4/15/29(a)

     15,000        15,994  

Kaiser Aluminum Corp.
4.63%, 3/1/28(a)

     288,000        272,632  

4.50%, 6/1/31(a)

     293,000        265,200  

KAR Auction Services, Inc.
5.13%, 6/1/25(a)

     470,000        476,627  

Kennedy-Wilson, Inc.
5.00%, 3/1/31

     607,000        590,320  

Koppers, Inc.
6.00%, 2/15/25(a)

     285,000        285,915  

Kraft Heinz Foods Co.
3.75%, 4/1/30

     206,000        211,850  

5.00%, 7/15/35

     152,000        171,283  

4.63%, 10/1/39

     384,000        411,510  

5.20%, 7/15/45

     582,000        658,585  

4.38%, 6/1/46

     5,000        5,130  

4.88%, 10/1/49

     49,000        54,335  

5.50%, 6/1/50

     87,000        104,486  

Ladder Capital Finance Holdings LLLP / Ladder Capital Finance Corp.
4.25%, 2/1/27(a)

     693,000        680,990  

Lamar Media Corp.
3.63%, 1/15/31

     413,000        387,976  

Lamb Weston Holdings, Inc.
4.88%, 5/15/28(a)

     60,000        61,702  

4.13%, 1/31/30(a)

     186,000        180,003  

4.38%, 1/31/32(a)

     410,000        399,623  

Level 3 Financing, Inc.
3.63%, 1/15/29(a)

     1,076,000        944,556  

3.75%, 7/15/29(a)

     402,000        359,074  

Lions Gate Capital Holdings LLC
5.50%, 4/15/29(a)

     620,000        590,060  

Lithia Motors, Inc.
3.88%, 6/1/29(a)

     30,000        29,579  

4.38%, 1/15/31(a)

     30,000        30,405  

Live Nation Entertainment, Inc.
4.88%, 11/1/24(a)

     30,000        30,335  

6.50%, 5/15/27(a)

     40,000        42,921  

4.75%, 10/15/27(a)

     590,000        580,967  

3.75%, 1/15/28(a)

     625,000        601,563  

LPL Holdings, Inc.
4.00%, 3/15/29(a)

     190,000        184,712  

 

See Notes to Financial Statements.

 

WisdomTree Trust      45  


Table of Contents

Schedule of Investments (unaudited) (continued)

WisdomTree Interest Rate Hedged High Yield Bond Fund (HYZD)

February 28, 2022

 

 

 

Investments    Principal
Amount
     Value  

Lumen Technologies, Inc.
5.80%, 3/15/22, Series T

   $ 1,157,000      $ 1,158,226  

7.50%, 4/1/24, Series Y

     54,000        56,831  

5.63%, 4/1/25

     521,000        518,749  

5.13%, 12/15/26(a)

     619,000        576,599  

4.00%, 2/15/27(a)

     557,000        530,336  

Macy’s Retail Holdings LLC
5.88%, 4/1/29(a)(b)

     233,000        238,492  

Marriott Ownership Resorts, Inc.
6.13%, 9/15/25(a)

     43,000        44,550  

Masonite International Corp.
5.38%, 2/1/28(a)

     70,000        71,710  

MasTec, Inc.
4.50%, 8/15/28(a)

     220,000        222,838  

Match Group Holdings II LLC
4.63%, 6/1/28(a)

     50,000        50,255  

4.13%, 8/1/30(a)

     60,000        58,113  

3.63%, 10/1/31(a)(b)

     90,000        84,233  

Mattel, Inc.
3.38%, 4/1/26(a)

     119,000        118,221  

3.75%, 4/1/29(a)

     3,000        3,008  

Maxar Space Robotics LLC
9.75%, 12/31/23(a)

     423,000        452,018  

MGIC Investment Corp.
5.25%, 8/15/28

     150,000        152,009  

MGM Growth Properties Operating Partnership LP / MGP Finance Co-Issuer, Inc.
5.63%, 5/1/24

     478,000        497,957  

5.75%, 2/1/27

     588,000        637,745  

MGM Resorts International
7.75%, 3/15/22

     1,575,000        1,579,772  

6.00%, 3/15/23

     24,000        24,741  

6.75%, 5/1/25

     9,000        9,347  

Michaels Cos., Inc.
7.88%, 5/1/29(a)

     1,108,000        965,345  

MicroStrategy, Inc.
6.13%, 6/15/28(a)(b)

     335,000        320,652  

Midwest Gaming Borrower LLC / Midwest Gaming Finance Corp.
4.88%, 5/1/29(a)

     460,000        449,011  

ModivCare Escrow Issuer, Inc.
5.00%, 10/1/29(a)

     300,000        282,822  

ModivCare, Inc.
5.88%, 11/15/25(a)

     50,000        50,206  

Molina Healthcare, Inc.
3.88%, 11/15/30(a)

     493,000        486,803  

Moog, Inc.
4.25%, 12/15/27(a)

     127,000        124,965  

MPH Acquisition Holdings LLC
5.75%, 11/1/28(a)(b)

     1,277,000        1,154,255  

MPT Operating Partnership LP / MPT Finance Corp.
5.25%, 8/1/26

     755,000        773,324  

MSCI, Inc.
4.00%, 11/15/29(a)

     379,000        381,630  

Murphy Oil USA, Inc.
4.75%, 9/15/29

     60,000        60,214  

3.75%, 2/15/31(a)

     90,000        84,118  

Nationstar Mortgage Holdings, Inc.
6.00%, 1/15/27(a)

   984,000      1,001,161  

5.13%, 12/15/30(a)

     782,000        737,622  

Navient Corp.
5.50%, 1/25/23

     319,000        325,839  

7.25%, 9/25/23

     609,000        639,688  

6.13%, 3/25/24

     408,000        421,558  

5.88%, 10/25/24

     57,000        59,017  

4.88%, 3/15/28

     497,000        467,429  

NCR Corp.
5.13%, 4/15/29(a)

     446,000        441,255  

6.13%, 9/1/29(a)

     756,000        785,718  

Newell Brands, Inc.
4.35%, 4/1/23

     247,000        251,550  

4.70%, 4/1/26

     38,000        39,389  

6.00%, 4/1/46

     269,000        302,660  

Newmark Group, Inc.
6.13%, 11/15/23

     23,000        24,010  

News Corp.
3.88%, 5/15/29(a)

     261,000        250,717  

Nexstar Media, Inc.
5.63%, 7/15/27(a)

     553,000        565,979  

4.75%, 11/1/28(a)

     294,000        286,083  

NextEra Energy Operating Partners LP
4.25%, 7/15/24(a)

     314,000        320,751  

4.25%, 9/15/24(a)

     106,000        107,748  

Nielsen Finance LLC / Nielsen Finance Co. 5.63%, 10/1/28(a)

     996,000        964,546  

5.88%, 10/1/30(a)

     795,000        771,389  

Nordstrom, Inc.
5.00%, 1/15/44(b)

     702,000        617,542  

NortonLifeLock, Inc.
5.00%, 4/15/25(a)

     20,000        20,042  

NRG Energy, Inc.
5.25%, 6/15/29(a)

     1,811,000        1,848,777  

3.63%, 2/15/31(a)

     289,000        266,261  

NuStar Logistics LP
6.00%, 6/1/26

     360,000        365,879  

5.63%, 4/28/27

     344,000        345,008  

6.38%, 10/1/30

     348,000        353,759  

Occidental Petroleum Corp.
2.90%, 8/15/24

     376,000        377,861  

3.50%, 6/15/25

     252,000        257,693  

3.40%, 4/15/26

     123,000        123,299  

6.63%, 9/1/30

     400,000        466,048  

7.50%, 5/1/31

     440,000        534,050  

6.45%, 9/15/36

     323,000        380,152  

6.60%, 3/15/46

     350,000        418,023  

4.10%, 2/15/47

     379,000        352,235  

4.40%, 8/15/49

     1,434,000        1,365,039  

Olin Corp.
5.13%, 9/15/27

     172,000        175,345  

5.00%, 2/1/30

     264,000        267,780  

ON Semiconductor Corp.
3.88%, 9/1/28(a)

     70,000        69,511  

OneMain Finance Corp.
6.13%, 3/15/24

     455,000        469,929  

 

See Notes to Financial Statements.

 

46   WisdomTree Trust


Table of Contents

Schedule of Investments (unaudited) (continued)

WisdomTree Interest Rate Hedged High Yield Bond Fund (HYZD)

February 28, 2022

 

 

 

Investments    Principal
Amount
     Value  

8.88%, 6/1/25

   $ 436,000      $ 461,755  

7.13%, 3/15/26

     1,176,000        1,276,877  

5.38%, 11/15/29

     490,000        493,709  

4.00%, 9/15/30(b)

     810,000        739,708  

Option Care Health, Inc.
4.38%, 10/31/29(a)

     190,000        183,044  

Outfront Media Capital LLC / Outfront Media Capital Corp.
4.25%, 1/15/29(a)

     300,000        286,179  

4.63%, 3/15/30(a)

     343,000        326,810  

Owens & Minor, Inc.
4.50%, 3/31/29(a)

     201,000        189,863  

Owens-Brockway Glass Container, Inc.
5.88%, 8/15/23(a)

     747,000        766,235  

Pactiv Evergreen Group Issuer LLC / Pactiv Evergreen Group Issuer, Inc.
4.38%, 10/15/28(a)

     340,000        314,371  

Pactiv Evergreen Group Issuer, Inc. / Pactiv Evergreen Group Issuer LLC / Reynolds Group
4.00%, 10/15/27(a)

     514,000        476,884  

Par Pharmaceutical, Inc.
7.50%, 4/1/27(a)

     1,249,000        1,252,497  

Park Intermediate Holdings LLC / PK Domestic Property LLC / PK Finance Co-Issuer, Inc.
5.88%, 10/1/28(a)

     666,000        678,801  

4.88%, 5/15/29(a)

     60,000        57,900  

Party City Holdings, Inc.
8.75%, 2/15/26(a)

     541,000        542,390  

Patterson-UTI Energy, Inc.
3.95%, 2/1/28

     199,000        193,285  

PBF Holding Co. LLC / PBF Finance Corp. 9.25%, 5/15/25(a)(b)

     607,000        618,302  

7.25%, 6/15/25

     452,000        380,313  

6.00%, 2/15/28

     570,000        417,810  

PBF Logistics LP / PBF Logistics Finance Corp. 6.88%, 5/15/23(b)

     420,000        418,433  

PDC Energy, Inc.
5.75%, 5/15/26(b)

     330,000        336,085  

Penske Automotive Group, Inc.
3.50%, 9/1/25(b)

     20,000        19,813  

3.75%, 6/15/29(b)

     70,000        65,461  

Performance Food Group, Inc.
5.50%, 10/15/27(a)

     60,000        61,353  

4.25%, 8/1/29(a)

     500,000        479,510  

PGT Innovations, Inc.
4.38%, 10/1/29(a)

     290,000        272,945  

Pilgrim’s Pride Corp.
5.88%, 9/30/27(a)

     240,000        246,991  

4.25%, 4/15/31(a)

     76,000        73,516  

Plains All American Pipeline LP / PAA Finance Corp.
4.90%, 2/15/45

     10,000        9,721  

Plantronics, Inc.
4.75%, 3/1/29(a)(b)

     335,000        298,267  

Post Holdings, Inc.
5.75%, 3/1/27(a)

     752,000        760,881  

5.63%, 1/15/28(a)

   590,000      595,251  

4.63%, 4/15/30(a)

     1,382,000        1,304,069  

4.50%, 9/15/31(a)

     740,000        685,810  

Premier Entertainment Sub LLC / Premier Entertainment Finance Corp.
5.63%, 9/1/29(a)

     483,000        439,549  

5.88%, 9/1/31(a)

     394,000        358,071  

Prestige Brands, Inc.
3.75%, 4/1/31(a)

     284,000        262,112  

Prime Security Services Borrower LLC / Prime Finance, Inc.
5.25%, 4/15/24(a)

     654,000        669,094  

5.75%, 4/15/26(a)

     751,000        772,779  

6.25%, 1/15/28(a)

     724,000        699,565  

PROG Holdings, Inc.
6.00%, 11/15/29(a)

     320,000        307,539  

PTC, Inc.
4.00%, 2/15/28(a)

     168,000        164,492  

Qorvo, Inc.
4.38%, 10/15/29

     40,000        40,870  

QVC, Inc.
4.38%, 3/15/23

     40,000        40,733  

4.85%, 4/1/24

     256,000        261,043  

4.75%, 2/15/27

     35,000        32,985  

Rackspace Technology Global, Inc.
3.50%, 2/15/28(a)

     567,000        515,261  

Radian Group, Inc.
6.63%, 3/15/25

     199,000        213,676  

Rattler Midstream LP
5.63%, 7/15/25(a)

     30,000        30,540  

Realogy Group LLC / Realogy Co-Issuer Corp.
5.75%, 1/15/29(a)

     265,000        262,215  

Renewable Energy Group, Inc.
5.88%, 6/1/28(a)

     70,000        75,692  

RHP Hotel Properties LP / RHP Finance Corp.
4.50%, 2/15/29(a)

     431,000        408,118  

Rite Aid Corp.
7.50%, 7/1/25(a)

     454,000        436,026  

8.00%, 11/15/26(a)

     540,000        514,906  

RLJ Lodging Trust LP
3.75%, 7/1/26(a)

     60,000        58,528  

4.00%, 9/15/29(a)

     240,000        225,912  

Roller Bearing Co. of America, Inc.
4.38%, 10/15/29(a)

     260,000        251,430  

Sabra Health Care LP
5.13%, 8/15/26

     30,000        31,880  

3.20%, 12/1/31

     190,000        176,567  

Sabre GLBL, Inc.
9.25%, 4/15/25(a)

     584,000        659,365  

Sally Holdings LLC / Sally Capital, Inc.
5.63%, 12/1/25(b)

     166,000        168,717  

SBA Communications Corp.
3.13%, 2/1/29

     250,000        232,358  

Scientific Games International, Inc.
8.25%, 3/15/26(a)

     866,000        904,944  

7.00%, 5/15/28(a)

     165,000        171,394  

7.25%, 11/15/29(a)

     185,000        196,751  

 

See Notes to Financial Statements.

 

WisdomTree Trust      47  


Table of Contents

Schedule of Investments (unaudited) (continued)

WisdomTree Interest Rate Hedged High Yield Bond Fund (HYZD)

February 28, 2022

 

 

 

Investments    Principal
Amount
     Value  

Scotts Miracle-Gro Co.
4.00%, 4/1/31

   $ 207,000      $ 190,332  

Scripps Escrow II, Inc.
5.38%, 1/15/31(a)

     389,000        370,215  

Scripps Escrow, Inc.
5.88%, 7/15/27(a)

     413,000        413,392  

SeaWorld Parks & Entertainment, Inc.
5.25%, 8/15/29(a)(b)

     320,000        311,696  

Select Medical Corp.
6.25%, 8/15/26(a)

     487,000        490,039  

Sensata Technologies, Inc.
3.75%, 2/15/31(a)

     250,000        234,240  

Service Corp. International
4.63%, 12/15/27

     442,000        449,465  

3.38%, 8/15/30

     316,000        292,385  

Service Properties Trust
7.50%, 9/15/25(b)

     813,000        858,861  

Silgan Holdings, Inc.
4.13%, 2/1/28

     184,000        180,646  

Sinclair Television Group, Inc.
5.50%, 3/1/30(a)

     415,000        367,777  

4.13%, 12/1/30(a)

     346,000        311,663  

Sirius XM Radio, Inc.
5.50%, 7/1/29(a)

     1,239,000        1,268,315  

4.13%, 7/1/30(a)

     1,754,000        1,659,266  

Six Flags Entertainment Corp.
4.88%, 7/31/24(a)

     435,000        434,778  

Six Flags Theme Parks, Inc.
7.00%, 7/1/25(a)

     309,000        323,060  

Skyworks Solutions, Inc.
1.80%, 6/1/26

     20,000        19,123  

3.00%, 6/1/31

     40,000        37,358  

Sonic Automotive, Inc.
4.63%, 11/15/29(a)

     140,000        132,916  

4.88%, 11/15/31(a)

     373,000        352,716  

Spectrum Brands, Inc.
5.75%, 7/15/25

     152,000        155,297  

3.88%, 3/15/31(a)

     159,000        145,806  

Spirit AeroSystems, Inc.
7.50%, 4/15/25(a)

     312,000        324,439  

4.60%, 6/15/28(b)

     504,000        481,451  

Sprint Corp.
7.88%, 9/15/23

     396,000        425,997  

7.13%, 6/15/24

     188,000        203,801  

7.63%, 2/15/25

     172,000        190,748  

7.63%, 3/1/26

     143,000        163,197  

SS&C Technologies, Inc.
5.50%, 9/30/27(a)

     481,000        495,175  

Station Casinos LLC
4.50%, 2/15/28(a)

     309,000        297,502  

Stericycle, Inc.
5.38%, 7/15/24(a)

     498,000        509,917  

Summit Materials LLC / Summit Materials Finance Corp.
5.25%, 1/15/29(a)

     248,000        249,773  

Summit Midstream Holdings LLC / Summit Midstream Finance Corp.
8.50%, 10/15/26(a)

     390,000        386,806  

SunCoke Energy, Inc.
4.88%, 6/30/29(a)

   240,000      230,777  

Sunoco LP / Sunoco Finance Corp.
4.50%, 5/15/29

     286,000        274,800  

4.50%, 4/30/30(a)

     70,000        67,086  

Syneos Health, Inc.
3.63%, 1/15/29(a)

     158,000        149,302  

T-Mobile USA, Inc.
4.00%, 4/15/22

     561,000        561,252  

2.88%, 2/15/31

     20,000        18,808  

Taylor Morrison Communities, Inc.
5.13%, 8/1/30(a)

     321,000        320,721  

TEGNA, Inc.
4.63%, 3/15/28

     547,000        546,825  

5.00%, 9/15/29

     556,000        556,528  

Teleflex, Inc.
4.63%, 11/15/27

     40,000        40,715  

4.25%, 6/1/28(a)

     50,000        49,541  

Tempur Sealy International, Inc.
4.00%, 4/15/29(a)

     378,000        356,617  

Tenet Healthcare Corp.
6.75%, 6/15/23

     587,000        612,570  

4.63%, 7/15/24

     195,000        195,821  

4.63%, 9/1/24(a)

     975,000        989,937  

4.88%, 1/1/26(a)

     777,000        782,742  

6.25%, 2/1/27(a)

     457,000        470,194  

6.13%, 10/1/28(a)

     1,454,000        1,473,309  

Terex Corp.
5.00%, 5/15/29(a)

     317,000        314,185  

TerraForm Power Operating LLC
4.25%, 1/31/23(a)

     468,000        469,722  

4.75%, 1/15/30(a)

     596,000        586,392  

Thor Industries, Inc.
4.00%, 10/15/29(a)

     229,000        208,683  

Time Warner Cable LLC
4.50%, 9/15/42

     60,000        56,934  

TopBuild Corp.
4.13%, 2/15/32(a)

     170,000        161,738  

Townsquare Media, Inc.
6.88%, 2/1/26(a)

     413,000        424,647  

TransDigm, Inc.
8.00%, 12/15/25(a)

     256,000        267,497  

6.25%, 3/15/26(a)

     719,000        740,901  

6.38%, 6/15/26

     397,000        404,888  

7.50%, 3/15/27

     628,000        652,680  

5.50%, 11/15/27

     9,000        8,972  

4.88%, 5/1/29

     1,413,000        1,353,951  

Transocean, Inc.
11.50%, 1/30/27(a)

     1,059,000        1,060,493  

Travel & Leisure Co.
6.63%, 7/31/26(a)

     215,000        230,340  

TreeHouse Foods, Inc.
4.00%, 9/1/28(b)

     321,000        294,379  

TriNet Group, Inc.
3.50%, 3/1/29(a)

     148,000        139,327  

TripAdvisor, Inc.
7.00%, 7/15/25(a)

     120,000        125,108  

 

See Notes to Financial Statements.

 

48   WisdomTree Trust


Table of Contents

Schedule of Investments (unaudited) (continued)

WisdomTree Interest Rate Hedged High Yield Bond Fund (HYZD)

February 28, 2022

 

 

 

Investments    Principal
Amount
     Value  

Tronox, Inc.
4.63%, 3/15/29(a)

   $ 613,000      $ 579,567  

TTM Technologies, Inc.
4.00%, 3/1/29(a)

     70,000        65,099  

Tutor Perini Corp.
6.88%, 5/1/25(a)(b)

     398,000        390,040  

Twitter, Inc.
3.88%, 12/15/27(a)(b)

     152,000        149,690  

U.S. Foods, Inc.
6.25%, 4/15/25(a)

     300,000        310,377  

4.75%, 2/15/29(a)

     351,000        347,420  

Under Armour, Inc.
3.25%, 6/15/26

     20,000        20,001  

United Natural Foods, Inc.
6.75%, 10/15/28(a)

     323,000        334,470  

United Rentals North America, Inc.
5.50%, 5/15/27

     413,000        426,852  

3.88%, 11/15/27

     442,000        448,917  

5.25%, 1/15/30

     376,000        391,713  

3.88%, 2/15/31(b)

     90,000        87,199  

United States Steel Corp.
6.88%, 3/1/29(b)

     410,000        421,837  

Uniti Group LP / Uniti Fiber Holdings, Inc. / CSL Capital LLC
7.88%, 2/15/25(a)

     1,064,000        1,109,550  

4.75%, 4/15/28(a)

     235,000        224,089  

6.50%, 2/15/29(a)

     1,047,000        977,144  

6.00%, 1/15/30(a)

     350,000        313,331  

Univar Solutions USA, Inc.
5.13%, 12/1/27(a)

     50,000        50,937  

Urban One, Inc.
7.38%, 2/1/28(a)

     427,000        429,925  

USA Compression Partners LP / USA Compression Finance Corp.
6.88%, 4/1/26

     902,000        906,889  

Vail Resorts, Inc.
6.25%, 5/15/25(a)

     20,000        20,779  

Valvoline, Inc.
3.63%, 6/15/31(a)

     393,000        354,038  

Vector Group Ltd.
5.75%, 2/1/29(a)

     932,000        871,550  

VeriSign, Inc.
5.25%, 4/1/25

     1,000        1,076  

4.75%, 7/15/27

     38,000        39,314  

Vertiv Group Corp.
4.13%, 11/15/28(a)

     270,000        248,084  

VICI Properties LP / VICI Note Co., Inc.
4.13%, 8/15/30(a)

     233,000        231,884  

Victors Merger Corp.
6.38%, 5/15/29(a)(b)

     373,000        323,548  

Vista Outdoor, Inc.
4.50%, 3/15/29(a)

     284,000        267,451  

Vistra Operations Co. LLC
5.63%, 2/15/27(a)

     771,000        789,728  

5.00%, 7/31/27(a)

     577,000        581,956  

4.38%, 5/1/29(a)

     695,000        676,701  

Vontier Corp.
1.80%, 4/1/26

   30,000      28,132  

2.40%, 4/1/28

     105,000        97,257  

2.95%, 4/1/31

     90,000        82,067  

W&T Offshore, Inc.
9.75%, 11/1/23(a)

     441,000        434,985  

WESCO Distribution, Inc.
7.25%, 6/15/28(a)

     939,000        1,009,322  

Western Digital Corp.
4.75%, 2/15/26

     251,000        260,982  

Western Midstream Operating LP
5.45%, 4/1/44

     55,000        56,532  

5.30%, 3/1/48

     679,000        700,103  

5.75%, 2/1/50

     135,000        137,207  

Westinghouse Air Brake Technologies Corp. 4.40%, 3/15/24

     20,000        20,737  

3.20%, 6/15/25

     20,000        20,224  

3.45%, 11/15/26

     30,000        30,470  

4.95%, 9/15/28

     40,000        43,496  

William Carter Co.
5.63%, 3/15/27(a)

     242,000        246,738  

Williams Scotsman International, Inc.
4.63%, 8/15/28(a)

     259,000        255,641  

Wolverine World Wide, Inc.
4.00%, 8/15/29(a)

     238,000        219,067  

WW International, Inc.
4.50%, 4/15/29(a)(b)

     119,000        100,734  

Wyndham Hotels & Resorts, Inc.
4.38%, 8/15/28(a)

     229,000        226,376  

Xerox Corp.
4.38%, 3/15/23

     58,000        58,652  

Xerox Holdings Corp.
5.50%, 8/15/28(a)(b)

     691,000        690,585  

XHR LP
4.88%, 6/1/29(a)

     250,000        243,895  

XPO Logistics, Inc.
6.25%, 5/1/25(a)

     359,000        372,498  

Yum! Brands, Inc.
7.75%, 4/1/25(a)

     209,000        217,977  

3.63%, 3/15/31

     90,000        84,323  

Ziff Davis, Inc.
4.63%, 10/15/30(a)

     283,000        272,693  

ZoomInfo Technologies LLC
3.88%, 2/1/29(a)

     190,000        180,373  

TOTAL U.S. CORPORATE BONDS

(Cost: $213,752,570)

 

 

     206,029,948  
FOREIGN CORPORATE BONDS – 0.6%

 

Canada – 0.4%

 

Open Text Holdings, Inc.
4.13%, 2/15/30(a)

     409,000        392,100  

Primo Water Holdings, Inc.
4.38%, 4/30/29(a)

     386,000        360,122  
     

 

 

 
Total Canada

 

     752,222  

 

See Notes to Financial Statements.

 

WisdomTree Trust      49  


Table of Contents

Schedule of Investments (unaudited) (concluded)

WisdomTree Interest Rate Hedged High Yield Bond Fund (HYZD)

February 28, 2022

 

 

 

Investments    Principal
Amount
     Value  
Germany – 0.2%

 

Deutsche Bank AG

     

4.88%, 12/1/32, (4.875% fixed rate until 12/1/27; 5-year U.S. dollar ICE Swap Rate + 2.553% thereafter)(c)

   $ 470,000      $ 474,131  

TOTAL FOREIGN CORPORATE BONDS

(Cost: $1,285,267)

 

 

     1,226,353  
          
Shares
         
INVESTMENT OF CASH COLLATERAL FOR SECURITIES LOANED – 6.0%

 

United States – 6.0%

 

State Street Navigator Securities Lending
Government Money Market Portfolio, 0.06%(d)

 

  
(Cost: $12,988,548)      12,988,548        12,988,548  

TOTAL INVESTMENTS IN SECURITIES – 102.0%

(Cost: $228,026,385)

 

 

     220,244,849  

Other Assets less Liabilities – (2.0)%

 

     (4,282,283
  

 

 

 
NET ASSETS – 100.0%

 

   $ 215,962,566  

 

(a) 

This security is exempt from registration under rule 144A of the Securities Act of 1933. This security may be sold in transactions that are exempt from registration, normally to qualified institutional buyers.

 

(b) 

Security, or portion thereof, was on loan at February 28, 2022 (See Note 2). At February 28, 2022, the total market value of the Fund’s securities on loan identified in the Schedule of Investments was $12,664,710 and the total market value of the collateral held by the Fund was $13,359,135. The total market value of the collateral includes non-cash U.S. Government securities collateral having a value of $370,587.

 

(c) 

Rate shown reflects the accrual rate as of February 28, 2022 on securities with variable or step rates.

 

(d) 

Rate shown represents annualized 7-day yield as of February 28, 2022.

 

FINANCIAL DERIVATIVE INSTRUMENTS  
FUTURES CONTRACTS (EXCHANGE-TRADED)  
Short Exposure   Contracts     Expiration
Date
    Notional
Value
    Unrealized
Appreciation/
(Depreciation)
 

2 Year U.S. Treasury Note

    154       6/30/22     $ (33,144,891   $ (113,003

5 Year U.S. Treasury Note

    928       6/30/22       (109,765,000     (785,393

10 Year U.S. Treasury Note

    129       6/21/22       (16,439,437     (156,211

U.S. Treasury Ultra Long Term Bond

    7       6/21/22       (1,301,562     (18,203

Ultra 10 Year U.S. Treasury Note

    125       6/21/22       (17,666,016     (225,073
      $ (178,316,906   $ (1,297,883
Long Exposure                            

U.S. Treasury Long Bond

    3       6/21/22     $ 470,062     $ 7,215  
      $ 470,062     $ 7,215  

Total – Net

                  $ (177,846,844   $ (1,290,668

 

FAIR VALUATION SUMMARY

The following is a summary of the fair valuations according to the inputs used as of February 28, 2022 in valuing the Fund’s investments (See Note 2 — Fair Value Measurement):

 

      Quoted
Prices in
Active
Markets
(Level 1)
     Other
Significant
Observable
Inputs
(Level 2)
     Significant
Unobservable
Inputs
(Level 3)
     Total  

Assets:

 

  

Investments in Securities

  

U.S. Corporate Bonds

   $      $ 206,029,948      $      $ 206,029,948  

Foreign Corporate Bonds

            1,226,353               1,226,353  

Investment of Cash Collateral for Securities Loaned

            12,988,548               12,988,548  

Total Investments in Securities

   $      $ 220,244,849      $      $ 220,244,849  

Financial Derivative Instruments

  

Futures Contracts1

   $ 7,215      $      $      $ 7,215  

Liabilities:

 

     

Financial Derivative Instruments

  

Futures Contracts1

   $ (1,297,883    $      $      $ (1,297,883

Total – Net

   $ (1,290,668    $ 220,244,849      $      $ 218,954,181  

1   Amount shown represents the unrealized appreciation (depreciation) on the financial instrument.

    

 

See Notes to Financial Statements.

 

50   WisdomTree Trust


Table of Contents

Schedule of Investments (unaudited)

WisdomTree Interest Rate Hedged U.S. Aggregate Bond Fund (AGZD)

February 28, 2022

 

 

 

Investments    Principal
Amount
     Value  
U.S. GOVERNMENT AGENCIES – 28.7%

 

Federal Home Loan Bank – 0.1%

 

3.38%, 9/8/23

   $ 70,000      $ 72,153  

3.38%, 12/8/23

     65,000        67,211  

1.50%, 8/15/24

     85,000        84,919  

3.25%, 11/16/28

     65,000        70,357  

5.50%, 7/15/36

     15,000        20,748  
     

 

 

 
Total Federal Home Loan Bank

 

     315,388  
Federal Home Loan Mortgage Corporation – 7.0%

 

3.00%, 4/1/27

     20,673        21,210  

3.00%, 7/1/27

     34,573        35,472  

2.50%, 3/1/28

     19,148        19,474  

2.50%, 4/1/28

     49,754        50,575  

3.50%, 1/1/29

     18,934        19,583  

2.50%, 6/1/29

     33,155        33,719  

3.00%, 8/1/29

     18,795        19,340  

2.50%, 1/1/30

     19,701        20,036  

2.50%, 2/1/30

     28,128        28,609  

3.00%, 4/1/30

     30,219        31,104  

2.50%, 5/1/30

     114,926        116,825  

3.00%, 3/1/31

     85,130        87,671  

3.00%, 4/1/31

     125,643        129,393  

2.50%, 12/1/31

     31,061        31,599  

3.00%, 12/1/31

     28,783        29,659  

3.00%, 7/1/32

     184,278        189,943  

6.25%, 7/15/32

     690,000        954,822  

3.50%, 9/1/32

     80,902        83,866  

2.50%, 11/1/32

     14,970        15,234  

3.00%, 11/1/32

     44,254        45,589  

3.00%, 1/1/33

     13,877        14,303  

3.00%, 9/1/33

     26,518        27,434  

4.00%, 11/1/33

     10,024        10,412  

4.00%, 5/1/34

     28,107        29,817  

3.50%, 8/1/34

     14,713        15,370  

3.00%, 3/1/35

     36,474        37,432  

2.50%, 5/1/35

     146,449        148,307  

3.00%, 5/1/35

     21,226        21,763  

3.50%, 6/1/35

     18,964        19,794  

2.50%, 8/1/35

     78,625        79,622  

1.50%, 9/1/35

     130,196        126,901  

2.00%, 9/1/35

     64,716        64,348  

2.50%, 9/1/35

     28,959        29,327  

2.00%, 10/1/35

     300,962        299,252  

2.50%, 10/1/35

     59,632        60,388  

2.50%, 1/1/36

     39,703        40,350  

1.50%, 2/1/36

     598,925        583,765  

1.50%, 5/1/36

     23,072        22,480  

1.00%, 8/1/36

     47,442        44,569  

1.50%, 8/1/36

     46,540        45,331  

2.50%, 8/1/36

     72,059        72,981  

2.00%, 10/1/36

     193,783        192,573  

1.50%, 1/1/37

     90,810        88,451  

1.50%, 2/1/37

     173,827        169,312  

4.00%, 10/1/37

     34,343        36,362  

5.50%, 4/1/38

     23,828        26,673  

2.00%, 11/1/40

     40,255        39,213  

4.50%, 12/1/40

     32,512        35,185  

1.50%, 1/1/41

     96,071        90,645  

2.00%, 1/1/41

   21,168      20,620  

2.00%, 2/1/41

     43,514        42,387  

4.00%, 2/1/41

     148,944        158,764  

2.00%, 3/1/41

     66,505        64,764  

2.00%, 4/1/41

     158,810        154,653  

2.00%, 8/1/41

     214,529        208,913  

2.00%, 11/1/41

     49,060        47,776  

1.50%, 12/1/41

     24,626        23,239  

1.50%, 1/1/42

     49,585        46,793  

2.00%, 1/1/42

     99,159        96,563  

2.50%, 1/1/42

     74,325        74,604  

2.50%, 2/1/42

     49,879        50,065  

3.50%, 3/1/42

     28,705        30,075  

3.50%, 6/1/42

     351,905        368,519  

3.00%, 6/1/43

     37,507        38,600  

3.00%, 7/1/43

     56,913        58,644  

3.00%, 8/1/43

     57,695        59,376  

4.00%, 12/1/43

     10,422        11,109  

3.00%, 1/1/44

     58,116        59,843  

3.50%, 9/1/44

     47,708        49,938  

4.00%, 9/1/44

     30,115        31,970  

3.50%, 1/1/45

     17,487        18,306  

4.00%, 4/1/45

     106,278        112,383  

4.50%, 7/1/45

     17,794        19,257  

3.50%, 8/1/45

     29,509        30,777  

4.00%, 8/1/45

     18,274        19,335  

3.50%, 9/1/45

     36,258        37,800  

4.00%, 11/1/45

     19,705        20,849  

3.00%, 1/1/46

     228,906        234,400  

4.00%, 2/1/46

     44,570        47,131  

3.50%, 3/1/46

     19,892        20,734  

3.00%, 4/1/46

     6,366        6,516  

3.50%, 4/1/46

     33,573        34,983  

3.00%, 5/1/46

     83,969        85,999  

3.50%, 5/1/46

     8,745        9,112  

3.00%, 9/1/46

     183,905        188,343  

4.50%, 9/1/46

     44,771        48,512  

3.00%, 10/1/46

     38,373        39,301  

3.00%, 11/1/46

     137,187        140,416  

4.00%, 11/1/46

     12,293        12,957  

3.50%, 12/1/46

     45,719        47,658  

3.00%, 2/1/47

     276,149        282,649  

3.50%, 2/1/47

     81,841        85,278  

4.00%, 2/1/47

     9,623        10,143  

4.50%, 4/1/47

     9,357        9,932  

3.50%, 5/1/47

     8,718        9,041  

4.50%, 5/1/47

     15,189        16,123  

4.00%, 7/1/47

     54,113        56,872  

3.50%, 8/1/47

     49,526        51,362  

4.00%, 8/1/47

     23,311        24,508  

3.00%, 10/1/47

     28,883        29,531  

3.50%, 10/1/47

     68,486        71,025  

3.50%, 11/1/47

     174,229        181,263  

3.50%, 12/1/47

     53,477        55,425  

4.00%, 2/1/48

     20,016        21,042  

3.50%, 7/1/48

     43,278        44,881  

4.00%, 7/1/48

     88,578        93,951  

4.00%, 8/1/48

     58,332        61,473  

3.00%, 11/1/48

     225,745        231,059  

 

See Notes to Financial Statements.

 

WisdomTree Trust      51  


Table of Contents

Schedule of Investments (unaudited) (continued)

WisdomTree Interest Rate Hedged U.S. Aggregate Bond Fund (AGZD)

February 28, 2022

 

 

 

Investments    Principal
Amount
     Value  

5.00%, 3/1/49

   $ 38,241      $ 41,238  

3.50%, 7/1/49

     268,590        278,478  

3.50%, 8/1/49

     228,720        236,953  

3.50%, 10/1/49

     85,623        88,775  

5.00%, 10/1/49

     15,383        16,589  

3.00%, 12/1/49

     317,809        322,849  

3.00%, 1/1/50

     79,056        80,310  

3.00%, 2/1/50

     64,296        65,250  

3.00%, 4/1/50

     101,527        103,463  

3.50%, 4/1/50

     131,198        136,282  

2.50%, 5/1/50

     126,721        125,590  

4.00%, 5/1/50

     88,276        93,211  

2.50%, 6/1/50

     203,724        201,885  

3.00%, 6/1/50

     584,228        593,760  

2.50%, 7/1/50

     283,991        281,362  

2.00%, 8/1/50

     557,308        537,232  

2.50%, 8/1/50

     100,655        99,819  

2.00%, 9/1/50

     63,294        61,014  

2.50%, 9/1/50

     297,067        294,237  

2.00%, 10/1/50

     30,153        29,066  

2.50%, 10/1/50

     278,381        275,725  

1.50%, 12/1/50

     69,582        64,687  

1.50%, 1/1/51

     45,565        42,359  

2.00%, 1/1/51

     179,591        173,121  

2.50%, 1/1/51

     75,594        74,826  

3.00%, 1/1/51

     102,137        103,228  

4.50%, 1/1/51

     62,832        66,734  

1.50%, 2/1/51

     91,819        85,360  

2.00%, 2/1/51

     868,920        837,618  

2.00%, 3/1/51

     138,674        133,678  

2.50%, 3/1/51

     119,867        118,631  

1.50%, 4/1/51

     281,702        261,694  

2.00%, 4/1/51

     299,306        287,367  

2.00%, 5/1/51

     531,585        510,665  

2.50%, 5/1/51

     548,165        542,001  

1.50%, 6/1/51

     479,057        444,934  

3.00%, 7/1/51

     301,430        306,525  

2.00%, 8/1/51

     288,502        277,213  

2.00%, 9/1/51

     1,000,317        960,367  

2.50%, 9/1/51

     500,574        494,598  

2.00%, 10/1/51

     587,424        564,616  

2.50%, 10/1/51

     197,049        194,846  

1.50%, 11/1/51

     98,448        91,385  

2.00%, 11/1/51

     467,351        448,846  

2.00%, 12/1/51

     719,175        690,860  

2.00%, 2/1/52

     174,464        167,475  

2.50%, 2/1/52

     597,226        590,140  

3.50%, 2/1/52

     448,254        462,493  
     

 

 

 
Total Federal Home Loan Mortgage Corporation

 

     21,602,980  
Federal National Mortgage Association – 10.8%

 

4.00%, 9/1/25

     10,438        10,826  

5.50%, 10/1/25

     19,324        20,372  

4.00%, 7/1/26

     2,647        2,745  

1.88%, 9/24/26

     1,139,000        1,144,148  

3.50%, 10/1/26

     24,291        25,125  

3.00%, 11/1/26

     16,596        17,027  

3.50%, 12/1/26

     4,765        4,928  

3.00%, 2/1/27

     47,439        48,716  

3.00%, 6/1/27

   39,635      40,702  

3.00%, 9/1/27

     18,691        19,194  

2.50%, 8/1/28

     15,979        16,242  

3.00%, 9/1/28

     33,721        34,642  

3.00%, 11/1/28

     8,525        8,758  

3.00%, 7/1/29

     32,940        33,875  

7.25%, 5/15/30

     100,000        139,366  

0.88%, 8/5/30

     35,000        31,770  

3.00%, 9/1/30

     16,692        17,170  

3.50%, 4/1/31

     19,794        20,494  

2.50%, 6/1/31

     13,907        14,140  

2.50%, 7/1/31

     14,176        14,414  

2.50%, 10/1/31

     356,196        362,174  

3.50%, 11/1/31

     38,305        39,596  

2.50%, 4/1/32

     18,701        19,015  

3.50%, 4/1/32

     29,313        30,713  

2.50%, 9/1/32

     51,058        51,930  

3.00%, 9/1/32

     22,749        23,401  

3.00%, 10/1/32

     51,715        53,275  

3.50%, 11/1/32

     44,616        46,250  

2.50%, 12/1/32

     7,589        7,719  

2.50%, 1/1/33

     47,480        48,292  

3.50%, 1/1/33

     15,492        16,059  

3.50%, 2/1/33

     34,517        35,843  

3.00%, 4/1/33

     25,396        26,049  

3.00%, 6/1/33

     79,182        81,677  

5.00%, 10/1/33

     103,721        113,162  

6.00%, 2/1/34

     34,782        39,131  

4.00%, 3/1/34

     33,267        34,524  

2.50%, 5/1/34

     21,658        21,971  

3.00%, 6/1/34

     9,448        9,696  

4.00%, 8/1/34

     9,722        10,306  

3.00%, 12/1/34

     27,373        28,229  

3.00%, 1/1/35

     10,851        11,136  

2.50%, 5/1/35

     22,140        22,421  

2.00%, 7/1/35

     60,141        59,799  

2.50%, 7/1/35

     55,972        56,684  

2.50%, 8/1/35

     54,324        55,149  

2.00%, 9/1/35

     15,515        15,427  

2.50%, 9/1/35

     30,112        30,495  

3.50%, 9/1/35

     27,547        28,744  

1.50%, 10/1/35

     44,187        43,068  

2.00%, 10/1/35

     107,033        106,417  

1.50%, 11/1/35

     18,964        18,484  

1.50%, 12/1/35

     169,813        165,515  

2.00%, 12/1/35

     342,107        340,144  

3.50%, 1/1/36

     9,529        9,943  

2.50%, 2/1/36

     18,088        18,318  

1.50%, 3/1/36

     21,346        20,792  

2.00%, 3/1/36

     83,424        82,910  

1.50%, 4/1/36

     236,211        230,112  

3.00%, 4/1/36

     20,976        21,569  

1.50%, 5/1/36

     201,479        196,243  

2.00%, 5/1/36

     43,174        42,901  

3.00%, 6/1/36

     48,850        50,215  

3.50%, 7/1/36

     23,321        24,393  

3.00%, 9/1/36

     101,445        104,279  

1.50%, 10/1/36

     242,789        236,570  

2.00%, 10/1/36

     119,530        118,782  

 

See Notes to Financial Statements.

 

52   WisdomTree Trust


Table of Contents

Schedule of Investments (unaudited) (continued)

WisdomTree Interest Rate Hedged U.S. Aggregate Bond Fund (AGZD)

February 28, 2022

 

 

 

Investments    Principal
Amount
     Value  

1.50%, 11/1/36

   $ 97,893      $ 95,349  

2.00%, 11/1/36

     48,281        47,979  

3.00%, 11/1/36

     57,320        59,215  

2.00%, 12/1/36

     123,428        122,722  

2.00%, 1/1/37

     98,831        98,246  

2.00%, 2/1/37

     149,058        148,125  

3.00%, 2/1/37

     39,234        40,330  

3.50%, 7/1/37

     22,018        23,003  

5.50%, 8/1/37

     207,262        230,403  

3.50%, 4/1/38

     11,898        12,414  

4.50%, 9/1/39

     11,218        12,135  

2.50%, 3/1/40

     25,053        25,141  

3.00%, 4/1/40

     111,552        114,361  

2.50%, 5/1/40

     20,488        20,561  

3.00%, 6/1/40

     15,713        16,108  

4.50%, 8/1/40

     21,772        23,547  

2.00%, 9/1/40

     17,877        17,415  

2.50%, 9/1/40

     63,516        63,741  

5.50%, 9/1/40

     40,969        45,977  

2.00%, 11/1/40

     39,777        38,748  

2.00%, 12/1/40

     122,772        119,595  

2.50%, 12/1/40

     36,650        36,778  

3.50%, 12/1/40

     77,901        81,592  

2.00%, 1/1/41

     88,962        86,662  

3.50%, 2/1/41

     149,274        156,346  

1.50%, 3/1/41

     67,574        63,767  

2.00%, 3/1/41

     22,322        21,735  

2.50%, 3/1/41

     46,278        46,568  

2.00%, 4/1/41

     22,804        22,207  

1.50%, 5/1/41

     69,916        65,977  

2.50%, 5/1/41

     78,187        78,481  

1.50%, 6/1/41

     46,962        44,317  

2.00%, 6/1/41

     69,966        68,134  

1.50%, 7/1/41

     84,747        79,973  

1.50%, 10/1/41

     97,619        92,033  

2.50%, 10/1/41

     48,437        48,617  

2.00%, 11/1/41

     196,502        191,319  

2.00%, 2/1/42

     99,623        97,015  

2.50%, 2/1/42

     49,829        50,017  

3.50%, 6/1/42

     7,427        7,778  

4.00%, 7/1/42

     54,644        58,166  

4.00%, 9/1/42

     157,806        168,010  

3.50%, 12/1/42

     36,880        38,620  

3.00%, 1/1/43

     62,825        64,622  

3.00%, 4/1/43

     45,556        46,881  

3.00%, 5/1/43

     139,303        143,354  

3.50%, 5/1/43

     13,596        14,224  

3.00%, 6/1/43

     73,722        75,918  

4.00%, 6/1/43

     4,659        4,959  

3.00%, 8/1/43

     199,485        205,285  

3.50%, 8/1/43

     108,085        113,079  

3.00%, 9/1/43

     52,795        54,330  

4.00%, 11/1/43

     8,303        8,846  

3.00%, 2/1/44

     41,496        42,684  

4.00%, 2/1/44

     60,670        64,636  

4.50%, 2/1/44

     90,830        98,830  

4.50%, 4/1/44

     98,799        106,627  

4.50%, 5/1/44

     7,207        7,763  

4.00%, 9/1/44

     44,667        47,392  

4.00%, 10/1/44

   65,871      69,890  

3.50%, 2/1/45

     69,181        72,444  

5.00%, 2/1/45

     38,093        42,328  

3.50%, 3/1/45

     40,202        41,900  

3.50%, 4/1/45

     44,635        46,520  

3.50%, 6/1/45

     77,329        80,595  

4.00%, 6/1/45

     145,301        154,798  

3.50%, 8/1/45

     40,894        42,621  

3.50%, 12/1/45

     108,457        113,037  

3.00%, 1/1/46

     59,377        60,804  

3.50%, 1/1/46

     89,468        93,247  

3.50%, 2/1/46

     21,441        22,346  

3.50%, 4/1/46

     7,566        7,882  

3.00%, 5/1/46

     47,778        48,903  

3.50%, 5/1/46

     16,057        16,728  

4.50%, 5/1/46

     43,805        46,791  

3.50%, 6/1/46

     91,334        95,154  

4.00%, 7/1/46

     12,273        12,929  

3.00%, 9/1/46

     39,100        40,020  

3.50%, 9/1/46

     192,453        201,421  

3.00%, 10/1/46

     13,204        13,515  

4.00%, 10/1/46

     13,740        14,474  

2.50%, 11/1/46

     9,423        9,423  

3.00%, 11/1/46

     382,133        391,718  

3.50%, 11/1/46

     14,153        14,750  

4.50%, 11/1/46

     20,101        21,651  

3.50%, 12/1/46

     98,605        102,729  

3.00%, 1/1/47

     31,625        32,370  

4.00%, 1/1/47

     96,613        101,776  

3.00%, 2/1/47

     17,487        17,899  

4.00%, 2/1/47

     11,124        11,719  

4.00%, 3/1/47

     10,175        10,693  

4.00%, 5/1/47

     26,702        28,058  

4.50%, 5/1/47

     89,758        96,681  

4.00%, 8/1/47

     178,537        188,263  

3.50%, 9/1/47

     87,103        90,781  

3.50%, 11/1/47

     228,378        236,702  

4.50%, 11/1/47

     65,358        69,323  

3.00%, 12/1/47

     61,918        63,376  

3.50%, 12/1/47

     40,519        41,996  

3.50%, 1/1/48

     107,126        111,723  

4.00%, 1/1/48

     62,905        66,102  

3.00%, 4/1/48

     56,975        58,631  

4.00%, 4/1/48

     233,528        246,088  

4.50%, 5/1/48

     21,294        22,580  

4.50%, 6/1/48

     235,236        249,445  

4.50%, 7/1/48

     144,200        152,936  

4.00%, 8/1/48

     22,004        23,055  

4.00%, 9/1/48

     335,889        353,956  

4.50%, 9/1/48

     14,473        15,347  

4.00%, 11/1/48

     649,602        682,826  

3.00%, 12/1/48

     57,146        58,491  

4.00%, 1/1/49

     127,049        133,254  

5.00%, 5/1/49

     51,327        55,538  

4.00%, 6/1/49

     91,194        96,099  

4.50%, 7/1/49

     16,726        17,872  

3.50%, 8/1/49

     299,409        310,159  

3.00%, 9/1/49

     129,606        131,941  

4.00%, 9/1/49

     119,866        125,554  

 

See Notes to Financial Statements.

 

WisdomTree Trust      53  


Table of Contents

Schedule of Investments (unaudited) (continued)

WisdomTree Interest Rate Hedged U.S. Aggregate Bond Fund (AGZD)

February 28, 2022

 

 

 

Investments    Principal
Amount
     Value  

3.00%, 10/1/49

   $ 82,706      $ 83,933  

4.00%, 10/1/49

     171,150        178,679  

2.50%, 11/1/49

     299,825        298,049  

2.50%, 1/1/50

     64,737        64,353  

3.00%, 1/1/50

     43,317        43,921  

3.50%, 1/1/50

     100,837        104,457  

4.50%, 1/1/50

     92,295        98,018  

3.00%, 3/1/50

     55,532        56,533  

4.00%, 3/1/50

     75,017        78,989  

4.50%, 3/1/50

     91,024        96,725  

5.00%, 3/1/50

     180,315        194,325  

2.50%, 4/1/50

     299,626        296,907  

3.00%, 4/1/50

     101,224        102,308  

3.50%, 4/1/50

     566,976        587,577  

3.50%, 5/1/50

     144,142        149,169  

4.50%, 5/1/50

     175,949        186,352  

2.50%, 6/1/50

     598,085        592,711  

4.00%, 6/1/50

     171,932        180,842  

2.50%, 7/1/50

     305,124        302,318  

3.00%, 7/1/50

     159,404        161,157  

2.50%, 8/1/50

     128,470        127,264  

3.00%, 8/1/50

     32,993        33,773  

2.00%, 9/1/50

     407,523        392,844  

2.50%, 9/1/50

     612,616        608,375  

2.00%, 10/1/50

     359,095        346,161  

1.50%, 11/1/50

     269,424        250,471  

2.00%, 11/1/50

     81,890        78,941  

2.50%, 11/1/50

     185,250        183,623  

1.50%, 12/1/50

     141,997        132,009  

2.00%, 12/1/50

     990,745        955,058  

2.50%, 12/1/50

     1,101,657        1,090,867  

3.00%, 12/1/50

     68,366        69,098  

1.50%, 1/1/51

     91,511        85,073  

2.00%, 1/1/51

     92,094        88,777  

2.50%, 1/1/51

     452,892        448,468  

2.00%, 2/1/51

     991,910        956,181  

2.50%, 2/1/51

     465,924        460,907  

3.00%, 2/1/51

     379,754        384,673  

1.50%, 3/1/51

     334,552        310,843  

2.00%, 3/1/51

     654,156        630,038  

1.50%, 4/1/51

     103,339        95,997  

2.00%, 4/1/51

     1,581,598        1,520,708  

2.00%, 5/1/51

     704,759        677,686  

2.50%, 5/1/51

     279,587        276,108  

3.00%, 5/1/51

     127,362        128,745  

1.50%, 6/1/51

     481,539        447,647  

2.00%, 6/1/51

     236,870        227,764  

2.50%, 7/1/51

     297,803        294,252  

3.00%, 7/1/51

     216,695        219,136  

2.00%, 9/1/51

     48,694        46,751  

3.50%, 9/1/51

     66,740        68,808  

3.00%, 11/1/51

     123,239        124,675  

2.50%, 12/1/51

     1,707,186        1,686,924  

3.00%, 2/1/52

     850,000        862,720  
     

 

 

 
Total Federal National Mortgage Association

 

     32,901,373  
Government National Mortgage Association – 5.9%

 

2.50%, 7/20/28

     47,737        48,339  

3.00%, 4/20/33

     26,140        26,802  

2.00%, 5/20/36

   45,241      44,945  

4.00%, 11/20/40

     101,257        108,802  

3.00%, 11/20/42

     156,913        162,745  

3.50%, 2/20/43

     149,441        158,548  

5.00%, 2/20/43

     25,278        28,678  

3.50%, 3/20/43

     113,878        121,184  

4.00%, 5/20/43

     22,890        24,548  

4.00%, 6/20/43

     47,031        50,437  

3.00%, 8/20/43

     104,677        108,431  

5.00%, 4/20/44

     50,563        57,357  

3.50%, 7/20/44

     58,983        62,097  

4.00%, 7/20/44

     12,902        13,766  

5.00%, 7/20/44

     9,395        10,658  

3.50%, 8/20/44

     75,245        79,218  

5.00%, 8/20/44

     8,181        9,283  

3.00%, 9/20/44

     34,367        35,439  

4.50%, 9/20/44

     31,421        34,189  

3.50%, 10/20/44

     148,270        156,098  

3.00%, 1/20/45

     13,023        13,430  

4.00%, 4/20/45

     78,590        83,856  

3.00%, 7/20/45

     96,142        99,116  

3.50%, 11/20/45

     58,616        61,389  

3.00%, 12/20/45

     73,134        75,396  

3.50%, 12/20/45

     105,742        110,745  

4.50%, 12/20/45

     29,802        32,427  

3.50%, 1/20/46

     198,315        207,697  

3.00%, 5/20/46

     11,829        12,143  

4.00%, 7/20/46

     89,038        94,274  

3.00%, 9/20/46

     112,375        115,360  

3.50%, 9/20/46

     62,473        65,326  

2.50%, 10/20/46

     68,038        68,668  

3.00%, 10/20/46

     17,036        17,489  

3.00%, 12/20/46

     8,396        8,619  

4.00%, 12/20/46

     20,170        21,357  

4.00%, 1/20/47

     17,797        18,844  

4.50%, 1/20/47

     23,838        25,876  

3.00%, 2/20/47

     569,972        585,116  

3.50%, 2/20/47

     65,198        68,174  

3.50%, 3/20/47

     60,244        62,662  

3.50%, 4/20/47

     32,315        33,612  

4.00%, 4/20/47

     99,521        104,471  

3.00%, 5/20/47

     37,139        38,050  

4.00%, 7/20/47

     21,858        22,946  

4.00%, 8/20/47

     18,847        19,785  

3.50%, 9/20/47

     52,119        54,211  

4.50%, 10/20/47

     8,708        9,273  

3.50%, 11/20/47

     98,981        102,954  

3.50%, 1/20/48

     125,115        130,574  

4.00%, 1/20/48

     9,402        9,870  

3.00%, 2/20/48

     52,228        53,508  

3.50%, 3/20/48

     18,146        18,874  

3.50%, 4/20/48

     32,005        33,289  

4.50%, 5/20/48

     44,636        47,533  

4.50%, 6/20/48

     39,637        41,610  

3.50%, 7/20/48

     33,252        34,531  

4.00%, 9/20/48

     29,035        30,392  

4.50%, 9/20/48

     17,309        18,170  

3.50%, 10/20/48

     223,322        231,912  

4.50%, 1/20/49

     17,767        18,651  

 

See Notes to Financial Statements.

 

54   WisdomTree Trust


Table of Contents

Schedule of Investments (unaudited) (continued)

WisdomTree Interest Rate Hedged U.S. Aggregate Bond Fund (AGZD)

February 28, 2022

 

 

 

Investments    Principal
Amount
     Value  

3.50%, 3/20/49

   $ 8,399      $ 8,722  

4.00%, 3/20/49

     30,782        32,220  

4.50%, 3/20/49

     8,431        8,851  

5.00%, 3/20/49

     15,619        16,645  

4.00%, 4/20/49

     13,091        13,617  

4.50%, 6/20/49

     54,172        56,868  

3.50%, 7/20/49

     46,928        48,671  

3.00%, 8/20/49

     16,297        16,631  

3.00%, 9/20/49

     286,216        292,008  

4.00%, 10/20/49

     36,056        37,503  

3.00%, 11/15/49

     10,587        10,837  

3.00%, 1/20/50

     7,920        8,071  

3.50%, 1/20/50

     6,107        6,321  

4.50%, 1/20/50

     13,016        13,664  

3.00%, 2/20/50

     30,436        31,009  

4.00%, 2/20/50

     199,196        207,187  

3.00%, 5/20/50

     123,071        125,268  

3.00%, 6/20/50

     56,389        57,399  

3.50%, 7/20/50

     152,841        157,972  

5.00%, 7/20/50

     62,153        66,876  

2.00%, 8/20/50

     152,461        149,498  

2.50%, 8/20/50

     77,138        77,333  

3.00%, 8/20/50

     285,243        290,381  

3.50%, 8/20/50

     114,110        117,829  

4.00%, 8/20/50

     44,701        46,494  

2.50%, 9/20/50

     66,376        66,544  

4.00%, 9/20/50

     49,134        51,105  

4.50%, 9/20/50

     68,832        72,258  

3.50%, 10/20/50

     28,541        29,551  

4.50%, 10/20/50

     48,328        50,733  

2.50%, 11/20/50

     146,301        146,670  

3.00%, 11/20/50

     92,769        94,446  

2.00%, 12/20/50

     212,554        208,422  

2.50%, 12/20/50

     180,704        181,160  

3.50%, 12/20/50

     230,097        237,630  

2.00%, 3/20/51

     469,999        459,989  

2.50%, 3/20/51

     523,796        523,998  

2.00%, 4/20/51

     91,311        89,366  

2.50%, 4/20/51

     222,975        223,061  

3.00%, 5/20/51

     41,630        42,366  

2.00%, 6/20/51

     95,000        92,976  

2.00%, 7/20/51

     481,350        471,097  

2.50%, 7/20/51

     262,694        262,796  

3.00%, 7/20/51

     137,568        140,000  

2.50%, 8/20/51

     602,295        602,527  

1.50%, 9/20/51

     49,001        45,937  

2.50%, 9/20/51

     414,011        414,171  

3.00%, 9/20/51

     166,691        169,638  

3.50%, 9/20/51

     241,222        249,342  

2.00%, 10/20/51

     246,298        241,052  

2.00%, 11/20/51

     173,237        169,547  

2.00%, 12/20/51

     149,134        145,958  

2.50%, 1/20/52

     124,633        124,681  

2.00%, 3/1/52(a)

     2,550,000        2,492,580  

2.50%, 3/1/52(a)

     1,850,000        1,848,400  

3.00%, 3/1/52(a)

     875,000        889,486  

3.50%, 3/1/52(a)

     75,000        77,373  

4.00%, 3/1/52(a)

     175,000        181,877  

2.50%, 4/1/52(a)

     200,000        199,463  

3.00%, 4/1/52(a)

   100,000      101,434  

4.00%, 4/1/52(a)

     100,000        103,705  

2.00%, 4/21/52(a)

     125,000        121,970  

4.50%, 4/21/52(a)

     200,000        209,297  
     

 

 

 
Total Government National Mortgage Association

 

     17,974,225  
Tennessee Valley Authority – 0.1%

 

5.25%, 9/15/39

     180,000        242,102  
Uniform Mortgage-Backed Securities – 4.8%

 

1.50%, 3/1/37(a)

     275,000        267,598  

2.00%, 3/1/37(a)

     1,900,000        1,885,932  

2.50%, 3/1/37(a)

     550,000        556,579  

3.00%, 3/1/37(a)

     75,000        76,859  

3.50%, 3/1/37(a)

     50,000        51,598  

1.50%, 4/1/37(a)

     75,000        72,875  

2.00%, 4/1/37(a)

     100,000        99,090  

2.50%, 4/18/37(a)

     25,000        25,235  

3.00%, 4/18/37(a)

     25,000        25,558  

2.00%, 3/1/52(a)

     6,650,000        6,377,333  

2.50%, 3/1/52(a)

     3,000,000        2,959,482  

3.00%, 3/1/52(a)

     625,000        631,225  

4.50%, 3/1/52(a)

     100,000        105,585  

5.00%, 3/1/52(a)

     100,000        107,829  

2.00%, 4/1/52(a)

     450,000        430,852  

2.50%, 4/1/52(a)

     700,000        689,093  

3.00%, 4/1/52(a)

     225,000        226,649  

3.50%, 4/1/52(a)

     50,000        51,343  

4.50%, 4/1/52(a)

     50,000        52,748  
     

 

 

 
Total Uniform Mortgage-Backed Securities

 

     14,693,463  

TOTAL U.S. GOVERNMENT AGENCIES

(Cost: $89,110,431)

 

 

     87,729,531  
U.S. GOVERNMENT OBLIGATIONS – 41.0%

 

U.S. Treasury Bonds – 8.2%

 

6.88%, 8/15/25

     277,000        325,529  

5.25%, 2/15/29

     259,000        317,235  

6.13%, 8/15/29

     75,000        97,699  

6.25%, 5/15/30

     244,000        326,712  

0.63%, 8/15/30

     1,215,000        1,101,948  

5.38%, 2/15/31

     128,500        166,528  

4.50%, 2/15/36

     322,000        426,247  

4.75%, 2/15/37

     100,000        136,633  

5.00%, 5/15/37

     128,000        179,310  

4.38%, 2/15/38

     200,000        265,375  

4.50%, 5/15/38

     54,000        72,651  

3.50%, 2/15/39

     122,000        146,867  

4.25%, 5/15/39

     110,000        144,719  

4.50%, 8/15/39

     92,000        124,667  

4.38%, 11/15/39

     106,000        141,560  

4.63%, 2/15/40

     57,000        78,295  

4.38%, 5/15/40

     25,000        33,436  

1.13%, 8/15/40

     600,000        497,437  

1.38%, 11/15/40

     1,070,000        925,801  

4.25%, 11/15/40

     5,000        6,572  

1.88%, 2/15/41

     950,000        893,891  

2.25%, 5/15/41

     700,000        698,469  

1.75%, 8/15/41

     1,200,000        1,101,562  

3.75%, 8/15/41

     150,000        185,953  

 

See Notes to Financial Statements.

 

WisdomTree Trust      55  


Table of Contents

Schedule of Investments (unaudited) (continued)

WisdomTree Interest Rate Hedged U.S. Aggregate Bond Fund (AGZD)

February 28, 2022

 

 

 

Investments    Principal
Amount
     Value  

2.00%, 11/15/41

   $ 915,000      $ 876,756  

3.13%, 11/15/41

     450,000        512,648  

3.13%, 2/15/42

     200,000        228,359  

3.00%, 5/15/42

     100,000        112,086  

2.75%, 8/15/42

     150,000        161,602  

2.75%, 11/15/42

     250,000        269,219  

3.13%, 2/15/43

     200,000        227,844  

2.88%, 5/15/43

     471,000        516,591  

3.63%, 8/15/43

     152,500        187,027  

3.75%, 11/15/43

     346,000        432,500  

3.63%, 2/15/44

     134,000        164,663  

3.38%, 5/15/44

     118,000        140,097  

3.13%, 8/15/44

     182,000        208,134  

3.00%, 11/15/44

     137,000        153,804  

2.50%, 2/15/45

     271,000        279,892  

3.00%, 5/15/45

     94,000        105,684  

2.88%, 8/15/45

     94,000        103,716  

3.00%, 11/15/45

     141,000        159,044  

2.50%, 2/15/46

     641,000        663,936  

2.50%, 5/15/46

     205,000        212,399  

2.25%, 8/15/46

     428,000        423,586  

2.88%, 11/15/46

     94,000        104,325  

3.00%, 2/15/47

     240,000        272,644  

3.00%, 5/15/47

     221,000        251,698  

2.75%, 8/15/47

     719,000        787,698  

2.75%, 11/15/47

     269,000        294,870  

3.00%, 2/15/48

     291,000        334,900  

3.13%, 5/15/48

     334,000        393,676  

3.00%, 8/15/48

     541,000        624,221  

3.38%, 11/15/48

     395,000        487,887  

3.00%, 2/15/49

     577,000        669,951  

2.25%, 8/15/49

     450,000        453,656  

2.00%, 2/15/50

     777,000        744,160  

1.38%, 8/15/50

     750,000        617,871  

1.63%, 11/15/50

     925,000        810,748  

1.88%, 2/15/51

     1,175,000        1,094,127  

2.38%, 5/15/51

     990,000        1,033,158  

2.00%, 8/15/51

     750,000        720,176  

1.88%, 11/15/51

     755,000        704,922  
     

 

 

 
Total U.S. Treasury Bonds

 

     24,935,371  
U.S. Treasury Notes – 32.8%

 

0.13%, 2/28/23

     700,000        693,492  

0.50%, 3/15/23

     500,000        497,002  

0.13%, 3/31/23

     800,000        791,359  

1.50%, 3/31/23

     212,000        212,849  

2.50%, 3/31/23

     115,000        116,682  

0.25%, 4/15/23

     700,000        692,973  

0.13%, 4/30/23

     750,000        740,830  

1.63%, 4/30/23

     300,000        301,553  

2.75%, 4/30/23

     188,000        191,400  

0.13%, 5/15/23

     450,000        444,410  

1.75%, 5/15/23

     406,000        408,736  

1.63%, 5/31/23

     500,000        502,647  

2.75%, 5/31/23

     188,000        191,606  

0.25%, 6/15/23

     400,000        395,070  

0.13%, 6/30/23

     500,000        492,627  

1.38%, 6/30/23

     377,000        377,677  

2.63%, 6/30/23

     250,000        254,521  

0.13%, 7/15/23

   400,000      393,867  

0.13%, 7/31/23

     985,000        968,840  

1.25%, 7/31/23

     354,000        353,945  

2.75%, 7/31/23

     250,000        255,220  

0.13%, 8/15/23

     400,000        393,234  

2.50%, 8/15/23

     738,000        751,016  

0.13%, 8/31/23

     800,000        786,000  

1.38%, 8/31/23

     340,000        340,259  

2.75%, 8/31/23

     250,000        255,283  

0.13%, 9/15/23

     400,000        392,742  

0.25%, 9/30/23

     1,000,000        982,969  

1.38%, 9/30/23

     338,000        338,191  

2.88%, 9/30/23

     250,000        256,001  

0.13%, 10/15/23

     525,000        514,582  

1.63%, 10/31/23

     344,000        345,404  

2.88%, 10/31/23

     250,000        256,104  

0.25%, 11/15/23

     450,000        441,404  

2.75%, 11/15/23

     550,000        562,622  

0.50%, 11/30/23

     1,000,000        984,355  

2.13%, 11/30/23

     250,000        253,115  

2.88%, 11/30/23

     250,000        256,362  

0.13%, 12/15/23

     671,600        656,423  

2.25%, 12/31/23

     411,000        417,117  

2.63%, 12/31/23

     250,000        255,474  

0.13%, 1/15/24

     870,000        848,913  

0.88%, 1/31/24

     535,000        529,326  

2.25%, 1/31/24

     354,000        359,386  

2.50%, 1/31/24

     250,000        254,946  

0.13%, 2/15/24

     770,000        750,269  

2.75%, 2/15/24

     382,000        391,595  

1.50%, 2/29/24

     610,000        610,608  

2.13%, 2/29/24

     329,000        333,286  

2.38%, 2/29/24

     250,000        254,473  

0.25%, 3/15/24

     950,000        926,398  

2.13%, 3/31/24

     612,000        620,009  

0.38%, 4/15/24

     1,000,000        976,328  

2.00%, 4/30/24

     341,000        344,570  

2.25%, 4/30/24

     300,000        304,746  

0.25%, 5/15/24

     700,000        680,641  

2.50%, 5/15/24

     282,000        287,948  

2.00%, 5/31/24

     235,000        237,479  

0.25%, 6/15/24

     750,000        728,291  

1.75%, 6/30/24

     300,000        301,477  

2.00%, 6/30/24

     500,000        505,293  

0.38%, 7/15/24

     500,000        486,367  

1.75%, 7/31/24

     1,000,000        1,004,727  

0.38%, 8/15/24

     500,000        485,625  

2.38%, 8/15/24

     629,000        641,064  

1.25%, 8/31/24

     400,000        396,797  

0.38%, 9/15/24

     700,000        678,891  

1.50%, 9/30/24

     1,150,000        1,147,170  

2.13%, 9/30/24

     250,000        253,340  

0.63%, 10/15/24

     1,500,000        1,462,734  

1.50%, 10/31/24

     300,000        299,191  

2.25%, 10/31/24

     250,000        254,248  

0.75%, 11/15/24

     800,000        781,750  

2.25%, 11/15/24

     719,000        731,302  

1.50%, 11/30/24

     500,000        498,535  

 

See Notes to Financial Statements.

 

56   WisdomTree Trust


Table of Contents

Schedule of Investments (unaudited) (continued)

WisdomTree Interest Rate Hedged U.S. Aggregate Bond Fund (AGZD)

February 28, 2022

 

 

 

Investments    Principal
Amount
     Value  

2.13%, 11/30/24

   $ 601,000      $ 609,146  

1.00%, 12/15/24

     550,000        540,848  

1.75%, 12/31/24

     270,000        271,002  

2.25%, 12/31/24

     349,000        355,148  

1.13%, 1/15/25

     1,265,000        1,247,310  

1.38%, 1/31/25

     1,250,000        1,241,016  

2.50%, 1/31/25

     99,000        101,452  

2.00%, 2/15/25

     485,000        490,058  

1.13%, 2/28/25

     500,000        492,520  

2.75%, 2/28/25

     699,000        721,417  

0.50%, 3/31/25

     470,000        453,789  

2.63%, 3/31/25

     275,000        283,057  

0.38%, 4/30/25

     500,000        480,156  

2.88%, 4/30/25

     188,000        194,999  

2.13%, 5/15/25

     782,000        793,058  

0.25%, 5/31/25

     500,000        477,480  

2.88%, 5/31/25

     410,000        425,391  

0.25%, 6/30/25

     500,000        476,699  

2.75%, 6/30/25

     350,000        362,031  

0.25%, 7/31/25

     580,000        552,314  

2.00%, 8/15/25

     454,000        458,505  

0.25%, 8/31/25

     300,000        285,199  

0.25%, 9/30/25

     1,250,000        1,186,816  

3.00%, 9/30/25

     500,000        522,461  

0.25%, 10/31/25

     460,000        436,173  

2.25%, 11/15/25

     507,000        516,764  

0.38%, 11/30/25

     500,000        475,664  

0.38%, 12/31/25

     400,000        380,188  

0.38%, 1/31/26

     1,350,000        1,280,813  

2.63%, 1/31/26

     500,000        516,895  

1.63%, 2/15/26

     800,000        796,656  

0.50%, 2/28/26

     650,000        619,150  

2.50%, 2/28/26

     500,000        514,707  

0.75%, 3/31/26

     800,000        768,938  

2.25%, 3/31/26

     150,000        153,000  

0.75%, 4/30/26

     500,000        480,195  

1.63%, 5/15/26

     623,000        619,958  

0.75%, 5/31/26

     500,000        479,727  

2.13%, 5/31/26

     200,000        203,086  

0.88%, 6/30/26

     900,000        867,410  

1.88%, 6/30/26

     750,000        754,219  

0.63%, 7/31/26

     200,000        190,508  

1.88%, 7/31/26

     450,000        452,461  

1.50%, 8/15/26

     550,000        544,285  

1.38%, 8/31/26

     350,000        344,408  

0.88%, 9/30/26

     600,000        577,031  

1.63%, 9/30/26

     450,000        447,645  

1.13%, 10/31/26

     500,000        486,035  

1.63%, 10/31/26

     250,000        248,682  

2.00%, 11/15/26

     500,000        505,645  

1.25%, 11/30/26

     500,000        488,926  

1.63%, 11/30/26

     500,000        497,344  

1.25%, 12/31/26

     1,350,000        1,319,361  

1.75%, 12/31/26

     300,000        300,117  

1.50%, 1/31/27

     1,650,000        1,631,373  

2.25%, 2/15/27

     500,000        511,934  

1.13%, 2/28/27

     450,000        436,693  

0.63%, 3/31/27

     900,000        851,063  

0.50%, 4/30/27

     685,000        642,856  

2.38%, 5/15/27

   675,000      695,540  

0.50%, 5/31/27

     850,000        796,410  

0.50%, 6/30/27

     500,000        467,949  

0.38%, 7/31/27

     700,000        649,988  

2.25%, 8/15/27

     507,000        519,754  

0.50%, 8/31/27

     850,000        793,488  

0.38%, 9/30/27

     695,000        643,364  

0.50%, 10/31/27

     500,000        465,527  

2.25%, 11/15/27

     388,000        397,594  

0.63%, 11/30/27

     800,000        749,313  

0.63%, 12/31/27

     800,000        748,531  

0.75%, 1/31/28

     800,000        753,188  

2.75%, 2/15/28

     693,000        730,574  

1.13%, 2/29/28

     800,000        770,094  

1.25%, 3/31/28

     1,200,000        1,162,406  

1.25%, 4/30/28

     1,000,000        968,086  

2.88%, 5/15/28

     218,000        231,599  

1.25%, 5/31/28

     500,000        483,574  

1.00%, 7/31/28

     500,000        475,273  

2.88%, 8/15/28

     337,000        358,721  

1.13%, 8/31/28

     500,000        478,750  

1.25%, 9/30/28

     500,000        482,266  

1.38%, 10/31/28

     750,000        728,906  

3.13%, 11/15/28

     151,000        163,399  

1.50%, 11/30/28

     300,000        293,859  

1.75%, 1/31/29

     525,000        522,621  

2.63%, 2/15/29

     400,000        421,156  

1.88%, 2/28/29

     585,000        587,331  

2.38%, 5/15/29

     375,000        389,209  

1.63%, 8/15/29

     541,000        534,618  

1.75%, 11/15/29

     400,000        399,031  

1.50%, 2/15/30

     365,000        356,816  

0.63%, 5/15/30

     1,280,000        1,164,400  

0.88%, 11/15/30

     1,150,000        1,063,121  

1.13%, 2/15/31

     1,450,000        1,367,418  

1.63%, 5/15/31

     1,075,000        1,057,027  

1.25%, 8/15/31

     1,500,000        1,425,234  

1.38%, 11/15/31

     1,450,000        1,390,867  

1.88%, 2/15/32

     435,000        436,869  

1.13%, 5/15/40

     725,000        603,336  

2.88%, 5/15/49

     710,000        806,904  

2.38%, 11/15/49

     700,000        725,813  

1.25%, 5/15/50

     740,000        590,959  
     

 

 

 
Total U.S. Treasury Notes

 

     100,296,351  

TOTAL U.S. GOVERNMENT OBLIGATIONS

(Cost: $126,545,903)

 

 

     125,231,722  
U.S. CORPORATE BONDS – 21.5%

 

United States – 21.5%

 

3M Co.
2.25%, 9/19/26

     230,000        230,140  

2.88%, 10/15/27(b)

     65,000        66,786  

3.38%, 3/1/29

     35,000        36,575  

3.05%, 4/15/30

     25,000        25,616  

3.13%, 9/19/46

     23,000        21,660  

3.63%, 10/15/47

     38,000        38,334  

Abbott Laboratories
3.40%, 11/30/23

     14,000        14,402  

 

See Notes to Financial Statements.

 

WisdomTree Trust      57  


Table of Contents

Schedule of Investments (unaudited) (continued)

WisdomTree Interest Rate Hedged U.S. Aggregate Bond Fund (AGZD)

February 28, 2022

 

 

 

Investments    Principal
Amount
     Value  

6.15%, 11/30/37(b)

   $ 53,000      $ 72,581  

4.75%, 4/15/43

     10,000        11,892  

AbbVie, Inc.
3.60%, 5/14/25

     59,000        60,984  

2.95%, 11/21/26

     515,000        523,719  

4.55%, 3/15/35

     10,000        11,126  

4.50%, 5/14/35

     125,000        138,777  

4.40%, 11/6/42

     15,000        16,217  

4.75%, 3/15/45

     8,000        8,926  

4.70%, 5/14/45

     48,000        53,436  

4.25%, 11/21/49

     14,000        14,893  

Activision Blizzard, Inc.
3.40%, 6/15/27

     82,000        85,921  

2.50%, 9/15/50

     10,000        8,409  

Adobe, Inc.
2.30%, 2/1/30

     25,000        24,397  

Advance Auto Parts, Inc.
3.90%, 4/15/30

     25,000        25,942  

Aetna, Inc.
4.75%, 3/15/44

     60,000        67,186  

3.88%, 8/15/47

     43,000        43,433  

Aflac, Inc.
3.25%, 3/17/25

     75,000        77,666  

Air Lease Corp.
3.88%, 7/3/23

     5,000        5,106  

4.25%, 9/15/24

     5,000        5,184  

3.25%, 3/1/25

     25,000        25,242  

3.63%, 4/1/27

     23,000        23,474  

3.63%, 12/1/27(b)

     319,000        324,197  

Air Products and Chemicals, Inc.
2.70%, 5/15/40

     50,000        45,991  

Aircastle Ltd.
5.00%, 4/1/23

     5,000        5,150  

Alabama Power Co.
4.30%, 7/15/48, Series A

     20,000        21,706  

3.45%, 10/1/49

     9,000        8,599  

Alexandria Real Estate Equities, Inc.
3.45%, 4/30/25

     18,000        18,640  

4.90%, 12/15/30

     51,000        58,582  

Allstate Corp.
1.45%, 12/15/30

     30,000        26,950  

Ally Financial, Inc.
1.45%, 10/2/23

     100,000        98,838  

8.00%, 11/1/31

     513,000        674,147  

Alphabet, Inc.
2.25%, 8/15/60

     25,000        20,068  

Altria Group, Inc.
4.80%, 2/14/29

     25,000        27,082  

2.45%, 2/4/32

     65,000        58,102  

3.40%, 2/4/41

     31,000        25,675  

5.38%, 1/31/44

     373,000        391,113  

Amazon.com, Inc.
5.20%, 12/3/25

     19,000        20,954  

1.50%, 6/3/30(b)

     60,000        55,684  

3.88%, 8/22/37

     15,000        16,501  

4.95%, 12/5/44

     52,000        64,746  

4.05%, 8/22/47

     66,000        74,248  

4.25%, 8/22/57

     27,000        31,292  

2.70%, 6/3/60

     40,000        34,234  

Ameren Illinois Co.
3.80%, 5/15/28

   48,000      51,264  

1.55%, 11/15/30

     50,000        45,152  

American Express Co.
3.70%, 8/3/23

     10,000        10,270  

3.00%, 10/30/24

     95,000        97,211  

3.63%, 12/5/24(b)

     44,000        45,581  

3.30%, 5/3/27(c)

     10,000        10,323  

4.05%, 12/3/42

     18,000        19,796  

American Financial Group, Inc.
4.50%, 6/15/47

     25,000        26,954  

American Homes 4 Rent LP
4.25%, 2/15/28

     10,000        10,564  

American Honda Finance Corp.
1.95%, 5/10/23

     40,000        40,207  

2.90%, 2/16/24

     5,000        5,096  

1.00%, 9/10/25

     15,000        14,376  

2.30%, 9/9/26

     5,000        5,004  

American International Group, Inc.
3.75%, 7/10/25

     45,000        46,856  

4.70%, 7/10/35

     5,000        5,646  

4.75%, 4/1/48

     28,000        32,549  

American Tower Corp.
0.60%, 1/15/24

     20,000        19,478  

2.95%, 1/15/25

     50,000        50,564  

4.00%, 6/1/25

     45,000        46,869  

3.60%, 1/15/28

     58,000        59,556  

3.80%, 8/15/29

     25,000        25,849  

3.10%, 6/15/50

     20,000        16,818  

American Water Capital Corp.
2.95%, 9/1/27

     164,000        167,344  

3.75%, 9/1/47

     15,000        14,966  

AmerisourceBergen Corp.
3.40%, 5/15/24

     18,000        18,470  

3.45%, 12/15/27

     25,000        26,009  

4.30%, 12/15/47

     50,000        52,558  

Amgen, Inc.
2.25%, 8/19/23

     5,000        5,043  

3.63%, 5/22/24

     16,000        16,535  

2.30%, 2/25/31(b)

     105,000        99,319  

4.66%, 6/15/51

     282,000        316,607  

Anthem, Inc.
3.50%, 8/15/24

     180,000        185,216  

3.65%, 12/1/27

     25,000        26,247  

6.38%, 6/15/37

     18,000        23,840  

4.63%, 5/15/42

     85,000        95,476  

4.65%, 1/15/43

     40,000        44,985  

4.65%, 8/15/44

     15,000        16,907  

3.13%, 5/15/50

     352,000        321,503  

Aon Corp.
2.80%, 5/15/30

     15,000        14,782  

Apple, Inc.
0.75%, 5/11/23

     25,000        24,840  

3.00%, 2/9/24

     18,000        18,453  

2.85%, 5/11/24

     48,000        49,074  

1.13%, 5/11/25

     10,000        9,767  

3.25%, 2/23/26

     75,000        78,305  

 

See Notes to Financial Statements.

 

58   WisdomTree Trust


Table of Contents

Schedule of Investments (unaudited) (continued)

WisdomTree Interest Rate Hedged U.S. Aggregate Bond Fund (AGZD)

February 28, 2022

 

 

 

Investments    Principal
Amount
     Value  

3.00%, 6/20/27

   $ 23,000      $ 23,943  

2.20%, 9/11/29

     75,000        73,648  

1.65%, 5/11/30

     55,000        51,482  

4.45%, 5/6/44

     18,000        21,081  

4.38%, 5/13/45

     18,000        20,918  

3.85%, 8/4/46

     36,000        39,090  

3.75%, 11/13/47

     48,000        51,478  

2.65%, 5/11/50

     60,000        53,451  

2.55%, 8/20/60

     270,000        225,418  

Applied Materials, Inc.
5.85%, 6/15/41

     25,000        33,367  

Ares Capital Corp.
4.25%, 3/1/25

     43,000        44,020  

Arizona Public Service Co.
2.60%, 8/15/29

     300,000        291,762  

Ascension Health
4.85%, 11/15/53

     49,000        63,526  

Assurant, Inc.
4.20%, 9/27/23

     18,000        18,605  

AT&T, Inc.
3.80%, 3/1/24

     25,000        25,853  

3.80%, 2/15/27(b)

     64,000        67,644  

4.25%, 3/1/27(b)

     25,000        26,958  

4.30%, 2/15/30

     300,000        326,850  

2.75%, 6/1/31

     100,000        97,334  

2.25%, 2/1/32

     26,000        24,021  

4.30%, 12/15/42

     175,000        182,199  

4.35%, 6/15/45

     321,000        333,397  

4.75%, 5/15/46

     10,000        11,142  

5.45%, 3/1/47

     10,000        12,183  

3.65%, 6/1/51

     12,000        11,366  

3.50%, 9/15/53

     100,000        91,705  

3.55%, 9/15/55

     55,000        49,938  

3.80%, 12/1/57

     75,000        70,630  

3.50%, 2/1/61

     10,000        8,843  

Atmos Energy Corp.
1.50%, 1/15/31

     45,000        39,897  

AutoNation, Inc.
3.50%, 11/15/24

     18,000        18,521  

4.50%, 10/1/25

     18,000        19,014  

AutoZone, Inc.
3.25%, 4/15/25

     18,000        18,455  

3.63%, 4/15/25

     100,000        103,527  

4.00%, 4/15/30

     50,000        53,085  

AvalonBay Communities, Inc.
2.30%, 3/1/30

     755,000        731,172  

Avangrid, Inc.
3.80%, 6/1/29

     25,000        26,148  

Avnet, Inc.
3.00%, 5/15/31

     475,000        452,618  

AXIS Specialty Finance LLC
3.90%, 7/15/29

     50,000        52,448  

Baker Hughes Holdings LLC / Baker Hughes Co-Obligor, Inc.
3.34%, 12/15/27(b)

     48,000        49,512  

Bank of America Corp.
4.10%, 7/24/23

     25,000        25,844  

4.13%, 1/22/24

   48,000      49,928  

3.55%, 3/5/24, (3.55% fixed rate until 3/5/23; 3-month U.S. dollar London Interbank Offered Rate + 0.78% thereafter)(d)

     60,000        60,962  

4.00%, 4/1/24

     50,000        51,898  

1.49%, 5/19/24, (1.486% fixed rate until 5/19/23; Secured Overnight Financing Rate + 1.46% thereafter)(d)

     40,000        39,761  

3.86%, 7/23/24, (3.864% fixed rate until 7/23/23; 3-month U.S. dollar London Interbank Offered Rate + 0.94% thereafter)(d)

     305,000        312,238  

4.20%, 8/26/24

     48,000        49,987  

0.81%, 10/24/24, (0.81% fixed rate until 10/24/23; Secured Overnight Financing Rate + 0.74% thereafter)(d)

     105,000        102,569  

3.46%, 3/15/25, (3.458% fixed rate until 3/15/24; 3-month U.S. dollar London Interbank Offered Rate + 0.97% thereafter)(d)

     105,000        107,089  

3.95%, 4/21/25, Series L

     29,000        30,071  

2.46%, 10/22/25, (2.456% fixed rate until 10/22/24; 3-month U.S. dollar London Interbank Offered Rate + 0.87% thereafter)(d)

     50,000        49,910  

3.50%, 4/19/26

     71,000        73,663  

1.32%, 6/19/26, (1.319% fixed rate until 6/19/25; Secured Overnight Financing Rate + 1.15% thereafter)(d)

     13,000        12,432  

1.20%, 10/24/26, (1.197% fixed rate until 10/24/25; Secured Overnight Financing Rate + 1.01% thereafter)(d)

     210,000        198,679  

1.66%, 3/11/27, Series N, (1.658% fixed rate until 3/11/26; Secured Overnight Financing Rate + 0.91% thereafter)(d)

     45,000        43,075  

3.42%, 12/20/28, (3.419% fixed rate until 12/20/27; 3-month U.S. dollar London Interbank Offered Rate + 1.04% thereafter)(d)

     244,000        249,856  

4.27%, 7/23/29, (4.271% fixed rate until 7/23/28; 3-month U.S. dollar London Interbank Offered Rate + 1.31% thereafter)(d)

     45,000        48,027  

2.88%, 10/22/30, (2.884% fixed rate until 10/22/29; 3-month U.S. dollar London Interbank Offered Rate + 1.19% thereafter)(d)

     10,000        9,811  

1.92%, 10/24/31, (1.922% fixed rate until 10/24/30; Secured Overnight Financing Rate + 1.37% thereafter)(d)

     310,000        280,748  

4.24%, 4/24/38, (4.244% fixed rate until 4/24/37; 3-month U.S. dollar London Interbank Offered Rate + 1.814% thereafter)(d)

     10,000        10,940  

2.68%, 6/19/41, (2.676% fixed rate until 6/19/40; Secured Overnight Financing Rate + 1.93% thereafter)(d)

     25,000        21,982  

5.88%, 2/7/42

     10,000        12,987  

 

See Notes to Financial Statements.

 

WisdomTree Trust      59  


Table of Contents

Schedule of Investments (unaudited) (continued)

WisdomTree Interest Rate Hedged U.S. Aggregate Bond Fund (AGZD)

February 28, 2022

 

 

 

Investments    Principal
Amount
     Value  

5.00%, 1/21/44

   $ 145,000      $ 170,797  

4.75%, 4/21/45, Series L

     10,000        11,330  

4.44%, 1/20/48, (4.443% fixed rate until 1/20/47; 3-month U.S. dollar London Interbank Offered Rate + 1.99% thereafter)(d)

     10,000        11,214  

3.95%, 1/23/49, (3.946% fixed rate until 1/23/48; 3-month U.S. dollar London Interbank Offered Rate + 1.19% thereafter)(d)

     18,000        18,836  

2.83%, 10/24/51, (2.831% fixed rate until 10/24/50; Secured Overnight Financing Rate + 1.88% thereafter)(d)

     5,000        4,383  

BankUnited, Inc.
4.88%, 11/17/25

     18,000        19,309  

Baxalta, Inc.
4.00%, 6/23/25

     15,000        15,683  

Baylor Scott & White Holdings
4.19%, 11/15/45

     24,000        26,823  

Becton Dickinson and Co.
2.82%, 5/20/30

     37,000        36,488  

4.69%, 12/15/44

     25,000        27,991  

Berkshire Hathaway Energy Co.
4.05%, 4/15/25

     95,000        100,427  

3.25%, 4/15/28

     23,000        23,854  

3.70%, 7/15/30

     50,000        52,945  

6.13%, 4/1/36

     25,000        31,923  

5.15%, 11/15/43

     25,000        29,143  

3.80%, 7/15/48

     36,000        36,159  

Berkshire Hathaway Finance Corp.
1.85%, 3/12/30(b)

     425,000        403,316  

1.45%, 10/15/30(b)

     50,000        45,767  

4.20%, 8/15/48

     20,000        22,132  

4.25%, 1/15/49

     38,000        42,346  

2.85%, 10/15/50

     5,000        4,398  

BGC Partners, Inc.
3.75%, 10/1/24

     10,000        10,192  

Black Hills Corp.
4.35%, 5/1/33

     25,000        26,708  

BlackRock, Inc.
3.50%, 3/18/24

     18,000        18,643  

Boardwalk Pipelines LP
4.95%, 12/15/24

     5,000        5,286  

4.45%, 7/15/27

     18,000        19,018  

3.40%, 2/15/31

     15,000        14,727  

Boeing Co.
4.88%, 5/1/25

     85,000        90,420  

2.25%, 6/15/26

     5,000        4,889  

5.15%, 5/1/30

     595,000        656,981  

5.88%, 2/15/40

     10,000        11,768  

3.90%, 5/1/49

     10,000        9,337  

5.81%, 5/1/50

     25,000        29,751  

3.83%, 3/1/59

     400,000        350,216  

5.93%, 5/1/60

     30,000        35,698  

Booking Holdings, Inc.
2.75%, 3/15/23

     15,000        15,170  

BorgWarner, Inc.
2.65%, 7/1/27(b)

     12,000        11,982  

Boston Properties LP
3.13%, 9/1/23

   19,000      19,308  

3.65%, 2/1/26

     5,000        5,182  

2.75%, 10/1/26

     24,000        24,081  

2.90%, 3/15/30

     25,000        24,408  

BP Capital Markets America, Inc.
2.75%, 5/10/23

     478,000        483,860  

3.41%, 2/11/26

     25,000        25,913  

3.12%, 5/4/26

     5,000        5,141  

3.59%, 4/14/27

     15,000        15,699  

4.23%, 11/6/28

     10,000        10,823  

3.38%, 2/8/61

     220,000        194,172  

Bristol-Myers Squibb Co.
3.25%, 2/20/23

     14,000        14,242  

3.20%, 6/15/26

     10,000        10,421  

3.45%, 11/15/27

     28,000        29,559  

3.40%, 7/26/29

     350,000        368,658  

1.45%, 11/13/30

     5,000        4,531  

4.13%, 6/15/39

     60,000        65,892  

4.25%, 10/26/49

     50,000        56,276  

2.55%, 11/13/50

     5,000        4,246  

Brixmor Operating Partnership LP
3.65%, 6/15/24

     5,000        5,153  

3.90%, 3/15/27

     50,000        52,152  

Broadcom Corp. / Broadcom Cayman Finance Ltd.
3.63%, 1/15/24

     81,000        83,124  

3.88%, 1/15/27

     23,000        23,970  

3.50%, 1/15/28

     5,000        5,109  

Broadcom, Inc.
4.15%, 11/15/30

     70,000        73,457  

2.45%, 2/15/31(c)

     70,000        64,698  

Bunge Ltd. Finance Corp.
1.63%, 8/17/25

     15,000        14,567  

Burlington Northern Santa Fe LLC
3.00%, 4/1/25

     18,000        18,418  

7.00%, 12/15/25

     22,000        25,696  

6.15%, 5/1/37

     10,000        13,313  

5.15%, 9/1/43

     48,000        59,258  

3.90%, 8/1/46

     5,000        5,313  

Burlington Resources LLC
7.40%, 12/1/31

     14,000        19,487  

Camden Property Trust
3.15%, 7/1/29

     25,000        25,540  

2.80%, 5/15/30

     25,000        24,791  

Campbell Soup Co.
4.15%, 3/15/28

     20,000        21,374  

Capital One Financial Corp.
2.60%, 5/11/23

     95,000        95,922  

3.50%, 6/15/23

     48,000        49,048  

4.20%, 10/29/25

     25,000        26,265  

3.75%, 3/9/27

     20,000        20,910  

Cardinal Health, Inc.
3.20%, 3/15/23

     25,000        25,388  

4.90%, 9/15/45

     50,000        54,444  

Carlisle Cos., Inc.
3.75%, 12/1/27

     18,000        18,811  

 

See Notes to Financial Statements.

 

60   WisdomTree Trust


Table of Contents

Schedule of Investments (unaudited) (continued)

WisdomTree Interest Rate Hedged U.S. Aggregate Bond Fund (AGZD)

February 28, 2022

 

 

 

Investments    Principal
Amount
     Value  

Carrier Global Corp.
2.72%, 2/15/30

   $ 25,000      $ 24,317  

Caterpillar Financial Services Corp.
3.75%, 11/24/23(b)

     33,000        34,250  

Caterpillar, Inc.
3.40%, 5/15/24

     35,000        36,154  

3.80%, 8/15/42

     25,000        26,689  

3.25%, 9/19/49

     40,000        39,498  

Cboe Global Markets, Inc.
3.65%, 1/12/27

     5,000        5,253  

1.63%, 12/15/30(b)

     50,000        45,158  

CBRE Services, Inc.
4.88%, 3/1/26

     30,000        32,624  

CC Holdings GS V LLC / Crown Castle GS III Corp.
3.85%, 4/15/23

     30,000        30,731  

CenterPoint Energy Resources Corp.
4.10%, 9/1/47

     5,000        5,221  

Charles Schwab Corp.
3.25%, 5/22/29

     25,000        25,770  

1.65%, 3/11/31

     70,000        63,609  

Charter Communications Operating LLC / Charter Communications Operating Capital
4.50%, 2/1/24

     18,000        18,739  

5.05%, 3/30/29

     375,000        409,462  

2.30%, 2/1/32

     505,000        449,086  

6.38%, 10/23/35

     5,000        5,987  

6.48%, 10/23/45

     15,000        17,908  

5.13%, 7/1/49

     20,000        20,384  

3.70%, 4/1/51

     24,000        20,223  

6.83%, 10/23/55

     73,000        90,768  

3.85%, 4/1/61

     14,000        11,593  

Cheniere Corpus Christi Holdings LLC
5.13%, 6/30/27

     25,000        27,301  

Chevron Corp.
2.57%, 5/16/23

     100,000        101,256  

Chevron USA, Inc.
0.43%, 8/11/23

     100,000        98,561  

3.90%, 11/15/24

     5,000        5,247  

0.69%, 8/12/25(b)

     15,000        14,332  

3.25%, 10/15/29

     26,000        27,154  

Children’s Hospital Corp.
4.12%, 1/1/47, Series 2017

     25,000        28,506  

Chubb INA Holdings, Inc.
2.70%, 3/13/23(b)

     118,000        119,435  

3.15%, 3/15/25

     18,000        18,643  

Church & Dwight Co., Inc.
2.88%, 10/1/22

     5,000        5,051  

Cigna Corp.
3.00%, 7/15/23

     15,000        15,230  

3.75%, 7/15/23

     8,000        8,213  

0.61%, 3/15/24

     100,000        97,602  

3.40%, 3/1/27

     10,000        10,368  

3.05%, 10/15/27

     350,000        356,650  

6.13%, 11/15/41

     14,000        18,183  

3.88%, 10/15/47

     5,000        4,905  

4.90%, 12/15/48

     30,000        34,102  

Cintas Corp. No. 2
2.90%, 4/1/22

   5,000      5,009  

3.25%, 6/1/22

     28,000        28,079  

3.70%, 4/1/27

     23,000        24,311  

Cisco Systems, Inc.
2.20%, 9/20/23

     36,000        36,377  

3.63%, 3/4/24

     35,000        36,333  

5.90%, 2/15/39

     40,000        53,222  

Citigroup, Inc.
3.30%, 4/27/25

     9,000        9,223  

5.50%, 9/13/25

     10,000        10,917  

3.70%, 1/12/26

     9,000        9,410  

3.40%, 5/1/26

     10,000        10,311  

3.20%, 10/21/26

     130,000        132,593  

1.12%, 1/28/27, (1.122% fixed rate until 1/28/26; Secured Overnight Financing Rate + 0.765% thereafter)(d)

     10,000        9,424  

4.45%, 9/29/27

     214,000        228,727  

3.52%, 10/27/28, (3.52% fixed rate until 10/27/27; 3-month U.S. dollar London Interbank Offered Rate + 1.151% thereafter)(d)

     74,000        76,100  

4.08%, 4/23/29, (4.075% fixed rate until 4/23/28; 3-month U.S. dollar London Interbank Offered Rate + 1.192% thereafter)(d)

     10,000        10,554  

3.98%, 3/20/30, (3.98% fixed rate until 3/20/29; 3-month U.S. dollar London Interbank Offered Rate + 1.338% thereafter)(d)

     550,000        579,579  

4.41%, 3/31/31, (4.412% fixed rate until 3/31/30; Secured Overnight Financing Rate + 3.914% thereafter)(d)

     20,000        21,720  

2.57%, 6/3/31, (2.572% fixed rate until 6/3/30; Secured Overnight Financing Rate + 2.107% thereafter)(d)

     8,000        7,634  

6.63%, 6/15/32

     455,000        571,635  

8.13%, 7/15/39

     10,000        15,669  

6.68%, 9/13/43

     19,000        26,318  

4.28%, 4/24/48, (4.281% fixed rate until 4/24/47; 3-month U.S. dollar London Interbank Offered Rate + 1.839% thereafter)(d)

     10,000        11,065  

4.65%, 7/23/48

     110,000        128,639  

Citizens Financial Group, Inc.
3.25%, 4/30/30

     25,000        25,295  

Citrix Systems, Inc.
3.30%, 3/1/30(b)

     30,000        30,159  

Cleco Corporate Holdings LLC
3.74%, 5/1/26

     23,000        23,955  

Clorox Co.
3.50%, 12/15/24

     40,000        41,511  

CME Group, Inc.
3.00%, 3/15/25

     105,000        107,847  

5.30%, 9/15/43

     5,000        6,406  

4.15%, 6/15/48

     5,000        5,749  

CNH Industrial Capital LLC
4.38%, 4/5/22

     5,000        5,016  

 

See Notes to Financial Statements.

 

WisdomTree Trust      61  


Table of Contents

Schedule of Investments (unaudited) (continued)

WisdomTree Interest Rate Hedged U.S. Aggregate Bond Fund (AGZD)

February 28, 2022

 

 

 

Investments    Principal
Amount
     Value  

Coca-Cola Co.
2.13%, 9/6/29

   $ 248,000      $ 242,132  

2.60%, 6/1/50

     5,000        4,393  

2.50%, 3/15/51

     5,000        4,295  

2.75%, 6/1/60

     50,000        43,861  

Comcast Corp.
3.70%, 4/15/24

     23,000        23,854  

2.35%, 1/15/27

     20,000        19,962  

3.30%, 2/1/27

     28,000        29,097  

3.55%, 5/1/28

     99,000        103,831  

6.45%, 3/15/37

     27,000        36,335  

4.60%, 10/15/38(b)

     15,000        16,865  

3.40%, 7/15/46

     10,000        9,604  

4.00%, 8/15/47

     40,000        41,737  

3.97%, 11/1/47

     328,000        339,792  

4.70%, 10/15/48

     17,000        19,598  

4.00%, 11/1/49

     100,000        104,013  

4.05%, 11/1/52

     278,000        294,193  

4.95%, 10/15/58(b)

     28,000        34,170  

CommonSpirit Health
3.35%, 10/1/29

     27,000        27,363  

4.35%, 11/1/42

     10,000        10,473  

Commonwealth Edison Co.
4.70%, 1/15/44(b)

     15,000        17,369  

Conagra Brands, Inc.
1.38%, 11/1/27

     25,000        22,995  

7.00%, 10/1/28

     19,000        23,410  

Connecticut Light & Power Co.
4.30%, 4/15/44

     15,000        16,606  

ConocoPhillips
4.95%, 3/15/26

     25,000        27,408  

6.50%, 2/1/39

     54,000        75,002  

Consolidated Edison Co. of New York, Inc.
3.88%, 6/15/47, Series 2017

     20,000        19,985  

4.00%, 11/15/57, Series C

     43,000        43,329  

Constellation Brands, Inc.
3.15%, 8/1/29

     75,000        75,109  

5.25%, 11/15/48

     19,000        22,153  

Consumers Energy Co.
3.95%, 7/15/47

     50,000        53,019  

Corning, Inc.
4.38%, 11/15/57

     50,000        52,739  

5.85%, 11/15/68

     18,000        23,287  

5.45%, 11/15/79

     10,000        11,598  

Costco Wholesale Corp.
3.00%, 5/18/27

     5,000        5,188  

1.60%, 4/20/30

     40,000        37,105  

1.75%, 4/20/32

     30,000        27,677  

Crown Castle International Corp.
3.15%, 7/15/23

     18,000        18,322  

4.30%, 2/15/29

     55,000        58,552  

3.30%, 7/1/30

     25,000        24,825  

4.75%, 5/15/47

     50,000        55,098  

3.25%, 1/15/51

     15,000        13,008  

CSX Corp.
2.40%, 2/15/30(b)

     50,000        48,599  

4.30%, 3/1/48

     45,000        49,575  

4.50%, 8/1/54

     18,000        20,629  

CVS Health Corp.
6.25%, 6/1/27

   48,000      56,160  

3.25%, 8/15/29

     25,000        25,446  

1.88%, 2/28/31

     105,000        95,525  

4.88%, 7/20/35

     48,000        55,235  

4.78%, 3/25/38

     25,000        28,001  

5.30%, 12/5/43

     48,000        57,176  

5.05%, 3/25/48

     60,000        70,133  

CyrusOne LP / CyrusOne Finance Corp.
3.45%, 11/15/29

     25,000        26,588  

D.R. Horton, Inc.
4.38%, 9/15/22

     18,000        18,172  

Danaher Corp.
2.60%, 10/1/50

     5,000        4,277  

Darden Restaurants, Inc.
3.85%, 5/1/27(b)

     68,000        71,645  

Dell International LLC / EMC Corp.
5.45%, 6/15/23

     43,000        44,764  

6.02%, 6/15/26

     15,000        16,780  

4.90%, 10/1/26

     25,000        27,112  

8.35%, 7/15/46

     12,000        18,276  

Devon Energy Corp.
5.60%, 7/15/41

     15,000        17,549  

Digital Realty Trust LP
3.60%, 7/1/29

     50,000        51,547  

Dignity Health
5.27%, 11/1/64

     25,000        31,282  

Discover Financial Services
4.10%, 2/9/27

     35,000        36,729  

Discovery Communications LLC
5.20%, 9/20/47

     10,000        10,880  

4.00%, 9/15/55

     47,000        42,817  

Dollar General Corp.
3.50%, 4/3/30

     50,000        51,279  

Dollar Tree, Inc.
4.20%, 5/15/28(b)

     50,000        53,458  

Dominion Energy South Carolina, Inc.
5.10%, 6/1/65

     34,000        42,563  

Dominion Energy, Inc.
3.90%, 10/1/25

     5,000        5,226  

5.95%, 6/15/35, Series B

     5,000        6,137  

4.60%, 3/15/49, Series A

     25,000        27,838  

Dover Corp.
3.15%, 11/15/25

     23,000        23,744  

Dow Chemical Co.
7.38%, 11/1/29

     3,000        3,892  

4.25%, 10/1/34

     17,000        18,406  

9.40%, 5/15/39

     15,000        25,287  

4.38%, 11/15/42

     5,000        5,362  

DTE Electric Co.
1.90%, 4/1/28, Series A

     65,000        62,653  

3.75%, 8/15/47

     50,000        51,695  

Duke Energy Carolinas LLC
3.70%, 12/1/47

     48,000        48,471  

Duke Energy Corp.
3.15%, 8/15/27

     170,000        173,730  

 

See Notes to Financial Statements.

 

62   WisdomTree Trust


Table of Contents

Schedule of Investments (unaudited) (continued)

WisdomTree Interest Rate Hedged U.S. Aggregate Bond Fund (AGZD)

February 28, 2022

 

 

 

Investments    Principal
Amount
     Value  

Duke Energy Florida LLC
6.40%, 6/15/38(b)

   $ 43,500      $ 58,332  

Duke Energy Indiana LLC
2.75%, 4/1/50

     415,000        354,783  

Duke Energy Ohio, Inc.
3.80%, 9/1/23

     18,000        18,456  

Duke Realty LP
3.05%, 3/1/50

     46,000        40,791  

Eastman Chemical Co.
4.80%, 9/1/42

     48,000        52,788  

Eaton Vance Corp.
3.50%, 4/6/27(b)

     18,000        18,702  

eBay, Inc.
4.00%, 7/15/42

     15,000        15,150  

Ecolab, Inc.
2.70%, 11/1/26

     5,000        5,095  

3.25%, 12/1/27

     25,000        26,218  

Emerson Electric Co.
1.80%, 10/15/27

     35,000        33,756  

Enbridge Energy Partners LP
5.88%, 10/15/25

     5,000        5,539  

Energy Transfer LP
4.25%, 3/15/23

     25,000        25,491  

4.20%, 9/15/23, Series 5Y

     5,000        5,147  

5.88%, 1/15/24

     40,000        42,262  

4.25%, 4/1/24

     20,000        20,672  

4.50%, 4/15/24

     30,000        31,255  

3.90%, 5/15/24

     48,000        49,333  

3.90%, 7/15/26

     5,000        5,176  

4.20%, 4/15/27

     20,000        20,852  

4.90%, 3/15/35

     38,000        40,038  

6.63%, 10/15/36

     94,000        111,429  

Entergy Louisiana LLC
3.12%, 9/1/27

     15,000        15,384  

4.00%, 3/15/33

     85,000        91,772  

4.20%, 9/1/48

     40,000        43,259  

Entergy Texas, Inc.
1.75%, 3/15/31

     200,000        180,594  

3.55%, 9/30/49

     25,000        23,943  

Enterprise Products Operating LLC
3.35%, 3/15/23

     82,000        83,129  

6.88%, 3/1/33, Series D

     44,000        56,731  

4.45%, 2/15/43

     65,000        67,240  

4.25%, 2/15/48

     344,000        350,137  

Equinix, Inc.
2.95%, 9/15/51

     30,000        24,710  

Equitable Holdings, Inc.
4.35%, 4/20/28

     339,000        363,201  

ERP Operating LP
3.00%, 4/15/23

     19,000        19,245  

3.00%, 7/1/29

     50,000        50,617  

Essex Portfolio LP
1.65%, 1/15/31

     25,000        22,189  

2.65%, 9/1/50

     30,000        24,256  

Estee Lauder Cos., Inc.
2.00%, 12/1/24

     25,000        25,130  

1.95%, 3/15/31(b)

     40,000        37,696  

Eversource Energy
4.25%, 4/1/29, Series O

   15,000      16,152  

Exelon Corp.
5.10%, 6/15/45

     33,000        38,429  

4.70%, 4/15/50

     25,000        28,383  

Expedia Group, Inc.
3.80%, 2/15/28

     5,000        5,145  

Exxon Mobil Corp.
2.73%, 3/1/23

     25,000        25,302  

1.57%, 4/15/23(b)

     25,000        25,072  

2.02%, 8/16/24

     10,000        10,059  

3.04%, 3/1/26

     23,000        23,813  

2.28%, 8/16/26(b)

     50,000        50,280  

2.44%, 8/16/29(b)

     15,000        14,776  

2.61%, 10/15/30

     60,000        59,534  

4.33%, 3/19/50

     350,000        397,243  

FedEx Corp.
4.20%, 10/17/28

     18,000        19,701  

3.90%, 2/1/35

     19,000        19,933  

3.88%, 8/1/42

     5,000        5,002  

4.75%, 11/15/45

     5,000        5,575  

4.40%, 1/15/47

     63,000        67,135  

Fifth Third Bancorp
2.55%, 5/5/27

     20,000        19,969  

3.95%, 3/14/28

     25,000        26,571  

8.25%, 3/1/38

     20,000        30,450  

Fiserv, Inc.
3.20%, 7/1/26

     55,000        56,213  

4.20%, 10/1/28

     15,000        16,006  

Florida Power & Light Co.
3.70%, 12/1/47

     5,000        5,185  

4.13%, 6/1/48

     53,000        59,329  

Fortune Brands Home & Security, Inc.
4.00%, 9/21/23

     25,000        25,723  

3.25%, 9/15/29

     15,000        15,256  

Fox Corp.
5.48%, 1/25/39

     25,000        29,205  

Franklin Resources, Inc.
2.85%, 3/30/25

     25,000        25,519  

GE Capital International Funding Co. Unlimited Co.
4.42%, 11/15/35

     100,000        112,766  

General Dynamics Corp.
3.75%, 5/15/28

     23,000        24,493  

4.25%, 4/1/40

     35,000        39,225  

General Electric Co.
6.75%, 3/15/32, Series MTNA

     378,000        488,467  

5.88%, 1/14/38

     24,000        30,171  

General Mills, Inc.
3.70%, 10/17/23

     15,000        15,438  

3.00%, 2/1/51

     28,000        25,483  

General Motors Co.
4.20%, 10/1/27(b)

     71,000        74,923  

General Motors Financial Co., Inc.
4.00%, 1/15/25

     101,000        104,576  

4.35%, 4/9/25

     490,000        512,912  

4.30%, 7/13/25

     30,000        31,337  

 

See Notes to Financial Statements.

 

WisdomTree Trust      63  


Table of Contents

Schedule of Investments (unaudited) (continued)

WisdomTree Interest Rate Hedged U.S. Aggregate Bond Fund (AGZD)

February 28, 2022

 

 

 

Investments    Principal
Amount
     Value  

4.35%, 1/17/27

   $ 30,000      $ 31,636  

2.35%, 1/8/31

     100,000        90,768  

George Washington University
4.13%, 9/15/48, Series 2018

     26,000        29,314  

Georgia Power Co.
2.10%, 7/30/23, Series A

     172,000        172,863  

3.25%, 4/1/26

     25,000        25,728  

4.30%, 3/15/43

     289,000        299,190  

Georgia-Pacific LLC
8.00%, 1/15/24

     350,000        389,784  

7.75%, 11/15/29

     5,000        6,669  

Gilead Sciences, Inc.
3.50%, 2/1/25

     5,000        5,174  

3.65%, 3/1/26

     69,000        72,047  

1.20%, 10/1/27

     50,000        46,539  

5.65%, 12/1/41

     38,000        47,645  

4.80%, 4/1/44

     25,000        28,416  

4.50%, 2/1/45

     488,000        535,468  

Global Payments, Inc.
3.75%, 6/1/23

     23,000        23,427  

GLP Capital LP / GLP Financing II, Inc.
5.38%, 11/1/23

     18,000        18,773  

5.25%, 6/1/25

     15,000        15,881  

5.75%, 6/1/28

     23,000        25,466  

Goldman Sachs Capital I
6.35%, 2/15/34

     19,000        23,828  

Goldman Sachs Group, Inc.
4.00%, 3/3/24

     15,000        15,542  

3.50%, 1/23/25

     25,000        25,731  

3.27%, 9/29/25, (3.272% fixed rate until 9/29/24; 3-month U.S. dollar London Interbank Offered Rate + 1.201% thereafter)(d)

     25,000        25,461  

3.75%, 2/25/26(b)

     50,000        52,103  

5.95%, 1/15/27

     23,000        25,996  

3.85%, 1/26/27

     15,000        15,631  

3.69%, 6/5/28, (3.691% fixed rate until 6/5/27; 3-month U.S. dollar London Interbank Offered Rate + 1.51% thereafter)(d)

     23,000        23,827  

3.81%, 4/23/29, (3.814% fixed rate until 4/23/28; 3-month U.S. dollar London Interbank Offered Rate + 1.158% thereafter)(d)

     21,000        21,825  

4.22%, 5/1/29, (4.223% fixed rate until 5/1/28; 3-month U.S. dollar London Interbank Offered Rate + 1.301% thereafter)(d)

     100,000        106,132  

3.80%, 3/15/30

     10,000        10,429  

6.13%, 2/15/33

     9,000        11,168  

6.45%, 5/1/36

     22,000        28,118  

6.75%, 10/1/37

     25,000        32,861  

4.02%, 10/31/38, (4.017% fixed rate until 10/31/37; 3-month U.S. dollar London Interbank Offered Rate + 1.373% thereafter)(d)

     10,000        10,567  

4.41%, 4/23/39, (4.411% fixed rate until 4/23/38; 3-month U.S. dollar London Interbank Offered Rate + 1.43% thereafter)(d)

   5,000      5,425  

6.25%, 2/1/41

     10,000        13,160  

5.15%, 5/22/45

     53,000        62,369  

Hackensack Meridian Health, Inc.
2.68%, 9/1/41, Series 2020

     40,000        35,964  

Halliburton Co.
6.70%, 9/15/38

     18,000        23,288  

4.50%, 11/15/41

     290,000        301,121  

Hasbro, Inc.
3.55%, 11/19/26

     20,000        20,672  

3.50%, 9/15/27

     15,000        15,441  

HCA, Inc.
4.75%, 5/1/23

     36,000        37,089  

4.13%, 6/15/29

     50,000        52,500  

Healthcare Trust of America Holdings LP
3.75%, 7/1/27

     5,000        5,267  

Healthpeak Properties, Inc.
6.75%, 2/1/41

     40,000        56,037  

Hershey Co.
2.30%, 8/15/26

     93,000        93,774  

Hess Corp.
4.30%, 4/1/27

     30,000        31,754  

7.88%, 10/1/29

     200,000        258,668  

7.13%, 3/15/33

     25,000        31,898  

6.00%, 1/15/40

     48,000        57,254  

Hewlett Packard Enterprise Co.
6.20%, 10/15/35

     23,000        27,563  

Home Depot, Inc.
2.80%, 9/14/27(b)

     23,000        23,566  

0.90%, 3/15/28(b)

     100,000        91,982  

1.38%, 3/15/31(b)

     100,000        89,587  

5.88%, 12/16/36

     15,000        19,833  

4.20%, 4/1/43

     25,000        27,805  

4.88%, 2/15/44

     11,000        13,234  

Honeywell International, Inc.
2.50%, 11/1/26

     10,000        10,140  

2.70%, 8/15/29(b)

     510,000        514,493  

Hormel Foods Corp.
1.80%, 6/11/30

     30,000        28,047  

HP, Inc.
3.00%, 6/17/27(b)

     25,000        25,225  

Hubbell, Inc.
3.15%, 8/15/27

     48,000        49,196  

Hudson Pacific Properties LP
3.95%, 11/1/27

     5,000        5,205  

Humana, Inc.
4.80%, 3/15/47

     23,000        26,506  

Huntington Bancshares, Inc.
4.00%, 5/15/25

     25,000        26,149  

Huntington Ingalls Industries, Inc.
3.84%, 5/1/25

     15,000        15,529  

Hyatt Hotels Corp.
3.38%, 7/15/23

     48,000        48,614  

 

See Notes to Financial Statements.

 

64   WisdomTree Trust


Table of Contents

Schedule of Investments (unaudited) (continued)

WisdomTree Interest Rate Hedged U.S. Aggregate Bond Fund (AGZD)

February 28, 2022

 

 

 

Investments    Principal
Amount
     Value  

Illinois Tool Works, Inc.
2.65%, 11/15/26

   $ 65,000      $ 66,498  

Intel Corp.
3.70%, 7/29/25

     25,000        26,178  

3.75%, 3/25/27

     50,000        53,211  

3.90%, 3/25/30(b)

     25,000        26,968  

4.10%, 5/19/46

     45,000        48,186  

4.10%, 5/11/47

     18,000        19,292  

3.25%, 11/15/49

     20,000        18,713  

4.75%, 3/25/50

     45,000        52,880  

Intercontinental Exchange, Inc.
3.75%, 12/1/25

     5,000        5,250  

3.10%, 9/15/27

     5,000        5,137  

International Business Machines Corp.
3.45%, 2/19/26

     100,000        104,357  

6.22%, 8/1/27

     49,000        58,273  

5.88%, 11/29/32

     24,000        30,103  

4.00%, 6/20/42

     300,000        316,194  

4.25%, 5/15/49(b)

     20,000        22,004  

International Flavors & Fragrances, Inc.
5.00%, 9/26/48

     5,000        5,713  

International Paper Co.
7.30%, 11/15/39

     25,000        35,279  

4.80%, 6/15/44

     4,000        4,539  

4.35%, 8/15/48

     19,000        20,693  

Invesco Finance PLC
4.00%, 1/30/24

     18,000        18,602  

ITC Holdings Corp.
5.30%, 7/1/43

     15,000        18,288  

Jabil, Inc.
3.95%, 1/12/28

     50,000        52,304  

Janus Henderson US Holdings, Inc.
4.88%, 8/1/25

     18,000        19,236  

Jefferies Group LLC
6.45%, 6/8/27

     25,000        29,330  

John Deere Capital Corp.
2.80%, 3/6/23

     24,000        24,335  

3.45%, 6/7/23

     5,000        5,124  

3.45%, 3/13/25(b)

     25,000        26,043  

2.80%, 9/8/27

     37,000        37,966  

2.45%, 1/9/30

     35,000        34,634  

Johnson & Johnson
2.63%, 1/15/25

     48,000        49,043  

2.95%, 3/3/27

     21,000        21,806  

3.55%, 3/1/36

     14,000        15,095  

3.40%, 1/15/38

     25,000        25,989  

4.50%, 9/1/40

     19,000        22,268  

3.70%, 3/1/46

     22,000        23,672  

Johnson Controls International PLC
6.00%, 1/15/36

     18,000        23,177  

JPMorgan Chase & Co.
3.88%, 2/1/24

     50,000        51,880  

3.56%, 4/23/24, (3.559% fixed rate until 4/23/23; 3-month U.S. dollar London Interbank Offered Rate + 0.73% thereafter)(d)

     5,000        5,092  

3.80%, 7/23/24, (3.797% fixed rate until 7/23/23; 3-month U.S. dollar London Interbank Offered Rate + 0.89% thereafter)(d)

   10,000      10,241  

0.56%, 2/16/25, (0.563% fixed rate until 2/16/24; Secured Overnight Financing Rate + 0.42% thereafter)(d)

     100,000        97,101  

3.22%, 3/1/25, (3.22% fixed rate until 3/1/24; 3-month U.S. dollar London Interbank Offered Rate + 1.155% thereafter)(d)

     40,000        40,712  

2.01%, 3/13/26, (2.005% fixed rate until 3/13/25; Secured Overnight Financing Rate + 1.585% thereafter)(d)

     375,000        369,034  

3.30%, 4/1/26

     10,000        10,317  

1.05%, 11/19/26, (1.045% fixed rate until 11/19/25; Secured Overnight Financing Rate + 0.80% thereafter)(d)

     50,000        47,041  

3.54%, 5/1/28, (3.54% fixed rate until 5/1/27; 3-month U.S. dollar London Interbank Offered Rate + 1.38% thereafter)(d)

     50,000        51,689  

3.51%, 1/23/29, (3.509% fixed rate until 1/23/28; 3-month U.S. dollar London Interbank Offered Rate + 0.945% thereafter)(d)

     23,000        23,650  

4.20%, 7/23/29, (4.203% fixed rate until 7/23/28; 3-month U.S. dollar London Interbank Offered Rate + 1.26% thereafter)(d)

     45,000        47,965  

4.45%, 12/5/29, (4.452% fixed rate until 12/5/28; 3-month U.S. dollar London Interbank Offered Rate + 1.33% thereafter)(d)

     18,000        19,473  

3.70%, 5/6/30, (3.702% fixed rate until 5/6/29; 3-month U.S. dollar London Interbank Offered Rate + 1.16% thereafter)(d)

     15,000        15,586  

4.49%, 3/24/31, (4.493% fixed rate until 3/24/30; Secured Overnight Financing Rate + 3.79% thereafter)(d)

     15,000        16,473  

2.52%, 4/22/31, (2.522% fixed rate until 4/22/30; Secured Overnight Financing Rate + 2.04% thereafter)(d)

     15,000        14,427  

1.76%, 11/19/31, (1.764% fixed rate until 11/19/30; Secured Overnight Financing Rate + 1.105% thereafter)(d)

     155,000        139,568  

6.40%, 5/15/38

     10,000        13,454  

2.53%, 11/19/41, (2.525% fixed rate until 11/19/40; Secured Overnight Financing Rate + 1.51% thereafter)(d)

     65,000        56,360  

5.63%, 8/16/43

     318,000        401,628  

4.85%, 2/1/44

     25,000        29,761  

3.90%, 1/23/49, (3.897% fixed rate until 1/23/48; 3-month U.S. dollar London Interbank Offered Rate + 1.22% thereafter)(d)

     48,000        50,132  

3.11%, 4/22/51, (3.109% fixed rate until 4/22/50; Secured Overnight Financing Rate + 2.44% thereafter)(d)

     80,000        74,303  

 

See Notes to Financial Statements.

 

WisdomTree Trust      65  


Table of Contents

Schedule of Investments (unaudited) (continued)

WisdomTree Interest Rate Hedged U.S. Aggregate Bond Fund (AGZD)

February 28, 2022

 

 

 

Investments    Principal
Amount
     Value  

Kaiser Foundation Hospitals
3.15%, 5/1/27

   $ 24,000      $ 24,899  

4.15%, 5/1/47

     9,000        10,140  

3.00%, 6/1/51, Series 2021

     10,000        9,295  

Kansas City Southern
4.95%, 8/15/45

     430,000        504,454  

Kellogg Co.
3.40%, 11/15/27(b)

     100,000        103,720  

Keurig Dr. Pepper, Inc.
3.13%, 12/15/23

     25,000        25,515  

2.55%, 9/15/26

     8,000        8,012  

4.42%, 12/15/46

     48,000        51,383  

KeyCorp
4.15%, 10/29/25

     244,000        259,121  

2.55%, 10/1/29

     13,000        12,647  

Keysight Technologies, Inc.
4.60%, 4/6/27

     25,000        27,304  

Kimberly-Clark Corp.
1.05%, 9/15/27(b)

     35,000        32,878  

3.90%, 5/4/47

     50,000        54,292  

Kimco Realty Corp.
3.30%, 2/1/25

     18,000        18,486  

2.80%, 10/1/26

     5,000        5,029  

3.70%, 10/1/49

     300,000        292,473  

Kinder Morgan Energy Partners LP
3.45%, 2/15/23

     5,000        5,055  

3.50%, 9/1/23

     5,000        5,099  

4.30%, 5/1/24

     10,000        10,378  

5.50%, 3/1/44

     18,000        20,253  

5.40%, 9/1/44

     19,000        21,230  

Kinder Morgan, Inc.
4.30%, 3/1/28

     35,000        37,321  

7.75%, 1/15/32

     5,000        6,625  

5.30%, 12/1/34

     600,000        676,980  

5.55%, 6/1/45

     15,000        17,208  

KLA Corp.
4.65%, 11/1/24

     15,000        15,884  

3.30%, 3/1/50

     25,000        23,713  

Kroger Co.
3.70%, 8/1/27

     64,000        67,479  

5.15%, 8/1/43

     18,000        21,050  

5.40%, 1/15/49

     19,000        23,655  

Laboratory Corp. of America Holdings
2.30%, 12/1/24

     411,000        411,197  

Lam Research Corp.
4.00%, 3/15/29

     19,000        20,615  

Legg Mason, Inc.
5.63%, 1/15/44

     5,000        6,261  

Linde, Inc.
3.20%, 1/30/26(b)

     25,000        25,970  

2.00%, 8/10/50

     15,000        11,925  

Lockheed Martin Corp.
6.15%, 9/1/36, Series B

     39,000        51,669  

4.09%, 9/15/52

     24,000        26,633  

Lowe’s Cos., Inc.
3.12%, 4/15/22

     5,000        5,010  

2.50%, 4/15/26

     30,000        30,332  

2.63%, 4/1/31(b)

   10,000      9,672  

4.05%, 5/3/47

     15,000        15,434  

Lubrizol Corp.
6.50%, 10/1/34

     39,000        53,384  

LYB International Finance BV
4.88%, 3/15/44

     5,000        5,513  

LYB International Finance III LLC
3.80%, 10/1/60

     5,000        4,544  

LyondellBasell Industries NV
4.63%, 2/26/55

     20,000        21,198  

Magellan Midstream Partners LP
4.20%, 10/3/47

     13,000        12,889  

Main Street Capital Corp.
5.20%, 5/1/24

     25,000        25,823  

Marathon Oil Corp.
6.80%, 3/15/32

     5,000        6,162  

Marathon Petroleum Corp.
6.50%, 3/1/41

     25,000        31,881  

5.00%, 9/15/54

     50,000        54,027  

Marriott International, Inc.
3.50%, 10/15/32, Series GG

     320,000        319,469  

Marsh & McLennan Cos., Inc.
3.30%, 3/14/23

     18,000        18,284  

3.75%, 3/14/26

     40,000        42,252  

4.20%, 3/1/48

     5,000        5,416  

4.90%, 3/15/49

     20,000        23,999  

Martin Marietta Materials, Inc.
4.25%, 7/2/24

     35,000        36,570  

3.50%, 12/15/27

     5,000        5,260  

Marvell Technology, Inc.
4.20%, 6/22/23

     5,000        5,143  

4.88%, 6/22/28

     15,000        16,405  

Mass General Brigham, Inc.
3.19%, 7/1/49, Series 2020(b)

     300,000        291,444  

3.34%, 7/1/60, Series 2020

     25,000        23,626  

Massachusetts Institute of Technology
3.89%, 7/1/2116

     19,000        20,366  

Mastercard, Inc.
3.65%, 6/1/49

     20,000        21,190  

McCormick & Co., Inc.
4.20%, 8/15/47

     50,000        55,399  

McDonald’s Corp.
3.38%, 5/26/25

     5,000        5,185  

6.30%, 10/15/37

     19,000        25,223  

3.70%, 2/15/42

     159,000        158,610  

4.45%, 3/1/47

     15,000        16,475  

3.63%, 9/1/49

     40,000        39,420  

4.20%, 4/1/50

     285,000        305,420  

Medtronic, Inc.
4.38%, 3/15/35

     10,000        11,482  

Merck & Co., Inc.
2.80%, 5/18/23

     25,000        25,436  

6.50%, 12/1/33

     50,000        67,615  

2.35%, 6/24/40

     5,000        4,410  

2.45%, 6/24/50(b)

     5,000        4,273  

MetLife, Inc.
3.60%, 11/13/25

     69,000        72,242  

 

See Notes to Financial Statements.

 

66   WisdomTree Trust


Table of Contents

Schedule of Investments (unaudited) (continued)

WisdomTree Interest Rate Hedged U.S. Aggregate Bond Fund (AGZD)

February 28, 2022

 

 

 

Investments    Principal
Amount
     Value  

Microsoft Corp.
2.40%, 8/8/26

   $ 69,000      $ 70,154  

3.30%, 2/6/27

     92,000        97,305  

4.10%, 2/6/37

     48,000        54,996  

4.50%, 10/1/40

     75,000        90,211  

3.70%, 8/8/46

     12,000        12,995  

4.25%, 2/6/47(b)

     18,000        21,281  

2.53%, 6/1/50

     415,000        369,134  

2.92%, 3/17/52

     50,000        47,882  

4.50%, 2/6/57(b)

     18,000        22,590  

MidAmerican Energy Co.
4.80%, 9/15/43

     15,000        17,515  

3.15%, 4/15/50

     9,000        8,513  

Molson Coors Beverage Co.
5.00%, 5/1/42

     30,000        32,956  

Mondelez International, Inc.
1.50%, 5/4/25

     50,000        48,734  

Moody’s Corp.
3.25%, 1/15/28

     18,000        18,682  

2.55%, 8/18/60

     10,000        7,590  

Morgan Stanley
4.10%, 5/22/23

     50,000        51,325  

3.74%, 4/24/24, (3.737% fixed rate until 4/24/23; 3-month U.S. dollar London Interbank Offered Rate + 0.847% thereafter)(d)

     30,000        30,584  

3.88%, 4/29/24, Series F

     15,000        15,509  

3.70%, 10/23/24

     67,000        69,326  

2.72%, 7/22/25, (2.72% fixed rate until 7/22/24; Secured Overnight Financing Rate + 1.152% thereafter)(d)

     325,000        326,950  

4.00%, 7/23/25

     9,000        9,440  

3.88%, 1/27/26

     11,000        11,490  

3.13%, 7/27/26

     9,000        9,173  

4.35%, 9/8/26

     515,000        547,373  

3.59%, 7/22/28, (3.591% fixed rate until 7/22/27; 3-month U.S. dollar London Interbank Offered Rate + 1.34% thereafter)(d)

     172,000        177,826  

3.77%, 1/24/29, (3.772% fixed rate until 1/24/28; 3-month U.S. dollar London Interbank Offered Rate + 1.14% thereafter)(d)

     264,000        274,404  

4.43%, 1/23/30, (4.431% fixed rate until 1/23/29; 3-month U.S. dollar London Interbank Offered Rate + 1.628% thereafter)(d)

     45,000        48,603  

2.70%, 1/22/31, (2.699% fixed rate until 1/22/30; Secured Overnight Financing Rate + 1.143% thereafter)(d)

     15,000        14,560  

3.62%, 4/1/31, (3.622% fixed rate until 4/1/30; Secured Overnight Financing Rate + 3.12% thereafter)(d)

     15,000        15,506  

3.97%, 7/22/38, (3.971% fixed rate until 7/22/37; 3-month U.S. dollar London Interbank Offered Rate + 1.455% thereafter)(d)

     19,000        20,039  

4.38%, 1/22/47

     14,000        15,603  

5.60%, 3/24/51, (5.597% fixed rate until 3/24/50; Secured Overnight Financing Rate + 4.84% thereafter)(d)

   8,000      10,689  

2.80%, 1/25/52, (2.802% fixed rate until 1/25/51; Secured Overnight Financing Rate + 1.43% thereafter)(d)

     10,000        8,744  

Mosaic Co.
4.88%, 11/15/41

     10,000        10,999  

5.63%, 11/15/43

     25,000        30,869  

Motorola Solutions, Inc.
2.30%, 11/15/30

     25,000        22,992  

Mount Sinai Hospitals Group, Inc.
3.98%, 7/1/48, Series 2017

     5,000        5,415  

3.74%, 7/1/49, Series 2019

     25,000        25,390  

MPLX LP
4.13%, 3/1/27(b)

     100,000        105,476  

4.00%, 3/15/28

     18,000        18,796  

4.70%, 4/15/48

     50,000        51,998  

National Rural Utilities Cooperative Finance Corp.
3.25%, 11/1/25

     10,000        10,310  

3.40%, 2/7/28

     5,000        5,173  

3.90%, 11/1/28

     18,000        19,228  

4.02%, 11/1/32

     18,000        19,465  

NBCUniversal Media LLC
5.95%, 4/1/41

     5,000        6,591  

4.45%, 1/15/43

     50,000        54,610  

NetApp, Inc.
3.30%, 9/29/24

     45,000        46,081  

New York and Presbyterian Hospital
2.61%, 8/1/60

     25,000        21,040  

Newmont Corp.
4.88%, 3/15/42

     45,000        51,914  

NextEra Energy Capital Holdings, Inc.
0.65%, 3/1/23

     255,000        252,700  

3.50%, 4/1/29

     20,000        20,611  

NIKE, Inc.
2.40%, 3/27/25

     550,000        558,085  

2.85%, 3/27/30

     17,000        17,298  

3.88%, 11/1/45

     5,000        5,421  

3.38%, 11/1/46

     20,000        19,998  

NiSource, Inc.
3.49%, 5/15/27

     10,000        10,341  

5.25%, 2/15/43

     20,000        22,789  

5.65%, 2/1/45

     5,000        5,945  

4.38%, 5/15/47

     25,000        26,229  

3.95%, 3/30/48

     18,000        17,701  

Norfolk Southern Corp.
3.15%, 6/1/27

     23,000        23,725  

4.05%, 8/15/52

     5,000        5,368  

Northrop Grumman Corp.
3.25%, 8/1/23

     48,000        49,066  

3.20%, 2/1/27

     53,000        54,549  

Nucor Corp.
2.70%, 6/1/30

     25,000        24,612  

NVIDIA Corp.
2.85%, 4/1/30

     10,000        10,132  

3.70%, 4/1/60

     20,000        20,950  

 

See Notes to Financial Statements.

 

WisdomTree Trust      67  


Table of Contents

Schedule of Investments (unaudited) (continued)

WisdomTree Interest Rate Hedged U.S. Aggregate Bond Fund (AGZD)

February 28, 2022

 

 

 

Investments    Principal
Amount
     Value  

NY Society for Relief of Ruptured & Crippled Maintaining Hospital Special Surgery
2.67%, 10/1/50, Series 2020

   $ 460,000      $ 402,426  

NYU Langone Hospitals
3.38%, 7/1/55, Series 2020(b)

     25,000        23,401  

O’Reilly Automotive, Inc.
3.55%, 3/15/26

     25,000        26,017  

3.90%, 6/1/29

     13,000        13,684  

Office Properties Income Trust
4.25%, 5/15/24

     25,000        25,525  

Omega Healthcare Investors, Inc.
4.50%, 4/1/27

     18,000        19,011  

4.75%, 1/15/28

     23,000        24,232  

3.63%, 10/1/29

     49,000        48,365  

Oncor Electric Delivery Co. LLC
0.55%, 10/1/25

     25,000        23,492  

5.75%, 3/15/29

     34,000        40,115  

ONEOK, Inc.
2.75%, 9/1/24

     18,000        18,109  

4.00%, 7/13/27

     18,000        18,758  

4.55%, 7/15/28

     78,000        83,298  

Oracle Corp.
3.63%, 7/15/23(b)

     23,000        23,591  

2.40%, 9/15/23

     50,000        50,368  

2.50%, 4/1/25

     50,000        49,850  

2.65%, 7/15/26

     311,000        309,134  

3.25%, 11/15/27

     17,000        17,220  

2.30%, 3/25/28

     225,000        214,243  

2.95%, 4/1/30

     96,000        92,856  

5.38%, 7/15/40

     10,000        10,988  

4.50%, 7/8/44

     40,000        39,835  

4.00%, 11/15/47

     278,000        254,829  

4.38%, 5/15/55

     75,000        71,525  

Orlando Health Obligated Group
3.33%, 10/1/50

     228,000        224,445  

Owens Corning
4.30%, 7/15/47

     23,000        24,131  

Pacific Gas and Electric Co.
3.45%, 7/1/25

     145,000        146,127  

2.95%, 3/1/26

     20,000        19,685  

2.10%, 8/1/27

     20,000        18,585  

2.50%, 2/1/31

     475,000        423,377  

4.50%, 7/1/40

     25,000        23,839  

3.50%, 8/1/50

     80,000        65,960  

PacifiCorp
4.10%, 2/1/42

     50,000        52,649  

Packaging Corp. of America
3.40%, 12/15/27

     25,000        26,064  

Paramount Global
3.38%, 2/15/28

     5,000        5,110  

6.88%, 4/30/36

     5,000        6,396  

4.90%, 8/15/44

     5,000        5,340  

4.60%, 1/15/45

     50,000        51,102  

4.95%, 5/19/50

     20,000        21,906  

Parker-Hannifin Corp.
3.30%, 11/21/24(b)

     18,000        18,440  

3.25%, 6/14/29

     13,000        13,270  

6.25%, 5/15/38

     15,000        19,756  

PayPal Holdings, Inc.
1.65%, 6/1/25

   100,000      98,034  

PeaceHealth Obligated Group
4.79%, 11/15/48, Series 2018

     400,000        491,544  

PECO Energy Co.
3.90%, 3/1/48

     20,000        21,301  

2.80%, 6/15/50

     350,000        309,904  

PepsiCo, Inc.
3.60%, 3/1/24

     40,000        41,363  

2.63%, 3/19/27

     25,000        25,594  

3.00%, 10/15/27

     53,000        55,142  

2.75%, 3/19/30

     30,000        30,443  

3.38%, 7/29/49

     20,000        20,274  

Pfizer, Inc.
2.95%, 3/15/24

     18,000        18,428  

3.00%, 12/15/26(b)

     10,000        10,409  

7.20%, 3/15/39

     89,000        133,421  

4.30%, 6/15/43

     5,000        5,665  

Philip Morris International, Inc.
3.25%, 11/10/24

     21,000        21,688  

2.10%, 5/1/30

     275,000        258,731  

1.75%, 11/1/30

     100,000        90,755  

4.88%, 11/15/43

     32,000        35,354  

Phillips 66
3.90%, 3/15/28(b)

     11,000        11,536  

5.88%, 5/1/42

     40,000        50,890  

Piedmont Natural Gas Co., Inc.
2.50%, 3/15/31

     25,000        23,712  

Plains All American Pipeline LP / PAA Finance Corp.
3.65%, 6/1/22

     39,500        39,500  

4.50%, 12/15/26

     15,000        16,001  

6.65%, 1/15/37

     48,000        56,949  

PNC Financial Services Group, Inc.
3.90%, 4/29/24

     78,000        81,039  

3.45%, 4/23/29

     50,000        52,503  

2.55%, 1/22/30

     10,000        9,843  

Procter & Gamble Co.
2.80%, 3/25/27

     105,000        108,264  

3.00%, 3/25/30

     50,000        52,199  

Progressive Corp.
3.95%, 3/26/50

     25,000        26,869  

Prologis LP
2.25%, 4/15/30

     25,000        24,032  

1.25%, 10/15/30(b)

     60,000        52,976  

4.38%, 9/15/48

     5,000        5,727  

Prudential Financial, Inc.
5.70%, 12/14/36

     5,000        6,362  

6.63%, 12/1/37

     19,000        25,840  

4.60%, 5/15/44

     5,000        5,701  

5.38%, 5/15/45, (5.375% fixed rate until 5/15/25; 3-month U.S. dollar London Interbank Offered Rate + 3.031% thereafter)(d)

     5,000        5,103  

5.70%, 9/15/48, (5.70% fixed rate until 9/15/28; 3-month U.S. dollar London Interbank Offered Rate + 2.665% thereafter)(b)(d)

     5,000        5,238  

 

See Notes to Financial Statements.

 

68   WisdomTree Trust


Table of Contents

Schedule of Investments (unaudited) (continued)

WisdomTree Interest Rate Hedged U.S. Aggregate Bond Fund (AGZD)

February 28, 2022

 

 

 

Investments    Principal
Amount
     Value  

3.94%, 12/7/49

   $ 20,000      $ 21,028  

4.35%, 2/25/50

     20,000        22,585  

Public Service Co. of Colorado
3.60%, 9/15/42

     215,000        217,421  

4.30%, 3/15/44

     29,000        31,778  

Public Service Electric & Gas Co.
2.38%, 5/15/23

     43,000        43,341  

3.00%, 5/15/27

     19,000        19,539  

3.95%, 5/1/42

     30,000        32,308  

3.60%, 12/1/47

     175,000        177,392  

Public Service Enterprise Group, Inc.
2.88%, 6/15/24

     25,000        25,360  

PVH Corp.
4.63%, 7/10/25

     25,000        26,425  

QUALCOMM, Inc.
2.90%, 5/20/24

     22,000        22,483  

1.65%, 5/20/32

     30,000        27,066  

3.25%, 5/20/50

     40,000        39,276  

Raymond James Financial, Inc.
4.65%, 4/1/30

     25,000        27,547  

Raytheon Technologies Corp.
3.95%, 8/16/25

     25,000        26,365  

3.50%, 3/15/27

     50,000        52,283  

4.50%, 6/1/42

     100,000        111,894  

4.80%, 12/15/43

     10,000        11,550  

3.75%, 11/1/46

     48,000        48,554  

4.35%, 4/15/47

     30,000        33,105  

Realty Income Corp.
4.60%, 2/6/24

     18,000        18,761  

3.00%, 1/15/27

     5,000        5,086  

3.95%, 8/15/27

     5,000        5,320  

Regeneron Pharmaceuticals, Inc.
2.80%, 9/15/50

     80,000        66,350  

Reliance Steel & Aluminum Co.
1.30%, 8/15/25

     25,000        24,082  

Rockwell Automation, Inc.
4.20%, 3/1/49

     35,000        39,347  

Roper Technologies, Inc.
2.35%, 9/15/24

     15,000        15,069  

3.80%, 12/15/26

     30,000        31,588  

1.40%, 9/15/27

     25,000        23,367  

RWJ Barnabas Health, Inc.
3.95%, 7/1/46

     24,000        25,898  

Ryder System, Inc.
3.75%, 6/9/23

     23,000        23,517  

Sabine Pass Liquefaction LLC
5.88%, 6/30/26

     25,000        27,814  

5.00%, 3/15/27

     25,000        27,217  

4.20%, 3/15/28

     25,000        26,342  

Sabra Health Care LP
5.13%, 8/15/26

     18,000        19,128  

salesforce.com, Inc.
3.70%, 4/11/28

     25,000        26,697  

San Diego Gas & Electric Co.
1.70%, 10/1/30, Series VVV

     125,000        113,649  

Santander Holdings USA, Inc.
4.40%, 7/13/27

     88,000        92,604  

Sempra Energy
3.25%, 6/15/27

     46,000        47,033  

Sherwin-Williams Co.
2.95%, 8/15/29

   10,000      10,040  

4.00%, 12/15/42

     55,000        56,751  

4.50%, 6/1/47

     5,000        5,486  

3.80%, 8/15/49

     20,000        19,968  

Shire Acquisitions Investments Ireland DAC
2.88%, 9/23/23

     15,000        15,205  

3.20%, 9/23/26

     110,000        113,024  

Simon Property Group LP
3.75%, 2/1/24

     5,000        5,155  

3.38%, 10/1/24

     250,000        257,382  

3.30%, 1/15/26

     5,000        5,129  

3.25%, 11/30/26

     23,000        23,686  

3.38%, 6/15/27(b)

     100,000        103,463  

2.45%, 9/13/29

     25,000        24,182  

SITE Centers Corp.
4.70%, 6/1/27

     68,000        72,784  

Southern California Edison Co.
2.25%, 6/1/30

     200,000        187,572  

4.65%, 10/1/43

     299,000        320,752  

4.88%, 3/1/49, Series B

     8,000        8,785  

3.65%, 2/1/50

     20,000        18,959  

Southern California Gas Co.
4.13%, 6/1/48, Series UU

     5,000        5,362  

Southern Co.
2.95%, 7/1/23

     10,000        10,130  

3.25%, 7/1/26

     67,000        68,574  

Southern Co. Gas Capital Corp.
4.40%, 6/1/43

     21,000        21,930  

Southern Power Co.
5.15%, 9/15/41

     19,000        21,218  

Southwest Airlines Co.
4.75%, 5/4/23

     45,000        46,524  

5.13%, 6/15/27

     50,000        55,518  

Southwest Gas Corp.
3.80%, 9/29/46

     50,000        50,144  

Spectra Energy Partners LP
4.75%, 3/15/24

     18,000        18,832  

3.50%, 3/15/25

     5,000        5,141  

Stanford Health Care
3.80%, 11/15/48, Series 2018

     18,000        19,338  

Starbucks Corp.
3.10%, 3/1/23

     5,000        5,078  

2.45%, 6/15/26

     5,000        5,026  

2.00%, 3/12/27

     70,000        68,314  

4.00%, 11/15/28

     5,000        5,359  

4.30%, 6/15/45

     25,000        26,250  

3.50%, 11/15/50

     75,000        70,498  

State Street Corp.
3.10%, 5/15/23

     48,000        48,858  

2.35%, 11/1/25, (2.354% fixed rate until 11/1/24; Secured Overnight Financing Rate + 0.94% thereafter)(d)

     50,000        50,342  

4.14%, 12/3/29, (4.141% fixed rate until 12/3/28; 3-month U.S. dollar London Interbank Offered Rate + 1.03% thereafter)(b)(d)

     50,000        54,301  

2.40%, 1/24/30(b)

     62,000        60,819  

 

See Notes to Financial Statements.

 

WisdomTree Trust      69  


Table of Contents

Schedule of Investments (unaudited) (continued)

WisdomTree Interest Rate Hedged U.S. Aggregate Bond Fund (AGZD)

February 28, 2022

 

 

 

Investments    Principal
Amount
     Value  

Steel Dynamics, Inc.
3.45%, 4/15/30

   $ 90,000      $ 91,642  

Stryker Corp.
3.38%, 5/15/24

     5,000        5,125  

Sutter Health
3.16%, 8/15/40, Series 20A

     95,000        90,015  

Synchrony Financial
3.70%, 8/4/26

     5,000        5,102  

5.15%, 3/19/29

     600,000        656,898  

Sysco Corp.
3.30%, 7/15/26

     73,000        75,304  

T-Mobile USA, Inc.
3.50%, 4/15/25

     90,000        92,527  

3.75%, 4/15/27

     20,000        20,781  

4.50%, 4/15/50

     20,000        20,894  

Tampa Electric Co.
4.30%, 6/15/48

     18,000        20,037  

Tapestry, Inc.
4.13%, 7/15/27

     14,000        14,657  

Target Corp.
2.50%, 4/15/26(b)

     310,000        317,263  

4.00%, 7/1/42(b)

     60,000        66,658  

TC PipeLines LP
4.38%, 3/13/25

     44,000        46,291  

TD Ameritrade Holding Corp.
2.95%, 4/1/22

     10,000        10,019  

Teledyne FLIR LLC
2.50%, 8/1/30

     25,000        23,678  

Texas Instruments, Inc.
2.90%, 11/3/27

     27,000        28,021  

4.15%, 5/15/48

     14,000        15,935  

Time Warner Cable LLC
6.75%, 6/15/39

     80,500        97,485  

5.50%, 9/1/41

     7,000        7,471  

4.50%, 9/15/42

     10,000        9,489  

TJX Cos., Inc.
3.88%, 4/15/30

     25,000        26,861  

Toyota Motor Credit Corp.
1.35%, 8/25/23

     40,000        39,880  

0.45%, 1/11/24

     32,000        31,263  

2.90%, 4/17/24

     5,000        5,104  

3.05%, 1/11/28(b)

     15,000        15,475  

2.15%, 2/13/30(b)

     50,000        48,138  

1.65%, 1/10/31

     30,000        27,503  

Trane Technologies Global Holding Co. Ltd.
3.75%, 8/21/28

     45,000        47,008  

Trane Technologies Luxembourg Finance SA
3.55%, 11/1/24

     50,000        51,660  

Transcontinental Gas Pipe Line Co. LLC
4.45%, 8/1/42

     15,000        15,969  

Travelers Cos., Inc.
6.25%, 6/15/37

     30,000        40,325  

3.75%, 5/15/46

     25,000        25,948  

4.00%, 5/30/47

     48,000        51,685  

2.55%, 4/27/50

     20,000        17,125  

Trimble, Inc.
4.15%, 6/15/23

     5,000        5,132  

Trinity Health Corp.
2.63%, 12/1/40, Series 2021

   40,000      36,263  

Truist Bank
4.05%, 11/3/25

     25,000        26,592  

Truist Financial Corp.
2.85%, 10/26/24

     269,000        274,332  

1.13%, 8/3/27

     15,000        13,930  

TWDC Enterprises 18 Corp.
3.00%, 2/13/26

     15,000        15,435  

2.95%, 6/15/27(b)

     23,000        23,561  

3.70%, 12/1/42

     5,000        5,113  

3.00%, 7/30/46

     48,000        44,123  

Tyson Foods, Inc.
4.88%, 8/15/34

     50,000        57,321  

U.S. Bancorp
3.60%, 9/11/24

     25,000        25,954  

1.45%, 5/12/25

     25,000        24,455  

2.38%, 7/22/26, Series V(b)

     350,000        352,474  

3.90%, 4/26/28

     103,000        110,280  

1.38%, 7/22/30(b)

     11,000        9,849  

UDR, Inc.
2.10%, 8/1/32

     25,000        22,680  

Union Electric Co.
2.95%, 6/15/27

     18,000        18,408  

Union Pacific Corp.
3.50%, 6/8/23

     252,000        257,708  

3.75%, 7/15/25

     5,000        5,241  

3.25%, 8/15/25

     5,000        5,159  

2.75%, 3/1/26

     5,000        5,078  

4.00%, 4/15/47

     19,000        20,417  

3.84%, 3/20/60

     308,000        318,306  

3.75%, 2/5/70

     25,000        25,005  

3.80%, 4/6/71

     5,000        5,050  

United Airlines Pass Through Trust
4.30%, 2/15/27, Series 2013-1, Class A

     15,701        16,318  

United Parcel Service, Inc.
2.40%, 11/15/26

     5,000        5,050  

3.05%, 11/15/27

     53,000        55,334  

6.20%, 1/15/38

     15,000        20,416  

3.40%, 11/15/46

     5,000        5,114  

UnitedHealth Group, Inc.
3.70%, 12/15/25

     90,000        94,891  

3.10%, 3/15/26

     34,000        35,209  

3.88%, 12/15/28

     18,000        19,413  

5.80%, 3/15/36

     25,000        32,103  

5.95%, 2/15/41

     350,000        466,441  

3.95%, 10/15/42

     5,000        5,339  

4.75%, 7/15/45

     100,000        117,924  

3.75%, 10/15/47

     15,000        15,608  

University of Southern California
3.03%, 10/1/39

     24,000        23,635  

3.84%, 10/1/47, Series 2017

     320,000        356,941  

Utah Acquisition Sub, Inc.
3.95%, 6/15/26

     40,000        41,316  

Ventas Realty LP
4.75%, 11/15/30

     14,000        15,663  

4.38%, 2/1/45

     24,000        25,432  

 

See Notes to Financial Statements.

 

70   WisdomTree Trust


Table of Contents

Schedule of Investments (unaudited) (continued)

WisdomTree Interest Rate Hedged U.S. Aggregate Bond Fund (AGZD)

February 28, 2022

 

 

 

Investments    Principal
Amount
     Value  

Verisk Analytics, Inc.
4.13%, 3/15/29

   $ 347,000      $ 370,318  

Verizon Communications, Inc.
0.75%, 3/22/24(b)

     20,000        19,583  

3.38%, 2/15/25

     10,000        10,349  

0.85%, 11/20/25(b)

     10,000        9,507  

4.33%, 9/21/28

     25,000        27,262  

4.02%, 12/3/29

     20,000        21,461  

1.68%, 10/30/30

     76,000        68,352  

2.65%, 11/20/40

     70,000        60,831  

3.40%, 3/22/41

     150,000        144,532  

6.55%, 9/15/43

     8,000        11,429  

4.86%, 8/21/46

     50,000        60,265  

2.88%, 11/20/50

     85,000        72,815  

2.99%, 10/30/56

     11,000        9,400  

3.00%, 11/20/60

     15,000        12,497  

3.70%, 3/22/61

     107,000        102,278  

Viatris, Inc.
2.70%, 6/22/30

     10,000        9,342  

3.85%, 6/22/40

     30,000        28,185  

4.00%, 6/22/50

     60,000        53,250  

Virginia Electric & Power Co.
8.88%, 11/15/38

     15,000        24,741  

Visa, Inc.
1.90%, 4/15/27(b)

     34,000        33,526  

2.75%, 9/15/27

     22,000        22,583  

3.65%, 9/15/47

     65,000        68,974  

VMware, Inc.
4.50%, 5/15/25

     25,000        26,477  

Vulcan Materials Co.
4.50%, 4/1/25

     18,000        19,090  

Wachovia Corp.
5.50%, 8/1/35

     5,000        5,923  

Walgreens Boots Alliance, Inc.
3.80%, 11/18/24

     178,000        184,568  

Walmart, Inc.
3.55%, 6/26/25

     69,000        72,600  

3.70%, 6/26/28(b)

     15,000        16,182  

5.25%, 9/1/35

     50,000        63,878  

4.05%, 6/29/48(b)

     65,000        74,535  

Walt Disney Co.
3.35%, 3/24/25

     50,000        51,790  

2.20%, 1/13/28(b)

     75,000        73,526  

2.65%, 1/13/31(b)

     10,000        9,909  

6.40%, 12/15/35

     4,000        5,352  

6.65%, 11/15/37

     20,000        27,225  

3.50%, 5/13/40

     60,000        60,025  

4.95%, 10/15/45

     5,000        5,976  

3.80%, 5/13/60

     15,000        15,555  

Wells Fargo & Co.
4.13%, 8/15/23

     69,000        71,165  

3.00%, 4/22/26

     400,000        405,684  

3.58%, 5/22/28, (3.584% fixed rate until 5/22/27; 3-month U.S. dollar London Interbank Offered Rate + 1.31% thereafter)(d)

     289,000        298,728  

2.39%, 6/2/28, (2.393% fixed rate until 6/2/27; Secured Overnight Financing Rate + 2.10% thereafter)(d)

   165,000      161,390  

4.15%, 1/24/29

     10,000        10,665  

4.48%, 4/4/31, (4.478% fixed rate until 4/4/30; Secured Overnight Financing Rate + 4.032% thereafter)(b)(d)

     50,000        54,684  

3.07%, 4/30/41, (3.068% fixed rate until 4/30/40; Secured Overnight Financing Rate + 2.53% thereafter)(d)

     15,000        14,006  

5.38%, 11/2/43

     47,000        56,321  

4.75%, 12/7/46

     96,000        108,036  

5.01%, 4/4/51, (5.013% fixed rate until 4/4/50; Secured Overnight Financing Rate + 4.502% thereafter)(d)

     255,000        314,647  

Welltower, Inc.
4.25%, 4/1/26

     23,000        24,504  

4.25%, 4/15/28

     15,000        16,133  

Western Union Co.
4.25%, 6/9/23

     55,000        56,413  

2.75%, 3/15/31(b)

     700,000        667,723  

Westinghouse Air Brake Technologies Corp.
3.45%, 11/15/26

     50,000        50,783  

Westlake Corp.
5.00%, 8/15/46

     10,000        11,394  

WestRock MWV LLC
7.95%, 2/15/31

     14,000        18,847  

Whirlpool Corp.
4.50%, 6/1/46

     30,000        32,255  

Williams Cos., Inc.
3.75%, 6/15/27

     10,000        10,433  

7.50%, 1/15/31, Series A

     50,000        64,522  

6.30%, 4/15/40

     10,000        12,382  

5.75%, 6/24/44

     50,000        59,036  

Wisconsin Public Service Corp.
3.67%, 12/1/42

     38,000        38,508  

WRKCo, Inc.
3.75%, 3/15/25

     45,000        46,778  

4.65%, 3/15/26

     25,000        27,010  

WW Grainger, Inc.
3.75%, 5/15/46

     85,000        88,549  

Wyeth LLC
5.95%, 4/1/37

     10,000        13,147  

Xilinx, Inc.
2.95%, 6/1/24

     73,000        74,345  

Xylem, Inc.
3.25%, 11/1/26

     5,000        5,143  

Zimmer Biomet Holdings, Inc.
3.15%, 4/1/22

     5,000        5,003  

Zoetis, Inc.
4.70%, 2/1/43

     25,000        28,897  

TOTAL U.S. CORPORATE BONDS

(Cost: $67,107,504)

 

 

     65,454,733  
FOREIGN CORPORATE BONDS – 3.2%

 

Australia – 0.0%

 

BHP Billiton Finance USA Ltd.
5.00%, 9/30/43(b)

     23,000        27,770  

 

See Notes to Financial Statements.

 

WisdomTree Trust      71  


Table of Contents

Schedule of Investments (unaudited) (continued)

WisdomTree Interest Rate Hedged U.S. Aggregate Bond Fund (AGZD)

February 28, 2022

 

 

 

Investments    Principal
Amount
     Value  

Westpac Banking Corp.
3.35%, 3/8/27

   $ 23,000      $ 24,075  

4.32%, 11/23/31, (4.322% fixed rate until 11/23/26; 5-year U.S. dollar ICE Swap Rate + 2.236% thereafter)(d)

     10,000        10,436  

2.67%, 11/15/35, (2.668% fixed rate until 11/15/30; 5-year Constant Maturity Treasury Rate + 1.75% thereafter)(d)

     30,000        27,191  

4.42%, 7/24/39

     25,000        27,071  
     

 

 

 
Total Australia

 

     116,543  
Belgium – 0.4%

 

Anheuser-Busch Cos. LLC / Anheuser-Busch InBev Worldwide, Inc.
3.65%, 2/1/26

     179,000        187,152  

4.70%, 2/1/36

     25,000        27,922  

Anheuser-Busch InBev Finance, Inc.
4.00%, 1/17/43

     253,000        258,920  

Anheuser-Busch InBev Worldwide, Inc.
4.90%, 1/23/31

     365,000        419,710  

4.60%, 4/15/48

     244,000        268,176  

4.44%, 10/6/48

     19,000        20,389  
     

 

 

 
Total Belgium

 

     1,182,269  
Bermuda – 0.0%

 

Aspen Insurance Holdings Ltd.
4.65%, 11/15/23

     18,000        18,709  
Brazil – 0.0%

 

Vale Overseas Ltd.
6.25%, 8/10/26

     48,000        54,294  

6.88%, 11/21/36

     10,000        12,279  
     

 

 

 
Total Brazil

 

     66,573  
Canada – 0.7%

 

Bank of Montreal
3.30%, 2/5/24, Series E

     40,000        41,007  

3.80%, 12/15/32, (3.803% fixed rate until 12/15/27; 5-year U.S. dollar Swap Rate + 1.432% thereafter)(d)

     49,000        50,250  

Bank of Nova Scotia
1.63%, 5/1/23

     40,000        40,011  

Brookfield Finance, Inc.
3.90%, 1/25/28

     18,000        18,923  

4.85%, 3/29/29

     25,000        27,570  

4.70%, 9/20/47

     50,000        54,927  

Canadian Imperial Bank of Commerce
0.95%, 6/23/23

     40,000        39,596  

Canadian National Railway Co.
2.95%, 11/21/24

     25,000        25,497  

2.75%, 3/1/26

     100,000        102,035  

Canadian Natural Resources Ltd.
3.80%, 4/15/24(b)

     50,000        51,439  

3.85%, 6/1/27

     25,000        26,120  

CNOOC Petroleum North America ULC
5.88%, 3/10/35

     215,000        252,902  

6.40%, 5/15/37

     25,000        31,310  

7.50%, 7/30/39

     63,000        89,204  

Enbridge, Inc.
4.25%, 12/1/26

   25,000      26,673  

Kinross Gold Corp.
4.50%, 7/15/27

     55,000        59,242  

Magna International, Inc.
3.63%, 6/15/24

     5,000        5,143  

Nutrien Ltd.
2.95%, 5/13/30

     90,000        90,228  

5.63%, 12/1/40

     5,000        6,283  

5.25%, 1/15/45

     18,000        21,909  

3.95%, 5/13/50

     50,000        52,499  

Rogers Communications, Inc.
3.00%, 3/15/23

     23,000        23,231  

4.50%, 3/15/43

     25,000        26,143  

5.00%, 3/15/44

     25,000        27,046  

Royal Bank of Canada
2.80%, 4/29/22

     50,000        50,198  

3.70%, 10/5/23

     25,000        25,770  

2.25%, 11/1/24

     25,000        25,026  

TELUS Corp.
2.80%, 2/16/27

     50,000        50,670  

4.60%, 11/16/48

     5,000        5,641  

Toronto-Dominion Bank
0.75%, 6/12/23

     10,000        9,897  

0.45%, 9/11/23

     413,000        405,091  

0.75%, 9/11/25

     25,000        23,645  

TransCanada PipeLines Ltd.
4.25%, 5/15/28

     114,000        121,697  

4.63%, 3/1/34

     28,000        30,672  

5.85%, 3/15/36

     29,000        35,356  
     

 

 

 
Total Canada

 

     1,972,851  
China – 0.1%

 

Alibaba Group Holding Ltd.
3.40%, 12/6/27(b)

     25,000        25,379  

Baidu, Inc.
1.72%, 4/9/26

     200,000        192,032  

Tencent Music Entertainment Group
2.00%, 9/3/30

     100,000        89,806  
     

 

 

 
Total China

 

     307,217  
France – 0.0%

 

Sanofi
3.63%, 6/19/28(b)

     5,000        5,405  

TotalEnergies Capital International SA
3.46%, 7/12/49

     20,000        19,511  
     

 

 

 
Total France

 

     24,916  
Germany – 0.0%

 

Deutsche Bank AG
3.70%, 5/30/24

     25,000        25,674  

Deutsche Telekom International Finance BV
8.75%, 6/15/30

     15,000        20,801  

9.25%, 6/1/32(b)

     50,000        75,239  
     

 

 

 
Total Germany

 

     121,714  
Japan – 0.3%

 

Mitsubishi UFJ Financial Group, Inc.
3.46%, 3/2/23

     25,000        25,455  

 

See Notes to Financial Statements.

 

72   WisdomTree Trust


Table of Contents

Schedule of Investments (unaudited) (continued)

WisdomTree Interest Rate Hedged U.S. Aggregate Bond Fund (AGZD)

February 28, 2022

 

 

 

Investments    Principal
Amount
     Value  

3.76%, 7/26/23

   $ 79,000      $ 81,186  

3.41%, 3/7/24

     25,000        25,638  

3.78%, 3/2/25(b)

     5,000        5,198  

3.96%, 3/2/28

     45,000        47,622  

3.74%, 3/7/29

     40,000        41,886  

4.15%, 3/7/39

     25,000        27,450  

Mizuho Financial Group, Inc.

     

2.17%, 5/22/32, (2.172% fixed rate until 5/22/31; 1-year Constant Maturity Treasury Rate + 0.87% thereafter)(d)

     160,000        146,971  

Sumitomo Mitsui Financial Group, Inc.
3.45%, 1/11/27(b)

     25,000        25,861  

3.35%, 10/18/27

     23,000        23,750  

3.20%, 9/17/29(b)

     50,000        50,025  

2.14%, 9/23/30

     355,000        324,307  

Takeda Pharmaceutical Co. Ltd.
3.03%, 7/9/40

     25,000        22,701  

Toyota Motor Corp.
3.67%, 7/20/28

     25,000        26,654  
     

 

 

 
Total Japan

 

     874,704  
Netherlands – 0.3%

 

Cooperatieve Rabobank UA
5.25%, 5/24/41(b)

     359,000        465,095  

Shell International Finance BV
3.25%, 5/11/25

     300,000        311,214  

2.38%, 11/7/29

     150,000        146,420  

5.50%, 3/25/40

     27,000        34,130  
     

 

 

 
Total Netherlands

 

     956,859  
Norway – 0.3%

 

Equinor ASA
2.65%, 1/15/24

     5,000        5,082  

3.70%, 3/1/24

     412,000        426,465  

3.00%, 4/6/27

     25,000        25,685  

3.63%, 9/10/28

     274,000        289,886  

5.10%, 8/17/40

     19,000        23,117  

4.80%, 11/8/43

     25,000        29,647  
     

 

 

 
Total Norway

 

     799,882  
Peru – 0.0%

 

Southern Copper Corp.
7.50%, 7/27/35

     100,000        132,688  

6.75%, 4/16/40

     5,000        6,508  
     

 

 

 
Total Peru

 

     139,196  
Spain – 0.2%

 

Telefonica Emisiones SA
7.05%, 6/20/36

     9,000        11,686  

Telefonica Europe BV
8.25%, 9/15/30

     397,000        533,266  
     

 

 

 
Total Spain

 

     544,952  
Switzerland – 0.1%

 

Credit Suisse Group AG
4.55%, 4/17/26

     192,000        202,864  

Novartis Capital Corp.
3.10%, 5/17/27

     60,000        62,263  

3.70%, 9/21/42

     15,000        15,934  

Syngenta Finance NV
3.13%, 3/28/22

   19,000      19,009  
     

 

 

 
Total Switzerland

 

     300,070  
United Kingdom – 0.8%

 

AstraZeneca PLC
3.38%, 11/16/25

     15,000        15,626  

4.00%, 1/17/29

     25,000        27,107  

4.38%, 11/16/45

     50,000        57,456  

Barclays PLC

     

4.34%, 5/16/24, (4.338% fixed rate until 5/16/23; 3-month U.S. dollar London Interbank Offered Rate + 1.356% thereafter)(d)

     200,000        205,566  

BAT Capital Corp.
3.22%, 8/15/24

     150,000        152,424  

3.22%, 9/6/26

     25,000        25,040  

4.39%, 8/15/37

     50,000        48,051  

BP Capital Markets PLC
3.54%, 11/4/24

     195,000        201,917  

3.28%, 9/19/27(b)

     24,000        24,729  

3.72%, 11/28/28

     45,000        47,197  

British Telecommunications PLC
9.63%, 12/15/30

     224,000        314,212  

CNH Industrial NV
4.50%, 8/15/23

     20,000        20,671  

Diageo Capital PLC
2.13%, 4/29/32

     30,000        28,304  

GlaxoSmithKline Capital, Inc.
2.80%, 3/18/23

     100,000        101,415  

3.38%, 5/15/23

     19,000        19,424  

5.38%, 4/15/34

     20,000        25,137  

HSBC Holdings PLC
3.90%, 5/25/26

     25,000        26,022  

4.95%, 3/31/30

     175,000        194,231  

7.63%, 5/17/32

     64,000        83,728  

6.80%, 6/1/38

     100,000        130,932  

Lloyds Banking Group PLC

     

1.63%, 5/11/27, (1.627% fixed rate until 5/11/26; 1-year Constant Maturity Treasury Rate + 0.85% thereafter)(d)

     200,000        189,850  

3.57%, 11/7/28, (3.574% fixed rate until 11/7/27; 3-month U.S. dollar London Interbank Offered Rate + 1.205% thereafter)(d)

     50,000        51,294  

Reynolds American, Inc.
7.25%, 6/15/37

     23,000        28,608  

5.85%, 8/15/45

     10,000        10,865  

Santander UK Group Holdings PLC

     

1.09%, 3/15/25, (1.089% fixed rate until 3/15/24; Secured Overnight Financing Rate + 0.787% thereafter)(d)

     250,000        242,742  

Unilever Capital Corp.
5.90%, 11/15/32(b)

     5,000        6,380  

Vodafone Group PLC
4.13%, 5/30/25

     50,000        52,597  

4.38%, 2/19/43

     34,000        35,276  

 

See Notes to Financial Statements.

 

WisdomTree Trust      73  


Table of Contents

Schedule of Investments (unaudited) (continued)

WisdomTree Interest Rate Hedged U.S. Aggregate Bond Fund (AGZD)

February 28, 2022

 

 

 

Investments    Principal
Amount
     Value  

5.25%, 5/30/48

   $ 30,000      $ 34,952  
     

 

 

 
Total United Kingdom

 

     2,401,753  

TOTAL FOREIGN CORPORATE BONDS

(Cost: $10,047,093)

 

 

     9,828,208  
FOREIGN GOVERNMENT AGENCIES – 0.7%

 

Canada – 0.2%

 

Export Development Canada
2.75%, 3/15/23

     30,000        30,484  

Province of Alberta Canada
3.30%, 3/15/28

     95,000        101,203  

1.30%, 7/22/30

     75,000        69,681  

Province of British Columbia Canada
2.25%, 6/2/26

     25,000        25,335  

Province of New Brunswick Canada
3.63%, 2/24/28

     20,000        21,769  

Province of Ontario Canada
3.20%, 5/16/24

     110,000        113,709  

Province of Quebec Canada
2.88%, 10/16/24, Series QO

     55,000        56,656  

1.50%, 2/11/25, Series QX

     20,000        19,852  

2.50%, 4/20/26

     50,000        51,064  

7.50%, 9/15/29, Series PD

     31,000        42,170  
     

 

 

 
Total Canada

 

     531,923  
Germany – 0.5%

 

Kreditanstalt fuer Wiederaufbau
2.63%, 2/28/24

     575,000        587,903  

2.50%, 11/20/24(b)

     33,000        33,758  

0.63%, 1/22/26

     550,000        525,437  

2.88%, 4/3/28

     40,000        42,271  

Landwirtschaftliche Rentenbank
1.75%, 7/27/26(b)

     90,000        89,866  

2.50%, 11/15/27, Series 37

     125,000        129,045  

0.88%, 9/3/30

     130,000        119,360  
     

 

 

 
Total Germany

 

     1,527,640  

TOTAL FOREIGN GOVERNMENT AGENCIES

(Cost: $2,088,852)

 

 

     2,059,563  
FOREIGN GOVERNMENT OBLIGATIONS – 1.1%

 

Hungary – 0.0%

 

Hungary Government International Bond
5.38%, 3/25/24

     18,000        19,091  
Indonesia – 0.1%

 

Indonesia Government International Bond
3.50%, 2/14/50

     165,000        155,242  
Italy – 0.2%

 

Republic of Italy Government International Bond
5.38%, 6/15/33

     536,000        634,308  
Mexico – 0.2%

 

Mexico Government International Bond
6.75%, 9/27/34, Series MTNA

     25,000        30,906  

5.75%, 10/12/2110

     468,000        477,940  
     

 

 

 
Total Mexico

 

     508,846  
Panama – 0.1%

 

Panama Government International Bond
8.88%, 9/30/27

   283,000      367,447  

6.70%, 1/26/36

     50,000        61,702  
     

 

 

 
Total Panama

 

     429,149  
Peru – 0.2%

 

Peruvian Government International Bond
4.13%, 8/25/27

     369,000        388,823  

2.78%, 1/23/31

     50,000        47,483  

8.75%, 11/21/33

     25,000        36,618  

5.63%, 11/18/50

     50,000        62,769  
     

 

 

 
Total Peru

 

     535,693  
Philippines – 0.1%

 

Philippine Government International Bond
7.75%, 1/14/31

     100,000        134,778  

3.95%, 1/20/40

     200,000        199,612  
     

 

 

 
Total Philippines

 

     334,390  
Poland – 0.1%

 

Republic of Poland Government International Bond
3.00%, 3/17/23

     424,000        428,592  

3.25%, 4/6/26

     72,000        74,499  
     

 

 

 
Total Poland

 

     503,091  
Uruguay – 0.1%

 

Uruguay Government International Bond
5.10%, 6/18/50

     53,000        63,416  

4.98%, 4/20/55

     224,000        265,857  
     

 

 

 
Total Uruguay

 

     329,273  

TOTAL FOREIGN GOVERNMENT OBLIGATIONS

(Cost: $3,584,024)

 

 

     3,449,083  
SUPRANATIONAL BONDS – 1.5%

 

Asian Development Bank
2.75%, 3/17/23

     9,000        9,150  

1.50%, 10/18/24

     500,000        498,690  

2.00%, 1/22/25

     5,000        5,049  

0.63%, 4/29/25

     175,000        169,116  

0.50%, 2/4/26

     325,000        308,740  

2.50%, 11/2/27

     20,000        20,651  

Asian Infrastructure Investment Bank
2.25%, 5/16/24

     500,000        507,525  

European Investment Bank
2.25%, 3/15/22

     14,000        14,011  

2.50%, 3/15/23

     291,000        295,123  

0.25%, 9/15/23

     375,000        368,696  

3.25%, 1/29/24

     14,000        14,467  

0.38%, 12/15/25

     15,000        14,220  

2.13%, 4/13/26

     25,000        25,320  

2.38%, 5/24/27

     169,000        173,626  

4.88%, 2/15/36

     25,000        33,351  

Inter-American Development Bank
1.75%, 3/14/25

     140,000        140,276  

0.63%, 7/15/25

     275,000        264,808  

3.88%, 10/28/41

     280,000        341,765  

3.20%, 8/7/42

     25,000        27,794  

 

See Notes to Financial Statements.

 

74   WisdomTree Trust


Table of Contents

Schedule of Investments (unaudited) (continued)

WisdomTree Interest Rate Hedged U.S. Aggregate Bond Fund (AGZD)

February 28, 2022

 

 

 

Investments    Principal
Amount
     Value  

International Bank for Reconstruction & Development
2.50%, 11/25/24, Series GDIF

   $ 114,000      $ 116,692  

2.13%, 3/3/25, Series GDIF(b)

     50,000        50,667  

0.63%, 4/22/25

     325,000        314,233  

2.50%, 7/29/25, Series GDIF

     584,000        598,378  

0.50%, 10/28/25

     10,000        9,547  

2.50%, 11/22/27, Series GDIF

     154,000        159,181  

0.88%, 5/14/30

     26,000        23,935  

International Finance Corp.
1.38%, 10/16/24

     85,000        84,538  

TOTAL SUPRANATIONAL BONDS

(Cost: $4,665,799)

 

 

     4,589,549  
COMMERCIAL MORTGAGE-BACKED SECURITIES – 2.0%

 

United States – 2.0%

 

Banc of America Commercial Mortgage Trust

     

3.17%, 7/15/49, Series 2016-UB10, Class A4

     100,000        101,929  

Bank

     

2.85%, 10/17/52, Series 2019-BN21, Class A5

     75,000        75,058  

3.44%, 9/15/60, Series 2017-BNK7, Class A5

     105,000        109,117  

2.40%, 1/15/63, Series 2020-BN25, Class A4

     150,000        145,008  

2.14%, 3/15/63, Series 2020-BN28, Class AS

     100,000        92,656  

Barclays Commercial Mortgage Trust

     

2.99%, 11/15/52, Series 2019-C5, Class ASB

     200,000        203,433  

Benchmark Mortgage Trust

     

2.91%, 9/15/43, Series 2020-IG1, Class AS^(d)

     60,000        58,569  

3.96%, 1/15/52, Series 2018-B8, Class A4

     200,000        209,971  

4.02%, 3/15/52, Series 2019-B9, Class A5

     60,000        64,478  

1.98%, 8/15/54, Series 2021-B28, Class ASB

     150,000        143,675  

Citigroup Commercial Mortgage Trust

     

3.35%, 2/10/49, Series 2016-GC36, Class A4

     500,000        508,002  

Commercial Mortgage Trust

     

3.60%, 5/10/47, Series 2014-CR17, Class ASB

     23,684        24,099  

3.98%, 5/10/47, Series 2014-CR17, Class A5

     200,000        206,168  

3.21%, 3/10/48, Series 2015-CR22, Class A3

     43,539        43,524  

3.63%, 10/10/48, Series 2015-CR26, Class A4

     250,000        257,872  

CSAIL Commercial Mortgage Trust

     

4.10%, 4/15/51, Series 2018-CX11, Class A3

     100,000        102,679  

Federal Home Loan Mortgage Corp.

     

2.67%, 3/25/26, Series K055, Class A2

     80,000        81,927  

3.25%, 11/25/27, Series K072, Class A1

     315,986        328,056  

Federal Home Loan Mortgage Corp. Multifamily Structured Pass Through Certificates
2.48%, 3/25/25, Series K049, Class A1

   6,321      6,388  

3.75%, 8/25/25, Series K733, Class A2

     100,000        104,933  

3.00%, 12/25/25, Series K053, Class A2

     200,000        206,876  

2.62%, 8/25/26, Series K057, Class AM

     100,000        102,160  

3.43%, 1/25/27, Series K063, Class A2^(d)

     70,000        74,174  

3.69%, 1/25/29, Series K088, Class A2

     115,000        126,009  

2.52%, 10/25/29, Series K101, Class A2

     50,000        51,212  

2.13%, 11/25/31, Series K136, Class A2

     100,000        98,379  

3.99%, 8/25/33, Series K157, Class A3^(d)

     70,000        78,635  

1.24%, 1/25/35, Series K-1516, Class A1

     292,540        267,928  

Federal National Mortgage Association Alternative Credit Enhancement Securities

     

3.09%, 7/25/23, Series 2014-M1, Class A2^(d)

     54,621        55,368  

2.49%, 5/25/26, Series 2016-M6, Class A2

     57,210        58,165  

2.47%, 12/25/26, Series 2017-M3, Class A2^(d)

     38,111        38,950  

3.06%, 3/25/28, Series 2018-M4, Class A2^(d)

     23,158        24,425  

3.55%, 9/25/28, Series 2019-M1, Class A2^(d)

     100,000        108,836  

2.44%, 10/25/29, Series 2020-M1, Class A2

     200,000        203,800  

2.98%, 2/25/30, Series 2018-M3, Class A1^(d)

     5,059        5,158  

1.78%, 5/25/30, Series 2020-M14, Class A2

     125,000        121,010  

3.61%, 2/25/31, Series 2019-M4, Class A2

     250,000        273,484  

GS Mortgage Securities Trust

     

3.00%, 9/1/52, Series 2019-GC42, Class A4

     50,000        50,620  

2.66%, 2/13/53, Series 2020-GC45, Class A4

     100,000        98,466  

JPMBB Commercial Mortgage Securities Trust

     

4.08%, 2/15/47, Series 2014-C18, Class A5

     50,000        51,461  

Morgan Stanley Bank of America Merrill Lynch Trust

     

3.10%, 5/15/46, Series 2013-C9, Class A4

     105,000        105,723  

3.60%, 5/15/50, Series 2017-C33, Class A5

     250,000        260,214  

Morgan Stanley Capital I Trust

     

3.52%, 7/15/52, Series 2019-H7, Class AS

     100,000        101,566  

2.44%, 6/15/54, Series 2021-L6, Class A4^(d)

     100,000        95,638  

UBS Commercial Mortgage Trust

     

4.30%, 8/15/51, Series 2018-C12, Class A5

     50,000        53,924  

4.08%, 12/15/51, Series 2018-C15, Class A3

     50,000        52,188  

 

See Notes to Financial Statements.

 

WisdomTree Trust      75  


Table of Contents

Schedule of Investments (unaudited) (continued)

WisdomTree Interest Rate Hedged U.S. Aggregate Bond Fund (AGZD)

February 28, 2022

 

 

 

Investments    Principal
Amount
     Value  

Wells Fargo Commercial Mortgage Trust

     

3.79%, 9/15/48, Series 2015-SG1, Class A4

   $ 98,674      $ 101,530  

3.64%, 3/15/50, Series 2017-RB1, Class A5

     68,000        70,778  

2.40%, 7/15/53, Series 2020-C58, Class AS

     100,000        93,963  

WFRBS Commercial Mortgage Trust

     

4.02%, 12/15/46, Series 2013-C17, Class A4

     100,000        102,843  

TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES

(Cost: $6,175,191)

 

 

     6,001,025  
MUNICIPAL BONDS – 0.4%

 

United States – 0.4%

 

Bay Area Toll Authority
7.04%, 4/1/50, Series S1-SUB

     25,000        40,850  

Chicago Transit Authority Sales & Transfer Tax Receipts Revenue
6.90%, 12/1/40, Series B

     50,000        67,121  

City of Houston, TX
3.96%, 3/1/47

     100,000        111,483  

New Jersey Transportation Trust Fund Authority
5.75%, 12/15/28, Series C

     45,000        51,495  

New York City Water & Sewer System
5.44%, 6/15/43

     100,000        135,600  

Port Authority of New York & New Jersey
5.65%, 11/1/40

     100,000        129,660  

4.81%, 10/15/65, Series 192

     25,000        31,475  

Port of Morrow, OR
2.54%, 9/1/40

     20,000        18,245  

Sales Tax Securitization Corp.
3.82%, 1/1/48

     150,000        154,720  

State of California
7.55%, 4/1/39

     190,000        299,177  

State of Mississippi
5.25%, 11/1/34

     75,000        90,061  

Texas Transportation Commission
2.56%, 4/1/42

     20,000        18,217  

Texas Transportation Commission State Highway Fund
5.18%, 4/1/30, Series B-BUILD

     50,000        58,131  

4.00%, 10/1/33

     20,000        22,601  

University of California
3.35%, 7/1/29, Series BD

     10,000        10,606  

TOTAL MUNICIPAL BONDS

(Cost: $1,268,407)

 

 

     1,239,442  
ASSET-BACKED SECURITIES – 0.3%

 

United States – 0.3%

 

CarMax Auto Owner Trust

     

2.64%, 6/15/23, Series 2018-1, Class A4

     7,979        7,985  

Ford Credit Auto Owner Trust

     

1.04%, 8/15/24, Series 2020-A, Class A3

     40,054        40,010  

GM Financial Consumer Automobile Receivables Trust

     

2.65%, 2/16/24, Series 2019-2, Class A3

     3,831        3,848  

1.49%, 12/16/24, Series 2020-2, Class A3

     36,505        36,550  

Honda Auto Receivables Owner Trust

     

1.83%, 1/18/24, Series 2019-4, Class A3

   28,115      28,226  

0.82%, 7/15/24, Series 2020-2, Class A3

     21,345        21,299  

Santander Drive Auto Receivables Trust

     

0.48%, 7/15/24, Series 2020-4, Class A3

     24,452        24,448  

Volkswagen Auto Loan Enhanced Valet

     

1.26%, 10/20/28, Series 2021-1, Class A4

     100,000        97,707  

World Omni Auto Receivables Trust

     

0.82%, 1/15/26, Series 2020-B, Class A4

     500,000        492,728  

TOTAL ASSET-BACKED SECURITIES

(Cost: $767,069)

 

 

     752,801  
REPURCHASE AGREEMENT – 7.2%

 

United States – 7.2%

 

Citigroup, Inc., tri-party repurchase agreement dated 2/28/22 (tri-party custodian: The Bank of New York Mellon Corp.), 0.06% due 3/1/22; Proceeds at maturity – $22,060,037 (fully collateralized by Ginnie Mae II Single Family, 2.00% – 4.00% due 1/20/52, Ginnie Mae II Single Family Platinum, 3.50% due 1/20/52; Market value including accrued interest – $23,164,000)

     
(Cost: $22,060,000)      22,060,000        22,060,000  
      Shares          
INVESTMENT OF CASH COLLATERAL FOR SECURITIES LOANED – 0.5%

 

United States – 0.5%

 

State Street Navigator Securities Lending Government Money Market Portfolio, 0.06%(e)

     
(Cost: $1,605,325)      1,605,325        1,605,325  

TOTAL INVESTMENTS IN SECURITIES – 108.1%

(Cost: $335,025,598)

 

 

     330,000,982  

Other Assets less Liabilities – (8.1)%

 

     (24,797,101
  

 

 

 
NET ASSETS – 100.0%

 

   $ 305,203,881  

 

^ 

Variable coupon rate based on weighted average interest rate of underlying mortgage.

 

(a) 

To-be-announced (“TBA”) security (See Note 2). TBA securities are non-income producing.

 

(b) 

Security, or portion thereof, was on loan at February 28, 2022 (See Note 2). At February 28, 2022, the total market value of the Fund’s securities on loan identified in the Schedule of Investments was $3,987,587. The Fund also had securities on loan having a total market value of $22,280 that were sold and pending settlement. The total market value of the collateral held by the Fund was $4,102,101. The total market value of the collateral includes non-cash U.S. Government securities collateral having a value of $2,496,776.

 

(c) 

This security is exempt from registration under rule 144A of the Securities Act of 1933. This security may be sold in transactions that are exempt from registration, normally to qualified institutional buyers.

 

(d) 

Rate shown reflects the accrual rate as of February 28, 2022 on securities with variable or step rates.

 

(e) 

Rate shown represents annualized 7-day yield as of February 28, 2022.

 

See Notes to Financial Statements.

 

76   WisdomTree Trust


Table of Contents

Schedule of Investments (unaudited) (concluded)

WisdomTree Interest Rate Hedged U.S. Aggregate Bond Fund (AGZD)

February 28, 2022

 

FINANCIAL DERIVATIVE INSTRUMENTS  
FUTURES CONTRACTS (EXCHANGE-TRADED)  
Short Exposure   Contracts     Expiration
Date
    Notional
Value
    Unrealized
Appreciation/
(Depreciation)
 

2 Year U.S. Treasury Note

    334       6/30/22     $ (71,885,672   $ (259,594

5 Year U.S. Treasury Note

    1,374       6/30/22       (162,518,437     (1,239,618

U.S. Treasury Ultra Long Term Bond

    196       6/21/22       (36,443,750     (595,992

Ultra 10 Year U.S. Treasury Note

    338       6/21/22       (47,768,906     (677,344
      $ (318,616,765   $ (2,772,548

 

FAIR VALUATION SUMMARY

The following is a summary of the fair valuations according to the inputs used as of February 28, 2022 in valuing the Fund’s investments (See Note 2 — Fair Value Measurement):

 

      Quoted
Prices in
Active
Markets
(Level 1)
     Other
Significant
Observable
Inputs
(Level 2)
     Significant
Unobservable
Inputs
(Level 3)
     Total  

Assets:

 

     

Investments in Securities

  

U.S. Government Agencies

   $      $ 87,729,531      $      $ 87,729,531  

U.S. Government Obligations

            125,231,722               125,231,722  

U.S. Corporate Bonds

            65,454,733               65,454,733  

Foreign Corporate Bonds

            9,828,208               9,828,208  

Foreign Government Agencies

            2,059,563               2,059,563  

Foreign Government Obligations

            3,449,083               3,449,083  

Supranational Bonds

            4,589,549               4,589,549  

Commercial Mortgage-Backed Securities

            6,001,025               6,001,025  

Municipal Bonds

            1,239,442               1,239,442  

Asset-Backed Securities

            752,801               752,801  

Repurchase Agreement

            22,060,000               22,060,000  

Investment of Cash Collateral for Securities Loaned

            1,605,325               1,605,325  

Total Investments in Securities

   $      $ 330,000,982      $      $ 330,000,982  

Liabilities:

 

     

Financial Derivative Instruments

  

Futures Contracts1

   $ (2,772,548    $      $      $ (2,772,548

Total – Net

   $ (2,772,548    $ 330,000,982      $      $ 327,228,434  
1 

Amount shown represents the unrealized appreciation (depreciation) on the financial instrument.

 

See Notes to Financial Statements.

 

WisdomTree Trust      77  


Table of Contents

Schedule of Investments (unaudited)

WisdomTree Mortgage Plus Bond Fund (MTGP)

February 28, 2022

 

 

 

Investments    Principal
Amount
     Value  
ASSET-BACKED SECURITIES – 0.8%

 

United States – 0.8%

 

Navient Private Education Refi Loan Trust
3.90%, 1/15/43, Series 2019-A, Class B(a)

   $ 284,000      $ 283,788  

Sofi Consumer Loan Program Trust
3.65%, 2/25/27, Series 2018-1, Class B(a)

     30,700        30,781  

4.02%, 8/25/27, Series 2018-3, Class B(a)

     3,316        3,323  

TOTAL ASSET-BACKED SECURITIES

(Cost: $328,181)

 

 

     317,892  
COLLATERALIZED LOAN OBLIGATIONS – 4.8%

 

Cayman Islands – 4.2%

 

Apidos XXXVI

     

2.13%, 7/20/34, Series 2021-36A, Class C (3-month U.S. dollar London Interbank Offered Rate + 2.00%)(a)(b)

     350,000        346,145  

Ares XLVII Ltd.

     

1.99%, 4/15/30, Series 2018-47A, Class C, (3-month U.S. dollar London Interbank Offered Rate + 1.75%)(a)(b)

     400,000        395,416  

LCM 28 Ltd.

     

2.40%, 10/20/30, Series 28A, Class C, (3-month U.S. dollar London Interbank Offered Rate + 2.15%)(a)(b)

     400,000        396,785  

Neuberger Berman Loan Advisers Ltd.

     

1.95%, 1/20/32, Series 2019-32A, Class CR, (3-month U.S. dollar London Interbank Offered Rate + 1.70%)(a)(b)

     500,000        497,031  
     

 

 

 
Total Cayman Islands

 

     1,635,377  
Morocco – 0.6%

 

OCP SA

     

1.35%, 4/26/31, Series 2014-5A, Class A1R, (3-month U.S. dollar London Interbank Offered Rate + 1.08%)(a)(b)

     250,000        248,701  

TOTAL COLLATERALIZED LOAN OBLIGATIONS

(Cost: $1,862,611)

 

 

     1,884,078  
COLLATERALIZED MORTGAGE OBLIGATIONS – 46.6%

 

Federal Home Loan Mortgage Corp. REMIC 7.40%, 5/15/23, Series 1517, Class J

     4,925        5,029  

4.50%, 7/15/25, Series 3000, Class BC

     21,187        21,774  

4.00%, 5/15/28, Series 4669, Class EV

     184,013        187,533  

6.00%, 7/15/29, Series 2175, Class TH

     43,699        47,461  

6.00%, 5/15/32, Series 2448, Class ZQ

     56,906        62,138  

3.00%, 8/15/32, Series 4092, Class AY

     200,000        208,898  

6.00%, 8/15/32, Series 2485, Class WG

     19,869        22,116  

5.00%, 11/15/32, Series 2519, Class NU

     810,958        864,585  

5.50%, 11/15/32, Series 2519, Class ZD

     7,668        8,393  

5.50%, 11/15/32, Series 2520, Class PH

     140,512        155,697  

2.50%, 1/15/33, Series 4332, Class CU

     74,705        74,834  

0.64%, 6/15/34, Series 2812, Class MF^(b)

     175,177        176,727  

5.50%, 9/15/34, Series 2861, Class Z

     9,915        11,175  

5.00%, 11/15/34, Series 2893, Class PE

     41,107        44,882  

6.00%, 11/15/36, Series 3244, Class LZ

     256        284  

0.50%, 3/15/37, Series 3284, Class LF^(b)

     504,590        507,218  

5.00%, 1/15/40, Series 3626, Class ME

     416,311        455,343  

5.00%, 4/15/40, Series 3658, Class CZ

     379,003        435,236  

4.50%, 9/15/40, Series 3726, Class QZ

   324,310      350,047  

4.00%, 1/15/41, Series 4179, Class AZ

     510,133        542,578  

3.50%, 5/15/41, Series 4229, Class MA

     67,817        70,041  

3.00%, 12/15/41, Series 4273, Class GM

     72,409        73,314  

2.00%, 1/15/42, Series 4112, Class CP

     19,867        19,777  

4.50%, 9/15/42, Series 4671, Class JM

     76,310        78,543  

3.50%, 3/15/43, Series 4402, Class PE

     5,331        5,373  

3.00%, 5/15/43, Series 4322, Class DJ

     82,152        82,821  

3.00%, 6/15/44, Series 4483, Class CA

     212,328        214,691  

2.25%, 8/15/44, Series 4406, Class AC

     79,335        78,285  

3.50%, 9/15/46, Series 4774, Class LP

     93,825        96,094  

3.00%, 4/25/49, Series 4908, Class BD

     323,476        327,299  

Federal Home Loan Mortgage Corp. STACR Debt Notes

     

2.49%, 9/25/30, Series 2018-HQA1, Class M2^(b)

     151,783        153,228  

Federal Home Loan Mortgage Corp. STRIPS
3.00%, 9/15/42, Series 280, Class 30

     361,559        373,866  

Federal National Mortgage Association REMIC 6.68%, 1/25/23, Series G93-1, Class K

     1,470        1,488  

6.00%, 8/25/23, Series 1996-8, Class C

     3,064        3,111  

6.50%, 9/25/23, Series 1993-169, Class L

     7,988        8,255  

3.50%, 8/25/26, Series 2011-80, Class HE

     213,084        218,828  

2.00%, 11/25/30, Series 2015-93, Class AD

     170,274        171,627  

6.50%, 10/25/31, Series 2001-52, Class YZ

     1,152        1,303  

3.00%, 6/25/33, Series 2014-36, Class QA

     56,170        56,986  

4.00%, 8/25/33, Series 2014-58, Class VM

     100,000        103,290  

4.50%, 10/25/34, Series 2004-75, Class ZG

     6,929        7,461  

0.44%, 5/25/35, Series 2005-40, Class FB^(b)

     91,622        91,317  

4.75%, 8/25/35, Series 2005-80, Class SZ

     109,314        119,025  

6.00%, 7/25/36, Series 2006-62, Class PZ

     135,362        191,235  

4.50%, 10/25/36, Series 2009-19, Class PW

     36,572        39,435  

0.44%, 12/25/36, Series 2006-120, Class PF^(b)

     81,985        81,624  

5.50%, 2/25/37, Series 2007-6, Class PA

     15,606        16,402  

4.25%, 4/25/37, Series 2007-30, Class ZM

     257,964        295,913  

5.00%, 4/25/37, Series 2007-26, Class JZ

     229,989        250,345  

5.00%, 3/25/38, Series 2008-16, Class EA

     6,794        7,443  

6.00%, 8/25/39, Series 2009-62, Class Z

     273,735        314,982  

5.00%, 11/25/39, Series 2009-89, Class PH

     118,000        130,606  

5.00%, 7/25/40, Series 2010-80, Class PZ

     268,475        300,782  

5.00%, 9/25/40, Series 2010-102, Class PN

     165,658        179,421  

1.75%, 11/25/40, Series 2012-51, Class GU

     400,000        400,073  

3.00%, 2/25/41, Series 2011-134, Class NJ

     75,842        76,667  

2.50%, 5/25/41, Series 2012-131, Class DZ

     16,407        16,369  

5.00%, 6/25/41, Series 2011-52, Class GB

     164,298        180,776  

2.50%, 9/25/41, Series 2011-127, Class JC

     27,890        27,751  

5.25%, 9/25/41, Series 2011-84, Class PZ

     346,667        387,416  

3.00%, 3/25/42, Series 2016-21, Class BA

     55,962        56,231  

1.75%, 6/25/42, Series 2013-37, Class JA

     176,322        175,744  

2.50%, 11/25/42, Series 2012-152, Class TB

     231,000        229,425  

3.00%, 2/25/43, Series 2013-1, Class JZ

     79,149        77,995  

3.00%, 3/25/44, Series 2015-42, Class CA

     223,810        225,635  

3.00%, 4/25/45, Series 2015-23, Class HZ

     492,112        505,777  

 

See Notes to Financial Statements.

 

78   WisdomTree Trust


Table of Contents

Schedule of Investments (unaudited) (continued)

WisdomTree Mortgage Plus Bond Fund (MTGP)

February 28, 2022

 

 

 

Investments    Principal
Amount
     Value  

3.00%, 3/25/46, Series 2016-9, Class D

   $ 174,431      $ 177,730  

3.00%, 4/25/46, Series 2018-3, Class PA

     189,672        193,933  

2.50%, 9/25/46, Series 2016-63, Class CA

     52,245        51,659  

Government National Mortgage Association 5.00%, 7/16/33, Series 2003-60, Class ZG

     124,551        132,914  

5.00%, 4/20/34, Series 2004-31, Class ZB

     210,548        224,730  

5.00%, 6/20/35, Series 2005-46, Class YX

     154,880        172,127  

5.50%, 4/20/37, Series 2007-24, Class PC

     62,151        64,647  

5.50%, 5/20/38, Series 2008-42, Class QB

     66,450        72,192  

2.00%, 8/20/39, Series 2011-52, Class KY

     68,240        68,074  

5.50%, 9/16/39, Series 2009-76, Class XA, REMIC

     425,664        496,740  

4.50%, 9/16/40, Series 2010-125, Class BZ, REMIC

     256,142        271,033  

3.00%, 7/16/41, Series 2011-135, Class WH

     131,648        130,700  

3.00%, 3/16/42, Series 2012-39, Class GC, REMIC

     145,000        148,414  

4.00%, 3/20/44, Series 2014-43, Class Z

     615,269        694,148  

3.75%, 4/16/44, Series 2014-60, Class AL

     250,000        272,367  

3.00%, 11/20/45, Series 2015-165, Class ZE

     120,595        125,817  

JP Morgan Mortgage Trust

     

3.60%, 5/25/45, Series 2015-3, Class B3^(a)(b)

     133,749        132,727  

3.91%, 12/25/48, Series 2018-6, Class B2^(a)(b)

     272,281        267,678  

3.45%, 5/25/50, Series 2019-9, Class B2A^(a)(b)

     287,462        282,356  

4.42%, 5/25/50, Series 2019-INV3, Class B3^(a)(b)

     222,231        221,376  

3.70%, 11/25/50, Series 2020-4, Class B2^(a)(b)

     289,719        285,016  

3.61%, 12/25/50, Series 2020-5, Class B1^(a)(b)

     483,647        479,899  

Provident Funding Mortgage Trust

     

3.27%, 2/25/50, Series 2020-1, Class B1^(a)(b)

     382,319        376,395  

RCKT Mortgage Trust

     

3.00%, 2/25/50, Series 2020-1, Class A13^(a)(b)

     164,217        163,163  

Seasoned Credit Risk Transfer Trust

     

3.75%, 9/25/55, Series 2016-1, Class M2^(a)(b)

     626,457        625,520  

4.75%, 5/25/57, Series 2018-1, Class M^(b)

     300,000        302,440  

2.50%, 5/25/60, Series 2020-3, Class M5TU

     174,487        174,506  

Seasoned Loans Structured Transaction Trust 3.50%, 6/25/28, Series 2018-1, Class A1

     193,912        198,582  

2.75%, 9/25/29, Series 2019-2, Class A2C

     495,000        507,240  

Sequoia Mortgage Trust

     

4.00%, 3/25/48, Series 2018-CH1, Class A1^(a)(b)

     29,484        29,670  

Verus Securitization Trust

     

2.99%, 5/25/60, Series 2020-2, Class A2^(a)(b)

     300,000        296,166  

TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS

(Cost: $18,922,568)

 

 

     18,345,977  
COMMERCIAL MORTGAGE-BACKED SECURITIES – 4.8%

 

United States – 4.8%

 

Bank

     

1.35%, 11/15/53, Series 2020-BN29, Class XA^(b)(c)

   4,457,745      420,417  

2.90%, 6/15/64, Series 2021-BN35, Class C^(b)

     350,000        326,154  

Benchmark Mortgage Trust

     

2.50%, 12/15/62, Series 2019-B14, Class D(a)

     380,000        313,163  

Cantor Commercial Real Estate Lending

     

2.50%, 1/15/53, Series 2019-CF3, Class D^(a)(b)

     250,000        205,627  

Federal Home Loan Mortgage Corp. Multiclass Certificates

     

1.84%, 9/25/45, Series 2021-P011, Class X1^(b)(c)

     437,082        67,036  

Washington State Housing Finance Commission

     

0.73%, 12/20/35, Series 2021-1, Class X^(b)(c)

     6,240,820        360,907  

WFRBS Commercial Mortgage Trust

     

4.23%, 8/15/47, Series 2014-C21, Class C^(b)

     200,000        197,439  

TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES

(Cost: $1,959,152)

 

 

     1,890,743  
U.S. GOVERNMENT AGENCIES – 41.2%

 

Federal Home Loan Mortgage Corporation – 5.8%

 

4.00%, 1/1/42

     265,297        284,761  

3.00%, 11/15/42

     395,811        405,749  

3.50%, 8/1/46

     270,327        283,707  

3.50%, 9/1/47

     338,964        353,716  

2.00%, 1/1/52

     997,573        959,409  
     

 

 

 
Total Federal Home Loan Mortgage Corporation

 

     2,287,342  
Federal National Mortgage Association – 6.2%

 

4.00%, 11/1/43

     309,877        332,508  

4.00%, 5/1/47

     251,162        266,997  

4.00%, 12/1/47

     256,117        272,274  

4.00%, 10/1/48

     930,543        997,247  

4.00%, 4/1/55

     443,974        484,893  

4.50%, 6/1/56

     82,632        90,262  
     

 

 

 
Total Federal National Mortgage Association

 

     2,444,181  
Government National Mortgage Association – 17.3%

 

3.50%, 7/20/47

     519,131        545,860  

4.50%, 5/20/49

     82,652        86,782  

2.50%, 3/1/52(d)

     3,690,000        3,687,261  

3.00%, 4/1/52(d)

     2,450,000        2,485,123  
     

 

 

 
Total Government National Mortgage Association

 

     6,805,026  
Uniform Mortgage-Backed Securities – 11.9%

 

2.00%, 3/1/52(d)

     1,588,000        1,523,364  

2.50%, 3/1/52(d)

     3,199,000        3,156,388  
     

 

 

 
Total Uniform Mortgage-Backed Securities

 

     4,679,752  

TOTAL U.S. GOVERNMENT AGENCIES

(Cost: $16,216,224)

 

 

     16,216,301  

TOTAL INVESTMENTS IN SECURITIES – 98.2%

(Cost: $39,288,736)

 

 

     38,654,991  

Other Assets less Liabilities – 1.8%

 

     711,788  
  

 

 

 
NET ASSETS – 100.0%

 

   $ 39,366,779  

 

See Notes to Financial Statements.

 

WisdomTree Trust      79  


Table of Contents

Schedule of Investments (unaudited) (concluded)

WisdomTree Mortgage Plus Bond Fund (MTGP)

February 28, 2022

 

 

^ 

Variable coupon rate based on weighted average interest rate of underlying mortgage.

 

(a) 

This security is exempt from registration under rule 144A of the Securities Act of 1933. This security may be sold in transactions that are exempt from registration, normally to qualified institutional buyers.

 

(b) 

Rate shown reflects the accrual rate as of February 28, 2022 on securities with variable or step rates.

 

(c) 

Interest-only security. The principal amount shown is a notional amount representing the outstanding principal of the underlying debt obligation(s). Holders of interest-only securities do not receive principal payments on the underlying debt obligation(s).

 

(d) 

To-be-announced (“TBA”) security (See Note 2). TBA securities are non-income producing.

 

FINANCIAL DERIVATIVE INSTRUMENTS  
FUTURES CONTRACTS (EXCHANGE-TRADED)  
Short Exposure   Contracts     Expiration
Date
    Notional
Value
    Unrealized
Appreciation/
(Depreciation)
 

10 Year U.S. Treasury Note

    4       6/21/22     $ (509,750   $ (4,844
Long Exposure

 

               

U.S. Treasury Long Bond

    6       6/21/22     $ 940,125     $ 14,430  

U.S. Treasury Ultra Long Term Bond

    2       6/21/22       371,875       5,196  
      $ 1,312,000     $ 19,626  

Total – Net

 

  $ 802,250     $ 14,782  

 

FAIR VALUATION SUMMARY

The following is a summary of the fair valuations according to the inputs used as of February 28, 2022 in valuing the Fund’s investments (See Note 2 — Fair Value Measurement):

 

      Quoted
Prices in
Active
Markets
(Level 1)
     Other
Significant
Observable
Inputs
(Level 2)
     Significant
Unobservable
Inputs
(Level 3)
     Total  

Assets:

        

Investments in Securities

           

Asset-Backed Securities

   $      $ 317,892      $      $ 317,892  

Collateralized Loan Obligations

            1,884,078               1,884,078  

Collateralized Mortgage Obligations

            18,345,977               18,345,977  

Commercial Mortgage-Backed Securities

            1,890,743               1,890,743  

U.S. Government Agencies

            16,216,301               16,216,301  

Total Investments in Securities

   $      $ 38,654,991      $      $ 38,654,991  

Financial Derivative Instruments

           

Futures Contracts1

   $ 19,626      $      $      $ 19,626  

Liabilities:

           

Financial Derivative Instruments

           

Futures Contracts1

   $ (4,844    $      $      $ (4,844

Total – Net

   $ 14,782      $ 38,654,991      $      $ 38,669,773  
1 

Amount shown represents the unrealized appreciation (depreciation) on the financial instrument.

 

See Notes to Financial Statements.

 

80   WisdomTree Trust


Table of Contents

Schedule of Investments (unaudited)

WisdomTree Yield Enhanced U.S. Aggregate Bond Fund (AGGY)

February 28, 2022

 

 

 

Investments in Long Securities    Principal
Amount
     Value  
U.S. GOVERNMENT AGENCIES – 48.0%      
Federal Farm Credit Bank – 0.5%      

2.02%, 4/1/31

   $ 2,000,000      $ 1,920,300  

1.79%, 6/22/35

     500,000        455,620  

1.65%, 7/23/35

     1,500,000        1,330,980  

1.95%, 8/13/40

     1,500,000        1,302,495  
     

 

 

 
Total Federal Farm Credit Bank

 

     5,009,395  
Federal Home Loan Bank – 1.0%

 

3.25%, 11/16/28

     1,200,000        1,298,892  

5.50%, 7/15/36

     6,500,000        8,990,930  
     

 

 

 
Total Federal Home Loan Bank

 

     10,289,822  
Federal Home Loan Mortgage Corporation – 7.9%

 

6.75%, 9/15/29, Series GDIF

     280,000        376,748  

2.50%, 4/1/30

     1,815,492        1,845,502  

3.00%, 5/1/30

     542,445        557,065  

6.75%, 3/15/31

     5,500,000        7,594,620  

6.25%, 7/15/32

     13,659,000        18,901,324  

3.00%, 1/1/33

     1,387,688        1,429,556  

3.00%, 5/1/33

     1,905,078        1,954,373  

4.00%, 11/1/33

     37,049        38,409  

5.50%, 12/1/33

     266,818        296,072  

6.50%, 3/1/36

     176,946        198,482  

5.00%, 6/1/37

     1,545        1,703  

6.00%, 9/1/37

     141,838        159,230  

2.28%, 11/15/38, Series 1(a)

     200,000        131,434  

5.50%, 2/1/40

     5,855        6,573  

4.50%, 8/1/40

     108,082        116,966  

4.00%, 11/1/40

     8,397        8,943  

5.00%, 3/1/41

     173,748        191,505  

5.50%, 6/1/41

     174,370        195,442  

5.00%, 7/1/41

     5,012        5,533  

3.50%, 10/1/41

     129,594        135,802  

3.50%, 2/1/42

     117,942        123,590  

5.00%, 2/1/42

     227,025        250,445  

4.00%, 4/1/42

     403,837        430,167  

4.50%, 5/1/42

     177,158        191,643  

3.50%, 6/1/42

     30,066        31,486  

3.50%, 7/1/42

     144,547        151,371  

3.50%, 8/1/42

     135,751        142,160  

3.50%, 9/1/42

     167,726        175,733  

3.00%, 3/1/43

     247,624        254,836  

3.00%, 4/1/43

     155,346        159,870  

3.00%, 7/1/43

     670,012        690,397  

3.50%, 7/1/43

     194,869        203,982  

3.00%, 8/1/43

     47,468        48,850  

4.00%, 8/1/43

     16,047        17,099  

3.50%, 1/1/44

     1,029,228        1,078,186  

3.00%, 2/1/44

     114,989        118,406  

3.50%, 2/1/44

     80,217        83,968  

4.00%, 3/1/44

     29,783        31,604  

4.00%, 4/1/44

     309,084        329,257  

3.50%, 5/1/44

     118,846        124,428  

4.00%, 5/1/44

     108,866        115,522  

4.50%, 5/1/44

     6,558        7,068  

4.50%, 7/1/44

     93,772        101,073  

4.00%, 8/1/44

     394,766        422,990  

3.50%, 10/1/44

     12,257        12,837  

4.50%, 11/1/44

   92,784      100,005  

3.50%, 12/1/44

     157,100        164,538  

3.50%, 1/1/45

     32,001        33,500  

4.00%, 2/1/45

     53,985        57,119  

4.00%, 3/1/45

     7,443        7,876  

3.00%, 4/1/45

     10,768        11,027  

4.00%, 4/1/45

     34,126        36,086  

3.00%, 5/1/45

     44,426        45,521  

3.50%, 5/1/45

     69,733        72,727  

3.50%, 6/1/45

     34,727        36,197  

4.00%, 6/1/45

     100,905        106,763  

3.00%, 7/1/45

     11,610        11,889  

3.00%, 8/1/45

     49,530        50,751  

3.50%, 8/1/45

     485,484        506,333  

4.00%, 9/1/45

     55,622        58,817  

3.50%, 10/1/45

     68,578        71,523  

4.00%, 10/1/45

     59,246        62,686  

3.50%, 11/1/45

     33,689        35,136  

4.00%, 11/1/45

     47,957        50,741  

4.50%, 11/1/45

     392,848        423,254  

3.00%, 12/1/45

     45,385        46,504  

4.50%, 12/1/45

     134,945        145,447  

4.00%, 1/1/46

     16,182        17,172  

4.00%, 2/1/46

     77,217        81,689  

4.00%, 3/1/46

     60,539        63,810  

3.00%, 4/1/46

     211,775        216,760  

3.50%, 4/1/46

     315,194        328,430  

4.50%, 4/1/46

     370,335        400,032  

3.50%, 5/1/46

     63,394        66,083  

3.00%, 6/1/46

     48,468        49,640  

3.00%, 9/1/46

     1,093,859        1,121,819  

3.50%, 9/1/46

     86,040        89,690  

2.50%, 10/1/46

     51,697        51,729  

3.00%, 10/1/46

     62,621        64,156  

3.50%, 10/1/46

     34,147        35,595  

3.00%, 11/1/46

     454,258        464,950  

3.50%, 11/1/46

     12,244        12,763  

4.00%, 11/1/46

     24,586        25,915  

4.50%, 11/1/46

     251,547        271,124  

3.00%, 12/1/46

     198,266        202,933  

3.00%, 1/1/47

     355,638        364,094  

4.00%, 1/1/47

     105,672        111,382  

4.50%, 1/1/47

     348,239        375,192  

3.00%, 2/1/47

     311,587        318,985  

3.00%, 4/1/47

     437,159        447,515  

3.50%, 4/1/47

     138,408        143,450  

4.00%, 4/1/47

     75,358        79,238  

4.00%, 5/1/47

     60,353        63,461  

4.50%, 5/1/47

     15,189        16,123  

4.00%, 6/1/47

     91,178        95,873  

3.50%, 7/1/47

     93,209        96,665  

4.00%, 7/1/47

     162,339        170,616  

3.50%, 8/1/47

     94,769        98,282  

4.00%, 8/1/47

     343,632        361,153  

4.50%, 8/1/47

     83,033        88,133  

3.50%, 9/1/47

     227,568        236,001  

4.50%, 9/1/47

     112,689        119,611  

4.00%, 10/1/47

     276,508        290,607  

 

See Notes to Financial Statements.

 

WisdomTree Trust      81  


Table of Contents

Schedule of Investments (unaudited) (continued)

WisdomTree Yield Enhanced U.S. Aggregate Bond Fund (AGGY)

February 28, 2022

 

 

 

Investments in Long Securities    Principal
Amount
     Value  

4.50%, 10/1/47

   $ 44,185      $ 46,900  

3.50%, 11/1/47

     314,339        325,878  

3.50%, 1/1/48

     83,972        87,031  

4.50%, 2/1/48

     64,247        68,193  

3.00%, 9/1/48

     140,387        143,692  

4.00%, 9/1/48

     61,966        64,966  

4.00%, 10/1/48

     364,644        383,784  

4.50%, 10/1/48

     158,407        168,097  

3.00%, 12/1/48

     65,664        67,091  

4.50%, 2/1/49

     656,250        697,452  

4.50%, 3/1/49

     27,132        28,791  

5.00%, 3/1/49

     16,645        17,958  

4.50%, 5/1/49

     104,197        110,469  

4.00%, 7/1/49

     583,960        619,042  

4.50%, 7/1/49

     113,785        120,633  

5.50%, 7/1/49

     95,721        103,451  

3.50%, 8/1/49

     378,401        392,023  

3.00%, 10/1/49

     637,129        647,230  

5.00%, 10/1/49

     945,163        1,019,123  

5.50%, 10/1/49

     230,001        252,412  

3.00%, 12/1/49

     617,215        626,836  

3.00%, 2/1/50

     460,357        467,192  

3.00%, 3/1/50

     347,615        352,838  

3.00%, 4/1/50

     1,934,226        1,959,718  

2.50%, 5/1/50

     610,923        605,603  

3.00%, 5/1/50

     69,883        70,631  

2.50%, 6/1/50

     1,006,315        997,217  

4.00%, 6/1/50

     646,908        675,376  

2.50%, 7/1/50

     288,197        285,514  

3.50%, 7/1/50

     28,086        28,936  

2.50%, 8/1/50

     1,194,447        1,183,420  

2.50%, 9/1/50

     2,815,420        2,788,785  

2.00%, 1/1/51

     897,953        865,605  

1.50%, 2/1/51

     1,496,650        1,391,368  

2.50%, 2/1/51

     768,306        760,387  

2.00%, 3/1/51

     274,999        264,409  

2.00%, 4/1/51

     1,596,300        1,532,624  

2.00%, 5/1/51

     1,961,045        1,883,389  

2.50%, 5/1/51

     453,522        448,418  

1.50%, 6/1/51

     2,250,059        2,089,788  

2.00%, 9/1/51

     967,831        929,225  

2.50%, 9/1/51

     1,869,140        1,846,884  

1.50%, 10/1/51

     1,374,980        1,276,477  

2.00%, 10/1/51

     2,546,081        2,447,463  

1.50%, 11/1/51

     984,478        913,849  

2.00%, 11/1/51

     983,897        944,939  

3.00%, 12/1/51

     589,811        596,597  

3.50%, 12/1/51

     666,609        687,578  
     

 

 

 
Total Federal Home Loan Mortgage Corporation

 

     82,902,643  
Federal National Mortgage Association – 13.4%

 

4.00%, 9/1/25

     626,264        649,568  

1.88%, 9/24/26

     60,000        60,271  

0.75%, 10/8/27

     60,000        56,425  

2.50%, 11/1/30

     287,211        291,967  

6.63%, 11/15/30

     1,945,000        2,638,217  

2.50%, 1/1/32

     660,545        671,483  

2.50%, 2/1/32

     112,301        114,186  

3.00%, 5/1/32

     186,243        191,859  

2.50%, 6/1/32

   801,606      815,060  

6.00%, 9/1/32

     138,024        154,326  

3.00%, 11/1/32

     182,509        188,013  

6.00%, 12/1/32

     267,598        291,733  

2.50%, 1/1/33

     283,489        288,166  

5.00%, 8/1/33

     214,783        234,332  

5.50%, 10/1/35

     27,841        31,030  

5.50%, 4/1/37

     259,705        288,736  

5.63%, 7/15/37

     3,545,000        4,972,891  

5.00%, 5/1/38

     8,904        9,817  

6.00%, 5/1/38

     24,759        28,091  

5.50%, 6/1/38

     72,779        81,455  

5.50%, 11/1/38

     1,834        2,060  

4.00%, 8/1/39

     49,449        52,646  

4.50%, 9/1/39

     272,827        295,130  

5.00%, 9/1/39

     148,352        163,633  

4.50%, 11/1/39

     77,462        83,795  

5.50%, 4/1/40

     10,827        12,070  

4.50%, 8/1/40

     165,847        179,370  

4.50%, 9/1/40

     107,542        116,311  

4.00%, 10/1/40

     89,590        95,366  

4.00%, 12/1/40

     19,973        21,307  

3.50%, 1/1/41

     152,662        159,895  

4.00%, 1/1/41

     15,133        16,109  

4.00%, 2/1/41

     455,147        484,488  

4.50%, 2/1/41

     48,426        52,375  

4.00%, 3/1/41

     366,310        389,918  

6.00%, 7/1/41

     378,729        429,028  

4.50%, 8/1/41

     132,408        143,152  

4.00%, 9/1/41

     42,302        45,029  

4.50%, 9/1/41

     161,877        175,077  

5.50%, 9/1/41

     39,397        44,189  

4.00%, 10/1/41

     605,025        650,366  

4.00%, 11/1/41

     78,068        83,099  

4.00%, 12/1/41

     72,593        77,638  

4.00%, 1/1/42

     131,241        139,699  

4.50%, 1/1/42

     118,888        128,582  

6.00%, 1/1/42

     229,707        260,720  

4.00%, 3/1/42

     183,130        194,931  

4.00%, 5/1/42

     19,883        21,165  

3.50%, 6/1/42

     235,196        246,288  

4.00%, 6/1/42

     295,901        314,971  

4.00%, 9/1/42

     217,703        234,793  

3.00%, 10/1/42

     271,112        278,868  

4.00%, 12/1/42

     71,019        75,596  

2.50%, 2/1/43

     162,799        163,578  

4.00%, 2/1/43

     111,345        118,523  

2.50%, 3/1/43

     13,998        14,065  

3.00%, 4/1/43

     436,158        448,839  

2.50%, 5/1/43

     52,457        52,696  

3.00%, 5/1/43

     108,891        112,057  

3.50%, 5/1/43

     27,191        28,448  

3.00%, 6/1/43

     274,954        283,148  

3.00%, 7/1/43

     406,186        419,181  

3.50%, 7/1/43

     990,556        1,042,088  

3.00%, 8/1/43

     1,531,983        1,579,216  

3.50%, 8/1/43

     605,680        633,668  

4.00%, 8/1/43

     31,359        33,409  

 

See Notes to Financial Statements.

 

82   WisdomTree Trust


Table of Contents

Schedule of Investments (unaudited) (continued)

WisdomTree Yield Enhanced U.S. Aggregate Bond Fund (AGGY)

February 28, 2022

 

 

 

Investments in Long Securities    Principal
Amount
     Value  

3.00%, 9/1/43

   $ 2,061,960      $ 2,121,912  

4.00%, 9/1/43

     207,811        221,504  

4.50%, 9/1/43

     17,354        18,769  

3.50%, 10/1/43

     129,340        135,317  

3.50%, 11/1/43

     208,660        218,501  

4.00%, 11/1/43

     259,847        277,902  

3.50%, 12/1/43

     283,478        296,848  

4.00%, 1/1/44

     405,814        434,080  

4.00%, 2/1/44

     113,038        120,427  

4.00%, 3/1/44

     86,935        92,239  

4.50%, 5/1/44

     78,578        84,706  

3.50%, 6/1/44

     116,108        121,590  

4.00%, 6/1/44

     39,530        42,053  

4.00%, 7/1/44

     476,951        506,657  

3.50%, 8/1/44

     22,386        23,425  

4.00%, 8/1/44

     31,846        33,788  

4.00%, 9/1/44

     109,809        116,508  

3.00%, 10/1/44

     361,726        372,244  

4.00%, 11/1/44

     184,558        196,320  

5.00%, 11/1/44

     142,063        156,658  

4.00%, 12/1/44

     74,438        79,044  

3.00%, 1/1/45

     4,006        4,111  

3.50%, 2/1/45

     765,591        801,698  

4.00%, 2/1/45

     400,270        425,961  

4.50%, 2/1/45

     435,060        470,288  

3.00%, 4/1/45

     94,885        97,164  

3.00%, 5/1/45

     354,577        364,886  

3.00%, 6/1/45

     102,310        104,768  

3.50%, 6/1/45

     93,014        96,943  

4.00%, 6/1/45

     496,929        527,783  

3.50%, 7/1/45

     650,657        678,136  

3.50%, 8/1/45

     410,853        431,050  

3.50%, 9/1/45

     962,192        1,002,828  

4.00%, 9/1/45

     123,619        130,721  

3.00%, 10/1/45

     42,661        43,686  

3.50%, 10/1/45

     60,629        63,189  

4.00%, 10/1/45

     184,086        194,661  

4.50%, 10/1/45

     120,382        130,150  

3.00%, 11/1/45

     37,983        38,896  

4.00%, 11/1/45

     52,720        55,748  

3.00%, 12/1/45

     711,470        731,187  

3.50%, 12/1/45

     70,973        73,971  

3.50%, 1/1/46

     1,369,470        1,427,308  

4.00%, 1/1/46

     90,178        95,826  

3.00%, 2/1/46

     99,500        101,891  

3.50%, 2/1/46

     305,188        317,967  

3.50%, 3/1/46

     1,531,359        1,602,312  

4.00%, 3/1/46

     28,532        30,171  

3.00%, 4/1/46

     462,215        473,319  

3.50%, 4/1/46

     594,264        619,121  

3.50%, 5/1/46

     148,293        154,495  

4.50%, 5/1/46

     38,899        41,899  

3.00%, 6/1/46

     619,649        635,765  

3.50%, 6/1/46

     56,321        58,677  

3.50%, 7/1/46

     253,620        264,228  

4.00%, 7/1/46

     39,917        42,050  

2.50%, 8/1/46

     14,673        14,672  

3.00%, 8/1/46

     96,700        98,977  

2.50%, 9/1/46

   19,084      19,083  

3.00%, 9/1/46

     477,022        488,256  

4.00%, 9/1/46

     533,812        568,539  

2.50%, 10/1/46

     23,722        23,721  

3.00%, 10/1/46

     1,055,032        1,079,876  

4.00%, 10/1/46

     82,441        86,847  

2.50%, 11/1/46

     18,846        18,846  

3.00%, 11/1/46

     1,439,852        1,473,806  

2.50%, 12/1/46

     43,270        43,269  

3.00%, 12/1/46

     930,490        952,401  

3.50%, 12/1/46

     947,954        990,067  

2.50%, 1/1/47

     52,786        52,784  

3.00%, 1/1/47

     180,199        184,442  

3.50%, 1/1/47

     322,412        335,897  

4.00%, 1/1/47

     91,635        96,532  

4.50%, 1/1/47

     79,301        84,707  

5.50%, 1/1/47

     288,164        321,374  

3.00%, 2/1/47

     597,246        611,310  

3.50%, 2/1/47

     2,898,424        3,027,223  

4.00%, 2/1/47

     513,742        545,083  

4.50%, 3/1/47

     50,359        53,413  

3.00%, 4/1/47

     1,051,514        1,076,275  

4.00%, 4/1/47

     111,359        117,017  

4.50%, 4/1/47

     133,485        141,582  

3.00%, 5/1/47

     601,347        617,089  

3.50%, 5/1/47

     229,017        238,597  

4.00%, 5/1/47

     387,098        407,367  

4.50%, 5/1/47

     835,450        899,705  

4.00%, 6/1/47

     329,160        346,758  

3.50%, 7/1/47

     1,230,128        1,289,249  

4.00%, 7/1/47

     265,904        280,326  

4.50%, 7/1/47

     221,654        235,099  

5.00%, 7/1/47

     224,573        247,610  

3.50%, 8/1/47

     170,163        176,781  

4.00%, 8/1/47

     925,692        974,910  

3.00%, 9/1/47

     677,753        693,610  

3.50%, 9/1/47

     279,013        289,183  

4.00%, 9/1/47

     137,915        144,924  

4.50%, 9/1/47

     136,673        144,962  

3.50%, 10/1/47

     64,421        66,769  

4.00%, 10/1/47

     166,954        175,437  

4.50%, 10/1/47

     151,752        160,956  

3.50%, 11/1/47

     159,490        165,304  

4.00%, 11/1/47

     536,214        563,463  

4.50%, 11/1/47

     197,943        209,948  

3.00%, 12/1/47

     238,728        243,949  

3.50%, 12/1/47

     108,750        113,299  

4.00%, 12/1/47

     197,508        207,545  

3.00%, 1/1/48

     860,693        879,515  

3.50%, 1/1/48

     941,779        976,108  

3.00%, 2/1/48

     103,090        105,344  

3.50%, 2/1/48

     527,143        546,358  

4.50%, 4/1/48

     15,864        16,823  

4.00%, 5/1/48

     250,867        264,498  

5.00%, 5/1/48

     114,901        123,914  

4.00%, 6/1/48

     76,987        80,664  

4.50%, 6/1/48

     24,328        25,797  

5.00%, 6/1/48

     26,076        28,108  

3.50%, 7/1/48

     164,622        171,575  

 

See Notes to Financial Statements.

 

WisdomTree Trust      83  


Table of Contents

Schedule of Investments (unaudited) (continued)

WisdomTree Yield Enhanced U.S. Aggregate Bond Fund (AGGY)

February 28, 2022

 

 

 

Investments in Long Securities    Principal
Amount
     Value  

4.00%, 7/1/48

   $ 299,337      $ 313,635  

4.50%, 7/1/48

     109,541        116,184  

3.00%, 8/1/48

     789,175        809,835  

3.50%, 8/1/48

     228,373        239,024  

4.50%, 8/1/48

     211,585        224,781  

5.00%, 8/1/48

     109,545        118,082  

3.00%, 9/1/48

     216,912        222,020  

4.00%, 9/1/48

     837,282        879,000  

4.00%, 10/1/48

     1,657,050        1,755,463  

3.00%, 11/1/48

     1,266,751        1,296,757  

3.50%, 11/1/48

     1,180,646        1,223,681  

4.00%, 11/1/48

     171,507        181,210  

4.50%, 11/1/48

     270,096        287,648  

5.00%, 11/1/48

     126,780        136,660  

4.50%, 12/1/48

     347,118        368,085  

3.50%, 1/1/49

     138,268        143,408  

4.00%, 1/1/49

     216,743        227,757  

4.50%, 1/1/49

     324,745        344,441  

5.00%, 2/1/49

     179,129        193,088  

4.00%, 3/1/49

     50,461        52,681  

4.50%, 3/1/49

     236,896        251,161  

5.00%, 3/1/49

     13,801        14,876  

4.00%, 4/1/49

     280,380        292,714  

4.50%, 4/1/49

     112,670        119,439  

3.50%, 5/1/49

     52,924        54,751  

4.00%, 5/1/49

     749,736        790,201  

4.50%, 5/1/49

     175,176        185,701  

3.50%, 6/1/49

     528,009        547,820  

4.00%, 7/1/49

     162,202        169,337  

3.50%, 8/1/49

     1,004,577        1,040,821  

4.00%, 8/1/49

     311,590        325,297  

3.00%, 9/1/49

     1,044,451        1,061,137  

3.00%, 10/1/49

     526,901        534,256  

4.00%, 10/1/49

     171,389        178,929  

4.50%, 10/1/49

     162,315        172,066  

2.50%, 11/1/49

     1,598,332        1,588,863  

3.00%, 12/1/49

     818,022        829,442  

3.00%, 1/1/50

     1,128,747        1,145,023  

3.00%, 2/1/50

     897,296        911,510  

4.50%, 2/1/50

     147,420        156,277  

3.00%, 3/1/50

     1,942,236        1,964,978  

3.50%, 3/1/50

     277,335        287,518  

4.00%, 3/1/50

     186,742        195,661  

5.00%, 3/1/50

     605,681        655,222  

2.50%, 4/1/50

     1,498,131        1,484,534  

3.50%, 4/1/50

     303,685        314,462  

5.50%, 4/1/50

     166,794        186,526  

2.50%, 5/1/50

     2,235,180        2,215,892  

3.50%, 5/1/50

     720,709        745,843  

2.50%, 6/1/50

     3,106,836        3,078,655  

2.50%, 7/1/50

     344,584        341,403  

3.00%, 7/1/50

     558,009        563,981  

3.50%, 7/1/50

     203,898        211,861  

2.50%, 8/1/50

     2,722,082        2,696,954  

3.00%, 8/1/50

     769,583        777,820  

2.00%, 9/1/50

     1,540,825        1,485,324  

2.50%, 9/1/50

     1,092,137        1,083,346  

2.00%, 10/1/50

     7,433,295        7,165,545  

3.00%, 10/1/50

   504,306      509,704  

1.50%, 11/1/50

     1,023,812        951,789  

2.50%, 11/1/50

     322,054        318,958  

3.50%, 11/1/50

     250,623        258,210  

1.50%, 12/1/50

     2,590,222        2,408,006  

2.00%, 12/1/50

     4,259,686        4,106,251  

2.50%, 12/1/50

     1,496,194        1,481,463  

2.00%, 1/1/51

     920,940        887,768  

2.00%, 2/1/51

     4,579,335        4,412,231  

2.50%, 2/1/51

     742,153        734,077  

3.00%, 4/1/51

     353,006        356,838  

2.00%, 5/1/51

     701,039        673,932  

2.50%, 5/1/51

     1,856,277        1,833,174  

1.50%, 6/1/51

     1,106,844        1,028,818  

2.00%, 6/1/51

     699,909        672,882  

2.00%, 7/1/51

     570,323        548,762  

2.50%, 7/1/51

     1,979,083        1,955,699  

2.00%, 8/1/51

     587,197        564,751  

2.50%, 8/1/51

     672,226        664,485  

3.00%, 8/1/51

     951,881        965,500  

2.00%, 9/1/51

     2,045,132        1,963,546  

2.00%, 10/1/51

     986,101        947,947  

2.50%, 10/1/51

     588,519        581,557  

3.00%, 11/1/51

     197,399        199,638  

2.00%, 12/1/51

     962,066        924,276  

2.50%, 12/1/51

     322,063        318,304  

3.00%, 1/1/52

     249,168        252,781  

3.00%, 2/1/52

     199,160        201,511  
     

 

 

 
Total Federal National Mortgage Association

 

     140,956,539  
Government National Mortgage Association – 9.8%

 

4.00%, 11/20/40

     1,498,610        1,610,275  

3.50%, 12/20/42

     1,380,426        1,464,550  

2.50%, 3/20/43

     105,822        106,852  

3.50%, 4/20/45

     72,658        76,096  

3.50%, 12/20/45

     665,296        696,770  

3.50%, 1/20/46

     262,640        275,065  

3.00%, 9/20/46

     297,793        305,705  

4.00%, 10/20/46

     2,232,398        2,363,685  

3.00%, 1/20/47

     292,403        300,172  

2.50%, 2/20/47

     66,350        66,965  

3.00%, 2/20/47

     350,144        359,448  

4.00%, 7/20/47

     856,848        899,465  

4.50%, 8/20/47

     396,751        423,164  

3.00%, 9/20/47

     77,779        79,686  

3.50%, 10/20/47

     76,050        79,103  

3.00%, 12/20/47

     92,662        94,934  

3.50%, 1/20/48

     252,522        262,658  

4.00%, 1/20/48

     343,274        360,348  

3.00%, 3/20/48

     119,198        122,120  

3.50%, 3/20/48

     435,504        452,985  

3.50%, 4/20/48

     184,561        191,969  

4.50%, 5/20/48

     1,032,047        1,099,015  

4.50%, 6/20/48

     979,696        1,028,457  

4.00%, 8/20/48

     688,756        720,934  

3.50%, 9/20/48

     88,664        92,223  

3.50%, 1/20/49

     19,768        20,562  

4.00%, 2/20/49

     90,965        95,215  

4.50%, 2/20/49

     161,564        169,605  

 

See Notes to Financial Statements.

 

84   WisdomTree Trust


Table of Contents

Schedule of Investments (unaudited) (continued)

WisdomTree Yield Enhanced U.S. Aggregate Bond Fund (AGGY)

February 28, 2022

 

 

 

Investments in Long Securities    Principal
Amount
     Value  

3.50%, 3/20/49

   $ 164,621      $ 170,954  

4.00%, 3/20/49

     860,388        900,584  

4.50%, 3/20/49

     38,478        40,393  

5.00%, 9/20/49

     31,339        33,533  

4.50%, 10/20/49

     140,898        147,911  

3.00%, 1/20/50

     49,104        50,040  

3.50%, 1/20/50

     68,400        70,791  

5.00%, 1/20/50

     25,032        26,785  

3.50%, 2/20/50

     26,248        27,166  

3.50%, 4/20/50

     9,568        9,893  

4.00%, 4/20/50

     35,904        37,345  

2.50%, 5/15/50

     117,177        117,092  

5.00%, 5/20/50

     8,449        9,046  

3.00%, 6/20/50

     315,779        321,434  

3.50%, 6/20/50

     173,180        178,824  

4.00%, 6/20/50

     131,628        136,908  

2.50%, 7/15/50

     70,749        70,698  

3.00%, 7/20/50

     96,503        98,236  

3.00%, 8/20/50

     129,658        131,994  

4.50%, 8/20/50

     90,298        94,793  

3.50%, 12/20/50

     155,390        160,477  

2.00%, 3/20/51

     693,809        679,032  

4.00%, 3/20/51

     378,660        393,852  

2.50%, 4/20/51

     813,204        813,518  

2.50%, 5/20/51

     44,820        44,837  

2.00%, 7/20/51

     1,925,398        1,884,390  

2.50%, 7/20/51

     955,251        955,620  

3.00%, 7/20/51

     550,270        559,999  

3.50%, 7/20/51

     1,460,343        1,508,797  

2.50%, 8/20/51

     963,672        964,044  

2.00%, 10/20/51

     394,077        385,684  

3.50%, 10/20/51

     1,467,958        1,517,373  

2.00%, 12/20/51

     223,701        218,937  

2.50%, 1/20/52

     149,560        149,617  

2.00%, 3/1/52(b)

     23,675,000        23,141,894  

2.50%, 3/1/52(b)

     24,300,000        24,278,987  

3.00%, 3/1/52(b)

     18,100,000        18,399,649  

3.50%, 3/1/52(b)

     8,125,000        8,382,114  

4.50%, 3/1/52(b)

     550,000        576,162  

5.00%, 3/1/52(b)

     800,000        846,630  

2.00%, 4/21/52(b)

     700,000        683,030  
     

 

 

 
Total Government National Mortgage Association

 

     103,037,089  
Tennessee Valley Authority – 4.8%

 

4.70%, 7/15/33, Series B

     3,450,000        4,257,680  

4.65%, 6/15/35

     2,250,000        2,799,585  

5.88%, 4/1/36

     4,350,000        6,107,792  

6.15%, 1/15/38

     100,000        146,512  

5.50%, 6/15/38

     2,000,000        2,735,200  

5.25%, 9/15/39

     8,326,000        11,198,553  

3.50%, 12/15/42

     5,519,000        6,147,007  

4.88%, 1/15/48

     1,995,000        2,734,686  

5.38%, 4/1/56

     3,790,000        5,881,246  

4.63%, 9/15/60

     2,700,000        3,798,495  

4.25%, 9/15/65

     3,350,000        4,459,721  
     

 

 

 
Total Tennessee Valley Authority

 

     50,266,477  
Uniform Mortgage-Backed Securities – 10.6%

 

1.50%, 3/1/52(b)

     2,700,000        2,502,552  

2.00%, 3/1/52(b)

   65,725,000      63,030,112  

2.50%, 3/1/52(b)

     40,725,000        40,174,964  

3.00%, 3/1/52(b)

     1,500,000        1,514,941  

2.00%, 4/1/52(b)

     1,200,000        1,148,938  

2.50%, 4/1/52(b)

     2,400,000        2,362,605  

3.00%, 4/1/52(b)

     325,000        327,382  
     

 

 

 
Total Uniform Mortgage-Backed Securities

 

     111,061,494  

TOTAL U.S. GOVERNMENT AGENCIES

(Cost: $516,659,619)

 

 

     503,523,459  
U.S. GOVERNMENT OBLIGATIONS – 19.5%

 

U.S. Treasury Bonds – 3.8%

 

7.13%, 2/15/23

     55,000        58,178  

6.25%, 8/15/23

     175,000        187,578  

7.50%, 11/15/24

     175,000        202,651  

6.25%, 5/15/30

     150,000        200,848  

0.63%, 8/15/30

     3,200,000        2,902,250  

5.38%, 2/15/31

     475,000        615,570  

4.50%, 2/15/36

     710,000        939,863  

4.38%, 2/15/38

     290,000        384,794  

4.50%, 5/15/38

     580,000        780,327  

3.50%, 2/15/39

     85,000        102,325  

4.25%, 5/15/39

     480,000        631,500  

4.50%, 8/15/39

     476,000        645,017  

4.38%, 11/15/39

     525,000        701,121  

4.63%, 2/15/40

     245,000        336,530  

4.38%, 5/15/40

     625,000        835,889  

1.13%, 8/15/40

     750,000        621,797  

3.88%, 8/15/40

     178,000        223,613  

1.38%, 11/15/40

     860,000        744,102  

4.25%, 11/15/40

     150,000        197,156  

1.88%, 2/15/41

     1,300,000        1,223,219  

4.75%, 2/15/41

     175,000        244,357  

2.25%, 5/15/41

     775,000        773,305  

4.38%, 5/15/41

     165,000        220,842  

1.75%, 8/15/41

     1,450,000        1,331,055  

3.75%, 8/15/41

     99,000        122,729  

2.00%, 11/15/41

     1,500,000        1,437,305  

3.13%, 11/15/41

     600,000        683,531  

3.13%, 2/15/42

     515,000        588,025  

3.00%, 5/15/42

     200,000        224,172  

2.75%, 8/15/42

     153,000        164,834  

2.75%, 11/15/42

     750,000        807,656  

3.13%, 2/15/43

     100,000        113,922  

2.88%, 5/15/43

     414,000        454,074  

3.63%, 8/15/43

     249,000        305,375  

3.75%, 11/15/43

     185,000        231,250  

3.63%, 2/15/44

     240,000        294,919  

3.38%, 5/15/44

     1,040,000        1,234,756  

3.13%, 8/15/44

     300,000        343,078  

3.00%, 11/15/44

     500,000        561,328  

2.50%, 2/15/45

     500,000        516,406  

3.00%, 5/15/45

     470,000        528,420  

2.88%, 8/15/45

     305,000        336,525  

3.00%, 11/15/45

     500,000        563,984  

2.50%, 2/15/46

     565,000        585,216  

2.50%, 5/15/46

     560,000        580,213  

2.25%, 8/15/46

     525,000        519,586  

2.88%, 11/15/46

     440,000        488,331  

 

See Notes to Financial Statements.

 

WisdomTree Trust      85  


Table of Contents

Schedule of Investments (unaudited) (continued)

WisdomTree Yield Enhanced U.S. Aggregate Bond Fund (AGGY)

February 28, 2022

 

 

 

Investments in Long Securities    Principal
Amount
     Value  

3.00%, 2/15/47

   $ 390,000      $ 443,046  

3.00%, 5/15/47

     100,000        113,891  

2.75%, 8/15/47

     350,000        383,441  

2.75%, 11/15/47

     410,000        449,430  

3.00%, 2/15/48

     405,000        466,098  

3.13%, 5/15/48

     625,000        736,670  

3.00%, 8/15/48

     295,000        340,379  

3.38%, 11/15/48

     515,000        636,105  

3.00%, 2/15/49

     480,000        557,325  

2.25%, 8/15/49

     510,000        514,144  

2.00%, 2/15/50

     455,000        435,769  

1.38%, 8/15/50

     680,000        560,203  

1.63%, 11/15/50

     1,550,000        1,358,551  

1.88%, 2/15/51

     1,550,000        1,443,316  

2.38%, 5/15/51

     1,750,000        1,826,289  

2.00%, 8/15/51

     1,200,000        1,152,281  

1.88%, 11/15/51

     1,750,000        1,633,926  
     

 

 

 
Total U.S. Treasury Bonds

 

     39,840,386  
U.S. Treasury Notes – 15.7%

 

1.63%, 11/15/22

     200,000        201,105  

0.13%, 11/30/22

     100,000        99,436  

1.38%, 2/15/23

     470,000        471,460  

2.00%, 2/15/23

     345,000        348,079  

0.13%, 2/28/23

     500,000        495,352  

1.50%, 2/28/23

     720,000        722,953  

2.63%, 2/28/23

     250,000        253,828  

0.50%, 3/15/23

     405,000        402,572  

0.13%, 3/31/23

     1,100,000        1,088,119  

1.50%, 3/31/23

     300,000        301,201  

0.25%, 4/15/23

     365,000        361,336  

1.63%, 4/30/23

     770,000        773,985  

2.75%, 4/30/23

     600,000        610,852  

0.13%, 5/15/23

     1,140,000        1,125,839  

1.75%, 5/15/23

     1,515,000        1,525,208  

1.63%, 5/31/23

     435,000        437,302  

2.75%, 5/31/23

     230,000        234,411  

0.25%, 6/15/23

     850,000        839,524  

0.13%, 6/30/23

     1,000,000        985,254  

1.38%, 6/30/23

     480,000        480,863  

2.63%, 6/30/23

     215,000        218,888  

0.13%, 7/15/23

     1,350,000        1,329,302  

0.13%, 7/31/23

     1,600,000        1,573,750  

1.25%, 7/31/23

     820,000        819,872  

0.13%, 8/15/23

     350,000        344,080  

2.50%, 8/15/23

     50,000        50,882  

0.13%, 8/31/23

     1,000,000        982,500  

1.38%, 8/31/23

     680,000        680,518  

2.75%, 8/31/23

     625,000        638,208  

0.13%, 9/15/23

     250,000        245,464  

0.25%, 9/30/23

     500,000        491,484  

1.38%, 9/30/23

     500,000        500,283  

2.88%, 9/30/23

     710,000        727,043  

0.13%, 10/15/23

     1,000,000        980,156  

0.38%, 10/31/23

     925,000        909,481  

1.63%, 10/31/23

     675,000        677,755  

2.88%, 10/31/23

     245,000        250,981  

0.25%, 11/15/23

     850,000        833,764  

2.75%, 11/15/23

     450,000        460,327  

0.50%, 11/30/23

   1,000,000      984,355  

2.13%, 11/30/23

     580,000        587,227  

2.88%, 11/30/23

     745,000        763,960  

0.13%, 12/15/23

     750,000        733,052  

0.75%, 12/31/23

     2,000,000        1,975,430  

2.25%, 12/31/23

     415,000        421,176  

2.63%, 12/31/23

     340,000        347,444  

0.13%, 1/15/24

     1,500,000        1,463,643  

0.88%, 1/31/24

     1,000,000        989,395  

2.25%, 1/31/24

     750,000        761,411  

2.50%, 1/31/24

     660,000        673,058  

0.13%, 2/15/24

     1,590,000        1,549,256  

2.75%, 2/15/24

     1,135,000        1,163,508  

2.38%, 2/29/24

     1,000,000        1,017,891  

0.25%, 3/15/24

     1,500,000        1,462,734  

2.13%, 3/31/24

     1,923,000        1,948,164  

0.38%, 4/15/24

     1,000,000        976,328  

2.00%, 4/30/24

     170,000        171,780  

2.25%, 4/30/24

     1,000,000        1,015,820  

0.25%, 5/15/24

     1,000,000        972,344  

2.50%, 5/15/24

     1,900,000        1,940,078  

2.00%, 5/31/24

     1,780,000        1,798,773  

0.25%, 6/15/24

     700,000        679,738  

1.75%, 6/30/24

     1,000,000        1,004,922  

2.00%, 6/30/24

     964,000        974,205  

0.38%, 7/15/24

     1,000,000        972,734  

1.75%, 7/31/24

     1,000,000        1,004,727  

2.13%, 7/31/24

     576,000        583,762  

0.38%, 8/15/24

     1,200,000        1,165,500  

2.38%, 8/15/24

     2,250,000        2,293,154  

1.25%, 8/31/24

     1,605,000        1,592,147  

1.88%, 8/31/24

     1,100,000        1,108,293  

0.38%, 9/15/24

     800,000        775,875  

1.50%, 9/30/24

     1,615,000        1,611,026  

2.13%, 9/30/24

     894,000        905,943  

0.63%, 10/15/24

     1,280,000        1,248,200  

1.50%, 10/31/24

     1,000,000        997,305  

2.25%, 10/31/24

     1,310,000        1,332,260  

0.75%, 11/15/24

     800,000        781,750  

2.25%, 11/15/24

     1,150,000        1,169,676  

1.50%, 11/30/24

     975,000        972,144  

1.00%, 12/15/24

     1,000,000        983,359  

1.75%, 12/31/24

     525,000        526,948  

2.25%, 12/31/24

     972,000        989,124  

1.38%, 1/31/25

     1,104,000        1,096,065  

2.50%, 1/31/25

     750,000        768,574  

2.00%, 2/15/25

     1,000,000        1,010,430  

7.63%, 2/15/25

     500,000        587,090  

1.13%, 2/28/25

     250,000        246,260  

2.75%, 2/28/25

     622,000        641,948  

0.50%, 3/31/25

     175,000        168,964  

2.63%, 3/31/25

     702,000        722,566  

0.38%, 4/30/25

     458,000        439,823  

2.13%, 5/15/25

     375,000        380,303  

0.25%, 5/31/25

     670,000        639,824  

2.88%, 5/31/25

     565,000        586,210  

0.25%, 6/30/25

     250,000        238,350  

2.75%, 6/30/25

     311,000        321,691  

0.25%, 7/31/25

     400,000        380,906  

 

See Notes to Financial Statements.

 

86   WisdomTree Trust


Table of Contents

Schedule of Investments (unaudited) (continued)

WisdomTree Yield Enhanced U.S. Aggregate Bond Fund (AGGY)

February 28, 2022

 

 

 

Investments in Long Securities    Principal
Amount
     Value  

2.00%, 8/15/25

   $ 500,000      $ 504,961  

0.25%, 8/31/25

     250,000        237,666  

0.25%, 9/30/25

     972,000        922,868  

0.25%, 10/31/25

     1,000,000        948,203  

2.25%, 11/15/25

     835,000        851,080  

0.38%, 11/30/25

     1,425,000        1,355,643  

0.38%, 12/31/25

     1,400,000        1,330,656  

0.38%, 1/31/26

     1,610,000        1,527,487  

1.63%, 2/15/26

     700,000        697,074  

0.50%, 2/28/26

     2,000,000        1,905,078  

0.75%, 3/31/26

     1,120,000        1,076,513  

2.25%, 3/31/26

     1,000,000        1,020,000  

0.75%, 4/30/26

     1,400,000        1,344,547  

1.63%, 5/15/26

     1,170,000        1,164,287  

0.75%, 5/31/26

     1,500,000        1,439,180  

2.13%, 5/31/26

     1,000,000        1,015,430  

0.88%, 6/30/26

     1,500,000        1,445,684  

1.88%, 6/30/26

     850,000        854,781  

0.63%, 7/31/26

     1,000,000        952,539  

1.88%, 7/31/26

     570,000        573,117  

1.50%, 8/15/26

     1,624,000        1,607,126  

0.75%, 8/31/26

     500,000        478,594  

1.38%, 8/31/26

     335,000        329,648  

0.88%, 9/30/26

     2,000,000        1,923,437  

1.63%, 9/30/26

     100,000        99,477  

1.13%, 10/31/26

     1,000,000        972,070  

2.00%, 11/15/26

     500,000        505,645  

1.25%, 11/30/26

     1,585,000        1,549,895  

1.75%, 12/31/26

     620,000        620,242  

2.25%, 2/15/27

     500,000        511,934  

1.13%, 2/28/27

     500,000        485,215  

0.63%, 3/31/27

     1,090,000        1,030,731  

0.50%, 4/30/27

     1,600,000        1,501,562  

2.38%, 5/15/27

     2,000,000        2,060,859  

0.50%, 5/31/27

     1,360,000        1,274,256  

0.50%, 6/30/27

     750,000        701,924  

0.38%, 7/31/27

     1,595,000        1,481,045  

2.25%, 8/15/27

     1,095,000        1,122,546  

0.50%, 8/31/27

     500,000        466,758  

0.38%, 9/30/27

     500,000        462,852  

0.50%, 10/31/27

     1,500,000        1,396,582  

2.25%, 11/15/27

     1,140,000        1,168,188  

0.63%, 11/30/27

     1,345,000        1,259,782  

0.63%, 12/31/27

     500,000        467,832  

0.75%, 1/31/28

     1,520,000        1,431,056  

2.75%, 2/15/28

     1,000,000        1,054,219  

1.13%, 2/29/28

     1,000,000        962,617  

1.25%, 3/31/28

     1,400,000        1,356,141  

1.25%, 4/30/28

     400,000        387,234  

2.88%, 5/15/28

     1,000,000        1,062,383  

1.25%, 5/31/28

     1,000,000        967,148  

1.25%, 6/30/28

     1,500,000        1,449,668  

1.00%, 7/31/28

     300,000        285,164  

2.88%, 8/15/28

     1,000,000        1,064,453  

1.13%, 8/31/28

     1,500,000        1,436,250  

1.25%, 9/30/28

     1,500,000        1,446,797  

1.38%, 10/31/28

     500,000        485,938  

3.13%, 11/15/28

     1,300,000        1,406,742  

1.50%, 11/30/28

     500,000        489,766  

2.63%, 2/15/29

   1,300,000      1,368,758  

2.38%, 5/15/29

     1,000,000        1,037,891  

1.63%, 8/15/29

     1,250,000        1,235,254  

1.75%, 11/15/29

     750,000        748,184  

1.50%, 2/15/30

     2,000,000        1,955,156  

0.63%, 5/15/30

     2,495,000        2,269,670  

0.88%, 11/15/30

     3,460,000        3,198,608  

1.13%, 2/15/31

     2,445,000        2,305,750  

1.63%, 5/15/31

     2,250,000        2,212,383  

1.25%, 8/15/31

     3,370,000        3,202,027  

1.38%, 11/15/31

     2,250,000        2,158,242  

1.13%, 5/15/40

     800,000        665,750  

2.38%, 2/15/42

     500,000        510,549  

2.88%, 5/15/49

     500,000        568,242  

2.38%, 11/15/49

     500,000        518,437  

1.25%, 5/15/50

     1,208,000        964,701  
     

 

 

 
Total U.S. Treasury Notes

 

     164,942,212  

TOTAL U.S. GOVERNMENT OBLIGATIONS

(Cost: $210,263,019)

 

 

     204,782,598  
U.S. CORPORATE BONDS – 25.5%

 

United States – 25.5%

 

3M Co.
4.00%, 9/14/48

     250,000        268,917  

Abbott Laboratories
4.90%, 11/30/46

     250,000        309,792  

AbbVie, Inc.

 

4.25%, 11/14/28

     100,000        108,126  

3.20%, 11/21/29

     614,000        622,872  

4.55%, 3/15/35

     715,000        795,480  

4.50%, 5/14/35

     234,000        259,791  

4.30%, 5/14/36

     71,000        77,517  

4.05%, 11/21/39

     455,000        478,146  

4.63%, 10/1/42

     250,000        275,045  

4.85%, 6/15/44

     25,000        28,344  

4.75%, 3/15/45

     208,000        232,082  

4.70%, 5/14/45

     275,000        306,146  

4.45%, 5/14/46

     200,000        216,326  

4.88%, 11/14/48

     29,000        33,433  

4.25%, 11/21/49

     800,000        851,056  

Activision Blizzard, Inc.

 

3.40%, 9/15/26

     189,000        197,955  

1.35%, 9/15/30

     350,000        311,916  

Adobe, Inc.
2.30%, 2/1/30

     59,000        57,577  

Adventist Health System
2.95%, 3/1/29

     50,000        50,445  

AEP Texas, Inc.

 

3.95%, 6/1/28

     100,000        105,521  

3.80%, 10/1/47

     100,000        96,878  

3.45%, 5/15/51

     200,000        184,692  

AES Corp.
2.45%, 1/15/31

     382,000        353,770  

Aetna, Inc.

 

6.63%, 6/15/36

     225,000        300,427  

4.75%, 3/15/44

     100,000        111,976  

3.88%, 8/15/47

     103,000        104,038  

 

See Notes to Financial Statements.

 

WisdomTree Trust      87  


Table of Contents

Schedule of Investments (unaudited) (continued)

WisdomTree Yield Enhanced U.S. Aggregate Bond Fund (AGGY)

February 28, 2022

 

 

 

Investments in Long Securities    Principal
Amount
     Value  

Agilent Technologies, Inc.

 

2.75%, 9/15/29

   $ 33,000      $ 32,521  

2.30%, 3/12/31

     250,000        233,910  

Air Lease Corp.

 

3.63%, 4/1/27

     101,000        103,083  

3.63%, 12/1/27

     20,000        20,326  

4.63%, 10/1/28

     286,000        303,088  

Alexandria Real Estate Equities, Inc.

 

3.95%, 1/15/28

     95,000        100,976  

3.38%, 8/15/31

     675,000        691,038  

3.00%, 5/18/51

     150,000        131,898  

Allstate Corp.

 

3.28%, 12/15/26

     108,000        112,663  

4.50%, 6/15/43

     100,000        112,942  

Ally Financial, Inc.
8.00%, 11/1/31

     806,000        1,060,771  

Altria Group, Inc.

 

4.80%, 2/14/29

     273,000        295,735  

3.40%, 5/6/30

     200,000        197,700  

5.80%, 2/14/39

     175,000        192,320  

3.40%, 2/4/41

     250,000        207,052  

4.50%, 5/2/43

     50,000        46,955  

5.38%, 1/31/44

     257,000        269,480  

3.88%, 9/16/46

     132,000        113,667  

5.95%, 2/14/49

     191,000        213,761  

4.45%, 5/6/50

     250,000        230,562  

3.70%, 2/4/51

     230,000        188,101  

4.00%, 2/4/61

     103,000        85,883  

Amcor Flexibles North America, Inc.
2.69%, 5/25/31

     350,000        337,627  

Ameren Illinois Co.
1.55%, 11/15/30

     250,000        225,757  

American Airlines Pass Through Trust
3.15%, 8/15/33, Series 2019-1,

Class AA

     222,893        217,044  

American Campus Communities Operating Partnership LP

     

3.63%, 11/15/27

     61,000        63,233  

2.85%, 2/1/30

     244,000        237,022  

American Electric Power Co., Inc.

 

4.30%, 12/1/28, Series J

     75,000        80,585  

3.25%, 3/1/50

     40,000        35,404  

American Equity Investment Life Holding Co. 5.00%, 6/15/27

     75,000        81,521  

American Homes 4 Rent LP
4.25%, 2/15/28

     337,000        356,003  

American Honda Finance Corp.
1.80%, 1/13/31

     250,000        230,835  

American International Group, Inc.

 

4.20%, 4/1/28

     518,000        560,921  

3.88%, 1/15/35

     708,000        742,501  

4.50%, 7/16/44

     250,000        277,917  

4.38%, 6/30/50

     250,000        278,915  

American Tower Corp.
3.55%, 7/15/27

     140,000        144,063  

1.50%, 1/31/28

     72,000        66,045  

3.80%, 8/15/29

     554,000        572,803  

2.90%, 1/15/30

   415,000      400,944  

3.10%, 6/15/50

     200,000        168,176  

2.95%, 1/15/51

     100,000        82,074  

American Water Capital Corp.
2.95%, 9/1/27

     132,000        134,691  

3.75%, 9/1/28

     324,000        341,875  

4.00%, 12/1/46

     13,000        13,554  

3.75%, 9/1/47

     170,000        169,618  

4.20%, 9/1/48

     80,000        84,988  

3.45%, 5/1/50

     250,000        240,052  

AmerisourceBergen Corp.
3.45%, 12/15/27

     75,000        78,026  

2.70%, 3/15/31

     380,000        366,586  

Amgen, Inc.
2.20%, 2/21/27

     100,000        98,608  

3.20%, 11/2/27

     301,000        310,822  

2.45%, 2/21/30

     421,000        407,115  

2.00%, 1/15/32

     250,000        228,792  

3.15%, 2/21/40

     500,000        465,750  

2.80%, 8/15/41

     250,000        220,062  

4.40%, 5/1/45

     269,000        288,207  

4.56%, 6/15/48

     200,000        219,556  

3.38%, 2/21/50

     250,000        229,600  

4.66%, 6/15/51

     250,000        280,680  

3.00%, 1/15/52

     275,000        236,098  

2.77%, 9/1/53

     100,000        81,498  

Amphenol Corp.
2.80%, 2/15/30

     230,000        226,465  

Analog Devices, Inc.
3.50%, 12/5/26

     83,000        87,633  

Anthem, Inc.
3.65%, 12/1/27

     292,000        306,565  

2.25%, 5/15/30

     500,000        474,195  

2.55%, 3/15/31

     400,000        386,016  

4.63%, 5/15/42

     30,000        33,698  

5.10%, 1/15/44

     242,000        288,457  

4.65%, 8/15/44

     26,000        29,306  

4.38%, 12/1/47

     279,000        307,787  

4.55%, 3/1/48

     30,000        33,908  

3.13%, 5/15/50

     202,000        184,499  

3.60%, 3/15/51

     462,000        454,959  

Aon Corp.
4.50%, 12/15/28

     499,000        545,691  

Aon Corp. / Aon Global Holdings PLC
2.90%, 8/23/51

     150,000        128,981  

Aon PLC
4.75%, 5/15/45

     200,000        223,046  

Appalachian Power Co.
3.30%, 6/1/27, Series X

     100,000        103,743  

Aptiv PLC
4.35%, 3/15/29

     75,000        80,823  

5.40%, 3/15/49

     125,000        146,919  

Arch Capital Finance LLC
5.03%, 12/15/46

     150,000        174,951  

Arch Capital Group Ltd.
3.64%, 6/30/50

     197,000        189,051  

Arch Capital Group US, Inc.
5.14%, 11/1/43

     50,000        59,401  

Archer-Daniels-Midland Co.
2.70%, 9/15/51

     150,000        135,249  

 

See Notes to Financial Statements.

 

88   WisdomTree Trust


Table of Contents

Schedule of Investments (unaudited) (continued)

WisdomTree Yield Enhanced U.S. Aggregate Bond Fund (AGGY)

February 28, 2022

 

 

 

Investments in Long Securities    Principal
Amount
     Value  

Ares Capital Corp.
2.88%, 6/15/28

   $ 465,000      $ 431,060  

Arrow Electronics, Inc.
3.88%, 1/12/28(c)

     212,000        220,758  

Arthur J Gallagher & Co.
3.50%, 5/20/51

     250,000        234,952  

Assurant, Inc.
4.90%, 3/27/28(c)

     25,000        27,428  

AT&T, Inc.
4.25%, 3/1/27(c)

     209,000        225,369  

2.30%, 6/1/27

     150,000        148,049  

4.10%, 2/15/28

     259,000        278,042  

4.35%, 3/1/29

     535,000        583,471  

4.30%, 2/15/30

     505,000        550,197  

2.75%, 6/1/31

     350,000        340,669  

2.25%, 2/1/32

     290,000        267,928  

2.55%, 12/1/33

     450,000        417,618  

4.50%, 5/15/35

     314,000        345,309  

5.25%, 3/1/37

     173,000        203,688  

4.85%, 3/1/39

     130,000        145,269  

5.35%, 9/1/40

     50,000        59,579  

6.25%, 3/29/41

     190,000        248,256  

3.50%, 6/1/41

     350,000        333,123  

5.15%, 3/15/42

     200,000        231,978  

4.90%, 6/15/42

     479,000        541,083  

4.30%, 12/15/42

     350,000        364,399  

3.10%, 2/1/43

     300,000        268,821  

4.85%, 7/15/45

     50,000        55,937  

5.15%, 11/15/46

     70,000        82,301  

5.65%, 2/15/47

     100,000        125,052  

4.55%, 3/9/49

     29,000        31,515  

5.15%, 2/15/50

     70,000        82,671  

3.65%, 6/1/51

     425,000        402,530  

3.30%, 2/1/52

     228,000        202,580  

3.50%, 9/15/53

     500,000        458,525  

3.55%, 9/15/55

     778,000        706,401  

3.80%, 12/1/57

     922,000        868,284  

3.65%, 9/15/59

     609,000        553,264  

3.85%, 6/1/60

     150,000        140,724  

3.50%, 2/1/61

     225,000        198,965  

Athene Holding Ltd.
4.13%, 1/12/28

     403,000        423,497  

Autodesk, Inc.
3.50%, 6/15/27

     165,000        171,940  

AutoNation, Inc.
3.80%, 11/15/27

     115,000        119,290  

AutoZone, Inc.
3.75%, 6/1/27

     113,000        119,204  

3.75%, 4/18/29

     175,000        183,090  

1.65%, 1/15/31

     250,000        221,917  

AvalonBay Communities, Inc.
3.20%, 1/15/28

     75,000        77,255  

3.30%, 6/1/29

     120,000        124,526  

Avangrid, Inc.
3.80%, 6/1/29

     150,000        156,885  

Avery Dennison Corp.
4.88%, 12/6/28

     31,000        34,583  

AXIS Specialty Finance LLC
3.90%, 7/15/29

   225,000      236,016  

AXIS Specialty Finance PLC
4.00%, 12/6/27

     25,000        26,272  

Baker Hughes Holdings LLC / Baker Hughes Co-Obligor, Inc.
3.34%, 12/15/27

     50,000        51,576  

3.14%, 11/7/29

     75,000        75,820  

Baltimore Gas & Electric Co.
2.25%, 6/15/31(c)

     675,000        641,965  

Bank of America Corp.
4.18%, 11/25/27, Series L

     109,000        114,600  

3.42%, 12/20/28, (3.419% fixed rate until 12/20/27; 3-month U.S. dollar London Interbank Offered Rate + 1.04% thereafter)(d)

     500,000        512,000  

2.09%, 6/14/29, (2.087% fixed rate until 6/14/28; Secured Overnight Financing Rate + 1.06% thereafter)(d)

     250,000        236,777  

2.50%, 2/13/31, (2.496% fixed rate until 2/13/30; 3-month U.S. dollar London Interbank Offered Rate + 0.99% thereafter)(d)

     152,000        144,927  

2.65%, 3/11/32, Series N, (2.651% fixed rate until 3/11/31; Secured Overnight Financing Rate + 1.22% thereafter)(d)

     175,000        167,466  

2.69%, 4/22/32, (2.687% fixed rate until 4/22/31; Secured Overnight Financing Rate + 1.32% thereafter)(d)

     425,000        408,799  

2.97%, 2/4/33, (2.972% fixed rate until 2/4/32; Secured Overnight Financing Rate + 1.33% thereafter)(d)

     400,000        392,268  

2.48%, 9/21/36, (2.482% fixed rate until 9/21/31; 5-year Constant Maturity Treasury Rate + 1.20% thereafter)(d)

     250,000        227,075  

4.24%, 4/24/38, (4.244% fixed rate until 4/24/37; 3-month U.S. dollar London Interbank Offered Rate + 1.814% thereafter)(d)

     33,000        36,102  

7.75%, 5/14/38

     250,000        363,505  

2.68%, 6/19/41, (2.676% fixed rate until 6/19/40; Secured Overnight Financing Rate + 1.93% thereafter)(d)

     400,000        351,704  

4.75%, 4/21/45, Series L

     150,000        169,953  

4.08%, 3/20/51, (4.083% fixed rate until 3/20/50; 3-month U.S. dollar London Interbank Offered Rate + 3.15% thereafter)(d)

     400,000        430,564  

BankUnited, Inc.
5.13%, 6/11/30

     50,000        53,656  

Baxalta, Inc.
5.25%, 6/23/45

     60,000        71,770  

Baxter International, Inc.
3.95%, 4/1/30

     400,000        430,856  

1.73%, 4/1/31

     250,000        226,157  

 

See Notes to Financial Statements.

 

WisdomTree Trust      89  


Table of Contents

Schedule of Investments (unaudited) (continued)

WisdomTree Yield Enhanced U.S. Aggregate Bond Fund (AGGY)

February 28, 2022

 

 

 

Investments in Long Securities    Principal
Amount
     Value  

Becton Dickinson and Co.
3.70%, 6/6/27

   $ 175,000      $ 183,689  

1.96%, 2/11/31

     250,000        227,860  

4.69%, 12/15/44

     87,000        97,409  

4.67%, 6/6/47

     124,000        139,454  

3.79%, 5/20/50

     250,000        250,437  

Berkshire Hathaway Energy Co.
3.25%, 4/15/28

     248,000        257,208  

4.50%, 2/1/45

     150,000        164,483  

2.85%, 5/15/51

     50,000        42,611  

Biogen, Inc.
2.25%, 5/1/30

     125,000        114,476  

3.15%, 5/1/50

     300,000        248,382  

3.25%, 2/15/51(e)

     52,000        43,807  

Black Hills Corp.
2.50%, 6/15/30

     50,000        47,148  

4.35%, 5/1/33

     180,000        192,299  

3.88%, 10/15/49

     40,000        39,036  

Block Financial LLC
3.88%, 8/15/30

     205,000        208,100  

Boardwalk Pipelines LP
4.45%, 7/15/27

     100,000        105,653  

3.40%, 2/15/31

     200,000        196,354  

Boeing Co.
2.80%, 3/1/27

     285,000        281,637  

5.15%, 5/1/30

     725,000        800,523  

3.63%, 2/1/31

     400,000        403,668  

3.60%, 5/1/34

     275,000        267,520  

6.63%, 2/15/38

     100,000        124,843  

3.55%, 3/1/38

     50,000        46,497  

5.88%, 2/15/40

     80,000        94,147  

5.71%, 5/1/40

     400,000        466,368  

3.38%, 6/15/46

     50,000        42,798  

3.85%, 11/1/48

     50,000        45,736  

5.81%, 5/1/50

     400,000        476,008  

5.93%, 5/1/60

     842,000        1,001,921  

Booking Holdings, Inc.
4.63%, 4/13/30

     150,000        168,089  

BorgWarner, Inc.
4.38%, 3/15/45

     111,000        115,544  

Boston Properties LP
4.50%, 12/1/28

     450,000        491,445  

2.90%, 3/15/30

     77,000        75,177  

2.45%, 10/1/33

     450,000        409,878  

Boston Scientific Corp.
4.00%, 3/1/29

     290,000        308,708  

6.75%, 11/15/35

     165,000        220,739  

7.38%, 1/15/40

     2,000        2,971  

4.70%, 3/1/49

     47,000        53,749  

BP Capital Markets America, Inc.
3.02%, 1/16/27

     142,000        144,645  

4.23%, 11/6/28

     50,000        54,115  

2.72%, 1/12/32

     250,000        239,985  

3.06%, 6/17/41

     50,000        44,951  

3.00%, 3/17/52

     50,000        42,597  

3.38%, 2/8/61

     150,000        132,390  

Brandywine Operating Partnership LP
4.55%, 10/1/29

     290,000        311,857  

Brighthouse Financial, Inc.
5.63%, 5/15/30

   250,000      285,417  

Bristol-Myers Squibb Co.
1.45%, 11/13/30

     110,000        99,671  

5.00%, 8/15/45

     100,000        124,128  

4.25%, 10/26/49

     250,000        281,382  

Brixmor Operating Partnership LP
4.05%, 7/1/30

     520,000        544,326  

Broadcom Corp. / Broadcom Cayman Finance Ltd.
3.88%, 1/15/27

     130,000        135,485  

3.50%, 1/15/28

     37,000        37,808  

Broadcom, Inc.
1.95%, 2/15/28(e)

     250,000        236,102  

4.11%, 9/15/28

     40,000        42,058  

4.75%, 4/15/29

     500,000        543,630  

5.00%, 4/15/30

     250,000        276,420  

4.15%, 11/15/30

     815,000        855,253  

2.60%, 2/15/33(e)

     400,000        364,768  

3.42%, 4/15/33(e)

     500,000        488,460  

3.47%, 4/15/34(e)

     250,000        242,800  

3.50%, 2/15/41(e)

     600,000        554,928  

3.75%, 2/15/51(e)

     350,000        327,348  

Broadridge Financial Solutions, Inc.
2.90%, 12/1/29

     275,000        271,243  

Broadstone Net Lease LLC
2.60%, 9/15/31

     50,000        46,270  

Brown & Brown, Inc.
2.38%, 3/15/31

     320,000        297,798  

Brunswick Corp.
2.40%, 8/18/31

     50,000        45,757  

Bunge Ltd. Finance Corp.
3.75%, 9/25/27

     164,000        171,498  

2.75%, 5/14/31

     75,000        71,448  

Burlington Northern Santa Fe LLC
4.45%, 3/15/43

     250,000        283,757  

Campbell Soup Co.
2.38%, 4/24/30(c)

     250,000        238,152  

4.80%, 3/15/48

     143,000        163,036  

Capital One Financial Corp.
3.75%, 3/9/27

     257,000        268,699  

3.80%, 1/31/28

     349,000        364,059  

Cardinal Health, Inc.
3.41%, 6/15/27

     184,000        190,815  

4.50%, 11/15/44

     52,000        53,797  

4.90%, 9/15/45

     100,000        108,888  

4.37%, 6/15/47

     105,000        107,952  

Carlisle Cos., Inc.
3.75%, 12/1/27

     41,000        42,848  

Carrier Global Corp.
2.70%, 2/15/31(c)

     535,000        518,244  

3.38%, 4/5/40

     100,000        94,160  

3.58%, 4/5/50

     250,000        237,930  

Caterpillar, Inc.
3.80%, 8/15/42

     150,000        160,134  

3.25%, 4/9/50(c)

     50,000        49,288  

CDW LLC / CDW Finance Corp.
3.57%, 12/1/31

     250,000        243,702  

 

See Notes to Financial Statements.

 

90   WisdomTree Trust


Table of Contents

Schedule of Investments (unaudited) (continued)

WisdomTree Yield Enhanced U.S. Aggregate Bond Fund (AGGY)

February 28, 2022

 

 

 

Investments in Long Securities    Principal
Amount
     Value  

CenterPoint Energy Houston Electric LLC
3.00%, 2/1/27, Series AA

   $ 100,000      $ 102,571  

CenterPoint Energy Resources Corp.
4.00%, 4/1/28

     40,000        42,211  

CenterPoint Energy, Inc.
4.25%, 11/1/28

     270,000        289,443  

CF Industries, Inc.
4.95%, 6/1/43

     100,000        108,096  

Charles Schwab Corp.
1.95%, 12/1/31

     250,000        231,467  

Charter Communications Operating LLC / Charter Communications Operating Capital
4.20%, 3/15/28

     150,000        157,031  

5.05%, 3/30/29

     100,000        109,190  

2.80%, 4/1/31

     570,000        533,132  

6.38%, 10/23/35

     505,000        604,667  

3.50%, 6/1/41

     250,000        215,750  

3.50%, 3/1/42

     100,000        85,756  

6.48%, 10/23/45

     278,000        331,899  

5.38%, 5/1/47

     374,000        395,352  

5.75%, 4/1/48

     113,000        124,768  

5.13%, 7/1/49

     97,000        98,864  

4.80%, 3/1/50

     300,000        293,454  

3.70%, 4/1/51

     328,000        276,376  

3.90%, 6/1/52

     150,000        130,707  

3.85%, 4/1/61

     275,000        227,711  

3.95%, 6/30/62

     450,000        377,140  

Cheniere Corpus Christi Holdings LLC
5.13%, 6/30/27

     400,000        436,808  

3.70%, 11/15/29

     75,000        76,637  

Chubb INA Holdings, Inc.
1.38%, 9/15/30

     250,000        224,967  

Church & Dwight Co., Inc.
3.15%, 8/1/27

     90,000        92,647  

Cigna Corp.
3.40%, 3/1/27

     120,000        124,414  

3.05%, 10/15/27

     155,000        157,945  

4.38%, 10/15/28

     941,000        1,020,260  

4.80%, 8/15/38

     152,000        169,694  

3.20%, 3/15/40

     135,000        124,959  

6.13%, 11/15/41

     21,000        27,275  

4.80%, 7/15/46

     125,000        139,868  

3.88%, 10/15/47

     146,000        143,229  

4.90%, 12/15/48

     350,000        397,855  

3.40%, 3/15/50

     250,000        228,882  

3.40%, 3/15/51

     150,000        137,009  

Cintas Corp. No. 2
3.70%, 4/1/27

     85,000        89,845  

Cisco Systems, Inc.
5.50%, 1/15/40

     250,000        322,160  

Citigroup, Inc.
4.45%, 9/29/27

     495,000        529,066  

3.67%, 7/24/28, (3.668% fixed rate until 7/24/27; 3-month U.S. dollar London Interbank Offered Rate + 1.39% thereafter)(d)

     250,000        258,942  

4.13%, 7/25/28

     354,000        372,104  

2.98%, 11/5/30, (2.976% fixed rate until 11/5/29; Secured Overnight Financing Rate + 1.422% thereafter)(d)

   215,000      212,431  

2.67%, 1/29/31, (2.666% fixed rate until 1/29/30; Secured Overnight Financing Rate + 1.146% thereafter)(d)

     132,000        127,380  

2.56%, 5/1/32, (2.561% fixed rate until 5/1/31; Secured Overnight Financing Rate + 1.167% thereafter)(d)

     250,000        237,470  

6.63%, 6/15/32

     500,000        628,170  

3.06%, 1/25/33, (3.057% fixed rate until 1/25/32; Secured Overnight Financing Rate + 1.351% thereafter)(d)

     250,000        246,752  

6.00%, 10/31/33

     50,000        61,052  

6.68%, 9/13/43

     158,000        218,857  

5.30%, 5/6/44

     50,000        59,057  

4.75%, 5/18/46

     275,000        307,673  

4.65%, 7/23/48

     250,000        292,362  

Citizens Financial Group, Inc.
2.85%, 7/27/26

     359,000        362,899  

Citrix Systems, Inc.
4.50%, 12/1/27

     25,000        25,876  

Clorox Co.
3.10%, 10/1/27(c)

     125,000        128,968  

CMS Energy Corp.
3.45%, 8/15/27

     157,000        163,338  

4.75%, 6/1/50, (4.75% fixed rate until 3/1/30; 5-year Constant Maturity Treasury Rate + 4.116% thereafter)(d)

     72,000        72,789  

CNA Financial Corp.
2.05%, 8/15/30

     250,000        231,797  

Coca-Cola Co.
2.00%, 3/5/31

     250,000        237,037  

1.38%, 3/15/31

     50,000        44,944  

2.75%, 6/1/60

     50,000        43,861  

Comcast Corp.
2.65%, 2/1/30

     56,000        55,287  

1.95%, 1/15/31

     250,000        232,872  

1.50%, 2/15/31

     250,000        224,122  

4.75%, 3/1/44

     500,000        579,405  

2.94%, 11/1/56(e)

     100,000        84,855  

2.65%, 8/15/62

     150,000        119,427  

2.99%, 11/1/63(e)

     200,000        166,872  

CommonSpirit Health
4.35%, 11/1/42

     320,000        335,149  

3.91%, 10/1/50

     100,000        101,305  

Commonwealth Edison Co.
2.75%, 9/1/51, Series 131

     50,000        43,493  

Conagra Brands, Inc.
7.00%, 10/1/28

     23,000        28,338  

4.85%, 11/1/28

     237,000        260,598  

8.25%, 9/15/30

     335,000        456,863  

5.40%, 11/1/48

     50,000        60,752  

Connecticut Light & Power Co.
3.20%, 3/15/27, Series A

     100,000        103,278  

ConocoPhillips
6.95%, 4/15/29

     100,000        128,023  

2.40%, 2/15/31(c)(e)

     150,000        146,831  

 

See Notes to Financial Statements.

 

WisdomTree Trust      91  


Table of Contents

Schedule of Investments (unaudited) (continued)

WisdomTree Yield Enhanced U.S. Aggregate Bond Fund (AGGY)

February 28, 2022

 

 

 

Investments in Long Securities    Principal
Amount
     Value  

Consolidated Edison Co. of New York, Inc.
2.40%, 6/15/31

   $ 250,000      $ 238,422  

4.45%, 3/15/44

     50,000        53,976  

4.30%, 12/1/56, Series C

     100,000        106,566  

3.00%, 12/1/60, Series C

     50,000        41,542  

Constellation Brands, Inc.
3.70%, 12/6/26

     340,000        355,688  

3.50%, 5/9/27

     162,000        168,119  

2.88%, 5/1/30

     250,000        244,185  

4.50%, 5/9/47

     100,000        105,569  

4.10%, 2/15/48

     65,000        65,172  

Consumers Energy Co.
3.80%, 11/15/28

     100,000        107,039  

4.35%, 4/15/49

     150,000        170,430  

Continental Airlines Pass Through Trust
4.00%, 4/29/26, Series 2012-2,

Class A

     9,939        10,123  

Corning, Inc.
4.75%, 3/15/42

     250,000        289,375  

5.45%, 11/15/79

     250,000        289,957  

Costco Wholesale Corp.
1.60%, 4/20/30

     100,000        92,762  

Crown Castle International Corp.
4.00%, 3/1/27

     220,000        231,172  

3.65%, 9/1/27

     144,000        149,160  

3.80%, 2/15/28

     75,000        78,001  

4.30%, 2/15/29

     205,000        218,239  

3.10%, 11/15/29

     102,000        100,503  

2.25%, 1/15/31

     375,000        341,546  

4.75%, 5/15/47

     95,000        104,686  

5.20%, 2/15/49

     50,000        57,745  

3.25%, 1/15/51

     250,000        216,800  

CSX Corp.
3.25%, 6/1/27

     99,000        102,504  

3.80%, 3/1/28

     212,000        224,489  

2.40%, 2/15/30(c)

     250,000        242,995  

6.00%, 10/1/36

     250,000        321,750  

3.80%, 11/1/46

     87,000        88,486  

4.30%, 3/1/48

     155,000        170,759  

4.75%, 11/15/48

     100,000        116,747  

4.50%, 3/15/49

     250,000        283,495  

3.80%, 4/15/50

     250,000        257,550  

3.95%, 5/1/50

     15,000        15,831  

4.65%, 3/1/68

     50,000        57,563  

CubeSmart LP
3.13%, 9/1/26

     35,000        35,768  

4.38%, 2/15/29

     25,000        27,118  

2.50%, 2/15/32

     250,000        234,382  

CVS Health Corp.
6.25%, 6/1/27

     75,000        87,751  

4.30%, 3/25/28

     1,297,000        1,402,290  

3.25%, 8/15/29

     572,000        582,199  

4.88%, 7/20/35

     653,000        751,420  

4.78%, 3/25/38

     136,000        152,327  

4.13%, 4/1/40

     250,000        260,352  

2.70%, 8/21/40

     455,000        397,702  

5.13%, 7/20/45

     250,000        290,395  

5.05%, 3/25/48

   550,000      642,889  

4.25%, 4/1/50

     400,000        429,560  

Danaher Corp.
2.60%, 10/1/50

     150,000        128,315  

Dayton Power & Light Co.
3.95%, 6/15/49

     100,000        104,788  

Dell International LLC / EMC Corp.
4.90%, 10/1/26

     100,000        108,449  

6.10%, 7/15/27

     122,000        140,675  

5.30%, 10/1/29

     265,000        296,670  

8.10%, 7/15/36

     288,000        399,010  

3.45%, 12/15/51(e)

     100,000        84,610  

Delmarva Power & Light Co.
4.15%, 5/15/45

     50,000        53,226  

Devon Energy Corp.
7.95%, 4/15/32

     75,000        102,056  

4.75%, 5/15/42

     200,000        214,856  

5.00%, 6/15/45

     206,000        229,838  

DH Europe Finance II Sarl
3.25%, 11/15/39

     340,000        333,826  

3.40%, 11/15/49

     50,000        49,139  

Diamondback Energy, Inc.
3.50%, 12/1/29

     500,000        505,690  

3.13%, 3/24/31

     160,000        156,278  

Digital Realty Trust LP
3.70%, 8/15/27

     288,000        301,818  

4.45%, 7/15/28

     177,000        191,142  

3.60%, 7/1/29

     100,000        103,094  

Dignity Health
5.27%, 11/1/64

     10,000        12,513  

Discover Bank
3.45%, 7/27/26

     250,000        257,402  

4.65%, 9/13/28

     358,000        388,924  

Discovery Communications LLC
3.95%, 3/20/28

     85,000        87,787  

4.13%, 5/15/29

     350,000        366,271  

5.00%, 9/20/37

     250,000        272,112  

4.00%, 9/15/55

     456,000        415,421  

Dollar General Corp.
3.88%, 4/15/27

     112,000        118,380  

3.50%, 4/3/30

     268,000        274,855  

Dollar Tree, Inc.
2.65%, 12/1/31

     350,000        332,860  

Dominion Energy, Inc.
4.25%, 6/1/28

     75,000        80,444  

3.38%, 4/1/30, Series C

     665,000        675,028  

5.25%, 8/1/33, Series F

     45,000        52,231  

7.00%, 6/15/38

     25,000        34,313  

3.30%, 4/15/41, Series B

     140,000        131,181  

4.60%, 3/15/49, Series A

     72,000        80,173  

Dow Chemical Co.
4.80%, 11/30/28

     157,000        175,622  

7.38%, 11/1/29

     205,000        265,936  

4.25%, 10/1/34

     120,000        129,924  

5.25%, 11/15/41

     55,000        65,294  

4.38%, 11/15/42

     250,000        268,112  

5.55%, 11/30/48

     250,000        315,982  

 

See Notes to Financial Statements.

 

92   WisdomTree Trust


Table of Contents

Schedule of Investments (unaudited) (continued)

WisdomTree Yield Enhanced U.S. Aggregate Bond Fund (AGGY)

February 28, 2022

 

 

 

Investments in Long Securities    Principal
Amount
     Value  

DTE Electric Co.
2.63%, 3/1/31, Series C

   $ 250,000      $ 246,755  

Duke Energy Carolinas LLC
2.95%, 12/1/26

     20,000        20,672  

3.95%, 11/15/28

     204,000        219,647  

3.45%, 4/15/51

     50,000        49,230  

Duke Energy Corp.
3.15%, 8/15/27

     37,000        37,812  

3.40%, 6/15/29

     42,000        42,799  

2.45%, 6/1/30

     250,000        236,902  

2.55%, 6/15/31

     250,000        234,545  

3.30%, 6/15/41

     150,000        138,372  

4.80%, 12/15/45

     35,000        38,787  

3.75%, 9/1/46

     250,000        239,385  

3.95%, 8/15/47

     250,000        246,542  

Duke Energy Florida LLC
3.20%, 1/15/27(c)

     55,000        56,923  

Duke Energy Progress LLC
3.70%, 9/1/28

     50,000        52,855  

3.45%, 3/15/29

     54,000        56,094  

4.10%, 5/15/42

     200,000        211,508  

Duke Realty LP
3.25%, 6/30/26

     41,000        42,171  

4.00%, 9/15/28

     60,000        64,397  

1.75%, 2/1/31

     250,000        225,850  

DuPont de Nemours, Inc.
4.73%, 11/15/28(c)

     542,000        600,812  

5.32%, 11/15/38

     250,000        298,390  

5.42%, 11/15/48

     152,000        191,643  

Eastman Chemical Co.
4.50%, 12/1/28

     40,000        43,412  

4.65%, 10/15/44

     40,000        43,404  

Eaton Corp.
3.10%, 9/15/27

     226,000        233,340  

4.15%, 11/2/42

     100,000        107,596  

eBay, Inc.
2.60%, 5/10/31

     250,000        238,362  

4.00%, 7/15/42

     300,000        302,991  

Ecolab, Inc.
3.25%, 12/1/27

     25,000        26,218  

4.80%, 3/24/30

     186,000        213,733  

Edison International
4.13%, 3/15/28

     145,000        149,367  

El Paso Electric Co.
5.00%, 12/1/44

     30,000        33,768  

Electronic Arts, Inc.
1.85%, 2/15/31

     50,000        45,732  

Eli Lilly & Co.
3.38%, 3/15/29

     187,000        197,450  

Energy Transfer LP
4.40%, 3/15/27

     35,000        36,890  

5.50%, 6/1/27

     100,000        110,452  

4.00%, 10/1/27

     711,000        735,124  

4.95%, 5/15/28

     170,000        183,423  

5.25%, 4/15/29

     175,000        192,469  

4.15%, 9/15/29

     100,000        103,245  

3.75%, 5/15/30

     150,000        152,105  

6.63%, 10/15/36

   50,000      59,271  

5.80%, 6/15/38, Series 20Y

     250,000        280,287  

7.50%, 7/1/38

     50,000        63,957  

6.10%, 2/15/42

     50,000        56,548  

4.95%, 1/15/43

     254,000        252,006  

5.00%, 5/15/44

     60,000        60,017  

5.35%, 5/15/45

     275,000        289,987  

6.13%, 12/15/45

     50,000        56,825  

5.30%, 4/15/47

     25,000        26,265  

5.40%, 10/1/47

     60,000        63,947  

6.25%, 4/15/49

     300,000        351,171  

5.00%, 5/15/50

     400,000        417,156  

Enstar Group Ltd.
4.95%, 6/1/29

     196,000        209,906  

Entergy Arkansas LLC
2.65%, 6/15/51

     150,000        126,369  

Entergy Corp.
2.95%, 9/1/26

     309,000        313,032  

2.80%, 6/15/30

     315,000        305,329  

Enterprise Products Operating LLC
4.15%, 10/16/28

     371,000        398,918  

3.13%, 7/31/29

     152,000        153,628  

6.65%, 10/15/34, Series H

     290,000        367,526  

7.55%, 4/15/38

     50,000        68,880  

5.95%, 2/1/41

     225,000        275,866  

4.85%, 8/15/42

     100,000        109,204  

4.45%, 2/15/43

     200,000        206,892  

4.85%, 3/15/44

     250,000        272,795  

5.10%, 2/15/45

     100,000        111,906  

4.25%, 2/15/48

     216,000        219,853  

4.95%, 10/15/54

     175,000        196,173  

3.95%, 1/31/60

     250,000        235,087  

5.25%, 8/16/77, Series E, (5.25% fixed rate until 8/16/27; 3-month U.S. dollar London Interbank Offered Rate + 3.033% thereafter)(d)

     118,000        112,531  

Equinix, Inc.
1.80%, 7/15/27

     48,000        45,391  

3.20%, 11/18/29

     500,000        493,680  

2.15%, 7/15/30

     50,000        45,669  

3.00%, 7/15/50

     204,000        170,493  

2.95%, 9/15/51

     225,000        185,326  

Equitable Holdings, Inc.
4.35%, 4/20/28

     529,000        566,765  

5.00%, 4/20/48

     95,000        106,609  

ERP Operating LP
3.50%, 3/1/28

     112,000        118,027  

4.15%, 12/1/28

     153,000        165,947  

Essential Utilities, Inc.
3.57%, 5/1/29

     362,000        375,206  

Essex Portfolio LP
4.00%, 3/1/29

     100,000        106,622  

3.00%, 1/15/30

     175,000        174,421  

1.65%, 1/15/31(c)

     250,000        221,885  

Estee Lauder Cos., Inc.
1.95%, 3/15/31

     250,000        235,600  

Everest Reinsurance Holdings, Inc.
4.87%, 6/1/44

     50,000        58,005  

3.50%, 10/15/50

     250,000        235,120  

 

See Notes to Financial Statements.

 

WisdomTree Trust      93  


Table of Contents

Schedule of Investments (unaudited) (continued)

WisdomTree Yield Enhanced U.S. Aggregate Bond Fund (AGGY)

February 28, 2022

 

 

 

Investments in Long Securities    Principal
Amount
     Value  

Evergy Metro, Inc.
4.20%, 6/15/47

   $ 200,000      $ 219,632  

Evergy, Inc.
2.90%, 9/15/29

     150,000        148,263  

Eversource Energy
1.65%, 8/15/30, Series R

     290,000        257,804  

Exelon Corp.
4.95%, 6/15/35

     51,000        57,334  

4.45%, 4/15/46

     150,000        163,091  

Exelon Generation Co. LLC
6.25%, 10/1/39

     120,000        139,932  

5.60%, 6/15/42

     97,000        107,071  

Expedia Group, Inc.
4.63%, 8/1/27

     200,000        214,252  

3.25%, 2/15/30

     100,000        98,843  

2.95%, 3/15/31

     400,000        383,876  

Extra Space Storage LP
2.55%, 6/1/31

     50,000        47,234  

Federal Realty Investment Trust
3.20%, 6/15/29

     71,000        72,241  

4.50%, 12/1/44

     100,000        109,801  

FedEx Corp.
3.40%, 2/15/28

     90,000        93,824  

3.10%, 8/5/29

     277,000        281,249  

4.25%, 5/15/30

     240,000        261,336  

4.90%, 1/15/34

     25,000        28,721  

3.25%, 5/15/41

     250,000        234,145  

4.75%, 11/15/45

     250,000        278,727  

4.40%, 1/15/47

     170,000        181,159  

4.05%, 2/15/48

     100,000        101,771  

5.25%, 5/15/50

     235,000        282,837  

Fidelity National Financial, Inc.
4.50%, 8/15/28

     220,000        236,027  

Fidelity National Information Services, Inc.
1.65%, 3/1/28(c)

     500,000        463,645  

Fifth Third Bancorp
8.25%, 3/1/38

     250,000        380,630  

First Republic Bank
4.38%, 8/1/46

     75,000        84,833  

Fiserv, Inc.
4.20%, 10/1/28

     309,000        329,731  

2.65%, 6/1/30

     423,000        403,876  

4.40%, 7/1/49

     326,000        348,103  

Flex Ltd.
4.88%, 6/15/29

     100,000        108,343  

Flowers Foods, Inc.
3.50%, 10/1/26

     8,000        8,351  

FMC Corp.
3.45%, 10/1/29

     110,000        111,137  

4.50%, 10/1/49

     272,000        292,800  

Ford Foundation
2.42%, 6/1/50, Series 2020

     75,000        66,101  

Fox Corp.
4.71%, 1/25/29

     333,000        364,242  

3.50%, 4/8/30

     50,000        51,120  

5.48%, 1/25/39

     185,000        216,117  

5.58%, 1/25/49

     50,000        60,243  

GATX Corp.
3.85%, 3/30/27

   160,000      168,290  

3.50%, 3/15/28

     100,000        103,692  

4.55%, 11/7/28

     65,000        71,635  

4.70%, 4/1/29

     65,000        71,573  

GE Capital International Funding Co. Unlimited Co.
4.42%, 11/15/35

     1,170,000        1,319,362  

General Dynamics Corp.
2.13%, 8/15/26

     114,000        113,855  

2.63%, 11/15/27(c)

     62,000        62,957  

General Electric Co.
6.75%, 3/15/32, Series MTNA

     353,000        456,161  

5.88%, 1/14/38

     157,000        197,368  

6.88%, 1/10/39

     85,000        117,532  

General Mills, Inc.
3.20%, 2/10/27

     53,000        54,570  

4.20%, 4/17/28(c)

     385,000        415,092  

2.25%, 10/14/31

     250,000        235,405  

3.00%, 2/1/51

     145,000        131,963  

General Motors Co.
4.20%, 10/1/27

     112,000        118,188  

6.80%, 10/1/27

     50,000        58,939  

5.00%, 4/1/35

     90,000        97,502  

6.60%, 4/1/36

     660,000        817,179  

5.15%, 4/1/38

     450,000        488,722  

6.25%, 10/2/43

     250,000        303,670  

5.95%, 4/1/49

     250,000        299,057  

General Motors Financial Co., Inc.
3.85%, 1/5/28

     206,000        212,479  

Georgia Power Co.
3.25%, 3/30/27

     110,000        112,488  

3.70%, 1/30/50, Series B

     100,000        95,433  

3.25%, 3/15/51, Series A

     150,000        134,513  

Gilead Sciences, Inc.
2.95%, 3/1/27(c)

     62,000        63,269  

1.65%, 10/1/30

     450,000        409,072  

2.60%, 10/1/40

     200,000        172,936  

4.80%, 4/1/44

     600,000        681,984  

2.80%, 10/1/50

     450,000        381,280  

Global Payments, Inc.
4.45%, 6/1/28

     85,000        91,078  

3.20%, 8/15/29

     449,000        444,303  

Globe Life, Inc.
4.55%, 9/15/28

     175,000        191,382  

2.15%, 8/15/30

     100,000        93,864  

GLP Capital LP / GLP Financing II, Inc.
5.75%, 6/1/28

     192,000        212,586  

4.00%, 1/15/30

     250,000        252,562  

Goldman Sachs Group, Inc.

     

4.22%, 5/1/29, (4.223% fixed rate until 5/1/28; 3-month U.S. dollar London Interbank Offered Rate + 1.301% thereafter)(d)

     250,000        265,540  

3.80%, 3/15/30

     250,000        261,015  

2.62%, 4/22/32, (2.615% fixed rate until 4/22/31; Secured Overnight Financing Rate + 1.281% thereafter)(d)

     350,000        331,331  

 

See Notes to Financial Statements.

 

94   WisdomTree Trust


Table of Contents

Schedule of Investments (unaudited) (continued)

WisdomTree Yield Enhanced U.S. Aggregate Bond Fund (AGGY)

February 28, 2022

 

 

 

Investments in Long Securities    Principal
Amount
     Value  

3.10%, 2/24/33, (3.102% fixed rate until 2/24/32; Secured Overnight Financing Rate + 1.41% thereafter)(d)

   $ 250,000      $ 246,720  

6.75%, 10/1/37

     446,000        586,236  

4.02%, 10/31/38, (4.017% fixed rate until 10/31/37; 3-month U.S. dollar London Interbank Offered Rate + 1.373% thereafter)(d)

     136,000        143,704  

2.91%, 7/21/42, (2.908% fixed rate until 7/21/41; Secured Overnight Financing Rate + 1.472% thereafter)(d)

     200,000        178,952  

5.15%, 5/22/45

     580,000        682,527  

Golub Capital BDC, Inc.
2.05%, 2/15/27

     200,000        183,468  

Halliburton Co.
2.92%, 3/1/30(c)

     150,000        147,803  

4.85%, 11/15/35

     55,000        61,557  

6.70%, 9/15/38

     56,000        72,451  

7.45%, 9/15/39

     78,000        107,817  

4.50%, 11/15/41

     2,000        2,077  

4.75%, 8/1/43

     200,000        213,656  

5.00%, 11/15/45

     207,000        231,260  

Harley-Davidson, Inc.
4.63%, 7/28/45

     40,000        39,359  

Hartford Financial Services Group, Inc.
4.30%, 4/15/43

     115,000        121,429  

4.40%, 3/15/48

     120,000        134,099  

Hasbro, Inc.
3.50%, 9/15/27

     174,000        179,114  

6.35%, 3/15/40(c)

     91,000        116,367  

HCA, Inc.
4.50%, 2/15/27

     152,000        161,067  

4.13%, 6/15/29

     300,000        315,000  

2.38%, 7/15/31

     400,000        369,520  

5.13%, 6/15/39

     60,000        67,132  

5.50%, 6/15/47

     113,000        132,498  

5.25%, 6/15/49

     233,000        265,480  

3.50%, 7/15/51

     150,000        133,499  

Healthcare Realty Trust, Inc.
3.63%, 1/15/28

     25,000        25,714  

Healthcare Trust of America Holdings LP
3.10%, 2/15/30

     325,000        321,467  

2.00%, 3/15/31(c)

     250,000        226,115  

Healthpeak Properties, Inc.
3.25%, 7/15/26

     168,000        173,924  

2.88%, 1/15/31

     250,000        246,320  

6.75%, 2/1/41

     32,000        44,830  

Hershey Co.
1.70%, 6/1/30

     50,000        46,710  

Hess Corp.
4.30%, 4/1/27

     100,000        105,848  

7.13%, 3/15/33

     100,000        127,593  

6.00%, 1/15/40

     250,000        298,197  

5.60%, 2/15/41

     250,000        288,575  

Hewlett Packard Enterprise Co.
6.20%, 10/15/35

     100,000        119,837  

6.35%, 10/15/45

     150,000        179,187  

Highwoods Realty LP
4.13%, 3/15/28

   25,000      26,704  

4.20%, 4/15/29

     75,000        79,349  

3.05%, 2/15/30

     115,000        113,757  

HollyFrontier Corp.
4.50%, 10/1/30

     50,000        50,565  

Home Depot, Inc.
2.95%, 6/15/29

     145,000        148,270  

1.38%, 3/15/31

     250,000        223,967  

4.20%, 4/1/43

     250,000        278,052  

2.38%, 3/15/51

     250,000        206,477  

Hormel Foods Corp.
1.80%, 6/11/30

     150,000        140,234  

Host Hotels & Resorts LP
3.50%, 9/15/30, Series I

     250,000        244,852  

HP, Inc.
3.40%, 6/17/30

     325,000        328,107  

2.65%, 6/17/31

     111,000        104,310  

6.00%, 9/15/41

     185,000        222,261  

Hubbell, Inc.
3.15%, 8/15/27

     8,000        8,199  

3.50%, 2/15/28

     96,000        99,777  

Hudson Pacific Properties LP
4.65%, 4/1/29

     185,000        201,382  

3.25%, 1/15/30

     200,000        199,698  

Humana, Inc.
3.95%, 3/15/27

     71,000        75,120  

2.15%, 2/3/32

     500,000        459,735  

4.95%, 10/1/44

     117,000        136,628  

Huntington Ingalls Industries, Inc.
3.48%, 12/1/27

     25,000        25,661  

4.20%, 5/1/30

     250,000        268,045  

Huntsman International LLC
4.50%, 5/1/29

     379,000        402,396  

Indiana Michigan Power Co.
3.85%, 5/15/28

     92,000        97,158  

Ingredion, Inc.
3.20%, 10/1/26(c)

     109,000        112,048  

Intel Corp.
2.45%, 11/15/29

     55,000        53,884  

3.90%, 3/25/30

     365,000        393,729  

2.00%, 8/12/31

     150,000        139,908  

2.80%, 8/12/41

     50,000        45,098  

3.25%, 11/15/49

     50,000        46,783  

3.20%, 8/12/61

     250,000        223,987  

Intercontinental Exchange, Inc.
2.65%, 9/15/40

     50,000        44,426  

3.00%, 6/15/50

     150,000        133,884  

3.00%, 9/15/60

     100,000        86,050  

International Business Machines Corp.
3.50%, 5/15/29

     450,000        471,582  

4.15%, 5/15/39

     250,000        267,952  

International Flavors & Fragrances, Inc.
4.38%, 6/1/47

     27,000        28,395  

5.00%, 9/26/48

     200,000        228,524  

International Paper Co.
4.80%, 6/15/44

     250,000        283,692  

4.35%, 8/15/48

     134,000        145,943  

 

See Notes to Financial Statements.

 

WisdomTree Trust      95  


Table of Contents

Schedule of Investments (unaudited) (continued)

WisdomTree Yield Enhanced U.S. Aggregate Bond Fund (AGGY)

February 28, 2022

 

 

 

Investments in Long Securities    Principal
Amount
     Value  

Interpublic Group of Cos., Inc.
5.40%, 10/1/48

   $ 125,000      $ 156,265  

Interstate Power & Light Co.
4.10%, 9/26/28

     250,000        268,105  

6.25%, 7/15/39

     10,000        13,342  

3.70%, 9/15/46

     100,000        103,937  

J.M. Smucker Co.
4.25%, 3/15/35

     222,000        240,366  

2.75%, 9/15/41

     200,000        173,942  

4.38%, 3/15/45

     5,000        5,424  

Jabil, Inc.
3.95%, 1/12/28

     209,000        218,631  

Janus Henderson US Holdings, Inc.
4.88%, 8/1/25

     2,000        2,137  

Jefferies Group LLC
6.25%, 1/15/36

     268,000        331,736  

6.50%, 1/20/43

     61,000        77,056  

Jefferies Group LLC / Jefferies Group Capital Finance, Inc.
4.85%, 1/15/27

     19,000        20,718  

4.15%, 1/23/30

     503,000        529,096  

JetBlue Pass Through Trust
2.75%, 11/15/33, Series 2019-1,

Class AA

     92,380        89,133  

John Deere Capital Corp.
3.05%, 1/6/28

     25,000        25,917  

3.45%, 3/7/29

     50,000        52,905  

2.80%, 7/18/29(c)

     175,000        177,898  

2.45%, 1/9/30

     45,000        44,529  

Johnson & Johnson
4.38%, 12/5/33

     30,000        34,938  

3.40%, 1/15/38

     50,000        51,977  

3.70%, 3/1/46

     103,000        110,829  

Johnson Controls International PLC
6.00%, 1/15/36

     400,000        515,052  

5.13%, 9/14/45

     11,000        13,342  

4.50%, 2/15/47

     120,000        131,642  

JPMorgan Chase & Co.
8.00%, 4/29/27

     1,000        1,246  

3.54%, 5/1/28, (3.54% fixed rate until 5/1/27; 3-month U.S. dollar London Interbank Offered Rate + 1.38% thereafter)(d)

     350,000        362,047  

4.20%, 7/23/29, (4.203% fixed rate until 7/23/28; 3-month U.S. dollar London Interbank Offered Rate + 1.26% thereafter)(d)

     500,000        533,875  

2.96%, 5/13/31, (2.956% fixed rate until 5/13/30; Secured Overnight Financing Rate + 2.515% thereafter)(d)

     50,000        48,581  

1.95%, 2/4/32, (1.953% fixed rate until 2/4/31; Secured Overnight Financing Rate + 1.065% thereafter)(d)

     500,000        456,145  

2.58%, 4/22/32, (2.58% fixed rate until 4/22/31; Secured Overnight Financing Rate + 1.25% thereafter)(d)

     500,000        479,880  

2.96%, 1/25/33, (2.963% fixed rate until 1/25/32; Secured Overnight Financing Rate + 1.26% thereafter)(d)

   350,000      346,626  

3.16%, 4/22/42, (3.157% fixed rate until 4/22/41; Secured Overnight Financing Rate + 1.46% thereafter)(d)

     100,000        94,864  

5.63%, 8/16/43

     200,000        252,596  

3.96%, 11/15/48, (3.964% fixed rate until 11/15/47; 3-month U.S. dollar London Interbank Offered Rate + 1.38% thereafter)(d)

     100,000        106,289  

Juniper Networks, Inc.
2.00%, 12/10/30

     50,000        44,808  

5.95%, 3/15/41

     100,000        120,684  

Kansas City Southern
2.88%, 11/15/29

     200,000        198,836  

4.70%, 5/1/48

     125,000        143,434  

4.20%, 11/15/69

     50,000        52,443  

Kellogg Co.
3.40%, 11/15/27

     155,000        160,766  

7.45%, 4/1/31, Series B

     150,000        200,647  

Kennametal, Inc.
4.63%, 6/15/28

     240,000        258,336  

Keurig Dr. Pepper, Inc.
3.43%, 6/15/27

     90,000        93,331  

4.60%, 5/25/28

     86,000        94,113  

3.20%, 5/1/30

     525,000        531,814  

5.09%, 5/25/48

     125,000        146,903  

KeyBank NA
3.90%, 4/13/29

     75,000        79,117  

KeyCorp
4.10%, 4/30/28

     290,000        311,544  

2.55%, 10/1/29

     90,000        87,555  

Kilroy Realty LP
4.25%, 8/15/29

     150,000        159,758  

3.05%, 2/15/30

     120,000        118,207  

Kimberly-Clark Corp.
3.20%, 4/25/29(c)

     117,000        121,433  

Kimco Realty Corp.
2.70%, 10/1/30

     50,000        48,651  

4.45%, 9/1/47

     100,000        109,959  

3.70%, 10/1/49

     250,000        243,727  

Kinder Morgan Energy Partners LP
7.30%, 8/15/33

     1,000        1,288  

5.80%, 3/15/35

     50,000        59,045  

6.95%, 1/15/38

     90,000        115,086  

6.38%, 3/1/41

     8,000        9,668  

5.00%, 8/15/42

     200,000        210,984  

5.00%, 3/1/43

     370,000        392,862  

5.40%, 9/1/44

     75,000        83,803  

Kinder Morgan, Inc.
4.30%, 3/1/28

     192,000        204,730  

2.00%, 2/15/31(c)

     400,000        359,536  

7.75%, 1/15/32

     337,000        446,555  

5.30%, 12/1/34

     168,000        189,554  

5.55%, 6/1/45

     148,000        169,784  

5.05%, 2/15/46

     80,000        86,856  

 

See Notes to Financial Statements.

 

96   WisdomTree Trust


Table of Contents

Schedule of Investments (unaudited) (continued)

WisdomTree Yield Enhanced U.S. Aggregate Bond Fund (AGGY)

February 28, 2022

 

 

 

Investments in Long Securities    Principal
Amount
     Value  

5.20%, 3/1/48

   $ 100,000      $ 111,592  

3.25%, 8/1/50

     150,000        126,500  

Kirby Corp.
4.20%, 3/1/28

     80,000        82,742  

KLA Corp.
3.30%, 3/1/50

     250,000        237,127  

Kohl’s Corp.
5.55%, 7/17/45

     177,000        181,236  

Kroger Co.
3.70%, 8/1/27

     295,000        311,036  

5.40%, 7/15/40

     50,000        60,061  

5.00%, 4/15/42

     66,000        76,478  

5.15%, 8/1/43

     25,000        29,237  

4.45%, 2/1/47

     51,000        55,556  

4.65%, 1/15/48

     69,000        77,461  

5.40%, 1/15/49

     250,000        311,252  

L3Harris Technologies, Inc.
4.40%, 6/15/28

     406,000        439,594  

1.80%, 1/15/31

     250,000        226,205  

4.85%, 4/27/35

     105,000        120,395  

Laboratory Corp. of America Holdings
3.60%, 9/1/27

     225,000        235,600  

4.70%, 2/1/45

     75,000        82,869  

Lam Research Corp.
4.00%, 3/15/29

     217,000        235,447  

Las Vegas Sands Corp.
3.90%, 8/8/29

     137,000        131,212  

Lear Corp.
4.25%, 5/15/29

     298,000        316,020  

Leggett & Platt, Inc.
3.50%, 11/15/27

     25,000        25,900  

3.50%, 11/15/51

     250,000        232,660  

Leidos, Inc.
2.30%, 2/15/31

     350,000        319,497  

LifeStorage LP
3.50%, 7/1/26

     60,000        62,475  

3.88%, 12/15/27

     25,000        26,558  

Lincoln National Corp.
3.80%, 3/1/28

     13,000        13,702  

3.05%, 1/15/30

     200,000        199,052  

4.35%, 3/1/48

     153,000        167,474  

Lockheed Martin Corp.
2.80%, 6/15/50

     100,000        90,278  

Lowe’s Cos., Inc.
3.10%, 5/3/27

     60,000        61,843  

3.65%, 4/5/29

     500,000        524,630  

4.50%, 4/15/30

     350,000        386,158  

5.00%, 4/15/40

     350,000        402,801  

2.80%, 9/15/41

     250,000        221,630  

5.13%, 4/15/50

     250,000        301,742  

3.00%, 10/15/50

     350,000        305,382  

LYB International Finance BV
5.25%, 7/15/43

     100,000        115,918  

4.88%, 3/15/44

     195,000        215,025  

LYB International Finance III LLC
4.20%, 10/15/49

     300,000        304,650  

3.80%, 10/1/60

     310,000        281,725  

Magellan Midstream Partners LP
3.25%, 6/1/30

   250,000      250,260  

5.15%, 10/15/43

     72,000        79,623  

4.20%, 10/3/47

     160,000        158,634  

Marathon Oil Corp.
4.40%, 7/15/27

     165,000        175,294  

6.60%, 10/1/37

     79,000        99,549  

Marathon Petroleum Corp.
6.50%, 3/1/41

     240,000        306,058  

4.75%, 9/15/44

     51,000        54,035  

4.50%, 4/1/48

     75,000        77,774  

5.00%, 9/15/54

     40,000        43,222  

Markel Corp.
3.50%, 11/1/27

     100,000        104,110  

5.00%, 4/5/46

     250,000        291,617  

Marriott International, Inc.
4.63%, 6/15/30

     250,000        270,537  

2.85%, 4/15/31, Series HH

     376,000        358,659  

3.50%, 10/15/32, Series GG

     100,000        99,834  

Marsh & McLennan Cos., Inc.
4.38%, 3/15/29

     171,000        186,698  

Martin Marietta Materials, Inc.
3.45%, 6/1/27

     25,000        26,052  

4.25%, 12/15/47

     180,000        189,220  

3.20%, 7/15/51

     250,000        224,267  

Marvell Technology, Inc.
2.95%, 4/15/31

     300,000        289,950  

Masco Corp.
1.50%, 2/15/28

     500,000        460,360  

Massachusetts Institute of Technology
5.60%, 7/1/2111

     60,000        92,909  

Mastercard, Inc.
3.50%, 2/26/28

     52,000        55,402  

2.95%, 6/1/29

     145,000        149,160  

1.90%, 3/15/31

     50,000        47,609  

McCormick & Co., Inc.
3.40%, 8/15/27

     60,000        62,468  

1.85%, 2/15/31

     235,000        213,777  

McDonald’s Corp.
3.80%, 4/1/28

     28,000        29,779  

2.63%, 9/1/29(c)

     100,000        98,537  

2.13%, 3/1/30

     150,000        142,385  

3.60%, 7/1/30

     250,000        262,697  

4.70%, 12/9/35

     331,000        376,178  

6.30%, 3/1/38

     18,000        23,653  

4.88%, 7/15/40

     150,000        173,469  

3.70%, 2/15/42

     150,000        149,633  

4.60%, 5/26/45

     92,000        101,996  

4.88%, 12/9/45

     88,000        101,134  

4.45%, 3/1/47

     69,000        75,784  

4.45%, 9/1/48

     40,000        44,097  

3.63%, 9/1/49

     250,000        246,372  

4.20%, 4/1/50

     250,000        267,912  

MDC Holdings, Inc.
3.85%, 1/15/30(c)

     50,000        50,120  

3.97%, 8/6/61

     150,000        123,159  

 

See Notes to Financial Statements.

 

WisdomTree Trust      97  


Table of Contents

Schedule of Investments (unaudited) (continued)

WisdomTree Yield Enhanced U.S. Aggregate Bond Fund (AGGY)

February 28, 2022

 

 

 

Investments in Long Securities    Principal
Amount
     Value  

Medtronic Global Holdings SCA
3.35%, 4/1/27

   $ 43,000      $ 44,856  

Merck & Co., Inc.
1.45%, 6/24/30

     250,000        228,742  

2.15%, 12/10/31

     200,000        191,178  

4.00%, 3/7/49

     100,000        110,623  

Mercury General Corp.
4.40%, 3/15/27

     160,000        170,282  

MetLife, Inc.
4.05%, 3/1/45

     250,000        272,302  

6.40%, 12/15/66

     140,000        158,577  

Micron Technology, Inc.
5.33%, 2/6/29

     337,000        376,820  

Microsoft Corp.
4.50%, 10/1/40

     50,000        60,141  

3.95%, 3/15/29

     340,000        364,024  

1.70%, 2/15/31

     100,000        90,307  

MidAmerican Energy Co.
6.75%, 12/30/31

     50,000        65,887  

3.65%, 8/1/48

     50,000        50,925  

Molson Coors Beverage Co.
3.00%, 7/15/26

     167,000        170,028  

5.00%, 5/1/42

     60,000        65,911  

4.20%, 7/15/46

     315,000        315,104  

Mondelez International, Inc.
2.75%, 4/13/30

     50,000        49,337  

1.50%, 2/4/31(c)

     500,000        442,730  

1.88%, 10/15/32(c)

     25,000        22,519  

2.63%, 9/4/50

     150,000        126,585  

Moody’s Corp.
3.25%, 1/15/28

     33,000        34,250  

5.25%, 7/15/44

     250,000        302,585  

Morgan Stanley
3.95%, 4/23/27

     350,000        367,633  

4.43%, 1/23/30, (4.431% fixed rate until 1/23/29; 3-month U.S. dollar London Interbank Offered Rate + 1.628% thereafter)(d)

     350,000        378,042  

1.79%, 2/13/32, (1.794% fixed rate until 2/13/31; Secured Overnight Financing Rate + 1.034% thereafter)(d)

     250,000        223,485  

7.25%, 4/1/32

     100,000        134,326  

1.93%, 4/28/32, (1.928% fixed rate until 4/28/31; Secured Overnight Financing Rate + 1.02% thereafter)(d)

     275,000        248,022  

2.24%, 7/21/32, (2.239% fixed rate until 7/21/31; Secured Overnight Financing Rate + 1.178% thereafter)(d)

     250,000        231,732  

3.22%, 4/22/42, (3.217% fixed rate until 4/22/41; Secured Overnight Financing Rate + 1.485% thereafter)(d)

     100,000        95,482  

2.80%, 1/25/52, (2.802% fixed rate until 1/25/51; Secured Overnight Financing Rate + 1.43% thereafter)(d)

     200,000        174,878  

Morgan Stanley Domestic Holdings, Inc.
3.80%, 8/24/27

     100,000        104,756  

Mosaic Co.
4.05%, 11/15/27

   223,000      235,847  

5.63%, 11/15/43

     38,000        46,921  

Motorola Solutions, Inc.
4.60%, 2/23/28

     50,000        54,023  

4.60%, 5/23/29

     75,000        80,965  

2.30%, 11/15/30

     75,000        68,977  

2.75%, 5/24/31

     244,000        230,731  

5.50%, 9/1/44

     50,000        58,288  

MPLX LP
4.25%, 12/1/27

     50,000        53,038  

4.00%, 3/15/28

     280,000        292,384  

4.80%, 2/15/29

     60,000        65,764  

2.65%, 8/15/30

     200,000        188,624  

5.20%, 3/1/47

     35,000        38,670  

5.20%, 12/1/47

     275,000        300,319  

4.70%, 4/15/48

     500,000        519,985  

Mylan, Inc.
4.55%, 4/15/28

     166,000        176,946  

5.20%, 4/15/48

     150,000        163,299  

Nasdaq, Inc.
1.65%, 1/15/31(c)

     650,000        574,028  

National Fuel Gas Co.
3.95%, 9/15/27(c)

     150,000        153,758  

4.75%, 9/1/28

     105,000        110,973  

National Health Investors, Inc.
3.00%, 2/1/31

     350,000        323,186  

National Retail Properties, Inc.
3.50%, 10/15/27

     15,000        15,688  

2.50%, 4/15/30

     200,000        192,122  

3.50%, 4/15/51

     150,000        139,041  

National Rural Utilities Cooperative Finance Corp.
3.40%, 2/7/28

     100,000        103,455  

3.70%, 3/15/29

     167,000        175,918  

NewMarket Corp.
2.70%, 3/18/31

     274,000        263,983  

Newmont Corp.
2.80%, 10/1/29

     110,000        107,694  

2.60%, 7/15/32

     250,000        237,860  

6.25%, 10/1/39

     93,000        120,728  

5.45%, 6/9/44

     250,000        306,260  

NextEra Energy Capital Holdings, Inc.
3.50%, 4/1/29

     327,000        336,987  

2.75%, 11/1/29

     500,000        491,490  

3.00%, 1/15/52

     250,000        216,472  

4.80%, 12/1/77, (4.80% fixed rate until 12/1/27; 3-month U.S. dollar London Interbank Offered Rate + 2.409% thereafter)(d)

     33,000        32,839  

NIKE, Inc.
2.85%, 3/27/30

     220,000        223,859  

NiSource, Inc.
3.60%, 5/1/30

     515,000        527,159  

5.95%, 6/15/41

     2,000        2,474  

4.80%, 2/15/44

     40,000        43,657  

5.65%, 2/1/45

     224,000        266,340  

 

See Notes to Financial Statements.

 

98   WisdomTree Trust


Table of Contents

Schedule of Investments (unaudited) (continued)

WisdomTree Yield Enhanced U.S. Aggregate Bond Fund (AGGY)

February 28, 2022

 

 

 

Investments in Long Securities    Principal
Amount
     Value  

4.38%, 5/15/47

   $ 81,000      $ 84,982  

3.95%, 3/30/48

     75,000        73,754  

Norfolk Southern Corp.
3.15%, 6/1/27

     100,000        103,152  

3.80%, 8/1/28(c)

     149,000        157,885  

4.84%, 10/1/41

     120,000        140,768  

3.95%, 10/1/42

     250,000        263,330  

3.94%, 11/1/47

     71,000        74,544  

3.05%, 5/15/50

     250,000        228,370  

2.90%, 8/25/51

     100,000        88,260  

4.10%, 5/15/2121

     100,000        97,034  

Northern States Power Co.
3.20%, 4/1/52

     200,000        194,376  

Northrop Grumman Corp.
3.20%, 2/1/27

     100,000        102,923  

3.25%, 1/15/28

     100,000        102,679  

7.75%, 2/15/31(e)

     170,000        229,916  

5.15%, 5/1/40

     250,000        297,615  

5.05%, 11/15/40

     26,000        30,861  

4.75%, 6/1/43

     60,000        69,546  

5.25%, 5/1/50

     372,000        470,450  

NOV, Inc.
3.95%, 12/1/42

     105,000        96,074  

NSTAR Electric Co.
3.20%, 5/15/27

     150,000        155,001  

Nucor Corp.
5.20%, 8/1/43

     200,000        247,594  

2.98%, 12/15/55

     27,000        23,684  

NVIDIA Corp.
2.85%, 4/1/30

     250,000        253,302  

O’Reilly Automotive, Inc.
3.60%, 9/1/27

     100,000        104,627  

4.20%, 4/1/30

     250,000        268,422  

1.75%, 3/15/31

     250,000        224,370  

Oglethorpe Power Corp.
5.95%, 11/1/39

     50,000        61,966  

5.25%, 9/1/50

     255,000        297,863  

Ohio Power Co.
2.90%, 10/1/51, Series R

     150,000        128,718  

Oklahoma Gas & Electric Co.
3.80%, 8/15/28

     135,000        142,482  

Omega Healthcare Investors, Inc.
4.50%, 4/1/27

     90,000        95,054  

4.75%, 1/15/28

     60,000        63,214  

3.63%, 10/1/29

     100,000        98,704  

Omnicom Group, Inc.
2.45%, 4/30/30

     525,000        504,394  

ONEOK Partners LP
6.13%, 2/1/41

     100,000        115,897  

6.20%, 9/15/43

     25,000        28,951  

ONEOK, Inc.
4.00%, 7/13/27

     430,000        448,112  

4.55%, 7/15/28

     357,000        381,247  

4.45%, 9/1/49

     150,000        148,499  

4.50%, 3/15/50

     100,000        99,132  

7.15%, 1/15/51

     150,000        199,461  

Oracle Corp.
2.65%, 7/15/26

   125,000      124,250  

2.80%, 4/1/27

     310,000        308,286  

3.25%, 11/15/27

     414,000        419,361  

2.30%, 3/25/28

     275,000        261,852  

2.95%, 4/1/30

     600,000        580,350  

2.88%, 3/25/31

     733,000        700,081  

4.30%, 7/8/34

     100,000        103,373  

3.80%, 11/15/37

     400,000        381,020  

6.50%, 4/15/38

     250,000        309,680  

3.60%, 4/1/40

     100,000        90,608  

5.38%, 7/15/40

     350,000        384,566  

3.65%, 3/25/41

     200,000        181,388  

4.13%, 5/15/45

     250,000        233,817  

4.00%, 7/15/46

     250,000        230,045  

4.00%, 11/15/47

     500,000        458,325  

3.60%, 4/1/50

     300,000        260,754  

3.95%, 3/25/51

     500,000        459,100  

4.38%, 5/15/55

     150,000        143,051  

3.85%, 4/1/60

     300,000        258,999  

4.10%, 3/25/61

     188,000        169,990  

Oshkosh Corp.
4.60%, 5/15/28

     32,000        34,473  

Otis Worldwide Corp.
2.57%, 2/15/30

     503,000        488,212  

Ovintiv, Inc.
7.20%, 11/1/31

     248,000        305,903  

Owens Corning
3.40%, 8/15/26

     260,000        267,901  

7.00%, 12/1/36

     32,000        42,176  

4.40%, 1/30/48

     150,000        159,594  

Owl Rock Capital Corp.
2.88%, 6/11/28

     375,000        340,361  

Owl Rock Capital Corp. III
3.13%, 4/13/27(e)

     200,000        185,518  

Pacific Gas and Electric Co.
3.30%, 3/15/27

     150,000        149,408  

2.10%, 8/1/27

     50,000        46,463  

4.55%, 7/1/30

     250,000        257,150  

2.50%, 2/1/31

     775,000        690,773  

4.50%, 7/1/40

     432,000        411,938  

4.20%, 6/1/41

     75,000        69,071  

3.75%, 8/15/42

     100,000        85,865  

4.60%, 6/15/43

     340,000        325,887  

4.00%, 12/1/46

     100,000        87,227  

4.95%, 7/1/50

     350,000        348,166  

3.50%, 8/1/50

     300,000        247,350  

Packaging Corp. of America
3.00%, 12/15/29

     242,000        242,087  

Paramount Global
2.90%, 1/15/27

     92,000        92,342  

3.70%, 6/1/28

     34,000        35,291  

7.88%, 7/30/30

     397,000        518,839  

4.95%, 1/15/31

     436,000        482,434  

4.20%, 5/19/32

     100,000        104,466  

4.38%, 3/15/43

     150,000        150,551  

5.85%, 9/1/43

     141,000        169,481  

 

See Notes to Financial Statements.

 

WisdomTree Trust      99  


Table of Contents

Schedule of Investments (unaudited) (continued)

WisdomTree Yield Enhanced U.S. Aggregate Bond Fund (AGGY)

February 28, 2022

 

 

 

Investments in Long Securities    Principal
Amount
     Value  

5.25%, 4/1/44

   $ 30,000      $ 33,207  

4.95%, 5/19/50

     185,000        202,629  

Parker-Hannifin Corp.
3.25%, 3/1/27

     100,000        103,612  

3.25%, 6/14/29

     422,000        430,765  

4.00%, 6/14/49

     150,000        158,634  

PayPal Holdings, Inc.
2.30%, 6/1/30(c)

     100,000        95,382  

Pentair Finance Sarl
4.50%, 7/1/29

     233,000        252,239  

PepsiCo, Inc.
3.00%, 10/15/27

     28,000        29,132  

4.45%, 4/14/46

     250,000        297,235  

PerkinElmer, Inc.
2.55%, 3/15/31

     200,000        190,860  

Pfizer, Inc.
3.60%, 9/15/28

     94,000        100,784  

3.45%, 3/15/29

     93,000        98,247  

2.63%, 4/1/30

     100,000        100,301  

1.70%, 5/28/30

     100,000        93,310  

1.75%, 8/18/31

     250,000        232,032  

4.00%, 3/15/49

     150,000        167,322  

Philip Morris International, Inc.
1.75%, 11/1/30

     250,000        226,887  

4.25%, 11/10/44

     50,000        51,730  

Phillips 66
4.65%, 11/15/34

     322,000        359,877  

5.88%, 5/1/42

     300,000        381,678  

Phillips 66 Partners LP
3.75%, 3/1/28

     245,000        252,365  

4.90%, 10/1/46

     100,000        111,543  

Physicians Realty LP
3.95%, 1/15/28

     25,000        26,289  

Piedmont Natural Gas Co., Inc.
3.50%, 6/1/29

     578,000        594,976  

Pioneer Natural Resources Co.
1.90%, 8/15/30

     468,000        426,222  

Plains All American Pipeline LP / PAA Finance Corp.
4.50%, 12/15/26

     171,000        182,414  

3.55%, 12/15/29

     250,000        247,712  

6.65%, 1/15/37

     250,000        296,607  

4.70%, 6/15/44

     47,000        44,770  

PNC Financial Services Group, Inc.
2.55%, 1/22/30

     175,000        172,251  

PPL Capital Funding, Inc.
3.10%, 5/15/26

     99,000        100,950  

4.13%, 4/15/30

     100,000        108,569  

President & Fellows of Harvard College
2.52%, 10/15/50

     125,000        112,754  

Principal Financial Group, Inc.
3.70%, 5/15/29

     21,000        22,410  

Progressive Corp.
2.45%, 1/15/27

     25,000        25,302  

6.63%, 3/1/29

     160,000        198,598  

Prologis LP
4.38%, 2/1/29

     60,000        66,320  

Prudential Financial, Inc.
4.60%, 5/15/44

   100,000      114,012  

4.50%, 9/15/47, (4.50% fixed rate until 9/15/27; 3-month U.S. dollar London Interbank Offered Rate + 2.38% thereafter)(c)(d)

     283,000        274,136  

5.70%, 9/15/48, (5.70% fixed rate until 9/15/28; 3-month U.S. dollar London Interbank Offered Rate + 2.665% thereafter)(c)(d)

     150,000        157,131  

3.70%, 3/13/51

     50,000        50,866  

Public Service Co. of Colorado
3.70%, 6/15/28

     126,000        133,563  

Public Service Co. of New Hampshire
3.60%, 7/1/49

     50,000        50,882  

Public Service Electric & Gas Co.
3.00%, 5/15/27

     35,000        35,993  

3.20%, 5/15/29

     170,000        175,068  

Public Storage
3.09%, 9/15/27

     90,000        93,402  

Puget Sound Energy, Inc.
4.22%, 6/15/48

     250,000        270,475  

PulteGroup, Inc.
6.00%, 2/15/35

     350,000        421,715  

QUALCOMM, Inc.
3.25%, 5/20/27(c)

     62,000        64,657  

1.30%, 5/20/28

     88,000        81,873  

Quanta Services, Inc.
3.05%, 10/1/41

     250,000        218,167  

Quest Diagnostics, Inc.
2.95%, 6/30/30

     405,000        400,581  

Raymond James Financial, Inc.
4.95%, 7/15/46

     305,000        352,132  

Raytheon Technologies Corp.
3.50%, 3/15/27

     190,000        198,677  

7.20%, 8/15/27

     21,000        25,953  

4.13%, 11/16/28

     613,000        663,100  

2.25%, 7/1/30

     425,000        404,383  

4.45%, 11/16/38

     152,000        170,055  

4.88%, 10/15/40

     250,000        289,660  

4.70%, 12/15/41

     50,000        56,851  

4.50%, 6/1/42

     261,000        292,043  

4.15%, 5/15/45

     119,000        128,093  

3.75%, 11/1/46

     106,000        107,224  

4.35%, 4/15/47

     82,000        90,487  

4.05%, 5/4/47

     145,000        153,947  

4.63%, 11/16/48

     45,000        52,081  

3.13%, 7/1/50

     250,000        230,807  

3.03%, 3/15/52

     200,000        180,042  

Realty Income Corp.
4.13%, 10/15/26

     95,000        101,011  

3.00%, 1/15/27

     46,000        46,787  

3.65%, 1/15/28

     136,000        142,142  

Regency Centers LP
4.13%, 3/15/28

     40,000        42,844  

2.95%, 9/15/29

     272,000        269,128  

4.40%, 2/1/47

     13,000        13,909  

4.65%, 3/15/49

     150,000        169,721  

 

See Notes to Financial Statements.

 

100   WisdomTree Trust


Table of Contents

Schedule of Investments (unaudited) (continued)

WisdomTree Yield Enhanced U.S. Aggregate Bond Fund (AGGY)

February 28, 2022

 

 

 

Investments in Long Securities    Principal
Amount
     Value  

Regeneron Pharmaceuticals, Inc.
1.75%, 9/15/30

   $ 125,000      $ 111,813  

2.80%, 9/15/50

     150,000        124,406  

Regions Financial Corp.
7.38%, 12/10/37

     50,000        70,246  

Reinsurance Group of America, Inc.
3.15%, 6/15/30

     250,000        249,132  

Republic Services, Inc.
3.95%, 5/15/28

     90,000        95,789  

1.45%, 2/15/31

     250,000        221,250  

1.75%, 2/15/32

     450,000        401,521  

Rockwell Automation, Inc.
3.50%, 3/1/29

     68,000        72,008  

Roper Technologies, Inc.
3.80%, 12/15/26

     90,000        94,765  

1.40%, 9/15/27

     99,000        92,532  

2.00%, 6/30/30

     400,000        366,044  

Ross Stores, Inc.
1.88%, 4/15/31

     250,000        226,485  

Royalty Pharma PLC
2.20%, 9/2/30

     315,000        286,445  

3.30%, 9/2/40

     250,000        221,620  

3.55%, 9/2/50

     125,000        108,570  

RPM International, Inc.
3.75%, 3/15/27

     73,000        76,893  

4.55%, 3/1/29

     100,000        108,702  

S&P Global, Inc.
2.95%, 1/22/27

     5,000        5,141  

Sabine Pass Liquefaction LLC
5.00%, 3/15/27

     50,000        54,435  

4.20%, 3/15/28

     302,000        318,208  

4.50%, 5/15/30

     232,000        249,894  

Sabra Health Care LP
5.13%, 8/15/26

     50,000        53,134  

3.90%, 10/15/29

     265,000        264,918  

salesforce.com, Inc.
2.90%, 7/15/51(c)

     200,000        182,798  

Santander Holdings USA, Inc.
4.40%, 7/13/27

     102,000        107,337  

Sempra Energy
3.25%, 6/15/27

     40,000        40,898  

3.40%, 2/1/28

     246,000        253,552  

3.80%, 2/1/38

     150,000        152,873  

6.00%, 10/15/39

     100,000        127,393  

ServiceNow, Inc.
1.40%, 9/1/30

     250,000        220,837  

Sherwin-Williams Co.
3.45%, 6/1/27

     116,000        120,754  

2.95%, 8/15/29

     110,000        110,440  

2.30%, 5/15/30

     290,000        275,668  

4.55%, 8/1/45

     12,000        13,183  

4.50%, 6/1/47

     200,000        219,450  

Shire Acquisitions Investments Ireland DAC
3.20%, 9/23/26

     78,000        80,144  

Simon Property Group LP
3.38%, 6/15/27

     175,000        181,060  

2.45%, 9/13/29

     142,000        137,351  

SITE Centers Corp.
4.70%, 6/1/27

   30,000      32,111  

Skyworks Solutions, Inc.
3.00%, 6/1/31

     50,000        46,698  

Snap-on, Inc.
3.25%, 3/1/27

     150,000        157,037  

Sonoco Products Co.
2.85%, 2/1/32

     350,000        339,906  

Southern California Edison Co.
3.65%, 3/1/28, Series B

     70,000        72,891  

4.20%, 3/1/29, Series A

     100,000        106,598  

6.65%, 4/1/29

     233,000        275,737  

3.65%, 2/1/50

     200,000        189,590  

Southern Co.
3.25%, 7/1/26

     64,000        65,503  

3.70%, 4/30/30, Series A

     100,000        103,161  

4.25%, 7/1/36

     257,000        270,128  

4.40%, 7/1/46

     255,000        267,418  

Southern Co. Gas Capital Corp.
5.88%, 3/15/41

     150,000        188,882  

4.40%, 6/1/43

     100,000        104,429  

4.40%, 5/30/47

     3,000        3,167  

Southern Power Co.
5.15%, 9/15/41

     150,000        167,508  

5.25%, 7/15/43

     15,000        16,998  

4.95%, 12/15/46, Series F

     160,000        176,642  

Southwest Airlines Co.
5.13%, 6/15/27

     225,000        249,833  

3.45%, 11/16/27(c)

     100,000        103,078  

Southwest Gas Corp.
4.15%, 6/1/49

     300,000        311,412  

Southwestern Electric Power Co.
4.10%, 9/15/28, Series M

     229,000        242,939  

3.85%, 2/1/48, Series L

     250,000        243,077  

Spectra Energy Partners LP
5.95%, 9/25/43

     250,000        315,560  

Spirit Airlines Pass Through Trust
4.10%, 10/1/29, Series A

     115,466        117,015  

Spirit Realty LP
3.40%, 1/15/30

     150,000        149,993  

Stanley Black & Decker, Inc.
4.25%, 11/15/28

     125,000        136,728  

2.30%, 3/15/30

     25,000        24,082  

Starbucks Corp.
4.00%, 11/15/28

     383,000        410,492  

3.55%, 8/15/29

     379,000        394,626  

4.30%, 6/15/45

     150,000        157,500  

4.50%, 11/15/48

     50,000        54,458  

4.45%, 8/15/49

     150,000        161,745  

3.35%, 3/12/50

     50,000        45,533  

3.50%, 11/15/50

     150,000        140,996  

State Street Corp.

     

3.03%, 11/1/34, (3.031% fixed rate until 11/1/29; Secured Overnight Financing Rate + 1.49% thereafter)(d)

     110,000        109,348  

Steel Dynamics, Inc.
3.45%, 4/15/30

     24,000        24,438  

3.25%, 1/15/31

     50,000        50,018  

 

See Notes to Financial Statements.

 

WisdomTree Trust      101  


Table of Contents

Schedule of Investments (unaudited) (continued)

WisdomTree Yield Enhanced U.S. Aggregate Bond Fund (AGGY)

February 28, 2022

 

 

 

Investments in Long Securities    Principal
Amount
     Value  

Steelcase, Inc.
5.13%, 1/18/29

   $ 95,000      $ 103,791  

STERIS Irish FinCo Unlimited Co.
2.70%, 3/15/31

     200,000        190,084  

Stifel Financial Corp.
4.00%, 5/15/30

     200,000        210,752  

STORE Capital Corp.
4.50%, 3/15/28

     30,000        32,085  

4.63%, 3/15/29

     25,000        26,871  

Stryker Corp.
4.63%, 3/15/46

     375,000        429,727  

Synchrony Financial
3.70%, 8/4/26

     99,000        101,028  

3.95%, 12/1/27

     223,000        230,305  

5.15%, 3/19/29

     50,000        54,742  

Sysco Corp.
3.30%, 7/15/26

     170,000        175,365  

3.25%, 7/15/27

     210,000        216,474  

5.95%, 4/1/30

     160,000        191,261  

5.38%, 9/21/35

     72,000        86,285  

6.60%, 4/1/50

     227,000        316,406  

T-Mobile USA, Inc.
3.75%, 4/15/27

     787,000        817,732  

2.05%, 2/15/28

     250,000        238,102  

3.88%, 4/15/30

     1,000,000        1,034,350  

2.55%, 2/15/31

     153,000        143,210  

2.25%, 11/15/31

     150,000        136,176  

2.70%, 3/15/32(e)

     300,000        282,189  

4.38%, 4/15/40

     200,000        208,560  

3.00%, 2/15/41

     130,000        113,455  

4.50%, 4/15/50

     300,000        313,413  

3.30%, 2/15/51

     250,000        218,172  

3.40%, 10/15/52(e)

     250,000        221,330  

3.60%, 11/15/60

     250,000        219,647  

Target Corp.
3.38%, 4/15/29

     130,000        137,873  

TC PipeLines LP
3.90%, 5/25/27

     217,000        230,389  

Teledyne FLIR LLC
2.50%, 8/1/30

     200,000        189,424  

Teledyne Technologies, Inc.
2.25%, 4/1/28

     78,000        75,867  

2.75%, 4/1/31

     50,000        48,204  

Texas Instruments, Inc.
2.25%, 9/4/29(c)

     100,000        98,696  

Textron, Inc.
3.38%, 3/1/28

     450,000        460,165  

Thermo Fisher Scientific, Inc.
2.00%, 10/15/31

     200,000        185,798  

2.80%, 10/15/41

     275,000        253,476  

4.10%, 8/15/47

     40,000        44,580  

Time Warner Cable LLC
6.55%, 5/1/37

     401,000        481,894  

7.30%, 7/1/38

     50,000        62,972  

6.75%, 6/15/39

     77,000        93,246  

4.50%, 9/15/42

     500,000        474,450  

Timken Co.
4.50%, 12/15/28

     256,000        276,250  

TJX Cos., Inc.
1.60%, 5/15/31

   65,000      58,937  

Toyota Motor Credit Corp.
2.15%, 2/13/30(c)

     100,000        96,275  

Trane Technologies Global Holding Co. Ltd.
3.75%, 8/21/28

     83,000        86,703  

5.75%, 6/15/43

     50,000        64,016  

Trane Technologies Luxembourg Finance SA
3.80%, 3/21/29

     180,000        189,239  

4.50%, 3/21/49

     150,000        167,243  

Transatlantic Holdings, Inc.
8.00%, 11/30/39

     30,000        44,571  

Transcontinental Gas Pipe Line Co. LLC
4.00%, 3/15/28

     295,000        311,783  

4.60%, 3/15/48

     200,000        218,708  

3.95%, 5/15/50

     250,000        249,752  

Travelers Cos., Inc.
4.30%, 8/25/45

     250,000        282,550  

Trimble, Inc.
4.90%, 6/15/28

     120,000        129,325  

Truist Bank
3.30%, 5/15/26

     40,000        41,421  

Trustees of Princeton University
5.70%, 3/1/39

     90,000        121,902  

Tyson Foods, Inc.
4.35%, 3/1/29

     385,000        417,617  

4.88%, 8/15/34

     126,000        144,450  

5.15%, 8/15/44

     100,000        119,676  

4.55%, 6/2/47

     50,000        55,754  

5.10%, 9/28/48

     54,000        64,846  

U.S. Bancorp

     

2.49%, 11/3/36, (2.491% fixed rate until 11/3/31; 5-year Constant Maturity Treasury Rate + 0.95% thereafter)(d)

     250,000        234,642  

UDR, Inc.
2.95%, 9/1/26

     40,000        40,624  

3.50%, 1/15/28

     25,000        25,853  

4.40%, 1/26/29

     79,000        85,454  

3.20%, 1/15/30

     210,000        211,014  

3.00%, 8/15/31

     73,000        72,131  

Union Pacific Corp.
2.38%, 5/20/31

     100,000        97,117  

4.05%, 3/1/46

     99,000        107,179  

4.00%, 4/15/47

     65,000        69,847  

4.50%, 9/10/48

     59,000        67,743  

3.25%, 2/5/50

     50,000        48,098  

3.80%, 10/1/51

     35,000        36,626  

3.88%, 2/1/55

     30,000        31,279  

3.80%, 4/6/71

     55,000        55,546  

United Airlines Pass Through Trust
4.30%, 2/15/27, Series 2013-1,

Class A

     279,475        290,461  

4.00%, 10/11/27, Series A

     43,048        44,439  

3.75%, 3/3/28, Series A

     11,269        11,537  

3.45%, 1/7/30, Series A

     22,877        22,339  

 

See Notes to Financial Statements.

 

102   WisdomTree Trust


Table of Contents

Schedule of Investments (unaudited) (continued)

WisdomTree Yield Enhanced U.S. Aggregate Bond Fund (AGGY)

February 28, 2022

 

 

 

Investments in Long Securities    Principal
Amount
     Value  

United Parcel Service, Inc.
3.05%, 11/15/27

   $ 49,000      $ 51,158  

3.40%, 3/15/29

     150,000        158,447  

UnitedHealth Group, Inc.
3.45%, 1/15/27

     103,000        108,404  

3.38%, 4/15/27

     95,000        99,841  

3.85%, 6/15/28

     95,000        102,027  

3.88%, 12/15/28

     190,000        204,917  

3.05%, 5/15/41

     100,000        96,168  

3.25%, 5/15/51

     100,000        97,233  

Universal Health Services, Inc.
2.65%, 1/15/32(e)

     300,000        278,232  

University of Notre Dame du Lac
3.39%, 2/15/48, Series 2017

     12,000        12,626  

Unum Group
5.75%, 8/15/42

     122,000        136,536  

4.50%, 12/15/49

     125,000        120,771  

Utah Acquisition Sub, Inc.
5.25%, 6/15/46

     50,000        53,122  

Valero Energy Corp.
4.35%, 6/1/28

     183,000        195,349  

4.00%, 4/1/29

     175,000        183,155  

6.63%, 6/15/37

     100,000        128,661  

4.90%, 3/15/45

     223,000        241,244  

Valero Energy Partners LP
4.50%, 3/15/28

     50,000        53,452  

Valmont Industries, Inc.
5.00%, 10/1/44

     105,000        118,622  

Ventas Realty LP
4.00%, 3/1/28

     115,000        122,301  

4.40%, 1/15/29

     60,000        65,097  

3.00%, 1/15/30

     200,000        198,054  

2.50%, 9/1/31(c)

     350,000        330,403  

Verisk Analytics, Inc.
5.50%, 6/15/45

     25,000        31,190  

Verizon Communications, Inc.
4.13%, 3/16/27

     213,000        228,353  

4.33%, 9/21/28

     568,000        619,393  

3.88%, 2/8/29

     305,000        324,676  

4.02%, 12/3/29

     773,000        829,460  

1.68%, 10/30/30

     209,000        187,968  

1.75%, 1/20/31

     680,000        612,551  

2.55%, 3/21/31

     1,150,000        1,104,069  

2.36%, 3/15/32(e)

     250,000        233,662  

4.50%, 8/10/33

     376,000        418,428  

4.40%, 11/1/34

     466,000        514,380  

4.81%, 3/15/39

     560,000        653,223  

2.65%, 11/20/40

     380,000        330,228  

3.40%, 3/22/41

     500,000        481,775  

2.85%, 9/3/41

     100,000        89,594  

6.55%, 9/15/43

     25,000        35,716  

4.13%, 8/15/46

     288,000        304,868  

4.86%, 8/21/46

     215,000        259,142  

4.00%, 3/22/50

     630,000        651,905  

2.88%, 11/20/50

     700,000        599,655  

3.55%, 3/22/51

     250,000        242,160  

2.99%, 10/30/56

     400,000        341,836  

3.00%, 11/20/60

   145,000      120,808  

3.70%, 3/22/61

     200,000        191,174  

VF Corp.
2.80%, 4/23/27

     110,000        111,472  

2.95%, 4/23/30

     125,000        123,846  

Viatris, Inc.
2.70%, 6/22/30

     250,000        233,540  

3.85%, 6/22/40

     150,000        140,924  

4.00%, 6/22/50

     250,000        221,875  

Virginia Electric & Power Co.
3.50%, 3/15/27, Series A

     107,000        112,283  

4.20%, 5/15/45, Series B

     250,000        271,012  

VMware, Inc.
3.90%, 8/21/27

     214,000        223,885  

2.20%, 8/15/31

     500,000        458,010  

Vontier Corp.
2.95%, 4/1/31

     50,000        45,593  

Vulcan Materials Co.
3.90%, 4/1/27

     20,000        21,092  

4.50%, 6/15/47

     80,000        88,167  

4.70%, 3/1/48

     30,000        34,046  

W.R. Berkley Corp.
4.75%, 8/1/44

     8,000        9,114  

4.00%, 5/12/50

     250,000        254,835  

Walgreens Boots Alliance, Inc.
3.20%, 4/15/30(c)

     250,000        252,805  

4.80%, 11/18/44

     52,000        57,057  

4.10%, 4/15/50

     150,000        150,935  

Walt Disney Co.
3.80%, 3/22/30

     50,000        53,706  

3.50%, 5/13/40

     250,000        250,105  

4.75%, 9/15/44

     200,000        231,478  

3.80%, 5/13/60

     50,000        51,849  

Waste Connections, Inc.
3.50%, 5/1/29

     75,000        77,712  

2.20%, 1/15/32

     400,000        371,600  

Waste Management, Inc.
3.15%, 11/15/27

     175,000        180,145  

1.15%, 3/15/28

     80,000        73,161  

1.50%, 3/15/31

     300,000        268,650  

4.15%, 7/15/49

     50,000        56,084  

2.50%, 11/15/50

     40,000        33,558  

WEC Energy Group, Inc.
1.38%, 10/15/27(c)

     110,000        102,271  

Wells Fargo & Co.

     

4.48%, 4/4/31, (4.478% fixed rate until 4/4/30; Secured Overnight Financing Rate + 4.032% thereafter)(d)

     450,000        492,160  

3.35%, 3/2/33, (3.35% fixed rate until 3/2/32; Secured Overnight Financing Rate + 1.50% thereafter)(d)

     500,000        507,090  

3.07%, 4/30/41, (3.068% fixed rate until 4/30/40; Secured Overnight Financing Rate + 2.53% thereafter)(d)

     100,000        93,374  

4.90%, 11/17/45

     200,000        227,084  

5.01%, 4/4/51, (5.013% fixed rate until 4/4/50; Secured Overnight Financing Rate + 4.502% thereafter)(d)

     50,000        61,696  

 

See Notes to Financial Statements.

 

WisdomTree Trust      103  


Table of Contents

Schedule of Investments (unaudited) (continued)

WisdomTree Yield Enhanced U.S. Aggregate Bond Fund (AGGY)

February 28, 2022

 

 

 

Investments in Long Securities    Principal
Amount
     Value  

Wells Fargo Bank NA
5.85%, 2/1/37

   $ 100,000      $ 124,734  

Welltower, Inc.
4.25%, 4/15/28

     75,000        80,666  

4.13%, 3/15/29

     150,000        160,805  

3.10%, 1/15/30

     364,000        364,524  

2.80%, 6/1/31

     150,000        145,272  

Westinghouse Air Brake Technologies Corp.
4.95%, 9/15/28

     293,000        318,605  

Westlake Corp.
3.60%, 8/15/26

     108,000        112,429  

5.00%, 8/15/46

     55,000        62,666  

4.38%, 11/15/47

     85,000        90,136  

3.13%, 8/15/51

     150,000        128,733  

WestRock MWV LLC
8.20%, 1/15/30

     36,000        47,601  

Weyerhaeuser Co.
6.95%, 10/1/27

     75,000        90,628  

4.00%, 11/15/29

     70,000        74,717  

7.38%, 3/15/32

     215,000        290,370  

Whirlpool Corp.
2.40%, 5/15/31

     100,000        95,206  

4.60%, 5/15/50

     150,000        164,282  

Williams Cos., Inc.
3.75%, 6/15/27

     214,000        223,266  

2.60%, 3/15/31

     350,000        331,303  

8.75%, 3/15/32

     45,000        63,481  

6.30%, 4/15/40

     55,000        68,103  

5.75%, 6/24/44

     102,000        120,433  

5.10%, 9/15/45

     300,000        332,262  

Willis North America, Inc.
4.50%, 9/15/28

     150,000        160,622  

2.95%, 9/15/29

     250,000        245,127  

WRKCo, Inc.
4.00%, 3/15/28

     245,000        263,537  

4.90%, 3/15/29

     162,000        179,950  

3.00%, 6/15/33

     250,000        241,805  

Xcel Energy, Inc.
3.40%, 6/1/30

     150,000        154,721  

6.50%, 7/1/36

     250,000        330,970  

Xylem, Inc.
1.95%, 1/30/28

     200,000        191,602  

Zimmer Biomet Holdings, Inc.
5.75%, 11/30/39

     200,000        249,172  

Zoetis, Inc.
3.00%, 9/12/27

     236,000        240,701  

3.90%, 8/20/28

     111,000        117,559  

4.70%, 2/1/43

     25,000        28,897  

3.95%, 9/12/47

     25,000        26,989  

4.45%, 8/20/48

     100,000        114,954  

TOTAL U.S. CORPORATE BONDS

(Cost: $281,541,123)

 

 

     267,683,196  
FOREIGN CORPORATE BONDS – 4.5%

 

Australia – 0.1%

 

Rio Tinto Finance USA Ltd.
7.13%, 7/15/28

   148,000      185,371  

Westpac Banking Corp.

     

4.11%, 7/24/34, (4.11% fixed rate until 7/24/29; 5-year Constant Maturity Treasury Rate + 2.00% thereafter)(d)

     265,000        273,382  

2.67%, 11/15/35, (2.668% fixed rate until 11/15/30; 5-year Constant Maturity Treasury Rate + 1.75% thereafter)(d)

     250,000        226,595  

2.96%, 11/16/40

     300,000        264,861  
     

 

 

 
Total Australia

 

     950,209  
Austria – 0.1%

 

Suzano Austria GmbH
6.00%, 1/15/29

     250,000        275,083  

5.00%, 1/15/30

     425,000        437,265  

3.75%, 1/15/31

     250,000        236,220  
     

 

 

 
Total Austria

 

     948,568  
Belgium – 0.6%

 

Anheuser-Busch Cos. LLC / Anheuser-Busch InBev Worldwide, Inc.
4.70%, 2/1/36

     300,000        335,067  

4.90%, 2/1/46

     690,000        784,406  

Anheuser-Busch InBev Finance, Inc.
4.70%, 2/1/36

     50,000        55,903  

Anheuser-Busch InBev Worldwide, Inc.
4.75%, 1/23/29

     662,000        737,250  

4.90%, 1/23/31

     410,000        471,455  

4.38%, 4/15/38

     80,000        85,936  

8.20%, 1/15/39

     150,000        228,993  

5.45%, 1/23/39

     510,000        608,404  

8.00%, 11/15/39

     346,000        520,588  

4.35%, 6/1/40

     100,000        106,749  

4.95%, 1/15/42

     100,000        114,316  

4.60%, 4/15/48

     275,000        302,247  

4.44%, 10/6/48

     36,000        38,632  

5.55%, 1/23/49

     490,000        607,120  

4.50%, 6/1/50

     550,000        606,589  

5.80%, 1/23/59

     250,000        321,742  

4.60%, 6/1/60

     540,000        591,338  
     

 

 

 
Total Belgium

 

     6,516,735  
Bermuda – 0.0%

 

RenaissanceRe Holdings Ltd.
3.60%, 4/15/29

     125,000        130,079  

XLIT Ltd.
5.50%, 3/31/45

     53,000        65,972  
     

 

 

 
Total Bermuda

 

     196,051  
Brazil – 0.1%

 

Vale Overseas Ltd.
6.25%, 8/10/26

     50,000        56,557  

3.75%, 7/8/30

     300,000        296,679  

 

See Notes to Financial Statements.

 

104   WisdomTree Trust


Table of Contents

Schedule of Investments (unaudited) (continued)

WisdomTree Yield Enhanced U.S. Aggregate Bond Fund (AGGY)

February 28, 2022

 

 

 

Investments in Long Securities    Principal
Amount
     Value  

6.88%, 11/21/36

   $ 400,000      $ 491,164  

6.88%, 11/10/39

     139,000        172,204  
     

 

 

 
Total Brazil

 

     1,016,604  
Canada – 0.9%

 

Bank of Montreal

     

3.80%, 12/15/32, (3.803% fixed rate until 12/15/27; 5-year U.S. dollar Swap Rate + 1.432% thereafter)(d)

     279,000        286,117  

Barrick Gold Corp.
5.25%, 4/1/42

     100,000        118,744  

Barrick North America Finance LLC
5.75%, 5/1/43

     82,000        102,373  

Barrick PD Australia Finance Pty Ltd.
5.95%, 10/15/39

     50,000        62,938  

Bell Canada
4.30%, 7/29/49

     150,000        161,530  

3.20%, 2/15/52, Series US-6

     250,000        224,895  

Canadian National Railway Co.
6.90%, 7/15/28

     140,000        173,933  

Canadian Natural Resources Ltd.
3.85%, 6/1/27

     106,000        110,750  

2.95%, 7/15/30

     30,000        29,358  

7.20%, 1/15/32

     409,000        526,780  

6.50%, 2/15/37

     104,000        131,028  

4.95%, 6/1/47

     150,000        169,614  

Canadian Pacific Railway Co.
4.00%, 6/1/28

     46,000        49,266  

7.13%, 10/15/31

     313,000        413,949  

4.80%, 9/15/35

     95,000        110,324  

6.13%, 9/15/2115

     150,000        198,544  

Cenovus Energy, Inc.
5.25%, 6/15/37

     600,000        668,586  

3.75%, 2/15/52

     250,000        226,142  

CI Financial Corp.
4.10%, 6/15/51

     275,000        261,841  

Emera U.S. Finance LP
4.75%, 6/15/46

     250,000        267,407  

Enbridge, Inc.
4.25%, 12/1/26

     15,000        16,004  

3.70%, 7/15/27

     150,000        156,622  

3.13%, 11/15/29

     107,000        107,602  

5.50%, 12/1/46

     250,000        307,765  

4.00%, 11/15/49

     150,000        151,326  

Fairfax Financial Holdings Ltd.
4.85%, 4/17/28

     157,000        168,400  

Manulife Financial Corp.

     

4.06%, 2/24/32, (4.061% fixed rate until 2/24/27; 5-year U.S. dollar ICE Swap Rate + 1.647% thereafter)(d)

     25,000        25,806  

Nutrien Ltd.
4.20%, 4/1/29

     182,000        197,390  

4.13%, 3/15/35

     55,000        59,483  

5.88%, 12/1/36

     60,000        76,225  

5.25%, 1/15/45

     334,000        406,525  

Rogers Communications, Inc.
4.50%, 3/15/43

     50,000        52,286  

5.00%, 3/15/44

     113,000        122,249  

4.30%, 2/15/48

   100,000      99,428  

4.35%, 5/1/49

     300,000        300,720  

Suncor Energy, Inc.
7.15%, 2/1/32

     122,000        156,356  

5.95%, 12/1/34

     191,000        227,932  

5.95%, 5/15/35

     36,000        43,640  

6.80%, 5/15/38

     18,000        23,485  

6.50%, 6/15/38

     250,000        316,720  

Teck Resources Ltd.
6.13%, 10/1/35

     215,000        260,995  

TELUS Corp.
3.70%, 9/15/27

     120,000        126,450  

4.60%, 11/16/48

     200,000        225,648  

Thomson Reuters Corp.
5.65%, 11/23/43

     90,000        115,692  

TransCanada PipeLines Ltd.
4.25%, 5/15/28

     152,000        162,263  

4.63%, 3/1/34

     640,000        701,069  

4.75%, 5/15/38

     210,000        230,412  

6.10%, 6/1/40

     50,000        63,350  

4.88%, 5/15/48

     250,000        283,715  

5.10%, 3/15/49

     97,000        114,106  
     

 

 

 
Total Canada

 

     9,593,783  
Chile – 0.0%

 

Celulosa Arauco y Constitucion SA
5.50%, 11/2/47

     200,000        208,044  

Enel Chile SA
4.88%, 6/12/28

     250,000        267,205  
     

 

 

 
Total Chile

 

     475,249  
China – 0.2%

 

Alibaba Group Holding Ltd.
3.40%, 12/6/27

     93,000        94,411  

2.13%, 2/9/31

     250,000        225,348  

CNOOC Finance 2015 USA LLC
4.38%, 5/2/28

     540,000        590,560  

JD.com, Inc.
3.38%, 1/14/30(c)

     250,000        250,478  

NXP BV / NXP Funding LLC / NXP USA, Inc.
4.30%, 6/18/29(e)

     275,000        293,859  

3.40%, 5/1/30(e)

     350,000        353,419  

2.50%, 5/11/31(e)

     130,000        121,066  

3.25%, 5/11/41(e)

     100,000        91,630  

Tencent Music Entertainment Group
2.00%, 9/3/30

     200,000        179,612  
     

 

 

 
Total China

 

     2,200,383  
France – 0.1%

 

AXA SA
8.60%, 12/15/30

     200,000        270,334  

Orange SA
9.00%, 3/1/31

     234,000        335,561  

5.38%, 1/13/42

     50,000        60,718  

5.50%, 2/6/44

     250,000        315,537  

TotalEnergies Capital International SA
2.83%, 1/10/30

     150,000        150,657  

3.39%, 6/29/60

     150,000        140,412  

 

See Notes to Financial Statements.

 

WisdomTree Trust      105  


Table of Contents

Schedule of Investments (unaudited) (continued)

WisdomTree Yield Enhanced U.S. Aggregate Bond Fund (AGGY)

February 28, 2022

 

 

 

Investments in Long Securities    Principal
Amount
     Value  

Veolia Environnement SA
6.75%, 6/1/38

   $ 33,000      $ 45,957  
     

 

 

 
Total France

 

     1,319,176  
Germany – 0.2%

 

Daimler Finance North America LLC
8.50%, 1/18/31

     50,000        71,075  

Deutsche Bank AG
4.10%, 1/13/26

     75,000        78,334  

3.55%, 9/18/31, (3.547% fixed rate until 9/18/30; Secured Overnight Financing Rate + 3.043% thereafter)(d)

     647,000        639,760  

Deutsche Telekom International Finance BV
8.75%, 6/15/30

     546,000        757,149  

9.25%, 6/1/32

     98,000        147,469  
     

 

 

 
Total Germany

 

     1,693,787  
Ireland – 0.2%

 

AerCap Ireland Capital DAC / AerCap Global Aviation Trust
3.65%, 7/21/27

     200,000        203,610  

3.00%, 10/29/28

     250,000        240,833  

3.30%, 1/30/32

     500,000        474,540  

3.40%, 10/29/33

     500,000        472,150  

3.85%, 10/29/41

     200,000        184,060  
     

 

 

 
Total Ireland

 

     1,575,193  
Japan – 0.3%

 

Mitsubishi UFJ Financial Group, Inc.
3.20%, 7/18/29

     225,000        226,928  

2.31%, 7/20/32, (2.309% fixed rate until 7/20/31; 1-year Constant Maturity Treasury Rate + 0.95% thereafter)(d)

     200,000        186,236  

Mizuho Financial Group, Inc.
4.02%, 3/5/28

     200,000        212,052  

1.98%, 9/8/31, (1.979% fixed rate until 9/8/30; Secured Overnight Financing Rate + 1.532% thereafter)(d)

     200,000        182,328  

Nomura Holdings, Inc.
3.10%, 1/16/30

     390,000        383,834  

ORIX Corp.
3.70%, 7/18/27

     80,000        83,972  

Sumitomo Mitsui Financial Group, Inc.
3.54%, 1/17/28

     200,000        208,000  

3.04%, 7/16/29

     200,000        200,016  

2.14%, 9/23/30

     432,000        394,649  

Takeda Pharmaceutical Co. Ltd.
5.00%, 11/26/28

     366,000        413,485  

2.05%, 3/31/30

     350,000        324,681  

3.18%, 7/9/50

     250,000        224,348  
     

 

 

 
Total Japan

 

     3,040,529  
Luxembourg – 0.0%

 

ArcelorMittal SA
6.75%, 3/1/41

     100,000        122,288  
Macau – 0.0%

 

Sands China Ltd.
5.40%, 8/8/28

   450,000      446,018  
Mexico – 0.1%

 

America Movil SAB de CV
3.63%, 4/22/29

     215,000        222,080  

6.38%, 3/1/35

     40,000        51,907  

Fomento Economico Mexicano SAB de CV
3.50%, 1/16/50

     250,000        235,242  

Grupo Televisa SAB
6.63%, 1/15/40

     100,000        126,176  

5.00%, 5/13/45

     200,000        217,548  

5.25%, 5/24/49(c)

     250,000        288,090  
     

 

 

 
Total Mexico

 

     1,141,043  
Netherlands – 0.1%

 

Cooperatieve Rabobank UA
3.75%, 7/21/26

     325,000        335,835  

5.25%, 8/4/45

     250,000        300,298  

Koninklijke Ahold Delhaize NV
5.70%, 10/1/40(c)

     40,000        51,888  
     

 

 

 
Total Netherlands

 

     688,021  
Norway – 0.1%

 

Equinor ASA
3.25%, 11/18/49

     579,000        553,952  

3.70%, 4/6/50

     190,000        198,100  
     

 

 

 
Total Norway

 

     752,052  
Peru – 0.1%

 

Southern Copper Corp.
6.75%, 4/16/40

     235,000        305,897  

5.25%, 11/8/42

     100,000        116,572  

5.88%, 4/23/45(c)

     100,000        125,116  
     

 

 

 
Total Peru

 

     547,585  
Spain – 0.2%

 

Banco Santander SA
2.75%, 12/3/30

     400,000        363,256  

Telefonica Emisiones SA
4.10%, 3/8/27

     500,000        528,660  

7.05%, 6/20/36

     195,000        253,196  

4.67%, 3/6/38

     450,000        467,842  

5.52%, 3/1/49

     400,000        452,640  
     

 

 

 
Total Spain

 

     2,065,594  
Switzerland – 0.0%

 

Credit Suisse Group AG
4.55%, 4/17/26

     100,000        105,658  

4.88%, 5/15/45

     250,000        276,175  
     

 

 

 
Total Switzerland

 

     381,833  
United Kingdom – 1.1%

 

AstraZeneca PLC
6.45%, 9/15/37

     100,000        137,286  

4.00%, 9/18/42

     55,000        59,859  

4.38%, 11/16/45

     50,000        57,457  

4.38%, 8/17/48

     20,000        23,200  

 

See Notes to Financial Statements.

 

106   WisdomTree Trust


Table of Contents

Schedule of Investments (unaudited) (continued)

WisdomTree Yield Enhanced U.S. Aggregate Bond Fund (AGGY)

February 28, 2022

 

 

 

Investments in Long Securities    Principal
Amount
     Value  

Barclays PLC
4.84%, 5/9/28

   $ 240,000      $ 254,321  

4.97%, 5/16/29, (4.972% fixed rate until 5/16/28; 3-month U.S. dollar London Interbank Offered Rate + 1.902% thereafter)(d)

     575,000        625,721  

5.09%, 6/20/30, (5.088% fixed rate until 6/20/29; 3-month U.S. dollar London Interbank Offered Rate + 3.054% thereafter)(d)

     300,000        321,657  

2.65%, 6/24/31, (2.645% fixed rate until 6/24/30; 1-year Constant Maturity Treasury Rate + 1.90% thereafter)(d)

     250,000        236,123  

3.81%, 3/10/42, (1-year Constant Maturity Treasury Rate + 1.700%)(d)

     250,000        233,755  

5.25%, 8/17/45

     100,000        117,479  

4.95%, 1/10/47

     330,000        373,167  

BAT Capital Corp.
4.70%, 4/2/27

     95,000        100,933  

3.56%, 8/15/27

     705,000        711,838  

4.39%, 8/15/37

     500,000        480,510  

3.73%, 9/25/40

     100,000        86,753  

4.76%, 9/6/49

     100,000        95,402  

3.98%, 9/25/50

     250,000        215,540  

BP Capital Markets PLC
3.72%, 11/28/28

     125,000        131,104  

British Telecommunications PLC
5.13%, 12/4/28

     365,000        395,667  

9.63%, 12/15/30

     281,000        394,167  

CNH Industrial NV
3.85%, 11/15/27

     25,000        26,216  

GlaxoSmithKline Capital, Inc.
3.88%, 5/15/28

     61,000        65,451  

HSBC Holdings PLC

     

4.58%, 6/19/29, (4.583% fixed rate until 6/19/28; 3-month U.S. dollar London Interbank Offered Rate + 1.535% thereafter)(d)

     400,000        427,248  

4.95%, 3/31/30

     350,000        388,461  

2.80%, 5/24/32, (2.804% fixed rate until 5/24/31; Secured Overnight Financing Rate + 1.187% thereafter)(d)

     200,000        189,456  

6.50%, 9/15/37

     500,000        639,035  

6.80%, 6/1/38

     250,000        327,330  

Lloyds Banking Group PLC
4.34%, 1/9/48

     264,000        270,587  

Natwest Group PLC

     

4.89%, 5/18/29, (4.892% fixed rate until 5/18/28; 3-month U.S. dollar London Interbank Offered Rate + 1.754% thereafter)(d)

     257,000        280,158  

5.08%, 1/27/30, (5.076% fixed rate until 1/27/29; 3-month U.S. dollar London Interbank Offered Rate + 1.905% thereafter)(d)

     365,000        402,741  

3.03%, 11/28/35, (3.032% fixed rate until 8/28/30; 5-year Constant Maturity Treasury Rate + 2.35% thereafter)(d)

     250,000        231,723  

nVent Finance Sarl
4.55%, 4/15/28

   84,000      90,369  

RELX Capital, Inc.
4.00%, 3/18/29

     71,000        75,713  

3.00%, 5/22/30

     250,000        250,345  

Reynolds American, Inc.
5.70%, 8/15/35

     125,000        137,620  

7.25%, 6/15/37

     250,000        310,960  

6.15%, 9/15/43

     220,000        246,673  

5.85%, 8/15/45

     134,000        145,588  

Santander UK Group Holdings PLC

     

3.82%, 11/3/28, (3.823% fixed rate until 11/3/27; 3-month U.S. dollar London Interbank Offered Rate + 1.40% thereafter)(d)

     200,000        205,626  

Unilever Capital Corp.
2.90%, 5/5/27

     120,000        122,749  

Vodafone Group PLC
4.38%, 5/30/28

     402,000        435,060  

7.88%, 2/15/30

     149,000        197,832  

5.00%, 5/30/38

     332,000        377,361  

5.25%, 5/30/48

     355,000        413,600  

4.88%, 6/19/49

     373,000        417,465  

4.25%, 9/17/50

     55,000        56,461  
     

 

 

 
Total United Kingdom

 

     11,783,767  

TOTAL FOREIGN CORPORATE BONDS

(Cost: $50,050,624)

 

 

     47,454,468  
FOREIGN GOVERNMENT AGENCIES – 0.3%

 

Canada – 0.1%

 

Hydro-Quebec
9.38%, 4/15/30

     10,000        15,134  

Province of New Brunswick Canada
3.63%, 2/24/28

     229,000        249,260  
     

 

 

 
Total Canada

 

     264,394  
Germany – 0.0%

 

Kreditanstalt fuer Wiederaufbau
5.78%, 6/29/37(a)

     177,000        128,190  
Japan – 0.2%

 

Japan Bank for International Cooperation
1.88%, 7/21/26

     250,000        249,690  

2.88%, 6/1/27

     770,000        801,793  

2.88%, 7/21/27

     250,000        260,507  

3.50%, 10/31/28

     200,000        218,322  

1.88%, 4/15/31

     400,000        393,288  

Japan International Cooperation Agency
2.13%, 10/20/26

     250,000        252,133  
     

 

 

 
Total Japan

 

     2,175,733  
Panama – 0.0%

 

Republic of Panama
4.50%, 1/19/63

     250,000        236,290  

TOTAL FOREIGN GOVERNMENT AGENCIES

(Cost: $2,803,957)

 

 

     2,804,607  

 

See Notes to Financial Statements.

 

WisdomTree Trust      107  


Table of Contents

Schedule of Investments (unaudited) (continued)

WisdomTree Yield Enhanced U.S. Aggregate Bond Fund (AGGY)

February 28, 2022

 

 

 

Investments in Long Securities    Principal
Amount
     Value  
FOREIGN GOVERNMENT OBLIGATIONS – 2.1%

 

Chile – 0.1%

 

Chile Government International Bond
3.24%, 2/6/28

   $ 318,000      $ 323,377  

2.45%, 1/31/31

     200,000        188,704  
     

 

 

 
Total Chile

 

     512,081  
Hungary – 0.0%

 

Hungary Government International Bond
7.63%, 3/29/41

     200,000        293,588  
Indonesia – 0.2%

 

Indonesia Government International Bond

 

3.50%, 1/11/28

     200,000        207,530  

4.10%, 4/24/28

     460,000        494,343  

2.85%, 2/14/30

     240,000        239,465  

3.85%, 10/15/30

     300,000        321,354  

4.35%, 1/11/48

     450,000        466,272  

5.35%, 2/11/49

     200,000        236,704  

4.45%, 4/15/70

     400,000        416,932  
     

 

 

 
Total Indonesia

 

     2,382,600  
Italy – 0.1%

 

Republic of Italy Government International Bond

 

2.88%, 10/17/29

     350,000        345,439  

5.38%, 6/15/33

     233,000        275,735  

4.00%, 10/17/49

     350,000        355,628  
     

 

 

 
Total Italy

 

     976,802  
Mexico – 0.6%

 

Mexico Government International Bond

 

4.15%, 3/28/27

     457,000        486,509  

3.75%, 1/11/28

     250,000        258,150  

4.50%, 4/22/29

     370,000        393,040  

3.25%, 4/16/30

     450,000        437,247  

2.66%, 5/24/31

     850,000        782,051  

4.75%, 4/27/32

     455,000        486,941  

7.50%, 4/8/33, Series MTNA

     105,000        138,915  

6.75%, 9/27/34, Series MTNA

     380,000        469,767  

6.05%, 1/11/40

     126,000        144,005  

4.28%, 8/14/41

     700,000        658,448  

4.75%, 3/8/44

     214,000        212,431  

5.55%, 1/21/45

     200,000        218,880  

4.35%, 1/15/47

     305,000        284,028  

4.60%, 2/10/48

     200,000        191,212  

4.50%, 1/31/50

     500,000        472,650  

3.77%, 5/24/61

     750,000        607,568  

5.75%, 10/12/2110

     510,000        520,833  
     

 

 

 
Total Mexico

 

     6,762,675  
Panama – 0.2%

 

Panama Government International Bond

 

8.88%, 9/30/27

     356,000        462,231  

3.88%, 3/17/28

     200,000        206,520  

9.38%, 4/1/29

     305,000        416,831  

6.70%, 1/26/36

     185,000        228,298  

4.50%, 5/15/47

     200,000        196,996  

4.50%, 4/16/50

     200,000        195,146  

4.30%, 4/29/53

     240,000        225,710  

4.50%, 4/1/56

     550,000        529,936  
     

 

 

 
Total Panama

 

     2,461,668  
Peru – 0.3%

 

Peruvian Government International Bond

 

4.13%, 8/25/27

   504,000      531,075  

2.84%, 6/20/30

     520,000        500,510  

8.75%, 11/21/33

     261,000        382,295  

6.55%, 3/14/37

     80,000        101,754  

3.30%, 3/11/41

     250,000        224,853  

5.63%, 11/18/50

     200,000        251,076  

2.78%, 12/1/60

     250,000        191,275  

3.60%, 1/15/72

     250,000        210,315  

3.23%, 7/28/2121

     360,000        268,322  
     

 

 

 
Total Peru

 

     2,661,475  
Philippines – 0.3%

 

Philippine Government International Bond

 

3.00%, 2/1/28

     550,000        558,668  

3.75%, 1/14/29

     300,000        315,369  

9.50%, 2/2/30

     282,000        407,307  

7.75%, 1/14/31

     125,000        168,473  

6.38%, 1/15/32

     285,000        359,154  

3.95%, 1/20/40

     600,000        598,836  

3.70%, 3/1/41

     200,000        193,096  

3.70%, 2/2/42

     830,000        801,921  
     

 

 

 
Total Philippines

 

     3,402,824  
Uruguay – 0.3%

 

Uruguay Government International Bond

 

4.38%, 10/27/27

     135,000        146,256  

4.38%, 1/23/31

     455,000        501,210  

7.63%, 3/21/36

     530,000        757,678  

4.13%, 11/20/45

     60,000        65,611  

5.10%, 6/18/50

     350,000        418,789  

4.98%, 4/20/55

     590,000        700,247  
     

 

 

 
Total Uruguay

 

     2,589,791  

TOTAL FOREIGN GOVERNMENT OBLIGATIONS

(Cost: $23,422,530)

 

 

     22,043,504  
SUPRANATIONAL BONDS – 0.1%

 

European Investment Bank
4.88%, 2/15/36

     150,000        200,104  

Inter-American Development Bank

 

3.88%, 10/28/41

     100,000        122,059  

3.20%, 8/7/42

     372,000        413,575  

4.38%, 1/24/44

     100,000        131,931  

TOTAL SUPRANATIONAL BONDS

(Cost: $941,290)

 

 

     867,669  
COMMERCIAL MORTGAGE-BACKED SECURITIES – 0.1%

 

United States – 0.1%

 

CSAIL Commercial Mortgage Trust

     

3.49%, 11/15/48, Series 2016-C5, Class A4

     198,567        202,391  

Federal National Mortgage Association Alternative Credit Enhancement Securities

     

2.94%, 7/25/39, Series 2016-M11, Class AL

     271,601        274,272  

 

See Notes to Financial Statements.

 

108   WisdomTree Trust


Table of Contents

Schedule of Investments (unaudited) (continued)

WisdomTree Yield Enhanced U.S. Aggregate Bond Fund (AGGY)

February 28, 2022

 

 

 

Investments in Long Securities    Principal
Amount
     Value  

Morgan Stanley Bank of America Merrill Lynch Trust

     

3.08%, 3/15/48, Series 2015-C21, Class A3

   $ 112,434      $ 113,458  

TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES

(Cost: $598,253)

 

 

     590,121  
MUNICIPAL BONDS – 0.6%

 

United States – 0.6%

 

Alameda County Joint Powers Authority
7.05%, 12/1/44

     150,000        233,692  

Commonwealth of Massachusetts
2.81%, 9/1/43, Series D

     150,000        143,542  

Dallas Area Rapid Transit
6.00%, 12/1/44

     175,000        247,449  

5.02%, 12/1/48

     130,000        169,536  

Grand Parkway Transportation Corp.
5.18%, 10/1/42, Series E

     250,000        316,046  

Los Angeles County Public Works Financing Authority
7.62%, 8/1/40

     100,000        155,138  

Los Angeles Department of Water & Power Power System Revenue
6.57%, 7/1/45

     70,000        108,089  

Metropolitan Government Nashville & Davidson County Health & Educational Facilities Board
4.05%, 7/1/26, Series B

     100,000        107,297  

Metropolitan Transportation Authority
7.34%, 11/15/39

     275,000        422,206  

Municipal Electric Authority of Georgia
6.64%, 4/1/57

     216,000        310,351  

New Jersey Transportation Trust Fund Authority
5.75%, 12/15/28, Series C

     595,000        680,873  

Port Authority of New York & New Jersey
5.65%, 11/1/40

     130,000        168,559  

4.46%, 10/1/62

     200,000        240,282  

Regional Transportation District Sales Tax Revenue
5.84%, 11/1/50, Series B

     205,000        295,397  

Sales Tax Securitization Corp.
4.64%, 1/1/40, Series A

     95,000        110,270  

3.82%, 1/1/48

     255,000        263,023  

San Jose Redevelopment Agency Successor Agency
3.38%, 8/1/34, Series A-T

     60,000        62,068  

State of Illinois
4.95%, 6/1/23

     157,818        162,068  

5.10%, 6/1/33

     595,000        656,827  

6.63%, 2/1/35

     100,000        116,624  

Texas Private Activity Bond Surface Transportation Corp.
3.92%, 12/31/49

     500,000        504,046  

University of California
5.77%, 5/15/43

     230,000        301,163  

4.86%, 5/15/2112, Series AD

     56,000        74,506  

University of Pittsburgh of the Commonwealth System of Higher Education
3.56%, 9/15/2119

   120,000      122,688  

University of Virginia
3.23%, 9/1/2119, Series A

     150,000        143,704  

TOTAL MUNICIPAL BONDS

(Cost: $6,096,316)

 

 

     6,115,444  
ASSET-BACKED SECURITIES – 0.0%

 

United States – 0.0%

 

GM Financial Consumer Automobile Receivables Trust

     

3.32%, 6/17/24, Series 2018-4, Class A4

     74,000        74,810  

Synchrony Card Funding LLC

     

2.95%, 3/15/25, Series 2019-A1, Class A

     140,000        140,120  

2.34%, 6/15/25, Series 2019-A2, Class A

     125,000        125,546  

World Omni Auto Receivables Trust

     

3.33%, 4/15/24, Series 2018-D, Class A3

     53,893        54,214  

3.04%, 5/15/24, Series 2019-A, Class A3

     26,581        26,739  

TOTAL ASSET-BACKED SECURITIES

(Cost: $423,210)

 

 

     421,429  
REPURCHASE AGREEMENT – 18.6%

 

United States – 18.6%

 

Citigroup, Inc., tri-party repurchase agreement dated 2/28/22 (tri-party custodian: The Bank of New York Mellon Corp.), 0.06% due 3/1/22; Proceeds at maturity – $195,430,326 (fully collateralized by Fannie Mae Interest STRIPS, zero coupon – 5.00% due 3/1/34 – 12/1/45, Freddie Mac Gold STRIPS, zero coupon – 6.00% due 12/1/32 – 10/15/47, Ginnie Mae I Construction Loan, 2.40% – 3.15% due 4/15/61 – 2/15/64, Ginnie Mae I MultiFamily Loan, 2.85% – 3.10% due 6/15/52 – 6/15/60, Ginnie Mae I Non-Level Payment, 2.12% – 3.39% due 11/15/56 – 12/15/61, Ginnie Mae II HECM, 2.82% – 4.81% due 4/20/61 – 11/20/71, Ginnie Mae II Single Family, 2.00% – 4.00% due 1/20/52, Ginnie Mae II Single Family Platinum, 3.50% due 1/20/52, Ginnie Mae Pool, 3.50% due 2/20/52, U.S. Treasury Inflation Indexed Bond, 0.13% – 0.38% due 7/15/22 – 1/15/27, U.S. Treasury Note, 1.25% due 7/31/23; Market value including accrued interest – $203,567,151)

     
(Cost: $195,430,000)      195,430,000        195,430,000  

 

See Notes to Financial Statements.

 

WisdomTree Trust      109  


Table of Contents

Schedule of Investments (unaudited) (concluded)

WisdomTree Yield Enhanced U.S. Aggregate Bond Fund (AGGY)

February 28, 2022

 

 

 

Investments in Long Securities    Shares     Value  
INVESTMENT OF CASH COLLATERAL FOR SECURITIES LOANED – 0.6%

 

United States – 0.6%

 

State Street Navigator Securities Lending
Government Money Market Portfolio, 0.06%(f)

 

 
(Cost: $6,802,218)      6,802,218     $ 6,802,218  

TOTAL INVESTMENTS IN LONG SECURITIES BEFORE SECURITIES SOLD SHORT – 119.9%

(Cost: $1,295,032,159)

 

 

    1,258,518,713  
Securities Sold Short    Principal
Amount
        
U.S. GOVERNMENT AGENCIES SOLD SHORT – (1.1)%

 

Uniform Mortgage-Backed Securities – (1.1)%

 

2.50%, 3/1/37(b)

   $ (3,925,000     (3,971,948

3.00%, 3/1/37(b)

     (4,175,000     (4,278,497

4.00%, 3/1/37(b)

     (625,000     (647,948

3.50%, 3/1/52(b)

     (700,000     (720,946

4.00%, 3/1/52(b)

     (600,000     (626,409

4.50%, 3/1/52(b)

     (300,000     (316,756

4.00%, 4/1/52(b)

     (825,000     (860,643

4.50%, 4/1/52(b)

     (450,000     (474,732
TOTAL INVESTMENTS IN SECURITIES SOLD SHORT

 

 

(Proceeds: $11,904,908)

 

    (11,897,879

Other Assets less Liabilities – (18.8)%

 

    (197,425,335
    

 

 

 
NET ASSETS – 100.0%

 

  $ 1,049,195,499  

 

(a) 

Represents a zero coupon bond. Rate shown reflects the effective yield as of February 28, 2022.

 

(b) 

To-be-announced (“TBA”) security (See Note 2). TBA securities are non-income producing.

 

(c) 

Security, or portion thereof, was on loan at February 28, 2022 (See Note 2). At February 28, 2022, the total market value of the Fund’s securities on loan identified in the Schedule of Investments was $6,564,062. The Fund also had securities on loan having a total market value of $440,721 that were sold and pending settlement. The total market value of the collateral held by the Fund was $7,196,430. The total market value of the collateral includes non-cash U.S. Government securities collateral having a value of $394,212.

 

(d) 

Rate shown reflects the accrual rate as of February 28, 2022 on securities with variable or step rates.

 

(e) 

This security is exempt from registration under rule 144A of the Securities Act of 1933. This security may be sold in transactions that are exempt from registration, normally to qualified institutional buyers.

 

(f) 

Rate shown represents annualized 7-day yield as of February 28, 2022.

 

FAIR VALUATION SUMMARY

The following is a summary of the fair valuations according to the inputs used as of February 28, 2022 in valuing the Fund’s investments (See Note 2 — Fair Value Measurement):

 

      Quoted
Prices in
Active
Markets
(Level 1)
    

Other
Significant
Observable

Inputs
(Level 2)

     Significant
Unobservable
Inputs
(Level 3)
     Total  

Assets:

 

     

Investments in Securities

 

     

U.S. Government Agencies

   $      $ 503,523,459      $      $ 503,523,459  

U.S. Government Obligations

            204,782,598               204,782,598  

U.S. Corporate Bonds

            267,683,196               267,683,196  

Foreign Corporate Bonds

            47,454,468               47,454,468  

Foreign Government Agencies

            2,804,607               2,804,607  

Foreign Government Obligations

            22,043,504               22,043,504  

Supranational Bonds

            867,669               867,669  

Commercial Mortgage-Backed Securities

            590,121               590,121  

Municipal Bonds

            6,115,444               6,115,444  

Asset-Backed Securities

            421,429               421,429  

Repurchase Agreement

            195,430,000               195,430,000  

Investment of Cash Collateral for Securities Loaned

            6,802,218               6,802,218  

Total Investments in Securities

   $      $ 1,258,518,713      $      $ 1,258,518,713  

Liabilities:

 

     

Investments in Securities Sold Short

  

U.S. Government Agencies

   $      $ (11,897,879    $      $ (11,897,879

Total – Net

   $      $ 1,246,620,834      $      $ 1,246,620,834  

 

See Notes to Financial Statements.

 

110   WisdomTree Trust


Table of Contents

Schedule of Investments (unaudited)

WisdomTree Yield Enhanced U.S. Short-Term Aggregate Bond Fund (SHAG)

February 28, 2022

 

 

 

Investments    Principal
Amount
     Value  
U.S. GOVERNMENT AGENCIES – 11.5%

 

Federal Home Loan Bank – 0.8%

 

0.24%, 5/2/22

   $ 1,000,000      $ 999,000  

0.38%, 9/4/25

     200,000        190,714  
     

 

 

 
Total Federal Home Loan Bank

 

     1,189,714  
Federal Home Loan Mortgage Corporation – 2.6%

 

0.38%, 4/20/23

     3,500,000        3,469,235  

0.38%, 7/21/25

     200,000        191,262  
     

 

 

 
Total Federal Home Loan Mortgage Corporation

 

     3,660,497  
Federal National Mortgage Association – 1.4%

 

2.63%, 9/6/24

     1,850,000        1,897,471  

1.63%, 1/7/25

     175,000        174,851  
     

 

 

 
Total Federal National Mortgage Association

 

     2,072,322  
Tennessee Valley Authority – 0.1%

 

0.75%, 5/15/25

     86,000        83,391  
Uniform Mortgage-Backed Securities – 6.6%

 

2.00%, 3/1/37(a)

     7,172,000        7,118,897  

2.50%, 4/18/37(a)

     2,380,000        2,402,363  
     

 

 

 
Total Uniform Mortgage-Backed Securities

 

     9,521,260  

TOTAL U.S. GOVERNMENT AGENCIES

(Cost: $16,704,517)

 

 

     16,527,184  
U.S. GOVERNMENT OBLIGATIONS – 51.9%

 

U.S. Treasury Bills – 7.1%

 

0.03%, 3/10/22*

     850,000        849,994  

0.08%, 3/24/22*

     9,250,000        9,249,626  
     

 

 

 
Total U.S. Treasury Bills

 

     10,099,620  
U.S. Treasury Notes – 44.8%

 

1.63%, 11/15/22

     243,000        244,343  

1.63%, 12/15/22

     840,000        844,709  

2.63%, 6/30/23

     232,800        237,010  

0.13%, 8/31/23

     5,040,000        4,951,800  

2.75%, 8/31/23

     638,200        651,687  

0.38%, 10/31/23

     2,000,000        1,966,445  

2.13%, 3/31/24

     735,000        744,618  

2.00%, 5/31/24

     1,000,000        1,010,547  

1.50%, 10/31/24

     1,535,000        1,530,863  

1.50%, 11/30/24

     400,000        398,828  

1.75%, 12/31/24

     1,300,000        1,304,824  

1.13%, 2/28/25

     238,000        234,439  

0.50%, 3/31/25

     22,000,000        21,241,172  

0.50%, 2/28/26

     2,000,000        1,905,078  

0.75%, 3/31/26

     2,200,000        2,114,578  

0.75%, 4/30/26

     3,000,000        2,881,172  

0.75%, 5/31/26

     6,000,000        5,756,719  

0.63%, 7/31/26

     9,000,000        8,572,852  

1.13%, 10/31/26

     4,000,000        3,888,281  

1.25%, 12/31/26

     4,000,000        3,909,219  
     

 

 

 
Total U.S. Treasury Notes

 

     64,389,184  

TOTAL U.S. GOVERNMENT OBLIGATIONS

(Cost: $75,978,039)

 

 

     74,488,804  
U.S. CORPORATE BONDS – 25.0%

 

United States – 25.0%

 

3M Co.
2.65%, 4/15/25

     50,000        50,777  

Abbott Laboratories
3.88%, 9/15/25

   1,109,000      1,172,235  

Adobe, Inc.
1.90%, 2/1/25

     222,000        222,149  

3.25%, 2/1/25

     67,000        69,221  

Aetna, Inc.
3.50%, 11/15/24

     27,000        27,803  

Aflac, Inc.
3.25%, 3/17/25

     30,000        31,067  

Air Lease Corp.
3.00%, 9/15/23

     50,000        50,566  

Air Products and Chemicals, Inc.
1.50%, 10/15/25

     144,000        141,036  

Ally Financial, Inc.
1.45%, 10/2/23

     270,000        266,863  

Amazon.com, Inc.
0.80%, 6/3/25

     50,000        48,265  

American Express Co.
3.00%, 10/30/24

     76,000        77,769  

3.63%, 12/5/24

     226,000        234,122  

American Honda Finance Corp.
2.40%, 6/27/24

     50,000        50,514  

2.15%, 9/10/24

     150,000        150,301  

1.20%, 7/8/25

     80,000        77,348  

American International Group, Inc.
4.13%, 2/15/24

     42,000        43,772  

Ameriprise Financial, Inc.
3.00%, 4/2/25

     50,000        50,941  

Amgen, Inc.
3.63%, 5/22/24

     149,000        153,983  

Amphenol Corp.
3.20%, 4/1/24

     50,000        51,049  

Ares Capital Corp.
3.50%, 2/10/23

     90,000        91,012  

3.88%, 1/15/26

     30,000        30,417  

Assurant, Inc.
4.20%, 9/27/23

     64,000        66,152  

AT&T, Inc.
4.45%, 4/1/24

     216,000        225,772  

AutoZone, Inc.
3.63%, 4/15/25

     80,000        82,822  

AvalonBay Communities, Inc.
3.45%, 6/1/25

     101,000        104,270  

Bank of America Corp.
4.13%, 1/22/24

     72,000        74,892  

4.00%, 4/1/24

     117,000        121,442  

3.88%, 8/1/25

     343,000        359,594  

0.98%, 9/25/25, (0.981% fixed rate until 9/25/24; Secured Overnight Financing Rate + 0.91% thereafter)(b)

     50,000        48,124  

3.09%, 10/1/25, (3.093% fixed rate until 10/1/24; 3-month U.S. dollar London Interbank Offered Rate + 1.09% thereafter)(b)

     207,000        209,954  

3.37%, 1/23/26, (3.366% fixed rate until 1/23/25; 3-month U.S. dollar London Interbank Offered Rate + 0.81% thereafter)(b)

     100,000        102,004  

 

See Notes to Financial Statements.

 

WisdomTree Trust      111  


Table of Contents

Schedule of Investments (unaudited) (continued)

WisdomTree Yield Enhanced U.S. Short-Term Aggregate Bond Fund (SHAG)

February 28, 2022

 

 

 

Investments    Principal
Amount
     Value  

2.02%, 2/13/26, (2.015% fixed rate until 2/13/25; 3-month U.S. dollar London Interbank Offered Rate + 0.64% thereafter)(b)

   $ 771,000      $ 758,417  

Bank of New York Mellon Corp.
2.95%, 1/29/23

     111,000        112,424  

3.00%, 2/24/25, Series G

     50,000        51,353  

1.60%, 4/24/25

     50,000        49,256  

Berkshire Hathaway Energy Co.
3.50%, 2/1/25

     130,000        134,703  

4.05%, 4/15/25

     117,000        123,684  

Berry Global, Inc.
1.57%, 1/15/26

     120,000        114,349  

BGC Partners, Inc.
5.38%, 7/24/23

     231,000        239,672  

Black Hills Corp.
4.25%, 11/30/23

     121,000        125,201  

BlackRock, Inc.
3.50%, 3/18/24

     34,000        35,215  

Blackstone Secured Lending Fund
3.65%, 7/14/23

     120,000        121,933  

Boeing Co.
2.75%, 2/1/26

     407,000        407,334  

BP Capital Markets America, Inc.
3.19%, 4/6/25

     209,000        214,179  

Bristol-Myers Squibb Co.
2.90%, 7/26/24

     675,000        691,254  

Broadcom, Inc.
3.15%, 11/15/25

     37,000        37,710  

4.25%, 4/15/26

     75,000        79,257  

3.46%, 9/15/26

     80,000        82,414  

Brown-Forman Corp.
3.50%, 4/15/25

     296,000        307,843  

Campbell Soup Co.
3.65%, 3/15/23

     35,000        35,659  

Capital One Financial Corp.
3.50%, 6/15/23

     498,000        508,871  

Caterpillar Financial Services Corp.
2.15%, 11/8/24

     74,000        74,384  

1.70%, 1/8/27

     100,000        97,684  

Caterpillar, Inc.
3.40%, 5/15/24

     81,000        83,670  

Charles Schwab Corp.
3.00%, 3/10/25

     111,000        113,712  

4.20%, 3/24/25

     402,000        426,783  

Charter Communications Operating LLC / Charter Communications Operating Capital
4.50%, 2/1/24

     36,000        37,479  

Chubb INA Holdings, Inc.
3.15%, 3/15/25

     97,000        100,464  

Cigna Corp.
3.75%, 7/15/23

     62,000        63,650  

4.13%, 11/15/25

     55,000        57,966  

1.25%, 3/15/26

     37,000        35,407  

Cisco Systems, Inc.
3.63%, 3/4/24

     211,000        219,037  

3.50%, 6/15/25

     200,000        209,400  

Citigroup, Inc.
3.88%, 10/25/23

     110,000        113,616  

3.75%, 6/16/24

   50,000      51,784  

3.35%, 4/24/25, (3.352% fixed rate until 4/24/24; 3-month U.S. dollar London Interbank Offered Rate + 0.897% thereafter)(b)

     95,000        96,995  

2.01%, 1/25/26, (2.014% fixed rate until 1/25/25; Secured Overnight Financing Rate + 0.694% thereafter)(b)

     300,000        295,662  

3.11%, 4/8/26, (3.106% fixed rate until 4/8/25; Secured Overnight Financing Rate + 2.842% thereafter)(b)

     257,000        260,567  

1.12%, 1/28/27, (1.122% fixed rate until 1/28/26; Secured Overnight Financing Rate + 0.765% thereafter)(b)

     251,000        236,535  

Cleveland Electric Illuminating Co.
5.50%, 8/15/24

     180,000        194,053  

Coca-Cola Co.
1.75%, 9/6/24

     100,000        100,064  

Columbia Pipeline Group, Inc.
4.50%, 6/1/25

     230,000        244,251  

Comcast Corp.
3.38%, 2/15/25

     30,000        31,031  

3.38%, 8/15/25

     158,000        163,604  

3.95%, 10/15/25

     62,000        65,473  

Comerica, Inc.
3.70%, 7/31/23

     83,000        84,992  

Costco Wholesale Corp.
2.75%, 5/18/24

     42,000        42,905  

Crown Castle International Corp.
3.20%, 9/1/24

     48,000        48,994  

Cummins, Inc.
0.75%, 9/1/25

     180,000        171,538  

CVS Health Corp.
4.10%, 3/25/25

     100,000        104,968  

3.88%, 7/20/25

     50,000        52,279  

Discover Financial Services
3.85%, 11/21/22

     50,000        50,914  

Discovery Communications LLC
2.95%, 3/20/23

     50,000        50,575  

Dominion Energy, Inc.
3.90%, 10/1/25

     40,000        41,809  

Duke Energy Corp.
0.90%, 9/15/25

     100,000        94,983  

DuPont de Nemours, Inc.
4.49%, 11/15/25

     30,000        31,998  

Eli Lilly & Co.
2.75%, 6/1/25

     157,000        160,332  

Energy Transfer LP
2.90%, 5/15/25

     100,000        100,606  

Entergy Gulf States Louisiana LLC
5.59%, 10/1/24

     107,000        115,489  

Enterprise Products Operating LLC
3.35%, 3/15/23

     50,000        50,689  

Equinix, Inc.
2.63%, 11/18/24

     189,000        190,264  

1.25%, 7/15/25

     44,000        42,002  

ERP Operating LP
3.38%, 6/1/25

     12,000        12,461  

 

See Notes to Financial Statements.

 

112   WisdomTree Trust


Table of Contents

Schedule of Investments (unaudited) (continued)

WisdomTree Yield Enhanced U.S. Short-Term Aggregate Bond Fund (SHAG)

February 28, 2022

 

 

 

Investments    Principal
Amount
     Value  

Evergy Metro, Inc.
3.65%, 8/15/25

   $ 180,000      $ 187,189  

Exelon Corp.
3.40%, 4/15/26

     21,000        21,688  

Fidelity National Information Services, Inc.
1.15%, 3/1/26

     23,000        21,739  

Fifth Third Bancorp
2.38%, 1/28/25

     100,000        100,214  

Franklin Resources, Inc.
2.85%, 3/30/25

     140,000        142,908  

FS KKR Capital Corp.
3.40%, 1/15/26

     130,000        128,264  

General Dynamics Corp.
3.25%, 4/1/25

     150,000        154,816  

3.50%, 5/15/25

     189,000        196,397  

General Mills, Inc.
3.70%, 10/17/23

     84,000        86,454  

General Motors Co.
6.13%, 10/1/25

     99,000        109,517  

Georgia Power Co.
2.20%, 9/15/24, Series A

     235,000        234,871  

Georgia-Pacific LLC
8.00%, 1/15/24

     66,000        73,502  

Gilead Sciences, Inc.
3.70%, 4/1/24

     118,000        121,848  

Global Payments, Inc.
4.80%, 4/1/26

     20,000        21,471  

Goldman Sachs Group, Inc.
4.00%, 3/3/24

     307,000        318,095  

3.85%, 7/8/24

     50,000        51,673  

3.50%, 1/23/25

     164,000        168,797  

1.76%, 1/24/25, (1.757% fixed rate until 1/24/24; Secured Overnight Financing Rate + 0.73% thereafter)(b)

     100,000        98,952  

3.50%, 4/1/25

     209,000        214,938  

3.75%, 5/22/25

     250,000        258,732  

1.09%, 12/9/26, (1.093% fixed rate until 12/9/25; Secured Overnight Financing Rate + 0.789% thereafter)(b)

     680,000        640,356  

Hasbro, Inc.
3.00%, 11/19/24

     124,000        125,907  

HCA, Inc.
5.25%, 4/15/25

     185,000        198,718  

Hershey Co.
0.90%, 6/1/25

     244,000        235,050  

Hess Corp.
3.50%, 7/15/24

     135,000        138,513  

HP, Inc.
2.20%, 6/17/25

     142,000        141,130  

Intel Corp.
3.40%, 3/25/25

     65,000        67,348  

3.70%, 7/29/25

     100,000        104,713  

Intercontinental Exchange, Inc.
0.70%, 6/15/23

     32,000        31,643  

International Business Machines Corp.
3.00%, 5/15/24

     487,000        498,552  

Intuit, Inc.
0.95%, 7/15/25

     221,000        211,968  

Invesco Finance PLC
4.00%, 1/30/24

   118,000      121,944  

John Deere Capital Corp.
2.05%, 1/9/25

     200,000        200,488  

3.45%, 3/13/25

     139,000        144,800  

JPMorgan Chase & Co.
3.63%, 5/13/24

     169,000        174,685  

3.80%, 7/23/24, (3.797% fixed rate until 7/23/23; 3-month U.S. dollar London Interbank Offered Rate + 0.89% thereafter)(b)

     100,000        102,405  

3.88%, 9/10/24

     889,000        923,058  

4.02%, 12/5/24, (4.023% fixed rate until 12/5/23; 3-month U.S. dollar London Interbank Offered Rate + 1.00% thereafter)(b)

     170,000        175,489  

3.13%, 1/23/25

     180,000        184,070  

3.22%, 3/1/25, (3.22% fixed rate until 3/1/24; 3-month U.S. dollar London Interbank Offered Rate + 1.155% thereafter)(b)

     29,000        29,516  

2.08%, 4/22/26, (2.083% fixed rate until 4/22/25; Secured Overnight Financing Rate + 1.85% thereafter)(b)

     444,000        437,229  

3.96%, 1/29/27, (3.96% fixed rate until 1/29/26; 3-month U.S. dollar London Interbank Offered Rate + 1.245% thereafter)(b)

     89,000        93,216  

Juniper Networks, Inc.
1.20%, 12/10/25

     45,000        43,033  

KeyBank NA
3.30%, 6/1/25

     250,000        258,505  

Kilroy Realty LP
3.45%, 12/15/24

     199,000        204,084  

Kinder Morgan Energy Partners LP
4.15%, 2/1/24

     47,000        48,520  

Lam Research Corp.
3.80%, 3/15/25

     49,000        51,315  

3.75%, 3/15/26

     7,000        7,405  

Lennox International, Inc.
1.35%, 8/1/25

     100,000        96,396  

Lockheed Martin Corp.
2.90%, 3/1/25

     100,000        102,413  

M&T Bank Corp.
3.55%, 7/26/23

     150,000        153,508  

Mastercard, Inc.
2.00%, 3/3/25

     50,000        50,147  

Merck & Co., Inc.
1.70%, 6/10/27

     300,000        292,392  

MetLife, Inc.
3.00%, 3/1/25

     124,000        127,757  

Microsoft Corp.
3.63%, 12/15/23

     138,000        143,185  

Morgan Stanley
4.10%, 5/22/23

     370,000        379,805  

3.88%, 4/29/24, Series F

     141,000        145,780  

4.00%, 7/23/25

     284,000        297,879  

3.88%, 1/27/26

     30,000        31,338  

 

See Notes to Financial Statements.

 

WisdomTree Trust      113  


Table of Contents

Schedule of Investments (unaudited) (continued)

WisdomTree Yield Enhanced U.S. Short-Term Aggregate Bond Fund (SHAG)

February 28, 2022

 

 

 

Investments    Principal
Amount
     Value  

2.19%, 4/28/26, (2.188% fixed rate until 4/28/25; Secured Overnight Financing Rate + 1.99% thereafter)(b)

   $ 306,000      $ 302,068  

MPLX LP
1.75%, 3/1/26

     100,000        96,210  

National Rural Utilities Cooperative Finance Corp.
2.85%, 1/27/25

     50,000        50,970  

NetApp, Inc.
1.88%, 6/22/25

     80,000        78,449  

NiSource, Inc.
0.95%, 8/15/25

     190,000        179,711  

Northrop Grumman Corp.
3.25%, 8/1/23

     78,000        79,732  

Omega Healthcare Investors, Inc.
4.38%, 8/1/23

     27,000        27,695  

Oncor Electric Delivery Co. LLC
0.55%, 10/1/25

     379,000        356,139  

ONEOK, Inc.
5.85%, 1/15/26

     158,000        176,001  

Oracle Corp.
2.50%, 4/1/25

     664,000        662,008  

Pacific Gas and Electric Co.
4.25%, 8/1/23

     170,000        173,573  

Paramount Global
3.70%, 8/15/24

     105,000        109,207  

PECO Energy Co.
3.15%, 10/15/25

     35,000        36,049  

PepsiCo, Inc.
2.25%, 3/19/25

     40,000        40,418  

3.50%, 7/17/25

     40,000        41,813  

Pfizer, Inc.
2.95%, 3/15/24

     167,000        170,966  

3.40%, 5/15/24

     33,000        34,188  

0.80%, 5/28/25

     126,000        121,596  

Philip Morris International, Inc.
2.88%, 5/1/24

     50,000        51,021  

1.50%, 5/1/25

     30,000        29,276  

3.38%, 8/11/25

     30,000        30,980  

Pinnacle West Capital Corp.
1.30%, 6/15/25

     143,000        137,547  

Plains All American Pipeline LP / PAA Finance Corp.
3.60%, 11/1/24

     83,000        85,006  

PNC Financial Services Group, Inc.
3.90%, 4/29/24

     100,000        103,896  

PPG Industries, Inc.
2.40%, 8/15/24

     64,000        64,540  

Private Export Funding Corp.
2.45%, 7/15/24, Series GG

     50,000        50,719  

1.75%, 11/15/24

     100,000        99,671  

Public Service Electric & Gas Co.
0.95%, 3/15/26

     517,000        493,931  

Public Storage
1.50%, 11/9/26

     100,000        97,042  

QUALCOMM, Inc.
2.90%, 5/20/24

     61,000        62,338  

3.45%, 5/20/25

     200,000        207,758  

Ralph Lauren Corp.
3.75%, 9/15/25

   129,000      135,106  

Realty Income Corp.
3.88%, 7/15/24

     88,000        91,326  

Ryder System, Inc.
1.75%, 9/1/26

     100,000        96,383  

Santander Holdings USA, Inc.
3.45%, 6/2/25

     244,000        248,182  

Schlumberger Finance Canada Ltd.
1.40%, 9/17/25

     15,000        14,572  

Simon Property Group LP
2.00%, 9/13/24

     290,000        289,159  

Southern California Edison Co.
3.50%, 10/1/23, Series C

     49,000        50,097  

Southwest Airlines Co.
5.25%, 5/4/25

     34,000        36,685  

Southwestern Electric Power Co.
1.65%, 3/15/26, Series N

     100,000        96,838  

Starbucks Corp.
3.80%, 8/15/25

     8,000        8,383  

State Street Corp.
3.55%, 8/18/25

     218,000        227,725  

2.35%, 11/1/25, (2.354% fixed rate until 11/1/24; Secured Overnight Financing Rate + 0.94% thereafter)(b)

     336,000        338,302  

1.75%, 2/6/26

     50,000        49,446  

Stryker Corp.
3.50%, 3/15/26

     10,000        10,399  

Sysco Corp.
3.75%, 10/1/25

     100,000        104,400  

Target Corp.
1.95%, 1/15/27

     300,000        297,681  

Timken Co.
3.88%, 9/1/24

     100,000        103,125  

Toyota Motor Credit Corp.
3.00%, 4/1/25

     50,000        51,241  

0.80%, 10/16/25

     250,000        237,872  

Truist Bank

     

3.69%, 8/2/24, (3.689% fixed rate until 8/2/23; 3-month U.S. dollar London Interbank Offered Rate + 0.735% thereafter)(b)

     15,000        15,396  

1.50%, 3/10/25

     250,000        246,017  

Truist Financial Corp.
3.75%, 12/6/23

     113,000        116,626  

2.50%, 8/1/24

     600,000        607,224  

4.00%, 5/1/25

     355,000        372,771  

Tucson Electric Power Co.
3.05%, 3/15/25

     50,000        51,031  

TWDC Enterprises 18 Corp.
3.15%, 9/17/25

     523,000        538,266  

U.S. Bancorp
2.40%, 7/30/24

     50,000        50,590  

1.45%, 5/12/25

     100,000        97,821  

United Parcel Service, Inc.
2.20%, 9/1/24

     250,000        252,290  

UnitedHealth Group, Inc.
2.38%, 8/15/24

     100,000        101,262  

 

See Notes to Financial Statements.

 

114   WisdomTree Trust


Table of Contents

Schedule of Investments (unaudited) (continued)

WisdomTree Yield Enhanced U.S. Short-Term Aggregate Bond Fund (SHAG)

February 28, 2022

 

 

 

Investments    Principal
Amount
     Value  

UPMC
3.60%, 4/3/25, Series D-1

   $ 300,000      $ 309,198  

Verizon Communications, Inc.
3.38%, 2/15/25

     242,000        250,448  

0.85%, 11/20/25

     177,000        168,276  

Walt Disney Co.
3.70%, 10/15/25

     409,000        427,867  

Wells Fargo & Co.
4.48%, 1/16/24

     33,000        34,495  

3.00%, 2/19/25

     774,000        788,497  

2.41%, 10/30/25, (2.406% fixed rate until 10/30/24; Secured Overnight Financing Rate + 1.087% thereafter)(b)

     416,000        414,898  

2.16%, 2/11/26, (2.164% fixed rate until 2/11/25; 3-month U.S. dollar London Interbank Offered Rate + 0.75% thereafter)(b)

     322,000        318,245  

Willis North America, Inc.
3.60%, 5/15/24

     155,000        159,152  

WW Grainger, Inc.
1.85%, 2/15/25

     100,000        99,258  

Xilinx, Inc.
2.95%, 6/1/24

     84,000        85,547  

Zoetis, Inc.
4.50%, 11/13/25

     50,000        53,431  

TOTAL U.S. CORPORATE BONDS

(Cost: $37,003,314)

 

 

     35,960,404  
FOREIGN CORPORATE BONDS – 6.3%

 

Canada – 1.5%

 

Bank of Montreal
3.30%, 2/5/24, Series E

     150,000        153,775  

1.85%, 5/1/25

     1,000        989  

4.34%, 10/5/28, (4.338% fixed rate until 10/5/23; 5-year U.S. dollar Swap Rate + 1.28% thereafter)(b)

     90,000        92,758  

Bank of Nova Scotia
2.20%, 2/3/25

     206,000        205,442  

4.50%, 12/16/25

     58,000        61,704  

1.05%, 3/2/26

     40,000        37,904  

Brookfield Finance, Inc.
4.00%, 4/1/24

     150,000        155,173  

Canadian Imperial Bank of Commerce
3.10%, 4/2/24

     220,000        224,433  

Cenovus Energy, Inc.
5.38%, 7/15/25

     19,000        20,586  

Enbridge, Inc.
2.50%, 1/15/25

     42,000        42,116  

Magna International, Inc.
4.15%, 10/1/25

     25,000        26,469  

Royal Bank of Canada
2.25%, 11/1/24

     120,000        120,122  

1.15%, 6/10/25

     477,000        459,380  

Toronto-Dominion Bank
1.15%, 6/12/25

     343,000        330,673  

1.95%, 1/12/27, Series FXD

     200,000        195,434  
     

 

 

 
Total Canada

 

     2,126,958  
China – 0.6%

 

Alibaba Group Holding Ltd.
3.60%, 11/28/24

   378,000      388,652  

Baidu, Inc.
3.08%, 4/7/25

     200,000        202,632  

4.13%, 6/30/25

     90,000        94,174  

Tencent Music Entertainment Group
1.38%, 9/3/25

     110,000        104,553  
     

 

 

 
Total China

 

     790,011  
Colombia – 0.2%

 

Ecopetrol SA
5.88%, 9/18/23

     276,000        287,678  
France – 0.1%

 

BPCE SA
4.00%, 4/15/24

     170,000        176,210  
Germany – 0.1%

 

Deutsche Bank AG

     

2.22%, 9/18/24, (2.222% fixed rate until 9/18/23; Secured Overnight Financing Rate + 2.159% thereafter)(b)

     140,000        139,765  
Ireland – 0.2%

 

AerCap Ireland Capital DAC / AerCap Global Aviation Trust
4.50%, 9/15/23

     130,000        134,198  

6.50%, 7/15/25

     150,000        165,445  
     

 

 

 
Total Ireland

 

     299,643  
Japan – 0.7%

 

Mitsubishi UFJ Financial Group, Inc.
2.19%, 2/25/25

     536,000        532,162  

1.41%, 7/17/25

     50,000        48,240  

ORIX Corp.
3.25%, 12/4/24

     80,000        82,011  

Sumitomo Mitsui Financial Group, Inc.
2.70%, 7/16/24

     315,000        318,093  

Toyota Motor Corp.
1.34%, 3/25/26

     73,000        70,505  
     

 

 

 
Total Japan

 

     1,051,011  
Netherlands – 0.2%

 

Cooperatieve Rabobank UA
4.63%, 12/1/23

     100,000        104,300  

ING Groep NV
3.55%, 4/9/24

     140,000        143,683  
     

 

 

 
Total Netherlands

 

     247,983  
Spain – 0.1%

 

Banco Santander SA
2.71%, 6/27/24

     200,000        201,858  
Switzerland – 0.4%

 

Credit Suisse Group AG
3.80%, 6/9/23

     250,000        255,658  

3.75%, 3/26/25

     250,000        256,847  
     

 

 

 
Total Switzerland

 

     512,505  

 

See Notes to Financial Statements.

 

WisdomTree Trust      115  


Table of Contents

Schedule of Investments (unaudited) (continued)

WisdomTree Yield Enhanced U.S. Short-Term Aggregate Bond Fund (SHAG)

February 28, 2022

 

 

 

Investments    Principal
Amount
     Value  
United Kingdom – 2.2%

 

Barclays PLC

     

1.01%, 12/10/24, (1.007% fixed rate until 12/10/23; 1-year Constant Maturity Treasury Rate + 0.80% thereafter)(b)

   $ 360,000      $ 351,148  

BAT Capital Corp.
3.22%, 8/15/24

     55,000        55,889  

BAT International Finance PLC
1.67%, 3/25/26

     100,000        95,184  

BP Capital Markets PLC
3.81%, 2/10/24

     90,000        93,123  

Diageo Capital PLC
1.38%, 9/29/25

     200,000        194,200  

HSBC Holdings PLC
4.25%, 3/14/24

     524,000        541,711  

1.65%, 4/18/26, (1.645% fixed rate until 4/18/25; Secured Overnight Financing Rate + 1.538% thereafter)(b)

     50,000        48,241  

2.10%, 6/4/26, (2.099% fixed rate until 6/4/25; Secured Overnight Financing Rate + 1.929% thereafter)(b)

     500,000        488,030  

Lloyds Bank PLC
3.50%, 5/14/25

     200,000        205,768  

Lloyds Banking Group PLC

     

2.91%, 11/7/23, (2.907% fixed rate until 11/7/22; 3-month U.S. dollar London Interbank Offered Rate + 0.81% thereafter)(b)

     63,000        63,467  

3.90%, 3/12/24

     50,000        51,837  

Natwest Group PLC
3.88%, 9/12/23

     550,000        563,359  

Santander UK Group Holdings PLC

     

4.80%, 11/15/24, (4.796% fixed rate until 11/15/23; 3-month U.S. dollar London Interbank Offered Rate + 1.57% thereafter)(b)

     220,000        228,741  

1.09%, 3/15/25, (1.089% fixed rate until 3/15/24; Secured Overnight Financing Rate + 0.787% thereafter)(b)

     41,000        39,810  

Unilever Capital Corp.
3.25%, 3/7/24

     125,000        128,039  
     

 

 

 
Total United Kingdom

 

     3,148,547  

TOTAL FOREIGN CORPORATE BONDS

(Cost: $9,260,622)

 

 

     8,982,169  
FOREIGN GOVERNMENT AGENCIES – 0.5%

 

Canada – 0.1%

 

Province of Manitoba Canada
3.05%, 5/14/24

     184,000        189,415  
Japan – 0.4%

 

Japan Bank for International Cooperation
1.75%, 10/17/24, Series DTC

     430,000        430,163  

2.13%, 2/10/25, Series DTC

     140,000        141,263  
     

 

 

 
Total Japan

 

     571,426  

TOTAL FOREIGN GOVERNMENT AGENCIES

(Cost: $782,938)

 

 

     760,841  
FOREIGN GOVERNMENT OBLIGATIONS – 0.3%

 

Chile – 0.1%

 

Chile Government International Bond
3.13%, 3/27/25

   110,000      113,397  
Colombia – 0.1%

 

Colombia Government International Bond 2.63%, 3/15/23

     100,000        100,189  

4.00%, 2/26/24

     78,000        79,244  
     

 

 

 
Total Colombia

 

     179,433  
Indonesia – 0.1%

 

Indonesia Government International Bond
2.95%, 1/11/23

     150,000        151,747  

TOTAL FOREIGN GOVERNMENT OBLIGATIONS

(Cost: $451,749)

 

 

     444,577  
SUPRANATIONAL BONDS – 0.7%

 

Corporacion Andina de Fomento
3.75%, 11/23/23

     96,000        99,167  

1.63%, 9/23/25

     200,000        195,570  

European Investment Bank
0.63%, 7/25/25

     750,000        722,325  

TOTAL SUPRANATIONAL BONDS

(Cost: $1,054,640)

 

 

     1,017,062  
COMMERCIAL MORTGAGE-BACKED SECURITIES – 9.6%

 

United States – 9.6%

 

Benchmark Mortgage Trust

     

3.75%, 3/15/52, Series 2019-B9, Class A4

     850,000        894,853  

2.03%, 10/15/53, Series 2020-B20, Class A5

     1,128,000        1,061,545  

2.58%, 4/15/54, Series 2021-B25, Class A5

     2,200,000        2,145,887  

Commercial Mortgage Trust

     

3.42%, 8/10/47, Series 2014-UBS4, Class A4

     900,000        916,419  

4.56%, 10/10/47, Series 2014-LC17, Class C^(b)

     313,000        322,821  

3.89%, 2/10/49, Series 2016-CR28, Class D^(b)

     757,000        736,063  

CSAIL Commercial Mortgage Trust

     

3.77%, 4/15/51, Series 2018-CX11, Class A4

     2,000,000        2,084,030  

Deutsche Bank Commercial Mortgage Trust

     

1.89%, 8/10/49, Series 2016-C3, Class A2

     28,438        28,524  

GS Mortgage Securities Trust

     

5.31%, 11/10/46, Series 2013-GC16, Class C^(b)

     200,000        201,309  

JP Morgan Chase Commercial Mortgage Securities Trust

     

4.17%, 12/15/46, Series 2013-C16, Class A4

     965,000        994,331  

JPMBB Commercial Mortgage Securities Trust

     

3.61%, 5/15/48, Series 2015-C29, Class A4

     2,100,000        2,162,074  

 

See Notes to Financial Statements.

 

116   WisdomTree Trust


Table of Contents

Schedule of Investments (unaudited) (concluded)

WisdomTree Yield Enhanced U.S. Short-Term Aggregate Bond Fund (SHAG)

February 28, 2022

 

 

 

Investments    Principal
Amount
     Value  

Morgan Stanley Bank of America Merrill Lynch Trust

     

3.18%, 8/15/45, Series 2012-C5, Class A4

   $ 421,773      $ 421,736  

2.74%, 4/15/48, Series 2015-C22, Class A2

     315,868        315,868  

Morgan Stanley Capital I

     

4.22%, 12/15/50, Series 2017-HR2, Class C^(b)

     160,000        163,740  

Wells Fargo Commercial Mortgage Trust

     

2.60%, 6/15/49, Series 2016-C34, Class A2

     49,032        48,982  

2.63%, 4/15/54, Series 2021-C59, Class A5

     376,000        368,221  

WFRBS Commercial Mortgage Trust

     

3.50%, 8/15/47, Series 2014-C21, Class D(c)

     627,000        575,660  

3.98%, 11/15/47, Series 2014-C25, Class AS

     395,000        407,187  

TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES

(Cost: $14,458,617)

 

 

     13,849,250  
ASSET-BACKED SECURITIES – 0.4%

 

United States – 0.4%

 

Capital One Prime Auto Receivables Trust
1.63%, 8/15/25, Series 2020-1,

Class A4

     450,000        450,061  

CarMax Auto Owner Trust
2.30%, 4/15/25, Series 2019-3,

Class A4

   118,000      119,077  

TOTAL ASSET-BACKED SECURITIES

(Cost: $569,166)

 

 

     569,138  

TOTAL INVESTMENTS IN SECURITIES – 106.2%

(Cost: $156,263,602)

 

 

     152,599,429  

Other Assets less Liabilities – (6.2)%

 

     (8,941,478
     

 

 

 
NET ASSETS – 100.0%

 

   $ 143,657,951  
* 

Interest rate shown reflects the yield to maturity at the time of purchase.

 

^ 

Variable coupon rate based on weighted average interest rate of underlying mortgage.

 

(a) 

To-be-announced (“TBA”) security (See Note 2). TBA securities are non-income producing.

 

(b) 

Rate shown reflects the accrual rate as of February 28, 2022 on securities with variable or step rates.

 

(c) 

This security is exempt from registration under rule 144A of the Securities Act of 1933. This security may be sold in transactions that are exempt from registration, normally to qualified institutional buyers.

 

FAIR VALUATION SUMMARY

The following is a summary of the fair valuations according to the inputs used as of February 28, 2022 in valuing the Fund’s investments (See Note 2 — Fair Value Measurement):

 

      Quoted
Prices in
Active
Markets
(Level 1)
     Other
Significant
Observable
Inputs
(Level 2)
     Significant
Unobservable
Inputs
(Level 3)
     Total  

Assets:

 

     

Investments in Securities

  

U.S. Government Agencies

   $      $ 16,527,184      $      $ 16,527,184  

U.S. Government Obligations

            74,488,804               74,488,804  

U.S. Corporate Bonds

            35,960,404               35,960,404  

Foreign Corporate Bonds

            8,982,169               8,982,169  

Foreign Government Agencies

            760,841               760,841  

Foreign Government Obligations

            444,577               444,577  

Supranational Bonds

            1,017,062               1,017,062  

Commercial Mortgage-Backed Securities

            13,849,250               13,849,250  

Asset-Backed Securities

            569,138               569,138  

Total Investments in Securities

   $      $ 152,599,429      $      $ 152,599,429  

 

See Notes to Financial Statements.

 

WisdomTree Trust      117  


Table of Contents

Schedule of Investments (unaudited)

WisdomTree Alternative Income Fund (HYIN)

February 28, 2022

 

 

 

Investments    Shares      Value  
COMMON STOCKS – 71.7%

 

United States – 71.7%

 

Capital Markets – 24.7%

 

Ares Capital Corp.

     10,989      $ 240,000  

FS KKR Capital Corp.

     10,857        235,597  

Goldman Sachs BDC, Inc.

     11,388        225,027  

Golub Capital BDC, Inc.

     14,553        229,355  

Hercules Capital, Inc.

     13,383        240,492  

Main Street Capital Corp.

     5,160        225,182  

Owl Rock Capital Corp.

     15,581        234,494  

Prospect Capital Corp.

     26,677        215,017  
     

 

 

 
Total Capital Markets

 

     1,845,164  
Mortgage Real Estate Investment Trusts (REITs) – 47.0%

 

AGNC Investment Corp.

     14,652        189,157  

Annaly Capital Management, Inc.

     27,762        193,223  

Apollo Commercial Real Estate Finance, Inc.

     17,096        223,103  

Arbor Realty Trust, Inc.

     12,950        233,100  

Blackstone Mortgage Trust, Inc., Class A

     7,277        231,263  

BrightSpire Capital, Inc.

     23,380        207,147  

Broadmark Realty Capital, Inc.

     23,897        206,948  

Chimera Investment Corp.

     14,925        181,637  

Great Ajax Corp.

     17,294        196,979  

Ladder Capital Corp., Class A

     19,292        221,086  

MFA Financial, Inc.

     49,039        199,098  

New Residential Investment Corp.

     20,636        214,202  

New York Mortgage Trust, Inc.

     59,907        210,274  

Redwood Trust, Inc.

     17,619        183,061  

Starwood Property Trust, Inc.

     9,514        226,814  

Two Harbors Investment Corp.

     38,345        194,026  

Western Asset Mortgage Capital Corp.

     107,061        198,063  
     

 

 

 
Total Mortgage Real Estate Investment Trusts (REITs)

 

     3,509,181  

TOTAL COMMON STOCKS

(Cost: $5,845,912)

 

 

     5,354,345  
CLOSED-END MUTUAL FUNDS – 27.9%

 

United States – 27.9%

 

BlackRock Corporate High Yield Fund, Inc.

     18,773      202,936  

BlackRock Ltd. Duration Income Trust

     13,214        190,810  

Blackstone Strategic Credit Fund

     16,000        211,520  

Eaton Vance Limited Duration Income Fund

     16,823        197,166  

Guggenheim Strategic Opportunities Fund(a)

     12,089        224,735  

Invesco Senior Income Trust

     49,488        215,768  

Nuveen Credit Strategies Income Fund

     34,769        213,482  

Oxford Lane Capital Corp.

     29,424        217,443  

PIMCO Corporate & Income Opportunity Fund

     13,325        200,141  

PIMCO Dynamic Income Fund

     8,692        210,346  

TOTAL CLOSED-END MUTUAL FUNDS

(Cost: $2,282,650)

 

 

     2,084,347  
INVESTMENT OF CASH COLLATERAL FOR SECURITIES LOANED – 0.1%

 

United States – 0.1%

 

State Street Navigator Securities Lending Government Money Market Portfolio, 0.06%

(Cost: $3,800)

     3,800        3,800  

TOTAL INVESTMENTS IN SECURITIES – 99.7%

(Cost: $8,132,362)

 

 

     7,442,492  

Other Assets less Liabilities – 0.3%

 

     21,893  
     

 

 

 
NET ASSETS – 100.0%

 

   $ 7,464,385  
(a) 

Security, or portion thereof, was on loan at February 28, 2022 (See Note 2). At February 28, 2022, the total market value of the Fund’s securities on loan identified in the Schedule of Investments was $3,718 and the total market value of the collateral held by the Fund was $3,800.

 

FAIR VALUATION SUMMARY

The following is a summary of the fair valuations according to the inputs used as of February 28, 2022 in valuing the Fund’s investments (See Note 2 — Fair Value Measurement):

 

      Quoted
Prices in
Active
Markets
(Level 1)
     Other
Significant
Observable
Inputs
(Level 2)
     Significant
Unobservable
Inputs
(Level 3)
     Total  

Assets:

        

Investments in Securities

  

Common Stocks

   $ 5,354,345      $      $      $ 5,354,345  

Closed-End Mutual Funds

     2,084,347                      2,084,347  

Investment of Cash Collateral for Securities Loaned

            3,800               3,800  

Total Investments in Securities

   $ 7,438,692      $ 3,800      $      $ 7,442,492  

 

See Notes to Financial Statements.

 

118   WisdomTree Trust


Table of Contents

Schedule of Investments (unaudited)

WisdomTree CBOE S&P 500 PutWrite Strategy Fund (PUTW)

February 28, 2022

 

 

 

Investments    Principal
Amount
     Value  
U.S. GOVERNMENT OBLIGATIONS – 82.2%

 

U.S. Treasury Bills – 82.2%

 

0.35%, 5/19/22*

   $ 56,466,000      $ 56,428,910  

0.40%, 5/26/22*

     20,000,000        19,985,308  

TOTAL U.S. GOVERNMENT OBLIGATIONS

(Cost: $76,404,398)

 

 

     76,414,218  
EXCHANGE-TRADED FUND – 4.4%

 

United States – 4.4%

 

WisdomTree Floating Rate Treasury Fund(a)
(Cost: $4,046,520)
     161,377      4,055,404  

TOTAL INVESTMENTS IN SECURITIES – 86.6%

(Cost: $80,450,918)

 

 

     80,469,622  

Other Assets less Liabilities – 13.4%

 

     12,456,949  
     

 

 

 
NET ASSETS – 100.0%

 

   $ 92,926,571  

 

* 

Interest rate shown reflects the yield to maturity at the time of purchase.

 

(a) 

Affiliated holding. See “Investment in Affiliates” supplementary table included in this Schedule of Investments for additional information.

 

INVESTMENT IN AFFILIATES

Affiliated holdings are investments in entities in which the Fund owns 5% or more of the outstanding voting securities or are investments in entities which are under common ownership or control. Investments in affiliates during the six-month fiscal period ended February 28, 2022 were as follows:

 

Affiliate   Value at
8/31/2021
    Purchases/
Additions
    Sales/
Reductions
    Realized
Gain/(Loss)
    Change in
Unrealized
Appreciation/
Depreciation
    Value at
2/28/2022
    Dividend
Income
    Capital Gain
Distributions
 

WisdomTree Floating Rate Treasury Fund

  $ 2,870,813     $ 1,181,420     $     $     $ 3,171     $ 4,055,404     $     $ 259  

 

FINANCIAL DERIVATIVE INSTRUMENTS  
WRITTEN OPTION CONTRACTS (EXCHANGE-TRADED)  
Description   Number of
Contracts
    Notional
Amount1
    Strike
Price
    Expiration
Date
    Premiums
Paid/
(Received)
    Unrealized
Appreciation
    Value  

S&P 500 Index

    (218   $ (95,048,000   $ 4,360       3/18/2022     $ (2,682,380   $ 569,960     $ (2,112,420
1 

Notional amount is derived by multiplying the number of contracts, the contract size (typically 100), and the contract strike price.

 

FAIR VALUATION SUMMARY

The following is a summary of the fair valuations according to the inputs used as of February 28, 2022 in valuing the Fund’s investments (See Note 2 — Fair Value Measurement):

 

      Quoted
Prices in
Active
Markets
(Level 1)
     Other
Significant
Observable
Inputs
(Level 2)
     Significant
Unobservable
Inputs
(Level 3)
     Total  

Assets:

           

Investments in Securities

           

U.S. Government Obligations

   $      $ 76,414,218      $      $ 76,414,218  

Exchange-Traded Fund

     4,055,404                      4,055,404  

Total Investments in Securities

   $ 4,055,404      $ 76,414,218      $      $ 80,469,622  

Liabilities:

           

Financial Derivative Instruments

           

Written Options1

   $      $ (2,112,420    $      $ (2,112,420

Total – Net

   $ 4,055,404      $ 74,301,798      $      $ 78,357,202  
1 

Amount shown represents the market value of the financial instrument.

 

See Notes to Financial Statements.

 

WisdomTree Trust      119  


Table of Contents

Schedule of Investments (unaudited)

WisdomTree Efficient Gold Plus Gold Miners Strategy Fund (GDMN) (consolidated)

February 28, 2022

 

 

 

Investments    Shares      Value  
COMMON STOCKS – 88.3%

 

Australia – 11.9%

 

De Grey Mining Ltd.*

     16,452      $ 13,490  

Evolution Mining Ltd.

     27,168        84,181  

Gold Road Resources Ltd.

     12,945        14,419  

Newcrest Mining Ltd.

     8,652        161,165  

Northern Star Resources Ltd.

     17,462        130,641  

OceanaGold Corp.*

     9,516        17,931  

Perseus Mining Ltd.

     18,759        24,843  

Ramelius Resources Ltd.

     12,189        13,444  

Regis Resources Ltd.

     11,507        16,324  

Silver Lake Resources Ltd.*

     12,930        17,358  

St. Barbara Ltd.

     10,869        10,490  

West African Resources Ltd.*

     13,215        10,453  

Westgold Resources Ltd.

     6,489        10,642  
     

 

 

 
Total Australia

 

     525,381  
Brazil – 3.6%

 

Wheaton Precious Metals Corp.

     3,660        160,271  
Canada – 41.4%

 

Agnico Eagle Mines Ltd.

     5,130        259,014  

Alamos Gold, Inc., Class A

     5,736        42,217  

B2Gold Corp.

     15,438        62,215  

Barrick Gold Corp.

     23,357        527,167  

Centerra Gold, Inc.

     3,096        30,170  

Dundee Precious Metals, Inc.

     2,781        16,445  

Equinox Gold Corp.*

     4,049        28,667  

Franco-Nevada Corp.

     2,510        369,391  

GoGold Resources, Inc.*

     4,157        9,832  

IAMGOLD Corp.*

     6,977        20,303  

K92 Mining, Inc.*

     3,303        20,078  

Kinross Gold Corp.

     18,335        91,858  

Lundin Gold, Inc.*

     1,179        9,500  

New Gold, Inc.*

     9,965        17,239  

Osisko Gold Royalties Ltd.

     2,283        28,218  

Pan American Silver Corp.

     3,077        72,710  

Pretium Resources, Inc.*

     2,347        34,196  

Sandstorm Gold Ltd.

     2,793        19,914  

SSR Mining, Inc.

     3,096        61,208  

Torex Gold Resources, Inc.*

     1,260        15,974  

Wesdome Gold Mines Ltd.*

     2,021        22,738  

Yamana Gold, Inc.

     14,075        68,968  
     

 

 

 
Total Canada

 

     1,828,022  
China – 1.7%

 

Shandong Gold Mining Co. Ltd., Class A

     4,200      13,818  

Zhaojin Mining Industry Co. Ltd., Class H

     19,500        17,344  

Zijin Mining Group Co. Ltd., Class A

     24,300        43,209  
     

 

 

 
Total China

 

     74,371  
Peru – 0.7%

 

Cia de Minas Buenaventura SAA, ADR*

     3,351        33,175  
Russia – 0.6%

 

Petropavlovsk PLC*

     40,769        4,376  

Polymetal International PLC

     4,821        22,718  
     

 

 

 
Total Russia

 

     27,094  
South Africa – 7.9%

 

AngloGold Ashanti Ltd., ADR

     6,108        141,950  

Gold Fields Ltd., ADR

     12,383        173,609  

Harmony Gold Mining Co. Ltd., ADR

     7,863        33,418  
     

 

 

 
Total South Africa

 

     348,977  
Turkey – 0.7%

 

Eldorado Gold Corp.*

     2,670        29,237  
United Kingdom – 2.7%

 

Centamin PLC

     16,493        21,952  

Endeavour Mining PLC

     2,693        71,086  

Fresnillo PLC

     2,720        26,226  
     

 

 

 
Total United Kingdom

 

     119,264  
United States – 17.1%

 

Argonaut Gold, Inc.*

     4,572        8,327  

Coeur Mining, Inc.*

     3,810        16,383  

Newmont Corp.

     9,228        610,893  

Royal Gold, Inc.

     984        119,320  
     

 

 

 
Total United States

 

     754,923  

TOTAL INVESTMENTS IN SECURITIES – 88.3%

(Cost: $3,627,681)

 

 

     3,900,715  

Other Assets less Liabilities – 11.7%

 

     518,871  
     

 

 

 
NET ASSETS – 100.0%

 

   $ 4,419,586  
* 

Non-income producing security.

 

FINANCIAL DERIVATIVE INSTRUMENTS  
FOREIGN CURRENCY CONTRACTS (OTC – OVER THE COUNTER)  
Counterparty   Settlement
Date
   

Amount and
Description of
Currency to
be Purchased

   

Amount and
Description of
Currency to
be Sold

    Unrealized
Appreciation
    Unrealized
Depreciation
 

Bank of America NA

    3/2/2022       6,528       CAD       7,100       AUD     $     $ (5

Bank of America NA

    3/2/2022       13,100       CAD       10,332       USD             (4

Bank of America NA

    3/2/2022       3,900       GBP       5,232       USD       1        

JP Morgan Chase Bank NA

    3/1/2022       117,759       CNH       18,664       USD             (2

JP Morgan Chase Bank NA

    3/1/2022       27,500       CNH       4,355       USD       3        

Morgan Stanley & Co. International

    3/2/2022       10,000       HKD       1,280       USD       0 ^       
                                            $ 4     $ (11

 

^

Amount represents less than $1.

 

See Notes to Financial Statements.

 

120   WisdomTree Trust


Table of Contents

Schedule of Investments (unaudited) (concluded)

WisdomTree Efficient Gold Plus Gold Miners Strategy Fund (GDMN) (consolidated)

February 28, 2022

 

FUTURES CONTRACTS (EXCHANGE-TRADED)  
Long Exposure   Contracts     Expiration
Date
    Notional
Value
    Unrealized
Appreciation
 

Gold 100 Ounce

    21       4/27/22     $ 3,991,470     $ 97,557  

 

FAIR VALUATION SUMMARY

The following is a summary of the fair valuations according to the inputs used as of February 28, 2022 in valuing the Fund’s investments (See Note 2 — Fair Value Measurement):

 

      Quoted
Prices in
Active
Markets
(Level 1)
     Other
Significant
Observable
Inputs
(Level 2)
     Significant
Unobservable
Inputs
(Level 3)
     Total  

Assets:

 

     

Investments in Securities

  

Common Stocks

   $ 3,900,715      $      $      $ 3,900,715  

Total Investments in Securities

   $ 3,900,715      $      $      $ 3,900,715  

Financial Derivative Instruments

  

Foreign Currency Contracts1

   $      $ 4      $      $ 4  

Futures Contracts1

     97,557                      97,557  

Liabilities:

  

Financial Derivative Instruments

  

Foreign Currency Contracts1

   $      $ (11    $      $ (11

Total – Net

   $ 3,998,272      $ (7    $      $ 3,998,265  
1 

Amount shown represents the unrealized appreciation (depreciation) on the financial instrument.

 

See Notes to Financial Statements.

 

WisdomTree Trust      121  


Table of Contents

Schedule of Investments (unaudited)

WisdomTree Enhanced Commodity Strategy Fund (GCC) (consolidated)

February 28, 2022

 

 

 

Investments    Principal
Amount
     Value  
U.S. GOVERNMENT OBLIGATIONS – 75.9%

 

U.S. Treasury Bills – 75.9%

 

0.04%, 3/17/22*

   $ 190,000,000      $ 189,998,206  

0.02%, 4/21/22*(a)

     513,000        512,873  

0.10%, 5/19/22*(a)

     21,651,000        21,636,778  

TOTAL U.S. GOVERNMENT OBLIGATIONS

(Cost: $212,155,999)

 

 

     212,147,857  
Investments   

Shares

     Value  
EXCHANGE-TRADED FUND – 4.5%

 

United States – 4.5%

 

WisdomTree Floating Rate Treasury Fund(b)

     
(Cost: $12,531,362)      498,854      $ 12,536,201  

TOTAL INVESTMENTS IN SECURITIES – 80.4%

(Cost: $224,687,361)

        224,684,058  

Other Assets less Liabilities – 19.6%

 

     54,904,613  
     

 

 

 
NET ASSETS – 100.0%

 

   $ 279,588,671  

 

* 

Interest rate shown reflects the yield to maturity at the time of purchase.

 

(a) 

All or a portion of this security is held by the broker as collateral for open futures contracts. The securities collateral posted was comprised entirely of U.S. Treasury securities having a market value of $22,149,651 as of February 28, 2022.

 

(b) 

Affiliated holding. See “Investment in Affiliates” supplementary table included in this Schedule of Investments for additional information.

 

INVESTMENT IN AFFILIATES

Affiliated holdings are investments in entities in which the Fund owns 5% or more of the outstanding voting securities or are investments in entities which are under common ownership or control. Investments in affiliates during the six-month fiscal period ended February 28, 2022 were as follows:

 

Affiliate   Value at
8/31/2021
    Purchases/
Additions
    Sales/
Reductions
    Realized
Gain/(Loss)
    Change in
Unrealized
Appreciation/
Depreciation
    Value at
2/28/2022
    Dividend
Income
    Capital Gain
Distributions
 

WisdomTree Floating Rate Treasury Fund

  $ 8,141,762     $ 5,790,136     $ 1,403,549     $ (1,686   $ 9,538     $ 12,536,201     $     $ 725  

 

FINANCIAL DERIVATIVE INSTRUMENTS  
FUTURES CONTRACTS (EXCHANGE-TRADED)  
Short Exposure   Contracts     Expiration
Date
    Notional
Value
    Unrealized
Appreciation/
(Depreciation)
 

Aluminum

    14       12/19/22     $ (1,161,825   $ (207,812

Aluminum

    219       6/13/22       (18,426,112     (1,833,694

Copper

    98       12/19/22       (24,043,075     (951,918

Nickel

    55       3/14/22       (8,118,330     (1,716,660

Nickel

    66       5/16/22       (9,644,184     (1,449,360

Nickel

    70       6/13/22       (10,159,380     (418,464

Zinc

    101       3/14/22       (9,293,894     (343,400

Zinc

    2       12/19/22       (178,750     (4,075
      $ (81,025,550   $ (6,925,383
Long Exposure  

Aluminum

    219       6/13/22     $ 18,426,113     $ 4,950,074  

Aluminum

    254       12/19/22       21,078,825       2,326,202  

Bitcoin

    41       3/25/22       8,610,000       419,685  

Brent Crude

    279       5/31/22       25,919,100       3,629,190  

Cattle Feeder

    14       8/25/22       1,260,525       (31,275

Cocoa

    146       7/14/22       3,730,300       (229,890

Coffee “C”

    85       12/19/22       7,264,312       (310,256

Copper

    186       12/19/22       45,632,775       524,912  

Corn

    512       9/14/22       15,929,600       1,711,394  

Cotton No. 2

    54       12/07/22       2,709,720       (108,745

Gasoline RBOB

    87       11/30/22       8,733,060       1,544,453  

Gold 100 Ounce

    131       8/29/22       24,986,940       1,075,580  

HRW Wheat

    101       7/14/22       4,750,788       946,525  

Lean Hogs

    122       4/14/22       5,050,800       714,050  

Live Cattle

    98       6/30/22       5,397,840       63,470  

Low Sulphur Gasoil

    95       5/12/22       7,885,000       1,212,253  

Nickel

    66       5/16/22       9,644,184       1,716,120  

 

See Notes to Financial Statements.

 

122   WisdomTree Trust


Table of Contents

Schedule of Investments (unaudited) (concluded)

WisdomTree Enhanced Commodity Strategy Fund (GCC) (consolidated)

February 28, 2022

 

FINANCIAL DERIVATIVE INSTRUMENTS  
FUTURES CONTRACTS (EXCHANGE-TRADED)  
Long Exposure   Contracts     Expiration
Date
    Notional
Value
    Unrealized
Appreciation/
(Depreciation)
 

Nickel

    55       3/14/22     $ 8,118,330     $ 1,533,921  

Nickel

    73       4/14/22       10,716,108       426,630  

Nickel

    70       6/13/22       10,159,380       1,439,304  

NY Harbor ULSD

    109       3/31/22       13,419,491       2,237,722  

Platinum

    81       4/27/22       4,206,735       322,245  

Silver

    108       5/26/22       13,157,640       184,370  

Soybean Oil

    159       12/14/22       6,149,484       239,556  

Soybeans

    194       11/14/22       13,926,775       1,889,662  

Sugar No.11

    281       4/29/22       5,570,544       (1,232

Wheat

    303       7/14/22       13,892,550       2,513,388  

WTI Crude Oil

    261       3/22/22       24,982,920       1,556,760  

Zinc

    101       3/14/22       9,293,894       1,098,083  

Zinc

    118       12/19/22       10,546,250       489,825  
      $ 361,149,983     $ 34,083,976  

Total – Net

 

  $ 280,124,433     $ 27,158,593  

 

FAIR VALUATION SUMMARY

The following is a summary of the fair valuations according to the inputs used as of February 28, 2022 in valuing the Fund’s investments (See Note 2 — Fair Value Measurement):

 

     

Quoted
Prices in
Active

Markets
(Level 1)

     Other
Significant
Observable
Inputs
(Level 2)
     Significant
Unobservable
Inputs
(Level 3)
     Total  

Assets:

 

     

Investments in Securities

  

U.S. Government Obligations

   $      $ 212,147,857      $      $ 212,147,857  

Exchange-Traded Fund

     12,536,201                      12,536,201  

Total Investments in Securities

   $ 12,536,201      $ 212,147,857      $      $ 224,684,058  

Financial Derivative Instruments

  

Futures Contracts1

   $ 34,765,374      $      $      $ 34,765,374  

Liabilities:

 

     

Financial Derivative Instruments

  

Futures Contracts1

   $ (7,606,781    $      $      $ (7,606,781

Total – Net

   $ 39,694,794      $ 212,147,857      $      $ 251,842,651  
1 

Amount shown represents the unrealized appreciation (depreciation) on the financial instrument.

 

See Notes to Financial Statements.

 

WisdomTree Trust      123  


Table of Contents

Schedule of Investments (unaudited)

WisdomTree Managed Futures Strategy Fund (WTMF) (consolidated)

February 28, 2022

 

 

 

Investments    Principal
Amount
     Value  
U.S. GOVERNMENT OBLIGATIONS – 81.2%

 

U.S. Treasury Bills – 81.2%

 

0.05%, 3/17/22*

   $ 112,000,000      $ 111,998,942  

0.10%, 5/19/22*(a)

     5,615,000        5,611,312  

TOTAL U.S. GOVERNMENT OBLIGATIONS

(Cost: $117,611,678)

 

 

     117,610,254  
Investments   

Shares

     Value  
EXCHANGE-TRADED FUND – 4.2%

 

United States – 4.2%

 

WisdomTree Floating Rate Treasury Fund(b)

     
(Cost: $6,047,350)      241,176      $ 6,060,753  

TOTAL INVESTMENTS IN SECURITIES – 85.4%

(Cost: $123,659,028)

 

 

     123,671,007  

Other Assets less Liabilities – 14.6%

 

     21,114,479  
     

 

 

 
NET ASSETS – 100.0%

 

   $ 144,785,486  
* 

Interest rate shown reflects the yield to maturity at the time of purchase.

 

(a) 

All or a portion of this security is held by the broker as collateral for open futures contracts. The securities collateral posted was comprised entirely of U.S. Treasury securities having a market value of $5,611,312 as of February 28, 2022.

 

(b) 

Affiliated holding. See “Investment in Affiliates” supplementary table included in this Schedule of Investments for additional information.

 

INVESTMENT IN AFFILIATES

Affiliated holdings are investments in entities in which the Fund owns 5% or more of the outstanding voting securities or are investments in entities which are under common ownership or control. Investments in affiliates during the six-month fiscal period ended February 28, 2022 were as follows:

 

Affiliate   Value at
8/31/2021
    Purchases/
Additions
    Sales/
Reductions
    Realized
Gain/(Loss)
    Change in
Unrealized
Appreciation/
Depreciation
    Value at
2/28/2022
    Dividend
Income
    Capital Gain
Distributions
 

WisdomTree Floating Rate Treasury Fund

  $ 5,997,796     $ 507,926     $ 451,751     $ (422   $ 7,204     $ 6,060,753     $     $ 506  

 

FINANCIAL DERIVATIVE INSTRUMENTS  
FUTURES CONTRACTS (EXCHANGE-TRADED)  
Short Exposure   Contracts     Expiration
Date
    Notional
Value
    Unrealized
Appreciation/
(Depreciation)
 

Aluminum

    1       3/14/22     $ (84,350   $ (1,444

Cattle Feeder

    30       3/31/22       (2,365,875     135,000  

Gold 100 Ounce

    14       4/27/22       (2,660,980     (135,240

Lead

    1       3/14/22       (59,806     (1,106

Sugar No. 11

    127       4/29/22       (2,517,648     11  

Zinc

    1       3/14/22       (92,019     (1,575
      $ (7,780,678   $ (4,354
Long Exposure  

10 Year U.S. Treasury Note

    56       6/21/22     $ 7,136,500     $ (6,250

Aluminum

    34       3/14/22       2,867,900       270,300  

Brent Crude

    28       3/31/22       2,743,160       231,840  

Copper

    11       3/14/22       2,727,725       16,087  

Corn

    81       5/13/22       2,797,537       297,675  

E-Mini Russell 2000 Index

    57       3/18/22       5,826,825       (450,370

Euro Stoxx 50

    119       3/18/22       5,248,862       (511,921

Gasoline RBOB

    22       3/31/22       2,709,630       180,919  

HRW Wheat

    64       5/13/22       3,049,600       576,800  

Lead

    46       3/14/22       2,751,088       224,244  

Lean Hogs

    63       4/14/22       2,608,200       128,120  

Live Cattle

    43       4/29/22       2,432,510       (17,630

Low Sulphur Gasoil

    32       4/12/22       2,735,200       243,200  

Natural Gas

    51       3/29/22       2,245,020       (162,180

Nickel

    19       3/14/22       2,804,514       177,954  

Nikkei 225

    23       6/09/22       5,252,008       (137,703

NY Harbor ULSD

    22       3/31/22       2,708,521       194,872  

S&P 500 E-Mini Index

    25       3/18/22       5,460,000       (271,825

 

See Notes to Financial Statements.

 

124   WisdomTree Trust


Table of Contents

Schedule of Investments (unaudited) (concluded)

WisdomTree Managed Futures Strategy Fund (WTMF) (consolidated)

February 28, 2022

 

FINANCIAL DERIVATIVE INSTRUMENTS  
FUTURES CONTRACTS (EXCHANGE-TRADED)  
Long Exposure   Contracts     Expiration
Date
    Notional
Value
    Unrealized
Appreciation/
(Depreciation)
 

S&P/TSX 60 Index

    28       3/17/22     $ 5,631,127     $ 4,920  

Tin

    12       3/14/22       2,728,140       144,120  

U.S. Dollar Index

    148       3/14/22       14,310,712       60,457  

U.S. Treasury Long Bond

    45       6/21/22       7,050,937       875  

Wheat

    65       5/13/22       3,035,500       571,187  

WTI Crude Oil

    29       3/22/22       2,775,880       210,830  

Zinc

    28       3/14/22       2,576,525       50,050  
      $ 102,213,621     $ 2,026,571  

Total – Net

 

  $ 94,432,943     $ 2,022,217  

 

FAIR VALUATION SUMMARY

The following is a summary of the fair valuations according to the inputs used as of February 28, 2022 in valuing the Fund’s investments (See Note 2 — Fair Value Measurement):

 

      Quoted
Prices in
Active
Markets
(Level 1)
     Other
Significant
Observable
Inputs
(Level 2)
     Significant
Unobservable
Inputs
(Level 3)
     Total  

Assets:

 

     

Investments in Securities

  

U.S. Government Obligations

   $      $ 117,610,254      $      $ 117,610,254  

Exchange-Traded Fund

     6,060,753                      6,060,753  

Total Investments in Securities

   $ 6,060,753      $ 117,610,254      $      $ 123,671,007  

Financial Derivative Instruments

  

Futures Contracts1

   $ 3,719,461      $      $      $ 3,719,461  

Liabilities:

 

     

Financial Derivative Instruments

  

Futures Contracts1

   $ (1,697,244    $      $      $ (1,697,244

Total – Net

   $ 8,082,970      $ 117,610,254      $      $ 125,693,224  
1 

Amount shown represents the unrealized appreciation (depreciation) on the financial instrument.

 

See Notes to Financial Statements.

 

WisdomTree Trust      125  


Table of Contents

Schedule of Investments (unaudited)

WisdomTree Target Range Fund (GTR)

February 28, 2022

 

 

 

Investments   

Principal

Amount

     Value  
U.S. GOVERNMENT OBLIGATIONS – 64.9%

 

U.S. Treasury Bill – 64.9%

 

0.03%, 3/17/22*

     
(Cost: $16,868,774)    $ 16,869,000      $ 16,868,841  
PURCHASED OPTIONS (EXCHANGE-TRADED) – 15.0%  
Call Options   Number of
Contracts
    Notional
Amount(a)
    Strike
Price
    Expiration
Date
    Premiums
Paid
   

Unrealized

Depreciation

        

iShares MSCI EAFE ETF

    689     $ 4,616,300     $ 67       1/20/23     $ 850,629     $ (230,529     620,100  

iShares MSCI Emerging Markets ETF

    542       2,276,400       42       1/20/23       503,359       (123,959     379,400  

iShares Russell 2000 ETF

    261       4,698,000       180       1/20/23       895,740       (5,991     889,749  

SPDR S&P 500 ETF Trust

    299       11,661,000       390       1/20/23       2,335,035       (339,210     1,995,825  

TOTAL PURCHASED OPTIONS (EXCHANGE-TRADED)

(Cost: $4,584,763)

 

 

            3,885,074  

TOTAL INVESTMENTS IN SECURITIES – 79.9%

(Cost: $21,453,537)

 

 

    20,753,915  

Other Assets less Liabilities – 20.1%

 

    5,237,181  
 

 

 

 
NET ASSETS – 100.0%

 

  $ 25,991,096  

 

* 

Interest rate shown reflects the yield to maturity at the time of purchase.

 

(a) 

Notional amount is derived by multiplying the number of contracts, the contract size (typically 100), and the contract strike price.

 

FINANCIAL DERIVATIVE INSTRUMENTS  
WRITTEN OPTION CONTRACTS (EXCHANGE-TRADED)  
Call Options   Number of
Contracts
    Notional
Amount1
    Strike
Price
    Expiration
Date
   

Premiums

Received

    Unrealized
Appreciation
    Value  

iShares MSCI EAFE ETF

    (689   $ (6,201,000   $ 90       1/20/2023     $ (48,707   $ 30,104     $ (18,603

iShares MSCI Emerging Markets ETF

    (542     (3,089,400     57       1/20/2023       (75,142     32,866       (42,276

iShares Russell 2000 ETF

    (261     (6,264,000     240       1/20/2023       (147,828     7,932       (139,896

SPDR S&P 500 ETF Trust

    (299     (15,697,500     525       1/20/2023       (172,702     72,537       (100,165
      $ (444,379   $ 143,439     $ (300,940
1 

Notional amount is derived by multiplying the number of contracts, the contract size (typically 100), and the contract strike price.

 

See Notes to Financial Statements.

 

126   WisdomTree Trust


Table of Contents

Schedule of Investments (unaudited) (concluded)

WisdomTree Target Range Fund (GTR)

February 28, 2022

 

FAIR VALUATION SUMMARY

The following is a summary of the fair valuations according to the inputs used as of February 28, 2022 in valuing the Fund’s investments (See Note 2 — Fair Value Measurement):

 

      Quoted
Prices in
Active
Markets
(Level 1)
     Other
Significant
Observable
Inputs
(Level 2)
     Significant
Unobservable
Inputs
(Level 3)
     Total  

Assets:

 

     

Investments in Securities

  

U.S. Government Obligations

   $      $ 16,868,841      $      $ 16,868,841  

Purchased Options

            3,885,074               3,885,074  

Total Investments in Securities

   $      $ 20,753,915      $      $ 20,753,915  

Liabilities:

 

     

Financial Derivative Instruments

  

Written Options1

   $      $ (300,940    $      $ (300,940

Total – Net

   $      $ 20,452,975      $      $ 20,452,975  
1 

Amount shown represents the market value of the financial instrument.

 

See Notes to Financial Statements.

 

WisdomTree Trust      127  


Table of Contents

Statements of Assets and Liabilities (unaudited)

WisdomTree Trust

February 28, 2022

 

 

 

      WisdomTree
Bloomberg
U.S. Dollar
Bullish Fund
     WisdomTree
Chinese Yuan
Strategy Fund
     WisdomTree
Emerging
Currency
Strategy Fund
     WisdomTree
Emerging
Markets
Corporate
Bond Fund
     WisdomTree
Emerging
Markets Local
Debt Fund
 

ASSETS:

              

Investments, at cost

   $ 102,683,902      $ 20,934,054      $ 9,294,241      $ 68,619,173      $ 130,149,435  

Investment in affiliates, at cost (Note 3)

     4,645,341        1,621,671        567,357                

Repurchase agreements, at cost

            10,790,000        3,930,000               2,030,000  

Foreign currency, at cost

            112                      538,513  

Investments in securities, at value1,2 (Note 2)

     102,679,699        20,932,634        9,293,649        61,610,996        109,061,715  

Investment in affiliates, at value (Note 3)

     4,649,050        1,623,398        567,938                

Repurchase agreements, at value (Note 2)

            10,790,000        3,930,000               2,030,000  

Cash

     580,104        83,885        50,663        258,010        359,117  

Deposits at broker for futures contracts

                          166,270         

Foreign currency, at value

            112                      522,134  

Unrealized appreciation on foreign currency contracts

     269,774        469,980        188,523               58,218  

Receivables:

              

Investment securities sold

     26,084,609        10,214,890        3,781,957               956,849  

Dividends

                                 173  

Securities lending income

                          556         

Interest

            18        7        788,831        2,015,768  

Foreign tax reclaims

                                 151,138  

Total Assets

     134,263,236        44,114,917        17,812,737        62,824,663        115,155,112  

LIABILITIES:

              

Unrealized depreciation on foreign currency contracts

     671,988        30,676        345,207               20,926  

Payables:

              

Cash collateral received for securities loaned (Note 2)

                          2,640,998         

Investment securities purchased

     26,104,566        10,215,566        3,786,503               2,256,573  

Advisory fees (Note 3)

     41,465        11,432        5,853        29,361        49,465  

Service fees (Note 2)

     371        114        47        215        396  

Net variation margin on futures contracts

                          72,304         

Foreign capital gains tax

                                 65,049  

Total Liabilities

     26,818,390        10,257,788        4,137,610        2,742,878        2,392,409  

NET ASSETS

   $ 107,444,846      $ 33,857,129      $ 13,675,127      $ 60,081,785      $ 112,762,703  

NET ASSETS:

              

Paid-in capital

   $ 118,522,199      $ 33,057,857      $ 61,970,251      $ 75,554,005      $ 158,762,947  

Total distributable earnings (loss)

     (11,077,353      799,272        (48,295,124      (15,472,220      (46,000,244

NET ASSETS

   $ 107,444,846      $ 33,857,129      $ 13,675,127      $ 60,081,785      $ 112,762,703  

Outstanding beneficial interest shares of $0.001 par value (unlimited number of shares authorized)

     4,100,000        1,250,000        800,000        900,000        3,900,000  

Net asset value per share

   $ 26.21      $ 27.09      $ 17.09      $ 66.76      $ 28.91  

1 Includes market value of securities out on loan of:

                        $ 4,588,634         

2 Investments in securities include investment of cash collateral for securities loaned (see Schedule of Investments for additional information).

  

 

See Notes to Financial Statements.

 

128   WisdomTree Trust


Table of Contents

Statements of Assets and Liabilities (unaudited) (continued)

WisdomTree Trust

February 28, 2022

 

 

 

      WisdomTree
Floating Rate
Treasury Fund
     WisdomTree
Interest Rate
Hedged High
Yield Bond Fund
     WisdomTree
Interest Rate
Hedged U.S.
Aggregate
Bond Fund
     WisdomTree
Mortgage Plus
Bond Fund
     WisdomTree Yield
Enhanced U.S.
Aggregate Bond
Fund
 

ASSETS:

              

Investments, at cost

   $ 2,379,319,444      $ 228,026,385      $ 312,965,598      $ 39,288,736      $ 1,099,602,159  

Repurchase agreements, at cost

                   22,060,000               195,430,000  

Investments in securities, at value1,2 (Note 2)

     2,381,586,944        220,244,849        307,940,982        38,654,991        1,063,088,713  

Repurchase agreements, at value (Note 2)

                   22,060,000               195,430,000  

Cash

     90,084        4,988,430        627,953        11,462,351        1,731,989  

Deposits at broker for futures contracts

            1,665,825        5,803,308        29,840         

Deposits at broker for securities sold short

                                 477,000  

Receivables:

              

Investment securities sold3

     163,648,549               6,003,099        3,826,466        33,033,359  

Due from broker for securities sold short (Note 2)

                                 11,919,961  

Capital shares sold

     35,188,192                             1,025  

Securities lending income

            3,610        584               834  

Interest

     690,278        3,154,661        1,410,471        87,718        6,159,418  

Net variation margin on futures contracts

                          18,250         

Total Assets

     2,581,204,047        230,057,375        343,846,397        54,079,616        1,311,842,299  

LIABILITIES:

              

Securities sold short, at value4

                                 11,897,879  

Payables:

              

Cash collateral received for securities loaned (Note 2)

            12,988,548        1,605,325               6,802,218  

Investment securities purchased

     198,925,902               34,217,000        14,699,120        243,830,996  

Advisory fees (Note 3)

     249,604        71,750        50,200        13,584        97,094  

Service fees (Note 2)

     7,322        734        960        133        3,560  

Net variation margin on futures contracts

            1,033,777        2,769,031                

Interest on securities sold short

                                 15,053  

Total Liabilities

     199,182,828        14,094,809        38,642,516        14,712,837        262,646,800  

NET ASSETS

   $ 2,382,021,219      $ 215,962,566      $ 305,203,881      $ 39,366,779      $ 1,049,195,499  

NET ASSETS:

              

Paid-in capital

   $ 2,379,361,236      $ 247,629,661      $ 314,900,478      $ 40,587,416      $ 1,096,189,750  

Total distributable earnings (loss)

     2,659,983        (31,667,095      (9,696,597      (1,220,637      (46,994,251

NET ASSETS

   $ 2,382,021,219      $ 215,962,566      $ 305,203,881      $ 39,366,779      $ 1,049,195,499  

Outstanding beneficial interest shares of $0.001 par value (unlimited number of shares authorized)

     47,387,500      10,000,000        6,600,000        800,000        21,200,000  

Net asset value per share

   $ 50.27    $ 21.60      $ 46.24      $ 49.21      $ 49.49  

*   Shares outstanding and net asset value per share were adjusted to reflect a 1:2 reverse stock split effective March 24, 2022 (Note 7).

    

1 Includes market value of securities out on loan of:

          $ 12,664,710      $ 3,987,587             $ 6,564,062  

2 Investments in securities include investment of cash collateral for securities loaned (see Schedule of Investments for additional information).

  

3 Includes market value of securities out on loan, which were sold and pending settlement, of:

                 $ 22,280             $ 440,721  

4 Securities sold short, proceeds:

                               $ 11,904,908  

 

See Notes to Financial Statements.

 

WisdomTree Trust      129  


Table of Contents

Statements of Assets and Liabilities (unaudited) (continued)

WisdomTree Trust

February 28, 2022

 

 

 

      WisdomTree
Yield Enhanced
U.S. Short-Term
Aggregate
Bond Fund
     WisdomTree
Alternative
Income Fund
     WisdomTree
CBOE S&P 500
PutWrite
Strategy Fund
     WisdomTree
Efficient Gold
Plus Gold Miners
Strategy Fund

(consolidated)
     WisdomTree
Enhanced
Commodity
Strategy Fund

(consolidated)
 

ASSETS:

              

Investments, at cost

   $ 156,263,602      $ 8,132,362      $ 76,404,398      $ 3,627,681      $ 212,155,999  

Investment in affiliates, at cost (Note 3)

                   4,046,520               12,531,362  

Foreign currency, at cost

                          405         

Investments in securities, at value1,2 (Note 2)

     152,599,429        7,442,492        76,414,218        3,900,715        212,147,857  

Investment in affiliates, at value (Note 3)

                   4,055,404               12,536,201  

Cash

     168,974        19,013        14,597,584        281,300        47,795,658  

Deposits at broker for futures contracts

                          102,001        7,182,689  

Foreign currency, at value

                          441         

Unrealized appreciation on foreign currency contracts

                          4         

Receivables:

              

Investment securities sold

     10,728,550                      122,765         

Capital shares sold

                   1,065        1,473,224         

Dividends

            9,629               2,663         

Interest

     577,023                              

Net variation margin on futures contracts

                                 1,040,314  

Total Assets

     164,073,976        7,471,134        95,068,271        5,883,113        280,702,719  

LIABILITIES:

              

Unrealized depreciation on foreign currency contracts

                          11         

Written options, at value3

                   2,112,420                

Payables:

              

Cash collateral received for securities loaned (Note 2)

            3,800                       

Investment securities purchased

     20,402,314                      1,417,769        1,004,763  

Advisory fees (Note 3)

     13,226        2,923        28,986        881        108,492  

Service fees (Note 2)

     485        26        294               793  

Net variation margin on futures contracts

                          44,866         

Total Liabilities

     20,416,025        6,749        2,141,700        1,463,527        1,114,048  

NET ASSETS

   $ 143,657,951      $ 7,464,385      $ 92,926,571      $ 4,419,586      $ 279,588,671  

NET ASSETS:

              

Paid-in capital

   $ 147,833,071      $ 8,453,786      $ 101,853,476      $ 3,999,097      $ 250,613,383  

Total distributable earnings (loss)

     (4,175,120      (989,401      (8,926,905      420,489        28,975,288  

NET ASSETS

   $ 143,657,951      $ 7,464,385      $ 92,926,571      $ 4,419,586      $ 279,588,671  

Outstanding beneficial interest shares of $0.001 par value (unlimited number of shares authorized)

     2,900,000        320,000        2,750,000        150,000        11,950,000  

Net asset value per share

   $ 49.54      $ 23.33      $ 33.79      $ 29.46      $ 23.40  

1 Includes market value of securities out on loan of:

          $ 3,718                       

2 Investments in securities include investment of cash collateral for securities loaned (see Schedule of Investments for additional information).

  

3 Premiums received on written options:

                 $ 2,682,380                

 

See Notes to Financial Statements.

 

130   WisdomTree Trust


Table of Contents

Statements of Assets and Liabilities (unaudited) (concluded)

WisdomTree Trust

February 28, 2022

 

 

 

     

WisdomTree
Managed

Futures
Strategy Fund

(consolidated)

     WisdomTree
Target Range
Fund
 

ASSETS:

     

Investments, at cost

   $ 117,611,678      $ 21,453,537  

Investment in affiliates, at cost (Note 3)

     6,047,350         

Investments in securities, at value

     117,610,254        20,753,915  

Investment in affiliates, at value (Note 3)

     6,060,753         

Cash

     19,548,142        5,550,955  

Deposits at broker for futures contracts

     788,479         

Foreign currency, at value

     3,296         

Receivables:

     

Net variation margin on futures contracts

     846,977         

Total Assets

     144,857,901        26,304,870  

LIABILITIES:

     

Written options, at value1

            300,940  

Payables:

     

Advisory fees (Note 3)

     71,923        12,754  

Service fees (Note 2)

     492        80  

Total Liabilities

     72,415        313,774  

NET ASSETS

   $ 144,785,486      $ 25,991,096  

NET ASSETS:

     

Paid-in capital

   $ 182,879,311      $ 27,130,844  

Total distributable earnings (loss)

     (38,093,825      (1,139,748

NET ASSETS

   $ 144,785,486      $ 25,991,096  

Outstanding beneficial interest shares of $0.001 par value (unlimited number of shares authorized)

     4,100,000        1,075,000  

Net asset value per share

   $ 35.31      $ 24.18  

1 Premiums received on written options:

          $ 444,379  

 

See Notes to Financial Statements.

 

WisdomTree Trust      131  


Table of Contents

Statements of Operations (unaudited)

WisdomTree Trust

For the Six Months Ended February 28, 2022

 

 

 

      WisdomTree
Bloomberg
U.S. Dollar
Bullish Fund
     WisdomTree
Chinese Yuan
Strategy Fund
     WisdomTree
Emerging
Currency
Strategy Fund
     WisdomTree
Emerging
Markets
Corporate
Bond Fund
     WisdomTree
Emerging
Markets Local
Debt Fund
 

INVESTMENT INCOME:

              

Interest

   $ 37,636      $ 9,660      $ 3,613      $ 1,245,297      $ 3,748,296  

Securities lending income, net (Note 2)

                          4,690        11  

Less: Foreign withholding taxes

                          (1,193      (77,980

Total investment income

     37,636        9,660        3,613        1,248,794        3,670,327  

EXPENSES:

              

Advisory fees (Note 3)

     336,665        86,596        38,596        178,078        333,716  

Service fees (Note 2)

     2,963        847        309        1,306        2,670  

Total expenses

     339,628        87,443        38,905        179,384        336,386  

Expense waivers (Note 3)

     (4,329      (1,288      (452              

Net expenses

     335,299        86,155        38,453        179,384        336,386  

Net investment income (loss)

     (297,663      (76,495      (34,840      1,069,410        3,333,941  

NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:

              

Net realized gain (loss) from:

              

Investment transactions1

     (4,115      (429      (74      (146,488      (3,197,496

Investment transactions in affiliates (Note 3)

     (921      (201      (88              

In-kind redemptions

                                 (334,294

Capital gain distributions from affiliates (Note 3)

     489        152        47                

Futures contracts

                          219,165         

Foreign currency contracts

     5,076,874        1,100,823        (553,153             (303,629

Foreign currency related transactions

            1                      (184,556

Net realized gain (loss)

     5,072,327        1,100,346        (553,268      72,677        (4,019,975

Net increase (decrease) in unrealized appreciation/depreciation:

              

Investment transactions2

     (4,786      (1,547      (628      (8,155,913      (10,926,068

Investment transactions in affiliates (Note 3)

     6,777        2,039        677                

Futures contracts

                          (51,203       

Foreign currency contracts

     (1,118,991      371,593        (259,710             245,292  

Translation of assets and liabilities denominated in foreign currencies

                                 (127,321

Net increase/(decrease) in unrealized appreciation/depreciation

     (1,117,000      372,085        (259,661      (8,207,116      (10,808,097

Net realized and unrealized gain (loss) on investments

     3,955,327        1,472,431        (812,929      (8,134,439      (14,828,072

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

   $ 3,657,664      $ 1,395,936      $ (847,769    $ (7,065,029    $ (11,494,131

1 Net of foreign capital gains tax of:

                               $ 42,248  

2 Includes net increase (decrease) in accrued foreign capital gain taxes of:

                               $ (61,318

 

See Notes to Financial Statements.

 

132   WisdomTree Trust


Table of Contents

Statements of Operations (unaudited) (continued)

WisdomTree Trust

For the Six Months Ended February 28, 2022

 

 

 

      WisdomTree
Floating Rate
Treasury Fund
     WisdomTree
Interest Rate
Hedged High
Yield Bond Fund
     WisdomTree
Interest Rate
Hedged U.S.
Aggregate
Bond Fund
     WisdomTree
Mortgage Plus
Bond Fund
     WisdomTree Yield
Enhanced U.S.
Aggregate Bond
Fund
 

INVESTMENT INCOME:

              

Interest

   $ 1,244,380      $ 4,388,809      $ 1,832,156      $ 256,136      $ 9,271,753  

Securities lending income, net (Note 2)

            17,235        1,885               5,544  

Total investment income

     1,244,380        4,406,044        1,834,041        256,136        9,277,297  

EXPENSES:

              

Advisory fees (Note 3)

     1,228,624        415,674        272,520        89,679        649,140  

Service fees (Note 2)

     36,040        4,253        5,213        877        23,802  

Total expenses

     1,264,664        419,927        277,733        90,556        672,942  

Net investment income (loss)

     (20,284      3,986,117        1,556,308        165,580        8,604,355  

NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:

              

Net realized gain (loss) from:

              

Investment transactions

     393,984        45,753        (683,449      (402,475      (8,677,997

In-kind redemptions

     19,149        1,370,395                      (108,997

Futures contracts

            6,177,250        11,063,892        13,995         

Securities sold short

                                 34,316  

Net realized gain (loss)

     413,133        7,593,398        10,380,443        (388,480      (8,752,678

Net increase (decrease) in unrealized appreciation/depreciation:

              

Investment transactions

     1,976,879        (12,367,523      (10,933,208      (899,974      (55,466,054

Futures contracts

            (984,701      (2,356,507      20,903         

Securities sold short

                                 17,449  

Net increase (decrease) in unrealized appreciation/depreciation

     1,976,879        (13,352,224      (13,289,715      (879,071      (55,448,605

Net realized and unrealized gain (loss) on investments

     2,390,012        (5,758,826      (2,909,272      (1,267,551      (64,201,283

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

   $ 2,369,728      $ (1,772,709    $ (1,352,964    $ (1,101,971    $ (55,596,928

 

See Notes to Financial Statements.

 

WisdomTree Trust      133  


Table of Contents

Statements of Operations (unaudited) (continued)

WisdomTree Trust

For the Six Months or Period Ended February 28, 2022

 

 

 

      WisdomTree
Yield Enhanced
U.S. Short-Term
Aggregate
Bond Fund
     WisdomTree
Alternative
Income Fund
     WisdomTree
CBOE S&P 500
PutWrite
Strategy Fund
     WisdomTree
Efficient Gold
Plus Gold Miners
Strategy  Fund1

(consolidated)
     WisdomTree
Enhanced
Commodity
Strategy Fund

(consolidated)
 

INVESTMENT INCOME:

              

Dividends

   $      $ 340,363      $      $ 3,394      $  

Interest

     807,193               21,320               34,238  

Less: Foreign withholding taxes

                          (293       

Total investment income

     807,193        340,363        21,320        3,101        34,238  

EXPENSES:

              

Advisory fees (Note 3)

     98,584        27,884        158,989        1,660        582,398  

Service fees (Note 2)

     3,615        245        1,590        16        4,659  

Total expenses

     102,199        28,129        160,579        1,676        587,057  

Expense waivers (Note 3)

                   (2,380             (6,884

Net expenses

     102,199        28,129        158,199        1,676        580,173  

Net investment income (loss)

     704,994        312,234        (136,879      1,425        (545,935

NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:

              

Net realized gain (loss) from:

              

Investment transactions

     (615,978      (88,943      (2,731      8,135        (1,254

Investment transactions in affiliates (Note 3)

                                 (1,686

In-kind redemptions

     22,127        (135,838                     

Capital gain distributions from affiliates (Note 3)

                   259               725  

Futures contracts

     31,290                      40,283        18,802,603  

Written options

                   2,278,846                

Foreign currency contracts

                          2,824         

Foreign currency related transactions

                          (2,798       

Net realized gain (loss)

     (562,561      (224,781      2,276,374        48,444        18,800,388  

Net increase (decrease) in unrealized appreciation/depreciation:

              

Investment transactions

     (4,633,665      (741,439      9,672        273,034        (9,080

Investment transactions in affiliates (Note 3)

                   3,171               9,538  

Futures contracts

                          97,557        16,909,817  

Written options

                   (135,510              

Foreign currency contracts

                          (7       

Translation of assets and liabilities denominated in foreign currencies

                          36         

Net increase (decrease) in unrealized appreciation/depreciation

     (4,633,665      (741,439      (122,667      370,620        16,910,275  

Net realized and unrealized gain (loss) on investments

     (5,196,226      (966,220      2,153,707        419,064        35,710,663  

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

   $ (4,491,232    $ (653,986    $ 2,016,828      $ 420,489      $ 35,164,728  

1 For the period December 16, 2021 (commencement of operations) through February 28, 2022.

  

        

 

See Notes to Financial Statements.

 

134   WisdomTree Trust


Table of Contents

Statements of Operations (unaudited) (concluded)

WisdomTree Trust

For the Six Months or Period Ended February 28, 2022

 

 

 

      WisdomTree
Managed
Futures
Strategy Fund

(consolidated)
     WisdomTree
Target Range
Fund1
 

INVESTMENT INCOME:

     

Interest

   $ 22,699      $ 799  

Total investment income

     22,699        799  

EXPENSES:

     

Advisory fees (Note 3)

     475,228        26,827  

Service fees (Note 2)

     3,216        169  

Total expenses

     478,444        26,996  

Expense waivers (Note 3)

     (4,494       

Net expenses

     473,950        26,996  

Net investment loss

     (451,251      (26,197

NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:

     

Net realized loss from:

     

Investment transactions

     (2,117      (16,100

Investment transactions in affiliates (Note 3)

     (422       

Capital gain distributions from affiliates (Note 3)

     506         

Purchased options

            (550,863

Futures contracts

     (4,084,360       

Written options

            9,595  

Foreign currency related transactions

     (2,602       

Net realized loss

     (4,088,995      (557,368

Net increase (decrease) in unrealized appreciation/depreciation:

     

Investment transactions

     (1,031      (699,622

Investment transactions in affiliates (Note 3)

     7,204         

Futures contracts

     457,631         

Written options

            143,439  

Translation of assets and liabilities denominated in foreign currencies

     2,539         

Net increase (decrease) in unrealized appreciation/depreciation

     466,343        (556,183

Net realized and unrealized loss on investments

     (3,622,652      (1,113,551

NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS

   $ (4,073,903    $ (1,139,748

1 For the period October 7, 2021 (commencement of operations) through February 28, 2022.

     

 

See Notes to Financial Statements.

 

WisdomTree Trust      135  


Table of Contents

Statements of Changes in Net Assets

WisdomTree Trust

 

 

 

 

     WisdomTree Bloomberg
U.S. Dollar Bullish Fund
    WisdomTree Chinese
Yuan Strategy Fund
    WisdomTree Emerging
Currency Strategy Fund
 
    

For the
Six Months Ended
February 28, 2022

(unaudited)

    For the
Year Ended
August 31, 2021
   

For the
Six Months Ended
February 28, 2022

(unaudited)

    For the
Year Ended
August 31, 2021
   

For the
Six Months Ended
February 28, 2022

(unaudited)

    For the
Year Ended
August 31, 2021
 

INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS:

 

       

Net investment loss

  $ (297,663   $ (443,952   $ (76,495   $ (172,964   $ (34,840   $ (75,889

Net realized gain (loss) on investments and foreign currency contracts

    5,072,327       (2,825,698     1,100,346       3,481,168       (553,268     511,564  

Net increase (decrease) in unrealized appreciation/depreciation on investments and foreign currency contracts

    (1,117,000     1,984,623       372,085       (767,212     (259,661     74,129  

Net increase (decrease) in net assets resulting from operations

    3,657,664       (1,285,027     1,395,936       2,540,992       (847,769     509,804  

DISTRIBUTIONS TO SHAREHOLDERS:

           

Distributable earnings

          (526,430     (2,437,806     (150,971           (106,263

CAPITAL SHARE TRANSACTIONS:

           

Net proceeds from sale of shares

    36,575,521       153,829,112             30,039,799       3,566,400       9,013,146  

Cost of shares redeemed

    (75,956,418     (92,800,455     (8,266,699     (13,771,152     (1,775,536     (7,216,742

Net increase (decrease) in net assets resulting from capital share transactions

    (39,380,897     61,028,657       (8,266,699     16,268,647       1,790,864       1,796,404  

Net Increase (Decrease) in Net Assets

    (35,723,233     59,217,200       (9,308,569     18,658,668       943,095       2,199,945  

NET ASSETS:

           

Beginning of period

  $ 143,168,079     $ 83,950,879     $ 43,165,698     $ 24,507,030     $ 12,732,032     $ 10,532,087  

End of period

  $ 107,444,846     $ 143,168,079     $ 33,857,129     $ 43,165,698     $ 13,675,127     $ 12,732,032  

SHARES CREATED AND REDEEMED:

           

Shares outstanding, beginning of period

    5,600,000       3,200,000       1,550,000       950,000       700,000       600,000  

Shares created

    1,400,000       6,050,000             1,100,000       200,000       500,000  

Shares redeemed

    (2,900,000     (3,650,000     (300,000     (500,000     (100,000     (400,000

Shares outstanding, end of period

    4,100,000       5,600,000       1,250,000       1,550,000       800,000       700,000  

 

See Notes to Financial Statements.

 

136   WisdomTree Trust


Table of Contents

Statements of Changes in Net Assets (continued)

WisdomTree Trust

 

 

 

 

    

WisdomTree Emerging Markets

Corporate Bond Fund

    WisdomTree Emerging
Markets Local Debt Fund
   

WisdomTree Floating Rate

Treasury Fund

 
    

For the
Six Months Ended
February 28, 2022

(unaudited)

    For the
Year Ended
August 31, 2021
   

For the
Six Months Ended
February 28, 2022

(unaudited)

    For the
Year Ended
August 31, 2021
   

For the
Six Months Ended
February 28, 2022

(unaudited)

    For the
Year Ended
August 31, 2021
 

INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS:

 

Net investment income (loss)

  $ 1,069,410     $ 1,620,791     $ 3,333,941     $ 6,618,940     $ (20,284   $ (234,781

Net realized gain (loss) on investments, futures contracts, foreign currency contracts and foreign currency related transactions

    72,677       969,599       (4,019,975     (5,109,700     413,133       1,696,997  

Net increase (decrease) in unrealized appreciation/depreciation on investments, futures contracts, foreign currency contracts and translation of assets and liabilities denominated in foreign currencies

    (8,207,116     (449,926     (10,808,097     3,202,750       1,976,879       (1,459,432

Net increase (decrease) in net assets resulting from operations

    (7,065,029     2,140,464       (11,494,131     4,711,990       2,369,728       2,784  

DISTRIBUTIONS TO SHAREHOLDERS:

           

Distributable earnings

    (1,088,750     (1,598,500     (2,848,500     (2,002,000     (154,560     (570,446

Tax return of capital

                      (4,188,000            

Total distributions to shareholders

    (1,088,750     (1,598,500     (2,848,500     (6,190,000     (154,560     (570,446

CAPITAL SHARE TRANSACTIONS:

           

Net proceeds from sale of shares

    14,956,637       30,620,672             25,096,209       1,435,166,619       367,233,859  

Cost of shares redeemed

          (7,539,093     (7,678,205     (16,353,201     (141,815,681     (772,150,883

Net increase (decrease) in net assets resulting from capital share transactions

    14,956,637       23,081,579       (7,678,205     8,743,008       1,293,350,938       (404,917,024

Net Increase (Decrease) in Net Assets

    6,802,858       23,623,543       (22,020,836     7,264,998       1,295,566,106       (405,484,686

NET ASSETS:

           

Beginning of period

  $ 53,278,927     $ 29,655,384     $ 134,783,539     $ 127,518,541     $ 1,086,455,113     $ 1,491,939,799  

End of period

  $ 60,081,785     $ 53,278,927     $ 112,762,703     $ 134,783,539     $ 2,382,021,219     $ 1,086,455,113  

SHARES CREATED AND REDEEMED:

           

Shares outstanding, beginning of period

    700,000       400,000       4,150,000       3,900,000       21,637,500 1      29,700,000 1 

Shares created

    200,000       400,000             750,000       28,575,000 1      7,312,500 1 

Shares redeemed

          (100,000     (250,000     (500,000     (2,825,000 )1      (15,375,000 )1 

Shares outstanding, end of period

    900,000       700,000       3,900,000       4,150,000       47,387,500 1      21,637,500 1 

1 Shares were adjusted to reflect a 1:2 reverse stock split effective March 24, 2022 (Note 7).

  

 

See Notes to Financial Statements.

 

WisdomTree Trust      137  


Table of Contents

Statements of Changes in Net Assets (continued)

WisdomTree Trust

 

 

 

 

    

WisdomTree Interest Rate Hedged

High Yield Bond Fund

   

WisdomTree Interest Rate Hedged

U.S. Aggregate Bond Fund

    WisdomTree Mortgage
Plus Bond Fund
 
    

For the
Six Months Ended
February 28, 2022

(unaudited)

    For the
Year Ended
August 31, 2021
   

For the
Six Months Ended
February 28, 2022

(unaudited)

    For the
Year Ended
August 31, 2021
   

For the
Six Months Ended
February 28, 2022

(unaudited)

    For the
Year Ended
August 31, 2021
 

INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS:

 

Net investment income

  $ 3,986,117     $ 5,944,241     $ 1,556,308     $ 1,997,868     $ 165,580     $ 308,414  

Net realized gain (loss) on investments and futures contracts

    7,593,398       4,366,387       10,380,443       840,702       (388,480     204,462  

Net increase (decrease) in unrealized appreciation/depreciation on investments and futures contracts

    (13,352,224     229,901       (13,289,715     (1,479,089     (879,071     (182,614

Net increase from payment by affiliate

          53,005                          

Net increase (decrease) in net assets resulting from operations

    (1,772,709     10,593,534       (1,352,964     1,359,481       (1,101,971     330,262  

DISTRIBUTIONS TO SHAREHOLDERS:

           

Distributable earnings

    (3,988,500     (5,948,000     (1,947,875     (2,402,000     (284,800     (825,209

Tax return of capital

                                  (3,401

Total distributions to shareholders

    (3,988,500     (5,948,000     (1,947,875     (2,402,000     (284,800     (828,610

CAPITAL SHARE TRANSACTIONS:

           

Net proceeds from sale of shares

    85,935,679       94,738,737       93,175,127       145,849,677             10,265,975  

Cost of shares redeemed

    (30,659,065     (61,314,239           (23,565,595           (102

Net increase in net assets resulting from capital share transactions

    55,276,614       33,424,498       93,175,127       122,284,082             10,265,873  

Net Increase (Decrease) in Net Assets

    49,515,405       38,070,032       89,874,288       121,241,563       (1,386,771     9,767,525  

NET ASSETS:

           

Beginning of period

  $ 166,447,161     $ 128,377,129     $ 215,329,593     $ 94,088,030     $ 40,753,550     $ 30,986,025  

End of period

  $ 215,962,566     $ 166,447,161     $ 305,203,881     $ 215,329,593     $ 39,366,779     $ 40,753,550  

SHARES CREATED AND REDEEMED:

           

Shares outstanding, beginning of period

    7,500,000       6,000,000       4,600,000       2,000,000       800,000       600,002  

Shares created

    3,900,000       4,300,000       2,000,000       3,100,000             200,000  

Shares redeemed

    (1,400,000     (2,800,000           (500,000           (2

Shares outstanding, end of period

    10,000,000       7,500,000       6,600,000       4,600,000       800,000       800,000  

 

See Notes to Financial Statements.

 

138   WisdomTree Trust


Table of Contents

Statements of Changes in Net Assets (continued)

WisdomTree Trust

 

 

 

 

    

WisdomTree Yield Enhanced

U.S. Aggregate Bond Fund

   

WisdomTree Yield Enhanced

U.S. Short-Term Aggregate Bond Fund

   

WisdomTree Alternative

Income Fund

 
     For the
Six Months Ended
February 28, 2022
(unaudited)
    For the
Year Ended
August 31, 2021
    For the
Six Months Ended
February 28, 2022
(unaudited)
    For the
Year Ended
August 31, 2021
    For the
Six Months Ended
February 28, 2022
(unaudited)
    For the Period
May 6, 2021*
through
August 31, 2021
 

INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS:

 

Net investment income

  $ 8,604,355     $ 18,777,402     $ 704,994     $ 1,559,946     $ 312,234     $ 63,655  

Net realized gain (loss) on investments, futures contracts and securities sold short

    (8,752,678     12,938,699       (562,561     1,660,355       (224,781     17,301  

Net increase (decrease) in unrealized appreciation/depreciation on investments and securities sold short

    (55,448,605     (32,422,665     (4,633,665     (2,118,880     (741,439     51,569  

Net increase (decrease) in net assets resulting from operations

    (55,596,928     (706,564     (4,491,232     1,101,421       (653,986     132,525  

DISTRIBUTIONS TO SHAREHOLDERS:

           

Distributable earnings

    (10,808,754     (31,052,127     (882,066     (2,117,289     (454,690      

CAPITAL SHARE TRANSACTIONS:

           

Net proceeds from sale of shares

    61,949,393       132,305,854             128,299,583       3,581,347       10,694,617  

Cost of shares redeemed

    (35,423,281     (327,328,491     (50,770,736     (41,010,874     (5,323,334     (512,194

Net increase (decrease) in net assets resulting from capital share transactions

    26,526,112       (195,022,637     (50,770,736     87,288,709       (1,741,987     10,182,423  

Net Increase (Decrease) in Net Assets

    (39,879,570     (226,781,328     (56,144,034     86,272,841       (2,850,663     10,314,948  

NET ASSETS:

           

Beginning of period

  $ 1,089,075,069     $ 1,315,856,397     $ 199,801,985     $ 113,529,144     $ 10,315,048     $ 100  

End of period

  $ 1,049,195,499     $ 1,089,075,069     $ 143,657,951     $ 199,801,985     $ 7,464,385     $ 10,315,048  

SHARES CREATED AND REDEEMED:

           

Shares outstanding, beginning of period

    20,700,000       24,400,000       3,900,000       2,200,000       400,000       4  

Shares created

    1,200,000       2,500,000             2,500,000       140,000       420,000  

Shares redeemed

    (700,000     (6,200,000     (1,000,000     (800,000     (220,000     (20,004

Shares outstanding, end of period

    21,200,000       20,700,000       2,900,000       3,900,000       320,000       400,000  
*

Commencement of operations. The commencement of operations date is considered to be the date that the Fund began trading in the secondary market.

 

See Notes to Financial Statements.

 

WisdomTree Trust      139  


Table of Contents

Statements of Changes in Net Assets (continued)

WisdomTree Trust

 

 

 

 

     WisdomTree CBOE
S&P 500 PutWrite Strategy Fund
    WisdomTree Efficient
Gold Plus Gold Miners Strategy Fund

(consolidated)
   

WisdomTree Enhanced

Commodity Strategy  Fund
(consolidated)1

 
     For the
Six Months Ended
February 28, 2022
(unaudited)
   

For the
Year Ended

August 31, 2021

   

For the Period
December 16, 2021*
through

February 28, 2022

(unaudited)

    For the
Six Months Ended
February 28, 2022
(unaudited)
    For the Period
December 19, 2020
through
August 31, 2021
   

For the Period

January 1, 2020

through

December 18, 2020

 

INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS:

 

 

Net investment income (loss)

  $ (136,879   $ (375,344   $ 1,425     $ (545,935   $ (574,509   $ (149,249

Net realized gain on investments, futures contracts, written options, foreign currency contracts and foreign currency related transactions

    2,276,374       22,765,113       48,444       18,800,388       11,589,238       1,656,944  

Net increase (decrease) in unrealized appreciation/depreciation on investments, futures contracts, written options, foreign currency contracts and translation of assets and liabilities denominated in foreign currencies

    (122,667     (527,977     370,620       16,910,275       10,245,015       (6,172,459

Net increase from payment by affiliate

                            6,934       13,626  

Net increase in net assets resulting from operations

    2,016,828       21,861,792       420,489       35,164,728       21,266,678       (4,651,138

DISTRIBUTIONS TO SHAREHOLDERS:

           

Distributable earnings

          (1,532,213           (18,086,292            

CAPITAL SHARE TRANSACTIONS:

           

Net proceeds from sale of shares

    32,047,730       7,868,162       3,999,095       99,753,650       95,736,950       29,910,736  

Cost of shares redeemed

    (5,078,068     (81,482,203     (98     (30,795,078     (22,784,541     (53,762,865

Net increase (decrease) in net assets resulting from capital share transactions

    26,969,662       (73,614,041     3,998,997       68,958,572       72,952,409       (23,852,129

Net Increase (Decrease) in Net Assets

    28,986,490       (53,284,462     4,419,486       86,037,008       94,219,087       (28,503,267

NET ASSETS:

           

Beginning of period

  $ 63,940,081     $ 117,224,543     $ 100     $ 193,551,663     $ 99,332,576     $ 127,835,843  

End of period

  $ 92,926,571     $ 63,940,081     $ 4,419,586     $ 279,588,671     $ 193,551,663     $ 99,332,576  

SHARES CREATED AND REDEEMED:

           

Shares outstanding, beginning of period

    1,950,000       4,400,000       4       8,750,000       5,300,050       6,800,050  

Shares created

    950,000       250,000       150,000       4,650,000       4,500,000       1,600,000  

Shares redeemed

    (150,000     (2,700,000     (4     (1,450,000     (1,050,050     (3,100,000

Shares outstanding, end of period

    2,750,000       1,950,000       150,000       11,950,000       8,750,000       5,300,050  
*

Commencement of operations. The commencement of operations date is considered to be the date that the Fund began trading in the secondary market.

1 

After the close of business on December 18, 2020, the WisdomTree Continuous Commodity Index Fund (the “Predecessor Fund”), a commodity pool that was not registered under the Investment Company Act of 1940, as amended (“1940 Act”), was reorganized into the WisdomTree Enhanced Commodity Strategy Fund (the “Successor Fund”), an investment company registered under the 1940 Act. The Successor Fund adopted the financial information for the Predecessor Fund. Accordingly, information presented prior to the close of business on December 18, 2020 is that of the Predecessor Fund prior to the reorganization into a regulated investment company under the 1940 Act.

 

See Notes to Financial Statements.

 

140   WisdomTree Trust


Table of Contents

Statements of Changes in Net Assets (concluded)

WisdomTree Trust

 

 

 

 

      WisdomTree Managed
Futures Strategy Fund

(consolidated)
     WisdomTree
Target Range
Fund
 
      For the
Six Months Ended
February 28, 2022
(unaudited)
     For the
Year Ended
August 31, 2021
     For the Period
October 7, 2021*
through
February 28, 2022
(unaudited)
 

INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS:

 

Net investment loss

   $ (451,251    $ (749,432    $ (26,197

Net realized gain (loss) on investments, purchased options, futures contracts, written options and foreign currency related transactions

     (4,088,995      19,281,571        (557,368

Net increase (decrease) in unrealized appreciation/depreciation on investments, futures contracts, written options and translation of assets and liabilities denominated in foreign currencies

     466,343        1,246,537        (556,183

Net increase from payment by affiliate

            1,478         

Net increase (decrease) in net assets resulting from operations

     (4,073,903      19,780,154        (1,139,748

DISTRIBUTIONS TO SHAREHOLDERS:

 

Distributable earnings

     (18,766,008      (535,804       

CAPITAL SHARE TRANSACTIONS:

 

Net proceeds from sale of shares

     50,276,265        55,450,686        27,130,844  

Cost of shares redeemed

     (29,651,375      (40,687,188      (100

Net increase in net assets resulting from capital share transactions

     20,624,890        14,763,498        27,130,744  

Net Increase (Decrease) in Net Assets

     (2,215,021      34,007,848        25,990,996  

NET ASSETS:

 

Beginning of period

   $ 147,000,507      $ 112,992,659      $ 100  

End of period

   $ 144,785,486      $ 147,000,507      $ 25,991,096  

SHARES CREATED AND REDEEMED:

 

Shares outstanding, beginning of period

     3,550,000        3,200,000        4  

Shares created

     1,400,000        1,400,000        1,075,000  

Shares redeemed

     (850,000      (1,050,000      (4

Shares outstanding, end of period

     4,100,000        3,550,000        1,075,000  
*

Commencement of operations. The commencement of operations date is considered to be the date that the Fund began trading in the secondary market.

 

See Notes to Financial Statements.

 

WisdomTree Trust      141  


Table of Contents

Financial Highlights

WisdomTree Trust

Selected data for a share of beneficial interest outstanding throughout the period is presented below:

 

 

WisdomTree Bloomberg
U.S. Dollar Bullish Fund
  For the
Six Months Ended
February 28, 2022
(unaudited)
    For the
Year Ended
August 31, 2021
    For the
Year Ended
August 31, 2020
    For the
Year Ended
August 31, 2019
    For the
Year Ended
August 31, 2018
    For the
Year Ended
August 31, 2017
 

Net asset value, beginning of period

  $ 25.57     $ 26.23     $ 28.11     $ 26.73     $ 25.64     $ 26.34  

Investment operations:

           

Net investment income (loss)1

    (0.06     (0.12     0.05       0.47       0.21       0.00 2 

Net realized and unrealized gain (loss)

    0.70       (0.37     (1.11     1.15       0.88 3      (0.70

Total from investment operations

    0.64       (0.49     (1.06     1.62       1.09       (0.70

Dividends to shareholders:

           

Net investment income

          (0.17     (0.82     (0.24            

Net asset value, end of period

  $ 26.21     $ 25.57     $ 26.23     $ 28.11     $ 26.73     $ 25.64  

TOTAL RETURN4

    2.50     (1.85 )%      (3.87 )%      6.09     4.25 %5      (2.66 )% 

RATIOS/SUPPLEMENTAL DATA:

           

Net assets, end of period (000’s omitted)

  $ 107,445     $ 143,168     $ 83,951     $ 44,974     $ 90,884     $ 138,462  

Ratios to average net assets of:

           

Expenses

    0.50 %6,7,8      0.50 %7,8      0.50 %7,8      0.50 %7,8      0.50 %7,8      0.50

Net investment income (loss)

    (0.44 )%6,8      (0.45 )%8      0.19 %8      1.71 %8      0.83 %8      0.00 %9 

Portfolio turnover rate10

    9 %11      55 %11      266 %11      23 %11      0     0
           

WisdomTree Chinese Yuan

Strategy Fund

  For the
Six Months Ended
February 28, 2022
(unaudited)
    For the
Year Ended
August 31, 2021
    For the
Year Ended
August 31, 2020
    For the
Year Ended
August 31, 2019
    For the
Year Ended
August 31, 2018
    For the
Year Ended
August 31, 2017
 

Net asset value, beginning of period

  $ 27.85     $ 25.80     $ 24.80     $ 25.49     $ 25.54     $ 24.42  

Investment operations:

           

Net investment income (loss)1

    (0.05     (0.11     0.15       0.47       0.24       0.02  

Net realized and unrealized gain (loss)

    1.03       2.27       1.36       (0.87     (0.29     1.10  

Total from investment operations

    0.98       2.16       1.51       (0.40     (0.05     1.12  

Dividends and distributions to shareholders:

           

Net investment income

          (0.11     (0.51     (0.29            

Capital gains

    (1.74                              

Total dividends and distributions to shareholders

    (1.74     (0.11     (0.51     (0.29            

Net asset value, end of period

  $ 27.09     $ 27.85     $ 25.80     $ 24.80     $ 25.49     $ 25.54  

TOTAL RETURN4

    3.61     8.39     6.16     (1.59 )%      (0.20 )%      4.59

RATIOS/SUPPLEMENTAL DATA:

           

Net assets, end of period (000’s omitted)

  $ 33,857     $ 43,166     $ 24,507     $ 26,044     $ 31,861     $ 38,312  

Ratios to average net assets of:

           

Expenses

    0.45 %6,7,8      0.45 %7,8      0.45 %7,8      0.45 %7,8      0.45 %7,8      0.45

Net investment income (loss)

    (0.40 )%6,8      (0.41 )%8      0.60 %8      1.82 %8      0.92 %8      0.09

Portfolio turnover rate10

    0     25 %11      0     0     0     0
1 

Based on average shares outstanding.

 

2 

Amount represents less than $0.005.

 

3 

Includes a voluntary reimbursement from the sub-advisor of less than $0.01 per share for investment losses on certain foreign currency transactions during the fiscal year ended August 31, 2018.

 

4 

Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period and redemption on the last day of the period. Total return calculated for a period of less than one year is not annualized. For the periods in which the investment advisor waived advisory fees, the total return would have been lower if certain expenses had not been waived (Notes 2 and 3).

 

5 

Includes a voluntary reimbursement from the sub-advisor for investment losses on certain foreign currency contract transactions during the period. Excluding this voluntary reimbursement, total return would have been unchanged.

 

6 

Annualized.

 

7 

The expense ratio includes investment advisory fee waivers. Without these investment advisory fee waivers, the expense ratio would have been unchanged.

 

8 

The ratios to average net assets do not include net investment income (loss) or expenses of other funds in which the Fund invests.

 

9 

Amount represents less than 0.005%.

 

10 

Portfolio turnover rate is not annualized for fiscal periods less than one year and excludes the value of the portfolio securities received or delivered as a result of in-kind creations or redemptions of the Fund’s capital shares. Short-term securities with maturities less than or equal to 365 days are excluded from the portfolio turnover calculation.

 

11 

During the periods noted, the Fund invested in the WisdomTree Floating Rate Treasury Fund which is considered a long term security for purposes of computing the portfolio turnover rate. During the periods noted, the WisdomTree Floating Rate Fund was the only long-term security held or transacted in the portfolio, as a result, the variability in the portfolio turnover was primarily driven by the transaction activity during the fiscal period for this security only (see the “Investment in Affiliates” supplementary table included in the Schedule of Investments for transaction activity related to this security for the current fiscal period).

 

See Notes to Financial Statements.

 

142   WisdomTree Trust


Table of Contents

Financial Highlights (continued)

WisdomTree Trust

Selected data for a share of beneficial interest outstanding throughout the period is presented below:

 

 

WisdomTree Emerging Currency
Strategy Fund
  For the
Six Months Ended
February 28, 2022
(unaudited)
    For the
Year Ended
August 31, 2021
    For the
Year Ended
August 31, 2020
    For the
Year Ended
August 31, 2019
    For the
Year Ended
August 31, 2018
    For the
Year Ended
August 31, 2017
 

Net asset value, beginning of period

  $ 18.19     $ 17.55     $ 18.19     $ 17.97     $ 19.14     $ 17.97  

Investment operations:

           

Net investment income (loss)1

    (0.04     (0.09     0.12       0.31       0.16       0.00 2 

Net realized and unrealized gain (loss)

    (1.06     0.85       (0.41     0.25       (1.33     1.17  

Total from investment operations

    (1.10     0.76       (0.29     0.56       (1.17     1.17  

Dividends to shareholders:

           

Net investment income

          (0.12     (0.35     (0.34            

Net asset value, end of period

  $ 17.09     $ 18.19     $ 17.55     $ 18.19     $ 17.97     $ 19.14  

TOTAL RETURN3

    (6.05 )%      4.31     (1.68 )%      3.12     (6.11 )%      6.51

RATIOS/SUPPLEMENTAL DATA:

           

Net assets, end of period (000’s omitted)

  $ 13,675     $ 12,732     $ 10,532     $ 20,009     $ 28,746     $ 49,755  

Ratios to average net assets of:

           

Expenses

    0.55 %4,5,6      0.55 %5,6      0.55 %5,6      0.55 %5,6      0.55 %5,6      0.55

Net investment income (loss)

    (0.50 )%4,6      (0.51 )%6      0.65 %6      1.68 %6      0.82 %6      0.01

Portfolio turnover rate7

    21 %8      26 %8      0     0     0     0
           
             
WisdomTree Emerging Markets
Corporate Bond Fund
  For the
Six Months Ended
February 28, 2022
(unaudited)
    For the
Year Ended
August 31, 2021
    For the
Year Ended
August 31, 2020
    For the
Year Ended
August 31, 2019
    For the
Year Ended
August 31, 2018
    For the
Year Ended
August 31, 2017
 

Net asset value, beginning of period

  $ 76.11     $ 74.14     $ 72.72     $ 68.58     $ 72.91     $ 71.93  

Investment operations:

           

Net investment income1

    1.32       2.63       2.99       3.00       2.84       2.87  

Net realized and unrealized gain (loss)

    (9.35     1.94       1.47 9      4.17       (4.30     0.98  

Total from investment operations

    (8.03     4.57       4.46       7.17       (1.46     3.85  

Dividends to shareholders:

           

Net investment income

    (1.32     (2.60     (3.04     (3.03     (2.87     (2.87

Net asset value, end of period

  $ 66.76     $ 76.11     $ 74.14     $ 72.72     $ 68.58     $ 72.91  

TOTAL RETURN3

    (10.70 )%      6.26     6.37     10.69     (2.08 )%      5.51

RATIOS/SUPPLEMENTAL DATA:

           

Net assets, end of period (000’s omitted)

  $ 60,082     $ 53,279     $ 29,655     $ 36,362     $ 41,150     $ 51,035  

Ratios to average net assets of:

           

Expenses

    0.60 %4      0.60     0.60     0.60     0.60     0.60

Net investment income

    3.60 %4      3.48     4.13     4.26     3.96     4.03

Portfolio turnover rate7

    16     56     43     54     132     36
1 

Based on average shares outstanding.

 

2 

Amount represents less than $0.005.

 

3 

Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period and redemption on the last day of the period. Total return calculated for a period of less than one year is not annualized. For the periods in which the investment advisor waived advisory fees, the total return would have been lower if certain expenses had not been waived (Notes 2 and 3).

 

4 

Annualized.

 

5 

The expense ratio includes investment advisory fee waivers. Without these investment advisory fee waivers, the expense ratio would have been unchanged.

 

6 

The ratios to average net assets do not include net investment income (loss) or expenses of other funds in which the Fund invests.

 

7 

Portfolio turnover rate is not annualized for fiscal periods less than one year and excludes the value of the portfolio securities received or delivered as a result of in-kind creations or redemptions of the Fund’s capital shares. Short-term securities with maturities less than or equal to 365 days are excluded from the portfolio turnover calculation.

 

8 

During the periods noted, the Fund invested in the WisdomTree Floating Rate Treasury Fund which is considered a long term security for purposes of computing the portfolio turnover rate. During the periods noted, the WisdomTree Floating Rate Fund was the only long-term security held or transacted in the portfolio, as a result, the variability in the portfolio turnover was primarily driven by the transaction activity during the fiscal period for this security only (see the “Investment in Affiliates” supplementary table included in the Schedule of Investments for transaction activity related to this security for the current fiscal period).

 

9 

The amount of net realized and unrealized gain per share does not correspond with the amounts reported within the Statements of Changes due to the timing of capital share transactions of Fund shares and fluctuating market values during the fiscal year.

 

See Notes to Financial Statements.

 

WisdomTree Trust      143  


Table of Contents

Financial Highlights (continued)

WisdomTree Trust

Selected data for a share of beneficial interest outstanding throughout the period is presented below:

 

 

WisdomTree Emerging Markets
Local Debt Fund
  For the
Six Months Ended
February 28, 2022
(unaudited)
    For the
Year Ended
August 31, 2021
    For the
Year Ended
August 31, 2020
    For the
Year Ended
August 31, 2019
    For the
Year Ended
August 31, 2018
    For the
Year Ended
August 31, 2017
 

Net asset value, beginning of period

  $ 32.48     $ 32.70     $ 34.35     $ 32.47     $ 38.92     $ 37.59  

Investment operations:

           

Net investment income1

    0.84       1.64       1.83       1.96       2.15       2.07  

Net realized and unrealized gain (loss)

    (3.69     (0.33     (1.76 )2      1.72       (6.48     1.00  

Total from investment operations

    (2.85     1.31       0.07       3.68       (4.33     3.07  

Dividends and distributions to shareholders:

           

Net investment income

    (0.72     (0.52     (0.60     (0.82     (2.06     (0.82

Tax return of capital

          (1.01     (1.12     (0.98     (0.06     (0.92

Total dividends and distributions to shareholders

    (0.72     (1.53     (1.72     (1.80     (2.12     (1.74

Net asset value, end of period

  $ 28.91     $ 32.48     $ 32.70     $ 34.35     $ 32.47     $ 38.92  

TOTAL RETURN3

    (8.88 )%      4.06     0.20     11.54     (11.66 )%      8.46

RATIOS/SUPPLEMENTAL DATA:

           

Net assets, end of period (000’s omitted)

  $ 112,763     $ 134,784     $ 127,519     $ 195,783     $ 172,083     $ 256,851  

Ratios to average net assets of:

           

Expenses

    0.55 %4      0.55     0.55     0.55     0.55     0.55

Net investment income

    5.49 %4      4.97     5.42     5.77     5.71     5.51

Portfolio turnover rate5

    22     31     29     27     44     39
           
             
WisdomTree Floating Rate
Treasury Fund
  For the
Six Months Ended
February 28, 2022*
(unaudited)
    For the
Year Ended
August 31, 2021*
    For the
Year Ended
August 31, 2020*
    For the
Year Ended
August 31, 2019*
    For the
Year Ended
August 31, 2018*
    For the
Year Ended
August 31, 2017*
 

Net asset value, beginning of period

  $ 50.21     $ 50.23     $ 50.11     $ 50.15     $ 50.14     $ 50.05  

Investment operations:

           

Net investment income (loss)1

    (0.00 )6      (0.01     0.48       1.12       0.91       0.34  

Net realized and unrealized gain (loss)

    0.06       0.01       0.13       (0.10     (0.14     0.09  

Total from investment operations

    0.06       0.006       0.61       1.02       0.77       0.43  

Dividends and distributions to shareholders:

           

Net investment income

          (0.01     (0.49     (1.06     (0.70     (0.34

Capital gains

    (0.00 )6      (0.01                 (0.06      

Total dividends and distributions to shareholders

    (0.00 )6      (0.02     (0.49     (1.06     (0.76     (0.34

Net asset value, end of period

  $ 50.27     $ 50.21     $ 50.23     $ 50.11     $ 50.15     $ 50.14  

TOTAL RETURN3

    0.09     0.00 %7      1.26     2.06     1.53     0.85

RATIOS/SUPPLEMENTAL DATA:

           

Net assets, end of period (000’s omitted)

  $ 2,382,021     $ 1,086,455     $ 1,491,940     $ 1,652,361     $ 272,044     $ 1,254  

Ratios to average net assets of:

           

Expenses, net of expense waivers

    0.15 %4      0.15     0.15     0.15     0.15     0.15

Expenses, prior to expense waivers

    0.15 %4      0.15     0.15     0.15     0.17     0.20

Net investment income (loss)

    (0.00 )%4,7      (0.02 )%      0.95     2.22     1.83     0.68

Portfolio turnover rate5

    90     147     163     170     170     160
* 

Per share amounts were adjusted to reflect a 1:2 reverse stock split effective March 24, 2022 (Note 7).

 

1 

Based on average shares outstanding.

 

2 

The amount of net realized and unrealized loss per share does not correspond with the amounts reported within the Statements of Changes due to the timing of capital share transactions of Fund shares and fluctuating market values during the fiscal year.

 

3 

Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period and redemption on the last day of the period. Total return calculated for a period of less than one year is not annualized. For the periods in which the investment advisor waived advisory fees for the WisdomTree Floating Rate Treasury Fund, the total return would have been lower if certain expenses had not been waived (Notes 2 and 3).

 

4 

Annualized.

 

5 

Portfolio turnover rate is not annualized for fiscal periods less than one year and excludes the value of the portfolio securities received or delivered as a result of in-kind creations or redemptions of the Fund’s capital shares. Short-term securities with maturities less than or equal to 365 days are excluded from the portfolio turnover calculation.

 

6 

Amount represents less than $0.005.

 

7 

Amount represents less than 0.005%.

 

See Notes to Financial Statements.

 

144   WisdomTree Trust


Table of Contents

Financial Highlights (continued)

WisdomTree Trust

Selected data for a share of beneficial interest outstanding throughout the period is presented below:

 

 

WisdomTree Interest Rate Hedged
High Yield Bond Fund
  For the
Six Months Ended
February 28, 2022
(unaudited)
    For the
Year Ended
August 31, 2021
    For the
Year Ended
August 31, 2020
    For the
Year Ended
August 31, 2019
    For the
Year Ended
August 31, 2018
    For the
Year Ended
August 31, 2017
 

Net asset value, beginning of period

  $ 22.19     $ 21.40     $ 23.13     $ 24.07     $ 23.91     $ 23.39  

Investment operations:

           

Net investment income1

    0.45       0.96       1.20       1.30       1.23       1.24  

Net realized and unrealized gain (loss)

    (0.59     0.78       (1.73     (0.91     0.10       0.53  

Net increase from payment by affiliate

          0.01                          

Total from investment operations

    (0.14     1.75       (0.53     0.39       1.33       1.77  

Dividends and distributions to shareholders:

           

Net investment income

    (0.45     (0.96     (1.20     (1.30     (1.17     (1.25

Capital gains

                      (0.03            

Total dividends and distributions to shareholders

    (0.45     (0.96     (1.20     (1.33     (1.17     (1.25

Net asset value, end of period

  $ 21.60     $ 22.19     $ 21.40     $ 23.13     $ 24.07     $ 23.91  

TOTAL RETURN2

    (0.67 )%      8.33 %3      (2.26 )%      1.68     5.68     7.73

RATIOS/SUPPLEMENTAL DATA:

           

Net assets, end of period (000’s omitted)

  $ 215,963     $ 166,447     $ 128,377     $ 247,466     $ 262,332     $ 54,997  

Ratios to average net assets of:

           

Expenses

    0.43 %4      0.43     0.43     0.43     0.43     0.43

Net investment income

    4.12 %4      4.40     5.43     5.52     5.14     5.19

Portfolio turnover rate5

    8     40     101 %6,7      61     60     57
           
             
WisdomTree Interest Rate Hedged
U.S. Aggregate Bond Fund
  For the
Six Months Ended
February 28, 2022
(unaudited)
    For the
Year Ended
August 31, 2021
    For the
Year Ended
August 31, 2020
    For the
Year Ended
August 31, 2019
    For the
Year Ended
August 31, 2018
    For the
Year Ended
August 31, 2017
 

Net asset value, beginning of period

  $ 46.81     $ 47.04     $ 47.71     $ 47.82     $ 47.89     $ 48.01  

Investment operations:

           

Net investment income1

    0.30       0.69       1.11       1.36       1.18       0.95  

Net realized and unrealized loss

    (0.50     (0.06     (0.60     (0.10     (0.07     (0.03

Total from investment operations

    (0.20     0.63       0.51       1.26       1.11       0.92  

Dividends to shareholders:

           

Net investment income

    (0.37     (0.86     (1.18     (1.37     (1.18     (1.04

Net asset value, end of period

  $ 46.24     $ 46.81     $ 47.04     $ 47.71     $ 47.82     $ 47.89  

TOTAL RETURN2

    (0.43 )%      1.34     1.08     2.69     2.35     1.93

RATIOS/SUPPLEMENTAL DATA:

           

Net assets, end of period (000’s omitted)

  $ 305,204     $ 215,330     $ 94,088     $ 76,337     $ 52,606     $ 23,945  

Ratios to average net assets of:

           

Expenses

    0.23 %4      0.23     0.23     0.23     0.23     0.23

Net investment income

    1.31 %4      1.47     2.36     2.86     2.46     1.99

Portfolio turnover rate5

    60     81     70     39     81     187

Portfolio turnover rate excluding TBA roll transactions5

    9     23     33     12     28     45
1 

Based on average shares outstanding.

 

2 

Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period and redemption on the last day of the period. Total return calculated for a period of less than one year is not annualized.

 

3 

Includes a voluntary reimbursement from the sub-advisor for an operational error that resulted in investment transaction losses. Excluding the voluntary reimbursement, total return would have been 0.05% lower.

 

4 

Annualized.

 

5 

Portfolio turnover rate is not annualized for fiscal periods less than one year and excludes the value of the portfolio securities received or delivered as a result of in-kind creations or redemptions of the Fund’s capital shares. Short-term securities with maturities less than or equal to 365 days are excluded from the portfolio turnover calculation.

 

6 

The increase in the portfolio turnover rate was primarily a result of the change in investment objective and strategy on June 1, 2020.

 

7 

On June 4, 2020, Voya Investment Management Co., LLC replaced Mellon Investments Corporation as sub-advisor to the Fund.

 

See Notes to Financial Statements.

 

WisdomTree Trust      145  


Table of Contents

Financial Highlights (continued)

WisdomTree Trust

Selected data for a share of beneficial interest outstanding throughout the period is presented below:

 

 

WisdomTree Mortgage Plus
Bond Fund
                       For the
Six Months Ended
February 28, 2022
(unaudited)
    For the
Year Ended
August 31, 2021
    For the Period
November 14, 2019*
through
August 31, 2020
 

Net asset value, beginning of period

                          $ 50.94     $ 51.64     $ 50.26  

Investment operations:

           

Net investment income1

          0.21       0.45       0.66  

Net realized and unrealized gain (loss)

                            (1.58     0.06       1.55  

Total from investment operations

                            (1.37     0.51       2.21  

Dividends and distributions to shareholders:

           

Net investment income

          (0.36     (0.88     (0.83

Capital gains

                (0.32      

Tax return of capital

                                  (0.01      

Total dividends and distributions to shareholders

                            (0.36     (1.21     (0.83

Net asset value, end of period

                          $ 49.21     $ 50.94     $ 51.64  

TOTAL RETURN2

                            (2.71 )%      0.99     4.45

RATIOS/SUPPLEMENTAL DATA:

           

Net assets, end of period (000’s omitted)

        $ 39,367     $ 40,754     $ 30,986  

Ratios to average net assets of:

           

Expenses

          0.45 %3      0.45     0.45 %3 

Net investment income

                            0.83 %3      0.88     1.64 %3 

Portfolio turnover rate4

                            186     430     278

Portfolio turnover rate excluding TBA roll transactions4

                            12     47     70
           
             
WisdomTree Yield Enhanced U.S.
Aggregate Bond Fund
  For the
Six Months Ended
February 28, 2022
(unaudited)
    For the
Year Ended
August 31, 2021
    For the
Year Ended
August 31, 2020
    For the
Year Ended
August 31, 2019
    For the
Year Ended
August 31, 2018
    For the
Year Ended
August 31, 2017
 

Net asset value, beginning of period

  $ 52.61     $ 53.93     $ 52.71     $ 48.68     $ 50.94     $ 52.04  

Investment operations:

           

Net investment income1

    0.41       0.85       1.28       1.61       1.53       1.35  

Net realized and unrealized gain (loss)

    (3.02     (0.76     1.38       4.05       (2.26     (0.85

Total from investment operations

    (2.61     0.09 5      2.66       5.66       (0.73     0.50  

Dividends and distributions to shareholders:

           

Net investment income

    (0.49     (1.14     (1.44     (1.63     (1.53     (1.38

Capital gains

    (0.02     (0.27                       (0.22

Total dividends and distributions to shareholders

    (0.51     (1.41     (1.44     (1.63     (1.53     (1.60

Net asset value, end of period

  $ 49.49     $ 52.61     $ 53.93     $ 52.71     $ 48.68     $ 50.94  

TOTAL RETURN2

    (4.99 )%      0.18     5.14     11.92     (1.44 )%      1.05

RATIOS/SUPPLEMENTAL DATA:

           

Net assets, end of period (000’s omitted)

  $ 1,049,195     $ 1,089,075     $ 1,315,856     $ 880,193     $ 418,662     $ 168,105  

Ratios to average net assets of:

           

Expenses, net of expense waivers

    0.12 %3      0.12 %6      0.12     0.12     0.12     0.12

Expenses, prior to expense waivers

    0.12 %3      0.15     0.20     0.20     0.20     0.20

Net investment income

    1.59 %3      1.61     2.43     3.25     3.10     2.69

Portfolio turnover rate4

    157     148     88     54     82     134

Portfolio turnover rate excluding TBA roll transactions4

    20     41     65     44     38     59
* 

Commencement of operations. The commencement of operations date is considered to be the date that the Fund began trading in the secondary market.

 

1 

Based on average shares outstanding.

 

2 

Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period and redemption on the last day of the period. Total return calculated for a period of less than one year is not annualized. For the periods in which the investment advisor waived advisory fees for the WisdomTree Yield Enhanced U.S. Aggregate Bond Fund, the total return would have been lower if certain expenses had not been waived (Notes 2 and 3).

 

3 

Annualized.

 

4 

Portfolio turnover rate is not annualized for fiscal periods less than one year and excludes the value of the portfolio securities received or delivered as a result of in-kind creations or redemptions of the Fund’s capital shares. Short-term securities with maturities less than or equal to 365 days are excluded from the portfolio turnover calculation.

 

5 

The total from investment operations per share does not correspond with the amount reported within the Statements of Changes due to the timing of capital share transactions of Fund shares and fluctuating market values during the fiscal year.

 

6 

The investment advisor had contractually agreed to limit the advisory fee to 0.12 through December 31, 2020. On December 31, 2020, the contractual waiver expired and the advisory fee was permanently reduced to 0.12%.

 

See Notes to Financial Statements.

 

146   WisdomTree Trust


Table of Contents

Financial Highlights (continued)

WisdomTree Trust

Selected data for a share of beneficial interest outstanding throughout the period is presented below:

 

 

WisdomTree Yield Enhanced U.S.
Short-Term Aggregate Bond Fund
  For the
Six Months Ended
February 28, 2022
(unaudited)
    For the
Year Ended
August 31, 2021
    For the
Year Ended
August 31, 2020
    For the
Year Ended
August 31, 2019
    For the
Year Ended
August 31, 2018
    For the Period
May 18, 2017*
through
August 31, 2017
 

Net asset value, beginning of period

  $ 51.23     $ 51.60     $ 50.58     $ 48.88     $ 50.25     $ 50.06  

Investment operations:

 

 

Net investment income1

    0.22       0.50       1.19       1.40       1.17       0.26  

Net realized and unrealized gain (loss)

    (1.63     (0.14     1.05       1.69       (1.41     0.17  

Total from investment operations

    (1.41     0.36       2.24       3.09       (0.24     0.43  

Dividends and distributions to shareholders:

 

 

Net investment income

    (0.22     (0.51     (1.22     (1.39     (1.07     (0.24

Capital gains

    (0.06     (0.22                 (0.06      

Total dividends and distributions to shareholders

    (0.28     (0.73     (1.22     (1.39     (1.13     (0.24

Net asset value, end of period

  $ 49.54     $ 51.23     $ 51.60     $ 50.58     $ 48.88     $ 50.25  

TOTAL RETURN2

    (2.76 )%      0.69     4.51     6.43     (0.47 )%      0.86

RATIOS/SUPPLEMENTAL DATA:

 

 

Net assets, end of period (000’s omitted)

  $ 143,658     $ 199,802     $ 113,529     $ 91,052     $ 39,104     $ 5,025  

Ratios to average net assets of:

 

 

Expenses, net of expense waivers

    0.12 %3      0.12 %4      0.12     0.12     0.12     0.12 %3 

Expenses, prior to expense waivers

    0.12 %3      0.15     0.20     0.20     0.20     0.20 %3 

Net investment income

    0.86 %3      0.97     2.34     2.83     2.40     1.76 %3 

Portfolio turnover rate5

    124     224     106     49     177     44

Portfolio turnover rate excluding TBA roll transactions5

    5     49     46     24     120     22
           
             
WisdomTree Alternative Income Fund                               For the
Six Months Ended
February 28, 2022
(unaudited)
    For the Period
May 6, 2021*
through
August 31, 2021
 

Net asset value, beginning of period

                                  $ 25.79     $ 24.96  

Investment operations:

           

Net investment income1

            0.69       0.43  

Net realized and unrealized gain (loss)

                                    (2.13     0.40  

Total from investment operations

                                    (1.44     0.83  

Dividends and distributions to shareholders:

           

Net investment income

            (1.01      

Capital gains

                                    (0.01      

Total dividends and distributions to shareholders

                                    (1.02      

Net asset value, end of period

                                  $ 23.33     $ 25.79  

TOTAL RETURN2

                                    (5.80 )%      3.33

RATIOS/SUPPLEMENTAL DATA:

           

Net assets, end of period (000’s omitted)

          $ 7,464     $ 10,315  

Ratios to average net assets6 of:

           

Expenses

            0.50 %3      0.50 %3 

Net investment income

                                    5.60 %3      5.39 %3 

Portfolio turnover rate5

                                    34     2
* 

Commencement of operations. The commencement of operations date is considered to be the date that the Fund began trading in the secondary market.

 

1 

Based on average shares outstanding.

 

2 

Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period and redemption on the last day of the period. Total return calculated for a period of less than one year is not annualized. For the periods in which the investment advisor waived advisory fees for the WisdomTree Yield Enhanced U.S. Short-Term Aggregate Bond Fund, the total return would have been lower if certain expenses had not been waived (Notes 2 and 3).

 

3 

Annualized.

 

4 

The investment advisor had contractually agreed to limit the advisory fee to 0.12 through December 31, 2020. On December 31, 2020, the contractual waiver expired and the advisory fee was permanently reduced to 0.12%.

 

5 

Portfolio turnover rate is not annualized for fiscal periods less than one year and excludes the value of the portfolio securities received or delivered as a result of in-kind creations or redemptions of the Fund’s capital shares. Short-term securities with maturities less than or equal to 365 days are excluded from the portfolio turnover calculation.

 

6 

The ratios to average net assets do not include net investment income (loss) or expenses of other funds in which the Fund invests.

 

See Notes to Financial Statements.

 

WisdomTree Trust      147  


Table of Contents

Financial Highlights (continued)

WisdomTree Trust

Selected data for a share of beneficial interest outstanding throughout the period is presented below:

 

 

WisdomTree CBOE S&P 500 PutWrite
Strategy Fund
  For the
Six Months Ended
February 28, 2022
(unaudited)
    For the
Year Ended
August 31, 2021
    For the
Year Ended
August 31, 2020
    For the
Year Ended
August 31, 2019
    For the
Year Ended
August 31, 2018
    For the
Year Ended
August 31, 2017
 

Net asset value, beginning of period

  $ 32.79     $ 26.64     $ 27.45     $ 30.57     $ 29.23     $ 27.05  

Investment operations:

           

Net investment income (loss)1

    (0.06     (0.11     0.24       0.49       0.22       0.06  

Net realized and unrealized gain (loss)

    1.06       6.67       (0.63 )2      (1.96     2.15       2.74  

Total from investment operations

    1.00       6.56       (0.39     (1.47     2.37       2.80  

Dividends and distributions to shareholders:

           

Net investment income

          (0.41     (0.42     (0.25     (0.06      

Capital gains

                      (1.40     (0.97     (0.62

Total dividends and distributions to shareholders

          (0.41     (0.42     (1.65     (1.03     (0.62

Net asset value, end of period

  $ 33.79     $ 32.79     $ 26.64     $ 27.45     $ 30.57     $ 29.23  

TOTAL RETURN3

    3.05     24.87     (1.52 )%      (4.72 )%      8.28     10.52

RATIOS/SUPPLEMENTAL DATA:

           

Net assets, end of period (000’s omitted)

  $ 92,927     $ 63,940     $ 117,225     $ 211,350     $ 238,434     $ 204,635  

Ratios to average net assets of:

           

Expenses, net of expense waivers

    0.44 %4,5      0.44 %5      0.41 %5      0.38     0.38     0.38

Expenses, prior to expense waivers

    0.44 %4,5      0.44 %5      0.44 %5      0.44     0.44     0.44

Net investment income (loss)

    (0.38 )%4,5      (0.38 )%5      0.90 %5      1.78     0.76     0.21

Portfolio turnover rate6

    0     18 %7      72 %7      0     0     0
           
             
WisdomTree Efficient Gold Plus Gold
Miners Strategy Fund
(consolidated)
                                     For the Period
December 16, 2021*
through
February 28, 2022
(unaudited)
 

Net asset value, beginning of period

                                          $ 24.49  

Investment operations:

           

Net investment income1

              0.02  

Net realized and unrealized gain

                                            4.95  

Total from investment operations

                                            4.97  

Net asset value, end of period

                                          $ 29.46  

TOTAL RETURN3

                                            20.29

RATIOS/SUPPLEMENTAL DATA:

           

Net assets, end of period (000’s omitted)

            $ 4,420  

Ratios to average net assets of:

           

Expenses

              0.45 %4 

Net investment income

                                            0.39 %4 

Portfolio turnover rate6

                                            6
* 

Commencement of operations. The commencement of operations date is considered to be the date that the Fund began trading in the secondary market.

 

1 

Based on average shares outstanding.

 

2 

The amount of net realized and unrealized loss per share does not correspond with the amounts reported within the Statements of Changes due to the timing of capital share transactions of Fund shares and fluctuating market values during the fiscal year.

 

3 

Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period and redemption on the last day of the period. Total return calculated for a period of less than one year is not annualized. For the periods in which the investment advisor waived advisory fees for the WisdomTree CBOE S&P 500 PutWrite Strategy Fund, the total return would have been lower if certain expenses had not been waived (Notes 2 and 3).

 

4 

Annualized.

 

5 

The ratios to average net assets do not include net investment income (loss) or expenses of other funds in which the Fund invests.

 

6 

Portfolio turnover rate is not annualized for fiscal periods less than one year and excludes the value of the portfolio securities received or delivered as a result of in-kind creations or redemptions of the Fund’s capital shares. Short-term securities with maturities less than or equal to 365 days are excluded from the portfolio turnover calculation.

 

7 

During the periods noted, the Fund invested in the WisdomTree Floating Rate Treasury Fund which is considered a long term security for purposes of computing the portfolio turnover rate. During the periods noted, the WisdomTree Floating Rate Fund was the only long-term security held or transacted in the portfolio, as a result, the variability in the portfolio turnover was primarily driven by the transaction activity during the fiscal year for this security only (see the “Investment in Affiliates” supplementary table included in the Schedule of Investments for transaction activity related to this security for the current fiscal period).

 

See Notes to Financial Statements.

 

148   WisdomTree Trust


Table of Contents

Financial Highlights (continued)

WisdomTree Trust

Selected data for a share of beneficial interest outstanding throughout the period is presented below:

 

 

    Post-Reorganization           Pre-Reorganization  
WisdomTree
Enhanced Commodity
Strategy Fund

(consolidated)^
 

For the
Six Months Ended
February 28, 2022

(unaudited)

    For the Period
December 19, 2020
through
August 31, 2021
          

For the Period

January 1, 2020

through

December 18, 2020

   

For the

Year Ended

December 31, 2019

   

For the

Year Ended

December 31, 2018

   

For the

Year Ended

December 31, 2017

   

For the

Year Ended

December 31, 2016

 

Net asset value, beginning of period

  $ 22.12     $ 18.74             $ 18.80     $ 17.50     $ 19.25     $ 19.35     $ 18.56  

Investment operations:

               

Net investment loss1

    (0.05     (0.08       (0.03     0.23       0.18       0.00 2      (0.16

Net realized and unrealized gain (loss)

    3.36       3.46         (0.03     1.07       (1.93     (0.10     0.95  

Net increase from payment by affiliate

          0.00 2              0.00 2                         

Total from investment operations

    3.31       3.38               (0.06     1.30       (1.75     (0.10     0.79  

Dividends and distributions to shareholders:

               

Net investment income

    (2.03                                      

Capital gains

    (0.00 )2                                             

Total dividends and distributions to shareholders

    (2.03                                            

Net asset value, end of period

  $ 23.40     $ 22.12             $ 18.74     $ 18.80     $ 17.50     $ 19.25     $ 19.35  

TOTAL RETURN3

    16.08     18.04 %4              (0.32 )%4      7.43     (9.09 )%      (0.52 )%      4.26

RATIOS/SUPPLEMENTAL DATA:

               

Net assets, end of period (000’s omitted)

  $ 279,589     $ 193,552       $ 99,333     $ 127,836     $ 154,855     $ 154,956     $ 219,661  

Ratios to average net assets of:

               

Expenses, net of expense waivers

    0.55 %5,6      0.55 %5,6        0.75 %5      0.75     0.75     0.75     1.05

Expenses, prior to expense waivers

    0.55 %5,6      0.55 %5,6        0.85 %5      0.85     0.85     0.85     1.05

Net investment income (loss)

    (0.52 )%5,6      (0.52 )%5,6              (0.18 )%5      1.30     0.94     0.01     (0.83 )% 

Portfolio turnover rate7

    15 %8      22 %8              0     0     0     0     0
^ 

After the close of business on December 18, 2020, the WisdomTree Continuous Commodity Index Fund (the “Predecessor Fund”), a commodity pool that was not registered under the Investment Company Act of 1940, as amended (“1940 Act”), was reorganized into the WisdomTree Enhanced Commodity Strategy Fund (the “Successor Fund”), an investment company registered under the 1940 Act. The Successor Fund adopted the financial information for the Predecessor Fund. Accordingly, information presented prior to the close of business on December 18, 2020 is that of the Predecessor Fund prior to the reorganization into a regulated investment company under the 1940 Act.

 

1 

Based on average shares outstanding.

 

2 

Amount represents less than $0.005.

 

3 

Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period and redemption on the last day of the period. Total return calculated for a period of less than one year is not annualized. For the periods in which the investment advisor (or the Managing Owner, with respect to the Predecessor Fund) waived advisory fees, the total return would have been lower if certain expenses had not been waived (Notes 2 and 3).

 

4 

Includes a voluntary reimbursement from the advisor for brokerage commissions incurred in connection with the Reorganization. Excluding this reimbursement, total return would have been unchanged.

 

5 

Annualized.

 

6 

The ratios to average net assets do not include net investment income (loss) or expenses of other funds in which the Fund invests.

 

7 

Portfolio turnover rate is not annualized for fiscal periods less than one year and excludes the value of the portfolio securities received or delivered as a result of in-kind creations or redemptions of the Fund’s capital shares. Short-term securities with maturities less than or equal to 365 days are excluded from the portfolio turnover calculation.

 

8 

During the periods noted, the Fund invested in the WisdomTree Floating Rate Treasury Fund which is considered a long term security for purposes of computing the portfolio turnover rate. During the periods noted, the WisdomTree Floating Rate Fund was the only long-term security held or transacted in the portfolio, as a result, the variability in the portfolio turnover was primarily driven by the transaction activity during the fiscal period for this security only (see the “Investment in Affiliates” supplementary table included in the Schedule of Investments for transaction activity related to this security for the current fiscal period).

 

See Notes to Financial Statements.

 

WisdomTree Trust      149  


Table of Contents

Financial Highlights (concluded)

WisdomTree Trust

Selected data for a share of beneficial interest outstanding throughout the period is presented below:

 

 

WisdomTree Managed Futures
Strategy Fund
(consolidated)
  For the
Six Months Ended
February 28, 2022
(unaudited)
    For the
Year Ended
August 31, 2021
    For the
Year Ended
August 31, 2020
    For the
Year Ended
August 31, 2019
    For the
Year Ended
August 31, 2018
    For the
Year Ended
August 31, 2017
 

Net asset value, beginning of period

  $ 41.41     $ 35.31     $ 39.08     $ 40.57     $ 38.84     $ 41.12  

Investment operations:

           

Net investment income (loss)1

    (0.11     (0.23     0.17       0.55       0.26       (0.07

Net realized and unrealized gain (loss)

    (0.78     6.50       (3.34     (0.65     1.47       (2.21

Net increase from payment by affiliate

          0.00 2                         

Total from investment operations

    (0.89     6.27       (3.17     (0.10     1.73       (2.28

Dividends to shareholders:

           

Net investment income

    (5.21     (0.17     (0.60     (1.39            

Net asset value, end of period

  $ 35.31     $ 41.41     $ 35.31     $ 39.08     $ 40.57     $ 38.84  

TOTAL RETURN3

    (2.28 )%      17.83 %4      (8.17 )%      (0.22 )%4      4.45     (5.54 )%5 

RATIOS/SUPPLEMENTAL DATA:

           

Net assets, end of period (000’s omitted)

  $ 144,785     $ 147,001     $ 112,993     $ 216,875     $ 160,250     $ 170,879  

Ratios to average net assets of:

           

Expenses, net of expense waivers

    0.65 %6,7      0.65 %7,8      0.65 %7      0.65     0.65     0.65

Expenses, prior to expense waivers

    0.65 %6,7      0.68 %7      0.75 %7      0.75     0.75     0.75

Net investment income (loss)

    (0.62 )%6,7      (0.60 )%7      0.46 %7      1.40     0.66     (0.18 )% 

Portfolio turnover rate9

    7 %10      25 %10      97 %10      0     0     0
           
WisdomTree Target Range Fund                                      For the Period
October 7, 2021*
through
February 28, 2022
(unaudited)
 

Net asset value, beginning of period

                                          $ 24.99  

Investment operations:

           

Net investment loss1

              (0.07

Net realized and unrealized loss

                                            (0.74

Total from investment operations

                                            (0.81

Net asset value, end of period

                                          $ 24.18  

TOTAL RETURN3

                                            (3.24 )% 

RATIOS/SUPPLEMENTAL DATA:

           

Net assets, end of period (000’s omitted)

            $ 25,991  

Ratios to average net assets of:

           

Expenses

              0.70 %6 

Net investment loss

                                            (0.68 )%6 

Portfolio turnover rate9

                                            0
* 

Commencement of operations. The commencement of operations date is considered to be the date that the Fund began trading in the secondary market.

 

1 

Based on average shares outstanding.

 

2 

Amount represents less than $0.005.

 

3 

Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period and redemption on the last day of the period. Total return calculated for a period of less than one year is not annualized. For the periods in which the investment advisor waived advisory fees for the WisdomTree Managed Futures Strategy Fund, the total return would have been lower if certain expenses had not been waived (Notes 2 and 3).

 

4 

Includes a voluntary reimbursement from the sub-advisor for investment losses on certain futures contract transactions during the period. Excluding this voluntary reimbursement, total return would have been unchanged.

 

5 

Includes a voluntary reimbursement from the sub-advisor for investment losses on certain futures contract transactions during the period. Excluding this voluntary reimbursement, total return would have been 0.08% lower.

 

6 

Annualized.

 

7 

The ratios to average net assets do not include net investment income (loss) or expenses of other funds in which the Fund invests.

 

8 

The investment advisor had contractually agreed to limit the advisory fee to 0.65 through December 31, 2020. On December 31, 2020, the contractual waiver expired and the advisory fee was permanently reduced to 0.65%

 

9 

Portfolio turnover rate is not annualized for fiscal periods less than one year and excludes the value of the portfolio securities received or delivered as a result of in-kind creations or redemptions of the Fund’s capital shares. Short-term securities with maturities less than or equal to 365 days are excluded from the portfolio turnover calculation.

 

10 

During the periods noted, the Fund invested in the WisdomTree Floating Rate Treasury Fund which is considered a long term security for purposes of computing the portfolio turnover rate. During the periods noted, the WisdomTree Floating Rate Fund was the only long-term security held or transacted in the portfolio, as a result, the variability in the portfolio turnover was primarily driven by the transaction activity during the fiscal period for this security only (see the “Investment in Affiliates” supplementary table included in the Schedule of Investments for transaction activity related to this security for the current fiscal period).

 

See Notes to Financial Statements.

 

150   WisdomTree Trust


Table of Contents

Notes to Financial Statements (unaudited)

 

1. ORGANIZATION

WisdomTree Trust (the “Trust”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Trust was established as a Delaware statutory trust on December 15, 2005 and is authorized to have multiple series of portfolios (each a “Fund”, collectively, the “Funds”). These notes relate only to the Funds listed below. In accordance with Accounting Standards Codification Topic 946, Financial Services-Investment Companies, each Fund listed below qualifies as an investment company and is applying the accounting and reporting guidance for investment companies.

 

   
Fund    Commencement
of Operations
 

WisdomTree Bloomberg U.S. Dollar Bullish Fund (“U.S. Dollar Bullish Fund’’ and also referred to herein as ‘‘Currency Strategy Funds’’)

     December 18, 2013  

WisdomTree Chinese Yuan Strategy Fund (“Chinese Yuan Strategy Fund’’ and also referred to herein as ‘‘Currency Strategy Funds’’)

     May 14, 2008  

WisdomTree Emerging Currency Strategy Fund (“Emerging Currency Strategy Fund’’ and also referred to herein as ‘‘Currency Strategy Funds’’)

     May 6, 2009  

WisdomTree Emerging Markets Corporate Bond Fund (“Emerging Markets Corporate Bond Fund’’)

     March 8, 2012  

WisdomTree Emerging Markets Local Debt Fund (“Emerging Markets Local Debt Fund’’)

     August 9, 2010  

WisdomTree Floating Rate Treasury Fund (“Floating Rate Treasury Fund’’)

     February 4, 2014  

WisdomTree Interest Rate Hedged High Yield Bond Fund (“Interest Rate Hedged High Yield Bond Fund’’ and also referred to herein as ‘‘Duration Funds’’)

     December 18, 2013  

WisdomTree Interest Rate Hedged U.S. Aggregate Bond Fund (“Interest Rate Hedged U.S. Aggregate Bond Fund’’ and also referred to herein as ‘‘Duration Funds’’)

     December 18, 2013  

WisdomTree Mortgage Plus Bond Fund (“Mortgage Plus Bond Fund’’)

     November 14, 2019  

WisdomTree Yield Enhanced U.S. Aggregate Bond Fund (“Yield Enhanced U.S. Aggregate Bond Fund’’)

     July 9, 2015  

WisdomTree Yield Enhanced U.S. Short-Term Aggregate Bond Fund (“Yield Enhanced U.S. Short-Term Aggregate Bond Fund’’)

     May 18, 2017  

WisdomTree Alternative Income Fund (“Alternative Income Fund’’)

     May 6, 2021  

WisdomTree CBOE S&P 500 PutWrite Strategy Fund (“CBOE S&P 500 PutWrite Strategy Fund’’)

     February 24, 2016  

WisdomTree Efficient Gold Plus Gold Miners Strategy Fund (“Efficient Gold Plus Gold Miners Strategy Fund’’) (consolidated)

     December 16, 2021  

WisdomTree Enhanced Commodity Strategy Fund (“Enhanced Commodity Strategy Fund’’) (consolidated)

     January 23, 2008

WisdomTree Managed Futures Strategy Fund (“Managed Futures Strategy Fund’’) (consolidated)

     January 5, 2011  

WisdomTree Target Range Fund (“Target Range Fund’’)

     October 7, 2021  
  *

Commencement of operations date shown is that of the predecessor fund. After the close of business December 18, 2020, the predecessor fund was reorganized into the Enhanced Commodity Strategy Fund.

Each Fund, except for the U.S. Dollar Bullish Fund, Chinese Yuan Strategy Fund, Emerging Currency Strategy Fund, Emerging Markets Corporate Bond Fund, Emerging Markets Local Debt Fund, Mortgage Plus Bond Fund, Enhanced Commodity Strategy Fund, Efficient Gold Plus Gold Miners Strategy Fund, Managed Futures Strategy Fund and Target Range Fund, seeks to track the price and yield performance, before fees and expenses, of a particular index (“Index”) developed by WisdomTree Investments, Inc. (“WisdomTree Investments’’) or an Index developed by a third party. The U.S. Dollar Bullish Fund, Chinese Yuan Strategy Fund, Emerging Currency Strategy Fund, Emerging Markets Corporate Bond Fund, Emerging Markets Local Debt Fund, Mortgage Plus Bond Fund, Enhanced Commodity Strategy Fund, Efficient Gold Plus Gold Miners Strategy Fund, Managed Futures Strategy Fund and Target Range Fund are each actively managed. WisdomTree Investments is the parent company of WisdomTree Asset Management, Inc. (‘‘WTAM’’), the investment adviser to each Fund and the Trust. “WisdomTree” is a registered trademark of WisdomTree Investments and has been licensed for use by the Trust. Each Fund described herein is considered to be non-diversified as defined under the 1940 Act.

In the normal course of business, the Funds may enter into contracts that contain a variety of representations or that provide indemnification for certain liabilities. The Funds’ maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Funds that have not yet occurred. However, the Funds have not had prior claims or losses pursuant to these contracts and believes such exposure to be remote.

2. SIGNIFICANT ACCOUNTING POLICIES

The Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (the “Codification”) is the exclusive reference of authoritative U.S. generally accepted accounting principles (“GAAP”) recognized by the FASB to be applied by nongovernmental entities. Rules and interpretive releases of the Securities and Exchange Commission (“SEC”) under authority of federal laws are also sources of authoritative GAAP for SEC registrants.

The following is a summary of significant accounting policies followed by the Funds:

Basis of Consolidation The financial statements of the Efficient Gold Plus Gold Miners Strategy Fund, Enhanced Commodity Strategy Fund and Managed Futures Strategy Fund (each a “Parent Fund”), include the accounts of WisdomTree Efficient Gold Plus

 

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Notes to Financial Statements (unaudited) (continued)

 

Gold Miners Strategy Portfolio I, WisdomTree Enhanced Commodity Strategy Portfolio I and WisdomTree Managed Futures Portfolio I, respectively, each a wholly-owned and controlled Cayman Islands subsidiary (each a “Subsidiary”). For each Parent Fund, the accompanying financial statements reflect the financial position and results of operations on a consolidated basis with its Subsidiary. All intercompany accounts and transactions have been eliminated in consolidation. Each Parent Fund seeks to gain exposure to commodity markets, in whole or in part, through investments in its Subsidiary. Each Parent Fund’s investment in its Subsidiary may not exceed 25% of the respective Parent Fund’s total assets at the end of each fiscal quarter in order to meet the requirements for qualification as a regulated investment company under the Internal Revenue Code of 1986, as amended (the “Code”).

Use of Estimates — The preparation of financial statements in conformity with GAAP, requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in the net assets from operations during the reporting period. Actual results could differ from those estimates.

Investment Valuation — The net asset value (“NAV”) of each Fund’s shares is calculated each day a Fund is open for business as of the regularly scheduled close of regular trading on the New York Stock Exchange, normally 4:00 p.m. Eastern time (the “NAV Calculation Time”). NAV per share is calculated by dividing a Fund’s net assets by the number of Fund shares outstanding. Each Fund issues and redeems shares at NAV only in large blocks of shares known as creation units, which only certain institutions (e.g., broker-dealers) may purchase or redeem. Shares of each Fund are listed on a national securities exchange and trade at market prices. Most investors will buy and sell shares in the secondary market through brokers. Because Fund shares trade at market prices rather than NAV, shares may trade at a price greater than NAV or less than NAV. In calculating each Fund’s NAV, investments are valued under policies approved by the Board of Trustees of the Trust (the “Board of Trustees”). Fixed income securities (including short-term debt securities with remaining maturities of 60 days or less and to-be-announced (‘‘TBA’’) securities) generally are valued at current market quotations or mean prices obtained from broker-dealers or independent pricing service providers. Broker-dealers or independent pricing service providers, in determining the value of securities, may consider such factors as recent transactions, indications from yields and quoted prices from broker-dealers on similar securities, and market sentiment for the type of security. U.S. fixed income securities may be valued as of the announced closing time for such securities on any day that the Securities Industry and Financial Markets Association announces an early closing time. Repurchase agreements are valued at par which represents their fair value. Except for U.S. Dollar Bullish Fund, foreign currency contracts that settle within two business days after the trade date (‘‘Spot Contracts’’) and foreign currency contracts having a settlement period greater than two business days after the trade date (‘‘Forward Contracts’’) are valued daily using WM/Reuters closing spot and forward rates, respectively, as of 4:00 p.m. London time for all Funds except for Forward Contracts in certain Asian currencies (Chinese renminbi, Chinese yuan, Hong Kong dollar, Indian rupee, Indonesian rupiah, Malaysian ringgit, Philippine peso, Singapore dollar, South Korean won, New Taiwan dollar, and the Thai baht) which are valued daily using WM/Reuters closing forward rates as of 2:00 pm Singapore time. U.S. Dollar Bullish Fund uses WM/Reuters closing spot and forward rates as of 4:00 p.m. Eastern time to value foreign currency contracts daily. Futures contracts generally are valued at the settlement price, the price at which a futures contract settles once a given trading day has ended, on the primary exchange on which they trade. Option contracts generally are valued at the mean of the closing bid/ask price on the primary exchange on which they trade. Equity securities (including preferred stock) traded on any recognized U.S. or non-U.S. exchange are valued at the last sale price or official closing price on the exchange on which they are principally traded. Unlisted equity securities (including preferred stock) are valued at the last sale price or, if no sale price is available, at the mean between the highest bid and lowest ask price. Each Fund may invest in money market funds which are valued at their NAV per share and exchange-traded funds (“ETFs” or “ETF”), or exchange-traded notes (“ETNs” or “ETN”) or closed-end mutual funds (“CEF” or “CEFs”) which are valued at their last sale or official closing price on the exchange on which they are principally traded or at their NAV per share in instances where the ETF, ETN or CEF has not traded on its principal exchange.

In certain instances, such as when reliable market valuations are not readily available, a Fund’s investments, which include derivatives, will be fair valued in accordance with the Fund’s pricing policy. The Board of Trustees has established a pricing committee (the “Pricing Committee”) which is comprised of senior representatives of WTAM and which reports to the Board of Trustees on a quarterly basis. In the event that a financial instrument cannot be valued based upon a price from the exchange or system on which it is principally traded, independent pricing service provider or broker-dealer quotation, or such prices are deemed to not reflect current market value, the Pricing Committee may value the financial instrument in good faith under the policies and procedures approved by the Board of Trustees based on current facts and circumstances. Securities that may be valued using “fair value” pricing may include, but are not limited to, securities for which there are no current market quotations, securities whose issuer is in default or bankruptcy, securities subject to corporate actions (such as mergers or reorganizations), securities subject to non-U.S. investment limits or currency controls, and securities affected by “significant events.” An example of a significant event is an event occurring after the close of the market in which a security trades but before a Fund’s next NAV Calculation Time that may materially affect the value of a Fund’s investment (e.g., government action, natural disaster, or significant market fluctuation). When fair value pricing is employed, the prices of securities used by a Fund to calculate its NAV may differ from quoted or published prices for the same securities.

 

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Notes to Financial Statements (unaudited) (continued)

 

Fair Value Measurement — In accordance with Codification Topic 820 (“ASC 820”), Fair Value Measurements and Disclosures, fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. The Pricing Committee will perform other procedures (consistent with GAAP) to value an investment when a market quote is not available. ASC 820 established a three-tier hierarchy of inputs to be used when determining fair value measurements for disclosure purposes. Inputs refer broadly to the assumptions that market participants would use in pricing the asset or liability, including assumptions about risk — for example, the risk inherent in a particular valuation technique used to measure fair value (such as a pricing model) and/or the risk inherent in the inputs to the valuation technique. Inputs may be observable or unobservable. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability. Observable inputs are based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability. Unobservable inputs are based on the best information available in the circumstances. The three-tier hierarchy of inputs is summarized in the three broad levels listed below:

Level 1 – quoted prices in active markets for identical securities

Level 2 – other significant observable inputs (including quoted prices for similar securities, interest rates,

prepayment speeds, credit risk, etc.)

Level 3 – significant unobservable inputs (including each Fund’s assumptions in determining the fair value of

investments)

The inputs or methodology used for valuation are not necessarily an indication of the risk associated with investing in those investments.

Investments that use Level 2 or Level 3 inputs may include, but are not limited to: (i) an unlisted security related to corporate actions; (ii) a restricted security (e.g., one that may not be publicly sold without registration under the Securities Act of 1933, as amended); (iii) a security whose trading has been suspended (either due to events affecting the issuer of the security specifically or events affecting the primary trading exchange more broadly) or which has been de-listed from its primary trading exchange; (iv) a security that is thinly traded; (v) a security in default or bankruptcy proceedings for which there is no current market quotation or market activity; (vi) a security affected by currency controls or restrictions; and (vii) a security affected by a significant event (e.g., an event that occurs after the close of the markets in which the security is traded but before the time as of which a Fund’s NAV is computed and that may materially affect the value of the Fund’s investments).

The valuation techniques and significant inputs used in determining the fair market value measurements for Level 2 and Level 3 positions are as follows:

Financial instruments, such as fixed income securities, are generally valued by independent pricing service providers that use broker-dealer quotations, reported trades or valuation estimates from their internal pricing models. Depending on the type of financial instrument, the independent pricing service providers’ internal pricing models may use inputs that are observable such as issuer details (e.g., credit rating, debt ranking, coupon date, maturity date, etc.), interest rates, yield curves, prepayment speeds, credit risks/spreads, default rates and quoted prices for similar assets. Financial instruments that use similar valuation techniques and observable inputs as described above and have an appropriate level of market activity are categorized as Level 2 of the fair value hierarchy, otherwise a Level 3 fair value classification is appropriate. Over-the-counter financial derivative instruments derive their value from underlying asset prices, indices, reference rates, and other inputs or a combination of these factors. These instruments are normally valued on the basis of broker-dealer quotations or prices obtained from independent pricing service providers. Depending on the product and the terms of the transaction, the value of the financial derivative instruments can be estimated by an independent pricing service provider using a series of techniques including simulation pricing models. The pricing models may use inputs that are observed from actively quoted markets such as issuer details, indices, credit risks/spreads, interest rates, yield curves, default and exchange rates. Derivative contracts that use similar valuation techniques and observable inputs as described above and have an appropriate level of market activity are categorized as Level 2 of the fair value hierarchy, otherwise a Level 3 fair value classification is appropriate.

Determination of a fair value by the Pricing Committee may include significant unobservable inputs and therefore such financial instruments would be reflected as a Level 3 of the fair value hierarchy. The Pricing Committee may employ a market-based valuation approach which may use, among other potential considerations, related or comparable securities, recent transactions, market multiples, and other relevant information to determine fair value. The Pricing Committee may also use an income-based valuation approach in which anticipated future cash flows of the financial instrument are discounted to calculate fair value.

 

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Notes to Financial Statements (unaudited) (continued)

 

The summary of fair valuations according to the inputs used in valuing each Fund’s assets as of the measurement date is included in a “Fair Valuation Summary” supplementary table in each applicable Fund’s Schedule of Investments.

During the six months or period ended February 28, 2022, there were no significant transfers into or out of Level 3 of the fair value hierarchy.

Derivatives and Hedging Disclosure — Codification Topic 815 (“ASC 815”), Derivatives and Hedging, requires qualitative disclosures about objectives and strategies for using derivatives, quantitative disclosures about fair value amounts as well as gains and losses on derivative instruments, and disclosures about credit-risk-related contingent features in derivative agreements. The Funds have invested in derivatives, specifically foreign currency contracts, foreign currency futures contracts, commodity futures contracts, interest rate futures contracts, equity futures contracts and equity options contracts during the fiscal period ended February 28, 2022 and open positions in such derivatives as of February 28, 2022 are detailed in each Fund’s Schedule of Investments. All of the derivative instruments disclosed and described herein are subject to credit risk. Credit risk is where the financial condition of an issuer of a security or instrument may cause it to default or become unable to pay interest or principal due on the security or where the counterparty to a derivative contract might default on its obligations. The Funds’ derivative agreements may also contain credit-risk related contingent features which include, but are not limited to, a percentage decline in the Funds’ NAV over a specified time period. If an event occurred at February 28, 2022 that triggered a contingent feature, the counterparty to the agreement may require the Funds to post additional collateral or terminate the derivative positions and demand payment. Any collateral posted with respect to the derivative positions would be used to offset or reduce the payment. The maximum exposure to derivatives agreements with credit-risk related contingent features would be the total value of derivatives in net liability positions for each Fund, as disclosed in the table included in Note 2 — Master Netting Arrangements. Information with respect to the amounts and types of collateral received and/or posted for derivative instruments as of February 28, 2022, if any, is reflected as a footnote within each Fund’s Schedule of Investments.

As of February 28, 2022, the effects of such derivative instruments on each Fund’s financial position as reflected in the Statements of Assets and Liabilities are presented in the summary below:

 

     
     Asset Derivatives      Liability Derivatives  
Fund    Balance Sheet Location    Value      Balance Sheet Location    Value  
U.S. Dollar Bullish Fund            

Foreign currency risk

   Unrealized appreciation on
foreign currency contracts
   $ 269,774      Unrealized depreciation on
foreign currency contracts
   $ 671,988  
Chinese Yuan Strategy Fund            

Foreign currency risk

   Unrealized appreciation on
foreign currency contracts
     469,980      Unrealized depreciation on
foreign currency contracts
     30,676  
Emerging Currency Strategy Fund            

Foreign currency risk

   Unrealized appreciation on
foreign currency contracts
     188,523      Unrealized depreciation on
foreign currency contracts
     345,207  
Emerging Markets Corporate Bond Fund            

Interest rate risk

   Unrealized appreciation on
futures contracts*
     55,985      Unrealized depreciation on
futures contracts*
     128,041  
Emerging Markets Local Debt Fund            

Foreign currency risk

   Unrealized appreciation on
foreign currency contracts
     58,218      Unrealized depreciation on
foreign currency contracts
     20,926  
Interest Rate Hedged High Yield Bond Fund            

Interest rate risk

   Unrealized appreciation on
futures contracts*
     7,215      Unrealized depreciation on
futures contracts*
     1,297,883  
Interest Rate Hedged U.S. Aggregate Bond Fund            

Interest rate risk

   Unrealized appreciation on
futures contracts*
          Unrealized depreciation on
futures contracts*
     2,772,548  
Mortgage Plus Bond Fund            

Interest rate risk

   Unrealized appreciation on
futures contracts*
     19,626      Unrealized depreciation on
futures contracts*
     4,844  
CBOE S&P 500 PutWrite Strategy Fund            

Equity risk

                 Written options, at value      2,112,420  
Efficient Gold Plus Gold Miners Strategy Fund (consolidated)

 

     

Commodity risk

   Unrealized appreciation on
futures contracts*
     97,557      Unrealized depreciation on
futures contracts*
      

Foreign currency risk

   Unrealized appreciation on
foreign currency contracts
     4      Unrealized depreciation on
foreign currency contracts
     11  

 

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Table of Contents

Notes to Financial Statements (unaudited) (continued)

 

     
     Asset Derivatives      Liability Derivatives  
Fund    Balance Sheet Location    Value      Balance Sheet Location    Value  
Enhanced Commodity Strategy Fund (consolidated)            

Commodity risk

   Unrealized appreciation on
futures contracts*
   $ 34,345,689      Unrealized depreciation on
futures contracts*
   $ 7,606,781  

Digital assets risk

   Unrealized appreciation on
futures contracts*
     419,685      Unrealized depreciation on
futures contracts*
      
Managed Futures Strategy Fund (consolidated)            

Commodity risk

   Unrealized appreciation on
futures contracts*
     3,653,209      Unrealized depreciation on
futures contracts*
     319,175  

Equity risk

   Unrealized appreciation on
futures contracts*
     4,920      Unrealized depreciation on
futures contracts*
     1,371,819  

Foreign currency risk

   Unrealized appreciation on
futures contracts*
     60,457      Unrealized depreciation on
futures contracts*
      

Interest rate risk

   Unrealized appreciation on
futures contracts*
     875      Unrealized depreciation on
futures contracts*
     6,250  
Target Range Fund            

Equity risk

   Purchased options, at
value**
     3,885,074      Written options, at value      300,940  
  *

Includes cumulative appreciation (depreciation) of futures contracts as reported in each Fund’s Schedule of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities. Please see Note 2 (Futures Contracts) on page 159 for additional information regarding balance sheet location of balances associated with futures contracts

 

  **

Purchased options, at value are reported in the Fund’s Investment in securities, at value within the Statements of Assets and Liabilities.

For the six months or period ended February 28, 2022, the effects of derivative instruments on each applicable Fund’s financial performance as reflected in the Statements of Operations are presented in the summary below:

 

     
Fund    Amount of Realized Gain
or (Loss) on Derivatives
Recognized1
     Change in Unrealized
Appreciation or
(Depreciation) on
Derivatives Recognized2
 

U.S. Dollar Bullish Fund

 

Foreign currency risk

   $ 5,076,874      $ (1,118,991

Chinese Yuan Strategy Fund

 

Foreign currency risk

     1,100,823        371,593  

Emerging Currency Strategy Fund

 

Foreign currency risk

     (553,153      (259,710

Emerging Markets Corporate Bond Fund

 

Interest rate risk

     219,165        (51,203

Emerging Markets Local Debt Fund

 

Foreign currency risk

     (303,629      245,292  

Interest Rate Hedged High Yield Bond Fund

 

Interest rate risk

     6,177,250        (984,701

Interest Rate Hedged U.S. Aggregate Bond Fund

 

Interest rate risk

     11,063,892        (2,356,507

Mortgage Plus Bond Fund

 

Interest rate risk

     13,995        20,903  

Yield Enhanced U.S. Short-Term Aggregate Bond Fund

 

Interest rate risk

     31,290         

CBOE S&P 500 PutWrite Strategy Fund

 

Equity risk

     2,278,846        (135,510

Efficient Gold Plus Gold Miners Strategy Fund (consolidated)3

 

Commodity risk

     40,283        97,557  

Foreign currency risk

     2,824        (7

Enhanced Commodity Strategy Fund (consolidated)

 

Commodity risk

     21,577,635        16,490,132  

Digital assets risk

     (2,775,032      419,685  

 

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Table of Contents

Notes to Financial Statements (unaudited) (continued)

 

     
Fund    Amount of Realized Gain
or (Loss) on Derivatives
Recognized1
     Change in Unrealized
Appreciation or
(Depreciation) on
Derivatives Recognized2
 

Managed Futures Strategy Fund (consolidated)

 

Commodity risk

   $ (1,496,552    $ 3,107,872  

Equity risk

     (1,483,156      (2,818,110

Foreign currency risk

     (372,366      62,697  

Interest rate risk

     (732,286      105,172  

Target Range Fund4

 

Equity risk

     (541,268      (556,250
  1 

Realized gains (losses) on derivatives are located on the Statements of Operations as follows:

 

Commodity risk

   Net realized gain (loss) from futures contracts

Digital assets risk

  

Net realized gain (loss) from futures contracts

Equity risk

  

Net realized gain (loss) from purchased options

Net realized gain (loss) from written options

Net realized gain (loss) from futures contracts

Foreign currency risk

  

Net realized gain (loss) from foreign currency contracts

Net realized gain (loss) from futures contracts

Interest rate risk

   Net realized gain (loss) from futures contracts

 

  2 

Change in unrealized appreciation (depreciation) is located on the Statements of Operations as follows:

 

Commodity risk

   Net increase (decrease) in unrealized appreciation/depreciation from futures contracts

Digital assets risk

   Net increase (decrease) in unrealized appreciation/depreciation from futures contracts

Equity risk

  

Net increase (decrease) in unrealized appreciation/depreciation from written options

Net increase (decrease) in unrealized appreciation/depreciation from futures contracts

Foreign currency risk

  

Net increase (decrease) in unrealized appreciation/depreciation from futures contracts

Net increase (decrease) in unrealized appreciation/depreciation from foreign currency contracts

Interest rate risk

   Net increase (decrease) in unrealized appreciation/depreciation from futures contracts
  3

For the period December 16, 2021 (commencement of operations) through February 28, 2022.

 

  4

For the period October 7, 2021 (commencement of operations) through February 28, 2022.

During the six months or period ended February 28, 2022, the volume of derivative activity (based on the average of month-end balances) for each Fund was as follows:

 

   
     Average Notional  
Fund    Foreign currency
contracts
(to deliver
USD)
     Foreign currency
contracts
(to receive
USD)
    

Futures

contracts
(long)

    

Futures

contracts
(short)

     Purchased
options
     Written
options
 

U.S. Dollar Bullish Fund

 

Foreign currency risk

   $ 142,603,109      $ 277,323,407      $      $      $      $  

Chinese Yuan Strategy Fund

 

Foreign currency risk

     56,318,370        18,306,122                              

Emerging Currency Strategy Fund

 

Foreign currency risk

     19,804,718        5,789,396                              

Emerging Markets Corporate Bond Fund

 

Interest rate risk

                   10,931,820        10,790,042                

Emerging Markets Local Debt Fund

 

Foreign currency risk

     3,265,970        2,374,432                              

Interest Rate Hedged High Yield Bond Fund

 

Interest rate risk

                   271,366        158,964,485                

Interest Rate Hedged U.S. Aggregate Bond Fund

 

Interest rate risk

                          260,247,926                

Mortgage Plus Bond Fund

 

Interest rate risk

                   1,181,006        1,244,616                

Yield Enhanced U.S. Short-Term Aggregate Bond Fund

 

Interest rate risk

                          318,069                

CBOE S&P 500 PutWrite Strategy Fund

 

Equity risk

                                        74,427,571  

 

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Table of Contents

Notes to Financial Statements (unaudited) (continued)

 

   
     Average Notional  
Fund    Foreign currency
contracts
(to deliver
USD)
     Foreign currency
contracts
(to receive
USD)
    

Futures

contracts
(long)

    

Futures

contracts
(short)

     Purchased
options
     Written
options
 

Efficient Gold Plus Gold Miners Strategy Fund (consolidated)1

 

Commodity risk

   $      $      $ 1,587,333      $      $      $  

Foreign currency risk

     11,253                                     

Enhanced Commodity Strategy Fund (consolidated)

 

Commodity risk

                   281,865,288        67,935,355                

Digital assets risk

                   4,142,339                       

Managed Futures Strategy Fund (consolidated)

 

Commodity risk

                   37,027,704        9,511,544                

Equity risk

                   46,336,217                       

Foreign currency risk

                   15,007,840                       

Interest rate risk

                   10,711,904        3,431,353                

Target Range Fund2

 

Equity risk

                                 10,906,333        14,688,120  
  1

For the period December 16, 2021 (commencement of operations) through February 28, 2022.

 

  2

For the period October 7, 2021 (commencement of operations) through February 28, 2022.

Investment Transactions and Investment Income — Investment transactions are recorded as of the date that the securities are purchased or sold (trade date). Realized gains and losses on sales of portfolio securities are calculated using the identified-cost method. Interest income (including amortization of premiums and accretion of discounts), less any foreign taxes withheld, is accrued daily. Generally, amortization of premiums and accretion of discounts are recognized daily using the effective interest method (also known as scientific amortization method). Payment-in-kind (‘‘PIK’’) interest income is accrued daily and the increase in a security’s principal amount related to such PIK interest income is recorded on the coupon payment date. Dividend income is recognized on the ex-dividend date. On each measurement date, the Funds evaluate the collectability of receivable balances. Generally, the Funds will write-off interest receivable balances in default by the issuer as of the date any applicable interest payment grace period or forbearance period expires or as of the date any interest payment cancellation notification was publicly made available or when it becomes probable that interest will not be collected and the amount of uncollectable interest can be reasonably estimated.

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 foreign currencies, are translated into U.S. dollars using exchange rates prevailing on the respective dates of such transactions that are deemed appropriate by WTAM. Realized and unrealized foreign exchange gains and losses on investments are included as a component of “net realized gain (loss) from investment transactions” and “net increase (decrease) in unrealized appreciation/depreciation from investment transactions”, respectively, on the Statements of Operations. Realized and unrealized foreign exchange gains or losses from foreign currency contracts are included in “net realized gain (loss) from foreign currency contracts” and “net increase (decrease) in unrealized appreciation/depreciation from foreign currency contracts”, respectively, on the Statements of Operations. Realized and unrealized foreign exchange gains or losses arising from sales of foreign currencies, currency gains or losses recognized between the trade and settlement dates on investment transactions, and the difference between the amounts of dividends/interest and foreign withholding taxes recorded on the Funds’ books and the U.S. dollar equivalent of the amounts actually received or paid are included in “net realized gain (loss) from foreign currency related transactions” and/or “net increase (decrease) in unrealized appreciation/depreciation from translation of assets and liabilities denominated in foreign currencies” in the Statements of Operations. Certain foreign exchange gains and losses included in realized and unrealized gains or losses are included in, or are a reduction of, ordinary income in accordance with U.S. Federal income tax regulations.

Expenses — Under the investment advisory agreement for each Fund, except for Funds that commenced operations on or after March 26, 2013, WTAM has agreed to pay all expenses of the Trust, except for: (i) brokerage expenses and other expenses (such as stamp taxes) connected with the execution of portfolio transactions or in connection with creation and redemption transactions; (ii) legal fees or expenses in connection with any arbitration, litigation or pending or threatened arbitration or litigation, including any settlements in connection therewith; (iii) compensation and expenses of trustees who are not interested persons of the Funds (“Independent Trustees”); (iv) compensation and expenses of counsel to the Independent Trustees; (v) compensation and expenses of the Trust’s Chief Compliance Officer (‘‘CCO’’); (vi) extraordinary expenses; (vii) distribution fees and expenses paid by the Trust under any distribution plan adopted pursuant to Rule 12b-1 under the 1940 Act; and (viii) the advisory fee payable to WTAM.

Under the investment advisory agreement for Funds that commenced operations on or after March 26, 2013, WTAM has agreed to pay all expenses of the Trust, except for: (i) brokerage expenses and other fees, charges, taxes, levies or expenses (such as stamp

 

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taxes) incurred in connection with the execution of portfolio transactions or in connection with creation and redemption transactions (including without limitation any fees, charges, taxes, levies or expenses related to the purchase or sale of an amount of any currency, or the patriation or repatriation of any security or other asset, related to the execution of portfolio transactions or any creation or redemption transactions); (ii) legal fees or expenses in connection with any arbitration, litigation or pending or threatened arbitration or litigation, including any settlements in connection therewith; (iii) compensation and expenses of each Independent Trustee; (iv) compensation and expenses of counsel to the Independent Trustees; (v) compensation and expenses of the Trust’s CCO; (vi) extraordinary expenses (in each case as determined by a majority of the Independent Trustees); (vii) distribution fees and expenses paid by the Trust under any distribution plan adopted pursuant to Rule 12b-1 under the 1940 Act; (viii) interest and taxes of any kind or nature (including, but not limited to, income, excise, transfer and withholding taxes); (ix) fees and expenses related to the provision of securities lending services; and (x) the advisory fee payable to WTAM.

Acquired fund fees and expenses (“AFFEs”) (which are fees and expenses incurred indirectly by a Fund through its investments in certain underlying investment companies) are not operating expenses of the Funds and are not paid by WTAM.

Pursuant to a separate contractual arrangement, WTAM arranges for the provision of CCO services with respect to each Fund, and is liable and responsible for, and administers, payments to the CCO, the Independent Trustees and counsel to the Independent Trustees. WTAM receives a fee, as shown on the Statements of Operations under “Service fees”, of up to 0.0044% per annum of each Fund’s average daily net assets for providing such services and paying such expenses. WTAM provides CCO services to the Trust.

Repurchase Agreements — Each Fund may enter into repurchase agreements with counterparties that are deemed to present acceptable credit risks. A repurchase agreement is a transaction in which a Fund acquires securities or other obligations as collateral from a commercial bank or securities broker-dealer and simultaneously commits to resell them to the counterparty at an agreed upon date or upon demand and at a price reflecting a market rate of interest unrelated to the coupon rate or maturity of the acquired obligations. This is designed to result in a fixed rate of return for the Fund insulated from market fluctuations during the holding period. Each Fund maintains custody of the acquired collateral prior to their repurchase, either through its regular custodian or through a special “tri-party” custodian or sub-custodian that maintains separate accounts for both the Fund and the counterparty. Because repurchase agreements are collateralized by securities, they are subject to market and credit risk on the acquired collateral in addition to counterparty credit risk. The acquired collateral is valued on a daily basis at fair value to ensure that the value, including accrued interest, is at least equal to the repurchase price. If the acquired collateral declines in value and becomes less than the repurchase price, plus any agreed-upon additional amount, the counterparty must provide additional collateral so that at all times the collateral value is at least equal to the repurchase price plus any agreed-upon additional amount. In the event of default of the obligation to repurchase, a Fund has the right to liquidate the collateral and apply the proceeds in satisfaction of the obligations. Under certain circumstances, in the event of default or bankruptcy by the other party to the agreement, realization and/or retention of the collateral may be subject to legal proceedings.

Foreign Currency Contracts — The Currency Strategy Funds, except the U.S. Dollar Bullish Fund, utilized foreign currency contracts to obtain net long exposure to foreign currencies consistent with each Currency Strategy Fund’s investment strategy. The U.S. Dollar Bullish Fund utilized foreign currency contracts to obtain net short exposure to foreign currencies consistent with its investment strategy. The Emerging Markets Local Debt Fund utilized foreign currency contracts to obtain long and short exposures to foreign currencies consistent with its investment objective. The Efficient Gold Plus Gold Miners Strategy Fund utilized foreign currency contracts primarily to facilitate foreign security settlements. A foreign currency contract involves an obligation to purchase or sell a specific currency at a future date, which may be any fixed number of days from the date of the contract agreed upon by the parties, at a price set at the time of the contract. These contracts are principally traded in the inter-bank market conducted directly between currency traders (usually large, commercial banks) and their customers. A foreign currency contract generally does not require an initial margin deposit and no commissions are charged at any stage for trades. However, if a Fund is in an unrealized loss position on a foreign currency contract, it may be required to pledge collateral (or additional collateral) to the counterparty. If a Fund is in an unrealized gain position on a foreign currency contract, it may receive collateral from the counterparty. In the event of a default or inability of counterparties to meet the terms of their contracts, the non-defaulting party generally has the right to liquidate the collateral and apply the proceeds in satisfaction of the contract terms.

Risks may arise upon entering into foreign currency contracts from the potential inability of counterparties to meet the terms of their contracts and from unanticipated movements in the value of foreign currencies relative to the U.S. dollar or each other.

Fluctuations in the value of open foreign currency contracts are recorded for book purposes as unrealized gains or losses on foreign currency contracts by the Funds and are included in “net increase (decrease) in unrealized appreciation/depreciation from foreign currency contracts” on the Statements of Operations. Realized gains and losses on foreign currency contracts include net gains or losses recognized by the Funds on contracts which have settled are included in “net realized gain (loss) from foreign currency contracts on the Statements of Operations.

 

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Futures Contracts — The Duration Funds and the Yield Enhanced U.S. Short-Term Aggregate Bond Fund utilized futures contracts to obtain net short exposure to U.S. Treasury bonds to hedge against a rise in interest rates. The Emerging Markets Corporate Bond Fund and the Mortgage Plus Bond Fund each utilized futures contracts on U.S. Treasury bonds to manage interest rate risk. The Efficient Gold Plus Gold Miners Strategy Fund utilized futures contracts to obtain long exposure to commodities consistent with its investment objective. The Enhanced Commodity Strategy Fund utilized futures contracts to obtain long and short exposures to commodities consistent with its investment objective. The Managed Futures Strategy Fund utilized futures contracts to obtain long and short exposures to currencies, commodities, interest rates and equity indexes consistent with its investment objective. When a Fund purchases a listed futures contract, it agrees to purchase a specified reference asset (e.g., commodity, currency, equity or U.S. Treasury security) at a specified future date. When a Fund sells a listed futures contract, it agrees to sell a specified reference asset (e.g., commodity, currency, equity or U.S. Treasury security) at a specified future date. The price at which the purchase and sale will take place is fixed when the Fund enters into the contract. The exchange clearing corporation is the ultimate counterparty for all exchange-listed contracts, so credit risk is limited to the creditworthiness of the exchange clearing corporation.

Upon entering into a futures contract, a Fund is required to deliver to a broker an amount of cash and/or U.S. government securities equal to a certain percentage of the contract amount. This amount is known as the “initial margin”. Cash deposited as initial margin is shown as “Deposits at broker for futures contracts” in the Statement of Assets and Liabilities, and U.S. government securities deposited are designated in the Schedule of Investments. Subsequent payments, known as “variation margin”, generally are made or received by the Fund each day or at other agreed-upon time periods depending on the fluctuations in the value of the underlying futures contracts, except that in the case of certain futures contracts, variation margin payments may be made or received when the futures contract expires. Variation margin is recorded for financial statement purposes on a daily basis as an unrealized gain or loss on futures until the financial futures contract is closed, at which time the net gain or loss is reclassified to realized gain or loss on futures. The current one-day variation margin on open futures contracts is shown on the Statements of Assets and Liabilities as either a receivable or a payable for ‘‘Net variation margin on futures contracts’’. The variation margins received or paid by the Funds on both open and closed futures contracts are shown in the Statements of Assets and Liabilities, in whole or in part, as a component of, or an offset to, ‘‘Deposits at broker for futures contracts’’. Deposits at broker utilized for futures contract margin requirements generally are restricted from withdrawal. When a Fund purchases or sells a futures contract, the Fund is required to “cover” its position in order to limit the risk associated with the use of leverage and other related risks. To cover its position, a Fund will segregate assets consisting of, or take other measures with respect to, cash or liquid securities that, when added to any amounts deposited with a futures commission merchant as margin, will “cover” its position in a manner consistent with the 1940 Act or the rules and SEC interpretations thereunder. This will function as a practical limit on the amount of leverage which a Fund may undertake and on the potential increase in the speculative character of a Fund’s outstanding portfolio securities.

Options Contracts — The CBOE S&P 500 PutWrite Strategy Fund utilized option contracts by writing put options on the S&P 500 Index consistent with its investment objective. The Target Range Fund utilized option contracts by purchasing long call options and writing short call options on a portfolio of four exchanged traded funds (“ETFs”) that track the performance of large- and mid-capitalization companies in the United States, developed market countries and emerging market countries, respectively, consisting of the SPDR® S&P 500 ETF Trust, iShares Russell 2000 ETF, iShares MSCI EAFE ETF, and iShares MSCI Emerging Markets ETF consistent with its investment objective. A put option gives the purchaser of the option the right to sell, and the writer of the option the obligation to buy, the underlying security or financial instrument. A call option gives the purchaser of the option the right to buy, and the writer of the option the obligation to sell, the underlying security or financial instrument. A premium is paid to the writer of an option as consideration for undertaking the obligation in the contract. The CBOE S&P 500 PutWrite Strategy Fund and Target Range Fund may purchase and write options on an exchange or over the counter (“OTC”). OTC options differ from exchange-traded options in several respects. They are transacted directly with dealers and not with a clearing corporation, and therefore entail the risk of nonperformance by the dealer. OTC options are available for a greater variety of securities and for a wider range of expiration dates and exercise prices than are available for exchange-traded options. Because OTC options are not traded on an exchange, pricing is done normally by reference to information from a market maker.

When an option is purchased, an amount equal to the premium paid is recorded as an asset, the value of which is marked-to-market to reflect the current market value of the option purchased. If the purchased option expires, a loss equal to the amount of premium paid is realized. When a security or financial instrument is purchased or sold through the exercise of an option, the related premium paid is added to the basis of the security or financial instrument acquired or deducted from the proceeds of the security or financial instrument sold.

When an option is written, an amount equal to the premium received is recorded as a liability, the value of which is marked-to-market daily to reflect the current market value of the option written. If the option expires, the premium received is recorded as a realized gain. When a written call option is exercised, the difference between the premium received plus the option exercise price and the basis in the underlying security (in the case of a covered written call option), or the cost to purchase the underlying security (in the case of an uncovered written call option), including brokerage commission, is recognized as a realized

 

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gain or loss. When a written put option is exercised, the amount of the premium received is subtracted from the cost of the security purchased from the exercise of the written put option to form the basis in the underlying security purchased.

The purchaser or writer of an option may close the position before the exercise of the option by entering into a closing transaction. In the case of a written option, the cost of a closing transaction is deducted from the original premium received resulting in a realized gain or loss. With respect to a purchased option, the original premium paid is deducted from the proceeds received from a closing transaction resulting in a realized gain or loss.

The maximum payout for written put options is limited to the number of contracts written and the associated strike prices. At February 28, 2022, the maximum payout for written put options for the CBOE S&P 500 PutWrite Strategy Fund was $95,048,000. The maximum payout for written call options is potentially unlimited to the extent that the written call option is uncovered.

The risk associated with purchasing put and call options is limited to the premiums paid. The risk in writing a covered call option is that the writer of the option may forego the opportunity of profit if the market price of the underlying security increases and the option is exercised. The risk in writing an uncovered call option is that the writer of the option is exposed to the risk of loss if the market price of the underlying security increases. The risk in writing a put option is that the writer of the option may incur a loss if the market price of the underlying security decreases and the option is exercised. In addition, there is the risk that the purchaser or writer of an option may not be able to enter into a closing transaction because of an illiquid secondary market.

Other significant risks associated with the use of options contracts may include the following: (1) the success of a strategy may depend on the investment adviser’s ability to predict movements in the prices of individual commodities, currencies or securities, fluctuations in markets and movements in interest rates; (2) there may be an imperfect or no correlation between the changes in market value of the commodities, currencies or securities and the price of options; (3) although the CBOE S&P 500 PutWrite Strategy Fund and Target Range Fund intend to enter into options contracts only if there is an active market for such contracts, there is no assurance that an active market will exist for the contracts at any particular time; (4) trading restrictions or limitations may be imposed by an exchange; and (5) government regulations may restrict trading in options contracts.

Securities Lending — Each Fund may lend portfolio securities to certain creditworthy borrowers, including the Funds’ securities lending agent. It is the Funds’ policy that, at origination, all loans are secured by collateral of at least 102% of the value of U.S. securities loaned and 105% of the value of foreign securities loaned. Collateral in the form of cash and/or securities issued or guaranteed by the U.S. government or its agencies, equivalent to at least 100% of the market value of securities, is maintained at all times. The cash collateral can be invested in certain money market mutual funds which also have exposure to the fluctuations of the market. The values of the investments of cash collateral for securities on loan along with the obligations to return such collateral are included on the Statements of Assets and Liabilities. The total value of securities received as collateral for securities on loan is included in a footnote following each Schedule of Investments, but is not included within the Statements of Assets and Liabilities because the receiving Fund does not have the right to sell or repledge the securities received as collateral. As compensation for lending its securities, each Fund retains all or a portion of the interest received on investment of cash collateral or receives a fee from the borrower (net of any fee rebates paid to the borrower). The lending agent receives a portion of the income earned by the Funds in connection with the lending program. The net securities lending income earned by the Funds is disclosed on the Statements of Operations. The dividend and interest income earned on the securities loaned is accounted for in the same manner as other dividend and interest income. The borrower pays to the Funds an amount equal to any dividends or interest received on loaned securities. Dividends received while a security is out on loan are not considered Qualified Dividend Income (“QDI”) under the specific criteria issued by the Internal Revenue Service and are subject to taxation at the shareholder’s ordinary income tax rate instead of the lower long-term capital gains tax rate. Lending portfolio securities could result in a loss or delay in recovering each Fund’s securities if the borrower defaults. In the event of a borrower default with respect to the failure to return to each Fund some or all of the securities loaned, the securities lending agent shall indemnify each Fund against the failure of the borrower if the value of the collateral received is insufficient to cover the market value of the securities loaned.

Master Netting Arrangements — Codification Topic 210 (“ASC 210”), Balance Sheet, requires disclosures generally intended to (i) help investors and other financial statement users to better assess the effect or potential effect of offsetting arrangements on a company’s financial position, (ii) improve transparency in the reporting of how companies mitigate credit risk, and (iii) facilitate comparisons between those entities that prepare their financial statements on the basis of GAAP and those entities that prepare their financial statements on the basis of international financial reporting standards. ASC 210 requires entities to disclose (i) gross and net information about both instruments and transactions eligible for offset in the financial statements, and (ii) instruments and transactions subject to an agreement similar to a master netting agreement. ASC 210 is limited in scope to the following financial instruments, to the extent they are offset in the financial statements or subject to an enforceable master netting arrangement or similar agreement: (i) recognized derivative instruments accounted for under ASC 815 (Derivatives and Hedging); (ii) repurchase agreements and reverse repurchase agreements; and (iii) securities borrowing and securities lending transactions.

 

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In order to better define its contractual rights and to secure rights that will help a Fund mitigate its counterparty risk, a Fund enters into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) with its counterparties. An ISDA Master Agreement is a bilateral agreement between a Fund and a counterparty that governs over-the-counter derivatives (“OTC”), such as foreign currency contracts, and typically contains, among other things, collateral posting terms, netting and rights of set-off provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, a Fund may, under certain circumstances, offset with the counterparty certain derivative financial instruments’ payables and receivables to create a single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of a default (close-out netting) or similar event, including the bankruptcy or insolvency of the counterparty.

Collateral requirements generally differ by type of derivative. Collateral terms are contract-specific for OTC derivatives (e.g., foreign currency contracts, options and certain swaps). Generally, for transactions traded under an ISDA Master Agreement, the collateral requirements are calculated by netting the marked to market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by a Fund and the counterparty. Generally, the amount of collateral due from or to a counterparty must exceed a minimum transfer amount threshold before a transfer is required to be made. To the extent amounts due to a Fund from its derivatives counterparties are not fully collateralized, contractually or otherwise, the Fund bears the risk of loss from a counterparty’s non-performance.

Repurchase agreements are subject to the terms and conditions of a Master Repurchase Agreement (“Master Repurchase Agreement”) between a Fund and a counterparty. In the event of a default or failure by a party to perform an obligation with respect to a repurchase transaction, the Master Repurchase Agreement gives the non-defaulting party the right to set-off claims and to apply collateral held by it in connection with a repurchase transaction against obligations owed to the non-defaulting party.

The Funds’ securities lending activities are governed by a Securities Lending Authorization Agreement (“Lending Agreement”) between the Funds and the lending agent. The Lending Agreement authorizes the lending agent to lend qualifying U.S. and foreign securities held by a Fund to approved borrowers (each a “Borrower”). To mitigate borrower risk, a Fund typically receives from a Borrower collateral in the form of U.S. dollar cash and/or securities issued or guaranteed by the U.S. government or its agencies in excess of the market value of the securities loaned. Under the provisions of the Lending Agreement, a Fund shall have, as to the collateral, all of the rights and remedies of a secured party under applicable law. A Fund is exposed to risk of loss if a Borrower defaults on its obligation to return borrowed securities and the value of the collateral a Fund received is insufficient to cover the market value of the securities loaned. Also, the lending agent is permitted to invest the cash collateral it receives from a Borrower into a money market fund which is subject to market fluctuation. Therefore, a Fund is exposed to risk of loss if the value of invested cash collateral is insufficient to satisfy the Fund’s obligation to return the full amount owed to such Borrower.

The Funds’ futures contracts and option contracts are all exchange traded and are not subject to master netting arrangements. Therefore, all futures contracts and option contracts are excluded from the netting table.

For financial reporting purposes, the Funds elect to not offset assets and liabilities subject to an ISDA Master Agreement, Master Repurchase Agreement or Lending Agreement, if any, in the Statements of Assets and Liabilities. Therefore, all qualifying transactions are presented on a gross basis in the Statements of Assets and Liabilities. As of February 28, 2022, the impact of netting of assets and liabilities and the offsetting of collateral pledged or received based on contractual netting/set-off provisions in the ISDA Master Agreement, Master Repurchase Agreement and the Lending Agreement are detailed in the following table:

 

       
    Assets           Liabilities  
   

Gross Amounts
in the
Statements of

Assets and
Liabilities

    Gross Amounts Not Offset
in the Statements of
Assets and Liabilities
               

Gross Amounts
in the

Statements of

Assets and
Liabilities

    Gross Amounts Not Offset
in the Statements of
Assets and Liabilities
       
Fund   Financial
Instruments
    Collateral
Received
    Net Amount            Financial
Instruments
    Collateral
Posted
    Net Amount  

U.S. Dollar Bullish Fund

 

Foreign Currency Contracts

  $ 269,774     $ (166,424   $     $ 103,350             $ 671,988     $ (166,424   $     $ 505,564  

Chinese Yuan Strategy Fund

 

Repurchase Agreements

    10,790,000             (10,790,000 )1                                       

Foreign Currency Contracts

    469,980       (8,670           461,310               30,676       (8,670           22,006  

Emerging Currency Strategy Fund

 

Repurchase Agreements

    3,930,000             (3,930,000 )1                                       

Foreign Currency Contracts

    188,523       (1,130           187,393               345,207       (1,130           344,077  

Emerging Markets Corporate Bond Fund

 

Securities Lending

    4,588,634             (4,588,634 )1                                       

 

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    Assets           Liabilities  
   

Gross Amounts
in the
Statements of

Assets and
Liabilities

    Gross Amounts Not Offset
in the Statements of
Assets and Liabilities
               

Gross Amounts
in the

Statements of

Assets and
Liabilities

    Gross Amounts Not Offset
in the Statements of
Assets and Liabilities
       
Fund   Financial
Instruments
    Collateral
Received
    Net Amount            Financial
Instruments
    Collateral
Posted
    Net Amount  

Emerging Markets Local Debt Fund

 

Repurchase Agreements

  $ 2,030,000     $     $ (2,030,000 )1    $             $     $     $     $  

Foreign Currency Contracts

    58,218       (301           57,917               20,926       (301           20,625  

Interest Rate Hedged High Yield Bond Fund

 

Securities Lending

    12,664,710             (12,664,710 )1                                       

Interest Rate Hedged U.S. Aggregate Bond Fund

 

Securities Lending

    4,009,867             (4,009,867 )1                                       

Repurchase Agreements

    22,060,000             (22,060,000 )1                                       

Yield Enhanced U.S. Aggregate Bond Fund

 

Securities Lending

    7,004,783             (7,004,783 )1                                       

Repurchase Agreements

    195,430,000             (195,430,000 )1                                       

Alternative Income Fund

 

Securities Lending

    3,718             (3,718 )1                                       

Efficient Gold Plus Gold Miners Strategy Fund (consolidated)

 

Foreign Currency Contracts

    4       (3           1               11       (3           8  
  1 

The amount of collateral presented has been limited such that the net amount by counterparty cannot be less than zero.

Short-Term Investments — Each Fund may invest a portion of its assets in high-quality money market instruments on an ongoing basis to provide liquidity or for other reasons. The instruments include short-term obligations issued by the U.S. government, its agencies, non-U.S. government agencies, negotiable certificates of deposit (“CDs”), fixed time deposits and bankers’ acceptances of U.S. and foreign banks and similar institutions, commercial papers, repurchase agreements and money market funds. CDs are short-term negotiable obligations of commercial banks. Time deposits are non-negotiable deposits maintained in banking institutions for specified periods of time at stated interest rates. Banker’s acceptances are time drafts drawn on commercial banks by borrowers, usually in connection with international transactions.

Interest-Only and Principal-Only Securities — The Funds may invest in interest-only (“IO”) and principal-only (“PO”) securities which are typically created by splitting a traditional mortgage-backed security or pool of loans into an IO and a PO security. In general, the IO security is entitled to receive the interest payments on the underlying debt obligation(s) and the PO security is entitled to receive the principal payments of the underlying debt obligation(s). Both IO and PO securities are subject to prepayments and therefore prepayment risk. IO securities are at risk for faster than anticipated prepayments and PO securities are at risk for slower than anticipated prepayments. Assumptions regarding the rates of prepayment play a significant role in the value of these securities. If the underlying debt obligation experiences greater than anticipated prepayments of principal, a Fund may not fully recoup its initial investment in the IO security.

Collateralized Loan Obligations — The Funds may invest in the debt tranche of collateralized loan obligations (“CLOs”). CLOs bear many of the same risks as other forms of asset-backed securities, including interest rate risk, credit risk and default risk. As CLOs are backed by pools of loans, they also bear similar risks to investing in loans directly. CLOs issue classes or “tranches” that vary in risk profile and yield. CLOs may experience substantial losses attributable to loan defaults. Losses caused by defaults on underlying assets are borne first by the holders of subordinate tranches. The value of an investment in a CLO may decline as a result of, but not limited to, underlying loan defaults and/or market anticipation of defaults, credit impairment on the underlying loans or the disappearance of one of more subordinate tranches resulting from changes in the credit profile of the underlying loans.

To-be-announced Transactions — Interest Rate Hedged U.S. Aggregate Bond Fund, Mortgage Plus Bond Fund, Yield Enhanced U.S. Aggregate Bond Fund and the Yield Enhanced U.S. Short-Term Aggregate Bond Fund invest in U.S. agency mortgage-backed pass-through securities which are securities issued by entities such as Government National Mortgage Association and Federal National Mortgage Association that are backed by pools of mortgages. Most transactions in mortgage-backed pass-through securities occur for future delivery in which the exact mortgage pools to be delivered are not specified until a few days prior to settlement, referred to as a “to-be-announced transaction” or “TBA Transaction.” In a TBA Transaction, the buyer and seller agree upon general trade parameters such as agency, settlement date, par amount and price. The actual pools delivered generally are determined a few days prior to the settlement date; however, it is not anticipated that the Interest Rate Hedged U.S. Aggregate Bond Fund, Mortgage Plus Bond Fund, Yield Enhanced U.S. Aggregate Bond Fund and the Yield Enhanced U.S. Short-Term Aggregate Bond Fund will take delivery of pools, but instead will participate in rolling TBA Transactions whereby instead of receiving pools on the purchase settlement date, the position is offset by a current sale of the TBA security with a simultaneous forward purchase of a substantially similar TBA security (i.e., same type, coupon, maturity) to settle on a specified future date.

 

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Short Sale Transactions — Each Fund may enter into “short sale” transactions in which a Fund sells a security that it does not own in anticipation of a decline in the market price of that security. When a Fund enters into a short sale transaction, the Fund will borrow the security and deliver it to the counterparty to which the Fund sold the security short. An amount equal to the proceeds and accrued interest to be received by the Fund is reflected as an asset in ‘‘Receivables: Due from broker for securities sold short’’ and an equivalent liability in ‘‘Securities sold short, at value’’ on the Statement of Assets and Liabilities. The amount of the liability is subsequently marked-to-market to reflect the current market value of the securities sold short. Any interest or dividends that accrue on the securities borrowed are shown as an interest expense or dividend expense in the Statement of Operations of the Fund. A realized gain, limited to the proceeds received at which the Fund sold the security short, or a realized loss, unlimited as to the dollar amount, will be recognized upon the termination of a short sale if the cost to close out the short sale transaction is either less than (in the case of a gain) or greater than (in the case of a loss) the proceeds received. The risk of loss on a short sale transaction is potentially unlimited unlike the risk of loss on a long position, which is limited to the amount paid for the investment plus transaction costs. Funds entering into short sale transactions are exposed to the risk that they may be unable to close out a short sale position at any particular time or at an acceptable price.

Digital Assets Risk — The WisdomTree Enhanced Commodity Strategy Fund (“GCC”) invests up to 5% of its net assets in bitcoin futures contracts. GCC only invests in cash-settled bitcoin futures traded on the Chicago Mercantile Exchange, which is a futures exchange registered with the Commodity Futures Trading Commission. Bitcoin is a digital asset (i.e., a cryptocurrency) whose ownership and behavior are determined by participants in an online, peer-to-peer network that connects computers that run publicly accessible, or “open source,” software that follows the rules and procedures governing the Bitcoin network. GCC does not invest in bitcoin directly. Bitcoin and bitcoin futures are a relatively new asset class. They are subject to unique and substantial risks, and historically, have been subject to significant price volatility. The market for bitcoin futures is also relatively new and commenced trading on the Chicago Mercantile Exchange in 2017. As a result, the market for bitcoin futures may be less developed, and potentially less liquid and more volatile, than more established futures markets. While the bitcoin futures market has grown substantially since bitcoin futures commenced trading, there can be no assurances that this growth will continue. The price of bitcoin could drop precipitously (including to zero), which would be expected to have a similar impact on the bitcoin futures price. Each of these factors and events could have a significant negative impact on GCC.

Tax Information and Dividends and Distributions to Shareholders — It is each Fund’s policy to comply with all requirements of the Internal Revenue Code of 1986, as amended (the “Code”). A portion of the Code, known as subchapter M (“Subchapter M”), addresses the ways by which investment companies and investment trusts may pass income through to shareholders in order to avoid double taxation. Each Fund intends to qualify for and to elect treatment as a separate Regulated Investment Company (“RIC”) under Subchapter M of the Code so that it will not be subject to federal income tax on income and gains that are timely distributed to Fund shareholders. Accordingly, no provision for U.S. federal income taxes is required. In order to qualify for the special tax treatment accorded to RICs and their shareholders, each Fund must, among other things, distribute with respect to each taxable year an amount equal to or greater than the sum of 90% of its investment company taxable income and 90% of its net tax-exempt interest income. There can be no guarantee that a Fund will pay dividends. Taxable net realized gains from investment transactions, reduced by capital loss carryforwards, if any, are declared and distributed to shareholders at least annually. The capital loss carryforward amount, if any, is available to offset future net capital gains. The Funds may occasionally be required to make supplemental distributions at some other time during the year. The Trust reserves the right to declare special distributions if, in its reasonable discretion, such action is necessary or advisable to preserve the status of each Fund as a RIC or to avoid imposition of income or excise taxes on undistributed income. Dividends and distributions to shareholders are recorded on the ex-dividend date. The amount of dividends and distributions from net investment income and net realized capital gains is determined in accordance with the requirements of the Code and the U.S. Treasury regulations. These book/tax differences are either considered temporary or permanent in nature. To the extent these differences are permanent in nature, such amounts are reclassified within the components of net assets based on their Federal tax basis treatment; temporary differences do not require reclassification. Dividends and distributions that exceed earnings and profit for tax purposes are reported for tax purposes as a return of capital.

3. ADVISORY FEES AND OTHER TRANSACTIONS WITH AFFILIATES

WTAM has overall responsibility for the general management and administration of the Trust. WTAM provides an investment program for each Fund. WTAM has arranged for Mellon Investments Corporation (‘‘Mellon’’) to provide sub-advisory services to the Funds, except for Emerging Markets Corporate Bond Fund, Interest Rate Hedged High Yield Bond Fund, Mortgage Plus Bond Fund and Yield Enhanced U.S. Short-Term Aggregate Bond Fund which are sub-advised by Voya Investment Management Co., LLC (‘‘Voya IM’’) and CBOE S&P 500 PutWrite Strategy Fund, Enhanced Commodity Strategy Fund, Managed Futures Strategy Fund and Target Range Fund which are sub-advised by Newton Investment Management North America, LLC (‘‘Newton’’). Mellon, Voya IM and Newton are compensated by WTAM at no additional cost to the Funds. WTAM also arranges for transfer agency, custody, fund accounting, fund administration, securities lending and all other non-distribution related services necessary for the Funds to operate, which are generally under separate agreements entered into between the Trust on behalf of the Funds and the applicable service provider. Under the investment advisory agreement for each Fund, WTAM agrees to pay all expenses of the Funds, except for certain expenses described in Note 2.

 

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Pursuant to a separate contractual arrangement, as also described in Note 2, WTAM arranges for the provision of CCO services with respect to each Fund, and is liable and responsible for, and administers, payments to the CCO, the Independent Trustees and counsel to the Independent Trustees in exchange for a fee, accrued daily and paid monthly in arrears, of up to 0.0044% per annum of each Fund’s average daily net assets.

WTAM expects to receive annual advisory fees from each Fund, based on a percentage of the Fund’s average daily net assets, as shown in the following table:

 

   
Fund   

Advisory

Fee Rate

U.S. Dollar Bullish Fund

   0.50%

Chinese Yuan Strategy Fund

   0.45%

Emerging Currency Strategy Fund

   0.55%

Emerging Markets Corporate Bond Fund

   0.60%

Emerging Markets Local Debt Fund

   0.55%

Floating Rate Treasury Fund

   0.15%

Interest Rate Hedged High Yield Bond Fund

   0.43%

Interest Rate Hedged U.S. Aggregate Bond Fund

   0.23%

Mortgage Plus Bond Fund

   0.45%

Yield Enhanced U.S. Aggregate Bond Fund

   0.12%

Yield Enhanced U.S. Short-Term Aggregate Bond Fund

   0.12%

Alternative Income Fund

   0.50%

CBOE S&P 500 PutWrite Strategy Fund

   0.44%

Efficient Gold Plus Gold Miners Strategy Fund (consolidated)

   0.45%

Enhanced Commodity Strategy Fund (consolidated)

   0.55%

Managed Futures Strategy Fund (consolidated)

   0.65%

Target Range Fund

   0.70%

Affiliated holdings are investments in entities in which the Fund owns 5% or more of the outstanding voting securities or are investments in entities which are under common ownership or control. Transactions in shares of affiliated ETFs for the fiscal period ended February 28, 2022, as applicable, are included in an ‘‘Investment in Affiliates’’ supplementary table in each applicable Fund’s Schedule of Investments. For these transactions, WTAM voluntarily waives a portion of the advisory fees, that it would otherwise charge, in an amount equal to the indirect AFFE (which are fees and expenses incurred indirectly by a Fund through its investments in certain underlying investment companies) attributable to each Fund’s investment in affiliated ETFs. The dollar amount of advisory fees waived during the period for the Funds, if any, are included in the Statement of Operations in “Expense waivers”.

WTAM and/or WisdomTree Investments (collectively herein, “WT”) may from time to time own shares of a Fund. As of and for the six months ended February 28, 2022, WT held shares of and received distributions from the following Funds, which were purchased through an unaffiliated broker in ordinary brokerage transactions in the secondary market in which the Funds’ shares trade:

 

       
     At February 28, 2022           

For the

Six Months Ended
February 28, 2022

 
Fund    Fund Shares
held by WT
     Market Value of
Fund Shares
held by WT
            Dividends and
Distributions paid to
WT on Fund Shares
held by WT
 

Emerging Markets Local Debt Fund

     176      $ 4,972              $ 143  

Floating Rate Treasury Fund

     37,025        930,438                78  

Interest Rate Hedged High Yield Bond Fund

     309        6,668                138  

Interest Rate Hedged U.S. Aggregate Bond Fund

     21,356        986,007                7,955  

Mortgage Plus Bond Fund

     79,089        3,886,449                46,921  

Yield Enhanced U.S. Aggregate Bond Fund

     62,754        3,100,675                31,940  

Yield Enhanced U.S. Short-Term Aggregate Bond Fund

     58,139        2,878,462                16,154  

CBOE S&P 500 PutWrite Strategy Fund

     174        5,866                 

Enhanced Commodity Strategy Fund (consolidated)

     138        3,243                274  

Managed Futures Strategy Fund (consolidated)

     209        7,311                 

 

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Notes to Financial Statements (unaudited) (continued)

 

During the fiscal period ended February 28, 2022, in connection with the organization of the Efficient Gold Plus Gold Miners Strategy Fund and the Target Range Fund, newly launched Funds, WTAM contributed $100 to both Funds in exchange for 4 shares of each Fund. Prior to February 28, 2022, WTAM redeemed the aforementioned shares as follows: 4 shares of the Efficient Gold Plus Gold Miners Strategy Fund for proceeds of $98 and 4 shares of the Target Range Fund for proceeds of $100.

4. CAPITAL SHARE TRANSACTIONS

As of February 28, 2022, there were an unlimited number of $0.001 par value shares of beneficial interest authorized by the Trust. Shares are issued and redeemed by each Fund only in creation units or multiples thereof. Except when aggregated in creation units, shares of each Fund are not redeemable. Transactions in shares for each Fund are disclosed in detail in the Statements of Changes in Net Assets. Generally, Funds issue and redeem shares on a cash basis, however, shares may also be issued or redeemed in kind. Investors purchasing and redeeming creation units may be charged a purchase transaction fee and a redemption transaction fee to offset transfer and other transaction costs associated with the issuance and redemption of creation units.

5. INVESTMENT PORTFOLIO TRANSACTIONS

Purchases and sales of investments (excluding purchases and sales resulting from in-kind capital share transactions and short-term investments) and the cost of purchases and the proceeds from sales resulting from in-kind capital share transactions (excluding short-term investments) for the six months or period ended February 28, 2022 are shown in the following table. Realized gains and losses on sales resulting from in-kind capital share redemptions, as shown on the Statements of Operations, are not recognized by the Funds for tax purposes.

 

       
    Non-U.S. Government Securities     U.S. Government Securities     In-kind Capital Share Transactions  
Fund   Purchases     Sales     Purchases     Sales     Purchases     Sales  

U.S. Dollar Bullish Fund

  $ 502,250     $ 1,757,556     $     $     $     $  

Chinese Yuan Strategy Fund

          200,700                          

Emerging Currency Strategy Fund

    125,563       125,474                          

Emerging Markets Corporate Bond Fund

    10,362,684       9,316,489                   14,442,891        

Emerging Markets Local Debt Fund

    29,382,568       25,953,312                         3,703,785  

Floating Rate Treasury Fund

                1,613,839,353       1,527,347,065       1,187,102,144       70,320,676  

Interest Rate Hedged High Yield Bond Fund

    18,996,310       15,525,385                   82,434,980       28,555,237  

Interest Rate Hedged U.S. Aggregate Bond Fund

    1,483,988       4,832,589       184,693,839       140,798,851       65,962,629        

Mortgage Plus Bond Fund

    243,262       876,059       73,732,168       73,416,785              

Yield Enhanced U.S. Aggregate Bond Fund

    54,834,329       82,086,145       1,666,243,306       1,626,512,400       40,697,145       22,445,895  

Yield Enhanced U.S. Short-Term Aggregate Bond Fund

    1,515,549       6,059,237       193,633,227       204,916,730             24,665,956  

Alternative Income Fund

    3,543,771       3,586,181                   3,572,743       5,301,032  

CBOE S&P 500 PutWrite Strategy Fund

    1,181,420                                

Efficient Gold Plus Gold Miners Strategy Fund (consolidated)1

    1,362,226       122,765                   2,380,108        

Enhanced Commodity Strategy Fund (consolidated)

    5,790,136       1,403,549                          

Managed Futures Strategy Fund (consolidated)

    507,926       451,751                          

Target Range Fund2

    3,143,128                                
  1

For the period December 16, 2021 (commencement of operations) through February 28, 2022.

 

  2

For the period October 7, 2021 (commencement of operations) through February 28, 2022.

 

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6. FEDERAL INCOME TAXES

At February 28, 2022, the cost of investments (including securities on loan, derivatives and securities sold short) for Federal income tax purposes was as follows:

 

         
    Investments in Long Securities           Investments in Securities Sold Short and
Financial Derivatives1
       
Fund   Tax Cost     Gross
Unrealized
Appreciation
    Gross
Unrealized
Depreciation
    Net Unrealized
Appreciation/
(Depreciation)
           Gross
Unrealized
Appreciation
    Gross
Unrealized
Depreciation
    Net Unrealized
Appreciation/
(Depreciation)
   

Total Net
Unrealized
Appreciation/

(Depreciation)

 

U.S. Dollar Bullish Fund

  $ 107,332,073     $ 11,258     $ (14,582   $ (3,324           $     $     $     $ (3,324

Chinese Yuan Strategy Fund

    33,345,725       1,738       (1,431     307                                 307  

Emerging Currency Strategy Fund

    13,791,598       581       (592     (11             34,561       (1,130     33,431       33,420  

Emerging Markets Corporate Bond Fund

    68,619,173       215,206       (7,223,383     (7,008,177                               (7,008,177

Emerging Markets Local Debt Fund

    132,249,757       1,341,297       (22,499,339     (21,158,042             10,067             10,067       (21,147,975

Floating Rate Treasury Fund

    2,379,319,808       2,267,500       (364     2,267,136                                 2,267,136  

Interest Rate Hedged High Yield Bond Fund

    228,033,303       826,080       (8,614,534     (7,788,454                               (7,788,454

Interest Rate Hedged U.S. Aggregate Bond Fund

    335,027,589       1,763,139       (6,789,746     (5,026,607                               (5,026,607

Mortgage Plus Bond Fund

    39,288,736       127,982       (761,727     (633,745                               (633,745

Yield Enhanced U.S. Aggregate Bond Fund

    1,295,223,345       5,758,251       (42,462,883     (36,704,632                   (7,029     (7,029     (36,711,661

Yield Enhanced U.S. Short-Term Aggregate Bond Fund

    156,263,832       192,332       (3,856,735     (3,664,403                               (3,664,403

Alternative Income Fund

    8,132,492       53,843       (743,843     (690,000                               (690,000

CBOE S&P 500 PutWrite Strategy Fund

    80,450,918       20,545       (1,841     18,704                                 18,704  

Efficient Gold Plus Gold Miners Strategy Fund (consolidated)2

    3,627,681       312,901       (39,867     273,034               4       (11     (7     273,027  

Enhanced Commodity Strategy Fund (consolidated)2

    240,145,247       6,772       (15,467,961     (15,461,189                               (15,461,189

Managed Futures Strategy Fund (consolidated)2

    189,807,023       14,755       (66,150,771     (66,136,016                               (66,136,016

Target Range Fund

    21,453,537       67       (699,689     (699,622                               (699,622
  1 

Certain financial derivatives may be considered section 1256 contracts under the Code. Each section 1256 contract held at the close of a taxable year shall be treated as sold for its fair market value on the last business day of such taxable year (and any realized gain and loss shall be taken into account for the taxable year). As such, the unrealized appreciation/(depreciation) for financial derivatives on a tax basis may not correspond to the unrealized appreciation/(depreciation) on a GAAP basis. The unrealized appreciation/(depreciation) for financial derivatives on a GAAP basis is located in the respective financial derivatives tables in each Fund’s Schedule of Investments.

 

  2 

“Tax Cost” under “Investments in Long Securities” is presented on a non-consolidated basis and includes the Parent Fund’s investment in the Subsidiary. “Gross Unrealized Depreciation” under “Investments in Long Securities” is presented on a non-consolidated basis and includes the tax-basis unrealized depreciation associated with the Parent Fund’s investment in the Subsidiary.

GAAP provides guidance on tax provisions that prescribe a minimum threshold for financial statement recognition of the benefit of a tax position taken or expected to be taken in a tax return. Foreign withholding taxes, as applicable, are accrued based on each Fund’s understanding of the tax rules and rates that exist in the foreign markets in which it invests. Foreign withholding taxes are accrued and applied to foreign income, net realized capital gains and net unrealized appreciation, as applicable, as the foreign income is earned or capital gains and unrealized appreciation are recorded. The dollar amount of applicable foreign withholding taxes on foreign income is included in the Statements of Operations in “Less: Foreign withholding taxes”, the foreign capital gains tax applicable on the disposal of securities is included in the Statements of Operations in “Net realized gain (loss) from investment transactions” and the dollar amount of deferred foreign capital gains tax applicable on the unrealized appreciation on securities held is included in the Statements of Operations in “Net increase (decrease) in unrealized appreciation/depreciation from investment transactions”. The Funds record a foreign tax reclaim receivable on the ex-dividend date if the tax reclaim is “more likely than not” to be sustained assuming examination by tax authorities. This determination is based on, among other things, a jurisdiction’s legal obligation to pay

 

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reclaims as well as payment history and market convention. Foreign tax reclaims that have been recorded but not yet received are shown on the Statements of Liabilities in “Receivables: Foreign tax reclaims”.

7. SUBSEQUENT EVENT

The Board authorized a one-for-two reverse stock split for the WisdomTree Floating Rate Treasury Fund, effective on March 24, 2022. The reverse stock split reduced the number of shares outstanding and increased the net asset value per share by a factor of two. Therefore, the reverse stock split did not impact the total dollar value of an investor’s investment. The shares outstanding, NAV per share and other per share information have been updated in the accompanying financial statements and financial highlights to reflect the effect of the reverse stock split.

8. ADDITIONAL INFORMATION

The respiratory disease caused by a novel coronavirus (“COVID-19”) has spread globally for over a year, resulting in a global pandemic and major disruption to global markets and economies. In an organized attempt to contain and mitigate the effects of COVID-19, governments and businesses world-wide took aggressive measures, including businesses canceling dividends to preserve cash, governments closing borders, restricting international and domestic travel, and the imposition of prolonged quarantines of large populations. COVID-19 has resulted in the disruption of and delays in the delivery of healthcare services and processes, the cancellation of organized events and educational institutions, the disruption of production and supply chains, a decline in consumer demand for certain goods and services, and general concern and uncertainty, all of which have contributed to increased volatility in global markets. In recent months, however, the rapid COVID-19 vaccination rollout in the United States and certain other developed countries, coupled with the passage of stimulus programs in the U.S. and abroad, have resulted in a reversal of many of these trends including the re-opening of businesses, a reduction in quarantine requirements, increased consumer demand, and the resumption of certain in-person schooling, travel and events. Despite these positive trends, the prevalence of new COVID-19 variants, a failure to achieve herd immunity, or other unforeseen circumstances may result in the continued spread of the virus throughout unvaccinated populations or a resurgence in infections among vaccinated populations. As a result, it remains unclear if recent positive trends will continue in developed markets and whether such trends will spread world-wide to countries with limited access to vaccines that are still experiencing rising COVID-19 cases, hospitalizations and deaths.

The effects of COVID-19 have affected and are likely to continue to affect certain sectors and industries more dramatically than others, and the effects borne by some will negatively affect the value of the issuers in those sectors and industries, which may adversely affect the value of a Fund’s investments in those sectors or industries. It is also true that the speed at which global economies recover, or fail to recover, from the COVID-19 pandemic will affect certain sectors, industries, and issuers more dramatically than others, which in turn may adversely affect certain Fund investments.

COVID-19, and other epidemics and pandemics that may arise in the future, could adversely affect the economies of many nations, the global economy, individual companies and capital markets in ways that cannot be foreseen at the present time. In addition, the impact of infectious diseases in developing or emerging market countries may be greater due to limited health care resources, including access to COVID-19 vaccinations and treatments. Political, economic and social stresses caused by COVID-19 also may exacerbate other pre-existing political, social and economic risks in certain countries. The duration of COVID-19 and its effects cannot be determined fully at this time, but the effects could be present for an extended period of time. It is impossible to predict the effects on the Funds of these or similar events and market conditions in the future. However, it is possible that these or similar events and market conditions could have a significant and adverse effect on the NAV and/or risk profile of a Fund.

*    *    *    *    *    *

Russia’s military invasion of Ukraine initiated in February 2022 and the economic and diplomatic responses by the United States and other countries have led to increased volatility and uncertainty in the financial markets and could continue to adversely affect regional and global economies for the foreseeable future. In response to Russia’s actions, the governments of the United States, the European Union, the United Kingdom, and many other countries collectively imposed heavy and broad-ranging economic sanctions on certain Russian individuals, corporate and banking entities, and other industries and businesses. The sanctions restrict companies from doing business with Russia and Russian companies, prohibit transactions with the Russian central bank and other key Russian financial institutions and entities, ban Russian airlines and ships from using many other countries’ airspace and ports, respectively, and place a freeze on certain Russian assets. The sanctions also removed some Russian banks from the Society for Worldwide Interbank Financial Telecommunications (SWIFT), the electronic network that connects banks globally to facilitate cross-border payments. In addition, the United States has banned oil and other energy imports from Russia, and the United Kingdom made a commitment to phase out oil imports from Russia by the end of 2022.

These sanctions, as well as other economic consequences related to the invasion, such as additional sanctions, boycotts or changes in consumer or purchaser preferences or cyberattacks on governments, companies or individuals, may further decrease the value and liquidity of certain Russian securities and securities of issuers in other countries that are subject to economic sanctions related to the

 

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invasion or otherwise adversely affected by the sanctions. To the extent a Fund has exposure to Russian investments or investments in countries affected by the invasion or the sanctions, the Fund’s ability to price, buy, sell, receive or deliver such investments may be impaired. In certain circumstances, such as when there is no market for a security or other means of valuing or disposing of a security, a Fund may determine to value the affected security at zero. In addition, any exposure a Fund may have to counterparties in Russia or in countries affected by the invasion could negatively affect the Fund’s portfolio. The extent and duration of Russia’s military actions and the repercussions of such actions are impossible to predict, but could result in continued significant market disruptions, including in the oil and natural gas markets, and may negatively affect global supply chains, inflation and global growth. Further, an escalation of the military conflict beyond Ukraine’s borders could result in significant, long-lasting damage to the economies of Eastern and Western Europe as well as the global economy. These and any related events could significantly and adversely affect a Fund’s performance and the value of an investment in the Fund, even in the absence of direct exposure to Russian issuers or issuers in other countries affected by the invasion.

 

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Approval of Investment Advisory and Sub-Advisory Agreements (unaudited)

 

Consideration of the Approval and Renewal of Investment Advisory (all applicable Funds except the WisdomTree Target Range Fund, WisdomTree Alternative Income Fund, and WisdomTree Efficient Gold Plus Gold Miners Strategy Fund) and Sub-Advisory Agreements (all applicable Funds except the WisdomTree Managed Futures Strategy Fund, WisdomTree CBOE S&P 500 PutWrite Strategy Fund, WisdomTree Enhanced Commodity Strategy Fund, WisdomTree Alternative Income Fund, WisdomTree Target Range Fund, and WisdomTree Efficient Gold Plus Gold Miners Strategy Fund)

At a meeting of the Board of Trustees (the “Board” or the “Trustees”) of the WisdomTree Trust (the “Trust”) held on September 27-28, 2021 (the “Meeting”), the Trustees, including those Trustees who are not “interested persons” (as defined in the Investment Company Act of 1940, as amended) of the Trust (the “Independent Trustees”), considered the renewal of (i) the Investment Advisory Agreements between WisdomTree Asset Management, Inc. (“WTAM”) and the Trust, on behalf of its applicable series (each, a “Fund,” and, collectively, the “Funds”), pursuant to which WTAM provides the Funds with investment advisory services (the “Advisory Agreements”), (ii) the Sub-Advisory Agreement (the “Mellon Sub-Advisory Agreement”), pursuant to which Mellon Investments Corporation (“Mellon”) coordinates the investment and reinvestment of the assets of the applicable Funds, and (iii) the Sub-Advisory Agreement (together with the Mellon Sub-Advisory Agreement, the “Sub-Advisory Agreements,” and, collectively with the Advisory Agreements and the Mellon Sub-Advisory Agreement, the “Agreements”), pursuant to which Voya Investment Management Co., LLC (“Voya,” and, together with Mellon, the “Sub-Advisers”) coordinates the investment and reinvestment of the assets of the applicable Funds.

The Trustees requested, and WTAM provided, such information as the Trustees, with advice from counsel to the Trust and independent legal counsel, deemed reasonably necessary to evaluate the Agreements. At a meeting of a committee of Independent Trustees (the “Contracts Review Committee”) held on August 9, 2021, representatives from WTAM presented detailed information to the Trustees relating to the continuance of the Agreements, and the Trustees, including the Independent Trustees, reviewed and discussed such information. Further information was presented at the Board’s request at the Meeting.

The Independent Trustees were assisted in their review by independent legal counsel and met with counsel in executive session separate from WTAM representatives and the Sub-Advisers. In considering the approval and renewal of the Agreements, the Board considered all factors that it believed to be relevant, including those discussed below. The Board did not identify any one factor as dispositive, and each Trustee may have attributed different weights to the factors considered. Each Fund was considered separately.

Analysis of Nature, Extent, and Quality of Services Provided to the Funds. The Board considered information provided to them at the Meeting and in previous presentations throughout the year from WTAM representatives regarding the nature, extent, and quality of the services provided to the Funds, recognizing WTAM’s and the Sub-Advisers’ operational capabilities and resources. The Board also noted the extensive responsibilities that WTAM has as investment adviser to the Funds, including: the selection of, and supervisory responsibilities and activities over, the Sub-Advisers, including oversight of the Sub-Advisers’ adherence to each Fund’s investment strategy and restrictions, monitoring of the Sub-Advisers’ buying and selling of securities and derivatives transactions, review of Sub-Adviser performance, review of proxies voted by the Sub-Advisers and oversight of, and the provision of consultation to, the Sub-Advisers with respect to the creation of custom creation or redemption baskets for authorized participants; oversight of the daily valuation of the Funds’ portfolio holdings; oversight of general Fund compliance with federal and state laws; and implementation of Board directives as they relate to the Funds. The Board also considered research support available to, and management capabilities of, the Funds’ management personnel and that WTAM provides oversight of day-to-day Fund operations, including fund accounting, tax matters, administration and legal assistance in meeting disclosure and regulatory requirements. Based on management’s representations, the Board expected that there would be no reduction in the scope of services required by or provided by WTAM and the Sub-Advisers under the relevant Agreements. The Board noted that WTAM has continued to commit significant resources toward the fund complex and has made substantial investments to improve the services offered by WTAM, which benefit Fund shareholders.

Based on review of this information and the other factors considered at the Meeting, the Board concluded that the nature, extent and quality of services provided by WTAM and the Sub-Advisers under the Advisory Agreements and Sub-Advisory Agreements, respectively, are adequate and appropriate and supported the Board’s approval of the approval and renewal of the Agreements.

Comparative Analysis of the Funds’ Performance and Management Fee and Expense Ratio. The Board reviewed reports prepared by Broadridge Financial Solutions, Inc. (“Broadridge”), an independent provider of investment company data, which included information (1) measuring each index Fund’s performance by how well it tracked the relevant benchmark index, (2) comparing, with respect to the actively-managed Funds, each Fund’s performance with the performance of a group of comparable funds (the “Performance Group”) for various periods ended May 31, 2021, and (3) comparing each Fund’s actual management fees and total expenses with those of a group of comparable funds (the “Expense Group”) and, with respect to total expenses, with a broader group of funds (the “Expense Universe”), the information for which was derived in part from fund financial statements available to Broadridge as of the date of its analysis. The Contracts Review Committee and the Independent Trustees previously had reviewed and discussed the methodology Broadridge used to select the Performance Groups, Expense Groups and Expense Universes. The Board noted that the Performance Groups, Expense Groups and Expense Universes included only pure-index and index-based exchange traded funds (“ETFs”) as comparison funds, except that the Performance Groups, Expense Groups and Expense Universes

 

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for the actively-managed Funds included only actively-managed ETFs as comparison funds. The Board also noted that due to the special characteristics of certain Funds, there are limitations in providing comparable funds in the Performance Groups, Expense Groups and Expense Universes, and the information in the Broadridge reports may or may not provide meaningful direct comparisons to the Funds.

The Board discussed the index Funds’ performance. During the prior year, the Board received periodic reports on the Funds’ performance in comparison to their relevant benchmark indexes. The Board also discussed the performance of the actively-managed Funds and noted that total return performance of the Funds was variously above, at and below the relevant Performance Group medians for the time periods measured. In response to questions from the Independent Trustees, WTAM representatives discussed the relative performance of the Funds and the factors affecting such performance. On that basis, the Board determined to continue to monitor carefully disparities in performance — both positive and negative — but did not believe that the disparities in the past reflected any characteristics requiring immediate action by WTAM or a Sub-Adviser.

The Board also reviewed the range of actual management fees and total expenses of the Expense Group funds and, with respect to total expenses, Expense Universe funds, and discussed the results of the comparisons. With respect to comparisons of actual management fees, the Board noted the Funds’ unitary fee structure and that the Expense Groups and Expense Universes generally included both ETFs with and without a unitary fee structure. The Board also noted that certain comparison funds in certain Expense Groups and Expense Universes benefited from waivers of all or a portion of their management fees and reimbursement of certain operating expenses. The Board noted that the total expenses of many of the Funds were within five basis points of the median or average total expenses of the funds in the Funds’ respective Expense Groups. In those specific instances where a Fund’s total expenses departed more significantly from comparative funds, the Independent Trustees sought explanations from WTAM, which generally attributed the disparities to the limitations within peer data and/or the unique attributes of a Fund.

The Board considered the fees to the Sub-Advisers in relation to the fees paid to WTAM by the Funds and the respective services provided by the Sub-Advisers and WTAM. The Board also noted that the Sub-Advisers’ fees are paid by WTAM (out of its fee paid by the relevant Funds) and not the Funds. The Board considered the meaningful differences in the services that WTAM provides to the Funds as compared to the Sub-Advisers, including that the role of a Sub-Adviser in making investment recommendations with respect to a Fund tracking an index is a rules-based function, with oversight by WTAM in seeking to ensure compliance with such rules. The Board also considered that the role of the Sub-Adviser in making investment recommendations with respect to actively managed Funds is model-based, with oversight by WTAM in seeking to ensure consistency with such quantitative models. The Board also considered the entrepreneurial and expense risk borne by WTAM that is associated with Funds’ unitary fee structure, which frequently includes minimum fees (such as those to a Sub-Adviser), regardless of whether the asset size of a Fund has grown to a sufficient size.

Based on this review and the other factors considered at the Meeting, the Board concluded that, with respect to each Fund, the Fund’s performance, the fees paid to WTAM and the relevant Sub-Adviser and the Fund’s total expenses supported the Board’s approval and renewal of the relevant Agreements.

Analysis of Profitability and Economies of Scale. WTAM representatives reviewed the expenses allocated and profit received by WTAM and the resulting profitability percentage for managing each Fund and the aggregate profitability percentage to WTAM for managing the WisdomTree fund complex, and the method used to determine the expenses and profit.

The Board considered the profitability analysis (1) as part of its evaluation of whether the fees under the Agreements bear a reasonable relationship to the mix of services provided by WTAM and the Sub-Advisers, including the nature, extent and quality of such services, and (2) in light of the relevant circumstances for each Fund and the extent to which economies of scale would be realized if the Fund grows and whether fee levels reflect these economies of scale for the benefit of Fund shareholders. WTAM representatives noted that a discussion of economies of scale is predicated on a Fund having achieved a substantial size and that, if a Fund’s assets had been decreasing, the possibility that WTAM may have realized material economies of scale would be less. WTAM representatives also noted that, as a result of shared and allocated costs among the WisdomTree funds, the extent of economies of scale could depend substantially on the level of assets in the fund complex as a whole and the relative size and asset size changes among the Funds. The Board noted that, in the past, certain Funds had grown rapidly over a relatively short period of time after longer periods of slow or no growth, during which there were years of losses for WTAM in managing such Funds that had only recently turned profitable and years of substantial cumulative losses to WTAM in managing the fund complex as a whole. WTAM representatives stated that there has been significant volatility in the assets of individual Funds and in the fund complex as a whole over time (including volatility in profitability) and that it was not clear that current asset levels will be maintained. WTAM representatives noted that assets in certain Funds have diminished at times at a rapid rate (including during the last year) and could continue to do so. WTAM representatives also noted that economies of scale currently are shared with the Funds by way of the unitary fee structure of the Trust, as well as through additional investment in the WisdomTree business. The Board noted that the Contracts Review Committee had focused on the issue of economies of scale during its meetings. The Board also noted that it would continue to monitor the sharing of economies of scale, focusing in particular on Funds that have experienced significant asset

 

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growth, to determine the appropriateness of adding breakpoints in the future. The Board also considered potential benefits to WTAM and the Sub-Advisers from acting as investment adviser and sub-advisers, respectively, and noted that there were no soft dollar arrangements in effect for trading the Funds’ investments. Based on this review, the Board concluded that the profitability results were consistent with the services rendered and service levels provided by WTAM and the entrepreneurial risk WTAM has undertaken over time.

*    *    *    *    *    *

At the conclusion of these discussions, the Board agreed that it had been furnished with sufficient information to make an informed business decision with respect to the approval to renew the Agreements. In evaluating the Agreements, the Board considered the conclusions and determinations discussed above and also relied on its previous knowledge, gained through meetings and other interactions with WTAM and the Sub-Advisers, of the Funds and the services provided to the Funds by WTAM and the Sub-Advisers. The Board also relied on information received on a routine and regular basis throughout the year relating to the operations of the Funds and the investment advisory and other services provided under the Agreements. In light of the foregoing, the Board, including a majority of the Independent Trustees, determined to approve the renewal of the Agreements.

Consideration of the Approval of Investment Advisory and Sub-Advisory Agreements

WisdomTree Efficient Gold Plus Gold Miners Strategy Fund (the “Fund”)

At a meeting of the Board of Trustees (the “Board”) of the WisdomTree Trust (the “Trust”) held on September 27-28, 2021, the Trustees (the “Trustees”), including those Trustees who are not “interested persons” (as defined in the Investment Company Act of 1940, as amended) of the Trust (the “Independent Trustees”), considered the approval of the Investment Advisory Agreement (the “Advisory Agreement”), pursuant to which WisdomTree Asset Management, Inc. (“WTAM”) will provide the Fund with investment advisory services, and the Sub-Advisory Agreement (together with the Advisory Agreement, the “Agreements”), pursuant to which Mellon Investments Corporation (the “Sub-Adviser”) will coordinate the investment and reinvestment of the assets of the Fund.

In considering whether to approve the Agreements, the Trustees considered and discussed information and analysis provided by WTAM and Broadridge Financial Solutions, Inc. (“Broadridge”), an independent provider of investment company data. The Trustees noted that representatives from WTAM presented preliminary information to the Trustees regarding each Fund’s proposed investment objective and principal investment strategies and risks at a meeting of the Trust’s Investment Committee, a committee of Independent Trustees, on June 22, 2021. The Independent Trustees were assisted in their review by independent legal counsel and met with counsel in executive session separate from WTAM representatives and the Sub-Adviser. In considering the approval of the Agreements, the Board considered all factors that it believed to be relevant, including those discussed below. The Board did not identify any one factor as dispositive, and each Trustee may have attributed different weights to the factors considered.

Analysis of Nature, Extent, and Quality of Services to be Provided to the Fund. The Board considered information provided to them at the meeting and in previous presentations throughout the year from WTAM representatives regarding the nature, extent, and quality of the services provided to the WisdomTree funds, recognizing WTAM’s and the Sub-Adviser’s operational capabilities and resources. It was noted that the Fund would be actively managed. The Board noted WTAM’s belief that shareholders will invest in the Fund on the strength of WTAM’s industry standing and reputation and with the expectation that WTAM will have a continuing role in providing advisory services to the Fund. The Board also noted the extensive responsibilities that WTAM will have as investment adviser to the Fund, including: the selection of, and supervisory responsibilities and activities over, the Sub-Adviser, including oversight of the Sub-Adviser’s adherence to the Fund’s investment strategy and restrictions, monitoring of the Sub-Adviser’s buying and selling of securities and derivatives transactions, review of Sub-Adviser performance, review of proxies voted by the Sub-Adviser and oversight of, and the provision of consultation to, the Sub-Adviser with respect to the creation of custom creation or redemption baskets for authorized participants; oversight of the daily valuation of the Fund’s portfolio holdings; oversight of general Fund compliance with federal and state laws; and implementation of Board directives as they relate to the Fund. The Board also considered research support available to, and management capabilities of, the Fund’s management personnel and that WTAM will provide oversight of day-to-day Fund operations, including fund accounting, tax matters, administration, compliance and legal assistance in meeting disclosure and regulatory requirements.

Based on review of this information and the other factors considered at the meeting, the Board concluded that the nature, extent and quality of services to be provided by WTAM and the Sub-Adviser under the Advisory Agreement and Sub-Advisory Agreement, respectively, are adequate and appropriate and supported the Board’s approval of the Agreements.

Comparative Analysis of the Fund’s Performance, Advisory Fees and Fund Expenses. As the Fund had not yet commenced operations, the Board was not able to review the Fund’s performance. The Board discussed with WTAM representatives the portfolio management team and the investment strategies to be employed in the management of the Fund’s assets. The Board noted the reputation and experience of WTAM and the Sub-Adviser.

 

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The Board considered the fees to be paid to WTAM by the Fund. The Board examined the fee to be paid by the Fund in light of fees paid to other investment advisers by comparable funds and the method of computing the Fund’s fee. The Board also considered the fee to be paid to the Sub-Adviser in relation to the fee to be paid to WTAM by the Fund and the respective services to be provided by the Sub-Adviser and WTAM. The Board also noted the Sub-Adviser’s fee will be paid by WTAM (out of its fee paid by each Fund) and not by the Fund. The Board also considered the entrepreneurial and expense risk to be borne by WTAM that is associated with the Fund’s unitary fee structure, which includes minimum fees (such as those to the Sub-Adviser), regardless of whether the asset size of the Fund grows to a sufficient size. Based on this review, the Board concluded that the fees to be paid to WTAM and the Sub-Adviser supported the Board’s approval of the Agreements.

Analysis of Profitability and Economies of Scale. As the Fund had not yet commenced operations, WTAM representatives were not able to review the dollar amount of expenses allocated and profit received by WTAM, or any economies of scale. The Board considered potential benefits to WTAM and the Sub-Adviser from acting as investment adviser and sub-adviser, respectively. The Board also considered the uncertainty of the estimated asset levels and the renewal requirements for advisory agreements and their ability to review the advisory fees annually after the initial term of the Agreements. The Board determined that because the Fund had not yet commenced operations, economies of scale were not a factor, but, to the extent in the future it were determined that material economies of scale had not been shared with the Fund, the Board would seek to have those economies of scale shared with the Fund in connection with future renewals.

*    *    *    *    *    *

In evaluating the Agreements, the Board considered the conclusions and determinations discussed above and also relied on its knowledge, gained through meetings and other interactions with WTAM and the Sub-Adviser, of other funds advised by WTAM and the Sub-Adviser. In light of the foregoing, the Board, including a majority of the Independent Trustees, determined to approve the Agreements.

Consideration of the Approval of Investment Advisory and Sub-Advisory Agreements

WisdomTree Target Range Fund (the “Fund”)

At a meeting of the Board of Trustees (the “Board”) of the WisdomTree Trust (the “Trust”) held on September 29-30, 2020, and at a subsequent meeting held on September 27-28, 2021, the Trustees (the “Trustees”), including those Trustees who are not “interested persons” (as defined in the Investment Company Act of 1940, as amended) of the Trust (the “Independent Trustees”), considered the approval of the Investment Advisory Agreement (the “Advisory Agreement”), pursuant to which WisdomTree Asset Management, Inc. (“WTAM”) will provide each Fund with investment advisory services, and the Sub-Advisory Agreement (together with the Advisory Agreement, the “Agreements”), pursuant to which Newton Investment Management North America, LLC (the “Sub-Adviser”) will coordinate the investment and reinvestment of the assets of the Fund.

In considering whether to approve the Agreements, the Trustees considered and discussed information and analysis provided by WTAM and Broadridge Financial Solutions, Inc., an independent provider of investment company data. The Trustees noted that representatives from WTAM presented preliminary information to the Trustees regarding the Fund’s proposed investment objective and principal investment strategies and risks at meetings of the Trust’s Investment Committee, a committee of Independent Trustees, held on September 22, 2020 and September 23, 2021. The Independent Trustees were assisted in their review by independent legal counsel and met with counsel in executive session separate from WTAM representatives and the Sub-Adviser. In considering the approval of the Agreements, the Board considered all factors that it believed to be relevant, including those discussed below. The Board did not identify any one factor as dispositive, and each Trustee may have attributed different weights to the factors considered.

Analysis of Nature, Extent, and Quality of Services to be Provided to the Fund. The Board considered information provided to them at the meetings and in previous presentations throughout the year from WTAM representatives regarding the nature, extent, and quality of the services provided to the WisdomTree funds, recognizing WTAM’s and the Sub-Adviser’s operational capabilities and resources. It was noted that the Fund would be actively managed. The Board noted WTAM’s belief that shareholders will invest in the Fund on the strength of WTAM’s industry standing and reputation and with the expectation that WTAM will have a continuing role in providing advisory services to the Fund. The Board also noted the extensive responsibilities that WTAM will have as investment adviser to the Fund, including: the selection of, and supervisory responsibilities and activities over, the Sub-Adviser, including oversight of the Sub-Adviser’s adherence to the Fund’s investment strategy and restrictions, monitoring of the Sub-Adviser’s buying and selling of securities and derivatives transactions, review of Sub-Adviser performance, review of proxies voted by the Sub-Adviser and oversight of, and the provision of consultation to, the Sub-Adviser with respect to the creation of custom creation or redemption baskets for authorized participants; oversight of the daily valuation of the Fund’s portfolio holdings; oversight of general Fund compliance with federal and state laws; and implementation of Board directives as they relate to the Fund. The Board also considered research support available to, and management capabilities of, the Fund’s management personnel and that WTAM will

 

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provide oversight of day-to-day Fund operations, including fund accounting, tax matters, administration, compliance and legal assistance in meeting disclosure and regulatory requirements.

Based on review of this information and the other factors considered at the meetings, the Board concluded that the nature, extent and quality of services to be provided by WTAM and the Sub-Adviser under the Advisory Agreement and Sub-Advisory Agreement, respectively, are adequate and appropriate and supported the Board’s approval of the Agreements.

Comparative Analysis of the Fund’s Performance, Advisory Fees and Fund Expenses. As the Fund had not yet commenced operations, the Board was not able to review the Fund’s performance. The Board discussed with WTAM representatives the portfolio management team and the investment strategies to be employed in the management of the Fund’s assets. The Board noted the reputation and experience of WTAM and the Sub-Adviser.

The Board considered the fees to be paid to WTAM by the Fund. The Board examined the fee to be paid by the Fund in light of fees paid to other investment advisers by comparable funds and the method of computing the Fund’s fee. The Board also considered the fee to be paid to the Sub-Adviser in relation to the fee to be paid to WTAM by the Fund and the respective services to be provided by the Sub-Adviser and WTAM. The Board also noted the Sub-Adviser’s fee will be paid by WTAM (out of its fee paid by each Fund) and not by the Fund. The Board considered the meaningful differences in the services that WTAM will provide to the Fund as compared to the Sub-Adviser. The Board also considered the entrepreneurial and expense risk to be borne by WTAM that is associated with the Fund’s unitary fee structure, which includes minimum fees (such as those to the Sub-Adviser), regardless of whether the asset size of the Fund grows to a sufficient size. Based on this review, the Board concluded that the fees to be paid to WTAM and the Sub-Adviser supported the Board’s approval of the Agreements.

Analysis of Profitability and Economies of Scale. As the Fund had not yet commenced operations, WTAM representatives were not able to review the dollar amount of expenses allocated and profit received by WTAM, or any economies of scale. The Board considered potential benefits to WTAM and the Sub-Adviser from acting as investment adviser and sub-adviser, respectively. The Board also considered the uncertainty of the estimated asset levels and the renewal requirements for advisory agreements and their ability to review the advisory fees annually after the initial term of the Agreements. The Board determined that because the Fund had not yet commenced operations, economies of scale were not a factor, but, to the extent in the future it were determined that material economies of scale had not been shared with the Fund, the Board would seek to have those economies of scale shared with the Fund in connection with future renewals.

*    *    *    *    *    *

In evaluating the Agreements, the Board considered the conclusions and determinations discussed above and also relied on its knowledge, gained through meetings and other interactions with WTAM and the Sub-Adviser, of other funds advised by WTAM and the Sub-Adviser. In light of the foregoing, the Board, including a majority of the Independent Trustees, determined to approve the Agreements.

 

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General Information (unaudited)

 

Proxy Voting Policies, Procedures and Record

A complete copy of the Proxy Voting Policy may be obtained upon request, at no charge, by calling 1-866-909-WISE (9473) or writing to: WisdomTree Trust, c/o Foreside Fund Services, LLC, Three Canal Plaza Suite 100, Portland, ME, 04101.

The Trust is required to disclose annually the Funds’ complete proxy voting record on Form N-PX covering the most recent

12-month period ended June 30 and to file Form N-PX with the SEC no later than August 31 of each year. The current Form N-PX for the Funds is available at no charge upon request by calling 1-866-909-WISE (9473) or through the Trust’s website at www.wisdomtree.com. The Funds’ Form N-PX is also available on the SEC’s website at www.sec.gov.

Shareholder Reports and Quarterly Portfolio Disclosure

The Funds file their complete schedule of portfolio holdings with the SEC for their first and third fiscal quarters as an exhibit to their reports on Form N-PORT. Copies of the filings are available, without charge, on the SEC’s website at www.sec.gov and are also available by calling the Trust at 1-866-909-WISE (9473). Copies of the filings may also be obtained, after paying a duplicating fee, by electronic request at the following E-mail address: [email protected].

Information about each Fund’s portfolio holdings is available daily, without charge, at www.wisdomtree.com.

The Statement of Additional Information (“SAI”) has additional information about the Funds’ Trustees and Officers and is available without charge upon request. Contact your financial representative for a free prospectus or SAI.

Frequency Distribution of Discounts & Premiums

Information about differences between the per share net asset value of each Fund and the market trading price of shares of each Fund are available, without charge, at www.wisdomtree.com.

 

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The WisdomTree Funds are exchange traded funds (“ETFs”) registered with the United States Securities and Exchange Commission as separate series (“Funds”) of WisdomTree Trust (“Trust”). WisdomTree Asset Management, Inc., a wholly owned subsidiary of WisdomTree Investments, Inc., serves as the investment adviser to the Trust. None of the WisdomTree entities are affiliated with Foreside Fund Services, LLC, the Funds’ distributor. WisdomTree Investments, its affiliates and their independent providers are not liable for any informational errors, incompleteness, delays, or for any actions taken in reliance on information contained herein.

There are risks associated with investing including possible loss of principal. Foreign investing involves special risks, such as risk of loss from currency fluctuation or political or economic uncertainty. Investments in real estate involve additional special risks, such as credit risk, interest rate fluctuations and the effect of varied economic conditions. Funds that focus their investments in one country or region may be significantly impacted by events and developments associated with the region which can adversely affect performance. Funds focusing on a single sector and/or smaller companies generally experience greater price volatility. Investments in emerging, offshore or frontier markets are generally less liquid and less efficient than investments in developed markets and are subject to additional risks, such as risks of adverse governmental regulation and intervention or political developments. Investments in currency involve additional special risks, such as credit risk and interest rate fluctuations. Derivative investments can be volatile and these investments may be less liquid than other securities, and more sensitive to the effect of varied economic conditions. As these Funds can have a high concentration in some issuers the Funds can be adversely impacted by changes affecting such issuers.

Fixed income investments are subject to interest rate risk; their value will normally decline as interest rates rise. In addition, when interest rates fall, income may decline. Fixed income investments are also subject to credit risk, the risk that the issuer of a bond will fail to pay interest and principal in a timely manner, or that negative perceptions of the issuer’s ability to make such payments will cause the price of that bond to decline. High-yield or “junk” bonds have lower credit ratings and involve a greater risk to principal. One of the risks associated with the Efficient Gold Plus Gold Miners Strategy Fund (GDMN), the Enhanced Commodity Strategy Fund (GCC) and the Managed Futures Strategy Fund (WTMF) is the complexity of the different factors which contribute to the Funds’ performance, as well as their correlation (or non-correlation) to other asset classes. These factors include use of long and short positions in commodity futures contracts, foreign currency contracts, swaps and other derivatives. An investment in GDMN, GCC and WTMF is speculative and involves a substantial degree of risk. GDMN, GCC and WTMF should not be used as a proxy for taking long only (or short only) positions in commodities or currencies. In markets without sustained price trends or markets that quickly reverse or “whipsaw” GDMN, GCC and WTMF may suffer significant losses. Unlike typical exchange-traded funds, there are no indexes that the actively managed Currency Strategy Funds, actively managed Fixed Income Funds or GDMN, GCC and WTMF attempt to track or replicate. Thus, the ability of these Funds to achieve their objectives will depend on the effectiveness of the portfolio manager. Due to the investment strategy of certain Funds they may make higher capital gain distributions than other ETFs. Please read the Fund’s prospectus for specific details regarding the Fund’s risk profile.

Commodities and futures are generally volatile and are not suitable for all investors. Investments in commodities may be affected by overall market movements, changes in interest rates and other factors such as weather, disease, embargoes and international economic and political developments.

Indexes are unmanaged and you cannot invest directly in an index.

Transactions in Fund shares will result in brokerage commissions and will generate tax consequences. Shares may be sold through brokerage accounts, but may be redeemed from the Funds by Authorized Participants in large creation unit sizes of shares.

This report is intended for the Funds’ shareholders. It may not be distributed to prospective investors unless it is preceded or accompanied by the current prospectus.


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