SPDR SSGA Multi-Asset Real Return ETF |
SPDR SSGA Income Allocation ETF |
SPDR SSGA Global Allocation ETF |
SPDR SSGA Ultra Short Term Bond ETF |
SPDR Loomis Sayles Opportunistic Bond ETF |
SPDR Nuveen Municipal Bond ETF |
Portfolio Statistics (Unaudited) | |
|
1 |
|
2 |
|
3 |
|
4 |
|
5 |
|
7 |
Schedules of Investments (Unaudited) | |
|
8 |
|
10 |
|
12 |
|
14 |
|
21 |
|
33 |
|
38 |
|
45 |
|
51 |
|
61 |
Description | % of Net Assets | ||
Invesco Optimum Yield Diversified Commodity Strategy No. K-1 ETF | 24.3% | ||
SPDR S&P Global Natural Resources ETF | 23.9 | ||
SPDR S&P Global Infrastructure ETF | 23.1 | ||
SPDR Bloomberg 1-10 Year TIPS ETF | 9.5 | ||
SPDR Dow Jones REIT ETF | 5.1 | ||
TOTAL | 85.9% |
% of Net Assets | |||
Natural Resources | 26.9% | ||
Commodities | 24.3 | ||
International Equity | 23.4 | ||
Inflation Linked | 9.5 | ||
Real Estate | 7.1 | ||
International Fixed Income | 4.2 | ||
Domestic Equity | 4.0 | ||
Short Term Investments | 4.4 | ||
Liabilities in Excess of Other Assets | (3.8) | ||
TOTAL | 100.0% |
Description | % of Net Assets | ||
SPDR Blackstone Senior Loan ETF | 20.1% | ||
SPDR Portfolio S&P 500 High Dividend ETF | 12.1 | ||
SPDR S&P International Dividend ETF | 10.2 | ||
SPDR Bloomberg Emerging Markets Local Bond ETF | 10.0 | ||
SPDR Portfolio Long Term Corporate Bond ETF | 9.3 | ||
TOTAL | 61.7% |
% of Net Assets | |||
Domestic Fixed Income | 48.7% | ||
Domestic Equity | 25.8 | ||
International Equity | 15.2 | ||
International Fixed Income | 10.0 | ||
Short Term Investments | 6.2 | ||
Liabilities in Excess of Other Assets | (5.9) | ||
TOTAL | 100.0% |
Description | % of Net Assets | ||
SPDR Portfolio Developed World ex-US ETF | 18.6% | ||
SPDR S&P 500 ETF Trust | 14.1 | ||
SPDR Portfolio TIPS ETF | 5.1 | ||
SPDR Portfolio Europe ETF | 5.0 | ||
SPDR Portfolio Intermediate Term Corporate Bond ETF | 5.0 | ||
TOTAL | 47.8% |
% of Net Assets | |||
International Equity | 31.9% | ||
Domestic Equity | 26.6 | ||
Domestic Fixed Income | 21.5 | ||
Inflation Linked | 5.1 | ||
International Fixed Income | 4.0 | ||
Commodities | 4.0 | ||
Real Estate | 2.9 | ||
Short Term Investments | 28.9 | ||
Liabilities in Excess of Other Assets | (24.9) | ||
TOTAL | 100.0% |
Description | % of Net Assets | ||
Treasury
Notes 0.25% 9/30/2023 |
6.6% | ||
U.S.
Treasury Bill 0.05% 1/13/2022 |
3.8 | ||
Nissan
Master Owner Trust Receivables ABS 0.67% 2/15/2024 |
2.5 | ||
Golden
Credit Card Trust ABS 0.63% 7/15/2024 |
1.8 | ||
Master
Credit Card Trust II ABS 0.59% 7/21/2024 |
1.6 | ||
TOTAL | 16.3% |
% of Net Assets | |||
Corporate Bonds & Notes | 56.0% | ||
Asset-Backed Securities | 6.9 | ||
Commercial Mortgage Backed Securities | 4.6 | ||
Mortgage-Backed Securities | 2.7 | ||
Short-Term Investment | 18.6 | ||
U.S. Treasury Obligations | 10.4 | ||
Other Assets in Excess of Liabilities | 0.8 | ||
TOTAL | 100.0% |
Description | % of Net Assets | ||
SPDR
Blackstone Senior Loan ETF |
4.5% | ||
DirecTV
Financing, LLC Senior Secured Term Loan 5.75% 8/2/2027 |
1.5 | ||
OneMain
Direct Auto Receivables Trust ABS 0.87% 7/14/2028 |
1.3 | ||
E.W.
Scripps Company (The) Senior Secured 2019 Term Loan B2 Zero Coupon, 5/1/2026 |
1.2 | ||
Medline
Industries, Inc. Zero Coupon, 10/23/2028 |
1.2 | ||
TOTAL | 9.7% |
% of Net Assets | |||
Asset-Backed Securities | 6.7% | ||
Commercial Mortgage Backed Securities | 0.2 | ||
Banks | 7.6 | ||
Media | 6.0 | ||
Commercial Services | 5.0 | ||
Oil & Gas | 5.0 | ||
Commercial Mortgage-Backed Securities | 4.5 | ||
Internet | 4.3 | ||
Diversified Financial Services | 4.0 | ||
Software | 4.0 | ||
Insurance | 3.6 | ||
Retail | 3.6 | ||
Chemicals | 2.8 | ||
Telecommunications | 2.8 | ||
Auto Manufacturers | 2.6 | ||
Health Care Products | 2.2 | ||
Real Estate Investment Trusts | 2.1 | ||
Lodging | 2.1 | ||
Health Care Services | 2.1 | ||
Airlines | 2.1 | ||
Food | 2.1 | ||
Electric | 1.8 | ||
Semiconductors | 1.8 | ||
Entertainment | 1.7 | ||
Investment Company Security | 1.3 | ||
Pharmaceuticals | 1.0 | ||
Transportation | 1.0 | ||
Electronics | 0.9 | ||
Pipelines | 0.8 | ||
Advertising | 0.7 | ||
Computers | 0.7 | ||
Oil & Gas Services | 0.7 | ||
Energy-Alternate Sources | 0.7 | ||
Environmental Control | 0.7 | ||
Machinery-Diversified | 0.6 | ||
Mining | 0.6 | ||
Construction Materials | 0.5 | ||
Building Materials | 0.5 | ||
Packaging & Containers | 0.5 | ||
Coal | 0.5 | ||
Auto Parts & Equipment | 0.4 | ||
IT Services | 0.4 | ||
Electrical Components & Equipment | 0.4 | ||
Forest Products & Paper | 0.4 | ||
Iron/Steel | 0.3 | ||
Home Furnishings | 0.3 | ||
Miscellaneous Manufacturer | 0.3 | ||
Engineering & Construction | 0.3 | ||
Beverages | 0.2 | ||
Leisure Time | 0.2 | ||
Aerospace & Defense | 0.1 | ||
Agriculture | 0.0* | ||
Biotechnology | 0.0* | ||
Short-Term Investment | 9.5 | ||
Liabilities in Excess of Other Assets | (5.2) | ||
TOTAL | 100.0% |
* | Amount shown represents less than 0.05% of net assets. |
Description | % of Net Assets | ||
Los
Angeles, CA, Unified School District, General Obligation 5.00% 7/1/2029 |
3.3% | ||
State
of Florida Revenue 5.00% 6/1/2029 |
3.3 | ||
Metropolitan
Council, Minneapolis-Saint Paul, MN, Metropolitan Area, General
Obligation 5.00% 12/1/2028 |
3.3 | ||
Georgia,
State General Obligation 5.00% 7/1/2028 |
3.3 | ||
New
Jersey Economic Development Authority Revenue 5.00% 6/15/2031 |
3.3 | ||
TOTAL | 16.5% |
% of Net Assets | |||
Municipal Bonds & Notes | 94.5% | ||
Short-Term Investment | 4.5 | ||
Other Assets in Excess of Liabilities | 1.0 | ||
TOTAL | 100.0% |
Description | Level
1 – Quoted Prices |
Level
2 – Other Significant Observable Inputs |
Level
3 – Significant Unobservable Inputs |
Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Mutual Funds and Exchange Traded Products
|
$181,078,100 | $— | $— | $181,078,100 | ||||
Short-Term Investments
|
8,038,941 | — | — | 8,038,941 | ||||
TOTAL INVESTMENTS
|
$ 189,117,041 | $— | $— | $ 189,117,041 |
Number
of Shares Held at 6/30/21 |
Value
at 6/30/21 |
Cost
of Purchases |
Proceeds
from Shares Sold |
Realized
Gain (Loss) |
Change
in Unrealized Appreciation/ Depreciation |
Number
of Shares Held at 12/31/21 |
Value
at 12/31/21 |
Dividend
Income | |||||||||
SPDR Bloomberg 1-10 Year TIPS ETF
|
524,888 | $ 11,093,508 | $ 9,345,046 | $ 3,152,491 | $ (1,113) | $ (38,717) | 816,583 | $ 17,246,233 | $ 421,984 | ||||||||
SPDR Dow Jones International Real Estate
ETF
|
70,066 | 2,572,824 | 1,886,118 | 712,337 | 9,823 | (109,956) | 102,429 | 3,646,472 | 120,032 | ||||||||
SPDR Dow Jones REIT ETF
|
49,905 | 5,234,535 | 5,725,146 | 2,942,623 | 235,558 | 990,132 | 75,661 | 9,242,748 | 143,452 | ||||||||
SPDR FTSE International Government
Inflation-Protected Bond ETF
|
87,385 | 4,931,135 | 3,976,270 | 997,584 | (1,083) | (302,533) | 141,353 | 7,606,205 | 185,699 | ||||||||
SPDR S&P Global Infrastructure ETF
|
542,787 | 28,338,909 | 20,923,463 | 8,367,260 | 204,206 | 1,053,692 | 777,014 | 42,153,010 | 675,824 | ||||||||
SPDR S&P Global Natural Resources ETF
|
605,103 | 32,070,459 | 21,838,861 | 10,991,965 | 289,278 | 463,843 | 809,312 | 43,670,476 | 1,034,948 | ||||||||
SPDR S&P Metals & Mining ETF
|
113,854 | 4,902,553 | 3,260,381 | 3,013,725 | 226,140 | 58,032 | 121,335 | 5,433,381 | 17,607 | ||||||||
State Street Institutional U.S. Government Money
Market Fund, Class G Shares
|
606,310 | 606,310 | 13,902,279 | 13,416,184 | — | — | 1,092,405 | 1,092,405 | 64 | ||||||||
State Street Navigator Securities Lending
Portfolio II
|
12,421,543 | 12,421,543 | 122,899,180 | 128,374,187 | — | — | 6,946,536 | 6,946,536 | 28,555 | ||||||||
The Energy Select Sector SPDR Fund
|
95,477 | 5,143,346 | 3,875,736 | 2,087,036 | 153,927 | 134,077 | 130,091 | 7,220,050 | 163,911 | ||||||||
Total
|
$107,315,122 | $207,632,480 | $174,055,392 | $1,116,736 | $2,248,570 | $144,257,516 | $2,792,076 |
Description | Level
1 – Quoted Prices |
Level
2 – Other Significant Observable Inputs |
Level
3 – Significant Unobservable Inputs |
Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Mutual Funds and Exchange Traded Products
|
$ 117,443,030 | $— | $— | $ 117,443,030 | ||||
Short-Term Investments
|
7,372,408 | — | — | 7,372,408 | ||||
TOTAL INVESTMENTS
|
$124,815,438 | $— | $— | $124,815,438 |
Number
of Shares Held at 6/30/21 |
Value
at 6/30/21 |
Cost
of Purchases |
Proceeds
from Shares Sold |
Realized
Gain (Loss) |
Change
in Unrealized Appreciation/ Depreciation |
Number
of Shares Held at 12/31/21 |
Value
at 12/31/21 |
Dividend
Income | |||||||||
SPDR Blackstone Senior Loan ETF
|
549,297 | $ 25,426,958 | $ 3,580,716 | $ 4,975,012 | $ (7,765) | $ (357,985) | 518,670 | $ 23,666,912 | $ 610,677 | ||||||||
SPDR Bloomberg Convertible Securities ETF
|
76,343 | 6,621,229 | 992,723 | 1,534,029 | 377,962 | (656,492) | 69,930 | 5,801,393 | 82,732 | ||||||||
SPDR Bloomberg Emerging Markets Local Bond
ETF
|
468,207 | 12,374,711 | 2,364,568 | 2,049,341 | (34,102) | (861,923) | 482,566 | 11,793,913 | 254,834 | ||||||||
SPDR Bloomberg High Yield Bond ETF
|
81,478 | 8,959,321 | 3,717,209 | 5,073,840 | 36,167 | (127,116) | 69,188 | 7,511,741 | 164,139 | ||||||||
SPDR ICE Preferred Securities ETF
|
201,783 | 8,922,844 | 1,268,327 | 1,553,460 | (12,690) | (238,819) | 195,437 | 8,386,202 | 239,289 | ||||||||
SPDR Portfolio Long Term Corporate Bond ETF
|
310,973 | 9,882,722 | 3,329,516 | 2,245,119 | 111,188 | (199,638) | 345,574 | 10,878,669 | 181,525 | ||||||||
SPDR Portfolio Long Term Treasury ETF
|
216,247 | 8,931,001 | 3,058,553 | 2,767,663 | 119,684 | 116,042 | 224,380 | 9,457,617 | 90,254 | ||||||||
SPDR Portfolio S&P 500 High Dividend
ETF
|
480,228 | 19,252,341 | 3,033,849 | 8,772,007 | 301,643 | 392,238 | 337,885 | 14,208,064 | 213,959 | ||||||||
SPDR S&P Global Infrastructure ETF
|
117,732 | 6,146,788 | 854,704 | 1,257,734 | 47,249 | 163,907 | 109,768 | 5,954,914 | 90,385 | ||||||||
SPDR S&P International Dividend ETF
|
279,929 | 11,029,202 | 4,011,097 | 3,020,701 | 117,420 | (155,407) | 308,169 | 11,981,611 | 225,597 | ||||||||
State Street Institutional U.S. Government Money
Market Fund, Class G Shares
|
85,137 | 85,137 | 1,004,841 | 698,342 | — | — | 391,636 | 391,636 | 42 | ||||||||
State Street Navigator Securities Lending
Portfolio II
|
10,114,067 | 10,114,067 | 187,616,340 | 190,749,635 | — | — | 6,980,772 | 6,980,772 | 71,916 | ||||||||
Total
|
$127,746,321 | $214,832,443 | $224,696,883 | $1,056,756 | $(1,925,193) | $117,013,444 | $2,225,349 |
Description | Level
1 – Quoted Prices |
Level
2 – Other Significant Observable Inputs |
Level
3 – Significant Unobservable Inputs |
Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Mutual Funds and Exchange Traded Products
|
$276,219,763 | $— | $— | $276,219,763 | ||||
Short-Term Investments
|
83,240,230 | — | — | 83,240,230 | ||||
TOTAL INVESTMENTS
|
$359,459,993 | $— | $— | $359,459,993 |
Number
of Shares Held at 6/30/21 |
Value
at 6/30/21 |
Cost
of Purchases |
Proceeds
from Shares Sold |
Realized
Gain (Loss) |
Change
in Unrealized Appreciation/ Depreciation |
Number
of Shares Held at 12/31/21 |
Value
at 12/31/21 |
Dividend
Income | |||||||||
SPDR Bloomberg Emerging Markets Local Bond
ETF
|
105,951 | $ 2,800,285 | $ 519,961 | $ 199,202 | $ (5,579) | $ (220,034) | 118,471 | $ 2,895,431 | $ 62,432 | ||||||||
SPDR Bloomberg High Yield Bond ETF
|
104,639 | 11,506,104 | 21,204,408 | 23,785,331 | 534,530 | (751,637) | 80,207 | 8,708,074 | 178,518 | ||||||||
SPDR Bloomberg International Corporate Bond
ETF
|
— | — | 3,041,325 | 116,973 | (1,842) | (37,738) | 83,399 | 2,884,772 | 2,425 | ||||||||
SPDR Dow Jones International Real Estate
ETF
|
74,309 | 2,728,626 | 3,857,546 | 380,493 | 33,548 | (287,939) | 167,171 | 5,951,288 | 190,977 | ||||||||
SPDR Dow Jones REIT ETF
|
26,393 | 2,768,362 | 282,302 | 971,709 | 199,254 | 240,241 | 20,616 | 2,518,450 | 48,439 | ||||||||
SPDR FTSE International Government
Inflation-Protected Bond ETF
|
— | — | 6,029,685 | 176,368 | 1,000 | (61,724) | 107,649 | 5,792,593 | 84,501 | ||||||||
SPDR Portfolio Aggregate Bond ETF
|
239,071 | 7,174,521 | 26,734,900 | 23,742,349 | (58,355) | (63,894) | 339,123 | 10,044,823 | 147,406 | ||||||||
SPDR Portfolio Developed World ex-US ETF
|
1,158,110 | 42,606,867 | 17,847,267 | 6,524,518 | 764,533 | (1,119,512) | 1,468,603 | 53,574,637 | 865,039 | ||||||||
SPDR Portfolio Emerging Markets ETF
|
435,506 | 19,815,523 | 2,371,902 | 8,929,944 | 913,222 | (2,251,414) | 287,281 | 11,919,289 | 256,410 | ||||||||
SPDR Portfolio Europe ETF
|
261,673 | 10,951,015 | 14,202,659 | 11,062,782 | (214,672) | 564,650 | 338,908 | 14,440,870 | 143,953 | ||||||||
SPDR Portfolio Intermediate Term Corporate Bond
ETF
|
467,736 | 17,165,911 | 1,911,890 | 4,463,416 | 22,477 | (244,246) | 398,136 | 14,392,616 | 131,361 | ||||||||
SPDR Portfolio Long Term Corporate Bond ETF
|
461,225 | 14,657,731 | 1,558,849 | 1,708,977 | 54,374 | (182,133) | 456,793 | 14,379,844 | 246,906 | ||||||||
SPDR Portfolio Long Term Treasury ETF
|
212,957 | 8,795,124 | 6,825,944 | 1,519,668 | 69,963 | 74,157 | 337,972 | 14,245,520 | 107,211 | ||||||||
SPDR Portfolio S&P 600 Small Cap ETF
|
315,273 | 13,853,095 | 6,984,064 | 8,653,760 | 722,127 | (210,750) | 284,063 | 12,694,776 | 152,908 | ||||||||
SPDR Portfolio TIPS ETF
|
461,214 | 14,362,204 | 1,841,432 | 1,814,931 | 99,805 | 63,860 | 461,980 | 14,552,370 | 458,219 | ||||||||
SPDR S&P 500 ETF Trust
|
141,995 | 60,782,380 | 13,837,937 | 39,493,060 | 8,909,653 | (3,486,250) | 85,377 | 40,550,660 | 384,216 | ||||||||
SPDR S&P Emerging Markets SmallCap ETF
|
47,193 | 2,893,875 | 408,623 | 188,551 | 40,505 | (133,734) | 50,931 | 3,020,718 | 57,722 | ||||||||
SPDR S&P International Small Cap ETF
|
214,290 | 8,284,451 | 1,552,398 | 677,505 | 126,578 | (306,747) | 237,733 | 8,979,175 | 150,277 | ||||||||
SPDR S&P MidCap 400 ETF Trust
|
11,391 | 5,593,095 | 838,874 | 638,457 | 162,790 | 160,605 | 11,816 | 6,116,907 | 32,196 | ||||||||
State Street Institutional U.S. Government Money
Market Fund, Class G Shares
|
4,881,145 | 4,881,145 | 17,374,088 | 11,265,784 | — | — | 10,989,449 | 10,989,449 | 900 | ||||||||
State Street Navigator Securities Lending
Portfolio II
|
42,661,109 | 42,661,109 | 770,028,894 | 740,439,222 | — | — | 72,250,781 | 72,250,781 | 150,056 | ||||||||
The Communication Services Select Sector SPDR
Fund
|
— | — | 6,118,012 | 5,849,495 | (268,517) | — | — | — | 9,793 | ||||||||
The Consumer Staples Select Sector SPDR
Fund
|
— | — | 8,924,385 | 9,040,655 | 116,270 | — | — | — | 17,922 | ||||||||
The Energy Select Sector SPDR Fund
|
50,960 | 2,745,215 | 9,195,012 | 5,936,080 | (503,063) | 16,282 | 99,412 | 5,517,366 | 69,963 | ||||||||
The Financial Select Sector SPDR Fund
|
— | — | 5,952,234 | 2,924,388 | (68,218) | 29,493 | 76,546 | 2,989,121 | 13,655 | ||||||||
The Industrial Select Sector SPDR Fund
|
27,205 | 2,785,792 | 2,892,872 | 5,743,851 | 20,591 | 44,596 | — | — | — | ||||||||
The Materials Select Sector SPDR Fund
|
65,593 | 5,398,960 | 6,167,963 | 8,477,043 | (396,071) | 353,677 | 33,633 | 3,047,486 | 26,771 | ||||||||
The Technology Select Sector SPDR Fund
|
41,332 | 6,103,083 | 662,352 | 2,216,396 | 295,970 | 698,662 | 31,884 | 5,543,671 | 20,664 | ||||||||
Total
|
$311,314,473 | $959,167,778 | $926,940,908 | $11,570,873 | $ (7,111,529) | $348,000,687 | $4,010,840 |
Description | Number
of Contracts |
Expiration
Date |
Notional
Amount |
Value | Unrealized
Appreciation (Depreciation) | |||||
2 Yr. U.S. Treasury Notes Futures (long) | 18 | 03/31/2022 | $3,925,500 | $3,927,064 | $1,564 |
Description | Level
1 – Quoted Prices |
Level
2 – Other Significant Observable Inputs |
Level
3 – Significant Unobservable Inputs |
Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Corporate Bonds & Notes
|
$ — | $250,535,729 | $— | $250,535,729 | ||||
Asset-Backed Securities
|
— | 30,879,307 | — | 30,879,307 | ||||
U.S. Treasury Obligations
|
— | 46,367,503 | — | 46,367,503 | ||||
Mortgage-Backed Securities
|
— | 12,005,635 | — | 12,005,635 | ||||
Commercial Mortgage Backed Securities
|
— | 20,585,015 | — | 20,585,015 | ||||
Short-Term Investment
|
83,418,920 | — | — | 83,418,920 | ||||
TOTAL INVESTMENTS
|
$83,418,920 | $360,373,189 | $— | $443,792,109 | ||||
OTHER FINANCIAL INSTRUMENTS: | ||||||||
Futures Contracts(a)
|
1,564 | — | — | 1,564 | ||||
TOTAL OTHER FINANCIAL INSTRUMENTS:
|
$ 1,564 | $ — | $— | $ 1,564 | ||||
TOTAL INVESTMENTS AND OTHER FINANCIAL
INSTRUMENTS
|
$83,420,484 | $360,373,189 | $— | $443,793,673 |
(a) | Futures Contracts are valued at unrealized appreciation (depreciation). |
Number
of Shares Held at 6/30/21 |
Value
at 6/30/21 |
Cost
of Purchases |
Proceeds
from Shares Sold |
Realized
Gain (Loss) |
Change
in Unrealized Appreciation/ Depreciation |
Number
of Shares Held at 12/31/21 |
Value
at 12/31/21 |
Dividend
Income | |||||||||
State Street Institutional U.S. Government Money
Market Fund, Class G Shares
|
62,702,468 | $62,702,468 | $234,377,372 | $213,660,920 | $— | $— | 83,418,920 | $83,418,920 | $8,434 |
Counterparty | Amount Sold | Amount Bought | Settlement
Date |
Net
Unrealized Appreciation/ (Depreciation) | ||||
Commonwealth Bank of Australia Sydney | EUR 89,000 | USD 100,187 | 01/10/2022 | $(1,035) |
Counterparty | Amount Sold | Amount Bought | Settlement
Date |
Net
Unrealized Appreciation/ (Depreciation) | ||||
Standard Chartered Bank | EUR 129,000 | USD 146,162 | 01/06/2022 | $ (542) | ||||
Total | $(1,577) | |||||||
Description | Number
of Contracts |
Expiration
Date |
Notional
Amount |
Value | Unrealized
Appreciation (Depreciation) | |||||
90 Day Euro Futures (long) | 85 | 12/19/2022 | $ 21,102,030 | $ 21,027,937 | $(74,092) | |||||
2 Yr. U.S. Treasury Notes Futures (short) | (34) | 03/31/2022 | (7,416,441) | (7,417,844) | (1,403) | |||||
10 Yr. U.S. Treasury Ultra Futures (long) | 15 | 03/22/2022 | 2,193,293 | 2,196,563 | 3,269 | |||||
90 Day Euro Futures (short) | (85) | 12/16/2024 | (20,882,429) | (20,886,625) | (4,196) | |||||
Total unrealized appreciation/depreciation on open futures contracts. | $(76,422) |
Description | Level
1 – Quoted Prices |
Level
2 – Other Significant Observable Inputs |
Level
3 – Significant Unobservable Inputs |
Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Corporate Bonds & Notes
|
$ — | $25,063,313 | $— | $25,063,313 | ||||
Asset-Backed Securities
|
— | 2,896,332 | — | 2,896,332 | ||||
Commercial Mortgage Backed Securities
|
— | 99,501 | — | 99,501 | ||||
Mutual Funds and Exchange Traded Products
|
1,922,620 | — | — | 1,922,620 | ||||
Preferred Stocks
|
180,644 | — | — | 180,644 | ||||
Senior Floating Rate Loans
|
— | 11,273,013 | — | 11,273,013 | ||||
Short-Term Investment
|
4,129,348 | — | — | 4,129,348 | ||||
TOTAL INVESTMENTS
|
$6,232,612 | $39,332,159 | $— | $45,564,771 | ||||
OTHER FINANCIAL INSTRUMENTS: | ||||||||
Futures Contracts(a)
|
3,269 | — | — | 3,269 | ||||
TOTAL OTHER FINANCIAL INSTRUMENTS:
|
$ 3,269 | $ — | $— | $ 3,269 | ||||
TOTAL INVESTMENTS AND OTHER FINANCIAL
INSTRUMENTS
|
$6,235,881 | $39,332,159 | $— | $45,568,040 |
Description | Level
1 – Quoted Prices |
Level
2 – Other Significant Observable Inputs |
Level
3 – Significant Unobservable Inputs |
Total | ||||
LIABILITIES: | ||||||||
OTHER FINANCIAL INSTRUMENTS: | ||||||||
Foreign Currency Exchange Contracts(b)
|
$ (1,577) | $ — | $— | $ (1,577) | ||||
Futures Contracts(a)
|
(79,691) | — | — | (79,691) | ||||
TOTAL OTHER FINANCIAL INSTRUMENTS:
|
$ (81,268) | $ — | $— | $ (81,268) |
(a) | Futures Contracts are valued at unrealized appreciation (depreciation). |
(b) | Forward Foreign Currency Exchange Contracts are valued at unrealized appreciation (depreciation). |
Number
of Shares Held at 9/27/2021* |
Value
at 9/27/2021* |
Cost
of Purchases |
Proceeds
from Shares Sold |
Realized
Gain (Loss) |
Change
in Unrealized Appreciation/ Depreciation |
Number
of Shares Held at 12/31/21 |
Value
at 12/31/21 |
Dividend
Income | |||||||||
SPDR Blackstone Senior Loan ETF
|
— | $— | $ 1,940,590 | $ — | $— | $(17,970) | 42,135 | $1,922,620 | $26,986 | ||||||||
State Street Institutional U.S. Government Money
Market Fund, Class G Shares
|
— | — | 43,397,328 | 39,267,980 | — | — | 4,129,348 | 4,129,348 | 633 | ||||||||
Total
|
$— | $45,337,918 | $39,267,980 | $— | $(17,970) | $6,051,968 | $27,619 |
* | Commencement of operations. |
Description | Level
1 – Quoted Prices |
Level
2 – Other Significant Observable Inputs |
Level
3 – Significant Unobservable Inputs |
Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Municipal Bonds & Notes
|
$ — | $36,529,594 | $— | $36,529,594 | ||||
Short-Term Investment
|
1,743,772 | — | — | 1,743,772 | ||||
TOTAL INVESTMENTS
|
$1,743,772 | $36,529,594 | $— | $38,273,366 |
Number
of Shares Held at 6/30/21 |
Value
at 6/30/21 |
Cost
of Purchases |
Proceeds
from Shares Sold |
Realized
Gain (Loss) |
Change
in Unrealized Appreciation/ Depreciation |
Number
of Shares Held at 12/31/21 |
Value
at 12/31/21 |
Dividend
Income | |||||||||
State Street Institutional U.S. Government Money
Market Fund, Class G Shares
|
1,374,817 | $1,374,817 | $12,405,487 | $12,036,532 | $— | $— | 1,743,772 | $1,743,772 | $245 |
SPDR SSGA Multi-Asset Real Return ETF | SPDR SSGA Income Allocation ETF | SPDR SSGA Global Allocation ETF | |||
ASSETS | |||||
Investments in unaffiliated issuers, at
value*
|
$ 44,859,525 | $ 7,801,994 | $ 11,459,306 | ||
Investments in affiliated issuers, at value
|
144,257,516 | 117,013,444 | 348,000,687 | ||
Total Investments
|
189,117,041 | 124,815,438 | 359,459,993 | ||
Foreign currency, at value
|
— | — | — | ||
Net cash at broker
|
— | — | — | ||
Cash
|
— | — | — | ||
Receivable from broker — accumulated variation
margin on futures contracts
|
— | — | — | ||
Receivable for investments sold
|
— | — | — | ||
Receivable for fund shares sold
|
37,132 | — | 298,027 | ||
Dividends receivable — unaffiliated issuers
|
— | — | — | ||
Dividends receivable — affiliated issuers
|
36 | 12 | 172,789 | ||
Interest receivable — unaffiliated issuers
|
— | — | — | ||
Securities lending income receivable —
unaffiliated issuers
|
207 | 3,765 | 4,579 | ||
Securities lending income receivable — affiliated
issuers
|
5,756 | 10,182 | 35,782 | ||
Receivable for foreign taxes recoverable
|
— | — | — | ||
TOTAL ASSETS
|
189,160,172 | 124,829,397 | 359,971,170 | ||
LIABILITIES | |||||
Due to custodian
|
— | — | — | ||
Payable upon return of securities loaned
|
6,946,536 | 6,980,772 | 72,250,781 | ||
Payable for investments purchased
|
— | — | — | ||
Payable to broker – accumulated variation margin
on open futures contracts
|
— | — | — | ||
Unrealized depreciation on forward foreign
currency exchange contracts
|
— | — | — | ||
Advisory fee payable
|
— | 12,570 | 29,441 | ||
Trustees’ fees and expenses payable
|
3 | 223 | 399 | ||
TOTAL LIABILITIES
|
6,946,539 | 6,993,565 | 72,280,621 | ||
NET ASSETS
|
$182,213,633 | $ 117,835,832 | $287,690,549 | ||
NET ASSETS CONSIST OF: | |||||
Paid-in Capital
|
$ 230,611,341 | $127,128,360 | $241,466,859 | ||
Total distributable earnings (loss)
|
(48,397,708) | (9,292,528) | 46,223,690 | ||
NET ASSETS
|
$182,213,633 | $ 117,835,832 | $287,690,549 | ||
NET ASSET VALUE PER SHARE | |||||
Net asset value per share
|
$ 27.03 | $ 35.39 | $ 46.03 | ||
Shares outstanding (unlimited amount authorized,
no par value)
|
6,740,000 | 3,330,000 | 6,250,000 | ||
COST OF INVESTMENTS: | |||||
Investments in unaffiliated issuers
|
$ 53,630,694 | $ 7,813,561 | $ 12,158,660 | ||
Investments in affiliated issuers
|
137,459,450 | 115,850,937 | 306,453,095 | ||
Total cost of investments
|
$191,090,144 | $123,664,498 | $ 318,611,755 | ||
Foreign currency, at cost
|
$ — | $ — | $ — | ||
* Includes investments in securities on loan, at
value
|
$ 6,754,679 | $ 9,182,534 | $ 78,194,014 |
SPDR SSGA Ultra Short Term Bond ETF | SPDR Loomis Sayles Opportunistic Bond ETF | SPDR Nuveen Municipal Bond ETF | ||
$360,373,189 | $39,512,803 | $36,529,594 | ||
83,418,920 | 6,051,968 | 1,743,772 | ||
443,792,109 | 45,564,771 | 38,273,366 | ||
— | 102,042 | — | ||
58,798 | 198,956 | — | ||
— | 770 | — | ||
1,594 | — | — | ||
5,044,012 | 164,786 | — | ||
— | — | — | ||
— | 1,040 | 389,447 | ||
1,666 | 109 | 42 | ||
627,711 | 348,571 | — | ||
— | — | — | ||
— | — | — | ||
— | 1,367 | — | ||
449,525,890 | 46,382,412 | 38,662,855 | ||
795,627 | — | — | ||
— | — | — | ||
1,190,744 | 2,983,874 | — | ||
— | 76,422 | — | ||
— | 1,577 | — | ||
77,014 | 20,192 | 13,588 | ||
158 | 17 | 52 | ||
2,063,543 | 3,082,082 | 13,640 | ||
$447,462,347 | $43,300,330 | $38,649,215 | ||
$448,729,284 | $43,564,634 | $38,963,570 | ||
(1,266,937) | (264,304) | (314,355) | ||
$447,462,347 | $43,300,330 | $38,649,215 | ||
$ 40.31 | $ 29.86 | $ 29.73 | ||
11,100,000 | 1,450,000 | 1,300,000 | ||
$360,865,965 | $39,638,939 | $36,709,069 | ||
83,418,920 | 6,069,938 | 1,743,772 | ||
$444,284,885 | $45,708,877 | $38,452,841 | ||
$ — | $ 102,042 | $ — | ||
$ — | $ — | $ — |
SPDR SSGA Multi-Asset Real Return ETF | SPDR SSGA Income Allocation ETF | SPDR SSGA Global Allocation ETF | |||
INVESTMENT INCOME | |||||
Interest income — unaffiliated issuers
|
$ — | $ — | $ — | ||
Dividend income — unaffiliated issuers
|
15,439,724 | 265,057 | 3,115,739 | ||
Dividend income — affiliated issuers
|
2,763,521 | 2,153,433 | 3,860,784 | ||
Unaffiliated securities lending income
|
49,183 | 24,781 | 20,538 | ||
Affiliated securities lending income
|
28,555 | 71,916 | 150,056 | ||
TOTAL INVESTMENT INCOME (LOSS)
|
18,280,983 | 2,515,187 | 7,147,117 | ||
EXPENSES | |||||
Advisory fee
|
57,583 | 77,391 | 240,334 | ||
Trustees’ fees and expenses
|
572 | 718 | 1,611 | ||
Miscellaneous expenses
|
2 | 1 | 4 | ||
TOTAL EXPENSES
|
58,157 | 78,110 | 241,949 | ||
NET INVESTMENT INCOME (LOSS)
|
$ 18,222,826 | $ 2,437,077 | $ 6,905,168 | ||
REALIZED AND UNREALIZED GAIN (LOSS) | |||||
Net realized gain (loss) on: | |||||
Investments — unaffiliated issuers
|
(1,528,223) | (25,932) | (276,702) | ||
Investments — affiliated issuers
|
(445,493) | (63,319) | 7,671,906 | ||
In-kind redemptions — unaffiliated issuers
|
1,181,269 | 301,169 | 128,678 | ||
In-kind redemptions — affiliated issuers
|
1,562,229 | 1,120,075 | 3,898,967 | ||
Forward foreign currency exchange contracts
|
— | — | — | ||
Foreign currency transactions
|
— | — | — | ||
Futures contracts
|
— | — | — | ||
Net realized gain (loss)
|
769,782 | 1,331,993 | 11,422,849 | ||
Net change in unrealized appreciation/depreciation on: | |||||
Investments — unaffiliated issuers
|
(12,754,472) | (503,147) | (2,181,450) | ||
Investments — affiliated issuers
|
2,248,570 | (1,925,193) | (7,111,529) | ||
Forward foreign currency exchange contracts
|
— | — | — | ||
Foreign currency translations
|
— | — | — | ||
Futures contracts
|
— | — | — | ||
Net change in unrealized
appreciation/depreciation
|
(10,505,902) | (2,428,340) | (9,292,979) | ||
NET REALIZED AND UNREALIZED GAIN (LOSS)
|
(9,736,120) | (1,096,347) | 2,129,870 | ||
NET INCREASE (DECREASE) IN NET ASSETS FROM
OPERATIONS
|
$ 8,486,706 | $ 1,340,730 | $ 9,035,038 |
SPDR SSGA Ultra Short Term Bond ETF | SPDR Loomis Sayles Opportunistic Bond ETF(a) | SPDR Nuveen Municipal Bond ETF | ||
$ 1,420,144 | $ 287,747 | (91,944) | ||
— | 2,661 | 283,347 | ||
8,434 | 27,619 | 245 | ||
— | — | — | ||
— | — | — | ||
1,428,578 | 318,027 | 191,648 | ||
444,669 | 59,610 | 89,245 | ||
1,968 | 81 | 273 | ||
6 | — | — | ||
446,643 | 59,691 | 89,518 | ||
$ 981,935 | $ 258,336 | $ 102,130 | ||
(335,241) | (77,396) | 85,443 | ||
— | — | — | ||
— | — | 5,816 | ||
— | — | — | ||
— | (6,948) | — | ||
— | 11,391 | — | ||
139,608 | 10,779 | — | ||
(195,633) | (62,174) | 91,259 | ||
(1,349,036) | (126,136) | (189,685) | ||
— | (17,970) | — | ||
— | (1,577) | — | ||
— | 1,577 | — | ||
1,564 | (76,951) | — | ||
(1,347,472) | (221,057) | (189,685) | ||
(1,543,105) | (283,231) | (98,426) | ||
$ (561,170) | $ (24,895) | $ 3,704 |
(a) | For the period September 27, 2021 (commencement of operations) through December 31, 2021. |
SPDR SSGA Multi-Asset Real Return ETF | SPDR SSGA Income Allocation ETF | ||||||
Six
Months Ended 12/31/21 (Unaudited) |
Year
Ended 6/30/21 |
Six
Months Ended 12/31/21 (Unaudited) |
Year
Ended 6/30/21 | ||||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||||||
Net investment income (loss)
|
$ 18,222,826 | $ 1,767,722 | $ 2,437,077 | $ 4,611,865 | |||
Net realized gain (loss)
|
769,782 | (1,841,123) | 1,331,993 | 5,224,138 | |||
Net change in unrealized
appreciation/depreciation
|
(10,505,902) | 19,933,207 | (2,428,340) | 12,676,226 | |||
Net increase (decrease) in net assets resulting
from operations
|
8,486,706 | 19,859,806 | 1,340,730 | 22,512,229 | |||
Net equalization credits and charges
|
2,054,666 | 54,735 | (3,724) | 149,449 | |||
Distributions to shareholders
|
(20,015,187) | (1,750,442) | (2,183,678) | (4,629,430) | |||
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||||||
Proceeds from shares sold
|
79,250,204 | 67,513,380 | 14,645,106 | 73,221,393 | |||
Cost of shares redeemed
|
(15,884,632) | (9,014,313) | (21,004,866) | (92,104,724) | |||
Net income equalization
|
(2,054,666) | (54,735) | 3,724 | (149,449) | |||
Other Capital
|
18,255 | — | — | — | |||
Net increase (decrease) in net assets from
beneficial interest transactions
|
61,329,161 | 58,444,332 | (6,356,036) | (19,032,780) | |||
Net increase (decrease) in net assets during the
period
|
51,855,346 | 76,608,431 | (7,202,708) | (1,000,532) | |||
Net assets at beginning of period
|
130,358,287 | 53,749,856 | 125,038,540 | 126,039,072 | |||
NET ASSETS AT END OF PERIOD
|
$182,213,633 | $130,358,287 | $ 117,835,832 | $125,038,540 | |||
SHARES OF BENEFICIAL INTEREST: | |||||||
Shares sold
|
2,720,000 | 2,420,000 | 410,000 | 2,120,000 | |||
Shares redeemed
|
(550,000) | (380,000) | (590,000) | (2,760,000) | |||
Net increase (decrease) from share
transactions
|
2,170,000 | 2,040,000 | (180,000) | (640,000) |
SPDR SSGA Global Allocation ETF | SPDR SSGA Ultra Short Term Bond ETF | SPDR Loomis Sayles Opportunistic Bond ETF | ||||||
Six
Months Ended 12/31/21 (Unaudited) |
Year
Ended 6/30/21 |
Six
Months Ended 12/31/21 (Unaudited) |
Year
Ended 6/30/21 |
For
the Period 9/27/21*- 12/31/21 (Unaudited) | ||||
$ 6,905,168 | $ 5,634,070 | $ 981,935 | $ 2,186,346 | $ 258,336 | ||||
11,422,849 | 16,141,140 | (195,633) | 478,164 | (62,174) | ||||
(9,292,979) | 40,475,117 | (1,347,472) | 1,451,941 | (221,057) | ||||
9,035,038 | 62,250,327 | (561,170) | 4,116,451 | (24,895) | ||||
7,763 | (16,635) | 3,894 | 31,941 | 6,664 | ||||
(9,049,638) | (5,588,244) | (1,208,398) | (2,605,083) | (239,409) | ||||
22,758,235 | 23,982,836 | 113,126,245 | 130,443,856 | 43,477,679 | ||||
(17,742,764) | (35,804,943) | (66,545,344) | (28,304,057) | — | ||||
(7,763) | 16,635 | (3,894) | (31,941) | (6,664) | ||||
— | — | 47,551 | 44,894 | 86,955 | ||||
5,007,708 | (11,805,472) | 46,624,558 | 102,152,752 | 43,557,970 | ||||
5,000,871 | 44,839,976 | 44,858,884 | 103,696,061 | 43,300,330 | ||||
282,689,678 | 237,849,702 | 402,603,463 | 298,907,402 | — | ||||
$287,690,549 | $282,689,678 | $447,462,347 | $402,603,463 | $43,300,330 | ||||
490,000 | 550,000 | 2,800,000 | 3,225,000 | 1,450,000 | ||||
(380,000) | (860,000) | (1,650,000) | (700,000) | — | ||||
110,000 | (310,000) | 1,150,000 | 2,525,000 | 1,450,000 |
* | Commencement of operations. |
SPDR Nuveen Municipal Bond ETF | |||
Six
Months Ended 12/31/21 (Unaudited) |
For
the Period 2/3/21*- 6/30/21 | ||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||
Net investment income (loss)
|
$ 102,130 | $ 91,974 | |
Net realized gain (loss)
|
91,259 | 252,383 | |
Net change in unrealized
appreciation/depreciation
|
(189,685) | 10,210 | |
Net increase (decrease) in net assets resulting
from operations
|
3,704 | 354,567 | |
Net equalization credits and charges
|
(850) | 2,273 | |
Distributions to shareholders
|
(526,510) | (140,300) | |
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||
Proceeds from shares sold
|
— | 44,904,991 | |
Cost of shares redeemed
|
(5,992,142) | — | |
Net income equalization
|
850 | (2,273) | |
Other Capital
|
— | 44,905 | |
Net increase (decrease) in net assets from
beneficial interest transactions
|
(5,991,292) | 44,947,623 | |
Net increase (decrease) in net assets during the
period
|
(6,514,948) | 45,164,163 | |
Net assets at beginning of period
|
45,164,163 | — | |
NET ASSETS AT END OF PERIOD
|
$38,649,215 | $45,164,163 | |
SHARES OF BENEFICIAL INTEREST: | |||
Shares redeemed
|
(200,000) | — | |
Net increase (decrease) from share
transactions
|
(200,000) | 1,500,000 |
* | Commencement of operations. |
SPDR SSGA Multi-Asset Real Return ETF | |||||||||||
Six
Months Ended 12/31/21 (Unaudited) |
Year
Ended 6/30/21 |
Year
Ended 6/30/20 |
Year
Ended 6/30/19 |
Year
Ended 6/30/18(a) |
Year
Ended 6/30/17(a) | ||||||
Net asset value, beginning of period
|
$ 28.52 | $ 21.25 | $ 25.18 | $ 26.62 | $ 23.97 | $ 24.38 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (b)
|
3.41 | 0.65 | 0.78 | 0.69 | 0.53 | 0.56 | |||||
Net realized and unrealized gain (loss) (c)
|
(2.25) | 7.15 | (3.89) | (1.43) | 2.64 | (0.44) | |||||
Total from investment operations
|
1.16 | 7.80 | (3.11) | (0.74) | 3.17 | 0.12 | |||||
Net equalization credits and charges (b)
|
0.38 | 0.02 | (0.02) | 0.00(d) | (0.00)(d) | 0.01 | |||||
Other capital
|
0.00(d) | — | — | — | — | — | |||||
Distributions to shareholders from: | |||||||||||
Net investment income
|
(3.03) | (0.55) | (0.80) | (0.70) | (0.52) | (0.54) | |||||
Net asset value, end of period
|
$ 27.03 | $ 28.52 | $ 21.25 | $ 25.18 | $ 26.62 | $ 23.97 | |||||
Total return (e)
|
5.40% | 37.12% | (12.71)% | (2.71)% | 13.26% | 0.56% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s)
|
$182,214 | $130,358 | $53,750 | $112,792 | $143,742 | $115,075 | |||||
Ratios to average net assets: | |||||||||||
Total expenses (f)
|
0.07%(g) | 0.08% | 0.08% | 0.12% | 0.22% | 0.22% | |||||
Net investment income (loss)
|
23.27%(g) | 2.56% | 3.30% | 2.76% | 2.04% | 2.28% | |||||
Portfolio turnover rate
|
19%(h) | 49% | 30% | 28% | 44% | 46%(i) |
(a) | The per share amounts and percentages include the Fund’s proportionate share of income and expenses of the Portfolio prior to discontinuance of the master feeder structure. |
(b) | Per share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the period. |
(c) | Amounts shown in this caption for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period because of the timing of sales and repurchases of Fund shares in relation to fluctuating market values for the Fund. |
(d) | Amount is less than $0.005 per share. |
(e) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates of each distribution. Total returns for periods of less than one year are not annualized. Broker commission charges are not included in this calculation. |
(f) | Does not include expenses of the Underlying Funds in which the Fund invests. |
(g) | Annualized. |
(h) | Not annualized. |
(i) | Portfolio turnover is from the Fund's Portfolio prior to discontinuance of master-feeder structure. |
SPDR SSGA Income Allocation ETF | |||||||||||
Six
Months Ended 12/31/21 (Unaudited) |
Year
Ended 6/30/21 |
Year
Ended 6/30/20 |
Year
Ended 6/30/19 |
Year
Ended 6/30/18(a) |
Year
Ended 6/30/17(a) | ||||||
Net asset value, beginning of period
|
$ 35.62 | $ 30.37 | $ 33.32 | $ 32.42 | $ 32.33 | $ 31.23 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (b)
|
0.75 | 1.35 | 1.43 | 1.53 | 1.02 | 1.10 | |||||
Net realized and unrealized gain (loss) (c)
|
(0.31) | 5.18 | (2.95) | 0.91 | 0.09 | 0.98 | |||||
Total from investment operations
|
0.44 | 6.53 | (1.52) | 2.44 | 1.11 | 2.08 | |||||
Net equalization credits and charges (b)
|
(0.00)(d) | 0.04 | 0.03 | 0.03 | (0.01) | (0.01) | |||||
Other capital (b)
|
— | — | — | 0.00(d) | — | — | |||||
Distributions to shareholders from: | |||||||||||
Net investment income
|
(0.67) | (1.32) | (1.46) | (1.57) | (1.01) | (0.97) | |||||
Net asset value, end of period
|
$ 35.39 | $ 35.62 | $ 30.37 | $ 33.32 | $ 32.42 | $ 32.33 | |||||
Total return (e)
|
1.23% | 21.90% | (4.56)% | 7.93% | 3.34% | 6.78% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s)
|
$117,836 | $125,039 | $126,039 | $104,613 | $92,389 | $95,376 | |||||
Ratios to average net assets: | |||||||||||
Total expenses (f)
|
0.13%(g) | 0.16% | 0.18% | 0.18% | 0.39% | 0.37% | |||||
Net investment income (loss)
|
4.16%(g) | 4.02% | 4.41% | 4.71% | 3.07% | 3.49% | |||||
Portfolio turnover rate
|
12%(h) | 60% | 38% | 71% | 29% | 47%(i) |
(a) | The per share amounts and percentages include the Fund’s proportionate share of income and expenses of the Portfolio prior to discontinuance of the master feeder structure. |
(b) | Per share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the period. |
(c) | Amounts shown in this caption for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period because of the timing of sales and repurchases of Fund shares in relation to fluctuating market values for the Fund. |
(d) | Amount is less than $0.005 per share. |
(e) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates of each distribution. Total returns for periods of less than one year are not annualized. Broker commission charges are not included in this calculation. |
(f) | Does not include expenses of the Underlying Funds in which the Fund invests. |
(g) | Annualized. |
(h) | Not annualized. |
(i) | Portfolio turnover is from the Fund's Portfolio prior to discontinuance of master-feeder structure. |
SPDR SSGA Global Allocation ETF | |||||||||||
Six
Months Ended 12/31/21 (Unaudited) |
Year
Ended 6/30/21 |
Year
Ended 6/30/20 |
Year
Ended 6/30/19 |
Year
Ended 6/30/18(a) |
Year
Ended 6/30/17(a) | ||||||
Net asset value, beginning of period
|
$ 46.04 | $ 36.88 | $ 38.33 | $ 37.72 | $ 35.52 | $ 33.35 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (b)
|
1.12 | 0.91 | 1.07 | 1.03 | 0.81 | 0.99 | |||||
Net realized and unrealized gain (loss) (c)
|
0.35 | 9.16 | (1.44) | 0.57 | 2.18 | 2.03 | |||||
Total from investment operations
|
1.47 | 10.07 | (0.37) | 1.60 | 2.99 | 3.02 | |||||
Net equalization credits and charges (b)
|
0.00(d) | (0.00)(d) | 0.00(d) | 0.01 | 0.01 | 0.00(d) | |||||
Other capital (b)
|
— | — | 0.00(d) | — | — | — | |||||
Distributions to shareholders from: | |||||||||||
Net investment income
|
(1.13) | (0.91) | (1.08) | (1.00) | (0.80) | (0.85) | |||||
Net realized gains
|
(0.35) | — | — | — | — | — | |||||
Total distributions
|
(1.48) | (0.91) | (1.08) | (1.00) | (0.80) | (0.85) | |||||
Net asset value, end of period
|
$ 46.03 | $ 46.04 | $ 36.88 | $ 38.33 | $ 37.72 | $ 35.52 | |||||
Total return (e)
|
3.18% | 27.51% | (1.00)% | 4.37% | 8.46% | 9.14% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s)
|
$287,691 | $282,690 | $237,850 | $255,687 | $248,929 | $207,780 | |||||
Ratios to average net assets: | |||||||||||
Total expenses (f)
|
0.17%(g) | 0.17% | 0.09% | 0.15% | 0.20% | 0.20% | |||||
Net expenses
|
0.17%(g) | 0.17% | 0.09% | 0.15% | 0.09% | 0.01% | |||||
Net investment income (loss)
|
4.76%(g) | 2.16% | 2.84% | 2.76% | 2.14% | 2.91% | |||||
Portfolio turnover rate (h)
|
57%(i) | 110% | 94% | 71% | 43% | 90%(j) |
(a) | The per share amounts and percentages include the Fund’s proportionate share of income and expenses of the Portfolio prior to discontinuance of the master feeder structure. |
(b) | Per share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the period. |
(c) | Amounts shown in this caption for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period because of the timing of sales and repurchases of Fund shares in relation to fluctuating market values for the Fund. |
(d) | Amount is less than $0.005 per share. |
(e) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates of each distribution. Total returns for periods of less than one year are not annualized. Broker commission charges are not included in this calculation. |
(f) | Does not include expenses of the Underlying Funds in which the Fund invests. |
(g) | Annualized. |
(h) | Portfolio turnover rate excludes securities received or delivered from in-kind processing of creations or redemptions. |
(i) | Not annualized. |
(j) | Portfolio turnover is from the Fund's Portfolio prior to discontinuance of master-feeder structure. |
SPDR SSGA Ultra Short Term Bond ETF | |||||||||||
Six
Months Ended 12/31/21 (Unaudited) |
Year
Ended 6/30/21 |
Year
Ended 6/30/20 |
Year
Ended 6/30/19 |
Year
Ended 6/30/18(a) |
Year
Ended 6/30/17(a) | ||||||
Net asset value, beginning of period
|
$ 40.46 | $ 40.26 | $ 40.41 | $ 40.27 | $ 40.26 | $ 40.06 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss) (b)
|
0.09 | 0.27 | 0.81 | 1.02 | 0.68 | 0.44 | |||||
Net realized and unrealized gain (loss) (c)
|
(0.13) | 0.25 | (0.11) | 0.04 | (0.14) | 0.13 | |||||
Total from investment operations
|
(0.04) | 0.52 | 0.70 | 1.06 | 0.54 | 0.57 | |||||
Net equalization credits and charges (b)
|
0.00(d) | 0.00(d) | 0.02 | 0.03 | 0.04 | (0.00)(d) | |||||
Other capital (b)
|
0.00(d) | 0.01 | 0.03 | 0.02 | 0.06 | 0.05 | |||||
Distributions to shareholders from: | |||||||||||
Net investment income
|
(0.11) | (0.33) | (0.90) | (0.97) | (0.63) | (0.42) | |||||
Total distributions
|
(0.11) | (0.33) | (0.90) | (0.97) | (0.63) | (0.42) | |||||
Net asset value, end of period
|
$ 40.31 | $ 40.46 | $ 40.26 | $ 40.41 | $ 40.27 | $ 40.26 | |||||
Total return (e)
|
(0.10)% | 1.34% | 1.86% | 2.79% | 1.60% | 1.53% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in 000s)
|
$447,462 | $402,603 | $298,907 | $167,719 | $50,344 | $18,117 | |||||
Ratios to average net assets: | |||||||||||
Total expenses
|
0.20%(f) | 0.20% | 0.20% | 0.20% | 0.20% | 0.20% | |||||
Net investment income (loss)
|
0.44%(f) | 0.67% | 2.02% | 2.54% | 1.70% | 1.09% | |||||
Portfolio turnover rate
|
41%(g) | 76% | 71% | 100% | 76% | 83%(h) |
(a) | The per share amounts and percentages include the Fund’s proportionate share of income and expenses of the Portfolio prior to discontinuance of the master feeder structure. |
(b) | Per share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the period. |
(c) | Amounts shown in this caption for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period because of the timing of sales and repurchases of Fund shares in relation to fluctuating market values for the Fund. |
(d) | Amount is less than $0.005 per share. |
(e) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates of each distribution. Total returns for periods of less than one year are not annualized. Broker commission charges are not included in this calculation. |
(f) | Annualized. |
(g) | Not annualized. |
(h) | Portfolio turnover is from the Fund's Portfolio prior to discontinuance of master-feeder structure. |
SPDR Loomis Sayles Opportunistic Bond ETF | |
For
the Period 9/27/2021*- 12/31/21 (Unaudited) | |
Net asset value, beginning of period
|
$ 30.00 |
Income (loss) from investment operations: | |
Net investment income (loss) (a)
|
0.19 |
Net realized and unrealized gain (loss) (b)
|
(0.56) |
Total from investment operations
|
(0.37) |
Net equalization credits and charges (a)
|
0.00(c) |
Other capital (a)
|
0.06 |
Distributions to shareholders from: | |
Net investment income
|
0.17 |
Net asset value, end of period
|
$ 29.86 |
Total return (d)
|
0.09% |
Ratios and Supplemental Data: | |
Net assets, end of period (in 000s)
|
$43,300 |
Ratios to average net assets: | |
Total expenses
|
0.55%(e) |
Net investment income (loss)
|
2.36%(e) |
Portfolio turnover rate (f)
|
39%(g) |
* | Commencement of operations. |
(a) | Per share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the period. |
(b) | Amounts shown in this caption for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period because of the timing of sales and repurchases of Fund shares in relation to fluctuating market values for the Fund. |
(c) | Amount is less than $0.00005 per share. |
(d) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates of each distribution. Total returns for periods of less than one year are not annualized. Broker commission charges are not included in this calculation. |
(e) | Annualized. |
(f) | Portfolio turnover rate excludes securities received or delivered from in-kind processing of creations or redemptions. |
(g) | Not annualized. |
SPDR Nuveen Municipal Bond ETF | |||
Six
Months Ended 12/31/21 (Unaudited) |
For
the Period 2/3/21*- 6/30/21 | ||
Net asset value, beginning of period
|
$ 30.11 | $ 30.00 | |
Income (loss) from investment operations: | |||
Net investment income (loss) (a)
|
0.07 | 0.07 | |
Net realized and unrealized gain (loss) (b)
|
(0.07) | 0.11 | |
Total from investment operations
|
0.00 | 0.18 | |
Net equalization credits and charges (a)
|
(0.00)(c) | 0.00(c) | |
Other capital (a)
|
— | 0.03 | |
Distributions to shareholders from: | |||
Net investment income
|
(0.16) | (0.10) | |
Net realized gains
|
(0.22) | — | |
Total distributions
|
(0.38) | — | |
Net asset value, end of period
|
$ 29.73 | $ 30.11 | |
Total return (d)
|
0.01% | 0.69% | |
Ratios and Supplemental Data: | |||
Net assets, end of period (in 000s)
|
$38,649 | $45,164 | |
Ratios to average net assets: | |||
Total expenses
|
0.40%(e) | 0.40%(e) | |
Net investment income (loss)
|
0.46%(e) | 0.57%(e) | |
Portfolio turnover rate (f)
|
35%(g) | 51%(g) |
* | Commencement of operations. |
(a) | Per share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the period. |
(b) | Amounts shown in this caption for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period because of the timing of sales and repurchases of Fund shares in relation to fluctuating market values for the Fund. |
(c) | Amount is less than $0.005 per share. |
(d) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates of each distribution. Total returns for periods of less than one year are not annualized. Broker commission charges are not included in this calculation. |
(e) | Annualized. |
(f) | Portfolio turnover rate excludes securities received or delivered from in-kind processing of creations or redemptions. |
(g) | Not annualized. |
SPDR SSGA Multi-Asset Real Return ETF |
SPDR SSGA Income Allocation ETF |
SPDR SSGA Global Allocation ETF |
SPDR SSGA Ultra Short Term Bond ETF |
SPDR Loomis Sayles Opportunistic Bond ETF |
SPDR Nuveen Municipal Bond ETF |
Asset Derivatives | |||||||||||
Interest
Rate Risk |
Foreign
Exchange Risk |
Credit
Risk |
Equity
Risk |
Commodity
Risk |
Total | ||||||
SPDR SSGA Ultra Short Term Bond ETF | |||||||||||
Futures Contracts
|
$— | $— | $— | $1,594 | $— | $1,594 |
Liability Derivatives | |||||||||||
Interest
Rate Risk |
Foreign
Exchange Risk |
Credit
Risk |
Equity
Risk |
Commodity
Risk |
Total | ||||||
SPDR Loomis Sayles Opportunistic Bond ETF | |||||||||||
Forward Foreign Currency Exchange Contracts
|
$ — | $1,577 | $— | $— | $— | $ 1,577 | |||||
Futures Contracts
|
76,422 | — | — | — | — | 76,422 |
Net Realized Gain (Loss) | |||||||||||
Interest
Rate Risk |
Foreign
Exchange Risk |
Credit
Risk |
Equity
Risk |
Commodity
Risk |
Total | ||||||
SPDR SSGA Ultra Short Term Bond ETF | |||||||||||
Futures Contracts
|
$139,608 | $ — | $— | $— | $— | $139,608 | |||||
SPDR Loomis Sayles Opportunistic Bond ETF | |||||||||||
Forward Foreign Currency Exchange Contracts
|
— | (6,948) | — | — | — | (6,948) | |||||
Futures Contracts
|
10,779 | — | — | — | — | 10,779 |
Net Change in Unrealized Appreciation (Depreciation) | |||||||||||
Interest
Rate Risk |
Foreign
Exchange Risk |
Credit
Risk |
Equity
Risk |
Commodity
Risk |
Total | ||||||
SPDR SSGA Ultra Short Term Bond ETF | |||||||||||
Futures Contracts
|
$ 1,564 | $ — | $— | $— | $— | $ 1,564 | |||||
SPDR Loomis Sayles Opportunistic Bond ETF | |||||||||||
Forward Foreign Currency Exchange Contracts
|
— | (1,577) | — | — | — | (1,577) | |||||
Futures Contracts
|
(76,951) | — | — | — | — | (76,951) |
Offsetting of Financial Liabilities and Derivative Liabilities | ||||||||
Forward Foreign Currency Exchange Contracts | ||||||||
Counterparty | Gross
Amounts of Liabilities |
Amount
Eligible to Offset |
Collateral
(Received) Pledged |
Net
Amount | ||||
Commonwealth Bank of Australia
|
$(1,035) | $— | $— | $(1,035) | ||||
Standard Chartered Bank
|
(542) | — | — | (542) | ||||
$(1,577) | $— | $— | $(1,577) |
Annual Rate* | |
SPDR SSGA Multi-Asset Real Return ETF
|
0.50% |
SPDR SSGA Income Allocation ETF
|
0.50 |
SPDR SSGA Global Allocation ETF
|
0.35 |
Annual Rate* | |
SPDR SSGA Ultra Short Term Bond ETF
|
0.20% |
SPDR Loomis Sayles Opportunistic Bond ETF
|
0.55 |
SPDR Nuveen Municipal Bond ETF
|
0.40 |
* | The Advisory fee is reduced for SPDR SSGA Multi-Asset Real Return ETF, SPDR SSGA Income Allocation ETF and SPDR SSGA Global Allocation ETF by the acquired fund fees and expenses. For the year ended December 31, 2021, the net annualized advisory fee was 0.07%, 0.13%, and 0.17% for the SPDR SSGA Multi-Asset Real Return ETF, SPDR SSGA Income Allocation ETF, SPDR SSGA Global Allocation ETF, respectively. |
Purchases | Sales | ||
SPDR SSGA Multi-Asset Real Return ETF
|
$ 29,383,479 | $ 30,322,256 | |
SPDR SSGA Income Allocation ETF
|
14,474,769 | 14,676,469 | |
SPDR SSGA Global Allocation ETF
|
157,993,489 | 166,286,294 | |
SPDR SSGA Ultra Short Term Bond ETF
|
180,900,444 | 147,067,663 | |
SPDR Loomis Sayles Opportunistic Bond ETF
|
55,764,978 | 13,928,215 | |
SPDR Nuveen Municipal Bond ETF
|
14,915,022 | 22,391,334 |
In-kind
Contributions |
In-kind
Redemptions |
In-kind
Net Realized Gains/(Losses) | |||
SPDR SSGA Multi-Asset Real Return ETF
|
$77,629,914 | $15,564,610 | $2,743,498 | ||
SPDR SSGA Income Allocation ETF
|
14,279,544 | 20,476,939 | 1,421,244 | ||
SPDR SSGA Global Allocation ETF
|
21,399,821 | 16,676,735 | 4,027,645 | ||
SPDR Nuveen Municipal Bond ETF
|
— | 6,053,012 | 5,816 |
Tax
Cost |
Gross
Unrealized Appreciation |
Gross
Unrealized Depreciation |
Net
Unrealized Appreciation (Depreciation) | ||||
SPDR SSGA Multi-Asset Real Return ETF
|
$191,478,699 | $ 6,811,177 | $9,172,835 | $ (2,361,658) | |||
SPDR SSGA Income Allocation ETF
|
123,839,325 | 2,994,385 | 2,018,272 | 976,113 | |||
SPDR SSGA Global Allocation ETF
|
320,032,754 | 40,917,179 | 1,489,940 | 39,427,239 | |||
SPDR SSGA Ultra Short Term Bond ETF
|
444,338,377 | 243,127 | 787,830 | (544,703) | |||
SPDR Loomis Sayles Opportunistic Bond ETF
|
45,708,877 | 235,035 | 457,138 | (222,103) | |||
SPDR Nuveen Municipal Bond ETF
|
38,523,559 | 124,871 | 375,064 | (250,193) |
Fund | Market
Value of Securities on Loan |
Cash
Collateral Received |
Non-Cash
Collateral Received* |
Total
Collateral Received | ||||
SPDR SSGA Multi-Asset Real Return ETF
|
$ 6,754,679 | $ 6,946,536 | $ — | $ 6,946,536 | ||||
SPDR SSGA Income Allocation ETF
|
9,182,534 | 6,980,772 | 2,425,650 | 9,406,422 | ||||
SPDR SSGA Global Allocation ETF
|
78,194,014 | 72,250,781 | 7,697,425 | 79,948,206 |
* | The non-cash collateral includes U.S. Treasuries and U.S. Government Agency securities. |
Remaining Contractual Maturity of the Agreements as of December 31, 2021 | ||||||||||||||
Fund | Securities
Lending Transactions |
Overnight
and Continuous |
<30 Days | Between
30 & 90 Days |
>90 Days | Total
Borrowings |
Gross
Amount of Recognized Liabilities for Securities Lending Transactions | |||||||
SPDR SSGA Multi-Asset Real Return ETF
|
Mutual Funds and Exchange Traded Products | $ 6,946,536 | $— | $— | $— | $ 6,946,536 | $ 6,946,536 | |||||||
SPDR SSGA Income Allocation ETF
|
Mutual Funds and Exchange Traded Products | 6,980,772 | — | — | — | 6,980,772 | 6,980,772 | |||||||
SPDR SSGA Global Allocation ETF
|
Mutual Funds and Exchange Traded Products | 72,250,781 | — | — | — | 72,250,781 | 72,250,781 |
Actual | Hypothetical (assuming a 5% return before expenses) | ||||||||
Annualized
Expense Ratio |
Ending
Account Value |
Expenses
Paid During Period |
Ending
Account Value |
Expenses
Paid During Period(a) | |||||
SPDR SSGA Multi-Asset Real Return ETF
|
0.07% | $1,054.00 | $0.36(a) | $1,024.90 | $0.36 | ||||
SPDR SSGA Income Allocation ETF
|
0.13 | 1,012.30 | 0.66(a) | 1,024.60 | 0.66 | ||||
SPDR SSGA Global Allocation ETF
|
0.17 | 1,031.80 | 0.87(a) | 1,024.30 | 0.87 | ||||
SPDR SSGA Ultra Short Term Bond ETF
|
0.20 | 999.00 | 1.01(a) | 1,024.20 | 1.02 | ||||
SPDR Loomis Sayles Opportunistic Bond ETF
|
0.55 | 1,000.00 | 1.43(b) | 1,022.40 | 2.80 | ||||
SPDR Nuveen Municipal Bond ETF
|
0.40 | 1,000.10 | 2.02(a) | 1,023.20 | 2.04 |
(a) | Expenses are equal to the Fund's annualized net expense ratio multiplied by the average account value of the period, multiplied by 184, then divided by 365. |
(b) | Actual period is from commencement of operations on 9/27/2021. |
• | the Program supported each Fund’s ability to honor redemption requests timely; |
• | the Program supported SSGA FM’s management of each Fund’s liquidity profile, including during periods of market volatility and net redemptions; |
• | no material liquidity issues were identified during the period; |
• | there were no material changes to the Program during the period; |
• | the implementation of the Program was effective to manage each Fund’s liquidity risk; and |
• | the Program operated adequately during the period. |