UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: 811-08839
SPDR® SERIES TRUST
SPDR BLOOMBERG BARCLAYS EMERGING MARKETS LOCAL BOND ETF
SPDR BLOOMBERG BARCLAYS INTERNATIONAL CORPORATE BOND ETF
SPDR BLOOMBERG BARCLAYS INTERNATIONAL TREASURY BOND ETF
SPDR BLOOMBERG BARCLAYS SHORT TERM INTERNATIONAL TREASURY BOND ETF
SPDR FTSE INTERNATIONAL GOVERNMENT INFLATION-PROTECTED BOND ETF
(Exact name of registrant as specified in charter)
One Iron Street, Boston, Massachusetts 02210
(Address of principal executive offices) (zip code)
Sean OMalley, Esq. Senior Vice President and Deputy General Counsel c/o SSGA Funds Management, Inc. One Iron Street Boston, Massachusetts 02210 |
(Name and address of agent for service) |
Copy to: |
W. John McGuire, Esq. Morgan, Lewis & Bockius LLP 1111 Pennsylvania Avenue, NW Washington, DC 20004 |
Registrants telephone number, including area code: (617) 664-1465
Date of fiscal year end: December 31
Date of reporting period: June 30, 2019 to December 31, 2019
Item 1. Reports to Shareholders.
SPDR Bloomberg Barclays Emerging Markets Local Bond ETF |
SPDR Bloomberg Barclays International Corporate Bond ETF |
SPDR Bloomberg Barclays International Treasury Bond ETF |
SPDR Bloomberg Barclays Short Term International Treasury Bond ETF |
SPDR FTSE International Government Inflation-Protected Bond ETF |
Management’s Discussion of Fund Performance, Performance Summaries & Portfolio Statistics (Unaudited) | |
|
2 |
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6 |
|
10 |
|
14 |
|
18 |
Schedules of Investments | |
|
22 |
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32 |
|
46 |
|
62 |
|
67 |
|
73 |
|
81 |
|
86 |
|
96 |
|
97 |
Cumulative Total Return | Average Annual Total Return | ||||||||
Net
Asset Value |
Market
Value |
Bloomberg Barclays EM Local Currency Government Diversified Index |
Net
Asset Value |
Market
Value |
Bloomberg Barclays EM Local Currency Government Diversified Index | ||||
SIX MONTHS | 2.94% | 3.08% | 3.32% | N/A | N/A | N/A | |||
ONE YEAR | 10.44% | 10.32% | 11.07% | 10.44% | 10.32% | 11.07% | |||
FIVE YEARS | 10.48% | 10.00% | 14.96% | 2.01% | 1.92% | 2.83% | |||
SINCE INCEPTION(1) | 14.34% | 14.67% | 23.30% | 1.52% | 1.56% | 2.39% | |||
(1) | For the period February 23, 2011 to December 31, 2019. Since shares of the Fund did not trade in the secondary market until one day after the Fund’s inception, for the period from inception to the first day of secondary market trading in shares of the Fund (2/23/11, 2/24/11, respectively),the NAV of the Fund is used as a proxy for the secondary market trading price to calculate market returns. |
|
|||
Description | % of Net Assets | ||
Brazil
Notas do Tesouro Nacional Serie F
10.00% 1/1/2023 |
1.4% | ||
Brazil
Notas do Tesouro Nacional Serie F
10.00% 1/1/2025 |
1.2 | ||
Brazil
Letras do Tesouro Nacional
Zero Coupon, 1/1/2022 |
1.0 | ||
Colombian
TES
6.00% 4/28/2028 |
1.0 | ||
Brazil
Notas do Tesouro Nacional Serie F
10.00% 1/1/2027 |
0.8 | ||
TOTAL | 5.4% |
|
|||
% of Net Assets | |||
Foreign Government Obligations | 97.3% | ||
Short-Term Investment | 0.5 | ||
Other Assets in Excess of Liabilities | 2.2 | ||
TOTAL | 100.0% |
|
|||
Description | % of Total Investments | ||
South Korea | 12.7% | ||
Brazil | 8.5 | ||
Thailand | 7.0 | ||
Indonesia | 6.9 | ||
Mexico | 6.7 | ||
China | 6.2 | ||
Israel | 4.8 | ||
Malaysia | 4.7 | ||
South Africa | 4.7 | ||
Russia | 4.7 | ||
TOTAL | 66.9% |
Cumulative Total Return | Average Annual Total Return | ||||||||
Net
Asset Value |
Market
Value |
Bloomberg Barclays Global Aggregate ex-USD >$1B: Corporate Bond Index |
Net
Asset Value |
Market
Value |
Bloomberg Barclays Global Aggregate ex-USD >$1B: Corporate Bond Index | ||||
SIX MONTHS | – 0.15% | – 0.18% | 0.10% | N/A | N/A | N/A | |||
ONE YEAR | 4.55% | 4.09% | 5.03% | 4.55% | 4.09% | 5.03% | |||
FIVE YEARS | 0.76% | 0.37% | 3.27% | 0.15% | 0.07% | 0.65% | |||
SINCE INCEPTION(1) | 25.57% | 25.79% | 31.33% | 2.39% | 2.41% | 2.87% | |||
(1) | For the period May 19, 2010 to December 31, 2019. Since shares of the Fund did not trade in the secondary market until one day after the Fund’s inception, for the period from inception to the first day of secondary market trading in shares of the Fund (5/19/10, 5/20/10, respectively), the NAV of the Fund is used as a proxy for the secondary market trading price to calculate market returns. |
|
|||
Description | % of Net Assets | ||
Anheuser-Busch
InBev NV
2.75% 3/17/2036 |
0.6% | ||
Deutsche
Bank AG
1.13% 3/17/2025 |
0.5 | ||
Volkswagen
International Finance NV
1.88% 3/30/2027 |
0.5 | ||
Panasonic
Corp.
0.47% 9/18/2026 |
0.5 | ||
Sanofi
0.50% 1/13/2027 |
0.5 | ||
TOTAL | 2.6% |
|
|||
% of Net Assets | |||
Corporate Bonds & Notes | 98.5% | ||
Short-Term Investment | 0.0 * | ||
Other Assets in Excess of Liabilities | 1.5 | ||
TOTAL | 100.0% |
* | Amount shown represents less than 0.05% of net assets. |
|
|||
% of Total Investments | |||
Financial | 47.1% | ||
Consumer, Non-cyclical | 14.2 | ||
Communications | 11.9 | ||
Consumer, Cyclical | 8.4 | ||
Utilities | 4.9 | ||
Energy | 4.6 | ||
Technology | 4.2 | ||
Industrial | 3.3 | ||
Basic Materials | 1.1 | ||
Diversified | 0.3 | ||
Short-Term Investment | 0.0* | ||
TOTAL | 100.0% | ||
* | Amount shown represents less than 0.05% of net assets. |
Cumulative Total Return | Average Annual Total Return | ||||||||
Net
Asset Value |
Market
Value |
Bloomberg Barclays Global Treasury ex-US Capped Index |
Net
Asset Value |
Market
Value |
Bloomberg Barclays Global Treasury ex-US Capped Index | ||||
SIX MONTHS | 0.20% | 0.27% | 0.44% | N/A | N/A | N/A | |||
ONE YEAR | 5.64% | 5.47% | 6.04% | 5.64% | 5.47% | 6.04% | |||
FIVE YEARS | 6.86% | 6.81% | 9.68% | 1.34% | 1.33% | 1.86% | |||
TEN YEARS | 14.67% | 14.95% | 20.53% | 1.38% | 1.40% | 1.88% | |||
|
|||
Description | % of Net Assets | ||
China
Government Bond
3.29% 10/18/2023 |
1.0% | ||
Indonesia
Treasury Bond
6.13% 5/15/2028 |
0.5 | ||
Korea
Treasury Bond
5.50% 3/10/2028 |
0.5 | ||
Denmark
Government Bond
4.50% 11/15/2039 |
0.4 | ||
China
Government Bond
4.08% 10/22/2048 |
0.4 | ||
TOTAL | 2.8% |
|
|||
% of Net Assets | |||
Foreign Government Obligations | 98.4% | ||
Short-Term Investments | 0.1 | ||
Other Assets in Excess of Liabilities | 1.5 | ||
TOTAL | 100.0% |
|
|||
Description | % of Total Investments | ||
Japan | 22.6% | ||
France | 5.5 | ||
United Kingdom | 5.4 | ||
Italy | 5.1 | ||
Spain | 4.6 | ||
South Korea | 4.6 | ||
Belgium | 4.6 | ||
Germany | 4.6 | ||
Australia | 4.5 | ||
Canada | 4.4 | ||
TOTAL | 65.9% |
Cumulative Total Return | Average Annual Total Return | ||||||||
Net
Asset Value |
Market
Value |
Bloomberg Barclays 1-3 Year Global Treasury ex-US Capped Index |
Net
Asset Value |
Market
Value |
Bloomberg Barclays 1-3 Year Global Treasury ex-US Capped Index | ||||
SIX MONTHS | – 0.36% | – 0.32% | – 0.15% | N/A | N/A | N/A | |||
ONE YEAR | 0.89% | 1.03% | 1.31% | 0.89% | 1.03% | 1.31% | |||
FIVE YEARS | – 1.96% | – 1.82% | 0.17% | – 0.40% | – 0.37% | 0.03% | |||
TEN YEARS | – 9.50% | – 9.98% | – 5.66% | – 0.99% | – 1.05% | – 0.58% | |||
|
|||
Description | % of Net Assets | ||
Korea
Treasury Bond
2.00% 3/10/2021 |
3.8% | ||
Government
of Japan 5 Year Bond
0.10% 6/20/2021 |
2.5 | ||
Government
of Japan 5 Year Bond
0.10% 3/20/2022 |
2.4 | ||
China
Government Bond
3.17% 10/11/2021 |
2.1 | ||
Government
of Japan 5 Year Bond
0.10% 9/20/2021 |
2.0 | ||
TOTAL | 12.8% |
|
|||
% of Net Assets | |||
Foreign Government Obligations | 95.1% | ||
Short-Term Investment | 0.0 * | ||
Other Assets in Excess of Liabilities | 4.9 | ||
TOTAL | 100.0% |
* | Amount shown represents less than 0.05% of net assets. |
|
|||
Description | % of Total Investments | ||
Japan | 20.7% | ||
Italy | 8.4 | ||
France | 7.0 | ||
Germany | 5.5 | ||
South Korea | 4.8 | ||
Canada | 4.8 | ||
United Kingdom | 4.8 | ||
Spain | 4.8 | ||
Australia | 4.0 | ||
Belgium | 3.6 | ||
TOTAL | 68.4% |
Cumulative Total Return | Average Annual Total Return | ||||||||
Net
Asset Value |
Market
Value |
FTSE International Inflation-Linked Securities Select Index |
Net
Asset Value |
Market
Value |
FTSE International Inflation-Linked Securities Select Index | ||||
SIX MONTHS | 1.58% | 0.87% | 1.65% | N/A | N/A | N/A | |||
ONE YEAR | 8.75% | 8.59% | 9.18% | 8.75% | 8.59% | 9.18% | |||
FIVE YEARS(1) (2) | 7.58% | 7.69% | 10.36% | 1.47% | 1.49% | 1.99% | |||
TEN YEARS(1) (2) | 27.35% | 26.58% | 34.16% | 2.45% | 2.38% | 2.98% | |||
(1) | Effective February 15, 2016, the Fund changed its benchmark index from the DB Global Government ex-US Inflation-Linked Securities Select Index. The Fund's performance in the tables is based on the Fund's prior investment strategy to track a different benchmark index for periods prior to February 15, 2016. |
(2) | The FTSE International Inflation-Linked Securities Select Index (formerly, Citi International Inflation-Linked Securities Select Index) inception date is January 15, 2016. Index returns in the line graph below represent the Fund’s prior benchmark index from December 31, 2009 through February 14, 2016 and the FTSE International Inflation-Linked Securities Select Index (formerly, Citi International Inflation-Linked Securities Select Index from February 15, 2016 through December 31, 2019. |
|
|||
Description | % of Net Assets | ||
Brazil
Notas do Tesouro Nacional Serie B
6.00% 8/15/2050 |
1.6% | ||
Deutsche
Bundesrepublik Inflation Linked Bond
0.10% 4/15/2023 |
1.3 | ||
Bonos
de la Tesoreria de la Republica
3.00% 1/1/2044 |
1.3 | ||
Brazil
Notas do Tesouro Nacional Serie B
6.00% 8/15/2022 |
1.3 | ||
Spain
Government Inflation Linked Bond
1.80% 11/30/2024 |
1.2 | ||
TOTAL | 6.7% |
|
|||
% of Net Assets | |||
Foreign Government Obligations | 99.4% | ||
Short-Term Investment | 0.0 * | ||
Other Assets in Excess of Liabilities | 0.6 | ||
TOTAL | 100.0% |
* | Amount shown represents less than 0.05% of net assets. |
|
|||
Description | % of Total Investments | ||
United Kingdom | 21.9% | ||
Brazil | 8.7 | ||
France | 8.3 | ||
Italy | 5.9 | ||
Chile | 5.0 | ||
South Africa | 4.8 | ||
Mexico | 4.6 | ||
Spain | 4.6 | ||
Canada | 4.6 | ||
Japan | 4.5 | ||
TOTAL | 72.9% |
Security Description |
Principal
Amount |
Value | ||||
FOREIGN GOVERNMENT OBLIGATIONS — 97.3% | ||||||
BRAZIL — 8.4% | ||||||
Brazil Letras do Tesouro Nacional: | ||||||
Series LTN, Zero Coupon,
4/1/2021
|
BRL | 10,600,000 | $ 2,488,374 | |||
Series LTN, Zero Coupon,
7/1/2021
|
BRL | 35,450,000 | 8,204,873 | |||
Series LTN, Zero Coupon,
10/1/2021
|
BRL | 18,200,000 | 4,141,719 | |||
Series LTN, Zero Coupon,
1/1/2022
|
BRL | 44,835,000 | 10,056,059 | |||
Series LTN, Zero Coupon,
7/1/2022
|
BRL | 39,000,000 | 8,466,496 | |||
Series LTN, Zero Coupon,
7/1/2023
|
BRL | 32,100,000 | 6,503,768 | |||
Brazil Notas do Tesouro Nacional Serie F: | ||||||
Series NTNF, 10.00%,
1/1/2021
|
BRL | 19,810,000 | 5,176,354 | |||
Series NTNF, 10.00%,
1/1/2023
|
BRL | 49,910,000 | 13,794,699 | |||
Series NTNF, 10.00%,
1/1/2025
|
BRL | 42,850,000 | 12,244,788 | |||
Series NTNF, 10.00%,
1/1/2027
|
BRL | 29,075,000 | 8,522,814 | |||
Series NTNF, 10.00%,
1/1/2029
|
BRL | 15,890,000 | 4,774,846 | |||
Brazilian Government International Bond: | ||||||
8.50%,
1/5/2024
|
BRL | 350,000 | 93,097 | |||
10.25%,
1/10/2028
|
BRL | 1,000,000 | 292,353 | |||
12.50%,
1/5/2022
|
BRL | 350,000 | 97,224 | |||
84,857,464 | ||||||
CHILE — 2.8% | ||||||
Bonos de la Tesoreria de la Republica en pesos: | ||||||
4.00%, 3/1/2023
(a)
|
CLP | 2,000,000,000 | 2,802,202 | |||
4.50%,
3/1/2021
|
CLP | 1,670,000,000 | 2,288,157 | |||
4.50%,
3/1/2026
|
CLP | 3,265,000,000 | 4,784,711 | |||
4.70%, 9/1/2030
(a)
|
CLP | 2,820,000,000 | 4,266,894 | |||
5.00%,
3/1/2035
|
CLP | 3,580,000,000 | 5,576,721 | |||
5.10%,
7/15/2050
|
CLP | 950,000,000 | 1,526,186 | |||
Series 10YR, 6.00%,
1/1/2022
|
CLP | 65,000,000 | 93,142 | |||
Series 30YR, 6.00%,
1/1/2043
|
CLP | 3,050,000,000 | 5,523,853 | |||
Bonos del Banco Central de Chile en Pesos: | ||||||
Series 10YR, 6.00%,
2/1/2021
|
CLP | 305,000,000 | 423,296 | |||
Series 10YR, 6.00%,
3/1/2022
|
CLP | 310,000,000 | 446,827 |
Security Description |
Principal
Amount |
Value | |||
Chile Government International Bond 5.50%,
8/5/2020
|
CLP | 610,000,000 | $ 827,090 | ||
28,559,079 | |||||
CHINA — 6.1% | |||||
China Development Bank: | |||||
Series 1903, 3.30%,
2/1/2024
|
CNY | 21,000,000 | 3,020,949 | ||
Series 1908, 3.42%,
7/2/2024
|
CNY | 17,000,000 | 2,454,783 | ||
Series 1915, 3.45%,
9/20/2029
|
CNY | 10,000,000 | 1,418,412 | ||
Series 1904, 3.68%,
2/26/2026
|
CNY | 18,000,000 | 2,609,899 | ||
Series 1516, 3.94%,
7/10/2022
|
CNY | 3,000,000 | 441,484 | ||
Series 1213, 4.21%,
3/22/2022
|
CNY | 10,000,000 | 1,475,056 | ||
Series 1708, 4.30%,
8/21/2024
|
CNY | 10,000,000 | 1,495,520 | ||
Series 1805, 4.88%,
2/9/2028
|
CNY | 3,000,000 | 466,459 | ||
Series 1421, 5.10%,
8/7/2021
|
CNY | 10,000,000 | 1,487,184 | ||
China Government Bond: | |||||
Series 1902, 2.44%,
2/21/2021
|
CNY | 10,000,000 | 1,433,760 | ||
Series 1903, 2.69%,
3/7/2022
|
CNY | 25,000,000 | 3,587,231 | ||
Series 1909, 2.74%,
7/11/2021
|
CNY | 17,000,000 | 2,446,136 | ||
Series 1913, 2.94%,
10/17/2024
|
CNY | 10,000,000 | 1,439,941 | ||
Series 1822, 3.00%,
10/18/2020
|
CNY | 4,100,000 | 591,454 | ||
Series 1904, 3.19%,
4/11/2024
|
CNY | 27,000,000 | 3,932,186 | ||
Series 1828, 3.22%,
12/6/2025
|
CNY | 7,790,000 | 1,131,477 | ||
Series 1814, 3.24%,
7/5/2021
|
CNY | 30,000,000 | 4,350,926 | ||
Series 1907, 3.25%,
6/6/2026
|
CNY | 24,800,000 | 3,598,790 | ||
Series 1827, 3.25%,
11/22/2028
|
CNY | 25,000,000 | 3,622,131 | ||
Series 1823, 3.29%,
10/18/2023
|
CNY | 20,000,000 | 2,923,037 | ||
Series 1906, 3.29%,
5/23/2029
|
CNY | 12,600,000 | 1,828,544 | ||
Series 1710, 3.52%,
5/4/2027
|
CNY | 5,000,000 | 736,621 | ||
Series 1608, 3.52%,
4/25/2046
|
CNY | 6,000,000 | 826,607 | ||
Series 1521, 3.74%,
9/22/2035
|
CNY | 16,000,000 | 2,377,922 | ||
3.74%,
10/20/2045
|
CNY | 3,000,000 | 437,697 |
Security Description |
Principal
Amount |
Value | |||
Series 1910, 3.86%,
7/22/2049
|
CNY | 23,500,000 | $ 3,463,987 | ||
Series 1817, 3.97%,
7/23/2048
|
CNY | 10,000,000 | 1,485,312 | ||
Series 1715, 4.05%,
7/24/2047
|
CNY | 5,000,000 | 755,731 | ||
Series 1824, 4.08%,
10/22/2048
|
CNY | 22,300,000 | 3,400,565 | ||
Series 1508, 4.09%,
4/27/2035
|
CNY | 1,000,000 | 155,033 | ||
Series 1806, 4.22%,
3/19/2048
|
CNY | 6,000,000 | 935,226 | ||
Series 1722, 4.28%,
10/23/2047
|
CNY | 3,250,000 | 512,751 | ||
Series 1116, 4.50%,
6/23/2041
|
CNY | 4,000,000 | 657,596 | ||
61,500,407 | |||||
COLOMBIA — 4.0% | |||||
Colombia Government International Bond: | |||||
4.38%,
3/21/2023
|
COP | 1,610,000,000 | 479,742 | ||
7.75%,
4/14/2021
|
COP | 400,000,000 | 125,653 | ||
9.85%,
6/28/2027
|
COP | 115,000,000 | 43,953 | ||
Colombian TES: | |||||
Series B, 6.00%,
4/28/2028
|
COP | 32,215,000,000 | 9,770,735 | ||
Series B, 6.25%,
11/26/2025
|
COP | 20,695,000,000 | 6,489,453 | ||
Series B, 7.00%,
5/4/2022
|
COP | 25,554,000,000 | 8,127,907 | ||
Series B, 7.00%,
6/30/2032
|
COP | 10,614,000,000 | 3,375,924 | ||
Series B, 7.25%,
10/18/2034
|
COP | 7,825,000,000 | 2,528,188 | ||
Series B, 7.50%,
8/26/2026
|
COP | 25,162,000,000 | 8,370,955 | ||
Series B, 7.75%,
9/18/2030
|
COP | 3,400,000,000 | 1,145,451 | ||
Series B, 11.00%,
7/24/2020
|
COP | 235,000,000 | 74,329 | ||
40,532,290 | |||||
CZECH REPUBLIC — 3.6% | |||||
Czech Republic Government Bond: | |||||
Series 100, 0.25%,
2/10/2027
|
CZK | 57,900,000 | 2,306,369 | ||
Series 97, 0.45%,
10/25/2023
|
CZK | 105,340,000 | 4,435,158 | ||
Series 104, 0.75%,
2/23/2021
|
CZK | 18,100,000 | 788,362 | ||
Series 94, 0.95%,
5/15/2030
|
CZK | 103,770,000 | 4,271,242 | ||
Series 95, 1.00%,
6/26/2026
|
CZK | 81,470,000 | 3,457,960 |
Security Description |
Principal
Amount |
Value | |||
Series 15Y, 2.00%,
10/13/2033
|
CZK | 73,850,000 | $ 3,327,727 | ||
Series 89, 2.40%,
9/17/2025
|
CZK | 78,520,000 | 3,621,057 | ||
Series 78, 2.50%,
8/25/2028
|
CZK | 68,240,000 | 3,230,471 | ||
Series 105, 2.75%,
7/23/2029
|
CZK | 53,450,000 | 2,585,170 | ||
Series 61, 3.85%,
9/29/2021
|
CZK | 61,070,000 | 2,791,869 | ||
Series 49, 4.20%,
12/4/2036
|
CZK | 33,130,000 | 1,970,777 | ||
Series 52, 4.70%,
9/12/2022
|
CZK | 22,800,000 | 1,088,412 | ||
Series 53, 4.85%,
11/26/2057
|
CZK | 12,300,000 | 874,849 | ||
Series 58, 5.70%,
5/25/2024
|
CZK | 44,000,000 | 2,292,647 | ||
37,042,070 | |||||
HUNGARY — 3.2% | |||||
Hungary Government Bond: | |||||
Series 21/C, 0.50%,
4/21/2021
|
HUF | 382,900,000 | 1,306,736 | ||
Series 20/C, 1.00%,
9/23/2020
|
HUF | 196,250,000 | 670,596 | ||
Series 22/C, 1.50%,
8/24/2022
|
HUF | 40,000,000 | 139,867 | ||
Series 22/B, 1.75%,
10/26/2022
|
HUF | 908,500,000 | 3,200,777 | ||
Series 21/B, 2.50%,
10/27/2021
|
HUF | 978,500,000 | 3,469,364 | ||
Series 24/C, 2.50%,
10/24/2024
|
HUF | 760,000,000 | 2,765,934 | ||
Series 26/D, 2.75%,
12/22/2026
|
HUF | 520,000,000 | 1,918,645 | ||
Series 24/B, 3.00%,
6/26/2024
|
HUF | 748,980,000 | 2,788,028 | ||
Series 27/A, 3.00%,
10/27/2027
|
HUF | 1,073,880,000 | 4,006,690 | ||
Series 30/A, 3.00%,
8/21/2030
|
HUF | 340,000,000 | 1,259,844 | ||
Series 31/A, 3.25%,
10/22/2031
|
HUF | 135,000,000 | 505,024 | ||
Series 20/B, 3.50%,
6/24/2020
|
HUF | 39,380,000 | 135,777 | ||
Series 25/B, 5.50%,
6/24/2025
|
HUF | 1,374,220,000 | 5,751,199 | ||
Series 23/A, 6.00%,
11/24/2023
|
HUF | 17,340,000 | 71,286 | ||
Series 28/A, 6.75%,
10/22/2028
|
HUF | 467,000,000 | 2,220,880 | ||
Series 22/A, 7.00%,
6/24/2022
|
HUF | 595,590,000 | 2,367,448 |
Security Description |
Principal
Amount |
Value | |||
Series 20/A, 7.50%,
11/12/2020
|
HUF | 12,450,000 | $ 44,946 | ||
32,623,041 | |||||
INDONESIA — 6.8% | |||||
Indonesia Treasury Bond: | |||||
Series FR63, 5.63%,
5/15/2023
|
IDR | 26,555,000,000 | 1,878,640 | ||
Series FR64, 6.13%,
5/15/2028
|
IDR | 41,000,000,000 | 2,782,071 | ||
Series FR62, 6.38%,
4/15/2042
|
IDR | 1,700,000,000 | 103,621 | ||
Series FR81, 6.50%,
6/15/2025
|
IDR | 50,700,000,000 | 3,668,149 | ||
Series FR65, 6.63%,
5/15/2033
|
IDR | 74,870,000,000 | 4,973,658 | ||
Series FR61, 7.00%,
5/15/2022
|
IDR | 78,033,000,000 | 5,722,139 | ||
Series FR59, 7.00%,
5/15/2027
|
IDR | 64,710,000,000 | 4,642,982 | ||
Series FR82, 7.00%,
9/15/2030
|
IDR | 25,000,000,000 | 1,781,041 | ||
Series FR76, 7.38%,
5/15/2048
|
IDR | 7,700,000,000 | 536,629 | ||
Series FR74, 7.50%,
8/15/2032
|
IDR | 26,300,000,000 | 1,885,466 | ||
Series FR80, 7.50%,
6/15/2035
|
IDR | 17,000,000,000 | 1,225,048 | ||
Series FR75, 7.50%,
5/15/2038
|
IDR | 41,910,000,000 | 2,981,208 | ||
Series FR77, 8.13%,
5/15/2024
|
IDR | 93,000,000,000 | 7,141,221 | ||
Series FR53, 8.25%,
7/15/2021
|
IDR | 32,975,000,000 | 2,462,759 | ||
Series FR78, 8.25%,
5/15/2029
|
IDR | 97,500,000,000 | 7,571,043 | ||
Series FR58, 8.25%,
6/15/2032
|
IDR | 3,710,000,000 | 282,425 | ||
Series FR72, 8.25%,
5/15/2036
|
IDR | 33,090,000,000 | 2,490,838 | ||
Series FR70, 8.38%,
3/15/2024
|
IDR | 41,100,000,000 | 3,171,779 | ||
Series FR68, 8.38%,
3/15/2034
|
IDR | 44,400,000,000 | 3,422,150 | ||
Series FR79, 8.38%,
4/15/2039
|
IDR | 39,150,000,000 | 3,017,504 | ||
Series FR73, 8.75%,
5/15/2031
|
IDR | 9,050,000,000 | 719,583 | ||
Series FR67, 8.75%,
2/15/2044
|
IDR | 7,050,000,000 | 558,801 | ||
Series FR71, 9.00%,
3/15/2029
|
IDR | 6,000,000,000 | 482,014 | ||
Series FR57, 9.50%,
5/15/2041
|
IDR | 1,000,000,000 | 84,067 | ||
Series FR45, 9.75%,
5/15/2037
|
IDR | 1,250,000,000 | 106,156 | ||
Series FR34, 12.80%,
6/15/2021
|
IDR | 350,000,000 | 27,655 |
Security Description |
Principal
Amount |
Value | |||
Perusahaan Penerbit SBSN Indonesia: | |||||
Series PBS, 6.50%,
5/15/2021
|
IDR | 20,000,000,000 | $ 1,453,215 | ||
Series PBS, 8.25%,
9/15/2020
|
IDR | 7,150,000,000 | 525,913 | ||
Series PBS, 8.75%,
8/15/2023
|
IDR | 3,800,000,000 | 291,996 | ||
Series PBS, 8.88%,
11/15/2031
|
IDR | 34,200,000,000 | 2,706,747 | ||
68,696,518 | |||||
ISRAEL — 4.6% | |||||
Israel Government Bond: | |||||
Series 0121, 0.50%,
1/31/2021
|
ILS | 3,300,000 | 958,386 | ||
Series 0722, 0.75%,
7/31/2022
|
ILS | 1,200,000 | 351,419 | ||
Series 0421, 1.00%,
4/30/2021
|
ILS | 10,550,000 | 3,086,685 | ||
Series 1122, 1.25%,
11/30/2022
|
ILS | 7,760,000 | 2,308,049 | ||
Series 1123, 1.50%,
11/30/2023
|
ILS | 10,035,000 | 3,031,110 | ||
Series 0825, 1.75%,
8/31/2025
|
ILS | 13,580,000 | 4,190,593 | ||
Series 0327, 2.00%,
3/31/2027
|
ILS | 11,550,000 | 3,643,489 | ||
Series 0928, 2.25%,
9/28/2028
|
ILS | 11,395,000 | 3,683,104 | ||
Series 0324, 3.75%,
3/31/2024
|
ILS | 10,600,000 | 3,501,449 | ||
Series 0347, 3.75%,
3/31/2047
|
ILS | 9,575,000 | 3,876,278 | ||
Series 0323, 4.25%,
3/31/2023
|
ILS | 6,650,000 | 2,168,110 | ||
Series 0122, 5.50%,
1/31/2022
|
ILS | 17,595,000 | 5,654,549 | ||
Series 0142, 5.50%,
1/31/2042
|
ILS | 11,810,000 | 5,859,253 | ||
Series 1026, 6.25%,
10/30/2026
|
ILS | 12,425,000 | 4,933,608 | ||
47,246,082 | |||||
MALAYSIA — 4.6% | |||||
Malaysia Government Bond: | |||||
Series 0517, 3.44%,
2/15/2021
|
MYR | 1,800,000 | 442,450 | ||
Series 0313, 3.48%,
3/15/2023
|
MYR | 1,860,000 | 459,810 | ||
Series 0307, 3.50%,
5/31/2027
|
MYR | 600,000 | 148,067 | ||
Series 0315, 3.66%,
10/15/2020
|
MYR | 200,000 | 49,182 | ||
Series 0218, 3.76%,
4/20/2023
|
MYR | 15,000,000 | 3,742,935 |
Security Description |
Principal
Amount |
Value | |||
Series 0215, 3.80%,
9/30/2022
|
MYR | 4,795,000 | $ 1,194,156 | ||
Series 0116, 3.80%,
8/17/2023
|
MYR | 4,131,000 | 1,033,173 | ||
Series 0419, 3.83%,
7/5/2034
|
MYR | 2,000,000 | 499,782 | ||
Series 0413, 3.84%,
4/15/2033
|
MYR | 9,860,000 | 2,457,673 | ||
Series 0117, 3.88%,
3/10/2022
|
MYR | 3,600,000 | 896,370 | ||
Series 0118, 3.88%,
3/14/2025
|
MYR | 2,800,000 | 705,402 | ||
Series 0212, 3.89%,
3/15/2027
|
MYR | 600,000 | 151,709 | ||
Series 0219, 3.89%,
8/15/2029
|
MYR | 5,295,000 | 1,353,684 | ||
Series 0316, 3.90%,
11/30/2026
|
MYR | 2,085,000 | 527,034 | ||
Series 0119, 3.91%,
7/15/2026
|
MYR | 1,500,000 | 379,450 | ||
Series 0115, 3.96%,
9/15/2025
|
MYR | 6,672,000 | 1,689,117 | ||
Series 0314, 4.05%,
9/30/2021
|
MYR | 2,420,000 | 601,857 | ||
Series 0217, 4.06%,
9/30/2024
|
MYR | 5,645,000 | 1,431,169 | ||
Series 0412, 4.13%,
4/15/2032
|
MYR | 800,000 | 205,567 | ||
Series 0111, 4.16%,
7/15/2021
|
MYR | 4,900,000 | 1,218,624 | ||
Series 0114, 4.18%,
7/15/2024
|
MYR | 3,797,000 | 967,174 | ||
Series 0411, 4.23%,
6/30/2031
|
MYR | 3,610,000 | 936,353 | ||
Series 0415, 4.25%,
5/31/2035
|
MYR | 1,650,000 | 428,061 | ||
Series 0318, 4.64%,
11/7/2033
|
MYR | 4,180,000 | 1,127,329 | ||
Series 0216, 4.74%,
3/15/2046
|
MYR | 4,425,000 | 1,189,486 | ||
Series 0317, 4.76%,
4/7/2037
|
MYR | 3,135,000 | 859,440 | ||
Series 3/05, 4.84%,
7/15/2025
|
MYR | 170,000 | 44,854 | ||
Series 0518, 4.92%,
7/6/2048
|
MYR | 3,000,000 | 832,079 | ||
Series 0713, 4.94%,
9/30/2043
|
MYR | 300,000 | 83,498 | ||
Malaysia Government Investment Issue: | |||||
Series 0613, 3.72%,
3/23/2021
|
MYR | 1,500,000 | 369,633 | ||
Series 0418, 3.73%,
3/31/2022
|
MYR | 1,630,000 | 404,207 | ||
Series 0319, 3.73%,
3/31/2026
|
MYR | 3,300,000 | 823,214 |
Security Description |
Principal
Amount |
Value | |||
Series 0216, 3.74%,
8/26/2021
|
MYR | 1,500,000 | $ 370,634 | ||
Series 0317, 3.95%,
4/14/2022
|
MYR | 1,400,000 | 348,511 | ||
Series 0217, 4.05%,
8/15/2024
|
MYR | 3,400,000 | 860,016 | ||
Series 0316, 4.07%,
9/30/2026
|
MYR | 4,425,000 | 1,125,894 | ||
Series 0318, 4.09%,
11/30/2023
|
MYR | 2,350,000 | 593,635 | ||
Series 0118, 4.13%,
8/15/2025
|
MYR | 7,150,000 | 1,818,851 | ||
Series 0119, 4.13%,
7/9/2029
|
MYR | 13,000,000 | 3,344,209 | ||
Series 0115, 4.19%,
7/15/2022
|
MYR | 4,020,000 | 1,008,026 | ||
Series 0117, 4.26%,
7/26/2027
|
MYR | 5,920,000 | 1,527,200 | ||
Series 0218, 4.37%,
10/31/2028
|
MYR | 7,700,000 | 2,011,496 | ||
Series 0116, 4.39%,
7/7/2023
|
MYR | 2,390,000 | 608,181 | ||
Series 0813, 4.44%,
5/22/2024
|
MYR | 2,300,000 | 590,348 | ||
Series 0219, 4.47%,
9/15/2039
|
MYR | 6,000,000 | 1,588,791 | ||
Series 0513, 4.58%,
8/30/2033
|
MYR | 7,400,000 | 1,977,187 | ||
Series 0517, 4.76%,
8/4/2037
|
MYR | 5,300,000 | 1,442,936 | ||
Series 0615, 4.79%,
10/31/2035
|
MYR | 810,000 | 220,168 | ||
Series 0417, 4.90%,
5/8/2047
|
MYR | 1,500,000 | 411,742 | ||
47,100,364 | |||||
MEXICO — 6.5% | |||||
Mexican Bonos: | |||||
Series M, 5.75%,
3/5/2026
|
MXN | 73,640,000 | 3,694,479 | ||
Series M, 6.50%,
6/10/2021
|
MXN | 80,269,000 | 4,234,143 | ||
Series M, 6.50%,
6/9/2022
|
MXN | 101,748,000 | 5,356,695 | ||
Series M, 7.25%,
12/9/2021
|
MXN | 110,200,000 | 5,883,772 | ||
Series M 20, 7.50%,
6/3/2027
|
MXN | 125,590,000 | 6,906,851 | ||
Series M, 7.75%,
5/29/2031
|
MXN | 84,028,000 | 4,746,710 | ||
Series M, 7.75%,
11/23/2034
|
MXN | 12,710,000 | 720,648 | ||
Series M, 7.75%,
11/13/2042
|
MXN | 89,980,000 | 5,053,108 | ||
Series M, 8.00%,
12/7/2023
|
MXN | 77,230,000 | 4,259,796 | ||
Series M, 8.00%,
9/5/2024
|
MXN | 67,200,000 | 3,733,543 |
Security Description |
Principal
Amount |
Value | |||
Series M, 8.00%,
11/7/2047
|
MXN | 51,000,000 | $ 2,957,508 | ||
Series M 20, 8.50%,
5/31/2029
|
MXN | 86,415,000 | 5,093,332 | ||
Series M 30, 8.50%,
11/18/2038
|
MXN | 62,240,000 | 3,758,098 | ||
Series M 20, 10.00%,
12/5/2024
|
MXN | 134,860,000 | 8,105,526 | ||
Series M 30, 10.00%,
11/20/2036
|
MXN | 24,137,000 | 1,650,504 | ||
66,154,713 | |||||
PERU — 3.2% | |||||
Peru Government Bond: | |||||
5.40%, 8/12/2034
(a)
|
PEN | 5,950,000 | 1,885,937 | ||
5.94%, 2/12/2029
(a)
|
PEN | 1,625,000 | 553,640 | ||
6.15%, 8/12/2032
(a)
|
PEN | 12,657,000 | 4,329,555 | ||
6.90%,
8/12/2037
|
PEN | 11,075,000 | 4,029,973 | ||
6.95%,
8/12/2031
|
PEN | 6,370,000 | 2,317,191 | ||
8.20%,
8/12/2026
|
PEN | 1,300,000 | 499,562 | ||
Peruvian Government International Bond: | |||||
Series REGS, 5.40%,
8/12/2034
|
PEN | 1,604,000 | 508,411 | ||
Series REGS, 5.70%,
8/12/2024
|
PEN | 3,794,000 | 1,279,603 | ||
Series REGS, 6.35%,
8/12/2028
|
PEN | 14,910,000 | 5,220,838 | ||
Series REGS, 6.71%,
2/12/2055
|
PEN | 475,000 | 173,768 | ||
Series REGS, 6.85%,
2/12/2042
|
PEN | 7,225,000 | 2,616,069 | ||
Series REGS, 6.90%,
8/12/2037
|
PEN | 4,460,000 | 1,622,905 | ||
Series REGS, 6.95%,
8/12/2031
|
PEN | 4,412,000 | 1,604,937 | ||
Series REGS, 8.20%,
8/12/2026
|
PEN | 15,935,000 | 6,123,481 | ||
32,765,870 | |||||
PHILIPPINES — 4.2% | |||||
Philippine Government Bond: | |||||
Series 5-73, 3.38%,
8/20/2020
|
PHP | 20,650,000 | 406,962 | ||
Series 7-57, 3.50%,
3/20/2021
|
PHP | 77,450,000 | 1,524,713 | ||
Series 7-58, 3.50%,
4/21/2023
|
PHP | 3,500,000 | 68,364 | ||
Series R105, 3.50%,
9/20/2026
|
PHP | 22,000,000 | 412,267 | ||
Series 2020, 3.63%,
3/21/2033
|
PHP | 18,150,000 | 314,300 | ||
Series 5-74, 4.00%,
1/26/2022
|
PHP | 173,800,000 | 3,443,467 | ||
Series 1059, 4.13%,
8/20/2024
|
PHP | 13,700,000 | 271,551 |
Security Description |
Principal
Amount |
Value | |||
Series 3-23, 4.25%,
1/25/2021
|
PHP | 71,050,000 | $ 1,408,977 | ||
Series 7-59, 4.50%,
4/20/2024
|
PHP | 68,200,000 | 1,375,595 | ||
Series R511, 4.63%,
12/4/2022
|
PHP | 189,850,000 | 3,830,379 | ||
Series 2511, 4.63%,
9/9/2040
|
PHP | 68,100,000 | 1,213,349 | ||
Series 1061, 4.75%,
5/4/2027
|
PHP | 173,450,000 | 3,504,389 | ||
Series 2021, 5.25%,
5/18/2037
|
PHP | 48,800,000 | 984,300 | ||
Series 5-75, 5.50%,
3/8/2023
|
PHP | 32,000,000 | 662,158 | ||
Series 7-61, 5.75%,
4/12/2025
|
PHP | 114,500,000 | 2,444,997 | ||
Series 1052, 5.88%,
12/16/2020
|
PHP | 7,950,000 | 160,158 | ||
Series R251, 6.13%,
10/24/2037
|
PHP | 72,000,000 | 1,591,092 | ||
Series 7-62, 6.25%,
2/14/2026
|
PHP | 85,000,000 | 1,863,126 | ||
Series 1063, 6.25%,
3/22/2028
|
PHP | 130,700,000 | 2,897,736 | ||
Series 1054, 6.38%,
1/19/2022
|
PHP | 4,700,000 | 97,536 | ||
Series 2023, 6.75%,
1/24/2039
|
PHP | 140,000,000 | 3,293,537 | ||
Series 1064, 6.88%,
1/10/2029
|
PHP | 63,000,000 | 1,470,329 | ||
Series 2017, 8.00%,
7/19/2031
|
PHP | 327,737,338 | 8,433,935 | ||
Series 25-8, 8.13%,
12/16/2035
|
PHP | 13,300,000 | 353,329 | ||
Philippine Government International Bond: | |||||
3.90%,
11/26/2022
|
PHP | 31,000,000 | 611,320 | ||
6.25%,
1/14/2036
|
PHP | 20,000,000 | 477,225 | ||
43,115,091 | |||||
POLAND — 4.6% | |||||
Poland Government Bond: | |||||
Series 0720, Zero Coupon,
7/25/2020
|
PLN | 2,500,000 | 656,412 | ||
Series 0521, Zero Coupon,
5/25/2021
|
PLN | 2,500,000 | 647,263 | ||
Series 0721, 1.75%,
7/25/2021
|
PLN | 14,800,000 | 3,924,368 | ||
Series 0421, 2.00%,
4/25/2021
|
PLN | 8,800,000 | 2,340,982 | ||
Series 0422, 2.25%,
4/25/2022
|
PLN | 18,935,000 | 5,074,380 | ||
Series 0123, 2.50%,
1/25/2023
|
PLN | 6,140,000 | 1,660,575 | ||
Series 0424, 2.50%,
4/25/2024
|
PLN | 26,650,000 | 7,244,411 | ||
Series 0726, 2.50%,
7/25/2026
|
PLN | 10,000,000 | 2,719,745 |
Security Description |
Principal
Amount |
Value | |||
Series 0727, 2.50%,
7/25/2027
|
PLN | 20,000,000 | $ 5,429,534 | ||
Series 0428, 2.75%,
4/25/2028
|
PLN | 18,500,000 | 5,114,498 | ||
Series 1029, 2.75%,
10/25/2029
|
PLN | 9,800,000 | 2,726,318 | ||
Series 0725, 3.25%,
7/25/2025
|
PLN | 10,400,000 | 2,934,771 | ||
Series 1023, 4.00%,
10/25/2023
|
PLN | 9,000,000 | 2,573,126 | ||
Series 1021, 5.75%,
10/25/2021
|
PLN | 11,250,000 | 3,195,109 | ||
46,241,492 | |||||
ROMANIA — 2.9% | |||||
Romania Government Bond: | |||||
Series 3Y, 2.30%,
10/26/2020
|
RON | 3,335,000 | 774,015 | ||
Series 5Y, 3.25%,
3/22/2021
|
RON | 3,905,000 | 912,377 | ||
Series 7Y, 3.25%,
4/29/2024
|
RON | 3,830,000 | 876,188 | ||
Series 5Y, 3.40%,
3/8/2022
|
RON | 15,710,000 | 3,659,520 | ||
Series 7Y, 3.50%,
12/19/2022
|
RON | 3,705,000 | 861,625 | ||
Series 15Y, 3.65%,
9/24/2031
|
RON | 4,750,000 | 996,844 | ||
Series 3Y, 4.00%,
10/27/2021
|
RON | 6,985,000 | 1,647,758 | ||
Series 3Y, 4.00%,
8/8/2022
|
RON | 1,250,000 | 294,640 | ||
Series 5Y, 4.25%,
6/28/2023
|
RON | 20,140,000 | 4,777,656 | ||
Series 4.3Y, 4.40%,
9/25/2023
|
RON | 2,500,000 | 597,827 | ||
Series 5Y, 4.50%,
6/17/2024
|
RON | 14,700,000 | 3,519,402 | ||
Series 10Y, 4.75%,
2/24/2025
|
RON | 7,625,000 | 1,845,587 | ||
Series 7Y, 4.85%,
4/22/2026
|
RON | 6,175,000 | 1,505,962 | ||
Series 10Y, 5.00%,
2/12/2029
|
RON | 10,350,000 | 2,524,430 | ||
Series 15YR, 5.80%,
7/26/2027
|
RON | 9,140,000 | 2,356,184 | ||
Series 10Y, 5.85%,
4/26/2023
|
RON | 1,550,000 | 385,816 | ||
Series 10YR, 5.95%,
6/11/2021
|
RON | 8,380,000 | 2,028,841 | ||
29,564,672 | |||||
RUSSIA — 4.6% | |||||
Russian Federal Bond - OFZ: | |||||
Series 6223, 6.50%,
2/28/2024
|
RUB | 30,000,000 | 494,403 |
Security Description |
Principal
Amount |
Value | |||
Series 6224, 6.90%,
5/23/2029
|
RUB | 80,500,000 | $ 1,366,088 | ||
Series 5083, 7.00%,
12/15/2021
|
RUB | 117,130,000 | 1,935,746 | ||
Series 6211, 7.00%,
1/25/2023
|
RUB | 140,900,000 | 2,359,046 | ||
Series 6215, 7.00%,
8/16/2023
|
RUB | 212,000,000 | 3,550,067 | ||
Series 6212, 7.05%,
1/19/2028
|
RUB | 188,115,000 | 3,197,679 | ||
Series 6222, 7.10%,
10/16/2024
|
RUB | 184,821,000 | 3,118,505 | ||
Series 6229, 7.15%,
11/12/2025
|
RUB | 94,500,000 | 1,601,203 | ||
Series 6225, 7.25%,
5/10/2034
|
RUB | 188,250,000 | 3,267,258 | ||
Series 6220, 7.40%,
12/7/2022
|
RUB | 284,951,000 | 4,801,174 | ||
Series 6227, 7.40%,
7/17/2024
|
RUB | 99,500,000 | 1,691,995 | ||
Series 6205, 7.60%,
4/14/2021
|
RUB | 44,400,000 | 735,791 | ||
Series 6209, 7.60%,
7/20/2022
|
RUB | 122,400,000 | 2,062,273 | ||
Series 6228, 7.65%,
4/10/2030
|
RUB | 60,000,000 | 1,064,551 | ||
Series 6221, 7.70%,
3/23/2033
|
RUB | 216,060,000 | 3,880,410 | ||
Series 6230, 7.70%,
3/16/2039
|
RUB | 20,000,000 | 364,511 | ||
Series 6219, 7.75%,
9/16/2026
|
RUB | 254,790,000 | 4,470,406 | ||
Series 6226, 7.95%,
10/7/2026
|
RUB | 131,150,000 | 2,323,743 | ||
Series 6207, 8.15%,
2/3/2027
|
RUB | 107,009,000 | 1,925,985 | ||
Series 6218, 8.50%,
9/17/2031
|
RUB | 118,892,000 | 2,262,578 | ||
46,473,412 | |||||
SOUTH AFRICA — 4.6% | |||||
South Africa Government Bond: | |||||
Series R209, 6.25%,
3/31/2036
|
ZAR | 16,041,000 | 820,708 | ||
Series R214, 6.50%,
2/28/2041
|
ZAR | 14,330,000 | 712,711 | ||
Series R214, 6.50%,
2/28/2041
|
ZAR | 24,500,000 | 1,218,522 | ||
Series R213, 7.00%,
2/28/2031
|
ZAR | 52,062,000 | 3,151,499 | ||
Series R213, 7.00%,
2/28/2031
|
ZAR | 5,500,000 | 332,935 | ||
Series 2023, 7.75%,
2/28/2023
|
ZAR | 54,380,000 | 3,943,777 | ||
Series 2030, 8.00%,
1/31/2030
|
ZAR | 85,795,000 | 5,724,038 |
Security Description |
Principal
Amount |
Value | |||
Series 2032, 8.25%,
3/31/2032
|
ZAR | 49,440,000 | $ 3,243,691 | ||
Series 2037, 8.50%,
1/31/2037
|
ZAR | 16,597,000 | 1,050,940 | ||
Series 2044, 8.75%,
1/31/2044
|
ZAR | 127,541,000 | 8,012,253 | ||
Series 2048, 8.75%,
2/28/2048
|
ZAR | 35,180,000 | 2,218,456 | ||
Series 2048, 8.75%,
2/28/2048
|
ZAR | 22,000,000 | 1,387,323 | ||
Series 2035, 8.88%,
2/28/2035
|
ZAR | 40,230,000 | 2,683,669 | ||
Series 2040, 9.00%,
1/31/2040
|
ZAR | 59,290,000 | 3,864,087 | ||
Series R186, 10.50%,
12/21/2026
|
ZAR | 7,565,000 | 605,061 | ||
Series R186, 10.50%,
12/21/2026
|
ZAR | 94,100,000 | 7,526,271 | ||
46,495,941 | |||||
SOUTH KOREA — 12.4% | |||||
Korea Treasury Bond: | |||||
Series 3909, 1.13%,
9/10/2039
|
KRW | 1,200,000,000 | 936,418 | ||
Series 2109, 1.38%,
9/10/2021
|
KRW | 6,112,800,000 | 5,285,279 | ||
Series 2409, 1.38%,
9/10/2024
|
KRW | 3,400,000,000 | 2,923,376 | ||
Series 2912, 1.38%,
12/10/2029
|
KRW | 1,500,000,000 | 1,257,844 | ||
Series 2612, 1.50%,
12/10/2026
|
KRW | 3,884,000,000 | 3,329,951 | ||
Series 3609, 1.50%,
9/10/2036
|
KRW | 5,363,000,000 | 4,495,415 | ||
Series 2206, 1.63%,
6/10/2022
|
KRW | 2,500,000,000 | 2,172,141 | ||
Series 2012, 1.75%,
12/10/2020
|
KRW | 4,820,000,000 | 4,183,104 | ||
Series 2203, 1.88%,
3/10/2022
|
KRW | 5,053,000,000 | 4,413,251 | ||
Series 2403, 1.88%,
3/10/2024
|
KRW | 5,650,000,000 | 4,955,636 | ||
Series 2606, 1.88%,
6/10/2026
|
KRW | 4,609,000,000 | 4,050,748 | ||
Series 2906, 1.88%,
6/10/2029
|
KRW | 7,220,000,000 | 6,330,098 | ||
Series 2103, 2.00%,
3/10/2021
|
KRW | 500,000,000 | 435,629 | ||
Series 2112, 2.00%,
12/10/2021
|
KRW | 1,750,000,000 | 1,530,850 | ||
Series 2209, 2.00%,
9/10/2022
|
KRW | 4,640,200,000 | 4,071,481 | ||
Series 4603, 2.00%,
3/10/2046
|
KRW | 1,170,000,000 | 1,074,030 | ||
Series 4903, 2.00%,
3/10/2049
|
KRW | 8,975,000,000 | 8,292,858 |
Security Description |
Principal
Amount |
Value | |||
Series 2706, 2.13%,
6/10/2027
|
KRW | 6,062,000,000 | $ 5,413,707 | ||
Series 4703, 2.13%,
3/10/2047
|
KRW | 5,412,000,000 | 5,104,140 | ||
Series 2106, 2.25%,
6/10/2021
|
KRW | 3,131,000,000 | 2,741,585 | ||
Series 2309, 2.25%,
9/10/2023
|
KRW | 6,090,000,000 | 5,409,211 | ||
Series 2506, 2.25%,
6/10/2025
|
KRW | 2,230,000,000 | 1,995,734 | ||
Series 2512, 2.25%,
12/10/2025
|
KRW | 500,000,000 | 448,438 | ||
Series 3709, 2.25%,
9/10/2037
|
KRW | 3,570,000,000 | 3,339,761 | ||
Series 2303, 2.38%,
3/10/2023
|
KRW | 3,918,000,000 | 3,483,146 | ||
Series 2712, 2.38%,
12/10/2027
|
KRW | 5,600,000,000 | 5,091,784 | ||
Series 2812, 2.38%,
12/10/2028
|
KRW | 5,139,000,000 | 4,686,200 | ||
Series 3809, 2.38%,
9/10/2038
|
KRW | 6,709,000,000 | 6,414,995 | ||
Series 2806, 2.63%,
6/10/2028
|
KRW | 5,735,000,000 | 5,317,133 | ||
Series 3509, 2.63%,
9/10/2035
|
KRW | 2,370,000,000 | 2,305,745 | ||
Series 4803, 2.63%,
3/10/2048
|
KRW | 6,654,000,000 | 6,936,129 | ||
Series 2303, 3.00%,
3/10/2023
|
KRW | 2,580,000,000 | 2,336,796 | ||
Series 2409, 3.00%,
9/10/2024
|
KRW | 500,000,000 | 461,564 | ||
Series 4212, 3.00%,
12/10/2042
|
KRW | 265,000,000 | 285,066 | ||
Series 2403, 3.50%,
3/10/2024
|
KRW | 2,640,000,000 | 2,465,308 | ||
Series 2206, 3.75%,
6/10/2022
|
KRW | 580,000,000 | 529,357 | ||
Series 3112, 4.00%,
12/10/2031
|
KRW | 395,000,000 | 425,530 | ||
Series 2106, 4.25%,
6/10/2021
|
KRW | 1,127,000,000 | 1,014,475 | ||
125,943,913 | |||||
THAILAND — 6.8% | |||||
Thailand Government Bond: | |||||
1.45%,
12/17/2024
|
THB | 24,500,000 | 824,832 | ||
1.60%,
6/17/2035
|
THB | 18,500,000 | 609,654 | ||
1.88%,
6/17/2022
|
THB | 30,950,000 | 1,050,224 | ||
2.00%,
12/17/2022
|
THB | 116,602,000 | 3,982,226 | ||
2.13%,
12/17/2026
|
THB | 104,440,000 | 3,659,541 | ||
2.40%,
12/17/2023
|
THB | 192,400,000 | 6,706,190 | ||
2.88%,
12/17/2028
|
THB | 159,510,000 | 5,948,404 | ||
2.88%,
6/17/2046
|
THB | 84,085,000 | 3,302,273 | ||
3.30%,
6/17/2038
|
THB | 19,500,000 | 797,611 | ||
3.40%,
6/17/2036
|
THB | 130,960,000 | 5,402,455 |
Security Description |
Principal
Amount |
Value | |||
3.58%,
12/17/2027
|
THB | 4,650,000 | $ 180,315 | ||
3.60%,
6/17/2067
|
THB | 104,000,000 | 4,765,085 | ||
3.63%,
6/16/2023
|
THB | 96,739,000 | 3,490,304 | ||
3.65%,
12/17/2021
|
THB | 93,281,000 | 3,262,224 | ||
3.65%,
6/20/2031
|
THB | 5,845,000 | 236,535 | ||
3.78%,
6/25/2032
|
THB | 107,940,000 | 4,456,871 | ||
3.80%,
6/14/2041
|
THB | 12,750,000 | 565,759 | ||
3.85%,
12/12/2025
|
THB | 19,632,000 | 750,067 | ||
3.85%,
12/12/2025
|
THB | 122,750,000 | 4,689,827 | ||
4.00%,
6/17/2066
|
THB | 54,280,000 | 2,685,075 | ||
4.68%,
6/29/2044
|
THB | 64,500,000 | 3,277,295 | ||
4.85%,
6/17/2061
|
THB | 48,195,000 | 2,736,714 | ||
4.88%,
6/22/2029
|
THB | 22,564,000 | 976,247 | ||
4.88%,
6/22/2029
|
THB | 100,000,000 | 4,326,568 | ||
5.67%,
3/13/2028
|
THB | 10,000,000 | 442,748 | ||
Series 06-5, 5.85%,
3/31/2021
|
THB | 5,000,000 | 176,397 | ||
69,301,441 | |||||
TURKEY — 3.4% | |||||
Turkey Government Bond: | |||||
7.10%,
3/8/2023
|
TRY | 175,000 | 26,025 | ||
8.00%,
3/12/2025
|
TRY | 6,690,000 | 964,547 | ||
8.50%,
9/14/2022
|
TRY | 18,800,000 | 2,963,267 | ||
8.80%,
9/27/2023
|
TRY | 2,300,000 | 355,184 | ||
9.00%,
7/24/2024
|
TRY | 16,550,000 | 2,516,846 | ||
9.20%,
9/22/2021
|
TRY | 28,660,000 | 4,659,477 | ||
9.40%,
7/8/2020
|
TRY | 600,000 | 100,218 | ||
10.40%,
3/20/2024
|
TRY | 850,000 | 137,691 | ||
10.50%,
8/11/2027
|
TRY | 12,080,000 | 1,891,877 | ||
10.60%,
2/11/2026
|
TRY | 28,544,000 | 4,532,697 | ||
10.70%,
2/17/2021
|
TRY | 2,870,000 | 480,584 | ||
10.70%,
8/17/2022
|
TRY | 11,190,000 | 1,850,271 | ||
11.00%,
3/2/2022
|
TRY | 20,210,000 | 3,370,597 | ||
11.00%,
2/24/2027
|
TRY | 10,548,000 | 1,689,169 | ||
12.20%,
1/18/2023
|
TRY | 26,470,000 | 4,528,056 | ||
12.40%,
3/8/2028
|
TRY | 8,050,000 | 1,386,532 | ||
16.20%,
6/14/2023
|
TRY | 5,850,000 | 1,108,364 | ||
Series 2363, 20.90%,
4/21/2021
|
TRY | 8,000,000 | 1,501,596 | ||
23.00%,
8/12/2020
|
TRY | 800,000 | 144,245 | ||
34,207,243 | |||||
TOTAL FOREIGN GOVERNMENT OBLIGATIONS
(Cost
$966,292,547)
|
988,421,103 |
Security Description | Shares | Value | ||||
SHORT-TERM INVESTMENT — 0.5% | ||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 1.57% (b) (c)
(Cost
$5,199,472)
|
5,199,472 | $ 5,199,472 | ||||
TOTAL INVESTMENTS — 97.8%
(Cost
$971,492,019)
|
993,620,575 | |||||
OTHER ASSETS IN EXCESS OF LIABILITIES — 2.2%
|
22,008,463 | |||||
NET ASSETS — 100.0%
|
$ 1,015,629,038 |
(a) | Securities purchased pursuant to Rule 144A of the Securities Act of 1933, as amended. These securities, which represent 1.4% of net assets as of December 31, 2019, are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
(b) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2019 are shown in the Affiliate Table below. |
(c) | The rate shown is the annualized seven-day yield at December 31, 2019. |
BRL | Brazilian Real |
CLP | Chilean Peso |
CNY | China Yuan Renminbi |
COP | Colombian Peso |
CZK | Czech Koruna |
HUF | Hungary Forint |
IDR | Indonesia Rupiah |
ILS | Israeli New Shekel |
KRW | South Korean Won |
MXN | Mexican Peso |
MYR | Malaysian Ringgit |
PEN | Peru Nuevo Sol |
PHP | Philippines Peso |
PLN | Polish Zloty |
RON | Romania New Leu |
RUB | Russian Ruble |
THB | Thai Baht |
TRY | Turkish New Lira |
ZAR | South African Rand |
Counterparty | Amount Sold | Amount Bought |
Settlement
Date |
Net
Unrealized
Appreciation/ (Depreciation) |
||||
Barclays Capital | USD 1,590,990 | CNH 11,200,000 | 01/07/2020 | $ 17,049 | ||||
Barclays Capital | USD 3,609,281 | ILS 12,500,000 | 01/07/2020 | 10,341 |
Counterparty | Amount Sold | Amount Bought |
Settlement
Date |
Net
Unrealized
Appreciation/ (Depreciation) |
||||
Barclays Capital | ILS 12,500,000 | USD 3,603,507 | 01/07/2020 | $ (16,114) | ||||
Barclays Capital | CNH 11,200,000 | USD 1,601,267 | 01/07/2020 | (6,772) | ||||
Barclays Capital | USD 1,600,255 | CNH 11,200,000 | 02/06/2020 | 6,840 | ||||
Barclays Capital | USD 1,216,270 | CNH 8,500,000 | 02/06/2020 | 3,400 | ||||
Barclays Capital | USD 1,435,394 | CNH 10,000,000 | 02/06/2020 | (487) | ||||
Citibank N.A. | CNH 7,000,000 | USD 999,437 | 02/06/2020 | (4,998) | ||||
HSBC Bank PLC | USD 357,398 | CNH 2,500,000 | 01/07/2020 | 1,539 | ||||
HSBC Bank PLC | CNH 2,500,000 | USD 356,590 | 01/07/2020 | (2,348) | ||||
HSBC Bank PLC | CNH 2,500,000 | USD 357,102 | 02/06/2020 | (1,625) | ||||
Societe Generale | USD 493,060 | BRL 2,000,000 | 01/07/2020 | 4,055 | ||||
Societe Generale | USD 1,078,352 | BRL 4,400,000 | 01/07/2020 | 15,301 | ||||
Societe Generale | USD 788,177 | BRL 3,200,000 | 01/07/2020 | 7,207 | ||||
Societe Generale | USD 829,112 | CNH 5,800,000 | 01/07/2020 | 3,622 | ||||
Societe Generale | CNH 2,800,000 | USD 397,692 | 01/07/2020 | (4,317) | ||||
Societe Generale | BRL 7,595,000 | USD 1,807,903 | 01/07/2020 | (79,891) | ||||
Societe Generale | CNH 3,000,000 | USD 428,049 | 01/07/2020 | (2,676) | ||||
Societe Generale | BRL 2,005,000 | USD 493,842 | 01/07/2020 | (4,515) | ||||
Societe Generale | USD 493,162 | BRL 2,005,000 | 02/06/2020 | 4,724 | ||||
Societe Generale | CNH 5,800,000 | USD 828,394 | 02/06/2020 | (3,852) | ||||
Standard Chartered Bank | USD 2,160,056 | BRL 9,200,000 | 01/07/2020 | 126,673 | ||||
Standard Chartered Bank | USD 487,080 | BRL 2,000,000 | 01/07/2020 | 10,035 | ||||
Standard Chartered Bank | USD 397,767 | COP 1,400,000,000 | 01/07/2020 | 28,793 | ||||
Standard Chartered Bank | USD 325,180 | IDR 4,600,000,000 | 01/07/2020 | 6,828 | ||||
Standard Chartered Bank | USD 10,137,663 | IDR 143,600,000,000 | 01/07/2020 | 226,773 | ||||
Standard Chartered Bank | USD 857,602 | IDR 12,000,000,000 | 01/07/2020 | 8,507 | ||||
Standard Chartered Bank | USD 893,495 | IDR 12,500,000,000 | 01/07/2020 | 8,701 | ||||
Standard Chartered Bank | USD 3,145,272 | PHP 160,000,000 | 01/07/2020 | 12,192 | ||||
Standard Chartered Bank | IDR 60,600,000,000 | USD 4,276,641 | 01/07/2020 | (97,209) | ||||
Standard Chartered Bank | IDR 83,000,000,000 | USD 5,861,582 | 01/07/2020 | (129,004) | ||||
Standard Chartered Bank | PHP 160,000,000 | USD 3,127,138 | 01/07/2020 | (30,327) | ||||
Standard Chartered Bank | BRL 2,000,000 | USD 491,135 | 01/07/2020 | (5,980) | ||||
Standard Chartered Bank | IDR 29,100,000,000 | USD 2,083,035 | 01/07/2020 | (17,279) | ||||
Standard Chartered Bank | BRL 9,200,000 | USD 2,268,244 | 01/07/2020 | (18,484) | ||||
Standard Chartered Bank | COP 1,400,000,000 | USD 424,757 | 01/07/2020 | (1,803) | ||||
Standard Chartered Bank | USD 2,264,950 | BRL 9,200,000 | 02/06/2020 | 19,613 | ||||
Standard Chartered Bank | USD 424,178 | COP 1,400,000,000 | 02/06/2020 | 2,045 | ||||
Standard Chartered Bank | USD 2,079,166 | IDR 29,100,000,000 | 02/06/2020 | 19,698 | ||||
Westpac Banking Corp. | USD 2,058,466 | CNH 14,400,000 | 01/07/2020 | 9,012 | ||||
Westpac Banking Corp. | USD 377,235 | HUF 115,000,000 | 01/07/2020 | 13,183 | ||||
Westpac Banking Corp. | CNH 14,400,000 | USD 2,045,251 | 01/07/2020 | (22,227) | ||||
Westpac Banking Corp. | HUF 115,000,000 | USD 387,701 | 01/07/2020 | (2,716) | ||||
Westpac Banking Corp. | USD 388,435 | HUF 115,000,000 | 02/06/2020 | 2,581 | ||||
Westpac Banking Corp. | CNH 14,400,000 | USD 2,056,761 | 02/06/2020 | (9,504) | ||||
Total | $ 106,584 |
BRL | Brazilian Real |
COP | Colombian Peso |
HUF | Hungary Forint |
IDR | Indonesia Rupiah |
ILS | Israeli New Shekel |
PHP | Philippines Peso |
Description |
Level
1 –
Quoted Prices |
Level
2 –
Other Significant Observable Inputs |
Level
3 –
Significant Unobservable Inputs |
Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Foreign Government
Obligations
|
$ — | $988,421,103 | $— | $988,421,103 | ||||
Short-Term
Investment
|
5,199,472 | — | — | 5,199,472 | ||||
TOTAL
INVESTMENTS
|
$5,199,472 | $988,421,103 | $— | $993,620,575 | ||||
OTHER FINANCIAL INSTRUMENTS: | ||||||||
Foreign Currency Exchange
Contracts(a)
|
— | 568,712 | — | 568,712 | ||||
TOTAL OTHER FINANCIAL
INSTRUMENTS:
|
$ — | $ 568,712 | $— | $ 568,712 | ||||
TOTAL INVESTMENTS AND OTHER FINANCIAL
INSTRUMENTS
|
$5,199,472 | $988,527,687 | $— | $993,727,159 | ||||
LIABILITIES: | ||||||||
OTHER FINANCIAL INSTRUMENTS: | ||||||||
Foreign Currency Exchange
Contracts(a)
|
— | (462,128) | — | (462,128) | ||||
TOTAL OTHER FINANCIAL
INSTRUMENTS:
|
$ — | $ (462,128) | $— | $ (462,128) |
(a) | Foreign Currency Exchange Contracts are valued at unrealized appreciation (depreciation). |
Number
of
Shares Held at 6/30/19 |
Value
at
6/30/19 |
Cost
of
Purchases |
Proceeds
from Shares Sold |
Realized
Gain (Loss) |
Change
in
Unrealized Appreciation/ Depreciation |
Number
of
Shares Held at 12/31/19 |
Value
at
12/31/19 |
Dividend
Income |
|||||||||
State Street Institutional U.S. Government Money Market Fund, Class G
Shares
|
3,816,789 | $3,816,789 | $149,587,682 | $148,204,999 | $— | $— | 5,199,472 | $5,199,472 | $47,229 |
Security Description |
Principal
Amount |
Value | ||||
CORPORATE BONDS & NOTES — 98.5% | ||||||
AUSTRALIA — 1.1% | ||||||
Australia & New Zealand Banking Group, Ltd. 0.75%,
9/29/2026
|
EUR | 200,000 | $ 230,788 | |||
BHP Billiton Finance, Ltd. Series 12, 4.30%,
9/25/2042
|
GBP | 200,000 | 360,120 | |||
National Australia Bank, Ltd.: | ||||||
Series GMTN, 0.88%,
1/20/2022
|
EUR | 192,000 | 219,794 | |||
Series GMTN, 1.25%,
5/18/2026
|
EUR | 200,000 | 237,298 | |||
GMTN, 1.38%,
8/30/2028
|
EUR | 100,000 | 120,334 | |||
Series EMTN, 2.75%,
8/8/2022
|
EUR | 250,000 | 301,097 | |||
Telstra Corp., Ltd.: | ||||||
Series EMTN, 2.50%,
9/15/2023
|
EUR | 100,000 | 122,148 | |||
Series EMTN, 3.50%,
9/21/2022
|
EUR | 200,000 | 246,182 | |||
Westpac Banking Corp. Series EMTN, 0.25%,
1/17/2022
|
EUR | 250,000 | 282,178 | |||
2,119,939 | ||||||
AUSTRIA — 0.1% | ||||||
OMV AG Series EMTN, 1.00%,
12/14/2026
|
EUR | 200,000 | 235,203 | |||
BELGIUM — 2.4% | ||||||
Anheuser-Busch InBev NV: | ||||||
Series EMTN, 0.80%,
4/20/2023
|
EUR | 300,000 | 345,699 | |||
Series EMTN, 0.88%,
3/17/2022
|
EUR | 500,000 | 573,351 | |||
Series EMTN, 1.15%,
1/22/2027
|
EUR | 100,000 | 118,020 | |||
Series EMTN, 1.50%,
3/17/2025
|
EUR | 500,000 | 600,743 | |||
Series EMTN, 1.50%,
4/18/2030
|
EUR | 300,000 | 361,174 | |||
Series EMTN, 2.00%,
3/17/2028
|
EUR | 380,000 | 476,083 | |||
Series EMTN, 2.75%,
3/17/2036
|
EUR | 800,000 | 1,092,574 | |||
Series EMTN, 2.85%,
5/25/2037
|
GBP | 200,000 | 279,184 | |||
Anheuser-Busch InBev SA Series EMTN, 1.13%,
7/1/2027
|
EUR | 200,000 | 235,531 | |||
KBC Group NV Series EMTN, 0.75%,
3/1/2022
|
EUR | 400,000 | 456,534 | |||
4,538,893 |
Security Description |
Principal
Amount |
Value | |||
CANADA — 1.0% | |||||
Bank of Montreal Series EMTN, 0.25%,
11/17/2021
|
EUR | 200,000 | $ 225,834 | ||
Bank of Nova Scotia Series EMTN, 0.50%,
4/30/2024
|
EUR | 100,000 | 113,348 | ||
Canadian Imperial Bank of Commerce 0.75%,
3/22/2023
|
EUR | 300,000 | 344,717 | ||
Federation des Caisses Desjardins du Quebec Series EMTN, 0.25%,
9/27/2021
|
EUR | 200,000 | 226,098 | ||
Royal Bank of Canada 0.13%,
7/23/2024
|
EUR | 200,000 | 223,295 | ||
Toronto-Dominion Bank: | |||||
Series EMTN, 0.63%,
3/8/2021
|
EUR | 350,000 | 396,822 | ||
Series EMTN, 0.63%,
7/20/2023
|
EUR | 300,000 | 344,129 | ||
1,874,243 | |||||
CAYMAN ISLANDS — 0.2% | |||||
CK Hutchison Finance 16, Ltd. Series A, 1.25%,
4/6/2023
|
EUR | 300,000 | 346,454 | ||
DENMARK — 0.7% | |||||
Carlsberg Breweries A/S Series EMTN, 2.50%,
5/28/2024
|
EUR | 200,000 | 246,472 | ||
Danske Bank A/S: | |||||
Series EMTN, 0.50%,
5/6/2021
|
EUR | 100,000 | 113,163 | ||
Series EMTN, 0.75%,
6/2/2023
|
EUR | 400,000 | 457,847 | ||
Series EMTN, 0.88%,
5/22/2023
|
EUR | 200,000 | 227,272 | ||
3 Month USD LIBOR + 1.15%, 0.50%, 8/27/2025
(a)
|
EUR | 200,000 | 221,865 | ||
1,266,619 | |||||
FINLAND — 0.4% | |||||
Nordea Bank Abp EMTN, 0.88%,
6/26/2023
|
EUR | 400,000 | 459,492 | ||
OP Corporate Bank PLC Series EMTN, 0.75%,
3/3/2022
|
EUR | 200,000 | 228,531 | ||
688,023 | |||||
FRANCE — 16.1% | |||||
Air Liquide Finance SA Series EMTN, 1.25%,
6/13/2028
|
EUR | 200,000 | 244,400 |
Security Description |
Principal
Amount |
Value | |||
Airbus Group Finance B.V. Series EMTN, 2.38%,
4/2/2024
|
EUR | 200,000 | $ 245,074 | ||
Auchan Holding SA EMTN, 2.38%,
4/25/2025
|
EUR | 200,000 | 233,909 | ||
Auchan Holding SADIR Series EMTN, 2.63%,
1/30/2024
|
EUR | 200,000 | 240,104 | ||
Autoroutes du Sud de la France SA: | |||||
Series EMTN, 1.25%,
1/18/2027
|
EUR | 300,000 | 359,639 | ||
Series EMTN, 1.38%,
1/22/2030
|
EUR | 300,000 | 362,097 | ||
Series EMTN, 5.63%,
7/4/2022
|
EUR | 200,000 | 256,385 | ||
Banque Federative du Credit Mutuel SA: | |||||
Series EMTN, Zero Coupon,
7/17/2025
|
EUR | 400,000 | 459,556 | ||
EMTN, 0.13%,
8/30/2021
|
EUR | 200,000 | 225,327 | ||
EMTN, 0.13%,
2/5/2024
|
EUR | 300,000 | 335,940 | ||
Series EMTN, 0.38%,
1/13/2022
|
EUR | 300,000 | 339,522 | ||
Series EMTN, 1.25%,
1/14/2025
|
EUR | 300,000 | 353,075 | ||
Series EMTN, 1.25%,
5/26/2027
|
EUR | 300,000 | 357,069 | ||
Series EMTN, 1.38%,
7/16/2028
|
EUR | 200,000 | 242,254 | ||
Series EMTN, 1.63%,
1/19/2026
|
EUR | 200,000 | 241,518 | ||
Series EMTN, 1.75%,
3/15/2029
|
EUR | 300,000 | 368,683 | ||
Series EMTN, 2.63%,
2/24/2021
|
EUR | 300,000 | 347,541 | ||
Series EMTN, 2.63%,
3/18/2024
|
EUR | 300,000 | 371,092 | ||
Series EMTN, 3.00%,
11/28/2023
|
EUR | 200,000 | 249,830 | ||
Series EMTN, 3.25%,
8/23/2022
|
EUR | 200,000 | 244,496 | ||
BNP Paribas SA: | |||||
EMTN, 0.13%,
9/4/2026
|
EUR | 200,000 | 217,773 | ||
Series EMTN, 0.75%,
11/11/2022
|
EUR | 250,000 | 286,709 | ||
Series EMTN, 1.13%,
1/15/2023
|
EUR | 192,000 | 222,686 | ||
Series EMTN, 1.13%,
10/10/2023
|
EUR | 150,000 | 173,887 | ||
Series EMTN, 1.13%,
6/11/2026
|
EUR | 300,000 | 348,925 | ||
Series EMTN, 1.38%,
5/28/2029
|
EUR | 200,000 | 236,942 | ||
Series EMTN, 1.50%,
11/17/2025
|
EUR | 500,000 | 594,093 |
Security Description |
Principal
Amount |
Value | |||
Series EMTN, 1.50%,
5/23/2028
|
EUR | 300,000 | $ 360,268 | ||
Series EMTN, 1.50%,
5/25/2028
|
EUR | 200,000 | 243,361 | ||
Series EMTN, 1.63%,
2/23/2026
|
EUR | 300,000 | 364,133 | ||
Series EMTN, 2.25%,
1/13/2021
|
EUR | 200,000 | 230,258 | ||
Series EMTN, 2.38%,
5/20/2024
|
EUR | 100,000 | 123,244 | ||
Series EMTN, 2.88%,
10/24/2022
|
EUR | 200,000 | 242,783 | ||
Series EMTN, 2.88%,
9/26/2023
|
EUR | 400,000 | 495,723 | ||
Series EMTN, 3.38%,
1/23/2026
|
GBP | 200,000 | 288,722 | ||
Series EMTN, 4.13%,
1/14/2022
|
EUR | 300,000 | 366,298 | ||
Bpce SA 1.00%,
7/15/2024
|
EUR | 300,000 | 348,879 | ||
BPCE SA: | |||||
Series EMTN, 0.88%,
1/31/2024
|
EUR | 200,000 | 229,526 | ||
Series EMTN, 1.00%,
10/5/2028
|
EUR | 300,000 | 351,630 | ||
Series EMTN, 1.13%,
1/18/2023
|
EUR | 600,000 | 693,112 | ||
Series EMTN, 4.50%,
2/10/2022
|
EUR | 200,000 | 246,969 | ||
Capgemini SE 2.50%,
7/1/2023
|
EUR | 200,000 | 241,656 | ||
Carrefour SA Series EMTN, 1.75%,
7/15/2022
|
EUR | 200,000 | 233,762 | ||
Cie de Saint-Gobain Series EMTN, 1.88%,
3/15/2031
|
EUR | 200,000 | 245,717 | ||
Cie Financiere et Industrielle des Autoroutes SA 5.00%,
5/24/2021
|
EUR | 200,000 | 240,478 | ||
Cie Generale des Etablissements Michelin SCA 1.75%,
9/3/2030
|
EUR | 200,000 | 251,918 | ||
Credit Agricole SA: | |||||
EMTN, 0.75%,
12/5/2023
|
EUR | 600,000 | 690,660 | ||
Series EMTN, 0.88%,
1/19/2022
|
EUR | 300,000 | 343,535 | ||
Series EMTN, 1.00%,
9/16/2024
|
EUR | 400,000 | 465,922 | ||
1.00%,
7/3/2029
|
EUR | 200,000 | 232,556 | ||
Series EMTN, 1.25%,
4/14/2026
|
EUR | 400,000 | 474,821 | ||
Series EMTN, 1.38%,
3/13/2025
|
EUR | 100,000 | 117,866 | ||
Series EMTN, 1.38%,
5/3/2027
|
EUR | 200,000 | 240,244 | ||
Series EMTN, 1.75%,
3/5/2029
|
EUR | 200,000 | 245,544 |
Security Description |
Principal
Amount |
Value | |||
Series EMTN, 1.88%,
12/20/2026
|
EUR | 200,000 | $ 244,716 | ||
Series EMTN, 2.38%,
5/20/2024
|
EUR | 300,000 | 369,289 | ||
Series EMTN, 3.13%,
7/17/2023
|
EUR | 100,000 | 124,680 | ||
Series EMTN, 3.13%,
2/5/2026
|
EUR | 300,000 | 394,750 | ||
Danone SA: | |||||
Series EMTN, 0.42%,
11/3/2022
|
EUR | 400,000 | 454,876 | ||
Series EMTN, 0.71%,
11/3/2024
|
EUR | 200,000 | 231,116 | ||
Series EMTN, 1.21%,
11/3/2028
|
EUR | 100,000 | 121,525 | ||
Series EMTN, 2.25%,
11/15/2021
|
EUR | 100,000 | 116,731 | ||
Dassault Systemes SE 0.38%,
9/16/2029
|
EUR | 200,000 | 220,010 | ||
Engie Alliance GIE Series EMTN, 5.75%,
6/24/2023
|
EUR | 250,000 | 335,665 | ||
Engie SA: | |||||
Series EMTN, 2.38%,
5/19/2026
|
EUR | 200,000 | 256,152 | ||
Series EMTN, 5.00%,
10/1/2060
|
GBP | 150,000 | 342,180 | ||
Holding d'Infrastructures de Transport SAS 4.88%,
10/27/2021
|
EUR | 250,000 | 305,435 | ||
HSBC France SA: | |||||
Series EMTN, 0.20%,
9/4/2021
|
EUR | 400,000 | 451,245 | ||
Series EMTN, 0.60%,
3/20/2023
|
EUR | 200,000 | 228,300 | ||
LVMH Moet Hennessy Vuitt Series EMTN, 0.75%,
5/26/2024
|
EUR | 200,000 | 231,680 | ||
Orange SA: | |||||
EMTN, 1.13%,
7/15/2024
|
EUR | 100,000 | 116,800 | ||
Series EMTN, 1.38%,
3/20/2028
|
EUR | 200,000 | 238,735 | ||
Series EMTN, 1.38%,
1/16/2030
|
EUR | 200,000 | 238,826 | ||
Series EMTN, 2.00%,
1/15/2029
|
EUR | 300,000 | 375,596 | ||
Series EMTN, 3.00%,
6/15/2022
|
EUR | 400,000 | 482,293 | ||
Series EMTN, 3.25%,
1/15/2032
|
GBP | 100,000 | 146,736 | ||
Series EMTN, 3.88%,
1/14/2021
|
EUR | 100,000 | 117,004 | ||
Series EMTN, 8.13%,
1/28/2033
|
EUR | 400,000 | 827,367 | ||
Renault SA EMTN, 1.25%,
6/24/2025
|
EUR | 200,000 | 223,917 | ||
Sanofi: |
Security Description |
Principal
Amount |
Value | |||
Series EMTN, 0.50%,
1/13/2027
|
EUR | 800,000 | $ 920,764 | ||
Series EMTN, 1.13%,
3/10/2022
|
EUR | 200,000 | 230,635 | ||
Series EMTN, 1.75%,
9/10/2026
|
EUR | 400,000 | 498,013 | ||
Series 20FX, 1.88%,
3/21/2038
|
EUR | 200,000 | 266,345 | ||
Series EMTN, 2.50%,
11/14/2023
|
EUR | 200,000 | 245,624 | ||
Schneider Electric SE Series EMTN, 0.25%,
9/9/2024
|
EUR | 200,000 | 226,304 | ||
Societe Generale SA: | |||||
Series EMTN, 0.25%,
1/18/2022
|
EUR | 100,000 | 112,896 | ||
Series EMTN, 0.75%,
5/26/2023
|
EUR | 400,000 | 458,863 | ||
Series EMTN, 1.00%,
4/1/2022
|
EUR | 300,000 | 344,130 | ||
Series EMTN, 1.13%,
1/23/2025
|
EUR | 300,000 | 346,920 | ||
EMTN, 1.75%,
3/22/2029
|
EUR | 200,000 | 241,175 | ||
Series ETMN, 2.13%,
9/27/2028
|
EUR | 200,000 | 248,546 | ||
Series EMTN, 4.25%,
7/13/2022
|
EUR | 300,000 | 373,043 | ||
Series EMTN, 4.75%,
3/2/2021
|
EUR | 300,000 | 356,191 | ||
Total Capital Canada, Ltd.: | |||||
Series EMTN, 1.13%,
3/18/2022
|
EUR | 100,000 | 115,475 | ||
Series EMTN, 2.13%,
9/18/2029
|
EUR | 300,000 | 388,518 | ||
Total Capital International SA: | |||||
Series EMTN, 0.25%,
7/12/2023
|
EUR | 300,000 | 340,281 | ||
Series EMTN, 0.75%,
7/12/2028
|
EUR | 100,000 | 116,015 | ||
Series EMTN, 1.38%,
10/4/2029
|
EUR | 200,000 | 243,992 | ||
Series EMTN, 2.50%,
3/25/2026
|
EUR | 200,000 | 257,901 | ||
Vinci SA Series EMTN, 1.75%,
9/26/2030
|
EUR | 100,000 | 125,087 | ||
Vivendi SA 0.75%,
5/26/2021
|
EUR | 200,000 | 226,889 | ||
30,647,342 | |||||
GERMANY — 10.2% | |||||
Allianz Finance II B.V.: | |||||
Series EMTN, 3.50%,
2/14/2022
|
EUR | 300,000 | 362,781 | ||
Series 62, 4.50%,
3/13/2043
|
GBP | 100,000 | 192,425 | ||
BASF SE: | |||||
0.88%,
11/15/2027
|
EUR | 100,000 | 117,769 |
Security Description |
Principal
Amount |
Value | |||
Series EMTN, 1.88%,
2/4/2021
|
EUR | 100,000 | $ 114,829 | ||
Series 10Y, 2.00%,
12/5/2022
|
EUR | 300,000 | 357,178 | ||
BMW Finance NV: | |||||
Series EMTN, 0.13%,
11/29/2021
|
EUR | 100,000 | 112,721 | ||
EMTN, 0.63%,
10/6/2023
|
EUR | 300,000 | 343,138 | ||
Series EMTN, 1.00%,
11/14/2024
|
EUR | 100,000 | 116,652 | ||
BMW US Capital LLC: | |||||
Series EMTN, 0.63%,
4/20/2022
|
EUR | 300,000 | 342,054 | ||
Series EMTN, 1.13%,
9/18/2021
|
EUR | 200,000 | 229,476 | ||
Commerzbank AG: | |||||
Series EMTN, 0.50%,
8/28/2023
|
EUR | 200,000 | 226,701 | ||
Series EMTN, 0.50%,
9/13/2023
|
EUR | 100,000 | 112,518 | ||
EMTN, 0.63%,
8/28/2024
|
EUR | 100,000 | 113,768 | ||
Series EMTN, 1.00%,
3/4/2026
|
EUR | 300,000 | 347,040 | ||
Daimler AG: | |||||
Series EMTN, 0.85%,
2/28/2025
|
EUR | 600,000 | 689,125 | ||
Series EMTN, 0.88%,
1/12/2021
|
EUR | 100,000 | 113,346 | ||
Series EMTN, 1.00%,
11/15/2027
|
EUR | 200,000 | 230,894 | ||
Series EMTN, 1.38%,
5/11/2028
|
EUR | 300,000 | 357,910 | ||
Series EMTN, 1.40%,
1/12/2024
|
EUR | 300,000 | 352,652 | ||
Series EMTN, 1.50%,
3/9/2026
|
EUR | 300,000 | 360,662 | ||
Series EMTN, 1.50%,
7/3/2029
|
EUR | 300,000 | 357,832 | ||
Series EMTN, 2.13%,
7/3/2037
|
EUR | 250,000 | 313,038 | ||
Daimler International Finance B.V.: | |||||
Series EMTN, 0.25%,
5/11/2022
|
EUR | 200,000 | 225,533 | ||
EMTN, 0.88%,
4/9/2024
|
EUR | 200,000 | 229,715 | ||
EMTN, 1.00%,
11/11/2025
|
EUR | 300,000 | 346,543 | ||
Deutsche Bank AG: | |||||
MTN, 1.13%,
8/30/2023
|
EUR | 200,000 | 230,528 | ||
Series EMTN, 1.13%,
3/17/2025
|
EUR | 900,000 | 1,007,037 | ||
Series EMTN, 1.25%,
9/8/2021
|
EUR | 300,000 | 339,943 | ||
Series EMTN, 1.50%,
1/20/2022
|
EUR | 500,000 | 568,548 | ||
Series EMTN, 2.38%,
1/11/2023
|
EUR | 300,000 | 351,095 |
Security Description |
Principal
Amount |
Value | |||
Deutsche Telekom AG Series EMTN, 0.50%,
7/5/2027
|
EUR | 200,000 | $ 224,107 | ||
Deutsche Telekom International Finance B.V.: | |||||
Series EMTN, 1.50%,
4/3/2028
|
EUR | 450,000 | 540,800 | ||
Series EMTN, 2.00%,
12/1/2029
|
EUR | 100,000 | 124,995 | ||
Series EMTN, 2.13%,
1/18/2021
|
EUR | 100,000 | 114,905 | ||
Series EMTN, 4.25%,
7/13/2022
|
EUR | 250,000 | 312,206 | ||
Series EMTN, 6.50%,
4/8/2022
|
GBP | 40,000 | 59,233 | ||
Series EMTN, 6.50%,
4/8/2022
|
GBP | 100,000 | 148,083 | ||
E.ON International Finance B.V.: | |||||
Series EMTN, 5.88%,
10/30/2037
|
GBP | 150,000 | 290,517 | ||
Series EMTN, 6.38%,
6/7/2032
|
GBP | 270,000 | 512,238 | ||
Series EMTN, 6.75%,
1/27/2039
|
GBP | 100,000 | 213,834 | ||
HeidelbergCement AG: | |||||
Series EMTN, 1.50%,
2/7/2025
|
EUR | 100,000 | 117,085 | ||
Series EMTN, 2.25%,
3/30/2023
|
EUR | 248,000 | 294,456 | ||
innogy Finance B.V.: | |||||
Series EMTN, 6.13%,
7/6/2039
|
GBP | 50,000 | 101,250 | ||
Series EMTN, 6.25%,
6/3/2030
|
GBP | 250,000 | 455,204 | ||
Series EMTN, 6.50%,
8/10/2021
|
EUR | 100,000 | 124,187 | ||
Linde Finance B.V. Series EMTN, 0.25%,
1/18/2022
|
EUR | 200,000 | 226,465 | ||
SAP SE: | |||||
Series EMTN, 1.13%,
2/20/2023
|
EUR | 100,000 | 116,139 | ||
1.25%,
3/10/2028
|
EUR | 100,000 | 120,559 | ||
1.63%,
3/10/2031
|
EUR | 300,000 | 373,539 | ||
Series EMTN, 1.75%,
2/22/2027
|
EUR | 200,000 | 249,044 | ||
Siemens Financieringsmaatschappij NV: | |||||
0.13%,
9/5/2029
|
EUR | 200,000 | 217,066 | ||
Series EMTN, 1.75%,
3/12/2021
|
EUR | 450,000 | 517,293 | ||
Series EMTN, 2.88%,
3/10/2028
|
EUR | 200,000 | 273,293 |
Security Description |
Principal
Amount |
Value | |||
Volkswagen Financial Services AG EMTN, 1.50%,
10/1/2024
|
EUR | 300,000 | $ 349,560 | ||
Volkswagen International Finance NV: | |||||
Series EMTN, 0.88%,
1/16/2023
|
EUR | 50,000 | 57,132 | ||
1.13%,
10/2/2023
|
EUR | 200,000 | 230,118 | ||
Series EMTN, 1.63%,
1/16/2030
|
EUR | 400,000 | 462,355 | ||
Series 10Y, 1.88%,
3/30/2027
|
EUR | 800,000 | 949,617 | ||
Series EMTN, 2.00%,
3/26/2021
|
EUR | 100,000 | 115,127 | ||
Volkswagen Leasing GmbH: | |||||
Series EMTN, 0.25%,
2/16/2021
|
EUR | 100,000 | 112,639 | ||
Series EMTN, 1.13%,
4/4/2024
|
EUR | 400,000 | 458,525 | ||
Series EMTN, 1.38%,
1/20/2025
|
EUR | 300,000 | 347,343 | ||
Series EMTN, 2.63%,
1/15/2024
|
EUR | 435,000 | 528,796 | ||
Vonovia Finance B.V. Series EMTN, 2.25%,
12/15/2023
|
EUR | 100,000 | 120,685 | ||
Wintershall Dea Finance B.V.: | |||||
0.45%,
9/25/2023
|
EUR | 200,000 | 224,941 | ||
0.84%,
9/25/2025
|
EUR | 100,000 | 113,569 | ||
1.33%,
9/25/2028
|
EUR | 200,000 | 228,631 | ||
1.82%,
9/25/2031
|
EUR | 200,000 | 234,244 | ||
19,423,231 | |||||
HONG KONG — 0.2% | |||||
CK Hutchison Finance 16 II, Ltd. 0.88%,
10/3/2024
|
EUR | 100,000 | 113,929 | ||
Hutchison Whampoa Finance 14, Ltd. 1.38%,
10/31/2021
|
EUR | 200,000 | 229,632 | ||
343,561 | |||||
IRELAND — 0.2% | |||||
Abbott Ireland Financing DAC: | |||||
0.88%,
9/27/2023
|
EUR | 150,000 | 173,683 | ||
1.50%,
9/27/2026
|
EUR | 250,000 | 303,468 | ||
477,151 | |||||
ITALY — 4.4% | |||||
Assicurazioni Generali SpA Series EMTN, 5.13%,
9/16/2024
|
EUR | 250,000 | 344,573 | ||
Autostrade per l'Italia SpA Series EMTN, 5.88%,
6/9/2024
|
EUR | 200,000 | 256,366 | ||
Enel Finance International NV: |
Security Description |
Principal
Amount |
Value | |||
EMTN, Zero Coupon,
6/17/2024
|
EUR | 100,000 | $ 111,044 | ||
Series EMTN, 1.00%,
9/16/2024
|
EUR | 300,000 | 348,895 | ||
Series EMTN, 1.13%,
9/16/2026
|
EUR | 300,000 | 351,505 | ||
EMTN, 1.50%,
7/21/2025
|
EUR | 200,000 | 238,765 | ||
Series EMTN, 1.97%,
1/27/2025
|
EUR | 250,000 | 304,356 | ||
Series EMTN, 5.00%,
9/14/2022
|
EUR | 150,000 | 191,222 | ||
Series EMTN, 5.63%,
8/14/2024
|
GBP | 50,000 | 78,388 | ||
Series EMTN, 5.75%,
9/14/2040
|
GBP | 350,000 | 674,021 | ||
Eni SpA: | |||||
Series EMTN, 3.25%,
7/10/2023
|
EUR | 100,000 | 124,760 | ||
Series EMTN, 3.63%,
1/29/2029
|
EUR | 200,000 | 285,258 | ||
Series EMTN, 3.75%,
9/12/2025
|
EUR | 350,000 | 469,899 | ||
Intesa Sanpaolo SpA: | |||||
Series EMTN, 1.00%,
7/4/2024
|
EUR | 300,000 | 341,744 | ||
Series EMTN, 1.13%,
3/4/2022
|
EUR | 327,000 | 374,454 | ||
Series EMTN, 1.38%,
1/18/2024
|
EUR | 100,000 | 115,596 | ||
Series EMTN, 1.75%,
3/20/2028
|
EUR | 400,000 | 464,278 | ||
EMTN, 1.75%,
7/4/2029
|
EUR | 200,000 | 229,653 | ||
Series EMTN, 2.00%,
6/18/2021
|
EUR | 100,000 | 115,437 | ||
Series EMTN, 2.13%,
8/30/2023
|
EUR | 100,000 | 118,671 | ||
Series EMTN, 4.00%,
10/30/2023
|
EUR | 200,000 | 253,794 | ||
Snam SpA Series EMTN, 0.88%,
10/25/2026
|
EUR | 200,000 | 229,125 | ||
Terna Rete Elettrica Nazionale SpA: | |||||
Series EMTN, 0.88%,
2/2/2022
|
EUR | 348,000 | 397,558 | ||
EMTN, 1.00%,
7/23/2023
|
EUR | 100,000 | 115,621 | ||
Series EMTN, 1.38%,
7/26/2027
|
EUR | 200,000 | 237,039 | ||
Series EMTN, 4.75%,
3/15/2021
|
EUR | 100,000 | 118,843 | ||
UniCredit SpA: | |||||
Series EMTN, 2.00%,
3/4/2023
|
EUR | 357,000 | 421,088 | ||
Series EMTN, 2.13%,
10/24/2026
|
EUR | 300,000 | 365,050 | ||
Series EMTN, 3.25%,
1/14/2021
|
EUR | 200,000 | 232,225 |
Security Description |
Principal
Amount |
Value | |||
Series EMTN, 3 Month USD LIBOR + 1.55%, 1.25%, 6/25/2025
(a)
|
EUR | 400,000 | $ 458,473 | ||
8,367,701 | |||||
JAPAN — 1.1% | |||||
Panasonic Corp. Series 17, 0.47%,
9/18/2026
|
JPY | 100,000,000 | 931,048 | ||
Sumitomo Mitsui Financial Group, Inc. 1.55%,
6/15/2026
|
EUR | 300,000 | 359,140 | ||
Takeda Pharmaceutical Co., Ltd.: | |||||
Series REGS, 1.13%,
11/21/2022
|
EUR | 200,000 | 231,184 | ||
Series REGS, 2.25%,
11/21/2026
|
EUR | 200,000 | 250,513 | ||
Series REGS, 3.00%,
11/21/2030
|
EUR | 300,000 | 400,315 | ||
2,172,200 | |||||
LUXEMBOURG — 2.2% | |||||
ArcelorMittal Series EMTN, 2.25%,
1/17/2024
|
EUR | 200,000 | 234,504 | ||
CK Hutchison Group Telecom Finance SA: | |||||
0.38%,
10/17/2023
|
EUR | 100,000 | 112,505 | ||
1.13%,
10/17/2028
|
EUR | 400,000 | 447,075 | ||
HeidelbergCement Finance Luxembourg SA Series EMTN, 1.63%,
4/7/2026
|
EUR | 200,000 | 236,218 | ||
Holcim Finance Luxembourg SA Series EMTN, 2.25%,
5/26/2028
|
EUR | 100,000 | 124,104 | ||
Logicor Financing Sarl: | |||||
Series EMTN, 1.50%,
11/14/2022
|
EUR | 100,000 | 115,786 | ||
Series EMTN, 1.63%,
7/15/2027
|
EUR | 400,000 | 454,256 | ||
Medtronic Global Holdings Co. Series 0000, 0.38%,
3/7/2023
|
EUR | 300,000 | 340,369 | ||
Medtronic Global Holdings SCA: | |||||
Zero Coupon,
3/7/2021
|
EUR | 200,000 | 225,079 | ||
1.63%,
3/7/2031
|
EUR | 200,000 | 246,088 | ||
2.25%,
3/7/2039
|
EUR | 200,000 | 254,753 | ||
Novartis Finance SA: | |||||
Series ., Zero Coupon,
3/31/2021
|
EUR | 200,000 | 225,306 | ||
0.13%,
9/20/2023
|
EUR | 200,000 | 226,327 | ||
Richemont International Holding SA: | |||||
1.00%,
3/26/2026
|
EUR | 200,000 | 234,420 | ||
1.50%,
3/26/2030
|
EUR | 200,000 | 243,630 |
Security Description |
Principal
Amount |
Value | |||
2.00%,
3/26/2038
|
EUR | 300,000 | $ 390,933 | ||
4,111,353 | |||||
MEXICO — 0.5% | |||||
America Movil SAB de CV: | |||||
Series EMTN, 0.75%,
6/26/2027
|
EUR | 300,000 | 340,801 | ||
3.00%,
7/12/2021
|
EUR | 100,000 | 117,452 | ||
4.38%,
8/7/2041
|
GBP | 100,000 | 171,290 | ||
Fomento Economico Mexicano SAB de CV 1.75%,
3/20/2023
|
EUR | 200,000 | 235,277 | ||
864,820 | |||||
NETHERLANDS — 9.8% | |||||
ABN AMRO Bank NV: | |||||
Series EMTN, 0.50%,
7/17/2023
|
EUR | 300,000 | 341,350 | ||
Series EMTN, 1.00%,
4/16/2025
|
EUR | 343,000 | 400,422 | ||
Series EMTN, 2.50%,
11/29/2023
|
EUR | 300,000 | 367,921 | ||
Series EMTN, 4.13%,
3/28/2022
|
EUR | 260,000 | 319,020 | ||
ASML Holding NV 1.38%,
7/7/2026
|
EUR | 200,000 | 240,291 | ||
Bayer Capital Corp B.V. 2.13%,
12/15/2029
|
EUR | 300,000 | 371,193 | ||
Bayer Capital Corp. B.V.: | |||||
0.63%,
12/15/2022
|
EUR | 100,000 | 113,957 | ||
1.50%,
6/26/2026
|
EUR | 300,000 | 356,208 | ||
BMW Finance NV: | |||||
Series EMTN, 0.13%,
1/12/2021
|
EUR | 300,000 | 337,962 | ||
Series EMTN, 0.38%,
7/10/2023
|
EUR | 657,000 | 744,990 | ||
Series EMTN, 1.50%,
2/6/2029
|
EUR | 300,000 | 361,272 | ||
Cooperatieve Rabobank UA: | |||||
Series GMTN, 0.50%,
12/6/2022
|
EUR | 400,000 | 456,363 | ||
EMTN, 0.63%,
2/27/2024
|
EUR | 100,000 | 114,486 | ||
GMTN, 0.75%,
8/29/2023
|
EUR | 300,000 | 344,819 | ||
Series GMTN, 1.13%,
5/7/2031
|
EUR | 100,000 | 116,715 | ||
Series GMTN, 1.25%,
3/23/2026
|
EUR | 300,000 | 357,888 | ||
Series GMTN, 1.38%,
2/3/2027
|
EUR | 400,000 | 484,997 | ||
Series GMTN, 2.25%,
3/23/2022
|
GBP | 150,000 | 204,331 | ||
Series EMTN, 2.38%,
5/22/2023
|
EUR | 200,000 | 242,196 | ||
Series GMTN, 4.00%,
1/11/2022
|
EUR | 200,000 | 243,195 | ||
Series EMTN, 4.13%,
1/12/2021
|
EUR | 200,000 | 234,496 |
Security Description |
Principal
Amount |
Value | |||
4.13%,
7/14/2025
|
EUR | 450,000 | $ 615,732 | ||
Series EMTN, 4.38%,
6/7/2021
|
EUR | 200,000 | 239,196 | ||
Series EMTN, 4.75%,
6/6/2022
|
EUR | 500,000 | 627,488 | ||
Daimler International Finance B.V. Series EMTN, 0.25%,
8/9/2021
|
EUR | 500,000 | 563,770 | ||
Deutsche Telekom International Finance B.V.: | |||||
Series EMTN, 0.38%,
10/30/2021
|
EUR | 100,000 | 113,179 | ||
Series EMTN, 0.63%,
4/3/2023
|
EUR | 550,000 | 628,200 | ||
Series EMTN, 0.88%,
1/30/2024
|
EUR | 100,000 | 115,598 | ||
Series EMTN, 1.38%,
1/30/2027
|
EUR | 300,000 | 358,288 | ||
EDP Finance B.V. Series EMTN, 1.13%,
2/12/2024
|
EUR | 200,000 | 232,228 | ||
Enel Finance International NV 1.38%,
6/1/2026
|
EUR | 300,000 | 357,580 | ||
Heineken NV Series EMTN, 1.00%,
5/4/2026
|
EUR | 200,000 | 234,248 | ||
ING Bank NV: | |||||
GMTN, Zero Coupon,
4/8/2022
|
EUR | 300,000 | 337,175 | ||
Series EMTN, 0.75%,
2/22/2021
|
EUR | 100,000 | 113,474 | ||
Series EMTN, 4.50%,
2/21/2022
|
EUR | 400,000 | 493,009 | ||
ING Groep NV: | |||||
Series EMTN, 0.75%,
3/9/2022
|
EUR | 200,000 | 228,102 | ||
Series EMTN, 1.00%,
9/20/2023
|
EUR | 300,000 | 346,468 | ||
Series EMTN, 1.13%,
2/14/2025
|
EUR | 600,000 | 698,480 | ||
Series EMTN, 1.38%,
1/11/2028
|
EUR | 200,000 | 239,285 | ||
Series EMTN, 2.00%,
9/20/2028
|
EUR | 300,000 | 374,617 | ||
Series EMTN, 2.50%,
11/15/2030
|
EUR | 100,000 | 132,576 | ||
Series EMTN, 3.00%,
2/18/2026
|
GBP | 100,000 | 141,329 | ||
EMTN, 3 Month USD LIBOR + 0.60%, 0.10%, 9/3/2025
(a)
|
EUR | 200,000 | 221,091 | ||
innogy Finance B.V. Series EMTN, 1.50%,
7/31/2029
|
EUR | 200,000 | 240,328 | ||
Koninklijke KPN NV Series GMTN, 5.75%,
9/17/2029
|
GBP | 150,000 | 241,096 | ||
LeasePlan Corp. NV 0.13%,
9/13/2023
|
EUR | 200,000 | 221,078 |
Security Description |
Principal
Amount |
Value | |||
Naturgy Finance B.V. Series EMTN, 1.38%,
1/19/2027
|
EUR | 300,000 | $ 355,951 | ||
Shell International Finance B.V.: | |||||
Series EMTN, 0.13%,
11/8/2027
|
EUR | 200,000 | 220,706 | ||
Series EMTN, 0.38%,
2/15/2025
|
EUR | 100,000 | 114,163 | ||
Series EMTN, 0.75%,
8/15/2028
|
EUR | 100,000 | 115,547 | ||
Series EMTN, 1.00%,
4/6/2022
|
EUR | 100,000 | 115,249 | ||
Series EMTN, 1.25%,
3/15/2022
|
EUR | 200,000 | 231,634 | ||
Series EMTN, 1.25%,
5/12/2028
|
EUR | 600,000 | 722,813 | ||
Series EMTN, 1.63%,
3/24/2021
|
EUR | 200,000 | 229,702 | ||
Series EMTN, 1.63%,
1/20/2027
|
EUR | 300,000 | 370,366 | ||
Series EMTN, 1.88%,
9/15/2025
|
EUR | 200,000 | 247,400 | ||
Series EMTN, 2.50%,
3/24/2026
|
EUR | 100,000 | 129,015 | ||
Siemens Financieringsmaatschappij NV Series EMTN, 1.38%,
9/6/2030
|
EUR | 400,000 | 487,298 | ||
Volkswagen International Finance NV Series 4Y, 0.50%,
3/30/2021
|
EUR | 100,000 | 112,949 | ||
Vonovia Finance B.V. 1.25%,
12/6/2024
|
EUR | 200,000 | 233,857 | ||
18,554,337 | |||||
NORWAY — 0.4% | |||||
DNB Bank ASA: | |||||
Series EMTN, 4.25%,
1/18/2022
|
EUR | 400,000 | 489,206 | ||
Series EMTN, 4.38%,
2/24/2021
|
EUR | 300,000 | 354,326 | ||
843,532 | |||||
PORTUGAL — 0.1% | |||||
EDP Finance B.V. Series EMTN, 2.63%,
1/18/2022
|
EUR | 127,000 | 150,168 | ||
SPAIN — 5.7% | |||||
Abertis Infraestructuras SA: | |||||
1.38%,
5/20/2026
|
EUR | 100,000 | 114,711 | ||
EMTN, 2.38%,
9/27/2027
|
EUR | 300,000 | 362,614 | ||
Series EMTN, 3.00%,
3/27/2031
|
EUR | 100,000 | 124,182 | ||
Banco Bilbao Vizcaya Argentaria SA: | |||||
Series GMTN, 0.63%,
1/17/2022
|
EUR | 400,000 | 455,351 |
Security Description |
Principal
Amount |
Value | |||
Series GMTN, 0.75%,
9/11/2022
|
EUR | 300,000 | $ 342,369 | ||
Series GMTN, 1.00%,
1/20/2021
|
EUR | 300,000 | 340,937 | ||
1.00%,
6/21/2026
|
EUR | 400,000 | 462,021 | ||
Series GMTN, 1.38%,
5/14/2025
|
EUR | 100,000 | 117,923 | ||
Banco de Sabadell SA: | |||||
Series EMTN, 0.88%,
3/5/2023
|
EUR | 100,000 | 113,579 | ||
Series EMTN, 1.75%,
5/10/2024
|
EUR | 400,000 | 463,349 | ||
Banco Santander SA: | |||||
Series EMTN, 0.25%,
6/19/2024
|
EUR | 200,000 | 225,173 | ||
Series EMTN, 1.13%,
1/17/2025
|
EUR | 400,000 | 464,062 | ||
Series EMTN, 1.38%,
3/3/2021
|
EUR | 100,000 | 114,351 | ||
1.38%,
2/9/2022
|
EUR | 100,000 | 115,427 | ||
Series EMTN, 1.38%,
12/14/2022
|
EUR | 300,000 | 350,218 | ||
1.38%,
7/31/2024
|
GBP | 200,000 | 263,209 | ||
CaixaBank SA: | |||||
Series EMTN, 0.75%,
4/18/2023
|
EUR | 200,000 | 228,280 | ||
Series EMTN, 1.13%,
1/12/2023
|
EUR | 500,000 | 573,597 | ||
Series EMTN, 1.13%,
5/17/2024
|
EUR | 300,000 | 348,124 | ||
Series EMTN, 1.13%,
3/27/2026
|
EUR | 300,000 | 348,010 | ||
Series EMTN, 2.38%,
2/1/2024
|
EUR | 200,000 | 240,894 | ||
Criteria Caixa SAU Series EMTN, 1.63%,
4/21/2022
|
EUR | 100,000 | 116,249 | ||
Iberdrola Finanzas SA Series EMTN, 1.00%,
3/7/2025
|
EUR | 100,000 | 116,767 | ||
Iberdrola International B.V.: | |||||
Series EMTN, 1.13%,
4/21/2026
|
EUR | 200,000 | 236,183 | ||
Series EMTN, 3.50%,
2/1/2021
|
EUR | 200,000 | 233,383 | ||
Mapfre SA 1.63%,
5/19/2026
|
EUR | 100,000 | 120,635 | ||
Repsol International Finance B.V. Series EMTN, 3.63%,
10/7/2021
|
EUR | 200,000 | 239,187 | ||
Santan Consumer Finance Series EMTN, 1.00%,
2/27/2024
|
EUR | 200,000 | 230,432 | ||
Santander Consumer Finance SA: | |||||
0.88%,
1/24/2022
|
EUR | 400,000 | 457,231 | ||
Series EMTN, 1.00%,
5/26/2021
|
EUR | 100,000 | 114,096 |
Security Description |
Principal
Amount |
Value | |||
Telefonica Emisiones SA: | |||||
Series EMTN, 0.75%,
4/13/2022
|
EUR | 200,000 | $ 228,164 | ||
EMTN, 1.07%,
2/5/2024
|
EUR | 200,000 | 232,490 | ||
Series EMTN, 1.45%,
1/22/2027
|
EUR | 100,000 | 118,816 | ||
Series EMTN, 1.46%,
4/13/2026
|
EUR | 300,000 | 357,723 | ||
Series EMTN, 1.48%,
9/14/2021
|
EUR | 100,000 | 115,160 | ||
Series EMTN, 1.50%,
9/11/2025
|
EUR | 100,000 | 118,997 | ||
Series EMTN, 1.53%,
1/17/2025
|
EUR | 300,000 | 357,727 | ||
Series EMTN, 1.72%,
1/12/2028
|
EUR | 500,000 | 608,627 | ||
Series EMTN, 2.24%,
5/27/2022
|
EUR | 300,000 | 354,823 | ||
Series GMTN, 3.96%,
3/26/2021
|
EUR | 200,000 | 236,097 | ||
Series GMTN, 3.99%,
1/23/2023
|
EUR | 100,000 | 125,695 | ||
10,886,863 | |||||
SWEDEN — 1.4% | |||||
Nordea Bank Abp: | |||||
Series EMTN, 1.00%,
2/22/2023
|
EUR | 100,000 | 115,562 | ||
Series EMTN, 1.13%,
2/12/2025
|
EUR | 200,000 | 234,985 | ||
Series EMTN, 1.13%,
9/27/2027
|
EUR | 300,000 | 356,553 | ||
Series EMTN, 2.00%,
2/17/2021
|
EUR | 100,000 | 115,026 | ||
Skandinaviska Enskilda Banken AB: | |||||
0.05%,
7/1/2024
|
EUR | 200,000 | 222,993 | ||
Series GMTN, 0.75%,
8/24/2021
|
EUR | 300,000 | 341,538 | ||
Series EMTN, 2.00%,
2/19/2021
|
EUR | 200,000 | 230,045 | ||
Svenska Handelsbanken AB: | |||||
Series EMTN, 0.13%,
6/18/2024
|
EUR | 100,000 | 112,109 | ||
Series EMTN, 0.25%,
2/28/2022
|
EUR | 100,000 | 113,055 | ||
Series EMTN, 1.13%,
12/14/2022
|
EUR | 400,000 | 463,563 | ||
Series EMTN, 2.63%,
8/23/2022
|
EUR | 200,000 | 240,011 | ||
Series EMTN, 4.38%,
10/20/2021
|
EUR | 100,000 | 121,407 | ||
2,666,847 | |||||
SWITZERLAND — 2.9% | |||||
Credit Suisse AG: | |||||
Series EMTN, 1.00%,
6/7/2023
|
EUR | 100,000 | 115,810 |
Security Description |
Principal
Amount |
Value | |||
Series EMTN, 1.38%,
1/31/2022
|
EUR | 400,000 | $ 462,766 | ||
Series EMTN, 1.50%,
4/10/2026
|
EUR | 400,000 | 480,873 | ||
Credit Suisse Group AG: | |||||
Series EMTN, 1 year GBP Swap + 0.75%, 1.25%, 7/17/2025
(a)
|
EUR | 400,000 | 465,314 | ||
Series EMTN, 1 year GBP Swap + 1.05%, 1.00%, 6/24/2027
(a)
|
EUR | 400,000 | 458,595 | ||
1 year GBP Swap + 1.23%, 2.13%, 9/12/2025
(a)
|
GBP | 100,000 | 134,542 | ||
Credit Suisse Group Funding Guernsey, Ltd.: | |||||
Series EMTN, 1.00%,
4/14/2023
|
CHF | 125,000 | 133,107 | ||
Series EMTN, 1.25%,
4/14/2022
|
EUR | 255,000 | 294,203 | ||
Glencore Finance Europe SA Series EMTN, 1.25%,
3/17/2021
|
EUR | 150,000 | 170,114 | ||
Glencore Finance Europe, Ltd. Series EMTN, 1.88%,
9/13/2023
|
EUR | 200,000 | 234,452 | ||
Roche Finance Europe B.V. Series EMTN, 0.88%,
2/25/2025
|
EUR | 200,000 | 234,010 | ||
Roche Holdings, Inc. Series EMTN, 6.50%,
3/4/2021
|
EUR | 150,000 | 181,885 | ||
UBS AG: | |||||
Series EMTN, 0.13%,
11/5/2021
|
EUR | 200,000 | 225,443 | ||
Series EMTN, 0.25%,
1/10/2022
|
EUR | 200,000 | 225,906 | ||
Series EMTN, 1.25%,
9/3/2021
|
EUR | 400,000 | 459,561 | ||
UBS Group Funding Switzerland AG: | |||||
Series EMTN, 1.25%,
9/1/2026
|
EUR | 500,000 | 589,991 | ||
1.50%,
11/30/2024
|
EUR | 300,000 | 353,800 | ||
1.75%,
11/16/2022
|
EUR | 300,000 | 352,993 | ||
5,573,365 | |||||
UNITED KINGDOM — 11.1% | |||||
Barclays PLC: | |||||
Series EMTN, 1.88%,
3/23/2021
|
EUR | 400,000 | 459,264 | ||
Series EMTN, 1.88%,
12/8/2023
|
EUR | 100,000 | 118,628 | ||
Series EMTN, 3.13%,
1/17/2024
|
GBP | 100,000 | 139,090 | ||
Series EMTN, 3.25%,
2/12/2027
|
GBP | 200,000 | 282,145 |
Security Description |
Principal
Amount |
Value | |||
Series EMTN, 3.25%,
1/17/2033
|
GBP | 300,000 | $ 416,737 | ||
Series EMTN, 1 year GBP Swap + 0.78%, 1.38%, 1/24/2026
(a)
|
EUR | 300,000 | 346,959 | ||
Series ., 1 year GBP Swap + 1.32%, 2.38%, 10/6/2023
(a)
|
GBP | 200,000 | 269,650 | ||
BAT International Finance PLC Series EMTN, 2.25%,
1/16/2030
|
EUR | 200,000 | 234,072 | ||
BG Energy Capital PLC: | |||||
Series EMTN, 5.00%,
11/4/2036
|
GBP | 100,000 | 188,671 | ||
Series EMTN, 5.13%,
12/1/2025
|
GBP | 150,000 | 240,486 | ||
BP Capital Markets PLC: | |||||
Series EMTN, 1.11%,
2/16/2023
|
EUR | 300,000 | 347,778 | ||
Series EMTN, 1.23%,
5/8/2031
|
EUR | 100,000 | 117,070 | ||
Series EMTN, 1.37%,
3/3/2022
|
EUR | 300,000 | 347,266 | ||
Series EMTN, 1.53%,
9/26/2022
|
EUR | 200,000 | 233,981 | ||
Series EMTN, 1.57%,
2/16/2027
|
EUR | 400,000 | 484,515 | ||
Series EMTN, 2.97%,
2/27/2026
|
EUR | 300,000 | 391,079 | ||
British Telecommunications PLC: | |||||
Series EMTN, 0.63%,
3/10/2021
|
EUR | 100,000 | 113,211 | ||
Series EMTN, 1.00%,
11/21/2024
|
EUR | 200,000 | 229,356 | ||
Series EMTN, 1.13%,
3/10/2023
|
EUR | 100,000 | 115,619 | ||
Series EMTN, 1.50%,
6/23/2027
|
EUR | 200,000 | 233,213 | ||
Series EMTN, 1.75%,
3/10/2026
|
EUR | 300,000 | 355,695 | ||
Cadent Finance PLC: | |||||
Series EMTN, 2.13%,
9/22/2028
|
GBP | 100,000 | 134,630 | ||
Series EMTN, 2.63%,
9/22/2038
|
GBP | 100,000 | 135,041 | ||
Series EMTN, 2.75%,
9/22/2046
|
GBP | 200,000 | 270,917 | ||
Centrica PLC Series EMTN, 7.00%,
9/19/2033
|
GBP | 150,000 | 296,562 | ||
Connect Plus M25 Issuer PLC 2.61%,
3/31/2039
|
GBP | 195,074 | 281,302 | ||
GlaxoSmithKline Capital PLC: | |||||
Series EMTN, 1.25%,
5/21/2026
|
EUR | 100,000 | 119,336 |
Security Description |
Principal
Amount |
Value | |||
Series EMTN, 1.38%,
12/2/2024
|
EUR | 150,000 | $ 179,220 | ||
Series EMTN, 4.25%,
12/18/2045
|
GBP | 100,000 | 183,528 | ||
Series EMTN, 5.25%,
12/19/2033
|
GBP | 268,000 | 498,805 | ||
Series EMTN, 5.25%,
4/10/2042
|
GBP | 200,000 | 402,433 | ||
Series EMTN, 6.38%,
3/9/2039
|
GBP | 150,000 | 327,984 | ||
Heathrow Funding, Ltd.: | |||||
Series EMTN, 4.63%,
10/31/2046
|
GBP | 100,000 | 187,299 | ||
Series REGS, 5.23%,
2/15/2023
|
GBP | 250,000 | 372,109 | ||
Series EMTN, 5.88%,
5/13/2043
|
GBP | 100,000 | 207,446 | ||
Series REGS, 6.45%,
12/10/2031
|
GBP | 200,000 | 388,510 | ||
Series EMTN, 6.75%,
12/3/2028
|
GBP | 100,000 | 175,432 | ||
HSBC Bank PLC Series EMTN, 4.00%,
1/15/2021
|
EUR | 100,000 | 117,217 | ||
HSBC Holdings PLC: | |||||
0.88%,
9/6/2024
|
EUR | 400,000 | 460,650 | ||
Series EMTN, 1.50%,
3/15/2022
|
EUR | 300,000 | 347,415 | ||
2.18%, 6/27/2023
(a)
|
GBP | 100,000 | 134,676 | ||
Series EMTN, 2.50%,
3/15/2027
|
EUR | 400,000 | 511,942 | ||
2.63%,
8/16/2028
|
GBP | 400,000 | 558,176 | ||
1 year GBP Swap + 1.04%, 2.26%, 11/13/2026
(a)
|
GBP | 300,000 | 403,284 | ||
1 year GBP Swap + 1.65%, 3.00%, 7/22/2028
(a)
|
GBP | 100,000 | 139,508 | ||
Series EMTN, 3 Month USD LIBOR + 1.36%, 1.50%, 12/4/2024
(a)
|
EUR | 200,000 | 235,063 | ||
Imperial Brands Finance PLC: | |||||
Series EMTN, 2.25%,
2/26/2021
|
EUR | 148,000 | 169,566 | ||
Series EMTN, 9.00%,
2/17/2022
|
GBP | 100,000 | 153,000 | ||
Lloyds Bank Corporate Markets PLC EMTN, 0.25%,
10/4/2022
|
EUR | 300,000 | 337,967 | ||
Lloyds Bank PLC: | |||||
Series EMTN, 1.00%,
11/19/2021
|
EUR | 100,000 | 114,499 | ||
Series EMTN, 6.50%,
9/17/2040
|
GBP | 100,000 | 222,077 | ||
Lloyds Banking Group PLC: | |||||
Series EMTN, 1.50%,
9/12/2027
|
EUR | 500,000 | 597,739 | ||
Series EMTN, 2.25%,
10/16/2024
|
GBP | 200,000 | 272,572 |
Security Description |
Principal
Amount |
Value | |||
Series EMTN, 1 year GBP Swap + 0.47%, 0.63%, 1/15/2024
(a)
|
EUR | 400,000 | $ 452,825 | ||
Nationwide Building Society 3 Month USD LIBOR + 0.93%, 1.50%, 3/8/2026
(a)
|
EUR | 200,000 | 234,884 | ||
Royal Bank of Scotland Group PLC: | |||||
Series EMTN, 2.50%,
3/22/2023
|
EUR | 322,000 | 386,111 | ||
Series EMTN, 1 year GBP Swap + 1.49%, 2.88%, 9/19/2026
(a)
|
GBP | 200,000 | 275,897 | ||
Series EMTN, 3 Month USD LIBOR - 2.04%, 2.00%, 3/8/2023
(a)
|
EUR | 300,000 | 349,067 | ||
Series EMTN, 3 Month USD LIBOR + 1.08%, 1.75%, 3/2/2026
(a)
|
EUR | 500,000 | 588,533 | ||
Santander UK Group Holdings PLC 1.13%,
9/8/2023
|
EUR | 200,000 | 230,910 | ||
Sky Ltd.: | |||||
Series EMTN, 1.50%,
9/15/2021
|
EUR | 322,000 | 371,327 | ||
Series EMTN, 2.50%,
9/15/2026
|
EUR | 100,000 | 127,696 | ||
Standard Chartered PLC Series EMTN, 1.63%,
6/13/2021
|
EUR | 200,000 | 230,096 | ||
THFC Funding No. 3 PLC Series EMTN, 5.20%,
10/11/2043
|
GBP | 150,000 | 290,605 | ||
University of Oxford 2.54%,
12/8/2117
|
GBP | 150,000 | 232,894 | ||
Vodafone Group PLC: | |||||
Series EMTN, 0.38%,
11/22/2021
|
EUR | 300,000 | 339,727 | ||
Series EMTN, 1.13%,
11/20/2025
|
EUR | 100,000 | 116,885 | ||
Series EMTN, 1.60%,
7/29/2031
|
EUR | 200,000 | 234,502 | ||
1.63%,
11/24/2030
|
EUR | 100,000 | 118,511 | ||
Series EMTN, 1.75%,
8/25/2023
|
EUR | 300,000 | 357,096 | ||
Series EMTN, 1.88%,
9/11/2025
|
EUR | 150,000 | 182,473 | ||
Series EMTN, 2.20%,
8/25/2026
|
EUR | 428,000 | 533,623 | ||
Series EMTN, 3.38%,
8/8/2049
|
GBP | 200,000 | 279,663 | ||
Series EMTN, 4.65%,
1/20/2022
|
EUR | 100,000 | 123,285 | ||
Wellcome Trust, Ltd. 2.52%,
2/7/2118
|
GBP | 100,000 | 156,018 |
Security Description |
Principal
Amount |
Value | |||
Western Power Distribution East Midlands PLC Series EMTN, 5.25%,
1/17/2023
|
GBP | 100,000 | $ 147,967 | ||
Western Power Distribution West Midlands PLC Series EMTN, 5.75%,
4/16/2032
|
GBP | 100,000 | 182,796 | ||
21,143,781 | |||||
UNITED STATES — 26.3% | |||||
AbbVie, Inc. 1.38%,
5/17/2024
|
EUR | 214,000 | 252,747 | ||
Altria Group, Inc.: | |||||
1.00%,
2/15/2023
|
EUR | 100,000 | 114,186 | ||
2.20%,
6/15/2027
|
EUR | 200,000 | 237,323 | ||
3.13%,
6/15/2031
|
EUR | 300,000 | 375,446 | ||
American Express Credit Corp. 0.63%,
11/22/2021
|
EUR | 200,000 | 227,448 | ||
American Honda Finance Corp. 0.35%,
8/26/2022
|
EUR | 200,000 | 226,493 | ||
American International Group, Inc. 1.88%,
6/21/2027
|
EUR | 200,000 | 240,060 | ||
Amgen, Inc.: | |||||
1.25%,
2/25/2022
|
EUR | 200,000 | 229,896 | ||
4.00%,
9/13/2029
|
GBP | 100,000 | 154,433 | ||
Apple, Inc.: | |||||
0.50%,
11/15/2031
|
EUR | 200,000 | 222,969 | ||
0.88%,
5/24/2025
|
EUR | 100,000 | 116,978 | ||
Series EMTN, 1.00%,
11/10/2022
|
EUR | 100,000 | 115,877 | ||
Series EMTN, 1.00%,
11/10/2022
|
EUR | 250,000 | 289,693 | ||
1.38%,
1/17/2024
|
EUR | 100,000 | 118,569 | ||
1.38%,
5/24/2029
|
EUR | 200,000 | 245,272 | ||
1.63%,
11/10/2026
|
EUR | 500,000 | 618,281 | ||
2.00%,
9/17/2027
|
EUR | 100,000 | 127,239 | ||
3.05%,
7/31/2029
|
GBP | 100,000 | 151,431 | ||
Series MTN, 3.70%,
8/28/2022
|
AUD | 150,000 | 111,427 | ||
AT&T, Inc.: | |||||
0.80%,
3/4/2030
|
EUR | 200,000 | 217,858 | ||
1.30%,
9/5/2023
|
EUR | 200,000 | 232,490 | ||
1.45%,
6/1/2022
|
EUR | 400,000 | 462,259 | ||
2.35%,
9/5/2029
|
EUR | 300,000 | 375,829 | ||
2.40%,
3/15/2024
|
EUR | 400,000 | 484,718 | ||
2.45%,
3/15/2035
|
EUR | 100,000 | 122,009 | ||
2.50%,
3/15/2023
|
EUR | 200,000 | 239,687 | ||
2.65%,
12/17/2021
|
EUR | 100,000 | 117,316 | ||
3.15%,
9/4/2036
|
EUR | 403,000 | 528,760 | ||
3.50%,
12/17/2025
|
EUR | 200,000 | 263,050 | ||
3.55%,
12/17/2032
|
EUR | 300,000 | 417,641 | ||
4.25%,
6/1/2043
|
GBP | 100,000 | 154,205 | ||
4.38%,
9/14/2029
|
GBP | 50,000 | 77,451 | ||
4.88%,
6/1/2044
|
GBP | 350,000 | 588,382 |
Security Description |
Principal
Amount |
Value | |||
Series EMTN, 7.00%,
4/30/2040
|
GBP | 100,000 | $ 207,211 | ||
Series EMTN, 7.00%,
4/30/2040
|
GBP | 100,000 | 207,211 | ||
Bank of America Corp.: | |||||
EMTN, 0.58%, 8/8/2029
(a)
|
EUR | 200,000 | 222,824 | ||
Series EMTN, 0.75%,
7/26/2023
|
EUR | 300,000 | 343,859 | ||
Series EMTN, 1.38%,
9/10/2021
|
EUR | 200,000 | 230,232 | ||
Series EMTN, 1.63%,
9/14/2022
|
EUR | 300,000 | 351,223 | ||
Series EMTN, 2.30%,
7/25/2025
|
GBP | 100,000 | 136,927 | ||
Series EMTN, 6.13%,
9/15/2021
|
GBP | 100,000 | 143,591 | ||
Series EMTN, 7.00%,
7/31/2028
|
GBP | 250,000 | 463,631 | ||
Series EMTN, 3 Month USD LIBOR - 0.83%, 0.74%, 2/7/2022
(a)
|
EUR | 100,000 | 113,260 | ||
EMTN, 3 Month USD LIBOR + 0.75%, 0.81%, 5/9/2026
(a)
|
EUR | 100,000 | 114,725 | ||
Series EMTN, 3 Month USD LIBOR + 0.89%, 1.66%, 4/25/2028
(a)
|
EUR | 200,000 | 241,615 | ||
Series EMTN, 3 Month USD LIBOR + 0.91%, 1.38%, 5/9/2030
(a)
|
EUR | 300,000 | 356,120 | ||
Series EMTN, 3 Month USD LIBOR + 1.03%, 1.38%, 2/7/2025
(a)
|
EUR | 500,000 | 586,444 | ||
Series EMTN, 3 Month USD LIBOR + 1.20%, 1.78%, 5/4/2027
(a)
|
EUR | 200,000 | 241,995 | ||
Berkshire Hathaway Finance Corp.: | |||||
2.38%,
6/19/2039
|
GBP | 200,000 | 277,226 | ||
2.63%,
6/19/2059
|
GBP | 100,000 | 145,290 | ||
Berkshire Hathaway, Inc.: | |||||
1.13%,
3/16/2027
|
EUR | 300,000 | 355,855 | ||
1.30%,
3/15/2024
|
EUR | 50,000 | 58,787 | ||
1.63%,
3/16/2035
|
EUR | 400,000 | 492,658 | ||
Booking Holdings, Inc.: | |||||
0.80%,
3/10/2022
|
EUR | 100,000 | 114,046 | ||
0.80%,
3/10/2022
|
EUR | 100,000 | 114,046 | ||
Citigroup, Inc.: | |||||
Series EMTN, 0.75%,
10/26/2023
|
EUR | 500,000 | 572,997 | ||
1.25%,
4/10/2029
|
EUR | 200,000 | 234,961 | ||
Series EMTN, 1.38%,
10/27/2021
|
EUR | 200,000 | 230,580 | ||
Series EMTN, 1.50%,
10/26/2028
|
EUR | 300,000 | 360,841 | ||
1.75%,
1/28/2025
|
EUR | 200,000 | 240,500 |
Security Description |
Principal
Amount |
Value | |||
Series EMTN, 2.38%,
5/22/2024
|
EUR | 200,000 | $ 245,842 | ||
2.75%,
1/24/2024
|
GBP | 200,000 | 276,938 | ||
EMTN, 3 Month USD LIBOR + 1.07%, 1.50%, 7/24/2026
(a)
|
EUR | 300,000 | 355,104 | ||
Coca-Cola Co.: | |||||
0.13%,
9/22/2022
|
EUR | 200,000 | 226,062 | ||
0.75%,
3/9/2023
|
EUR | 300,000 | 344,470 | ||
1.13%,
3/9/2027
|
EUR | 400,000 | 476,326 | ||
1.63%,
3/9/2035
|
EUR | 300,000 | 374,193 | ||
1.88%,
9/22/2026
|
EUR | 100,000 | 124,764 | ||
DH Europe Finance II Sarl: | |||||
0.20%,
3/18/2026
|
EUR | 100,000 | 110,890 | ||
0.45%,
3/18/2028
|
EUR | 200,000 | 221,749 | ||
0.75%,
9/18/2031
|
EUR | 300,000 | 328,493 | ||
1.35%,
9/18/2039
|
EUR | 300,000 | 318,122 | ||
Digital Euro Finco LLC 2.50%,
1/16/2026
|
EUR | 200,000 | 244,086 | ||
Eli Lilly & Co. 1.70%,
11/1/2049
|
EUR | 200,000 | 222,179 | ||
Equinix, Inc.: | |||||
2.88%,
10/1/2025
|
EUR | 200,000 | 231,476 | ||
2.88%,
10/1/2025
|
EUR | 200,000 | 231,476 | ||
FedEx Corp. 1.63%,
1/11/2027
|
EUR | 200,000 | 234,610 | ||
Fidelity National Information Services, Inc.: | |||||
0.75%,
5/21/2023
|
EUR | 200,000 | 228,971 | ||
1.50%,
5/21/2027
|
EUR | 300,000 | 355,672 | ||
2.00%,
5/21/2030
|
EUR | 200,000 | 243,982 | ||
Ford Motor Credit Co. LLC: | |||||
1.51%,
2/17/2023
|
EUR | 300,000 | 339,784 | ||
Series EMTN, 3.02%,
3/6/2024
|
EUR | 100,000 | 118,655 | ||
GE Capital European Funding: | |||||
Series EMTN, 0.80%,
1/21/2022
|
EUR | 100,000 | 113,689 | ||
Series EMTN, 2.63%,
3/15/2023
|
EUR | 200,000 | 240,722 | ||
General Electric Co.: | |||||
0.38%,
5/17/2022
|
EUR | 300,000 | 336,968 | ||
0.88%,
5/17/2025
|
EUR | 400,000 | 451,086 | ||
1.25%,
5/26/2023
|
EUR | 300,000 | 345,359 | ||
2.13%,
5/17/2037
|
EUR | 300,000 | 346,809 | ||
Goldman Sachs Group Inc EMTN, 2.00%,
11/1/2028
|
EUR | 200,000 | 246,808 | ||
Goldman Sachs Group, Inc.: | |||||
Series EMTN, 1.25%,
5/1/2025
|
EUR | 200,000 | 232,348 | ||
Series EMTN, 1.38%,
7/26/2022
|
EUR | 100,000 | 116,210 | ||
Series EMTN, 1.38%,
5/15/2024
|
EUR | 300,000 | 348,744 |
Security Description |
Principal
Amount |
Value | |||
Series EMTN, 1.63%,
7/27/2026
|
EUR | 500,000 | $ 598,023 | ||
Series EMTN, 2.00%,
7/27/2023
|
EUR | 400,000 | 476,840 | ||
Series EMTN, 2.13%,
9/30/2024
|
EUR | 100,000 | 121,444 | ||
Series EMTN, 2.50%,
10/18/2021
|
EUR | 100,000 | 117,539 | ||
Series EMTN, 3.00%,
2/12/2031
|
EUR | 200,000 | 273,220 | ||
Series EMTN, 3.25%,
2/1/2023
|
EUR | 200,000 | 245,771 | ||
Series EMTN, 4.25%,
1/29/2026
|
GBP | 300,000 | 448,653 | ||
Honeywell International, Inc.: | |||||
1.30%,
2/22/2023
|
EUR | 100,000 | 116,546 | ||
1.30%,
2/22/2023
|
EUR | 100,000 | 116,546 | ||
International Business Machines Corp.: | |||||
0.50%,
9/7/2021
|
EUR | 300,000 | 340,423 | ||
Series EMTN, 0.88%,
1/31/2025
|
EUR | 100,000 | 116,065 | ||
0.95%,
5/23/2025
|
EUR | 100,000 | 116,557 | ||
1.25%,
5/26/2023
|
EUR | 430,000 | 502,286 | ||
1.50%,
5/23/2029
|
EUR | 500,000 | 609,864 | ||
1.75%,
1/31/2031
|
EUR | 100,000 | 124,121 | ||
Series EMTN, 2.88%,
11/7/2025
|
EUR | 100,000 | 129,552 | ||
Johnson & Johnson: | |||||
0.25%,
1/20/2022
|
EUR | 100,000 | 113,356 | ||
1.65%,
5/20/2035
|
EUR | 300,000 | 376,716 | ||
JPMorgan Chase & Co.: | |||||
Series EMTN, 0.63%,
1/25/2024
|
EUR | 400,000 | 457,209 | ||
Series EMTN, 1.38%,
9/16/2021
|
EUR | 100,000 | 115,211 | ||
Series EMTN, 1.50%,
10/26/2022
|
EUR | 200,000 | 234,022 | ||
EMTN, 1.50%,
10/26/2022
|
EUR | 200,000 | 234,022 | ||
Series EMTN, 1.50%,
1/27/2025
|
EUR | 100,000 | 119,368 | ||
Series EMTN, 1.50%,
10/29/2026
|
EUR | 200,000 | 241,960 | ||
Series EMTN, 2.75%,
8/24/2022
|
EUR | 400,000 | 481,736 | ||
Series EMTN, 2.75%,
2/1/2023
|
EUR | 200,000 | 243,088 | ||
Series EMTN, 2.88%,
5/24/2028
|
EUR | 200,000 | 270,461 | ||
Series EMTN, 3.00%,
2/19/2026
|
EUR | 300,000 | 392,337 | ||
EMTN, 3 Month USD LIBOR + 0.76%, 1.09%, 3/11/2027
(a)
|
EUR | 200,000 | 232,937 | ||
Series EMTN, 3 Month USD LIBOR + 0.84%, 1.64%, 5/18/2028
(a)
|
EUR | 500,000 | 602,520 |
Security Description |
Principal
Amount |
Value | |||
EMTN, 3 Month USD LIBOR + 0.85%, 1.00%, 7/25/2031
(a)
|
EUR | 400,000 | $ 456,284 | ||
Series EMTN, 3 Month USD LIBOR + 0.95%, 1.81%, 6/12/2029
(a)
|
EUR | 300,000 | 368,959 | ||
Kraft Heinz Foods Co. 2.25%,
5/25/2028
|
EUR | 200,000 | 238,647 | ||
McDonald's Corp. Series GMTN, 1.00%,
11/15/2023
|
EUR | 200,000 | 232,268 | ||
Medtronic Global Holdings SCA: | |||||
0.25%,
7/2/2025
|
EUR | 300,000 | 337,418 | ||
1.13%,
3/7/2027
|
EUR | 200,000 | 235,678 | ||
1.50%,
7/2/2039
|
EUR | 100,000 | 112,137 | ||
1.75%,
7/2/2049
|
EUR | 300,000 | 329,042 | ||
Merck & Co., Inc.: | |||||
1.13%,
10/15/2021
|
EUR | 100,000 | 114,581 | ||
1.88%,
10/15/2026
|
EUR | 200,000 | 249,573 | ||
Metropolitan Life Global Funding I 0.38%,
4/9/2024
|
EUR | 200,000 | 226,251 | ||
Microsoft Corp.: | |||||
2.13%,
12/6/2021
|
EUR | 350,000 | 409,069 | ||
3.13%,
12/6/2028
|
EUR | 200,000 | 281,949 | ||
Morgan Stanley: | |||||
Series GMTN, 1.00%,
12/2/2022
|
EUR | 100,000 | 115,228 | ||
Series GMTN, 1.38%,
10/27/2026
|
EUR | 50,000 | 59,140 | ||
Series GMTN, 1.75%,
3/11/2024
|
EUR | 300,000 | 357,643 | ||
Series GMTN, 1.75%,
1/30/2025
|
EUR | 200,000 | 240,015 | ||
1.88%,
3/30/2023
|
EUR | 200,000 | 237,238 | ||
Series GMTN, 1.88%,
4/27/2027
|
EUR | 500,000 | 612,690 | ||
Series GMTN, 2.38%,
3/31/2021
|
EUR | 300,000 | 347,337 | ||
Series GMTN, 2.63%,
3/9/2027
|
GBP | 100,000 | 139,463 | ||
EMTN, 3 Month USD LIBOR + 0.75%, 0.64%, 7/26/2024
(a)
|
EUR | 440,000 | 501,278 | ||
Series EMTN, 3 Month USD LIBOR + 0.83%, 1.34%, 10/23/2026
(a)
|
EUR | 100,000 | 117,564 | ||
Mylan NV Series ., 2.25%,
11/22/2024
|
EUR | 200,000 | 238,977 | ||
Oracle Corp. Series EMTN, 2.25%,
1/10/2021
|
EUR | 200,000 | 230,261 | ||
Pfizer, Inc.: | |||||
0.25%,
3/6/2022
|
EUR | 100,000 | 113,210 | ||
Series REGS, 2.74%,
6/15/2043
|
GBP | 300,000 | 432,899 |
Security Description |
Principal
Amount |
Value | |||
Philip Morris International, Inc. Series EMTN, 2.88%,
3/3/2026
|
EUR | 300,000 | $ 385,057 | ||
Priceline Group, Inc.: | |||||
1.80%,
3/3/2027
|
EUR | 200,000 | 243,710 | ||
2.38%,
9/23/2024
|
EUR | 100,000 | 122,929 | ||
Procter & Gamble Co 1.13%,
11/2/2023
|
EUR | 100,000 | 117,481 | ||
Procter & Gamble Co.: | |||||
1.13%,
11/2/2023
|
EUR | 200,000 | 234,963 | ||
2.00%,
8/16/2022
|
EUR | 200,000 | 237,368 | ||
4.88%,
5/11/2027
|
EUR | 100,000 | 150,387 | ||
Thermo Fisher Scientific, Inc.: | |||||
0.75%,
9/12/2024
|
EUR | 148,000 | 169,962 | ||
Series EMTN, 1.88%,
10/1/2049
|
EUR | 200,000 | 207,648 | ||
Toyota Motor Credit Corp.: | |||||
Series EMTN, 0.75%,
7/21/2022
|
EUR | 300,000 | 344,643 | ||
Series EMTN, 1.00%,
9/10/2021
|
EUR | 100,000 | 114,481 | ||
US Bancorp Series EMTN, 0.85%,
6/7/2024
|
EUR | 200,000 | 231,005 | ||
Verizon Communications, Inc.: | |||||
0.88%,
4/2/2025
|
EUR | 200,000 | 231,529 | ||
0.88%,
4/8/2027
|
EUR | 200,000 | 230,296 | ||
0.88%,
4/8/2027
|
EUR | 100,000 | 115,148 | ||
1.25%,
4/8/2030
|
EUR | 400,000 | 468,657 | ||
1.38%,
10/27/2026
|
EUR | 200,000 | 238,340 | ||
1.38%,
11/2/2028
|
EUR | 100,000 | 119,443 | ||
2.63%,
12/1/2031
|
EUR | 200,000 | 267,667 | ||
Series 20Y, 2.88%,
1/15/2038
|
EUR | 200,000 | 271,911 | ||
Series EMTN, 3.25%,
2/17/2026
|
EUR | 150,000 | 197,933 | ||
3.38%,
10/27/2036
|
GBP | 100,000 | 149,931 | ||
Walmart, Inc.: | |||||
4.88%,
9/21/2029
|
EUR | 221,000 | 352,431 | ||
5.25%,
9/28/2035
|
GBP | 168,000 | 329,495 | ||
5.63%,
3/27/2034
|
GBP | 100,000 | 197,002 | ||
Wells Fargo & Co.: | |||||
Series EMTN, 1.00%,
2/2/2027
|
EUR | 300,000 | 347,060 | ||
Series EMTN, 1.13%,
10/29/2021
|
EUR | 200,000 | 229,613 | ||
Series EMTN, 1.38%,
10/26/2026
|
EUR | 300,000 | 355,464 | ||
Series EMTN, 1.50%,
9/12/2022
|
EUR | 500,000 | 583,150 | ||
Series EMTN, 1.50%,
5/24/2027
|
EUR | 600,000 | 717,732 | ||
Series EMTN, 1.63%,
6/2/2025
|
EUR | 150,000 | 179,717 | ||
Series EMTN, 2.00%,
7/28/2025
|
GBP | 200,000 | 269,497 |
Security Description |
Principal
Amount |
Value | |||
Series EMTN, 2.00%,
4/27/2026
|
EUR | 300,000 | $ 368,494 | ||
Series EMTN, 2.13%,
4/22/2022
|
GBP | 100,000 | 135,174 | ||
Series EMTN, 2.25%,
5/2/2023
|
EUR | 100,000 | 120,210 | ||
Series EMTN, 2.63%,
8/16/2022
|
EUR | 250,000 | 299,651 | ||
4.63%,
11/2/2035
|
GBP | 150,000 | 259,902 | ||
ZF North America Capital, Inc. 2.75%,
4/27/2023
|
EUR | 200,000 | 240,828 | ||
49,987,766 | |||||
TOTAL CORPORATE BONDS & NOTES
(Cost
$190,750,010)
|
187,283,392 |
(a) | Variable Rate Security - Interest rate shown is rate in effect at December 31, 2019. For securities based on a published reference rate and spread, the reference rate and spread are indicated in the description above. |
(b) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2019 are shown in the Affiliate Table below. |
(c) | The rate shown is the annualized seven-day yield at December 31, 2019. |
EMTN | Euro Medium Term Note |
GMTN | Global Medium Term Note |
LIBOR | London Interbank Offered Rate |
MTN | Medium Term Note |
AUD | Australian Dollar |
CHF | Swiss Franc |
EUR | Euro |
GBP | British Pound |
JPY | Japanese Yen |
Description |
Level
1 –
Quoted Prices |
Level
2 –
Other Significant Observable Inputs |
Level
3 –
Significant Unobservable Inputs |
Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Corporate Bonds &
Notes
|
$ — | $187,283,392 | $— | $187,283,392 | ||||
Short-Term
Investment
|
45,509 | — | — | 45,509 | ||||
TOTAL
INVESTMENTS
|
$45,509 | $187,283,392 | $— | $187,328,901 |
Number
of
Shares Held at 6/30/19 |
Value
at
6/30/19 |
Cost
of
Purchases |
Proceeds
from Shares Sold |
Realized
Gain (Loss) |
Change
in
Unrealized Appreciation/ Depreciation |
Number
of
Shares Held at 12/31/19 |
Value
at
12/31/19 |
Dividend
Income |
|||||||||
State Street Institutional U.S. Government Money Market Fund, Class G
Shares
|
26,209 | $26,209 | $35,502,275 | $35,482,975 | $— | $— | 45,509 | $45,509 | $4,539 |
Security Description |
Principal
Amount |
Value | ||||
FOREIGN GOVERNMENT OBLIGATIONS — 98.4% | ||||||
AUSTRALIA — 4.4% | ||||||
Australia Government Bond: | ||||||
Series 157, 1.50%,
6/21/2031
|
AUD | 2,085,000 | $ 1,478,091 | |||
Series 151, 2.00%,
12/21/2021
|
AUD | 1,720,000 | 1,234,287 | |||
Series 153, 2.25%,
11/21/2022
|
AUD | 2,095,000 | 1,528,628 | |||
Series 149, 2.25%,
5/21/2028
|
AUD | 2,930,000 | 2,210,616 | |||
Series 155, 2.50%,
5/21/2030
|
AUD | 3,030,000 | 2,357,750 | |||
Series 137, 2.75%,
4/21/2024
|
AUD | 3,460,000 | 2,611,391 | |||
Series 148, 2.75%,
11/21/2027
|
AUD | 2,040,000 | 1,590,947 | |||
Series 148, 2.75%,
11/21/2027
|
AUD | 1,490,000 | 1,162,015 | |||
Series 152, 2.75%,
11/21/2028
|
AUD | 3,195,000 | 2,508,752 | |||
Series 154, 2.75%,
11/21/2029
|
AUD | 3,015,000 | 2,387,573 | |||
Series 145, 2.75%,
6/21/2035
|
AUD | 974,000 | 790,131 | |||
Series 156, 2.75%,
5/21/2041
|
AUD | 575,000 | 465,870 | |||
Series 150, 3.00%,
3/21/2047
|
AUD | 2,055,000 | 1,749,977 | |||
Series 139, 3.25%,
4/21/2025
|
AUD | 3,350,000 | 2,619,544 | |||
Series 138, 3.25%,
4/21/2029
|
AUD | 3,745,000 | 3,063,745 | |||
Series 147, 3.25%,
6/21/2039
|
AUD | 1,025,000 | 892,000 | |||
Series 144, 3.75%,
4/21/2037
|
AUD | 1,486,000 | 1,364,079 | |||
Series 142, 4.25%,
4/21/2026
|
AUD | 4,015,000 | 3,353,312 | |||
Series 140, 4.50%,
4/21/2033
|
AUD | 1,560,000 | 1,494,218 | |||
Series 136, 4.75%,
4/21/2027
|
AUD | 3,735,000 | 3,269,169 | |||
Series 133, 5.50%,
4/21/2023
|
AUD | 3,125,000 | 2,521,110 | |||
Series 124, 5.75%,
5/15/2021
|
AUD | 3,460,000 | 2,591,123 | |||
Series 128, 5.75%,
7/15/2022
|
AUD | 2,955,000 | 2,328,179 | |||
45,572,507 | ||||||
AUSTRIA — 3.1% | ||||||
Austria Government Bond: | ||||||
Zero Coupon, 9/20/2022
(a)
|
EUR | 890,000 | 1,013,895 |
Security Description |
Principal
Amount |
Value | |||
Zero Coupon, 7/15/2023
(a)
|
EUR | 1,065,000 | $ 1,215,735 | ||
Zero Coupon, 7/15/2024
(a)
|
EUR | 350,000 | 399,500 | ||
0.50%, 4/20/2027
(a)
|
EUR | 1,090,000 | 1,279,819 | ||
0.50%, 2/20/2029
(a)
|
EUR | 1,050,000 | 1,229,720 | ||
0.75%, 10/20/2026
(a)
|
EUR | 1,430,000 | 1,707,809 | ||
0.75%, 2/20/2028
(a)
|
EUR | 1,205,000 | 1,441,343 | ||
1.20%, 10/20/2025
(a)
|
EUR | 1,410,000 | 1,717,477 | ||
1.50%, 2/20/2047
(a)
|
EUR | 915,000 | 1,249,030 | ||
1.50%, 11/2/2086
(a)
|
EUR | 310,000 | 431,184 | ||
Series 1, 1.65%, 10/21/2024
(a)
|
EUR | 1,200,000 | 1,477,136 | ||
1.75%, 10/20/2023
(a)
|
EUR | 1,400,000 | 1,704,558 | ||
2.10%, 9/20/2117
(a)
|
EUR | 730,000 | 1,294,465 | ||
2.40%, 5/23/2034
(a)
|
EUR | 985,000 | 1,432,330 | ||
3.15%, 6/20/2044
(a)
|
EUR | 850,000 | 1,525,865 | ||
3.40%, 11/22/2022
(a)
|
EUR | 1,340,000 | 1,676,275 | ||
3.50%, 9/15/2021
(a)
|
EUR | 1,970,000 | 2,365,334 | ||
3.65%, 4/20/2022
(a)
|
EUR | 1,054,000 | 1,298,759 | ||
3.80%, 1/26/2062
(a)
|
EUR | 567,000 | 1,320,191 | ||
4.15%, 3/15/2037
(a)
|
EUR | 1,385,000 | 2,531,229 | ||
4.85%, 3/15/2026
(a)
|
EUR | 1,180,000 | 1,745,772 | ||
6.25%,
7/15/2027
|
EUR | 1,175,000 | 1,954,986 | ||
32,012,412 | |||||
BELGIUM — 4.5% | |||||
Belgium Government Bond: | |||||
Series 79, 0.20%, 10/22/2023
(a)
|
EUR | 955,000 | 1,098,135 | ||
Series 82, 0.50%, 10/22/2024
(a)
|
EUR | 1,120,000 | 1,307,236 | ||
Series 74, 0.80%, 6/22/2025
(a)
|
EUR | 1,801,000 | 2,139,664 | ||
Series 81, 0.80%, 6/22/2027
(a)
|
EUR | 1,550,000 | 1,853,787 | ||
Series 85, 0.80%, 6/22/2028
(a)
|
EUR | 1,552,000 | 1,858,479 | ||
Series 87, 0.90%, 6/22/2029
(a)
|
EUR | 1,350,000 | 1,631,450 | ||
Series 77, 1.00%, 6/22/2026
(a)
|
EUR | 1,590,000 | 1,921,012 | ||
Series 75, 1.00%, 6/22/2031
(a)
|
EUR | 1,180,000 | 1,441,083 | ||
Series 86, 1.25%,
4/22/2033
|
EUR | 630,000 | 792,087 | ||
Series 84, 1.45%, 6/22/2037
(a)
|
EUR | 645,000 | 828,837 | ||
Series 78, 1.60%, 6/22/2047
(a)
|
EUR | 985,000 | 1,309,922 | ||
Series 88, 1.70%, 6/22/2050
(a)
|
EUR | 600,000 | 810,689 | ||
Series 76, 1.90%, 6/22/2038
(a)
|
EUR | 860,000 | 1,182,650 | ||
Series 80, 2.15%, 6/22/2066
(a)
|
EUR | 640,000 | 988,220 |
Security Description |
Principal
Amount |
Value | |||
Series 68, 2.25%,
6/22/2023
|
EUR | 1,410,000 | $ 1,735,457 | ||
Series 83, 2.25%, 6/22/2057
(a)
|
EUR | 475,000 | 732,930 | ||
Series 72, 2.60%, 6/22/2024
(a)
|
EUR | 1,626,000 | 2,069,850 | ||
Series 73, 3.00%, 6/22/2034
(a)
|
EUR | 931,000 | 1,429,108 | ||
Series 71, 3.75%,
6/22/2045
|
EUR | 1,045,000 | 1,974,648 | ||
Series 48, 4.00%,
3/28/2022
|
EUR | 1,435,000 | 1,777,619 | ||
Series 66, 4.00%,
3/28/2032
|
EUR | 847,000 | 1,381,530 | ||
Series 61, 4.25%, 9/28/2021
(a)
|
EUR | 1,635,000 | 1,991,020 | ||
Series 65, 4.25%, 9/28/2022
(a)
|
EUR | 1,840,000 | 2,340,081 | ||
Series 60, 4.25%, 3/28/2041
(a)
|
EUR | 1,780,000 | 3,396,344 | ||
Series 64, 4.50%, 3/28/2026
(a)
|
EUR | 1,261,000 | 1,833,512 | ||
Series 44, 5.00%, 3/28/2035
(a)
|
EUR | 1,702,000 | 3,191,102 | ||
Series 31, 5.50%,
3/28/2028
|
EUR | 2,017,000 | 3,301,941 | ||
46,318,393 | |||||
CANADA — 4.4% | |||||
Canadian Government Bond: | |||||
0.50%,
3/1/2022
|
CAD | 2,570,000 | 1,931,974 | ||
0.75%,
3/1/2021
|
CAD | 3,839,000 | 2,926,699 | ||
0.75%,
9/1/2021
|
CAD | 2,185,000 | 1,658,797 | ||
1.00%,
9/1/2022
|
CAD | 2,230,000 | 1,689,022 | ||
1.00%,
6/1/2027
|
CAD | 1,583,000 | 1,159,634 | ||
1.25%,
11/1/2021
|
CAD | 1,740,000 | 1,331,149 | ||
1.25%,
3/1/2025
|
CAD | 800,000 | 603,830 | ||
1.25%,
6/1/2030
|
CAD | 700,000 | 515,946 | ||
1.50%,
8/1/2021
|
CAD | 1,230,000 | 945,386 | ||
1.50%,
6/1/2023
|
CAD | 1,835,000 | 1,406,685 | ||
1.50%,
9/1/2024
|
CAD | 1,980,000 | 1,513,916 | ||
1.50%,
6/1/2026
|
CAD | 1,660,000 | 1,264,915 | ||
1.75%,
5/1/2021
|
CAD | 1,770,000 | 1,365,237 | ||
1.75%,
3/1/2023
|
CAD | 2,185,000 | 1,688,402 | ||
2.00%,
9/1/2023
|
CAD | 1,725,000 | 1,344,509 | ||
2.00%,
6/1/2028
|
CAD | 1,690,000 | 1,331,552 | ||
2.00%,
12/1/2051
|
CAD | 1,135,000 | 928,770 | ||
2.25%,
2/1/2021
|
CAD | 1,505,000 | 1,166,780 | ||
2.25%,
3/1/2024
|
CAD | 1,450,000 | 1,143,283 | ||
2.25%,
6/1/2025
|
CAD | 1,640,000 | 1,301,136 | ||
2.25%,
6/1/2029
|
CAD | 1,535,000 | 1,239,956 | ||
2.50%,
6/1/2024
|
CAD | 1,710,000 | 1,363,807 | ||
2.75%,
6/1/2022
|
CAD | 1,700,000 | 1,343,718 | ||
2.75%,
12/1/2048
|
CAD | 1,770,000 | 1,669,335 | ||
2.75%,
12/1/2064
|
CAD | 635,000 | 642,247 | ||
3.25%,
6/1/2021
|
CAD | 1,645,000 | 1,295,259 |
Security Description |
Principal
Amount |
Value | |||
3.50%,
12/1/2045
|
CAD | 1,945,000 | $ 2,035,324 | ||
4.00%,
6/1/2041
|
CAD | 1,760,000 | 1,890,743 | ||
5.00%,
6/1/2037
|
CAD | 1,530,000 | 1,748,442 | ||
Series WL43, 5.75%,
6/1/2029
|
CAD | 1,320,000 | 1,370,438 | ||
5.75%,
6/1/2033
|
CAD | 1,490,000 | 1,695,457 | ||
Series A55, 8.00%,
6/1/2023
|
CAD | 390,000 | 362,986 | ||
Series VW17, 8.00%,
6/1/2027
|
CAD | 550,000 | 607,144 | ||
Series A-76, 9.00%,
6/1/2025
|
CAD | 330,000 | 349,623 | ||
44,832,101 | |||||
CHILE — 0.4% | |||||
Bonos de la Tesoreria de la Republica en pesos: | |||||
4.00%, 3/1/2023
(a)
|
CLP | 300,000,000 | 420,330 | ||
4.50%,
2/28/2021
|
CLP | 75,000,000 | 102,794 | ||
4.50%,
3/1/2021
|
CLP | 340,000,000 | 465,852 | ||
4.50%,
3/1/2026
|
CLP | 400,000,000 | 586,182 | ||
4.70%, 9/1/2030
(a)
|
CLP | 420,000,000 | 635,495 | ||
5.00%,
3/1/2035
|
CLP | 500,000,000 | 778,872 | ||
5.10%,
7/15/2050
|
CLP | 120,000,000 | 192,782 | ||
Series 30YR, 6.00%,
1/1/2043
|
CLP | 355,000,000 | 642,940 | ||
3,825,247 | |||||
CHINA — 2.0% | |||||
China Government Bond: | |||||
Series 1814, 3.24%,
7/5/2021
|
CNY | 15,050,000 | 2,182,715 | ||
Series 1827, 3.25%,
11/22/2028
|
CNY | 26,000,000 | 3,767,016 | ||
Series 1823, 3.29%,
10/18/2023
|
CNY | 72,000,000 | 10,522,934 | ||
Series 1824, 4.08%,
10/22/2048
|
CNY | 30,000,000 | 4,574,750 | ||
21,047,415 | |||||
CYPRUS — 0.1% | |||||
Cyprus Government International Bond: | |||||
Series EMTN, 2.38%,
9/25/2028
|
EUR | 200,000 | 259,095 | ||
Series EMTN, 2.75%,
6/27/2024
|
EUR | 150,000 | 188,402 | ||
Series EMTN, 2.75%,
2/26/2034
|
EUR | 100,000 | 137,935 | ||
Series EMTN, 2.75%,
5/3/2049
|
EUR | 100,000 | 143,759 | ||
Series EMTN, 3.75%,
7/26/2023
|
EUR | 110,000 | 139,928 | ||
Series EMTN, 3.88%,
5/6/2022
|
EUR | 130,000 | 159,376 | ||
Series EMTN, 4.25%,
11/4/2025
|
EUR | 100,000 | 138,067 |
Security Description |
Principal
Amount |
Value | |||
Series EMTN, 4.25%,
11/4/2025
|
EUR | 70,000 | $ 96,647 | ||
1,263,209 | |||||
CZECH REPUBLIC — 0.6% | |||||
Czech Republic Government Bond: | |||||
Series 100, 0.25%,
2/10/2027
|
CZK | 9,860,000 | 392,760 | ||
Series 97, 0.45%,
10/25/2023
|
CZK | 5,700,000 | 239,988 | ||
Series 104, 0.75%,
2/23/2021
|
CZK | 3,500,000 | 152,446 | ||
Series 94, 0.95%,
5/15/2030
|
CZK | 13,580,000 | 558,962 | ||
Series 95, 1.00%,
6/26/2026
|
CZK | 12,920,000 | 548,384 | ||
Series 15Y, 2.00%,
10/13/2033
|
CZK | 10,300,000 | 464,124 | ||
Series 89, 2.40%,
9/17/2025
|
CZK | 12,440,000 | 573,688 | ||
Series 78, 2.50%,
8/25/2028
|
CZK | 12,250,000 | 579,913 | ||
Series 105, 2.75%,
7/23/2029
|
CZK | 12,570,000 | 607,962 | ||
Series 61, 3.85%,
9/29/2021
|
CZK | 10,110,000 | 462,188 | ||
Series 49, 4.20%,
12/4/2036
|
CZK | 6,030,000 | 358,702 | ||
Series 52, 4.70%,
9/12/2022
|
CZK | 10,460,000 | 499,333 | ||
Series 53, 4.85%,
11/26/2057
|
CZK | 1,750,000 | 124,470 | ||
Series 58, 5.70%,
5/25/2024
|
CZK | 9,410,000 | 490,314 | ||
6,053,234 | |||||
DENMARK — 1.1% | |||||
Denmark Government Bond: | |||||
Series 3Y, 0.25%, 11/15/2022
(a)
|
DKK | 1,440,000 | 221,511 | ||
Series 10Y, 0.50%,
11/15/2027
|
DKK | 10,968,000 | 1,751,130 | ||
Series 10YR, 0.50%, 11/15/2029
(a)
|
DKK | 3,042,000 | 486,807 | ||
1.50%,
11/15/2023
|
DKK | 7,635,000 | 1,237,327 | ||
1.75%,
11/15/2025
|
DKK | 9,705,000 | 1,643,606 | ||
3.00%,
11/15/2021
|
DKK | 8,665,000 | 1,391,034 | ||
4.50%,
11/15/2039
|
DKK | 16,345,000 | 4,580,625 | ||
7.00%,
11/10/2024
|
DKK | 1,740,000 | 357,233 | ||
11,669,273 | |||||
FINLAND — 1.2% | |||||
Finland Government Bond: |
Security Description |
Principal
Amount |
Value | |||
Series 5Y, Zero Coupon, 4/15/2022
(a)
|
EUR | 635,000 | $ 722,053 | ||
Zero Coupon, 9/15/2023
(a)
|
EUR | 845,000 | 965,026 | ||
Zero Coupon, 9/15/2024
(a)
|
EUR | 505,000 | 576,381 | ||
0.50%, 4/15/2026
(a)
|
EUR | 731,000 | 857,391 | ||
0.50%, 9/15/2027
(a)
|
EUR | 590,000 | 692,225 | ||
0.50%, 9/15/2028
(a)
|
EUR | 478,000 | 560,673 | ||
0.50%, 9/15/2029
(a)
|
EUR | 450,000 | 527,200 | ||
0.75%, 4/15/2031
(a)
|
EUR | 610,000 | 731,354 | ||
0.88%, 9/15/2025
(a)
|
EUR | 493,000 | 589,512 | ||
1.13%, 4/15/2034
(a)
|
EUR | 515,000 | 644,556 | ||
Series 30Y, 1.38%, 4/15/2047
(a)
|
EUR | 489,000 | 663,342 | ||
1.50%, 4/15/2023
(a)
|
EUR | 280,000 | 335,211 | ||
1.63%, 9/15/2022
(a)
|
EUR | 640,000 | 760,916 | ||
2.00%, 4/15/2024
(a)
|
EUR | 797,000 | 987,906 | ||
2.63%, 7/4/2042
(a)
|
EUR | 541,000 | 892,593 | ||
2.75%, 7/4/2028
(a)
|
EUR | 465,000 | 645,671 | ||
3.50%, 4/15/2021
(a)
|
EUR | 650,000 | 768,274 | ||
4.00%, 7/4/2025
(a)
|
EUR | 662,000 | 921,647 | ||
12,841,931 | |||||
FRANCE — 5.4% | |||||
France Government Bond OAT: | |||||
Zero Coupon,
2/25/2021
|
EUR | 945,000 | 1,067,990 | ||
Zero Coupon,
5/25/2021
|
EUR | 900,000 | 1,018,625 | ||
Zero Coupon,
2/25/2022
|
EUR | 930,000 | 1,055,604 | ||
Zero Coupon,
5/25/2022
|
EUR | 990,000 | 1,126,623 | ||
Zero Coupon,
3/25/2023
|
EUR | 1,000,000 | 1,141,845 | ||
Zero Coupon,
3/25/2024
|
EUR | 1,000,000 | 1,143,124 | ||
Zero Coupon,
3/25/2025
|
EUR | 1,005,000 | 1,146,165 | ||
0.25%,
11/25/2026
|
EUR | 970,000 | 1,118,986 | ||
0.50%,
5/25/2025
|
EUR | 1,120,000 | 1,311,898 | ||
0.50%,
5/25/2026
|
EUR | 1,100,000 | 1,290,202 | ||
0.50%,
5/25/2029
|
EUR | 1,050,000 | 1,225,463 | ||
0.75%,
5/25/2028
|
EUR | 1,070,000 | 1,278,467 | ||
0.75%,
11/25/2028
|
EUR | 1,021,000 | 1,219,240 | ||
1.00%,
11/25/2025
|
EUR | 720,000 | 867,968 | ||
1.00%,
5/25/2027
|
EUR | 920,000 | 1,117,356 | ||
1.25%,
5/25/2034
|
EUR | 785,000 | 986,990 | ||
1.25%, 5/25/2036
(a)
|
EUR | 1,010,000 | 1,268,080 | ||
1.50%,
5/25/2031
|
EUR | 1,395,000 | 1,794,976 | ||
1.50%, 5/25/2050
(a)
|
EUR | 680,000 | 880,004 | ||
1.75%,
5/25/2023
|
EUR | 1,305,000 | 1,578,682 | ||
1.75%,
11/25/2024
|
EUR | 1,100,000 | 1,363,192 | ||
1.75%, 6/25/2039
(a)
|
EUR | 550,000 | 747,073 |
Security Description |
Principal
Amount |
Value | |||
1.75%, 5/25/2066
(a)
|
EUR | 335,000 | $ 468,921 | ||
2.00%, 5/25/2048
(a)
|
EUR | 785,000 | 1,131,729 | ||
2.25%,
10/25/2022
|
EUR | 1,090,000 | 1,321,191 | ||
2.25%,
5/25/2024
|
EUR | 1,090,000 | 1,368,603 | ||
2.50%,
5/25/2030
|
EUR | 1,245,000 | 1,738,510 | ||
2.75%,
10/25/2027
|
EUR | 1,260,000 | 1,729,394 | ||
3.00%,
4/25/2022
|
EUR | 1,440,000 | 1,751,766 | ||
3.25%,
10/25/2021
|
EUR | 1,185,000 | 1,423,938 | ||
3.25%,
5/25/2045
|
EUR | 835,000 | 1,469,002 | ||
3.50%,
4/25/2026
|
EUR | 1,180,000 | 1,637,681 | ||
3.75%,
4/25/2021
|
EUR | 1,400,000 | 1,661,939 | ||
4.00%,
10/25/2038
|
EUR | 770,000 | 1,396,401 | ||
4.00%,
4/25/2055
|
EUR | 495,000 | 1,057,928 | ||
4.00%,
4/25/2060
|
EUR | 375,000 | 836,732 | ||
4.25%,
10/25/2023
|
EUR | 1,200,000 | 1,592,867 | ||
4.50%,
4/25/2041
|
EUR | 960,000 | 1,904,390 | ||
4.75%,
4/25/2035
|
EUR | 815,000 | 1,504,687 | ||
5.50%,
4/25/2029
|
EUR | 1,050,000 | 1,778,610 | ||
5.75%,
10/25/2032
|
EUR | 1,246,000 | 2,368,895 | ||
6.00%,
10/25/2025
|
EUR | 1,050,000 | 1,610,510 | ||
8.50%,
4/25/2023
|
EUR | 310,000 | 453,310 | ||
55,955,557 | |||||
GERMANY — 4.5% | |||||
Bundesrepublik Deutschland: | |||||
Zero Coupon,
3/12/2021
|
EUR | 560,000 | 633,644 | ||
Zero Coupon,
6/11/2021
|
EUR | 800,000 | 906,248 | ||
Zero Coupon,
9/10/2021
|
EUR | 250,000 | 283,599 | ||
Zero Coupon,
8/15/2026
|
EUR | 987,000 | 1,136,340 | ||
Zero Coupon,
8/15/2029
|
EUR | 600,000 | 685,644 | ||
Zero Coupon,
8/15/2050
|
EUR | 250,000 | 252,394 | ||
0.25%,
2/15/2027
|
EUR | 1,200,000 | 1,406,117 | ||
0.25%, 8/15/2028
(b)
|
EUR | 630,000 | 738,806 | ||
0.50%,
8/15/2027
|
EUR | 970,000 | 1,158,558 | ||
0.50%,
2/15/2028
|
EUR | 845,000 | 1,010,867 | ||
1.25%,
8/15/2048
|
EUR | 640,000 | 901,793 | ||
Series 98, 4.75%,
7/4/2028
|
EUR | 419,000 | 673,226 | ||
Series 08, 4.75%,
7/4/2040
|
EUR | 100,000 | 216,914 | ||
Series 94, 6.25%,
1/4/2024
|
EUR | 415,000 | 593,997 | ||
Federal Republic of Germany: | |||||
Series 173, Zero Coupon,
4/9/2021
|
EUR | 960,000 | 1,086,262 | ||
Series 174, Zero Coupon,
10/8/2021
|
EUR | 750,000 | 851,125 | ||
Series 175, Zero Coupon,
4/8/2022
|
EUR | 695,000 | 791,050 |
Security Description |
Principal
Amount |
Value | |||
Series 176, Zero Coupon,
10/7/2022
|
EUR | 710,000 | $ 809,812 | ||
Series 177, Zero Coupon,
4/14/2023
|
EUR | 665,000 | 760,690 | ||
Series 178, Zero Coupon,
10/13/2023
|
EUR | 605,000 | 693,115 | ||
Series 179, Zero Coupon,
4/5/2024
|
EUR | 550,000 | 630,988 | ||
Series 180, Zero Coupon,
10/18/2024
|
EUR | 300,000 | 344,499 | ||
0.25%,
2/15/2029
|
EUR | 850,000 | 995,940 | ||
0.50%,
2/15/2025
|
EUR | 998,000 | 1,176,446 | ||
0.50%,
2/15/2026
|
EUR | 1,135,000 | 1,345,893 | ||
1.00%,
8/15/2024
|
EUR | 815,000 | 978,940 | ||
1.00%,
8/15/2025
|
EUR | 918,000 | 1,114,775 | ||
1.50%,
9/4/2022
|
EUR | 720,000 | 853,929 | ||
1.50%,
2/15/2023
|
EUR | 760,000 | 908,892 | ||
1.50%,
5/15/2023
|
EUR | 695,000 | 835,031 | ||
1.50%,
5/15/2024
|
EUR | 724,000 | 885,043 | ||
1.75%,
7/4/2022
|
EUR | 950,000 | 1,129,614 | ||
1.75%,
2/15/2024
|
EUR | 700,000 | 860,163 | ||
2.00%,
1/4/2022
|
EUR | 750,000 | 886,873 | ||
2.00%,
8/15/2023
|
EUR | 700,000 | 859,120 | ||
2.25%,
9/4/2021
|
EUR | 650,000 | 764,914 | ||
2.50%,
1/4/2021
|
EUR | 760,000 | 881,132 | ||
2.50%,
7/4/2044
|
EUR | 1,032,000 | 1,777,402 | ||
2.50%,
8/15/2046
|
EUR | 1,075,000 | 1,891,120 | ||
3.25%,
7/4/2021
|
EUR | 1,030,000 | 1,223,926 | ||
3.25%,
7/4/2042
|
EUR | 550,000 | 1,032,312 | ||
Series 05, 4.00%,
1/4/2037
|
EUR | 942,000 | 1,762,685 | ||
Series 2007, 4.25%,
7/4/2039
|
EUR | 550,000 | 1,111,193 | ||
Series 03, 4.75%,
7/4/2034
|
EUR | 755,000 | 1,439,082 | ||
Series 08, 4.75%,
7/4/2040
|
EUR | 525,000 | 1,138,798 | ||
Series 00, 5.50%,
1/4/2031
|
EUR | 690,000 | 1,261,756 | ||
Series 98, 5.63%,
1/4/2028
|
EUR | 613,000 | 1,018,793 | ||
Series 00, 6.25%,
1/4/2030
|
EUR | 400,000 | 742,286 | ||
Series 97, 6.50%,
7/4/2027
|
EUR | 450,000 | 767,280 | ||
46,209,026 | |||||
HONG KONG — 0.1% | |||||
Hong Kong Government Bond Programme: | |||||
1.10%,
1/17/2023
|
HKD | 1,600,000 | 201,553 | ||
1.16%,
5/18/2022
|
HKD | 1,150,000 | 145,509 | ||
1.25%,
6/29/2027
|
HKD | 450,000 | 55,590 | ||
1.68%,
1/21/2026
|
HKD | 450,000 | 57,409 | ||
1.89%,
3/2/2032
|
HKD | 300,000 | 38,546 | ||
1.97%,
1/17/2029
|
HKD | 400,000 | 51,846 | ||
2.22%,
8/7/2024
|
HKD | 1,100,000 | 143,831 |
Security Description |
Principal
Amount |
Value | |||
2.46%,
8/4/2021
|
HKD | 1,700,000 | $ 220,302 | ||
914,586 | |||||
HUNGARY — 0.5% | |||||
Hungary Government Bond: | |||||
Series 21/C, 0.50%,
4/21/2021
|
HUF | 113,800,000 | 388,369 | ||
Series 22/C, 1.50%,
8/24/2022
|
HUF | 131,000,000 | 458,063 | ||
Series 22/B, 1.75%,
10/26/2022
|
HUF | 160,520,000 | 565,535 | ||
Series 21/B, 2.50%,
10/27/2021
|
HUF | 91,950,000 | 326,018 | ||
Series 24/C, 2.50%,
10/24/2024
|
HUF | 26,000,000 | 94,624 | ||
Series 26/D, 2.75%,
12/22/2026
|
HUF | 84,930,000 | 313,367 | ||
Series 24/B, 3.00%,
6/26/2024
|
HUF | 118,130,000 | 439,731 | ||
Series 27/A, 3.00%,
10/27/2027
|
HUF | 179,260,000 | 668,826 | ||
Series 31/A, 3.25%,
10/22/2031
|
HUF | 27,000,000 | 101,005 | ||
Series 25/B, 5.50%,
6/24/2025
|
HUF | 88,720,000 | 371,299 | ||
Series 23/A, 6.00%,
11/24/2023
|
HUF | 144,460,000 | 593,885 | ||
Series 28/A, 6.75%,
10/22/2028
|
HUF | 92,270,000 | 438,802 | ||
Series 22/A, 7.00%,
6/24/2022
|
HUF | 104,500,000 | 415,384 | ||
5,174,908 | |||||
INDONESIA — 2.2% | |||||
Indonesia Treasury Bond: | |||||
Series FR63, 5.63%,
5/15/2023
|
IDR | 25,435,000,000 | 1,799,406 | ||
Series FR64, 6.13%,
5/15/2028
|
IDR | 73,700,000,000 | 5,000,943 | ||
Series FR65, 6.63%,
5/15/2033
|
IDR | 65,700,000,000 | 4,364,489 | ||
Series FR61, 7.00%,
5/15/2022
|
IDR | 41,740,000,000 | 3,060,783 | ||
Series FR59, 7.00%,
5/15/2027
|
IDR | 25,200,000,000 | 1,808,116 | ||
Series FR75, 7.50%,
5/15/2038
|
IDR | 41,200,000,000 | 2,930,703 | ||
Series FR53, 8.25%,
7/15/2021
|
IDR | 12,285,000,000 | 917,513 | ||
Series FR70, 8.38%,
3/15/2024
|
IDR | 31,500,000,000 | 2,430,925 | ||
22,312,878 | |||||
IRELAND — 1.6% | |||||
Ireland Government Bond: | |||||
Zero Coupon,
10/18/2022
|
EUR | 675,000 | 766,354 |
Security Description |
Principal
Amount |
Value | |||
0.80%,
3/15/2022
|
EUR | 845,000 | $ 974,300 | ||
0.90%,
5/15/2028
|
EUR | 1,049,000 | 1,261,816 | ||
1.00%,
5/15/2026
|
EUR | 1,100,000 | 1,321,654 | ||
1.10%,
5/15/2029
|
EUR | 900,000 | 1,102,304 | ||
1.30%,
5/15/2033
|
EUR | 530,000 | 663,997 | ||
1.35%,
3/18/2031
|
EUR | 539,000 | 677,652 | ||
1.50%,
5/15/2050
|
EUR | 500,000 | 640,983 | ||
1.70%,
5/15/2037
|
EUR | 735,000 | 977,440 | ||
2.00%,
2/18/2045
|
EUR | 1,065,000 | 1,525,974 | ||
2.40%,
5/15/2030
|
EUR | 1,150,000 | 1,582,973 | ||
3.40%,
3/18/2024
|
EUR | 1,070,000 | 1,389,630 | ||
3.90%,
3/20/2023
|
EUR | 865,000 | 1,106,021 | ||
5.40%,
3/13/2025
|
EUR | 1,425,000 | 2,065,527 | ||
16,056,625 | |||||
ISRAEL — 0.9% | |||||
Israel Government Bond: | |||||
Series 0121, 0.50%,
1/31/2021
|
ILS | 2,020,000 | 586,649 | ||
Series 0722, 0.75%,
7/31/2022
|
ILS | 620,000 | 181,566 | ||
Series 0421, 1.00%,
4/30/2021
|
ILS | 1,640,000 | 479,826 | ||
Series 1122, 1.25%,
11/30/2022
|
ILS | 1,460,000 | 434,246 | ||
Series 1123, 1.50%,
11/30/2023
|
ILS | 1,790,000 | 540,676 | ||
Series 0825, 1.75%,
8/31/2025
|
ILS | 2,240,000 | 691,232 | ||
Series 0327, 2.00%,
3/31/2027
|
ILS | 1,490,000 | 470,026 | ||
Series 0928, 2.25%,
9/28/2028
|
ILS | 2,450,000 | 791,892 | ||
Series 0324, 3.75%,
3/31/2024
|
ILS | 2,190,000 | 723,412 | ||
Series 0347, 3.75%,
3/31/2047
|
ILS | 1,685,000 | 682,144 | ||
Series 0323, 4.25%,
3/31/2023
|
ILS | 2,069,000 | 674,559 | ||
Series 0122, 5.50%,
1/31/2022
|
ILS | 2,150,000 | 690,951 | ||
Series 0142, 5.50%,
1/31/2042
|
ILS | 2,305,000 | 1,143,571 | ||
Series 1026, 6.25%,
10/30/2026
|
ILS | 2,090,000 | 829,879 | ||
8,920,629 | |||||
ITALY — 5.0% | |||||
Italy Buoni Poliennali Del Tesoro: | |||||
0.05%,
4/15/2021
|
EUR | 270,000 | 303,893 | ||
0.35%,
11/1/2021
|
EUR | 525,000 | 593,725 | ||
0.45%,
6/1/2021
|
EUR | 545,000 | 616,886 | ||
0.65%,
10/15/2023
|
EUR | 520,000 | 591,171 | ||
0.90%,
8/1/2022
|
EUR | 870,000 | 995,735 | ||
0.95%,
3/1/2023
|
EUR | 435,000 | 498,770 | ||
0.95%,
3/15/2023
|
EUR | 665,000 | 763,166 |
Security Description |
Principal
Amount |
Value | |||
1.00%,
7/15/2022
|
EUR | 400,000 | $ 459,057 | ||
1.20%,
4/1/2022
|
EUR | 485,000 | 558,269 | ||
1.25%,
12/1/2026
|
EUR | 530,000 | 608,120 | ||
1.45%,
11/15/2024
|
EUR | 510,000 | 595,924 | ||
1.45%,
5/15/2025
|
EUR | 450,000 | 524,069 | ||
1.60%,
6/1/2026
|
EUR | 516,000 | 605,706 | ||
1.75%,
7/1/2024
|
EUR | 150,000 | 177,264 | ||
1.85%,
5/15/2024
|
EUR | 555,000 | 659,579 | ||
2.00%,
2/1/2028
|
EUR | 1,005,000 | 1,205,167 | ||
2.05%,
8/1/2027
|
EUR | 790,000 | 948,661 | ||
2.20%,
6/1/2027
|
EUR | 685,000 | 830,954 | ||
2.25%, 9/1/2036
(a)
|
EUR | 495,000 | 582,566 | ||
2.30%,
10/15/2021
|
EUR | 665,000 | 777,664 | ||
Series 5Y, 2.45%,
10/1/2023
|
EUR | 485,000 | 586,136 | ||
2.45%, 9/1/2033
(a)
|
EUR | 490,000 | 598,269 | ||
2.50%,
11/15/2025
|
EUR | 300,000 | 369,036 | ||
2.80%,
12/1/2028
|
EUR | 640,000 | 813,246 | ||
2.80%, 3/1/2067
(a)
|
EUR | 295,000 | 344,714 | ||
2.95%, 9/1/2038
(a)
|
EUR | 639,000 | 811,585 | ||
3.00%,
8/1/2029
|
EUR | 600,000 | 775,670 | ||
3.10%, 3/1/2040
(a)
|
EUR | 200,000 | 256,830 | ||
3.45%, 3/1/2048
(a)
|
EUR | 375,000 | 511,892 | ||
3.75%, 8/1/2021
(a)
|
EUR | 750,000 | 892,976 | ||
3.85%, 9/1/2049
(a)
|
EUR | 430,000 | 624,632 | ||
7.25%,
11/1/2026
|
EUR | 566,000 | 898,872 | ||
9.00%,
11/1/2023
|
EUR | 500,000 | 745,368 | ||
Republic of Italy: | |||||
1.35%,
4/15/2022
|
EUR | 550,000 | 635,029 | ||
1.45%,
9/15/2022
|
EUR | 560,000 | 650,652 | ||
1.50%,
6/1/2025
|
EUR | 804,000 | 938,432 | ||
1.65%, 3/1/2032
(a)
|
EUR | 910,000 | 1,032,185 | ||
2.00%,
12/1/2025
|
EUR | 807,000 | 968,495 | ||
2.15%,
12/15/2021
|
EUR | 500,000 | 585,041 | ||
2.50%,
12/1/2024
|
EUR | 520,000 | 635,894 | ||
2.70%, 3/1/2047
(a)
|
EUR | 485,000 | 585,929 | ||
3.25%, 9/1/2046
(a)
|
EUR | 560,000 | 742,140 | ||
3.50%, 3/1/2030
(a)
|
EUR | 830,000 | 1,116,019 | ||
3.75%,
3/1/2021
|
EUR | 590,000 | 693,117 | ||
3.75%, 5/1/2021
(a)
|
EUR | 500,000 | 590,345 | ||
3.75%,
9/1/2024
|
EUR | 630,000 | 809,751 | ||
4.00%, 2/1/2037
(a)
|
EUR | 840,000 | 1,212,097 | ||
4.50%,
5/1/2023
|
EUR | 930,000 | 1,188,980 | ||
4.50%,
3/1/2024
|
EUR | 705,000 | 922,298 | ||
4.50%, 3/1/2026
(a)
|
EUR | 794,000 | 1,086,897 | ||
4.75%,
9/1/2021
|
EUR | 630,000 | 763,890 | ||
4.75%, 8/1/2023
(a)
|
EUR | 830,000 | 1,078,506 | ||
4.75%, 9/1/2028
(a)
|
EUR | 675,000 | 978,098 | ||
4.75%, 9/1/2044
(a)
|
EUR | 515,000 | 836,321 | ||
5.00%,
3/1/2022
|
EUR | 585,000 | 727,345 | ||
5.00%, 3/1/2025
(a)
|
EUR | 900,000 | 1,231,747 | ||
5.00%, 8/1/2034
(a)
|
EUR | 802,000 | 1,264,358 | ||
5.00%, 8/1/2039
(a)
|
EUR | 660,000 | 1,076,538 | ||
5.00%, 9/1/2040
(a)
|
EUR | 670,000 | 1,093,104 | ||
5.25%,
11/1/2029
|
EUR | 857,000 | 1,305,504 |
Security Description |
Principal
Amount |
Value | |||
5.50%,
9/1/2022
|
EUR | 400,000 | $ 513,180 | ||
5.50%,
11/1/2022
|
EUR | 900,000 | 1,162,038 | ||
5.75%,
2/1/2033
|
EUR | 744,000 | 1,230,263 | ||
6.00%,
5/1/2031
|
EUR | 750,000 | 1,234,862 | ||
6.50%,
11/1/2027
|
EUR | 930,000 | 1,464,417 | ||
51,479,044 | |||||
JAPAN — 22.3% | |||||
Government of Japan 2 Year Bond: | |||||
Series 396, 0.10%,
1/1/2021
|
JPY | 207,500,000 | 1,913,659 | ||
Series 402, 0.10%,
7/1/2021
|
JPY | 69,000,000 | 637,117 | ||
Series 397, 0.10%,
2/1/2021
|
JPY | 106,000,000 | 977,756 | ||
Series 398, 0.10%,
3/1/2021
|
JPY | 113,000,000 | 1,042,501 | ||
Series 400, 0.10%,
5/1/2021
|
JPY | 100,000,000 | 922,945 | ||
Government of Japan 5 Year Bond: | |||||
Series 127, 0.10%,
3/20/2021
|
JPY | 255,300,000 | 2,355,737 | ||
Series 128, 0.10%,
6/20/2021
|
JPY | 240,900,000 | 2,224,238 | ||
Series 129, 0.10%,
9/20/2021
|
JPY | 161,500,000 | 1,492,131 | ||
Series 130, 0.10%,
12/20/2021
|
JPY | 98,500,000 | 910,532 | ||
Series 131, 0.10%,
3/20/2022
|
JPY | 200,300,000 | 1,852,676 | ||
Series 132, 0.10%,
6/20/2022
|
JPY | 327,000,000 | 3,026,303 | ||
Series 133, 0.10%,
9/20/2022
|
JPY | 230,150,000 | 2,131,569 | ||
Series 134, 0.10%,
12/20/2022
|
JPY | 272,150,000 | 2,521,685 | ||
Series 135, 0.10%,
3/20/2023
|
JPY | 269,300,000 | 2,497,037 | ||
Series 136, 0.10%,
6/20/2023
|
JPY | 213,000,000 | 1,976,142 | ||
Series 137, 0.10%,
9/20/2023
|
JPY | 188,200,000 | 1,746,957 | ||
Series 138, 0.10%,
12/20/2023
|
JPY | 201,000,000 | 1,866,419 | ||
Series 139, 0.10%,
3/20/2024
|
JPY | 375,000,000 | 3,484,092 | ||
Series 140, 0.10%,
6/20/2024
|
JPY | 150,000,000 | 1,394,134 | ||
Series 141, 0.10%,
9/20/2024
|
JPY | 295,000,000 | 2,742,910 | ||
Government of Japan 10 Year Bond: | |||||
Series 342, 0.10%,
3/20/2026
|
JPY | 250,500,000 | 2,336,041 | ||
Series 343, 0.10%,
6/20/2026
|
JPY | 240,000,000 | 2,239,691 |
Security Description |
Principal
Amount |
Value | |||
Series 344, 0.10%,
9/20/2026
|
JPY | 282,550,000 | $ 2,637,497 | ||
Series 345, 0.10%,
12/20/2026
|
JPY | 262,250,000 | 2,448,439 | ||
Series 346, 0.10%,
3/20/2027
|
JPY | 192,250,000 | 1,794,510 | ||
Series 347, 0.10%,
6/20/2027
|
JPY | 267,000,000 | 2,493,474 | ||
Series 348, 0.10%,
9/20/2027
|
JPY | 289,000,000 | 2,699,647 | ||
Series 349, 0.10%,
12/20/2027
|
JPY | 240,200,000 | 2,243,635 | ||
Series 350, 0.10%,
3/20/2028
|
JPY | 277,550,000 | 2,591,565 | ||
Series 351, 0.10%,
6/20/2028
|
JPY | 247,500,000 | 2,310,251 | ||
Series 352, 0.10%,
9/20/2028
|
JPY | 246,150,000 | 2,296,403 | ||
Series 353, 0.10%,
12/20/2028
|
JPY | 165,000,000 | 1,537,859 | ||
Series 354, 0.10%,
3/20/2029
|
JPY | 150,000,000 | 1,397,253 | ||
Series 355, 0.10%,
6/20/2029
|
JPY | 390,000,000 | 3,630,957 | ||
Series 356, 0.10%,
9/20/2029
|
JPY | 120,000,000 | 1,116,654 | ||
Series 337, 0.30%,
12/20/2024
|
JPY | 141,750,000 | 1,331,974 | ||
Series 341, 0.30%,
12/20/2025
|
JPY | 261,150,000 | 2,463,954 | ||
Series 338, 0.40%,
3/20/2025
|
JPY | 200,450,000 | 1,895,177 | ||
Series 339, 0.40%,
6/20/2025
|
JPY | 267,500,000 | 2,532,407 | ||
Series 340, 0.40%,
9/20/2025
|
JPY | 131,350,000 | 1,245,103 | ||
Series 335, 0.50%,
9/20/2024
|
JPY | 219,250,000 | 2,077,181 | ||
Series 336, 0.50%,
12/20/2024
|
JPY | 98,700,000 | 936,522 | ||
Series 328, 0.60%,
3/20/2023
|
JPY | 349,000,000 | 3,287,199 | ||
Series 331, 0.60%,
9/20/2023
|
JPY | 77,000,000 | 727,814 | ||
Series 332, 0.60%,
12/20/2023
|
JPY | 245,000,000 | 2,319,919 | ||
Series 333, 0.60%,
3/20/2024
|
JPY | 238,250,000 | 2,259,971 | ||
Series 334, 0.60%,
6/20/2024
|
JPY | 252,950,000 | 2,403,205 | ||
Series 326, 0.70%,
12/20/2022
|
JPY | 85,000,000 | 801,421 | ||
Series 324, 0.80%,
6/20/2022
|
JPY | 89,950,000 | 846,693 | ||
Series 325, 0.80%,
9/20/2022
|
JPY | 250,000,000 | 2,358,523 |
Security Description |
Principal
Amount |
Value | |||
Series 327, 0.80%,
12/20/2022
|
JPY | 195,600,000 | $ 1,849,556 | ||
Series 329, 0.80%,
6/20/2023
|
JPY | 230,000,000 | 2,185,101 | ||
Series 330, 0.80%,
9/20/2023
|
JPY | 195,750,000 | 1,863,709 | ||
Series 322, 0.90%,
3/20/2022
|
JPY | 135,000,000 | 1,270,547 | ||
Series 323, 0.90%,
6/20/2022
|
JPY | 95,500,000 | 901,105 | ||
Series 318, 1.00%,
9/20/2021
|
JPY | 190,000,000 | 1,782,390 | ||
Series 320, 1.00%,
12/20/2021
|
JPY | 212,150,000 | 1,995,508 | ||
Series 321, 1.00%,
3/20/2022
|
JPY | 220,000,000 | 2,075,014 | ||
Series 316, 1.10%,
6/20/2021
|
JPY | 100,000,000 | 936,793 | ||
Series 317, 1.10%,
9/20/2021
|
JPY | 70,000,000 | 657,771 | ||
Series 319, 1.10%,
12/20/2021
|
JPY | 100,000,000 | 942,425 | ||
Series 315, 1.20%,
6/20/2021
|
JPY | 95,000,000 | 891,230 | ||
Series 313, 1.30%,
3/20/2021
|
JPY | 160,000,000 | 1,497,794 | ||
Government of Japan 20 Year Bond: | |||||
Series 157, 0.20%,
6/20/2036
|
JPY | 124,650,000 | 1,148,351 | ||
Series 156, 0.40%,
3/20/2036
|
JPY | 113,900,000 | 1,083,787 | ||
Series 168, 0.40%,
3/20/2039
|
JPY | 60,000,000 | 564,842 | ||
Series 158, 0.50%,
9/20/2036
|
JPY | 121,300,000 | 1,170,597 | ||
Series 164, 0.50%,
3/20/2038
|
JPY | 125,000,000 | 1,201,852 | ||
Series 165, 0.50%,
6/20/2038
|
JPY | 90,000,000 | 864,928 | ||
Series 167, 0.50%,
12/20/2038
|
JPY | 140,000,000 | 1,343,253 | ||
Series 159, 0.60%,
12/20/2036
|
JPY | 95,050,000 | 931,477 | ||
Series 161, 0.60%,
6/20/2037
|
JPY | 97,150,000 | 951,306 | ||
Series 162, 0.60%,
9/20/2037
|
JPY | 80,000,000 | 782,686 | ||
Series 163, 0.60%,
12/20/2037
|
JPY | 186,000,000 | 1,819,950 | ||
Series 160, 0.70%,
3/20/2037
|
JPY | 101,450,000 | 1,009,898 | ||
Series 166, 0.70%,
9/20/2038
|
JPY | 95,000,000 | 943,907 | ||
Series 62, 0.80%,
6/20/2023
|
JPY | 60,000,000 | 570,026 |
Security Description |
Principal
Amount |
Value | |||
Series 61, 1.00%,
3/20/2023
|
JPY | 47,500,000 | $ 453,037 | ||
Series 155, 1.00%,
12/20/2035
|
JPY | 117,500,000 | 1,220,951 | ||
Series 151, 1.20%,
12/20/2034
|
JPY | 130,000,000 | 1,382,588 | ||
Series 152, 1.20%,
3/20/2035
|
JPY | 125,000,000 | 1,330,101 | ||
Series 154, 1.20%,
9/20/2035
|
JPY | 104,950,000 | 1,119,930 | ||
Series 153, 1.30%,
6/20/2035
|
JPY | 130,000,000 | 1,403,366 | ||
Series 60, 1.40%,
12/20/2022
|
JPY | 50,000,000 | 480,994 | ||
Series 150, 1.40%,
9/20/2034
|
JPY | 170,000,000 | 1,851,518 | ||
Series 144, 1.50%,
3/20/2033
|
JPY | 24,300,000 | 264,779 | ||
Series 148, 1.50%,
3/20/2034
|
JPY | 110,000,000 | 1,208,618 | ||
Series 149, 1.50%,
6/20/2034
|
JPY | 150,000,000 | 1,650,435 | ||
Series 136, 1.60%,
3/20/2032
|
JPY | 92,150,000 | 1,006,421 | ||
Series 143, 1.60%,
3/20/2033
|
JPY | 150,000,000 | 1,652,450 | ||
Series 147, 1.60%,
12/20/2033
|
JPY | 170,000,000 | 1,885,479 | ||
Series 140, 1.70%,
9/20/2032
|
JPY | 200,000,000 | 2,217,124 | ||
Series 141, 1.70%,
12/20/2032
|
JPY | 130,000,000 | 1,445,150 | ||
Series 145, 1.70%,
6/20/2033
|
JPY | 156,150,000 | 1,744,196 | ||
Series 146, 1.70%,
9/20/2033
|
JPY | 175,000,000 | 1,959,259 | ||
Series 122, 1.80%,
9/20/2030
|
JPY | 55,650,000 | 609,695 | ||
Series 130, 1.80%,
9/20/2031
|
JPY | 160,000,000 | 1,773,066 | ||
Series 133, 1.80%,
12/20/2031
|
JPY | 150,000,000 | 1,667,026 | ||
Series 142, 1.80%,
12/20/2032
|
JPY | 130,000,000 | 1,460,498 | ||
Series 58, 1.90%,
9/20/2022
|
JPY | 60,000,000 | 582,609 | ||
Series 65, 1.90%,
12/20/2023
|
JPY | 55,000,000 | 547,014 | ||
Series 108, 1.90%,
12/20/2028
|
JPY | 83,200,000 | 899,808 | ||
Series 109, 1.90%,
3/20/2029
|
JPY | 54,300,000 | 589,183 | ||
Series 121, 1.90%,
9/20/2030
|
JPY | 78,600,000 | 868,864 | ||
Series 127, 1.90%,
3/20/2031
|
JPY | 55,000,000 | 611,663 |
Security Description |
Principal
Amount |
Value | |||
Series 73, 2.00%,
12/20/2024
|
JPY | 85,000,000 | $ 864,916 | ||
Series 77, 2.00%,
3/20/2025
|
JPY | 30,000,000 | 306,725 | ||
Series 93, 2.00%,
3/20/2027
|
JPY | 80,000,000 | 848,571 | ||
Series 124, 2.00%,
12/20/2030
|
JPY | 50,000,000 | 559,591 | ||
Series 52, 2.10%,
9/21/2021
|
JPY | 40,000,000 | 382,248 | ||
Series 72, 2.10%,
9/20/2024
|
JPY | 70,000,000 | 711,897 | ||
Series 82, 2.10%,
9/20/2025
|
JPY | 45,000,000 | 466,948 | ||
Series 92, 2.10%,
12/20/2026
|
JPY | 100,000,000 | 1,062,627 | ||
Series 94, 2.10%,
3/20/2027
|
JPY | 80,000,000 | 853,922 | ||
Series 96, 2.10%,
6/20/2027
|
JPY | 63,000,000 | 675,525 | ||
Series 99, 2.10%,
12/20/2027
|
JPY | 140,000,000 | 1,514,486 | ||
Series 105, 2.10%,
9/20/2028
|
JPY | 54,000,000 | 590,788 | ||
Series 107, 2.10%,
12/20/2028
|
JPY | 100,000,000 | 1,097,971 | ||
Series 113, 2.10%,
9/20/2029
|
JPY | 116,250,000 | 1,290,126 | ||
Series 117, 2.10%,
3/20/2030
|
JPY | 189,650,000 | 2,120,049 | ||
Series 90, 2.20%,
9/20/2026
|
JPY | 60,000,000 | 638,316 | ||
Series 97, 2.20%,
9/20/2027
|
JPY | 84,700,000 | 918,291 | ||
Series 100, 2.20%,
3/20/2028
|
JPY | 83,000,000 | 907,703 | ||
Series 106, 2.20%,
9/20/2028
|
JPY | 50,000,000 | 551,056 | ||
Series 115, 2.20%,
12/20/2029
|
JPY | 40,000,000 | 449,089 | ||
Series 125, 2.20%,
3/20/2031
|
JPY | 48,650,000 | 556,045 | ||
Series 95, 2.30%,
6/20/2027
|
JPY | 100,000,000 | 1,086,101 | ||
Series 102, 2.40%,
6/20/2028
|
JPY | 58,600,000 | 652,524 | ||
Government of Japan 30 Year Bond: | |||||
Series 51, 0.30%,
6/20/2046
|
JPY | 75,000,000 | 677,088 | ||
Series 63, 0.40%,
6/20/2049
|
JPY | 40,000,000 | 366,756 | ||
Series 64, 0.40%,
9/20/2049
|
JPY | 60,000,000 | 549,394 | ||
Series 52, 0.50%,
9/20/2046
|
JPY | 87,500,000 | 829,871 |
Security Description |
Principal
Amount |
Value | |||
Series 62, 0.50%,
3/20/2049
|
JPY | 55,000,000 | $ 518,167 | ||
Series 53, 0.60%,
12/20/2046
|
JPY | 14,650,000 | 142,282 | ||
Series 59, 0.70%,
6/20/2048
|
JPY | 67,000,000 | 665,721 | ||
Series 61, 0.70%,
12/20/2048
|
JPY | 70,000,000 | 695,440 | ||
Series 50, 0.80%,
3/20/2046
|
JPY | 79,650,000 | 811,400 | ||
Series 54, 0.80%,
3/20/2047
|
JPY | 88,150,000 | 897,674 | ||
Series 55, 0.80%,
6/20/2047
|
JPY | 84,650,000 | 862,733 | ||
Series 56, 0.80%,
9/20/2047
|
JPY | 68,750,000 | 700,367 | ||
Series 57, 0.80%,
12/20/2047
|
JPY | 73,250,000 | 745,852 | ||
Series 58, 0.80%,
3/20/2048
|
JPY | 102,150,000 | 1,039,857 | ||
Series 60, 0.90%,
9/20/2048
|
JPY | 61,650,000 | 643,060 | ||
Series 48, 1.40%,
9/20/2045
|
JPY | 84,000,000 | 969,314 | ||
Series 49, 1.40%,
12/20/2045
|
JPY | 84,650,000 | 978,583 | ||
Series 45, 1.50%,
12/20/2044
|
JPY | 65,000,000 | 761,518 | ||
Series 46, 1.50%,
3/20/2045
|
JPY | 79,650,000 | 934,985 | ||
Series 47, 1.60%,
6/20/2045
|
JPY | 75,000,000 | 898,413 | ||
Series 11, 1.70%,
6/20/2033
|
JPY | 42,150,000 | 470,816 | ||
Series 41, 1.70%,
12/20/2043
|
JPY | 63,000,000 | 760,562 | ||
Series 42, 1.70%,
3/20/2044
|
JPY | 59,650,000 | 721,761 | ||
Series 43, 1.70%,
6/20/2044
|
JPY | 50,000,000 | 605,714 | ||
Series 44, 1.70%,
9/20/2044
|
JPY | 67,000,000 | 813,507 | ||
Series 38, 1.80%,
3/20/2043
|
JPY | 70,000,000 | 854,969 | ||
Series 40, 1.80%,
9/20/2043
|
JPY | 70,000,000 | 858,319 | ||
Series 37, 1.90%,
9/20/2042
|
JPY | 85,000,000 | 1,051,951 | ||
Series 39, 1.90%,
6/20/2043
|
JPY | 66,450,000 | 827,068 | ||
Series 13, 2.00%,
12/20/2033
|
JPY | 70,000,000 | 811,710 | ||
Series 33, 2.00%,
9/20/2040
|
JPY | 106,200,000 | 1,311,329 | ||
Series 35, 2.00%,
9/20/2041
|
JPY | 102,500,000 | 1,276,942 |
Security Description |
Principal
Amount |
Value | |||
Series 36, 2.00%,
3/20/2042
|
JPY | 105,000,000 | $ 1,314,068 | ||
Series 34, 2.20%,
3/20/2041
|
JPY | 105,550,000 | 1,349,068 | ||
Series 21, 2.30%,
12/20/2035
|
JPY | 30,000,000 | 368,094 | ||
Series 25, 2.30%,
12/20/2036
|
JPY | 18,400,000 | 228,302 | ||
Series 30, 2.30%,
3/20/2039
|
JPY | 105,900,000 | 1,341,731 | ||
Series 32, 2.30%,
3/20/2040
|
JPY | 153,650,000 | 1,971,244 | ||
Series 26, 2.40%,
3/20/2037
|
JPY | 40,000,000 | 503,755 | ||
Series 29, 2.40%,
9/20/2038
|
JPY | 80,000,000 | 1,023,757 | ||
Series 16, 2.50%,
9/20/2034
|
JPY | 70,000,000 | 865,353 | ||
Series 20, 2.50%,
9/20/2035
|
JPY | 30,000,000 | 375,732 | ||
Series 22, 2.50%,
3/20/2036
|
JPY | 40,000,000 | 503,877 | ||
Series 24, 2.50%,
9/20/2036
|
JPY | 30,000,000 | 380,373 | ||
Series 27, 2.50%,
9/20/2037
|
JPY | 47,950,000 | 614,797 | ||
Government of Japan 40 Year Bond: | |||||
Series 9, 0.40%,
3/20/2056
|
JPY | 97,250,000 | 884,078 | ||
Series 12, 0.50%,
3/20/2059
|
JPY | 35,000,000 | 328,676 | ||
Series 11, 0.80%,
3/20/2058
|
JPY | 68,000,000 | 704,334 | ||
Series 10, 0.90%,
3/20/2057
|
JPY | 96,750,000 | 1,031,573 | ||
Series 8, 1.40%,
3/20/2055
|
JPY | 68,750,000 | 832,085 | ||
Series 7, 1.70%,
3/20/2054
|
JPY | 65,000,000 | 838,765 | ||
Series 6, 1.90%,
3/20/2053
|
JPY | 60,000,000 | 803,467 | ||
Series 5, 2.00%,
3/20/2052
|
JPY | 60,000,000 | 813,786 | ||
Series 2, 2.20%,
3/20/2049
|
JPY | 39,650,000 | 543,928 | ||
Series 3, 2.20%,
3/20/2050
|
JPY | 39,650,000 | 548,726 | ||
Series 4, 2.20%,
3/20/2051
|
JPY | 53,050,000 | 741,504 | ||
Series 1, 2.40%,
3/20/2048
|
JPY | 30,000,000 | 423,246 | ||
229,592,061 | |||||
LATVIA — 0.1% | |||||
Republic of Latvia: | |||||
0.38%,
10/7/2026
|
EUR | 150,000 | 171,321 |
Security Description |
Principal
Amount |
Value | |||
Series GMTN, 1.38%,
9/23/2025
|
EUR | 100,000 | $ 120,994 | ||
1.38%,
5/16/2036
|
EUR | 150,000 | 188,622 | ||
Series 7, 2.25%,
2/15/2047
|
EUR | 200,000 | 294,095 | ||
Series REGS, 2.63%,
1/21/2021
|
EUR | 150,000 | 173,303 | ||
Series EMTN, 2.88%,
4/30/2024
|
EUR | 100,000 | 127,122 | ||
1,075,457 | |||||
LITHUANIA — 0.1% | |||||
Lithuania Government International Bond: | |||||
Series EMTN, 0.95%,
5/26/2027
|
EUR | 170,000 | 202,159 | ||
Series EMTN, 1.25%,
10/22/2025
|
EUR | 150,000 | 179,799 | ||
Series EMTN, 2.10%,
5/26/2047
|
EUR | 55,000 | 78,407 | ||
Series EMTN, 2.13%,
10/29/2026
|
EUR | 100,000 | 127,748 | ||
Series EMTN, 2.13%,
10/22/2035
|
EUR | 190,000 | 263,137 | ||
Series EMTN, 3.38%,
1/22/2024
|
EUR | 100,000 | 128,160 | ||
979,410 | |||||
LUXEMBOURG — 0.1% | |||||
Luxembourg Government Bond: | |||||
0.63%,
2/1/2027
|
EUR | 400,000 | 473,138 | ||
2.13%,
7/10/2023
|
EUR | 290,000 | 355,637 | ||
2.25%,
3/21/2022
|
EUR | 100,000 | 119,223 | ||
2.25%,
3/19/2028
|
EUR | 80,000 | 106,906 | ||
1,054,904 | |||||
MALAYSIA — 1.9% | |||||
Malaysia Government Bond: | |||||
Series 0517, 3.44%,
2/15/2021
|
MYR | 790,000 | 194,187 | ||
Series 0416, 3.62%,
11/30/2021
|
MYR | 2,000,000 | 494,452 | ||
Series 0513, 3.73%,
6/15/2028
|
MYR | 2,300,000 | 576,669 | ||
Series 0215, 3.80%,
9/30/2022
|
MYR | 2,000,000 | 498,084 | ||
Series 0116, 3.80%,
8/17/2023
|
MYR | 1,500,000 | 375,153 | ||
Series 0413, 3.84%,
4/15/2033
|
MYR | 2,200,000 | 548,365 | ||
Series 0117, 3.88%,
3/10/2022
|
MYR | 2,100,000 | 522,882 | ||
Series 0316, 3.90%,
11/30/2026
|
MYR | 1,000,000 | 252,774 |
Security Description |
Principal
Amount |
Value | |||
Series 0417, 3.90%,
11/16/2027
|
MYR | 6,570,000 | $ 1,664,647 | ||
Series 0115, 3.96%,
9/15/2025
|
MYR | 1,900,000 | 481,014 | ||
Series 0314, 4.05%,
9/30/2021
|
MYR | 2,850,000 | 708,798 | ||
Series 0217, 4.06%,
9/30/2024
|
MYR | 2,500,000 | 633,822 | ||
Series 0412, 4.13%,
4/15/2032
|
MYR | 1,500,000 | 385,439 | ||
Series 0111, 4.16%,
7/15/2021
|
MYR | 2,000,000 | 497,398 | ||
Series 0114, 4.18%,
7/15/2024
|
MYR | 2,295,000 | 584,583 | ||
Series 0411, 4.23%,
6/30/2031
|
MYR | 1,720,000 | 446,129 | ||
Series 0415, 4.25%,
5/31/2035
|
MYR | 1,850,000 | 479,947 | ||
Series 0311, 4.39%,
4/15/2026
|
MYR | 2,000,000 | 519,103 | ||
Series 0216, 4.74%,
3/15/2046
|
MYR | 3,570,000 | 959,653 | ||
Series 0317, 4.76%,
4/7/2037
|
MYR | 3,420,000 | 937,571 | ||
Series 0713, 4.94%,
9/30/2043
|
MYR | 1,110,000 | 308,944 | ||
Malaysia Government Investment Issue: | |||||
Series 0613, 3.72%,
3/23/2021
|
MYR | 2,000,000 | 492,844 | ||
Series 0216, 3.74%,
8/26/2021
|
MYR | 1,373,000 | 339,253 | ||
Series 0113, 3.87%,
8/8/2028
|
MYR | 1,250,000 | 314,672 | ||
Series 0317, 3.95%,
4/14/2022
|
MYR | 1,312,000 | 326,604 | ||
Series 0415, 3.99%,
10/15/2025
|
MYR | 1,250,000 | 315,776 | ||
Series 0217, 4.05%,
8/15/2024
|
MYR | 1,850,000 | 467,950 | ||
Series 0316, 4.07%,
9/30/2026
|
MYR | 3,300,000 | 839,650 | ||
Series 0115, 4.19%,
7/15/2022
|
MYR | 565,000 | 141,675 | ||
Series 0315, 4.25%,
9/30/2030
|
MYR | 1,000,000 | 259,677 | ||
Series 0117, 4.26%,
7/26/2027
|
MYR | 3,620,000 | 933,862 | ||
Series 0116, 4.39%,
7/7/2023
|
MYR | 3,025,000 | 769,769 | ||
Series 0813, 4.44%,
5/22/2024
|
MYR | 2,380,000 | 610,882 | ||
Series 0513, 4.58%,
8/30/2033
|
MYR | 1,385,000 | 370,055 | ||
Series 0617, 4.72%,
6/15/2033
|
MYR | 1,000,000 | 270,897 |
Security Description |
Principal
Amount |
Value | |||
Series 0517, 4.76%,
8/4/2037
|
MYR | 2,100,000 | $ 571,730 | ||
Series 0615, 4.79%,
10/31/2035
|
MYR | 920,000 | 250,067 | ||
Series 0417, 4.90%,
5/8/2047
|
MYR | 1,580,000 | 433,701 | ||
Series 0913, 4.94%,
12/6/2028
|
MYR | 725,000 | 196,950 | ||
19,975,628 | |||||
MEXICO — 2.0% | |||||
Mexican Bonos: | |||||
Series M, 5.75%,
3/5/2026
|
MXN | 21,745,000 | 1,090,935 | ||
Series M, 6.50%,
6/10/2021
|
MXN | 31,170,000 | 1,644,199 | ||
Series M, 6.50%,
6/9/2022
|
MXN | 46,850,000 | 2,466,497 | ||
Series M, 7.25%,
12/9/2021
|
MXN | 25,015,000 | 1,335,595 | ||
Series M 20, 7.50%,
6/3/2027
|
MXN | 37,285,000 | 2,050,497 | ||
Series M, 7.75%,
5/29/2031
|
MXN | 18,030,000 | 1,018,508 | ||
Series M, 7.75%,
11/23/2034
|
MXN | 13,190,000 | 747,864 | ||
Series M, 7.75%,
11/13/2042
|
MXN | 24,710,000 | 1,387,667 | ||
Series M, 8.00%,
12/7/2023
|
MXN | 28,440,000 | 1,568,673 | ||
Series M, 8.00%,
9/5/2024
|
MXN | 19,300,000 | 1,072,283 | ||
Series M, 8.00%,
11/7/2047
|
MXN | 18,040,000 | 1,046,146 | ||
Series M 20, 8.50%,
5/31/2029
|
MXN | 25,860,000 | 1,524,198 | ||
Series M 30, 8.50%,
11/18/2038
|
MXN | 16,205,000 | 978,470 | ||
Series M 20, 10.00%,
12/5/2024
|
MXN | 33,160,000 | 1,993,024 | ||
Series M 30, 10.00%,
11/20/2036
|
MXN | 10,800,000 | 738,511 | ||
20,663,067 | |||||
NETHERLANDS — 4.2% | |||||
Kingdom of Netherlands: | |||||
Zero Coupon, 1/15/2022
(a)
|
EUR | 1,660,000 | 1,885,337 | ||
0.25%, 7/15/2025
(a)
|
EUR | 2,005,000 | 2,324,700 | ||
0.50%, 1/15/2040
(a)
|
EUR | 911,000 | 1,062,772 | ||
1.75%, 7/15/2023
(a)
|
EUR | 2,210,000 | 2,682,977 | ||
2.00%, 7/15/2024
(a)
|
EUR | 1,895,000 | 2,363,047 | ||
2.25%, 7/15/2022
(a)
|
EUR | 1,795,000 | 2,161,494 | ||
2.50%, 1/15/2033
(a)
|
EUR | 1,670,000 | 2,463,720 | ||
2.75%, 1/15/2047
(a)
|
EUR | 1,850,000 | 3,366,792 | ||
3.25%, 7/15/2021
(a)
|
EUR | 1,855,000 | 2,206,434 | ||
3.75%,
1/15/2023
|
EUR | 1,315,000 | 1,672,037 |
Security Description |
Principal
Amount |
Value | |||
3.75%, 1/15/2042
(a)
|
EUR | 1,885,000 | $ 3,690,962 | ||
4.00%, 1/15/2037
(a)
|
EUR | 1,870,000 | 3,439,333 | ||
5.50%,
1/15/2028
|
EUR | 1,640,000 | 2,684,215 | ||
Netherlands Government Bond: | |||||
Zero Coupon, 1/15/2024
(a)
|
EUR | 2,019,000 | 2,309,087 | ||
0.25%, 7/15/2029
(a)
|
EUR | 1,270,000 | 1,467,039 | ||
0.50%, 7/15/2026
(a)
|
EUR | 1,825,000 | 2,153,924 | ||
0.75%, 7/15/2027
(a)
|
EUR | 1,930,000 | 2,321,688 | ||
0.75%, 7/15/2028
(a)
|
EUR | 1,550,000 | 1,872,450 | ||
7.50%, 1/15/2023
(a)
|
EUR | 431,000 | 603,905 | ||
42,731,913 | |||||
NEW ZEALAND — 0.5% | |||||
New Zealand Government Bond: | |||||
1.50%,
5/15/2031
|
NZD | 310,000 | 202,301 | ||
Series 0425, 2.75%,
4/15/2025
|
NZD | 1,065,000 | 769,149 | ||
Series 0437, 2.75%,
4/15/2037
|
NZD | 800,000 | 589,904 | ||
Series 0429, 3.00%,
4/20/2029
|
NZD | 880,000 | 662,161 | ||
Series 0433, 3.50%,
4/14/2033
|
NZD | 550,000 | 440,159 | ||
Series 0427, 4.50%,
4/15/2027
|
NZD | 670,000 | 544,382 | ||
Series 0423, 5.50%,
4/15/2023
|
NZD | 1,040,000 | 798,421 | ||
Series 0521, 6.00%,
5/15/2021
|
NZD | 1,375,000 | 988,301 | ||
4,994,778 | |||||
NORWAY — 0.5% | |||||
Norway Government Bond: | |||||
Series 478, 1.50%, 2/19/2026
(a)
|
NOK | 4,842,000 | 554,053 | ||
Series 477, 1.75%, 3/13/2025
(a)
|
NOK | 4,110,000 | 475,952 | ||
Series 479, 1.75%, 2/17/2027
(a)
|
NOK | 3,955,000 | 458,597 | ||
Series 481, 1.75%, 9/6/2029
(a)
|
NOK | 3,790,000 | 438,759 | ||
Series 475, 2.00%, 5/24/2023
(a)
|
NOK | 8,650,000 | 1,003,354 | ||
Series 480, 2.00%, 4/26/2028
(a)
|
NOK | 4,430,000 | 523,145 | ||
Series 476, 3.00%, 3/14/2024
(a)
|
NOK | 7,137,000 | 864,744 | ||
Series 474, 3.75%, 5/25/2021
(a)
|
NOK | 10,710,000 | 1,259,269 | ||
5,577,873 | |||||
POLAND — 1.3% | |||||
Poland Government Bond: |
Security Description |
Principal
Amount |
Value | |||
Series 0521, Zero Coupon,
5/25/2021
|
PLN | 1,250,000 | $ 323,632 | ||
Series 0721, 1.75%,
7/25/2021
|
PLN | 2,970,000 | 787,525 | ||
Series 0421, 2.00%,
4/25/2021
|
PLN | 3,540,000 | 941,713 | ||
Series 0422, 2.25%,
4/25/2022
|
PLN | 3,425,000 | 917,864 | ||
Series 1024, 2.25%,
10/25/2024
|
PLN | 1,650,000 | 444,171 | ||
Series 0123, 2.50%,
1/25/2023
|
PLN | 4,190,000 | 1,133,194 | ||
Series 0424, 2.50%,
4/25/2024
|
PLN | 3,845,000 | 1,045,207 | ||
Series 0726, 2.50%,
7/25/2026
|
PLN | 4,605,000 | 1,252,442 | ||
Series 0727, 2.50%,
7/25/2027
|
PLN | 4,275,000 | 1,160,563 | ||
Series 0428, 2.75%,
4/25/2028
|
PLN | 3,720,000 | 1,028,429 | ||
Series 1029, 2.75%,
10/25/2029
|
PLN | 2,500,000 | 695,489 | ||
Series 0725, 3.25%,
7/25/2025
|
PLN | 3,490,000 | 984,841 | ||
Series 1023, 4.00%,
10/25/2023
|
PLN | 3,180,000 | 909,171 | ||
Series 0447, 4.00%,
4/25/2047
|
PLN | 440,000 | 150,880 | ||
Series 1021, 5.75%,
10/25/2021
|
PLN | 2,120,000 | 602,101 | ||
Series 0922, 5.75%,
9/23/2022
|
PLN | 3,484,000 | 1,020,114 | ||
Series 0429, 5.75%,
4/25/2029
|
PLN | 1,185,000 | 413,522 | ||
13,810,858 | |||||
PORTUGAL — 2.0% | |||||
Portugal Obrigacoes do Tesouro OT: | |||||
1.95%, 6/15/2029
(a)
|
EUR | 1,150,000 | 1,471,567 | ||
2.13%, 10/17/2028
(a)
|
EUR | 1,320,000 | 1,704,917 | ||
2.20%, 10/17/2022
(a)
|
EUR | 1,225,000 | 1,472,711 | ||
Series 15Y, 2.25%, 4/18/2034
(a)
|
EUR | 833,000 | 1,116,721 | ||
2.88%, 10/15/2025
(a)
|
EUR | 1,485,000 | 1,934,482 | ||
2.88%, 7/21/2026
(a)
|
EUR | 1,180,000 | 1,556,425 | ||
3.85%, 4/15/2021
(a)
|
EUR | 995,000 | 1,180,315 | ||
3.88%, 2/15/2030
(a)
|
EUR | 740,000 | 1,107,148 | ||
4.10%, 4/15/2037
(a)
|
EUR | 1,105,000 | 1,845,520 | ||
4.10%, 2/15/2045
(a)
|
EUR | 530,000 | 941,911 | ||
4.13%, 4/14/2027
(a)
|
EUR | 1,130,000 | 1,620,996 | ||
4.95%, 10/25/2023
(a)
|
EUR | 1,524,000 | 2,046,142 | ||
5.65%, 2/15/2024
(a)
|
EUR | 1,600,000 | 2,223,806 | ||
20,222,661 |
Security Description |
Principal
Amount |
Value | |||
RUSSIA — 1.2% | |||||
Russian Federal Bond - OFZ: | |||||
Series 6223, 6.50%,
2/28/2024
|
RUB | 35,600,000 | $ 586,692 | ||
Series 6224, 6.90%,
5/23/2029
|
RUB | 48,000,000 | 814,562 | ||
Series 5083, 7.00%,
12/15/2021
|
RUB | 36,820,000 | 608,505 | ||
Series 6211, 7.00%,
1/25/2023
|
RUB | 12,330,000 | 206,438 | ||
Series 6215, 7.00%,
8/16/2023
|
RUB | 32,620,000 | 546,241 | ||
Series 6212, 7.05%,
1/19/2028
|
RUB | 52,510,000 | 892,593 | ||
Series 6222, 7.10%,
10/16/2024
|
RUB | 49,690,000 | 838,425 | ||
Series 6229, 7.15%,
11/12/2025
|
RUB | 13,500,000 | 228,743 | ||
Series 6225, 7.25%,
5/10/2034
|
RUB | 43,030,000 | 746,827 | ||
Series 6220, 7.40%,
12/7/2022
|
RUB | 36,430,000 | 613,814 | ||
Series 6227, 7.40%,
7/17/2024
|
RUB | 41,300,000 | 702,305 | ||
Series 6217, 7.50%,
8/18/2021
|
RUB | 39,950,000 | 662,111 | ||
Series 6205, 7.60%,
4/14/2021
|
RUB | 19,010,000 | 315,031 | ||
Series 6209, 7.60%,
7/20/2022
|
RUB | 38,060,000 | 641,259 | ||
Series 6221, 7.70%,
3/23/2033
|
RUB | 58,580,000 | 1,052,089 | ||
Series 6219, 7.75%,
9/16/2026
|
RUB | 25,480,000 | 447,058 | ||
Series 6226, 7.95%,
10/7/2026
|
RUB | 45,000,000 | 797,319 | ||
Series 6207, 8.15%,
2/3/2027
|
RUB | 51,365,000 | 924,485 | ||
Series 6218, 8.50%,
9/17/2031
|
RUB | 40,040,000 | 761,982 | ||
12,386,479 | |||||
SINGAPORE — 1.0% | |||||
Singapore Government Bond: | |||||
1.25%,
10/1/2021
|
SGD | 995,000 | 736,344 | ||
1.75%,
4/1/2022
|
SGD | 415,000 | 310,020 | ||
1.75%,
2/1/2023
|
SGD | 670,000 | 501,365 | ||
2.00%,
2/1/2024
|
SGD | 130,000 | 98,399 | ||
2.13%,
6/1/2026
|
SGD | 745,000 | 570,967 | ||
2.25%,
6/1/2021
|
SGD | 1,070,000 | 803,694 | ||
2.25%,
8/1/2036
|
SGD | 495,000 | 387,056 | ||
2.38%,
6/1/2025
|
SGD | 540,000 | 418,565 | ||
2.38%,
7/1/2039
|
SGD | 250,000 | 199,626 | ||
2.63%,
5/1/2028
|
SGD | 790,000 | 629,186 | ||
2.75%,
7/1/2023
|
SGD | 1,135,000 | 878,237 |
Security Description |
Principal
Amount |
Value | |||
2.75%,
4/1/2042
|
SGD | 660,000 | $ 552,771 | ||
2.75%,
3/1/2046
|
SGD | 930,000 | 781,009 | ||
2.88%,
7/1/2029
|
SGD | 540,000 | 440,964 | ||
2.88%,
9/1/2030
|
SGD | 550,000 | 452,613 | ||
3.00%,
9/1/2024
|
SGD | 900,000 | 712,490 | ||
3.13%,
9/1/2022
|
SGD | 800,000 | 619,518 | ||
3.38%,
9/1/2033
|
SGD | 800,000 | 702,452 | ||
3.50%,
3/1/2027
|
SGD | 1,030,000 | 861,068 | ||
10,656,344 | |||||
SLOVAKIA — 0.5% | |||||
Slovakia Government Bond: | |||||
Series 230, Zero Coupon,
11/13/2023
|
EUR | 260,000 | 293,146 | ||
Series 231, 0.63%,
5/22/2026
|
EUR | 220,000 | 256,866 | ||
Series 234, 1.00%,
6/12/2028
|
EUR | 270,000 | 325,868 | ||
Series 228, 1.38%,
1/21/2027
|
EUR | 450,000 | 550,950 | ||
Series 229, 1.63%,
1/21/2031
|
EUR | 360,000 | 461,879 | ||
Series 232, 1.88%,
3/9/2037
|
EUR | 465,000 | 618,979 | ||
Series 233, 2.00%,
10/17/2047
|
EUR | 178,000 | 252,414 | ||
Series 235, 2.25%,
6/12/2068
|
EUR | 70,000 | 111,848 | ||
Series 225, 3.00%,
2/28/2023
|
EUR | 395,000 | 487,499 | ||
Series 223, 3.38%,
11/15/2024
|
EUR | 445,000 | 584,204 | ||
Series 227, 3.63%,
1/16/2029
|
EUR | 430,000 | 632,907 | ||
Series 216, 4.35%,
10/14/2025
|
EUR | 180,000 | 254,944 | ||
Slovakia Government International Bond Series EMTN, 4.00%,
3/26/2021
|
EUR | 135,000 | 160,251 | ||
4,991,755 | |||||
SLOVENIA — 0.4% | |||||
Slovenia Government Bond: | |||||
Series RS80, 1.00%,
3/6/2028
|
EUR | 335,000 | 401,001 | ||
Series RS81, 1.19%,
3/14/2029
|
EUR | 200,000 | 242,626 | ||
Series RS79, 1.25%,
3/22/2027
|
EUR | 450,000 | 548,045 | ||
Series RS74, 1.50%,
3/25/2035
|
EUR | 275,000 | 344,370 | ||
Series RS78, 1.75%,
11/3/2040
|
EUR | 370,000 | 480,320 | ||
Series RS75, 2.13%,
7/28/2025
|
EUR | 180,000 | 227,518 |
Security Description |
Principal
Amount |
Value | |||
Series RS73, 2.25%,
3/25/2022
|
EUR | 155,000 | $ 184,481 | ||
Series RS77, 2.25%,
3/3/2032
|
EUR | 190,000 | 259,553 | ||
Series RS71, 3.00%,
4/8/2021
|
EUR | 150,000 | 175,757 | ||
Series RS76, 3.13%,
8/7/2045
|
EUR | 145,000 | 236,795 | ||
Series RS69, 4.38%,
1/18/2021
|
EUR | 170,000 | 200,194 | ||
Series RS66, 4.63%,
9/9/2024
|
EUR | 210,000 | 289,341 | ||
Series RS70, 5.13%,
3/30/2026
|
EUR | 135,000 | 200,514 | ||
3,790,515 | |||||
SOUTH KOREA — 4.6% | |||||
Korea Treasury Bond: | |||||
Series 2109, 1.38%,
9/10/2021
|
KRW | 2,029,740,000 | 1,754,964 | ||
Series 2612, 1.50%,
12/10/2026
|
KRW | 2,039,150,000 | 1,748,267 | ||
Series 3609, 1.50%,
9/10/2036
|
KRW | 685,690,000 | 574,764 | ||
Series 2012, 1.75%,
12/10/2020
|
KRW | 300,000,000 | 260,359 | ||
Series 2606, 1.88%,
6/10/2026
|
KRW | 2,300,000,000 | 2,021,419 | ||
Series 2103, 2.00%,
3/10/2021
|
KRW | 4,430,000,000 | 3,859,677 | ||
Series 2209, 2.00%,
9/10/2022
|
KRW | 768,690,000 | 674,477 | ||
Series 4603, 2.00%,
3/10/2046
|
KRW | 2,825,000,000 | 2,593,278 | ||
Series 4903, 2.00%,
3/10/2049
|
KRW | 600,000,000 | 554,397 | ||
Series 2706, 2.13%,
6/10/2027
|
KRW | 3,607,370,000 | 3,221,584 | ||
Series 4703, 2.13%,
3/10/2047
|
KRW | 4,018,330,000 | 3,789,749 | ||
Series 2506, 2.25%,
6/10/2025
|
KRW | 1,049,940,000 | 939,642 | ||
Series 2512, 2.25%,
12/10/2025
|
KRW | 1,566,000,000 | 1,404,507 | ||
Series 3709, 2.25%,
9/10/2037
|
KRW | 500,000,000 | 467,754 | ||
Series 3509, 2.63%,
9/10/2035
|
KRW | 939,210,000 | 913,746 | ||
Series 4412, 2.75%,
12/10/2044
|
KRW | 2,448,000,000 | 2,563,049 | ||
Series 2409, 3.00%,
9/10/2024
|
KRW | 1,644,000,000 | 1,517,622 | ||
Series 4212, 3.00%,
12/10/2042
|
KRW | 1,421,780,000 | 1,529,440 | ||
Series 2309, 3.38%,
9/10/2023
|
KRW | 2,109,090,000 | 1,946,541 |
Security Description |
Principal
Amount |
Value | |||
Series 2403, 3.50%,
3/10/2024
|
KRW | 1,455,830,000 | $ 1,359,496 | ||
Series 2206, 3.75%,
6/10/2022
|
KRW | 1,827,000,000 | 1,667,474 | ||
Series 3312, 3.75%,
12/10/2033
|
KRW | 1,686,250,000 | 1,824,903 | ||
Series 3112, 4.00%,
12/10/2031
|
KRW | 1,622,640,000 | 1,748,055 | ||
Series 2106, 4.25%,
6/10/2021
|
KRW | 2,410,320,000 | 2,169,661 | ||
Series 3012, 4.75%,
12/10/2030
|
KRW | 885,050,000 | 996,075 | ||
Series 2006, 5.00%,
6/10/2020
|
KRW | 4,000 | 3 | ||
Series 2803, 5.50%,
3/10/2028
|
KRW | 4,337,000,000 | 4,838,116 | ||
46,939,019 | |||||
SPAIN — 4.6% | |||||
Kingdom of Spain: | |||||
0.05%,
1/31/2021
|
EUR | 775,000 | 874,339 | ||
1.40%, 4/30/2028
(a)
|
EUR | 600,000 | 732,539 | ||
1.40%, 7/30/2028
(a)
|
EUR | 915,000 | 1,117,528 | ||
1.60%, 4/30/2025
(a)
|
EUR | 1,042,000 | 1,269,209 | ||
1.85%, 7/30/2035
(a)
|
EUR | 598,000 | 767,726 | ||
1.95%, 4/30/2026
(a)
|
EUR | 800,000 | 1,001,753 | ||
1.95%, 7/30/2030
(a)
|
EUR | 1,120,000 | 1,440,248 | ||
2.15%, 10/31/2025
(a)
|
EUR | 1,000,000 | 1,259,319 | ||
Series 30Y, 2.70%, 10/31/2048
(a)
|
EUR | 688,000 | 1,024,776 | ||
2.75%, 10/31/2024
(a)
|
EUR | 1,035,000 | 1,319,909 | ||
3.80%, 4/30/2024
(a)
|
EUR | 940,000 | 1,233,035 | ||
4.20%, 1/31/2037
(a)
|
EUR | 915,000 | 1,565,986 | ||
4.40%, 10/31/2023
(a)
|
EUR | 908,000 | 1,197,850 | ||
4.65%, 7/30/2025
(a)
|
EUR | 970,000 | 1,367,934 | ||
4.70%, 7/30/2041
(a)
|
EUR | 840,000 | 1,597,366 | ||
4.80%, 1/31/2024
(a)
|
EUR | 729,000 | 982,977 | ||
4.90%, 7/30/2040
(a)
|
EUR | 835,000 | 1,607,213 | ||
5.15%, 10/31/2028
(a)
|
EUR | 875,000 | 1,388,685 | ||
5.15%, 10/31/2044
(a)
|
EUR | 615,000 | 1,275,956 | ||
5.40%, 1/31/2023
(a)
|
EUR | 930,000 | 1,226,459 | ||
5.50%, 4/30/2021
(a)
|
EUR | 990,000 | 1,198,714 | ||
5.75%,
7/30/2032
|
EUR | 1,125,000 | 2,047,000 | ||
5.85%, 1/31/2022
(a)
|
EUR | 980,000 | 1,242,920 | ||
5.90%, 7/30/2026
(a)
|
EUR | 1,070,000 | 1,652,462 | ||
6.00%,
1/31/2029
|
EUR | 1,111,000 | 1,871,291 | ||
Spain Government Bond: | |||||
0.05%,
10/31/2021
|
EUR | 855,000 | 967,575 | ||
Series 5YR, 0.25%, 7/30/2024
(a)
|
EUR | 621,000 | 707,467 | ||
0.35%,
7/30/2023
|
EUR | 870,000 | 996,121 | ||
0.40%,
4/30/2022
|
EUR | 870,000 | 994,071 | ||
0.45%,
10/31/2022
|
EUR | 875,000 | 1,003,504 | ||
0.60%, 10/31/2029
(a)
|
EUR | 550,000 | 625,346 | ||
0.75%,
7/30/2021
|
EUR | 1,369,000 | 1,565,300 | ||
1.30%, 10/31/2026
(a)
|
EUR | 1,130,000 | 1,365,834 |
Security Description |
Principal
Amount |
Value | |||
1.45%, 10/31/2027
(a)
|
EUR | 953,000 | $ 1,166,960 | ||
1.45%, 4/30/2029
(a)
|
EUR | 910,000 | 1,116,063 | ||
1.50%, 4/30/2027
(a)
|
EUR | 870,000 | 1,066,929 | ||
2.35%, 7/30/2033
(a)
|
EUR | 820,000 | 1,112,997 | ||
2.90%, 10/31/2046
(a)
|
EUR | 750,000 | 1,150,752 | ||
3.45%, 7/30/2066
(a)
|
EUR | 480,000 | 854,724 | ||
46,956,837 | |||||
SWEDEN — 0.7% | |||||
Kingdom of Sweden: | |||||
Series 1060, 0.75%,
5/12/2028
|
SEK | 5,960,000 | 674,661 | ||
Series 1061, 0.75%, 11/12/2029
(a)
|
SEK | 5,385,000 | 608,811 | ||
Series 1059, 1.00%,
11/12/2026
|
SEK | 7,240,000 | 829,145 | ||
Series 1057, 1.50%, 11/13/2023
(a)
|
SEK | 10,410,000 | 1,187,416 | ||
Series 1056, 2.25%,
6/1/2032
|
SEK | 2,550,000 | 335,601 | ||
Series 1058, 2.50%,
5/12/2025
|
SEK | 7,290,000 | 890,135 | ||
Series 1054, 3.50%,
6/1/2022
|
SEK | 12,775,000 | 1,491,022 | ||
Series 1053, 3.50%,
3/30/2039
|
SEK | 5,655,000 | 930,144 | ||
6,946,935 | |||||
SWITZERLAND — 1.0% | |||||
Switzerland Government Bond: | |||||
Zero Coupon,
6/22/2029
|
CHF | 350,000 | 378,131 | ||
0.50%,
5/27/2030
|
CHF | 460,000 | 521,351 | ||
0.50%,
6/27/2032
|
CHF | 130,000 | 148,842 | ||
0.50%,
6/28/2045
|
CHF | 70,000 | 84,591 | ||
0.50%,
5/24/2055
|
CHF | 170,000 | 215,370 | ||
0.50%,
5/30/2058
|
CHF | 155,000 | 199,545 | ||
1.25%,
6/11/2024
|
CHF | 435,000 | 487,492 | ||
1.25%,
5/28/2026
|
CHF | 300,000 | 346,641 | ||
1.25%,
6/27/2037
|
CHF | 460,000 | 597,223 | ||
1.50%,
7/24/2025
|
CHF | 360,000 | 415,823 | ||
1.50%,
4/30/2042
|
CHF | 495,000 | 702,718 | ||
2.00%,
4/28/2021
|
CHF | 440,000 | 470,935 | ||
2.00%,
5/25/2022
|
CHF | 400,000 | 440,403 | ||
2.00%,
6/25/2064
|
CHF | 280,000 | 553,818 | ||
2.25%,
6/22/2031
|
CHF | 270,000 | 364,647 | ||
2.50%,
3/8/2036
|
CHF | 425,000 | 634,803 | ||
3.25%,
6/27/2027
|
CHF | 340,000 | 452,421 | ||
3.50%,
4/8/2033
|
CHF | 490,000 | 766,310 | ||
4.00%,
2/11/2023
|
CHF | 495,000 | 586,670 | ||
4.00%,
4/8/2028
|
CHF | 635,000 | 906,332 | ||
4.00%,
1/6/2049
|
CHF | 300,000 | 689,107 | ||
9,963,173 |
Security Description |
Principal
Amount |
Value | |||
THAILAND — 2.1% | |||||
Thailand Government Bond: | |||||
1.88%,
6/17/2022
|
THB | 15,800,000 | $ 536,140 | ||
2.00%,
12/17/2022
|
THB | 33,665,000 | 1,149,737 | ||
2.13%,
12/17/2026
|
THB | 69,700,000 | 2,442,264 | ||
2.40%,
12/17/2023
|
THB | 8,000,000 | 278,844 | ||
2.88%,
6/17/2046
|
THB | 34,850,000 | 1,368,665 | ||
3.40%,
6/17/2036
|
THB | 17,710,000 | 730,585 | ||
3.58%,
12/17/2027
|
THB | 16,000,000 | 620,438 | ||
3.63%,
6/16/2023
|
THB | 37,640,000 | 1,358,036 | ||
3.65%,
12/17/2021
|
THB | 45,260,000 | 1,582,833 | ||
3.78%,
6/25/2032
|
THB | 22,000,000 | 908,386 | ||
3.85%,
12/12/2025
|
THB | 31,600,000 | 1,207,320 | ||
4.00%,
6/17/2066
|
THB | 25,430,000 | 1,257,948 | ||
4.26%,
12/12/2037
|
THB | 87,200,000 | 3,925,183 | ||
4.68%,
6/29/2044
|
THB | 21,340,000 | 1,084,302 | ||
4.75%,
12/20/2024
|
THB | 5,000,000 | 194,750 | ||
4.85%,
6/17/2061
|
THB | 22,010,000 | 1,249,820 | ||
4.88%,
6/22/2029
|
THB | 34,455,000 | 1,490,719 | ||
Series 06-5, 5.85%,
3/31/2021
|
THB | 14,150,000 | 499,205 | ||
21,885,175 | |||||
UNITED KINGDOM — 5.3% | |||||
United Kingdom Treasury Bond: | |||||
0.50%,
7/22/2022
|
GBP | 905,000 | 1,197,790 | ||
0.63%,
6/7/2025
|
GBP | 570,000 | 754,066 | ||
0.75%,
7/22/2023
|
GBP | 880,000 | 1,172,461 | ||
1.00%,
4/22/2024
|
GBP | 775,000 | 1,043,612 | ||
1.25%,
7/22/2027
|
GBP | 620,000 | 855,500 | ||
1.50%,
1/22/2021
|
GBP | 1,185,000 | 1,584,570 | ||
1.50%,
7/22/2026
|
GBP | 750,000 | 1,048,956 | ||
1.50%,
7/22/2047
|
GBP | 725,000 | 995,059 | ||
1.63%,
10/22/2028
|
GBP | 915,000 | 1,302,769 | ||
1.63%,
10/22/2054
|
GBP | 300,000 | 434,434 | ||
1.63%,
10/22/2071
|
GBP | 340,000 | 522,369 | ||
1.75%,
9/7/2022
|
GBP | 905,000 | 1,237,329 | ||
1.75%,
9/7/2037
|
GBP | 690,000 | 987,387 | ||
1.75%,
1/22/2049
|
GBP | 205,000 | 297,889 | ||
1.75%,
7/22/2057
|
GBP | 515,000 | 784,113 | ||
2.00%,
9/7/2025
|
GBP | 875,000 | 1,250,383 | ||
2.25%,
9/7/2023
|
GBP | 870,000 | 1,222,607 | ||
2.50%,
7/22/2065
|
GBP | 595,000 | 1,134,448 | ||
2.75%,
9/7/2024
|
GBP | 880,000 | 1,280,878 | ||
3.25%,
1/22/2044
|
GBP | 850,000 | 1,566,026 | ||
3.50%,
1/22/2045
|
GBP | 690,000 | 1,332,415 | ||
3.50%,
7/22/2068
|
GBP | 610,000 | 1,474,280 | ||
3.75%,
9/7/2021
|
GBP | 930,000 | 1,297,709 | ||
3.75%,
7/22/2052
|
GBP | 735,000 | 1,608,218 | ||
4.00%,
3/7/2022
|
GBP | 930,000 | 1,324,432 | ||
4.00%,
1/22/2060
|
GBP | 710,000 | 1,759,220 | ||
4.25%,
12/7/2027
|
GBP | 1,060,000 | 1,790,558 | ||
4.25%,
6/7/2032
|
GBP | 1,100,000 | 2,013,893 |
Security Description |
Principal
Amount |
Value | |||
4.25%,
3/7/2036
|
GBP | 915,000 | $ 1,763,317 | ||
4.25%,
9/7/2039
|
GBP | 699,000 | 1,409,160 | ||
4.25%,
12/7/2040
|
GBP | 799,000 | 1,631,746 | ||
4.25%,
12/7/2046
|
GBP | 888,000 | 1,949,189 | ||
4.25%,
12/7/2049
|
GBP | 570,000 | 1,298,627 | ||
4.25%,
12/7/2055
|
GBP | 765,000 | 1,885,148 | ||
4.50%,
9/7/2034
|
GBP | 960,000 | 1,857,928 | ||
4.50%,
12/7/2042
|
GBP | 850,000 | 1,834,656 | ||
4.75%,
12/7/2030
|
GBP | 1,060,000 | 1,973,611 | ||
4.75%,
12/7/2038
|
GBP | 750,000 | 1,586,690 | ||
5.00%,
3/7/2025
|
GBP | 1,055,000 | 1,708,804 | ||
6.00%,
12/7/2028
|
GBP | 645,000 | 1,242,501 | ||
8.00%,
6/7/2021
|
GBP | 715,000 | 1,047,088 | ||
54,461,836 | |||||
TOTAL FOREIGN GOVERNMENT OBLIGATIONS
(Cost
$1,017,335,529)
|
1,012,115,653 |
Shares | |||
SHORT-TERM INVESTMENTS — 0.1% | |||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 1.57% (c)
(d)
|
516,327 | 516,327 | |
State Street Navigator Securities Lending Portfolio II (e)
(f)
|
660,550 | 660,550 | |
TOTAL SHORT-TERM INVESTMENTS
(Cost
$1,176,877)
|
1,176,877 | ||
TOTAL INVESTMENTS — 98.5%
(Cost
$1,018,512,406)
|
1,013,292,530 | ||
OTHER ASSETS IN EXCESS OF LIABILITIES — 1.5%
|
15,562,443 | ||
NET ASSETS — 100.0%
|
$ 1,028,854,973 |
(a) | Securities purchased pursuant to Rule 144A of the Securities Act of 1933, as amended. These securities, which represent 20.0% of net assets as of December 31, 2019, are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
(b) | All or a portion of the shares of the security are on loan at December 31, 2019. |
(c) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2019 are shown in the Affiliate Table below. |
(d) | The rate shown is the annualized seven-day yield at December 31, 2019. |
(e) | The Fund invested in an affiliated entity. Amounts related to these transactions during the period ended December 31, 2019 are shown in the Affiliate Table below. |
(f) | Investment of cash collateral for securities loaned. |
EMTN | Euro Medium Term Note |
GMTN | Global Medium Term Note |
AUD | Australian Dollar |
CAD | Canadian Dollar |
CHF | Swiss Franc |
CLP | Chilean Peso |
CNY | China Yuan Renminbi |
CZK | Czech Koruna |
DKK | Danish Krone |
EUR | Euro |
GBP | British Pound |
HKD | Hong Kong Dollar |
HUF | Hungary Forint |
IDR | Indonesia Rupiah |
ILS | Israeli New Shekel |
JPY | Japanese Yen |
KRW | South Korean Won |
MXN | Mexican Peso |
MYR | Malaysian Ringgit |
NOK | Norwegian Krone |
NZD | New Zealand Dollar |
PLN | Polish Zloty |
RUB | Russian Ruble |
SEK | Swedish Krona |
SGD | Singapore Dollar |
THB | Thai Baht |
Description |
Level
1 –
Quoted Prices |
Level
2 –
Other Significant Observable Inputs |
Level
3 –
Significant Unobservable Inputs |
Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Foreign Government
Obligations
|
$ — | $1,012,115,653 | $— | $1,012,115,653 | ||||
Short-Term
Investments
|
1,176,877 | — | — | 1,176,877 | ||||
TOTAL
INVESTMENTS
|
$1,176,877 | $1,012,115,653 | $— | $1,013,292,530 |
Number
of
Shares Held at 6/30/19 |
Value
at
6/30/19 |
Cost
of
Purchases |
Proceeds
from Shares Sold |
Realized
Gain (Loss) |
Change
in
Unrealized Appreciation/ Depreciation |
Number
of
Shares Held at 12/31/19 |
Value
at
12/31/19 |
Dividend
Income |
|||||||||
State Street Institutional U.S. Government Money Market Fund, Class G
Shares
|
13,707,518 | $13,707,518 | $53,217,998 | $66,409,189 | $— | $— | 516,327 | $ 516,327 | $7,924 | ||||||||
State Street Navigator Securities Lending Portfolio
II
|
— | — | 660,550 | — | — | — | 660,550 | 660,550 | 252 | ||||||||
Total
|
$13,707,518 | $53,878,548 | $66,409,189 | $— | $— | $1,176,877 | $8,176 |
Security Description |
Principal
Amount |
Value | ||||
FOREIGN GOVERNMENT OBLIGATIONS — 95.1% | ||||||
AUSTRALIA — 3.8% | ||||||
Australia Government Bond: | ||||||
Series 151, 2.00%,
12/21/2021
|
AUD | 3,375,000 | $ 2,421,928 | |||
Series 153, 2.25%,
11/21/2022
|
AUD | 3,150,000 | 2,298,414 | |||
Series 124, 5.75%,
5/15/2021
|
AUD | 4,950,000 | 3,706,953 | |||
Series 128, 5.75%,
7/15/2022
|
AUD | 3,815,000 | 3,005,755 | |||
11,433,050 | ||||||
AUSTRIA — 2.9% | ||||||
Austria Government Bond: | ||||||
Zero Coupon, 9/20/2022
(a)
|
EUR | 1,150,000 | 1,310,089 | |||
3.40%, 11/22/2022
(a)
|
EUR | 1,600,000 | 2,001,523 | |||
3.50%, 9/15/2021
(a)
|
EUR | 3,025,000 | 3,632,048 | |||
3.65%, 4/20/2022
(a)
|
EUR | 1,520,000 | 1,872,973 | |||
8,816,633 | ||||||
BELGIUM — 3.5% | ||||||
Belgium Government Bond: | ||||||
Series 48, 4.00%,
3/28/2022
|
EUR | 2,595,000 | 3,214,580 | |||
Series 61, 4.25%, 9/28/2021
(a)
|
EUR | 2,970,000 | 3,616,715 | |||
Series 65, 4.25%, 9/28/2022
(a)
|
EUR | 2,750,000 | 3,497,403 | |||
10,328,698 | ||||||
CANADA — 4.6% | ||||||
Canadian Government Bond: | ||||||
0.50%,
3/1/2022
|
CAD | 2,290,000 | 1,721,487 | |||
0.75%,
3/1/2021
|
CAD | 2,500,000 | 1,905,899 | |||
0.75%,
9/1/2021
|
CAD | 2,205,000 | 1,673,980 | |||
1.00%,
9/1/2022
|
CAD | 2,490,000 | 1,885,948 | |||
1.25%,
11/1/2021
|
CAD | 1,050,000 | 803,279 | |||
1.50%,
8/1/2021
|
CAD | 1,250,000 | 960,758 | |||
1.50%,
2/1/2022
|
CAD | 500,000 | 384,095 | |||
1.75%,
5/1/2021
|
CAD | 1,325,000 | 1,022,000 | |||
2.25%,
2/1/2021
|
CAD | 1,220,000 | 945,828 | |||
2.75%,
6/1/2022
|
CAD | 1,610,000 | 1,272,580 | |||
3.25%,
6/1/2021
|
CAD | 1,460,000 | 1,149,592 | |||
13,725,446 | ||||||
CHILE — 0.3% | ||||||
Bonos de la Tesoreria de la Republica en pesos: | ||||||
4.50%,
2/28/2021
|
CLP | 165,000,000 | 226,147 | |||
4.50%,
3/1/2021
|
CLP | 415,000,000 | 568,614 | |||
Series 10YR, 6.00%,
1/1/2022
|
CLP | 30,000,000 | 42,989 | |||
837,750 |
Security Description |
Principal
Amount |
Value | |||
CHINA — 2.1% | |||||
China Government Bond Series 1821, 3.17%,
10/11/2021
|
CNY | 42,200,000 | $ 6,125,547 | ||
CYPRUS — 0.1% | |||||
Cyprus Government International Bond Series EMTN, 3.88%,
5/6/2022
|
EUR | 200,000 | 245,193 | ||
CZECH REPUBLIC — 0.5% | |||||
Czech Republic Government Bond: | |||||
Series 104, 0.75%,
2/23/2021
|
CZK | 4,700,000 | 204,713 | ||
Series 61, 3.85%,
9/29/2021
|
CZK | 13,060,000 | 597,049 | ||
Series 52, 4.70%,
9/12/2022
|
CZK | 16,000,000 | 763,798 | ||
1,565,560 | |||||
DENMARK — 0.8% | |||||
Denmark Government Bond: | |||||
Series 3Y, 0.25%, 11/15/2022
(a)
|
DKK | 2,600,000 | 399,951 | ||
3.00%,
11/15/2021
|
DKK | 12,984,000 | 2,084,384 | ||
2,484,335 | |||||
FINLAND — 1.1% | |||||
Finland Government Bond: | |||||
Series 5Y, Zero Coupon, 4/15/2022
(a)
|
EUR | 920,000 | 1,046,125 | ||
1.63%, 9/15/2022
(a)
|
EUR | 850,000 | 1,010,592 | ||
3.50%, 4/15/2021
(a)
|
EUR | 1,085,000 | 1,282,426 | ||
3,339,143 | |||||
FRANCE — 6.6% | |||||
France Government Bond OAT: | |||||
Zero Coupon,
2/25/2021
|
EUR | 1,820,000 | 2,056,870 | ||
Zero Coupon,
5/25/2021
|
EUR | 1,880,000 | 2,127,793 | ||
Zero Coupon,
2/25/2022
|
EUR | 1,680,000 | 1,906,898 | ||
Zero Coupon,
5/25/2022
|
EUR | 1,900,000 | 2,162,207 | ||
2.25%,
10/25/2022
|
EUR | 2,300,000 | 2,787,834 | ||
3.00%,
4/25/2022
|
EUR | 2,350,000 | 2,858,785 | ||
3.25%,
10/25/2021
|
EUR | 2,480,000 | 2,980,057 | ||
3.75%,
4/25/2021
|
EUR | 2,380,000 | 2,825,296 | ||
8.25%,
4/25/2022
|
EUR | 80,000 | 108,301 | ||
19,814,041 | |||||
GERMANY — 5.3% | |||||
Bundesrepublik Deutschland: | |||||
Zero Coupon,
3/12/2021
|
EUR | 720,000 | 814,685 | ||
Zero Coupon,
6/11/2021
|
EUR | 850,000 | 962,889 | ||
Zero Coupon,
9/10/2021
|
EUR | 850,000 | 964,236 |
Security Description |
Principal
Amount |
Value | |||
Federal Republic of Germany: | |||||
Series 173, Zero Coupon,
4/9/2021
|
EUR | 1,245,000 | $ 1,408,745 | ||
Series 174, Zero Coupon,
10/8/2021
|
EUR | 1,070,000 | 1,214,272 | ||
Series 175, Zero Coupon,
4/8/2022
|
EUR | 1,070,000 | 1,217,875 | ||
Series 176, Zero Coupon,
10/7/2022
|
EUR | 1,200,000 | 1,368,697 | ||
1.50%,
9/4/2022
|
EUR | 970,000 | 1,150,432 | ||
1.75%,
7/4/2022
|
EUR | 1,420,000 | 1,688,475 | ||
2.00%,
1/4/2022
|
EUR | 1,120,000 | 1,324,397 | ||
2.25%,
9/4/2021
|
EUR | 950,000 | 1,117,951 | ||
2.50%,
1/4/2021
|
EUR | 1,085,000 | 1,257,933 | ||
3.25%,
7/4/2021
|
EUR | 1,070,000 | 1,271,457 | ||
15,762,044 | |||||
HONG KONG — 0.2% | |||||
Hong Kong Government Bond Programme: | |||||
1.16%,
5/18/2022
|
HKD | 1,650,000 | 208,773 | ||
2.46%,
8/4/2021
|
HKD | 2,600,000 | 336,933 | ||
545,706 | |||||
HUNGARY — 0.8% | |||||
Hungary Government Bond: | |||||
Series 21/C, 0.50%,
4/21/2021
|
HUF | 139,100,000 | 474,712 | ||
Series 22/C, 1.50%,
8/24/2022
|
HUF | 49,000,000 | 171,337 | ||
Series 22/B, 1.75%,
10/26/2022
|
HUF | 200,000,000 | 704,629 | ||
Series 21/B, 2.50%,
10/27/2021
|
HUF | 120,700,000 | 427,953 | ||
Series 22/A, 7.00%,
6/24/2022
|
HUF | 177,000,000 | 703,568 | ||
2,482,199 | |||||
INDONESIA — 1.5% | |||||
Indonesia Treasury Bond Series FR61, 7.00%,
5/15/2022
|
IDR | 28,300,000,000 | 2,075,231 | ||
Perusahaan Penerbit SBSN Indonesia Series PBS, 6.50%,
5/15/2021
|
IDR | 34,600,000,000 | 2,514,062 | ||
4,589,293 | |||||
IRELAND — 0.8% | |||||
Ireland Government Bond: | |||||
Zero Coupon,
10/18/2022
|
EUR | 800,000 | 908,271 | ||
0.80%,
3/15/2022
|
EUR | 1,390,000 | 1,602,695 | ||
2,510,966 | |||||
ISRAEL — 1.2% | |||||
Israel Government Bond: |
Security Description |
Principal
Amount |
Value | |||
Series 0121, 0.50%,
1/31/2021
|
ILS | 2,480,000 | $ 720,242 | ||
Series 0722, 0.75%,
7/31/2022
|
ILS | 510,000 | 149,353 | ||
Series 0421, 1.00%,
4/30/2021
|
ILS | 3,290,000 | 962,577 | ||
Series 1122, 1.25%,
11/30/2022
|
ILS | 2,200,000 | 654,344 | ||
Series 0122, 5.50%,
1/31/2022
|
ILS | 3,310,000 | 1,063,743 | ||
3,550,259 | |||||
ITALY — 8.0% | |||||
Italy Buoni Poliennali Del Tesoro: | |||||
0.05%,
4/15/2021
|
EUR | 940,000 | 1,057,998 | ||
0.35%,
11/1/2021
|
EUR | 925,000 | 1,046,087 | ||
0.45%,
6/1/2021
|
EUR | 1,032,000 | 1,168,122 | ||
0.90%,
8/1/2022
|
EUR | 1,016,000 | 1,162,835 | ||
1.00%,
7/15/2022
|
EUR | 1,000,000 | 1,147,644 | ||
1.20%,
4/1/2022
|
EUR | 949,000 | 1,092,365 | ||
2.30%,
10/15/2021
|
EUR | 1,000,000 | 1,169,420 | ||
3.75%, 8/1/2021
(a)
|
EUR | 2,080,000 | 2,476,521 | ||
Italy Certificati di Credito del Tesoro Zero Coupon,
6/29/2021
|
EUR | 800,000 | 898,736 | ||
Republic of Italy: | |||||
1.35%,
4/15/2022
|
EUR | 1,050,000 | 1,212,328 | ||
1.45%,
9/15/2022
|
EUR | 650,000 | 755,221 | ||
2.15%,
12/15/2021
|
EUR | 1,047,000 | 1,225,077 | ||
3.75%,
3/1/2021
|
EUR | 1,390,000 | 1,632,936 | ||
3.75%, 5/1/2021
(a)
|
EUR | 900,000 | 1,062,621 | ||
4.75%,
9/1/2021
|
EUR | 1,500,000 | 1,818,786 | ||
5.00%,
3/1/2022
|
EUR | 1,250,000 | 1,554,157 | ||
5.50%,
9/1/2022
|
EUR | 1,200,000 | 1,539,540 | ||
5.50%,
11/1/2022
|
EUR | 1,400,000 | 1,807,614 | ||
23,828,008 | |||||
JAPAN — 19.7% | |||||
Government of Japan 5 Year Bond: | |||||
Series 127, 0.10%,
3/20/2021
|
JPY | 459,500,000 | 4,239,958 | ||
Series 128, 0.10%,
6/20/2021
|
JPY | 812,000,000 | 7,497,224 | ||
Series 129, 0.10%,
9/20/2021
|
JPY | 644,500,000 | 5,954,664 | ||
Series 130, 0.10%,
12/20/2021
|
JPY | 494,400,000 | 4,570,226 | ||
Series 131, 0.10%,
3/20/2022
|
JPY | 761,000,000 | 7,038,874 | ||
Series 132, 0.10%,
6/20/2022
|
JPY | 350,500,000 | 3,243,790 | ||
Series 133, 0.10%,
9/20/2022
|
JPY | 425,000,000 | 3,936,202 | ||
Government of Japan 10 Year Bond: |
Security Description |
Principal
Amount |
Value | |||
Series 324, 0.80%,
6/20/2022
|
JPY | 354,000,000 | $ 3,332,177 | ||
Series 325, 0.80%,
9/20/2022
|
JPY | 298,000,000 | 2,811,359 | ||
Series 321, 1.00%,
3/20/2022
|
JPY | 400,000,000 | 3,772,754 | ||
Series 317, 1.10%,
9/20/2021
|
JPY | 580,000,000 | 5,450,105 | ||
Series 319, 1.10%,
12/20/2021
|
JPY | 200,000,000 | 1,884,849 | ||
Series 313, 1.30%,
3/20/2021
|
JPY | 229,000,000 | 2,143,718 | ||
Government of Japan 2 Year Bond Series 403, 0.10%,
8/1/2021
|
JPY | 201,000,000 | 1,856,302 | ||
Japan Government Two Year Bond Series 406, 0.10%,
11/1/2021
|
JPY | 140,000,000 | 1,293,771 | ||
59,025,973 | |||||
LATVIA — 0.1% | |||||
Republic of Latvia Series REGS, 2.63%,
1/21/2021
|
EUR | 280,000 | 323,499 | ||
MALAYSIA — 1.9% | |||||
Malaysia Government Bond: | |||||
Series 0112, 3.42%,
8/15/2022
|
MYR | 3,050,000 | 752,155 | ||
Series 0517, 3.44%,
2/15/2021
|
MYR | 1,100,000 | 270,386 | ||
Series 0314, 4.05%,
9/30/2021
|
MYR | 7,635,000 | 1,898,833 | ||
Series 0111, 4.16%,
7/15/2021
|
MYR | 5,600,000 | 1,392,713 | ||
Malaysia Government Investment Issue: | |||||
Series 0613, 3.72%,
3/23/2021
|
MYR | 2,350,000 | 579,092 | ||
Series 0216, 3.74%,
8/26/2021
|
MYR | 1,250,000 | 308,861 | ||
Series 0311, 4.17%,
4/30/2021
|
MYR | 1,520,000 | 376,499 | ||
5,578,539 | |||||
MEXICO — 2.4% | |||||
Mexican Bonos: | |||||
Series M, 6.50%,
6/10/2021
|
MXN | 44,180,000 | 2,330,469 | ||
Series M, 6.50%,
6/9/2022
|
MXN | 51,500,000 | 2,711,304 | ||
Series M, 7.25%,
12/9/2021
|
MXN | 41,350,000 | 2,207,750 | ||
7,249,523 | |||||
NETHERLANDS — 3.3% | |||||
Kingdom of Netherlands: | |||||
Zero Coupon, 1/15/2022
(a)
|
EUR | 2,750,000 | 3,123,299 |
Security Description |
Principal
Amount |
Value | |||
2.25%, 7/15/2022
(a)
|
EUR | 2,800,000 | $ 3,371,689 | ||
3.25%, 7/15/2021
(a)
|
EUR | 2,950,000 | 3,508,884 | ||
10,003,872 | |||||
NEW ZEALAND — 0.5% | |||||
New Zealand Government Bond Series 0521, 6.00%,
5/15/2021
|
NZD | 2,050,000 | 1,473,467 | ||
NORWAY — 0.6% | |||||
Norway Government Bond Series 474, 3.75%, 5/25/2021
(a)
|
NOK | 15,674,000 | 1,842,930 | ||
POLAND — 2.3% | |||||
Poland Government Bond: | |||||
Series 0521, Zero Coupon,
5/25/2021
|
PLN | 2,920,000 | 756,004 | ||
Series 0721, 1.75%,
7/25/2021
|
PLN | 5,010,000 | 1,328,451 | ||
Series 0421, 2.00%,
4/25/2021
|
PLN | 4,750,000 | 1,263,598 | ||
Series 0422, 2.25%,
4/25/2022
|
PLN | 5,700,000 | 1,527,540 | ||
Series 1021, 5.75%,
10/25/2021
|
PLN | 2,850,000 | 809,428 | ||
Series 0922, 5.75%,
9/23/2022
|
PLN | 4,180,000 | 1,223,902 | ||
6,908,923 | |||||
PORTUGAL — 1.4% | |||||
Portugal Obrigacoes do Tesouro OT: | |||||
2.20%, 10/17/2022
(a)
|
EUR | 1,700,000 | 2,043,761 | ||
3.85%, 4/15/2021
(a)
|
EUR | 1,730,000 | 2,052,207 | ||
4,095,968 | |||||
RUSSIA — 1.0% | |||||
Russian Federal Bond - OFZ: | |||||
Series 5083, 7.00%,
12/15/2021
|
RUB | 64,000,000 | 1,057,694 | ||
Series 6217, 7.50%,
8/18/2021
|
RUB | 52,200,000 | 865,136 | ||
Series 6205, 7.60%,
4/14/2021
|
RUB | 28,600,000 | 473,956 | ||
Series 6209, 7.60%,
7/20/2022
|
RUB | 38,450,000 | 647,830 | ||
3,044,616 | |||||
SINGAPORE — 1.2% | |||||
Singapore Government Bond: | |||||
1.25%,
10/1/2021
|
SGD | 1,581,000 | 1,170,009 | ||
1.75%,
4/1/2022
|
SGD | 620,000 | 463,162 | ||
2.25%,
6/1/2021
|
SGD | 1,275,000 | 957,673 | ||
3.13%,
9/1/2022
|
SGD | 1,270,000 | 983,485 | ||
3,574,329 |
Security Description |
Principal
Amount |
Value | |||
SLOVAKIA — 0.1% | |||||
Slovakia Government International Bond Series EMTN, 4.00%,
3/26/2021
|
EUR | 225,000 | $ 267,085 | ||
SLOVENIA — 0.3% | |||||
Slovenia Government Bond: | |||||
Series RS73, 2.25%,
3/25/2022
|
EUR | 200,000 | 238,039 | ||
Series RS71, 3.00%,
4/8/2021
|
EUR | 230,000 | 269,493 | ||
Series RS69, 4.38%,
1/18/2021
|
EUR | 325,000 | 382,725 | ||
890,257 | |||||
SOUTH KOREA — 4.6% | |||||
Korea Treasury Bond: | |||||
Series 2012, 1.75%,
12/10/2020
|
KRW | 2,905,000,000 | 2,521,145 | ||
Series 2103, 2.00%,
3/10/2021
|
KRW | 12,865,500,000 | 11,209,181 | ||
13,730,326 | |||||
SPAIN — 4.5% | |||||
Kingdom of Spain: | |||||
0.05%,
1/31/2021
|
EUR | 1,530,000 | 1,726,114 | ||
5.50%, 4/30/2021
(a)
|
EUR | 1,895,000 | 2,294,508 | ||
5.85%, 1/31/2022
(a)
|
EUR | 1,870,000 | 2,371,693 | ||
Spain Government Bond: | |||||
0.05%,
10/31/2021
|
EUR | 1,270,000 | 1,437,216 | ||
0.40%,
4/30/2022
|
EUR | 1,700,000 | 1,942,438 | ||
0.45%,
10/31/2022
|
EUR | 1,600,000 | 1,834,980 | ||
0.75%,
7/30/2021
|
EUR | 1,720,000 | 1,966,630 | ||
13,573,579 | |||||
SWEDEN — 0.7% | |||||
Kingdom of Sweden Series 1054, 3.50%,
6/1/2022
|
SEK | 18,865,000 | 2,201,810 | ||
SWITZERLAND — 0.5% | |||||
Switzerland Government Bond: | |||||
2.00%,
4/28/2021
|
CHF | 803,000 | 859,456 | ||
2.00%,
5/25/2022
|
CHF | 690,000 | 759,695 | ||
1,619,151 | |||||
THAILAND — 1.3% | |||||
Thailand Government Bond: | |||||
1.88%,
6/17/2022
|
THB | 42,400,000 | 1,438,756 | ||
3.65%,
12/17/2021
|
THB | 60,950,000 | 2,131,544 | ||
Series 06-5, 5.85%,
3/31/2021
|
THB | 5,900,000 | 208,149 | ||
3,778,449 | |||||
UNITED KINGDOM — 4.6% | |||||
United Kingdom Treasury Bond: |
Security Description |
Principal
Amount |
Value | |||
0.50%,
7/22/2022
|
GBP | 1,725,000 | $ 2,283,080 | ||
1.50%,
1/22/2021
|
GBP | 1,740,000 | 2,326,711 | ||
1.75%,
9/7/2022
|
GBP | 1,675,000 | 2,290,085 | ||
3.75%,
9/7/2021
|
GBP | 1,660,000 | 2,316,341 | ||
4.00%,
3/7/2022
|
GBP | 2,070,000 | 2,947,929 | ||
8.00%,
6/7/2021
|
GBP | 1,060,000 | 1,552,326 | ||
13,716,472 | |||||
TOTAL FOREIGN GOVERNMENT OBLIGATIONS
(Cost
$284,173,527)
|
284,882,639 |
Shares | |||
SHORT-TERM INVESTMENT — 0.0% (b) | |||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 1.57% (c) (d)
(Cost
$15,997)
|
15,997 | 15,997 | |
TOTAL INVESTMENTS — 95.1%
(Cost
$284,189,524)
|
284,898,636 | ||
OTHER ASSETS IN EXCESS OF LIABILITIES — 4.9%
|
14,597,661 | ||
NET ASSETS — 100.0%
|
$ 299,496,297 |
(a) | Securities purchased pursuant to Rule 144A of the Securities Act of 1933, as amended. These securities, which represent 14.6% of net assets as of December 31, 2019, are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
(b) | Amount is less than 0.05% of net assets. |
(c) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2019 are shown in the Affiliate Table below. |
(d) | The rate shown is the annualized seven-day yield at December 31, 2019. |
EMTN | Euro Medium Term Note |
AUD | Australian Dollar |
CAD | Canadian Dollar |
CHF | Swiss Franc |
CLP | Chilean Peso |
CNY | China Yuan Renminbi |
CZK | Czech Koruna |
DKK | Danish Krone |
EUR | Euro |
GBP | British Pound |
HKD | Hong Kong Dollar |
HUF | Hungary Forint |
IDR | Indonesia Rupiah |
ILS | Israeli New Shekel |
JPY | Japanese Yen |
KRW | South Korean Won |
MXN | Mexican Peso |
MYR | Malaysian Ringgit |
NOK | Norwegian Krone |
NZD | New Zealand Dollar |
PLN | Polish Zloty |
RUB | Russian Ruble |
SEK | Swedish Krona |
SGD | Singapore Dollar |
THB | Thai Baht |
Description |
Level
1 –
Quoted Prices |
Level
2 –
Other Significant Observable Inputs |
Level
3 –
Significant Unobservable Inputs |
Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Foreign Government
Obligations
|
$ — | $284,882,639 | $— | $284,882,639 | ||||
Short-Term
Investment
|
15,997 | — | — | 15,997 | ||||
TOTAL
INVESTMENTS
|
$15,997 | $284,882,639 | $— | $284,898,636 |
Number
of
Shares Held at 6/30/19 |
Value
at
6/30/19 |
Cost
of
Purchases |
Proceeds
from Shares Sold |
Realized
Gain (Loss) |
Change
in
Unrealized Appreciation/ Depreciation |
Number
of
Shares Held at 12/31/19 |
Value
at
12/31/19 |
Dividend
Income |
|||||||||
State Street Institutional U.S. Government Money Market Fund, Class G
Shares
|
208,685 | $208,685 | $27,059,471 | $27,252,159 | $— | $— | 15,997 | $15,997 | $1,941 |
Security Description |
Principal
Amount |
Value | ||||
FOREIGN GOVERNMENT OBLIGATIONS — 99.4% | ||||||
AUSTRALIA — 3.9% | ||||||
Australia Government Bond: | ||||||
Series 27CI, 0.75%,
11/21/2027
|
AUD | 2,411,871 | $ 1,805,168 | |||
Series 50CI, 1.00%,
2/21/2050
|
AUD | 1,895,140 | 1,571,289 | |||
Series 22CI, 1.25%,
2/21/2022
|
AUD | 2,211,228 | 1,611,834 | |||
Series 40CI, 1.25%,
8/21/2040
|
AUD | 1,837,020 | 1,541,083 | |||
Series 35CI, 2.00%,
8/21/2035
|
AUD | 2,590,260 | 2,334,333 | |||
Series 30CI, 2.50%,
9/20/2030
|
AUD | 3,620,998 | 3,229,840 | |||
Series 25CI, 3.00%,
9/20/2025
|
AUD | 4,758,192 | 3,965,553 | |||
Series 20CI, 4.00%,
8/20/2020
|
AUD | 837,984 | 605,021 | |||
16,664,121 | ||||||
BRAZIL — 8.6% | ||||||
Brazil Notas do Tesouro Nacional Serie B: | ||||||
Series NTNB, 6.00%,
5/15/2021
|
BRL | 9,005,264 | 2,449,215 | |||
Series NTNB, 6.00%,
8/15/2022
|
BRL | 19,664,222 | 5,536,218 | |||
Series NTNB, 6.00%,
5/15/2023
|
BRL | 12,181,666 | 3,497,355 | |||
Series NTNB, 6.00%,
8/15/2024
|
BRL | 12,934,834 | 3,800,791 | |||
Series NTNB, 6.00%,
8/15/2026
|
BRL | 6,221,819 | 1,883,606 | |||
Series NTNB, 6.00%,
8/15/2028
|
BRL | 3,881,592 | 1,209,665 | |||
Series NTNB, 6.00%,
8/15/2030
|
BRL | 5,534,144 | 1,759,928 | |||
Series NTNB, 6.00%,
5/15/2035
|
BRL | 3,765,836 | 1,259,690 | |||
Series NTNB, 6.00%,
8/15/2040
|
BRL | 4,748,166 | 1,646,173 | |||
Series NTNB, 6.00%,
5/15/2045
|
BRL | 13,229,551 | 4,705,215 | |||
Series NTNB, 6.00%,
8/15/2050
|
BRL | 19,156,653 | 7,054,168 | |||
Series NTNB, 6.00%,
5/15/2055
|
BRL | 6,025,340 | 2,274,358 | |||
37,076,382 | ||||||
CANADA — 4.6% | ||||||
Canadian Government Real Return Bond: | ||||||
Series CPI, 0.50%,
12/1/2050
|
CAD | 1,760,325 | 1,421,970 | |||
Series CPI, 1.25%,
12/1/2047
|
CAD | 2,714,232 | 2,588,584 |
Security Description |
Principal
Amount |
Value | |||
Series CPI, 1.50%,
12/1/2044
|
CAD | 2,735,288 | $ 2,654,374 | ||
Series CPI, 2.00%,
12/1/2041
|
CAD | 2,523,746 | 2,590,170 | ||
Series CPI, 3.00%,
12/1/2036
|
CAD | 2,426,946 | 2,670,904 | ||
Series CPI, 4.00%,
12/1/2031
|
CAD | 2,937,029 | 3,231,649 | ||
Series CPI, 4.25%,
12/1/2021
|
CAD | 2,490,813 | 2,059,245 | ||
Series CPI, 4.25%,
12/1/2026
|
CAD | 2,418,352 | 2,369,192 | ||
19,586,088 | |||||
CHILE — 5.0% | |||||
Bonos de la Tesoreria de la Republica: | |||||
1.30%,
3/1/2023
|
CLP | 707,748,500 | 991,971 | ||
1.50%,
3/1/2021
|
CLP | 1,755,216,280 | 2,386,205 | ||
1.50%,
3/1/2026
|
CLP | 2,547,894,600 | 3,699,796 | ||
1.90%,
9/1/2030
|
CLP | 990,847,900 | 1,534,566 | ||
2.00%,
3/1/2035
|
CLP | 1,979,976,730 | 3,175,510 | ||
2.10%,
7/15/2050
|
CLP | 533,714,500 | 932,426 | ||
Series 30YR, 3.00%,
1/1/2044
|
CLP | 2,816,839,030 | 5,574,717 | ||
Bonos del Banco Central de Chile en UF: | |||||
Series 10YR, 3.00%,
2/1/2021
|
CLP | 566,198,800 | 768,779 | ||
Series 10YR, 3.00%,
3/1/2022
|
CLP | 311,409,340 | 444,556 | ||
Series 10YR, 3.00%,
3/1/2023
|
CLP | 396,339,160 | 581,792 | ||
Series 20YR, 3.00%,
5/1/2028
|
CLP | 113,239,760 | 185,877 | ||
Series 20YR, 3.00%,
2/1/2031
|
CLP | 396,339,160 | 677,658 | ||
Series 30YR, 3.00%,
2/1/2041
|
CLP | 226,479,520 | 428,908 | ||
21,382,761 | |||||
COLOMBIA — 4.3% | |||||
Colombian TES: | |||||
Series UVR, 3.00%,
3/25/2033
|
COP | 5,143,550,800 | 1,613,752 | ||
Series UVR, 3.30%,
3/17/2027
|
COP | 7,363,399,040 | 2,422,158 | ||
Series UVR, 3.50%,
3/10/2021
|
COP | 11,938,452,120 | 3,745,094 | ||
Series UVR, 3.50%,
5/7/2025
|
COP | 5,603,763,240 | 1,857,063 | ||
Series UVR, 3.75%,
6/16/2049
|
COP | 1,894,992,400 | 668,726 | ||
Series UVR, 4.75%,
2/23/2023
|
COP | 14,429,013,560 | 4,850,570 |
Security Description |
Principal
Amount |
Value | |||
Series UVR, 4.75%,
4/4/2035
|
COP | 9,271,927,100 | $ 3,529,661 | ||
18,687,024 | |||||
FRANCE — 8.2% | |||||
French Republic Government Bond OAT: | |||||
Series OATE, 0.10%,
3/1/2021
|
EUR | 971,139 | 1,106,947 | ||
Series OATI, 0.10%,
7/25/2021
|
EUR | 1,300,148 | 1,490,821 | ||
Series OATI, 0.10%,
3/1/2025
|
EUR | 1,602,104 | 1,916,172 | ||
Series OATI, 0.10%,
3/1/2028
|
EUR | 893,970 | 1,095,621 | ||
Series OATE, 0.10%,
3/1/2029
|
EUR | 606,084 | 750,441 | ||
Series OATE, 0.10%, 7/25/2036
(a)
|
EUR | 825,824 | 1,058,949 | ||
Series OATE, 0.10%, 7/25/2047
(a)
|
EUR | 1,518,846 | 2,033,020 | ||
Series OATE, 0.25%,
7/25/2024
|
EUR | 2,798,644 | 3,380,730 | ||
Series OATE, 0.70%, 7/25/2030
(a)
|
EUR | 2,131,211 | 2,833,552 | ||
Series OATE, 1.10%,
7/25/2022
|
EUR | 3,130,847 | 3,751,815 | ||
Series OATE, 1.80%, 7/25/2040
(a)
|
EUR | 1,742,886 | 3,021,711 | ||
Series OATE, 1.85%,
7/25/2027
|
EUR | 3,107,801 | 4,312,299 | ||
Series OATI, 2.10%,
7/25/2023
|
EUR | 2,855,850 | 3,598,419 | ||
Series OATE, 2.25%,
7/25/2020
|
EUR | 19 | 21 | ||
Series OATE, 3.15%,
7/25/2032
|
EUR | 1,550,632 | 2,684,921 | ||
Series OATI, 3.40%,
7/25/2029
|
EUR | 1,536,679 | 2,492,722 | ||
35,528,161 | |||||
GERMANY — 4.5% | |||||
Deutsche Bundesrepublik Inflation Linked Bond: | |||||
Series I/L, 0.10%,
4/15/2023
|
EUR | 4,792,462 | 5,603,710 | ||
Series I/L, 0.10%,
4/15/2026
|
EUR | 4,008,686 | 4,895,494 | ||
Series I/L, 0.10%,
4/15/2046
|
EUR | 2,429,682 | 3,663,433 | ||
Series I/L, 0.50%,
4/15/2030
|
EUR | 3,950,485 | 5,259,060 | ||
Series I/L, 1.75%,
4/15/2020
|
EUR | 1 | 1 | ||
19,421,698 |
Security Description |
Principal
Amount |
Value | |||
ISRAEL — 4.5% | |||||
Israel Government Bond - CPI Linked: | |||||
Series 1020, 0.10%,
10/30/2020
|
ILS | 334,951 | $ 97,651 | ||
Series 0529, 0.50%,
5/31/2029
|
ILS | 4,027,972 | 1,282,048 | ||
0.75%,
10/31/2025
|
ILS | 3,538,237 | 1,119,952 | ||
Series 0527, 0.75%,
5/31/2027
|
ILS | 2,746,070 | 881,391 | ||
1.00%,
5/31/2045
|
ILS | 5,176,506 | 1,650,854 | ||
1.75%,
9/29/2023
|
ILS | 6,031,047 | 1,923,264 | ||
Series 0922, 2.75%,
9/30/2022
|
ILS | 5,005,824 | 1,599,586 | ||
Series 0841, 2.75%,
8/30/2041
|
ILS | 6,787,567 | 2,977,885 | ||
Series 0536, 4.00%,
5/30/2036
|
ILS | 7,359,840 | 3,561,506 | ||
Israel Government Bond - Galil: | |||||
Series 5903, 4.00%,
7/30/2021
|
ILS | 7,255,914 | 2,267,552 | ||
Series 5904, 4.00%,
7/31/2024
|
ILS | 5,594,021 | 1,990,677 | ||
19,352,366 | |||||
ITALY — 5.8% | |||||
Italy Buoni Poliennali Del Tesoro: | |||||
Series CPI, 0.10%, 5/15/2022
(a)
|
EUR | 1,280,192 | 1,453,456 | ||
Series CPI, 0.10%,
5/15/2023
|
EUR | 1,136,707 | 1,291,673 | ||
Series CPI, 0.40%, 5/15/2030
(a)
|
EUR | 355,512 | 391,062 | ||
Series CPI, 1.25%, 9/15/2032
(a)
|
EUR | 2,096,780 | 2,515,334 | ||
Series CPI, 1.30%, 5/15/2028
(a)
|
EUR | 1,991,447 | 2,396,258 | ||
Series CPI, 2.10%, 9/15/2021
(a)
|
EUR | 2,478,813 | 2,921,004 | ||
Series CPI, 2.35%, 9/15/2024
(a)
|
EUR | 2,003,987 | 2,518,455 | ||
Series CPI, 2.35%, 9/15/2035
(a)
|
EUR | 2,164,271 | 3,025,743 | ||
Series CPI, 2.55%, 9/15/2041
(a)
|
EUR | 1,638,611 | 2,346,105 | ||
Series CPI, 2.60%, 9/15/2023
(a)
|
EUR | 2,875,752 | 3,587,227 | ||
Series CPI, 3.10%, 9/15/2026
(a)
|
EUR | 1,975,629 | 2,664,310 | ||
25,110,627 | |||||
JAPAN — 4.5% | |||||
Japanese Government CPI Linked Bond: | |||||
Series 17, 0.10%,
9/10/2023
|
JPY | 116,661,000 | 1,088,385 |
Security Description |
Principal
Amount |
Value | |||
Series 18, 0.10%,
3/10/2024
|
JPY | 147,658,500 | $ 1,380,537 | ||
Series 19, 0.10%,
9/10/2024
|
JPY | 251,199,000 | 2,351,851 | ||
Series 20, 0.10%,
3/10/2025
|
JPY | 442,246,000 | 4,149,930 | ||
Series 21, 0.10%,
3/10/2026
|
JPY | 314,497,110 | 2,958,861 | ||
Series 22, 0.10%,
3/10/2027
|
JPY | 269,478,983 | 2,547,594 | ||
Series 23, 0.10%,
3/10/2028
|
JPY | 377,337,990 | 3,573,167 | ||
Series 24, 0.10%,
3/10/2029
|
JPY | 150,696,000 | 1,428,027 | ||
19,478,352 | |||||
MEXICO — 4.6% | |||||
Mexican Udibonos: | |||||
Series S, 2.00%,
6/9/2022
|
MXN | 54,903,574 | 2,795,332 | ||
Series S, 2.50%,
12/10/2020
|
MXN | 32,155,065 | 1,684,906 | ||
Series S, 4.00%,
11/30/2028
|
MXN | 43,833,273 | 2,431,930 | ||
Series S, 4.00%,
11/15/2040
|
MXN | 63,350,285 | 3,633,315 | ||
Series S, 4.00%,
11/8/2046
|
MXN | 60,470,720 | 3,521,641 | ||
Series S, 4.00%,
11/3/2050
|
MXN | 3,161,889 | 185,238 | ||
Series S, 4.50%,
12/4/2025
|
MXN | 57,847,123 | 3,255,080 | ||
Series S, 4.50%,
11/22/2035
|
MXN | 38,010,167 | 2,279,744 | ||
19,787,186 | |||||
NEW ZEALAND — 1.8% | |||||
New Zealand Government Bond: | |||||
Series 0925, 2.00%,
9/20/2025
|
NZD | 2,759,825 | 2,043,449 | ||
Series 0935, 2.50%,
9/20/2035
|
NZD | 2,021,396 | 1,712,269 | ||
Series 0940, 2.50%,
9/20/2040
|
NZD | 2,164,185 | 1,893,465 | ||
Series 0930, 3.00%,
9/20/2030
|
NZD | 2,361,812 | 1,998,703 | ||
7,647,886 | |||||
SOUTH AFRICA — 4.7% | |||||
South Africa Government Bond - CPI Linked: | |||||
Series 2029, 1.88%,
3/31/2029
|
ZAR | 13,200,660 | 810,757 | ||
Series 2033, 1.88%,
2/28/2033
|
ZAR | 10,397,319 | 597,065 | ||
Series 2025, 2.00%,
1/31/2025
|
ZAR | 35,158,808 | 2,328,712 |
Security Description |
Principal
Amount |
Value | |||
Series 2038, 2.25%,
1/31/2038
|
ZAR | 31,989,111 | $ 1,821,496 | ||
Series 2046, 2.50%,
3/31/2046
|
ZAR | 30,563,184 | 1,685,630 | ||
Series 2050, 2.50%,
12/31/2050
|
ZAR | 42,466,794 | 2,267,020 | ||
Series R210, 2.60%,
3/31/2028
|
ZAR | 31,104,315 | 2,060,690 | ||
Series R212, 2.75%,
1/31/2022
|
ZAR | 25,922,520 | 1,841,148 | ||
Series R202, 3.45%,
12/7/2033
|
ZAR | 47,689,604 | 3,285,704 | ||
Series R197, 5.50%,
12/7/2023
|
ZAR | 47,424,397 | 3,669,732 | ||
20,367,954 | |||||
SOUTH KOREA — 0.8% | |||||
Inflation Linked Korea Treasury Bond: | |||||
Series 2606, 1.00%,
6/10/2026
|
KRW | 1,508,529,600 | 1,325,897 | ||
Series 2106, 1.50%,
6/10/2021
|
KRW | 1,668,077,760 | 1,463,356 | ||
Series 2806, 1.75%,
6/10/2028
|
KRW | 809,752,000 | 741,113 | ||
3,530,366 | |||||
SPAIN — 4.6% | |||||
Spain Government Inflation Linked Bond: | |||||
0.15%,
11/30/2023
|
EUR | 1,123,441 | 1,322,231 | ||
0.30%,
11/30/2021
|
EUR | 1,915,831 | 2,214,167 | ||
0.65%, 11/30/2027
(a)
|
EUR | 3,033,545 | 3,803,107 | ||
0.70%, 11/30/2033
(a)
|
EUR | 1,561,480 | 2,040,486 | ||
1.00%, 11/30/2030
(a)
|
EUR | 3,773,016 | 4,997,767 | ||
1.80%, 11/30/2024
(a)
|
EUR | 4,182,741 | 5,364,408 | ||
19,742,166 | |||||
SWEDEN — 2.8% | |||||
Sweden Inflation Linked Bond: | |||||
Series 3112, 0.13%,
6/1/2026
|
SEK | 11,192,263 | 1,349,859 | ||
Series 3113, 0.13%,
12/1/2027
|
SEK | 5,281,950 | 651,903 | ||
Series 3111, 0.13%, 6/1/2032
(a)
|
SEK | 9,245,713 | 1,212,009 | ||
Series 3108, 0.25%, 6/1/2022
(a)
|
SEK | 18,244,057 | 2,054,272 | ||
Series 3109, 1.00%, 6/1/2025
(a)
|
SEK | 15,577,268 | 1,931,772 | ||
Series 3104, 3.50%, 12/1/2028
(a)
|
SEK | 18,887,328 | 3,034,060 | ||
Series 3102, 4.00%, 12/1/2020
(a)
|
SEK | 17,343,403 | 1,938,692 | ||
12,172,567 |
Security Description |
Principal
Amount |
Value | |||
TURKEY — 4.4% | |||||
Turkey Government Bond: | |||||
Series CPI, 1.00%,
5/3/2023
|
TRY | 7,466,835 | $ 1,161,278 | ||
Series CPI, 2.00%,
10/26/2022
|
TRY | 10,626,217 | 1,700,118 | ||
Series CPI, 2.00%,
9/18/2024
|
TRY | 10,338,174 | 1,606,437 | ||
Series CPI, 2.00%,
4/16/2025
|
TRY | 9,841,677 | 1,530,231 | ||
Series CPI, 2.40%,
5/8/2024
|
TRY | 6,449,275 | 1,051,645 | ||
Series CPI, 2.70%,
1/14/2026
|
TRY | 8,862,056 | 1,421,458 | ||
Series CPI, 2.80%,
11/8/2023
|
TRY | 4,581,513 | 759,341 | ||
Series CPI, 2.90%,
7/7/2027
|
TRY | 7,020,500 | 1,133,905 | ||
Series CPI, 2.90%,
1/12/2028
|
TRY | 1,343,780 | 216,387 | ||
Series CPI, 3.00%,
1/6/2021
|
TRY | 8,115,358 | 1,370,666 | ||
Series CPI, 3.00%,
7/21/2021
|
TRY | 11,874,252 | 1,995,616 | ||
Series CPI, 3.00%,
2/23/2022
|
TRY | 14,072,500 | 2,379,443 | ||
Series CPI, 3.00%,
8/2/2023
|
TRY | 9,957,388 | 1,677,173 | ||
Series CPI, 3.30%,
6/28/2028
|
TRY | 6,316,700 | 1,045,169 | ||
19,048,867 | |||||
UNITED KINGDOM — 21.8% | |||||
United Kingdom Gilt Inflation Linked: | |||||
Series 3MO, 0.13%,
3/22/2024
|
GBP | 1,626,884 | 2,383,704 | ||
Series 3MO, 0.13%,
3/22/2026
|
GBP | 1,641,926 | 2,530,428 | ||
Series 3MO, 0.13%,
8/10/2028
|
GBP | 644,837 | 1,058,550 | ||
Series 3MO, 0.13%,
3/22/2029
|
GBP | 1,834,845 | 3,050,352 | ||
Series 3MO, 0.13%,
11/22/2036
|
GBP | 837,692 | 1,603,136 | ||
Series 3MO, 0.13%,
8/10/2041
|
GBP | 1,037,010 | 2,122,847 | ||
Series 3MO, 0.13%,
3/22/2044
|
GBP | 2,126,432 | 4,516,265 | ||
Series 3MO, 0.13%,
3/22/2046
|
GBP | 1,239,227 | 2,704,648 | ||
Series 3MO, 0.13%,
8/10/2048
|
GBP | 914,184 | 2,066,390 | ||
Series 3MO, 0.13%,
11/22/2056
|
GBP | 729,106 | 1,872,973 | ||
Series 3MO, 0.13%,
3/22/2058
|
GBP | 1,299,518 | 3,387,686 |
Security Description |
Principal
Amount |
Value | |||
Series 3MO, 0.13%,
11/22/2065
|
GBP | 836,356 | $ 2,469,036 | ||
Series 3MO, 0.13%,
3/22/2068
|
GBP | 1,511,992 | 4,715,747 | ||
Series 3MO, 0.25%,
3/22/2052
|
GBP | 1,559,779 | 3,839,776 | ||
Series 3MO, 0.38%,
3/22/2062
|
GBP | 1,422,359 | 4,217,940 | ||
Series 3MO, 0.50%,
3/22/2050
|
GBP | 1,701,150 | 4,279,666 | ||
Series 3MO, 0.63%,
3/22/2040
|
GBP | 2,011,935 | 4,367,098 | ||
Series 3MO, 0.63%,
11/22/2042
|
GBP | 1,913,684 | 4,382,034 | ||
Series 3MO, 0.75%,
3/22/2034
|
GBP | 1,832,086 | 3,607,805 | ||
Series 3MO, 0.75%,
11/22/2047
|
GBP | 1,768,252 | 4,509,380 | ||
Series 3MO, 1.13%,
11/22/2037
|
GBP | 2,039,126 | 4,577,195 | ||
Series 3MO, 1.25%,
11/22/2027
|
GBP | 2,469,204 | 4,309,047 | ||
Series 3MO, 1.25%,
11/22/2032
|
GBP | 1,805,489 | 3,656,398 | ||
Series 3MO, 1.25%,
11/22/2055
|
GBP | 1,586,583 | 5,216,905 | ||
Series 3MO, 1.88%,
11/22/2022
|
GBP | 2,400,655 | 3,580,891 | ||
Series 8MO, 2.00%,
1/26/2035
|
GBP | 1,457,661 | 3,321,968 | ||
Series 8MO, 2.50%,
7/17/2024
|
GBP | 1,258,448 | 2,038,164 | ||
Series 8MO, 4.13%,
7/22/2030
|
GBP | 1,562,665 | 3,640,224 | ||
94,026,253 | |||||
TOTAL FOREIGN GOVERNMENT OBLIGATIONS
(Cost
$406,967,774)
|
428,610,825 |
Shares | |||
SHORT-TERM INVESTMENT — 0.0% (b) | |||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 1.57% (c) (d)
(Cost
$69,368)
|
69,368 | 69,368 | |
TOTAL INVESTMENTS — 99.4%
(Cost
$407,037,142)
|
428,680,193 | ||
OTHER ASSETS IN EXCESS OF LIABILITIES — 0.6%
|
2,536,299 | ||
NET ASSETS — 100.0%
|
$ 431,216,492 |
(a) | Securities purchased pursuant to Rule 144A of the Securities Act of 1933, as amended. These securities, which represent 13.7% of net assets as of December 31, 2019, are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
(b) | Amount is less than 0.05% of net assets. |
(c) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2019 are shown in the Affiliate Table below. |
(d) | The rate shown is the annualized seven-day yield at December 31, 2019. |
AUD | Australian Dollar |
BRL | Brazilian Real |
CAD | Canadian Dollar |
CLP | Chilean Peso |
COP | Colombian Peso |
EUR | Euro |
GBP | British Pound |
ILS | Israeli New Shekel |
JPY | Japanese Yen |
KRW | South Korean Won |
MXN | Mexican Peso |
NZD | New Zealand Dollar |
SEK | Swedish Krona |
TRY | Turkish New Lira |
ZAR | South African Rand |
Description |
Level
1 –
Quoted Prices |
Level
2 –
Other Significant Observable Inputs |
Level
3 –
Significant Unobservable Inputs |
Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Foreign Government
Obligations
|
$ — | $428,610,825 | $— | $428,610,825 | ||||
Short-Term
Investment
|
69,368 | — | — | 69,368 | ||||
TOTAL
INVESTMENTS
|
$69,368 | $428,610,825 | $— | $428,680,193 |
Number
of
Shares Held at 6/30/19 |
Value
at
6/30/19 |
Cost
of
Purchases |
Proceeds
from Shares Sold |
Realized
Gain (Loss) |
Change
in
Unrealized Appreciation/ Depreciation |
Number
of
Shares Held at 12/31/19 |
Value
at
12/31/19 |
Dividend
Income |
|||||||||
State Street Institutional U.S. Government Money Market Fund, Class G
Shares
|
342,457 | $342,457 | $20,676,550 | $20,949,639 | $— | $— | 69,368 | $69,368 | $3,047 |
SPDR Bloomberg Barclays Emerging Markets Local Bond ETF | SPDR Bloomberg Barclays International Corporate Bond ETF | ||
ASSETS | |||
Investments in unaffiliated issuers, at
value*
|
$ 988,421,103 | $187,283,392 | |
Investments in affiliated issuers, at
value
|
5,199,472 | 45,509 | |
Total
Investments
|
993,620,575 | 187,328,901 | |
Foreign currency, at
value
|
11,241,310 | 1,125,861 | |
Cash
|
223 | — | |
Receivable for investments
sold
|
3,922,718 | 277,536 | |
Receivable for fund shares
sold
|
5,559,638 | — | |
Unrealized appreciation on forward foreign currency exchange
contracts
|
568,712 | — | |
Dividends receivable — unaffiliated
issuers
|
— | — | |
Dividends receivable — affiliated
issuers
|
5,575 | 357 | |
Interest receivable — unaffiliated
issuers
|
14,146,302 | 1,840,925 | |
Securities lending income receivable — affiliated issuers
|
— | — | |
Receivable for foreign taxes
recoverable
|
134,012 | 6,866 | |
Other
Receivable
|
42,836 | — | |
TOTAL ASSETS
|
1,029,241,901 | 190,580,446 | |
LIABILITIES | |||
Payable upon return of securities
loaned
|
— | — | |
Payable for investments
purchased
|
12,620,549 | 221,521 | |
Unrealized depreciation on forward foreign currency exchange
contracts
|
462,128 | — | |
Deferred foreign taxes
payable
|
274,104 | — | |
Advisory fee
payable
|
248,660 | 79,157 | |
Trustees’ fees and expenses
payable
|
1,718 | 768 | |
Accrued expenses and other
liabilities
|
5,704 | 6,054 | |
TOTAL LIABILITIES
|
13,612,863 | 307,500 | |
NET ASSETS
|
$1,015,629,038 | $190,272,946 | |
NET ASSETS CONSIST OF: | |||
Paid-in
Capital
|
$1,013,253,336 | $193,907,757 | |
Total distributable earnings
(loss)**
|
2,375,702 | (3,634,811) | |
NET ASSETS
|
$1,015,629,038 | $190,272,946 | |
NET ASSET VALUE PER SHARE | |||
Net asset value per
share
|
$ 27.83 | $ 33.98 | |
Shares outstanding (unlimited amount authorized, $0.01 par
value)
|
36,500,000 | 5,600,000 | |
COST OF INVESTMENTS: | |||
Investments in unaffiliated
issuers
|
$ 966,292,547 | $190,750,010 | |
Investments in affiliated
issuers
|
5,199,472 | 45,509 | |
Total cost of
investments
|
$ 971,492,019 | $190,795,519 | |
Foreign currency, at
cost
|
$ 11,138,830 | $ 1,112,698 | |
* Includes investments in securities on loan, at
value
|
$ — | $ — | |
** Includes deferred foreign
taxes
|
$ 274,104 | $ — |
SPDR Bloomberg Barclays International Treasury Bond ETF | SPDR Bloomberg Barclays Short Term International Treasury Bond ETF | SPDR FTSE International Government Inflation-Protected Bond ETF | ||
$1,012,115,653 | $284,882,639 | $428,610,825 | ||
1,176,877 | 15,997 | 69,368 | ||
1,013,292,530 | 284,898,636 | 428,680,193 | ||
2,030,724 | 540,834 | 598,831 | ||
— | 2 | 91,713 | ||
6,583,769 | 11,936,991 | — | ||
— | — | — | ||
— | — | — | ||
— | — | 9 | ||
2,983 | 40 | 261 | ||
7,188,424 | 2,037,661 | 2,168,329 | ||
215 | — | — | ||
803,905 | 182,817 | — | ||
— | 6,390 | 1,527 | ||
1,029,902,550 | 299,603,371 | 431,540,863 | ||
660,550 | — | — | ||
— | — | — | ||
— | — | — | ||
81,495 | 10,664 | 44,427 | ||
294,886 | 89,596 | 180,818 | ||
4,591 | 837 | 1,594 | ||
6,055 | 5,977 | 97,532 | ||
1,047,577 | 107,074 | 324,371 | ||
$1,028,854,973 | $299,496,297 | $431,216,492 | ||
$1,037,316,403 | $299,348,363 | $413,052,734 | ||
(8,461,430) | 147,934 | 18,163,758 | ||
$1,028,854,973 | $299,496,297 | $431,216,492 | ||
$ 28.74 | $ 30.88 | $ 55.28 | ||
35,800,038 | 9,700,000 | 7,800,483 | ||
$1,017,335,529 | $284,173,527 | $406,967,774 | ||
1,176,877 | 15,997 | 69,368 | ||
$1,018,512,406 | $284,189,524 | $407,037,142 | ||
$ 2,010,166 | $ 534,336 | $ 591,699 | ||
$ 645,179 | $ — | $ — | ||
$ 81,495 | $ 10,721 | $ 42,500 |
SPDR Bloomberg Barclays Emerging Markets Local Bond ETF | SPDR Bloomberg Barclays International Corporate Bond ETF | ||||||
Six-month
Period
Ended 12/31/19(a) |
Year
Ended
6/30/19 |
Six-month
Period
Ended 12/31/19(a) |
Year
Ended
6/30/19 |
||||
INVESTMENT INCOME | |||||||
Interest income — unaffiliated
issuers
|
$ 22,720,146 | $ 39,561,415 | $ 1,164,769 | $ 2,549,254 | |||
Dividend income — affiliated
issuers
|
47,229 | 79,419 | 4,539 | 1,648 | |||
Affiliated securities lending
income
|
— | — | — | 335 | |||
Foreign taxes
withheld
|
(666,038) | (988,020) | — | — | |||
Other
income
|
— | — | — | 15,791 | |||
TOTAL INVESTMENT INCOME
(LOSS)
|
22,101,337 | 38,652,814 | 1,169,308 | 2,567,028 | |||
EXPENSES | |||||||
Advisory
fee
|
1,324,169 | 2,469,197 | 446,142 | 925,302 | |||
Trustees’ fees and expenses
|
6,479 | 10,920 | 1,525 | 3,576 | |||
Miscellaneous
expenses
|
— | 6,200 | — | 9,964 | |||
TOTAL
EXPENSES
|
1,330,648 | 2,486,317 | 447,667 | 938,842 | |||
Expenses waived/reimbursed by the
Adviser
|
— | (34,330) | — | — | |||
NET
EXPENSES
|
1,330,648 | 2,451,987 | 447,667 | 938,842 | |||
NET INVESTMENT INCOME
(LOSS)
|
$ 20,770,689 | $ 36,200,827 | $ 721,641 | $ 1,628,186 | |||
REALIZED AND UNREALIZED GAIN (LOSS) | |||||||
Net realized gain (loss) on: | |||||||
Investments—unaffiliated
issuers*
|
(20,061,895) | (18,497,378) | (879,261) | (3,402,878) | |||
In-kind redemptions — unaffiliated
issuers
|
652,829 | (1,558) | (428,817) | (2,223,260) | |||
Forward foreign currency exchange
contracts
|
(30,695) | (42,886) | — | — | |||
Foreign currency
transactions
|
(1,674,788) | (4,917,303) | (167,277) | (429,255) | |||
Net realized gain
(loss)
|
(21,114,549) | (23,459,125) | (1,475,355) | (6,055,393) | |||
Net change in unrealized appreciation/depreciation on: | |||||||
Investments — unaffiliated
issuers**
|
27,286,326 | 39,605,063 | 787,325 | 5,860,105 | |||
Forward foreign currency exchange
contracts
|
(93,223) | 250,514 | — | — | |||
Foreign currency
translations
|
146,798 | 881,645 | 27,638 | 94,768 | |||
Net change in unrealized
appreciation/depreciation
|
27,339,901 | 40,737,222 | 814,963 | 5,954,873 | |||
NET REALIZED AND UNREALIZED GAIN
(LOSS)
|
6,225,352 | 17,278,097 | (660,392) | (100,520) | |||
NET INCREASE (DECREASE) IN NET ASSETS FROM
OPERATIONS
|
$ 26,996,041 | $ 53,478,924 | $ 61,249 | $ 1,527,666 | |||
* Includes foreign capital gain
taxes
|
$ (22,950) | $ 5,315 | $ — | $ — | |||
** Includes foreign deferred
taxes
|
$ (62,378) | $ (211,726) | $ — | $ — |
(a) | Effective November 12, 2019, the Board of Trustees approved a change in fiscal year end for the Fund from June 30 to December 31. |
SPDR Bloomberg Barclays International Treasury Bond ETF | SPDR Bloomberg Barclays Short Term International Treasury Bond ETF | SPDR FTSE International Government Inflation-Protected Bond ETF | ||||||||
Six-month
Period
Ended 12/31/19(a) |
Year
Ended
6/30/19 |
Six-month
Period
Ended 12/31/19(a) |
Year
Ended
6/30/19 |
Six-month
Period
Ended 12/31/19(a) |
Year
Ended
6/30/19 |
|||||
9,202,545 | $ 20,016,220 | $ 1,212,348 | $ 2,419,635 | $6,604,702 | $ 19,135,697 | |||||
7,924 | 20,721 | 1,941 | 10,731 | 3,047 | 5,809 | |||||
252 | — | — | — | — | — | |||||
(172,956) | — | (33,723) | — | (29,473) | (41,000) | |||||
— | 194,083 | — | 27,004 | — | — | |||||
9,037,765 | 20,231,024 | 1,180,566 | 2,457,370 | 6,578,276 | 19,100,506 | |||||
1,894,551 | 4,248,960 | 527,556 | 997,470 | 1,135,409 | 2,327,301 | |||||
9,855 | 18,858 | 2,477 | 4,487 | 3,994 | 7,589 | |||||
— | 9,867 | — | 15,630 | — | 6,201 | |||||
1,904,406 | 4,277,685 | 530,033 | 1,017,587 | 1,139,403 | 2,341,091 | |||||
— | — | — | — | — | — | |||||
1,904,406 | 4,277,685 | 530,033 | 1,017,587 | 1,139,403 | 2,341,091 | |||||
$ 7,133,359 | $ 15,953,339 | $ 650,533 | $ 1,439,783 | $5,438,873 | $ 16,759,415 | |||||
(4,219,892) | (16,085,553) | (3,217,233) | (3,298,899) | (443,822) | (27,529,409) | |||||
3,398,901 | 1,463,557 | 131,711 | 1,249,937 | 2,325,161 | 1,242,944 | |||||
— | — | — | — | — | — | |||||
(1,383,525) | (3,148,794) | (165,197) | (109,510) | (528,585) | (1,449,011) | |||||
(2,204,516) | (17,770,790) | (3,250,719) | (2,158,472) | 1,352,754 | (27,735,476) | |||||
(3,154,974) | 51,337,097 | 1,684,484 | 1,939,338 | (60,336) | 28,735,658 | |||||
— | — | — | — | — | — | |||||
69,158 | 372,854 | 37,392 | 38,851 | 13,387 | 194,494 | |||||
(3,085,816) | 51,709,951 | 1,721,876 | 1,978,189 | (46,949) | 28,930,152 | |||||
(5,290,332) | 33,939,161 | (1,528,843) | (180,283) | 1,305,805 | 1,194,676 | |||||
$ 1,843,027 | $ 49,892,500 | $ (878,310) | $ 1,259,500 | $6,744,678 | $ 17,954,091 | |||||
$ (7,791) | $ — | $ (3,592) | $ — | $ (8,847) | $ (2,810) | |||||
$ (44,375) | $ (35,285) | $ (5,839) | $ (4,882) | $ (27,308) | $ (1,898) |
(a) | Effective November 12, 2019, the Board of Trustees approved a change in fiscal year end for the Fund from June 30 to December 31. |
SPDR Bloomberg Barclays Emerging Markets Local Bond ETF | |||||
Six-month
Period
Ended 12/31/19(a) |
Year
Ended
6/30/19 |
Year
Ended
6/30/18 |
|||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||||
Net investment income
(loss)
|
$ 20,770,689 | $ 36,200,827 | $ 20,936,393 | ||
Net realized gain
(loss)
|
(21,114,549) | (23,459,125) | (23,592,695) | ||
Net change in unrealized
appreciation/depreciation
|
27,339,901 | 40,737,222 | (44,635,550) | ||
Net increase (decrease) in net assets resulting from
operations
|
26,996,041 | 53,478,924 | (47,291,852) | ||
Distributions to
shareholders:
|
(1,987,352) | (18,596,461) | (7,011,920) | ||
Return of
capital
|
(21,574,785) | (12,351,842) | (10,442,593) | ||
Total Distributions to shareholders
|
(23,562,137) | (30,948,303) | (17,454,513) | ||
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||||
Proceeds from sale of shares
sold
|
222,765,636 | 283,813,595 | 717,051,774 | ||
Cost of shares
redeemed
|
(21,644,038) | (16,273,520) | (263,705,608) | ||
Other
Capital
|
335,816 | 591,371 | 896,040 | ||
Net increase (decrease) in net assets from beneficial interest transactions
|
201,457,414 | 268,131,446 | 454,242,206 | ||
Contribution from Affiliate (Note
5)
|
— | 142,298 | — | ||
Net increase (decrease) in net assets during the
period
|
204,891,318 | 290,804,365 | 389,495,841 | ||
Net assets at beginning of
period
|
810,737,720 | 519,933,355 | 130,437,514 | ||
NET ASSETS AT END OF
PERIOD
|
$1,015,629,038 | $810,737,720 | $ 519,933,355 | ||
SHARES OF BENEFICIAL INTEREST: | |||||
Shares
sold
|
8,100,000 | 10,600,000 | 24,200,000 | ||
Shares
redeemed
|
(800,000) | (600,000) | (9,500,000) | ||
Net increase (decrease) from share
transactions
|
7,300,000 | 10,000,000 | 14,700,000 |
(a) | Effective November 12, 2019, the Board of Trustees approved a change in fiscal year end for the Fund from June 30 to December 31. |
SPDR Bloomberg Barclays International Corporate Bond ETF | SPDR Bloomberg Barclays International Treasury Bond ETF | |||||||||
Six-month
Period
Ended 12/31/19(a) |
Year
Ended
6/30/19 |
Year
Ended
6/30/18 |
Six-month
Period
Ended 12/31/19(a) |
Year
Ended
6/30/19 |
Year
Ended
6/30/18 |
|||||
$ 721,641 | $ 1,628,186 | $ 1,694,152 | $ 7,133,359 | $ 15,953,339 | $ 17,572,472 | |||||
(1,475,355) | (6,055,393) | 162,213 | (2,204,516) | (17,770,790) | 7,036,684 | |||||
814,963 | 5,954,873 | (7,029,716) | (3,085,816) | 51,709,951 | (12,657,572) | |||||
61,249 | 1,527,666 | (5,173,351) | 1,843,027 | 49,892,500 | 11,951,584 | |||||
(499,181) | — | (1,438,548) | (7,025,941) | (13,509,746) | (13,583,640) | |||||
(159,224) | (1,352,194) | — | — | — | — | |||||
(658,405) | (1,352,194) | (1,438,548) | (7,025,941) | (13,509,746) | (13,583,640) | |||||
46,924,212 | 9,941,724 | 216,648,412 | 89,142,321 | 296,314,744 | 856,112,695 | |||||
(23,493,520) | (73,064,672) | (129,338,137) | (178,026,850) | (729,733,193) | (903,851,573) | |||||
81,587 | 19,650 | 301,330 | 56,593 | 270,459 | 584,123 | |||||
23,512,279 | (63,103,298) | 87,611,605 | (88,827,936) | (433,147,990) | (47,154,755) | |||||
— | — | — | — | — | — | |||||
22,915,123 | (62,927,826) | 80,999,706 | (94,010,850) | (396,765,236) | (48,786,811) | |||||
167,357,823 | 230,285,649 | 149,285,943 | 1,122,865,823 | 1,519,631,059 | 1,568,417,870 | |||||
$190,272,946 | $167,357,823 | $ 230,285,649 | $1,028,854,973 | $1,122,865,823 | $1,519,631,059 | |||||
1,400,000 | 300,000 | 6,100,000 | 3,100,000 | 10,700,000 | 29,500,000 | |||||
(700,000) | (2,200,000) | (3,800,000) | (6,200,000) | (26,300,000) | (31,900,000) | |||||
700,000 | (1,900,000) | 2,300,000 | (3,100,000) | (15,600,000) | (2,400,000) |
(a) | Effective November 12, 2019, the Board of Trustees approved a change in fiscal year end for the Fund from June 30 to December 31. |
SPDR Bloomberg Barclays Short Term International Treasury Bond ETF | |||||
Six-month
Period
Ended 12/31/19(a) |
Year
Ended
6/30/19 |
Year
Ended
6/30/18 |
|||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |||||
Net investment income
(loss)
|
$ 650,533 | $ 1,439,783 | $ 19,851 | ||
Net realized gain
(loss)
|
(3,250,719) | (2,158,472) | 4,811,075 | ||
Net change in unrealized
appreciation/depreciation
|
1,721,876 | 1,978,189 | (6,299,227) | ||
Net increase (decrease) in net assets resulting from
operations
|
(878,310) | 1,259,500 | (1,468,301) | ||
Distributions to
shareholders:
|
— | (3,097,036) | (1,031,535) | ||
Return of
capital
|
(667,017) | (606,203) | — | ||
Total Distributions to shareholders
|
(667,017) | (3,703,239) | (1,031,535) | ||
FROM BENEFICIAL INTEREST TRANSACTIONS: | |||||
Proceeds from sale of shares
sold
|
33,490,820 | 64,766,646 | 154,622,149 | ||
Cost of shares
redeemed
|
(30,583,886) | (96,823,406) | (16,395,326) | ||
Other
Capital
|
16,994 | 35,702 | 75,224 | ||
Net increase (decrease) in net assets from beneficial interest transactions
|
2,923,928 | (32,021,058) | 138,302,047 | ||
Contribution from Affiliate (Note
5)
|
— | — | — | ||
Net increase (decrease) in net assets during the
period
|
1,378,601 | (34,464,797) | 135,802,211 | ||
Net assets at beginning of
period
|
298,117,696 | 332,582,493 | 196,780,282 | ||
NET ASSETS AT END OF
PERIOD
|
$299,496,297 | $298,117,696 | $332,582,493 | ||
SHARES OF BENEFICIAL INTEREST: | |||||
Shares
sold
|
1,100,000 | 2,100,000 | 4,800,000 | ||
Shares
redeemed
|
(1,000,000) | (3,100,000) | (500,000) | ||
Net increase (decrease) from share
transactions
|
100,000 | (1,000,000) | 4,300,000 |
(a) | Effective November 12, 2019, the Board of Trustees approved a change in fiscal year end for the Fund from June 30 to December 31. |
(a) | Effective November 12, 2019, the Board of Trustees approved a change in fiscal year end for the Fund from June 30 to December 31. |
SPDR Bloomberg Barclays Emerging Markets Local Bond ETF | |||||||||||
Six-month
Period
Ended 12/31/19(a) |
Year
Ended
6/30/19 |
Year
Ended
6/30/18 |
Year
Ended
6/30/17 |
Year
Ended
6/30/16 |
Year
Ended
6/30/15 |
||||||
Net asset value, beginning of
period
|
$ 27.76 | $ 27.08 | $ 28.99 | $ 27.74 | $ 27.08 | $ 31.25 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss)
(b)
|
0.65 | 1.51 | 1.41 | 1.38 | 1.47 | 1.43 | |||||
Net realized and unrealized gain (loss)
(c)
|
0.15 | 0.45 | (2.28) | (0.18) | (0.90) | (5.64) | |||||
Total from investment
operations
|
0.80 | 1.96 | (0.87) | 1.20 | 0.57 | (4.21) | |||||
Contribution from
Affiliate
|
— | 0.01 | — | — | — | — | |||||
Other capital
(b)
|
0.01 | 0.02 | 0.06 | 0.05 | 0.09 | 0.04 | |||||
Distributions to shareholders from: | |||||||||||
Net investment
income
|
(0.07) | (0.79) | (0.67) | — | — | — | |||||
Return of
Capital
|
(0.67) | (0.52) | (0.43) | — | — | — | |||||
Total
distributions
|
(0.74) | (1.31) | (1.10) | — | — | — | |||||
Net asset value, end of
period
|
$ 27.83 | $ 27.76 | $ 27.08 | $ 28.99 | $ 27.74 | $ 27.08 | |||||
Total return
(d)
|
2.94% | 7.70%(e) | (3.03)% | 4.49% | 2.44% | (13.35)% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in
000s)
|
$1,015,629 | $810,738 | $519,933 | $130,438 | $205,272 | $97,487 | |||||
Ratios to average net assets: | |||||||||||
Total
expenses
|
0.30%(f) | 0.39% | 0.41% | 0.47% | 0.50% | 0.500% | |||||
Net
expenses
|
0.30%(f) | 0.38% | 0.41% | 0.46% | 0.50% | 0.50% | |||||
Net investment income
(loss)
|
4.69%(f) | 5.68% | 4.81% | 4.95% | 5.67% | 4.94% | |||||
Portfolio turnover rate
(g)
|
18%(h) | 43% | 83% | 42% | 44% | 35% |
(a) | Effective November 12, 2019, the Board of Trustees approved a change in fiscal year end for the Fund from June 30 to December 31. |
(b) | Per share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the year. |
(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) | 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) | If an Affiliate had not made a contribution during the year ended June 30, 2019, the total return would have been 7.66%. |
(f) | Annualized. |
(g) | Portfolio turnover rate excludes securities received or delivered from in-kind processing of creations or redemptions. |
(h) | Not annualized. |
SPDR Bloomberg Barclays International Corporate Bond ETF | |||||||||||
Six-month
Period
Ended 12/31/19(a) |
Year
Ended
6/30/19 |
Year
Ended
6/30/18 |
Year
Ended
6/30/17 |
Year
Ended
6/30/16 |
Year
Ended
6/30/15 |
||||||
Net asset value, beginning of
period
|
$ 34.15 | $ 33.87 | $ 33.17 | $ 32.44 | $ 31.34 | $ 37.68 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss)
(b)
|
0.14 | 0.29 | 0.25 | 0.42 | 0.57 | 0.49 | |||||
Net realized and unrealized gain (loss)
(c)
|
(0.20) | 0.23 | 0.63 | 0.30 | 0.53 | (6.50) | |||||
Total from investment
operations
|
(0.06) | 0.52 | 0.88 | 0.72 | 1.10 | (6.01) | |||||
Other capital
(b)
|
0.02 | 0.00(d) | 0.04 | 0.01 | (0.00)(d) | 0.01 | |||||
Distributions to shareholders from: | |||||||||||
Net investment
income
|
(0.10) | — | (0.22) | — | (0.00)(d) | (0.33) | |||||
Net realized
gains
|
— | — | — | (0.00)(d) | — | (0.01) | |||||
Return of
Capital
|
(0.03) | (0.24) | — | — | — | — | |||||
Total
distributions
|
(0.13) | (0.24) | (0.22) | (0.00)(d) | (0.00)(d) | (0.34) | |||||
Net asset value, end of
period
|
$ 33.98 | $ 34.15 | $ 33.87 | $ 33.17 | $ 32.44 | $ 31.34 | |||||
Total return
(e)
|
(0.15)% | 1.59% | 2.71% | 2.26% | 3.54% | (16.02)% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in
000s)
|
$190,273 | $167,358 | $230,286 | $149,286 | $139,508 | $191,155 | |||||
Ratios to average net assets: | |||||||||||
Total
expenses
|
0.50%(f) | 0.51% | 0.50% | 0.50% | 0.50% | 0.54% | |||||
Net investment income
(loss)
|
0.81%(f) | 0.88% | 0.72% | 1.30% | 1.80% | 1.43% | |||||
Portfolio turnover rate
(g)
|
5%(h) | 16% | 23% | 14% | 19% | 28% |
(a) | Effective November 12, 2019, the Board of Trustees approved a change in fiscal year end for the Fund from June 30 to December 31. |
(b) | Per share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the year. |
(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) | Portfolio turnover rate excludes securities received or delivered from in-kind processing of creations or redemptions. |
(h) | Not annualized. |
SPDR Bloomberg Barclays International Treasury Bond ETF | |||||||||||
Six-month
Period
Ended 12/31/19(a) |
Year
Ended
6/30/19 |
Year
Ended
6/30/18 |
Year
Ended
6/30/17 |
Year
Ended
6/30/16 |
Year
Ended
6/30/15 |
||||||
Net asset value, beginning of
period
|
$ 28.87 | $ 27.88 | $ 27.56 | $ 28.60 | $ 26.08 | $ 30.34 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss)
(b)
|
0.19 | 0.39 | 0.31 | 0.46 | 0.50 | 0.46 | |||||
Net realized and unrealized gain (loss)
(c)
|
(0.13) | 0.92 | 0.24 | (1.51) | 2.01 | (4.37) | |||||
Total from investment
operations
|
0.06 | 1.31 | 0.55 | (1.05) | 2.51 | (3.91) | |||||
Net equalization credits and charges
(b)
|
— | — | — | — | — | (0.02) | |||||
Other capital
(b)
|
0.00(d) | 0.01 | 0.01 | 0.01 | 0.01 | 0.01 | |||||
Distributions to shareholders from: | |||||||||||
Net investment
income
|
(0.19) | (0.33) | (0.24) | — | — | (0.18) | |||||
Net realized
gains
|
— | — | — | — | — | (0.16) | |||||
Total
distributions
|
(0.19) | (0.33) | (0.24) | — | — | (0.34) | |||||
Net asset value, end of
period
|
$ 28.74 | $ 28.87 | $ 27.88 | $ 27.56 | $ 28.60 | $ 26.08 | |||||
Total return
(e)
|
0.20% | 4.78% | 2.02% | (3.61)% | 9.67% | (13.01)% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in
000s)
|
$1,028,855 | $1,122,866 | $1,519,631 | $1,568,418 | $1,675,762 | $1,449,792 | |||||
Ratios to average net assets: | |||||||||||
Total
expenses
|
0.35%(f) | 0.38% | 0.50% | 0.50% | 0.50% | 0.50% | |||||
Net investment income
(loss)
|
1.31%(f) | 1.42% | 1.09% | 1.46% | 1.86% | 1.62% | |||||
Portfolio turnover rate
(g)
|
7%(h) | 18% | 29% | 25% | 24% | 19% |
(a) | Effective November 12, 2019, the Board of Trustees approved a change in fiscal year end for the Fund from June 30 to December 31. |
(b) | Per share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the year. |
(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. Broker commission charges are not included in this calculation. |
(f) | Annualized. |
(g) | Portfolio turnover rate excludes securities received or delivered from in-kind processing of creations or redemptions. |
(h) | Not annualized. |
SPDR Bloomberg Barclays Short Term International Treasury Bond ETF | |||||||||||
Six-month
Period
Ended 12/31/19(a) |
Year
Ended
6/30/19 |
Year
Ended
6/30/18 |
Year
Ended
6/30/17 |
Year
Ended
6/30/16 |
Year
Ended
6/30/15 |
||||||
Net asset value, beginning of
period
|
$ 31.05 | $ 31.38 | $ 31.23 | $ 31.48 | $ 30.71 | $ 36.48 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss)
(b)
|
0.07 | 0.16 | 0.00(c) | 0.03 | 0.17 | 0.19 | |||||
Net realized and unrealized gain (loss)
(d)
|
(0.17) | (0.10) | 0.28 | (0.42) | 0.59 | (5.91) | |||||
Total from investment
operations
|
(0.10) | 0.06 | 0.28 | (0.39) | 0.76 | (5.72) | |||||
Net equalization credits and charges
(b)
|
— | — | — | — | — | (0.01) | |||||
Voluntary contribution from
Adviser
|
— | — | — | 0.18 | — | — | |||||
Other capital
(b)
|
0.00(c) | 0.00(c) | 0.01 | 0.00(c) | 0.03 | 0.02 | |||||
Distributions to shareholders from: | |||||||||||
Net investment
income
|
— | (0.33) | (0.14) | — | — | (0.01) | |||||
Net realized
gains
|
— | — | — | (0.04) | (0.02) | (0.05) | |||||
Return of
Capital
|
(0.07) | (0.06) | — | — | — | — | |||||
Total
distributions
|
(0.07) | (0.39) | (0.14) | (0.04) | (0.02) | (0.06) | |||||
Net asset value, end of
period
|
$ 30.88 | $ 31.05 | $ 31.38 | $ 31.23 | $ 31.48 | $ 30.71 | |||||
Total return
(e)
|
(0.36)% | 0.21% | 0.90% | (0.66)%(f) | 2.56% | (15.67)% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in
000s)
|
$299,496 | $298,118 | $332,582 | $196,749 | $182,560 | $199,591 | |||||
Ratios to average net assets: | |||||||||||
Total
expenses
|
0.35%(g) | 0.36% | 0.35% | 0.35% | 0.35% | 0.35% | |||||
Net investment income
(loss)
|
0.43%(g) | 0.51% | 0.01% | 0.11% | 0.55% | 0.59% | |||||
Portfolio turnover rate
(h)
|
31%(i) | 66% | 63% | 74% | 85% | 83% |
(a) | Effective November 12, 2019, the Board of Trustees approved a change in fiscal year end for the Fund from June 30 to December 31. |
(b) | Per share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the year. |
(c) | Amount is less than $0.005 per share. |
(d) | 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. |
(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) | If the Adviser had not made a one-time voluntary contribution during the period ended June 30, 2017, the total return would have been (1.24)%. |
(g) | Annualized. |
(h) | Portfolio turnover rate excludes securities received or delivered from in-kind processing of creations or redemptions. |
(i) | Not annualized. |
SPDR FTSE International Government Inflation-Protected Bond ETF | |||||||||||
Six-month
Period
Ended 12/31/19(a) |
Year
Ended
6/30/19 |
Year
Ended
6/30/18 |
Year
Ended
6/30/17 |
Year
Ended
6/30/16 |
Year
Ended
6/30/15 |
||||||
Net asset value, beginning of
period
|
$ 55.31 | $ 54.63 | $ 55.75 | $ 55.13 | $ 54.61 | $ 62.28 | |||||
Income (loss) from investment operations: | |||||||||||
Net investment income (loss)
(b)
|
0.66 | 1.92 | 1.73 | 1.86 | 1.39 | 1.36 | |||||
Net realized and unrealized gain (loss)
(c)
|
0.19 | 0.57 | (1.11) | (0.65) | (0.37) | (8.43) | |||||
Total from investment
operations
|
0.85 | 2.49 | 0.62 | 1.21 | 1.02 | (7.07) | |||||
Contribution from
Affiliate
|
— | — | 0.00(d) | — | — | — | |||||
Other capital
(b)
|
0.01 | 0.03 | 0.11 | 0.07 | 0.08 | 0.10 | |||||
Distributions to shareholders from: | |||||||||||
Net investment
income
|
(0.87) | — | (1.18) | — | (0.05) | (0.43) | |||||
Net realized
gains
|
— | — | (0.47) | (0.66) | (0.53) | (0.27) | |||||
Return of
Capital
|
(0.02) | (1.84) | (0.20) | — | — | — | |||||
Total
distributions
|
(0.89) | (1.84) | (1.85) | (0.66) | (0.58) | (0.70) | |||||
Net asset value, end of
period
|
$ 55.28 | $ 55.31 | $ 54.63 | $ 55.75 | $ 55.13 | $ 54.61 | |||||
Total return
(e)
|
1.58% | 4.78% | 1.21% | 2.39% | 2.12% | (11.25)% | |||||
Ratios and Supplemental Data: | |||||||||||
Net assets, end of period (in
000s)
|
$431,216 | $475,714 | $568,158 | $496,236 | $617,443 | $769,996 | |||||
Ratios to average net assets: | |||||||||||
Total
expenses
|
0.50%(f) | 0.50% | 0.50% | 0.50% | 0.50% | 0.50% | |||||
Net investment income
(loss)
|
2.39%(f) | 3.60% | 3.02% | 3.39% | 2.63% | 2.35% | |||||
Portfolio turnover rate
(g)
|
8%(h) | 37% | 32% | 42% | 52% | 36% |
(a) | Effective November 12, 2019, the Board of Trustees approved a change in fiscal year end for the Fund from June 30 to December 31. |
(b) | Per share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the year. |
(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) | Portfolio turnover rate excludes securities received or delivered from in-kind processing of creations or redemptions. |
(h) | Not annualized. |
SPDR Bloomberg Barclays Emerging Markets Local Bond ETF |
SPDR Bloomberg Barclays International Corporate Bond ETF |
SPDR Bloomberg Barclays International Treasury Bond ETF |
SPDR Bloomberg Barclays Short Term International Treasury Bond ETF |
SPDR FTSE International Government Inflation-Protected Bond ETF |
Funds | Strategies |
SPDR Bloomberg Barclays Emerging Markets Local Bond ETF | Efficient portfolio management to reduce the currency deviation of the fund versus the Index |
Asset Derivatives | |||||||||||
Interest
Rate
Contracts Risk |
Foreign
Exchange Contracts Risk |
Credit
Contracts Risk |
Equity
Contracts Risk |
Commodity
Contracts Risk |
Total | ||||||
SPDR Bloomberg Barclays Emerging Markets Local Bond ETF | |||||||||||
Forward Foreign Currency Exchange
Contracts
|
$— | $568,712 | $— | $— | $— | $568,712 |
Liability Derivatives | |||||||||||
Interest
Rate
Contracts Risk |
Foreign
Exchange Contracts Risk |
Credit
Contracts Risk |
Equity
Contracts Risk |
Commodity
Contracts Risk |
Total | ||||||
SPDR Bloomberg Barclays Emerging Markets Local Bond ETF | |||||||||||
Forward Foreign Currency Exchange
Contracts
|
$— | $(462,128) | $— | $— | $— | $(462,128) |
Net Realized Gain (Loss) | |||||||||||
Interest
Rate
Contracts Risk |
Foreign
Exchange Contracts Risk |
Credit
Contracts Risk |
Equity
Contracts Risk |
Commodity
Contracts Risk |
Total | ||||||
SPDR Bloomberg Barclays Emerging Markets Local Bond ETF | |||||||||||
Forward Foreign Currency Exchange
Contracts
|
$— | $(30,695)(a) | $— | $— | $— | $(30,695) |
(a) | The Net Realized Gain/Loss on Forward Foreign Currency Contracts during the year ended June 30, 2019 was $(42,886). The underlying risk exposure was Foreign Exchange Contracts Risk. |
Net Change in Unrealized Appreciation (Depreciation) | |||||||||||
Interest
Rate
Contracts Risk |
Foreign
Exchange Contracts Risk |
Credit
Contracts Risk |
Equity
Contracts Risk |
Commodity
Contracts Risk |
Total | ||||||
SPDR Bloomberg Barclays Emerging Markets Local Bond ETF | |||||||||||
Forward Foreign Currency Exchange
Contracts
|
$— | $(93,223)(a) | $— | $— | $— | $(93,223) |
(a) | The Net Change in Unrealized Appreciation (Depreciation) on Forward Foreign Currency Contracts during the year ended June 30, 2019 was $250,514. The underlying risk exposure was Foreign Exchange Contracts Risk. |
Offsetting of Financial Assets and Derivative Assets | ||||||||
Forward Foreign Currency Exchange Contracts | ||||||||
Counterparty |
Gross
Amounts
of Assets |
Amount
Eligible to Offset |
Collateral
(Received) Pledged |
Net
Amount |
||||
Barclays
Capital
|
$ 37,630 | $ (23,373) | $— | $ 14,257 | ||||
HSBC Bank
PLC
|
1,539 | (1,539) | — | — | ||||
Societe
Generale
|
34,909 | (34,909) | — | — | ||||
Standard Chartered
Bank
|
469,858 | (300,086) | — | 169,772 | ||||
Westpac Banking
Corp.
|
24,776 | (24,776) | — | — | ||||
$568,712 | $(384,683) | $— | $184,029 |
Annual Rate | |
SPDR Bloomberg Barclays Emerging Markets Local Bond
ETF
|
0.30% |
SPDR Bloomberg Barclays International Corporate Bond
ETF
|
0.50 |
SPDR Bloomberg Barclays International Treasury Bond
ETF
|
0.35 |
SPDR Bloomberg Barclays Short Term International Treasury Bond
ETF
|
0.35 |
SPDR FTSE International Government Inflation-Protected Bond
ETF
|
0.50 |
Purchases | Sales | ||
SPDR Bloomberg Barclays Emerging Markets Local Bond
ETF
|
$311,723,047 | $159,819,533 | |
SPDR Bloomberg Barclays International Corporate Bond
ETF
|
34,567,632 | 8,071,534 | |
SPDR Bloomberg Barclays International Treasury Bond
ETF
|
70,549,093 | 93,004,684 |
Purchases | Sales | ||
SPDR Bloomberg Barclays Short Term International Treasury Bond
ETF
|
$ 89,366,228 | $ 96,727,609 | |
SPDR FTSE International Government Inflation-Protected Bond
ETF
|
35,279,839 | 51,554,553 |
In-kind
Contributions |
In-kind
Redemptions |
In-kind
Net
Realized Gains/(Losses) |
|||
SPDR Bloomberg Barclays Emerging Markets Local Bond
ETF
|
$45,379,405 | $ 11,645,152 | $ 652,829 | ||
SPDR Bloomberg Barclays International Corporate Bond
ETF
|
19,591,798 | 23,328,840 | (428,817) | ||
SPDR Bloomberg Barclays International Treasury Bond
ETF
|
79,503,084 | 149,456,482 | 3,398,901 | ||
SPDR Bloomberg Barclays Short Term International Treasury Bond
ETF
|
28,840,500 | 26,798,237 | 131,711 | ||
SPDR FTSE International Government Inflation-Protected Bond
ETF
|
8,593,758 | 35,783,592 | 2,325,161 |
In-kind
Contributions |
In-kind
Redemptions |
In-kind
Net
Realized Gains/(Losses) |
|||
SPDR Bloomberg Barclays Emerging Markets Local Bond
ETF
|
$ 45,549,814 | $ 9,475,512 | $ (1,558) | ||
SPDR Bloomberg Barclays International Corporate Bond
ETF
|
3,807,115 | 54,537,278 | (2,223,260) | ||
SPDR Bloomberg Barclays International Treasury Bond
ETF
|
257,241,449 | 608,722,182 | 1,463,557 | ||
SPDR Bloomberg Barclays Short Term International Treasury Bond
ETF
|
57,203,415 | 77,117,094 | 1,249,937 | ||
SPDR FTSE International Government Inflation-Protected Bond
ETF
|
13,613,747 | 30,449,861 | 1,242,944 |
Ordinary
Income |
Long-Term
Capital Gains |
Tax
Return
of Capital |
Total | ||||
SPDR Bloomberg Barclays Emerging Markets Local Bond
ETF
|
$1,987,352 | $ — | $21,574,785 | $23,562,137 | |||
SPDR Bloomberg Barclays International Corporate Bond
ETF
|
499,181 | — | 159,224 | 658,405 | |||
SPDR Bloomberg Barclays International Treasury Bond
ETF
|
7,025,941 | — | — | 7,025,941 | |||
SPDR Bloomberg Barclays Short Term International Treasury Bond
ETF
|
— | — | 667,017 | 667,017 | |||
SPDR FTSE International Government Inflation-Protected Bond
ETF
|
6,804,640 | 444,703 | 138,032 | 7,387,375 |
Ordinary
Income |
Long-Term
Capital Gains |
Tax
Return
of Capital |
Total | ||||
SPDR Bloomberg Barclays Emerging Markets Local Bond
ETF
|
$ 18,596,461 | $ — | $ 12,351,842 | $ 30,948,303 | |||
SPDR Bloomberg Barclays International Corporate Bond
ETF
|
— | — | 1,352,194 | 1,352,194 | |||
SPDR Bloomberg Barclays International Treasury Bond
ETF
|
13,509,746 | — | — | 13,509,746 | |||
SPDR Bloomberg Barclays Short Term International Treasury Bond
ETF
|
3,097,036 | — | 606,203 | 3,703,239 | |||
SPDR FTSE International Government Inflation-Protected Bond
ETF
|
— | — | 16,623,886 | 16,623,886 |
Undistributed
Ordinary Income |
Capital
Loss
Carryforwards |
Undistributed
Long-Term Capital Gains |
Net
Unrealized
Gains (Losses) |
Total | |||||
SPDR Bloomberg Barclays Emerging Markets Local Bond
ETF
|
$— | $(17,336,130) | $— | $19,761,683 | $ 2,425,553 | ||||
SPDR Bloomberg Barclays International Corporate Bond
ETF
|
— | (182,590) | — | (3,443,478) | (3,626,068) | ||||
SPDR Bloomberg Barclays International Treasury Bond
ETF
|
— | (2,028,504) | — | (6,086,615) | (8,115,119) | ||||
SPDR Bloomberg Barclays Short Term International Treasury Bond
ETF
|
— | (64,095) | — | 541,213 | 477,118 | ||||
SPDR FTSE International Government Inflation-Protected Bond
ETF
|
— | — | — | 18,163,758 | 18,163,758 |
Non-Expiring
Short Term |
Non-Expiring
Long Term |
||
SPDR Bloomberg Barclays Emerging Markets Local Bond
ETF
|
$10,033,484 | $7,302,646 | |
SPDR Bloomberg Barclays International Corporate Bond
ETF
|
119,274 | 63,316 | |
SPDR Bloomberg Barclays International Treasury Bond
ETF
|
1,192,181 | 836,323 | |
SPDR Bloomberg Barclays Short Term International Treasury Bond
ETF
|
— | 64,095 |
Tax
Cost |
Gross
Unrealized Appreciation |
Gross
Unrealized Depreciation |
Net
Unrealized
Appreciation (Depreciation) |
||||
SPDR Bloomberg Barclays Emerging Markets Local Bond
ETF
|
$ 973,980,945 | $34,693,605 | $15,328,079 | $19,365,526 | |||
SPDR Bloomberg Barclays International Corporate Bond
ETF
|
190,811,307 | 2,097,929 | 5,580,335 | (3,482,406) | |||
SPDR Bloomberg Barclays International Treasury Bond
ETF
|
1,019,407,568 | 29,359,927 | 35,556,460 | (6,196,533) | |||
SPDR Bloomberg Barclays Short Term International Treasury Bond
ETF
|
284,401,859 | 3,282,375 | 2,796,318 | 486,057 | |||
SPDR FTSE International Government Inflation-Protected Bond
ETF
|
410,504,427 | 31,437,377 | 13,304,110 | 18,133,267 |
Fund |
Market
Value of
Securities on Loan |
Cash
Collateral Received |
Non-Cash
Collateral Received |
Total
Collateral Received |
||||
SPDR Bloomberg Barclays International Treasury Bond
ETF
|
$ 645,179 | $ 660,550 | $ — | $ 660,550 |
Remaining
Contractual Maturity of the Agreements
As of December 31, 2019 |
||||||||||||||
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 Bloomberg Barclays International Treasury Bond
ETF
|
Foreign Government Obligations | $660,550 | $— | $— | $— | $660,550 | $660,550 |
Actual |
Hypothetical
(assuming a 5%
return before expenses) |
||||||||
Annualized
Expense Ratio |
Ending
Account
Value |
Expenses
Paid
During Period(a) |
Ending
Account
Value |
Expenses
Paid
During Period(a) |
|||||
SPDR Bloomberg Barclays Emerging Markets Local Bond
ETF
|
0.30% | $1,029.40 | $1.53 | $1,023.70 | $1.53 | ||||
SPDR Bloomberg Barclays International Corporate Bond
ETF
|
0.50 | 998.50 | 2.52 | 1,022.70 | 2.55 | ||||
SPDR Bloomberg Barclays International Treasury Bond
ETF
|
0.35 | 1,002.00 | 1.77 | 1,023.40 | 1.79 | ||||
SPDR Bloomberg Barclays Short Term International Treasury Bond
ETF
|
0.35 | 996.40 | 1.76 | 1,023.40 | 1.79 | ||||
SPDR FTSE International Government Inflation-Protected Bond
ETF
|
0.50 | 1,015.80 | 2.54 | 1,022.70 | 2.55 |
(a) | Expenses paid 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. |
Amount | |
SPDR FTSE International Government Inflation-Protected Bond
ETF
|
$444,703 |
Amount | |
SPDR Bloomberg Barclays Emerging Markets Local Bond
ETF
|
$666,038 |
SPDR Bloomberg Barclays International Treasury Bond
ETF
|
180,746 |
Amount | |
SPDR Bloomberg Barclays Emerging Markets Local Bond
ETF
|
$21,428,405 |
SPDR Bloomberg Barclays International Treasury Bond
ETF
|
8,070,400 |
• | 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. |
Name,
Address
and Year of Birth |
Position(s)
with Funds |
Term
of
Office and Length of Time Served |
Principal
Occupation(s) During Past 5 Years |
Number
of
Portfolios in Fund Complex Overseen by Trustee† |
Other
Directorships Held by Trustee During the Past 5 Years |
|||||
Trustees | ||||||||||
Independent Trustees | ||||||||||
FRANK
NESVET
c/o SPDR Series Trust One Iron Street Boston, MA 02210 1943 |
Independent
Trustee, Chairman, Trustee Committee Chair |
Term:
Unlimited
Served: since September 2000 |
Retired. | 125 | None. | |||||
BONNY
EUGENIA BOATMAN
c/o SPDR Series Trust One Iron Street Boston, MA 02210 1950 |
Independent
Trustee |
Term:
Unlimited
Served: since April 2010 |
Retired. | 125 | None. | |||||
DWIGHT
D. CHURCHILL
c/o SPDR Series Trust One Iron Street Boston, MA 02210 1953 |
Independent
Trustee |
Term:
Unlimited
Served: since April 2010 |
Self-employed
consultant since 2010; CEO and President, CFA Institute (June 2014-January 2015). |
125 |
Affiliated
Managers Group, Inc. (Director). |
|||||
CARL
G. VERBONCOEUR
c/o SPDR Series Trust One Iron Street Boston, MA 02210 1952 |
Independent
Trustee, Audit Committee Chair |
Term:
Unlimited
Served: since April 2010 |
Self-employed
consultant since 2009. |
125 |
The
Motley Fool
Funds Trust (Trustee). |
|||||
CLARE
S. RICHER
c/o SPDR Series Trust One Iron Street Boston, MA 02210 1958 |
Independent
Trustee |
Term:
Unlimited
Served: since July 2018 |
Retired.
Chief Financial
Officer, Putnam Investments LLC (December 2008- May 2017). |
125 |
Bain
Capital
Specialty Finance (Director); Putnam Acquisition Financing Inc. (Director); Putnam Acquisition Financing LLC (Director); Putnam GP Inc. (Director); Putnam Investor Services, Inc. (Director); Putnam Investments Limited (Director); Putnam Investments Limited (Director); University of Notre Dame (Trustee). |
Name,
Address
and Year of Birth |
Position(s)
with Funds |
Term
of
Office and Length of Time Served |
Principal
Occupation(s) During Past 5 Years |
Number
of
Portfolios in Fund Complex Overseen by Trustee† |
Other
Directorships Held by Trustee During the Past 5 Years |
|||||
SANDRA
G. SPONEM
c/o SPDR Series Trust One Iron Street Boston, MA 02210 1958 |
Independent
Trustee |
Term:
Unlimited
Served: since July 2018 |
Retired.
Chief Financial
Officer, M.A. Mortenson Companies, Inc. (February 2007- April 2017). |
125 |
Rydex
Series
Funds (Trustee).Rydex Dynamic Funds (Trustee); Rydex Variable Trust (Trustee); Guggenheim Funds Trust (Trustee); Guggenheim Variable Funds Trust (Trustee); Guggenheim Strategy Funds Trust (Trustee); Transparent Value Trust (Trustee); Fiduciary/Claymore Energy Infrastructure Fund (Trustee); Guggenheim Taxable Municipal Managed Duration Trust (Trustee); Guggenheim Strategic Opportunities Fund (Trustee); Guggenheim Enhanced Equity Income Fund (Trustee); Guggenheim Credit Allocation Fund (Trustee); Guggenheim Energy & Income Fund (Trustee). |
|||||
Interested Trustee | ||||||||||
JAMES
E. ROSS*
SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1965 |
Interested
Trustee |
Term:
Unlimited
Served as Trustee: since April 2010 |
Chairman
and Director,
SSGA Funds Management, Inc. (2005-present); Executive Vice President, State Street Global Advisors (2006-present); Chief Executive Officer and Director, State Street Global Advisors Funds Distributors, LLC (May 2017- present); Director, State Street Global Markets, LLC (2013-April 2017); President, SSGA Funds Management, Inc. (2005-2012); Principal, State Street Global Advisors (2000 - 2005). |
187 |
SSGA
SPDR
ETFs Europe I plc (Director) (November 2016- present); SSGA SPDR ETFs Europe II plc (Director) (November 2016- present). |
|||||
† For the purpose of determining the number of portfolios overseen by the Trustees, “Fund Complex” comprises registered investment companies for which SSGA Funds Management, Inc. serves as investment adviser. | ||||||||||
* Mr. Ross is an Interested Trustee because of his employment with the Adviser and ownership interest in an affiliate of the Adviser. Mr. Ross previously served as an Interested Trustee from November 2005 to December 2009. |
Name,
Address
and Year of Birth |
Position(s)
with Funds |
Term
of
Office and Length of Time Served |
Principal Occupation(s) During the Past 5 Years | |||
Officers | ||||||
ELLEN
M. NEEDHAM
SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1967 |
President |
Term:
Unlimited
Served: since October 2012 |
President and Director, SSGA Funds Management, Inc. (2001 - present)*; Senior Managing Director, State Street Global Advisors (1992 - present)*; Director, State Street Global Advisors Funds Distributors, LLC (May 2017 - present). | |||
BRUCE
S. ROSENBERG
SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1961 |
Treasurer |
Term:
Unlimited
Served: since February 2016 |
Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (July 2015 - present); Director, Credit Suisse (April 2008 - July 2015). | |||
ANN
M. CARPENTER
SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1966 |
Vice
President; Deputy Treasurer |
Term:
Unlimited
Served: since August 2012 |
Chief Operating Officer, SSGA Funds Management, Inc. (2005 - Present)*; Managing Director, State Street Global Advisors (2005 - present).* | |||
MICHAEL
P. RILEY
SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1969 |
Vice
President |
Term:
Unlimited
Served: since February 2005 |
Managing Director, State Street Global Advisors (2005 - present).* | |||
CHAD
C. HALLETT
SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1969 |
Deputy
Treasurer |
Term:
Unlimited
Served: since February 2016 |
Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (November 2014 - present); Vice President, State Street Bank and Trust Company (2001 - November 2014).* | |||
DARLENE
ANDERSON-VASQUEZ
SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1968 |
Deputy
Treasurer |
Term:
Unlimited
Served: since November 2016 |
Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (May 2016 - present); Senior Vice President, John Hancock Investments (September 2007 - May 2016). | |||
ARTHUR
A. JENSEN
SSGA Funds Management, Inc. 1600 Summer Street Stamford, CT 06905 1966 |
Deputy
Treasurer |
Term:
Unlimited
Served: Since August 2017 |
Vice President at State Street Global Advisors (July 2016 – present); Mutual Funds Controller of GE Asset Management Incorporated (April 2011 - July 2016). | |||
SUJATA
UPRETI
SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1974 |
Assistant
Treasurer |
Term:
Unlimited
Served: since February 2016 |
Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (May 2015 - present); Assistant Director, Cambridge Associates, LLC (July 2014 - January 2015); Vice President, Bank of New York Mellon (July 2012 - August 2013); Manager, PricewaterhouseCoopers, LLP (September 2003 - July 2012). | |||
DANIEL
FOLEY
SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1972 |
Assistant
Treasurer |
Term:
Unlimited
Served: since February 2016 |
Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (April 2007 - present).* | |||
DANIEL
G. PLOURDE
SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1980 |
Assistant
Treasurer |
Term:
Unlimited
Served: since May 2017 |
Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (May 2015 - present); Officer, State Street Bank and Trust Company (March 2009 - May 2015). |
Name,
Address
and Year of Birth |
Position(s)
with Funds |
Term
of
Office and Length of Time Served |
Principal Occupation(s) During the Past 5 Years | |||
BRIAN
HARRIS
SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1973 |
Chief
Compliance
Officer; Anti-Money Laundering Officer; Code of Ethics Compliance Officer |
Term:
Unlimited
Served: since November 2013 |
Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (June 2013 - present)*; Senior Vice President and Global Head of Investment Compliance, BofA Global Capital Management (2010 - 2013). | |||
SEAN
O'MALLEY
SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1969 |
Chief Legal Officer |
Term:
Unlimited
Served:since August 2019 |
Senior Vice President and Deputy General Counsel, State Street Global Advisors (November 2013-Present). | |||
ANDREW
DELORME
SSSGA Funds Management, Inc. One Iron Street Boston, MA 02210 1975 |
Secretary |
Term:
Unlimited
Served:since August 2019 |
Vice President and Senior Counsel, State Street Global Advisors (April 2016 - present); Vice President and Counsel, State Street Global Advisors (August 2014 - March 2016). | |||
KEVIN
MORRIS
SSGA Funds Management, Inc One Iron Street Boston, MA 02210 1982 |
Assistant
Secretary |
Term:Unlimited
Served:since August 2019 |
Vice President and Senior Counsel, State Street Global Advisors (April 2019-Present); Vice President and Counsel, State Street Global Advisors (January 2016-April 2019); Director, Asset Management Compliance, Fidelity Investments (June 2015-January 2016); Senior Compliance Advisor, Asset Management Compliance, Fidelity Investments (June 2012-June 2015). | |||
DAVID
URMAN
SSGA Funds Management, Inc One Iron Street Boston, MA 02210 1985 |
Assistant
Secretary |
Term:Unlimited
Served:since August 2019 |
Vice President and Senior Counsel, State Street Global Advisors (April 2019-Present); Vice President and Counsel, State Street Global Advisors (August 2015-April 2019); Associate, Ropes & Gray LLP (November 2012-August 2015). | |||
* Served in various capacities and/or with various affiliated entities during noted time period. | ||||||
The Statement of Additional Information (SAI) includes additional information about the Funds' trustees and is available, without charge, upon request and by calling 1-866-787-2257. |
Item 2. Code of Ethics.
As of the end of the period covered by this report, the registrant has adopted a code of ethics that applies to the registrants principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party (the Code of Ethics). During the period covered by this report, no substantive amendments were made to the Code of Ethics. During the period covered by this report, the registrant did not grant any waivers, including any implicit waivers, from any provision of the Code of Ethics.
The Code of Ethics is attached hereto as Exhibit 13(a)(1).
Item 3. Audit Committee Financial Expert.
(a)(1) The Board of Trustees of the registrant has determined that the registrant has six Board members serving on the Audit Committee that possess the attributes identified in Instructions 2(b) of Item 3 to Form N-CSR to qualify as an audit committee financial expert.
(2) Bonny Boatman, Dwight Churchill, Frank Nesvet, Clare Richer, Sandra Sponem and Carl Verboncoeur are the registrants audit committee financial experts. The Board also determined that each of the foregoing persons are not interested person(s) of the registrant as that term is defined in Section 2(a)(19) of the Investment Company Act of 1940, as amended (the 1940 Act).
Item 4. Principal Accountant Fees and Services.
(a) Audit Fees.
For the reporting period ending December 31, 2019, fiscal year ending June 30, 2019 and fiscal year ending June 30, 2018, the aggregate audit fees billed for professional services rendered by the principal accountant were $65,780, $1,108,872 and $1,072,056, respectively. Audit fees include the performance of the annual audits, security counts performed during the course of the period for each series of the registrant and routine regulatory filings (one for each SEC registrant).
(b) Audit-Related Fees.
For the reporting period ending December 31, 2019, fiscal year ending June 30, 2019 and fiscal year ending June 30, 2018, the principal accountant did not bill the registrant any fees for assurances and related services that are reasonably related to the performance of the audit of the registrants financial statements and are not reported under paragraph (a) of this Item.
(c) Tax Fees.
For the reporting period ending December 31, 2019, fiscal year ending June 30, 2019 and fiscal year ending June 30, 2018, the aggregate tax fees billed for professional services rendered by the principal accountant were $29,750, $803,601 and $780,503, respectively. Tax fees represent services related to the review of year-end distribution requirements, as well as the review and signing as preparer of all federal, state and excise income tax returns for the series of the registrant.
(d) All Other Fees.
There were no other fees billed by the principal accountant for the reporting period ending December 31, 2019, fiscal year ending June 30, 2019 and fiscal year ending June 30, 2018.
(e)(1) Audit Committee Pre-Approval Policies and Procedures.
The registrants Audit Committee Charter states the following with respect to pre-approval procedures:
Before the independent auditors are engaged by the Trust to render audit or non-audit services, either:
a. |
The Audit Committee shall pre-approve all auditing services and permissible non-audit services (e.g., tax services) provided to the Trust. The Audit Committee may delegate to one or more of its members the authority to grant pre-approvals. Any decision of any member to whom authority is delegated under this section shall be presented to the full Audit Committee at its next regularly scheduled meeting; |
or
b. |
The engagement to render the auditing service or permissible non-audit service is entered into pursuant to pre-approval policies and procedures established by the Audit Committee. Any such policies and procedures must (1) be detailed as to the particular service and (2) not involve any delegation of the Audit Committees responsibilities to the investment adviser. The Audit Committee must be informed of each service entered into pursuant to the policies and procedures. A copy of any such policies and procedures shall be attached as an exhibit to the Audit Committee Charter. |
c. |
De Minimis Exceptions to Pre-Approval Requirements. Pre-Approval for a service provided to the Trust other than audit, review or attest services is not required if: (1) the aggregate amount of all such non-audit services provided to the Trust constitutes not more than 5 percent of the total amount of revenues paid by the Trust to the independent auditors during the fiscal year in which the non-audit services are provided; (2) such services were not recognized by the Trust at the time of the engagement to be non-audit services; and (3) such services are promptly brought to the attention of the Audit Committee and are approved by the Audit Committee or by one or more members of the Audit Committee to whom authority to grant such approvals has been delegated by the Audit Committee prior to the completion of the audit. |
d. |
Pre-Approval of Non-Audit Services Provided to the investment adviser and Certain Control Persons. The Audit Committee shall pre-approve any non-audit services proposed to be provided by the independent auditors to (a) the investment adviser and (b) any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the Trust, if the independent auditors engagement with the investment adviser or any such control persons relates directly to the operations and financial reporting of the Trust. It shall be the responsibility of the independent auditors to notify the Audit Committee of any non-audit services that need to be pre-approved. |
e. |
Application of De Minimis Exception: The De Minimis exception set forth above applies to pre-approvals under this Section as well, except that the total amount of revenues calculation is based on the total amount of revenues paid to the independent auditors by the Trust and any other entity that has its services approved under this Section (i.e., the investment adviser or any control person). |
(e)(2) Percentage of Services.
One hundred percent of the services described in each of paragraphs (b) through (d) of this Item were approved by the registrants Audit Committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.
(f) Not applicable.
(g) The aggregate non-audit fees billed for by the registrants accountant for services rendered to the registrant, and rendered to the registrants investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser were as follows:
Current
Reporting Period (in millions) |
FY 2019
(in millions) |
FY 2018
(in millions) |
||||||||||
Non audit services billed to: |
||||||||||||
Registrant: |
See Item 4(c) | See Item 4(c) | See Item 4(c) | |||||||||
Investment Adviser: |
| | | |||||||||
Other entities in the Investment Company Complex (1)(2): |
||||||||||||
Audit Related Fees |
$ | 15.2 | $ | 14.8 | $ | 15.4 | ||||||
Tax Fees |
$ | 5.8 | $ | 5.3 | $ | 7.8 | ||||||
All Other Fees |
$ | 14.2 | $ | 16.2 | $ | 16.2 | ||||||
|
|
|
|
|
|
(1) |
Information is for calendar years 2019, 2018 and 2017, respectively. |
(2) |
Services under the caption Audit-Related Fees consisted principally of reports on the processing of transactions by servicing organizations, audits of employee benefit plan, non-statutory audits and due diligence procedures. Services under the caption Tax Fees consisted principally of expatriate, compliance and corporate tax advisory services. Services under the caption All Other Fees primarily related to statutory and financial statement audits and the requirement to opine on the design and operating effectiveness of internal control over financial reporting. |
(h) The registrants principal accountant notified the registrants Audit Committee of all non-audit services that were rendered by the principal accountant to the Adviser and any entity controlling, controlled by, or under common control with the Adviser that provides services to the registrant, which services were not required to be pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X, allowing the registrants Audit Committee to consider whether such services were compatible with maintaining the principal accountants independence.
Item 5. Audit Committees of Listed Registrants.
The registrant has an audit committee which was established by the Board of Trustees of the registrant in accordance with Section 3(a)(58)(A) of the Securities Exchange Act of 1934, as amended. The members of the registrants Audit committee are Bonny Boatman, Dwight Churchill, Frank Nesvet, Clare Richer, Sandra Sponem and Carl Verboncoeur.
Item 6. Investments.
(a) A Schedule of Investments for each applicable series of the registrant is included as a part of the report to shareholders filed under Item 1 of this Form N-CSR.
(b) Not applicable to the registrant.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable to the registrant.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable to the registrant.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable to the registrant.
Item 10. Submission of Matters to a Vote of Security Holders.
The registrant has not adopted any material changes to the procedures by which shareholders may recommend nominees to the registrants Board.
Item 11. Controls and Procedures.
(a) Within 90 days of the filing date of this Form N-CSR, Ellen M. Needham, the registrants President and Principal Executive Officer, and Bruce S. Rosenberg, the registrants Treasurer and Principal Financial Officer, reviewed the registrants disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended ( the 1940 Act) and evaluated their effectiveness. Based on their review, Ms. Needham and Mr. Rosenberg determined that the disclosure controls and procedures adequately ensure that information required to be disclosed by the registrant in its periodic reports is recorded, processed, summarized and reported within the time periods required by the U.S. Securities and Exchange Commission.
(b) There were no changes in the registrants internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the most recent reporting period that have materially affected, or are reasonably likely to materially affect, the registrants internal control over financial reporting.
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
(a) Not applicable to the registrant.
(b) Not applicable to the registrant.
Item 13. Exhibits.
(a)(1) Code of Ethics referred to in Item 2.
(a)(2) Separate certifications required by Rule 30a-2(a) under the 1940 Act for each principal executive officer and principal financial officer of the registrant are attached.
(a)(3) Not applicable to the registrant.
(a)(4) Not applicable.
(b) A single certification required by Rule 30a-2(b) under the 1940 Act, Rule 13a-14(b) or Rule 15d-14(b) under the Securities Exchange Act of 1934, as amended, and Section 1350 of Chapter 63 of Title 18 of the United States Code for the principal executive officer and principal financial officer of the registrant is attached.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934, as amended, and the Investment Company Act of 1940, as amended, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
SPDR® Series Trust
By: |
/s/ Ellen M. Needham |
|
Ellen M. Needham |
||
President and Principal Executive Officer |
Date: March 6, 2020
Pursuant to the requirements of the Securities Exchange Act of 1934, as amended, and the Investment Company Act of 1940, as amended, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By: |
/s/ Ellen M. Needham |
|
Ellen M. Needham |
||
President and Principal Executive Officer |
Date: March 6, 2020
By: |
/s/ Bruce S. Rosenberg |
|
Bruce S. Rosenberg |
||
Treasurer and Principal Financial Officer |
Date: March 6, 2020
Exhibit 13(a)(1)
SPDR® Series Trust
SPDR® Index Shares Funds
SSGA Master Trust
SSGA Active Trust
(each, a Trust, and, collectively the Trusts)
CODE OF CONDUCT FOR PRINCIPAL EXECUTIVE AND
PRINCIPAL FINANCIAL OFFICERS
I. |
Covered Officers/Purpose of the Code |
This Code of Conduct (the Code) shall apply to each Trusts Principal Executive Officer, Principal Financial Officer, Controller, Principal Accounting Officer and persons performing similar functions (the Covered Officers, each of whom is named in Exhibit A attached hereto) for the purpose of promoting:
|
honest and ethical conduct, including the ethical handling of actual or apparent conflicts of interest between personal and professional relationships; |
|
full, fair, accurate, timely and understandable disclosure in reports and documents that each Trust files with, or submits to, the Securities and Exchange Commission (SEC) and in other public communications made by the Trust; |
|
compliance with applicable laws and governmental rules and regulations; |
|
the prompt internal reporting of violations of the Code to an appropriate person or persons identified in the Code; and |
|
accountability for adherence to the Code. |
Each Covered Officer should adhere to a high standard of business ethics and should be sensitive to situations that may give rise to actual as well as apparent conflicts of interest.
II. |
Covered Officers Should Handle Ethically Actual and Apparent Conflicts of Interest |
Overview. A conflict of interest occurs when a Covered Officers private interest interferes with the interests of, or his or her service to, a Trust. For example, a conflict of interest would arise if a Covered Officer, or a member of his or her family, receives improper personal benefits as a result of his or her position with a Trust. Covered Officers must avoid conduct that conflicts, or appears to conflict, with their duties to a Trust. All Covered Officers should conduct themselves such that a reasonable observer would have no grounds for belief that a conflict of interest exists. Covered Officers are not permitted to self-deal or otherwise use their positions with a Trust to further their own or any other related persons business opportunities.
This Code does not, and is not intended to, repeat or replace the compliance programs and procedures or codes of ethics of each Trust or each Trusts investment adviser (the Adviser)1 or distributor.
Although typically not presenting an opportunity for improper personal benefit, conflicts may arise from, or as a result of, the contractual relationship between a Trust and its service providers, including Adviser, of which the Covered Officers may be officers or employees. As a result, this Code recognizes that the Covered Officers will, in the normal course of their duties (whether formally for a Trust, the Adviser, or other service providers), be involved in establishing policies and implementing decisions that will have different effects on the service providers and the Trusts. The participation of the Covered Officers in such activities is inherent in the contractual relationship between a Trust and its service providers and is consistent with the performance by the Covered Officers of their duties as officers of the Trust. Thus, if performed in conformity with the provisions of the Investment Company Act of 1940, as amended (Investment Company Act) and the Investment Advisers Act of 1940, as amended (Investment Advisers Act), such activities will be deemed to have been handled ethically. In addition, it is recognized by each Trusts Board of Trustees (the Board) that the Covered Officers may also be officers or employees of one or more other investment companies covered by this or other codes.
The following list provides examples of conflicts of interest under the Code, but Covered Officers should keep in mind that these examples are not exhaustive. The overarching principle is that the personal interest of a Covered Officer should not be placed improperly before the interest of a Trust.
* * * *
Each Covered Officer must not:
|
use his or her personal influence or personal relationship improperly to influence investment decisions or financial reporting by a Trust whereby the Covered Officer would benefit personally to the detriment of the Trust; |
|
cause a Trust to take action, or fail to take action, for the individual personal benefit of the Covered Officer rather than the benefit of the Trust; |
|
retaliate against any other Covered Officer or any employee of a Trust or its affiliated persons for reports of potential violations by the Trust of applicable rules and regulations that are made in good faith; or |
|
use material non-public knowledge of portfolio transactions made or contemplated for the series of a Trust to trade personally or cause others to trade personally in contemplation of the market effect of such transactions. |
1 |
Any reference to Adviser with respect to a Trust may include reference to any investment sub-adviser for a series of the Trust. |
Each Covered Officer must discuss certain material conflict of interest situations with a Trusts Audit Committee. Examples of such situations include:
|
service as a director, trustee, general partner, or officer of any unaffiliated business organization. This rule does not apply to charitable, civic, religious, public, political, or social organizations, the activities of which do not conflict with the interests of a Trust; |
|
the receipt of any gifts, excluding branded promotional items valued at U.S. 50$ or less; |
|
the receipt of any entertainment from any company with which a Trust has current or prospective business dealings unless such entertainment is business-related, reasonable in cost, appropriate as to time and place, and not so frequent as raise any question of impropriety; |
|
any ownership interest in, or any consulting or employment relationship with, any of a Trusts service providers, other than its Adviser, principal underwriter, administrator, sub-administrator, transfer agent, custodian or any affiliated person thereof; and |
|
a direct or indirect financial interest in commissions, transaction charges or spreads paid by a Trust for effecting portfolio transactions or for selling or redeeming shares other than an interest arising from the Covered Officers employment, such as compensation or equity ownership. |
III. |
Disclosure and Conduct |
|
Each Covered Officer will monitor the compliance of each Trust and the Trusts service providers with federal or state statutes, regulations or administrative procedures that affect the operation of the Trust. |
|
Each Covered Officer should not knowingly misrepresent, or cause others to misrepresent, facts about a Trust to others, whether within or outside the Trust, including to the Trusts Board, the Trusts Audit Committee, the Trusts independent auditors, governmental regulators, self-regulators and self-regulatory organizations. |
|
Each Covered Officer should, to the extent appropriate within his or her area of responsibility, consult with other officers and employees of a Trust and its service providers with the goal of promoting full, fair, accurate, timely and understandable disclosure in the reports and documents the Trust files with, or submits to, the SEC and in other public communications made by the Trust. |
|
Each Covered Officer will exhibit and promote the highest standards of honest and ethical conduct through the establishment and operation of policies and procedures that encourage professional integrity in all aspects of each Trusts operations. |
IV. |
Compliance with Applicable Laws and Regulations |
|
Each Trusts Audit Committee is responsible for applying this Code to specific situations in which questions are presented under it and has the authority to interpret this Code in any particular situation, including providing any approvals or waivers sought by the Covered Persons. |
|
It is the responsibility of each Covered Officer to promote compliance with the standards and restrictions imposed by applicable laws, rules and regulations. |
|
In the event of any question of interpretation of the requirements under this Code, Covered Officers shall consult with the Audit Committee in order to assure compliance with the Code. |
V. |
Reporting and Accountability |
Each Covered Officer must:
|
upon adoption of this Code (or thereafter as applicable, upon becoming a Covered Officer), sign and return a report in the form of Exhibit B to each Trusts compliance officer affirming that he or she has received, read, and understands the Code; |
|
annually sign and return a report in the form of Exhibit C to each Trusts compliance officer as an affirmation that he or she has complied with the requirements of the Code; and |
|
notify a Trusts Audit Committee promptly if he or she knows of any violation of this Code. Failure to do so is itself a violation of this Code. |
The Audit Committee will follow these procedures in investigating and enforcing this Code:
|
The Audit Committee will take all appropriate actions to investigate any potential violations reported to the Committee. |
|
If, after such investigation, the Audit Committee believes that no violation has occurred, the Audit Committee is not required to take any further action. |
|
Any matter that the Audit Committee believes is a violation of this Code will be reported to the full Board. |
|
If the Board concurs that a violation has occurred, it will notify the appropriate personnel of the applicable service provider and may dismiss the Covered Officer as an officer of the Trusts. |
|
The Audit Committee will be responsible for granting waivers of provisions of this Code, as appropriate. |
|
Any changes to or waivers of this Code will, to the extent required, be disclosed as provided by SEC rules. |
VI. |
Other Policies and Procedures |
This Code shall be the sole code of ethics adopted by each Trusts for purposes of Section 406 of the Sarbanes-Oxley Act of 2002 and the rules and forms applicable to registered investment companies thereunder. Insofar as other policies or procedures of each Trust, each Trusts Adviser, principal underwriter, or other service providers govern or purport to govern the behavior or activities of the Covered Officers who are subject to this Code, they are superseded by this Code to the extent that they overlap or conflict with the provisions of this Code. The Trusts Advisers and principal underwriters codes of ethics under Rule 17j-1 under the Investment Company Act and the Advisers more detailed policies and procedures are separate requirements applying to the Covered Officers and others, and are not part of this Code.
VII. |
Amendments |
Any amendments to this Code, other than amendments to Exhibit A, must be approved or ratified by a majority vote of the Board, including a majority of Independent Trustees.
VIII. |
Confidentiality |
All reports and records prepared or maintained pursuant to this Code will be considered confidential and shall be maintained and protected accordingly. Except as otherwise required by law or this Code, such matters shall not be disclosed to anyone other than the Trusts Board or Audit Committee.
IX. |
Internal Use |
The Code is intended solely for the internal use by each Trust and does not constitute an admission, by or on behalf of a Trust, as to any fact, circumstance, or legal conclusion.
Adopted (SPDR® Series Trust): August 18, 2003
Adopted (SPDR® Index Shares Funds): July 1, 2004
Updated: August 1, 2007
Amended: November 18, 2010
Adopted (SSGA Master Trust/SSGA Active Trust)/Amended: May 25, 2011
Updated: November 17, 2015
Amended on: February 23, 2017
EXHIBIT A
Persons Covered by this Code of Conduct:
Title |
Name |
|||
President, Chief Executive Officer and Principal Executive Officer | Ellen M. Needham | |||
Treasurer, Chief Financial Officer and Principal Financial Officer | Bruce S. Rosenberg |
EXHIBIT B
INITIAL CERTIFICATION FORM
This is to certify that I have read and understand the Code of Conduct for Principal Executive and Principal Financial Officers of SPDR® Series Trust, SPDR® Index Shares Funds, SSGA Master Trust and SSGA Active Trust and that I recognize that I am subject to the provisions thereof and will comply with the policy and procedures stated therein.
Please sign your name here:
Please print your name here:
Please date here:
EXHIBIT C
ANNUAL CERTIFICATION FORM
This is to certify that I have read and understand the Code of Conduct for Principal Executive and Senior Financial Officers of SPDR® Series Trust, SPDR® Index Shares Funds, SSGA Master Trust and SSGA Active Trust (the Code) and that I recognize that I am subject to the provisions thereof and will comply with the policy and procedures stated therein.
This is to further certify that I have complied with the policies and procedures set forth in each Code during my tenure as a Covered Officer, as defined in the Code.
Please sign your name here:
Please print your name here:
Please date here:
Exhibit 13(a)(2)
CERTIFICATIONS
I, Ellen M. Needham, President and Principal Executive Officer of SPDR® Series Trust, certify that:
1. |
I have reviewed this report on Form N-CSR of SPDR® Series Trust; |
2. |
Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; |
3. |
Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report; |
4. |
The registrants other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: |
(a) |
Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; |
(b) |
Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; |
(c) |
Evaluated the effectiveness of the registrants disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and |
(d) |
Disclosed in this report any change in the registrants internal control over financial reporting that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrants internal control over financial reporting; and |
5. |
The registrants other certifying officer(s) and I have disclosed to the registrants auditors and the audit committee of the registrants board of directors (or persons performing the equivalent functions): |
(a) |
All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrants ability to record, process, summarize, and report financial information; and |
(b) |
Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrants internal control over financial reporting. |
Date: March 6, 2020
By: | /s/ Ellen M. Needham | |
Ellen M. Needham | ||
President and Principal Executive Officer |
I, Bruce S. Rosenberg, Treasurer and Principal Financial Officer of SPDR® Series Trust, certify that:
1. |
I have reviewed this report on Form N-CSR of SPDR® Series Trust; |
2. |
Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; |
3. |
Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report; |
4. |
The registrants other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: |
(a) |
Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; |
(b) |
Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; |
(c) |
Evaluated the effectiveness of the registrants disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and |
(d) |
Disclosed in this report any change in the registrants internal control over financial reporting that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrants internal control over financial reporting; and |
5. |
The registrants other certifying officer(s) and I have disclosed to the registrants auditors and the audit committee of the registrants board of directors (or persons performing the equivalent functions): |
(a) |
All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrants ability to record, process, summarize, and report financial information; and |
(b) |
Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrants internal control over financial reporting. |
Date: March 6, 2020
By: |
/s/ Bruce S. Rosenberg |
|
Bruce S. Rosenberg |
||
Treasurer and Principal Financial Officer |
Exhibit 13(b)
SECTION 906 CERTIFICATION
I, Ellen M. Needham, President and Principal Executive Officer, and I, Bruce S. Rosenberg, Treasurer and Principal Financial Officer, of SPDR® Series Trust (the Trust) each certify that:
1. |
This Form N-CSR filing for the Trust (the Report) fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934, as amended; and |
2. |
The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Trust. |
By: |
/s/ Ellen M. Needham |
|
Ellen M. Needham |
||
President and Principal Executive Officer |
Date: March 6, 2020
By: |
/s/ Bruce S. Rosenberg |
|
Bruce S. Rosenberg |
||
Treasurer and Principal Financial Officer |
Date: March 6, 2020